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 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, 2017
Date of reporting period: December 31, 2016
Item 1. Reports to Stockholders.
Bridge Builder TM MUTUAL FUNDS
Semiannual Report
December 31,2016 (Unaudited)
BridgeBuilderCoreBond Fund
BridgeBuilderCore Plus Bond Fund
BridgeBuilderMunicipalBond Fund
BridgeBuilder LargeCap Growth Fund
BridgeBuilder LargeCap Value Fund
BridgeBuilder Small/Mid Cap Growth Fund
BridgeBuilder Small/Mid Cap Value Fund
BridgeBuilder International Equity Fund
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Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements | 70 | |||
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Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Letter to Shareholders (Unaudited)
Dear Shareholder,
It is our pleasure to provide you with the Bridge Builder Mutual Funds semiannual report for the six-month period ended December 31, 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.
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 sub-advise a portion of the fund’s assets. Each sub-adviser within the mutual fund brings a unique perspective and investment approach. The mutual funds are managed according to the key tenets of our investment philosophy: diversification, quality and a long-term approach.
Olive Street Investment Advisers, LLC (“Olive Street”), an affiliate of Edward Jones, and the adviser to each of the Bridge Builder Funds, 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 over the long term.
At the August 2016 meeting of the Board of Trustees (the “Board”), Olive Street recommended and the Board approved, the addition of two new sub-advisers to the Bridge Builder Mutual Fund lineup. LSV Asset Management and Pzena Investment Management, LLC were added as sub-advisers to the Bridge Builder Small/Mid Cap Value Fund and International Equity Fund, respectively.
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 | |
Ryan T. Robson | President, Bridge Builder Trust
Principal, Edward Jones Investment Advisory |
Semiannual Report • December 31, 2016 | 1 |
Fund Characteristics and 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 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 that 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. | PGIM, Inc. uses a team approach to attempt to add value by tilting toward fixed-income sectors that it believes are attractive and by utilizing its extensive research capabilities to choose attractive fixed-income securities within sectors. |
Fund Performance as of December 31, 2016
1 Year | 3 Years | Since Inception (10/28/2013) | ||||||||||
Bridge Builder Core Bond Fund | 3.30 | % | 3.34 | % | 2.84 | % | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 2.65 | % | 3.03 | % | 2.53 | % |
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 0.37%(1) and 0.17%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Security Type Breakdown | (% of Investments) | |||
Mortgage-Backed Obligations | 33.1 | % | ||
Corporate Bonds | 29.8 | % | ||
Government Related | 20.3 | % | ||
Asset-Backed Obligations | 9.4 | % | ||
Short-Term Investments | 7.4 | % | ||
Preferred Stocks | 0.0 | %* |
* | Amount less than 0.05%. |
2 | Semiannual Report • December 31, 2016 |
Bridge Builder Core Plus Bond Fund
Fund Characteristics and 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 high-yield securities deemed below investment grade, and securities issued by foreign entities, including emerging market securities. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
Janus Capital Management, LLC applies a bottom-up fundamental approach in choosing investments. This means that the portfolio managers look at income-producing securities one at a time to determine if a security is an attractive investment opportunity and is consistent with Janus’ and the Fund’s investment policies. | Loomis, Sayles & Company, L.P. generally seeks fixed-income securities of issuers whose credit profiles it believes are improving. Loomis Sayles relies primarily on issue selection as the key driver to investment performance. Loomis Sayles also analyzes different sectors of the economy and differences in the yields of various fixed-income securities in an effort to find securities that it believes may produce attractive returns in comparison to these securities’ risks. | Metropolitan West Asset Management, LLC employs a value-oriented fixed-income management philosophy and an investment process predicated on a long-term economic outlook. | T. Rowe Price Associates, Inc. emphasizes the value of in-depth fundamental research, diversification and risk management practices. T. Rowe Price’s strategy integrates top-down sector allocation with bottom-up security selection in pursuit of the Fund’s investment objective. |
Fund Performance as of December 31, 2016
1 Year | Since Inception (7/13/2015) | |||||||
Bridge Builder Core Plus Bond Fund | 3.40 | % | 2.43 | % | ||||
Bloomberg Barclays U.S. Aggregate Bond Index | 2.65 | % | 2.48 | % |
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 0.24%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Security Type Breakdown | (% of Investments) | |||
Corporate Bonds | 33.7 | % | ||
Mortgage-Backed Obligations | 25.6 | % | ||
Government Related | 22.5 | % | ||
Short-Term Investments | 8.5 | % | ||
Asset-Backed Obligations | 7.8 | % | ||
Bank Loans | 1.7 | % | ||
Preferred Stocks | 0.2 | % |
Semiannual Report • December 31, 2016 | 3 |
Bridge Builder Municipal Bond Fund
Fund Characteristics and 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 federal alternative minimum tax. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
FIAM LLC allocates assets across different market sectors and maturities, normally investing in investment-grade municipal securities. When selecting investments, FIAM 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, Inc. starts its investment process with a top-down, macroeconomic outlook. WellsCap’s security selection is based on several factors including improving financial trends, positive industry and sector dynamics, improving economic conditions, specific demographic trends and value relative to other securities. |
Fund Performance as of December 31, 2016
1 Year | Since Inception (9/14/2015) | |||||||
Bridge Builder Municipal Bond Fund | 0.03 | % | 1.50 | % | ||||
Bloomberg Barclays Municipal 1-15 Year Index | 0.01 | % | 1.51 | % |
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.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Security Type Breakdown | (% of Investments) | |||
General Obligation | 24.9 | % | ||
General Revenue | 21.0 | % | ||
Education | 13.8 | % | ||
Healthcare | 13.7 | % | ||
Transportation | 11.6 | % | ||
Utilities | 9.0 | % | ||
Short-Term Investments | 2.9 | % | ||
Housing | 3.1 | % |
Breakdown by State | (% of Long-Term Investments) | |||
Texas | 10.7 | % | ||
New York | 10.0 | % | ||
Illinois | 9.2 | % | ||
Pennsylvania | 7.2 | % | ||
Florida | 6.4 | % | ||
California | 4.9 | % | ||
Connecticut | 4.4 | % | ||
Michigan | 3.6 | % | ||
New Jersey | 3.6 | % | ||
Virginia | 3.2 | % | ||
Other | 36.8 | % |
4 | Semiannual Report • December 31, 2016 |
Bridge Builder Large Cap Growth Fund
Fund Characteristics and 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 Sub-advisers
Lazard Asset Management LLC invests primarily in equity securities of U.S. companies that have strong and/or improving financial productivity and are undervalued based on their earnings, cash flow or asset values. | Sustainable Growth Advisers, LP seeks to identify large-capitalization companies that exhibit characteristics such as pricing power, repeat revenue streams and global reach that seem to have the potential for long-term earnings growth within the context of low business risk. | Jennison Associates LLC invests in companies that have strong capital appreciation potential. It follows a highly disciplined investment selection and management process of identifying companies that show superior absolute and relative earnings growth and are believed to be attractively valued. | William Blair Investment Management, LLC invests primarily in a diversified portfolio of equity securities of domestic growth companies of all sizes that are expected to exhibit quality growth characteristics. William Blair performs fundamental company analysis and focuses on stock selection. | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 1000® Growth Index. |
Fund Performance as of December 31, 2016
1 Year | Since Inception (4/27/2015) | |||||||
Bridge Builder Large Cap Growth Fund | 3.24 | % | 2.24 | % | ||||
Russell 1000® Growth Index | 7.08 | % | 3.82 | % |
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 0.50%(1) and 0.32%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Information Technology | 33.9 | % | ||
Consumer Discretionary | 17.0 | % | ||
Healthcare | 14.5 | % | ||
Consumer Staples | 9.0 | % | ||
Industrials | 8.3 | % | ||
Financials | 6.0 | % | ||
Energy | 3.7 | % | ||
Short-Term Investments | 3.6 | % | ||
Materials | 1.6 | % | ||
Real Estate | 1.3 | % | ||
Telecommunication Services | 1.1 | % | ||
Utilities | 0.0 | %* |
* | Amount less than 0.05%. |
Top Ten Equity Holdings | (% of Net Assets) | |||
Apple, Inc. | 3.9 | % | ||
Alphabet, Inc. - Class A | 3.7 | % | ||
Microsoft Corp. | 3.4 | % | ||
Amazon.com, Inc. | 3.0 | % | ||
Facebook, Inc. | 2.5 | % | ||
Lowes Companies, Inc. | 2.0 | % | ||
Visa, Inc. | 2.0 | % | ||
Schlumberger Ltd | 1.9 | % | ||
Red Hat, Inc. | 1.7 | % | ||
Starbucks Corp. | 1.7 | % |
Semiannual Report • December 31, 2016 | 5 |
Bridge Builder Large Cap Value Fund
Fund Characteristics and 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 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 three value characteristics: price/earnings and price/book ratios below the market, and dividend yields above the market (as measured by the S&P 500 Index). | Wellington Management Company LLP uses substantial proprietary, fundamental research resources to identify companies with superior prospects for dividend growth and capital appreciation that sell at reasonable valuation levels. Wellington Management believes that above-average growth in dividends is an effective and often overlooked indicator of higher quality, shareholder-oriented companies that have the ability to produce consistent, above-average returns over the long term. | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 1000® Value Index. |
Fund Performance as of December 31, 2016
1 Year | Since Inception (4/27/2015) | |||||||
Bridge Builder Large Cap Value Fund | 15.66 | % | 5.82 | % | ||||
Russell 1000® Value Index | 17.34 | % | 7.02 | % |
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 0.50%(1) and 0.35%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Financials | 20.5 | % | ||
Healthcare | 12.5 | % | ||
Industrials | 11.5 | % | ||
Information Technology | 11.1 | % | ||
Consumer Discretionary | 10.2 | % | ||
Energy | 10.2 | % | ||
Consumer Staples | 8.4 | % | ||
Materials | 7.5 | % | ||
Short-Term Investments | 4.9 | % | ||
Real Estate | 1.8 | % | ||
Telecommunication Services | 0.8 | % | ||
Utilities | 0.6 | % |
Top Ten Equity Holdings | (% of Net Assets) | |||
Citigroup, Inc. | 1.9 | % | ||
Berkshire Hathaway, Inc. | 1.7 | % | ||
Medtronic Plc | 1.7 | % | ||
Hess Corp. | 1.6 | % | ||
Chubb Ltd. | 1.5 | % | ||
Microsoft Corp. | 1.5 | % | ||
Wells Fargo & Co. | 1.3 | % | ||
Cardinal Health, Inc. | 1.3 | % | ||
PNC Financial Services Group, Inc. | 1.3 | % | ||
Devon Energy Corp. | 1.3 | % |
6 | Semiannual Report • December 31, 2016 |
Bridge Builder Small/Mid Cap Growth Fund
Fund Characteristics and 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 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. |
Fund Performance as of December 31, 2016
1 Year | Since Inception (4/27/2015) | |||||||
Bridge Builder Small/Mid Cap Growth Fund | 11.47 | % | 2.92 | % | ||||
Russell 2500® Growth Index | 9.73 | % | 0.95 | % |
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 0.72%(1) and 0.48%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Information Technology | 21.3 | % | ||
Healthcare | 17.0 | % | ||
Industrials | 16.2 | % | ||
Consumer Discretionary | 13.8 | % | ||
Financials | 11.3 | % | ||
Consumer Staples | 6.5 | % | ||
Short-Term Investments | 4.1 | % | ||
Materials | 3.6 | % | ||
Energy | 2.9 | % | ||
Real Estate | 2.2 | % | ||
Telecommunication Services | 0.9 | % | ||
Utilities | 0.2 | % |
Top Ten Equity Holdings | (% of Net Assets) | |||
Rockwell Automation, Inc. | 1.4 | % | ||
Advance Auto Parts, Inc. | 1.4 | % | ||
IDEX Corp. | 1.1 | % | ||
Dentsply Sirona, Inc. | 1.1 | % | ||
Allied World Assurance Co. Holdings | 1.0 | % | ||
Core Laboratories | 1.0 | % | ||
Fortinet, Inc. | 1.0 | % | ||
Ross Stores, Inc. | 0.9 | % | ||
Aspen Technology, Inc. | 0.9 | % | ||
Palo Alto Networks, Inc. | 0.9 | % |
Semiannual Report • December 31, 2016 | 7 |
Bridge Builder Small/Mid Cap Value Fund
Fund Characteristics and 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 Sub-advisers
Vaughan Nelson Investment Management, L.P. 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 Global Investors, Inc. 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. | LSV Asset Management primarily invests in medium capitalization companies. LSV uses a bottom-up investment style, seeking to identify companies that are trading at prices substantially below their intrinsic value. |
Fund Performance as of December 31, 2016
1 Year | Since Inception (4/27/2015) | |||||||
Bridge Builder Small/Mid Cap Value Fund | 17.01 | % | 5.46 | % | ||||
Russell 2500® Value Index | 25.20 | % | 8.63 | % |
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 0.81%(1) and 0.62%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
8 | Semiannual Report • December 31, 2016 |
Bridge Builder Small/Mid Cap Value Fund
Fund Characteristics and Performance (Unaudited) (Continued)
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Financials | 22.9 | % | ||
Industrials | 15.2 | % | ||
Information Technology | 13.8 | % | ||
Consumer Discretionary | 10.3 | % | ||
Real Estate | 7.3 | % | ||
Healthcare | 7.3 | % | ||
Energy | 7.0 | % | ||
Materials | 6.8 | % | ||
Utilities | 4.1 | % | ||
Short-Term Investments | 3.2 | % | ||
Consumer Staples | 1.8 | % | ||
Telecommunication Services | 0.3 | % |
Top Ten Equity Holdings | (% of Net Assets) | |||
Reinsurance Group of America, Inc. | 1.0 | % | ||
Fidelity National Information Services, Inc. | 0.9 | % | ||
Discover Financial Services | 0.8 | % | ||
Brunswick Corp. | 0.8 | % | ||
Newell Brands, Inc. | 0.7 | % | ||
Fifth Third Bancorp | 0.7 | % | ||
Investors Bancorp, Inc. | 0.7 | % | ||
Unum Group | 0.6 | % | ||
SunTrust Banks, Inc. | 0.6 | % | ||
Crown Holdings, Inc. | 0.6 | % |
Semiannual Report • December 31, 2016 | 9 |
Bridge Builder International Equity Fund
Fund Characteristics and 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 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 BlackRock Investment Management, LLC’s equity index strategies invest in portfolios of 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 value and growth equity securities traded outside the United States, as represented by the MSCI EAFE Growth and MSCI EAFE Value Indices. | 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. | |||
Pzena Investment Management, LLC focuses on deep value investing, seeking to identify international securities that are trading at prices substantially below their intrinsic value but have solid long term prospects. | Mondrian Investment Partners Limited employs an active, value-oriented approach to managing international equities, and invests in securities where rigorous dividend discount analysis identifies value in terms of the long-term flow of income. The philosophy is built upon the assumption that dividend yield and future real growth are critical in determining a company’s total expected return and that the dividend component will be a meaningful portion of the expected return over time. | WCM Investment Management uses a bottom-up approach that seeks to identify companies with attractive fundamentals, such as long-term growth in revenue and earnings, and that show a high probability for superior future growth. WCM’s investment process focuses on seeking industry-leading companies that WCM believes possess growing competitive advantages; corporate cultures emphasizing strong, quality and experienced management; low or no debt; and attractive relative valuations. |
Fund Performance as of December 31, 2016
1 Year | Since Inception (7/06/2015) | |||||||
Bridge Builder International Equity Fund | 2.69 | % | -1.69 | % | ||||
MSCI EAFE Index | 1.00 | % | -2.64 | % |
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 0.70%(1) and 0.47%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
10 | Semiannual Report • December 31, 2016 |
Bridge Builder International Equity Fund
Fund Characteristics and Performance (Unaudited) (Continued)
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Financials | 16.4 | % | ||
Consumer Discretionary | 16.2 | % | ||
Consumer Staples | 12.3 | % | ||
Information Technology | 11.9 | % | ||
Industrials | 11.3 | % | ||
Healthcare | 11.1 | % | ||
Energy | 6.5 | % | ||
Short-Term Investments | 5.0 | % | ||
Telecommunication Services | 3.9 | % | ||
Materials | 3.1 | % | ||
Utilities | 1.7 | % | ||
Real Estate | 0.6 | % |
Top Ten Equity Holdings | (% of Net Assets) | |||
Nestle SA | 1.7 | % | ||
BP Plc | 1.4 | % | ||
Taiwan Semiconductor Manufacturing Co Ltd. - ADR | 1.4 | % | ||
Novartis AG | 1.4 | % | ||
Roche Holding AG-Genusschein | 1.3 | % | ||
Sanofi SA | 1.3 | % | ||
Tesco Plc | 1.2 | % | ||
Telefonica SA | 0.9 | % | ||
Japan Tobacco, Inc. | 0.9 | % | ||
Sumitomo Mitsui Financial Group, Inc. | 0.9 | % |
ADR American Depository Receipt
Country Breakdown | (% of Long-Term Investments) | |||
Japan | 19.0 | % | ||
United Kingdom | 15.3 | % | ||
Switzerland | 10.0 | % | ||
Germany | 6.8 | % | ||
France | 7.3 | % | ||
China | 3.5 | % | ||
Netherlands | 4.3 | % | ||
Spain | 3.2 | % | ||
Australia | 2.7 | % | ||
Hong Kong | 2.8 | % | ||
Other | 25.1 | % |
Semiannual Report • December 31, 2016 | 11 |
Fund Characteristics and 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, 2017, 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 characteristics 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 market securities) 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.
DEFINITIONS
Bloomberg Barclays U.S. Aggregate Bond Index measures the broad market for U.S. dollar-denominated investment grade, fixed-rate taxable bond market.
Bloomberg Barclays Municipal 1-15 Year Index (1-17) is a subset of the Bloomberg Barclays Municipal Bond Index covering only maturities between 1 and 17 years. The Bloomberg 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.
12 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Fund Characteristics and Performance (Unaudited) (Continued)
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.
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 3000® Index measures the performance of the 3,000 largest publicly held companies incorporated in the U.S. based on market capitalization.
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.
Semiannual Report • December 31, 2016 | 13 |
Bridge Builder Mutual Funds
Fund Expense Examples (Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) ongoing costs, including management fees and other Fund expenses; and (2) annual Edward Jones Advisory Solutions® program and administrative fees which are charged outside of the Funds. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The Examples are based on $1,000 invested at the beginning of the period and held for the entire period from July 1, 2016 to December 31, 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 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 | $ | 977.50 | 0.15 | % | $ | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.45 | 0.77 | |||||||||||||||||
Bridge Builder Core Plus Bond Fund | ||||||||||||||||||||
Actual | 1,000.00 | 982.60 | 0.17 | 0.85 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,024.35 | 0.87 | |||||||||||||||||
Bridge Builder Municipal Bond Fund | ||||||||||||||||||||
Actual | 1,000.00 | 966.70 | 0.21 | 1.04 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,024.15 | 1.07 | |||||||||||||||||
Bridge Builder Large Cap Growth Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,043.90 | 0.29 | 1.49 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,023.74 | 1.48 | |||||||||||||||||
Bridge Builder Large Cap Value Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,092.20 | 0.31 | 1.63 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,023.64 | 1.58 | |||||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,088.10 | 0.45 | 2.37 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,022.94 | 2.29 | |||||||||||||||||
Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,143.00 | 0.47 | 2.54 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,022.84 | 2.40 | |||||||||||||||||
Bridge Builder International Equity Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,026.90 | 0.42 | 2.15 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,023.09 | 2.14 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six-month period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Fund. |
14 | Semiannual Report • December 31, 2016 |
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Semiannual Report • December 31, 2016 | 15 |
Summary Schedule of Investments
December 31, 2016 (Unaudited)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES | ||||||||||||
Asset-Backed Obligations | ||||||||||||
Chase Issuance Trust, 1.16%, Apr. 2019 | $ | 19,100,000 | $ | 19,098,420 | 0.18 | % | ||||||
Chase Issuance Trust, 1.25%, Jun. 2023 | 19,794,000 | 19,854,360 | 0.19 | |||||||||
Springleaf Funding Trust 2015-A, 3.16%, Nov. 2024 (1) | 18,692,000 | 18,836,906 | 0.18 | |||||||||
Other Securities (1)(7)(8) | 1,004,421,847 | 983,225,909 | 9.27 | |||||||||
|
|
|
| |||||||||
Total Asset-Backed Obligations | 1,041,015,595 | 9.82 | ||||||||||
|
|
|
| |||||||||
Corporate Bonds | ||||||||||||
Basic Materials | ||||||||||||
Various Securities (1) | 141,539,000 | 145,345,975 | 1.37 | |||||||||
|
|
|
| |||||||||
Total Basic Materials | 145,345,975 | 1.37 | ||||||||||
|
|
|
| |||||||||
Communications | ||||||||||||
Various Securities (1)(8) | 269,716,000 | 280,299,256 | 2.64 | |||||||||
|
|
|
| |||||||||
Total Communications | 280,299,256 | 2.64 | ||||||||||
|
|
|
| |||||||||
Consumer, Cyclical | ||||||||||||
Various Securities (1)(8) | 186,219,935 | 191,736,511 | 1.81 | |||||||||
|
|
|
| |||||||||
Total Consumer, Cyclical | 191,736,511 | 1.81 | ||||||||||
|
|
|
| |||||||||
Consumer, Non-cyclical | ||||||||||||
Various Securities (1) | 455,273,511 | 462,416,753 | 4.36 | |||||||||
|
|
|
| |||||||||
Total Consumer, Non-cyclical | 462,416,753 | 4.36 | ||||||||||
|
|
|
| |||||||||
Diversified | ||||||||||||
Various Securities (1) | 7,237,000 | 7,889,922 | 0.08 | |||||||||
|
|
|
| |||||||||
Total Diversified | 7,889,922 | 0.08 | ||||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Various Securities (1) | 351,904,375 | 363,374,939 | 3.43 | |||||||||
|
|
|
| |||||||||
Total Energy | 363,374,939 | 3.43 | ||||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Goldman Sachs Group, Inc., 5.75%, Jan. 2022 | 17,947,000 | 20,157,173 | 0.19 | |||||||||
Other Securities (1) | 1,282,051,000 | 1,318,003,370 | 12.43 | |||||||||
|
|
|
| |||||||||
Total Financials | 1,338,160,543 | 12.62 | ||||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Various Securities (1)(8) | 127,427,098 | 130,448,138 | 1.23 | |||||||||
|
|
|
| |||||||||
Total Industrials | 130,448,138 | 1.23 | ||||||||||
|
|
|
| |||||||||
Real Estate | ||||||||||||
Various Securities | 9,044,000 | 9,170,022 | 0.09 | |||||||||
|
|
|
| |||||||||
Total Real Estate | 9,170,022 | 0.09 | ||||||||||
|
|
|
| |||||||||
Technology | ||||||||||||
Various Securities (1) | 126,272,000 | 128,166,251 | 1.21 | |||||||||
|
|
|
| |||||||||
Total Technology | 128,166,251 | 1.21 | ||||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities (1) | 248,434,503 | 256,958,411 | 2.42 | |||||||||
|
|
|
| |||||||||
Total Utilities | 256,958,411 | 2.42 | ||||||||||
|
|
|
| |||||||||
Total Corporate Bonds | 3,313,966,721 | 31.26 | ||||||||||
|
|
|
| |||||||||
Government Related | ||||||||||||
Other Government Related | ||||||||||||
Residual Funding Co. Principal Strip, 0.00%, Jul. 2020 | 25,916,000 | 24,255,277 | 0.23 | |||||||||
Other Securities (1) | 306,159,000 | 316,667,676 | 2.99 | |||||||||
|
|
|
| |||||||||
Total Other Government Related | 340,922,953 | 3.22 | ||||||||||
|
|
|
| |||||||||
U.S. Treasury | ||||||||||||
U.S. Treasury Note/Bond, 1.00%, Nov. 2018 | 32,780,000 | 32,668,253 | 0.30 | |||||||||
U.S. Treasury Note/Bond, 1.13%, Sep. 2021 | 62,266,000 | 60,001,074 | 0.56 |
The accompanying notes are an integral part of these financial statements.
16 | Semiannual Report • December 31, 2016 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
U.S. Treasury – (continued) | ||||||||||||
U.S. Treasury Note/Bond, 1.25%, Oct. 2021 | $ | 36,708,000 | $ | 35,559,884 | 0.34 | % | ||||||
U.S. Treasury Note/Bond, 1.38%, Apr. 2021 | 58,075,000 | 56,919,366 | 0.54 | |||||||||
U.S. Treasury Note/Bond, 1.38%, May 2021 | 19,008,000 | 18,613,128 | 0.18 | |||||||||
U.S. Treasury Note/Bond, 1.63%, May 2026 | 31,395,000 | 29,229,844 | 0.28 | |||||||||
U.S. Treasury Note/Bond, 1.75%, Nov. 2021 | 33,037,000 | 32,757,705 | 0.31 | |||||||||
U.S. Treasury Note/Bond, 1.75%, Mar. 2022 | 43,475,000 | 42,850,829 | 0.40 | |||||||||
U.S. Treasury Note/Bond, 2.00%, Dec. 2021 | 19,000,000 | 19,050,483 | 0.18 | |||||||||
U.S. Treasury Note/Bond, 2.00%, Nov. 2026 | 38,394,000 | 36,880,892 | 0.35 | |||||||||
U.S. Treasury Note/Bond, 2.13%, Sep. 2021 | 67,865,000 | 68,400,998 | 0.65 | |||||||||
U.S. Treasury Note/Bond, 2.25%, Nov. 2025 | 68,700,000 | 67,720,475 | 0.64 | |||||||||
U.S. Treasury Note/Bond, 2.50%, May 2024 | 72,150,000 | 73,136,723 | 0.69 | |||||||||
U.S. Treasury Note/Bond, 2.88%, May 2043 | 71,700,000 | 69,106,181 | 0.65 | |||||||||
U.S. Treasury Note/Bond, 2.88%, Aug. 2045 | 21,053,000 | 20,212,017 | 0.19 | |||||||||
U.S. Treasury Note/Bond, 3.00%, May 2045 | 52,943,000 | 52,107,507 | 0.49 | |||||||||
U.S. Treasury Note/Bond, 3.50%, Feb. 2039 | 98,799,100 | 107,845,738 | 1.02 | |||||||||
U.S. Treasury Note/Bond, 4.75%, Feb. 2037 | 28,202,000 | 36,641,900 | 0.35 | |||||||||
U.S. Treasury Note/Bond, 5.25%, Nov. 2028 | 19,540,500 | 24,835,350 | 0.23 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2019 | 20,278,000 | 19,642,122 | 0.19 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2019 | 22,357,000 | 21,528,852 | 0.20 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2020 | 39,615,000 | 37,462,757 | 0.35 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2020 | 25,243,000 | 23,716,934 | 0.22 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Feb. 2022 | 33,917,000 | 30,456,618 | 0.29 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Feb. 2023 | 61,562,000 | 53,623,088 | 0.51 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2023 | 33,770,000 | 29,176,875 | 0.28 | |||||||||
U.S. Treasury Note/Bond, 0.75%–8.75%, Jan. 2017–Nov. 2046 (4) | 396,355,000 | 413,262,708 | 3.89 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2017–Aug. 2041 | 494,282,000 | 375,897,724 | 3.54 | |||||||||
Other Securities (2) | 28,732,411 | 16,436,431 | 0.16 | |||||||||
|
|
|
| |||||||||
Total U.S. Treasury | 1,905,742,456 | 17.98 | ||||||||||
|
|
|
| |||||||||
Total Government Related | 2,246,665,409 | 21.20 | ||||||||||
|
|
|
| |||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae, 2.50%, Jan. 2028 (3) | 37,615,000 | 37,656,376 | 0.36 | |||||||||
Fannie Mae, 3.00%, Jan. 2026 (3) | 23,115,000 | 23,711,367 | 0.22 | |||||||||
Fannie Mae, 3.00%, Jan. 2043 (3) | 85,455,000 | 84,831,178 | 0.80 | |||||||||
Fannie Mae, 3.09%, Apr. 2027 | 23,211,000 | 23,221,371 | 0.22 | |||||||||
Fannie Mae, 3.50%, Jan. 2041 (3) | 44,245,000 | 45,320,153 | 0.43 | |||||||||
Fannie Mae, 3.50%, Apr. 2045 | 18,161,114 | 18,618,560 | 0.18 | |||||||||
Fannie Mae, 3.50%, Jan. 2046 | 19,120,708 | 19,609,950 | 0.18 | |||||||||
Fannie Mae, 4.00%, Jan. 2041 (3) | 61,845,000 | 64,986,726 | 0.61 | |||||||||
Fannie Mae, 4.50%, Jan. 2041 (3) | 19,415,000 | 20,875,008 | 0.20 | |||||||||
Freddie Mac, 2.81%, Jan. 2025 | 29,255,000 | 29,288,123 | 0.28 | |||||||||
Freddie Mac, 3.00%, Jan. 2043 (3) | 33,215,000 | 32,959,244 | 0.31 | |||||||||
Freddie Mac, 3.50%, May 2044 | 22,115,846 | 22,754,643 | 0.21 | |||||||||
Ginnie Mae, 3.00%, Jan. 2043 (3) | 49,500,000 | 50,084,100 | 0.47 | |||||||||
Ginnie Mae, 3.50%, Jan. 2043 (3) | 69,790,000 | 72,497,852 | 0.68 | |||||||||
Ginnie Mae, 3.50%, Apr. 2045 | 23,099,629 | 24,021,079 | 0.23 | |||||||||
Ginnie Mae, 4.00%, Jan. 2042 (3) | 31,325,000 | 33,248,355 | 0.31 | |||||||||
Morgan Stanley Capital I Trust 2016–UB11, 2.53%, Aug. 2049 | 20,000,000 | 18,885,818 | 0.18 | |||||||||
Mortgage Repurchase Agreement Financing Trust Series 2016–4, 1.73%, May 2019 (1) | 23,130,000 | 23,079,739 | 0.22 | |||||||||
Wells Fargo Commercial Mortgage Trust, 2.64%, Nov. 2049 | 20,000,000 | 18,929,222 | 0.18 | |||||||||
Fannie Mae, 0.88%–10.56%, Mar. 2017–Nov. 2048 (3) | 1,066,801,570 | 1,102,913,069 | 10.40 | |||||||||
Fannie Mae, 1.03%–4.33%, Aug. 2019–Sep. 2026 | 84,712,813 | 85,577,167 | 0.81 | |||||||||
Freddie Mac, 2.50%–10.00%, Apr. 2017–Oct. 2046 (3) | 425,468,196 | 441,381,021 | 4.16 | |||||||||
Freddie Mac, 0.88%–5.09%, Jan. 2019–Jan. 2031 | 316,818,895 | 139,936,508 | 1.32 | |||||||||
Ginnie Mae, 3.00%–8.50%, Mar. 2025–May 2063 | 106,271,928 | 111,682,808 | 1.05 | |||||||||
Ginnie Mae, 0.00%–25.84%, Nov. 2020–Dec. 2066 | 208,362,982 | 191,710,259 | 1.81 | |||||||||
Other Securities (1)(7)(8) | 1,205,166,465 | 932,121,955 | 8.80 | |||||||||
|
|
|
| |||||||||
Total Mortgage-Backed Obligations | 3,669,901,651 | 34.62 | ||||||||||
|
|
|
| |||||||||
Total Bonds & Notes | 10,271,549,376 | 96.90 | ||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 17 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
PREFERRED STOCKS | ||||||||||||
Financials | ||||||||||||
Various Securities | 95,000 | $ | 2,376,900 | 0.02 | % | |||||||
|
|
|
| |||||||||
Total Preferred Stocks | 2,376,900 | 0.02 | ||||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Funds – Class I, 0.39% (5)(6) | 410,057,321 | 410,057,321 | 3.87 | |||||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.37% (5)(6) | 409,095,758 | 409,095,758 | 3.86 | |||||||||
|
|
|
| |||||||||
Total Money Market Funds | 819,153,079 | 7.73 | ||||||||||
|
|
|
| |||||||||
Principal Amount | Value | Percentage of Net Assets | ||||||||||
U.S. Treasury Bills | ||||||||||||
U.S. Treasury Bill, 0.00%, May 2017 (4) | $ | 1,500,000 | $ | 1,496,406 | 0.01 | % | ||||||
|
|
|
| |||||||||
Total U.S. Treasury Bills | 1,496,406 | 0.01 | ||||||||||
|
|
|
| |||||||||
Total Short-Term Investments | 820,649,485 | 7.74 | ||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES | 11,094,575,761 | 104.66 | ||||||||||
|
|
|
| |||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (493,537,187 | ) | (4.66 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 10,601,038,574 | 100.00 | % | ||||||||
|
|
|
|
(1) | Security is restricted or includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities totals $1,499,167,903, which represents 14.14% 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 total $7,058,774, which represents 0.07% of total net assets. |
(3) | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities total $507,216,824, which represents 4.78% 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 $3,958,662, which represent 0.04% 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) | Represents annualized seven-day yield as of the close of the reporting period. |
(7) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $34,810,045, which represents 0.33% of total net assets. |
(8) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities total $93,405,642, which represents 0.88% of total net assets. |
Open Futures Contracts
Number of Contracts | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
(1,073) | U.S. 10 Year Note Future | J.P. Morgan | Mar. 2017 | $ | (133,397,111 | ) | $ | (133,353,781 | ) | $ | 43,330 | |||||||||
578 | U.S. 2 Year Note Future | J.P. Morgan | Mar. 2017 | 125,085,236 | 125,245,375 | 160,139 | ||||||||||||||
4,015 | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2017 | 473,178,175 | 472,421,213 | (756,962 | ) | |||||||||||||
204 | U.S. Long Bond Future | J.P. Morgan | Mar. 2017 | 30,914,290 | 30,733,875 | (180,415 | ) | |||||||||||||
(35) | U.S. Ultra Bond Future | J.P. Morgan | Mar. 2017 | (5,491,884 | ) | (5,608,750 | ) | (116,866 | ) | |||||||||||
|
| |||||||||||||||||||
$ | (850,774 | ) | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
18 | Semiannual Report • December 31, 2016 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES | ||||||||||||
Asset-Backed Obligations | ||||||||||||
Various Securities (1) | $ | 439,217,956 | $ | 432,082,024 | 8.20 | % | ||||||
|
|
|
| |||||||||
Total Asset-Backed Obligations | 432,082,024 | 8.20 | ||||||||||
|
|
|
| |||||||||
Corporate Bonds | ||||||||||||
Basic Materials | ||||||||||||
Various Securities (1) | 46,650,000 | 47,033,543 | 0.89 | |||||||||
|
|
|
| |||||||||
Total Basic Materials | 47,033,543 | 0.89 | ||||||||||
|
|
|
| |||||||||
Communications | ||||||||||||
Various Securities (1) | 177,070,000 | 178,357,423 | 3.38 | |||||||||
|
|
|
| |||||||||
Total Communications | 178,357,423 | 3.38 | ||||||||||
|
|
|
| |||||||||
Consumer, Cyclical | ||||||||||||
Various Securities (1)(8) | 173,029,259 | 175,893,813 | 3.34 | |||||||||
|
|
|
| |||||||||
Total Consumer, Cyclical | 175,893,813 | 3.34 | ||||||||||
|
|
|
| |||||||||
Consumer, Non-cyclical | ||||||||||||
Various Securities (1) | 325,702,000 | 322,501,621 | 6.12 | |||||||||
|
|
|
| |||||||||
Total Consumer, Non-cyclical | 322,501,621 | 6.12 | ||||||||||
|
|
|
| |||||||||
Diversified | ||||||||||||
Various Securities | 2,460,000 | 2,443,450 | 0.05 | |||||||||
|
|
|
| |||||||||
Total Diversified | 2,443,450 | 0.05 | ||||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Various Securities (1) | 163,931,000 | 166,834,123 | 3.17 | |||||||||
|
|
|
| |||||||||
Total Energy | 166,834,123 | 3.17 | ||||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Morgan Stanley, 2.45%-7.30%, Jan. 2017-Apr. 2027 | 50,675,000 | 52,134,517 | 0.99 | |||||||||
Other Securities (1) | 569,204,000 | 575,706,881 | 10.92 | |||||||||
|
|
|
| |||||||||
Total Financials | 627,841,398 | 11.91 | ||||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Various Securities (1) | 104,082,000 | 105,008,404 | 1.99 | |||||||||
|
|
|
| |||||||||
Total Industrials | 105,008,404 | 1.99 | ||||||||||
|
|
|
| |||||||||
Real Estate | ||||||||||||
Various Securities (1) | 41,580,000 | 41,692,964 | 0.79 | |||||||||
|
|
|
| |||||||||
Total Real Estate | 41,692,964 | 0.79 | ||||||||||
|
|
|
| |||||||||
Technology | ||||||||||||
Various Securities (1) | 92,689,000 | 92,611,434 | 1.76 | |||||||||
|
|
|
| |||||||||
Total Technology | 92,611,434 | 1.76 | ||||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities (1) | 101,084,000 | 101,992,343 | 1.93 | |||||||||
|
|
|
| |||||||||
Total Utilities | 101,992,343 | 1.93 | ||||||||||
|
|
|
| |||||||||
Total Corporate Bonds | 1,862,210,516 | 35.33 | ||||||||||
|
|
|
| |||||||||
Government Related | ||||||||||||
Other Government Related | ||||||||||||
Various Securities (1) | 19,849,778,203 | 94,809,076 | 1.80 | |||||||||
|
|
|
| |||||||||
Total Other Government Related | 94,809,076 | 1.80 | ||||||||||
|
|
|
| |||||||||
U.S. Treasury | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, Jul. 2026 (2) | 34,748,506 | 33,596,524 | 0.64 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.38%, Jul. 2025 (2) | 22,017,744 | 21,894,797 | 0.41 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, Feb. 2045 (2) | 17,774,367 | 16,718,267 | 0.32 | |||||||||
U.S. Treasury Note/Bond, 0.63%, Jul. 2017 | 22,055,000 | 22,045,406 | 0.42 | |||||||||
U.S. Treasury Note/Bond, 0.63%, Jun. 2018 | 25,000,000 | 24,839,700 | 0.47 | |||||||||
U.S. Treasury Note/Bond, 0.75%, Apr. 2018 | 80,780,000 | 80,507,206 | 1.53 | |||||||||
U.S. Treasury Note/Bond, 0.75%, Sep. 2018 | 21,921,000 | 21,769,131 | 0.41 |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 19 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
U.S. Treasury – (continued) | ||||||||||||
U.S. Treasury Note/Bond, 0.75%, Oct. 2018 | $ | 38,040,000 | $ | 37,759,455 | 0.72 | % | ||||||
U.S. Treasury Note/Bond, 0.88%, May 2018 | 16,750,000 | 16,715,445 | 0.32 | |||||||||
U.S. Treasury Note/Bond, 0.88%, May 2019 | 34,710,000 | 34,366,614 | 0.65 | |||||||||
U.S. Treasury Note/Bond, 1.00%, Nov. 2018 | 42,975,000 | 42,828,498 | 0.81 | |||||||||
U.S. Treasury Note/Bond, 1.13%, Feb. 2021 | 37,479,000 | 36,435,885 | 0.69 | |||||||||
U.S. Treasury Note/Bond, 1.25%, Mar. 2021 | 27,780,000 | 27,114,864 | 0.51 | |||||||||
U.S. Treasury Note/Bond, 1.25%, Oct. 2021 | 32,565,000 | 31,546,465 | 0.60 | |||||||||
U.S. Treasury Note/Bond, 1.38%, Jan. 2021 | 27,352,000 | 26,892,322 | 0.51 | |||||||||
U.S. Treasury Note/Bond, 1.38%, May 2021 | 19,150,000 | 18,752,178 | 0.36 | |||||||||
U.S. Treasury Note/Bond, 1.50%, Dec. 2018 | 72,885,000 | 73,292,646 | 1.39 | |||||||||
U.S. Treasury Note/Bond, 1.50%, Jan. 2019 | 17,620,000 | 17,711,307 | 0.34 | |||||||||
U.S. Treasury Note/Bond, 1.50%, Nov. 2019 | 18,495,000 | 18,524,074 | 0.35 | |||||||||
U.S. Treasury Note/Bond, 1.50%, Jan. 2022 | 36,480,000 | 35,619,473 | 0.68 | |||||||||
U.S. Treasury Note/Bond, 1.75%, Dec. 2020 | 18,211,000 | 18,190,367 | 0.34 | |||||||||
U.S. Treasury Note/Bond, 1.75%, Nov. 2021 | 73,325,000 | 72,705,110 | 1.38 | |||||||||
U.S. Treasury Note/Bond, 2.00%, Dec. 2021 | 90,820,000 | 91,061,309 | 1.73 | |||||||||
U.S. Treasury Note/Bond, 2.00%, Aug. 2025 | 22,884,000 | 22,135,098 | 0.42 | |||||||||
U.S. Treasury Note/Bond, 2.00%, Nov. 2026 | 71,195,000 | 68,389,205 | 1.30 | |||||||||
U.S. Treasury Note/Bond, 2.50%, May 2046 | 21,290,000 | 18,872,968 | 0.36 | |||||||||
U.S. Treasury Note/Bond, 2.88%, Nov. 2046 | 102,569,000 | 98,783,691 | 1.87 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.63%, Jan. 2026 (2) | 10,402,199 | 10,491,897 | 0.20 | |||||||||
U.S. Treasury Note/Bond, 0.50%-3.63%, Apr. 2017-Feb. 2046 (5) | 110,717,000 | 109,717,985 | 2.08 | |||||||||
|
|
|
| |||||||||
Total U.S. Treasury | 1,149,277,887 | 21.81 | ||||||||||
|
|
|
| |||||||||
Total Government Related | 1,244,086,963 | 23.61 | ||||||||||
|
|
|
| |||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae, 2.50%, Jan. 2028 (3) | 16,590,000 | 16,608,249 | 0.32 | |||||||||
Fannie Mae, 3.00%, Jan. 2043 (3) | 21,545,000 | 21,387,721 | 0.41 | |||||||||
Fannie Mae, 3.00%, Jun. 2043 | 17,495,755 | 17,478,410 | 0.33 | |||||||||
Fannie Mae, 3.00%, Oct. 2046 | 21,999,980 | 21,864,419 | 0.41 | |||||||||
Fannie Mae, 3.50%, May 2033 | 15,664,602 | 16,262,054 | 0.31 | |||||||||
Fannie Mae, 3.50%, Jan. 2041 (3) | 59,380,000 | 60,822,934 | 1.15 | |||||||||
Fannie Mae, 3.50%, Aug. 2046 | 14,139,488 | 14,514,558 | 0.28 | |||||||||
Fannie Mae, 4.00%, May 2045 | 21,103,284 | 22,406,058 | 0.43 | |||||||||
Fannie Mae, 4.00%, Jan. 2046 | 21,238,769 | 22,493,758 | 0.43 | |||||||||
Fannie Mae, 4.00%, May 2046 | 23,539,209 | 24,937,858 | 0.47 | |||||||||
Fannie Mae, 4.00%, Sep. 2046 | 22,715,000 | 23,889,405 | 0.45 | |||||||||
Fannie Mae, 4.50%, Aug. 2042 | 28,023,009 | 30,359,604 | 0.58 | |||||||||
Fannie Mae, 4.50%, Sep. 2045 | 19,159,312 | 20,783,141 | 0.39 | |||||||||
Freddie Mac, 2.50%, Dec. 2031 | 16,933,391 | 16,972,319 | 0.32 | |||||||||
Freddie Mac, 3.50%, Oct. 2045 | 17,130,526 | 17,596,781 | 0.33 | |||||||||
Freddie Mac, 3.50%, Mar. 2046 | 26,931,816 | 27,631,579 | 0.52 | |||||||||
Freddie Mac, 3.50%, Aug. 2046 | 36,092,472 | 37,020,366 | 0.70 | |||||||||
Freddie Mac, 4.00%, Sep. 2041 | 20,015,059 | 21,268,035 | 0.40 | |||||||||
Freddie Mac, 4.00%, Nov. 2045 | 19,876,266 | 20,875,856 | 0.40 | |||||||||
Freddie Mac, 4.50%, Feb. 2046 | 18,159,245 | 19,710,228 | 0.37 | |||||||||
Ginnie Mae, 4.50%, May 2044 | 14,331,435 | 15,696,014 | 0.30 | |||||||||
Ginnie Mae, 3.00%, Jan. 2043 (3) | 18,600,000 | 18,819,480 | 0.36 | |||||||||
Ginnie Mae, 3.50%, Jan. 2043 (3) | 18,400,000 | 19,113,920 | 0.36 | |||||||||
Fannie Mae, 2.28%-6.50%, Oct. 2020-Jan. 2047 (3) | 373,300,561 | 388,228,112 | 7.37 | |||||||||
Freddie Mac, 2.50%-8.00%, Jul. 2030-Jan. 2047 | 136,990,030 | 141,247,477 | 2.68 | |||||||||
Ginnie Mae, 2.50%-6.00%, Feb. 2034-Dec. 2046 | 77,878,914 | 80,935,596 | 1.54 | |||||||||
Other Securities (1)(8) | 280,770,854 | 280,588,121 | 5.33 | |||||||||
|
|
|
| |||||||||
Total Mortgage-Backed Obligations | 1,419,512,053 | 26.94 | ||||||||||
|
|
|
| |||||||||
Total Bonds & Notes | 4,957,891,556 | 94.08 | ||||||||||
|
|
|
| |||||||||
BANK LOANS | ||||||||||||
Various Securities (6)(8) | 91,217,420 | 91,930,615 | 1.74 | |||||||||
|
|
|
| |||||||||
Total Bank Loans | 91,930,615 | 1.74 | ||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
20 | Semiannual Report • December 31, 2016 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
PREFERRED STOCKS | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Various Securities | 1,504 | $ | 1,000,854 | 0.02 | % | |||||||
|
|
|
| |||||||||
Total Consumer, Non-cyclical | 1,000,854 | 0.02 | ||||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Various Securities | 349,790 | 9,172,818 | 0.18 | |||||||||
|
|
|
| |||||||||
Total Financials | 9,172,818 | 0.18 | ||||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Various Securities | 26,350 | 647,156 | 0.01 | |||||||||
|
|
|
| |||||||||
Total Industrials | 647,156 | 0.01 | ||||||||||
|
|
|
| |||||||||
Total Preferred Stocks | 10,820,828 | 0.21 | ||||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Funds – Class I , 0.39% (4)(7) | 194,970,144 | 194,970,144 | 3.70 | |||||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I , 0.37% (4)(7) | 189,059,665 | 189,059,665 | 3.59 | |||||||||
|
|
|
| |||||||||
Total Money Market Funds | 384,029,809 | 7.29 | ||||||||||
|
|
|
| |||||||||
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Certificate of Deposit | ||||||||||||
Credit Suisse AG, 1.75% | $ | 2,940,000 | $ | 2,943,984 | 0.05 | % | ||||||
|
|
|
| |||||||||
Commercial Paper | ||||||||||||
Enbridge Energy Partners LP | 3,140,000 | 3,136,113 | 0.06 | |||||||||
Ford Credit Co. LLC | 1,490,000 | 1,471,808 | 0.03 | |||||||||
|
|
|
| |||||||||
Total Commercial Paper | 4,607,921 | 0.09 | ||||||||||
|
|
|
| |||||||||
U.S. Treasury Bills | ||||||||||||
U.S. Treasury Bill, 0.00%, Jan. 2017 | 9,425,000 | 9,424,058 | 0.18 | |||||||||
U.S. Treasury Bill, 0.00%, Mar. 2017 | 15,716,000 | 15,700,284 | 0.30 | |||||||||
U.S. Treasury Bill, 0.00%, Apr. 2017 (5) | 1,525,000 | 1,522,924 | 0.03 | |||||||||
U.S. Treasury Bill, 0.00%, Jun. 2017 | 25,296,000 | 25,222,009 | 0.48 | |||||||||
U.S. Treasury Bill, 0.00%, Nov. 2017 | 28,252,000 | 28,058,163 | 0.53 | |||||||||
|
|
|
| |||||||||
Total U.S. Treasury Bills | 79,927,438 | 1.52 | ||||||||||
|
|
|
| |||||||||
Total Short-Term Investments | 471,509,152 | 8.95 | ||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES | 5,532,152,151 | 104.98 | ||||||||||
|
|
|
| |||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (262,274,125 | ) | (4.98 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 5,269,878,026 | 100.00 | % | ||||||||
|
|
|
|
(1) | Includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities totals $683,775,297, which represents 12.98% of total net assets. |
(2) | Inflation protected security or includes inflation protected securities. The value of these securities total $82,701,485 which represents 1.57% of total net assets. |
(3) | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities total $159,416,874, which represents 3.03% 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 $3,395,379, which represents 0.06% of total net assets. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 21 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
(6) | Includes securities that are treated as illiquid by the Fund. The value of this security totals $579,566, which represents 0.01% of total net assets. |
(7) | Represents annualized seven-day yield as of the close of the reporting period. |
(8) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities total $10,389,375, which represents 0.20% of total net assets. |
Open Futures Contracts
Number of Contracts | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
(307) | U.S. 10 Year Note Future | Goldman Sachs | Mar. 2017 | $ | (38,237,798 | ) | $ | (38,154,344 | ) | $ | 83,454 | |||||||||
206 | U.S. 2 Year Note Future | Goldman Sachs | Mar. 2017 | 44,683,020 | 44,637,625 | (45,395 | ) | |||||||||||||
595 | U.S. 5 Year Note Future | Goldman Sachs | Mar. 2017 | 70,166,820 | 70,010,117 | (156,703 | ) | |||||||||||||
60 | U.S. Ultra Bond Future | Goldman Sachs | Mar. 2017 | 9,702,753 | 9,615,000 | (87,753 | ) | |||||||||||||
207 | U.S. Long Bond Future | Goldman Sachs | Mar. 2017 | 31,350,544 | 31,185,844 | (164,700 | ) | |||||||||||||
(239) | U.S. 10 Year Ultra Bond Future | Goldman Sachs | Mar. 2017 | �� | (32,098,320 | ) | (32,040,938 | ) | 57,382 | |||||||||||
232 | U.S. 2 Year Note Future | Citigroup | Mar. 2017 | 50,288,271 | 50,271,500 | (16,771 | ) | |||||||||||||
889 | U.S. 5 Year Note Future | Citigroup | Mar. 2017 | 104,934,228 | 104,603,352 | (330,876 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (661,362 | ) | ||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Over-the-Counter
Purchase Contracts | Counterparty | Currency | Currency Amount Purchased | Value at Settlement Date | Value at December 31, 2016 | Unrealized (Depreciation) | ||||||||||||||
Mexican Peso, Expiring 01/20/17 | Canadian Imperial Bank of Commerce | MXN | 8,145,000 | $ | 392,124 | $ | 391,615 | $ | (509 | ) | ||||||||||
Sales Contracts | Counterparty | Currency | Currency Amount Sold | Value at Settlement Date | Value at December 31, 2016 | Unrealized Appreciation | ||||||||||||||
Mexican Peso, Expiring 01/20/17 | Royal Bank of Canada | MXN | (27,765,000 | ) | $ | (1,495,613 | ) | $ | (1,334,953 | ) | $ | 160,660 | ||||||||
Mexican Peso, Expiring 01/20/17 | Royal Bank of Canada | MXN | (30,430,000 | ) | (1,488,820 | ) | (1,463,088 | ) | 25,732 | |||||||||||
Mexican Peso, Expiring 01/20/17 | Royal Bank of Canada | MXN | (98,055,000 | ) | (5,198,616 | ) | (4,714,527 | ) | 484,089 | |||||||||||
|
|
|
|
|
| |||||||||||||||
(8,183,049 | ) | (7,512,568 | ) | 670,481 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | (7,790,925 | ) | $ | (7,120,953 | ) | $ | 669,972 | |||||||||||||
|
|
|
|
|
|
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 High Yield Index Series 27 | 5.00% | 12/20/2021 | 3.63% | $ | 5,300,000 | $ | 308,785 | $ | 19,083 |
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 Appreciation/ (Depreciation) | |||||||||||||||||
Goldman Sachs | Markit CMBX North America AAA CDSI Series 9 | 0.50% | 09/17/2058 | 1.09 | % | $ | 4,000,000 | $ | (193,164 | ) | $ | 105,288 | ||||||||||||
Goldman Sachs | Markit CDX North America Emerging Markets Index Series 26 | 1.00% | 12/20/2021 | 2.34 | 3,400,000 | (205,477 | ) | (7,963 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 7,400,000 | $ | (398,641 | ) | $ | 97,325 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
22 | Semiannual Report • December 31, 2016 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
MUNICIPAL BONDS | ||||||||||||
Education | ||||||||||||
Connecticut State Health & Educational Facility Authority, 1.00%, Jul. 2042 | $ | 28,000,000 | $ | 27,490,680 | 1.27 | % | ||||||
Cypress-Fairbanks Independent School District, 3.00%, Feb. 2040 | 9,000,000 | 9,148,090 | 0.42 | |||||||||
Dallas Independent School District, 5.00%, Feb. 2036 | 5,000,000 | 5,691,350 | 0.26 | |||||||||
School Board of Miami-Dade County/The, 5.00%, May 2031 | 5,000,000 | 5,680,150 | 0.26 | |||||||||
State Public School Building Authority, 5.00%, Dec. 2022 | 7,370,000 | 8,276,584 | 0.38 | |||||||||
University of Akron/The, 5.00%, Jan. 2037 | 6,675,000 | 7,403,510 | 0.34 | |||||||||
Virginia Public School Authority, 5.00%, Aug. 2021 | 6,000,000 | 6,802,320 | 0.31 | |||||||||
Connecticut State Health & Educational Facility Authority, 2.00%, Jul. 2042 (3) | 1,000,000 | 944,160 | 0.04 | |||||||||
New Jersey Economic Development Authority, 5.00%, Jun. 2019 (3) | 4,500,000 | 4,715,955 | 0.22 | |||||||||
New York State Dormitory Authority, 5.00%, Aug. 2018 (3) | 1,425,000 | 1,511,127 | 0.07 | |||||||||
State Public School Building Authority, 4.00%–5.25%, Dec. 2020–Dec. 2032 (3) | 13,150,000 | 14,594,444 | 0.67 | |||||||||
Other Securities (1) | 189,245,000 | 203,028,407 | 9.38 | |||||||||
|
|
|
| |||||||||
Total Education | 295,286,777 | 13.62 | ||||||||||
|
|
|
| |||||||||
General Obligation | ||||||||||||
City of New York NY, 5.00%, Aug. 2017 | 6,365,000 | 6,514,323 | 0.30 | |||||||||
City of New York NY, 5.00%, Aug. 2021 | 6,000,000 | 6,788,280 | 0.31 | |||||||||
City of New York NY, 5.00%, Aug. 2028 | 9,250,000 | 10,852,073 | 0.50 | |||||||||
City of Philadelphia PA, 5.00%, Aug. 2028 | 6,000,000 | 6,837,720 | 0.32 | |||||||||
Commonwealth of Massachusetts, 1.05%, Aug. 2043 | 10,500,000 | 10,353,525 | 0.48 | |||||||||
Commonwealth of Massachusetts, 4.00%, Dec. 2017 | 6,015,000 | 6,176,142 | 0.29 | |||||||||
Commonwealth of Pennsylvania, 5.00%, Mar. 2023 | 9,970,000 | 11,410,266 | 0.53 | |||||||||
County of Pima AZ, 4.00%, Jul. 2022 | 13,160,000 | 14,421,254 | 0.66 | |||||||||
County of Suffolk NY, 2.00%, Jul. 2017 | 13,400,000 | 13,452,394 | 0.62 | |||||||||
Dallas County Community College District, 5.00%, Feb. 2021 | 7,610,000 | 8,583,547 | 0.40 | |||||||||
Dallas County Community College District, 5.00%, Feb. 2022 | 7,665,000 | 8,792,828 | 0.40 | |||||||||
Metropolitan Government of Nashville & Davidson County TN, 5.00%, Jul. 2017 | 8,000,000 | 8,160,800 | 0.37 | |||||||||
State of Connecticut, 5.00%, Aug. 2019 | 20,380,000 | 21,974,327 | 1.01 | |||||||||
State of Connecticut, 5.00%, Sep. 2022 | 5,725,000 | 6,472,055 | 0.30 | |||||||||
State of Maryland, 5.00%, Mar. 2020 | 6,000,000 | 6,642,780 | 0.31 | |||||||||
State of Texas, 5.00%, Apr. 2027 | 5,000,000 | 6,011,600 | 0.28 | |||||||||
State of Washington, 5.00%, Jul. 2031 | 5,000,000 | 5,755,500 | 0.27 | |||||||||
City of New York NY, 0.75%–5.00%, Aug. 2018–Aug. 2034 | 14,555,000 | 15,502,284 | 0.72 | |||||||||
Commonwealth of Massachusetts, 4.00%–5.00%, Aug. 2019–Mar. 2046 | 4,705,000 | 5,455,597 | 0.25 | |||||||||
Commonwealth of Pennsylvania, 5.00%–5.00%, Apr. 2017–Mar. 2031 (3) | 13,175,000 | 14,766,508 | 0.68 | |||||||||
State of California, 1.19%–5.00%, Aug. 2017–Sep. 2035 | 21,495,000 | 23,333,438 | 1.08 | |||||||||
State of Connecticut, 5.00%, Aug. 2031 | 4,625,000 | 5,244,704 | 0.24 | |||||||||
State of Illinois, 5.00%–5.50%, Jan. 2017–Jul. 2038 | 24,680,000 | 25,085,665 | 1.16 | |||||||||
State Public School Building Authority, 5.00%, Jun. 2029 (3) | 500,000 | 569,525 | 0.03 | |||||||||
Other Securities (5) | 259,515,000 | 284,468,120 | 13.11 | |||||||||
|
|
|
| |||||||||
Total General Obligation | 533,625,255 | 24.62 | ||||||||||
|
|
|
| |||||||||
General Revenue | ||||||||||||
California State Public Works Board, 4.00%, May 2017 | 11,315,000 | 11,430,752 | 0.53 | |||||||||
California State Public Works Board, 5.00%, May 2018 | 15,265,000 | 16,017,259 | 0.74 | |||||||||
Industrial Development Authority of the City of Phoenix/The, 0.90%, Dec. 2035 | 7,300,000 | 7,298,978 | 0.34 | |||||||||
Industrial Development Board of the City of Mobile Alabama, 1.63%, Jul. 2034 | 11,500,000 | 11,497,010 | 0.53 | |||||||||
Louisiana Public Facilities Authority, 5.00%, Jun. 2021 | 7,695,000 | 8,605,088 | 0.40 | |||||||||
Texas Municipal Gas Acquisition & Supply Corp., 6.25%, Dec. 2026 | 5,270,000 | 6,173,489 | 0.28 | |||||||||
Utah Transit Authority, 0.00%, Jun. 2035 | 16,935,000 | 6,854,780 | 0.32 | |||||||||
California State Public Works Board, 5.00%, Nov. 2037 | 235,000 | 259,135 | 0.01 | |||||||||
Commonwealth of Pennsylvania, 5.00%–5.00%, Nov. 2020–Nov. 2021 (3) | 4,800,000 | 5,297,536 | 0.24 | |||||||||
Illinois Finance Authority, 4.00%–8.00%, May 2023–May 2047 (3) | 4,590,000 | 4,919,604 | 0.22 | |||||||||
New Jersey Economic Development Authority, 4.00%–5.63%, Jan. 2020–Jan. 2052 (3) | 19,040,000 | 20,100,806 | 0.93 | |||||||||
New York State Dormitory Authority, 5.00%, Mar. 2018–Mar. 2027 (3) | 13,000,000 | 14,337,295 | 0.66 | |||||||||
Other Securities (1)(2)(5) | 326,000,000 | 337,207,001 | 15.56 | |||||||||
|
|
|
| |||||||||
Total General Revenue | 449,998,733 | 20.76 | ||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 23 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Healthcare | ||||||||||||
District of Columbia, 0.80%, Nov. 2042 | $ | 8,000,000 | $ | 8,000,000 | 0.37 | % | ||||||
Illinois Finance Authority, 0.72%, Jul. 2032 | 9,500,000 | 9,500,000 | 0.44 | |||||||||
Indiana Health Facility Financing Authority, 4.00%, Nov. 2027 | 7,410,000 | 7,535,229 | 0.35 | |||||||||
Michigan State Hospital Finance Authority, 1.40%, Nov. 2047 | 7,565,000 | 7,581,643 | 0.35 | |||||||||
Michigan State Hospital Finance Authority, 1.50%, Nov. 2047 | 6,000,000 | 6,006,240 | 0.28 | |||||||||
New York State Dormitory Authority, 5.00%, May 2024 | 4,870,000 | 5,679,881 | 0.26 | |||||||||
Connecticut State Health & Educational Facility Authority, 4.00%–5.00%, Jul. 2043–Jul. 2046 (3) | 2,630,000 | 2,608,385 | 0.12 | |||||||||
Illinois Finance Authority, 4.00%–5.50%, Feb. 2017–Dec. 2046 (3) | 27,435,000 | 29,022,197 | 1.34 | |||||||||
New York State Dormitory Authority, 5.00%, Jul. 2022–Jul. 2025 (3) | 1,000,000 | 1,154,160 | 0.05 | |||||||||
Other Securities (1)(2)(5) | 205,715,000 | 216,689,067 | 10.00 | |||||||||
|
|
|
| |||||||||
Total Healthcare | 293,776,802 | 13.56 | ||||||||||
|
|
|
| |||||||||
Housing | ||||||||||||
Various Securities (1) | 66,415,000 | 66,853,999 | 3.09 | |||||||||
|
|
|
| |||||||||
Total Housing | 66,853,999 | 3.09 | ||||||||||
|
|
|
| |||||||||
Transportation | ||||||||||||
Chicago Transit Authority, 5.00%, Jun. 2026 | 8,275,000 | 9,122,691 | 0.42 | |||||||||
Illinois State Toll Highway Authority, 5.00%, Jan. 2041 | 10,625,000 | 11,703,969 | 0.54 | |||||||||
New York State Thruway Authority, 5.00%, May 2019 | 23,275,000 | 25,076,951 | 1.16 | |||||||||
North Texas Tollway Authority, 5.00%, Jan. 2045 | 5,000,000 | 5,522,400 | 0.25 | |||||||||
Texas Transportation Commission State Highway Fund, 5.00%, Oct. 2023 | 5,000,000 | 5,885,950 | 0.27 | |||||||||
Other Securities | 177,055,000 | 192,747,874 | 8.90 | |||||||||
|
|
|
| |||||||||
Total Transportation | 250,059,835 | 11.54 | ||||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
County of King WA Sewer Revenue, 0.73%, Jan. 2032 | 8,250,000 | 8,250,000 | 0.38 | |||||||||
County of Pima AZ Sewer System Revenue, 5.00%, Jul. 2022 | 10,000,000 | 11,524,100 | 0.53 | |||||||||
Michigan Finance Authority, 5.00%, Oct. 2025 | 5,000,000 | 6,036,650 | 0.28 | |||||||||
Municipal Electric Authority of Georgia, 5.00%, Jan. 2020 | 5,075,000 | 5,548,599 | 0.26 | |||||||||
New York City Water & Sewer System, 0.94%, Jun. 2032 | 7,000,000 | 7,000,000 | 0.32 | |||||||||
New York City Water & Sewer System, 5.00%, Jun. 2031 | 6,075,000 | 7,073,791 | 0.33 | |||||||||
Piedmont Municipal Power Agency, 5.00%, Jan. 2017 | 13,185,000 | 13,185,000 | 0.61 | |||||||||
South Carolina Public Service Authority, 5.00%, Dec. 2050 | 8,640,000 | 9,321,696 | 0.43 | |||||||||
Other Securities | 115,045,000 | 124,627,684 | 5.75 | |||||||||
|
|
|
| |||||||||
Total Utilities | 192,567,520 | 8.89 | ||||||||||
|
|
|
| |||||||||
Total Municipal Bonds | 2,082,168,921 | 96.08 | ||||||||||
|
|
|
| |||||||||
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Funds – Class I 0.39% (4) | 31,140,587 | $ | 31,140,587 | 1.44 | % | |||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I 0.37% (4) | 31,140,586 | 31,140,586 | 1.43 | |||||||||
|
|
|
| |||||||||
Total Short-Term Investments | 62,281,173 | 2.87 | ||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES | 2,144,450,094 | 98.95 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 22,684,213 | 1.05 | ||||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 2,167,134,307 | 100.00 | % | ||||||||
|
|
|
|
(1) | Includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities total $24,229,056, which represents 1.12% of total net assets. |
(2) | Includes a security that is treated as illiquid by the Fund. The value of these securities totals $9,149,009, which represents 0.42% of total net assets. |
The accompanying notes are an integral part of these financial statements.
24 | Semiannual Report • December 31, 2016 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
(3) | Issuer includes securities in multiple categories. 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. |
(5) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities total $12,110,605, which represents 0.56% of total net assets. |
State/U.S. Territory | Percentage of Net Assets | |||
Alabama | 1.04 | % | ||
Alaska | 0.21 | |||
Arizona | 2.47 | |||
Arkansas | 0.05 | |||
California | 4.66 | |||
Colorado | 1.13 | |||
Connecticut | 4.18 | |||
Delaware | 0.31 | |||
District of Columbia | 0.67 | |||
Florida | 6.20 | |||
Georgia | 1.70 | |||
Guam | 0.07 | |||
Hawaii | 0.11 | |||
Idaho | 0.45 | |||
Illinois | 8.87 | |||
Indiana | 2.38 | |||
Iowa | 0.38 | |||
Kansas | 0.23 | |||
Kentucky | 0.84 | |||
Louisiana | 1.26 | |||
Maine | 0.12 | |||
Maryland | 2.49 | |||
Massachusetts | 2.73 | |||
Michigan | 3.50 | |||
Minnesota | 1.29 | |||
Mississippi | 0.66 | |||
Missouri | 0.61 | |||
Nebraska | 0.05 | |||
Nevada | 0.82 | |||
New Hampshire | 0.33 |
State/U.S. Territory | Percentage of Net Assets | |||
New Jersey | 3.48 | % | ||
New Mexico | 0.24 | |||
New York | 9.58 | |||
North Carolina | 2.44 | |||
North Dakota | 0.02 | |||
Ohio | 1.83 | |||
Oklahoma | 0.59 | |||
Oregon | 0.70 | |||
Pennsylvania | 6.92 | |||
Puerto Rico | 0.20 | |||
Rhode Island | 0.43 | |||
South Carolina | 1.60 | |||
South Dakota | 0.21 | |||
Tennessee | 1.16 | |||
Texas | 10.31 | |||
Utah | 0.32 | |||
Vermont | 0.09 | |||
Virgin Islands | 0.15 | |||
Virginia | 3.03 | |||
Washington | 2.14 | |||
West Virginia | 0.34 | |||
Wisconsin | 0.49 | |||
|
| |||
Total Municipal Bonds | 96.08 | |||
|
| |||
SHORT-TERM INVESTMENTS | 2.87 | |||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 98.95 | |||
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.05 | |||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 25 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Amazon.com, Inc. (1) | 117,217 | $ | 87,897,512 | 2.96 | % | |||||||
AutoZone, Inc. (1) | 26,880 | 21,229,555 | 0.71 | |||||||||
Chipotle Mexican Grill, Inc. (1) | 62,564 | 23,606,648 | 0.79 | |||||||||
Lowes Companies, Inc. | 837,813 | 59,585,261 | 2.01 | |||||||||
Nike, Inc. | 700,519 | 35,607,381 | 1.20 | |||||||||
Starbucks Corp. | 890,466 | 49,438,672 | 1.66 | |||||||||
The Priceline Group, Inc. (1) | 24,620 | 36,094,397 | 1.21 | |||||||||
Other Securities (1) | 3,544,406 | 190,494,141 | 6.41 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 503,953,567 | 16.95 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Coca Cola Co. | 495,060 | 20,525,188 | 0.69 | |||||||||
Colgate Palmolive Co. | 434,677 | 28,445,263 | 0.96 | |||||||||
Costco Wholesale Corp. | 207,050 | 33,150,775 | 1.12 | |||||||||
Molson Coors Brewing Co. | 244,360 | 23,778,672 | 0.80 | |||||||||
Mondelez International, Inc. | 678,175 | 30,063,498 | 1.01 | |||||||||
Procter & Gamble Co. | 336,451 | 28,288,800 | 0.95 | |||||||||
Whole Foods Market, Inc. | 706,559 | 21,733,755 | 0.73 | |||||||||
Other Securities (1) | 1,544,314 | 81,114,487 | 2.73 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 267,100,438 | 8.99 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Core Laboratories NV | 202,731 | 24,335,829 | 0.82 | |||||||||
Schlumberger Ltd. | 674,566 | 56,629,816 | 1.91 | |||||||||
Other Securities (1) | 293,034 | 28,386,014 | 0.95 | |||||||||
|
|
|
| |||||||||
Total Energy |
| 109,351,659 | 3.68 | |||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Bank of America Corp. | 1,702,150 | 37,617,515 | 1.27 | |||||||||
Intercontinental Exchange, Inc. | 658,158 | 37,133,274 | 1.25 | |||||||||
Other Securities (1) | 1,655,531 | 104,877,077 | 3.52 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 179,627,866 | 6.04 | |||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
Allergan Plc (1) | 119,579 | 25,112,786 | 0.85 | |||||||||
Bristol Myers Squibb Co. | 577,881 | 33,771,366 | 1.14 | |||||||||
Celgene Corp. (1) | 222,802 | 25,789,331 | 0.87 | |||||||||
Cerner Corp. (1) | 734,254 | 34,781,612 | 1.17 | |||||||||
Johnson & Johnson | 209,760 | 24,166,450 | 0.81 | |||||||||
Novo Nordisk A/S – ADR | 619,985 | 22,232,662 | 0.75 | |||||||||
Pfizer, Inc. | 913,305 | 29,664,146 | 1.00 | |||||||||
Regeneron Pharmaceuticals, Inc. (1) | 61,712 | 22,653,858 | 0.76 | |||||||||
Zoetis, Inc. | 549,371 | 29,407,830 | 0.99 | |||||||||
Other Securities (1) | 1,785,018 | 185,482,403 | 6.23 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 433,062,444 | 14.57 | |||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Raytheon Co. | 167,791 | 23,826,322 | 0.80 | |||||||||
Union Pacific Corp. | 286,125 | 29,665,440 | 1.00 |
Shares | Value | Percentage of Net Assets | ||||||||||
United Technologies Corp. | 208,525 | $ | 22,858,510 | 0.77 | % | |||||||
Other Securities (1) | 1,904,579 | 172,232,348 | 5.79 | |||||||||
|
|
|
| |||||||||
Total Industrials |
| 248,582,620 | 8.36 | |||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Adobe Systems, Inc. (1) | 194,910 | 20,065,984 | 0.68 | |||||||||
Alliance Data Systems Corp. | 97,640 | 22,310,740 | 0.75 | |||||||||
Alphabet, Inc. – | 138,213 | 109,526,892 | 3.69 | |||||||||
Alphabet, Inc. – | 62,968 | 48,599,962 | 1.64 | |||||||||
Apple, Inc. | 1,001,948 | 116,045,617 | 3.90 | |||||||||
Automatic Data Processing, Inc. | 269,426 | 27,691,604 | 0.93 | |||||||||
Cisco Systems, Inc. | 909,495 | 27,484,939 | 0.93 | |||||||||
eBay, Inc. (1) | 821,912 | 24,402,567 | 0.82 | |||||||||
Facebook, Inc. (1) | 649,315 | 74,703,691 | 2.51 | |||||||||
FleetCor Technologies, Inc. (1) | 209,561 | 29,657,073 | 1.00 | |||||||||
Mastercard, Inc. | 225,653 | 23,298,672 | 0.78 | |||||||||
Microsoft Corp. | 1,626,877 | 101,094,137 | 3.40 | |||||||||
Red Hat, Inc. (1) | 732,747 | 51,072,466 | 1.72 | |||||||||
Salesforce.com, Inc. (1) | 610,132 | 41,769,637 | 1.41 | |||||||||
SAP SE – ADR | 254,764 | 22,019,252 | 0.74 | |||||||||
Vantiv, Inc. (1) | 413,363 | 24,644,702 | 0.83 | |||||||||
Visa, Inc. | 759,196 | 59,232,472 | 1.99 | |||||||||
Other Securities (1) | 3,210,553 | 186,812,542 | 6.27 | |||||||||
|
|
|
| |||||||||
Total Information Technology | 1,010,432,949 | 33.99 | ||||||||||
|
|
|
| |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Ecolab, Inc. | 256,265 | 30,039,383 | 1.01 | |||||||||
Other Securities (1) | 210,824 | 17,626,681 | 0.60 | |||||||||
|
|
|
| |||||||||
Total Materials | 47,666,064 | 1.61 | ||||||||||
|
|
|
| |||||||||
Real Estate | ||||||||||||
Equinix, Inc. | 63,684 | 22,761,298 | 0.77 | |||||||||
Other Securities (1) | 265,014 | 15,984,162 | 0.53 | |||||||||
|
|
|
| |||||||||
Total Real Estate | 38,745,460 | 1.30 | ||||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
AT&T, Inc. | 685,990 | 29,175,155 | 0.98 | |||||||||
Other Securities (1) | 68,158 | 3,675,792 | 0.13 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services | 32,850,947 | 1.11 | ||||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities | 1,173 | 89,840 | 0.00 | (2) | ||||||||
|
|
|
| |||||||||
Total Utilities | 89,840 | 0.00 | (2) | |||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 2,871,463,854 | 96.60 | |||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
26 | Semiannual Report • December 31, 2016 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I , 0.45% (3) | 53,194,096 | $ | 53,194,096 | 1.79 | % | |||||||
JPMorgan U.S. Government Money Market Fund – Class I , 0.44% (3) | 53,194,096 | 53,194,096 | 1.79 | |||||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 106,388,192 | 3.58 | |||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES |
| 2,977,852,046 | 100.18 | |||||||||
|
|
|
| |||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (5,229,263 | ) | (0.18 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 2,972,622,783 | 100.00 | % | ||||||||
|
|
|
|
ADR American Depository Receipt
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Amount calculated is less than 0.005%. |
(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’s Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 27 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Michelin | 222,703 | $ | 24,755,484 | 0.72 | % | |||||||
Nike, Inc. | 740,586 | 37,643,986 | 1.09 | |||||||||
TJX Companies, Inc. | 326,563 | 24,534,678 | 0.71 | |||||||||
Other Securities (1) | 6,877,175 | 265,275,545 | 7.68 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 352,209,693 | 10.20 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Coca Cola Co. | 651,028 | 26,991,621 | 0.78 | |||||||||
Colgate Palmolive Co. | 409,918 | 26,825,034 | 0.78 | |||||||||
Costco Wholesale Corp. | 234,423 | 37,533,467 | 1.09 | |||||||||
CVS Health Corp. | 452,950 | 35,742,285 | 1.03 | |||||||||
PepsiCo, Inc. | 229,588 | 24,021,792 | 0.70 | |||||||||
Other Securities (1) | 2,066,721 | 136,095,395 | 3.94 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 287,209,594 | 8.32 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Apache Corp. | 425,482 | 27,005,343 | 0.78 | |||||||||
Chevron Corp. | 226,533 | 26,662,934 | 0.77 | |||||||||
Devon Energy Corp. | 954,838 | 43,607,451 | 1.26 | |||||||||
Exxon Mobil Corp. | 357,440 | 32,262,534 | 0.93 | |||||||||
Hess Corp. | 863,494 | 53,787,041 | 1.56 | |||||||||
Occidental Petroleum Corp. | 590,732 | 42,077,840 | 1.22 | |||||||||
Schlumberger Ltd. | 283,773 | 23,822,743 | 0.69 | |||||||||
Other Securities (1) | 2,778,505 | 100,844,488 | 2.93 | |||||||||
|
|
|
| |||||||||
Total Energy |
| 350,070,374 | 10.14 | |||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Alleghany Corp. (1) | 38,158 | 23,204,643 | 0.67 | |||||||||
American Express Co. | 509,054 | 37,710,720 | 1.09 | |||||||||
Bank of America Corp. | 1,311,010 | 28,973,321 | 0.84 | |||||||||
Berkshire Hathaway, Inc. (1) | 365,816 | 59,620,692 | 1.73 | |||||||||
Chubb Ltd. | 385,201 | 50,892,756 | 1.47 | |||||||||
Citigroup, Inc. | 1,075,823 | 63,936,161 | 1.85 | |||||||||
JPMorgan Chase & Co. | 394,053 | 34,002,833 | 0.99 | |||||||||
PNC Financial Services Group, Inc. | 373,195 | 43,648,887 | 1.26 | |||||||||
The Goldman Sachs Group, Inc. | 108,585 | 26,000,678 | 0.75 | |||||||||
Wells Fargo & Co. | 796,860 | 43,914,955 | 1.27 | |||||||||
Other Securities (1) | 9,000,094 | 294,182,141 | 8.52 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 706,087,787 | 20.44 | |||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
Allergan Plc (1) | 115,693 | 24,296,687 | 0.70 | |||||||||
Cardinal Health, Inc. | 607,150 | 43,696,586 | 1.27 | |||||||||
Johnson & Johnson | 343,157 | 39,535,118 | 1.15 | |||||||||
Medtronic Plc | 834,603 | 59,448,772 | 1.72 | |||||||||
Merck & Co., Inc. | 679,993 | 40,031,188 | 1.16 | |||||||||
UnitedHealth Group, Inc. | 255,258 | 40,851,490 | 1.18 | |||||||||
Other Securities (1) | 2,989,670 | 182,440,512 | 5.28 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 430,300,353 | 12.46 | |||||||||
|
|
|
|
Shares | Value | Percentage of Net Assets | ||||||||||
Industrials | ||||||||||||
Air Lease Corp. | 998,925 | $ | 34,293,095 | 0.99 | % | |||||||
Canadian National Railway Co. | 372,272 | 25,091,133 | 0.73 | |||||||||
Honeywell International, Inc. | 284,960 | 33,012,616 | 0.96 | |||||||||
Union Pacific Corp. | 261,688 | 27,131,812 | 0.78 | |||||||||
United Parcel Service, Inc. | 257,966 | 29,573,222 | 0.86 | |||||||||
United Technologies Corp. | 364,704 | 39,978,852 | 1.16 | |||||||||
Other Securities (1) | 2,766,300 | 206,579,614 | 5.97 | |||||||||
|
|
|
| |||||||||
Total Industrials |
| 395,660,344 | 11.45 | |||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Accenture Plc | 215,280 | 25,215,746 | 0.73 | |||||||||
Alphabet, Inc. – Class C (1) | 33,732 | 26,035,032 | 0.75 | |||||||||
Apple, Inc. | 361,636 | 41,884,681 | 1.21 | |||||||||
Automatic Data Processing, Inc. | 263,187 | 27,050,360 | 0.78 | |||||||||
Microsoft Corp. | 815,544 | 50,677,904 | 1.47 | |||||||||
Oracle Corp. | 873,851 | 33,599,571 | 0.97 | |||||||||
Qualcomm, Inc. | 462,750 | 30,171,300 | 0.87 | |||||||||
Samsung Electronic Co. Ltd. | 23,487 | 34,956,010 | 1.01 | |||||||||
Visa, Inc. | 326,434 | 25,468,381 | 0.74 | |||||||||
Other Securities (1) | 1,914,136 | 87,087,778 | 2.53 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 382,146,763 | 11.06 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Celanese Corp. | 403,642 | 31,782,771 | 0.92 | |||||||||
Goldcorp, Inc. | 2,203,043 | 29,961,385 | 0.87 | |||||||||
Lyondellbasell Industries NV | 480,510 | 41,218,148 | 1.19 | |||||||||
Other Securities (1) | 7,448,039 | 152,131,868 | 4.41 | |||||||||
|
|
|
| |||||||||
Total Materials |
| 255,094,172 | 7.39 | |||||||||
|
|
|
| |||||||||
Real Estate | ||||||||||||
Public Storage | 103,871 | 23,215,169 | 0.67 | |||||||||
Other Securities (1) | 634,979 | 39,465,297 | 1.14 | |||||||||
|
|
|
| |||||||||
Total Real Estate |
| 62,680,466 | 1.81 | |||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 566,642 | 24,969,514 | 0.72 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 24,969,514 | 0.72 | |||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities (1) | 405,539 | 20,370,685 | 0.59 | |||||||||
|
|
|
| |||||||||
Total Utilities |
| 20,370,685 | 0.59 | |||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 3,266,799,745 | 94.58 | |||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (2) | 84,896,394 | 84,896,394 | 2.46 |
The accompanying notes are an integral part of these financial statements.
28 | Semiannual Report • December 31, 2016 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS – (continued) |
| |||||||||||
Money Market Funds – (continued) | ||||||||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (2) | 84,896,393 | $ | 84,896,393 | 2.46 | % | |||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 169,792,787 | 4.92 | |||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost: $3,188,945,224) |
| 3,436,592,532 | 99.50 | |||||||||
|
|
|
| |||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 17,355,421 | 0.50 | ||||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 3,453,947,953 | 100.00 | % | ||||||||
|
|
|
|
(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’s Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 29 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Advance Auto Parts, Inc. | 156,970 | $ | 26,546,766 | 1.38 | % | |||||||
Buffalo Wild Wings, Inc. (1) | 91,913 | 14,191,367 | 0.74 | |||||||||
CarMax, Inc. (1) | 198,804 | 12,800,990 | 0.67 | |||||||||
Marriott International, Inc. | 135,772 | 11,225,629 | 0.58 | |||||||||
Ross Stores, Inc. | 277,109 | 18,178,350 | 0.95 | |||||||||
Sally Beauty Holdings, Inc. (1) | 441,863 | 11,674,020 | 0.61 | |||||||||
Tractor Supply Co. | 176,365 | 13,370,231 | 0.70 | |||||||||
Other Securities (1) | 3,779,649 | 157,914,967 | 8.21 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 265,902,320 | 13.84 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Casey’s General Stores, Inc. | 130,613 | 15,527,273 | 0.81 | |||||||||
Flowers Foods, Inc. | 787,211 | 15,720,604 | 0.82 | |||||||||
Snyder’s-Lance, Inc. | 314,565 | 12,060,422 | 0.63 | |||||||||
TreeHouse Foods, Inc. (1) | 208,296 | 15,036,888 | 0.78 | |||||||||
Whole Foods Market, Inc. | 372,740 | 11,465,482 | 0.60 | |||||||||
Other Securities (1) | 1,052,200 | 55,537,458 | 2.88 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 125,348,127 | 6.52 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Core Laboratories NV | 161,965 | 19,442,279 | 1.01 | |||||||||
Other Securities (1) | 2,034,043 | 36,573,324 | 1.91 | |||||||||
|
|
|
| |||||||||
Total Energy |
| 56,015,603 | 2.92 | |||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Affiliated Managers Group, Inc. (1) | 85,950 | 12,488,535 | 0.65 | |||||||||
Allied World Assurance Co. Holdings AG | 372,500 | 20,006,975 | 1.04 | |||||||||
Arthur J. Gallagher & Co. | 230,962 | 12,000,786 | 0.62 | |||||||||
Cullen/Frost Bankers, Inc. | 128,000 | 11,293,440 | 0.59 | |||||||||
Endurance Specialty Holdings Ltd | 185,000 | 17,094,000 | 0.89 | |||||||||
Northern Trust Corp. | 174,000 | 15,494,700 | 0.81 | |||||||||
Signature Bank (1) | 94,118 | 14,136,524 | 0.74 | |||||||||
SVB Financial Group (1) | 65,391 | 11,225,019 | 0.58 | |||||||||
Other Securities (1) | 2,097,331 | 103,821,239 | 5.40 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 217,561,218 | 11.32 | |||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
Dentsply Sirona, Inc. | 377,280 | 21,780,374 | 1.13 | |||||||||
Integra LifeSciences Holdings Corp. (1) | 167,679 | 14,385,181 | 0.75 | |||||||||
Laboratory Corp. of America Holdings (1) | 101,509 | 13,031,725 | 0.68 | |||||||||
MEDNAX, Inc. (1) | 171,341 | 11,421,591 | 0.60 | |||||||||
Mettler-Toledo International, Inc. (1) | 39,644 | 16,593,393 | 0.86 | |||||||||
NuVasive, Inc. (1) | 201,466 | 13,570,750 | 0.71 | |||||||||
PAREXEL International Corp. (1) | 211,541 | 13,902,475 | 0.72 |
Shares | Value | Percentage of Net Assets | ||||||||||
STERIS Plc | 169,000 | $ | 11,388,910 | 0.59 | % | |||||||
The Cooper Companies, Inc. | 79,714 | 13,944,370 | 0.73 | |||||||||
Other Securities (1) | 4,894,657 | 196,425,887 | 10.22 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 326,444,656 | 16.99 | |||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Acuity Brands, Inc. | 52,230 | 12,057,818 | 0.63 | |||||||||
CLARCOR, Inc. | 170,448 | 14,056,847 | 0.73 | |||||||||
Dover Corp. | 211,000 | 15,810,230 | 0.82 | |||||||||
IDEX Corp. | 243,472 | 21,927,088 | 1.14 | |||||||||
Rockwell Automation, Inc. | 205,683 | 27,643,795 | 1.44 | |||||||||
United Rentals, Inc. (1) | 139,642 | 14,743,402 | 0.77 | |||||||||
W.W. Grainger, Inc. | 60,826 | 14,126,839 | 0.74 | |||||||||
Other Securities (1) | 3,479,778 | 190,877,896 | 9.93 | |||||||||
|
|
|
| |||||||||
Total Industrials |
| 311,243,915 | 16.20 | |||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Alliance Data Systems Corp. | 51,486 | 11,764,551 | 0.61 | |||||||||
Aspen Technology, Inc. (1) | 329,195 | 18,000,383 | 0.94 | |||||||||
Fortinet, Inc. (1) | 621,787 | 18,728,224 | 0.97 | |||||||||
IPG Photonics Corp. (1) | 142,668 | 14,082,758 | 0.73 | |||||||||
MercadoLibre, Inc. | 89,945 | 14,044,012 | 0.73 | |||||||||
Palo Alto Networks, Inc. (1) | 140,785 | 17,605,164 | 0.92 | |||||||||
Red Hat, Inc. (1) | 208,816 | 14,554,475 | 0.76 | |||||||||
Splunk, Inc. (1) | 313,162 | 16,018,236 | 0.83 | |||||||||
WEX, Inc. (1) | 142,410 | 15,892,956 | 0.83 | |||||||||
Workday, Inc. (1) | 257,406 | 17,011,963 | 0.89 | |||||||||
Other Securities (1) | 5,660,329 | 250,733,193 | 13.05 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 408,435,915 | 21.26 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Berry Plastics Group, Inc. (1) | 352,748 | 17,189,410 | 0.90 | |||||||||
Martin Marietta Materials, Inc. | 61,687 | 13,665,521 | 0.71 | |||||||||
Other Securities (1) | 971,188 | 38,012,771 | 1.98 | |||||||||
|
|
|
| |||||||||
Total Materials |
| 68,867,702 | 3.59 | |||||||||
|
|
|
| |||||||||
Real Estate | ||||||||||||
Various Securities (1) | 1,056,734 | 41,358,502 | 2.15 | |||||||||
|
|
|
| |||||||||
Total Real Estate |
| 41,358,502 | 2.15 | |||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
SBA Communications Corp. (1) | 137,466 | 14,194,739 | 0.74 | |||||||||
Other Securities (1) | 329,374 | 3,854,389 | 0.20 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 18,049,128 | 0.94 | |||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities | 89,803 | 4,490,152 | 0.23 | |||||||||
|
|
|
| |||||||||
Total Utilities | 4,490,152 | 0.23 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 1,843,717,238 | 95.96 | |||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
30 | Semiannual Report • December 31, 2016 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
RIGHTS | ||||||||||||
Healthcare | ||||||||||||
Dyax Corp. (1)(4) | 15,849 | $ | 57,056 | 0.00 | % (2) | |||||||
|
|
|
| |||||||||
Total Rights |
| 57,056 | 0.00 | (2) | ||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (3) | 39,315,281 | 39,315,281 | 2.05 | |||||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (3) | 39,385,582 | 39,385,582 | 2.05 | |||||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 78,700,863 | 4.10 | |||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost: $1,790,477,095) | 1,922,475,157 | 100.06 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (1,094,050 | ) | (0.06 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 1,921,381,107 | 100.00 | % | ||||||||
|
|
|
|
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Amount calculated is less than 0.005%. |
(3) | Represents annualized seven-day yield as of the close of the reporting period. |
(4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of this security totals $57,056, which represents 0.00% of total net assets. |
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’s Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 31 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS | ||||||||||||
Consumer Discretionary | ||||||||||||
Brunswick Corp. | 321,945 | $ | 17,558,880 | 0.75 | % | |||||||
Grand Canyon Education, Inc. (1) | 168,000 | 9,819,600 | 0.42 | |||||||||
Newell Brands, Inc. | 376,942 | 16,830,460 | 0.72 | |||||||||
Other Securities (1) | 5,387,106 | 196,409,968 | 8.39 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 240,618,908 | 10.28 | |||||||||
|
|
|
| |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Various Securities (1) | 1,005,763 | 42,003,025 | 1.79 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 42,003,025 | 1.79 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Continental Resources, | 180,040 | 9,279,262 | 0.40 | |||||||||
Energen Corp. (1) | 168,043 | 9,691,040 | 0.41 | |||||||||
Parsley Energy, Inc. (1) | 281,654 | 9,925,487 | 0.42 | |||||||||
QEP Resources, | 569,491 | 10,484,329 | 0.45 | |||||||||
Other Securities (1) | 4,811,669 | 125,707,906 | 5.37 | |||||||||
|
|
|
| |||||||||
Total Energy |
| 165,088,024 | 7.05 | |||||||||
|
|
|
| |||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Alleghany Corp. (1) | 17,937 | 10,907,848 | 0.46 | |||||||||
Aon Plc | 90,218 | 10,062,014 | 0.43 | |||||||||
Ares Capital Corp. | 733,700 | 12,098,713 | 0.52 | |||||||||
Arthur J. Gallagher & Co. | 232,489 | 12,080,128 | 0.52 | |||||||||
BancorpSouth, Inc. | 432,403 | 13,426,113 | 0.57 | |||||||||
Chemical Financial Corp. | 185,376 | 10,041,818 | 0.43 | |||||||||
Discover Financial Services | 258,016 | 18,600,373 | 0.79 | |||||||||
Fifth Third Bancorp | 602,622 | 16,252,715 | 0.69 | |||||||||
First American Financial Corp. | 285,825 | 10,469,770 | 0.45 | |||||||||
Harford Financial Services Group, Inc. | 200,409 | 9,549,489 | 0.41 | |||||||||
Huntington Bancshares, Inc. | 741,355 | 9,800,713 | 0.42 | |||||||||
IBERIABANK Corp. | 130,644 | 10,941,435 | 0.47 | |||||||||
Independent Bank Corp. | 141,817 | 9,991,008 | 0.43 | |||||||||
Investors Bancorp, Inc. | 1,120,631 | 15,632,802 | 0.67 | |||||||||
New Residential Investment Corp. | 767,300 | 12,061,956 | 0.51 | |||||||||
Reinsurance Group of America, Inc. | 187,404 | 23,581,045 | 1.01 | |||||||||
SEI Investments Co. | 225,202 | 11,115,971 | 0.47 | |||||||||
SunTrust Banks, Inc. | 271,062 | 14,867,751 | 0.63 | |||||||||
Synchrony Financial | 375,712 | 13,627,074 | 0.58 | |||||||||
TD Ameritrade Holding Corp. | 245,095 | 10,686,142 | 0.46 | |||||||||
Unum Group | 344,748 | 15,144,780 | 0.65 | |||||||||
Other Securities (1)(4) | 8,007,610 | 266,094,542 | 11.37 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 537,034,200 | 22.94 | |||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
Analogic Corp. | 156,179 | 12,955,048 | 0.55 | |||||||||
Envision Healthcare | 169,909 | 10,753,541 | 0.46 |
Shares | Value | Percentage of Net Assets | ||||||||||
ICU Medical, Inc. (1) | 63,066 | $ | 9,292,775 | 0.40 | % | |||||||
Other Securities (1) | 4,145,755 | 137,352,270 | 5.87 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 170,353,634 | 7.28 | |||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
HD Supply Holdings, | 279,970 | 11,901,525 | 0.51 | |||||||||
ManpowerGroup, Inc. | 111,438 | 9,903,495 | 0.42 | |||||||||
Stanley Black & Decker, Inc. | 85,925 | 9,854,738 | 0.42 | |||||||||
The Brink’s Co. | 234,179 | 9,659,884 | 0.41 | |||||||||
Other Securities (1) | 7,669,668 | 314,236,092 | 13.43 | |||||||||
|
|
|
| |||||||||
Total Industrials |
| 355,555,734 | 15.19 | |||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Alliance Data Systems Corp. | 50,727 | 11,591,119 | 0.50 | |||||||||
Amdocs Ltd. | 173,901 | 10,129,733 | 0.43 | |||||||||
Arrow Electronics, Inc. (1) | 140,703 | 10,032,124 | 0.43 | |||||||||
Fidelity National Information Services, Inc. | 287,008 | 21,709,285 | 0.93 | |||||||||
Harris Corp. | 120,861 | 12,384,627 | 0.53 | |||||||||
Littelfuse, Inc. | 74,040 | 11,237,051 | 0.48 | |||||||||
MKS Instruments, Inc. | 203,901 | 12,111,719 | 0.52 | |||||||||
Other Securities (1) | 7,363,704 | 234,870,986 | 10.02 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 324,066,644 | 13.84 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Crown Holdings, Inc. (1) | 262,910 | 13,821,179 | 0.59 | |||||||||
HB Fuller Co. | 269,510 | 13,020,028 | 0.56 | |||||||||
Packaging Corporation of America | 134,777 | 11,431,785 | 0.49 | |||||||||
Reliance Steel & Aluminum Co. | 152,277 | 12,112,113 | 0.52 | |||||||||
WestRock Co. | 195,066 | 9,903,501 | 0.42 | |||||||||
Other Securities (1) | 3,574,883 | 98,144,780 | 4.19 | |||||||||
|
|
|
| |||||||||
Total Materials |
| 158,433,386 | 6.77 | |||||||||
|
|
|
| |||||||||
Real Estate | ||||||||||||
Boston Properties, Inc. | 75,272 | 9,467,712 | 0.40 | |||||||||
SL Green Realty Corp. | 90,727 | 9,757,689 | 0.42 | |||||||||
Other Securities (1) | 5,373,089 | 153,216,613 | 6.54 | |||||||||
|
|
|
| |||||||||
Total Real Estate |
| 172,442,014 | 7.36 | |||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 386,881 | 6,408,699 | 0.27 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 6,408,699 | 0.27 | |||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Edison International | 147,096 | 10,589,441 | 0.45 | |||||||||
Other Securities (1) | 2,033,743 | 86,000,541 | 3.67 | |||||||||
|
|
|
| |||||||||
Total Utilities |
| 96,589,982 | 4.12 | |||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 2,268,594,250 | 96.89 | |||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
32 | Semiannual Report • December 31, 2016 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
CONVERTIBLE PREFERRED STOCKS |
| |||||||||||
Financials | ||||||||||||
Wins Finance Holdings, | 222 | $ | 39,960 | 0.00 | % (2) | |||||||
|
|
|
| |||||||||
Total Convertible Preferred Stocks |
| 39,960 | 0.00 | (2) | ||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (3) | 37,062,597 | 37,062,597 | 1.58 | |||||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (3) | 37,062,598 | 37,062,598 | 1.59 | |||||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 74,125,195 | 3.17 | |||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost: $2,050,197,280) | 2,342,759,405 | 100.06 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (1,467,572 | ) | (0.06 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 2,341,291,833 | 100.00 | % | ||||||||
|
|
|
|
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Amount calculated is less than 0.005%. |
(3) | Represents annualized seven-day yield as of the close of the reporting period. |
(4) | Includes a security categorized as Level 3 per the Trust’s fair value hierarcy. The value of this security totals $0, which represents 0.00% of total net assets. |
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’s Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 33 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Adidas AG | 149,022 | $ | 23,503,551 | 0.65 | % | |||||||
Compass Group Plc | 1,031,695 | 19,067,446 | 0.53 | |||||||||
Ctrip.com International Ltd. – ADR (1) | 615,963 | 24,638,520 | 0.68 | |||||||||
Galaxy Entertainment Group Ltd. | 5,818,000 | 25,198,467 | 0.70 | |||||||||
Honda Motor Co. Ltd. | 991,000 | 28,932,557 | 0.80 | |||||||||
Industria de Diseno Textil SA | 584,197 | 19,901,304 | 0.55 | |||||||||
Panasonic Corp. | 2,410,800 | 24,450,717 | 0.68 | |||||||||
Sekisui House Ltd. | 1,216,800 | 20,216,283 | 0.56 | |||||||||
Takashimaya Co. Ltd. | 2,305,000 | 18,974,142 | 0.52 | |||||||||
Toyota Motor Corp. | 346,894 | 20,337,845 | 0.56 | |||||||||
Other Securities (1)(2) | 19,111,041 | 354,210,613 | 9.78 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 579,431,445 | 16.01 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Ambev SA – ADR | 4,539,732 | 22,290,084 | 0.61 | |||||||||
Japan Tobacco, Inc. | 1,015,500 | 33,332,405 | 0.92 | |||||||||
Nestle SA | 877,755 | 62,880,250 | 1.74 | |||||||||
Reckitt Benckiser Group Plc | 289,049 | 24,484,905 | 0.68 | |||||||||
Tesco Plc (1) | 16,857,900 | 42,984,508 | 1.19 | |||||||||
Unilever Plc | 632,817 | 25,591,187 | 0.71 | |||||||||
Unilever Plc – ADR | 371,840 | 15,133,888 | 0.42 | |||||||||
Other Securities (2) | 33,050,696 | 214,184,331 | 5.91 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 440,881,558 | 12.18 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
BP Plc | 7,990,835 | 50,050,327 | 1.38 | |||||||||
Eni SpA | 1,718,769 | 27,863,184 | 0.77 | |||||||||
Royal Dutch Shell Plc | 465,300 | 12,844,008 | 0.36 | |||||||||
Royal Dutch Shell Plc – Class A | 952,957 | 25,992,553 | 0.72 | |||||||||
Royal Dutch Shell Plc – Class B | 723,446 | 20,786,107 | 0.58 | |||||||||
Total SA | 560,531 | 28,750,908 | 0.79 | |||||||||
Other Securities (1) | 5,244,058 | 67,628,012 | 1.86 | |||||||||
|
|
|
| |||||||||
Total Energy |
| 233,915,099 | 6.46 | |||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
BNP Paribas SA | 323,871 | 20,610,542 | 0.57 | |||||||||
Chubb Ltd. | 193,296 | 25,538,268 | 0.71 | |||||||||
DBS Group Holdings Ltd. | 1,762,100 | 21,023,334 | 0.58 | |||||||||
HSBC Holdings Plc | 3,051,216 | 24,619,235 | 0.68 | |||||||||
Nomura Holdings, Inc. | 3,424,500 | 20,246,205 | 0.56 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 816,700 | 31,102,365 | 0.86 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 665,500 | 23,810,732 | 0.66 | |||||||||
United Overseas Bank Ltd. | 2,019,435 | 28,370,836 | 0.78 | |||||||||
Other Securities (1)(2) | 72,793,997 | 392,958,291 | 10.85 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 588,279,808 | 16.25 | |||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
AstraZeneca Plc | 451,428 | 24,651,619 | 0.68 | |||||||||
Cochlear Ltd. | 221,793 | 19,575,631 | 0.54 | |||||||||
CSL Ltd. | 297,075 | 21,484,459 | 0.59 | |||||||||
GlaxoSmithKline Plc | 1,154,179 | 22,170,187 | 0.61 |
Shares | Value | Percentage of Net Assets | ||||||||||
Novartis AG | 669,946 | $ | 48,720,818 | 1.35 | % | |||||||
Novartis AG – ADR | 197,170 | 14,361,863 | 0.40 | |||||||||
Roche Holding AG | 199,538 | 45,485,200 | 1.26 | |||||||||
Sanofi SA | 559,085 | 45,210,661 | 1.25 | |||||||||
Other Securities (1) | 3,378,562 | 156,333,384 | 4.32 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 397,993,822 | 11.00 | |||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
ABB Ltd. | 1,075,628 | 22,633,068 | 0.63 | |||||||||
Canadian Pacific Railway Ltd. | 151,781 | 21,669,773 | 0.60 | |||||||||
East Japan Railway Co. | 273,400 | 23,572,199 | 0.65 | |||||||||
PostNL NV (1) | 5,162,932 | 22,180,499 | 0.61 | |||||||||
Other Securities (1)(2) | 12,748,365 | 314,844,538 | 8.70 | |||||||||
|
|
|
| |||||||||
Total Industrials |
| 404,900,077 | 11.19 | |||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Accenture Plc | 190,079 | 22,263,953 | 0.62 | |||||||||
Infineon Technologies AG | 1,459,132 | 25,239,391 | 0.70 | |||||||||
Samsung Electronic Co. Ltd. | 13,652 | 20,318,450 | 0.56 | |||||||||
SAP SE | 230,391 | 19,930,050 | 0.55 | |||||||||
Taiwan Semiconductor Manufacturing Co Ltd. | 1,134,000 | 6,351,824 | 0.18 | |||||||||
Taiwan Semiconductor Manufacturing Co Ltd. – ADR | 1,706,867 | 49,072,426 | 1.36 | |||||||||
Tencent Holdings Ltd. | 1,181,916 | 28,658,052 | 0.79 | |||||||||
Other Securities (1)(2) | 45,600,186 | 256,233,541 | 7.07 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 428,067,687 | 11.83 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Bayer AG | 201,246 | 20,966,576 | 0.58 | |||||||||
Novozymes A/S | 585,704 | 20,155,199 | 0.56 | |||||||||
Syngenta AG | 48,208 | 19,047,123 | 0.53 | |||||||||
Other Securities (1)(2) | 3,779,480 | 50,694,916 | 1.39 | |||||||||
|
|
|
| |||||||||
Total Materials |
| 110,863,814 | 3.06 | |||||||||
|
|
|
| |||||||||
Real Estate | ||||||||||||
Various Securities | 2,588,795 | 21,021,220 | 0.58 | |||||||||
|
|
|
| |||||||||
Total Real Estate |
| 21,021,220 | 0.58 | |||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
Telefonica SA | 3,646,153 | 33,662,707 | 0.93 | |||||||||
Other Securities (1) | 21,920,882 | 106,807,049 | 2.95 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 140,469,756 | 3.88 | |||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities (1)(2) | 9,744,598 | 62,127,140 | 1.72 | |||||||||
|
|
|
| |||||||||
Total Utilities |
| 62,127,140 | 1.72 | |||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 3,407,951,426 | 94.16 | |||||||||
|
|
|
| |||||||||
PREFERRED STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Bayer Motoren Werke AG – Preference | 756 | 57,736 | 0.00 | (3) | ||||||||
Porsche Automobil Holding SE | 2,112 | 114,724 | 0.00 | (3) |
The accompanying notes are an integral part of these financial statements.
34 | Semiannual Report • December 31, 2016 |
|
|
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2016 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
PREFERRED STOCKS – (continued) |
| |||||||||||
Consumer Discretionary – (continued) | ||||||||||||
Schaeffler AG | 2,371 | $ | 34,987 | 0.00 | %(3) | |||||||
Volkswagen AG – Preference | 53,397 | 7,471,178 | 0.21 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 7,678,625 | 0.21 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Henkel AG & Co. KGaA – Preference | 2,679 | 318,909 | 0.01 | |||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Rolls-Royce Holdings | 2,171,154 | 2,676 | 0.00 | (3) | ||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Fuchs Petrolub SE – Preferred | 993 | 41,596 | 0.00 | (3) | ||||||||
|
|
|
| |||||||||
Total Preferred Stocks |
| 8,041,806 | 0.22 | |||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (5) | 89,849,134 | 89,849,134 | 2.48 |
Shares | Value | Percentage of Net Assets | ||||||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (5) | 89,597,327 | $ | 89,597,327 | 2.48 | % | |||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 179,446,461 | 4.96 | |||||||||
|
|
|
| |||||||||
Total Investments in Securities (Cost: $3,687,659,996) | 3,595,439,693 | 99.34 | ||||||||||
|
|
|
| |||||||||
Other Assets in Excess of Liabilities | 23,847,186 | 0.66 | ||||||||||
|
|
|
| |||||||||
Total Net Assets | $ | 3,619,286,879 | 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 total $34,512,985, which represents 0.95% of total net assets. |
(3) | Amount less than 0.005%. |
(4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of this security totals $2,676, which represents 0.00% of total net assets. |
(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’s Financial Services LLC (“S&P”).
Country | % of Net Assets | |||
Australia | 2.54 | % | ||
Austria | 0.01 | |||
Belgium | 0.71 | |||
Bermuda | 0.33 | |||
Brazil | 0.79 | |||
Canada | 1.59 | |||
Chile | 0.15 | |||
China | 3.34 | |||
Denmark | 2.16 | |||
Finland | 0.74 | |||
France | 6.89 | |||
Germany | 6.43 | |||
Hong Kong | 2.64 | |||
India | 0.68 | |||
Indonesia | 0.39 | |||
Ireland | 2.17 | |||
Israel | 0.03 | |||
Italy | 1.71 | |||
Japan | 17.97 | |||
Luxembourg | 0.02 | |||
Macau | 0.01 | |||
Malaysia | 0.13 | |||
Mexico | 0.63 | |||
Netherlands | 4.06 |
Country | % of Net Assets | |||
New Zealand | 0.01 | % | ||
Norway | 0.08 | |||
Philippines | 0.09 | |||
Portugal | 0.23 | |||
Republic of Korea | 1.57 | |||
Russia | 0.48 | |||
Singapore | 1.88 | |||
South Africa | 1.01 | |||
Spain | 2.98 | |||
Sweden | 1.60 | |||
Switzerland | 9.46 | |||
Taiwan | 1.99 | |||
Thailand | 0.60 | |||
United Kingdom | 14.45 | |||
United States | 1.83 | |||
Other (individually each country is less than 0.005%) | 0.00 | |||
|
| |||
Total Country | 94.38 | |||
|
| |||
SHORT-TERM INVESTMENTS | 4.96 | |||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 99.34 | |||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.66 | |||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 35 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
December 31, 2016 (Unaudited)
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | Bridge Builder Municipal Bond Fund | Bridge Builder Large Cap Growth Fund | |||||||||||||
Assets | ||||||||||||||||
Investments, at value (1) | $ | 11,094,575,761 | $ | 5,532,152,151 | $ | 2,144,450,094 | $ | 2,977,852,046 | ||||||||
Cash | 46,102 | 26,555 | — | 12,020 | ||||||||||||
Receivable for investments sold | 77,608,796 | 36,069,961 | 12,374,125 | — | ||||||||||||
Receivable for fund shares sold | 35,066,915 | 36,258,117 | 19,037,097 | 23,834,950 | ||||||||||||
Receivable from Custodian | 535,726 | 269,533 | — | — | ||||||||||||
Receivable for forward foreign currency exchange contracts | — | 670,481 | — | — | ||||||||||||
Dividend and interest receivable | 54,760,667 | 28,497,982 | 24,755,906 | 1,722,826 | ||||||||||||
Tax reclaim receivable | — | 27,699 | — | 81,025 | ||||||||||||
Deposits at broker for TBA commitments | — | 568,000 | — | — | ||||||||||||
Variation margin on futures contracts | 422,949 | 240,515 | — | — | ||||||||||||
Variation margin on centrally cleared swap contracts | — | 4,248 | — | — | ||||||||||||
Prepaid expenses and other assets | 192,840 | 286,199 | 98,486 | 32,358 | ||||||||||||
Total Assets | 11,263,209,756 | 5,635,071,441 | 2,200,715,708 | 3,003,535,225 | ||||||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 642,427,159 | 356,725,557 | 28,767,886 | 25,025,293 | ||||||||||||
Payable for fund shares redeemed | 17,353,316 | 7,321,305 | 4,299,532 | 5,037,508 | ||||||||||||
Payable for forward foreign currency exchange contracts | — | 509 | — | — | ||||||||||||
OTC swap contracts, at value | — | 301,316 | — | — | ||||||||||||
Payable to Custodian | 426,761 | — | — | — | ||||||||||||
Foreign withholding tax payable | — | 52 | — | — | ||||||||||||
Payable to Adviser | 1,048,169 | 615,156 | 307,566 | 608,643 | ||||||||||||
Payable to Trustees | 86,900 | 7,328 | 17,745 | 23,551 | ||||||||||||
Accrued expenses and other liabilities | 828,877 | 222,192 | 188,672 | 217,447 | ||||||||||||
Total Liabilities | 662,171,182 | 365,193,415 | 33,581,401 | 30,912,442 | ||||||||||||
Net Assets | $ | 10,601,038,574 | $ | 5,269,878,026 | $ | 2,167,134,307 | $ | 2,972,622,783 | ||||||||
Net Assets Consist of | ||||||||||||||||
Paid in capital ($0.00 par value common stock unlimited authorized shares) | $ | 10,622,613,313 | $ | 5,354,265,166 | $ | 2,205,154,845 | $ | 2,910,496,747 | ||||||||
Undistributed (distributions in excess of) net investment income | (16,599,823 | ) | (6,682,886 | ) | 38,595 | (147,026 | ) | |||||||||
Accumulated net realized loss | (35,906,548 | ) | (36,903,066 | ) | (3,881,986 | ) | (118,958,276 | ) | ||||||||
Unrealized net appreciation/(depreciation) on: | ||||||||||||||||
Investments | 31,782,406 | (40,922,854 | ) | (34,177,147 | ) | 181,231,338 | ||||||||||
Foreign currency translation | — | (3,352 | ) | — | — | |||||||||||
Futures contracts | (850,774 | ) | (661,362 | ) | — | — | ||||||||||
Forward foreign currency exchange contracts | — | 669,972 | — | — | ||||||||||||
Swap contracts | — | 116,408 | — | — | ||||||||||||
Net Assets | $ | 10,601,038,574 | $ | 5,269,878,026 | $ | 2,167,134,307 | $ | 2,972,622,783 | ||||||||
Net Assets | $ | 10,601,038,574 | $ | 5,269,878,026 | $ | 2,167,134,307 | $ | 2,972,622,783 | ||||||||
Shares Outstanding | 1,056,738,757 | 529,659,335 | 218,170,742 | 290,573,335 | ||||||||||||
Net Asset Value | $ | 10.03 | $ | 9.95 | $ | 9.93 | $ | 10.23 | ||||||||
(1) Cost of investments | $ | 11,062,793,355 | $ | 5,573,075,005 | $ | 2,178,627,241 | $ | 2,796,620,708 |
The accompanying notes are an integral part of these financial statements.
36 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
December 31, 2016 (Unaudited) (Continued)
Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap | Bridge Builder Small/Mid Cap Value Fund | Bridge Builder Equity Fund | |||||||||||||
Assets | ||||||||||||||||
Investments, at value (1) | $ | 3,436,592,532 | $ | 1,922,475,157 | $ | 2,342,759,405 | $ | 3,595,439,693 | ||||||||
Foreign currency, at value (2) | 836,013 | — | — | 858,167 | ||||||||||||
Cash | 91,856 | 2,973 | 66,308 | — | ||||||||||||
Receivable for foreign currency transactions | — | — | — | 33,971 | ||||||||||||
Receivable for investments sold | — | 43,984 | 3,144,460 | 325,028 | ||||||||||||
Receivable for fund shares sold | 26,316,591 | 9,334,081 | 10,074,596 | 41,800,676 | ||||||||||||
Deposits at broker for futures | 16,000 | 15,000 | 15,000 | — | ||||||||||||
Receivable from Custodian | — | — | — | 1,411,576 | ||||||||||||
Dividend and interest receivable | 5,010,456 | 645,319 | 3,279,630 | 4,405,515 | ||||||||||||
Tax reclaim receivable | 245,883 | — | — | 2,273,848 | ||||||||||||
Prepaid expenses and other assets | 55,974 | 37,993 | 96,188 | 113,321 | ||||||||||||
Total Assets | 3,469,165,305 | 1,932,554,507 | 2,359,435,587 | 3,646,661,795 | ||||||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 6,438,019 | 6,198,036 | 10,821,994 | 20,955,639 | ||||||||||||
Payable for fund shares redeemed | 7,680,808 | 4,164,741 | 6,349,061 | 4,689,311 | ||||||||||||
Payable to Custodian | — | — | — | 1,350 | ||||||||||||
Variation margin on futures contracts | 1,384 | 1,554 | 1,708 | — | ||||||||||||
Foreign withholding tax payable | 85,788 | — | — | 399,596 | ||||||||||||
Payable to Adviser | 787,958 | 637,582 | 853,788 | 1,038,763 | ||||||||||||
Payable to Trustees | 20,175 | 14,887 | 7,650 | 16,976 | ||||||||||||
Accrued expenses and other liabilities | 203,220 | 156,600 | 109,553 | 273,281 | ||||||||||||
Total Liabilities | 15,217,352 | 11,173,400 | 18,143,754 | 27,374,916 | ||||||||||||
Net Assets | $ | 3,453,947,953 | $ | 1,921,381,107 | $ | 2,341,291,833 | $ | 3,619,286,879 | ||||||||
Net Assets Consist of | ||||||||||||||||
Paid in capital ($0.00 par value common stock unlimited authorized shares) | $ | 3,256,472,025 | $ | 1,818,116,833 | $ | 2,123,620,000 | $ | 3,779,231,840 | ||||||||
Undistributed (distributions in excess of) net investment income | (181,027 | ) | (391,340 | ) | 669,111 | 542,433 | ||||||||||
Accumulated net realized loss | (49,986,341 | ) | (28,342,448 | ) | (75,559,516 | ) | (68,213,343 | ) | ||||||||
Unrealized net appreciation/(depreciation) on: | ||||||||||||||||
Investments | 247,647,308 | 131,998,062 | 292,562,125 | (92,220,303 | ) | |||||||||||
Foreign currency translation | (4,012 | ) | — | 113 | (53,748 | ) | ||||||||||
Net Assets | $ | 3,453,947,953 | $ | 1,921,381,107 | $ | 2,341,291,833 | $ | 3,619,286,879 | ||||||||
Net Assets | $ | 3,453,947,953 | $ | 1,921,381,107 | $ | 2,341,291,833 | $ | 3,619,286,879 | ||||||||
Shares Outstanding | 323,694,014 | 184,151,676 | 217,326,164 | 378,159,408 | ||||||||||||
Net Asset Value | $ | 10.67 | $ | 10.43 | $ | 10.77 | $ | 9.57 | ||||||||
(1) Cost of investments | $ | 3,188,945,224 | $ | 1,790,477,095 | $ | 2,050,197,280 | $ | 3,687,659,996 | ||||||||
(2) Cost of foreign currency | 836,013 | — | — | 858,922 |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 37 |
Bridge Builder Mutual Funds
Six Months Ended December 31, 2016 (Unaudited)
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | Bridge Builder Municipal Bond Fund | Bridge Builder Large Cap Growth Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividend income | $ | 63,517 | $ | 382,634 | $ | — | $ | 18,599,350 | ||||||||
Less: Foreign taxes withheld and issuance fees | — | (5,061 | ) | — | (52,965 | ) | ||||||||||
Interest | 133,424,325 | 56,110,639 | 21,103,718 | 198,695 | ||||||||||||
Less: Foreign taxes withheld | — | 36,949 | — | — | ||||||||||||
Other income | 795,238 | 419,894 | 5,623 | — | ||||||||||||
Total investment income | 134,283,080 | 56,945,055 | 21,109,341 | 18,745,080 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fee | 17,255,216 | 8,745,910 | 3,759,074 | 5,881,377 | ||||||||||||
Professional fees | 149,960 | 70,380 | 45,908 | 46,736 | ||||||||||||
Administration fee | 579,140 | 213,532 | 134,830 | 154,560 | ||||||||||||
Fund accounting fees | 573,068 | 149,408 | 54,740 | 11,040 | ||||||||||||
Transfer agent fees and expenses | 16,468 | 10,672 | 9,568 | 9,476 | ||||||||||||
Trustee fees and expenses | 175,352 | 58,604 | 29,348 | 40,572 | ||||||||||||
Printing and mailing expense | 104,052 | 53,452 | 30,268 | 52,992 | ||||||||||||
Custody fees | 151,248 | 55,936 | 12,696 | 38,180 | ||||||||||||
Insurance expense | 28,428 | 8,096 | 4,784 | 7,544 | ||||||||||||
Registration fees | 154,284 | 145,176 | 77,648 | 141,404 | ||||||||||||
Offering costs | — | 1,618 | 14,206 | — | ||||||||||||
Other expenses | 66,423 | 14,786 | 12,236 | 18,410 | ||||||||||||
Total expenses before fee waivers | 19,253,639 | 9,527,570 | 4,185,306 | 6,402,291 | ||||||||||||
Fee waivers by Adviser | (10,920,975 | ) | (5,315,087 | ) | (1,972,110 | ) | (2,573,116 | ) | ||||||||
Net expenses | 8,332,664 | 4,212,483 | 2,213,196 | 3,829,175 | ||||||||||||
Net Investment Income | 125,950,416 | 52,732,572 | 18,896,145 | 14,915,905 | ||||||||||||
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) |
| |||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 20,109,740 | (20,823,003 | ) | (3,822,289 | ) | (18,525,663 | ) | |||||||||
TBA sales commitments | 223,446 | — | — | — | ||||||||||||
Forward foreign currency exchange contracts | — | 94,730 | — | — | ||||||||||||
Foreign currency transactions | — | (241,905 | ) | — | 1,494 | |||||||||||
Futures contracts | (8,559,642 | ) | (5,542,507 | ) | 118,961 | 31,008 | ||||||||||
Swap contracts | — | (86,470 | ) | — | — | |||||||||||
Net realized gain/(loss) | 11,773,544 | (26,599,155 | ) | (3,703,328 | ) | (18,493,161 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (375,722,389 | ) | (113,678,166 | ) | (86,547,960 | ) | 107,438,033 | |||||||||
TBA sales commitments | (1,367 | ) | — | — | — | |||||||||||
Forward foreign currency exchange contracts | — | 572,582 | — | — | ||||||||||||
Foreign currency transactions | — | (12,468 | ) | — | (3,016 | ) | ||||||||||
Futures contracts | 915,322 | (2,049,952 | ) | 285 | (475 | ) | ||||||||||
Swap contracts | — | 131,704 | — | — | ||||||||||||
Net change in unrealized appreciation/(depreciation) | (374,808,434 | ) | (115,036,300 | ) | (86,547,675 | ) | 107,434,542 | |||||||||
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | (363,034,890 | ) | (141,635,455 | ) | (90,251,003 | ) | 88,941,381 | |||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | (237,084,474 | ) | $(88,902,883 | ) | $ | (71,354,858 | ) | $ | 103,857,286 |
The accompanying notes are an integral part of these financial statements.
38 | Semiannual Report �� December 31, 2016 |
Bridge Builder Mutual Funds
Statements of Operations
Six Months Ended December 31, 2016 (Unaudited) (Continued)
Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | Bridge Builder Small/Mid Cap Value Fund | Bridge Builder International Equity Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividend income | $ | 33,057,120 | $ | 7,343,585 | $ | 17,402,626 | $ | 27,768,654 | ||||||||
Less: Foreign taxes withheld and issuance fees | (194,722 | ) | (40,459 | ) | (5,088 | ) | (1,837,131 | ) | ||||||||
Interest | 234,688 | 132,288 | 133,788 | 247,501 | ||||||||||||
Total investment income | 33,097,086 | 7,435,414 | 17,531,326 | 26,179,024 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fee | 6,588,486 | 5,767,959 | 6,800,884 | 9,102,675 | ||||||||||||
Professional fees | 43,056 | 38,824 | 33,764 | 47,932 | ||||||||||||
Administration fee | 158,976 | 141,864 | 146,648 | 193,292 | ||||||||||||
Fund accounting fees | 12,880 | 28,704 | 33,580 | 130,088 | ||||||||||||
Transfer agent fees and expenses | 9,844 | 8,924 | 9,016 | 9,476 | ||||||||||||
Trustee fees and expenses | 41,400 | 27,324 | 24,012 | 39,376 | ||||||||||||
Printing and mailing expense | 41,492 | 76,544 | 67,436 | 83,444 | ||||||||||||
Custody fees | 62,928 | 43,424 | 67,436 | 283,268 | ||||||||||||
Insurance expense | 6,992 | 4,508 | 3,772 | 6,808 | ||||||||||||
Registration fees | 143,796 | 92,920 | 54,372 | 247,572 | ||||||||||||
Offering costs | — | — | — | 1,573 | ||||||||||||
Other expenses | 14,733 | 9,588 | 7,189 | 14,365 | ||||||||||||
Total expenses before fee waivers | 7,124,583 | 6,240,583 | 7,248,109 | 10,159,869 | ||||||||||||
Fee waivers by Adviser | (2,436,743 | ) | (2,208,226 | ) | (2,247,640 | ) | (3,785,290 | ) | ||||||||
Net expenses | 4,687,840 | 4,032,357 | 5,000,469 | 6,374,579 | ||||||||||||
Net Investment Income | 28,409,246 | 3,403,057 | 12,530,857 | 19,804,445 | ||||||||||||
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 7,184,790 | 1,935,245 | (25,334,072 | ) | (26,842,102 | ) | ||||||||||
Foreign currency transactions | (57,872 | ) | — | (64 | ) | (3,083,130 | ) | |||||||||
Futures contracts | 106,980 | 80,483 | 91,953 | — | ||||||||||||
Net realized gain/(loss) | 7,233,898 | 2,015,728 | (25,242,183 | ) | (29,925,232 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 233,289,757 | 145,084,736 | 295,847,337 | 70,560,188 | ||||||||||||
Foreign currency transactions | (4,850 | ) | — | 113 | 12,320 | |||||||||||
Futures contracts | (16,897 | ) | (922 | ) | (5,127 | ) | — | |||||||||
Net change in unrealized appreciation/(depreciation) | 233,268,010 | 145,083,814 | 295,842,323 | 70,572,508 | ||||||||||||
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | 240,501,908 | 147,099,542 | 270,600,140 | 40,647,276 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 268,911,154 | $ | 150,502,599 | $ | 283,130,997 | $ | 60,451,721 |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 39 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | |||||||||||||||
Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | Six Months Ended December 31, 2016 (Unaudited) | From July 13, 2015 (1) to June 30, 2016 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 125,950,416 | $ | 231,779,154 | $ | 52,732,572 | $ | 48,780,003 | ||||||||
Net realized gain/(loss) | 11,773,544 | 65,404,379 | (26,599,155 | ) | 12,600,392 | |||||||||||
Net change in unrealized appreciation/(depreciation) | (374,808,434 | ) | 334,150,897 | (115,036,300 | ) | 74,235,112 | ||||||||||
Net increase/(decrease) in net assets resulting from operations | (237,084,474 | ) | 631,334,430 | (88,902,883 | ) | 135,615,507 | ||||||||||
Distributions to Shareholders | ||||||||||||||||
Net investment income | (139,890,272 | ) | (253,982,394 | ) | (59,797,933 | ) | (51,492,786 | ) | ||||||||
Net realized gains | (73,473,364 | ) | (16,924,614 | ) | (14,343,061 | ) | (5,487,024 | ) | ||||||||
Total distributions | (213,363,636 | ) | (270,907,008 | ) | (74,140,994 | ) | (56,979,810 | ) | ||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 1,156,009,121 | 3,118,058,832 | 1,366,691,012 | 4,682,322,382 | ||||||||||||
Reinvestment of dividends | 213,363,636 | 270,907,008 | 74,140,994 | 56,979,810 | ||||||||||||
Cost of shares redeemed | (1,080,091,910 | ) | (1,598,839,809 | ) | (418,336,196 | ) | (407,511,796 | ) | ||||||||
Net increase/(decrease) from capital transactions | 289,280,847 | 1,790,126,031 | 1,022,495,810 | 4,331,790,396 | ||||||||||||
Net increase/(decrease) in net assets | (161,167,263 | ) | 2,150,553,453 | 859,451,933 | 4,410,426,093 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 10,762,205,837 | 8,611,652,384 | 4,410,426,093 | — | ||||||||||||
End of period* | $ | 10,601,038,574 | $ | 10,762,205,837 | $ | 5,269,878,026 | $ | 4,410,426,093 | ||||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | (16,599,823 | ) | $ | (2,659,967 | ) | $ | (6,682,886 | ) | $ | 382,475 | |||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 1,028,013,351 | 852,228,279 | 429,207,231 | — | ||||||||||||
Shares sold | 111,751,018 | 306,024,896 | 133,896,467 | 464,114,031 | ||||||||||||
Shares issued to holders in reinvestments of dividends | 21,105,116 | 26,574,504 | 7,484,205 | 5,681,926 | ||||||||||||
Shares redeemed | (104,130,728 | ) | (156,814,328 | ) | (40,928,568 | ) | (40,588,726 | ) | ||||||||
Shares outstanding, end of period | 1,056,738,757 | 1,028,013,351 | 529,659,335 | 429,207,231 | ||||||||||||
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
40 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Municipal Bond Fund | Bridge Builder Large Cap Growth Fund | |||||||||||||||
Six Months Ended December 31, 2016 (Unaudited) | From September 14, 2015 (1) to June 30, 2016 | Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 18,896,145 | $ | 19,152,512 | $ | 14,915,905 | $ | 22,563,197 | ||||||||
Net realized gain/(loss) | (3,703,328 | ) | 2,889,375 | (18,493,161 | ) | (96,378,262 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) | (86,547,675 | ) | 52,370,528 | 107,434,542 | 103,732,839 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | (71,354,858 | ) | 74,412,415 | 103,857,286 | 29,917,774 | |||||||||||
Distributions to Shareholders | ||||||||||||||||
Net investment income | (19,307,025 | ) | (18,710,793 | ) | (27,066,103 | ) | (13,598,060 | ) | ||||||||
Net realized gains | (2,316,920 | ) | (751,113 | ) | — | — | ||||||||||
Total distributions | (21,623,945 | ) | (19,461,906 | ) | (27,066,103 | ) | (13,598,060 | ) | ||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 459,471,496 | 2,107,230,136 | 800,181,702 | 392,563,854 | ||||||||||||
Reinvestment of dividends | 21,623,945 | 19,461,906 | 27,066,103 | 13,598,060 | ||||||||||||
Cost of shares redeemed | (192,942,162 | ) | (209,682,720 | ) | (254,420,982 | ) | (686,778,841 | ) | ||||||||
Net increase/(decrease) from capital transactions | 288,153,279 | 1,917,009,322 | 572,826,823 | (280,616,927 | ) | |||||||||||
Net increase/(decrease) in net assets | 195,174,476 | 1,971,959,831 | 649,618,006 | (264,297,213 | ) | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 1,971,959,831 | — | 2,323,004,777 | 2,587,301,990 | ||||||||||||
End of period* | $ | 2,167,134,307 | $ | 1,971,959,831 | $ | 2,972,622,783 | $ | 2,323,004,777 | ||||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | 38,595 | $ | 449,475 | $ | (147,026 | ) | $ | 12,003,172 | |||||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 189,905,395 | — | 234,806,335 | 263,257,032 | ||||||||||||
Shares sold | 44,959,886 | 208,572,659 | 77,824,502 | 40,329,028 | ||||||||||||
Shares issued to holders in reinvestments of dividends | 2,173,241 | 1,909,748 | 2,630,331 | 1,381,917 | ||||||||||||
Shares redeemed | (18,867,780 | ) | (20,577,012 | ) | (24,687,833 | ) | (70,161,642 | ) | ||||||||
Shares outstanding, end of period | 218,170,742 | 189,905,395 | 290,573,335 | 234,806,335 | ||||||||||||
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 41 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | |||||||||||||||
Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 28,409,246 | $ | 40,088,388 | $ | 3,403,057 | $ | 5,757,322 | ||||||||
Net realized gain/(loss) | 7,233,898 | (56,729,446 | ) | 2,015,728 | (27,545,681 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) | 233,268,010 | 74,791,086 | 145,083,814 | (17,563,663 | ) | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 268,911,154 | 58,150,028 | 150,502,599 | (39,352,022 | ) | |||||||||||
Distributions to Shareholders | ||||||||||||||||
Net investment income | (29,398,572 | ) | (39,341,020 | ) | (6,879,324 | ) | (3,645,669 | ) | ||||||||
Net realized gains | — | (1,055,143 | ) | — | — | |||||||||||
Total distributions | (29,398,572 | ) | (40,396,163 | ) | (6,879,324 | ) | (3,645,669 | ) | ||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 898,276,993 | 721,481,157 | 322,374,178 | 594,799,290 | ||||||||||||
Reinvestment of dividends | 29,398,572 | 40,396,163 | 6,879,324 | 3,645,669 | ||||||||||||
Cost of shares redeemed | (308,317,129 | ) | (334,614,371 | ) | (198,255,040 | ) | (332,938,844 | ) | ||||||||
Net increase/(decrease) from capital transactions | 619,358,436 | 427,262,949 | 130,998,462 | 265,506,115 | ||||||||||||
Net increase/(decrease) in net assets | 858,871,018 | 445,016,814 | 274,621,737 | 222,508,424 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 2,595,076,935 | 2,150,060,121 | 1,646,759,370 | 1,424,250,946 | ||||||||||||
End of period* | $ | 3,453,947,953 | $ | 2,595,076,935 | $ | 1,921,381,107 | $ | 1,646,759,370 | ||||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | (181,027 | ) | $ | 808,299 | $ | (391,340 | ) | $ | 3,084,927 | ||||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 263,234,341 | 219,174,548 | 171,165,757 | 143,016,696 | ||||||||||||
Shares sold | 87,566,872 | 74,914,480 | 31,839,073 | 63,075,409 | ||||||||||||
Shares issued to holders in reinvestments of dividends | 2,814,499 | 4,275,788 | 657,051 | 395,838 | ||||||||||||
Shares redeemed | (29,921,698 | ) | (35,130,475 | ) | (19,510,205 | ) | (35,322,186 | ) | ||||||||
Shares outstanding, end of period | 323,694,014 | 263,234,341 | 184,151,676 | 171,165,757 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
42 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Small/Mid Cap Value Fund | Bridge Builder International Equity Fund | |||||||||||||||
Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | Six Months Ended December 31, 2016 (Unaudited) | From July 6, 2015 (1) to June 30, 2016 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 12,530,857 | $ | 10,756,149 | $ | 19,804,445 | $ | 40,870,866 | ||||||||
Net realized gain/(loss) | (25,242,183 | ) | (49,868,026 | ) | (29,925,232 | ) | (38,898,238 | ) | ||||||||
Net change in unrealized appreciation/(depreciation) | 295,842,323 | 9,329,611 | 70,572,508 | (162,846,559 | ) | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 283,130,997 | (29,782,266 | ) | 60,451,721 | (160,873,931 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
Net investment income | (19,093,726 | ) | (4,920,447 | ) | (49,670,345 | ) | (9,875,287 | ) | ||||||||
Net realized gains | — | (620,344 | ) | — | — | |||||||||||
Total distributions | (19,093,726 | ) | (5,540,791 | ) | (49,670,345 | ) | (9,875,287 | ) | ||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 423,102,805 | 1,150,047,952 | 1,334,304,985 | 2,870,546,054 | ||||||||||||
Reinvestment of dividends | 19,093,726 | 5,540,791 | 49,670,345 | 9,875,287 | ||||||||||||
Cost of shares redeemed | (241,686,322 | ) | (130,656,224 | ) | (241,658,924 | ) | (243,483,026 | ) | ||||||||
Net increase/(decrease) from capital transactions | 200,510,209 | 1,024,932,519 | 1,142,316,406 | 2,636,938,315 | ||||||||||||
Net increase/(decrease) in net assets | 464,547,480 | 989,609,462 | 1,153,097,782 | 2,466,189,097 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 1,876,744,353 | 887,134,891 | 2,466,189,097 | — | ||||||||||||
End of period* | $ | 2,341,291,833 | $ | 1,876,744,353 | $ | 3,619,286,879 | $ | 2,466,189,097 | ||||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | 669,111 | $ | 7,231,980 | $ | 542,433 | $ | 30,408,333 | ||||||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 197,601,525 | 89,850,507 | 261,005,845 | — | ||||||||||||
Shares sold | 41,553,503 | 121,145,000 | 136,662,638 | 285,868,889 | ||||||||||||
Shares issued to holders in reinvestments of dividends | 1,766,302 | 609,548 | 5,201,083 | 1,063,002 | ||||||||||||
Shares redeemed | (23,595,166 | ) | (14,003,530 | ) | (24,710,158 | ) | (25,926,046 | ) | ||||||||
Shares outstanding, end of period | 217,326,164 | 197,601,525 | 378,159,408 | 261,005,845 | ||||||||||||
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 43 |
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 (decrease) in net asset value from operations | Distributions from net investment income | Distributions from net realized gains | Total Distributions | ||||||||||||||||||||||
Bridge Builder Core Bond Fund | ||||||||||||||||||||||||||||
Six months ended December 31, 2016 (Unaudited) | $ | 10.47 | 0.12 | (0.35 | ) | (0.23 | ) | (0.14 | ) | (0.07 | ) | (0.21 | ) | |||||||||||||||
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 | ||||||||||||||||||||||||||||
Six months ended December 31, 2016 (Unaudited) | $ | 10.28 | 0.11 | (0.29 | ) | (0.18 | ) | (0.12 | ) | (0.03 | ) | (0.15 | ) | |||||||||||||||
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 | ||||||||||||||||||||||||||||
Six months ended December 31, 2016 (Unaudited) | $ | 10.38 | 0.09 | (0.44 | ) | (0.35 | ) | (0.09 | ) | (0.01 | ) | (0.10 | ) | |||||||||||||||
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 |
| |||||||||||||||||||||||||||
Six months ended December 31, 2016 (Unaudited) | $ | 9.89 | 0.04 | 0.39 | 0.43 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Six months ended December 31, 2016 (Unaudited) | $ | 9.86 | 0.09 | 0.82 | 0.91 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
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 |
| |||||||||||||||||||||||||||
Six months ended December 31, 2016 (Unaudited) | $ | 9.62 | 0.02 | 0.83 | 0.85 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
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 |
| |||||||||||||||||||||||||||
Six months ended December 31, 2016 (Unaudited) | $ | 9.50 | 0.06 | 1.30 | 1.36 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
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 |
| |||||||||||||||||||||||||||
Six months ended December 31, 2016 (Unaudited) | $ | 9.45 | 0.02 | 0.23 | 0.25 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
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.
44 | Semiannual Report • December 31, 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) | ||||||||||||||||||||
$ | 10.03 | (2.25 | )% | $ | 10,601 | 0.36 | % | 0.15 | % | 2.34 | % | 116 | % | |||||||||||||
$ | 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) | |||||||||||||
$ | 9.95 | (1.74 | )% | $ | 5,270 | 0.39 | % | 0.17 | % | 2.17 | % | 98 | % | |||||||||||||
$ | 10.28 | 5.43 | % | $ | 4,410 | 0.43 | % | 0.23 | % | 2.23 | % | 197 | % | |||||||||||||
$ | 9.93 | (3.33 | )% | $ | 2,167 | 0.40 | % | 0.21 | % | 1.81 | % | 11 | % | |||||||||||||
$ | 10.38 | 5.46 | % | $ | 1,972 | 0.43 | % | 0.25 | % | 1.76 | % | 21 | % | |||||||||||||
$ | 10.23 | 4.39 | % | $ | 2,973 | 0.48 | % | 0.29 | % | 1.12 | % | 16 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 10.67 | 9.22 | % | $ | 3,454 | 0.48 | % | 0.31 | % | 1.90 | % | 15 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 10.43 | 8.81 | % | $ | 1,921 | 0.69 | % | 0.45 | % | 0.38 | % | 14 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 10.77 | 14.30 | % | $ | 2,341 | 0.68 | % | 0.47 | % | 1.18 | % | 29 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 9.57 | 2.69 | % | $ | 3,619 | 0.67 | % | 0.42 | % | 1.31 | % | 16 | % | |||||||||||||
$ | 9.45 | (5.06 | )% | $ | 2,466 | 0.69 | % | 0.46 | % | 1.99 | % | 18 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2016 | 45 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)
1. ORGANIZATION
The Bridge Builder Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on December 19, 2012, and is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2016, the Trust consisted of nine series, of which the eight active series identified below are presented in this report (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 tax 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 has 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.
46 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
As of December 31, 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 generally declare and pay distributions of net investment income annually, as necessary. Realized capital gains, if any, are distributed by each Fund at least annually, as necessary. 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 and 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
Semiannual Report • December 31, 2016 | 47 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. This risk is in addition to the risk of decline in the value of the Fund’s other assets. Where such purchases are made through dealers, the Fund relies on the dealer to consummate the sale. The dealer’s failure to do so may result in a loss to the Fund of an advantageous yield or price. Although the Fund will generally enter into forward commitments with the intention of acquiring securities for its portfolio, the Fund may dispose of a commitment prior to settlement if it deems it appropriate to do so.
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
48 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 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. OTC Swaps are marked to market daily and the change, if any, is included in the OTC Swap Contracts, at Value line item on the Statements of Assets and Liabilities. Both OTC and Centrally Cleared Swaps show this component 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
Semiannual Report • December 31, 2016 | 49 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded loan commitments are marked daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation 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) Noninvestment-Grade Debt – Certain Funds may invest in noninvestment-grade debt, including “high yield” or “junk” bonds. The noninvestment-grade debt market may experience sudden and sharp price swings due to a variety of factors, including changes in economic forecasts, stock market activity, a high-profile default, or a change in market sentiment. These events may decrease the ability of issuers to make principal and interest payments and adversely affect the liquidity or value, or both, of such securities.
e) Restricted Securities – The Funds may own investment securities that are unregistered and thus restricted as to resale. These securities are valued after giving due consideration to pertinent factors, including recent private sales, market conditions and the issuer’s financial performance. Where future disposition of these securities requires registration under the Securities Act of 1933, a Fund may have the right to include these securities in such registration, generally without cost to the Fund. A Fund generally has no right to require registration of the unregistered securities it holds. All restricted securities held at December 31, 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’ December 31, 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 | $ | 24,071,435 | $ | 1,475,096,468 | ||||
Core Plus Bond Fund | — | 683,775,297 | ||||||
Municipal Bond Fund | 1,315,405 | 22,913,651 |
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 Trust’s 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
50 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 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 Valuation Committee 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.
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. |
Semiannual Report • December 31, 2016 | 51 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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.
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 are 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.
52 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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.
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 | $ | — | $ | 984,284,392 | $ | 56,731,203 | $ | 1,041,015,595 | ||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 145,345,975 | — | 145,345,975 | ||||||||||||
Communications | — | 280,035,156 | 264,100 | 280,299,256 | ||||||||||||
Consumer Cyclical | — | 191,714,527 | 21,984 | 191,736,511 | ||||||||||||
Consumer Non-cyclical | — | 462,416,753 | — | 462,416,753 | ||||||||||||
Diversified | — | 7,889,922 | — | 7,889,922 | ||||||||||||
Energy | — | 363,374,939 | — | 363,374,939 | ||||||||||||
Financials | — | 1,338,160,543 | — | 1,338,160,543 | ||||||||||||
Industrials | — | 130,213,270 | 234,868 | 130,448,138 | ||||||||||||
Real Estate | — | 9,170,022 | — | 9,170,022 | ||||||||||||
Technology | — | 128,166,251 | — | 128,166,251 | ||||||||||||
Utilities | — | 256,958,411 | — | 256,958,411 | ||||||||||||
Government Related | — | 2,246,665,409 | — | 2,246,665,409 | ||||||||||||
Mortgage-Backed Obligations | — | 3,633,748,164 | 36,153,487 | 3,669,901,651 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Financials | 2,376,900 | — | — | 2,376,900 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 819,153,079 | — | — | 819,153,079 | ||||||||||||
U.S. Treasury Bills | — | 1,496,406 | — | 1,496,406 | ||||||||||||
Futures Contracts (1) | 203,469 | — | — | 203,469 | ||||||||||||
Total Assets | $ | 821,733,448 | $ | 10,179,640,140 | $ | 93,405,642 | $ | 11,094,779,230 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts (1) | $ | 1,054,243 | $ | — | $ | — | $ | 1,054,243 | ||||||||
Total Liabilities | $ | 1,054,243 | $ | — | $ | — | $ | 1,054,243 |
Semiannual Report • December 31, 2016 | 53 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Core Plus Bond Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Asset-Backed Obligations | $ | — | $ | 432,082,024 | $ | — | $ | 432,082,024 | ||||||||
Bank Loans | — | 91,351,049 | 579,566 | 91,930,615 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 47,033,543 | — | 47,033,543 | ||||||||||||
Communications | — | 178,357,423 | — | 178,357,423 | ||||||||||||
Consumer Cyclical | — | 173,218,460 | 2,675,353 | 175,893,813 | ||||||||||||
Consumer Non-cyclical | — | 322,501,621 | — | 322,501,621 | ||||||||||||
Diversified | — | 2,443,450 | — | 2,443,450 | ||||||||||||
Energy | — | 166,834,123 | — | 166,834,123 | ||||||||||||
Financials | — | 627,841,398 | — | 627,841,398 | ||||||||||||
Industrials | — | 105,008,404 | — | 105,008,404 | ||||||||||||
Real Estate | — | 41,692,964 | — | 41,692,964 | ||||||||||||
Technology | — | 92,611,434 | — | 92,611,434 | ||||||||||||
Utilities | — | 101,992,343 | — | 101,992,343 | ||||||||||||
Government Related | — | 1,244,086,963 | — | 1,244,086,963 | ||||||||||||
Mortgage-Backed Obligations | — | 1,412,377,597 | 7,134,456 | 1,419,512,053 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer, Non-cyclical | 1,000,854 | — | — | 1,000,854 | ||||||||||||
Financials | 9,172,818 | — | — | 9,172,818 | ||||||||||||
Industrials | 647,156 | — | — | 647,156 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Certificates of Deposit | 2,943,984 | — | 2,943,984 | |||||||||||||
Commercial Papers | 4,607,921 | — | 4,607,921 | |||||||||||||
Money Market Funds | 384,029,809 | — | — | 384,029,809 | ||||||||||||
U.S. Treasury Bills | 79,927,438 | — | 79,927,438 | |||||||||||||
Futures Contracts (1) | 140,836 | — | — | 140,836 | ||||||||||||
Forward Foreign Currency Exchange Contracts (1) | — | 670,481 | — | 670,481 | ||||||||||||
Swap Contracts (1) | — | 327,868 | — | 327,868 | ||||||||||||
Total Assets | $ | 394,991,473 | $ | 5,127,910,488 | $ | 10,389,375 | $ | 5,533,291,336 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts (1) | $ | 802,198 | $ | — | $ | — | $ | 802,198 | ||||||||
Forward Foreign Currency Exchange Contracts (1) | — | 509 | — | 509 | ||||||||||||
Swap Contracts (1) | — | 301,316 | — | 301,316 | ||||||||||||
Total Liabilities | $ | 802,198 | $ | 301,825 | $ | — | $ | 1,104,023 | ||||||||
Municipal Bond Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Municipal Bonds | ||||||||||||||||
Education | $ | — | $ | 295,286,777 | $ | — | $ | 295,286,777 | ||||||||
General Obligation | — | 533,225,311 | 399,944 | 533,625,255 | ||||||||||||
General Revenue | — | 446,510,626 | 3,488,107 | 449,998,733 | ||||||||||||
Healthcare | — | 285,554,248 | 8,222,554 | 293,776,802 | ||||||||||||
Housing | — | 66,853,999 | — | 66,853,999 | ||||||||||||
Transportation | — | 250,059,835 | — | 250,059,835 | ||||||||||||
Utilities | — | 192,567,520 | — | 192,567,520 | ||||||||||||
Short-Term Investments | 62,281,173 | — | — | 62,281,173 | ||||||||||||
Total Assets | $ | 62,281,173 | $ | 2,070,058,316 | $ | 12,110,605 | $ | 2,144,450,094 |
54 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Large Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 493,473,162 | $ | 10,480,405 | $ | — | $ | 503,953,567 | ||||||||
Consumer Staples | 267,100,438 | — | — | 267,100,438 | ||||||||||||
Energy | 109,351,659 | — | — | 109,351,659 | ||||||||||||
Financials | 179,627,866 | — | — | 179,627,866 | ||||||||||||
Healthcare | 433,062,444 | — | — | 433,062,444 | ||||||||||||
Industrials | 248,582,620 | — | — | 248,582,620 | ||||||||||||
Information Technology | 1,010,432,949 | — | — | 1,010,432,949 | ||||||||||||
Materials | 47,666,064 | — | — | 47,666,064 | ||||||||||||
Real Estate | 38,745,460 | — | — | 38,745,460 | ||||||||||||
Telecommunication Services | 32,850,947 | — | — | 32,850,947 | ||||||||||||
Utilities | 89,840 | — | — | 89,840 | ||||||||||||
Short-Term Investments | 106,388,192 | — | — | 106,388,192 | ||||||||||||
Total Assets | $ | 2,967,371,641 | $ | 10,480,405 | $ | — | $ | 2,977,852,046 | ||||||||
Large Cap Value Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 327,454,209 | $ | 24,755,484 | $ | — | $ | 352,209,693 | ||||||||
Consumer Staples | 287,209,594 | — | — | 287,209,594 | ||||||||||||
Energy | 350,070,374 | — | — | 350,070,374 | ||||||||||||
Financials | 706,087,787 | — �� | — | 706,087,787 | ||||||||||||
Healthcare | 430,300,353 | — | — | 430,300,353 | ||||||||||||
Industrials | 395,660,344 | — | — | 395,660,344 | ||||||||||||
Information Technology | 347,190,753 | 34,956,010 | — | 382,146,763 | ||||||||||||
Materials | 255,094,172 | — | — | 255,094,172 | ||||||||||||
Real Estate | 62,680,466 | — | — | 62,680,466 | ||||||||||||
Telecommunication Services | 24,969,514 | — | — | 24,969,514 | ||||||||||||
Utilities | 20,370,685 | — | — | 20,370,685 | ||||||||||||
Short-Term Investments | 169,792,787 | — | — | 169,792,787 | ||||||||||||
Total Assets | $ | 3,376,881,038 | $ | 59,711,494 | $ | — | $ | 3,436,592,532 | ||||||||
Small/Mid Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 265,902,320 | $ | — | $ | — | $ | 265,902,320 | ||||||||
Consumer Staples | 125,348,127 | — | — | 125,348,127 | ||||||||||||
Energy | 56,015,603 | — | — | 56,015,603 | ||||||||||||
Financials | 217,561,218 | — | — | 217,561,218 | ||||||||||||
Healthcare | 326,444,656 | — | — | 326,444,656 | ||||||||||||
Industrials | 311,243,915 | — | — | 311,243,915 | ||||||||||||
Information Technology | 408,435,915 | — | — | 408,435,915 | ||||||||||||
Materials | 68,867,702 | — | — | 68,867,702 | ||||||||||||
Real Estate | 41,358,502 | — | — | 41,358,502 | ||||||||||||
Telecommunication Services | 18,049,128 | — | — | 18,049,128 | ||||||||||||
Utilities | 4,490,152 | — | — | 4,490,152 | ||||||||||||
Rights | ||||||||||||||||
Healthcare | — | — | 57,056 | 57,056 | ||||||||||||
Short-Term Investments | 78,700,863 | — | — | 78,700,863 | ||||||||||||
Total Assets | $ | 1,922,418,101 | $ | — | $ | 57,056 | $ | 1,922,475,157 |
Semiannual Report • December 31, 2016 | 55 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Small/Mid Cap Value Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 240,618,908 | $ | — | $ | — | $ | 240,618,908 | ||||||||
Consumer Staples | 42,003,025 | — | — | 42,003,025 | ||||||||||||
Energy | 165,088,024 | — | — | 165,088,024 | ||||||||||||
Financials | 537,034,200 | — | — | (2) | 537,034,200 | |||||||||||
Healthcare | 170,353,634 | — | — | 170,353,634 | ||||||||||||
Industrials | 355,555,734 | — | — | 355,555,734 | ||||||||||||
Information Technology | 324,066,644 | — | — | 324,066,644 | ||||||||||||
Materials | 158,433,386 | — | — | 158,433,386 | ||||||||||||
Real Estate | 172,442,014 | — | — | 172,442,014 | ||||||||||||
Telecommunication Services | 6,408,699 | — | — | 6,408,699 | ||||||||||||
Utilities | 96,589,982 | — | — | 96,589,982 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Financials | 39,960 | — | — | 39,960 | ||||||||||||
Short-Term Investments | 74,125,195 | — | — | 74,125,195 | ||||||||||||
Total Assets | $ | 2,342,759,405 | $ | — | $ | — | $ | 2,342,759,405 | ||||||||
International Equity Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 57,317,924 | $ | 522,113,521 | $ | — | $ | 579,431,445 | ||||||||
Consumer Staples | 78,439,621 | 362,441,937 | — | 440,881,558 | ||||||||||||
Energy | 42,973,169 | 190,941,930 | — | 233,915,099 | ||||||||||||
Financials | 64,875,937 | 523,403,871 | — | 588,279,808 | ||||||||||||
Healthcare | 67,440,479 | 330,553,343 | — | 397,993,822 | ||||||||||||
Industrials | 25,317,349 | 379,582,728 | — | 404,900,077 | ||||||||||||
Information Technology | 160,730,406 | 267,337,281 | — | 428,067,687 | ||||||||||||
Materials | — | 110,863,814 | — | 110,863,814 | ||||||||||||
Real Estate | — | 21,021,220 | — | 21,021,220 | ||||||||||||
Telecommunication Services | 11,862,309 | 128,607,447 | — | 140,469,756 | ||||||||||||
Utilities | 68,940 | 62,058,200 | — | 62,127,140 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 7,678,625 | — | 7,678,625 | ||||||||||||
Consumer Staples | — | 318,909 | — | 318,909 | ||||||||||||
Industrials | — | — | 2,676 | 2,676 | ||||||||||||
Materials | — | 41,596 | — | 41,596 | ||||||||||||
Short-Term Investments | 179,446,461 | — | — | 179,446,461 | ||||||||||||
Total Assets | $ | 688,472,595 | $ | 2,906,964,422 | $ | 2,676 | $ | 3,595,439,693 |
(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. |
(2) | Includes a security valued at $0. |
56 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (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 Core Plus Bond, 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, Core Plus Bond, Municipal Bond and International Equity Funds during the reporting period from July 1, 2016 to December 31, 2016. There were no transfers between levels for the Large Cap Growth, Large Cap Value, Small/Mid Cap Growth and Small/Mid Cap Value Funds during the reporting period ended December 31, 2016.
Core Bond Fund | Core Plus Bond Fund | Municipal Bond Fund | International Equity Fund | |||||||||||||
Transfers into Level 1 | $ | — | $ | — | $ | — | $ | 7,282,984 | ||||||||
Transfers out of Level 1 | — | — | — | (9,783,615 | ) | |||||||||||
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|
| |||||||||
Net transfers out of Level 1 | $ | — | $ | — | $ | — | $ | (2,500,631 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Transfers into Level 2 (1) | $ | 23,423,939 | $ | 11,501,540 | $ | 8,716,335 | $ | 9,804,136 | ||||||||
Transfers out of Level 2 (2) | (3,354,878 | ) | (2,675,353 | ) | (2,561,653 | ) | (7,282,984 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net transfers into Level 2 | $ | 20,069,061 | $ | 8,826,187 | $ | 6,154,682 | $ | 2,521,152 | ||||||||
|
|
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|
|
|
| |||||||||
Transfers into Level 3 (2) | $ | 3,354,878 | $ | 2,675,353 | $ | 2,561,653 | $ | — | ||||||||
Transfers out of Level 3 (1) | (23,423,939 | ) | (11,501,540 | ) | (8,716,335 | ) | (20,521 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net transfers into/(out of) Level 3 | $ | (20,069,061 | ) | $ | (8,826,187 | ) | $ | (6,154,682 | ) | $ | (20,521 | ) | ||||
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(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 1 and Level 2 to Level 3 because of the lack of observable market data. |
Below is a roll forward which details the activity of securities in Level 3 during the period ended December 31, 2016:
Core Bond Fund | Municipal Bond Fund | |||||||
Beginning Balance – June 30, 2016 | $ | 89,805,226 | $ | 7,663,325 | ||||
Purchases | 54,271,340 | 12,561,432 | ||||||
Sales proceeds and paydowns | (30,312,063 | ) | (1,600,000 | ) | ||||
Transfers into Level 3 | 3,354,878 | 2,561,653 | ||||||
Transfer out of Level 3 | (23,423,939 | ) | (8,716,335 | ) | ||||
Realized gains/(losses), net | 113,058 | -— | ||||||
Change in unrealized gains/(losses), net | (402,858 | ) | (359,470 | ) | ||||
|
|
| �� | |||||
Ending Balance – December 31, 2016 | $ | 93,405,642 | $ | 12,110,605 | ||||
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The realized and unrealized gains/(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 and Municipal Bond Funds at December 31, 2016 total $476,499 and $(572,849), respectively.
The following provides a general description of the impact of a change in an unobservable input on the fair value measurement and the interrelationship of unobservable inputs, where relevant and significant. Interrelationships may also exist between observable and unobservable inputs (for example, as interest rates rise, prepayment rates decline).
Semiannual Report • December 31, 2016 | 57 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Significant unobservable inputs used by the third-party pricing vendors and broker-dealers generally include prepayment rates, interest rates, probability of default and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation could result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.
Additionally, third-party pricing vendors and broker-dealers could use market activity related to comparable securities to supplement the inputs noted above. Usually, an increase (decrease) in the price of a comparable bond would result in a higher (lower) fair value measurement.
The following tables present information about unobservable inputs related to the Funds’ categories of Level 3 investments as of December 31, 2016:
Quantitative Information about Level 3 Fair Value Measurements*
Core Bond Fund
Investment Type | Fair Value at 12/31/16 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
Asset-Backed Obligations | $ | 8,536,911 | Discounted Cash Flow | Internal Rate of Return | 7.80% | 7.80 | % | |||||||
Life expectancy (in months) | 19.44 | 19.44 | ||||||||||||
Corporate Bonds | $ | 15,837 | Discounted Cash Flow | Internal Rate of Return | 0.00% | 0.00 | % | |||||||
Mortgage-Backed Obligations | $ | 2,288,669 | Discounted Cash Flow | Internal Rate of Return | 2.94%-6.45% | 6.45 | % | |||||||
Life expectancy (in months) | 3.12-11.16 | 11.16 | ||||||||||||
Mortgage-Backed Obligations | $ | 4,547,019 | Market activity | Recent transaction | $99.56 | $ | 99.56 |
Municipal Bond Fund
Investment Type | Fair Value at 12/31/16 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
Municipal Bonds | $ | 12,110,605 | Discounted Cash Flow | Internal Rate of Return | 1.39%-6.69% | 4.22 | % |
*The tables above do not include Level 3 securities that are valued using a single broker’s quote. At December 31, 2016, the value of these securities was $78,017,206 and $0 for the Core 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 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.
58 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The following table lists the fair value of derivative instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at period end.
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 | $ | 203,469 | $ | — | $ | — | $ | (1,054,243 | ) | $ | — | $ | — | |||||||||||
Core Plus Bond Fund | 140,836 | — | — | (802,198 | ) | — | — | |||||||||||||||||
Foreign Exchange Risk: | ||||||||||||||||||||||||
Core Plus Bond Fund | — | — | 670,481 | — | — | (509 | ) | |||||||||||||||||
Credit Risk: | ||||||||||||||||||||||||
Core Plus Bond Fund | — | 327,868 | — | — | (301,316 | ) | — |
* | 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 December 31, 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 | $ | (8,559,642 | ) | $ | — | $ | — | $ | 915,322 | $ | — | $ | — | |||||||||||
Core Plus Bond Fund | (5,542,507 | ) | — | — | (2,049,952 | ) | — | — | ||||||||||||||||
Municipal Bond Fund | 118,961 | — | — | 285 | — | — | ||||||||||||||||||
Equity Risk: | ||||||||||||||||||||||||
Large Cap Growth Fund | 31,008 | — | — | (475 | ) | — | — | |||||||||||||||||
Large Cap Value Fund | 106,980 | — | — | (16,897 | ) | — | — | |||||||||||||||||
Small/Mid Cap Growth Fund | 80,483 | — | — | (922 | ) | — | — | |||||||||||||||||
Small/Mid Cap Value Fund | 91,953 | — | — | (5,127 | ) | — | — | |||||||||||||||||
Foreign Exchange Risk: | ||||||||||||||||||||||||
Core Plus Bond Fund | — | 94,730 | — | — | 572,582 | — | ||||||||||||||||||
Credit Risk: | ||||||||||||||||||||||||
Core Plus Bond Fund | — | — | (86,470 | ) | — | — | 131,704 |
Semiannual Report • December 31, 2016 | 59 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type, net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2016:
Core Plus Bond Fund | ||||||||||||||||||||||||||
Investment Type | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Assets & Liabilities | Net Amounts Presented in the Statements of Assets & Liabilities | Gross Amounts not offset in the Statements of Assets & Liabilities | Net | |||||||||||||||||||||
Counterparty | Financial Instruments | Collateral (Pledged)/ Received | ||||||||||||||||||||||||
Royal Bank of Canada | Forward Foreign Currency Exchange Contracts | $ | 670,481 | $ | — | $ | 670,481 | $ | — | $ | — | $ | 670,481 | |||||||||||||
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | 670,481 | — | 670,481 | — | — | 670,481 | ||||||||||||||||||||
Investment Type | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Assets & Liabilities | Net Amounts Presented in the Statements of Assets & Liabilities | Gross Amounts not offset in the Statements of Assets & Liabilities | Net | |||||||||||||||||||||
Counterparty | Financial Instruments | Collateral (Pledged)/ Received | ||||||||||||||||||||||||
Canadian Imperial Bank of Commerce | Forward Foreign Currency Exchange Contracts | $ | 509 | $ | — | $ | 509 | $ | — | $ | — | $ | 509 | |||||||||||||
Goldman Sachs | Credit Default Swap | 301,316 | — | 301,316 | — | — | 301,316 | |||||||||||||||||||
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | 301,825 | — | 301,825 | — | — | 301,825 |
The Funds’ average monthly notional amount of derivatives during the period ended December 31, 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 | $ | 442,790,865 | $ | (137,543,315 | ) | $ | — | $ | — | $ | — | |||||||||
Core Plus Bond Fund | 225,956,147 | (55,278,915 | ) | 666,667 | 7,100,000 | 6,462,296 | ||||||||||||||
Large Cap Growth Fund | 338,760 | — | — | — | — | |||||||||||||||
Large Cap Value Fund | 667,348 | — | — | — | — | |||||||||||||||
Small/Mid Cap Growth Fund | 1,128,230 | — | — | — | — | |||||||||||||||
Small/Mid Cap Value Fund | 459,419 | — | — | — | — |
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.
60 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The Adviser provides 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 furnishes 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 December 31, 2016 are noted in the table below:
Fund | Annual Management Fee | Management Fees Waived by Adviser | ||||||
Core Bond Fund | 0.32 | % | $ | (10,920,975 | ) | |||
Core Plus Bond Fund | 0.36 | (5,315,087 | ) | |||||
Municipal Bond Fund | 0.36 | (1,972,110 | ) | |||||
Large Cap Growth Fund | 0.44 | (2,573,116 | ) | |||||
Large Cap Value Fund | 0.44 | (2,436,743 | ) | |||||
Small/Mid Cap Growth Fund | 0.64 | (2,208,226 | ) | |||||
Small/Mid Cap Value Fund | 0.64 | (2,247,640 | ) | |||||
International Equity Fund | 0.60 | (3,785,290 | ) |
None of the management fees waived by the Adviser pursuant to the agreement described above 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. PGIM, Inc. | |
Core Plus Bond Fund | Janus Capital Management, LLC Loomis Sayles & Company, L.P. Metropolitan West Asset Management, LLC T.Rowe Price Associates, Inc. | |
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, LLC 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 |
Semiannual Report �� December 31, 2016 | 61 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Fund | Sub-advisers | |
Small/Mid Cap Value Fund | Boston Partners Global Investors, Inc. Vaughan Nelson Investment Management, L.P. Silvercrest Asset Management Group LLC Advisory Research, Inc. BlackRock Investment Management, LLC LSV Asset Management | |
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 Pzena Investment Management, LLC |
Subject to the supervision of the Adviser, the Sub-advisers provide the Funds, among other services, a continuous investment program 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, 2017, 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. During the period ended December 31, 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 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.
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
62 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 Trust’s 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 period ended December 31, 2016, the aggregate value of purchases and sales cross trades with other Funds or accounts were as follows:
Purchases | Sales | |||||||
Large Cap Growth Fund | $ | 652,782 | $ | 420,243 | ||||
Large Cap Value Fund | 2,352,726 | 486,112 | ||||||
Small/Mid Cap Growth Fund | 431,246 | 375,283 | ||||||
Small/Mid Cap Value Fund | 175,261 | 442,945 | ||||||
International Equity Fund | 11,091,039 | 13,448,336 |
7. LINE OF CREDIT ARRANGEMENT
The Trust is a party to an unsecured line of credit agreement with U.S. Bank, N.A., expiring June 30, 2017. The arrangement allows the Funds to borrow for temporary purposes to meet large or unexpected redemptions. 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 period ended December 31, 2016.
8. INTERFUND LENDING AGREEMENT
On June 1, 2016, the Funds received exemptive relief from the SEC to enter into a master interfund lending agreement with each other that permits each Fund to lend money directly to and borrow money directly from other Funds for temporary purposes. Each Fund may lend to another Fund, 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 may not exceed 5% of the 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 December 31, 2016, the Funds have yet to lend under this agreement.
9. INVESTMENT TRANSACTIONS
For the period ended December 31, 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 | $ | 10,642,873,888 | $ | 4,349,136,181 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other | 1,595,664,127 | 1,164,329,976 | 502,885,348 | 956,271,101 | 957,244,682 | 360,068,898 | 808,398,240 | 1,487,529,458 | ||||||||||||||||||||||||
Sales: | ||||||||||||||||||||||||||||||||
U.S. Government | 10,419,158,853 | 4,110,234,727 | — | — | — | — | — | — | ||||||||||||||||||||||||
Other | 1,562,464,516 | 430,767,465 | 225,071,074 | 398,171,479 | 424,558,101 | 239,107,481 | 594,063,386 | 452,149,823 |
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
Semiannual Report • December 31, 2016 | 63 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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/(Depreciation) | $ | 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.
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.
64 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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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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 statement 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. Current market conditions may pose heightened risks for the Funds. While the U.S. is experiencing historically low interest rates, recent changes in government policy, including the Federal Reserve ending its quantitative easing program and raising the federal funds rate, have increased the risk that interest rates will rise in the near future. A rise in interest rates may, in turn, increase volatility and reduce liquidity in the fixed income markets and result in a decline in the value of the fixed income investments held by the
Semiannual Report • December 31, 2016 | 65 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Funds. 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.
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 an OTC Swap 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
66 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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.
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,
Semiannual Report • December 31, 2016 | 67 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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. REGULATORY MATTER
In October 2016, the SEC adopted significant reforms to investment company reporting forms and rules. The reforms include amendments to Regulation S-X that will require investment companies to add certain standardized enhanced disclosures, particularly derivative disclosures, to their financial statements. Compliance with the new and amended rules is required for financial statements filed with the SEC on or after August 1, 2017; adoption will have no material effect on the Funds’ net assets or results of operations.
13. 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.
68 | Semiannual Report • December 31, 2016 |
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 | 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 | |||
Ryan Robson (Born: 1978) | President | Indefinite Term; Since July 1, 2016 | Principal, Edward Jones and General Partner, The Jones Financial Companies, LLLP (since 2013); Director, PricewaterhouseCoopers LLP (2010-2013) | |||
Aaron Masek (Born: 1974) | Treasurer | Indefinite Term; Since July 1, 2016 | Director, Finance, Edward Jones (since 2015); Vice President and Treasurer, AQR Funds (2010-2015) | |||
Alan J. Herzog (Born: 1973) | Chief Compliance Officer and Vice President | Indefinite Term; Since January 1, 2015 | Principal, Edward Jones and General Partner, The Jones Financial Companies, LLLP (since 2013); Senior Counsel, Wells Fargo Advisors, LLC (2008-2013) | |||
Helge Lee (Born: 1946) | Secretary | Indefinite Term; Since July 1, 2016 | Associate General Counsel, Edward Jones (since 2014); Special Counsel, Godfrey & Kahn (2005-2014) |
The business address of the Trustees and Officers is the address of the Trust: 615 East Michigan Street, Milwaukee, Wisconsin, 53202.
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1-855-823-3611.
Semiannual Report • December 31, 2016 | 69 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Unaudited)
Pursuant to Section 15(a) of the 1940 Act, a fund’s advisory and sub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.1
The Board met in person on August 23-24, 2016 (the “Meeting”) to: (i) consider the approval of a new sub-advisory agreement (the “LSV Sub-advisory Agreement”) for the Bridge Builder Small/Mid Cap Value Fund (the “SMID Value Fund”) entered into between the Adviser and LSV Asset Management (“LSV”), and (ii) consider the approval of a new sub-advisory agreement (the “Pzena Sub-advisory Agreement” and, together with the LSV Sub-advisory Agreement, the “New Sub-advisory Agreements”) for the Bridge Builder International Equity Fund (the “International Equity Fund”) entered into between the Adviser and Pzena Investment Management, LLC (“Pzena” and, together with LSV, the “New Sub-advisers”).
In advance of the in-person Meeting and a telephonic Board meeting held on August 15, 2016 to discuss the proposed New Sub-advisory Agreements (together with the in-person Meeting, the “Meetings”), in response to the Independent Trustees’ request for information, the Adviser and each New Sub-adviser furnished information to the Board necessary for the Board to evaluate the terms of each of the New Sub-advisory Agreements. This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by each New Sub-adviser; (ii) each New Sub-adviser’s investment management personnel; (iii) each New Sub-adviser’s operations; (iv) each New Sub-adviser’s investment philosophy and investment process; (v) the sub-advisory fees proposed to be payable to each New Sub-adviser; (vi) each New Sub-adviser’s policies and compliance procedures, including those related to personal securities transactions; and (vii) the investment performance of accounts managed by each New Sub-adviser with strategies similar to the portion of the respective fund proposed to be managed by that New Sub-adviser.
At the Meetings, representatives of the Adviser and each New Sub-adviser also made presentations and responded to questions regarding each New Sub-adviser’s services and fees, as well as other aspects of the New Sub-advisory Agreements. The Independent Trustees received advice from Trust counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory and sub-advisory arrangements, and met in executive session outside the presence of the interested Trustees, Trust management and representatives of the Adviser and the New Sub-advisers to discuss the New Sub-advisory Agreements and the services to be provided by each New Sub-adviser thereunder.
Sub-advisory Agreement with LSV
In considering the approval of the LSV Sub-advisory Agreement, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services to be provided by LSV under the LSV Sub-advisory Agreement. The Board reviewed the portfolio management services proposed to be provided by LSV, including how LSV’s investment approach and process complement those of the other sub-advisers that manage the SMID Value Fund, as well as the background and experience of LSV’s portfolio management personnel. The Board discussed the history of LSV and its experience in the role of sub-adviser to registered investment companies. The Board reviewed the resources of LSV and the terms of the proposed LSV Sub-advisory Agreement. The Trustees also considered other services to be provided to the SMID Value Fund by LSV under the Adviser’s supervision, such as monitoring adherence to the SMID Value Fund’s investment restrictions, monitoring compliance with various SMID Value Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, voting proxies, and selecting broker-dealers to execute portfolio transactions.
1 | Bridge Builder Trust and the Adviser have received an exemptive order from the Securities and Exchange Commission permitting them to enter into and materially amend sub-advisory agreements without obtaining shareholder approval under Section 15(a) of the 1940 Act and granting them relief from certain disclosure requirements. |
70 | Semiannual Report • December 31, 2016 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Unaudited) (Continued)
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that LSV is capable of providing services of the type and nature contemplated by the terms of the LSV Sub-advisory Agreement.
2. Fees and Other Expenses. The Trustees reviewed a report on the sub-advisory fees proposed to be payable by the Adviser to LSV. The Trustees considered that the Adviser, not the SMID Value Fund, would pay LSV pursuant to the LSV Sub-advisory Agreement. The Trustees noted, however, that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser with respect to the SMID Value Fund exceed the sub-advisory fees the Adviser is required to pay the SMID Value Fund’s sub-advisers. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the sub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by LSV.
3. LSV’s Investment Performance Record. Because LSV is new to the SMID Value Fund, the Board was not able to evaluate an investment performance record for the portion of the SMID Value Fund to be managed by LSV. The Board did consider LSV’s performance history with respect to similarly-managed investment accounts.
4. Profitability and Economies of Scale. The Board did not consider profitability of LSV to be a material factor, given that LSV is not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length. The Board noted that LSV had agreed to contractual breakpoints in its fee schedule.
5. Indirect Benefits. The Board noted that SMID Value Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program, sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the SMID Value Fund.
CONCLUSION
While formal Board action was not taken with respect to the conclusions discussed above, those conclusions formed, in part, the basis for the Board’s approval of the LSV Sub-advisory Agreement at the Meeting. The Board concluded, in the exercise of its reasonable judgment, that the terms of the LSV Sub-advisory Agreement, including the compensation to be paid thereunder, are reasonable in relation to the services expected to be provided by LSV to the SMID Value Fund and that the appointment of LSV and the approval of the LSV Sub-advisory Agreement would be in the best interests of the SMID Value Fund and its shareholders. Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved (a) the appointment of LSV as a sub-adviser to the SMID Value Fund, and (b) the LSV Sub-advisory Agreement.
Sub-advisory Agreement with Pzena
In considering the approval of the Pzena Sub-advisory Agreement, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services to be provided by Pzena under the Pzena Sub-advisory Agreement. The Board reviewed the portfolio management services and investment process proposed by Pzena, including how Pzena’s investment philosophy and process complement those of the other sub-advisers that manage the International Equity Fund. The Board also reviewed the background and experience of Pzena’s portfolio management personnel, their compensation structure, and their succession plans. The Board reviewed Pzena’s resources and the terms of the proposed Pzena Sub-advisory Agreement. The Trustees also considered other services to be provided to the International Equity Fund by Pzena under the Adviser’s supervision, such as monitoring adherence to the International Equity Fund’s investment restrictions, monitoring compliance with various
Semiannual Report • December 31, 2016 | 71 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Unaudited) (Continued)
International Equity Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, voting proxies, and selecting broker-dealers to execute portfolio transactions.
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that Pzena is capable of providing services of the type and nature contemplated by the terms of the Pzena Sub-advisory Agreement.
2. Fees and Other Expenses. The Trustees reviewed a report on the sub-advisory fees proposed to be payable by the Adviser to Pzena. The Trustees considered that the Adviser, not the International Equity Fund, would pay Pzena pursuant to the Pzena Sub-advisory Agreement. The Trustees noted, however, that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser with respect to the International Equity Fund exceed the sub-advisory fees the Adviser is required to pay the International Equity Fund’s sub-advisers. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the sub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by Pzena.
3. Pzena’s Investment Performance Record. Because Pzena is new to the International Equity Fund, the Board was not able to evaluate an investment performance record for the portion of the International Equity Fund to be managed by Pzena. The Board did consider Pzena’s performance history with respect to similarly-managed investment accounts.
4. Profitability and Economies of Scale. The Board did not consider profitability of Pzena to be a material factor, given that Pzena is not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length.
5. Indirect Benefits. The Board noted that International Equity Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program, sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the International Equity Fund.
CONCLUSION
While formal Board action was not taken with respect to the conclusions discussed above, those conclusions formed, in part, the basis for the Board’s approval of the Pzena Sub-advisory Agreement at the Meeting. The Board concluded, in the exercise of its reasonable judgment, that the terms of the Pzena Sub-advisory Agreement, including the compensation to be paid thereunder, are reasonable in relation to the services expected to be provided by Pzena to the International Equity Fund and that the appointment of Pzena and the approval of the Pzena Sub-advisory Agreement would be in the best interests of the International Equity Fund and its shareholders. Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved (a) the appointment of Pzena as a sub-adviser to the International Equity Fund, and (b) the Pzena Sub-advisory Agreement.
72 | Semiannual Report • December 31, 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.
