AS FILED WITH THE SECURITIES AND EXCHANGE COMMISSION ON APRIL 30, 2018
1933 Act File No.
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-14
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 x
o Pre-Effective Amendment No.
o Post-Effective Amendment No.
SEI INSTITUTIONAL MANAGED TRUST
(Exact name of registrant as specified in charter)
One Freedom Valley Drive
Oaks, Pennsylvania 19456
(Address of Principal Executive Offices) (Zip Code)
(610) 676-1000
(Registrant’s Telephone Number, Including Area Code)
Timothy D. Barto
SEI Investments Company
One Freedom Valley Drive
Oaks, Pennsylvania 19456
(Name and Address of Agent for Service)
Copies to:
Timothy W. Levin, Esq.
Morgan, Lewis & Bockius LLP
1701 Market St.
Philadelphia, Pennsylvania 19103
Title of Securities being Registered: Class F Shares and Class Y Shares of the Core Fixed Income Fund.
Approximate Date of Proposed Public Offering: As soon as practicable after the Registration Statement becomes effective under the Securities Act of 1933, as amended.
No filing fee is required under the Securities Act of 1933, as amended, because an indefinite number of shares of beneficial interest have previously been registered pursuant to Rule 24f-2 under the Investment Company Act of 1940, as amended.
It is proposed that this filing will become effective on May 31, 2018 pursuant to Rule 488 under the Securities Act of 1933, as amended.
SEI INSTITUTIONAL MANAGED TRUST
ONE FREEDOM VALLEY DRIVE
OAKS, PENNSYLVANIA 19456
June [11], 2018
Dear Shareholder:
Enclosed is some important information concerning your investment in the U.S. Fixed Income Fund, a series of the SEI Institutional Managed Trust (the “Trust”).
The Trust’s Board of Trustees (the “Board”) has determined that it is in the best interests of the U.S. Fixed Income Fund and its shareholders to reorganize the U.S. Fixed Income Fund into the Core Fixed Income Fund (each a “Fund” and together, the “Funds”), also a series of the Trust. Accordingly, the Board has approved an Agreement and Plan of Reorganization that provides for the reorganization of the U.S. Fixed Income Fund into the Core Fixed Income Fund.
The enclosed materials contain key information about the reorganization. As a result of the reorganization, you will receive a number of full and fractional shares of the corresponding class of Core Fixed Income Fund equal in value to the value of your U.S. Fixed Income Fund shares, as of the closing date of the reorganization, and you will become a shareholder of the Core Fixed Income Fund. The reorganization is expected to take place at the close of business on or about August 10, 2018.
The investment objective, strategies and risks of the U.S. Fixed Income Fund are similar to those of the Core Fixed Income Fund, and both series are managed by the same investment advisor, SEI Investments Management Corporation, and the same sub-advisers. Additionally, the U.S. Fixed Income Fund and the Core Fixed Income Fund have the same types of fees and expenses and substantially the same annual fund operating expense ratios.
The reorganization will not require any shareholder action, and you are not being asked to vote or take any other action in connection with the Reorganization. We do, however, ask that you review the enclosed combined Information Statement/Prospectus, which contains information about the Core Fixed Income Fund, including its investment objective, strategies, risks, performance, fees and expenses.
Sincerely, |
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|
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Robert Nesher |
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President |
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SEI INSTITUTIONAL MANAGED TRUST
ONE FREEDOM VALLEY DRIVE
OAKS, PENNSYLVANIA 19456
INFORMATION STATEMENT/PROSPECTUS
May 31, 2018
Acquisition of the assets and liabilities of: |
| By and in exchange for shares of: |
U.S. Fixed Income Fund, a series of |
| Core Fixed Income Fund, a series of |
This Information Statement and Prospectus should be read in conjunction with the Statement of Additional Information dated May 31, 2018 relating to the proposed reorganization of the U.S. Fixed Income Fund, a series of SEI Institutional Managed Trust, into the Core Fixed Income Fund, a separate series of SEI Institutional Managed Trust. You may obtain copies of the Statement of Additional Information by calling 1-800-DIAL-SEI or by sending a written request to the U.S. Fixed Income Fund or Core Fixed Income Fund at One Freedom Valley Drive, Oaks, Pennsylvania 19456.
QUESTIONS AND ANSWERS ABOUT THE INFORMATION STATEMENT/PROSPECTUS
Q. Why am I receiving this Information Statement/Prospectus?
A. The SEI U.S. Fixed Income Fund is being reorganized into the SEI Core Fixed Income Fund (the “Reorganization”). Each Fund is a series of the SEI Institutional Managed Trust (the “Trust”). You are receiving this combined Information Statement and Prospectus (“Information Statement/Prospectus”) to provide you with details about the Reorganization. At the time of the Reorganization, shareholders of the U.S. Fixed Income Fund will become shareholders of the Core Fixed Income Fund.
Q. Who is receiving this Information Statement/Prospectus?
A. Shareholders of record of the U.S. Fixed Income Fund as of the close of business on [May , 2018] are receiving this Information Statement/Prospectus.
Q. How will the Reorganization affect me as a Shareholder?
A. Upon the Reorganization, shareholders of each class of shares of the U.S. Fixed Income Fund will become shareholders of the same share class of the Core Fixed Income Fund, and will receive shares of the Core Fixed Income Fund that are equal in value to their shares in the U.S. Fixed Income Fund. Since the Funds’ net asset values per share differ, you may receive a greater or lesser number of shares than you currently hold in U.S. Fixed Income Fund. However, the aggregate net asset value of the shares in your account will be the same.
Q. How did the Board reach its decision to approve the Reorganization?
A. The Board of Trustees of the Trust (the “Board”) has determined that the Reorganization is in the best interests of the U.S. Fixed Income Fund, the Core Fixed Income Fund and their shareholders. In approving the Reorganization, the Board considered a variety of factors, including (1) the similarity of the Funds’ investment objectives, policies and restrictions; (2) the relative performance and risk characteristics of the Funds; (3) the fact that the investment adviser and sub-advisers for both Funds are the same; (4) the terms and conditions of the Agreement and Plan of Reorganization; (5) the costs to the Funds of the Reorganization; (6) the fact that the Reorganization is intended to qualify as a tax-free reorganization under federal tax laws; (7) the fact that the pro forma gross operating expenses of Core Fixed Income Fund after the Reorganization are estimated to be lower than the current gross operating expenses of U.S. Fixed Income Fund; (8) the fact that the management fee of Core Fixed Income Fund is identical to the management fee of U.S. Fixed Income Fund; (9) the fact that SEI Investments Management Corporation (the “Adviser”) and its affiliates have agreed to a contractual fee waiver until January 31,
2021 with respect to the Core Fixed Income Fund; and (10) the fact that the Reorganization would increase the assets of Core Fixed Income Fund, which may reduce Core Fixed Income Fund’s overall costs as the Fund grows through economies of scale. The Board also determined that the interests of the shareholders of the U.S. Fixed Income Fund and the Core Fixed Income Fund will not be diluted as a result of the Reorganization
Q. What is the tax impact of the Reorganization?
A. The Reorganization is not expected to be a taxable transaction for federal income tax purposes, and you are not expected to recognize gain or loss upon the exchange of your shares in connection with this transaction. The cost basis of your shares in the Core Fixed Income Fund exchanged for your shares in the U.S. Fixed Income Fund will be the same as the basis of your shares in the U.S. Fixed Income Fund.
Q. Can I exchange or redeem my U.S. Fixed Income Fund shares before the Reorganization takes place?
A. Yes. However, if you choose to do so, your request will be treated as a normal exchange or redemption of shares and may be a taxable transaction.
Q. How comparable are the Funds’ investment objectives and investment strategies?
A. The investment objective of the U.S. Fixed Income Fund and the Core Fixed Income Fund is the same, which is to seek current income consistent with the preservation of capital. Further, the principal investment strategies of the Funds are similar. Both Funds invest primarily in fixed income securities. However, while the U.S. Fixed Income Fund may only invest in U.S. securities, the Core Fixed Income Fund may also invest in foreign securities, including emerging markets debt. Further, while U.S. Fixed Income is only permitted to invest to a limited extent in securities rated below investment grade (junk bonds), the Core Fixed Income Fund has the ability to invest a greater amount in such securities. The Core Fixed Income Fund may also engage in currency transactions, while the U.S. Fixed Income Fund may not. As such, while the investment strategies of the two Funds are similar, the Core Fixed Income Fund has a broader range of securities in which it may invest.
Each Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of the Adviser. Currently, the sub-advisers for both Funds are the same.
Q. How comparable are the Funds’ risks?
A. Given the similarity in investment objectives and strategies, the risks of the Funds are similar. Most risk factors, as discussed further below in this Information Statement/Prospectus, are the same for both Funds. However, a few are unique. For the Core Fixed Income Fund, the unique risk factors are Foreign Investment/Emerging Markets Risk, Currencies Risk and Bank Loans Risk, while for U.S. Fixed Income Fund the only unique risk factor is Exchange-Traded Funds (ETFs) Risk.
Q. Do I need to take any action in connection with this reorganization?
A. No. A shareholder vote will not be taken with respect to the matters described in this Information Statement/Prospectus. The U.S. Fixed Income Fund is not asking you for a proxy or to vote on the Reorganization, which will take place without any further action on your part.
THE SEC HAS NOT APPROVED OR DISAPPROVED THE SECURITIES SUBJECT TO THIS INFORMATION STATEMENT/PROSPECTUS OR DETERMINED WHETHER THE INFORMATION IN THIS INFORMATION STATEMENT/PROSPECTUS IS ACCURATE OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
TABLE OF CONTENTS
Synopsis | 1 |
Principal Risk Factors | 3 |
The Reorganization | 7 |
Additional Information about the U.S. Fixed Income Fund and the Core Fixed Income Fund | 11 |
Ownership of Shares of the Funds | 20 |
Exhibit A - Form of Agreement and Plan of Reorganization | A-1 |
SYNOPSIS
INTRODUCTION
This combined information statement and prospectus (the “Information Statement/Prospectus”) is being furnished to you because you are a shareholder of the U.S. Fixed Income Fund, a series of the SEI Institutional Managed Trust (the “Trust”). On or about August 10, 2018, the U.S. Fixed Income Fund will be reorganized into another series of the Trust, the Core Fixed Income Fund (the “Reorganization). In exchange for your shares of the U.S. Fixed Income Fund, you will receive a number of full and fractional shares of the corresponding class in the Core Fixed Income Fund equal in value to the value of your U.S. Fixed Income Fund shares, as of the closing date of the Reorganization.
The Board of Trustees of the Trust (the “Board”) has determined that the Reorganization is in the best interests of the U.S. Fixed Income Fund, the Core Fixed Income Fund and each Fund’s shareholders, and that the interests of the U.S. Fixed Income Fund’s and Core Fixed Income Fund’s shareholders will not be diluted as a result of the Reorganization. For federal income tax purposes, the Reorganization is not expected to result in income, gain or loss being recognized by the U.S. Fixed Income Fund or its shareholders.
The U.S. Fixed Income Fund and the Core Fixed Income Fund (together, the “Funds”) are each a series of the Trust, a Massachusetts business trust registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company. SEI Investments Management Corporation (“SIMC” or the “Adviser”) serves as the investment advisor to both Funds, and pursuant to an exemptive order obtained from the SEC, acts as a manager of managers for the Funds. The exemptive order permits the Adviser, with the approval of the Board, to retain unaffiliated sub-advisers for the Funds, and the Adviser has retained the same set of sub-advisers for both Funds. In addition, the Funds have the same trustees and officers and the same distributor, auditor, and other service providers.
This Information Statement/Prospectus sets forth concisely the information about the Core Fixed Income Fund you should know before the Reorganization and should be retained for future reference. It is both an information statement for the U.S. Fixed Income Fund and a prospectus for the Core Fixed Income Fund. This Information Statement/Prospectus is being mailed to shareholders on or about [June 11, 2018].
A Statement of Additional Information relating to and dated the date of this Information Statement/Prospectus is incorporated herein by reference. Additional information with respect to the Funds is contained in (a) the Funds’ Class F and Class Y prospectuses, each dated January 31, 2018, as supplemented from time to time (collectively, the “Funds’ Prospectus”), which are incorporated herein by reference and accompany this Information Statement/Prospectus, (b) the Funds’ Statement of Additional Information dated January 31, 2018, as supplemented from time to time (the “Funds’ SAI”) and (c) the Funds’ Annual Report for the fiscal year ended September 30, 2017 (the “Funds’ Annual Report”).
Each Fund is subject to the informational requirements of the Securities Exchange Act of 1934 and in accordance therewith files reports and other information with the SEC. Free copies of any of the documents described above may be obtained without charge by calling 1-800-DIAL-SEI or by sending a written request to SEI Institutional Managed Trust, One Freedom Valley Drive, Oaks, Pennsylvania 19456. In addition, the documents can be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling the SEC at 1-202-551-8090. You can get copies of these materials for a fee by writing to the SEC’s Public Reference Section, Washington, D.C. 20549-1520 or by e-mail to publicinfo@sec.gov. You can get the same reports and information free from the EDGAR Database on the SEC’s Internet website (www.sec.gov). The Funds’ Prospectus, SAI and Annual and Semi-Annual reports are also available at www.seic.com/fundprospectuses.
No shareholder vote will be taken with respect to the matters described in this Information Statement/Prospectus. THE FUND IS NOT ASKING YOU FOR A PROXY AND YOU ARE REQUESTED NOT TO SEND A PROXY TO THE FUND WITH RESPECT TO THE MATTERS DESCRIBED IN THIS INFORMATION STATEMENT/PROSPECTUS.
THE REORGANIZATION AND THE AGREEMENT AND PLAN OF REORGANIZATION
The U.S. Fixed Income Fund was launched in 2009 to offer a fixed income fund with lower risk relative to the Core Fixed Income Fund. While the U.S. Fixed Income Fund has achieved this goal during the period, the Adviser
believes that the relative reduction in risk has not been sufficient to compensate for the lower return potential offered by the U.S. Fixed Income Fund relative to the Core Fixed Income Fund. Over recent years, the U.S. Fixed Income Fund’s performance has lagged in comparison to the performance of the Core Fixed Income Fund, while providing only a moderate reduction in risk. Thus, in an effort to rationalize product offerings and ensure that investors receive optimal investment solutions, the Board has determined that it is in the best interests of the U.S. Fixed Income Fund and its shareholders to reorganize the U.S. Fixed Income Fund into the Core Fixed Income Fund. Accordingly, the Board has approved an Agreement and Plan of Reorganization (the “Agreement”), which is attached as Exhibit A to this Information Statement/Prospectus, which provides for the reorganization of the U.S. Fixed Income Fund into the Core Fixed Income Fund.
Under the Agreement, at the close of business on or about August 10, 2018, the U.S. Fixed Income Fund will transfer all of its assets to the Core Fixed Income Fund in exchange for shares of the Core Fixed Income Fund, and the Core Fixed Income Fund will also assume all of the liabilities of the U.S. Fixed Income Fund. You will receive a number of full and fractional shares of the corresponding class in the Core Fixed Income Fund equal in value to the value of your U.S. Fixed Income Fund shares, as of the closing date of the Reorganization. Following the closing of the Reorganization, the U.S. Fixed Income Fund will be liquidated and its registration under the Investment Company Act of 1940, as amended (the “1940 Act”) will be terminated.
The implementation of the Reorganization is subject to a number of conditions set forth in the Agreement. Among the more significant conditions is the receipt by the Funds of an opinion of counsel to the effect that the Reorganization will not result in income, gain or loss being recognized by the Funds or their shareholders for federal income tax purposes.
The U.S. Fixed Income Fund will bear the costs and pay the expenses related to the preparation and assembly of this Information Statement/Prospectus and all mailing and other expenses associated with the Reorganization. These expenses are expected to be approximately $[200,000]. If the Reorganization is not completed, the Adviser will pay all such costs and expenses.
For more information about the Reorganization, see “The Reorganization” below.
COMPARISON OF THE INVESTMENT OBJECTIVES AND PRINCIPAL INVESTMENT STRATEGIES OF THE FUNDS
The investment objective of the U.S. Fixed Income Fund and the Core Fixed Income Fund is the same, which is to seek current income consistent with the preservation of capital. Also, the principal investment strategies of the two Funds are similar, with the primary difference being that the U.S. Fixed Income Fund has less flexibility in terms of the types of securities in which it may invest relative to the Core Fixed Income Fund. The following are the most significant differences in the principal investment strategies of the two funds:
· The U.S. Fixed Income Fund invests exclusively in U.S. securities, while the Core Fixed Income Fund may invest in foreign securities, including emerging markets;
· The U.S. Fixed Income Fund may not invest more than 20% of its net assets in non-investment grade (junk bond) fixed income securities, while the Core Fixed Income Fund does not have such a limit;
· The Core Fixed Income Fund may engage in currency transactions, while the U.S. Fixed Income Fund may not.
While the Core Fixed Income Fund has more investment flexibility, both Funds use the Bloomberg Barclays U.S. Aggregate Bond Index as their benchmark. This index is comprised of investment grade, US dollar-denominated fixed income securities. As a result, the Core Fixed Income Fund is typically invested primarily in the same types of investment grade U.S. fixed income securities as the U.S. Fixed Income Fund, with normally more limited exposures to its other permitted investments.
Beyond the key differences mentioned above, the Funds’ principal investment strategies are largely the same. Each Fund may invest in futures contracts, forward contracts, options and swaps for speculative or hedging purposes. Futures contracts, forward contracts, options and swaps may be used to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. These derivatives may also be used to mitigate a Fund’s overall level of risk and/or the Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield
spread sensitivity. When a Fund seeks to take an active long or short position with respect to the likelihood of an event of default of a security or basket of securities, the Fund may use credit default swaps. A Fund may buy credit default swaps in an attempt to manage credit risk where the Fund has credit exposure to an issuer, and the Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. Due to the Funds’ investment strategies, each Fund may buy and sell securities and other instruments frequently.
Each Fund uses a multi-manager approach, relying upon a number of sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of the Adviser. Sub-Advisers are selected for their expertise in managing various kinds of fixed income securities, and each Sub-Adviser makes investment decisions based on an analysis of yield trends, credit ratings and other factors in accordance with its particular discipline. The Adviser has retained the same set of Sub-Advisers for both Funds.
For further information about the Funds’ investment objectives and strategies, see “Additional Information about the U.S. Fixed Income Fund and the Core Fixed Income Fund — Investment Objectives and Principal Investment Strategies.”
PRINCIPAL RISK FACTORS
The U.S. Fixed Income Fund and the Core Fixed Income Fund are subject to similar principal risks; however, there are some principal risks unique to each Fund. Both Funds are subject to the following principal risks:
Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities. Securitization trusts generally do not have any assets or sources of funds other than the receivables and related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity. Asset-backed securities may be more illiquid than more conventional types of fixed income securities that the Fund may acquire.
Below Investment Grade Securities (Junk Bonds) Risk — Fixed income securities rated below investment grade (junk bonds) involve greater risks of default or downgrade and are generally more volatile than investment grade securities because the prospect for repayment of principal and interest of many of these securities is speculative. Because these securities typically offer a higher rate of return to compensate investors for these risks, they are sometimes referred to as “high yield bonds,” but there is no guarantee that an investment in these securities will result in a high rate of return.
Corporate Fixed Income Securities Risk — Corporate fixed income securities respond to economic developments, especially changes in interest rates, as well as perceptions of the creditworthiness and business prospects of individual issuers.
Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Derivatives Risk — The Fund’s use of futures contracts, forward contracts, options and swaps is subject to market risk, leverage risk, correlation risk and liquidity risk. Leverage risk and liquidity risk are described below. Many over-the-counter (OTC) derivative instruments will not have liquidity beyond the counterparty to the instrument. Market risk is the risk that the market value of an investment may move up and down, sometimes rapidly and unpredictably. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. The Fund’s use of forward contracts and swap agreements is also subject to credit risk and valuation risk. Valuation risk is the risk that the derivative may be difficult to value and/or valued incorrectly. Credit risk is described above. Each of these risks could cause the Fund to lose more than the principal amount invested in a derivative instrument. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. The other parties to certain derivative contracts present the same types of credit risk as issuers of fixed income securities. The Fund’s use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators are in the process of adopting and implementing regulations governing derivatives markets, the ultimate impact of which remains unclear.
Duration Risk — The longer-term securities in which the Fund may invest tend to be more volatile than shorter-term securities. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio duration.
Extension Risk — The risk that rising interest rates may extend the duration of a fixed income security, typically reducing the security’s value.
Fixed Income Market Risk — The prices of the Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. 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. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar. In response to these events, the Fund’s value may fluctuate and/or the 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.
Interest Rate Risk — The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Fund invests. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate environment may present greater interest rate risk because there may be a greater likelihood of rates increasing and rates may increase more rapidly.
Investment Style Risk — The risk that U.S. fixed income securities may underperform other segments of the fixed income markets or the fixed income markets as a whole.
Leverage Risk — The Fund’s use of derivatives may result in the Fund’s total investment exposure substantially exceeding the value of its portfolio securities and the Fund’s investment returns depending substantially on the performance of securities that the Fund may not directly own. The use of leverage can amplify the effects of market volatility on the Fund’s share price and may also cause the Fund to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations. The Fund’s use of leverage may result in a heightened risk of investment loss.
Liquidity Risk — The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance.
Mortgage-Backed Securities Risk — Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans backing those securities, as well as by other factors such as borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage-backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may significantly affect the Fund’s actual yield to maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with the Fund’s expectation. Along with prepayment risk, mortgage-backed securities are significantly affected by interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as refinancings and loan modifications at lower interest rates. In contrast, if prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted average lives of mortgage-backed securities held or acquired by the Fund.
Mortgage Dollar Rolls Risk — Mortgage dollar rolls are transactions in which the Fund sells securities (usually mortgage-backed securities) and simultaneously contracts to repurchase substantially similar, but not identical, securities on a specified future date. If the broker-dealer to whom the Fund sells the security becomes insolvent, the Fund’s right to repurchase the security may be restricted. Other risks involved in entering into mortgage dollar rolls include the risk that the value of the security may change adversely over the term of the mortgage dollar roll
and that the security the Fund is required to repurchase may be worth less than the security that the Fund originally held.
Portfolio Turnover Risk — Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher transaction costs and additional capital gains tax liabilities, which may affect the Fund’s performance.
Prepayment Risk — The risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Fund to invest the proceeds at generally lower interest rates.
U.S. Government Securities Risk — Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources.
In addition to the principal risks discussed above, the U.S. Fixed Income Fund and Core Fixed Income Fund are each separately subject to the following additional principal risks:
Core Fixed Income Fund
Bank Loans Risk — With respect to bank loans, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation. The Fund may also have difficulty disposing of bank loans because, in certain cases, the market for such instruments is not highly liquid.
Currency Risk — Due to its active positions in currencies, the Fund will be subject to currency risk. Currency risk is the risk that foreign currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency hedged. In either event, the dollar value of an investment in the Fund would be adversely affected. Currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention (or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments in U.S. or abroad.
Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market countries because political turmoil and rapid changes in economic conditions are more likely to occur in these countries.
U.S. Fixed Income Fund
Exchange-Traded Funds (ETFs) Risk — The risks of owning shares of an ETF generally reflect the risks of owning the underlying securities the ETF is designed to track, although lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities. When the Fund invests in an ETF, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the ETF’s expenses.
FEES AND EXPENSES
Each Fund pays SIMC the same management fee for its advisory services to the Fund. SIMC’s fee is calculated daily and paid monthly at an annual rate. SIMC then pays the Sub-Advisers out of its management fee for sub-advisory services provided to each Fund, and the rates paid to each Sub-Adviser vary. For the fiscal year ending September 30, 2017, each class of each Fund had the same total annual operating expenses before waivers. However, currently the Adviser and its affiliates voluntarily waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of a Fund’s business) at a specified level. For the fiscal year ending September 30, 2017, the total annual operating expenses after this voluntary waiver was 0.66% and 0.41% for Class F and Class Y, respectively, of
the U.S. Fixed Income Fund and 0.67% and 0.42% for Class F and Class Y, respectively, of the Core Fixed Income Fund. The Adviser may discontinue all or part of these voluntary waivers at any time.
In light of the 0.01% difference in voluntary fee waivers between the Funds, in connection with the Reorganization, the Board has approved an Expense Limitation Agreement with the Adviser and its affiliates in which they have contractually agreed to waive fees and reimburse expenses in order to keep total ordinary operating expenses of the Core Fixed Income (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding 0.66% for Class F and 0.41% for Class Y from the effective date of the Reorganization until January 31, 2021. This agreement may be amended or terminated only with the consent of the Board.
The following table sets forth: (i) the fees and expenses of the U.S. Fixed Income Fund as of September 30, 2017; (ii) the fees and expenses of the Core Fixed Income Fund as of September 30, 2017; and (iii) the estimated fees and expenses of the Core Fixed Income Fund on a pro forma basis after giving effect to the Reorganization and the Expense Limitation Agreement, based on pro forma combined assets as of September 30, 2017.
Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)
|
| U.S. Fixed Income Fund |
|
| Core Fixed Income Fund |
|
| Core Fixed Income Fund |
| ||||||
|
| Class F |
| Class Y |
|
| Class F |
| Class Y |
|
| Class F |
| Class Y |
|
Management Fees |
| 0.28 | % | 0.28 | % |
| 0.28 | % | 0.28 | % |
| 0.28 | % | 0.28 | % |
Distribution (12b-1) Fees |
| None |
| None |
|
| None |
| None |
|
| None |
| None |
|
Other Expenses^ |
| 0.49 | % | 0.24 | % |
| 0.49 | % | 0.24 | % |
| 0.48 | % | 0.23 | % |
Total Annual Fund Operating Expenses |
| 0.77 | % | 0.52 | % |
| 0.77 | % | 0.52 | % |
| 0.76 | % | 0.51 | % |
Less Fee Waivers and/or Expense Reimbursement |
| None |
| None |
|
| None |
| None |
|
| (0.10 | )% | (0.10 | )% |
Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement* |
| 0.77 | % | 0.52 | % |
| 0.77 | % | 0.52 | % |
| 0.66 | % | 0.41 | % |
^ Other Expenses have been restated to reflect estimated fees and expenses for the upcoming fiscal year.
*Effective upon consummation of the Reorganization, the Core Fixed Income Fund’s adviser, administrator and/or distributor have contractually agreed to waive fees and reimburse expenses in order to keep total ordinary operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding 0.66% for Class F and 0.41% for Class Y. This fee waiver agreement shall remain in effect until January 31, 2021. The agreement may be amended or terminated only with the consent of the Board of Trustees.
Example
The Example below is intended to help you compare the cost of investing in the U.S. Fixed Income Fund and the Core Fixed Income Fund with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Funds for the time periods indicated and then redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% return each year and that the Funds’ operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:
|
| 1 year |
| 3 years |
| 5 years |
| 10 years |
| ||||
U.S. Fixed Income Fund |
|
|
|
|
|
|
|
|
| ||||
Class F |
| $ | 79 |
| $ | 246 |
| $ | 428 |
| $ | 954 |
|
Class Y |
| $ | 53 |
| $ | 167 |
| $ | 291 |
| $ | 653 |
|
|
|
|
|
|
|
|
|
|
| ||||
Core Fixed Income Fund |
|
|
|
|
|
|
|
|
| ||||
Class F |
| $ | 79 |
| $ | 246 |
| $ | 428 |
| $ | 954 |
|
Class Y |
| $ | 53 |
| $ | 167 |
| $ | 291 |
| $ | 653 |
|
|
|
|
|
|
|
|
|
|
| ||||
Core Fixed Income Fund (Pro forma combined) |
|
|
|
|
|
|
|
|
| ||||
Class F |
| $ | 67 |
| $ | 211 |
| $ | 391 |
| $ | 915 |
|
Class Y |
| $ | 42 |
| $ | 132 |
| $ | 254 |
| $ | 612 |
|
Although the pro forma projections presented above represent good faith estimates, there can be no assurance that any particular level of expenses or expense savings will be achieved because expenses depend on a variety of factors, including the future level of the Core Fixed Income Fund’s assets, many of which are beyond the control of the Core Fixed Income Fund and the Adviser.
Purchase, Redemption and Exchange Procedures; Dividends and Distributions
The procedures for purchasing, redeeming and exchanging Class F and Class Y shares of the Core Fixed Income Fund are the same as the transaction procedures applicable to the Class F and Class Y shares of the U.S. Fixed Income Fund. You may continue to purchase, redeem and exchange shares of the U.S. Fixed Income Fund prior to the Reorganization. The Funds also have the same dividend policy.
THE REORGANIZATION
Material Features of the Agreement
The Agreement sets forth the terms and conditions of the Reorganization. Material provisions of the Agreement are summarized below; however, this summary is qualified in its entirety by reference to the Agreement, a form of which is attached to this Information Statement/Prospectus as Exhibit A.
At the consummation of the Reorganization, which is expected to occur at the close of business on or about August 10, 2018 (the “Effective Time”), all of the assets and liabilities of the U.S. Fixed Income Fund will be transferred to the Core Fixed Income Fund in exchange for shares of the Core Fixed Income Fund, such that at and after the Effective Time, the assets and liabilities of the U.S. Fixed Income Fund will become the assets and liabilities of the Core Fixed Income Fund. The transfer of assets by the U.S. Fixed Income Fund will occur at their then-current market value, and shares of the Core Fixed Income Fund to be issued to the U.S. Fixed Income Fund shall be valued at their then-current net asset value, as determined in accordance with the Trust’s valuation procedures. Shares of the Core Fixed Income Fund will be distributed to shareholders of the U.S. Fixed Income Fund in exchange for their shares of the U.S. Fixed Income Fund. After completion of the Reorganization, each shareholder of the U.S. Fixed Income Fund will own a number of full and fractional shares of the corresponding class in the Core Fixed Income Fund equal in value to the value of such shareholder’s shares of the U.S. Fixed Income Fund, as of the Effective Time. Following the completion of the Reorganization, the U.S. Fixed Income Fund will be liquidated and its registration under the 1940 Act will be terminated.
The Agreement provides that the Board will declare a dividend or dividends with respect to the U.S. Fixed Income Fund prior to the Effective Time. This dividend, together with all previous dividends, will have the effect of distributing to the shareholders of the U.S. Fixed Income Fund all undistributed ordinary income earned and net capital gains recognized up to and including the Effective Time. The shareholders of the U.S. Fixed Income Fund will recognize ordinary income and capital gain with respect to this distribution and such income and gain may be subject to federal, state and/or local taxes.
The Reorganization is subject to a number of conditions as set forth in the Agreement. Except as set forth below, the Fund, by consent of its Board or an officer authorized by the Board, may waive any condition to the obligations of the U.S. Fixed Income Fund or the Core Fixed Income Fund under the Agreement if, in its or such officer’s judgment, such waiver will not have a material adverse effect on the interests of the shareholders of the U.S. Fixed Income Fund or the shareholders of the Core Fixed Income Fund. Certain conditions under the Agreement cannot be waived by the Fund, including the condition that the Funds receive a favorable tax opinion from Morgan, Lewis & Bockius LLP. The Board may abandon the Agreement and the Reorganization at any time for any reason prior to the Effective Time. The Agreement provides further that at any time prior to the Reorganization the Funds may amend any of the provisions of the Agreement; provided, however, that no such amendment may have the
effect of changing the provisions for determining the number of the Core Fixed Income Fund shares to be issued to the U.S. Fixed Income Fund shareholders under the Agreement to the detriment of such U.S. Fixed Income Fund shareholders.
The U.S. Fixed Income Fund will bear the expenses incurred in connection with the Reorganization, which are estimated to be $[200,000], provided that expenses will be paid by the party directly incurring such expenses if and to the extent that the payment by the other party of such expenses would result in the disqualification of the U.S. Fixed Income Fund or the Core Fixed Income Fund, as the case may be, as a “regulated investment company” within the meaning of Section 851 of the Internal Revenue Code of 1986, as amended (the “Code”) or would prevent the Reorganization from qualifying as a “reorganization” under Section 368(a) of the Code. If the Reorganization is not completed, the Adviser will pay all such costs and expenses.
Description of Reorganization Shares
Class F and Class Y shares of the Core Fixed Income Fund will be issued to shareholders of the U.S. Fixed Income Fund holding Class F and Class Y shares, respectively, in accordance with the Agreement. The Class F and Class Y shares of the Core Fixed Income Fund have the same characteristics as the Class F and Class Y shares of the Core Fixed Income Fund, and there are no material differences between the rights of the Core Fixed Income Fund shareholders and the rights of the U.S. Fixed Income Fund shareholders. For additional information about the Core Fixed Income Fund shares, see “Additional Information about the U.S. Fixed Income Fund and the Core Fixed Income Fund — Shareholder Information.”
Reasons for the Reorganization
At meetings held on December 5, 2017 and January 24, 2018, the Board discussed the Reorganization. The Board, including a majority of the Trustees who are not “interested persons” of the Fund as that term is defined in the 1940 Act, approved the Agreement, and in approving the Agreement, the Board determined that the Reorganization is in the best interests of the Funds and that the interests of shareholders of the Funds will not be diluted as a result of the Reorganization. In making this determination, the Board considered a number of factors, including:
· that the terms of the Agreement are reasonable;
· that the investment objectives of the Funds are identical and the investment strategies, restrictions and risks of the Funds are similar;
· that SIMC serves as investment adviser to both Funds, and the U.S. Fixed Income Fund’s sub-advisers are the same as the Core Fixed Income Fund’s sub-advisers;
· that the Reorganization is intended to be tax-free for U.S. federal income tax purposes for the Funds and their shareholders;
· that the Funds have the same investment advisory fee;
· that immediately following the Reorganization the total ordinary operating expenses of the Core Fixed Income Fund before fee waivers will be lower than the U.S. Fixed Income Fund’s current total ordinary operating expenses before waivers;
· that SIMC and its affiliates have agreed to contractually waive fees and reimburse expenses in order to keep total ordinary operating expenses of the Core Fixed Income Fund (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding 0.66% for Class F and 0.41% for Class Y from the effective date of the Reorganization until January 31, 2021;
· the future prospects of the U.S. Fixed Income Fund, including its potential liquidation, if the
Reorganization is not effected and that the Reorganization will allow the shareholders of the U.S. Fixed Income Fund to retain their ownership stake in a fund vehicle that is managed similarly to the U.S. Fixed Income Fund;
· the outperformance of the Core Fixed Income Fund relative to the performance of the U.S. Fixed Income Fund over the 1- and 5-year periods ending December 31, 2017, and since the inception of the U.S. Fixed Income Fund.
· that the Core Fixed Income Fund provides greater opportunity for potentially higher returns than the U.S. Fixed Income Fund due to the Core Fixed Income Fund’s broader investment flexibility while historically incurring only modestly higher risk; and
· that the Reorganization will result in a greater asset size of the Core Fixed Income Fund and the possibility that the combined aggregate assets of the Funds upon consummation of the Reorganization would allow the Core Fixed Income Fund to take advantage of the possible benefits of a larger asset base, including future economies of scale and spreading costs across a larger asset base to the potential benefit of all shareholders.
Federal Income Tax Consequences
Each Fund intends to qualify as of the Effective Time as a “regulated investment company” under the Code. Accordingly, each Fund has been, and expects to continue to be, relieved of all or substantially all federal income taxes. Consummation of the Reorganization is subject to the condition that the Funds receive an opinion from Morgan, Lewis & Bockius LLP, subject to appropriate factual assumptions and customary representations, to the effect that for federal income tax purposes:
(1) The Reorganization will constitute a tax-free “reorganization” within the meaning of Section 368(a) of the Code, and the U.S. Fixed Income Fund and the Core Fixed Income Fund each will be considered “a party to a reorganization” within the meaning of Section 368(b) of the Code;
(2) No gain or loss will be recognized by the U.S. Fixed Income Fund upon the transfer of all of its assets to, and the assumption of all of its liabilities by, the Core Fixed Income Fund in exchange solely for the issuance of shares of the Core Fixed Income Fund except for (A) gain or loss that may be recognized on the transfer of “section 1256 contracts” as defined in Section 1256(b) of the Code, (B) gain that may be recognized on the transfer of stock in a “passive foreign investment company” as defined in Section 1297(a) of the Code, and (C) any other gain or loss that may be required to be recognized upon the transfer of an asset regardless of whether such transfer would otherwise be a non-recognition transaction under the Code;
(3) No gain or loss will be recognized by the U.S. Fixed Income Fund upon the distribution (in pursuance of the Agreement) by the U.S. Fixed Income Fund to its shareholders of shares of the Core Fixed Income Fund received as a result of the Reorganization;
(4) No gain or loss will be recognized by the Core Fixed Income Fund upon the receipt by it of all of the assets of the U.S. Fixed Income Fund solely in exchange for the issuance of shares of the Core Fixed Fund and the assumption by the Core Fixed Income Fund of all of the U.S. Fixed Income Fund’s liabilities, if any;
(5) The tax basis of the assets received by the Core Fixed Income Fund pursuant to the Reorganization will be the same as the tax basis of the assets in the hands of the U.S. Fixed Income Fund immediately before the Reorganization, increased by the amount of gain (or decreased by the amount of loss), if any, recognized by the U.S. Fixed Income Fund upon the Reorganization;
(6) The holding period for the Core Fixed Income Fund with respect to the assets of the U.S. Fixed Income Fund received in the Reorganization will include the period for which such assets were held by the U.S. Fixed Income Fund other than assets with respect to which gain or loss is required to be recognized;
(7) No gain or loss will be recognized by the shareholders of the U.S. Fixed Income Fund upon the exchange of their shares of the U.S. Fixed Income Fund for shares of the Core Fixed Income Fund (including fractional shares to which they may be entitled);
(8) The aggregate tax basis of the Core Fixed Income Fund shares received by each shareholder of the U.S. Fixed Income Fund (including fractional shares to which they may be entitled) will be the same as the aggregate tax basis of the shareholder’s U.S. Fixed Income Fund shares immediately prior to the Reorganization;
(9) The holding period for the shares of the Core Fixed Income Fund received by the U.S. Fixed Income Fund’s shareholders (including fractional shares to which they may be entitled) will include the holding period of the U.S. Fixed Income Fund shares surrendered in exchange therefor, provided that the shareholder held such shares of the U.S. Fixed Income Fund as capital assets as of the closing date of the Reorganization; and
(10) The Core Fixed Income Fund will succeed to and take into account, as of the date of the transfer (as defined in Section 1.381(b)-1(b) of the Treasury Regulations), the items of the U.S. Fixed Income Fund described in Section 381(c) of the Code, subject to the conditions and limitations specified in Sections 381(b) and (c), 382, 383 and 384 of the Code.
No opinion will be expressed as to the effect of the Reorganization on the Core Fixed Income Fund, the U.S. Fixed Income Fund or any U.S. Fixed Income Fund shareholder with respect to any asset as to which unrealized gains and losses are required to be recognized for U.S. federal income tax purposes under a mark-to-market system of accounting.
The Funds have not sought a tax ruling on the federal tax consequences of the Reorganization from the IRS. The opinion to be received from Morgan, Lewis & Bockius LLP, with respect to the federal income tax consequences of the Reorganization described in this section is not binding on the IRS and does not preclude the IRS from adopting a contrary position.
Shareholders should consult their own advisors concerning the potential tax consequences to them, including state and local income tax consequences.
Capitalization
The following table sets forth the capitalization of each Fund as of April 20, 2018, and the pro forma combined capitalization of the Fund as if the Reorganization had occurred on that date.
|
| U.S. Fixed Income |
| Core Fixed Income Fund |
| Pro Forma |
| Pro Forma |
| |||
Net Assets |
|
|
|
|
|
|
|
|
| |||
Class F |
| $ | 1,665,589,220 |
| $ | 1,850,958,104 |
| (148,422 | ) | $ | 3,516,398,902 |
|
Class Y |
| $ | 148,879,748 |
| $ | 244,855,950 |
| (16,324 | ) | $ | 393,719,374 |
|
|
| U.S. Fixed Income |
| Core Fixed Income |
| Pro Forma |
| Pro Forma |
| |||
Shares Outstanding |
|
|
|
|
|
|
|
|
| |||
Class F |
| 168,650,158 |
| 169,138,763 |
| (16,450,225 | ) | 321,338,696 |
| |||
Class Y |
| 15,076,738 |
| 22,363,496 |
| (1,479,063 | ) | 35,961,171 |
| |||
|
|
|
|
|
|
|
|
|
| |||
Net Asset Value Per Share |
|
|
|
|
|
|
|
|
| |||
Class F |
| $ | 9.98 |
| $ | 10.94 |
| — |
| $ | 10.94 |
|
Class Y |
| $ | 9.98 |
| $ | 10.95 |
| — |
| $ | 10.95 |
|
(1) Figure reflects the costs
associated with the Reorganization (estimated to be approximately $200,000) which will be borne by the shareholders of the U.S. Fixed Income Fund if the Reorganization is approved and completed, as well as adjustments for consolidation of audit fees.
(2) Represents the capitalization adjustments to the Shares Outstanding of each class.
It is impossible to predict how many shares of the Core Fixed Income will actually be received and distributed by the U.S. Fixed Income Fund on the closing date of the Reorganization. The table should not be relied upon to determine the amount of the Core Fixed Income Fund’s shares that will actually be received and distributed.
ADDITIONAL INFORMATION ABOUT THE U.S. FIXED INCOME FUND AND THE CORE FIXED INCOME FUND
Investment objectives and principal investment strategies
The table below shows the Investment Goal and Principal Investment Strategies of the two Funds.
U.S. FIXED INCOME FUND |
| CORE FIXED INCOME FUND |
Investment Objective
Current income consistent with the preservation of capital.
Principal Investment Strategies
Under normal circumstances, the U.S. Fixed Income Fund will invest at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade U.S. fixed income securities. The Fund will invest primarily in U.S. corporate and government fixed income securities, including mortgage-backed securities, mortgage dollar rolls and asset-backed securities.
The Fund uses a multi-manager approach, relying upon a number of sub-advisers (each, a Sub-Adviser and collectively, the Sub-Advisers) with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation, the Fund’s adviser (SIMC or the Adviser). Sub-Advisers are selected for their expertise in managing various kinds of fixed income securities, and each Sub-Adviser makes investment decisions based on an analysis of yield trends, credit ratings and other factors in accordance with its particular discipline. Due to its investment strategy, the Fund may buy and sell securities and other instruments frequently.
The Fund may also invest in futures contracts, forward contracts, options and swaps for speculative or hedging purposes. Futures contracts, forward contracts, options and swaps may be used to synthetically obtain exposure to securities or baskets of securities and to manage the Fund’s interest rate duration and yield curve exposure. These derivatives may also be used to mitigate the Fund’s overall level of risk and/or the Fund’s risk to particular types of securities, currencies or market |
|
Investment Objective
Current income consistent with the preservation of capital.
Principal Investment Strategies
Under normal circumstances, the Core Fixed Income Fund will invest at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in fixed income securities. The Fund will invest primarily in investment and non-investment grade (junk bond) U.S. and foreign corporate and government fixed income securities, including emerging market, asset-backed securities, mortgage dollar rolls and mortgage-backed securities. The Fund may invest in securities denominated in either U.S. dollars or foreign currency. Due to its investment strategy, the Fund may buy and sell securities and other instruments frequently.
The Fund uses a multi-manager approach, relying upon a number of sub-advisers (each, a Sub-Adviser and collectively, the Sub-Advisers) with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation, the Fund’s adviser (SIMC or the Adviser). Sub-Advisers are selected for their expertise in managing various kinds of fixed income securities, and each Sub-Adviser makes investment decisions based on an analysis of yield trends, credit ratings and other factors in accordance with its particular discipline.
The Fund may also invest in futures contracts, forward contracts, options and swaps for speculative or hedging purposes. Futures contracts, forward contracts, options and swaps may be used to synthetically obtain exposure to securities or baskets of securities and to manage the Fund’s interest rate duration and yield curve exposure. |
segments. Interest rate swaps may further be used to manage the Fund’s yield spread sensitivity. When the Fund seeks to take an active long or short position with respect to the likelihood of an event of default of a security or basket of securities, the Fund may use credit default swaps. The Fund may buy credit default swaps in an attempt to manage credit risk where the Fund has credit exposure to an issuer, and the Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities.
The Fund will invest primarily in investment grade securities (those rated AAA, AA, A and BBB-). However, the Fund may also invest in non-rated securities or securities rated below investment grade (junk bonds or those rated BB+, B and CCC). The Fund may also invest in exchange-traded funds (ETFs) to gain exposure to a particular portion of the market while awaiting an opportunity to purchase securities directly.
While each Sub-Adviser chooses securities of different types and maturities, the Fund, in the aggregate, generally will have a dollar-weighted average duration that is consistent with that of the broad U.S. fixed income market as represented by the Bloomberg Barclays U.S. Aggregate Bond Index. Duration is a measure of the expected life of a fixed income security that is used to determine the sensitivity of a security’s price to changes in interest rates. For example, a 5 year duration means the fixed income security will decrease in value by approximately 5% if interest rates rise 1% and increase in value by approximately 5% if interest rates fall 1%. The dollar-weighted average duration of the Bloomberg Barclays U.S. Aggregate Bond Index varies significantly over time, but as of December 31, 2017 it was 5.98 years. |
| These derivatives may also be used to mitigate the Fund’s overall level of risk and/or the Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage the Fund’s yield spread sensitivity. When the Fund seeks to take an active long or short position with respect to the likelihood of an event of default of a security or basket of securities, the Fund may use credit default swaps. The Fund may buy credit default swaps in an attempt to manage credit risk where the Fund has credit exposure to an issuer, and the Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities.
The Sub-Advisers may also engage in currency transactions using futures and foreign currency forward contracts either to seek to hedge the Fund’s currency exposure or to enhance the Fund’s returns. The Fund may take long and short positions in foreign currencies in excess of the value of the Fund’s assets denominated in a particular currency or when the Fund does not own assets denominated in that currency. The Fund will invest primarily in investment grade securities (those rated AAA, AA, A and BBB-). However, the Fund may also invest in non-rated securities or securities rated below investment grade (BB+, B and CCC).
The Fund may also invest a portion of its assets in bank loans, which are, generally, non-investment grade (junk bond) floating rate instruments. The Fund may invest in bank loans in the form of participations in the loans or assignments of all or a portion of the loans from third parties.
While each Sub-Adviser chooses securities of different types and maturities, the Fund, in the aggregate, generally will have a dollar-weighted average duration that is consistent with that of the broad U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index. Duration is a measure of the expected life of a fixed income security that is used to determine the sensitivity of a security’s price to changes in interest rates. For example, if a fixed income security has a five-year duration, it will decrease in value by approximately 5% if interest rates rise 1% and increase in value by approximately 5% if interest rates fall 1%. Fixed income instruments with higher duration typically have higher risk and higher volatility.
The dollar-weighted average duration of the Bloomberg Barclays U.S. Aggregate Bond Index varies significantly over time, but as of December 31, 2017 it was 5.98 years. |
Investment Policies
The Funds have the same fundamental and non-fundamental investment policies, including the same investment objective.
Summary of Past Performance
The bar charts and the performance tables below provide some indication of the risks of investing in the Class F Shares of the Funds by showing changes in the Funds’ performance from year to year and by showing how the Funds’ average annual returns for 1, 5 and 10 years, and since the Funds’ inception, compare with those of a broad measure of market performance. Although the Funds currently have the same asset allocation, the performance information shown below includes periods in which the asset allocations of the Funds differed. The Funds’ past performance (before and after taxes) is not necessarily an indication of how the Funds will perform in the future. For current performance information, please call 1-800-DIAL-SEI.
After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Your actual after-tax returns will depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant to investors who hold their Fund shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts.
U.S. Fixed Income Fund
Best Quarter: |
| Worst Quarter: |
3.51% |
| -3.00% |
(09/30/11) |
| (12/31/16) |
Average Annual Total Returns (for the periods ended December 31, 2017)
U.S. Fixed Income Fund — Class F |
| 1 Year |
| 5 Years |
| Since |
|
Return Before Taxes |
| 3.41 | % | 1.92 | % | 4.09 | % |
Return After Taxes on Distributions |
| 2.53 | % | 0.81 | % | 2.64 | % |
Return After Taxes on Distributions and Sale of Fund Shares |
| 1.92 | % | 0.96 | % | 2.60 | % |
Bloomberg Barclays U.S. Aggregate Bond Index Return (reflects no deduction for fees, expenses or taxes) |
| 3.54 | % | 2.10 | % | 3.71 | %† |
† Index returns are shown from July 31, 2009.
Core Fixed Income Fund
Best Quarter: |
| Worst Quarter: |
8.12% |
| -3.23% |
(09/30/09) |
| (09/30/08) |
Average Annual Total Returns (for the periods ended December 31, 2017)
Core Fixed Income Fund — Class F |
| 1 Year |
| 5 Years |
| 10 Years |
| Since |
|
Return Before Taxes |
| 4.15 | % | 2.51 | % | 4.83 | % | 6.19 | % |
Return After Taxes on Distributions |
| 3.08 | % | 1.16 | % | 3.36 | % | 4.09 | % |
Return After Taxes on Distributions and Sale of Fund Shares |
| 2.34 | % | 1.30 | % | 3.14 | % | 4.02 | % |
Bloomberg Barclays U.S. Aggregate Bond Index Return (reflects no deduction for fees, expenses or taxes) |
| 3.54 | % | 2.10 | % | 4.01 | % | 6.39 | %† |
† Index returns are shown from May 31, 1987.
Index Provider Information
The Bloomberg Barclays U.S. Aggregate Bond Index is a widely-recognized, market-weighted (higher market value bonds have more influence than lower market value bonds) index of U.S. Government obligations, corporate debt securities and AAA rated mortgage-backed securities. All securities in the index are rated investment grade (BBB-) or higher, with maturities of at least 1 year.
Investment Adviser
SIMC, an SEC registered investment adviser, located at One Freedom Valley Drive, Oaks, PA 19456, serves as the investment adviser to the Funds. As of December 31, 2017, SIMC had approximately $176.5 billion in assets under management. Each Fund is managed by SIMC and one or more Sub-Advisers. SIMC acts as a “manager of managers” of the Funds and, subject to the oversight of the Board, is responsible for:
· researching and recommending to the Board, the hiring, termination and replacement of Sub-Advisers;
· allocating, on a continuous basis, assets of a Fund among the Sub-Advisers;
· monitoring and evaluating each Sub-Adviser’s performance;
· overseeing the Sub-Advisers to ensure compliance with the Funds’ investment objectives, policies and restrictions; and
· monitoring each Sub-Adviser’s adherence to its investment style
SIMC acts as manager of managers for the Funds pursuant to an exemptive order obtained from the SEC. The exemptive order permits SIMC, with the approval of the Board, to retain unaffiliated sub-advisers for the Funds without submitting the sub-advisory agreements to a vote of the applicable Funds’ shareholders. Among other things, the exemptive order permits the non-disclosure of amounts payable by SIMC under a particular sub-advisory agreement, but instead requires SIMC to disclose the aggregate amount of sub-advisory fees paid by SIMC with respect to each Fund. As a manager of managers, SIMC is ultimately responsible for the investment performance of the Funds. The Board supervises SIMC and the Sub-Advisers and establishes policies that they must follow in their management activities. SIMC has retained the same set of Sub-Advisers for both Funds.
For the fiscal year ended September 30, 2017, SIMC received investment advisory fees, as a percentage of each Fund’s average daily net assets, at the following annual rates:
|
| Investment |
| Investment |
|
Core Fixed Income Fund |
| 0.275 | % | 0.17 | % |
U.S. Fixed Income Fund |
| 0.275 | % | 0.17 | % |
A discussion regarding the basis of the Board’s approval of the Funds’ investment advisory and sub-advisory agreements is available in the Funds’ Semi-Annual Report, which covers the period of October 1, 2016 through March 31, 2017, and the Funds’ Annual Report, which covers the period of October 1, 2016 through September 30, 2017.
SIMC Portfolio Managers
The following portfolio managers are primarily responsible for the management and oversight of the Funds:
Richard A. Bamford serves as a Portfolio Manager for the Fixed Income team within SIMC’s Investment Management Unit. Mr. Bamford is responsible for investment grade debt and municipal bond portfolios. Mr. Bamford’s duties include manager analysis and selection, strategy development and enhancement as well as investment research. Mr. Bamford has over 20 years of experience in investment management. Prior to joining SEI in 1999, Mr. Bamford worked as a Municipal Credit Analyst for Vanguard. Mr. Bamford received a Bachelor of Science in Economics/Finance and Accounting from the University of Scranton and a Master of Business Administration with a concentration in Finance from St. Joseph’s University.
Erin Garrett serves as a Portfolio Manager for the SEI US Investment Grade fixed income strategies within SIMC’s Investment Management Unit. Ms. Garrett’s duties include manager analysis and selection, strategy development and enhancement as well as investment research. In her preceding role, Ms. Garrett was an Analyst on the Global Fixed Income team responsible for in-depth due diligence on existing and prospective investment managers for SEI’s US fixed-income portfolios. Ms. Garrett earned a Bachelor of Science in Business Administration/Finance and a Master of Business Administration graduating magna cum laude from the Villanova University.
Sub-Advisers and Portfolio Managers
SIMC has retained the same set of Sub-Advisers for both Funds. Each Sub-Adviser makes investment decisions for the assets it manages and continuously reviews, supervises and administers its investment program. Each Sub-Adviser must also operate within each Fund’s investment objective, restrictions and policies, and within specific guidelines and instructions established by SIMC from time to time. Each Sub-Adviser is responsible for managing only the portion of a Fund allocated to it by SIMC, and Sub-Advisers may not consult with each other concerning transactions for the Fund. SIMC pays the Sub-Advisers out of the investment advisory fees it receives.
Jennison Associates LLC
Jennison Associates LLC (Jennison), located at 466 Lexington Avenue, New York, New York 10017 (Main Office) and One International Place, Suite #4300, Boston, Massachusetts 02110 (Fixed Income Management), serves as a Sub-Adviser to the Funds. A team of investment professionals manages the portion of the Funds’ assets allocated to Jennison. The team consists of Thomas G. Wolfe, Head of Fixed Income, Managing Director and Fixed Income Portfolio Manager; Erik S. Brown, CFA, Managing Director and Fixed Income Portfolio Manager; Richard A. Klemmer, CFA, Managing Director and Fixed Income Portfolio Manager; Miriam Zussman, Managing Director and Fixed Income Portfolio Manager; Itai Lourie, CFA, Managing Director and Fixed Income Portfolio Manager; Eric G. Staudt, CFA, Managing Director and Fixed Income Portfolio Manager; Samuel B. Kaplan, CFA, Managing Director and Fixed Income Portfolio Manager; and James Gaul, CFA, Managing Director and Fixed Income Portfolio Manager. Mr. Wolfe joined Jennison in 1999 as a Portfolio Manager and is the Head of the Fixed Income team. Mr. Wolfe is responsible for co-developing and managing overall portfolio strategy and overseeing corporate bond selection. Mr. Brown joined Jennison in 1988 as a Fixed Income Trader specializing in mortgage securities. Since 1997, Mr. Brown has been part of the portfolio management team with primary responsibility for mortgage strategies; he also develops and implements strategy for yield curve, Treasury/agency securities and futures. Mr.
Klemmer joined Jennison in 1982 to help develop its proprietary fixed income analytic systems and to participate in the management of structured fixed income portfolios. Mr. Klemmer shares responsibility for asset backed and commercial mortgage backed securities and corporate credit analysis along with portfolio management duties. Ms. Zussman joined Jennison in May 2004 as a Senior Vice President and Fixed Income Portfolio Manager. From 2006 to January 2012, Ms. Zussman provided her credit expertise on a full time basis to Jennison as an outside consultant. Ms. Zussman rejoined Jennison beginning February 2012 as a Managing Director and Fixed Income Portfolio Manager. Mr. Lourie joined Jennison in 1996 as a Fixed Income Trader and was the Lead Trader for Treasuries, agencies and mortgage-backed securities until joining the portfolio management team in 2005. Mr. Lourie develops and implements investment strategies in the same sectors. In addition, Mr. Lourie works on asset/liability modeling and analysis. Mr. Staudt joined Jennison in 2010 to add to the depth of Jennison’s credit team. Mr. Staudt is responsible for developing and implementing strategies in the credit sector. For the previous 11 years, Mr. Staudt worked at UBS Global Asset Management. While there Mr. Staudt was a Senior Credit Analyst for three years prior to becoming a Fixed Income Portfolio Manager in 2001 and Senior Fixed Income Portfolio Manager in 2005. Mr. Kaplan joined Jennison in March 2008 as a Fixed Income Trader and became a Fixed Income Portfolio Manager in February 2016. Mr. Kaplan works closely with Mr. Brown and Mr. Lourie on the yield curve, Treasury/agency and futures team. Mr. Gaul joined Jennison in February 2016 as a Managing Director and Fixed Income Portfolio Manager with expertise in the investment grade credit sector. Prior to Jennison, Mr. Gaul was with Standish Mellon Asset Management Company from 2006 to 2016 where he served as the Director of Investment Grade Credit since 2011 and a Credit Portfolio Manager since 2009.
Metropolitan West Asset Management, LLC
Metropolitan West Asset Management, LLC (MetWest), located at 865 South Figueroa Street, Suite 1800, Los Angeles, California 90017, serves as a Sub-Adviser to the Funds. A team of investment professionals manages the portion of the Funds’ assets allocated to MetWest. The team consists of Tad Rivelle, MetWest’s Group Managing Director, Chief Investment Officer — Fixed Income and Generalist Portfolio Manager, who is responsible for developing the firm’s long-term economic outlook that guides strategies; Laird Landmann, President and Generalist Portfolio Manager, Stephen Kane, CFA, Group Managing Director and Generalist Portfolio Manager and Bryan Whalen, CFA, Group Managing Director and Generalist Portfolio Manager who co-manage security selection and the trade execution process. Messrs. Rivelle, Landmann and Kane founded MetWest in August 1996. Mr. Whalen has been with MetWest since May 2004.
Wells Capital Management Incorporated
Wells Capital Management Incorporated (WellsCap), located at 525 Market Street, 10th Floor, San Francisco, California 94105, serves as a Sub-Adviser to the Funds. WellsCap is indirectly wholly-owned by Wells Fargo & Company, a publicly listed company. A team of investment professionals led by Tom O’Connor, CFA, Managing Director, Senior Portfolio Manager and Co-Head, Troy Ludgood, Managing Director, Senior Portfolio Manager and Co-Head, Maulik Bhansali, CFA, Senior Portfolio Manager, and Jarad Vasquez, Senior Portfolio Manager, manages the portion of the Funds’ assets allocated to WellsCap. Mr. O’Connor joined WellsCap in 2000 and began his investment career in 1988. Mr. Ludgood joined WellsCap in 2004 and began his investment career in 2000. Mr. Bhansali joined WellsCap in 2001, where he began his investment career. Mr. Vasquez joined WellsCap in 2007 and began his investment career in 2001. The Montgomery Core Fixed Income portfolio managers are responsible for overseeing WellsCap’s core fixed income strategy, which is employed by the Funds.
Western Asset Management Company
Western Asset Management Company (Western Asset), located at 385 East Colorado Boulevard, Pasadena, California 91101, serves as a Sub-Adviser to the Funds. A team of investment professionals led by Chief Investment Officer S. Kenneth Leech and Portfolio Managers Carl L. Eichstaedt, CFA, Chai-Liang Lian, Mark S. Lindbloom and Michael C. Buchanan, manage the portion of the Funds’ assets allocated to Western Asset (Messrs. Lian and Buchanan only serve as Portfolio Managers to the Core Fixed Income Fund). Mr. Leech is responsible for the strategic oversight of the investments and for supervising the operations of the various sector specialist teams dedicated to the specific asset classes. Messrs. Eichstaedt, Lian, Lindbloom and Buchannan are responsible for portfolio structure, including sector allocation, duration weighting and term structure decisions. Messrs. Leech and Eichstaedt have each served as Portfolio Managers for Western Asset for over 20 years. Mr. Leech joined Western
Asset as a Portfolio Manager in 1990, Mr. Eichstaedt joined Western Asset as a Portfolio Manager in 1994, and both Mr. Lindbloom and Mr. Buchanan joined Western Asset as Portfolio Managers in 2005. Mr. Lian joined Western Asset as a Portfolio Manager in 2011. Mr. Lian also serves as Western Asset’s Head of Emerging Markets Debt. Mr. Buchanan also serves as Western Asset’s Deputy Chief Investment Officer and Head of Global Credit.
Western Asset Management Company Limited
Western Asset Management Company Limited (Western Asset Limited), located at 10 Exchange Square, Primrose Street, London EC2A 2EN, United Kingdom, serves as a Sub-Adviser to the Funds. S. Kenneth Leech, Chief Investment Officer and Portfolio Manager, manages the portion of the Funds’ assets allocated to Western Asset Limited. Mr. Leech joined Western Asset companies in 1990 and has 40 years of industry experience.
The Trust’s SAI contains additional information about the Funds’ management team, including the structure of their compensation, their role in managing other accounts, and their ownership of securities in the Funds.
Shareholder Information
Shareholder information, such as (i) pricing of Fund shares, (ii) purchase, redemption and exchange of Class F and Class Y Fund shares, (iii) investor eligibility; (iv) frequent purchases and redemption of Fund shares, (v) dividends and distributions, and (vi) tax consequences of buying, selling and exchanging Fund shares, is the same for both Funds. A summary of certain of this information is included below. More detailed shareholder information is contained in the Funds’ Prospectuses.
The minimum initial investment for Class F Shares and Class Y Shares of each Fund is $100,000 with minimum subsequent investments of $1,000. Such minimums may be waived at the discretion of SIMC. Notwithstanding the foregoing, a higher minimum investment amount may be required for certain types of investors to be eligible to invest in Class Y shares.
The investor eligibility requirements are the same for Class F Shares and Class Y Shares of each Fund.
You may purchase and redeem shares of a Fund on any day that the New York Stock Exchange (NYSE) is open for business (a Business Day). You may sell your Fund shares by contacting your authorized financial institution or intermediary directly. Authorized financial institutions and intermediaries may redeem Fund shares on behalf of their clients by contacting the Funds’ transfer agent (the Transfer Agent) or the Funds’ authorized agent, using certain SEI Investments Company (SEI) or third party systems or by calling 1-800-858-7233, as applicable.
The Funds generally pay sale (redemption) proceeds in cash during normal market conditions. To the extent that a Fund does not have sufficient cash holdings for redemption proceeds, it will typically seek to generate such cash through the sale of portfolio assets. The Funds also operate an interfund lending program that enables a Fund to borrow from another Fund on a temporary basis, which, on a less regular basis, may be used to help a Fund satisfy redemptions. Under stressed or unusual conditions that make the payment of cash unwise (and for the protection of the Funds’ remaining shareholders), the Funds might pay all or part of your redemption proceeds in liquid securities with a market value equal to the redemption price (redemption in kind). All of these methods may be used during both normal and stressed market conditions.
The Funds are intended to be long-term investment vehicles and are not designed for investors that engage in short-term trading activity (i.e., a purchase of Fund shares followed shortly thereafter by a redemption of such shares, or vice versa, in an effort to take advantage of short-term market movements). Accordingly, the Board has adopted policies and procedures on behalf of the Funds to deter short-term trading. The Transfer Agent will monitor trades in an effort to detect short-term trading activities. If, as a result of this monitoring, a Fund determines, in its sole discretion, that a shareholder has engaged in excessive short-term trading, it will refuse to process future purchases or exchanges into the Fund from that shareholder’s account. The Funds, in their sole discretion, also reserve the right to reject any purchase request (including exchange requests) for any reason, without notice.
A shareholder will be considered to be engaging in excessive short-term trading in a Fund in the following circumstances:
i. If the shareholder conducts four or more “round trips” in a Fund in any twelve-month period. A round trip involves the purchase of shares of a Fund and the subsequent redemption of all or most of those shares. An exchange into and back out of a Fund in this manner is also considered a round trip.
ii. If a Fund determines, in its sole discretion, that a shareholder’s trading activity constitutes excessive short-term trading, regardless of whether such shareholder exceeds the foregoing round trip threshold.
Each Fund calculates its NAV per share once each Business Day as of the close of normal trading on the NYSE (normally, 4:00 p.m. Eastern Time). So, for you to receive the current Business Day’s NAV per share, generally the Funds (or an authorized agent) must receive your purchase order in proper form before 4:00 p.m. Eastern Time. A Fund will not accept orders that request a particular day or price for the transaction or any other special conditions. NAV for one Fund share is the value of that share’s portion of the net assets of the Fund. In calculating NAV, the Fund generally values its investment portfolio at market price. You may obtain the current NAV of the Fund by calling 1-800-DIAL-SEI.
The Funds’ procedures for valuing their assets are the same. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations or other methodologies designed to identify the market value for such securities. On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Funds’ Fair Value Pricing Policies and Procedures until an independent source can be secured. Securities held by a Fund with remaining maturities of 60 days or less will be valued by the amortized cost method. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates.
If a security’s price cannot be obtained, a Fund will value the securities using a bid price from at least one independent broker. If such prices are not readily available, are determined to be unreliable or cannot be valued using the methodologies described above, a Fund will value the security using the Funds’ Fair Value Pricing Policies and Procedures. The determination of a security’s fair value price often involves the consideration of a number of subjective factors and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.
Each Fund distributes its investment income periodically as dividends to shareholders. It is the policy of each Fund to declare its net investment income daily and distribute it monthly. The Funds make distributions of capital gains, if any, at least annually.
The Funds have adopted a shareholder services plan and agreement (the Service Plan) with respect to Class F Shares that allows such shares to pay service providers a fee in connection with the ongoing servicing of shareholder accounts owning such shares at an annual rate of up to 0.25% of average daily net assets of the Class F Shares. The Service Plan provides that shareholder service fees on Class F Shares will be paid to SIDCo., which may then be used by SIDCo. to compensate financial intermediaries for providing shareholder services with respect to Class F Shares.
The Distributor
SEI Investments Distribution Co. (SIDCo.) is the distributor of the shares of the Fund. Each Fund is sold primarily through independent registered investment advisers, financial planners, bank trust departments and other financial advisors (Financial Advisors) who provide their clients with advice and services in connection with their investments in the Fund. Many Financial Advisors are also associated with broker-dealer firms. SIMC and its affiliates, at their expense, may compensate these broker-dealers or other financial institutions for marketing, promotional or other services. These payments may be significant to these firms, and may create an incentive for the firm or its associated Financial Advisors to recommend or offer shares of a Fund to its customers rather than other funds or investment products.
These payments are made by SIMC and its affiliates out of their past profits or other available resources. SIMC and its affiliates may also provide other products and services to Financial Advisors.
Financial Highlights
The financial highlights tables are intended to help you understand the financial performance of the Funds for the periods shown. Certain information reflects financial results for a single share. This information is intended to help you understand each Fund’s financial performance for the past five years. Some of this information reflects financial information for a single Fund share. The total returns in the table represent the rate that you would have earned (or lost) on an investment in a Fund, assuming you reinvested all of your dividends and distributions.
The information below has been derived from each Fund’s financial statements, which have been audited by KPMG LLP, the Funds’ independent registered public accounting firm. Its report, along with each Fund’s financial statements, appears in the annual report. You can obtain the annual report, which contains more performance information, at no charge by calling 1-800-DIAL-SEI.
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| Net Asset |
| Net |
| Net Realized |
| Total |
| Dividends |
| Distributions |
| Total |
| Net |
| Total |
| Net Assets End |
| Ratio of |
| Ratio of |
| Ratio of |
| Ratio of |
| Portfolio |
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Core Fixed Income Fund |
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Class F(2) |
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2017 |
| $ | 11.71 |
| $ | 0.25 |
| $ | (0.15 | ) | $ | 0.10 |
| $ | (0.26 | ) | $ | (0.23 | ) | $ | (0.49 | ) | $ | 11.32 |
| 1.02 | % | $ | 1,855,251 |
| 0.67 | % | 0.67 | % | 0.80 | % | 2.19 | % | 386 | % |
2016 |
| 11.47 |
| 0.26 |
| 0.37 |
| 0.63 |
| (0.27 | ) | (0.12 | ) | (0.39 | ) | 11.71 |
| 5.64 |
| 2,070,113 |
| 0.69 | (3) | 0.69 | (3) | 0.88 | (3) | 2.29 |
| 336 |
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2015 |
| 11.47 |
| 0.27 |
| — |
| 0.27 |
| (0.27 | ) | — |
| (0.27 | ) | 11.47 |
| 2.36 |
| 2,068,581 |
| 0.67 |
| 0.67 |
| 0.86 |
| 2.32 |
| 350 |
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2014 |
| 11.20 |
| 0.29 |
| 0.28 |
| 0.57 |
| (0.30 | ) | — |
| (0.30 | ) | 11.47 |
| 5.14 |
| 2,041,268 |
| 0.67 |
| 0.67 |
| 0.85 |
| 2.59 |
| 343 |
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2013 |
| 11.64 |
| 0.30 |
| (0.42 | ) | (0.12 | ) | (0.32 | ) | — |
| (0.32 | ) | 11.20 |
| (1.09 | ) | 1,904,623 |
| 0.67 |
| 0.67 |
| 0.85 |
| 2.57 |
| 342 |
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Class Y |
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2017 |
| $ | 11.71 |
| $ | 0.28 |
| $ | (0.15 | ) | $ | 0.13 |
| $ | (0.29 | ) | $ | (0.23 | ) | $ | (0.52 | ) | $ | 11.32 |
| 1.27 | % | $ | 225,440 |
| 0.42 | % | 0.42 | % | 0.55 | % | 2.46 | % | 386 | % |
2016 |
| 11.47 |
| 0.29 |
| 0.37 |
| 0.66 |
| (0.30 | ) | (0.12 | ) | (0.42 | ) | 11.71 |
| 5.90 |
| 70,916 |
| 0.44 | (3) | 0.44 | (3) | 0.63 | (3) | 2.55 |
| 336 |
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2015(4) |
| 11.47 |
| 0.08 |
| — |
| 0.08 |
| (0.08 | ) | — |
| (0.08 | ) | 11.47 |
| 0.69 |
| 22,985 |
| 0.42 |
| 0.42 |
| 0.63 |
| 2.66 |
| 350 |
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U.S. Fixed Income Fund |
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Class F(2) |
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2017 |
| $ | 10.58 |
| $ | 0.19 |
| $ | (0.21 | ) | $ | (0.02 | ) | $ | (0.19 | ) | $ | (0.17 | ) | $ | (0.36 | ) | $ | 10.20 |
| (0.11 | )% | $ | 1,638,534 |
| 0.66 | % | 0.66 | % | 0.79 | % | 1.84 | % | 463 | % |
2016 |
| 10.38 |
| 0.19 |
| 0.32 |
| 0.51 |
| (0.20 | ) | (0.11 | ) | (0.31 | ) | 10.58 |
| 4.94 |
| 1,205,262 |
| 0.68 | (3) | 0.68 | (3) | 0.88 | (3) | 1.81 |
| 401 |
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2015 |
| 10.33 |
| 0.20 |
| 0.08 |
| 0.28 |
| (0.21 | ) | (0.02 | ) | (0.23 | ) | 10.38 |
| 2.67 |
| 1,113,602 |
| 0.66 |
| 0.66 |
| 0.86 |
| 1.92 |
| 313 |
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2014 |
| 10.15 |
| 0.21 |
| 0.18 |
| 0.39 |
| (0.21 | ) | — |
| (0.21 | ) | 10.33 |
| 3.91 |
| 1,098,480 |
| 0.66 |
| 0.66 |
| 0.86 |
| 2.02 |
| 345 |
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2013 |
| 10.84 |
| 0.19 |
| (0.36 | ) | (0.17 | ) | (0.21 | ) | (0.31 | ) | (0.52 | ) | 10.15 |
| (1.61 | ) | 1,022,233 |
| 0.66 |
| 0.66 |
| 0.86 |
| 1.85 |
| 319 |
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Class Y |
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2017 |
| $ | 10.58 |
| $ | 0.21 |
| $ | (0.20 | ) | $ | 0.01 |
| $ | (0.22 | ) | $ | (0.17 | ) | $ | (0.39 | ) | $ | 10.20 |
| 0.14 | % | $ | 158,817 |
| 0.41 | % | 0.41 | % | 0.54 | % | 2.09 | % | 463 | % |
2016 |
| 10.38 |
| 0.21 |
| 0.32 |
| 0.53 |
| (0.22 | ) | (0.11 | ) | (0.33 | ) | 10.58 |
| 5.20 |
| 97,132 |
| 0.43 | (3) | 0.43 | (3) | 0.63 | (3) | 2.06 |
| 401 |
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2015(5) |
| 10.44 |
| 0.17 |
| (0.06 | )(6) | 0.11 |
| (0.17 | ) | — |
| (0.17 | ) | 10.38 |
| 1.03 |
| 89,000 |
| 0.41 |
| 0.41 |
| 0.61 |
| 2.16 |
| 313 |
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† Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares.
‡ Includes redemption fees of $0.03 per share.
(1) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.
(2) Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund.
(3) The expense ratio includes proxy expenses outside of the cap.
(4) Commenced operations on June 30, 2015. All ratios for the period have been annualized.
(5) Commenced operations on December 31, 2014. All ratios for the period have been annualized.
(6) The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because the sales and repurchase of Fund shares in relation to the fluctuating market value of the Fund.
Amounts designated as “—” are $0 or have been rounded to $0.
OWNERSHIP OF SHARES OF THE FUNDS
As of May [XX], 2018, the following persons were the only persons who were record owners (or to the knowledge of the Trust, beneficial owners) of 5% and 25% or more of the Class F and Class Y Shares of the Funds. Persons who owned of record or beneficially more than 25% of a Fund’s outstanding shares may be deemed to control the Fund within the meaning of the 1940 Act. Shareholders controlling the Fund could have the ability to vote a majority of the shares of the Fund on any matter requiring the approval of shareholders of the Fund. The Trust believes that most of the shares referred to below were held by the below persons in accounts for their fiduciary, agency, or custodial customers.