Semiannual Report • December 31, 2016 | 73 |
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 |
74 | Semiannual Report • December 31, 2016 |
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
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.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
(a) |
Bridge Builder Core Bond Fund
Schedule of Investments
December 31, 2016 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES – 96.90% | ||||||||
Asset-Backed Obligations – 9.82% | ||||||||
ABFC 2005-AQ1 Trust | ||||||||
4.85%, 06/25/2035 | $ | 572,715 | $ | 583,996 | ||||
ABFC 2006-OPT1 Trust | ||||||||
0.91%, 09/25/2036 | 4,960,113 | 4,655,019 | ||||||
Academic Loan Funding Trust 2012-1 | ||||||||
1.38%, 12/27/2022 (Acquired 10/28/2013 through 11/14/2014, Cost $481,502) (1) | 480,305 | 480,884 | ||||||
Academic Loan Funding Trust 2013-1 | ||||||||
1.56%, 12/26/2044 (Acquired 11/15/2013, Cost $1,175,395) (1) | 1,182,845 | 1,172,864 | ||||||
Accredited Mortgage Loan Trust 2006-2 | ||||||||
0.91%, 09/25/2036 | 538,396 | 536,175 | ||||||
Ajax Mortgage Loan Trust 2016-2 | ||||||||
4.13%, 10/25/2056 (Acquired 10/20/2016, Cost $1,365,528) (1) | 1,368,046 | 1,361,948 | ||||||
Ajax Mortgage Loan Trust 2016-C | ||||||||
4.00%, 10/25/2057 (Acquired 10/21/2016, Cost $3,056,789) (1) | 3,056,789 | 3,063,273 | ||||||
Ally Auto Receivables Trust 2015-SN1 | ||||||||
1.21%, 12/20/2017 | 323,079 | 323,098 | ||||||
American Credit Acceptance Receivables Trust 2014-3 | ||||||||
2.43%, 06/10/2020 (Acquired 01/28/2015, Cost $91,918) (1) | 91,882 | 91,964 | ||||||
American Credit Acceptance Receivables Trust 2015-1 | ||||||||
1.43%, 08/12/2019 (Acquired 03/11/2015, Cost $44,530) (1) | 44,531 | 44,531 | ||||||
American Credit Acceptance Receivables Trust 2015-2 | ||||||||
1.57%, 06/12/2019 (Acquired 06/17/2015, Cost $344,609) (1) | 344,608 | 344,698 | ||||||
4.32%, 05/12/2021 (Acquired 06/17/2015, Cost $979,906) (1) | 980,000 | 998,627 | ||||||
American Credit Acceptance Receivables Trust 2016-3 | ||||||||
1.70%, 11/12/2020 (Acquired 07/22/2016, Cost $1,046,103) (1) | 1,046,137 | 1,044,307 | ||||||
American Credit Acceptance Receivables Trust 2016-4 | ||||||||
2.91%, 02/13/2023 (Acquired 11/04/2016, Cost $1,411,838) (1) | 1,412,000 | 1,399,772 | ||||||
American Express Credit Account Master Trust 2013-1 | ||||||||
1.40%, 02/16/2021 | 5,250,000 | 5,247,241 |
Principal Amount | Value | |||||||
American Homes 4 Rent 2014-SFR2 Trust | ||||||||
3.79%, 10/17/2036 (Acquired 07/16/2015 through 08/12/2015, Cost $1,972,574) (1) | 1,926,835 | 1,977,201 | ||||||
4.29%, 10/17/2036 (Acquired 09/18/2014, Cost $300,396) (1) | 300,000 | 309,716 | ||||||
6.23%, 10/17/2036 (Acquired 04/02/2015, Cost $1,079,883) (1) | 1,000,000 | 1,042,988 | ||||||
American Homes 4 Rent 2014-SFR3 Trust | ||||||||
4.60%, 12/18/2036 (Acquired 04/06/2015 through 11/12/2015, Cost $616,357) (1) | 600,000 | 615,810 | ||||||
6.42%, 12/18/2036 (Acquired 04/01/2015 through 04/22/2015, Cost $1,094,198) (1) | 1,000,000 | 1,054,978 | ||||||
American Homes 4 Rent 2015-SFR1 | ||||||||
3.47%, 04/18/2052 (Acquired 04/01/2015 through 04/13/2015, Cost $2,215,158) (1) | 2,181,852 | 2,192,916 | ||||||
5.64%, 04/18/2052 (Acquired 04/01/2015 through 01/14/2016, Cost $1,448,205) (1) | 1,400,000 | 1,401,298 | ||||||
American Homes 4 Rent 2015-SFR2 Trust | ||||||||
3.73%, 10/18/2052 (Acquired 09/14/2015, Cost $1,720,885) (1) | 1,715,173 | 1,752,601 | ||||||
AmeriCredit Automobile Receivables 2015-4 | ||||||||
1.40%, 04/08/2019 | 7,587,253 | 7,596,045 | ||||||
AmeriCredit Automobile Receivables 2016-1 | ||||||||
1.40%, 06/10/2019 | 4,205,346 | 4,210,355 | ||||||
AmeriCredit Automobile Receivables Trust 2014-1 | ||||||||
0.90%, 02/08/2019 | 396,961 | 396,905 | ||||||
AmeriCredit Automobile Receivables Trust 2016-2 | ||||||||
1.35%, 10/08/2019 | 6,984,105 | 6,998,849 | ||||||
1.42%, 10/08/2019 | 2,483,515 | 2,485,284 | ||||||
1.60%, 11/09/2020 | 342,000 | 341,337 | ||||||
AmeriCredit Automobile Receivables Trust 2016-3 | ||||||||
1.21%, 11/08/2019 | 3,000,000 | 3,003,237 | ||||||
2.24%, 04/08/2022 | 4,122,000 | 4,077,619 | ||||||
2.71%, 09/08/2022 | 1,383,000 | 1,359,328 | ||||||
Americredit Automobile Receivables Trust 2016-4 | ||||||||
1.83%, 12/08/2021 | 900,000 | 890,951 | ||||||
2.41%, 07/08/2022 | 3,120,000 | 3,089,515 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2003-13 | ||||||||
4.97%, 01/25/2034 | 3,606 | 3,750 | ||||||
Amortizing Residential Collateral Trust 2002-BC5 | ||||||||
1.79%, 07/25/2032 | 4,072,175 | 4,000,349 | ||||||
Anchor Assets IX LLC | ||||||||
5.13%, 05/15/2020 (Acquired 04/04/2016 through 12/13/2016, Cost $7,485,559) (1)(7)(8) | 7,500,000 | 7,500,000 | ||||||
Apidos CLO IX | ||||||||
2.18%, 07/15/2023 (Acquired 3/27/2015, Cost $2,803,589) (1) | 2,803,589 | 2,805,871 |
Principal Amount | Value | |||||||
Argent Securities, Inc. | ||||||||
1.73%, 12/25/2033 | 3,570,651 | 3,411,887 | ||||||
Argent Securities, Inc. Asset Back Pass Through Certificates Series 2004-W5 | ||||||||
1.80%, 04/25/2034 | 3,667,317 | 3,381,386 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W3 | ||||||||
0.93%, 11/25/2035 | 4,676,772 | 4,569,740 | ||||||
ARLP Securitization Trust Series 2015-1 | ||||||||
3.97%, 05/25/2055 (Acquired 06/26/2015 through 01/26/2016, Cost $2,780,767) (1)(8) | 2,787,512 | 2,797,965 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series 2002-HE3 | ||||||||
2.86%, 10/15/2032 | 245,949 | 246,187 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series 2003-HE6 | ||||||||
1.44%, 11/25/2033 | 1,862,969 | 1,778,287 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series 2004-HE6 | ||||||||
1.48%, 09/25/2034 | 2,877,319 | 2,859,236 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series OOMC 2006-HE3 | ||||||||
0.75%, 03/25/2036 | 3,786,280 | 3,685,057 | ||||||
Asset-Backed Pass-Through Certificates Series 2004-R2 | ||||||||
1.54%, 04/25/2034 | 522,939 | 515,347 | ||||||
Atlas Senior Loan Fund IV Ltd. | ||||||||
2.41%, 02/17/2026 (Acquired 12/13/2013 through 04/01/2015, Cost $15,216,280) (1) | 15,250,000 | 15,250,290 | ||||||
Atlas Senior Loan Fund V Ltd. | ||||||||
2.30%, 07/16/2026 (Acquired 10/07/2016, Cost $4,250,000) (1) | 4,250,000 | 4,247,858 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
1.92%, 09/20/2019 (Acquired 12/17/2014, Cost $4,891,093) (1) | 4,900,000 | 4,874,778 | ||||||
2.46%, 07/20/2020 (Acquired 02/05/2014 through 06/27/2014, Cost $10,304,041) (1) | 10,300,000 | 10,271,814 | ||||||
2.50%, 07/20/2021 (Acquired 01/22/2015, Cost $11,998,962) (1) | 12,000,000 | 11,900,471 | ||||||
2.63%, 12/20/2021 (Acquired 05/20/2015, Cost $7,799,063) (1) | 7,800,000 | 7,698,171 | ||||||
Axis Equipment Finance Receivables III LLC | ||||||||
1.90%, 03/20/2020 (Acquired 04/16/2015, Cost $917,013) (1) | 917,034 | 917,719 | ||||||
AXIS Equipment Finance Receivables IV LLC | ||||||||
2.21%, 11/20/2021 (Acquired 10/20/2016, Cost $2,075,891) (1) | 2,075,987 | 2,067,513 | ||||||
B2R Mortgage Trust 2015-1 | ||||||||
2.52%, 05/15/2048 (Acquired 04/07/2015, Cost $1,198,318) (1) | 1,198,346 | 1,186,404 | ||||||
B2R Mortgage Trust 2015-2 | ||||||||
3.34%, 11/18/2048 (Acquired 11/10/2015, Cost $2,943,863) (1) | 2,943,882 | 2,969,291 | ||||||
BA Credit Card Trust | ||||||||
1.36%, 09/15/2020 | 1,200,000 | 1,199,331 |
Principal Amount | Value | |||||||
Battalion CLO IV Ltd. | ||||||||
2.28%, 10/22/2025 (Acquired 02/14/2014, Cost $7,962,342) (1) | 8,000,000 | 8,013,832 | ||||||
Battalion CLO V Ltd. | ||||||||
2.38%, 04/17/2026 (Acquired 03/07/2014, Cost $9,631,296) (1) | 9,650,000 | 9,670,979 | ||||||
Battalion CLO VIII Ltd. | ||||||||
2.41%, 04/18/2027 (Acquired 02/27/2015, Cost $1,747,504) (1) | 1,750,000 | 1,751,633 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2007-B | ||||||||
6.83%, 08/28/2037 | 242,971 | 206,263 | ||||||
Bayview Opportunity Master Fund IIa Trust 2016-RPL3 | ||||||||
3.47%, 07/28/2031 (Acquired 07/15/2016, Cost $922,117) (1) | 922,117 | 916,596 | ||||||
Bayview Opportunity Master Fund IIIa Trust 2016-RN3 | ||||||||
3.60%, 09/29/2031 (Acquired 09/26/2016, Cost $1,659,034) (1) | 1,659,034 | 1,652,728 | ||||||
BCC Funding Co. X | ||||||||
2.22%, 10/20/2020 (Acquired 06/17/2015, Cost $1,604,887) (1) | 1,604,890 | 1,603,167 | ||||||
BCC Funding XIII LLC | ||||||||
2.20%, 12/20/2021 (Acquired 09/14/2016, Cost $2,516,723) (1) | 2,517,000 | 2,503,672 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE6 | ||||||||
1.44%, 08/25/2034 | 7,536,175 | 7,085,726 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE7 | ||||||||
1.48%, 08/25/2034 | 924,542 | 859,416 | ||||||
Bear Stearns Asset Backed Securities Trust 2003-2 | ||||||||
2.26%, 03/25/2043 | 4,813,152 | 4,714,050 | ||||||
Bear Stearns Asset Backed Securities Trust 2006-SD1 | ||||||||
1.13%, 04/25/2036 | 45,681 | 44,421 | ||||||
Benefit Street Partners CLO VII Ltd. | ||||||||
2.41%, 07/18/2027 (Acquired 03/11/2016, Cost $1,979,181) (1) | 2,000,000 | 2,001,990 | ||||||
Blue Elephant Loan Trust 2015-1 | ||||||||
3.12%, 12/15/2022 (Acquired 03/17/2015, Cost $285,274) (1) | 285,285 | 285,308 | ||||||
BlueMountain CLO 2015-1 Ltd | ||||||||
2.28%, 04/13/2027 (Acquired 12/13/2016, Cost $775,000) (1) | 775,000 | 774,612 | ||||||
BMW Vehicle Owner Trust 2014-A | ||||||||
0.97%, 11/26/2018 | 280,444 | 280,243 | ||||||
BXG Receivables Note Trust 2012-A | ||||||||
2.66%, 12/02/2027 (Acquired 10/28/2013, Cost $368,982) (1) | 371,771 | 368,486 | ||||||
Cabela’s Credit Card Master Note Trust | ||||||||
1.63%, 02/18/2020 (Acquired 10/28/2013, Cost $784,374) (1) | 784,000 | 784,515 |
Principal Amount | Value | |||||||
California Republic Auto Receivables Trust 2014-3 | ||||||||
1.09%, 11/15/2018 | 250,955 | 250,946 | ||||||
CAM Mortgage LLC 2015-1 | ||||||||
3.50%, 07/15/2064 (Acquired 06/24/2015, Cost $27,438) (1) | 27,438 | 27,436 | ||||||
Camillo Issuer LLC 2016-SFR1 A | ||||||||
5.00%, 12/05/2023 (7)(8) | 5,185,000 | 5,185,000 | ||||||
Capital Auto Receivables Asset Trust 2016-2 | ||||||||
1.32%, 01/22/2019 | 1,368,000 | 1,368,485 | ||||||
Capital Auto Receivables Asset Trust 2016-3 | ||||||||
1.36%, 04/22/2019 | 3,314,000 | 3,315,424 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
1.15%, 02/15/2022 | 8,584,000 | 8,618,870 | ||||||
1.82%, 09/15/2022 | 10,033,000 | 10,002,426 | ||||||
Carfinance Capital Auto Trust 2013-1 | ||||||||
2.75%, 11/15/2018 (Acquired 10/28/2013, Cost $25,380) (1) | 25,428 | 25,496 | ||||||
CarFinance Capital Auto Trust 2014-1 | ||||||||
2.72%, 04/15/2020 (Acquired 03/17/2014, Cost $343,294) (1) | 343,321 | 345,343 | ||||||
CarFinance Capital Auto Trust 2014-2 | ||||||||
1.44%, 11/16/2020 (Acquired 07/29/2014, Cost $887,819) (1) | 887,842 | 887,764 | ||||||
CarFinance Capital Auto Trust 2015-1 | ||||||||
1.75%, 06/15/2021 (Acquired 02/18/2015 through 10/05/2016, Cost $2,874,212) (1) | 2,882,943 | 2,884,661 | ||||||
Carlyle Global Market Strategies CLO 2013-1 Ltd. | ||||||||
2.20%, 02/14/2025 (Acquired 01/02/2014, Cost $2,085,155) (1) | 2,100,000 | 2,102,648 | ||||||
Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd. | ||||||||
2.78%, 10/15/2021 (Acquired 05/22/2014, Cost $1,148,904) (1)(7)(8) | 1,148,904 | 901,889 | ||||||
CarMax Auto Owner Trust 2013-4 | ||||||||
0.80%, 07/16/2018 | 28,285 | 28,277 | ||||||
1.28%, 05/15/2019 | 275,000 | 275,082 | ||||||
CarMax Auto Owner Trust 2014-2 | ||||||||
0.98%, 01/15/2019 | 817,564 | 817,004 | ||||||
CarMax Auto Owner Trust 2015-2 | ||||||||
0.82%, 06/15/2018 | 154,047 | 154,015 | ||||||
CarMax Auto Owner Trust 2016-4 | ||||||||
1.40%, 08/16/2021 | 5,575,000 | 5,513,369 | ||||||
Carnow Auto Receivables Trust 2015-1 | ||||||||
1.69%, 01/15/2020 (Acquired 09/11/2015, Cost $233,242) (1) | 233,242 | 233,257 |
Principal Amount | Value | |||||||
Carnow Auto Receivables Trust 2016-1 | ||||||||
2.26%, 05/15/2019 (Acquired 12/09/2016, Cost $4,368,904) (1) | 4,369,000 | 4,368,901 | ||||||
3.49%, 02/15/2021 (Acquired 12/09/2016, Cost $2,249,710) (1) | 2,250,000 | 2,249,703 | ||||||
Carrington Mortgage Loan Trust Series 2006-OPT1 | ||||||||
0.77%, 12/25/2035 | 973,618 | 955,171 | ||||||
Catamaran CLO 2014-1 Ltd. | ||||||||
2.43%, 04/20/2026 (Acquired 04/02/2014, Cost $5,491,216) (1) | 5,500,000 | 5,528,649 | ||||||
2.68%, 04/20/2026 (Acquired 04/02/2014, Cost $4,384,863) (1) | 4,500,000 | 4,401,099 | ||||||
Catamaran CLO 2014-2 Ltd | ||||||||
2.31%, 10/18/2026 (Acquired 11/17/2016, Cost $1,000,000) (1) | 1,000,000 | 999,500 | ||||||
Catamaran CLO 2015-1 Ltd. | ||||||||
2.43%, 04/22/2027 (Acquired 03/31/2015 through 04/29/2016, Cost $2,242,459) (1) | 2,250,000 | 2,248,056 | ||||||
Chase Funding Trust Series 2003-4 | ||||||||
5.32%, 05/25/2033 | 194,875 | 199,948 | ||||||
Chase Funding Trust Series 2003-6 | ||||||||
4.28%, 11/25/2034 | 509,143 | 519,648 | ||||||
5.15%, 11/25/2034 | 299,034 | 309,789 | ||||||
Chase Issuance Trust | ||||||||
1.16%, 04/15/2019 | 19,100,000 | 19,098,420 | ||||||
1.25%, 06/15/2023 | 19,794,000 | 19,854,360 | ||||||
Chrysler Capital Auto Receivables Trust 2016-B | ||||||||
1.64%, 07/15/2021 (Acquired 10/26/2016, Cost $6,523,627) (1) | 6,525,000 | 6,471,563 | ||||||
Citi Held For Asset Issuance 2015-PM1 | ||||||||
1.85%, 12/15/2021 (Acquired 07/29/2015, Cost $135,500) (1) | 135,500 | 135,479 | ||||||
Citi Held For Asset Issuance 2016-MF1 | ||||||||
4.48%, 08/15/2022 (Acquired 02/26/2016, Cost $1,907,514) (1) | 1,911,113 | 1,933,981 | ||||||
6.64%, 08/15/2022 (Acquired 02/26/2016, Cost $3,237,762) (1) | 3,250,000 | 3,370,927 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
1.12%, 10/25/2035 | 1,734,072 | 1,720,361 | ||||||
Colony American Finance 2016-2 Ltd | ||||||||
2.55%, 11/18/2048 (Acquired 11/02/2016, Cost $1,353,264) (1) | 1,353,305 | 1,317,474 | ||||||
Conseco Financial Co. | ||||||||
6.40%, 10/15/2018 | 2,616 | 2,617 | ||||||
7.05%, 01/15/2019 | 746 | 755 | ||||||
6.24%, 12/01/2028 | 43,814 | 45,466 | ||||||
6.22%, 03/01/2030 | 107,895 | 114,245 | ||||||
6.18%, 04/01/2030 | 31,668 | 33,399 | ||||||
Consumer Credit Origination Loan Trust 2015-1 | ||||||||
2.82%, 03/15/2021 (Acquired 02/03/2015, Cost $127,609) (1) | 127,612 | 127,692 |
Principal Amount | Value | |||||||
Continental Credit Card 2016-1 | ||||||||
4.56%, 01/15/2023 (Acquired 12/13/2016, Cost $2,036,995) (1) | 2,037,000 | 2,036,995 | ||||||
COOF Securitization Trust 2014-1 Ltd. | ||||||||
3.12%, 06/15/2040 IO (Acquired 05/16/2014, Cost $389,864) (1) | 2,343,872 | 263,175 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
4.79%, 02/25/2033 | 206,473 | 180,162 | ||||||
5.12%, 02/25/2035 | 66,476 | 67,386 | ||||||
4.54%, 12/25/2035 | 336,965 | 345,157 | ||||||
4.66%, 12/25/2035 | 117,788 | 100,754 | ||||||
CPS Auto Receivables Trust 2013-A | ||||||||
1.31%, 06/15/2020 (Acquired 10/28/2013, Cost $210,465) (1) | 210,676 | 209,955 | ||||||
CPS Auto Receivables Trust 2014-A | ||||||||
1.21%, 08/15/2018 (Acquired 03/10/2014 through 12/19/2016, Cost $106,861) (1) | 106,936 | 106,892 | ||||||
CPS Auto Receivables Trust 2014-B | ||||||||
1.11%, 11/15/2018 (Acquired 06/06/2014, Cost $347,282) (1) | 347,291 | 346,990 | ||||||
CPS Auto Receivables Trust 2014-C | ||||||||
1.31%, 02/15/2019 (Acquired 09/09/2014 through 06/18/2015, Cost $716,285) (1) | 716,353 | 716,133 | ||||||
3.77%, 08/17/2020 (Acquired 09/09/2014, Cost $557,977) (1) | 558,000 | 556,361 | ||||||
CPS Auto Receivables Trust 2014-D | ||||||||
1.49%, 04/15/2019 (Acquired 12/10/2014 through 10/05/2016, Cost $960,754) (1) | 960,699 | 960,967 | ||||||
4.35%, 11/16/2020 (Acquired 12/10/2014, Cost $524,977) (1) | 525,000 | 527,887 | ||||||
CPS Auto Receivables Trust 2015-A | ||||||||
1.53%, 07/15/2019 (Acquired 03/19/2015 through 10/05/2016, Cost $922,335) (1) | 922,320 | 922,589 | ||||||
4.00%, 02/16/2021 (Acquired 03/19/2015, Cost $445,958) (1) | 446,000 | 444,504 | ||||||
CPS Auto Receivables Trust 2015-B | ||||||||
1.65%, 11/15/2019 (Acquired 06/09/2015 through 12/13/2016, Cost $2,336,663) (1) | 2,336,580 | 2,337,866 | ||||||
4.20%, 05/17/2021 (Acquired 06/09/2015, Cost $1,904,934) (1) | 1,905,000 | 1,903,968 | ||||||
CPS Auto Receivables Trust 2015-C | ||||||||
1.77%, 06/17/2019 (Acquired 09/11/2015 through 10/20/2016, Cost $2,488,219) (1) | 2,487,307 | 2,490,608 | ||||||
4.63%, 08/16/2021 (Acquired 09/11/2015, Cost $1,375,830) (1) | 1,376,000 | 1,376,016 | ||||||
CPS Auto Receivables Trust 2016-A | ||||||||
2.25%, 10/15/2019 (Acquired 01/22/2016, Cost $1,362,678) (1) | 1,362,693 | 1,368,300 | ||||||
CPS Auto Receivables Trust 2016-B | ||||||||
2.07%, 11/15/2019 (Acquired 04/14/2016 through 05/20/2016, Cost $4,360,399) (1) | 4,359,509 | 4,374,398 | ||||||
CPS Auto Receivables Trust 2016-C | ||||||||
1.62%, 01/15/2020 (Acquired 07/18/2016, Cost $7,751,870) (1) | 7,751,870 | 7,749,238 | ||||||
3.27%, 06/15/2022 (Acquired 07/18/2016, Cost $839,928) (1) | 840,000 | 839,353 |
Principal Amount | Value | |||||||
CPS Auto Trust | ||||||||
1.82%, 12/16/2019 (Acquired 10/28/2013, Cost $189,338) (1) | 189,215 | 189,247 | ||||||
1.48%, 03/16/2020 (Acquired 10/28/2013, Cost $111,435) (1) | 111,415 | 111,399 | ||||||
1.50%, 06/15/2020 (Acquired 10/13/2016, Cost $7,068,796) (1) | 7,069,270 | 7,062,236 | ||||||
Credit Acceptance Auto Loan Trust 2014-1 | ||||||||
1.55%, 10/15/2021 (Acquired 01/21/2015, Cost $232,404) (1) | 232,569 | 232,558 | ||||||
Credit Acceptance Auto Loan Trust 2014-2 | ||||||||
1.88%, 03/15/2022 (Acquired 09/01/2015 through 02/22/2016, Cost $2,559,076) (1) | 2,562,353 | 2,565,907 | ||||||
Credit Acceptance Auto Loan Trust 2015-2 | ||||||||
2.40%, 02/15/2023 (Acquired 08/12/2015, Cost $2,820,928) (1) | 2,821,000 | 2,830,498 | ||||||
3.76%, 02/15/2024 (Acquired 08/12/2015, Cost $433,999) (1) | 434,000 | 430,672 | ||||||
Credit-Based Asset Servicing & Securitization LLC | ||||||||
3.99%, 12/25/2035 | 21,035 | 20,841 | ||||||
CSMC 2016-RPL1 Trust | ||||||||
3.74%, 12/26/2046 (Acquired 11/28/2016, Cost $13,981,142) (1) | 14,016,127 | 13,821,499 | ||||||
CWABS Asset-Backed Certificates Trust 2004-15 | ||||||||
4.61%, 04/25/2035 | 52,554 | 52,858 | ||||||
CWABS Asset-Backed Certificates Trust 2005-1 | ||||||||
5.03%, 06/25/2035 | 87,975 | 89,830 | ||||||
CWABS Asset-Backed Certificates Trust 2005-11 | ||||||||
4.72%, 12/25/2032 | 421,673 | 427,718 | ||||||
CWABS Asset-Backed Certificates Trust 2005-17 | ||||||||
4.63%, 03/25/2036 | 49,277 | 76,376 | ||||||
CWABS, Inc. Asset-Backed Certificates Series 2003-5 | ||||||||
5.37%, 01/25/2034 | 30,011 | 29,931 | ||||||
CWABS, Inc. Asset-Backed Certificates Series 2004-1 | ||||||||
1.33%, 03/25/2034 | 66,726 | 64,400 | ||||||
1.41%, 03/25/2034 | 9,961 | 9,239 | ||||||
1.14%, 04/25/2034 | 1,112 | 941 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust 2004-6 | ||||||||
1.48%, 10/25/2034 | 27,973 | 26,370 | ||||||
1.36%, 11/25/2034 | 1,228,968 | 1,197,526 | ||||||
CWHEQ Home Equity Loan Trust Series 2007-S1 | ||||||||
5.69%, 11/25/2036 | 22,083 | 21,819 | ||||||
Discover Card Execution Note Trust | ||||||||
1.39%, 03/15/2022 | 9,887,000 | 9,769,572 |
Principal Amount | Value | |||||||
Drive Auto Receivables Trust 2015-A | ||||||||
4.12%, 07/15/2022 (Acquired 03/12/2015, Cost $1,765,786) (1) | 1,766,000 | 1,795,591 | ||||||
Drive Auto Receivables Trust 2015-B | ||||||||
2.12%, 06/17/2019 (Acquired 05/20/2015, Cost $610,294) (1) | 610,307 | 610,961 | ||||||
3.84%, 07/15/2021 (Acquired 05/20/2015, Cost $1,920,719) (1) | 1,921,000 | 1,934,099 | ||||||
Drive Auto Receivables Trust 2015-C | ||||||||
4.20%, 09/15/2021 (Acquired 07/15/2015, Cost $926,463) (1) | 926,471 | 938,432 | ||||||
Drive Auto Receivables Trust 2016-B | ||||||||
1.38%, 08/15/2018 (Acquired 05/18/2016, Cost $3,843,847) (1) | 3,843,888 | 3,845,002 | ||||||
2.56%, 06/15/2020 (Acquired 05/18/2016, Cost $635,993) (1) | 636,000 | 639,701 | ||||||
Drive Auto Receivables Trust 2016-C | ||||||||
4.18%, 03/15/2024 (Acquired 11/16/2016, Cost $2,995,470) (1) | 2,996,000 | 2,971,682 | ||||||
DT Auto Owner Trust 2015-2 | ||||||||
4.25%, 02/15/2022 (Acquired 06/10/2015, Cost $1,355,976) (1) | 1,356,000 | 1,371,218 | ||||||
DT Auto Owner Trust 2015-3 | ||||||||
1.66%, 03/15/2019 (Acquired 10/07/2015, Cost $1,436,437) (1) | 1,436,524 | 1,436,983 | ||||||
DT Auto Owner Trust 2016-1 | ||||||||
2.00%, 09/16/2019 (Acquired 01/13/2016, Cost $1,099,232) (1) | 1,099,248 | 1,100,515 | ||||||
DT Auto Owner Trust 2016-2 | ||||||||
1.73%, 08/15/2019 (Acquired 04/06/2016, Cost $541,778) (1) | 541,790 | 542,240 | ||||||
DT Auto Owner Trust 2016-3 | ||||||||
1.75%, 11/15/2019 (Acquired 06/08/2016, Cost $5,083,722) (1) | 5,083,730 | 5,088,902 | ||||||
2.65%, 07/15/2020 (Acquired 06/08/2016, Cost $1,099,890) (1) | 1,100,000 | 1,105,291 | ||||||
DT Auto Owner Trust 2016-4 | ||||||||
1.44%, 11/15/2019 (Acquired 09/28/2016, Cost $7,126,672) (1) | 7,127,000 | 7,116,429 | ||||||
Engs Commercial Finance Trust 2016-1 | ||||||||
2.63%, 02/22/2022 (Acquired 10/27/2016, Cost $1,304,845) (1)(8) | 1,305,000 | 1,298,138 | ||||||
Exeter Automobile Receivables Trust 2014-2 | ||||||||
3.26%, 12/16/2019 (Acquired 05/20/2014, Cost $334,981) (1) | 335,000 | 336,847 | ||||||
Exeter Automobile Receivables Trust 2014-3 | ||||||||
1.32%, 01/15/2019 (Acquired 10/09/2014 through 02/18/2016, Cost $161,873) (1) | 161,939 | 161,875 | ||||||
2.77%, 11/15/2019 (Acquired 10/09/2014, Cost $666,969) (1) | 667,000 | 668,566 | ||||||
Exeter Automobile Receivables Trust 2015-1 | ||||||||
1.60%, 06/17/2019 (Acquired 02/26/2015 through 10/05/2016, Cost $417,597) (1) | 417,610 | 417,811 | ||||||
2.84%, 03/16/2020 (Acquired 02/26/2015, Cost $1,124,895) (1) | 1,125,000 | 1,129,715 | ||||||
Exeter Automobile Receivables Trust 2015-2 | ||||||||
1.54%, 11/15/2019 (Acquired 05/12/2015 through 10/05/2016, Cost $806,921) (1) | 806,968 | 807,110 |
Principal Amount | Value | |||||||
Exeter Automobile Receivables Trust 2016-1 | ||||||||
2.35%, 07/15/2020 (Acquired 02/04/2016, Cost $1,732,237) (1) | 1,732,336 | 1,738,446 | ||||||
5.52%, 10/15/2021 (Acquired 02/04/2016, Cost $2,229,887) (1) | 2,230,000 | 2,300,584 | ||||||
Exeter Automobile Receivables Trust 2016-2 | ||||||||
2.21%, 07/15/2020 (Acquired 05/09/2016, Cost $1,291,809) (1) | 1,291,891 | 1,295,094 | ||||||
Exeter Automobile Receivables Trust 2016-3 | ||||||||
1.84%, 11/16/2020 (Acquired 10/03/2016, Cost $7,615,887) (1) | 7,616,363 | 7,605,392 | ||||||
Fifth Third Auto Trust 2014-3 | ||||||||
0.96%, 03/15/2019 | 210,139 | 209,984 | ||||||
First Investors Auto Owner Trust 2013-3 | ||||||||
1.44%, 10/15/2019 (Acquired 05/06/2015 through 02/19/2016, Cost $153,648) (1) | 153,570 | 153,560 | ||||||
First Investors Auto Owner Trust 2014-3 | ||||||||
1.67%, 11/16/2020 (Acquired 11/07/2014 through 12/02/2015, Cost $625,188) (1) | 626,210 | 626,471 | ||||||
First Investors Auto Owner Trust 2015-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/16/2015, Cost $185,956) (1) | 185,957 | 185,934 | ||||||
First Investors Auto Owner Trust 2015-2 | ||||||||
1.59%, 12/16/2019 (Acquired 08/16/2015, Cost $782,349) (1) | 782,350 | 782,100 | ||||||
4.22%, 12/15/2021 (Acquired 08/18/2015, Cost $279,987) (1) | 280,000 | 283,876 | ||||||
First Investors Auto Owner Trust 2016-1 | ||||||||
1.92%, 05/15/2020 (Acquired 03/03/2016, Cost $658,975) (1) | 659,599 | 661,006 | ||||||
First Investors Auto Owner Trust 2016-2 | ||||||||
1.53%, 11/16/2020 (Acquired 09/12/2016, Cost $6,172,806) (1) | 6,173,199 | 6,165,581 | ||||||
FirstKey Lending 2015-SFR1 Trust | ||||||||
3.42%, 03/09/2047 (Acquired 04/09/2015, Cost $1,454,212) (1) | 1,442,000 | 1,435,462 | ||||||
2.55%, 03/11/2047 (Acquired 04/09/2015, Cost $3,211,752) (1) | 3,205,237 | 3,188,696 | ||||||
Flagship Credit Auto Trust 2013-2 | ||||||||
1.94%, 01/15/2019 (Acquired 10/28/2013, Cost $13,334) (1) | 13,334 | 13,334 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/08/2014 through 10/05/2016, Cost $278,948) (1) | 279,174 | 279,087 | ||||||
2.55%, 02/18/2020 (Acquired 04/08/2014, Cost $279,981) (1) | 280,000 | 280,462 | ||||||
Flagship Credit Auto Trust 2014-2 | ||||||||
1.43%, 12/16/2019 (Acquired 10/09/2014 through 10/05/2016, Cost $602,782) (1) | 603,149 | 603,065 | ||||||
2.84%, 11/16/2020 (Acquired 10/09/2014, Cost $891,956) (1) | 892,000 | 895,320 | ||||||
3.95%, 12/15/2020 (Acquired 10/09/2014, Cost $439,960) (1) | 440,000 | 440,638 | ||||||
Flagship Credit Auto Trust 2015-1 | ||||||||
1.63%, 06/15/2020 (Acquired 03/05/2015 through 10/05/2016, Cost $1,187,451) (1) | 1,187,544 | 1,184,122 |
Principal Amount | Value | |||||||
Flagship Credit Auto Trust 2015-3 | ||||||||
2.38%, 10/15/2020 (Acquired 10/28/2015, Cost $1,304,959) (1) | 1,304,961 | 1,310,004 | ||||||
3.68%, 03/15/2022 (Acquired 10/28/2015, Cost $567,917) (1) | 568,000 | 576,611 | ||||||
4.65%, 03/15/2022 (Acquired 10/28/2015, Cost $566,876) (1) | 567,000 | 572,889 | ||||||
Flagship Credit Auto Trust 2016-1 | ||||||||
2.77%, 12/15/2020 (Acquired 02/19/2016, Cost $1,692,542) (1) | 1,695,320 | 1,707,863 | ||||||
6.22%, 06/15/2022 (Acquired 02/19/2016, Cost $2,983,139) (1) | 3,000,000 | 3,163,474 | ||||||
Flagship Credit Auto Trust 2016-2 | ||||||||
2.28%, 05/15/2020 (Acquired 04/25/2016, Cost $1,214,794) (1) | 1,214,812 | 1,219,192 | ||||||
Flagship Credit Auto Trust 2016-3 | ||||||||
1.61%, 12/16/2019 (Acquired 12/12/2016, Cost $6,533,321) (1) | 6,533,386 | 6,535,237 | ||||||
Flagship Credit Auto Trust 2016-4 | ||||||||
1.47%, 03/16/2020 (Acquired 10/19/2016, Cost $4,411,876) (1) | 4,412,180 | 4,407,953 | ||||||
2.71%, 11/15/2022 (Acquired 10/19/2016, Cost $1,742,905) (1) | 1,743,000 | 1,711,229 | ||||||
Flatiron CLO 2013-1 Ltd. | ||||||||
2.28%, 01/17/2026 (Acquired 02/19/2015, Cost $746,679) (1) | 750,000 | 749,995 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 277,579 | 277,479 | ||||||
Ford Credit Auto Owner Trust 2014-C | ||||||||
1.06%, 05/15/2019 | 640,284 | 639,900 | ||||||
Ford Credit Auto Owner Trust 2014-REV2 | ||||||||
2.31%, 04/15/2026 (Acquired 02/20/2015 through 02/23/2015, Cost $6,855,250) (1) | 6,820,000 | 6,873,630 | ||||||
Ford Credit Auto Owner Trust 2015-A | ||||||||
1.28%, 09/15/2019 | 820,014 | 820,318 | ||||||
Ford Credit Auto Owner Trust 2016-C | ||||||||
1.22%, 03/15/2021 | 7,648,000 | 7,582,982 | ||||||
1.40%, 02/15/2022 | 5,634,000 | 5,535,974 | ||||||
Ford Credit Auto Owner Trust 2016-REV1 | ||||||||
2.31%, 08/15/2027 (Acquired 02/23/2016, Cost $6,998,457) (1) | 7,000,000 | 6,979,744 | ||||||
Ford Credit Auto Owner Trust 2016-REV2 | ||||||||
2.03%, 12/15/2027 (Acquired 06/20/2016 through 12/20/2016, Cost $3,517,728) (1) | 3,520,000 | 3,458,311 | ||||||
Ford Credit Auto Owner Trust/Ford Credit 2014-REV1 | ||||||||
2.26%, 11/15/2025 (Acquired 05/06/2014, Cost $4,899,232) (1) | 4,900,000 | 4,940,147 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
1.95%, 11/15/2021 | 2,802,000 | 2,790,547 | ||||||
Fremont Home Loan Trust 2004-2 | ||||||||
1.61%, 07/25/2034 | 1,229,294 | 1,124,507 | ||||||
Galaxy XVIII CLO Ltd. | ||||||||
2.35%, 10/15/2026 (Acquired 07/11/2014, Cost $2,250,000) (1) | 2,250,000 | 2,249,564 |
Principal Amount | Value | |||||||
GCAT 2015-2 | ||||||||
3.75%, 07/25/2020 (Acquired 07/22/2015 through 07/27/2015, Cost $2,388,821) (1) | 2,389,997 | 2,391,736 | ||||||
GE Capital Mortgage Services, Inc. 1999-HE1 Trust | ||||||||
6.27%, 04/25/2029 | 99 | 99 | ||||||
6.71%, 04/25/2029 | 45,006 | 37,530 | ||||||
GE Mortgage Services LLC | ||||||||
6.74%, 12/25/2028 | 6 | 5 | ||||||
GLC II Trust 2013-1 | ||||||||
4.00%, 12/18/2020 (Acquired 12/23/2014, Cost $195,655) (1) | 195,655 | 191,996 | ||||||
GLC Trust 2013-1 | ||||||||
3.00%, 07/15/2021 (Acquired 07/01/2014, Cost $536,054) (1)(8) | 537,921 | 530,390 | ||||||
GLS Auto Receivables Trust 2015-1 | ||||||||
2.25%, 12/15/2020 (Acquired 06/26/2015, Cost $1,118,117) (1) | 1,118,117 | 1,118,317 | ||||||
4.43%, 12/15/2020 (Acquired 06/26/2015, Cost $953,977) (1) | 954,000 | 968,168 | ||||||
GLS Auto Receivables Trust 2016-1 | ||||||||
2.73%, 10/15/2020 (Acquired 05/12/2016, Cost $2,286,072) (1) | 2,286,217 | 2,285,557 | ||||||
4.39%, 01/15/2021 (Acquired 05/12/2016, Cost $959,983) (1) | 960,000 | 957,736 | ||||||
GM Financial Automobile Leasing Trust 2015-1 | ||||||||
1.10%, 12/20/2017 | 373,557 | 373,538 | ||||||
1.53%, 09/20/2018 | 1,198,000 | 1,199,586 | ||||||
1.73%, 06/20/2019 | 502,000 | 502,995 | ||||||
GMAT 2013-1 Trust | ||||||||
6.97%, 08/25/2053 (Acquired 11/06/2013 through 02/10/2014, Cost $597,568) (1) | 597,186 | 598,333 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
1.04%, 05/15/2020 (Acquired 05/13/2015, Cost $4,600,000) (1) | 4,600,000 | 4,602,003 | ||||||
1.55%, 05/17/2021 (Acquired 05/24/2016, Cost $4,900,000) (1) | 4,900,000 | 4,925,809 | ||||||
GO Financial Auto Securitization Trust 2015-1 | ||||||||
3.59%, 10/15/2020 (Acquired 05/19/2015, Cost $974,187) (1) | 974,214 | 970,136 | ||||||
GO Financial Auto Securitization Trust 2015-2 | ||||||||
3.27%, 11/15/2018 (Acquired 11/19/2015, Cost $832,703) (1) | 832,703 | 833,022 | ||||||
4.80%, 08/17/2020 (Acquired 11/19/2015, Cost $1,872,866) (1) | 1,873,000 | 1,905,162 | ||||||
Gold Key Resorts 2014-A LLC | ||||||||
3.22%, 03/17/2031 (Acquired 12/01/2014, Cost $1,065,249) (1) | 1,065,423 | 1,058,146 | ||||||
Green Tree Agency Advance Funding Trust I | ||||||||
2.38%, 10/15/2048 (Acquired 09/28/2016, Cost $1,186,997) (1) | 1,187,000 | 1,177,350 |
Principal Amount | Value | |||||||
GSAA Trust | ||||||||
1.08%, 03/25/2035 | 5,746,915 | 5,667,744 | ||||||
1.03%, 06/25/2035 | 913,085 | 895,387 | ||||||
GSAMP Trust 2005-WMC2 | ||||||||
1.07%, 11/25/2035 | 3,430,581 | 3,353,128 | ||||||
HERO Funding Trust 2016-3 | ||||||||
3.08%, 09/22/2042 (Acquired 09/15/2016, Cost $1,755,275) (1)(8) | 1,755,411 | 1,730,168 | ||||||
Hertz Vehicle Financing II LP | ||||||||
2.67%, 09/25/2021 (Acquired 09/30/2015, Cost $7,998,682) (1) | 8,000,000 | 7,866,003 | ||||||
Hertz Vehicle Financing LLC 2016-1 | ||||||||
2.32%, 03/25/2020 (Acquired 02/04/2016, Cost $8,698,670) (1) | 8,700,000 | 8,640,072 | ||||||
Hertz Vehicle Financing LLC 2016-4 | ||||||||
2.65%, 07/25/2022 (Acquired 06/01/2016, Cost $2,599,856) (1) | 2,600,000 | 2,516,761 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | ||||||||
0.96%, 03/25/2036 | 66,927 | 61,696 | ||||||
Honda Auto Receivables 2014-2 Owner Trust | ||||||||
0.77%, 03/19/2018 | 249,959 | 249,748 | ||||||
Honda Auto Receivables 2016-3 Owner Trust | ||||||||
1.33%, 11/18/2022 | 7,975,000 | 7,868,663 | ||||||
Honda Auto Receivables 2016-4 Owner Trust | ||||||||
1.21%, 12/18/2020 | 6,683,000 | 6,628,028 | ||||||
1.36%, 01/18/2023 | 4,938,000 | 4,856,092 | ||||||
HSBC Home Equity Loan Trust USA 2007-1 | ||||||||
0.76%, 03/20/2036 | 13,680 | 13,654 | ||||||
HSBC Home Equity Loan Trust USA 2007-3 | ||||||||
1.76%, 11/20/2036 | 236,227 | 235,859 | ||||||
Hyundai Auto Receivables Trust 2014-B | ||||||||
0.90%, 12/17/2018 | 706,413 | 705,859 | ||||||
Hyundai Auto Receivables Trust 2015-B | ||||||||
0.69%, 04/16/2018 | 41,423 | 41,418 | ||||||
1.12%, 11/15/2019 | 1,024,000 | 1,022,084 | ||||||
Imc Home Equity Loan Trust 1997-5 | ||||||||
6.88%, 11/20/2028 | 211 | 211 | ||||||
Invitation Homes 2014-SFR1 Trust | ||||||||
1.74%, 06/19/2031 (Acquired 05/14/2015, Cost $1,935,608) (1) | 1,941,848 | 1,934,793 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-CH1 | ||||||||
0.89%, 07/25/2036 | 3,896,973 | 3,778,842 | ||||||
Kabbage Funding 2014-1 Resecuritization Trust | ||||||||
3.41%, 03/08/2018 (Acquired 11/02/2016 through 12/16/2016, Cost $1,790,056) (1) | 1,800,000 | 1,785,600 |
Principal Amount | Value | |||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.63%, 05/25/2039 IO (Acquired 10/28/2013, Cost $162,699) (1) | 5,055,591 | 81,188 | ||||||
KGS-Alpha SBA COOF Trust 2014-2 | ||||||||
3.04%, 04/25/2040 IO (Acquired 10/21/2014, Cost $398,133) (1) | 2,273,100 | 262,632 | ||||||
KSBA 2012-2 A | ||||||||
0.86%, 08/25/2038 (Acquired 02/19/2014, Cost $493,414) (1) | 7,561,703 | 187,326 | ||||||
KVK CLO 2014-1 Ltd. | ||||||||
2.50%, 05/15/2026 (Acquired 03/05/2014, Cost $7,786,361) (1) | 7,800,000 | 7,798,183 | ||||||
3.67%, 05/15/2026 (Acquired 03/05/2014, Cost $2,000,000) (1) | 2,000,000 | 2,001,640 | ||||||
KVK CLO 2014-2 Ltd. | ||||||||
2.43%, 07/15/2026 (Acquired 06/02/2014, Cost $4,243,208) (1) | 4,250,000 | 4,254,080 | ||||||
KVK CLO 2015-1 Ltd. | ||||||||
2.49%, 05/20/2027 (Acquired 04/22/2015, Cost $249,858) (1) | 250,000 | 250,239 | ||||||
LendingClub Issuance Trust Series 2016-NP1 | ||||||||
3.75%, 06/15/2022 (Acquired 07/29/2016, Cost $1,329,943) (1) | 1,328,352 | 1,334,939 | ||||||
3.00%, 01/17/2023 (Acquired 11/30/2016, Cost $1,500,000) (1) | 1,500,000 | 1,500,000 | ||||||
Lendmark Funding Trust 2016-A | ||||||||
4.82%, 08/21/2023 (Acquired 02/26/2016, Cost $2,396,699) (1) | 2,397,000 | 2,449,152 | ||||||
Lila Mexican Holdings Llc | ||||||||
3.54%, 08/11/2022 (8) | 4,490,730 | 4,407,881 | ||||||
Limerock CLO II Ltd. | ||||||||
2.38%, 04/18/2026 (Acquired 01/28/2015, Cost $249,033) (1) | 250,000 | 249,943 | ||||||
Long Beach Mortgage Loan Trust 2004-1 | ||||||||
1.51%, 02/25/2034 | 1,470,643 | 1,418,748 | ||||||
Long Beach Mortgage Loan Trust 2004-3 | ||||||||
1.45%, 07/25/2034 | 55,629 | 53,692 | ||||||
Long Beach Mortgage Loan Trust 2006-WL2 | ||||||||
0.96%, 01/25/2036 | 47,876 | 47,329 | ||||||
LV Tower 52 Issuer 2013-1 | ||||||||
5.50%, 07/15/2019 (Acquired 08/03/2015, Cost $2,650,369) (1)(7)(8) | 2,650,369 | 2,611,674 | ||||||
7.50%, 07/15/2019 (Acquired 08/03/2015, Cost $738,167) (1)(7)(8) | 738,167 | 719,491 | ||||||
Magnetite IX Ltd. | ||||||||
2.30%, 07/25/2026 (Acquired 08/18/2014, Cost $2,248,853) (1) | 2,250,000 | 2,250,927 | ||||||
Magnetite XI Ltd. | ||||||||
2.33%, 01/19/2027 (Acquired 12/04/2014, Cost $1,493,628) (1) | 1,500,000 | 1,504,397 | ||||||
MarketPlace Loan Trust 2015-OD3 | ||||||||
5.25%, 09/17/2017 (Acquired 09/10/2015, Cost $240,664) (1)(8) | 240,918 | 239,714 |
Principal Amount | Value | |||||||
Marlette Funding Trust 2016-1 | ||||||||
3.06%, 01/17/2023 (Acquired 07/20/2016, Cost $2,699,301) (1) | 2,700,041 | 2,699,380 | ||||||
Mastr Asset Backed Securities Trust 2005-HE1 | ||||||||
1.48%, 05/25/2035 | 1,121,064 | 1,107,685 | ||||||
Mastr Asset Backed Securities Trust 2006-NC1 | ||||||||
0.89%, 01/25/2036 | 3,890,409 | 3,822,889 | ||||||
Mercedes-Benz Auto Receivables Trust 2015-1 | ||||||||
0.82%, 06/15/2018 | 658,856 | 658,653 | ||||||
Mid-State Capital Co. 2006-1 Trust | ||||||||
6.08%, 10/15/2040 (Acquired 10/28/2013, Cost $907,121) (1) | 913,168 | 952,307 | ||||||
Mid-State Capital Trust 2010-1 | ||||||||
3.50%, 12/15/2045 (Acquired 10/28/2013, Cost $436,244) (1) | 426,444 | 436,032 | ||||||
5.25%, 12/15/2045 (Acquired 10/28/2013, Cost $790,061) (1) | 767,369 | 811,082 | ||||||
Mill Creek II CLO Ltd | ||||||||
2.63%, 04/20/2028 (Acquired 03/21/2016, Cost $3,750,000) (1) | 3,750,000 | 3,784,118 | ||||||
Morgan Stanley ABS Capital I Inc. Trust 2004-NC1 | ||||||||
1.81%, 12/27/2033 | 3,647,890 | 3,552,353 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust 2004-OP1 | ||||||||
1.46%, 11/25/2034 | 5,620,012 | 5,228,756 | ||||||
Nationstar HECM Loan Trust 2015-2A | ||||||||
2.88%, 11/25/2025 (Acquired 11/19/2015, Cost $712,473) (1) | 712,473 | 712,758 | ||||||
4.11%, 11/25/2025 (Acquired 11/19/2015, Cost $1,963,997) (1) | 1,964,000 | 1,964,615 | ||||||
Nationstar HECM Loan Trust 2016-1A | ||||||||
4.36%, 02/25/2026 (Acquired 02/25/2016, Cost $1,962,000) (1)(8) | 1,962,000 | 1,951,248 | ||||||
Nationstar HECM Loan Trust 2016-2 | ||||||||
2.24%, 06/25/2026 (Acquired 06/23/2016, Cost $841,092) (1)(8) | 841,092 | 843,984 | ||||||
Nationstar HECM Loan Trust 2016-3 | ||||||||
2.01%, 08/25/2026 (Acquired 08/11/2016, Cost $1,129,625) (1) | 1,129,626 | 1,132,055 | ||||||
Navient Student Loan Trust 2016-2 | ||||||||
1.51%, 06/25/2065 (Acquired 04/05/2016, Cost $2,050,733) (1) | 2,050,733 | 2,058,229 | ||||||
New Century Home Equity Loan Trust Series 2003-5 | ||||||||
5.17%, 11/25/2033 | 283,782 | 286,983 | ||||||
Nissan Auto Lease Trust 2015-A | ||||||||
0.99%, 11/15/2017 | 162,256 | 162,245 | ||||||
Nissan Auto Receivables 2014-B Owner Trust | ||||||||
1.11%, 05/15/2019 | 261,423 | 261,220 |
Principal Amount | Value | |||||||
NRPL Trust 2015-1 | ||||||||
3.88%, 11/01/2054 (Acquired 02/19/2015, Cost $1,805,013) (1) | 1,805,013 | 1,790,319 | ||||||
3.88%, 11/01/2054 (Acquired 02/19/2015, Cost $958,845) (1) | 1,000,000 | 967,836 | ||||||
NRPL Trust 2015-2 | ||||||||
3.75%, 10/25/2057 (Acquired 06/04/2015, Cost $3,890,389) (1) | 3,905,854 | 3,828,923 | ||||||
3.75%, 10/25/2057 (Acquired 03/08/2016, Cost $1,157,494) (1) | 1,250,000 | 1,155,670 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2016-T1 | ||||||||
2.75%, 06/15/2049 (Acquired 06/23/2016, Cost $2,538,000) (1) | 2,538,000 | 2,528,483 | ||||||
NYMT Residential 2016-RP1 | ||||||||
4.00%, 03/25/2021 (Acquired 04/04/2016, Cost $762,332) (1) | 765,190 | 759,276 | ||||||
Oakwood Mortgage Investors, Inc. | ||||||||
6.45%, 11/15/2017 | 3,393 | 3,437 | ||||||
Ocwen Master Advance Receivables Trust | ||||||||
3.21%, 11/15/2047 (Acquired 11/06/2015, Cost $4,767,959) (1) | 4,768,000 | 4,767,000 | ||||||
4.20%, 11/15/2047 (Acquired 11/06/2015, Cost $729,998) (1)(8) | 730,000 | 730,281 | ||||||
4.69%, 11/15/2047 (Acquired 11/06/2015, Cost $1,749,999) (1)(8) | 1,750,000 | 1,763,125 | ||||||
2.52%, 08/17/2048 (Acquired 08/03/2016, Cost $2,708,998) (1) | 2,709,000 | 2,697,510 | ||||||
4.25%, 08/17/2048 (Acquired 08/03/2016, Cost $2,037,959) (1)(8) | 2,037,963 | 2,016,938 | ||||||
OnDeck Asset Securitization Trust II LLC | ||||||||
4.21%, 05/17/2020 (Acquired 04/27/2016, Cost $1,982,907) (1) | 1,983,000 | 1,983,547 | ||||||
7.63%, 05/17/2020 (Acquired 04/27/2016, Cost $507,985) (1)(8) | 508,000 | 513,429 | ||||||
OneMain Direct Auto Receivables Trust 2016-1 | ||||||||
2.04%, 01/15/2021 (Acquired 07/12/2016, Cost $4,608,796) (1) | 4,608,971 | 4,616,600 | ||||||
4.58%, 09/15/2021 (Acquired 07/12/2016, Cost $666,940) (1) | 667,000 | 670,967 | ||||||
OneMain Financial Issuance Trust 2014-1 | ||||||||
2.43%, 06/18/2024 (Acquired 04/09/2014 through 04/16/2014, Cost $1,363,954) (1) | 1,363,870 | 1,363,923 | ||||||
3.24%, 06/18/2024 (Acquired 04/09/2014, Cost $401,954) (1) | 402,000 | 403,592 | ||||||
OneMain Financial Issuance Trust 2014-2 | ||||||||
2.47%, 09/18/2024 (Acquired 07/23/2014 through 08/04/2014, Cost $3,067,302) (1) | 3,066,393 | �� | 3,067,593 | |||||
3.02%, 09/18/2024 (Acquired 07/23/2014, Cost $1,864,000) (1) | 1,864,000 | 1,863,058 | ||||||
OneMain Financial Issuance Trust 2015-1 | ||||||||
3.19%, 03/18/2026 (Acquired 01/28/2015, Cost $3,451,233) (1) | 3,452,000 | 3,475,980 | ||||||
3.85%, 03/18/2026 (Acquired 02/13/2015, Cost $500,235) (1) | 500,000 | 500,199 | ||||||
OneMain Financial Issuance Trust 2015-2 | ||||||||
2.57%, 07/18/2025 (Acquired 05/12/2015 through 09/25/2015, Cost $18,062,059) (1) | 18,062,000 | 18,061,307 | ||||||
3.10%, 07/18/2025 (Acquired 05/12/2015, Cost $1,626,642) (1) | 1,627,000 | 1,606,991 |
Principal Amount | Value | |||||||
OneMain Financial Issuance Trust 2016-1A | ||||||||
3.66%, 02/20/2029 (Acquired 09/19/2016 through 09/20/2016, Cost $2,705,271) (1) | 2,645,000 | 2,672,965 | ||||||
6.00%, 02/20/2029 (Acquired 05/12/2016, Cost $1,873,182) (1) | 1,900,000 | 1,947,789 | ||||||
OneMain Financial Issuance Trust 2016-2 | ||||||||
5.67%, 03/20/2028 (Acquired 07/19/2016, Cost $3,671,905) (1)(8) | 3,675,000 | 3,748,500 | ||||||
Oportunity Funding II LLC | ||||||||
4.70%, 03/08/2021 (Acquired 02/12/2016, Cost $2,900,835) (1) | 2,901,000 | 2,921,972 | ||||||
6.41%, 03/08/2021 (Acquired 02/12/2016, Cost $810,950) (1) | 811,000 | 803,357 | ||||||
Oportunity Funding III LLC | ||||||||
3.69%, 07/08/2021 (Acquired 06/22/2016, Cost $3,331,709) (1) | 3,332,000 | 3,329,359 | ||||||
Oportunity Funding IV LLC | ||||||||
4.85%, 11/08/2021 (Acquired 10/14/2016, Cost $723,577) (1) | 723,661 | 718,637 | ||||||
Option One Mortgage Loan Trust | ||||||||
1.43%, 02/25/2033 | 3,561,951 | 3,418,524 | ||||||
Option One Mortgage Loan Trust 2004-3 | ||||||||
1.49%, 11/25/2034 | 1,691,802 | 1,573,088 | ||||||
OZLM Funding II Ltd | ||||||||
2.00%, 10/30/2027 (Acquired 10/06/2016, Cost $4,500,000) (1) | 4,500,000 | 4,497,750 | ||||||
OZLM XV Ltd | ||||||||
2.41%, 01/20/2029 (Acquired 11/22/2016, Cost $7,725,975) (1) | 7,750,000 | 7,722,100 | ||||||
Palmer Square CLO 2015-1 Ltd. | ||||||||
2.41%, 05/21/2027 (Acquired 04/10/2015 through 06/17/2016, Cost $5,228,930) (1) | 5,250,000 | 5,251,155 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCH | ||||||||
1.43%, 01/25/2035 | 4,800,000 | 4,736,035 | ||||||
PFS Tax Lien Trust 2014-1 | ||||||||
1.44%, 05/15/2029 (Acquired 04/29/2014, Cost $243,228) (1) | 243,236 | 241,592 | ||||||
Prestige Auto Receivables Trust 2016-2 | ||||||||
2.88%, 11/15/2022 (Acquired 10/21/2016, Cost $856,874) (1) | 857,000 | 845,157 | ||||||
Progreso Receivables Funding III LLC | ||||||||
3.63%, 02/10/2020 (Acquired 01/20/2015, Cost $3,090,000) (1) | 3,090,000 | 3,075,517 | ||||||
5.50%, 02/10/2020 (Acquired 01/20/2015, Cost $793,000) (1)(8) | 793,000 | 794,983 | ||||||
Progreso Receivables Funding LLC | ||||||||
3.00%, 07/08/2020 (Acquired 06/30/2015, Cost $1,203,000) (1) | 1,203,000 | 1,202,295 | ||||||
5.00%, 07/08/2020 (Acquired 06/30/2015, Cost $605,000) (1)(8) | 605,000 | 608,025 | ||||||
Progress Residential 2015-SFR2 Trust | ||||||||
3.14%, 06/12/2032 (Acquired 05/20/2015, Cost $2,011,973) (1) | 2,012,000 | 1,993,971 | ||||||
2.74%, 06/14/2032 (Acquired 05/20/2015, Cost $3,372,727) (1) | 3,372,781 | 3,347,859 | ||||||
3.44%, 06/14/2032 (Acquired 05/20/2015, Cost $2,137,965) (1) | 2,138,000 | 2,114,732 | ||||||
4.43%, 06/14/2032 (Acquired 05/20/2015, Cost $891,981) (1) | 892,000 | 870,068 |
Principal Amount | Value | |||||||
Progress Residential 2015-SFR3 Trust | ||||||||
3.07%, 11/15/2032 (Acquired 10/23/2015, Cost $5,245,326) (1) | 5,245,499 | 5,242,238 | ||||||
4.67%, 11/15/2032 (Acquired 10/23/2015, Cost $294,990) (1) | 295,000 | 300,810 | ||||||
5.66%, 11/15/2032 (Acquired 10/23/2015, Cost $999,986) (1) | 1,000,000 | 1,013,273 | ||||||
Progress Residential 2016-SFR1 Trust | ||||||||
4.59%, 09/19/2033 (Acquired 07/15/2016, Cost $1,859,000) (1) | 1,859,000 | 1,891,917 | ||||||
Purchasing Power Funding 2015-1A LLC | ||||||||
4.75%, 12/15/2019 (Acquired 11/03/2015, Cost $3,500,000) (1) | 3,500,000 | 3,500,000 | ||||||
RAAC Series 2004-SP1 Trust | ||||||||
5.29%, 08/25/2027 | 1,950 | 1,984 | ||||||
Race Point VIII CLO Ltd. | ||||||||
2.16%, 02/20/2025 (Acquired 02/19/2015, Cost $248,268) (1) | 250,000 | 249,917 | ||||||
RAMP Series 2004-RS11 Trust | ||||||||
1.69%, 11/25/2034 | 79,574 | 79,623 | ||||||
RAMP Series 2005-RS1 Trust | ||||||||
4.71%, 11/25/2034 | 14,455 | 14,601 | ||||||
RAMP Series 2006-RZ1 Trust | ||||||||
1.06%, 03/25/2036 | 391,249 | 389,429 | ||||||
RASC Series 2002-KS4 Trust | ||||||||
1.26%, 07/25/2032 | 4,598 | 4,147 | ||||||
RASC Series 2003-KS2 Trust | ||||||||
3.99%, 04/25/2033 | 23,326 | 23,300 | ||||||
RASC Series 2003-KS5 Trust | ||||||||
1.34%, 07/25/2033 | 5,128 | 4,617 | ||||||
3.62%, 07/25/2033 | 1,441 | 1,410 | ||||||
RASC Series 2003-KS9 Trust | ||||||||
1.40%, 11/25/2033 | 6,245 | 5,180 | ||||||
RASC Series 2004-KS2 Trust | ||||||||
4.30%, 03/25/2034 | 2,626 | 2,651 | ||||||
RASC Series 2005-KS6 Trust | ||||||||
1.51%, 07/25/2035 | 1,448,621 | 1,408,085 | ||||||
RBSHD 2013-1 Trust | ||||||||
7.69%, 10/25/2047 (Acquired 02/20/2014, Cost $613,144) (1)(7)(8) | 611,806 | 611,927 | ||||||
Regatta V Funding Ltd. | ||||||||
2.44%, 10/25/2026 (Acquired 04/16/2015, Cost $999,360) (1) | 1,000,000 | 1,002,429 |
Principal Amount | Value | |||||||
Renaissance Home Equity Loan Trust | ||||||||
5.61%, 04/25/2037 | 306,989 | 144,202 | ||||||
Renaissance Home Equity Loan Trust 2005-3 | ||||||||
4.81%, 11/25/2035 | 144,613 | 145,528 | ||||||
Rice Park Financing Trust 2016-A | ||||||||
4.63%, 11/30/2021 (Acquired 11/30/2016, Cost $8,015,216) (1)(7)(8) | 8,040,000 | 8,014,754 | ||||||
RMAT 2015-NPL1 LLC | ||||||||
3.75%, 05/25/2055 (Acquired 06/03/2015, Cost $1,177,709) (1) | 1,177,709 | 1,160,080 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
1.97%, 03/16/2021 (Acquired 06/10/2015, Cost $70,595) (1)(8) | 70,596 | 70,561 | ||||||
Santander Drive Auto Receivables Trust 2014-4 | ||||||||
1.82%, 05/15/2019 | 269,790 | 270,031 | ||||||
Santander Drive Auto Receivables Trust 2015-2 | ||||||||
1.83%, 01/15/2020 | 3,467,000 | 3,472,900 | ||||||
Santander Drive Auto Receivables Trust 2015-4 | ||||||||
1.20%, 12/17/2018 | 356,373 | 356,383 | ||||||
1.40%, 12/17/2018 | 355,826 | 355,915 | ||||||
Santander Drive Auto Receivables Trust 2015-5 | ||||||||
1.29%, 12/17/2018 | 1,753,681 | 1,754,390 | ||||||
Santander Drive Auto Receivables Trust 2015-S1 | ||||||||
1.93%, 09/17/2019 (Acquired 06/10/2015, Cost $324,799) (1)(8) | 324,803 | 324,640 | ||||||
Santander Drive Auto Receivables Trust 2016-3 | ||||||||
2.46%, 03/15/2022 | 4,102,000 | 4,078,704 | ||||||
Saxon Asset Securities Trust 2003-1 | ||||||||
4.80%, 06/25/2033 | 98,268 | 99,109 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-OP2 | ||||||||
1.08%, 10/25/2035 (Acquired 03/13/2014, Cost $749,028) (1) | 756,245 | 753,733 | ||||||
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | ||||||||
3.40%, 01/25/2036 | 74,389 | 55,423 | ||||||
Selene Non-Performing Loans LLC | ||||||||
2.98%, 05/25/2054 (Acquired 05/23/2014 through 04/23/2015, Cost $229,416) (1) | 229,925 | 229,697 | ||||||
Sierra Auto Receivables Securitization Trust 2016-1 | ||||||||
2.85%, 01/18/2022 (Acquired 06/22/2016, Cost $715,105) (1) | 715,106 | 720,004 | ||||||
Silver Spring CLO Ltd | ||||||||
2.33%, 10/15/2026 (Acquired 06/24/2016, Cost $5,858,876) (1) | 5,954,635 | 5,942,333 | ||||||
Skopos Auto Receivables Trust 2015-2 | ||||||||
3.55%, 02/17/2020 (Acquired 11/05/2015, Cost $344,595) (1) | 344,613 | 345,564 | ||||||
SoFi Consumer Loan Program 2016-2 LLC | ||||||||
3.09%, 10/27/2025 (Acquired 07/26/2016, Cost $1,984,269) (1) | 1,984,567 | 1,982,553 |
Principal Amount | Value | |||||||
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 | ||||||||
1.43%, 10/25/2035 | 326,291 | 319,881 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2006-BC1 | ||||||||
0.88%, 12/25/2036 | 2,164,088 | 2,140,569 | ||||||
SpringCastle America Funding LLC | ||||||||
3.05%, 11/25/2023 (Acquired 09/16/2016, Cost $3,615,325) (1) | 3,615,456 | 3,633,533 | ||||||
Springleaf Funding Trust 2014-A | ||||||||
2.41%, 12/15/2022 (Acquired 03/19/2014 through 01/25/2016, Cost $4,853,039) (1) | 4,855,763 | 4,857,540 | ||||||
3.45%, 12/15/2022 (Acquired 03/19/2014, Cost $582,899) (1) | 583,000 | 584,223 | ||||||
Springleaf Funding Trust 2015-A | ||||||||
3.16%, 11/15/2024 (Acquired 02/18/2015 through 02/17/2016, Cost $18,649,588) (1) | 18,692,000 | 18,836,906 | ||||||
3.62%, 11/15/2024 (Acquired 02/18/2015, Cost $1,086,768) (1) | 1,087,000 | 1,086,881 | ||||||
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)(8) | 1,782,000 | 1,783,044 | ||||||
Structured Asset Investment Loan Trust 2004-4 | ||||||||
1.38%, 04/25/2034 | 720,327 | 677,585 | ||||||
Structured Asset Securities Co. Pass-Through Cert Series 2002-AL1 | ||||||||
3.45%, 02/25/2032 | 58,697 | 58,447 | ||||||
3.45%, 02/25/2032 | 125,588 | 124,523 | ||||||
Structured Asset Securities Co. Mortgage Loan Trust 2005-7XS | ||||||||
5.44%, 04/25/2035 | 9,890 | 10,320 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Certificates Series 2004-6XS | ||||||||
6.03%, 03/25/2034 | 195,728 | 195,970 | ||||||
6.05%, 03/25/2034 | 156,532 | 157,937 | ||||||
Sunset Mortgage Loan Co. 2014-NPL2 LLC | ||||||||
3.72%, 11/16/2044 (Acquired 11/25/2014, Cost $1,323,409) (1)(8) | 1,323,409 | 1,321,754 | ||||||
Synchrony Credit Card Master Note Trust 2015-1 | ||||||||
2.37%, 03/15/2023 | 4,950,000 | 4,991,397 | ||||||
Synchrony Credit Card Master Note Trust 2015-3 | ||||||||
1.74%, 09/15/2021 | 3,800,000 | 3,801,405 | ||||||
TCF Auto Receivables Owner Trust 2015-2 | ||||||||
2.06%, 04/15/2020 (Acquired 11/18/2015, Cost $9,999,524) (1) | 10,000,000 | 10,051,947 | ||||||
THL Credit Wind River 2014-3 CLO Ltd. | ||||||||
2.50%, 01/22/2027 (Acquired 12/17/2014, Cost $5,731,572) (1) | 5,750,000 | 5,762,656 | ||||||
Tidewater Auto Receivables Trust 2014-A | ||||||||
1.85%, 12/15/2018 (Acquired 06/06/2014, Cost $436,199) (1) | 436,209 | 436,378 |
Principal Amount | Value | |||||||
Toyota Auto Receivables 2014-C Owner Trust | ||||||||
0.93%, 07/16/2018 | 315,077 | 314,881 | ||||||
Toyota Auto Receivables 2016-D Owner Trust | ||||||||
1.23%, 10/15/2020 | 16,381,000 | 16,255,214 | ||||||
Trafigura Securitisation Finance Plc 2014-1 | ||||||||
1.65%, 04/16/2018 (Acquired 10/23/2014, Cost $3,719,000) (1)(7)(8) | 3,719,000 | 3,711,700 | ||||||
Tricon American Homes 2015-SFR1 Trust | ||||||||
1.99%, 05/19/2032 (Acquired 04/28/2015, Cost $904,363) (1) | 904,363 | 899,915 | ||||||
TRINITAS CLO IV Ltd | ||||||||
2.63%, 04/18/2028 (Acquired 05/02/2016, Cost $7,500,000) (1) | 7,500,000 | 7,559,453 | ||||||
United Auto Credit Securitization Trust 2016-2 | ||||||||
1.67%, 09/10/2018 (Acquired 09/13/2016, Cost $6,600,808) (1) | 6,600,808 | 6,606,294 | ||||||
US Residential Opportunity Fund III Trust 2016-1 | ||||||||
3.47%, 07/27/2036 (Acquired 07/20/2016, Cost $2,940,631) (1) | 2,940,631 | 2,928,160 | ||||||
Vericrest Opportunity Loan Trust 2015-NPL3 | ||||||||
3.38%, 10/25/2058 (Acquired 02/06/2015 through 08/12/2015, Cost $2,701,330) (1) | 2,705,179 | 2,701,389 | ||||||
Verizon Owner Trust 2016-1 | ||||||||
1.42%, 01/20/2021 (Acquired 07/12/2016, Cost $374,945) (1) | 375,000 | 372,297 | ||||||
VML 2014-NPL1 LLC | ||||||||
3.88%, 04/27/2054 (Acquired 11/26/2014, Cost $469,166) (1) | 469,166 | 468,003 | ||||||
VOLT L LLC | ||||||||
3.50%, 09/25/2046 (Acquired 09/23/2016 through 12/01/2016, Cost $6,525,130) (1) | 6,526,529 | 6,508,673 | ||||||
VOLT LI LLC | ||||||||
3.50%, 10/25/2046 (Acquired 10/27/2016, Cost $3,330,087) (1) | 3,330,087 | 3,322,328 | ||||||
VOLT LIII LLC | ||||||||
3.88%, 12/25/2046 (Acquired 12/20/2016, Cost $3,448,000) (1) | 3,448,000 | 3,457,358 | ||||||
VOLT NPL X LLC | ||||||||
3.38%, 10/26/2054 (Acquired 11/13/2014, Cost $310,090) (1) | 310,283 | 311,325 | ||||||
VOLT XIX LLC | ||||||||
3.88%, 04/26/2055 (Acquired 12/15/2014, Cost $511,987) (1) | 512,278 | 514,383 | ||||||
VOLT XL LLC | ||||||||
4.38%, 12/26/2045 (Acquired 12/08/2015, Cost $1,566,791) (1) | 1,567,907 | 1,579,862 | ||||||
VOLT XLV LLC | ||||||||
4.00%, 05/25/2046 (Acquired 05/25/2016, Cost $3,176,091) (1) | 3,179,385 | 3,185,083 | ||||||
VOLT XLVI LLC | ||||||||
3.84%, 06/25/2046 (Acquired 06/14/2016, Cost $1,732,286) (1) | 1,732,286 | 1,734,683 | ||||||
VOLT XLVII LLC | ||||||||
3.75%, 06/25/2046 (Acquired 06/22/2016, Cost $2,000,146) (1) | 2,000,146 | 2,000,974 |
Principal Amount | Value | |||||||
VOLT XLVIII LLC | ||||||||
3.50%, 07/25/2046 (Acquired 07/15/2016 through 12/14/2016, Cost $2,868,371) (1) | 2,868,366 | 2,858,371 | ||||||
VOLT XXII LLC | ||||||||
3.50%, 02/25/2055 (Acquired 02/26/2015 through 07/05/2016, Cost $1,518,841) (1) | 1,520,378 | 1,521,544 | ||||||
4.25%, 02/25/2055 (Acquired 02/25/2015, Cost $658,149) (1) | 665,941 | 652,781 | ||||||
VOLT XXIV LLC | ||||||||
3.50%, 02/25/2055 (Acquired 03/23/2015, Cost $1,714,782) (1) | 1,715,959 | 1,715,036 | ||||||
VOLT XXV LLC | ||||||||
3.50%, 06/26/2045 (Acquired 06/17/2015, Cost $5,062,804) (1) | 5,067,123 | 5,076,688 | ||||||
VOLT XXVI LLC | ||||||||
3.13%, 09/25/2043 (Acquired 09/19/2014 through 09/01/2016, Cost $6,212,792) (1) | 6,215,510 | 6,206,727 | ||||||
4.25%, 09/25/2043 (Acquired 09/19/2014, Cost $1,363,605) (1) | 1,380,166 | 1,355,969 | ||||||
VOLT XXVII LLC | ||||||||
3.38%, 08/25/2057 (Acquired 10/24/2014 through 12/02/2016, Cost $3,550,943) (1) | 3,552,483 | 3,554,065 | ||||||
VOLT XXX LLC | ||||||||
3.63%, 10/25/2057 (Acquired 01/15/2015 through 10/13/2016, Cost $3,011,896) (1) | 3,010,015 | 3,010,289 | ||||||
VOLT XXXI LLC | ||||||||
3.38%, 02/25/2055 (Acquired 01/22/2015 through 10/27/2016, Cost $2,174,271) (1) | 2,172,696 | 2,177,936 | ||||||
VOLT XXXIII LLC | ||||||||
3.50%, 03/25/2055 (Acquired 03/13/2015, Cost $2,167,237) (1) | 2,168,918 | 2,175,155 | ||||||
VOLT XXXIV LLC | ||||||||
3.25%, 02/25/2055 (Acquired 01/21/2016 through 10/27/2016, Cost $1,869,239) (1) | 1,883,778 | 1,878,829 | ||||||
VOLT XXXV | ||||||||
3.50%, 09/25/2046 (Acquired 09/01/2016, Cost $6,160,025) (1) | 6,160,919 | 6,146,553 | ||||||
VOLT XXXV LLC | ||||||||
3.50%, 06/26/2045 (Acquired 06/26/2015, Cost $1,344,650) (1) | 1,345,610 | 1,342,867 | ||||||
VOLT XXXVI LLC | ||||||||
3.63%, 07/25/2045 (Acquired 10/19/2016, Cost $358,404) (1) | 357,081 | 357,515 | ||||||
VOLT XXXVIII LLC | ||||||||
3.88%, 09/25/2045 (Acquired 09/10/2015 through 07/28/2016, Cost $1,226,152) (1) | 1,223,645 | 1,227,161 | ||||||
Voya CLO 2013-3 Ltd. | ||||||||
2.33%, 01/20/2026 (Acquired 11/26/2013, Cost $7,400,000) (1) | 7,400,000 | 7,444,467 | ||||||
Wells Fargo Dealer Floorplan Master Note Trust | ||||||||
1.24%, 01/20/2020 | 5,300,000 | 5,307,830 | ||||||
Westgate Resorts 2012-A LLC | ||||||||
2.25%, 08/20/2025 (Acquired 01/12/2015, Cost $377,000) (1) | 376,607 | 376,420 |
Principal Amount | Value | |||||||
Westgate Resorts 2015-1 LLC | ||||||||
2.75%, 05/20/2027 (Acquired 02/20/2015, Cost $318,799) (1) | 318,823 | 316,040 | ||||||
Westlake Automobile Receivables Trust 2015-3 | ||||||||
4.40%, 05/17/2021 (Acquired 02/10/2016, Cost $995,869) (1) | 1,000,000 | 1,010,993 | ||||||
Westlake Automobile Receivables Trust 2016-2 | ||||||||
1.57%, 06/17/2019 (Acquired 06/07/2016, Cost $1,460,942) (1) | 1,461,000 | 1,462,243 | ||||||
4.10%, 06/15/2021 (Acquired 06/07/2016, Cost $299,954) (1) | 300,000 | 301,121 | ||||||
Westlake Automobile Receivables Trust 2016-3 | ||||||||
2.46%, 01/18/2022 (Acquired 10/14/2016, Cost $1,872,890) (1) | 1,873,000 | 1,858,024 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
1.44%, 06/15/2022 | 8,839,000 | 8,807,569 | ||||||
World Omni Auto Receivables Trust 2015-A | ||||||||
1.34%, 05/15/2020 | 607,208 | 607,657 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost $1,041,637,609) | $ | 1,041,015,595 | ||||||
|
| |||||||
Corporate Bonds – 31.26% | ||||||||
Basic Materials – 1.37% | ||||||||
Agrium, Inc. | ||||||||
3.15%, 10/01/2022 | 875,000 | $ | 868,945 | |||||
3.38%, 03/15/2025 | 430,000 | 415,979 | ||||||
4.13%, 03/15/2035 | 1,960,000 | 1,794,345 | ||||||
6.13%, 01/15/2041 | 2,850,000 | 3,232,835 | ||||||
5.25%, 01/15/2045 | 712,000 | 740,105 | ||||||
Air Liquide Finance SA | ||||||||
2.25%, 09/27/2023 (Acquired 09/22/2016, Cost $548,668) (1) | 550,000 | 523,682 | ||||||
Anglo American Capital PLC | ||||||||
9.38%, 04/08/2019 (Acquired 10/28/2013, Cost $240,026) (1) | 215,000 | 245,637 | ||||||
Barrick North America Finance LLC | ||||||||
5.75%, 05/01/2043 | 4,480,000 | 4,701,043 | ||||||
Barrick PD Australia Finance Pty Ltd | ||||||||
5.95%, 10/15/2039 | 1,356,000 | 1,431,889 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
5.40%, 03/29/2017 | 165,000 | 166,475 | ||||||
6.50%, 04/01/2019 | 284,000 | 311,997 | ||||||
3.85%, 09/30/2023 | 646,000 | 682,946 | ||||||
5.00%, 09/30/2043 | 3,530,000 | 3,935,364 | ||||||
6.25%, 10/19/2075 (Acquired 10/14/2015, Cost $2,655,000) (1) | 2,655,000 | 2,874,568 |
Principal Amount | Value | |||||||
CF Industries, Inc. | ||||||||
7.13%, 05/01/2020 | 900,000 | 981,000 | ||||||
4.50%, 12/01/2026 (Acquired 11/10/2016, Cost $661,943) (1) | 666,000 | 653,663 | ||||||
5.38%, 03/15/2044 | 2,040,000 | 1,683,632 | ||||||
Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP | ||||||||
3.40%, 12/01/2026 (Acquired 11/17/2016, Cost $528,625) (1) | 530,000 | 528,294 | ||||||
Corp Nacional del Cobre de Chile | ||||||||
3.88%, 11/03/2021 (Acquired 10/20/2016 through 10/27/2016, Cost $5,110,183) (1) | 4,907,000 | 5,000,351 | ||||||
Corp. Nacional del Cobre de Chile | ||||||||
4.88%, 11/04/2044 (Acquired 07/28/2015, Cost $343,077) (1) | 370,000 | 362,417 | ||||||
Dow Chemical Co./The | ||||||||
8.55%, 05/15/2019 | 7,096,000 | 8,129,433 | ||||||
4.13%, 11/15/2021 | 470,000 | 496,170 | ||||||
3.00%, 11/15/2022 | 918,000 | 917,369 | ||||||
7.38%, 11/01/2029 | 339,000 | 444,720 | ||||||
5.25%, 11/15/2041 | 199,000 | 214,628 | ||||||
4.38%, 11/15/2042 | 1,570,000 | 1,521,154 | ||||||
Eastman Chemical Co. | ||||||||
2.70%, 01/15/2020 | 7,390,000 | 7,429,507 | ||||||
4.50%, 01/15/2021 | 352,000 | 371,461 | ||||||
EI du Pont de Nemours & Co. | ||||||||
5.60%, 12/15/2036 | 155,000 | 173,252 | ||||||
4.90%, 01/15/2041 | 161,000 | 168,434 | ||||||
Freeport-McMoRan, Inc. | ||||||||
2.15%, 03/01/2017 | 1,001,000 | 994,744 | ||||||
6.75%, 02/01/2022 (Acquired 02/19/2014 through 08/21/2015, Cost $670,328) (1) | 649,000 | 666,847 | ||||||
3.55%, 03/01/2022 | 5,025,000 | 4,673,250 | ||||||
5.40%, 11/14/2034 | 1,314,000 | 1,103,760 | ||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/01/2020 (Acquired 11/22/2013, Cost $3,401,205) (1) | 3,160,000 | 3,471,453 | ||||||
3.73%, 07/15/2023 (Acquired 12/10/2013, Cost $5,278,157) (1) | 5,380,000 | 5,537,548 | ||||||
Glencore Finance Canada Ltd. | ||||||||
4.25%, 10/25/2022 (Acquired 11/20/2013, Cost $4,857,955) (1) | 5,000,000 | 5,112,500 | ||||||
Glencore Funding LLC | ||||||||
2.50%, 01/15/2019 (Acquired 10/28/2013, Cost $528,850) (1) | 537,000 | 535,819 | ||||||
4.13%, 05/30/2023 (Acquired 10/28/2013, Cost $52,181) (1) | 54,000 | 54,342 | ||||||
4.63%, 04/29/2024 (Acquired 10/08/2014, Cost $1,023,737) (1) | 1,000,000 | 1,022,500 |
Principal Amount | Value | |||||||
Goldcorp, Inc. | ||||||||
3.63%, 06/09/2021 | 1,810,000 | 1,837,246 | ||||||
International Paper Co. | ||||||||
3.00%, 02/15/2027 | 714,000 | 672,559 | ||||||
5.00%, 09/15/2035 | 2,265,000 | 2,389,552 | ||||||
7.30%, 11/15/2039 | 500,000 | 636,130 | ||||||
6.00%, 11/15/2041 | 3,150,000 | 3,531,610 | ||||||
5.15%, 05/15/2046 | 1,085,000 | 1,129,376 | ||||||
Lubrizol Co. | ||||||||
8.88%, 02/01/2019 | 1,205,000 | 1,373,723 | ||||||
LYB International Finance BV | ||||||||
5.25%, 07/15/2043 | 760,000 | 815,615 | ||||||
4.88%, 03/15/2044 | 945,000 | 976,802 | ||||||
LyondellBasell Industries NV | ||||||||
5.00%, 04/15/2019 | 3,690,000 | 3,895,644 | ||||||
5.75%, 04/15/2024 | 2,550,000 | 2,904,343 | ||||||
4.63%, 02/26/2055 | 4,068,000 | 3,766,972 | ||||||
Monsanto Co. | ||||||||
4.70%, 07/15/2064 | 91,000 | 81,784 | ||||||
Mosaic Co./The | ||||||||
4.25%, 11/15/2023 | 10,506,000 | 10,582,000 | ||||||
5.45%, 11/15/2033 | 814,000 | 806,238 | ||||||
4.88%, 11/15/2041 | 52,000 | 45,062 | ||||||
5.63%, 11/15/2043 | 3,515,000 | 3,381,708 | ||||||
Nucor Co. | ||||||||
4.00%, 08/01/2023 | 176,000 | 184,825 | ||||||
Placer Dome, Inc. | ||||||||
6.45%, 10/15/2035 | 203,000 | 213,087 | ||||||
Potash Co. of Saskatchewan, Inc. | ||||||||
3.25%, 12/01/2017 | 31,000 | 31,404 | ||||||
6.50%, 05/15/2019 | 392,000 | 428,232 | ||||||
3.00%, 04/01/2025 | 1,100,000 | 1,035,819 | ||||||
PPG Industries, Inc. | ||||||||
9.00%, 05/01/2021 | 217,000 | 269,084 | ||||||
5.50%, 11/15/2040 | 118,000 | 134,756 | ||||||
Rio Tinto Alcan, Inc. | ||||||||
5.75%, 06/01/2035 | 54,000 | 57,601 |
Principal Amount | Value | |||||||
Rio Tinto Finance USA Ltd. | ||||||||
9.00%, 05/01/2019 | 673,000 | 775,710 | ||||||
3.75%, 06/15/2025 | 8,735,000 | 8,983,816 | ||||||
Samarco Mineracao SA | ||||||||
5.75%, 10/24/2023 (Acquired 10/28/2013, Cost $537,527) (1) | 537,000 | 289,980 | ||||||
Solvay Finance America LLC | ||||||||
3.40%, 12/03/2020 (Acquired 01/08/2016, Cost $3,997,033) (1) | 4,000,000 | 4,066,864 | ||||||
4.45%, 12/03/2025 (Acquired 08/03/2016, Cost $2,148,809) (1) | 2,000,000 | 2,072,534 | ||||||
Southern Copper Co. | ||||||||
5.88%, 04/23/2045 | 2,300,000 | 2,254,166 | ||||||
Union Carbide Co. | ||||||||
7.50%, 06/01/2025 | 624,000 | 750,343 | ||||||
7.75%, 10/01/2096 | 681,000 | 824,016 | ||||||
Vale Overseas Ltd. | ||||||||
4.38%, 01/11/2022 | 5,000,000 | 4,912,500 | ||||||
8.25%, 01/17/2034 | 424,000 | 467,460 | ||||||
6.88%, 11/21/2036 | 2,698,000 | 2,657,530 | ||||||
6.88%, 11/10/2039 | 107,000 | 104,057 | ||||||
Westlake Chemical Corp. | ||||||||
5.00%, 08/15/2046 (Acquired 10/06/2016, Cost $1,852,487) (1) | 1,858,000 | 1,831,769 | ||||||
|
| |||||||
145,345,975 | ||||||||
|
| |||||||
Communications – 2.64% | ||||||||
21st Century Fox America, Inc. | ||||||||
7.25%, 05/18/2018 | 203,000 | 217,578 | ||||||
8.88%, 04/26/2023 | 108,000 | 140,379 | ||||||
9.50%, 07/15/2024 | 175,000 | 231,728 | ||||||
3.70%, 10/15/2025 | 380,000 | 384,108 | ||||||
7.30%, 04/30/2028 | 454,000 | 569,582 | ||||||
7.63%, 11/30/2028 | 310,000 | 396,786 | ||||||
6.20%, 12/15/2034 | 258,000 | 302,666 | ||||||
6.40%, 12/15/2035 | 559,000 | 666,843 | ||||||
6.65%, 11/15/2037 | 310,000 | 380,895 | ||||||
6.90%, 08/15/2039 | 155,000 | 194,337 | ||||||
4.75%, 11/15/2046 (Acquired 11/15/2016, Cost $2,232,521) (1) | 2,235,000 | 2,237,287 | ||||||
Amazon.com, Inc. | ||||||||
3.80%, 12/05/2024 | 1,086,000 | 1,139,814 | ||||||
4.80%, 12/05/2034 | 854,000 | 938,560 |
Principal Amount | Value | |||||||
America Movil SAB de CV | ||||||||
5.00%, 10/16/2019 | 3,500,000 | 3,749,158 | ||||||
5.00%, 03/30/2020 | 7,300,000 | 7,801,298 | ||||||
3.13%, 07/16/2022 | 374,000 | 367,884 | ||||||
6.13%, 03/30/2040 | 283,000 | 322,453 | ||||||
AT&T, Inc. | ||||||||
5.50%, 02/01/2018 | 543,000 | 564,107 | ||||||
4.60%, 02/15/2021 | 578,000 | 610,875 | ||||||
3.88%, 08/15/2021 | 494,000 | 509,569 | ||||||
3.80%, 03/15/2022 | 1,665,000 | 1,705,143 | ||||||
3.00%, 06/30/2022 | 1,519,000 | 1,489,468 | ||||||
3.60%, 02/17/2023 | 15,701,000 | 15,818,585 | ||||||
3.90%, 03/11/2024 | 3,750,000 | 3,787,616 | ||||||
3.95%, 01/15/2025 | 205,000 | 205,101 | ||||||
3.40%, 05/15/2025 | 4,538,000 | 4,368,093 | ||||||
4.50%, 05/15/2035 | 5,500,000 | 5,305,822 | ||||||
6.30%, 01/15/2038 | 743,000 | 843,171 | ||||||
6.00%, 08/15/2040 | 2,106,000 | 2,310,988 | ||||||
5.35%, 09/01/2040 | 1,543,000 | 1,582,009 | ||||||
6.38%, 03/01/2041 | 329,000 | 378,267 | ||||||
5.15%, 03/15/2042 | 866,000 | 861,187 | ||||||
4.30%, 12/15/2042 | 2,827,000 | 2,525,987 | ||||||
4.80%, 06/15/2044 | 4,305,000 | 4,060,390 | ||||||
4.35%, 06/15/2045 | 511,000 | 454,445 | ||||||
4.75%, 05/15/2046 | 3,860,000 | 3,650,070 | ||||||
5.65%, 02/15/2047 | 2,875,000 | 3,077,759 | ||||||
4.50%, 03/09/2048 | 1,761,000 | 1,587,631 | ||||||
4.55%, 03/09/2049 | 1,445,000 | 1,309,273 | ||||||
BellSouth Co. | ||||||||
6.55%, 06/15/2034 | 2,520,000 | 2,761,643 | ||||||
British Telecommunications Plc | ||||||||
5.95%, 01/15/2018 | 289,000 | 301,163 | ||||||
2.35%, 02/14/2019 | 220,000 | 221,203 | ||||||
9.63%, 12/15/2030 | 721,000 | 1,098,186 | ||||||
CBS Co. | ||||||||
1.95%, 07/01/2017 | 4,840,000 | 4,855,246 | ||||||
3.70%, 08/15/2024 | 848,000 | 853,202 |
Principal Amount | Value | |||||||
4.00%, 01/15/2026 | 1,000,000 | 1,015,677 | ||||||
5.90%, 10/15/2040 | 67,000 | 75,118 | ||||||
4.85%, 07/01/2042 | 77,000 | 75,241 | ||||||
4.90%, 08/15/2044 | 315,000 | 314,727 | ||||||
Centel Capital Co. | ||||||||
9.00%, 10/15/2019 | 464,000 | 526,640 | ||||||
CenturyLink, Inc. | ||||||||
5.15%, 06/15/2017 | 322,000 | 326,830 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3.58%, 07/23/2020 | 6,107,000 | 6,226,251 | ||||||
4.46%, 07/23/2022 | 1,753,000 | 1,830,069 | ||||||
6.38%, 10/23/2035 | 1,861,000 | 2,121,983 | ||||||
6.48%, 10/23/2045 | 1,269,000 | 1,464,534 | ||||||
6.83%, 10/23/2055 | 690,000 | 807,393 | ||||||
Cisco Systems, Inc. | ||||||||
2.90%, 03/04/2021 | 186,000 | 190,171 | ||||||
3.00%, 06/15/2022 | 889,000 | 905,207 | ||||||
3.63%, 03/04/2024 | 550,000 | 573,438 | ||||||
2.95%, 02/28/2026 | 467,000 | 461,786 | ||||||
5.90%, 02/15/2039 | 515,000 | 652,946 | ||||||
5.50%, 01/15/2040 | 481,000 | 584,936 | ||||||
Comcast Cable Communications Holdings, Inc. | ||||||||
9.46%, 11/15/2022 | 542,000 | 732,852 | ||||||
Comcast Cable Communications LLC | ||||||||
8.88%, 05/01/2017 | 103,000 | 105,588 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.13%, 04/15/2022 | 186,000 | 242,370 | ||||||
Comcast Co. | ||||||||
6.50%, 01/15/2017 | 103,000 | 103,145 | ||||||
4.25%, 01/15/2033 | 1,895,000 | 1,969,210 | ||||||
4.20%, 08/15/2034 | 555,000 | 566,061 | ||||||
6.50%, 11/15/2035 | 2,370,000 | 3,030,521 | ||||||
6.45%, 03/15/2037 | 310,000 | 399,641 | ||||||
6.95%, 08/15/2037 | 107,000 | 145,715 | ||||||
4.50%, 01/15/2043 | 2,154,000 | 2,216,567 | ||||||
Cox Communications, Inc. | ||||||||
3.25%, 12/15/2022 (Acquired 10/28/2013, Cost $326,194) (1) | 348,000 | 338,594 |
Principal Amount | Value | |||||||
3.85%, 02/01/2025 (Acquired 12/01/2014, Cost $1,997,273) (1) | 2,000,000 | 1,959,042 | ||||||
3.35%, 09/15/2026 (Acquired 09/08/2016, Cost $368,393) (1) | 369,000 | 351,847 | ||||||
4.80%, 02/01/2035 (Acquired 12/01/2014, Cost $7,148,511) (1) | 7,150,000 | 6,650,365 | ||||||
8.38%, 03/01/2039 (Acquired 10/28/2013, Cost $163,514) (1) | 134,000 | 166,878 | ||||||
Cox Enterprises, Inc. | ||||||||
7.38%, 07/15/2027 (Acquired 10/28/2013, Cost $313,229) (1) | 273,000 | 317,035 | ||||||
Crown Castle Towers LLC | ||||||||
3.22%, 05/15/2042 (Acquired 04/30/2015, Cost $589,000) (1) | 589,000 | 598,736 | ||||||
Deutsche Telekom International Finance BV | ||||||||
2.25%, 03/06/2017 (Acquired 10/28/2013 through 12/11/2013, Cost $4,534,766) (1) | 4,529,000 | 4,535,427 | ||||||
6.00%, 07/08/2019 | 209,000 | 228,506 | ||||||
8.75%, 06/15/2030 | 648,000 | 951,079 | ||||||
4.88%, 03/06/2042 (Acquired 10/28/2013, Cost $233,335) (1) | 240,000 | 256,546 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 06/15/2021 | 752,000 | 792,229 | ||||||
4.95%, 05/15/2042 | 1,161,000 | 1,068,976 | ||||||
eBay, Inc. | ||||||||
2.60%, 07/15/2022 | 2,356,000 | 2,281,117 | ||||||
3.45%, 08/01/2024 | 669,000 | 657,774 | ||||||
4.00%, 07/15/2042 | 213,000 | 177,462 | ||||||
Grupo Televisa SAB | ||||||||
6.13%, 01/31/2046 | 382,000 | 378,459 | ||||||
GTE Co. | ||||||||
8.75%, 11/01/2021 | 11,000 | 13,392 | ||||||
GTP Acquisition Partners I LLC | ||||||||
2.35%, 06/15/2045 (Acquired 05/20/2015, Cost $271,000) (1)(8) | 271,000 | 264,100 | ||||||
3.48%, 06/15/2050 (Acquired 05/20/2015, Cost $314,000) (1) | 314,000 | 305,032 | ||||||
Historic TW, Inc. | ||||||||
9.15%, 02/01/2023 | 347,000 | 444,546 | ||||||
NBCUniversal Media LLC | ||||||||
4.38%, 04/01/2021 | 700,000 | 755,595 | ||||||
6.40%, 04/30/2040 | 372,000 | 480,238 | ||||||
5.95%, 04/01/2041 | 527,000 | 648,189 | ||||||
4.45%, 01/15/2043 | 1,765,000 | 1,800,141 | ||||||
New Cingular Wireless Services, Inc. | ||||||||
8.75%, 03/01/2031 | 1,140,000 | 1,627,787 | ||||||
Nippon Telegraph & Telephone Co. | ||||||||
1.40%, 07/18/2017 | 237,000 | 236,890 |
Principal Amount | Value | |||||||
Orange SA | ||||||||
2.75%, 02/06/2019 | 3,000,000 | 3,038,607 | ||||||
9.00%, 03/01/2031 | 1,393,000 | 2,090,892 | ||||||
Qwest Co. | ||||||||
6.75%, 12/01/2021 | 3,866,000 | 4,194,610 | ||||||
Rogers Communications, Inc. | ||||||||
4.10%, 10/01/2023 | 1,255,000 | 1,309,255 | ||||||
3.63%, 12/15/2025 | 4,350,000 | 4,392,752 | ||||||
8.75%, 05/01/2032 | 258,000 | 351,089 | ||||||
SK Telecom Co. Ltd | ||||||||
6.63%, 07/20/2027 (Acquired 10/28/2013 through 11/27/2013, Cost $423,914) (1) | 361,000 | 453,394 | ||||||
Sky Plc | ||||||||
3.75%, 09/16/2024 (Acquired 10/08/2015, Cost $286,113) (1) | 287,000 | 287,562 | ||||||
Sprint Capital Co. | ||||||||
6.90%, 05/01/2019 | 301,000 | 318,684 | ||||||
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | ||||||||
3.36%, 03/20/2023 (Acquired 10/20/2016, Cost $2,935,951) (1) | 2,936,000 | 2,941,490 | ||||||
TCI Communications, Inc. | ||||||||
7.13%, 02/15/2028 | 138,000 | 182,237 | ||||||
Telecom Italia Capital SA | ||||||||
7.00%, 06/04/2018 | 5,000,000 | 5,300,000 | ||||||
7.18%, 06/18/2019 | 215,000 | 238,112 | ||||||
7.20%, 07/18/2036 | 1,644,000 | 1,620,557 | ||||||
Telefonica Emisiones SAU | ||||||||
6.22%, 07/03/2017 | 545,000 | 557,231 | ||||||
3.19%, 04/27/2018 | 221,000 | 224,147 | ||||||
5.13%, 04/27/2020 | 500,000 | 535,379 | ||||||
5.46%, 02/16/2021 | 233,000 | 253,786 | ||||||
Thomson Reuters Co. | ||||||||
4.70%, 10/15/2019 | 222,000 | 235,598 | ||||||
3.95%, 09/30/2021 | 934,000 | 969,595 | ||||||
3.85%, 09/29/2024 | 342,000 | 348,529 | ||||||
4.50%, 05/23/2043 | 312,000 | 292,092 | ||||||
Time Warner Cable LLC | ||||||||
5.85%, 05/01/2017 | 100,000 | 101,417 | ||||||
6.75%, 07/01/2018 | 5,490,000 | 5,860,311 |
Principal Amount | Value | |||||||
8.75%, 02/14/2019 | 184,000 | 207,285 | ||||||
8.25%, 04/01/2019 | 222,000 | 249,369 | ||||||
6.55%, 05/01/2037 | 375,000 | 423,902 | ||||||
7.30%, 07/01/2038 | 1,023,000 | 1,256,588 | ||||||
6.75%, 06/15/2039 | 539,000 | 625,676 | ||||||
5.88%, 11/15/2040 | 475,000 | 505,746 | ||||||
5.50%, 09/01/2041 | 385,000 | 390,746 | ||||||
Time Warner Cos, Inc. | ||||||||
7.57%, 02/01/2024 | 330,000 | 407,654 | ||||||
Time Warner Entertainment Co. LP | ||||||||
8.38%, 07/15/2033 | 879,000 | 1,150,261 | ||||||
Time Warner, Inc. | ||||||||
4.75%, 03/29/2021 | 585,000 | 626,196 | ||||||
4.00%, 01/15/2022 | 900,000 | 933,488 | ||||||
3.55%, 06/01/2024 | 1,400,000 | 1,386,979 | ||||||
3.60%, 07/15/2025 | 2,670,000 | 2,651,521 | ||||||
2.95%, 07/15/2026 | 2,000,000 | 1,860,268 | ||||||
3.80%, 02/15/2027 | 2,850,000 | 2,824,971 | ||||||
7.63%, 04/15/2031 | 4,118,000 | 5,575,088 | ||||||
7.70%, 05/01/2032 | 712,000 | 963,750 | ||||||
6.20%, 03/15/2040 | 323,000 | 372,250 | ||||||
6.25%, 03/29/2041 | 170,000 | 199,149 | ||||||
5.38%, 10/15/2041 | 181,000 | 191,068 | ||||||
4.65%, 06/01/2044 | 2,145,000 | 2,063,921 | ||||||
Verizon Communications, Inc. | ||||||||
2.63%, 02/21/2020 | 2,094,000 | 2,112,737 | ||||||
4.50%, 09/15/2020 | 535,000 | 572,093 | ||||||
3.45%, 03/15/2021 | 535,000 | 551,876 | ||||||
5.15%, 09/15/2023 | 14,412,000 | 15,919,366 | ||||||
2.63%, 08/15/2026 | 1,400,000 | 1,286,809 | ||||||
6.40%, 09/15/2033 | 7,360,000 | 8,868,005 | ||||||
5.05%, 03/15/2034 | 1,000,000 | 1,051,538 | ||||||
4.40%, 11/01/2034 | 2,056,000 | 2,026,167 | ||||||
5.85%, 09/15/2035 | 349,000 | 397,996 | ||||||
4.27%, 01/15/2036 | 8,236,000 | 7,870,404 | ||||||
4.86%, 08/21/2046 | 9,633,000 | 9,742,055 | ||||||
4.52%, 09/15/2048 | 6,396,000 | 6,120,703 |
Principal Amount | Value | |||||||
5.01%, 08/21/2054 | 6,261,000 | 6,215,232 | ||||||
4.67%, 03/15/2055 | 6,860,000 | 6,448,942 | ||||||
Viacom, Inc. | ||||||||
2.75%, 12/15/2019 | 149,000 | 148,731 | ||||||
3.13%, 06/15/2022 | 286,000 | 277,022 | ||||||
3.25%, 03/15/2023 | 69,000 | 65,553 | ||||||
3.88%, 04/01/2024 | 581,000 | 563,232 | ||||||
3.45%, 10/04/2026 | 2,224,000 | 2,052,374 | ||||||
4.85%, 12/15/2034 | 156,000 | 138,872 | ||||||
4.50%, 02/27/2042 | 209,000 | 172,959 | ||||||
4.38%, 03/15/2043 | 718,000 | 570,926 | ||||||
Vodafone Group Plc | ||||||||
1.63%, 03/20/2017 | 423,000 | 423,083 | ||||||
1.50%, 02/19/2018 | 1,218,000 | 1,213,329 | ||||||
2.95%, 02/19/2023 | 78,000 | 75,554 | ||||||
Walt Disney Co./The | ||||||||
3.00%, 02/13/2026 | 1,000,000 | 993,546 | ||||||
1.85%, 07/30/2026 | 259,000 | 233,035 | ||||||
3.00%, 07/30/2046 | 160,000 | 135,761 | ||||||
|
| |||||||
280,299,256 | ||||||||
|
| |||||||
Consumer, Cyclical – 1.81% | ||||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 11/15/2026 (Acquired 10/28/2013, Cost $328,327) (1) | 341,053 | 350,841 | ||||||
American Airlines 2011-1 Class A Pass Through Trust | ||||||||
5.25%, 07/31/2022 | 102,583 | 109,250 | ||||||
American Airlines 2013-2 Class A Pass Through Trust | ||||||||
4.95%, 07/15/2024 | 4,110,642 | 4,382,972 | ||||||
American Airlines 2015-1 Class A Pass Through Trust | ||||||||
3.38%, 11/01/2028 | 2,783,034 | 2,741,289 | ||||||
American Airlines 2016-2 Class A Pass Through Trust | ||||||||
3.65%, 12/15/2029 | 244,000 | 242,323 | ||||||
American Airlines 2016-2 Class AA Pass Through Trust | ||||||||
3.20%, 12/15/2029 | 1,520,000 | 1,478,200 | ||||||
American Airlines 2016-3 Class AA Pass Through Trust | ||||||||
3.00%, 04/15/2030 | 2,338,000 | 2,241,558 | ||||||
American Honda Finance Corp. | ||||||||
2.13%, 02/28/2017 (Acquired 10/28/2013, Cost $425,389) (1) | 425,000 | 425,669 |
Principal Amount | Value | |||||||
1.60%, 02/16/2018 (Acquired 10/28/2013, Cost $301,102) (1) | 302,000 | 302,234 | ||||||
2.13%, 10/10/2018 | 352,000 | 354,686 | ||||||
2.25%, 08/15/2019 | 739,000 | 745,860 | ||||||
2.30%, 09/09/2026 | 185,000 | 172,409 | ||||||
Arrow Electronics, Inc. | ||||||||
3.00%, 03/01/2018 | 197,000 | 199,219 | ||||||
6.88%, 06/01/2018 | 279,000 | 296,466 | ||||||
6.00%, 04/01/2020 | 478,000 | 517,627 | ||||||
4.50%, 03/01/2023 | 183,000 | 186,304 | ||||||
7.50%, 01/15/2027 | 992,000 | 1,178,800 | ||||||
Bed Bath & Beyond, Inc. | ||||||||
4.92%, 08/01/2034 | 1,865,000 | 1,863,307 | ||||||
BMW US Capital LLC | ||||||||
2.25%, 09/15/2023 (Acquired 09/08/2016, Cost $891,347) (1) | 894,000 | 855,815 | ||||||
CK Hutchison International 16 Ltd | ||||||||
1.88%, 10/03/2021 (Acquired 09/28/2016, Cost $399,480) (1) | 402,000 | 384,593 | ||||||
2.75%, 10/03/2026 (Acquired 09/28/2016, Cost $594,669) (1) | 600,000 | 556,810 | ||||||
Continental Airlines 1997-4 Class A Pass Through Trust | ||||||||
6.90%, 07/02/2019 (8) | 6,097 | 6,147 | ||||||
Continental Airlines 1999-2 Class A-1 Pass Through Trust | ||||||||
7.26%, 09/15/2021 | 30,093 | 32,275 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 10/19/2023 | 5,695,334 | 6,293,344 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 04/29/2026 | 185,537 | 189,711 | ||||||
CVS Health Corp. | ||||||||
2.13%, 06/01/2021 | 1,527,000 | 1,500,277 | ||||||
3.50%, 07/20/2022 | 3,000,000 | 3,079,263 | ||||||
4.00%, 12/05/2023 | 6,401,000 | 6,737,181 | ||||||
2.88%, 06/01/2026 | 617,000 | 587,231 | ||||||
5.30%, 12/05/2043 | 3,260,000 | 3,687,031 | ||||||
5.13%, 07/20/2045 | 922,000 | 1,025,543 | ||||||
CVS Pass-Through Trust | ||||||||
5.93%, 01/10/2034 (Acquired 10/28/2013, Cost $715,314) (1) | 651,716 | 743,442 | ||||||
4.70%, 01/10/2036 (Acquired 08/05/2016 through 12/14/2016, Cost $2,741,801) (1) | 2,489,250 | 2,616,739 | ||||||
Daimler Finance North America LLC | ||||||||
2.95%, 01/11/2017 (Acquired 10/28/2013, Cost $1,011,345) (1) | 1,011,000 | 1,011,320 |
Principal Amount | Value | |||||||
1.88%, 01/11/2018 (Acquired 10/28/2013 through 12/10/2013, Cost $3,078,356) (1) | 3,080,000 | 3,083,865 | ||||||
2.38%, 08/01/2018 (Acquired 10/28/2013, Cost $195,409) (1) | 195,000 | 196,434 | ||||||
2.00%, 08/03/2018 (Acquired 07/28/2015, Cost $299,673) (1) | 300,000 | 300,364 | ||||||
2.25%, 07/31/2019 (Acquired 11/19/2013 through 11/20/2013, Cost $3,229,964) (1) | 3,250,000 | 3,252,850 | ||||||
2.25%, 03/02/2020 (Acquired 02/23/2015, Cost $3,569,686) (1) | 3,575,000 | 3,556,260 | ||||||
2.88%, 03/10/2021 (Acquired 03/03/2014, Cost $699,092) (1) | 700,000 | 703,717 | ||||||
8.50%, 01/18/2031 | 155,000 | 233,055 | ||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | ||||||||
6.82%, 02/10/2024 | 2,668,654 | 3,068,952 | ||||||
Delta Air Lines 2010-2 Class A Pass Through Trust | ||||||||
4.95%, 11/23/2020 | 209,982 | 220,061 | ||||||
Delta Air Lines 2011-1 Class A Pass Through Trust | ||||||||
5.30%, 04/15/2019 | 81,678 | 86,170 | ||||||
Delta Air Lines 2012-1 Class A Pass Through Trust | ||||||||
4.75%, 11/07/2021 | 276,756 | 289,210 | ||||||
Ford Motor Co. | ||||||||
7.45%, 07/16/2031 | 1,600,000 | 2,004,592 | ||||||
4.75%, 01/15/2043 | 7,640,000 | 7,240,397 | ||||||
5.29%, 12/08/2046 | 3,109,000 | 3,143,557 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.00%, 06/12/2017 | 905,000 | 910,252 | ||||||
6.63%, 08/15/2017 | 3,473,000 | 3,578,579 | ||||||
1.68%, 09/08/2017 | 944,000 | 942,441 | ||||||
1.72%, 12/06/2017 | 2,000,000 | 1,998,360 | ||||||
2.15%, 01/09/2018 | 386,000 | 386,517 | ||||||
2.24%, 06/15/2018 | 942,000 | 943,129 | ||||||
2.55%, 10/05/2018 | 1,500,000 | 1,508,153 | ||||||
2.38%, 03/12/2019 | 2,672,000 | 2,669,408 | ||||||
2.60%, 11/04/2019 | 1,000,000 | 998,032 | ||||||
2.46%, 03/27/2020 | 800,000 | 789,208 | ||||||
3.16%, 08/04/2020 | 1,300,000 | 1,308,720 | ||||||
4.25%, 09/20/2022 | 397,000 | 408,583 | ||||||
4.38%, 08/06/2023 | 800,000 | 824,741 | ||||||
4.13%, 08/04/2025 | 265,000 | 265,395 | ||||||
Gap, Inc./The | ||||||||
5.95%, 04/12/2021 | 368,000 | 386,949 |
Principal Amount | Value | |||||||
General Motors Co. | ||||||||
4.88%, 10/02/2023 | 250,000 | 261,794 | ||||||
4.00%, 04/01/2025 | 8,070,000 | 7,897,560 | ||||||
6.60%, 04/01/2036 | 1,671,000 | 1,907,303 | ||||||
6.25%, 10/02/2043 | 3,204,000 | 3,535,989 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.20%, 07/13/2020 | 1,682,000 | 1,685,892 | ||||||
3.20%, 07/06/2021 | 551,000 | 545,917 | ||||||
4.38%, 09/25/2021 | 5,000,000 | 5,181,850 | ||||||
3.45%, 04/10/2022 | 4,820,000 | 4,761,804 | ||||||
3.70%, 05/09/2023 | 5,249,000 | 5,159,400 | ||||||
4.00%, 01/15/2025 | 250,000 | 243,608 | ||||||
4.00%, 10/06/2026 | 1,190,000 | 1,143,276 | ||||||
Home Depot, Inc./The | ||||||||
2.63%, 06/01/2022 | 494,000 | 495,856 | ||||||
3.00%, 04/01/2026 | 148,000 | 147,500 | ||||||
2.13%, 09/15/2026 | 298,000 | 274,444 | ||||||
5.88%, 12/16/2036 | 5,490,000 | 6,924,954 | ||||||
4.20%, 04/01/2043 | 655,000 | 673,555 | ||||||
4.40%, 03/15/2045 | 268,000 | 285,029 | ||||||
3.50%, 09/15/2056 | 214,000 | 186,859 | ||||||
Hyundai Capital America | ||||||||
2.40%, 10/30/2018 (Acquired 10/27/2015, Cost $2,716,799) (1) | 2,717,000 | 2,727,805 | ||||||
2.00%, 07/01/2019 (Acquired 06/07/2016, Cost $300,825) (1) | 301,000 | 298,544 | ||||||
Hyundai Capital Services, Inc. | ||||||||
3.50%, 09/13/2017 (Acquired 10/28/2013 through 09/30/2014, Cost $4,705,141) (1) | 4,650,000 | 4,696,737 | ||||||
Lowe’s Cos, Inc. | ||||||||
3.38%, 09/15/2025 | 477,000 | 484,528 | ||||||
5.50%, 10/15/2035 | 550,000 | 648,375 | ||||||
7.11%, 05/15/2037 | 361,000 | 485,802 | ||||||
5.13%, 11/15/2041 | 238,000 | 269,310 | ||||||
4.65%, 04/15/2042 | 449,000 | 478,951 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
7.45%, 07/15/2017 | 134,000 | 138,225 | ||||||
2.88%, 02/15/2023 | 1,371,000 | 1,303,459 | ||||||
4.38%, 09/01/2023 | 393,000 | 403,681 | ||||||
6.90%, 01/15/2032 | 400,000 | 444,375 | ||||||
6.70%, 07/15/2034 | 130,000 | 141,487 |
Principal Amount | Value | |||||||
4.50%, 12/15/2034 | 238,000 | 212,446 | ||||||
6.38%, 03/15/2037 | 300,000 | 316,505 | ||||||
5.13%, 01/15/2042 | 101,000 | 93,161 | ||||||
Marriott International, Inc./MD | ||||||||
3.00%, 03/01/2019 | 7,250,000 | 7,374,417 | ||||||
McDonald’s Co. | ||||||||
4.70%, 12/09/2035 | 216,000 | 228,157 | ||||||
6.30%, 10/15/2037 | 1,054,000 | 1,322,163 | ||||||
Newell Rubbermaid, Inc. | ||||||||
5.50%, 04/01/2046 | 2,707,000 | 3,101,802 | ||||||
Nissan Motor Acceptance Corp. | ||||||||
1.80%, 03/15/2018 (Acquired 10/28/2013, Cost $723,425) (1) | 727,000 | 727,622 | ||||||
2.65%, 09/26/2018 (Acquired 02/25/2014, Cost $502,913) (1) | 500,000 | 505,051 | ||||||
1.90%, 09/14/2021 (Acquired 09/07/2016, Cost $313,438) (1) | 314,000 | 302,707 | ||||||
Nordstrom, Inc. | ||||||||
4.00%, 10/15/2021 | 398,000 | 416,370 | ||||||
Starbucks Co. | ||||||||
4.30%, 06/15/2045 | 604,000 | 632,989 | ||||||
Target Co. | ||||||||
3.50%, 07/01/2024 | 355,000 | 368,310 | ||||||
Toyota Motor Credit Corp. | �� | |||||||
1.75%, 05/22/2017 | 516,000 | 517,152 | ||||||
1.45%, 01/12/2018 | 193,000 | 193,034 | ||||||
1.55%, 10/18/2019 | 10,363,000 | 10,232,613 | ||||||
2.80%, 07/13/2022 | 640,000 | 644,977 | ||||||
United Airlines 2016-1 Class A Pass Through Trust | ||||||||
3.45%, 01/07/2030 | 882,000 | 857,745 | ||||||
United Airlines 2016-1 Class AA Pass Through Trust | ||||||||
3.10%, 01/07/2030 | 6,990,000 | 6,745,350 | ||||||
US Airways 1998-1A Pass Through Trust | ||||||||
6.85%, 01/30/2018(8) | 15,526 | 15,837 | ||||||
Walgreen Co. | ||||||||
4.40%, 09/15/2042 | 400,000 | 385,450 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
3.10%, 06/01/2023 | 2,241,000 | 2,223,724 | ||||||
3.80%, 11/18/2024 | 670,000 | 681,090 | ||||||
4.50%, 11/18/2034 | 1,079,000 | 1,084,130 |
Principal Amount | Value | |||||||
4.80%, 11/18/2044 | 1,523,000 | 1,562,379 | ||||||
Wal-Mart Stores, Inc. | ||||||||
3.30%, 04/22/2024 | 3,820,000 | 3,923,419 | ||||||
7.55%, 02/15/2030 | 72,000 | 103,796 | ||||||
6.20%, 04/15/2038 | 108,000 | 142,134 | ||||||
5.00%, 10/25/2040 | 124,000 | 142,449 | ||||||
WW Grainger, Inc. | ||||||||
4.60%, 06/15/2045 | 423,000 | 451,976 | ||||||
|
| |||||||
191,736,511 | ||||||||
|
| |||||||
Consumer, Non-cyclical – 4.36% | ||||||||
Abbott Laboratories | ||||||||
2.90%, 11/30/2021 | 13,375,000 | 13,343,248 | ||||||
3.40%, 11/30/2023 | 748,000 | 744,314 | ||||||
4.90%, 11/30/2046 | 2,368,000 | 2,425,637 | ||||||
AbbVie, Inc. | ||||||||
1.80%, 05/14/2018 | 7,230,000 | 7,234,367 | ||||||
2.00%, 11/06/2018 | 866,000 | 867,814 | ||||||
2.90%, 11/06/2022 | 574,000 | 566,322 | ||||||
3.20%, 11/06/2022 | 769,000 | 768,636 | ||||||
2.85%, 05/14/2023 | 5,543,000 | 5,371,195 | ||||||
3.60%, 05/14/2025 | 12,428,000 | 12,293,715 | ||||||
4.50%, 05/14/2035 | 2,520,000 | 2,472,178 | ||||||
4.30%, 05/14/2036 | 450,000 | 428,126 | ||||||
4.45%, 05/14/2046 | 1,703,000 | 1,627,435 | ||||||
Actavis Funding SCS | ||||||||
3.45%, 03/15/2022 | 11,442,000 | 11,602,337 | ||||||
3.80%, 03/15/2025 | 2,355,000 | 2,354,767 | ||||||
4.55%, 03/15/2035 | 6,023,000 | 5,952,459 | ||||||
4.75%, 03/15/2045 | 3,125,000 | 3,062,087 | ||||||
Aetna, Inc. | ||||||||
2.80%, 06/15/2023 | 419,000 | 412,255 | ||||||
3.20%, 06/15/2026 | 4,700,000 | 4,642,707 | ||||||
4.25%, 06/15/2036 | 306,000 | 306,317 | ||||||
6.75%, 12/15/2037 | 341,000 | 442,486 | ||||||
4.50%, 05/15/2042 | 205,000 | 207,529 | ||||||
4.75%, 03/15/2044 | 1,800,000 | 1,889,968 | ||||||
4.38%, 06/15/2046 | 3,473,000 | 3,480,335 |
Principal Amount | Value | |||||||
Allergan, Inc. | ||||||||
3.38%, 09/15/2020 | 539,000 | 551,299 | ||||||
2.80%, 03/15/2023 | 971,000 | 928,811 | ||||||
Amgen, Inc. | ||||||||
5.70%, 02/01/2019 | 204,000 | 219,185 | ||||||
2.13%, 05/01/2020 | 123,000 | 121,779 | ||||||
3.88%, 11/15/2021 | 722,000 | 755,120 | ||||||
2.70%, 05/01/2022 | 5,600,000 | 5,539,178 | ||||||
3.13%, 05/01/2025 | 525,000 | 510,242 | ||||||
4.95%, 10/01/2041 | 464,000 | 480,589 | ||||||
4.66%, 06/15/2051 (Acquired 10/28/2013 through 08/22/2016, Cost $8,286,830) (1) | 9,145,000 | 8,813,055 | ||||||
Anheuser-Busch Cos LLC | ||||||||
5.50%, 01/15/2018 | 103,000 | 107,016 | ||||||
5.75%, 04/01/2036 | 114,000 | 133,623 | ||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||
1.90%, 02/01/2019 | 132,000 | 132,160 | ||||||
2.63%, 01/17/2023 | 160,000 | 156,675 | ||||||
3.30%, 02/01/2023 | 4,301,000 | 4,372,780 | ||||||
3.70%, 02/01/2024 | 960,000 | 993,440 | ||||||
4.70%, 02/01/2036 | 10,599,000 | 11,145,103 | ||||||
4.00%, 01/17/2043 | 810,000 | 765,474 | ||||||
4.90%, 02/01/2046 | 5,850,000 | 6,281,338 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
2.20%, 08/01/2018 | 5,080,000 | 5,113,457 | ||||||
3.75%, 01/15/2022 | 1,441,000 | 1,502,610 | ||||||
4.95%, 01/15/2042 | 2,735,000 | 2,974,258 | ||||||
Anthem, Inc. | ||||||||
2.30%, 07/15/2018 | 289,000 | 290,841 | ||||||
3.13%, 05/15/2022 | 484,000 | 483,737 | ||||||
3.30%, 01/15/2023 | 271,000 | 270,261 | ||||||
3.50%, 08/15/2024 | 694,000 | 691,193 | ||||||
4.63%, 05/15/2042 | 400,000 | 401,167 | ||||||
4.65%, 01/15/2043 | 391,000 | 391,792 | ||||||
5.10%, 01/15/2044 | 1,881,000 | 2,000,577 | ||||||
4.65%, 08/15/2044 | 395,000 | 399,083 | ||||||
BAT International Finance Plc | ||||||||
3.95%, 06/15/2025 (Acquired 06/10/2015, Cost $4,986,821) (1) | 5,000,000 | 5,171,350 |
Principal Amount | Value | |||||||
Baxalta Inc. | ||||||||
3.60%, 06/23/2022 | 367,000 | 369,430 | ||||||
5.25%, 06/23/2045 | 167,000 | 177,927 | ||||||
Bayer US Finance LLC | ||||||||
3.38%, 10/08/2024 (Acquired 10/01/2014, Cost $467,187) (1) | 471,000 | 468,061 | ||||||
Baylor Scott & White Holdings | ||||||||
4.19%, 11/15/2045 | 1,800,000 | 1,752,619 | ||||||
3.97%, 11/15/2046 | 3,700,000 | 3,480,290 | ||||||
Becton Dickinson and Co. | ||||||||
2.68%, 12/15/2019 | 135,000 | 136,904 | ||||||
3.73%, 12/15/2024 | 1,972,000 | 2,014,861 | ||||||
Biogen, Inc. | ||||||||
3.63%, 09/15/2022 | 673,000 | 690,054 | ||||||
5.20%, 09/15/2045 | 366,000 | 392,276 | ||||||
Brown-Forman Co. | ||||||||
4.50%, 07/15/2045 | 375,000 | 391,227 | ||||||
Bunge Ltd Finance Corp. | ||||||||
3.20%, 06/15/2017 | 4,010,000 | 4,040,067 | ||||||
8.50%, 06/15/2019 | 7,456,000 | 8,538,574 | ||||||
3.50%, 11/24/2020 | 283,000 | 287,822 | ||||||
3.25%, 08/15/2026 | 284,000 | 272,312 | ||||||
Bunge NA Finance LP | ||||||||
5.90%, 04/01/2017 | 470,000 | 474,035 | ||||||
Cardinal Health, Inc. | ||||||||
3.75%, 09/15/2025 | 412,000 | 424,964 | ||||||
4.90%, 09/15/2045 | 315,000 | 331,740 | ||||||
Cargill, Inc. | ||||||||
6.00%, 11/27/2017 (Acquired 10/28/2013, Cost $165,747) (1) | 160,000 | 166,515 | ||||||
7.35%, 03/06/2019 (Acquired 10/28/2013, Cost $323,250) (1) | 294,000 | 326,904 | ||||||
4.31%, 05/14/2021 (Acquired 10/28/2013, Cost $293,083) (1) | 281,000 | 299,665 | ||||||
3.30%, 03/01/2022 (Acquired 10/28/2013, Cost $793,919) (1) | 800,000 | 816,326 | ||||||
Celgene Corp. | ||||||||
3.25%, 08/15/2022 | 1,220,000 | 1,229,527 | ||||||
4.00%, 08/15/2023 | 298,000 | 310,383 | ||||||
3.63%, 05/15/2024 | 686,000 | 688,570 | ||||||
5.00%, 08/15/2045 | 302,000 | 313,404 |
Principal Amount | Value | |||||||
Cigna Co. | ||||||||
3.25%, 04/15/2025 | 970,000 | 943,489 | ||||||
5.38%, 02/15/2042 | 3,040,000 | 3,380,656 | ||||||
Cleveland Clinic Foundation/The | ||||||||
4.86%, 01/01/2114 | 1,612,000 | 1,525,442 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
2.38%, 11/26/2018 | 8,790,000 | 8,849,253 | ||||||
Conagra Brands, Inc. | ||||||||
4.95%, 08/15/2020 | 40,000 | 42,511 | ||||||
9.75%, 03/01/2021 | 1,750,000 | 2,140,488 | ||||||
7.00%, 10/01/2028 | 3,250,000 | 3,967,015 | ||||||
Danaher Co. | ||||||||
2.40%, 09/15/2020 | 280,000 | 280,383 | ||||||
Danone SA | ||||||||
2.59%, 11/02/2023 (Acquired 10/26/2016, Cost $1,600,000) (1) | 1,600,000 | 1,539,867 | ||||||
Diageo Investment Co. | ||||||||
8.00%, 09/15/2022 | 516,000 | 644,232 | ||||||
DP World Ltd. | ||||||||
6.85%, 07/02/2037 (Acquired 07/30/2015, Cost $1,273,414) (1) | 1,160,000 | 1,236,532 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
4.42%, 12/15/2046 | 9,350,000 | 9,490,138 | ||||||
Ecolab, Inc. | ||||||||
1.45%, 12/08/2017 | 5,928,000 | 5,921,770 | ||||||
2.25%, 01/12/2020 | 233,000 | 232,788 | ||||||
3.25%, 01/14/2023 | 452,000 | 459,786 | ||||||
5.50%, 12/08/2041 | 103,000 | 120,910 | ||||||
Equifax, Inc. | ||||||||
2.30%, 06/01/2021 | 338,000 | 330,688 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 03/15/2017 (Acquired 10/28/2013, Cost $275,559) (1) | 275,000 | 275,735 | ||||||
6.38%, 10/15/2017 (Acquired 10/28/2013, Cost $42,394) (1) | 41,000 | 42,480 | ||||||
2.80%, 11/01/2018 (Acquired 01/07/2014, Cost $4,910,791) (1) | 4,875,000 | 4,935,153 | ||||||
4.50%, 08/16/2021 (Acquired 10/28/2013, Cost $414,134) (1) | 400,000 | 426,350 | ||||||
6.70%, 06/01/2034 (Acquired 10/28/2013, Cost $577,720) (1) | 508,000 | 615,250 | ||||||
5.63%, 03/15/2042 (Acquired 10/28/2013, Cost $368,606) (1) | 357,000 | 392,832 | ||||||
4.50%, 02/15/2045 (Acquired 02/10/2015, Cost $296,649) (1) | 300,000 | 285,522 |
Principal Amount | Value | |||||||
Express Scripts Holding Co. | ||||||||
4.75%, 11/15/2021 | 4,000,000 | 4,292,296 | ||||||
3.00%, 07/15/2023 | 178,000 | 172,112 | ||||||
3.50%, 06/15/2024 | 897,000 | 885,371 | ||||||
4.50%, 02/25/2026 | 755,000 | 776,216 | ||||||
4.80%, 07/15/2046 | 218,000 | 208,321 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
4.38%, 05/10/2043 | 526,000 | 497,009 | ||||||
Forest Laboratories LLC | ||||||||
4.38%, 02/01/2019 (Acquired 08/13/2014, Cost $5,295,586) (1) | 5,100,000 | 5,297,732 | ||||||
5.00%, 12/15/2021 (Acquired 08/04/2014 through 01/12/2015, Cost $5,045,059) (1) | 4,738,000 | 5,118,045 | ||||||
Gilead Sciences, Inc. | ||||||||
2.50%, 09/01/2023 | 978,000 | 942,007 | ||||||
3.70%, 04/01/2024 | 4,294,000 | 4,402,535 | ||||||
3.65%, 03/01/2026 | 374,000 | 378,689 | ||||||
2.95%, 03/01/2027 | 8,504,000 | 8,125,955 | ||||||
4.60%, 09/01/2035 | 4,558,000 | 4,720,269 | ||||||
4.00%, 09/01/2036 | 313,000 | 299,628 | ||||||
5.65%, 12/01/2041 | 2,325,000 | 2,682,645 | ||||||
4.15%, 03/01/2047 | 600,000 | 568,698 | ||||||
GlaxoSmithKline Capital Plc | ||||||||
2.85%, 05/08/2022 | 320,000 | 322,230 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
6.38%, 05/15/2038 | 217,000 | 284,953 | ||||||
Grupo Bimbo SAB de CV | ||||||||
3.88%, 06/27/2024 (Acquired 06/27/2014, Cost $3,003,879) (1) | 3,000,000 | 2,981,067 | ||||||
Heineken NV | ||||||||
1.40%, 10/01/2017 (Acquired 10/28/2013, Cost $298,320) (1) | 299,000 | 299,105 | ||||||
Humana, Inc. | ||||||||
7.20%, 06/15/2018 | 215,000 | 231,075 | ||||||
JM Smucker Co./The | ||||||||
3.00%, 03/15/2022 | 4,750,000 | 4,790,978 | ||||||
Johnson & Johnson | ||||||||
4.38%, 12/05/2033 | 1,070,000 | 1,171,546 | ||||||
3.55%, 03/01/2036 | 300,000 | 299,672 | ||||||
4.50%, 12/05/2043 | 2,780,000 | 3,083,518 | ||||||
Kellogg Co. | ||||||||
1.75%, 05/17/2017 | 262,000 | 262,608 | ||||||
3.25%, 05/21/2018 | 234,000 | 238,912 |
Principal Amount | Value | |||||||
Kimberly-Clark Co. | ||||||||
7.50%, 11/01/2018 | 52,000 | 57,541 | ||||||
2.40%, 03/01/2022 | 140,000 | 138,780 | ||||||
Kraft Foods Group, Inc. | ||||||||
6.13%, 08/23/2018 | 531,000 | 565,937 | ||||||
5.38%, 02/10/2020 | 138,000 | 149,377 | ||||||
3.50%, 06/06/2022 | 768,000 | 780,574 | ||||||
6.88%, 01/26/2039 | 1,645,000 | 2,063,506 | ||||||
6.50%, 02/09/2040 | 310,000 | 377,110 | ||||||
5.00%, 06/04/2042 | 505,000 | 516,162 | ||||||
Kraft Heinz Foods Co. | ||||||||
2.00%, 07/02/2018 | 2,771,000 | 2,771,177 | ||||||
2.80%, 07/02/2020 | 3,775,000 | 3,808,235 | ||||||
3.95%, 07/15/2025 | 1,478,000 | 1,495,347 | ||||||
3.00%, 06/01/2026 | 3,625,000 | 3,398,275 | ||||||
5.00%, 07/15/2035 | 2,085,000 | 2,184,125 | ||||||
5.20%, 07/15/2045 | 2,314,000 | 2,417,827 | ||||||
4.38%, 06/01/2046 | 6,850,000 | 6,432,890 | ||||||
Kroger Co./The | ||||||||
6.15%, 01/15/2020 | 206,000 | 227,911 | ||||||
4.00%, 02/01/2024 | 63,000 | 65,670 | ||||||
7.50%, 04/01/2031 | 1,417,000 | 1,904,682 | ||||||
6.90%, 04/15/2038 | 1,434,000 | 1,830,789 | ||||||
5.40%, 07/15/2040 | 95,000 | 105,270 | ||||||
Laboratory Co. of America Holdings | ||||||||
4.63%, 11/15/2020 | 6,630,000 | 7,102,401 | ||||||
3.20%, 02/01/2022 | 1,127,000 | 1,135,230 | ||||||
Massachusetts Institute of Technology | ||||||||
4.68%, 07/01/2114 | 1,645,000 | 1,651,559 | ||||||
Mead Johnson Nutrition Co. | ||||||||
4.13%, 11/15/2025 | 891,000 | 909,750 | ||||||
Medtronic, Inc. | ||||||||
3.13%, 03/15/2022 | 419,000 | 427,676 | ||||||
3.15%, 03/15/2022 | 396,000 | 405,133 | ||||||
3.50%, 03/15/2025 | 13,000,000 | 13,368,927 | ||||||
4.38%, 03/15/2035 | 924,000 | 975,991 | ||||||
4.63%, 03/15/2045 | 1,894,000 | 2,044,103 |
Principal Amount | Value | |||||||
Merck & Co., Inc. | ||||||||
2.40%, 09/15/2022 | 211,000 | 206,608 | ||||||
2.80%, 05/18/2023 | 526,000 | 527,448 | ||||||
4.15%, 05/18/2043 | 4,000,000 | 4,100,504 | ||||||
3.70%, 02/10/2045 | 70,000 | 66,607 | ||||||
Molson Coors Brewing Co. | ||||||||
3.00%, 07/15/2026 | 581,000 | 548,408 | ||||||
Mondelez International Holdings Netherlands BV | ||||||||
1.63%, 10/28/2019 (Acquired 10/19/2016, Cost $4,621,580) (1) | 4,631,000 | 4,537,523 | ||||||
2.00%, 10/28/2021 (Acquired 10/19/2016 through 10/27/2016, Cost $6,467,617) (1) | 6,495,000 | 6,216,423 | ||||||
Mylan NV | ||||||||
3.00%, 12/15/2018 (Acquired 11/17/2016, Cost $3,148,914) (1) | 3,115,000 | 3,136,880 | ||||||
2.50%, 06/07/2019 (Acquired 05/31/2016, Cost $4,890,514) (1) | 4,895,000 | 4,867,260 | ||||||
3.15%, 06/15/2021 (Acquired 05/31/2016, Cost $4,410,431) (1) | 4,415,000 | 4,329,018 | ||||||
3.95%, 06/15/2026 (Acquired 05/31/2016, Cost $1,917,131) (1) | 1,992,000 | 1,861,580 | ||||||
5.25%, 06/15/2046 (Acquired 05/31/2016, Cost $365,946) (1) | 366,000 | 336,960 | ||||||
Mylan, Inc. | ||||||||
2.55%, 03/28/2019 | 600,000 | 598,482 | ||||||
3.13%, 01/15/2023 (Acquired 06/01/2016 through 08/24/2016, Cost $499,164) (1) | 504,000 | 475,415 | ||||||
5.40%, 11/29/2043 | 100,000 | 93,486 | ||||||
New York and Presbyterian Hospital/The | ||||||||
4.02%, 08/01/2045 | 125,000 | 121,070 | ||||||
4.76%, 08/01/2116 | 1,785,000 | 1,683,546 | ||||||
Novartis Capital Co. | ||||||||
2.40%, 09/21/2022 | 6,440,000 | 6,353,929 | ||||||
3.40%, 05/06/2024 | 922,000 | 949,000 | ||||||
PepsiCo., Inc. | ||||||||
3.00%, 08/25/2021 | 258,000 | 265,266 | ||||||
3.10%, 07/17/2022 | 593,000 | 608,559 | ||||||
4.88%, 11/01/2040 | 82,000 | 90,676 | ||||||
4.60%, 07/17/2045 | 196,000 | 213,184 | ||||||
3.45%, 10/06/2046 | 700,000 | 636,276 | ||||||
Perrigo Co. Plc | ||||||||
2.30%, 11/08/2018 | 4,223,000 | 4,216,560 | ||||||
Pfizer, Inc. | ||||||||
3.00%, 06/15/2023 | 449,000 | 456,409 | ||||||
5.80%, 08/12/2023 | 4,000,000 | 4,711,344 |
Principal Amount | Value | |||||||
3.00%, 12/15/2026 | 1,125,000 | 1,109,435 | ||||||
4.13%, 12/15/2046 | 9,192,000 | 9,330,707 | ||||||
President and Fellows of Harvard College | ||||||||
3.30%, 07/15/2056 | 5,599,000 | 4,911,286 | ||||||
Procter & Gamble—Esop | ||||||||
9.36%, 01/01/2021 | 137,511 | 158,979 | ||||||
Providence St Joseph Health Obligated Group | ||||||||
2.75%, 10/01/2026 | 1,200,000 | 1,134,232 | ||||||
Quest Diagnostics, Inc. | ||||||||
3.50%, 03/30/2025 | 4,820,000 | 4,756,492 | ||||||
3.45%, 06/01/2026 | 223,000 | 219,634 | ||||||
Reynolds American, Inc. | ||||||||
2.30%, 06/12/2018 | 8,841,000 | 8,895,664 | ||||||
4.00%, 06/12/2022 | 4,590,000 | 4,795,774 | ||||||
Roche Holdings, Inc. | ||||||||
3.35%, 09/30/2024 (Acquired 11/13/2014, Cost $789,481) (1) | 780,000 | 797,468 | ||||||
RR Donnelley & Sons Co. | ||||||||
7.63%, 06/15/2020 | 107,000 | 111,280 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.88%, 09/23/2023 | 4,140,000 | 3,930,297 | ||||||
Stryker Co. | ||||||||
3.50%, 03/15/2026 | 213,000 | 214,711 | ||||||
Sysco Co. | ||||||||
3.75%, 10/01/2025 | 277,000 | 279,971 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
2.80%, 07/21/2023 | 735,000 | 694,956 | ||||||
3.15%, 10/01/2026 | 1,385,000 | 1,274,951 | ||||||
4.10%, 10/01/2046 | 585,000 | 500,268 | ||||||
Texas Health Resources | ||||||||
4.33%, 11/15/2055 | 1,000,000 | 997,501 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.00%, 04/15/2023 | 227,000 | 222,868 | ||||||
2.95%, 09/19/2026 | 476,000 | 448,257 | ||||||
Tyson Foods, Inc. | ||||||||
4.50%, 06/15/2022 | 2,485,000 | 2,641,729 | ||||||
3.95%, 08/15/2024 | 1,451,000 | 1,476,555 | ||||||
4.88%, 08/15/2034 | 400,000 | 407,030 |
Principal Amount | Value | |||||||
UnitedHealth Group, Inc. | ||||||||
1.70%, 02/15/2019 | 291,000 | 290,060 | ||||||
3.38%, 11/15/2021 | 685,000 | 710,194 | ||||||
3.35%, 07/15/2022 | 334,000 | 343,752 | ||||||
2.75%, 02/15/2023 | 186,000 | 184,767 | ||||||
2.88%, 03/15/2023 | 310,000 | 310,744 | ||||||
3.10%, 03/15/2026 | 550,000 | 541,680 | ||||||
4.63%, 07/15/2035 | 427,000 | 464,715 | ||||||
6.63%, 11/15/2037 | 562,000 | 733,992 | ||||||
4.38%, 03/15/2042 | 5,170,000 | 5,230,954 | ||||||
Wesleyan University | ||||||||
4.78%, 07/01/2116 | 2,334,000 | 2,208,795 | ||||||
Wm Wrigley Jr Co. | ||||||||
2.90%, 10/21/2019 (Acquired 12/10/2013, Cost $4,973,026) (1) | 4,960,000 | 5,044,270 | ||||||
Wyeth LLC | ||||||||
6.45%, 02/01/2024 | 82,000 | 99,740 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
2.70%, 04/01/2020 | 3,790,000 | 3,788,105 | ||||||
3.55%, 04/01/2025 | 6,000,000 | 5,836,392 | ||||||
Zoetis, Inc. | ||||||||
3.45%, 11/13/2020 | 150,000 | 153,838 | ||||||
3.25%, 02/01/2023 | 1,000,000 | 996,766 | ||||||
4.50%, 11/13/2025 | 336,000 | 355,745 | ||||||
4.70%, 02/01/2043 | 300,000 | 291,477 | ||||||
|
| |||||||
462,416,753 | ||||||||
|
| |||||||
Diversified – 0.08% | ||||||||
Hutchison Whampoa International 09 Ltd. | ||||||||
7.63%, 04/09/2019 (Acquired 10/28/2013, Cost $670,444) (1) | 612,000 | 684,747 | ||||||
Hutchison Whampoa International 09/19 Ltd. | ||||||||
5.75%, 09/11/2019 (Acquired 12/03/2013, Cost $6,603,687) (1) | 6,175,000 | 6,751,547 | ||||||
Hutchison Whampoa International 12 II Ltd. | ||||||||
3.25%, 11/08/2022 (Acquired 10/28/2013, Cost $428,498) (1) | 450,000 | 453,628 | ||||||
|
| |||||||
7,889,922 | ||||||||
|
| |||||||
Energy – 3.43% | ||||||||
Alberta Energy Co. Ltd | ||||||||
7.38%, 11/01/2031 | 274,000 | 315,226 |
Principal Amount | Value | |||||||
Anadarko Finance Co. | ||||||||
7.50%, 05/01/2031 | 206,000 | 261,822 | ||||||
Anadarko Holding Co. | ||||||||
7.15%, 05/15/2028 | 170,000 | 205,705 | ||||||
Anadarko Petroleum Corp. | ||||||||
8.70%, 03/15/2019 | 664,000 | 754,341 | ||||||
6.95%, 06/15/2019 | 3,975,000 | 4,408,271 | ||||||
6.45%, 09/15/2036 | 2,685,000 | 3,190,902 | ||||||
0.00%, 10/10/2036 | 4,000,000 | 1,617,248 | ||||||
4.50%, 07/15/2044 | 1,577,000 | 1,478,862 | ||||||
6.60%, 03/15/2046 | 1,500,000 | 1,846,758 | ||||||
ANR Pipeline Co. | ||||||||
9.63%, 11/01/2021 | 337,000 | 435,967 | ||||||
Apache Co. | ||||||||
6.90%, 09/15/2018 | 258,000 | 279,286 | ||||||
3.25%, 04/15/2022 | 99,000 | 100,456 | ||||||
5.10%, 09/01/2040 | 600,000 | 626,627 | ||||||
4.75%, 04/15/2043 | 416,000 | 427,697 | ||||||
Boardwalk Pipelines LP | ||||||||
4.95%, 12/15/2024 | 1,057,000 | 1,084,034 | ||||||
5.95%, 06/01/2026 | 254,000 | 275,546 | ||||||
BP Capital Markets Plc | ||||||||
1.38%, 11/06/2017 | 229,000 | 228,857 | ||||||
2.24%, 05/10/2019 | 400,000 | 402,260 | ||||||
3.25%, 05/06/2022 | 8,019,000 | 8,179,917 | ||||||
2.75%, 05/10/2023 | 262,000 | 256,947 | ||||||
3.81%, 02/10/2024 | 1,615,000 | 1,675,865 | ||||||
3.54%, 11/04/2024 | 700,000 | 709,582 | ||||||
3.51%, 03/17/2025 | 45,000 | 45,371 | ||||||
3.12%, 05/04/2026 | 462,000 | 450,561 | ||||||
3.02%, 01/16/2027 | 402,000 | 387,740 | ||||||
3.72%, 11/28/2028 | 5,030,000 | 5,102,105 | ||||||
Buckeye Partners LP | ||||||||
2.65%, 11/15/2018 | 2,900,000 | 2,918,514 | ||||||
4.88%, 02/01/2021 | 704,000 | 746,908 | ||||||
4.15%, 07/01/2023 | 348,000 | 351,788 | ||||||
4.35%, 10/15/2024 | 390,000 | 397,538 | ||||||
3.95%, 12/01/2026 | 158,000 | 153,913 |
Principal Amount | Value | |||||||
5.85%, 11/15/2043 | 591,000 | 608,310 | ||||||
Burlington Resources Finance Co. | ||||||||
7.40%, 12/01/2031 | 53,000 | 69,000 | ||||||
Burlington Resources, Inc. | ||||||||
8.20%, 03/15/2025 | 206,000 | 267,764 | ||||||
Cameron International Co. | ||||||||
3.60%, 04/30/2022 | 5,900,000 | 5,901,056 | ||||||
Canadian Natural Resources Ltd. | ||||||||
1.75%, 01/15/2018 | 687,000 | 685,265 | ||||||
5.90%, 02/01/2018 | 1,961,000 | 2,041,089 | ||||||
7.20%, 01/15/2032 | 41,000 | 48,367 | ||||||
6.45%, 06/30/2033 | 675,000 | 759,247 | ||||||
5.85%, 02/01/2035 | 200,000 | 212,567 | ||||||
6.50%, 02/15/2037 | 118,000 | 134,825 | ||||||
6.25%, 03/15/2038 | 478,000 | 542,974 | ||||||
6.75%, 02/01/2039 | 206,000 | 240,013 | ||||||
Cenovus Energy, Inc. | ||||||||
3.00%, 08/15/2022 | 1,884,000 | 1,819,419 | ||||||
6.75%, 11/15/2039 | 468,000 | 521,018 | ||||||
4.45%, 09/15/2042 | 310,000 | 267,970 | ||||||
Chevron Co. | ||||||||
2.36%, 12/05/2022 | 315,000 | 308,766 | ||||||
2.57%, 05/16/2023 | 2,000,000 | 1,969,568 | ||||||
CNOOC Finance 2013 Ltd. | ||||||||
3.00%, 05/09/2023 | 2,200,000 | 2,123,440 | ||||||
CNOOC Finance 2015 Australia Pty Ltd. | ||||||||
2.63%, 05/05/2020 | 1,583,000 | 1,575,742 | ||||||
CNOOC Finance 2015 USA LLC | ||||||||
3.50%, 05/05/2025 | 670,000 | 651,202 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
1.63%, 04/30/2017 | 1,000,000 | 999,060 | ||||||
4.25%, 04/30/2024 | 1,165,000 | 1,191,908 | ||||||
Conoco Funding Co. | ||||||||
3.35%, 11/15/2024 | 598,000 | 593,812 | ||||||
7.25%, 10/15/2031 | 54,000 | 69,204 | ||||||
ConocoPhillips Co. | ||||||||
4.20%, 03/15/2021 | 839,000 | 890,483 |
Principal Amount | Value | |||||||
6.50%, 02/01/2039 | 1,911,000 | 2,415,305 | ||||||
ConocoPhillips Holding Co. | ||||||||
6.95%, 04/15/2029 | 400,000 | 502,222 | ||||||
DCP Midstream LLC | ||||||||
9.75%, 03/15/2019 (Acquired 10/28/2013 through 12/09/2013, Cost $5,552,911) (1) | 4,960,000 | 5,555,200 | ||||||
Devon Energy Co. | ||||||||
3.25%, 05/15/2022 | 896,000 | 889,386 | ||||||
7.95%, 04/15/2032 | 1,000,000 | 1,264,713 | ||||||
5.60%, 07/15/2041 | 1,000,000 | 1,028,299 | ||||||
4.75%, 05/15/2042 | 323,000 | 304,594 | ||||||
Devon Financing Co LLC | ||||||||
7.88%, 09/30/2031 | 4,450,000 | 5,636,664 | ||||||
Diamond Offshore Drilling, Inc. | ||||||||
5.70%, 10/15/2039 | 500,000 | 392,500 | ||||||
4.88%, 11/01/2043 | 767,000 | 544,823 | ||||||
Ecopetrol SA | ||||||||
5.88%, 09/18/2023 | 395,000 | 418,107 | ||||||
4.13%, 01/16/2025 | 383,000 | 358,680 | ||||||
5.38%, 06/26/2026 | 537,000 | 534,315 | ||||||
Enbridge Energy Partners LP | ||||||||
4.38%, 10/15/2020 | 6,575,000 | 6,859,119 | ||||||
Enbridge, Inc. | ||||||||
5.50%, 12/01/2046 | 500,000 | 536,403 | ||||||
Encana Corp. | ||||||||
6.50%, 05/15/2019 | 1,008,000 | 1,084,845 | ||||||
6.50%, 08/15/2034 | 118,000 | 127,102 | ||||||
6.50%, 02/01/2038 | 2,056,000 | 2,222,043 | ||||||
Energy Transfer Partners LP | ||||||||
9.70%, 03/15/2019 | 107,000 | 122,769 | ||||||
3.60%, 02/01/2023 | 716,000 | 703,497 | ||||||
4.05%, 03/15/2025 | 682,000 | 674,267 | ||||||
6.63%, 10/15/2036 | 2,336,000 | 2,527,662 | ||||||
6.50%, 02/01/2042 | 140,000 | 151,014 | ||||||
Eni SpA | ||||||||
5.70%, 10/01/2040 (Acquired 10/28/2013, Cost $547,066) (1) | 557,000 | 550,890 | ||||||
EnLink Midstream Partners LP | ||||||||
2.70%, 04/01/2019 | 4,008,000 | 4,009,732 |
Principal Amount | Value | |||||||
4.15%, 06/01/2025 | 1,129,000 | 1,094,480 | ||||||
5.05%, 04/01/2045 | 882,000 | 798,162 | ||||||
EnLink Midstream Partners LP Senior Note | ||||||||
5.60%, 04/01/2044 | 2,040,000 | 1,961,417 | ||||||
Enterprise Products Operating LLC | ||||||||
3.35%, 03/15/2023 | 1,017,000 | 1,028,558 | ||||||
3.90%, 02/15/2024 | 3,400,000 | 3,502,837 | ||||||
3.75%, 02/15/2025 | 515,000 | 522,625 | ||||||
3.70%, 02/15/2026 | 304,000 | 304,685 | ||||||
6.65%, 10/15/2034 | 672,000 | 807,323 | ||||||
5.75%, 03/01/2035 | 1,075,000 | 1,172,426 | ||||||
5.95%, 02/01/2041 | 201,000 | 226,532 | ||||||
4.85%, 08/15/2042 | 4,000,000 | 3,992,052 | ||||||
4.85%, 03/15/2044 | 199,000 | 200,539 | ||||||
4.95%, 10/15/2054 | 177,000 | 171,180 | ||||||
EOG Resources, Inc. | ||||||||
6.88%, 10/01/2018 | 186,000 | 201,509 | ||||||
4.10%, 02/01/2021 | 547,000 | 576,002 | ||||||
2.63%, 03/15/2023 | 249,000 | 241,135 | ||||||
5.10%, 01/15/2036 | 784,000 | 851,493 | ||||||
EQT Midstream Partners LP | ||||||||
4.00%, 08/01/2024 | 2,000,000 | 1,970,146 | ||||||
Exxon Mobil Co. | ||||||||
2.73%, 03/01/2023 | 1,338,000 | 1,341,206 | ||||||
4.11%, 03/01/2046 | 716,000 | 731,844 | ||||||
FORTIS, Inc. | ||||||||
2.10%, 10/04/2021 (Acquired 09/29/2016, Cost $2,138,787) (1) | 2,144,000 | 2,070,223 | ||||||
3.06%, 10/04/2026 (Acquired 09/29/2016 through 11/30/2016, Cost $9,480,668) (1) | 9,524,000 | 8,894,092 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
6.51%, 03/07/2022 (Acquired 05/16/2016 through 05/18/2016, Cost $1,235,629) (1) | 1,140,000 | 1,257,557 | ||||||
4.95%, 07/19/2022 (Acquired 06/07/2016, Cost $622,643) (1) | 610,000 | 627,671 | ||||||
Gulf South Pipeline Co. LP | ||||||||
4.00%, 06/15/2022 | 2,000,000 | 2,023,940 | ||||||
Halliburton Co. | ||||||||
6.15%, 09/15/2019 | 77,000 | 84,830 | ||||||
3.50%, 08/01/2023 | 1,032,000 | 1,046,826 | ||||||
4.85%, 11/15/2035 | 200,000 | 210,605 |
Principal Amount | Value | |||||||
6.70%, 09/15/2038 | 350,000 | 435,464 | ||||||
7.45%, 09/15/2039 | 521,000 | 698,743 | ||||||
7.60%, 08/15/2096 (Acquired 10/28/2013, Cost $350,941) (1) | 258,000 | 322,799 | ||||||
Helmerich & Payne International Drilling Co. | ||||||||
4.65%, 03/15/2025 | 4,710,000 | 4,860,833 | ||||||
Husky Energy, Inc. | ||||||||
6.20%, 09/15/2017 | 3,630,000 | 3,750,483 | ||||||
6.15%, 06/15/2019 | 119,000 | 129,603 | ||||||
6.80%, 09/15/2037 | 2,100,000 | 2,491,388 | ||||||
Kerr-McGee Co. | ||||||||
6.95%, 07/01/2024 | 127,000 | 149,670 | ||||||
7.88%, 09/15/2031 | 1,191,000 | 1,522,478 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
9.00%, 02/01/2019 | 454,000 | 511,052 | ||||||
5.00%, 10/01/2021 | 4,875,000 | 5,186,176 | ||||||
7.30%, 08/15/2033 | 1,650,000 | 1,933,911 | ||||||
6.95%, 01/15/2038 | 242,000 | 280,305 | ||||||
6.50%, 09/01/2039 | 107,000 | 117,301 | ||||||
7.50%, 11/15/2040 | 483,000 | 576,683 | ||||||
Kinder Morgan, Inc./DE | ||||||||
3.05%, 12/01/2019 | 2,666,000 | 2,702,975 | ||||||
5.30%, 12/01/2034 | 2,785,000 | 2,822,372 | ||||||
Korea National Oil Co. | ||||||||
3.13%, 04/03/2017 (Acquired 11/26/2014, Cost $200,768) (1) | 200,000 | 200,748 | ||||||
Magellan Midstream Partners LP | ||||||||
6.55%, 07/15/2019 | 206,000 | 227,878 | ||||||
4.25%, 02/01/2021 | 502,000 | 531,781 | ||||||
3.20%, 03/15/2025 | 386,000 | 374,792 | ||||||
5.15%, 10/15/2043 | 941,000 | 976,266 | ||||||
4.25%, 09/15/2046 | 417,000 | 391,006 | ||||||
Marathon Oil Co. | ||||||||
6.00%, 10/01/2017 | 289,000 | 297,619 | ||||||
5.90%, 03/15/2018 | 291,000 | 303,813 | ||||||
2.80%, 11/01/2022 | 700,000 | 668,623 | ||||||
6.60%, 10/01/2037 | 410,000 | 447,410 | ||||||
Marathon Petroleum Co. | ||||||||
3.63%, 09/15/2024 | 1,241,000 | 1,224,124 |
Principal Amount | Value | |||||||
MPLX LP | ||||||||
4.50%, 07/15/2023 | 7,676,000 | 7,788,139 | ||||||
Nabors Industries, Inc. | ||||||||
6.15%, 02/15/2018 | 118,000 | 122,425 | ||||||
5.00%, 09/15/2020 | 595,000 | 611,363 | ||||||
4.63%, 09/15/2021 | 1,195,000 | 1,214,741 | ||||||
National Oilwell Varco, Inc. | ||||||||
1.35%, 12/01/2017 | 162,000 | 161,358 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/2037 | 4,408,000 | 5,224,344 | ||||||
Noble Energy, Inc. | ||||||||
8.25%, 03/01/2019 | 4,994,000 | 5,607,378 | ||||||
5.63%, 05/01/2021 | 355,000 | 370,061 | ||||||
4.15%, 12/15/2021 | 550,000 | 572,831 | ||||||
5.25%, 11/15/2043 | 2,675,000 | 2,719,961 | ||||||
5.05%, 11/15/2044 | 2,386,000 | 2,388,653 | ||||||
Noble Holding International Ltd. | ||||||||
5.25%, 03/16/2018 | 158,000 | 157,605 | ||||||
Occidental Petroleum Corp. | ||||||||
2.70%, 02/15/2023 | 100,000 | 98,930 | ||||||
3.50%, 06/15/2025 | 455,000 | 460,829 | ||||||
3.40%, 04/15/2026 | 246,000 | 247,506 | ||||||
3.00%, 02/15/2027 | 333,000 | 321,695 | ||||||
4.63%, 06/15/2045 | 158,000 | 164,077 | ||||||
Oleoducto Central SA | ||||||||
4.00%, 05/07/2021 (Acquired 04/30/2014, Cost $223,993) (1) | 225,000 | 223,875 | ||||||
ONEOK Partners LP | ||||||||
3.20%, 09/15/2018 | 1,815,000 | 1,854,297 | ||||||
8.63%, 03/01/2019 | 353,000 | 398,048 | ||||||
3.38%, 10/01/2022 | 151,000 | 151,469 | ||||||
5.00%, 09/15/2023 | 334,000 | 363,065 | ||||||
4.90%, 03/15/2025 | 2,500,000 | 2,678,318 | ||||||
6.65%, 10/01/2036 | 1,050,000 | 1,189,437 | ||||||
6.20%, 09/15/2043 | 2,500,000 | 2,774,962 | ||||||
Pemex Finance Ltd. | ||||||||
10.61%, 08/15/2017 | 60,375 | 62,233 |
Principal Amount | Value | |||||||
Petro-Canada | ||||||||
6.05%, 05/15/2018 | 263,000 | 277,899 | ||||||
5.95%, 05/15/2035 | 350,000 | 411,259 | ||||||
6.80%, 05/15/2038 | 423,000 | 547,686 | ||||||
Petrofac Ltd. | ||||||||
3.40%, 10/10/2018 (Acquired 10/28/2013 through 11/14/2013, Cost $5,062,913) (1) | 5,029,000 | 5,089,011 | ||||||
Petroleos Mexicanos | ||||||||
5.75%, 03/01/2018 | 301,000 | 311,309 | ||||||
5.50%, 01/21/2021 | 2,920,000 | 3,003,950 | ||||||
6.38%, 02/04/2021 (Acquired 01/28/2016, Cost $448,000) (1) | 448,000 | 477,120 | ||||||
4.88%, 01/24/2022 | 3,500,000 | 3,510,500 | ||||||
5.38%, 03/13/2022 (Acquired 12/06/2016, Cost $1,123,774) (1) | 1,130,000 | 1,157,097 | ||||||
4.63%, 09/21/2023 (Acquired 09/13/2016, Cost $1,292,000) (1) | 1,292,000 | 1,256,858 | ||||||
4.88%, 01/18/2024 | 363,000 | 351,969 | ||||||
4.25%, 01/15/2025 | 306,000 | 281,336 | ||||||
4.50%, 01/23/2026 | 1,193,000 | 1,086,823 | ||||||
6.88%, 08/04/2026 (Acquired 01/28/2016, Cost $537,066) (1) | 538,000 | 567,590 | ||||||
6.50%, 03/13/2027 (Acquired 12/06/2016, Cost $1,470,564) (1) | 1,484,000 | 1,530,746 | ||||||
6.63%, 06/15/2035 | 647,000 | 637,295 | ||||||
6.50%, 06/02/2041 | 2,870,000 | 2,687,899 | ||||||
6.38%, 01/23/2045 | 1,002,000 | 911,820 | ||||||
5.63%, 01/23/2046 | 2,391,000 | 1,984,530 | ||||||
6.75%, 09/21/2047 (Acquired 09/13/2016, Cost $1,194,000) (1) | 1,194,000 | 1,128,091 | ||||||
Phillips 66 | ||||||||
2.95%, 05/01/2017 | 241,000 | 242,339 | ||||||
4.30%, 04/01/2022 | 5,736,000 | 6,152,646 | ||||||
5.88%, 05/01/2042 | 3,000,000 | 3,545,949 | ||||||
Phillips 66 Partners LP | ||||||||
2.65%, 02/15/2020 | 3,650,000 | 3,636,458 | ||||||
3.55%, 10/01/2026 | 190,000 | 183,604 | ||||||
4.90%, 10/01/2046 | 412,000 | 394,889 | ||||||
Plains All American Pipeline LP / PAA Finance Co. | ||||||||
2.60%, 12/15/2019 | 382,000 | 382,213 | ||||||
3.60%, 11/01/2024 | 1,050,000 | 1,004,146 | ||||||
4.65%, 10/15/2025 | 1,950,000 | 2,012,030 | ||||||
6.65%, 01/15/2037 | 3,064,000 | 3,339,555 | ||||||
4.90%, 02/15/2045 | 875,000 | 806,871 |
Principal Amount | Value | |||||||
QEP Resources, Inc. | ||||||||
6.80%, 03/01/2020 | 107,000 | 111,280 | ||||||
Regency Energy Partners LP / Regency Energy Finance Corp. | ||||||||
5.88%, 03/01/2022 | 5,000,000 | 5,495,250 | ||||||
Reliance Holding USA, Inc. | ||||||||
5.40%, 02/14/2022 (Acquired 11/20/2013, Cost $1,770,718) (1) | 1,750,000 | 1,890,117 | ||||||
Rockies Express Pipeline LLC | ||||||||
5.63%, 04/15/2020 (Acquired 10/28/2013, Cost $195,179) (1) | 215,000 | 226,287 | ||||||
Schlumberger Holdings Co. | ||||||||
3.63%, 12/21/2022 (Acquired 12/10/2015, Cost $5,592,438) (1) | 5,599,000 | 5,796,852 | ||||||
Schlumberger Investment SA | ||||||||
3.30%, 09/14/2021 (Acquired 10/28/2013, Cost $338,974) (1) | 337,000 | 347,735 | ||||||
3.65%, 12/01/2023 | 3,754,000 | 3,927,994 | ||||||
Shell International Finance BV | ||||||||
4.30%, 09/22/2019 | 310,000 | 328,709 | ||||||
4.38%, 03/25/2020 | 885,000 | 944,798 | ||||||
2.13%, 05/11/2020 | 699,000 | 698,165 | ||||||
2.88%, 05/10/2026 | 2,296,000 | 2,216,469 | ||||||
4.13%, 05/11/2035 | 625,000 | 637,145 | ||||||
6.38%, 12/15/2038 | 619,000 | 796,964 | ||||||
4.00%, 05/10/2046 | 2,467,000 | 2,354,152 | ||||||
3.75%, 09/12/2046 | 726,000 | 666,596 | ||||||
Sinopec Group Overseas Development 2012 Ltd. | ||||||||
3.90%, 05/17/2022 (Acquired 06/22/2015, Cost $612,347) (1) | 600,000 | 617,048 | ||||||
Sinopec Group Overseas Development 2013 Ltd. | ||||||||
4.38%, 10/17/2023 (Acquired 10/28/2013, Cost $475,871) (1) | 475,000 | 496,970 | ||||||
Sinopec Group Overseas Development 2014 Ltd. | ||||||||
1.75%, 04/10/2017 (Acquired 04/02/2014 through 06/22/2015, Cost $4,398,963) (1) | 4,400,000 | 4,398,557 | ||||||
Sinopec Group Overseas Development 2015 Ltd. | ||||||||
2.50%, 04/28/2020 (Acquired 04/21/2015, Cost $8,974,113) (1) | 9,000,000 | 8,934,300 | ||||||
Sinopec Group Overseas Development 2016 Ltd. | ||||||||
3.50%, 05/03/2026 (Acquired 04/25/2016, Cost $1,984,253) (1) | 2,000,000 | 1,937,474 | ||||||
Southern Natural Gas Co. LLC | ||||||||
5.90%, 04/01/2017 (Acquired 10/28/2013, Cost $151,511) (1) | 150,000 | 151,560 | ||||||
Spectra Energy Capital LLC | ||||||||
8.00%, 10/01/2019 | 515,000 | 585,498 | ||||||
5.65%, 03/01/2020 | 253,000 | 270,990 | ||||||
3.30%, 03/15/2023 | 467,000 | 451,002 |
Principal Amount | Value | |||||||
7.50%, 09/15/2038 | 1,457,000 | 1,761,405 | ||||||
Spectra Energy Partners LP | ||||||||
2.95%, 09/25/2018 | 306,000 | 310,775 | ||||||
3.50%, 03/15/2025 | 787,000 | 767,701 | ||||||
5.95%, 09/25/2043 | 207,000 | 233,869 | ||||||
4.50%, 03/15/2045 | 3,000,000 | 2,847,051 | ||||||
Statoil ASA | ||||||||
1.20%, 01/17/2018 | 221,000 | 220,355 | ||||||
1.15%, 05/15/2018 | 304,000 | 302,087 | ||||||
5.25%, 04/15/2019 | 382,000 | 409,999 | ||||||
3.15%, 01/23/2022 | 237,000 | 241,594 | ||||||
2.45%, 01/17/2023 | 280,000 | 273,039 | ||||||
2.65%, 01/15/2024 | 663,000 | 650,034 | ||||||
3.25%, 11/10/2024 | 508,000 | 514,247 | ||||||
4.25%, 11/23/2041 | 193,000 | 192,265 | ||||||
Suncor Energy, Inc. | ||||||||
6.10%, 06/01/2018 | 2,343,000 | 2,480,246 | ||||||
3.60%, 12/01/2024 | 677,000 | 692,901 | ||||||
5.95%, 12/01/2034 | 248,000 | 292,393 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
5.50%, 02/15/2020 | 410,000 | 442,352 | ||||||
4.25%, 04/01/2024 | 833,000 | 838,518 | ||||||
5.95%, 12/01/2025 | 200,000 | 222,541 | ||||||
4.95%, 01/15/2043 | 1,482,000 | 1,353,694 | ||||||
5.30%, 04/01/2044 | 200,000 | 192,761 | ||||||
5.35%, 05/15/2045 | 633,000 | 610,181 | ||||||
TC PipeLines LP | ||||||||
4.38%, 03/13/2025 | 3,500,000 | 3,523,996 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 10/28/2013, Cost $675,274) (1) | 714,000 | 694,191 | ||||||
Tosco Co. | ||||||||
7.80%, 01/01/2027 | 392,000 | 500,570 | ||||||
8.13%, 02/15/2030 | 361,000 | 493,819 | ||||||
Total Capital Canada Ltd. | ||||||||
2.75%, 07/15/2023 | 350,000 | 345,975 | ||||||
Total Capital International SA | ||||||||
1.50%, 02/17/2017 | 218,000 | 218,071 |
Principal Amount | Value | |||||||
1.55%, 06/28/2017 | 581,000 | 581,936 | ||||||
2.75%, 06/19/2021 | 900,000 | 909,814 | ||||||
2.70%, 01/25/2023 | 144,000 | 142,362 | ||||||
3.75%, 04/10/2024 | 229,000 | 239,487 | ||||||
TransCanada PipeLines Ltd. | ||||||||
1.63%, 11/09/2017 | 6,063,000 | 6,058,186 | ||||||
1.88%, 01/12/2018 | 205,000 | 205,299 | ||||||
6.50%, 08/15/2018 | 196,000 | 209,715 | ||||||
7.13%, 01/15/2019 | 273,000 | 299,534 | ||||||
4.88%, 01/15/2026 | 5,132,000 | 5,702,242 | ||||||
6.20%, 10/15/2037 | 573,000 | 709,352 | ||||||
7.25%, 08/15/2038 | 217,000 | 292,495 | ||||||
Valero Energy Co. | ||||||||
6.63%, 06/15/2037 | 5,000,000 | 5,843,210 | ||||||
Western Gas Partners LP | ||||||||
4.65%, 07/01/2026 | 414,000 | 428,070 | ||||||
5.45%, 04/01/2044 | 977,000 | 1,004,503 | ||||||
Williams Cos, Inc./The | ||||||||
5.75%, 06/24/2044 | 2,500,000 | 2,425,000 | ||||||
Williams Partners LP | ||||||||
4.30%, 03/04/2024 | 2,500,000 | 2,521,792 | ||||||
6.30%, 04/15/2040 | 3,327,000 | 3,545,707 | ||||||
Williams Partners LP / ACMP Finance Corp. | ||||||||
4.88%, 05/15/2023 | 1,000,000 | 1,017,971 | ||||||
Woodside Finance Ltd. | ||||||||
3.65%, 03/05/2025 (Acquired 02/26/2015, Cost $3,298,367) (1) | 3,300,000 | 3,219,609 | ||||||
|
| |||||||
363,374,939 | ||||||||
|
| |||||||
Financials – 12.62% | ||||||||
ABN AMRO Bank NV | ||||||||
1.80%, 06/04/2018 (Acquired 05/28/2015, Cost $1,593,532) (1) | 1,594,000 | 1,590,095 | ||||||
2.50%, 10/30/2018 (Acquired 10/28/2013 through 11/07/2014, Cost $6,554,108) (1) | 6,542,000 | 6,593,551 | ||||||
2.45%, 06/04/2020 (Acquired 05/28/2015, Cost $1,996,930) (1) | 2,000,000 | 1,988,912 | ||||||
4.75%, 07/28/2025 (Acquired 07/21/2015, Cost $230,452) (1) | 231,000 | 233,716 | ||||||
4.80%, 04/18/2026 (Acquired 04/11/2016, Cost $399,347) (1) | 400,000 | 407,872 | ||||||
ACE INA Holdings, Inc. | ||||||||
2.88%, 11/03/2022 | 312,000 | 314,203 | ||||||
2.70%, 03/13/2023 | 300,000 | 296,545 |
Principal Amount | Value | |||||||
3.15%, 03/15/2025 | 3,409,000 | 3,392,333 | ||||||
3.35%, 05/03/2026 | 2,070,000 | 2,093,745 | ||||||
4.35%, 11/03/2045 | 305,000 | 321,512 | ||||||
AerCap Ireland Capital Ltd / AerCap Global Aviation Trust | ||||||||
4.50%, 05/15/2021 | 1,818,000 | 1,884,084 | ||||||
AIA Group Ltd. | ||||||||
2.25%, 03/11/2019 (Acquired 04/15/2016, Cost $1,278,946) (1) | 1,270,000 | 1,273,724 | ||||||
3.20%, 03/11/2025 (Acquired 03/04/2015 through 09/29/2015, Cost $9,294,083) (1) | 9,545,000 | 9,200,502 | ||||||
AIG Global Funding | ||||||||
1.65%, 12/15/2017 (Acquired 12/08/2014, Cost $452,862) (1) | 453,000 | 453,415 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.90%, 03/15/2032 (Acquired 10/28/2013, Cost $1,165,192) (1) | 955,000 | 1,216,835 | ||||||
Air Lease Corp. | ||||||||
2.13%, 01/15/2020 | 1,263,000 | 1,243,507 | ||||||
3.88%, 04/01/2021 | 400,000 | 410,964 | ||||||
3.00%, 09/15/2023 | 710,000 | 677,544 | ||||||
Allstate Co./The | ||||||||
3.15%, 06/15/2023 | 420,000 | 424,842 | ||||||
Ally Financial, Inc. | ||||||||
2.75%, 01/30/2017 | 5,000,000 | 5,001,000 | ||||||
8.00%, 12/31/2018 | 43,000 | 46,924 | ||||||
3.50%, 01/27/2019 | 1,000,000 | 1,005,000 | ||||||
American Express Centurion Bank | ||||||||
6.00%, 09/13/2017 | 506,000 | 521,625 | ||||||
American Express Credit Corp. | ||||||||
7.00%, 03/19/2018 | 284,000 | 301,766 | ||||||
1.80%, 07/31/2018 | 456,000 | 456,513 | ||||||
1.88%, 11/05/2018 | 831,000 | 832,050 | ||||||
2.13%, 03/18/2019 | 318,000 | 319,145 | ||||||
2.25%, 08/15/2019 | 500,000 | 502,556 | ||||||
2.38%, 05/26/2020 | 644,000 | 643,194 | ||||||
2.60%, 09/14/2020 | 319,000 | 321,430 | ||||||
2.25%, 05/05/2021 | 620,000 | 612,101 | ||||||
American International Group, Inc. | ||||||||
6.40%, 12/15/2020 | 5,100,000 | 5,802,392 | ||||||
4.88%, 06/01/2022 | 3,500,000 | 3,820,807 | ||||||
4.13%, 02/15/2024 | 879,000 | 913,554 |
Principal Amount | Value | |||||||
3.75%, 07/10/2025 | 444,000 | 446,290 | ||||||
3.88%, 01/15/2035 | 376,000 | 352,634 | ||||||
4.50%, 07/16/2044 | 1,302,000 | 1,281,386 | ||||||
4.80%, 07/10/2045 | 1,244,000 | 1,288,681 | ||||||
8.18%, 05/15/2058 | 107,000 | 135,355 | ||||||
American Tower Corp. | ||||||||
2.25%, 01/15/2022 | 600,000 | 574,144 | ||||||
American Tower Trust #1 | ||||||||
1.55%, 03/15/2043 (Acquired 10/28/2013, Cost $388,986) (1) | 396,000 | 395,641 | ||||||
3.07%, 03/15/2048 (Acquired 12/05/2014 through 05/20/2015, Cost $2,881,393) (1) | 2,900,000 | 2,870,647 | ||||||
Ameriprise Financial, Inc. | ||||||||
7.30%, 06/28/2019 | 215,000 | 241,222 | ||||||
4.00%, 10/15/2023 | 650,000 | 680,953 | ||||||
2.88%, 09/15/2026 | 1,015,000 | 966,233 | ||||||
Ameritech Capital Funding Co. | ||||||||
6.45%, 01/15/2018 | 321,000 | 335,520 | ||||||
AmSouth Bancorp | ||||||||
6.75%, 11/01/2025 | 527,000 | 604,159 | ||||||
ANZ New Zealand Int’l Ltd./London | ||||||||
1.75%, 03/29/2018 (Acquired 03/24/2015, Cost $2,436,881) (1) | 2,437,000 | 2,432,648 | ||||||
2.60%, 09/23/2019 (Acquired 09/16/2014, Cost $3,648,643) (1) | 3,650,000 | 3,679,131 | ||||||
2.85%, 08/06/2020 (Acquired 07/30/2015, Cost $249,848) (1) | 250,000 | 251,544 | ||||||
Aon Co. | ||||||||
6.25%, 09/30/2040 | 172,000 | 207,511 | ||||||
Aon PLC | ||||||||
4.00%, 11/27/2023 | 5,000,000 | 5,182,220 | ||||||
3.50%, 06/14/2024 | 815,000 | 816,547 | ||||||
3.88%, 12/15/2025 | 500,000 | 508,959 | ||||||
Arch Capital Finance LLC | ||||||||
5.03%, 12/15/2046 | 437,000 | 457,258 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
4.88%, 01/12/2021 (Acquired 10/28/2013, Cost $315,025) (1) | 296,000 | 320,048 | ||||||
4.40%, 05/19/2026 (Acquired 05/12/2016, Cost $225,897) (1) | 226,000 | 228,552 | ||||||
Australia & New Zealand Banking Group Ltd./New York NY | ||||||||
1.45%, 05/15/2018 | 640,000 | 637,005 | ||||||
AvalonBay Communities, Inc. | ||||||||
2.85%, 03/15/2023 | 600,000 | 589,194 |
Principal Amount | Value | |||||||
2.90%, 10/15/2026 | 220,000 | 207,879 | ||||||
3.90%, 10/15/2046 | 214,000 | 198,244 | ||||||
AXIS Specialty Finance Plc | ||||||||
2.65%, 04/01/2019 | 2,890,000 | 2,909,221 | ||||||
BAC Capital Trust VI | ||||||||
5.63%, 03/08/2035 | 43,000 | 45,377 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
2.63%, 04/28/2021 (Acquired 01/25/2016, Cost $6,518,926) (1) | 6,350,000 | 6,441,059 | ||||||
Bank of America Corp. | ||||||||
6.40%, 08/28/2017 | 2,293,000 | 2,363,239 | ||||||
5.75%, 12/01/2017 | 480,000 | 497,177 | ||||||
2.00%, 01/11/2018 | 2,408,000 | 2,413,370 | ||||||
6.88%, 04/25/2018 | 1,513,000 | 1,607,960 | ||||||
5.65%, 05/01/2018 | 825,000 | 864,282 | ||||||
1.95%, 05/12/2018 | 500,000 | 500,629 | ||||||
6.88%, 11/15/2018 | 1,500,000 | 1,630,683 | ||||||
2.60%, 01/15/2019 | 978,000 | 986,014 | ||||||
2.65%, 04/01/2019 | 710,000 | 717,224 | ||||||
7.63%, 06/01/2019 | 360,000 | 404,377 | ||||||
2.25%, 04/21/2020 | 1,440,000 | 1,430,639 | ||||||
5.63%, 07/01/2020 | 2,625,000 | 2,884,358 | ||||||
2.63%, 10/19/2020 | 2,885,000 | 2,884,432 | ||||||
5.88%, 01/05/2021 | 15,340,000 | 17,066,042 | ||||||
2.63%, 04/19/2021 | 2,500,000 | 2,480,705 | ||||||
5.00%, 05/13/2021 | 1,830,000 | 1,991,263 | ||||||
3.30%, 01/11/2023 | 5,843,000 | 5,856,713 | ||||||
4.10%, 07/24/2023 | 217,000 | 226,441 | ||||||
4.13%, 01/22/2024 | 9,047,000 | 9,391,627 | ||||||
4.00%, 04/01/2024 | 2,390,000 | 2,462,080 | ||||||
4.20%, 08/26/2024 | 5,765,000 | 5,865,864 | ||||||
4.00%, 01/22/2025 | 1,489,000 | 1,489,013 | ||||||
3.95%, 04/21/2025 | 5,201,000 | 5,170,917 | ||||||
3.88%, 08/01/2025 | 621,000 | 630,616 | ||||||
4.45%, 03/03/2026 | 7,140,000 | 7,347,967 | ||||||
4.25%, 10/22/2026 | 544,000 | 549,785 | ||||||
3.25%, 10/21/2027 | 7,604,000 | 7,247,646 | ||||||
4.18%, 11/25/2027 | 3,950,000 | 3,946,481 |
Principal Amount | Value | |||||||
6.11%, 01/29/2037 | 3,580,000 | 4,190,472 | ||||||
7.75%, 05/14/2038 | 137,000 | 188,342 | ||||||
Bank of America NA | ||||||||
5.30%, 03/15/2017 | 5,191,000 | 5,231,194 | ||||||
2.05%, 12/07/2018 | 1,089,000 | 1,094,607 | ||||||
Bank of Montreal | ||||||||
1.40%, 09/11/2017 | 201,000 | 201,010 | ||||||
2.38%, 01/25/2019 | 215,000 | 216,787 | ||||||
1.50%, 07/18/2019 | 522,000 | 514,936 | ||||||
2.55%, 11/06/2022 | 878,000 | 866,293 | ||||||
Bank of New York Mellon Co./The | ||||||||
4.60%, 01/15/2020 | 387,000 | 413,224 | ||||||
2.60%, 08/17/2020 | 663,000 | 668,043 | ||||||
2.45%, 11/27/2020 | 247,000 | 246,895 | ||||||
2.50%, 04/15/2021 | 215,000 | 215,056 | ||||||
3.55%, 09/23/2021 | 355,000 | 369,383 | ||||||
3.65%, 02/04/2024 | 93,000 | 95,594 | ||||||
3.25%, 09/11/2024 | 650,000 | 652,077 | ||||||
3.00%, 02/24/2025 | 5,360,000 | 5,263,970 | ||||||
2.80%, 05/04/2026 | 305,000 | 293,283 | ||||||
Bank of Nova Scotia/The | ||||||||
1.45%, 04/25/2018 | 867,000 | 864,412 | ||||||
1.85%, 04/14/2021 | 1,900,000 | 1,875,889 | ||||||
1.88%, 09/20/2021 (Acquired 09/13/2016, Cost $400,000) (1) | 400,000 | 388,788 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd./The | ||||||||
2.35%, 02/23/2017 (Acquired 10/28/2013, Cost $981,077) (1) | 980,000 | 981,246 | ||||||
2.15%, 09/14/2018 (Acquired 09/08/2015, Cost $349,942) (1) | 350,000 | 350,225 | ||||||
2.30%, 03/10/2019 (Acquired 03/04/2014 through 06/26/2015, Cost $5,520,965) (1) | 5,525,000 | 5,525,083 | ||||||
2.35%, 09/08/2019 (Acquired 09/02/2014, Cost $339,937) (1) | 340,000 | 339,683 | ||||||
4.10%, 09/09/2023 (Acquired 10/28/2013, Cost $244,325) (1) | 239,000 | 251,345 | ||||||
3.75%, 03/10/2024 (Acquired 03/04/2014, Cost $3,209,508) (1) | 3,215,000 | 3,322,722 | ||||||
BanPonce Trust I | ||||||||
8.33%, 02/01/2027 | 234,000 | 221,091 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
1.70%, 01/20/2017 (Acquired 01/14/2014, Cost $1,649,955) (1) | 1,650,000 | 1,650,356 | ||||||
Barclays Bank Plc | ||||||||
2.25%, 05/10/2017 (Acquired 10/28/2013, Cost $276,064) (1) | 275,000 | 275,670 |
Principal Amount | Value | |||||||
6.05%, 12/04/2017 (Acquired 10/28/2013, Cost $393,283) (1) | 382,000 | 394,615 | ||||||
3.20%, 08/10/2021 | 4,658,000 | 4,603,925 | ||||||
3.65%, 03/16/2025 | 2,522,000 | 2,438,325 | ||||||
4.38%, 01/12/2026 | 3,514,000 | 3,559,056 | ||||||
5.25%, 08/17/2045 | 413,000 | 442,195 | ||||||
BB&T Co. | ||||||||
1.60%, 08/15/2017 | 384,000 | 384,425 | ||||||
6.85%, 04/30/2019 | 170,000 | 188,341 | ||||||
5.25%, 11/01/2019 | 284,000 | 306,693 | ||||||
2.63%, 06/29/2020 | 1,100,000 | 1,107,978 | ||||||
Berkshire Hathaway, Inc. | ||||||||
1.30%, 08/15/2019 | 4,564,000 | 4,506,525 | ||||||
3.75%, 08/15/2021 | 605,000 | 640,133 | ||||||
3.40%, 01/31/2022 | 1,798,000 | 1,874,730 | ||||||
3.00%, 02/11/2023 | 268,000 | 270,886 | ||||||
2.75%, 03/15/2023 | 417,000 | 415,005 | ||||||
3.13%, 03/15/2026 | 8,130,000 | 8,065,505 | ||||||
5.75%, 01/15/2040 | 134,000 | 164,580 | ||||||
4.40%, 05/15/2042 | 1,524,000 | 1,601,319 | ||||||
4.30%, 05/15/2043 | 322,000 | 332,014 | ||||||
BlackRock, Inc. | ||||||||
5.00%, 12/10/2019 | 484,000 | 525,391 | ||||||
4.25%, 05/24/2021 | 475,000 | 510,725 | ||||||
3.38%, 06/01/2022 | 493,000 | 510,575 | ||||||
3.50%, 03/18/2024 | 405,000 | 418,965 | ||||||
Blackstone Holdings Finance Co. LLC | ||||||||
5.88%, 03/15/2021 (Acquired 10/28/2013, Cost $1,559,588) (1) | 1,445,000 | 1,618,789 | ||||||
4.45%, 07/15/2045 (Acquired 04/22/2015 through 04/23/2015, Cost $168,882) (1) | 170,000 | 155,032 | ||||||
BNP Paribas SA | ||||||||
2.38%, 05/21/2020 | 1,390,000 | 1,382,177 | ||||||
3.25%, 03/03/2023 | 430,000 | 433,482 | ||||||
4.38%, 09/28/2025 (Acquired 09/21/2015, Cost $1,784,665) (1) | 1,800,000 | 1,787,305 | ||||||
BNZ International Funding Ltd./London | ||||||||
2.35%, 03/04/2019 (Acquired 02/25/2014, Cost $515,914) (1) | 516,000 | 517,648 | ||||||
2.10%, 09/14/2021 (Acquired 09/06/2016, Cost $399,646) (1) | 400,000 | 388,034 | ||||||
Boston Properties LP | ||||||||
3.13%, 09/01/2023 | 300,000 | 293,851 |
Principal Amount | Value | |||||||
3.65%, 02/01/2026 | 557,000 | 549,279 | ||||||
2.75%, 10/01/2026 | 8,136,000 | 7,427,582 | ||||||
BPCE SA | ||||||||
1.73%, 02/10/2017 | 306,000 | 306,257 | ||||||
1.63%, 01/26/2018 | 1,300,000 | 1,296,840 | ||||||
2.50%, 12/10/2018 | 2,500,000 | 2,521,415 | ||||||
2.50%, 07/15/2019 | 1,000,000 | 1,005,215 | ||||||
5.70%, 10/22/2023 (Acquired 10/28/2013 through 09/29/2016, Cost $4,489,827) (1) | 4,345,000 | 4,567,825 | ||||||
4.63%, 07/11/2024 (Acquired 09/15/2016, Cost $610,490) (1) | 600,000 | 592,161 | ||||||
5.15%, 07/21/2024 (Acquired 05/16/2016 through 08/16/2016, Cost $2,382,469) (1) | 2,300,000 | 2,335,544 | ||||||
3.38%, 12/02/2026 | 500,000 | 489,272 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.85%, 02/01/2025 | 700,000 | 688,435 | ||||||
Caisse Centrale Desjardins | ||||||||
1.55%, 01/29/2018 (Acquired 01/26/2015, Cost $7,000,000) (1) | 7,000,000 | 6,992,867 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.60%, 09/06/2019 | 1,500,000 | 1,484,357 | ||||||
Capital One Bank USA NA | ||||||||
2.15%, 11/21/2018 | 5,000,000 | 5,011,755 | ||||||
3.38%, 02/15/2023 | 2,164,000 | 2,141,542 | ||||||
Capital One Financial Corp. | ||||||||
2.45%, 04/24/2019 | 353,000 | 355,099 | ||||||
4.75%, 07/15/2021 | 2,480,000 | 2,679,960 | ||||||
3.50%, 06/15/2023 | 1,200,000 | 1,203,281 | ||||||
3.75%, 04/24/2024 | 2,580,000 | 2,610,591 | ||||||
3.20%, 02/05/2025 | 350,000 | 338,796 | ||||||
4.20%, 10/29/2025 | 1,240,000 | 1,242,472 | ||||||
3.75%, 07/28/2026 | 960,000 | 929,272 | ||||||
Capital One NA/Mclean VA | ||||||||
1.56%, 02/05/2018 | 3,000,000 | 3,005,925 | ||||||
1.65%, 02/05/2018 | 7,202,000 | 7,187,164 | ||||||
2.40%, 09/05/2019 | 500,000 | 500,889 | ||||||
2.95%, 07/23/2021 | 4,120,000 | 4,131,594 | ||||||
2.25%, 09/13/2021 | 4,475,000 | 4,362,181 | ||||||
CDP Financial, Inc. | ||||||||
4.40%, 11/25/2019 (Acquired 10/28/2013, Cost $328,311) (1) | 310,000 | 330,551 | ||||||
Charles Schwab Co./The | ||||||||
3.23%, 09/01/2022 | 165,000 | 168,629 |
Principal Amount | Value | |||||||
Chubb Co./The | ||||||||
5.75%, 05/15/2018 | 117,000 | 123,449 | ||||||
CIT Group, Inc. | ||||||||
6.63%, 04/01/2018 (Acquired 11/22/2013, Cost $1,351,398) (1) | 1,300,000 | 1,369,875 | ||||||
Citigroup, Inc. | ||||||||
1.70%, 04/27/2018 | 1,500,000 | 1,496,481 | ||||||
1.75%, 05/01/2018 | 800,000 | 798,181 | ||||||
2.15%, 07/30/2018 | 658,000 | 660,065 | ||||||
2.05%, 12/07/2018 | 3,600,000 | 3,598,852 | ||||||
2.40%, 02/18/2020 | 2,500,000 | 2,493,332 | ||||||
2.70%, 03/30/2021 | 7,818,000 | 7,793,475 | ||||||
2.35%, 08/02/2021 | 269,000 | 262,893 | ||||||
4.50%, 01/14/2022 | 10,000,000 | 10,651,490 | ||||||
3.75%, 06/16/2024 | 4,000,000 | 4,069,028 | ||||||
4.40%, 06/10/2025 | 10,987,000 | 11,225,868 | ||||||
5.50%, 09/13/2025 | 494,000 | 542,221 | ||||||
3.70%, 01/12/2026 | 10,200,000 | 10,133,404 | ||||||
3.40%, 05/01/2026 | 1,000,000 | 970,261 | ||||||
3.20%, 10/21/2026 | 4,012,000 | 3,830,557 | ||||||
4.30%, 11/20/2026 | 1,570,000 | 1,582,372 | ||||||
6.63%, 01/15/2028 | 387,000 | 463,253 | ||||||
4.13%, 07/25/2028 | 5,020,000 | 4,950,644 | ||||||
8.13%, 07/15/2039 | 164,000 | 243,318 | ||||||
5.88%, 01/30/2042 | 212,000 | 250,735 | ||||||
4.65%, 07/30/2045 | 156,000 | 164,104 | ||||||
4.75%, 05/18/2046 | 1,200,000 | 1,199,038 | ||||||
Citizens Bank NA/Providence RI | ||||||||
2.45%, 12/04/2019 | 8,000,000 | 8,023,008 | ||||||
Citizens Financial Group, Inc. | ||||||||
2.38%, 07/28/2021 | 188,000 | 184,192 | ||||||
4.30%, 12/03/2025 | 343,000 | 347,961 | ||||||
CME Group, Inc. | ||||||||
3.00%, 09/15/2022 | 1,135,000 | 1,159,643 | ||||||
3.00%, 03/15/2025 | 838,000 | 836,472 | ||||||
5.30%, 09/15/2043 | 115,000 | 134,471 |
Principal Amount | Value | |||||||
CNA Financial Co. | ||||||||
7.35%, 11/15/2019 | 700,000 | 793,516 | ||||||
7.25%, 11/15/2023 | 7,470,000 | 8,821,607 | ||||||
3.95%, 05/15/2024 | 303,000 | 306,991 | ||||||
4.50%, 03/01/2026 | 221,000 | 230,799 | ||||||
Comerica Bank | ||||||||
2.50%, 06/02/2020 | 8,000,000 | 7,991,504 | ||||||
Comerica, Inc. | ||||||||
3.80%, 07/22/2026 | 984,000 | 967,475 | ||||||
Commonwealth Bank of Australia | ||||||||
2.25%, 03/16/2017 (Acquired 10/28/2013, Cost $837,676) (1) | 836,000 | 837,720 | ||||||
2.00%, 09/06/2021 (Acquired 08/29/2016, Cost $449,599) (1) | 450,000 | 436,910 | ||||||
4.50%, 12/09/2025 (Acquired 12/02/2015, Cost $776,529) (1) | 778,000 | 795,527 | ||||||
Commonwealth Bank of Australia/New York NY | ||||||||
2.05%, 03/15/2019 | 2,750,000 | 2,745,784 | ||||||
Compass Bank | ||||||||
2.75%, 09/29/2019 | 5,000,000 | 4,970,470 | ||||||
3.88%, 04/10/2025 | 5,840,000 | 5,550,523 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
3.38%, 01/19/2017 | 258,000 | 258,235 | ||||||
3.88%, 02/08/2022 | 5,323,000 | 5,614,541 | ||||||
4.38%, 08/04/2025 | 316,000 | 323,835 | ||||||
5.80%, 09/30/2110 (Acquired 10/28/2013, Cost $375,761) (1) | 361,000 | 407,334 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.63%, 12/01/2023 | 400,000 | 420,382 | ||||||
3.75%, 07/21/2026 | 2,238,000 | 2,190,617 | ||||||
Credit Agricole SA | ||||||||
6.64%, 05/29/2049 (Acquired 10/28/2013, Cost $104,245) (1) | 107,000 | 100,516 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
2.75%, 03/26/2020 | 541,000 | 535,952 | ||||||
3.80%, 09/15/2022 | 4,113,000 | 4,144,962 | ||||||
3.80%, 06/09/2023 | 5,000,000 | 4,989,065 | ||||||
4.55%, 04/17/2026 | 2,193,000 | 2,274,452 | ||||||
4.88%, 05/15/2045 | 250,000 | 256,127 | ||||||
Credit Suisse/New York NY | ||||||||
1.75%, 01/29/2018 | 375,000 | 374,212 | ||||||
2.30%, 05/28/2019 | 413,000 | 413,905 | ||||||
5.30%, 08/13/2019 | 169,000 | 182,277 |
Principal Amount | Value | |||||||
3.00%, 10/29/2021 | 1,265,000 | 1,275,869 | ||||||
3.63%, 09/09/2024 | 560,000 | 563,056 | ||||||
Crown Castle International Corp. | ||||||||
2.25%, 09/01/2021 | 462,000 | 446,542 | ||||||
4.88%, 04/15/2022 | 650,000 | 692,120 | ||||||
Dai-ichi Life Insurance Co. Ltd/The | ||||||||
4.00%, 12/29/2049 (Acquired 07/13/2016, Cost $1,179,000) (1) | 1,179,000 | 1,096,470 | ||||||
Danske Bank A/S | ||||||||
2.00%, 09/08/2021 (Acquired 08/31/2016, Cost $555,872) (1) | 558,000 | 542,048 | ||||||
Deutsche Bank AG | ||||||||
2.95%, 08/20/2020 | 439,000 | 431,845 | ||||||
3.13%, 01/13/2021 | 2,000,000 | 1,964,824 | ||||||
3.38%, 05/12/2021 | 701,000 | 693,317 | ||||||
4.10%, 01/13/2026 | 850,000 | 835,924 | ||||||
Deutsche Bank AG/London | ||||||||
6.00%, 09/01/2017 | 901,000 | 922,276 | ||||||
1.88%, 02/13/2018 | 2,429,000 | 2,414,773 | ||||||
2.50%, 02/13/2019 | 6,000,000 | 5,949,756 | ||||||
3.70%, 05/30/2024 | 2,063,000 | 2,003,782 | ||||||
Dexia Credit Local SA | ||||||||
1.88%, 09/15/2021 (Acquired 09/07/2016, Cost $2,743,855) (1) | 2,750,000 | 2,651,259 | ||||||
Discover Bank/Greenwood DE | ||||||||
3.10%, 06/04/2020 | 8,000,000 | 8,090,432 | ||||||
3.20%, 08/09/2021 | 1,600,000 | 1,607,936 | ||||||
4.20%, 08/08/2023 | 6,711,000 | 6,984,393 | ||||||
Discover Financial Services | ||||||||
3.75%, 03/04/2025 | 2,920,000 | 2,851,149 | ||||||
Duke Realty LP | ||||||||
4.38%, 06/15/2022 | 344,000 | 366,239 | ||||||
3.25%, 06/30/2026 | 203,000 | 196,030 | ||||||
Equity Commonwealth | ||||||||
6.65%, 01/15/2018 | 401,000 | 411,139 | ||||||
5.88%, 09/15/2020 | 1,393,000 | 1,487,685 | ||||||
ERP Operating LP | ||||||||
2.38%, 07/01/2019 | 646,000 | 650,822 | ||||||
4.63%, 12/15/2021 | 260,000 | 282,158 | ||||||
3.00%, 04/15/2023 | 200,000 | 197,040 |
Principal Amount | Value | |||||||
2.85%, 11/01/2026 | 542,000 | 510,224 | ||||||
Fifth Third Bancorp | ||||||||
5.45%, 01/15/2017 | 150,000 | 150,206 | ||||||
2.88%, 07/27/2020 | 3,007,000 | 3,040,077 | ||||||
Fifth Third Bank/Cincinnati OH | ||||||||
2.38%, 04/25/2019 | 1,100,000 | 1,107,844 | ||||||
First Tennessee Bank NA | ||||||||
2.95%, 12/01/2019 | 5,000,000 | 5,010,000 | ||||||
FMR LLC | ||||||||
4.95%, 02/01/2033 (Acquired 10/28/2013, Cost $247,497) (1) | 250,000 | 258,566 | ||||||
6.45%, 11/15/2039 (Acquired 10/28/2013, Cost $297,512) (1) | 258,000 | 314,035 | ||||||
GE Capital International Funding Unlimited Co. | ||||||||
2.34%, 11/15/2020 | 5,186,000 | 5,174,098 | ||||||
3.37%, 11/15/2025 | 2,789,000 | 2,831,284 | ||||||
4.42%, 11/15/2035 | 8,050,000 | 8,422,168 | ||||||
General Electric Capital Co. | ||||||||
2.20%, 01/09/2020 | 161,000 | 161,443 | ||||||
Genworth Holdings, Inc. | ||||||||
4.90%, 08/15/2023 | 161,000 | 132,825 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 127,000 | 150,790 | ||||||
Goldman Sachs Group, Inc./The | ||||||||
5.95%, 01/18/2018 | 1,031,000 | 1,073,960 | ||||||
6.15%, 04/01/2018 | 1,466,000 | 1,541,904 | ||||||
2.63%, 01/31/2019 | 263,000 | 265,733 | ||||||
7.50%, 02/15/2019 | 3,617,000 | 4,008,323 | ||||||
2.55%, 10/23/2019 | 1,000,000 | 1,006,858 | ||||||
5.38%, 03/15/2020 | 2,985,000 | 3,236,639 | ||||||
2.60%, 04/23/2020 | 1,328,000 | 1,328,518 | ||||||
6.00%, 06/15/2020 | 1,514,000 | 1,677,810 | ||||||
2.75%, 09/15/2020 | 396,000 | 397,420 | ||||||
2.88%, 02/25/2021 | 680,000 | 682,588 | ||||||
5.25%, 07/27/2021 | 403,000 | 441,299 | ||||||
2.35%, 11/15/2021 | 2,600,000 | 2,523,596 | ||||||
5.75%, 01/24/2022 | 17,947,000 | 20,157,173 | ||||||
3.63%, 01/22/2023 | 4,815,000 | 4,913,245 | ||||||
3.85%, 07/08/2024 | 1,017,000 | 1,036,950 |
Principal Amount | Value | |||||||
3.50%, 01/23/2025 | 6,509,000 | 6,414,275 | ||||||
3.75%, 05/22/2025 | 288,000 | 288,383 | ||||||
3.75%, 02/25/2026 | 1,505,000 | 1,507,355 | ||||||
3.50%, 11/16/2026 | 700,000 | 685,649 | ||||||
6.75%, 10/01/2037 | 4,938,000 | 6,088,524 | ||||||
5.15%, 05/22/2045 | 128,000 | 134,359 | ||||||
4.75%, 10/21/2045 | 4,533,000 | 4,770,012 | ||||||
Goodman Australia Industrial Fund Bond Issuer Pty Ltd | ||||||||
3.40%, 09/30/2026 (Acquired 09/26/2016, Cost $997,779) (1) | 1,000,000 | 941,910 | ||||||
Great-West Life & Annuity Insurance Capital LP II | ||||||||
3.45%, 05/16/2046 (Acquired 10/28/2013, Cost $303,977) (1) | 301,000 | 257,355 | ||||||
Guardian Life Insurance Co. of America/The | ||||||||
7.38%, 09/30/2039 (Acquired 12/03/2015, Cost $5,283,556) (1) | 4,083,000 | 5,435,102 | ||||||
Hartford Financial Services Group, Inc./The | ||||||||
6.00%, 01/15/2019 | 4,591,000 | 4,938,589 | ||||||
5.13%, 04/15/2022 | 5,500,000 | 6,094,435 | ||||||
8.13%, 06/15/2068 | 236,000 | 252,756 | ||||||
HCP, Inc. | ||||||||
4.25%, 11/15/2023 | 474,000 | 486,236 | ||||||
4.20%, 03/01/2024 | 241,000 | 245,016 | ||||||
3.40%, 02/01/2025 | 662,000 | 632,612 | ||||||
Highmark, Inc. | ||||||||
4.75%, 05/15/2021 (Acquired 10/28/2013 through 07/30/2014, Cost $3,330,285) (1) | 3,322,000 | 3,369,750 | ||||||
HSBC Bank Plc | ||||||||
1.50%, 05/15/2018 (Acquired 10/28/2013, Cost $938,866) (1) | 944,000 | 938,606 | ||||||
4.13%, 08/12/2020 (Acquired 10/28/2013, Cost $638,680) (1) | 615,000 | 645,007 | ||||||
4.75%, 01/19/2021 (Acquired 10/28/2013 through 10/29/2014, Cost $1,467,415) (1) | 1,382,000 | 1,479,901 | ||||||
HSBC Finance Co. | ||||||||
6.68%, 01/15/2021 | 2,500,000 | 2,807,960 | ||||||
7.35%, 11/27/2032 | 32,000 | 39,556 | ||||||
HSBC Holdings Plc | ||||||||
3.40%, 03/08/2021 | 6,978,000 | 7,089,906 | ||||||
2.65%, 01/05/2022 | 500,000 | 488,767 | ||||||
4.00%, 03/30/2022 | 1,494,000 | 1,543,759 | ||||||
3.60%, 05/25/2023 | 2,901,000 | 2,914,643 | ||||||
4.25%, 03/14/2024 | 1,795,000 | 1,821,895 | ||||||
4.25%, 08/18/2025 | 587,000 | 591,595 |
Principal Amount | Value | |||||||
3.90%, 05/25/2026 | 4,629,000 | 4,653,969 | ||||||
4.38%, 11/23/2026 | 2,736,000 | 2,752,304 | ||||||
6.10%, 01/14/2042 | 743,000 | 922,391 | ||||||
HSBC USA, Inc. | ||||||||
1.63%, 01/16/2018 | 769,000 | 767,570 | ||||||
2.35%, 03/05/2020 | 1,256,000 | 1,245,369 | ||||||
2.75%, 08/07/2020 | 247,000 | 247,310 | ||||||
5.00%, 09/27/2020 | 3,000,000 | 3,184,800 | ||||||
9.13%, 05/15/2021 | 75,000 | 92,155 | ||||||
Huntington Bancshares, Inc./OH | ||||||||
3.15%, 03/14/2021 | 225,000 | 227,985 | ||||||
2.30%, 01/14/2022 | 4,220,000 | 4,088,800 | ||||||
Huntington National Bank/The | ||||||||
2.00%, 06/30/2018 | 440,000 | 440,120 | ||||||
2.20%, 11/06/2018 | 3,328,000 | 3,336,792 | ||||||
2.88%, 08/20/2020 | 4,534,000 | 4,571,111 | ||||||
Industrial & Commercial Bank of China Ltd/New York | ||||||||
2.35%, 11/13/2017 | 676,000 | 676,377 | ||||||
2.45%, 10/20/2021 | 1,150,000 | 1,120,688 | ||||||
ING Bank NV | ||||||||
3.75%, 03/07/2017 (Acquired 10/28/2013, Cost $1,373,408) (1) | 1,369,000 | 1,374,789 | ||||||
2.00%, 11/26/2018 (Acquired 11/17/2015 through 12/22/2016, Cost $5,490,990) (1) | 5,495,000 | 5,491,692 | ||||||
1.65%, 08/15/2019 (Acquired 08/08/2016, Cost $799,285) (1) | 800,000 | 788,822 | ||||||
2.50%, 10/01/2019 (Acquired 09/23/2014, Cost $1,146,330) (1) | 1,150,000 | 1,156,862 | ||||||
2.45%, 03/16/2020 (Acquired 03/10/2015, Cost $1,997,551) (1) | 2,000,000 | 1,998,276 | ||||||
5.80%, 09/25/2023 (Acquired 01/14/2014, Cost $5,001,228) (1) | 4,800,000 | 5,268,792 | ||||||
Intercontinental Exchange, Inc. | ||||||||
2.50%, 10/15/2018 | 243,000 | 246,232 | ||||||
4.00%, 10/15/2023 | 578,000 | 606,290 | ||||||
International Lease Finance Corp. | ||||||||
5.88%, 08/15/2022 | 438,000 | 475,230 | ||||||
Invesco Finance Plc | ||||||||
4.00%, 01/30/2024 | 2,889,000 | 3,006,891 | ||||||
3.75%, 01/15/2026 | 4,249,000 | 4,299,878 | ||||||
Jackson National Life Global Funding | ||||||||
4.70%, 06/01/2018 (Acquired 10/28/2013, Cost $316,675) (1) | 310,000 | 322,104 | ||||||
1.88%, 10/15/2018 (Acquired 10/07/2015, Cost $224,930) (1) | 225,000 | 225,422 |
Principal Amount | Value | |||||||
3.05%, 04/29/2026 (Acquired 04/25/2016, Cost $471,134) (1) | 473,000 | 452,473 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 04/13/2018 | 1,534,000 | 1,585,400 | ||||||
6.88%, 04/15/2021 | 1,385,000 | 1,574,357 | ||||||
5.13%, 01/20/2023 | 2,600,000 | 2,718,433 | ||||||
6.45%, 06/08/2027 | 578,000 | 633,013 | ||||||
6.25%, 01/15/2036 | 155,000 | 157,860 | ||||||
John Hancock Life Insurance Co. | ||||||||
7.38%, 02/15/2024 (Acquired 10/28/2013, Cost $852,866) (1) | 731,000 | 862,997 | ||||||
JPMorgan Chase & Co. | ||||||||
2.25%, 01/23/2020 | 8,584,000 | 8,558,420 | ||||||
4.25%, 10/15/2020 | 64,000 | 67,676 | ||||||
2.40%, 06/07/2021 | 3,694,000 | 3,656,805 | ||||||
2.30%, 08/15/2021 | 3,600,000 | 3,530,027 | ||||||
4.35%, 08/15/2021 | 10,000,000 | 10,688,370 | ||||||
3.38%, 05/01/2023 | 3,800,000 | 3,782,490 | ||||||
3.13%, 01/23/2025 | 4,000,000 | 3,905,192 | ||||||
3.30%, 04/01/2026 | 1,870,000 | 1,834,732 | ||||||
3.20%, 06/15/2026 | 3,590,000 | 3,508,547 | ||||||
2.95%, 10/01/2026 | 10,231,000 | 9,750,470 | ||||||
3.63%, 12/01/2027 | 5,376,000 | 5,207,253 | ||||||
5.60%, 07/15/2041 | 494,000 | 589,679 | ||||||
4.95%, 06/01/2045 | 5,575,000 | 5,933,177 | ||||||
Kemper Co. | ||||||||
6.00%, 05/15/2017 | 5,000,000 | 5,073,810 | ||||||
KeyBank NA/Cleveland OH | ||||||||
3.18%, 05/22/2022 | 567,000 | 572,274 | ||||||
KeyCorp. | ||||||||
2.90%, 09/15/2020 | 280,000 | 283,107 | ||||||
5.10%, 03/24/2021 | 211,000 | 230,547 | ||||||
Kimco Realty Corp. | ||||||||
4.25%, 04/01/2045 | 1,289,000 | 1,237,178 | ||||||
Korea Development Bank/The | ||||||||
1.51%, 01/22/2017 | 5,125,000 | 5,124,713 | ||||||
LeasePlan Corp. NV | ||||||||
2.50%, 05/16/2018 (Acquired 10/28/2013 through 10/20/2014, Cost $9,214,079) (1) | 9,206,000 | 9,218,032 | ||||||
2.88%, 01/22/2019 (Acquired 10/14/2015, Cost $724,699) (1) | 725,000 | 724,516 |
Principal Amount | Value | |||||||
Legg Mason, Inc. | ||||||||
3.95%, 07/15/2024 | 820,000 | 821,976 | ||||||
4.75%, 03/15/2026 | 267,000 | 275,987 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.95%, 05/01/2022 (Acquired 10/26/2016, Cost $392,723) (1) | 351,000 | 382,596 | ||||||
4.25%, 06/15/2023 (Acquired 10/28/2013, Cost $319,757) (1) | 322,000 | 336,779 | ||||||
6.50%, 03/15/2035 (Acquired 11/19/2013 through 04/28/2016, Cost $4,994,976) (1) | 4,500,000 | 5,369,207 | ||||||
4.85%, 08/01/2044 (Acquired 12/13/2016, Cost $821,591) (1) | 845,000 | 834,589 | ||||||
10.75%, 06/15/2088 (Acquired 10/28/2013, Cost $400,702) (1) | 269,000 | 403,500 | ||||||
Liberty Mutual Insurance Co. | ||||||||
8.50%, 05/15/2025 (Acquired 07/01/2014, Cost $872,532) (1) | 700,000 | 857,660 | ||||||
7.70%, 10/15/2097 (Acquired 10/28/2013, Cost $106,313) (1) | 100,000 | 122,938 | ||||||
Liberty Property LP | ||||||||
3.25%, 10/01/2026 | 303,000 | 289,715 | ||||||
Lincoln National Co. | ||||||||
8.75%, 07/01/2019 | 1,534,000 | 1,764,276 | ||||||
4.20%, 03/15/2022 | 873,000 | 923,105 | ||||||
7.00%, 06/15/2040 | 1,715,000 | 2,161,852 | ||||||
6.05%, 04/20/2067 | 121,000 | 93,170 | ||||||
Lloyds Bank Plc | ||||||||
1.75%, 05/14/2018 | 3,200,000 | 3,195,267 | ||||||
5.80%, 01/13/2020 (Acquired 10/28/2013, Cost $185,370) (1) | 172,000 | 187,891 | ||||||
2.40%, 03/17/2020 | 5,000,000 | 4,983,630 | ||||||
3.10%, 07/06/2021 | 350,000 | 354,036 | ||||||
Mack-Cali Realty LP | ||||||||
2.50%, 12/15/2017 | 5,050,000 | 5,065,317 | ||||||
Macquarie Bank Ltd. | ||||||||
1.60%, 10/27/2017 (Acquired 10/22/2014 through 03/18/2016, Cost $2,824,450) (1) | 2,829,000 | 2,828,658 | ||||||
2.60%, 06/24/2019 (Acquired 06/16/2014 through 03/16/2016, Cost $1,093,528) (1) | 1,093,000 | 1,100,151 | ||||||
2.40%, 01/21/2020 (Acquired 01/14/2015, Cost $1,597,799) (1) | 1,600,000 | 1,584,579 | ||||||
2.85%, 07/29/2020 (Acquired 07/23/2015, Cost $399,595) (1) | 400,000 | 401,192 | ||||||