Name and Address |
| Number of Shares |
| Percent of Class |
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Core Fixed Income Fund—Class F Shares |
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XX |
| XX |
| XX | % |
Core Fixed Income Fund—Class Y Shares |
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XX |
| XX |
| XX | % |
U.S. Fixed Income Fund—Class F Shares |
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XX |
| XX |
| XX | % |
U.S. Fixed Income Fund—Class Y Shares |
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XX |
| XX |
| XX | % |
On the basis of the share holdings information presented above, the above persons will own the following percentage of the outstanding shares of the Class F and Class Y Shares of the Core Fixed Income Fund upon consummation of the Reorganization. These tables assume that the value of the shareholder’s interest in a class of the Fund on the date of the consummation of the Reorganization is the same as on May [XX], 2018.
Name and Address |
| Number of Shares |
| Percent of Fund/Class |
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Core Fixed Income Fund—Class F Shares |
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XX |
| XX |
| XX | % |
Core Fixed Income Fund—Class Y Shares |
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XX |
| XX |
| XX | % |
U.S. Fixed Income Fund—Class F Shares |
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XX |
| XX |
| XX | % |
U.S. Fixed Income Fund—Class Y Shares |
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XX |
| XX |
| XX | % |
As of May [XX], 2018, the directors and officers of the Trust, as a group, owned less than 1% of each class of the Funds and less than 1% of the Trust.
EXHIBIT A
AGREEMENT AND PLAN OF REORGANIZATION
THIS AGREEMENT AND PLAN OF REORGANIZATION (the “Agreement”) is made as of this day of , 2018, by and between SEI Institutional Managed Trust, a Massachusetts business trust (the “Trust”), on behalf of the U.S. Fixed Income Fund (the “Target Fund”), and the Trust, on behalf of the Core Fixed Income Fund (the “Acquiring Fund,” and, together with the Target Fund, the “Funds”). SEI Investments Management Corporation (“SIMC”) joins this Agreement solely for purposes of Sections 14(b) and 18(b). Except for the Target Fund and the Acquiring Fund, no other series of the Trust are parties to this Agreement. The Trust has its principal place of business at One Freedom Valley Drive, Oaks, Pennsylvania, 19456.
WHEREAS, the Trust was organized as a business trust under the laws of the Commonwealth of Massachusetts on December 23, 1988 under an Agreement and Declaration of Trust, as amended or supplemented from time to time, and the Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”);
WHEREAS, the Target Fund and the Acquiring Fund are each a separate investment series of the Trust and the Target Fund owns securities that generally are assets of the character in which the Acquiring Fund is permitted to invest;
WHEREAS, the following table shows (i) the Target Fund and its classes of shares and (ii) the corresponding Acquiring Fund and its corresponding classes of shares:
Target Fund and its Classes of Shares |
| Corresponding Acquiring Fund and its |
U.S. Fixed Income Fund |
| Core Fixed Income Fund |
Class F Shares |
| Class F Shares |
Class Y Shares |
| Class Y Shares |
WHEREAS, each of the Target Fund and the Acquiring Fund is authorized to issue shares of beneficial interest;
WHEREAS, the Funds intend this Agreement to be, and adopt it as, a plan of reorganization within the meaning of the regulations under Section 368(a) of the Internal Revenue Code of 1986, as amended (the “Code”); and
WHEREAS, the Trustees of the Trust, including a majority of Trustees who are not “interested persons,” as such term is defined in Section 2(a)(19) of the 1940 Act, of the Trust have determined that the transactions contemplated herein are in the best interests of the Funds and that the interests of the Funds’ respective existing shareholders will not be diluted as a result.
NOW, THEREFORE, in consideration of the mutual promises herein contained and intending to be legally bound hereby, the parties hereto hereby covenant and agree as follows:
1. Plan of Reorganization. As of the opening of business on [August 10], 2018 or at such other time and date as fixed by the mutual consent of the parties (the “Closing Date”), the Target Fund shall assign, deliver and otherwise transfer all of its assets and good and marketable title thereto, and assign all of the liabilities as of the Valuation Time (as defined in Section 5 of this Agreement), to the Acquiring Fund, free and clear of all liens, encumbrances and adverse claims except as provided in this Agreement, and the Acquiring Fund shall acquire all assets, and shall assume all liabilities of the Target Fund, and the Acquiring Fund shall deliver to the Target Fund a number of Class F and Class Y shares of beneficial interest of the Acquiring Fund (“Acquiring Fund Shares”), both full and fractional, equivalent in value to the corresponding Class F and Class Y shares of beneficial interest of the Target Fund (“Target Fund Shares”) outstanding immediately prior to the Closing Date. Shareholders of record of each class of the Target Fund at the Closing Date shall be credited with full and fractional shares of the corresponding class of
the Acquiring Fund. The assets and liabilities of the Target Fund shall be exclusively assigned to and assumed by the Acquiring Fund. All debts, liabilities, obligations and duties of the Target Fund, to the extent that they exist at or after the Closing Date, shall after the Closing Date attach to the Acquiring Fund and may be enforced against the Acquiring Fund to the same extent as if the same had been incurred by the Acquiring Fund. The events outlined in this Section 1 are referred to herein collectively as the “Reorganization.”
2. Transfer of Assets.
(a) The assets of the Target Fund to be acquired by the Acquiring Fund and allocated thereto shall include, without limitation, all cash, cash equivalents, securities, receivables (including interest and dividends receivable) as set forth in a statement of assets and liabilities, to be prepared as of the Valuation Time (the “Statement of Assets and Liabilities”), as well as any claims or rights of action or rights to register shares under applicable securities laws, any books or records of the Target Fund and other property owned by the Target Fund at the Closing Date.
(b) The Acquiring Fund will, within a reasonable time prior to the Closing Date, furnish the Target Fund with a list of the securities, if any, on the Target Fund’s list referred to in the second sentence of this paragraph that do not conform to the Acquiring Fund’s investment objectives, policies, and restrictions. The Target Fund will, within a reasonable period of time (not less than 30 days) prior to the Closing Date, furnish the Acquiring Fund with a list of its portfolio securities and other investments. In the event that the Target Fund holds any investments that the Acquiring Fund may not hold, the Target Fund, if requested by the Acquiring Fund, will dispose of such securities prior to the Closing Date. In addition, if it is determined that the Target Fund and the Acquiring Fund portfolios, when aggregated, would contain investments exceeding certain percentage limitations imposed upon the Acquiring Fund with respect to such investments, the Target Fund, if requested by the Acquiring Fund, will dispose of a sufficient amount of such investments as may be necessary to avoid violating such limitations as of the Closing Date. Notwithstanding the foregoing, nothing herein will require the Target Fund to dispose of any investments or securities if, in the reasonable judgment of the Target Fund, such disposition would either violate the Target Fund’s fiduciary duty to its shareholders or adversely affect the tax-free nature of the Reorganization (including the customary representations to be made by the Target Fund with respect to the opinion described below).
(c) The Target Fund shall direct U.S. Bank National Association, as custodian for the Target Fund (the “Custodian”), to deliver, at or prior to the Closing Date, a certificate of an authorized officer stating that: (i) assets have been delivered in proper form to the Acquiring Fund at the Closing Date, and (ii) all necessary taxes in connection with the delivery of the assets, including all applicable foreign, federal and state stock transfer stamps, if any, have been paid or provision for payment has been made. The Target Fund’s portfolio securities represented by a certificate or other written instrument shall be transferred and delivered by the Target Fund as of the Closing Date for the account of the Acquiring Fund duly endorsed in proper form for transfer in such condition as to constitute good delivery thereof. The Custodian shall deliver prior to or as of the Closing Date by book entry, in accordance with the customary practices of any securities depository, as defined in Rule 17f-4 under the 1940 Act, in which the Target Fund’s assets are deposited, the Target Fund’s assets deposited with such depositories. The cash to be transferred by the Target Fund shall be delivered by wire transfer of federal funds prior to or as of the Closing Date.
(d) The Target Fund shall direct SEI Institutional Transfer Agent, Inc., in its capacity as the Target Fund’s transfer agent (the “Transfer Agent”), to deliver prior to or as of the Closing Date a certificate of an authorized officer stating that its records contain the names and addresses of the holders of the Target Fund Shares and the number and percentage ownership of outstanding shares of each class owned by each shareholder immediately prior to the Closing Date. The Acquiring Fund shall issue and deliver a confirmation evidencing the Acquiring Fund Shares of each class to be credited at the Closing Date to the Secretary of the Target Fund, or provide evidence that the Acquiring Fund Shares have been credited to the Target Fund’s account on the books of the Acquiring Fund. No later than the Closing Date, each party shall deliver to the other such bill of sale, checks, assignments, share certificates, if any, receipts or other documents as such other party or its counsel may reasonably request.
3. Calculations.
(a) The number of full and fractional Acquiring Fund Shares of each class to be issued in exchange for the Target Fund’s assets pursuant to Section 1 hereof shall be determined by dividing the net assets of that Target Fund share class by the net asset value per share of the corresponding class of the Acquiring Fund, determined in accordance with Sections 3(b) and 4. Shareholders of record of each class of shares of the Target Fund at the Closing Date shall be credited with full and fractional Acquiring Fund Shares of the corresponding class.
(b) The net asset value per share of the Acquiring Fund Shares shall be computed as of the Valuation Time, in accordance with the pricing policies and procedures adopted by the Board of Trustees of the Trust as described in the then current prospectus and statement of additional information of the Funds under the Securities Act of 1933 (the “1933 Act”).
4. Valuation of Assets. The value of the assets of the Target Fund shall be computed as of the Valuation Time. The net asset value of the assets of the Target Fund to be transferred to the Acquiring Fund shall be computed by the Acquiring Fund. In determining the value of the securities transferred by the Target Fund to the Acquiring Fund, each security shall be priced in accordance with the pricing policies and procedures adopted by the Board of Trustees of the Trust as described in the then current prospectus and statement of additional information of the Funds under the 1933 Act. For such purposes, price quotations and the security characteristics relating to establishing such quotations shall be determined by the Acquiring Fund.
5. Valuation Time. The valuation time shall be 4:00 p.m., Eastern Time, on the business day immediately preceding the Closing Date (the “Valuation Time”). Notwithstanding anything herein to the contrary, in the event that at the Valuation Time, (a) the New York Stock Exchange shall be closed to trading or trading thereon shall be restricted, or (b) trading or the reporting of trading on such exchange or elsewhere shall be disrupted so that, in the judgment of the Trust, accurate appraisal of the value of the net assets of the Target Fund is impracticable, the Valuation Time shall be postponed until the second business day after the day when trading shall have been fully resumed without restriction or disruption, reporting shall have been restored and accurate appraisal of the value of the net assets of the Target Fund is practicable.
6. Liquidation of the Target Fund and Cancellation of Shares. At the Closing Date, the Target Fund will liquidate and the Acquiring Fund Shares (both full and fractional) received by the Target Fund will be distributed to the shareholders of record of the Target Fund as of the Closing Date in exchange for their Target Fund Shares of the corresponding class and in complete liquidation of the Target Fund. Such liquidation and distribution will be accompanied by the establishment of an open account on the share records of the Acquiring Fund in the name of each shareholder of the Target Fund that represents the respective number of Acquiring Fund Shares of each class due such shareholder. All of the issued and outstanding shares of the Target Fund shall be cancelled on the books of the Trust at the Closing Date and shall thereafter represent only the right to receive Acquiring Fund Shares of the corresponding class. The Target Fund’s transfer books shall be closed permanently. The Trust also shall take any and all other steps as shall be necessary and proper to effect a complete termination of the Target Fund.
7. Representations and Warranties of the Acquiring Fund. The Acquiring Fund represents and warrants to the Target Fund as follows:
(a) The Acquiring Fund has been duly established as a separate investment series of the Trust, which is a Massachusetts business trust duly organized and validly existing under the laws of the Commonwealth of Massachusetts.
(b) The Trust is registered as an investment company classified as a management company of the open-end type, and its registration with the Securities and Exchange Commission (the “Commission”) as an investment company under the 1940 Act is in full force and effect.
(c) The shares of the Acquiring Fund have been duly established and represent a fractional undivided interest in the Acquiring Fund. The issued and outstanding shares of the Acquiring Fund are duly authorized, validly issued,
fully paid and non-assessable. There are no outstanding options, warrants or other rights of any kind to acquire from the Trust any shares of any class or equity interests of the Acquiring Fund or securities convertible into or exchangeable for, or which otherwise confer on the holder thereof any right to acquire, any such additional shares, nor is the Trust committed to issue any share appreciation or similar rights or options, warrants, rights or securities in connection with the Acquiring Fund. The Acquiring Fund Shares to be issued and delivered to the Target Fund, for the account of the Target Fund’s shareholders, pursuant to the terms of this Agreement will, at the Closing Date, have been duly authorized and, when so issued and delivered, will be duly and validly issued Acquiring Fund Shares, and will be fully paid and non-assessable.
(d) The execution, delivery and performance of this Agreement by the Trust, on behalf of the Acquiring Fund, and the consummation of the transactions contemplated herein have been duly and validly authorized by the Trust’s Board of Trustees and no other proceedings by the Acquiring Fund are necessary to authorize this Agreement and the transactions contemplated hereby. This Agreement has been duly and validly executed and delivered by the Trust, on behalf of the Acquiring Fund, and assuming due authorization, execution and delivery by the Trust, on behalf of the Target Fund, is a legal, valid and binding obligation of the Trust, as it relates to the Acquiring Fund, enforceable in accordance with its terms subject as to enforcement, to bankruptcy, insolvency, reorganization, moratorium, and other laws relating to or affecting creditors’ rights and to general equity principles. The Acquiring Fund is not a party to or obligated under any charter, by-law, indenture or contract provision or any other commitment or obligation, or subject to any order or decree, which would be violated by its executing and carrying out this Agreement.
(e) The audited financial statements of the Acquiring Fund as of September 30, 2017 are in accordance with generally accepted accounting principles consistently applied, and such statements (copies of which have been furnished to the Target Fund) fairly reflect the financial condition of the Acquiring Fund as of such date, and there are no known contingent liabilities of the Acquiring Fund as of such date not disclosed therein.
(f) Since September 30, 2017, there has not been any material adverse change in the Acquiring Fund’s financial condition, assets, liabilities, or business other than changes occurring in the ordinary course of business, or any incurrence by the Acquiring Fund of indebtedness maturing more than one year from the date such indebtedness was incurred, except as otherwise disclosed to and accepted by the Target Fund. For purposes of this paragraph (f), a decline in the net asset value of the Acquiring Fund shall not constitute a material adverse change.
(g) The current prospectus and statement of additional information of the Acquiring Fund conform in all material respects to the applicable requirements of the 1933 Act and the 1940 Act and the rules and regulations of the Commission thereunder and do not include any untrue statement of a material fact or omit to state any material fact required to be stated therein or necessary to make the statements therein, in light of the circumstances under which they were made, not misleading.
(h) Except as otherwise disclosed in writing and accepted by the Target Fund, no litigation, administrative proceeding or investigation of or before any court or governmental body is presently pending or to its knowledge threatened against the Acquiring Fund or any of its properties or assets, which, if adversely determined, would materially and adversely affect its financial condition and the conduct of its business or the ability of the Acquiring Fund to carry out the transactions contemplated by this Agreement. The Acquiring Fund knows of no facts that might form the basis for the institution of such proceedings and is not a party to or subject to the provisions of any order, decree, or judgment of any court or governmental body that materially and adversely affects its business or its ability to consummate the transactions contemplated herein.
(i) Except for contracts and agreements disclosed to the Target Fund, under which no default exists, the Acquiring Fund is not a party to or subject to any material contract, debt instrument, plan, lease, franchise, license or permit of any kind or nature whatsoever with respect to the Acquiring Fund.
(j) As of the Closing Date, all Federal and other tax returns, information returns and other tax-related reports of the Acquiring Fund required by law to have been filed by such date (including extensions) shall have been filed,
and all other taxes shall have been paid so far as due, or provision shall have been made for the payment thereof, and to the best of the Acquiring Fund’s knowledge, no such return is currently under audit by the Internal Revenue Service or any state or local tax authority, and no assessment has been asserted with respect to any of such returns.
(k) For each taxable year of its operation, the Acquiring Fund has met the requirements of Subchapter M of the Code for qualification as a regulated investment company and has elected to be treated as such, and has been eligible to and has computed its federal income tax under Section 852 of the Code. The Acquiring Fund currently qualifies, and shall continue to qualify, as a regulated investment company under the Code.
(l) The Acquiring Fund agrees to use all reasonable efforts to obtain any necessary approvals and authorizations required by the 1933 Act, the Securities Exchange Act of 1934 (the “1934 Act”), the 1940 Act, and such of the state Blue Sky or securities laws as it may deem appropriate in order to continue its operations after the Closing Date.
(m) The information statement and prospectus and statement of additional information (collectively, the “Information Statement/Prospectus”) to be included in the Acquiring Fund’s registration statement on Form N-14 (the “N-14 Registration Statement”) and filed in connection with this Agreement, and the documents incorporated therein by reference and any amendment or supplement thereto insofar as they relate to the Acquiring Fund, each comply or will comply in all material respects with the applicable requirements of the 1933 Act, 1934 Act and the 1940 Act and the applicable rules and regulations of the Commission thereunder on the effective date of such N-14 Registration Statement. The N-14 Registration Statement and the documents incorporated therein by reference and any amendment or supplement thereto, insofar as it relates to the Acquiring Fund, does not contain any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements therein, in light of the circumstances under which they were made, not materially misleading on the effective date of such N-14 Registration Statement; provided, however, that the Acquiring Fund makes no representations or warranties as to the information contained in the N-14 Registration Statement and the documents incorporated therein by reference and any amendment or supplement thereto in reliance upon and in conformity with information relating to the Target Fund and furnished by the Target Fund to the Acquiring Fund specifically for use in connection with the N-14 Registration Statement and the documents incorporated therein by reference and any amendment or supplement thereto.
8. Representations and Warranties of the Target Fund. The Target Fund represents and warrants to the Acquiring Fund as follows:
(a) The Target Fund has been duly established as a separate investment series of the Trust, which is a Massachusetts business trust duly organized and validly existing under the laws of the Commonwealth of Massachusetts.
(b) The Trust is registered as an investment company classified as a management company of the open-end type, and its registration with the Commission as an investment company under the 1940 Act is in full force and effect.
(c) Shares of the Target Fund have been duly established and represent a fractional undivided interest in the Target Fund. The issued and outstanding shares of the Target Fund are, and at the Closing Date will be, duly authorized, validly issued, fully paid and nonassessable. All of the issued and outstanding shares of the Target Fund will, at the time of the Closing Date, be held by the persons and in the amounts set forth in the records of the Transfer Agent as provided in Section 2(d). There are no outstanding options, warrants or other rights of any kind to acquire from the Trust any shares of any class or equity interests of the Target Fund or securities convertible into or exchangeable for, or which otherwise confer on the holder thereof any right to acquire, any such additional shares, nor is the Trust committed to issue any share appreciation or similar rights or options, warrants, rights or securities in connection with the Target Fund.
(d) The audited financial statements of the Target Fund as of September 30, 2017, are in accordance with generally accepted accounting principles consistently applied, and such statements (copies of which have been furnished to the Acquiring Fund) fairly reflect the financial condition of the Target Fund as of such date, and there are no known contingent liabilities of the Target Fund as of such date not disclosed therein.
(e) Since September 30, 2017, there has not been any material adverse change in the Target Fund’s financial condition, assets, liabilities, or business other than changes occurring in the ordinary course of business, or any incurrence by the Target Fund of indebtedness maturing more than one year from the date such indebtedness was incurred, except as otherwise disclosed to and accepted by the Acquiring Fund. For purposes of this paragraph (e), a decline in the net asset value of the Target Fund shall not constitute a material adverse change.
(f) The Target Fund will have, at the Closing Date, good and marketable title to, and full right, power and authority to sell, assign, transfer and deliver, the assets to be transferred to the Acquiring Fund pursuant to Section 1. Upon delivery and payment for such assets, the Acquiring Fund will have good and marketable title to such assets without restriction on the transfer thereof free and clear of all liens, encumbrances and adverse claims other than as disclosed to the Acquiring Fund and accepted by the Acquiring Fund.
(g) The execution, delivery and performance of this Agreement by the Trust, on behalf of the Target Fund, and the consummation of the transactions contemplated herein have been duly and validly authorized by the Trust’s Board of Trustees and no other proceedings by the Target Fund are necessary to authorize this Agreement and the transactions contemplated hereby. This Agreement has been duly and validly executed and delivered by the Trust, on behalf of the Target Fund, and assuming due authorization, execution and delivery by the Trust, on behalf of the Acquiring Fund, is a legal, valid and binding obligation of the Trust, as it relates to the Target Fund, enforceable in accordance with its terms subject as to enforcement, to bankruptcy, insolvency, reorganization, moratorium, and other laws relating to or affecting creditors’ rights and to general equity principles. The Target Fund is not a party to or obligated under any charter, by-law, indenture or contract provision or any other commitment or obligation, or subject to any order or decree, which would be violated by its executing and carrying out this Agreement.
(h) The current prospectus and statement of additional information of the Target Fund conform in all material respects to the applicable requirements of the 1933 Act and the 1940 Act and the rules and regulations of the Commission thereunder and do not include any untrue statement of a material fact or omit to state any material fact required to be stated therein or necessary to make the statements therein, in light of the circumstances under which they were made, not misleading.
(i) Except as otherwise disclosed in writing and accepted by the Acquiring Fund, no litigation, administrative proceeding or investigation of or before any court or governmental body is presently pending or to its knowledge threatened against the Target Fund or any of its properties or assets, which, if adversely determined, would materially and adversely affect its financial condition and the conduct of its business or the ability of the Target Fund to carry out the transactions contemplated by this Agreement. The Target Fund knows of no facts that might form the basis for the institution of such proceedings and is not a party to or subject to the provisions of any order, decree, or judgment of any court or governmental body that materially and adversely affects its business or its ability to consummate the transactions contemplated herein.
(j) Except for contracts and agreements disclosed to the Acquiring Fund, under which no default exists, the Target Fund is not a party to or subject to any material contract, debt instrument, plan, lease, franchise, license or permit of any kind or nature whatsoever with respect to the Target Fund.
(k) As of the Closing Date, all federal and other tax returns, information returns and other tax-related reports of the Target Fund required by law to have been filed by such date (including extensions) shall have been filed, and all other taxes shall have been paid so far as due, or provision shall have been made for the payment thereof, and
to the best of the Target Fund’s knowledge, no such return is currently under audit by the Internal Revenue Service or any state or local tax authority, and no assessment has been asserted with respect to any of such returns.
(l) For each taxable year of its operation, the Target Fund has met the requirements of Subchapter M of the Code for qualification as a regulated investment company and has elected to be treated as such, and has been eligible to and has computed its federal income tax under Section 852 of the Code. The Target Fund currently qualifies, and shall continue to qualify, as a regulated investment company under the Code.
(m) The Information Statement/Prospectus to be included in the N-14 Registration Statement and filed in connection with this Agreement, and the documents incorporated therein by reference and any amendment or supplement thereto insofar as they relate to the Target Fund, each comply or will comply in all material respects with the applicable requirements of the 1933 Act, 1934 Act and the 1940 Act and the applicable rules and regulations of the Commission thereunder on the effective date of such N-14 Registration Statement. The N-14 Registration Statement and the documents incorporated therein by reference and any amendment or supplement thereto, insofar as it relates to the Target Fund, does not contain any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements therein, in light of the circumstances under which they were made, not materially misleading on the effective date of such N-14 Registration Statement; provided, however, that the Target Fund makes no representations or warranties as to the information contained in the N-14 Registration Statement and the documents incorporated therein by reference and any amendment or supplement thereto in reliance upon and in conformity with information relating to the Acquiring Fund and furnished by the Acquiring Fund to the Target Fund specifically for use in connection with the N-14 Registration Statement and the documents incorporated therein by reference and any amendment or supplement thereto.
9. Covenants of the Acquiring Fund and the Target Fund.
(a) The Acquiring Fund and the Target Fund each will operate its business in the ordinary course between the date hereof and the Closing Date, it being understood that such ordinary course of business will include customary dividends and distributions.
(b) The Target Fund will assist the Acquiring Fund in obtaining such information as the Acquiring Fund reasonably requests concerning the beneficial ownership of the Target Fund shares.
(c) Subject to the provisions of this Agreement, the Acquiring Fund and the Target Fund will each take, or cause to be taken, all action, and do or cause to be done, all things reasonably necessary, proper or advisable to consummate and make effective the transactions contemplated by this Agreement, including any actions required to be taken after the Closing Date.
(d) As promptly as practicable, but in any case within sixty days after the Closing Date, the Target Fund shall furnish the Acquiring Fund, in such form as is reasonably satisfactory to the Acquiring Fund, a statement of the earnings and profits of the Target Fund for federal income tax purposes that will be carried over by the Acquiring Fund as a result of Section 381 of the Code, and certified by the Target Fund’s President, Vice President or Chief Financial Officer.
(e) On or before the Closing Date, the Target Fund shall declare and pay a dividend or dividends which, together with all previous such dividends, shall have the effect of distributing to its shareholders all of the Target Fund’s investment company taxable income (computed without regard to any deduction for dividends paid), if any, plus the excess, if any, of its interest income excludible from gross income under Section 103(a) of the Code over its deductions disallowed under Sections 265 and 171(a)(2) of the Code for all taxable periods or years ending on or before the Closing Date, and all of its net capital gains realized (after reduction for any capital loss carry forward), if any, in all taxable periods or years ending on or before the Closing Date.
10. Conditions Precedent to Obligations of the Acquiring Fund. The obligations of the Acquiring Fund to complete the transactions provided for herein shall be subject, at its election, to the performance by the Target
Fund of all the obligations to be performed by it hereunder on or before the Closing Date and, in addition thereto, the following conditions:
(a) All representations and warranties of the Target Fund contained in this Agreement shall be true and correct in all material respects as of the date hereof and, except as they may be affected by the transactions contemplated by this Agreement, as of the Closing Date, with the same force and effect as if made on and as of the Closing Date. On the Closing Date, the Acquiring Fund shall have received a certificate from the President or Vice President of the Target Fund, dated as of such date, certifying on behalf of the Target Fund that as of such date that the conditions set forth in this clause (a) have been met.
(b) The Target Fund shall have delivered to the Acquiring Fund at the Closing Date the Target Fund’s Statement of Assets and Liabilities, prepared in accordance with generally accepted accounting principles consistently applied, together with a certificate of the Chief Financial Officer of the Target Fund as to the aggregate asset value of the Target Fund’s portfolio securities.
(c) On the Closing Date, the Target Fund shall have performed and complied in all material respects with each of its agreements and covenants required by this Agreement to be performed or complied with by the Target Fund prior to or at the Closing Date and the Acquiring Fund shall have received a certificate from the President or Vice President of the Target Fund, dated as of such date, certifying on behalf of the Target Fund that the conditions set forth in this clause (c) have been and continue to be, satisfied.
11. Conditions Precedent to Obligations of the Target Fund. The obligations of the Target Fund to consummate the transactions provided for herein shall be subject, at its election, to the performance by the Acquiring Fund of all the obligations to be performed by it hereunder on or before the Closing Date, and, in addition thereto, the following further conditions:
(a) All representations and warranties of the Acquiring Fund contained in this Agreement shall be true and correct in all material respects as of the date hereof and, except as they may be affected by the transactions contemplated by this Agreement, as of the Closing Date, with the same force and effect as if made on and as of the Closing Date. On the Closing Date, the Target Fund shall have received a certificate from the President or Vice President of the Acquiring Fund, dated as of such date, certifying on behalf of Acquiring Fund that as of such date that the conditions set forth in this clause (a) have been met.
(b) On the Closing Date, the Acquiring Fund shall have performed and complied in all material respects with each of its agreements and covenants required by this Agreement to be performed or complied with by the Acquiring Fund prior to or at the Closing Date and the Target Fund shall have received a certificate from the President or Vice President of the Acquiring Fund, dated as of such date, certifying on behalf of the Acquiring Fund that the conditions set forth in this clause (b) have been, and continue to be, satisfied.
12. Further Conditions Precedent to Obligations of the Target Fund and the Acquiring Fund. If any of the conditions set forth below exist on or before the Closing Date with respect to a Fund, the other Fund shall, at its option, not be required to consummate the transactions contemplated by this Agreement.
(a) The Trust’s Board of Trustees, on behalf of each of the Target Fund and the Acquiring Fund, has not approved this Agreement.
(b) The Commission has issued an unfavorable report under Section 25(b) of the 1940 Act, or instituted a proceeding seeking to enjoin the consummation of the transactions contemplated by this Agreement under Section 25(c) of the 1940 Act, or an action, suit or other proceeding is threatened or pending before any court or governmental agency in which it is sought to restrain or prohibit, or obtain damages or other relief in connection with, this Agreement or the transactions contemplated herein.
(c) The Funds have not obtained all required consents of other parties and all other consents, orders, and permits of federal, state and local regulatory authorities (including those of the Commission and of state Blue Sky securities authorities, including any necessary “no-action” positions of and exemptive orders from such federal and state authorities) to permit consummation of the transactions contemplated hereby, except where failure to obtain any such consent, order, or permit would not involve a risk of a material adverse effect on the assets or properties of the Acquiring Fund or the Target Fund, provided that either party hereto may for itself waive any of such conditions.
(d) The Registration Statement has not become effective under the 1933 Act, or stop orders suspending the effectiveness of the Registration Statement have been issued or, to the best knowledge of the parties hereto, an investigation or proceeding for that purpose shall have been instituted or be pending, threatened or contemplated under the 1933 Act.
(e) The Funds have failed to receive a favorable opinion of Morgan, Lewis & Bockius LLP that complies with the requirements of Section 13 below.
13. Tax Opinion
(a) The Funds shall obtain an opinion from Morgan, Lewis & Bockius LLP addressed to the Acquiring Fund and the Target Fund substantially to the effect that with respect to the Target Fund and the Acquiring Fund for Federal income tax purposes:
(i) The Reorganization will constitute a tax-free reorganization within the meaning of Section 368(a) of the Code, and the Target Fund and the Acquiring Fund will each be a “party to the reorganization” within the meaning of Section 368(b) of the Code.
(ii) No gain or loss will be recognized by the Target Fund upon the transfer of all of its assets to, and the assumption of all of its liabilities by, the Acquiring Fund solely in exchange for Acquiring Fund Shares pursuant to Section 361(a) and Section 357(a) of the Code, except for (A) gain or loss that may be recognized on the transfer of “section 1256 contracts” as defined in Section 1256(b) of the Code, (B) gain that may be recognized on the transfer of stock in a “passive foreign investment company” as defined in Section 1297(a) of the Code, and (C) any other gain or loss that may be required to be recognized upon the transfer of an asset regardless of whether such transfer would otherwise be a non-recognition transaction under the Code.
(iii) No gain or loss will be recognized by the Target Fund upon the distribution of Acquiring Fund Shares to shareholders of the Target Fund (in pursuance of the Agreement) pursuant to Section 361(c)(1) of the Code.
(iv) No gain or loss will be recognized by the Acquiring Fund upon the receipt of the assets of the Target Fund solely in exchange for Acquiring Fund Shares and the assumption by the Acquiring Fund of the liabilities of the Target Fund pursuant to Section 1032(a) of the Code.
(v) The tax basis of the assets of the Target Fund received by the Acquiring Fund will be the same as the tax basis of such assets to the Target Fund immediately prior to the exchange pursuant to Section 362(b), increased by the amount of gain (or decreased by the amount of loss), if any, recognized by the Target Fund upon the exchange.
(vi) The holding period of the assets of the Target Fund received by the Acquiring Fund will include the period during which such assets were held by the Target Fund pursuant to Section 1223(2) of the Code other than assets with respect to which gain or loss is required to be recognized.
(vii) No gain or loss will be recognized by the shareholders of the Target Fund upon the exchange of their shares of the Target Fund for Acquiring Fund Shares (including fractional shares to which they may be entitled) pursuant to Section 354(a) of the Code.
(viii) The aggregate tax basis of Acquiring Fund Shares received by each shareholder of the Target Fund (including fractional shares to which they may be entitled) will be the same as the aggregate tax basis of the Target Fund shares exchanged immediately prior to the Reorganization pursuant to Section 358(a)(1) of the Code.
(ix) The holding period of the Acquiring Fund Shares received by the shareholders of the Target Fund (including fractional shares to which they may be entitled) will include the holding period of the Target Fund shares surrendered in exchange therefor, provided that the Target Fund shares were held as a capital asset as of the Closing Date of the Reorganization pursuant to Section 1223(1) of the Code.
(x) The Acquiring Fund will succeed to and take into account, as of the date of the transfer (as defined in Section 1.381(b)-1(b) of the Treasury Regulations), the items of the Target Fund described in Section 381(c) of the Code, subject to the conditions and limitations specified in Sections 381(b) and (c), 382, 383 and 384 of the Code.
(b) No opinion will be expressed as to the effect of the Reorganization on any Target Fund shareholder that is required to recognize unrealized gains and losses for U.S. federal income tax purposes under a mark-to-market system of accounting.
(c) Such opinion shall be based on customary assumptions, limitations and such representations as Morgan, Lewis & Bockius LLP may reasonably request, and the Target Fund and Acquiring Fund will cooperate to make and certify the accuracy of such representations. Such opinion may contain such assumptions and limitations as shall be in the opinion of such counsel appropriate to render the opinions expressed therein. Notwithstanding anything herein to the contrary, neither the Acquiring Fund nor the Target Fund may waive the conditions set forth in this Section 12(e).
14. Fees and Expenses.
(a) Each of the Acquiring Fund and the Target Fund represents and warrants to the other that there are no brokers or finders entitled to receive any payments in connection with the transactions provided for herein.
(b) Except as otherwise provided for herein, all expenses that are solely and directly related to the Reorganization contemplated by this Agreement will be borne and paid by the Target Fund. Such expenses include, without limitation, to the extent solely and directly related to the Reorganization contemplated by this Agreement: (i) expenses incurred in connection with the entering into and the carrying out of the provisions of this Agreement; (ii) expenses associated with the preparation and filing of the Registration Statement under the 1933 Act covering the Acquiring Fund Shares to be issued pursuant to the provisions of this Agreement; (iii) registration or qualification fees and expenses of preparing and filing such forms as are necessary under applicable state securities laws to qualify the Acquiring Fund Shares to be issued in connection herewith in each state in which the Target Fund’s shareholders are resident as of the date of the mailing of the Information Statement/Prospectus to such shareholders; (iv) postage; (v) printing; (vi) accounting fees; and (vii) legal fees. The Funds agree that all such fees and expenses so borne and paid, shall be paid directly by the Funds to the relevant providers of services or other payees in accordance with the principles set forth in the Internal Revenue Service Rev. Rul. 73-54, 1973-1 C.B. 187. Fees and expenses not incurred directly in connection with the consummation of the transactions contemplated by this Agreement will be borne by the party incurring such fees and expenses. Notwithstanding the foregoing, expenses will in any event be paid by the party directly incurring such expenses if and to the extent that the payment by the other party of such expenses would result in the disqualification of the Target Fund or the Acquiring Fund, as the case may be, as a “regulated investment company” within the meaning of Section 851 of the Code or would prevent the Reorganization from qualifying as a “reorganization” under Section 368(a) of the Code. Target Fund shareholders will pay their respective expenses, if any, incurred in connection with the transactions contemplated by this Agreement. Neither the Target Fund nor the Acquiring Fund will pay the Acquiring Fund shareholders’ expenses, if any. In the event this Agreement is terminated at or prior to the Closing Date in accordance with Section 14 hereto, SIMC will bear the costs incurred by the Target Fund under this Section 18(b).
15. Termination.
(a) This Agreement may be terminated by the mutual agreement of the Acquiring Fund and the Target Fund. In addition, either the Acquiring Fund or the Target Fund may at its option terminate this Agreement at or prior to the Closing Date:
(i) because of a material breach by the other party of any representation, warranty, covenant or agreement contained herein to be performed at or prior to the Closing Date;
(ii) because of a condition herein expressed to be precedent to the obligations of the terminating party which has not been met and which reasonably appears will not or cannot be met; or
(iii) by resolution of the Trust’s Board of Trustees if circumstances should develop that, in the good faith opinion of the Board, make proceeding with the Agreement not in the best interests of either of the Target Fund’s or the Acquiring Fund’s shareholders.
(b) In the event of any such termination, in the absence of willful default, there shall be no liability for damages on the part of the Target Fund, the Acquiring Fund, the Trust, or their Trustees or officers, to the other party. In such event, SIMC shall bear the expenses incurred by the Target Fund and the Acquiring Fund incidental to the preparation and carrying out of this Agreement as provided in Section 18.
16. Amendment. This Agreement may be amended, modified or supplemented in such manner as may be mutually agreed upon in writing by the authorized officers of the Funds; provided, however, that no such amendment may have the effect of changing the provisions for determining the number of the Acquiring Fund Shares to be issued to the Target Fund shareholders under this Agreement to the detriment of such Target Fund shareholders.
17. Governing Law. This Agreement shall be governed by and construed in accordance with the laws of the Commonwealth of Massachusetts, without giving effect to the conflicts of laws provisions thereof.
18. Notices. Any notice, report, statement or demand required or permitted by any provision of this Agreement shall be in writing and shall be given by prepaid telegraph, telecopy, certified mail or overnight express courier addressed as follows:
Target Fund: | Acquiring Fund: |
SEI Institutional Managed Trust Attn: Legal Department One Freedom Valley Drive Oaks, PA 19456 Telephone: (610) 676-1000 | SEI Institutional Managed Trust Attn: Legal Department One Freedom Valley Drive Oaks, PA 19456 Telephone: (610) 676-1000 |
19. Headings, Counterparts, Assignment.
(a) The section headings contained in this Agreement are for reference purposes only and shall not affect in any way the meaning or interpretation of this Agreement.
(b) This Agreement may be executed in any number of counterparts, each of which shall be deemed an original.
(c) This Agreement shall be binding upon and inure to the benefit of the parties hereto and their respective successors and assigns, but no assignment or transfer hereof or of any rights or obligations hereunder shall be made by any party without the written consent of the other party. Nothing herein expressed or implied is
intended or shall be construed to confer upon or give any person, firm or corporation other than the parties hereto and their respective successors and assigns any rights or remedies under or by reason of this Agreement.
(d) The Acquiring Fund and Target Fund agree that neither party has made any representation, warranty or covenant not set forth herein and that this Agreement constitutes the entire agreement between the parties. The representations, warranties and covenants contained herein or in any document delivered pursuant hereto or in connection herewith shall not survive the consummation of the transactions contemplated hereunder.
(e) It is expressly agreed that the obligations of the parties hereunder shall not be binding upon any of their respective trustees, shareholders, nominees, officers, agents, or employees personally, but shall bind only the property of (a) each Target Fund or its corresponding Acquiring Fund, as applicable, as provided in their respective governing documents and (b) the other parties. The execution and delivery by such officers shall not be deemed to have been made by any of them individually or to impose any liability on any of them personally, but shall bind only the property of such party. A copy of the Declaration of Trust of the Acquiring Entity is on file with the Secretary of the Commonwealth of Massachusetts, and notice is hereby given that no trustee, officer, agent or employee of the Acquiring Entity shall have any personal liability under this Agreement.
THE REST OF THIS PAGE IS INTENTIONALLY BLANK.
IN WITNESS WHEREOF, the parties have duly executed this Agreement, all as of the date first written above.
SEI INSTITUTIONAL MANAGED TRUST, ON BEHALF OF
THE U.S. FIXED INCOME FUND
By: |
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Name: |
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Title: |
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SEI INSTITUTIONAL MANAGED TRUST, ON BEHALF OF
THE CORE FIXED INCOME FUND
By: |
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Name: |
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Title: |
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SOLELY FOR PURPOSES OF SECTIONS 14(B) AND 18(B), SEI INVESTMENTS MANAGEMENT CORPORATION
By: |
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Name: |
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Title: |
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SEI INSTITUTIONAL MANAGED TRUST
CORE FIXED INCOME FUND
STATEMENT OF ADDITIONAL INFORMATION
[May 31], 2018
This Statement of Additional Information is not a prospectus. It should be read in conjunction with the Information Statement/Prospectus dated [May 31], 2018 relating to the proposed reorganization of the U.S. Fixed Income Fund, a series of SEI Institutional Managed Trust (the “Trust”), into the Core Fixed Income Fund, a separate series of the Trust. You may obtain copies of the Information Statement/Prospectus by calling 1-800-DIAL-SEI or by sending a written request to the Funds at One Freedom Valley Drive, Oaks, Pennsylvania 19456.
The following documents are incorporated herein by reference. Shareholders will receive a copy of each document that is incorporated by reference upon any request to receive a copy of this Statement of Additional Information.
1. The Statement of Additional Information of the Trust relating to the U.S. Fixed Income Fund and the Core Fixed Income Fund (together, the “Funds”), dated January 31, 2018, as supplemented from time to time.
2. The Report of the Independent Registered Public Accounting Firm and audited financial statements of the Funds included in the Trust’s Annual Report for the fiscal year ended September 30, 2018 (the “Annual Report”). No other parts of the Annual Report are incorporated herein by reference.
TABLE OF CONTENTS
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A. General Information |
| S-3 |
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B. Additional Information About the U.S. Fixed Income Fund and the Core Fixed Income Fund |
| S-3 |
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C. Financial Statements |
| S-3 |
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D. Pro Forma Financial Information (Unaudited) |
| S-3 |
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A. General Information
The Board of Trustees of the Trust has approved an Agreement and Plan of Reorganization, which contemplates the transfer of all the assets and liabilities of the U.S. Fixed Income Fund to the Core Fixed Income Fund in exchange for shares of the Core Fixed Income Fund.
After the transfer of all its assets and liabilities in exchange for shares of the Core Fixed Income Fund, the U.S. Fixed Income Fund will distribute the shares to its shareholders in liquidation of the U.S. Fixed Income Fund. Each shareholder of the U.S. Fixed Income Fund will receive a number of full and fractional shares of the corresponding class in the Core Fixed Income Fund equal in value to the value of such shareholder’s shares of the U.S. Fixed Income Fund, as of the closing date of the reorganization, and will receive any unpaid dividends or distributions on shares of the U.S. Fixed Income Fund that were declared at or before the closing of the reorganization. The Core Fixed Income Fund will establish an account for each former shareholder of the U.S. Fixed Income Fund reflecting the appropriate number of shares distributed to the shareholder. These accounts will be substantially identical to the accounts currently maintained by the U.S. Fixed Income Fund for each shareholder. In connection with the reorganization, all outstanding shares of the U.S. Fixed Income Fund will be cancelled, and the U.S. Fixed Income Fund will wind up its affairs and be terminated. For further information about the reorganization, see the Information Statement/Prospectus.
B. Additional Information about the U.S. Fixed Income Fund and the Core Fixed Income Fund
The Statement of Additional Information of the Trust relating to the Funds, dated January 31, 2018, as supplemented from time to time, is hereby incorporated herein by reference.
C. Financial Statements
Historical financial information regarding the Funds is incorporated herein by reference as follows:
The Report of the Independent Registered Public Accounting Firm and audited financial statements of the Funds included in the Annual Report are hereby incorporated herein by reference to the Annual Report. No other parts of the Annual Report are incorporated herein by reference.
D. Pro Forma Financial Information (Unaudited)
The following unaudited pro forma combined financial statements are intended to present the financial condition and related results of operations of the Core Fixed Income Fund as if the reorganization had occurred on September 30, 2017. The unaudited pro forma combined financial statements are presented for the information of the reader and may not necessarily be representative of what the actual combined financial statements would have been had the reorganization occurred on September 30, 2017.
Proforma Schedule of Investments (Unaudited)
September 30, 2017
Combined Proforma |
| Core Fixed Income Fund |
| U.S. Fixed Income Fund |
| ||||||||||||||
Description |
| Face Amount |
| Market Value |
| Face Amount |
| Market Value |
| Face Amount |
| Market Value |
| ||||||
|
| (Thousands) |
| ($ Thousands) |
| (Thousands) |
| ($ Thousands) |
| (Thousands) |
| ($ Thousands) |
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MORTGAGE-BACKED SECURITIES — 65.5% |
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Agency Mortgage-Backed Obligations — 56.3% |
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FHLMC |
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3.000%,06/01/2046 |
| $ | 3,179 |
| $ | 3,194 |
| $ | 3,179 |
| $ | 3,194 |
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FHLMC |
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| ||||||
3.500%, 01/01/2031 |
| 98 |
| 104 |
| 62 |
| 65 |
| $ | 37 |
| $ | 39 |
| ||||
FHLMC |
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6.000%, 03/01/2020 |
| 79 |
| 81 |
| 63 |
| 65 |
| 16 |
| 16 |
| ||||||
FHLMC |
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2.500%,12/01/2031 |
| 3,111 |
| 3,136 |
| 3,111 |
| 3,136 |
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| ||||||
FHLMC |
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| ||||||
3.500%, 10/01/2030 |
| 187 |
| 196 |
| 119 |
| 125 |
| 68 |
| 71 |
| ||||||
FHLMC |
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| ||||||
3.500%, 10/01/2030 |
| 97 |
| 102 |
| 62 |
| 66 |
| 35 |
| 36 |
| ||||||
FHLMC |
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| ||||||
5.000%,06/01/2033 |
| 17 |
| 18 |
| 17 |
| 18 |
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| ||||||
FHLMC |
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7.500%,07/01/2032 |
| 19 |
| 19 |
| 19 |
| 19 |
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| ||||||
FHLMC |
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4.000%,05/01/2046 |
| 3,440 |
| 3,624 |
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| 3,440 |
| 3,624 |
| ||||||
FHLMC |
|
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| ||||||
6.000%,09/01/2021 |
| 19 |
| 20 |
| 19 |
| 20 |
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| ||||||
FHLMC |
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3.500%, 12/01/2029 |
| 6,528 |
| 6,871 |
| 3,174 |
| 3,341 |
| 3,354 |
| 3,530 |
| ||||||
FHLMC |
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3.500%,08/01/2046 |
| 3,273 |
| 3,398 |
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| 3,273 |
| 3,398 |
| ||||||
FHLMC |
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3.000%, 08/01/2046 |
| 4,124 |
| 4,143 |
| 689 |
| 692 |
| 3,435 |
| 3,451 |
| ||||||
FHLMC |
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4.500%, 01/01/2045 |
| 440 |
| 483 |
| 215 |
| 236 |
| 225 |
| 247 |
| ||||||
FHLMC |
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4.000%,06/01/2047 |
| — |
| — |
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| ||||||
FHLMC |
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| ||||||
5.000%, 06/01/2044 |
| 902 |
| 1,010 |
| 501 |
| 561 |
| 401 |
| 449 |
| ||||||
FHLMC |
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| ||||||
4.500%, 02/01/2044 |
| 919 |
| 998 |
| 383 |
| 416 |
| 536 |
| 582 |
| ||||||
FHLMC |
|
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| ||||||
3.500%, 11/01/2031 |
| 121 |
| 128 |
| 56 |
| 59 |
| 65 |
| 69 |
| ||||||
FHLMC |
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| ||||||
4.500%, 08/01/2020 |
| 989 |
| 1,011 |
| 443 |
| 453 |
| 546 |
| 558 |
| ||||||
FHLMC |
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| ||||||
4.000%,05/01/2043 |
| 66 |
| 71 |
| 66 |
| 71 |
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| ||||||
FHLMC |
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| ||||||
3.500%, 11/01/2030 |
| 782 |
| 824 |
| 495 |
| 521 |
| 288 |
| 303 |
| ||||||
FHLMC |
|
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| ||||||
4.000%,04/01/2019 |
| 1 |
| 1 |
| 1 |
| 1 |
|
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| ||||||
FHLMC |
|
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| ||||||
3.500%, 08/01/2032 |
| 453 |
| 479 |
| 210 |
| 222 |
| 243 |
| 257 |
| ||||||
FHLMC |
|
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| ||||||
3.000%, 01/01/2047 |
| 1,069 |
| 1,075 |
| 680 |
| 684 |
| 389 |
| 391 |
| ||||||
FHLMC |
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| ||||||
3.500%, 12/01/2045 |
| 1,248 |
| 1,288 |
| 760 |
| 784 |
| 489 |
| 504 |
| ||||||
FHLMC |
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| ||||||
5.000%,05/01/2033 |
| 12 |
| 14 |
| 12 |
| 14 |
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| ||||||
FHLMC |
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| ||||||
3.500%, 08/01/2030 |
| 103 |
| 108 |
| 65 |
| 69 |
| 37 |
| 39 |
| ||||||
FHLMC |
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3.500%, 01/01/2031 |
| 1,079 |
| 1,137 |
| 611 |
| 644 |
| 468 |
| 493 |
| ||||||
FHLMC |
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7.500%,12/01/2036 |
| 106 |
| 120 |
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| 106 |
| 120 |
| ||||||
FHLMC |
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6.500%,09/01/2036 |
| 50 |
| 56 |
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| 50 |
| 56 |
| ||||||
FHLMC |
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| ||||||
4.500%,05/01/2041 |
| 650 |
| 699 |
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| 650 |
| 699 |
| ||||||
FHLMC |
|
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| ||||||
4.000%,05/01/2047 |
| 677 |
| 713 |
| 677 |
| 713 |
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| ||||||
FHLMC |
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| ||||||
3.500%, 09/01/2026 |
| 235 |
| 247 |
| 110 |
| 115 |
| 126 |
| 132 |
| ||||||
FHLMC |
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| ||||||
4.000%, 03/01/2037 |
| 99 |
| 106 |
| 46 |
| 49 |
| 53 |
| 57 |
| ||||||
FHLMC |
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| ||||||
3.500%,04/01/2047 |
| 657 |
| 678 |
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| 657 |
| 678 |
| ||||||
FHLMC |
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4.000%,08/01/2041 |
| 647 |
| 690 |
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| 647 |
| 690 |
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FHLMC |
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6.500%,09/01/2038 |
| 118 |
| 132 |
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| 118 |
| 132 |
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FHLMC |
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4.000%, 10/01/2029 |
| 341 |
| 365 |
| 210 |
| 225 |
| 131 |
| 140 |
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FHLMC |
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7.000%,03/01/2039 |
| 197 |
| 223 |
| 197 |
| 223 |
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FHLMC |
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7.500%,05/01/2031 |
| 19 |
| 22 |
| 19 |
| 22 |
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| �� |
FHLMC |
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4.500%,09/01/2035 |
| 19 |
| 21 |
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| 19 |
| 21 |
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FHLMC |
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4.500%, 06/01/2047 |
| 1,246 |
| 1,355 |
| 582 |
| 633 |
| 664 |
| 722 |
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FHLMC |
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7.500%,02/01/2038 |
| 48 |
| 55 |
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| 48 |
| 55 |
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FHLMC |
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4.500%, 12/01/2043 |
| 1,043 |
| 1,132 |
| 447 |
| 485 |
| 596 |
| 647 |
|
FHLMC |
|
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4.000%, 08/01/2043 |
| 307 |
| 325 |
| 230 |
| 244 |
| 77 |
| 81 |
|
FHLMC |
|
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4.000%,12/01/2045 |
| 456 |
| 480 |
| 456 |
| 480 |
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FHLMC |
|
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7.000%,05/01/2024 |
| 18 |
| 20 |
| 18 |
| 20 |
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|
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FHLMC |
|
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7.000%,12/01/2031 |
| 60 |
| 61 |
| 60 |
| 61 |
|
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|
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FHLMC |
|
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3.500%,09/01/2037 |
| 122 |
| 127 |
|
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|
|
| 122 |
| 127 |
|
FHLMC |
|
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4.000%, 07/01/2047 |
| 6,792 |
| 7,153 |
| 4,134 |
| 4,354 |
| 2,658 |
| 2,799 |
|
FHLMC |
|
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|
|
|
|
| �� |
|
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3.500%, 08/01/2046 |
| 6,985 |
| 7,211 |
| 4,654 |
| 4,804 |
| 2,331 |
| 2,407 |
|
FHLMC |
|
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4.000%, 06/01/2043 |
| 122 |
| 130 |
| 61 |
| 65 |
| 61 |
| 65 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,04/01/2020 |
| 233 |
| 239 |
| 233 |
| 239 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 54 |
| 58 |
| 54 |
| 58 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,03/01/2045 |
| 556 |
| 585 |
|
|
|
|
| 556 |
| 585 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2043 |
| 664 |
| 705 |
| 516 |
| 548 |
| 147 |
| 157 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 12/01/2035 |
| 66 |
| 72 |
| 54 |
| 59 |
| 12 |
| 13 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 10/01/2021 |
| 83 |
| 88 |
| 27 |
| 29 |
| 56 |
| 59 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,03/01/2046 |
| 353 |
| 371 |
|
|
|
|
| 353 |
| 371 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/01/2041 |
| 165 |
| 180 |
| 77 |
| 84 |
| 88 |
| 96 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,06/01/2033 |
| 79 |
| 86 |
| 79 |
| 86 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,11/01/2035 |
| 330 |
| 369 |
| 330 |
| 369 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%,09/01/2024 |
| 5 |
| 5 |
| 5 |
| 5 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,11/01/2030 |
| 82 |
| 86 |
| 82 |
| 86 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,04/01/2035 |
| 5 |
| 6 |
|
|
|
|
| 5 |
| 6 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 01/01/2047 |
| 573 |
| 576 |
| 382 |
| 384 |
| 191 |
| 192 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 06/01/2036 |
| 111 |
| 121 |
| 91 |
| 99 |
| 20 |
| 22 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 11/01/2030 |
| 473 |
| 498 |
| 299 |
| 315 |
| 174 |
| 183 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 06/01/2036 |
| 427 |
| 468 |
| 350 |
| 384 |
| 77 |
| 84 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,02/01/2043 |
| 83 |
| 86 |
|
|
|
|
| 83 |
| 86 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,10/01/2035 |
| 88 |
| 97 |
| 88 |
| 97 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,06/01/2019 |
| 3 |
| 3 |
| 3 |
| 3 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 155 |
| 166 |
| 73 |
| 78 |
| 82 |
| 88 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/01/2039 |
| 83 |
| 94 |
| 83 |
| 94 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 09/01/2022 |
| 407 |
| 429 |
| 330 |
| 348 |
| 77 |
| 81 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2046 |
| 589 |
| 626 |
| 327 |
| 348 |
| 261 |
| 278 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/01/2036 |
| 612 |
| 653 |
| 288 |
| 308 |
| 323 |
| 345 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/01/2030 |
| 524 |
| 552 |
| 323 |
| 341 |
| 200 |
| 211 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,07/01/2019 |
| 3 |
| 3 |
| 3 |
| 3 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/01/2044 |
| 318 |
| 344 |
| 159 |
| 172 |
| 159 |
| 172 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 612 |
| 667 |
| 286 |
| 311 |
| 327 |
| 356 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 12/01/2045 |
| 154 |
| 159 |
| 85 |
| 88 |
| 69 |
| 71 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2032 |
| 589 |
| 620 |
| 275 |
| 290 |
| 314 |
| 330 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,05/01/2033 |
| 323 |
| 354 |
| 323 |
| 354 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/01/2018 |
| 4 |
| 4 |
|
|
|
|
| 4 |
| 4 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2043 |
| 459 |
| 491 |
| 328 |
| 351 |
| 131 |
| 140 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2031 |
| 629 |
| 663 |
| 335 |
| 353 |
| 294 |
| 310 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,08/01/2031 |
| 10 |
| 12 |
| 10 |
| 12 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,01/01/2043 |
| 1 |
| 1 |
|
|
|
|
| 1 |
| 1 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,04/01/2047 |
| 267 |
| 293 |
| 267 |
| 293 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/01/2030 |
| 116 |
| 122 |
| 74 |
| 78 |
| 42 |
| 44 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,09/01/2045 |
| 424 |
| 447 |
|
|
|
|
| 424 |
| 447 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,02/01/2044 |
| 76 |
| 78 |
| 76 |
| 78 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,02/01/2039 |
| 71 |
| 78 |
|
|
|
|
| 71 |
| 78 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 06/01/2020 |
| 457 |
| 465 |
| 270 |
| 275 |
| 187 |
| 190 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,02/01/2019 |
| 12 |
| 13 |
| 12 |
| 13 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2032 |
| 891 |
| 936 |
| 396 |
| 416 |
| 495 |
| 520 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,02/01/2047 |
| 481 |
| 497 |
|
|
|
|
| 481 |
| 497 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 01/01/2047 |
| 478 |
| 480 |
| 287 |
| 288 |
| 191 |
| 192 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,08/01/2020 |
| 278 |
| 288 |
| 278 |
| 288 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,03/01/2047 |
| 265 |
| 279 |
|
|
|
|
| 265 |
| 279 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,05/01/2035 |
| 10 |
| 11 |
| 10 |
| 11 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/01/2030 |
| 632 |
| 666 |
| 397 |
| 419 |
| 234 |
| 247 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2030 |
| 448 |
| 471 |
| 284 |
| 299 |
| 164 |
| 172 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2030 |
| 630 |
| 663 |
| 400 |
| 421 |
| 230 |
| 242 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,11/01/2036 |
| 94 |
| 103 |
| 94 |
| 103 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/01/2038 |
| 91 |
| 103 |
|
|
|
|
| 91 |
| 103 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 700 |
| 761 |
| 327 |
| 355 |
| 373 |
| 406 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 385 |
| 412 |
| 192 |
| 206 |
| 192 |
| 206 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2036 |
| 454 |
| 475 |
| 285 |
| 299 |
| 168 |
| 176 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 73 |
| 79 |
| 73 |
| 79 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2043 |
| 537 |
| 576 |
| 402 |
| 432 |
| 134 |
| 144 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,10/01/2018 |
| 7 |
| 8 |
| 7 |
| 8 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,12/01/2042 |
| 78 |
| 80 |
|
|
|
|
| 78 |
| 80 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,01/01/2043 |
| 77 |
| 80 |
|
|
|
|
| 77 |
| 80 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,02/01/2043 |
| 77 |
| 80 |
|
|
|
|
| 77 |
| 80 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/01/2030 |
| 212 |
| 223 |
| 46 |
| 48 |
| 166 |
| 175 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 03/01/2031 |
| 1,460 |
| 1,501 |
| 1,100 |
| 1,131 |
| 360 |
| 370 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2043 |
| 1,405 |
| 1,459 |
| 1,085 |
| 1,127 |
| 319 |
| 332 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,10/01/2042 |
| 186 |
| 198 |
| 186 |
| 198 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/01/2030 |
| 1,636 |
| 1,722 |
| 1,053 |
| 1,108 |
| 583 |
| 614 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 10/01/2046 |
| 7,950 |
| 7,986 |
| 6,257 |
| 6,285 |
| 1,694 |
| 1,701 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/01/2021 |
| 43 |
| 46 |
| 43 |
| 46 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,03/01/2045 |
| 1,152 |
| 1,192 |
| 1,152 |
| 1,192 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,01/01/2043 |
| 156 |
| 161 |
|
|
|
|
| 156 |
| 161 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,09/01/2046 |
| 1,717 |
| 1,725 |
|
|
|
|
| 1,717 |
| 1,725 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,03/01/2047 |
| 1,097 |
| 1,102 |
|
|
|
|
| 1,097 |
| 1,102 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2046 |
| 2,007 |
| 2,072 |
| 1,745 |
| 1,801 |
| 263 |
| 271 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 08/01/2035 |
| 1,670 |
| 1,831 |
| 932 |
| 1,022 |
| 738 |
| 809 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,12/01/2034 |
| 24 |
| 27 |
| 24 |
| 27 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 02/01/2031 |
| 1,904 |
| 2,008 |
| 123 |
| 130 |
| 1,781 |
| 1,878 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,07/01/2035 |
| 32 |
| 35 |
| 32 |
| 35 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2047 |
| 2,989 |
| 3,085 |
| 1,253 |
| 1,293 |
| 1,736 |
| 1,792 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 11/01/2046 |
| 4,206 |
| 4,225 |
| 3,125 |
| 3,139 |
| 1,081 |
| 1,086 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,09/01/2032 |
| 185 |
| 200 |
| 185 |
| 200 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
10.000%,03/17/2026 |
| 47 |
| 47 |
|
|
|
|
| 47 |
| 47 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/01/2021 |
| 26 |
| 27 |
| 26 |
| 27 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2045 |
| 67 |
| 73 |
| 31 |
| 34 |
| 36 |
| 39 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2046 |
| 4,379 |
| 4,520 |
| 2,915 |
| 3,009 |
| 1,464 |
| 1,511 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 70 |
| 75 |
| 32 |
| 35 |
| 37 |
| 40 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,08/01/2037 |
| 36 |
| 40 |
|
|
|
|
| 36 |
| 40 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,01/01/2032 |
| 169 |
| 194 |
|
|
|
|
| 169 |
| 194 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 01/01/2047 |
| 2,405 |
| 2,421 |
| 1,539 |
| 1,549 |
| 866 |
| 872 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2032 |
| 329 |
| 345 |
| 153 |
| 161 |
| 176 |
| 184 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 11/01/2035 |
| 55 |
| 57 |
| 30 |
| 32 |
| 24 |
| 25 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,01/01/2024 |
| 174 |
| 184 |
|
|
|
|
| 174 |
| 184 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,04/01/2047 |
| 144 |
| 158 |
| 144 |
| 158 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,01/01/2045 |
| 1,268 |
| 1,317 |
| 1,268 |
| 1,317 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 12/01/2043 |
| 147 |
| 158 |
| 73 |
| 79 |
| 73 |
| 79 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2043 |
| 139 |
| 148 |
| 69 |
| 74 |
| 69 |
| 74 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%,04/01/2031 |
| — |
| 1 |
| — |
| 1 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,03/01/2034 |
| 26 |
| 28 |
|
|
|
|
| 26 |
| 28 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/01/2038 |
| 140 |
| 160 |
|
|
|
|
| 140 |
| 160 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2039 |
| 48 |
| 51 |
| 27 |
| 28 |
| 21 |
| 23 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/01/2043 |
| 1,668 |
| 1,727 |
| 1,251 |
| 1,295 |
| 417 |
| 432 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,12/01/2046 |
| 1,622 |
| 1,629 |
|
|
|
|
| 1,622 |
| 1,629 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,04/01/2039 |
| 1,172 |
| 1,275 |
|
|
|
|
| 1,172 |
| 1,275 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2035 |
| 59 |
| 63 |
| 27 |
| 29 |
| 31 |
| 34 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/01/2045 |
| 291 |
| 309 |
| 183 |
| 195 |
| 107 |
| 114 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/01/2044 |
| 274 |
| 292 |
| 152 |
| 162 |
| 122 |
| 130 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,01/01/2032 |
| 34 |
| 37 |
| 34 |
| 37 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,04/01/2047 |
| 906 |
| 940 |
|
|
|
|
| 906 |
| 940 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,01/01/2046 |
| 2,202 |
| 2,273 |
|
|
|
|
| 2,202 |
| 2,273 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,10/01/2045 |
| 2,174 |
| 2,327 |
|
|
|
|
| 2,174 |
| 2,327 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2034 |
| 3,638 |
| 3,874 |
| 1,693 |
| 1,803 |
| 1,945 |
| 2,071 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2036 |
| 92 |
| 97 |
| 42 |
| 45 |
| 49 |
| 52 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,12/01/2041 |
| 2,001 |
| 2,082 |
| 2,001 |
| 2,082 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/01/2032 |
| 22 |
| 24 |
| 22 |
| 24 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,11/01/2045 |
| 906 |
| 935 |
|
|
|
|
| 906 |
| 935 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2045 |
| 2,975 |
| 3,133 |
| 2,200 |
| 2,318 |
| 774 |
| 815 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,05/01/2044 |
| 2,284 |
| 2,372 |
|
|
|
|
| 2,284 |
| 2,372 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/01/2030 |
| 247 |
| 260 |
| 159 |
| 167 |
| 88 |
| 93 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2032 |
| 93 |
| 98 |
| 43 |
| 46 |
| 49 |
| 52 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/01/2032 |
| 1,541 |
| 1,629 |
| 715 |
| 755 |
| 827 |
| 874 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 02/01/2047 |
| 5,973 |
| 5,999 |
| 2,550 |
| 2,561 |
| 3,424 |
| 3,438 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 10/01/2031 |
| 168 |
| 186 |
| 42 |
| 47 |
| 125 |
| 139 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 07/01/2039 |
| 52 |
| 56 |
| 29 |
| 31 |
| 23 |
| 25 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,10/01/2042 |
| 137 |
| 142 |
| 137 |
| 142 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/01/2037 |
| 193 |
| 218 |
| 193 |
| 218 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,06/01/2033 |
| 33 |
| 36 |
| 33 |
| 36 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/01/2046 |
| 6,517 |
| 6,727 |
| 5,762 |
| 5,948 |
| 755 |
| 779 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 07/01/2036 |
| 868 |
| 962 |
| 713 |
| 790 |
| 155 |
| 172 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,01/01/2047 |
| 3,041 |
| 3,054 |
| 3,041 |
| 3,054 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/01/2046 |
| 369 |
| 391 |
| 206 |
| 218 |
| 163 |
| 173 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/01/2044 |
| 2,637 |
| 2,745 |
| 1,846 |
| 1,922 |
| 791 |
| 823 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,12/01/2045 |
| 1,852 |
| 1,950 |
| 1,852 |
| 1,950 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/01/2021 |
| 46 |
| 48 |
| 46 |
| 48 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 04/01/2036 |
| 266 |
| 290 |
| 198 |
| 216 |
| 68 |
| 74 |
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,08/01/2045 |
| 777 |
| 808 |
| 777 |
| 808 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,10/01/2025 |
| 1,982 |
| 2,077 |
| 1,982 |
| 2,077 |
|
|
|
|
|
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/01/2046 |
| 2,981 |
| 3,078 |
| 2,527 |
| 2,609 |
| 454 |
| 469 |
|
FHLMC ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.091%, VAR ICE LIBOR USD 12 Month+1.622%, 02/01/2045 (A) |
| 608 |
| 623 |
| 339 |
| 347 |
| 270 |
| 276 |
|
FHLMC ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.624%, VAR ICE LIBOR USD 12 Month+1.633%, 07/01/2046 (A) |
| 1,645 |
| 1,670 |
| 786 |
| 798 |
| 859 |
| 872 |
|
FHLMC CMO, Ser 1988-1, Cl Z |
|
|
|
|
|
|
|
|
|
|
|
|
|
9.300%,04/15/2019 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
FHLMC CMO, Ser 1997-1983, Cl Z |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,12/15/2023 |
| 351 |
| 380 |
| 351 |
| 380 |
|
|
|
|
|
FHLMC CMO, Ser 2001-2277, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,01/15/2031 |
| 79 |
| 93 |
| 79 |
| 93 |
|
|
|
|
|
FHLMC CMO, Ser 2002-2399, Cl XG |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 01/15/2032 |
| 513 |
| 572 |
| 411 |
| 457 |
| 103 |
| 115 |
|
FHLMC CMO, Ser 2005-2945, Cl SA |
|
|
|
|
|
|
|
|
|
|
|
|
|
10.072%, VAR LIBOR USD 1 Month+12.294%, 03/15/2020 (A) |
| 63 |
| 64 |
| 60 |
| 61 |
| 3 |
| 3 |
|
FHLMC CMO, Ser 2005-2950, Cl JO, PO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%,03/15/2020 (B) (C) |
| 2 |
| 2 |
|
|
|
|
| 2 |
| 2 |
|
FHLMC CMO, Ser 2006-R007, Cl ZA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/15/2036 |
| 868 |
| 974 |
| 868 |
| 974 |
|
|
|
|
|
FHLMC CMO, Ser 2007-3281, Cl AI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.196%, VAR LIBOR USD 1 Month+6.430%,02/15/2037 (A) |
| 100 |
| 18 |
|
|
|
|
| 100 |
| 18 |
|
FHLMC CMO, Ser 2007-3294, Cl CB |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,03/15/2037 |
| 185 |
| 205 |
| 185 |
| 205 |
|
|
|
|
|
FHLMC CMO, Ser 2007-3316, Cl JO, PO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%,05/15/2037 (B) (C) |
| 4 |
| 4 |
|
|
|
|
| 4 |
| 4 |
|
FHLMC CMO, Ser 2008-3451, Cl SB, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.827%, VAR LIBOR USD 1 Month+6.030%,05/15/2038 (A) |
| 62 |
| 8 |
| 62 |
| 8 |
|
|
|
|
|
FHLMC CMO, Ser 2010-3621, Cl SB, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.027%, VAR LIBOR USD 1 Month+6.230%,01/15/2040 (A) |
| 75 |
| 12 |
| 75 |
| 12 |
|
|
|
|
|
FHLMC CMO, Ser 2011-3804, Cl FN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.684%, VAR LIBOR USD 1 Month+0.450%,03/15/2039 (A) |
| 57 |
| 57 |
|
|
|
|
| 57 |
| 57 |
|
FHLMC CMO, Ser 2011-3829, Cl ED |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/15/2028 |
| 209 |
| 211 |
| 101 |
| 102 |
| 108 |
| 109 |
|
FHLMC CMO, Ser 2011-3838, Cl QE |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/15/2029 |
| 392 |
| 395 |
| 190 |
| 191 |
| 203 |
| 204 |
|
FHLMC CMO, Ser 2011-3947, Cl SG, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.716%, VAR LIBOR USD 1 Month+5.950%, 10/15/2041 (A) |
| 1,017 |
| 171 |
| 547 |
| 92 |
| 469 |
| 79 |
|
FHLMC CMO, Ser 2012-283, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,10/15/2027 |
| 786 |
| 78 |
|
|
|
|
| 786 |
| 78 |
|
FHLMC CMO, Ser 2012-4054, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.816%, VAR LIBOR USD 1 Month+6.050%,08/15/2039 (A) |
| 960 |
| 150 |
| 960 |
| 150 |
|
|
|
|
|
FHLMC CMO, Ser 2012-4092, Cl AI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,09/15/2031 |
| 979 |
| 91 |
| 979 |
| 91 |
|
|
|
|
|
FHLMC CMO, Ser 2012-4146, Cl DI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,12/15/2031 |
| 1,003 |
| 101 |
|
|
|
|
| 1,003 |
| 101 |
|
FHLMC CMO, Ser 2013-4174, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.049%, VAR LIBOR USD 1 Month+6.200%,05/15/2039 (A) |
| 314 |
| 37 |
| 314 |
| 37 |
|
|
|
|
|
FHLMC CMO, Ser 2013-4194, Cl BI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,04/15/2043 |
| 435 |
| 68 |
|
|
|
|
| 435 |
| 68 |
|
FHLMC CMO, Ser 2013-4203, Cl PS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.016%, VAR LIBOR USD 1 Month+6.250%, 09/15/2042 (A) |
| 700 |
| 110 |
| 323 |
| 51 |
| 377 |
| 59 |
|
FHLMC CMO, Ser 2013-4210, Cl Z |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,05/15/2043 |
| 223 |
| 209 |
|
|
|
|
| 223 |
| 209 |
|
FHLMC CMO, Ser 2013-4239, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,06/15/2027 |
| 597 |
| 59 |
|
|
|
|
| 597 |
| 59 |
|
FHLMC CMO, Ser 2014-328, Cl S4, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.928%,02/15/2038 (A)(D) |
| 46 |
| 3 |
|
|
|
|
| 46 |
| 3 |
|
FHLMC CMO, Ser 2014-4335, Cl SW, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.766%, VAR LIBOR USD 1 Month+6.000%,05/15/2044 (A) |