4.00%, 07/29/2025 (Acquired 07/23/2015, Cost $499,353) (1) | 500,000 | 512,689 | ||||||
Macquarie Group Ltd. | ||||||||
3.00%, 12/03/2018 (Acquired 11/25/2013, Cost $5,987,936) (1) | 6,000,000 | 6,088,074 | ||||||
6.00%, 01/14/2020 (Acquired 10/28/2013, Cost $500,342) (1) | 475,000 | 514,316 | ||||||
6.25%, 01/14/2021 (Acquired 10/28/2013 through 09/19/2014, Cost $1,183,831) (1) | 1,111,000 | 1,229,105 | ||||||
Manufacturers & Traders Trust Co. | ||||||||
6.63%, 12/04/2017 | 464,000 | 484,366 |
Principal Amount | Value | |||||||
Manulife Financial Co. | ||||||||
4.90%, 09/17/2020 | 225,000 | 241,192 | ||||||
Markel Co. | ||||||||
7.13%, 09/30/2019 | 3,780,000 | 4,232,428 | ||||||
5.00%, 04/05/2046 | 1,265,000 | 1,269,860 | ||||||
Marsh & McLennan Cos, Inc. | ||||||||
2.30%, 04/01/2017 | 269,000 | 268,910 | ||||||
2.35%, 03/06/2020 | 3,769,000 | 3,770,323 | ||||||
4.80%, 07/15/2021 | 5,000,000 | 5,430,415 | ||||||
3.50%, 03/10/2025 | 580,000 | 583,217 | ||||||
Massachusetts Mutual Life Insurance Co. | ||||||||
7.63%, 11/15/2023 (Acquired 10/30/2014, Cost $671,273) (1) | 550,000 | 652,536 | ||||||
8.88%, 06/01/2039 (Acquired 10/28/2013 through 04/26/2016, Cost $8,353,720) (1) | 5,848,000 | 8,765,824 | ||||||
5.38%, 12/01/2041 (Acquired 10/28/2013, Cost $212,648) (1) | 203,000 | 223,461 | ||||||
MassMutual Global Funding II | ||||||||
2.50%, 10/17/2022 (Acquired 10/28/2013, Cost $366,732) (1) | 386,000 | 378,607 | ||||||
MBIA Insurance Co. | ||||||||
12.14%, 01/15/2033 (Acquired 10/28/2013, Cost $63,107) (1) | 86,000 | 39,560 | ||||||
MetLife, Inc. | ||||||||
6.82%, 08/15/2018 | 84,000 | 90,545 | ||||||
7.72%, 02/15/2019 | 118,000 | 131,953 | ||||||
4.37%, 09/15/2023 | 2,535,000 | 2,724,859 | ||||||
6.50%, 12/15/2032 | 56,000 | 70,239 | ||||||
4.88%, 11/13/2043 | 3,000,000 | 3,241,785 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.30%, 04/10/2017 (Acquired 07/29/2015 through 09/29/2015, Cost $12,055,165) (1) | 12,050,000 | 12,056,652 | ||||||
1.50%, 01/10/2018 (Acquired 10/28/2013 through 11/05/2014, Cost $1,388,844) (1) | 1,392,000 | 1,392,075 | ||||||
2.30%, 04/10/2019 (Acquired 03/10/2016 through 11/17/2016, Cost $1,613,399) (1) | 1,598,000 | 1,606,433 | ||||||
3.88%, 04/11/2022 (Acquired 10/28/2013, Cost $1,509,213) (1) | 1,480,000 | 1,562,328 | ||||||
3.00%, 01/10/2023 (Acquired 07/14/2015, Cost $400,030) (1) | 407,000 | 408,363 | ||||||
3.45%, 12/18/2026 (Acquired 12/12/2016, Cost $7,516,045) (1) | 7,511,000 | 7,568,594 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
2.95%, 03/01/2021 | 330,000 | 331,927 | ||||||
2.53%, 09/13/2023 | 481,000 | 462,525 | ||||||
Mizuho Bank Ltd. | ||||||||
1.85%, 03/21/2018 (Acquired 10/28/2013, Cost $374,483) (1) | 376,000 | 375,296 |
Principal Amount | Value | |||||||
1.80%, 03/26/2018 (Acquired 03/19/2015, Cost $604,670) (1) | 605,000 | 604,037 | ||||||
2.65%, 09/25/2019 (Acquired 09/18/2014, Cost $2,996,985) (1) | 3,000,000 | 3,019,152 | ||||||
2.40%, 03/26/2020 (Acquired 03/19/2015, Cost $4,995,842) (1) | 5,000,000 | 4,960,315 | ||||||
3.60%, 09/25/2024 (Acquired 09/18/2014, Cost $1,248,070) (1) | 1,250,000 | 1,275,341 | ||||||
Morgan Stanley | ||||||||
5.95%, 12/28/2017 | 110,000 | 114,484 | ||||||
6.63%, 04/01/2018 | 994,000 | 1,051,044 | ||||||
7.30%, 05/13/2019 | 2,257,000 | 2,513,944 | ||||||
2.38%, 07/23/2019 | 450,000 | 451,084 | ||||||
5.63%, 09/23/2019 | 2,302,000 | 2,494,148 | ||||||
2.65%, 01/27/2020 | 750,000 | 753,061 | ||||||
2.80%, 06/16/2020 | 1,282,000 | 1,291,588 | ||||||
5.50%, 07/24/2020 | 360,000 | 394,001 | ||||||
5.75%, 01/25/2021 | 12,049,000 | 13,358,859 | ||||||
2.50%, 04/21/2021 | 2,000,000 | 1,976,546 | ||||||
5.50%, 07/28/2021 | 2,692,000 | 2,980,510 | ||||||
2.63%, 11/17/2021 | 6,680,000 | 6,593,187 | ||||||
3.75%, 02/25/2023 | 600,000 | 615,671 | ||||||
4.10%, 05/22/2023 | 3,460,000 | 3,548,143 | ||||||
3.88%, 04/29/2024 | 1,350,000 | 1,382,916 | ||||||
3.70%, 10/23/2024 | 1,167,000 | 1,179,448 | ||||||
4.00%, 07/23/2025 | 1,981,000 | 2,027,884 | ||||||
5.00%, 11/24/2025 | 4,959,000 | 5,290,678 | ||||||
3.13%, 07/27/2026 | 3,119,000 | 2,975,386 | ||||||
4.35%, 09/08/2026 | 430,000 | 438,141 | ||||||
3.95%, 04/23/2027 | 6,690,000 | 6,612,363 | ||||||
6.38%, 07/24/2042 | 2,000,000 | 2,565,848 | ||||||
4.30%, 01/27/2045 | 459,000 | 456,507 | ||||||
MUFG Americas Holdings Co. | ||||||||
2.25%, 02/10/2020 | 360,000 | 355,939 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/2017 | 258,000 | 259,344 | ||||||
National Australia Bank Ltd. | ||||||||
2.00%, 06/20/2017 (Acquired 10/28/2013, Cost $2,070,668) (1) | 2,064,000 | 2,070,687 | ||||||
National City Bank/Cleveland OH | ||||||||
5.80%, 06/07/2017 | 413,000 | 420,426 | ||||||
National Retail Properties, Inc. | ||||||||
3.60%, 12/15/2026 | 700,000 | 688,538 |
Principal Amount | Value | |||||||
National Rural Utilities Cooperative Finance Co. | ||||||||
10.38%, 11/01/2018 | 222,000 | 255,968 | ||||||
8.00%, 03/01/2032 | 791,000 | 1,120,209 | ||||||
Nationwide Building Society | ||||||||
2.45%, 07/27/2021 (Acquired 07/20/2016, Cost $252,586) (1) | 253,000 | 249,408 | ||||||
4.00%, 09/14/2026 (Acquired 09/07/2016, Cost $698,990) (1) | 701,000 | 666,922 | ||||||
Nationwide Financial Services, Inc. | ||||||||
5.38%, 03/25/2021 (Acquired 02/05/2015, Cost $2,205,288) (1) | 2,000,000 | 2,182,706 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
8.25%, 12/01/2031 (Acquired 02/13/2014, Cost $376,668) (1) | 300,000 | 417,088 | ||||||
9.38%, 08/15/2039 (Acquired 10/28/2013 through 10/06/2015, Cost $9,519,339) (1) | 6,433,000 | 9,702,508 | ||||||
Navient Co. | ||||||||
5.63%, 08/01/2033 | 54,000 | 44,550 | ||||||
New York Life Global Funding | ||||||||
2.10%, 01/02/2019 (Acquired 12/05/2013, Cost $8,145,213) (1) | 8,150,000 | 8,181,981 | ||||||
2.15%, 06/18/2019 (Acquired 06/11/2014 through 06/10/2015, Cost $1,911,985) (1) | 1,912,000 | 1,921,451 | ||||||
Nippon Life Insurance Co. | ||||||||
5.10%, 10/16/2044 (Acquired 10/09/2014, Cost $2,265,000) (1) | 2,265,000 | 2,335,781 | ||||||
Nomura Holdings, Inc. | ||||||||
6.70%, 03/04/2020 | 5,300,000 | 5,919,867 | ||||||
Nordea Bank AB | ||||||||
3.13%, 03/20/2017 (Acquired 10/28/2013, Cost $585,959) (1) | 584,000 | 586,647 | ||||||
1.63%, 05/15/2018 (Acquired 10/28/2013, Cost $256,704) (1) | 258,000 | 257,342 | ||||||
1.88%, 09/17/2018 (Acquired 09/09/2015, Cost $4,827,257) (1) | 4,835,000 | 4,831,731 | ||||||
1.63%, 09/30/2019 (Acquired 09/22/2016, Cost $548,841) (1) | 550,000 | 542,775 | ||||||
2.50%, 09/17/2020 (Acquired 09/09/2015, Cost $449,193) (1) | 450,000 | 450,009 | ||||||
4.25%, 09/21/2022 (Acquired 12/03/2015, Cost $654,380) (1) | 640,000 | 665,962 | ||||||
Northern Trust Co. | ||||||||
3.95%, 10/30/2025 | 6,915,000 | 7,241,865 | ||||||
Pacific Life Global Funding | ||||||||
5.00%, 05/15/2017 (Acquired 10/28/2013, Cost $415,584) (1) | 413,000 | 418,574 | ||||||
Pacific Life Insurance Co. | ||||||||
9.25%, 06/15/2039 (Acquired 10/28/2013 through 10/12/2016, Cost $1,265,310) (1) | 876,000 | 1,292,105 | ||||||
People’s United Bank NA | ||||||||
4.00%, 07/15/2024 | 1,220,000 | 1,200,353 |
Principal Amount | Value | |||||||
PNC Bank NA | ||||||||
2.95%, 01/30/2023 | 6,500,000 | 6,399,595 | ||||||
4.20%, 11/01/2025 | 322,000 | 339,779 | ||||||
PNC Financial Services Group, Inc./The | ||||||||
5.63%, 02/01/2017 | 127,000 | 127,384 | ||||||
6.70%, 06/10/2019 | 212,000 | 235,116 | ||||||
5.13%, 02/08/2020 | 588,000 | 635,799 | ||||||
4.38%, 08/11/2020 | 679,000 | 722,525 | ||||||
2.85%, 11/09/2022 | 575,000 | 569,052 | ||||||
3.90%, 04/29/2024 | 2,090,000 | 2,140,007 | ||||||
Pricoa Global Funding I | ||||||||
1.90%, 09/21/2018 (Acquired 09/14/2015, Cost $1,514,614) (1) | 1,515,000 | 1,519,022 | ||||||
Principal Financial Group, Inc. | ||||||||
3.13%, 05/15/2023 | 380,000 | 377,510 | ||||||
3.40%, 05/15/2025 | 7,000,000 | 6,946,093 | ||||||
Principal Life Global Funding II | ||||||||
3.00%, 04/18/2026 (Acquired 04/11/2016, Cost $1,995,006) (1) | 2,000,000 | 1,941,282 | ||||||
Private Export Funding Co. | ||||||||
1.88%, 07/15/2018 | 975,000 | 982,387 | ||||||
4.38%, 03/15/2019 | 970,000 | 1,031,328 | ||||||
2.80%, 05/15/2022 | 1,200,000 | 1,223,896 | ||||||
3.55%, 01/15/2024 | 2,489,000 | 2,647,977 | ||||||
3.25%, 06/15/2025 | 2,730,000 | 2,816,221 | ||||||
Progressive Corp./The | ||||||||
2.45%, 01/15/2027 | 880,000 | 817,655 | ||||||
Prologis LP | ||||||||
4.25%, 08/15/2023 | 295,000 | 312,840 | ||||||
3.75%, 11/01/2025 | 177,000 | 181,125 | ||||||
Protective Life Co. | ||||||||
7.38%, 10/15/2019 | 854,000 | 966,824 | ||||||
Protective Life Global Funding | ||||||||
2.70%, 11/25/2020 (Acquired 11/19/2015, Cost $4,996,520) (1) | 5,000,000 | 5,003,355 | ||||||
2.00%, 09/14/2021 (Acquired 09/07/2016, Cost $1,100,000) (1) | 1,100,000 | 1,062,633 | ||||||
Prudential Financial, Inc. | ||||||||
2.35%, 08/15/2019 | 650,000 | 655,976 | ||||||
6.63%, 06/21/2040 | 5,995,000 | 7,602,595 | ||||||
Prudential Insurance Co. of America/The | ||||||||
8.30%, 07/01/2025 (Acquired 10/28/2013 through 08/06/2015, Cost $2,121,299) (1) | 1,691,000 | 2,210,310 |
Principal Amount | Value | |||||||
Realty, Income Corp. | ||||||||
3.00%, 01/15/2027 | 427,000 | 401,393 | ||||||
Regions Bank/Birmingham AL | ||||||||
7.50%, 05/15/2018 | 2,787,000 | 2,985,365 | ||||||
2.25%, 09/14/2018 | 1,400,000 | 1,404,352 | ||||||
Regions Financial Co. | ||||||||
3.20%, 02/08/2021 | 5,643,000 | 5,718,266 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.15%, 10/15/2018 (Acquired 10/13/2015, Cost $3,998,252) (1) | 4,000,000 | 4,019,104 | ||||||
2.50%, 01/15/2020 (Acquired 09/27/2016, Cost $405,546) (1) | 400,000 | 397,327 | ||||||
2.38%, 05/04/2020 (Acquired 04/27/2015, Cost $5,987,575) (1) | 6,000,000 | 5,929,026 | ||||||
3.05%, 01/20/2021 (Acquired 01/12/2016, Cost $527,502) (1) | 528,000 | 531,773 | ||||||
Royal Bank of Canada | ||||||||
2.20%, 07/27/2018 | 155,000 | 156,008 | ||||||
1.20%, 09/19/2018 | 727,000 | 726,024 | ||||||
1.50%, 07/29/2019 | 5,228,000 | 5,159,587 | ||||||
2.00%, 10/01/2019 | 1,231,000 | 1,238,976 | ||||||
1.88%, 02/05/2021 | 1,100,000 | 1,093,676 | ||||||
Santander Bank NA | ||||||||
8.75%, 05/30/2018 | 4,878,000 | 5,249,352 | ||||||
Santander Holdings USA, Inc. | ||||||||
2.70%, 05/24/2019 | 2,000,000 | 1,997,660 | ||||||
Santander Issuances SAU | ||||||||
5.18%, 11/19/2025 | 2,510,000 | 2,530,336 | ||||||
Santander UK Group Holdings Plc | ||||||||
3.13%, 01/08/2021 | 308,000 | 307,281 | ||||||
Santander UK Plc | ||||||||
2.38%, 03/16/2020 | 7,325,000 | 7,279,893 | ||||||
5.00%, 11/07/2023 (Acquired 01/21/2015, Cost $2,116,913) (1) | 2,000,000 | 2,034,648 | ||||||
Scentre Group Trust 1 / Scentre Group Trust 2 | ||||||||
3.50%, 02/12/2025 (Acquired 08/30/2016, Cost $617,385) (1) | 590,000 | 581,837 | ||||||
Simon Property Group LP | ||||||||
2.15%, 09/15/2017 | 946,000 | 950,041 | ||||||
4.38%, 03/01/2021 | 6,932,000 | 7,403,785 | ||||||
4.13%, 12/01/2021 | 442,000 | 470,770 | ||||||
3.75%, 02/01/2024 | 910,000 | 942,047 |
Principal Amount | Value | |||||||
Skandinaviska Enskilda Banken AB | ||||||||
1.75%, 03/19/2018 (Acquired 10/28/2013, Cost $297,995) (1) | 299,000 | 298,474 | ||||||
2.38%, 11/20/2018 (Acquired 11/13/2013 through 11/07/2014, Cost $5,199,015) (1) | 5,200,000 | 5,233,712 | ||||||
2.38%, 03/25/2019 (Acquired 03/18/2014, Cost $1,224,516) (1) | 1,225,000 | 1,228,144 | ||||||
2.45%, 05/27/2020 (Acquired 05/19/2015, Cost $2,996,794) (1) | 3,000,000 | 2,988,048 | ||||||
Societe Generale SA | ||||||||
1.93%, 10/01/2018 | 1,000,000 | 1,008,524 | ||||||
SouthTrust Bank | ||||||||
7.69%, 05/15/2025 | 253,000 | 315,016 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
1.75%, 11/15/2019 (Acquired 10/28/2013, Cost $527,833) (1) | 537,000 | 529,954 | ||||||
Springleaf Finance Co. | ||||||||
6.90%, 12/15/2017 | 100,000 | 104,280 | ||||||
Stadshypotek AB | ||||||||
1.88%, 10/02/2019 (Acquired 10/28/2013, Cost $676,959) (1) | 683,000 | 679,168 | ||||||
Standard Chartered PLC | ||||||||
1.70%, 04/17/2018 (Acquired 04/13/2015, Cost $749,636) (1) | 750,000 | 744,600 | ||||||
2.40%, 09/08/2019 (Acquired 09/03/2014, Cost $7,642,319) (1) | 7,650,000 | 7,603,266 | ||||||
3.05%, 01/15/2021 (Acquired 01/12/2016, Cost $798,676) (1) | 800,000 | 799,039 | ||||||
2.10%, 08/19/2019 (Acquired 10/06/2016, Cost $2,498,412) (1) | 2,500,000 | 2,470,318 | ||||||
5.20%, 01/26/2024 (Acquired 10/28/2013, Cost $626,314) (1) | 609,000 | 628,791 | ||||||
State Street Co. | ||||||||
3.10%, 05/15/2023 | 321,000 | 320,036 | ||||||
3.70%, 11/20/2023 | 1,385,000 | 1,440,960 | ||||||
3.55%, 08/18/2025 | 247,000 | 251,965 | ||||||
Stifel Financial Co. | ||||||||
3.50%, 12/01/2020 | 5,000,000 | 5,009,990 | ||||||
Sumitomo Mitsui Banking Co. | ||||||||
2.45%, 01/10/2019 | 5,000,000 | 5,025,620 | ||||||
2.45%, 01/16/2020 | 2,725,000 | 2,717,610 | ||||||
3.95%, 07/19/2023 | 250,000 | 260,500 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.06%, 07/14/2021 | 568,000 | 548,861 | ||||||
2.44%, 10/19/2021 | 531,000 | 521,879 | ||||||
2.63%, 07/14/2026 | 644,000 | 597,538 | ||||||
3.01%, 10/19/2026 | 297,000 | 283,782 | ||||||
Sumitomo Mitsui Trust Bank Ltd | ||||||||
2.05%, 10/18/2019 (Acquired 10/12/2016, Cost $1,549,205) (1) | 1,550,000 | 1,536,073 |
Principal Amount | Value | |||||||
SunTrust Bank/Atlanta GA | ||||||||
7.25%, 03/15/2018 | 1,608,000 | 1,705,479 | ||||||
SunTrust Banks, Inc. | ||||||||
6.00%, 09/11/2017 | 103,000 | 106,080 | ||||||
2.50%, 05/01/2019 | 8,810,000 | 8,881,687 | ||||||
2.90%, 03/03/2021 | 324,000 | 328,307 | ||||||
2.70%, 01/27/2022 | 9,210,000 | 9,204,640 | ||||||
Svenska Handelsbanken AB | ||||||||
2.50%, 01/25/2019 | 2,000,000 | 2,020,428 | ||||||
2.40%, 10/01/2020 | 2,000,000 | 1,994,244 | ||||||
Swedbank AB | ||||||||
2.38%, 02/27/2019 (Acquired 02/20/2014, Cost $5,994,666) (1) | 6,000,000 | 6,026,376 | ||||||
Synchrony Financial | ||||||||
1.88%, 08/15/2017 | 2,620,000 | 2,622,046 | ||||||
2.60%, 01/15/2019 | 1,350,000 | 1,356,372 | ||||||
3.00%, 08/15/2019 | 4,775,000 | 4,834,788 | ||||||
3.75%, 08/15/2021 | 6,000,000 | 6,161,520 | ||||||
4.25%, 08/15/2024 | 2,000,000 | 2,033,562 | ||||||
3.70%, 08/04/2026 | 1,865,000 | 1,790,169 | ||||||
TD Ameritrade Holding Corp. | ||||||||
5.60%, 12/01/2019 | 355,000 | 389,808 | ||||||
2.95%, 04/01/2022 | 725,000 | 733,290 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/2039 (Acquired 11/22/2013, Cost $3,177,052) (1) | 2,580,000 | 3,342,767 | ||||||
4.90%, 09/15/2044 (Acquired 09/07/2016, Cost $228,716) (1) | 200,000 | 215,933 | ||||||
TIAA Asset Management Finance Co. LLC | ||||||||
2.95%, 11/01/2019 (Acquired 03/10/2015, Cost $3,742,712) (1) | 3,700,000 | 3,762,056 | ||||||
Toronto-Dominion Bank/The | ||||||||
1.50%, 03/13/2017 (Acquired 10/28/2013, Cost $445,388) (1) | 445,000 | 445,348 | ||||||
1.75%, 07/23/2018 | 556,000 | 556,777 | ||||||
2.25%, 11/05/2019 | 432,000 | 434,359 | ||||||
2.50%, 12/14/2020 | 500,000 | 502,671 | ||||||
3.63%, 09/15/2031 | 667,000 | 655,347 | ||||||
Travelers Cos, Inc./The | ||||||||
5.80%, 05/15/2018 | 110,000 | 116,025 | ||||||
UBS AG/Stamford CT | ||||||||
1.38%, 06/01/2017 | 13,088,000 | 13,084,715 |
Principal Amount | Value | |||||||
5.75%, 04/25/2018 | 322,000 | 338,158 | ||||||
1.78%, 06/01/2020 | 8,200,000 | 8,206,158 | ||||||
UBS Group Funding Jersey Ltd. | ||||||||
2.95%, 09/24/2020 (Acquired 09/21/2015, Cost $1,248,378) (1) | 1,250,000 | 1,249,615 | ||||||
2.65%, 02/01/2022 (Acquired 08/03/2016, Cost $359,797) (1) | 360,000 | 349,530 | ||||||
4.13%, 09/24/2025 (Acquired 06/14/2016, Cost $205,538) (1) | 200,000 | 203,582 | ||||||
4.13%, 04/15/2026 (Acquired 03/29/2016, Cost $600,757) (1) | 602,000 | 614,818 | ||||||
UDR, Inc. | ||||||||
4.63%, 01/10/2022 | 2,805,000 | 3,002,009 | ||||||
2.95%, 09/01/2026 | 276,000 | 257,772 | ||||||
Ventas Realty LP | ||||||||
3.75%, 05/01/2024 | 382,000 | 386,213 | ||||||
3.50%, 02/01/2025 | 251,000 | 246,802 | ||||||
4.13%, 01/15/2026 | 449,000 | 458,401 | ||||||
VEREIT Operating Partnership LP | ||||||||
4.60%, 02/06/2024 | 1,550,000 | 1,557,750 | ||||||
Voya Financial, Inc. | ||||||||
5.50%, 07/15/2022 | 8,000,000 | 8,826,784 | ||||||
3.65%, 06/15/2026 | 200,000 | 195,273 | ||||||
Wachovia Co. | ||||||||
5.75%, 06/15/2017 | 315,000 | 320,993 | ||||||
5.75%, 02/01/2018 | 1,865,000 | 1,944,216 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance Plc | ||||||||
3.25%, 10/05/2020 (Acquired 09/28/2015, Cost $5,984,223) (1) | 6,000,000 | 6,099,408 | ||||||
4.75%, 09/17/2044 (Acquired 06/23/2016 through 06/29/2016, Cost $2,422,189) (1) | 2,281,000 | 2,250,430 | ||||||
Wells Fargo & Co. | ||||||||
5.63%, 12/11/2017 | 948,000 | 982,785 | ||||||
2.15%, 01/30/2020 | 1,583,000 | 1,574,525 | ||||||
2.60%, 07/22/2020 | 478,000 | 480,416 | ||||||
4.60%, 04/01/2021 | 1,377,000 | 1,478,419 | ||||||
2.10%, 07/26/2021 | 800,000 | 777,726 | ||||||
3.50%, 03/08/2022 | 1,929,000 | 1,982,649 | ||||||
3.30%, 09/09/2024 | 1,900,000 | 1,878,211 | ||||||
3.00%, 02/19/2025 | 4,075,000 | 3,909,518 | ||||||
3.55%, 09/29/2025 | 700,000 | 697,889 | ||||||
3.00%, 04/22/2026 | 5,000,000 | 4,764,430 | ||||||
3.00%, 10/23/2026 | 3,895,000 | 3,703,269 |
Principal Amount | Value | |||||||
4.30%, 07/22/2027 | 4,128,000 | 4,239,402 | ||||||
5.61%, 01/15/2044 | 317,000 | 358,522 | ||||||
4.65%, 11/04/2044 | 675,000 | 663,086 | ||||||
4.90%, 11/17/2045 | 2,451,000 | 2,512,621 | ||||||
4.75%, 12/07/2046 | 2,656,000 | 2,680,834 | ||||||
Wells Fargo Bank NA | ||||||||
6.00%, 11/15/2017 | 1,568,000 | 1,627,161 | ||||||
Welltower, Inc. | ||||||||
3.75%, 03/15/2023 | 560,000 | 570,706 | ||||||
4.50%, 01/15/2024 | 461,000 | 486,563 | ||||||
4.00%, 06/01/2025 | 872,000 | 890,050 | ||||||
Westpac Banking Corp. | ||||||||
1.60%, 01/12/2018 | 846,000 | 845,246 | ||||||
1.63%, 07/30/2018 | 3,060,000 | 3,076,258 | ||||||
4.88%, 11/19/2019 | 1,105,000 | 1,185,183 | ||||||
2.00%, 03/03/2021 (Acquired 02/24/2015, Cost $1,347,740) (1) | 1,349,000 | 1,338,532 | ||||||
2.00%, 08/19/2021 | 10,451,000 | 10,135,892 | ||||||
Willis North America, Inc. | ||||||||
7.00%, 09/29/2019 | 537,000 | 597,193 | ||||||
WR Berkley Co. | ||||||||
4.75%, 08/01/2044 | 3,445,000 | 3,361,996 | ||||||
XLIT Ltd. | ||||||||
2.30%, 12/15/2018 | 4,375,000 | 4,402,895 | ||||||
5.25%, 12/15/2043 | 2,700,000 | 2,785,112 | ||||||
|
| |||||||
1,338,160,543 | ||||||||
|
| |||||||
Industrials—1.23% | ||||||||
ABB Finance USA, Inc. | ||||||||
1.63%, 05/08/2017 | 173,000 | 173,276 | ||||||
2.88%, 05/08/2022 | 241,000 | 243,184 | ||||||
4.38%, 05/08/2042 | 107,000 | 112,044 | ||||||
Acuity Brands Lighting, Inc. | ||||||||
6.00%, 12/15/2019 | 451,000 | 495,795 | ||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 10/28/2013, Cost $359,981) (1) | 376,000 | 371,107 | ||||||
Arrow Electronics, Inc. | ||||||||
3.50%, 04/01/2022 | 965,000 | 954,421 |
Principal Amount | Value | |||||||
BAE Systems Holdings, Inc. | ||||||||
6.38%, 06/01/2019 (Acquired 10/28/2013, Cost $260,538) (1) | 243,000 | 264,989 | ||||||
3.80%, 10/07/2024 (Acquired 09/30/2014 through 08/28/2015, Cost $772,647) (1) | 770,000 | 788,062 | ||||||
3.85%, 12/15/2025 (Acquired 12/03/2015, Cost $494,623) (1) | 500,000 | 509,254 | ||||||
BAE Systems Plc | ||||||||
5.80%, 10/11/2041 (Acquired 10/28/2013, Cost $578,488) (1) | 550,000 | 626,124 | ||||||
Boeing Co./The | ||||||||
4.88%, 02/15/2020 | 52,000 | 56,498 | ||||||
7.95%, 08/15/2024 | 124,000 | 163,296 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.65%, 05/01/2017 | 378,000 | 383,088 | ||||||
5.75%, 03/15/2018 | 173,000 | 181,828 | ||||||
3.60%, 09/01/2020 | 146,000 | 152,802 | ||||||
3.45%, 09/15/2021 | 215,000 | 224,340 | ||||||
3.05%, 03/15/2022 | 440,000 | 450,318 | ||||||
3.00%, 03/15/2023 | 206,000 | 208,295 | ||||||
6.70%, 08/01/2028 | 62,000 | 78,848 | ||||||
7.29%, 06/01/2036 | 134,000 | 182,698 | ||||||
5.75%, 05/01/2040 | 373,000 | 454,431 | ||||||
5.40%, 06/01/2041 | 542,000 | 638,619 | ||||||
4.40%, 03/15/2042 | 400,000 | 416,256 | ||||||
4.38%, 09/01/2042 | 462,000 | 479,203 | ||||||
5.15%, 09/01/2043 | 389,000 | 445,907 | ||||||
4.15%, 04/01/2045 | 1,825,000 | 1,846,964 | ||||||
Canadian Pacific Railway Co. | ||||||||
4.50%, 01/15/2022 | 1,200,000 | 1,287,978 | ||||||
2.90%, 02/01/2025 | 644,000 | 630,383 | ||||||
7.13%, 10/15/2031 | 155,000 | 209,669 | ||||||
6.13%, 09/15/2115 | 678,000 | 809,820 | ||||||
Caterpillar Financial Services Corp. | ||||||||
7.15%, 02/15/2019 | 62,000 | 68,619 | ||||||
2.75%, 08/20/2021 | 420,000 | 421,852 | ||||||
1.93%, 10/01/2021 (Acquired 10/28/2013, Cost $429,310) (1) | 445,000 | 429,244 | ||||||
2.85%, 06/01/2022 | 446,000 | 446,409 | ||||||
3.75%, 11/24/2023 | 2,825,000 | 2,964,151 | ||||||
3.25%, 12/01/2024 | 714,000 | 720,146 | ||||||
2.40%, 08/09/2026 | 700,000 | 656,739 |
Principal Amount | Value | |||||||
Caterpillar, Inc. | ||||||||
1.50%, 06/26/2017 | 193,000 | 193,246 | ||||||
2.60%, 06/26/2022 | 220,000 | 218,948 | ||||||
CRH America, Inc. | ||||||||
3.88%, 05/18/2025 (Acquired 05/12/2015, Cost $353,624) (1) | 354,000 | 360,001 | ||||||
5.13%, 05/18/2045 (Acquired 05/12/2015, Cost $227,254) (1) | 230,000 | 239,067 | ||||||
CSX Corp. | ||||||||
7.90%, 05/01/2017 | 413,000 | 421,742 | ||||||
4.25%, 06/01/2021 | 205,000 | 218,817 | ||||||
3.40%, 08/01/2024 | 600,000 | 610,453 | ||||||
5.50%, 04/15/2041 | 402,000 | 460,669 | ||||||
4.75%, 05/30/2042 | 175,000 | 181,827 | ||||||
3.80%, 11/01/2046 | 4,058,000 | 3,754,052 | ||||||
3.95%, 05/01/2050 | 246,000 | 220,747 | ||||||
Deere & Co. | ||||||||
2.60%, 06/08/2022 | 619,000 | 615,332 | ||||||
3.90%, 06/09/2042 | 275,000 | 274,824 | ||||||
Eaton Co. | ||||||||
1.50%, 11/02/2017 | 163,000 | 163,126 | ||||||
5.60%, 05/15/2018 | 273,000 | 286,934 | ||||||
7.63%, 04/01/2024 | 206,000 | 246,980 | ||||||
4.00%, 11/02/2032 | 143,000 | 140,772 | ||||||
5.80%, 03/15/2037 | 500,000 | 581,048 | ||||||
Federal Express Co. 1998 Pass Through Trust | ||||||||
6.85%, 07/15/2020 | 1,108,716 | 1,148,297 | ||||||
6.72%, 07/15/2023(8) | 192,131 | 212,304 | ||||||
FedEx Co. | ||||||||
3.90%, 02/01/2035 | 414,000 | 396,906 | ||||||
4.10%, 04/15/2043 | 86,000 | 80,163 | ||||||
General Electric Capital Co. | ||||||||
1.08%, 02/15/2017 | 361,000 | 361,000 | ||||||
5.40%, 02/15/2017 | 155,000 | 155,754 | ||||||
2.30%, 04/27/2017 | 790,000 | 792,999 | ||||||
1.60%, 11/20/2017 | 328,000 | 328,856 | ||||||
6.00%, 08/07/2019 | 157,000 | 173,389 | ||||||
2.10%, 12/11/2019 | 152,000 | 153,035 | ||||||
5.50%, 01/08/2020 | 581,000 | 636,219 | ||||||
5.55%, 05/04/2020 | 191,000 | 210,865 |
Principal Amount | Value | |||||||
4.38%, 09/16/2020 | 426,000 | 457,551 | ||||||
5.30%, 02/11/2021 | 184,000 | 203,904 | ||||||
3.15%, 09/07/2022 | 554,000 | 565,173 | ||||||
3.10%, 01/09/2023 | 516,000 | 522,433 | ||||||
6.75%, 03/15/2032 | 274,000 | 364,262 | ||||||
5.88%, 01/14/2038 | 289,000 | 363,126 | ||||||
General Electric Co. | ||||||||
4.65%, 10/17/2021 | 514,000 | 563,306 | ||||||
2.70%, 10/09/2022 | 175,000 | 174,769 | ||||||
3.38%, 03/11/2024 | 830,000 | 852,108 | ||||||
Harris Corp. | ||||||||
3.83%, 04/27/2025 | 1,820,000 | 1,846,552 | ||||||
4.85%, 04/27/2035 | 200,000 | 209,815 | ||||||
Holcim US Finance Sarl & Cie SCS | ||||||||
6.00%, 12/30/2019 (Acquired 10/28/2013, Cost $159,078) (1) | 148,000 | 162,068 | ||||||
Illinois Tool Works, Inc. | ||||||||
1.95%, 03/01/2019 | 167,000 | 167,984 | ||||||
3.90%, 09/01/2042 | 1,754,000 | 1,749,303 | ||||||
Ingersoll-Rand Co. | ||||||||
6.39%, 11/15/2027 | 80,000 | 94,524 | ||||||
Ingersoll-Rand Global Holding Co. Ltd | ||||||||
4.25%, 06/15/2023 | 329,000 | 347,605 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
2.63%, 05/01/2020 | 360,000 | 360,559 | ||||||
John Deere Capital Co. | ||||||||
1.60%, 07/13/2018 | 315,000 | 314,846 | ||||||
1.70%, 01/15/2020 | 123,000 | 121,512 | ||||||
2.05%, 03/10/2020 | 300,000 | 298,910 | ||||||
2.45%, 09/11/2020 | 335,000 | 336,138 | ||||||
3.15%, 10/15/2021 | 257,000 | 263,381 | ||||||
2.80%, 01/27/2023 | 373,000 | 372,483 | ||||||
Johnson Controls International plc | ||||||||
4.25%, 03/01/2021 | 344,000 | 362,996 | ||||||
3.75%, 12/01/2021 | 475,000 | 491,186 | ||||||
3.63%, 07/02/2024 | 161,000 | 163,084 | ||||||
6.00%, 01/15/2036 | 107,000 | 123,268 | ||||||
5.25%, 12/01/2041 | 722,000 | 775,460 |
Principal Amount | Value | |||||||
5.13%, 09/14/2045 | 205,000 | 217,696 | ||||||
4.95%, 07/02/2064 | 1,380,000 | 1,284,162 | ||||||
Koninklijke Philips NV | ||||||||
5.75%, 03/11/2018 | 172,000 | 180,238 | ||||||
3.75%, 03/15/2022 | 864,000 | 899,258 | ||||||
L-3 Communications Corp. | ||||||||
3.85%, 12/15/2026 | 280,000 | 277,908 | ||||||
Lockheed Martin Co. | ||||||||
4.25%, 11/15/2019 | 103,000 | 109,646 | ||||||
3.10%, 01/15/2023 | 346,000 | 349,425 | ||||||
6.15%, 09/01/2036 | 400,000 | 499,648 | ||||||
4.85%, 09/15/2041 | 181,000 | 198,824 | ||||||
4.07%, 12/15/2042 | 462,000 | 455,122 | ||||||
Martin Marietta Materials, Inc. | ||||||||
4.25%, 07/02/2024 | 1,705,000 | 1,730,339 | ||||||
6.25%, 05/01/2037 | 107,000 | 113,556 | ||||||
MeadWestvaco Co. | ||||||||
7.38%, 09/01/2019 | 3,300,000 | 3,722,011 | ||||||
9.75%, 06/15/2020 | 17,000 | 20,461 | ||||||
8.20%, 01/15/2030 | 537,000 | 699,932 | ||||||
Norfolk Southern Co. | ||||||||
7.70%, 05/15/2017 | 14,000 | 14,320 | ||||||
3.25%, 12/01/2021 | 570,000 | 584,858 | ||||||
2.90%, 02/15/2023 | 294,000 | 291,892 | ||||||
5.59%, 05/17/2025 | 6,000 | 6,855 | ||||||
7.80%, 05/15/2027 | 1,705,000 | 2,280,674 | ||||||
3.95%, 10/01/2042 | 332,000 | 314,755 | ||||||
4.80%, 08/15/2043 | 3,400,000 | 3,693,927 | ||||||
6.00%, 03/15/2105 | 351,000 | 409,438 | ||||||
6.00%, 05/23/2111 | 1,083,000 | 1,263,896 | ||||||
Northrop Grumman Corp. | ||||||||
3.20%, 02/01/2027 | 849,000 | 838,691 | ||||||
3.85%, 04/15/2045 | 195,000 | 184,596 | ||||||
Northrop Grumman Systems Co. | ||||||||
7.75%, 02/15/2031 | 206,000 | 285,927 | ||||||
Odebrecht Finance Ltd. | ||||||||
5.25%, 06/27/2029 (Acquired 06/19/2014, Cost $1,375,000) (1) | 1,375,000 | 790,625 |
Principal Amount | Value | |||||||
Pactiv LLC | ||||||||
7.95%, 12/15/2025 | 34,000 | 36,040 | ||||||
Parker-Hannifin Co. | ||||||||
5.50%, 05/15/2018 | 80,000 | 84,248 | ||||||
3.30%, 11/21/2024 | 149,000 | 150,702 | ||||||
4.45%, 11/21/2044 | 333,000 | 351,053 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp. | ||||||||
2.88%, 07/17/2018 (Acquired 10/28/2013, Cost $431,941) (1) | 431,000 | 436,491 | ||||||
2.50%, 06/15/2019 (Acquired 06/12/2014, Cost $183,972) (1) | 184,000 | 184,400 | ||||||
3.38%, 02/01/2022 (Acquired 01/26/2015 through 06/05/2015, Cost $1,989,001) (1) | 2,011,000 | 2,026,063 | ||||||
4.25%, 01/17/2023 (Acquired 01/23/2015, Cost $229,368) (1) | 220,000 | 228,270 | ||||||
Pentair Finance SA | ||||||||
2.90%, 09/15/2018 | 915,000 | 925,407 | ||||||
3.63%, 09/15/2020 | 6,650,000 | 6,761,175 | ||||||
Precision Castparts Co. | ||||||||
3.25%, 06/15/2025 | 880,000 | 885,753 | ||||||
4.20%, 06/15/2035 | 75,000 | 78,436 | ||||||
4.38%, 06/15/2045 | 415,000 | 435,594 | ||||||
Raytheon Co. | ||||||||
3.15%, 12/15/2024 | 378,000 | 384,316 | ||||||
Republic Services, Inc. | ||||||||
5.25%, 11/15/2021 | 2,795,000 | 3,104,647 | ||||||
3.55%, 06/01/2022 | 496,000 | 514,727 | ||||||
2.90%, 07/01/2026 | 245,000 | 234,518 | ||||||
Roper Technologies, Inc. | ||||||||
3.00%, 12/15/2020 | 208,000 | 210,542 | ||||||
2.80%, 12/15/2021 | 1,007,000 | 1,005,496 | ||||||
3.80%, 12/15/2026 | 308,000 | 309,918 | ||||||
Ryder System, Inc. | ||||||||
2.50%, 03/01/2017 | 165,000 | 165,173 | ||||||
2.50%, 03/01/2018 | 165,000 | 166,178 | ||||||
2.50%, 05/11/2020 | 1,020,000 | 1,014,757 | ||||||
2.88%, 09/01/2020 | 345,000 | 348,500 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
2.90%, 05/27/2022 (Acquired 05/18/2015, Cost $553,000) (1) | 553,000 | 556,559 | ||||||
2.35%, 10/15/2026 (Acquired 09/06/2016, Cost $698,048) (1) | 700,000 | 646,908 | ||||||
4.40%, 05/27/2045 (Acquired 05/18/2015, Cost $509,295) (1) | 513,000 | 539,401 |
Principal Amount | Value | |||||||
3.30%, 09/15/2046 (Acquired 09/06/2016, Cost $398,572) (1) | 400,000 | 347,492 | ||||||
Timken Co./The | ||||||||
3.88%, 09/01/2024 | 1,000,000 | 978,735 | ||||||
TTX Co. | ||||||||
2.25%, 02/01/2019 (Acquired 01/12/2016 through 12/14/2016, Cost $3,376,321) (1) | 3,375,000 | 3,372,313 | ||||||
3.60%, 01/15/2025 (Acquired 11/13/2014, Cost $1,999,903) (1) | 2,000,000 | 1,993,952 | ||||||
3.90%, 02/01/2045 (Acquired 01/26/2015, Cost $3,968,917) (1) | 4,000,000 | 3,599,000 | ||||||
Tyco Electronics Group SA | ||||||||
6.55%, 10/01/2017 | 752,000 | 780,012 | ||||||
2.38%, 12/17/2018 | 7,025,000 | 7,091,337 | ||||||
Union Pacific Corp. | ||||||||
4.16%, 07/15/2022 | 453,000 | 487,672 | ||||||
2.95%, 01/15/2023 | 149,000 | 150,171 | ||||||
3.65%, 02/15/2024 | 142,000 | 148,081 | ||||||
3.25%, 01/15/2025 | 200,000 | 203,005 | ||||||
3.38%, 02/01/2035 | 1,500,000 | 1,416,279 | ||||||
4.30%, 06/15/2042 | 165,000 | 170,612 | ||||||
4.15%, 01/15/2045 | 300,000 | 301,507 | ||||||
3.80%, 10/01/2051 | 116,000 | 108,032 | ||||||
Union Pacific Railroad Co. 2003 Pass Through Trust | ||||||||
4.70%, 01/02/2024(8) | 21,287 | 22,564 | ||||||
Union Pacific Railroad Co. 2015-1 Pass Through Trust | ||||||||
2.70%, 05/12/2027 | 675,964 | 649,683 | ||||||
United Parcel Service of America, Inc. | ||||||||
8.38%, 04/01/2020 | 243,000 | 288,127 | ||||||
8.38%, 04/01/2030 | 83,000 | 117,218 | ||||||
United Parcel Service, Inc. | ||||||||
2.45%, 10/01/2022 | 186,000 | 185,021 | ||||||
United Technologies Co. | ||||||||
1.78%, 05/04/2018 | 14,316,000 | 14,317,059 | ||||||
3.10%, 06/01/2022 | 524,000 | 538,018 | ||||||
4.50%, 06/01/2042 | 693,000 | 740,371 | ||||||
4.15%, 05/15/2045 | 785,000 | 791,221 | ||||||
Vulcan Materials Co. | ||||||||
7.00%, 06/15/2018 | 215,000 | 229,512 | ||||||
7.15%, 11/30/2037 | 54,000 | 64,530 |
Principal Amount | Value | |||||||
Wabtec Co./DE | ||||||||
4.38%, 08/15/2023 | 322,000 | 336,039 | ||||||
Waste Management, Inc. | ||||||||
4.75%, 06/30/2020 | 195,000 | 210,060 | ||||||
2.40%, 05/15/2023 | 318,000 | 308,018 | ||||||
3.13%, 03/01/2025 | 424,000 | 423,998 | ||||||
3.90%, 03/01/2035 | 156,000 | 154,847 | ||||||
Xylem, Inc./NY | ||||||||
3.25%, 11/01/2026 | 192,000 | 186,159 | ||||||
4.38%, 11/01/2046 | 224,000 | 220,206 | ||||||
|
| |||||||
130,448,138 | ||||||||
|
| |||||||
Real Estate – 0.09% | ||||||||
American Tower Corp. | ||||||||
3.50%, 01/31/2023 | 341,000 | 341,675 | ||||||
3.38%, 10/15/2026 | 506,000 | 478,309 | ||||||
HCP, Inc. | ||||||||
3.88%, 08/15/2024 | 1,507,000 | 1,504,450 | ||||||
Realty Income Corp. | ||||||||
2.00%, 01/31/2018 | 4,700,000 | 4,712,761 | ||||||
3.25%, 10/15/2022 | 1,490,000 | 1,500,415 | ||||||
Weyerhaeuser Co. | ||||||||
7.38%, 03/15/2032 | 500,000 | 632,412 | ||||||
|
| |||||||
9,170,022 | ||||||||
|
| |||||||
Technology – 1.21% | ||||||||
Analog Devices, Inc. | ||||||||
3.13%, 12/05/2023 | 476,000 | 475,955 | ||||||
4.50%, 12/05/2036 | 220,000 | 221,540 | ||||||
Apple, Inc. | ||||||||
1.13%, 05/03/2018 | 790,000 | 791,790 | ||||||
2.15%, 02/09/2022 | 1,200,000 | 1,178,765 | ||||||
2.40%, 05/03/2023 | 2,081,000 | 2,024,043 | ||||||
3.45%, 05/06/2024 | 795,000 | 817,914 | ||||||
3.20%, 05/13/2025 | 1,010,000 | 1,012,843 | ||||||
2.45%, 08/04/2026 | 1,111,000 | 1,041,123 | ||||||
4.50%, 02/23/2036 | 723,000 | 770,893 | ||||||
3.45%, 02/09/2045 | 500,000 | 440,385 | ||||||
3.85%, 08/04/2046 | 6,442,000 | 6,159,119 |
Principal Amount | Value | |||||||
Dell, Inc. | ||||||||
7.10%, 04/15/2028 | 196,000 | 203,840 | ||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | ||||||||
3.48%, 06/01/2019 (Acquired 05/17/2016, Cost $7,483,479) (1) | 7,485,000 | 7,638,802 | ||||||
4.42%, 06/15/2021 (Acquired 05/17/2016, Cost $2,894,301) (1) | 2,895,000 | 2,993,056 | ||||||
5.45%, 06/15/2023 (Acquired 05/17/2016, Cost $842,686) (1) | 843,000 | 893,290 | ||||||
6.02%, 06/15/2026 (Acquired 05/17/2016, Cost $737,687) (1) | 738,000 | 798,435 | ||||||
8.10%, 07/15/2036 (Acquired 09/28/2016 through 11/30/2016, Cost $1,416,856) (1) | 1,211,000 | 1,438,722 | ||||||
8.35%, 07/15/2046 (Acquired 09/28/2016 through 11/30/2016, Cost $1,386,845) (1) | 1,149,000 | 1,412,576 | ||||||
Fidelity National Information Services, Inc. | ||||||||
1.45%, 06/05/2017 | 665,000 | 665,253 | ||||||
3.63%, 10/15/2020 | 4,000,000 | 4,138,016 | ||||||
3.50%, 04/15/2023 | 2,430,000 | 2,458,737 | ||||||
3.88%, 06/05/2024 | 2,150,000 | 2,190,882 | ||||||
3.00%, 08/15/2026 | 1,300,000 | 1,220,685 | ||||||
Fiserv, Inc. | ||||||||
4.63%, 10/01/2020 | 215,000 | 229,459 | ||||||
4.75%, 06/15/2021 | 5,231,000 | 5,624,418 | ||||||
3.85%, 06/01/2025 | 5,000,000 | 5,078,715 | ||||||
Hewlett Packard Co. | ||||||||
4.38%, 09/15/2021 | 293,000 | 307,957 | ||||||
4.65%, 12/09/2021 | 326,000 | 348,126 | ||||||
6.00%, 09/15/2041 | 731,000 | 736,132 | ||||||
Hewlett Packard Enterprise Co. SR GLBL NT 17 | ||||||||
0.00%, 10/05/2017 | 10,300,000 | 10,359,184 | ||||||
Hewlett Packard Enterprise Co. SR GLBL NT4.4% 22 | ||||||||
0.00%, 10/15/2022 | 7,500,000 | 7,819,943 | ||||||
HP Enterprise Services LLC | ||||||||
7.45%, 10/15/2029 | 250,000 | 297,043 | ||||||
Intel Co. | ||||||||
3.30%, 10/01/2021 | 259,000 | 268,892 | ||||||
3.10%, 07/29/2022 | 245,000 | 251,665 | ||||||
3.70%, 07/29/2025 | 456,000 | 480,340 | ||||||
4.00%, 12/15/2032 | 1,195,000 | 1,230,189 | ||||||
International Business Machines Co. | ||||||||
7.63%, 10/15/2018 | 872,000 | 963,663 | ||||||
2.25%, 02/19/2021 | 1,670,000 | 1,666,573 | ||||||
6.22%, 08/01/2027 | 68,000 | 84,881 |
Principal Amount | Value | |||||||
6.50%, 01/15/2028 | 120,000 | 151,793 | ||||||
4.00%, 06/20/2042 | 79,000 | 78,865 | ||||||
Intuit, Inc. | ||||||||
5.75%, 03/15/2017 | 8,059,000 | 8,130,387 | ||||||
Maxim Integrated Products, Inc. | ||||||||
2.50%, 11/15/2018 | 4,200,000 | 4,236,859 | ||||||
Microsoft Corp. | ||||||||
2.13%, 11/15/2022 | 350,000 | 340,660 | ||||||
2.38%, 05/01/2023 | 1,055,000 | 1,034,488 | ||||||
3.63%, 12/15/2023 | 445,000 | 468,158 | ||||||
2.40%, 08/08/2026 | 600,000 | 566,272 | ||||||
3.50%, 02/12/2035 | 318,000 | 305,599 | ||||||
4.20%, 11/03/2035 | 231,000 | 242,695 | ||||||
4.50%, 10/01/2040 | 125,000 | 132,580 | ||||||
4.00%, 02/12/2055 | 1,513,000 | 1,427,606 | ||||||
4.75%, 11/03/2055 | 408,000 | 442,767 | ||||||
3.95%, 08/08/2056 | 264,000 | 248,745 | ||||||
National Semiconductor Co. | ||||||||
6.60%, 06/15/2017 | 855,000 | 876,219 | ||||||
Oracle Corp. | ||||||||
5.75%, 04/15/2018 | 351,000 | 370,765 | ||||||
5.00%, 07/08/2019 | 547,000 | 589,645 | ||||||
2.80%, 07/08/2021 | 766,000 | 780,004 | ||||||
3.63%, 07/15/2023 | 149,000 | 155,990 | ||||||
2.40%, 09/15/2023 | 608,000 | 588,338 | ||||||
3.40%, 07/08/2024 | 2,000,000 | 2,035,430 | ||||||
2.95%, 05/15/2025 | 2,000,000 | 1,957,934 | ||||||
4.30%, 07/08/2034 | 4,714,000 | 4,866,894 | ||||||
3.90%, 05/15/2035 | 150,000 | 147,708 | ||||||
3.85%, 07/15/2036 | 4,714,000 | 4,592,756 | ||||||
6.50%, 04/15/2038 | 201,000 | 262,208 | ||||||
6.13%, 07/08/2039 | 265,000 | 332,923 | ||||||
4.00%, 07/15/2046 | 2,078,000 | 1,983,426 | ||||||
4.38%, 05/15/2055 | 400,000 | 396,938 | ||||||
Pitney Bowes, Inc. | ||||||||
5.60%, 03/15/2018 | 175,000 | 181,845 | ||||||
Texas Instruments, Inc. | ||||||||
1.65%, 08/03/2019 | 434,000 | 432,833 |
Principal Amount | Value | |||||||
TSMC Global Ltd. | ||||||||
1.63%, 04/03/2018 (Acquired 02/04/2016, Cost $4,951,674) (1) | 5,000,000 | 4,979,795 | ||||||
Xerox Co. | ||||||||
6.75%, 02/01/2017 | 2,170,000 | 2,177,827 | ||||||
2.95%, 03/15/2017 | 202,000 | 202,606 | ||||||
2.75%, 03/15/2019 | 3,200,000 | 3,199,136 | ||||||
5.63%, 12/15/2019 | 392,000 | 421,339 | ||||||
2.75%, 09/01/2020 | 1,930,000 | 1,902,266 | ||||||
4.50%, 05/15/2021 | 183,000 | 190,108 | ||||||
|
| |||||||
128,166,251 | ||||||||
|
| |||||||
Utilities – 2.42% | ||||||||
AEP Transmission Co. LLC | ||||||||
4.00%, 12/01/2046 (Acquired 11/16/2016, Cost $1,986,720) (1) | 2,020,000 | 1,999,485 | ||||||
Alabama Power Co. | ||||||||
2.80%, 04/01/2025 | 2,025,000 | 1,969,367 | ||||||
6.13%, 05/15/2038 | 219,000 | 273,467 | ||||||
6.00%, 03/01/2039 | 89,000 | 110,281 | ||||||
4.15%, 08/15/2044 | 205,000 | 205,605 | ||||||
3.75%, 03/01/2045 | 415,000 | 391,294 | ||||||
American Electric Power Co., Inc. | ||||||||
1.65%, 12/15/2017 | 246,000 | 246,067 | ||||||
American Water Capital Corp. | ||||||||
3.85%, 03/01/2024 | 500,000 | 526,264 | ||||||
3.40%, 03/01/2025 | 592,000 | 605,061 | ||||||
6.59%, 10/15/2037 | 386,000 | 514,153 | ||||||
4.00%, 12/01/2046 | 2,350,000 | 2,354,735 | ||||||
Appalachian Power Co. | ||||||||
6.70%, 08/15/2037 | 430,000 | 550,180 | ||||||
Arizona Public Service Co. | ||||||||
8.75%, 03/01/2019 | 91,000 | 103,409 | ||||||
2.20%, 01/15/2020 | 167,000 | 167,094 | ||||||
3.35%, 06/15/2024 | 676,000 | 688,973 | ||||||
5.05%, 09/01/2041 | 349,000 | 392,890 | ||||||
4.50%, 04/01/2042 | 221,000 | 231,660 | ||||||
3.75%, 05/15/2046 | 2,290,000 | 2,143,138 |
Principal Amount | Value | |||||||
Atmos Energy Co. | ||||||||
8.50%, 03/15/2019 | 71,000 | 80,705 | ||||||
4.15%, 01/15/2043 | 830,000 | 806,877 | ||||||
4.13%, 10/15/2044 | 450,000 | 446,672 | ||||||
Baltimore Gas & Electric Co. | ||||||||
2.80%, 08/15/2022 | 509,000 | 510,691 | ||||||
3.50%, 08/15/2046 | 375,000 | 336,682 | ||||||
Beaver Valley II Funding Co. | ||||||||
9.00%, 06/01/2017 | 3,000 | 3,000 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
5.75%, 04/01/2018 | 168,000 | 176,450 | ||||||
2.40%, 02/01/2020 | 409,000 | 409,862 | ||||||
3.50%, 02/01/2025 | 625,000 | 636,591 | ||||||
4.50%, 02/01/2045 | 375,000 | 388,263 | ||||||
Boston Gas Co. | ||||||||
4.49%, 02/15/2042 (Acquired 10/28/2013, Cost $241,699) (1) | 253,000 | 258,217 | ||||||
Brooklyn Union Gas Co./The | ||||||||
4.50%, 03/10/2046 (Acquired 03/07/2016, Cost $2,000,000) (1) | 2,000,000 | 2,055,150 | ||||||
CenterPoint Energy Resources Co. | ||||||||
4.50%, 01/15/2021 | 158,000 | 165,653 | ||||||
Centrica PLC | ||||||||
4.00%, 10/16/2023 (Acquired 11/18/2013, Cost $4,980,486) (1) | 5,000,000 | 5,085,675 | ||||||
Cleveland Electric Illuminating Co./The | ||||||||
7.88%, 11/01/2017 | 356,000 | 374,415 | ||||||
CMS Energy Corp. | ||||||||
3.88%, 03/01/2024 | 300,000 | 311,663 | ||||||
3.00%, 05/15/2026 | 110,000 | 105,713 | ||||||
2.95%, 02/15/2027 | 348,000 | 329,764 | ||||||
Consumers Energy Co. | ||||||||
4.35%, 08/31/2064 | 191,000 | 190,809 | ||||||
Comision Federal de Electricidad | ||||||||
4.88%, 05/26/2021 (Acquired 10/28/2013, Cost $564,541) (1) | 551,000 | 566,152 | ||||||
4.88%, 01/15/2024 (Acquired 10/28/2013 through 11/22/2013, Cost $1,822,061) (1) | 1,822,000 | 1,810,613 | ||||||
Commonwealth Edison Co. | ||||||||
3.65%, 06/15/2046 | 364,000 | 341,329 | ||||||
Connecticut Light & Power Co./The | ||||||||
5.65%, 05/01/2018 | 95,000 | 100,152 |
Principal Amount | Value | |||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
5.70%, 12/01/2036 | 1,943,000 | 2,314,509 | ||||||
5.70%, 06/15/2040 | 318,000 | 384,406 | ||||||
3.85%, 06/15/2046 | 2,940,000 | 2,799,171 | ||||||
4.30%, 12/01/2056 | 3,050,000 | 3,038,642 | ||||||
Consumers Energy Co. | ||||||||
5.65%, 04/15/2020 | 144,000 | 158,512 | ||||||
2.85%, 05/15/2022 | 155,000 | 157,289 | ||||||
3.25%, 08/15/2046 | 190,000 | 167,359 | ||||||
Delmarva Power & Light Co. | ||||||||
4.00%, 06/01/2042 | 170,000 | 164,916 | ||||||
4.15%, 05/15/2045 | 2,513,000 | 2,569,877 | ||||||
Dominion Gas Holdings LLC | ||||||||
2.50%, 12/15/2019 | 1,260,000 | 1,273,126 | ||||||
2.80%, 11/15/2020 | 264,000 | 266,199 | ||||||
4.60%, 12/15/2044 | 726,000 | 720,950 | ||||||
Dominion Resources, Inc./VA | ||||||||
2.96%, 07/01/2019 | 4,789,000 | 4,846,353 | ||||||
2.85%, 08/15/2026 | 304,000 | 284,185 | ||||||
5.25%, 08/01/2033 | 583,000 | 627,822 | ||||||
7.00%, 06/15/2038 | 124,000 | 158,125 | ||||||
4.90%, 08/01/2041 | 212,000 | 222,162 | ||||||
DTE Electric Co. | ||||||||
2.65%, 06/15/2022 | 194,000 | 195,049 | ||||||
3.70%, 03/15/2045 | 463,000 | 441,737 | ||||||
DTE Energy Co. | ||||||||
2.40%, 12/01/2019 | 278,000 | 279,236 | ||||||
3.30%, 06/15/2022 | 139,000 | 141,251 | ||||||
3.85%, 12/01/2023 | 292,000 | 301,768 | ||||||
3.50%, 06/01/2024 | 692,000 | 696,607 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.10%, 04/15/2018 | 144,000 | 150,462 | ||||||
4.30%, 06/15/2020 | 205,000 | 218,990 | ||||||
6.00%, 12/01/2028 | 235,000 | 290,937 | ||||||
6.00%, 01/15/2038 | 161,000 | 199,099 | ||||||
4.25%, 12/15/2041 | 141,000 | 143,969 | ||||||
Duke Energy Corp. | ||||||||
6.25%, 06/15/2018 | 1,781,000 | 1,892,412 |
Principal Amount | Value | |||||||
3.55%, 09/15/2021 | 306,000 | 316,475 | ||||||
3.75%, 09/01/2046 | 8,100,000 | 7,276,214 | ||||||
Duke Energy Florida LLC | ||||||||
5.65%, 06/15/2018 | 116,000 | 122,615 | ||||||
6.40%, 06/15/2038 | 72,000 | 94,781 | ||||||
Duke Energy Indiana LLC | ||||||||
3.75%, 05/15/2046 | 600,000 | 563,133 | ||||||
Duke Energy Indiana, Inc. | ||||||||
3.75%, 07/15/2020 | 398,000 | 417,329 | ||||||
6.35%, 08/15/2038 | 320,000 | 416,191 | ||||||
Duke Energy Progress LLC | ||||||||
5.30%, 01/15/2019 | 206,000 | 220,117 | ||||||
3.00%, 09/15/2021 | 372,000 | 381,218 | ||||||
2.80%, 05/15/2022 | 335,000 | 338,377 | ||||||
3.25%, 08/15/2025 | 158,000 | 160,227 | ||||||
4.10%, 05/15/2042 | 217,000 | 215,345 | ||||||
4.10%, 03/15/2043 | 181,000 | 180,620 | ||||||
4.38%, 03/30/2044 | 132,000 | 136,513 | ||||||
4.15%, 12/01/2044 | 129,000 | 127,903 | ||||||
4.20%, 08/15/2045 | 325,000 | 330,026 | ||||||
3.70%, 10/15/2046 | 506,000 | 478,096 | ||||||
Edison International | ||||||||
2.95%, 03/15/2023 | 400,000 | 395,298 | ||||||
Electricite de France SA | ||||||||
1.15%, 01/20/2017 (Acquired 01/13/2014, Cost $4,999,443) (1) | 5,000,000 | 4,999,850 | ||||||
2.15%, 01/22/2019 (Acquired 01/13/2014, Cost $3,536,808) (1) | 3,558,000 | 3,564,682 | ||||||
4.75%, 10/13/2035 (Acquired 10/07/2015, Cost $4,899,005) (1) | 5,000,000 | 5,008,910 | ||||||
6.00%, 01/22/2114 (Acquired 01/13/2014, Cost $1,003,522) (1) | 1,035,000 | 1,004,166 | ||||||
Emera US Finance LP | ||||||||
3.55%, 06/15/2026 (Acquired 06/09/2016, Cost $2,229,133) (1) | 2,235,000 | 2,193,887 | ||||||
Enel Finance International NV | ||||||||
5.13%, 10/07/2019 (Acquired 10/28/2013, Cost $919,093) (1) | 888,000 | 948,813 | ||||||
6.00%, 10/07/2039 (Acquired 10/28/2013 through 10/04/2016, Cost $345,044) (1) | 307,000 | 342,425 | ||||||
Entergy Arkansas, Inc. | ||||||||
3.50%, 04/01/2026 | 307,000 | 312,409 | ||||||
Entergy Corp. | ||||||||
2.95%, 09/01/2026 | 310,000 | 289,549 |
Principal Amount | Value | |||||||
Entergy Louisiana LLC | ||||||||
2.40%, 10/01/2026 | 650,000 | 605,587 | ||||||
3.05%, 06/01/2031 | 440,000 | 415,727 | ||||||
Entergy Mississippi, Inc. | ||||||||
2.85%, 06/01/2028 | 497,000 | 471,105 | ||||||
Exelon Co. | ||||||||
1.55%, 06/09/2017 | 8,499,000 | 8,483,387 | ||||||
3.40%, 04/15/2026 | 222,000 | 217,508 | ||||||
4.95%, 06/15/2035 | 1,500,000 | 1,588,991 | ||||||
5.63%, 06/15/2035 | 1,030,000 | 1,138,047 | ||||||
Exelon Generation Co. LLC | ||||||||
6.20%, 10/01/2017 | 3,436,000 | 3,549,371 | ||||||
2.95%, 01/15/2020 | 300,000 | 303,416 | ||||||
4.25%, 06/15/2022 | 618,000 | 639,031 | ||||||
6.25%, 10/01/2039 | 300,000 | 301,607 | ||||||
5.75%, 10/01/2041 | 192,000 | 179,919 | ||||||
FirstEnergy Transmission LLC | ||||||||
5.45%, 07/15/2044 (Acquired 05/14/2014 through 06/06/2016, Cost $3,480,082) (1) | 3,422,000 | 3,626,174 | ||||||
Florida Power & Light Co. | ||||||||
5.63%, 04/01/2034 | 57,000 | 68,974 | ||||||
5.95%, 02/01/2038 | 103,000 | 131,800 | ||||||
Georgia Power Co. | ||||||||
3.25%, 04/01/2026 | 147,000 | 147,519 | ||||||
5.95%, 02/01/2039 | 41,000 | 49,232 | ||||||
Great Plains Energy, Inc. | ||||||||
4.85%, 06/01/2021 | 156,000 | 166,060 | ||||||
Hydro-Quebec | ||||||||
9.40%, 02/01/2021 | 186,000 | 231,632 | ||||||
8.40%, 01/15/2022 | 826,000 | 1,031,573 | ||||||
8.05%, 07/07/2024 | 638,000 | 837,891 | ||||||
Indiana Michigan Power Co. | ||||||||
7.00%, 03/15/2019 | 112,000 | 123,385 | ||||||
3.20%, 03/15/2023 | 991,000 | 999,531 | ||||||
ITC Holdings Co. | ||||||||
5.30%, 07/01/2043 | 2,553,000 | 2,787,631 | ||||||
Jersey Central Power & Light Co. | ||||||||
7.35%, 02/01/2019 | 31,000 | 33,943 |
Principal Amount | Value | |||||||
4.70%, 04/01/2024 (Acquired 12/07/2016 through 12/09/2016, Cost $4,784,906) (1) | 4,469,000 | 4,749,769 | ||||||
John Sevier Combined Cycle Generation LLC | ||||||||
4.63%, 01/15/2042 | 456,765 | 479,468 | ||||||
Kansas City Power & Light Co. | ||||||||
3.15%, 03/15/2023 | 375,000 | 371,818 | ||||||
5.30%, 10/01/2041 | 1,032,000 | 1,100,598 | ||||||
KeySpan Gas East Corp. | ||||||||
2.74%, 08/15/2026 (Acquired 08/02/2016, Cost $538,000) (1) | 538,000 | 509,966 | ||||||
Korea Electric Power Co. | ||||||||
6.75%, 08/01/2027 | 233,000 | 278,016 | ||||||
Korea Gas Corp. | ||||||||
4.25%, 11/02/2020 (Acquired 10/28/2013, Cost $287,632) (1) | 279,000 | 295,741 | ||||||
1.88%, 07/18/2021 (Acquired 07/11/2016, Cost $586,851) (1) | 588,000 | 563,265 | ||||||
Korea Hydro & Nuclear Power Co. Ltd | ||||||||
2.88%, 10/02/2018 (Acquired 11/18/2013, Cost $4,016,470) (1) | 4,000,000 | 4,064,408 | ||||||
Massachusetts Electric Co. | ||||||||
4.00%, 08/15/2046 (Acquired 08/02/2016, Cost $624,000) (1) | 624,000 | 597,847 | ||||||
Mega Advance Investments Ltd. | ||||||||
5.00%, 05/12/2021 (Acquired 10/28/2013, Cost $609,844) (1) | 591,000 | 630,982 | ||||||
MidAmerican Energy Co. | ||||||||
5.30%, 03/15/2018 | 72,000 | 75,067 | ||||||
3.50%, 10/15/2024 | 317,000 | 327,271 | ||||||
Nevada Power Co. | ||||||||
6.50%, 08/01/2018 | 232,000 | 249,426 | ||||||
7.13%, 03/15/2019 | 188,000 | 208,936 | ||||||
5.38%, 09/15/2040 | 38,000 | 43,436 | ||||||
5.45%, 05/15/2041 | 386,000 | 451,324 | ||||||
New York State Electric & Gas Corp. | ||||||||
3.25%, 12/01/2026 (Acquired 11/21/2016, Cost $450,766) (1) | 454,000 | 451,332 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.06%, 09/01/2017 | 3,748,000 | 3,764,390 | ||||||
6.00%, 03/01/2019 | 124,000 | 134,044 | ||||||
2.40%, 09/15/2019 | 487,000 | 489,537 | ||||||
2.70%, 09/15/2019 | 3,473,000 | 3,515,385 | ||||||
7.30%, 09/01/2067 | 295,000 | 294,705 | ||||||
Niagara Mohawk Power Co. | ||||||||
4.88%, 08/15/2019 (Acquired 10/28/2013, Cost $177,734) (1) | 168,000 | 179,203 |
Principal Amount | Value | |||||||
3.51%, 10/01/2024 (Acquired 09/22/2014, Cost $258,000) (1) | 258,000 | 262,497 | ||||||
NiSource Finance Co. | ||||||||
3.85%, 02/15/2023 | 283,000 | 292,096 | ||||||
5.80%, 02/01/2042 | 774,000 | 899,171 | ||||||
Northern States Power Co./MN | ||||||||
6.25%, 06/01/2036 | 458,000 | 592,314 | ||||||
4.13%, 05/15/2044 | 1,480,000 | 1,501,722 | ||||||
Ohio Power Co. | ||||||||
6.05%, 05/01/2018 | 160,000 | 168,557 | ||||||
5.38%, 10/01/2021 | 65,000 | 72,549 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
6.80%, 09/01/2018 | 635,000 | 686,035 | ||||||
7.00%, 09/01/2022 | 124,000 | 151,195 | ||||||
Pacific Gas & Electric Co. | ||||||||
5.63%, 11/30/2017 | 204,000 | 211,555 | ||||||
8.25%, 10/15/2018 | 4,484,000 | 4,976,908 | ||||||
3.25%, 09/15/2021 | 146,000 | 149,987 | ||||||
2.45%, 08/15/2022 | 581,000 | 573,270 | ||||||
3.25%, 06/15/2023 | 206,000 | 209,940 | ||||||
3.40%, 08/15/2024 | 11,150,000 | 11,379,913 | ||||||
3.50%, 06/15/2025 | 547,000 | 561,339 | ||||||
2.95%, 03/01/2026 | 194,000 | 189,789 | ||||||
6.05%, 03/01/2034 | 146,000 | 182,456 | ||||||
4.50%, 12/15/2041 | 749,000 | 779,902 | ||||||
4.45%, 04/15/2042 | 194,000 | 203,373 | ||||||
4.00%, 12/01/2046 | 358,000 | 352,309 | ||||||
PacifiCo. | ||||||||
5.65%, 07/15/2018 | 294,000 | 311,516 | ||||||
5.50%, 01/15/2019 | 26,000 | 27,867 | ||||||
2.95%, 02/01/2022 | 103,000 | 104,794 | ||||||
PECO Energy Co. | ||||||||
5.35%, 03/01/2018 | 93,000 | 96,982 | ||||||
2.38%, 09/15/2022 | 578,000 | 566,987 | ||||||
4.15%, 10/01/2044 | 353,000 | 359,776 | ||||||
Pennsylvania Electric Co. | ||||||||
6.05%, 09/01/2017 | 93,000 | 95,568 | ||||||
Potomac Electric Power Co. | ||||||||
6.50%, 11/15/2037 | 136,000 | 177,939 |
Principal Amount | Value | |||||||
PPL Electric Utilities Co. | ||||||||
2.50%, 09/01/2022 | 178,000 | 174,943 | ||||||
4.13%, 06/15/2044 | 208,000 | 210,377 | ||||||
Progress Energy, Inc. | ||||||||
4.40%, 01/15/2021 | 390,000 | 413,261 | ||||||
3.15%, 04/01/2022 | 389,000 | 392,131 | ||||||
7.75%, 03/01/2031 | 5,109,000 | 7,017,656 | ||||||
PSEG Power LLC | ||||||||
5.13%, 04/15/2020 | 430,000 | 460,334 | ||||||
3.00%, 06/15/2021 | 2,310,000 | 2,315,084 | ||||||
4.15%, 09/15/2021 | 332,000 | 345,934 | ||||||
8.63%, 04/15/2031 | 130,000 | 158,448 | ||||||
Public Service Co. of Colorado | ||||||||
5.80%, 08/01/2018 | 28,000 | 29,759 | ||||||
3.20%, 11/15/2020 | 120,000 | 123,808 | ||||||
2.25%, 09/15/2022 | 210,000 | 206,433 | ||||||
3.55%, 06/15/2046 | 353,000 | 327,482 | ||||||
Public Service Co. of New Hampshire | ||||||||
3.50%, 11/01/2023 | 101,000 | 102,845 | ||||||
Public Service Co. of Oklahoma | ||||||||
5.15%, 12/01/2019 | 143,000 | 153,696 | ||||||
4.40%, 02/01/2021 | 203,000 | 215,968 | ||||||
6.63%, 11/15/2037 | 649,000 | 825,213 | ||||||
Public Service Electric & Gas Co. | ||||||||
1.80%, 06/01/2019 | 85,000 | 84,883 | ||||||
3.15%, 08/15/2024 | 1,000,000 | 1,009,044 | ||||||
5.38%, 11/01/2039 | 117,000 | 137,339 | ||||||
RGS I&M Funding Co. | ||||||||
9.82%, 12/07/2022 | 85,737 | 86,926 | ||||||
San Diego Gas & Electric Co. | ||||||||
6.00%, 06/01/2026 | 213,000 | 258,651 | ||||||
3.95%, 11/15/2041 | 310,000 | 308,108 | ||||||
Sempra Energy | ||||||||
6.15%, 06/15/2018 | 237,000 | 251,048 | ||||||
9.80%, 02/15/2019 | 10,148,000 | 11,750,136 | ||||||
2.88%, 10/01/2022 | 361,000 | 357,145 |
Principal Amount | Value | |||||||
4.05%, 12/01/2023 | 10,325,000 | 10,771,680 | ||||||
3.55%, 06/15/2024 | 709,000 | 716,691 | ||||||
6.00%, 10/15/2039 | 155,000 | 184,386 | ||||||
South Carolina Electric & Gas Co. | ||||||||
4.50%, 06/01/2064 | 161,000 | 158,331 | ||||||
Southern California Edison Co. | ||||||||
5.50%, 08/15/2018 | 144,000 | 152,981 | ||||||
3.88%, 06/01/2021 | 102,000 | 107,864 | ||||||
1.85%, 02/01/2022 | 264,000 | 259,567 | ||||||
3.50%, 10/01/2023 | 328,000 | 340,507 | ||||||
5.95%, 02/01/2038 | 67,000 | 83,995 | ||||||
6.05%, 03/15/2039 | 253,000 | 323,620 | ||||||
3.90%, 12/01/2041 | 392,000 | 386,343 | ||||||
Southern Co. Gas Capital Corp. | ||||||||
3.50%, 09/15/2021 | 530,000 | 544,242 | ||||||
2.45%, 10/01/2023 | 230,000 | 220,345 | ||||||
3.25%, 06/15/2026 | 225,000 | 219,231 | ||||||
5.88%, 03/15/2041 | 1,210,000 | 1,407,054 | ||||||
4.40%, 06/01/2043 | 160,000 | 157,908 | ||||||
3.95%, 10/01/2046 | 282,000 | 260,393 | ||||||
Southern Co./The | ||||||||
2.15%, 09/01/2019 | 555,000 | 554,812 | ||||||
2.35%, 07/01/2021 | 3,694,000 | 3,627,150 | ||||||
4.40%, 07/01/2046 | 2,194,000 | 2,165,719 | ||||||
Southern Power Co. | ||||||||
4.15%, 12/01/2025 | 218,000 | 225,624 | ||||||
5.15%, 09/15/2041 | 746,000 | 749,996 | ||||||
Southwest Gas Corp. | ||||||||
3.80%, 09/29/2046 | 508,000 | 454,956 | ||||||
Southwestern Electric Power Co. | ||||||||
6.45%, 01/15/2019 | 320,000 | 347,340 | ||||||
Southwestern Public Service Co. | ||||||||
8.75%, 12/01/2018 | 351,000 | 394,497 | ||||||
4.50%, 08/15/2041 | 350,000 | 369,378 | ||||||
State Grid Overseas Investment 2013 Ltd. | ||||||||
1.75%, 05/22/2018 (Acquired 10/28/2013, Cost $239,857) (1) | 241,000 | 239,879 | ||||||
State Grid Overseas Investment 2014 Ltd. | ||||||||
2.75%, 05/07/2019 (Acquired 04/28/2014 through 05/22/2014, Cost $4,231,461) (1) | 4,240,000 | 4,294,191 |
Principal Amount | Value | |||||||
Talent Yield Investments Ltd. | ||||||||
4.50%, 04/25/2022 (Acquired 10/28/2013 through 02/27/2014, Cost $713,080) (1) | 715,000 | 748,968 | ||||||
Toledo Edison Co/The | ||||||||
6.15%, 05/15/2037 | 680,000 | 801,344 | ||||||
Tri-State Generation & Transmission Association, Inc. | ||||||||
4.25%, 06/01/2046 | 371,000 | 356,836 | ||||||
Union Electric Co. | ||||||||
3.65%, 04/15/2045 | 1,370,000 | 1,292,561 | ||||||
Virginia Electric & Power Co. | ||||||||
5.40%, 04/30/2018 | 558,000 | 584,984 | ||||||
2.95%, 01/15/2022 | 80,000 | 81,020 | ||||||
3.45%, 02/15/2024 | 191,000 | 196,064 | ||||||
4.65%, 08/15/2043 | 3,500,000 | 3,792,212 | ||||||
4.45%, 02/15/2044 | 126,000 | 132,024 | ||||||
4.00%, 11/15/2046 | 2,047,000 | 2,036,425 | ||||||
WEC Energy Group, Inc. | ||||||||
1.65%, 06/15/2018 | 4,043,000 | 4,038,654 | ||||||
3.55%, 06/15/2025 | 865,000 | 880,409 | ||||||
Westar Energy, Inc. | ||||||||
4.13%, 03/01/2042 | 4,175,000 | 4,136,227 | ||||||
Wisconsin Electric Power Co. | ||||||||
2.95%, 09/15/2021 | 27,000 | 27,538 | ||||||
3.10%, 06/01/2025 | 285,000 | 284,082 | ||||||
Xcel Energy, Inc. | ||||||||
1.20%, 06/01/2017 | 8,332,000 | 8,323,951 | ||||||
4.70%, 05/15/2020 | 62,000 | 65,899 | ||||||
2.40%, 03/15/2021 | 250,000 | 248,389 | ||||||
2.60%, 03/15/2022 | 2,869,000 | 2,854,351 | ||||||
3.35%, 12/01/2026 | 5,105,000 | 5,101,626 | ||||||
6.50%, 07/01/2036 | 351,000 | 440,684 | ||||||
4.80%, 09/15/2041 | 95,000 | 101,040 | ||||||
|
| |||||||
256,958,411 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $3,292,663,150) | $ | 3,313,966,721 | ||||||
|
| |||||||
Government Related – 21.20% | ||||||||
African Development Bank | ||||||||
8.80%, 09/01/2019 | 2,720,000 | $ | 3,206,652 |
Principal Amount | Value | |||||||
Alabama Economic Settlement Authority | ||||||||
3.16%, 09/15/2025 | 2,308,000 | 2,327,964 | ||||||
4.26%, 09/15/2032 | 610,000 | 624,207 | ||||||
American Municipal Power, Inc. | ||||||||
7.50%, 02/15/2050 | 1,350,000 | 1,890,418 | ||||||
Atlanta Independent School System | ||||||||
5.56%, 03/01/2026 | 535,000 | 602,929 | ||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | 1,650,000 | 2,245,963 | ||||||
Caisse d’Amortissement de la Dette Sociale | ||||||||
2.00%, 03/22/2021 (Acquired 03/15/2016, Cost $2,937,524) (1) | 2,940,000 | 2,905,193 | ||||||
California Educational Facilities Authority | ||||||||
5.00%, 06/01/2046 | 1,750,000 | 2,225,790 | ||||||
California Qualified School Bond Joint Powers Authority | ||||||||
7.16%, 03/01/2027 | 805,000 | 931,498 | ||||||
California School Finance Authority | ||||||||
5.04%, 07/01/2020 | 270,000 | 289,559 | ||||||
Central Puget Sound Regional Transit Authority | ||||||||
5.00%, 11/01/2046 | 2,250,000 | 2,848,207 | ||||||
City of Houston TX Combined Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 1,850,000 | 1,936,062 | ||||||
City of Los Angeles Department of Airports | ||||||||
6.58%, 05/15/2039 | 1,650,000 | 2,099,377 | ||||||
Colombia Government International Bond | ||||||||
4.38%, 07/12/2021 | 1,000,000 | 1,047,500 | ||||||
4.00%, 02/26/2024 | 437,000 | 441,370 | ||||||
4.50%, 01/28/2026 | 1,192,000 | 1,227,760 | ||||||
5.63%, 02/26/2044 | 200,000 | 206,000 | ||||||
5.00%, 06/15/2045 | 842,000 | 798,847 | ||||||
Commonwealth Financing Authority | ||||||||
4.14%, 06/01/2038 | 1,205,000 | 1,150,341 | ||||||
Corp. Andina de Fomento | ||||||||
2.00%, 05/10/2019 | 3,215,000 | 3,193,247 | ||||||
2.13%, 09/27/2021 | 2,890,000 | 2,798,011 | ||||||
4.38%, 06/15/2022 | 2,735,000 | 2,901,452 | ||||||
County of Contra Costa CA | ||||||||
5.14%, 06/01/2017 | 640,000 | 647,674 |
Principal Amount | Value | |||||||
County of Cuyahoga OH | ||||||||
9.13%, 10/01/2023 | 105,000 | 103,113 | ||||||
District of Columbia Water & Sewer Authority | ||||||||
5.52%, 10/01/2044 | 2,900,000 | 3,520,687 | ||||||
4.81%, 10/01/2114 | 875,000 | 885,290 | ||||||
Eaton Community City School District | ||||||||
5.39%, 08/25/2027 | 275,000 | 285,285 | ||||||
Elgin Local School District | ||||||||
5.50%, 08/31/2027 | 535,000 | 557,989 | ||||||
Export-Import Bank of Korea | ||||||||
4.00%, 01/11/2017 | 200,000 | 200,080 | ||||||
2.25%, 01/21/2020 | 1,800,000 | 1,789,373 | ||||||
4.38%, 09/15/2021 | 250,000 | 266,459 | ||||||
Fannie Mae Principal Strip | ||||||||
0.00%, 05/15/2030 PO | 929,000 | 595,967 | ||||||
Federal Farm Credit Banks | ||||||||
5.13%, 11/15/2018 | 344,000 | 368,362 | ||||||
Federal Home Loan Banks | ||||||||
4.00%, 10/24/2029 | 2,000,000 | 2,200,216 | ||||||
5.50%, 07/15/2036 | 1,135,000 | 1,486,407 | ||||||
Federal Home Loan Mortgage Co. | ||||||||
2.38%, 01/13/2022 | 6,869,000 | 6,974,645 | ||||||
6.25%, 07/15/2032 | 2,596,000 | 3,568,166 | ||||||
Federal National Mortgage Association | ||||||||
0.00%, 06/01/2017 | 2,735,000 | 2,727,074 | ||||||
2.63%, 09/06/2024 | 3,714,000 | 3,752,622 | ||||||
1.88%, 09/24/2026 | 1,150,000 | 1,055,049 | ||||||
6.25%, 05/15/2029 | 1,285,000 | 1,700,429 | ||||||
7.13%, 01/15/2030 | 1,500,000 | 2,136,807 | ||||||
Financing Co. | ||||||||
0.00%, 11/30/2017 PO | 404,000 | 400,196 | ||||||
0.00%, 04/06/2018 PO | 194,000 | 190,977 | ||||||
0.00%, 05/11/2018 PO | 6,860,000 | 6,738,167 | ||||||
0.00%, 03/07/2019 PO | 205,000 | 198,581 | ||||||
Finnvera OYJ | ||||||||
2.38%, 06/04/2025 (Acquired 09/01/2016, Cost $616,917) (1) | 600,000 | 574,104 |
Principal Amount | Value | |||||||
Government Trust Certificate | ||||||||
0.00%, 04/01/2019 | 1,375,000 | 1,322,178 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
3.00%, 06/30/2025 | 2,695,000 | 2,745,262 | ||||||
Hungary Government International Bond | ||||||||
6.38%, 03/29/2021 | 6,114,000 | 6,846,213 | ||||||
7.63%, 03/29/2041 | 2,850,000 | 3,982,162 | ||||||
Indonesia Government International Bond | ||||||||
5.88%, 03/13/2020 | 5,000,000 | 5,456,965 | ||||||
5.88%, 01/15/2024 (Acquired 03/20/2015, Cost $1,474,189) (1) | 1,300,000 | 1,434,295 | ||||||
4.13%, 01/15/2025 (Acquired 01/08/2015, Cost $1,318,284) (1) | 1,325,000 | 1,312,861 | ||||||
4.75%, 01/08/2026 | 1,180,000 | 1,218,095 | ||||||
5.25%, 01/08/2047 (Acquired 12/01/2016, Cost $1,741,792) (1) | 1,755,000 | 1,749,949 | ||||||
Iowa Tobacco Settlement Authority | ||||||||
6.50%, 06/01/2023 | 855,000 | 840,055 | ||||||
Israel Government AID Bond | ||||||||
0.00%, 11/01/2019 IO | 345,000 | 326,244 | ||||||
0.00%, 08/15/2022 | 3,701,000 | 3,194,614 | ||||||
0.00%, 09/15/2023 | 1,837,000 | 1,528,581 | ||||||
5.50%, 09/18/2023 | 8,856,000 | 10,470,219 | ||||||
0.00%, 11/01/2023 IO | 413,000 | 341,698 | ||||||
5.50%, 04/26/2024 | 4,424,000 | 5,296,988 | ||||||
0.00%, 05/15/2024 | 3,640,000 | 2,952,997 | ||||||
0.00%, 08/15/2024 | 1,500,000 | 1,205,780 | ||||||
0.00%, 11/01/2024 | 1,000,000 | 798,365 | ||||||
0.00%, 11/01/2024 PO | 10,349,000 | 8,262,279 | ||||||
0.00%, 11/15/2024 | 2,299,000 | 1,833,266 | ||||||
0.00%, 08/15/2025 | 2,500,000 | 1,928,975 | ||||||
0.00%, 11/15/2026 | 258,000 | 187,374 | ||||||
5.50%, 09/18/2033 | 619,000 | 800,321 | ||||||
Japan Bank for International Cooperation/Japan | ||||||||
1.50%, 07/21/2021 | 1,600,000 | 1,532,618 | ||||||
Japan Finance Organization for Municipalities | ||||||||
2.13%, 04/13/2021 (Acquired 04/06/2016, Cost $1,596,964) (1) | 1,600,000 | 1,563,617 | ||||||
2.13%, 10/25/2023 (Acquired 10/18/2016, Cost $3,376,691) (1) | 3,400,000 | 3,230,473 | ||||||
Lithuania Government International Bond | ||||||||
7.38%, 02/11/2020 (Acquired 08/12/2014, Cost $1,119,260) (1) | 995,000 | 1,134,300 |
Principal Amount | Value | |||||||
Los Angeles Department of Water & Power | ||||||||
6.60%, 07/01/2050 | 2,400,000 | 3,360,624 | ||||||
Mexico Government International Bond | ||||||||
3.50%, 01/21/2021 | 1,786,000 | 1,814,576 | ||||||
4.00%, 10/02/2023 | 2,418,000 | 2,423,561 | ||||||
3.60%, 01/30/2025 | 868,000 | 836,752 | ||||||
4.13%, 01/21/2026 | 1,429,000 | 1,417,568 | ||||||
4.75%, 03/08/2044 | 3,880,000 | 3,526,920 | ||||||
5.55%, 01/21/2045 | 1,494,000 | 1,527,615 | ||||||
4.35%, 01/15/2047 | 3,100,000 | 2,658,250 | ||||||
5.75%, 10/12/2110 | 588,000 | 542,430 | ||||||
New Hampshire Housing Finance Authority | ||||||||
3.05%, 01/01/2021 | 105,000 | 105,530 | ||||||
3.75%, 07/01/2034 | 225,000 | 228,564 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
5.75%, 12/15/2028 | 4,865,000 | 5,080,568 | ||||||
New Jersey Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 5,870,000 | 8,213,011 | ||||||
New York State Dormitory Authority | ||||||||
5.60%, 03/15/2040 | 260,000 | 320,112 | ||||||
North American Development Bank | ||||||||
4.38%, 02/11/2020 | 2,500,000 | 2,658,205 | ||||||
2.40%, 10/26/2022 | 2,595,000 | 2,516,229 | ||||||
North Carolina Housing Finance Agency | ||||||||
3.00%, 01/01/2033 | 4,765,000 | 4,756,709 | ||||||
Ohio State University/The | ||||||||
4.05%, 12/01/2056 | 406,000 | 403,641 | ||||||
4.80%, 06/01/2111 | 1,102,000 | 1,084,666 | ||||||
Panama Government International Bond | ||||||||
5.20%, 01/30/2020 | 2,930,000 | 3,146,820 | ||||||
4.00%, 09/22/2024 | 3,133,000 | 3,187,828 | ||||||
3.75%, 03/16/2025 | 1,234,000 | 1,224,745 | ||||||
Peruvian Government International Bond | ||||||||
5.63%, 11/18/2050 | 190,000 | 215,175 | ||||||
Poland Government International Bond | ||||||||
4.00%, 01/22/2024 | 1,040,000 | 1,063,668 |
Principal Amount | Value | |||||||
Port Authority of New York & New Jersey | ||||||||
5.65%, 11/01/2040 | 1,260,000 | 1,517,695 | ||||||
5.65%, 11/01/2040 | 435,000 | 523,966 | ||||||
4.46%, 10/01/2062 | 2,065,000 | 2,088,541 | ||||||
Province of Alberta Canada | ||||||||
1.90%, 12/06/2019 | 2,400,000 | 2,402,462 | ||||||
Province of Manitoba Canada | ||||||||
2.13%, 06/22/2026 | 400,000 | 372,564 | ||||||
Province of Quebec Canada | ||||||||
7.37%, 03/06/2026 | 58,000 | 76,146 | ||||||
Qatar Government International Bond | ||||||||
2.38%, 06/02/2021 (Acquired 05/25/2016, Cost $5,128,415) (1) | 5,178,000 | 5,064,985 | ||||||
4.63%, 06/02/2046 (Acquired 05/25/2016, Cost $617,005) (1) | 632,000 | 631,206 | ||||||
Republic of Poland Government International Bond | ||||||||
6.38%, 07/15/2019 | 1,000,000 | 1,111,000 | ||||||
Republic of South Africa Government International Bond | ||||||||
5.88%, 09/16/2025 | 403,000 | 429,981 | ||||||
5.38%, 07/24/2044 | 1,077,000 | 1,059,768 | ||||||
Residual Funding Co. Principal Strip | ||||||||
0.00%, 10/15/2019 PO | 2,107,000 | 2,019,374 | ||||||
0.00%, 07/15/2020 PO | 25,916,000 | 24,255,277 | ||||||
0.00%, 10/15/2020 PO | 9,066,000 | 8,466,592 | ||||||
0.00%, 01/15/2021 PO | 5,455,000 | 5,011,067 | ||||||
0.00%, 01/15/2030 | 3,380,000 | 2,204,135 | ||||||
0.00%, 04/15/2030 | 1,085,000 | 700,993 | ||||||
Resolution Funding Corp. Interest Strip | ||||||||
0.00%, 10/15/2025 | 1,295,000 | 1,017,610 | ||||||
0.00%, 01/15/2026 | 1,460,000 | 1,123,607 | ||||||
Rhode Island Housing & Mortgage Finance Co./RI | ||||||||
4.00%, 10/01/2023 | 4,000,000 | 4,122,720 | ||||||
Romanian Government International Bond | ||||||||
6.13%, 01/22/2044 | 1,000,000 | 1,167,250 | ||||||
San Dieguito Public Facilities Authority | ||||||||
6.46%, 05/01/2027 | 685,000 | 836,317 | ||||||
Saudi Government International Bond | ||||||||
2.38%, 10/26/2021 (Acquired 10/19/2016, Cost $7,587,567) (1) | 7,661,000 | 7,438,340 | ||||||
4.50%, 10/26/2046 (Acquired 10/19/2016, Cost $1,150,764) (1) | 1,174,000 | 1,124,495 |
Principal Amount | Value | |||||||
State of California | ||||||||
7.50%, 04/01/2034 | 5,540,000 | 7,830,790 | ||||||
7.30%, 10/01/2039 | 3,585,000 | 5,073,779 | ||||||
7.35%, 11/01/2039 | 1,131,000 | 1,605,816 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/2033 | 560,000 | 494,939 | ||||||
State Public School Building Authority | ||||||||
5.00%, 09/15/2027 | 1,536,000 | 1,560,868 | ||||||
Svensk Exportkredit AB | ||||||||
1.75%, 03/10/2021 | 7,180,000 | 7,040,177 | ||||||
Tennessee Valley Authority | ||||||||
7.13%, 05/01/2030 | 2,985,000 | 4,244,903 | ||||||
5.88%, 04/01/2036 | 882,000 | 1,161,694 | ||||||
5.50%, 06/15/2038 | 57,000 | 72,947 | ||||||
5.25%, 09/15/2039 | 949,000 | 1,189,814 | ||||||
3.50%, 12/15/2042 | 2,874,000 | 2,802,627 | ||||||
4.63%, 09/15/2060 | 303,000 | 336,017 | ||||||
4.25%, 09/15/2065 | 5,823,000 | 5,978,753 | ||||||
Tennessee Valley Authority Generic Strip | ||||||||
0.00%, 05/01/2019 IO | 1,238,000 | 1,186,794 | ||||||
0.00%, 07/15/2028 IO | 2,000,000 | 1,340,582 | ||||||
0.00%, 03/15/2032 | 1,514,000 | 869,697 | ||||||
Tennessee Valley Authority Principal Strip | ||||||||
0.00%, 12/15/2017 PO | 427,000 | 422,029 | ||||||
0.00%, 11/01/2025 PO | 1,847,000 | 1,405,343 | ||||||
0.00%, 06/15/2035 PO | 258,000 | 129,753 | ||||||
Three Rivers Local School District | ||||||||
5.21%, 09/15/2027 | 285,000 | 295,237 | ||||||
Tokyo Metropolitan Government | ||||||||
2.00%, 05/17/2021 (Acquired 05/10/2016, Cost $2,392,899) (1) | 2,400,000 | 2,328,096 | ||||||
Tunisia Government AID Bonds | ||||||||
1.42%, 08/05/2021 | 1,800,000 | 1,739,956 | ||||||
Turkey Government International Bond | ||||||||
7.00%, 06/05/2020 | 3,910,000 | 4,198,253 | ||||||
5.75%, 03/22/2024 | 494,000 | 495,428 | ||||||
Ukraine Government AID Bonds | ||||||||
1.47%, 09/29/2021 | 3,000,000 | 2,928,732 |
Principal Amount | Value | |||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.13%, 04/15/2018(2) | 941,148 | 949,685 | ||||||
1.38%, 01/15/2020(2) | 331,998 | 349,147 | ||||||
0.13%, 01/15/2022(2) | 2,373,140 | 2,376,940 | ||||||
1.75%, 01/15/2028(2) | 692,316 | 772,860 | ||||||
3.63%, 04/15/2028(2) | 1,558,816 | 2,049,389 | ||||||
2.50%, 01/15/2029(2) | 464,993 | 560,753 | ||||||
U.S. Treasury Note/Bond | ||||||||
3.13%, 01/31/2017 | 206,000 | 206,434 | ||||||
4.63%, 02/15/2017 | 980,000 | 984,804 | ||||||
3.25%, 03/31/2017 | 6,295,000 | 6,336,566 | ||||||
2.75%, 05/31/2017 | 5,000,000 | 5,043,360 | ||||||
0.88%, 10/15/2017 | 7,960,000 | 7,961,051 | ||||||
4.25%, 11/15/2017 | 3,353,000 | 3,449,804 | ||||||
2.25%, 11/30/2017 | 206,000 | 208,518 | ||||||
2.75%, 12/31/2017 | 1,459,000 | 1,485,196 | ||||||
0.88%, 01/31/2018 | 245,000 | 244,803 | ||||||
2.63%, 01/31/2018 | 2,683,000 | 2,730,516 | ||||||
3.50%, 02/15/2018 | 6,993,000 | 7,188,650 | ||||||
0.88%, 05/31/2018 | 11,997,000 | 11,972,250 | ||||||
1.00%, 08/15/2018 | 1,505,000 | 1,502,780 | ||||||
0.75%, 08/31/2018 | 15,312,000 | 15,215,136 | ||||||
1.50%, 08/31/2018 | 5,061,000 | 5,091,897 | ||||||
1.00%, 09/15/2018 | 510,000 | 508,841 | ||||||
0.75%, 09/30/2018 | 396,000 | 393,257 | ||||||
0.75%, 10/31/2018 | 10,281,000 | 10,205,178 | ||||||
1.25%, 10/31/2018 | 1,930,000 | 1,932,727 | ||||||
1.00%, 11/30/2018 | 32,780,000 | 32,668,253 | ||||||
1.25%, 12/15/2018 | 246,000 | 246,216 | ||||||
0.00%, 12/31/2018 | 6,500,000 | 6,507,234 | ||||||
1.38%, 12/31/2018 | 722,000 | 724,178 | ||||||
0.75%, 02/15/2019 | 5,000,000 | 4,948,915 | ||||||
3.13%, 05/15/2019 | 10,774,000 | 11,229,579 | ||||||
1.50%, 05/31/2019 | 1,360,000 | 1,365,810 | ||||||
1.00%, 10/15/2019 | 1,909,000 | 1,887,705 | ||||||
1.00%, 11/30/2019 | 2,392,000 | 2,362,038 | ||||||
1.38%, 12/15/2019 | 3,416,000 | 3,406,111 | ||||||
8.50%, 02/15/2020 | 4,750,000 | 5,757,114 |
Principal Amount | Value | |||||||
3.50%, 05/15/2020 | 1,300,000 | 1,380,957 | ||||||
8.75%, 05/15/2020 | 2,000,000 | 2,466,534 | ||||||
1.63%, 06/30/2020 | 1,500,000 | 1,499,702 | ||||||
1.63%, 07/31/2020 | 11,315,000 | 11,299,646 | ||||||
2.63%, 08/15/2020 | 3,709,000 | 3,832,380 | ||||||
8.75%, 08/15/2020 | 6,304,000 | 7,867,279 | ||||||
2.13%, 08/31/2020 | 2,032,000 | 2,063,390 | ||||||
1.38%, 09/30/2020 | 12,395,000 | 12,245,442 | ||||||
2.63%, 11/15/2020 | 4,596,000 | 4,746,735 | ||||||
1.63%, 11/30/2020 | 3,776,000 | 3,757,815 | ||||||
2.00%, 11/30/2020 | 1,000,000 | 1,009,552 | ||||||
1.75%, 12/31/2020 | 2,523,000 | 2,520,141 | ||||||
3.63%, 02/15/2021 | 1,961,000 | 2,103,282 | ||||||
7.88%, 02/15/2021 | 900,000 | 1,115,626 | ||||||
1.13%, 02/28/2021 | 7,772,000 | 7,555,690 | ||||||
1.25%, 03/31/2021 | 1,996,000 | 1,948,210 | ||||||
1.38%, 04/30/2021 | 58,075,000 | 56,919,366 | ||||||
2.25%, 04/30/2021 | 1,800,000 | 1,829,961 | ||||||
3.13%, 05/15/2021 | 4,592,000 | 4,834,770 | ||||||
8.13%, 05/15/2021 | 1,718,000 | 2,166,405 | ||||||
1.38%, 05/31/2021 | 19,008,000 | 18,613,128 | ||||||
1.13%, 07/31/2021 | 5,374,000 | 5,189,806 | ||||||
2.13%, 08/15/2021 | 2,805,000 | 2,828,972 | ||||||
8.13%, 08/15/2021 | 1,850,000 | 2,354,064 | ||||||
1.13%, 08/31/2021 | 3,920,000 | 3,783,898 | ||||||
1.13%, 09/30/2021 | 62,266,000 | 60,001,074 | ||||||
2.13%, 09/30/2021 | 67,865,000 | 68,400,998 | ||||||
1.25%, 10/31/2021 | 36,708,000 | 35,559,884 | ||||||
2.00%, 10/31/2021 | 15,000,000 | 15,028,620 | ||||||
8.00%, 11/15/2021 | 4,414,000 | 5,648,309 | ||||||
1.75%, 11/30/2021 | 33,037,000 | 32,757,705 | ||||||
1.88%, 11/30/2021 | 10,000 | 9,963 | ||||||
2.00%, 12/31/2021 | 19,000,000 | 19,050,483 | ||||||
1.50%, 01/31/2022 | 1,250,000 | 1,220,514 | ||||||
1.75%, 03/31/2022 | 43,475,000 | 42,850,829 | ||||||
1.75%, 05/15/2022 | 2,000,000 | 1,968,522 | ||||||
2.13%, 06/30/2022 | 2,000,000 | 2,004,874 |
Principal Amount | Value | |||||||
2.00%, 07/31/2022 | 8,500,000 | 8,459,574 | ||||||
2.00%, 02/15/2023 | 500,000 | 495,307 | ||||||
1.50%, 02/28/2023 | 2,148,000 | 2,063,519 | ||||||
1.63%, 04/30/2023 | 13,100,000 | 12,655,124 | ||||||
1.75%, 05/15/2023 | 9,000,000 | 8,755,461 | ||||||
2.50%, 08/15/2023 | 1,000,000 | 1,016,525 | ||||||
2.13%, 11/30/2023 | 11,470,000 | 11,379,857 | ||||||
0.00%, 12/31/2023 | 4,660,000 | 4,662,731 | ||||||
2.75%, 02/15/2024 | 1,000,000 | 1,031,544 | ||||||
2.50%, 05/15/2024 | 72,150,000 | 73,136,723 | ||||||
2.38%, 08/15/2024 | 4,000,000 | 4,013,376 | ||||||
2.25%, 11/15/2025 | 68,700,000 | 67,720,475 | ||||||
1.63%, 05/15/2026 | 31,395,000 | 29,229,844 | ||||||
1.50%, 08/15/2026 | 11,095,000 | 10,187,873 | ||||||
2.00%, 11/15/2026 | 38,394,000 | 36,880,892 | ||||||
5.25%, 11/15/2028 | 19,540,500 | 24,835,350 | ||||||
5.38%, 02/15/2031 | 1,312,000 | 1,744,400 | ||||||
4.75%, 02/15/2037 | 28,202,000 | 36,641,900 | ||||||
4.38%, 02/15/2038 | 10,000,000 | 12,404,640 | ||||||
3.50%, 02/15/2039 | 98,799,100 | 107,845,738 | ||||||
4.25%, 05/15/2039 | 6,800,000 | 8,241,083 | ||||||
4.50%, 08/15/2039 | 4,706,000 | 5,899,183 | ||||||
4.38%, 11/15/2039 | 7,900,000 | 9,734,656 | ||||||
4.63%, 02/15/2040 | 3,000,000 | 3,827,058 | ||||||
4.38%, 05/15/2040 | 7,600,000 | 9,372,814 | ||||||
3.88%, 08/15/2040 | 4,380,000 | 5,019,568 | ||||||
4.25%, 11/15/2040 | 9,150,000 | 11,088,180 | ||||||
4.75%, 02/15/2041 | 8,315,000 | 10,820,975 | ||||||
4.38%, 05/15/2041 | 1,500,000 | 1,852,507 | ||||||
2.88%, 05/15/2043(4) | 71,700,000 | 69,106,181 | ||||||
3.00%, 11/15/2044 | 1,425,000 | 1,404,517 | ||||||
3.00%, 05/15/2045 | 52,943,000 | 52,107,507 | ||||||
2.88%, 08/15/2045 | 21,053,000 | 20,212,017 | ||||||
3.00%, 11/15/2045 | 11,563,000 | 11,378,212 | ||||||
2.50%, 02/15/2046 | 3,455,000 | 3,062,564 | ||||||
2.50%, 05/15/2046 | 2,940,000 | 2,606,225 | ||||||
2.25%, 08/15/2046 | 10,748,000 | 9,014,036 | ||||||
2.88%, 11/15/2046 | 3,835,000 | 3,693,469 |
Principal Amount | Value | |||||||
U.S. Treasury Strip Coupon | ||||||||
0.00%, 08/15/2017 | 4,176,000 | 4,156,256 | ||||||
0.00%, 11/15/2017 | 9,529,000 | 9,453,778 | ||||||
0.00%, 02/15/2018 | 3,658,000 | 3,616,028 | ||||||
0.00%, 08/15/2018 | 10,000,000 | 9,816,810 | ||||||
0.00%, 11/15/2018 | 500,000 | 488,984 | ||||||
0.00%, 05/15/2019 | 20,278,000 | 19,642,123 | ||||||
0.00%, 08/15/2019 | 22,357,000 | 21,528,852 | ||||||
0.00%, 11/15/2019 | 7,500,000 | 7,185,023 | ||||||
0.00%, 02/15/2020 | 6,078,000 | 5,785,198 | ||||||
0.00%, 05/15/2020 | 39,615,000 | 37,462,757 | ||||||
0.00%, 08/15/2020 | 25,243,000 | 23,716,934 | ||||||
0.00%, 02/15/2021 | 14,550,000 | 13,459,958 | ||||||
0.00%, 05/15/2021 | 14,843,000 | 13,637,852 | ||||||
0.00%, 08/15/2021 | 9,469,000 | 8,626,382 | ||||||
0.00%, 11/15/2021 | 11,144,000 | 10,085,454 | ||||||
0.00%, 02/15/2022 | 33,917,000 | 30,456,618 | ||||||
0.00%, 05/15/2022 | 18,154,000 | 16,178,318 | ||||||
0.00%, 08/15/2022 | 12,500,000 | 11,056,875 | ||||||
0.00%, 11/15/2022 | 17,400,000 | 15,286,300 | ||||||
0.00%, 02/15/2023 | 61,562,000 | 53,623,088 | ||||||
0.00%, 05/15/2023 | 33,770,000 | 29,176,875 | ||||||
0.00%, 08/15/2023 | 19,635,000 | 16,843,747 | ||||||
0.00%, 11/15/2023 | 9,300,000 | 7,915,686 | ||||||
0.00%, 02/15/2024 | 6,124,000 | 5,170,328 | ||||||
0.00%, 05/15/2024 | 1,322,000 | 1,107,869 | ||||||
0.00%, 08/15/2024 | 1,834,000 | 1,525,239 | ||||||
0.00%, 11/15/2024 | 6,105,000 | 5,034,073 | ||||||
0.00%, 02/15/2025 | 799,000 | 652,614 | ||||||
0.00%, 05/15/2025 | 3,279,000 | 2,655,174 | ||||||
0.00%, 08/15/2025 | 1,360,000 | 1,092,967 | ||||||
0.00%, 02/15/2026 | 1,000,000 | 787,816 | ||||||
0.00%, 05/15/2026 | 3,801,000 | 2,974,598 | ||||||
0.00%, 08/15/2026 | 1,681,000 | 1,305,389 | ||||||
0.00%, 11/15/2026 | 10,222,000 | 7,858,571 | ||||||
0.00%, 02/15/2027 | 20,416,000 | 15,591,883 |
Principal Amount | Value | |||||||
0.00%, 05/15/2027 | 1,866,000 | 1,414,693 | ||||||
0.00%, 08/15/2027 | 4,314,000 | 3,236,009 | ||||||
0.00%, 11/15/2027 | 7,702,000 | 5,731,697 | ||||||
0.00%, 02/15/2028 | 7,769,000 | 5,736,008 | ||||||
0.00%, 05/15/2028 | 3,071,000 | 2,244,956 | ||||||
0.00%, 08/15/2028 | 6,918,000 | 5,020,123 | ||||||
0.00%, 11/15/2028 | 7,540,000 | 5,420,725 | ||||||
0.00%, 02/15/2029 | 7,537,000 | 5,373,406 | ||||||
0.00%, 05/15/2029 | 1,330,000 | 941,625 | ||||||
0.00%, 08/15/2029 | 4,738,000 | 3,326,820 | ||||||
0.00%, 11/15/2029 | 5,164,000 | 3,600,904 | ||||||
0.00%, 02/15/2030 | 15,187,000 | 10,495,143 | ||||||
0.00%, 05/15/2030 | 8,464,000 | 5,804,086 | ||||||
0.00%, 08/15/2030 | 13,772,000 | 9,373,223 | ||||||
0.00%, 11/15/2030 | 11,064,000 | 7,452,899 | ||||||
0.00%, 02/15/2031 | 9,298,000 | 6,222,640 | ||||||
0.00%, 05/15/2031 | 9,225,000 | 6,098,749 | ||||||
0.00%, 08/15/2031 | 11,262,000 | 7,391,498 | ||||||
0.00%, 11/15/2031 | 8,399,000 | 5,458,082 | ||||||
0.00%, 02/15/2032 | 15,909,000 | 10,241,991 | ||||||
0.00%, 05/15/2032 | 24,453,000 | 15,623,584 | ||||||
0.00%, 08/15/2032 | 10,925,000 | 6,925,707 | ||||||
0.00%, 11/15/2032 | 9,612,000 | 6,040,633 | ||||||
0.00%, 02/15/2033 | 3,000,000 | 1,867,485 | ||||||
0.00%, 05/15/2033 | 10,845,000 | 6,691,126 | ||||||
0.00%, 08/15/2033 | 4,212,000 | 2,579,808 | ||||||
0.00%, 11/15/2033 | 7,216,000 | 4,377,579 | ||||||
0.00%, 02/15/2034 | 11,759,000 | 7,073,156 | ||||||
0.00%, 05/15/2034 | 9,700,000 | 5,772,354 | ||||||
0.00%, 08/15/2034 | 6,895,000 | 4,083,550 | ||||||
0.00%, 11/15/2034 | 3,492,000 | 2,044,049 | ||||||
0.00%, 02/15/2035 | 1,824,000 | 1,057,648 | ||||||
0.00%, 05/15/2035 | 1,920,000 | 1,103,940 | ||||||
0.00%, 08/15/2035 | 175,000 | 99,847 | ||||||
0.00%, 05/15/2036 | 121,000 | 67,239 | ||||||
0.00%, 08/15/2041 | 1,225,000 | 555,573 |
Principal Amount | Value | |||||||
U.S. Treasury Strip Principal | ||||||||
0.00%, 05/15/2044 | 16,765,000 | 7,090,790 | ||||||
0.00%, 05/15/2045 | 5,605,000 | 2,286,868 | ||||||
University of California | ||||||||
4.77%, 05/15/2115 | 2,188,000 | 2,091,859 | ||||||
West Contra Costa Unified School District | ||||||||
6.25%, 08/01/2030 | 215,000 | 260,346 | ||||||
Westlake City School District | ||||||||
5.23%, 12/01/2026 | 430,000 | 439,056 | ||||||
|
| |||||||
Total Government Related (Cost $2,250,101,422) | $ | 2,246,665,409 | ||||||
|
| |||||||
Mortgage-Backed Obligations – 34.62% | ||||||||
A10 Securitization 2013-1 LLC | ||||||||
2.40%, 11/15/2025 (Acquired 10/28/2013, Cost $14,126) (1) | 14,152 | $ | 14,150 | |||||
A10 Securitization 2015-1 LLC | ||||||||
2.10%, 04/17/2034 (Acquired 04/24/2015, Cost $888,037) (1) | 888,109 | 884,991 | ||||||
3.13%, 04/17/2034 (Acquired 04/24/2015, Cost $861,995) (1) | 862,000 | 867,677 | ||||||
A10 Term Asset Financing 2013-2 LLC | ||||||||
4.38%, 11/15/2027 (Acquired 10/30/2013, Cost $424,908) (1) | 425,000 | 421,685 | ||||||
A10 Term Asset Financing 2014-1 LLC | ||||||||
1.72%, 04/15/2033 (Acquired 06/04/2014 through 01/20/2015, Cost $55,306) (1) | 55,348 | 55,314 | ||||||
3.02%, 04/15/2033 (Acquired 06/04/2014, Cost $1,806,808) (1) | 1,807,000 | 1,793,385 | ||||||
Access Pt Fdg Trust 2016-1 | ||||||||
6.25%, 02/16/2021 (7)(8) | 2,291,009 | 2,288,610 | ||||||
Ajax Mortgage Loan Trust 2015-B | ||||||||
3.88%, 07/26/2060 (Acquired 06/24/2015, Cost $1,256,283) (1) | 1,258,701 | 1,257,342 | ||||||
Alternative Loan Trust 2002-11 | ||||||||
6.25%, 10/25/2032 | 3,241 | 3,297 | ||||||
Alternative Loan Trust 2002-12 | ||||||||
0.00%, 11/25/2032 PO | 12,749 | 9,675 | ||||||
Alternative Loan Trust 2003-20CB | ||||||||
5.50%, 10/25/2033 | 454,696 | 457,626 | ||||||
Alternative Loan Trust 2003-22CB | ||||||||
6.00%, 12/25/2033 | 3,582,921 | 3,589,473 | ||||||
Alternative Loan Trust 2004-2CB | ||||||||
5.75%, 03/25/2034 | 960,350 | 954,497 | ||||||
Alternative Loan Trust 2004-8CB | ||||||||
1.12%, 06/25/2034 | 4,630,802 | 4,574,550 |
Principal Amount | Value | |||||||
Alternative Loan Trust 2005-1CB | ||||||||
6.52%, 03/25/2035 IO | 275,077 | 52,914 | ||||||
Alternative Loan Trust 2005-20CB | ||||||||
4.17%, 07/25/2035 IO | 897,166 | 97,648 | ||||||
Alternative Loan Trust 2005-22T1 | ||||||||
4.49%, 06/25/2035 IO | 882,267 | 124,383 | ||||||
Alternative Loan Trust 2005-28CB | ||||||||
5.50%, 08/25/2035 | 379,636 | 366,305 | ||||||
6.00%, 08/25/2035 | 11,915 | 8,868 | ||||||
Alternative Loan Trust 2005-37T1 | ||||||||
4.47%, 09/25/2035 IO | 3,050,668 | 439,634 | ||||||
Alternative Loan Trust 2005-50CB | ||||||||
5.00%, 11/25/2020 | 43,340 | 43,297 | ||||||
Alternative Loan Trust 2005-54CB | ||||||||
4.27%, 11/25/2035 IO | 1,552,100 | 177,878 | ||||||
5.50%, 11/25/2035 | 392,877 | 364,035 | ||||||
5.50%, 11/25/2035 | 4,987 | 5,045 | ||||||
Alternative Loan Trust 2005-64CB | ||||||||
5.50%, 12/25/2035 | 161,402 | 149,031 | ||||||
Alternative Loan Trust 2005-J1 | ||||||||
4.34%, 02/25/2035 IO | 290,274 | 12,473 | ||||||
Alternative Loan Trust 2006-28CB | ||||||||
6.00%, 10/25/2036 | 97,141 | 77,628 | ||||||
Alternative Loan Trust 2006-43CB | ||||||||
6.00%, 02/25/2022 | 24,557 | 24,749 | ||||||
Alternative Loan Trust 2006-7CB | ||||||||
5.25%, 05/25/2021 | 125,598 | 121,570 | ||||||
Alternative Loan Trust 2006-J5 | ||||||||
4.57%, 07/25/2021 | 42,157 | 39,804 | ||||||
American General Mortgage Loan Trust 2006-1 | ||||||||
5.75%, 12/25/2035 (Acquired 10/28/2013, Cost $32,769) (1) | 32,089 | 33,049 | ||||||
American General Mortgage Loan Trust 2010-1 | ||||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $35,177) (1) | 34,362 | 34,309 | ||||||
Angel Oak Mortgage Trust LLC 2015-1 | ||||||||
4.50%, 11/27/2045 (Acquired 12/10/2015, Cost $954,592) (1) | 956,440 | 961,979 | ||||||
ASG Resecuritization Trust 2009-1 | ||||||||
2.58%, 06/26/2037 (Acquired 10/28/2013 through 3/03/2014, Cost $77,879) (1) | 78,275 | 77,938 |
Principal Amount | Value | |||||||
ASG Resecuritization Trust 2009-3 | ||||||||
2.47%, 03/26/2037 (Acquired 10/28/2013, Cost $748,018) (1) | 747,158 | 743,271 | ||||||
ASG Resecuritization Trust 2010-2 | ||||||||
2.06%, 01/28/2037 (Acquired 10/28/2013, Cost $214,384) (1) | 216,986 | 215,480 | ||||||
ASG Resecuritization Trust 2011-1 | ||||||||
3.30%, 11/29/2035 (Acquired 10/28/2013, Cost $349,675) (1) | 353,911 | 349,609 | ||||||
6.00%, 09/30/2036 (Acquired 10/28/2013, Cost $466,230) (1) | 454,927 | 377,438 | ||||||
Assurant Commercial Mortgage Trust 2016-1 | ||||||||
3.17%, 05/17/2049 (Acquired 05/13/2016, Cost $9,358,693) (1) | 9,100,000 | 8,947,059 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/12/2030 (Acquired 10/28/2013 through 09/26/2016, Cost $4,045,512) (1) | 3,927,000 | 3,944,735 | ||||||
BAMLL Commercial Mortgage Securities Trust 2014-520M | ||||||||
4.21%, 08/16/2046 (Acquired 08/01/2014, Cost $1,152,817) (1) | 1,200,000 | 1,141,477 | ||||||
Banc of America Alternative Loan Trust 2003-11 | ||||||||
4.75%, 01/25/2019 | 7,050 | 7,071 | ||||||
0.00%, 01/25/2034 PO | 39,988 | 31,508 | ||||||
6.00%, 01/25/2034 | 309,163 | 317,007 | ||||||
6.00%, 01/25/2034 | 349,928 | 358,247 | ||||||
Banc of America Alternative Loan Trust 2004-1 | ||||||||
5.50%, 02/25/2019 | 27,514 | 27,524 | ||||||
6.00%, 02/25/2034 | 85,930 | 91,200 | ||||||
Banc of America Alternative Loan Trust 2004-11 | ||||||||
5.50%, 12/25/2019 | 7,381 | 7,471 | ||||||
Banc of America Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2034 PO | 8,849 | 8,332 | ||||||
Banc of America Alternative Loan Trust 2004-7 | ||||||||
5.00%, 08/25/2019 | 128,569 | 129,993 | ||||||
Banc of America Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 55,162 | 54,161 | ||||||
Banc of America Alternative Loan Trust 2005-10 | ||||||||
5.25%, 11/25/2020 | 26,566 | 26,770 | ||||||
Banc of America Alternative Loan Trust 2005-11 | ||||||||
5.50%, 12/25/2035 | 19,208 | 17,581 | ||||||
Banc of America Alternative Loan Trust 2005-2 | ||||||||
5.50%, 03/25/2020 | 11,145 | 11,265 | ||||||
5.50%, 03/25/2035 | 11,447 | 10,414 | ||||||
Banc of America Alternative Loan Trust 2005-4 | ||||||||
5.50%, 05/25/2020 | 69,187 | 68,612 |
Principal Amount | Value | |||||||
Banc of America Alternative Loan Trust 2005-5 | ||||||||
5.50%, 06/25/2035 | 63,835 | 59,505 | ||||||
Banc of America Alternative Loan Trust 2005-9 | ||||||||
5.50%, 10/25/2035 | 28,432 | 27,711 | ||||||
Banc of America Alternative Loan Trust 2006-5 | ||||||||
6.00%, 06/25/2046 | 62,411 | 54,305 | ||||||
Banc of America Alternative Loan Trust 2007-1 | ||||||||
5.78%, 04/25/2022 | 67,449 | 64,739 | ||||||
Banc of America Commercial Mortgage Trust 2006-3 | ||||||||
5.89%, 07/10/2044 | 23,837 | 23,804 | ||||||
Banc of America Commercial Mortgage Trust 2006-5 | ||||||||
0.70%, 09/10/2047 IO (Acquired 10/28/2013, Cost $261,208) (1) | 1,728,069 | 4,035 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.36%, 02/10/2051 | 7,011,387 | 7,139,827 | ||||||
5.49%, 02/10/2051 | 2,807,634 | 2,855,913 | ||||||
Banc of America Funding 2004-1 Trust | ||||||||
0.00%, 03/25/2034 PO | 43,951 | 34,866 | ||||||
Banc of America Funding 2004-2 Trust | ||||||||
5.75%, 09/20/2034 | 3,420,517 | 3,538,060 | ||||||
Banc of America Funding 2004-C Trust | ||||||||
3.19%, 12/20/2034 | 99,032 | 97,011 | ||||||
Banc of America Funding 2005-6 Trust | ||||||||
5.50%, 10/25/2035 | 55,165 | 52,566 | ||||||
Banc of America Funding 2005-7 Trust | ||||||||
0.00%, 11/25/2035 PO | 42,878 | 32,903 | ||||||
Banc of America Funding 2005-8 Trust | ||||||||
0.00%, 01/25/2036 PO | 15,403 | 11,329 | ||||||
Banc of America Funding 2005-C Trust | ||||||||
0.98%, 05/20/2035 | 5,301,965 | 4,919,871 | ||||||
Banc of America Funding 2005-E Trust | ||||||||
3.07%, 03/20/2035 | 99,713 | 100,046 | ||||||
Banc of America Funding 2006-1 Trust | ||||||||
0.00%, 01/25/2036 PO | 27,864 | 21,527 | ||||||
Banc of America Funding 2010-R11 Trust | ||||||||
5.00%, 08/28/2035 (Acquired 10/28/2013, Cost $164,765) (1) | 163,179 | 163,230 |
Principal Amount | Value | |||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc. | ||||||||
5.35%, 11/10/2042 | 92,092 | 92,003 | ||||||
4.73%, 07/10/2043 | 159,174 | 159,290 | ||||||
0.04%, 10/10/2045 IO (Acquired 10/28/2013, Cost $79,723) (1) | 4,813,296 | 1,029 | ||||||
Banc of America Mortgage 2003-C Trust | ||||||||
3.18%, 04/25/2033 | 23,766 | 23,945 | ||||||
Banc of America Mortgage 2003-E Trust | ||||||||
3.28%, 06/25/2033 | 161,829 | 161,225 | ||||||
Banc of America Mortgage 2004-J Trust | ||||||||
3.64%, 11/25/2034 | 83,468 | 82,079 | ||||||
Banc of America Mortgage Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 99 | 92 | ||||||
Banc of America Mortgage Trust 2004-4 | ||||||||
0.00%, 05/25/2034 PO | 4,336 | 3,640 | ||||||
Banc of America Mortgage Trust 2004-5 | ||||||||
4.75%, 06/25/2019 | 10,477 | 10,465 | ||||||
5.50%, 06/25/2034 | 63,146 | 63,841 | ||||||
Banc of America Mortgage Trust 2004-9 | ||||||||
0.00%, 09/25/2032 PO | 291 | 267 | ||||||
6.50%, 09/25/2032 | 28,201 | 29,208 | ||||||
Banc of America Mortgage Trust 2005-1 | ||||||||
5.00%, 02/25/2020 | 48,781 | 49,482 | ||||||
Banc of America Re-REMIC Trust 2009-UBER1 | ||||||||
5.68%, 06/24/2050 (Acquired 10/28/2013, Cost $150,382) (1) | 139,214 | 139,470 | ||||||
BB-UBS Trust | ||||||||
2.89%, 06/05/2030 (Acquired 10/28/2013, Cost $551,636) (1) | 568,000 | 560,638 | ||||||
BB-UBS Trust 2012-SHOW | ||||||||
3.43%, 11/07/2036 (Acquired 10/28/2013 through 12/04/2013, Cost $2,493,271) (1) | 2,602,000 | 2,629,390 | ||||||
BCAP LLC 2009-RR13-I Trust | ||||||||
5.50%, 04/26/2037 (Acquired 10/28/2013, Cost $68,856) (1) | 67,327 | 67,250 | ||||||
BCAP LLC 2009-RR14 Trust | ||||||||
2.90%, 08/26/2035 (Acquired 10/28/2013, Cost $184,638) (1) | 194,011 | 194,189 | ||||||
BCAP LLC 2009-RR5 Trust | ||||||||
5.50%, 11/28/2034 (Acquired 10/28/2013, Cost $174,186) (1)(8) | 172,492 | 176,913 | ||||||
BCAP LLC 2010-RR12 Trust | ||||||||
4.50%, 01/26/2036 (Acquired 10/28/2013 through 02/01/2015, Cost $43,711) (1) | 43,312 | 43,042 | ||||||
3.23%, 10/26/2036 (Acquired 10/28/2013, Cost $47,306) (1) | 47,023 | 46,809 | ||||||
BCAP LLC 2010-RR5-I Trust | ||||||||
5.40%, 04/28/2037 (Acquired 10/28/2013, Cost $48,021) (1) | 48,072 | 48,096 |
Principal Amount | Value | |||||||
BCAP LLC 2010-RR7 Trust | ||||||||
3.08%, 04/26/2035 (Acquired 10/28/2013, Cost $33,774) (1) | 34,203 | 34,020 | ||||||
2.73%, 07/26/2045 (Acquired 10/28/2013, Cost $1,203,767) (1) | 1,232,493 | 1,222,434 | ||||||
BCAP LLC 2010-RR8 Trust | ||||||||
3.09%, 05/29/2035 (Acquired 10/28/2013, Cost $225,647) (1) | 231,158 | 229,207 | ||||||
BCAP LLC 2011-RR10 Trust | ||||||||
1.50%, 09/26/2037 (Acquired 10/28/2013, Cost $384,465) (1) | 406,757 | 395,144 | ||||||
BCAP LLC 2011-RR11 Trust | ||||||||
4.00%, 08/26/2021 (Acquired 10/28/2013, Cost $64,039) (1) | 63,671 | 63,759 | ||||||
BCAP LLC 2011-RR4-I Trust | ||||||||
5.00%, 08/26/2037 (Acquired 10/28/2013, Cost $475,092) (1) | 473,585 | 476,219 | ||||||
BCAP LLC 2011-RR5-I Trust | ||||||||
0.74%, 05/28/2036 (Acquired 10/28/2013, Cost $66,025) (1) | 68,925 | 68,804 | ||||||
BCAP LLC 2012-RR1 Trust | ||||||||
11.36%, 07/28/2037 (Acquired 10/28/2013, Cost $155,220) (1) | 152,590 | 156,894 | ||||||
BCAP LLC 2012-RR10-I Trust | ||||||||
0.76%, 02/26/2037 (Acquired 10/28/2013, Cost $278,833) (1) | 289,602 | 282,351 | ||||||
BCAP LLC 2012-RR3 Trust | ||||||||
2.45%, 05/27/2037 (Acquired 10/28/2013, Cost $377,874) (1) | 381,072 | 380,236 | ||||||
BCAP LLC 2012-RR4 Trust | ||||||||
0.79%, 06/26/2047 (Acquired 10/28/2013, Cost $124,796) (1) | 129,750 | 128,194 | ||||||
Bear Stearns ALT-A Trust 2005-2 | ||||||||
1.26%, 03/25/2035 | 201,706 | 197,311 | ||||||
Bear Stearns ALT-A Trust 2005-7 | ||||||||
1.13%, 08/25/2035 | 4,221,004 | 4,165,254 | ||||||
Bear Stearns ARM Trust 2003-2 | ||||||||
2.81%, 01/25/2033 (Acquired 10/28/2013, Cost $159,461) (1) | 163,893 | 164,372 | ||||||
Bear Stearns ARM Trust 2003-7 | ||||||||
2.94%, 10/25/2033 | 23,248 | 22,810 | ||||||
Bear Stearns ARM Trust 2004-2 | ||||||||
3.31%, 05/25/2034 | 94,274 | 93,565 | ||||||
Bear Stearns ARM Trust 2005-5 | ||||||||
2.58%, 08/25/2035 | 518,977 | 521,553 | ||||||
Bear Stearns ARM Trust 2006-1 | ||||||||
2.91%, 02/25/2036 | 453,226 | 449,560 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | ||||||||
5.00%, 05/25/2034 | 70,706 | 70,197 |
Principal Amount | Value | |||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | ||||||||
0.53%, 12/11/2038 IO (Acquired 10/28/2013, Cost $259,887) (1) | 3,927,949 | 5,032 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | ||||||||
0.14%, 01/12/2045 IO (Acquired 10/28/2013, Cost $305,941) (1) | 39,947,680 | 19,998 | ||||||
CD 2006-CD3 Mortgage Trust | ||||||||
0.56%, 10/15/2048 IO (Acquired 10/28/2013, Cost $179,413) (1) | 3,367,640 | 42,860 | ||||||
CD 2007-CD4 Commercial Mortgage Trust | ||||||||
0.36%, 12/11/2049 IO (Acquired 10/28/2013, Cost $187,105) (1) | 7,300,850 | 1,772 | ||||||
CGBAM Commercial Mortgage Trust 2014-HD | ||||||||
1.34%, 02/15/2031 (Acquired 05/13/2014, Cost $747,820) (1) | 747,820 | 743,949 | ||||||
Chase Mortgage Finance Trust Series 2006-A1 | ||||||||
3.08%, 09/25/2036 | 240,005 | 215,393 | ||||||
Chase Mortgage Finance Trust Series 2007-A1 | ||||||||
3.04%, 02/25/2037 | 25,949 | 25,916 | ||||||
3.08%, 02/25/2037 | 184,656 | 184,284 | ||||||
3.14%, 02/25/2037 | 116,904 | 115,692 | ||||||
3.17%, 02/25/2037 | 92,196 | 91,057 | ||||||
Chase Mortgage Finance Trust Series 2007-A2 | ||||||||
3.11%, 06/25/2035 | 74,631 | 74,018 | ||||||
3.18%, 06/25/2035 | 112,085 | 111,472 | ||||||
CHL Mortgage Pass-Through Trust 2002-18 | ||||||||
0.00%, 11/25/2032 PO | 17,598 | 15,231 | ||||||
CHL Mortgage Pass-Through Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 51,153 | 51,291 | ||||||
5.75%, 04/25/2034 | 34,852 | 34,664 | ||||||
CHL Mortgage Pass-Through Trust 2004-5 | ||||||||
5.50%, 06/25/2034 | 227,904 | 235,258 | ||||||
CHL Mortgage Pass-Through Trust 2004-7 | ||||||||
2.95%, 06/25/2034 | 14,535 | 14,203 | ||||||
CHL Mortgage Pass-Through Trust 2004-8 | ||||||||
4.50%, 06/25/2019 | 54,258 | 55,131 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB1 | ||||||||
3.05%, 05/20/2034 | 25,709 | 24,384 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB3 | ||||||||
2.79%, 06/20/2034 | �� | 123,435 | 117,342 | |||||
CHL Mortgage Pass-Through Trust 2004-HYB6 | ||||||||
3.09%, 11/21/2034 | 78,099 | 74,829 |
Principal Amount | Value | |||||||
CHL Mortgage Pass-Through Trust 2004-J8 | ||||||||
4.75%, 11/25/2019 | 6,877 | 6,964 | ||||||
CHL Mortgage Pass-Through Trust 2005-14 | ||||||||
5.50%, 07/25/2035 | 38,439 | 36,837 | ||||||
CHL Mortgage Pass-Through Trust 2005-16 | ||||||||
5.50%, 09/25/2035 | 18,966 | 17,818 | ||||||
CHL Mortgage Pass-Through Trust 2005-22 | ||||||||
3.15%, 11/25/2035 | 296,719 | 243,299 | ||||||
Citicorp Mortgage Securities Trust Series 2006-1 | ||||||||
5.00%, 02/25/2021 | 13,958 | 14,338 | ||||||
Citicorp Mortgage Securities Trust Series 2006-4 | ||||||||
6.00%, 08/25/2036 | 91,466 | 91,304 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2.94%, 05/12/2049 | 10,100,000 | 9,862,254 | ||||||
Citigroup Commercial Mortgage Trust 2013-GC17 | ||||||||
4.13%, 11/13/2046 | 1,376,000 | 1,472,564 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC19 | ||||||||
3.75%, 03/12/2047 | 7,125,000 | 7,446,880 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||
3.58%, 05/10/2047 | 6,920,000 | 7,157,669 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC23 | ||||||||
3.36%, 07/12/2047 | 12,300,000 | 12,535,145 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC29 | ||||||||
2.94%, 04/10/2048 | 10,000,000 | 9,825,388 | ||||||
Citigroup Commercial Mortgage Trust 2016-GC37 | ||||||||
3.05%, 04/12/2049 | 13,750,000 | 13,499,482 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | ||||||||
3.72%, 12/10/2049 | 1,523,000 | 1,571,175 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. | ||||||||
0.00%, 12/25/2018 PO | 1,171 | 1,016 | ||||||
3.95%, 04/25/2032 (Acquired 10/28/2013, Cost $26,253) (1) | 26,567 | 26,343 | ||||||
7.00%, 06/25/2033 | 28,572 | 28,939 | ||||||
3.24%, 09/25/2033 | 197,811 | 196,164 | ||||||
Citigroup Mortgage Loan Trust 2008-AR4 | ||||||||
3.00%, 02/25/2047 (Acquired 10/28/2013, Cost $460,198) (1) | 456,843 | 455,303 |
Principal Amount | Value | |||||||
Citigroup Mortgage Loan Trust 2009-10 | ||||||||
2.78%, 09/25/2033 (Acquired 10/28/2013, Cost $486,865) (1) | 482,410 | 485,651 | ||||||
7.00%, 12/25/2035 (Acquired 10/28/2013, Cost $283,917) (1) | 277,831 | 284,845 | ||||||
Citigroup Mortgage Loan Trust 2009-11 | ||||||||
5.75%, 05/25/2037 (Acquired 10/28/2013, Cost $216,248) (1) | 213,388 | 214,823 | ||||||
Citigroup Mortgage Loan Trust 2009-5 | ||||||||
6.00%, 06/25/2036 (Acquired 10/28/2013, Cost $122,855) (1) | 121,634 | 122,576 | ||||||
Citigroup Mortgage Loan Trust 2009-8 | ||||||||
6.00%, 11/25/2036 (Acquired 10/28/2013, Cost $73,959) (1) | 72,358 | 73,693 | ||||||
Citigroup Mortgage Loan Trust 2010-10 | ||||||||
3.48%, 02/25/2036 (Acquired 10/28/2013, Cost $175,830) (1) | 174,925 | 176,015 | ||||||
Citigroup Mortgage Loan Trust 2010-3 | ||||||||
2.91%, 02/25/2036 (Acquired 10/28/2013, Cost $42,161) (1) | 42,080 | 41,746 | ||||||
Citigroup Mortgage Loan Trust 2010-7 | ||||||||
2.80%, 02/25/2035 (Acquired 10/28/2013, Cost $26,222) (1) | 26,034 | 25,906 | ||||||
Citigroup Mortgage Loan Trust 2010-8 | ||||||||
4.00%, 11/25/2036 (Acquired 10/28/2013, Cost $29,403) (1) | 29,293 | 29,254 | ||||||
4.50%, 12/25/2036 (Acquired 10/28/2013, Cost $179,343) (1) | 177,257 | 177,192 | ||||||
Citigroup Mortgage Loan Trust 2015-A | ||||||||
4.50%, 06/25/2058 (Acquired 03/31/2015, Cost $475,665) (1) | 481,895 | 466,374 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
0.00%, 12/25/2018 PO | 3,994 | 3,916 | ||||||
0.00%, 12/25/2018 PO | 1,454 | 1,411 | ||||||
5.50%, 12/25/2018 | 18,164 | 18,188 | ||||||
0.00%, 09/25/2033 PO | 9,232 | 8,290 | ||||||
7.00%, 09/25/2033 | 8,228 | 8,350 | ||||||
0.00%, 10/25/2033 PO | 7,499 | 6,106 | ||||||
5.25%, 10/25/2033 | 50,568 | 51,154 | ||||||
1.14%, 12/25/2033 | 44,243 | 43,476 | ||||||
2.80%, 08/25/2034 | 55,091 | 52,934 | ||||||
2.86%, 03/25/2035 | 36,416 | 26,704 | ||||||
5.50%, 05/25/2035 | 174,100 | 177,897 | ||||||
3.77%, 08/25/2035 | 105,912 | 71,205 | ||||||
6.00%, 10/25/2035 | 4,455,451 | 4,406,876 | ||||||
5.50%, 11/25/2035 | 17,212 | 17,287 | ||||||
COBALT CMBS Commercial Mortgage Trust 2006-C1 | ||||||||
0.79%, 08/17/2048 IO (8) | 1,397,933 | 42,301 | ||||||
COMM 2012-CCRE1 Mortgage Trust | ||||||||
3.39%, 05/17/2045 | 4,035,538 | 4,204,556 |
Principal Amount | Value | |||||||
COMM 2012-CCRE2 Mortgage Trust | ||||||||
1.73%, 08/17/2045 IO | 3,012,793 | 219,796 | ||||||
3.15%, 08/17/2045 | 9,614,464 | 9,905,593 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/12/2030 (Acquired 01/22/2016, Cost $529,662) (1) | 516,000 | 557,693 | ||||||
COMM 2013-CCRE10 Mortgage Trust | ||||||||
3.92%, 08/10/2046 | 4,125,000 | 4,376,259 | ||||||
COMM 2013-CCRE11 Mortgage Trust | ||||||||
3.98%, 08/12/2050 | 1,770,000 | 1,873,818 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
3.77%, 10/15/2046 | 7,700,000 | 8,087,981 | ||||||
COMM 2013-CCRE9 Mortgage Trust | ||||||||
4.02%, 07/12/2045 | 4,000,000 | 4,264,843 | ||||||
4.23%, 07/12/2045 | 2,220,109 | 2,403,800 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
2.99%, 04/13/2035 (Acquired 10/28/2013, Cost $682,644) (1) | 708,000 | 704,955 | ||||||
COMM 2014-CCRE15 Mortgage Trust | ||||||||
2.93%, 02/12/2047 | 6,100,000 | 6,227,062 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
3.80%, 08/12/2047 | 5,000,000 | 5,231,271 | ||||||
COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.33%, 11/13/2047 | 12,000,000 | 12,199,396 | ||||||
COMM 2014-PAT Mortgage Trust | ||||||||
1.48%, 08/13/2027 (Acquired 09/18/2014, Cost $1,649,000) (1) | 1,649,000 | 1,644,856 | ||||||
COMM 2014-TWC Mortgage Trust | ||||||||
1.53%, 02/13/2032 (Acquired 01/30/2014 through 08/12/2014, Cost $3,250,560) (1) | 3,250,000 | 3,250,000 | ||||||
2.20%, 02/13/2032 (Acquired 08/12/2014, Cost $1,001,482) (1) | 1,000,000 | 1,000,000 | ||||||
COMM 2014-UBS4 Mortgage Trust | ||||||||
2.96%, 08/12/2047 | 11,000,000 | 11,207,413 | ||||||
COMM 2015-3BP Mortgage Trust | ||||||||
3.18%, 02/12/2035 (Acquired 10/14/2016, Cost $50,883) (1) | 49,000 | 48,917 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.43%, 08/10/2055 | 7,500,000 | 7,641,169 | ||||||
3.70%, 08/10/2055 | 770,833 | 798,930 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
3.76%, 08/10/2048 | 4,456,000 | 4,642,640 |
Principal Amount | Value | |||||||
3.51%, 08/12/2048 | 13,200,000 | 13,526,111 | ||||||
COMM 2015-LC21 Mortgage Trust | ||||||||
3.71%, 07/10/2048 | 1,206,336 | 1,250,573 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
3.90%, 07/10/2050 | 88,000 | 91,821 | ||||||
Commercial Mortgage Trust | ||||||||
2.94%, 01/12/2046 | 619,000 | 625,589 | ||||||
Commercial Mortgage Trust 2006-GG7 | ||||||||
5.76%, 07/10/2038 | 133,510 | 133,469 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | ||||||||
0.07%, 01/15/2049 IO (Acquired 10/28/2013, Cost $69,640) (1) | 11,291,347 | 41 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
4.50%, 10/25/2018 | 2,693 | 2,680 | ||||||
5.00%, 10/25/2018 | 13,328 | 13,344 | ||||||
0.00%, 08/25/2019 PO | 967 | 961 | ||||||
5.25%, 08/25/2019 | 54,650 | 55,308 | ||||||
6.74%, 02/25/2033 | 121,837 | 123,847 | ||||||
3.21%, 06/25/2033 | 64,192 | 63,153 | ||||||
5.25%, 07/25/2033 | 2,996,136 | 3,077,911 | ||||||
5.25%, 09/25/2033 | 113,642 | 116,523 | ||||||
0.00%, 10/25/2033 PO | 77,545 | 65,131 | ||||||
5.25%, 11/25/2033 | 66,300 | 67,079 | ||||||
5.25%, 11/25/2033 | 161,875 | 163,530 | ||||||
5.75%, 11/25/2033 | 370,552 | 387,087 | ||||||
5.50%, 09/25/2034 | 104,226 | 108,841 | ||||||
5.50%, 12/25/2034 | 170,318 | 177,498 | ||||||
0.00%, 10/25/2035 PO | 24,279 | 17,585 | ||||||
5.50%, 10/25/2035 IO | 361,114 | 14,799 | ||||||
0.00%, 11/25/2035 PO | 17,931 | 11,204 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
6.00%, 01/27/2038 (Acquired 10/28/2013, Cost $77,997) (1) | 76,997 | 77,460 | ||||||
CSAIL 2015-C4 Commercial Mortgage Trust | ||||||||
3.54%, 11/18/2048 | 7,500,000 | 7,663,009 | ||||||
CSAIL 2016-C7 Commercial Mortgage Trust | ||||||||
3.50%, 11/18/2049 | 1,576,000 | 1,577,631 | ||||||
CSMC 2014-USA OA LLC | ||||||||
3.95%, 09/17/2037 (Acquired 10/15/2015, Cost $1,205,757) (1) | 1,145,000 | 1,166,644 |
Principal Amount | Value | |||||||
CSMC 2016-12R 1A1 MTGE | ||||||||
3.24%, 02/28/2047 (8) | 9,610,000 | 9,610,000 | ||||||
CSMC Series 2010-11R | ||||||||
1.60%, 06/28/2047 (Acquired 10/28/2013, Cost $2,284,418) (1) | 2,361,578 | 2,343,419 | ||||||
CSMC Series 2010-17R | ||||||||
2.97%, 06/26/2036 (Acquired 10/28/2013, Cost $218,655) (1) | 215,112 | 216,700 | ||||||
CSMC Series 2011-16R | ||||||||
2.77%, 12/27/2036 (Acquired 10/28/2013, Cost $233,668) (1) | 231,938 | 232,099 | ||||||
CSMC Series 2011-6R | ||||||||
3.24%, 07/30/2036 (Acquired 10/28/2013, Cost $55,309) (1) | 55,746 | 55,813 | ||||||
CSMC Series 2012-2R | ||||||||
2.85%, 03/27/2047 (Acquired 10/28/2013, Cost $106,706) (1) | 109,458 | 109,226 | ||||||
CSMC Series 2012-3R | ||||||||
2.77%, 07/29/2037 (Acquired 10/28/2013, Cost $107,158) (1) | 107,306 | 107,420 | ||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||
1.14%, 07/10/2044 IO (Acquired 10/28/2013, Cost $205,669) (1) | 2,737,242 | 99,579 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1 | ||||||||
5.86%, 02/25/2020 | 57,649 | 58,188 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3 | ||||||||
4.97%, 06/25/2020 | 75,985 | 75,813 | ||||||
Deutsche Mortgage Sec, Inc. Mort Loan Tr Ser 2004-1 | ||||||||
0.00%, 10/25/2018 PO | 1,348 | 1,333 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4 | ||||||||
6.00%, 04/25/2034 | 1,507 | 1,534 | ||||||
Fannie Mae Grantor Trust 1999-T2 | ||||||||
7.50%, 01/19/2039 | 116,568 | 131,032 | ||||||
Fannie Mae Grantor Trust 2001-T3 | ||||||||
7.50%, 11/25/2040 | 164,921 | 194,051 | ||||||
Fannie Mae Grantor Trust 2002-T16 | ||||||||
7.00%, 07/25/2042 | 170,705 | 199,910 | ||||||
Fannie Mae Grantor Trust 2004-T1 | ||||||||
6.50%, 01/25/2044 | 47,176 | 54,502 | ||||||
Fannie Mae Grantor Trust 2004-T2 | ||||||||
3.73%, 07/25/2043 | 211,602 | 224,703 | ||||||
7.50%, 11/25/2043 | 350,992 | 410,734 | ||||||
Fannie Mae Grantor Trust 2004-T3 | ||||||||
9.16%, 01/25/2044 | 46,684 | 55,420 |
Principal Amount | Value | |||||||
6.50%, 02/25/2044 | 516,300 | 571,657 | ||||||
7.00%, 02/25/2044 | 203,166 | 233,430 | ||||||
Fannie Mae Interest Strip | ||||||||
4.50%, 07/01/2018 IO | 16,777 | 384 | ||||||
4.50%, 08/01/2018 IO | 23,546 | 441 | ||||||
5.50%, 08/01/2018 IO | 10,493 | 202 | ||||||
10.50%, 03/01/2019 IO | 48 | 3 | ||||||
4.50%, 11/01/2020 IO | 4,900 | 190 | ||||||
7.50%, 04/01/2023 IO | 1,461 | 249 | ||||||
9.00%, 03/01/2024 | 1,150 | 1,337 | ||||||
0.00%, 09/01/2024 PO | 114,466 | 106,281 | ||||||
0.00%, 01/01/2033 PO | 16,048 | 13,904 | ||||||
5.00%, 12/01/2033 IO | 20,849 | 4,110 | ||||||
5.50%, 05/01/2036 IO | 84,167 | 18,437 | ||||||
5.50%, 08/01/2036 IO | 55,355 | 12,737 | ||||||
5.50%, 04/25/2037 IO | 22,570 | 4,204 | ||||||
6.00%, 01/01/2038 IO | 57,730 | 11,070 | ||||||
1.26%, 08/01/2042 | 1,056,007 | 1,051,468 | ||||||
1.31%, 08/01/2042 | 2,917,159 | 2,914,264 | ||||||
Fannie Mae Pool | ||||||||
5.50%, 03/01/2017 | 394 | 395 | ||||||
6.50%, 03/01/2017 | 179 | 179 | ||||||
7.00%, 03/01/2017 | 199 | 199 | ||||||
7.00%, 03/01/2017 | 83 | 83 | ||||||
7.00%, 05/01/2017 | 198 | 199 | ||||||
7.00%, 06/01/2017 | 154 | 155 | ||||||
7.00%, 06/01/2017 | 83 | 83 | ||||||
3.39%, 08/01/2017 | 274,000 | 275,054 | ||||||
6.00%, 08/01/2017 | 437 | 439 | ||||||
6.50%, 08/01/2017 | 357 | 358 | ||||||
5.50%, 09/01/2017 | 982 | 990 | ||||||
7.00%, 09/01/2017 | 488 | 491 | ||||||
2.62%, 10/01/2017 | 599,000 | 601,341 | ||||||
2.69%, 10/01/2017 | 381,574 | 383,165 | ||||||
5.90%, 10/01/2017 | 1,517,517 | 1,561,701 | ||||||
6.50%, 10/01/2017 | 346 | 347 | ||||||
6.00%, 11/01/2017 | 371 | 372 |
Principal Amount | Value | |||||||
6.00%, 11/01/2017 | 2,801 | 2,822 | ||||||
6.50%, 11/01/2017 | 84 | 84 | ||||||
7.00%, 11/01/2017 | 19 | 20 | ||||||
3.38%, 01/01/2018 | 1,032,000 | 1,043,456 | ||||||
3.52%, 01/01/2018 | 620,111 | 627,690 | ||||||
3.63%, 01/01/2018 | 310,000 | 313,999 | ||||||
5.50%, 02/01/2018 | 10,812 | 10,955 | ||||||
5.50%, 02/01/2018 | 6,250 | 6,355 | ||||||
3.80%, 03/01/2018 | 563,345 | 573,213 | ||||||
6.00%, 03/01/2018 | 755 | 760 | ||||||
6.50%, 03/01/2018 | 625 | 626 | ||||||
5.00%, 04/01/2018 | 4,733 | 4,844 | ||||||
4.50%, 05/01/2018 | 2,490 | 2,559 | ||||||
5.00%, 05/01/2018 | 15,273 | 15,631 | ||||||
5.00%, 05/01/2018 | 7,225 | 7,394 | ||||||
6.00%, 05/01/2018 | 2,191 | 2,229 | ||||||
9.00%, 05/01/2018 | 92 | 92 | ||||||
3.74%, 06/01/2018 | 1,715,480 | 1,748,557 | ||||||
4.50%, 06/01/2018 | 3,782 | 3,887 | ||||||
5.00%, 06/01/2018 | 17,031 | 17,439 | ||||||
5.00%, 06/01/2018 | 10,721 | 10,972 | ||||||
5.00%, 06/01/2018 | 3,268 | 3,344 | ||||||
5.00%, 07/01/2018 | 20,522 | 21,019 | ||||||
4.50%, 08/01/2018 | 4,051 | 4,163 | ||||||
5.00%, 08/01/2018 | 10,874 | 11,128 | ||||||
5.00%, 09/01/2018 | 15,309 | 15,681 | ||||||
4.50%, 10/01/2018 | 9,034 | 9,284 | ||||||
5.00%, 10/01/2018 | 8,843 | 9,050 | ||||||
5.00%, 10/01/2018 | 8,920 | 9,129 | ||||||
4.50%, 11/01/2018 | 16,728 | 17,191 | ||||||
5.00%, 11/01/2018 | 22,364 | 22,888 | ||||||
5.00%, 11/01/2018 | 2,566 | 2,635 | ||||||
5.00%, 11/01/2018 | 10,683 | 10,934 | ||||||
3.04%, 12/01/2018 | 1,238,000 | 1,267,925 | ||||||
5.00%, 12/01/2018 | 43,285 | 44,300 | ||||||
5.00%, 12/01/2018 | 160 | 164 | ||||||
9.50%, 12/01/2018 | 544 | 554 |
Principal Amount | Value | |||||||
1.98%, 01/01/2019 | 258 | 264 | ||||||
6.00%, 01/01/2019 | 1,960 | 1,975 | ||||||
1.08%, 02/01/2019 | 4,637,745 | 4,639,235 | ||||||
2.28%, 03/01/2019 | 458 | 464 | ||||||
4.50%, 03/01/2019 | 14,498 | 14,899 | ||||||
6.00%, 03/01/2019 | 6,398 | 6,502 | ||||||
3.50%, 04/01/2019 | 15,524 | 16,169 | ||||||
5.00%, 04/01/2019 | 1,098 | 1,124 | ||||||
5.00%, 04/01/2019 | 44,273 | 45,409 | ||||||
10.56%, 04/15/2019 | 2,401 | 2,527 | ||||||
2.19%, 05/01/2019 | 943,182 | 951,483 | ||||||
4.50%, 05/01/2019 | 3,877 | 3,985 | ||||||
2.45%, 06/01/2019 | 1,578,188 | 1,600,066 | ||||||
4.50%, 06/01/2019 | 29,585 | 30,403 | ||||||
1.94%, 07/01/2019 | 1,283,176 | 1,286,858 | ||||||
2.20%, 07/01/2019 | 716,329 | 722,673 | ||||||
2.37%, 07/01/2019 | 1,548,000 | 1,576,010 | ||||||
5.50%, 07/01/2019 | 37,242 | 38,391 | ||||||
6.00%, 07/01/2019 | 978 | 986 | ||||||
2.03%, 08/01/2019 | 239,717 | 242,575 | ||||||
2.88%, 08/01/2019 | 83 | 83 | ||||||
5.50%, 08/01/2019 | 40,131 | 41,379 | ||||||
5.00%, 09/01/2019 | 1,227 | 1,258 | ||||||
5.50%, 09/01/2019 | 32,748 | 34,014 | ||||||
5.00%, 10/01/2019 | 8,691 | 9,014 | ||||||
6.00%, 10/01/2019 | 6,986 | 7,159 | ||||||
4.13%, 11/01/2019 | 877,000 | 926,784 | ||||||
4.24%, 11/01/2019 | 341,153 | 360,980 | ||||||
4.50%, 11/01/2019 | 19,391 | 19,927 | ||||||
4.50%, 11/01/2019 | 12,199 | 12,561 | ||||||
4.50%, 11/01/2019 | 6,527 | 6,720 | ||||||
1.47%, 12/01/2019 | 795,628 | 785,138 | ||||||
1.69%, 12/01/2019 | 1,032,000 | 1,023,630 | ||||||
4.18%, 12/01/2019 | 459,155 | 485,559 | ||||||
4.26%, 12/01/2019 | 922,936 | 978,094 | ||||||
4.50%, 12/01/2019 | 20,646 | 21,256 | ||||||
4.51%, 12/01/2019 | 1,750,247 | 1,858,498 |
Principal Amount | Value | |||||||
4.28%, 01/01/2020 | 1,823,139 | 1,933,168 | ||||||
4.54%, 01/01/2020 | 325,358 | 346,643 | ||||||
5.50%, 01/01/2020 | 71,224 | 73,527 | ||||||
4.37%, 02/01/2020 | 1,122,170 | 1,194,697 | ||||||
4.40%, 02/01/2020 | 6,347,000 | 6,785,830 | ||||||
4.40%, 02/01/2020 | 289,000 | 308,526 | ||||||
5.50%, 03/01/2020 | 10,247 | 10,477 | ||||||
6.00%, 03/01/2020 | 8,378 | 8,650 | ||||||
4.00%, 04/01/2020 | 5,199 | 5,252 | ||||||
4.35%, 04/01/2020 | 1,453,535 | 1,551,810 | ||||||
4.38%, 04/01/2020 | 1,633,457 | 1,742,517 | ||||||
2.01%, 06/01/2020 | 9,288,000 | 9,298,583 | ||||||
5.50%, 06/01/2020 | 75,091 | 76,600 | ||||||
5.50%, 06/01/2020 | 24,639 | 25,461 | ||||||
3.74%, 07/01/2020 | 555,943 | 585,460 | ||||||
3.93%, 07/01/2020 | 1,447,689 | 1,533,475 | ||||||
3.95%, 07/01/2020 | 826,000 | 873,551 | ||||||
3.95%, 07/01/2020 | 697,128 | 740,970 | ||||||
4.07%, 07/01/2020 | 3,079,799 | 3,274,104 | ||||||
5.50%, 07/01/2020 | 16,489 | 16,858 | ||||||
3.89%, 08/01/2020 | 1,198,040 | 1,268,406 | ||||||
3.96%, 08/01/2020 | 966,800 | 1,025,999 | ||||||
4.30%, 08/01/2020 | 465,755 | 471,238 | ||||||
6.50%, 08/01/2020 | 3,837 | 3,985 | ||||||
3.43%, 09/01/2020 | 926,260 | 969,026 | ||||||
3.60%, 09/01/2020 | 186,682 | 196,404 | ||||||
3.85%, 09/01/2020 | 1,687,275 | 1,786,456 | ||||||
3.29%, 10/01/2020 | 782,251 | 813,477 | ||||||
3.36%, 10/01/2020 | 810,984 | 846,503 | ||||||
3.50%, 10/01/2020 | 1,118,383 | 1,173,321 | ||||||
3.54%, 10/01/2020 | 991,000 | 1,039,499 | ||||||
3.59%, 10/01/2020 | 1,483,746 | 1,561,653 | ||||||
3.92%, 10/01/2020 | 683,844 | 724,904 | ||||||
3.23%, 11/01/2020 | 575,594 | 597,685 | ||||||
3.27%, 11/01/2020 | 773,191 | 805,088 | ||||||
2.00%, 12/01/2020 | 1,548,000 | 1,542,602 | ||||||
3.48%, 12/01/2020 | 864,301 | 905,180 |
Principal Amount | Value | |||||||
3.52%, 12/01/2020 | 845,984 | 886,565 | ||||||
3.70%, 12/01/2020 | 370,012 | 389,901 | ||||||
3.83%, 12/01/2020 | 883,732 | 935,460 | ||||||
3.56%, 01/01/2021 | 2,072,512 | 2,180,763 | ||||||
3.77%, 01/01/2021 | 1,171,552 | 1,241,185 | ||||||
3.87%, 01/01/2021 | 1,160,619 | 1,231,765 | ||||||
3.93%, 01/01/2021 | 396,071 | 421,045 | ||||||
4.05%, 01/01/2021 | 482,000 | 515,388 | ||||||
4.28%, 01/01/2021 | 698,120 | 746,999 | ||||||
4.45%, 01/01/2021 | 416,717 | 450,304 | ||||||
4.64%, 01/01/2021 | 1,245,109 | 1,353,082 | ||||||
4.33%, 02/01/2021 | 488,904 | 527,154 | ||||||
4.16%, 03/01/2021 | 1,690,946 | 1,812,725 | ||||||
6.00%, 03/01/2021 | 31,709 | 33,603 | ||||||
8.00%, 03/01/2021 | 56 | 57 | ||||||
4.25%, 04/01/2021 | 1,032,000 | 1,113,894 | ||||||
4.25%, 04/01/2021 | 784,000 | 846,214 | ||||||
4.30%, 04/01/2021 | 294,279 | 317,530 | ||||||
4.33%, 04/01/2021 | 713,213 | 767,160 | ||||||
6.00%, 04/01/2021 | 10,544 | 11,112 | ||||||
6.00%, 04/01/2021 | 38,253 | 39,464 | ||||||
4.36%, 05/01/2021 | 1,493,078 | 1,616,319 | ||||||
4.39%, 05/01/2021 | 751,190 | 813,455 | ||||||
3.97%, 06/01/2021 | 623,658 | 666,283 | ||||||
4.02%, 06/01/2021 | 691,000 | 741,134 | ||||||
4.10%, 06/01/2021 | 670,609 | 719,860 | ||||||
4.19%, 06/01/2021 | 539,276 | 580,543 | ||||||
4.24%, 06/01/2021 | 1,687,257 | 1,819,981 | ||||||
4.27%, 06/01/2021 | 713,703 | 764,566 | ||||||
4.30%, 06/01/2021 | 1,236,551 | 1,336,063 | ||||||
4.34%, 06/01/2021 | 1,858,000 | 2,016,442 | ||||||
4.48%, 06/01/2021 | 929,000 | 1,012,926 | ||||||
3.86%, 07/01/2021 | 944,094 | 1,005,156 | ||||||
3.89%, 07/01/2021 | 907,665 | 967,665 | ||||||
3.94%, 07/01/2021 | 1,032,000 | 1,102,304 | ||||||
3.99%, 07/01/2021 | 525,274 | 561,762 | ||||||
4.06%, 07/01/2021 | 992,108 | 1,064,702 |
Principal Amount | Value | |||||||
4.26%, 07/01/2021 | 2,239,572 | 2,420,433 | ||||||
4.31%, 07/01/2021 | 891,167 | 967,054 | ||||||
6.00%, 07/01/2021 | 5,854 | 6,064 | ||||||
4.05%, 08/01/2021 | 174,611 | 187,371 | ||||||
4.13%, 08/01/2021 | 769,572 | 827,677 | ||||||
4.50%, 08/01/2021 | 2,838,000 | 3,098,304 | ||||||
6.00%, 08/01/2021 | 58,474 | 61,200 | ||||||
3.77%, 09/01/2021 | 2,776,000 | 2,948,614 | ||||||
3.85%, 09/01/2021 | 851,014 | 906,980 | ||||||
3.88%, 09/01/2021 | 1,695,860 | 1,806,214 | ||||||
3.89%, 09/01/2021 | 1,439,440 | 1,534,102 | ||||||
3.92%, 09/01/2021 | 647,862 | 691,052 | ||||||
3.31%, 10/01/2021 | 1,661,788 | 1,732,601 | ||||||
3.40%, 10/01/2021 | 344,527 | 360,526 | ||||||
4.07%, 10/01/2021 | 1,771,567 | 1,901,868 | ||||||
3.43%, 11/01/2021 | 980,311 | 1,026,759 | ||||||
5.00%, 11/01/2021 | 115,187 | 118,604 | ||||||
3.03%, 12/01/2021 | 938,725 | 968,339 | ||||||
3.31%, 12/01/2021 | 380,029 | 396,427 | ||||||
3.42%, 12/01/2021 | 5,050,826 | 5,341,334 | ||||||
3.83%, 12/01/2021 | 1,548,000 | 1,652,554 | ||||||
6.00%, 12/01/2021 | 31,840 | 33,662 | ||||||
2.97%, 01/01/2022 | 752,807 | 774,615 | ||||||
3.03%, 01/01/2022 | 862,153 | 889,294 | ||||||
3.09%, 01/01/2022 | 1,315,733 | 1,360,947 | ||||||
3.12%, 01/01/2022 | 1,238,000 | 1,282,411 | ||||||
3.20%, 01/01/2022 | 826,000 | 857,912 | ||||||
2.99%, 02/01/2022 | 282,643 | 291,107 | ||||||
3.06%, 02/01/2022 | 863,000 | 892,030 | ||||||
3.14%, 02/01/2022 | 471,790 | 488,711 | ||||||
1.33%, 03/01/2022 | 934,135 | 939,351 | ||||||
2.75%, 03/01/2022 | 945,147 | 963,275 | ||||||
3.08%, 03/01/2022 | 413,858 | 427,909 | ||||||
3.14%, 03/01/2022 | 293,713 | 304,232 | ||||||
3.21%, 03/01/2022 | 310,000 | 322,391 | ||||||
2.70%, 04/01/2022 | 1,593,981 | 1,621,127 | ||||||
3.08%, 04/01/2022 | 983,843 | 1,017,671 |
Principal Amount | Value | |||||||
3.73%, 04/01/2022 | 2,408,232 | 2,560,839 | ||||||
6.50%, 04/01/2022 | 25,457 | 27,059 | ||||||
2.77%, 05/01/2022 | 1,651,000 | 1,683,786 | ||||||
2.86%, 05/01/2022 | 1,425,100 | 1,459,586 | ||||||
2.90%, 05/01/2022 | 950,325 | 974,676 | ||||||
2.94%, 05/01/2022 | 1,044,338 | 1,073,083 | ||||||
3.02%, 05/01/2022 | 660,171 | 680,879 | ||||||
3.10%, 05/01/2022 | 778,182 | 805,641 | ||||||
3.12%, 05/01/2022 | 951,995 | 986,365 | ||||||
6.50%, 05/01/2022 | 6,341 | 7,174 | ||||||
2.60%, 06/01/2022 | 842,245 | 852,184 | ||||||
2.76%, 06/01/2022 | 1,605,000 | 1,628,361 | ||||||
2.67%, 07/01/2022 | 624,000 | 628,139 | ||||||
2.69%, 07/01/2022 | 996,791 | 1,012,584 | ||||||
2.71%, 07/01/2022 | 1,000,000 | 1,011,703 | ||||||
2.82%, 07/01/2022 | 1,082,792 | 1,106,895 | ||||||
2.65%, 08/01/2022 | 1,032,000 | 1,039,952 | ||||||
2.47%, 09/01/2022 | 379,242 | 379,546 | ||||||
4.03%, 09/01/2022 | 1,206,830 | 1,304,336 | ||||||
2.39%, 10/01/2022 | 645,975 | 644,311 | ||||||
2.52%, 10/01/2022 | 970,519 | 973,320 | ||||||
2.57%, 10/01/2022 | 601,551 | 604,690 | ||||||
2.64%, 10/01/2022 | 669,944 | 674,994 | ||||||
2.37%, 11/01/2022 | 476,666 | 474,759 | ||||||
2.38%, 11/01/2022 | 863,856 | 860,732 | ||||||
2.41%, 11/01/2022 | 598,003 | 596,191 | ||||||
2.44%, 11/01/2022 | 821,831 | 820,634 | ||||||
2.45%, 11/01/2022 | 1,401,000 | 1,391,357 | ||||||
2.47%, 11/01/2022 | 516,000 | 512,731 | ||||||
2.55%, 11/01/2022 | 1,251,499 | 1,256,617 | ||||||
2.55%, 11/01/2022 | 399,771 | 401,406 | ||||||
7.50%, 11/01/2022 | 2,101 | 2,243 | ||||||
2.24%, 12/01/2022 | 646,457 | 639,736 | ||||||
2.28%, 12/01/2022 | 1,025,731 | 1,016,223 | ||||||
2.32%, 12/01/2022 | 380,047 | 377,439 | ||||||
2.34%, 12/01/2022 | 2,361,766 | 2,347,144 | ||||||
2.38%, 12/01/2022 | 496,921 | 494,883 |
Principal Amount | Value | |||||||
2.39%, 12/01/2022 | 1,055,871 | 1,052,187 | ||||||
2.40%, 12/01/2022 | 1,632,000 | 1,616,952 | ||||||
2.42%, 12/01/2022 | 1,171,334 | 1,167,815 | ||||||
2.66%, 12/01/2022 | 1,500,000 | 1,529,020 | ||||||
6.50%, 12/01/2022 | 25,499 | 28,849 | ||||||
0.88%, 01/01/2023 | 4,323,638 | 4,308,489 | ||||||
0.92%, 01/01/2023 | 768,638 | 773,790 | ||||||
2.15%, 01/01/2023 | 486,936 | 479,462 | ||||||
2.33%, 01/01/2023 | 1,712,495 | 1,700,326 | ||||||
2.34%, 01/01/2023 | 1,368,165 | 1,359,247 | ||||||
2.37%, 01/01/2023 | 1,099,028 | 1,091,744 | ||||||
2.45%, 01/01/2023 | 731,951 | 730,601 | ||||||
2.51%, 01/01/2023 | 949,000 | 946,316 | ||||||
2.60%, 01/01/2023 | 771,314 | 776,027 | ||||||
0.91%, 02/01/2023 | 1,135,000 | 1,139,270 | ||||||
2.40%, 02/01/2023 | 1,465,000 | 1,450,030 | ||||||
2.45%, 02/01/2023 | 1,290,000 | 1,278,579 | ||||||
6.00%, 02/01/2023 | 291,798 | 314,455 | ||||||
2.49%, 03/01/2023 | 800,814 | 796,890 | ||||||
2.50%, 04/01/2023 | 1,445,000 | 1,431,566 | ||||||
2.64%, 04/01/2023 | 353,723 | 354,148 | ||||||
2.70%, 04/01/2023 | 605,795 | 610,428 | ||||||
2.52%, 05/01/2023 | 3,302,000 | 3,273,510 | ||||||
2.54%, 05/01/2023 | 310,000 | 308,771 | ||||||
5.00%, 05/01/2023 | 24,164 | 25,583 | ||||||
2.42%, 06/01/2023 | 899,220 | 890,468 | ||||||
2.76%, 06/01/2023 | 1,769,876 | 1,783,553 | ||||||
2.77%, 06/01/2023 | 929,000 | 933,013 | ||||||
2.64%, 07/01/2023 | 413,000 | 411,049 | ||||||
3.67%, 07/01/2023 | 4,850,000 | 5,107,342 | ||||||
3.74%, 07/01/2023 | 565,056 | 599,626 | ||||||
3.59%, 08/01/2023 | 1,135,000 | 1,190,008 | ||||||
4.18%, 09/01/2023 | 1,411,773 | 1,522,930 | ||||||
3.76%, 10/01/2023 | 971,474 | 1,027,611 | ||||||
3.38%, 12/01/2023 | 2,500,000 | 2,592,149 | ||||||
3.50%, 12/01/2023 | 2,234,000 | 2,331,706 | ||||||
3.45%, 01/01/2024 | 1,800,000 | 1,872,878 |
Principal Amount | Value | |||||||
6.00%, 01/01/2024 | 79,725 | 86,313 | ||||||
6.00%, 01/01/2024 | 232,716 | 253,079 | ||||||
7.00%, 01/01/2024 | 543 | 608 | ||||||
6.50%, 02/01/2024 | 109,458 | 118,493 | ||||||
10.00%, 02/01/2024 | 567 | 570 | ||||||
3.76%, 03/01/2024 | 1,265,000 | 1,341,769 | ||||||
3.32%, 05/01/2024 | 2,500,000 | 2,582,669 | ||||||
8.00%, 05/01/2024 | 692 | 769 | ||||||
6.00%, 07/01/2024 | 56,549 | 62,006 | ||||||
6.50%, 07/01/2024 | 56,556 | 63,985 | ||||||
8.50%, 07/01/2024 | 1,536 | 1,750 | ||||||
5.00%, 08/01/2024 | 90,097 | 96,421 | ||||||
1.01%, 09/01/2024 | 3,708,901 | 3,721,372 | ||||||
7.50%, 10/01/2024 | 672 | 743 | ||||||
0.90%, 12/01/2024 | 5,000,000 | 5,016,947 | ||||||
2.90%, 12/01/2024 | 2,000,000 | 2,001,205 | ||||||
2.92%, 12/01/2024 | 1,000,000 | 1,002,990 | ||||||
3.08%, 12/01/2024 | 1,962,559 | 1,994,692 | ||||||
3.11%, 12/01/2024 | 2,500,000 | 2,540,568 | ||||||
2.93%, 01/01/2025 | 1,972,833 | 1,984,910 | ||||||
2.99%, 01/01/2025 | 1,580,000 | 1,596,108 | ||||||
3.64%, 01/01/2025 | 564,906 | 591,925 | ||||||
3.07%, 02/01/2025 | 4,995,000 | 5,073,615 | ||||||
0.91%, 03/01/2025 | 3,847,588 | 3,820,149 | ||||||
2.70%, 04/01/2025 | 5,000,000 | 4,939,526 | ||||||
2.81%, 04/01/2025 | 1,400,000 | 1,389,561 | ||||||
6.50%, 04/01/2025 | 8,005 | 9,056 | ||||||
2.68%, 05/01/2025 | 1,947,862 | 1,923,345 | ||||||
8.50%, 05/01/2025 | 77 | 77 | ||||||
5.50%, 07/01/2025 | 100,799 | 111,946 | ||||||
3.10%, 09/01/2025 | 5,000,000 | 5,060,907 | ||||||
3.77%, 12/01/2025 | 3,500,000 | 3,691,060 | ||||||
3.50%, 01/01/2026 | 528,406 | 551,373 | ||||||
3.00%, 01/15/2026(3) | 23,115,000 | 23,711,367 | ||||||
7.00%, 04/01/2026 | 6,093 | 6,432 | ||||||
6.00%, 07/01/2026 | 56,229 | 63,612 | ||||||
3.29%, 08/01/2026 | 3,000,000 | 3,058,371 |
Principal Amount | Value | |||||||
3.29%, 08/01/2026 | 1,500,000 | 1,529,502 | ||||||
4.55%, 08/01/2026 | 1,030,421 | 1,133,332 | ||||||
4.76%, 08/01/2026 | 1,048,371 | 1,164,808 | ||||||
4.77%, 08/01/2026 | 666,929 | 741,201 | ||||||
6.50%, 08/01/2026 | 97,370 | 110,161 | ||||||
3.25%, 09/01/2026 | 1,500,000 | 1,524,884 | ||||||
3.24%, 10/01/2026 | 1,928,335 | 1,959,491 | ||||||
3.12%, 11/01/2026 | 1,000,000 | 995,207 | ||||||
3.29%, 11/01/2026 | 2,000,000 | 2,039,342 | ||||||
3.14%, 12/01/2026 | 1,930,487 | 1,946,956 | ||||||
3.24%, 12/01/2026 | 1,500,000 | 1,518,071 | ||||||
3.26%, 12/01/2026 | 1,000,000 | 1,017,469 | ||||||
4.66%, 12/01/2026 | 1,140,571 | 1,268,934 | ||||||
3.12%, 02/01/2027 | 1,480,514 | 1,496,635 | ||||||
3.34%, 02/01/2027 | 1,500,000 | 1,533,474 | ||||||
2.91%, 03/01/2027 | 10,000,000 | 9,870,681 | ||||||
3.50%, 03/01/2027 | 3,302,092 | 3,446,703 | ||||||
8.00%, 03/01/2027 | 7,721 | 8,623 | ||||||
3.00%, 04/01/2027 | 917,811 | 943,563 | ||||||
3.03%, 04/01/2027 | 1,500,000 | 1,494,105 | ||||||
2.79%, 05/01/2027 | 2,000,000 | 1,950,448 | ||||||
2.81%, 05/01/2027 | 2,000,000 | 1,957,839 | ||||||
2.83%, 05/01/2027 | 8,000,000 | 7,818,790 | ||||||
3.00%, 05/01/2027 | 5,413,161 | 5,565,577 | ||||||
3.00%, 06/01/2027 | 2,000,000 | 1,984,567 | ||||||
8.00%, 06/01/2027 | 7,869 | 8,797 | ||||||
3.50%, 07/01/2027 | 4,133,701 | 4,315,606 | ||||||
3.50%, 07/01/2027 | 9,224,935 | 9,633,955 | ||||||
6.00%, 07/01/2027 | 72,694 | 82,270 | ||||||
2.50%, 09/01/2027 | 716,698 | 718,552 | ||||||
2.52%, 09/01/2027 | 7,036 | 7,427 | ||||||
7.00%, 09/01/2027 | 1,115 | 1,265 | ||||||
6.00%, 11/01/2027 | 32,538 | 36,821 | ||||||
2.50%, 12/01/2027 | 1,639,002 | 1,643,246 | ||||||
6.00%, 12/01/2027 | 98,957 | 111,954 | ||||||
6.00%, 01/01/2028 | 159,547 | 180,547 | ||||||
2.50%, 01/15/2028(3) | 37,615,000 | 37,656,376 |
Principal Amount | Value | |||||||
2.50%, 03/01/2028 | 5,638,119 | 5,652,678 | ||||||
2.50%, 04/01/2028 | 6,717,008 | 6,734,402 | ||||||
5.00%, 05/01/2028 | 33,908 | 36,908 | ||||||
2.86%, 06/01/2028 | 4,300,000 | 4,192,820 | ||||||
8.00%, 06/01/2028 | 4,803 | 5,393 | ||||||
9.50%, 07/01/2028 | 1,206 | 1,292 | ||||||
2.57%, 08/01/2028 | 5,400,000 | 5,077,608 | ||||||
3.00%, 08/01/2028 | 2,197,431 | 2,256,349 | ||||||
2.58%, 09/01/2028 | 3,830,000 | 3,597,701 | ||||||
2.59%, 09/01/2028 | 7,552,000 | 7,093,512 | ||||||
3.00%, 09/01/2028 | 3,218,080 | 3,306,056 | ||||||
8.00%, 09/01/2028 | 12,594 | 14,397 | ||||||
2.50%, 10/01/2028 | 770,322 | 772,318 | ||||||
2.62%, 10/01/2028 | 9,733,000 | 9,302,916 | ||||||
6.00%, 10/01/2028 | 131,430 | 148,742 | ||||||
8.00%, 11/01/2028 | 38,830 | 46,444 | ||||||
3.00%, 12/01/2028 | 1,350,676 | 1,386,768 | ||||||
6.00%, 12/01/2028 | 4,574 | 5,174 | ||||||
2.69%, 12/24/2028(8) | 4,567,000 | 4,547,019 | ||||||
6.00%, 01/01/2029 | 5,946 | 6,794 | ||||||
7.00%, 01/01/2029 | 8,983 | 9,833 | ||||||
3.90%, 03/01/2029 | 4,320 | 4,587 | ||||||
6.50%, 03/01/2029 | 21,610 | 24,893 | ||||||
4.50%, 08/01/2029 | 270,209 | 290,524 | ||||||
4.50%, 09/01/2029 | 317,482 | 341,351 | ||||||
6.00%, 09/01/2029 | 88,788 | 100,463 | ||||||
3.63%, 10/01/2029 | 1,458,829 | 1,520,499 | ||||||
6.50%, 11/01/2029 | 814,884 | 929,780 | ||||||
4.50%, 01/01/2030 | 476,438 | 512,259 | ||||||
3.55%, 02/01/2030 | 1,500,000 | 1,553,579 | ||||||
8.50%, 02/01/2030 | 1,494 | 1,507 | ||||||
2.50%, 04/01/2030 | 3,275,922 | 3,286,261 | ||||||
3.03%, 04/01/2030 | 3,500,000 | 3,425,762 | ||||||
3.08%, 04/01/2030 | 2,000,000 | 1,978,193 | ||||||
2.50%, 05/01/2030 | 4,108,739 | 4,116,892 | ||||||
2.92%, 05/01/2030 | 4,000,000 | 3,763,699 | ||||||
2.94%, 05/01/2030 | 2,500,000 | 2,426,009 |
Principal Amount | Value | |||||||
2.96%, 06/01/2030 | 2,013,402 | 1,973,037 | ||||||
3.13%, 06/01/2030 | 1,000,000 | 957,930 | ||||||
3.20%, 06/01/2030 | 1,000,000 | 997,640 | ||||||
3.30%, 07/01/2030 | 1,005,000 | 1,010,165 | ||||||
3.34%, 07/01/2030 | 1,500,000 | 1,516,910 | ||||||
3.39%, 09/01/2030 | 1,960,077 | 1,989,403 | ||||||
3.26%, 10/01/2030 | 5,149,045 | 5,175,820 | ||||||
3.00%, 02/01/2031 | 15,842,092 | 16,265,414 | ||||||
5.00%, 04/01/2031 | 172,776 | 190,981 | ||||||
2.00%, 08/01/2031 | 3,932,655 | 3,830,966 | ||||||
6.50%, 08/01/2031 | 19,866 | 22,611 | ||||||
4.00%, 11/01/2031 | 7,738,228 | 8,205,647 | ||||||
4.00%, 02/01/2032 | 530,289 | 560,602 | ||||||
6.50%, 02/01/2032 | 92,160 | 104,792 | ||||||
7.00%, 06/01/2032 | 5,653 | 6,018 | ||||||
3.50%, 07/01/2032 | 177,950 | 185,001 | ||||||
7.00%, 08/01/2032 | 1,319 | 1,344 | ||||||
5.50%, 11/01/2032 | 68,702 | 79,161 | ||||||
3.50%, 12/01/2032 | 482,794 | 501,247 | ||||||
5.00%, 12/01/2032 | 1,043 | 1,072 | ||||||
6.00%, 12/01/2032 | 28,745 | 32,786 | ||||||
6.00%, 12/01/2032 | 230,817 | 264,231 | ||||||
3.50%, 02/01/2033 | 879,266 | 912,754 | ||||||
5.50%, 02/01/2033 | 3,540 | 3,968 | ||||||
7.00%, 02/01/2033 | 1,761 | 1,898 | ||||||
5.50%, 03/01/2033 | 123,531 | 140,247 | ||||||
6.00%, 03/01/2033 | 4,507 | 5,113 | ||||||
6.00%, 03/01/2033 | 5,670 | 6,445 | ||||||
6.00%, 03/01/2033 | 3,010 | 3,411 | ||||||
6.00%, 03/01/2033 | 8,085 | 9,289 | ||||||
6.00%, 03/01/2033 | 8,108 | 9,195 | ||||||
5.50%, 04/01/2033 | 86,061 | 96,503 | ||||||
6.00%, 05/01/2033 | 29,495 | 34,380 | ||||||
3.50%, 06/01/2033 | 314,718 | 326,761 | ||||||
5.00%, 06/01/2033 | 26,223 | 29,041 | ||||||
7.00%, 06/01/2033 | 146,710 | 172,748 | ||||||
5.00%, 07/01/2033 | 24,873 | 27,404 |
Principal Amount | Value | |||||||
5.00%, 07/01/2033 | 33,568 | 37,119 | ||||||
5.50%, 07/01/2033 | 22,803 | 25,463 | ||||||
2.84%, 08/01/2033 | 47,671 | 49,960 | ||||||
6.00%, 08/01/2033 | 13,006 | 15,066 | ||||||
2.30%, 09/01/2033 | 52,212 | 54,027 | ||||||
3.10%, 09/01/2033 | 22,532 | 24,040 | ||||||
5.50%, 09/01/2033 | 326,878 | 366,626 | ||||||
6.00%, 09/01/2033 | 21,117 | 24,554 | ||||||
6.00%, 09/01/2033 | 15,780 | 17,413 | ||||||
3.50%, 10/01/2033 | 15,654,218 | 16,277,248 | ||||||
4.50%, 10/01/2033 | 7,780,643 | 8,393,471 | ||||||
2.99%, 11/01/2033 | 50,376 | 53,405 | ||||||
4.50%, 11/01/2033 | 29,566 | 31,927 | ||||||
5.00%, 11/01/2033 | 5,738,123 | 6,291,329 | ||||||
5.00%, 11/01/2033 | 8,215 | 8,996 | ||||||
5.00%, 11/01/2033 | 71,700 | 78,740 | ||||||
5.50%, 11/01/2033 | 5,890 | 6,613 | ||||||
4.00%, 12/01/2033 | 88,429 | 93,184 | ||||||
5.50%, 12/01/2033 | 123,660 | 142,314 | ||||||
2.28%, 01/01/2034 | 3,442 | 3,452 | ||||||
2.87%, 01/01/2034 | 20,820 | 21,855 | ||||||
5.50%, 01/01/2034 | 11,148 | 12,788 | ||||||
5.50%, 03/01/2034 | 13,892 | 15,906 | ||||||
5.00%, 04/01/2034 | 164,544 | 183,080 | ||||||
5.00%, 05/01/2034 | 50,235 | 55,718 | ||||||
2.91%, 06/01/2034 | 69,677 | 73,580 | ||||||
2.61%, 07/01/2034 | 6,933 | 7,360 | ||||||
5.50%, 07/01/2034 | 719,494 | 807,283 | ||||||
2.18%, 08/01/2034 | 40,040 | 41,329 | ||||||
2.90%, 08/01/2034 | 32,631 | 34,319 | ||||||
3.00%, 08/01/2034 | 9,333 | 9,843 | ||||||
2.79%, 09/01/2034 | 6,706 | 7,074 | ||||||
4.50%, 09/01/2034 | 45,248 | 48,873 | ||||||
5.50%, 09/01/2034 | 865,481 | 970,583 | ||||||
2.73%, 10/01/2034 | 28,528 | 30,359 | ||||||
2.91%, 10/01/2034 | 58,251 | 61,778 | ||||||
5.50%, 10/01/2034 | 34,731 | 36,991 |
Principal Amount | Value | |||||||
2.53%, 11/01/2034 | 16,171 | 17,101 | ||||||
3.09%, 11/01/2034 | 30,759 | 32,662 | ||||||
3.57%, 11/01/2034 | 1,430,838 | 1,451,269 | ||||||
3.61%, 11/01/2034 | 1,450,536 | 1,464,547 | ||||||
5.50%, 11/01/2034 | 96,684 | 108,394 | ||||||
6.00%, 11/01/2034 | 8,182 | 9,363 | ||||||
5.00%, 12/01/2034 | 43,627 | 47,897 | ||||||
5.00%, 12/01/2034 | 423,659 | 464,310 | ||||||
5.50%, 12/01/2034 | 5,774,808 | 6,468,195 | ||||||
2.45%, 01/01/2035 | 16,041 | 16,915 | ||||||
2.63%, 01/01/2035 | 397,256 | 414,613 | ||||||
5.00%, 01/01/2035 | 43,183 | 47,878 | ||||||
7.50%, 01/01/2035 | 64,804 | 75,859 | ||||||
2.49%, 02/01/2035 | 25,854 | 26,976 | ||||||
4.50%, 02/01/2035 | 4,726,055 | 5,097,958 | ||||||
5.00%, 02/01/2035 | 1,162,292 | 1,271,917 | ||||||
5.00%, 02/01/2035 | 4,964,953 | 5,435,280 | ||||||
5.50%, 02/01/2035 | 105,658 | 118,469 | ||||||
2.80%, 03/01/2035 | 57,226 | 60,153 | ||||||
7.50%, 03/01/2035 | 74,745 | 90,332 | ||||||
2.77%, 04/01/2035 | 71,835 | 75,698 | ||||||
3.45%, 04/01/2035 | 1,950,836 | 1,943,782 | ||||||
6.00%, 04/01/2035 | 152,716 | 174,984 | ||||||
2.54%, 05/01/2035 | 45,944 | 48,423 | ||||||
2.85%, 05/01/2035 | 10,385 | 10,903 | ||||||
3.12%, 06/01/2035 | 3,400,000 | 3,207,735 | ||||||
5.00%, 06/01/2035 | 881,601 | 967,485 | ||||||
2.50%, 07/01/2035 | 61,939 | 65,605 | ||||||
5.00%, 07/01/2035 | 4,184,223 | 4,592,935 | ||||||
5.00%, 07/01/2035 | 4,753,224 | 5,214,336 | ||||||
5.00%, 07/01/2035 | 36,342 | 39,633 | ||||||
2.64%, 08/01/2035 | 12,244 | 12,896 | ||||||
2.87%, 09/01/2035 | 35,884 | 37,667 | ||||||
5.00%, 09/01/2035 | 87,098 | 96,852 | ||||||
3.05%, 10/01/2035 | 99,009 | 105,189 | ||||||
5.00%, 10/01/2035 | 454,703 | 496,334 | ||||||
5.00%, 10/01/2035 | 491,218 | 539,435 |
Principal Amount | Value | |||||||
5.50%, 12/01/2035 | 56,332 | 59,693 | ||||||
2.54%, 01/01/2036 | 155,672 | 163,158 | ||||||
2.75%, 01/01/2036 | 74,666 | 78,896 | ||||||
3.25%, 01/01/2036 | 3,805 | 3,863 | ||||||
5.00%, 01/01/2036 | 84,737 | 92,571 | ||||||
6.50%, 01/01/2036 | 470,253 | 539,783 | ||||||
3.46%, 02/01/2036 | 35,268 | 37,360 | ||||||
5.00%, 02/01/2036 | 66,534 | 72,643 | ||||||
6.00%, 02/01/2036 | 7,062 | 7,730 | ||||||
7.00%, 02/01/2036 | 59,144 | 67,514 | ||||||
3.52%, 03/01/2036 | 609,001 | 642,846 | ||||||
7.00%, 03/01/2036 | 2,246 | 2,507 | ||||||
5.50%, 04/01/2036 | 123,217 | 137,808 | ||||||
6.50%, 04/01/2036 | 1,060 | 1,073 | ||||||
2.96%, 05/01/2036 | 35,302 | 37,380 | ||||||
5.50%, 05/01/2036 | 102,289 | 114,462 | ||||||
5.50%, 05/01/2036 | 161,045 | 179,246 | ||||||
2.93%, 06/01/2036 | 48,153 | 50,812 | ||||||
3.07%, 06/01/2036 | 248,753 | 265,117 | ||||||
3.17%, 06/01/2036 | 68,569 | 72,698 | ||||||
3.02%, 07/01/2036 | 106,790 | 113,422 | ||||||
6.50%, 07/01/2036 | 8,527 | 9,758 | ||||||
2.63%, 08/01/2036 | 53,795 | 56,951 | ||||||
2.95%, 08/01/2036 | 65,286 | 66,669 | ||||||
3.00%, 08/01/2036 | 260,229 | 275,001 | ||||||
3.13%, 08/01/2036 | 22,122 | 23,074 | ||||||
6.50%, 08/01/2036 | 287,131 | 326,447 | ||||||
2.43%, 09/01/2036 | 316,744 | 328,080 | ||||||
2.71%, 09/01/2036 | 75,402 | 78,853 | ||||||
2.86%, 09/01/2036 | 88,035 | 92,546 | ||||||
3.04%, 09/01/2036 | 200,990 | 212,610 | ||||||
3.20%, 09/01/2036 | 86,926 | 91,683 | ||||||
5.50%, 09/01/2036 | 2,023,691 | 2,269,403 | ||||||
6.00%, 09/01/2036 | 556,168 | 634,306 | ||||||
3.11%, 10/01/2036 | 151,974 | 161,190 | ||||||
3.36%, 10/01/2036 | 267,120 | 282,609 | ||||||
3.36%, 10/01/2036 | 130,596 | 138,959 |
Principal Amount | Value | |||||||
6.50%, 10/01/2036 | 71,582 | 81,536 | ||||||
3.00%, 11/01/2036 | 9,924,773 | 10,047,062 | ||||||
3.34%, 11/01/2036 | 53,906 | 56,582 | ||||||
3.62%, 11/01/2036 | 66,918 | 71,602 | ||||||
5.50%, 11/01/2036 | 41,698 | 46,624 | ||||||
6.00%, 11/01/2036 | 90,846 | 103,271 | ||||||
3.34%, 12/01/2036 | 276,783 | 292,469 | ||||||
3.44%, 12/01/2036 | 132,014 | 139,086 | ||||||
7.00%, 12/01/2036 | 9,478 | 10,356 | ||||||
2.49%, 01/01/2037 | 94,263 | 98,272 | ||||||
2.86%, 01/01/2037 | 51,162 | 54,319 | ||||||
6.50%, 01/01/2037 | 183,372 | 203,679 | ||||||
7.50%, 01/01/2037 | 15,057 | 16,276 | ||||||
2.40%, 02/01/2037 | 130,223 | 135,894 | ||||||
2.91%, 02/01/2037 | 182,672 | 193,203 | ||||||
5.50%, 03/01/2037 | 780,870 | 873,128 | ||||||
6.00%, 03/01/2037 | 198,719 | 223,934 | ||||||
7.00%, 03/01/2037 | 25,332 | 28,758 | ||||||
2.84%, 04/01/2037 | 293,149 | 309,125 | ||||||
5.50%, 04/01/2037 | 248,617 | 278,752 | ||||||
7.00%, 04/01/2037 | 128,938 | 151,250 | ||||||
7.00%, 04/01/2037 | 26,862 | 29,987 | ||||||
5.50%, 05/01/2037 | 445,115 | 496,109 | ||||||
6.50%, 05/01/2037 | 8,713 | 8,977 | ||||||
7.50%, 05/01/2037 | 53,056 | 61,242 | ||||||
2.32%, 07/01/2037 | 122,506 | 127,159 | ||||||
2.72%, 07/01/2037 | 8,618 | 8,947 | ||||||
2.97%, 07/01/2037 | 330,113 | 352,213 | ||||||
3.06%, 07/01/2037 | 121,299 | 128,541 | ||||||
5.00%, 07/01/2037 | 1,218,188 | 1,337,719 | ||||||
5.00%, 07/01/2037 | 327,195 | 358,884 | ||||||
3.61%, 08/01/2037 | 285,753 | 304,287 | ||||||
5.50%, 08/01/2037 | 3,079,671 | 3,453,852 | ||||||
6.50%, 08/01/2037 | 49,434 | 55,927 | ||||||
6.50%, 08/01/2037 | 41,281 | 48,645 | ||||||
2.71%, 09/01/2037 | 46,328 | 48,708 | ||||||
3.03%, 09/01/2037 | 11,002 | 11,282 |
Principal Amount | Value | |||||||
3.06%, 09/01/2037 | 125,949 | 133,353 | ||||||
3.25%, 09/01/2037 | 14,648 | 14,985 | ||||||
6.00%, 09/01/2037 | 117,488 | 134,145 | ||||||
6.04%, 09/01/2037 | 25,030 | 26,315 | ||||||
7.00%, 09/01/2037 | 89,440 | 104,160 | ||||||
6.50%, 10/01/2037 | 129,051 | 146,003 | ||||||
7.50%, 10/01/2037 | 269,061 | 320,757 | ||||||
2.62%, 11/01/2037 | 94,190 | 99,518 | ||||||
2.80%, 11/01/2037 | 271,911 | 285,043 | ||||||
7.50%, 11/01/2037 | 98,212 | 115,023 | ||||||
8.00%, 11/01/2037 | 16,730 | 18,539 | ||||||
2.80%, 12/01/2037 | 503,850 | 534,688 | ||||||
2.79%, 01/01/2038 | 31,572 | 32,921 | ||||||
5.50%, 01/01/2038 | 252,646 | 282,734 | ||||||
7.00%, 01/01/2038 | 30,949 | 33,016 | ||||||
8.00%, 01/01/2038 | 7,847 | 9,366 | ||||||
5.50%, 02/01/2038 | 302,754 | 339,323 | ||||||
6.00%, 04/01/2038 | 39,046 | 44,207 | ||||||
5.50%, 05/01/2038 | 53,518 | 57,893 | ||||||
6.00%, 05/01/2038 | 422,096 | 478,159 | ||||||
5.50%, 06/01/2038 | 1,831,273 | 2,042,261 | ||||||
5.50%, 06/01/2038 | 245,324 | 274,029 | ||||||
5.50%, 09/01/2038 | 1,381,343 | 1,546,300 | ||||||
7.00%, 09/01/2038 | 85,955 | 102,755 | ||||||
6.50%, 10/01/2038 | 152,015 | 171,984 | ||||||
6.50%, 10/01/2038 | 588,672 | 666,001 | ||||||
7.00%, 10/01/2038 | 144,882 | 175,118 | ||||||
6.00%, 11/01/2038 | 93,608 | 108,686 | ||||||
7.00%, 11/01/2038 | 89,417 | 100,445 | ||||||
7.50%, 11/01/2038 | 67,008 | 81,849 | ||||||
7.00%, 12/01/2038 | 256,398 | 299,327 | ||||||
5.00%, 01/01/2039 | 3,878,397 | 4,221,524 | ||||||
7.00%, 01/01/2039 | 451,845 | 539,332 | ||||||
7.50%, 04/01/2039 | 328,864 | 413,535 | ||||||
5.50%, 06/01/2039 | 34,216 | 36,957 | ||||||
5.00%, 09/01/2039 | 193,417 | 210,956 | ||||||
5.50%, 09/01/2039 | 139,690 | 155,785 |
Principal Amount | Value | |||||||
4.50%, 11/01/2039 | 41,467 | 44,639 | ||||||
5.50%, 12/01/2039 | 159,170 | 177,548 | ||||||
6.00%, 12/01/2039 | 2,161,362 | 2,445,146 | ||||||
5.50%, 01/01/2040 | 924,819 | 1,053,159 | ||||||
5.00%, 03/01/2040 | 292,052 | 321,276 | ||||||
5.00%, 04/01/2040 | 1,807,253 | 1,998,219 | ||||||
4.00%, 07/01/2040 | 7,880,544 | 8,287,497 | ||||||
4.00%, 08/01/2040 | 282,407 | 297,623 | ||||||
4.50%, 08/01/2040 | 2,339,140 | 2,523,763 | ||||||
4.50%, 08/01/2040 | 6,069,414 | 6,539,546 | ||||||
4.50%, 08/01/2040 | 6,535,179 | 7,026,516 | ||||||
5.00%, 08/01/2040 | 1,162,797 | 1,271,628 | ||||||
5.00%, 08/01/2040 | 549,239 | 600,862 | ||||||
4.00%, 09/01/2040 | 2,064,329 | 2,176,501 | ||||||
6.00%, 10/01/2040 | 2,824,455 | 3,197,588 | ||||||
4.00%, 11/01/2040 | 1,487,088 | 1,564,097 | ||||||
3.50%, 12/01/2040 | 168,209 | 173,356 | ||||||
4.00%, 12/01/2040 | 2,009,782 | 2,120,098 | ||||||
4.00%, 12/01/2040 | 380,589 | 401,707 | ||||||
4.50%, 12/01/2040 | 2,606,671 | 2,809,360 | ||||||
4.50%, 12/01/2040 | 9,020,161 | 9,738,412 | ||||||
4.00%, 01/01/2041 | 2,424,214 | 2,557,140 | ||||||
4.00%, 01/01/2041 | 824,130 | 869,305 | ||||||
4.00%, 01/01/2041 | 2,712,404 | 2,860,729 | ||||||
4.00%, 01/01/2041 | 2,719,406 | 2,868,586 | ||||||
4.00%, 01/01/2041 | 1,622,900 | 1,708,553 | ||||||
4.00%, 01/01/2041 | 387,508 | 407,327 | ||||||
4.00%, 01/01/2041 | 1,122,421 | 1,184,566 | ||||||
3.50%, 01/15/2041(3) | 44,245,000 | 45,320,153 | ||||||
4.00%, 01/15/2041(3) | 61,845,000 | 64,986,726 | ||||||
4.50%, 01/15/2041(3) | 19,415,000 | 20,875,008 | ||||||
5.50%, 01/15/2041(3) | 5,000,000 | 5,557,500 | ||||||
3.50%, 02/01/2041 | 14,002,396 | 14,430,776 | ||||||
4.00%, 02/01/2041 | 99,153 | 104,208 | ||||||
4.00%, 02/01/2041 | 2,264,667 | 2,390,467 | ||||||
4.00%, 02/01/2041 | 3,804,959 | 4,014,931 | ||||||
5.00%, 02/01/2041 | 1,111,914 | 1,229,973 |
Principal Amount | Value | |||||||
4.50%, 03/01/2041 | 1,827,824 | 1,973,402 | ||||||
5.50%, 03/01/2041 | 74,867 | 83,940 | ||||||
4.50%, 04/01/2041 | 1,625,958 | 1,751,335 | ||||||
4.50%, 05/01/2041 | 2,772,755 | 2,981,220 | ||||||
6.00%, 07/01/2041 | 7,407,220 | 8,394,173 | ||||||
4.00%, 09/01/2041 | 450,373 | 473,318 | ||||||
4.00%, 10/01/2041 | 1,265,569 | 1,335,852 | ||||||
4.00%, 10/01/2041 | 1,693,456 | 1,786,600 | ||||||
3.50%, 11/01/2041 | 590,179 | 608,319 | ||||||
3.50%, 11/01/2041 | 6,135,635 | 6,323,230 | ||||||
3.50%, 12/01/2041 | 779,197 | 803,008 | ||||||
4.00%, 12/01/2041 | 2,098,744 | 2,206,127 | ||||||
4.00%, 12/01/2041 | 2,389,578 | 2,522,729 | ||||||
4.00%, 12/01/2041 | 3,484,466 | 3,669,733 | ||||||
4.00%, 01/01/2042 | 5,369,498 | 5,655,082 | ||||||
4.50%, 01/01/2042 | 4,103,725 | 4,424,261 | ||||||
3.50%, 02/01/2042 | 722,114 | 744,394 | ||||||
4.00%, 03/01/2042 | 231,687 | 240,185 | ||||||
3.00%, 05/01/2042 | 802,323 | 801,527 | ||||||
3.50%, 05/01/2042 | 11,703,193 | 12,063,033 | ||||||
5.00%, 05/01/2042 | 3,939,468 | 4,311,859 | ||||||
3.50%, 06/01/2042 | 2,658,584 | 2,740,278 | ||||||
3.50%, 07/01/2042 | 6,074,116 | 6,258,838 | ||||||
3.50%, 07/01/2042 | 1,732,200 | 1,785,174 | ||||||
4.00%, 07/01/2042 | 646,711 | 685,363 | ||||||
4.00%, 07/01/2042 | 709,550 | 751,959 | ||||||
4.00%, 07/01/2042 | 1,182,081 | 1,252,863 | ||||||
4.00%, 07/01/2042 | 598,268 | 634,248 | ||||||
4.00%, 08/01/2042 | 8,463,633 | 8,937,441 | ||||||
3.50%, 09/01/2042 | 7,895,300 | 8,135,292 | ||||||
3.50%, 09/01/2042 | 1,442,866 | 1,487,239 | ||||||
3.00%, 10/01/2042 | 7,257,729 | 7,250,537 | ||||||
3.50%, 10/01/2042 | 1,100,945 | 1,134,421 | ||||||
3.50%, 10/01/2042 | 611,254 | 630,508 | ||||||
3.00%, 11/01/2042 | 2,741,330 | 2,738,610 | ||||||
3.50%, 11/01/2042 | 10,230,391 | 10,541,458 | ||||||
3.50%, 11/01/2042 | 4,334,523 | 4,466,179 |
Principal Amount | Value | |||||||
3.00%, 12/01/2042 | 163,430 | 163,268 | ||||||
3.00%, 12/01/2042 | 1,682,088 | 1,680,421 | ||||||
3.00%, 01/01/2043 | 2,242,028 | 2,226,581 | ||||||
3.00%, 01/01/2043 | 1,431,696 | 1,430,276 | ||||||
3.00%, 01/01/2043 | 2,455,661 | 2,453,225 | ||||||
3.00%, 01/01/2043 | 2,335,003 | 2,332,687 | ||||||
3.50%, 01/01/2043 | 1,611,049 | 1,659,866 | ||||||
3.50%, 01/01/2043 | 1,162,889 | 1,198,784 | ||||||
3.00%, 01/15/2043(3) | 85,455,000 | 84,831,178 | ||||||
3.00%, 02/01/2043 | 1,235,723 | 1,227,234 | ||||||
3.50%, 02/01/2043 | 107,370 | 110,623 | ||||||
3.50%, 02/01/2043 | 112,820 | 116,284 | ||||||
3.50%, 03/01/2043 | 2,188,648 | 2,254,323 | ||||||
3.50%, 03/01/2043 | 808,046 | 832,996 | ||||||
3.00%, 04/01/2043 | 1,785,424 | 1,783,654 | ||||||
3.00%, 04/01/2043 | 3,928,598 | 3,924,706 | ||||||
3.50%, 04/01/2043 | 2,834,825 | 2,922,287 | ||||||
3.50%, 04/01/2043 | 6,870,341 | 7,074,524 | ||||||
3.00%, 05/01/2043 | 203,888 | 203,686 | ||||||
3.00%, 05/01/2043 | 15,151,438 | 15,136,417 | ||||||
3.50%, 05/01/2043 | 2,934,038 | 3,024,461 | ||||||
3.50%, 05/01/2043 | 2,337,432 | 2,409,330 | ||||||
3.50%, 05/01/2043 | 1,095,180 | 1,128,930 | ||||||
3.50%, 05/01/2043 | 140,326 | 144,567 | ||||||
3.00%, 06/01/2043 | 345,336 | 344,993 | ||||||
3.00%, 06/01/2043 | 156,863 | 156,708 | ||||||
3.00%, 06/01/2043 | 125,890 | 125,765 | ||||||
3.00%, 06/01/2043 | 1,024,397 | 1,018,085 | ||||||
3.00%, 06/01/2043 | 813,011 | 812,204 | ||||||
3.00%, 06/01/2043 | 9,799,239 | 9,789,516 | ||||||
3.50%, 06/01/2043 | 2,617,670 | 2,698,492 | ||||||
3.00%, 07/01/2043 | 2,065,247 | 2,063,197 | ||||||
3.00%, 07/01/2043 | 586,834 | 586,252 | ||||||
3.00%, 07/01/2043 | 123,427 | 123,305 | ||||||
3.00%, 07/01/2043 | 472,273 | 471,806 | ||||||
3.00%, 07/01/2043 | 4,589,387 | 4,584,834 | ||||||
3.00%, 07/01/2043 | 642,479 | 641,841 |
Principal Amount | Value | |||||||
3.00%, 07/01/2043 | 106,731 | 106,625 | ||||||
3.00%, 07/01/2043 | 162,458 | 162,297 | ||||||
3.00%, 07/01/2043 | 1,470,816 | 1,469,357 | ||||||
3.50%, 07/01/2043 | 13,619,315 | 14,027,658 | ||||||
4.00%, 07/01/2043 | 1,553,267 | 1,646,923 | ||||||
3.00%, 08/01/2043 | 2,158,045 | 2,155,904 | ||||||
3.00%, 08/01/2043 | 5,351,454 | 5,346,153 | ||||||
3.00%, 08/01/2043 | 4,683,502 | 4,678,855 | ||||||
3.00%, 08/01/2043 | 2,452,673 | 2,450,240 | ||||||
3.00%, 08/01/2043 | 1,326,223 | 1,318,051 | ||||||
3.00%, 09/01/2043 | 81,901 | 81,396 | ||||||
3.00%, 09/01/2043 | 2,116,353 | 2,114,254 | ||||||
3.00%, 09/01/2043 | 3,557,981 | 3,554,450 | ||||||
3.00%, 09/01/2043 | 147,840 | 147,669 | ||||||
5.00%, 09/01/2043 | 2,160,290 | 2,351,414 | ||||||
2.50%, 10/01/2043 | 3,064,032 | 2,928,752 | ||||||
3.00%, 10/01/2043 | 129,312 | 129,184 | ||||||
3.00%, 10/01/2043 | 143,060 | 142,918 | ||||||
3.00%, 10/01/2043 | 71,349 | 71,279 | ||||||
4.00%, 11/01/2043 | 6,419,319 | 6,744,600 | ||||||
4.00%, 12/01/2043 | 267,630 | 281,192 | ||||||
4.00%, 12/01/2043 | 3,305,530 | 3,488,631 | ||||||
4.00%, 09/01/2044 | 2,454,634 | 2,579,883 | ||||||
3.50%, 02/01/2045 | 12,421,410 | 12,800,465 | ||||||
3.00%, 04/01/2045 | 11,605,514 | 11,536,393 | ||||||
3.50%, 04/01/2045 | 18,161,114 | 18,618,560 | ||||||
3.50%, 07/01/2045 | 4,144,173 | 4,257,982 | ||||||
4.00%, 07/01/2045 | 12,799,846 | 13,496,477 | ||||||
3.50%, 08/01/2045 | 5,254,172 | 5,398,079 | ||||||
3.50%, 10/01/2045 | 7,001,113 | 7,195,039 | ||||||
3.50%, 10/01/2045 | 5,597,835 | 5,737,889 | ||||||
3.50%, 11/01/2045 | 4,616,394 | 4,732,786 | ||||||
4.00%, 12/01/2045 | 2,434,704 | 2,559,734 | ||||||
4.00%, 12/01/2045 | 11,256,308 | 11,834,484 | ||||||
3.50%, 01/01/2046 | 1,927,514 | 1,980,167 | ||||||
3.50%, 01/01/2046 | 15,464,535 | 15,853,860 | ||||||
3.50%, 01/01/2046 | 1,728,659 | 1,775,923 |
Principal Amount | Value | |||||||
4.00%, 01/01/2046 | 6,909,168 | 7,265,272 | ||||||
4.00%, 01/01/2046 | 5,728,620 | 6,052,684 | ||||||
3.50%, 02/01/2046 | 7,521,909 | 7,733,106 | ||||||
4.00%, 03/01/2046 | 9,000,856 | 9,510,864 | ||||||
2.50%, 05/01/2046 | 1,969,486 | 1,874,554 | ||||||
3.50%, 05/01/2046 | 6,609,928 | 6,784,116 | ||||||
3.50%, 06/01/2046 | 1,759,670 | 1,807,914 | ||||||
3.50%, 06/01/2046 | 9,257,600 | 9,512,330 | ||||||
2.50%, 07/01/2046 | 3,909,081 | 3,720,659 | ||||||
4.00%, 07/01/2046 | 9,757,894 | 10,319,598 | ||||||
4.00%, 08/01/2046 | 7,743,899 | 8,172,941 | ||||||
3.50%, 09/01/2046 | 4,107,903 | 4,235,115 | ||||||
6.00%, 11/01/2048 | 55,859 | 61,399 | ||||||
Fannie Mae REMIC Trust 2003-W1 | ||||||||
5.59%, 12/25/2042 | 148,649 | 162,303 | ||||||
6.21%, 12/25/2042 | 39,198 | 43,853 | ||||||
Fannie Mae REMIC Trust 2003-W4 | ||||||||
6.38%, 10/25/2042 | 22,295 | 24,928 | ||||||
Fannie Mae REMIC Trust 2004-W10 | ||||||||
5.75%, 08/25/2034 | 702,000 | 791,785 | ||||||
Fannie Mae REMIC Trust 2004-W11 | ||||||||
6.00%, 05/25/2044 | 123,592 | 141,792 | ||||||
Fannie Mae REMIC Trust 2004-W6 | ||||||||
5.50%, 07/25/2034 | 3,497 | 3,493 | ||||||
Fannie Mae REMIC Trust 2005-W1 | ||||||||
6.50%, 10/25/2044 | 213,469 | 244,647 | ||||||
Fannie Mae REMIC Trust 2006-W3 | ||||||||
6.00%, 09/25/2046 | 206,524 | 228,743 | ||||||
Fannie Mae REMIC Trust 2007-W1 | ||||||||
6.35%, 08/25/2047 | 28,670 | 31,771 | ||||||
Fannie Mae REMIC Trust 2007-W3 | ||||||||
6.75%, 04/25/2037 | 62,067 | 67,914 | ||||||
Fannie Mae REMIC Trust 2007-W5 | ||||||||
0.00%, 06/25/2037 PO | 54,502 | 48,857 | ||||||
Fannie Mae REMIC Trust 2007-W7 | ||||||||
34.64%, 07/25/2037 | 41,767 | 60,935 |
Principal Amount | Value | |||||||
Fannie Mae REMIC Trust 2009-W1 | ||||||||
6.00%, 12/25/2049 | 1,025,914 | 1,161,930 | ||||||
Fannie Mae REMICS | ||||||||
6.00%, 02/25/2017 | 131 | 131 | ||||||
6.00%, 04/25/2017 | 1,787 | 1,812 | ||||||
6.00%, 04/25/2017 | 50 | 50 | ||||||
6.00%, 04/25/2017 | 7 | 7 | ||||||
17.51%, 05/25/2017 | 1,387 | 1,433 | ||||||
6.00%, 06/25/2017 | 11 | 11 | ||||||
5.50%, 09/25/2017 | 484 | 485 | ||||||
5.00%, 10/25/2017 | 1,976 | 1,996 | ||||||
5.00%, 05/25/2018 | 9,788 | 9,960 | ||||||
4.75%, 09/25/2018 | 50,678 | 52,053 | ||||||
4.00%, 04/25/2019 | 13,131 | 13,314 | ||||||
8.00%, 07/25/2019 | 4,336 | 4,565 | ||||||
8.00%, 10/25/2019 | 1,350 | 1,426 | ||||||
4.00%, 11/25/2019 | 14,199 | 14,445 | ||||||
8.50%, 11/25/2019 | 825 | 881 | ||||||
9.00%, 11/25/2019 | 460 | 490 | ||||||
9.40%, 11/25/2019 | 681 | 724 | ||||||
7.50%, 12/25/2019 | 1,927 | 2,026 | ||||||
8.50%, 01/25/2020 | 208 | 222 | ||||||
8.80%, 01/25/2020 | 515 | 549 | ||||||
7.00%, 05/25/2020 | 189 | 203 | ||||||
5.50%, 06/25/2020 | 216 | 225 | ||||||
9.50%, 06/25/2020 | 329 | 355 | ||||||
7.00%, 07/25/2020 | 1,870 | 1,968 | ||||||
5.50%, 08/25/2020 | 260 | 272 | ||||||
6.50%, 08/25/2020 | 2,773 | 2,907 | ||||||
505.00%, 08/25/2020 | 5 | 34 | ||||||
1118.04%, 08/25/2020 IO | 6 | 46 | ||||||
6.50%, 09/25/2020 | 1,248 | 1,308 | ||||||
7.00%, 09/25/2020 | 355 | 377 | ||||||
9.00%, 10/25/2020 | 1,525 | 1,641 | ||||||
20.47%, 11/25/2020 | 220 | 291 | ||||||
652.15%, 12/25/2020 IO | 12 | 121 | ||||||
7.00%, 01/25/2021 | 443 | 469 | ||||||
908.50%, 02/25/2021 IO | 1 | 4 |
Principal Amount | Value | |||||||
5.00%, 03/25/2021 | 495 | 518 | ||||||
7.00%, 03/25/2021 | 17,415 | 18,516 | ||||||
16.35%, 05/25/2021 | 337 | 402 | ||||||
8.50%, 06/25/2021 | 433 | 477 | ||||||
8.75%, 06/25/2021 | 1,851 | 2,035 | ||||||
1026.98%, 06/25/2021 | 11 | 92 | ||||||
6.50%, 07/25/2021 | 1,149 | 1,215 | ||||||
6.50%, 09/25/2021 | 104,548 | 114,358 | ||||||
14.34%, 09/25/2021 | 1,085 | 1,207 | ||||||
8.75%, 10/25/2021 | 3,411 | 3,676 | ||||||
23.95%, 12/25/2021 | 485 | 618 | ||||||
6.00%, 02/25/2022 | 105,885 | 115,706 | ||||||
6.50%, 02/25/2022 | 17,175 | 18,818 | ||||||
0.00%, 03/25/2022 PO | 41,919 | 40,757 | ||||||
7.50%, 06/25/2022 | 105 | 115 | ||||||
7.00%, 07/25/2022 | 1,602 | 1,728 | ||||||
7.50%, 07/25/2022 | 17,243 | 19,002 | ||||||
8.00%, 07/25/2022 | 2,404 | 2,486 | ||||||
8.00%, 07/25/2022 | 19,566 | 21,502 | ||||||
1184.78%, 07/25/2022 IO | 6 | 116 | ||||||
6.00%, 08/25/2022 | 829 | 831 | ||||||
6.00%, 08/25/2022 | 3,124 | 3,301 | ||||||
6.50%, 08/25/2022 | 4,001 | 4,257 | ||||||
0.78%, 09/25/2022 | 1,609 | 1,608 | ||||||
5.50%, 09/25/2022 | 2,054 | 2,168 | ||||||
6.00%, 09/25/2022 | 130,325 | 143,071 | ||||||
7.50%, 09/25/2022 | 15,981 | 17,255 | ||||||
7.75%, 09/25/2022 | 7,688 | 8,441 | ||||||
8.00%, 09/25/2022 | 23,497 | 25,767 | ||||||
0.00%, 10/25/2022 PO | 2,342 | 2,230 | ||||||
1.30%, 10/25/2022 | 1,439 | 1,458 | ||||||
7.00%, 10/25/2022 | 3,257 | 3,588 | ||||||
7.50%, 10/25/2022 | 10,711 | 11,856 | ||||||
7.90%, 01/25/2023 | 11,424 | 12,792 | ||||||
6.50%, 02/25/2023 | 4,608 | 5,074 | ||||||
7.00%, 02/25/2023 | 48,837 | 54,011 | ||||||
15.50%, 02/25/2023 | 1,948 | 2,610 |
Principal Amount | Value | |||||||
5.50%, 03/25/2023 | 227,136 | 245,712 | ||||||
6.50%, 03/25/2023 | 3,456 | 3,773 | ||||||
7.00%, 03/25/2023 | 30,039 | 32,801 | ||||||
7.50%, 03/25/2023 | 11,411 | 12,494 | ||||||
7.70%, 03/25/2023 | 4,922 | 5,478 | ||||||
0.00%, 04/25/2023 PO | 1,733 | 1,634 | ||||||
5.50%, 04/25/2023 | 12,886 | 13,737 | ||||||
5.50%, 04/25/2023 | 419,820 | 455,523 | ||||||
6.00%, 04/25/2023 | 7,769 | 8,698 | ||||||
7.00%, 04/25/2023 | 10,417 | 11,374 | ||||||
17.28%, 04/25/2023 IO | 8,698 | 2,929 | ||||||
19.14%, 04/25/2023 | 4,998 | 6,730 | ||||||
5.50%, 05/25/2023 | 99,738 | 106,551 | ||||||
7.00%, 05/25/2023 | 115,145 | 126,831 | ||||||
5.00%, 06/25/2023 | 79,358 | 81,862 | ||||||
5.74%, 06/25/2023 IO | 69,745 | 5,483 | ||||||
6.89%, 06/25/2023 IO | 16,536 | 251 | ||||||
4.50%, 07/25/2023 | 167,178 | 177,750 | ||||||
6.50%, 07/25/2023 | 2,739 | 2,997 | ||||||
6.79%, 07/25/2023 | 58,161 | 63,113 | ||||||
7.00%, 07/25/2023 | 38,150 | 41,923 | ||||||
7.00%, 07/25/2023 | 56,143 | 60,706 | ||||||
1.64%, 08/25/2023 | 6,906 | 7,017 | ||||||
6.88%, 08/25/2023 | 51,267 | 56,026 | ||||||
7.00%, 08/25/2023 | 92,081 | 100,466 | ||||||
7.29%, 08/25/2023 IO | 2,843 | 256 | ||||||
8.41%, 08/25/2023 IO | 46,555 | 8,683 | ||||||
0.00%, 09/25/2023 PO | 1,645 | 1,550 | ||||||
0.00%, 09/25/2023 PO | 4,357 | 4,140 | ||||||
1.41%, 09/25/2023 | 46,436 | 46,479 | ||||||
6.50%, 09/25/2023 | 4,840 | 5,321 | ||||||
12.50%, 09/25/2023 | 3,340 | 3,772 | ||||||
13.59%, 09/25/2023 | 2,690 | 3,323 | ||||||
6.50%, 10/25/2023 | 73,544 | 83,215 | ||||||
6.50%, 10/25/2023 | 32,091 | 35,234 | ||||||
10.50%, 10/25/2023 | 1,557 | 1,911 | ||||||
21.26%, 10/25/2023 | 4,340 | 6,205 |
Principal Amount | Value | |||||||
27.13%, 10/25/2023 | 2,336 | 3,519 | ||||||
0.00%, 11/25/2023 PO | 511 | 477 | ||||||
6.50%, 11/25/2023 | 27,457 | 31,068 | ||||||
1.36%, 12/25/2023 | 2,085 | 2,089 | ||||||
1.76%, 12/25/2023 | 5,872 | 5,938 | ||||||
6.50%, 12/25/2023 | 7,139 | 7,890 | ||||||
12.35%, 12/25/2023 | 2,732 | 3,393 | ||||||
21.85%, 12/25/2023 | 5,872 | 8,400 | ||||||
28.36%, 12/25/2023 | 7,218 | 11,043 | ||||||
5.00%, 02/25/2024 IO | 98,453 | 5,938 | ||||||
5.00%, 03/25/2024 IO | 62,739 | 2,121 | ||||||
5.00%, 03/25/2024 IO | 38,497 | 1,788 | ||||||
6.50%, 03/25/2024 | 133,664 | 144,614 | ||||||
6.50%, 03/25/2024 | 24,065 | 26,421 | ||||||
7.00%, 04/25/2024 | 192,411 | 211,576 | ||||||
7.00%, 04/25/2024 | 87,100 | 96,929 | ||||||
5.50%, 07/25/2024 | 24,472 | 26,347 | ||||||
5.50%, 08/25/2024 | 225,099 | 244,773 | ||||||
5.00%, 11/25/2024 | 360,337 | 385,151 | ||||||
8.50%, 01/25/2025 | 4,828 | 5,519 | ||||||
8.80%, 01/25/2025 | 7,890 | 8,932 | ||||||
1.06%, 07/25/2025 | 45,671 | 45,752 | ||||||
5.50%, 08/25/2025 | 212,089 | 233,016 | ||||||
5.50%, 01/25/2026 | 147,165 | 158,731 | ||||||
29.47%, 10/25/2026 | 28,421 | 44,581 | ||||||
7.00%, 11/25/2026 | 47,931 | 52,606 | ||||||
1.84%, 03/25/2027 IO | 8,739 | 284 | ||||||
1.84%, 03/25/2027 IO | 28,293 | 882 | ||||||
7.50%, 04/18/2027 | 8,024 | 8,724 | ||||||
7.50%, 04/20/2027 | 11,879 | 13,787 | ||||||
6.50%, 04/25/2027 | 29,270 | 33,119 | ||||||
7.50%, 05/20/2027 | 48,931 | 56,876 | ||||||
1.16%, 05/25/2027 | 4,166,264 | 4,162,352 | ||||||
6.50%, 07/18/2027 | 2,558 | 2,894 | ||||||
7.00%, 12/18/2027 IO | 12,323 | 1,410 | ||||||
6.00%, 07/18/2028 | 17,175 | 19,429 | ||||||
6.84%, 07/25/2028 IO | 444,588 | 68,997 |
Principal Amount | Value | |||||||
3.00%, 12/25/2028 | 1,237,521 | 1,192,771 | ||||||
6.00%, 12/25/2028 | 8,681 | 9,480 | ||||||
7.39%, 12/25/2028 IO | 14,783 | 2,251 | ||||||
5.00%, 03/25/2029 | 398,795 | 428,083 | ||||||
5.50%, 04/18/2029 | 38,197 | 42,044 | ||||||
6.35%, 04/25/2029 | 9,301 | 10,253 | ||||||
7.50%, 12/18/2029 | 13,790 | 15,926 | ||||||
7.50%, 02/25/2030 | 77,036 | 89,390 | ||||||
8.34%, 07/25/2030 IO | 27,318 | 5,982 | ||||||
8.50%, 01/25/2031 IO | 3,404 | 777 | ||||||
7.00%, 03/25/2031 | 10,405 | 11,752 | ||||||
3.50%, 04/25/2031 | 1,084,000 | 1,137,567 | ||||||
6.00%, 07/25/2031 IO | 49,948 | 11,432 | ||||||
7.00%, 07/25/2031 | 27,676 | 31,101 | ||||||
7.00%, 08/25/2031 | 50,088 | 57,391 | ||||||
6.50%, 09/25/2031 | 11,716 | 13,301 | ||||||
7.00%, 09/25/2031 | 11,030 | 12,473 | ||||||
7.00%, 09/25/2031 | 69,392 | 78,476 | ||||||
7.00%, 09/25/2031 | 13,636 | 15,180 | ||||||
21.85%, 09/25/2031 | 38,267 | 64,260 | ||||||
6.50%, 10/25/2031 | 8,921 | 9,829 | ||||||
20.68%, 10/25/2031 | 23,013 | 32,586 | ||||||
6.00%, 11/25/2031 | 88,345 | 100,305 | ||||||
7.00%, 11/25/2031 | 90,046 | 100,260 | ||||||
14.03%, 11/25/2031 | 25,920 | 35,954 | ||||||
15.70%, 12/25/2031 | 3,096 | 4,238 | ||||||
0.00%, 01/25/2032 PO | 3,782 | 3,458 | ||||||
22.73%, 02/25/2032 | 13,180 | 21,467 | ||||||
1.60%, 03/25/2032 IO | 96,070 | 5,202 | ||||||
10.00%, 03/25/2032 | 1,422 | 1,807 | ||||||
0.00%, 04/25/2032 PO | 2,854 | 2,575 | ||||||
6.00%, 04/25/2032 | 228,742 | 260,037 | ||||||
6.50%, 04/25/2032 | 42,835 | 48,264 | ||||||
6.50%, 05/25/2032 | 87,456 | 96,415 | ||||||
6.50%, 06/25/2032 | 34,220 | 39,008 | ||||||
6.50%, 07/25/2032 IO | 166,237 | 27,386 | ||||||
6.50%, 08/25/2032 | 95,918 | 109,811 |
Principal Amount | Value | |||||||
17.72%, 08/25/2032 | 72,450 | 81,773 | ||||||
1.56%, 11/25/2032 | 449,105 | 460,397 | ||||||
5.00%, 11/25/2032 | 22,385 | 23,976 | ||||||
6.00%, 11/25/2032 | 641,651 | 721,660 | ||||||
8.50%, 11/25/2032 | 29,322 | 34,243 | ||||||
0.00%, 12/25/2032 PO | 18,644 | 16,850 | ||||||
5.50%, 12/25/2032 | 228,252 | 242,266 | ||||||
13.10%, 12/25/2032 | 15,306 | 18,559 | ||||||
0.00%, 01/25/2033 PO | 25,884 | 25,493 | ||||||
6.50%, 02/25/2033 | 31,748 | 34,617 | ||||||
5.00%, 03/25/2033 IO | 42,717 | 6,366 | ||||||
6.00%, 03/25/2033 | 66,000 | 68,400 | ||||||
4.00%, 04/25/2033 | 350,322 | 367,677 | ||||||
0.00%, 05/25/2033 PO | 11,486 | 10,142 | ||||||
4.00%, 05/25/2033 | 17,567 | 18,445 | ||||||
6.00%, 05/25/2033 | 124,000 | 139,679 | ||||||
6.00%, 05/25/2033 | 62,874 | 71,633 | ||||||
6.00%, 05/25/2033 IO | 15,478 | 3,776 | ||||||
6.00%, 05/25/2033 | 233,000 | 254,119 | ||||||
6.50%, 05/25/2033 IO | 148,647 | 38,190 | ||||||
7.00%, 05/25/2033 IO | 247,828 | 31,099 | ||||||
5.75%, 06/25/2033 | 96,805 | 108,770 | ||||||
6.34%, 06/25/2033 IO | 129,371 | 11,477 | ||||||
12.69%, 06/25/2033 | 96,234 | 109,544 | ||||||
12.21%, 07/25/2033 | 37,851 | 46,749 | ||||||
12.69%, 07/25/2033 | 31,426 | 34,408 | ||||||
0.00%, 08/25/2033 PO | 10,792 | 10,115 | ||||||
5.50%, 08/25/2033 | 19,491 | 19,563 | ||||||
5.50%, 08/25/2033 | 177,571 | 198,561 | ||||||
5.50%, 08/25/2033 IO | 388,368 | 72,995 | ||||||
6.64%, 08/25/2033 | 108,323 | 113,132 | ||||||
8.81%, 08/25/2033 | 9,385 | 11,156 | ||||||
15.88%, 08/25/2033 | 59,868 | 76,359 | ||||||
3.50%, 09/25/2033 | 1,500,000 | 1,512,665 | ||||||
11.24%, 09/25/2033 | 27,914 | 33,207 | ||||||
3.00%, 10/25/2033 | 908,000 | 884,686 | ||||||
5.50%, 10/25/2033 | 1,261,877 | 1,405,138 |
Principal Amount | Value | |||||||
6.84%, 11/25/2033 IO | 196,433 | 39,824 | ||||||
0.00%, 12/25/2033 PO | 146,825 | 133,612 | ||||||
12.59%, 12/25/2033 | 42,678 | 47,213 | ||||||
1.51%, 01/25/2034 | 220,491 | 225,244 | ||||||
10.39%, 01/25/2034 | 10,829 | 12,781 | ||||||
14.69%, 01/25/2034 | 23,280 | 28,641 | ||||||
5.50%, 02/25/2034 | 40,169 | 41,698 | ||||||
25.58%, 02/25/2034 | 59,912 | 69,754 | ||||||
0.00%, 03/25/2034 PO | 195,344 | 178,858 | ||||||
1.16%, 03/25/2034 | 179,167 | 179,244 | ||||||
5.50%, 04/25/2034 | 325,365 | 357,050 | ||||||
17.45%, 04/25/2034 | 106,830 | 148,641 | ||||||
1.16%, 05/25/2034 | 395,566 | 395,321 | ||||||
14.42%, 05/25/2034 | 28,026 | 34,587 | ||||||
17.45%, 05/25/2034 | 169,124 | 227,871 | ||||||
20.98%, 05/25/2034 | 36,384 | 54,562 | ||||||
5.50%, 07/25/2034 | 686,463 | 751,071 | ||||||
12.73%, 07/25/2034 | 25,541 | 33,155 | ||||||
1.01%, 08/25/2034 | 126,937 | 126,812 | ||||||
17.72%, 11/25/2034 | 53,051 | 63,941 | ||||||
19.32%, 12/25/2034 | 1,071 | 1,114 | ||||||
22.29%, 01/25/2035 | 17,133 | 20,752 | ||||||
0.00%, 04/25/2035 PO | 117,042 | 114,301 | ||||||
1.11%, 04/25/2035 | 181,700 | 181,351 | ||||||
15.11%, 05/25/2035 | 16,594 | 20,226 | ||||||
17.94%, 05/25/2035 | 218,375 | 290,333 | ||||||
18.05%, 05/25/2035 | 150,124 | 200,074 | ||||||
21.98%, 05/25/2035 | 50,130 | 67,908 | ||||||
5.00%, 06/25/2035 | 55,325 | 57,549 | ||||||
6.50%, 06/25/2035 | 1,883 | 1,947 | ||||||
21.72%, 06/25/2035 | 57,662 | 83,791 | ||||||
5.75%, 07/25/2035 | 2,163,189 | 2,397,399 | ||||||
5.95%, 07/25/2035 IO | 131,650 | 23,365 | ||||||
15.48%, 07/25/2035 | 46,489 | 63,719 | ||||||
5.50%, 08/25/2035 | 1,057,256 | 1,094,401 | ||||||
5.50%, 08/25/2035 | 190,111 | 210,722 | ||||||
14.81%, 08/25/2035 | 67,209 | 88,241 |
Principal Amount | Value | |||||||
14.98%, 08/25/2035 | 89,257 | 116,221 | ||||||
0.00%, 09/25/2035 PO | 29,694 | 28,047 | ||||||
21.18%, 09/25/2035 | 22,450 | 32,685 | ||||||
0.00%, 10/25/2035 PO | 41,424 | 37,631 | ||||||
5.75%, 10/25/2035 | 189,361 | 202,638 | ||||||
14.98%, 10/25/2035 | 79,069 | 100,059 | ||||||
21.79%, 11/25/2035 | 384,789 | 562,189 | ||||||
5.50%, 12/25/2035 | 97,896 | 104,701 | ||||||
5.50%, 12/25/2035 | 584,000 | 658,241 | ||||||
6.00%, 12/25/2035 | 1,000,000 | 1,077,014 | ||||||
6.00%, 12/25/2035 | 37,563 | 41,539 | ||||||
0.00%, 01/25/2036 PO | 18,774 | 18,095 | ||||||
5.50%, 01/25/2036 | 71,494 | 77,114 | ||||||
0.00%, 03/25/2036 PO | 292,044 | 250,633 | ||||||
0.00%, 03/25/2036 PO | 33,103 | 29,079 | ||||||
5.50%, 03/25/2036 | 160,076 | 171,286 | ||||||
5.50%, 03/25/2036 | 434,292 | 486,861 | ||||||
5.50%, 03/25/2036 | 412,633 | 461,626 | ||||||
5.94%, 03/25/2036 IO | 1,070,830 | 216,124 | ||||||
21.79%, 03/25/2036 | 25,522 | 37,741 | ||||||
0.00%, 04/25/2036 PO | 111,705 | 102,151 | ||||||
0.00%, 04/25/2036 PO | 100,408 | 87,427 | ||||||
0.00%, 04/25/2036 PO | 49,470 | 44,663 | ||||||
1.01%, 04/25/2036 | 182,026 | 180,823 | ||||||
26.75%, 05/25/2036 | 33,007 | 56,155 | ||||||
0.00%, 06/25/2036 PO | 56,465 | 51,165 | ||||||
0.00%, 06/25/2036 PO | 236,117 | 214,477 | ||||||
0.00%, 06/25/2036 PO | 27,179 | 24,821 | ||||||
0.00%, 06/25/2036 PO | 80,353 | 74,331 | ||||||
0.00%, 06/25/2036 PO | 188,600 | 172,721 | ||||||
1.16%, 06/25/2036 | 64,397 | 64,357 | ||||||
5.82%, 06/25/2036 IO | 235,705 | 35,748 | ||||||
21.43%, 06/25/2036 | 10,284 | 13,747 | ||||||
0.89%, 06/27/2036 | 1,165,975 | 1,136,673 | ||||||
0.00%, 07/25/2036 PO | 64,753 | 56,926 | ||||||
0.00%, 07/25/2036 PO | 17,334 | 15,917 | ||||||
0.00%, 07/25/2036 PO | 34,403 | 31,497 |
Principal Amount | Value | |||||||
0.00%, 07/25/2036 PO | 50,635 | 48,897 | ||||||
1.05%, 07/25/2036 | 529,349 | 526,995 | ||||||
1.22%, 07/25/2036 | 55,540 | 55,109 | ||||||
5.76%, 07/25/2036 IO | 91,448 | 17,369 | ||||||
6.00%, 07/25/2036 | 783,395 | 878,020 | ||||||
6.50%, 07/25/2036 | 378,176 | 439,724 | ||||||
6.50%, 07/25/2036 | 501,240 | 577,594 | ||||||
25.78%, 07/25/2036 | 30,848 | 53,672 | ||||||
35.36%, 07/25/2036 | 24,730 | 45,203 | ||||||
0.00%, 08/25/2036 PO | 47,751 | 43,131 | ||||||
0.00%, 08/25/2036 PO | 62,485 | 57,696 | ||||||
0.00%, 08/25/2036 PO | 22,992 | 21,256 | ||||||
0.00%, 08/25/2036 PO | 116,682 | 106,194 | ||||||
1.11%, 08/25/2036 | 201,456 | 200,889 | ||||||
5.74%, 08/25/2036 IO | 93,197 | 26,395 | ||||||
6.50%, 08/25/2036 | 278,177 | 315,260 | ||||||
6.50%, 08/25/2036 | 57,027 | 63,706 | ||||||
0.00%, 09/25/2036 PO | 62,525 | 57,371 | ||||||
0.00%, 09/25/2036 PO | 39,729 | 37,258 | ||||||
0.00%, 09/25/2036 PO | 63,361 | 58,119 | ||||||
6.50%, 09/25/2036 | 38,923 | 43,393 | ||||||
4.50%, 10/25/2036 | 303,123 | 323,088 | ||||||
23.18%, 10/25/2036 | 39,891 | 58,498 | ||||||
0.00%, 11/25/2036 PO | 44,292 | 38,702 | ||||||
0.00%, 11/25/2036 PO | 102,733 | 93,767 | ||||||
0.00%, 11/25/2036 PO | 16,863 | 15,203 | ||||||
0.00%, 12/25/2036 PO | 21,338 | 19,421 | ||||||
0.00%, 12/25/2036 PO | 53,315 | 46,171 | ||||||
0.64%, 12/25/2036 | 580,133 | 567,689 | ||||||
0.82%, 12/25/2036 | 155,100 | 151,952 | ||||||
5.89%, 12/25/2036 IO | 264,172 | 25,484 | ||||||
23.54%, 12/25/2036 | 12,055 | 17,746 | ||||||
0.00%, 01/25/2037 PO | 156,499 | 135,804 | ||||||
0.00%, 01/25/2037 PO | 50,648 | 45,108 | ||||||
5.50%, 01/25/2037 | 82,527 | 87,535 | ||||||
1.01%, 02/25/2037 | 191,755 | 190,990 | ||||||
34.46%, 02/25/2037 | 8,374 | 19,427 |
Principal Amount | Value | |||||||
0.00%, 03/25/2037 PO | 46,160 | 41,942 | ||||||
1.26%, 03/25/2037 | 119,462 | 119,786 | ||||||
1.51%, 03/25/2037 | 145,967 | 147,578 | ||||||
5.00%, 03/25/2037 | 12,586 | 13,572 | ||||||
5.32%, 03/25/2037 IO | 19,150 | 2,755 | ||||||
5.68%, 03/25/2037 IO | 428,444 | 75,064 | ||||||
6.00%, 03/25/2037 | 758,782 | 826,657 | ||||||
0.00%, 04/25/2037 PO | 152,681 | 140,716 | ||||||
5.34%, 04/25/2037 IO | 146,134 | 14,180 | ||||||
20.15%, 04/25/2037 | 90,366 | 130,125 | ||||||
0.00%, 05/25/2037 PO | 30,482 | 28,888 | ||||||
1.06%, 05/25/2037 | 84,581 | 84,151 | ||||||
6.00%, 05/25/2037 | 450,586 | 501,656 | ||||||
1.16%, 06/25/2037 | 520,867 | 520,390 | ||||||
1.21%, 06/25/2037 | 38,815 | 40,146 | ||||||
5.02%, 06/25/2037 IO | 84,359 | 9,618 | ||||||
5.34%, 06/25/2037 IO | 114,240 | 18,178 | ||||||
5.34%, 06/25/2037 IO | 332,604 | 53,815 | ||||||
6.50%, 06/25/2037 | 50,599 | 56,187 | ||||||
0.00%, 07/25/2037 PO | 107,095 | 95,414 | ||||||
1.13%, 07/25/2037 | 93,807 | 93,941 | ||||||
1.26%, 07/25/2037 | 61,435 | 61,666 | ||||||
5.50%, 07/25/2037 | 258,164 | 288,855 | ||||||
5.64%, 07/25/2037 IO | 683,818 | 111,976 | ||||||
5.86%, 07/25/2037 IO | 360,639 | 47,754 | ||||||
6.39%, 07/25/2037 IO | 1,100,911 | 222,325 | ||||||
14.61%, 07/25/2037 | 63,672 | 80,863 | ||||||
1.21%, 08/25/2037 | 405,869 | 407,241 | ||||||
5.50%, 08/25/2037 | 148,041 | 159,420 | ||||||
6.00%, 08/25/2037 | 256,982 | 279,306 | ||||||
6.00%, 08/25/2037 | 40,200 | 44,664 | ||||||
6.00%, 08/25/2037 | 187,073 | 205,727 | ||||||
6.00%, 08/25/2037 | 211,504 | 233,790 | ||||||
21.24%, 08/25/2037 | 92,773 | 130,576 | ||||||
1.21%, 09/25/2037 | 1,608,981 | 1,618,356 | ||||||
5.78%, 09/25/2037 IO | 336,875 | 59,558 | ||||||
14.26%, 09/25/2037 | 24,841 | 32,571 |
Principal Amount | Value | |||||||
0.00%, 10/25/2037 PO | 940,235 | 820,742 | ||||||
5.69%, 10/25/2037 IO | 348,182 | 59,533 | ||||||
5.70%, 10/25/2037 IO | 368,878 | 46,740 | ||||||
6.20%, 10/25/2037 | 133,756 | 148,612 | ||||||
0.96%, 10/27/2037 | 480,332 | 479,814 | ||||||
5.60%, 12/25/2037 IO | 18,978 | 2,387 | ||||||
5.64%, 12/25/2037 IO | 435,140 | 64,006 | ||||||
5.69%, 12/25/2037 IO | 351,159 | 62,287 | ||||||
6.50%, 12/25/2037 | 303,207 | 349,909 | ||||||
1.71%, 01/25/2038 IO | 936,240 | 57,678 | ||||||
5.15%, 02/25/2038 IO | 391,147 | 59,207 | ||||||
5.24%, 02/25/2038 IO | 664,490 | 106,358 | ||||||
1.66%, 03/25/2038 | 81,444 | 82,841 | ||||||
5.44%, 03/25/2038 IO | 102,900 | 16,221 | ||||||
5.47%, 03/25/2038 IO | 100,683 | 12,382 | ||||||
6.23%, 03/25/2038 IO | 159,418 | 30,435 | ||||||
12.49%, 03/25/2038 | 42,162 | 50,618 | ||||||
5.50%, 04/25/2038 | 642,258 | 657,430 | ||||||
6.09%, 04/25/2038 IO | 91,642 | 12,082 | ||||||
6.14%, 04/25/2038 IO | 140,696 | 21,252 | ||||||
6.50%, 04/25/2038 | 101,002 | 109,277 | ||||||
18.43%, 04/25/2038 | 50,784 | 68,602 | ||||||
0.00%, 05/25/2038 PO | 4,985 | 4,652 | ||||||
1.82%, 06/25/2038 IO | 379,499 | 24,524 | ||||||
5.00%, 07/25/2038 | 78,964 | 85,289 | ||||||
5.00%, 07/25/2038 | 90,052 | 98,386 | ||||||
5.50%, 07/25/2038 | 506,352 | 553,002 | ||||||
6.44%, 07/25/2038 IO | 95,073 | 15,290 | ||||||
5.09%, 09/25/2038 IO | 191,174 | 25,652 | ||||||
5.09%, 09/25/2038 IO | 341,611 | 44,894 | ||||||
4.50%, 11/25/2038 | 43,312 | 44,416 | ||||||
1.16%, 12/25/2038 | 181,360 | 181,738 | ||||||
4.00%, 02/25/2039 | 244,896 | 250,968 | ||||||
4.50%, 02/25/2039 | 18,092 | 18,916 | ||||||
5.79%, 02/25/2039 IO | 232,551 | 46,153 | ||||||
5.89%, 03/25/2039 IO | 179,512 | 27,384 | ||||||
1.21%, 04/25/2039 | 469,712 | 472,907 |
Principal Amount | Value | |||||||
4.00%, 07/25/2039 | 723,325 | 726,876 | ||||||
5.00%, 07/25/2039 IO | 154,654 | 26,498 | ||||||
7.00%, 07/25/2039 | 10,208 | 11,181 | ||||||
5.00%, 08/25/2039 | 573,137 | 629,199 | ||||||
6.00%, 08/25/2039 | 681,723 | 770,978 | ||||||
5.00%, 09/25/2039 | 447,666 | 472,247 | ||||||
6.04%, 09/25/2039 | 284,287 | 324,253 | ||||||
5.14%, 10/25/2039 IO | 145,396 | 18,344 | ||||||
5.50%, 10/25/2039 IO | 359,056 | 63,036 | ||||||
2.97%, 12/25/2039 | 667,769 | 712,306 | ||||||
5.42%, 12/25/2039 IO | 170,509 | 25,205 | ||||||
6.30%, 12/25/2039 | 438,356 | 497,902 | ||||||
0.00%, 01/25/2040 PO | 84,691 | 76,973 | ||||||
5.49%, 01/25/2040 IO | 272,331 | 40,632 | ||||||
6.20%, 02/25/2040 | 116,443 | 133,221 | ||||||
1.36%, 03/25/2040 | 181,779 | 184,026 | ||||||
6.23%, 03/25/2040 | 330,117 | 377,846 | ||||||
6.44%, 03/25/2040 | 357,887 | 414,088 | ||||||
11.15%, 03/25/2040 | 557,208 | 684,917 | ||||||
1.36%, 04/25/2040 | 157,645 | 158,811 | ||||||
5.66%, 04/25/2040 IO | 234,148 | 29,861 | ||||||
15.15%, 04/25/2040 | 251,150 | 348,769 | ||||||
1.36%, 05/25/2040 | 156,182 | 157,532 | ||||||
5.64%, 05/25/2040 IO | 129,997 | 16,751 | ||||||
0.00%, 06/25/2040 PO | 138,164 | 120,531 | ||||||
5.00%, 06/25/2040 | 1,336,770 | 1,454,812 | ||||||
5.50%, 06/25/2040 | 1,007,000 | 1,075,917 | ||||||
5.50%, 07/25/2040 | 659,775 | 721,922 | ||||||
4.00%, 08/25/2040 | 2,224,607 | 2,286,045 | ||||||
5.00%, 09/25/2040 | 206,000 | 231,303 | ||||||
5.50%, 10/25/2040 | 2,012,000 | 2,266,875 | ||||||
3.68%, 11/25/2040 IO | 1,308,857 | 112,140 | ||||||
1.31%, 01/25/2041 | 345,117 | 346,538 | ||||||
5.77%, 01/25/2041 IO | 1,097,053 | 234,251 | ||||||
1.88%, 04/25/2041 IO | 2,393,237 | 165,016 | ||||||
1.26%, 07/25/2041 | 121,357 | 121,539 | ||||||
1.31%, 08/25/2041 | 379,991 | 384,544 |
Principal Amount | Value | |||||||
1.26%, 11/25/2041 | 436,181 | 435,573 | ||||||
7.00%, 11/25/2041 | 2,084,711 | 2,444,623 | ||||||
7.00%, 11/25/2041 | 2,369,386 | 2,791,449 | ||||||
7.00%, 11/25/2041 | 2,772,430 | 3,250,688 | ||||||
3.50%, 03/25/2042 | 1,000,000 | 1,006,064 | ||||||
6.50%, 06/25/2042 | 81,538 | 94,954 | ||||||
1.21%, 09/25/2042 | 652,610 | 659,730 | ||||||
1.26%, 09/25/2042 | 2,437,580 | 2,402,720 | ||||||
1.26%, 09/25/2042 | 320,705 | 319,067 | ||||||
1.26%, 10/25/2042 | 1,050,108 | 1,042,130 | ||||||
3.00%, 02/25/2043 | 1,000,000 | 953,719 | ||||||
3.50%, 02/25/2043 | 637,878 | 644,294 | ||||||
0.00%, 09/25/2043 PO | 2,007,964 | 1,613,048 | ||||||
0.00%, 10/25/2043 PO | 1,394,259 | 1,108,619 | ||||||
0.00%, 12/25/2043 PO | 3,768,318 | 3,033,680 | ||||||
3.00%, 01/25/2046 | 2,963,380 | 2,995,638 | ||||||
5.34%, 11/25/2049 IO | 168,801 | 22,845 | ||||||
5.82%, 02/25/2051 | 204,549 | 221,285 | ||||||
5.45%, 07/25/2051 | 72,771 | 80,119 | ||||||
Fannie Mae Trust 2003-W2 | ||||||||
5.90%, 07/25/2042 | 80,230 | 89,342 | ||||||
6.50%, 07/25/2042 | 139,535 | 156,820 | ||||||
Fannie Mae Trust 2003-W6 | ||||||||
5.20%, 09/25/2042 | 533,746 | 599,891 | ||||||
6.50%, 09/25/2042 | 228,483 | 258,281 | ||||||
Fannie Mae Trust 2003-W8 | ||||||||
1.16%, 05/25/2042 | 51,116 | 50,442 | ||||||
7.00%, 10/25/2042 | 282,981 | 329,639 | ||||||
Fannie Mae Trust 2004-W1 | ||||||||
7.00%, 12/25/2043 | 366,810 | 420,770 | ||||||
Fannie Mae Trust 2004-W15 | ||||||||
1.01%, 08/25/2044 | 230,640 | 228,828 | ||||||
Fannie Mae Trust 2004-W2 | ||||||||
7.00%, 02/25/2044 | 84,880 | 97,969 | ||||||
Fannie Mae Trust 2004-W8 | ||||||||
7.50%, 06/25/2044 | 84,741 | 97,193 |
Principal Amount | Value | |||||||
Fannie Mae Trust 2005-W3 | ||||||||
0.98%, 03/25/2045 | 1,871,959 | 1,816,015 | ||||||
Fannie Mae Trust 2005-W4 | ||||||||
6.00%, 08/25/2045 | 104,319 | 116,864 | ||||||
Fannie Mae Trust 2006-W2 | ||||||||
2.61%, 11/25/2045 | 259,789 | 276,771 | ||||||
0.98%, 02/25/2046 | 882,942 | 882,225 | ||||||
Fannie Mae Whole Loan | ||||||||
1.02%, 11/25/2046 | 2,213,007 | 2,216,785 | ||||||
Fannie Mae-Aces | ||||||||
1.03%, 08/25/2019 | 517,364 | 515,572 | ||||||
1.80%, 12/25/2019 | 743,000 | 745,130 | ||||||
4.33%, 03/25/2020 | 728,758 | 771,160 | ||||||
3.66%, 11/25/2020 | 602,767 | 626,680 | ||||||
3.73%, 06/25/2021 | 5,158,000 | 5,429,139 | ||||||
3.76%, 06/25/2021 | 1,032,000 | 1,089,748 | ||||||
2.92%, 08/25/2021 | 706,000 | 721,448 | ||||||
2.61%, 10/25/2021 | 3,000,000 | 3,033,348 | ||||||
1.46%, 11/25/2022 | 3,644,953 | 3,659,399 | ||||||
2.28%, 12/25/2022 | 1,357,000 | 1,332,707 | ||||||
2.39%, 01/25/2023 | 1,342,000 | 1,323,942 | ||||||
3.51%, 12/25/2023 | 8,394,000 | 8,732,298 | ||||||
3.47%, 01/25/2024 | 16,000,000 | 16,676,307 | ||||||
3.10%, 07/25/2024 | 1,066,000 | 1,079,555 | ||||||
3.02%, 08/25/2024 | 1,273,000 | 1,282,686 | ||||||
2.53%, 09/25/2024 | 1,390,000 | 1,359,127 | ||||||
2.72%, 10/25/2024 | 13,450,000 | 13,309,883 | ||||||
2.59%, 12/25/2024 | 1,640,000 | 1,606,757 | ||||||
3.05%, 12/25/2024 | 2,867,970 | 2,898,303 | ||||||
2.83%, 01/25/2025 | 3,500,000 | 3,466,521 | ||||||
2.90%, 01/25/2025 | 2,000,000 | 1,999,329 | ||||||
2.94%, 11/25/2025 | 8,800,000 | 8,826,530 | ||||||
2.38%, 09/25/2026 | 5,500,000 | 5,091,597 | ||||||
3.09%, 04/25/2027 | 23,211,000 | 23,221,371 | ||||||
FDIC Guaranteed Notes Trust 2010-C1 | ||||||||
2.98%, 12/06/2020 (Acquired 10/28/2013, Cost $816,298) (1) | 808,404 | 815,198 | ||||||
FHLMC-GNMA | ||||||||
7.00%, 03/25/2023 | 16,305 | 17,727 |
Principal Amount | Value | |||||||
6.25%, 11/25/2023 | 10,942 | 12,111 | ||||||
7.50%, 04/25/2024 | 79,741 | 88,994 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA7 | ||||||||
5.00%, 09/25/2020 | 11,028 | 11,083 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | ||||||||
5.50%, 11/25/2035 | 147,913 | 126,061 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | ||||||||
5.75%, 11/25/2021 | 42,231 | 41,879 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | ||||||||
5.75%, 01/25/2022 | 75,508 | 66,621 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | ||||||||
5.07%, 08/25/2037 IO | 1,211,230 | 232,649 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR2 | ||||||||
3.07%, 05/25/2034 | 65,067 | 64,254 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR7 | ||||||||
2.82%, 02/25/2035 | 361,606 | 359,200 | ||||||
First Horizon Mortgage Pass-Through Trust 2005-AR1 | ||||||||
2.92%, 04/25/2035 | 199,704 | 199,104 | ||||||
Freddie Mac Gold Pool | ||||||||
6.00%, 04/01/2017 | 15,594 | 15,668 | ||||||
6.00%, 04/01/2017 | 4,928 | 4,942 | ||||||
5.50%, 06/01/2017 | 312 | 314 | ||||||
5.00%, 10/01/2017 | 5,892 | 6,036 | ||||||
6.50%, 11/01/2017 | 325 | 329 | ||||||
5.00%, 12/01/2017 | 26,340 | 26,983 | ||||||
5.00%, 12/01/2017 | 29,031 | 29,740 | ||||||
6.50%, 12/01/2017 | 558 | 565 | ||||||
5.50%, 01/01/2018 | 7,507 | 7,604 | ||||||
5.50%, 02/01/2018 | 7,698 | 7,829 | ||||||
5.50%, 04/01/2018 | 88,430 | 90,291 | ||||||
6.00%, 04/01/2018 | 1,965 | 2,000 | ||||||
6.50%, 04/01/2018 | 2,789 | 2,808 | ||||||
4.00%, 06/01/2018 | 1,402 | 1,437 | ||||||
4.50%, 08/01/2018 | 2,518 | 2,583 | ||||||
4.50%, 10/01/2018 | 17,978 | 18,443 | ||||||
4.50%, 10/01/2018 | 1,500 | 1,539 | ||||||
5.00%, 12/01/2018 | 5,331 | 5,461 |
Principal Amount | Value | |||||||
5.50%, 01/01/2019 | 14,244 | 14,502 | ||||||
6.50%, 09/01/2019 | 3,122 | 3,206 | ||||||
5.50%, 12/01/2019 | 18,171 | 18,709 | ||||||
6.00%, 02/01/2020 | 3,010 | 3,039 | ||||||
5.50%, 04/01/2020 | 21,724 | 22,339 | ||||||
5.50%, 06/01/2020 | 8,139 | 8,269 | ||||||
6.00%, 06/01/2020 | 12,601 | 13,126 | ||||||
8.00%, 07/01/2020 | 18 | 18 | ||||||
6.00%, 08/01/2020 | 6,091 | 6,350 | ||||||
6.00%, 07/01/2021 | 6,724 | 6,820 | ||||||
6.00%, 07/01/2021 | 27,171 | 28,189 | ||||||
6.00%, 01/01/2022 | 1,497 | 1,508 | ||||||
6.00%, 02/01/2022 | 1,549 | 1,555 | ||||||
6.00%, 03/01/2022 | 8,606 | 8,754 | ||||||
6.50%, 03/01/2022 | 5,048 | 5,281 | ||||||
6.00%, 12/01/2022 | 8,492 | 9,592 | ||||||
5.50%, 02/01/2024 | 20,518 | 21,870 | ||||||
4.00%, 07/01/2024 | 459,325 | 483,748 | ||||||
8.00%, 08/01/2024 | 919 | 1,050 | ||||||
8.00%, 11/01/2024 | 687 | 752 | ||||||
7.50%, 08/01/2025 | 1,708 | 1,983 | ||||||
3.50%, 11/01/2025 | 528,682 | 551,800 | ||||||
3.50%, 12/01/2025 | 1,714,151 | 1,798,600 | ||||||
10.00%, 03/17/2026 | 27,338 | 27,952 | ||||||
7.00%, 04/01/2026 | 1,728 | 1,964 | ||||||
3.50%, 08/01/2026 | 1,871,218 | 1,962,036 | ||||||
3.50%, 01/01/2027 | 328,022 | 343,941 | ||||||
6.50%, 01/01/2028 | 54,932 | 62,819 | ||||||
2.50%, 01/15/2028(3) | 9,500,000 | 9,513,300 | ||||||
2.50%, 03/01/2028 | 13,162,995 | 13,193,255 | ||||||
2.50%, 04/01/2028 | 3,486,472 | 3,494,487 | ||||||
3.00%, 07/01/2028 | 2,824,612 | 2,901,230 | ||||||
8.50%, 07/01/2028 | 4,803 | 5,777 | ||||||
3.00%, 08/01/2028 | 1,547,660 | 1,590,839 | ||||||
3.00%, 09/01/2028 | 5,935,390 | 6,097,196 | ||||||
3.00%, 10/01/2028 | 2,449,316 | 2,518,568 | ||||||
7.00%, 12/01/2028 | 71,161 | 81,750 |
Principal Amount | Value | |||||||
3.00%, 05/01/2029 | 2,134,563 | 2,193,388 | ||||||
6.50%, 06/01/2029 | 23,553 | 26,603 | ||||||
7.00%, 07/01/2029 | 1,074 | 1,180 | ||||||
6.50%, 08/01/2029 | 119,070 | 136,301 | ||||||
6.00%, 10/01/2029 | 23,110 | 26,500 | ||||||
2.50%, 03/01/2030 | 2,406,326 | 2,413,242 | ||||||
2.50%, 07/01/2030 | 5,845,383 | 5,862,103 | ||||||
10.00%, 10/01/2030 | 166,746 | 181,218 | ||||||
7.00%, 01/01/2031 | 64,979 | 74,702 | ||||||
2.50%, 08/01/2031 | 2,796,488 | 2,803,760 | ||||||
3.50%, 01/01/2032 | 856,868 | 888,014 | ||||||
7.50%, 01/01/2032 | 149,051 | 173,302 | ||||||
3.50%, 03/01/2032 | 348,761 | 361,426 | ||||||
7.00%, 07/01/2032 | 5,857 | 6,498 | ||||||
7.00%, 08/01/2032 | 7,219 | 7,987 | ||||||
5.50%, 01/01/2033 | 165,418 | 185,178 | ||||||
3.50%, 02/01/2033 | 279,124 | 289,910 | ||||||
6.00%, 02/01/2033 | 109,363 | 121,425 | ||||||
3.50%, 05/01/2033 | 1,272,970 | 1,322,401 | ||||||
3.50%, 05/01/2033 | 350,514 | 364,113 | ||||||
5.50%, 10/01/2033 | 60,017 | 68,854 | ||||||
6.00%, 12/01/2033 | 14,783 | 16,714 | ||||||
5.00%, 01/01/2034 | 46,984 | 51,781 | ||||||
6.00%, 01/01/2034 | 31,980 | 35,028 | ||||||
6.00%, 01/01/2034 | 43,321 | 50,396 | ||||||
5.00%, 06/01/2034 | 228,369 | 250,352 | ||||||
5.00%, 09/01/2034 | 120,670 | 133,949 | ||||||
6.50%, 11/01/2034 | 14,052 | 16,379 | ||||||
6.50%, 01/01/2035 | 143,942 | 162,899 | ||||||
5.00%, 03/01/2035 | 62,372 | 67,875 | ||||||
5.50%, 07/01/2035 | 119,691 | 134,645 | ||||||
4.50%, 11/01/2035 | 16,936 | 18,164 | ||||||
6.50%, 12/01/2035 | 55,919 | 61,937 | ||||||
6.50%, 12/01/2035 | 95,967 | 110,566 | ||||||
5.50%, 01/01/2036 | 37,136 | 41,550 | ||||||
5.00%, 03/01/2036 | 4,710,479 | 5,144,205 | ||||||
5.00%, 07/01/2036 | 4,147 | 4,538 |
Principal Amount | Value | |||||||
5.00%, 11/01/2036 | 128,577 | 140,736 | ||||||
6.00%, 11/01/2036 | 14,867 | 15,998 | ||||||
6.50%, 11/01/2036 | 211,811 | 235,076 | ||||||
6.50%, 11/01/2036 | 36,966 | 43,400 | ||||||
6.50%, 11/01/2036 | 467,627 | 531,590 | ||||||
5.50%, 12/01/2036 | 62,191 | 69,522 | ||||||
6.00%, 12/01/2036 | 14,164 | 16,042 | ||||||
6.00%, 12/01/2036 | 30,535 | 34,814 | ||||||
6.50%, 12/01/2036 | 166,797 | 185,994 | ||||||
6.50%, 12/01/2036 | 444,120 | 499,151 | ||||||
7.50%, 12/01/2036 | 510,056 | 589,134 | ||||||
6.50%, 01/01/2037 | 25,455 | 27,806 | ||||||
6.50%, 01/01/2037 | 6,678 | 6,914 | ||||||
6.50%, 02/01/2037 | 52,849 | 59,012 | ||||||
7.00%, 02/01/2037 | 12,766 | 14,810 | ||||||
5.00%, 03/01/2037 | 349,908 | 381,829 | ||||||
5.00%, 06/01/2037 | 400,924 | 437,634 | ||||||
6.50%, 06/01/2037 | 23,906 | 26,346 | ||||||
5.00%, 08/01/2037 | 383,858 | 419,760 | ||||||
6.50%, 11/01/2037 | 91,896 | 104,089 | ||||||
7.50%, 01/01/2038 | 53,038 | 58,867 | ||||||
7.50%, 01/01/2038 | 93,144 | 111,053 | ||||||
5.00%, 02/01/2038 | 406,810 | 442,718 | ||||||
5.00%, 03/01/2038 | 108,673 | 118,627 | ||||||
5.00%, 03/01/2038 | 447,207 | 486,534 | ||||||
5.00%, 03/01/2038 | 412,129 | 450,471 | ||||||
5.00%, 03/01/2038 | 431,181 | 469,098 | ||||||
6.50%, 03/01/2038 | 89,362 | 104,483 | ||||||
5.00%, 04/01/2038 | 390,917 | 425,294 | ||||||
5.50%, 05/01/2038 | 111,831 | 124,304 | ||||||
5.50%, 08/01/2038 | 138,220 | 153,982 | ||||||
5.00%, 09/01/2038 | 1,620 | 1,763 | ||||||
5.00%, 09/01/2038 | 330,763 | 359,959 | ||||||
7.50%, 09/01/2038 | 51,031 | 60,807 | ||||||
5.00%, 11/01/2038 | 2,433 | 2,650 | ||||||
5.00%, 11/01/2038 | 141,082 | 153,489 | ||||||
5.00%, 12/01/2038 | 391,470 | 426,599 |
Principal Amount | Value | |||||||
5.00%, 12/01/2038 | 1,397 | 1,520 | ||||||
5.50%, 01/01/2039 | 4,900,866 | 5,519,060 | ||||||
5.00%, 02/01/2039 | 808,419 | 879,519 | ||||||
5.00%, 05/01/2039 | 12,053 | 13,429 | ||||||
4.50%, 07/01/2039 | 335,312 | 359,803 | ||||||
4.50%, 10/01/2039 | 2,779,253 | 2,990,770 | ||||||
5.00%, 10/01/2039 | 889,605 | 968,428 | ||||||
4.50%, 11/01/2039 | 3,200,649 | 3,442,394 | ||||||
4.50%, 11/01/2039 | 4,507,479 | 4,850,015 | ||||||
5.00%, 03/01/2040 | 4,425,426 | 4,821,499 | ||||||
5.50%, 03/01/2040 | 42,212 | 46,916 | ||||||
5.50%, 05/01/2040 | 3,363,234 | 3,751,215 | ||||||
4.50%, 08/01/2040 | 725,412 | 780,774 | ||||||
4.50%, 08/01/2040 | 5,049,672 | 5,464,158 | ||||||
4.50%, 08/01/2040 | 75,572 | 81,512 | ||||||
5.00%, 08/01/2040 | 538,231 | 588,310 | ||||||
5.00%, 08/01/2040 | 2,146,096 | 2,348,958 | ||||||
5.50%, 08/01/2040 | 1,403,229 | 1,562,467 | ||||||
4.00%, 09/01/2040 | 1,143,761 | 1,206,576 | ||||||
4.50%, 09/01/2040 | 566,082 | 609,310 | ||||||
4.50%, 09/01/2040 | 2,234,953 | 2,405,895 | ||||||
4.00%, 11/01/2040 | 3,429,023 | 3,601,238 | ||||||
4.00%, 11/01/2040 | 60,297 | 63,617 | ||||||
4.00%, 12/01/2040 | 1,743,825 | 1,842,004 | ||||||
4.00%, 12/01/2040 | 2,089,274 | 2,199,107 | ||||||
4.00%, 12/01/2040 | 1,507,280 | 1,592,011 | ||||||
4.00%, 12/01/2040 | 637,919 | 673,791 | ||||||
4.00%, 12/01/2040 | 2,144,876 | 2,252,705 | ||||||
4.00%, 01/01/2041 | 1,344,114 | 1,418,414 | ||||||
4.00%, 01/15/2041(3) | 9,210,000 | 9,668,658 | ||||||
4.50%, 01/15/2041(3) | 3,000,000 | 3,219,000 | ||||||
4.50%, 03/01/2041 | 427,482 | 459,506 | ||||||
5.00%, 04/01/2041 | 2,057,304 | 2,246,717 | ||||||
4.50%, 05/01/2041 | 3,143,311 | 3,386,150 | ||||||
5.00%, 06/01/2041 | 583,278 | 637,807 | ||||||
4.00%, 10/01/2041 | 7,378,064 | 7,758,117 | ||||||
4.00%, 11/01/2041 | 18,808 | 19,850 |
Principal Amount | Value | |||||||
4.00%, 01/01/2042 | 339,242 | 358,063 | ||||||
3.50%, 01/15/2042(3) | 12,790,000 | 13,088,007 | ||||||
4.00%, 05/01/2042 | 25,445 | 26,855 | ||||||
4.50%, 05/01/2042 | 4,480,779 | 4,841,459 | ||||||
3.50%, 06/01/2042 | 4,153,509 | 4,276,027 | ||||||
3.50%, 06/01/2042 | 669,958 | 689,606 | ||||||
4.00%, 06/01/2042 | 3,445,624 | 3,649,519 | ||||||
3.50%, 07/01/2042 | 15,527,939 | 15,982,163 | ||||||
3.00%, 08/01/2042 | 2,710,185 | 2,707,271 | ||||||
3.50%, 08/01/2042 | 1,328,588 | 1,367,243 | ||||||
3.50%, 09/01/2042 | 9,214,425 | 9,487,605 | ||||||
3.50%, 09/01/2042 | 5,569,843 | 5,732,475 | ||||||
3.00%, 10/01/2042 | 6,717,264 | 6,710,042 | ||||||
3.50%, 10/01/2042 | 4,068,116 | 4,176,027 | ||||||
4.00%, 10/01/2042 | 139,729 | 145,099 | ||||||
3.00%, 11/01/2042 | 8,851,793 | 8,842,281 | ||||||
3.50%, 11/01/2042 | 172,526 | 177,629 | ||||||
4.00%, 01/01/2043 | 399,634 | 423,435 | ||||||
3.00%, 01/15/2043(3) | 33,215,000 | 32,959,244 | ||||||
3.00%, 02/01/2043 | 570,320 | 569,707 | ||||||
3.00%, 03/01/2043 | 7,370,107 | 7,362,182 | ||||||
3.00%, 03/01/2043 | 3,642,076 | 3,638,162 | ||||||
3.50%, 03/01/2043 | 1,187,258 | 1,221,668 | ||||||
3.00%, 04/01/2043 | 137,412 | 137,151 | ||||||
3.00%, 04/01/2043 | 4,773,478 | 4,768,343 | ||||||
3.50%, 05/01/2043 | 417,927 | 430,294 | ||||||
3.00%, 06/01/2043 | 54,016 | 53,779 | ||||||
3.00%, 06/01/2043 | 15,647,804 | 15,611,595 | ||||||
3.50%, 06/01/2043 | 1,409,739 | 1,451,329 | ||||||
3.50%, 06/01/2043 | 2,457,065 | 2,528,165 | ||||||
4.00%, 06/01/2043 | 23,217 | 24,552 | ||||||
3.00%, 07/01/2043 | 506,953 | 505,783 | ||||||
3.00%, 07/01/2043 | 38,779 | 38,674 | ||||||
3.00%, 08/01/2043 | 9,773,725 | 9,743,019 | ||||||
3.00%, 08/01/2043 | 774,471 | 771,402 | ||||||
3.00%, 09/01/2043 | 637,207 | 634,161 | ||||||
4.00%, 09/01/2043 | 267,962 | 283,112 |
Principal Amount | Value | |||||||
3.50%, 10/01/2043 | 315,175 | 324,244 | ||||||
3.00%, 11/01/2043 | 76,557 | 76,253 | ||||||
4.00%, 11/01/2043 | 138,447 | 145,552 | ||||||
4.00%, 11/01/2043 | 313,267 | 328,877 | ||||||
4.00%, 12/01/2043 | 378,439 | 397,864 | ||||||
4.00%, 12/01/2043 | 2,904,218 | 3,049,106 | ||||||
4.00%, 12/01/2043 | 1,087,114 | 1,148,590 | ||||||
4.00%, 01/01/2044 | 880,499 | 924,434 | ||||||
4.00%, 01/01/2044 | 189,239 | 199,868 | ||||||
4.00%, 03/01/2044 | 4,890,568 | 5,134,806 | ||||||
4.50%, 03/01/2044 | 1,238,201 | 1,328,565 | ||||||
3.50%, 05/01/2044 | 22,115,846 | 22,754,643 | ||||||
4.50%, 05/01/2044 | 1,784,282 | 1,915,601 | ||||||
4.50%, 07/01/2044 | 549,264 | 589,501 | ||||||
4.50%, 07/01/2044 | 124,888 | 134,108 | ||||||
4.50%, 09/01/2044 | 3,375,322 | 3,622,689 | ||||||
4.00%, 10/01/2044 | 12,944,057 | 13,664,383 | ||||||
4.00%, 01/01/2045 | 856,399 | 899,376 | ||||||
3.50%, 03/01/2045 | 4,625,248 | 4,737,050 | ||||||
3.00%, 05/01/2045 | 1,716,271 | 1,709,639 | ||||||
3.00%, 05/01/2045 | 3,103,871 | 3,086,107 | ||||||
3.00%, 06/01/2045 | 906,623 | 900,592 | ||||||
3.00%, 10/01/2045 | 7,082,506 | 7,071,956 | ||||||
4.00%, 10/01/2045 | 1,224,448 | 1,286,011 | ||||||
3.50%, 12/01/2045 | 5,969,983 | 6,113,937 | ||||||
3.50%, 01/01/2046 | 6,869,647 | 7,051,086 | ||||||
4.00%, 01/01/2046 | 4,759,291 | 5,052,350 | ||||||
3.50%, 02/01/2046 | 11,353,321 | 11,627,849 | ||||||
4.00%, 02/01/2046 | 988,751 | 1,038,529 | ||||||
3.50%, 03/01/2046 | 7,671,889 | 7,880,761 | ||||||
4.00%, 04/01/2046 | 12,161,083 | 12,841,521 | ||||||
4.50%, 04/01/2046 | 4,355,965 | 4,721,132 | ||||||
3.50%, 07/01/2046 | 9,984,952 | 10,239,712 | ||||||
3.50%, 07/01/2046 | 6,127,998 | 6,278,813 | ||||||
4.00%, 07/01/2046 | 9,897,320 | 10,460,385 | ||||||
3.50%, 08/01/2046 | 6,124,700 | 6,293,334 | ||||||
4.00%, 08/01/2046 | 5,500,649 | 5,813,589 | ||||||
4.00%, 10/01/2046 | 451,855 | 477,562 |
Principal Amount | Value | |||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
5.05%, 01/25/2019 | 3,175,000 | 3,346,674 | ||||||
5.09%, 03/25/2019 | 9,000,000 | 9,548,756 | ||||||
2.31%, 03/25/2020 | 6,850,000 | 6,928,182 | ||||||
1.62%, 06/25/2020 IO | 57,865,085 | 2,356,995 | ||||||
2.57%, 09/25/2020 | 12,325,000 | 12,530,429 | ||||||
2.60%, 09/25/2020 | 763,000 | 776,640 | ||||||
2.87%, 12/25/2021 | 5,500,000 | 5,635,962 | ||||||
1.44%, 05/25/2022 IO | 54,651,768 | 3,437,307 | ||||||
2.37%, 05/25/2022 | 15,905,000 | 15,914,624 | ||||||
2.36%, 08/25/2022 | 3,968,000 | 3,932,453 | ||||||
1.23%, 09/25/2022 | 4,659,690 | 4,668,687 | ||||||
2.84%, 09/25/2022 | 2,665,000 | 2,695,263 | ||||||
0.88%, 10/25/2022 IO | 22,986,018 | 948,631 | ||||||
2.31%, 12/25/2022 | 6,000,000 | 5,876,547 | ||||||
2.52%, 01/25/2023 | 2,000,000 | 1,999,552 | ||||||
2.62%, 01/25/2023 | 8,500,000 | 8,507,971 | ||||||
3.06%, 07/25/2023 | 8,150,000 | 8,400,616 | ||||||
3.53%, 07/25/2023 | 12,628,000 | 13,359,837 | ||||||
3.49%, 01/25/2024 | 5,000,000 | 5,264,259 | ||||||
3.39%, 03/25/2024 | 4,286,000 | 4,484,165 | ||||||
2.81%, 01/25/2025 | 29,255,000 | 29,288,123 | ||||||
2.77%, 05/25/2025 | 4,250,000 | 4,176,662 | ||||||
3.16%, 05/25/2025 | 5,600,000 | 5,653,614 | ||||||
1.37%, 03/25/2026 | 55,965,334 | 5,495,611 | ||||||
3.08%, 01/25/2031 | 4,126,000 | 3,997,070 | ||||||
Freddie Mac Non Gold Pool | ||||||||
2.50%, 07/01/2019 | 1,005 | 1,010 | ||||||
2.63%, 07/01/2026 | 4,468 | 4,494 | �� | |||||
2.59%, 01/01/2027 | 8,429 | 8,821 | ||||||
2.68%, 04/01/2030 | 4,097 | 4,308 | ||||||
2.89%, 09/01/2032 | 6,955 | 7,364 | ||||||
2.77%, 05/01/2033 | 232,599 | 245,021 | ||||||
2.61%, 12/01/2033 | 36,718 | 39,000 | ||||||
2.89%, 04/01/2034 | 73,580 | 78,114 | ||||||
2.86%, 09/01/2034 | 155,127 | 164,455 |
Principal Amount | Value | |||||||
2.63%, 01/01/2035 | 241,369 | 255,083 | ||||||
2.64%, 01/01/2035 | 77,539 | 82,038 | ||||||
2.82%, 08/01/2035 | 26,386 | 27,812 | ||||||
3.02%, 12/01/2035 | 81,521 | 86,528 | ||||||
2.79%, 02/01/2036 | 141,792 | 150,791 | ||||||
2.85%, 02/01/2036 | 34,140 | 36,149 | ||||||
3.14%, 03/01/2036 | 167,099 | 177,653 | ||||||
3.56%, 03/01/2036 | 149,064 | 157,485 | ||||||
2.76%, 05/01/2036 | 104,065 | 109,991 | ||||||
2.82%, 05/01/2036 | 156,922 | 165,161 | ||||||
3.44%, 05/01/2036 | 37,052 | 39,376 | ||||||
3.07%, 06/01/2036 | 451,573 | 479,013 | ||||||
3.12%, 06/01/2036 | 147,959 | 156,424 | ||||||
2.69%, 07/01/2036 | 80,923 | 84,928 | ||||||
2.77%, 07/01/2036 | 54,620 | 57,835 | ||||||
2.79%, 07/01/2036 | 68,492 | 71,101 | ||||||
2.60%, 08/01/2036 | 34,382 | 35,873 | ||||||
2.64%, 08/01/2036 | 94,600 | 99,022 | ||||||
2.65%, 08/01/2036 | 481,776 | 506,516 | ||||||
3.01%, 09/01/2036 | 207,812 | 220,520 | ||||||
3.02%, 09/01/2036 | 184,205 | 195,408 | ||||||
2.74%, 10/01/2036 | 328,654 | 342,896 | ||||||
2.85%, 10/01/2036 | 81,989 | 86,949 | ||||||
2.86%, 10/01/2036 | 139,218 | 146,990 | ||||||
2.91%, 10/01/2036 | 48,289 | 50,005 | ||||||
2.94%, 10/01/2036 | 178,464 | 186,619 | ||||||
3.02%, 10/01/2036 | 86,808 | 92,115 | ||||||
3.49%, 10/01/2036 | 92,576 | 98,325 | ||||||
2.63%, 11/01/2036 | 153,913 | 161,756 | ||||||
2.66%, 11/01/2036 | 74,588 | 78,802 | ||||||
2.78%, 11/01/2036 | 268,409 | 284,484 | ||||||
2.88%, 11/01/2036 | 41,294 | 43,815 | ||||||
3.02%, 11/01/2036 | 79,421 | 84,397 | ||||||
2.65%, 12/01/2036 | 18,534 | 19,476 | ||||||
2.74%, 12/01/2036 | 528,024 | 552,601 | ||||||
2.77%, 12/01/2036 | 478,255 | 505,998 |
Principal Amount | Value | |||||||
2.92%, 12/01/2036 | 198,517 | 212,158 | ||||||
3.43%, 12/01/2036 | 21,331 | 23,054 | ||||||
2.85%, 01/01/2037 | 90,548 | 95,913 | ||||||
2.92%, 01/01/2037 | 16,674 | 17,433 | ||||||
2.65%, 02/01/2037 | 19,394 | 20,608 | ||||||
2.78%, 02/01/2037 | 15,564 | 16,490 | ||||||
2.98%, 02/01/2037 | 154,589 | 164,166 | ||||||
3.08%, 02/01/2037 | 266,053 | 279,812 | ||||||
3.26%, 02/01/2037 | 36,944 | 39,578 | ||||||
2.88%, 03/01/2037 | 445,623 | 465,830 | ||||||
3.13%, 03/01/2037 | 71,629 | 75,250 | ||||||
3.38%, 03/01/2037 | 40,153 | 42,672 | ||||||
2.74%, 04/01/2037 | 69,286 | 72,801 | ||||||
2.96%, 04/01/2037 | 9,795 | 10,112 | ||||||
3.20%, 04/01/2037 | 137,526 | 144,950 | ||||||
2.60%, 05/01/2037 | 135,402 | 140,428 | ||||||
3.08%, 05/01/2037 | 151,922 | 160,011 | ||||||
3.10%, 05/01/2037 | 323,681 | 344,496 | ||||||
3.17%, 05/01/2037 | 67,269 | 71,634 | ||||||
3.28%, 05/01/2037 | 49,521 | 52,903 | ||||||
3.32%, 05/01/2037 | 210,727 | 224,430 | ||||||
2.72%, 06/01/2037 | 115,795 | 122,035 | ||||||
3.12%, 07/01/2037 | 56,296 | 59,171 | ||||||
3.10%, 11/01/2037 | 52,370 | 55,447 | ||||||
3.10%, 04/01/2038 | 191,851 | 204,338 | ||||||
2.96%, 05/01/2038 | 133,195 | 141,009 | ||||||
3.59%, 07/01/2040 | 126,069 | 131,076 | ||||||
Freddie Mac Reference REMIC | ||||||||
6.00%, 04/15/2036 | 548,394 | 626,588 | ||||||
6.00%, 05/15/2036 | 762,939 | 856,486 | ||||||
Freddie Mac REMICS | ||||||||
6.00%, 03/15/2017 | 438 | 445 | ||||||
15.17%, 08/15/2017 | 408 | 420 | ||||||
5.50%, 10/15/2017 | 2,603 | 2,634 | ||||||
5.00%, 12/15/2017 | 6,117 | 6,184 | ||||||
5.50%, 12/15/2017 | 12,075 | 12,252 | ||||||
5.00%, 01/15/2018 | 4,139 | 4,228 | ||||||
4.50%, 05/15/2018 | 8,124 | 8,268 | ||||||
6.50%, 05/15/2018 | 1,225 | 1,254 |
Principal Amount | Value | |||||||
4.50%, 06/15/2018 | 70,214 | 71,292 | ||||||
5.40%, 06/15/2018 IO | 11,993 | 325 | ||||||
4.50%, 07/15/2018 | 69,441 | 70,521 | ||||||
0.00%, 03/15/2019 PO | 36,579 | 35,863 | ||||||
6.50%, 03/15/2019 IO | 1,191 | 59 | ||||||
0.00%, 07/15/2019 PO | 129 | 128 | ||||||
0.00%, 02/15/2020 PO | 195,195 | 189,242 | ||||||
5.00%, 02/15/2020 IO | 58,156 | 3,185 | ||||||
5.00%, 02/15/2020 IO | 33,373 | 1,582 | ||||||
6.50%, 03/15/2020 | 4,272 | 4,468 | ||||||
11.03%, 03/15/2020 | 12,317 | 12,959 | ||||||
9.50%, 04/15/2020 | 245 | 252 | ||||||
9.60%, 04/15/2020 | 547 | 573 | ||||||
10.00%, 06/15/2020 | 98 | 104 | ||||||
7.80%, 09/15/2020 | 75 | 77 | ||||||
9.00%, 10/15/2020 | 490 | 515 | ||||||
6.95%, 01/15/2021 | 1,769 | 1,852 | ||||||
8.60%, 01/15/2021 | 7 | 8 | ||||||
9.50%, 01/15/2021 | 455 | 487 | ||||||
1066.28%, 02/15/2021 IO | 1 | 5 | ||||||
9.00%, 04/15/2021 | 395 | 442 | ||||||
1.65%, 05/15/2021 | 301 | 304 | ||||||
5.00%, 05/15/2021 | 1,035 | 1,061 | ||||||
6.75%, 05/15/2021 | 812 | 848 | ||||||
7.00%, 05/15/2021 | 6,309 | 6,766 | ||||||
31.61%, 05/15/2021 | 150 | 216 | ||||||
42.06%, 05/15/2021 | 211 | 244 | ||||||
6.00%, 07/15/2021 | 1,002 | 1,059 | ||||||
5.50%, 08/15/2021 | 539 | 563 | ||||||
7.00%, 09/15/2021 | 2,549 | 2,690 | ||||||
8.50%, 09/15/2021 | 2,643 | 2,903 | ||||||
6.76%, 11/15/2021 | 120,472 | 125,494 | ||||||
1181.25%, 11/15/2021 IO | 1 | 7 | ||||||
0.00%, 12/15/2021 PO | 111,007 | 109,352 | ||||||
1176.77%, 01/15/2022 IO | 17 | 201 | ||||||
5.00%, 03/15/2022 | 473,603 | 492,281 |
Principal Amount | Value | |||||||
7.00%, 03/15/2022 | 1,107 | 1,198 | ||||||
6.00%, 05/15/2022 | 783 | 825 | ||||||
7.00%, 05/15/2022 | 1,549 | 1,692 | ||||||
7.50%, 08/15/2022 | 1,955 | 2,194 | ||||||
8.00%, 08/15/2022 | 4,902 | 5,467 | ||||||
1.85%, 09/15/2022 | 3,368 | 3,434 | ||||||
5.50%, 10/15/2022 | 92,565 | 100,404 | ||||||
4.32%, 12/15/2022 | 3,241 | 3,415 | ||||||
5.50%, 12/15/2022 | 29,927 | 32,018 | ||||||
1.60%, 02/15/2023 | 443 | 452 | ||||||
7.50%, 02/15/2023 | 31,005 | 33,994 | ||||||
5.50%, 03/15/2023 | 146,000 | 161,995 | ||||||
1.85%, 04/15/2023 | 17,720 | 18,134 | ||||||
5.50%, 04/15/2023 | 147,000 | 163,956 | ||||||
7.00%, 04/15/2023 | 25,917 | 27,982 | ||||||
7.50%, 04/15/2023 | 5,438 | 5,964 | ||||||
5.00%, 05/15/2023 | 26,766 | 28,428 | ||||||
7.00%, 05/15/2023 | 2,742 | 3,036 | ||||||
8.40%, 05/15/2023 | 11,853 | 13,510 | ||||||
0.00%, 06/15/2023 PO | 1,310 | 1,293 | ||||||
0.00%, 06/15/2023 PO | 1,800 | 1,775 | ||||||
5.60%, 06/15/2023 | 55,815 | 58,707 | ||||||
5.85%, 06/15/2023 IO | 12,119 | 368 | ||||||
1.67%, 07/15/2023 | 10,769 | 10,678 | ||||||
7.90%, 07/15/2023 | 13,017 | 14,216 | ||||||
25.12%, 07/15/2023 | 2,262 | 3,313 | ||||||
2.10%, 08/15/2023 | 648 | 669 | ||||||
6.50%, 09/15/2023 | 73,348 | 82,775 | ||||||
7.00%, 09/15/2023 | 22,625 | 24,777 | ||||||
31.46%, 09/15/2023 | 9,436 | 15,264 | ||||||
0.00%, 10/15/2023 PO | 30,188 | 29,655 | ||||||
6.25%, 10/15/2023 | 12,308 | 13,443 | ||||||
20.46%, 10/15/2023 | 5,255 | 7,570 | ||||||
5.00%, 11/15/2023 | 348,522 | 373,910 | ||||||
5.50%, 11/15/2023 | 84,377 | 91,643 | ||||||
6.00%, 11/15/2023 | 29,065 | 31,543 | ||||||
5.00%, 12/15/2023 | 35,518 | 37,928 |
Principal Amount | Value | |||||||
6.50%, 12/15/2023 | 18,122 | 19,693 | ||||||
6.50%, 12/15/2023 | 34,703 | 37,886 | ||||||
7.00%, 01/15/2024 | 10,839 | 11,962 | ||||||
0.00%, 02/15/2024 PO | 5,959 | 5,319 | ||||||
0.00%, 02/15/2024 PO | 12,821 | 12,216 | ||||||
7.00%, 02/15/2024 | 1,655 | 1,837 | ||||||
10.00%, 02/15/2024 | 2,165 | 2,989 | ||||||
17.65%, 02/15/2024 | 1,248 | 1,696 | ||||||
1.30%, 03/15/2024 | 1,932 | 1,959 | ||||||
1.41%, 03/15/2024 | 902 | 885 | ||||||
7.00%, 03/15/2024 | 51,296 | 56,802 | ||||||
7.00%, 03/15/2024 | 9,764 | 10,800 | ||||||
28.74%, 03/15/2024 IO | 6,399 | 2,797 | ||||||
7.50%, 04/15/2024 | 35,536 | 39,582 | ||||||
0.00%, 05/15/2024 PO | 7,437 | 7,017 | ||||||
8.34%, 05/15/2024 IO | 17,805 | 3,367 | ||||||
1.00%, 06/15/2024 | 3,179 | 3,180 | ||||||
6.00%, 06/15/2024 | 33,943 | 38,477 | ||||||
7.50%, 08/15/2024 | 7,049 | 7,897 | ||||||
4.00%, 12/15/2024 | 206,000 | 221,266 | ||||||
5.00%, 12/15/2024 | 101,178 | 108,476 | ||||||
29.95%, 04/15/2025 | 28,782 | 41,423 | ||||||
4.50%, 06/15/2025 | 722,000 | 785,237 | ||||||
15.12%, 08/15/2025 | 17,494 | 21,338 | ||||||
24.93%, 10/15/2025 | 33,358 | 47,492 | ||||||
3.50%, 01/15/2026 | 2,000,000 | 2,081,764 | ||||||
5.00%, 03/15/2026 | 284,249 | 302,057 | ||||||
6.50%, 03/15/2026 | 5,090 | 5,516 | ||||||
6.50%, 07/15/2026 | 34,099 | 38,482 | ||||||
7.50%, 09/15/2026 | 5,136 | 5,795 | ||||||
8.00%, 09/15/2026 | 14,126 | 16,009 | ||||||
6.50%, 01/15/2027 | 23,948 | 27,026 | ||||||
7.50%, 01/15/2027 | 31,517 | 35,496 | ||||||
7.50%, 01/15/2027 | 11,391 | 12,895 | ||||||
1.40%, 02/15/2027 | 872 | 888 | ||||||
6.00%, 05/15/2027 | 28,264 | 30,937 | ||||||
7.25%, 07/15/2027 | 1,349 | 1,519 |
Principal Amount | Value | |||||||
7.50%, 09/15/2027 | 11,418 | 12,457 | ||||||
6.50%, 12/15/2027 | 16,893 | 18,553 | ||||||
7.00%, 03/15/2028 IO | 18,557 | 3,735 | ||||||
7.50%, 03/15/2028 | 58,491 | 66,055 | ||||||
7.50%, 05/15/2028 | 19,672 | 22,270 | ||||||
6.50%, 06/15/2028 | 29,308 | 33,223 | ||||||
7.00%, 06/15/2028 | 3,639 | 4,078 | ||||||
6.00%, 07/15/2028 | 12,062 | 13,285 | ||||||
6.25%, 08/15/2028 | 62,647 | 68,879 | ||||||
6.50%, 08/15/2028 | 58,520 | 64,091 | ||||||
6.00%, 09/15/2028 | 12,091 | 13,535 | ||||||
7.00%, 10/15/2028 IO | 22,850 | 2,581 | ||||||
6.00%, 11/15/2028 | 52,668 | 59,907 | ||||||
6.00%, 12/15/2028 | 102,840 | 112,811 | ||||||
1.30%, 01/15/2029 | 24,027 | 24,422 | ||||||
6.00%, 01/15/2029 | 137,790 | 157,343 | ||||||
6.00%, 02/15/2029 | 29,966 | 33,189 | ||||||
6.25%, 02/15/2029 | 154,698 | 172,622 | ||||||
27.88%, 03/15/2029 | 4,031 | 6,784 | ||||||
7.00%, 04/15/2029 IO | 2,173 | 261 | ||||||
4.00%, 05/15/2029 | 495,943 | 512,187 | ||||||
7.00%, 06/15/2029 | 126,146 | 142,205 | ||||||
7.50%, 06/15/2029 IO | 9,538 | 1,213 | ||||||
7.00%, 07/15/2029 | 59,513 | 66,169 | ||||||
7.00%, 08/15/2029 | 32,680 | 37,432 | ||||||
4.00%, 11/15/2029 IO | 275,484 | 24,172 | ||||||
7.50%, 11/15/2029 | 161 | 188 | ||||||
8.00%, 11/15/2029 | 27,837 | 32,162 | ||||||
7.00%, 01/15/2030 | 61,685 | 69,943 | ||||||
8.00%, 01/15/2030 | 17,427 | 20,752 | ||||||
8.00%, 01/15/2030 | 58,488 | 66,457 | ||||||
8.00%, 03/15/2030 | 10,470 | 12,331 | ||||||
5.00%, 04/15/2030 | 702,000 | 790,720 | ||||||
8.00%, 04/15/2030 | 16,033 | 18,326 | ||||||
7.50%, 05/15/2030 | 12,116 | 13,792 | ||||||
7.50%, 08/15/2030 | 11,714 | 13,346 | ||||||
7.25%, 09/15/2030 | 31,435 | 35,624 |
Principal Amount | Value | |||||||
7.00%, 10/15/2030 | 40,185 | 45,316 | ||||||
7.50%, 10/15/2030 | 836 | 947 | ||||||
7.50%, 10/15/2030 | 3,730 | 4,249 | ||||||
7.25%, 12/15/2030 | 45,639 | 51,555 | ||||||
7.00%, 03/15/2031 | 21,400 | 24,620 | ||||||
6.50%, 05/15/2031 | 12,537 | 14,454 | ||||||
7.00%, 06/15/2031 | 23,823 | 27,510 | ||||||
8.50%, 06/15/2031 | 49,105 | 57,231 | ||||||
6.00%, 07/15/2031 | 11,064 | 10,645 | ||||||
7.00%, 07/15/2031 | 47,581 | 53,491 | ||||||
6.50%, 08/15/2031 | 28,537 | 31,935 | ||||||
6.50%, 08/15/2031 | 22,535 | 25,642 | ||||||
6.50%, 08/15/2031 | 26,186 | 29,560 | ||||||
6.50%, 08/15/2031 | 283,436 | 327,493 | ||||||
6.50%, 10/15/2031 | 25,213 | 28,526 | ||||||
6.50%, 01/15/2032 | 28,806 | 31,828 | ||||||
6.50%, 01/15/2032 | 46,264 | 50,864 | ||||||
1.60%, 02/15/2032 | 150,492 | 153,975 | ||||||
6.38%, 02/15/2032 | 30,328 | 32,818 | ||||||
6.50%, 02/15/2032 | 54,282 | 60,474 | ||||||
6.50%, 02/15/2032 | 49,540 | 54,721 | ||||||
7.30%, 02/15/2032 IO | 112,896 | 27,376 | ||||||
7.95%, 02/15/2032 IO | 22,245 | 5,819 | ||||||
14.69%, 02/15/2032 | 62,159 | 79,581 | ||||||
17.67%, 02/15/2032 | 59,606 | 90,136 | ||||||
6.50%, 03/15/2032 | 68,726 | 77,641 | ||||||
6.50%, 03/15/2032 | 73,287 | 83,291 | ||||||
7.00%, 03/15/2032 | 44,192 | 50,043 | ||||||
7.00%, 03/15/2032 | 55,196 | 62,583 | ||||||
7.25%, 03/15/2032 IO | 45,936 | 11,484 | ||||||
7.30%, 03/15/2032 IO | 29,967 | 6,728 | ||||||
6.50%, 04/15/2032 | 169,069 | 191,893 | ||||||
6.50%, 04/15/2032 | 17,541 | 20,176 | ||||||
6.50%, 04/15/2032 | 106,946 | 123,060 | ||||||
7.00%, 04/15/2032 | 34,266 | 37,974 | ||||||
7.00%, 04/15/2032 | 100,836 | 115,952 | ||||||
5.50%, 05/15/2032 | 22,016 | 22,179 |
Principal Amount | Value | |||||||
6.50%, 05/15/2032 | 60,447 | 68,490 | ||||||
7.00%, 05/15/2032 | 43,946 | 49,449 | ||||||
6.50%, 06/15/2032 | 49,443 | 55,295 | ||||||
6.50%, 06/15/2032 | 64,789 | 73,305 | ||||||
6.50%, 06/15/2032 | 37,207 | 42,158 | ||||||
6.50%, 07/15/2032 | 53,818 | 60,947 | ||||||
6.50%, 07/15/2032 | 76,913 | 88,204 | ||||||
0.00%, 09/15/2032 PO | 1,677,163 | 1,500,396 | ||||||
6.00%, 09/15/2032 | 83,509 | 94,590 | ||||||
0.00%, 12/15/2032 PO | 4,774 | 4,726 | ||||||
0.00%, 12/15/2032 PO | 39,207 | 38,320 | ||||||
0.00%, 12/15/2032 PO | 9,844 | 8,690 | ||||||
1.45%, 12/15/2032 | 76,318 | 77,060 | ||||||
6.00%, 12/15/2032 | 130,592 | 144,766 | ||||||
6.00%, 12/15/2032 | 72,453 | 82,339 | ||||||
16.91%, 12/15/2032 | 44,993 | 62,411 | ||||||
6.00%, 01/15/2033 | 90,877 | 103,955 | ||||||
6.00%, 02/15/2033 | 66,608 | 75,890 | ||||||
6.00%, 02/15/2033 | 333,625 | 360,738 | ||||||
6.00%, 03/15/2033 | 58,375 | 62,962 | ||||||
6.50%, 03/15/2033 IO | 37,623 | 7,129 | ||||||
13.56%, 06/15/2033 | 124,572 | 163,341 | ||||||
5.00%, 07/15/2033 | 1,027,353 | 1,146,704 | ||||||
6.49%, 07/15/2033 | 462 | 553 | ||||||
11.88%, 07/15/2033 | 34,481 | 37,837 | ||||||
3.00%, 08/15/2033 | 495,000 | 492,239 | ||||||
13.47%, 09/15/2033 | 40,258 | 51,561 | ||||||
7.38%, 10/15/2033 | 1,069,384 | 1,175,292 | ||||||
14.95%, 11/15/2033 | 19,245 | 26,233 | ||||||
1.30%, 12/15/2033 | 284,960 | 286,694 | ||||||
5.50%, 12/15/2033 | 32,661 | 32,932 | ||||||
5.00%, 01/15/2034 | 458,129 | 498,702 | ||||||
5.50%, 02/15/2034 | 18,892 | 19,876 | ||||||
6.00%, 05/15/2034 | 283,856 | 305,625 | ||||||
21.91%, 06/15/2034 | 108,402 | 143,441 | ||||||
0.00%, 07/15/2034 PO | 198,797 | 181,630 | ||||||
2.92%, 07/15/2034 | 75,188 | 79,403 |
Principal Amount | Value | |||||||
4.00%, 11/15/2034 IO | 398,087 | 14,384 | ||||||
0.00%, 01/15/2035 PO | 1,242 | 1,224 | ||||||
0.00%, 02/15/2035 PO | 57,333 | 52,201 | ||||||
6.00%, 02/15/2035 | 623,512 | 688,839 | ||||||
25.06%, 02/15/2035 | 73,687 | 105,755 | ||||||
0.00%, 04/15/2035 PO | 99,108 | 88,332 | ||||||
6.00%, 04/15/2035 | 1,057,000 | 1,206,048 | ||||||
1.10%, 05/15/2035 | 99,963 | 99,842 | ||||||
1.00%, 06/15/2035 | 110,741 | 109,988 | ||||||
15.21%, 06/15/2035 | 8,556 | 10,047 | ||||||
0.00%, 08/15/2035 PO | 9,420 | 8,606 | ||||||
1.50%, 08/15/2035 | 102,799 | 105,051 | ||||||
0.00%, 09/15/2035 PO | 49,910 | 45,779 | ||||||
6.00%, 09/15/2035 | 27,418 | 27,519 | ||||||
17.65%, 11/15/2035 | 56,677 | 78,957 | ||||||
0.00%, 01/15/2036 PO | 1,733 | 1,732 | ||||||
6.00%, 01/15/2036 | 237,098 | 271,220 | ||||||
21.99%, 01/15/2036 | 17,699 | 26,440 | ||||||
0.00%, 02/15/2036 PO | 195,065 | 178,579 | ||||||
0.00%, 02/15/2036 PO | 46,023 | 40,438 | ||||||
0.00%, 02/15/2036 PO | 64,872 | 59,371 | ||||||
0.00%, 02/15/2036 PO | 39,764 | 33,474 | ||||||
0.00%, 03/15/2036 PO | 111,118 | 101,681 | ||||||
0.00%, 03/15/2036 PO | 12,926 | 11,613 | ||||||
0.00%, 03/15/2036 PO | 118,652 | 108,450 | ||||||
6.00%, 03/15/2036 | 2,128 | 2,472 | ||||||
0.00%, 04/15/2036 PO | 126,062 | 114,576 | ||||||
0.00%, 04/15/2036 PO | 231,291 | 210,216 | ||||||
0.00%, 04/15/2036 PO | 66,480 | 57,876 | ||||||
0.00%, 04/15/2036 PO | 225,341 | 205,944 | ||||||
6.00%, 04/15/2036 | 148,690 | 170,444 | ||||||
6.00%, 04/15/2036 | 1,190,043 | 1,337,071 | ||||||
6.00%, 04/15/2036 IO | 125,041 | 25,191 | ||||||
0.00%, 05/15/2036 PO | 14,436 | 11,641 | ||||||
0.00%, 05/15/2036 PO | 56,590 | 52,499 | ||||||
0.00%, 05/15/2036 PO | 91,172 | 78,519 | ||||||
0.00%, 05/15/2036 PO | 18,685 | 16,946 |
Principal Amount | Value | |||||||
1.15%, 05/15/2036 | 885,519 | 888,807 | ||||||
1.20%, 05/15/2036 | 513,568 | 516,306 | ||||||
0.00%, 06/15/2036 PO | 212,573 | 196,724 | ||||||
6.00%, 06/15/2036 | 85,315 | 87,688 | ||||||
6.00%, 06/15/2036 | 32,087 | 35,875 | ||||||
17.73%, 06/15/2036 | 39,713 | 53,345 | ||||||
0.00%, 07/15/2036 PO | 43,859 | 39,293 | ||||||
6.40%, 07/15/2036 IO | 19,898 | 1,940 | ||||||
6.50%, 07/15/2036 | 137,705 | 154,599 | ||||||
6.50%, 07/15/2036 | 193,815 | 220,341 | ||||||
0.00%, 08/15/2036 PO | 63,570 | 55,519 | ||||||
5.50%, 08/15/2036 | 103,536 | 110,948 | ||||||
5.50%, 08/15/2036 | 290,376 | 321,200 | ||||||
5.95%, 08/15/2036 IO | 908,683 | 155,403 | ||||||
0.00%, 09/15/2036 PO | 26,555 | 22,391 | ||||||
0.00%, 09/15/2036 PO | 36,436 | 33,725 | ||||||
0.00%, 10/15/2036 PO | 70,263 | 61,590 | ||||||
6.00%, 10/15/2036 IO | 79,506 | 13,185 | ||||||
7.50%, 11/15/2036 | 1,116,026 | 1,308,122 | ||||||
0.00%, 12/15/2036 PO | 33,726 | 29,484 | ||||||
7.00%, 12/15/2036 | 2,718,183 | 3,149,487 | ||||||
7.50%, 12/15/2036 | 932,392 | 1,116,902 | ||||||
0.00%, 01/15/2037 PO | 34,309 | 31,494 | ||||||
5.44%, 01/15/2037 IO | 63,859 | 10,205 | ||||||
0.00%, 02/15/2037 PO | 93,072 | 83,247 | ||||||
0.00%, 02/15/2037 PO | 16,165 | 14,616 | ||||||
1.14%, 02/15/2037 | 76,177 | 76,235 | ||||||
6.00%, 02/15/2037 | 137,176 | 149,691 | ||||||
0.00%, 03/15/2037 PO | 28,195 | 25,891 | ||||||
5.75%, 03/15/2037 IO | 97,273 | 13,888 | ||||||
9.00%, 03/15/2037 | 29,778 | 34,600 | ||||||
0.00%, 04/15/2037 PO | 45,254 | 41,597 | ||||||
6.00%, 04/15/2037 | 103,260 | 117,758 | ||||||
0.00%, 05/15/2037 PO | 74,444 | 68,604 | ||||||
0.00%, 05/15/2037 PO | 4,321 | 4,019 | ||||||
0.00%, 05/15/2037 PO | 390,918 | 341,038 | ||||||
6.00%, 05/15/2037 | 231,035 | 241,879 |
Principal Amount | Value | |||||||
0.00%, 06/15/2037 PO | 38,801 | 35,450 | ||||||
0.00%, 06/15/2037 PO | 17,665 | 16,125 | ||||||
0.00%, 07/15/2037 PO | 483,196 | 415,543 | ||||||
0.93%, 07/15/2037 | 2,020,128 | 1,985,907 | ||||||
4.50%, 07/15/2037 IO | 805,230 | 40,893 | ||||||
5.90%, 07/15/2037 IO | 85,757 | 11,991 | ||||||
4.00%, 08/15/2037 IO | 712,062 | 43,786 | ||||||
0.00%, 09/15/2037 PO | 52,114 | 48,083 | ||||||
1.30%, 09/15/2037 | 27,820 | 27,954 | ||||||
4.00%, 10/15/2037 IO | 403,889 | 19,102 | ||||||
4.00%, 10/15/2037 IO | 250,703 | 8,941 | ||||||
1.38%, 11/15/2037 | 1,132,088 | 1,144,722 | ||||||
5.72%, 11/15/2037 IO | 421,468 | 61,199 | ||||||
5.75%, 11/15/2037 IO | 267,382 | 35,439 | ||||||
5.30%, 01/15/2038 IO | 512,410 | 64,822 | ||||||
15.69%, 02/15/2038 | 22,099 | 27,452 | ||||||
5.50%, 03/15/2038 | 806,971 | 899,669 | ||||||
6.10%, 04/15/2038 IO | 213,925 | 29,218 | ||||||
5.50%, 05/15/2038 | 121,952 | 131,237 | ||||||
5.50%, 06/15/2038 IO | 223,127 | 31,349 | ||||||
6.00%, 06/15/2038 | 30,593 | 34,239 | ||||||
5.15%, 08/15/2038 IO | 406,527 | 34,320 | ||||||
5.71%, 10/15/2038 | 168,932 | 189,214 | ||||||
5.50%, 01/15/2039 | 317,814 | 356,660 | ||||||
2.53%, 02/15/2039 | 162,789 | 166,937 | ||||||
5.30%, 02/15/2039 IO | 162,946 | 25,891 | ||||||
1.10%, 04/15/2039 | 699,705 | 705,149 | ||||||
1.15%, 05/15/2039 | 863,966 | 860,098 | ||||||
5.40%, 05/15/2039 IO | 117,080 | 11,061 | ||||||
5.60%, 05/15/2039 IO | 200,299 | 20,352 | ||||||
1.90%, 07/15/2039 | 112,243 | 114,318 | ||||||
4.50%, 07/15/2039 | 1,119,465 | 1,188,819 | ||||||
1.15%, 08/15/2039 | 256,222 | 256,492 | ||||||
3.50%, 08/15/2039 | 844,057 | 877,227 | ||||||
0.00%, 10/15/2039 PO | 183,424 | 155,766 | ||||||
5.00%, 10/15/2039 IO | 554,325 | 87,835 | ||||||
5.55%, 12/15/2039 IO | 211,363 | 30,109 |
Principal Amount | Value | |||||||
0.00%, 01/15/2040 PO | 181,041 | 159,286 | ||||||
1.99%, 01/15/2040 IO | 2,401,627 | 151,459 | ||||||
15.15%, 02/15/2040 | 475,000 | 618,076 | ||||||
1.20%, 10/15/2040 | 301,915 | 303,587 | ||||||
5.30%, 10/15/2040 IO | 947,708 | 162,005 | ||||||
5.30%, 10/15/2040 IO | 786,436 | 121,123 | ||||||
1.25%, 12/15/2040 | 2,357,362 | 2,378,759 | ||||||
1.25%, 03/15/2041 | 1,719,497 | 1,722,415 | ||||||
5.00%, 05/15/2041 | 1,121,751 | 1,300,304 | ||||||
5.50%, 05/15/2041 | 461,445 | 477,410 | ||||||
5.50%, 05/15/2041 | 1,293,318 | 1,341,144 | ||||||
1.10%, 10/15/2041 | 1,237,891 | 1,234,387 | ||||||
4.00%, 11/15/2041 | 1,092,440 | 1,144,175 | ||||||
4.00%, 12/15/2041 | 546,017 | 578,866 | ||||||
1.20%, 03/15/2042 | 1,205,232 | 1,210,102 | ||||||
1.20%, 07/15/2042 | 585,209 | 584,556 | ||||||
1.15%, 08/15/2042 | 3,095,796 | 3,135,329 | ||||||
1.10%, 09/15/2042 | 1,095,343 | 1,088,106 | ||||||
4.00%, 01/15/2043 | 2,664,659 | 2,774,552 | ||||||
3.00%, 06/15/2043 | 206,000 | 195,689 | ||||||
4.50%, 09/15/2043 | 1,000,000 | 1,094,055 | ||||||
2.75%, 02/15/2046 | 2,660,533 | 2,750,897 | ||||||
7.29%, 11/15/2046 | 1,270,718 | 1,456,397 | ||||||
3.50%, 06/15/2048 | 6,900,924 | 7,207,547 | ||||||
0.00%, 10/15/2049 PO | 743,410 | 676,245 | ||||||
Freddie Mac Strips | ||||||||
4.50%, 11/15/2020 IO | 63,721 | 2,456 | ||||||
4.50%, 12/15/2020 IO | 43,453 | 1,973 | ||||||
9.00%, 04/01/2022 IO | 138 | 21 | ||||||
0.00%, 04/01/2028 PO | 102,682 | 87,749 | ||||||
5.00%, 09/15/2035 IO | 183,945 | 33,204 | ||||||
5.00%, 09/15/2035 IO | 345,281 | 64,434 | ||||||
5.00%, 09/15/2035 IO | 219,821 | 40,263 | ||||||
7.00%, 08/01/2036 IO | 652,827 | 129,189 | ||||||
1.25%, 07/15/2042 | 3,641,946 | 3,641,832 | ||||||
3.50%, 07/15/2042 | 8,480,517 | 8,682,392 | ||||||
1.20%, 08/15/2042 | 2,364,514 | 2,357,786 |
Principal Amount | Value | |||||||
1.25%, 08/15/2042 | 2,080,553 | 2,080,401 | ||||||
3.00%, 08/15/2042 | 2,883,969 | 2,847,222 | ||||||
3.00%, 01/15/2043 | 698,441 | 693,920 | ||||||
0.00%, 09/15/2043 PO | 1,309,463 | 1,044,255 | ||||||
Freddie Mac Structured Pass-Through Certificates | ||||||||
1.78%, 07/25/2032 | 75,844 | 83,305 | ||||||
5.35%, 07/25/2033 | 226,279 | 259,208 | ||||||
1.68%, 10/25/2037 | 1,919,684 | 1,940,520 | ||||||
7.50%, 02/25/2042 | 313,436 | 367,001 | ||||||
7.50%, 08/25/2042 | 49,916 | 59,360 | ||||||
6.50%, 02/25/2043 | 302,908 | 350,075 | ||||||
7.00%, 02/25/2043 | 100,625 | 116,178 | ||||||
5.23%, 05/25/2043 | 728,167 | 820,754 | ||||||
0.00%, 07/25/2043 PO | 29,390 | 25,703 | ||||||
7.50%, 07/25/2043 | 74,395 | 89,006 | ||||||
0.00%, 09/25/2043 PO | 34,078 | 28,478 | ||||||
7.50%, 09/25/2043 | 420,688 | 484,735 | ||||||
0.00%, 10/25/2043 PO | 38,534 | 31,028 | ||||||
7.00%, 10/25/2043 | 417,220 | 497,974 | ||||||
1.74%, 10/25/2044 | 809,029 | 829,323 | ||||||
FREMF 2016-K59 Mortgage Trust | ||||||||
3.58%, 11/25/2049 (Acquired 11/15/2016, Cost $2,204,972) (1) | 2,450,000 | 2,198,484 | ||||||
FREMF 2016-K722 Mortgage Trust | ||||||||
3.83%, 07/25/2049 (Acquired 06/22/2016, Cost $1,747,306) (1) | 1,845,000 | 1,816,193 | ||||||
Ginnie Mae I Pool | ||||||||
6.50%, 06/15/2017 | 767 | 770 | ||||||
6.00%, 10/15/2017 | 308 | 308 | ||||||
8.50%, 11/15/2017 | 31 | 31 | ||||||
9.00%, 02/15/2020 | 61 | 61 | ||||||
8.00%, 07/15/2022 | 18 | 18 | ||||||
8.00%, 09/15/2022 | 172 | 173 | ||||||
7.50%, 11/15/2022 | 512 | 546 | ||||||
7.50%, 03/15/2023 | 279 | 301 | ||||||
7.00%, 08/15/2023 | 638 | 683 | ||||||
7.00%, 09/15/2023 | 19,129 | 20,536 | ||||||
7.00%, 11/15/2023 | 1,072 | 1,162 | ||||||
6.50%, 01/15/2024 | 4,748 | 5,424 |
Principal Amount | Value | |||||||
7.00%, 02/15/2024 | 8,564 | 9,168 | ||||||
9.50%, 10/15/2024 | 43,760 | 47,075 | ||||||
9.00%, 11/15/2024 | 1,215 | 1,327 | ||||||
9.50%, 12/15/2025 | 2,646 | 2,909 | ||||||
7.50%, 11/15/2026 | 1,212 | 1,255 | ||||||
7.50%, 07/15/2027 | 1,898 | 1,977 | ||||||
6.50%, 03/15/2028 | 8,479 | 9,684 | ||||||
7.50%, 07/15/2028 | 808 | 831 | ||||||
8.00%, 08/15/2028 | 1,662 | 1,668 | ||||||
6.50%, 09/15/2028 | 21,407 | 24,452 | ||||||
7.50%, 09/15/2028 | 5,874 | 6,516 | ||||||
6.50%, 10/15/2028 | 1,542 | 1,761 | ||||||
6.00%, 11/15/2028 | 11,925 | 13,517 | ||||||
7.00%, 09/15/2031 | 118,934 | 141,223 | ||||||
6.50%, 01/15/2032 | 97,914 | 111,840 | ||||||
6.50%, 07/15/2032 | 2,640 | 3,016 | ||||||
6.50%, 02/15/2033 | 16,767 | 19,152 | ||||||
7.00%, 02/15/2033 | 6,310 | 6,990 | ||||||
5.50%, 04/15/2033 | 369,866 | 418,069 | ||||||
6.50%, 04/15/2033 | 11,598 | 13,248 | ||||||
5.50%, 06/15/2033 | 4,646 | 5,182 | ||||||
7.00%, 06/15/2033 | 23,553 | 28,033 | ||||||
5.50%, 12/15/2033 | 19,263 | 21,775 | ||||||
5.50%, 07/15/2034 | 8,408 | 9,499 | ||||||
5.50%, 09/15/2034 | 25,117 | 28,256 | ||||||
7.00%, 06/15/2035 | 334,769 | 394,903 | ||||||
6.50%, 12/15/2035 | 111,540 | 129,643 | ||||||
7.00%, 04/15/2037 | 39,046 | 44,149 | ||||||
7.50%, 10/15/2037 | 52,836 | 59,718 | ||||||
4.00%, 06/15/2039 | 805,336 | 854,674 | ||||||
4.50%, 04/15/2040 | 4,717,127 | 5,116,331 | ||||||
4.00%, 10/15/2040 | 389,447 | 413,182 | ||||||
3.50%, 03/15/2043 | 1,541,302 | 1,614,306 | ||||||
3.50%, 04/15/2043 | 6,565,707 | 6,863,458 | ||||||
3.00%, 05/15/2043 | 997,700 | 1,011,871 | ||||||
3.50%, 06/15/2043 | 2,191,883 | 2,279,710 | ||||||
3.50%, 07/15/2043 | 860,890 | 901,329 |
Principal Amount | Value | |||||||
Ginnie Mae II Pool | ||||||||
8.50%, 03/20/2025 | 459 | 509 | ||||||
8.50%, 04/20/2025 | 2,437 | 2,717 | ||||||
8.50%, 05/20/2025 | 6,026 | 6,732 | ||||||
8.00%, 12/20/2025 | 857 | 964 | ||||||
8.00%, 06/20/2026 | 2,066 | 2,357 | ||||||
8.00%, 08/20/2026 | 1,678 | 2,004 | ||||||
8.00%, 09/20/2026 | 1,725 | 2,064 | ||||||
8.00%, 11/20/2026 | 1,484 | 1,770 | ||||||
8.00%, 10/20/2027 | 4,125 | 4,776 | ||||||
8.00%, 11/20/2027 | 3,275 | 3,766 | ||||||
8.00%, 12/20/2027 | 1,512 | 1,701 | ||||||
7.50%, 02/20/2028 | 2,426 | 2,865 | ||||||
6.00%, 03/20/2028 | 10,529 | 12,235 | ||||||
8.00%, 06/20/2028 | 605 | 617 | ||||||
8.00%, 08/20/2028 | 162 | 170 | ||||||
7.50%, 09/20/2028 | 6,992 | 8,113 | ||||||
8.00%, 09/20/2028 | 492 | 514 | ||||||
6.50%, 07/20/2029 | 111,958 | 128,958 | ||||||
6.00%, 11/20/2033 | 7,523 | 8,733 | ||||||
5.00%, 10/20/2037 | 602,926 | 667,290 | ||||||
7.00%, 08/20/2038 | 49,107 | 55,355 | ||||||
6.00%, 09/20/2038 | 846,131 | 956,737 | ||||||
6.00%, 11/20/2038 | 8,000 | 8,615 | ||||||
6.00%, 08/20/2039 | 410,286 | 473,182 | ||||||
5.50%, 09/20/2039 | 235,773 | 266,130 | ||||||
4.50%, 06/20/2040 | 1,434,277 | 1,545,264 | ||||||
5.00%, 07/20/2040 | 368,316 | 405,433 | ||||||
4.00%, 10/20/2040 | 3,928,430 | 4,211,203 | ||||||
4.50%, 01/20/2041 | 1,097,290 | 1,183,197 | ||||||
4.50%, 03/20/2041 | 1,054,004 | 1,135,570 | ||||||
4.50%, 05/20/2041 | 535,019 | 576,424 | ||||||
4.50%, 06/20/2041 | 3,788,580 | 4,079,637 | ||||||
4.50%, 09/20/2041 | 1,153,636 | 1,242,918 | ||||||
4.00%, 01/15/2042(3) | 31,325,000 | 33,248,355 | ||||||
3.00%, 06/20/2042 | 542,954 | 551,685 | ||||||
4.00%, 06/20/2042 | 5,131,836 | 5,474,371 |
Principal Amount | Value | |||||||
3.00%, 08/20/2042 | 7,302,983 | 7,420,426 | ||||||
3.50%, 10/20/2042 | 8,394,352 | 8,760,498 | ||||||
3.00%, 11/20/2042 | 33,565 | 34,105 | ||||||
3.00%, 12/20/2042 | 791,245 | 803,969 | ||||||
3.00%, 01/15/2043(3) | 49,500,000 | 50,084,100 | ||||||
3.50%, 01/15/2043(3) | 69,790,000 | 72,497,852 | ||||||
3.00%, 01/20/2043 | 2,048,872 | 2,081,820 | ||||||
4.00%, 02/20/2043 | 2,289,433 | 2,442,134 | ||||||
3.50%, 05/20/2043 | 1,952,531 | 2,037,599 | ||||||
3.00%, 09/20/2043 | 1,543,385 | 1,568,208 | ||||||
3.00%, 10/20/2043 | 225,469 | 229,095 | ||||||
4.00%, 10/20/2043 | 4,624,012 | 4,924,599 | ||||||
4.50%, 10/20/2043 | 6,225,062 | 6,648,064 | ||||||
4.50%, 12/20/2043 | 1,617,629 | 1,727,549 | ||||||
3.00%, 01/20/2044 | 1,366,596 | 1,388,575 | ||||||
3.00%, 07/20/2044 | 664,893 | 674,817 | ||||||
3.50%, 03/20/2045 | 3,187,739 | 3,314,923 | ||||||
3.00%, 04/20/2045 | 9,257,293 | 9,379,978 | ||||||
3.50%, 04/20/2045 | 23,099,629 | 24,021,079 | ||||||
4.00%, 05/20/2045 | 11,224,863 | 11,969,823 | ||||||
3.50%, 07/20/2045 | 10,056,750 | 10,458,309 | ||||||
4.50%, 01/20/2046 | 6,027,444 | 6,437,017 | ||||||
3.50%, 06/20/2046 | 5,558,371 | 5,799,020 | ||||||
4.46%, 05/20/2063 | 526,548 | 557,706 | ||||||
GMACM Mortgage Loan Trust 2003-AR1 | ||||||||
3.62%, 10/19/2033 | 429,498 | 424,997 | ||||||
GMACM Mortgage Loan Trust 2003-AR2 | ||||||||
3.66%, 12/19/2033 | 321,163 | 317,053 | ||||||
GMACM Mortgage Loan Trust 2003-J8 | ||||||||
5.25%, 12/25/2033 | 12,516 | 12,749 | ||||||
GMACM Mortgage Loan Trust 2004-J5 | ||||||||
6.50%, 01/25/2035 | 171,176 | 176,762 | ||||||
GMACM Mortgage Loan Trust 2004-J6 | ||||||||
5.00%, 01/25/2020 | 43,615 | 44,390 | ||||||
GMACM Mortgage Loan Trust 2005-AR3 | ||||||||
3.42%, 06/19/2035 | 257,458 | 253,145 |
Principal Amount | Value | |||||||
Gnma Remic Trust 2015-137 | ||||||||
5.48%, 01/20/2038 | 1,139,883 | 1,272,670 | ||||||
Government National Mortgage Association | ||||||||
5.50%, 11/20/2020 | 307,822 | 319,706 | ||||||
5.00%, 04/16/2023 | 597,708 | 615,622 | ||||||
6.50%, 10/16/2024 | 171,024 | 193,162 | ||||||
6.00%, 02/20/2029 | 160,418 | 178,991 | ||||||
7.89%, 08/16/2029 IO | 16,200 | 3,478 | ||||||
8.50%, 02/16/2030 | 191,086 | 223,402 | ||||||
9.00%, 03/16/2030 | 171,119 | 205,746 | ||||||
6.79%, 04/16/2030 IO | 158,239 | 25,376 | ||||||
8.00%, 06/20/2030 | 18,380 | 21,626 | ||||||
9.00%, 10/20/2030 | 27,314 | 31,388 | ||||||
9.00%, 11/16/2030 IO | 1,565 | 231 | ||||||
9.00%, 11/20/2030 | 16,996 | 18,062 | ||||||
7.99%, 01/16/2031 IO | 9,017 | 2,100 | ||||||
7.84%, 03/16/2031 IO | 8,032 | 2,380 | ||||||
19.09%, 03/17/2031 | 82,517 | 128,457 | ||||||
7.34%, 08/16/2031 IO | 19,315 | 5,830 | ||||||
7.54%, 08/16/2031 IO | 21,111 | 6,273 | ||||||
1.09%, 03/20/2032 | 86,779 | 86,790 | ||||||
7.24%, 04/16/2032 IO | 80,530 | 15,611 | ||||||
10.86%, 04/16/2032 | 7,432 | 9,168 | ||||||
9.00%, 06/16/2032 | 2,674 | 3,330 | ||||||
6.50%, 06/20/2032 | 78,737 | 90,477 | ||||||
6.50%, 06/20/2032 | 299,759 | 346,934 | ||||||
6.50%, 07/16/2032 | 91,083 | 105,150 | ||||||
6.00%, 07/20/2032 | 31,938 | 35,497 | ||||||
6.50%, 07/20/2032 | 151,830 | 175,264 | ||||||
6.50%, 07/20/2032 | 103,910 | 121,179 | ||||||
6.96%, 08/20/2032 IO | 10,131 | 194 | ||||||
13.41%, 11/17/2032 | 22,241 | 26,296 | ||||||
6.00%, 11/20/2032 | 146,000 | 166,419 | ||||||
0.00%, 12/20/2032 PO | 140,885 | 133,624 | ||||||
5.50%, 01/16/2033 | 619,186 | 691,497 | ||||||
6.50%, 01/20/2033 | 163,327 | 184,666 | ||||||
6.99%, 02/16/2033 IO | 79,181 | 12,452 | ||||||
0.00%, 02/17/2033 PO | 55,973 | 53,048 |
Principal Amount | Value | |||||||
6.96%, 02/20/2033 IO | 35,252 | 8,528 | ||||||
0.00%, 03/16/2033 PO | 12,737 | 11,518 | ||||||
6.82%, 03/17/2033 | 15,806 | 16,565 | ||||||
6.50%, 03/20/2033 | 90,563 | 101,806 | ||||||
6.50%, 03/20/2033 | 308,628 | 348,959 | ||||||
5.50%, 04/20/2033 | 352,912 | 397,857 | ||||||
6.50%, 05/20/2033 | 116,000 | 133,615 | ||||||
0.00%, 06/16/2033 PO | 59,411 | 49,828 | ||||||
6.00%, 09/16/2033 | 203,957 | 230,548 | ||||||
0.00%, 10/20/2033 PO | 9,825 | 8,754 | ||||||
5.82%, 10/20/2033 | 230,640 | 260,087 | ||||||
5.84%, 11/16/2033 IO | 138,844 | 19,980 | ||||||
5.84%, 12/16/2033 IO | 121,279 | 23,610 | ||||||
5.50%, 03/16/2034 | 5,126,301 | 5,726,815 | ||||||
5.79%, 03/16/2034 IO | 70,107 | 2,234 | ||||||
17.72%, 04/16/2034 | 58,152 | 83,790 | ||||||
15.16%, 05/18/2034 | 12,863 | 15,590 | ||||||
0.00%, 06/20/2034 PO | 111,029 | 101,474 | ||||||
6.00%, 06/20/2034 | 397,711 | 447,059 | ||||||
13.40%, 08/17/2034 | 59,346 | 69,845 | ||||||
5.72%, 08/20/2034 | 118,812 | 132,667 | ||||||
5.84%, 09/16/2034 IO | 405,208 | 69,502 | ||||||
7.00%, 09/20/2034 | 50,579 | 55,262 | ||||||
25.84%, 09/20/2034 | 50,579 | 81,237 | ||||||
12.73%, 10/16/2034 | 11,962 | 13,952 | ||||||
21.79%, 10/16/2034 | 40,774 | 59,512 | ||||||
5.36%, 10/20/2034 IO | 625,967 | 88,001 | ||||||
10.72%, 10/20/2034 | 17,896 | 19,773 | ||||||
5.34%, 11/20/2034 IO | 323,929 | 46,197 | ||||||
6.01%, 01/20/2035 IO | 441,144 | 69,152 | ||||||
14.73%, 06/17/2035 | 196,987 | 245,763 | ||||||
6.06%, 06/20/2035 | 230,662 | 253,796 | ||||||
5.50%, 07/20/2035 IO | 46,509 | 9,900 | ||||||
18.48%, 08/16/2035 | 22,885 | 32,103 | ||||||
0.00%, 08/20/2035 PO | 272,079 | 244,427 | ||||||
19.93%, 08/20/2035 | 3,093 | 3,836 | ||||||
5.50%, 09/20/2035 | 297,760 | 328,185 |
Principal Amount | Value | |||||||
5.56%, 09/20/2035 IO | 920,289 | 153,478 | ||||||
0.00%, 10/20/2035 PO | 53,217 | 45,848 | ||||||
0.00%, 11/20/2035 PO | 83,544 | 72,405 | ||||||
6.00%, 12/20/2035 IO | 85,743 | 16,296 | ||||||
5.75%, 02/20/2036 | 67,810 | 72,853 | ||||||
0.00%, 03/20/2036 PO | 76,065 | 69,744 | ||||||
0.00%, 05/20/2036 PO | 103,777 | 94,891 | ||||||
5.76%, 06/20/2036 IO | 16,327 | 1,641 | ||||||
0.00%, 07/20/2036 PO | 14,827 | 13,472 | ||||||
5.96%, 07/20/2036 IO | 67,301 | 2,568 | ||||||
6.50%, 07/20/2036 | 430,443 | 501,803 | ||||||
6.50%, 08/20/2036 | 567,960 | 657,588 | ||||||
5.56%, 10/20/2036 | 260,763 | 286,757 | ||||||
5.96%, 10/20/2036 IO | 142,463 | 21,017 | ||||||
6.06%, 11/20/2036 IO | 220,934 | 41,900 | ||||||
5.94%, 02/20/2037 | 77,152 | 85,491 | ||||||
0.00%, 03/20/2037 PO | 299,744 | 270,655 | ||||||
5.46%, 03/20/2037 IO | 222,497 | 39,161 | ||||||
0.00%, 04/16/2037 PO | 139,212 | 117,189 | ||||||
6.10%, 04/16/2037 IO | 358,774 | 66,267 | ||||||
5.46%, 04/20/2037 IO | 138,903 | 20,339 | ||||||
6.10%, 04/20/2037 | 159,398 | 177,589 | ||||||
1.01%, 05/16/2037 | 83,721 | 83,426 | ||||||
0.00%, 05/20/2037 PO | 22,360 | 19,135 | ||||||
5.46%, 05/20/2037 IO | 247,375 | 37,912 | ||||||
5.46%, 05/20/2037 IO | 275,102 | 52,166 | ||||||
0.00%, 06/16/2037 PO | 50,582 | 45,974 | ||||||
0.00%, 06/16/2037 PO | 368,937 | 340,957 | ||||||
5.76%, 06/16/2037 IO | 216,901 | 38,339 | ||||||
5.51%, 06/20/2037 IO | 220,478 | 29,594 | ||||||
5.90%, 07/20/2037 IO | 306,960 | 49,158 | ||||||
5.94%, 07/20/2037 IO | 317,215 | 53,171 | ||||||
6.01%, 07/20/2037 IO | 215,076 | 35,050 | ||||||
6.04%, 08/20/2037 IO | 79,439 | 11,400 | ||||||
0.00%, 09/20/2037 PO | 51,998 | 47,979 | ||||||
5.81%, 09/20/2037 IO | 201,867 | 33,320 | ||||||
17.99%, 09/20/2037 | 55,900 | 75,627 |
Principal Amount | Value | |||||||
5.50%, 10/16/2037 IO | 362,848 | 46,929 | ||||||
11.92%, 10/20/2037 | 37,291 | 47,199 | ||||||
0.00%, 11/16/2037 PO | 435,418 | 397,710 | ||||||
5.83%, 11/16/2037 IO | 216,524 | 32,305 | ||||||
5.26%, 11/20/2037 IO | 240,914 | 35,041 | ||||||
5.50%, 11/20/2037 | 8,390 | 8,589 | ||||||
5.76%, 11/20/2037 IO | 464,431 | 77,245 | ||||||
5.77%, 11/20/2037 IO | 267,205 | 42,040 | ||||||
5.81%, 11/20/2037 IO | 212,372 | 35,456 | ||||||
17.73%, 11/20/2037 | 26,524 | 38,283 | ||||||
5.81%, 12/20/2037 IO | 334,432 | 57,351 | ||||||
0.00%, 01/20/2038 PO | 21,915 | 21,581 | ||||||
0.00%, 01/20/2038 PO | 16,086 | 13,739 | ||||||
5.26%, 02/20/2038 IO | 2,049,525 | 340,972 | ||||||
5.50%, 02/20/2038 IO | 52,803 | 9,306 | ||||||
6.99%, 04/16/2038 IO | 123,851 | 24,254 | ||||||
5.56%, 04/20/2038 IO | 332,017 | 49,455 | ||||||
5.69%, 05/16/2038 IO | 1,023,288 | 170,677 | ||||||
5.46%, 06/20/2038 IO | 83,020 | 13,127 | ||||||
6.00%, 06/20/2038 | 167,375 | 188,079 | ||||||
1.56%, 07/20/2038 | 609,363 | 619,839 | ||||||
5.41%, 07/20/2038 IO | 297,497 | 39,172 | ||||||
5.75%, 07/20/2038 | 336,387 | 359,792 | ||||||
5.26%, 08/20/2038 IO | 107,769 | 13,905 | ||||||
5.57%, 08/20/2038 | 446,196 | 506,644 | ||||||
5.16%, 09/20/2038 IO | 349,084 | 45,989 | ||||||
5.46%, 09/20/2038 IO | 717,267 | 103,145 | ||||||
6.86%, 09/20/2038 IO | 152,392 | 28,860 | ||||||
6.11%, 11/20/2038 | 272,979 | 306,159 | ||||||
5.69%, 12/16/2038 IO | 102,269 | 5,314 | ||||||
4.96%, 12/20/2038 IO | 359,354 | 48,203 | ||||||
5.26%, 12/20/2038 IO | 205,569 | 28,240 | ||||||
5.86%, 12/20/2038 | 931,383 | 1,053,431 | ||||||
6.00%, 12/20/2038 IO | 98,665 | 14,679 | ||||||
6.56%, 12/20/2038 IO | 652,785 | 110,101 | ||||||
5.47%, 01/20/2039 | 1,459,224 | 1,599,409 | ||||||
5.39%, 02/16/2039 IO | 158,937 | 21,825 |
Principal Amount | Value | |||||||
5.44%, 02/16/2039 IO | 246,744 | 29,863 | ||||||
5.21%, 02/20/2039 IO | 304,448 | 39,609 | ||||||
5.30%, 02/20/2039 IO | 179,136 | 24,900 | ||||||
5.56%, 03/20/2039 IO | 130,330 | 8,761 | ||||||
5.56%, 03/20/2039 IO | 316,560 | 34,725 | ||||||
6.50%, 03/20/2039 IO | 205,763 | 52,293 | ||||||
6.50%, 03/20/2039 IO | 94,473 | 22,360 | ||||||
5.53%, 04/20/2039 IO | 554,780 | 72,548 | ||||||
5.50%, 05/20/2039 IO | 67,292 | 12,453 | ||||||
6.00%, 05/20/2039 IO | 89,540 | 18,197 | ||||||
5.69%, 06/16/2039 IO | 557,662 | 40,186 | ||||||
5.21%, 06/20/2039 IO | 286,662 | 42,856 | ||||||
5.34%, 06/20/2039 IO | 416,947 | 60,676 | ||||||
5.39%, 07/16/2039 IO | 488,774 | 51,129 | ||||||
5.54%, 08/16/2039 IO | 441,866 | 72,036 | ||||||
7.00%, 08/16/2039 | 243,978 | 270,520 | ||||||
5.35%, 09/20/2039 IO | 697,431 | 99,931 | ||||||
5.50%, 09/20/2039 | 317,000 | 360,545 | ||||||
5.69%, 11/16/2039 IO | 585,877 | 89,943 | ||||||
6.00%, 12/20/2039 | 279,481 | 289,263 | ||||||
5.22%, 06/20/2040 | 266,040 | 291,748 | ||||||
5.55%, 07/20/2040 | 379,688 | 423,790 | ||||||
7.00%, 10/16/2040 | 769,500 | 889,808 | ||||||
0.00%, 12/20/2040 PO | 1,035,914 | 854,482 | ||||||
5.86%, 05/20/2041 IO | 528,580 | 105,587 | ||||||
4.66%, 09/20/2041 | 558,109 | 600,850 | ||||||
4.66%, 10/20/2041 | 1,049,461 | 1,138,428 | ||||||
4.52%, 11/16/2041 | 547,512 | 592,559 | ||||||
3.00%, 12/20/2041 | 1,000,000 | 963,924 | ||||||
3.72%, 01/20/2042 | 596,534 | 618,549 | ||||||
3.96%, 09/16/2042 | 413,964 | 426,490 | ||||||
4.62%, 10/20/2042 | 2,175,035 | 2,328,256 | ||||||
4.73%, 11/20/2042 | 296,432 | 321,224 | ||||||
4.49%, 04/20/2043 | 322,648 | 340,077 | ||||||
0.98%, 11/20/2059 | 504,936 | 504,833 | ||||||
1.01%, 01/20/2060 | 413,476 | 413,434 | ||||||
0.98%, 03/20/2060 | 620,726 | 620,530 |
Principal Amount | Value | |||||||
0.96%, 04/20/2060 | 1,455,886 | 1,452,693 | ||||||
5.24%, 07/20/2060 | 2,907,579 | 3,042,362 | ||||||
0.83%, 08/20/2060 | 218,877 | 218,746 | ||||||
1.00%, 01/20/2061 | 2,964,622 | 2,958,944 | ||||||
1.03%, 03/20/2061 | 2,715,664 | 2,703,486 | ||||||
1.18%, 05/20/2061 | 2,643,553 | 2,644,228 | ||||||
1.23%, 05/20/2061 | 2,592,106 | 2,594,054 | ||||||
1.00%, 08/20/2061 | 693,752 | 688,945 | ||||||
1.08%, 10/20/2061 | 1,481,033 | 1,482,934 | ||||||
1.08%, 12/20/2061 | 7,395,946 | 7,374,147 | ||||||
1.08%, 04/20/2062 | 543,995 | 544,766 | ||||||
1.23%, 04/20/2062 | 1,096,350 | 1,098,622 | ||||||
0.98%, 05/20/2062 | 515,451 | 515,283 | ||||||
1.08%, 07/20/2062 | 1,973,506 | 1,967,811 | ||||||
1.11%, 09/20/2062 | 3,332,742 | 3,330,171 | ||||||
1.12%, 09/20/2062 | 899,255 | 899,087 | ||||||
1.03%, 10/20/2062 | 876,430 | 874,203 | ||||||
1.05%, 10/20/2062 | 3,095,376 | 3,082,490 | ||||||
1.13%, 10/20/2062 | 480,976 | 478,906 | ||||||
0.83%, 11/20/2062 | 121,180 | 121,042 | ||||||
0.87%, 12/20/2062 | 2,911,667 | 2,881,068 | ||||||
0.85%, 01/20/2063 | 1,359,278 | 1,342,763 | ||||||
1.03%, 01/20/2063 | 1,001,158 | 1,001,846 | ||||||
1.65%, 01/20/2063 | 3,049,515 | 3,037,370 | ||||||
0.95%, 02/20/2063 | 292,140 | 289,207 | ||||||
0.98%, 02/20/2063 | 1,658,773 | 1,647,110 | ||||||
1.65%, 02/20/2063 | 4,134,285 | 4,097,265 | ||||||
0.94%, 03/20/2063 | 1,198,111 | 1,187,684 | ||||||
1.00%, 03/20/2063 | 389,767 | 387,369 | ||||||
1.75%, 03/20/2063 | 1,034,093 | 1,029,485 | ||||||
1.65%, 04/20/2063 | 1,321,878 | 1,305,449 | ||||||
1.00%, 06/20/2063 | 3,155,527 | 3,136,122 | ||||||
1.18%, 01/20/2064 | 3,241,074 | 3,241,972 | ||||||
1.18%, 02/20/2064 | 6,750,858 | 6,752,638 | ||||||
1.22%, 02/20/2064 | 3,531,091 | 3,544,686 | ||||||
1.18%, 03/20/2064 | 3,628,781 | 3,629,542 | ||||||
1.13%, 04/20/2064 | 3,791,002 | 3,784,123 |
Principal Amount | Value | |||||||
1.13%, 04/20/2064 | 4,126,266 | 4,119,587 | ||||||
1.13%, 05/20/2064 | 6,444,536 | 6,429,506 | ||||||
1.03%, 06/20/2064 | 2,745,757 | 2,726,930 | ||||||
1.00%, 07/20/2064 | 4,444,986 | 4,415,911 | ||||||
1.03%, 07/20/2064 | 2,199,821 | 2,184,925 | ||||||
1.03%, 07/20/2064 | 2,900,305 | 2,880,603 | ||||||
1.00%, 09/20/2064 | 4,378,963 | 4,339,648 | ||||||
1.13%, 10/20/2064 | 1,653,614 | 1,629,676 | ||||||
1.03%, 12/20/2064 | 4,178,900 | 4,157,833 | ||||||
0.99%, 02/20/2065 | 2,723,924 | 2,706,170 | ||||||
1.01%, 02/20/2065 | 4,490,452 | 4,454,967 | ||||||
1.01%, 03/20/2065 | 9,145,515 | 9,073,940 | ||||||
1.01%, 04/20/2065 | 6,588,453 | 6,535,483 | ||||||
0.98%, 06/20/2065 | 2,204,134 | 2,186,659 | ||||||
0.97%, 07/20/2065 | 3,973,143 | 3,919,967 | ||||||
1.00%, 08/20/2065 | 727,346 | 721,111 | ||||||
1.13%, 11/20/2065 | 7,673,349 | 7,658,367 | ||||||
1.60%, 12/20/2066(8) | 2,395,000 | 2,412,962 | ||||||
GS Mortgage Securities Co. II | ||||||||
2.71%, 12/10/2027 (Acquired 10/28/2013, Cost $1,253,532) (1) | 1,255,714 | 1,269,875 | ||||||
3.38%, 05/12/2050 | 221,000 | 223,881 | ||||||
GS Mortgage Securities Co. Trust 2012-ALOHA | ||||||||
3.55%, 04/12/2034 (Acquired 04/01/2014, Cost $4,219,412) (1) | 4,200,000 | 4,384,721 | ||||||
GS Mortgage Securities Co. Trust 2012-SHOP | ||||||||
1.30%, 06/05/2031 IO (Acquired 10/28/2013, Cost $346,217) (1) | 7,793,000 | 220,793 | ||||||
2.93%, 06/05/2031 (Acquired 07/28/2015 through 09/09/2016, Cost $4,937,226) (1) | 4,813,000 | 4,878,794 | ||||||
GS Mortgage Securities Co. Trust 2013-NYC5 | ||||||||
2.32%, 01/10/2030 (Acquired 10/28/2013, Cost $507,504) (1) | 505,000 | 507,141 | ||||||
GS Mortgage Securities Corp II | ||||||||
2.95%, 11/07/2034 (Acquired 08/03/2016 through 12/01/2016, Cost $3,766,266) (1) | 3,678,000 | 3,673,871 | ||||||
GS Mortgage Securities Trust 2006-GG8 | ||||||||
0.73%, 11/14/2039 IO (Acquired 10/28/2013, Cost $152,989) (1) | 2,637,910 | 69 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
5.40%, 08/10/2044 (Acquired 03/27/2014, Cost $509,463) (1) | 500,000 | 496,241 | ||||||
GS Mortgage Securities Trust 2012-GCJ9 | ||||||||
2.77%, 11/13/2045 | 13,211,562 | 13,303,016 |
Principal Amount | Value | |||||||
GS Mortgage Securities Trust 2013-GC13 | ||||||||
3.87%, 07/12/2046 | 5,880,000 | 6,234,880 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
1.43%, 11/13/2046 IO | 24,517,287 | 1,297,597 | ||||||
4.27%, 11/13/2046 | 67,000 | 72,300 | ||||||
GS Mortgage Securities Trust 2013-GCJ12 | ||||||||
3.14%, 06/12/2046 | 617,000 | 628,317 | ||||||
GS Mortgage Securities Trust 2013-GCJ14 | ||||||||
0.78%, 08/10/2046 IO | 28,835,426 | 987,233 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
4.07%, 01/10/2047 | 2,600,000 | 2,765,075 | ||||||
GS Mortgage Securities Trust 2014-GC26 | ||||||||
3.36%, 11/13/2047 | 8,000,000 | 8,150,546 | ||||||
GS Mortgage Securities Trust 2015-GC28 | ||||||||
3.14%, 02/12/2048 | 9,000,000 | 8,992,725 | ||||||
GSMPS Mortgage Loan Trust 2004-4 | ||||||||
1.16%, 06/25/2034 (Acquired 10/28/2013, Cost $68,405) (1) | 74,426 | 66,426 | ||||||
GSMPS Mortgage Loan Trust 2005-RP2 | ||||||||
1.11%, 03/25/2035 (Acquired 10/28/2013, Cost $123,254) (1) | 136,690 | 120,861 | ||||||
GSMPS Mortgage Loan Trust 2005-RP3 | ||||||||
1.11%, 09/25/2035 (Acquired 10/28/2013, Cost $736,590) (1) | 828,096 | 711,367 | ||||||
4.11%, 09/25/2035 IO (Acquired 10/28/2013, Cost $87,061) (1) | 610,526 | 63,709 | ||||||
GSR Mortgage Loan Trust 2003-3F | ||||||||
5.75%, 04/25/2033 | 47,443 | 49,352 | ||||||
GSR Mortgage Loan Trust 2003-6F | ||||||||
1.16%, 09/25/2032 | 15,792 | 14,998 | ||||||
GSR Mortgage Loan Trust 2004-13F | ||||||||
6.00%, 11/25/2034 | 131,382 | 134,464 | ||||||
GSR Mortgage Loan Trust 2004-6F | ||||||||
5.50%, 05/25/2034 | 137,822 | 141,726 | ||||||
6.50%, 05/25/2034 | 81,865 | 86,763 | ||||||
GSR Mortgage Loan Trust 2005-5F | ||||||||
1.26%, 06/25/2035 | 45,973 | 43,621 | ||||||
GSR Mortgage Loan Trust 2005-7F | ||||||||
6.00%, 09/25/2035 | 246,522 | 261,355 | ||||||
GSR Mortgage Loan Trust 2005-AR6 | ||||||||
3.05%, 09/25/2035 | 16,263 | 16,149 |
Principal Amount | Value | |||||||
GSR Mortgage Loan Trust 2006-1F | ||||||||
5.50%, 02/25/2036 | 118,558 | 111,257 | ||||||
6.00%, 02/25/2036 | 507,752 | 442,179 | ||||||
GSR Mortgage Loan Trust 2007-1F | ||||||||
5.50%, 01/25/2037 | 388,649 | 372,297 | ||||||
HILT 2014-ORL Mortgage Trust | ||||||||
1.44%, 07/16/2029 (Acquired 09/02/2014 through 01/27/2016, Cost $1,897,650) (1) | 1,900,000 | 1,891,862 | ||||||
Impac CMB Trust Series 2004-4 | ||||||||
4.78%, 09/25/2034 | 12,435 | 11,994 | ||||||
Impac CMB Trust Series 2004-7 | ||||||||
1.50%, 11/25/2034 | 1,522,469 | 1,471,236 | ||||||
Impac CMB Trust Series 2005-4 | ||||||||
1.36%, 05/25/2035 | 167,490 | 160,784 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
5.50%, 08/25/2033 | 97,882 | 100,865 | ||||||
1.39%, 11/25/2034 | 3,526 | 3,465 | ||||||
Impac Secured Assets Trust 2006-1 | ||||||||
1.11%, 05/25/2036 | 526,296 | 472,999 | ||||||
Impac Secured Assets Trust 2006-2 | ||||||||
1.11%, 08/25/2036 | 465,758 | 457,995 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
2.90%, 03/25/2036 | 49,035 | 41,063 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | ||||||||
0.03%, 08/12/2037 IO (Acquired 10/28/2013, Cost $73,183) (1) | 8,273,984 | 5,427 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5 | ||||||||
0.07%, 12/15/2044 IO (Acquired 10/28/2013, Cost $99,703) (1)(8) | 5,869,568 | 59 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | ||||||||
0.27%, 06/12/2043 IO | 6,704,789 | 10,080 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
0.86%, 05/15/2047 | 193,880 | 192,645 | ||||||
5.34%, 05/15/2047 | 413,000 | 407,165 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 | ||||||||
5.72%, 02/15/2051 | 115,398 | 117,977 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19 | ||||||||
5.71%, 02/12/2049 | 1,135,829 | 1,143,579 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
0.09%, 02/15/2051 IO | 25,828,628 | 6,269 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | ||||||||
2.38%, 10/17/2045 | 7,800,000 | 7,831,266 |
Principal Amount | Value | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | ||||||||
2.96%, 04/15/2046 | 7,152,087 | 7,225,929 | ||||||
JP Morgan Mortgage Trust 2004-A3 | ||||||||
3.21%, 07/25/2034 | 76,945 | 78,877 | ||||||
JP Morgan Mortgage Trust 2004-A4 | ||||||||
3.29%, 09/25/2034 | 87,458 | 89,224 | ||||||
JP Morgan Mortgage Trust 2004-S1 | ||||||||
5.00%, 09/25/2034 | 28,845 | 29,554 | ||||||
JP Morgan Mortgage Trust 2005-A1 | ||||||||
3.15%, 02/25/2035 | 204,579 | 208,425 | ||||||
JP Morgan Mortgage Trust 2005-A4 | ||||||||
2.99%, 07/25/2035 | 249,328 | 247,769 | ||||||
JP Morgan Mortgage Trust 2006-A2 | ||||||||
3.14%, 11/25/2033 | 670,347 | 679,648 | ||||||
3.18%, 08/25/2034 | 1,176,008 | 1,178,197 | ||||||
JP Morgan Mortgage Trust 2006-A3 | ||||||||
3.16%, 08/25/2034 | 164,031 | 164,085 | ||||||
JP Morgan Mortgage Trust 2006-A7 | ||||||||
3.14%, 01/25/2037 | 120,260 | 107,682 | ||||||
3.14%, 01/25/2037 | 210,954 | 196,778 | ||||||
JP Morgan Mortgage Trust 2007-A1 | ||||||||
3.18%, 07/25/2035 | 139,217 | 139,203 | ||||||
3.18%, 07/25/2035 | 2,123,639 | 2,149,843 | ||||||
JP Morgan Mortgage Trust 2007-A2 | ||||||||
3.10%, 04/25/2037 | 461,984 | 408,070 | ||||||
JP Morgan Resecuritization Trust Series 2009-6 | ||||||||
3.08%, 09/26/2036 (Acquired 10/28/2013, Cost $15,192) (1) | 15,101 | 15,082 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||
3.67%, 04/17/2047 | 2,010,000 | 2,088,763 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C24 | ||||||||
3.10%, 11/18/2047 | 13,000,000 | 13,171,790 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C25 | ||||||||
3.41%, 11/18/2047 | 13,000,000 | 13,306,506 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | ||||||||
2.77%, 10/19/2048 | 3,200,000 | 3,257,196 |
Principal Amount | Value | |||||||
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | ||||||||
3.99%, 02/15/2036 (Acquired 10/28/2013, Cost $983,310) (1) | 1,027,000 | 1,038,063 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.46%, 02/15/2040 | 490,000 | 490,363 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
0.48%, 02/15/2040 IO | 7,300,511 | 6,684 | ||||||
5.39%, 02/15/2040 | 10,304,909 | 10,334,185 | ||||||
5.43%, 02/15/2040 | 150,545 | 150,850 | ||||||
Lehman Mortgage Trust 2006-2 | ||||||||
5.91%, 04/25/2036 | 88,437 | 78,558 | ||||||
Lehman Mortgage Trust 2007-6 | ||||||||
6.00%, 07/25/2037 | 65,843 | 58,729 | ||||||
Lehman Mortgage Trust 2008-2 | ||||||||
6.00%, 03/25/2038 | 431,173 | 307,478 | ||||||
Luminent Mortgage Trust 2005-1 | ||||||||
1.02%, 11/25/2035 | 2,448,566 | 2,204,291 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-13 | ||||||||
3.05%, 04/21/2034 | 314,405 | 321,924 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-15 | ||||||||
3.80%, 12/25/2034 | 61,543 | 57,951 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-3 | ||||||||
2.73%, 04/25/2034 | 93,407 | 86,647 | ||||||
MASTR Alternative Loan Trust 2003-5 | ||||||||
6.00%, 08/25/2033 | 389,397 | 408,089 | ||||||
MASTR Alternative Loan Trust 2003-9 | ||||||||
6.00%, 12/25/2033 | 98,911 | 102,310 | ||||||
6.00%, 01/25/2034 | 28,732 | 29,654 | ||||||
MASTR Alternative Loan Trust 2004-1 | ||||||||
5.00%, 01/25/2019 | 20,351 | 20,415 | ||||||
MASTR Alternative Loan Trust 2004-10 | ||||||||
4.50%, 09/25/2019 | 13,333 | 13,386 | ||||||
MASTR Alternative Loan Trust 2004-13 | ||||||||
5.50%, 01/25/2020 | 374,217 | 382,821 | ||||||
MASTR Alternative Loan Trust 2004-2 | ||||||||
5.00%, 02/25/2019 | 1,082 | 1,090 | ||||||
MASTR Alternative Loan Trust 2004-3 | ||||||||
6.00%, 04/25/2034 | 267,198 | 279,823 | ||||||
6.25%, 04/25/2034 | 78,107 | 81,329 |
Principal Amount | Value | |||||||
MASTR Alternative Loan Trust 2004-4 | ||||||||
5.00%, 04/25/2019 | 17,325 | 17,440 | ||||||
MASTR Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2034 PO | 46,117 | 33,612 | ||||||
6.00%, 07/25/2034 | 28,126 | 27,577 | ||||||
MASTR Alternative Loan Trust 2004-7 | ||||||||
0.00%, 08/25/2034 PO | 37,690 | 29,668 | ||||||
MASTR Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 41,465 | 42,138 | ||||||
MASTR Alternative Loan Trust 2005-1 | ||||||||
5.00%, 02/25/2035 | 628,102 | 627,388 | ||||||
MASTR Alternative Loan Trust 2005-6 | ||||||||
5.50%, 11/25/2020 | 65,279 | 63,541 | ||||||
MASTR Asset Securitization Trust | ||||||||
4.50%, 12/25/2018 | 4,056 | 4,046 | ||||||
MASTR Asset Securitization Trust 2003-12 | ||||||||
0.00%, 12/25/2033 PO | 6,005 | 5,417 | ||||||
5.00%, 12/25/2033 | 25,248 | 25,391 | ||||||
MASTR Asset Securitization Trust 2003-2 | ||||||||
4.50%, 03/25/2018 | 1,432 | 1,428 | ||||||
4.50%, 03/25/2018 | 4,546 | 4,533 | ||||||
5.00%, 03/25/2018 | 2,617 | 2,614 | ||||||
MASTR Asset Securitization Trust 2003-8 | ||||||||
5.50%, 09/25/2033 | 5,589 | 5,665 | ||||||
MASTR Asset Securitization Trust 2003-9 | ||||||||
0.00%, 10/25/2018 PO | 6,157 | 5,955 | ||||||
5.50%, 10/25/2033 | 12,259 | 12,268 |
Principal Amount | Value | |||||||
MASTR Asset Securitization Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 4,293 | 3,358 | ||||||
MASTR Asset Securitization Trust 2004-4 | ||||||||
4.50%, 04/25/2019 | 905 | 900 | ||||||
5.25%, 12/26/2033 | 175,693 | 181,785 | ||||||
MASTR Asset Securitization Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 3,526 | 3,420 | ||||||
MASTR Asset Securitization Trust 2004-8 | ||||||||
0.00%, 08/25/2019 PO | 2,504 | 2,386 | ||||||
4.75%, 08/25/2019 | 12,596 | 12,777 | ||||||
MASTR Asset Securitization Trust 2004-9 | ||||||||
5.25%, 09/25/2019 | 23,790 | 24,072 | ||||||
MASTR Reperforming Loan Trust 2005-2 | ||||||||
0.94%, 05/25/2035 (Acquired 10/28/2013, Cost $1,027,717) (1) | 1,137,336 | 879,181 | ||||||
MASTR Reperforming Loan Trust 2006-2 | ||||||||
4.50%, 05/25/2036 (Acquired 10/28/2013, Cost $132,485) (1) | 139,170 | 124,667 | ||||||
MASTR Resecuritization Trust 2005-PO | ||||||||
0.00%, 05/28/2035 PO (Acquired 10/28/2013, Cost $55,728) (1) | 57,294 | 45,480 | ||||||
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | ||||||||
1.61%, 06/25/2037 | 291,949 | 283,395 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | ||||||||
3.01%, 08/25/2033 | 80,419 | 80,873 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | ||||||||
1.38%, 10/25/2028 | 158,892 | 152,052 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | ||||||||
1.23%, 10/25/2028 | 198,997 | 194,296 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | ||||||||
2.76%, 12/25/2034 | 171,268 | 171,326 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | ||||||||
1.22%, 04/25/2029 | 69,733 | 66,709 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | ||||||||
1.53%, 07/25/2029 | 145,981 | 138,820 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | ||||||||
2.86%, 08/25/2034 | 145,095 | 147,459 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | ||||||||
2.69%, 02/25/2035 | 268,106 | 263,054 | ||||||
ML Trust XLVII | ||||||||
8.99%, 10/20/2020 | 444 | 468 | ||||||
ML-CFC Commercial Mortgage Trust 2006-4 | ||||||||
0.68%, 12/12/2049 IO (Acquired 10/28/2013, Cost $373,718) (1) | 3,159,771 | 73 | ||||||
ML-CFC Commercial Mortgage Trust 2007-9 | ||||||||
5.70%, 09/12/2049 | 492,714 | 502,527 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | ||||||||
2.86%, 11/15/2045 | 9,144,055 | 9,278,614 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 | ||||||||
4.08%, 07/17/2046 | 917,000 | 978,525 |
Principal Amount | Value | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | ||||||||
3.96%, 08/17/2046 | 5,200,000 | 5,511,532 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | ||||||||
4.26%, 10/17/2046 | 1,229,000 | 1,322,265 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | ||||||||
2.92%, 02/15/2047 | 10,000,000 | 10,187,241 | ||||||
3.67%, 02/15/2047 | 4,400,000 | 4,593,577 | ||||||
3.79%, 02/15/2047 | 845,000 | 881,949 | ||||||
4.06%, 02/15/2047 | 445,000 | 470,757 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | ||||||||
3.25%, 02/15/2048 | 1,742,000 | 1,749,481 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | ||||||||
3.45%, 07/15/2050 | 12,200,000 | 12,451,560 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||
3.48%, 08/15/2047 | 5,000,000 | 5,101,979 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31 | ||||||||
3.10%, 11/18/2049 | 1,554,000 | 1,520,524 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12 | ||||||||
0.46%, 12/15/2043 IO (Acquired 10/28/2013, Cost $219,588) (1) | 3,041,650 | 53 | ||||||
Morgan Stanley Capital I Trust 2007-HQ11 | ||||||||
0.29%, 02/12/2044 IO (Acquired 10/28/2013, Cost $153,380) (1) | 13,537,929 | 165 | ||||||
Morgan Stanley Capital I Trust 2007-HQ13 | ||||||||
0.46%, 12/16/2044 IO (Acquired 10/28/2013, Cost $111,075) (1) | 7,134,454 | 14,089 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13 | ||||||||
0.42%, 03/15/2044 IO (Acquired 10/28/2013, Cost $305,792) (1) | 17,330,849 | 12,494 | ||||||
Morgan Stanley Capital I Trust 2011-C3 | ||||||||
4.05%, 07/16/2049 | 570,668 | 593,153 | ||||||
Morgan Stanley Capital I Trust 2012-C4 | ||||||||
2.99%, 03/17/2045 | 826,000 | 846,817 | ||||||
Morgan Stanley Capital I Trust 2014-CPT | ||||||||
3.35%, 07/13/2029 (Acquired 07/31/2015 through 12/07/2016, Cost $2,517,110) (1) | 2,419,000 | 2,497,645 | ||||||
Morgan Stanley Capital I Trust 2016-UB11 | ||||||||
2.53%, 08/17/2049 | 20,000,000 | 18,885,818 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-3 | ||||||||
5.67%, 04/25/2034 | 318,422 | 332,914 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-9 | ||||||||
4.90%, 10/25/2019 | 75,676 | 74,231 |
Principal Amount | Value | |||||||
Morgan Stanley Reremic Trust | ||||||||
0.25%, 07/28/2049 (Acquired 10/28/2013, Cost $1,030,627) (1) | 1,182,000 | 1,089,023 | ||||||
2.00%, 07/28/2049 (Acquired 10/28/2013, Cost $692,364) (1)(8) | 688,869 | 684,929 | ||||||
1.00%, 03/27/2051 (Acquired 10/28/2013, Cost $686,089) (1)(8) | 691,845 | 687,659 | ||||||
Mortgage Repurchase Agreement Financing Trust Series 2016-3 | ||||||||
1.54%, 05/10/2017 (Acquired 11/04/2016, Cost $5,540,000) (1)(8) | 5,540,000 | 5,540,000 | ||||||
Mortgage Repurchase Agreement Financing Trust Series 2016-4 | ||||||||
1.73%, 05/10/2019 (Acquired 11/04/2016, Cost $23,130,000) (1) | 23,130,000 | 23,079,739 | ||||||
Mortgage Repurchase Agreement Financing Trust Series 2016-5 | ||||||||
1.17%, 06/10/2019 (Acquired 12/13/2016, Cost $3,900,000) (1)(8) | 3,900,000 | 3,900,000 | ||||||
MortgageIT Trust 2005-1 | ||||||||
1.23%, 02/25/2035 | 114,546 | 110,221 | ||||||
MortgageIT Trust 2005-2 | ||||||||
1.28%, 05/25/2035 | 1,715,928 | 1,675,017 | ||||||
MortgageIT Trust 2005-3 | ||||||||
1.06%, 08/25/2035 | 4,701,011 | 4,424,942 | ||||||
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | ||||||||
1.02%, 06/15/2030 | 381,645 | 361,634 | ||||||
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | ||||||||
0.98%, 12/15/2030 | 81,093 | 77,143 | ||||||
NACC Reperforming Loan REMIC Trust 2004-R2 | ||||||||
6.50%, 10/25/2034 (Acquired 10/28/2013, Cost $78,928) (1) | 77,767 | 77,912 | ||||||
NCUA Guaranteed Notes Trust 2010-R3 | ||||||||
1.21%, 12/08/2020 | 1,775,571 | 1,780,298 | ||||||
2.40%, 12/08/2020 | 278,138 | 278,133 | ||||||
Nomura Asset Acceptance Co. Alternative Loan Trust Series 2003-A1 | ||||||||
5.00%, 04/25/2018 | 262 | 262 | ||||||
7.00%, 04/25/2033 | 7,954 | 8,138 | ||||||
5.50%, 05/25/2033 | 34,864 | 35,420 | ||||||
6.00%, 05/25/2033 | 22,568 | 22,928 | ||||||
NorthStar 2013-1 | ||||||||
5.53%, 08/25/2029 (Acquired 10/28/2013 through 11/13/2013, Cost $422,718) (1)(8) | 421,681 | 425,898 | ||||||
PaineWebber CMO Trust Series P | ||||||||
8.50%, 08/01/2019 | 468 | 496 | ||||||
PFP 2015-2 Ltd. | ||||||||
2.16%, 07/14/2034 (Acquired 07/28/2015, Cost $1,164,728) (1) | 1,164,728 | 1,163,593 | ||||||
3.96%, 07/14/2034 (Acquired 07/28/2015, Cost $821,000) (1) | 821,000 | 804,939 | ||||||
4.71%, 07/14/2034 (Acquired 07/28/2015, Cost $730,000) (1) | 730,000 | 710,479 |
Principal Amount | Value | |||||||
PPWR 2016-A NOTE | ||||||||
5.50%, 02/27/2019 (7)(8) | 3,265,000 | 3,265,000 | ||||||
Prime Mortgage Trust 2004-CL1 | ||||||||
6.00%, 02/25/2034 | 133,519 | 139,242 | ||||||
Provident Funding Mortgage Loan Trust 2005-1 | ||||||||
2.93%, 05/25/2035 | 58,952 | 56,842 | ||||||
RAIT 2014-FL3 Trust | ||||||||
1.95%, 12/15/2031 (Acquired 10/23/2014, Cost $59,777) (1) | 59,777 | 59,420 | ||||||
2.50%, 12/15/2031 (Acquired 10/23/2014, Cost $1,489,836) (1) | 1,489,836 | 1,480,827 | ||||||
RAIT 2015-FL4 Trust | ||||||||
2.05%, 04/15/2018 (Acquired 05/19/2015, Cost $673,474) (1) | 673,474 | 674,388 | ||||||
2.45%, 04/15/2018 (Acquired 05/19/2015, Cost $966,832) (1) | 966,832 | 974,227 | ||||||
RAIT 2015-FL5 Trust | ||||||||
4.60%, 01/17/2031 (Acquired 12/16/2015, Cost $1,485,000) (1)(8) | 1,485,000 | 1,488,757 | ||||||
RALI Series 2002-QS16 Trust | ||||||||
15.38%, 10/25/2017 | 3,080 | 3,170 | ||||||
RALI Series 2002-QS8 Trust | ||||||||
6.25%, 06/25/2017 | 7,121 | 7,108 | ||||||
RALI Series 2003-QS13 Trust | ||||||||
4.00%, 07/25/2033 | 1,057,728 | 1,011,465 | ||||||
RALI Series 2003-QS14 Trust | ||||||||
5.00%, 07/25/2018 | 52,485 | 52,622 | ||||||
RALI Series 2003-QS18 Trust | ||||||||
5.00%, 09/25/2018 | 15,506 | 15,585 | ||||||
RALI Series 2003-QS3 Trust | ||||||||
15.20%, 02/25/2018 | 9,292 | 9,675 | ||||||
RALI Series 2003-QS9 Trust | ||||||||
6.96%, 05/25/2018 IO | 30,316 | 1,148 | ||||||
RALI Series 2004-QS6 Trust | ||||||||
5.00%, 05/25/2019 | 8,740 | 8,736 | ||||||
RALI Series 2004-QS7 Trust | ||||||||
5.50%, 05/25/2034 | 794,165 | 806,297 | ||||||
RALI Series 2005-QA6 Trust | ||||||||
4.07%, 05/25/2035 | 173,978 | 140,137 | ||||||
RALI Series 2007-QS1 Trust | ||||||||
6.00%, 01/25/2037 | 25,871 | 22,940 |
Principal Amount | Value | |||||||
RBS Commercial Funding, Inc. 2013-SMV Trust | ||||||||
3.26%, 03/13/2031 (Acquired 10/28/2013, Cost $492,798) (1) | 512,000 | 507,571 | ||||||
RBSSP Resecuritization Trust 2009-1 | ||||||||
6.50%, 02/26/2036 (Acquired 10/28/2013, Cost $411,547) (1) | 398,195 | 422,181 | ||||||
RBSSP Resecuritization Trust 2009-12 | ||||||||
5.83%, 11/25/2033 (Acquired 10/28/2013, Cost $431,206) (1) | 421,711 | 435,438 | ||||||
RBSSP Resecuritization Trust 2009-2 | ||||||||
7.00%, 08/26/2037 (Acquired 10/28/2013, Cost $100,148) (1) | 97,464 | 101,697 | ||||||
RBSSP Resecuritization Trust 2009-9 | ||||||||
6.00%, 07/26/2037 (Acquired 10/28/2013, Cost $21,355) (1) | 21,235 | 21,229 | ||||||
RBSSP Resecuritization Trust 2010-9 | ||||||||
5.00%, 10/26/2034 (Acquired 10/28/2013, Cost $75,860) (1) | 73,571 | 74,153 | ||||||
4.00%, 05/27/2037 (Acquired 10/28/2013, Cost $123,758) (1) | 122,548 | 122,583 | ||||||
Reperforming Loan REMIC Trust 2005-R1 | ||||||||
0.00%, 03/25/2035 PO (Acquired 10/28/2013, Cost $10,464) (1) | 11,144 | 9,324 | ||||||
Residential Asset Securitization Trust 2003-A13 | ||||||||
5.50%, 01/25/2034 | 33,835 | 34,467 | ||||||
Residential Asset Securitization Trust 2003-A14 | ||||||||
4.75%, 02/25/2019 | 1,397 | 1,414 | ||||||
Residential Asset Securitization Trust 2003-A8 | ||||||||
4.25%, 10/25/2018 | 22,169 | 22,261 | ||||||
Residential Asset Securitization Trust 2004-A7 | ||||||||
5.50%, 10/25/2034 | 2,792,998 | 2,816,694 | ||||||
Residential Asset Securitization Trust 2005-A2 | ||||||||
4.29%, 03/25/2035 IO | 1,041,197 | 118,806 | ||||||
Residential Asset Securitization Trust 2006-A4IP | ||||||||
6.00%, 05/25/2036 | 99,163 | 91,336 | ||||||
Resource Capital Co. 2015-CRE4 Ltd | ||||||||
2.11%, 08/17/2032 (Acquired 08/05/2015, Cost $446,107) (1) | 446,107 | 443,459 | ||||||
3.71%, 08/17/2032 (Acquired 08/05/2015, Cost $1,151,000) (1)(8) | 1,151,000 | 1,083,379 | ||||||
RFMSI Series 2003-S14 Trust | ||||||||
0.00%, 07/25/2018 PO | 3,531 | 3,439 | ||||||
RFMSI Series 2003-S16 Trust | ||||||||
5.00%, 09/25/2018 | 10,150 | 10,176 | ||||||
RFMSI Series 2003-S20 Trust | ||||||||
4.75%, 12/25/2018 | 19,489 | 19,593 | ||||||
RFMSI Series 2004-S6 Trust | ||||||||
0.00%, 06/25/2034 PO | 16,267 | 12,638 |
Principal Amount | Value | |||||||
RFMSI Series 2005-SA4 Trust | ||||||||
3.24%, 09/25/2035 | 82,294 | 68,116 | ||||||
RREF 2015-LT7 LLC | ||||||||
3.00%, 12/25/2032 (Acquired 06/15/2015, Cost $121,596) (1) | 121,672 | 121,672 | ||||||
Sequoia Mortgage Trust 2004-10 | ||||||||
1.18%, 11/20/2034 | 77,790 | 72,852 | ||||||
Sequoia Mortgage Trust 2004-11 | ||||||||
1.16%, 12/20/2034 | 238,303 | 232,740 | ||||||
Sequoia Mortgage Trust 2004-12 | ||||||||
1.64%, 09/20/2034 | 181,176 | 166,551 | ||||||
Sequoia Mortgage Trust 2004-8 | ||||||||
1.26%, 09/20/2034 | 1,444,808 | 1,370,583 | ||||||
1.95%, 09/20/2034 | 254,895 | 244,903 | ||||||
Springleaf Mortgage Loan Trust 2013-2 | ||||||||
1.78%, 12/25/2065 (Acquired 10/28/2013, Cost $798,906) (1) | 802,227 | 799,199 | ||||||
3.52%, 12/25/2065 (Acquired 10/28/2013, Cost $879,315) (1) | 899,000 | 901,762 | ||||||
Springleaf Mortgage Loan Trust 2013-3 | ||||||||
3.79%, 09/25/2057 (Acquired 10/28/2013, Cost $1,261,712) (1) | 1,262,000 | 1,259,119 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
3.24%, 06/25/2034 | 629,230 | 625,060 | ||||||
Structured Asset Mortgage Investments II Trust 2004-AR5 | ||||||||
1.22%, 10/19/2034 | 216,933 | 206,644 | ||||||
Structured Asset Mortgage Investments II Trust 2005-AR5 | ||||||||
0.96%, 07/19/2035 | 736,669 | 711,705 | ||||||
Structured Asset Mortgage Investments Trust 2003-CL1 | ||||||||
0.99%, 07/25/2032 | 532,458 | 504,093 | ||||||
Structured Asset Securities Co. | ||||||||
2.90%, 12/25/2033 | 247,205 | 245,474 | ||||||
3.15%, 12/25/2033 | 2,147,202 | 2,106,326 | ||||||
5.99%, 02/25/2034 | 258,354 | 265,208 | ||||||
0.93%, 06/25/2035 (Acquired 10/28/2013, Cost $91,733) (1) | 104,398 | 88,169 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Certs Ser 2003-32 | ||||||||
5.25%, 11/25/2033 | 22,680 | 22,698 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Certs Ser 2003 29 | ||||||||
4.75%, 09/25/2018 | 24,742 | 24,907 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Certs Ser 2003 30 | ||||||||
5.50%, 10/25/2033 | 28,050 | 29,331 |
Principal Amount | Value | |||||||
Structured Asset Securities Co. Mortgage Pass-Through Ser 2004-5H | ||||||||
5.54%, 12/25/2033 | 557,576 | 571,783 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2003-33H | ||||||||
5.50%, 10/25/2033 | 298,773 | 304,640 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2003-34A | ||||||||
3.01%, 11/25/2033 | 81,259 | 79,745 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2004-22 | ||||||||
5.03%, 01/25/2035 | 3,719,460 | 3,847,338 | ||||||
Structured Asset Securities Co. Trust 2005-6 | ||||||||
5.00%, 05/25/2035 | 41,041 | 41,480 | ||||||
Thornburg Mortgage Securities Trust 2003-4 | ||||||||
1.23%, 09/25/2043 | 1,032,080 | 992,863 | ||||||
Thornburg Mortgage Securities Trust 2003-5 | ||||||||
2.83%, 10/25/2043 | 5,832,109 | 5,860,007 | ||||||
Thornburg Mortgage Securities Trust 2004-4 | ||||||||
2.43%, 12/25/2044 | 527,347 | 521,537 | ||||||
Thornburg Mortgage Securities Trust 2005-1 | ||||||||
2.56%, 04/25/2045 | 1,646,893 | 1,650,852 | ||||||
UBS Commercial Mortgage Trust 2012-C1 | ||||||||
2.09%, 05/12/2045 IO (Acquired 10/28/2013, Cost $208,916) (1) | 1,695,923 | 151,392 | ||||||
UBS-BAMLL Trust | ||||||||
3.66%, 06/12/2030 (Acquired 10/28/2013, Cost $1,764,796) (1) | 1,787,000 | 1,823,363 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
1.63%, 05/11/2063 IO (Acquired 06/08/2016 through 08/25/2016, Cost $576,743) (1) | 7,157,004 | 351,348 | ||||||
3.53%, 05/11/2063 | 1,073,000 | 1,121,425 | ||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||||||||
3.24%, 04/12/2046 | 271,000 | 276,784 | ||||||
Vendee Mortgage Trust 1993-1 | ||||||||
7.25%, 02/15/2023 | 441,914 | 488,197 | ||||||
Vendee Mortgage Trust 1994-1 | ||||||||
5.51%, 02/15/2024 | 110,400 | 118,389 | ||||||
6.50%, 02/15/2024 | 339,263 | 373,406 | ||||||
Vendee Mortgage Trust 1996-1 | ||||||||
6.75%, 02/15/2026 | 168,409 | 190,318 | ||||||
Vendee Mortgage Trust 1996-2 | ||||||||
6.75%, 06/15/2026 | 75,663 | 84,983 |
Principal Amount | Value | |||||||
Vendee Mortgage Trust 1997-1 | ||||||||
7.50%, 02/15/2027 | 229,743 | 263,294 | ||||||
Vendee Mortgage Trust 1998-1 | ||||||||
7.00%, 09/15/2027 | 151,955 | 177,180 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030 (Acquired 10/28/2013 through 02/19/2014, Cost $2,218,127) (1) | 2,283,000 | 2,301,240 | ||||||
VNDO 2013-PENN Mortgage Trust | ||||||||
3.81%, 12/13/2029 (Acquired 12/05/2013, Cost $2,545,994) (1) | 2,500,000 | 2,621,788 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C21 | ||||||||
5.29%, 10/17/2044 | 304,599 | 304,305 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | ||||||||
0.09%, 03/15/2045 IO (Acquired 10/28/2013, Cost $225,768) (1) | 4,693,013 | 21 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 | ||||||||
5.71%, 06/15/2049 | 5,039,221 | 5,079,301 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | ||||||||
2.83%, 10/25/2033 | 392,425 | 394,143 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | ||||||||
2.67%, 08/25/2033 | 131,320 | 131,466 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | ||||||||
2.78%, 09/25/2033 | 764,590 | 769,363 | ||||||
2.85%, 09/25/2033 | 138,873 | 135,795 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | ||||||||
5.50%, 04/25/2033 | 130,091 | 133,405 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S10 | ||||||||
5.00%, 10/25/2018 | 4,965 | 4,988 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S13 Trust | ||||||||
1.18%, 12/25/2018 | 14,084 | 13,832 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | ||||||||
15.74%, 06/25/2033 | 34,353 | 40,130 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust | ||||||||
4.50%, 09/25/2018 | 24,084 | 24,145 | ||||||
4.50%, 09/25/2018 | 8,464 | 8,486 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | ||||||||
0.00%, 10/25/2033 PO | 11,450 | 9,783 | ||||||
5.25%, 10/25/2033 | 509,504 | 529,528 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | ||||||||
2.79%, 06/25/2034 | 4,418,529 | 4,431,990 | ||||||
2.79%, 06/25/2034 | 248,979 | 249,737 |
Principal Amount | Value | |||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB1 Trust | ||||||||
5.00%, 06/25/2019 | 33,565 | 33,911 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | ||||||||
5.00%, 07/25/2019 | 40,868 | 41,232 | ||||||
5.50%, 08/25/2019 | 89,235 | 90,340 | ||||||
6.00%, 08/25/2034 | 1,047,042 | 1,106,320 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | ||||||||
5.50%, 10/25/2019 | 11,375 | 11,534 | ||||||
6.00%, 10/25/2019 | 14,037 | 14,446 | ||||||
6.50%, 10/25/2034 | 4,027,857 | 4,289,500 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB4 Trust | ||||||||
5.50%, 12/25/2019 | 22,245 | 22,625 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | ||||||||
5.00%, 11/25/2033 | 80,595 | 81,815 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | ||||||||
5.50%, 06/25/2034 | 458,506 | 474,598 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | ||||||||
5.00%, 07/25/2034 | 94,088 | 97,434 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | ||||||||
2.89%, 09/25/2036 | 19,625 | 16,463 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | ||||||||
2.80%, 08/25/2046 | 105,913 | 92,087 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | ||||||||
0.00%, 03/25/2035 PO | 17,067 | 12,635 | ||||||
5.50%, 03/25/2035 | 172,905 | 171,211 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | ||||||||
4.42%, 04/25/2035 IO | 286,604 | 37,194 | ||||||
4.47%, 04/25/2035 IO | 1,132,943 | 158,128 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | ||||||||
5.50%, 06/25/2035 | 393,789 | 362,881 | ||||||
5.50%, 06/25/2035 IO | 370,313 | 74,204 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | ||||||||
5.50%, 08/25/2035 | 77,368 | 71,025 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | ||||||||
5.75%, 02/25/2036 | 30,746 | 28,786 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust | ||||||||
1.13%, 03/25/2018 | 3,770 | 3,747 |
Principal Amount | Value | |||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | ||||||||
0.00%, 03/25/2033 PO | 1,658 | 1,397 | ||||||
Wedgewood Real Estate Trust 2016-1 | ||||||||
3.45%, 07/16/2046 (Acquired 06/22/2016, Cost $11,356) (1) | 11,356 | 11,358 | ||||||
Wells Fargo Alternative Loan 2003-1 Trust | ||||||||
0.00%, 09/25/2033 PO | 11,485 | 10,280 | ||||||
Wells Fargo Alternative Loan 2007-PA3 Trust | ||||||||
5.75%, 07/25/2037 | 40,142 | 35,575 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2.64%, 11/18/2049 | 20,000,000 | 18,929,222 | ||||||
Wells Fargo Commercial Mortgage Trust 2013-120B | ||||||||
2.71%, 03/20/2028 (Acquired 10/28/2013, Cost $1,524,458) (1) | 1,548,000 | 1,555,209 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 | ||||||||
2.82%, 08/17/2050 | 3,500,000 | 3,566,406 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||||||||
2.99%, 02/15/2048 | 9,300,000 | 9,396,144 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 | ||||||||
3.37%, 06/17/2048 | 10,000,000 | 10,117,521 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 | ||||||||
3.66%, 09/17/2058 | 729,000 | 752,913 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||
3.50%, 07/17/2058 | 15,000,000 | 15,318,437 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS3 | ||||||||
3.62%, 09/17/2057 | 548,000 | 563,559 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 | ||||||||
3.79%, 09/17/2048 | 1,336,000 | 1,387,230 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-C37 | ||||||||
3.79%, 12/17/2049 | 1,489,000 | 1,542,224 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-LC25 | ||||||||
3.64%, 12/17/2059 | 1,542,000 | 1,572,009 | ||||||
Wells Fargo Mortgage Backed Securities 2003-K Trust | ||||||||
2.90%, 11/25/2033 | 272,917 | 273,312 | ||||||
2.90%, 11/25/2033 | 10,470 | 10,533 | ||||||
Wells Fargo Mortgage Backed Securities 2003-L Trust | ||||||||
2.93%, 11/25/2033 | 44,071 | 43,059 | ||||||
Wells Fargo Mortgage Backed Securities 2004-4 Trust | ||||||||
5.50%, 05/25/2034 | 60,959 | 62,161 |
Principal Amount | Value | |||||||
Wells Fargo Mortgage Backed Securities 2004-B Trust | ||||||||
2.81%, 02/25/2034 | 101,802 | 101,165 | ||||||
Wells Fargo Mortgage Backed Securities 2004-EE Trust | ||||||||
3.03%, 12/25/2034 | 3,502,586 | 3,526,557 | ||||||
3.03%, 12/25/2034 | 144,339 | 146,956 | ||||||
3.21%, 12/25/2034 | 251,427 | 259,245 | ||||||
3.21%, 12/25/2034 | 82,068 | 84,620 | ||||||
Wells Fargo Mortgage Backed Securities 2004-I Trust | ||||||||
3.13%, 07/25/2034 | 361,960 | 366,373 | ||||||
Wells Fargo Mortgage Backed Securities 2004-P Trust | ||||||||
2.99%, 09/25/2034 | 1,029,177 | 1,059,482 | ||||||
Wells Fargo Mortgage Backed Securities 2004-V Trust | ||||||||
3.08%, 10/25/2034 | 131,875 | 132,566 | ||||||
3.08%, 10/25/2034 | 169,143 | 173,071 | ||||||
Wells Fargo Mortgage Backed Securities 2005-14 Trust | ||||||||
0.00%, 12/25/2035 PO | 14,819 | 13,302 | ||||||
5.50%, 12/25/2035 | 104,051 | 107,778 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR10 Trust | ||||||||
3.01%, 06/25/2035 | 6,246,387 | 6,423,869 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR3 Trust | ||||||||
3.08%, 03/25/2035 | 2,285,059 | 2,330,068 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR8 Trust | ||||||||
3.07%, 03/25/2034 | 210,378 | 214,122 | ||||||
Wells Fargo Mortgage Backed Securities 2007-11 Trust | ||||||||
6.00%, 08/25/2037 | 264,475 | 259,306 | ||||||
Wells Fargo Mortgage Backed Securities 2007-7 Trust | ||||||||
6.00%, 06/25/2037 | 44,889 | 43,949 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||
4.38%, 03/17/2044 (Acquired 10/28/2013, Cost $1,115,573) (1) | 1,059,000 | 1,134,990 | ||||||
WFRBS Commercial Mortgage Trust 2012-C6 | ||||||||
3.44%, 04/15/2045 | 9,470,780 | 9,883,207 | ||||||
WFRBS Commercial Mortgage Trust 2013-C11 | ||||||||
4.21%, 03/17/2045 (Acquired 08/04/2014, Cost $287,769) (1) | 300,000 | 272,978 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
3.68%, 08/16/2047 | 7,000,000 | 7,255,245 | ||||||
WFRBS Commercial Mortgage Trust 2014-C23 | ||||||||
3.64%, 10/17/2057 | 3,500,000 | 3,651,713 |
Principal Amount | Value | |||||||
WFRBS Commercial Mortgage Trust 2014-C24 | ||||||||
3.32%, 11/18/2047 | 5,000,000 | 5,139,051 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
3.77%, 03/15/2047 | 10,000,000 | 10,442,611 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $3,655,366,260) | $ | 3,669,901,651 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $10,239,768,441) | $ | 10,271,549,376 | ||||||
|
| |||||||
Shares | Value | |||||||
PREFERRED STOCKS – 0.02% | ||||||||
Financials – 0.02% | ||||||||
State Street Corp. | 95,000 | $ | 2,376,900 | |||||
|
| |||||||
Total Preferred Stocks (Cost $2,375,000) | $ | 2,376,900 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 7.74% | ||||||||
Money Market Funds – 7.73% | ||||||||
Fidelity Institutional Money Market Government Funds - Class I, 0.39% (5)(6) | 410,057,321 | $ | 410,057,321 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund - Class I, 0.37% (5)(6) | 409,095,758 | 409,095,758 | ||||||
|
| |||||||
Total Money Market Funds | 819,153,079 | |||||||
|
| |||||||
Principal Amount | Value | |||||||
U.S. Treasury Bills – 0.01% | ||||||||
U.S. Treasury Bill, 0.00%, 5/25/2017 (4) | $ | 1,500,000 | 1,496,406 | |||||
|
| |||||||
Total U.S. Treasury Bills | 1,496,406 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $820,649,914) | $ | 820,649,485 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 104.66% | ||||||||
(Cost $11,062,793,355) | $ | 11,094,575,761 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.66)% | (493,537,187 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 10,601,038,574 | ||||||
|
|
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 $1,499,167,903, which represents 14.14% of total net assets. |
(2) | Inflation protected security. The value of these securities total $7,058,774, which represents 0.07% of total net assets. |
(3) | Delayed delivery purchase commitment security. The value of these securities total $507,216,824, which represents 4.78% of total net assets. |
(4) | Partially assigned as collateral for certain futures contracts. The value of the pledged issues total $3,958,662, which represent 0.04% of total net assets. |
(5) | Partially assigned as collateral for certain delayed delivery securities. |
(6) | Represents annualized seven-day yield as of the close of the reporting period. |
(7) | Security is treated as illiquid by the Fund. The value of these securities total $34,810,045, which represents 0.33% of the total net assets. |
(8) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities total $93,405,642, which represents 0.88% of total net assets. |
Open Futures Contracts
Number of | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
(1,073) | U.S. 10 Year Note Future | J.P. Morgan | Mar. 2017 | $ | (133,397,111 | ) | $ | (133,353,781 | ) | $ | 43,330 | |||||||
578 | U.S. 2 Year Note Future | J.P. Morgan | Mar. 2017 | 125,085,236 | 125,245,375 | 160,139 | ||||||||||||
4,015 | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2017 | 473,178,175 | 472,421,213 | (756,962 | ) | |||||||||||
204 | U.S. Long Bond Future | J.P. Morgan | Mar. 2017 | 30,914,290 | 30,733,875 | (180,415 | ) | |||||||||||
(35) | U.S. Ultra Bond Future | J.P. Morgan | Mar. 2017 | (5,491,884 | ) | (5,608,750 | ) | (116,866 | ) | |||||||||
|
| |||||||||||||||||
$ | (850,774 | ) | ||||||||||||||||
|
|
Bridge Builder Core Plus Bond Fund
Schedule of Investments
December 31, 2016 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES – 94.08% | ||||||||
Asset-Backed Obligations – 8.20% | ||||||||
ABFC 2007-NC1 Trust | ||||||||
1.06%, 05/25/2037 (Acquired 09/03/2015, Cost $3,116,587) (1) | $ | 4,000,000 | $ | 3,094,074 | ||||
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE7 | ||||||||
1.25%, 11/25/2035 | 1,016,136 | 1,005,665 | ||||||
Aegis Asset Backed Securities Trust 2005-5 | ||||||||
1.01%, 12/25/2035 | 7,373,507 | 7,240,994 | ||||||
Ajax Mortgage Loan Trust 2016-B | ||||||||
4.00%, 09/25/2065 (Acquired 08/05/2016, Cost $619,715) (1) | 621,068 | 619,817 | ||||||
Ajax Mortgage Loan Trust 2016-C | ||||||||
4.00%, 10/25/2057 (Acquired 10/21/2016, Cost $1,904,273) (1) | 1,904,273 | 1,908,312 | ||||||
Ally Auto Receivables Trust 2016-3 | ||||||||
1.72%, 04/15/2021 | 2,060,000 | 2,051,889 | ||||||
Ally Master Owner Trust | ||||||||
1.54%, 09/15/2019 | 1,450,000 | 1,452,013 | ||||||
1.63%, 05/15/2020 | 1,670,000 | 1,667,805 | ||||||
American Express Credit Account Master Trust | ||||||||
1.49%, 04/15/2020 | 2,000,000 | 2,004,470 | ||||||
American Homes 4 Rent 2014-SFR1 | ||||||||
2.84%, 06/17/2031 (Acquired 04/05/2016, Cost $96,103) (1) | 100,000 | 100,174 | ||||||
AmeriCredit Automobile Receivables 2015-1 | ||||||||
1.26%, 11/08/2019 | 1,103,198 | 1,103,177 | ||||||
AmeriCredit Automobile Receivables 2015-4 | ||||||||
3.72%, 12/08/2021 | 531,000 | 542,282 | ||||||
AmeriCredit Automobile Receivables 2016-1 | ||||||||
1.81%, 10/08/2020 | 175,000 | 175,373 | ||||||
3.59%, 02/08/2022 | 916,000 | 931,894 | ||||||
AmeriCredit Automobile Receivables Trust 2013-5 | ||||||||
2.86%, 12/09/2019 | 3,270,000 | 3,310,371 | ||||||
Americredit Automobile Receivables Trust 2014-4 | ||||||||
3.07%, 11/09/2020 | 5,600,000 | 5,675,277 | ||||||
AmeriCredit Automobile Receivables Trust 2015-3 | ||||||||
3.34%, 08/09/2021 | 1,865,000 | 1,889,577 | ||||||
AmeriCredit Automobile Receivables Trust 2016-2 | ||||||||
1.60%, 11/09/2020 | 1,260,000 | 1,257,556 | ||||||
2.87%, 11/08/2021 | 290,000 | 291,468 | ||||||
3.65%, 05/09/2022 | 605,000 | 616,192 | ||||||
AmeriCredit Automobile Receivables Trust 2016-3 | ||||||||
2.24%, 04/08/2022 | 2,000,000 | 1,978,466 | ||||||
Ameriquest Mortgage Securities Trust 2006-R2 | ||||||||
0.93%, 04/25/2036 | 2,175,993 | 2,144,861 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Ser 2004-R8 | ||||||||
1.72%, 09/25/2034 | 2,616,900 | 2,604,217 | ||||||
Ammc Clo 19 Ltd | ||||||||
2.36%, 10/16/2028 (Acquired 10/07/2016, Cost $4,255,000) (1) | 4,255,000 | 4,252,749 |
Principal Amount | Value | |||||||
AMPLIT Trust 2015-A | ||||||||
5.00%, 09/15/2021 (Acquired 11/13/2015, Cost $475,805) (1) | 475,805 | 477,752 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
4.28%, 09/05/2044 (Acquired 05/16/2016, Cost $5,069,964) (1) | 5,000,000 | 4,941,800 | ||||||
Ascentium Equipment Receivables 2016-2 Trust | ||||||||
1.46%, 04/10/2019 (Acquired 10/18/2016, Cost $274,991) (1) | 275,000 | 274,397 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.10%, 03/20/2019 (Acquired 10/20/2016, Cost $330,960) (1) | 330,000 | 330,315 | ||||||
2.62%, 09/20/2019 (Acquired 10/20/2016, Cost $504,862) (1) | 505,000 | 503,466 | ||||||
2.97%, 02/20/2020 (Acquired 08/26/2015 through 10/20/2016, Cost $1,471,708) (1) | 1,450,000 | 1,464,700 | ||||||
2.46%, 07/20/2020 (Acquired 07/15/2015 through 06/17/2016, Cost $2,646,821) (1) | 2,630,000 | 2,622,803 | ||||||
2.50%, 07/20/2021 (Acquired 10/26/2016, Cost $1,239,796) (1) | 1,230,000 | 1,219,798 | ||||||
BA Credit Card Trust | ||||||||
0.97%, 09/16/2019 | 1,750,000 | 1,750,344 | ||||||
Barclays Dryrock Issuance Trust | ||||||||
2.41%, 07/15/2022 | 1,395,000 | 1,410,381 | ||||||
2.20%, 12/15/2022 | 1,705,000 | 1,711,461 | ||||||
Bayview Opportunity Master Fund IIa Trust 2016-RPL3 | ||||||||
3.47%, 07/28/2031 (Acquired 07/15/2016, Cost $614,996) (1) | 614,996 | 611,314 | ||||||
Bayview Opportunity Master Fund Trust 2016-LT1 | ||||||||
3.47%, 10/28/2031 (Acquired 10/12/2016, Cost $1,169,995) (1) | 1,169,995 | 1,165,245 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1 | ||||||||
4.21%, 12/16/2041 (Acquired 11/04/2016, Cost $1,489,993) (1) | 1,490,000 | 1,478,825 | ||||||
BMW Vehicle Lease Trust 2016-2 | ||||||||
1.57%, 02/20/2020 | 960,000 | 951,855 | ||||||
BMW Vehicle Owner Trust 2013-A | ||||||||
1.12%, 04/27/2020 | 1,993,943 | 1,994,318 | ||||||
Cabela’s Credit Card Master Note Trust | ||||||||
2.26%, 03/15/2023 | 850,000 | 850,628 | ||||||
CAM Mortgage Trust 2016-1 | ||||||||
4.00%, 01/15/2056 (Acquired 04/18/2016, Cost $168,212) (1) | 168,535 | 167,731 | ||||||
CAM Mortgage Trust 2016-2 | ||||||||
3.25%, 06/15/2057 (Acquired 09/22/2016, Cost $687,247) (1) | 688,015 | 683,121 | ||||||
Capital Auto Receivables Asset Trust 2013-4 | ||||||||
3.83%, 07/20/2022 (Acquired 11/03/2016, Cost $1,402,443) (1) | 1,377,000 | 1,398,264 | ||||||
Capital Auto Receivables Asset Trust 2014-1 | ||||||||
2.84%, 04/22/2019 | 1,185,000 | 1,197,820 | ||||||
3.39%, 07/22/2019 | 960,000 | 982,250 | ||||||
Capital Auto Receivables Asset Trust 2014-2 | ||||||||
1.62%, 10/22/2018 | 553,000 | 553,625 | ||||||
Capital Auto Receivables Asset Trust 2015-3 | ||||||||
1.94%, 01/21/2020 | 2,000,000 | 2,009,958 | ||||||
Capital Auto Receivables Asset Trust 2016-2 | ||||||||
1.63%, 01/20/2021 | 755,000 | 746,663 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
1.39%, 01/15/2021 | 3,000,000 | 2,998,332 | ||||||
CarMax Auto Owner Trust 2013-3 | ||||||||
1.49%, 01/15/2019 | 1,574,416 | 1,576,280 | ||||||
CarMax Auto Owner Trust 2016-1 | ||||||||
2.34%, 06/15/2021 | 365,000 | 363,474 | ||||||
CarMax Auto Owner Trust 2016-2 | ||||||||
2.16%, 12/15/2021 | 100,000 | 99,107 |
Principal Amount | Value | |||||||
CarMax Auto Owner Trust 2016-4 | ||||||||
1.40%, 08/16/2021 | 1,390,000 | 1,374,634 | ||||||
2.26%, 07/15/2022 | 265,000 | 258,843 | ||||||
Carnow Auto Receivables Trust 2015-1 | ||||||||
3.88%, 04/15/2020 (Acquired 09/11/2015, Cost $649,985) (1) | 650,000 | 654,600 | ||||||
CCG Receivables Trust 2016-1 | ||||||||
1.69%, 09/14/2022 (Acquired 06/08/2016, Cost $1,404,920) (1) | 1,405,000 | 1,403,693 | ||||||
Chase Issuance Trust | ||||||||
1.15%, 01/15/2019 | 3,000,000 | 3,000,008 | ||||||
1.13%, 09/15/2020 | 2,000,000 | 2,005,909 | ||||||
1.37%, 06/15/2021 | 6,150,000 | 6,088,420 | ||||||
Chrysler Capital Auto Receivables Trust 2016-B | ||||||||
1.36%, 01/15/2020 (Acquired 10/26/2016, Cost $609,940) (1) | 610,000 | 609,144 | ||||||
1.64%, 07/15/2021 (Acquired 10/26/2016, Cost $574,879) (1) | 575,000 | 570,291 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
1.02%, 02/22/2019 | 3,000,000 | 2,999,879 | ||||||
1.75%, 11/19/2021 | 3,770,000 | 3,751,363 | ||||||
CKE Restaurant Holdings, Inc. | ||||||||
4.47%, 03/20/2043 (Acquired 07/28/2015, Cost $2,141,022) (1) | 2,090,406 | 2,063,156 | ||||||
CLI Funding V LLC | ||||||||
3.38%, 10/18/2029 (Acquired 07/23/2015, Cost $1,019,893) (1) | 1,015,180 | 975,173 | ||||||
CNH Equipment Trust 2013-A | ||||||||
1.01%, 02/18/2020 | 1,062,295 | 1,062,155 | ||||||
CNH Equipment Trust 2013-D | ||||||||
1.37%, 10/15/2020 | 800,000 | 800,172 | ||||||
CNH Equipment Trust 2015-A | ||||||||
1.85%, 04/15/2021 | 1,047,000 | 1,050,290 | ||||||
CNH Equipment Trust 2016-C | ||||||||
1.44%, 12/15/2021 | 1,020,000 | 1,009,540 | ||||||
Colony American Finance 2015-1 Ltd. | ||||||||
4.83%, 10/18/2047 (Acquired 10/22/2015, Cost $724,993) (1) | 725,000 | 721,528 | ||||||
Colony American Homes 2014-2 | ||||||||
2.92%, 07/17/2031 (Acquired 03/28/2016, Cost $120,466) (1) | 125,000 | 125,302 | ||||||
CPS Auto Receivables Trust 2016-C | ||||||||
5.92%, 06/15/2022 (Acquired 07/18/2016, Cost $1,984,560) (1) | 1,985,000 | 2,048,740 | ||||||
CPS Auto Trust | ||||||||
4.53%, 01/17/2023 (Acquired 10/13/2016, Cost $1,464,790) (1) | 1,465,000 | 1,442,809 | ||||||
CWABS Asset-Backed Certificates Trust 2004-13 | ||||||||
1.61%, 04/25/2035 | 2,264,063 | 2,224,377 | ||||||
CWABS Asset-Backed Certificates Trust 2005-16 | ||||||||
1.24%, 04/25/2036 | 805,000 | 689,045 | ||||||
CWABS Asset-Backed Certificates Trust 2005-7 | ||||||||
1.34%, 09/25/2035 | 8,000,000 | 7,841,022 | ||||||
DB Master Finance LLC 2015-1 | ||||||||
3.26%, 02/20/2045 (Acquired 07/29/2015, Cost $521,125) (1) | 520,725 | 521,408 | ||||||
Diamond Resorts Owner Trust 2013-1 | ||||||||
1.95%, 01/20/2025 (Acquired 08/26/2015, Cost $735,782) (1) | 738,710 | 732,429 | ||||||
Diamond Resorts Owner Trust 2014-1 | ||||||||
2.54%, 05/20/2027 (Acquired 07/15/2015, Cost $216,044) (1) | 215,871 | 214,048 | ||||||
Diamond Resorts Owner Trust 2015-1 | ||||||||
2.73%, 07/20/2027 (Acquired 07/23/2015, Cost $150,159) (1) | 150,170 | 149,226 | ||||||
Discover Card Execution Note Trust | ||||||||
1.39%, 03/15/2022 | 2,150,000 | 2,124,464 | ||||||
1.85%, 10/16/2023 | 655,000 | 640,784 |
Principal Amount | Value | |||||||
Domino’s Pizza Master Issuer LLC | ||||||||
5.22%, 01/25/2042 (Acquired 07/15/2015 through 12/06/2016, Cost $4,459,931) (1) | 4,351,614 | 4,438,485 | ||||||
3.48%, 10/25/2045 (Acquired 10/14/2015 through 10/25/2016, Cost $3,314,658) (1) | 3,309,570 | 3,275,151 | ||||||
Drive Auto Receivables Trust 2015-B | ||||||||
2.76%, 07/15/2021 (Acquired 08/06/2015, Cost $843,055) (1) | 845,000 | 850,350 | ||||||
Drive Auto Receivables Trust 2015-C | ||||||||
3.01%, 05/17/2021 (Acquired 07/15/2015, Cost $824,933) (1) | 825,000 | 832,048 | ||||||
Dryden XXXI Senior Loan Fund | ||||||||
2.23%, 04/20/2026 (Acquired 07/21/2015, Cost $1,659,846) (1) | 1,665,000 | 1,665,093 | ||||||
DT Auto Owner Trust 2014-3 | ||||||||
4.47%, 11/15/2021 (Acquired 06/28/2016, Cost $1,819,810) (1) | 1,800,000 | 1,835,404 | ||||||
DT Auto Owner Trust 2016-1 | ||||||||
4.66%, 12/15/2022 (Acquired 01/13/2016, Cost $1,599,660) (1) | 1,600,000 | 1,623,268 | ||||||
DT Auto Owner Trust 2016-4 | ||||||||
3.77%, 10/17/2022 (Acquired 09/28/2016, Cost $114,979) (1) | 115,000 | 113,017 | ||||||
Enterprise Fleet Financing LLC | ||||||||
2.09%, 02/20/2021 (Acquired 07/22/2015 through 06/08/2016, Cost $1,539,575) (1) | 1,535,000 | 1,537,090 | ||||||
2.08%, 09/20/2021 (Acquired 02/09/2016, Cost $509,944) (1) | 510,000 | 505,873 | ||||||
2.04%, 02/22/2022 (Acquired 07/12/2016, Cost $2,184,512) (1) | 2,185,000 | 2,154,900 | ||||||
First Investors Auto Owner Trust 2015-2 | ||||||||
4.22%, 12/15/2021 (Acquired 08/18/2015, Cost $269,988) (1) | 270,000 | 273,738 | ||||||
First Investors Auto Owner Trust 2016-2 | ||||||||
3.35%, 11/15/2022 (Acquired 09/12/2016, Cost $849,996) (1) | 850,000 | 831,777 | ||||||
First NLC Trust 2005-2 | ||||||||
1.24%, 09/25/2035 | 3,237,887 | 3,178,794 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
3.34%, 04/15/2020 (Acquired 09/01/2015, Cost $99,896) (1) | 100,000 | 100,260 | ||||||
Flagship Credit Auto Trust 2016-3 | ||||||||
3.89%, 11/15/2022 (Acquired 08/02/2016, Cost $809,801) (1) | 810,000 | 793,512 | ||||||
Flatiron CLO 2014-1 Ltd. | ||||||||
2.26%, 07/17/2026 (Acquired 07/21/2015, Cost $1,657,703) (1) | 1,660,000 | 1,658,674 | ||||||
Ford Credit Auto Owner Trust 2014-A | ||||||||
1.90%, 09/15/2019 | 1,100,000 | 1,103,891 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 748,526 | 748,259 | ||||||
Ford Credit Auto Owner Trust 2014-C | ||||||||
1.06%, 05/15/2019 | 307,829 | 307,644 | ||||||
Ford Credit Auto Owner Trust 2015-A | ||||||||
1.28%, 09/15/2019 | 26,115 | 26,125 | ||||||
Ford Credit Auto Owner Trust 2015-B | ||||||||
1.16%, 11/15/2019 | 29,425 | 29,397 | ||||||
Ford Credit Auto Owner Trust 2015-C | ||||||||
1.41%, 02/15/2020 | 2,000,000 | 2,000,549 | ||||||
Ford Credit Auto Owner Trust 2016-A | ||||||||
1.60%, 06/15/2021 | 2,635,000 | 2,626,600 | ||||||
Ford Credit Auto Owner Trust 2016-B | ||||||||
1.33%, 10/15/2020 | 1,495,000 | 1,489,876 | ||||||
Ford Credit Auto Owner Trust 2016-C | ||||||||
1.73%, 03/15/2022 | 555,000 | 547,411 | ||||||
1.93%, 04/15/2023 | 370,000 | 363,406 | ||||||
Ford Credit Auto Owner Trust 2016-REV2 | ||||||||
2.03%, 12/15/2027 (Acquired 06/20/2016 through 08/23/2016, Cost $4,567,564) (1) | 4,565,000 | 4,484,997 |
Principal Amount | Value | |||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
1.92%, 01/15/2019 | 869,000 | 869,230 | ||||||
1.55%, 07/15/2021 | 2,660,000 | 2,631,520 | ||||||
2.16%, 11/15/2021 | 385,000 | 383,452 | ||||||
2.09%, 03/15/2022 (Acquired 07/28/2016, Cost $2,283,679) (1) | 2,255,000 | 2,253,159 | ||||||
GM Financial Automobile Leasing Trust 2016-2 | ||||||||
1.76%, 03/20/2020 | 995,000 | 987,966 | ||||||
2.08%, 03/20/2020 | 570,000 | 566,129 | ||||||
2.58%, 03/20/2020 | 350,000 | 349,939 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
1.96%, 05/17/2021 (Acquired 05/24/2016, Cost $2,034,685) (1) | 2,035,000 | 2,027,806 | ||||||
2.41%, 05/17/2021 (Acquired 05/24/2016, Cost $144,991) (1) | 145,000 | 144,428 | ||||||
2.85%, 05/17/2021 (Acquired 05/24/2016, Cost $99,983) (1) | 100,000 | 99,338 | ||||||
HOA Funding LLC | ||||||||
4.85%, 08/20/2044 (Acquired 07/15/2015 through 12/09/2015, Cost $625,466) (1) | 649,400 | 574,892 | ||||||
Home Equity Asset Trust 2006-3 | ||||||||
0.96%, 07/25/2036 | 8,881,333 | 8,725,457 | ||||||
Home Partners of America 2016-1 Trust | ||||||||
4.04%, 03/17/2033 (Acquired 01/22/2016, Cost $677,532) (1) | 705,000 | 712,493 | ||||||
Honda Auto Receivables 2014-1 Owner Trust | ||||||||
0.67%, 11/21/2017 | 113,710 | 113,679 | ||||||
Honda Auto Receivables 2014-2 Owner Trust | ||||||||
1.18%, 05/18/2020 | 725,000 | 724,517 | ||||||
Honda Auto Receivables 2015-1 Owner Trust | ||||||||
1.05%, 10/15/2018 | 69,692 | 69,650 | ||||||
Honda Auto Receivables 2015-2 Owner Trust | ||||||||
1.04%, 02/21/2019 | 80,531 | 80,443 | ||||||
Honda Auto Receivables 2015-3 Owner Trust | ||||||||
1.27%, 04/18/2019 | 2,145,000 | 2,144,235 | ||||||
Honda Auto Receivables 2015-4 Owner Trust | ||||||||
1.23%, 09/23/2019 | 2,105,000 | 2,099,670 | ||||||
Honda Auto Receivables 2016-3 Owner Trust | ||||||||
1.16%, 05/18/2020 | 1,085,000 | 1,078,667 | ||||||
Honda Auto Receivables 2016-4 Owner Trust | ||||||||
1.36%, 01/18/2023 | 610,000 | 599,882 | ||||||
HSI Asset Securitization Corp. Trust 2006-OPT1 | ||||||||
0.98%, 12/25/2035 | 2,025,159 | 2,000,069 | ||||||
Huntington Auto Trust | ||||||||
1.93%, 04/15/2022 | 1,805,000 | 1,796,016 | ||||||
Hyundai Auto Lease Securitization Trust 2015-B | ||||||||
1.66%, 07/15/2019 (Acquired 07/15/2015 through 07/29/2015, Cost $1,675,775) (1) | 1,675,000 | 1,679,664 | ||||||
Hyundai Auto Lease Securitization Trust 2016-B | ||||||||
1.52%, 10/15/2019 (Acquired 05/17/2016, Cost $449,979) (1) | 450,000 | 450,027 | ||||||
1.68%, 04/15/2020 (Acquired 05/17/2016, Cost $139,987) (1) | 140,000 | 139,872 | ||||||
Hyundai Auto Lease Securitization Trust 2016-C | ||||||||
1.49%, 02/18/2020 (Acquired 08/09/2016, Cost $1,364,885) (1) | 1,365,000 | 1,360,877 | ||||||
Invitation Homes 2013-SFR1 Trust | ||||||||
2.72%, 12/19/2030 (Acquired 08/05/2015, Cost $895,531) (1) | 905,000 | 907,522 | ||||||
John Deere Owner Trust 2015-B | ||||||||
1.44%, 10/15/2019 | 315,000 | 315,237 | ||||||
John Deere Owner Trust 2016-B | ||||||||
1.25%, 06/15/2020 | 940,000 | 935,359 | ||||||
1.49%, 05/15/2023 | 615,000 | 607,423 | ||||||
Kubota Credit Owner Trust 2014-1 | ||||||||
1.16%, 05/15/2018 (Acquired 07/15/2015, Cost $188,444) (1) | 188,514 | 188,520 |
Principal Amount | Value | |||||||
Kubota Credit Owner Trust 2015-1 | ||||||||
1.79%, 08/16/2021 (Acquired 11/12/2015, Cost $497,033) (1) | 500,000 | 499,421 | ||||||
Kubota Credit Owner Trust 2016-1 | ||||||||
1.50%, 07/15/2020 (Acquired 07/26/2016, Cost $1,104,797) (1) | 1,105,000 | 1,093,922 | ||||||
Magnetite XII Ltd | ||||||||
2.26%, 04/15/2027 (Acquired 11/17/2016, Cost $4,385,000) (1) | 4,385,000 | 4,382,808 | ||||||
Mercedes Benz Auto Lease Trust 2015-A | ||||||||
1.21%, 10/15/2020 | 1,500,000 | 1,500,094 | ||||||
Mercedes-Benz Auto Lease Trust 2016-B | ||||||||
1.35%, 08/15/2019 | 740,000 | 737,897 | ||||||
Merlin Aviation Holdings DAC | ||||||||
4.50%, 12/15/2032 (Acquired 12/21/2016, Cost $1,509,788) (1) | 1,570,000 | 1,509,555 | ||||||
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2 | ||||||||
1.00%, 05/25/2037 | 3,551,862 | 2,118,039 | ||||||
MMAF Equipment Finance LLC 2016-A | ||||||||
1.76%, 01/17/2023 (Acquired 05/03/2016, Cost $279,971) (1) | 280,000 | 275,554 | ||||||
MVW Owner Trust 2015-1 | ||||||||
2.52%, 12/20/2032 (Acquired 08/04/2015, Cost $1,430,040) (1) | 1,430,130 | 1,421,788 | ||||||
Nationstar HECM Loan Trust 2016-1A | ||||||||
2.98%, 02/25/2026 (Acquired 02/25/2016, Cost $124,262) (1) | 124,262 | 124,075 | ||||||
Nationstar HECM Loan Trust 2016-3 | ||||||||
2.01%, 08/25/2026 (Acquired 08/11/2016, Cost $207,499) (1) | 207,499 | 207,945 | ||||||
Navient Student Loan Trust 2014-2 | ||||||||
1.40%, 03/25/2043 | 1,063,406 | 1,020,144 | ||||||
Navient Student Loan Trust 2014-3 | ||||||||
1.38%, 03/25/2043 | 395,974 | 381,701 | ||||||
Navient Student Loan Trust 2016-1 | ||||||||
1.46%, 02/25/2070 (Acquired 10/03/2016, Cost $4,207,056) (1) | 4,324,059 | 4,207,691 | ||||||
Navient Student Loan Trust 2016-2 | ||||||||
2.26%, 06/25/2065 (Acquired 04/05/2016 through 09/28/2016, Cost $6,319,176) (1) | 6,200,000 | 6,318,795 | ||||||
Navient Student Loan Trust 2016-3 | ||||||||
1.61%, 06/25/2065 (Acquired 06/07/2016, Cost $2,300,000) (1) | 2,300,000 | 2,307,437 | ||||||
Nelnet Student Loan Trust 2007-1 | ||||||||
0.90%, 05/25/2025 | 4,150,000 | 4,013,302 | ||||||
Nelnet Student Loan Trust 2008-3 | ||||||||
2.48%, 11/25/2024 | 481,300 | 484,823 | ||||||
Nelnet Student Loan Trust 2014-2 | ||||||||
1.61%, 07/27/2037 (Acquired 01/27/2016, Cost $3,927,754) (1) | 4,250,000 | 3,940,826 | ||||||
Nelnet Student Loan Trust 2015-2 | ||||||||
1.36%, 09/25/2042 (Acquired 06/16/2016 through 10/04/2016, Cost $3,594,647) (1) | 3,697,563 | 3,632,648 | ||||||
New Century Home Equity Loan Trust 2005-1 | ||||||||
1.43%, 03/25/2035 | 6,000,000 | 5,635,589 | ||||||
New Century Home Equity Loan Trust 2005-3 | ||||||||
1.25%, 07/25/2035 | 1,775,998 | 1,750,852 | ||||||
1.27%, 07/25/2035 | 6,570,000 | 6,332,683 | ||||||
Nissan Auto Receivables 2015-A Owner Trust | ||||||||
1.05%, 10/15/2019 | 21,301 | 21,267 | ||||||
Nissan Auto Receivables 2015-B Owner Trust | ||||||||
1.34%, 03/16/2020 | 3,220,000 | 3,216,833 | ||||||
Nissan Auto Receivables 2015-C Owner Trust | ||||||||
1.37%, 05/15/2020 | 95,000 | 94,843 | ||||||
Nissan Auto Receivables 2016-A Owner Trust | ||||||||
1.59%, 07/15/2022 | 230,000 | 228,503 |
Principal Amount | Value | |||||||
Nissan Auto Receivables 2016-B Owner Trust | ||||||||
1.05%, 04/15/2019 | 70,000 | 69,930 | ||||||
Nissan Auto Receivables 2016-C Owner Trust | ||||||||
1.18%, 01/15/2021 | 730,000 | 722,988 | ||||||
Nissan Master Owner Trust Receivables | ||||||||
1.54%, 06/15/2021 | 1,465,000 | 1,455,175 | ||||||
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-HE1 | ||||||||
1.17%, 02/25/2036 | 8,180,000 | 8,010,589 | ||||||
NovaStar Mortgage Funding Trust Series 2005-2 | ||||||||
1.40%, 10/25/2035 | 1,950,376 | 1,942,951 | ||||||
NYMT Residential 2016-RP1 | ||||||||
4.00%, 03/25/2021 (Acquired 04/04/2016, Cost $203,289) (1) | 204,051 | 202,474 | ||||||
OneMain Financial Issuance Trust 2015-2 | ||||||||
2.57%, 07/18/2025 (Acquired 07/23/2015, Cost $1,400,765) (1) | 1,400,000 | 1,399,946 | ||||||
3.10%, 07/18/2025 (Acquired 06/06/2016, Cost $1,256,496) (1) | 1,280,000 | 1,264,259 | ||||||
OneMain Financial Issuance Trust 2015-3 | ||||||||
4.16%, 11/18/2028 (Acquired 09/24/2015, Cost $709,872) (1) | 710,000 | 681,987 | ||||||
OneMain Financial Issuance Trust 2016-1A | ||||||||
4.57%, 02/20/2029 (Acquired 02/03/2016, Cost $1,124,830) (1) | 1,125,000 | 1,136,900 | ||||||
OneMain Financial Issuance Trust 2016-2 | ||||||||
5.94%, 03/20/2028 (Acquired 03/16/2016, Cost $1,439,733) (1) | 1,440,000 | 1,515,554 | ||||||
Option One Mortgage Loan Trust 2005-2 | ||||||||
1.25%, 05/25/2035 | 1,217,126 | 1,173,560 | ||||||
Option One Mortgage Loan Trust 2005-3 | ||||||||
1.23%, 08/25/2035 | 2,726,235 | 2,708,062 | ||||||
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4 | ||||||||
1.20%, 11/25/2035 | 6,538,000 | 6,419,412 | ||||||
OSAT 2016-NPL1 Trust | ||||||||
3.75%, 07/25/2056 (Acquired 10/21/2016, Cost $3,625,252) (1) | 3,625,252 | 3,629,828 | ||||||
OSCAR US Funding Trust V | ||||||||
2.73%, 12/15/2020 (Acquired 09/14/2016, Cost $639,948) (1) | 640,000 | 632,692 | ||||||
2.99%, 12/15/2023 (Acquired 09/14/2016, Cost $539,861) (1) | 540,000 | 529,267 | ||||||
People’s Choice Home Loan Securities Trust Series 2005-3 | ||||||||
1.61%, 08/25/2035 | 1,245,000 | 980,756 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
4.67%, 11/15/2032 (Acquired 10/23/2015, Cost $504,983) (1) | 505,000 | 514,946 | ||||||
RAMP Series 2005-RS5 Trust | ||||||||
1.20%, 05/25/2035 | 999,776 | 995,607 | ||||||
RCO Depositor II LLC | ||||||||
4.50%, 09/25/2054 (Acquired 12/04/2015, Cost $378,274) (1) | 379,724 | 379,297 | ||||||
RCO Mortgage LLC 2016-1 | ||||||||
4.50%, 11/25/2047 | 178,346 | 179,262 | ||||||
Santander Drive Auto Receivables Trust 2013-2 | ||||||||
2.98%, 04/15/2020 (Acquired 06/17/2016, Cost $5,030,126) (1) | 5,000,000 | 5,048,755 | ||||||
Santander Drive Auto Receivables Trust 2014-3 | ||||||||
2.65%, 08/17/2020 | 245,000 | 247,815 | ||||||
Santander Drive Auto Receivables Trust 2015-4 | ||||||||
3.53%, 08/16/2021 | 937,000 | 952,395 | ||||||
Santander Drive Auto Receivables Trust 2015-5 | ||||||||
3.65%, 12/15/2021 | 275,000 | 281,722 | ||||||
Santander Drive Auto Receivables Trust 2016-3 | ||||||||
2.46%, 03/15/2022 | 155,000 | 154,120 |
Principal Amount | Value | |||||||
Shenton Aircraft Investment I Ltd. | ||||||||
4.75%, 10/15/2042 (Acquired 10/09/2015 through 06/08/2016, Cost $864,914) (1) | 875,005 | 878,216 | ||||||
Sierra Timeshare 2015-2 Receivables Funding LLC | ||||||||
2.43%, 06/20/2032 (Acquired 07/15/2015 through 07/29/2015, Cost $703,074) (1) | 705,119 | 704,315 | ||||||
Sierra Timeshare 2016-2 Receivables Funding LLC | ||||||||
2.33%, 07/20/2033 (Acquired 07/11/2016, Cost $782,357) (1) | 782,509 | 768,099 | ||||||
SLM Student Loan Trust | ||||||||
1.43%, 04/27/2026 (Acquired 07/19/2016, Cost $4,000,485) (1) | 4,030,000 | 4,013,124 | ||||||
SLM Student Loan Trust 2004-10 | ||||||||
1.43%, 04/27/2026 (Acquired 12/04/2015, Cost $3,126,004) (1) | 3,180,000 | 3,171,162 | ||||||
SLM Student Loan Trust 2005-8 | ||||||||
1.63%, 01/25/2028 | 5,176,017 | 5,174,688 | ||||||
SLM Student Loan Trust 2006-2 | ||||||||
1.05%, 01/25/2041 | 4,340,000 | 4,072,817 | ||||||
SLM Student Loan Trust 2007-3 | ||||||||
0.94%, 01/25/2022 | 4,150,000 | 3,909,923 | ||||||
SLM Student Loan Trust 2007-6 | ||||||||
1.26%, 10/25/2024 | 3,907,116 | 3,875,144 | ||||||
SLM Student Loan Trust 2007-8 | ||||||||
1.88%, 04/25/2043 | 2,146,181 | 1,884,762 | ||||||
SLM Student Loan Trust 2008-4 | ||||||||
2.53%, 07/25/2022 | 94,726 | 95,275 | ||||||
SLM Student Loan Trust 2008-5 | ||||||||
2.58%, 07/25/2023 | 6,819,194 | 6,857,167 | ||||||
SLM Student Loan Trust 2008-9 | ||||||||
2.38%, 04/25/2023 | 422,533 | 423,079 | ||||||
SLM Student Loan Trust 2009-3 | ||||||||
1.51%, 01/25/2045 (Acquired 06/13/2016, Cost $2,817,904) (1) | 2,934,361 | 2,861,286 | ||||||
SLM Student Loan Trust 2012-3 | ||||||||
1.41%, 12/26/2025 | 1,636,349 | 1,593,045 | ||||||
SLM Student Loan Trust 2012-7 | ||||||||
2.56%, 09/25/2043 | 2,220,000 | 2,026,624 | ||||||
SLM Student Loan Trust 2013-2 | ||||||||
1.21%, 09/25/2026 | 3,137,350 | 3,090,010 | ||||||
SLM Student Loan Trust 2014-1 | ||||||||
1.36%, 02/26/2029 | 4,300,000 | 4,152,576 | ||||||
SMART ABS Series 2016-2US Trust | ||||||||
1.71%, 03/15/2021 | 3,075,000 | 3,028,961 | ||||||
2.05%, 12/14/2022 | 2,370,000 | 2,329,831 | ||||||
SMB Private Education Loan Trust 2014-A | ||||||||
3.05%, 05/15/2026 (Acquired 07/26/2016, Cost $819,557) (1) | 800,000 | 810,054 | ||||||
SMB Private Education Loan Trust 2015-B | ||||||||
2.98%, 07/15/2027 (Acquired 07/23/2015, Cost $358,726) (1) | 360,000 | 363,685 | ||||||
SMB Private Education Loan Trust 2015-C | ||||||||
2.75%, 07/15/2027 (Acquired 10/21/2015, Cost $609,927) (1) | 610,000 | 610,158 | ||||||
SMB Private Education Loan Trust 2016-A | ||||||||
2.70%, 05/15/2031 (Acquired 05/18/2016 through 06/23/2016, Cost $526,628) (1) | 525,000 | 520,673 | ||||||
SMB Private Education Loan Trust 2016-B | ||||||||
2.43%, 02/17/2032 (Acquired 07/13/2016 through 09/19/2016, Cost $2,973,438) (1) | 2,957,000 | 2,890,130 | ||||||
SMB Private Education Loan Trust 2016-C | ||||||||
2.34%, 09/15/2034 (Acquired 10/05/2016, Cost $784,614) (1) | 785,000 | 771,019 | ||||||
SoFi Professional Loan Program 2015-B LLC | ||||||||
3.52%, 03/25/2036 (Acquired 07/23/2015, Cost $1,161,333) (1) | 1,164,558 | 1,166,255 |
Principal Amount | Value | |||||||
SoFi Professional Loan Program 2015-C LLC | ||||||||
3.58%, 08/25/2036 (Acquired 07/29/2015 through 12/01/2015, Cost $1,118,883) (1) | 1,125,000 | 1,110,992 | ||||||
SoFi Professional Loan Program 2015-D LLC | ||||||||
3.59%, 10/26/2037 (Acquired 11/13/2015 through 08/04/2016, Cost $2,337,152) (1) | 2,319,265 | 2,319,693 | ||||||
Sofi Professional Loan Program 2016-B LLC | ||||||||
3.80%, 04/25/2037 (Acquired 05/20/2016, Cost $194,900) (1) | 195,000 | 191,660 | ||||||
SoFi Professional Loan Program 2016-C LLC | ||||||||
3.35%, 05/25/2037 (Acquired 07/20/2016, Cost $309,851) (1) | 310,000 | 299,082 | ||||||
SoFi Professional Loan Program 2016-D LLC | ||||||||
3.23%, 01/25/2039 (Acquired 09/13/2016, Cost $489,989) (1) | 490,000 | 467,201 | ||||||
Sofi Professional Loan Program 2016-E LLC | ||||||||
3.44%, 07/25/2040 (Acquired 11/16/2016, Cost $1,569,669) (1) | 1,600,000 | 1,557,361 | ||||||
SpringCastle America Funding LLC | ||||||||
3.05%, 11/25/2023 (Acquired 09/16/2016, Cost $1,976,616) (1) | 1,976,688 | 1,986,571 | ||||||
Springleaf Funding Trust 2016-A | ||||||||
2.90%, 11/15/2029 (Acquired 12/07/2016, Cost $844,870) (1) | 845,000 | 842,799 | ||||||
Structured Asset Investment Loan Trust 2006-BNC2 | ||||||||
0.92%, 05/25/2036 | 1,185,611 | 1,077,848 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust 2006-EQ1 | ||||||||
1.07%, 07/25/2036 (Acquired 08/18/2016, Cost $1,373,067) (1) | 1,655,000 | 1,364,129 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
1.69%, 03/15/2021 | 1,675,000 | 1,672,450 | ||||||
2.21%, 09/15/2022 | 1,700,000 | 1,689,836 | ||||||
Synchrony Credit Card Master Note Trust 2015-1 | ||||||||
2.37%, 03/15/2023 | 2,215,000 | 2,233,524 | ||||||
2.64%, 03/15/2023 | 1,085,000 | 1,084,411 | ||||||
Synchrony Credit Card Master Note Trust 2015-4 | ||||||||
2.62%, 09/15/2023 | 650,000 | 646,187 | ||||||
Taco Bell Funding LLC | ||||||||
3.83%, 05/25/2046 (Acquired 05/04/2016, Cost $1,195,005) (1) | 1,195,005 | 1,199,337 | ||||||
Toyota Auto Receivables 2015-A Owner Trust | ||||||||
1.12%, 02/15/2019 | 40,101 | 40,079 | ||||||
Toyota Auto Receivables 2015-B Owner Trust | ||||||||
1.27%, 05/15/2019 | 1,300,000 | 1,299,939 | ||||||
Toyota Auto Receivables 2016-C | ||||||||
1.14%, 08/17/2020 | 640,000 | 635,686 | ||||||
US Residential Opportunity Fund III Trust 2016-1 | ||||||||
3.47%, 07/27/2036 (Acquired 07/20/2016, Cost $508,316) (1) | 508,316 | 506,160 | ||||||
Vericrest Opportunity Loan Trust 2015-NPL3 | ||||||||
3.38%, 10/25/2058 (Acquired 08/12/2015, Cost $226,983) (1) | 227,479 | 227,160 | ||||||
Verizon Owner Trust 2016-2 | ||||||||
1.68%, 05/20/2021 (Acquired 11/16/2016, Cost $2,304,761) (1) | 2,305,000 | 2,294,870 | ||||||
2.15%, 05/20/2021 (Acquired 11/16/2016, Cost $1,564,633) (1) | 1,565,000 | 1,552,284 | ||||||
2.36%, 05/20/2021 (Acquired 11/16/2016, Cost $1,244,981) (1) | 1,245,000 | 1,235,089 | ||||||
VOLT LI LLC | ||||||||
3.50%, 10/25/2046 (Acquired 10/27/2016, Cost $2,196,314) (1) | 2,196,314 | 2,191,197 | ||||||
VOLT XLVIII LLC | ||||||||
3.50%, 07/25/2046 (Acquired 07/15/2016, Cost $1,128,453) (1) | 1,128,453 | 1,124,521 | ||||||
VOLT XXII LLC | ||||||||
3.50%, 02/25/2055 (Acquired 10/30/2015, Cost $84,818) (1) | 85,252 | 85,318 | ||||||
VOLT XXIX LLC | ||||||||
3.38%, 10/25/2054 (Acquired 10/11/2016, Cost $596,753) (1) | 595,564 | 595,809 | ||||||
VOLT XXVI LLC | ||||||||
3.13%, 09/25/2043 (Acquired 09/01/2016, Cost $292,229) (1) | 292,309 | 291,896 |
Principal Amount | Value | |||||||
VOLT XXX LLC | ||||||||
3.63%, 10/25/2057 (Acquired 10/13/2016, Cost $508,660) (1) | 506,935 | 506,981 | ||||||
VOLT XXXI LLC | ||||||||
3.38%, 02/25/2055 (Acquired 10/21/2016, Cost $626,783) (1) | 625,007 | 626,514 | ||||||
VOLT XXXIII LLC | ||||||||
3.50%, 03/25/2055 (Acquired 04/29/2016 through 11/30/2016, Cost $2,229,749) (1) | 2,231,275 | 2,237,691 | ||||||
VOLT XXXIV LLC | ||||||||
3.25%, 02/25/2055 (Acquired 12/06/2016 through 12/16/2016, Cost $261,202) (1) | 261,425 | 260,738 | ||||||
VOLT XXXIX LLC | ||||||||
4.13%, 10/25/2045 (Acquired 10/22/2015 through 12/15/2016, Cost $819,619) (1) | 818,659 | 823,586 | ||||||
VOLT XXXV | ||||||||
3.50%, 09/25/2046 (Acquired 09/01/2016, Cost $3,760,505) (1) | 3,763,291 | 3,754,515 | ||||||
VOLT XXXVI LLC | ||||||||
3.63%, 07/25/2045 (Acquired 10/19/2016, Cost $382,122) (1) | 380,711 | 381,175 | ||||||
VOLT XXXVIII LLC | ||||||||
3.88%, 09/25/2045 (Acquired 09/10/2015 through 10/24/2016, Cost $1,359,777) (1) | 1,353,324 | 1,357,213 | ||||||
Volvo Financial Equipment LLC Series 2016-1 | ||||||||
1.67%, 02/18/2020 (Acquired 01/20/2016, Cost $394,968) (1) | 395,000 | 395,440 | ||||||
Voya CLO 2014-3 Ltd. | ||||||||
2.30%, 07/25/2026 (Acquired 02/02/2016 through 02/03/2016, Cost $1,138,401) (1) | 1,152,000 | 1,152,104 | ||||||
Wendys Funding LLC 2015-1 | ||||||||
3.37%, 06/15/2045 (Acquired 07/13/2015 through 12/15/2016, Cost $7,826,294) (1) | 7,835,813 | 7,823,871 | ||||||
Westlake Automobile Receivables Trust 2016-1 | ||||||||
3.29%, 09/15/2021 (Acquired 11/16/2016, Cost $800,000) (1) | 800,000 | 808,026 | ||||||
Westlake Automobile Receivables Trust 2016-2 | ||||||||
2.83%, 05/17/2021 (Acquired 06/07/2016, Cost $1,049,980) (1) | 1,050,000 | 1,052,212 | ||||||
Wheels SPV 2 LLC | ||||||||
1.27%, 04/22/2024 (Acquired 07/15/2015 through 07/22/2015, Cost $1,203,236) (1) | 1,205,394 | 1,202,849 | ||||||
1.87%, 05/20/2025 (Acquired 08/02/2016, Cost $909,982) (1) | 910,000 | 898,790 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
1.61%, 12/15/2021 | 1,450,000 | 1,452,526 | ||||||
World Omni Automobile Lease Securitization Trust 2016-A | ||||||||
1.45%, 08/15/2019 | 2,180,000 | 2,173,463 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost $432,848,011) | $ | 432,082,024 | ||||||
|
| |||||||
Corporate Bonds – 35.33% | ||||||||
Basic Materials – 0.89% | ||||||||
Air Liquide Finance SA | ||||||||
1.75%, 09/27/2021 (Acquired 09/22/2016, Cost $958,092) (1) | 963,000 | $ | 924,661 | |||||
ArcelorMittal | ||||||||
7.25%, 02/25/2022 | 182,000 | 205,205 | ||||||
Arconic, Inc. | ||||||||
6.15%, 08/15/2020 | 2,730,000 | 2,968,875 | ||||||
5.13%, 10/01/2024 | 3,535,000 | 3,623,375 | ||||||
Ashland LLC | ||||||||
3.88%, 04/15/2018 | 1,353,000 | 1,388,516 | ||||||
Axalta Coating Systems LLC | ||||||||
4.88%, 08/15/2024 (Acquired 10/13/2016 through 11/18/2016, Cost $876,493) (1) | 867,000 | 867,000 | ||||||
Barrick Gold Corp. | ||||||||
4.10%, 05/01/2023 | 3,227,000 | 3,307,039 | ||||||