| 145 |
| 28 |
|
|
|
|
| 145 |
| 28 |
|
FHLMC CMO, Ser 2014-4415, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.816%, 04/15/2041 (A)(D) |
| 701 |
| 36 |
| 539 |
| 28 |
| 162 |
| 8 |
|
FHLMC CMO, Ser 2015-4425, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/15/2040 |
| 964 |
| 1,016 |
| 558 |
| 588 |
| 406 |
| 428 |
|
FHLMC CMO, Ser 2015-4529, Cl HC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 10/15/2039 |
| 466 |
| 474 |
| 224 |
| 228 |
| 242 |
| 246 |
|
FHLMC CMO, Ser 2016-353, Cl S1, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.766%, VAR LIBOR USD 1 Month+6.000%, 12/15/2046 (A) |
| 750 |
| 163 |
| 469 |
| 102 |
| 281 |
| 61 |
|
FHLMC CMO, Ser 2016-4604, Cl AB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 08/15/2046 |
| 1,148 |
| 1,172 |
| 536 |
| 547 |
| 612 |
| 625 |
|
FHLMC CMO, Ser 2016-4639, Cl HZ |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.750%,04/15/2053 |
| 1,568 |
| 1,454 |
|
|
|
|
| 1,568 |
| 1,454 |
|
FHLMC CMO, Ser 2016-4640, Cl LD |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/15/2043 |
| 3,741 |
| 3,946 |
| 1,809 |
| 1,908 |
| 1,932 |
| 2,038 |
|
FHLMC CMO, Ser 2017-4700, Cl QJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/15/2044 |
| 2,890 |
| 3,052 |
| 1,340 |
| 1,415 |
| 1,550 |
| 1,637 |
|
FHLMC CMO, Ser 2017-4705, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 09/15/2042 |
| 1,925 |
| 2,062 |
| 898 |
| 962 |
| 1,027 |
| 1,100 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser K015, Cl X1, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.681%,07/25/2021 (A)(D) |
| 1,314 |
| 67 |
| 1,314 |
| 67 |
|
|
|
|
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser K016, Cl X1, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.586%,10/25/2021 (A)(D) |
| 282 |
| 14 |
| 282 |
| 14 |
|
|
|
|
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser K064, Cl X1, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.745%,03/25/2027 (A)(D) |
| 4,986 |
| 244 |
| 4,986 |
| 244 |
|
|
|
|
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser K151, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.511%, 04/25/2030 |
| 1,950 |
| 2,033 |
| 1,465 |
| 1,527 |
| 485 |
| 506 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser K723, Cl X1, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.079%,08/25/2023 (A)(D) |
| 7,680 |
| 357 |
|
|
|
|
| 7,680 |
| 357 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF34, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.592%, VAR LIBOR USD 1 Month+0.360%, 08/25/2024 (A) |
| 1,675 |
| 1,677 |
| 735 |
| 736 |
| 940 |
| 941 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser KIR1, Cl X, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.229%,03/25/2026 (A)(D) |
| 6,241 |
| 448 |
|
|
|
|
| 6,241 |
| 448 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ03, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.328%,06/25/2021 |
| 170 |
| 172 |
|
|
|
|
| 170 |
| 172 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser KS03, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.161%,05/25/2025 (A)(D) |
| 1,650 |
| 1,702 |
|
|
|
|
| 1,650 |
| 1,702 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser KW02, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.896%,04/25/2026 |
| 930 |
| 954 |
| 930 |
| 954 |
|
|
|
|
|
FHLMC Multifamily Structured Pass-Through Certificates, Ser S8FX, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.291%,03/25/2027 |
| 320 |
| 329 |
|
|
|
|
| 320 |
| 329 |
|
FHLMC Structured Pass-Through Certificates, Ser 2007-76, Cl 2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.029%,10/25/2037 (A)(D) |
| 167 |
| 171 |
|
|
|
|
| 167 |
| 171 |
|
FHLMC TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 10/15/2042 |
| 9,300 |
| 9,334 |
| 4,000 |
| 4,015 |
| 5,300 |
| 5,319 |
|
FHLMC TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/14/2040 |
| 11,395 |
| 11,998 |
| 5,565 |
| 5,859 |
| 5,830 |
| 6,139 |
|
FHLMC TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/15/2041 |
| 21,895 |
| 22,582 |
| 7,300 |
| 7,529 |
| 14,595 |
| 15,053 |
|
FHLMC TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2040 |
| 6,000 |
| 6,308 |
| 2,800 |
| 2,944 |
| 3,200 |
| 3,364 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/01/2046 |
| 282 |
| 292 |
| 156 |
| 161 |
| 127 |
| 131 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 05/01/2044 |
| 245 |
| 270 |
| 121 |
| 133 |
| 124 |
| 137 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.160%,10/01/2027 |
| 0 |
| — |
|
|
|
|
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 02/01/2021 |
| 109 |
| 113 |
| 89 |
| 93 |
| 19 |
| 20 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2043 |
| 194 |
| 207 |
| 130 |
| 138 |
| 65 |
| 69 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 251 |
| 269 |
| 118 |
| 126 |
| 134 |
| 143 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,07/01/2041 |
| 92 |
| 99 |
| 92 |
| 99 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2037 |
| 245 |
| 262 |
| 114 |
| 122 |
| 131 |
| 140 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2046 |
| 170 |
| 176 |
| 94 |
| 97 |
| 76 |
| 79 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/01/2046 |
| 152 |
| 162 |
| 95 |
| 102 |
| 56 |
| 60 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%,09/01/2026 |
| 117 |
| 128 |
| 117 |
| 128 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2037 |
| 231 |
| 248 |
| 108 |
| 116 |
| 123 |
| 132 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2037 |
| 284 |
| 305 |
| 132 |
| 141 |
| 153 |
| 164 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2035 |
| 231 |
| 248 |
| 108 |
| 116 |
| 123 |
| 132 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,04/01/2047 |
| 3 |
| 3 |
|
|
|
|
| 3 |
| 3 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/01/2047 |
| 155 |
| 164 |
| 77 |
| 82 |
| 77 |
| 82 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 165 |
| 177 |
| 78 |
| 83 |
| 87 |
| 94 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 125 |
| 133 |
| 125 |
| 133 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,06/01/2043 |
| 129 |
| 133 |
|
|
|
|
| 129 |
| 133 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 234 |
| 251 |
| 110 |
| 118 |
| 124 |
| 133 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2046 |
| 255 |
| 271 |
| 129 |
| 137 |
| 126 |
| 134 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2043 |
| 208 |
| 216 |
| 131 |
| 136 |
| 77 |
| 80 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 225 |
| 240 |
| 105 |
| 112 |
| 120 |
| 128 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2037 |
| 238 |
| 256 |
| 118 |
| 127 |
| 120 |
| 129 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,10/01/2042 |
| 127 |
| 134 |
|
|
|
|
| 127 |
| 134 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2037 |
| 235 |
| 251 |
| 110 |
| 117 |
| 126 |
| 134 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/01/2024 |
| 122 |
| 131 |
|
|
|
|
| 122 |
| 131 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2043 |
| 185 |
| 198 |
| 123 |
| 132 |
| 62 |
| 66 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2032 |
| 189 |
| 202 |
| 89 |
| 95 |
| 101 |
| 107 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,08/01/2038 |
| 141 |
| 157 |
| 141 |
| 157 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,06/01/2038 |
| 105 |
| 115 |
|
|
|
|
| 105 |
| 115 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,07/01/2043 |
| 151 |
| 157 |
|
|
|
|
| 151 |
| 157 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,04/01/2047 |
| 0 |
| — |
|
|
|
|
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,10/01/2042 |
| 111 |
| 117 |
| 111 |
| 117 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,07/01/2042 |
| 98 |
| 104 |
| 98 |
| 104 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/01/2043 |
| 223 |
| 237 |
| 149 |
| 158 |
| 74 |
| 79 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/01/2037 |
| 102 |
| 115 |
|
|
|
|
| 102 |
| 115 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,02/01/2035 |
| 101 |
| 114 |
|
|
|
|
| 101 |
| 114 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/01/2043 |
| 218 |
| 231 |
| 145 |
| 154 |
| 73 |
| 77 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/01/2037 |
| 100 |
| 114 |
| 100 |
| 114 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,04/01/2031 |
| 144 |
| 155 |
| 144 |
| 155 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2046 |
| 209 |
| 221 |
| 103 |
| 109 |
| 106 |
| 112 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 11/01/2046 |
| 198 |
| 205 |
| 92 |
| 96 |
| 106 |
| 109 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2032 |
| 189 |
| 202 |
| 88 |
| 94 |
| 101 |
| 108 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 02/01/2032 |
| 199 |
| 209 |
| 94 |
| 98 |
| 106 |
| 111 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/01/2037 |
| 97 |
| 110 |
| 97 |
| 110 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/01/2033 |
| 202 |
| 211 |
| 112 |
| 117 |
| 90 |
| 94 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2047 |
| 259 |
| 275 |
| 120 |
| 128 |
| 138 |
| 147 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,04/01/2037 |
| 134 |
| 147 |
|
|
|
|
| 134 |
| 147 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/01/2030 |
| 180 |
| 189 |
| 99 |
| 104 |
| 81 |
| 85 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,11/01/2038 |
| 86 |
| 104 |
|
|
|
|
| 86 |
| 104 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2047 |
| 255 |
| 271 |
| 118 |
| 125 |
| 137 |
| 146 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/01/2029 |
| 235 |
| 246 |
| 114 |
| 119 |
| 121 |
| 127 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2037 |
| 177 |
| 190 |
| 82 |
| 88 |
| 95 |
| 102 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2047 |
| 255 |
| 272 |
| 119 |
| 127 |
| 136 |
| 145 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2037 |
| 280 |
| 301 |
| 130 |
| 140 |
| 150 |
| 161 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2047 |
| 211 |
| 224 |
| 98 |
| 104 |
| 113 |
| 120 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2037 |
| 213 |
| 227 |
| 99 |
| 106 |
| 113 |
| 121 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2047 |
| 269 |
| 286 |
| 125 |
| 133 |
| 144 |
| 153 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 263 |
| 279 |
| 122 |
| 130 |
| 140 |
| 149 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2047 |
| 1 |
| 1 |
|
|
|
|
| 1 |
| 1 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/01/2046 |
| 225 |
| 232 |
| 105 |
| 108 |
| 120 |
| 124 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 221 |
| 234 |
| 103 |
| 109 |
| 118 |
| 125 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 218 |
| 232 |
| 102 |
| 109 |
| 116 |
| 123 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/01/2045 |
| 185 |
| 197 |
| 117 |
| 124 |
| 68 |
| 73 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,10/01/2036 |
| 43 |
| 50 |
|
|
|
|
| 43 |
| 50 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,12/01/2040 |
| 24 |
| 26 |
|
|
|
|
| 24 |
| 26 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,10/01/2038 |
| 42 |
| 48 |
|
|
|
|
| 42 |
| 48 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/01/2037 |
| 22 |
| 25 |
| 22 |
| 25 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2046 |
| 88 |
| 92 |
| 49 |
| 51 |
| 39 |
| 41 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2030 |
| 90 |
| 94 |
| 42 |
| 44 |
| 48 |
| 50 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2046 |
| 85 |
| 91 |
| 47 |
| 50 |
| 38 |
| 41 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 82 |
| 90 |
| 39 |
| 42 |
| 44 |
| 48 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 50 |
| 53 |
| 24 |
| 26 |
| 25 |
| 27 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/01/2029 |
| 49 |
| 52 |
| 23 |
| 24 |
| 26 |
| 28 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2045 |
| 83 |
| 90 |
| 41 |
| 44 |
| 42 |
| 46 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/01/2037 |
| 41 |
| 47 |
| 41 |
| 47 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2028 |
| 25 |
| 26 |
| 13 |
| 13 |
| 13 |
| 13 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%,01/01/2039 |
| 41 |
| 48 |
|
|
|
|
| 41 |
| 48 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2045 |
| 86 |
| 93 |
| 43 |
| 46 |
| 43 |
| 47 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/01/2037 |
| 45 |
| 51 |
| 45 |
| 51 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,12/01/2042 |
| 51 |
| 55 |
| 51 |
| 55 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,12/01/2042 |
| 51 |
| 55 |
| 51 |
| 55 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/01/2037 |
| 19 |
| 22 |
| 19 |
| 22 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,11/01/2046 |
| 19 |
| 21 |
|
|
|
|
| 19 |
| 21 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 54 |
| 58 |
| 54 |
| 58 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 99 |
| 108 |
| 47 |
| 51 |
| 53 |
| 57 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/01/2037 |
| 50 |
| 56 |
| 50 |
| 56 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/01/2046 |
| 90 |
| 99 |
| 50 |
| 54 |
| 41 |
| 45 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2037 |
| 93 |
| 99 |
| 43 |
| 46 |
| 50 |
| 53 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,12/01/2042 |
| 50 |
| 53 |
| 50 |
| 53 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/01/2037 |
| 21 |
| 23 |
| 21 |
| 23 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 90 |
| 99 |
| 42 |
| 46 |
| 49 |
| 53 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/01/2037 |
| 19 |
| 22 |
| 19 |
| 22 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 93 |
| 101 |
| 44 |
| 48 |
| 49 |
| 53 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,04/01/2047 |
| 21 |
| 22 |
|
|
|
|
| 21 |
| 22 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 10/01/2044 |
| 69 |
| 76 |
| 34 |
| 37 |
| 35 |
| 39 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 61 |
| 66 |
| 29 |
| 31 |
| 32 |
| 35 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/01/2047 |
| 59 |
| 65 |
| 27 |
| 30 |
| 32 |
| 35 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2047 |
| 66 |
| 73 |
| 31 |
| 34 |
| 35 |
| 39 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,12/01/2045 |
| 31 |
| 34 |
| 31 |
| 34 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,12/01/2031 |
| 36 |
| 39 |
| 36 |
| 39 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 68 |
| 74 |
| 32 |
| 35 |
| 36 |
| 39 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/01/2037 |
| 31 |
| 35 |
| 31 |
| 35 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 62 |
| 68 |
| 29 |
| 32 |
| 33 |
| 36 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,04/01/2042 |
| 35 |
| 37 |
| 35 |
| 37 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2044 |
| 134 |
| 144 |
| 84 |
| 91 |
| 49 |
| 53 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/01/2037 |
| 33 |
| 37 |
| 33 |
| 37 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2045 |
| 64 |
| 68 |
| 35 |
| 37 |
| 29 |
| 31 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/01/2037 |
| 32 |
| 36 |
| 32 |
| 36 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 64 |
| 69 |
| 29 |
| 32 |
| 34 |
| 37 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 59 |
| 64 |
| 28 |
| 31 |
| 30 |
| 33 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,12/01/2045 |
| 29 |
| 31 |
| 29 |
| 31 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,03/01/2031 |
| 40 |
| 42 |
| 40 |
| 42 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,11/01/2042 |
| 40 |
| 42 |
| 40 |
| 42 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 08/01/2045 |
| 55 |
| 60 |
| 27 |
| 29 |
| 28 |
| 31 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 12/01/2045 |
| 68 |
| 74 |
| 42 |
| 46 |
| 25 |
| 28 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/01/2036 |
| 54 |
| 58 |
| 26 |
| 28 |
| 28 |
| 30 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/01/2037 |
| 39 |
| 44 |
| 39 |
| 44 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2045 |
| 71 |
| 75 |
| 39 |
| 42 |
| 31 |
| 33 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,05/01/2040 |
| 29 |
| 33 |
| 29 |
| 33 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2046 |
| 73 |
| 79 |
| 36 |
| 39 |
| 37 |
| 40 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 70 |
| 75 |
| 32 |
| 35 |
| 37 |
| 40 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2046 |
| 66 |
| 73 |
| 37 |
| 41 |
| 29 |
| 32 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 58 |
| 62 |
| 29 |
| 30 |
| 29 |
| 32 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 02/01/2046 |
| 56 |
| 62 |
| 29 |
| 32 |
| 27 |
| 30 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/01/2037 |
| 29 |
| 32 |
| 29 |
| 32 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,05/01/2038 |
| 72 |
| 79 |
|
|
|
|
| 72 |
| 79 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%,09/01/2026 |
| 72 |
| 78 |
| 72 |
| 78 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/01/2037 |
| 67 |
| 77 |
| 67 |
| 77 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2037 |
| 142 |
| 153 |
| 66 |
| 71 |
| 76 |
| 82 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 145 |
| 155 |
| 68 |
| 73 |
| 77 |
| 82 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/01/2045 |
| 146 |
| 155 |
| 69 |
| 73 |
| 77 |
| 82 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 140 |
| 154 |
| 66 |
| 72 |
| 75 |
| 82 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 02/01/2030 |
| 142 |
| 148 |
| 69 |
| 72 |
| 73 |
| 76 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 70 |
| 74 |
|
|
|
|
| 70 |
| 74 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2037 |
| 129 |
| 138 |
| 60 |
| 64 |
| 69 |
| 74 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/01/2045 |
| 111 |
| 118 |
| 69 |
| 74 |
| 41 |
| 44 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 132 |
| 141 |
| 62 |
| 66 |
| 70 |
| 75 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 71 |
| 76 |
| 71 |
| 76 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2046 |
| 124 |
| 136 |
| 68 |
| 75 |
| 56 |
| 61 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 70 |
| 75 |
| 70 |
| 75 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,08/01/2043 |
| 77 |
| 83 |
| 77 |
| 83 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,04/01/2044 |
| 4 |
| 5 |
|
|
|
|
| 4 |
| 5 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,03/01/2044 |
| 80 |
| 86 |
| 80 |
| 86 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2037 |
| 148 |
| 158 |
| 68 |
| 73 |
| 80 |
| 85 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,10/01/2037 |
| 75 |
| 89 |
|
|
|
|
| 75 |
| 89 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,04/01/2039 |
| 74 |
| 92 |
|
|
|
|
| 74 |
| 92 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 07/01/2044 |
| 162 |
| 178 |
| 80 |
| 87 |
| 82 |
| 91 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,10/01/2044 |
| 3 |
| 3 |
|
|
|
|
| 3 |
| 3 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/01/2023 |
| 80 |
| 85 |
|
|
|
|
| 80 |
| 85 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,09/01/2033 |
| 76 |
| 84 |
| 76 |
| 84 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 141 |
| 155 |
| 66 |
| 72 |
| 76 |
| 83 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,06/01/2018 |
| 7 |
| 7 |
| 7 |
| 7 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/01/2035 |
| 74 |
| 84 |
| 74 |
| 84 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2037 |
| 149 |
| 159 |
| 70 |
| 74 |
| 80 |
| 85 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 12/01/2031 |
| 155 |
| 163 |
| 75 |
| 79 |
| 80 |
| 84 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,09/01/2045 |
| 6 |
| 6 |
|
|
|
|
| 6 |
| 6 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,12/01/2043 |
| 17 |
| 18 |
|
|
|
|
| 17 |
| 18 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 60 |
| 65 |
| 60 |
| 65 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,09/01/2042 |
| 58 |
| 62 |
| 58 |
| 62 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,09/01/2042 |
| 64 |
| 67 |
| 64 |
| 67 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 114 |
| 125 |
| 53 |
| 58 |
| 62 |
| 67 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/01/2037 |
| 117 |
| 126 |
| 55 |
| 59 |
| 63 |
| 67 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,07/01/2039 |
| 62 |
| 67 |
|
|
|
|
| 62 |
| 67 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/01/2037 |
| 54 |
| 62 |
| 54 |
| 62 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/01/2037 |
| 51 |
| 58 |
| 51 |
| 58 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,04/01/2042 |
| 55 |
| 58 |
| 55 |
| 58 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2032 |
| 103 |
| 109 |
| 48 |
| 51 |
| 55 |
| 58 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/01/2036 |
| 102 |
| 109 |
| 48 |
| 51 |
| 55 |
| 58 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/01/2037 |
| 54 |
| 61 |
| 54 |
| 61 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,09/01/2042 |
| 57 |
| 60 |
| 57 |
| 60 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 09/01/2045 |
| 105 |
| 114 |
| 51 |
| 56 |
| 54 |
| 58 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 10/01/2019 |
| 29 |
| 30 |
| 16 |
| 17 |
| 12 |
| 13 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 02/01/2046 |
| 120 |
| 131 |
| 66 |
| 72 |
| 53 |
| 59 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 68 |
| 72 |
| 68 |
| 72 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 121 |
| 133 |
| 57 |
| 62 |
| 65 |
| 71 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/01/2037 |
| 127 |
| 136 |
| 58 |
| 63 |
| 68 |
| 73 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/01/2036 |
| 11 |
| 12 |
| 11 |
| 12 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,07/01/2043 |
| 69 |
| 73 |
| 69 |
| 73 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/01/2037 |
| 11 |
| 12 |
| 11 |
| 12 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/01/2036 |
| 11 |
| 13 |
| 11 |
| 13 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 64 |
| 68 |
| 64 |
| 68 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2043 |
| 64 |
| 68 |
| 64 |
| 68 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/01/2037 |
| 13 |
| 15 |
| 13 |
| 15 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 117 |
| 128 |
| 54 |
| 59 |
| 63 |
| 69 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2036 |
| 124 |
| 133 |
| 58 |
| 62 |
| 66 |
| 71 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,01/01/2043 |
| 66 |
| 70 |
| 66 |
| 70 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,07/01/2033 |
| 63 |
| 70 |
| 63 |
| 70 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2035 |
| 983 |
| 1,055 |
| 475 |
| 509 |
| 509 |
| 546 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,02/01/2041 |
| 503 |
| 549 |
|
|
|
|
| 503 |
| 549 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%, 04/01/2032 |
| 510 |
| 573 |
| 418 |
| 470 |
| 92 |
| 103 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/01/2036 |
| 422 |
| 480 |
| 422 |
| 480 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/01/2032 |
| 1,030 |
| 1,079 |
| 480 |
| 503 |
| 550 |
| 576 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2029 |
| 773 |
| 825 |
| 543 |
| 580 |
| 229 |
| 245 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/01/2032 |
| 830 |
| 870 |
| 524 |
| 549 |
| 306 |
| 321 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2046 |
| 1,012 |
| 1,071 |
| 472 |
| 499 |
| 540 |
| 572 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,08/01/2056 |
| 3,171 |
| 3,355 |
|
|
|
|
| 3,171 |
| 3,355 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2047 |
| 5,960 |
| 6,490 |
| 2,782 |
| 3,030 |
| 3,178 |
| 3,460 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2046 |
| 17,014 |
| 17,924 |
| 10,875 |
| 11,457 |
| 6,139 |
| 6,467 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,02/01/2040 |
| 2,885 |
| 3,224 |
| 2,885 |
| 3,224 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,12/01/2043 |
| 4,030 |
| 4,280 |
| 4,030 |
| 4,280 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/01/2040 |
| 229 |
| 260 |
|
|
|
|
| 229 |
| 260 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 08/01/2056 |
| 6,073 |
| 6,714 |
| 2,835 |
| 3,134 |
| 3,238 |
| 3,580 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,10/01/2041 |
| 3,948 |
| 4,212 |
| 3,948 |
| 4,212 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2047 |
| 1,037 |
| 1,102 |
| 482 |
| 513 |
| 554 |
| 589 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,01/01/2039 |
| 670 |
| 720 |
|
|
|
|
| 670 |
| 720 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.390%,01/01/2031 |
| 700 |
| 724 |
|
|
|
|
| 700 |
| 724 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2046 |
| 1,226 |
| 1,307 |
| 571 |
| 608 |
| 655 |
| 699 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/01/2043 |
| 1,137 |
| 1,212 |
| 670 |
| 714 |
| 467 |
| 498 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,10/01/2042 |
| 702 |
| 744 |
| 702 |
| 744 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2044 |
| 1,299 |
| 1,417 |
| 615 |
| 671 |
| 684 |
| 746 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2032 |
| 1,296 |
| 1,361 |
| 601 |
| 631 |
| 695 |
| 730 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.260%,10/01/2030 |
| 726 |
| 742 |
|
|
|
|
| 726 |
| 742 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/01/2032 |
| 1,125 |
| 1,174 |
| 600 |
| 626 |
| 525 |
| 548 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2032 |
| 1,126 |
| 1,183 |
| 524 |
| 551 |
| 601 |
| 632 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 1,042 |
| 1,132 |
| 485 |
| 527 |
| 557 |
| 605 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2042 |
| 827 |
| 877 |
| 573 |
| 607 |
| 254 |
| 270 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2044 |
| 1,176 |
| 1,257 |
| 648 |
| 693 |
| 527 |
| 564 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.290%,09/01/2032 |
| 676 |
| 696 |
|
|
|
|
| 676 |
| 696 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2040 |
| 1,051 |
| 1,116 |
| 613 |
| 651 |
| 438 |
| 465 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2045 |
| 1,181 |
| 1,264 |
| 646 |
| 691 |
| 535 |
| 573 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2046 |
| 829 |
| 883 |
| 377 |
| 402 |
| 452 |
| 481 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2043 |
| 578 |
| 614 |
| 462 |
| 491 |
| 116 |
| 123 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/01/2028 |
| 852 |
| 889 |
| 397 |
| 414 |
| 455 |
| 475 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2046 |
| 840 |
| 899 |
| 392 |
| 420 |
| 448 |
| 479 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.040%,04/01/2030 |
| 500 |
| 505 |
|
|
|
|
| 500 |
| 505 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.080%,04/01/2030 |
| 500 |
| 507 |
|
|
|
|
| 500 |
| 507 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2043 |
| 594 |
| 634 |
| 462 |
| 493 |
| 132 |
| 141 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,05/01/2031 |
| 462 |
| 498 |
| 462 |
| 498 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2046 |
| 818 |
| 871 |
| 382 |
| 407 |
| 436 |
| 464 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 799 |
| 870 |
| 372 |
| 405 |
| 427 |
| 465 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.590%,12/01/2020 |
| 441 |
| 460 |
|
|
|
|
| 441 |
| 460 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2046 |
| 808 |
| 862 |
| 377 |
| 402 |
| 432 |
| 460 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 10/01/2043 |
| 583 |
| 630 |
| 437 |
| 473 |
| 146 |
| 157 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.110%,02/01/2028 |
| 465 |
| 474 |
|
|
|
|
| 465 |
| 474 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.540%,01/01/2020 |
| 444 |
| 467 |
|
|
|
|
| 444 |
| 467 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2032 |
| 833 |
| 872 |
| 386 |
| 405 |
| 446 |
| 467 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2025 |
| 950 |
| 995 |
| 459 |
| 481 |
| 491 |
| 514 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 10/01/2042 |
| 952 |
| 926 |
| 698 |
| 679 |
| 254 |
| 247 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%,04/01/2021 |
| 666 |
| 707 |
|
|
|
|
| 666 |
| 707 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.168%, VAR ICE LIBOR USD 12 Month+1.500%, 10/01/2047 |
| 1,197 |
| 1,233 |
| 555 |
| 572 |
| 642 |
| 661 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 12/01/2046 |
| 1,055 |
| 1,061 |
| 671 |
| 675 |
| 383 |
| 386 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,08/01/2047 |
| 6,304 |
| 6,641 |
| 6,304 |
| 6,641 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 10/01/2047 |
| 47,545 |
| 51,048 |
| 26,960 |
| 28,946 |
| 20,585 |
| 22,102 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,09/01/2042 |
| 730 |
| 736 |
| 730 |
| 736 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 02/01/2039 |
| 1,084 |
| 1,206 |
| 889 |
| 989 |
| 195 |
| 217 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2046 |
| 701 |
| 725 |
| 525 |
| 544 |
| 175 |
| 181 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2046 |
| 703 |
| 729 |
| 527 |
| 547 |
| 176 |
| 182 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 09/01/2043 |
| 620 |
| 670 |
| 483 |
| 521 |
| 138 |
| 149 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 12/01/2045 |
| 699 |
| 724 |
| 524 |
| 543 |
| 175 |
| 181 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.340%,07/01/2030 |
| 600 |
| 617 |
|
|
|
|
| 600 |
| 617 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,07/01/2042 |
| 604 |
| 653 |
| 604 |
| 653 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,07/01/2039 |
| 528 |
| 577 |
| 528 |
| 577 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.820%,07/01/2027 |
| 590 |
| 591 |
| 590 |
| 591 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,08/01/2021 |
| 1,255 |
| 1,357 |
|
|
|
|
| 1,255 |
| 1,357 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,07/01/2047 |
| 1,303 |
| 1,372 |
|
|
|
|
| 1,303 |
| 1,372 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 2,367 |
| 2,531 |
| 1,106 |
| 1,182 |
| 1,262 |
| 1,349 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.665%,10/01/2020 |
| 1,294 |
| 1,350 |
| 1,294 |
| 1,350 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,04/01/2032 |
| 1,467 |
| 1,545 |
|
|
|
|
| 1,467 |
| 1,545 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/01/2047 |
| 8,264 |
| 8,705 |
| 1,493 |
| 1,573 |
| 6,770 |
| 7,132 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2047 |
| 1,473 |
| 1,560 |
| 98 |
| 104 |
| 1,375 |
| 1,456 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 02/01/2047 |
| 2,235 |
| 2,249 |
| 1,458 |
| 1,467 |
| 777 |
| 782 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 02/01/2047 |
| 1,815 |
| 1,873 |
| 1,260 |
| 1,300 |
| 556 |
| 573 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2046 |
| 2,152 |
| 2,357 |
| 1,187 |
| 1,300 |
| 965 |
| 1,057 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.330%,10/01/2029 |
| 1,235 |
| 1,271 |
| 1,235 |
| 1,271 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.510%,08/01/2026 |
| 1,317 |
| 1,295 |
| 1,317 |
| 1,295 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.600%, 10/01/2031 |
| 2,105 |
| 2,028 |
| 1,370 |
| 1,320 |
| 735 |
| 708 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.010%,04/01/2028 |
| 1,320 |
| 1,335 |
| 1,320 |
| 1,335 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2035 |
| 2,299 |
| 2,466 |
| 1,085 |
| 1,164 |
| 1,214 |
| 1,302 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.190%,05/01/2030 |
| 1,297 |
| 1,319 |
| 1,297 |
| 1,319 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2025 |
| 2,107 |
| 2,234 |
| 1,538 |
| 1,631 |
| 568 |
| 603 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/01/2057 |
| 5,885 |
| 6,061 |
| 3,727 |
| 3,839 |
| 2,158 |
| 2,222 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 11/01/2045 |
| 2,890 |
| 3,177 |
| 751 |
| 826 |
| 2,138 |
| 2,351 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 02/01/2027 |
| 3,134 |
| 3,227 |
| 1,165 |
| 1,199 |
| 1,970 |
| 2,028 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2047 |
| 3,500 |
| 3,687 |
| 2,021 |
| 2,129 |
| 1,479 |
| 1,558 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 10/01/2044 |
| 2,702 |
| 2,949 |
| 2,395 |
| 2,614 |
| 307 |
| 335 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.840%,08/01/2021 |
| 2,894 |
| 3,061 |
| 2,894 |
| 3,061 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,02/01/2041 |
| 2,340 |
| 2,498 |
| 2,340 |
| 2,498 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.762%,12/01/2020 |
| 2,484 |
| 2,595 |
| 2,484 |
| 2,595 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.619%,12/01/2020 |
| 1,629 |
| 1,703 |
| 1,629 |
| 1,703 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 02/01/2044 |
| 2,669 |
| 2,911 |
| 1,584 |
| 1,728 |
| 1,085 |
| 1,183 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,06/01/2047 |
| 1,563 |
| 1,646 |
|
|
|
|
| 1,563 |
| 1,646 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 2,044 |
| 2,164 |
| 1,557 |
| 1,649 |
| 487 |
| 515 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2047 |
| 3,033 |
| 3,194 |
| 1,751 |
| 1,844 |
| 1,282 |
| 1,350 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2029 |
| 2,481 |
| 2,655 |
| 1,724 |
| 1,845 |
| 757 |
| 810 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 11/01/2045 |
| 2,168 |
| 2,384 |
| 564 |
| 620 |
| 1,604 |
| 1,764 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 11/01/2046 |
| 2,738 |
| 2,749 |
| 1,794 |
| 1,801 |
| 944 |
| 948 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2035 |
| 988 |
| 1,065 |
| 875 |
| 943 |
| 113 |
| 122 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/01/2031 |
| 1,561 |
| 1,636 |
| 904 |
| 947 |
| 657 |
| 689 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2036 |
| 1,592 |
| 1,703 |
| 738 |
| 790 |
| 854 |
| 913 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.430%,10/01/2020 |
| 891 |
| 926 |
|
|
|
|
| 891 |
| 926 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/01/2036 |
| 1,755 |
| 1,840 |
| 817 |
| 857 |
| 938 |
| 983 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.240%,06/01/2029 |
| 955 |
| 983 |
|
|
|
|
| 955 |
| 983 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2045 |
| 6,512 |
| 6,889 |
| 904 |
| 956 |
| 5,608 |
| 5,933 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/01/2033 |
| 4,881 |
| 5,102 |
| 3,957 |
| 4,136 |
| 924 |
| 966 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,06/01/2032 |
| 776 |
| 798 |
|
|
|
|
| 776 |
| 798 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.120%,06/01/2035 |
| 850 |
| 824 |
|
|
|
|
| 850 |
| 824 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2046 |
| 1,282 |
| 1,366 |
| 580 |
| 618 |
| 702 |
| 748 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%,04/01/2021 |
| 745 |
| 795 |
|
|
|
|
| 745 |
| 795 |
|
FNMA |
|
|
|
| �� |
|
|
|
|
|
|
|
|
3.410%,10/01/2030 |
| 826 |
| 856 |
|
|
|
|
| 826 |
| 856 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/01/2036 |
| 1,588 |
| 1,699 |
| 746 |
| 798 |
| 842 |
| 901 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2032 |
| 1,444 |
| 1,539 |
| 668 |
| 712 |
| 776 |
| 827 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2034 |
| 1,507 |
| 1,611 |
| 728 |
| 778 |
| 779 |
| 833 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.240%,06/01/2021 |
| 941 |
| 1,003 |
|
|
|
|
| 941 |
| 1,003 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 12/01/2045 |
| 4,629 |
| 4,775 |
| 3,452 |
| 3,561 |
| 1,177 |
| 1,214 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 08/01/2033 |
| 5,154 |
| 5,289 |
| 3,965 |
| 4,069 |
| 1,189 |
| 1,220 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,02/01/2046 |
| 1,112 |
| 1,148 |
|
|
|
|
| 1,112 |
| 1,148 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.830%,06/01/2022 |
| 1,148 |
| 1,179 |
| 1,148 |
| 1,179 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2046 |
| 2,200 |
| 2,424 |
| 1,145 |
| 1,261 |
| 1,055 |
| 1,163 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 01/01/2047 |
| 1,934 |
| 1,945 |
| 1,257 |
| 1,264 |
| 677 |
| 681 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,02/01/2044 |
| 1,138 |
| 1,224 |
| 1,138 |
| 1,224 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2047 |
| 2,078 |
| 2,292 |
| 967 |