BlueScope Steel Finance Ltd / BlueScope Steel Finance USA LLC | ||||||||
6.50%, 05/15/2021 (Acquired 04/28/2016 through 05/03/2016, Cost $379,741) (1) | 375,000 | 397,350 | ||||||
Freeport-McMoRan, Inc. | ||||||||
4.55%, 11/14/2024 | 1,225,000 | 1,148,438 |
Principal Amount | Value | |||||||
Georgia-Pacific LLC | ||||||||
3.16%, 11/15/2021 (Acquired 07/13/2015 through 06/20/2016, Cost $4,256,675) (1) | 4,171,000 | 4,216,756 | ||||||
3.60%, 03/01/2025 (Acquired 07/14/2015 through 10/19/2016, Cost $2,383,621) (1) | 2,315,000 | 2,338,511 | ||||||
Glencore Funding LLC | ||||||||
4.00%, 04/16/2025 (Acquired 07/13/2015 through 06/15/2016, Cost $3,998,283) (1) | 4,450,000 | 4,361,000 | ||||||
Goldcorp, Inc. | ||||||||
3.70%, 03/15/2023 | 3,270,000 | 3,213,851 | ||||||
HudBay Minerals, Inc. | ||||||||
7.25%, 01/15/2023 (Acquired 12/01/2016, Cost $125,000) (1) | 125,000 | 129,375 | ||||||
International Paper Co. | ||||||||
4.40%, 08/15/2047 | 2,015,000 | 1,900,351 | ||||||
Lundin Mining Corp. | ||||||||
7.50%, 11/01/2020 (Acquired 07/13/2015 through 07/22/2015, Cost $123,661) (1) | 120,000 | 127,650 | ||||||
Mercer International, Inc. | ||||||||
7.75%, 12/01/2022 | 1,075,000 | 1,128,750 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
4.50%, 04/15/2023 | 2,796,000 | 2,810,324 | ||||||
Solvay Finance America LLC | ||||||||
4.45%, 12/03/2025 (Acquired 11/30/2015 through 06/17/2016, Cost $7,054,656) (1) | 6,810,000 | 7,056,978 | ||||||
Steel Dynamics, Inc. | ||||||||
5.00%, 12/15/2026 (Acquired 11/29/2016, Cost $277,000) (1) | 277,000 | 275,961 | ||||||
Valvoline, Inc. | ||||||||
5.50%, 07/15/2024 (Acquired 07/13/2016 through 08/30/2016, Cost $884,084) (1) | 849,000 | 878,715 | ||||||
Westlake Chemical Corp. | ||||||||
3.60%, 08/15/2026 (Acquired 08/03/2016 through 11/22/2016, Cost $3,853,609) (1) | 3,920,000 | 3,764,862 | ||||||
|
| |||||||
47,033,543 | ||||||||
|
| |||||||
Communications – 3.38% | ||||||||
21st Century Fox America, Inc. | ||||||||
3.70%, 09/15/2024 | 2,500,000 | 2,528,398 | ||||||
4.75%, 09/15/2044 | 1,445,000 | 1,441,643 | ||||||
Alcatel-Lucent USA, Inc. | ||||||||
6.50%, 01/15/2028 | 700,000 | 722,750 | ||||||
6.45%, 03/15/2029 | 4,290,000 | 4,472,325 | ||||||
Alibaba Group Holding Ltd. | ||||||||
3.13%, 11/28/2021 | 875,000 | 874,384 | ||||||
3.60%, 11/28/2024 | 3,625,000 | 3,589,131 | ||||||
Altice Finco SA | ||||||||
7.63%, 02/15/2025 (Acquired 12/06/2016, Cost $247,523) (1) | 250,000 | 252,500 | ||||||
Altice Luxembourg SA | ||||||||
7.63%, 02/15/2025 (Acquired 08/21/2015 through 06/16/2016, Cost $1,617,273) (1) | 1,675,000 | 1,758,750 | ||||||
Altice US Finance I Corp. | ||||||||
5.38%, 07/15/2023 (Acquired 11/10/2015 through 09/20/2016, Cost $1,503,447) (1) | 1,500,000 | 1,556,250 | ||||||
5.50%, 05/15/2026 (Acquired 12/01/2016 through 12/02/2016, Cost $492,546) (1) | 500,000 | 510,000 | ||||||
AT&T, Inc. | ||||||||
3.00%, 06/30/2022 | 2,925,000 | 2,868,132 | ||||||
3.40%, 05/15/2025 | 7,525,000 | 7,243,256 | ||||||
4.13%, 02/17/2026 | 3,485,000 | 3,524,039 | ||||||
4.30%, 12/15/2042 | 500,000 | 446,761 | ||||||
4.80%, 06/15/2044 | 1,315,000 | 1,240,282 | ||||||
4.35%, 06/15/2045 | 410,000 | 364,623 | ||||||
4.75%, 05/15/2046 | 1,560,000 | 1,475,158 | ||||||
4.50%, 03/09/2048 | 1,400,000 | 1,262,171 |
Principal Amount | Value | |||||||
Baidu, Inc. | ||||||||
3.50%, 11/28/2022 | 1,960,000 | 1,956,125 | ||||||
BellSouth LLC | ||||||||
4.40%, 04/26/2017 (Acquired 06/03/2016 through 11/09/2016, Cost $12,539,323) (1) | 12,423,000 | 12,550,336 | ||||||
CalAmp Corp. | ||||||||
1.63%, 05/15/2020 | 125,000 | 120,469 | ||||||
CBS Corp. | ||||||||
2.90%, 01/15/2027 | 2,500,000 | 2,315,385 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
5.25%, 03/15/2021 | 2,136,000 | 2,200,080 | ||||||
5.13%, 05/01/2023 (Acquired 09/29/2015, Cost $371,424) (1) | 400,000 | 412,000 | ||||||
5.50%, 05/01/2026 (Acquired 04/07/2016 through 10/31/2016, Cost $6,156,734) (1) | 6,085,000 | 6,206,700 | ||||||
5.88%, 04/01/2024 (Acquired 02/04/2016, Cost $400,000) (1) | 400,000 | 427,000 | ||||||
5.75%, 02/15/2026 (Acquired 06/27/2016, Cost $753,596) (1) | 750,000 | 776,250 | ||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. | ||||||||
7.75%, 07/15/2025 (Acquired 12/06/2016, Cost $1,279,877) (1) | 1,175,000 | 1,292,500 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
4.91%, 07/23/2025 | 9,294,000 | 9,783,041 | ||||||
6.38%, 10/23/2035 | 345,000 | 393,382 | ||||||
6.48%, 10/23/2045 | 1,625,000 | 1,875,388 | ||||||
Comcast Corp. | ||||||||
2.35%, 01/15/2027 | 1,895,000 | 1,748,630 | ||||||
Cox Communications, Inc. | ||||||||
3.85%, 02/01/2025 (Acquired 07/22/2015, Cost $1,392,058) (1) | 1,450,000 | 1,420,305 | ||||||
3.35%, 09/15/2026 (Acquired 09/08/2016 through 11/22/2016, Cost $10,040,740) (1) | 10,204,000 | 9,729,677 | ||||||
4.80%, 02/01/2035 (Acquired 03/28/2016, Cost $22,020) (1) | 25,000 | 23,253 | ||||||
4.70%, 12/15/2042 (Acquired 03/24/2016 through 09/07/2016, Cost $430,988) (1) | 470,000 | 407,975 | ||||||
4.50%, 06/30/2043 (Acquired 03/24/2016 through 04/19/2016, Cost $347,209) (1) | 415,000 | 350,792 | ||||||
Crown Castle Towers LLC | ||||||||
3.66%, 05/15/2025 (Acquired 07/14/2015 through 07/27/2015, Cost $1,285,325) (1) | 1,300,000 | 1,303,523 | ||||||
CSC Holdings LLC | ||||||||
8.63%, 02/15/2019 | 625,000 | 690,625 | ||||||
10.13%, 01/15/2023 (Acquired 09/25/2015 through 05/31/2016, Cost $613,350) (1) | 575,000 | 664,125 | ||||||
5.50%, 04/15/2027 (Acquired 09/09/2016, Cost $1,438,606) (1) | 1,450,000 | 1,468,125 | ||||||
DISH DBS Corp. | ||||||||
6.75%, 06/01/2021 | 200,000 | 217,000 | ||||||
5.88%, 07/15/2022 | 200,000 | 210,500 | ||||||
7.75%, 07/01/2026 | 425,000 | 479,187 | ||||||
Expedia, Inc. | ||||||||
5.00%, 02/15/2026 | 2,120,000 | 2,182,676 | ||||||
Interpublic Group of Cos, Inc./The | ||||||||
4.00%, 03/15/2022 | 1,100,000 | 1,136,734 | ||||||
4.20%, 04/15/2024 | 1,538,000 | 1,578,488 | ||||||
JD.com, Inc. | ||||||||
3.88%, 04/29/2026 | 2,300,000 | 2,199,444 | ||||||
Level 3 Financing, Inc. | ||||||||
5.63%, 02/01/2023 | 375,000 | 384,375 | ||||||
5.38%, 05/01/2025 | 1,475,000 | 1,504,500 | ||||||
5.25%, 03/15/2026 (Acquired 05/23/2016 through 12/06/2016, Cost $4,870,779) (1) | 4,879,000 | 4,830,210 | ||||||
Liberty Media Corp. | ||||||||
2.25%, 09/30/2046 (Acquired 08/12/2016, Cost $535,000) (1) | 535,000 | 563,756 | ||||||
Nexstar Escrow Corp. | ||||||||
5.63%, 08/01/2024 (Acquired 07/13/2016 through 07/15/2016, Cost $475,000) (1) | 475,000 | 471,438 |
Principal Amount | Value | |||||||
Omnicom Group, Inc. | ||||||||
3.65%, 11/01/2024 | 1,600,000 | 1,607,360 | ||||||
Priceline Group, Inc./The | ||||||||
3.65%, 03/15/2025 | 645,000 | 642,383 | ||||||
3.60%, 06/01/2026 | 6,456,000 | 6,375,797 | ||||||
Proven Honour Capital Ltd. | ||||||||
4.13%, 05/19/2025 | 1,000,000 | 999,558 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.25%, 05/15/2020 (Acquired 09/25/2015 through 12/29/2016, Cost $931,495) (1) | 925,000 | 938,875 | ||||||
5.25%, 08/15/2022 (Acquired 07/20/2015 through 07/29/2015, Cost $1,138,423) (1) | 1,100,000 | 1,144,000 | ||||||
Sky Plc | ||||||||
3.75%, 09/16/2024 (Acquired 10/08/2015, Cost $276,831) (1) | 280,000 | 280,549 | ||||||
Sprint Communications, Inc. | ||||||||
9.00%, 11/15/2018 (Acquired 08/26/2015 through 09/16/2016, Cost $1,600,670) (1) | 1,500,000 | 1,653,750 | ||||||
Telefonica Emisiones SAU | ||||||||
4.57%, 04/27/2023 | 150,000 | 157,212 | ||||||
Tencent Holdings Ltd. | ||||||||
3.80%, 02/11/2025 | 1,680,000 | 1,699,599 | ||||||
Time Warner Cable LLC | ||||||||
5.85%, 05/01/2017 | 2,476,000 | 2,511,080 | ||||||
6.55%, 05/01/2037 | 1,190,000 | 1,345,181 | ||||||
7.30%, 07/01/2038 | 2,640,000 | 3,242,807 | ||||||
6.75%, 06/15/2039 | 930,000 | 1,079,552 | ||||||
4.50%, 09/15/2042 | 4,325,000 | 3,909,891 | ||||||
Time Warner, Inc. | ||||||||
3.80%, 02/15/2027 | 3,530,000 | 3,499,000 | ||||||
T-Mobile USA, Inc. | ||||||||
6.25%, 04/01/2021 | 785,000 | 816,400 | ||||||
6.63%, 04/28/2021 | 940,000 | 981,125 | ||||||
6.73%, 04/28/2022 | 1,435,000 | 1,499,575 | ||||||
Townsquare Media, Inc. | ||||||||
6.50%, 04/01/2023 (Acquired 01/20/2016 through 06/30/2016, Cost $534,234) (1) | 560,000 | 534,800 | ||||||
Univision Communications, Inc. | ||||||||
5.13%, 02/15/2025 (Acquired 07/13/2015 through 06/16/2016, Cost $681,082) (1) | 690,000 | 659,813 | ||||||
Verizon Communications, Inc. | ||||||||
1.75%, 08/15/2021 | 1,433,000 | 1,373,387 | ||||||
5.15%, 09/15/2023 | 2,500,000 | 2,761,477 | ||||||
2.63%, 08/15/2026 | 5,355,000 | 4,922,043 | ||||||
6.40%, 09/15/2033 | 5,915,000 | 7,126,936 | ||||||
4.27%, 01/15/2036 | 7,520,000 | 7,186,187 | ||||||
4.13%, 08/15/2046 | 1,751,000 | 1,581,489 | ||||||
4.86%, 08/21/2046 | 1,500,000 | 1,516,982 | ||||||
4.52%, 09/15/2048 | 400,000 | 382,783 | ||||||
Viacom, Inc. | ||||||||
4.38%, 03/15/2043 | 2,075,000 | 1,649,961 | ||||||
Viavi Solutions, Inc. | ||||||||
0.63%, 08/15/2033 | 435,000 | 449,681 | ||||||
Virgin Media Secured Finance Plc | ||||||||
5.25%, 01/15/2026 (Acquired 01/12/2016, Cost $777,773) (1) | 800,000 | 790,000 | ||||||
5.50%, 08/15/2026 (Acquired 04/13/2016, Cost $200,000) (1) | 200,000 | 199,500 | ||||||
WPP Finance 2010 | ||||||||
4.75%, 11/21/2021 | 2,620,000 | 2,834,143 | ||||||
|
| |||||||
178,357,423 | ||||||||
|
|
Principal Amount | Value | |||||||
Consumer, Cyclical – 3.34% | ||||||||
Air Canada | ||||||||
7.75%, 04/15/2021 (Acquired 05/31/2016, Cost $391,001) (1) | 375,000 | 419,062 | ||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 11/15/2026 (Acquired 07/14/2015, Cost $1,318,549) (1) | 1,306,798 | 1,344,304 | ||||||
Air Canada 2013-1 Class B Pass Through Trust | ||||||||
5.38%, 11/15/2022 (Acquired 05/04/2016, Cost $327,048) (1) | 327,048 | 335,224 | ||||||
Air Canada 2015-2 Class B Pass Through Trust | ||||||||
5.00%, 06/15/2025 (Acquired 12/01/2015, Cost $2,340,427) (1) | 2,340,427 | 2,340,427 | ||||||
American Airlines 2013-1 Class A Pass Through Trust | ||||||||
4.00%, 01/15/2027 | 2,041,173 | 2,102,408 | ||||||
American Airlines 2014-1 Class A Pass Through Trust | ||||||||
3.70%, 04/01/2028 | 1,947,866 | 1,928,387 | ||||||
American Airlines 2015-1 Class B Pass Through Trust | ||||||||
3.70%, 05/01/2023 (8) | 2,743,952 | 2,675,353 | ||||||
American Airlines 2016-1 Class AA Pass Through Trust | ||||||||
3.58%, 07/15/2029 | 608,505 | 608,505 | ||||||
American Airlines 2016-1 Class B Pass Through Trust | ||||||||
5.25%, 07/15/2025 | 2,915,635 | 2,988,526 | ||||||
American Airlines 2016-2 Class A Pass Through Trust | ||||||||
3.65%, 12/15/2029 | 1,080,000 | 1,072,575 | ||||||
American Airlines 2016-2 Class B Pass Through Trust | ||||||||
4.38%, 12/15/2025 (Acquired 06/28/2016, Cost $4,854,477) (1) | 4,860,000 | 4,811,400 | ||||||
Aramark Services, Inc. | ||||||||
5.13%, 01/15/2024 (Acquired 06/28/2016, Cost $404,611) (1) | 400,000 | 412,500 | ||||||
4.75%, 06/01/2026 (Acquired 10/31/2016 through 11/01/2016, Cost $698,286) (1) | 700,000 | 693,000 | ||||||
AutoNation, Inc. | ||||||||
4.50%, 10/01/2025 | 465,000 | 469,830 | ||||||
Brinker International, Inc. | ||||||||
3.88%, 05/15/2023 | 2,067,000 | 1,955,899 | ||||||
5.00%, 10/01/2024 (Acquired 09/20/2016, Cost $500,000) (1) | 500,000 | 498,750 | ||||||
CalAtlantic Group, Inc. | ||||||||
0.25%, 06/01/2019 | 50,000 | 46,563 | ||||||
Choice Hotels International, Inc. | ||||||||
5.75%, 07/01/2022 | 3,000,000 | 3,202,500 | ||||||
Churchill Downs, Inc. | ||||||||
5.38%, 12/15/2021 | 750,000 | 778,125 | ||||||
Cintas Corp. No 2 | ||||||||
4.30%, 06/01/2021 | 28,000 | 29,691 | ||||||
Continental Airlines 2000-1 Class A-1 Pass Through Trust | ||||||||
8.05%, 05/01/2022 | 481,852 | 535,458 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 10/19/2023 | 1,131,673 | 1,250,499 | ||||||
Continental Airlines 2009-2 Class A Pass Through Trust | ||||||||
7.25%, 05/10/2021 | 1,007,431 | 1,125,805 | ||||||
Continental Airlines 2012-1 Class A Pass Through Trust | ||||||||
4.15%, 10/11/2025 | 1,076,055 | 1,105,646 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 04/29/2026 | 1,944,324 | 1,988,071 | ||||||
CVS Health Corp. | ||||||||
2.80%, 07/20/2020 | 4,972,000 | 5,043,900 | ||||||
3.50%, 07/20/2022 | 735,000 | 754,419 |
Principal Amount | Value | |||||||
4.75%, 12/01/2022 | 410,000 | 444,757 | ||||||
4.75%, 12/01/2022 (Acquired 06/20/2016, Cost $62,440) (1) | 56,000 | 60,747 | ||||||
5.00%, 12/01/2024 | 2,874,000 | 3,142,504 | ||||||
4.88%, 07/20/2035 | 250,000 | 268,452 | ||||||
5.13%, 07/20/2045 | 200,000 | 222,461 | ||||||
CVS Pass-Through Trust Series 2014 | ||||||||
4.16%, 08/11/2036 (Acquired 07/22/2015 through 08/17/2016, Cost $6,437,308) (1) | 6,266,944 | 6,262,369 | ||||||
Delphi Automotive PLC | ||||||||
4.25%, 01/15/2026 | 4,950,000 | 5,118,038 | ||||||
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | ||||||||
6.72%, 07/02/2024 | 1,999,984 | 2,269,982 | ||||||
Delta Air Lines 2015-1 Class AA Pass Through Trust | ||||||||
3.63%, 01/30/2029 | 709,126 | 732,172 | ||||||
Dollar Tree, Inc. | ||||||||
5.75%, 03/01/2023 | 675,000 | 714,703 | ||||||
DR Horton, Inc. | ||||||||
4.75%, 05/15/2017 | 640,000 | 645,600 | ||||||
3.75%, 03/01/2019 | 1,785,000 | 1,820,700 | ||||||
Ford Motor Co. | ||||||||
4.35%, 12/08/2026 | 1,844,000 | 1,860,690 | ||||||
Ford Motor Credit Co. LLC | ||||||||
1.46%, 03/27/2017 | 3,500,000 | 3,500,553 | ||||||
3.00%, 06/12/2017 | 489,000 | 491,837 | ||||||
3.16%, 08/04/2020 | 1,220,000 | 1,228,184 | ||||||
General Motors Co. | ||||||||
4.88%, 10/02/2023 | 3,775,000 | 3,953,082 | ||||||
4.00%, 04/01/2025 | 3,495,000 | 3,420,319 | ||||||
6.60%, 04/01/2036 | 975,000 | 1,112,879 | ||||||
6.25%, 10/02/2043 | 65,000 | 71,735 | ||||||
5.20%, 04/01/2045 | 1,160,000 | 1,116,132 | ||||||
General Motors Financial Co, Inc. | ||||||||
3.10%, 01/15/2019 | 2,202,000 | 2,224,593 | ||||||
3.70%, 05/09/2023 | 2,510,000 | 2,467,154 | ||||||
4.00%, 01/15/2025 | 10,800,000 | 10,523,876 | ||||||
4.00%, 10/06/2026 | 310,000 | 297,828 | ||||||
GLP Capital LP / GLP Financing II, Inc. | ||||||||
5.38%, 04/15/2026 | 850,000 | 886,465 | ||||||
H&E Equipment Services, Inc. | ||||||||
7.00%, 09/01/2022 | 225,000 | 236,812 | ||||||
Hanesbrands, Inc. | ||||||||
4.63%, 05/15/2024 (Acquired 05/03/2016 through 12/06/2016, Cost $4,103,914) (1) | 4,093,000 | 3,970,210 | ||||||
Hilton Domestic Operating Co, Inc. | ||||||||
4.25%, 09/01/2024 (Acquired 08/08/2016 through 08/19/2016, Cost $605,000) (1) | 605,000 | 586,850 | ||||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. | ||||||||
5.63%, 10/15/2021 | 1,185,000 | 1,224,105 | ||||||
IHO Verwaltungs GmbH | ||||||||
4.13%, 09/15/2021 (Acquired 09/08/2016, Cost $445,000) (1) | 445,000 | 449,450 | ||||||
4.50%, 09/15/2023 (Acquired 09/08/2016, Cost $314,000) (1) | 314,000 | 306,935 | ||||||
Ingram Micro, Inc. | ||||||||
5.45%, 12/15/2024 | 1,400,000 | 1,315,852 | ||||||
International Game Technology Plc | ||||||||
6.25%, 02/15/2022 (Acquired 08/21/2015 through 06/16/2016, Cost $1,078,144) (1) | 1,075,000 | 1,152,938 | ||||||
6.50%, 02/15/2025 (Acquired 12/13/2016, Cost $562,901) (1) | 525,000 | 563,063 |
Principal Amount | Value | |||||||
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 | 204,250 | ||||||
5.25%, 06/01/2026 (Acquired 06/02/2016, Cost $225,000) (1) | 225,000 | 228,375 | ||||||
Magna International, Inc. | ||||||||
4.15%, 10/01/2025 | 665,000 | 688,048 | ||||||
Marriott International, Inc./MD | ||||||||
3.75%, 10/01/2025 | 2,280,000 | 2,279,954 | ||||||
MDC Holdings, Inc. | ||||||||
5.50%, 01/15/2024 | 1,156,000 | 1,193,570 | ||||||
Men’s Wearhouse, Inc./The | ||||||||
7.00%, 07/01/2022 | 575,000 | 563,500 | ||||||
Mobile Mini, Inc. | ||||||||
5.88%, 07/01/2024 | 175,000 | 181,125 | ||||||
New Albertsons, Inc. | ||||||||
7.45%, 08/01/2029 | 175,000 | 165,375 | ||||||
New Red Finance, Inc. | ||||||||
4.63%, 01/15/2022 (Acquired 07/13/2015 through 11/03/2016, Cost $3,561,786) (1) | 3,510,000 | 3,580,200 | ||||||
Newell Brands, Inc. | ||||||||
5.00%, 11/15/2023 | 1,248,000 | 1,338,039 | ||||||
Newell Rubbermaid, Inc. | ||||||||
3.15%, 04/01/2021 | 1,526,000 | 1,551,716 | ||||||
3.85%, 04/01/2023 | 1,129,000 | 1,169,905 | ||||||
4.20%, 04/01/2026 | 4,036,000 | 4,206,945 | ||||||
5.50%, 04/01/2046 | 1,520,000 | 1,741,684 | ||||||
O’Reilly Automotive, Inc. | ||||||||
4.63%, 09/15/2021 | 1,300,000 | 1,393,993 | ||||||
QVC, Inc. | ||||||||
5.13%, 07/02/2022 | 1,600,000 | 1,654,598 | ||||||
4.38%, 03/15/2023 | 920,000 | 912,208 | ||||||
4.85%, 04/01/2024 | 2,150,000 | 2,158,927 | ||||||
4.45%, 02/15/2025 | 105,000 | 100,806 | ||||||
Rite Aid Corp. | ||||||||
6.13%, 04/01/2023 (Acquired 07/05/2016 through 07/11/2016, Cost $159,242) (1) | 150,000 | 161,250 | ||||||
Schaeffler Finance BV | ||||||||
4.25%, 05/15/2021 (Acquired 05/26/2016 through 06/21/2016, Cost $1,327,471) (1) | 1,308,000 | 1,334,160 | ||||||
Scientific Games International, Inc. | ||||||||
10.00%, 12/01/2022 | 1,350,000 | 1,343,250 | ||||||
Scotts Miracle-Gro Co./The | ||||||||
5.25%, 12/15/2026 (Acquired 12/13/2016, Cost $853,173) (1) | 850,000 | 850,000 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.75%, 09/01/2021 (Acquired 03/18/2016 through 06/16/2016, Cost $755,895) (1) | 700,000 | 761,250 | ||||||
Southwest Airlines Co. | ||||||||
5.13%, 03/01/2017 | 1,315,000 | 1,322,631 | ||||||
Spirit Airlines 2015-1 Pass Through Trust A | ||||||||
4.10%, 10/01/2029 | 4,347,237 | 4,435,051 | ||||||
Toll Brothers Finance Corp. | ||||||||
4.00%, 12/31/2018 | 1,497,000 | 1,536,296 | ||||||
5.88%, 02/15/2022 | 415,000 | 450,275 | ||||||
4.38%, 04/15/2023 | 540,000 | 538,650 | ||||||
Toyota Motor Credit Corp. | ||||||||
1.55%, 10/18/2019 | 7,420,000 | 7,326,642 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | ||||||||
3.75%, 03/03/2028 | 1,978,878 | 1,988,772 |
Principal Amount | Value | |||||||
US Airways 2011-1 Class A Pass Through Trust | ||||||||
7.13%, 04/22/2025 | 2,122,859 | 2,441,288 | ||||||
US Airways 2013-1 Class A Pass Through Trust | ||||||||
3.95%, 05/15/2027 | 1,900,493 | 1,948,195 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
2.60%, 06/01/2021 | 1,543,000 | 1,531,955 | ||||||
3.10%, 06/01/2023 | 305,000 | 302,649 | ||||||
3.80%, 11/18/2024 | 1,350,000 | 1,372,345 | ||||||
3.45%, 06/01/2026 | 1,665,000 | 1,631,995 | ||||||
4.80%, 11/18/2044 | 926,000 | 949,943 | ||||||
4.65%, 06/01/2046 | 213,000 | 215,720 | ||||||
Wal-Mart Stores, Inc. | ||||||||
1.13%, 04/11/2018 | 11,110,000 | 11,082,614 | ||||||
Wyndham Worldwide Corp. | ||||||||
5.10%, 10/01/2025 | 1,120,000 | 1,178,716 | ||||||
ZF North America Capital, Inc. | ||||||||
4.50%, 04/29/2022 (Acquired 07/24/2015 through 05/24/2016, Cost $678,476) (1) | 675,000 | 696,094 | ||||||
|
| |||||||
175,893,813 | ||||||||
|
| |||||||
Consumer, Non-cyclical – 6.12% | ||||||||
Abbott Laboratories | ||||||||
2.90%, 11/30/2021 | 3,600,000 | 3,591,454 | ||||||
3.75%, 11/30/2026 | 3,075,000 | 3,052,085 | ||||||
AbbVie, Inc. | ||||||||
1.80%, 05/14/2018 | 3,000,000 | 3,001,812 | ||||||
3.60%, 05/14/2025 | 2,118,000 | 2,095,115 | ||||||
3.20%, 05/14/2026 | 5,301,000 | 5,036,173 | ||||||
4.50%, 05/14/2035 | 600,000 | 588,614 | ||||||
4.70%, 05/14/2045 | 750,000 | 734,438 | ||||||
4.45%, 05/14/2046 | 2,750,000 | 2,627,977 | ||||||
Actavis Funding SCS | ||||||||
3.00%, 03/12/2020 | 3,492,000 | 3,538,678 | ||||||
3.80%, 03/15/2025 | 7,750,000 | 7,749,233 | ||||||
4.55%, 03/15/2035 | 400,000 | 395,315 | ||||||
Actavis, Inc. | ||||||||
1.88%, 10/01/2017 | 1,500,000 | 1,502,790 | ||||||
Aetna, Inc. | ||||||||
2.40%, 06/15/2021 | 1,103,000 | 1,097,021 | ||||||
2.80%, 06/15/2023 | 3,388,000 | 3,333,463 | ||||||
3.20%, 06/15/2026 | 13,709,000 | 13,541,887 | ||||||
4.38%, 06/15/2046 | 1,120,000 | 1,122,366 | ||||||
Albertsons Cos LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s LLC | ||||||||
5.75%, 03/15/2025 (Acquired 08/04/2016 through 08/22/2016, Cost $626,450) (1) | 625,000 | 618,750 | ||||||
Amgen, Inc. | ||||||||
5.85%, 06/01/2017 | 2,000,000 | 2,036,016 | ||||||
4.40%, 05/01/2045 | 500,000 | 478,894 | ||||||
4.56%, 06/15/2048 (Acquired 06/13/2016, Cost $1,542,407) (1) | 1,500,000 | 1,447,941 | ||||||
4.66%, 06/15/2051 (Acquired 10/28/2013 through 08/22/2016, Cost $409,383) (1) | 447,000 | 430,775 | ||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||
2.65%, 02/01/2021 | 810,000 | 813,716 | ||||||
3.30%, 02/01/2023 | 4,308,000 | 4,379,896 | ||||||
3.65%, 02/01/2026 | 12,818,000 | 12,992,697 | ||||||
4.90%, 02/01/2046 | 3,578,000 | 3,841,817 |
Principal Amount | Value | |||||||
Anthem, Inc. | ||||||||
2.38%, 02/15/2017 | 2,300,000 | 2,302,544 | ||||||
1.88%, 01/15/2018 | 5,000,000 | 5,001,845 | ||||||
3.50%, 08/15/2024 | 6,055,000 | 6,030,508 | ||||||
Ascension Health | ||||||||
3.95%, 11/15/2046 | 825,000 | 786,051 | ||||||
AstraZeneca Plc | ||||||||
3.38%, 11/16/2025 | 1,475,000 | 1,462,780 | ||||||
Avon International Operations, Inc. | ||||||||
7.88%, 08/15/2022 (Acquired 10/25/2016, Cost $624,066) (1) | 575,000 | 608,062 | ||||||
Baxalta, Inc. | ||||||||
2.88%, 06/23/2020 | 1,000,000 | 999,166 | ||||||
4.00%, 06/23/2025 | 7,555,000 | 7,567,458 | ||||||
Baylor Scott & White Holdings | ||||||||
3.97%, 11/15/2046 | 875,000 | 823,042 | ||||||
Becton Dickinson and Co. | ||||||||
1.80%, 12/15/2017 | 1,738,000 | 1,741,839 | ||||||
7.00%, 08/01/2027 | 361,000 | 451,523 | ||||||
Biogen, Inc. | ||||||||
2.90%, 09/15/2020 | 290,000 | 293,479 | ||||||
4.05%, 09/15/2025 | 1,105,000 | 1,136,189 | ||||||
5.20%, 09/15/2045 | 1,175,000 | 1,259,358 | ||||||
BioMarin Pharmaceutical, Inc. | ||||||||
1.50%, 10/15/2020 | 560,000 | 656,250 | ||||||
BRF GmbH | ||||||||
4.35%, 09/29/2026 (Acquired 09/22/2016, Cost $1,693,033) (1) | 1,730,000 | 1,595,925 | ||||||
Brookdale Senior Living, Inc. | ||||||||
2.75%, 06/15/2018 | 280,000 | 272,475 | ||||||
Celgene Corp. | ||||||||
3.63%, 05/15/2024 | 500,000 | 501,874 | ||||||
3.88%, 08/15/2025 | 3,170,000 | 3,211,197 | ||||||
5.00%, 08/15/2045 | 2,850,000 | 2,957,619 | ||||||
Centene Corp. | ||||||||
5.63%, 02/15/2021 | 50,000 | 52,570 | ||||||
4.75%, 05/15/2022 | 300,000 | 303,000 | ||||||
6.13%, 02/15/2024 | 1,275,000 | 1,343,531 | ||||||
4.75%, 01/15/2025 | 1,520,000 | 1,483,900 | ||||||
Constellation Brands, Inc. | ||||||||
6.00%, 05/01/2022 | 750,000 | 845,880 | ||||||
4.25%, 05/01/2023 | 3,010,000 | 3,121,039 | ||||||
3.70%, 12/06/2026 | 711,000 | 694,675 | ||||||
Danone SA | ||||||||
2.08%, 11/02/2021 (Acquired 10/26/2016, Cost $3,100,000) (1) | 3,100,000 | 3,007,471 | ||||||
2.59%, 11/02/2023 (Acquired 10/26/2016 through 11/28/2016, Cost $2,514,664) (1) | 2,535,000 | 2,439,727 | ||||||
DaVita, Inc. | ||||||||
5.00%, 05/01/2025 | 1,592,000 | 1,566,130 | ||||||
DP World Ltd. | ||||||||
6.85%, 07/02/2037 | 400,000 | 426,390 | ||||||
DS Services of America, Inc. | ||||||||
10.00%, 09/01/2021 (Acquired 11/21/2016, Cost $853,393) (1) | 785,000 | 860,556 | ||||||
Ecolab, Inc. | ||||||||
2.70%, 11/01/2026 | 645,000 | 613,162 | ||||||
Endo Ltd. / Endo Finance LLC / Endo Finco, Inc. | ||||||||
6.50%, 02/01/2025 (Acquired 07/14/2015 through 05/31/2016, Cost $621,152) (1) | 675,000 | 561,937 |
Principal Amount | Value | |||||||
ERAC USA Finance LLC | ||||||||
3.80%, 11/01/2025 (Acquired 11/02/2015, Cost $3,024,807) (1) | 3,030,000 | 3,047,171 | ||||||
3.30%, 12/01/2026 (Acquired 05/23/2016, Cost $2,193,181) (1) | 2,200,000 | 2,107,728 | ||||||
Express Scripts Holding Co. | ||||||||
4.50%, 02/25/2026 | 7,253,000 | 7,456,817 | ||||||
3.40%, 03/01/2027 | 7,535,000 | 7,048,751 | ||||||
4.80%, 07/15/2046 | 1,410,000 | 1,347,396 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
5.75%, 02/15/2021 (Acquired 01/11/2016, Cost $531,498) (1) | 500,000 | 540,000 | ||||||
George Washington University/The | ||||||||
3.55%, 09/15/2046 | 740,000 | 630,400 | ||||||
Gilead Sciences, Inc. | ||||||||
3.70%, 04/01/2024 | 1,000,000 | 1,025,276 | ||||||
4.75%, 03/01/2046 | 375,000 | 387,241 | ||||||
Grifols Worldwide Operations Ltd. | ||||||||
5.25%, 04/01/2022 | 750,000 | 776,250 | ||||||
HCA, Inc. | ||||||||
3.75%, 03/15/2019 | 1,111,000 | 1,141,552 | ||||||
6.50%, 02/15/2020 | 1,300,000 | 1,422,200 | ||||||
4.75%, 05/01/2023 | 500,000 | 511,875 | ||||||
5.38%, 02/01/2025 | 4,949,000 | 4,961,372 | ||||||
5.25%, 04/15/2025 | 2,160,000 | 2,254,500 | ||||||
5.88%, 02/15/2026 | 460,000 | 473,800 | ||||||
5.25%, 06/15/2026 | 850,000 | 878,688 | ||||||
4.50%, 02/15/2027 | 45,000 | 44,213 | ||||||
7.50%, 11/06/2033 | 1,035,000 | 1,097,100 | ||||||
Hill-Rom Holdings, Inc. | ||||||||
5.75%, 09/01/2023 (Acquired 06/01/2016, Cost $490,334) (1) | 480,000 | 495,600 | ||||||
HPHT Finance 15 Ltd. | ||||||||
2.25%, 03/17/2018 (Acquired 10/09/2015, Cost $839,580) (1) | 840,000 | 839,444 | ||||||
Humana, Inc. | ||||||||
3.85%, 10/01/2024 | 1,735,000 | 1,774,018 | ||||||
IHS Markit Ltd | ||||||||
5.00%, 11/01/2022 (Acquired 07/06/2016, Cost $1,079,360) (1) | 1,050,000 | 1,089,375 | ||||||
Impax Laboratories, Inc. | ||||||||
2.00%, 06/15/2022 | 2,680,000 | 2,115,525 | ||||||
Imperial Tobacco Finance Plc | ||||||||
2.95%, 07/21/2020 (Acquired 07/15/2015 through 10/08/2015, Cost $1,666,573) (1) | 1,665,000 | 1,673,986 | ||||||
4.25%, 07/21/2025 (Acquired 10/15/2015, Cost $1,386,264) (1) | 1,345,000 | 1,386,578 | ||||||
Ionis Pharmaceuticals, Inc. | ||||||||
1.00%, 11/15/2021 | 1,075,000 | 1,083,734 | ||||||
Kaiser Foundation Hospitals | ||||||||
3.50%, 04/01/2022 | 1,275,000 | 1,314,386 | ||||||
Koninklijke Ahold Delhaize NV | ||||||||
5.70%, 10/01/2040 | 690,000 | 763,304 | ||||||
Kraft Heinz Foods Co. | ||||||||
2.80%, 07/02/2020 | 1,478,000 | 1,491,012 | ||||||
3.50%, 07/15/2022 | 2,150,000 | 2,180,205 | ||||||
3.95%, 07/15/2025 | 4,605,000 | 4,659,049 | ||||||
3.00%, 06/01/2026 | 3,341,000 | 3,132,037 | ||||||
5.20%, 07/15/2045 | 1,000,000 | 1,044,869 | ||||||
4.38%, 06/01/2046 | 800,000 | 751,287 | ||||||
Laboratory Corp. of America Holdings | ||||||||
3.60%, 02/01/2025 | 1,475,000 | 1,466,678 |
Principal Amount | Value | |||||||
Lamb Weston Holdings, Inc. | ||||||||
4.88%, 11/01/2026 (Acquired 12/30/2016, Cost $891,562) (1) | 900,000 | 892,688 | ||||||
Life Technologies Corp. | ||||||||
6.00%, 03/01/2020 | 2,209,000 | 2,404,963 | ||||||
Mead Johnson Nutrition Co. | ||||||||
4.13%, 11/15/2025 | 170,000 | 173,577 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38%, 11/15/2022 | 125,000 | 126,875 | ||||||
Molson Coors Brewing Co. | ||||||||
3.00%, 07/15/2026 | 3,976,000 | 3,752,958 | ||||||
4.20%, 07/15/2046 | 1,356,000 | 1,261,671 | ||||||
Mondelez International Holdings Netherlands BV | ||||||||
1.63%, 10/28/2019 (Acquired 10/19/2016, Cost $5,129,545) (1) | 5,140,000 | 5,036,249 | ||||||
New York and Presbyterian Hospital/The | ||||||||
3.56%, 08/01/2036 | 2,630,000 | 2,511,687 | ||||||
Northwell Healthcare, Inc. | ||||||||
3.98%, 11/01/2046 | 2,980,000 | 2,737,678 | ||||||
PepsiCo, Inc. | ||||||||
1.35%, 10/04/2019 | 7,250,000 | 7,191,442 | ||||||
Pernod Ricard SA | ||||||||
2.95%, 01/15/2017 (Acquired 09/16/2016, Cost $4,902,898) (1) | 4,900,000 | 4,902,636 | ||||||
Perrigo Co. Plc | ||||||||
4.00%, 11/15/2023 | 520,000 | 514,896 | ||||||
Perrigo Finance Unlimited Co. | ||||||||
3.50%, 12/15/2021 | 1,960,000 | 1,973,877 | ||||||
3.90%, 12/15/2024 | 2,480,000 | 2,424,731 | ||||||
4.38%, 03/15/2026 | 818,000 | 817,713 | ||||||
Quintiles IMS, Inc. | ||||||||
4.88%, 05/15/2023 (Acquired 05/09/2016, Cost $815,034) (1) | 800,000 | 812,000 | ||||||
Reynolds American, Inc. | ||||||||
3.25%, 11/01/2022 | 1,215,000 | 1,209,813 | ||||||
4.45%, 06/12/2025 | 680,000 | 717,052 | ||||||
5.85%, 08/15/2045 | 1,020,000 | 1,205,581 | ||||||
RWJ Barnabas Health, Inc. | ||||||||
3.95%, 07/01/2046 | 2,570,000 | 2,362,156 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
1.90%, 09/23/2019 | 1,000,000 | 986,859 | ||||||
2.40%, 09/23/2021 | 2,145,000 | 2,070,086 | ||||||
2.88%, 09/23/2023 | 6,429,000 | 6,103,352 | ||||||
3.20%, 09/23/2026 | 5,420,000 | 5,057,830 | ||||||
Smithfield Foods, Inc. | ||||||||
5.25%, 08/01/2018 (Acquired 05/19/2016, Cost $228,336) (1) | 227,000 | 229,554 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75%, 07/15/2025 | 175,000 | 181,563 | ||||||
Sysco Corp. | ||||||||
2.50%, 07/15/2021 | 1,317,000 | 1,301,761 | ||||||
3.30%, 07/15/2026 | 1,182,000 | 1,158,219 | ||||||
Tenet Healthcare Corp. | ||||||||
4.46%, 06/15/2020 | 1,685,000 | 1,693,425 | ||||||
7.50%, 01/01/2022 (Acquired 11/16/2016, Cost $104 $1,388,883) (1) | 1,340,000 | 1,396,950 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
3.65%, 11/10/2021 | 725,000 | 733,620 |
Principal Amount | Value | |||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
2.80%, 07/21/2023 | 5,150,000 | 4,869,418 | ||||||
3.15%, 10/01/2026 | 6,265,000 | 5,767,195 | ||||||
Total System Services, Inc. | ||||||||
3.80%, 04/01/2021 | 1,078,000 | 1,111,742 | ||||||
4.80%, 04/01/2026 | 5,704,000 | 6,137,955 | ||||||
Transurban Finance Co Pty Ltd. | ||||||||
4.13%, 02/02/2026 (Acquired 10/27/2015, Cost $153,760) (1) | 155,000 | 157,561 | ||||||
3.38%, 03/22/2027 (Acquired 09/15/2016, Cost $377,303) (1) | 380,000 | 358,499 | ||||||
TreeHouse Foods, Inc. | ||||||||
6.00%, 02/15/2024 (Acquired 05/04/2016, Cost $888,952) (1) | 850,000 | 890,375 | ||||||
UBM Plc | ||||||||
5.75%, 11/03/2020 (Acquired 07/13/2015 through 09/29/2016, Cost $3,149,804) (1) | 2,925,000 | 3,072,812 | ||||||
Universal Health Services, Inc. | ||||||||
4.75%, 08/01/2022 (Acquired 08/24/2015 through 12/16/2016, Cost $7,704,581) (1) | 7,595,000 | 7,689,938 | ||||||
5.00%, 06/01/2026 (Acquired 05/19/2016 through 12/14/2016, Cost $5,208,499) (1) | 5,247,000 | 5,115,825 | ||||||
University of Southern California | ||||||||
3.03%, 10/01/2039 | 2,750,000 | 2,437,977 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
7.00%, 10/01/2020 (Acquired 08/25/2016, Cost $295,181) (1) | 300,000 | 258,563 | ||||||
6.38%, 10/15/2020 (Acquired 06/13/2016 through 07/07/2016, Cost $270,374) (1) | 300,000 | 257,718 | ||||||
5.50%, 03/01/2023 (Acquired 07/21/2015 through 06/06/2016, Cost $3,641,003) (1) | 4,015,000 | 3,011,250 | ||||||
5.88%, 05/15/2023 (Acquired 08/12/2015 through 09/06/2016, Cost $1,257,069) (1) | 1,300,000 | 981,500 | ||||||
6.13%, 04/15/2025 (Acquired 05/27/2016, Cost $856,963) (1) | 1,000,000 | 751,250 | ||||||
Verisk Analytics, Inc. | ||||||||
4.88%, 01/15/2019 | 540,000 | 565,905 | ||||||
5.80%, 05/01/2021 | 4,000,000 | 4,447,112 | ||||||
4.13%, 09/12/2022 | 1,547,000 | 1,610,067 | ||||||
5.50%, 06/15/2045 | 2,701,000 | 2,867,155 | ||||||
Wm Wrigley Jr Co. | ||||||||
2.40%, 10/21/2018 (Acquired 07/13/2015 through 05/25/2016, Cost $1,633,053) (1) | 1,620,000 | 1,634,193 | ||||||
3.38%, 10/21/2020 (Acquired 07/22/2015 through 06/20/2016, Cost $3,161,914) (1) | 3,040,000 | 3,122,657 | ||||||
|
| |||||||
322,501,621 | ||||||||
|
| |||||||
Diversified – 0.05% | ||||||||
Alfa SAB de CV | ||||||||
6.88%, 03/25/2044 | 1,000,000 | 972,500 | ||||||
RWT Holdings, Inc. | ||||||||
5.63%, 11/15/2019 | 1,460,000 | 1,470,950 | ||||||
|
| |||||||
2,443,450 | ||||||||
|
| |||||||
Energy – 3.17% | ||||||||
Alberta Energy Co. Ltd | ||||||||
7.38%, 11/01/2031 | 750,000 | 862,844 | ||||||
Anadarko Petroleum Corp. | ||||||||
4.85%, 03/15/2021 | 691,000 | 740,324 | ||||||
5.55%, 03/15/2026 | 3,026,000 | 3,382,466 | ||||||
Antero Resources Corp. | ||||||||
5.38%, 11/01/2021 | 2,543,000 | 2,600,217 | ||||||
APT Pipelines Ltd. | ||||||||
3.88%, 10/11/2022 (Acquired 08/06/2015 through 08/19/2015, Cost $1,355,055) (1) | 1,360,000 | 1,362,289 | ||||||
Boardwalk Pipelines LP | ||||||||
5.75%, 09/15/2019 | 1,850,000 | 1,993,704 | ||||||
5.95%, 06/01/2026 | 1,500,000 | 1,627,239 | ||||||
BP Capital Markets Plc | ||||||||
3.06%, 03/17/2022 | 1,525,000 | 1,540,962 |
Principal Amount | Value | |||||||
Buckeye Partners LP | ||||||||
3.95%, 12/01/2026 | 521,000 | 507,523 | ||||||
Canadian Natural Resources Ltd. | ||||||||
5.70%, 05/15/2017 | 1,408,000 | 1,428,924 | ||||||
5.90%, 02/01/2018 | 442,000 | 460,052 | ||||||
3.90%, 02/01/2025 | 130,000 | 130,379 | ||||||
Cenovus Energy, Inc. | ||||||||
5.70%, 10/15/2019 | 40,000 | 42,770 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
5.88%, 03/31/2025 (Acquired 12/05/2016, Cost $400,000) (1) | 400,000 | 408,124 | ||||||
Chesapeake Energy Corp. | ||||||||
6.13%, 02/15/2021 | 182,000 | 177,450 | ||||||
Cimarex Energy Co. | ||||||||
5.88%, 05/01/2022 | 1,739,000 | 1,807,532 | ||||||
4.38%, 06/01/2024 | 1,819,000 | 1,889,548 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
4.25%, 04/30/2024 | 900,000 | 920,787 | ||||||
Concho Resources, Inc. | ||||||||
5.50%, 04/01/2023 | 100,000 | 103,630 | ||||||
ConocoPhillips Co. | ||||||||
4.20%, 03/15/2021 | 2,121,000 | 2,251,149 | ||||||
4.95%, 03/15/2026 | 4,465,000 | 4,922,805 | ||||||
Continental Resources, Inc./OK | ||||||||
4.50%, 04/15/2023 | 250,000 | 245,000 | ||||||
3.80%, 06/01/2024 | 5,360,000 | 4,944,600 | ||||||
Diamond Offshore Drilling, Inc. | ||||||||
5.88%, 05/01/2019 | 414,000 | 429,421 | ||||||
Enable Midstream Partners LP | ||||||||
3.90%, 05/15/2024 | 1,085,000 | 1,027,994 | ||||||
Enbridge Energy Partners LP | ||||||||
5.88%, 10/15/2025 | 750,000 | 835,153 | ||||||
Enbridge, Inc. | ||||||||
4.00%, 10/01/2023 | 605,000 | 613,562 | ||||||
4.25%, 12/01/2026 | 505,000 | 516,321 | ||||||
6.00%, 01/15/2077 | 1,370,000 | 1,366,575 | ||||||
5.50%, 12/01/2046 | 765,000 | 820,697 | ||||||
Energy Transfer Partners LP | ||||||||
4.15%, 10/01/2020 | 1,504,000 | 1,556,351 | ||||||
4.75%, 01/15/2026 | 6,426,000 | 6,634,794 | ||||||
6.50%, 02/01/2042 | 1,000,000 | 1,078,673 | ||||||
5.15%, 03/15/2045 | 700,000 | 670,149 | ||||||
3.90%, 11/01/2066 | 1,776,000 | 1,417,692 | ||||||
EnLink Midstream Partners LP | ||||||||
4.40%, 04/01/2024 | 35,000 | 34,737 | ||||||
4.15%, 06/01/2025 | 5,940,000 | 5,758,378 | ||||||
4.85%, 07/15/2026 | 440,000 | 443,242 | ||||||
Ensco PLC | ||||||||
4.70%, 03/15/2021 | 550,000 | 529,056 | ||||||
5.20%, 03/15/2025 | 450,000 | 388,652 | ||||||
Enterprise Products Operating LLC | ||||||||
3.95%, 02/15/2027 | 280,000 | 286,404 | ||||||
Exxon Mobil Corp. | ||||||||
3.57%, 03/06/2045 | 885,000 | 833,580 |
Principal Amount | Value | |||||||
Gulfport Energy Corp. | ||||||||
6.38%, 05/15/2025 (Acquired 12/15/2016 through 12/29/2016, Cost $900,000) (1) | 900,000 | 911,430 | ||||||
Helmerich & Payne International Drilling Co. | ||||||||
4.65%, 03/15/2025 | 1,894,000 | 1,954,653 | ||||||
Hess Corp. | ||||||||
4.30%, 04/01/2027 | 2,634,000 | 2,618,014 | ||||||
5.80%, 04/01/2047 | 475,000 | 492,086 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
5.95%, 02/15/2018 | 1,015,000 | 1,058,641 | ||||||
5.00%, 10/01/2021 | 575,000 | 611,703 | ||||||
3.95%, 09/01/2022 | 2,634,000 | 2,701,536 | ||||||
4.25%, 09/01/2024 | 295,000 | 301,531 | ||||||
Kinder Morgan Finance Co. LLC | ||||||||
6.00%, 01/15/2018 (Acquired 02/09/2016 through 06/06/2016, Cost $474,481) (1) | 470,000 | 489,309 | ||||||
Kinder Morgan, Inc./DE | ||||||||
4.30%, 06/01/2025 | 4,900,000 | 5,038,567 | ||||||
5.55%, 06/01/2045 | 4,815,000 | 5,055,216 | ||||||
5.05%, 02/15/2046 | 300,000 | 296,416 | ||||||
Matador Resources Co. | ||||||||
6.88%, 04/15/2023 | 530,000 | 556,500 | ||||||
Motiva Enterprises LLC | ||||||||
5.75%, 01/15/2020 (Acquired 07/22/2015 through 06/20/2016, Cost $1,334,271) (1) | 1,244,000 | 1,343,505 | ||||||
MPLX LP | ||||||||
4.50%, 07/15/2023 | 1,106,000 | 1,122,158 | ||||||
Newfield Exploration Co. | ||||||||
5.38%, 01/01/2026 | 3,715,000 | 3,787,814 | ||||||
Oceaneering International, Inc. | ||||||||
4.65%, 11/15/2024 | 2,605,000 | 2,566,407 | ||||||
Pertamina Persero PT | ||||||||
6.00%, 05/03/2042 | 280,000 | 269,086 | ||||||
6.00%, 05/03/2042 | 200,000 | 192,204 | ||||||
Petrobras Global Finance BV | ||||||||
8.38%, 05/23/2021 | 1,680,000 | 1,810,200 | ||||||
8.75%, 05/23/2026 | 1,915,000 | 2,065,806 | ||||||
5.63%, 05/20/2043 | 1,915,000 | 1,415,568 | ||||||
Petroleos Mexicanos | ||||||||
6.38%, 02/04/2021 (Acquired 01/28/2016 through 10/18/2016, Cost $1,379,826) (1) | 1,295,000 | 1,379,175 | ||||||
4.88%, 01/24/2022 | 300,000 | 300,900 | ||||||
5.38%, 03/13/2022 (Acquired 12/06/2016, Cost $392,824) (1) | 395,000 | 404,472 | ||||||
4.63%, 09/21/2023 (Acquired 09/13/2016, Cost $890,000) (1) | 890,000 | 865,792 | ||||||
4.50%, 01/23/2026 | 1,105,000 | 1,006,655 | ||||||
Phillips 66 Partners LP | ||||||||
3.61%, 02/15/2025 | 2,185,000 | 2,137,208 | ||||||
Plains All American Pipeline LP / PAA Finance Co. | ||||||||
4.65%, 10/15/2025 | 2,672,000 | 2,756,996 | ||||||
Regency Energy Partners LP / Regency Energy Finance Corp. | ||||||||
5.88%, 03/01/2022 | 1,521,000 | 1,671,655 | ||||||
4.50%, 11/01/2023 | 349,000 | 353,774 | ||||||
Rowan Cos, Inc. | ||||||||
7.38%, 06/15/2025 | 550,000 | 561,000 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63%, 04/15/2023 | 450,000 | 478,125 |
Principal Amount | Value | |||||||
5.75%, 05/15/2024 | 650,000 | 697,125 | ||||||
5.88%, 06/30/2026 (Acquired 09/22/2016, Cost $733,604) (1) | 675,000 | 727,312 | ||||||
5.00%, 03/15/2027 (Acquired 09/19/2016 through 12/15/2016, Cost $8,766,506) (1) | 8,761,000 | 8,837,659 | ||||||
Schlumberger Holdings Corp. | ||||||||
3.00%, 12/21/2020 (Acquired 12/10/2015, Cost $598,907) (1) | 600,000 | 612,214 | ||||||
4.00%, 12/21/2025 (Acquired 12/10/2015 through 06/21/2016, Cost $4,389,486) (1) | 4,235,000 | 4,432,279 | ||||||
Seven Generations Energy Ltd. | ||||||||
8.25%, 05/15/2020 (Acquired 07/13/2015 through 06/16/2016, Cost $660,232) (1) | 645,000 | 683,700 | ||||||
Shell International Finance BV | ||||||||
2.13%, 05/11/2020 | 400,000 | 399,522 | ||||||
3.25%, 05/11/2025 | 3,900,000 | 3,891,639 | ||||||
2.88%, 05/10/2026 | 2,495,000 | 2,408,576 | ||||||
4.38%, 05/11/2045 | 1,000,000 | 1,010,938 | ||||||
SM Energy Co. | ||||||||
6.13%, 11/15/2022 | 10,000 | 10,125 | ||||||
5.00%, 01/15/2024 | 115,000 | 108,388 | ||||||
5.63%, 06/01/2025 | 75,000 | 72,375 | ||||||
Southwestern Energy Co. | ||||||||
6.70%, 01/23/2025 | 2,675,000 | 2,735,188 | ||||||
Spectra Energy Partners LP | ||||||||
4.75%, 03/15/2024 | 3,131,000 | 3,320,435 | ||||||
3.38%, 10/15/2026 | 1,780,000 | 1,699,973 | ||||||
4.50%, 03/15/2045 | 250,000 | 237,254 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.25%, 04/01/2024 | 1,500,000 | 1,509,936 | ||||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | ||||||||
5.50%, 09/15/2024 (Acquired 08/18/2016, Cost $200,000) (1) | 200,000 | 198,500 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
4.13%, 11/15/2019 | 380,000 | 384,750 | ||||||
6.75%, 03/15/2024 | 825,000 | 884,813 | ||||||
Tesoro Corp. | ||||||||
4.75%, 12/15/2023 (Acquired 12/15/2016, Cost $1,580,000) (1) | 1,580,000 | 1,587,900 | ||||||
5.13%, 12/15/2026 (Acquired 12/15/2016, Cost $1,955,000) (1) | 1,955,000 | 1,977,287 | ||||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp. | ||||||||
5.25%, 01/15/2025 | 1,236,000 | 1,262,265 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 07/16/2015 through 08/12/2016, Cost $3,081,317) (1) | 3,125,000 | 3,038,303 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.88%, 01/15/2026 | 2,640,000 | 2,933,344 | ||||||
Transocean, Inc. | ||||||||
9.00%, 07/15/2023 (Acquired 07/07/2016 through 07/19/2016, Cost $1,288,834) (1) | 1,225,000 | 1,255,625 | ||||||
Western Gas Partners LP | ||||||||
5.38%, 06/01/2021 | 2,666,000 | 2,865,145 | ||||||
5.45%, 04/01/2044 | 1,200,000 | 1,233,781 | ||||||
Williams Cos, Inc./The | ||||||||
3.70%, 01/15/2023 | 682,000 | 658,130 | ||||||
Williams Partners LP | ||||||||
3.60%, 03/15/2022 | 500,000 | 502,155 | ||||||
3.35%, 08/15/2022 | 1,000,000 | 983,336 | ||||||
4.50%, 11/15/2023 | 375,000 | 384,809 | ||||||
6.30%, 04/15/2040 | 1,323,000 | 1,409,970 | ||||||
Williams Partners LP / ACMP Finance Corp. | ||||||||
4.88%, 05/15/2023 | 2,029,000 | 2,065,463 |
Principal Amount | Value | |||||||
4.88%, 03/15/2024 | 187,000 | 188,673 | ||||||
Woodside Finance Ltd. | ||||||||
3.65%, 03/05/2025 (Acquired 10/05/2016, Cost $518,325) (1) | 515,000 | 502,454 | ||||||
3.70%, 09/15/2026 (Acquired 09/08/2016 through 10/04/2016, Cost $981,058) (1) | 980,000 | 956,931 | ||||||
|
| |||||||
166,834,123 | ||||||||
|
| |||||||
Financials – 11.91% | ||||||||
ACE INA Holdings, Inc. | ||||||||
2.30%, 11/03/2020 | 485,000 | 484,511 | ||||||
4.35%, 11/03/2045 | 380,000 | 400,572 | ||||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust | ||||||||
3.95%, 02/01/2022 | 2,600,000 | 2,622,750 | ||||||
4.63%, 07/01/2022 | 2,100,000 | 2,163,000 | ||||||
Air Lease Corp. | ||||||||
3.00%, 09/15/2023 | 305,000 | 291,058 | ||||||
4.25%, 09/15/2024 | 3,175,000 | 3,221,126 | ||||||
Aircastle Ltd | ||||||||
5.00%, 04/01/2023 | 315,000 | 321,300 | ||||||
Allied World Assurance Co Holdings Ltd. | ||||||||
4.35%, 10/29/2025 | 2,490,000 | 2,480,142 | ||||||
Ally Financial, Inc. | ||||||||
3.25%, 11/05/2018 | 1,105,000 | 1,106,381 | ||||||
8.00%, 12/31/2018 | 638,000 | 696,218 | ||||||
4.63%, 03/30/2025 | 1,875,000 | 1,846,875 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.35%, 10/01/2020 | 1,900,000 | 1,930,001 | ||||||
American Express Co. | ||||||||
7.00%, 03/19/2018 | 1,608,000 | 1,708,588 | ||||||
American International Group, Inc. | ||||||||
3.90%, 04/01/2026 | 4,800,000 | 4,877,664 | ||||||
Bank of America Corp. | ||||||||
3.88%, 03/22/2017 | 569,000 | 572,221 | ||||||
5.42%, 03/15/2017 | 400,000 | 402,898 | ||||||
5.70%, 05/02/2017 | 2,152,000 | 2,181,295 | ||||||
6.40%, 08/28/2017 | 1,000,000 | 1,030,632 | ||||||
6.00%, 09/01/2017 | 1,000,000 | 1,028,945 | ||||||
5.75%, 12/01/2017 | 3,355,000 | 3,475,059 | ||||||
6.88%, 04/25/2018 | 4,390,000 | 4,665,529 | ||||||
5.65%, 05/01/2018 | 1,000,000 | 1,047,615 | ||||||
3.30%, 01/11/2023 | 8,239,000 | 8,258,337 | ||||||
4.00%, 04/01/2024 | 3,955,000 | 4,074,279 | ||||||
4.20%, 08/26/2024 | 340,000 | 345,949 | ||||||
3.88%, 08/01/2025 | 4,400,000 | 4,468,129 | ||||||
4.45%, 03/03/2026 | 1,095,000 | 1,126,894 | ||||||
4.25%, 10/22/2026 | 4,875,000 | 4,926,846 | ||||||
3.25%, 10/21/2027 | 1,315,000 | 1,253,374 | ||||||
4.18%, 11/25/2027 | 6,856,000 | 6,849,891 | ||||||
6.30%, 12/29/2049 | 1,126,000 | 1,176,670 | ||||||
Bank of America NA | ||||||||
5.30%, 03/15/2017 | 3,539,000 | 3,566,403 | ||||||
6.10%, 06/15/2017 | 4,902,000 | 5,001,579 | ||||||
Bank of Montreal | ||||||||
1.50%, 07/18/2019 | 4,000,000 | 3,945,868 | ||||||
Barclays Bank PLC | ||||||||
5.14%, 10/14/2020 | 275,000 | 290,216 |
Principal Amount | Value | |||||||
Barclays Plc | ||||||||
4.38%, 09/11/2024 | 2,200,000 | 2,179,569 | ||||||
4.38%, 01/12/2026 | 4,325,000 | 4,380,455 | ||||||
5.20%, 05/12/2026 | 2,445,000 | 2,485,465 | ||||||
BBVA Bancomer SA/Texas | ||||||||
6.50%, 03/10/2021 | 2,690,000 | 2,897,130 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
1.30%, 08/15/2019 | 1,880,000 | 1,856,325 | ||||||
4.40%, 05/15/2042 | 1,000,000 | 1,050,734 | ||||||
Berkshire Hathaway, Inc. | ||||||||
3.13%, 03/15/2026 | 991,000 | 983,138 | ||||||
4.50%, 02/11/2043 | 1,000,000 | 1,061,251 | ||||||
Boston Properties LP | ||||||||
3.65%, 02/01/2026 | 415,000 | 409,247 | ||||||
2.75%, 10/01/2026 | 2,660,000 | 2,428,389 | ||||||
BPCE SA | ||||||||
4.88%, 04/01/2026 (Acquired 04/26/2016 through 05/23/2016, Cost $2,750,300) (1) | 2,740,000 | 2,734,342 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.88%, 08/15/2022 | 2,550,000 | 2,596,871 | ||||||
3.25%, 09/15/2023 | 495,000 | 479,348 | ||||||
4.13%, 06/15/2026 | 2,980,000 | 2,966,781 | ||||||
Capital One NA/Mclean VA | ||||||||
2.35%, 08/17/2018 | 1,000,000 | 1,005,578 | ||||||
Carlyle Holdings Finance LLC | ||||||||
3.88%, 02/01/2023 (Acquired 07/31/2015 through 06/15/2016, Cost $1,639,818) (1) | 1,596,000 | 1,608,913 | ||||||
CBRE Services, Inc. | ||||||||
5.25%, 03/15/2025 | 2,675,000 | 2,755,095 | ||||||
4.88%, 03/01/2026 | 2,860,000 | 2,845,829 | ||||||
CC Holdings GS V LLC / Crown Castle GS III Corp. | ||||||||
3.85%, 04/15/2023 | 2,450,000 | 2,487,110 | ||||||
Charles Schwab Corp./The | ||||||||
3.00%, 03/10/2025 | 1,745,000 | 1,709,889 | ||||||
7.00%, 02/28/2049 | 2,384,000 | 2,711,800 | ||||||
4.63%, 12/29/2049 | 1,796,000 | 1,688,240 | ||||||
CIT Group, Inc. | ||||||||
4.25%, 08/15/2017 | 6,630,000 | 6,712,875 | ||||||
5.25%, 03/15/2018 | 785,000 | 813,456 | ||||||
5.00%, 05/15/2018 (Acquired 08/12/2013 through 03/09/2015, Cost $782,760) (1) | 775,000 | 784,688 | ||||||
5.50%, 02/15/2019 (Acquired 07/13/2015 through 05/24/2016, Cost $1,448,608) (1) | 1,401,000 | 1,478,055 | ||||||
Citigroup, Inc. | ||||||||
6.00%, 08/15/2017 | 1,000,000 | 1,027,407 | ||||||
6.13%, 11/21/2017 | 4,720,000 | 4,901,937 | ||||||
1.80%, 02/05/2018 | 8,000,000 | 7,997,616 | ||||||
2.15%, 07/30/2018 | 650,000 | 652,040 | ||||||
2.29%, 09/01/2023 | 3,473,000 | 3,542,054 | ||||||
3.20%, 10/21/2026 | 6,230,000 | 5,948,248 | ||||||
Citizens Financial Group, Inc. | ||||||||
5.16%, 06/29/2023 | 6,200,000 | 6,431,496 | ||||||
3.75%, 07/01/2024 | 744,000 | 719,325 | ||||||
4.35%, 08/01/2025 | 539,000 | 540,818 | ||||||
4.30%, 12/03/2025 | 3,606,000 | 3,658,157 | ||||||
CNA Financial Corp. | ||||||||
5.88%, 08/15/2020 | 1,700,000 | 1,876,657 |
Principal Amount | Value | |||||||
CNO Financial Group, Inc. | ||||||||
4.50%, 05/30/2020 | 825,000 | 845,625 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
4.38%, 08/04/2025 | 1,225,000 | 1,255,373 | ||||||
CPPIB Capital, Inc. | ||||||||
1.25%, 09/20/2019 (Acquired 09/13/2016 through 10/21/2016, Cost $7,384,374) (1) | 7,400,000 | 7,294,106 | ||||||
Credit Agricole SA | ||||||||
4.38%, 03/17/2025 (Acquired 07/31/2015 through 05/23/2016, Cost $4,811,691) (1) | 4,875,000 | 4,780,864 | ||||||
Credit Suisse AG | ||||||||
6.50%, 08/08/2023 (Acquired 07/13/2015 through 07/29/2015, Cost $293,236) (1) | 270,000 | 286,808 | ||||||
Credit Suisse AG/New York NY | ||||||||
1.38%, 05/26/2017 | 704,000 | 704,152 | ||||||
Crown Castle International Corp. | ||||||||
4.88%, 04/15/2022 | 4,006,000 | 4,265,589 | ||||||
5.25%, 01/15/2023 | 2,504,000 | 2,694,930 | ||||||
Digital Realty Trust LP | ||||||||
4.75%, 10/01/2025 | 1,640,000 | 1,700,019 | ||||||
Discover Bank/Greenwood DE | ||||||||
2.60%, 11/13/2018 | 2,010,000 | 2,027,047 | ||||||
3.10%, 06/04/2020 | 2,000,000 | 2,022,608 | ||||||
Discover Financial Services | ||||||||
3.95%, 11/06/2024 | 2,167,000 | 2,145,012 | ||||||
3.75%, 03/04/2025 | 6,262,000 | 6,114,348 | ||||||
E*TRADE Financial Corp. | ||||||||
5.38%, 11/15/2022 | 2,947,000 | 3,118,000 | ||||||
4.63%, 09/15/2023 | 4,105,000 | 4,187,100 | ||||||
Farmers Exchange Capital II | ||||||||
6.15%, 11/01/2053 (Acquired 08/31/2015, Cost $298,487) (1) | 280,000 | 287,381 | ||||||
Farmers Exchange Capital III | ||||||||
5.45%, 10/15/2054 (Acquired 08/30/2016, Cost $4,103,601) (1) | 4,000,000 | 3,895,440 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 2,938,000 | 3,488,361 | ||||||
Goldman Sachs Group, Inc./The | ||||||||
5.63%, 01/15/2017 | 680,000 | 680,830 | ||||||
5.95%, 01/18/2018 | 4,000,000 | 4,166,672 | ||||||
2.38%, 01/22/2018 | 2,000,000 | 2,011,662 | ||||||
6.15%, 04/01/2018 | 5,000,000 | 5,258,880 | ||||||
5.25%, 07/27/2021 | 2,800,000 | 3,066,095 | ||||||
5.75%, 01/24/2022 | 2,190,000 | 2,459,699 | ||||||
3.63%, 01/22/2023 | 5,055,000 | 5,158,142 | ||||||
4.25%, 10/21/2025 | 720,000 | 730,431 | ||||||
3.75%, 02/25/2026 | 3,771,000 | 3,776,902 | ||||||
3.50%, 11/16/2026 | 4,100,000 | 4,015,942 | ||||||
6.75%, 10/01/2037 | 460,000 | 567,177 | ||||||
4.75%, 10/21/2045 | 3,073,000 | 3,233,675 | ||||||
Goodman Funding Pty Ltd. | ||||||||
6.38%, 04/15/2021 (Acquired 07/13/2015 through 08/21/2015, Cost $2,129,742) (1) | 1,915,000 | 2,160,413 | ||||||
HCP, Inc. | ||||||||
5.63%, 05/01/2017 | 700,000 | 709,295 | ||||||
4.20%, 03/01/2024 | 1,175,000 | 1,194,584 | ||||||
3.40%, 02/01/2025 | 1,500,000 | 1,433,410 |
Principal Amount | Value | |||||||
Highwoods Realty LP | ||||||||
5.85%, 03/15/2017 | 1,465,000 | 1,477,383 | ||||||
7.50%, 04/15/2018 | 3,100,000 | 3,306,916 | ||||||
Host Hotels & Resorts LP | ||||||||
3.75%, 10/15/2023 | 2,175,000 | 2,132,922 | ||||||
4.50%, 02/01/2026 | 1,600,000 | 1,618,376 | ||||||
HSBC Holdings Plc | ||||||||
2.95%, 05/25/2021 | 1,805,000 | 1,802,738 | ||||||
2.65%, 01/05/2022 | 1,340,000 | 1,309,896 | ||||||
4.30%, 03/08/2026 | 4,705,000 | 4,871,726 | ||||||
6.38%, 03/29/2049 | 1,500,000 | 1,492,500 | ||||||
ING Bank NV | ||||||||
5.80%, 09/25/2023 (Acquired 07/29/2015 through 11/13/2015, Cost $3,200,001) (1) | 2,965,000 | 3,254,577 | ||||||
4.13%, 11/21/2023 | 1,840,000 | 1,859,890 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.75%, 12/01/2025 | 2,934,000 | 2,994,185 | ||||||
International Lease Finance Corp. | ||||||||
8.75%, 03/15/2017 | 1,761,000 | 1,785,214 | ||||||
7.13%, 09/01/2018 (Acquired 07/14/2015, Cost $532,664) (1) | 500,000 | 538,750 | ||||||
4.63%, 04/15/2021 | 800,000 | 829,000 | ||||||
Intesa Sanpaolo SpA | ||||||||
5.02%, 06/26/2024 (Acquired 07/29/2015, Cost $2,860,894) (1) | 2,900,000 | 2,677,164 | ||||||
5.71%, 01/15/2026 (Acquired 05/25/2016, Cost $970,508) (1) | 1,000,000 | 953,077 | ||||||
Jackson National Life Global Funding | ||||||||
1.88%, 10/15/2018 (Acquired 10/07/2015, Cost $999,687) (1) | 1,000,000 | 1,001,874 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 01/20/2023 | 3,100,000 | 3,241,208 | ||||||
JPMorgan Chase & Co. | ||||||||
6.00%, 01/15/2018 | 1,915,000 | 1,997,364 | ||||||
2.75%, 06/23/2020 | 400,000 | 403,340 | ||||||
2.30%, 08/15/2021 | 3,693,000 | 3,621,219 | ||||||
4.50%, 01/24/2022 | 3,440,000 | 3,706,204 | ||||||
3.38%, 05/01/2023 | 4,777,000 | 4,754,988 | ||||||
2.70%, 05/18/2023 | 1,850,000 | 1,808,003 | ||||||
2.11%, 10/24/2023 | 6,125,000 | 6,247,310 | ||||||
3.90%, 07/15/2025 | 1,500,000 | 1,540,434 | ||||||
2.95%, 10/01/2026 | 4,235,000 | 4,036,091 | ||||||
JPMorgan Chase Bank NA | ||||||||
6.00%, 10/01/2017 | 9,811,000 | 10,124,275 | ||||||
Kennedy-Wilson, Inc. | ||||||||
5.88%, 04/01/2024 | 4,451,000 | 4,534,456 | ||||||
KeyCorp. | ||||||||
2.90%, 09/15/2020 | 980,000 | 990,876 | ||||||
Kilroy Realty LP | ||||||||
4.38%, 10/01/2025 | 1,515,000 | 1,553,108 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
0.88%, 04/19/2018 | 1,000,000 | 994,526 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | ||||||||
5.88%, 08/01/2021 (Acquired 08/31/2015 through 10/14/2015, Cost $983,426) (1) | 1,025,000 | 973,750 | ||||||
Lazard Group LLC | ||||||||
4.25%, 11/14/2020 | 2,684,000 | 2,804,600 | ||||||
LeasePlan Corp. NV | ||||||||
2.50%, 05/16/2018 (Acquired 07/13/2015 through 05/23/2016, Cost $3,331,870) (1) | 3,325,000 | 3,329,346 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.85%, 08/01/2044 (Acquired 07/21/2015 through 06/21/2016, Cost $3,031,160) (1) | 3,045,000 | 3,007,483 |
Principal Amount | Value | |||||||
Liberty Property LP | ||||||||
4.13%, 06/15/2022 | 2,000,000 | 2,080,998 | ||||||
Lloyds Banking Group Plc | ||||||||
4.50%, 11/04/2024 | 2,825,000 | 2,864,284 | ||||||
4.65%, 03/24/2026 | 2,700,000 | 2,731,091 | ||||||
MetLife, Inc. | ||||||||
6.40%, 12/15/2066 | 1,000,000 | 1,080,000 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.55%, 09/13/2019 (Acquired 09/08/2016, Cost $6,956,011) (1) | 6,965,000 | 6,856,478 | ||||||
1.95%, 09/15/2021 (Acquired 09/08/2016, Cost $3,269,874) (1) | 3,275,000 | 3,180,847 | ||||||
Metropolitan Life Insurance Co. | ||||||||
7.80%, 11/01/2025 (Acquired 07/07/2016, Cost $2,921,776) (1) | 2,250,000 | 2,827,811 | ||||||
Morgan Stanley | ||||||||
5.45%, 01/09/2017 | 2,500,000 | 2,501,230 | ||||||
5.55%, 04/27/2017 | 1,967,000 | 1,993,008 | ||||||
5.95%, 12/28/2017 | 6,145,000 | 6,395,470 | ||||||
6.63%, 04/01/2018 | 4,000,000 | 4,229,552 | ||||||
2.45%, 02/01/2019 | 1,393,000 | 1,402,061 | ||||||
7.30%, 05/13/2019 | 2,000,000 | 2,227,686 | ||||||
2.80%, 06/16/2020 | 2,752,000 | 2,772,582 | ||||||
2.63%, 11/17/2021 | 2,425,000 | 2,393,485 | ||||||
4.88%, 11/01/2022 | 1,263,000 | 1,352,136 | ||||||
3.75%, 02/25/2023 | 5,000,000 | 5,130,595 | ||||||
4.10%, 05/22/2023 | 3,750,000 | 3,845,531 | ||||||
3.70%, 10/23/2024 | 565,000 | 571,027 | ||||||
5.00%, 11/24/2025 | 7,275,000 | 7,761,581 | ||||||
3.88%, 01/27/2026 | 3,025,000 | 3,051,336 | ||||||
3.13%, 07/27/2026 | 900,000 | 858,560 | ||||||
3.95%, 04/23/2027 | 5,715,000 | 5,648,677 | ||||||
MPT Operating Partnership LP / MPT Finance Corp. | ||||||||
5.25%, 08/01/2026 | 100,000 | 98,000 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/2017 | 4,535,000 | 4,558,627 | ||||||
Nationwide Building Society | ||||||||
3.90%, 07/21/2025 (Acquired 07/14/2015 through 07/19/2016, Cost $3,364,090) (1) | 3,205,000 | 3,293,679 | ||||||
4.00%, 09/14/2026 (Acquired 09/07/2016 through 09/16/2016, Cost $2,518,043) (1) | 2,525,000 | 2,402,250 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
3.25%, 12/15/2024 (Acquired 09/29/2015, Cost $1,012,944) (1) | 1,050,000 | 1,033,451 | ||||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp. | ||||||||
5.88%, 03/15/2022 (Acquired 07/13/2015 through 06/20/2016, Cost $2,976,588) (1) | 2,880,000 | 2,977,200 | ||||||
4.88%, 04/15/2045 (Acquired 07/22/2015 through 08/31/2016, Cost $3,007,185) (1) | 3,399,000 | 2,693,742 | ||||||
New York Life Global Funding | ||||||||
1.55%, 11/02/2018 (Acquired 10/27/2015, Cost $1,998,234) (1) | 2,000,000 | 1,993,888 | ||||||
1.50%, 10/24/2019 (Acquired 10/17/2016, Cost $7,228,237) (1) | 7,230,000 | 7,129,669 | ||||||
2.35%, 07/14/2026 (Acquired 07/11/2016, Cost $2,998,217) (1) | 3,000,000 | 2,791,560 | ||||||
Old Republic International Corp. | ||||||||
4.88%, 10/01/2024 | 1,600,000 | 1,665,109 | ||||||
3.88%, 08/26/2026 | 4,305,000 | 4,089,065 | ||||||
Post Apartment Homes LP | ||||||||
4.75%, 10/15/2017 | 91,000 | 92,390 | ||||||
Pricoa Global Funding I | ||||||||
2.20%, 06/03/2021 (Acquired 05/26/2016, Cost $1,997,497) (1) | 2,000,000 | 1,962,684 |
Principal Amount | Value | |||||||
2.55%, 11/24/2020 (Acquired 11/17/2015, Cost $1,555,000) (1) | 1,555,000 | 1,554,084 | ||||||
Principal Financial Group, Inc. | ||||||||
4.70%, 05/15/2055 | 1,435,000 | 1,406,300 | ||||||
Prologis LP | ||||||||
3.75%, 11/01/2025 | 1,325,000 | 1,355,880 | ||||||
Protective Life Global Funding | ||||||||
1.50%, 06/08/2018 (Acquired 06/07/2016, Cost $4,000,000) (1) | 4,000,000 | 4,000,540 | ||||||
2.70%, 11/25/2020 (Acquired 11/19/2015, Cost $1,948,643) (1) | 1,950,000 | 1,951,308 | ||||||
Quicken Loans, Inc. | ||||||||
5.75%, 05/01/2025 (Acquired 07/22/2015 through 11/12/2015, Cost $787,700) (1) | 815,000 | 792,588 | ||||||
Raymond James Financial, Inc. | ||||||||
5.63%, 04/01/2024 | 3,306,000 | 3,677,409 | ||||||
3.63%, 09/15/2026 | 3,252,000 | 3,166,749 | ||||||
Reinsurance Group of America, Inc. | ||||||||
5.00%, 06/01/2021 | 500,000 | 539,868 | ||||||
4.70%, 09/15/2023 | 1,000,000 | 1,059,178 | ||||||
Retail Opportunity Investments Partnership LP | ||||||||
4.00%, 12/15/2024 | 895,000 | 857,161 | ||||||
Royal Bank of Canada | ||||||||
1.20%, 09/19/2018 | 2,840,000 | 2,836,189 | ||||||
Royal Bank of Scotland Group Plc | ||||||||
6.13%, 12/15/2022 | 3,025,000 | 3,213,155 | ||||||
6.00%, 12/19/2023 | 960,000 | 996,125 | ||||||
5.13%, 05/28/2024 | 375,000 | 373,490 | ||||||
4.80%, 04/05/2026 | 4,255,000 | 4,254,047 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
3.88%, 09/12/2023 | 1,530,000 | 1,467,555 | ||||||
Santander Holdings USA, Inc. | ||||||||
4.50%, 07/17/2025 | 1,644,000 | 1,631,627 | ||||||
Santander Issuances SAU | ||||||||
5.18%, 11/19/2025 | 2,400,000 | 2,419,445 | ||||||
Santander UK Group Holdings Plc | ||||||||
2.88%, 10/16/2020 | 1,135,000 | 1,124,775 | ||||||
2.88%, 08/05/2021 | 4,430,000 | 4,331,897 | ||||||
4.75%, 09/15/2025 (Acquired 09/08/2015, Cost $1,022,467) (1) | 1,025,000 | 1,003,476 | ||||||
Santander UK Plc | ||||||||
1.38%, 03/13/2017 | 1,500,000 | 1,500,401 | ||||||
5.00%, 11/07/2023 (Acquired 07/13/2015 through 05/24/2016, Cost $3,596,787) (1) | 3,492,000 | 3,552,495 | ||||||
Scottrade Financial Services, Inc. | ||||||||
6.13%, 07/11/2021 (Acquired 05/03/2016 through 10/14/2016, Cost $852,337) (1) | 806,000 | 910,512 | ||||||
Simon Property Group LP | ||||||||
2.50%, 09/01/2020 | 1,530,000 | 1,540,406 | ||||||
3.30%, 01/15/2026 | 1,025,000 | 1,018,495 | ||||||
Sirius International Group Ltd | ||||||||
4.60%, 11/01/2026 (Acquired 11/21/2016 through 12/08/2016, Cost $997,338) (1) | 1,055,000 | 994,232 | ||||||
SL Green Realty Corp. | ||||||||
5.00%, 08/15/2018 | 1,963,000 | 2,044,123 | ||||||
7.75%, 03/15/2020 | 1,398,000 | 1,577,288 | ||||||
Societe Generale SA | ||||||||
4.25%, 04/14/2025 (Acquired 07/13/2015 through 08/31/2015, Cost $4,083,906) (1) | 4,300,000 | 4,166,188 | ||||||
4.25%, 04/14/2025 | 5,550,000 | 5,377,290 | ||||||
SVB Financial Group | ||||||||
5.38%, 09/15/2020 | 2,649,000 | 2,868,184 |
Principal Amount | Value | |||||||
Synchrony Financial | ||||||||
2.60%, 01/15/2019 | 585,000 | 587,761 | ||||||
3.00%, 08/15/2019 | 2,593,000 | 2,625,467 | ||||||
4.50%, 07/23/2025 | 3,357,000 | 3,443,856 | ||||||
TD Ameritrade Holding Corp. | ||||||||
2.95%, 04/01/2022 | 2,773,000 | 2,804,706 | ||||||
3.63%, 04/01/2025 | 4,197,000 | 4,255,435 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.38%, 09/15/2054 (Acquired 11/09/2015 through 06/02/2016, Cost $4,434,120) (1) | 4,500,000 | 4,415,625 | ||||||
Thomson Reuters Corp. | ||||||||
3.35%, 05/15/2026 | 325,000 | 315,255 | ||||||
Toronto-Dominion Bank/The | ||||||||
3.63%, 09/15/2031 | 395,000 | 388,099 | ||||||
Trinity Acquisition PLC | ||||||||
3.50%, 09/15/2021 | 200,000 | 201,769 | ||||||
UBS AG | ||||||||
4.75%, 05/22/2023 | 1,853,000 | 1,890,060 | ||||||
UBS AG/Jersey | ||||||||
7.25%, 02/22/2022 | 200,000 | 201,183 | ||||||
UBS Group Funding Jersey Ltd. | ||||||||
4.13%, 09/24/2025 (Acquired 09/21/2015 through 10/13/2016, Cost $2,908,614) (1) | 2,825,000 | 2,875,601 | ||||||
Unum Group | ||||||||
3.00%, 05/15/2021 | 290,000 | 288,902 | ||||||
3.88%, 11/05/2025 | 4,925,000 | 4,806,938 | ||||||
Ventas Realty LP | ||||||||
1.25%, 04/17/2017 | 3,500,000 | 3,498,334 | ||||||
3.25%, 10/15/2026 | 2,000,000 | 1,894,708 | ||||||
VEREIT Operating Partnership LP | ||||||||
3.00%, 02/06/2019 | 800,000 | 798,000 | ||||||
4.88%, 06/01/2026 | 2,610,000 | 2,643,539 | ||||||
Visa, Inc. | ||||||||
4.30%, 12/14/2045 | 2,880,000 | 3,033,599 | ||||||
Voya Financial, Inc. | ||||||||
5.65%, 05/15/2053 | 1,832,000 | 1,804,520 | ||||||
Wachovia Co. | ||||||||
5.75%, 02/01/2018 | 5,000,000 | 5,212,375 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance Plc | ||||||||
1.75%, 09/15/2017 (Acquired 06/03/2016, Cost $3,692,127) (1) | 3,690,000 | 3,692,170 | ||||||
2.70%, 09/17/2019 (Acquired 07/31/2015 through 06/01/2016, Cost $4,807,336) (1) | 4,789,000 | 4,841,645 | ||||||
3.25%, 10/05/2020 (Acquired 09/28/2015 through 01/06/2016, Cost $844,672) (1) | 845,000 | 859,000 | ||||||
3.75%, 09/17/2024 (Acquired 06/28/2016, Cost $1,638,482) (1) | 1,570,000 | 1,585,045 | ||||||
Weingarten Realty Investors | ||||||||
3.25%, 08/15/2026 | 1,665,000 | 1,568,402 | ||||||
Wells Fargo & Co. | ||||||||
2.10%, 05/08/2017 | 1,057,000 | 1,059,979 | ||||||
2.60%, 07/22/2020 | 310,000 | 311,567 | ||||||
2.50%, 03/04/2021 | 2,500,000 | 2,479,390 | ||||||
2.10%, 07/26/2021 | 1,580,000 | 1,536,010 | ||||||
3.00%, 04/22/2026 | 6,747,000 | 6,429,122 | ||||||
5.88%, 12/31/2049 | 2,036,000 | 2,137,596 | ||||||
Wells Fargo Bank NA | ||||||||
6.00%, 11/15/2017 | 2,000,000 | 2,075,460 |
Principal Amount | Value | |||||||
Welltower, Inc. | ||||||||
4.70%, 09/15/2017 | 1,971,000 | 2,013,262 | ||||||
2.25%, 03/15/2018 | 2,812,000 | 2,823,656 | ||||||
4.00%, 06/01/2025 | 4,690,000 | 4,787,078 | ||||||
|
| |||||||
627,841,398 | ||||||||
|
| |||||||
Industrials – 1.99% | ||||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 08/04/2015 through 07/21/2016, Cost $1,625,125) (1) | 1,610,000 | 1,589,051 | ||||||
Amcor Finance USA, Inc. | ||||||||
3.63%, 04/28/2026 (Acquired 06/08/2016 through 10/05/2016, Cost $3,063,705) (1) | 2,990,000 | 2,924,453 | ||||||
Arconic, Inc. | ||||||||
5.87%, 02/23/2022 | 550,000 | 588,500 | ||||||
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc. | ||||||||
3.96%, 12/15/2019 (Acquired 09/21/2015, Cost $395,690) (1) | 400,000 | 406,000 | ||||||
4.16%, 05/15/2021 (Acquired 04/29/2016, Cost $199,075) (1) | 200,000 | 206,000 | ||||||
4.63%, 05/15/2023 (Acquired 05/02/2016, Cost $450,000) (1) | 450,000 | 444,375 | ||||||
Arrow Electronics, Inc. | ||||||||
4.00%, 04/01/2025 | 2,150,000 | 2,092,137 | ||||||
Autoridad del Canal de Panama | ||||||||
4.95%, 07/29/2035 (Acquired 09/24/2015, Cost $196,582) (1) | 200,000 | 211,000 | ||||||
Aviation Capital Group Corp. | ||||||||
4.88%, 10/01/2025 (Acquired 06/28/2016 through 08/11/2016, Cost $2,808,468) (1) | 2,789,000 | 2,956,340 | ||||||
Avnet, Inc. | ||||||||
4.63%, 04/15/2026 | 5,695,000 | 5,541,281 | ||||||
Ball Corp. | ||||||||
4.38%, 12/15/2020 | 2,834,000 | 2,961,530 | ||||||
Brambles USA, Inc. | ||||||||
4.13%, 10/23/2025 (Acquired 10/19/2015, Cost $833,172) (1) | 835,000 | 848,980 | ||||||
CCCI Treasure Ltd. | ||||||||
3.50%, 12/29/2049 | 200,000 | 200,665 | ||||||
Clean Harbors, Inc. | ||||||||
5.13%, 06/01/2021 | 930,000 | 951,111 | ||||||
CNH Industrial Capital LLC | ||||||||
3.63%, 04/15/2018 | 1,499,000 | 1,517,737 | ||||||
CRCC Yupeng Ltd. | ||||||||
3.95%, 02/28/2049 | 200,000 | 204,215 | ||||||
Eagle Materials, Inc. | ||||||||
4.50%, 08/01/2026 | 200,000 | 199,500 | ||||||
Embraer Overseas Ltd. | ||||||||
5.70%, 09/16/2023 (Acquired 07/13/2015, Cost $1,419,915) (1) | 1,350,000 | 1,410,750 | ||||||
Flex Ltd | ||||||||
5.00%, 02/15/2023 | 2,095,000 | 2,232,082 | ||||||
General Electric Co. | ||||||||
5.00%, 12/29/2049 | 8,886,000 | 9,221,002 | ||||||
Graphic Packaging International, Inc. | ||||||||
4.13%, 08/15/2024 | 850,000 | 811,750 | ||||||
Grinding Media Inc / MC Grinding Media Canada, Inc. | ||||||||
7.38%, 12/15/2023 (Acquired 12/02/2016 through 12/07/2016, Cost $350,000) (1) | 350,000 | 367,710 | ||||||
Jabil Circuit, Inc. | ||||||||
4.70%, 09/15/2022 | 2,120,000 | 2,162,400 | ||||||
LafargeHolcim Finance US LLC | ||||||||
3.50%, 09/22/2026 (Acquired 09/15/2016, Cost $404,668) (1) | 405,000 | 391,825 | ||||||
Lockheed Martin Corp. | ||||||||
2.90%, 03/01/2025 | 5,635,000 | 5,509,571 |
Principal Amount | Value | |||||||
3.55%, 01/15/2026 | 1,660,000 | 1,693,716 | ||||||
Martin Marietta Materials, Inc. | ||||||||
4.25%, 07/02/2024 | 1,235,000 | 1,253,355 | ||||||
Masco Corp. | ||||||||
3.50%, 04/01/2021 | 2,118,000 | 2,123,295 | ||||||
4.45%, 04/01/2025 | 4,700,000 | 4,770,500 | ||||||
4.38%, 04/01/2026 | 221,000 | 224,772 | ||||||
NCI Building Systems, Inc. | ||||||||
8.25%, 01/15/2023 (Acquired 07/13/2015 through 07/22/2015, Cost $125,667) (1) | 120,000 | 129,600 | ||||||
Owens Corning | ||||||||
4.20%, 12/15/2022 | 35,000 | 36,310 | ||||||
4.20%, 12/01/2024 | 5,992,000 | 6,130,583 | ||||||
3.40%, 08/15/2026 | 1,019,000 | 966,555 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp. | ||||||||
3.38%, 03/15/2018 (Acquired 07/14/2015 through 09/27/2016, Cost $2,281,267) (1) | 2,236,000 | 2,274,862 | ||||||
2.50%, 06/15/2019 (Acquired 07/22/2015 through 06/08/2016, Cost $790,542) (1) | 793,000 | 794,722 | ||||||
4.88%, 07/11/2022 (Acquired 05/31/2016 through 06/21/2016, Cost $1,040,853) (1) | 968,000 | 1,037,695 | ||||||
4.25%, 01/17/2023 (Acquired 07/22/2015, Cost $719,787) (1) | 710,000 | 736,690 | ||||||
Reliance Intermediate Holdings LP | ||||||||
6.50%, 04/01/2023 (Acquired 07/13/2015 through 08/17/2015, Cost $226,915) (1) | 220,000 | 231,550 | ||||||
Republic Services, Inc. | ||||||||
2.90%, 07/01/2026 | 3,000,000 | 2,871,651 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
5.75%, 10/15/2020 | 300,000 | 309,375 | ||||||
4.38%, 07/15/2021 (Acquired 06/13/2016, Cost $1,188,648) (1) | 1,200,000 | 1,227,000 | ||||||
Roper Technologies, Inc. | ||||||||
3.00%, 12/15/2020 | 2,140,000 | 2,166,151 | ||||||
SBA Communications Corp. | ||||||||
4.88%, 09/01/2024 (Acquired 08/01/2016 through 09/27/2016, Cost $1,164,014) (1) | 1,172,000 | 1,157,350 | ||||||
SBA Tower Trust | ||||||||
2.90%, 10/15/2044 (Acquired 07/14/2015 through 07/30/2015, Cost $1,668,236) (1) | 1,650,000 | 1,661,707 | ||||||
2.88%, 07/15/2046 (Acquired 06/21/2016, Cost $3,000,000) (1) | 3,000,000 | 2,974,440 | ||||||
3.87%, 10/15/2049 (Acquired 09/02/2015, Cost $836,109) (1) | 830,000 | 834,917 | ||||||
Sealed Air Corp. | ||||||||
5.25%, 04/01/2023 (Acquired 10/28/2016, Cost $898,763) (1) | 850,000 | 881,875 | ||||||
5.50%, 09/15/2025 (Acquired 11/29/2016, Cost $881,643) (1) | 850,000 | 877,625 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
2.35%, 10/15/2026 (Acquired 09/06/2016, Cost $3,245,925) (1) | 3,255,000 | 3,008,121 | ||||||
Spirit AeroSystems, Inc. | ||||||||
3.85%, 06/15/2026 | 195,000 | 192,104 | ||||||
Trimble, Inc. | ||||||||
4.75%, 12/01/2024 | 3,641,000 | 3,682,861 | ||||||
United Technologies Co. | ||||||||
1.78%, 05/04/2018 | 5,768,000 | 5,768,427 | ||||||
Vulcan Materials Co. | ||||||||
7.00%, 06/15/2018 | 185,000 | 197,487 | ||||||
7.50%, 06/15/2021 | 1,640,000 | 1,931,100 | ||||||
4.50%, 04/01/2025 | 2,687,000 | 2,807,915 | ||||||
Wabtec Corp/DE | ||||||||
3.45%, 11/15/2026 (Acquired 10/31/2016 through 12/02/2016, Cost $3,486,747) (1) | 3,585,000 | 3,440,937 | ||||||
Xylem, Inc./NY | ||||||||
3.25%, 11/01/2026 | 684,000 | 663,191 | ||||||
|
| |||||||
105,008,404 | ||||||||
|
|
Principal Amount | Value | |||||||
Real Estate – 0.79% | ||||||||
Alexandria Real Estate Equities, Inc. | ||||||||
2.75%, 01/15/2020 | 1,827,000 | 1,821,660 | ||||||
4.60%, 04/01/2022 | 2,625,000 | 2,774,423 | ||||||
3.95%, 01/15/2027 | 2,555,000 | 2,539,892 | ||||||
4.50%, 07/30/2029 | 636,000 | 635,251 | ||||||
American Tower Corp. | ||||||||
3.30%, 02/15/2021 | 3,098,000 | 3,130,774 | ||||||
3.45%, 09/15/2021 | 110,000 | 111,320 | ||||||
3.50%, 01/31/2023 | 717,000 | 718,419 | ||||||
4.40%, 02/15/2026 | 1,177,000 | 1,201,118 | ||||||
3.38%, 10/15/2026 | 3,487,000 | 3,296,174 | ||||||
Crown Castle International Corp. | ||||||||
4.45%, 02/15/2026 | 1,550,000 | 1,601,478 | ||||||
3.70%, 06/15/2026 | 3,225,000 | 3,160,884 | ||||||
DDR Corp. | ||||||||
3.63%, 02/01/2025 | 2,225,000 | 2,149,659 | ||||||
4.25%, 02/01/2026 | 5,735,000 | 5,759,357 | ||||||
HCP, Inc. | ||||||||
4.00%, 12/01/2022 | 1,900,000 | 1,953,749 | ||||||
4.00%, 06/01/2025 | 3,240,000 | 3,216,591 | ||||||
Howard Hughes Corp./The | ||||||||
6.88%, 10/01/2021 (Acquired 04/26/2016, Cost $457,392) (1) | 450,000 | 474,210 | ||||||
Jones Lang LaSalle, Inc. | ||||||||
4.40%, 11/15/2022 | 1,270,000 | 1,308,099 | ||||||
Kimco Realty Corp. | ||||||||
3.40%, 11/01/2022 | 150,000 | 152,050 | ||||||
Realty Income Corp. | ||||||||
2.00%, 01/31/2018 | 5,000,000 | 5,013,575 | ||||||
Senior Housing Properties Trust | ||||||||
6.75%, 12/15/2021 | 603,000 | 674,281 | ||||||
|
| |||||||
41,692,964 | ||||||||
|
| |||||||
Technology – 1.76% | ||||||||
Apple, Inc. | ||||||||
1.00%, 05/03/2018 | 3,000,000 | 2,988,318 | ||||||
2.10%, 05/06/2019 | 2,030,000 | 2,048,747 | ||||||
1.10%, 08/02/2019 | 2,245,000 | 2,210,465 | ||||||
2.40%, 05/03/2023 | 2,780,000 | 2,703,911 | ||||||
4.38%, 05/13/2045 | 785,000 | 804,815 | ||||||
4.65%, 02/23/2046 | 1,250,000 | 1,347,091 | ||||||
3.85%, 08/04/2046 | 1,575,000 | 1,505,839 | ||||||
Autodesk, Inc. | ||||||||
4.38%, 06/15/2025 | 4,610,000 | 4,729,731 | ||||||
Cadence Design Systems, Inc. | ||||||||
4.38%, 10/15/2024 | 3,153,000 | 3,087,960 | ||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | ||||||||
6.02%, 06/15/2026 (Acquired 05/17/2016 through 08/03/2016, Cost $6,445,473) (1) | 6,315,000 | 6,832,135 | ||||||
Evolent Health, Inc. | ||||||||
2.00%, 12/01/2021 (Acquired 11/30/2016, Cost $810,000) (1) | 810,000 | 777,094 | ||||||
Fidelity National Information Services, Inc. | ||||||||
3.63%, 10/15/2020 | 1,990,000 | 2,058,663 | ||||||
5.00%, 03/15/2022 | 655,000 | 673,058 | ||||||
4.50%, 10/15/2022 | 1,274,000 | 1,358,350 |
Principal Amount | Value | |||||||
3.00%, 08/15/2026 | 7,878,000 | 7,397,348 | ||||||
First Data Corp. | ||||||||
5.38%, 08/15/2023 (Acquired 08/21/2015, Cost $251,889) (1) | 250,000 | 259,375 | ||||||
7.00%, 12/01/2023 (Acquired 10/29/2015 through 06/30/2016, Cost $634,744) (1) | 635,000 | 676,275 | ||||||
5.00%, 01/15/2024 (Acquired 06/02/2016 through 12/14/2016, Cost $2,111,359) (1) | 2,100,000 | 2,111,172 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
5.15%, 10/15/2025 (Acquired 08/15/2016, Cost $3,418,272) (1) | 3,440,000 | 3,534,638 | ||||||
KLA-Tencor Corp. | ||||||||
4.65%, 11/01/2024 | 2,500,000 | 2,643,445 | ||||||
Microsoft Corp. | ||||||||
1.10%, 08/08/2019 | 7,390,000 | 7,287,323 | ||||||
2.40%, 08/08/2026 | 3,165,000 | 2,987,086 | ||||||
3.75%, 02/12/2045 | 650,000 | 608,262 | ||||||
4.45%, 11/03/2045 | 1,100,000 | 1,169,574 | ||||||
Nuance Communications, Inc. | ||||||||
1.00%, 12/15/2035 | 3,615,000 | 3,264,797 | ||||||
NXP BV / NXP Funding LLC | ||||||||
4.13%, 06/15/2020 (Acquired 11/22/2016 through 11/28/2016, Cost $478,847) (1) | 459,000 | 475,065 | ||||||
4.13%, 06/01/2021 (Acquired 05/18/2016, Cost $2,944,306) (1) | 2,828,000 | 2,919,910 | ||||||
3.88%, 09/01/2022 (Acquired 08/08/2016 through 12/22/2016, Cost $5,835,275) (1) | 5,747,000 | 5,818,838 | ||||||
4.63%, 06/01/2023 (Acquired 11/17/2016 through 12/06/2016, Cost $1,783,810) (1) | 1,690,000 | 1,774,500 | ||||||
Oracle Corp. | ||||||||
2.40%, 09/15/2023 | 3,070,000 | 2,970,719 | ||||||
Quintiles IMS, Inc. | ||||||||
5.00%, 10/15/2026 (Acquired 09/14/2016 through 10/11/2016, Cost $500,000) (1) | 500,000 | 501,250 | ||||||
Seagate HDD Cayman | ||||||||
4.75%, 01/01/2025 | 3,297,000 | 3,141,036 | ||||||
4.88%, 06/01/2027 | 855,000 | 769,446 | ||||||
5.75%, 12/01/2034 | 252,000 | 214,830 | ||||||
TSMC Global Ltd. | ||||||||
1.63%, 04/03/2018 (Acquired 07/13/2015 through 11/16/2016, Cost $7,270,402) (1) | 7,271,000 | 7,241,618 | ||||||
Western Digital Corp. | ||||||||
7.38%, 04/01/2023 (Acquired 03/30/2016 through 06/16/2016, Cost $1,052,276) (1) | 1,025,000 | 1,127,500 | ||||||
10.50%, 04/01/2024 (Acquired 03/30/2016, Cost $512,800) (1) | 500,000 | 591,250 | ||||||
|
| |||||||
92,611,434 | ||||||||
|
| |||||||
Utilities – 1.93% | ||||||||
AEP Texas Central Co. | ||||||||
3.85%, 10/01/2025 (Acquired 09/15/2015, Cost $1,486,914) (1) | 1,500,000 | 1,538,025 | ||||||
American Electric Power Co., Inc. | ||||||||
1.65%, 12/15/2017 | 1,400,000 | 1,400,382 | ||||||
Black Hills Corp. | ||||||||
2.50%, 01/11/2019 | 1,555,000 | 1,560,656 | ||||||
Cleco Power LLC | ||||||||
6.00%, 12/01/2040 | 1,000,000 | 1,214,110 | ||||||
Commonwealth Edison Co. | ||||||||
3.65%, 06/15/2046 | 3,610,000 | 3,385,158 | ||||||
Dominion Resources Inc/VA | ||||||||
1.88%, 12/15/2018 (Acquired 12/12/2016, Cost $4,497,934) (1) | 4,500,000 | 4,478,130 | ||||||
Dominion Resources, Inc./VA | ||||||||
2.00%, 08/15/2021 | 312,000 | 302,287 | ||||||
3.90%, 10/01/2025 | 2,480,000 | 2,528,613 | ||||||
2.85%, 08/15/2026 | 428,000 | 400,102 |
Principal Amount | Value | |||||||
Duke Energy Corp. | ||||||||
1.80%, 09/01/2021 | 839,000 | 807,446 | ||||||
2.65%, 09/01/2026 | 4,753,000 | 4,429,316 | ||||||
3.75%, 09/01/2046 | 1,420,000 | 1,275,583 | ||||||
Duke Energy Progress LLC | ||||||||
4.10%, 03/15/2043 | 900,000 | 898,111 | ||||||
4.20%, 08/15/2045 | 1,000,000 | 1,015,466 | ||||||
Duquesne Light Holdings, Inc. | ||||||||
6.40%, 09/15/2020 (Acquired 07/21/2015, Cost $444,914) (1) | 400,000 | 445,998 | ||||||
5.90%, 12/01/2021 (Acquired 10/01/2015, Cost $1,670,627) (1) | 1,500,000 | 1,676,598 | ||||||
Emera US Finance LP | ||||||||
2.70%, 06/15/2021 (Acquired 06/09/2016, Cost $3,397,038) (1) | 3,400,000 | 3,362,474 | ||||||
Enel Finance International NV | ||||||||
6.00%, 10/07/2039 (Acquired 07/22/2015, Cost $2,778,707) (1) | 2,445,000 | 2,727,129 | ||||||
Entergy Corp. | ||||||||
5.13%, 09/15/2020 | 1,250,000 | 1,346,529 | ||||||
Exelon Corp. | ||||||||
2.85%, 06/15/2020 | 1,890,000 | 1,909,091 | ||||||
Exelon Generation Co. LLC | ||||||||
2.95%, 01/15/2020 | 1,925,000 | 1,946,918 | ||||||
FirstEnergy Transmission LLC | ||||||||
4.35%, 01/15/2025 (Acquired 07/21/2015 through 11/15/2016, Cost $3,653,722) (1) | 3,535,000 | 3,653,129 | ||||||
Florida Power & Light Co. | ||||||||
4.05%, 10/01/2044 | 350,000 | 357,869 | ||||||
Indiana Michigan Power Co. | ||||||||
7.00%, 03/15/2019 | 1,397,000 | 1,539,013 | ||||||
Indianapolis Power & Light Co. | ||||||||
4.70%, 09/01/2045 (Acquired 09/08/2015, Cost $994,848) (1) | 1,000,000 | 1,051,599 | ||||||
IPALCO Enterprises, Inc. | ||||||||
5.00%, 05/01/2018 | 1,520,000 | 1,569,400 | ||||||
ITC Holdings Corp. | ||||||||
3.25%, 06/30/2026 | 2,000,000 | 1,940,032 | ||||||
Jersey Central Power & Light Co | ||||||||
5.65%, 06/01/2017 | 2,075,000 | 2,107,501 | ||||||
4.70%, 04/01/2024 (Acquired 12/07/2016 through 12/09/2016, Cost $162,701) (1) | 150,000 | 159,424 | ||||||
4.30%, 01/15/2026 (Acquired 06/28/2016, Cost $1,069,238) (1) | 1,000,000 | 1,033,874 | ||||||
Jersey Central Power & Light Co. | ||||||||
4.80%, 06/15/2018 | 2,000,000 | 2,066,816 | ||||||
Kansas City Power & Light Co. | ||||||||
3.65%, 08/15/2025 | 1,700,000 | 1,699,694 | ||||||
KeySpan Gas East Corp. | ||||||||
2.74%, 08/15/2026 (Acquired 08/02/2016, Cost $4,500,000) (1) | 4,500,000 | 4,265,518 | ||||||
MidAmerican Energy Co. | ||||||||
4.25%, 05/01/2046 | 949,000 | 975,375 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.06%, 09/01/2017 | 1,000,000 | 1,004,373 | ||||||
1.65%, 09/01/2018 | 3,230,000 | 3,219,286 | ||||||
2.40%, 09/15/2019 | 793,000 | 797,131 | ||||||
NGL Energy Partners LP / NGL Energy Finance Corp. | ||||||||
7.50%, 11/01/2023 (Acquired 10/19/2016 through 10/20/2016, Cost $609,823) (1) | 600,000 | 619,500 | ||||||
Northern States Power Co./MN | ||||||||
4.00%, 08/15/2045 | 1,000,000 | 994,099 | ||||||
NRG Energy, Inc. | ||||||||
6.63%, 03/15/2023 | 1,275,000 | 1,278,187 |
Principal Amount | Value | |||||||
Oncor Electric Delivery Co. LLC | ||||||||
5.00%, 09/30/2017 | 862,000 | 884,702 | ||||||
Origin Energy Finance Ltd. | ||||||||
3.50%, 10/09/2018 (Acquired 08/05/2015, Cost $1,173,134) (1) | 1,160,000 | 1,173,433 | ||||||
Perusahaan Gas Negara Persero Tbk | ||||||||
5.13%, 05/16/2024 | 200,000 | 205,444 | ||||||
5.13%, 05/16/2024 | 1,300,000 | 1,335,389 | ||||||
PPL WEM Ltd. / Western Power Distribution Ltd. | ||||||||
5.38%, 05/01/2021 (Acquired 07/14/2015 through 06/20/2016, Cost $2,183,660) (1) | 1,991,000 | 2,146,638 | ||||||
Public Service Co. of New Mexico | ||||||||
3.85%, 08/01/2025 | 2,000,000 | 2,070,632 | ||||||
Puget Energy, Inc. | ||||||||
6.50%, 12/15/2020 | 2,903,000 | 3,270,348 | ||||||
Sempra Energy | ||||||||
2.85%, 11/15/2020 | 375,000 | 377,600 | ||||||
Southern Co Gas Capital Corp. | ||||||||
3.50%, 09/15/2021 | 3,250,000 | 3,337,331 | ||||||
Southern Co./The | ||||||||
2.35%, 07/01/2021 | 3,937,000 | 3,865,752 | ||||||
2.95%, 07/01/2023 | 6,090,000 | 6,003,059 | ||||||
3.25%, 07/01/2026 | 4,035,000 | 3,921,201 | ||||||
Southwestern Electric Power Co. | ||||||||
6.20%, 03/15/2040 | 1,000,000 | 1,198,538 | ||||||
3.90%, 04/01/2045 | 400,000 | 371,812 | ||||||
Tucson Electric Power Co. | ||||||||
3.05%, 03/15/2025 | 3,000,000 | 2,850,522 | ||||||
|
| |||||||
101,992,343 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $1,871,319,681) | $ | 1,862,210,516 | ||||||
|
| |||||||
Government Related – 23.61% | ||||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | 650,000 | $ | 884,773 | |||||
Bermuda Government International Bond | ||||||||
4.85%, 02/06/2024 (Acquired 05/25/2016, Cost $411,984) (1) | 385,000 | 400,080 | ||||||
California Health Facilities Financing Authority | ||||||||
4.00%, 10/01/2047 | 2,750,000 | 2,678,582 | ||||||
City of New York NY | ||||||||
6.27%, 12/01/2037 | 2,050,000 | 2,662,479 | ||||||
Commonwealth of Massachusetts | ||||||||
4.91%, 05/01/2029 | 2,460,000 | 2,840,045 | ||||||
East Bay Municipal Utility District Water System Revenue | ||||||||
5.87%, 06/01/2040 | 985,000 | 1,221,873 | ||||||
European Investment Bank | ||||||||
1.75%, 06/17/2019 | 2,850,000 | 2,856,145 | ||||||
Indonesia Government International Bond | ||||||||
3.70%, 01/08/2022 (Acquired 12/01/2016 through 12/13/2016, Cost $269,379) (1) | 270,000 | 270,607 | ||||||
International Bank for Reconstruction & Development | ||||||||
4.50%, 08/03/2017 | 19,170,000,000 | 6,289,957 | ||||||
International Finance Corp. | ||||||||
7.80%, 06/03/2019 | 621,230,000 | 9,514,659 | ||||||
Metropolitan Transportation Authority | ||||||||
7.34%, 11/15/2039 | 475,000 | 690,588 | ||||||
Metropolitan Water Reclamation District of Greater Chicago | ||||||||
5.72%, 12/01/2038 | 1,000,000 | 1,196,900 |
Principal Amount | Value | |||||||
Mexican Bonos | ||||||||
4.75%, 06/14/2018 | 402,132 | 1,883,722 | ||||||
5.00%, 12/11/2019 | 1,281,000 | 5,863,328 | ||||||
6.50%, 06/10/2021 | 220,550 | 1,037,470 | ||||||
10.00%, 12/05/2024 | 1,087,950 | 6,073,409 | ||||||
5.75%, 03/05/2026 | 987,571 | 4,227,085 | ||||||
7.75%, 11/13/2042 | 615,000 | 2,922,198 | ||||||
Mexico Government International Bond | ||||||||
4.00%, 10/02/2023 | 324,000 | 324,745 | ||||||
3.60%, 01/30/2025 | 1,060,000 | 1,021,840 | ||||||
4.13%, 01/21/2026 | 915,000 | 907,680 | ||||||
Morocco Government International Bond | ||||||||
4.25%, 12/11/2022 (Acquired 07/22/2015 through 07/30/2015, Cost $505,244) (1) | 495,000 | 504,524 | ||||||
New Jersey Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 1,000,000 | 1,399,150 | ||||||
New York City Water & Sewer System | ||||||||
5.75%, 06/15/2041 | 240,000 | 302,940 | ||||||
5.95%, 06/15/2042 | 810,000 | 1,044,252 | ||||||
5.88%, 06/15/2044 | 500,000 | 646,795 | ||||||
New York State Dormitory Authority | ||||||||
3.88%, 07/01/2046 | 1,650,000 | 1,538,493 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.35%, 09/10/2024 | 400,000 | 401,520 | ||||||
Province of Manitoba Canada | ||||||||
3.05%, 05/14/2024 | 430,000 | 437,634 | ||||||
Province of Ontario Canada | ||||||||
1.20%, 02/14/2018 | 9,850,000 | 9,826,547 | ||||||
2.00%, 01/30/2019 | 6,880,000 | 6,923,495 | ||||||
2.50%, 09/10/2021 | 945,000 | 951,381 | ||||||
South Carolina Public Service Authority | ||||||||
2.39%, 12/01/2023 | 960,000 | 932,573 | ||||||
State Board of Administration Finance Corp. | ||||||||
2.16%, 07/01/2019 | 1,220,000 | 1,229,870 | ||||||
State of California | ||||||||
5.00%, 08/01/2028 | 2,060,000 | 2,464,955 | ||||||
State of Georgia | ||||||||
5.00%, 12/01/2026 | 815,000 | 1,006,476 | ||||||
State of Texas | ||||||||
4.68%, 04/01/2040 | 410,000 | 466,711 | ||||||
Svensk Exportkredit AB | ||||||||
1.13%, 08/28/2019 | 6,925,000 | 6,809,436 | ||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.38%, 07/15/2025(2) | 22,017,744 | 21,894,797 | ||||||
0.63%, 01/15/2026(2) | 10,402,199 | 10,491,897 | ||||||
0.13%, 07/15/2026(2) | 34,748,506 | 33,596,524 | ||||||
0.75%, 02/15/2045(2) | 17,774,367 | 16,718,267 | ||||||
U.S. Treasury Note/Bond | ||||||||
0.50%, 04/30/2017 | 903,000 | 902,940 | ||||||
0.50%, 07/31/2017 | 5,000,000 | 4,994,895 | ||||||
0.63%, 07/31/2017 | 22,055,000 | 22,045,406 | ||||||
0.75%, 04/30/2018 | 80,780,000 | 80,507,206 | ||||||
0.88%, 05/31/2018 | 16,750,000 | 16,715,445 |
Principal Amount | Value | |||||||
0.63%, 06/30/2018 | 25,000,000 | 24,839,700 | ||||||
0.75%, 09/30/2018 | 21,921,000 | 21,769,131 | ||||||
0.75%, 10/31/2018 | 38,040,000 | 37,759,455 | ||||||
1.00%, 11/30/2018 | 42,975,000 | 42,828,498 | ||||||
1.25%, 12/15/2018 | 11,160,000 | 11,169,799 | ||||||
1.50%, 12/31/2018 | 72,885,000 | 73,292,646 | ||||||
1.50%, 01/31/2019 | 17,620,000 | 17,711,307 | ||||||
0.88%, 05/15/2019 | 34,710,000 | 34,366,614 | ||||||
1.63%, 07/31/2019 | 10,856,000 | 10,927,682 | ||||||
0.88%, 09/15/2019 | 6,796,000 | 6,704,186 | ||||||
1.50%, 10/31/2019 | 10,908,000 | 10,929,292 | ||||||
1.50%, 11/30/2019 | 18,495,000 | 18,524,074 | ||||||
1.38%, 09/30/2020 | 1,766,000 | 1,744,691 | ||||||
1.75%, 12/31/2020 | 18,211,000 | 18,190,367 | ||||||
1.38%, 01/31/2021 | 27,352,000 | 26,892,322 | ||||||
1.13%, 02/28/2021 | 37,479,000 | 36,435,885 | ||||||
1.25%, 03/31/2021 | 27,780,000 | 27,114,864 | ||||||
1.38%, 04/30/2021 | 9,300,000 | 9,114,939 | ||||||
1.38%, 05/31/2021 | 19,150,000 | 18,752,178 | ||||||
2.00%, 08/31/2021 | 5,485,000 | 5,501,642 | ||||||
1.25%, 10/31/2021 | 32,565,000 | 31,546,465 | ||||||
1.75%, 11/30/2021 | 73,325,000 | 72,705,110 | ||||||
2.00%, 12/31/2021 | 90,820,000 | 91,061,309 | ||||||
1.50%, 01/31/2022 | 36,480,000 | 35,619,473 | ||||||
2.00%, 08/15/2025 | 22,884,000 | 22,135,098 | ||||||
2.00%, 11/15/2026 | 71,195,000 | 68,389,205 | ||||||
3.63%, 02/15/2044 | 8,768,000 | 9,697,925 | ||||||
3.13%, 08/15/2044 | 7,419,000 | 7,492,218 | ||||||
3.00%, 11/15/2044 | 4,536,000 | 4,470,800 | ||||||
3.00%, 05/15/2045(5) | 14,385,000 | 14,157,990 | ||||||
2.50%, 02/15/2046 | 13,435,000 | 11,908,986 | ||||||
2.50%, 05/15/2046 | 21,290,000 | 18,872,968 | ||||||
2.88%, 11/15/2046 | 102,569,000 | 98,783,691 | ||||||
University of California | ||||||||
4.13%, 05/15/2045 | 190,000 | 188,499 | ||||||
Wisconsin Health & Educational Facilities Authority | ||||||||
4.00%, 11/15/2046 | 2,000,000 | 1,965,660 | ||||||
|
| |||||||
Total Government Related (Cost $1,259,139,552) | $ | 1,244,086,963 | ||||||
|
| |||||||
Mortgage-Backed Obligations – 26.94% | ||||||||
225 Liberty Street Trust 2016-225L | ||||||||
3.60%, 02/12/2036 (Acquired 02/17/2016, Cost $1,062,943) (1) | 1,035,000 | $ | 1,059,346 | |||||
7 WTC Depositor LLC Trust | ||||||||
4.08%, 03/13/2031 (Acquired 06/17/2016, Cost $381,905) (1) | 374,764 | 379,708 | ||||||
Alternative Loan Trust 2003-22CB | ||||||||
5.75%, 12/25/2033 | 1,075,669 | 1,100,727 | ||||||
6.00%, 12/25/2033 | 324,296 | 324,889 | ||||||
Alternative Loan Trust 2005-61 | ||||||||
1.14%, 12/25/2035 | 85,822 | 69,498 | ||||||
Alternative Loan Trust 2006-HY12 | ||||||||
2.97%, 08/25/2036 | 506,802 | 479,365 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/12/2030 (Acquired 10/28/2013 through 09/26/2016, Cost $1,481,597) (1) | 1,430,000 | 1,436,458 |
Principal Amount | Value | |||||||
Banc of America Commercial Mortgage Trust 2007-3 | ||||||||
5.55%, 06/10/2049 | 1,626,035 | 1,647,614 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.49%, 02/10/2051 | 1,664,526 | 1,693,149 | ||||||
Banc of America Funding 2007-6 Trust | ||||||||
1.04%, 07/25/2037 | 145,455 | 123,845 | ||||||
1.05%, 07/25/2037 | 132,620 | 112,998 | ||||||
Banc of America Funding 2015-R7 Trust | ||||||||
1.46%, 09/26/2046 (Acquired 07/27/2015 through 09/25/2015, Cost $2,299,831) (1) | 2,392,797 | 2,313,181 | ||||||
Banc of America Funding 2015-R8 Trust | ||||||||
1.38%, 11/27/2046 (Acquired 09/28/2015, Cost $3,247,543) (1) | 3,438,586 | 3,265,432 | ||||||
BBCMS Trust 2013-TYSN | ||||||||
3.76%, 09/08/2032 (Acquired 11/18/2016, Cost $1,736,782) (1) | 1,650,000 | 1,725,485 | ||||||
Bear Stearns ALT-A Trust 2005-8 | ||||||||
1.30%, 10/25/2035 | 671,339 | 618,380 | ||||||
Bear Stearns ARM Trust 2003-3 | ||||||||
3.02%, 05/25/2033 | 1,117,198 | 1,111,057 | ||||||
CIM Trust | ||||||||
2.53%, 10/25/2057 (Acquired 10/20/2016, Cost $8,278,308) (1) | 8,319,332 | 8,414,766 | ||||||
Citigroup Commercial Mortgage Trust 2012-GC8 | ||||||||
1.81%, 09/12/2045 | 2,000,000 | 2,002,250 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC27 | ||||||||
2.69%, 02/12/2048 | 1,700,000 | 1,725,179 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||
3.78%, 09/12/2058 | 340,000 | 353,690 | ||||||
Citigroup Commercial Mortgage Trust 2015-P1 | ||||||||
3.72%, 09/17/2048 | 670,000 | 697,644 | ||||||
Citigroup Commercial Mortgage Trust 2016-GC36 | ||||||||
3.62%, 02/12/2049 | 595,000 | 609,982 | ||||||
COBALT CMBS Commercial Mortgage Trust 2007-C2 | ||||||||
5.57%, 04/17/2047 | 238,691 | 238,915 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/12/2030 (Acquired 01/22/2016, Cost $770,303) (1) | 720,000 | 778,176 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
4.05%, 10/15/2046 | 1,830,000 | 1,952,124 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
2.99%, 04/13/2035 (Acquired 10/28/2013, Cost $1,485,340) (1) | 1,445,000 | 1,438,785 | ||||||
COMM 2014-277P Mortgage Trust | ||||||||
3.61%, 08/12/2049 (Acquired 05/10/2016, Cost $788,114) (1) | 735,000 | 760,472 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
4.88%, 08/10/2047 | 1,195,000 | 1,181,250 | ||||||
COMM 2014-LC15 Mortgage Trust | ||||||||
4.01%, 04/12/2047 | 1,250,000 | 1,325,433 | ||||||
Comm 2014-UBS2 Mortgage Trust | ||||||||
4.98%, 03/12/2047 | 800,000 | 824,034 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.70%, 08/10/2055 | 2,020,000 | 2,093,631 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
3.76%, 08/10/2048 | 320,000 | 333,403 | ||||||
COMM 2015-CCRE26 Mortgage Trust | ||||||||
3.63%, 10/13/2048 | 905,000 | 930,064 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
3.90%, 07/10/2050 | 515,000 | 537,359 |
Principal Amount | Value | |||||||
3.15%, 07/12/2050 | 890,000 | 912,729 | ||||||
4.29%, 07/12/2050 | 1,075,000 | 1,107,885 | ||||||
4.59%, 07/12/2050 | 440,000 | 433,083 | ||||||
COMM 2016-787S Mortgage Trust | ||||||||
3.55%, 02/12/2036 (Acquired 02/19/2016, Cost $780,518) (1) | 760,000 | 775,376 | ||||||
COMM 2016-CCRE28 Mortgage Trust | ||||||||
3.65%, 02/12/2049 | 394,484 | 395,850 | ||||||
3.76%, 02/12/2049 | 565,000 | 586,112 | ||||||
Core Industrial Trust 2015-TEXW | ||||||||
3.85%, 02/10/2034 (Acquired 09/07/2016, Cost $3,052,385) (1) | 2,960,473 | 2,969,971 | ||||||
3.85%, 02/10/2034 (Acquired 06/08/2016, Cost $516,793) (1) | 542,000 | 524,155 | ||||||
Cosmopolitan Hotel Trust 2016-COSMO | �� | |||||||
2.80%, 11/15/2033 (Acquired 11/04/2016, Cost $641,000) (1) | 641,000 | 644,214 | ||||||
4.20%, 11/15/2033 (Acquired 11/04/2016, Cost $836,000) (1) | 836,000 | 840,714 | ||||||
5.35%, 11/15/2033 (Acquired 11/04/2016, Cost $1,234,000) (1) | 1,234,000 | 1,242,091 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
1.56%, 11/25/2035 | 4,020,664 | 3,990,539 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
5.75%, 11/25/2033 | 162,707 | 169,968 | ||||||
CSAIL 2015-C4 Commercial Mortgage Trust | ||||||||
3.81%, 11/18/2048 | 295,000 | 306,704 | ||||||
CSAIL 2016-C6 Commercial Mortgage Trust | ||||||||
3.09%, 01/15/2049 | 840,000 | 828,632 | ||||||
CSMC Trust 2015-GLPB | ||||||||
3.64%, 11/17/2034 (Acquired 12/04/2015 through 11/15/2016, Cost $5,098,347) (1) | 4,860,000 | 5,058,805 | ||||||
3.81%, 11/17/2034 (Acquired 12/04/2015, Cost $571,515) (1) | 560,000 | 577,103 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-2 | ||||||||
1.16%, 04/25/2035 | 1,645,019 | 1,437,237 | ||||||
Eleven Madison Trust 2015-11MD Mortgage Trust | ||||||||
3.55%, 09/12/2035 (Acquired 09/15/2015, Cost $217,599) (1) | 215,000 | 220,878 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
5.31%, 02/25/2025 | 2,423,698 | 2,557,523 | ||||||
2.91%, 09/25/2028 | 535,120 | 540,684 | ||||||
2.11%, 01/25/2029 | 257,555 | 258,138 | ||||||
2.06%, 04/25/2029 | 2,253,470 | 2,257,935 | ||||||
2.06%, 05/25/2029 | 288,150 | 288,437 | ||||||
Fannie Mae Pool | ||||||||
3.54%, 10/01/2020 | 1,250,000 | 1,311,174 | ||||||
3.92%, 10/01/2020 | 255,731 | 271,086 | ||||||
3.31%, 11/01/2020 | 3,870,000 | 4,033,920 | ||||||
3.77%, 12/01/2020 | 1,771,862 | 1,868,600 | ||||||
4.28%, 01/01/2021 | 1,378,957 | 1,475,504 | ||||||
4.38%, 06/01/2021 | 5,885,306 | 6,359,693 | ||||||
4.30%, 07/01/2021 | 2,948,667 | 3,157,538 | ||||||
3.68%, 10/01/2021 | 1,174,146 | 1,241,926 | ||||||
3.02%, 04/01/2022 | 2,226,348 | 2,295,514 | ||||||
6.00%, 08/01/2022 | 504,630 | 539,719 | ||||||
2.40%, 10/01/2022 | 1,297,880 | 1,289,653 | ||||||
2.28%, 11/01/2022 | 1,630,834 | 1,616,887 | ||||||
3.95%, 10/01/2024 | 713,912 | 758,845 | ||||||
2.81%, 04/01/2025 | 980,000 | 972,693 | ||||||
3.89%, 08/01/2025 | 1,470,000 | 1,557,563 | ||||||
4.15%, 12/01/2025 | 1,410,000 | 1,521,239 |
Principal Amount | Value | |||||||
3.00%, 01/15/2026 (3) | 10,205,000 | 10,468,289 | ||||||
2.74%, 03/01/2026 | 1,535,000 | 1,506,838 | ||||||
4.59%, 08/01/2026 | 1,158,678 | 1,274,143 | ||||||
2.50%, 09/01/2026 | 8,173,490 | 8,308,204 | ||||||
3.40%, 11/01/2026 | 2,816,779 | 2,893,066 | ||||||
4.19%, 11/01/2026 | 1,186,425 | 1,287,142 | ||||||
3.47%, 12/01/2026 | 3,000,000 | 3,080,538 | ||||||
3.00%, 01/01/2027 | 2,052,160 | 2,109,496 | ||||||
2.96%, 05/01/2027 | 2,226,933 | 2,214,295 | ||||||
4.00%, 05/01/2027 | 1,663,884 | 1,756,665 | ||||||
2.50%, 10/01/2027 | 804,284 | 814,026 | ||||||
2.50%, 11/01/2027 | 908,836 | 911,193 | ||||||
2.50%, 12/01/2027 | 886,309 | 888,600 | ||||||
2.50%, 12/01/2027 | 829,741 | 831,888 | ||||||
2.50%, 01/15/2028(3) | 16,590,000 | 16,608,249 | ||||||
2.50%, 02/01/2028 | 1,080,107 | 1,082,905 | ||||||
3.28%, 02/01/2028 | 2,355,000 | 2,365,227 | ||||||
2.50%, 03/01/2028 | 1,088,454 | 1,091,284 | ||||||
2.91%, 04/01/2028 | 2,020,000 | 1,988,470 | ||||||
2.82%, 05/01/2028 | 2,260,220 | 2,207,747 | ||||||
2.50%, 06/01/2028 | 2,502,300 | 2,508,794 | ||||||
2.50%, 07/01/2028 | 903,605 | 905,946 | ||||||
2.68%, 08/01/2028 | 4,220,000 | 3,999,381 | ||||||
3.00%, 10/01/2028 | 661,041 | 678,735 | ||||||
2.61%, 11/01/2028 | 3,300,000 | 3,102,130 | ||||||
4.08%, 01/01/2029 | 1,427,988 | 1,544,049 | ||||||
4.00%, 03/01/2029 | 441,849 | 468,604 | ||||||
4.00%, 07/01/2029 | 439,552 | 464,044 | ||||||
5.00%, 01/01/2030 | 1,060,358 | 1,154,400 | ||||||
3.55%, 02/01/2030 | 1,595,000 | 1,651,972 | ||||||
3.00%, 05/01/2030 | 324,541 | 333,213 | ||||||
2.50%, 07/01/2030 | 1,687,204 | 1,691,241 | ||||||
2.50%, 07/01/2030 | 937,459 | 939,702 | ||||||
2.50%, 08/01/2030 | 2,417,308 | 2,423,092 | ||||||
3.55%, 08/01/2030 | 1,560,328 | 1,607,581 | ||||||
3.00%, 09/01/2030 | 3,796,583 | 3,900,141 | ||||||
3.00%, 12/01/2030 | 1,362,835 | 1,399,731 | ||||||
3.43%, 02/01/2031 | 2,755,000 | 2,801,713 | ||||||
2.97%, 05/01/2031 | 2,925,000 | 2,829,793 | ||||||
2.50%, 10/01/2031 | 128,155 | 128,449 | ||||||
3.00%, 04/01/2033 | 12,367 | 12,343 | ||||||
3.50%, 05/01/2033 | 15,664,602 | 16,262,054 | ||||||
3.00%, 06/01/2033 | 21,631 | 21,590 | ||||||
3.00%, 10/01/2033 | 3,235,431 | 3,299,193 | ||||||
6.00%, 03/01/2034 | 3,500,197 | 4,024,831 | ||||||
5.50%, 05/01/2034 | 3,001,759 | 3,366,144 | ||||||
5.50%, 07/01/2034 | 740,129 | 830,436 | ||||||
4.50%, 12/01/2034 | 1,027,044 | 1,104,508 | ||||||
4.50%, 11/01/2035 | 610,321 | 659,549 | ||||||
5.00%, 02/01/2036 | 2,415,751 | 2,637,562 | ||||||
6.00%, 06/01/2036 | 24,227 | 27,471 | ||||||
5.50%, 07/01/2036 | 286,780 | 321,243 | ||||||
6.00%, 07/01/2038 | 2,267,780 | 2,583,878 |
Principal Amount | Value | |||||||
6.00%, 10/01/2038 | 150,823 | 170,813 | ||||||
5.50%, 12/01/2039 | 592,459 | 662,663 | ||||||
5.50%, 03/01/2040 | 3,432,425 | 3,843,935 | ||||||
5.00%, 05/01/2040 | 60,860 | 66,312 | ||||||
6.50%, 05/01/2040 | 891,940 | 1,033,200 | ||||||
5.00%, 06/01/2040 | 18,940 | 20,666 | ||||||
4.50%, 08/01/2040 | 174,838 | 188,406 | ||||||
4.50%, 09/01/2040 | 68,205 | 73,486 | ||||||
4.00%, 11/01/2040 | 153,979 | 162,076 | ||||||
4.00%, 11/01/2040 | 569,777 | 600,882 | ||||||
4.00%, 12/01/2040 | 370,899 | 391,194 | ||||||
4.00%, 01/01/2041 | 281,848 | 296,724 | ||||||
4.50%, 01/01/2041 | 12,336,302 | 13,451,132 | ||||||
4.50%, 01/01/2041 | 41,265 | 44,534 | ||||||
3.50%, 01/15/2041(3) | 59,380,000 | 60,822,934 | ||||||
4.00%, 01/15/2041(3) | 2,500,000 | 2,627,000 | ||||||
4.50%, 01/15/2041(3) | 8,900,000 | 9,569,280 | ||||||
4.00%, 02/01/2041 | 1,239,844 | 1,308,716 | ||||||
4.00%, 02/01/2041 | 282,513 | 298,041 | ||||||
4.50%, 02/01/2041 | 613,643 | 662,551 | ||||||
4.50%, 04/01/2041 | 145,394 | 156,698 | ||||||
5.50%, 06/01/2041 | 664,664 | 752,781 | ||||||
4.50%, 08/01/2041 | 73,923 | 79,730 | ||||||
5.00%, 08/01/2041 | 609,346 | 667,746 | ||||||
4.00%, 09/01/2041 | 565,627 | 596,847 | ||||||
4.50%, 11/01/2041 | 5,257,792 | 5,734,332 | ||||||
4.50%, 11/01/2041 | 1,253,963 | 1,351,303 | ||||||
4.00%, 01/01/2042 | 80,661 | 84,915 | ||||||
4.00%, 01/01/2042 | 4,806,503 | 5,073,053 | ||||||
4.00%, 02/01/2042 | 133,018 | 140,352 | ||||||
5.50%, 02/01/2042 | 2,670,330 | 2,975,836 | ||||||
5.00%, 03/01/2042 | 989,409 | 1,082,855 | ||||||
3.50%, 06/01/2042 | 99,933 | 103,006 | ||||||
3.50%, 06/01/2042 | 154,679 | 159,443 | ||||||
3.50%, 07/01/2042 | 133,986 | 138,092 | ||||||
3.50%, 08/01/2042 | 278,981 | 287,575 | ||||||
4.50%, 08/01/2042 | 28,023,009 | 30,359,604 | ||||||
4.50%, 11/01/2042 | 318,400 | 344,966 | ||||||
2.50%, 12/01/2042 | 370,147 | 353,831 | ||||||
3.50%, 12/01/2042 | 1,653,627 | 1,702,509 | ||||||
3.50%, 12/01/2042 | 1,225,077 | 1,262,824 | ||||||
2.50%, 01/01/2043 | 5,503,461 | 5,260,993 | ||||||
2.50%, 01/01/2043 | 1,103,391 | 1,054,691 | ||||||
3.00%, 01/01/2043 | 18,846 | 18,716 | ||||||
3.50%, 01/01/2043 | 412,293 | 424,983 | ||||||
3.00%, 01/15/2043(3) | 21,545,000 | 21,387,722 | ||||||
3.00%, 02/01/2043 | 21,847 | 21,697 | ||||||
3.00%, 03/01/2043 | 17,741 | 17,619 | ||||||
3.00%, 03/01/2043 | 33,873 | 33,641 | ||||||
3.00%, 03/01/2043 | 171,757 | 170,575 | ||||||
3.50%, 03/01/2043 | 1,716,314 | 1,769,309 | ||||||
2.50%, 04/01/2043 | 488,262 | 466,711 | ||||||
3.00%, 04/01/2043 | 1,190,231 | 1,189,052 |
Principal Amount | Value | |||||||
3.00%, 04/01/2043 | 19,613 | 19,478 | ||||||
3.50%, 04/01/2043 | 146,149 | 150,559 | ||||||
3.00%, 05/01/2043 | 913,890 | 912,984 | ||||||
3.00%, 06/01/2043 | 17,495,755 | 17,478,410 | ||||||
3.50%, 06/01/2043 | 219,518 | 226,080 | ||||||
3.50%, 06/01/2043 | 2,955,847 | 3,044,935 | ||||||
3.50%, 06/01/2043 | 1,320,788 | 1,360,450 | ||||||
3.50%, 07/01/2043 | 207,874 | 214,125 | ||||||
3.50%, 07/01/2043 | 299,851 | 308,893 | ||||||
3.50%, 07/01/2043 | 273,332 | 281,635 | ||||||
3.50%, 07/01/2043 | 175,460 | 180,757 | ||||||
3.50%, 07/01/2043 | 161,939 | 166,823 | ||||||
3.50%, 07/01/2043 | 180,559 | 186,006 | ||||||
3.00%, 08/01/2043 | 442,565 | 439,521 | ||||||
3.00%, 08/01/2043 | 253,691 | 252,341 | ||||||
3.00%, 08/01/2043 | 11,944,283 | 11,932,431 | ||||||
3.50%, 08/01/2043 | 185,722 | 191,305 | ||||||
3.50%, 08/01/2043 | 156,597 | 161,331 | ||||||
3.50%, 09/01/2043 | 187,251 | 192,854 | ||||||
3.50%, 09/01/2043 | 431,291 | 444,139 | ||||||
3.50%, 09/01/2043 | 239,679 | 246,883 | ||||||
3.50%, 09/01/2043 | 205,819 | 211,987 | ||||||
3.50%, 09/01/2043 | 186,764 | 192,314 | ||||||
3.50%, 09/01/2043 | 286,829 | 295,501 | ||||||
3.50%, 09/01/2043 | 750,852 | 773,632 | ||||||
4.00%, 09/01/2043 | 3,169,329 | 3,330,823 | ||||||
3.50%, 10/01/2043 | 3,400,112 | 3,501,688 | ||||||
5.50%, 10/01/2043 | 1,112,856 | 1,264,492 | ||||||
4.00%, 12/01/2043 | 5,971,216 | 6,273,790 | ||||||
3.50%, 01/01/2044 | 733,965 | 756,116 | ||||||
3.50%, 01/01/2044 | 269,619 | 277,928 | ||||||
3.00%, 02/01/2044 | 58,626 | 58,315 | ||||||
3.50%, 03/01/2044 | 340,253 | 350,458 | ||||||
4.50%, 06/01/2044 | 4,193,895 | 4,523,342 | ||||||
4.50%, 06/01/2044 | 1,033,277 | 1,110,962 | ||||||
3.50%, 07/01/2044 | 1,415,281 | 1,457,827 | ||||||
4.50%, 08/01/2044 | 1,236,083 | 1,329,175 | ||||||
3.00%, 09/01/2044 | 93,276 | 92,634 | ||||||
5.00%, 11/01/2044 | 5,704,223 | 6,252,672 | ||||||
4.50%, 02/01/2045 | 1,131,443 | 1,216,884 | ||||||
3.00%, 04/01/2045 | 43,511 | 43,212 | ||||||
3.00%, 05/01/2045 | 1,939,303 | 1,927,735 | ||||||
3.50%, 05/01/2045 | 1,453,824 | 1,493,779 | ||||||
4.00%, 05/01/2045 | 21,103,284 | 22,406,058 | ||||||
4.50%, 05/01/2045 | 1,060,414 | 1,159,944 | ||||||
3.00%, 06/01/2045 | 7,174,103 | 7,133,349 | ||||||
4.50%, 06/01/2045 | 570,169 | 623,023 | ||||||
3.00%, 07/01/2045 | 8,582,427 | 8,543,823 | ||||||
3.50%, 07/01/2045 | 4,274,659 | 4,387,115 | ||||||
4.00%, 07/01/2045 | 1,779,894 | 1,871,359 | ||||||
5.00%, 07/01/2045 | 1,234,931 | 1,349,466 | ||||||
4.00%, 09/01/2045 | 278,835 | 293,172 | ||||||
4.50%, 09/01/2045 | 19,159,312 | 20,783,141 | ||||||
3.50%, 10/01/2045 | 591,040 | 606,578 |
Principal Amount | Value | |||||||
4.00%, 10/01/2045 | 2,244,657 | 2,376,141 | ||||||
4.50%, 10/01/2045 | 2,258,519 | 2,461,642 | ||||||
4.50%, 10/01/2045 | 1,118,960 | 1,233,660 | ||||||
3.50%, 11/01/2045 | 7,900,538 | 8,098,606 | ||||||
3.50%, 12/01/2045 | 581,708 | 599,177 | ||||||
3.50%, 12/01/2045 | 2,189,007 | 2,243,889 | ||||||
4.00%, 12/01/2045 | 802,436 | 851,970 | ||||||
4.00%, 12/01/2045 | 263,706 | 278,101 | ||||||
4.00%, 12/01/2045 | 1,865,837 | 1,971,160 | ||||||
4.00%, 12/01/2045 | 1,855,678 | 1,956,905 | ||||||
3.50%, 01/01/2046 | 150,411 | 154,185 | ||||||
4.00%, 01/01/2046 | 689,257 | 730,034 | ||||||
4.00%, 01/01/2046 | 20,549,512 | 21,763,724 | ||||||
4.50%, 02/01/2046 | 5,411,021 | 5,820,049 | ||||||
4.50%, 02/01/2046 | 1,781,955 | 1,943,010 | ||||||
4.50%, 02/01/2046 | 754,401 | 819,467 | ||||||
4.00%, 03/01/2046 | 2,391,599 | 2,527,113 | ||||||
4.50%, 03/01/2046 | 5,716,841 | 6,146,653 | ||||||
3.50%, 04/01/2046 | 4,819,674 | 4,940,638 | ||||||
4.00%, 04/01/2046 | 11,582,115 | 12,310,752 | ||||||
4.50%, 04/01/2046 | 1,894,194 | 2,077,500 | ||||||
3.50%, 05/01/2046 | 1,391,928 | 1,428,678 | ||||||
4.00%, 05/01/2046 | 23,539,209 | 24,937,858 | ||||||
4.00%, 06/01/2046 | 765,314 | 811,986 | ||||||
4.50%, 06/01/2046 | 976,734 | 1,060,702 | ||||||
3.50%, 07/01/2046 | 2,073,936 | 2,133,014 | ||||||
3.50%, 07/01/2046 | 2,054,331 | 2,115,890 | ||||||
4.00%, 07/01/2046 | 902,648 | 957,953 | ||||||
4.50%, 07/01/2046 | 1,349,188 | 1,463,230 | ||||||
2.50%, 08/01/2046 | 1,999,999 | 1,903,587 | ||||||
3.00%, 08/01/2046 | 789,976 | 785,108 | ||||||
3.00%, 08/01/2046 | 175,063 | 174,128 | ||||||
3.50%, 08/01/2046 | 14,139,488 | 14,514,558 | ||||||
2.50%, 09/01/2046 | 540,491 | 514,438 | ||||||
3.00%, 09/01/2046 | 203,397 | 201,996 | ||||||
4.00%, 09/01/2046 | 22,715,000 | 23,889,405 | ||||||
4.50%, 09/01/2046 | 7,740,865 | 8,331,444 | ||||||
3.00%, 10/01/2046 | 21,999,980 | 21,864,419 | ||||||
4.00%, 10/01/2046 | 573,605 | 607,865 | ||||||
3.00%, 11/01/2046 | 1,737,790 | 1,727,082 | ||||||
3.00%, 11/01/2046 | 849,817 | 844,581 | ||||||
3.00%, 11/01/2046 | 2,250,184 | 2,236,319 | ||||||
3.00%, 11/01/2046 | 7,587,219 | 7,540,467 | ||||||
2.50%, 12/01/2046 | 44,509 | 42,364 | ||||||
3.00%, 12/01/2046 | 4,000,000 | 3,975,352 | ||||||
3.00%, 12/01/2046 | 879,225 | 873,807 | ||||||
3.00%, 01/01/2047 | 6,385,224 | 6,349,557 | ||||||
Fannie Mae REMICS | ||||||||
1.26%, 05/25/2046 | 4,101,509 | 4,096,318 | ||||||
1.26%, 09/25/2046 | 1,787,861 | 1,777,920 | ||||||
1.26%, 09/25/2046 | 1,433,971 | 1,431,373 | ||||||
1.21%, 10/25/2046 | 854,167 | 849,205 |
Principal Amount | Value | |||||||
1.21%, 11/25/2046 | 1,692,457 | 1,681,683 | ||||||
1.26%, 11/25/2046 | 957,147 | 951,085 | ||||||
1.04%, 01/25/2047 | 270,000 | 269,537 | ||||||
Four Times Square Trust Commercial Mortgage Pass-Through Certificates Series 200 | ||||||||
5.40%, 12/13/2028 (Acquired 11/15/2016, Cost $569,661) (1) | 514,040 | 564,543 | ||||||
Freddie Mac Gold Pool | ||||||||
2.50%, 07/01/2030 | 2,021,570 | 2,026,218 | ||||||
3.00%, 03/01/2031 | 1,262,055 | 1,295,553 | ||||||
2.50%, 12/01/2031 | 16,933,391 | 16,972,319 | ||||||
8.00%, 04/01/2032 | 326,823 | 412,734 | ||||||
5.50%, 08/01/2041 | 11,397,543 | 12,939,083 | ||||||
4.00%, 09/01/2041 | 20,015,059 | 21,268,035 | ||||||
5.00%, 11/01/2041 | 1,853,464 | 2,025,273 | ||||||
5.00%, 03/01/2042 | 615,275 | 683,736 | ||||||
4.50%, 07/01/2042 | 1,177,699 | 1,266,680 | ||||||
3.00%, 02/01/2043 | 119,321 | 119,082 | ||||||
3.00%, 02/01/2043 | 1,146,961 | 1,145,733 | ||||||
3.00%, 03/01/2043 | 43,239 | 43,152 | ||||||
3.00%, 03/01/2043 | 22,378 | 22,333 | ||||||
3.50%, 10/01/2043 | 1,277,705 | 1,314,409 | ||||||
3.50%, 01/01/2044 | 1,491,064 | 1,534,393 | ||||||
4.50%, 05/01/2044 | 655,765 | 712,149 | ||||||
4.00%, 01/01/2045 | 3,140,048 | 3,321,966 | ||||||
3.50%, 06/01/2045 | 982,792 | 1,009,983 | ||||||
4.50%, 06/01/2045 | 1,124,640 | 1,230,652 | ||||||
4.00%, 07/01/2045 | 1,075,244 | 1,129,316 | ||||||
3.50%, 08/01/2045 | 5,242,798 | 5,396,095 | ||||||
3.50%, 10/01/2045 | 17,130,526 | 17,596,781 | ||||||
4.00%, 11/01/2045 | 19,876,266 | 20,875,856 | ||||||
4.00%, 12/01/2045 | 6,517,472 | 6,889,036 | ||||||
4.00%, 02/01/2046 | 902,014 | 957,989 | ||||||
4.50%, 02/01/2046 | 17,056,637 | 18,503,442 | ||||||
4.50%, 02/01/2046 | 1,102,608 | 1,206,786 | ||||||
3.50%, 03/01/2046 | 16,129,626 | 16,568,765 | ||||||
3.50%, 03/01/2046 | 10,802,190 | 11,062,814 | ||||||
3.50%, 04/01/2046 | 1,143,420 | 1,171,072 | ||||||
4.00%, 04/01/2046 | 2,267,537 | 2,381,927 | ||||||
3.50%, 05/01/2046 | 907,991 | 931,123 | ||||||
3.50%, 05/01/2046 | 10,025,866 | 10,268,429 | ||||||
4.00%, 05/01/2046 | 9,676,940 | 10,166,070 | ||||||
4.50%, 05/01/2046 | 1,174,938 | 1,280,860 | ||||||
3.00%, 06/01/2046 | 10,224,436 | 10,156,501 | ||||||
3.50%, 06/01/2046 | 11,726,649 | 12,011,019 | ||||||
4.50%, 06/01/2046 | 1,408,445 | 1,527,914 | ||||||
3.50%, 07/01/2046 | 4,131,291 | 4,249,266 | ||||||
3.00%, 08/01/2046 | 12,187,797 | 12,106,718 | ||||||
3.50%, 08/01/2046 | 15,887,259 | 16,324,689 | ||||||
3.50%, 08/01/2046 | 20,205,213 | 20,695,677 | ||||||
3.00%, 09/01/2046 | 2,629,616 | 2,612,114 | ||||||
3.00%, 10/01/2046 | 8,043,253 | 7,989,707 | ||||||
3.00%, 11/01/2046 | 3,742,527 | 3,717,612 | ||||||
3.00%, 12/01/2046 | 2,623,458 | 2,605,993 | ||||||
3.00%, 01/01/2047 | 12,680,000 | 12,595,586 |
Principal Amount | Value | |||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
1.08%, 07/25/2020 | 1,396,151 | 1,397,999 | ||||||
1.16%, 07/25/2020 | 1,608,565 | 1,610,860 | ||||||
3.51%, 04/25/2030 | 1,415,000 | 1,450,004 | ||||||
Freddie Mac REMICS | ||||||||
1.20%, 09/15/2046 | 1,291,903 | 1,291,796 | ||||||
1.15%, 10/15/2046 | 432,508 | 429,568 | ||||||
1.20%, 10/15/2046 | 695,596 | 695,255 | ||||||
1.20%, 10/15/2046 | 397,442 | 397,168 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
2.96%, 02/26/2024 | 600,000 | 613,816 | ||||||
2.23%, 04/25/2024 | 2,655,906 | 2,677,692 | ||||||
2.98%, 08/26/2024 | 187,266 | 187,802 | ||||||
3.41%, 10/25/2024 | 2,724,113 | 2,747,224 | ||||||
3.16%, 01/27/2025 | 347,502 | 348,896 | ||||||
2.96%, 03/25/2025 | 1,113,642 | 1,123,437 | ||||||
2.71%, 05/27/2025 | 720,000 | 730,754 | ||||||
2.61%, 10/25/2027 | 950,000 | 963,603 | ||||||
3.18%, 12/27/2027 | 2,441,204 | 2,487,893 | ||||||
3.41%, 03/27/2028 | 733,828 | 748,619 | ||||||
3.61%, 04/25/2028 | 5,645,000 | 5,807,911 | ||||||
3.56%, 05/25/2028 | 580,000 | 595,322 | ||||||
3.66%, 07/25/2028 | 325,000 | 334,559 | ||||||
2.58%, 12/26/2028 | 955,000 | 963,889 | ||||||
1.56%, 03/26/2029 | 647,930 | 648,588 | ||||||
FREMF 2015-K48 Mortgage Trust | ||||||||
3.64%, 08/25/2048 (Acquired 09/16/2015, Cost $485,092) (1) | 535,000 | 513,351 | ||||||
GAHR Commercial Mortgage Trust 2015-NRF | ||||||||
3.38%, 12/15/2019 (Acquired 07/13/2015, Cost $1,242,408) (1) | 1,250,000 | 1,242,350 | ||||||
Ginnie Mae I Pool | ||||||||
7.50%, 08/15/2033 | 522,180 | 609,763 | ||||||
5.50%, 02/15/2039 | 386,472 | 435,498 | ||||||
5.00%, 09/15/2039 | 73,184 | 81,326 | ||||||
5.00%, 10/15/2039 | 619,213 | 683,037 | ||||||
5.00%, 12/15/2039 | 871,783 | 960,893 | ||||||
5.00%, 02/15/2040 | 111,767 | 125,497 | ||||||
5.00%, 02/15/2040 | 111,767 | 125,552 | ||||||
5.00%, 06/15/2040 | 341,414 | 375,887 | ||||||
4.50%, 05/15/2041 | 804,552 | 907,966 | ||||||
3.00%, 10/15/2042 | 313,002 | 316,509 | ||||||
3.00%, 12/15/2042 | 47,415 | 48,088 | ||||||
3.50%, 12/15/2042 | 17,200 | 17,944 | ||||||
3.50%, 01/15/2043 | 22,238 | 23,197 | ||||||
3.00%, 05/15/2043 | 162,710 | 165,021 | ||||||
3.00%, 06/15/2043 | 15,202 | 15,417 | ||||||
3.00%, 06/15/2043 | 15,090 | 15,303 | ||||||
3.50%, 10/15/2043 | 89,379 | 93,457 | ||||||
4.50%, 05/15/2044 | 14,331,435 | 15,696,014 | ||||||
5.00%, 07/15/2044 | 318,240 | 354,758 | ||||||
4.50%, 09/15/2045 | 311,105 | 337,435 | ||||||
4.00%, 07/15/2046 | 3,376,843 | 3,658,541 | ||||||
4.50%, 08/15/2046 | 9,263,349 | 10,147,181 |
Principal Amount | Value | |||||||
Ginnie Mae II Pool | ||||||||
6.00%, 02/20/2034 | 209,134 | 242,818 | ||||||
5.00%, 05/20/2040 | 350,978 | 386,569 | ||||||
5.00%, 06/20/2040 | 185,205 | 205,123 | ||||||
5.00%, 08/20/2040 | 142,039 | 156,341 | ||||||
5.00%, 09/20/2040 | 118,892 | 130,863 | ||||||
3.00%, 07/20/2042 | 632,968 | 643,147 | ||||||
3.50%, 08/20/2042 | 31,697 | 33,080 | ||||||
3.50%, 09/20/2042 | 5,381,210 | 5,615,928 | ||||||
2.50%, 12/20/2042 | 290,313 | 282,535 | ||||||
3.50%, 12/20/2042 | 12,829 | 13,388 | ||||||
3.00%, 01/15/2043(3) | 18,600,000 | 18,819,480 | ||||||
3.50%, 01/15/2043(3) | 18,400,000 | 19,113,920 | ||||||
3.50%, 02/20/2043 | 34,989 | 36,516 | ||||||
3.50%, 05/20/2043 | 16,789 | 17,520 | ||||||
2.50%, 06/20/2043 | 355,220 | 345,775 | ||||||
3.50%, 09/20/2043 | 235,926 | 246,195 | ||||||
3.50%, 10/20/2044 | 76,820 | 80,474 | ||||||
5.00%, 12/20/2044 | 463,641 | 522,051 | ||||||
2.50%, 01/20/2045 | 2,586,219 | 2,516,383 | ||||||
3.50%, 05/20/2045 | 27,139 | 28,272 | ||||||
5.50%, 06/20/2045 | 555,994 | 623,212 | ||||||
4.00%, 09/20/2045 | 362,650 | 385,255 | ||||||
3.50%, 10/20/2045 | 132,781 | 138,428 | ||||||
3.50%, 10/20/2045 | 175,980 | 183,499 | ||||||
4.00%, 10/20/2045 | 1,835,457 | 1,951,650 | ||||||
4.00%, 11/20/2045 | 1,411,890 | 1,499,898 | ||||||
4.00%, 12/20/2045 | 7,323,959 | 7,780,486 | ||||||
4.50%, 01/20/2046 | 1,550,178 | 1,655,515 | ||||||
3.50%, 02/20/2046 | 2,064,459 | 2,150,823 | ||||||
3.50%, 02/20/2046 | 1,059,269 | 1,105,104 | ||||||
3.50%, 03/20/2046 | 3,734,817 | 3,883,962 | ||||||
3.50%, 04/20/2046 | 4,478,951 | 4,657,815 | ||||||
3.00%, 05/20/2046 | 122,327 | 124,244 | ||||||
3.00%, 05/20/2046 | 44,399 | 45,036 | ||||||
3.50%, 05/20/2046 | 11,283,909 | 11,734,529 | ||||||
3.50%, 05/20/2046 | 24,744 | 25,779 | ||||||
3.50%, 05/20/2046 | 24,724 | 25,758 | ||||||
3.50%, 05/20/2046 | 123,371 | 128,524 | ||||||
4.00%, 05/20/2046 | 2,575,011 | 2,735,520 | ||||||
4.50%, 05/20/2046 | 2,236,131 | 2,388,079 | ||||||
3.00%, 06/20/2046 | 220,216 | 223,261 | ||||||
3.50%, 06/20/2046 | 6,591,895 | 6,855,143 | ||||||
3.50%, 06/20/2046 | 136,688 | 142,406 | ||||||
3.00%, 07/20/2046 | 206,141 | 209,084 | ||||||
3.00%, 07/20/2046 | 287,638 | 291,781 | ||||||
3.00%, 07/20/2046 | 113,775 | 115,559 | ||||||
3.00%, 07/20/2046 | 74,347 | 75,412 | ||||||
3.00%, 07/20/2046 | 393,699 | 399,345 | ||||||
3.00%, 07/20/2046 | 209,317 | 212,318 | ||||||
3.00%, 08/20/2046 | 149,289 | 151,432 | ||||||
3.00%, 08/20/2046 | 91,003 | 92,248 | ||||||
3.00%, 08/20/2046 | 172,693 | 175,400 | ||||||
3.00%, 09/20/2046 | 93,495 | 94,837 |
Principal Amount | Value | |||||||
3.00%, 09/20/2046 | 91,525 | 92,778 | ||||||
3.50%, 09/20/2046 | 2,471,071 | 2,570,318 | ||||||
3.00%, 10/20/2046 | 4,078,240 | 4,132,289 | ||||||
3.50%, 10/20/2046 | 577,183 | 600,341 | ||||||
3.00%, 11/20/2046 | 9,254,687 | 9,377,339 | ||||||
3.00%, 12/20/2046 | 393,000 | 398,208 | ||||||
Government National Mortgage Association | ||||||||
3.50%, 03/20/2039 IO | 1,866,045 | 162,989 | ||||||
3.50%, 05/20/2043 IO | 395,203 | 80,941 | ||||||
GS Mortgage Securities Corp. Trust 2013-NYC5 | ||||||||
3.65%, 01/10/2030 (Acquired 08/20/2015, Cost $331,273) (1) | 330,000 | 335,300 | ||||||
GS Mortgage Securities Trust 2011-GC3 | ||||||||
5.63%, 03/11/2044 (Acquired 09/11/2015, Cost $362,883) (1) | 340,000 | 347,244 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
5.40%, 08/10/2044 (Acquired 01/25/2016, Cost $219,613) (1) | 220,000 | 218,346 | ||||||
GS Mortgage Securities Trust 2012-GCJ9 | ||||||||
2.77%, 11/13/2045 | 2,420,000 | 2,436,752 | ||||||
GS Mortgage Securities Trust 2015-GC34 | ||||||||
3.51%, 10/13/2048 | 540,000 | 550,240 | ||||||
3.91%, 10/13/2048 | 170,000 | 174,285 | ||||||
GS Mortgage Securities Trust 2016-GS2 | ||||||||
3.05%, 05/12/2049 | 935,000 | 924,111 | ||||||
HarborView Mortgage Loan Trust 2006-12 | ||||||||
0.90%, 12/19/2036 | 450,657 | 389,644 | ||||||
Hilton USA Trust 2013-HLT | ||||||||
4.41%, 11/05/2030 (Acquired 07/22/2015 through 06/07/2016, Cost $5,818) (1) | 5,773 | 5,748 | ||||||
4.45%, 11/05/2030 (Acquired 08/26/2015, Cost $1,372,076) (1) | 1,366,000 | 1,367,787 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI | ||||||||
4.01%, 10/05/2031 (Acquired 10/13/2016, Cost $610,561) (1) | 602,000 | 598,414 | ||||||
3.55%, 10/07/2031 (Acquired 10/13/2016, Cost $405,493) (1) | 394,000 | 396,756 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 | ||||||||
5.79%, 02/12/2051 | 632,020 | 641,699 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2010-CNTR | ||||||||
4.31%, 08/05/2032 (Acquired 07/14/2015 through 09/18/2015, Cost $2,359,392) (1) | 2,195,000 | 2,302,714 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 | ||||||||
4.72%, 02/16/2046 (Acquired 08/25/2015, Cost $1,200,816) (1) | 1,100,000 | 1,178,834 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 | ||||||||
2.21%, 05/15/2045 | 93,376 | 93,332 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP | ||||||||
3.45%, 07/15/2036 (Acquired 09/28/2015, Cost $250,000) (1) | 250,000 | 251,557 | ||||||
5.20%, 07/15/2036 (Acquired 09/28/2015 through 02/23/2016, Cost $884,312) (1) | 887,000 | 892,540 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-UES | ||||||||
3.62%, 09/05/2032 (Acquired 10/07/2015, Cost $562,789) (1) | 590,000 | 570,563 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-ATRM | ||||||||
2.96%, 10/06/2028 (Acquired 02/04/2016, Cost $829,114) (1) | 830,000 | 834,082 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 | ||||||||
2.87%, 08/15/2049 | 3,300,000 | 3,195,317 | ||||||
3.40%, 08/15/2049 | 565,000 | 550,773 | ||||||
JP Morgan Resecuritization Trust Series 2014-6 | ||||||||
0.74%, 07/27/2046 (Acquired 08/18/2015 through 09/18/2015, Cost $2,798,344) (1) | 2,933,923 | 2,834,744 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C22 | ||||||||
3.80%, 09/15/2047 | 1,450,000 | 1,510,858 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | ||||||||
3.99%, 10/19/2048 | 1,200,000 | 1,147,602 |
Principal Amount | Value | |||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30 | ||||||||
3.09%, 07/15/2048 | 15,000 | 15,409 | ||||||
3.82%, 07/15/2048 | 3,795,000 | 3,949,657 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C31 | ||||||||
3.80%, 08/17/2048 | 5,065,000 | 5,263,702 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1 | ||||||||
5.28%, 02/15/2041 | 4,463,879 | 4,464,100 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.48%, 02/15/2040 | 1,702,329 | 1,703,816 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
5.43%, 02/15/2040 | 1,970,482 | 1,974,475 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7 | ||||||||
6.25%, 09/15/2045 | 485,951 | 489,959 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1 | ||||||||
2.74%, 04/25/2029 | 1,499,552 | 1,467,443 | ||||||
Mill City Mortgage Loan Trust 2016-1 | ||||||||
2.50%, 04/25/2057 (Acquired 08/15/2016, Cost $573,424) (1) | 570,002 | 567,025 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 | ||||||||
1.97%, 08/17/2045 | 5,469,396 | 5,480,100 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 | ||||||||
1.86%, 02/16/2046 | 1,493,434 | 1,498,118 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | ||||||||
3.74%, 08/16/2047 | 974,000 | 1,014,217 | ||||||
4.46%, 08/16/2047 | 1,140,000 | 1,185,807 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||
3.73%, 08/15/2047 | 3,035,000 | 3,145,387 | ||||||
4.04%, 08/16/2047 | 45,000 | 46,338 | ||||||
4.35%, 05/15/2048 | 85,000 | 86,194 | ||||||
4.35%, 05/15/2048 | 55,000 | 50,259 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 | ||||||||
3.64%, 10/19/2048 | 305,000 | 312,481 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27 | ||||||||
3.75%, 12/17/2047 | 775,000 | 802,516 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30 | ||||||||
2.86%, 09/17/2049 | 3,220,000 | 3,079,004 | ||||||
Morgan Stanley Capital I Trust 2007-IQ14 | ||||||||
5.69%, 04/15/2049 | 1,379,435 | 1,382,522 | ||||||
Morgan Stanley Resecuritization Trust 2013-R10 | ||||||||
2.97%, 01/26/2051 (Acquired 07/24/2015, Cost $1,404,018) (1) | 1,392,874 | 1,382,306 | ||||||
MortgageIT Trust 2005-2 | ||||||||
1.42%, 05/25/2035 | 892,895 | 842,994 | ||||||
Nomura Resecuritization Trust 2015-7R | ||||||||
2.73%, 08/26/2036 (Acquired 08/20/2015, Cost $2,006,988) (1) | 1,985,031 | 2,029,903 | ||||||
Palisades Center Trust | ||||||||
2.71%, 04/14/2033 (Acquired 04/20/2016, Cost $640,000) (1) | 640,000 | 636,857 | ||||||
RBS Commercial Funding, Inc. 2013-GSP Trust | ||||||||
3.83%, 01/13/2032 (Acquired 01/19/2016 through 05/03/2016, Cost $1,662,993) (1) | 1,565,000 | 1,638,085 | ||||||
Seasoned Credit Risk Transfer Trust Series 2016-1 | ||||||||
3.00%, 09/25/2055 (Acquired 12/16/2016, Cost $347,076) (1) | 375,000 | 347,003 | ||||||
Sequoia Mortgage Trust 2003-2 | ||||||||
1.22%, 06/20/2033 | 1,500,995 | 1,418,478 | ||||||
Sequoia Mortgage Trust 2004-9 | ||||||||
1.97%, 10/20/2034 | 2,574,808 | 2,466,555 |
Principal Amount | Value | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE | ||||||||
3.87%, 01/08/2043 (Acquired 05/03/2016, Cost $1,328,792) (1) | 1,375,000 | 1,349,320 | ||||||
Starwood Retail Property Trust 2014-STAR | ||||||||
3.20%, 11/15/2027 (Acquired 07/22/2015 through 09/08/2015, Cost $2,206,282) (1) | 2,206,000 | 2,174,181 | ||||||
STRU TCW-1072 COLL | ||||||||
3.22%, 01/25/2027 (8) | 3,565,000 | 3,567,228 | ||||||
STRU TCW-1073 COLL | ||||||||
3.22%, 01/25/2027 (8) | 3,565,000 | 3,567,228 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.94%, 03/25/2034 | 994,151 | 990,552 | ||||||
Structured Asset Mortgage Investments Trust 2003-AR3 | ||||||||
1.42%, 11/19/2033 | 1,319,892 | 1,256,866 | ||||||
Towd Point Mortgage Trust 2015-3 | ||||||||
3.00%, 03/25/2054 (Acquired 07/23/2015, Cost $432,371) (1) | 432,255 | 435,821 | ||||||
Towd Point Mortgage Trust 2015-4 | ||||||||
2.75%, 04/25/2055 (Acquired 09/25/2015, Cost $512,772) (1) | 512,956 | 514,233 | ||||||
Towd Point Mortgage Trust 2015-5 | ||||||||
2.75%, 05/25/2055 (Acquired 10/23/2015, Cost $470,350) (1) | 469,608 | 470,537 | ||||||
Towd Point Mortgage Trust 2016-1 | ||||||||
2.75%, 02/25/2055 (Acquired 03/18/2016, Cost $452,335) (1) | 452,850 | 453,711 | ||||||
3.00%, 02/25/2055 (Acquired 03/18/2016, Cost $548,698) (1) | 548,465 | 549,034 | ||||||
Towd Point Mortgage Trust 2016-2 | ||||||||
2.75%, 08/25/2055 (Acquired 05/20/2016, Cost $344,292) (1) | 344,291 | 343,427 | ||||||
Towd Point Mortgage Trust 2016-3 | ||||||||
2.25%, 08/25/2055 (Acquired 07/22/2016, Cost $568,527) (1) | 569,321 | 564,529 | ||||||
Towd Point Mortgage Trust 2016-4 | ||||||||
2.25%, 07/25/2056 (Acquired 09/27/2016, Cost $1,092,898) (1) | 1,088,389 | 1,076,609 | ||||||
Towd Point Mortgage Trust 2016-5 | ||||||||
2.50%, 10/25/2056 (Acquired 12/07/2016, Cost $3,568,138) (1) | 3,570,000 | 3,551,634 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
4.89%, 05/11/2063 (Acquired 10/21/2016, Cost $1,135,350) (1) | 1,135,000 | 1,111,964 | ||||||
4.89%, 05/11/2063 (Acquired 07/24/2015, Cost $2,760,272) (1) | 2,750,000 | 2,620,563 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C31 | ||||||||
5.66%, 04/15/2047 | 5,786,863 | 5,838,202 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C33 | ||||||||
5.97%, 02/15/2051 | 2,959,578 | 2,967,285 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C34 | ||||||||
5.68%, 05/17/2046 | 3,250,661 | 3,274,175 | ||||||
5.94%, 05/15/2046 | 455,129 | 456,180 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust | ||||||||
1.54%, 01/25/2045 | 241,665 | 215,063 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust | ||||||||
1.08%, 08/25/2045 | 3,356,698 | 3,223,287 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust | ||||||||
1.05%, 10/25/2045 | 3,626,869 | 3,469,531 | ||||||
1.25%, 10/25/2045 | 281,286 | 240,028 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust | ||||||||
1.02%, 11/25/2045 | 4,552,759 | 4,246,886 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust | ||||||||
1.11%, 12/25/2045 | 1,756,182 | 1,646,731 | ||||||
1.26%, 12/25/2045 | 220,332 | 199,647 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust | ||||||||
1.09%, 01/25/2045 | 8,522,326 | 8,154,429 |
Principal Amount | Value | |||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR8 | ||||||||
1.22%, 07/25/2045 | 845,184 | 757,824 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-TISH | ||||||||
2.79%, 02/15/2027 (Acquired 11/14/2016, Cost $1,392,986) (1) | 1,399,000 | 1,403,019 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 | ||||||||
3.66%, 09/17/2058 | 1,280,000 | 1,321,988 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||
3.77%, 07/17/2058 | 2,980,000 | 3,098,345 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 | ||||||||
3.79%, 09/17/2048 | 500,000 | 519,173 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-C34 | ||||||||
3.10%, 06/17/2049 | 1,135,000 | 1,111,874 | ||||||
WF-RBS Commercial Mortgage Trust 2011-C2 | ||||||||
5.60%, 02/18/2044 (Acquired 09/02/2015 through 08/04/2016, Cost $2,273,803) (1) | 2,130,000 | 2,178,568 | ||||||
WFRBS Commercial Mortgage Trust 2011-C5 | ||||||||
5.67%, 11/18/2044 (Acquired 01/26/2016, Cost $119,964) (1) | 115,000 | 121,948 | ||||||
WFRBS Commercial Mortgage Trust 2012-C7 | ||||||||
4.83%, 06/16/2045 (Acquired 11/23/2015 through 12/03/2015, Cost $353,810) (1) | 360,000 | 337,445 | ||||||
WFRBS Commercial Mortgage Trust 2013-C18 | ||||||||
3.65%, 12/17/2046 | 320,000 | 334,138 | ||||||
WFRBS Commercial Mortgage Trust 2014-C22 | ||||||||
4.07%, 09/17/2057 | 4,250,000 | 4,429,697 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $1,435,589,584) | $ | 1,419,512,053 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $4,998,896,828) | $ | 4,957,891,556 | ||||||
|
| |||||||
Bank Loans – 1.74% | ||||||||
Americold Realty Operating Partnership LP | ||||||||
5.75%, 12/01/2022 | 323,375 | $ | 326,408 | |||||
Ancestry.COM T/L (10/16) | ||||||||
5.25%, 10/13/2023 | 2,525,000 | 2,547,876 | ||||||
AOT Bedding 10/16 1ST LIEN T/L | ||||||||
4.50%, 10/20/2023 | 1,450,000 | 1,464,950 | ||||||
Aramark Services, Inc. | ||||||||
3.35%, 09/09/2019 | 1,502,009 | 1,516,098 | ||||||
3.50%, 02/24/2021 | 2,586,701 | 2,608,403 | ||||||
Asurion LLC | ||||||||
4.02%, 07/08/2020 | 474,458 | 478,164 | ||||||
8.50%, 03/03/2021 | 1,175,000 | 1,193,365 | ||||||
5.00%, 08/04/2022 | 2,211,327 | 2,239,521 | ||||||
Avago Technologies | ||||||||
3.70%, 02/01/2023 | 7,398,217 | 7,499,943 | ||||||
Axalta Coatings | ||||||||
3.50%, 02/03/2020 | 3,416,390 | 3,448,435 | ||||||
Charter Communications | ||||||||
3.02%, 07/01/2020 | 553,697 | 556,006 | ||||||
3.02%, 12/31/2020 | 2,029,229 | 2,037,122 | ||||||
Charter Communications 12/16 T/L 1 | ||||||||
3.01%, 01/15/2024 | 3,257,385 | 3,274,258 | ||||||
CHI Doors Holdings Corp. | ||||||||
4.50%, 07/29/2022 | 1,169,088 | 1,169,579 | ||||||
Commscope | ||||||||
3.27%, 12/29/2022 | 2,301,294 | 2,320,855 |
Principal Amount | Value | |||||||
DigitalGlobe T/L B (12/16) | ||||||||
3.51%, 12/22/2023 | 350,000 | 352,188 | ||||||
Eastern Power LLC | ||||||||
5.00%, 09/24/2021 | 1,275,000 | 1,285,200 | ||||||
Examworks | ||||||||
4.75%, 07/27/2023 | 1,097,250 | 1,103,197 | ||||||
First Data 2022 C DOLLAR T/L | ||||||||
3.76%, 07/08/2022 | 2,558,041 | 2,584,158 | ||||||
Flex Acquisition T/L (HILEX POLY)(NOVOLEX) | ||||||||
4.25%, 12/15/2023 | 825,000 | 831,872 | ||||||
HCA, Inc. | ||||||||
3.75%, 02/15/2024 | 3,288,758 | 3,326,282 | ||||||
Hilton Worldwide | ||||||||
3.26%, 10/25/2023 | 6,789,927 | 6,862,918 | ||||||
Hilton Worldwide Finance LLC | ||||||||
3.50%, 10/26/2020 | 162,690 | 164,023 | ||||||
HUB International Ltd. | ||||||||
4.00%, 10/02/2020 | 1,763,129 | 1,775,559 | ||||||
Intelsat Jackson Holdings SA | ||||||||
3.75%, 06/28/2019 | 420,000 | 405,518 | ||||||
J.C. Penny | ||||||||
5.25%, 06/23/2023 | 1,234,375 | 1,239,004 | ||||||
Jo-Ann Stores | ||||||||
6.26%, 10/23/2023 | 600,000 | 604,002 | ||||||
Landry’s Inc | ||||||||
4.00%, 10/04/2023 | 2,989,000 | 3,016,230 | ||||||
Level 3 Finance TLB-2 | ||||||||
4.00%, 01/15/2020 | 366,000 | 370,758 | ||||||
Level 3 Financing, Inc. | ||||||||
3.50%, 05/31/2022 | 5,873,000 | 5,939,071 | ||||||
Lions Gate Entertainment T/L B (10/16) | ||||||||
3.75%, 10/13/2023 | 1,850,000 | 1,859,250 | ||||||
Match Group, Inc. | ||||||||
4.20%, 11/16/2022 | 251,563 | 255,021 | ||||||
Mission Broadcasting, Inc. | ||||||||
3.00%, 09/26/2023 | 114,955 | 115,852 | ||||||
MPH Acquisition Holdings LLC | ||||||||
5.00%, 06/07/2023 | 231,988 | 235,842 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
3.00%, 09/26/2023 | 1,290,045 | 1,300,121 | ||||||
Nielsen Finance | ||||||||
3.15%, 10/04/2023 | 3,274,263 | 3,308,381 | ||||||
Nord Anglia Education Finance LLC | ||||||||
5.00%, 03/21/2021 | 1,811,069 | 1,835,971 | ||||||
Petsmart, Inc. | ||||||||
4.00%, 03/10/2022 | 1,262,312 | 1,265,468 | ||||||
Rackspace T/L B | ||||||||
4.50%, 10/26/2023 | 600,000 | 607,248 | ||||||
RCN Cable T/L | ||||||||
3.75%, 12/11/2023 | 379,348 | 381,666 | ||||||
Scientific Games | ||||||||
6.00%, 10/18/2020 | 1,168,974 | 1,183,832 |
Principal Amount | Value | |||||||
Shearer’s Foods | ||||||||
5.25%, 06/29/2021 (6)(8) | 578,120 | 579,566 | ||||||
4.94%, 06/30/2021 | 496,193 | 494,332 | ||||||
T-Mobile USA, Inc. | ||||||||
3.52%, 11/30/2022 | 2,553,654 | 2,582,919 | ||||||
Tumi Holdings, Inc. | ||||||||
3.28%, 04/13/2021 | 557,000 | 556,538 | ||||||
Uber Technologies | ||||||||
5.00%, 07/13/2023 | 1,745,625 | 1,747,807 | ||||||
Univision Communications | ||||||||
4.00%, 03/01/2020 | 837,329 | 841,516 | ||||||
US Renal Care, Inc. | ||||||||
5.25%, 12/30/2022 | 1,612,782 | 1,503,919 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
5.25%, 08/05/2020 | 765,482 | 763,139 | ||||||
5.50%, 04/01/2022 | 449,034 | 449,120 | ||||||
Western Digital | ||||||||
4.52%, 04/28/2023 | 1,074,600 | 1,091,052 | ||||||
YUM! Brands | ||||||||
3.49%, 06/16/2023 | 6,347,746 | 6,431,092 | ||||||
|
| |||||||
Total Bank Loans (Cost $91,464,864) | $ | 91,930,615 | ||||||
|
| |||||||
Shares | Value | |||||||
PREFERRED STOCKS – 0.21% | ||||||||
Consumer, Non-cyclical – 0.02% | ||||||||
Allergan plc | 262 | $ | 199,764 | |||||
Teva Pharmaceutical Industries Ltd | 1,242 | 801,090 | ||||||
|
| |||||||
1,000,854 | ||||||||
|
| |||||||
Financials – 0.18% | ||||||||
Citigroup Capital XIII | 153,150 | 3,954,333 | ||||||
Discover Financial Services | 102,575 | 2,634,126 | ||||||
Morgan Stanley | 56,596 | 1,530,356 | ||||||
Morgan Stanley | 37,469 | 1,054,003 | ||||||
|
| |||||||
9,172,818 | ||||||||
|
| |||||||
Industrials – 0.01% | ||||||||
General Electric Capital Corp. | 26,350 | 647,156 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $11,199,412) | $ | 10,820,828 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 8.95% | ||||||||
Money Market Funds – 7.29% | ||||||||
Fidelity Institutional Money Market Government Funds - Class I, 0.39% (4)(7) | 194,970,144 | $ | 194,970,144 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund - Class I, 0.37% (4)(7) | 189,059,665 | 189,059,665 | ||||||
|
| |||||||
384,029,809 | ||||||||
|
| |||||||
Principal Amount | Value | |||||||
Certificate of Deposit – 0.05% | ||||||||
Credit Suisse AG/New York NY, 1.75% | $ | 2,940,000 | 2,943,984 | |||||
|
| |||||||
Commercial Paper – 0.09% | ||||||||
Enbridge Energy Partners LP | 3,140,000 | 3,136,113 | ||||||
Ford Credit Co. LLC | 1,490,000 | 1,471,808 | ||||||
|
| |||||||
4,607,921 | ||||||||
|
| |||||||
U.S. Treasury Bills – 1.52% | ||||||||
U.S. Treasury Bill, 0.00%, 04/06/2017 (5) | 1,525,000 | 1,522,924 |
Principal Amount | Value | |||||||
U.S. Treasury Bill, 0.00%, 11/09/2017 | 28,252,000 | 28,058,163 | ||||||
U.S. Treasury Bill, 0.00%, 3/16/2017 | 15,716,000 | 15,700,284 | ||||||
U.S. Treasury Bill, 0.00%, 6/22/2017 | 25,296,000 | 25,222,009 | ||||||
U.S. Treasury Bill, 0.00%, 1/12/2017 | 9,425,000 | 9,424,058 | ||||||
|
| |||||||
79,927,438 | ||||||||
|
| |||||||
Total Short-Term Investments (Cost $471,513,901) | $ | 471,509,152 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 104.98% | ||||||||
(Cost $5,573,075,005) | $ | 5,532,152,151 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.98)% | (262,274,125 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 5,269,878,026 | ||||||
|
|
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 $683,775,297, which represents 12.98% of total net assets. |
(2) | Inflation protected security. The value of these securities total $82,701,485 which represents 1.57% of total net assets. |
(3) | Delayed delivery purchase commitment security. The value of these securities total $159,416,874, which represents 3.03% of total net assets. |
(4) | Partially assigned as collateral for certain delayed delivery securities. |
(5) | Partially assigned as collateral for certain futures and swap contracts. The value of the pledged issues total $3,395,379, which represents 0.06% of total net assets. |
(6) | Security is treated as illiquid by the Fund. The value of this security totals $579,566, which represents 0.01% of the total net assets. |
(7) | Represents annualized seven-day yield as of the close of the reporting period. |
(8) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities total $10,389,375, which represents 0.20% of total net assets. |
Open Futures Contracts
Number of | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
(307) | U.S. 10 Year Note Future | Goldman Sachs | Mar. 2017 | $ | (38,237,798 | ) | $ | (38,154,344 | ) | $ | 83,454 | |||||||
206 | U.S. 2 Year Note Future | Goldman Sachs | Mar. 2017 | 44,683,020 | 44,637,625 | (45,395 | ) | |||||||||||
595 | U.S. 5 Year Note Future | Goldman Sachs | Mar. 2017 | 70,166,820 | 70,010,117 | (156,703 | ) | |||||||||||
60 | U.S. Ultra Bond Future | Goldman Sachs | Mar. 2017 | 9,702,753 | 9,615,000 | (87,753 | ) | |||||||||||
207 | U.S. Long Bond Future | Goldman Sachs | Mar. 2017 | 31,350,544 | 31,185,844 | (164,700 | ) | |||||||||||
(239) | U.S. 10 Year Ultra Bond Future | Goldman Sachs | Mar. 2017 | (32,098,320 | ) | (32,040,938 | ) | 57,382 | ||||||||||
232 | U.S. 2 Year Note Future | Citigroup | Mar. 2017 | 50,288,271 | 50,271,500 | (16,771 | ) | |||||||||||
889 | U.S. 5 Year Note Future | Citigroup | Mar. 2017 | 104,934,228 | 104,603,352 | (330,876 | ) | |||||||||||
|
| |||||||||||||||||
$ | (661,362 | ) | ||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Over the Counter
Purchase Contracts | Counterparty | Currency | Currency Amount Purchased | Value at Settlement Date | Value at December 31, 2016 | Unrealized (Depreciation) | ||||||||||||||||
Mexican Peso, Expiring 01/20/17 | Canadian Imperial Bank of Commerce | MXN | 8,145,000 | $ | 392,124 | $ | 391,615 | $ | (509 | ) | ||||||||||||
Sales Contracts | Counterparty | Currency | Currency Amount Sold | Value at Settlement Date | Value at December 31, 2016 | Unrealized Appreciation | ||||||||||||||||
Mexican Peso, Expiring 01/20/17 | Royal Bank of Canada | MXN | (27,765,000) | $ | (1,495,613 | ) | $ | (1,334,953 | ) | $ | 160,660 | |||||||||||
Mexican Peso, Expiring 01/20/17 | Royal Bank of Canada | MXN | (30,430,000) | (1,488,820 | ) | (1,463,088 | ) | 25,732 | ||||||||||||||
Mexican Peso, Expiring 01/20/17 | Royal Bank of Canada | MXN | (98,055,000) | (5,198,616 | ) | (4,714,527 | ) | 484,089 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||
(8,183,049 | ) | (7,512,568 | ) | 670,481 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | (7,790,925 | ) | $ | (7,120,953 | ) | $ | 669,972 | |||||||||||||||
|
|
|
|
|
|
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 High Yield Index Series 27 | 5.00% | 12/20/2021 | 3.63% | $ | 5,300,000 | $ | 308,785 | $ | 19,083 | ||||||||||||||||
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 Appreciation/ (Depreciation) | |||||||||||||||||||
Goldman Sachs | Markit CMBX North America AAA CDSI Series 9 | 0.50% | 09/17/2058 | 1.09% | $ | 4,000,000 | $ | (193,164 | ) | $ | 105,288 | |||||||||||||||
Goldman Sachs | Markit CDX North America Emerging Markets Index Series 26 | 1.00% | 12/20/2021 | 2.34 | 3,400,000 | (205,477 | ) | (7,963 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 7,400,000 | $ | (398,641 | ) | $ | 97,325 | ||||||||||||||||||||
|
|
|
|
|
|
Bridge Builder Municipal Bond Fund
Schedule of Investments
December 31, 2016 (Unaudited)
Principal Amount | Value | |||||||
Municipal Bonds – 96.08% | ||||||||
Alabama – 1.04% | ||||||||
County of Jefferson AL Sewer Revenue | ||||||||
5.00%, 10/01/2044 | $ | 1,500,000 | $ | 1,639,665 | ||||
5.25%, 10/01/2048 | 1,650,000 | 1,834,321 | ||||||
5.50%, 10/01/2053 | 715,000 | 803,181 | ||||||
Industrial Development Board of the City of Mobile Alabama | ||||||||
1.65%, 06/01/2034 | 600,000 | 600,570 | ||||||
1.63%, 07/15/2034 | 11,500,000 | 11,497,010 | ||||||
Montgomery Medical Clinic Board | ||||||||
5.00%, 03/01/2019 | 1,500,000 | 1,586,280 | ||||||
5.00%, 03/01/2029 | 1,000,000 | 1,096,060 | ||||||
Selma Industrial Development Board | ||||||||
5.80%, 05/01/2034 | 2,275,000 | 2,525,887 | ||||||
5.38%, 12/01/2035 | 215,000 | 236,272 | ||||||
Water Works Board of the City of Birmingham/The | ||||||||
5.00%, 01/01/2023 | 430,000 | 495,906 | ||||||
|
| |||||||
22,315,152 | ||||||||
|
| |||||||
Alaska – 0.21% | ||||||||
City of Valdez AK | ||||||||
5.00%, 01/01/2021 | 4,000,000 | 4,340,960 | ||||||
|
| |||||||
Arizona – 2.47% | ||||||||
Arizona Health Facilities Authority | ||||||||
5.25%, 01/01/2018 | 1,500,000 | 1,560,450 | ||||||
5.00%, 01/01/2020 | 2,000,000 | 2,186,020 | ||||||
5.00%, 02/01/2042 | 2,000,000 | 2,076,980 | ||||||
City of Phoenix AZ | ||||||||
4.00%, 07/01/2022 | 900,000 | 995,103 | ||||||
City of Phoenix Civic Improvement Corp. | ||||||||
5.25%, 07/01/2017 | 2,750,000 | 2,809,180 | ||||||
County of Pima AZ | ||||||||
4.00%, 07/01/2022 | 13,160,000 | 14,421,254 | ||||||
County of Pima AZ Sewer System Revenue | ||||||||
5.00%, 07/01/2022 | 10,000,000 | 11,524,100 | ||||||
Glendale Industrial Development Authority | ||||||||
5.00%, 12/01/2027 | 1,000,000 | 1,035,130 | ||||||
5.00%, 12/01/2032 | 1,050,000 | 1,086,886 | ||||||
Industrial Development Authority of the City of Phoenix/The | ||||||||
0.90%, 12/01/2035 | 7,300,000 | 7,298,978 | ||||||
Maricopa County Industrial Development Authority | ||||||||
5.00%, 01/01/2020 | 375,000 | 409,879 | ||||||
5.00%, 01/01/2021 | 350,000 | 390,775 | ||||||
5.75%, 01/01/2036 (Acquired 10/20/2016, Cost $98,849)(1)(2)(4) | 100,000 | 89,976 | ||||||
6.00%, 01/01/2048 (Acquired 10/20/2016, Cost $335,000) (1)(2)(4) | 335,000 | 298,974 | ||||||
McAllister Academic Village LLC | ||||||||
5.00%, 07/01/2021 | 200,000 | 224,630 |
Principal Amount | Value | |||||||
5.00%, 07/01/2026 | 600,000 | 705,498 | ||||||
Mohave County Unified School District No 20 Kingman | ||||||||
5.00%, 07/01/2024 | 1,800,000 | 2,080,332 | ||||||
Peoria Industrial Development Authority | ||||||||
5.00%, 11/15/2019 | 170,000 | 172,999 | ||||||
Salt Verde Financial Corp. | ||||||||
5.00%, 12/01/2037 | 3,500,000 | 3,861,095 | ||||||
|
| |||||||
53,228,239 | ||||||||
|
| |||||||
Arkansas – 0.05% | ||||||||
Arkansas State University | ||||||||
4.00%, 03/01/2019 | 500,000 | 525,210 | ||||||
4.00%, 03/01/2020 | 525,000 | 558,936 | ||||||
|
| |||||||
1,084,146 | ||||||||
|
| |||||||
California – 4.66% | ||||||||
Abag Finance Authority for Nonprofit Corp. | ||||||||
5.00%, 08/01/2033 | 1,300,000 | 1,476,423 | ||||||
Acalanes Union High School District | ||||||||
5.00%, 08/01/2018 | 1,160,000 | 1,229,565 | ||||||
Alameda Corridor Transportation Authority | ||||||||
5.00%, 10/01/2036 | 2,500,000 | 2,708,250 | ||||||
5.00%, 10/01/2037 | 2,000,000 | 2,163,240 | ||||||
California Health Facilities Financing Authority | ||||||||
5.63%, 07/01/2025 | 2,130,000 | 2,320,358 | ||||||
1.25%, 10/01/2036 | 2,500,000 | 2,416,050 | ||||||
California Municipal Finance Authority | ||||||||
5.25%, 11/01/2029 | 170,000 | 185,358 | ||||||
California State Public Works Board | ||||||||
4.00%, 05/01/2017 | 11,315,000 | 11,430,752 | ||||||
5.00%, 05/01/2018 | 8,200,000 | 8,604,096 | ||||||
5.00%, 05/01/2018 | 7,065,000 | 7,413,163 | ||||||
5.00%, 11/01/2037 | 235,000 | 259,135 | ||||||
California Statewide Communities Development Authority | ||||||||
5.00%, 10/01/2028 | 1,100,000 | 1,156,419 | ||||||
0.66%, 08/15/2036 | 1,055,000 | 1,055,000 | ||||||
5.00%, 05/15/2040 | 400,000 | 420,740 | ||||||
5.38%, 11/01/2049 | 100,000 | 101,683 | ||||||
Campbell Union High School District | ||||||||
5.00%, 08/01/2021 | 275,000 | 280,844 | ||||||
Centinela Valley Union High School District | ||||||||
4.00%, 08/01/2019 | 415,000 | 440,539 | ||||||
City of San Jose CA | ||||||||
0.95%, 12/01/2017 | 5,000,000 | 4,989,300 | ||||||
Foothill-De Anza Community College District | ||||||||
5.00%, 04/01/2035 | 250,000 | 276,287 | ||||||
5.00%, 04/01/2036 | 200,000 | 220,602 | ||||||
Golden State Tobacco Securitization Corp. | ||||||||
4.50%, 06/01/2027 | 3,785,000 | 3,760,019 | ||||||
5.00%, 06/01/2040 | 2,000,000 | 2,180,260 | ||||||
5.75%, 06/01/2047 | 4,000,000 | 3,828,200 | ||||||
Los Angeles County Public Works Financing Authority | ||||||||
5.00%, 12/01/2029 | 1,200,000 | 1,403,688 | ||||||
5.00%, 12/01/2030 | 2,520,000 | 2,932,650 |
Principal Amount | Value | |||||||
Mendocino-Lake Community College District | ||||||||
5.00%, 08/01/2027 | 1,700,000 | 2,014,551 | ||||||
5.00%, 08/01/2028 | 1,000,000 | 1,178,290 | ||||||
5.00%, 08/01/2029 | 775,000 | 906,052 | ||||||
5.00%, 08/01/2030 | 2,530,000 | 2,934,800 | ||||||
Orange County Community Facilities District | ||||||||
5.25%, 08/15/2045 | 1,000,000 | 1,070,710 | ||||||
Orchard School District | ||||||||
0.00%, 08/01/2022 | 2,940,000 | 2,554,272 | ||||||
Port of Los Angeles | ||||||||
4.00%, 08/01/2017 | 1,000,000 | 1,017,820 | ||||||
Sacramento City Financing Authority | ||||||||
5.00%, 12/01/2033 | 875,000 | 987,508 | ||||||
Sacramento Municipal Utility District | ||||||||
5.00%, 08/15/2028 | 1,475,000 | 1,826,124 | ||||||
State of California | ||||||||
5.00%, 08/01/2017 | 5,000,000 | 5,117,850 | ||||||
5.00%, 09/01/2018 | 4,000,000 | 4,247,000 | ||||||
5.00%, 08/01/2019 | 1,000,000 | 1,087,710 | ||||||
5.00%, 08/01/2023 | 3,000,000 | 3,517,350 | ||||||
5.00%, 08/01/2027 | 620,000 | 735,239 | ||||||
5.00%, 08/01/2030 | 3,500,000 | 4,136,125 | ||||||
1.19%, 12/01/2031 | 750,000 | 737,933 | ||||||
4.00%, 09/01/2035 | 3,625,000 | 3,754,231 | ||||||
|
| |||||||
101,076,186 | ||||||||
|
| |||||||
Colorado – 1.13% | ||||||||
Adams 12 Five Star Schools | ||||||||
5.00%, 12/15/2028 | 2,050,000 | 2,466,703 | ||||||
Colorado Health Facilities Authority | ||||||||
4.00%, 01/01/2019 | 225,000 | 229,268 | ||||||
4.00%, 01/01/2020 | 250,000 | 255,227 | ||||||
5.00%, 02/01/2020 | 1,210,000 | 1,303,364 | ||||||
5.00%, 12/01/2022 | 1,855,000 | 2,031,244 | ||||||
5.00%, 01/01/2024 | 125,000 | 132,711 | ||||||
5.00%, 01/01/2026 | 100,000 | 105,554 | ||||||
5.00%, 01/01/2031 | 100,000 | 102,399 | ||||||
5.25%, 02/01/2031 | 2,250,000 | 2,417,625 | ||||||
5.00%, 01/01/2037 | 125,000 | 125,269 | ||||||
5.00%, 10/01/2038 | 630,000 | 696,074 | ||||||
1.67%, 10/01/2039 | 2,000,000 | 1,978,020 | ||||||
5.25%, 01/01/2040 | 540,000 | 581,288 | ||||||
5.25%, 01/01/2045 | 510,000 | 547,582 | ||||||
6.13%, 12/01/2045 (Acquired 11/20/2015, Cost $276,213) (1) | 275,000 | 284,221 | ||||||
5.00%, 09/01/2046 | 1,000,000 | 1,107,260 | ||||||
Denver Convention Center Hotel Authority | ||||||||
4.00%, 12/01/2020 | 500,000 | 528,115 | ||||||
5.00%, 12/01/2022 | 1,650,000 | 1,838,661 | ||||||
Park Creek Metropolitan District | ||||||||
5.00%, 12/01/2045 | 1,775,000 | 1,862,028 | ||||||
Sierra Ridge Metropolitan District No 2 | ||||||||
4.50%, 12/01/2031 | 750,000 | 706,373 | ||||||
5.50%, 12/01/2046 | 1,500,000 | 1,499,865 | ||||||
Solaris Metropolitan District No 3 | ||||||||
5.00%, 12/01/2036 | 850,000 | 853,816 |
Principal Amount | Value | |||||||
5.00%, 12/01/2046 | 1,880,000 | 1,862,629 | ||||||
Southglenn Metropolitan District | ||||||||
5.00%, 12/01/2046 | 500,000 | 471,875 | ||||||
University of Colorado | ||||||||
5.00%, 06/01/2047 | 500,000 | 566,505 | ||||||
|
| |||||||
24,553,676 | ||||||||
|
| |||||||
Connecticut – 4.18% | ||||||||
City of Hartford CT | ||||||||
5.00%, 04/01/2018 | 2,885,000 | 2,940,392 | ||||||
5.00%, 08/15/2019 | 1,700,000 | 1,813,849 | ||||||
5.00%, 07/15/2021 | 3,300,000 | 3,627,327 | ||||||
5.00%, 07/15/2022 | 2,250,000 | 2,493,338 | ||||||
5.00%, 07/15/2023 | 2,000,000 | 2,229,240 | ||||||
5.00%, 07/15/2026 | 2,430,000 | 2,708,089 | ||||||
City of New Haven CT | ||||||||
5.00%, 08/15/2023 | 900,000 | 1,001,484 | ||||||
5.00%, 08/15/2026 | 325,000 | 365,050 | ||||||
5.00%, 08/15/2029 | 2,000,000 | 2,265,680 | ||||||
5.00%, 08/15/2031 | 1,000,000 | 1,122,360 | ||||||
City of West Haven CT | ||||||||
5.00%, 08/01/2021 | 2,495,000 | 2,771,995 | ||||||
Connecticut State Health & Educational Facility Authority | ||||||||
1.00%, 07/01/2042 | 10,000,000 | 9,818,100 | ||||||
1.00%, 07/01/2042 | 18,000,000 | 17,672,580 | ||||||
2.00%, 07/01/2042 | 1,000,000 | 944,160 | ||||||
5.00%, 07/01/2043 | 1,750,000 | 1,756,545 | ||||||
4.00%, 07/01/2046 | 880,000 | 851,840 | ||||||
Mohegan Tribe of Indians of Connecticut | ||||||||
5.25%, 02/01/2022 (Acquired 11/25/2015, Cost $944,548) (1)(2)(4) | 955,000 | 926,455 | ||||||
State of Connecticut | ||||||||
5.00%, 08/01/2019 | 20,380,000 | 21,974,327 | ||||||
5.00%, 09/01/2022 | 5,725,000 | 6,472,055 | ||||||
5.00%, 08/01/2031 | 4,625,000 | 5,244,704 | ||||||
Town of Hamden CT | ||||||||
5.00%, 08/15/2026 | 500,000 | 571,600 | ||||||
Town of Stratford CT | ||||||||
2.50%, 01/03/2018 | 1,000,000 | 1,011,150 | ||||||
|
| |||||||
90,582,320 | ||||||||
|
| |||||||
Delaware – 0.31% | ||||||||
County of Sussex DE | ||||||||
5.00%, 01/01/2036 | 1,500,000 | 1,548,825 | ||||||
Delaware State Economic Development Authority | ||||||||
5.40%, 02/01/2031 | 500,000 | 545,670 | ||||||
5.00%, 09/01/2036 | 500,000 | 515,815 | ||||||
5.00%, 09/01/2046 | 700,000 | 713,930 | ||||||
Delaware State Health Facilities Authority | ||||||||
0.76%, 10/01/2038 | 3,400,000 | 3,400,000 | ||||||
|
| |||||||
6,724,240 | ||||||||
|
| |||||||
District of Columbia – 0.67% | ||||||||
District of Columbia | ||||||||
0.80%, 11/01/2042 | 8,000,000 | 8,000,000 | ||||||
Metropolitan Washington Airports Authority | ||||||||
5.00%, 10/01/2019 | 1,400,000 | 1,512,910 |
Principal Amount | Value | |||||||
5.00%, 10/01/2023 | 850,000 | 975,324 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | ||||||||
6.50%, 10/01/2041 | 2,000,000 | 2,559,980 | ||||||
Washington Metropolitan Area Transit Authority | ||||||||
4.00%, 07/01/2019 | 1,425,000 | 1,475,117 | ||||||
|
| |||||||
14,523,331 | ||||||||
|
| |||||||
Florida – 6.20% | ||||||||
Alachua County Health Facilities Authority | ||||||||
5.00%, 12/01/2044 | 1,350,000 | 1,441,624 | ||||||
6.38%, 11/15/2049 | 300,000 | 323,688 | ||||||
City of Jacksonville FL | ||||||||
5.00%, 10/01/2021 | 1,165,000 | 1,316,602 | ||||||
5.00%, 10/01/2024 | 1,185,000 | 1,393,145 | ||||||
City of Lakeland FL Department of Electric Utilities | ||||||||
5.00%, 10/01/2017 | 5,200,000 | 5,351,476 | ||||||
City of Tallahassee FL | ||||||||
5.00%, 12/01/2026 | 1,380,000 | 1,515,005 | ||||||
City of Tampa FL | ||||||||
5.00%, 04/01/2040 | 1,115,000 | 1,183,695 | ||||||
County of Broward FL Airport System Revenue | ||||||||
5.00%, 10/01/2022 | 2,435,000 | 2,786,492 | ||||||
5.00%, 10/01/2029 | 500,000 | 559,215 | ||||||
5.00%, 10/01/2042 | 110,000 | 121,028 | ||||||
County of Hillsborough FL | ||||||||
5.00%, 11/01/2025 | 1,775,000 | 2,076,803 | ||||||
County of Miami-Dade FL | ||||||||
5.00%, 07/01/2023 | 1,000,000 | 1,168,450 | ||||||
5.00%, 10/01/2024 | 1,770,000 | 2,044,509 | ||||||
County of Miami-Dade FL Aviation Revenue | ||||||||
5.75%, 10/01/2020 | 615,000 | 682,933 | ||||||
5.25%, 10/01/2021 | 3,000,000 | 3,089,970 | ||||||
5.25%, 10/01/2022 | 5,000,000 | 5,149,950 | ||||||
5.00%, 10/01/2031 | 3,000,000 | 3,275,970 | ||||||
5.00%, 10/01/2035 | 1,000,000 | 1,063,880 | ||||||
County of Miami-Dade Seaport Department | ||||||||
0.75%, 10/01/2050 | 4,000,000 | 4,000,000 | ||||||
Florida Department of Environmental Protection | ||||||||
5.00%, 07/01/2018 | 5,000,000 | 5,275,700 | ||||||
5.00%, 07/01/2019 | 300,000 | 324,789 | ||||||
Florida’s Turnpike Enterprise | ||||||||
5.00%, 07/01/2017 | 2,000,000 | 2,039,700 | ||||||
Greater Orlando Aviation Authority | ||||||||
5.00%, 10/01/2031 | 2,000,000 | 2,256,200 | ||||||
5.00%, 10/01/2033 | 2,000,000 | 2,236,860 | ||||||
Hernando County School District | ||||||||
5.00%, 07/01/2024 | 805,000 | 929,775 | ||||||
5.00%, 07/01/2025 | 1,000,000 | 1,164,370 | ||||||
Jacksonville Housing Finance Authority | ||||||||
0.85%, 08/01/2018 | 1,500,000 | 1,480,755 | ||||||
JEA Electric System Revenue | ||||||||
5.00%, 10/01/2020 | 4,400,000 | 4,888,224 | ||||||
Marion County School Board | ||||||||
5.00%, 06/01/2026 | 1,435,000 | 1,668,790 |
Principal Amount | Value | |||||||
Martin County Health Facilities Authority | ||||||||
5.00%, 11/15/2023 | 800,000 | 896,416 | ||||||
Miami-Dade County Educational Facilities Authority | ||||||||
5.00%, 04/01/2040 | 2,000,000 | 2,184,560 | ||||||
Miami-Dade County Expressway Authority | ||||||||
5.00%, 07/01/2019 | 1,250,000 | 1,351,375 | ||||||
5.00%, 07/01/2030 | 1,225,000 | 1,412,890 | ||||||
Miami-Dade County Industrial Development Authority | ||||||||
4.00%, 09/15/2019 | 385,000 | 396,088 | ||||||
Orange County Health Facilities Authority | ||||||||
5.00%, 01/01/2020 | 1,000,000 | 1,065,690 | ||||||
Orange County School Board | ||||||||
5.00%, 08/01/2029 | 1,000,000 | 1,153,430 | ||||||
Orlando-Orange County Expressway Authority | ||||||||
5.00%, 07/01/2017 | 2,105,000 | 2,146,700 | ||||||
Palm Beach County Health Facilities Authority | ||||||||
7.50%, 06/01/2049 | 100,000 | 116,292 | ||||||
Palm Beach County School District | ||||||||
5.00%, 08/01/2030 | 4,520,000 | 5,151,082 | ||||||
5.00%, 08/01/2032 | 3,000,000 | 3,378,030 | ||||||
Reedy Creek Improvement District | ||||||||
5.00%, 06/01/2021 | 1,855,000 | 2,091,865 | ||||||
5.00%, 06/01/2023 | 2,740,000 | 3,188,867 | ||||||
School Board of Miami-Dade County/The | ||||||||
5.00%, 05/01/2025 | 3,000,000 | 3,472,350 | ||||||
5.00%, 02/01/2030 | 500,000 | 563,655 | ||||||
5.00%, 05/01/2031 | 5,000,000 | 5,680,150 | ||||||
School District of Broward County/FL | ||||||||
5.00%, 07/01/2021 | 4,000,000 | 4,485,320 | ||||||
Seminole Tribe of Florida, Inc. | ||||||||
5.50%, 10/01/2024 (Acquired 09/15/2015 through 09/30/2015, Cost $3,578,156) (1) | 3,500,000 | 3,578,330 | ||||||
South Broward Hospital District | ||||||||
5.00%, 05/01/2019 | 2,195,000 | 2,359,713 | ||||||
5.00%, 05/01/2021 | 2,035,000 | 2,277,572 | ||||||
State of Florida | ||||||||
5.00%, 06/01/2017 | 2,500,000 | 2,541,575 | ||||||
5.00%, 06/01/2018 | 3,500,000 | 3,687,810 | ||||||
5.00%, 06/01/2019 | 1,210,000 | 1,310,273 | ||||||
5.00%, 06/01/2019 | 1,320,000 | 1,429,388 | ||||||
5.00%, 07/01/2019 | 3,500,000 | 3,798,165 | ||||||
5.00%, 07/01/2023 | 2,630,000 | 3,085,174 | ||||||
5.00%, 07/01/2024 | 2,460,000 | 2,923,833 | ||||||
State of Florida Lottery Revenue | ||||||||
5.00%, 07/01/2018 | 4,915,000 | 5,188,274 | ||||||
5.00%, 07/01/2020 | 2,000,000 | 2,217,620 | ||||||
5.00%, 07/01/2020 | 315,000 | 349,051 | ||||||
|
| |||||||
134,291,136 | ||||||||
|
| |||||||
Georgia – 1.70% | ||||||||
Burke County Development Authority | ||||||||
1.75%, 12/01/2049 | 200,000 | 200,312 | ||||||
City of Atlanta GA | ||||||||
5.00%, 01/01/2017 | 375,000 | 375,000 | ||||||
5.00%, 01/01/2018 | 315,000 | 326,762 |
Principal Amount | Value | |||||||
5.00%, 01/01/2019 | 225,000 | 240,100 | ||||||
5.00%, 01/01/2020 | 275,000 | 299,403 | ||||||
City of Atlanta GA Water & Wastewater Revenue | ||||||||
5.50%, 11/01/2017 | 3,010,000 | 3,118,059 | ||||||
5.00%, 11/01/2021 | 1,000,000 | 1,142,170 | ||||||
City of East Point GA | ||||||||
4.00%, 08/01/2017 | 340,000 | 344,236 | ||||||
4.00%, 08/01/2018 | 400,000 | 411,188 | ||||||
5.00%, 08/01/2019 | 955,000 | 1,014,353 | ||||||
5.00%, 08/01/2020 | 415,000 | 447,876 | ||||||
5.00%, 08/01/2021 | 250,000 | 273,783 | ||||||
Georgia Housing & Finance Authority | ||||||||
1.40%, 06/01/2018 | 750,000 | 749,010 | ||||||
Gwinnett County School District | ||||||||
5.00%, 02/01/2032 | 1,000,000 | 1,042,110 | ||||||
Main Street Natural Gas, Inc. | ||||||||
5.00%, 03/15/2018 | 2,000,000 | 2,070,900 | ||||||
Monroe County Development Authority | ||||||||
2.35%, 10/01/2048 | 500,000 | 499,435 | ||||||
Municipal Electric Authority of Georgia | ||||||||
5.00%, 01/01/2019 | 1,000,000 | 1,068,530 | ||||||
5.00%, 01/01/2020 | 2,095,000 | 2,290,505 | ||||||
5.00%, 01/01/2020 | 2,980,000 | 3,258,094 | ||||||
4.00%, 01/01/2021 | 350,000 | 376,848 | ||||||
5.00%, 01/01/2022 | 250,000 | 283,535 | ||||||
5.00%, 01/01/2023 | 250,000 | 287,713 | ||||||
Peach County Development Authority | ||||||||
1.20%, 10/01/2018 | 2,000,000 | 1,988,360 | ||||||
Private Colleges & Universities Authority | ||||||||
5.00%, 04/01/2027 | 1,900,000 | 2,087,701 | ||||||
5.00%, 10/01/2032 | 1,300,000 | 1,524,107 | ||||||
5.00%, 04/01/2044 | 800,000 | 833,456 | ||||||
Savannah Economic Development Authority | ||||||||
7.25%, 01/01/2049 | 120,000 | 129,452 | ||||||
Savannah Housing Authority | ||||||||
1.15%, 07/01/2019 | 3,700,000 | 3,662,593 | ||||||
State of Georgia | ||||||||
5.00%, 02/01/2018 | 3,035,000 | 3,163,805 | ||||||
5.00%, 07/01/2026 | 2,625,000 | 3,226,099 | ||||||
|
| |||||||
36,735,495 | ||||||||
|
| |||||||
Guam – 0.07% | ||||||||
Guam Government Waterworks Authority | ||||||||
5.00%, 07/01/2035 | 1,500,000 | 1,562,865 | ||||||
|
| |||||||
Hawaii – 0.11% | ||||||||
City & County of Honolulu HI | ||||||||
5.00%, 10/01/2029 | 2,000,000 | 2,357,580 | ||||||
|
| |||||||
Idaho – 0.45% | ||||||||
Idaho Health Facilities Authority | ||||||||
5.00%, 12/01/2020 | 2,900,000 | 3,224,075 | ||||||
5.00%, 03/01/2034 | 3,155,000 | 3,408,567 | ||||||
Idaho Housing & Finance Association | ||||||||
0.80%, 04/01/2017 | 3,150,000 | 3,147,984 | ||||||
|
| |||||||
9,780,626 | ||||||||
|
|
Principal Amount | Value | |||||||
Illinois – 8.87% | ||||||||
Chicago Board of Education | ||||||||
5.00%, 12/01/2021 | 2,000,000 | 2,003,780 | ||||||
0.00%, 12/01/2025 | 265,000 | 173,093 | ||||||
5.00%, 12/01/2041 | 785,000 | 633,228 | ||||||
5.25%, 12/01/2041 | 3,000,000 | 2,387,910 | ||||||
5.00%, 12/01/2042 | 200,000 | 155,010 | ||||||
6.50%, 12/01/2046 | 100,000 | 91,441 | ||||||
Chicago Midway International Airport | ||||||||
5.00%, 01/01/2021 | 5,000,000 | 5,499,700 | ||||||
5.00%, 01/01/2027 | 1,800,000 | 2,027,394 | ||||||
5.00%, 01/01/2032 | 2,000,000 | 2,133,440 | ||||||
5.00%, 01/01/2034 | 1,000,000 | 1,058,570 | ||||||
5.00%, 01/01/2046 | 300,000 | 328,629 | ||||||
Chicago O’Hare International Airport | ||||||||
5.00%, 01/01/2021 | 500,000 | 553,385 | ||||||
5.00%, 01/01/2022 | 700,000 | 784,168 | ||||||
5.00%, 01/01/2022 | 520,000 | 572,411 | ||||||
5.00%, 01/01/2022 | 500,000 | 560,280 | ||||||
5.00%, 01/01/2023 | 1,000,000 | 1,136,460 | ||||||
5.00%, 01/01/2025 | 415,000 | 467,916 | ||||||
5.00%, 01/01/2030 | 2,000,000 | 2,244,520 | ||||||
5.00%, 01/01/2030 | 2,000,000 | 2,188,540 | ||||||
5.00%, 01/01/2031 | 700,000 | 762,944 | ||||||
5.00%, 01/01/2032 | 1,300,000 | 1,411,280 | ||||||
5.00%, 01/01/2042 | 500,000 | 535,685 | ||||||
Chicago Park District | ||||||||
5.00%, 01/01/2017 | 1,000,000 | 1,000,000 | ||||||
Chicago Transit Authority | ||||||||
5.25%, 06/01/2024 | 2,000,000 | 2,185,220 | ||||||
5.00%, 06/01/2026 | 8,275,000 | 9,122,691 | ||||||
City of Chicago IL | ||||||||
4.25%, 01/01/2020 | 465,000 | 485,153 | ||||||
5.00%, 01/01/2020 | 3,500,000 | 3,526,145 | ||||||
5.25%, 01/01/2021 | 1,565,000 | 1,572,011 | ||||||
5.00%, 01/01/2022 | 460,000 | 501,888 | ||||||
5.00%, 01/01/2023 | 1,535,000 | 1,610,921 | ||||||
5.00%, 01/01/2026 | 425,000 | 453,518 | ||||||
5.00%, 01/01/2027 | 500,000 | 529,690 | ||||||
5.25%, 01/01/2027 | 2,435,000 | 2,383,183 | ||||||
5.00%, 01/01/2028 | 865,000 | 893,813 | ||||||
5.00%, 01/01/2035 | 750,000 | 693,787 | ||||||
5.50%, 01/01/2035 | 1,000,000 | 976,570 | ||||||
City of Chicago IL Motor Fuel Tax Revenue | ||||||||
5.00%, 01/01/2025 | 2,000,000 | 2,067,860 | ||||||
City of Chicago IL Wastewater Transmission Revenue | ||||||||
5.00%, 01/01/2028 | 1,530,000 | 1,660,325 | ||||||
5.00%, 01/01/2029 | 1,300,000 | 1,401,582 | ||||||
5.00%, 01/01/2033 | 2,000,000 | 2,128,580 | ||||||
5.00%, 01/01/2039 | 1,000,000 | 1,049,660 | ||||||
City of Chicago IL Waterworks Revenue | ||||||||
5.00%, 11/01/2020 | 915,000 | 995,767 | ||||||
5.00%, 11/01/2021 | 1,500,000 | 1,654,950 |
Principal Amount | Value | |||||||
5.00%, 11/01/2024 | 1,150,000 | 1,284,607 | ||||||
5.00%, 11/01/2024 | 250,000 | 279,263 | ||||||
5.00%, 11/01/2033 | 500,000 | 540,600 | ||||||
County of Cook IL | ||||||||
5.25%, 11/15/2022 | 405,000 | 441,681 | ||||||
5.00%, 11/15/2023 | 2,500,000 | 2,827,750 | ||||||
5.00%, 11/15/2025 | 2,500,000 | 2,773,900 | ||||||
5.00%, 11/15/2026 | 1,000,000 | 1,061,120 | ||||||
5.00%, 11/15/2026 | 1,390,000 | 1,550,267 | ||||||
5.25%, 11/15/2028 | 1,035,000 | 1,113,360 | ||||||
5.00%, 11/15/2029 | 1,000,000 | 1,096,150 | ||||||
5.00%, 11/15/2030 | 500,000 | 545,500 | ||||||
Illinois Finance Authority | ||||||||
5.50%, 02/15/2017 | 2,000,000 | 2,010,040 | ||||||
4.00%, 05/15/2023 | 500,000 | 499,700 | ||||||
5.00%, 11/15/2023 | 750,000 | 863,948 | ||||||
5.00%, 05/15/2024 | 350,000 | 404,667 | ||||||
5.25%, 11/15/2026 | 50,000 | 50,056 | ||||||
5.00%, 03/01/2027 | 400,000 | 463,616 | ||||||
5.00%, 03/01/2028 | 450,000 | 517,293 | ||||||
5.00%, 07/01/2030 | 275,000 | 311,622 | ||||||
5.00%, 11/15/2030 | 2,000,000 | 2,214,220 | ||||||
5.25%, 08/15/2031 | 500,000 | 544,860 | ||||||
0.72%, 07/01/2032 | 9,500,000 | 9,500,000 | ||||||
4.75%, 05/15/2033 | 960,000 | 929,174 | ||||||
5.00%, 02/15/2034 | 1,890,000 | 1,947,399 | ||||||
5.00%, 11/15/2034 | 3,000,000 | 3,237,810 | ||||||
5.00%, 08/15/2035 | 600,000 | 624,600 | ||||||
5.00%, 08/15/2035 | 100,000 | 106,395 | ||||||
4.00%, 02/15/2036 | 300,000 | 261,324 | ||||||
5.00%, 02/15/2036 | 170,000 | 172,825 | ||||||
5.00%, 07/01/2036 | 325,000 | 359,921 | ||||||
5.25%, 11/15/2036 | 50,000 | 50,020 | ||||||
5.00%, 05/15/2037 | 1,050,000 | 1,064,984 | ||||||
5.00%, 08/15/2037 | 1,000,000 | 1,036,250 | ||||||
5.00%, 11/15/2038 | 3,795,000 | 4,056,703 | ||||||
8.00%, 05/15/2040 | 500,000 | 558,940 | ||||||
5.00%, 02/15/2041 | 1,530,000 | 1,543,219 | ||||||
5.00%, 08/15/2044 | 200,000 | 207,934 | ||||||
5.00%, 11/15/2045 | 2,500,000 | 2,673,300 | ||||||
8.00%, 05/15/2046 | 1,500,000 | 1,673,835 | ||||||
5.00%, 12/01/2046 | 5,000,000 | 5,280,100 | ||||||
5.25%, 05/15/2047 | 280,000 | 277,046 | ||||||
Illinois Housing Development Authority | ||||||||
1.10%, 06/01/2018 | 2,500,000 | 2,481,825 | ||||||
Illinois Sports Facilities Authority/The | ||||||||
5.00%, 06/15/2017 | 750,000 | 760,395 | ||||||
5.25%, 06/15/2032 | 1,735,000 | 1,902,653 | ||||||
Illinois State Toll Highway Authority | ||||||||
5.00%, 01/01/2038 | 2,700,000 | 2,948,643 | ||||||
5.00%, 01/01/2041 | 10,625,000 | 11,703,969 | ||||||
Kane County School District No 129 West Aurora | ||||||||
5.00%, 02/01/2026 | 1,000,000 | 1,139,050 |
Principal Amount | Value | |||||||
Lake County Community Unit School District No 60 Waukegan | ||||||||
5.00%, 01/01/2026 | 1,000,000 | 1,132,030 | ||||||
5.00%, 01/01/2027 | 2,200,000 | 2,473,900 | ||||||
McCormick Place Metropolitan Pier & Exposition | ||||||||
0.00%, 06/15/2018 | 605,000 | 582,839 | ||||||
McHenry County Community Unit School District No 200 Woodstock | ||||||||
0.00%, 01/15/2024 | 1,000,000 | 809,500 | ||||||
0.00%, 01/15/2025 | 1,000,000 | 778,100 | ||||||
0.00%, 01/15/2026 | 1,000,000 | 748,150 | ||||||
Metropolitan Pier & Exposition Authority | ||||||||
5.00%, 12/15/2020 | 430,000 | 459,941 | ||||||
5.00%, 12/15/2026 | 2,000,000 | 2,095,940 | ||||||
5.00%, 12/15/2028 | 2,400,000 | 2,474,832 | ||||||
0.00%, 12/15/2033 | 5,970,000 | 2,699,157 | ||||||
0.00%, 12/15/2034 | 1,000,000 | 426,920 | ||||||
5.25%, 06/15/2050 | 3,275,000 | 3,332,607 | ||||||
Northern Illinois Municipal Power Agency | ||||||||
5.00%, 12/01/2018 | 125,000 | 132,919 | ||||||
5.00%, 12/01/2019 | 150,000 | 163,126 | ||||||
5.00%, 12/01/2020 | 1,025,000 | 1,134,665 | ||||||
5.00%, 12/01/2022 | 1,575,000 | 1,770,568 | ||||||
State of Illinois | ||||||||
5.00%, 01/01/2017 | 1,145,000 | 1,145,000 | ||||||
5.00%, 02/01/2018 | 200,000 | 205,254 | ||||||
5.50%, 08/01/2018 | 1,955,000 | 2,040,512 | ||||||
5.00%, 02/01/2019 | 425,000 | 438,829 | ||||||
5.00%, 02/01/2020 | 425,000 | 440,143 | ||||||
5.00%, 02/01/2021 | 425,000 | 441,137 | ||||||
5.50%, 07/01/2024 | 1,000,000 | 1,054,000 | ||||||
5.00%, 02/01/2025 | 425,000 | 434,376 | ||||||
5.00%, 05/01/2025 | 3,000,000 | 3,064,350 | ||||||
5.00%, 06/01/2025 | 880,000 | 895,673 | ||||||
5.50%, 07/01/2025 | 400,000 | 422,060 | ||||||
5.00%, 06/01/2026 | 125,000 | 126,302 | ||||||
5.00%, 02/01/2028 | 1,000,000 | 1,007,840 | ||||||
5.00%, 03/01/2028 | 5,130,000 | 5,150,469 | ||||||
5.00%, 05/01/2028 | 265,000 | 266,272 | ||||||
5.00%, 02/01/2029 | 1,000,000 | 1,001,530 | ||||||
5.25%, 02/01/2029 | 3,720,000 | 3,779,111 | ||||||
5.25%, 02/01/2030 | 100,000 | 100,995 | ||||||
5.25%, 02/01/2031 | 760,000 | 765,768 | ||||||
5.00%, 05/01/2032 | 800,000 | 783,184 | ||||||
5.50%, 07/01/2038 | 1,500,000 | 1,522,860 | ||||||
Sugar Grove Public Library District | ||||||||
3.00%, 02/01/2020 | 390,000 | 401,326 | ||||||
Village of Bedford Park IL | ||||||||
4.00%, 12/01/2020 | 1,180,000 | 1,203,930 | ||||||
Village of Mount Prospect IL | ||||||||
2.00%, 12/01/2018 | 820,000 | 828,594 | ||||||
Will & Kankakee Counties School District No 255 | ||||||||
4.00%, 06/01/2018 | 1,070,000 | 1,108,424 | ||||||
|
| |||||||
192,338,765 | ||||||||
|
|
Principal Amount | Value | |||||||
Indiana – 2.38% | ||||||||
City of Evansville IN | ||||||||
0.90%, 06/01/2018 | 5,000,000 | 4,980,250 | ||||||
City of Indianapolis IN Thermal Energy System Revenue | ||||||||
5.00%, 10/01/2017 | 1,000,000 | 1,027,930 | ||||||
City of Whiting IN | ||||||||
5.00%, 11/01/2045 | 2,485,000 | 2,775,323 | ||||||
Indiana Development Finance Authority | ||||||||
1.75%, 10/01/2031 | 3,600,000 | 3,583,440 | ||||||
Indiana Finance Authority | ||||||||
5.00%, 09/15/2019 | 700,000 | 749,651 | ||||||
5.00%, 12/01/2024 | 3,000,000 | 3,563,310 | ||||||
6.00%, 12/01/2026 | 2,035,000 | 2,013,205 | ||||||
5.00%, 09/01/2031 | 300,000 | 333,726 | ||||||
5.25%, 02/01/2033 | 2,500,000 | 2,922,350 | ||||||
5.00%, 03/01/2036 | 4,000,000 | 4,324,960 | ||||||
5.00%, 09/01/2046 | 2,750,000 | 2,549,828 | ||||||
5.00%, 07/01/2048 | 425,000 | 436,840 | ||||||
5.25%, 01/01/2051 | 2,780,000 | 2,894,592 | ||||||
Indiana Health & Educational Facilities Financing Authority | ||||||||
1.75%, 11/15/2031 | 3,000,000 | 2,911,740 | ||||||
Indiana Health Facility Financing Authority | ||||||||
2.00%, 10/01/2026 | 3,990,000 | 4,001,930 | ||||||
1.25%, 11/01/2027 | 1,230,000 | 1,197,380 | ||||||
4.00%, 11/01/2027 | 7,410,000 | 7,535,229 | ||||||
Indianapolis Local Public Improvement Bond Bank | ||||||||
5.00%, 01/01/2021 | 370,000 | 410,552 | ||||||
5.00%, 01/01/2022 | 755,000 | 850,183 | ||||||
5.00%, 01/01/2023 | 245,000 | 279,604 | ||||||
5.00%, 01/01/2029 | 1,000,000 | 1,150,720 | ||||||
5.00%, 01/01/2031 | 1,000,000 | 1,136,660 | ||||||
|
| |||||||
51,629,403 | ||||||||
|
| |||||||
Iowa – 0.38% | ||||||||
City of Altoona IA | ||||||||
5.00%, 06/01/2026 | 2,200,000 | 2,542,584 | ||||||
Iowa Finance Authority | ||||||||
5.25%, 12/01/2025 | 1,500,000 | 1,481,055 | ||||||
4.75%, 08/01/2042 | 270,000 | 261,066 | ||||||
Iowa Higher Education Loan Authority | ||||||||
1.00%, 09/01/2018 | 4,000,000 | 3,943,680 | ||||||
|
| |||||||
8,228,385 | ||||||||
|
| |||||||
Kansas – 0.23% | ||||||||
City of Wichita KS | ||||||||
5.00%, 11/15/2017 | 2,375,000 | 2,453,707 | ||||||
5.25%, 11/15/2024 | 350,000 | 385,270 | ||||||
Kansas Development Finance Authority | ||||||||
5.00%, 11/15/2032 | 2,000,000 | 2,250,420 | ||||||
|
| |||||||
5,089,397 | ||||||||
|
| |||||||
Kentucky – 0.84% | ||||||||
City of Ashland KY | ||||||||
5.00%, 02/01/2030 | 555,000 | 590,348 | ||||||
City of Russell KY | ||||||||
5.00%, 11/01/2022 | 3,200,000 | 3,671,968 |
Principal Amount | Value | |||||||
Kentucky Asset Liability Commission | ||||||||
5.00%, 09/01/2024 | 1,000,000 | 1,164,840 | ||||||
5.00%, 09/01/2025 | 1,250,000 | 1,470,550 | ||||||
Kentucky Economic Development Finance Authority | ||||||||
5.25%, 06/01/2020 | 500,000 | 540,865 | ||||||
5.00%, 06/01/2021 | 250,000 | 270,162 | ||||||
5.50%, 06/01/2021 | 685,000 | 748,157 | ||||||
6.38%, 06/01/2040 | 2,550,000 | 2,738,139 | ||||||
6.50%, 03/01/2045 | 1,000,000 | 1,076,170 | ||||||
5.00%, 05/15/2046 | 500,000 | 446,445 | ||||||
6.25%, 11/15/2046 | 750,000 | 684,203 | ||||||
5.00%, 05/15/2051 | 325,000 | 286,000 | ||||||
Kentucky Public Transportation Infrastructure Authority | ||||||||
5.00%, 07/01/2017 | 910,000 | 924,196 | ||||||
6.00%, 07/01/2053 | 530,000 | 577,101 | ||||||
Louisville/Jefferson County Metropolitan Government | ||||||||
5.00%, 10/01/2020 | 1,140,000 | 1,241,939 | ||||||
5.00%, 10/01/2023 | 1,565,000 | 1,760,719 | ||||||
|
| |||||||
18,191,802 | ||||||||
|
| |||||||
Louisiana – 1.26% | ||||||||
City of New Orleans LA | ||||||||
5.00%, 12/01/2019 | 2,450,000 | 2,669,471 | ||||||
Jefferson Parish Hospital Service District No 1 | ||||||||
5.50%, 01/01/2026 | 3,000,000 | 3,420,420 | ||||||
Louisiana Housing Corp. | ||||||||
1.00%, 09/01/2019 | 2,000,000 | 1,981,540 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Authority | ||||||||
6.50%, 08/01/2029 | 2,000,000 | 2,233,240 | ||||||
Louisiana Public Facilities Authority | ||||||||
5.00%, 06/01/2021 | 7,695,000 | 8,605,088 | ||||||
New Orleans Aviation Board | ||||||||
5.00%, 01/01/2024 | 1,400,000 | 1,585,724 | ||||||
5.00%, 01/01/2040 | 1,540,000 | 1,696,387 | ||||||
5.00%, 01/01/2040 | 1,000,000 | 1,075,590 | ||||||
Parish of St John the Baptist LA | ||||||||
5.13%, 06/01/2037 | 1,000,000 | 1,000,040 | ||||||
State of Louisiana | ||||||||
5.00%, 11/15/2017 | 1,000,000 | 1,033,760 | ||||||
5.00%, 02/01/2018 | 2,000,000 | 2,080,280 | ||||||
|
| |||||||
27,381,540 | ||||||||
|
| |||||||
Maine – 0.12% | ||||||||
Maine Health & Higher Educational Facilities Authority | ||||||||
5.00%, 07/01/2041 | 1,010,000 | 1,019,878 | ||||||
5.00%, 07/01/2046 | 1,650,000 | 1,660,032 | ||||||
|
| |||||||
2,679,910 | ||||||||
|
| |||||||
Maryland – 2.49% | ||||||||
City of Westminster MD | ||||||||
6.25%, 07/01/2044 | 1,100,000 | 1,145,969 | ||||||
County of Anne Arundel MD | ||||||||
5.00%, 04/01/2018 | 1,115,000 | 1,168,487 | ||||||
Maryland Community Development Administration | ||||||||
1.35%, 01/01/2019 (Acquired 06/22/2016, Cost $2,200,000) (1) | 2,200,000 | 2,166,802 | ||||||
1.15%, 02/01/2019 | 5,000,000 | 4,896,350 |
Principal Amount | Value | |||||||
Maryland Economic Development Corp. | ||||||||
5.00%, 06/01/2019 | 3,415,000 | 3,691,239 | ||||||
5.00%, 03/31/2024 | 2,500,000 | 2,728,700 | ||||||
5.00%, 09/30/2027 | 50,000 | 56,053 | ||||||
5.00%, 09/30/2030 | 905,000 | 994,188 | ||||||
5.00%, 03/31/2046 | 1,295,000 | 1,369,579 | ||||||
5.00%, 03/31/2051 | 665,000 | 700,584 | ||||||
Maryland Health & Higher Educational Facilities Authority | ||||||||
5.00%, 08/15/2017 | 1,370,000 | 1,402,524 | ||||||
5.00%, 07/01/2018 | 2,100,000 | 2,217,726 | ||||||
5.50%, 01/01/2028 | 2,500,000 | 2,607,375 | ||||||
5.50%, 01/01/2029 | 1,500,000 | 1,682,460 | ||||||
5.50%, 01/01/2030 | 1,750,000 | 1,946,122 | ||||||
5.00%, 07/01/2032 | 750,000 | 801,397 | ||||||
5.00%, 07/01/2035 | 75,000 | 78,460 | ||||||
1.24%, 05/15/2038 | 1,000,000 | 1,001,400 | ||||||
5.00%, 08/15/2038 | 1,945,000 | 2,116,452 | ||||||
4.00%, 07/01/2042 | 120,000 | 111,990 | ||||||
5.00%, 07/01/2045 | 1,500,000 | 1,552,425 | ||||||
5.50%, 01/01/2046 | 1,075,000 | 1,167,934 | ||||||
Maryland Stadium Authority | ||||||||
5.00%, 06/15/2021 | 900,000 | 1,015,488 | ||||||
Maryland State Transportation Authority | ||||||||
5.00%, 03/01/2023 | 1,000,000 | 1,108,950 | ||||||
State of Maryland | ||||||||
5.25%, 03/01/2017 | 500,000 | 503,470 | ||||||
5.00%, 11/01/2018 | 3,000,000 | 3,205,380 | ||||||
5.00%, 03/01/2020 | 6,000,000 | 6,642,780 | ||||||
5.00%, 08/01/2020 | 655,000 | 710,374 | ||||||
5.00%, 08/01/2022 | 3,000,000 | 3,492,930 | ||||||
State of Maryland Department of Transportation | ||||||||
5.00%, 12/01/2019 | 1,625,000 | 1,784,624 | ||||||
|
| |||||||
54,068,212 | ||||||||
|
| |||||||
Massachusetts – 2.73% | ||||||||
City of Boston MA | ||||||||
5.00%, 04/01/2023 | 2,095,000 | 2,465,878 | ||||||
City of Springfield MA | ||||||||
5.00%, 08/01/2017 | 4,580,000 | 4,685,844 | ||||||
Commonwealth of Massachusetts | ||||||||
4.00%, 12/01/2017 | 6,015,000 | 6,176,142 | ||||||
4.00%, 08/01/2019 | 1,000,000 | 1,062,320 | ||||||
5.00%, 09/01/2028 | 2,000,000 | 2,373,240 | ||||||
5.00%, 12/01/2030 | 1,500,000 | 1,792,305 | ||||||
1.05%, 08/01/2043 | 10,500,000 | 10,353,525 | ||||||
5.00%, 03/01/2046 | 205,000 | 227,732 | ||||||
Commonwealth of Massachusetts Transportation Fund Revenue | ||||||||
5.00%, 06/01/2025 | 2,490,000 | 2,828,242 | ||||||
Massachusetts Development Finance Agency | ||||||||
1.05%, 11/01/2017 | 1,000,000 | 996,250 | ||||||
5.00%, 01/01/2031 | 475,000 | 508,497 | ||||||
5.00%, 01/01/2032 | 635,000 | 676,097 | ||||||
5.00%, 01/01/2033 | 540,000 | 571,779 | ||||||
5.00%, 01/01/2034 | 710,000 | 748,241 | ||||||
5.00%, 01/01/2035 | 745,000 | 780,276 |
Principal Amount | Value | |||||||
5.00%, 01/01/2036 | 1,100,000 | 1,150,160 | ||||||
1.20%, 07/01/2050 | 4,000,000 | 3,982,400 | ||||||
Massachusetts Educational Financing Authority | ||||||||
4.00%, 01/01/2018 | 1,500,000 | 1,528,935 | ||||||
4.00%, 07/01/2019 | 2,000,000 | 2,069,020 | ||||||
5.00%, 07/01/2021 | 1,000,000 | 1,082,970 | ||||||
Massachusetts Health & Educational Facilities Authority | ||||||||
5.00%, 10/01/2017 | 2,000,000 | 2,056,760 | ||||||
1.60%, 07/01/2038 | 5,400,000 | 5,416,632 | ||||||
Massachusetts School Building Authority | ||||||||
5.00%, 01/15/2028 | 1,500,000 | 1,767,630 | ||||||
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue | ||||||||
5.00%, 01/01/2019 | 1,500,000 | 1,605,240 | ||||||
Massachusetts Water Resources Authority | ||||||||
5.00%, 08/01/2040 | 1,900,000 | 2,176,659 | ||||||
|
| |||||||
59,082,774 | ||||||||
|
| |||||||
Michigan – 3.50% | ||||||||
Calhoun County Hospital Finance Authority | ||||||||
5.00%, 02/15/2037 | 1,695,000 | 1,712,340 | ||||||
City of Detroit MI Sewage Disposal System Revenue | ||||||||
5.25%, 07/01/2039 | 3,340,000 | 3,613,980 | ||||||
City of Wyandotte MI Electric System Revenue | ||||||||
5.00%, 10/01/2021 | 750,000 | 819,930 | ||||||
5.00%, 10/01/2022 | 800,000 | 883,744 | ||||||
5.00%, 10/01/2023 | 500,000 | 556,065 | ||||||
5.00%, 10/01/2024 | 765,000 | 843,803 | ||||||
County of Kent MI | ||||||||
5.00%, 06/01/2028 | 700,000 | 833,567 | ||||||
Great Lakes Water Authority Sewage Disposal System Revenue | ||||||||
5.00%, 07/01/2030 | 3,000,000 | 3,340,170 | ||||||
5.00%, 07/01/2036 | 1,000,000 | 1,083,240 | ||||||
Holly Area School District | ||||||||
4.00%, 05/01/2017 | 500,000 | 504,690 | ||||||
Lake Orion Community School District | ||||||||
5.00%, 05/01/2020 | 1,390,000 | 1,524,760 | ||||||
5.00%, 05/01/2021 | 1,385,000 | 1,547,045 | ||||||
Michigan Finance Authority | ||||||||
5.00%, 11/15/2019 | 75,000 | 80,964 | ||||||
5.00%, 11/15/2020 | 65,000 | 71,371 | ||||||
5.00%, 11/15/2021 | 175,000 | 194,649 | ||||||
5.00%, 11/15/2022 | 275,000 | 309,224 | ||||||
5.00%, 10/01/2024 | 3,000,000 | 3,580,500 | ||||||
5.00%, 10/01/2025 | 5,000,000 | 6,036,650 | ||||||
5.00%, 07/01/2030 | 600,000 | 668,868 | ||||||
5.00%, 07/01/2033 | 350,000 | 377,857 | ||||||
Michigan State Building Authority | ||||||||
5.00%, 10/15/2021 | 1,750,000 | 1,979,512 | ||||||
Michigan State Hospital Finance Authority | ||||||||
1.63%, 11/01/2027 | 3,255,000 | 3,228,700 | ||||||
1.40%, 11/15/2047 | 7,565,000 | 7,581,643 | ||||||
1.50%, 11/15/2047 | 6,000,000 | 6,006,240 | ||||||
Michigan Strategic Fund | ||||||||
1.45%, 09/01/2030 | 1,260,000 | 1,218,937 |
Principal Amount | Value | |||||||
Portage Public Schools | ||||||||
5.00%, 11/01/2028 | 1,000,000 | 1,160,670 | ||||||
State of Michigan | ||||||||
5.00%, 03/15/2020 | 1,670,000 | 1,834,579 | ||||||
5.00%, 03/15/2021 | 2,700,000 | 3,021,948 | ||||||
5.00%, 03/15/2022 | 1,170,000 | 1,325,633 | ||||||
5.00%, 03/15/2023 | 2,000,000 | 2,292,620 | ||||||
5.00%, 03/15/2027 | 1,000,000 | 1,187,060 | ||||||
University of Michigan | ||||||||
5.00%, 04/01/2017 | 5,220,000 | 5,272,148 | ||||||
Wayne County Airport Authority | ||||||||
5.00%, 12/01/2018 | 250,000 | 264,868 | ||||||
5.00%, 12/01/2019 | 200,000 | 215,968 | ||||||
5.00%, 12/01/2020 | 200,000 | 219,742 | ||||||
5.00%, 12/01/2021 | 475,000 | 529,492 | ||||||
5.00%, 12/01/2022 | 200,000 | 225,300 | ||||||
5.00%, 12/01/2023 | 400,000 | 455,704 | ||||||
5.00%, 12/01/2024 | 375,000 | 431,700 | ||||||
5.00%, 12/01/2027 | 3,000,000 | 3,344,100 | ||||||
5.00%, 12/01/2040 | 4,000,000 | 4,365,960 | ||||||
5.00%, 12/01/2042 | 1,000,000 | 1,061,820 | ||||||
|
| |||||||
75,807,761 | ||||||||
|
| |||||||
Minnesota – 1.29% | ||||||||
City of Minneapolis MN | ||||||||
1.10%, 01/01/2018 | 3,000,000 | 2,980,110 | ||||||
City of North Oaks MN | ||||||||
5.00%, 10/01/2047 | 1,000,000 | 989,080 | ||||||
City of Rochester MN | ||||||||
5.00%, 12/01/2025 | 850,000 | 902,649 | ||||||
5.25%, 12/01/2038 | 1,000,000 | 1,022,790 | ||||||
Forest Lake Independent School District No 831 | ||||||||
5.00%, 02/01/2017 | 2,805,000 | 2,813,163 | ||||||
State of Minnesota | ||||||||
5.00%, 08/01/2018 | 2,650,000 | 2,807,198 | ||||||
5.00%, 11/01/2018 | 1,830,000 | 1,953,909 | ||||||
5.00%, 12/01/2018 | 1,000,000 | 1,070,380 | ||||||
5.00%, 08/01/2019 | 2,875,000 | 3,134,038 | ||||||
5.00%, 08/01/2019 | 1,060,000 | 1,155,506 | ||||||
5.00%, 10/01/2019 | 2,685,000 | 2,939,995 | ||||||
5.00%, 03/01/2020 | 1,040,000 | 1,144,655 | ||||||
5.00%, 06/01/2020 | 2,345,000 | 2,595,868 | ||||||
5.00%, 08/01/2021 | 1,000,000 | 1,140,780 | ||||||
5.00%, 08/01/2026 | 1,000,000 | 1,227,880 | ||||||
|
| |||||||
27,878,001 | ||||||||
|
| |||||||
Mississippi – 0.66% | ||||||||
County of Warren MS | ||||||||
6.50%, 09/01/2032 | 300,000 | 321,561 | ||||||
State of Mississippi | ||||||||
3.00%, 10/15/2017 | 1,500,000 | 1,520,595 | ||||||
4.00%, 10/15/2018 | 2,100,000 | 2,190,594 | ||||||
5.00%, 10/15/2019 | 4,545,000 | 4,939,824 | ||||||
5.00%, 10/15/2020 | 1,750,000 | 1,939,385 | ||||||
5.00%, 10/15/2021 | 1,300,000 | 1,462,929 |
Principal Amount | Value | |||||||
5.00%, 10/15/2022 | 1,750,000 | 1,995,070 | ||||||
14,369,958 | ||||||||
|
| |||||||
Missouri – 0.61% | ||||||||
Health & Educational Facilities Authority of the State of Missouri | ||||||||
5.00%, 06/01/2022 | 2,335,000 | 2,666,453 | ||||||
5.00%, 02/01/2029 | 1,000,000 | 1,125,210 | ||||||
5.00%, 02/01/2035 | 1,000,000 | 1,034,610 | ||||||
5.00%, 02/01/2036 | 200,000 | 218,024 | ||||||
4.00%, 02/01/2040 | 100,000 | 98,515 | ||||||
5.00%, 08/01/2040 | 1,145,000 | 1,146,386 | ||||||
5.00%, 02/01/2045 | 300,000 | 323,841 | ||||||
Missouri Highway & Transportation Commission | ||||||||
5.00%, 05/01/2018 | 2,990,000 | 3,143,417 | ||||||
St Louis County Industrial Development Authority | ||||||||
5.00%, 12/01/2025 | 1,185,000 | 1,249,381 | ||||||
5.13%, 08/15/2045 | 200,000 | 191,460 | ||||||
St Louis Land Clearance for Redevelopment Authority | ||||||||
5.38%, 06/01/2043 | 2,000,000 | 2,028,220 | ||||||
|
| |||||||
13,225,517 | ||||||||
|
| |||||||
Nebraska – 0.05% | ||||||||
Central Plains Energy Project | ||||||||
5.00%, 09/01/2019 | 915,000 | 984,394 | ||||||
|
| |||||||
Nevada – 0.82% | ||||||||
City of Las Vegas NV | ||||||||
5.00%, 09/01/2030 | 1,815,000 | 2,114,729 | ||||||
Clark County School District | ||||||||
5.00%, 06/15/2018 | 4,000,000 | 4,148,840 | ||||||
Clark County Water Reclamation District | ||||||||
5.00%, 07/01/2026 | 500,000 | 606,895 | ||||||
County of Clark NV | ||||||||
5.00%, 11/01/2028 | 3,000,000 | 3,597,450 | ||||||
5.00%, 11/01/2032 | 3,000,000 | 3,438,870 | ||||||
County of Washoe NV | ||||||||
1.50%, 08/01/2031 | 1,000,000 | 981,330 | ||||||
3.00%, 03/01/2036 | 700,000 | 716,156 | ||||||
Las Vegas Valley Water District | ||||||||
5.00%, 06/01/2039 | 1,950,000 | 2,190,513 | ||||||
|
| |||||||
17,794,783 | ||||||||
|
| |||||||
New Hampshire – 0.33% | ||||||||
New Hampshire Business Finance Authority | ||||||||
4.00%, 01/01/2017 | 520,000 | 520,000 | ||||||
4.00%, 01/01/2018 | 545,000 | 556,859 | ||||||
4.00%, 01/01/2019 | 565,000 | 585,357 | ||||||
5.00%, 01/01/2024 | 720,000 | 795,838 | ||||||
New Hampshire Health and Education Facilities Authority Act | ||||||||
5.00%, 10/01/2028(2)(4) | 1,580,000 | 1,734,398 | ||||||
5.00%, 10/01/2032(2)(4) | 2,825,000 | 3,041,395 | ||||||
|
| |||||||
7,233,847 | ||||||||
|
| |||||||
New Jersey – 3.48% | ||||||||
Burlington County Bridge Commission | ||||||||
5.63%, 01/01/2038 | 750,000 | 768,375 | ||||||
City of New Brunswick NJ | ||||||||
3.00%, 06/06/2017 | 5,000,000 | 5,033,700 |
Principal Amount | Value | |||||||
New Brunswick Parking Authority | ||||||||
5.00%, 09/01/2039 | 2,000,000 | 2,235,220 | ||||||
New Jersey Economic Development Authority | ||||||||
5.00%, 06/15/2019 | 4,500,000 | 4,715,955 | ||||||
4.00%, 01/01/2020 | 115,000 | 116,782 | ||||||
5.00%, 03/01/2023 | 4,045,000 | 4,236,571 | ||||||
5.00%, 03/01/2024 | 2,405,000 | 2,514,380 | ||||||
5.00%, 06/15/2024 | 2,000,000 | 2,097,420 | ||||||
5.00%, 06/15/2025 | 5,190,000 | 5,474,931 | ||||||
5.50%, 01/01/2027 | 500,000 | 544,780 | ||||||
5.63%, 11/15/2030 | 2,095,000 | 2,247,788 | ||||||
5.00%, 01/01/2031 | 500,000 | 533,990 | ||||||
5.25%, 01/01/2044 | 190,000 | 194,345 | ||||||
5.63%, 01/01/2052 | 2,000,000 | 2,139,820 | ||||||
New Jersey Educational Facilities Authority | ||||||||
5.00%, 07/01/2020 | 375,000 | 418,504 | ||||||
5.00%, 07/01/2021 | 225,000 | 256,646 | ||||||
5.00%, 06/01/2023 | 930,000 | 986,916 | ||||||
5.00%, 07/01/2023 | 3,390,000 | 3,772,290 | ||||||
New Jersey Health Care Facilities Financing Authority | ||||||||
5.00%, 07/01/2022(2)(4) | 500,000 | 541,105 | ||||||
5.00%, 07/01/2024 | 2,500,000 | 2,799,625 | ||||||
5.00%, 07/01/2025 | 1,580,000 | 1,759,962 | ||||||
5.00%, 07/01/2028 | 155,000 | 176,317 | ||||||
5.00%, 07/01/2031 | 430,000 | 471,577 | ||||||
5.63%, 07/01/2032 | 380,000 | 441,697 | ||||||
5.00%, 07/01/2033 | 500,000 | 548,675 | ||||||
5.00%, 07/01/2046 | 1,000,000 | 1,060,290 | ||||||
New Jersey Higher Education Student Assistance Authority | ||||||||
5.00%, 12/01/2019 | 500,000 | 532,930 | ||||||
5.50%, 12/01/2021 | 2,000,000 | 2,194,860 | ||||||
5.00%, 12/01/2044 | 1,000,000 | 1,018,650 | ||||||
New Jersey Housing & Mortgage Finance Agency | ||||||||
0.80%, 11/01/2017 | 3,000,000 | 2,996,130 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
5.00%, 06/15/2020 | 1,325,000 | 1,415,564 | ||||||
5.00%, 06/15/2022 | 750,000 | 808,785 | ||||||
5.25%, 12/15/2022 | 1,760,000 | 1,908,245 | ||||||
5.00%, 12/15/2023 | 2,700,000 | 2,847,177 | ||||||
5.25%, 12/15/2023 | 3,690,000 | 3,946,418 | ||||||
5.00%, 06/15/2025 | 450,000 | 473,503 | ||||||
0.00%, 12/15/2026 | 2,400,000 | 1,538,760 | ||||||
5.00%, 06/15/2029 | 1,200,000 | 1,273,224 | ||||||
0.00%, 12/15/2030 | 2,000,000 | 1,093,060 | ||||||
New Jersey Turnpike Authority | ||||||||
5.00%, 01/01/2017 | 255,000 | 255,000 | ||||||
5.00%, 01/01/2020 | 1,220,000 | 1,334,595 | ||||||
Tobacco Settlement Financing Corp./NJ | ||||||||
4.50%, 06/01/2023 | 985,000 | 991,511 | ||||||
4.63%, 06/01/2026 | 2,500,000 | 2,482,025 | ||||||
5.00%, 06/01/2041 | 2,470,000 | 2,146,924 | ||||||
|
| |||||||
75,345,022 | ||||||||
|
|
Principal Amount | Value | |||||||
New Mexico – 0.24% | ||||||||
Albuquerque Municipal School District No 12 | ||||||||
5.00%, 08/01/2025 | 800,000 | 956,584 | ||||||
Farmington Municipal School District No 5/NM | ||||||||
5.00%, 09/01/2024 | 490,000 | 580,478 | ||||||
Town of Clayton NM | ||||||||
4.00%, 11/01/2020 | 3,545,000 | 3,742,882 | ||||||
|
| |||||||
5,279,944 | ||||||||
|
| |||||||
New York – 9.58% | ||||||||
Binghamton City School District | ||||||||
2.50%, 11/17/2017 | 800,000 | 808,248 | ||||||
Brooklyn Arena Local Development Corp. | ||||||||
5.00%, 07/15/2017 | 50,000 | 50,962 | ||||||
5.00%, 07/15/2020 | 50,000 | 54,425 | ||||||
5.00%, 07/15/2021 | 300,000 | 330,699 | ||||||
5.00%, 07/15/2022 | 175,000 | 195,064 | ||||||
5.00%, 07/15/2023 | 150,000 | 167,947 | ||||||
5.00%, 07/15/2024 | 250,000 | 281,135 | ||||||
Build NYC Resource Corp. | ||||||||
5.00%, 08/01/2022 | 200,000 | 225,078 | ||||||
5.00%, 08/01/2023 | 230,000 | 261,360 | ||||||
5.00%, 01/01/2035 (Acquired 09/23/2015, Cost $3,166,202) (1) | 3,000,000 | 3,140,700 | ||||||
Chautauqua County Capital Resource Corp. | ||||||||
1.30%, 11/01/2031 | 1,100,000 | 1,086,866 | ||||||
City of New York NY | ||||||||
5.00%, 08/01/2017 | 6,365,000 | 6,514,323 | ||||||
4.00%, 08/01/2018 | 1,165,000 | 1,214,524 | ||||||
5.00%, 08/01/2018 | 3,850,000 | 4,073,415 | ||||||
5.00%, 08/01/2021 | 6,000,000 | 6,788,280 | ||||||
5.00%, 08/01/2022 | 1,065,000 | 1,221,161 | ||||||
1.27%, 08/01/2025 | 500,000 | 500,235 | ||||||
5.00%, 08/01/2027 | 2,975,000 | 3,492,948 | ||||||
5.00%, 08/01/2028 | 5,275,000 | 6,208,200 | ||||||
5.00%, 08/01/2028 | 3,975,000 | 4,643,873 | ||||||
0.75%, 08/01/2034 | 5,000,000 | 5,000,000 | ||||||
City of Syracuse NY | ||||||||
2.00%, 06/30/2017 | 1,200,000 | 1,204,260 | ||||||
City of Yonkers NY | ||||||||
4.00%, 07/01/2018 | 2,000,000 | 2,074,240 | ||||||
5.00%, 09/01/2022 | 2,350,000 | 2,665,934 | ||||||
5.00%, 09/01/2025 | 1,015,000 | 1,183,003 | ||||||
County of Erie NY | ||||||||
5.00%, 06/01/2017 | 1,000,000 | 1,016,390 | ||||||
5.00%, 09/15/2017 | 550,000 | 565,141 | ||||||
5.00%, 06/01/2018 | 500,000 | 526,325 | ||||||
5.00%, 09/15/2018 | 365,000 | 387,809 | ||||||
5.00%, 06/01/2019 | 1,000,000 | 1,078,920 | ||||||
5.00%, 09/15/2019 | 500,000 | 543,265 | ||||||
5.00%, 06/01/2020 | 500,000 | 551,740 | ||||||
5.00%, 09/15/2020 | 350,000 | 388,524 | ||||||
5.00%, 06/01/2021 | 750,000 | 843,068 | ||||||
5.00%, 09/15/2021 | 225,000 | 254,232 | ||||||
5.00%, 06/01/2025 | 1,630,000 | 1,927,687 | ||||||
County of Rockland NY | ||||||||
4.00%, 01/01/2021 | 1,100,000 | 1,178,694 |
Principal Amount | Value | |||||||
County of Suffolk NY | ||||||||
2.00%, 07/26/2017 | 13,400,000 | 13,452,394 | ||||||
Dutchess County Local Development Corp. | ||||||||
5.00%, 07/01/2033 | 400,000 | 442,304 | ||||||
Glen Cove Local Economic Assistance Corp. | ||||||||
0.00%, 01/01/2045 | 530,000 | 95,437 | ||||||
0.00%, 01/01/2055 | 710,000 | 479,250 | ||||||
5.00%, 01/01/2056 | 485,000 | 453,572 | ||||||
Lawrence Union Free School District | ||||||||
1.50%, 06/23/2017 | 2,500,000 | 2,501,800 | ||||||
Metropolitan Transportation Authority | ||||||||
5.00%, 11/15/2019 | 2,005,000 | 2,190,142 | ||||||
5.00%, 11/15/2019 | 1,290,000 | 1,409,118 | ||||||
5.00%, 11/15/2020 | 2,000,000 | 2,228,940 | ||||||
1.03%, 11/01/2032 | 1,000,000 | 999,240 | ||||||
MTA Hudson Rail Yards Trust Obligations | ||||||||
5.00%, 11/15/2051 | 1,500,000 | 1,596,945 | ||||||
Nassau County Industrial Development Agency | ||||||||
6.50%, 01/01/2034 | 500,000 | 495,940 | ||||||
6.70%, 01/01/2049 | 285,000 | 278,086 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||
5.00%, 11/01/2018 | 1,650,000 | 1,761,408 | ||||||
5.00%, 02/01/2019 | 1,000,000 | 1,074,760 | ||||||
0.96%, 11/01/2022 | 1,550,000 | 1,550,000 | ||||||
1.20%, 11/01/2022 | 5,260,000 | 5,260,000 | ||||||
5.00%, 11/01/2028 | 1,500,000 | 1,770,465 | ||||||
5.00%, 11/01/2029 | 2,000,000 | 2,331,000 | ||||||
5.00%, 02/01/2030 | 4,480,000 | 5,245,139 | ||||||
0.75%, 11/01/2036 | 1,600,000 | 1,600,000 | ||||||
5.00%, 02/01/2041 | 200,000 | 224,822 | ||||||
New York City Water & Sewer System | ||||||||
5.00%, 06/15/2031 | 6,075,000 | 7,073,791 | ||||||
0.94%, 06/15/2032 | 7,000,000 | 7,000,000 | ||||||
New York Convention Center Development Corp. | ||||||||
5.00%, 11/15/2033 | 3,000,000 | 3,391,410 | ||||||
New York Liberty Development Corp. | ||||||||
5.25%, 10/01/2035 | 2,285,000 | 2,726,119 | ||||||
5.38%, 11/15/2040 (Acquired 09/15/2015, Cost $1,562,951) (1) | 1,500,000 | 1,602,390 | ||||||
5.00%, 11/15/2044 (Acquired 09/18/2015, Cost $1,509,687) (1) | 1,500,000 | 1,550,115 | ||||||
New York State Dormitory Authority | ||||||||
5.00%, 03/15/2018 | 4,000,000 | 4,185,040 | ||||||
5.00%, 08/15/2018 | 1,425,000 | 1,511,127 | ||||||
5.00%, 03/15/2019 | 3,500,000 | 3,780,000 | ||||||
5.00%, 03/15/2021 | 2,000,000 | 2,265,180 | ||||||
5.00%, 07/01/2022 | 250,000 | 284,342 | ||||||
5.00%, 07/01/2023 | 250,000 | 288,030 | ||||||
5.00%, 12/15/2023 | 1,000,000 | 1,164,900 | ||||||
5.00%, 05/01/2024 | 4,870,000 | 5,679,881 | ||||||
5.00%, 07/01/2024 | 250,000 | 289,668 | ||||||
5.00%, 07/01/2025 | 250,000 | 292,120 | ||||||
5.00%, 03/15/2027 | 2,500,000 | 2,942,175 | ||||||
New York State Thruway Authority | ||||||||
5.00%, 05/01/2019 | 23,275,000 | 25,076,950 |
Principal Amount | Value | |||||||
New York State Urban Development Corp. | ||||||||
5.00%, 12/15/2019 | 625,000 | 687,200 | ||||||
5.00%, 03/15/2020 | 3,215,000 | 3,554,022 | ||||||
5.00%, 03/15/2023 | 700,000 | 818,643 | ||||||
5.00%, 03/15/2024 | 400,000 | 473,844 | ||||||
5.00%, 03/15/2035 | 2,800,000 | 3,146,360 | ||||||
New York Transportation Development Corp. | ||||||||
5.00%, 01/01/2023 | 125,000 | 141,390 | ||||||
5.00%, 08/01/2031 | 2,975,000 | 3,040,063 | ||||||
5.00%, 07/01/2046 | 800,000 | 829,048 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.00%, 09/01/2017 | 3,000,000 | 3,076,770 | ||||||
5.00%, 10/15/2033 | 3,500,000 | 3,879,715 | ||||||
Sachem Central School District | ||||||||
1.50%, 06/29/2017 | 1,800,000 | 1,801,512 | ||||||
Sales Tax Asset Receivable Corp. | ||||||||
5.00%, 10/15/2017 | 1,500,000 | 1,547,775 | ||||||
Suffolk County Economic Development Corp. | ||||||||
5.00%, 07/01/2028 | 300,000 | 340,389 | ||||||
5.00%, 07/01/2028 | 1,750,000 | 1,900,570 | ||||||
Tompkins County Development Corp. | ||||||||
5.00%, 07/01/2044 | 125,000 | 128,136 | ||||||
Town of Oyster Bay NY | ||||||||
4.00%, 06/01/2018 | 500,000 | 501,480 | ||||||
Upper Mohawk Valley Regional Water Finance Authority | ||||||||
5.00%, 04/01/2019 | 500,000 | 539,065 | ||||||
Westchester County Local Development Corp. | ||||||||
5.50%, 05/01/2042 | 150,000 | 152,384 | ||||||
|
| |||||||
207,751,041 | ||||||||
|
| |||||||
North Carolina – 2.44% | ||||||||
Charlotte-Mecklenburg Hospital Authority/The | ||||||||
5.00%, 01/15/2031 | 1,500,000 | 1,674,630 | ||||||
City of Charlotte NC | ||||||||
5.00%, 07/01/2020 | 2,000,000 | 2,229,840 | ||||||
City of Charlotte NC Airport Revenue | ||||||||
5.00%, 07/01/2022 | 1,310,000 | 1,479,147 | ||||||
County of Guilford NC | ||||||||
5.00%, 02/01/2019 | 1,585,000 | 1,705,856 | ||||||
County of Mecklenburg NC | ||||||||
5.00%, 08/01/2018 | 3,000,000 | 3,179,910 | ||||||
5.00%, 12/01/2021 | 2,050,000 | 2,356,659 | ||||||
County of Wake NC | ||||||||
5.00%, 03/01/2020 | 1,515,000 | 1,677,302 | ||||||
5.00%, 09/01/2021 | 350,000 | 400,466 | ||||||
5.00%, 12/01/2027 | 3,785,000 | 4,595,823 | ||||||
Mecklenburg County Public Facilities Corp. | ||||||||
5.00%, 03/01/2024 | 2,600,000 | 2,799,758 | ||||||
North Carolina Capital Facilities Finance Agency | ||||||||
5.00%, 06/01/2019 | 500,000 | 534,320 | ||||||
5.00%, 06/01/2021 | 500,000 | 550,290 | ||||||
1.25%, 06/01/2038 | 450,000 | 450,000 | ||||||
North Carolina Eastern Municipal Power Agency | ||||||||
5.00%, 01/01/2020 | 1,000,000 | 1,071,800 | ||||||
5.00%, 01/01/2021 | 1,420,000 | 1,521,956 | ||||||
5.00%, 01/01/2021 | 1,965,000 | 2,214,869 | ||||||
5.00%, 01/01/2026 | 5,000,000 | 5,359,000 | ||||||
North Carolina Medical Care Commission | ||||||||
4.00%, 10/01/2019 | 15,000 | 15,379 |
Principal Amount | Value | |||||||
5.00%, 10/01/2020 | 20,000 | 21,186 | ||||||
5.00%, 10/01/2021 | 25,000 | 26,590 | ||||||
5.00%, 10/01/2022 | 40,000 | 42,686 | ||||||
5.00%, 10/01/2023 | 30,000 | 31,919 | ||||||
5.00%, 10/01/2024 | 35,000 | 37,140 | ||||||
5.00%, 10/01/2025 | 25,000 | 26,411 | ||||||
5.00%, 10/01/2030 | 2,100,000 | 2,069,088 | ||||||
5.00%, 10/01/2030 | 400,000 | 424,352 | ||||||
5.00%, 10/01/2031 | 225,000 | 237,593 | ||||||
6.25%, 07/01/2035 | 1,000,000 | 1,119,590 | ||||||
5.00%, 10/01/2036(2)(4) | 330,000 | 364,726 | ||||||
5.00%, 09/01/2037 | 2,000,000 | 2,038,080 | ||||||
5.00%, 10/01/2037 | 250,000 | 248,385 | ||||||
4.88%, 07/01/2040 | 550,000 | 541,304 | ||||||
North Carolina Municipal Power Agency No 1 | ||||||||
5.00%, 01/01/2020 | 1,100,000 | 1,211,441 | ||||||
5.00%, 01/01/2025 | 2,935,000 | 3,148,727 | ||||||
5.00%, 01/01/2026 | 2,515,000 | 2,698,142 | ||||||
State of North Carolina | ||||||||
5.00%, 06/01/2017 | 2,400,000 | 2,440,320 | ||||||
5.00%, 05/01/2018 | 800,000 | 840,936 | ||||||
5.00%, 06/01/2020 | 1,360,000 | 1,514,088 | ||||||
|
| |||||||
52,899,709 | ||||||||
|
| |||||||
North Dakota – 0.02% | ||||||||
City of Hazen ND | ||||||||
2.50%, 07/01/2017 | 500,000 | 500,410 | ||||||
|
| |||||||
Ohio – 1.83% | ||||||||
Akron Bath Copley Joint Township Hospital District | ||||||||
5.25%, 11/15/2031 | 530,000 | 583,519 | ||||||
5.25%, 11/15/2032 | 645,000 | 706,830 | ||||||
5.25%, 11/15/2033 | 1,770,000 | 1,930,645 | ||||||
American Municipal Power, Inc. | ||||||||
5.00%, 02/15/2046 | 740,000 | 813,800 | ||||||
Buckeye Tobacco Settlement Financing Authority | ||||||||
6.50%, 06/01/2047 | 3,000,000 | 2,787,120 | ||||||
City of Cleveland OH Airport System Revenue | ||||||||
5.25%, 01/01/2018 | 1,215,000 | 1,261,146 | ||||||
City of Columbus OH | ||||||||
5.00%, 07/01/2020 | 1,040,000 | 1,157,645 | ||||||
City of Trenton OH Water System Revenue | ||||||||
2.00%, 12/01/2017 | 285,000 | 285,841 | ||||||
2.00%, 12/01/2018 | 265,000 | 265,442 | ||||||
Clermont County Port Authority | ||||||||
5.00%, 12/01/2029 | 750,000 | 853,875 | ||||||
5.00%, 12/01/2030 | 850,000 | 963,492 | ||||||
5.00%, 12/01/2031 | 650,000 | 733,577 | ||||||
County of Belmont OH | ||||||||
1.38%, 08/31/2017(4) | 400,000 | 399,944 |
Principal Amount | Value | |||||||
County of Cuyahoga OH | ||||||||
5.00%, 12/01/2026 | 2,500,000 | 2,872,700 | ||||||
County of Hamilton OH | ||||||||
4.00%, 01/01/2021 | 450,000 | 460,665 | ||||||
5.00%, 01/01/2022 | 465,000 | 496,234 | ||||||
Ohio Air Quality Development Authority | ||||||||
3.75%, 12/01/2023 | 3,000,000 | 1,323,060 | ||||||
Ohio Housing Finance Agency | ||||||||
0.85%, 08/01/2017 | 2,000,000 | 1,996,520 | ||||||
Ohio Water Development Authority | ||||||||
4.00%, 12/01/2033 | 1,285,000 | 556,045 | ||||||
Southeastern Ohio Port Authority | ||||||||
5.75%, 12/01/2032 | 220,000 | 240,306 | ||||||
5.50%, 12/01/2043 | 1,000,000 | 1,038,220 | ||||||
St Bernard-Elmwood Place City School District | ||||||||
2.75%, 05/03/2017 | 880,000 | 882,851 | ||||||
State of Ohio | ||||||||
4.00%, 09/01/2021 | 3,980,000 | 4,352,488 | ||||||
1.70%, 11/01/2022 | 3,000,000 | 2,993,550 | ||||||
University of Akron/The | ||||||||
5.00%, 01/01/2037 | 6,675,000 | 7,403,510 | ||||||
University of Cincinnati | ||||||||
5.00%, 06/01/2027 | 2,000,000 | 2,385,280 | ||||||
|
| |||||||
39,744,305 | ||||||||
|
| |||||||
Oklahoma – 0.59% | ||||||||
Cleveland County Educational Facilities Authority | ||||||||
5.00%, 07/01/2018 | 1,000,000 | 1,052,400 | ||||||
5.00%, 06/01/2023 | 500,000 | 571,325 | ||||||
Garvin County Educational Facilities Authority | ||||||||
4.00%, 09/01/2017 | 500,000 | 509,240 | ||||||
5.00%, 12/01/2024 | 515,000 | 593,656 | ||||||
5.00%, 12/01/2025 | 545,000 | 630,538 | ||||||
5.00%, 12/01/2026 | 320,000 | 370,915 | ||||||
Norman Regional Hospital Authority | ||||||||
4.00%, 09/01/2018 | 125,000 | 129,027 | ||||||
5.00%, 09/01/2020 | 350,000 | 379,992 | ||||||
5.00%, 09/01/2021 | 325,000 | 357,783 | ||||||
5.00%, 09/01/2022 | 325,000 | 359,281 | ||||||
Oklahoma County Finance Authority | ||||||||
5.70%, 04/01/2025 | 650,000 | 650,741 | ||||||
5.13%, 04/01/2042 | 1,900,000 | 1,898,518 | ||||||
Oklahoma Development Finance Authority | ||||||||
3.00%, 06/01/2022 | 1,015,000 | 1,055,103 | ||||||
4.00%, 12/01/2022 | 530,000 | 579,173 | ||||||
4.00%, 06/01/2023 | 1,305,000 | 1,430,711 | ||||||
3.00%, 06/01/2024 | 1,750,000 | 1,787,362 | ||||||
4.00%, 06/01/2024 | 380,000 | 414,284 | ||||||
|
| |||||||
12,770,049 | ||||||||
|
| |||||||
Oregon – 0.70% | ||||||||
County of Washington OR | ||||||||
5.00%, 03/01/2022 | 3,000,000 | 3,462,570 |
Principal Amount | Value | |||||||
Klamath Falls Intercommunity Hospital Authority | ||||||||
5.00%, 09/01/2031 | 200,000 | 224,740 | ||||||
5.00%, 09/01/2032 | 270,000 | 301,990 | ||||||
5.00%, 09/01/2046 | 1,000,000 | 1,090,270 | ||||||
Port of Portland OR | ||||||||
5.00%, 07/01/2032 | 1,000,000 | 1,121,140 | ||||||
5.00%, 07/01/2033 | 3,485,000 | 3,897,310 | ||||||
State of Oregon Department of Transportation | ||||||||
5.00%, 11/15/2023 | 2,000,000 | 2,165,640 | ||||||
State of Oregon Housing & Community Services Department | ||||||||
0.80%, 08/01/2018 | 3,000,000 | 2,999,010 | ||||||
|
| |||||||
15,262,670 | ||||||||
|
| |||||||
Pennsylvania – 6.92% | ||||||||
Allegheny County Airport Authority | ||||||||
5.00%, 01/01/2017 | 1,755,000 | 1,755,000 | ||||||
Capital Region Water | ||||||||
5.00%, 07/15/2023 | 1,750,000 | 2,009,717 | ||||||
Central Greene School District | ||||||||
5.00%, 02/15/2018 | 860,000 | 894,976 | ||||||
City of Philadelphia PA | ||||||||
5.00%, 08/01/2017 | 2,000,000 | 2,043,300 | ||||||
5.00%, 08/01/2023 | 4,000,000 | 4,542,840 | ||||||
5.00%, 07/15/2026 | 2,475,000 | 2,806,650 | ||||||
5.00%, 08/01/2028 | 6,000,000 | 6,837,720 | ||||||
Commonwealth Financing Authority | ||||||||
5.00%, 06/01/2025 | 1,500,000 | 1,732,230 | ||||||
Commonwealth of Pennsylvania | ||||||||
5.00%, 04/01/2017 | 1,000,000 | 1,009,750 | ||||||
5.00%, 02/01/2020 | 2,050,000 | 2,237,472 | ||||||
5.00%, 11/01/2020 | 2,800,000 | 3,071,796 | ||||||
5.00%, 02/01/2021 | 1,400,000 | 1,557,640 | ||||||
5.00%, 08/15/2021 | 1,015,000 | 1,139,419 | ||||||
5.00%, 11/01/2021 | 2,000,000 | 2,225,740 | ||||||
5.00%, 02/01/2022 | 1,470,000 | 1,661,217 | ||||||
5.00%, 09/15/2022 | 1,750,000 | 1,995,770 | ||||||
5.00%, 02/01/2023 | 1,440,000 | 1,645,114 | ||||||
5.00%, 03/15/2023 | 9,970,000 | 11,410,266 | ||||||
5.00%, 02/01/2024 | 1,620,000 | 1,864,021 | ||||||
5.00%, 09/15/2026 | 1,000,000 | 1,171,710 | ||||||
5.00%, 03/15/2031 | 430,000 | 484,395 | ||||||
County of Allegheny PA | ||||||||
4.00%, 12/01/2017 | 3,725,000 | 3,817,603 | ||||||
Cumberland County Municipal Authority | ||||||||
5.25%, 01/01/2041 | 170,000 | 170,960 | ||||||
Dauphin County General Authority | ||||||||
5.00%, 06/01/2020 | 815,000 | 896,223 | ||||||
Delaware County Authority | ||||||||
5.00%, 08/01/2030 | 1,150,000 | 1,316,140 | ||||||
Delaware Valley Regional Finance Authority | ||||||||
5.75%, 07/01/2017 | 3,000,000 | 3,068,430 | ||||||
Doylestown Hospital Authority | ||||||||
5.00%, 07/01/2046 | 3,700,000 | 3,917,782 | ||||||
Lancaster County Hospital Authority/PA | ||||||||
5.00%, 07/01/2045 | 1,970,000 | 1,988,991 |
Principal Amount | Value | |||||||
Montgomery County Higher Education & Health Authority | �� | |||||||
5.00%, 10/01/2028(2)(4) | 1,000,000 | 1,096,010 | ||||||
5.00%, 10/01/2036(2)(4) | 1,000,000 | 1,055,970 | ||||||
Montgomery County Industrial Development Authority/PA | ||||||||
5.25%, 01/15/2036 | 2,500,000 | 2,652,800 | ||||||
5.25%, 01/01/2040 | 1,510,000 | 1,408,890 | ||||||
5.38%, 01/01/2050 | 500,000 | 463,400 | ||||||
Northampton County General Purpose Authority | ||||||||
5.50%, 08/15/2040 | 125,000 | 133,300 | ||||||
Octorara Area School District | ||||||||
5.00%, 06/01/2018 | 375,000 | 395,014 | ||||||
Pennsylvania Economic Development Financing Authority | ||||||||
4.00%, 03/15/2020 | 1,000,000 | 1,065,730 | ||||||
0.85%, 08/01/2045 | 3,300,000 | 3,299,703 | ||||||
Pennsylvania Higher Educational Facilities Authority | ||||||||
5.00%, 06/15/2022 | 2,000,000 | 2,280,320 | ||||||
5.00%, 06/15/2024 | 3,005,000 | 3,494,635 | ||||||
5.00%, 06/15/2024 | 1,000,000 | 1,162,940 | ||||||
5.00%, 06/15/2025 | 1,855,000 | 2,176,731 | ||||||
1.20%, 11/01/2031 | 2,355,000 | 2,346,569 | ||||||
Pennsylvania State University | ||||||||
5.00%, 03/01/2017 | 1,500,000 | 1,509,615 | ||||||
5.00%, 09/01/2020 | 2,440,000 | 2,726,920 | ||||||
5.00%, 09/01/2021 | 1,400,000 | 1,597,162 | ||||||
5.00%, 09/01/2022 | 2,295,000 | 2,666,721 | ||||||
Pennsylvania Turnpike Commission | ||||||||
5.00%, 06/01/2028 | 2,000,000 | 2,250,540 | ||||||
5.00%, 06/01/2029 | 3,000,000 | 3,360,450 | ||||||
Philadelphia Gas Works Co. | ||||||||
5.00%, 10/01/2022 | 700,000 | 782,271 | ||||||
Reading School District | ||||||||
5.00%, 02/01/2018 | 1,450,000 | 1,503,288 | ||||||
5.00%, 02/01/2019 | 1,660,000 | 1,767,551 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,087,390 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,087,390 | ||||||
5.00%, 02/01/2021 | 1,000,000 | 1,105,600 | ||||||
5.00%, 02/01/2022 | 1,920,000 | 2,153,126 | ||||||
Redevelopment Authority of the City of Philadelphia | ||||||||
5.00%, 04/15/2023 | 1,335,000 | 1,481,850 | ||||||
School District of Philadelphia/The | ||||||||
5.00%, 09/01/2018 | 150,000 | 156,811 | ||||||
5.25%, 09/01/2023 | 1,750,000 | 1,864,048 | ||||||
5.00%, 09/01/2030 | 4,000,000 | 4,327,560 | ||||||
5.00%, 09/01/2031 | 1,000,000 | 1,076,900 | ||||||
State Public School Building Authority | ||||||||
4.00%, 12/01/2020 | 1,590,000 | 1,681,838 | ||||||
5.00%, 12/01/2022 | 7,370,000 | 8,276,584 | ||||||
5.00%, 04/01/2023 | 2,500,000 | 2,675,475 | ||||||
5.00%, 06/15/2025 | 3,000,000 | 3,418,200 | ||||||
5.00%, 06/01/2029 | 500,000 | 569,525 | ||||||
5.00%, 12/01/2029 | 2,000,000 | 2,283,420 | ||||||
5.25%, 09/15/2030 | 1,000,000 | 1,091,450 | ||||||
5.00%, 12/01/2032 | 3,060,000 | 3,444,061 |
Principal Amount | Value | |||||||
Susquehanna Area Regional Airport Authority | ||||||||
6.50%, 01/01/2038 | 475,000 | 490,585 | ||||||
Unionville-Chadds Ford School District | ||||||||
5.00%, 06/01/2026 | 1,000,000 | 1,209,290 | ||||||
|
| |||||||
149,950,505 | ||||||||
|
| |||||||
Puerto Rico – 0.20% | ||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | ||||||||
5.25%, 07/01/2042 | 1,500,000 | 1,125,000 | ||||||
5.13%, 07/01/2047 | 1,000,000 | 1,004,340 | ||||||
Puerto Rico Electric Power Authority | ||||||||
5.00%, 07/01/2019 | 1,500,000 | 1,502,565 | ||||||
5.50%, 07/01/2019 | 500,000 | 530,690 | ||||||
5.25%, 07/01/2027 | 145,000 | 155,282 | ||||||
|
| |||||||
4,317,877 | ||||||||
|
| |||||||
Rhode Island – 0.43% | ||||||||
Providence Redevelopment Agency | ||||||||
5.00%, 04/01/2028 | 1,200,000 | 1,281,708 | ||||||
Rhode Island Commerce Corp. | ||||||||
5.00%, 06/15/2019 | 1,040,000 | 1,117,678 | ||||||
5.00%, 06/15/2020 | 3,200,000 | 3,508,992 | ||||||
5.00%, 06/15/2021 | 625,000 | 696,737 | ||||||
Rhode Island Health & Educational Building Corp. | ||||||||
5.00%, 09/01/2031 | 710,000 | 724,129 | ||||||
5.00%, 05/15/2034 | 600,000 | 635,376 | ||||||
5.00%, 09/01/2036 | 100,000 | 99,622 | ||||||
5.00%, 05/15/2039 | 600,000 | 625,944 | ||||||
Rhode Island Infrastructure Bank Water Pollution Control Revolving Fund | ||||||||
5.00%, 10/01/2028 | 500,000 | 591,960 | ||||||
|
| |||||||
9,282,146 | ||||||||
|
| |||||||
South Carolina – 1.60% | ||||||||
Piedmont Municipal Power Agency | ||||||||
5.00%, 01/01/2017 | 13,185,000 | 13,185,000 | ||||||
Scago Educational Facilities Corp. for Sumter County School 17 | ||||||||
4.00%, 12/01/2019 | 630,000 | 661,739 | ||||||
4.00%, 12/01/2021 | 1,895,000 | 2,002,087 | ||||||
Scago Educational Facilities Corp. for Union School District | ||||||||
5.00%, 12/01/2023 | 1,060,000 | 1,209,047 | ||||||
South Carolina Public Service Authority | ||||||||
5.00%, 12/01/2021 | 905,000 | 1,026,713 | ||||||
5.00%, 12/01/2021 | 2,000,000 | 2,268,980 | ||||||
5.00%, 12/01/2050 | 8,640,000 | 9,321,696 | ||||||
South Carolina State Housing Finance & Development Authority | ||||||||
1.05%, 01/01/2019 | 3,500,000 | 3,496,150 | ||||||
State of South Carolina | ||||||||
5.00%, 10/01/2020 | 975,000 | 1,089,923 | ||||||
University of South Carolina | ||||||||
4.00%, 05/01/2031 | 500,000 | 524,185 | ||||||
|
| |||||||
34,785,520 | ||||||||
|
| |||||||
South Dakota – 0.21% | ||||||||
South Dakota Health & Educational Facilities Authority | ||||||||
3.00%, 11/01/2017 | 450,000 | 456,233 | ||||||
5.00%, 09/01/2019 | 300,000 | 323,478 | ||||||
5.00%, 11/01/2029 | 800,000 | 894,880 |
�� | Principal Amount | Value | ||||||
5.00%, 11/01/2030 | 1,000,000 | 1,112,160 | ||||||
5.00%, 11/01/2042 | 145,000 | 156,281 | ||||||
5.00%, 11/01/2045 | 1,500,000 | 1,613,970 | ||||||
|
| |||||||
4,557,002 | ||||||||
|
| |||||||
Tennessee – 1.16% | ||||||||
Blount County Health & Educational Facilities Board | ||||||||
5.00%, 01/01/2037 | 1,240,000 | 1,251,644 | ||||||
Chattanooga Health Educational & Housing Facility Board | ||||||||
3.00%, 10/01/2018 | 500,000 | 509,875 | ||||||
3.00%, 10/01/2019 | 600,000 | 616,224 | ||||||
5.00%, 10/01/2021 | 1,000,000 | 1,123,400 | ||||||
5.00%, 10/01/2022 | 325,000 | 368,362 | ||||||
5.00%, 10/01/2030 | 500,000 | 550,395 | ||||||
5.00%, 10/01/2032 | 1,215,000 | 1,308,251 | ||||||
5.00%, 10/01/2035 | 2,260,000 | 2,411,420 | ||||||
Johnson City Health & Educational Facilities Board | ||||||||
5.00%, 08/15/2042 | 2,000,000 | 2,115,000 | ||||||
Metropolitan Government of Nashville & Davidson County TN | ||||||||
5.00%, 07/01/2017 | 8,000,000 | 8,160,800 | ||||||
Shelby County Health Educational & Housing Facilities Board | ||||||||
5.00%, 09/01/2037 | 1,590,000 | 1,559,774 | ||||||
State of Tennessee | ||||||||
5.00%, 08/01/2018 | 1,000,000 | 1,058,350 | ||||||
Tennessee Energy Acquisition Corp. | ||||||||
5.00%, 02/01/2023 | 870,000 | 969,493 | ||||||
5.00%, 02/01/2027 | 2,725,000 | 3,081,730 | ||||||
|
| |||||||
25,084,718 | ||||||||
|
| |||||||
Texas – 10.31% | ||||||||
Alamito Public Facility Corp. | ||||||||
1.00%, 10/01/2018 | 700,000 | 696,668 | ||||||
Alamo Community College District | ||||||||
4.00%, 02/15/2020 | 1,000,000 | 1,070,340 | ||||||
4.00%, 02/15/2021 | 715,000 | 775,868 | ||||||
4.00%, 02/15/2022 | 665,000 | 729,645 | ||||||
4.00%, 02/15/2023 | 1,000,000 | 1,109,020 | ||||||
Aledo Independent School District | ||||||||
5.00%, 02/15/2043 | 475,000 | 539,681 | ||||||
Austin Affordable Public Facility Corp, Inc. | ||||||||
1.15%, 11/01/2019 | 1,000,000 | 995,490 | ||||||
Austin Convention Enterprises, Inc. | ||||||||
5.25%, 01/01/2024 | 1,330,000 | 1,331,649 | ||||||
Board of Managers Joint Guadalupe County-City of Seguin Hospital | ||||||||
5.25%, 12/01/2035 | 525,000 | 551,250 | ||||||
Brazos Harbor Industrial Development Corp. | ||||||||
5.90%, 05/01/2038 | 1,000,000 | 1,038,460 | ||||||
Central Texas Regional Mobility Authority | ||||||||
5.00%, 01/01/2022 | 990,000 | 1,096,098 | ||||||
5.00%, 01/01/2023 | 175,000 | 194,257 | ||||||
5.00%, 01/01/2024 | 175,000 | 194,934 | ||||||
5.00%, 01/01/2025 | 225,000 | 251,669 | ||||||
5.00%, 01/01/2026 | 150,000 | 167,592 | ||||||
5.00%, 01/01/2028 | 150,000 | 163,836 | ||||||
5.00%, 01/01/2034 | 1,475,000 | 1,595,729 |
Principal Amount | Value | |||||||
4.00%, 01/01/2041 | 750,000 | 668,003 | ||||||
6.00%, 01/01/2041 | 2,125,000 | 2,454,630 | ||||||
5.00%, 01/01/2042 | 1,335,000 | 1,400,388 | ||||||
5.00%, 01/01/2046 | 1,600,000 | 1,703,632 | ||||||
Central Texas Turnpike System | ||||||||
5.00%, 08/15/2037 | 2,500,000 | 2,644,050 | ||||||
City of Austin TX | ||||||||
5.00%, 09/01/2019 | 610,000 | 665,364 | ||||||
5.00%, 09/01/2033 | 2,920,000 | 3,383,871 | ||||||
City of Austin TX Airport System Revenue | ||||||||
5.00%, 11/15/2044 | 255,000 | 275,255 | ||||||
City of Austin TX Water & Wastewater System Revenue | ||||||||
5.00%, 11/15/2020 | 1,350,000 | 1,508,800 | ||||||
5.00%, 11/15/2028 | 1,000,000 | 1,194,100 | ||||||
City of Dallas TX Waterworks & Sewer System Revenue | ||||||||
5.00%, 10/01/2027 | 530,000 | 625,209 | ||||||
5.00%, 10/01/2028 | 2,750,000 | 3,239,335 | ||||||
5.00%, 10/01/2031 | 800,000 | 934,960 | ||||||
City of El Paso TX | ||||||||
5.00%, 08/15/2025 | 2,245,000 | 2,669,687 | ||||||
City of Houston TX Airport System Revenue | ||||||||
5.00%, 07/01/2017 | 1,500,000 | 1,528,665 | ||||||
City of San Antonio TX | ||||||||
5.00%, 02/01/2019 | 1,000,000 | 1,074,120 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue | ||||||||
5.00%, 02/01/2017 | 1,175,000 | 1,178,596 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,099,940 | ||||||
5.00%, 02/01/2032 | 4,250,000 | 4,262,750 | ||||||
3.00%, 12/01/2045 | 5,000,000 | 5,204,100 | ||||||
County of Dallas TX | ||||||||
5.00%, 08/15/2024 | 1,400,000 | 1,661,436 | ||||||
County of El Paso TX | ||||||||
5.00%, 02/15/2031 | 1,280,000 | 1,464,064 | ||||||
County of Williamson TX | ||||||||
5.00%, 02/15/2021 | 1,000,000 | 1,128,780 | ||||||
Cypress-Fairbanks Independent School District | ||||||||
5.00%, 02/15/2017 | 1,205,000 | 1,210,639 | ||||||
5.00%, 02/15/2021 | 4,720,000 | 5,305,894 | ||||||
0.90%, 02/15/2040 | 1,535,000 | 1,516,764 | ||||||
3.00%, 02/15/2040 | 5,000,000 | 5,106,850 | ||||||
3.00%, 02/15/2040 | 4,000,000 | 4,041,240 | ||||||
5.00%, 02/15/2044 | 1,100,000 | 1,234,662 | ||||||
Dallas Area Rapid Transit | ||||||||
5.00%, 12/01/2028 | 2,160,000 | 2,308,219 | ||||||
Dallas County Community College District | ||||||||
5.00%, 02/15/2021 | 7,610,000 | 8,583,547 | ||||||
5.00%, 02/15/2022 | 7,665,000 | 8,792,828 | ||||||
Dallas Independent School District | ||||||||
5.00%, 02/15/2036 | 5,000,000 | 5,691,350 | ||||||
Dallas Love Field | ||||||||
5.00%, 11/01/2035 | 1,000,000 | 1,106,730 | ||||||
Dallas Performing Arts Cultural Facilities Corp. | ||||||||
0.73%, 09/01/2041 | 3,915,000 | 3,915,000 |
Principal Amount | Value | |||||||
Dallas/Fort Worth International Airport | ||||||||
5.00%, 11/01/2017 | 1,000,000 | 1,032,740 | ||||||
5.00%, 11/01/2023 | 245,000 | 276,629 | ||||||
5.00%, 11/01/2038 | 3,110,000 | 3,318,028 | ||||||
Fort Worth Independent School District | ||||||||
5.00%, 02/15/2026 | 1,365,000 | 1,650,135 | ||||||
Garland Independent School District | ||||||||
5.00%, 02/15/2021 | 1,000,000 | 1,124,550 | ||||||
5.00%, 02/15/2022 | 1,000,000 | 1,144,000 | ||||||
Harris County Cultural Education Facilities Finance Corp. | ||||||||
5.00%, 06/01/2018 | 3,000,000 | 3,151,920 | ||||||
0.73%, 12/01/2024 | 1,200,000 | 1,200,000 | ||||||
0.73%, 12/01/2027 | 1,000,000 | 1,000,000 | ||||||
5.00%, 01/01/2043 | 180,000 | 181,015 | ||||||
Harris County Flood Control District | ||||||||
5.00%, 10/01/2025 | 1,000,000 | 1,185,700 | ||||||
Harris County Health Facilities Development Corp. | ||||||||
7.25%, 12/01/2035 | 4,500,000 | 4,994,100 | ||||||
Houston Independent School District | ||||||||
0.95%, 06/01/2035 | 1,000,000 | 998,990 | ||||||
Katy Independent School District | ||||||||
5.00%, 02/15/2045 | 500,000 | 563,070 | ||||||
Love Field Airport Modernization Corp. | ||||||||
5.00%, 11/01/2028 | 250,000 | 274,347 | ||||||
5.25%, 11/01/2040 | 2,965,000 | 3,206,885 | ||||||
Lower Colorado River Authority | ||||||||
5.00%, 05/15/2020 | 1,070,000 | 1,176,016 | ||||||
5.00%, 05/15/2020 | 340,000 | 373,687 | ||||||
5.00%, 05/15/2021 | 800,000 | 896,184 | ||||||
5.00%, 05/15/2022 | 1,025,000 | 1,166,583 | ||||||
Mission Economic Development Corp. | ||||||||
5.75%, 10/01/2031 (Acquired 05/09/2016 through 05/23/2016, Cost $2,353,858) (1) | 2,250,000 | 2,325,172 | ||||||
New Hope Cultural Education Facilities Finance Corp. | ||||||||
5.00%, 04/01/2031 | 335,000 | 360,132 | ||||||
5.00%, 11/01/2031 | 1,000,000 | 1,041,700 | ||||||
5.00%, 07/01/2035 | 2,100,000 | 2,177,889 | ||||||
5.00%, 04/01/2036 | 355,000 | 368,852 | ||||||
5.00%, 11/01/2040 | 1,100,000 | 1,116,137 | ||||||
5.00%, 07/01/2047 | 1,075,000 | 1,099,617 | ||||||
5.00%, 04/01/2048 | 1,250,000 | 1,278,700 | ||||||
5.50%, 11/15/2052 | 150,000 | 131,663 | ||||||
Newark Higher Education Finance Corp. | ||||||||
5.00%, 04/01/2029 | 505,000 | 575,453 | ||||||
North East Independent School District/TX | ||||||||
1.42%, 08/01/2040 | 600,000 | 578,730 | ||||||
North Texas Municipal Water District | ||||||||
5.00%, 06/01/2017 | 2,230,000 | 2,265,702 | ||||||
North Texas Tollway Authority | ||||||||
5.00%, 01/01/2020 | 500,000 | 545,895 | ||||||
5.00%, 09/01/2020 | 1,445,000 | 1,607,851 | ||||||
5.00%, 01/01/2022 | 325,000 | 367,773 | ||||||
5.00%, 01/01/2023 | 3,500,000 | 4,025,875 | ||||||
5.00%, 01/01/2031 | 1,900,000 | 2,132,883 |
Principal Amount | Value | |||||||
5.00%, 01/01/2033 | 3,150,000 | 3,523,369 | ||||||
5.00%, 01/01/2036 | 550,000 | 617,210 | ||||||
5.00%, 01/01/2039 | 125,000 | 139,558 | ||||||
6.25%, 01/01/2039 | 65,000 | 70,440 | ||||||
6.25%, 01/01/2039 | 275,000 | 301,186 | ||||||
5.00%, 01/01/2040 | 2,000,000 | 2,197,060 | ||||||
5.00%, 01/01/2045 | 5,000,000 | 5,522,400 | ||||||
Plano Independent School District | ||||||||
5.00%, 02/15/2018 | 820,000 | 855,399 | ||||||
5.00%, 02/15/2020 | 550,000 | 605,995 | ||||||
5.00%, 02/15/2021 | 550,000 | 618,503 | ||||||
5.00%, 02/15/2022 | 225,000 | 257,990 | ||||||
Rockwall Independent School District | ||||||||
5.00%, 02/15/2046 | 2,200,000 | 2,454,232 | ||||||
State of Texas | ||||||||
5.00%, 04/01/2019 | 2,000,000 | 2,159,040 | ||||||
5.00%, 08/01/2019 | 2,815,000 | 3,064,888 | ||||||
5.00%, 10/01/2019 | 1,950,000 | 2,132,422 | ||||||
5.00%, 04/01/2020 | 2,000,000 | 2,212,420 | ||||||
5.00%, 04/01/2020 | 2,845,000 | 2,981,475 | ||||||
2.00%, 08/01/2025 | 1,000,000 | 1,002,150 | ||||||
5.00%, 04/01/2027 | 5,000,000 | 6,011,600 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | ||||||||
5.00%, 11/15/2035 | 1,750,000 | 1,786,313 | ||||||
5.00%, 11/15/2040 | 1,800,000 | 1,824,336 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. I | ||||||||
2.10%, 12/15/2026 | 2,000,000 | 1,839,440 | ||||||
6.25%, 12/15/2026 | 5,270,000 | 6,173,489 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. III | ||||||||
5.00%, 12/15/2019 | 3,000,000 | 3,216,000 | ||||||
5.00%, 12/15/2032 | 3,000,000 | 3,115,440 | ||||||
Texas Transportation Commission State Highway Fund | ||||||||
5.00%, 10/01/2023 | 5,000,000 | 5,885,950 | ||||||
Texas Water Development Board | ||||||||
5.00%, 10/15/2040 | 1,445,000 | 1,640,248 | ||||||
5.00%, 10/15/2045 | 1,000,000 | 1,129,400 | ||||||
The University of Texas System | ||||||||
5.00%, 08/15/2021 | 505,000 | 574,751 | ||||||
5.00%, 08/15/2026 | 1,750,000 | 2,133,390 | ||||||
University of Texas System/The | ||||||||
5.25%, 08/15/2018 | 1,170,000 | 1,243,242 | ||||||
Ysleta Independent School District | ||||||||
5.00%, 08/15/2045 | 1,810,000 | 2,038,947 | ||||||
|
| |||||||
223,528,530 | ||||||||
|
| |||||||
Utah – 0.32% | ||||||||
Utah Transit Authority | ||||||||
0.00%, 06/15/2035 | 16,935,000 | 6,854,780 | ||||||
|
| |||||||
Vermont – 0.09% | ||||||||
Vermont Educational & Health Buildings Financing Agency | ||||||||
5.00%, 10/15/2027 | 1,000,000 | 1,086,110 | ||||||
5.00%, 10/15/2029 | 890,000 | 949,505 | ||||||
|
| |||||||
2,035,615 | ||||||||
|
|
Principal Amount | Value | |||||||
Virgin Islands – 0.15% | ||||||||
Virgin Islands Public Finance Authority | ||||||||
5.00%, 10/01/2032 (Acquired 09/14/2015 through 09/18/2015, Cost $3,246,996) (1) | 3,000,000 | 3,160,560 | ||||||
|
| |||||||
Virginia – 3.03% | ||||||||
Chesapeake Bay Bridge & Tunnel District | ||||||||
5.00%, 07/01/2051 | 1,000,000 | 1,070,160 | ||||||
Chesterfield County Economic Development Authority | ||||||||
5.00%, 05/01/2023 | 200,000 | 213,542 | ||||||
City of Alexandria VA | ||||||||
4.50%, 06/15/2019 | 2,250,000 | 2,419,852 | ||||||
City of Norfolk VA Water Revenue | ||||||||
5.00%, 11/01/2017 | 1,000,000 | 1,032,570 | ||||||
County of Arlington VA | ||||||||
5.00%, 08/15/2020 | 1,630,000 | 1,823,677 | ||||||
County of Botetourt VA | ||||||||
4.75%, 07/01/2023 | 100,000 | 100,037 | ||||||
6.00%, 07/01/2034 | 1,500,000 | 1,565,145 | ||||||
Fairfax County Economic Development Authority | ||||||||
5.00%, 04/01/2017 | 1,785,000 | 1,802,564 | ||||||
Fairfax County Industrial Development Authority | ||||||||
5.00%, 05/15/2035 | 1,175,000 | 1,285,051 | ||||||
5.00%, 05/15/2044 | 975,000 | 1,080,485 | ||||||
Fredericksburg Economic Development Authority | ||||||||
5.00%, 06/15/2031 | 500,000 | 560,245 | ||||||
Greater Richmond Convention Center Authority | ||||||||
5.00%, 06/15/2020 | 1,000,000 | 1,097,960 | ||||||
Hanover County Economic Development Authority | ||||||||
5.00%, 07/01/2042 | 1,000,000 | 1,000,940 | ||||||
5.00%, 07/01/2047 | 2,000,000 | 1,990,680 | ||||||
Norfolk Economic Development Authority | ||||||||
5.00%, 11/01/2020 | 645,000 | 720,130 | ||||||
Richmond Metropolitan Transportation Authority/The Expressway System Revenue | ||||||||
5.25%, 07/15/2017 | 100,000 | 101,570 | ||||||
Stafford County Economic Development Authority | ||||||||
5.00%, 06/15/2030 | 150,000 | 162,189 | ||||||
5.00%, 06/15/2033 | 150,000 | 159,996 | ||||||
5.00%, 06/15/2034 | 500,000 | 530,910 | ||||||
4.00%, 06/15/2037 | 50,000 | 49,108 | ||||||
Virginia College Building Authority | ||||||||
5.00%, 02/01/2017 | 500,000 | 501,515 | ||||||
5.00%, 02/01/2017 | 200,000 | 200,606 | ||||||
5.00%, 02/01/2018 | 5,000,000 | 5,208,350 | ||||||
5.00%, 09/01/2023 | 1,000,000 | 1,169,070 | ||||||
3.00%, 09/01/2025 | 2,000,000 | 2,063,180 | ||||||
5.00%, 07/01/2030 (Acquired 12/17/2015, Cost $522,213) (1) | 500,000 | 510,230 | ||||||
5.00%, 07/01/2045 (Acquired 09/17/2015, Cost $500,000) (1) | 500,000 | 478,075 | ||||||
5.00%, 07/01/2045 (Acquired 09/17/2015, Cost $1,000,000) (1) | 1,000,000 | 954,730 | ||||||
Virginia Commonwealth Transportation Board | ||||||||
5.00%, 05/15/2020 | 1,365,000 | 1,512,474 | ||||||
5.00%, 05/15/2021 | 2,280,000 | 2,580,550 | ||||||
5.00%, 05/15/2022 | 2,000,000 | 2,304,640 | ||||||
Virginia Public School Authority | ||||||||
5.00%, 08/01/2017 | 1,310,000 | 1,340,497 |
Principal Amount | Value | |||||||
5.00%, 07/15/2018 | 1,510,000 | 1,596,599 | ||||||
5.00%, 08/01/2018 | 1,480,000 | 1,566,358 | ||||||
5.00%, 07/15/2020 | 3,000,000 | 3,349,590 | ||||||
5.00%, 08/01/2021 | 6,000,000 | 6,802,320 | ||||||
5.00%, 08/01/2022 | 2,505,000 | 2,907,954 | ||||||
5.00%, 08/01/2022 | 1,000,000 | 1,154,010 | ||||||
Virginia Small Business Financing Authority | ||||||||
5.00%, 01/01/2040 | 1,860,000 | 1,894,484 | ||||||
5.50%, 01/01/2042 | 3,595,000 | 3,834,679 | ||||||
Wise County Industrial Development Authority | ||||||||
1.88%, 11/01/2040 | 5,000,000 | 4,914,600 | ||||||
|
| |||||||
65,611,322 | ||||||||
|
| |||||||
Washington – 2.14% | ||||||||
City of Kent WA | ||||||||
5.00%, 12/01/2027 | 695,000 | 822,540 | ||||||
5.00%, 12/01/2028 | 860,000 | 1,012,366 | ||||||
City of Tacoma WA Solid Waste Utility Revenue | ||||||||
5.00%, 12/01/2031 | 460,000 | 534,078 | ||||||
County of King WA Sewer Revenue | ||||||||
0.73%, 01/01/2032 | 8,250,000 | 8,250,000 | ||||||
Energy Northwest | ||||||||
5.00%, 07/01/2018 | 1,000,000 | 1,056,370 | ||||||
5.00%, 07/01/2027 | 1,000,000 | 1,186,780 | ||||||
King County Public Hospital District No 1 | ||||||||
5.00%, 12/01/2032 | 4,500,000 | 4,980,735 | ||||||
Port of Seattle WA | ||||||||
5.00%, 03/01/2021 | 900,000 | 1,008,270 | ||||||
Skagit County Public Hospital District No 1 | ||||||||
5.00%, 12/01/2020 | 1,000,000 | 1,081,990 | ||||||
State of Washington | ||||||||
5.00%, 01/01/2019 | 2,000,000 | 2,142,780 | ||||||
5.00%, 07/01/2019 | 3,150,000 | 3,419,168 | ||||||
5.00%, 08/01/2019 | 730,000 | 794,028 | ||||||
5.00%, 02/01/2020 | 2,420,000 | 2,663,379 | ||||||
5.00%, 07/01/2021 | 1,200,000 | 1,360,992 | ||||||
5.00%, 08/01/2021 | 2,000,000 | 2,271,200 | ||||||
5.00%, 08/01/2027 | 550,000 | 651,299 | ||||||
5.00%, 07/01/2031 | 5,000,000 | 5,755,500 | ||||||
Washington Health Care Facilities Authority | ||||||||
5.00%, 10/01/2017 | 1,150,000 | 1,183,327 | ||||||
5.00%, 10/01/2021 | 1,510,000 | 1,709,411 | ||||||
Washington Higher Education Facilities Authority | ||||||||
5.00%, 10/01/2029 | 1,855,000 | 2,001,749 | ||||||
Washington State Housing Finance Commission | ||||||||
4.00%, 07/01/2026 (Acquired 07/21/2016, Cost $1,453,166) (1) | 1,425,000 | 1,384,402 | ||||||
5.00%, 07/01/2031 (Acquired 07/21/2016, Cost $1,078,316) (1) | 1,000,000 | 1,015,860 | ||||||
|
| |||||||
46,286,224 | ||||||||
|
| |||||||
West Virginia – 0.34% | ||||||||
School Building Authority of West Virginia | ||||||||
5.00%, 07/01/2020 | 500,000 | 552,620 | ||||||
5.00%, 07/01/2022 | 695,000 | 794,712 | ||||||
5.00%, 07/01/2024 | 500,000 | 585,260 | ||||||
West Virginia Economic Development Authority | ||||||||
1.20%, 02/01/2018 | 3,500,000 | 3,494,435 |
Principal Amount | Value | |||||||
5.38%, 12/01/2038 | 885,000 | 973,553 | ||||||
1.70%, 01/01/2041 | 1,115,000 | 1,076,800 | ||||||
|
| |||||||
7,477,380 | ||||||||
|
| |||||||
Wisconsin – 0.49% | ||||||||
County of La Crosse WI | ||||||||
3.00%, 10/01/2017 | 510,000 | 517,711 | ||||||
Public Finance Authority | ||||||||
5.00%, 12/01/2025 | 500,000 | 537,910 | ||||||
4.13%, 05/01/2026 (Acquired 05/12/2016, Cost $800,000) (1) | 800,000 | 762,064 | ||||||
4.00%, 08/01/2035 (4) | 2,750,000 | 2,561,653 | ||||||
State of Wisconsin | ||||||||
5.00%, 05/01/2018 | 1,000,000 | 1,049,680 | ||||||
5.00%, 11/01/2020 | 2,005,000 | 2,248,808 | ||||||
Wisconsin Health & Educational Facilities Authority | ||||||||
5.00%, 12/01/2022 | 560,000 | 634,110 | ||||||
4.00%, 02/15/2025 | 270,000 | 293,765 | ||||||
4.00%, 02/15/2026 | 510,000 | 548,439 | ||||||
5.00%, 02/15/2027 | 300,000 | 344,490 | ||||||
4.00%, 02/15/2031 | 460,000 | 478,000 | ||||||
4.00%, 02/15/2033 | 550,000 | 566,561 | ||||||
|
| |||||||
10,543,191 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $2,116,346,068) | $ | 2,082,168,921 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 2.87% | ||||||||
Money Market Funds – 2.87% | ||||||||
Fidelity Institutional Money Market Government Funds – Class I 0.39% (3) | 31,140,587 | $ | 31,140,587 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I 0.37% (3) | 31,140,586 | 31,140,586 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $62,281,173) | $ | 62,281,173 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 98.95% | ||||||||
(Cost $2,178,627,241) | $ | 2,144,450,094 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.05% | 22,684,213 | |||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 2,167,134,307 | ||||||
|
|
(1) | Restricted security as defined in Rule 144A under the Securities Act of 1933. The value of these securities total $24,229,056, which represents 1.12% of total net assets. |
(2) | Security is treated as illiquid by the Fund. The value of these securities totals $9,149,009, which represents 0.42% of total net assets. |
(3) | Represents annualized seven-day yield as of the close of the reporting period. |
(4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities total $12,110,605, which represents 0.56% of total net assets. |
The accompanying notes are an integral part of these financial statements.
Bridge Builder Large Cap Growth Fund
Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 96.60% | ||||||||
Consumer Discretionary – 16.95% | ||||||||
Adidas AG | 66,450 | $ | 10,480,405 | |||||
Adient Plc (1) | 515 | 30,185 | ||||||
Advance Auto Parts, Inc. | 1,952 | 330,122 | ||||||
Amazon.com, Inc. (1) | 117,217 | 87,897,512 | ||||||
AMC Networks, Inc. (1) | 1,756 | 91,909 | ||||||
Aramark | 2,773 | 99,052 | ||||||
AutoNation, Inc. (1) | 716 | 34,833 | ||||||
AutoZone, Inc. (1) | 26,880 | 21,229,555 | ||||||
Bed Bath & Beyond, Inc. | 478 | 19,426 | ||||||
Borgwarner, Inc. | 759 | 29,935 | ||||||
Brinker International, Inc. | 1,321 | 65,429 | ||||||
Brunswick Corp. | 1,950 | 106,353 | ||||||
Burlington Stores, Inc. (1) | 1,079 | 91,445 | ||||||
Cabela’s, Inc. (1) | 206 | 12,061 | ||||||
Cable One, Inc. | 122 | 75,851 | ||||||
CalAtlantic Group, Inc. | 210 | 7,142 | ||||||
CarMax, Inc. (1) | 5,337 | 343,649 | ||||||
Carter’s, Inc. | 1,472 | 127,166 | ||||||
CBS Corp. | 10,491 | 667,437 | ||||||
Charter Communications, Inc. (1) | 5,564 | 1,601,987 | ||||||
Chipotle Mexican Grill, Inc. (1) | 62,564 | 23,606,648 | ||||||
Choice Hotels International, Inc. | 624 | 34,975 | ||||||
Cinemark Holdings, Inc. | 3,024 | 116,001 | ||||||
Clear Channel Outdoor Holdings, Inc. | 338 | 1,707 | ||||||
Coach, Inc. | 1,396 | 48,888 | ||||||
Comcast Corp. – Class A | 268,866 | 18,565,197 | ||||||
D. R. Horton, Inc. | 5,309 | 145,095 | ||||||
Darden Restaurants, Inc. | 3,214 | 233,722 | ||||||
Delphi Automotive Plc | 174,413 | 11,746,716 | ||||||
Dick’s Sporting Goods, Inc. | 1,960 | 104,076 | ||||||
Discovery Communications, Inc. – Class A (1) | 3,745 | 102,650 | ||||||
Discovery Communications, Inc. – Class C (1) | 5,529 | 148,067 | ||||||
DISH Network Corp. (1) | 4,751 | 275,225 | ||||||
Dollar General Corp. | 192,465 | 14,255,883 | ||||||
Dollar Tree, Inc. (1) | 6,208 | 479,133 | ||||||
Domino’s Pizza, Inc. | 1,396 | 222,299 | ||||||
Dunkin’ Brands Group, Inc. | 2,604 | 136,554 | ||||||
Expedia, Inc. | 37,275 | 4,222,512 | ||||||
Extended Stay America, Inc. | 233 | 3,763 | ||||||
Foot Locker, Inc. | 3,371 | 238,970 | ||||||
Gap, Inc. | 326 | 7,315 | ||||||
Gentex Corp. | 4,924 | 96,954 | ||||||
Genuine Parts Co. | 3,790 | 362,097 | ||||||
Groupon, Inc. (1) | 9,263 | 30,753 |
Shares | Value | |||||||
Hanesbrands, Inc. | 279,043 | 6,018,958 | ||||||
Harley-Davidson, Inc. | 5,050 | 294,617 | ||||||
Harman International Industries, Inc. | 891 | 99,044 | ||||||
Hasbro, Inc. | 3,131 | 243,560 | ||||||
Hilton Worldwide Holdings, Inc. | 12,774 | 347,453 | ||||||
Home Depot, Inc. | 34,469 | 4,621,604 | ||||||
Hyatt Hotels Corp. (1) | 31 | 1,713 | ||||||
Industria de Diseno Textil SA – ADR | 621,021 | 10,538,726 | ||||||
Interpublic Group of Companies, Inc. | 11,310 | 264,767 | ||||||
J.C. Penney Co., Inc. (1) | 438,355 | 3,642,730 | ||||||
Kate Spade & Co. (1) | 3,300 | 61,611 | ||||||
L Brands, Inc. | 1,194 | 78,613 | ||||||
Las Vegas Sands Corp. | 10,112 | 540,082 | ||||||
Lear Corp. | 1,722 | 227,941 | ||||||
Leggett & Platt, Inc. | 3,604 | 176,164 | ||||||
Lennar Corp. – Class A | 2,580 | 110,759 | ||||||
Lennar Corp. – Class B | 157 | 5,417 | ||||||
Liberty Expedia Holdings, Inc. (1) | 226 | 8,965 | ||||||
Liberty Interactive Corp. (1) | 7,133 | 142,517 | ||||||
Liberty Ventures (1) | 339 | 12,499 | ||||||
Lions Gate Entertainment Corp. (1) | 2,316 | 56,832 | ||||||
Lions Gate Entertainment Corp. (1) | 809 | 21,749 | ||||||
Live Nation Entertainment, Inc. (1) | 2,036 | 54,158 | ||||||
LKQ Corp. (1) | 8,250 | 252,862 | ||||||
Lowes Companies, Inc. | 837,813 | 59,585,261 | ||||||
Lululemon Athletica, Inc. (1) | 2,721 | 176,838 | ||||||
Marriott International, Inc. | 118,220 | 9,774,430 | ||||||
Mattel, Inc. | 9,419 | 259,493 | ||||||
McDonald’s Corp. | 23,037 | 2,804,064 | ||||||
MGM Resorts International (1) | 1,173 | 33,818 | ||||||
Michael Kors Holdings Ltd (1) | 4,376 | 188,080 | ||||||
Mohawk Industries, Inc. (1) | 1,376 | 274,760 | ||||||
Morningstar, Inc. | 489 | 35,971 | ||||||
Murphy USA, Inc. (1) | 597 | 36,698 | ||||||
Netflix, Inc. (1) | 127,823 | 15,824,487 | ||||||
Newell Brands, Inc. | 211,853 | 9,459,236 | ||||||
Nike, Inc. | 700,519 | 35,607,381 | ||||||
Nordstrom, Inc. | 3,489 | 167,228 | ||||||
Norwegian Cruise Line Holdings Ltd (1) | 338 | 14,375 | ||||||
NVR, Inc. (1) | 95 | 158,555 | ||||||
Omnicom Group, Inc. | 6,575 | 559,598 | ||||||
O’Reilly Automotive, Inc. (1) | 2,606 | 725,536 | ||||||
Panera Bread Co. (1) | 627 | 128,591 | ||||||
Polaris Industries, Inc. | 1,717 | 141,464 | ||||||
Pool Corp. | 1,143 | 119,261 | ||||||
Pulte Group, Inc. | 2,687 | 49,387 | ||||||
Ralph Lauren Corp. | 79 | 7,135 | ||||||
Regal Entertainment Group | 521 | 10,733 | ||||||
Ross Stores, Inc. | 146,623 | 9,618,469 | ||||||
Sally Beauty Holdings, Inc. (1) | 3,880 | 102,510 | ||||||
Scripps Networks Interactive, Inc. | 2,339 | 166,934 | ||||||
Service Corp. International | 5,020 | 142,568 | ||||||
ServiceMaster Global Holdings, Inc. (1) | 3,792 | 142,845 |
Shares | Value | |||||||
Signet Jewelers Ltd | 1,820 | 171,553 | ||||||
Sirius XM Holdings, Inc. | 50,275 | 223,724 | ||||||
Six Flags Entertainment Corp. | 1,908 | 114,404 | ||||||
Skechers USA, Inc. (1) | 3,573 | 87,824 | ||||||
Starbucks Corp. | 890,466 | 49,438,672 | ||||||
Steven Madden Ltd (1) | 81,787 | 2,923,885 | ||||||
Target Corp. | 1,711 | 123,586 | ||||||
Tempur Sealy International, Inc. (1) | 1,412 | 96,411 | ||||||
Tesla Motors, Inc. (1) | 33,227 | 7,100,278 | ||||||
The Madison Square Garden Co. (1) | 57,346 | 9,835,412 | ||||||
The Michaels Companies, Inc. (1) | 1,894 | 38,732 | ||||||
The Priceline Group, Inc. (1) | 24,620 | 36,094,397 | ||||||
Thor Industries, Inc. | 1,296 | 129,665 | ||||||
Time Warner, Inc. | 14,341 | 1,384,337 | ||||||
TJX Companies, Inc. | 18,323 | 1,376,607 | ||||||
Toll Brothers, Inc. (1) | 1,907 | 59,117 | ||||||
Tractor Supply Co. | 3,713 | 281,483 | ||||||
Tribune Media Co. | 139 | 4,862 | ||||||
TripAdvisor, Inc. (1) | 3,072 | 142,449 | ||||||
Tupperware Brands Corp. | 1,381 | 72,668 | ||||||
Twenty-First Century Fox, Inc. – Class A | 22,897 | 642,032 | ||||||
Twenty-First Century Fox, Inc. – Class B | 10,704 | 291,684 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (1) | 17,040 | 4,344,178 | ||||||
Under Armour, Inc. (1) | 5,211 | 131,161 | ||||||
Under Armour, Inc. (1) | 5,126 | 148,910 | ||||||
Urban Outfitters, Inc. (1) | 1,816 | 51,720 | ||||||
Vail Resorts, Inc. | 14,849 | 2,395,292 | ||||||
VF Corp. | 131,652 | 7,023,634 | ||||||
Viacom, Inc. – Class A | 260 | 10,010 | ||||||
Viacom, Inc. – Class B | 8,518 | 298,982 | ||||||
Vista Outdoor, Inc. (1) | 297 | 10,959 | ||||||
Visteon Corp. | 896 | 71,985 | ||||||
Walt Disney Co. | 44,990 | 4,688,858 | ||||||
Wendy’s Co. | 3,186 | 43,075 | ||||||
Whirlpool Corp. | 204 | 37,081 | ||||||
Williams-Sonoma, Inc. | 2,532 | 122,523 | ||||||
Wyndham Worldwide Corp. | 3,095 | 236,365 | ||||||
Wynn Resorts Ltd | 2,075 | 179,508 | ||||||
Yum China Holdings, Inc. (1) | 9,723 | 253,965 | ||||||
Yum! Brands, Inc. | 9,567 | 605,878 | ||||||
|
| |||||||
503,953,567 | ||||||||
|
| |||||||
Consumer Staples – 8.99% | ||||||||
Altria Group, Inc. | 54,185 | 3,663,990 | ||||||
Blue Buffalo Pet Products, Inc. (1) | 1,600 | 38,464 | ||||||
Brown Forman Corp. – Class A | 1,381 | 63,871 | ||||||
Brown Forman Corp. – Class B | 4,915 | 220,782 | ||||||
Campbell Soup Co. | 5,109 | 308,941 | ||||||
Casey’s General Stores, Inc. | 1,099 | 130,649 | ||||||
Church & Dwight Co., Inc. | 7,066 | 312,247 | ||||||
Clorox Co. | 3,009 | 361,140 | ||||||
Coca Cola Co. | 495,060 | 20,525,188 | ||||||
Colgate Palmolive Co. | 434,677 | 28,445,263 | ||||||
Conagra Brands, Inc. | 9,485 | 375,132 |
Shares | Value | |||||||
Constellation Brands, Inc. | 4,589 | 703,540 | ||||||
Costco Wholesale Corp. | 207,050 | 33,150,775 | ||||||
Coty, Inc. | 575 | 10,528 | ||||||
CVS Health Corp. | 28,051 | 2,213,504 | ||||||
Dr Pepper Snapple Group, Inc. | 5,167 | 468,492 | ||||||
Energizer Holdings, Inc. | 563 | 25,115 | ||||||
Flowers Foods, Inc. | 4,239 | 84,653 | ||||||
General Mills, Inc. | 16,478 | 1,017,846 | ||||||
Herbalife Ltd (1) | 71,418 | 3,438,062 | ||||||
Hormel Foods Corp. | 6,629 | 230,755 | ||||||
Ingredion, Inc. | 1,425 | 178,068 | ||||||
Kellogg Co. | 116,988 | 8,623,185 | ||||||
Kimberly-Clark Corp. | 8,474 | 967,053 | ||||||
Kraft Heinz Co. | 2,126 | 185,642 | ||||||
Kroger Co. | 452,498 | 15,615,706 | ||||||
Lamb Weston Holdings, Inc. (1) | 3,098 | 117,272 | ||||||
Lauder Estee Companies, Inc. | 6,009 | 459,628 | ||||||
McCormick & Co, Inc. | 3,204 | 299,029 | ||||||
Mead Johnson Nutrition Co. | 141,481 | 10,011,196 | ||||||
Molson Coors Brewing Co. | 244,360 | 23,778,672 | ||||||
Mondelez International, Inc. | 678,175 | 30,063,498 | ||||||
Monster Beverage Corp. (1) | 11,493 | 509,600 | ||||||
Nu Skin Enterprises, Inc. | 396 | 18,921 | ||||||
PepsiCo, Inc. | 34,798 | 3,640,915 | ||||||
Philip Morris International, Inc. | 4,602 | 421,037 | ||||||
Pilgrim’s Pride Corp. | 165 | 3,133 | ||||||
Post Holdings, Inc. (1) | 1,020 | 81,998 | ||||||
Procter & Gamble Co. | 336,451 | 28,288,800 | ||||||
Reynolds American, Inc. | 14,142 | 792,518 | ||||||
Rite Aid Corp. (1) | 28,725 | 236,694 | ||||||
Spectrum Brands Holdings, Inc. | 680 | 83,184 | ||||||
Sprouts Farmers Market, Inc. (1) | 197,957 | 3,745,346 | ||||||
Sysco Corp. | 14,555 | 805,910 | ||||||
The Hain Celestial Group, Inc. (1) | 2,185 | 85,281 | ||||||
The Hershey Co. | 3,918 | 405,239 | ||||||
TreeHouse Foods, Inc. (1) | 477 | 34,435 | ||||||
Tyson Foods, Inc. | 89,241 | 5,504,385 | ||||||
US Foods Holding Corp. (1) | 1,257 | 34,542 | ||||||
Walgreens Boots Alliance, Inc. | 173,006 | 14,317,977 | ||||||
WhiteWave Foods Co. (1) | 4,836 | 268,882 | ||||||
Whole Foods Market, Inc. | 706,559 | 21,733,755 | ||||||
|
| |||||||
267,100,438 | ||||||||
|
| |||||||
Energy – 3.68% | ||||||||
Apache Corp. | 7,194 | 456,603 | ||||||
Cabot Oil & Gas Corp. | 9,571 | 223,579 | ||||||
Chesapeake Energy Corp. (1) | 1,168 | 8,199 | ||||||
Cimarex Energy Co. | 388 | 52,729 | ||||||
Concho Resources, Inc. (1) | 40,514 | 5,372,156 | ||||||
Continental Resources, Inc. (1) | 1,012 | 52,159 | ||||||
Core Laboratories NV | 202,731 | 24,335,829 | ||||||
Devon Energy Corp. | 1,246 | 56,905 | ||||||
Diamondback Energy, Inc. (1) | 527 | 53,259 | ||||||
EOG Resources, Inc. | 131,348 | 13,279,283 |
Shares | Value | |||||||
Halliburton Co. | 40,859 | 2,210,063 | ||||||
Newfield Exploration Co. (1) | 1,312 | 53,136 | ||||||
ONEOK, Inc. | 5,803 | 333,150 | ||||||
Parsley Energy, Inc. (1) | 301 | 10,607 | ||||||
Pioneer Natural Resources Co. | 32,575 | 5,865,780 | ||||||
Schlumberger Ltd | 674,566 | 56,629,816 | ||||||
Southwestern Energy Co. (1) | 13,234 | 143,192 | ||||||
Spectra Energy Corp. | 2,908 | 119,490 | ||||||
The Williams Companies, Inc. | 3,074 | 95,724 | ||||||
|
| |||||||
109,351,659 | ||||||||
|
| |||||||
Financials – 6.04% | ||||||||
Affiliated Managers Group, Inc. (1) | 32,496 | 4,721,669 | ||||||
Ameriprise Financial, Inc. | 1,301 | 144,333 | ||||||
AmTrust Financial Services, Inc. | 104 | 2,848 | ||||||
Aon Plc | 144,935 | 16,164,601 | ||||||
Arthur J. Gallagher & Co. | 3,474 | 180,509 | ||||||
Artisan Partners Asset Management, Inc. | 1,036 | 30,821 | ||||||
Bank of America Corp. | 1,702,150 | 37,617,515 | ||||||
Brown & Brown, Inc. | 160 | 7,178 | ||||||
CBOE Holdings, Inc. | 2,339 | 172,829 | ||||||
Charles Schwab Corp. | 466,780 | 18,423,807 | ||||||
Citizens Financial Group, Inc. | 6,283 | 223,863 | ||||||
Credit Acceptance Corp. (1) | 232 | 50,462 | ||||||
Discover Financial Services | 3,790 | 273,221 | ||||||
Donnelley Financial Solutions, Inc. (1) | 403 | 9,261 | ||||||
Eaton Vance Corp. | 2,945 | 123,337 | ||||||
Erie Indemnity Co. | 498 | 56,000 | ||||||
Federated Investors, Inc. | 2,137 | 60,434 | ||||||
First Hawaiian, Inc. | 65 | 2,263 | ||||||
First Republic Bank | 3,275 | 301,758 | ||||||
Interactive Brokers Group, Inc. | 180 | 6,572 | ||||||
Intercontinental Exchange, Inc. | 658,158 | 37,133,274 | ||||||
Invesco Ltd | 1,842 | 55,886 | ||||||
KeyCorp | 314,670 | 5,749,021 | ||||||
Lazard Ltd | 535 | 21,983 | ||||||
Lincoln National Corp. | 1,456 | 96,489 | ||||||
LPL Financial Holdings, Inc. | 283 | 9,964 | ||||||
MarketAxess Holdings, Inc. | 1,048 | 153,972 | ||||||
Marsh & McLennan Companies, Inc. | 14,442 | 976,135 | ||||||
Moody’s Corp. | 4,170 | 393,106 | ||||||
Morgan Stanley | 194,757 | 8,228,483 | ||||||
MSCI, Inc. | 2,533 | 199,550 | ||||||
NorthStar Asset Management Group, Inc. | 4,816 | 71,855 | ||||||
S&P Global, Inc. | 7,333 | 788,591 | ||||||
SEI Investments Co. | 3,728 | 184,014 | ||||||
Signature Bank (1) | 48,552 | 7,292,510 | ||||||
State Street Corp. | 233,053 | 18,112,879 | ||||||
SVB Financial Group (1) | 1,097 | 188,311 | ||||||
T. Rowe Price Group, Inc. | 5,148 | 387,438 | ||||||
TD Ameritrade Holding Corp. | 6,232 | 271,715 | ||||||
The Goldman Sachs Group, Inc. | 37,277 | 8,925,978 | ||||||
The Progressive Corp. | 1,468 | 52,114 | ||||||
Western Alliance Bancorp (1) | 1,411 | 68,730 |
Shares | Value | |||||||
Willis Towers Watson Plc | 94,909 | 11,605,473 | ||||||
XL Group Ltd | 2,338 | 87,114 | ||||||
|
| |||||||
179,627,866 | ||||||||
|
| |||||||
Healthcare – 14.57% | ||||||||
AbbVie, Inc. | 44,906 | 2,812,014 | ||||||
ABIOMED, Inc. (1) | 1,060 | 119,441 | ||||||
Acadia Healthcare Co., Inc. (1) | 721 | 23,865 | ||||||
ACADIA Pharmaceuticals, Inc. (1) | 2,530 | 72,965 | ||||||
Aetna, Inc. | 3,068 | 380,463 | ||||||
Agilent Technologies, Inc. | 2,491 | 113,490 | ||||||
Agios Pharmaceuticals, Inc. (1) | 851 | 35,512 | ||||||
Akorn, Inc. (1) | 2,153 | 47,000 | ||||||
Alere, Inc. (1) | 366 | 14,263 | ||||||
Alexion Pharmaceuticals, Inc. (1) | 90,709 | 11,098,246 | ||||||
Align Technology, Inc. (1) | 42,030 | 4,040,344 | ||||||
Alkermes Plc (1) | 4,168 | 231,657 | ||||||
Allergan Plc (1) | 119,579 | 25,112,786 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 1,715 | 64,210 | ||||||
AmerisourceBergen Corp. | 4,559 | 356,468 | ||||||
Amgen, Inc. | 121,024 | 17,694,919 | ||||||
Anthem, Inc. | 1,957 | 281,358 | ||||||
Athenahealth, Inc. (1) | 1,054 | 110,849 | ||||||
Baxter International, Inc. | 1,431 | 63,451 | ||||||
Becton Dickinson and Co. | 5,802 | 960,521 | ||||||
Biogen, Inc. (1) | 45,893 | 13,014,337 | ||||||
BioMarin Pharmaceutical, Inc. (1) | 184,909 | 15,317,862 | ||||||
Bio-Techne Corp. | 967 | 99,437 | ||||||
Boston Scientific Corp. (1) | 37,499 | 811,103 | ||||||
Bristol Myers Squibb Co. | 577,881 | 33,771,366 | ||||||
Bruker Corp. | 2,759 | 58,436 | ||||||
C.R. Bard, Inc. | 2,048 | 460,104 | ||||||
Cardinal Health, Inc. | 8,406 | 604,980 | ||||||
Celgene Corp. (1) | 222,802 | 25,789,331 | ||||||
Centene Corp. (1) | 3,262 | 184,336 | ||||||
Cerner Corp. (1) | 734,254 | 34,781,612 | ||||||
Charles River Laboratories International, Inc. (1) | 1,269 | 96,685 | ||||||
Cigna Corp. | 2,339 | 311,999 | ||||||
Danaher Corp. | 157,644 | 12,271,009 | ||||||
DaVita, Inc. (1) | 1,764 | 113,249 | ||||||
DexCom, Inc. (1) | 2,328 | 138,982 | ||||||
Edwards Lifesciences Corp. (1) | 81,580 | 7,644,046 | ||||||
Eli Lilly & Co. | 173,417 | 12,754,820 | ||||||
Envision Healthcare Corp. (1) | 2,379 | 150,567 | ||||||
Express Scripts Holding Co. (1) | 15,488 | 1,065,420 | ||||||
Gilead Sciences, Inc. | 36,763 | 2,632,598 | ||||||
HCA Holdings, Inc. (1) | 5,721 | 423,468 | ||||||
Henry Schein, Inc. (1) | 2,250 | 341,348 | ||||||
Hill-Rom Holdings, Inc. | 1,658 | 93,080 | ||||||
Hologic, Inc. (1) | 7,725 | 309,927 | ||||||
Humana, Inc. | 45,362 | 9,255,209 | ||||||
IDEXX Laboratories, Inc. (1) | 2,452 | 287,546 | ||||||
Illumina, Inc. (1) | 4,077 | 522,019 | ||||||
Incyte Corp. (1) | 4,512 | 452,418 |
Shares | Value | |||||||
Inovalon Holdings, Inc. (1) | 1,701 | 17,520 | ||||||
Intercept Pharmaceuticals, Inc. (1) | 428 | 46,502 | ||||||
Intrexon Corp. (1) | 1,558 | 37,859 | ||||||
Intuitive Surgical, Inc. (1) | 1,048 | 664,610 | ||||||
Ionis Pharmaceuticals, Inc. (1) | 3,374 | 161,378 | ||||||
Johnson & Johnson | 209,760 | 24,166,450 | ||||||
Juno Therapeutics, Inc. (1) | 1,609 | 30,330 | ||||||
Laboratory Corp. of America Holdings (1) | 1,317 | 169,076 | ||||||
McKesson Corp. | 6,246 | 877,251 | ||||||
MEDNAX, Inc. (1) | 159,776 | 10,650,668 | ||||||
Mettler-Toledo International, Inc. (1) | 728 | 304,712 | ||||||
Mylan (1) | 4,048 | 154,431 | ||||||
Neurocrine Biosciences, Inc. (1) | 2,291 | 88,662 | ||||||
Novo Nordisk A/S – ADR | 619,985 | 22,232,662 | ||||||
OPKO Health, Inc. (1) | 7,864 | 73,135 | ||||||
Patheon NV (1) | 465 | 13,350 | ||||||
Patterson Companies, Inc. | 2,217 | 90,964 | ||||||
PerkinElmer, Inc. | 631 | 32,907 | ||||||
Pfizer, Inc. | 913,305 | 29,664,146 | ||||||
Premier, Inc. (1) | 319 | 9,685 | ||||||
Quintiles IMS Holdings, Inc. (1) | 82,201 | 6,251,386 | ||||||
Regeneron Pharmaceuticals, Inc. (1) | 61,712 | 22,653,858 | ||||||
ResMed, Inc. | 3,907 | 242,429 | ||||||
Seattle Genetics, Inc. (1) | 2,677 | 141,265 | ||||||
Shire Plc – ADR | 82,440 | 14,046,127 | ||||||
St. Jude Medical, Inc. | 5,304 | 425,328 | ||||||
Stryker Corp. | 9,328 | 1,117,588 | ||||||
Teleflex, Inc. | 221 | 35,614 | ||||||
Tenet Healthcare Corp. (1) | 2,178 | 32,322 | ||||||
The Cooper Companies, Inc. | 1,000 | 174,930 | ||||||
Thermo Fisher Scientific, Inc. | 61,874 | 8,730,421 | ||||||
United Therapeutics Corp. (1) | 322 | 46,184 | ||||||
UnitedHealth Group, Inc. | 116,131 | 18,585,605 | ||||||
Universal Health Services, Inc. | 548 | 58,296 | ||||||
Varian Medical Systems, Inc. (1) | 2,665 | 239,264 | ||||||
VCA, Inc. (1) | 2,104 | 144,440 | ||||||
Veeva Systems, Inc. (1) | 2,733 | 111,233 | ||||||
Vertex Pharmaceuticals, Inc. (1) | 38,578 | 2,842,041 | ||||||
VWR Corp. (1) | 104 | 2,603 | ||||||
Waters Corp. (1) | 2,111 | 283,697 | ||||||
WellCare Health Plans, Inc. (1) | 1,181 | 161,891 | ||||||
West Pharmaceutical Services, Inc. | 2,011 | 170,593 | ||||||
Zimmer Holdings, Inc. | 2,714 | 280,085 | ||||||
Zoetis, Inc. | 549,371 | 29,407,830 | ||||||
|
| |||||||
433,062,444 | ||||||||
|
| |||||||
Industrials – 8.36% | ||||||||
3M Co. | 16,289 | 2,908,727 | ||||||
A.O. Smith Corp. | 3,942 | 186,654 | ||||||
Acuity Brands, Inc. | 1,224 | 282,573 | ||||||
Air Lease Corp. | 1,253 | 43,015 | ||||||
Alaska Air Group, Inc. | 2,757 | 244,629 | ||||||
Allegion Plc | 2,811 | 179,904 | ||||||
AMERCO | 101 | 37,329 |
Shares | Value | |||||||
AMETEK, Inc. | 1,113 | 54,092 | ||||||
Avis Budget Group, Inc. (1) | 2,080 | 76,294 | ||||||
B/E Aerospace, Inc. | 2,869 | 172,685 | ||||||
Boeing Co. | 80,058 | 12,463,429 | ||||||
BWX Technologies, Inc. | 119,092 | 4,727,952 | ||||||
C.H. Robinson Worldwide, Inc. | 3,949 | 289,304 | ||||||
Carlisle Companies, Inc. | 491 | 54,152 | ||||||
Caterpillar, Inc. | 172,690 | 16,015,271 | ||||||
Cintas Corp. | 2,453 | 283,469 | ||||||
Clean Harbors, Inc. (1) | 95 | 5,287 | ||||||
Copart, Inc. (1) | 2,648 | 146,726 | ||||||
Covanta Holding Corp. | 3,108 | 48,485 | ||||||
Deere & Co. | 54,325 | 5,597,648 | ||||||
Delta Air Lines, Inc. | 16,629 | 817,980 | ||||||
Donaldson Co., Inc. | 3,523 | 148,248 | ||||||
Dun & Bradstreet Corp. | 77,426 | 9,393,322 | ||||||
Emerson Electric Co. | 2,802 | 156,211 | ||||||
Equifax, Inc. | 3,252 | 384,484 | ||||||
Expeditors International of Washington, Inc. | 3,464 | 183,453 | ||||||
Fastenal Co. | 194,159 | 9,121,590 | ||||||
FedEx Corp. | 6,922 | 1,288,876 | ||||||
Flowserve Corp. | 2,165 | 104,028 | ||||||
Fortive Corp. | 2,107 | 112,998 | ||||||
Fortune Brands Home & Security, Inc. | 4,132 | 220,897 | ||||||
General Dynamics Corp. | 2,833 | 489,146 | ||||||
General Electric Co. | 49,651 | 1,568,972 | ||||||
Graco, Inc. | 1,641 | 136,351 | ||||||
HD Supply Holdings, Inc. (1) | 5,640 | 239,756 | ||||||
HEICO Corp. | 517 | 39,887 | ||||||
Heico Corp. – Class A | 996 | 67,628 | ||||||
Herc Holdings, Inc. (1) | 108 | 4,337 | ||||||
Hertz Global Holdings, Inc. (1) | 326 | 7,029 | ||||||
Hexcel Corp. | 2,494 | 128,291 | ||||||
Honeywell International, Inc. | 165,442 | 19,166,456 | ||||||
Hubbell, Inc. | 961 | 112,149 | ||||||
Huntington Ingalls Industries, Inc. | 1,054 | 194,136 | ||||||
IDEX Corp. | 1,896 | 170,754 | ||||||
Illinois Tool Works, Inc. | 8,165 | 999,886 | ||||||
Ingersoll-Rand Plc | 3,677 | 275,922 | ||||||
J.B. Hunt Transportation Services, Inc. | 2,467 | 239,472 | ||||||
JetBlue Airways Corp. (1) | 552 | 12,376 | ||||||
Johnson Controls International Plc | 253,195 | 10,429,102 | ||||||
Kansas City Southern | 171,828 | 14,579,606 | ||||||
KAR Auction Services, Inc. | 3,853 | 164,215 | ||||||
Landstar System, Inc. | 1,128 | 96,218 | ||||||
Lennox International, Inc. | 986 | 151,026 | ||||||
Lincoln Electric Holdings, Inc. | 1,056 | 80,964 | ||||||
Lockheed Martin Corp. | 7,053 | 1,762,827 | ||||||
LSC Communications, Inc. | 403 | 11,961 | ||||||
Manitowoc Foodservice, Inc. (1) | 1,582 | 30,580 | ||||||
Masco Corp. | 5,834 | 184,471 | ||||||
MSC Industrial Direct Co., Inc. | 518 | 47,858 | ||||||
Nielsen Holdings Plc | 7,794 | 326,958 |
Shares | Value | |||||||
Nordson Corp. | 1,548 | 173,453 | ||||||
Northrop Grumman Corp. | 4,615 | 1,073,357 | ||||||
Old Dominion Freight Line, Inc. (1) | 1,144 | 98,144 | ||||||
PACCAR, Inc. | 792 | 50,609 | ||||||
Parker-Hannifin Corp. | 42,584 | 5,961,760 | ||||||
Pitney Bowes, Inc. | 5,206 | 79,079 | ||||||
Quanta Services, Inc. (1) | 1,112 | 38,753 | ||||||
Raytheon Co. | 167,791 | 23,826,322 | ||||||
Robert Half International, Inc. | 3,706 | 180,779 | ||||||
Rockwell Automation, Inc. | 93,979 | 12,630,778 | ||||||
Rockwell Collins, Inc. | 3,598 | 333,750 | ||||||
Rollins, Inc. | 2,899 | 97,928 | ||||||
Roper Technologies, Inc. | 1,413 | 258,692 | ||||||
RR Donnelley & Sons Co. | 1,398 | 22,815 | ||||||
Snap-on, Inc. | 1,146 | 196,275 | ||||||
Southwest Airlines Co. | 17,685 | 881,420 | ||||||
Spirit AeroSystems Holdings, Inc. | 1,681 | 98,086 | ||||||
Stanley Black & Decker, Inc. | 485 | 55,625 | ||||||
Stericycle, Inc. (1) | 2,249 | 173,263 | ||||||
Textron, Inc. | 2,240 | 108,774 | ||||||
The Middleby Corp. (1) | 1,609 | 207,255 | ||||||
The Toro Co. | 3,073 | 171,934 | ||||||
TransDigm Group, Inc. | 80,395 | 20,015,139 | ||||||
TransUnion (1) | 1,391 | 43,024 | ||||||
Union Pacific Corp. | 286,125 | 29,665,440 | ||||||
United Parcel Service, Inc. | 19,143 | 2,194,554 | ||||||
United Rentals, Inc. (1) | 2,126 | 224,463 | ||||||
United Technologies Corp. | 208,525 | 22,858,510 | ||||||
Valmont Industries, Inc. | 493 | 69,464 | ||||||
Verisk Analytics, Inc. (1) | 94,318 | 7,655,792 | ||||||
W.W. Grainger, Inc. | 1,530 | 355,342 | ||||||
WABCO Holdings, Inc. (1) | 1,492 | 158,376 | ||||||
Wabtec Corp. | 2,441 | 202,652 | ||||||
Waste Management, Inc. | 10,092 | 715,624 | ||||||
Watsco, Inc. | 691 | 102,351 | ||||||
Xylem, Inc. | 2,726 | 134,992 | ||||||
|
| |||||||
248,582,620 | ||||||||
|
| |||||||
Information Technology – 33.99% | ||||||||
Accenture Plc | 106,720 | 12,500,114 | ||||||
Activision Blizzard, Inc. | 15,618 | 563,966 | ||||||
Adobe Systems, Inc. (1) | 194,910 | 20,065,984 | ||||||
Akamai Technologies, Inc. (1) | 179,014 | 11,936,653 | ||||||
Alibaba Group Holding Ltd – ADR (1) | 137,910 | 12,109,877 | ||||||
Alliance Data Systems Corp. | 97,640 | 22,310,740 | ||||||
Alphabet, Inc. – Class A (1) | 138,213 | 109,526,892 | ||||||
Alphabet, Inc. – Class C (1) | 62,968 | 48,599,962 | ||||||
Amphenol Corp. | 8,316 | 558,835 | ||||||
Analog Devices, Inc. | 42,494 | 3,085,914 | ||||||
ANSYS, Inc. (1) | 619 | 57,251 | ||||||
Apple, Inc. | 1,001,948 | 116,045,617 | ||||||
Applied Materials, Inc. | 306,384 | 9,887,012 | ||||||
Arista Networks, Inc. (1) | 1,045 | 101,125 | ||||||
ARRIS International Plc (1) | 1,169 | 35,222 |
Shares | Value | |||||||
Atlassian Corporation Plc (1) | 673 | 16,206 | ||||||
Autodesk, Inc. (1) | 4,768 | 352,880 | ||||||
Automatic Data Processing, Inc. | 269,426 | 27,691,604 | ||||||
Black Knight Financial Services, Inc. (1) | 572 | 21,622 | ||||||
Booz Allen Hamilton Holding Corp. | 133,652 | 4,820,828 | ||||||
Broadcom Ltd | 10,447 | 1,846,716 | ||||||
Broadridge Financial Solutions, Inc. | 3,179 | 210,768 | ||||||
Cadence Design Systems, Inc. (1) | 8,066 | 203,424 | ||||||
CDK Global, Inc. | 4,277 | 255,294 | ||||||
CDW Corp. | 4,562 | 237,635 | ||||||
Cisco Systems, Inc. | 909,495 | 27,484,939 | ||||||
Citrix Systems, Inc. (1) | 4,278 | 382,068 | ||||||
Cognex Corp. | 2,269 | 144,354 | ||||||
Cognizant Technology Solutions – Class A (1) | 16,779 | 940,127 | ||||||
CommerceHub, Inc. (1) | 113 | 1,698 | ||||||
CommerceHub, Inc. (1) | 56 | 841 | ||||||
CommScope Holding Co., Inc. (1) | 3,599 | 133,883 | ||||||
CoreLogic, Inc. (1) | 1,389 | 51,157 | ||||||
CoStar Group, Inc. (1) | 29,261 | 5,515,406 | ||||||
Cree, Inc. (1) | 1,048 | 27,657 | ||||||
CSRA, Inc. | 283,075 | 9,013,108 | ||||||
Dell Technologies Inc – VMware, Inc. (1) | 658 | 36,170 | ||||||
DST Systems, Inc. | 870 | 93,220 | ||||||
eBay, Inc. (1) | 821,912 | 24,402,567 | ||||||
Electronic Arts, Inc. (1) | 8,075 | 635,987 | ||||||
Euronet Worldwide, Inc. (1) | 1,314 | 95,173 | ||||||
F5 Networks, Inc. (1) | 1,852 | 268,021 | ||||||
Facebook, Inc. (1) | 649,315 | 74,703,691 | ||||||
FactSet Research Systems, Inc. | 1,085 | 177,322 | ||||||
Fidelity National Information Services, Inc. | 136,639 | 10,335,374 | ||||||
FireEye, Inc. (1) | 806 | 9,591 | ||||||
First Data Corp. (1) | 8,949 | 126,986 | ||||||
Fiserv, Inc. (1) | 6,160 | 654,685 | ||||||
Fitbit, Inc. (1) | 3,020 | 22,106 | ||||||
FleetCor Technologies, Inc. (1) | 209,561 | 29,657,073 | ||||||
Fortinet, Inc. (1) | 4,151 | 125,028 | ||||||
Gartner, Inc. (1) | 2,215 | 223,870 | ||||||
Genpact Ltd (1) | 3,993 | 97,190 | ||||||
Global Payments, Inc. | 4,245 | 294,645 | ||||||
GoDaddy, Inc. (1) | 1,227 | 42,884 | ||||||
Guidewire Software, Inc. (1) | 81,042 | 3,997,802 | ||||||
Intel Corp. | 11,817 | 428,603 | ||||||
InterActiveCorp (1) | 1,480 | 95,889 | ||||||
International Business Machines Corp. | 16,749 | 2,780,166 | ||||||
Intuit, Inc. | 6,764 | 775,222 | ||||||
IPG Photonics Corp. (1) | 773 | 76,303 | ||||||
J2 Global, Inc. | 89,470 | 7,318,646 | ||||||
Jack Henry & Associates, Inc. | 2,119 | 188,125 | ||||||
KLA-Tencor Corp. | 4,346 | 341,943 | ||||||
Lam Research Corp. | 3,568 | 377,245 | ||||||
Leidos Holdings, Inc. | 1,808 | 92,461 | ||||||
Linear Technology Corp. | 3,092 | 192,786 | ||||||
Manhattan Associates, Inc. (1) | 2,056 | 109,030 |
Shares | Value | |||||||
Mastercard, Inc. | 225,653 | 23,298,672 | ||||||
Match Group, Inc. (1) | 690 | 11,799 | ||||||
Maxim Integrated Products, Inc. | 7,796 | 300,692 | ||||||
Microchip Technology, Inc. | 5,771 | 370,210 | ||||||
Microsoft Corp. | 1,626,877 | 101,094,137 | ||||||
Mobileye NV (1) | 109,379 | 4,169,527 | ||||||
Motorola Solutions, Inc. | 521 | 43,186 | ||||||
National Instruments Corp. | 2,271 | 69,992 | ||||||
NCR Corp. (1) | 3,467 | 140,621 | ||||||
Nuance Communications, Inc. (1) | 4,405 | 65,634 | ||||||
Nutanix, Inc. (1) | 315 | 8,366 | ||||||
NVIDIA Corp. | 124,940 | 13,336,096 | ||||||
ON Semiconductor Corp. (1) | 942 | 12,020 | ||||||
Oracle Corp. | 7,989 | 307,177 | ||||||
Palo Alto Networks, Inc. (1) | 42,090 | 5,263,354 | ||||||
Pandora Media, Inc. (1) | 4,867 | 63,466 | ||||||
Paychex, Inc. | 8,898 | 541,710 | ||||||
PayPal Holdings, Inc. (1) | 31,417 | 1,240,029 | ||||||
PTC, Inc. (1) | 1,376 | 63,667 | ||||||
Qorvo, Inc. (1) | 308 | 16,241 | ||||||
QUALCOMM, Inc. | 151,640 | 9,886,928 | ||||||
Red Hat, Inc. (1) | 732,747 | 51,072,466 | ||||||
Sabre Corp. | 5,887 | 146,881 | ||||||
Salesforce.com, Inc. (1) | 610,132 | 41,769,637 | ||||||
SAP SE – ADR | 254,764 | 22,019,252 | ||||||
ServiceNow, Inc. (1) | 4,334 | 322,190 | ||||||
Skyworks Solutions, Inc. | 62,166 | 4,641,314 | ||||||
Splunk, Inc. (1) | 86,858 | 4,442,787 | ||||||
Square, Inc. (1) | 1,181 | 16,097 | ||||||
SS&C Technologies Holdings, Inc. | 4,426 | 126,584 | ||||||
Symantec Corp. | 2,303 | 55,019 | ||||||
Synopsys, Inc. (1) | 359 | 21,131 | ||||||
Tableau Software, Inc. (1) | 1,529 | 64,447 | ||||||
Tencent Holdings Ltd – ADR | 410,219 | 9,935,504 | ||||||
Teradata Corp. (1) | 3,423 | 93,003 | ||||||
Texas Instruments, Inc. | 225,373 | 16,445,468 | ||||||
The Western Union Co. | 13,617 | 295,761 | ||||||
Total System Services, Inc. | 4,677 | 229,313 | ||||||
Trimble, Inc. (1) | 5,697 | 171,765 | ||||||
Twilio, Inc. (1) | 418 | 12,059 | ||||||
Twitter, Inc. (1) | 15,619 | 254,590 | ||||||
Tyler Technologies, Inc. (1) | 926 | 132,205 | ||||||
Ultimate Software Group, Inc. (1) | 767 | 139,862 | ||||||
Vantiv, Inc. (1) | 413,363 | 24,644,702 | ||||||
VeriFone Systems, Inc. (1) | 2,896 | 51,346 | ||||||
VeriSign, Inc. (1) | 2,652 | 201,738 | ||||||
Versum Materials, Inc. (1) | 2,348 | 65,908 | ||||||
Visa, Inc. | 759,196 | 59,232,472 | ||||||
VMware, Inc. (1) | 670 | 52,749 | ||||||
WEX, Inc. (1) | 1,031 | 115,060 | ||||||
Workday, Inc. (1) | 112,777 | 7,453,432 | ||||||
Xilinx, Inc. | 2,277 | 137,462 | ||||||
Yelp, Inc. (1) | 1,389 | 52,963 |
Shares | Value | |||||||
Zebra Technologies Corp. (1) | 1,152 | 98,796 | ||||||
Zillow Group, Inc. – Class A (1) | 967 | 35,247 | ||||||
Zillow Group, Inc. – Class C (1) | 1,838 | 67,032 | ||||||
|
| |||||||
1,010,432,949 | ||||||||
|
| |||||||
Materials – 1.61% | ||||||||
AdvanSix, Inc. (1) | 756 | 16,738 | ||||||
Air Products & Chemicals, Inc. | 4,731 | 680,412 | ||||||
AptarGroup, Inc. | 434 | 31,877 | ||||||
Avery Dennison Corp. | 2,426 | 170,354 | ||||||
Axalta Coating Systems Ltd (1) | 4,342 | 118,102 | ||||||
Ball Corp. | 4,783 | 359,060 | ||||||
Bemis, Inc. | 346 | 16,546 | ||||||
Berry Plastics Group, Inc. (1) | 3,418 | 166,559 | ||||||
Celanese Corp. | 327 | 25,748 | ||||||
Crown Holdings, Inc. (1) | 3,833 | 201,501 | ||||||
DuPont | 24,268 | 1,781,271 | ||||||
Eagle Materials, Inc. | 1,273 | 125,429 | ||||||
Ecolab, Inc. | 256,265 | 30,039,383 | ||||||
FMC Corp. | 3,140 | 177,598 | ||||||
Freeport-McMoRan, Inc. (1) | 7,707 | 101,655 | ||||||
Graphic Packaging Holding Co. | 6,132 | 76,527 | ||||||
International Flavors & Fragrances, Inc. | 2,208 | 260,169 | ||||||
Lyondellbasell Industries NV | 4,301 | 368,940 | ||||||
Martin Marietta Materials, Inc. | 1,599 | 354,227 | ||||||
Monsanto Co. | 7,864 | 827,372 | ||||||
NewMarket Corp. | 190 | 80,530 | ||||||
Owens-Illinois, Inc. (1) | 4,410 | 76,778 | ||||||
Packaging Corporation of America | 2,600 | 220,532 | ||||||
PPG Industries, Inc. | 90,369 | 8,563,367 | ||||||
Praxair, Inc. | 6,969 | 816,697 | ||||||
Royal Gold, Inc. | 82 | 5,195 | ||||||
RPM International, Inc. | 3,528 | 189,912 | ||||||
Scotts Miracle-Gro Co. | 1,094 | 104,532 | ||||||
Sealed Air Corp. | 5,580 | 252,997 | ||||||
Silgan Holdings, Inc. | 973 | 49,798 | ||||||
Southern Copper Corp. | 1,062 | 33,920 | ||||||
Steel Dynamics, Inc. | 981 | 34,904 | ||||||
The Sherwin-Williams Co. | 2,237 | 601,171 | ||||||
The Valspar Corp. | 2,235 | 231,568 | ||||||
Valvoline, Inc. | 116 | 2,494 | ||||||
Vulcan Materials Co. | 3,428 | 429,014 | ||||||
W.R. Grace & Co. | 1,082 | 73,187 | ||||||
|
| |||||||
47,666,064 | ||||||||
|
| |||||||
Real Estate – 1.30% | ||||||||
Alexandria Real Estate Equities, Inc. | 220 | 24,449 | ||||||
American Campus Communities, Inc. | 176,820 | 8,800,331 | ||||||
American Tower Corp. | 11,712 | 1,237,724 | ||||||
Boston Properties, Inc. | 703 | 88,423 | ||||||
Care Capital Properties, Inc. | 188 | 4,700 | ||||||
CBRE Group, Inc. (1) | 8,492 | 267,413 | ||||||
Crown Castle International Corp. | 8,841 | 767,134 | ||||||
CubeSmart | 3,293 | 88,154 | ||||||
CyrusOne, Inc. | 1,715 | 76,712 |
Shares | Value | |||||||
Digital Realty Trust, Inc. | 3,111 | 305,687 | ||||||
Empire State Realty Trust, Inc. | 1,981 | 39,996 | ||||||
Equinix, Inc. | 63,684 | 22,761,298 | ||||||
Equity Lifestyle Properties, Inc. | 2,135 | 153,933 | ||||||
Essex Property Trust, Inc. | 755 | 175,538 | ||||||
Extra Space Storage, Inc. | 3,346 | 258,445 | ||||||
Federal Realty Investment Trust | 1,957 | 278,109 | ||||||
Gaming and Leisure Properties, Inc. | 5,461 | 167,216 | ||||||
Healthcare Trust of America, Inc. | 2,730 | 79,470 | ||||||
Iron Mountain, Inc. | 7,540 | 244,899 | ||||||
Lamar Advertising Co. | 2,307 | 155,123 | ||||||
Life Storage, Inc. | 769 | 65,565 | ||||||
Omega Healthcare Investors, Inc. | 1,752 | 54,768 | ||||||
Outfront Media, Inc. | 508 | 12,634 | ||||||
Public Storage | 4,075 | 910,763 | ||||||
Regency Centers Corp. | 464 | 31,993 | ||||||
Senior Housing Properties Trust | 629 | 11,907 | ||||||
Simon Property Group, Inc. | 7,713 | 1,370,369 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,185 | 78,179 | ||||||
Taubman Centers, Inc. | 763 | 56,409 | ||||||
Ventas, Inc. | 2,849 | 178,119 | ||||||
|
| |||||||
38,745,460 | ||||||||
|
| |||||||
Telecommunication Services – 1.11% | ||||||||
AT&T, Inc. | 685,990 | 29,175,155 | ||||||
SBA Communications Corp. (1) | 2,223 | 229,547 | ||||||
T-Mobile US, Inc. (1) | 4,833 | 277,946 | ||||||
Verizon Communications, Inc. | 56,554 | 3,018,852 | ||||||
Zayo Group Holdings, Inc. (1) | 4,548 | 149,447 | ||||||
|
| |||||||
32,850,947 | ||||||||
|
| |||||||
Utilities – 0.00% (3) | ||||||||
Dominion Resources, Inc. | 1,173 | 89,840 | ||||||
|
| |||||||
Total Common Stocks (Cost $2,690,232,516) | $ | 2,871,463,854 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 3.58% | ||||||||
Money Market Funds – 3.58% | ||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (2) | 53,194,096 | $ | 53,194,096 | |||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (2) | 53,194,096 | 53,194,096 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $106,388,192) | $ | 106,388,192 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 100.18% | ||||||||
(Cost $2,796,620,708) | $ | 2,977,852,046 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.18)% | (5,229,263 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 2,972,622,783 | ||||||
|
|
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. |
(3) | Amount calculated is less than 0.005%. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
Bridge Builder Large Cap Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 94.58% | ||||||||
Consumer Discretionary – 10.20% | ||||||||
Adient Plc (1) | 2,162 | $ | 126,694 | |||||
Aramark | 4,147 | 148,131 | ||||||
AutoNation, Inc. (1) | 1,180 | 57,407 | ||||||
Bed Bath & Beyond, Inc. | 3,989 | 162,113 | ||||||
Best Buy, Inc. | 8,459 | 360,946 | ||||||
Borgwarner, Inc. | 5,757 | 227,056 | ||||||
Brunswick Corp. | 504 | 27,488 | ||||||
Burlington Stores, Inc. (1) | 952 | 80,682 | ||||||
Cabela’s, Inc. (1) | 1,313 | 76,876 | ||||||
CalAtlantic Group, Inc. | 1,943 | 66,081 | ||||||
Carnival Corp. | 348,118 | 18,123,023 | ||||||
CBS Corp. | 277,114 | 17,629,993 | ||||||
Choice Hotels International, Inc. | 383 | 21,467 | ||||||
Clear Channel Outdoor Holdings, Inc. | 519 | 2,621 | ||||||
Coach, Inc. | 6,782 | 237,506 | ||||||
Comcast Corp. – Class A | 5,544 | 382,813 | ||||||
CST Brands, Inc. | 2,232 | 107,471 | ||||||
D. R. Horton, Inc. | 4,736 | 129,435 | ||||||
Dick’s Sporting Goods, Inc. | 571 | 30,320 | ||||||
Dillard’s, Inc. | 569 | 35,671 | ||||||
Discovery Communications, Inc. – Class A (1) | 283 | 7,757 | ||||||
Discovery Communications, Inc. – Class C (1) | 499 | 13,363 | ||||||
DISH Network Corp. (1) | 1,509 | 87,416 | ||||||
Extended Stay America, Inc. | 1,903 | 30,733 | ||||||
Foot Locker, Inc. | 409 | 28,994 | ||||||
Ford Motor Co. | 119,461 | 1,449,062 | ||||||
GameStop Corp. | 3,064 | 77,397 | ||||||
Gap, Inc. | 6,242 | 140,070 | ||||||
Garmin Ltd | 3,364 | 163,120 | ||||||
General Motors Co. | 43,277 | 1,507,771 | ||||||
Gentex Corp. | 2,984 | 58,755 | ||||||
Genuine Parts Co. | 269 | 25,700 | ||||||
Goodyear Tire & Rubber Co. | 8,165 | 252,054 | ||||||
Graham Holdings Co. | 130 | 66,554 | ||||||
H&R Block, Inc. | 6,237 | 143,389 | ||||||
Hanesbrands, Inc. | 546,600 | 11,790,162 | ||||||
Harman International Industries, Inc. | 1,134 | 126,055 | ||||||
Hilton Worldwide Holdings, Inc. | 1,867 | 50,782 | ||||||
Hyatt Hotels Corp. (1) | 926 | 51,171 | ||||||
International Game Technology Plc | 2,984 | 76,152 | ||||||
J.C. Penney Co., Inc. (1) | 9,220 | 76,618 | ||||||
John Wiley & Sons, Inc. | 1,403 | 76,464 | ||||||
Kohl’s Corp. | 5,665 | 279,738 | ||||||
L Brands, Inc. | 5,978 | 393,592 |
Shares | Value | |||||||
Lear Corp. | 377 | 49,903 | ||||||
Lennar Corp. – Class A | 2,640 | 113,335 | ||||||
Lennar Corp. – Class B | 120 | 4,140 | ||||||
Liberty Broadband Corp. – Class A (1) | 762 | 55,215 | ||||||
Liberty Broadband Corp. – Class C (1) | 3,096 | 229,321 | ||||||
Liberty Expedia Holdings, Inc. (1) | 192,572 | 7,639,331 | ||||||
Liberty Interactive Corp. (1) | 1,062,419 | 21,227,132 | ||||||
Liberty SiriusXM Group (1) | 5,643 | 191,411 | ||||||
Liberty SiriusXM Group (1) | 2,720 | 93,894 | ||||||
Liberty Ventures (1) | 446,285 | 16,454,528 | ||||||
Lions Gate Entertainment Corp. (1) | 548 | 14,728 | ||||||
Lions Gate Entertainment Corp. (1) | 551 | 13,509 | ||||||
Live Nation Entertainment, Inc. (1) | 1,692 | 45,007 | ||||||
Lowes Companies, Inc. | 272,132 | 19,354,028 | ||||||
Macy’s, Inc. | 9,334 | 334,251 | ||||||
Marriott International, Inc. | 2,368 | 195,786 | ||||||
McDonald’s Corp. | 174,552 | 21,246,469 | ||||||
MGM Resorts International (1) | 13,059 | 376,491 | ||||||
Michelin | 222,703 | 24,755,484 | ||||||
Mohawk Industries, Inc. (1) | 385 | 76,877 | ||||||
Murphy USA, Inc. (1) | 435 | 26,739 | ||||||
News Corp. – Class A | 1,172,347 | 13,435,097 | ||||||
News Corp. – Class B | 3,604 | 42,527 | ||||||
Nike, Inc. | 740,586 | 37,643,986 | ||||||
Norwegian Cruise Line Holdings Ltd (1) | 408,233 | 17,362,149 | ||||||
NVR, Inc. (1) | 7,100 | 11,849,900 | ||||||
Penske Automotive Group, Inc. | 1,210 | 62,726 | ||||||
Pulte Group, Inc. | 7,539 | 138,567 | ||||||
PVH Corp. | 2,475 | 223,344 | ||||||
Ralph Lauren Corp. | 1,623 | 146,589 | ||||||
Regal Entertainment Group | 1,722 | 35,473 | ||||||
Royal Caribbean Cruises Ltd | 208,937 | 17,141,191 | ||||||
SeaWorld Entertainment, Inc. | 258,000 | 4,883,940 | ||||||
Signet Jewelers Ltd | 208 | 19,606 | ||||||
Staples, Inc. | 19,363 | 175,235 | ||||||
Target Corp. | 16,021 | 1,157,197 | ||||||
TEGNA, Inc. | 6,609 | 141,367 | ||||||
Tesla Motors, Inc. (1) | 216 | 46,157 | ||||||
The Madison Square Garden Co. (1) | 531 | 91,072 | ||||||
The Michaels Companies, Inc. (1) | 841 | 17,198 | ||||||
Tiffany & Co. | 3,324 | 257,377 | ||||||
Time Warner, Inc. | 65,410 | 6,314,027 | ||||||
TJX Companies, Inc. | 326,563 | 24,534,678 | ||||||
Toll Brothers, Inc. (1) | 2,604 | 80,724 | ||||||
Tribune Media Co. | 2,157 | 75,452 | ||||||
Twenty-First Century Fox, Inc. – Class A | 572,872 | 16,063,331 | ||||||
Twenty-First Century Fox, Inc. – Class B | 3,330 | 90,743 | ||||||
Urban Outfitters, Inc. (1) | 706 | 20,107 | ||||||
VF Corp. | 311,282 | 16,606,895 | ||||||
Viacom, Inc. – Class A | 54 | 2,079 | ||||||
Viacom, Inc. – Class B | 1,208 | 42,401 | ||||||
Vista Outdoor, Inc. (1) | 1,505 | 55,535 | ||||||
Walt Disney Co. | 148,933 | 15,521,797 |
Shares | Value | |||||||
Wendy’s Co. | 2,696 | 36,450 | ||||||
Whirlpool Corp. | 2,030 | 368,993 | ||||||
Wynn Resorts Ltd | 249 | 21,541 | ||||||
|
| |||||||
352,209,693 | ||||||||
|
| |||||||
Consumer Staples – 8.32% | ||||||||
Altria Group, Inc. | 254,700 | 17,222,814 | ||||||
Archer-Daniels-Midland Co. | 17,501 | 798,921 | ||||||
Brown Forman Corp. – Class A | 78 | 3,608 | ||||||
Brown Forman Corp. – Class B | 437 | 19,630 | ||||||
Bunge Ltd | 4,264 | 308,031 | ||||||
Clorox Co. | 590 | 70,812 | ||||||
Coca Cola Co. | 651,028 | 26,991,621 | ||||||
Coca-Cola European Partners Plc | 484,700 | 15,219,580 | ||||||
Colgate Palmolive Co. | 409,918 | 26,825,034 | ||||||
Conagra Brands, Inc. | 2,755 | 108,960 | ||||||
Costco Wholesale Corp. | 234,423 | 37,533,467 | ||||||
Coty, Inc. | 12,937 | 236,876 | ||||||
CVS Health Corp. | 452,950 | 35,742,285 | ||||||
Diageo Plc – ADR | 199,192 | 20,704,017 | ||||||
Edgewell Personal Care Co. (1) | 1,768 | 129,046 | ||||||
Energizer Holdings, Inc. | 1,245 | 55,539 | ||||||
Flowers Foods, Inc. | 384 | 7,668 | ||||||
Hormel Foods Corp. | 1,023 | 35,611 | ||||||
Ingredion, Inc. | 673 | 84,098 | ||||||
Kellogg Co. | 576 | 42,457 | ||||||
Kimberly-Clark Corp. | 1,598 | 182,364 | ||||||
Kraft Heinz Co. | 15,985 | 1,395,810 | ||||||
Lamb Weston Holdings, Inc. (1) | 954 | 36,122 | ||||||
Mead Johnson Nutrition Co. | 3,589 | 253,958 | ||||||
Molson Coors Brewing Co. | 5,238 | 509,710 | ||||||
Mondelez International, Inc. | 45,859 | 2,032,929 | ||||||
Nu Skin Enterprises, Inc. | 1,254 | 59,916 | ||||||
PepsiCo, Inc. | 229,588 | 24,021,792 | ||||||
Philip Morris International, Inc. | 168,476 | 15,413,869 | ||||||
Pilgrim’s Pride Corp. | 1,519 | 28,846 | ||||||
Pinnacle Foods, Inc. | 3,574 | 191,030 | ||||||
Post Holdings, Inc. (1) | 832 | 66,884 | ||||||
Procter & Gamble Co. | 228,539 | 19,215,559 | ||||||
Reynolds American, Inc. | 280,687 | 15,729,699 | ||||||
The Hain Celestial Group, Inc. (1) | 775 | 30,248 | ||||||
The J. M. Smucker Co. | 3,534 | 452,564 | ||||||
TreeHouse Foods, Inc. (1) | 1,125 | 81,214 | ||||||
Tyson Foods, Inc. | 4,707 | 290,328 | ||||||
Walgreens Boots Alliance, Inc. | 261,277 | 21,623,285 | ||||||
Wal-Mart Stores, Inc. | 46,423 | 3,208,758 | ||||||
Whole Foods Market, Inc. | 7,953 | 244,634 | ||||||
|
| |||||||
287,209,594 | ||||||||
|
| |||||||
Energy – 10.14% | ||||||||
Anadarko Petroleum Corp. | 17,264 | 1,203,819 | ||||||
Antero Resources Corp. (1) | 5,411 | 127,970 | ||||||
Apache Corp. | 425,482 | 27,005,343 | ||||||
Baker Hughes, Inc. | 13,324 | 865,660 | ||||||
BP Plc – ADR | 494,800 | 18,495,624 |
Shares | Value | |||||||
Cabot Oil & Gas Corp. | 4,083 | 95,379 | ||||||
Cheniere Energy, Inc. (1) | 6,052 | 250,734 | ||||||
Chesapeake Energy Corp. (1) | 16,710 | 117,304 | ||||||
Chevron Corp. | 226,533 | 26,662,934 | ||||||
Cimarex Energy Co. | 2,387 | 324,393 | ||||||
Concho Resources, Inc. (1) | 4,290 | 568,854 | ||||||
ConocoPhillips | 437,973 | 21,959,966 | ||||||
CONSOL Energy, Inc. | 7,084 | 129,141 | ||||||
Continental Resources, Inc. (1) | 1,522 | 78,444 | ||||||
Devon Energy Corp. | 954,838 | 43,607,451 | ||||||
Diamond Offshore Drilling, Inc. (1) | 1,927 | 34,108 | ||||||
Diamondback Energy, Inc. (1) | 1,769 | 178,775 | ||||||
Dril-Quip, Inc. (1) | 1,149 | 68,997 | ||||||
Energen Corp. (1) | 2,917 | 168,223 | ||||||
Ensco Plc | 9,495 | 92,291 | ||||||
EOG Resources, Inc. | 134,942 | 13,642,636 | ||||||
EQT Corp. | 5,214 | 340,996 | ||||||
Exxon Mobil Corp. | 357,440 | 32,262,534 | ||||||
Fairmount Santrol Holdings, Inc. (1) | 1,026,000 | 12,096,540 | ||||||
FMC Technologies, Inc. (1) | 6,763 | 240,289 | ||||||
Franks International | 1,147 | 14,120 | ||||||
Gulfport Energy Corp. (1) | 3,845 | 83,206 | ||||||
Halliburton Co. | 26,480 | 1,432,303 | ||||||
Helmerich & Payne, Inc. | 2,992 | 231,581 | ||||||
Hess Corp. | 863,494 | 53,787,041 | ||||||
HollyFrontier Corp. | 5,020 | 164,455 | ||||||
Kinder Morgan, Inc. | 58,535 | 1,212,260 | ||||||
Kosmos Energy Ltd (1) | 4,704 | 32,975 | ||||||
Laredo Petroleum, Inc. (1) | 4,305 | 60,873 | ||||||
Marathon Oil Corp. | 25,846 | 447,394 | ||||||
Marathon Petroleum Corp. | 16,002 | 805,701 | ||||||
Murphy Oil Corp. | 4,892 | 152,288 | ||||||
Nabors Industries Ltd | 8,592 | 140,909 | ||||||
National Oilwell Varco, Inc. | 11,521 | 431,346 | ||||||
Newfield Exploration Co. (1) | 4,581 | 185,531 | ||||||
Noble Corp. Plc | 7,251 | 42,926 | ||||||
Noble Energy, Inc. | 12,954 | 493,029 | ||||||
Occidental Petroleum Corp. | 590,732 | 42,077,840 | ||||||
Oceaneering International, Inc. | 2,910 | 82,091 | ||||||
Parsley Energy, Inc. (1) | 4,601 | 162,139 | ||||||
Patterson-UTI Energy, Inc. | 4,308 | 115,971 | ||||||
PBF Energy, Inc. | 2,999 | 83,612 | ||||||
Phillips 66 | 211,716 | 18,294,380 | ||||||
Pioneer Natural Resources Co. | 5,036 | 906,833 | ||||||
QEP Resources, Inc. (1) | 7,159 | 131,797 | ||||||
Range Resources Corp. | 6,284 | 215,918 | ||||||
Rice Energy, Inc. (1) | 3,245 | 69,281 | ||||||
Rowan Companies Plc (1) | 3,932 | 74,276 | ||||||
RPC, Inc. | 1,747 | 34,608 | ||||||
Schlumberger Ltd | 283,773 | 23,822,743 | ||||||
SM Energy Co. | 2,906 | 100,199 | ||||||
Spectra Energy Corp. | 18,015 | 740,236 | ||||||
Superior Energy Services, Inc. | 4,737 | 79,961 |
Shares | Value | |||||||
Targa Resources Corp. | 4,966 | 278,444 | ||||||
Tesoro Corp. | 3,662 | 320,242 | ||||||
The Williams Companies, Inc. | 17,575 | 547,286 | ||||||
Transocean Ltd (1) | 10,348 | 152,530 | ||||||
Valero Energy Corp. | 14,289 | 976,225 | ||||||
Weatherford International Plc (1) | 30,206 | 150,728 | ||||||
Whiting Petroleum Corp. (1) | 5,979 | 71,868 | ||||||
World Fuel Services Corp. | 2,167 | 99,487 | ||||||
WPX Energy, Inc. (1) | 9,975 | 145,336 | ||||||
|
| |||||||
350,070,374 | ||||||||
|
| |||||||
Financials – 20.44% | ||||||||
Affiliated Managers Group, Inc. (1) | 208 | 30,222 | ||||||
Aflac, Inc. | 12,234 | 851,486 | ||||||
AGNC Investment Corp. | 966,519 | 17,522,990 | ||||||
Alleghany Corp. (1) | 38,158 | 23,204,643 | ||||||
Allied World Assurance Co. Holdings AG | 2,896 | 155,544 | ||||||
Allstate Corp. | 11,615 | 860,904 | ||||||
Ally Financial, Inc. | 13,485 | 256,485 | ||||||
American Express Co. | 509,054 | 37,710,720 | ||||||
American Financial Group, Inc. | 2,354 | 207,435 | ||||||
American International Group, Inc. | 311,354 | 20,334,530 | ||||||
American National Insurance Co. | 256 | 31,900 | ||||||
Ameriprise Financial, Inc. | 97,118 | 10,774,271 | ||||||
AmTrust Financial Services, Inc. | 2,620 | 71,736 | ||||||
Annaly Capital Management, Inc. | 31,214 | 311,204 | ||||||
Arch Capital Group Ltd (1) | 3,508 | 302,705 | ||||||
Arthur J. Gallagher & Co. | 1,652 | 85,838 | ||||||
Aspen Insurance Holdings Ltd | 1,918 | 105,490 | ||||||
Associated Banc Corp. | 4,470 | 110,409 | ||||||
Assurant, Inc. | 1,710 | 158,791 | ||||||
Assured Guaranty Ltd | 4,002 | 151,156 | ||||||
Axis Capital Holdings Ltd | 2,998 | 195,679 | ||||||
Bank of America Corp. | 1,311,010 | 28,973,321 | ||||||
Bank of Hawaii Corp. | 1,271 | 112,725 | ||||||
Bank of New York Mellon Corp. | 32,287 | 1,529,758 | ||||||
BankUnited, Inc. | 3,030 | 114,201 | ||||||
BB&T Corp. | 25,248 | 1,187,161 | ||||||
Berkshire Hathaway, Inc. (1) | 365,816 | 59,620,692 | ||||||
BlackRock, Inc. | 43,971 | 16,732,724 | ||||||
BOK Financial Corp. | 771 | 64,024 | ||||||
Brown & Brown, Inc. | 3,279 | 147,096 | ||||||
Capital One Financial Corp. | 191,464 | 16,703,319 | ||||||
Charles Schwab Corp. | 7,329 | 289,276 | ||||||
Chimera Investment Corp. | 7,094 | 120,740 | ||||||
Chubb Ltd | 385,201 | 50,892,756 | ||||||
Cincinnati Financial Corp. | 4,587 | 347,465 | ||||||
CIT Group, Inc. | 6,105 | 260,561 | ||||||
Citigroup, Inc. | 1,075,823 | 63,936,161 | ||||||
Citizens Financial Group, Inc. | 9,527 | 339,447 | ||||||
CME Group, Inc. | 10,467 | 1,207,368 | ||||||
CNA Financial Corp. | 903 | 37,475 | ||||||
Comerica, Inc. | 5,676 | 386,592 | ||||||
Commerce Bancshares, Inc. | 2,625 | 151,754 |
Shares | Value | |||||||
Cullen/Frost Bankers, Inc. | 1,597 | 140,903 | ||||||
Discover Financial Services | 227,780 | 16,420,660 | ||||||
Donnelley Financial Solutions, Inc. (1) | 210 | 4,826 | ||||||
E*TRADE Financial Corp. (1) | 416,069 | 14,416,791 | ||||||
East West Bancorp, Inc. | 4,305 | 218,823 | ||||||
Endurance Specialty Holdings Ltd | 1,978 | 182,767 | ||||||
Erie Indemnity Co. | 228 | 25,639 | ||||||
Everest Re Group Ltd | 1,188 | 257,083 | ||||||
Fifth Third Bancorp | 284,273 | 7,666,843 | ||||||
First American Financial Corp. | 3,223 | 118,059 | ||||||
First Hawaiian, Inc. | 696 | 24,235 | ||||||
First Horizon National Corp. | 6,906 | 138,189 | ||||||
First Republic Bank | 852 | 78,503 | ||||||
FNF Group | 329,974 | 11,205,917 | ||||||
Franklin Resources, Inc. | 11,009 | 435,736 | ||||||
Hanover Insurance Group, Inc. | 1,325 | 120,588 | ||||||
Harford Financial Services Group, Inc. | 11,925 | 568,226 | ||||||
Huntington Bancshares, Inc. | 32,809 | 433,735 | ||||||
Interactive Brokers Group, Inc. | 1,750 | 63,893 | ||||||
Intercontinental Exchange, Inc. | 9,348 | 527,414 | ||||||
Invesco Ltd | 10,353 | 314,110 | ||||||
JPMorgan Chase & Co. | 394,053 | 34,002,833 | ||||||
KeyCorp | 1,044,633 | 19,085,445 | ||||||
Lazard Ltd | 3,406 | 139,953 | ||||||
Legg Mason, Inc. | 3,120 | 93,319 | ||||||
Leucadia National Corp. | 10,090 | 234,593 | ||||||
Lincoln National Corp. | 5,558 | 368,329 | ||||||
Loews Corp. | 8,593 | 402,410 | ||||||
LPL Financial Holdings, Inc. | 2,321 | 81,722 | ||||||
M&T Bank Corp. | 4,551 | 711,913 | ||||||
Markel Corp. (1) | 443 | 400,694 | ||||||
Marsh & McLennan Companies, Inc. | 327,995 | 22,169,182 | ||||||
Mercury General Corp. | 241 | 14,511 | ||||||
MetLife, Inc. | 28,679 | 1,545,511 | ||||||
MFA Financial, Inc. | 11,088 | 84,601 | ||||||
Moody’s Corp. | 538 | 50,717 | ||||||
Morgan Stanley | 43,884 | 1,854,099 | ||||||
Nasdaq OMX Group, Inc. | 3,440 | 230,893 | ||||||
Navient Corp. | 966,282 | 15,876,013 | ||||||
New York Community Bancorp, Inc. | 1,009,892 | 16,067,382 | ||||||
Northern Trust Corp. | 6,307 | 561,638 | ||||||
Old Republic International Corp. | 7,271 | 138,149 | ||||||
OneMain Holdings, Inc. (1) | 1,556 | 34,450 | ||||||
PacWest Bancorp | 3,547 | 193,099 | ||||||
People’s United Financial, Inc. | 9,276 | 179,583 | ||||||
PNC Financial Services Group, Inc. | 373,195 | 43,648,887 | ||||||
Popular, Inc. | 3,192 | 139,873 | ||||||
Principal Financial Group, Inc. | 8,158 | 472,022 | ||||||
ProAssurance Corp. | 1,579 | 88,740 | ||||||
Prudential Financial, Inc. | 13,640 | 1,419,378 | ||||||
Raymond James Financial, Inc. | 3,837 | 265,789 | ||||||
Regions Financial Corp. | 38,640 | 554,870 | ||||||
Reinsurance Group of America, Inc. | 1,942 | 244,362 |
Shares | Value | |||||||
RenaissanceRe Holdings Ltd | 1,061 | 144,529 | ||||||
Santander Consumer USA Holdings, Inc. (1) | 3,130 | 42,255 | ||||||
Signature Bank (1) | 653 | 98,081 | ||||||
SLM Corp. (1) | 1,433,712 | 15,799,506 | ||||||
Starwood Property Trust, Inc. | 7,523 | 165,130 | ||||||
State Street Corp. | 201,096 | 15,629,181 | ||||||
SunTrust Banks, Inc. | 15,257 | 836,846 | ||||||
SVB Financial Group (1) | 405 | 69,522 | ||||||
Synchrony Financial | 25,427 | 922,237 | ||||||
Synovus Financial Corp. | 3,730 | 153,228 | ||||||
T. Rowe Price Group, Inc. | 1,749 | 131,630 | ||||||
TCF Financial Corp. | 4,722 | 92,504 | ||||||
TD Ameritrade Holding Corp. | 813 | 35,447 | ||||||
TFS Financial Corp. | 1,711 | 32,577 | ||||||
The Goldman Sachs Group, Inc. | 108,585 | 26,000,678 | ||||||
The Progressive Corp. | 16,024 | 568,852 | ||||||
Thomson Reuters Corp. | 9,161 | 401,069 | ||||||
Torchmark Corp. | 3,595 | 265,167 | ||||||
Travelers Companies, Inc. | 8,983 | 1,099,699 | ||||||
Two Harbors Investment Corp. | 10,837 | 94,499 | ||||||
U.S. Bancorp | 49,668 | 2,551,445 | ||||||
Unum Group | 7,163 | 314,671 | ||||||
Validus Holdings Ltd | 2,607 | 143,411 | ||||||
Voya Financial, Inc. | 6,273 | 246,027 | ||||||
W.R. Berkley Corp. | 2,915 | 193,877 | ||||||
Wells Fargo & Co. | 796,860 | 43,914,955 | ||||||
Western Alliance Bancorp (1) | 1,221 | 59,475 | ||||||
White Mountains Insurance Group Ltd | 150 | 125,408 | ||||||
Willis Towers Watson Plc | 104,900 | 12,827,172 | ||||||
XL Group Ltd | 310,290 | 11,561,405 | ||||||
Zions Bancorp | 6,056 | 260,650 | ||||||
|
| |||||||
706,087,787 | ||||||||
|
| |||||||
Healthcare – 12.46% | ||||||||
Abbott Laboratories | 45,128 | 1,733,366 | ||||||
Acadia Healthcare Co., Inc. (1) | 1,571 | 52,000 | ||||||
Aetna, Inc. | 6,830 | 846,988 | ||||||
Agilent Technologies, Inc. | 7,228 | 329,308 | ||||||
Alere, Inc. (1) | 2,112 | 82,305 | ||||||
Allergan Plc (1) | 115,693 | 24,296,687 | ||||||
Allscripts Healthcare Solutions, Inc. (1) | 5,968 | 60,933 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 326 | 12,205 | ||||||
Amgen, Inc. | 124,274 | 18,170,102 | ||||||
Anthem, Inc. | 120,812 | 17,369,141 | ||||||
Baxter International, Inc. | 13,436 | 595,752 | ||||||
Bayer AG – ADR | 100,200 | 10,448,856 | ||||||
Bio-Rad Laboratories, Inc. (1) | 635 | 115,748 | ||||||
Brookdale Senior Living, Inc. (1) | 5,700 | 70,794 | ||||||
Cardinal Health, Inc. | 607,150 | 43,696,586 | ||||||
Centene Corp. (1) | 1,341 | 75,780 | ||||||
Cigna Corp. | 101,055 | 13,479,726 | ||||||
Danaher Corp. | 13,556 | 1,055,199 | ||||||
DaVita, Inc. (1) | 3,063 | 196,645 | ||||||
DENTSPLY SIRONA, Inc. | 7,016 | 405,034 |
Shares | Value | |||||||
Endo International Plc (1) | 6,472 | 106,594 | ||||||
Envision Healthcare Corp. (1) | 1,087 | 68,796 | ||||||
Express Scripts Holding Co. (1) | 225,424 | 15,506,917 | ||||||
Gilead Sciences, Inc. | 249,455 | 17,863,473 | ||||||
HCA Holdings, Inc. (1) | 3,056 | 226,205 | ||||||
Hill-Rom Holdings, Inc. | 154 | 8,646 | ||||||
Humana, Inc. | 261 | 53,252 | ||||||
Johnson & Johnson | 343,157 | 39,535,118 | ||||||
Juno Therapeutics, Inc. (1) | 155 | 2,922 | ||||||
Laboratory Corp. of America Holdings (1) | 1,694 | 217,476 | ||||||
LifePoint Health, Inc. (1) | 1,120 | 63,616 | ||||||
Mallinckrodt Plc (1) | 3,381 | 168,441 | ||||||
McKesson Corp. | 149,673 | 21,021,573 | ||||||
MEDNAX, Inc. (1) | 807 | 53,795 | ||||||
Medtronic Plc | 834,603 | 59,448,772 | ||||||
Merck & Co., Inc. | 679,993 | 40,031,188 | ||||||
Mylan (1) | 9,596 | 366,087 | ||||||
OPKO Health, Inc. (1) | 971 | 9,030 | ||||||
Patheon NV (1) | 369 | 10,594 | ||||||
PerkinElmer, Inc. | 2,642 | 137,780 | ||||||
Perrigo Co. Plc | 4,223 | 351,480 | ||||||
Pfizer, Inc. | 673,249 | 21,867,128 | ||||||
Premier, Inc. (1) | 952 | 28,903 | ||||||
QIAGEN (1) | 6,929 | 194,151 | ||||||
Quest Diagnostics, Inc. | 4,286 | 393,883 | ||||||
Quintiles IMS Holdings, Inc. (1) | 849 | 64,566 | ||||||
Roche Holding AG – ADR | 402,568 | 11,485,265 | ||||||
Sanofi – ADR | 246,700 | 9,976,548 | ||||||
St. Jude Medical, Inc. | 2,621 | 210,178 | ||||||
Teleflex, Inc. | 1,072 | 172,753 | ||||||
Teva Pharmaceutical Industries Ltd – ADR | 414,900 | 15,040,125 | ||||||
The Cooper Companies, Inc. | 322 | 56,327 | ||||||
Thermo Fisher Scientific, Inc. | 6,509 | 918,420 | ||||||
United Therapeutics Corp. (1) | 994 | 142,569 | ||||||
UnitedHealth Group, Inc. | 255,258 | 40,851,490 | ||||||
Universal Health Services, Inc. | 1,951 | 207,547 | ||||||
VWR Corp. (1) | 2,209 | 55,291 | ||||||
WellCare Health Plans, Inc. (1) | 137 | 18,780 | ||||||
Zimmer Holdings, Inc. | 2,631 | 271,519 | ||||||
|
| |||||||
430,300,353 | ||||||||
|
| |||||||
Industrials – 11.45% | ||||||||
AECOM (1) | 4,695 | 170,710 | ||||||
AGCO Corp. | 2,123 | 122,837 | ||||||
Air Lease Corp. | 998,925 | 34,293,095 | ||||||
Alaska Air Group, Inc. | 629 | 55,811 | ||||||
Allison Transmission Holdings, Inc. | 4,399 | 148,202 | ||||||
AMERCO | 81 | 29,937 | ||||||
American Airlines Group, Inc. | 16,085 | 751,009 | ||||||
AMETEK, Inc. | 5,667 | 275,416 | ||||||
Arconic, Inc. | 13,338 | 247,287 | ||||||
Armstrong World Industries, Inc. (1) | 1,396 | 58,353 | ||||||
Canadian National Railway Co. | 372,272 | 25,091,133 | ||||||
Carlisle Companies, Inc. | 1,315 | 145,031 |
Shares | Value | |||||||
Caterpillar, Inc. | 17,221 | 1,597,076 | ||||||
Chicago Bridge & Iron Co. | 3,125 | 99,219 | ||||||
Clean Harbors, Inc. (1) | 1,452 | 80,804 | ||||||
Colfax Corp. (1) | 3,077 | 110,557 | ||||||
Copa Holdings SA | 949 | 86,198 | ||||||
Crane Co. | 1,527 | 110,127 | ||||||
CSX Corp. | 29,035 | 1,043,228 | ||||||
Cummins, Inc. | 4,805 | 656,699 | ||||||
Deere & Co. | 183,817 | 18,940,504 | ||||||
Delta Air Lines, Inc. | 5,120 | 251,853 | ||||||
Donaldson Co., Inc. | 279 | 11,740 | ||||||
Dover Corp. | 4,617 | 345,952 | ||||||
Dun & Bradstreet Corp. | 648 | 78,615 | ||||||
Eaton Corp. Plc | 13,915 | 933,557 | ||||||
Emerson Electric Co. | 16,338 | 910,843 | ||||||
Expeditors International of Washington, Inc. | 1,703 | 90,191 | ||||||
Flowserve Corp. | 1,535 | 73,757 | ||||||
Fluor Corp. | 4,188 | 219,954 | ||||||
Fortive Corp. | 6,818 | 365,649 | ||||||
General Dynamics Corp. | 132,065 | 22,802,343 | ||||||
General Electric Co. | 227,263 | 7,181,511 | ||||||
Genesee & Wyoming, Inc. (1) | 1,762 | 122,300 | ||||||
Herc Holdings, Inc. (1) | 679 | 27,269 | ||||||
Hertz Global Holdings, Inc. (1) | 1,913 | 41,244 | ||||||
Honeywell International, Inc. | 284,960 | 33,012,616 | ||||||
Hubbell, Inc. | 613 | 71,537 | ||||||
Huntington Ingalls Industries, Inc. | 229 | 42,180 | ||||||
IDEX Corp. | 173 | 15,580 | ||||||
Ingersoll-Rand Plc | 3,888 | 291,756 | ||||||
ITT, Inc. | 2,707 | 104,409 | ||||||
Jacobs Engineering Group, Inc. (1) | 213,755 | 12,184,035 | ||||||
JetBlue Airways Corp. (1) | 9,162 | 205,412 | ||||||
Johnson Controls International Plc | 446,878 | 18,406,891 | ||||||
Kansas City Southern | 3,270 | 277,459 | ||||||
KBR, Inc. | 4,291 | 71,617 | ||||||
Kirby Corp. (1) | 1,582 | 105,203 | ||||||
L-3 Communications Holdings, Inc. | 2,351 | 357,611 | ||||||
Lennox International, Inc. | 95 | 14,551 | ||||||
Lincoln Electric Holdings, Inc. | 669 | 51,292 | ||||||
Lockheed Martin Corp. | 90,665 | 22,660,810 | ||||||
LSC Communications, Inc. | 210 | 6,233 | ||||||
Macquarie Infrastructure Corp. | 2,238 | 182,845 | ||||||
Manitowoc Foodservice, Inc. (1) | 2,124 | 41,057 | ||||||
ManpowerGroup, Inc. | 2,012 | 178,806 | ||||||
Masco Corp. | 3,493 | 110,449 | ||||||
MSC Industrial Direct Co., Inc. | 771 | 71,233 | ||||||
Nielsen Holdings Plc | 302,866 | 12,705,229 | ||||||
Norfolk Southern Corp. | 8,982 | 970,685 | ||||||
Northrop Grumman Corp. | 61,204 | 14,234,826 | ||||||
Old Dominion Freight Line, Inc. (1) | 767 | 65,801 | ||||||
Orbital ATK, Inc. | 1,749 | 153,440 | ||||||
Oshkosh Corp. | 2,189 | 141,431 | ||||||
Owens Corning | 301,887 | 15,565,294 |
Shares | Value | |||||||
PACCAR, Inc. | 9,509 | 607,625 | ||||||
Parker-Hannifin Corp. | 4,080 | 571,200 | ||||||
Pentair Plc | 5,041 | 282,649 | ||||||
Quanta Services, Inc. (1) | 3,290 | 114,656 | ||||||
Raytheon Co. | 80,889 | 11,486,238 | ||||||
Regal-Beloit Corp. | 1,363 | 94,388 | ||||||
Republic Services, Inc. | 7,197 | 410,589 | ||||||
Rockwell Automation, Inc. | 828 | 111,283 | ||||||
Roper Technologies, Inc. | 1,484 | 271,691 | ||||||
RR Donnelley & Sons Co. | 763 | 12,452 | ||||||
Ryder System, Inc. | 1,671 | 124,389 | ||||||
Snap-on, Inc. | 466 | 79,812 | ||||||
Spirit AeroSystems Holdings, Inc. | 286,572 | 16,721,476 | ||||||
Spirit Airlines, Inc. (1) | 2,139 | 123,763 | ||||||
Stanley Black & Decker, Inc. | 141,810 | 16,264,189 | ||||||
Stericycle, Inc. (1) | 159 | 12,249 | ||||||
Terex Corp. | 3,170 | 99,950 | ||||||
Textron, Inc. | 5,699 | 276,743 | ||||||
The Timken Co. | 2,099 | 83,330 | ||||||
Trinity Industries, Inc. | 4,475 | 124,226 | ||||||
Union Pacific Corp. | 261,688 | 27,131,812 | ||||||
United Continental Holdings, Inc. (1) | 9,651 | 703,365 | ||||||
United Parcel Service, Inc. | 257,966 | 29,573,222 | ||||||
United Rentals, Inc. (1) | 386 | 40,754 | ||||||
United Technologies Corp. | 364,704 | 39,978,852 | ||||||
USG Corp. (1) | 2,582 | 74,568 | ||||||
Valmont Industries, Inc. | 158 | 22,262 | ||||||
Waste Management, Inc. | 2,318 | 164,369 | ||||||
WESCO International, Inc. (1) | 1,457 | 96,963 | ||||||
Xylem, Inc. | 2,645 | 130,980 | ||||||
|
| |||||||
395,660,344 | ||||||||
|
| |||||||
Information Technology – 11.06% | ||||||||
Accenture Plc | 215,280 | 25,215,746 | ||||||
Akamai Technologies, Inc. (1) | 574 | 38,274 | ||||||
Alphabet, Inc. – Class C (1) | 33,732 | 26,035,032 | ||||||
Amdocs Ltd | 4,537 | 264,280 | ||||||
Analog Devices, Inc. | 9,340 | 678,271 | ||||||
ANSYS, Inc. (1) | 2,011 | 185,997 | ||||||
Apple, Inc. | 361,636 | 41,884,681 | ||||||
Applied Materials, Inc. | 9,553 | 308,275 | ||||||
ARRIS International Plc (1) | 4,370 | 131,668 | ||||||
Arrow Electronics, Inc. (1) | 169,929 | 12,115,938 | ||||||
Autodesk, Inc. (1) | 1,157 | 85,630 | ||||||
Automatic Data Processing, Inc. | 263,187 | 27,050,360 | ||||||
Avnet, Inc. | 334,719 | 15,935,972 | ||||||
Booz Allen Hamilton Holding Corp. | 235 | 8,476 | ||||||
Brocade Communications Systems, Inc. | 12,162 | 151,903 | ||||||
CA, Inc. | 8,962 | 284,723 | ||||||
Cisco Systems, Inc. | 154,368 | 4,665,001 | ||||||
CommerceHub, Inc. (1) | 770 | 11,573 | ||||||
CommerceHub, Inc. (1) | 272 | 4,083 | ||||||
Computer Sciences Corp. | 4,155 | 246,890 | ||||||
CoreLogic, Inc. (1) | 1,078 | 39,703 |
Shares | Value | |||||||
Corning, Inc. | 28,973 | 703,175 | ||||||
Cree, Inc. (1) | 1,898 | 50,088 | ||||||
Cypress Semiconductor Corp. | 9,780 | 111,883 | ||||||
Dell Technologies Inc – VMware, Inc. (1) | 5,963 | 327,786 | ||||||
Dolby Laboratories, Inc. | 1,520 | 68,689 | ||||||
EchoStar Corp. (1) | 1,367 | 70,250 | ||||||
Fidelity National Information Services, Inc. | 4,210 | 318,444 | ||||||
FireEye, Inc. (1) | 3,445 | 40,995 | ||||||
First Solar, Inc. (1) | 2,268 | 72,780 | ||||||
Fitbit, Inc. (1) | 583 | 4,268 | ||||||
FLIR Systems, Inc. | 4,108 | 148,669 | ||||||
Harris Corp. | 3,778 | 387,132 | ||||||
Hewlett Packard Enterprise Co. | 53,314 | 1,233,686 | ||||||
HP, Inc. | 52,651 | 781,341 | ||||||
Intel Corp. | 131,657 | 4,775,199 | ||||||
InterActiveCorp (1) | 456 | 29,544 | ||||||
International Business Machines Corp. | 8,443 | 1,401,454 | ||||||
IPG Photonics Corp. (1) | 210 | 20,729 | ||||||
Jabil Circuit, Inc. | 5,704 | 135,014 | ||||||
Juniper Networks, Inc. | 11,319 | 319,875 | ||||||
Keysight Technologies, Inc. (1) | 5,233 | 191,371 | ||||||
Lam Research Corp. | 1,004 | 106,153 | ||||||
Leidos Holdings, Inc. | 2,050 | 104,837 | ||||||
Linear Technology Corp. | 3,890 | 242,541 | ||||||
Marvell Technology Group Ltd | 12,419 | 172,252 | ||||||
Microchip Technology, Inc. | 227,900 | 14,619,785 | ||||||
Micron Technology, Inc. (1) | 31,535 | 691,247 | ||||||
Microsoft Corp. | 815,544 | 50,677,904 | ||||||
Motorola Solutions, Inc. | 4,690 | 388,754 | ||||||
National Instruments Corp. | 774 | 23,855 | ||||||
NetApp, Inc. | 8,876 | 313,057 | ||||||
Nuance Communications, Inc. (1) | 1,627 | 24,242 | ||||||
Nutanix, Inc. (1) | 136 | 3,612 | ||||||
ON Semiconductor Corp. (1) | 11,507 | 146,829 | ||||||
Oracle Corp. | 873,851 | 33,599,571 | ||||||
Pandora Media, Inc. (1) | 1,025 | 13,366 | ||||||
PTC, Inc. (1) | 1,900 | 87,913 | ||||||
Qorvo, Inc. (1) | 3,551 | 187,244 | ||||||
Qualcomm, Inc. | 462,750 | 30,171,300 | ||||||
Samsung Electronic Co. Ltd | 23,487 | 34,956,010 | ||||||
Skyworks Solutions, Inc. | 469 | 35,016 | ||||||
SS&C Technologies Holdings, Inc. | 362 | 10,353 | ||||||
SunPower Corp. (1) | 1,905 | 12,592 | ||||||
Symantec Corp. | 15,937 | 380,735 | ||||||
Synopsys, Inc. (1) | 4,196 | 246,977 | ||||||
Teradyne, Inc. | 6,287 | 159,690 | ||||||
Texas Instruments, Inc. | 189,500 | 13,827,815 | ||||||
Trimble, Inc. (1) | 1,561 | 47,064 | ||||||
Twilio, Inc. (1) | 183 | 5,280 | ||||||
Twitter, Inc. (1) | 2,225 | 36,267 | ||||||
Versum Materials, Inc. (1) | 226,897 | 6,368,999 | ||||||
Visa, Inc. | 326,434 | 25,468,381 | ||||||
VMware, Inc. (1) | 1,671 | 131,558 |
Shares | Value | |||||||
Western Digital Corp. | 8,599 | 584,302 | ||||||
Xerox Corp. | 30,541 | 266,623 | ||||||
Xilinx, Inc. | 5,323 | 321,349 | ||||||
Yahoo!, Inc. (1) | 26,376 | 1,019,960 | ||||||
Yelp, Inc. (1) | 580 | 22,115 | ||||||
Zebra Technologies Corp. (1) | 333 | 28,558 | ||||||
Zillow Group, Inc. – Class A (1) | 473 | 17,241 | ||||||
Zillow Group, Inc. – Class C (1) | 946 | 34,501 | ||||||
Zynga, Inc. (1) | 21,816 | 56,067 | ||||||
|
| |||||||
382,146,763 | ||||||||
|
| |||||||
Materials – 7.39% | ||||||||
Agrium, Inc. | 176,432 | 17,740,237 | ||||||
Air Products & Chemicals, Inc. | 111,074 | 15,974,663 | ||||||
Albemarle Corp. | 3,396 | 292,328 | ||||||
Alcoa Corp. (1) | 4,392 | 123,327 | ||||||
AptarGroup, Inc. | 1,418 | 104,152 | ||||||
Ashland Global Holdings, Inc. | 1,909 | 208,635 | ||||||
Avery Dennison Corp. | 176 | 12,359 | ||||||
Bemis, Inc. | 2,424 | 115,916 | ||||||
Cabot Corp. | 1,912 | 96,632 | ||||||
Celanese Corp. | 403,642 | 31,782,771 | ||||||
CF Industries Holdings, Inc. | 7,142 | 224,830 | ||||||
Compass Minerals International, Inc. | 1,070 | 83,834 | ||||||
CRH Plc – ADR | 345,200 | 11,867,976 | ||||||
Domtar Corp. | 1,850 | 72,205 | ||||||
Dow Chemical Co. | 34,491 | 1,973,575 | ||||||
DuPont | 240,400 | 17,645,360 | ||||||
Eastman Chemical Co. | 4,442 | 334,083 | ||||||
Ecolab, Inc. | 128,792 | 15,096,998 | ||||||
FMC Corp. | 203,977 | 11,536,939 | ||||||
Freeport-McMoRan, Inc. (1) | 31,656 | 417,543 | ||||||
Goldcorp, Inc. | 2,203,043 | 29,961,385 | ||||||
Graphic Packaging Holding Co. | 2,839 | 35,431 | ||||||
Huntsman Corp. | 6,013 | 114,728 | ||||||
International Paper Co. | 12,488 | 662,613 | ||||||
Kinross Gold Corp. (1) | 5,255,117 | 16,343,414 | ||||||
Lyondellbasell Industries NV | 480,510 | 41,218,148 | ||||||
Martin Marietta Materials, Inc. | 181 | 40,097 | ||||||
Monsanto Co. | 4,676 | 491,962 | ||||||
NewMarket Corp. | 13 | 5,510 | ||||||
Newmont Mining Corp. | 16,203 | 552,036 | ||||||
Nucor Corp. | 9,688 | 576,630 | ||||||
Platform Specialty Products Corp. (1) | 5,919 | 58,065 | ||||||
Praxair, Inc. | 165,375 | 19,380,296 | ||||||
Reliance Steel & Aluminum Co. | 2,143 | 170,454 | ||||||
Royal Gold, Inc. | 1,876 | 118,844 | ||||||
Scotts Miracle-Gro Co. | 94 | 8,982 | ||||||
Sonoco Products Co. | 2,988 | 157,468 | ||||||
Southern Copper Corp. | 1,384 | 44,205 | ||||||
Steel Dynamics, Inc. | 6,008 | 213,765 | ||||||
Tahoe Resources, Inc. | 8,967 | 84,469 | ||||||
The Mosaic Co. | 628,317 | 18,428,538 | ||||||
United States Steel Corp. | 4,757 | 157,028 |
Shares | Value | |||||||
Valvoline, Inc. | 912 | 19,608 | ||||||
Vulcan Materials Co. | 274 | 34,291 | ||||||
W.R. Grace & Co. | 934 | 63,176 | ||||||
Westlake Chemical Corp. | 1,140 | 63,829 | ||||||
WestRock Co. | 7,580 | 384,837 | ||||||
|
| |||||||
255,094,172 | ||||||||
|
| |||||||
Real Estate – 1.81% | ||||||||
Alexandria Real Estate Equities, Inc. | 2,077 | 230,817 | ||||||
American Campus Communities, Inc. | 3,978 | 197,985 | ||||||
American Homes 4 Rent | 5,066 | 106,285 | ||||||
American Tower Corp. | 148,732 | 15,717,998 | ||||||
Apartment Investment & Management Co. | 4,682 | 212,797 | ||||||
Apple Hospitality REIT, Inc. | 4,925 | 98,402 | ||||||
AvalonBay Communities, Inc. | 4,173 | 739,247 | ||||||
Boston Properties, Inc. | 3,874 | 487,272 | ||||||
Brandywine Realty Trust | 5,162 | 85,225 | ||||||
Brixmor Property Group, Inc. | 5,734 | 140,024 | ||||||
Camden Property Trust | 2,574 | 216,396 | ||||||
Care Capital Properties, Inc. | 2,275 | 56,875 | ||||||
Columbia Property Trust, Inc. | 3,720 | 80,352 | ||||||
Communications Sales & Leasing, Inc. | 3,661 | 93,026 | ||||||
CoreCivic, Inc. | 3,466 | 84,778 | ||||||
Corporate Office Properties Trust | 2,830 | 88,353 | ||||||
Crown Castle International Corp. | 1,233 | 106,987 | ||||||
CubeSmart | 1,702 | 45,563 | ||||||
CyrusOne, Inc. | 290 | 12,972 | ||||||
DCT Industrial Trust, Inc. | 2,708 | 129,659 | ||||||
DDR Corp. | 9,335 | 142,545 | ||||||
Digital Realty Trust, Inc. | 1,432 | 140,708 | ||||||
Douglas Emmett, Inc. | 4,172 | 152,528 | ||||||
Duke Realty Corp. | 10,414 | 276,596 | ||||||
Empire State Realty Trust, Inc. | 1,407 | 28,407 | ||||||
EPR Properties | 1,890 | 135,645 | ||||||
Equity Commonwealth (1) | 3,736 | 112,977 | ||||||
Equity One, Inc. | 2,786 | 85,502 | ||||||
Equity Residential | 10,849 | 698,242 | ||||||
Essex Property Trust, Inc. | 1,144 | 265,980 | ||||||
Forest City Realty Trust, Inc. | 7,108 | 148,131 | ||||||
General Growth Properties, Inc. | 17,567 | 438,824 | ||||||
HCP, Inc. | 14,274 | 424,223 | ||||||
Healthcare Trust of America, Inc. | 1,074 | 31,264 | ||||||
Highwoods Properties, Inc. | 2,881 | 146,960 | ||||||
Hospitality Properties Trust | 4,262 | 135,276 | ||||||
Host Hotels & Resorts, Inc. | 22,462 | 423,184 | ||||||
Jones Lang LaSalle, Inc. | 83,462 | 8,433,000 | ||||||
Kilroy Realty Corp. | 2,723 | 199,378 | ||||||
Kimco Realty Corp. | 12,241 | 307,984 | ||||||
Liberty Property Trust | 4,381 | 173,050 | ||||||
Life Storage, Inc. | 472 | 40,243 | ||||||
Mid-America Apartment Communities, Inc. | 3,445 | 337,334 | ||||||
National Retail Properties, Inc. | 4,326 | 191,209 | ||||||
NorthStar Realty Finance Corp. | 5,380 | 81,507 | ||||||
Omega Healthcare Investors, Inc. | 3,492 | 109,160 |
Shares | Value | |||||||
Outfront Media, Inc. | 3,472 | 86,349 | ||||||
Paramount Group, Inc. | 5,400 | 86,346 | ||||||
Piedmont Office Realty Trust, Inc. | 4,355 | 91,063 | ||||||
Prologis, Inc. | 15,879 | 838,252 | ||||||
Public Storage | 103,871 | 23,215,169 | ||||||
Quality Care Properties, Inc. (1) | 2,746 | 42,563 | ||||||
Rayonier, Inc. | 3,640 | 96,824 | ||||||
Realogy Holdings Corp. | 4,422 | 113,778 | ||||||
Realty Income Corp. | 7,866 | 452,138 | ||||||
Regency Centers Corp. | 2,553 | 176,029 | ||||||
Retail Properties of America, Inc. | 7,263 | 111,342 | ||||||
Senior Housing Properties Trust | 6,168 | 116,760 | ||||||
Simon Property Group, Inc. | 899 | 159,725 | ||||||
SL Green Realty Corp. | 2,956 | 317,918 | ||||||
Spirit Realty Capital, Inc. | 14,426 | 156,666 | ||||||
STORE Capital Corp. | 4,537 | 112,109 | ||||||
Sun Communities, Inc. | 2,013 | 154,216 | ||||||
Tanger Factory Outlet Centers, Inc. | 321 | 11,485 | ||||||
Taubman Centers, Inc. | 873 | 64,541 | ||||||
The Howard Hughes Corp. (1) | 1,127 | 128,591 | ||||||
The Macerich Co. | 4,352 | 308,296 | ||||||
UDR, Inc. | 8,016 | 292,424 | ||||||
Ventas, Inc. | 7,075 | 442,329 | ||||||
VEREIT, Inc. | 29,699 | 251,254 | ||||||
Vornado Realty Trust | 5,231 | 545,959 | ||||||
W.P. Carey, Inc. | 3,104 | 183,415 | ||||||
Weingarten Realty Investors | 3,503 | 125,372 | ||||||
Welltower, Inc. | 10,871 | 727,596 | ||||||
Weyerhaeuser Co. | 22,635 | 681,087 | ||||||
|
| |||||||
62,680,466 | ||||||||
|
| |||||||
Telecommunication Services – 0.72% | ||||||||
AT&T, Inc. | 188,629 | 8,022,391 | ||||||
CenturyLink, Inc. | 16,420 | 390,468 | ||||||
Frontier Communications Corp. | 35,145 | 118,790 | ||||||
Level 3 Communications, Inc. (1) | 8,910 | 502,168 | ||||||
SBA Communications Corp. (1) | 1,354 | 139,814 | ||||||
Sprint Corp. (1) | 22,710 | 191,218 | ||||||
Telephone & Data Systems, Inc. | 2,857 | 82,482 | ||||||
T-Mobile US, Inc. (1) | 3,379 | 194,326 | ||||||
United States Cellular Corp. (1) | 508 | 22,210 | ||||||
Verizon Communications, Inc. | 286,730 | 15,305,647 | ||||||
|
| |||||||
24,969,514 | ||||||||
|
| |||||||
Utilities – 0.59% | ||||||||
AES Corp. | 19,851 | 230,669 | ||||||
Alliant Energy Corp. | 6,821 | 258,448 | ||||||
Ameren Corp. | 7,347 | 385,424 | ||||||
American Electric Power Co., Inc. | 14,980 | 943,141 | ||||||
American Water Works Co., Inc. | 5,440 | 393,638 | ||||||
Aqua America, Inc. | 5,493 | 165,010 | ||||||
Atmos Energy Corp. | 3,057 | 226,676 | ||||||
Avangrid, Inc. | 1,668 | 63,184 | ||||||
Calpine Corp. (1) | 11,125 | 127,159 | ||||||
CenterPoint Energy, Inc. | 12,980 | 319,827 |
Shares | Value | |||||||
CMS Energy Corp. | 8,435 | 351,065 | ||||||
Consolidated Edison, Inc. | 9,287 | 684,266 | ||||||
Dominion Resources, Inc. | 17,909 | 1,371,650 | ||||||
DTE Energy Co. | 5,460 | 537,865 | ||||||
Duke Energy Corp. | 21,306 | 1,653,772 | ||||||
Edison International | 9,634 | 693,552 | ||||||
Entergy Corp. | 5,419 | 398,134 | ||||||
Eversource Energy | 9,678 | 534,516 | ||||||
Exelon Corp. | 26,991 | 957,911 | ||||||
FirstEnergy Corp. | 12,992 | 402,362 | ||||||
Great Plains Energy, Inc. | 6,453 | 176,489 | ||||||
Hawaiian Electric Industries, Inc. | 3,230 | 106,816 | ||||||
MDU Resources Group, Inc. | 5,815 | 167,298 | ||||||
National Fuel Gas Co. | 2,215 | 125,458 | ||||||
NextEra Energy, Inc. | 14,253 | 1,702,663 | ||||||
NiSource, Inc. | 9,892 | 219,009 | ||||||
NRG Energy, Inc. | 9,440 | 115,734 | ||||||
OGE Energy Corp. | 5,990 | 200,365 | ||||||
PG&E Corp. | 15,112 | 918,356 | ||||||
Pinnacle West Capital Corp. | 3,397 | 265,068 | ||||||
PPL Corp. | 20,654 | 703,269 | ||||||
Public Service Enterprise Group, Inc. | 15,404 | 675,927 | ||||||
SCANA Corp. | 3,955 | 289,822 | ||||||
Sempra Energy | 7,602 | 765,065 | ||||||
The Southern Co. | 29,086 | 1,430,740 | ||||||
UGI Corp. | 5,159 | 237,727 | ||||||
Vectren Corp. | 2,594 | 135,277 | ||||||
WEC Energy Group, Inc. | 9,632 | 564,917 | ||||||
Westar Energy, Inc. | 4,297 | 242,136 | ||||||
Xcel Energy, Inc. | 15,486 | 630,280 | ||||||
|
| |||||||
20,370,685 | ||||||||
|
| |||||||
Total Common Stocks (Cost $3,019,152,437) | $ | 3,266,799,745 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 4.92% | ||||||||
Money Market Funds – 4.92% | ||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (2) | 84,896,394 | $ | 84,896,394 | |||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (2) | 84,896,393 | 84,896,393 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $169,792,787) | $ | 169,792,787 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 99.50% | ||||||||
(Cost $3,188,945,224) | $ | 3,436,592,532 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.50% | 17,355,421 | |||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 3,453,947,953 | ||||||
|
|
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’s Financial Services LLC (“S&P”).