| 1,067 |
| 1,111 |
| 1,225 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.360%,05/01/2021 |
| 953 |
| 1,019 |
|
|
|
|
| 953 |
| 1,019 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2036 |
| 1,822 |
| 1,955 |
| 860 |
| 922 |
| 963 |
| 1,033 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,04/01/2043 |
| 973 |
| 1,009 |
|
|
|
|
| 973 |
| 1,009 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,07/01/2042 |
| 959 |
| 1,017 |
|
|
|
|
| 959 |
| 1,017 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 1,770 |
| 1,926 |
| 787 |
| 856 |
| 983 |
| 1,070 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2044 |
| 1,539 |
| 1,678 |
| 1,011 |
| 1,102 |
| 529 |
| 576 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2056 |
| 1,055 |
| 1,144 |
| 959 |
| 1,040 |
| 96 |
| 104 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.060%,07/01/2021 |
| 983 |
| 1,046 |
|
|
|
|
| 983 |
| 1,046 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 02/01/2047 |
| 425 |
| 462 |
| 201 |
| 219 |
| 223 |
| 243 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/01/2047 |
| 426 |
| 454 |
| 199 |
| 211 |
| 228 |
| 243 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/01/2031 |
| 406 |
| 427 |
| 227 |
| 238 |
| 180 |
| 189 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2024 |
| 447 |
| 468 |
| 216 |
| 226 |
| 231 |
| 242 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,12/01/2031 |
| 230 |
| 248 |
| 230 |
| 248 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,10/01/2035 |
| 226 |
| 249 |
| 226 |
| 249 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2047 |
| 435 |
| 462 |
| 203 |
| 216 |
| 232 |
| 246 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2047 |
| 438 |
| 462 |
| 204 |
| 215 |
| 234 |
| 247 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/01/2034 |
| 198 |
| 227 |
|
|
|
|
| 198 |
| 227 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/01/2035 |
| 200 |
| 229 |
|
|
|
|
| 200 |
| 229 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,11/01/2031 |
| 199 |
| 215 |
| 199 |
| 215 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 381 |
| 409 |
| 179 |
| 192 |
| 203 |
| 217 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2047 |
| 413 |
| 442 |
| 192 |
| 206 |
| 220 |
| 236 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,01/01/2045 |
| 215 |
| 237 |
| 215 |
| 237 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2037 |
| 405 |
| 434 |
| 189 |
| 203 |
| 216 |
| 231 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2047 |
| 415 |
| 441 |
| 193 |
| 205 |
| 222 |
| 236 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/01/2047 |
| 443 |
| 467 |
| 207 |
| 218 |
| 236 |
| 249 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2032 |
| 516 |
| 538 |
| 259 |
| 270 |
| 257 |
| 268 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2031 |
| 462 |
| 483 |
| 262 |
| 273 |
| 201 |
| 210 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2030 |
| 401 |
| 421 |
| 255 |
| 267 |
| 147 |
| 154 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2037 |
| 470 |
| 504 |
| 219 |
| 235 |
| 251 |
| 269 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,07/01/2043 |
| 272 |
| 281 |
|
|
|
|
| 272 |
| 281 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2030 |
| 502 |
| 527 |
| 232 |
| 244 |
| 270 |
| 283 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2037 |
| 482 |
| 513 |
| 224 |
| 238 |
| 259 |
| 275 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2037 |
| 485 |
| 518 |
| 227 |
| 242 |
| 258 |
| 276 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2047 |
| 452 |
| 476 |
| 211 |
| 222 |
| 241 |
| 254 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 449 |
| 480 |
| 210 |
| 225 |
| 239 |
| 255 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%,04/01/2021 |
| 234 |
| 250 |
|
|
|
|
| 234 |
| 250 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,07/01/2043 |
| 244 |
| 253 |
|
|
|
|
| 244 |
| 253 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%,04/01/2021 |
| 250 |
| 266 |
|
|
|
|
| 250 |
| 266 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/01/2045 |
| 473 |
| 504 |
| 223 |
| 237 |
| 250 |
| 267 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,05/01/2043 |
| 249 |
| 258 |
|
|
|
|
| 249 |
| 258 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 446 |
| 486 |
| 208 |
| 227 |
| 238 |
| 259 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/01/2033 |
| 159 |
| 181 |
| 159 |
| 181 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/01/2045 |
| 269 |
| 287 |
| 170 |
| 181 |
| 99 |
| 106 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2037 |
| 309 |
| 329 |
| 144 |
| 153 |
| 165 |
| 176 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,06/01/2043 |
| 173 |
| 179 |
|
|
|
|
| 173 |
| 179 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2045 |
| 272 |
| 290 |
| 173 |
| 185 |
| 98 |
| 105 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/01/2032 |
| 334 |
| 349 |
| 155 |
| 162 |
| 179 |
| 187 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,05/01/2042 |
| 172 |
| 182 |
| 172 |
| 182 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/01/2045 |
| 270 |
| 287 |
| 173 |
| 184 |
| 97 |
| 103 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2047 |
| 288 |
| 316 |
| 134 |
| 147 |
| 154 |
| 169 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2046 |
| 298 |
| 308 |
| 164 |
| 170 |
| 133 |
| 138 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 08/01/2045 |
| 298 |
| 325 |
| 146 |
| 159 |
| 152 |
| 166 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,06/01/2031 |
| 155 |
| 167 |
| 155 |
| 167 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2047 |
| 300 |
| 327 |
| 139 |
| 152 |
| 160 |
| 175 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2037 |
| 305 |
| 328 |
| 142 |
| 152 |
| 164 |
| 176 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,09/01/2043 |
| 160 |
| 172 |
|
|
|
|
| 160 |
| 172 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,08/01/2020 |
| 169 |
| 174 |
| 169 |
| 174 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2043 |
| 236 |
| 251 |
| 177 |
| 188 |
| 59 |
| 63 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2037 |
| 359 |
| 386 |
| 168 |
| 180 |
| 192 |
| 206 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 362 |
| 386 |
| 169 |
| 180 |
| 194 |
| 206 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,05/01/2027 |
| 180 |
| 201 |
|
|
|
|
| 180 |
| 201 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2037 |
| 357 |
| 383 |
| 167 |
| 179 |
| 190 |
| 204 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2045 |
| 358 |
| 382 |
| 197 |
| 210 |
| 161 |
| 172 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2037 |
| 369 |
| 396 |
| 172 |
| 185 |
| 197 |
| 211 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 01/01/2020 |
| 316 |
| 324 |
| 202 |
| 207 |
| 114 |
| 117 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 361 |
| 391 |
| 168 |
| 182 |
| 193 |
| 209 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2046 |
| 343 |
| 355 |
| 189 |
| 196 |
| 153 |
| 159 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,05/01/2043 |
| 190 |
| 196 |
|
|
|
|
| 190 |
| 196 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2031 |
| 358 |
| 375 |
| 173 |
| 182 |
| 184 |
| 193 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 177 |
| 194 |
| 89 |
| 97 |
| 89 |
| 97 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/01/2046 |
| 349 |
| 360 |
| 193 |
| 199 |
| 156 |
| 161 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,06/01/2043 |
| 194 |
| 201 |
|
|
|
|
| 194 |
| 201 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2037 |
| 348 |
| 371 |
| 163 |
| 174 |
| 185 |
| 197 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 348 |
| 369 |
| 162 |
| 172 |
| 186 |
| 197 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2036 |
| 506 |
| 540 |
| 239 |
| 255 |
| 267 |
| 285 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2032 |
| 707 |
| 738 |
| 364 |
| 380 |
| 343 |
| 358 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2047 |
| 661 |
| 718 |
| 308 |
| 334 |
| 353 |
| 384 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.230%,03/01/2020 |
| 361 |
| 377 |
|
|
|
|
| 361 |
| 377 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.410%,05/01/2021 |
| 355 |
| 380 |
|
|
|
|
| 355 |
| 380 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 11/01/2046 |
| 481 |
| 529 |
| 125 |
| 137 |
| 356 |
| 392 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 12/01/2043 |
| 511 |
| 552 |
| 365 |
| 394 |
| 146 |
| 158 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2036 |
| 675 |
| 722 |
| 313 |
| 335 |
| 362 |
| 387 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 01/01/2047 |
| 577 |
| 580 |
| 385 |
| 387 |
| 192 |
| 193 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/01/2047 |
| 809 |
| 861 |
| 380 |
| 404 |
| 429 |
| 457 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2037 |
| 344 |
| 368 |
| 172 |
| 184 |
| 172 |
| 184 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,09/01/2042 |
| 359 |
| 362 |
| 359 |
| 362 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2043 |
| 462 |
| 489 |
| 346 |
| 367 |
| 115 |
| 122 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 01/01/2031 |
| 671 |
| 704 |
| 358 |
| 375 |
| 313 |
| 329 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/01/2045 |
| 496 |
| 528 |
| 354 |
| 377 |
| 142 |
| 151 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/01/2032 |
| 658 |
| 690 |
| 307 |
| 322 |
| 351 |
| 368 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,01/01/2043 |
| 366 |
| 368 |
|
|
|
|
| 366 |
| 368 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/01/2044 |
| 553 |
| 604 |
| 362 |
| 395 |
| 191 |
| 209 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/01/2034 |
| 606 |
| 665 |
| 389 |
| 427 |
| 217 |
| 238 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%,02/01/2039 |
| 373 |
| 432 |
| 373 |
| 432 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,09/01/2056 |
| 380 |
| 426 |
| 380 |
| 426 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2043 |
| 468 |
| 498 |
| 401 |
| 427 |
| 67 |
| 71 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2032 |
| 427 |
| 450 |
| 214 |
| 225 |
| 214 |
| 225 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/01/2032 |
| 817 |
| 855 |
| 381 |
| 399 |
| 435 |
| 456 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2047 |
| 768 |
| 814 |
| 359 |
| 380 |
| 410 |
| 434 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/01/2046 |
| 786 |
| 838 |
| 367 |
| 391 |
| 419 |
| 447 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 729 |
| 775 |
| 340 |
| 361 |
| 389 |
| 414 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2032 |
| 745 |
| 780 |
| 344 |
| 360 |
| 401 |
| 420 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.940%,07/01/2027 |
| 400 |
| 401 |
| 400 |
| 401 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,11/01/2040 |
| 376 |
| 404 |
| 376 |
| 404 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 07/01/2044 |
| 451 |
| 493 |
| 386 |
| 423 |
| 64 |
| 70 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2032 |
| 749 |
| 789 |
| 347 |
| 366 |
| 402 |
| 423 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/01/2029 |
| 622 |
| 664 |
| 394 |
| 421 |
| 228 |
| 243 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/01/2030 |
| 623 |
| 653 |
| 402 |
| 421 |
| 221 |
| 232 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/01/2033 |
| 281 |
| 320 |
| 281 |
| 320 |
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 11/01/2043 |
| 374 |
| 404 |
| 299 |
| 323 |
| 75 |
| 81 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,02/01/2034 |
| 303 |
| 316 |
|
|
|
|
| 303 |
| 316 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,07/01/2041 |
| 293 |
| 320 |
|
|
|
|
| 293 |
| 320 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2032 |
| 579 |
| 610 |
| 268 |
| 283 |
| 310 |
| 327 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.230%,11/01/2020 |
| 320 |
| 331 |
|
|
|
|
| 320 |
| 331 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 01/01/2020 |
| 383 |
| 395 |
| 314 |
| 324 |
| 69 |
| 71 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2037 |
| 566 |
| 605 |
| 262 |
| 281 |
| 303 |
| 324 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2045 |
| 430 |
| 461 |
| 274 |
| 293 |
| 157 |
| 168 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 02/01/2031 |
| 496 |
| 521 |
| 281 |
| 295 |
| 215 |
| 226 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,08/01/2040 |
| 261 |
| 286 |
|
|
|
|
| 261 |
| 286 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2032 |
| 520 |
| 544 |
| 240 |
| 251 |
| 280 |
| 293 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/01/2047 |
| 545 |
| 579 |
| 254 |
| 269 |
| 291 |
| 310 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,04/01/2044 |
| 291 |
| 313 |
|
|
|
|
| 291 |
| 313 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 01/01/2044 |
| 347 |
| 374 |
| 277 |
| 299 |
| 69 |
| 75 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2025 |
| 563 |
| 590 |
| 272 |
| 285 |
| 291 |
| 305 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2047 |
| 517 |
| 550 |
| 203 |
| 216 |
| 314 |
| 334 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/01/2046 |
| 629 |
| 651 |
| 336 |
| 348 |
| 293 |
| 303 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/01/2046 |
| 605 |
| 645 |
| 282 |
| 301 |
| 323 |
| 344 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 02/01/2034 |
| 426 |
| 487 |
| 298 |
| 341 |
| 128 |
| 146 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/01/2042 |
| 438 |
| 463 |
| 341 |
| 360 |
| 97 |
| 103 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2047 |
| 616 |
| 657 |
| 287 |
| 306 |
| 329 |
| 351 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2024 |
| 646 |
| 676 |
| 312 |
| 327 |
| 334 |
| 349 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2043 |
| 445 |
| 476 |
| 318 |
| 340 |
| 127 |
| 136 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/2047 |
| 582 |
| 632 |
| 271 |
| 295 |
| 310 |
| 337 |
|
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.290%,10/01/2020 |
| 327 |
| 337 |
|
|
|
|
| 327 |
| 337 |
|
FNMA ACES, Cl X2, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.533%,09/25/2022 (A)(D) |
| 17,668 |
| 338 |
| 17,668 |
| 338 |
|
|
|
|
|
FNMA ACES, Ser 2015-M13, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%,06/25/2025 (A)(D) |
| 130 |
| 130 |
| 130 |
| 130 |
|
|
|
|
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.164%, VAR ICE LIBOR USD 12 Month+1.562%, 10/01/2043 (A) |
| 454 |
| 467 |
| 297 |
| 305 |
| 158 |
| 162 |
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.265%, VAR 12 Month Treas Avg+1.973%,11/01/2035 (A) |
| 206 |
| 216 |
| 206 |
| 216 |
|
|
|
|
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.273%, VAR 12 Month Treas Avg+1.889%,10/01/2035 (A) |
| 949 |
| 992 |
| 949 |
| 992 |
|
|
|
|
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.977%, VAR ICE LIBOR USD 12 Month+1.602%, 05/01/2047 (A) |
| 393 |
| 402 |
| 183 |
| 188 |
| 209 |
| 214 |
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.137%, VAR ICE LIBOR USD 12 Month+1.620%, 03/01/2047 (A) |
| 1,637 |
| 1,687 |
| 786 |
| 810 |
| 851 |
| 877 |
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.262%, VAR 12 Month Treas Avg+1.934%,11/01/2035 (A) |
| 864 |
| 904 |
| 864 |
| 904 |
|
|
|
|
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.377%, VAR ICE LIBOR USD 12 Month+1.776%, 04/01/2040 (A) |
| 355 |
| 376 |
| 230 |
| 243 |
| 126 |
| 133 |
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.234%, VAR ICE LIBOR USD 12 Month+1.620%, 06/01/2047 (A) |
| 1,571 |
| 1,618 |
| 734 |
| 756 |
| 837 |
| 862 |
|
FNMA ARM |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.640%, VAR 12 Month Treas Avg+1.835%,10/01/2035 (A) |
| 144 |
| 150 |
| 144 |
| 150 |
|
|
|
|
|
FNMA CMO STRIPS, Ser 2012-409, Cl C22, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,11/25/2039 |
| 531 |
| 122 |
| 531 |
| 122 |
|
|
|
|
|
FNMA CMO STRIPS, Ser 2012-409, Cl C13, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,11/25/2041 |
| 480 |
| 83 |
| 480 |
| 83 |
|
|
|
|
|
FNMA CMO STRIPS, Ser 2012-409, Cl C2, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,04/25/2027 |
| 697 |
| 60 |
| 697 |
| 60 |
|
|
|
|
|
FNMA CMO, Ser 1999-11, Cl Z |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 03/25/2029 |
| 252 |
| 275 |
| 201 |
| 220 |
| 50 |
| 55 |
|
FNMA CMO, Ser 2005-117, Cl LC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 11/25/2035 |
| 817 |
| 867 |
| 588 |
| 624 |
| 229 |
| 243 |
|
FNMA CMO, Ser 2005-29, Cl ZA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,04/25/2035 |
| 240 |
| 270 |
|
|
|
|
| 240 |
| 270 |
|
FNMA CMO, Ser 2005-360, Cl 2, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 08/25/2035 |
| 1,627 |
| 319 |
| 1,465 |
| 287 |
| 163 |
| 32 |
|
FNMA CMO, Ser 2006-112, Cl ST, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.386%, VAR LIBOR USD 1 Month+6.700%,11/25/2036 (A) |
| 1,329 |
| 146 |
| 1,329 |
| 146 |
|
|
|
|
|
FNMA CMO, Ser 2007-108, Cl AN |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.068%, 11/25/2037 (A)(D) |
| 159 |
| 185 |
| 102 |
| 118 |
| 57 |
| 67 |
|
FNMA CMO, Ser 2008-22, Cl SI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.169%, VAR LIBOR USD 1 Month+6.430%,03/25/2037 (A) |
| 1,867 |
| 71 |
| 1,867 |
| 71 |
|
|
|
|
|
FNMA CMO, Ser 2009-103, Cl MB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.498%,12/25/2039 (A)(D) |
| 128 |
| 137 |
|
|
|
|
| 128 |
| 137 |
|
FNMA CMO, Ser 2009-86, Cl BO, PO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.302%, 03/25/2037 (B) (C) |
| 2,129 |
| 1,958 |
| 1,570 |
| 1,444 |
| 559 |
| 514 |
|
FNMA CMO, Ser 2010-150, Cl SK, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.291%, VAR LIBOR USD 1 Month+6.530%,01/25/2041 (A) |
| 422 |
| 77 |
| 422 |
| 77 |
|
|
|
|
|
FNMA CMO, Ser 2011-43, Cl AN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 12/25/2028 |
| 391 |
| 392 |
| 189 |
| 190 |
| 202 |
| 202 |
|
FNMA CMO, Ser 2011-59, Cl NZ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,07/25/2041 |
| 2,396 |
| 2,696 |
| 2,396 |
| 2,696 |
|
|
|
|
|
FNMA CMO, Ser 2011-87, Cl SG, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.313%, VAR LIBOR USD 1 Month+6.550%,04/25/2040 (A) |
| 380 |
| 47 |
|
|
|
|
| 380 |
| 47 |
|
FNMA CMO, Ser 2011-90, Cl QI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,05/25/2034 |
| 549 |
| 36 |
| 549 |
| 36 |
|
|
|
|
|
FNMA CMO, Ser 2011-96, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.308%, VAR LIBOR USD 1 Month+6.550%,10/25/2041 (A) |
| 1,497 |
| 260 |
| 1,497 |
| 260 |
|
|
|
|
|
FNMA CMO, Ser 2012-101, Cl AI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,06/25/2027 |
| 581 |
| 49 |
|
|
|
|
| 581 |
| 49 |
|
FNMA CMO, Ser 2012-118, Cl CI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,12/25/2039 |
| 618 |
| 70 |
|
|
|
|
| 618 |
| 70 |
|
FNMA CMO, Ser 2012-133, Cl CS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.957%, VAR LIBOR USD 1 Month+6.150%,12/25/2042 (A) |
| 437 |
| 82 |
| 437 |
| 82 |
|
|
|
|
|
FNMA CMO, Ser 2012-28, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,06/25/2039 |
| 73 |
| 80 |
| 73 |
| 80 |
|
|
|
|
|
FNMA CMO, Ser 2012-35, Cl SC, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.263%, VAR LIBOR USD 1 Month+6.500%, 04/25/2042 (A) |
| 256 |
| 52 |
| 128 |
| 26 |
| 128 |
| 26 |
|
FNMA CMO, Ser 2012-46, Cl BA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/25/2042 |
| 379 |
| 431 |
| 379 |
| 431 |
|
|
|
|
|
FNMA CMO, Ser 2012-70, Cl YS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.457%, VAR LIBOR USD 1 Month+6.650%,02/25/2041 (A) |
| 116 |
| 15 |
| 116 |
| 15 |
|
|
|
|
|
FNMA CMO, Ser 2012-74, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.457%, VAR LIBOR USD 1 Month+6.650%,03/25/2042 (A) |
| 461 |
| 74 |
| 461 |
| 74 |
|
|
|
|
|
FNMA CMO, Ser 2012-74, Cl OA, PO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%,03/25/2042 (B) (C) |
| 35 |
| 32 |
| 35 |
| 32 |
|
|
|
|
|
FNMA CMO, Ser 2012-75, Cl AO, PO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.456%,03/25/2042 (B) (C) |
| 71 |
| 65 |
| 71 |
| 65 |
|
|
|
|
|
FNMA CMO, Ser 2013-124, Cl SB, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.713%, VAR LIBOR USD 1 Month+5.950%, 12/25/2043 (A) |
| 669 |
| 135 |
| 446 |
| 90 |
| 223 |
| 45 |
|
FNMA CMO, Ser 2013-126, Cl CS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.913%, VAR LIBOR USD 1 Month+6.150%,09/25/2041 (A) |
| 618 |
| 88 |
|
|
|
|
| 618 |
| 88 |
|
FNMA CMO, Ser 2013-30, Cl CA |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.500%, 04/25/2043 |
| 581 |
| 537 |
| 269 |
| 249 |
| 312 |
| 288 |
|
FNMA CMO, Ser 2013-35, Cl CL |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,02/25/2043 |
| 6,875 |
| 6,844 |
| 6,875 |
| 6,844 |
|
|
|
|
|
FNMA CMO, Ser 2013-54, Cl BS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.913%, VAR LIBOR USD 1 Month+6.150%, 06/25/2043 (A) |
| 272 |
| 56 |
| 136 |
| 28 |
| 136 |
| 28 |
|
FNMA CMO, Ser 2013-73, Cl IA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,09/25/2032 |
| 712 |
| 75 |
|
|
|
|
| 712 |
| 75 |
|
FNMA CMO, Ser 2013-73, Cl IB, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,07/25/2028 |
| 169 |
| 18 |
|
|
|
|
| 169 |
| 18 |
|
FNMA CMO, Ser 2013-9, Cl CB |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,04/25/2042 |
| 3,098 |
| 3,428 |
| 3,098 |
| 3,428 |
|
|
|
|
|
FNMA CMO, Ser 2013-9, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.957%, VAR LIBOR USD 1 Month+6.150%,03/25/2042 (A) |
| 567 |
| 79 |
| 567 |
| 79 |
|
|
|
|
|
FNMA CMO, Ser 2013-9, Cl BC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,07/25/2042 |
| 416 |
| 480 |
| 416 |
| 480 |
|
|
|
|
|
FNMA CMO, Ser 2014-40, Cl EP |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/25/2042 |
| 859 |
| 894 |
| 407 |
| 424 |
| 451 |
| 470 |
|
FNMA CMO, Ser 2014-47, Cl AI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.834%,08/25/2044 (A)(D) |
| 399 |
| 24 |
|
|
|
|
| 399 |
| 24 |
|
FNMA CMO, Ser 2015-55, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.677%,08/25/2055 (A)(D) |
| 1,026 |
| 55 |
| 1,026 |
| 55 |
|
|
|
|
|
FNMA CMO, Ser 2015-56, Cl AS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.913%, VAR LIBOR USD 1 Month+6.150%,08/25/2045 (A) |
| 80 |
| 18 |
|
|
|
|
| 80 |
| 18 |
|
FNMA CMO, Ser 2016-59, Cl CA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/25/2043 |
| 3,275 |
| 3,423 |
| 1,775 |
| 1,855 |
| 1,500 |
| 1,568 |
|
FNMA CMO, Ser 2016-60, Cl QS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.863%, VAR LIBOR USD 1 Month+6.100%,09/25/2046 (A) |
| 489 |
| 82 |
| 489 |
| 82 |
|
|
|
|
|
FNMA CMO, Ser 2017-13, Cl PA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 08/25/2046 |
| 1,483 |
| 1,505 |
| 649 |
| 659 |
| 834 |
| 846 |
|
FNMA CMO, Ser 2017-33, Cl LB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 05/25/2039 |
| 1,854 |
| 1,892 |
| 867 |
| 885 |
| 987 |
| 1,007 |
|
FNMA CMO, Ser 2017-76, Cl SB, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.866%, VAR LIBOR USD 1 Month+6.100%, 10/25/2057 (A) |
| 2,600 |
| 487 |
| 1,600 |
| 300 |
| 1,000 |
| 187 |
|
FNMA CMO, Ser 2017-GS, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%, 03/31/2036 |
| 800 |
| 139 |
| 500 |
| 87 |
| 300 |
| 52 |
|
FNMA Multifamily Megas, Ser 141, Cl 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.966%,05/01/2027 (A)(D) |
| 2,222 |
| 2,245 |
| 2,222 |
| 2,245 |
|
|
|
|
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/12/2039 |
| 21,445 |
| 22,545 |
| 6,920 |
| 7,275 |
| 14,525 |
| 15,270 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%,11/25/2027 |
| 6,700 |
| 6,738 |
|
|
|
|
| 6,700 |
| 6,738 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/15/2042 |
| 42,405 |
| 43,715 |
| 21,535 |
| 22,200 |
| 20,870 |
| 21,515 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/01/2040 |
| 23,610 |
| 24,860 |
| 10,100 |
| 10,635 |
| 13,510 |
| 14,225 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 11/01/2040 |
| 13,600 |
| 13,995 |
| 5,600 |
| 5,763 |
| 8,000 |
| 8,232 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 10/01/2038 |
| 3,000 |
| 3,272 |
| 1,500 |
| 1,636 |
| 1,500 |
| 1,636 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 10/15/2027 |
| 7,100 |
| 7,295 |
| 4,110 |
| 4,223 |
| 2,990 |
| 3,072 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 12/01/2040 |
| 7,500 |
| 7,704 |
| 3,500 |
| 3,595 |
| 4,000 |
| 4,109 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 11/15/2034 |
| 18,655 |
| 20,001 |
| 8,690 |
| 9,317 |
| 9,965 |
| 10,684 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 10/15/2042 |
| 16,080 |
| 16,133 |
| 8,135 |
| 8,162 |
| 7,945 |
| 7,971 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 11/25/2026 |
| 15,800 |
| 16,217 |
| 8,800 |
| 9,032 |
| 7,000 |
| 7,185 |
|
FNMA, Ser 2014-M12, Cl FA |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.579%, VAR LIBOR USD 1 Month+0.300%, 10/25/2021 (A) |
| 651 |
| 650 |
| 496 |
| 495 |
| 155 |
| 155 |
|
FNMA, Ser 2014-M8, Cl X2, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.520%,06/25/2024 (A)(D) |
| 8,586 |
| 194 |
|
|
|
|
| 8,586 |
| 194 |
|
FNMA, Ser 2015-M10, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.092%,04/25/2027 (A)(D) |
| 544 |
| 551 |
|
|
|
|
| 544 |
| 551 |
|
FNMA, Ser 2015-M3, Cl FA |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.457%, VAR LIBOR USD 1 Month+0.220%, 06/25/2018 (A) |
| 293 |
| 293 |
| 146 |
| 146 |
| 147 |
| 147 |
|
FNMA, Ser 2017-M4, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.684%, 12/25/2026 (A)(D) |
| 944 |
| 925 |
| 440 |
| 431 |
| 504 |
| 494 |
|
FNMA, Ser 2017-M7, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.961%, 02/25/2027 (A)(D) |
| 850 |
| 869 |
| 397 |
| 406 |
| 453 |
| 463 |
|
FNMA, Ser M2, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.058%,12/25/2024 (A)(D) |
| 2,534 |
| 2,607 |
| 2,534 |
| 2,607 |
|
|
|
|
|
FNMA, Ser M2, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.513%,12/25/2023 (A)(D) |
| 1,770 |
| 1,869 |
| 1,770 |
| 1,869 |
|
|
|
|
|
FNMA, Ser M4, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.346%,03/25/2024 (A)(D) |
| 2,795 |
| 2,927 |
| 2,795 |
| 2,927 |
|
|
|
|
|
FREMF 2012-K20 Mortgage Trust, Ser K20, Cl X2A, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.200%,05/25/2045 (E) |
| 12,422 |
| 93 |
| 12,422 |
| 93 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/15/2034 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2033 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2032 |
| 1 |
| 2 |
| 1 |
| 2 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/15/2045 |
| 183 |
| 196 |
| 85 |
| 91 |
| 98 |
| 105 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,04/15/2029 |
| 2 |
| 2 |
| 2 |
| 2 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2023 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,06/15/2035 |
| 106 |
| 122 |
| 106 |
| 122 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2029 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2033 |
| 4 |
| 5 |
| 4 |
| 5 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 109 |
| 125 |
| 109 |
| 125 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2034 |
| 0 |
| 1 |
| — |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2034 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/15/2028 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2029 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2033 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2033 |
| 4 |
| 5 |
| 4 |
| 5 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/20/2045 |
| 140 |
| 153 |
| 110 |
| 120 |
| 30 |
| 33 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,02/15/2032 |
| 2 |
| 2 |
| 2 |
| 2 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2034 |
| 3 |
| 4 |
| 3 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2034 |
| 3 |
| 4 |
| 3 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 79 |
| 90 |
| 79 |
| 90 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/15/2045 |
| 167 |
| 179 |
| 92 |
| 99 |
| 74 |
| 80 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2031 |
| 3 |
| 4 |
| 3 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/15/2034 |
| 3 |
| 4 |
| 3 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,03/15/2033 |
| 3 |
| 3 |
| 3 |
| 3 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 3 |
| 3 |
| 3 |
| 3 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2034 |
| 3 |
| 3 |
| 3 |
| 3 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2031 |
| 3 |
| 3 |
| 3 |
| 3 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2029 |
| 3 |
| 3 |
| 3 |
| 3 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 83 |
| 94 |
| 83 |
| 94 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 4 |
| 4 |
| 4 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 4 |
| 4 |
| 4 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,03/15/2029 |
| 4 |
| 4 |
| 4 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,12/15/2031 |
| 4 |
| 5 |
| 4 |
| 5 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 4 |
| 5 |
| 4 |
| 5 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2034 |
| 2 |
| 2 |
| 2 |
| 2 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 2 |
| 2 |
| 2 |
| 2 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,08/15/2031 |
| 3 |
| 4 |
| 3 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2034 |
| 3 |
| 4 |
| 3 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 2 |
| 2 |
| 2 |
| 2 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,07/15/2033 |
| 81 |
| 89 |
| 81 |
| 89 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2034 |
| 4 |
| 4 |
| 4 |
| 4 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/15/2047 |
| 1,223 |
| 1,303 |
| 571 |
| 608 |
| 652 |
| 695 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,07/20/2040 |
| 536 |
| 591 |
| 536 |
| 591 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,04/15/2045 |
| 729 |
| 740 |
|
|
|
|
| 729 |
| 740 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,11/20/2046 |
| 735 |
| 765 |
|
|
|
|
| 735 |
| 765 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,06/20/2047 |
| 719 |
| 748 |
|
|
|
|
| 719 |
| 748 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 09/20/2045 |
| 748 |
| 826 |
| 430 |
| 474 |
| 318 |
| 352 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 12/20/2046 |
| 7,782 |
| 7,900 |
| 4,613 |
| 4,683 |
| 3,169 |
| 3,217 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/20/2047 |
| 7,715 |
| 8,154 |
| 3,670 |
| 3,879 |
| 4,045 |
| 4,275 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 168 |
| 191 |
| 168 |
| 191 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,08/15/2034 |
| 264 |
| 302 |
| 264 |
| 302 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2032 |
| 242 |
| 276 |
| 242 |
| 276 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/20/2046 |
| 2,672 |
| 2,780 |
| 2,211 |
| 2,301 |
| 461 |
| 479 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,03/20/2046 |
| 1,979 |
| 2,060 |
| 1,979 |
| 2,060 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,05/20/2047 |
| 2,278 |
| 2,443 |
| 2,278 |
| 2,443 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,02/15/2035 |
| 31 |
| 36 |
| 31 |
| 36 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/20/2046 |
| 4,966 |
| 5,169 |
| 3,130 |
| 3,258 |
| 1,836 |
| 1,911 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/20/2047 |
| 4,390 |
| 4,645 |
| 2,794 |
| 2,956 |
| 1,596 |
| 1,689 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,04/20/2041 |
| 1,014 |
| 1,090 |
| 1,014 |
| 1,090 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/15/2047 |
| 1,342 |
| 1,430 |
| 622 |
| 663 |
| 720 |
| 767 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/20/2047 |
| 1,936 |
| 2,015 |
| 1,258 |
| 1,310 |
| 678 |
| 705 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,04/20/2047 |
| 1,576 |
| 1,640 |
| 1,576 |
| 1,640 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,04/20/2046 |
| 1,312 |
| 1,366 |
|
|
|
|
| 1,312 |
| 1,366 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/15/2047 |
| 300 |
| 327 |
| 140 |
| 153 |
| 160 |
| 174 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/15/2046 |
| 293 |
| 307 |
| 162 |
| 170 |
| 131 |
| 137 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 08/20/2045 |
| 243 |
| 267 |
| 161 |
| 176 |
| 83 |
| 91 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/15/2045 |
| 397 |
| 424 |
| 219 |
| 234 |
| 178 |
| 190 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 09/15/2047 |
| 279 |
| 305 |
| 95 |
| 104 |
| 184 |
| 201 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/15/2046 |
| 282 |
| 295 |
| 156 |
| 163 |
| 126 |
| 132 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,05/15/2029 |
| 0 |
| — |
|
|
|
|
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,11/15/2032 |
| 127 |
| 148 |
| 127 |
| 148 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 08/15/2047 |
| 261 |
| 285 |
| 121 |
| 132 |
| 140 |
| 153 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,09/20/2040 |
| 147 |
| 162 |
| 147 |
| 162 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,12/15/2028 |
| 0 |
| — |
|
|
|
|
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/20/2045 |
| 736 |
| 787 |
| 467 |
| 500 |
| 268 |
| 287 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,12/15/2035 |
| 361 |
| 419 |
|
|
|
|
| 361 |
| 419 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/20/2046 |
| 555 |
| 577 |
| 61 |
| 63 |
| 494 |
| 514 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,01/20/2047 |
| 3,710 |
| 3,861 |
|
|
|
|
| 3,710 |
| 3,861 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/20/2047 |
| 796 |
| 841 |
| 497 |
| 526 |
| 298 |
| 315 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/15/2047 |
| 370 |
| 404 |
| 185 |
| 202 |
| 185 |
| 202 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/20/2045 |
| 363 |
| 402 |
| 260 |
| 288 |
| 103 |
| 114 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 07/20/2045 |
| 331 |
| 360 |
| 225 |
| 244 |
| 107 |
| 116 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.500%,02/20/2034 (A) |
| 295 |
| 307 |
|
|
|
|
| 295 |
| 307 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/15/2045 |
| 677 |
| 724 |
| 374 |
| 400 |
| 303 |
| 324 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,09/20/2047 |
| 375 |
| 381 |
|
|
|
|
| 375 |
| 381 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,04/15/2031 |
| 23 |
| 26 |
| 23 |
| 26 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 23 |
| 26 |
| 23 |
| 26 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,07/15/2028 |
| 24 |
| 26 |
| 24 |
| 26 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 42 |
| 48 |
| 42 |
| 48 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,04/15/2032 |
| 23 |
| 26 |
| 23 |
| 26 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2031 |
| 22 |
| 25 |
| 22 |
| 25 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,10/15/2037 |
| 42 |
| 50 |
|
|
|
|
| 42 |
| 50 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 23 |
| 25 |
| 23 |
| 25 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,01/15/2032 |
| 22 |
| 25 |
| 22 |
| 25 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,04/15/2032 |
| 24 |
| 26 |
| 24 |
| 26 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2034 |
| 25 |
| 28 |
| 25 |
| 28 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/15/2033 |
| 41 |
| 47 |
| 41 |
| 47 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/15/2034 |
| 39 |
| 45 |
| 39 |
| 45 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 25 |
| 28 |
| 25 |
| 28 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2033 |
| 24 |
| 27 |
| 24 |
| 27 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2033 |
| 42 |
| 48 |
| 42 |
| 48 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,12/15/2033 |
| 42 |
| 48 |
| 42 |
| 48 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%,09/15/2031 |
| 39 |
| 46 |
|
|
|
|
| 39 |
| 46 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,05/15/2031 |
| 42 |
| 47 |
| 42 |
| 47 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2033 |
| 19 |
| 22 |
| 19 |
| 22 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/15/2046 |
| 90 |
| 99 |
| 50 |
| 55 |
| 40 |
| 44 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.000%,09/15/2030 |
| 21 |
| 22 |
| 21 |
| 22 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 19 |
| 22 |
| 19 |
| 22 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2031 |