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 95.96% | ||||||||
Consumer Discretionary – 13.84% | ||||||||
1-800-Flowers.com, Inc. (1) | 1,756 | $ | 18,789 | |||||
Aaron’s, Inc. | 39,775 | 1,272,402 | ||||||
Acushnet Holdings Corp. (1) | 2,807 | 55,326 | ||||||
Adient Plc (1) | 639 | 37,445 | ||||||
Advance Auto Parts, Inc. | 156,970 | 26,546,766 | ||||||
AMC Entertainment Holdings, Inc. | 1,643 | 55,280 | ||||||
AMC Networks, Inc. (1) | 1,936 | 101,330 | ||||||
American Axle & Manufacturing Holdings, Inc. (1) | 16,991 | 327,926 | ||||||
American Eagle Outfitters, Inc. | 33,110 | 502,279 | ||||||
Aramark | 3,454 | 123,377 | ||||||
Arctic Cat, Inc. (1) | 1,093 | 16,417 | ||||||
Asbury Automotive Group, Inc. (1) | 4,405 | 271,789 | ||||||
Ascena Retail Group, Inc. (1) | 12,978 | 80,334 | ||||||
At Home Group, Inc. (1) | 640 | 9,363 | ||||||
AutoNation, Inc. (1) | 851 | 41,401 | ||||||
AutoZone, Inc. (1) | 970 | 766,096 | ||||||
Bassett Furniture Industries, Inc. | 1,123 | 34,139 | ||||||
Bed Bath & Beyond, Inc. | 539 | 21,905 | ||||||
Big Lots, Inc. | 9,849 | 494,518 | ||||||
Biglari Holdings, Inc. (1) | 19 | 8,991 | ||||||
BJ’s Restaurants, Inc. (1) | 5,191 | 204,006 | ||||||
Bloomin Brands, Inc. | 157,065 | 2,831,882 | ||||||
Blue Nile, Inc. | 2,392 | 97,187 | ||||||
Bob Evans Farms, Inc. | 4,366 | 232,315 | ||||||
Bojangles, Inc. (1) | 2,249 | 41,944 | ||||||
Borgwarner, Inc. | 891 | 35,141 | ||||||
Boyd Gaming Corp. (1) | 18,054 | 364,149 | ||||||
Bright Horizons Family Solutions, Inc. (1) | 46,354 | 3,245,707 | ||||||
Brinker International, Inc. | 1,620 | 80,239 | ||||||
Brunswick Corp. | 2,440 | 133,078 | ||||||
Buckle, Inc. | 2,093 | 47,720 | ||||||
Buffalo Wild Wings, Inc. (1) | 91,913 | 14,191,367 | ||||||
Build-A-Bear Workshop, Inc. (1) | 203 | 2,791 | ||||||
Burlington Stores, Inc. (1) | 1,334 | 113,057 | ||||||
Cabela’s, Inc. (1) | 191 | 11,183 | ||||||
Cable One, Inc. | 155 | 96,368 | ||||||
CalAtlantic Group, Inc. | 281 | 9,557 | ||||||
Callaway Golf Co. | 7,482 | 82,003 | ||||||
Camping World Holdings, Inc. | 2,430 | 79,194 | ||||||
Capella Education Company | 2,313 | 203,081 | ||||||
CarMax, Inc. (1) | 198,804 | 12,800,990 | ||||||
Carriage Services, Inc. | 3,017 | 86,407 | ||||||
Carrols Restaurant Group, Inc. (1) | 6,426 | 97,997 | ||||||
Carter’s, Inc. | 1,656 | 143,062 |
Shares | Value | |||||||
Cato Corp. | 1,113 | 33,479 | ||||||
Cavco Industries, Inc. (1) | 1,883 | 188,018 | ||||||
Central European Media Enterprises Ltd (1) | 18,305 | 46,678 | ||||||
Century Casinos, Inc. (1) | 1,884 | 15,505 | ||||||
Century Communities, Inc. (1) | 285 | 5,985 | ||||||
Cheesecake Factory, Inc. | 10,018 | 599,878 | ||||||
Chegg, Inc. (1) | 7,851 | 57,940 | ||||||
Chicos FAS, Inc. | 25,851 | 371,996 | ||||||
Children’s Place, Inc. | 4,139 | 417,832 | ||||||
Chipotle Mexican Grill, Inc. (1) | 927 | 349,776 | ||||||
Choice Hotels International, Inc. | 756 | 42,374 | ||||||
Churchill Downs, Inc. | 2,977 | 447,890 | ||||||
Chuy’s Holdings, Inc. (1) | 60,961 | 1,978,184 | ||||||
Cinemark Holdings, Inc. | 3,507 | 134,529 | ||||||
Clear Channel Outdoor Holdings, Inc. | 555 | 2,803 | ||||||
ClubCorp Holdings, Inc. | 13,991 | 200,771 | ||||||
Coach, Inc. | 1,799 | 63,001 | ||||||
Collectors Universe, Inc. | 1,630 | 34,605 | ||||||
Columbia Sportswear Co. | 5,913 | 344,728 | ||||||
Container Store Group, Inc. (1) | 854 | 5,423 | ||||||
Cooper-Standard Holdings, Inc. (1) | 3,041 | 314,379 | ||||||
Core Mark Holding Company, Inc. | 74,061 | 3,189,807 | ||||||
Cracker Barrel Old Country Store, Inc. | 4,000 | 667,920 | ||||||
Crocs, Inc. (1) | 16,403 | 112,525 | ||||||
CST Brands, Inc. | 72,000 | 3,466,800 | ||||||
Culp, Inc. | 2,364 | 87,823 | ||||||
D. R. Horton, Inc. | 6,108 | 166,932 | ||||||
Daily Journal Corp. (1) | 175 | 42,315 | ||||||
Darden Restaurants, Inc. | 3,844 | 279,536 | ||||||
Dave & Buster’s Entertainment, Inc. (1) | 8,349 | 470,049 | ||||||
Deckers Outdoor Corp. (1) | 532 | 29,467 | ||||||
Del Frisco’s Restaurant Group, Inc. (1) | 306 | 5,202 | ||||||
Delphi Automotive Plc | 136,144 | 9,169,298 | ||||||
Denny’s Corp. (1) | 12,269 | 157,411 | ||||||
Destination XL Group, Inc. (1) | 4,937 | 20,982 | ||||||
Dick’s Sporting Goods, Inc. | 2,262 | 120,112 | ||||||
DineEquity, Inc. | 2,270 | 174,790 | ||||||
Discovery Communications, Inc. – Class A (1) | 4,596 | 125,976 | ||||||
Discovery Communications, Inc. – Class C (1) | 6,777 | 181,488 | ||||||
Dollar General Corp. | 9,382 | 694,925 | ||||||
Dollar Tree, Inc. (1) | 7,473 | 576,766 | ||||||
Domino’s Pizza, Inc. | 1,634 | 260,198 | ||||||
Dorman Products, Inc. (1) | 5,843 | 426,890 | ||||||
Drew Industries, Inc. | 5,249 | 565,580 | ||||||
Duluth Holdings, Inc. (1) | 2,181 | 55,397 | ||||||
Dunkin’ Brands Group, Inc. | 3,021 | 158,421 | ||||||
Eldorado Resorts, Inc. (1) | 5,832 | 98,852 | ||||||
Empire Resorts, Inc. (1) | 40 | 905 | ||||||
Entravision Communications Corp. | 14,562 | 101,934 | ||||||
Ethan Allen Interiors, Inc. | 5,459 | 201,164 | ||||||
Etsy, Inc. (1) | 22,935 | 270,174 | ||||||
Expedia, Inc. | 20,126 | 2,279,873 | ||||||
Extended Stay America, Inc. | 310 | 5,007 |
Shares | Value | |||||||
Fiesta Restaurant Group, Inc. (1) | 4,865 | 145,220 | ||||||
Finish Line, Inc. | 2,936 | 55,226 | ||||||
Five Below, Inc. (1) | 11,788 | 471,048 | ||||||
Foot Locker, Inc. | 3,980 | 282,142 | ||||||
Fox Factory Holding Corp. (1) | 4,808 | 133,422 | ||||||
Francesca’s Holdings Corp. (1) | 8,436 | 152,101 | ||||||
Fred’s, Inc. | 331 | 6,143 | ||||||
Gaia, Inc. (1) | 272 | 2,353 | ||||||
Gap, Inc. | 435 | 9,761 | ||||||
Genesco, Inc. (1) | 554 | 34,403 | ||||||
Gentex Corp. | 6,142 | 120,936 | ||||||
Gentherm, Inc. (1) | 66,466 | 2,249,874 | ||||||
Genuine Parts Co. | 4,554 | 435,089 | ||||||
G-III Apparel Group Ltd (1) | 7,525 | 222,439 | ||||||
Global Eagle Entertainment, Inc. (1) | 621 | 4,012 | ||||||
GNC Holdings, Inc. | 15,159 | 167,355 | ||||||
Golden Entertainment, Inc. | 451 | 5,462 | ||||||
Grand Canyon Education, Inc. (1) | 9,921 | 579,882 | ||||||
Gray Television, Inc. (1) | 8,949 | 97,097 | ||||||
Group 1 Automotive, Inc. | 1,038 | 80,902 | ||||||
Groupon, Inc. (1) | 11,833 | 39,286 | ||||||
Hanesbrands, Inc. | 12,377 | 266,972 | ||||||
Harley-Davidson, Inc. | 5,941 | 346,598 | ||||||
Harman International Industries, Inc. | 9,522 | 1,058,466 | ||||||
Hasbro, Inc. | 3,681 | 286,345 | ||||||
Helen Of Troy Corp. (1) | 45,923 | 3,878,197 | ||||||
Hemisphere Media Group, Inc. (1) | 1,105 | 12,376 | ||||||
Hibbett Sports, Inc. (1) | 3,969 | 148,044 | ||||||
Hilton Worldwide Holdings, Inc. | 15,132 | 411,590 | ||||||
Hooker Furniture Corp. | 224 | 8,501 | ||||||
Horizon Global Corp. (1) | 4,056 | 97,344 | ||||||
Houghton Mifflin Harcourt Co. (1) | 18,260 | 198,121 | ||||||
HSN, Inc. | 6,862 | 235,367 | ||||||
Hyatt Hotels Corp. (1) | 41 | 2,266 | ||||||
ILG, Inc | 2,422 | 44,008 | ||||||
IMAX Corp. (1) | 162,262 | 5,095,027 | ||||||
Installed Building Products, Inc. (1) | 4,441 | 183,413 | ||||||
Interpublic Group of Companies, Inc. | 13,163 | 308,146 | ||||||
iRobot Corp. (1) | 5,945 | 347,485 | ||||||
Isle of Capri Casinos, Inc. (1) | 5,595 | 138,141 | ||||||
Jack in the Box, Inc. | 5,610 | 626,300 | ||||||
Jamba, Inc. (1) | 2,556 | 26,327 | ||||||
John Wiley & Sons, Inc. | 161,000 | 8,774,500 | ||||||
Kate Spade & Co. (1) | 4,233 | 79,030 | ||||||
KB Home | 3,927 | 62,086 | ||||||
Kirkland’s, Inc. (1) | 1,288 | 19,977 | ||||||
Kona Grill, Inc. (1) | 745 | 9,350 | ||||||
L Brands, Inc. | 1,425 | 93,822 | ||||||
La Quinta Holdings, Inc. (1) | 4,332 | 61,558 | ||||||
La-Z-Boy, Inc. | 4,581 | 142,240 | ||||||
Lear Corp. | 2,004 | 265,269 | ||||||
Leggett & Platt, Inc. | 4,351 | 212,677 | ||||||
Lennar Corp. – Class A | 3,165 | 135,873 |
Shares | Value | |||||||
Lennar Corp. – Class B | 156 | 5,382 | ||||||
LGI Homes, Inc. (1) | 3,458 | 99,348 | ||||||
Libbey, Inc. | 339 | 6,597 | ||||||
Liberty Braves Group (1) | 437 | 8,998 | ||||||
Liberty Expedia Holdings, Inc. (1) | 332 | 13,170 | ||||||
Liberty Interactive Corp. (1) | 8,214 | 164,116 | ||||||
Liberty Media Group LLC (1) | 1,861 | 58,305 | ||||||
Liberty Media Group LLC (1) | 777 | 24,359 | ||||||
Liberty Tax, Inc. | 1,211 | 16,227 | ||||||
Liberty TripAdvisor Holdings, Inc. (1) | 15,876 | 238,934 | ||||||
Liberty Ventures (1) | 498 | 18,361 | ||||||
LifeLock, Inc. (1) | 18,699 | 447,280 | ||||||
Lindblad Expeditions Holdings, Inc. (1) | 2,814 | 26,592 | ||||||
Lions Gate Entertainment Corp. (1) | 2,874 | 70,525 | ||||||
Lions Gate Entertainment Corp. (1) | 1,002 | 26,940 | ||||||
Lithia Motors, Inc. | 5,243 | 507,680 | ||||||
Live Nation Entertainment, Inc. (1) | 2,501 | 66,527 | ||||||
LKQ Corp. (1) | 79,552 | 2,438,269 | ||||||
Loral Space and Communications, Inc. (1) | 2,804 | 115,104 | ||||||
Lululemon Athletica, Inc. (1) | 17,393 | 1,130,371 | ||||||
M.D.C. Holdings, Inc. | 3,436 | 88,158 | ||||||
M/I Homes, Inc. (1) | 1,134 | 28,554 | ||||||
Malibu Boats, Inc. (1) | 4,228 | 80,670 | ||||||
Marine Products Corp. | 2,332 | 32,345 | ||||||
MarineMax, Inc. (1) | 3,121 | 60,391 | ||||||
Marriott International, Inc. | 135,772 | 11,225,629 | ||||||
Marriott Vacations Worldwide Corp. | 275 | 23,334 | ||||||
Mattel, Inc. | 11,193 | 308,367 | ||||||
MCBC Holdings, Inc. | 1,819 | 26,521 | ||||||
MDC Partners, Inc. | 3,067 | 20,089 | ||||||
Meritage Homes Corp. (1) | 567 | 19,732 | ||||||
Metaldyne Performance Group, Inc. | 2,197 | 50,421 | ||||||
MGM Resorts International (1) | 1,419 | 40,910 | ||||||
Michael Kors Holdings Ltd (1) | 5,306 | 228,052 | ||||||
Mohawk Industries, Inc. (1) | 1,598 | 319,089 | ||||||
Monro Muffler Brake, Inc. | 67,175 | 3,842,410 | ||||||
Morningstar, Inc. | 15,385 | 1,131,721 | ||||||
Motorcar Parts of America, Inc. (1) | 3,825 | 102,969 | ||||||
MSG Networks, Inc. (1) | 4,552 | 97,868 | ||||||
Murphy USA, Inc. (1) | 730 | 44,873 | ||||||
Nathan’s Famous, Inc. (1) | 695 | 45,106 | ||||||
National CineMedia, Inc. | 177,715 | 2,617,742 | ||||||
Nautilus, Inc. (1) | 6,688 | 123,728 | ||||||
Netflix, Inc. (1) | 18,045 | 2,233,971 | ||||||
New Home Company, Inc. (1) | 451 | 5,281 | ||||||
New Media Investment Group, Inc. | 1,752 | 28,014 | ||||||
Newell Brands, Inc. | 15,522 | 693,057 | ||||||
Nexstar Broadcasting Group, Inc. | 6,590 | 417,147 | ||||||
Noodles & Co. (1) | 1,720 | 7,052 | ||||||
Nordstrom, Inc. | 4,061 | 194,644 | ||||||
Norwegian Cruise Line Holdings Ltd (1) | 520 | 22,116 | ||||||
Nutrisystem, Inc. | 6,409 | 222,072 | ||||||
NVR, Inc. (1) | 115 | 191,935 |
Shares | Value | |||||||
Ollie’s Bargain Outlet Holdings, Inc. (1) | 197,426 | 5,616,770 | ||||||
Omnicom Group, Inc. | 7,786 | 662,666 | ||||||
O’Reilly Automotive, Inc. (1) | 8,032 | 2,236,189 | ||||||
Overstock.com, Inc. (1) | 2,721 | 47,618 | ||||||
Oxford Industries, Inc. | 3,314 | 199,271 | ||||||
Panera Bread Co. (1) | 737 | 151,151 | ||||||
Papa John’s International, Inc. | 26,194 | 2,241,683 | ||||||
Party City Holdings, Inc. (1) | 2,727 | 38,723 | ||||||
Penn National Gaming, Inc. (1) | 13,940 | 192,233 | ||||||
PetMed Express, Inc. | 4,374 | 100,908 | ||||||
Pier 1 Imports, Inc. | 2,474 | 21,128 | ||||||
Pinnacle Entertainment, Inc. (1) | 964 | 13,978 | ||||||
Planet Fitness, Inc. | 5,824 | 117,062 | ||||||
Polaris Industries, Inc. | 1,983 | 163,379 | ||||||
Pool Corp. | 1,334 | 139,190 | ||||||
Popeyes Louisiana Kitchen, Inc. (1) | 53,355 | 3,226,910 | ||||||
Potbelly Corp. (1) | 5,314 | 68,551 | ||||||
Pulte Group, Inc. | 3,420 | 62,860 | ||||||
Radio One, Inc. (1) | 4,291 | 12,444 | ||||||
Ralph Lauren Corp. | 120 | 10,838 | ||||||
Reading International, Inc. (1) | 954 | 15,836 | ||||||
Red Robin Gourmet Burgers, Inc. (1) | 506 | 28,538 | ||||||
Red Rock Resorts, Inc. | 6,750 | 156,533 | ||||||
Regal Entertainment Group | 696 | 14,338 | ||||||
Ross Stores, Inc. | 277,109 | 18,178,350 | ||||||
Ruth’s Hospitality Group, Inc. | 7,084 | 129,637 | ||||||
Sally Beauty Holdings, Inc. (1) | 441,863 | 11,674,020 | ||||||
Scientific Games Corp. (1) | 11,811 | 165,354 | ||||||
Scripps Networks Interactive, Inc. | 2,709 | 193,341 | ||||||
Sears Holdings Corp. (1) | 369 | 3,428 | ||||||
SeaWorld Entertainment, Inc. | 14,960 | 283,193 | ||||||
Select Comfort Corp. (1) | 10,170 | 230,045 | ||||||
Service Corp. International | 6,131 | 174,120 | ||||||
ServiceMaster Global Holdings, Inc. (1) | 4,469 | 168,347 | ||||||
Shake Shack, Inc. (1) | 3,492 | 124,979 | ||||||
Shutterfly, Inc. (1) | 7,621 | 382,422 | ||||||
Signet Jewelers Ltd | 67,079 | 6,322,867 | ||||||
Sinclair Broadcast Group, Inc. | 14,586 | 486,443 | ||||||
Sirius XM Holdings, Inc. | 58,389 | 259,831 | ||||||
Six Flags Entertainment Corp. | 2,371 | 142,165 | ||||||
Skechers USA, Inc. (1) | 4,234 | 104,072 | ||||||
Smith & Wesson Holding Corp. (1) | 12,091 | 254,878 | ||||||
Sonic Corp. | 9,837 | 260,779 | ||||||
Sotheby’s (1) | 6,251 | 249,165 | ||||||
Sportsman’s Warehouse Holdings, Inc. (1) | 5,685 | 53,382 | ||||||
Standard Motor Products, Inc. | 2,808 | 149,442 | ||||||
Stein Mart, Inc. | 7,239 | 39,670 | ||||||
Steven Madden Ltd (1) | 58,840 | 2,103,530 | ||||||
Stoneridge, Inc. (1) | 6,229 | 110,191 | ||||||
Strayer Education, Inc. (1) | 1,074 | 86,597 | ||||||
Sturm, Ruger & Company, Inc. | 4,059 | 213,909 | ||||||
Superior Uniform Group, Inc. | 1,925 | 37,769 | ||||||
Tailored Brands, Inc. | 3,398 | 86,819 |
Shares | Value | |||||||
Taylor Morrison Home Corp. (1) | 6,913 | 133,144 | ||||||
Tempur Sealy International, Inc. (1) | 1,776 | 121,265 | ||||||
Tenneco, Inc. (1) | 12,439 | 777,064 | ||||||
Texas Roadhouse, Inc. | 79,386 | 3,829,581 | ||||||
The Habit Restaurants, Inc. (1) | 3,390 | 58,478 | ||||||
The Madison Square Garden Co. (1) | 59 | 10,119 | ||||||
The Michaels Companies, Inc. (1) | 2,307 | 47,178 | ||||||
Thor Industries, Inc. | 1,583 | 158,379 | ||||||
Tile Shop Holdings, Inc. (1) | 7,233 | 141,405 | ||||||
Toll Brothers, Inc. (1) | 2,407 | 74,617 | ||||||
TopBuild Corp. (1) | 1,190 | 42,364 | ||||||
Tractor Supply Co. | 176,365 | 13,370,231 | ||||||
Travelport Worldwide Ltd | 19,164 | 270,212 | ||||||
TRI Pointe Group, Inc. (1) | 1,744 | 20,021 | ||||||
Tribune Media Co. | 185 | 6,471 | ||||||
TripAdvisor, Inc. (1) | 188,390 | 8,735,644 | ||||||
tronc, Inc. | 3,688 | 51,153 | ||||||
Tupperware Brands Corp. | 1,679 | 88,349 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (1) | 12,991 | 3,311,926 | ||||||
Under Armour, Inc. (1) | 6,023 | 174,968 | ||||||
Under Armour, Inc. (1) | 228,141 | 5,742,309 | ||||||
Unique Fabricating, Inc. | 1,253 | 18,294 | ||||||
Universal Electronics, Inc. (1) | 3,083 | 199,008 | ||||||
Urban Outfitters, Inc. (1) | 2,291 | 65,248 | ||||||
Vail Resorts, Inc. | 1,276 | 205,832 | ||||||
Vera Bradley, Inc. (1) | 3,341 | 39,157 | ||||||
Viacom, Inc. – Class A | 271 | 10,434 | ||||||
Viacom, Inc. – Class B | 10,003 | 351,105 | ||||||
Vince Holding Corp. (1) | 381 | 1,543 | ||||||
Vista Outdoor, Inc. (1) | 57,740 | 2,130,606 | ||||||
Visteon Corp. | 1,127 | 90,543 | ||||||
Vitamin Shoppe, Inc. (1) | 284 | 6,745 | ||||||
Wayfair, Inc. (1) | 6,886 | 241,354 | ||||||
Weight Watchers International, Inc. (1) | 5,781 | 66,192 | ||||||
Wendy’s Co. | 3,929 | 53,120 | ||||||
Weyco Group, Inc. | 51 | 1,596 | ||||||
Whirlpool Corp. | 50,493 | 9,178,113 | ||||||
Williams-Sonoma, Inc. | 2,916 | 141,105 | ||||||
Wingstop, Inc. | 64,026 | 1,894,529 | ||||||
Winmark Corp. | 540 | 68,121 | ||||||
Winnebago Industries, Inc. | 5,799 | 183,538 | ||||||
Wolverine World Wide, Inc. | 3,259 | 71,535 | ||||||
Workhorse Group, Inc. (1) | 2,033 | 14,353 | ||||||
World Wrestling Entertainment, Inc. | 7,801 | 143,538 | ||||||
Wyndham Worldwide Corp. | 3,617 | 276,230 | ||||||
Wynn Resorts Ltd | 2,399 | 207,537 | ||||||
ZAGG, Inc. (1) | 585 | 4,154 | ||||||
Zoe’s Kitchen, Inc. (1) | 4,300 | 103,157 | ||||||
|
| |||||||
265,902,320 | ||||||||
|
| |||||||
Consumer Staples – 6.52% | ||||||||
AdvancePierre Foods Holdings, Inc. | 2,984 | 88,864 | ||||||
Alico, Inc. | 72 | 1,955 | ||||||
Amplify Snack Brands, Inc. (1) | 6,547 | 57,679 |
Shares | Value | |||||||
Avon Products, Inc. (1) | 20,418 | 102,907 | ||||||
B&G Foods, Inc. | 14,521 | 636,020 | ||||||
Blue Buffalo Pet Products, Inc. (1) | 262,061 | 6,299,946 | ||||||
Boston Beer, Inc. (1) | 1,950 | 331,207 | ||||||
Brown Forman Corp. – Class A | 1,699 | 78,579 | ||||||
Brown Forman Corp. – Class B | 5,752 | 258,380 | ||||||
Calavo Growers, Inc. | 65,785 | 4,039,199 | ||||||
Cal-Maine Foods, Inc. | 5,295 | 233,907 | ||||||
Campbell Soup Co. | 6,151 | 371,951 | ||||||
Casey’s General Stores, Inc. | 130,613 | 15,527,273 | ||||||
Central Garden & Pet Co. (1) | 1,032 | 31,889 | ||||||
Central Garden & Pet Co. (1) | 190 | 6,287 | ||||||
Church & Dwight Co., Inc. | 8,415 | 371,859 | ||||||
Clorox Co. | 3,641 | 436,993 | ||||||
Coca-Cola Bottling Co. Consolidated | 1,045 | 186,898 | ||||||
Conagra Brands, Inc. | 11,388 | 450,395 | ||||||
Coty, Inc. | 769 | 14,080 | ||||||
Craft Brew Alliance, Inc. (1) | 1,203 | 20,331 | ||||||
Darling Ingredients, Inc. (1) | 9,682 | 124,995 | ||||||
Dean Foods Co. | 10,125 | 220,522 | ||||||
Diplomat Pharmacy, Inc. (1) | 10,188 | 128,369 | ||||||
Dr Pepper Snapple Group, Inc. | 6,105 | 553,540 | ||||||
elf Beauty, Inc. (1) | 884 | 25,583 | ||||||
Energizer Holdings, Inc. | 646 | 28,818 | ||||||
Farmer Brothers Co. (1) | 1,802 | 66,133 | ||||||
Flowers Foods, Inc. | 787,211 | 15,720,604 | ||||||
Fresh Del Monte Produce, Inc. | 367 | 22,251 | ||||||
Freshpet, Inc. (1) | 5,042 | 51,176 | ||||||
Herbalife Ltd (1) | 2,450 | 117,943 | ||||||
Hormel Foods Corp. | 7,755 | 269,952 | ||||||
HRG Group, Inc. (1) | 26,053 | 405,385 | ||||||
Ingredion, Inc. | 1,664 | 207,933 | ||||||
Inter Parfums, Inc. | 1,729 | 56,625 | ||||||
Inventure Foods, Inc. (1) | 3,855 | 37,972 | ||||||
J & J Snack Foods Corp. | 3,300 | 440,319 | ||||||
John B. Sanfilippo & Son, Inc. | 569 | 40,052 | ||||||
Kellogg Co. | 7,559 | 557,174 | ||||||
Lamb Weston Holdings, Inc. (1) | 3,813 | 144,309 | ||||||
Lancaster Colony Corp. | 4,141 | 585,496 | ||||||
Landec Corp. (1) | 1,384 | 19,099 | ||||||
Lifevantage Corp. (1) | 2,670 | 21,761 | ||||||
Lifeway Foods, Inc. (1) | 1,207 | 13,893 | ||||||
Limoneira Co. | 2,691 | 57,883 | ||||||
McCormick & Co, Inc. | 3,785 | 353,254 | ||||||
Mead Johnson Nutrition Co. | 129,223 | 9,143,819 | ||||||
Medifast, Inc. | 2,286 | 95,166 | ||||||
MGP Ingredients, Inc. | 40,272 | 2,012,795 | ||||||
Molson Coors Brewing Co. | 88,000 | 8,563,280 | ||||||
Monster Beverage Corp. (1) | 52,005 | 2,305,902 | ||||||
National Beverage Corp. | 2,602 | 132,910 | ||||||
Natural Health Trends Corp. | 1,686 | 41,897 | ||||||
Nu Skin Enterprises, Inc. | 531 | 25,371 | ||||||
Omega Protein Corp. (1) | 234 | 5,862 |
Shares | Value | |||||||
Orchids Paper Products Co. | 2,058 | 53,878 | ||||||
Performance Food Group Co. (1) | 8,076 | 193,824 | ||||||
Pilgrim’s Pride Corp. | 260 | 4,937 | ||||||
Post Holdings, Inc. (1) | 1,204 | 96,790 | ||||||
PriceSmart, Inc. | 4,406 | 367,901 | ||||||
Primo Water Corp. (1) | 4,891 | 60,061 | ||||||
Revlon, Inc. (1) | 726 | 21,163 | ||||||
Rite Aid Corp. (1) | 33,753 | 278,125 | ||||||
Smart & Final Stores, Inc. (1) | 3,880 | 54,708 | ||||||
Snyder’s-Lance, Inc. | 314,565 | 12,060,422 | ||||||
Spectrum Brands Holdings, Inc. | 814 | 99,577 | ||||||
Sprouts Farmers Market, Inc. (1) | 4,541 | 85,916 | ||||||
Synutra International, Inc. (1) | 1,199 | 6,415 | ||||||
The Chefs’ Warehouse, Inc. (1) | 4,334 | 68,477 | ||||||
The Hain Celestial Group, Inc. (1) | 2,481 | 96,833 | ||||||
The Hershey Co. | 4,622 | 478,053 | ||||||
The J. M. Smucker Co. | 87,000 | 11,141,220 | ||||||
Tootsie Roll Industries, Inc. | 3,789 | 150,613 | ||||||
TreeHouse Foods, Inc. (1) | 208,296 | 15,036,888 | ||||||
Turning Point Brands, Inc. (1) | 610 | 7,473 | ||||||
Tyson Foods, Inc. | 4,473 | 275,895 | ||||||
US Foods Holding Corp. (1) | 1,493 | 41,028 | ||||||
USANA Health Sciences, Inc. (1) | 2,339 | 143,147 | ||||||
Vector Group Ltd | 8,935 | 203,182 | ||||||
WD-40 Co. | 3,359 | 392,667 | ||||||
WhiteWave Foods Co. (1) | 5,734 | 318,810 | ||||||
Whole Foods Market, Inc. | 372,740 | 11,465,482 | ||||||
|
| |||||||
125,348,127 | ||||||||
|
| |||||||
Energy – 2.92% | ||||||||
Abraxas Petroleum Corp. (1) | 11,990 | 30,814 | ||||||
Baker Hughes, Inc. | 24,015 | 1,560,255 | ||||||
Cabot Oil & Gas Corp. | 10,664 | 249,111 | ||||||
Callon Petroleum Co. (1) | 32,039 | 492,439 | ||||||
Carrizo Oil & Gas, Inc. (1) | 118,782 | 4,436,508 | ||||||
Chesapeake Energy Corp. (1) | 1,561 | 10,958 | ||||||
Cimarex Energy Co. | 501 | 68,086 | ||||||
Continental Resources, Inc. (1) | 1,306 | 67,311 | ||||||
Core Laboratories NV | 161,965 | 19,442,279 | ||||||
CVR Energy, Inc. | 234 | 5,941 | ||||||
Denbury Resources, Inc. (1) | 722,700 | 2,659,536 | ||||||
Devon Energy Corp. | 1,553 | 70,925 | ||||||
Diamondback Energy, Inc. (1) | 626 | 63,264 | ||||||
Evolution Petroleum Corp. | 6,000 | 60,000 | ||||||
Forum Energy Technologies, Inc. (1) | 203,305 | 4,472,710 | ||||||
Isramco, Inc. (1) | 149 | 18,521 | ||||||
Matador Resources Co. (1) | 18,316 | 471,820 | ||||||
Newfield Exploration Co. (1) | 1,679 | 67,999 | ||||||
Oceaneering International, Inc. | 33,755 | 952,229 | ||||||
Oil States International, Inc. (1) | 39,261 | 1,531,179 | ||||||
ONEOK, Inc. | 6,869 | 394,349 | ||||||
Panhandle Oil and Gas, Inc. | 2,041 | 48,066 | ||||||
Par Petroleum Corp. (1) | 2,907 | 42,268 | ||||||
Parsley Energy, Inc. (1) | 195,893 | 6,903,269 |
Shares | Value | |||||||
PHI, Inc. (1) | 754 | 13,587 | ||||||
Range Resources Corp. | 27,605 | 948,508 | ||||||
Renewable Energy Group, Inc. (1) | 467 | 4,530 | ||||||
Rice Energy, Inc. (1) | 101,445 | 2,165,851 | ||||||
RigNet, Inc. (1) | 184 | 4,260 | ||||||
RPC, Inc. | 67,628 | 1,339,711 | ||||||
RSP Permian, Inc. (1) | 84,294 | 3,761,198 | ||||||
Sanchez Energy Corp. (1) | 3,627 | 32,752 | ||||||
Southwestern Energy Co. (1) | 16,125 | 174,472 | ||||||
Synergy Resources Corp. (1) | 261,856 | 2,333,137 | ||||||
TETRA Technologies, Inc. (1) | 13,676 | 68,653 | ||||||
The Williams Companies, Inc. | 3,832 | 119,328 | ||||||
US Silica Holdings, Inc. | 16,404 | 929,779 | ||||||
|
| |||||||
56,015,603 | ||||||||
|
| |||||||
Financials – 11.32% | ||||||||
Affiliated Managers Group, Inc. (1) | 85,950 | 12,488,535 | ||||||
Allegiance Bancshares, Inc. (1) | 189 | 6,832 | ||||||
Allied World Assurance Co. Holdings AG | 372,500 | 20,006,975 | ||||||
Ameriprise Financial, Inc. | 1,579 | 175,174 | ||||||
Ameris Bancorp | 5,548 | 241,893 | ||||||
AMERISAFE, Inc. | 43,977 | 2,741,966 | ||||||
AmTrust Financial Services, Inc. | 191 | 5,230 | ||||||
Argo Group International Holdings Ltd | 46,448 | 3,060,923 | ||||||
Arthur J. Gallagher & Co. | 230,962 | 12,000,786 | ||||||
Artisan Partners Asset Management, Inc. | 1,244 | 37,009 | ||||||
Atlantic Capital Bancshares, Inc. (1) | 563 | 10,697 | ||||||
Atlas Financial Holdings, Inc. (1) | 1,175 | 21,209 | ||||||
Banc of California, Inc. | 7,785 | 135,070 | ||||||
Bank of the Ozarks, Inc. | 19,574 | 1,029,397 | ||||||
Bankwell Financial Group, Inc. | 191 | 6,207 | ||||||
BGC Partners, Inc. | 47,627 | 487,224 | ||||||
Blue Hills Bancorp, Inc. | 430 | 8,062 | ||||||
BNC Bancorp | 938 | 29,922 | ||||||
Bofi Holding, Inc. (1) | 12,459 | 355,704 | ||||||
Brown & Brown, Inc. | 213 | 9,555 | ||||||
Camden National Corp. | 38,110 | 1,693,989 | ||||||
Capital Bank Financial Corp. | 2,341 | 91,884 | ||||||
Cardinal Financial Corp. | 371 | 12,165 | ||||||
CBOE Holdings, Inc. | 2,668 | 197,138 | ||||||
Central Pacific Financial Corp. | 112,702 | 3,541,097 | ||||||
Chemical Financial Corp. | 71,765 | 3,887,510 | ||||||
Citizens Financial Group, Inc. | 7,203 | 256,643 | ||||||
CoBiz Financial, Inc. | 718 | 12,127 | ||||||
Cohen & Steers, Inc. | 4,628 | 155,501 | ||||||
Columbia Banking System, Inc. | 39,732 | 1,775,226 | ||||||
Commerce Bancshares, Inc. | 150,500 | 8,700,405 | ||||||
County Bancorp, Inc. | 601 | 16,209 | ||||||
Cowen Group, Inc. (1) | 356 | 5,518 | ||||||
Crawford & Co. | 3,400 | 42,704 | ||||||
Credit Acceptance Corp. (1) | 268 | 58,293 | ||||||
CU Bancorp (1) | 409 | 14,642 | ||||||
Cullen/Frost Bankers, Inc. | 128,000 | 11,293,440 | ||||||
Customers Bancorp, Inc. (1) | 2,286 | 81,884 |
Shares | Value | |||||||
Diamond Hill Investment Group, Inc. | 690 | 145,162 | ||||||
Donnelley Financial Solutions, Inc. (1) | 561 | 12,892 | ||||||
Eagle Bancorp, Inc. (1) | 66,110 | 4,029,404 | ||||||
Eaton Vance Corp. | 3,635 | 152,234 | ||||||
eHealth, Inc. (1) | 3,614 | 38,489 | ||||||
Endurance Specialty Holdings Ltd | 185,000 | 17,094,000 | ||||||
Erie Indemnity Co. | 600 | 67,470 | ||||||
Essent Group Ltd (1) | 16,448 | 532,422 | ||||||
Evercore Partners, Inc. | 55,770 | 3,831,399 | ||||||
Federated Investors, Inc. | 2,853 | 80,683 | ||||||
Fifth Street Asset Management, Inc. | 1,153 | 7,725 | ||||||
Financial Engines, Inc. | 11,702 | 430,048 | ||||||
First Connecticut Bancorp, Inc. | 552 | 12,503 | ||||||
First Financial Bankshares, Inc. | 8,801 | 397,805 | ||||||
First Foundation, Inc. (1) | 852 | 24,282 | ||||||
First Republic Bank | 110,053 | 10,140,283 | ||||||
FirstCash, Inc. | 6,096 | 286,512 | ||||||
Franklin Financial Network, Inc. (1) | 718 | 30,048 | ||||||
GAIN Capital Holdings, Inc. | 1,389 | 9,140 | ||||||
GAMCO Investors, Inc. | 184 | 5,684 | ||||||
Great Western Bancorp, Inc. | 128,756 | 5,612,474 | ||||||
Green Dot Corp. (1) | 1,752 | 41,260 | ||||||
Greenhill & Co, Inc. | 4,611 | 127,725 | ||||||
Hennessy Advisors, Inc. | 562 | 17,843 | ||||||
Heritage Commerce Corp. | 444 | 6,407 | ||||||
Hilltop Holdings, Inc. | 84,915 | 2,530,467 | ||||||
Hingham Institution for Savings | 126 | 24,794 | ||||||
Home Bancorp, Inc. | 147 | 5,676 | ||||||
Home Bancshares, Inc. | 26,697 | 741,376 | ||||||
Houlihan Lokey, Inc. | 2,839 | 88,350 | ||||||
Interactive Brokers Group, Inc. | 220 | 8,032 | ||||||
Invesco Ltd | 2,296 | 69,661 | ||||||
Investment Technology Group, Inc. | 824 | 16,266 | ||||||
James River Group Holdings Ltd | 116,804 | 4,853,206 | ||||||
Ladenburg Thalmann Financial Services, Inc. (1) | 2,521 | 6,151 | ||||||
Lazard Ltd | 144,297 | 5,929,164 | ||||||
LendingClub Corp. (1) | 32,650 | 171,412 | ||||||
LendingTree, Inc. (1) | 21,963 | 2,225,950 | ||||||
Lincoln National Corp. | 1,779 | 117,894 | ||||||
Live Oak Bancshares, Inc. | 4,556 | 84,286 | ||||||
LPL Financial Holdings, Inc. | 378 | 13,309 | ||||||
Maiden Holdings Ltd | 1,653 | 28,845 | ||||||
MarketAxess Holdings, Inc. | 17,752 | 2,608,124 | ||||||
Medley Management, Inc. | 518 | 5,128 | ||||||
Meridian Bancorp, Inc. | 1,539 | 29,087 | ||||||
Moelis & Co. | 4,097 | 138,888 | ||||||
Moody’s Corp. | 5,006 | 471,916 | ||||||
MSCI, Inc. | 2,986 | 235,237 | ||||||
National Bank Holdings Corp. | 5,284 | 168,507 | ||||||
National General Holdings Corp. | 6,347 | 158,612 | ||||||
Nationstar Mortgage Holdings, Inc. (1) | 3,490 | 63,029 | ||||||
Northern Trust Corp. | 174,000 | 15,494,700 | ||||||
Northfield Bancorp, Inc. | 809 | 16,156 |
Shares | Value | |||||||
NorthStar Asset Management Group, Inc. | 6,081 | 90,729 | ||||||
OM Asset Management Plc | 6,152 | 89,204 | ||||||
Opus Bank | 2,505 | 75,275 | ||||||
Orchid Island Capital, Inc. | 986 | 10,678 | ||||||
Pacific Premier Bancorp, Inc. (1) | 2,039 | 72,079 | ||||||
Park Sterling Corp. | 3,888 | 41,952 | ||||||
Patriot National, Inc. (1) | 2,125 | 9,881 | ||||||
PICO Holdings, Inc. (1) | 678 | 10,272 | ||||||
Pinnacle Financial Partners, Inc. | 1,219 | 84,477 | ||||||
PRA Group, Inc. (1) | 81,873 | 3,201,234 | ||||||
Primerica, Inc. | 10,259 | 709,410 | ||||||
Prosperity Bancshares, Inc. | 125,000 | 8,972,500 | ||||||
Pzena Investment Management, Inc. | 2,069 | 22,987 | ||||||
Regional Management Corp. (1) | 247 | 6,491 | ||||||
RLI Corp. | 6,941 | 438,185 | ||||||
SEI Investments Co. | 4,199 | 207,263 | ||||||
ServisFirst Bancshares, Inc. | 10,248 | 383,685 | ||||||
Signature Bank (1) | 94,118 | 14,136,524 | ||||||
Silvercrest Asset Management Group, Inc. | 1,327 | 17,450 | ||||||
South State Corp. | 63,279 | 5,530,585 | ||||||
State National Companies, Inc. | 372 | 5,156 | ||||||
SVB Financial Group (1) | 65,391 | 11,225,019 | ||||||
T. Rowe Price Group, Inc. | 6,141 | 462,172 | ||||||
TD Ameritrade Holding Corp. | 7,331 | 319,632 | ||||||
Texas Capital Bancshares, Inc. (1) | 36,810 | 2,885,904 | ||||||
The Progressive Corp. | 1,802 | 63,971 | ||||||
Third Point Reinsurance Ltd (1) | 1,128 | 13,028 | ||||||
Trupanion, Inc. (1) | 3,242 | 50,316 | ||||||
Union Bankshares Inc/Morrisville VT | 822 | 37,360 | ||||||
United Insurance Holdings Corp. | 2,792 | 42,271 | ||||||
Universal Insurance Holdings, Inc. | 5,264 | 149,498 | ||||||
Value Line, Inc. | 250 | 4,875 | ||||||
Veritex Holdings, Inc. (1) | 478 | 12,767 | ||||||
Virtu Financial, Inc. | 5,053 | 80,595 | ||||||
Waddell & Reed Financial, Inc. | 1,526 | 29,772 | ||||||
Western Alliance Bancorp (1) | 68,284 | 3,326,114 | ||||||
Western New England Bancorp, Inc. | 2,246 | 21,000 | ||||||
Westwood Holdings Group, Inc. | 1,848 | 110,862 | ||||||
WisdomTree Investments, Inc. | 25,334 | 282,221 | ||||||
WMIH Corp. (1) | 43,333 | 67,166 | ||||||
Xenith Bankshares, Inc. (1) | 584 | 16,463 | ||||||
XL Group Ltd | 2,988 | 111,333 | ||||||
|
| |||||||
217,561,218 | ||||||||
|
| |||||||
Healthcare – 16.99% | ||||||||
AAC Holdings, Inc. (1) | 58,476 | 423,366 | ||||||
Abaxis, Inc. | 4,866 | 256,779 | ||||||
ABIOMED, Inc. (1) | 31,856 | 3,589,534 | ||||||
Acadia Healthcare Co., Inc. (1) | 47,361 | 1,567,649 | ||||||
ACADIA Pharmaceuticals, Inc. (1) | 3,143 | 90,644 | ||||||
Accelerate Diagnostics, Inc. (1) | 4,782 | 99,227 | ||||||
Acceleron Pharma, Inc. (1) | 5,900 | 150,568 | ||||||
Accuray, Inc. (1) | 17,136 | 78,826 | ||||||
AcelRx Pharmaceuticals, Inc. (1) | 6,872 | 17,867 |
Shares | Value | |||||||
Aceto Corp. | 5,544 | 121,802 | ||||||
Achillion Pharmaceuticals, Inc. (1) | 25,142 | 103,836 | ||||||
Aclaris Therapeutics, Inc. (1) | 2,527 | 68,583 | ||||||
Acorda Therapeutics, Inc. (1) | 1,198 | 22,522 | ||||||
Adamas Pharmaceuticals, Inc. (1) | 1,920 | 32,448 | ||||||
Addus HomeCare Corp. (1) | 106 | 3,715 | ||||||
Adeptus Health, Inc. (1) | 3,005 | 22,958 | ||||||
Aduro Biotech, Inc. (1) | 7,918 | 90,265 | ||||||
Advaxis, Inc. (1) | 7,521 | 53,850 | ||||||
Aerie Pharmaceuticals, Inc. (1) | 6,378 | 241,407 | ||||||
Aevi Genomic Medicine, Inc. (1) | 6,379 | 33,043 | ||||||
Agenus, Inc. (1) | 15,469 | 63,732 | ||||||
Agile Therapeutics, Inc. (1) | 2,675 | 15,248 | ||||||
Agilent Technologies, Inc. | 2,845 | 129,618 | ||||||
Agios Pharmaceuticals, Inc. (1) | 992 | 41,396 | ||||||
Aimmune Therapeutics, Inc. (1) | 5,654 | 115,624 | ||||||
Air Methods Corp. (1) | 7,464 | 237,728 | ||||||
Akebia Therapeutics, Inc. (1) | 2,042 | 21,257 | ||||||
Akorn, Inc. (1) | 71,009 | 1,550,126 | ||||||
Albany Molecular Research, Inc. (1) | 2,782 | 52,190 | ||||||
Alder Biopharmaceuticals, Inc. (1) | 10,305 | 214,344 | ||||||
Alere, Inc. (1) | 552 | 21,511 | ||||||
Alexion Pharmaceuticals, Inc. (1) | 60,787 | 7,437,289 | ||||||
Align Technology, Inc. (1) | 93,368 | 8,975,466 | ||||||
Alkermes Plc (1) | 4,939 | 274,510 | ||||||
Almost Family, Inc. (1) | 537 | 23,682 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 2,115 | 79,186 | ||||||
AMAG Pharmaceuticals, Inc. (1) | 2,387 | 83,068 | ||||||
Amedisys, Inc. (1) | 6,130 | 261,322 | ||||||
American Renal Associates Holdings, Inc. (1) | 1,844 | 39,240 | ||||||
AmerisourceBergen Corp. | 129,266 | 10,107,309 | ||||||
Amicus Therapeutics, Inc. (1) | 31,377 | 155,944 | ||||||
AMN Healthcare Services, Inc. (1) | 10,429 | 400,995 | ||||||
Amphastar Pharmaceuticals, Inc. (1) | 7,855 | 144,689 | ||||||
Ampio Pharmaceuticals, Inc. (1) | 8,491 | 7,644 | ||||||
Analogic Corp. | 307 | 25,466 | ||||||
Anavex Life Sciences Corp. (1) | 6,435 | 25,483 | ||||||
ANI Pharmaceuticals, Inc. (1) | 1,777 | 107,722 | ||||||
Anika Therapeutics, Inc. (1) | 2,523 | 123,526 | ||||||
Anthera Pharmaceuticals, Inc. (1) | 7,638 | 4,958 | ||||||
Applied Genetic Technologies Corp. (1) | 2,463 | 23,029 | ||||||
Aptevo Therapeutics, Inc. (1) | 3,180 | 7,759 | ||||||
Aratana Therapeutics, Inc. (1) | 6,896 | 49,513 | ||||||
Ardelyx, Inc. (1) | 1,338 | 19,000 | ||||||
Arena Pharmaceuticals, Inc. (1) | 53,047 | 75,327 | ||||||
Argos Therapeutics, Inc. (1) | 3,674 | 18,003 | ||||||
ARIAD Pharmaceuticals, Inc. (1) | 36,698 | 456,523 | ||||||
Array BioPharma, Inc. (1) | 3,857 | 33,903 | ||||||
Arrowhead Pharmaceuticals, Inc. (1) | 12,153 | 18,837 | ||||||
Asterias Biotherapeutics, Inc. – Class A (1) | 4,296 | 19,762 | ||||||
Atara Biotherapeutics, Inc. (1) | 250 | 3,550 | ||||||
Athenahealth, Inc. (1) | 18,866 | 1,984,137 | ||||||
Athersys, Inc. (1) | 13,801 | 21,116 |
Shares | Value | |||||||
AtriCure, Inc. (1) | 5,356 | 104,817 | ||||||
Atrion Corp. | 303 | 153,682 | ||||||
Audentes Therapeutics, Inc. (1) | 920 | 16,808 | ||||||
Avexis, Inc. (1) | 1,327 | 63,338 | ||||||
Avinger, Inc. (1) | 5,067 | 18,748 | ||||||
AxoGen, Inc. (1) | 5,418 | 48,762 | ||||||
Axovant Sciences Ltd (1) | 5,302 | 65,851 | ||||||
Axsome Therapeutics, Inc. (1) | 2,084 | 14,067 | ||||||
Bellicum Pharmaceuticals, Inc. (1) | 3,126 | 42,576 | ||||||
BioCryst Pharmaceuticals, Inc. (1) | 13,551 | 85,778 | ||||||
BioMarin Pharmaceutical, Inc. (1) | 107,647 | 8,917,477 | ||||||
Bio-Path Holdings, Inc. (1) | 21,012 | 28,366 | ||||||
Bio-Rad Laboratories, Inc. (1) | 21,611 | 3,939,253 | ||||||
BioScrip, Inc. (1) | 3,639 | 3,785 | ||||||
BioSpecifics Technologies Corp. (1) | 1,259 | 70,126 | ||||||
Bio-Techne Corp. | 23,182 | 2,383,805 | ||||||
BioTelemetry, Inc. (1) | 6,026 | 134,681 | ||||||
BioTime, Inc. (1) | 15,817 | 57,099 | ||||||
Bluebird Bio, Inc. (1) | 3,384 | 208,793 | ||||||
Blueprint Medicines Corp. (1) | 4,661 | 130,741 | ||||||
Bruker Corp. | 3,458 | 73,240 | ||||||
C.R. Bard, Inc. | 42,419 | 9,529,853 | ||||||
Cambrex Corp. (1) | 35,996 | 1,941,984 | ||||||
Cantel Medical Corp. | 35,638 | 2,806,493 | ||||||
Capital Senior Living Corp. (1) | 6,186 | 99,285 | ||||||
Cara Therapeutics, Inc. (1) | 513 | 4,766 | ||||||
Cardiovascular Systems, Inc. (1) | 7,016 | 169,857 | ||||||
Castlight Health, Inc. (1) | 8,226 | 40,719 | ||||||
Catalent, Inc. (1) | 156,113 | 4,208,806 | ||||||
Cellular Biomedicine Group, Inc. (1) | 1,584 | 20,750 | ||||||
Cempra, Inc. (1) | 9,567 | 26,788 | ||||||
Centene Corp. (1) | 4,031 | 227,792 | ||||||
Cerner Corp. (1) | 50,363 | 2,385,695 | ||||||
Cerus Corp. (1) | 18,892 | 82,180 | ||||||
Charles River Laboratories International, Inc. (1) | 1,550 | 118,095 | ||||||
Chemed Corp. | 3,569 | 572,503 | ||||||
ChemoCentryx, Inc. (1) | 5,364 | 39,694 | ||||||
ChromaDex Corp. (1) | 5,667 | 18,758 | ||||||
Cidara Therapeutics, Inc. (1) | 111 | 1,154 | ||||||
Civitas Solutions, Inc. (1) | 3,432 | 68,297 | ||||||
Clearside Biomedical, Inc. (1) | 1,321 | 11,810 | ||||||
Clovis Oncology, Inc. (1) | 7,013 | 311,517 | ||||||
Coherus Biosciences, Inc. (1) | 6,499 | 182,947 | ||||||
Collegium Pharmaceutical, Inc. (1) | 3,676 | 57,235 | ||||||
Computer Programs & Systems, Inc. | 2,562 | 60,463 | ||||||
Concert Pharmaceuticals, Inc. (1) | 1,313 | 13,511 | ||||||
ConforMIS, Inc. (1) | 7,749 | 62,767 | ||||||
Corcept Therapeutics, Inc. (1) | 16,033 | 116,400 | ||||||
Corindus Vascular Robotics, Inc. (1) | 10,209 | 7,130 | ||||||
CorVel Corp. (1) | 2,107 | 77,116 | ||||||
Cotiviti Holdings, Inc. (1) | 2,148 | 73,891 | ||||||
Cross Country Healthcare, Inc. (1) | 6,891 | 107,569 | ||||||
CryoLife, Inc. (1) | 4,653 | 89,105 |
Shares | Value | |||||||
Curis, Inc. (1) | 26,307 | 81,026 | ||||||
Cutera, Inc. (1) | 2,822 | 48,962 | ||||||
Cynosure, Inc. (1) | 5,237 | 238,807 | ||||||
Cytokinetics, Inc. (1) | 7,458 | 90,615 | ||||||
CytomX Therapeutics, Inc. (1) | 4,557 | 50,081 | ||||||
CytRx Corp. (1) | 24,763 | 9,217 | ||||||
DaVita, Inc. (1) | 2,206 | 141,625 | ||||||
Dentsply Sirona, Inc. | 377,280 | 21,780,374 | ||||||
Depomed, Inc. (1) | 13,303 | 239,720 | ||||||
Dermira, Inc. (1) | 5,432 | 164,753 | ||||||
DexCom, Inc. (1) | 2,708 | 161,668 | ||||||
Dimension Therapeutics, Inc. (1) | 889 | 3,867 | ||||||
Durect Corp. (1) | 25,949 | 34,772 | ||||||
Dynavax Technologies Corp. (1) | 8,377 | 33,089 | ||||||
Eagle Pharmaceuticals, Inc. (1) | 2,055 | 163,044 | ||||||
Edge Therapeutics, Inc. (1) | 1,253 | 15,663 | ||||||
Editas Medicine, Inc. (1) | 1,363 | 22,122 | ||||||
Edwards Lifesciences Corp. (1) | 6,959 | 652,058 | ||||||
Egalet Corp. (1) | 948 | 7,252 | ||||||
Eiger BioPharmaceuticals, Inc. (1) | 648 | 7,549 | ||||||
Emergent BioSolutions, Inc. (1) | 7,164 | 235,266 | ||||||
Endologix, Inc. (1) | 17,878 | 102,262 | ||||||
Ensign Group, Inc. | 10,514 | 233,516 | ||||||
Entellus Medical, Inc. (1) | 1,735 | 32,913 | ||||||
Envision Healthcare Corp. (1) | 2,708 | 171,389 | ||||||
Enzo Biochem, Inc. (1) | 8,480 | 58,851 | ||||||
Epizyme, Inc. (1) | 6,416 | 77,634 | ||||||
Exact Sciences Corp. (1) | 23,107 | 308,710 | ||||||
Exelixis, Inc. (1) | 30,795 | 459,153 | ||||||
FibroGen, Inc. (1) | 11,570 | 247,598 | ||||||
Five Prime Therapeutics, Inc. (1) | 1,375 | 68,901 | ||||||
Flex Pharma, Inc. (1) | 1,716 | 9,060 | ||||||
Flexion Therapeutics, Inc. (1) | 5,970 | 113,549 | ||||||
Fluidigm Corp. (1) | 6,756 | 49,184 | ||||||
Fortress Biotech, Inc. (1) | 6,531 | 17,634 | ||||||
Foundation Medicine, Inc. (1) | 2,926 | 51,790 | ||||||
Galena Biopharma, Inc. (1) | 1,817 | 3,525 | ||||||
Genesis Healthcare, Inc. (1) | 4,497 | 19,112 | ||||||
GenMark Diagnostics, Inc. (1) | 9,631 | 117,883 | ||||||
Genomic Health, Inc. (1) | 4,049 | 119,000 | ||||||
Geron Corp. (1) | 33,478 | 69,299 | ||||||
Glaukos Corp. (1) | 3,672 | 125,950 | ||||||
Global Blood Therapeutics, Inc. (1) | 3,742 | 54,072 | ||||||
Globus Medical, Inc. (1) | 100,604 | 2,495,985 | ||||||
GlycoMimetics, Inc. (1) | 2,544 | 15,518 | ||||||
Halozyme Therapeutics, Inc. (1) | 24,055 | 237,663 | ||||||
HealthEquity, Inc. (1) | 74,349 | 3,012,621 | ||||||
HealthSouth Corp. | 19,654 | 810,531 | ||||||
HealthStream, Inc. (1) | 5,722 | 143,336 | ||||||
Henry Schein, Inc. (1) | 50,690 | 7,690,180 | ||||||
Heron Therapeutics, Inc. (1) | 7,147 | 93,626 | ||||||
Heska Corp. (1) | 1,364 | 97,662 | ||||||
Hill-Rom Holdings, Inc. | 2,039 | 114,469 |
Shares | Value | |||||||
HMS Holdings Corp. (1) | 151,434 | 2,750,041 | ||||||
Hologic, Inc. (1) | 58,392 | 2,342,687 | ||||||
Horizon Pharma Plc (1) | 35,462 | 573,775 | ||||||
ICON Plc (1) | 49,684 | 3,736,237 | ||||||
ICU Medical, Inc. (1) | 21,486 | 3,165,962 | ||||||
Idera Pharmaceuticals, Inc. (1) | 19,760 | 29,640 | ||||||
IDEXX Laboratories, Inc. (1) | 30,627 | 3,591,628 | ||||||
Ignyta, Inc. (1) | 3,315 | 17,570 | ||||||
Illumina, Inc. (1) | 18,412 | 2,357,472 | ||||||
Immune Design Corp. (1) | 3,729 | 20,510 | ||||||
ImmunoGen, Inc. (1) | 19,429 | 39,635 | ||||||
Immunomedics, Inc. (1) | 20,392 | 74,839 | ||||||
Impax Laboratories, Inc. (1) | 16,045 | 212,596 | ||||||
INC Research Holdings, Inc. (1) | 9,115 | 479,449 | ||||||
Incyte Corp. (1) | 5,366 | 538,049 | ||||||
Infinity Pharmaceuticals, Inc. (1) | 9,735 | 13,142 | ||||||
Innoviva, Inc. (1) | 16,061 | 171,853 | ||||||
Inogen, Inc. (1) | 3,585 | 240,804 | ||||||
Inotek Pharmaceuticals Corp. (1) | 3,017 | 18,404 | ||||||
Inovalon Holdings, Inc. (1) | 2,002 | 20,621 | ||||||
Inovio Pharmaceuticals, Inc. (1) | 14,300 | 99,242 | ||||||
Insmed, Inc. (1) | 14,204 | 187,919 | ||||||
Insulet Corp. (1) | 12,720 | 479,290 | ||||||
Insys Therapeutics, Inc. (1) | 5,395 | 49,634 | ||||||
Integra LifeSciences Holdings Corp. (1) | 167,679 | 14,385,181 | ||||||
Intellia Therapeutics, Inc. (1) | 1,358 | 17,803 | ||||||
Intercept Pharmaceuticals, Inc. (1) | 540 | 58,671 | ||||||
Intersect ENT, Inc. (1) | 5,519 | 66,780 | ||||||
Intra-Cellular Therapies, Inc. (1) | 7,964 | 120,177 | ||||||
Intrexon Corp. (1) | 1,797 | 43,667 | ||||||
Intuitive Surgical, Inc. (1) | 3,653 | 2,316,623 | ||||||
InVitae Corp. (1) | 6,403 | 50,840 | ||||||
InVivo Therapeutics Holdings Corp. (1) | 7,535 | 31,647 | ||||||
Ionis Pharmaceuticals, Inc. (1) | 3,963 | 189,550 | ||||||
iRadimed Corp. (1) | 787 | 8,736 | ||||||
iRhythm Technologies, Inc. (1) | 1,395 | 41,850 | ||||||
IRIDEX Corp. (1) | 1,467 | 20,626 | ||||||
Ironwood Pharmaceuticals, Inc. (1) | 28,275 | 432,325 | ||||||
Juno Therapeutics, Inc. (1) | 1,823 | 34,364 | ||||||
K2M Group Holdings, Inc. (1) | 1,860 | 37,274 | ||||||
Kadmon Holdings, Inc. (1) | 1,301 | 6,960 | ||||||
Karyopharm Therapeutics, Inc. (1) | 936 | 8,798 | ||||||
Keryx Biopharmaceuticals, Inc. (1) | 16,843 | 98,700 | ||||||
Kite Pharma, Inc. (1) | 8,602 | 385,714 | ||||||
La Jolla Pharmaceutical Co. (1) | 3,119 | 54,676 | ||||||
Laboratory Corp. of America Holdings (1) | 101,509 | 13,031,725 | ||||||
Landauer, Inc. | 2,110 | 101,491 | ||||||
LeMaitre Vascular, Inc. | 3,041 | 77,059 | ||||||
Lexicon Pharmaceuticals, Inc. (1) | 9,046 | 125,106 | ||||||
LHC Group, Inc. (1) | 304 | 13,893 | ||||||
Ligand Pharmaceuticals, Inc. (1) | 27,125 | 2,756,171 | ||||||
Lion Biotechnologies, Inc. (1) | 12,459 | 86,590 | ||||||
Lipocine, Inc. (1) | 3,202 | 11,783 |
Shares | Value | |||||||
Loxo Oncology, Inc. (1) | 2,940 | 94,418 | ||||||
Luminex Corp. (1) | 3,538 | 71,574 | ||||||
MacroGenics, Inc. (1) | 6,855 | 140,116 | ||||||
Magellan Health, Inc. (1) | 3,633 | 273,383 | ||||||
MannKind Corp. (1) | 73,434 | 46,755 | ||||||
Masimo Corp. (1) | 51,016 | 3,438,478 | ||||||
Medicines Co. (1) | 13,630 | 462,602 | ||||||
MediciNova, Inc. (1) | 6,763 | 40,781 | ||||||
Medidata Solutions, Inc. (1) | 165,076 | 8,199,325 | ||||||
MEDNAX, Inc. (1) | 171,341 | 11,421,591 | ||||||
Medpace Holdings, Inc. (1) | 1,159 | 41,805 | ||||||
Meridian Bioscience, Inc. | 8,076 | 142,945 | ||||||
Merit Medical Systems, Inc. (1) | 94,903 | 2,514,930 | ||||||
Merrimack Pharmaceuticals, Inc. (1) | 16,250 | 66,300 | ||||||
Mettler-Toledo International, Inc. (1) | 39,644 | 16,593,393 | ||||||
MiMedx Group, Inc. (1) | 22,716 | 201,264 | ||||||
Minerva Neurosciences, Inc. (1) | 4,006 | 47,071 | ||||||
Mirati Therapeutics, Inc. (1) | 2,426 | 11,524 | ||||||
Molina Healthcare, Inc. (1) | 6,356 | 344,877 | ||||||
Momenta Pharmaceuticals, Inc. (1) | 3,550 | 53,428 | ||||||
MyoKardia, Inc. (1) | 2,653 | 34,356 | ||||||
Myovant Sciences Ltd (1) | 1,855 | 23,076 | ||||||
Myriad Genetics, Inc. (1) | 14,878 | 248,016 | ||||||
NanoString Technologies, Inc. (1) | 3,380 | 75,374 | ||||||
NantHealth, Inc. (1) | 1,096 | 10,894 | ||||||
NantKwest, Inc. (1) | 274 | 1,567 | ||||||
Natera, Inc. (1) | 5,958 | 69,768 | ||||||
National Research Corp. | 1,806 | 34,314 | ||||||
Natus Medical, Inc. (1) | 70,380 | 2,449,224 | ||||||
Nektar Therapeutics (1) | 31,062 | 381,131 | ||||||
Neogen Corp. (1) | 47,500 | 3,135,000 | ||||||
NeoGenomics, Inc. (1) | 11,596 | 99,378 | ||||||
Neos Therapeutics, Inc. (1) | 2,451 | 14,338 | ||||||
Neurocrine Biosciences, Inc. (1) | 2,852 | 110,372 | ||||||
Nevro Corp. (1) | 5,334 | 387,568 | ||||||
NewLink Genetics Corp. (1) | 3,776 | 38,817 | ||||||
Nobilis Health Corp. (1) | 810 | 1,701 | ||||||
Novan, Inc. (1) | 833 | 22,508 | ||||||
Novavax, Inc. (1) | 61,909 | 78,005 | ||||||
Novocure Ltd (1) | 10,934 | 85,832 | ||||||
NuVasive, Inc. (1) | 201,466 | 13,570,750 | ||||||
NxStage Medical, Inc. (1) | 13,897 | 364,240 | ||||||
Ocular Therapeutix, Inc. (1) | 3,773 | 31,580 | ||||||
Omeros Corp. (1) | 5,625 | 55,800 | ||||||
Omnicell, Inc. (1) | 81,598 | 2,766,172 | ||||||
OncoMed Pharmaceuticals, Inc. (1) | 4,811 | 37,093 | ||||||
Ophthotech Corp. (1) | 6,726 | 32,487 | ||||||
OPKO Health, Inc. (1) | 9,579 | 89,085 | ||||||
OraSure Technologies, Inc. (1) | 12,118 | 106,396 | ||||||
Organovo Holdings, Inc. (1) | 21,821 | 73,973 | ||||||
Orthofix International (1) | 3,893 | 140,849 | ||||||
Osiris Therapeutics, Inc. (1) | 5,730 | 28,134 | ||||||
OvaScience, Inc. (1) | 1,403 | 2,147 |
Shares | Value | |||||||
Owens & Minor, Inc. | 1,707 | 60,240 | ||||||
Oxford Immunotec Global Plc (1) | 5,120 | 76,544 | ||||||
Pacific Biosciences of California, Inc. (1) | 17,318 | 65,808 | ||||||
Pacira Pharmaceuticals, Inc. (1) | 44,552 | 1,439,030 | ||||||
Paratek Pharmaceuticals, Inc. (1) | 3,801 | 58,535 | ||||||
PAREXEL International Corp. (1) | 211,541 | 13,902,475 | ||||||
Patheon NV (1) | 598 | 17,169 | ||||||
Patterson Companies, Inc. | 2,796 | 114,720 | ||||||
Penumbra, Inc. (1) | 5,611 | 357,982 | ||||||
PerkinElmer, Inc. | 753 | 39,269 | ||||||
Pfenex, Inc. (1) | 4,034 | 36,588 | ||||||
PharmAthene, Inc. (1) | 11,461 | 37,248 | ||||||
Phibro Animal Health Corp. | 3,844 | 112,629 | ||||||
Portola Pharmaceuticals, Inc. (1) | 10,127 | 227,250 | ||||||
PRA Health Sciences, Inc. (1) | 5,364 | 295,664 | ||||||
Premier, Inc. (1) | 426 | 12,933 | ||||||
Prestige Brands Holdings, Inc. (1) | 54,539 | 2,841,482 | ||||||
Progenics Pharmaceuticals, Inc. (1) | 15,241 | 131,682 | ||||||
Protagonist Therapeutics, Inc. (1) | 1,215 | 26,718 | ||||||
Proteostasis Therapeutics, Inc. (1) | 2,148 | 26,334 | ||||||
Prothena Corporation Plc (1) | 7,610 | 374,336 | ||||||
Puma Biotechnology, Inc. (1) | 6,135 | 188,345 | ||||||
Quality Systems, Inc. (1) | 11,050 | 145,308 | ||||||
Quidel Corp. (1) | 5,472 | 117,210 | ||||||
Quintiles IMS Holdings, Inc. (1) | 3,679 | 279,788 | ||||||
Quorum Health Corp. (1) | 6,599 | 47,975 | ||||||
Ra Pharmaceuticals, Inc. (1) | 1,432 | 21,752 | ||||||
Radius Health, Inc. (1) | 6,920 | 263,168 | ||||||
RadNet, Inc. (1) | 8,579 | 55,335 | ||||||
Reata Pharmaceuticals, Inc. (1) | 1,287 | 28,095 | ||||||
Regulus Therapeutics, Inc. (1) | 7,474 | 16,817 | ||||||
Repligen Corp. (1) | 42,287 | 1,303,285 | ||||||
ResMed, Inc. | 34,665 | 2,150,963 | ||||||
Revance Therapeutics, Inc. (1) | 4,633 | 95,903 | ||||||
Rigel Pharmaceuticals, Inc. (1) | 16,947 | 40,334 | ||||||
Rockwell Medical, Inc. (1) | 10,257 | 67,183 | ||||||
SAGE Therapeutics, Inc. (1) | 6,773 | 345,829 | ||||||
Sangamo BioSciences, Inc. (1) | 15,838 | 48,306 | ||||||
Sarepta Therapeutics, Inc. (1) | 11,041 | 302,855 | ||||||
SciClone Pharmaceuticals, Inc. (1) | 10,841 | 117,083 | ||||||
Seattle Genetics, Inc. (1) | 3,157 | 166,595 | ||||||
Second Sight Medical Products, Inc. (1) | 3,277 | 6,456 | ||||||
Select Medical Holdings Corp. (1) | 1,744 | 23,108 | ||||||
Selecta Biosciences, Inc. (1) | 818 | 14,029 | ||||||
Senseonics Holdings, Inc. (1) | 5,363 | 14,319 | ||||||
Seres Therapeutics, Inc. (1) | 4,536 | 44,906 | ||||||
Sorrento Therapeutics, Inc. (1) | 5,891 | 28,866 | ||||||
Spark Therapeutics, Inc. (1) | 4,214 | 210,279 | ||||||
Spectrum Pharmaceuticals, Inc. (1) | 5,700 | 25,251 | ||||||
St. Jude Medical, Inc. | 6,369 | 510,730 | ||||||
STAAR Surgical Co. (1) | 8,589 | 93,191 | ||||||
Stemline Therapeutics, Inc. (1) | 786 | 8,410 | ||||||
STERIS Plc | 169,000 | 11,388,910 |
Shares | Value | |||||||
Sucampo Pharmaceuticals, Inc. (1) | 5,161 | 69,932 | ||||||
Supernus Pharmaceuticals, Inc. (1) | 10,358 | 261,540 | ||||||
Surgery Partners, Inc. (1) | 2,558 | 40,544 | ||||||
Surgical Care Affiliates, Inc. (1) | 5,867 | 271,466 | ||||||
SurModics, Inc. (1) | 2,841 | 72,161 | ||||||
Syndax Pharmaceuticals, Inc. (1) | 413 | 2,961 | ||||||
Synergy Pharmaceuticals, Inc. (1) | 40,112 | 244,282 | ||||||
Synthetic Biologics, Inc. (1) | 23,205 | 17,696 | ||||||
Syros Pharmaceuticals, Inc. (1) | 746 | 9,071 | ||||||
T2 Biosystems, Inc. (1) | 2,786 | 14,654 | ||||||
Tactile Systems Technology, Inc. (1) | 713 | 11,700 | ||||||
Tandem Diabetes Care, Inc. (1) | 3,405 | 7,321 | ||||||
Team Health Holdings, Inc. (1) | 14,918 | 648,187 | ||||||
Teladoc, Inc. (1) | 4,589 | 75,719 | ||||||
Teleflex, Inc. | 263 | 42,382 | ||||||
Teligent, Inc. (1) | 9,665 | 63,886 | ||||||
Tenet Healthcare Corp. (1) | 2,569 | 38,124 | ||||||
TESARO, Inc. (1) | 6,312 | 848,838 | ||||||
TG Therapeutics, Inc. (1) | 8,315 | 38,665 | ||||||
The Cooper Companies, Inc. | 79,714 | 13,944,370 | ||||||
The Providence Service Corp. (1) | 2,929 | 111,448 | ||||||
The Spectranetics Corp. (1) | 9,443 | 231,354 | ||||||
TherapeuticsMD, Inc. (1) | 31,030 | 179,043 | ||||||
Theravance Biopharma, Inc. (1) | 8,874 | 282,903 | ||||||
Titan Pharmaceuticals, Inc. (1) | 3,432 | 13,728 | ||||||
Tokai Pharmaceuticals, Inc. (1) | 1,828 | 1,788 | ||||||
TransEnterix, Inc. (1) | 876 | 1,139 | ||||||
Trevena, Inc. (1) | 10,941 | 64,333 | ||||||
Trovagene, Inc. (1) | 4,991 | 10,481 | ||||||
Ultragenyx Pharmaceutical, Inc. (1) | 7,885 | 554,394 | ||||||
United Therapeutics Corp. (1) | 399 | 57,229 | ||||||
Universal Health Services, Inc. | 67,890 | 7,222,138 | ||||||
US Physical Therapy, Inc. | 2,660 | 186,732 | ||||||
Utah Medical Products, Inc. | 847 | 61,619 | ||||||
Vanda Pharmaceuticals, Inc. (1) | 8,085 | 128,956 | ||||||
Varian Medical Systems, Inc. (1) | 3,125 | 280,563 | ||||||
Vascular Solutions, Inc. (1) | 3,712 | 208,243 | ||||||
VCA, Inc. (1) | 30,489 | 2,093,070 | ||||||
Veeva Systems, Inc. (1) | 3,180 | 129,426 | ||||||
Veracyte, Inc. (1) | 3,748 | 29,010 | ||||||
Versartis, Inc. (1) | 319 | 4,753 | ||||||
ViewRay, Inc. (1) | 1,204 | 3,769 | ||||||
Vital Therapies, Inc. (1) | 4,678 | 20,349 | ||||||
Vocera Communications, Inc. (1) | 4,045 | 74,792 | ||||||
Voyager Therapeutics, Inc. (1) | 1,128 | 14,371 | ||||||
vTv Therapeutics, Inc. (1) | 1,743 | 8,419 | ||||||
VWR Corp. (1) | 138 | 3,454 | ||||||
Waters Corp. (1) | 62,535 | 8,404,079 | ||||||
WaVe Life Sciences Ltd (1) | 1,369 | 35,799 | ||||||
WellCare Health Plans, Inc. (1) | 1,343 | 184,098 | ||||||
West Pharmaceutical Services, Inc. | 25,241 | 2,141,194 | ||||||
XBiotech, Inc. (1) | 3,919 | 39,660 | ||||||
Xencor, Inc. (1) | 8,012 | 210,876 |
Shares | Value | |||||||
Zeltiq Aesthetics, Inc. (1) | 7,987 | 347,594 | ||||||
Zimmer Holdings, Inc. | 3,222 | 332,510 | ||||||
ZIOPHARM Oncology, Inc. (1) | 27,205 | 145,547 | ||||||
Zoetis, Inc. | 15,026 | 804,342 | ||||||
|
| |||||||
326,444,656 | ||||||||
|
| |||||||
Industrials – 16.20% | ||||||||
A.O. Smith Corp. | 235,825 | 11,166,314 | ||||||
AAON, Inc. | 84,539 | 2,794,014 | ||||||
Actuant Corp. | 6,273 | 162,784 | ||||||
Acuity Brands, Inc. | 52,230 | 12,057,818 | ||||||
Advanced Disposal Services, Inc. (1) | 3,384 | 75,192 | ||||||
Advanced Drainage Systems, Inc. | 7,729 | 159,217 | ||||||
Aerojet Rocketdyne Holdings, Inc. (1) | 6,559 | 117,734 | ||||||
AeroVironment, Inc. (1) | 647 | 17,359 | ||||||
Air Lease Corp. | 1,593 | 54,688 | ||||||
Air Transport Services Group, Inc. (1) | 1,438 | 22,950 | ||||||
Alamo Group, Inc. | 483 | 36,756 | ||||||
Alaska Air Group, Inc. | 107,263 | 9,517,446 | ||||||
Albany International Corp. | 953 | 44,124 | ||||||
Allegiant Travel Co. | 2,908 | 483,891 | ||||||
Allegion Plc | 3,155 | 201,920 | ||||||
Allied Motion Technologies, Inc. | 1,228 | 26,267 | ||||||
Altra Industrial Motion Corp. | 4,649 | 171,548 | ||||||
AMERCO | 125 | 46,199 | ||||||
American Woodmark Corp. (1) | 3,029 | 227,932 | ||||||
AMETEK, Inc. | 194,914 | 9,472,820 | ||||||
Apogee Enterprises, Inc. | 6,300 | 337,428 | ||||||
Applied Industrial Technologies, Inc. | 3,491 | 207,365 | ||||||
Aqua Metals, Inc. (1) | 2,713 | 35,567 | ||||||
Argan, Inc. | 2,960 | 208,828 | ||||||
Armstrong Flooring, Inc. (1) | 250 | 4,977 | ||||||
Astec Industries, Inc. | 2,001 | 134,987 | ||||||
Astronics Corp. (1) | 92,494 | 3,129,997 | ||||||
Atkore International Group, Inc. (1) | 1,436 | 34,335 | ||||||
Avis Budget Group, Inc. (1) | 2,549 | 93,497 | ||||||
AZZ, Inc. | 5,733 | 366,339 | ||||||
B/E Aerospace, Inc. | 3,356 | 201,998 | ||||||
Barrett Business Services, Inc. | 1,566 | 100,381 | ||||||
Beacon Roofing Supply, Inc. (1) | 99,225 | 4,571,296 | ||||||
Blue Bird Corp. (1) | 134 | 2,070 | ||||||
BMC Stock Holdings, Inc. (1) | 10,389 | 202,585 | ||||||
Brady Corp. | 7,635 | 286,694 | ||||||
Builders FirstSource, Inc. (1) | 18,584 | 203,866 | ||||||
BWX Technologies, Inc. | 3,090 | 122,673 | ||||||
C.H. Robinson Worldwide, Inc. | 116,640 | 8,545,046 | ||||||
Caesarstone Ltd (1) | 5,297 | 151,759 | ||||||
Carlisle Companies, Inc. | 623 | 68,711 | ||||||
CEB, Inc. | 7,132 | 432,199 | ||||||
Cintas Corp. | 2,925 | 338,013 | ||||||
CLARCOR, Inc. | 170,448 | 14,056,847 | ||||||
Clean Harbors, Inc. (1) | 126 | 7,012 | ||||||
Comfort Systems USA, Inc. | 8,256 | 274,925 | ||||||
Continental Building Products, Inc. (1) | 7,826 | 180,781 |
Shares | Value | |||||||
Copart, Inc. (1) | 3,221 | 178,476 | ||||||
Covanta Holding Corp. | 3,782 | 58,999 | ||||||
Curtiss-Wright Corp. | 7,079 | 696,290 | ||||||
Deluxe Corp. | 10,798 | 773,245 | ||||||
Donaldson Co., Inc. | 143,853 | 6,053,334 | ||||||
Douglas Dynamics, Inc. | 4,151 | 139,681 | ||||||
Dover Corp. | 211,000 | 15,810,230 | ||||||
Dun & Bradstreet Corp. | 493 | 59,811 | ||||||
Dycom Industries, Inc. (1) | 6,709 | 538,666 | ||||||
Echo Global Logistics, Inc. (1) | 5,676 | 142,184 | ||||||
EMCOR Group, Inc. | 2,184 | 154,540 | ||||||
Energous Corp. (1) | 3,373 | 56,835 | ||||||
Energy Recovery, Inc. (1) | 7,657 | 79,250 | ||||||
EnerSys, Inc. | 2,828 | 220,867 | ||||||
EnPro Industries, Inc. | 4,722 | 318,074 | ||||||
Equifax, Inc. | 3,904 | 461,570 | ||||||
Exone Co. (1) | 394 | 3,680 | ||||||
Expeditors International of Washington, Inc. | 4,191 | 221,955 | ||||||
Exponent, Inc. | 5,676 | 342,263 | ||||||
Fastenal Co. | 139,498 | 6,553,616 | ||||||
Flowserve Corp. | 2,616 | 125,699 | ||||||
Fortune Brands Home & Security, Inc. | 5,010 | 267,835 | ||||||
Forward Air Corp. | 6,532 | 309,486 | ||||||
Franklin Covey Co. (1) | 2,046 | 41,227 | ||||||
Franklin Electric Company, Inc. | 9,551 | 371,534 | ||||||
FTI Consulting, Inc. (1) | 833 | 37,552 | ||||||
G&K Services, Inc. | 3,284 | 316,742 | ||||||
Generac Holdings, Inc. (1) | 14,425 | 587,675 | ||||||
General Cable Corp. | 9,778 | 186,271 | ||||||
Genesee & Wyoming, Inc. (1) | 50,004 | 3,470,778 | ||||||
Gibraltar Industries, Inc. (1) | 4,418 | 184,010 | ||||||
Global Brass and Copper Holdings, Inc. | 4,362 | 149,617 | ||||||
GMS, Inc. (1) | 1,655 | 48,458 | ||||||
Gorman Rupp Co. | 3,270 | 101,207 | ||||||
GP Strategies Corp. (1) | 2,765 | 79,079 | ||||||
Graco, Inc. | 1,824 | 151,556 | ||||||
Granite Construction, Inc. | 6,518 | 358,490 | ||||||
Great Lakes Dredge & Dock Corp. (1) | 827 | 3,473 | ||||||
Griffon Corp. | 5,511 | 144,388 | ||||||
H&E Equipment Services, Inc. | 6,862 | 159,542 | ||||||
Hawaiian Holdings, Inc. (1) | 11,615 | 662,055 | ||||||
HD Supply Holdings, Inc. (1) | 6,593 | 280,268 | ||||||
Healthcare Services Group, Inc. | 86,625 | 3,393,101 | ||||||
Heartland Express, Inc. | 10,153 | 206,715 | ||||||
HEICO Corp. | 61,072 | 4,711,705 | ||||||
Heico Corp. – Class A | 28,960 | 1,966,384 | ||||||
Herc Holdings, Inc. (1) | 145 | 5,823 | ||||||
Heritage Crystal Clean, Inc. (1) | 1,312 | 20,598 | ||||||
Herman Miller, Inc. | 13,219 | 452,090 | ||||||
Hertz Global Holdings, Inc. (1) | 436 | 9,400 | ||||||
Hexcel Corp. | 3,054 | 157,098 | ||||||
Hill International, Inc. (1) | 2,683 | 11,671 | ||||||
Hillenbrand, Inc. | 13,013 | 499,049 |
Shares | Value | |||||||
HNI Corp. | 9,992 | 558,753 | ||||||
Hub Group, Inc. (1) | 6,818 | 298,288 | ||||||
Hubbell, Inc. | 1,165 | 135,956 | ||||||
Huntington Ingalls Industries, Inc. | 1,277 | 235,211 | ||||||
Huron Consulting Group, Inc. (1) | 670 | 33,936 | ||||||
Hyster-Yale Materials Handling, Inc. | 700 | 44,639 | ||||||
IDEX Corp. | 243,472 | 21,927,088 | ||||||
IES Holdings, Inc. (1) | 1,607 | 30,774 | ||||||
IHS Markit Ltd (1) | 26,897 | 952,423 | ||||||
Ingersoll-Rand Plc | 4,280 | 321,171 | ||||||
InnerWorkings, Inc. (1) | 7,791 | 76,741 | ||||||
Insperity, Inc. | 3,450 | 244,778 | ||||||
Insteel Industries, Inc. | 3,810 | 135,788 | ||||||
Interface, Inc. | 12,480 | 231,504 | ||||||
J.B. Hunt Transportation Services, Inc. | 14,098 | 1,368,493 | ||||||
JetBlue Airways Corp. (1) | 738 | 16,546 | ||||||
John Bean Technologies Corp. | 6,442 | 553,690 | ||||||
Johnson Controls International Plc | 6,469 | 266,458 | ||||||
Kadant, Inc. | 442 | 27,050 | ||||||
Kaman Corp. | 513 | 25,101 | ||||||
KAR Auction Services, Inc. | 4,531 | 193,111 | ||||||
Kforce, Inc. | 5,395 | 124,625 | ||||||
Kimball International, Inc. | 6,976 | 122,499 | ||||||
Knight Transportation, Inc. | 13,738 | 454,041 | ||||||
Knoll, Inc. | 10,543 | 294,466 | ||||||
Korn/Ferry International | 7,488 | 220,372 | ||||||
Landstar System, Inc. | 29,296 | 2,498,949 | ||||||
Lawson Products, Inc. (1) | 1,019 | 24,252 | ||||||
Lennox International, Inc. | 1,212 | 185,642 | ||||||
Lincoln Electric Holdings, Inc. | 1,272 | 97,524 | ||||||
Lindsay Corp. | 2,006 | 149,668 | ||||||
LSC Communications, Inc. | 561 | 16,650 | ||||||
LSI Industries, Inc. | 600 | 5,844 | ||||||
Lydall, Inc. (1) | 3,662 | 226,495 | ||||||
Manitowoc Foodservice, Inc. (1) | 1,857 | 35,896 | ||||||
Masco Corp. | 7,073 | 223,648 | ||||||
Masonite International Corp. (1) | 6,650 | 437,570 | ||||||
MasTec, Inc. (1) | 14,549 | 556,499 | ||||||
Matson, Inc. | 4,262 | 150,832 | ||||||
Matthews International Corp. | 7,006 | 538,411 | ||||||
Mercury Systems, Inc. (1) | 594 | 17,951 | ||||||
Milacron Holdings Corp. (1) | 2,999 | 55,871 | ||||||
Miller Industries, Inc. | 99 | 2,619 | ||||||
Mistras Group, Inc. (1) | 3,652 | 93,783 | ||||||
Mobile Mini, Inc. | 7,225 | 218,556 | ||||||
Moog, Inc. (1) | 701 | 46,042 | ||||||
MSA Safety, Inc. | 4,619 | 320,235 | ||||||
MSC Industrial Direct Co., Inc. | 16,584 | 1,532,196 | ||||||
Mueller Industries, Inc. | 8,873 | 354,565 | ||||||
Mueller Water Products, Inc. | 34,158 | 454,643 | ||||||
Multi-Color Corp. | 3,034 | 235,438 | ||||||
National Presto Industries, Inc. | 105 | 11,172 | ||||||
Navistar International Corp. (1) | 596 | 18,697 |
Shares | Value | |||||||
NCI Building Systems, Inc. (1) | 5,932 | 92,836 | ||||||
Neff Corp. (1) | 870 | 12,267 | ||||||
Nielsen Holdings Plc | 9,260 | 388,457 | ||||||
Nordson Corp. | 1,876 | 210,206 | ||||||
NV5 Global, Inc. (1) | 1,241 | 41,449 | ||||||
Old Dominion Freight Line, Inc. (1) | 1,366 | 117,189 | ||||||
Omega Flex, Inc. | 658 | 36,690 | ||||||
On Assignment, Inc. (1) | 11,244 | 496,535 | ||||||
Orbital ATK, Inc. | 28,115 | 2,466,529 | ||||||
Orion Group Holdings, Inc. (1) | 930 | 9,254 | ||||||
PACCAR, Inc. | 970 | 61,983 | ||||||
Patrick Industries, Inc. (1) | 3,257 | 248,509 | ||||||
Paylocity Holding Corp. (1) | 4,731 | 141,977 | ||||||
PGT Innovations, Inc. (1) | 10,614 | 121,530 | ||||||
Pitney Bowes, Inc. | 6,118 | 92,932 | ||||||
Plug Power, Inc. (1) | 22,786 | 27,343 | ||||||
Ply Gem Holdings, Inc. (1) | 4,847 | 78,764 | ||||||
Power Solutions International, Inc. (1) | 824 | 6,180 | ||||||
Primoris Services Corp. | 107,534 | 2,449,625 | ||||||
Proto Labs, Inc. (1) | 68,637 | 3,524,510 | ||||||
Quad/Graphics, Inc. | 3,220 | 86,554 | ||||||
Quanex Building Products Corp. | 572 | 11,612 | ||||||
Quanta Services, Inc. (1)(1) | 1,304 | 45,444 | ||||||
Radiant Logistics, Inc. (1) | 4,053 | 15,807 | ||||||
Raven Industries, Inc. | 5,045 | 127,134 | ||||||
RBC Bearings, Inc. (1) | 41,502 | 3,851,801 | ||||||
Rexnord Corp. (1) | 13,926 | 272,810 | ||||||
Ritchie Bros Auctioneers, Inc. | 85,650 | 2,912,100 | ||||||
Robert Half International, Inc. | 4,187 | 204,242 | ||||||
Rockwell Automation, Inc. | 205,683 | 27,643,795 | ||||||
Rockwell Collins, Inc. | 4,296 | 398,497 | ||||||
Rollins, Inc. | 3,130 | 105,731 | ||||||
Roper Technologies, Inc. | 1,673 | 306,293 | ||||||
RR Donnelley & Sons Co. | 1,496 | 24,415 | ||||||
Simpson Manufacturing Company, Inc. | 9,146 | 400,138 | ||||||
SiteOne Landscape Supply, Inc. (1) | 30,632 | 1,063,849 | ||||||
Snap-on, Inc. | 58,597 | 10,035,908 | ||||||
SP Plus Corp. (1) | 3,603 | 101,424 | ||||||
Sparton Corp. (1) | 131 | 3,124 | ||||||
Spirit AeroSystems Holdings, Inc. | 2,061 | 120,259 | ||||||
Standex International Corp. | 2,164 | 190,107 | ||||||
Stanley Black & Decker, Inc. | 601 | 68,929 | ||||||
Steelcase, Inc. | 18,788 | 336,305 | ||||||
Stericycle, Inc. (1) | 121,564 | 9,365,291 | ||||||
Sun Hydraulics Corp. | 4,630 | 185,061 | ||||||
Supreme Industries, Inc. | 1,433 | 22,498 | ||||||
Swift Transportation Co. (1) | 16,386 | 399,163 | ||||||
TASER International, Inc. (1) | 55,156 | 1,336,981 | ||||||
Team, Inc. (1) | 5,977 | 234,597 | ||||||
Teledyne Technologies, Inc. (1) | 2,136 | 262,728 | ||||||
Tennant Co. | 3,603 | 256,534 | ||||||
Tetra Tech, Inc. | 2,126 | 91,737 | ||||||
Textron, Inc. | 2,777 | 134,851 |
Shares | Value | |||||||
The Advisory Board Co. (1) | 56,073 | 1,864,427 | ||||||
The Brink’s Co. | 9,896 | 408,210 | ||||||
The Middleby Corp. (1) | 1,853 | 238,685 | ||||||
The Toro Co. | 45,237 | 2,531,010 | ||||||
TransDigm Group, Inc. | 1,653 | 411,531 | ||||||
TransUnion (1) | 1,709 | 52,859 | ||||||
Trex Company, Inc. (1) | 6,491 | 418,020 | ||||||
TriNet Group, Inc. (1) | 9,441 | 241,878 | ||||||
Triton International Ltd/Bermuda | 1,446 | 22,847 | ||||||
TrueBlue, Inc. (1) | 521 | 12,843 | ||||||
Tutor Perini Corp. (1) | 1,363 | 38,164 | ||||||
UniFirst Corp. | 11,914 | 1,711,446 | ||||||
United Rentals, Inc. (1) | 139,642 | 14,743,402 | ||||||
Univar, Inc. (1) | 9,505 | 269,657 | ||||||
Universal Forest Products, Inc. | 3,808 | 389,101 | ||||||
Universal Logistics Holdings, Inc. | 1,039 | 16,988 | ||||||
US Ecology, Inc. | 4,813 | 236,559 | ||||||
Valmont Industries, Inc. | 583 | 82,145 | ||||||
Vectrus, Inc. (1) | 432 | 10,303 | ||||||
Verisk Analytics, Inc. (1) | 33,249 | 2,698,821 | ||||||
Veritiv Corp. (1) | 103 | 5,536 | ||||||
Viad Corp. | 2,604 | 114,836 | ||||||
Vicor Corp. (1) | 3,604 | 54,420 | ||||||
W.W. Grainger, Inc. | 60,826 | 14,126,839 | ||||||
Wabash National Corp. (1) | 4,024 | 63,660 | ||||||
WABCO Holdings, Inc. (1) | 95,987 | 10,189,020 | ||||||
Wabtec Corp. | 91,821 | 7,622,979 | ||||||
WageWorks, Inc. (1) | 90,779 | 6,581,478 | ||||||
Watsco, Inc. | 17,024 | 2,521,595 | ||||||
Watts Water Technologies, Inc. | 5,728 | 373,466 | ||||||
Wesco Aircraft Holdings, Inc. (1) | 2,720 | 40,664 | ||||||
West Corp. | 1,568 | 38,824 | ||||||
Woodward, Inc. | 11,670 | 805,814 | ||||||
Xylem, Inc. | 3,037 | 150,392 | ||||||
YRC Worldwide, Inc. (1) | 1,549 | 20,571 | ||||||
|
| |||||||
311,243,915 | ||||||||
|
| |||||||
Information Technology – 21.26% | ||||||||
2U, Inc. (1) | 8,011 | 241,532 | ||||||
3D Systems Corp. (1) | 23,673 | 314,614 | ||||||
8x8, Inc. (1) | 88,562 | 1,266,437 | ||||||
A10 Networks, Inc. (1) | 9,863 | 81,962 | ||||||
Acacia Communications, Inc. (1) | 1,207 | 74,532 | ||||||
ACI Worldwide, Inc. (1) | 25,485 | 462,553 | ||||||
Acxiom Corp. (1) | 8,493 | 227,612 | ||||||
ADTRAN, Inc. | 7,134 | 159,445 | ||||||
Advanced Energy Industries, Inc. (1) | 8,242 | 451,249 | ||||||
Advanced Micro Devices, Inc. (1) | 79,506 | 901,598 | ||||||
Aerohive Networks, Inc. (1) | 4,727 | 26,944 | ||||||
Agilysys, Inc. (1) | 376 | 3,895 | ||||||
Akamai Technologies, Inc. (1) | 123,629 | 8,243,582 | ||||||
Alarm.com Holdings, Inc. (1) | 2,251 | 62,645 | ||||||
ALJ Regional Holdings, Inc. (1) | 3,891 | 17,081 | ||||||
Alliance Data Systems Corp. | 51,486 | 11,764,551 |
Shares | Value | |||||||
Ambarella, Inc. (1) | 2,823 | 152,809 | ||||||
Amber Road, Inc. (1) | 3,624 | 32,906 | ||||||
American Software, Inc. | 6,069 | 62,693 | ||||||
Amkor Technology, Inc. (1) | 1,041 | 10,983 | ||||||
Amphenol Corp. | 9,872 | 663,398 | ||||||
Angie’s List, Inc. (1) | 8,670 | 71,354 | ||||||
ANSYS, Inc. (1) | 98,822 | 9,140,047 | ||||||
Appfolio, Inc. (1) | 1,748 | 41,690 | ||||||
Applied Micro Circuits Corp. (1) | 17,029 | 140,489 | ||||||
Arista Networks, Inc. (1) | 1,289 | 124,737 | ||||||
ARRIS International Plc (1) | 1,410 | 42,483 | ||||||
Aspen Technology, Inc. (1) | 329,195 | 18,000,383 | ||||||
Atlassian Corporation Plc (1) | 283,348 | 6,823,020 | ||||||
Autobytel, Inc. (1) | 309 | 4,156 | ||||||
Autodesk, Inc. (1) | 5,718 | 423,189 | ||||||
Avid Technology, Inc. (1) | 5,196 | 22,862 | ||||||
Badger Meter, Inc. | 6,242 | 230,642 | ||||||
Barracuda Networks, Inc. (1) | 4,810 | 103,078 | ||||||
Belden, Inc. | 9,252 | 691,772 | ||||||
Benefitfocus, Inc. (1) | 2,870 | 85,239 | ||||||
Black Knight Financial Services, Inc. (1) | 783 | 29,597 | ||||||
Blackbaud, Inc. | 121,393 | 7,769,152 | ||||||
Blackhawk Network Holdings, Inc. (1) | 12,147 | 457,638 | ||||||
Blackline, Inc. (1) | 1,680 | 46,418 | ||||||
Blucora, Inc. (1) | 1,877 | 27,686 | ||||||
Booz Allen Hamilton Holding Corp. | 3,535 | 127,507 | ||||||
Bottomline Technologies, Inc. (1) | 7,738 | 193,605 | ||||||
Box, Inc. (1) | 10,898 | 151,046 | ||||||
Brightcove, Inc. (1) | 6,728 | 54,160 | ||||||
Broadridge Financial Solutions, Inc. | 3,859 | 255,852 | ||||||
BroadSoft, Inc. (1) | 6,626 | 273,322 | ||||||
Cabot Microelectronics Corp. | 726 | 45,861 | ||||||
Cadence Design Systems, Inc. (1) | 78,070 | 1,968,925 | ||||||
CalAmp Corp. (1) | 8,011 | 116,159 | ||||||
Callidus Software, Inc. (1) | 13,335 | 224,028 | ||||||
Carbonite, Inc. (1) | 4,407 | 72,275 | ||||||
Cardtronics Plc (1) | 54,351 | 2,965,934 | ||||||
Care.com, Inc. (1) | 3,061 | 26,233 | ||||||
Cass Information Systems, Inc. | 1,481 | 108,957 | ||||||
Cavium, Inc. (1) | 38,324 | 2,392,951 | ||||||
CDK Global, Inc. | 5,093 | 304,001 | ||||||
CDW Corp. | 5,328 | 277,536 | ||||||
CEVA, Inc. (1) | 4,369 | 146,580 | ||||||
ChannelAdvisor Corp. (1) | 4,864 | 69,798 | ||||||
Check Point Software Technologies Ltd (1) | 108,090 | 9,129,281 | ||||||
Ciena Corp. (1) | 30,245 | 738,280 | ||||||
Cimpress (1) | 5,526 | 506,237 | ||||||
Cirrus Logic, Inc. (1) | 13,823 | 781,552 | ||||||
Citrix Systems, Inc. (1) | 116,957 | 10,445,430 | ||||||
Clearfield, Inc. (1) | 2,648 | 54,814 | ||||||
Cognex Corp. | 103,986 | 6,615,589 | ||||||
Coherent, Inc. (1) | 5,310 | 729,514 | ||||||
CommerceHub, Inc. (1) | 151 | 2,270 |
Shares | Value | |||||||
CommerceHub, Inc. (1) | 75 | 1,126 | ||||||
CommScope Holding Co., Inc. (1) | 4,226 | 157,207 | ||||||
CommVault Systems, Inc. (1) | 8,520 | 437,928 | ||||||
comScore, Inc. (1) | 10,485 | 331,116 | ||||||
Convergys Corp. | 10,046 | 246,730 | ||||||
CoreLogic, Inc. (1) | 1,744 | 64,232 | ||||||
Cornerstone OnDemand, Inc. (1) | 11,115 | 470,276 | ||||||
CoStar Group, Inc. (1) | 15,200 | 2,865,048 | ||||||
Coupa Software, Inc. (1) | 1,451 | 36,290 | ||||||
CPI Card Group, Inc. | 1,513 | 6,279 | ||||||
Cray, Inc. (1) | 8,925 | 184,747 | ||||||
Cree, Inc. (1) | 1,225 | 32,328 | ||||||
CSG Systems International, Inc. | 7,112 | 344,221 | ||||||
CSRA, Inc. | 5,388 | 171,554 | ||||||
CyberArk Software Ltd (1) | 25,905 | 1,178,678 | ||||||
Datalink Corp. (1) | 226 | 2,545 | ||||||
DHI Group, Inc. (1) | 10,815 | 67,594 | ||||||
Diebold Nixdorf, Inc. | 5,112 | 128,567 | ||||||
Digimarc Corp. (1) | 1,968 | 59,040 | ||||||
Dolby Laboratories, Inc. | 35,008 | 1,582,012 | ||||||
DST Systems, Inc. | 1,093 | 117,115 | ||||||
EarthLink Holdings Corp. | 23,836 | 134,435 | ||||||
Eastman Kodak Co. (1) | 3,394 | 52,607 | ||||||
Ebix, Inc. | 5,575 | 318,054 | ||||||
Electronic Arts, Inc. (1) | 20,676 | 1,628,442 | ||||||
Electronics For Imaging, Inc. (1) | 10,368 | 454,740 | ||||||
Ellie Mae, Inc. (1) | 57,746 | 4,832,185 | ||||||
Endurance International Group Holdings, Inc. (1) | 13,284 | 123,541 | ||||||
EnerNOC, Inc. (1) | 5,176 | 31,056 | ||||||
Entegris, Inc. (1) | 19,332 | 346,043 | ||||||
Envestnet, Inc. (1) | 75,447 | 2,659,507 | ||||||
EPAM Systems, Inc. (1) | 10,634 | 683,873 | ||||||
ePlus, Inc. (1) | 978 | 112,666 | ||||||
Euronet Worldwide, Inc. (1) | 38,375 | 2,779,501 | ||||||
Everbridge, Inc. (1) | 1,525 | 28,136 | ||||||
EVERTEC, Inc. | 11,576 | 205,474 | ||||||
Exa Corp. (1) | 3,273 | 50,273 | ||||||
Exar Corp. (1) | 1,394 | 15,027 | ||||||
ExlService Holdings, Inc. (1) | 59,312 | 2,991,697 | ||||||
Extreme Networks, Inc. (1) | 22,028 | 110,801 | ||||||
F5 Networks, Inc. (1) | 2,214 | 320,410 | ||||||
Fabrinet (1) | 7,706 | 310,552 | ||||||
FactSet Research Systems, Inc. | 1,313 | 214,584 | ||||||
Fair Isaac Corp. | 6,822 | 813,319 | ||||||
FARO Technologies, Inc. (1) | 814 | 29,304 | ||||||
Fidelity National Information Services, Inc. | 6,090 | 460,648 | ||||||
FireEye, Inc. (1) | 36,752 | 437,349 | ||||||
First Data Corp. (1) | 10,347 | 146,824 | ||||||
Fiserv, Inc. (1) | 7,306 | 776,482 | ||||||
Fitbit, Inc. (1) | 3,361 | 24,603 | ||||||
Five9, Inc. (1) | 7,815 | 110,895 | ||||||
FleetCor Technologies, Inc. (1) | 3,022 | 427,673 | ||||||
FLIR Systems, Inc. | 49,825 | 1,803,167 |
Shares | Value | |||||||
FormFactor, Inc. (1) | 8,397 | 94,046 | ||||||
Forrester Research, Inc. | 2,217 | 95,220 | ||||||
Fortinet, Inc. (1) | 621,787 | 18,728,224 | ||||||
Gartner, Inc. (1) | 2,620 | 264,803 | ||||||
Genpact Ltd (1) | 4,913 | 119,582 | ||||||
Gigamon, Inc. (1) | 7,142 | 325,318 | ||||||
Global Payments, Inc. | 5,034 | 349,410 | ||||||
Globant S.A. (1) | 5,627 | 187,660 | ||||||
GoDaddy, Inc. (1) | 1,505 | 52,600 | ||||||
Gogo, Inc. (1) | 12,544 | 115,656 | ||||||
GrubHub, Inc. (1) | 238,680 | 8,979,142 | ||||||
GTT Communications, Inc. (1) | 5,807 | 166,951 | ||||||
Guidance Software, Inc. (1) | 5,126 | 36,292 | ||||||
Guidewire Software, Inc. (1) | 158,757 | 7,831,483 | ||||||
Hackett Group, Inc. | 4,862 | 85,863 | ||||||
Hortonworks, Inc. (1) | 9,076 | 75,422 | ||||||
HubSpot, Inc. (1) | 6,400 | 300,800 | ||||||
II-VI, Inc. (1) | 3,737 | 110,802 | ||||||
Immersion Corp. (1) | 1,859 | 19,761 | ||||||
Imperva, Inc. (1) | 6,294 | 241,690 | ||||||
Impinj, Inc. (1) | 855 | 30,216 | ||||||
Infinera Corp. (1) | 21,797 | 185,057 | ||||||
Information Services Group, Inc. (1) | 7,529 | 27,406 | ||||||
Inphi Corp. (1) | 8,881 | 396,270 | ||||||
Instructure, Inc. (1) | 2,351 | 45,962 | ||||||
Integrated Device Technology, Inc. (1) | 86,950 | 2,048,542 | ||||||
InterActiveCorp (1) | 1,789 | 115,909 | ||||||
Interdigital, Inc. | 7,656 | 699,376 | ||||||
Intralinks Holdings, Inc. (1) | 415 | 5,611 | ||||||
IPG Photonics Corp. (1) | 142,668 | 14,082,758 | ||||||
Itron, Inc. (1) | 7,379 | 463,770 | ||||||
J2 Global, Inc. | 10,375 | 848,675 | ||||||
Jack Henry & Associates, Inc. | 2,582 | 229,230 | ||||||
Jive Software, Inc. (1) | 13,696 | 59,578 | ||||||
KLA-Tencor Corp. | 5,147 | 404,966 | ||||||
Lam Research Corp. | 4,202 | 444,277 | ||||||
Lattice Semiconductor Corp. (1) | 26,586 | 195,673 | ||||||
Leidos Holdings, Inc. | 2,175 | 111,229 | ||||||
Linear Technology Corp. | 3,666 | 228,575 | ||||||
Lionbridge Technologies, Inc. (1) | 13,112 | 76,050 | ||||||
Littelfuse, Inc. | 27,678 | 4,200,690 | ||||||
LivePerson, Inc. (1) | 11,415 | 86,183 | ||||||
LogMeIn, Inc. | 5,540 | 534,887 | ||||||
Lumentum Holdings, Inc. (1) | 11,107 | 429,286 | ||||||
MACOM Technology Solutions Holdings, Inc. (1) | 5,172 | 239,360 | ||||||
Majesco (1) | 1,055 | 6,414 | ||||||
Manhattan Associates, Inc. (1) | 33,877 | 1,796,497 | ||||||
Match Group, Inc. (1) | 884 | 15,116 | ||||||
Maxim Integrated Products, Inc. | 9,273 | 357,660 | ||||||
MAXIMUS, Inc. | 14,192 | 791,772 | ||||||
MaxLinear, Inc. (1) | 12,253 | 267,115 | ||||||
MeetMe, Inc. (1) | 8,322 | 41,027 | ||||||
MercadoLibre, Inc. | 89,945 | 14,044,012 |
Shares | Value | |||||||
Mesa Laboratories, Inc. | 657 | 80,647 | ||||||
Methode Electronics, Inc. | 7,303 | 301,979 | ||||||
Microchip Technology, Inc. | 48,079 | 3,084,268 | ||||||
Microsemi Corp. (1) | 53,296 | 2,876,385 | ||||||
MicroStrategy, Inc. (1) | 1,143 | 225,628 | ||||||
MINDBODY, Inc. (1) | 3,172 | 67,564 | ||||||
Mitek Systems, Inc. (1) | 6,772 | 41,648 | ||||||
MKS Instruments, Inc. | 638 | 37,897 | ||||||
MobileIron, Inc. (1) | 10,609 | 39,784 | ||||||
Mobileye NV (1) | 193,744 | 7,385,521 | ||||||
Model N, Inc. (1) | 4,759 | 42,117 | ||||||
Monolithic Power Systems, Inc. | 59,082 | 4,840,588 | ||||||
Monotype Imaging Holdings, Inc. | 173,498 | 3,443,935 | ||||||
Motorola Solutions, Inc. | 644 | 53,381 | ||||||
MTS Systems Corp. | 3,311 | 187,734 | ||||||
Nanometrics, Inc. (1) | 4,094 | 102,596 | ||||||
National Instruments Corp. | 35,174 | 1,084,063 | ||||||
NCR Corp. (1) | 4,074 | 165,241 | ||||||
NeoPhotonics Corp. (1) | 972 | 10,507 | ||||||
NETGEAR, Inc. (1) | 4,767 | 259,086 | ||||||
NetScout Systems, Inc. (1) | 71,098 | 2,239,587 | ||||||
New Relic, Inc. (1) | 4,905 | 138,566 | ||||||
NIC, Inc. | 14,035 | 335,436 | ||||||
Nice Ltd – ADR | 80,789 | 5,555,052 | ||||||
Nimble Storage, Inc. (1) | 14,204 | 112,496 | ||||||
Novanta, Inc. (1) | 2,011 | 42,231 | ||||||
Nuance Communications, Inc. (1) | 5,580 | 83,142 | ||||||
Numerex Corp. (1) | 526 | 3,892 | ||||||
Nutanix, Inc. (1) | 386 | 10,252 | ||||||
NVE Corp. | 616 | 44,001 | ||||||
NVIDIA Corp. | 16,775 | 1,790,564 | ||||||
Oclaro, Inc. (1) | 20,994 | 187,896 | ||||||
ON Semiconductor Corp. (1) | 1,259 | 16,065 | ||||||
Palo Alto Networks, Inc. (1) | 140,785 | 17,605,164 | ||||||
Pandora Media, Inc. (1) | 6,192 | 80,744 | ||||||
Park City Group, Inc. (1) | 2,504 | 31,801 | ||||||
Paychex, Inc. | 10,620 | 646,546 | ||||||
Paycom Software, Inc. (1) | 126,077 | 5,735,243 | ||||||
PDF Solutions, Inc. (1) | 5,525 | 124,589 | ||||||
Pegasystems, Inc. | 7,893 | 284,148 | ||||||
Perficient, Inc. (1) | 5,686 | 99,448 | ||||||
PFSweb, Inc. (1) | 2,922 | 24,837 | ||||||
Planet Payment, Inc. (1) | 10,213 | 41,669 | ||||||
Plantronics, Inc. | 38,883 | 2,129,233 | ||||||
Power Integrations, Inc. | 86,173 | 5,846,838 | ||||||
Progress Software Corp. | 1,635 | 52,206 | ||||||
Proofpoint, Inc. (1) | 46,711 | 3,300,132 | ||||||
PROS Holdings, Inc. (1) | 5,599 | 120,490 | ||||||
PTC, Inc. (1) | 140,172 | 6,485,758 | ||||||
Pure Storage, Inc. (1) | 15,035 | 170,046 | ||||||
Q2 Holdings, Inc. (1) | 36,189 | 1,044,053 | ||||||
Qorvo, Inc. (1) | 433 | 22,832 | ||||||
Qualys, Inc. (1) | 149,322 | 4,726,041 |
Shares | Value | |||||||
Quotient Technology, Inc. (1) | 14,205 | 152,704 | ||||||
Radisys Corp. (1) | 6,433 | 28,498 | ||||||
Rambus, Inc. (1) | 6,004 | 82,675 | ||||||
Rapid7, Inc. (1) | 4,370 | 53,183 | ||||||
RealPage, Inc. (1) | 11,962 | 358,860 | ||||||
Red Hat, Inc. (1) | 208,816 | 14,554,475 | ||||||
Reis, Inc. | 1,264 | 28,124 | ||||||
Rogers Corp. (1) | 1,406 | 107,995 | ||||||
Rosetta Stone, Inc. (1) | 2,859 | 25,474 | ||||||
Rubicon Project, Inc. (1) | 2,877 | 21,347 | ||||||
Sabre Corp. | 6,829 | 170,384 | ||||||
Sapiens International Corp. | 5,356 | 76,805 | ||||||
Science Applications International Corp. | 9,302 | 788,810 | ||||||
SecureWorks Corp. (1) | 314 | 3,325 | ||||||
Semtech Corp. (1) | 69,162 | 2,182,061 | ||||||
ServiceNow, Inc. (1) | 5,205 | 386,940 | ||||||
ServiceSource International, Inc. (1) | 8,641 | 49,081 | ||||||
Shopify, Inc. (1) | 29,230 | 1,253,090 | ||||||
ShoreTel, Inc. (1) | 4,212 | 30,116 | ||||||
Shutterstock, Inc. (1) | 4,285 | 203,623 | ||||||
Silicom Ltd | 284 | 11,670 | ||||||
Silicon Laboratories, Inc. (1) | 9,048 | 588,120 | ||||||
Silver Spring Networks, Inc. (1) | 8,049 | 107,132 | ||||||
Skyworks Solutions, Inc. | 5,743 | 428,772 | ||||||
Sonus Networks, Inc. (1) | 1,199 | 7,554 | ||||||
Splunk, Inc. (1) | 313,162 | 16,018,236 | ||||||
SPS Commerce, Inc. (1) | 55,265 | 3,862,471 | ||||||
Square, Inc. (1) | 1,794 | 24,452 | ||||||
SS&C Technologies Holdings, Inc. | 5,116 | 146,318 | ||||||
Stamps.com, Inc. (1) | 12,725 | 1,458,921 | ||||||
Stratasys Ltd (1) | 5,211 | 86,190 | ||||||
Super Micro Computer, Inc. (1) | 1,926 | 54,024 | ||||||
Symantec Corp. | 2,896 | 69,185 | ||||||
Synaptics, Inc. (1) | 7,754 | 415,459 | ||||||
Synchronoss Technologies, Inc. (1) | 9,101 | 348,568 | ||||||
Synopsys, Inc. (1) | 87,489 | 5,149,603 | ||||||
Syntel, Inc. | 7,155 | 141,597 | ||||||
Tableau Software, Inc. (1) | 196,067 | 8,264,224 | ||||||
Take-Two Interactive Software, Inc. (1) | 42,017 | 2,071,018 | ||||||
TechTarget, Inc. (1) | 1,223 | 10,432 | ||||||
TeleTech Holdings, Inc. | 3,753 | 114,467 | ||||||
Teradata Corp. (1) | 4,314 | 117,211 | ||||||
Tessera Holding Corp. | 7,139 | 315,544 | ||||||
The Western Union Co. | 16,141 | 350,583 | ||||||
TiVo Corp. (1) | 8,029 | 167,806 | ||||||
Total System Services, Inc. | 5,450 | 267,214 | ||||||
Trimble, Inc. (1) | 6,542 | 197,241 | ||||||
TrueCar, Inc. (1) | 12,061 | 150,763 | ||||||
Twilio, Inc. (1) | 504 | 14,540 | ||||||
Twitter, Inc. (1) | 18,370 | 299,431 | ||||||
Tyler Technologies, Inc. (1) | 11,467 | 1,637,144 | ||||||
Ubiquiti Networks, Inc. (1) | 5,722 | 330,732 | ||||||
Ultimate Software Group, Inc. (1) | 13,157 | 2,399,179 |
Shares | Value | |||||||
Ultratech, Inc. (1) | 332 | 7,961 | ||||||
Unisys Corp. (1) | 7,411 | 110,794 | ||||||
Universal Display Corp. (1) | 9,124 | 513,681 | ||||||
USA Technologies, Inc. (1) | 6,213 | 26,716 | ||||||
Vantiv, Inc. (1) | 5,115 | 304,956 | ||||||
Varonis Systems, Inc. (1) | 2,327 | 62,364 | ||||||
VASCO Data Security International, Inc. (1) | 5,785 | 78,965 | ||||||
VeriFone Systems, Inc. (1) | 3,681 | 65,264 | ||||||
VeriSign, Inc. (1) | 3,114 | 236,882 | ||||||
ViaSat, Inc. (1) | 9,946 | 658,624 | ||||||
VirnetX Holding Corp. (1) | 11,207 | 24,655 | ||||||
Virtusa Corp. (1) | 6,231 | 156,523 | ||||||
Web.com Group, Inc. (1) | 9,445 | 199,762 | ||||||
WebMD Health Corp. (1) | 8,263 | 409,597 | ||||||
WEX, Inc. (1) | 142,410 | 15,892,956 | ||||||
Workday, Inc. (1) | 257,406 | 17,011,963 | ||||||
Workiva, Inc. (1) | 4,752 | 64,865 | ||||||
Xactly Corp. (1) | 4,922 | 54,142 | ||||||
Xilinx, Inc. | 2,660 | 160,584 | ||||||
XO Group, Inc. (1) | 5,645 | 109,795 | ||||||
Yelp, Inc. (1) | 1,762 | 67,185 | ||||||
Zebra Technologies Corp. (1) | 1,381 | 118,435 | ||||||
Zendesk, Inc. (1) | 17,869 | 378,823 | ||||||
Zillow Group, Inc. – Class A (1) | 1,180 | 43,011 | ||||||
Zillow Group, Inc. – Class C (1) | 2,336 | 85,194 | ||||||
Zix Corp. (1) | 12,663 | 62,555 | ||||||
|
| |||||||
408,435,915 | ||||||||
|
| |||||||
Materials – 3.59% | ||||||||
AEP Industries, Inc. | 903 | 104,838 | ||||||
AptarGroup, Inc. | 131,520 | 9,660,144 | ||||||
Avery Dennison Corp. | 2,765 | 194,158 | ||||||
Axalta Coating Systems Ltd (1) | 5,368 | 146,010 | ||||||
Balchem Corp. | 70,438 | 5,911,157 | ||||||
Ball Corp. | 5,605 | 420,767 | ||||||
Bemis, Inc. | 476 | 22,762 | ||||||
Berry Plastics Group, Inc. (1) | 352,748 | 17,189,410 | ||||||
Boise Cascade Co. (1) | 7,510 | 168,975 | ||||||
Celanese Corp. | 453 | 35,669 | ||||||
Century Aluminum Co. (1) | 592 | 5,067 | ||||||
Chase Corp. | 1,558 | 130,171 | ||||||
Chemours Co. | 33,553 | 741,186 | ||||||
Chemtura Corp. (1) | 7,213 | 239,472 | ||||||
Clearwater Paper Corp. (1) | 3,731 | 244,567 | ||||||
Codexis, Inc. (1) | 6,116 | 28,134 | ||||||
Coeur Mining, Inc. (1) | 29,181 | 265,255 | ||||||
Crown Holdings, Inc. (1) | 4,421 | 232,412 | ||||||
Deltic Timber Corp. | 2,394 | 184,506 | ||||||
Eagle Materials, Inc. | 1,545 | 152,229 | ||||||
Ferro Corp. (1) | 18,272 | 261,838 | ||||||
Flotek Industries, Inc. (1) | 11,769 | 110,511 | ||||||
FMC Corp. | 3,536 | 199,996 | ||||||
Forterra, Inc. (1) | 59,024 | 1,278,460 | ||||||
Freeport-McMoRan, Inc. (1) | 9,444 | 124,566 |
Shares | Value | |||||||
GCP Applied Technologies, Inc. (1) | 13,242 | 354,223 | ||||||
Gold Resource Corp. | 8,976 | 39,046 | ||||||
Graphic Packaging Holding Co. | 254,822 | 3,180,179 | ||||||
Hawkins, Inc. | 384 | 20,717 | ||||||
HB Fuller Co. | 11,052 | 533,922 | ||||||
Headwaters, Inc. (1) | 15,984 | 375,944 | ||||||
Ingevity Corp. (1) | 7,550 | 414,193 | ||||||
Innophos Holdings, Inc. | 3,796 | 198,379 | ||||||
Innospec, Inc. | 45,153 | 3,092,980 | ||||||
International Flavors & Fragrances, Inc. | 2,615 | 308,125 | ||||||
Kaiser Aluminum Corp. | 1,424 | 110,631 | ||||||
KapStone Paper and Packaging Corp. | 1,094 | 24,123 | ||||||
KMG Chemicals, Inc. | 922 | 35,857 | ||||||
Koppers Holdings, Inc. (1) | 3,646 | 146,934 | ||||||
Louisiana-Pacific Corp. (1) | 29,592 | 560,177 | ||||||
Martin Marietta Materials, Inc. | 61,687 | 13,665,521 | ||||||
Minerals Technologies, Inc. | 4,081 | 315,257 | ||||||
Multi Packaging Solutions International Ltd (1) | 4,764 | 67,935 | ||||||
Myers Industries, Inc. | 5,245 | 75,003 | ||||||
Neenah Paper, Inc. | 3,626 | 308,935 | ||||||
NewMarket Corp. | 223 | 94,516 | ||||||
OMNOVA Solutions, Inc. (1) | 6,192 | 61,920 | ||||||
Owens-Illinois, Inc. (1) | 5,256 | 91,507 | ||||||
Packaging Corporation of America | 3,063 | 259,804 | ||||||
PolyOne Corp. | 18,500 | 592,740 | ||||||
Quaker Chemical Corp. | 13,456 | 1,721,561 | ||||||
Rayonier Advanced Materials, Inc. | 5,567 | 86,066 | ||||||
Real Industry, Inc. (1) | 6,241 | 38,070 | ||||||
Royal Gold, Inc. | 129 | 8,172 | ||||||
RPM International, Inc. | 4,272 | 229,962 | ||||||
Schweitzer-Mauduit International, Inc. | 1,364 | 62,103 | ||||||
Scotts Miracle-Gro Co. | 1,376 | 131,477 | ||||||
Sealed Air Corp. | 6,450 | 292,443 | ||||||
Sensient Technologies Corp. | 9,813 | 771,106 | ||||||
Silgan Holdings, Inc. | 1,302 | 66,636 | ||||||
Southern Copper Corp. | 1,245 | 39,765 | ||||||
Steel Dynamics, Inc. | 1,191 | 42,376 | ||||||
Stepan Co. | 379 | 30,881 | ||||||
Summit Materials, Inc. (1) | 16,893 | 401,892 | ||||||
The Valspar Corp. | 2,595 | 268,868 | ||||||
Trecora Resources (1) | 3,872 | 53,627 | ||||||
Trinseo S.A. | 6,024 | 357,223 | ||||||
United States Lime & Minerals, Inc. | 95 | 7,196 | ||||||
US Concrete, Inc. (1) | 3,169 | 207,569 | ||||||
Valhi, Inc. | 1,963 | 6,792 | ||||||
Vulcan Materials Co. | 4,068 | 509,110 | ||||||
W.R. Grace & Co. | 1,274 | 86,173 | ||||||
Worthington Industries, Inc. | 9,861 | 467,806 | ||||||
|
| |||||||
68,867,702 | ||||||||
|
| |||||||
Real Estate – 2.15% | ||||||||
Acadia Realty Trust | 3,953 | 129,184 | ||||||
Alexander & Baldwin, Inc. | 5,507 | 247,099 | ||||||
Alexander’s, Inc. | 464 | 198,068 |
Shares | Value | |||||||
Alexandria Real Estate Equities, Inc. | 267 | 29,672 | ||||||
Altisource Portfolio Solutions S.A. (1) | 2,654 | 70,570 | ||||||
American Assets Trust, Inc. | 3,202 | 137,942 | ||||||
Armada Hoffler Properties, Inc. | 7,198 | 104,875 | ||||||
AV Homes, Inc. (1) | 669 | 10,570 | ||||||
Boston Properties, Inc. | 846 | 106,410 | ||||||
Care Capital Properties, Inc. | 251 | 6,275 | ||||||
CareTrust REIT, Inc. | 14,516 | 222,385 | ||||||
CBRE Group, Inc. (1) | 9,870 | 310,806 | ||||||
Chesapeake Lodging Trust | 3,874 | 100,182 | ||||||
City Office REIT, Inc. | 3,953 | 52,061 | ||||||
Consolidated-Tomoka Land Co. | 942 | 50,322 | ||||||
CoreSite Realty Corp. | 43,234 | 3,431,483 | ||||||
Corporate Office Properties Trust | 96,241 | 3,004,644 | ||||||
CubeSmart | 3,914 | 104,778 | ||||||
CyrusOne, Inc. | 2,016 | 90,176 | ||||||
Digital Realty Trust, Inc. | 3,682 | 361,793 | ||||||
DuPont Fabros Technology, Inc. | 16,583 | 728,491 | ||||||
EastGroup Properties, Inc. | 6,339 | 468,072 | ||||||
Education Realty Trust, Inc. | 2,249 | 95,133 | ||||||
Empire State Realty Trust, Inc. | 2,422 | 48,900 | ||||||
Equinix, Inc. | 2,280 | 814,895 | ||||||
Equity Lifestyle Properties, Inc. | 2,521 | 181,764 | ||||||
Essex Property Trust, Inc. | 897 | 208,553 | ||||||
Extra Space Storage, Inc. | 3,959 | 305,793 | ||||||
Federal Realty Investment Trust | 2,331 | 331,258 | ||||||
FelCor Lodging Trust, Inc. | 26,477 | 212,081 | ||||||
First Industrial Realty Trust, Inc. | 5,869 | 164,625 | ||||||
Forestar Group, Inc. (1) | 557 | 7,408 | ||||||
Four Corners Property Trust, Inc. | 5,254 | 107,812 | ||||||
Gaming and Leisure Properties, Inc. | 6,263 | 191,773 | ||||||
Global Medical REIT, Inc. | 1,504 | 13,416 | ||||||
Gramercy Property Trust, Inc. | 14,604 | 134,065 | ||||||
Healthcare Trust of America, Inc. | 3,232 | 94,084 | ||||||
Hersha Hospitality Trust | 1,018 | 21,887 | ||||||
HFF, Inc. | 107,025 | 3,237,506 | ||||||
Hudson Pacific Properties, Inc. | 88,930 | 3,092,985 | ||||||
Iron Mountain, Inc. | 8,572 | 278,419 | ||||||
iStar, Inc. (1) | 15,647 | 193,553 | ||||||
Jones Lang LaSalle, Inc. | 92,504 | 9,346,604 | ||||||
Kennedy-Wilson Holdings, Inc. | 9,097 | 186,489 | ||||||
Lamar Advertising Co. | 2,705 | 181,884 | ||||||
Life Storage, Inc. | 980 | 83,555 | ||||||
LTC Properties, Inc. | 7,349 | 345,256 | ||||||
Marcus & Millichap, Inc. (1) | 3,282 | 87,695 | ||||||
MedEquities Realty Trust, Inc. (1) | 2,236 | 24,820 | ||||||
Medical Properties Trust, Inc. | 22,451 | 276,147 | ||||||
Monmouth Real Estate Investment Corp. | 2,840 | 43,282 | ||||||
National Health Investors, Inc. | 8,320 | 617,094 | ||||||
National Storage Affiliates Trust Co. | 1,259 | 27,786 | ||||||
Omega Healthcare Investors, Inc. | 2,255 | 70,491 | ||||||
Outfront Media, Inc. | 679 | 16,887 | ||||||
Pennsylvania Real Estate Investment Trust | 4,613 | 87,462 |
Shares | Value | |||||||
Physicians Realty Trust | 15,515 | 294,164 | ||||||
Potlatch Corp. | 9,025 | 375,891 | ||||||
PS Business Parks, Inc. | 4,418 | 514,785 | ||||||
QTS Realty Trust, Inc. | 10,491 | 520,878 | ||||||
Regency Centers Corp. | 590 | 40,681 | ||||||
Retail Opportunity Investments Corp. | 140,896 | 2,977,132 | ||||||
Rexford Industrial Realty, Inc. | 6,047 | 140,230 | ||||||
RMR Group, Inc. | 1,603 | 63,319 | ||||||
Ryman Hospitality Properties, Inc. | 9,701 | 611,260 | ||||||
Sabra Health Care REIT, Inc. | 2,528 | 61,734 | ||||||
Saul Centers, Inc. | 2,009 | 133,819 | ||||||
Senior Housing Properties Trust | 840 | 15,901 | ||||||
STAG Industrial, Inc. | 17,070 | 407,461 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,739 | 98,001 | ||||||
Taubman Centers, Inc. | 970 | 71,712 | ||||||
Terreno Realty Corp. | 89,265 | 2,543,160 | ||||||
The GEO Group, Inc. | 3,678 | 132,151 | ||||||
Trinity Place Holdings, Inc. (1) | 572 | 5,302 | ||||||
UMH Properties, Inc. | 2,243 | 33,757 | ||||||
Universal Health Realty Income Trust | 591 | 38,764 | ||||||
Urban Edge Properties | 20,097 | 552,868 | ||||||
Urstadt Biddle Properties, Inc. | 5,106 | 123,106 | ||||||
Ventas, Inc. | 3,496 | 218,570 | ||||||
Washington Prime Group, Inc. | 8,979 | 93,471 | ||||||
Washington Real Estate Investment Trust | 5,909 | 193,165 | ||||||
|
| |||||||
41,358,502 | ||||||||
|
| |||||||
Telecommunication Services – 0.94% | ||||||||
Boingo Wireless, Inc. (1) | 4,294 | 52,344 | ||||||
Cogent Communications Holdings, Inc. | 9,141 | 377,980 | ||||||
Consolidated Communications Holdings, Inc. | 7,578 | 203,469 | ||||||
FairPoint Communications, Inc. (1) | 3,771 | 70,518 | ||||||
General Communication, Inc. (1) | 6,321 | 122,943 | ||||||
Globalstar, Inc. (1) | 52,631 | 83,157 | ||||||
IDT Corp. | 2,399 | 44,478 | ||||||
Inteliquent, Inc. | 7,193 | 164,864 | ||||||
Iridium Communications, Inc. (1) | 185,267 | 1,778,563 | ||||||
Lumos Networks Corp. (1) | 387 | 6,045 | ||||||
ORBCOMM, Inc. (1) | 12,918 | 106,832 | ||||||
RingCentral, Inc. (1) | 12,825 | 264,195 | ||||||
SBA Communications Corp. (1) | 137,466 | 14,194,739 | ||||||
Shenandoah Telecommunications Co. | 10,291 | 280,944 | ||||||
Straight Path Communications, Inc. (1) | 2,174 | 73,720 | ||||||
Vonage Holdings Corp. (1) | 4,575 | 31,339 | ||||||
Windstream Holdings, Inc. | 2,234 | 16,375 | ||||||
Zayo Group Holdings, Inc. (1) | 5,375 | 176,623 | ||||||
|
| |||||||
18,049,128 | ||||||||
|
| |||||||
Utilities – 0.23% | ||||||||
American States Water Co. | 5,351 | 243,792 | ||||||
Black Hills Corp. | 46,428 | 2,847,893 | ||||||
California Water Service Group | 6,258 | 212,146 | ||||||
Chesapeake Utilities Corp. | 457 | 30,596 | ||||||
Connecticut Water Services, Inc. | 572 | 31,946 | ||||||
Global Water Resources, Inc. | 1,593 | 14,496 |
Shares | Value | |||||||
MGE Energy, Inc. | 3,564 | 232,729 | ||||||
Middlesex Water Co. | 2,974 | 127,704 | ||||||
New Jersey Resources Corp. | 1,603 | 56,906 | ||||||
Ormat Technologies, Inc. | 3,900 | 209,118 | ||||||
Pattern Energy Group, Inc. | 11,746 | 223,057 | ||||||
Southwest Gas Corp. | 1,074 | 82,290 | ||||||
Spark Energy, Inc. | 1,156 | 35,027 | ||||||
WGL Holdings, Inc. | 604 | 46,073 | ||||||
York Water Co. | 2,523 | 96,379 | ||||||
|
| |||||||
4,490,152 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,711,740,562) | $ | 1,843,717,238 | ||||||
|
| |||||||
RIGHTS – 0.00% (2) | ||||||||
Healthcare – 0.00% (2) | ||||||||
Dyax Corp. (1)(4) | 15,849 | $ | 57,056 | |||||
|
| |||||||
TOTAL RIGHTS (Cost $35,670) | $ | 57,056 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 4.10% | ||||||||
Money Market Funds – 4.10% | ||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (3) | 39,315,281 | $ | 39,315,281 | |||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (3) | 39,385,582 | 39,385,582 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $78,700,863) | $ | 78,700,863 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 100.06% | ||||||||
(Cost $1,790,477,095) | $ | 1,922,475,157 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.06)% | (1,094,050 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 1,921,381,107 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR – American Depository Receipt
(1) | Non-income producing security. |
(2) | Amount calculated is less than 0.005%. |
(3) | Represents annualized seven-day yield as of the close of the reporting period. |
(4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of this security totals $57,056, which represents 0.00% of total net assets. |
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’s Financial Services LLC (“S&P”).