| 48 |
| 55 |
| 48 |
| 55 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 49 |
| 55 |
| 49 |
| 55 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,07/15/2031 |
| 19 |
| 21 |
| 19 |
| 21 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,07/15/2034 |
| 19 |
| 21 |
| 19 |
| 21 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2032 |
| 18 |
| 21 |
| 18 |
| 21 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2034 |
| 47 |
| 54 |
| 47 |
| 54 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/15/2035 |
| 22 |
| 24 |
| 22 |
| 24 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 21 |
| 23 |
| 21 |
| 23 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2034 |
| 44 |
| 51 |
| 44 |
| 51 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/15/2032 |
| 21 |
| 24 |
| 21 |
| 24 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 45 |
| 52 |
| 45 |
| 52 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,05/15/2035 |
| 48 |
| 53 |
| 48 |
| 53 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 19 |
| 22 |
| 19 |
| 22 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/15/2028 |
| 21 |
| 23 |
| 21 |
| 23 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 20 |
| 23 |
| 20 |
| 23 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/15/2034 |
| 25 |
| 28 |
| 25 |
| 28 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2029 |
| 35 |
| 40 |
| 35 |
| 40 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,01/15/2029 |
| 29 |
| 34 |
| 29 |
| 34 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2034 |
| 30 |
| 34 |
| 30 |
| 34 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 34 |
| 40 |
| 34 |
| 40 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/15/2046 |
| 58 |
| 63 |
| 30 |
| 33 |
| 27 |
| 30 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/15/2033 |
| 36 |
| 40 |
| 36 |
| 40 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 28 |
| 33 |
| 28 |
| 33 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,11/15/2034 |
| 30 |
| 33 |
| 30 |
| 33 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2032 |
| 36 |
| 40 |
| 36 |
| 40 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,02/15/2035 |
| 33 |
| 38 |
| 33 |
| 38 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2034 |
| 32 |
| 36 |
| 32 |
| 36 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 32 |
| 37 |
| 32 |
| 37 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 32 |
| 36 |
| 32 |
| 36 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,06/15/2035 |
| 33 |
| 37 |
| 33 |
| 37 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/15/2034 |
| 32 |
| 36 |
| 32 |
| 36 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,11/15/2031 |
| 34 |
| 38 |
| 34 |
| 38 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,01/15/2032 |
| 33 |
| 38 |
| 33 |
| 38 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2034 |
| 33 |
| 37 |
| 33 |
| 37 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2033 |
| 30 |
| 35 |
| 30 |
| 35 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 27 |
| 31 |
| 27 |
| 31 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2032 |
| 27 |
| 31 |
| 27 |
| 31 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/15/2031 |
| 39 |
| 44 |
| 39 |
| 44 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2034 |
| 27 |
| 31 |
| 27 |
| 31 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2033 |
| 27 |
| 30 |
| 27 |
| 30 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,05/15/2031 |
| 25 |
| 29 |
| 25 |
| 29 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/15/2032 |
| 40 |
| 45 |
| 40 |
| 45 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,06/15/2031 |
| 40 |
| 44 |
| 40 |
| 44 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2032 |
| 26 |
| 29 |
| 26 |
| 29 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 38 |
| 43 |
| 38 |
| 43 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2035 |
| 28 |
| 32 |
| 28 |
| 32 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2034 |
| 29 |
| 32 |
| 29 |
| 32 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/15/2034 |
| 37 |
| 41 |
| 37 |
| 41 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2034 |
| 28 |
| 32 |
| 28 |
| 32 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 12/20/2039 |
| 72 |
| 81 |
| 36 |
| 41 |
| 36 |
| 40 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 28 |
| 31 |
| 28 |
| 31 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2033 |
| 38 |
| 43 |
| 38 |
| 43 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 36 |
| 41 |
| 36 |
| 41 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,12/15/2033 |
| 37 |
| 41 |
| 37 |
| 41 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,01/15/2032 |
| 11 |
| 12 |
| 11 |
| 12 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2034 |
| 10 |
| 11 |
| 10 |
| 11 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,03/15/2032 |
| 10 |
| 11 |
| 10 |
| 11 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2029 |
| 65 |
| 73 |
| 65 |
| 73 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 11/20/2045 |
| 125 |
| 140 |
| 70 |
| 78 |
| 55 |
| 62 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2034 |
| 10 |
| 12 |
| 10 |
| 12 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,03/15/2029 |
| 9 |
| 10 |
| 9 |
| 10 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 9 |
| 10 |
| 9 |
| 10 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,02/15/2032 |
| 9 |
| 10 |
| 9 |
| 10 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,12/15/2032 |
| 69 |
| 78 |
| 69 |
| 78 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2034 |
| 9 |
| 10 |
| 9 |
| 10 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,06/15/2035 |
| 9 |
| 10 |
| 9 |
| 10 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2032 |
| 11 |
| 12 |
| 11 |
| 12 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,12/15/2034 |
| 13 |
| 14 |
| 13 |
| 14 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2029 |
| 12 |
| 14 |
| 12 |
| 14 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,12/15/2033 |
| 60 |
| 69 |
| 60 |
| 69 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 13 |
| 14 |
| 13 |
| 14 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.000%,11/15/2029 |
| 12 |
| 14 |
| 12 |
| 14 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,11/15/2031 |
| 13 |
| 14 |
| 13 |
| 14 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 64 |
| 72 |
| 64 |
| 72 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2034 |
| 11 |
| 12 |
| 11 |
| 12 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2034 |
| 65 |
| 73 |
| 65 |
| 73 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.000%,09/15/2030 |
| 12 |
| 13 |
| 12 |
| 13 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 11 |
| 13 |
| 11 |
| 13 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,12/15/2032 |
| 62 |
| 71 |
| 62 |
| 71 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,01/15/2032 |
| 5 |
| 6 |
| 5 |
| 6 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.000%,09/15/2030 |
| 5 |
| 6 |
| 5 |
| 6 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 5 |
| 6 |
| 5 |
| 6 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,05/15/2029 |
| 6 |
| 6 |
| 6 |
| 6 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/15/2034 |
| 74 |
| 84 |
| 74 |
| 84 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2034 |
| 6 |
| 6 |
| 6 |
| 6 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/20/2038 |
| 77 |
| 86 |
|
|
|
|
| 77 |
| 86 |
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2034 |
| 78 |
| 88 |
| 78 |
| 88 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,01/15/2033 |
| 75 |
| 88 |
| 75 |
| 88 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2034 |
| 5 |
| 6 |
| 5 |
| 6 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2032 |
| 5 |
| 6 |
| 5 |
| 6 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/15/2034 |
| 5 |
| 6 |
| 5 |
| 6 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,11/15/2033 |
| 6 |
| 7 |
| 6 |
| 7 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2033 |
| 7 |
| 8 |
| 7 |
| 8 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2032 |
| 7 |
| 8 |
| 7 |
| 8 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 70 |
| 79 |
| 70 |
| 79 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,02/15/2032 |
| 9 |
| 10 |
| 9 |
| 10 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 8 |
| 10 |
| 8 |
| 10 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2031 |
| 8 |
| 9 |
| 8 |
| 9 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 6 |
| 7 |
| 6 |
| 7 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,07/15/2032 |
| 6 |
| 7 |
| 6 |
| 7 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 6 |
| 7 |
| 6 |
| 7 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,02/15/2033 |
| 7 |
| 8 |
| 7 |
| 8 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,05/15/2034 |
| 7 |
| 7 |
| 7 |
| 7 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,12/15/2033 |
| 75 |
| 83 |
| 75 |
| 83 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,04/15/2029 |
| 16 |
| 18 |
| 16 |
| 18 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2033 |
| 15 |
| 17 |
| 15 |
| 17 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,03/15/2029 |
| 56 |
| 66 |
| 56 |
| 66 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/20/2040 |
| 16 |
| 18 |
| 16 |
| 18 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,12/15/2032 |
| 58 |
| 68 |
| 58 |
| 68 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,07/15/2031 |
| 14 |
| 16 |
| 14 |
| 16 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/15/2033 |
| 14 |
| 15 |
| 14 |
| 15 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,07/15/2034 |
| 15 |
| 17 |
| 15 |
| 17 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2033 |
| 49 |
| 56 |
| 49 |
| 56 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2034 |
| 58 |
| 66 |
| 58 |
| 66 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,11/15/2032 |
| 53 |
| 60 |
| 53 |
| 60 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,10/15/2033 |
| 55 |
| 63 |
| 55 |
| 63 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,02/15/2032 |
| 18 |
| 21 |
| 18 |
| 21 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,01/15/2032 |
| 19 |
| 21 |
| 19 |
| 21 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,11/20/2040 |
| 18 |
| 20 |
| 18 |
| 20 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/15/2028 |
| 17 |
| 19 |
| 17 |
| 19 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,07/20/2040 |
| 17 |
| 19 |
| 17 |
| 19 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,12/15/2029 |
| 56 |
| 64 |
| 56 |
| 64 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,11/15/2033 |
| 17 |
| 19 |
| 17 |
| 19 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,06/15/2032 |
| 13 |
| 15 |
| 13 |
| 15 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 60 |
| 68 |
| 60 |
| 68 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,06/15/2035 |
| 15 |
| 16 |
| 15 |
| 16 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/15/2034 |
| 13 |
| 15 |
| 13 |
| 15 |
|
|
|
|
|
GNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,09/15/2031 |
| 14 |
| 15 |
| 14 |
| 15 |
|
|
|
|
|
GNMA CMO, Ser 2007-17, Cl IB, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.093%, VAR LIBOR USD 1 Month+6.250%,04/20/2037 (A) |
| 667 |
| 108 |
| 667 |
| 108 |
|
|
|
|
|
GNMA CMO, Ser 2007-78, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.296%, VAR LIBOR USD 1 Month+6.530%,12/16/2037 (A) |
| 781 |
| 117 |
|
|
|
|
| 781 |
| 117 |
|
GNMA CMO, Ser 2009-66, Cl XS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.566%, VAR LIBOR USD 1 Month+6.800%,07/16/2039 (A) |
| 904 |
| 134 |
|
|
|
|
| 904 |
| 134 |
|
GNMA CMO, Ser 2010-31, Cl GS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.314%, VAR LIBOR USD 1 Month+6.500%,03/20/2039 (A) |
| 71 |
| 5 |
| 71 |
| 5 |
|
|
|
|
|
GNMA CMO, Ser 2010-4, Cl NS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.156%, VAR LIBOR USD 1 Month+6.390%, 01/16/2040 (A) |
| 6,260 |
| 1,110 |
| 4,725 |
| 838 |
| 1,536 |
| 272 |
|
GNMA CMO, Ser 2010-85, Cl HS, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.408%, VAR LIBOR USD 1 Month+6.650%,01/20/2040 (A) |
| 82 |
| 10 |
| 82 |
| 10 |
|
|
|
|
|
GNMA CMO, Ser 2010-H11, Cl FA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.236%, VAR ICE LIBOR USD 1 Month+1.000%,06/20/2060 (A) |
| 522 |
| 530 |
|
|
|
|
| 522 |
| 530 |
|
GNMA CMO, Ser 2010-H27, Cl FA |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.640%, VAR ICE LIBOR USD 1 Month+0.380%,12/20/2060 (A) |
| 1,408 |
| 1,401 |
| 1,408 |
| 1,401 |
|
|
|
|
|
GNMA CMO, Ser 2010-H28, Cl FE |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.610%, VAR ICE LIBOR USD 1 Month+0.400%,12/20/2060 (A) |
| 740 |
| 738 |
| 740 |
| 738 |
|
|
|
|
|
GNMA CMO, Ser 2011-H08, Cl FD |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.731%, VAR ICE LIBOR USD 1 Month+0.500%,02/20/2061 (A) |
| 355 |
| 354 |
|
|
|
|
| 355 |
| 354 |
|
GNMA CMO, Ser 2011-H08, Cl FG |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.666%, VAR ICE LIBOR USD 1 Month+0.480%,03/20/2061 (A) |
| 844 |
| 842 |
| 844 |
| 842 |
|
|
|
|
|
GNMA CMO, Ser 2011-H09, Cl AF |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.710%, VAR ICE LIBOR USD 1 Month+0.500%,03/20/2061 (A) |
| 611 |
| 611 |
| 611 |
| 611 |
|
|
|
|
|
GNMA CMO, Ser 2012-34, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.814%, VAR LIBOR USD 1 Month+6.050%, 03/20/2042 (A) |
| 694 |
| 118 |
| 545 |
| 93 |
| 149 |
| 25 |
|
GNMA CMO, Ser 2012-43, Cl SN, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.366%, VAR LIBOR USD 1 Month+6.600%, 04/16/2042 (A) |
| 128 |
| 29 |
| 43 |
| 10 |
| 86 |
| 19 |
|
GNMA CMO, Ser 2012-66, Cl CI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,02/20/2038 |
| 663 |
| 53 |
| 663 |
| 53 |
|
|
|
|
|
GNMA CMO, Ser 2012-98, Cl SA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.893%, VAR LIBOR USD 1 Month+6.100%,08/16/2042 (A) |
| 345 |
| 60 |
| 345 |
| 60 |
|
|
|
|
|
GNMA CMO, Ser 2012-H25, Cl FA |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.931%, VAR ICE LIBOR USD 1 Month+0.700%,12/20/2061 (A) |
| 632 |
| 634 |
|
|
|
|
| 632 |
| 634 |
|
GNMA CMO, Ser 2013-53, Cl OI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,04/20/2043 |
| 374 |
| 55 |
| 374 |
| 55 |
|
|
|
|
|
GNMA CMO, Ser 2013-69, Cl AI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%,05/20/2043 |
| 619 |
| 102 |
|
|
|
|
| 619 |
| 102 |
|
GNMA CMO, Ser 2014-117, Cl SJ, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.364%, VAR LIBOR USD 1 Month+5.600%,08/20/2044 (A) |
| 220 |
| 32 |
|
|
|
|
| 220 |
| 32 |
|
GNMA CMO, Ser 2014-5, Cl SP, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.916%, VAR LIBOR USD 1 Month+6.150%,06/16/2043 (A) |
| 521 |
| 65 |
|
|
|
|
| 521 |
| 65 |
|
GNMA CMO, Ser 2014-H10, Cl TA |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.831%, VAR ICE LIBOR USD 1 Month+0.600%,04/20/2064 (A) |
| 711 |
| 713 |
|
|
|
|
| 711 |
| 713 |
|
GNMA CMO, Ser 2015-167, Cl OI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/16/2045 |
| 226 |
| 45 |
| 151 |
| 30 |
| 75 |
| 15 |
|
GNMA CMO, Ser 2015-H10, Cl FC |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.711%, VAR ICE LIBOR USD 1 Month+0.480%,04/20/2065 (A) |
| 426 |
| 424 |
|
|
|
|
| 426 |
| 424 |
|
GNMA CMO, Ser 2015-H18, Cl FA |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.681%, VAR ICE LIBOR USD 1 Month+0.450%,06/20/2065 (A) |
| 314 |
| 313 |
|
|
|
|
| 314 |
| 313 |
|
GNMA CMO, Ser 2015-H20, Cl FA |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.701%, VAR ICE LIBOR USD 1 Month+0.470%,08/20/2065 (A) |
| 309 |
| 308 |
|
|
|
|
| 309 |
| 308 |
|
GNMA CMO, Ser 2016-135, Cl SB, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.866%, VAR LIBOR USD 1 Month+6.100%,10/16/2046 (A) |
| 361 |
| 98 |
| 361 |
| 98 |
|
|
|
|
|
GNMA CMO, Ser 2017-H18, Cl BI, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.627%,09/20/2067 (A)(D) |
| 5,700 |
| 588 |
| 5,700 |
| 588 |
|
|
|
|
|
GNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 11/15/2041 |
| 11,000 |
| 11,416 |
| 6,800 |
| 7,057 |
| 4,200 |
| 4,359 |
|
GNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 10/01/2042 |
| 58,090 |
| 58,898 |
| 27,545 |
| 27,928 |
| 30,545 |
| 30,970 |
|
GNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,10/15/2039 |
| 11,345 |
| 12,093 |
| 11,345 |
| 12,093 |
|
|
|
|
|
GNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 12/15/2039 |
| 8,500 |
| 9,032 |
| 3,900 |
| 4,144 |
| 4,600 |
| 4,888 |
|
GNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/15/2041 |
| 36,660 |
| 38,018 |
| 16,045 |
| 16,805 |
| 20,615 |
| 21,443 |
|
GNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,11/15/2039 |
| 10,440 |
| 11,110 |
|
|
|
|
| 10,440 |
| 11,110 |
|
GNMA TBA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/01/2039 |
| 22,050 |
| 23,242 |
| 12,800 |
| 13,492 |
| 9,250 |
| 9,750 |
|
GNMA, Ser 152, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.754%,01/16/2054 (A)(D) |
| 7,973 |
| 427 |
| 7,973 |
| 427 |
|
|
|
|
|
GNMA, Ser 2012-112, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.311%,02/16/2053 (A)(D) |
| 1,088 |
| 26 |
|
|
|
|
| 1,088 |
| 26 |
|
GNMA, Ser 2012-27, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.012%,04/16/2053 (A)(D) |
| 1,488 |
| 54 |
|
|
|
|
| 1,488 |
| 54 |
|
GNMA, Ser 2013-145, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.072%,09/16/2044 (A)(D) |
| 1,369 |
| 74 |
|
|
|
|
| 1,369 |
| 74 |
|
GNMA, Ser 2013-63, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.777%,09/16/2051 (A)(D) |
| 22 |
| 1 |
|
|
|
|
| 22 |
| 1 |
|
GNMA, Ser 2013-96, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.527%,10/16/2054 (A)(D) |
| 1,948 |
| 64 |
|
|
|
|
| 1,948 |
| 64 |
|
GNMA, Ser 2014-47, Cl IA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.385%,02/16/2048 (A)(D) |
| 298 |
| 12 |
|
|
|
|
| 298 |
| 12 |
|
GNMA, Ser 2014-50, Cl IO, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.870%,09/16/2055 (A)(D) |
| 1,209 |
| 66 |
|
|
|
|
| 1,209 |
| 66 |
|
GNMA, Ser 2014-92, Cl IX, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.694%,05/16/2054 (A)(D) |
| 6,860 |
| 248 |
|
|
|
|
| 6,860 |
| 248 |
|
GNMA, Ser 2015-5, Cl IK, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.702%,11/16/2054 (A)(D) |
| 6,705 |
| 307 |
|
|
|
|
| 6,705 |
| 307 |
|
NCUA Guaranteed Notes, Ser 2010-R2, Cl 1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.613%, VAR LIBOR USD 1 Month+0.370%,11/06/2017 (A) |
| 705 |
| 705 |
| 705 |
| 705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1,093,725 |
|
|
| 582,513 |
|
|
| 511,212 |
|
Non-Agency Mortgage-Backed Obligations — 9.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
7 WTC Depositor Trust, Ser 2012-7WTC, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.082%,03/13/2031 (E) |
| 64 |
| 65 |
|
|
|
|
| 64 |
| 65 |
|
Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 3A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.285%,02/25/2035 (A)(D) |
| 1,388 |
| 1,350 |
| 1,388 |
| 1,350 |
|
|
|
|
|
Adjustable Rate Mortgage Trust, Ser 2007-1, Cl 5A31 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.294%, VAR ICE LIBOR USD 1 Month+0.140%,03/25/2037 (A) |
| 2,045 |
| 1,699 |
| 2,045 |
| 1,699 |
|
|
|
|
|
Alternative Loan Trust 2006-OA11, Ser 2006-OA11, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.340%, VAR ICE LIBOR USD 1 Month+0.190%,09/25/2046 (A) |
| 442 |
| 367 |
| 442 |
| 367 |
|
|
|
|
|
Alternative Loan Trust, Ser 2005-36, Cl 3A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.507%,08/25/2035 (A)(D) |
| 1,688 |
| 1,420 |
| 1,688 |
| 1,420 |
|
|
|
|
|
Alternative Loan Trust, Ser 2006-18CB, Cl A6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
27.980%, VAR ICE LIBOR USD 1 Month+28.600%,07/25/2036 (A) |
| 301 |
| 456 |
| 301 |
| 456 |
|
|
|
|
|
Alternative Loan Trust, Ser 2007-23CB, Cl A7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.550%, VAR ICE LIBOR USD 1 Month+0.400%,09/25/2037 (A) |
| 2,343 |
| 1,469 |
| 2,343 |
| 1,469 |
|
|
|
|
|
American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.636%, VAR ICE LIBOR USD 1 Month+0.190%,12/25/2046 (A) |
| 1,508 |
| 1,253 |
| 1,508 |
| 1,253 |
|
|
|
|
|
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.453%, VAR ICE LIBOR USD 6 Month+2.000%,02/25/2045 (A) |
| 444 |
| 453 |
|
|
|
|
| 444 |
| 453 |
|
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.294%, VAR ICE LIBOR USD 6 Month+2.000%,06/25/2045 (A) |
| 2,957 |
| 2,993 |
| 2,957 |
| 2,993 |
|
|
|
|
|
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.350%, VAR ICE LIBOR USD 6 Month+1.750%,11/25/2045 (A) |
| 1,607 |
| 1,283 |
| 1,607 |
| 1,283 |
|
|
|
|
|
AOA Mortgage Trust, Ser 2015-1177, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.957%,12/13/2029 (E) |
| 930 |
| 946 |
|
|
|
|
| 930 |
| 946 |
|
ASG Resecuritization Trust, Ser 2009-3, Cl A65 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.838%,03/26/2037 (A)(D) (E) |
| 76 |
| 76 |
|
|
|
|
| 76 |
| 76 |
|
Avenue of the Americas Trust, Ser 2015-1211, Cl A1A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.901%,08/10/2035 (E) |
| 805 |
| 852 |
| 805 |
| 852 |
|
|
|
|
|
BAMLL Commercial Mortgage Securities Trust, Ser 2014-520M, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.185%,08/15/2034 (A)(D) (E) |
| 440 |
| 471 |
| 440 |
| 471 |
|
|
|
|
|
BAMLL Re-REMIC Trust, Ser 2016-RRGG10, Cl AJA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.932%,08/10/2045 (A)(D) (E) |
| 1,812 |
| 1,577 |
| 1,812 |
| 1,577 |
|
|
|
|
|
Banc of America Funding Trust, Ser 2004-C, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.231%,12/20/2034 (A)(D) |
| 20 |
| 20 |
|
|
|
|
| 20 |
| 20 |
|
Banc of America Funding Trust, Ser 2006-G, Cl 2A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.526%, VAR ICE LIBOR USD 1 Month+0.290%,07/20/2036 (A) |
| 1,357 |
| 1,358 |
|
|
|
|
| 1,357 |
| 1,358 |
|
BANK, Ser 2017-BNK7, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.435%, 09/15/2060 |
| 900 |
| 921 |
| 570 |
| 583 |
| 330 |
| 338 |
|
Bayview Opportunity Master Fund IVa Trust, Ser 2017-RT1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%,03/28/2057 (A)(D) (E) |
| 1,284 |
| 1,298 |
| 1,284 |
| 1,298 |
|
|
|
|
|
BB-UBS Trust, Ser 2012-SHOW, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.430%,11/05/2036 (E) |
| 600 |
| 614 |
|
|
|
|
| 600 |
| 614 |
|
BB-UBS Trust, Ser 2012-TFT, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.892%,06/05/2030 (E) |
| 150 |
| 149 |
|
|
|
|
| 150 |
| 149 |
|
BCAP 2015-RR2 Trust, Ser 2015-RR2, Cl 21A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.568%,03/28/2037 (A)(D) (E) |
| 1,127 |
| 1,072 |
| 1,127 |
| 1,072 |
|
|
|
|
|
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,11/26/2034 (A)(D) (E) |
| 70 |
| 72 |
|
|
|
|
| 70 |
| 72 |
|
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.316%,05/25/2034 (A)(D) |
| 141 |
| 131 |
| 141 |
| 131 |
|
|
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.692%,05/25/2034 (A)(D) |
| 14 |
| 15 |
|
|
|
|
| 14 |
| 15 |
|
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.280%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.050%,08/25/2035 (A) |
| 52 |
| 53 |
|
|
|
|
| 52 |
| 53 |
|
Bear Stearns ALT-A Trust, Ser 2004-12, Cl 1A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.937%, VAR ICE LIBOR USD 1 Month+0.700%,01/25/2035 (A) |
| 142 |
| 141 |
|
|
|
|
| 142 |
| 141 |
|
Bear Stearns ALT-A Trust, Ser 2004-6, Cl 1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.877%, VAR ICE LIBOR USD 1 Month+0.640%,07/25/2034 (A) |
| 90 |
| 89 |
|
|
|
|
| 90 |
| 89 |
|
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.413%,10/25/2033 (A)(D) |
| 507 |
| 508 |
|
|
|
|
| 507 |
| 508 |
|
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC6, Cl 1A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,09/25/2035 (A)(D) |
| 1,380 |
| 1,356 |
| 1,380 |
| 1,356 |
|
|
|
|
|
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC8, Cl A3, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, VAR ICE LIBOR USD 1 Month+7.650%,11/25/2035 (A) |
| 4,245 |
| 1,264 |
| 4,245 |
| 1,264 |
|
|
|
|
|
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.521%,06/11/2041 (A)(D) (E) |
| 23 |
| — |
|
|
|
|
| 23 |
| — |
|
BX Trust, Ser 2017-APPL, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.130%, VAR LIBOR USD 1 Month+0.880%,07/15/2034 (A) (E) |
| 590 |
| 590 |
| 590 |
| 590 |
|
|
|
|
|
CD Commercial Mortgage Trust, Ser 2006-CD3, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.688%,10/15/2048 |
| 170 |
| 87 |
| 170 |
| 87 |
|
|
|
|
|
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.398%,12/11/2049 (A)(D) |
| 51 |
| 29 |
| 51 |
| 29 |
|
|
|
|
|
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.443%, 08/10/2049 |
| 294 |
| 290 |
| 162 |
| 160 |
| 132 |
| 130 |
|
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.622%, 08/10/2049 |
| 1,054 |
| 1,042 |
| 517 |
| 511 |
| 537 |
| 531 |
|
CD Commercial Mortgage Trust, Ser 2016-CD2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.526%,11/01/2049 |
| 290 |
| 300 |
|
|
|
|
| 290 |
| 300 |
|
CD Commercial Mortgage Trust, Ser 2017-CD4, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.317%, 05/10/2050 |
| 474 |
| 487 |
| 221 |
| 227 |
| 253 |
| 260 |
|
CD Commercial Mortgage Trust, Ser 2017-CD5, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.060%,08/15/2050 (A)(D) |
| 8,750 |
| 576 |
| 8,750 |
| 576 |
|
|
|
|
|
CD Commercial Mortgage Trust, Ser 2017-CD5, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.431%,08/15/2050 |
| 570 |
| 583 |
| 570 |
| 583 |
|
|
|
|
|
CD Commerical Mortgage Trust, Ser 2017-CD3, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.631%,02/10/2050 |
| 310 |
| 323 |
|
|
|
|
| 310 |
| 323 |
|
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.961%, 04/15/2044 (A)(D) (E) |
| 818 |
| 868 |
| 459 |
| 487 |
| 359 |
| 381 |
|
CFCRE Commercial Mortgage Trust, Ser 2016-C3, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.793%, 01/10/2048 |
| 485 |
| 483 |
| 267 |
| 266 |
| 218 |
| 217 |
|
CFCRE Commercial Mortgage Trust, Ser 2016-C4, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.283%, 05/10/2058 |
| 626 |
| 632 |
| 294 |
| 297 |
| 332 |
| 335 |
|
CFCRE Commercial Mortgage Trust, Ser 2016-C7, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.585%, 12/10/2054 |
| 622 |
| 639 |
| 290 |
| 298 |
| 332 |
| 341 |
|
CFCRE Commercial Mortgage Trust, Ser 2016-C7, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.839%, 12/10/2054 |
| 467 |
| 489 |
| 226 |
| 237 |
| 241 |
| 252 |
|
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.965%, 06/15/2050 |
| 376 |
| 374 |
| 175 |
| 174 |
| 201 |
| 200 |
|
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.367%, 06/15/2050 |
| 494 |
| 507 |
| 230 |
| 236 |
| 264 |
| 271 |
|
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.572%, 06/15/2050 |
| 621 |
| 637 |
| 276 |
| 283 |
| 345 |
| 354 |
|
CGBAM Commercial Mortgage Trust, Ser 2016-IMC, Cl D |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.634%, VAR LIBOR USD 1 Month+5.400%,11/15/2021 (A) (E) |
| 930 |
| 929 |
|
|
|
|
| 930 |
| 929 |
|
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.679%,02/25/2037 (A)(D) |
| 33 |
| 33 |
|
|
|
|
| 33 |
| 33 |
|
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.556%,02/25/2037 (A)(D) |
| 25 |
| 25 |
|
|
|
|
| 25 |
| 25 |
|
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.652%,07/25/2037 (A)(D) |
| 40 |
| 40 |
|
|
|
|
| 40 |
| 40 |
|
Chicago Skyscraper Trust, Ser 2017-SKY, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.484%, VAR LIBOR USD 1 Month+1.250%,02/15/2030 (A) (E) |
| 320 |
| 320 |
|
|
|
|
| 320 |
| 320 |
|
Citigroup Commercial Mortgage Trust 2014-GC19, Ser GC19, Cl E |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%,03/10/2047 (A)(D) (E) |
| 780 |
| 586 |
| 780 |
| 586 |
|
|
|
|
|
Citigroup Commercial Mortgage Trust, Ser 2006-C5, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.482%,10/15/2049 |
| 200 |
| 189 |
| 200 |
| 189 |
|
|
|
|
|
Citigroup Commercial Mortgage Trust, Ser 20098-C7, Cl AJA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.136%,12/10/2049 (A)(D) |
| 140 |
| 82 |
| 140 |
| 82 |
|
|
|
|
|
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.251%,05/10/2035 (E) |
| 1,205 |
| 1,236 |
| 1,205 |
| 1,236 |
|
|
|
|
|
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.093%, 04/10/2046 |
| 374 |
| 382 |
| 174 |
| 178 |
| 200 |
| 204 |
|
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl AAB |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.690%, 04/10/2046 |
| 424 |
| 429 |
| 198 |
| 200 |
| 226 |
| 229 |
|
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.987%, 04/10/2046 |
| 875 |
| 875 |
| 484 |
| 484 |
| 391 |
| 391 |
|
Citigroup Commercial Mortgage Trust, Ser 2013-SMP, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.110%,01/12/2030 (E) |
| 428 |
| 428 |
|
|
|
|
| 428 |
| 428 |
|
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.017%,10/10/2047 |
| 140 |
| 146 |
|
|
|
|
| 140 |
| 146 |
|
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.635%, 10/10/2047 |
| 1,101 |
| 1,148 |
| 514 |
| 536 |
| 587 |
| 612 |
|
Citigroup Commercial Mortgage Trust, Ser 2015-GC29, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.192%, 04/10/2048 |
| 561 |
| 568 |
| 262 |
| 265 |
| 299 |
| 303 |
|
Citigroup Commercial Mortgage Trust, Ser 2015-GC33, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.778%,09/10/2058 |
| 290 |
| 305 |
|
|
|
|
| 290 |
| 305 |
|
Citigroup Commercial Mortgage Trust, Ser 2017-P8, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.465%,09/15/2050 |
| 330 |
| 339 |
|
|
|
|
| 330 |
| 339 |
|
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.714%,09/25/2033 (A)(D) |
| 37 |
| 38 |
|
|
|
|
| 37 |
| 38 |
|
Citigroup Global Markets Mortgage Securities VII, Ser 2003-UP1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%,04/25/2032 (E) |
| 14 |
| 14 |
|
|
|
|
| 14 |
| 14 |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.023%,01/15/2046 (A)(D) (E) |
| 511 |
| — |
|
|
|
|
| 511 |
| — |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, Cl XC, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.742%,12/11/2049 (A)(D) (E) |
| 323 |
| — |
|
|
|
|
| 323 |
| — |
|
Cold Storage Trust, Ser 2017-ICE3, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.484%, VAR LIBOR USD 1 Month+1.250%,04/15/2036 (A) (E) |
| 1,740 |
| 1,751 |
| 1,740 |
| 1,751 |
|
|
|
|
|
COMM Mortgage Trust, Ser 2010-C1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.830%, 07/10/2046 (E) |
| 87 |
| 88 |
| 55 |
| 56 |
| 32 |
| 32 |
|
COMM Mortgage Trust, Ser 2010-C1, Cl XWB, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.665%,07/10/2046 (A)(D) (E) |
| 13,060 |
| 270 |
| 13,060 |
| 270 |
|
|
|
|
|
COMM Mortgage Trust, Ser 2012-CR2, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.838%,08/15/2045 (A)(D) |
| 638 |
| 42 |
|
|
|
|
| 638 |
| 42 |
|
COMM Mortgage Trust, Ser 2012-CR4, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.801%, 10/15/2045 |
| 166 |
| 166 |
| 107 |
| 107 |
| 59 |
| 59 |
|
COMM Mortgage Trust, Ser 2012-CR4, Cl AM |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.251%,10/15/2045 |
| 590 |
| 598 |
|
|
|
|
| 590 |
| 598 |
|
COMM Mortgage Trust, Ser 2012-LC4, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.288%,12/10/2044 |
| 79 |
| 81 |
|
|
|
|
| 79 |
| 81 |
|
COMM Mortgage Trust, Ser 2013-300P, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.353%, 08/10/2030 (E) |
| 835 |
| 902 |
| 620 |
| 670 |
| 215 |
| 232 |
|
COMM Mortgage Trust, Ser 2013-CR10, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.972%, 08/10/2046 |
| 328 |
| 331 |
| 211 |
| 213 |
| 117 |
| 118 |
|
COMM Mortgage Trust, Ser 2013-CR11, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.468%, 08/10/2050 |
| 127 |
| 126 |
| 71 |
| 71 |
| 55 |
| 55 |
|
COMM Mortgage Trust, Ser 2013-CR12, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.295%, 10/10/2046 |
| 25 |
| 25 |
| 14 |
| 14 |
| 11 |
| 11 |
|
COMM Mortgage Trust, Ser 2013-CR12, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.046%, 10/10/2046 |
| 160 |
| 171 |
| 74 |
| 79 |
| 86 |
| 92 |
|
COMM Mortgage Trust, Ser 2013-CR12, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.251%, 10/10/2046 (A)(D) |
| 50 |
| 52 |
| 40 |
| 42 |
| 10 |
| 10 |
|
COMM Mortgage Trust, Ser 2013-CR12, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.762%, 10/10/2046 (A)(D) |
| 120 |
| 127 |
| 90 |
| 95 |
| 30 |
| 32 |
|
COMM Mortgage Trust, Ser 2013-CR12, Cl AM |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 10/10/2046 |
| 130 |
| 138 |
| 100 |
| 106 |
| 30 |
| 32 |
|
COMM Mortgage Trust, Ser 2013-CR12, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.765%, 10/10/2046 |
| 167 |
| 176 |
| 78 |
| 82 |
| 89 |
| 94 |
|
COMM Mortgage Trust, Ser 2013-CR13, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.083%,11/12/2046 (A)(D) |
| 3,935 |
| 139 |
|
|
|
|
| 3,935 |
| 139 |
|
COMM Mortgage Trust, Ser 2013-CR6, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.122%, 03/10/2046 |
| 1,468 |
| 1,469 |
| 719 |
| 719 |
| 749 |
| 750 |
|
COMM Mortgage Trust, Ser 2013-CR6, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.397%,03/10/2046 (E) |
| 299 |
| 300 |
|
|
|
|
| 299 |
| 300 |
|
COMM Mortgage Trust, Ser 2013-CR9, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.834%, 07/10/2045 |
| 1,354 |
| 1,423 |
| 632 |
| 664 |
| 722 |
| 759 |
|
COMM Mortgage Trust, Ser 2013-CR9, Cl E |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.259%,07/10/2045 (A)(D) (E) |
| 780 |
| 609 |
| 780 |
| 609 |
|
|
|
|
|
COMM Mortgage Trust, Ser 2014-CR18, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.387%,07/15/2047 (A)(D) |
| 3,676 |
| 186 |
|
|
|
|
| 3,676 |
| 186 |
|
COMM Mortgage Trust, Ser 2014-CR19, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.873%,08/10/2024 (A)(D) |
| 550 |
| 560 |
| 550 |
| 560 |
|
|
|
|
|
COMM Mortgage Trust, Ser 2014-UBS4, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.694%, 08/10/2047 |
| 366 |
| 383 |
| 170 |
| 178 |
| 196 |
| 205 |
|
COMM Mortgage Trust, Ser 2014-UBS5, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.548%, 09/10/2047 |
| 294 |
| 307 |
| 191 |
| 199 |
| 103 |
| 108 |
|
COMM Mortgage Trust, Ser 2014-UBS6, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.644%, 12/10/2047 |
| 903 |
| 940 |
| 421 |
| 438 |
| 482 |
| 502 |
|
COMM Mortgage Trust, Ser 2015-CR25, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.759%,08/10/2048 |
| 188 |
| 198 |
|
|
|
|
| 188 |
| 198 |
|
COMM Mortgage Trust, Ser 2015-LC19, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.349%,02/10/2048 (A)(D) |
| 6,253 |
| 423 |
|
|
|
|
| 6,253 |
| 423 |
|
COMM Mortgage Trust, Ser 2016-787S, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.545%, 02/10/2036 (E) |
| 960 |
| 988 |
| 650 |
| 669 |
| 310 |
| 319 |
|
COMM Mortgage Trust, Ser 2016-COR1, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.972%, 10/10/2049 |
| 480 |
| 487 |
| 226 |
| 229 |
| 254 |
| 258 |
|
COMM Mortgage Trust, Ser 2016-GCT, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.681%,08/10/2021 |
| 370 |
| 374 |
|
|
|
|
| 370 |
| 374 |
|
COMM Mortgage Trust, Ser 2016-SAVA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.947%,10/15/2018 |
| 1,310 |
| 1,315 |
|
|
|
|
| 1,310 |
| 1,315 |
|
COMM Mortgage Trust, Ser 2017-COR2, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.510%, 09/10/2050 |
| 770 |
| 789 |
| 356 |
| 365 |
| 414 |
| 424 |
|
Commercial Mortgage Pass-Through Certificates, Ser 2006-C3, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.806%,06/15/2038 (A)(D) |
| 124 |
| 64 |
| 124 |
| 64 |
|
|
|
|
|
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.822%, 10/15/2045 |
| 499 |
| 505 |
| 233 |
| 236 |
| 266 |
| 269 |
|
Commercial Mortgage Pass-Through Certificates, Ser 2013-WWP, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.424%,03/10/2031 (E) |
| 100 |
| 105 |
| 100 |
| 105 |
|
|
|
|
|
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.535%,03/10/2047 (A)(D) |
| 2,211 |
| 125 |
|
|
|
|
| 2,211 |
| 125 |
|
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.961%, 03/10/2047 |
| 168 |
| 178 |
| 78 |
| 83 |
| 90 |
| 95 |
|
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS6, Cl AM |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.048%, 12/10/2047 |
| 860 |
| 900 |
| 488 |
| 511 |
| 372 |
| 389 |
|
Core Industrial Trust 2015-TEXW, Ser TEXW, Cl E |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.848%,02/10/2034 (A)(D) (E) |
| 630 |
| 624 |
| 630 |
| 624 |