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 96.89% | ||||||||
Consumer Discretionary – 10.28% | ||||||||
1-800-Flowers.com, Inc. (1) | 3,079 | $ | 32,945 | |||||
Aaron’s, Inc. | 43,397 | 1,388,270 | ||||||
Abercrombie & Fitch Co. | 11,174 | 134,088 | ||||||
Acushnet Holdings Corp. (1) | 1,599 | 31,516 | ||||||
Adient Plc (1) | 13,677 | 801,472 | ||||||
Advance Auto Parts, Inc. | 20,706 | 3,501,799 | ||||||
AMC Entertainment Holdings, Inc. | 3,791 | 127,571 | ||||||
American Eagle Outfitters, Inc. | 63,555 | 964,129 | ||||||
American Public Education, Inc. (1) | 2,469 | 60,614 | ||||||
America’s Car-Mart, Inc. (1) | 1,255 | 54,906 | ||||||
Apollo Education Group, Inc. (1) | 14,043 | 139,026 | ||||||
Aramark | 256,448 | 9,160,323 | ||||||
Arctic Cat, Inc. (1) | 1,285 | 19,301 | ||||||
Ascena Retail Group, Inc. (1) | 19,007 | 117,653 | ||||||
Ascent Capital Group, Inc. (1) | 1,677 | 27,268 | ||||||
At Home Group, Inc. (1) | 808 | 11,821 | ||||||
AutoNation, Inc. (1) | 834 | 40,574 | ||||||
Barnes & Noble Education, Inc. (1) | 6,490 | 74,440 | ||||||
Barnes & Noble, Inc. | 10,352 | 115,425 | ||||||
Bassett Furniture Industries, Inc. | 781 | 23,742 | ||||||
Beazer Homes USA, Inc. (1) | 5,420 | 72,086 | ||||||
Bed Bath & Beyond, Inc. | 2,889 | 117,409 | ||||||
Belmond Ltd (1) | 13,922 | 185,859 | ||||||
Best Buy, Inc. | 85,986 | 3,669,023 | ||||||
Big 5 Sporting Goods Corp. | 2,930 | 50,835 | ||||||
Biglari Holdings, Inc. (1) | 149 | 70,507 | ||||||
Boot Barn Holdings, Inc. (1) | 2,109 | 26,405 | ||||||
Borgwarner, Inc. | 118,051 | 4,655,931 |
Shares | Value | |||||||
Bridgepoint Education, Inc. (1) | 2,908 | 29,458 | ||||||
Brunswick Corp. | 321,945 | 17,558,880 | ||||||
Buckle, Inc. | 3,020 | 68,856 | ||||||
Build-A-Bear Workshop, Inc. (1) | 2,088 | 28,710 | ||||||
Burlington Stores, Inc. (1) | 657 | 55,681 | ||||||
Cabela’s, Inc. (1) | 953 | 55,798 | ||||||
Caesars Acquisition Co. (1) | 7,929 | 107,041 | ||||||
Caesars Entertainment Corp. (1) | 9,716 | 82,586 | ||||||
CalAtlantic Group, Inc. | 44,305 | 1,506,813 | ||||||
Caleres, Inc. | 6,988 | 229,346 | ||||||
Callaway Golf Co. | 9,712 | 106,444 | ||||||
Cambium Learning Group, Inc. (1) | 2,012 | 10,040 | ||||||
Capella Education Company | 101 | 8,868 | ||||||
Career Education Corp. (1) | 11,033 | 111,323 | ||||||
Carriage Services, Inc. | 223 | 6,387 | ||||||
Carrols Restaurant Group, Inc. (1) | 825 | 12,581 | ||||||
Cato Corp. | 3,298 | 99,204 | ||||||
CBS Corp. | 63,500 | 4,039,870 | ||||||
Century Casinos, Inc. (1) | 2,483 | 20,435 | ||||||
Century Communities, Inc. (1) | 2,308 | 48,468 | ||||||
Chegg, Inc. (1) | 7,361 | 54,324 | ||||||
Chicos FAS, Inc. | 2,095 | 30,147 | ||||||
Choice Hotels International, Inc. | 221 | 12,387 | ||||||
Citi Trends, Inc. | 2,327 | 43,841 | ||||||
Clear Channel Outdoor Holdings, Inc. | 272 | 1,374 | ||||||
Coach, Inc. | 4,906 | 171,808 | ||||||
Columbia Sportswear Co. | 115,270 | 6,720,241 | ||||||
Conn’s, Inc. (1) | 3,552 | 44,933 | ||||||
Container Store Group, Inc. (1) | 1,875 | 11,906 | ||||||
Cooper Tire & Rubber Co. | 8,930 | 346,930 | ||||||
Cooper-Standard Holdings, Inc. (1) | 18,082 | 1,869,317 | ||||||
Cracker Barrel Old Country Store, Inc. | 169 | 28,220 | ||||||
CSS Industries, Inc. | 1,441 | 39,008 | ||||||
CST Brands, Inc. | 1,616 | 77,810 | ||||||
D. R. Horton, Inc. | 3,296 | 90,080 | ||||||
Daily Journal Corp. (1) | 57 | 13,783 | ||||||
Dana, Inc. | 111,495 | 2,116,175 |
Shares | Value | |||||||
Darden Restaurants, Inc. | 31,200 | 2,268,864 | ||||||
Deckers Outdoor Corp. (1) | 4,939 | 273,571 | ||||||
Del Frisco’s Restaurant Group, Inc. (1) | 3,491 | 59,347 | ||||||
Del Taco Restaurants, Inc. (1) | 3,834 | 54,136 | ||||||
Delta Apparel, Inc. (1) | 1,074 | 22,264 | ||||||
Denny’s Corp. (1) | 3,336 | 42,801 | ||||||
Destination XL Group, Inc. (1) | 1,614 | 6,859 | ||||||
DeVry Education Group, Inc. | 10,228 | 319,114 | ||||||
Dick’s Sporting Goods, Inc. | 402 | 21,346 | ||||||
Dillard’s, Inc. | 401 | 25,139 | ||||||
DineEquity, Inc. | 1,251 | 96,327 | ||||||
Discovery Communications, Inc. – Class A (1) | 318 | 8,716 | ||||||
Discovery Communications, Inc. – Class C (1) | 272 | 7,284 | ||||||
DSW, Inc. | 11,003 | 249,218 | ||||||
E.W. Scripps Co. (1) | 227,665 | 4,400,764 | ||||||
El Pollo Loco Holdings, Inc. (1) | 3,228 | 39,704 | ||||||
Eldorado Resorts, Inc. (1) | 740 | 12,543 | ||||||
Empire Resorts, Inc. (1) | 549 | 12,494 | ||||||
Entercom Communications Corp. | 4,273 | 65,377 | ||||||
Eros International Plc (1) | 4,911 | 64,089 | ||||||
Escalade, Inc. | 1,486 | 19,615 | ||||||
Expedia, Inc. | 32,333 | 3,662,682 | ||||||
Express, Inc. (1) | 12,231 | 131,606 | ||||||
Extended Stay America, Inc. | 1,257 | 20,301 | ||||||
Federal Mogul Holdings Corp. (1) | 5,315 | 54,798 | ||||||
Fiesta Restaurant Group, Inc. (1) | 732 | 21,850 | ||||||
Finish Line, Inc. | 212,094 | 3,989,488 | ||||||
Flexsteel Industries, Inc. | 1,031 | 63,582 | ||||||
Fogo De Chao, Inc. (1) | 767 | 11,006 | ||||||
Foot Locker, Inc. | 18,790 | 1,332,023 | ||||||
Fossil Group, Inc. (1) | 6,828 | 176,572 | ||||||
Fox Factory Holding Corp. (1) | 239,100 | 6,635,025 | ||||||
Fred’s, Inc. | 5,226 | 96,995 | ||||||
FTD Cos, Inc. (1) | 2,894 | 68,993 | ||||||
Gaia, Inc. (1) | 565 | 4,887 | ||||||
GameStop Corp. | 2,231 | 56,355 | ||||||
Gannett Co., Inc. | 19,303 | 187,432 |
Shares | Value | |||||||
Gap, Inc. | 4,506 | 101,115 | ||||||
Garmin Ltd | 2,411 | 116,909 | ||||||
Genesco, Inc. (1) | 2,972 | 184,561 | ||||||
Gentex Corp. | 2,207 | 43,456 | ||||||
Genuine Parts Co. | 186 | 17,770 | ||||||
G-III Apparel Group Ltd (1) | 1,406 | 41,561 | ||||||
Global Eagle Entertainment, Inc. (1) | 7,202 | 46,525 | ||||||
Golden Entertainment, Inc. | 1,692 | 20,490 | ||||||
Goodyear Tire & Rubber Co. | 118,995 | 3,673,376 | ||||||
GoPro, Inc. (1) | 16,605 | 144,630 | ||||||
Graham Holdings Co. | 94 | 48,123 | ||||||
Grand Canyon Education, Inc. (1) | 168,000 | 9,819,600 | ||||||
Gray Television, Inc. (1) | 4,128 | 44,789 | ||||||
Green Brick Partners, Inc. (1) | 3,693 | 37,115 | ||||||
Group 1 Automotive, Inc. | 2,633 | 205,216 | ||||||
Guess, Inc. | 9,975 | 120,697 | ||||||
H&R Block, Inc. | 4,509 | 103,662 | ||||||
Harley-Davidson, Inc. | 31,700 | 1,849,378 | ||||||
Harman International Industries, Inc. | 21,723 | 2,414,729 | ||||||
Hasbro, Inc. | 43,506 | 3,384,332 | ||||||
Haverty Furniture, Inc. | 2,990 | 70,863 | ||||||
Hemisphere Media Group, Inc. (1) | 258 | 2,890 | ||||||
Hibbett Sports, Inc. (1) | 759 | 28,311 | ||||||
Hilton Worldwide Holdings, Inc. | 1,376 | 37,427 | ||||||
Hooker Furniture Corp. | 1,694 | 64,287 | ||||||
Houghton Mifflin Harcourt Co. (1) | 6,821 | 74,008 | ||||||
Hovnanian Enterprises, Inc. (1) | 20,405 | 55,706 | ||||||
Hyatt Hotels Corp. (1) | 666 | 36,803 | ||||||
Iconix Brand Group, Inc. (1) | 7,025 | 65,613 | ||||||
ILG, Inc | 16,753 | 304,402 | ||||||
International Game Technology Plc | 2,024 | 51,652 | ||||||
International Speedway Corp. | 4,192 | 154,266 | ||||||
Interpublic Group of Companies, Inc. | 195,692 | 4,581,150 | ||||||
Intrawest Resorts Holdings, Inc. (1) | 2,604 | 46,481 | ||||||
J. Alexander’s Holdings, Inc. (1) | 2,033 | 21,855 | ||||||
J.C. Penney Co., Inc. (1) | 6,713 | 55,785 | ||||||
Jack in the Box, Inc. | 57,845 | 6,457,816 |
Shares | Value | |||||||
JAKKS Pacific, Inc. (1) | 2,807 | 14,456 | ||||||
John Wiley & Sons, Inc. | 973 | 53,029 | ||||||
Johnson Outdoors, Inc. | 797 | 31,633 | ||||||
K12, Inc. (1) | 5,621 | 96,456 | ||||||
KB Home | 104,247 | 1,648,145 | ||||||
Kirkland’s, Inc. (1) | 1,235 | 19,155 | ||||||
Kohl’s Corp. | 53,196 | 2,626,818 | ||||||
Kona Grill, Inc. (1) | 535 | 6,714 | ||||||
L Brands, Inc. | 4,314 | 284,034 | ||||||
La Quinta Holdings, Inc. (1) | 11,516 | 163,642 | ||||||
Lands End, Inc. (1) | 2,512 | 38,057 | ||||||
La-Z-Boy, Inc. | 236,866 | 7,354,689 | ||||||
Lear Corp. | 15,460 | 2,046,440 | ||||||
Lennar Corp. – Class A | 1,946 | 83,542 | ||||||
LGI Homes, Inc. (1) | 208 | 5,976 | ||||||
Libbey, Inc. | 3,415 | 66,456 | ||||||
Liberty Braves Group (1) | 1,281 | 26,248 | ||||||
Liberty Braves Group (1) | 4,819 | 99,223 | ||||||
Liberty Broadband Corp. – Class A (1) | 581 | 42,099 | ||||||
Liberty Broadband Corp. – Class C (1) | 2,196 | 162,658 | ||||||
Liberty Expedia Holdings, Inc. (1) | 897 | 35,584 | ||||||
Liberty Interactive Corp. (1) | 4,216 | 84,236 | ||||||
Liberty Media Group LLC (1) | 6,252 | 195,875 | ||||||
Liberty Media Group LLC (1) | 3,166 | 99,254 | ||||||
Liberty SiriusXM Group (1) | 1,908 | 65,864 | ||||||
Liberty SiriusXM Group (1) | 3,999 | 135,646 | ||||||
Liberty Tax, Inc. | 321 | 4,301 | ||||||
Liberty Ventures (1) | 1,434 | 52,872 | ||||||
Lifetime Brands, Inc. | 1,741 | 30,903 | ||||||
Lions Gate Entertainment Corp. (1) | 335 | 8,209 | ||||||
Lions Gate Entertainment Corp. (1) | 335 | 8,998 | ||||||
Lithia Motors, Inc. | 44,630 | 4,321,523 | ||||||
Live Nation Entertainment, Inc. (1) | 1,208 | 32,133 | ||||||
Luby’s, Inc. (1) | 3,062 | 13,105 | ||||||
Lumber Liquidators Holdings, Inc. (1) | 4,257 | 67,005 | ||||||
M.D.C. Holdings, Inc. | 4,191 | 107,530 | ||||||
M/I Homes, Inc. (1) | 3,170 | 79,821 |
Shares | Value | |||||||
Macy’s, Inc. | 47,107 | 1,686,902 | ||||||
Marcus Corp. | 3,054 | 96,201 | ||||||
MarineMax, Inc. (1) | 1,767 | 34,191 | ||||||
Marriott International, Inc. | 1,727 | 142,788 | ||||||
Marriott Vacations Worldwide Corp. | 3,491 | 296,211 | ||||||
MDC Partners, Inc. | 6,082 | 39,837 | ||||||
Media General, Inc. (1) | 17,774 | 334,684 | ||||||
Meredith Corp. | 6,146 | 363,536 | ||||||
Meritage Homes Corp. (1) | 5,874 | 204,415 | ||||||
Metaldyne Performance Group, Inc. | 979 | 22,468 | ||||||
MGM Resorts International (1) | 9,379 | 270,397 | ||||||
Modine Manufacturing Co. (1) | 7,724 | 115,088 | ||||||
Mohawk Industries, Inc. (1) | 45,901 | 9,165,512 | ||||||
Monarch Casino & Resort, Inc. (1) | 1,874 | 48,312 | ||||||
Motorcar Parts of America, Inc. (1) | 200 | 5,384 | ||||||
Movado Group, Inc. | 2,558 | 73,542 | ||||||
MSG Networks, Inc. (1) | 6,591 | 141,706 | ||||||
Murphy USA, Inc. (1) | 28,104 | 1,727,553 | ||||||
NACCO Industries, Inc. | 609 | 55,145 | ||||||
National CineMedia, Inc. | 10,408 | 153,310 | ||||||
New Home Company, Inc. (1) | 1,873 | 21,933 | ||||||
New Media Investment Group, Inc. | 6,435 | 102,896 | ||||||
New York Times Co. | 20,408 | 271,426 | ||||||
Newell Brands, Inc. | 376,942 | 16,830,460 | ||||||
News Corp. – Class A | 8,554 | 98,029 | ||||||
News Corp. – Class B | 2,327 | 27,459 | ||||||
Noodles & Co. (1) | 583 | 2,390 | ||||||
Norwegian Cruise Line Holdings Ltd (1) | 3,098 | 131,758 | ||||||
Office Depot, Inc. | 90,782 | 410,335 | ||||||
Omnicom Group, Inc. | 48,300 | 4,110,813 | ||||||
Party City Holdings, Inc. (1) | 2,561 | 36,366 | ||||||
Penn National Gaming, Inc. (1) | 2,179 | 30,048 | ||||||
Penske Automotive Group, Inc. | 31,110 | 1,612,742 | ||||||
Perry Ellis International, Inc. (1) | 2,084 | 51,912 | ||||||
Pier 1 Imports, Inc. | 11,131 | 95,059 | ||||||
Pinnacle Entertainment, Inc. (1) | 8,441 | 122,395 | ||||||
Potbelly Corp. (1) | 149,660 | 1,930,614 |
Shares | Value | |||||||
Pulte Group, Inc. | 91,623 | 1,684,031 | ||||||
PVH Corp. | 52,318 | 4,721,176 | ||||||
Ralph Lauren Corp. | 1,156 | 104,410 | ||||||
Reading International, Inc. (1) | 1,884 | 31,274 | ||||||
Red Lion Hotels Corp. (1) | 2,648 | 22,111 | ||||||
Red Robin Gourmet Burgers, Inc. (1) | 1,791 | 101,012 | ||||||
Regal Entertainment Group | 1,302 | 26,821 | ||||||
Regis Corp. (1) | 5,957 | 86,496 | ||||||
Rent-A-Center, Inc. | 8,595 | 96,694 | ||||||
Restoration Hardware Holdings, Inc. (1) | 6,382 | 195,927 | ||||||
Royal Caribbean Cruises Ltd | 3,659 | 300,184 | ||||||
Ruby Tuesday, Inc. (1) | 10,012 | 32,339 | ||||||
Saga Communications, Inc. | 577 | 29,023 | ||||||
Salem Media Group, Inc. | 1,625 | 10,156 | ||||||
Sally Beauty Holdings, Inc. (1) | 267,755 | 7,074,087 | ||||||
Scholastic Corp. | 54,744 | 2,599,793 | ||||||
Scripps Networks Interactive, Inc. | 18,500 | 1,320,345 | ||||||
Sears Holdings Corp. (1) | 1,468 | 13,638 | ||||||
Sears Hometown and Outlet Stores, Inc. (1) | 1,821 | 8,559 | ||||||
Sequential Brands Group, Inc. (1) | 6,680 | 31,262 | ||||||
ServiceMaster Global Holdings, Inc. (1) | 177,025 | 6,668,532 | ||||||
Shoe Carnival, Inc. | 2,303 | 62,135 | ||||||
Signet Jewelers Ltd | 59,996 | 5,655,223 | ||||||
Sonic Automotive, Inc. | 4,659 | 106,691 | ||||||
Sotheby’s (1) | 3,480 | 138,713 | ||||||
Spartan Motors, Inc. | 5,389 | 49,848 | ||||||
Speedway Motorsports, Inc. | 1,813 | 39,288 | ||||||
Sportsman’s Warehouse Holdings, Inc. (1) | 344 | 3,230 | ||||||
Stage Stores, Inc. | 3,988 | 17,428 | ||||||
Standard Motor Products, Inc. | 1,401 | 74,561 | ||||||
Staples, Inc. | 13,994 | 126,646 | ||||||
Strattec Security Corp. | 519 | 20,916 | ||||||
Strayer Education, Inc. (1) | 946 | 76,276 | ||||||
Sturm, Ruger & Company, Inc. | 14,900 | 785,230 | ||||||
Superior Industries International, Inc. | 4,036 | 106,349 | ||||||
Systemax, Inc. | 1,936 | 16,979 | ||||||
Tailored Brands, Inc. | 125,799 | 3,214,164 |
Shares | Value | |||||||
TEGNA, Inc. | 4,721 | 100,982 | ||||||
Tenneco, Inc. (1) | 73,656 | 4,601,290 | ||||||
The Madison Square Garden Co. (1) | 380 | 65,174 | ||||||
The Michaels Companies, Inc. (1) | 458 | 9,366 | ||||||
Thor Industries, Inc. | 16,900 | 1,690,845 | ||||||
Tiffany & Co. | 2,370 | 183,509 | ||||||
Tilly’s, Inc. (1) | 1,756 | 23,162 | ||||||
Time, Inc. | 16,754 | 299,059 | ||||||
Toll Brothers, Inc. (1) | 1,791 | 55,521 | ||||||
TopBuild Corp. (1) | 5,461 | 194,412 | ||||||
Tower International, Inc. | 3,437 | 97,439 | ||||||
Townsquare Media, Inc. (1) | 1,617 | 16,833 | ||||||
Travelport Worldwide Ltd | 5,128 | 72,305 | ||||||
TRI Pointe Group, Inc. (1) | 23,121 | 265,429 | ||||||
Tribune Media Co. | 69,055 | 2,415,544 | ||||||
tronc, Inc. | 1,712 | 23,745 | ||||||
Tuesday Morning Corp. (1) | 6,986 | 37,724 | ||||||
UCP, Inc. (1) | 1,396 | 16,822 | ||||||
Unifi, Inc. (1) | 2,575 | 84,022 | ||||||
Urban Outfitters, Inc. (1) | 411 | 11,705 | ||||||
Vera Bradley, Inc. (1) | 939 | 11,005 | ||||||
Viacom, Inc. – Class B | 937 | 32,889 | ||||||
Vince Holding Corp. (1) | 2,979 | 12,065 | ||||||
Vista Outdoor, Inc. (1) | 1,106 | 40,811 | ||||||
Vitamin Shoppe, Inc. (1) | 3,747 | 88,991 | ||||||
WCI Communities, Inc. (1) | 3,619 | 84,866 | ||||||
Weight Watchers International, Inc. (1) | 318 | 3,641 | ||||||
Wendy’s Co. | 1,901 | 25,702 | ||||||
West Marine, Inc. (1) | 2,967 | 31,064 | ||||||
Weyco Group, Inc. | 878 | 27,481 | ||||||
Whirlpool Corp. | 18,258 | 3,318,757 | ||||||
William Lyon Homes (1) | 4,032 | 76,729 | ||||||
Wolverine World Wide, Inc. | 319,989 | 7,023,759 | ||||||
Wyndham Worldwide Corp. | 27,500 | 2,100,175 | ||||||
Wynn Resorts Ltd | 145 | 12,544 | ||||||
ZAGG, Inc. (1) | 3,805 | 27,016 | ||||||
Zumiez, Inc. (1) | 2,943 | 64,305 | ||||||
|
| |||||||
240,618,908 | ||||||||
|
|
Shares | Value | |||||||
Consumer Staples – 1.79% | ||||||||
AdvancePierre Foods Holdings, Inc. | 1,327 | 39,518 | ||||||
Alico, Inc. | 522 | 14,172 | ||||||
Alliance One International, Inc. (1) | 1,305 | 25,056 | ||||||
Avon Products, Inc. (1) | 56,628 | 285,405 | ||||||
Brown Forman Corp. – Class B | 305 | 13,701 | ||||||
Bunge Ltd | 41,395 | 2,990,375 | ||||||
Cal-Maine Foods, Inc. | 1,155 | 51,022 | ||||||
Casey’s General Stores, Inc. | 59,412 | 7,062,899 | ||||||
Central Garden & Pet Co. (1) | 4,806 | 148,505 | ||||||
Central Garden & Pet Co. (1) | 1,401 | 46,359 | ||||||
Clorox Co. | 414 | 49,688 | ||||||
Coca-Cola European Partners Plc | 93,720 | 2,942,808 | ||||||
Conagra Brands, Inc. | 2,010 | 79,495 | ||||||
Constellation Brands, Inc. | 8,541 | 1,309,421 | ||||||
Coty, Inc. | 9,395 | 172,022 | ||||||
Craft Brew Alliance, Inc. (1) | 1,357 | 22,933 | ||||||
Darling Ingredients, Inc. (1) | 19,527 | 252,094 | ||||||
Dean Foods Co. | 79,055 | 1,721,818 | ||||||
Edgewell Personal Care Co. (1) | 1,281 | 93,500 | ||||||
elf Beauty, Inc. (1) | 941 | 27,232 | ||||||
Energizer Holdings, Inc. | 908 | 40,506 | ||||||
Flowers Foods, Inc. | 253,994 | 5,072,260 | ||||||
Fresh Del Monte Produce, Inc. | 4,963 | 300,907 | ||||||
Hormel Foods Corp. | 746 | 25,968 | ||||||
Ingles Markets, Inc. | 2,287 | 110,005 | ||||||
Ingredion, Inc. | 458 | 57,232 | ||||||
Inter Parfums, Inc. | 1,563 | 51,188 | ||||||
J & J Snack Foods Corp. | 39,170 | 5,226,453 | ||||||
John B. Sanfilippo & Son, Inc. | 975 | 68,630 | ||||||
Kellogg Co. | 418 | 30,811 | ||||||
Kroger Co. | 47,500 | 1,639,225 | ||||||
Lamb Weston Holdings, Inc. (1) | 670 | 25,359 | ||||||
Lancaster Colony Corp. | 24,840 | 3,512,128 | ||||||
Landec Corp. (1) | 3,425 | 47,265 | ||||||
Mead Johnson Nutrition Co. | 2,593 | 183,481 |
Shares | Value | |||||||
Molson Coors Brewing Co. | 3,726 | 362,577 | ||||||
Natural Grocers by Vitamin Cottage, Inc. (1) | 1,404 | 16,694 | ||||||
Nature’s Sunshine Products, Inc. | 1,409 | 21,135 | ||||||
Nu Skin Enterprises, Inc. | 855 | 40,852 | ||||||
Nutraceutical International Corp. | 1,383 | 48,336 | ||||||
Oil-Dri Corp. of America | 746 | 28,505 | ||||||
Omega Protein Corp. (1) | 3,392 | 84,970 | ||||||
Pilgrim’s Pride Corp. | 63,416 | 1,204,270 | ||||||
Pinnacle Foods, Inc. | 2,497 | 133,465 | ||||||
Post Holdings, Inc. (1) | 584 | 46,948 | ||||||
Revlon, Inc. (1) | 1,438 | 41,918 | ||||||
Sanderson Farms, Inc. | 18,472 | 1,740,801 | ||||||
Seaboard Corp. (1) | 43 | 169,936 | ||||||
Seneca Foods Corp. (1) | 1,096 | 43,895 | ||||||
Smart & Final Stores, Inc. (1) | 1,164 | 16,412 | ||||||
Snyder’s-Lance, Inc. | 13,075 | 501,295 | ||||||
SpartanNash Co. | 5,998 | 237,161 | ||||||
SUPERVALU, Inc. (1) | 43,937 | 205,186 | ||||||
Synutra International, Inc. (1) | 2,540 | 13,589 | ||||||
The Andersons, Inc. | 4,353 | 194,579 | ||||||
The Chefs’ Warehouse, Inc. (1) | 274 | 4,329 | ||||||
The Hain Celestial Group, Inc. (1) | 548 | 21,388 | ||||||
The J. M. Smucker Co. | 2,516 | 322,199 | ||||||
TreeHouse Foods, Inc. (1) | 824 | 59,485 | ||||||
Turning Point Brands, Inc. (1) | 451 | 5,525 | ||||||
Tyson Foods, Inc. | 3,361 | 207,306 | ||||||
United Natural Foods, Inc. (1) | 36,589 | 1,746,027 | ||||||
Universal Corp. | 3,691 | 235,301 | ||||||
Vector Group Ltd | 8,575 | 194,995 | ||||||
Village Super Market, Inc. | 1,111 | 34,330 | ||||||
Weis Markets, Inc. | 1,552 | 103,736 | ||||||
Whole Foods Market, Inc. | 5,736 | 176,439 | ||||||
|
| |||||||
42,003,025 | ||||||||
|
| |||||||
Energy – 7.05% | ||||||||
Abraxas Petroleum Corp. (1) | 11,086 | 28,491 | ||||||
Adams Resources & Energy, Inc. | 299 | 11,855 | ||||||
Alon USA Energy, Inc. | 5,117 | 58,231 |
Shares | Value | |||||||
Anadarko Petroleum Corp. | 46,946 | 3,273,545 | ||||||
Antero Resources Corp. (1) | 3,837 | 90,745 | ||||||
Archrock, Inc. | 11,385 | 150,282 | ||||||
Ardmore Shipping Corp. | 4,716 | 34,898 | ||||||
Atwood Oceanics, Inc. | 10,146 | 133,217 | ||||||
Baker Hughes, Inc. | 88,495 | 5,749,520 | ||||||
Bill Barrett Corp. (1) | 8,219 | 57,451 | ||||||
Bristow Group, Inc. | 5,607 | 114,831 | ||||||
Cabot Oil & Gas Corp. | 2,872 | 67,090 | ||||||
California Resources Corp. (1) | 5,119 | 108,984 | ||||||
Callon Petroleum Co. (1) | 359,470 | 5,525,054 | ||||||
CARBO Ceramics, Inc. (1) | 3,615 | 37,813 | ||||||
Carrizo Oil & Gas, Inc. (1) | 176,620 | 6,596,757 | ||||||
Cheniere Energy, Inc. (1) | 4,293 | 177,859 | ||||||
Chesapeake Energy Corp. (1) | 12,014 | 84,338 | ||||||
Cimarex Energy Co. | 14,692 | 1,996,643 | ||||||
Clayton Williams Energy, Inc. (1) | 966 | 115,205 | ||||||
Clean Energy Fuels Corp. (1) | 14,331 | 40,987 | ||||||
Cobalt International Energy, Inc. (1) | 67,916 | 82,858 | ||||||
Concho Resources, Inc. (1) | 3,039 | 402,971 | ||||||
CONSOL Energy, Inc. | 4,852 | 88,452 | ||||||
Contango Oil & Gas Company (1) | 3,520 | 32,877 | ||||||
Continental Resources, Inc. (1) | 180,040 | 9,279,262 | ||||||
CVR Energy, Inc. | 2,496 | 63,373 | ||||||
Dawson Geophysical Co. (1) | 3,032 | 24,377 | ||||||
Delek US Holdings, Inc. | 10,151 | 244,335 | ||||||
Denbury Resources, Inc. (1) | 57,777 | 212,619 | ||||||
Devon Energy Corp. | 10,322 | 471,406 | ||||||
DHT Holdings, Inc. | 15,620 | 64,667 | ||||||
Diamond Offshore Drilling, Inc. (1) | 1,360 | 24,072 | ||||||
Diamondback Energy, Inc. (1) | 86,400 | 8,731,584 | ||||||
Dorian LPG Ltd (1) | 3,841 | 31,535 | ||||||
Dril-Quip, Inc. (1) | 814 | 48,881 | ||||||
Earthstone Energy, Inc. (1) | 404 | 5,551 | ||||||
Eclipse Resources Corp. (1) | 8,975 | 23,963 | ||||||
Energen Corp. (1) | 168,043 | 9,691,040 | ||||||
Ensco Plc | 6,492 | 63,102 |
Shares | Value | |||||||
EP Energy Corp. (1) | 6,095 | 39,922 | ||||||
EQT Corp. | 91,386 | 5,976,644 | ||||||
Era Group, Inc. (1) | 3,215 | 54,559 | ||||||
Erin Energy Corp. (1) | 3,030 | 9,241 | ||||||
EXCO Resources, Inc. (1) | 22,533 | 19,687 | ||||||
Exterran Corp. (1) | 5,094 | 121,747 | ||||||
Extraction Oil & Gas, Inc. (1) | 689 | 13,808 | ||||||
Fairmount Santrol Holdings, Inc. (1) | 14,776 | 174,209 | ||||||
FMC Technologies, Inc. (1) | 4,875 | 173,209 | ||||||
Forum Energy Technologies, Inc. (1) | 222,345 | 4,891,590 | ||||||
Franks International | 696 | 8,568 | ||||||
Frontline Ltd/Bermuda | 10,824 | 76,959 | ||||||
GasLog Ltd | 6,758 | 108,804 | ||||||
Gener8 Maritime, Inc. (1) | 6,409 | 28,712 | ||||||
Geospace Technologies Corp. (1) | 2,074 | 42,227 | ||||||
Golar LNG Ltd | 15,591 | 357,658 | ||||||
Green Plains, Inc. | 5,952 | 165,763 | ||||||
Gulfport Energy Corp. (1) | 99,526 | 2,153,743 | ||||||
Helix Energy Solutions Group, Inc. (1) | 18,305 | 161,450 | ||||||
Helmerich & Payne, Inc. | 2,105 | 162,927 | ||||||
Hess Corp. | 6,095 | 379,658 | ||||||
HollyFrontier Corp. | 3,514 | 115,119 | ||||||
Hornbeck Offshore Services, Inc. (1) | 5,173 | 37,349 | ||||||
Independence Contract Drilling, Inc. (1) | 4,487 | 30,063 | ||||||
International Seaways, Inc. (1) | 2,485 | 34,886 | ||||||
Jones Energy, Inc. (1) | 9,641 | 48,205 | ||||||
Kosmos Energy Ltd (1) | 3,225 | 22,607 | ||||||
Laredo Petroleum, Inc. (1) | 3,064 | 43,325 | ||||||
Mammoth Energy Services, Inc. (1) | 1,193 | 18,134 | ||||||
Marathon Oil Corp. | 411,518 | 7,123,377 | ||||||
Marathon Petroleum Corp. | 178,498 | 8,987,374 | ||||||
Matador Resources Co. (1) | 223,470 | 5,756,587 | ||||||
Matrix Service Co. (1) | 67,948 | 1,542,420 | ||||||
McDermott International, Inc. (1) | 392,044 | 2,897,205 | ||||||
Murphy Oil Corp. | 89,202 | 2,776,858 | ||||||
Nabors Industries Ltd | 5,924 | 97,154 | ||||||
National Oilwell Varco, Inc. | 8,193 | 306,746 |
Shares | Value | |||||||
Natural Gas Services Group, Inc. (1) | 1,965 | 63,175 | ||||||
Navios Maritime Acquisition Corp. | 14,263 | 24,247 | ||||||
Newfield Exploration Co. (1) | 148,424 | 6,011,172 | ||||||
Newpark Resources, Inc. (1) | 13,546 | 101,595 | ||||||
Noble Corp. Plc | 5,294 | 31,340 | ||||||
Noble Energy, Inc. | 9,174 | 349,162 | ||||||
Nordic American Tankers Ltd | 16,018 | 134,551 | ||||||
Northern Oil & Gas, Inc. (1) | 7,465 | 20,529 | ||||||
Oasis Petroleum, Inc. (1) | 37,966 | 574,805 | ||||||
Oceaneering International, Inc. | 2,131 | 60,116 | ||||||
Oil States International, Inc. (1) | 8,284 | 323,076 | ||||||
Overseas Shipholding Group, Inc. | 6,342 | 24,290 | ||||||
Pacific Ethanol, Inc. (1) | 4,741 | 45,039 | ||||||
Panhandle Oil and Gas, Inc. | 1,165 | 27,436 | ||||||
Par Petroleum Corp. (1) | 3,242 | 47,139 | ||||||
Parker Drilling Co. (1) | 20,000 | 52,000 | ||||||
Parsley Energy, Inc. (1) | 281,654 | 9,925,487 | ||||||
Patterson-UTI Energy, Inc. | 3,123 | 84,071 | ||||||
PBF Energy, Inc. | 2,130 | 59,384 | ||||||
PDC Energy, Inc. (1) | 9,146 | 663,817 | ||||||
PHI, Inc. (1) | 1,795 | 32,346 | ||||||
Pioneer Energy Services Corp. (1) | 12,039 | 82,467 | ||||||
QEP Resources, Inc. (1) | 569,491 | 10,484,329 | ||||||
Range Resources Corp. | 113,810 | 3,910,512 | ||||||
Renewable Energy Group, Inc. (1) | 5,935 | 57,569 | ||||||
REX American Resources Corp. (1) | 911 | 89,961 | ||||||
Rice Energy, Inc. (1) | 76,014 | 1,622,899 | ||||||
RigNet, Inc. (1) | 1,917 | 44,379 | ||||||
Ring Energy, Inc. (1) | 6,788 | 88,176 | ||||||
Rowan Companies Plc (1) | 2,686 | 50,739 | ||||||
RPC, Inc. | 1,272 | 25,198 | ||||||
RSP Permian, Inc. (1) | 167,856 | 7,489,735 | ||||||
Sanchez Energy Corp. (1) | 5,978 | 53,981 | ||||||
Scorpio Tankers, Inc. | 27,127 | 122,885 | ||||||
SEACOR Holdings, Inc. (1) | 2,609 | 185,970 | ||||||
Seadrill Ltd (1) | 62,464 | 213,002 | ||||||
SemGroup Corp. | 10,768 | 449,564 |
Shares | Value | |||||||
Ship Finance International Ltd | 9,692 | 143,926 | ||||||
SM Energy Co. | 2,076 | 71,580 | ||||||
Smart Sand, Inc. (1) | 1,798 | 29,757 | ||||||
Superior Energy Services, Inc. | 3,274 | 55,265 | ||||||
Synergy Resources Corp. (1) | 27,007 | 240,632 | ||||||
Targa Resources Corp. | 3,575 | 200,450 | ||||||
Teekay Corp. | 8,282 | 66,504 | ||||||
Teekay Tankers Ltd | 19,034 | 43,017 | ||||||
Tesco Corp. (1) | 7,498 | 61,858 | ||||||
Tesoro Corp. | 70,734 | 6,185,688 | ||||||
TETRA Technologies, Inc. (1) | 5,136 | 25,783 | ||||||
The Williams Companies, Inc. | 12,467 | 388,222 | ||||||
Tidewater, Inc. (1) | 7,430 | 25,336 | ||||||
Transocean Ltd (1) | 79,476 | 1,171,476 | ||||||
Unit Corp. (1) | 8,293 | 222,833 | ||||||
Valero Energy Corp. | 62,600 | 4,276,832 | ||||||
W&T Offshore, Inc. (1) | 5,205 | 14,418 | ||||||
Weatherford International Plc (1) | 21,165 | 105,613 | ||||||
Western Refining, Inc. | 13,133 | 497,084 | ||||||
Westmoreland Coal Co. (1) | 3,153 | 55,714 | ||||||
Whiting Petroleum Corp. (1) | 4,334 | 52,095 | ||||||
Willbros Group, Inc. (1) | 6,408 | 20,762 | ||||||
World Fuel Services Corp. | 1,499 | 68,819 | ||||||
WPX Energy, Inc. (1) | 579,204 | 8,439,002 | ||||||
|
| |||||||
165,088,024 | ||||||||
|
| |||||||
Financials – 22.94% | ||||||||
1st Source Corp. | 2,500 | 111,650 | ||||||
Access National Corp. | 1,316 | 36,532 | ||||||
ACNB Corp. | 1,071 | 33,469 | ||||||
Affiliated Managers Group, Inc. (1) | 145 | 21,068 | ||||||
AG Mortgage Investment Trust, Inc. | 4,492 | 76,858 | ||||||
AGNC Investment Corp. | 7,074 | 128,252 | ||||||
Alleghany Corp. (1) | 17,937 | 10,907,848 | ||||||
Allegiance Bancshares, Inc. (1) | 1,658 | 59,937 | ||||||
Allied World Assurance Co. Holdings AG | 149,273 | 8,017,453 | ||||||
Allstate Corp. | 114,987 | 8,522,836 | ||||||
Ally Financial, Inc. | 9,606 | 182,706 |
Shares | Value | |||||||
Altisource Residential Corp. | 8,648 | 95,474 | ||||||
Ambac Financial Group, Inc. (1) | 4,701 | 105,772 | ||||||
American Equity Investment Life Holding Co. | 13,137 | 296,108 | ||||||
American Financial Group, Inc. | 27,350 | 2,410,082 | ||||||
American National Bankshares, Inc. | 1,439 | 50,077 | ||||||
American National Insurance Co. | 148 | 18,442 | ||||||
Ameriprise Financial, Inc. | 38,261 | 4,244,675 | ||||||
Ameris Bancorp | 1,429 | 62,304 | ||||||
AMERISAFE, Inc. | 817 | 50,940 | ||||||
Ames National Corp. | 1,501 | 49,533 | ||||||
AmTrust Financial Services, Inc. | 1,767 | 48,380 | ||||||
Annaly Capital Management, Inc. | 267,844 | 2,670,405 | ||||||
Anworth Mortgage Asset Corp. | 15,222 | 78,698 | ||||||
Aon Plc | 90,218 | 10,062,014 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 12,224 | 203,163 | ||||||
Arch Capital Group Ltd (1) | 2,429 | 209,598 | ||||||
Ares Capital Corp. | 733,700 | 12,098,713 | ||||||
Ares Commercial Real Estate Corp. | 4,441 | 60,975 | ||||||
Argo Group International Holdings Ltd | 4,780 | 315,002 | ||||||
Arlington Asset Investment Corp. | 925 | 13,708 | ||||||
ARMOUR Residential REIT, Inc. | 6,127 | 132,895 | ||||||
Arrow Financial Corp. | 1,852 | 75,006 | ||||||
Arthur J. Gallagher & Co. | 232,489 | 12,080,128 | ||||||
Aspen Insurance Holdings Ltd | 3,383 | 186,065 | ||||||
Associated Banc Corp. | 3,235 | 79,904 | ||||||
Associated Capital Group, Inc. | 761 | 24,999 | ||||||
Assurant, Inc. | 1,211 | 112,453 | ||||||
Assured Guaranty Ltd | 76,462 | 2,887,970 | ||||||
Astoria Financial Corp. | 15,216 | 283,778 | ||||||
Atlantic Capital Bancshares, Inc. (1) | 2,245 | 42,655 | ||||||
Atlas Financial Holdings, Inc. (1) | 1,018 | 18,375 | ||||||
Axis Capital Holdings Ltd | 1,936 | 126,363 | ||||||
B. Riley Financial, Inc. | 1,360 | 25,092 | ||||||
Baldwin & Lyons, Inc. | 1,531 | 38,581 | ||||||
Banc of California, Inc. | 2,281 | 39,575 | ||||||
BancFirst Corp. | 1,284 | 119,476 | ||||||
Banco Latinoamericano De Comerico | 42,894 | 1,262,799 |
Shares | Value | |||||||
BancorpSouth, Inc. | 432,403 | 13,426,113 | ||||||
Bank Mutual Corp. | 6,573 | 62,115 | ||||||
Bank of Hawaii Corp. | 941 | 83,457 | ||||||
Bank of Marin Bancorp | 1,027 | 71,633 | ||||||
Bank of NT Butterfield & Son Ltd/The | 1,853 | 58,258 | ||||||
BankFinancial Corp. | 2,337 | 34,634 | ||||||
BankUnited, Inc. | 214,340 | 8,078,475 | ||||||
Bankwell Financial Group, Inc. | 738 | 23,985 | ||||||
Banner Corp. | 4,906 | 273,804 | ||||||
Bar Harbor Bankshares | 986 | 46,667 | ||||||
BB&T Corp. | 45,077 | 2,119,521 | ||||||
Bear State Financial, Inc. | 2,803 | 28,450 | ||||||
Beneficial Bancorp, Inc. | 11,640 | 214,176 | ||||||
Berkshire Hills Bancorp, Inc. | 5,532 | 203,854 | ||||||
Blue Capital Reinsurance Holdings Ltd | 1,272 | 23,468 | ||||||
Blue Hills Bancorp, Inc. | 3,573 | 66,994 | ||||||
BNC Bancorp | 5,964 | 190,252 | ||||||
Bofi Holding, Inc. (1) | 630 | 17,986 | ||||||
BOK Financial Corp. | 571 | 47,416 | ||||||
Boston Private Financial Holdings, Inc. | 13,352 | 220,976 | ||||||
Bridge Bancorp, Inc. | 3,090 | 117,111 | ||||||
Brookline Bancorp, Inc. | 11,383 | 186,681 | ||||||
Brown & Brown, Inc. | 2,361 | 105,914 | ||||||
Bryn Mawr Bank Corp. | 2,691 | 113,426 | ||||||
BSB Bancorp, Inc. (1) | 1,397 | 40,443 | ||||||
C&F Financial Corp. | 477 | 23,778 | ||||||
Calamos Asset Management, Inc. | 2,679 | 22,905 | ||||||
California First National Bancorp | 290 | 4,538 | ||||||
Camden National Corp. | 2,484 | 110,414 | ||||||
Capital Bank Financial Corp. | 98,700 | 3,873,975 | ||||||
Capital City Bank Group, Inc. | 1,749 | 35,820 | ||||||
Capitol Federal Financial, Inc. | 20,913 | 344,228 | ||||||
Capstead Mortgage Corp. | 16,136 | 164,426 | ||||||
Cardinal Financial Corp. | 4,836 | 158,572 | ||||||
Carolina Financial Corp. | 1,673 | 51,512 | ||||||
Cascade Bancorp (1) | 5,266 | 42,760 | ||||||
Cathay General Bancorp | 12,076 | 459,250 |
Shares | Value | |||||||
CenterState Banks, Inc. | 7,687 | 193,482 | ||||||
Central Pacific Financial Corp. | 5,067 | 159,205 | ||||||
Central Valley Community Bancorp | 1,268 | 25,309 | ||||||
Century Bancorp, Inc. | 516 | 30,960 | ||||||
Charles Schwab Corp. | 41,791 | 1,649,491 | ||||||
Charter Financial Corp. | 2,202 | 36,707 | ||||||
Chemical Financial Corp. | 185,376 | 10,041,818 | ||||||
Chemung Financial Corp. | 441 | 16,030 | ||||||
Chimera Investment Corp. | 3,894 | 66,276 | ||||||
Cincinnati Financial Corp. | 3,251 | 246,263 | ||||||
CIT Group, Inc. | 30,700 | 1,310,276 | ||||||
Citizens & Northern Corp. | 1,849 | 48,444 | ||||||
Citizens Financial Group, Inc. | 6,770 | 241,215 | ||||||
Citizens, Inc. (1) | 7,897 | 77,549 | ||||||
City Holding Company | 2,454 | 165,890 | ||||||
Clifton Bancorp, Inc. | 3,441 | 58,222 | ||||||
CNA Financial Corp. | 539 | 22,368 | ||||||
CNB Financial Corporation, Inc. | 2,317 | 61,957 | ||||||
CNO Financial Group, Inc. | 29,250 | 560,137 | ||||||
CoBiz Financial, Inc. | 5,516 | 93,165 | ||||||
Codorus Valley Bancorp, Inc. | 1,412 | 40,372 | ||||||
Colony Capital, Inc. | 18,610 | 376,852 | ||||||
Columbia Banking System, Inc. | 9,430 | 421,332 | ||||||
Comerica, Inc. | 3,757 | 255,889 | ||||||
Commerce Bancshares, Inc. | 1,882 | 108,772 | ||||||
Community Bank System, Inc. | 6,980 | 431,294 | ||||||
Community Trust Bancorp, Inc. | 2,432 | 120,627 | ||||||
ConnectOne Bancorp, Inc. | 4,590 | 119,110 | ||||||
County Bancorp, Inc. | 190 | 5,124 | ||||||
Cowen Group, Inc. (1) | 4,030 | 62,465 | ||||||
CU Bancorp (1) | 2,263 | 81,015 | ||||||
Cullen/Frost Bankers, Inc. | 1,150 | 101,465 | ||||||
Customers Bancorp, Inc. (1) | 2,467 | 88,368 | ||||||
CVB Financial Corp. | 373,031 | 8,553,601 | ||||||
CYS Investments, Inc. | 25,581 | 197,741 | ||||||
Dime Community Bancshares, Inc. | 5,273 | 105,987 | ||||||
Discover Financial Services | 258,016 | 18,600,373 |
Shares | Value | |||||||
Donegal Group, Inc. | 1,735 | 30,328 | ||||||
Donnelley Financial Solutions, Inc. (1) | 161 | 3,700 | ||||||
Dynex Capital, Inc. | 7,101 | 48,429 | ||||||
E*TRADE Financial Corp. (1) | 6,036 | 209,147 | ||||||
Eagle Bancorp, Inc. (1) | 1,054 | 64,241 | ||||||
East West Bancorp, Inc. | 155,113 | 7,884,394 | ||||||
EMC Insurance Group, Inc. | 1,452 | 43,575 | ||||||
Employers Holdings, Inc. | 5,126 | 202,990 | ||||||
Encore Capital Group, Inc. (1) | 3,873 | 110,961 | ||||||
Endurance Specialty Holdings Ltd | 1,357 | 125,387 | ||||||
Enova International, Inc. (1) | 4,352 | 54,618 | ||||||
Enstar Group Ltd (1) | 40,266 | 7,960,588 | ||||||
Enterprise Bancorp, Inc. | 1,513 | 56,828 | ||||||
Enterprise Financial Services Corp. | 3,156 | 135,708 | ||||||
Equity Bancshares, Inc. (1) | 799 | 26,878 | ||||||
Erie Indemnity Co. | 172 | 19,341 | ||||||
ESSA Bancorp, Inc. | 1,265 | 19,886 | ||||||
EverBank Financial Corp. | 16,888 | 328,472 | ||||||
Everest Re Group Ltd | 7,388 | 1,598,763 | ||||||
EZCORP, Inc. (1) | 8,236 | 87,713 | ||||||
F.N.B. Corp. | 34,542 | 553,708 | ||||||
Farmers Capital Bank Corp. | 1,191 | 50,082 | ||||||
Farmers National Banc Corp. | 4,110 | 58,362 | ||||||
FB Financial Corp. (1) | 1,009 | 26,184 | ||||||
FBL Financial Group, Inc. | 1,765 | 137,935 | ||||||
FBR & Co. | 1,008 | 13,104 | ||||||
FCB Financial Holdings, Inc. (1) | 165,666 | 7,902,268 | ||||||
Federal Agricultural Mortgage Corp. | 1,487 | 85,160 | ||||||
Federated National Holding Co. | 2,121 | 39,641 | ||||||
FERROGLOBE REPRESENTATION – GDR (1)(4) | 11,189 | — | ||||||
Fidelity & Guaranty Life | 2,248 | 53,278 | ||||||
Fidelity National Financial Ventures Group (1) | 10,841 | 148,522 | ||||||
Fidelity Southern Corp. | 3,357 | 79,460 | ||||||
Fifth Third Bancorp | 602,622 | 16,252,715 | ||||||
Financial Institutions, Inc. | 2,383 | 81,499 | ||||||
First American Financial Corp. | 285,825 | 10,469,770 | ||||||
First Bancorp NC | 3,174 | 86,142 |
Shares | Value | |||||||
First Bancorp PR (1) | 19,745 | 130,514 | ||||||
First Bancorp, Inc. | 1,715 | 56,767 | ||||||
First Busey Corp. | 5,077 | 156,270 | ||||||
First Business Financial Services, Inc. | 1,211 | 28,725 | ||||||
First Citizens Bancshares, Inc. | 1,237 | 439,135 | ||||||
First Commonwealth Financial Corp. | 14,715 | 208,659 | ||||||
First Community Bancshares, Inc. | 2,629 | 79,238 | ||||||
First Community Financial Partners, Inc. (1) | 2,061 | 24,114 | ||||||
First Connecticut Bancorp, Inc. | 1,805 | 40,883 | ||||||
First Defiance Financial Corp. | 1,447 | 73,421 | ||||||
First Financial Bancorp | 9,954 | 283,191 | ||||||
First Financial Bankshares, Inc. | 3,926 | 177,455 | ||||||
First Financial Corp. | 1,580 | 83,424 | ||||||
First Financial Northwest, Inc. | 1,324 | 26,136 | ||||||
First Foundation, Inc. (1) | 1,544 | 44,004 | ||||||
First Hawaiian, Inc. | 490 | 17,062 | ||||||
First Horizon National Corp. | 5,011 | 100,270 | ||||||
First Internet Bancorp | 790 | 25,280 | ||||||
First Interstate BancSystem, Inc. | 3,178 | 135,224 | ||||||
First Merchants Corp. | 6,617 | 249,130 | ||||||
First Mid-Illinois Bancshares, Inc. | 1,243 | 42,262 | ||||||
First Midwest Bancorp, Inc. | 13,103 | 330,589 | ||||||
First NBC Bank Holding Co. (1) | 2,476 | 18,075 | ||||||
First Northwest Bancorp (1) | 1,764 | 27,518 | ||||||
First of Long Island Corp. | 3,443 | 98,283 | ||||||
First Republic Bank | 628 | 57,864 | ||||||
FirstCash, Inc. | 3,296 | 154,912 | ||||||
Flagstar Bancorp, Inc. (1) | 3,533 | 95,179 | ||||||
Flushing Financial Corp. | 4,608 | 135,429 | ||||||
FNF Group | 5,681 | 192,927 | ||||||
Franklin Financial Network, Inc. (1) | 1,509 | 63,152 | ||||||
Fulton Financial Corp. | 27,963 | 525,704 | ||||||
GAIN Capital Holdings, Inc. | 5,408 | 35,585 | ||||||
GAMCO Investors, Inc. | 648 | 20,017 | ||||||
Genworth Financial, Inc. (1) | 74,941 | 285,525 | ||||||
German American Bancorp, Inc. | 2,306 | 121,319 | ||||||
Glacier Bancorp, Inc. | 12,380 | 448,527 |
Shares | Value | |||||||
Global Indemnity Ltd (1) | 1,488 | 56,856 | ||||||
Great Ajax Corp. | 2,616 | 34,714 | ||||||
Great Southern Bancorp, Inc. | 1,724 | 94,217 | ||||||
Great Western Bancorp, Inc. | 9,587 | 417,897 | ||||||
Green Bancorp, Inc. (1) | 3,253 | 49,446 | ||||||
Green Dot Corp. (1) | 5,842 | 137,579 | ||||||
Greene County Bancorp, Inc. | 301 | 6,893 | ||||||
Greenhill & Co, Inc. | 1,403 | 38,863 | ||||||
Greenlight Capital Re Ltd (1) | 5,003 | 114,068 | ||||||
Guaranty Bancorp | 2,968 | 71,826 | ||||||
Hallmark Financial Services, Inc. (1) | 2,471 | 28,738 | ||||||
Hancock Holding Co. | 12,637 | 544,655 | ||||||
Hanmi Financial Corp. | 5,191 | 181,166 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 7,436 | 141,210 | ||||||
Hanover Insurance Group, Inc. | 904 | 82,273 | ||||||
HarborOne Bancorp, Inc. (1) | 2,284 | 44,173 | ||||||
Harford Financial Services Group, Inc. | 200,409 | 9,549,489 | ||||||
HCI Group, Inc. | 1,582 | 62,457 | ||||||
Heartland Financial USA, Inc. | 3,868 | 185,664 | ||||||
Heritage Commerce Corp. | 3,793 | 54,733 | ||||||
Heritage Financial Corp. | 4,771 | 122,853 | ||||||
Heritage Insurance Holdings, Inc. | 4,703 | 73,696 | ||||||
Heritage Oaks Bancorp | 3,772 | 46,509 | ||||||
Hilltop Holdings, Inc. | 12,299 | 366,510 | ||||||
Hingham Institution for Savings | 128 | 25,188 | ||||||
Home Bancorp, Inc. | 728 | 28,108 | ||||||
HomeStreet, Inc. (1) | 3,889 | 122,892 | ||||||
HomeTrust Bancshares, Inc. (1) | 2,689 | 69,645 | ||||||
Hope Bancorp, Inc. | 20,852 | 456,450 | ||||||
Horace Mann Educators Corp. | 195,396 | 8,362,949 | ||||||
Horizon Bancorp | 3,238 | 90,664 | ||||||
Huntington Bancshares, Inc. | 741,355 | 9,800,713 | ||||||
IBERIABANK Corp. | 130,644 | 10,941,435 | ||||||
Impac Mortgage Holdings, Inc. (1) | 1,716 | 24,058 | ||||||
Independence Holding Co. | 1,583 | 30,948 | ||||||
Independent Bank Corp. | 141,817 | 9,991,008 | ||||||
Independent Bank Corp. MI | 3,424 | 74,301 |
Shares | Value | |||||||
Independent Bank Group, Inc. | 1,792 | 111,821 | ||||||
Infinity Property & Casualty Corp. | 1,814 | 159,451 | ||||||
Interactive Brokers Group, Inc. | 1,217 | 44,433 | ||||||
International Bancshares Corp. | 8,882 | 362,386 | ||||||
INTL FCStone, Inc. (1) | 2,520 | 99,792 | ||||||
Invesco Ltd | 7,446 | 225,912 | ||||||
Invesco Mortgage Capital, Inc. | 18,718 | 273,283 | ||||||
Investment Technology Group, Inc. | 4,254 | 83,974 | ||||||
Investors Bancorp, Inc. | 1,120,631 | 15,632,802 | ||||||
Investors Title Co. | 274 | 43,341 | ||||||
James River Group Holdings Ltd | 2,395 | 99,512 | ||||||
Janus Capital Group, Inc. | 23,650 | 313,836 | ||||||
KCG Holdings, Inc. (1) | 8,685 | 115,076 | ||||||
Kearny Financial Corp. | 14,150 | 220,033 | ||||||
Kemper Corp. | 6,584 | 291,671 | ||||||
KeyCorp | 230,580 | 4,212,697 | ||||||
Kinsale Capital Group, Inc. | 1,003 | 34,112 | ||||||
Ladder Capital Corp. | 6,812 | 93,461 | ||||||
Ladenburg Thalmann Financial Services, Inc. (1) | 15,380 | 37,527 | ||||||
Lake Sunapee Bank Group | 1,187 | 28,001 | ||||||
Lakeland Bancorp, Inc. | 6,402 | 124,839 | ||||||
Lakeland Financial Corp. | 3,941 | 186,646 | ||||||
Lazard Ltd | 2,356 | 96,808 | ||||||
LCNB Corp. | 1,370 | 31,853 | ||||||
LegacyTexas Financial Group, Inc. | 7,298 | 314,252 | ||||||
Legg Mason, Inc. | 36,042 | 1,078,016 | ||||||
LendingClub Corp. (1) | 30,178 | 158,435 | ||||||
Leucadia National Corp. | 7,176 | 166,842 | ||||||
Lincoln National Corp. | 55,998 | 3,710,987 | ||||||
Loews Corp. | 133,975 | 6,274,049 | ||||||
LPL Financial Holdings, Inc. | 1,602 | 56,406 | ||||||
M&T Bank Corp. | 3,245 | 507,615 | ||||||
Macatawa Bank Corp. | 4,228 | 44,013 | ||||||
Maiden Holdings Ltd | 8,328 | 145,324 | ||||||
MainSource Financial Group, Inc. | 3,806 | 130,926 | ||||||
Manning & Napier, Inc. | 2,607 | 19,683 | ||||||
Markel Corp. (1) | 294 | 265,923 |
Shares | Value | |||||||
Marlin Business Services Corp. | 1,316 | 27,504 | ||||||
Marsh & McLennan Companies, Inc. | 88,780 | 6,000,640 | ||||||
MB Financial, Inc. | 12,344 | 583,007 | ||||||
MBIA, Inc. (1) | 21,795 | 233,207 | ||||||
MBT Financial Corp. | 2,906 | 32,983 | ||||||
Medley Management, Inc. | 598 | 5,920 | ||||||
Mercantile Bank Corp. | 2,642 | 99,603 | ||||||
Merchants Bancshares, Inc. | 909 | 49,268 | ||||||
Mercury General Corp. | 241 | 14,511 | ||||||
Meridian Bancorp, Inc. | 6,772 | 127,991 | ||||||
Meta Financial Group, Inc. | 1,351 | 139,018 | ||||||
MFA Financial, Inc. | 8,051 | 61,429 | ||||||
MGIC Investment Corp. (1) | 162,548 | 1,656,364 | ||||||
Middleburg Financial Corp. | 677 | 23,526 | ||||||
Midland States Bancorp, Inc. | 582 | 21,057 | ||||||
MidWestOne Financial Group, Inc. | 1,260 | 47,376 | ||||||
Moody’s Corp. | 19,020 | 1,793,015 | ||||||
MTGE Investment Corp. | 7,654 | 120,168 | ||||||
MutualFirst Financial, Inc. | 885 | 29,294 | ||||||
Nasdaq OMX Group, Inc. | 88,379 | 5,931,998 | ||||||
National Bankshares, Inc. | 1,199 | 52,097 | ||||||
National Commerce Corp. (1) | 1,416 | 52,604 | ||||||
National General Holdings Corp. | 39,335 | 982,982 | ||||||
National Western Life Group, Inc. – Class A | 415 | 128,982 | ||||||
Nationstar Mortgage Holdings, Inc. (1) | 2,865 | 51,742 | ||||||
Navient Corp. | 401,397 | 6,594,953 | ||||||
Navigators Group, Inc. | 75,904 | 8,937,696 | ||||||
NBT Bancorp, Inc. | 6,865 | 287,506 | ||||||
Nelnet, Inc. | 3,394 | 172,246 | ||||||
New Residential Investment Corp. | 767,300 | 12,061,956 | ||||||
New York Community Bancorp, Inc. | 10,232 | 162,791 | ||||||
New York Mortgage Trust, Inc. | 143,710 | 948,486 | ||||||
NewStar Financial, Inc. (1) | 3,942 | 36,464 | ||||||
Nicolet Bankshares, Inc. (1) | 1,246 | 59,422 | ||||||
NMI Holdings, Inc. (1) | 8,264 | 88,012 | ||||||
Northern Trust Corp. | 4,504 | 401,081 | ||||||
Northfield Bancorp, Inc. | 6,001 | 119,840 |
Shares | Value | |||||||
Northrim BanCorp, Inc. | 1,066 | 33,686 | ||||||
Northwest Bancshares, Inc. | 15,666 | 282,458 | ||||||
OceanFirst Financial Corp. | 4,180 | 125,525 | ||||||
Ocwen Financial Corp. (1) | 16,439 | 88,606 | ||||||
OFG Bancorp | 6,961 | 91,189 | ||||||
Old Line Bancshares, Inc. | 1,438 | 34,483 | ||||||
Old National Bancorp | 21,687 | 393,619 | ||||||
Old Republic International Corp. | 5,135 | 97,565 | ||||||
Old Second Bancorp, Inc. | 4,834 | 53,416 | ||||||
OM Asset Management Plc | 2,229 | 32,321 | ||||||
On Deck Capital, Inc. (1) | 8,208 | 38,003 | ||||||
OneBeacon Insurance Group Ltd | 3,559 | 57,122 | ||||||
OneMain Holdings, Inc. (1) | 1,127 | 24,952 | ||||||
Oppenheimer Holdings, Inc. | 1,696 | 31,546 | ||||||
Opus Bank | 1,008 | 30,290 | ||||||
Orchid Island Capital, Inc. | 3,206 | 34,721 | ||||||
Oritani Financial Corp. | 6,290 | 117,938 | ||||||
Orrstown Financial Services, Inc. | 1,252 | 28,045 | ||||||
Owens Realty Mortgage, Inc. | 1,730 | 32,040 | ||||||
Pacific Continental Corp. | 3,449 | 75,361 | ||||||
Pacific Mercantile Bancorp (1) | 2,860 | 20,878 | ||||||
Pacific Premier Bancorp, Inc. (1) | 2,996 | 105,909 | ||||||
PacWest Bancorp | 161,273 | 8,779,702 | ||||||
Park National Corp. | 2,173 | 260,021 | ||||||
Park Sterling Corp. | 322,250 | 3,477,078 | ||||||
Peapack Gladstone Financial Corp. | 2,637 | 81,431 | ||||||
Penns Woods Bancorp, Inc. | 749 | 37,825 | ||||||
PennyMac Mortgage Investment Trust | 11,084 | 181,445 | ||||||
Peoples Bancorp, Inc. | 2,613 | 84,818 | ||||||
Peoples Financial Services Corp. | 1,069 | 52,060 | ||||||
People’s United Financial, Inc. | 6,740 | 130,486 | ||||||
People’s Utah Bancorp | 2,258 | 60,627 | ||||||
PHH Corp. (1) | 8,610 | 130,528 | ||||||
PICO Holdings, Inc. (1) | 3,343 | 50,646 | ||||||
Pinnacle Financial Partners, Inc. | 6,076 | 421,067 | ||||||
Piper Jaffray Cos. (1) | 2,379 | 172,478 | ||||||
PJT Partners, Inc. | 2,858 | 88,255 |
Shares | Value | |||||||
Popular, Inc. | 2,146 | 94,038 | ||||||
PRA Group, Inc. (1) | 7,505 | 293,446 | ||||||
Preferred Bank Los Angeles | 1,937 | 101,538 | ||||||
Premier Financial Bancorp, Inc. | 1,664 | 33,446 | ||||||
Primerica, Inc. | 29,500 | 2,039,925 | ||||||
Principal Financial Group, Inc. | 36,104 | 2,088,977 | ||||||
PrivateBancorp, Inc. | 12,809 | 694,120 | ||||||
ProAssurance Corp. | 1,131 | 63,562 | ||||||
Prosperity Bancshares, Inc. | 10,912 | 783,263 | ||||||
Provident Bancorp, Inc. (1) | 593 | 10,615 | ||||||
Provident Financial Holdings, Inc. | 978 | 19,775 | ||||||
Provident Financial Services, Inc. | 10,063 | 284,783 | ||||||
Pzena Investment Management, Inc. | 831 | 9,232 | ||||||
QCR Holdings, Inc. | 1,952 | 84,522 | ||||||
Radian Group, Inc. | 35,282 | 634,370 | ||||||
Raymond James Financial, Inc. | 125,383 | 8,685,280 | ||||||
Redwood Trust, Inc. | 12,710 | 193,319 | ||||||
Regional Management Corp. (1) | 1,588 | 41,733 | ||||||
Regions Financial Corp. | 407,984 | 5,858,650 | ||||||
Reinsurance Group of America, Inc. | 187,404 | 23,581,045 | ||||||
RenaissanceRe Holdings Ltd | 837 | 114,016 | ||||||
Renasant Corp. | 6,628 | 279,834 | ||||||
Republic Bancorp, Inc. | 1,634 | 64,608 | ||||||
Republic First Bancorp, Inc. (1) | 8,155 | 68,094 | ||||||
Resource Capital Corp. | 5,269 | 43,891 | ||||||
RLI Corp. | 1,194 | 75,377 | ||||||
S & T Bancorp, Inc. | 5,524 | 215,657 | ||||||
Safeguard Scientifics, Inc. (1) | 3,423 | 46,039 | ||||||
Safety Insurance Group, Inc. | 2,339 | 172,384 | ||||||
Sandy Spring Bancorp, Inc. | 3,808 | 152,282 | ||||||
Santander Consumer USA Holdings, Inc. (1) | 2,221 | 29,984 | ||||||
Seacoast Banking Corp. of Florida (1) | 4,868 | 107,388 | ||||||
SEI Investments Co. | 225,202 | 11,115,971 | ||||||
Selective Insurance Group, Inc. | 8,846 | 380,820 | ||||||
Shore Bancshares, Inc. | 1,854 | 28,274 | ||||||
SI Financial Group, Inc. | 1,700 | 26,180 | ||||||
Sierra Bancorp | 1,869 | 49,697 |
Shares | Value | |||||||
Signature Bank (1) | 470 | 70,594 | ||||||
Simmons First National Corp. | 4,765 | 296,145 | ||||||
SLM Corp. (1) | 383,866 | 4,230,203 | ||||||
South State Corp. | 3,844 | 335,966 | ||||||
Southern First Bancshares, Inc. (1) | 950 | 34,200 | ||||||
Southern Missouri Bancorp, Inc. | 1,064 | 37,644 | ||||||
Southern National Bancorp of Virginia, Inc. | 2,019 | 32,990 | ||||||
Southside Bancshares, Inc. | 4,383 | 165,117 | ||||||
Southwest Bancorp, Inc. | 2,990 | 86,710 | ||||||
Starwood Property Trust, Inc. | 85,740 | 1,881,993 | ||||||
State Auto Financial Corp. | 2,681 | 71,878 | ||||||
State Bank Financial Corp. | 5,752 | 154,499 | ||||||
State National Companies, Inc. | 4,713 | 65,322 | ||||||
State Street Corp. | 56,436 | 4,386,206 | ||||||
Sterling Bancorp | 20,708 | 484,567 | ||||||
Stewart Information Services Corp. | 3,764 | 173,445 | ||||||
Stifel Financial Corp. (1) | 10,536 | 526,273 | ||||||
Stock Yards Bancorp, Inc. | 3,433 | 161,179 | ||||||
Stonegate Bank | 1,963 | 81,916 | ||||||
Suffolk Bancorp | 1,828 | 78,275 | ||||||
Summit Financial Group, Inc. | 1,356 | 37,331 | ||||||
Sun Bancorp, Inc. | 1,779 | 46,254 | ||||||
SunTrust Banks, Inc. | 271,062 | 14,867,751 | ||||||
SVB Financial Group (1) | 296 | 50,811 | ||||||
Synchrony Financial | 375,712 | 13,627,074 | ||||||
Synovus Financial Corp. | 2,703 | 111,039 | ||||||
T. Rowe Price Group, Inc. | 1,251 | 94,150 | ||||||
TCF Financial Corp. | 125,963 | 2,467,615 | ||||||
TD Ameritrade Holding Corp. | 245,095 | 10,686,142 | ||||||
Territorial Bancorp, Inc. | 1,236 | 40,590 | ||||||
Texas Capital Bancshares, Inc. (1) | 73,112 | 5,731,981 | ||||||
TFS Financial Corp. | 1,271 | 24,200 | ||||||
The Bancorp, Inc. (1) | 8,277 | 65,057 | ||||||
The Progressive Corp. | 11,345 | 402,748 | ||||||
Third Point Reinsurance Ltd (1) | 10,338 | 119,404 | ||||||
Tiptree Financial, Inc. | 4,168 | 25,633 | ||||||
Tompkins Financial Corp. | 2,351 | 222,264 |
Shares | Value | |||||||
Torchmark Corp. | 64,477 | 4,755,824 | ||||||
Towne Bank | 9,043 | 300,680 | ||||||
TriCo Bancshares | 3,248 | 111,017 | ||||||
TriState Capital Holdings, Inc. (1) | 3,609 | 79,759 | ||||||
Triumph Bancorp, Inc. (1) | 2,567 | 67,127 | ||||||
TrustCo Bank Corp. | 15,037 | 131,574 | ||||||
Trustmark Corp. | 10,975 | 391,259 | ||||||
Two Harbors Investment Corp. | 7,491 | 65,322 | ||||||
UMB Financial Corp. | 7,330 | 565,290 | ||||||
Umpqua Holdings Corp. | 36,059 | 677,188 | ||||||
Union Bankshares Corp. | 7,096 | 253,611 | ||||||
United Bankshares, Inc. | 10,690 | 494,413 | ||||||
United Community Banks, Inc. | 11,496 | 340,512 | ||||||
United Community Financial Corp. | 7,808 | 69,804 | ||||||
United Financial Bancorp, Inc. | 8,413 | 152,780 | ||||||
United Fire Group, Inc. | 3,450 | 169,637 | ||||||
United Insurance Holdings Corp. | 829 | 12,551 | ||||||
Universal Insurance Holdings, Inc. | 64,469 | 1,830,920 | ||||||
Univest Corp. of Pennsylvania | 4,063 | 125,547 | ||||||
Unum Group | 344,748 | 15,144,780 | ||||||
Validus Holdings Ltd | 1,556 | 85,596 | ||||||
Valley National Bancorp | 40,418 | 470,466 | ||||||
Veritex Holdings, Inc. (1) | 862 | 23,024 | ||||||
Virtu Financial, Inc. | 391 | 6,236 | ||||||
Virtus Investment Partners, Inc. | 722 | 85,232 | ||||||
Voya Financial, Inc. | 56,602 | 2,219,930 | ||||||
W.R. Berkley Corp. | 96,198 | 6,398,129 | ||||||
Waddell & Reed Financial, Inc. | 11,837 | 230,940 | ||||||
Walker & Dunlop, Inc. (1) | 4,635 | 144,612 | ||||||
Walter Investment Management Corp. (1) | 3,155 | 14,986 | ||||||
Washington Federal, Inc. | 14,881 | 511,162 | ||||||
Washington Trust Bancorp, Inc. | 2,401 | 134,576 | ||||||
WashingtonFirst Bankshares, Inc. | 1,367 | 39,632 | ||||||
Waterstone Financial, Inc. | 4,213 | 77,519 | ||||||
Webster Financial Corp. | 14,978 | 813,006 | ||||||
WesBanco, Inc. | 6,542 | 281,699 | ||||||
West Bancorporation, Inc. | 2,547 | 62,911 |
Shares | Value | |||||||
Westamerica Bancorporation | 4,102 | 258,139 | ||||||
Western Alliance Bancorp (1) | 882 | 42,962 | ||||||
Western Asset Mortgage Capital Corp. | 6,718 | 67,650 | ||||||
Western New England Bancorp, Inc. | 3,055 | 28,564 | ||||||
White Mountains Insurance Group Ltd | 87 | 72,736 | ||||||
Wintrust Financial Corp. | 8,386 | 608,572 | ||||||
World Acceptance Corp. (1) | 981 | 63,059 | ||||||
WSFS Financial Corp. | 4,707 | 218,169 | ||||||
Xenith Bankshares, Inc. (1) | 1,067 | 30,087 | ||||||
XL Group Ltd | 124,814 | 4,650,570 | ||||||
Yadkin Financial Corp. | 113,502 | 3,888,579 | ||||||
Zions Bancorp | 49,852 | 2,145,630 | ||||||
|
| |||||||
537,034,200 | ||||||||
|
| |||||||
Healthcare – 7.28% | ||||||||
Acadia Healthcare Co., Inc. (1) | 1,054 | 34,887 | ||||||
Accelerate Diagnostics, Inc. (1) | 260 | 5,395 | ||||||
Aceto Corp. | 515 | 11,315 | ||||||
Acorda Therapeutics, Inc. (1) | 6,207 | 116,692 | ||||||
Adamas Pharmaceuticals, Inc. (1) | 1,312 | 22,173 | ||||||
Addus HomeCare Corp. (1) | 106,477 | 3,732,019 | ||||||
Adverum Biotechnologies, Inc. (1) | 3,628 | 10,521 | ||||||
Agenus, Inc. (1) | 1,803 | 7,428 | ||||||
Agilent Technologies, Inc. | 5,225 | 238,051 | ||||||
Akebia Therapeutics, Inc. (1) | 3,937 | 40,984 | ||||||
Akorn, Inc. (1) | 53,500 | 1,167,905 | ||||||
Albany Molecular Research, Inc. (1) | 2,397 | 44,968 | ||||||
Alere, Inc. (1) | 1,551 | 60,442 | ||||||
Allscripts Healthcare Solutions, Inc. (1) | 4,115 | 42,014 | ||||||
Almost Family, Inc. (1) | 964 | 42,512 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 214 | 8,012 | ||||||
AMAG Pharmaceuticals, Inc. (1) | 43,664 | 1,519,507 | ||||||
American Renal Associates Holdings, Inc. (1) | 217 | 4,618 | ||||||
AMN Healthcare Services, Inc. (1) | 134,550 | 5,173,448 | ||||||
Analogic Corp. | 156,179 | 12,955,048 | ||||||
AngioDynamics, Inc. (1) | 4,421 | 74,582 | ||||||
Anika Therapeutics, Inc. (1) | 460 | 22,522 | ||||||
Aratana Therapeutics, Inc. (1) | 492 | 3,533 |
Shares | Value | |||||||
Ardelyx, Inc. (1) | 4,372 | 62,082 | ||||||
ARIAD Pharmaceuticals, Inc. (1) | 1,760 | 21,894 | ||||||
Array BioPharma, Inc. (1) | 24,898 | 218,853 | ||||||
Arrowhead Pharmaceuticals, Inc. (1) | 656 | 1,017 | ||||||
Atara Biotherapeutics, Inc. (1) | 3,687 | 52,355 | ||||||
AtriCure, Inc. (1) | 1,053 | 20,607 | ||||||
Becton Dickinson and Co. | 29,350 | 4,858,893 | ||||||
Bellicum Pharmaceuticals, Inc. (1) | 1,075 | 14,642 | ||||||
BioCryst Pharmaceuticals, Inc. (1) | 2,370 | 15,002 | ||||||
Bio-Rad Laboratories, Inc. (1) | 452 | 82,391 | ||||||
BioScrip, Inc. (1) | 16,122 | 16,767 | ||||||
Bluebird Bio, Inc. (1) | 4,127 | 254,636 | ||||||
Boston Scientific Corp. (1) | 338,282 | 7,317,040 | ||||||
Brookdale Senior Living, Inc. (1) | 144,156 | 1,790,418 | ||||||
Bruker Corp. | 78,792 | 1,668,815 | ||||||
Capital Senior Living Corp. (1) | 290,171 | 4,657,245 | ||||||
Cara Therapeutics, Inc. (1) | 3,185 | 29,589 | ||||||
Cardinal Health, Inc. | 87,514 | 6,298,383 | ||||||
Catalent, Inc. (1) | 322,425 | 8,692,578 | ||||||
Celldex Therapeutics, Inc. (1) | 16,189 | 57,309 | ||||||
Cellular Biomedicine Group, Inc. (1) | 548 | 7,179 | ||||||
Centene Corp. (1) | 91,134 | 5,149,982 | ||||||
Cerus Corp. (1) | 2,216 | 9,640 | ||||||
Chimerix, Inc. (1) | 7,444 | 34,242 | ||||||
Cidara Therapeutics, Inc. (1) | 2,143 | 22,287 | ||||||
Community Health Systems, Inc. (1) | 18,367 | 102,672 | ||||||
Concert Pharmaceuticals, Inc. (1) | 1,474 | 15,167 | ||||||
CONMED Corp. | 4,461 | 197,042 | ||||||
Corvus Pharmaceuticals, Inc. (1) | 419 | 5,992 | ||||||
Cotiviti Holdings, Inc. (1) | 575 | 19,780 | ||||||
CryoLife, Inc. (1) | 1,780 | 34,087 | ||||||
DaVita, Inc. (1) | 66,228 | 4,251,838 | ||||||
DENTSPLY SIRONA, Inc. | 5,006 | 288,996 | ||||||
Dimension Therapeutics, Inc. (1) | 1,112 | 4,837 | ||||||
Edge Therapeutics, Inc. (1) | 1,507 | 18,838 | ||||||
Egalet Corp. (1) | 2,972 | 22,736 | ||||||
Emergent BioSolutions, Inc. (1) | 37,500 | 1,231,500 |
Shares | Value | |||||||
Enanta Pharmaceuticals, Inc. (1) | 2,570 | 86,095 | ||||||
Endo International Plc (1) | 238,117 | 3,921,787 | ||||||
Endocyte, Inc. (1) | 5,760 | 14,688 | ||||||
Ensign Group, Inc. | 48,200 | 1,070,522 | ||||||
Envision Healthcare Corp. (1) | 169,909 | 10,753,541 | ||||||
Epizyme, Inc. (1) | 1,771 | 21,429 | ||||||
Esperion Therapeutics, Inc. (1) | 2,251 | 28,183 | ||||||
Evolent Health, Inc. (1) | 2,602 | 38,510 | ||||||
Exactech, Inc. (1) | 1,647 | 44,963 | ||||||
Exelixis, Inc. (1) | 14,085 | 210,007 | ||||||
Five Prime Therapeutics, Inc. (1) | 3,364 | 168,570 | ||||||
Flex Pharma, Inc. (1) | 357 | 1,885 | ||||||
Genesis Healthcare, Inc. (1) | 2,674 | 11,365 | ||||||
Haemonetics Corp. (1) | 8,331 | 334,906 | ||||||
Halyard Health, Inc. (1) | 7,635 | 282,342 | ||||||
Healthways, Inc. (1) | 5,222 | 118,801 | ||||||
Hill-Rom Holdings, Inc. | 82 | 4,604 | ||||||
ICON Plc (1) | 20,011 | 1,504,827 | ||||||
ICU Medical, Inc. (1) | 63,066 | 9,292,775 | ||||||
Ignyta, Inc. (1) | 1,585 | 8,401 | ||||||
Immunomedics, Inc. (1) | 853 | 3,131 | ||||||
INC Research Holdings, Inc. (1) | 170,380 | 8,961,988 | ||||||
Innoviva, Inc. (1) | 1,384 | 14,809 | ||||||
Integer Holdings Corp. (1) | 5,126 | 150,961 | ||||||
Invacare Corp. | 5,085 | 66,359 | ||||||
Juno Therapeutics, Inc. (1) | 192 | 3,619 | ||||||
K2M Group Holdings, Inc. (1) | 2,903 | 58,176 | ||||||
Karyopharm Therapeutics, Inc. (1) | 3,187 | 29,958 | ||||||
Kindred Healthcare, Inc. | 169,128 | 1,327,655 | ||||||
Laboratory Corp. of America Holdings (1) | 46,667 | 5,991,109 | ||||||
Lannet, Inc. (1) | 39,085 | 861,824 | ||||||
LHC Group, Inc. (1) | 2,278 | 104,105 | ||||||
LifePoint Health, Inc. (1) | 805 | 45,724 | ||||||
Luminex Corp. (1) | 3,827 | 77,420 | ||||||
Magellan Health, Inc. (1) | 1,139 | 85,710 | ||||||
Mallinckrodt Plc (1) | 32,660 | 1,627,121 | ||||||
Medicines Co. (1) | 948 | 32,175 |
Shares | Value | |||||||
MEDNAX, Inc. (1) | 138,905 | 9,259,407 | ||||||
Medpace Holdings, Inc. (1) | 371 | 13,382 | ||||||
Meridian Bioscience, Inc. | 1,402 | 24,815 | ||||||
Merit Medical Systems, Inc. (1) | 4,390 | 116,335 | ||||||
Merrimack Pharmaceuticals, Inc. (1) | 7,557 | 30,833 | ||||||
Molina Healthcare, Inc. (1) | 2,413 | 130,929 | ||||||
Momenta Pharmaceuticals, Inc. (1) | 8,081 | 121,619 | ||||||
NantKwest, Inc. (1) | 2,224 | 12,721 | ||||||
National HealthCare Corp. | 1,822 | 138,089 | ||||||
National Research Corp. | 397 | 7,543 | ||||||
NewLink Genetics Corp. (1) | 815 | 8,378 | ||||||
Nobilis Health Corp. (1) | 8,110 | 17,031 | ||||||
Omeros Corp. (1) | 2,397 | 23,778 | ||||||
OPKO Health, Inc. (1) | 581 | 5,403 | ||||||
Osiris Therapeutics, Inc. (1) | 877 | 4,306 | ||||||
Otonomy, Inc. (1) | 4,026 | 64,013 | ||||||
OvaScience, Inc. (1) | 4,516 | 6,910 | ||||||
Owens & Minor, Inc. | 8,975 | 316,728 | ||||||
Patheon NV (1) | 302 | 8,670 | ||||||
PDL BioPharma, Inc. | 27,845 | 59,031 | ||||||
PerkinElmer, Inc. | 1,861 | 97,051 | ||||||
Perrigo Co. Plc | 22,006 | 1,831,559 | ||||||
PharMerica Corp. (1) | 36,569 | 919,710 | ||||||
Phibro Animal Health Corp. | 205 | 6,007 | ||||||
Portola Pharmaceuticals, Inc. (1) | 644 | 14,451 | ||||||
Premier, Inc. (1) | 258,376 | 7,844,295 | ||||||
Protagonist Therapeutics, Inc. (1) | 240 | 5,278 | ||||||
PTC Therapeutics, Inc. (1) | 5,598 | 61,074 | ||||||
QIAGEN (1) | 4,937 | 138,335 | ||||||
Quest Diagnostics, Inc. | 34,369 | 3,158,511 | ||||||
Quidel Corp. (1) | 294 | 6,297 | ||||||
Quintiles IMS Holdings, Inc. (1) | 75,445 | 5,737,592 | ||||||
REGENXBIO, Inc. (1) | 3,280 | 60,844 | ||||||
Retrophin, Inc. (1) | 5,868 | 111,081 | ||||||
Rigel Pharmaceuticals, Inc. (1) | 3,030 | 7,211 | ||||||
Rockwell Medical, Inc. (1) | 854 | 5,594 | ||||||
RTI Surgical, Inc. (1) | 9,870 | 32,078 |
Shares | Value | |||||||
Select Medical Holdings Corp. (1) | 16,228 | 215,021 | ||||||
Spectrum Pharmaceuticals, Inc. (1) | 8,852 | 39,214 | ||||||
St. Jude Medical, Inc. | 1,838 | 147,389 | ||||||
Stemline Therapeutics, Inc. (1) | 2,372 | 25,380 | ||||||
Sucampo Pharmaceuticals, Inc. (1) | 84,600 | 1,146,330 | ||||||
Surgery Partners, Inc. (1) | 1,297 | 20,557 | ||||||
Syndax Pharmaceuticals, Inc. (1) | 369 | 2,646 | ||||||
Teleflex, Inc. | 772 | 124,408 | ||||||
Tetraphase Pharmaceuticals, Inc. (1) | 5,649 | 22,765 | ||||||
The Cooper Companies, Inc. | 231 | 40,409 | ||||||
TherapeuticsMD, Inc. (1) | 1,426 | 8,228 | ||||||
TransEnterix, Inc. (1) | 9,528 | 12,386 | ||||||
Triple-S Management Corp. (1) | 3,804 | 78,743 | ||||||
United Therapeutics Corp. (1) | 11,491 | 1,648,154 | ||||||
Universal American Corp. (1) | 7,634 | 75,958 | ||||||
Universal Health Services, Inc. | 28,733 | 3,056,617 | ||||||
Versartis, Inc. (1) | 4,811 | 71,684 | ||||||
Vocera Communications, Inc. (1) | 1,216 | 22,484 | ||||||
Voyager Therapeutics, Inc. (1) | 965 | 12,294 | ||||||
VWR Corp. (1) | 362,392 | 9,070,672 | ||||||
WaVe Life Sciences Ltd (1) | 202 | 5,282 | ||||||
WellCare Health Plans, Inc. (1) | 69 | 9,459 | ||||||
Wright Medical Group NV (1) | 16,792 | 385,880 | ||||||
Zafgen, Inc. (1) | 3,566 | 11,340 | ||||||
Zimmer Holdings, Inc. | 32,917 | 3,397,034 | ||||||
Zogenix, Inc. (1) | 4,153 | 50,459 | ||||||
|
| |||||||
170,353,634 | ||||||||
|
| |||||||
Industrials – 15.19% | ||||||||
AAR Corp. | 5,402 | 178,536 | ||||||
ABM Industries, Inc. | 8,993 | 367,274 | ||||||
Acacia Research Corp. (1) | 2,169 | 14,098 | ||||||
ACCO Brands Corp. (1) | 17,259 | 225,230 | ||||||
Actuant Corp. | 5,049 | 131,022 | ||||||
Advanced Disposal Services, Inc. (1) | 1,154 | 25,642 | ||||||
AECOM (1) | 3,313 | 120,461 | ||||||
Aegion Corp. (1) | 5,722 | 135,611 | ||||||
Aerojet Rocketdyne Holdings, Inc. (1) | 4,891 | 87,793 |
Shares | Value | |||||||
AeroVironment, Inc. (1) | 2,858 | 76,680 | ||||||
AGCO Corp. | 1,507 | 87,195 | ||||||
Air Lease Corp. | 1,025 | 35,188 | ||||||
Air Transport Services Group, Inc. (1) | 6,685 | 106,693 | ||||||
Aircastle Ltd | 7,876 | 164,215 | ||||||
Alamo Group, Inc. | 1,182 | 89,950 | ||||||
Alaska Air Group, Inc. | 456 | 40,461 | ||||||
Albany International Corp. | 3,928 | 181,866 | ||||||
Allison Transmission Holdings, Inc. | 214,197 | 7,216,297 | ||||||
Altra Industrial Motion Corp. | 180,921 | 6,675,985 | ||||||
AMERCO | 50 | 18,479 | ||||||
Ameresco, Inc. (1) | 3,497 | 19,233 | ||||||
American Airlines Group, Inc. | 55,695 | 2,600,400 | ||||||
American Railcar Industries, Inc. | 1,241 | 56,205 | ||||||
American Superconductor Corp. (1) | 1,793 | 13,214 | ||||||
AMETEK, Inc. | 4,080 | 198,288 | ||||||
Applied Industrial Technologies, Inc. | 3,338 | 198,277 | ||||||
ARC Document Solutions, Inc. (1) | 7,359 | 37,384 | ||||||
ArcBest Corp. | 3,946 | 109,107 | ||||||
Arconic, Inc. | 9,516 | 176,427 | ||||||
Armstrong Flooring, Inc. (1) | 3,648 | 72,632 | ||||||
Armstrong World Industries, Inc. (1) | 193,989 | 8,108,740 | ||||||
Astec Industries, Inc. | 1,685 | 113,670 | ||||||
Atkore International Group, Inc. (1) | 927 | 22,165 | ||||||
Atlas Air Worldwide Holdings, Inc. (1) | 25,006 | 1,304,063 | ||||||
Avis Budget Group, Inc. (1) | 41,500 | 1,522,220 | ||||||
Babcock & Wilcox Enterprises, Inc. (1) | 326,798 | 5,421,579 | ||||||
Barnes Group, Inc. | 8,217 | 389,650 | ||||||
Blue Bird Corp. (1) | 780 | 12,051 | ||||||
BMC Stock Holdings, Inc. (1) | 1,442 | 28,119 | ||||||
Brady Corp. | 1,725 | 64,774 | ||||||
Briggs & Stratton Corp. | 6,972 | 155,197 | ||||||
Caesarstone Ltd (1) | 245,475 | 7,032,859 | ||||||
CAI International, Inc. (1) | 2,586 | 22,421 | ||||||
Carlisle Companies, Inc. | 947 | 104,445 | ||||||
Casella Waste Systems, Inc. (1) | 6,258 | 77,662 | ||||||
CBIZ, Inc. (1) | 8,569 | 117,395 |
Shares | Value | |||||||
CECO Environmental Corp. | 4,957 | 69,150 | ||||||
Celadon Group, Inc. | 4,326 | 30,931 | ||||||
Chart Industries, Inc. (1) | 5,036 | 181,397 | ||||||
Chicago Bridge & Iron Co. | 44,048 | 1,398,524 | ||||||
CIRCOR International, Inc. | 68,072 | 4,416,511 | ||||||
Clean Harbors, Inc. (1) | 1,043 | 58,043 | ||||||
Cogint, Inc. (1) | 2,484 | 8,570 | ||||||
Colfax Corp. (1) | 2,124 | 76,315 | ||||||
Columbus Mckinnon Corp. | 3,213 | 86,880 | ||||||
CompX International, Inc. | 351 | 5,651 | ||||||
Copa Holdings SA | 680 | 61,764 | ||||||
Costamare, Inc. | 4,473 | 25,049 | ||||||
Covenant Transportation Group, Inc. – Class A (1) | 1,839 | 35,566 | ||||||
CRA International, Inc. | 1,407 | 51,496 | ||||||
Crane Co. | 22,762 | 1,641,595 | ||||||
CSW Industrials, Inc. (1) | 101,618 | 3,744,623 | ||||||
Cubic Corp. | 4,167 | 199,808 | ||||||
Cummins, Inc. | 19,728 | 2,696,226 | ||||||
Curtiss-Wright Corp. | 19,494 | 1,917,430 | ||||||
Deluxe Corp. | 26,700 | 1,911,987 | ||||||
DigitalGlobe, Inc. (1) | 10,364 | 296,929 | ||||||
DMC Global, Inc. | 2,334 | 36,994 | ||||||
Donaldson Co., Inc. | 209 | 8,795 | ||||||
Douglas Dynamics, Inc. | 539 | 18,137 | ||||||
Dover Corp. | 3,322 | 248,917 | ||||||
Ducommun, Inc. (1) | 1,738 | 44,423 | ||||||
Dun & Bradstreet Corp. | 458 | 55,565 | ||||||
DXP Enterprises, Inc. (1) | 2,531 | 87,927 | ||||||
Eaton Corp. Plc | 50,179 | 3,366,509 | ||||||
Echo Global Logistics, Inc. (1) | 647 | 16,207 | ||||||
EMCOR Group, Inc. | 127,717 | 9,037,255 | ||||||
Encore Wire Corp. | 119,082 | 5,162,205 | ||||||
EnerSys, Inc. | 5,012 | 391,437 | ||||||
Engility Holdings, Inc. (1) | 2,987 | 100,662 | ||||||
Ennis, Inc. | 4,212 | 73,078 | ||||||
EnPro Industries, Inc. | 89,408 | 6,022,523 | ||||||
ESCO Technologies, Inc. | 129,768 | 7,351,357 |
Shares | Value | |||||||
Essendant, Inc. | 6,246 | 130,541 | ||||||
Esterline Technologies Corp. (1) | 60,735 | 5,417,562 | ||||||
Exone Co. (1) | 1,497 | 13,982 | ||||||
Expeditors International of Washington, Inc. | 1,207 | 63,923 | ||||||
Federal Signal Corp. | 9,739 | 152,026 | ||||||
Flowserve Corp. | 1,111 | 53,384 | ||||||
Fluor Corp. | 79,687 | 4,185,161 | ||||||
Franklin Covey Co. (1) | 342 | 6,891 | ||||||
Franklin Electric Company, Inc. | 391 | 15,210 | ||||||
FreightCar America, Inc. | 1,885 | 28,143 | ||||||
FTI Consulting, Inc. (1) | 6,278 | 283,012 | ||||||
FuelCell Energy, Inc. (1) | 4,388 | 7,679 | ||||||
G&K Services, Inc. | 737 | 71,084 | ||||||
GATX Corp. | 6,713 | 413,387 | ||||||
Gencor Industries, Inc. (1) | 1,147 | 18,008 | ||||||
General Cable Corp. | 689 | 13,125 | ||||||
Genesee & Wyoming, Inc. (1) | 1,219 | 84,611 | ||||||
Gibraltar Industries, Inc. (1) | 1,888 | 78,635 | ||||||
Global Brass and Copper Holdings, Inc. | 30,155 | 1,034,316 | ||||||
Gorman Rupp Co. | 353 | 10,925 | ||||||
Graham Corp. | 1,439 | 31,874 | ||||||
Granite Construction, Inc. | 1,566 | 86,130 | ||||||
Great Lakes Dredge & Dock Corp. (1) | 9,023 | 37,897 | ||||||
Greenbrier Companies, Inc. | 4,446 | 184,731 | ||||||
Griffon Corp. | 899 | 23,554 | ||||||
Hardinge, Inc. | 1,743 | 19,312 | ||||||
Harsco Corp. | 13,337 | 181,383 | ||||||
HC2 Holdings, Inc. (1) | 5,272 | 31,263 | ||||||
HD Supply Holdings, Inc. (1) | 279,970 | 11,901,525 | ||||||
Heidrick & Struggles International, Inc. | 2,919 | 70,494 | ||||||
Herc Holdings, Inc. (1) | 376 | 15,100 | ||||||
Heritage Crystal Clean, Inc. (1) | 973 | 15,276 | ||||||
Herman Miller, Inc. | 47,500 | 1,624,500 | ||||||
Hertz Global Holdings, Inc. (1) | 73,116 | 1,576,381 | ||||||
Hill International, Inc. (1) | 3,371 | 14,664 | ||||||
Hillenbrand, Inc. | 123,370 | 4,731,239 | ||||||
Hub Group, Inc. (1) | 354 | 15,487 |
Shares | Value | |||||||
Hubbell, Inc. | 34,140 | 3,984,138 | ||||||
Huntington Ingalls Industries, Inc. | 31,548 | 5,810,826 | ||||||
Hurco Companies, Inc. | 1,039 | 34,391 | ||||||
Huron Consulting Group, Inc. (1) | 3,149 | 159,497 | ||||||
Hyster-Yale Materials Handling, Inc. | 1,070 | 68,234 | ||||||
ICF International, Inc. (1) | 3,049 | 168,305 | ||||||
IDEX Corp. | 112 | 10,087 | ||||||
Ingersoll-Rand Plc | 99,966 | 7,501,449 | ||||||
InnerWorkings, Inc. (1) | 611 | 6,018 | ||||||
Interface, Inc. | 1,133 | 21,017 | ||||||
ITT, Inc. | 41,056 | 1,583,530 | ||||||
Jacobs Engineering Group, Inc. (1) | 2,613 | 148,941 | ||||||
JetBlue Airways Corp. (1) | 108,297 | 2,428,019 | ||||||
Johnson Controls International Plc | 15,641 | 644,253 | ||||||
Joy Global, Inc. | 16,026 | 448,728 | ||||||
Kadant, Inc. | 1,449 | 88,679 | ||||||
Kaman Corp. | 4,003 | 195,867 | ||||||
Kansas City Southern | 2,335 | 198,125 | ||||||
KAR Auction Services, Inc. | 133,700 | 5,698,294 | ||||||
KBR, Inc. | 102,989 | 1,718,886 | ||||||
Kelly Services, Inc. | 4,814 | 110,337 | ||||||
Kennametal, Inc. | 12,948 | 404,754 | ||||||
KEYW Holding Corp. (1) | 5,952 | 70,174 | ||||||
Kimball International, Inc. | 833 | 14,627 | ||||||
Kirby Corp. (1) | 1,141 | 75,876 | ||||||
KLX, Inc. (1) | 8,604 | 388,126 | ||||||
Knight Transportation, Inc. | 715 | 23,631 | ||||||
Knoll, Inc. | 241,350 | 6,740,905 | ||||||
Korn/Ferry International | 3,902 | 114,836 | ||||||
Kratos Defense & Security Solutions, Inc. (1) | 9,419 | 69,701 | ||||||
L-3 Communications Holdings, Inc. | 1,667 | 253,567 | ||||||
Lawson Products, Inc. (1) | 170 | 4,046 | ||||||
Layne Christensen Co. (1) | 2,969 | 32,273 | ||||||
Lennox International, Inc. | 58 | 8,884 | ||||||
Lincoln Electric Holdings, Inc. | 494 | 37,875 | ||||||
Lindsay Corp. | 214 | 15,967 | ||||||
LSC Communications, Inc. | 163 | 4,838 |
Shares | Value | |||||||
LSI Industries, Inc. | 3,081 | 30,009 | ||||||
Lydall, Inc. (1) | 89,467 | 5,533,534 | ||||||
Macquarie Infrastructure Corp. | 1,567 | 128,024 | ||||||
Manitowoc Foodservice, Inc. (1) | 1,446 | 27,951 | ||||||
ManpowerGroup, Inc. | 111,438 | 9,903,495 | ||||||
Marten Transport Ltd | 3,620 | 84,346 | ||||||
Masco Corp. | 199,772 | 6,316,791 | ||||||
Masonite International Corp. (1) | 123,855 | 8,149,659 | ||||||
Matson, Inc. | 138,757 | 4,910,610 | ||||||
McGrath RentCorp | 3,828 | 150,019 | ||||||
Mercury Systems, Inc. (1) | 5,884 | 177,814 | ||||||
Meritor, Inc. (1) | 13,577 | 168,626 | ||||||
Milacron Holdings Corp. (1) | 391,659 | 7,296,607 | ||||||
Miller Industries, Inc. | 1,573 | 41,606 | ||||||
Mobile Mini, Inc. | 1,809 | 54,722 | ||||||
Moog, Inc. (1) | 32,947 | 2,163,959 | ||||||
MRC Global, Inc. (1) | 15,570 | 315,448 | ||||||
MSA Safety, Inc. | 118,588 | 8,221,706 | ||||||
MSC Industrial Direct Co., Inc. | 560 | 51,738 | ||||||
Mueller Industries, Inc. | 2,839 | 113,446 | ||||||
Mueller Water Products, Inc. | 423,610 | 5,638,249 | ||||||
MYR Group, Inc. (1) | 2,430 | 91,562 | ||||||
National Presto Industries, Inc. | 695 | 73,948 | ||||||
Navigant Consulting, Inc. (1) | 7,844 | 205,356 | ||||||
Navistar International Corp. (1) | 7,641 | 239,698 | ||||||
Neff Corp. (1) | 1,107 | 15,609 | ||||||
Nielsen Holdings Plc | 1,717 | 72,028 | ||||||
NL Industries, Inc. (1) | 1,111 | 9,055 | ||||||
NN, Inc. | 4,371 | 83,268 | ||||||
NOW, Inc. (1) | 17,390 | 355,973 | ||||||
NV5 Global, Inc. (1) | 327 | 10,922 | ||||||
Old Dominion Freight Line, Inc. (1) | 564 | 48,386 | ||||||
Orbital ATK, Inc. | 1,260 | 110,540 | ||||||
Orion Group Holdings, Inc. (1) | 4,092 | 40,715 | ||||||
Oshkosh Corp. | 30,572 | 1,975,257 | ||||||
Owens Corning | 43,994 | 2,268,331 | ||||||
P.A.M. Transportation Services, Inc. (1) | 409 | 10,626 |
Shares | Value | |||||||
PACCAR, Inc. | 6,798 | 434,392 | ||||||
Parker-Hannifin Corp. | 2,899 | 405,860 | ||||||
Park-Ohio Holdings Corp. | 1,396 | 59,470 | ||||||
Pentair Plc | 152,207 | 8,534,246 | ||||||
Pitney Bowes, Inc. | 84,800 | 1,288,112 | ||||||
Plug Power, Inc. (1) | 10,206 | 12,247 | ||||||
Powell Industries, Inc. | 1,440 | 56,160 | ||||||
Power Solutions International, Inc. (1) | 235 | 1,762 | ||||||
Preformed Line Products Co. | 374 | 21,737 | ||||||
Quad/Graphics, Inc. | 2,217 | 59,593 | ||||||
Quanex Building Products Corp. | 262,363 | 5,325,969 | ||||||
Quanta Services, Inc. (1) | 2,261 | 78,796 | ||||||
Radiant Logistics, Inc. (1) | 2,174 | 8,479 | ||||||
Raven Industries, Inc. | 2,213 | 55,768 | ||||||
Regal-Beloit Corp. | 967 | 66,965 | ||||||
Republic Services, Inc. | 5,122 | 292,210 | ||||||
Resources Connection, Inc. | 6,180 | 118,965 | ||||||
Rexnord Corp. (1) | 3,291 | 64,471 | ||||||
Roadrunner Transportation Systems, Inc. (1) | 5,477 | 56,906 | ||||||
Robert Half International, Inc. | 165,388 | 8,067,627 | ||||||
Rockwell Automation, Inc. | 589 | 79,162 | ||||||
Roper Technologies, Inc. | 1,060 | 194,065 | ||||||
RPX Corp. (1) | 8,494 | 91,735 | ||||||
RR Donnelley & Sons Co. | 500 | 8,160 | ||||||
Rush Enterprises, Inc. (1) | 4,903 | 156,406 | ||||||
Rush Enterprises, Inc. (1) | 973 | 30,036 | ||||||
Ryder System, Inc. | 20,350 | 1,514,854 | ||||||
Saia, Inc. (1) | 4,067 | 179,558 | ||||||
Scorpio Bulkers, Inc. (1) | 9,383 | 47,384 | ||||||
SkyWest, Inc. | 8,189 | 298,489 | ||||||
Snap-on, Inc. | 46,042 | 7,885,613 | ||||||
SP Plus Corp. (1) | 236 | 6,643 | ||||||
Sparton Corp. (1) | 1,476 | 35,203 | ||||||
Spirit AeroSystems Holdings, Inc. | 49,180 | 2,869,653 | ||||||
Spirit Airlines, Inc. (1) | 1,565 | 90,551 | ||||||
SPX Corp. (1) | 7,134 | 169,218 | ||||||
SPX FLOW, Inc. (1) | 5,516 | 176,843 |
Shares | Value | |||||||
Standex International Corp. | 65,073 | 5,716,663 | ||||||
Stanley Black & Decker, Inc. | 85,925 | 9,854,738 | ||||||
Stericycle, Inc. (1) | 102 | 7,858 | ||||||
Sun Hydraulics Corp. | 345 | 13,790 | ||||||
Sunrun, Inc. (1) | 10,699 | 56,812 | ||||||
Supreme Industries, Inc. | 765 | 12,010 | ||||||
Team, Inc. (1) | 327 | 12,835 | ||||||
Teledyne Technologies, Inc. (1) | 4,017 | 494,091 | ||||||
Tennant Co. | 120 | 8,544 | ||||||
Terex Corp. | 2,289 | 72,172 | ||||||
Tetra Tech, Inc. | 7,824 | 337,606 | ||||||
Textainer Group Holdings Ltd | 3,847 | 28,660 | ||||||
Textron, Inc. | 185,155 | 8,991,127 | ||||||
The Brink’s Co. | 234,179 | 9,659,884 | ||||||
The Manitowoc Co., Inc. (1) | 21,122 | 126,310 | ||||||
The Timken Co. | 141,856 | 5,631,683 | ||||||
Thermon Group Holdings, Inc. (1) | 5,264 | 100,490 | ||||||
Titan International, Inc. | 7,252 | 81,295 | ||||||
Titan Machinery, Inc. (1) | 2,885 | 42,034 | ||||||
TPI Composites, Inc. (1) | 887 | 14,227 | ||||||
TRC Companies, Inc. (1) | 3,081 | 32,659 | ||||||
TriMas Corp. (1) | 117,019 | 2,749,946 | ||||||
Trinity Industries, Inc. | 3,225 | 89,526 | ||||||
Triton International Ltd/Bermuda | 5,396 | 85,257 | ||||||
Triumph Group, Inc. | 8,007 | 212,185 | ||||||
TrueBlue, Inc. (1) | 6,487 | 159,905 | ||||||
Tutor Perini Corp. (1) | 5,303 | 148,484 | ||||||
UniFirst Corp. | 2,222 | 319,190 | ||||||
United Continental Holdings, Inc. (1) | 39,295 | 2,863,820 | ||||||
United Rentals, Inc. (1) | 77,739 | 8,207,684 | ||||||
Universal Forest Products, Inc. | 411 | 41,996 | ||||||
Universal Logistics Holdings, Inc. | 425 | 6,949 | ||||||
US Ecology, Inc. | 145,210 | 7,137,071 | ||||||
USA Truck, Inc. (1) | 1,357 | 11,819 | ||||||
USG Corp. (1) | 43,491 | 1,256,020 | ||||||
Valmont Industries, Inc. | 91 | 12,822 | ||||||
Vectrus, Inc. (1) | 1,416 | 33,772 |
Shares | Value | |||||||
Veritiv Corp. (1) | 41,240 | 2,216,650 | ||||||
Viad Corp. | 1,459 | 64,342 | ||||||
Vicor Corp. (1) | 231 | 3,488 | ||||||
VSE Corp. | 1,438 | 55,852 | ||||||
Wabash National Corp. (1) | 74,900 | 1,184,918 | ||||||
WABCO Holdings, Inc. (1) | 36,705 | 3,896,236 | ||||||
Watts Water Technologies, Inc. | 58,876 | 3,838,715 | ||||||
Werner Enterprises, Inc. | 7,109 | 191,588 | ||||||
Wesco Aircraft Holdings, Inc. (1) | 76,814 | 1,148,369 | ||||||
WESCO International, Inc. (1) | 98,496 | 6,554,909 | ||||||
West Corp. | 6,305 | 156,112 | ||||||
Willis Lease Finance Corp. (1) | 700 | 17,906 | ||||||
XPO Logistics, Inc. (1) | 15,979 | 689,654 | ||||||
Xylem, Inc. | 1,865 | 92,355 | ||||||
YRC Worldwide, Inc. (1) | 4,244 | 56,360 | ||||||
|
| |||||||
355,555,734 | ||||||||
|
| |||||||
Information Technology – 13.84% | ||||||||
ACI Worldwide, Inc. (1) | 137,090 | 2,488,183 | ||||||
Activision Blizzard, Inc. | 241,691 | 8,727,462 | ||||||
Actua Corp. (1) | 5,948 | 83,272 | ||||||
Acxiom Corp. (1) | 6,573 | 176,156 | ||||||
ADTRAN, Inc. | 2,690 | 60,121 | ||||||
Advanced Energy Industries, Inc. (1) | 308 | 16,863 | ||||||
Advanced Micro Devices, Inc. (1) | 63,742 | 722,834 | ||||||
Agilysys, Inc. (1) | 2,104 | 21,797 | ||||||
Akamai Technologies, Inc. (1) | 407 | 27,139 | ||||||
Alliance Data Systems Corp. | 50,727 | 11,591,119 | ||||||
Alpha and Omega Semiconductor Ltd (1) | 2,863 | 60,896 | ||||||
Ambarella, Inc. (1) | 3,132 | 169,535 | ||||||
Amdocs Ltd | 173,901 | 10,129,733 | ||||||
Amkor Technology, Inc. (1) | 15,482 | 163,335 | ||||||
Analog Devices, Inc. | 6,681 | 485,174 | ||||||
Anixter International, Inc. (1) | 4,759 | 385,717 | ||||||
ANSYS, Inc. (1) | 1,421 | 131,428 | ||||||
Applied Materials, Inc. | 102,100 | 3,294,767 | ||||||
Applied Optoelectronics, Inc. (1) | 2,648 | 62,069 | ||||||
ARRIS International Plc (1) | 3,107 | 93,614 |
Shares | Value | |||||||
Arrow Electronics, Inc. (1) | 140,703 | 10,032,124 | ||||||
Autobytel, Inc. (1) | 1,019 | 13,706 | ||||||
Autodesk, Inc. (1) | 844 | 62,464 | ||||||
Avid Technology, Inc. (1) | 2,009 | 8,840 | ||||||
Avnet, Inc. | 151,019 | 7,190,015 | ||||||
AVX Corp. | 7,535 | 117,772 | ||||||
Axcelis Technologies, Inc. (1) | 4,835 | 70,349 | ||||||
Bankrate, Inc. (1) | 8,024 | 88,665 | ||||||
Bazaarvoice, Inc. (1) | 13,523 | 65,587 | ||||||
Bel Fuse, Inc. | 1,481 | 45,763 | ||||||
Benchmark Electronics, Inc. (1) | 8,109 | 247,324 | ||||||
Black Box Corp. | 2,429 | 37,042 | ||||||
Blucora, Inc. (1) | 5,147 | 75,918 | ||||||
Booz Allen Hamilton Holding Corp. | 161 | 5,807 | ||||||
Bottomline Technologies, Inc. (1) | 854 | 21,367 | ||||||
Broadcom Ltd | 15,160 | 2,679,833 | ||||||
Broadridge Financial Solutions, Inc. | 62,925 | 4,171,928 | ||||||
Brocade Communications Systems, Inc. | 21,603 | 269,821 | ||||||
Brooks Automation, Inc. | 11,079 | 189,119 | ||||||
CA, Inc. | 54,122 | 1,719,456 | ||||||
Cabot Microelectronics Corp. | 3,327 | 210,167 | ||||||
CACI International, Inc. (1) | 64,171 | 7,976,455 | ||||||
Calix, Inc. (1) | 6,473 | 49,842 | ||||||
Cass Information Systems, Inc. | 703 | 51,720 | ||||||
Cavium, Inc. (1) | 1,372 | 85,668 | ||||||
Check Point Software Technologies Ltd (1) | 81,875 | 6,915,163 | ||||||
Cognizant Technology Solutions – Class A (1) | 60,605 | 3,395,698 | ||||||
Cohu, Inc. | 4,270 | 59,353 | ||||||
CommerceHub, Inc. (1) | 194 | 2,912 | ||||||
CommerceHub, Inc. (1) | 464 | 6,974 | ||||||
CommScope Holding Co., Inc. (1) | 208,290 | 7,748,388 | ||||||
Computer Sciences Corp. | 55,750 | 3,312,665 | ||||||
Comtech Telecommunications Corp. | 3,550 | 42,068 | ||||||
Control4 Corp. (1) | 3,340 | 34,068 | ||||||
Convergys Corp. | 75,997 | 1,866,486 | ||||||
CoreLogic, Inc. (1) | 770 | 28,359 | ||||||
Corning, Inc. | 64,300 | 1,560,561 |
Shares | Value | |||||||
CPI Card Group, Inc. | 2,109 | 8,752 | ||||||
Cree, Inc. (1) | 1,347 | 35,547 | ||||||
CTS Corp. | 5,106 | 114,374 | ||||||
Cypress Semiconductor Corp. | 6,791 | 77,689 | ||||||
Daktronics, Inc. | 6,202 | 66,361 | ||||||
Datalink Corp. (1) | 2,989 | 33,656 | ||||||
Diebold Nixdorf, Inc. | 7,370 | 185,356 | ||||||
Digi International, Inc. (1) | 4,216 | 57,970 | ||||||
Digimarc Corp. (1) | 109 | 3,270 | ||||||
Diodes, Inc. (1) | 6,271 | 160,977 | ||||||
Dolby Laboratories, Inc. | 1,100 | 49,709 | ||||||
DSP Group, Inc. (1) | 3,398 | 44,344 | ||||||
Eastman Kodak Co. (1) | 544 | 8,432 | ||||||
eBay, Inc. (1) | 188,741 | 5,603,720 | ||||||
EchoStar Corp. (1) | 990 | 50,876 | ||||||
Electro Scientific Industries, Inc. (1) | 4,538 | 26,865 | ||||||
EMCORE Corp. | 3,991 | 34,722 | ||||||
EnerNOC, Inc. (1) | 601 | 3,606 | ||||||
Entegris, Inc. (1) | 513,662 | 9,194,550 | ||||||
ePlus, Inc. (1) | 286 | 32,947 | ||||||
EVERTEC, Inc. | 1,891 | 33,565 | ||||||
Exar Corp. (1) | 5,500 | 59,290 | ||||||
F5 Networks, Inc. (1) | 9,000 | 1,302,480 | ||||||
FARO Technologies, Inc. (1) | 2,046 | 73,656 | ||||||
Fidelity National Information Services, Inc. | 287,008 | 21,709,285 | ||||||
Finisar Corp. (1) | 17,558 | 531,481 | ||||||
FireEye, Inc. (1) | 2,590 | 30,821 | ||||||
First Data Corp. (1) | 456,125 | 6,472,414 | ||||||
First Solar, Inc. (1) | 1,663 | 53,366 | ||||||
Fiserv, Inc. (1) | 45,325 | 4,817,141 | ||||||
Fitbit, Inc. (1) | 494 | 3,616 | ||||||
Flex Ltd (1) | 594,813 | 8,547,463 | ||||||
FLIR Systems, Inc. | 2,982 | 107,919 | ||||||
FormFactor, Inc. (1) | 4,815 | 53,928 | ||||||
GigPeak, Inc. (1) | 8,631 | 21,750 | ||||||
Global Payments, Inc. | 131,575 | 9,132,621 | ||||||
Global Sources Ltd (1) | 1,156 | 10,231 |
Shares | Value | |||||||
Glu Mobile, Inc. (1) | 16,393 | 31,802 | ||||||
Harmonic, Inc. (1) | 12,707 | 63,535 | ||||||
Harris Corp. | 120,861 | 12,384,627 | ||||||
HP, Inc. | 126,400 | 1,875,776 | ||||||
II-VI, Inc. (1) | 6,985 | 207,105 | ||||||
Immersion Corp. (1) | 3,339 | 35,494 | ||||||
Impinj, Inc. (1) | 343 | 12,122 | ||||||
Infinera Corp. (1) | 7,124 | 60,483 | ||||||
Insight Enterprises, Inc. (1) | 5,994 | 242,397 | ||||||
InterActiveCorp (1) | 60,050 | 3,890,640 | ||||||
Intersil Corp. | 22,184 | 494,703 | ||||||
Intralinks Holdings, Inc. (1) | 6,483 | 87,650 | ||||||
InvenSense, Inc. (1) | 13,531 | 173,061 | ||||||
IPG Photonics Corp. (1) | 121 | 11,944 | ||||||
Ixia (1) | 10,525 | 169,453 | ||||||
IXYS Corp. | 3,863 | 45,970 | ||||||
Jabil Circuit, Inc. | 205,450 | 4,863,002 | ||||||
Juniper Networks, Inc. | 81,223 | 2,295,362 | ||||||
Keysight Technologies, Inc. (1) | 3,711 | 135,711 | ||||||
Kimball Electronics, Inc. (1) | 4,605 | 83,811 | ||||||
Knowles Corp. (1) | 14,348 | 239,755 | ||||||
Kopin Corp. (1) | 9,452 | 26,844 | ||||||
KVH Industries, Inc. (1) | 2,341 | 27,624 | ||||||
Lam Research Corp. | 30,797 | 3,256,167 | ||||||
Leidos Holdings, Inc. | 59,717 | 3,053,927 | ||||||
Limelight Networks, Inc. (1) | 11,753 | 29,618 | ||||||
Linear Technology Corp. | 2,738 | 170,714 | ||||||
Liquidity Services, Inc. (1) | 4,008 | 39,078 | ||||||
Littelfuse, Inc. | 74,040 | 11,237,051 | ||||||
MACOM Technology Solutions Holdings, Inc. (1) | 199,230 | 9,220,364 | ||||||
Mantech International Corp. | 4,038 | 170,606 | ||||||
Marchex, Inc. (1) | 5,941 | 15,744 | ||||||
Marvell Technology Group Ltd | 8,661 | 120,128 | ||||||
Maxwell Technologies, Inc. (1) | 4,852 | 24,842 | ||||||
MeetMe, Inc. (1) | 853 | 4,205 | ||||||
Mentor Graphics Corp. | 164,356 | 6,063,093 | ||||||
Methode Electronics, Inc. | 126,854 | 5,245,413 |
�� | ||||||||
Shares | Value | |||||||
Micron Technology, Inc. (1) | 306,985 | 6,729,111 | ||||||
Microsemi Corp. (1) | 109,488 | 5,909,067 | ||||||
MicroStrategy, Inc. (1) | 768 | 151,603 | ||||||
MKS Instruments, Inc. | 203,901 | 12,111,719 | ||||||
MoneyGram International, Inc. (1) | 4,882 | 57,656 | ||||||
Motorola Solutions, Inc. | 3,368 | 279,174 | ||||||
MTS Systems Corp. | 256 | 14,515 | ||||||
Nanometrics, Inc. (1) | 720 | 18,043 | ||||||
National Instruments Corp. | 490 | 15,102 | ||||||
NCI, Inc. | 969 | 13,518 | ||||||
NCR Corp. (1) | 192,800 | 7,819,968 | ||||||
NeoPhotonics Corp. (1) | 4,191 | 45,305 | ||||||
NetApp, Inc. | 41,173 | 1,452,172 | ||||||
NetEase, Inc. – ADR | 21,121 | 4,548,196 | ||||||
NETGEAR, Inc. (1) | 1,801 | 97,884 | ||||||
NetScout Systems, Inc. (1) | 166,824 | 5,254,956 | ||||||
NeuStar, Inc. (1) | 177 | 5,912 | ||||||
Novanta, Inc. (1) | 3,746 | 78,666 | ||||||
Nuance Communications, Inc. (1) | 1,167 | 17,388 | ||||||
Numerex Corp. (1) | 1,920 | 14,208 | ||||||
Nutanix, Inc. (1) | 61 | 1,620 | ||||||
NVE Corp. | 509 | 36,358 | ||||||
Oclaro, Inc. (1) | 2,558 | 22,894 | ||||||
ON Semiconductor Corp. (1) | 269,230 | 3,435,375 | ||||||
OSI Systems, Inc. (1) | 2,863 | 217,932 | ||||||
Pandora Media, Inc. (1) | 624 | 8,137 | ||||||
Park Electrochemical Corp. | 3,071 | 57,274 | ||||||
PC Connection, Inc. | 1,798 | 50,506 | ||||||
PDF Solutions, Inc. (1) | 292 | 6,585 | ||||||
Perficient, Inc. (1) | 1,876 | 32,811 | ||||||
PFSweb, Inc. (1) | 269 | 2,287 | ||||||
Photronics, Inc. (1) | 10,690 | 120,797 | ||||||
Plantronics, Inc. | 23,000 | 1,259,480 | ||||||
Plexus Corp. (1) | 5,451 | 294,572 | ||||||
Progress Software Corp. | 7,032 | 224,532 | ||||||
PTC, Inc. (1) | 1,380 | 63,853 | ||||||
QAD, Inc. | 1,512 | 45,965 |
Shares | Value | |||||||
Qorvo, Inc. (1) | 76,851 | 4,052,353 | ||||||
QuinStreet, Inc. (1) | 6,117 | 23,000 | ||||||
Rambus, Inc. (1) | 13,301 | 183,155 | ||||||
RealNetworks, Inc. (1) | 3,805 | 18,492 | ||||||
Reis, Inc. | 540 | 12,015 | ||||||
RetailMeNot, Inc. (1) | 6,190 | 57,567 | ||||||
Rightside Group Ltd (1) | 1,673 | 13,836 | ||||||
Rogers Corp. (1) | 1,942 | 149,165 | ||||||
Rosetta Stone, Inc. (1) | 774 | 6,896 | ||||||
Rubicon Project, Inc. (1) | 3,606 | 26,757 | ||||||
Rudolph Technologies, Inc. (1) | 4,917 | 114,812 | ||||||
Sanmina Corp. (1) | 67,417 | 2,470,833 | ||||||
ScanSource, Inc. (1) | 4,126 | 166,484 | ||||||
Seagate Technology Plc | 55,900 | 2,133,703 | ||||||
SecureWorks Corp. (1) | 631 | 6,682 | ||||||
ServiceSource International, Inc. (1) | 3,819 | 21,692 | ||||||
ShoreTel, Inc. (1) | 8,578 | 61,333 | ||||||
Sigma Designs, Inc. (1) | 5,569 | 33,414 | ||||||
Silicom Ltd | 634 | 26,051 | ||||||
Silver Spring Networks, Inc. (1) | 387 | 5,151 | ||||||
Skyworks Solutions, Inc. | 334 | 24,936 | ||||||
Sonus Networks, Inc. (1) | 6,913 | 43,552 | ||||||
SS&C Technologies Holdings, Inc. | 284 | 8,122 | ||||||
Stratasys Ltd (1) | 4,283 | 70,841 | ||||||
SunPower Corp. (1) | 1,257 | 8,309 | ||||||
Super Micro Computer, Inc. (1) | 5,012 | 140,587 | ||||||
Sykes Enterprises, Inc. (1) | 6,485 | 187,157 | ||||||
Symantec Corp. | 11,435 | 273,182 | ||||||
SYNNEX Corp. | 4,813 | 582,469 | ||||||
Synopsys, Inc. (1) | 2,965 | 174,520 | ||||||
Tangoe, Inc. (1) | 4,412 | 34,767 | ||||||
TE Connectivity Ltd | 128,025 | 8,869,572 | ||||||
Tech Data Corp. (1) | 5,678 | 480,813 | ||||||
TechTarget, Inc. (1) | 1,938 | 16,531 | ||||||
Telenav, Inc. (1) | 5,272 | 37,168 | ||||||
TeleTech Holdings, Inc. | 217,306 | 6,627,833 | ||||||
Teradata Corp. (1) | 32,400 | 880,308 |
Shares | Value | |||||||
Teradyne, Inc. | 4,406 | 111,912 | ||||||
Tessera Holding Corp. | 2,745 | 121,329 | ||||||
TiVo Corp. (1) | 13,272 | 277,385 | ||||||
Total System Services, Inc. | 59,599 | 2,922,139 | ||||||
Trade Desk Inc/The (1) | 646 | 17,875 | ||||||
Trimble, Inc. (1) | 1,161 | 35,004 | ||||||
TTM Technologies, Inc. (1) | 11,922 | 162,497 | ||||||
Twilio, Inc. (1) | 78 | 2,250 | ||||||
Twitter, Inc. (1) | 1,578 | 25,721 | ||||||
Ultra Clean Holdings, Inc. (1) | 5,197 | 50,411 | ||||||
Ultratech, Inc. (1) | 3,231 | 77,479 | ||||||
Unisys Corp. (1) | 2,853 | 42,652 | ||||||
USA Technologies, Inc. (1) | 997 | 4,287 | ||||||
VASCO Data Security International, Inc. (1) | 518 | 7,071 | ||||||
Veeco Instruments, Inc. (1) | 6,537 | 190,554 | ||||||
Verint Systems, Inc. (1) | 10,369 | 365,507 | ||||||
ViaSat, Inc. (1) | 1,156 | 76,550 | ||||||
Viavi Solutions, Inc. (1) | 38,131 | 311,912 | ||||||
Vishay Intertechnology, Inc. | 96,439 | 1,562,312 | ||||||
Vishay Precision Group, Inc. (1) | 1,974 | 37,309 | ||||||
Western Digital Corp. | 35,586 | 2,418,069 | ||||||
Xcerra Corp. (1) | 8,650 | 66,086 | ||||||
Xerox Corp. | 237,237 | 2,071,079 | ||||||
Xilinx, Inc. | 3,793 | 228,983 | ||||||
Yelp, Inc. (1) | 322 | 12,278 | ||||||
Zebra Technologies Corp. (1) | 198 | 16,980 | ||||||
Zillow Group, Inc. – Class A (1) | 361 | 13,158 | ||||||
Zillow Group, Inc. – Class C (1) | 618 | 22,538 | ||||||
Zynga, Inc. (1) | 15,909 | 40,886 | ||||||
|
| |||||||
324,066,644 | ||||||||
|
| |||||||
Materials – 6.77% | ||||||||
A. Schulman, Inc. | 4,751 | 158,921 | ||||||
AgroFresh Solutions, Inc. (1) | 3,428 | 9,084 | ||||||
AK Steel Holding Corp. (1) | 50,501 | 515,615 | ||||||
Albemarle Corp. | 2,429 | 209,088 | ||||||
Alcoa Corp. (1) | 3,193 | 89,659 | ||||||
Allegheny Technologies, Inc. | 17,904 | 285,211 |
Shares | Value | |||||||
American Vanguard Corp. | 4,690 | 89,814 | ||||||
Ampco-Pittsburgh Corp. | 1,334 | 22,345 | ||||||
AptarGroup, Inc. | 1,011 | 74,258 | ||||||
Ashland Global Holdings, Inc. | 1,344 | 146,886 | ||||||
Avery Dennison Corp. | 102,415 | 7,191,581 | ||||||
Bemis, Inc. | 1,760 | 84,163 | ||||||
Berry Plastics Group, Inc. (1) | 130,258 | 6,347,472 | ||||||
Boise Cascade Co. (1) | 992 | 22,320 | ||||||
Cabot Corp. | 32,221 | 1,628,449 | ||||||
Calgon Carbon Corp. | 8,248 | 140,216 | ||||||
Carpenter Technology Corp. | 7,647 | 276,592 | ||||||
Celanese Corp. | 32,490 | 2,558,263 | ||||||
Century Aluminum Co. (1) | 7,966 | 68,189 | ||||||
CF Industries Holdings, Inc. | 5,061 | 159,320 | ||||||
Chemours Co. | 4,964 | 109,655 | ||||||
Chemtura Corp. (1) | 5,154 | 171,113 | ||||||
Cliffs Natural Resources, Inc. (1) | 36,500 | 306,965 | ||||||
Coeur Mining, Inc. (1) | 7,787 | 70,784 | ||||||
Commercial Metals Co. | 18,843 | 410,401 | ||||||
Compass Minerals International, Inc. | 732 | 57,352 | ||||||
Constellium (1) | 1,032,125 | 6,089,538 | ||||||
Crown Holdings, Inc. (1) | 262,910 | 13,821,179 | ||||||
Domtar Corp. | 41,447 | 1,617,676 | ||||||
Eagle Materials, Inc. | 47,339 | 4,664,312 | ||||||
Eastman Chemical Co. | 47,004 | 3,535,171 | ||||||
Ferroglobe Plc | 11,189 | 121,177 | ||||||
FMC Corp. | 556 | 31,447 | ||||||
Freeport-McMoRan, Inc. (1) | 22,513 | 296,946 | ||||||
FutureFuel Corp. | 4,032 | 56,045 | ||||||
GCP Applied Technologies, Inc. (1) | 1,764 | 47,187 | ||||||
Gold Resource Corp. | 1,422 | 6,186 | ||||||
Graphic Packaging Holding Co. | 309,889 | 3,867,415 | ||||||
Greif, Inc. | 942 | 63,632 | ||||||
Greif, Inc. | 4,200 | 215,502 | ||||||
Handy & Harman Ltd (1) | 590 | 15,075 | ||||||
Hawkins, Inc. | 1,272 | 68,624 | ||||||
Haynes International, Inc. | 2,117 | 91,010 |
Shares | Value | |||||||
HB Fuller Co. | 269,510 | 13,020,028 | ||||||
Hecla Mining Co. | 62,153 | 325,682 | ||||||
Huntsman Corp. | 157,978 | 3,014,220 | ||||||
Ingevity Corp. (1) | 133,677 | 7,333,520 | ||||||
Innophos Holdings, Inc. | 341 | 17,821 | ||||||
Innospec, Inc. | 3,853 | 263,931 | ||||||
International Paper Co. | 77,612 | 4,118,093 | ||||||
Kaiser Aluminum Corp. | 1,828 | 142,017 | ||||||
KapStone Paper and Packaging Corp. | 13,165 | 290,288 | ||||||
KMG Chemicals, Inc. | 741 | 28,817 | ||||||
Koppers Holdings, Inc. (1) | 676 | 27,243 | ||||||
Kraton Corp. (1) | 4,867 | 138,612 | ||||||
Kronos Worldwide, Inc. | 3,701 | 44,190 | ||||||
Louisiana-Pacific Corp. (1) | 1,648 | 31,197 | ||||||
LSB Industries, Inc. (1) | 3,287 | 27,677 | ||||||
Martin Marietta Materials, Inc. | 133 | 29,463 | ||||||
Materion Corp. | 3,281 | 129,928 | ||||||
Minerals Technologies, Inc. | 104,530 | 8,074,943 | ||||||
NewMarket Corp. | 11 | 4,662 | ||||||
Newmont Mining Corp. | 11,532 | 392,895 | ||||||
Nucor Corp. | 6,908 | 411,164 | ||||||
Olin Corp. | 26,968 | 690,650 | ||||||
Olympic Steel, Inc. | 1,537 | 37,242 | ||||||
OMNOVA Solutions, Inc. (1) | 2,585 | 25,850 | ||||||
Owens-Illinois, Inc. (1) | 90,800 | 1,580,828 | ||||||
Packaging Corporation of America | 134,777 | 11,431,785 | ||||||
PH Glatfelter Co. | 303,398 | 7,248,178 | ||||||
Platform Specialty Products Corp. (1) | 4,268 | 41,869 | ||||||
PPG Industries, Inc. | 32,743 | 3,102,727 | ||||||
Quaker Chemical Corp. | 528 | 67,552 | ||||||
Rayonier Advanced Materials, Inc. | 2,903 | 44,880 | ||||||
Reliance Steel & Aluminum Co. | 152,277 | 12,112,113 | ||||||
Royal Gold, Inc. | 1,329 | 84,192 | ||||||
Ryerson Holding Corp. (1) | 2,225 | 29,704 | ||||||
Schnitzer Steel Industries, Inc. | 4,204 | 108,043 | ||||||
Schweitzer-Mauduit International, Inc. | 32,350 | 1,472,896 | ||||||
Scotts Miracle-Gro Co. | 71 | 6,784 |
Shares | Value | |||||||
Sealed Air Corp. | 135,220 | 6,130,875 | ||||||
Sonoco Products Co. | 2,156 | 113,621 | ||||||
Southern Copper Corp. | 1,032 | 32,962 | ||||||
Steel Dynamics, Inc. | 184,106 | 6,550,491 | ||||||
Stepan Co. | 2,883 | 234,907 | ||||||
Stillwater Mining Co. (1) | 20,030 | 322,683 | ||||||
SunCoke Energy, Inc. (1) | 10,474 | 118,775 | ||||||
Tahoe Resources, Inc. | 6,453 | 60,787 | ||||||
TerraVia Holdings, Inc. (1) | 13,094 | 15,058 | ||||||
The Mosaic Co. | 7,622 | 223,553 | ||||||
TimkenSteel Corp. (1) | 6,466 | 100,094 | ||||||
Trecora Resources (1) | 532 | 7,368 | ||||||
Tredegar Corp. | 4,192 | 100,608 | ||||||
Trinseo S.A. | 39,500 | 2,342,350 | ||||||
Tronox Ltd | 10,724 | 110,564 | ||||||
UFP Technologies, Inc. (1) | 1,036 | 26,366 | ||||||
United States Lime & Minerals, Inc. | 325 | 24,619 | ||||||
United States Steel Corp. | 3,337 | 110,154 | ||||||
Valhi, Inc. | 3,539 | 12,245 | ||||||
Valvoline, Inc. | 644 | 13,846 | ||||||
Vulcan Materials Co. | 196 | 24,529 | ||||||
W.R. Grace & Co. | 667 | 45,116 | ||||||
Westlake Chemical Corp. | 800 | 44,792 | ||||||
WestRock Co. | 195,066 | 9,903,501 | ||||||
|
| |||||||
158,433,386 | ||||||||
|
| |||||||
Real Estate – 7.36% | ||||||||
Acadia Realty Trust | 10,322 | 337,323 | ||||||
Agree Realty Corp. | 4,094 | 188,529 | ||||||
Alexander & Baldwin, Inc. | 179,364 | 8,048,063 | ||||||
Alexander’s, Inc. | 20 | 8,537 | ||||||
Alexandria Real Estate Equities, Inc. | 1,505 | 167,251 | ||||||
American Assets Trust, Inc. | 68,309 | 2,942,752 | ||||||
American Campus Communities, Inc. | 2,822 | 140,451 | ||||||
American Homes 4 Rent | 99,168 | 2,080,545 | ||||||
Apartment Investment & Management Co. | 3,374 | 153,348 | ||||||
Apple Hospitality REIT, Inc. | 3,585 | 71,628 | ||||||
Armada Hoffler Properties, Inc. | 740 | 10,782 |
Shares | Value | |||||||
Ashford Hospitality Prime, Inc. | 3,870 | 52,825 | ||||||
Ashford Hospitality Trust, Inc. | 12,937 | 100,391 | ||||||
AV Homes, Inc. (1) | 1,524 | 24,079 | ||||||
AvalonBay Communities, Inc. | 2,982 | 528,261 | ||||||
Bluerock Resident Growth REIT, Inc. – Class A | 3,106 | 42,614 | ||||||
Boston Properties, Inc. | 75,272 | 9,467,712 | ||||||
Brandywine Realty Trust | 3,678 | 60,724 | ||||||
Brixmor Property Group, Inc. | 4,159 | 101,563 | ||||||
Camden Property Trust | 1,843 | 154,941 | ||||||
Care Capital Properties, Inc. | 1,632 | 40,800 | ||||||
CatchMark Timber Trust, Inc. | 6,089 | 68,562 | ||||||
CBL & Associates Properties, Inc. | 119,588 | 1,375,262 | ||||||
Cedar Realty Trust, Inc. | 13,873 | 90,591 | ||||||
Chatham Lodging Trust | 6,181 | 127,020 | ||||||
Chesapeake Lodging Trust | 7,117 | 184,046 | ||||||
City Office REIT, Inc. | 1,088 | 14,329 | ||||||
Colony Starwood Homes | 10,670 | 307,403 | ||||||
Columbia Property Trust, Inc. | 73,062 | 1,578,139 | ||||||
Communications Sales & Leasing, Inc. | 2,632 | 66,879 | ||||||
Community Healthcare Trust, Inc. | 2,098 | 48,317 | ||||||
Consolidated-Tomoka Land Co. | 122 | 6,517 | ||||||
CoreCivic, Inc. | 2,551 | 62,397 | ||||||
CorEnergy Infrastructure Trust, Inc. | 2,053 | 71,609 | ||||||
Corporate Office Properties Trust | 84,167 | 2,627,694 | ||||||
Cousins Properties, Inc. | 55,296 | 470,569 | ||||||
CubeSmart | 1,243 | 33,275 | ||||||
CyrusOne, Inc. | 202 | 9,035 | ||||||
DCT Industrial Trust, Inc. | 1,944 | 93,079 | ||||||
DDR Corp. | 6,725 | 102,691 | ||||||
DiamondRock Hospitality Co. | 32,805 | 378,242 | ||||||
Digital Realty Trust, Inc. | 1,033 | 101,503 | ||||||
Douglas Emmett, Inc. | 118,910 | 4,347,350 | ||||||
Duke Realty Corp. | 7,480 | 198,669 | ||||||
Easterly Government Properties, Inc. | 5,483 | 109,770 | ||||||
EastGroup Properties, Inc. | 98,740 | 7,290,962 | ||||||
Education Realty Trust, Inc. | 10,542 | 445,927 | ||||||
Empire State Realty Trust, Inc. | 998 | 20,150 |
Shares | Value | |||||||
EPR Properties | 1,358 | 97,464 | ||||||
Equity Commonwealth (1) | 2,644 | 79,955 | ||||||
Equity One, Inc. | 2,016 | 61,871 | ||||||
Equity Residential | 87,931 | 5,659,239 | ||||||
Essex Property Trust, Inc. | 16,568 | 3,852,060 | ||||||
Farmland Partners, Inc. | 2,996 | 33,435 | ||||||
FelCor Lodging Trust, Inc. | 2,947 | 23,605 | ||||||
First Industrial Realty Trust, Inc. | 14,850 | 416,542 | ||||||
First Potomac Realty Trust | 9,489 | 104,094 | ||||||
Forest City Realty Trust, Inc. | 4,949 | 103,137 | ||||||
Forestar Group, Inc. (1) | 5,320 | 70,756 | ||||||
Four Corners Property Trust, Inc. | 2,066 | 42,394 | ||||||
Franklin Street Properties Corp. | 17,254 | 223,612 | ||||||
FRP Holdings, Inc. (1) | 978 | 36,871 | ||||||
General Growth Properties, Inc. | 169,065 | 4,223,244 | ||||||
Getty Realty Corp. | 64,117 | 1,634,342 | ||||||
Gladstone Commercial Corp. | 4,074 | 81,887 | ||||||
Global Medical REIT, Inc. | 1,207 | 10,766 | ||||||
Global Net Lease, Inc. | 28,107 | 220,078 | ||||||
Government Properties Income Trust | 64,522 | 1,230,112 | ||||||
Gramercy Property Trust, Inc. | 58,833 | 540,087 | ||||||
HCP, Inc. | 10,196 | 303,025 | ||||||
Healthcare Realty Trust, Inc. | 18,648 | 565,407 | ||||||
Healthcare Trust of America, Inc. | 761 | 22,153 | ||||||
Hersha Hospitality Trust | 6,454 | 138,761 | ||||||
Highwoods Properties, Inc. | 2,077 | 105,948 | ||||||
Hospitality Properties Trust | 106,538 | 3,381,516 | ||||||
Host Hotels & Resorts, Inc. | 15,971 | 300,894 | ||||||
Hudson Pacific Properties, Inc. | 17,404 | 605,311 | ||||||
Independence Realty Trust, Inc. | 130,791 | 1,166,656 | ||||||
InfraREIT, Inc. | 6,596 | 118,134 | ||||||
Investors Real Estate Trust | 20,254 | 144,411 | ||||||
Jones Lang LaSalle, Inc. | 974 | 98,413 | ||||||
Kennedy-Wilson Holdings, Inc. | 246,325 | 5,049,662 | ||||||
Kilroy Realty Corp. | 44,752 | 3,276,741 | ||||||
Kimco Realty Corp. | 233,250 | 5,868,570 | ||||||
Kite Realty Group Trust | 13,531 | 317,708 |
Shares | Value | |||||||
LaSalle Hotel Properties | 17,450 | 531,701 | ||||||
Lexington Realty Trust | 231,347 | 2,498,548 | ||||||
Liberty Property Trust | 3,165 | 125,017 | ||||||
Life Storage, Inc. | 349 | 29,756 | ||||||
LTC Properties, Inc. | 859 | 40,356 | ||||||
Mack Cali Realty Corp. | 14,614 | 424,098 | ||||||
MedEquities Realty Trust, Inc. (1) | 1,705 | 18,925 | ||||||
Medical Properties Trust, Inc. | 31,832 | 391,534 | ||||||
Mid-America Apartment Communities, Inc. | 2,444 | 239,316 | ||||||
Monmouth Real Estate Investment Corp. | 9,175 | 139,827 | ||||||
Monogram Residential Trust, Inc. | 27,764 | 300,406 | ||||||
National Health Investors, Inc. | 28,200 | 2,091,594 | ||||||
National Retail Properties, Inc. | 3,082 | 136,224 | ||||||
National Storage Affiliates Trust Co. | 5,089 | 112,314 | ||||||
New Senior Investment Group, Inc. | 12,740 | 124,725 | ||||||
New York REIT, Inc. | 27,100 | 274,252 | ||||||
NexPoint Residential Trust, Inc. | 3,016 | 67,377 | ||||||
NorthStar Realty Europe Corp. | 9,833 | 123,601 | ||||||
NorthStar Realty Finance Corp. | 3,887 | 58,888 | ||||||
Omega Healthcare Investors, Inc. | 83,200 | 2,600,832 | ||||||
One Liberty Properties, Inc. | 2,248 | 56,470 | ||||||
Outfront Media, Inc. | 2,534 | 63,021 | ||||||
Paramount Group, Inc. | 3,915 | 62,601 | ||||||
Parkway, Inc. (1) | 7,069 | 157,285 | ||||||
Pebblebrook Hotel Trust | 304,838 | 9,068,930 | ||||||
Pennsylvania Real Estate Investment Trust | 8,033 | 152,306 | ||||||
Physicians Realty Trust | 391,085 | 7,414,972 | ||||||
Piedmont Office Realty Trust, Inc. | 97,182 | 2,032,076 | ||||||
Preferred Apartment Communities, Inc. | 3,906 | 58,238 | ||||||
Prologis, Inc. | 11,352 | 599,272 | ||||||
QTS Realty Trust, Inc. | 130,159 | 6,462,394 | ||||||
Quality Care Properties, Inc. (1) | 1,870 | 28,985 | ||||||
RAIT Financial Trust | 12,998 | 43,673 | ||||||
Ramco-Gershenson Properties Trust | 12,919 | 214,197 | ||||||
Rayonier, Inc. | 2,675 | 71,155 | ||||||
Re/Max Holdings, Inc. | 2,873 | 160,888 | ||||||
Realogy Holdings Corp. | 3,150 | 81,049 |
Shares | Value | |||||||
Realty Income Corp. | 5,606 | 322,233 | ||||||
Regency Centers Corp. | 121,378 | 8,369,013 | ||||||
Retail Opportunity Investments Corp. | 5,218 | 110,256 | ||||||
Retail Properties of America, Inc. | 5,185 | 79,486 | ||||||
Rexford Industrial Realty, Inc. | 6,654 | 154,306 | ||||||
RLJ Lodging Trust | 19,934 | 488,184 | ||||||
Ryman Hospitality Properties, Inc. | 4,494 | 283,167 | ||||||
Sabra Health Care REIT, Inc. | 136,331 | 3,329,203 | ||||||
Saul Centers, Inc. | 212 | 14,121 | ||||||
Select Income REIT | 151,359 | 3,814,247 | ||||||
Senior Housing Properties Trust | 149,270 | 2,825,681 | ||||||
Seritage Growth Properties | 4,106 | 175,367 | ||||||
Silver Bay Realty Trust Corp. | 5,526 | 94,716 | ||||||
SL Green Realty Corp. | 90,727 | 9,757,689 | ||||||
Spirit Realty Capital, Inc. | 10,357 | 112,477 | ||||||
STORE Capital Corp. | 3,249 | 80,283 | ||||||
Stratus Properties, Inc. (1) | 1,027 | 33,634 | ||||||
Summit Hotel Properties, Inc. | 127,385 | 2,041,982 | ||||||
Sun Communities, Inc. | 1,460 | 111,851 | ||||||
Sunstone Hotel Investors, Inc. | 35,701 | 544,440 | ||||||
Tanger Factory Outlet Centers, Inc. | 167 | 5,975 | ||||||
Taubman Centers, Inc. | 650 | 48,054 | ||||||
Tejon Ranch Co. (1) | 2,223 | 56,531 | ||||||
Terreno Realty Corp. | 5,460 | 155,555 | ||||||
The GEO Group, Inc. | 9,529 | 342,377 | ||||||
The Howard Hughes Corp. (1) | 61,425 | 7,008,592 | ||||||
The Macerich Co. | 47,515 | 3,365,963 | ||||||
The St. Joe Co. (1) | 8,222 | 156,218 | ||||||
Tier REIT, Inc. | 7,865 | 136,772 | ||||||
Trinity Place Holdings, Inc. (1) | 2,902 | 26,902 | ||||||
UDR, Inc. | 5,772 | 210,563 | ||||||
UMH Properties, Inc. | 2,870 | 43,193 | ||||||
Ventas, Inc. | 5,051 | 315,789 | ||||||
VEREIT, Inc. | 21,015 | 177,787 | ||||||
Vornado Realty Trust | 3,742 | 390,553 | ||||||
W.P. Carey, Inc. | 2,251 | 133,012 | ||||||
Washington Prime Group, Inc. | 302,324 | 3,147,193 |
Shares | Value | |||||||
Washington Real Estate Investment Trust | 7,949 | 259,853 | ||||||
Weingarten Realty Investors | 2,543 | 91,014 | ||||||
Welltower, Inc. | 7,772 | 520,180 | ||||||
Weyerhaeuser Co. | 16,123 | 485,141 | ||||||
Whitestone REIT | 4,946 | 71,123 | ||||||
Xenia Hotels & Resorts, Inc. | 17,125 | 332,568 | ||||||
|
| |||||||
172,442,014 | ||||||||
|
| |||||||
Telecommunication Services – 0.27% | ||||||||
ATN International, Inc. | 1,690 | 135,420 | ||||||
Boingo Wireless, Inc. (1) | 2,449 | 29,853 | ||||||
CenturyLink, Inc. | 11,679 | 277,727 | ||||||
Cincinnati Bell, Inc. (1) | 6,941 | 155,131 | ||||||
Consolidated Communications Holdings, Inc. | 2,561 | 68,763 | ||||||
FairPoint Communications, Inc. (1) | 847 | 15,839 | ||||||
Frontier Communications Corp. | 25,597 | 86,518 | ||||||
Globalstar, Inc. (1) | 21,841 | 34,509 | ||||||
Hawaiian Telcom Holdco, Inc. (1) | 1,023 | 25,350 | ||||||
IDT Corp. | 1,142 | 21,173 | ||||||
Intelsat S.A. (1) | 4,906 | 13,099 | ||||||
Iridium Communications, Inc. (1) | 13,624 | 130,790 | ||||||
Level 3 Communications, Inc. (1) | 6,341 | 357,379 | ||||||
Lumos Networks Corp. (1) | 2,883 | 45,033 | ||||||
NII Holdings, Inc. (1) | 8,582 | 18,451 | ||||||
ORBCOMM, Inc. (1) | 942 | 7,790 | ||||||
pdvWireless, Inc. (1) | 1,679 | 37,861 | ||||||
RingCentral, Inc. (1) | 207,075 | 4,265,745 | ||||||
SBA Communications Corp. (1) | 990 | 102,227 | ||||||
Spok Holdings, Inc. | 3,732 | 77,439 | ||||||
Sprint Corp. (1) | 16,401 | 138,096 | ||||||
Telephone & Data Systems, Inc. | 2,077 | 59,963 | ||||||
United States Cellular Corp. (1) | 297 | 12,985 | ||||||
Vonage Holdings Corp. (1) | 27,580 | 188,923 | ||||||
Windstream Holdings, Inc. | 14,002 | 102,635 | ||||||
|
| |||||||
6,408,699 | ||||||||
|
| |||||||
Utilities – 4.12% | ||||||||
AES Corp. | 138,876 | 1,613,739 | ||||||
ALLETE, Inc. | 8,143 | 522,699 |
Shares | Value | |||||||
Alliant Energy Corp. | 114,179 | 4,326,242 | ||||||
Ameren Corp. | 81,191 | 4,259,280 | ||||||
American Electric Power Co., Inc. | 142,295 | 8,958,893 | ||||||
American States Water Co. | 2,005 | 91,348 | ||||||
American Water Works Co., Inc. | 3,876 | 280,467 | ||||||
Aqua America, Inc. | 3,858 | 115,894 | ||||||
Artesian Resources Corp. | 1,171 | 37,402 | ||||||
Atlantic Power Corp. (1) | 20,670 | 51,675 | ||||||
Atlantica Yield Plc | 9,640 | 186,534 | ||||||
Atmos Energy Corp. | 2,203 | 163,352 | ||||||
Avangrid, Inc. | 1,191 | 45,115 | ||||||
Avista Corp. | 10,277 | 410,977 | ||||||
Black Hills Corp. | 8,405 | 515,563 | ||||||
California Water Service Group | 3,141 | 106,480 | ||||||
Calpine Corp. (1) | 7,778 | 88,903 | ||||||
CenterPoint Energy, Inc. | 9,335 | 230,014 | ||||||
Chesapeake Utilities Corp. | 2,276 | 152,378 | ||||||
CMS Energy Corp. | 6,045 | 251,593 | ||||||
Connecticut Water Services, Inc. | 1,340 | 74,839 | ||||||
Consolidated Edison, Inc. | 6,629 | 488,425 | ||||||
Consolidated Water Co., Inc. | 2,265 | 24,575 | ||||||
Delta Natural Gas Co, Inc. | 1,172 | 34,375 | ||||||
DTE Energy Co. | 3,890 | 383,204 | ||||||
Dynegy, Inc. (1) | 19,110 | 161,671 | ||||||
Edison International | 147,096 | 10,589,441 | ||||||
El Paso Electric Co. | 6,664 | 309,876 | ||||||
Empire District Electric Co. | 7,121 | 242,755 | ||||||
Entergy Corp. | 72,393 | 5,318,714 | ||||||
Eversource Energy | 6,903 | 381,253 | ||||||
Exelon Corp. | 88,500 | 3,140,865 | ||||||
FirstEnergy Corp. | 204,017 | 6,318,406 | ||||||
Genie Energy Ltd | 1,835 | 10,551 | ||||||
Great Plains Energy, Inc. | 181,218 | 4,956,312 | ||||||
Hawaiian Electric Industries, Inc. | 2,350 | 77,714 | ||||||
IDACORP, Inc. | 8,267 | 665,907 | ||||||
MDU Resources Group, Inc. | 4,197 | 120,748 | ||||||
MGE Energy, Inc. | 66,022 | 4,311,237 |
Shares | Value | |||||||
Middlesex Water Co. | 349 | 14,986 | ||||||
National Fuel Gas Co. | 63,369 | 3,589,220 | ||||||
New Jersey Resources Corp. | 12,877 | 457,133 | ||||||
NiSource, Inc. | 6,845 | 151,548 | ||||||
Northwest Natural Gas Co. | 4,477 | 267,725 | ||||||
NorthWestern Corp. | 8,027 | 456,495 | ||||||
NRG Energy, Inc. | 6,838 | 83,834 | ||||||
NRG Yield, Inc. | 5,960 | 91,546 | ||||||
NRG Yield, Inc. | 10,256 | 162,045 | ||||||
OGE Energy Corp. | 4,291 | 143,534 | ||||||
ONE Gas, Inc. | 61,686 | 3,945,437 | ||||||
Ormat Technologies, Inc. | 3,439 | 184,399 | ||||||
Otter Tail Corp. | 6,189 | 252,511 | ||||||
Pattern Energy Group, Inc. | 2,077 | 39,442 | ||||||
PG&E Corp. | 111,997 | 6,806,058 | ||||||
Pinnacle West Capital Corp. | 2,406 | 187,740 | ||||||
PNM Resources, Inc. | 13,047 | 447,512 | ||||||
Portland General Electric Co. | 184,295 | 7,985,502 | ||||||
PPL Corp. | 14,735 | 501,727 | ||||||
Public Service Enterprise Group, Inc. | 141,396 | 6,204,456 | ||||||
SCANA Corp. | 2,830 | 207,382 | ||||||
Sempra Energy | 5,428 | 546,274 | ||||||
SJW Group | 2,658 | 148,795 | ||||||
South Jersey Industries, Inc. | 13,023 | 438,745 | ||||||
Southwest Gas Corp. | 6,933 | 531,206 | ||||||
Spire, Inc. | 7,272 | 469,408 | ||||||
TerraForm Global, Inc. | 15,496 | 61,209 | ||||||
TerraForm Power, Inc. (1) | 14,344 | 183,747 | ||||||
UGI Corp. | 3,734 | 172,063 | ||||||
Unitil Corp. | 2,306 | 104,554 | ||||||
Vectren Corp. | 1,811 | 94,444 | ||||||
Vivint Solar, Inc. (1) | 3,900 | 9,945 | ||||||
WEC Energy Group, Inc. | 6,866 | 402,691 | ||||||
Westar Energy, Inc. | 3,065 | 172,713 | ||||||
WGL Holdings, Inc. | 7,834 | 597,578 | ||||||
Xcel Energy, Inc. | 11,053 | 449,857 | ||||||
York Water Co. | 186 | 7,105 | ||||||
|
| |||||||
96,589,982 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,976,065,520) | $ | 2,268,594,250 | ||||||
|
|
Shares | Value | |||||||
CONVERTIBLE PREFERRED STOCKS – 0.00% (2) | ||||||||
Financials – 0.00% (2) | ||||||||
Wins Finance Holdings, Inc. (1) | 222 | $ | 39,960 | |||||
|
| |||||||
Total Convertible Preferred Stocks (Cost $6,565) | $ | 39,960 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 3.17% | ||||||||
Money Market Funds – 3.17% | ||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (3) | 37,062,597 | $ | 37,062,597 | |||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (3) | 37,062,598 | 37,062,598 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $74,125,195) | $ | 74,125,195 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 100.06% | ||||||||
(Cost $2,050,197,280) | $ | 2,342,759,405 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.06)% | (1,467,572 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 2,341,291,833 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR – American Depository Receipt
GDR – Global Depository Receipt
(1) | Non-income producing security. |
(2) | Amount calculated is less than 0.005%. |
(3) | Represents annualized seven-day yield as of the close of the reporting period. |
(4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of this security totals $0, which represents 0.00% of total net assets. |
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’s Financial Services LLC (“S&P”).
Bridge Builder International Equity Fund
Schedule of Investments
December 31, 2016 (Unaudited)
Shares | Value | |||||||
Common Stocks – 94.16% | ||||||||
Australia – 2.54% | ||||||||
AGL Energy | 10,346 | $ | 164,610 | |||||
Alumina Ltd | 1,416,895 | 1,852,728 | ||||||
Amcor Ltd | 16,345 | 175,919 | ||||||
AMP Ltd | 40,800 | 147,976 | ||||||
APA Group | 15,918 | 98,267 | ||||||
Aristocrat Leisure Ltd | 7,736 | 86,308 | ||||||
ASX Ltd | 2,997 | 107,368 | ||||||
Aurizon Holdings Ltd | 31,818 | 115,685 | ||||||
AusNet Services | 27,142 | 30,899 | ||||||
Australia & New Zealand Banking Group Ltd | 41,211 | 902,159 | ||||||
Bank of Queensland Ltd | 5,253 | 44,892 | ||||||
Bendigo & Adelaide Bank Ltd | 6,362 | 58,198 | ||||||
BHP Billiton Ltd | 48,243 | 864,267 | ||||||
BHP Billiton Plc | 30,828 | 490,878 | ||||||
Boral Ltd | 18,758 | 73,027 | ||||||
Brambles Ltd | 1,282,051 | 11,441,153 | ||||||
Caltex Australia Ltd | 3,681 | 80,708 | ||||||
Challenger Ltd | 8,517 | 68,817 | ||||||
CIMIC Group Ltd | 1,358 | 34,169 | ||||||
Coca-Cola Amatil Ltd | 9,589 | 69,932 | ||||||
Cochlear Ltd | 221,793 | 19,575,631 | ||||||
Commonwealth Bank of Australia | 24,145 | 1,432,384 | ||||||
Computershare Ltd | 6,804 | 61,046 | ||||||
Crown Resorts Ltd | 5,024 | 41,872 | ||||||
CSL Ltd | 297,075 | 21,484,459 | ||||||
Dexus Property Group | 12,951 | 89,844 | ||||||
Domino’s Pizza Enterprises Ltd | 880 | 41,152 | ||||||
DUET Group | 33,562 | 66,280 | ||||||
Flight Centre Travel Group Ltd | 738 | 16,632 | ||||||
Fortescue Metals Group Ltd | 21,476 | 89,748 | ||||||
Goodman Group | 28,059 | 144,101 | ||||||
GPT Group | 24,801 | 89,917 | ||||||
Harvey Norman Holdings Ltd | 7,041 | 26,089 | ||||||
Healthscope Ltd | 26,295 | 43,346 | ||||||
Incitec Pivot Ltd | 24,626 | 63,722 | ||||||
Insurance Australia Group Ltd | 37,580 | 162,058 | ||||||
LendLease Group | 7,631 | 80,191 | ||||||
Macquarie Group Ltd | 4,720 | 295,671 | ||||||
Medibank Private Ltd | 43,243 | 87,855 | ||||||
Mesoblast Ltd (1) | 589,686 | 607,133 | ||||||
Mirvac Group | 51,746 | 79,466 | ||||||
National Australia Bank Ltd | 37,366 | 825,360 | ||||||
Newcrest Mining Ltd | 11,571 | 165,918 | ||||||
Oil Search Ltd | 19,685 | 101,314 | ||||||
Orica Ltd | 5,048 | 64,156 | ||||||
Origin Energy Ltd | 24,617 | 116,469 |
Shares | Value | |||||||
Qantas Airways Ltd | 6,853 | 16,417 | ||||||
QBE Insurance Group Ltd | 1,077,129 | 9,623,901 | ||||||
Ramsay Health Care Ltd | 2,257 | 110,969 | ||||||
REA Group Ltd | 808 | 32,110 | ||||||
Santos Ltd | 22,823 | 65,745 | ||||||
Scentre Group | 82,017 | 274,551 | ||||||
Seek Ltd | 727,745 | 7,794,274 | ||||||
Sonic Healthcare Ltd | 5,643 | 86,846 | ||||||
South32 Ltd | 74,352 | 146,366 | ||||||
Stockland | 33,176 | 109,603 | ||||||
Suncorp Group Ltd | 18,495 | 180,089 | ||||||
Sydney Airport | 15,748 | 67,975 | ||||||
Tabcorp Holdings Ltd | 11,895 | 41,210 | ||||||
Tatts Group Ltd | 24,907 | 80,260 | ||||||
Telstra Corp Ltd | 64,132 | 235,665 | ||||||
TPG Telecom Ltd | 4,848 | 23,800 | ||||||
Transurban Group | 31,894 | 237,365 | ||||||
Treasury Wine Estates Ltd | 963,459 | 7,411,547 | ||||||
Vicinity Centres | 48,770 | 105,174 | ||||||
Vocus Communications Ltd | 7,369 | 20,521 | ||||||
Wesfarmers Ltd | 16,783 | 509,397 | ||||||
Westfield Corp. | 30,744 | 207,874 | ||||||
Westpac Banking Corp. | 47,113 | 1,105,928 | ||||||
Woodside Petroleum Ltd | 11,553 | 258,768 | ||||||
Woolworths Ltd | 18,783 | 326,029 | ||||||
|
| |||||||
91,832,158 | ||||||||
|
| |||||||
Austria – 0.01% | ||||||||
Andritz AG | 1,181 | 59,184 | ||||||
Erste Group Bank AG | 4,266 | 124,726 | ||||||
OMV AG | 2,032 | 71,636 | ||||||
Raiffeisen Bank International AG (1) | 2,047 | 37,315 | ||||||
voestalpine AG | 1,569 | 61,353 | ||||||
|
| |||||||
354,214 | ||||||||
|
| |||||||
Belgium – 0.71% | ||||||||
Ageas | 2,940 | 116,209 | ||||||
Anheuser-Busch InBev SA/NV | 174,858 | 18,507,729 | ||||||
Colruyt SA | 962 | 47,547 | ||||||
Groupe Bruxelles Lambert SA | 1,147 | 96,098 | ||||||
KBC Groep NV | 44,873 | 2,772,614 | ||||||
Proximus | 1,936 | 55,654 | ||||||
Solvay SA | 31,552 | 3,688,650 | ||||||
Telenet Group Holding NV (1) | 813 | 45,062 | ||||||
UCB SA | 1,971 | 126,107 | ||||||
Umicore SA | 1,344 | 76,462 | ||||||
|
| |||||||
25,532,132 | ||||||||
|
| |||||||
Bermuda – 0.33% | ||||||||
Lazard Ltd | 291,465 | 11,976,297 | ||||||
|
| |||||||
Brazil – 0.79% | ||||||||
Ambev SA – ADR | 4,539,732 | 22,290,084 | ||||||
Kroton Educacional SA | 1,505,274 | 6,147,615 | ||||||
|
| |||||||
28,437,699 | ||||||||
|
|
Shares | Value | |||||||
Canada – 1.59% | ||||||||
Cameco Corp. | 935,412 | 9,793,764 | ||||||
Canadian Pacific Railway Ltd | 151,781 | 21,669,773 | ||||||
Constellation Software, Inc. (1) | 33,906 | 15,407,388 | ||||||
Lululemon Athletica, Inc. (1) | 163,670 | 10,636,913 | ||||||
|
| |||||||
57,507,838 | ||||||||
|
| |||||||
Chile – 0.15% | ||||||||
Antofagasta Plc | 647,164 | 5,358,326 | ||||||
|
| |||||||
China – 3.34% | ||||||||
Alibaba Group Holding Ltd – ADR (1) | 202,934 | 17,819,634 | ||||||
Baidu, Inc. – ADR (1) | 114,555 | 18,833,988 | ||||||
Ctrip.com International Ltd – ADR (1) | 615,963 | 24,638,520 | ||||||
JD.com, Inc. – ADR (1) | 235,399 | 5,988,551 | ||||||
Lenovo Group Ltd | 25,234,000 | 15,211,219 | ||||||
Tencent Holdings Ltd | 1,181,916 | 28,658,052 | ||||||
Tsingtao Brewery Co. Ltd | 2,537,000 | 9,556,427 | ||||||
Yangzijiang Shipbuilding Holdings Ltd | 27,700 | 15,532 | ||||||
|
| |||||||
120,721,923 | ||||||||
|
| |||||||
Denmark – 2.16% | ||||||||
A.P. Moller-Maersk A/S – Class A | 54 | 81,492 | ||||||
A.P. Moller-Maersk A/S – Class B | 92 | 146,645 | ||||||
Carlsberg A/S | 126,259 | 10,874,583 | ||||||
CHR Hansen Holding A/S | 229,207 | 12,676,380 | ||||||
Coloplast A/S | 227,692 | 15,337,017 | ||||||
Danske Bank A/S | 122,932 | 3,719,156 | ||||||
DONG Energy A/S (1)(2) | 1,160 | 43,879 | ||||||
DSV A/S | 2,951 | 131,055 | ||||||
Genmab A/S (1) | 857 | 141,964 | ||||||
ISS A/S | 2,721 | 91,706 | ||||||
Novo Nordisk A/S – Class B | 394,617 | 14,155,776 | ||||||
Novozymes A/S | 585,704 | 20,155,199 | ||||||
Pandora A/S | 1,678 | 219,046 | ||||||
TDC A/S (1) | 11,580 | 59,363 | ||||||
Tryg A/S | 1,670 | 30,158 | ||||||
Vestas Wind Systems A/S | 3,372 | 218,386 | ||||||
William Demant Holding A/S (1) | 1,710 | 29,702 | ||||||
|
| |||||||
78,111,507 | ||||||||
|
| |||||||
Finland – 0.74% | ||||||||
Elisa OYJ | 1,997 | 64,826 | ||||||
Fortum OYJ | 6,168 | 94,285 | ||||||
Kone OYJ | 208,639 | 9,322,769 | ||||||
Metso OYJ | 1,761 | 50,099 | ||||||
Neste Oyj | 1,790 | 68,499 | ||||||
Nokia OYJ | 3,401,571 | 16,314,546 | ||||||
Nokian Renkaat OYJ | 1,915 | 71,196 | ||||||
Orion Oyj – Class B | 1,449 | 64,382 | ||||||
Sampo Oyj | 6,400 | 286,098 | ||||||
Stora Enso OYJ | 7,568 | 80,955 | ||||||
UPM-Kymmene OYJ | 7,371 | 180,263 | ||||||
Wartsila OYJ Abp | 2,113 | 94,739 | ||||||
|
| |||||||
26,692,657 | ||||||||
|
| |||||||
France – 6.89% | ||||||||
Accor SA | 296,011 | 11,027,241 | ||||||
Aeroports de Paris | 418 | 44,762 |
Shares | Value | |||||||
Air Liquide SA | 5,888 | 654,741 | ||||||
Airbus Group SE | 8,826 | 582,948 | ||||||
Alstom (1) | 2,191 | 60,250 | ||||||
Arkema SA | 1,116 | 109,090 | ||||||
Atos SE | 1,377 | 145,133 | ||||||
AXA SA | 27,233 | 686,514 | ||||||
BNP Paribas SA | 323,871 | 20,610,542 | ||||||
Bollore SA | 12,027 | 42,348 | ||||||
Bouygues SA | 200,300 | 7,170,626 | ||||||
Bureau Veritas SA | 3,904 | 75,559 | ||||||
Capgemini SA | 2,519 | 212,224 | ||||||
Carrefour SA | 7,824 | 188,371 | ||||||
Casino Guichard Perrachon SA | 723 | 34,642 | ||||||
Christian Dior SE | 822 | 172,219 | ||||||
Cie de Saint-Gobain | 313,710 | 14,593,019 | ||||||
CNP Assurances | 3,048 | 56,417 | ||||||
Credit Agricole SA | 454,436 | 5,625,337 | ||||||
Danone SA | 152,325 | 9,638,939 | ||||||
Dassault Aviation SA | 41 | 45,761 | ||||||
Dassault Systemes | 1,979 | 150,634 | ||||||
Edenred | 3,005 | 59,501 | ||||||
Eiffage SA | 863 | 60,109 | ||||||
Electricite de France SA | 4,599 | 46,794 | ||||||
Engie | 20,156 | 256,566 | ||||||
Essilor International SA | 125,495 | 14,159,426 | ||||||
Eurazeo SA | 546 | 31,920 | ||||||
Eutelsat Communications SA | 3,014 | 58,284 | ||||||
Faurecia | 139,819 | 5,415,660 | ||||||
Fonciere Des Regions | 425 | 37,056 | ||||||
Gecina SA | 580 | 80,109 | ||||||
Groupe Eurotunnel SE | 6,678 | 63,441 | ||||||
Hermes International | 30,725 | 12,603,984 | ||||||
ICADE | 455 | 32,429 | ||||||
Iliad SA | 384 | 73,746 | ||||||
Imerys SA | 476 | 36,063 | ||||||
Ingenico Group | 782 | 62,393 | ||||||
JCDecaux SA | 1,061 | 31,198 | ||||||
Kering | 1,132 | 253,913 | ||||||
Klepierre | 3,035 | 119,089 | ||||||
Lagardere SCA | 1,628 | 45,186 | ||||||
Legrand SA | 121,023 | 6,866,288 | ||||||
L’Oreal SA | 3,755 | 684,409 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 87,910 | 16,762,000 | ||||||
Michelin | 2,594 | 288,347 | ||||||
Natixis SA | 330,973 | 1,863,835 | ||||||
Orange SA | 28,192 | 427,504 | ||||||
Pernod Ricard SA | 3,156 | 341,544 | ||||||
Peugeot SA (1) | 6,776 | 110,362 | ||||||
Publicis Groupe SA | 132,798 | 9,150,421 | ||||||
Remy Cointreau SA | 302 | 25,742 | ||||||
Renault SA | 2,652 | 235,543 | ||||||
Rexel SA | 4,149 | 68,168 | ||||||
Safran SA | 184,210 | 13,249,146 |
Shares | Value | |||||||
Sanofi SA | 559,085 | 45,210,661 | ||||||
Schneider Electric SE | 134,979 | 9,376,817 | ||||||
SCOR SE | 2,143 | 73,957 | ||||||
SEB SA | 323 | 43,768 | ||||||
SFR Group SA (1) | 1,259 | 35,495 | ||||||
Societe BIC SA | 424 | 57,612 | ||||||
Societe Generale SA | 10,765 | 529,498 | ||||||
Sodexo SA | 1,398 | 160,510 | ||||||
Suez Environnement Co. | 4,544 | 66,954 | ||||||
Technip SA | 1,479 | 105,352 | ||||||
Thales SA | 1,729 | 167,507 | ||||||
Total SA | 560,531 | 28,750,908 | ||||||
Unibail-Rodamco SE | 1,441 | 343,398 | ||||||
Valeo SA | 3,648 | 209,424 | ||||||
Vallourec SA (1) | 609,000 | 4,184,487 | ||||||
Veolia Environnement SA | 7,419 | 126,063 | ||||||
Vinci SA | 61,336 | 4,172,374 | ||||||
Vivendi SA | 14,896 | 282,532 | ||||||
Wendel SA | 524 | 63,056 | ||||||
Zodiac Aerospace | 3,346 | 76,727 | ||||||
|
| |||||||
249,564,593 | ||||||||
|
| |||||||
Germany – 6.21% | ||||||||
Adidas AG | 149,022 | 23,503,551 | ||||||
Allianz SE | 81,675 | 13,479,514 | ||||||
Axel Springer SE | 692 | 33,554 | ||||||
BASF SE | 12,984 | 1,203,315 | ||||||
Bayer AG | 201,246 | 20,966,576 | ||||||
Bayer Motoren Werke AG | 4,677 | 435,599 | ||||||
Beiersdorf AG | 47,047 | 3,985,264 | ||||||
Brenntag AG | 198,934 | 11,026,722 | ||||||
Commerzbank AG | 2,385,268 | 18,161,009 | ||||||
Continental AG | 20,324 | 3,915,569 | ||||||
Covestro AG (2) | 1,034 | 70,775 | ||||||
Daimler AG | 175,276 | 13,008,258 | ||||||
Deutsche Bank AG (1) | 19,521 | 354,099 | ||||||
Deutsche Boerse AG (1) | 67,750 | 5,513,215 | ||||||
Deutsche Lufthansa AG | 3,215 | 41,444 | ||||||
Deutsche Post AG | 14,757 | 483,958 | ||||||
Deutsche Telekom AG | 676,887 | 11,613,530 | ||||||
Deutsche Wohnen AG | 5,183 | 162,573 | ||||||
E.ON SE | 1,607,809 | 11,310,885 | ||||||
Evonik Industries AG | 2,649 | 78,964 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 617 | 36,408 | ||||||
Fresenius Medical Care AG & Co. KGaA | 133,769 | 11,306,316 | ||||||
Fresenius SE & Co. KGaA | 6,252 | 487,725 | ||||||
GEA Group AG | 2,799 | 112,325 | ||||||
Hannover Rueck SE | 830 | 89,663 | ||||||
HeidelbergCement AG | 2,260 | 210,362 | ||||||
Henkel AG & Co. KGaA | 1,576 | 164,020 | ||||||
HOCHTIEF AG | 297 | 41,465 | ||||||
HUGO BOSS AG | 923 | 56,348 | ||||||
Infineon Technologies AG | 1,459,132 | 25,239,391 | ||||||
Innogy SE (1)(2) | 1,984 | 68,940 |
Shares | Value | |||||||
K&S AG | 3,190 | 75,989 | ||||||
KUKA AG (1) | 252 | 30,461 | ||||||
LANXESS AG | 1,336 | 87,486 | ||||||
Linde AG | 2,813 | 461,440 | ||||||
MAN SE | 503 | 49,926 | ||||||
Merck KGaA | 1,970 | 205,119 | ||||||
METRO AG | 2,613 | 86,849 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 2,283 | 431,210 | ||||||
OSRAM Licht AG | 1,269 | 66,452 | ||||||
ProSiebenSat.1 Media SE | 3,214 | 123,714 | ||||||
RWE AG (1) | 156,037 | 1,936,216 | ||||||
SAP SE | 230,391 | 19,930,050 | ||||||
Siemens AG | 69,313 | 8,486,709 | ||||||
Symrise AG | 1,908 | 115,926 | ||||||
Telefonica Deutschland Holding AG | 10,258 | 43,847 | ||||||
ThyssenKrupp AG | 5,784 | 137,401 | ||||||
TUI AG | 6,880 | 98,503 | ||||||
United Internet AG | 1,757 | 68,563 | ||||||
Volkswagen AG | 456 | 65,448 | ||||||
Vonovia SE | 6,428 | 208,701 | ||||||
Zalando SE (1)(2) | 395,457 | 15,064,686 | ||||||
|
| |||||||
224,936,033 | ||||||||
|
| |||||||
Hong Kong – 2.64% | ||||||||
1st Pacific Co. | 22,000 | 15,347 | ||||||
AIA Group Ltd | 449,906 | 2,520,302 | ||||||
ASM Pacific Technology Ltd | 3,500 | 37,014 | ||||||
Bank Of East Asia Ltd | 17,200 | 65,663 | ||||||
BOC Hong Kong Holdings Ltd | 50,000 | 178,078 | ||||||
Cathay Pacific Airways Ltd | 13,000 | 17,060 | ||||||
Cheung Kong Infrastructure Holdings Ltd | 10,000 | 79,424 | ||||||
Cheung Kong Property Holdings Ltd | 37,000 | 225,959 | ||||||
China Mobile Ltd | 1,400,000 | 14,760,446 | ||||||
China Shenhua Energy Co Ltd | 796,000 | 1,487,895 | ||||||
CK Hutchison Holdings Ltd | 1,549,000 | 17,485,824 | ||||||
CLP Holdings Ltd | 25,500 | 233,858 | ||||||
Galaxy Entertainment Group Ltd | 5,818,000 | 25,198,467 | ||||||
Hang Lung Group Ltd | 12,000 | 41,639 | ||||||
Hang Lung Properties Ltd | 30,000 | 63,259 | ||||||
Hang Seng Bank Ltd | 11,200 | 207,699 | ||||||
Henderson Land Development Co. Ltd | 15,000 | 79,500 | ||||||
HK Electric Investments & HK Electric Investments Ltd (2) | 38,000 | 31,327 | ||||||
HKT Trust & HKT Ltd | 37,000 | 45,320 | ||||||
Hong Kong & China Gas Co. Ltd | 117,100 | 206,821 | ||||||
Hong Kong Exchanges & Clearing Ltd | 17,399 | 409,196 | ||||||
Hongkong Land Holdings Ltd | 17,600 | 110,875 | ||||||
Hysan Development Co. Ltd | 9,000 | 37,116 | ||||||
Jardine Matheson Holdings Ltd | 222,000 | 12,249,465 | ||||||
Kerry Properties Ltd | 8,500 | 22,986 | ||||||
Li & Fung Ltd | 106,000 | 46,455 | ||||||
Link Real Estate Investment Trust | 34,000 | 220,425 | ||||||
Melco Crown Entertainment Ltd – ADR | 2,718 | 43,216 | ||||||
MTR Corp. Ltd | 24,000 | 116,358 | ||||||
New World Development Co. Ltd | 84,000 | 88,503 |
Shares | Value | |||||||
NWS Holdings Ltd | 24,000 | 39,014 | ||||||
PAX Global Technology Ltd | 4,691,000 | 3,093,159 | ||||||
PCCW Ltd | 58,000 | 31,354 | ||||||
Power Assets Holdings Ltd | 19,500 | 171,543 | ||||||
Shangri-La Asia Ltd | 20,000 | 21,061 | ||||||
Sino Land Co. Ltd | 42,000 | 62,624 | ||||||
SJM Holdings Ltd | 45,000 | 35,115 | ||||||
Sun Hung Kai Properties Ltd | 20,000 | 251,850 | ||||||
Swire Pacific Ltd – Class A | 1,581,500 | 15,049,198 | ||||||
Swire Properties Ltd | 14,800 | 40,743 | ||||||
Techtronic Industries Co. Ltd | 20,500 | 73,359 | ||||||
WH Group Ltd (2) | 125,500 | 101,165 | ||||||
Wharf Holdings Ltd | 18,000 | 119,232 | ||||||
Wheelock & Co Ltd | 10,000 | 56,122 | ||||||
Yue Yuen Industrial Holdings Ltd | 10,000 | 36,247 | ||||||
|
| |||||||
95,507,283 | ||||||||
|
| |||||||
India – 0.68% | ||||||||
HDFC Bank Ltd – ADR | 254,446 | 15,439,783 | ||||||
Mahindra & Mahindra Ltd – GDR | 526,314 | 9,236,248 | ||||||
|
| |||||||
24,676,031 | ||||||||
|
| |||||||
Indonesia – 0.39% | ||||||||
Bank Mandiri Persero Tbk PT | 16,713,800 | 14,305,072 | ||||||
|
| |||||||
Ireland – 2.17% | ||||||||
Accenture Plc | 190,079 | 22,263,953 | ||||||
AerCap Holdings NV (1) | 2,254 | 93,789 | ||||||
Bank Of Ireland (1) | 430,196 | 105,363 | ||||||
CRH Plc | 12,722 | 438,816 | ||||||
DCC Plc | 1,378 | 102,429 | ||||||
Experian Plc | 919,365 | 17,800,518 | ||||||
ICON Plc (1) | 153,261 | 11,525,227 | ||||||
James Hardie Industries Plc | 6,921 | 109,251 | ||||||
Kerry Group Plc | 2,421 | 173,041 | ||||||
Medtronic Plc | 183,250 | 13,052,898 | ||||||
Paddy Power Plc | 1,240 | 131,945 | ||||||
Perrigo Co. Plc | 111,270 | 9,261,002 | ||||||
Ryanair Holdings Plc – ADR (1) | 42,683 | 3,553,787 | ||||||
|
| |||||||
78,612,019 | ||||||||
|
| |||||||
Israel – 0.03% | ||||||||
Azrieli Group | 599 | 25,997 | ||||||
Bank Hapoalim BM | 14,727 | 87,412 | ||||||
Bank Leumi Le-Israel BM (1) | 19,891 | 81,744 | ||||||
Bezeq The Israeli telecommunication Corp. Ltd | 28,710 | 54,458 | ||||||
Check Point Software Technologies Ltd (1) | 1,941 | 163,937 | ||||||
Elbit Systems Ltd | 415 | 41,923 | ||||||
Frutarom Industries Ltd | 547 | 27,920 | ||||||
Israel Chemicals Ltd | 7,041 | 28,745 | ||||||
Mizrahi Tefahot Bank Ltd | 1,988 | 29,034 | ||||||
Mobileye NV (1) | 2,510 | 95,681 | ||||||
NICE-Systems Ltd | 883 | 60,585 | ||||||
Taro Pharmaceutical Industries Ltd (1) | 221 | 23,265 | ||||||
Teva Pharmaceutical Industries Ltd – ADR | 13,105 | 475,056 | ||||||
|
| |||||||
1,195,757 | ||||||||
|
|
Shares | Value | |||||||
Italy – 1.71% | ||||||||
Assicurazioni Generali SpA | 16,399 | 243,073 | ||||||
Atlantia SpA | 6,093 | 142,554 | ||||||
Enel SpA | 3,733,301 | 16,410,526 | ||||||
Eni SpA | 1,718,769 | 27,863,183 | ||||||
EXOR NV | 1,496 | 64,339 | ||||||
Ferrari NV | 2,130 | 124,010 | ||||||
Intesa Sanpaolo SpA | 175,016 | 443,342 | ||||||
Intesa Sanpaolo SpA – Savings Share | 13,354 | 31,278 | ||||||
Luxottica Group SpA | 219,837 | 11,815,500 | ||||||
Mediobanca SpA | 7,154 | 58,263 | ||||||
Poste Italiane SpA (2) | 7,207 | 47,791 | ||||||
Prysmian SpA | 3,343 | 85,682 | ||||||
Saipem SpA (1) | 87,967 | 49,201 | ||||||
Snam SpA | 37,100 | 152,587 | ||||||
Telecom Italia SpA (1) | 4,567,717 | 4,033,033 | ||||||
Telecom Italia SpA – Savings Share | 83,149 | 60,349 | ||||||
Terna Rete Elettrica Nazionale SpA | 24,154 | 110,465 | ||||||
UniCredit SpA | 72,435 | 208,015 | ||||||
UnipolSai SpA | 15,047 | 32,094 | ||||||
|
| |||||||
61,975,285 | ||||||||
|
| |||||||
Japan – 17.97% | ||||||||
ABC-Mart, Inc. | 500 | 28,286 | ||||||
Acom Co. Ltd | 5,700 | 24,890 | ||||||
Aeon Co. Ltd | 10,200 | 144,163 | ||||||
Aeon Financial Service Co. Ltd | 1,500 | 26,568 | ||||||
Aeon Mall Co. Ltd | 1,800 | 25,295 | ||||||
Air Water, Inc. | 2,000 | 36,027 | ||||||
Aisin Seiki Co. | 2,700 | 116,827 | ||||||
Ajinomoto Co, Inc. | 8,365 | 168,325 | ||||||
Alfresa Holdings Corp. | 2,800 | 46,247 | ||||||
Alps Electric Co. | 2,700 | 64,875 | ||||||
Amada Holdings Co. | 3,900 | 43,448 | ||||||
ANA Holdings, Inc. | 16,000 | 43,040 | ||||||
Aozora Bank | 16,000 | 56,532 | ||||||
Asahi Glass Co. Ltd | 14,000 | 94,985 | ||||||
Asahi Group Holdings Ltd | 306,200 | 9,640,740 | ||||||
Asahi Kasei Corp. | 18,000 | 156,623 | ||||||
Ashikaga Holdings Co. Ltd | 13,140 | 48,564 | ||||||
Asics Corp. | 2,400 | 47,827 | ||||||
Astellas Pharma, Inc. | 32,400 | 449,497 | ||||||
Bandai Namco Holdings | 2,900 | 79,822 | ||||||
Bank of Kyoto Ltd | 4,000 | 29,650 | ||||||
Benesse Holdings, Inc. | 800 | 21,980 | ||||||
Bridgestone Corp. | 9,200 | 331,023 | ||||||
Brother Industries Ltd | 3,400 | 61,123 | ||||||
Calbee, Inc. | 1,100 | 34,409 | ||||||
Canon, Inc. | 489,300 | 13,779,754 | ||||||
Casio Computer Co. Ltd | 3,300 | 46,507 | ||||||
Central Japan Railway Co. | 2,000 | 328,379 | ||||||
Chiba Bank Ltd | 9,000 | 55,171 | ||||||
Chubu Electric Power Co., Inc. | 9,000 | 125,238 | ||||||
Chugai Pharmaceutical Co. Ltd | 3,200 | 91,789 | ||||||
Chugoku Bank Ltd | 2,300 | 32,986 |
Shares | Value | |||||||
Chugoku Electric Power Co., Inc. | 4,900 | 57,353 | ||||||
Concordia Financial Group Ltd | 16,300 | 78,438 | ||||||
Credit Saison Co. Ltd | 2,000 | 35,592 | ||||||
CYBERDYNE, Inc. | 1,400 | 19,741 | ||||||
Dai Nippon Printing Co. Ltd | 7,000 | 69,067 | ||||||
Daicel Corp. | 4,800 | 52,771 | ||||||
Dai-ichi Life Insurance Co. Ltd | 235,300 | 3,912,211 | ||||||
Daiichi Sankyo Co. Ltd | 8,300 | 169,480 | ||||||
Daikin Industries Ltd | 3,600 | 329,792 | ||||||
Daito Trust Construction Co. Ltd | 1,100 | 165,372 | ||||||
Daiwa House Industry Co. Ltd | 8,400 | 229,071 | ||||||
Daiwa House REIT Investment Corp. | 19 | 48,168 | ||||||
Daiwa Securities Group, Inc. | 24,000 | 147,785 | ||||||
DeNA Co. Ltd | 1,500 | 32,783 | ||||||
Denso Corp. | 164,100 | 7,098,390 | ||||||
Dentsu, Inc. | 3,400 | 159,879 | ||||||
Don Quijote Holdings Co. Ltd | 1,700 | 62,739 | ||||||
East Japan Railway Co. | 273,400 | 23,572,199 | ||||||
Eisai Co. Ltd | 3,600 | 206,307 | ||||||
Electric Power Development Co. Ltd | 2,300 | 52,789 | ||||||
FamilyMart UNY Holdings Co Ltd | 1,250 | 83,175 | ||||||
FANUC Corp. | 2,800 | 468,425 | ||||||
Fast Retailing Co. Ltd | 800 | 285,622 | ||||||
Fuji Electric Co. Ltd | 7,000 | 36,146 | ||||||
Fuji Heavy Industries Ltd | 8,800 | 358,551 | ||||||
FUJIFILM Holdings Corp. | 6,200 | 234,768 | ||||||
Fujitsu Ltd | 1,662,000 | 9,203,406 | ||||||
Fukuoka Financial Group, Inc. | 11,000 | 48,785 | ||||||
Hachijuni Bank Ltd | 5,200 | 30,089 | ||||||
Hakuhodo DY Holdings, Inc. | 3,000 | 36,940 | ||||||
Hamamatsu Photonics KK | 2,100 | 55,157 | ||||||
Hankyu Hanshin Holdings, Inc. | 3,400 | 108,871 | ||||||
Hikari Tsushin, Inc. | 400 | 37,235 | ||||||
Hino Motors Ltd | 3,555 | 36,119 | ||||||
Hirose Electric Co. Ltd | 500 | 61,833 | ||||||
Hiroshima Bank Ltd | 6,000 | 27,959 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 800 | 39,958 | ||||||
Hitachi Chemical Co. Ltd | 1,500 | 37,419 | ||||||
Hitachi Construction Machinery Co. Ltd | 1,500 | 32,428 | ||||||
Hitachi High-Technologies Corp. | 980 | 39,416 | ||||||
Hitachi Ltd | 68,000 | 366,666 | ||||||
Hitachi Metals Ltd | 3,100 | 41,737 | ||||||
Hokuriku Electric Power Co. | 3,500 | 39,148 | ||||||
Honda Motor Co. Ltd | 991,000 | 28,932,557 | ||||||
Hoshizaki Corp. | 700 | 55,418 | ||||||
Hoya Corp. | 6,100 | 255,769 | ||||||
Hulic Co. Ltd | 4,300 | 38,151 | ||||||
Idemitsu Kosan Co. Ltd | 1,300 | 34,483 | ||||||
IHI Corp. | 20,000 | 51,798 | ||||||
Iida Group Holdings Co. Ltd | 85,000 | 1,611,365 | ||||||
Inpex Corp. | 359,900 | 3,597,492 | ||||||
Isetan Mitsukoshi Holdings Ltd | 4,600 | 49,531 | ||||||
Isuzu Motors Ltd | 558,700 | 7,064,497 |
Shares | Value | |||||||
ITOCHU Corp. | 140,800 | 1,864,299 | ||||||
J Front Retailing Co. Ltd | 4,100 | 55,201 | ||||||
Japan Airlines Co Ltd | 2,000 | 58,362 | ||||||
Japan Airport Terminal Co. Ltd | 700 | 25,294 | ||||||
Japan Exchange Group, Inc. | 958,200 | 13,666,128 | ||||||
Japan Post Bank Co. | 5,400 | 64,711 | ||||||
Japan Post Holdings Co. | 6,200 | 77,199 | ||||||
Japan Prime Realty Investment Corp. | 12 | 47,344 | ||||||
Japan Real Estate Investment Corp. | 19 | 103,765 | ||||||
Japan Retail Fund Investment Corp. | 36 | 72,980 | ||||||
Japan Tobacco, Inc. | 1,015,500 | 33,332,405 | ||||||
JFE Holdings, Inc. | 8,300 | 125,516 | ||||||
JGC Corp. | 2,900 | 52,537 | ||||||
JSR Corp. | 2,300 | 36,203 | ||||||
JTEKT Corp. | 3,800 | 60,594 | ||||||
JX Holdings, Inc. | 29,400 | 124,227 | ||||||
Kajima Corp. | 14,000 | 96,700 | ||||||
Kakaku.com, Inc. | 630,200 | 10,412,865 | ||||||
Kamigumi Co. Ltd | 3,000 | 28,573 | ||||||
Kaneka Corp. | 4,000 | 32,536 | ||||||
Kansai Electric Power Co., Inc. | 10,100 | 110,107 | ||||||
Kansai Paint Co. Ltd | 3,000 | 55,181 | ||||||
Kao Corp. | 350,100 | 16,571,945 | ||||||
Kawasaki Heavy Industries Ltd | 19,750 | 61,821 | ||||||
KDDI Corp. | 26,000 | 656,577 | ||||||
Keihan Electric Railway Co. Ltd | 7,000 | 45,916 | ||||||
Keikyu Corp. | 8,000 | 92,665 | ||||||
Keio Corp. | 9,000 | 73,928 | ||||||
Keisei Electric Railway Co. Ltd | 2,000 | 48,428 | ||||||
Keyence Corp. | 27,377 | 18,732,701 | ||||||
Kikkoman Corp. | 2,000 | 63,813 | ||||||
Kintetsu Group Holdings Co. Ltd | 26,000 | �� | 99,078 | |||||
Kirin Holdings Co. Ltd | 12,200 | 198,021 | ||||||
Kobe Steel Ltd | 4,455 | 42,359 | ||||||
Koito Manufacturing Co. Ltd | 1,600 | 84,496 | ||||||
Komatsu Ltd | 12,700 | 287,657 | ||||||
Konami Holdings Corp. | 1,300 | 52,466 | ||||||
Konica Minolta, Inc. | 5,700 | 56,491 | ||||||
Kose Corp. | 500 | 41,454 | ||||||
Kubota Corp. | 16,300 | 232,288 | ||||||
Kuraray Co. Ltd | 5,000 | 74,978 | ||||||
Kurita Water Industries Ltd | 1,415 | 31,131 | ||||||
Kyocera Corp. | 4,400 | 218,154 | ||||||
Kyowa Hakko Kirin Co. Ltd | 4,200 | 57,932 | ||||||
Kyushu Electric Power Co., Inc. | 6,100 | 66,084 | ||||||
Kyushu Financial Group, Inc. | 6,700 | 45,396 | ||||||
Lawson, Inc. | 900 | 63,173 | ||||||
LINE Corp. | 600 | 20,483 | ||||||
Lion Corp. | 4,000 | 65,565 | ||||||
LIXIL Group Corp. | 3,800 | 86,128 | ||||||
M3, Inc. | 2,700 | 67,881 | ||||||
Mabuchi Motor Co. Ltd | 800 | 41,571 | ||||||
Makita Corp. | 1,600 | 106,910 |
Shares | Value | |||||||
Marubeni Corp. | 22,800 | 128,959 | ||||||
Marui Group Co. Ltd | 2,900 | 42,252 | ||||||
Maruichi Steel Tube Ltd | 900 | 29,247 | ||||||
Mazda Motor Corp. | 7,900 | 128,643 | ||||||
McDonald’s Holdings Co. Japan Ltd | 950 | 24,851 | ||||||
Medipal Holdings Corp. | 2,340 | 36,860 | ||||||
MEIJI Holdings Co. Ltd | 1,700 | 132,988 | ||||||
Minebea Co. Ltd | 4,800 | 44,790 | ||||||
Miraca Holdings, Inc. | 800 | 35,781 | ||||||
MISUMI Group, Inc. | 3,900 | 64,064 | ||||||
Mitsubishi Chemical Holdings Corp. | 22,900 | 148,064 | ||||||
Mitsubishi Corp. | 694,900 | 14,758,741 | ||||||
Mitsubishi Electric Corp. | 690,200 | 9,600,105 | ||||||
Mitsubishi Estate Co. Ltd | 19,000 | 377,429 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 2,300 | 39,191 | ||||||
Mitsubishi Heavy Industries Ltd | 44,400 | 201,844 | ||||||
Mitsubishi Logistics Corp. | 3,000 | 42,295 | ||||||
Mitsubishi Materials Corp. | 1,400 | 42,822 | ||||||
Mitsubishi Motors Corp. | 9,700 | 55,141 | ||||||
Mitsubishi Tanabe Pharma Corp. | 3,090 | 60,502 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,109,200 | 6,840,796 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd | 5,900 | 30,431 | ||||||
Mitsui & Co. Ltd | 23,600 | 323,375 | ||||||
Mitsui Chemicals, Inc. | 13,500 | 60,487 | ||||||
Mitsui Fudosan Co. Ltd | 13,000 | 300,957 | ||||||
Mitsui OSK Lines Ltd | 15,000 | 41,401 | ||||||
Mixi, Inc. | 575 | 20,952 | ||||||
Mizuho Financial Group, Inc. | 338,700 | 607,809 | ||||||
MS&AD Insurance Group Holdings, Inc. | 546,640 | 16,928,106 | ||||||
Murata Manufacturing Co. Ltd | 2,900 | 387,256 | ||||||
Nabtesco Corp. | 1,500 | 34,771 | ||||||
Nagoya Railroad Co. Ltd | 13,500 | 65,181 | ||||||
NEC Corp. | 39,000 | 103,152 | ||||||
Nexon Co. Ltd | 2,600 | 37,573 | ||||||
NGK Insulators Ltd | 3,700 | 71,620 | ||||||
NGK Spark Plug Co. Ltd | 2,900 | 64,278 | ||||||
NH Foods Ltd | 2,000 | 53,953 | ||||||
Nidec Corp. | 3,600 | 309,926 | ||||||
Nikon Corp. | 4,800 | 74,546 | ||||||
Nintendo Co. Ltd | 1,700 | 353,388 | ||||||
Nippon Building Fund, Inc. | 21 | 116,417 | ||||||
Nippon Electric Glass Co. Ltd | 5,000 | 26,977 | ||||||
Nippon Express Co. Ltd | 11,000 | 59,062 | ||||||
Nippon Paint Holdings Co. Ltd | 2,400 | 65,147 | ||||||
Nippon Prologis Real Estate Investment Trust, Inc. | 22 | 44,987 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 11,100 | 245,852 | ||||||
Nippon Telegraph & Telephone Corp. | 404,100 | 17,010,655 | ||||||
Nippon Yusen KK | 22,000 | 40,742 | ||||||
Nissan Chemical Industries Ltd | 1,800 | 60,001 | ||||||
Nissan Motor Co. Ltd | 33,900 | 340,056 | ||||||
Nisshin Seifun Group, Inc. | 2,600 | 38,958 | ||||||
Nissin Foods Holdings Co. Ltd | 1,100 | 57,699 | ||||||
Nitori Holdings Co. Ltd | 1,200 | 136,818 |
Shares | Value | |||||||
Nitto Denko Corp. | 2,500 | 191,403 | ||||||
NOK Corp. | 1,200 | 24,271 | ||||||
Nomura Holdings, Inc. | 3,424,500 | 20,246,205 | ||||||
Nomura Real Estate Holdings, Inc. | 1,300 | 22,061 | ||||||
Nomura Real Estate Master Fund, Inc. | 56 | 84,758 | ||||||
Nomura Research Institute Ltd | 1,848 | 56,164 | ||||||
NSK Ltd | 6,000 | 69,297 | ||||||
NTT Data Corp. | 1,900 | 91,792 | ||||||
NTT DOCOMO, Inc. | 180,300 | 4,100,973 | ||||||
Obayashi Corp. | 9,300 | 88,790 | ||||||
Obic Co. Ltd | 900 | 39,254 | ||||||
Odakyu Electric Railway Co. Ltd | 4,600 | 90,896 | ||||||
Oji Holdings Corp. | 11,000 | 44,733 | ||||||
Olympus Corp. | 282,500 | 9,733,469 | ||||||
Omron Corp. | 429,200 | 16,401,862 | ||||||
Ono Pharmaceutical Co. Ltd | 6,300 | 137,306 | ||||||
Oracle Corp Japan | 600 | 30,182 | ||||||
Oriental Land Co. Ltd | 3,300 | 186,257 | ||||||
ORIX Corp. | 18,300 | 284,826 | ||||||
Osaka Gas Co. Ltd | 32,000 | 122,786 | ||||||
Otsuka Corp. | 700 | 32,651 | ||||||
Otsuka Holdings Co. Ltd | 6,030 | 262,669 | ||||||
Panasonic Corp. | 2,410,800 | 24,450,717 | ||||||
Park24 Co. Ltd | 1,500 | 40,619 | ||||||
Pigeon Corp. | 388,800 | 9,913,684 | ||||||
Pola Orbis Holdings, Inc. | 400 | 32,977 | ||||||
Rakuten, Inc. | 965,000 | 9,454,923 | ||||||
Recruit Holdings Co. Ltd | 5,600 | 224,428 | ||||||
Resona Holdings, Inc. | 30,500 | 156,313 | ||||||
Ricoh Co. Ltd | 9,200 | 77,720 | ||||||
Rinnai Corp. | 600 | 48,278 | ||||||
Rohm Co. Ltd | 1,200 | 68,848 | ||||||
Ryohin Keikaku Co. Ltd | 400 | 78,293 | ||||||
Sankyo Co. Ltd | 600 | 19,345 | ||||||
Santen Pharmaceutical Co. Ltd | 5,400 | 65,887 | ||||||
SBI Holdings, Inc. | 2,925 | 37,165 | ||||||
Secom Co. Ltd | 3,200 | 233,805 | ||||||
Sega Sammy Holdings, Inc. | 2,600 | 38,636 | ||||||
Seibu Holdings, Inc. | 2,500 | 44,760 | ||||||
Seiko Epson Corp. | 4,300 | 90,784 | ||||||
Sekisui Chemical Co. Ltd | 5,700 | 90,736 | ||||||
Sekisui House Ltd | 1,216,800 | 20,216,283 | ||||||
Seven & i Holdings Co. Ltd | 11,300 | 429,730 | ||||||
Seven Bank Ltd | 9,100 | 26,020 | ||||||
Sharp Corp. | 21,050 | 48,705 | ||||||
Shimadzu Corp. | 4,000 | 63,548 | ||||||
Shimamura Co. Ltd | 400 | 49,873 | ||||||
Shimano, Inc. | 92,600 | 14,504,198 | ||||||
Shimizu Corp. | 8,000 | 73,024 | ||||||
Shin-Etsu Chemical Co. Ltd | 5,795 | 448,469 | ||||||
Shinsei Bank Ltd | 23,000 | 38,487 | ||||||
Shionogi & Co. Ltd | 4,600 | 219,848 | ||||||
Shiseido Co. Ltd | 474,400 | 11,989,984 |
Shares | Value | |||||||
Shizuoka Bank Ltd | 7,000 | 58,748 | ||||||
Showa Shell Sekiyu KK | 2,800 | 26,013 | ||||||
SMC Corp. | 40,400 | 9,612,150 | ||||||
SoftBank Group Corp. | 14,500 | 959,524 | ||||||
Sohgo Security Services Co. Ltd | 1,000 | 38,384 | ||||||
Sompo Holdings, Inc. | 80,950 | 2,733,788 | ||||||
Sony Corp. | 265,300 | 7,412,996 | ||||||
Sony Financial Holdings, Inc. | 2,200 | 34,295 | ||||||
Stanley Electric Co. Ltd | 2,100 | 57,210 | ||||||
Start Today Co Ltd | 2,500 | 43,066 | ||||||
Sugi Holdings Co. Ltd | 92,500 | 4,388,391 | ||||||
Sumitomo Chemical Co. Ltd | 21,300 | 100,969 | ||||||
Sumitomo Corp. | 16,400 | 192,526 | ||||||
Sumitomo Dainippon Pharma Co. Ltd | 2,400 | 41,194 | ||||||
Sumitomo Electric Industries Ltd | 1,309,500 | 18,855,901 | ||||||
Sumitomo Heavy Industries Ltd | 9,000 | 57,790 | ||||||
Sumitomo Metal Mining Co. Ltd | 8,000 | 102,062 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 816,700 | 31,102,365 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 665,500 | 23,810,732 | ||||||
Sumitomo Realty & Development Co. Ltd | 6,000 | 159,284 | ||||||
Sumitomo Rubber Industries Ltd | 2,300 | 36,391 | ||||||
Sundrug Co. Ltd | 500 | 34,571 | ||||||
Suntory Beverage & Food Ltd | 2,010 | 83,257 | ||||||
Suruga Bank Ltd | 385,200 | 8,600,553 | ||||||
Suzuken Co. Ltd | 900 | 29,396 | ||||||
Suzuki Motor Corp. | 5,300 | 186,077 | ||||||
Sysmex Corp. | 195,955 | 11,322,176 | ||||||
T&D Holdings, Inc. | 7,700 | 101,620 | ||||||
Taiheiyo Cement Corp. | 17,000 | 53,595 | ||||||
Taisei Corp. | 15,000 | 104,745 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd | 500 | 41,449 | ||||||
Taiyo Nippon Sanso Corp. | 1,900 | 21,949 | ||||||
Takashimaya Co. Ltd | 2,305,000 | 18,974,142 | ||||||
Takeda Pharmaceutical Co. Ltd | 414,400 | 17,191,814 | ||||||
TDK Corp. | 1,900 | 130,280 | ||||||
Teijin Ltd | 2,600 | 52,535 | ||||||
Terumo Corp. | 5,200 | 191,700 | ||||||
THK Co. Ltd | 1,500 | 33,125 | ||||||
Tobu Railway Co. Ltd | 13,000 | 64,446 | ||||||
Toho Co. Ltd | 1,600 | 45,134 | ||||||
Toho Gas Co. Ltd | 6,000 | 48,731 | ||||||
Tohoku Electric Power Co., Inc. | 6,300 | 79,417 | ||||||
Tokio Marine Holdings, Inc. | 442,400 | 18,113,220 | ||||||
Tokyo Electric Power Co., Inc. | 20,600 | 82,909 | ||||||
Tokyo Electron Ltd | 2,200 | 206,909 | ||||||
Tokyo Gas Co. Ltd | 32,000 | 144,452 | ||||||
Tokyo Tatemono Co. Ltd | 2,900 | 38,716 | ||||||
Tokyu Corp. | 15,000 | 110,073 | ||||||
Tokyu Fudosan Holdings Corp. | 7,100 | 41,816 | ||||||
TonenGeneral Sekiyu KK | 4,000 | 42,121 | ||||||
Toppan Printing Co. Ltd | 7,000 | 66,746 | ||||||
Toray Industries, Inc. | 22,000 | 177,662 | ||||||
Toshiba Corp. | 61,000 | 147,348 |
Shares | Value | |||||||
TOTO Ltd | 2,000 | 78,997 | ||||||
Toyo Seikan Group Holdings Ltd | 2,400 | 44,630 | ||||||
Toyo Suisan Kaisha Ltd | 1,250 | 45,224 | ||||||
Toyoda Gosei Co Ltd | 800 | 18,671 | ||||||
Toyota Industries Corp. | 2,200 | 104,600 | ||||||
Toyota Motor Corp. | 346,894 | 20,337,845 | ||||||
Toyota Tsusho Corp. | 2,935 | 76,287 | ||||||
Trend Micro, Inc. | 1,500 | 53,241 | ||||||
Tsuruha Holdings, Inc. | 600 | 56,786 | ||||||
Unicharm Corp. | 6,200 | 135,410 | ||||||
United Urban Investment Corp. | 41 | 62,544 | ||||||
USS Co. Ltd | 3,100 | 49,246 | ||||||
West Japan Railway Co. | 45,400 | 2,781,021 | ||||||
Yahoo Japan Corp. | 20,300 | 77,748 | ||||||
Yakult Honsha Co. Ltd | 1,200 | 55,520 | ||||||
Yamada Denki Co. Ltd | 8,640 | 46,522 | ||||||
Yamaguchi Financial Group, Inc. | 3,000 | 32,661 | ||||||
Yamaha Corp. | 2,400 | 73,182 | ||||||
Yamaha Motor Co. Ltd | 822,000 | 18,025,690 | ||||||
Yamato Holdings Co. Ltd | 5,500 | 111,491 | ||||||
Yamazaki Baking Co. Ltd | 1,800 | 34,703 | ||||||
Yaskawa Electric Corp. | 3,700 | 57,368 | ||||||
Yokogawa Electric Corp. | 3,200 | 46,200 | ||||||
Yokohama Rubber Co. Ltd | 1,700 | 30,388 | ||||||
|
| |||||||
650,460,676 | ||||||||
|
| |||||||
Jersey – 0.00% (3) | ||||||||
Randgold Resources Ltd | 1,458 | 112,015 | ||||||
|
| |||||||
Jordan – 0.00% (3) | ||||||||
Hikma Pharmaceuticals Plc | 2,056 | 47,921 | ||||||
|
| |||||||
Luxembourg – 0.02% | ||||||||
ArcelorMittal (1) | 25,048 | 184,041 | ||||||
Eurofins Scientific SE | 157 | 66,889 | ||||||
Millicom International Cellular SA | 944 | 40,228 | ||||||
RTL Group SA | 585 | 42,859 | ||||||
SES SA | 4,976 | 109,486 | ||||||
Tenaris SA | 7,452 | 133,023 | ||||||
|
| |||||||
576,526 | ||||||||
|
| |||||||
Macau – 0.01% | ||||||||
MGM China Holdings Ltd | 13,600 | 28,093 | ||||||
Sands China Ltd | 36,800 | 158,761 | ||||||
Wynn Macau Ltd | 22,800 | 36,043 | ||||||
|
| |||||||
222,897 | ||||||||
|
| |||||||
Malaysia – 0.13% | ||||||||
Public Bank Bhd | 1,072,700 | 4,715,480 | ||||||
|
| |||||||
Mexico – 0.63% | ||||||||
America Movil SAB de CV – ADR | 943,700 | 11,862,309 | ||||||
Fresnillo Plc | 3,158 | 46,910 | ||||||
Wal-Mart de Mexico SAB de CV | 6,096,668 | 10,911,250 | ||||||
|
| |||||||
22,820,469 | ||||||||
|
| |||||||
Netherlands – 4.06% | ||||||||
ABN AMRO Group NV (2) | 3,890 | 86,132 | ||||||
Aegon NV | 25,281 | 138,885 | ||||||
Akzo Nobel NV | 147,654 | 9,226,460 |
Shares | Value | |||||||
Altice NV – Class A (1) | 5,770 | 114,188 | ||||||
Altice NV – Class B (1) | 1,273 | 25,330 | ||||||
ASML Holding NV | 5,571 | 624,347 | ||||||
Boskalis Westminster | 1,363 | 47,285 | ||||||
Core Laboratories NV | 154,688 | 18,568,747 | ||||||
Gemalto NV | 1,156 | 66,761 | ||||||
Heineken Holding NV | 1,644 | 114,325 | ||||||
Heineken NV | 3,442 | 257,937 | ||||||
ING Groep NV | 477,026 | 6,715,955 | ||||||
Koninklijke Ahold Delhaize NV | 711,285 | 14,981,846 | ||||||
Koninklijke DSM NV | 2,534 | 151,856 | ||||||
Koninklijke KPN NV | 1,214,755 | 3,592,192 | ||||||
Koninklijke Philips NV | 14,436 | 441,338 | ||||||
Koninklijke Vopak NV | 1,103 | 52,040 | ||||||
NN Group NV | 4,348 | 147,191 | ||||||
NXP Semiconductors NV (1) | 4,452 | 436,341 | ||||||
PostNL NV (1) | 5,162,932 | 22,180,499 | ||||||
QIAGEN (1) | 184,309 | 5,164,338 | ||||||
QIAGEN NV (1) | 141,172 | 3,956,125 | ||||||
Randstad Holding NV | 1,653 | 89,539 | ||||||
Royal Dutch Shell Plc | 465,300 | 12,844,008 | ||||||
Royal Dutch Shell Plc – Class A | 952,957 | 25,992,553 | ||||||
Royal Dutch Shell Plc – Class B | 723,446 | 20,786,107 | ||||||
Wolters Kluwer NV | 4,653 | 168,296 | ||||||
|
| |||||||
146,970,621 | ||||||||
|
| |||||||
New Zealand – 0.01% | ||||||||
Auckland International Airport Ltd | 13,608 | 59,025 | ||||||
Contact Energy Ltd | 12,042 | 38,940 | ||||||
Fletcher Building Ltd | 9,773 | 71,810 | ||||||
Mercury NZ Ltd | 10,000 | 20,544 | ||||||
Meridian Energy Ltd | 24,811 | 44,757 | ||||||
Ryman Healthcare Ltd | 5,357 | 30,163 | ||||||
Spark New Zealand Ltd | 25,241 | 59,726 | ||||||
|
| |||||||
324,965 | ||||||||
|
| |||||||
Norway – 0.08% | ||||||||
DNB ASA | 13,846 | 205,548 | ||||||
Gjensidige Forsikring ASA | 3,460 | 54,854 | ||||||
Marine Harvest ASA | 5,956 | 107,687 | ||||||
Norsk Hydro ASA | 402,026 | 1,918,763 | ||||||
Orkla ASA | 12,330 | 111,571 | ||||||
Schibsted ASA – Class A | 1,151 | 26,343 | ||||||
Schibsted ASA – Class B | 1,273 | 26,942 | ||||||
Statoil ASA | 16,795 | 306,537 | ||||||
Telenor ASA | 11,475 | 171,284 | ||||||
Yara International ASA | 2,358 | 92,761 | ||||||
|
| |||||||
3,022,290 | ||||||||
|
| |||||||
Philippines – 0.09% | ||||||||
Puregold Price Club, Inc. | 4,400,300 | 3,452,084 | ||||||
|
| |||||||
Portugal – 0.23% | ||||||||
EDP – Energias de Portugal SA | 30,940 | 94,168 | ||||||
Galp Energia SGPS SA | 5,424 | 80,862 | ||||||
Jeronimo Martins SGPS SA | 529,664 | 8,214,926 | ||||||
|
| |||||||
8,389,956 | ||||||||
|
|
Shares | Value | |||||||
Republic of Korea – 1.57% | ||||||||
Hana Financial Group, Inc. | 126,441 | 3,263,450 | ||||||
POSCO | 24,290 | 5,157,125 | ||||||
Samsung Electronic Co. Ltd | 13,652 | 20,318,450 | ||||||
Samsung Fire & Marine Insurance Co. Ltd | 48,289 | 10,729,639 | ||||||
SK Hynix, Inc. | 468,339 | 17,233,044 | ||||||
|
| |||||||
56,701,708 | ||||||||
|
| |||||||
Russia – 0.48% | ||||||||
Gazprom PJSC – ADR | 1,092,713 | 5,512,902 | ||||||
Yandex NV (1) | 592,466 | 11,926,341 | ||||||
|
| |||||||
17,439,243 | ||||||||
|
| |||||||
Singapore – 1.88% | ||||||||
Ascendas Real Estate Investment Trust | 34,780 | 54,376 | ||||||
CapitaLand Commercial Trust Ltd | 36,600 | 37,287 | ||||||
CapitaLand Ltd | 36,600 | 76,059 | ||||||
CapitaLand Mall Trust | 35,400 | 45,916 | ||||||
City Developments Ltd | 5,800 | 33,099 | ||||||
ComfortDelGro Corp. Ltd | 30,800 | 52,338 | ||||||
DBS Group Holdings Ltd | 1,762,100 | 21,023,334 | ||||||
Genting Singapore Plc | 86,400 | 53,775 | ||||||
Global Logistic Properties Ltd | 38,100 | 57,692 | ||||||
Golden Agri-Resources Ltd | 153,600 | 45,477 | ||||||
Hutchison Port Holdings Trust | 72,100 | 31,286 | ||||||
Jardine Cycle & Carriage Ltd | 1,400 | 39,760 | ||||||
Keppel Corp. Ltd | 20,100 | 79,997 | ||||||
Oversea-Chinese Banking Corp. Ltd | 44,100 | 270,847 | ||||||
SATS Ltd | 9,600 | 32,119 | ||||||
Sembcorp Industries Ltd | 14,000 | 27,455 | ||||||
Singapore Airlines Ltd | 8,400 | 55,960 | ||||||
Singapore Exchange Ltd | 11,400 | 56,216 | ||||||
Singapore Press Holdings Ltd | 4,500 | 10,943 | ||||||
Singapore Technologies Engineering Ltd | 26,400 | 58,637 | ||||||
Singapore Telecommunications Ltd | 4,864,900 | 12,203,295 | ||||||
StarHub Ltd | 8,700 | 16,842 | ||||||
Suntec Real Estate Investment Trust | 33,400 | 38,008 | ||||||
United Overseas Bank Ltd | 2,019,435 | 28,370,836 | ||||||
UOL Group Ltd | 9,500 | 39,164 | ||||||
Wilmar International Ltd | 2,083,700 | 5,147,694 | ||||||
|
| |||||||
67,958,412 | ||||||||
|
| |||||||
South Africa – 1.01% | ||||||||
Clicks Group Ltd | 947,872 | 7,971,546 | ||||||
Investec Plc | 11,044 | 72,433 | ||||||
Mediclinic International Plc | 5,213 | 49,518 | ||||||
Mondi Plc | 5,066 | 103,460 | ||||||
Naspers Ltd | 113,474 | 16,566,259 | ||||||
Shoprite Holdings Ltd | 949,326 | 11,864,888 | ||||||
|
| |||||||
36,628,104 | ||||||||
|
| |||||||
Spain – 2.98% | ||||||||
Abertis Infraestructuras SA | 10,301 | 143,921 | ||||||
ACS Actividades Co. | 3,075 | 97,040 | ||||||
Aena SA (2) | 54,771 | 7,462,086 | ||||||
Amadeus IT Group SA | 6,649 | 301,561 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 2,307,097 | 15,547,410 |
Shares | Value | |||||||
Banco de Sabadell SA | 79,673 | 110,712 | ||||||
Banco Popular Espanol SA | 47,962 | 46,211 | ||||||
Banco Santander | 1,407,016 | 7,319,703 | ||||||
Bankia SA | 69,517 | 70,841 | ||||||
Bankinter SA | 11,576 | 89,523 | ||||||
CaixaBank SA | 51,084 | 168,362 | ||||||
Distribuidora Internacional de Alimentacion SA | 1,187,193 | 5,822,704 | ||||||
Enagas SA | 134 | 3,396 | ||||||
Endesa SA | 4,353 | 92,058 | ||||||
Ferrovial SA | 8,284 | 147,739 | ||||||
Gas Natural SDG SA | 4,800 | 90,304 | ||||||
Grifols SA | 4,321 | 85,778 | ||||||
Iberdrola SA | 2,474,510 | 16,202,857 | ||||||
Industria de Diseno Textil SA | 584,197 | 19,901,304 | ||||||
Mapfre SA | 19,435 | 59,201 | ||||||
Red Electrica Corp SA | 543 | 10,230 | ||||||
Repsol SA | 16,702 | 234,717 | ||||||
Telefonica SA | 3,646,153 | 33,662,707 | ||||||
Zardoya Otis SA | 4,557 | 38,458 | ||||||
|
| |||||||
107,708,823 | ||||||||
|
| |||||||
Sweden – 1.60% | ||||||||
Alfa Laval AB | 4,101 | 67,647 | ||||||
Assa Abloy AB | 15,050 | 278,480 | ||||||
Atlas Copco AB – Class A | 485,725 | 14,735,230 | ||||||
Atlas Copco AB – Class B | 5,574 | 151,543 | ||||||
Boliden AB | 3,952 | 102,653 | ||||||
Electrolux AB | 3,319 | 82,182 | ||||||
Getinge AB | 2,859 | 45,810 | ||||||
Hennes & Mauritz AB | 14,345 | 397,659 | ||||||
Hexagon AB | 3,994 | 142,250 | ||||||
Husqvarna AB – Class B | 5,948 | 46,151 | ||||||
ICA Gruppen AB | 1,163 | 35,399 | ||||||
Industrivarden AB | 2,631 | 48,931 | ||||||
Investor AB | 245,931 | 9,163,423 | ||||||
Kinnevik Ab | 3,232 | 77,197 | ||||||
L E Lundbergforetagen AB | 543 | 33,244 | ||||||
Lundin Petroleum AB (1) | 2,674 | 57,950 | ||||||
Nordea Bank AB | 42,775 | 473,974 | ||||||
Sandvik AB | 16,213 | 200,005 | ||||||
Securitas AB | 4,600 | 72,155 | ||||||
Skandinaviska Enskilda Banken AB | 21,414 | 223,780 | ||||||
Skanska AB | 4,577 | 107,763 | ||||||
SKF AB | 5,358 | 98,245 | ||||||
Svenska Cellulosa AB SCA | 9,129 | 256,950 | ||||||
Svenska Handelsbanken AB | 1,059,177 | 14,670,086 | ||||||
Swedbank AB | 12,821 | 308,915 | ||||||
Swedish Match AB | 2,975 | 94,391 | ||||||
Tele2 AB | 4,883 | 39,044 | ||||||
Telefonaktiebolaget LM Ericsson – Class B | 42,340 | 248,154 | ||||||
TeliaSonera AB | 3,820,317 | 15,346,958 | ||||||
Volvo AB | 21,755 | 253,272 | ||||||
|
| |||||||
57,859,441 | ||||||||
|
|
Shares | Value | |||||||
Switzerland – 9.46% | ||||||||
ABB Ltd | 1,075,628 | 22,633,068 | ||||||
Actelion Ltd | 1,483 | 320,489 | ||||||
Adecco SA | 286,329 | 18,690,642 | ||||||
Aryzta AG | 1,131 | 49,737 | ||||||
Baloise Holding AG | 769 | 96,767 | ||||||
Barry Callebaut AG | 31 | 37,873 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 14 | 72,442 | ||||||
Chocoladefabriken Lindt & Spruengli AG – REG | 2 | 121,511 | ||||||
Chubb Ltd | 193,296 | 25,538,268 | ||||||
Cie Financiere Richemont SA | 133,793 | 8,842,454 | ||||||
Coca-Cola HBC AG | 2,672 | 58,184 | ||||||
Credit Suisse Group AG | 329,910 | 4,714,755 | ||||||
Dufry AG (1) | 658 | 81,904 | ||||||
EMS-Chemie Holding AG | 117 | 59,416 | ||||||
Galenica AG | 56 | 63,104 | ||||||
Geberit AG | 559 | 223,799 | ||||||
Givaudan SA | 138 | 252,564 | ||||||
Glencore Plc (1) | 176,503 | 596,387 | ||||||
Julius Baer Group Ltd | 3,139 | 139,063 | ||||||
Kuehne & Nagel International AG | 839 | 110,747 | ||||||
LafargeHolcim Ltd | 6,838 | 358,941 | ||||||
Lonza Group AG | 807 | 139,473 | ||||||
Nestle SA | 877,755 | 62,880,250 | ||||||
Novartis AG | 669,946 | 48,720,818 | ||||||
Novartis AG – ADR | 197,170 | 14,361,863 | ||||||
Pargesa Holding SA | 693 | 45,044 | ||||||
Partners Group Holding AG | 267 | 124,993 | ||||||
Roche Holding AG | 199,538 | 45,485,200 | ||||||
Schindler Holding AG | 287 | 50,095 | ||||||
Schindler Holding AG | 62,440 | 10,996,513 | ||||||
SGS SA | 7,497 | 15,232,135 | ||||||
Sika AG | 33 | 158,329 | ||||||
Sonova Holding AG | 761 | 92,073 | ||||||
STMicroelectronics NV | 431,211 | 4,887,555 | ||||||
Sulzer AG | 46,670 | 4,804,349 | ||||||
Swatch Group AG – BR | 19,840 | 6,157,594 | ||||||
Swatch Group AG – REG | 684 | 41,743 | ||||||
Swiss Life Holding AG | 454 | 128,245 | ||||||
Swiss Prime Site | 927 | 75,853 | ||||||
Swiss Re AG | 4,622 | 437,301 | ||||||
Swisscom AG | 374 | 167,176 | ||||||
Syngenta AG | 48,208 | 19,047,123 | ||||||
UBS Group AG | 456,879 | 7,143,514 | ||||||
Wolseley Plc | 3,808 | 232,465 | ||||||
Zurich Insurance Group AG | 65,718 | 18,060,608 | ||||||
|
| |||||||
342,532,427 | ||||||||
|
| |||||||
Taiwan – 1.99% | ||||||||
Delta Electronics, Inc. – GDR | 317,783 | 7,823,464 | ||||||
Hon Hai Precision Industry Co Ltd | 592,000 | 1,539,844 | ||||||
Hon Hai Precision Industry Co. Ltd – GDR | 1,399,595 | 7,109,943 | ||||||
Taiwan Semiconductor Manufacturing Co Ltd | 1,134,000 | 6,351,824 | ||||||
Taiwan Semiconductor Manufacturing Co Ltd – ADR | 1,706,867 | 49,072,426 | ||||||
|
| |||||||
71,897,501 | ||||||||
|
|
Shares | Value | |||||||
Thailand – 0.60% | ||||||||
Bangkok Bank Plc | 3,652,500 | 16,216,969 | ||||||
Thai Beverage Plc | 9,313,100 | 5,456,513 | ||||||
|
| |||||||
21,673,482 | ||||||||
|
| |||||||
United Kingdom – 14.45% | ||||||||
3I Group Plc | 12,930 | 111,850 | ||||||
Aberdeen Asset Management Plc | 15,974 | 50,507 | ||||||
Admiral Group Plc | 2,980 | 67,018 | ||||||
Amec Foster Wheeler Plc | 281,350 | 1,624,680 | ||||||
Anglo American Plc (1) | 21,361 | 301,808 | ||||||
Ashtead Group Plc | 7,659 | 148,895 | ||||||
ASOS Plc (1) | 205,659 | 12,565,421 | ||||||
Associated British Foods Plc | 5,396 | 182,073 | ||||||
AstraZeneca Plc | 451,428 | 24,651,619 | ||||||
Auto Trader Group (2) | 2,264,621 | 11,385,508 | ||||||
Aviva Plc | 795,565 | 4,738,915 | ||||||
Babcock International Group Plc | 3,487 | 40,901 | ||||||
BAE Systems Plc | 44,834 | 326,104 | ||||||
Barclays Plc | 1,946,777 | 5,342,665 | ||||||
Barratt Developments Plc | 13,845 | 78,711 | ||||||
Berkeley Group Holdings Plc | 1,822 | 62,985 | ||||||
BP Plc | 7,990,835 | 50,050,327 | ||||||
British American Tobacco Plc | 28,035 | 1,588,905 | ||||||
British Land Co. Plc | 13,154 | 102,082 | ||||||
BT Group Plc | 118,661 | 535,675 | ||||||
Bunzl Plc | 4,809 | 124,849 | ||||||
Burberry Group Plc | 391,123 | 7,208,020 | ||||||
Capita Plc | 1,186,589 | 7,758,665 | ||||||
Centrica Plc | 77,422 | 222,980 | ||||||
CNH Industrial NV | 15,416 | 133,765 | ||||||
Cobham Plc | 23,559 | 47,435 | ||||||
Coca-Cola European Partners Plc | 3,192 | 100,744 | ||||||
Compass Group Plc | 1,031,695 | 19,067,446 | ||||||
Croda International Plc | 1,874 | 73,704 | ||||||
Diageo Plc | 512,441 | 13,297,849 | ||||||
Direct Line Insurance Group Plc | 18,835 | 85,721 | ||||||
Dixons Carphone Plc | 13,501 | 58,966 | ||||||
easyJet Plc | 2,192 | 27,114 | ||||||
Fiat Chrysler Automobiles NV | 13,743 | 125,018 | ||||||
G4S Plc | 24,909 | 71,997 | ||||||
GKN Plc | 23,647 | 96,383 | ||||||
GlaxoSmithKline Plc | 1,154,179 | 22,170,187 | ||||||
Hammerson Plc | 10,726 | 75,593 | ||||||
Hargreaves Lansdown Plc | 974,644 | 14,503,158 | ||||||
Howden Joinery Group Plc | 368,260 | 1,737,835 | ||||||
HSBC Holdings Plc | 3,051,216 | 24,619,235 | ||||||
Imagination Technologies Group Plc (1) | 1,542,726 | 4,791,193 | ||||||
IMI Plc | 3,838 | 49,084 | ||||||
Imperial Tobacco Group Plc | 70,349 | 3,065,866 | ||||||
Inmarsat Plc | 6,223 | 57,579 | ||||||
InterContinental Hotels Group Plc | 2,890 | 129,225 | ||||||
International Consolidated Airlines Group SA | 14,995 | 80,780 | ||||||
Intertek Group Plc | 176,110 | 7,547,776 |
Shares | Value | |||||||
Intu Properties Plc | 13,242 | 45,867 | ||||||
ITV Plc | 3,285,515 | 8,341,994 | ||||||
J Sainsbury Plc | 22,010 | 67,647 | ||||||
John Wood Group Plc | 574,099 | 6,199,419 | ||||||
Johnson Matthey Plc | 272,142 | 10,648,232 | ||||||
Jupiter Fund Management Plc | 1,340,792 | 7,301,726 | ||||||
Just Eat Plc (1) | 236,300 | 1,697,951 | ||||||
Kingfisher Plc | 4,380,035 | 18,871,008 | ||||||
Land Securities Group Plc | 10,705 | 140,634 | ||||||
Legal & General Group Plc | 82,107 | 250,130 | ||||||
Liberty Global Plc – Class A (1) | 407,080 | 12,452,577 | ||||||
Lloyds Banking Group Plc | 20,474,790 | 15,722,227 | ||||||
London Stock Exchange Group Plc | 4,839 | 172,952 | ||||||
Marks & Spencer Group Plc | 21,134 | 91,039 | ||||||
Meggitt Plc | 10,414 | 58,810 | ||||||
Merlin Entertainments Plc (2) | 10,391 | 57,364 | ||||||
National Grid Plc | 1,042,044 | 12,175,053 | ||||||
Nex Group Plc | 21 | 120 | ||||||
Next Plc | 2,144 | 131,526 | ||||||
Old Mutual Plc | 66,823 | 170,398 | ||||||
Pearson Plc | 11,340 | 113,782 | ||||||
Persimmon Plc | 4,253 | 92,791 | ||||||
Petrofac Ltd | 3,579 | 38,301 | ||||||
Provident Financial Plc | 2,113 | 73,897 | ||||||
Prudential Plc | 38,986 | 778,067 | ||||||
Reckitt Benckiser Group Plc | 289,049 | 24,484,905 | ||||||
RELX NV | 14,898 | 250,583 | ||||||
RELX Plc | 16,205 | 288,783 | ||||||
Rightmove Plc | 273,607 | 13,143,177 | ||||||
Rio Tinto Ltd | 6,050 | 259,189 | ||||||
Rio Tinto Plc | 17,349 | 662,354 | ||||||
Rolls-Royce Holdings Plc (1) | 26,941 | 221,281 | ||||||
Royal Bank of Scotland Group Plc (1) | 6,179,365 | 17,074,648 | ||||||
Royal Mail Plc | 12,482 | 70,953 | ||||||
RSA Insurance Group Plc | 252,885 | 1,823,645 | ||||||
Sage Group Plc | 16,560 | 133,491 | ||||||
Schroders Plc | 1,828 | 67,139 | ||||||
Segro Plc | 11,428 | 64,637 | ||||||
Severn Trent Plc | 3,702 | 101,172 | ||||||
Sky Plc | 14,227 | 173,442 | ||||||
Smith & Nephew Plc | 13,408 | 201,245 | ||||||
Smiths Group Plc | 5,577 | 97,080 | ||||||
SSE Plc | 14,656 | 279,844 | ||||||
St James’s Place Plc | 8,367 | 104,369 | ||||||
Standard Chartered Plc (1) | 728,162 | 5,938,139 | ||||||
Standard Life Plc | 28,037 | 128,388 | ||||||
Tate & Lyle Plc | 6,586 | 57,316 | ||||||
Taylor Wimpey Plc | 45,038 | 84,946 | ||||||
Tesco Plc (1) | 16,857,900 | 42,984,508 | ||||||
TP ICAP Plc | 3,978 | 21,245 | ||||||
Travis Perkins Plc | 496,795 | 8,880,861 | ||||||
Unilever NV | 86,603 | 3,557,563 | ||||||
Unilever Plc | 632,817 | 25,591,187 |
Shares | Value | |||||||
Unilever Plc – ADR | 371,840 | 15,133,888 | ||||||
United Utilities Group Plc | 10,342 | 114,635 | ||||||
Vodafone Group Plc | 3,277,495 | 8,065,569 | ||||||
Weir Group Plc | 344,564 | 8,007,446 | ||||||
Whitbread Plc | 2,852 | 132,671 | ||||||
William Hill Plc | 15,276 | 54,562 | ||||||
Willis Towers Watson Plc | 29,628 | 3,622,912 | ||||||
WM Morrison Supermarkets Plc | 32,406 | 92,043 | ||||||
Worldpay Group Plc (2) | 28,111 | 93,332 | ||||||
WPP Plc | 171,661 | 3,820,068 | ||||||
|
| |||||||
522,861,544 | ||||||||
|
| |||||||
United States – 1.83% | ||||||||
Amdocs Ltd | 219,907 | 12,809,583 | ||||||
Carnival Plc | 343,114 | 17,385,497 | ||||||
Mettler-Toledo International, Inc. (1) | 32,437 | 13,576,831 | ||||||
News Corp. – Class A | 310,484 | 3,558,147 | ||||||
Schlumberger Ltd | 174,040 | 14,610,658 | ||||||
Shire Plc | 13,581 | 775,469 | ||||||
XL Group Ltd | 95,594 | 3,561,832 | ||||||
|
| |||||||
66,278,017 | ||||||||
|
| |||||||
Total Common Stocks (Cost $3,500,676,630) | $ | 3,407,951,426 | ||||||
|
| |||||||
Preferred Stocks – 0.22% | ||||||||
Germany – 0.22% | ||||||||
Bayer Motoren Werke AG – Preference | 756 | $ | 57,736 | |||||
Fuchs Petrolub SE – Preferred | 993 | 41,596 | ||||||
Henkel AG & Co. KGaA – Preference | 2,679 | 318,909 | ||||||
Porsche Automobil Holding SE | 2,112 | 114,724 | ||||||
Schaeffler AG | 2,371 | 34,987 | ||||||
Volkswagen AG- Preference | 53,397 | 7,471,178 | ||||||
|
| |||||||
8,039,130 | ||||||||
|
| |||||||
United Kingdom – 0.00% (3) | ||||||||
Rolls-Royce Holdings Plc (1)(4) | 2,171,154 | 2,676 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $7,536,905) | $ | 8,041,806 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 4.96% | ||||||||
Money Market Funds – 4.96% | ||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.45% (5) | 89,849,134 | $ | 89,849,134 | |||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.44% (5) | 89,597,327 | 89,597,327 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $179,446,461) | $ | 179,446,461 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 99.34% | ||||||||
(Cost $3,687,659,996) | $ | 3,595,439,693 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.66% | 23,847,186 | |||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 3,619,286,879 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
GDR | Global Depository Receipt |
(1) | Non-income producing security. |
(2) | Includes restricted securities as defined in Rule 144(A) under the Securities Act of 1933. The value of these securities total $34,512,985, which represents 0.95% of total net assets. |
(3) | Amount calculated is less than 0.005%. |
(4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of this security totals $2,676, which represents 0.00% of total net assets. |
(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’s Financial Services LLC (“S&P”).
(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 Principal Executive Officer and Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
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, Principal Executive Officer | ||||
Date 2-24-2017 |
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, Principal Executive Officer | ||||
Date 2-24-2017 | ||||
By (Signature and Title)* | /s/ Aaron Masek | |||
Aaron Masek, Principal Financial Officer | ||||
Date 2-24-2017 |
* | Print the name and title of each signing officer under his or her signature. |