|
|
|
|
|
Credit Suisse Commercial Mortgage Trust Series 2006-C5, Ser C5, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.373%,12/15/2039 |
| 380 |
| 324 |
| 380 |
| 324 |
|
|
|
|
|
Credit Suisse Commercial Mortgage Trust, Ser 2007-C5, Cl AM |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.869%,09/15/2040 (A)(D) |
| 215 |
| 213 |
| 215 |
| 213 |
|
|
|
|
|
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%,11/25/2033 |
| 66 |
| 67 |
|
|
|
|
| 66 |
| 67 |
|
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%,12/25/2033 |
| 60 |
| 64 |
|
|
|
|
| 60 |
| 64 |
|
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.530%, 10/25/2033 (A)(D) |
| 1,322 |
| 1,317 |
| 925 |
| 922 |
| 397 |
| 395 |
|
Credit Suisse Group Funding Guernsey, Ser 2015-3GNA, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.087%,03/12/2020 |
| 1,086 |
| 1,428 |
|
|
|
|
|
|
|
|
|
Credit Suisse Group Funding Guernsey, Ser 2015-3GNA, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.332%,03/12/2020 |
| 382 |
| 502 |
|
|
|
|
|
|
|
|
|
Credit Suisse Mortgage Capital Certificates, Ser CHOP, Cl G |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.847%, VAR LIBOR USD 1 Month+5.620%,07/15/2032 (A) (E) |
| 1,000 |
| 995 |
| 1,000 |
| 995 |
|
|
|
|
|
Credit Suisse Mortgage Trust, Ser 2014-USA, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.953%,09/15/2037 (E) |
| 250 |
| 259 |
| 250 |
| 259 |
|
|
|
|
|
Credit Suisse Mortgage Trust, Ser 2014-USA, Cl E |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.373%,09/15/2037 (E) |
| 590 |
| 526 |
| 590 |
| 526 |
|
|
|
|
|
Csail 2015-C2 Commercial Mortgage Trust, Ser C2, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.354%,06/15/2057 (A)(D) |
| 635 |
| 577 |
| 635 |
| 577 |
|
|
|
|
|
CSAIL Commercial Mortgage Trust, Ser 2014-C3, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.718%, 08/15/2048 |
| 651 |
| 679 |
| 302 |
| 315 |
| 349 |
| 364 |
|
CSAIL Commercial Mortgage Trust, Ser 2015-C4, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.808%, 11/15/2048 |
| 1,644 |
| 1,722 |
| 762 |
| 798 |
| 882 |
| 924 |
|
CSAIL Commercial Mortgage Trust, Ser 2016-C5, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.533%, 11/15/2048 |
| 202 |
| 211 |
| 112 |
| 117 |
| 90 |
| 94 |
|
CSMC 2015-TWNI Trust, Ser TOWN, Cl F |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.697%, VAR LIBOR USD 1 Month+4.500%,03/15/2028 (A) (E) |
| 650 |
| 650 |
| 650 |
| 650 |
|
|
|
|
|
CSMC Series 2015-4R, Ser 2015-4R, Cl 3A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.507%, VAR ICE LIBOR USD 1 Month+0.310%,10/27/2036 (A) (E) |
| 600 |
| 533 |
| 600 |
| 533 |
|
|
|
|
|
CSMC Trust, Ser 2014-11R, Cl 9A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.372%, VAR ICE LIBOR USD 1 Month+0.140%,10/27/2036 (A) (E) |
| 2,620 |
| 1,683 |
| 2,620 |
| 1,683 |
|
|
|
|
|
CSMC, Ser 2009-2R, Cl 1A16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.403%,09/26/2034 (A)(D) (E) |
| 755 |
| 761 |
|
|
|
|
| 755 |
| 761 |
|
CSMC, Ser 2009-2R, Cl 1A14 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.403%,09/26/2034 (A)(D) (E) |
| 503 |
| 507 |
|
|
|
|
| 503 |
| 507 |
|
CSMC, Ser 2010-3R, Cl 2A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%,12/26/2036 (A)(D) (E) |
| 770 |
| 789 |
|
|
|
|
| 770 |
| 789 |
|
CSMC, Ser 2014-7R, Cl 8A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.185%,07/27/2037 (A)(D) (E) |
| 599 |
| 600 |
|
|
|
|
| 599 |
| 600 |
|
CSMC, Ser 2015-5R, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.066%,09/27/2046 (E) |
| 700 |
| 695 |
|
|
|
|
| 700 |
| 695 |
|
CSMC, Ser 2016-BDWN, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.734%, VAR LIBOR USD 1 Month+4.500%,02/15/2029 (A) (E) |
| 370 |
| 371 |
|
|
|
|
| 370 |
| 371 |
|
DBJPM Mortgage Trust, Ser 2017-C6, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.121%, 06/10/2050 |
| 281 |
| 286 |
| 131 |
| 133 |
| 150 |
| 153 |
|
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.537%,07/10/2044 (E) |
| 100 |
| 106 |
|
|
|
|
| 100 |
| 106 |
|
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.430%, VAR ICE LIBOR USD 1 Month+0.800%,11/19/2044 (A) |
| 869 |
| 805 |
| 869 |
| 805 |
|
|
|
|
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.437%, VAR ICE LIBOR USD 1 Month+2.200%,02/25/2024 (A) |
| 501 |
| 517 |
|
|
|
|
| 501 |
| 517 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.887%, VAR ICE LIBOR USD 1 Month+1.650%,04/25/2024 (A) |
| 338 |
| 342 |
|
|
|
|
| 338 |
| 342 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.837%, VAR ICE LIBOR USD 1 Month+2.600%,12/25/2027 (A) |
| 354 |
| 361 |
|
|
|
|
| 354 |
| 361 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.087%, VAR ICE LIBOR USD 1 Month+2.850%,04/25/2028 (A) |
| 694 |
| 719 |
|
|
|
|
| 694 |
| 719 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA2, Cl M3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.096%, VAR ICE LIBOR USD 1 Month+4.650%,10/25/2028 (A) |
| 360 |
| 404 |
| 360 |
| 404 |
|
|
|
|
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.437%, VAR ICE LIBOR USD 1 Month+1.200%,07/25/2029 (A) |
| 780 |
| 789 |
|
|
|
|
| 780 |
| 789 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA2, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.434%, VAR ICE LIBOR USD 1 Month+1.200%,10/25/2029 (A) |
| 1,369 |
| 1,384 |
| 1,369 |
| 1,384 |
|
|
|
|
|
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.171%, VAR ICE LIBOR USD 1 Month+3.000%,07/25/2024 (A) |
| 4,810 |
| 5,064 |
| 4,810 |
| 5,064 |
|
|
|
|
|
GS Mortgage Securities II, Ser GC30, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.151%,05/10/2050 (A)(D) |
| 680 |
| 672 |
| 680 |
| 672 |
|
|
|
|
|
GS Mortgage Securities Trust 2006-GG8, Ser GG8, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.622%,11/10/2039 |
| 269 |
| 253 |
| 269 |
| 253 |
|
|
|
|
|
GS Mortgage Securities Trust, Ser 2006-GG8, Cl X, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.084%,11/10/2039 (A)(D) (E) |
| 313 |
| — |
|
|
|
|
| 313 |
| — |
|
GS Mortgage Securities Trust, Ser 2007-GG10, Cl AM |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.932%,08/10/2045 (A)(D) |
| 771 |
| 787 |
| 771 |
| 787 |
|
|
|
|
|
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.935%, 05/10/2045 |
| 122 |
| 124 |
| 78 |
| 79 |
| 44 |
| 45 |
|
GS Mortgage Securities Trust, Ser 2013-GC14, Cl AAB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.817%, 08/10/2046 |
| 1,522 |
| 1,599 |
| 711 |
| 747 |
| 811 |
| 852 |
|
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.033%, 11/10/2046 |
| 378 |
| 382 |
| 186 |
| 188 |
| 192 |
| 194 |
|
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.161%, 11/10/2046 (A)(D) |
| 270 |
| 294 |
| 180 |
| 196 |
| 90 |
| 98 |
|
GS Mortgage Securities Trust, Ser 2013-KING, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.706%,12/10/2027 (E) |
| 103 |
| 104 |
|
|
|
|
| 103 |
| 104 |
|
GS Mortgage Securities Trust, Ser 2013-NYC5, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.318%,01/10/2030 (E) |
| 122 |
| 122 |
|
|
|
|
| 122 |
| 122 |
|
GS Mortgage Securities Trust, Ser 2014-GC18, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.801%, 01/10/2047 |
| 425 |
| 447 |
| 197 |
| 207 |
| 228 |
| 240 |
|
GS Mortgage Securities Trust, Ser 2014-GC26, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.215%,11/10/2047 (A)(D) |
| 680 |
| 702 |
| 680 |
| 702 |
|
|
|
|
|
GS Mortgage Securities Trust, Ser 2016-GS3, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.850%, 10/10/2049 |
| 413 |
| 406 |
| 228 |
| 224 |
| 185 |
| 182 |
|
GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.777%, 10/10/2049 |
| 619 |
| 621 |
| 342 |
| 343 |
| 277 |
| 278 |
|
GS Mortgage Securities Trust, Ser 2017-GS7, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.430%, 08/10/2050 |
| 1,170 |
| 1,194 |
| 542 |
| 553 |
| 628 |
| 641 |
|
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.000%,09/19/2027 (A)(D) (E) |
| 20 |
| 20 |
| 20 |
| 20 |
|
|
|
|
|
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.360%, 10/25/2033 (A)(D) |
| 380 |
| 384 |
| 285 |
| 288 |
| 95 |
| 96 |
|
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,09/25/2034 |
| 36 |
| 37 |
|
|
|
|
| 36 |
| 37 |
|
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 3A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.710%,07/25/2035 (A)(D) |
| 3,098 |
| 2,993 |
| 3,098 |
| 2,993 |
|
|
|
|
|
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,01/25/2037 |
| 12 |
| 12 |
|
|
|
|
| 12 |
| 12 |
|
HarborView Mortgage Loan, Ser 2004-3, Cl 1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.636%,05/19/2034 (A)(D) |
| 1,524 |
| 1,554 |
| 1,524 |
| 1,554 |
|
|
|
|
|
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.137%, VAR ICE LIBOR USD 1 Month+0.900%,10/25/2034 (A) |
| 177 |
| 179 |
|
|
|
|
| 177 |
| 179 |
|
Impac CMB Trust Series, Ser 2007-A, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.037%, VAR ICE LIBOR USD 1 Month+0.800%,05/25/2037 (A) (E) |
| 389 |
| 363 |
|
|
|
|
| 389 |
| 363 |
|
Impac Secured Assets Trust, Ser 2004-4, Cl 1A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.097%, VAR ICE LIBOR USD 1 Month+0.860%,02/25/2035 (A) |
| 379 |
| 379 |
|
|
|
|
| 379 |
| 379 |
|
Impac Secured Assets Trust, Ser 2006-2, Cl 2A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.587%, VAR ICE LIBOR USD 1 Month+0.350%,08/25/2036 (A) |
| 29 |
| 28 |
|
|
|
|
| 29 |
| 28 |
|
Impact Funding LLC, Ser 2010-1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.314%, 01/25/2051 (E) |
| 2,268 |
| 2,500 |
| 1,479 |
| 1,630 |
| 789 |
| 870 |
|
IndyMac IMSC Mortgage Loan Trust, Ser 2007-HOA1, Cl A22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.351%, VAR LIBOR USD 1 Month+0.180%,07/25/2047 (A) |
| 1,499 |
| 1,064 |
| 1,499 |
| 1,064 |
|
|
|
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB18, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.502%,06/12/2047 (A)(D) |
| 1,495 |
| 1,233 |
| 1,495 |
| 1,233 |
|
|
|
|
|
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 11/15/2045 (A)(D) |
| 250 |
| 259 |
| 190 |
| 197 |
| 60 |
| 62 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.977%, 11/15/2045 |
| 647 |
| 653 |
| 302 |
| 305 |
| 345 |
| 348 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.052%, 01/15/2047 (A)(D) |
| 130 |
| 138 |
| 100 |
| 106 |
| 30 |
| 32 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.775%, 08/15/2047 |
| 1,242 |
| 1,307 |
| 576 |
| 606 |
| 666 |
| 701 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.711%,09/15/2047 (A)(D) |
| 120 |
| 121 |
|
|
|
|
| 120 |
| 121 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.670%, 09/15/2047 |
| 541 |
| 565 |
| 252 |
| 263 |
| 289 |
| 302 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C24, Cl AS |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.914%,11/15/2047 (A)(D) |
| 610 |
| 633 |
| 610 |
| 633 |
|
|
|
|
|
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.773%, 10/15/2048 |
| 437 |
| 443 |
| 211 |
| 214 |
| 226 |
| 229 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.912%, 10/15/2048 |
| 2,581 |
| 2,570 |
| 1,147 |
| 1,142 |
| 1,434 |
| 1,428 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.227%, 10/15/2048 |
| 357 |
| 363 |
| 166 |
| 169 |
| 191 |
| 194 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.559%, 07/15/2048 |
| 644 |
| 674 |
| 301 |
| 315 |
| 343 |
| 359 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl AS |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.226%, 07/15/2048 (A)(D) |
| 573 |
| 604 |
| 303 |
| 319 |
| 270 |
| 285 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2016-C1, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.316%, 03/15/2049 |
| 1,126 |
| 1,162 |
| 522 |
| 539 |
| 604 |
| 623 |
|
JPMCC Commercial Mortgage Securities Trust, Ser 2017-JP6, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.283%, 07/15/2050 |
| 529 |
| 544 |
| 247 |
| 254 |
| 282 |
| 290 |
|
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.512%,03/15/2050 (A)(D) |
| 970 |
| 1,012 |
|
|
|
|
| 970 |
| 1,012 |
|
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.492%, 03/15/2050 |
| 187 |
| 194 |
| 87 |
| 90 |
| 100 |
| 104 |
|
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.009%,03/15/2050 (A)(D) |
| 740 |
| 758 |
|
|
|
|
| 740 |
| 758 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.449%,06/12/2043 (A)(D) |
| 1,736 |
| 2 |
|
|
|
|
| 1,736 |
| 2 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl A3SF |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.382%, VAR LIBOR USD 1 Month+0.155%,05/15/2047 (A) |
| 42 |
| 42 |
|
|
|
|
| 42 |
| 42 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.695%,02/12/2049 (A)(D) |
| 250 |
| 197 |
| 250 |
| 197 |
|
|
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDP12, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.190%,02/15/2051 (A)(D) |
| 13 |
| 12 |
| 13 |
| 12 |
|
|
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.616%, 11/15/2043 (E) |
| 47 |
| 47 |
| 26 |
| 26 |
| 21 |
| 21 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 08/05/2032 (E) |
| 197 |
| 199 |
| 143 |
| 144 |
| 54 |
| 55 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.311%, 08/05/2032 (E) |
| 1,594 |
| 1,652 |
| 805 |
| 834 |
| 789 |
| 818 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.388%,02/15/2046 (E) |
| 2,495 |
| 2,517 |
| 2,495 |
| 2,517 |
|
|
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.106%, 07/15/2046 (E) |
| 2,027 |
| 2,050 |
| 1,182 |
| 1,195 |
| 846 |
| 855 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.588%,08/15/2046 (A)(D) (E) |
| 296 |
| 322 |
|
|
|
|
| 296 |
| 322 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-CBX, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.483%, 06/15/2045 |
| 727 |
| 755 |
| 339 |
| 352 |
| 388 |
| 403 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.677%, 12/15/2047 |
| 64 |
| 64 |
| 41 |
| 41 |
| 23 |
| 23 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.665%, 01/15/2046 |
| 1,494 |
| 1,505 |
| 698 |
| 703 |
| 796 |
| 802 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.872%, 07/15/2047 |
| 416 |
| 422 |
| 202 |
| 205 |
| 214 |
| 217 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.805%, 07/15/2047 |
| 3,002 |
| 3,159 |
| 500 |
| 526 |
| 2,502 |
| 2,633 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.572%,07/15/2047 (A)(D) |
| 610 |
| 611 |
| 610 |
| 611 |
|
|
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.801%,08/15/2048 |
| 570 |
| 599 |
|
|
|
|
| 570 |
| 599 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-JP1, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.733%, 01/15/2049 |
| 576 |
| 608 |
| 267 |
| 282 |
| 309 |
| 326 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.324%, 08/15/2049 |
| 415 |
| 409 |
| 202 |
| 199 |
| 213 |
| 210 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.713%, 08/15/2049 |
| 600 |
| 598 |
| 308 |
| 307 |
| 292 |
| 291 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP3, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.870%, 08/15/2049 |
| 1,820 |
| 1,792 |
| 980 |
| 965 |
| 840 |
| 827 |
|
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2017-JP5, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.549%, 03/15/2050 |
| 1,373 |
| 1,433 |
| 640 |
| 668 |
| 733 |
| 765 |
|
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.728%,08/25/2034 (A)(D) |
| 122 |
| 123 |
|
|
|
|
| 122 |
| 123 |
|
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.321%,11/25/2033 (A)(D) |
| 61 |
| 62 |
|
|
|
|
| 61 |
| 62 |
|
JPMorgan Mortgage Trust, Ser 2015-5, Cl A9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.859%,05/25/2045 (A)(D) (E) |
| 291 |
| 292 |
|
|
|
|
| 291 |
| 292 |
|
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.251%,02/15/2041 (A)(D) (E) |
| 652 |
| — |
|
|
|
|
| 652 |
| — |
|
Liberty Street Trust, Ser 2016-225L, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.597%, 02/10/2036 (E) |
| 960 |
| 994 |
| 650 |
| 673 |
| 310 |
| 321 |
|
LSTAR Commercial Mortgage Trust, Ser 2015-3, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.729%,04/20/2048 (A)(D) (E) |
| 1,549 |
| 1,554 |
| 1,549 |
| 1,554 |
|
|
|
|
|
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%,05/28/2035 (B) (C) (E) |
| 8 |
| 6 |
|
|
|
|
| 8 |
| 6 |
|
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,08/25/2034 (E) |
| 1,577 |
| 1,484 |
| 1,577 |
| 1,484 |
|
|
|
|
|
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.554%,07/25/2033 (A)(D) |
| 20 |
| 20 |
|
|
|
|
| 20 |
| 20 |
|
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 02/25/2034 (A)(D) |
| 183 |
| 185 |
| 138 |
| 139 |
| 46 |
| 46 |
|
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.707%,12/12/2049 (A)(D) (E) |
| 89 |
| — |
|
|
|
|
| 89 |
| — |
|
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.450%,08/12/2048 (A)(D) |
| 315 |
| 261 |
| 315 |
| 261 |
|
|
|
|
|
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJFL |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.450%,08/12/2048 (A)(D) (E) |
| 41 |
| 34 |
| 41 |
| 34 |
|
|
|
|
|
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.193%,09/12/2049 (A)(D) |
| 880 |
| 762 |
| 880 |
| 762 |
|
|
|
|
|
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21, Ser C21, Cl E |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.012%,03/15/2048 (E) |
| 1,000 |
| 670 |
| 1,000 |
| 670 |
|
|
|
|
|
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22, Ser C22, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.244%,04/15/2048 (A)(D) |
| 630 |
| 622 |
| 630 |
| 622 |
|
|
|
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.930%,11/15/2045 |
| 390 |
| 400 |
|
|
|
|
| 390 |
| 400 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.868%, 11/15/2045 |
| 2 |
| 2 |
| 1 |
| 1 |
| 1 |
| 1 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.964%, 07/15/2046 |
| 188 |
| 188 |
| 104 |
| 104 |
| 84 |
| 84 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.456%,05/15/2046 |
| 80 |
| 82 |
|
|
|
|
| 80 |
| 82 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.970%, 05/15/2046 |
| 59 |
| 59 |
| 38 |
| 38 |
| 21 |
| 21 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.635%,10/15/2048 |
| 250 |
| 261 |
|
|
|
|
| 250 |
| 261 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C27, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.753%, 12/15/2047 |
| 836 |
| 875 |
| 389 |
| 407 |
| 447 |
| 468 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C32, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.720%,12/15/2049 |
| 290 |
| 305 |
|
|
|
|
| 290 |
| 305 |
|
Morgan Stanley Capital I Trust, Ser 2005-HE5, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.867%, VAR ICE LIBOR USD 1 Month+0.630%,09/25/2035 (A) |
| 29 |
| 29 |
|
|
|
|
| 29 |
| 29 |
|
Morgan Stanley Capital I Trust, Ser 2006-IQ12, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.399%,12/15/2043 |
| 591 |
| 477 |
| 591 |
| 477 |
|
|
|
|
|
Morgan Stanley Capital I Trust, Ser 2007-HQ11, Cl X, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.443%,02/12/2044 (A)(D) (E) |
| 1,182 |
| 14 |
|
|
|
|
| 1,182 |
| 14 |
|
Morgan Stanley Capital I Trust, Ser 2013-WLSR, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.695%,01/11/2032 (E) |
| 460 |
| 462 |
|
|
|
|
| 460 |
| 462 |
|
Morgan Stanley Capital I Trust, Ser 2014-MP, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.469%,08/11/2033 (E) |
| 440 |
| 455 |
|
|
|
|
| 440 |
| 455 |
|
Morgan Stanley Capital I Trust, Ser 2015-420, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.727%,10/11/2050 (E) |
| 440 |
| 457 |
|
|
|
|
| 440 |
| 457 |
|
Morgan Stanley Capital I Trust, Ser 2016-BNK2, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.249%,11/15/2049 (A)(D) |
| 3,495 |
| 248 |
|
|
|
|
| 3,495 |
| 248 |
|
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.445%, 08/15/2049 |
| 846 |
| 836 |
| 466 |
| 460 |
| 381 |
| 376 |
|
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl ASB |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.606%, 08/15/2049 |
| 468 |
| 464 |
| 258 |
| 256 |
| 210 |
| 208 |
|
Morgan Stanley Capital I Trust, Ser 2016-UBS9, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.711%, 03/15/2049 |
| 476 |
| 470 |
| 265 |
| 262 |
| 211 |
| 208 |
|
Mortgage Repurchase Agreement Financing Trust Series, Ser 2016-4, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.435%, VAR ICE LIBOR USD 1 Month+1.200%,05/10/2019 (A) (E) |
| 760 |
| 758 |
|
|
|
|
| 760 |
| 758 |
|
MSCG Trust, Ser 2015-ALDR, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.577%,06/07/2035 (A)(D) (E) |
| 250 |
| 249 |
|
|
|
|
| 250 |
| 249 |
|
MSCG Trust, Ser 2016-SNR, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.205%,11/15/2034 (E) |
| 300 |
| 307 |
|
|
|
|
| 300 |
| 307 |
|
New Residential Mortgage Loan Trust, Ser 2017-1A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,02/25/2057 (A)(D) (E) |
| 2,009 |
| 2,103 |
|
|
|
|
| 2,009 |
| 2,103 |
|
New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%,04/25/2057 (A)(D) (E) |
| 1,275 |
| 1,339 |
| 1,275 |
| 1,339 |
|
|
|
|
|
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.138%,03/25/2047 |
| 106 |
| 106 |
|
|
|
|
| 106 |
| 106 |
|
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.957%,03/25/2047 |
| 129 |
| 129 |
|
|
|
|
| 129 |
| 129 |
|
Nomura Resecuritization Trust, Ser 2015-4R, Cl 3A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.549%,02/26/2036 (A)(D) (E) |
| 182 |
| 184 |
|
|
|
|
| 182 |
| 184 |
|
OBP Depositor Trust, Ser 2010-OBP, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.646%,07/15/2045 (E) |
| 560 |
| 591 |
| 560 |
| 591 |
|
|
|
|
|
One Market Plaza Trust, Ser 2017-1MKT, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.614%,02/10/2032 (E) |
| 1,360 |
| 1,413 |
| 1,360 |
| 1,413 |
|
|
|
|
|
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%,02/25/2034 (B) (C) |
| 8 |
| 7 |
|
|
|
|
| 8 |
| 7 |
|
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%,02/25/2034 |
| 30 |
| 31 |
|
|
|
|
| 30 |
| 31 |
|
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,05/25/2035 (E) |
| 1,307 |
| 1,249 |
| 1,307 |
| 1,249 |
|
|
|
|
|
RAMP Trust, Ser 2004-SL1, Cl A8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 11/25/2031 |
| 275 |
| 289 |
| 96 |
| 101 |
| 179 |
| 188 |
|
RAMP Trust, Ser 2005-EFC4, Cl M3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.717%, VAR ICE LIBOR USD 1 Month+0.480%,09/25/2035 (A) |
| 790 |
| 788 |
|
|
|
|
| 790 |
| 788 |
|
RAMP Trust, Ser 2005-EFC5, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.637%, VAR ICE LIBOR USD 1 Month+0.400%,10/25/2035 (A) |
| 89 |
| 89 |
|
|
|
|
| 89 |
| 89 |
|
RAMP Trust, Ser 2006-RZ1, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.637%, VAR ICE LIBOR USD 1 Month+0.400%,03/25/2036 (A) |
| 1,594 |
| 1,580 |
|
|
|
|
| 1,594 |
| 1,580 |
|
RBSCF Trust, Ser 2013-GSP, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.961%, 01/13/2032 (A)(D) (E) |
| 920 |
| 966 |
| 640 |
| 672 |
| 280 |
| 294 |
|
Residential Accredit Loans, Ser 2004-QS7, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,05/25/2034 |
| 171 |
| 174 |
|
|
|
|
| 171 |
| 174 |
|
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,08/25/2019 |
| 27 |
| 27 |
| 27 |
| 27 |
|
|
|
|
|
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.429%, 12/25/2034 (A)(D) |
| 511 |
| 514 |
| 256 |
| 257 |
| 256 |
| 257 |
|
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.872%,01/05/2043 (A)(D) (E) |
| 390 |
| 386 |
|
|
|
|
| 390 |
| 386 |
|
Springleaf Mortgage Loan Trust, Ser 2013-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.780%,12/25/2065 (A)(D) (E) |
| 118 |
| 118 |
|
|
|
|
| 118 |
| 118 |
|
STRU TCW, Ser 1091, Cl COLL |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.490%,02/25/2033 |
| 1,315 |
| 1,343 |
| 1,315 |
| 1,343 |
|
|
|
|
|
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2002-AL1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%,02/25/2032 |
| 39 |
| 39 |
|
|
|
|
| 39 |
| 39 |
|
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-24A, Cl 3A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.388%,07/25/2033 (A)(D) |
| 105 |
| 105 |
|
|
|
|
| 105 |
| 105 |
|
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-37A, Cl 2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.241%,12/25/2033 (A)(D) |
| 32 |
| 32 |
|
|
|
|
| 32 |
| 32 |
|
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2004-5H, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.540%,12/25/2033 |
| 107 |
| 110 |
|
|
|
|
| 107 |
| 110 |
|
Structured Asset Securities, Ser 2005-17, Cl 5A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%,10/25/2035 |
| 731 |
| 609 |
| 731 |
| 609 |
|
|
|
|
|
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.269%,05/10/2045 (A)(D) (E) |
| 2,691 |
| 207 |
|
|
|
|
| 2,691 |
| 207 |
|
UBS Commercial Mortgage Trust, Ser 2017-C3, Cl AS |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.739%,08/15/2050 (A)(D) |
| 330 |
| 336 |
|
|
|
|
| 330 |
| 336 |
|
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.113%, 05/10/2063 |
| 18 |
| 18 |
| 12 |
| 12 |
| 6 |
| 6 |
|
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.499%,12/10/2045 (A)(D) (E) |
| 670 |
| 657 |
| 670 |
| 657 |
|
|
|
|
|
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.712%, 12/10/2045 |
| 63 |
| 63 |
| 35 |
| 35 |
| 28 |
| 28 |
|
VNO Mortgage Trust, Ser 2012-6AVE, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.996%, 11/15/2030 (E) |
| 560 |
| 572 |
| 225 |
| 230 |
| 335 |
| 342 |
|
VNO Mortgage Trust, Ser 2013-PENN, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.808%, 12/13/2029 (E) |
| 1,335 |
| 1,393 |
| 630 |
| 657 |
| 705 |
| 736 |
|
WaMu Mortgage Pass-Through Certificates Trust, Ser 2007-OA1, Cl A1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.844%, VAR 12 Month Treas Avg+0.700%,02/25/2047 (A) |
| 2,464 |
| 2,179 |
| 2,464 |
| 2,179 |
|
|
|
|
|
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.015%,10/25/2033 (A)(D) |
| 80 |
| 82 |
|
|
|
|
| 80 |
| 82 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.129%,08/25/2033 (A)(D) |
| 41 |
| 41 |
|
|
|
|
| 41 |
| 41 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.204%,08/25/2033 (A)(D) |
| 22 |
| 23 |
|
|
|
|
| 22 |
| 23 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.305%,09/25/2033 (A)(D) |
| 68 |
| 69 |
|
|
|
|
| 68 |
| 69 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
14.060%, VAR ICE LIBOR USD 1 Month+17.463%,06/25/2033 (A) |
| 9 |
| 11 |
|
|
|
|
| 9 |
| 11 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%,10/25/2033 |
| 152 |
| 159 |
|
|
|
|
| 152 |
| 159 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.145%,06/25/2034 (A)(D) |
| 49 |
| 50 |
|
|
|
|
| 49 |
| 50 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%,07/25/2034 |
| 128 |
| 138 |
|
|
|
|
| 128 |
| 138 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.017%, VAR ICE LIBOR USD 1 Month+0.780%,10/25/2045 (A) |
| 615 |
| 644 |
|
|
|
|
| 615 |
| 644 |
|
Washington Mutual Mortgage Pass-Through Certificates Trust, Ser 2007-OA2, Cl 2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.821%, VAR 12 Month Treas Avg+0.700%,01/25/2047 (A) |
| 1,510 |
| 1,211 |
| 1,510 |
| 1,211 |
|
|
|
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%,02/25/2018 |
| 1 |
| 1 |
| 1 |
| 1 |
|
|
|
|
|
Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.301%,07/15/2046 (A)(D) |
| 20 |
| 21 |
| 20 |
| 21 |
|
|
|
|
|
Wells Fargo Commercial Mortgage Trust, Ser 2014-LC18, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.405%,12/15/2024 |
| 570 |
| 586 |
| 570 |
| 586 |
|
|
|
|
|
Wells Fargo Commercial Mortgage Trust, Ser 2016-C35, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.176%,07/15/2048 (A)(D) |
| 330 |
| 334 |
|
|
|
|
| 330 |
| 334 |
|
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.065%,11/15/2059 |
| 530 |
| 528 |
|
|
|
|
| 530 |
| 528 |
|
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl XA |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.507%,11/15/2059 (A)(D) |
| 5,718 |
| 497 |
|
|
|
|
| 5,718 |
| 497 |
|
Wells Fargo Commercial Mortgage Trust, Ser 2016-C37, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.794%,11/15/2026 |
| 550 |
| 580 |
| 550 |
| 580 |
|
|
|
|
|
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.318%,05/25/2034 (A)(D) |
| 1 |
| 1 |
|
|
|
|
| 1 |
| 1 |
|
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.328%,12/25/2034 (A)(D) |
| 56 |
| 57 |
|
|
|
|
| 56 |
| 57 |
|
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.354%, 06/25/2034 (A)(D) |
| 673 |
| 683 |
| 552 |
| 560 |
| 121 |
| 123 |
|
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.336%,07/25/2034 (A)(D) |
| 76 |
| 78 |
|
|
|
|
| 76 |
| 78 |
|
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.369%,06/25/2035 (A)(D) |
| 58 |
| 59 |
|
|
|
|
| 58 |
| 59 |
|
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 3A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.172%,04/25/2036 (A)(D) |
| 549 |
| 578 |
|
|
|
|
| 549 |
| 578 |
|
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.600%,03/15/2044 (A)(D) (E) |
| 7,353 |
| 246 |
| 7,353 |
| 246 |
|
|
|
|
|
WFRBS Commercial Mortgage Trust, Ser 2011-C4, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.394%,06/15/2044 (E) |
| 1,513 |
| 1,545 |
| 1,513 |
| 1,545 |
|
|
|
|
|
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.748%,06/15/2045 (A)(D) (E) |
| 321 |
| 17 |
| 321 |
| 17 |
|
|
|
|
|
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.603%,06/15/2045 (A)(D) (E) |
| 347 |
| 18 |
|
|
|
|
| 347 |
| 18 |
|
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.489%,05/15/2045 (A)(D) (E) |
| 1,077 |
| 54 |
|
|
|
|
| 1,077 |
| 54 |
|
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl XA, IO |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.302%,01/15/2024 |
| 3,027 |
| 150 |
|
|
|
|
| 3,027 |
| 150 |
|
WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.213%,08/15/2047 (A)(D) |
| 300 |
| 309 |
|
|
|
|
| 300 |
| 309 |
|
|
|
|
| 179,955 |
|
|
| 110,143 |
|
|
| 69,812 |
|
Total Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $1,288,361) ($ Thousands) |
|
|
| 1,273,680 |
|
|
| 692,656 |
|
|
| 581,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. TREASURY OBLIGATIONS — 61.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 08/15/2045 |
| 58,640 |
| 58,892 |
| 49,895 |
| 50,109 |
| 8,745 |
| 8,783 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.625%, 08/31/2022 (F) |
| 94,185 |
| 92,890 |
| 50,622 |
| 49,926 |
| 43,563 |
| 42,964 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 09/30/2022 |
| 92,092 |
| 91,869 |
| 43,588 |
| 43,482 |
| 48,504 |
| 48,387 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 08/15/2047 |
| 70,790 |
| 69,253 |
| 43,243 |
| 42,304 |
| 27,547 |
| 26,949 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 08/15/2027 (F) |
| 60,769 |
| 60,356 |
| 27,170 |
| 26,985 |
| 33,599 |
| 33,371 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 09/30/2019 |
| 47,050 |
| 46,952 |
| 21,011 |
| 20,967 |
| 26,039 |
| 25,985 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 02/15/2045 |
| 40,385 |
| 37,665 |
| 25,565 |
| 23,843 |
| 14,820 |
| 13,822 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 09/15/2020 (F) |
| 37,383 |
| 37,125 |
| 22,581 |
| 22,425 |
| 14,802 |
| 14,700 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 02/15/2046 |
| 40,771 |
| 37,915 |
| 17,201 |
| 15,996 |
| 23,570 |
| 21,919 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 05/15/2045 |
| 32,840 |
| 33,815 |
| 19,410 |
| 19,986 |
| 13,430 |
| 13,829 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 11/15/2043 |
| 31,770 |
| 37,241 |
| 15,470 |
| 18,134 |
| 16,300 |
| 19,107 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 01/31/2021 |
| 26,300 |
| 26,022 |
| 9,070 |
| 8,974 |
| 17,230 |
| 17,048 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.125%, 12/31/2022 |
| 25,200 |
| 25,383 |
| 8,600 |
| 8,662 |
| 16,600 |
| 16,721 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.000%, 08/15/2018 |
| 27,810 |
| 27,725 |
| 16,080 |
| 16,031 |
| 11,730 |
| 11,694 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.500%, 08/31/2018 |
| 21,185 |
| 21,211 |
| 5,485 |
| 5,492 |
| 15,700 |
| 15,719 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 07/31/2019 (F) |
| 26,549 |
| 26,507 |
| 11,934 |
| 11,915 |
| 14,615 |
| 14,592 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 07/31/2022 |
| 22,730 |
| 22,680 |
| 8,190 |
| 8,172 |
| 14,540 |
| 14,508 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.500%, 08/15/2026 |
| 20,976 |
| 19,641 |
| 5,912 |
| 5,536 |
| 15,064 |
| 14,105 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.250%, 04/30/2019 |
| 13,685 |
| 13,645 |
|
|
|
|
| 13,685 |
| 13,645 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 02/15/2047 |
| 19,816 |
| 20,383 |
| 7,584 |
| 7,801 |
| 12,232 |
| 12,582 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 03/31/2022 |
| 23,715 |
| 23,707 |
| 12,220 |
| 12,216 |
| 11,495 |
| 11,491 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.375%, 07/15/2027 |
| 18,162 |
| 17,971 |
| 10,947 |
| 10,825 |
| 7,215 |
| 7,146 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 01/31/2022 |
| 11,115 |
| 11,120 |
| 384 |
| 384 |
| 10,731 |
| 10,736 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 05/15/2046 |
| 20,238 |
| 18,805 |
| 11,245 |
| 10,449 |
| 8,993 |
| 8,356 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.500%, 05/31/2020 |
| 13,035 |
| 13,007 |
| 10,157 |
| 10,135 |
| 2,878 |
| 2,872 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 02/15/2027 |
| 10,840 |
| 10,774 |
| 10,086 |
| 10,025 |
| 754 |
| 749 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 12/31/2021 |
| 17,615 |
| 17,725 |
| 7,821 |
| 7,870 |
| 9,794 |
| 9,855 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 05/15/2047 |
| 18,690 |
| 19,232 |
| 9,233 |
| 9,501 |
| 9,457 |
| 9,731 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.250%, 08/31/2019 (F) |
| 17,014 |
| 16,941 |
| 8,611 |
| 8,574 |
| 8,403 |
| 8,367 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 07/31/2018 |
| 13,755 |
| 13,760 |
| 5,460 |
| 5,462 |
| 8,295 |
| 8,298 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.625%, 07/31/2020 |
| 8,914 |
| 8,919 |
| 7,126 |
| 7,130 |
| 1,788 |
| 1,789 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 11/15/2046 |
| 8,854 |
| 8,885 |
| 1,754 |
| 1,760 |
| 7,100 |
| 7,125 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.125%, 02/28/2021 |
| 9,283 |
| 9,102 |
| 2,146 |
| 2,104 |
| 7,137 |
| 6,998 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 02/15/2025 |
| 10,775 |
| 10,628 |
| 3,875 |
| 3,822 |
| 6,900 |
| 6,806 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.875%, 02/15/2047 |
| 11,681 |
| 11,511 |
| 6,707 |
| 6,609 |
| 4,974 |
| 4,902 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 11/15/2028 |
| 6,850 |
| 8,790 |
| 1,725 |
| 2,214 |
| 5,125 |
| 6,576 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 08/15/2046 |
| 13,275 |
| 11,672 |
| 7,290 |
| 6,410 |
| 5,985 |
| 5,262 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 10/31/2021 |
| 8,866 |
| 8,930 |
| 5,924 |
| 5,967 |
| 2,942 |
| 2,963 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.125%, 01/15/2019 |
| 9,335 |
| 9,301 |
| 3,605 |
| 3,592 |
| 5,730 |
| 5,709 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 05/15/2030 |
| 5,595 |
| 7,946 |
| 1,630 |
| 2,315 |
| 3,965 |
| 5,631 |
|
U.S. Treasury Bills |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.034%, 01/04/2018 (B) |
| 5,435 |
| 5,420 |
| 5,435 |
| 5,420 |
|
|
|
|
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 11/15/2026 |
| 10,799 |
| 10,523 |
| 5,369 |
| 5,232 |
| 5,430 |
| 5,291 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.500%, 08/15/2020 |
| 9,853 |
| 9,824 |
| 4,986 |
| 4,971 |
| 4,867 |
| 4,853 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.125%, 07/15/2026 |
| 9,219 |
| 9,061 |
| 4,705 |
| 4,672 |
| 4,514 |
| 4,389 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 05/15/2027 |
| 7,888 |
| 7,921 |
| 3,384 |
| 3,398 |
| 4,504 |
| 4,523 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 05/31/2022 |
| 4,445 |
| 4,442 |
|
|
|
|
| 4,445 |
| 4,442 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.750%, 01/31/2023 |
| 7,405 |
| 7,315 |
| 3,225 |
| 3,186 |
| 4,180 |
| 4,129 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.125%, 04/15/2018 |
| 6,830 |
| 6,833 |
| 3,939 |
| 3,941 |
| 2,891 |
| 2,892 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.125%, 09/30/2024 |
| 3,930 |
| 3,920 |
| 3,930 |
| 3,920 |
|
|
|
|
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.125%, 07/31/2021 |
| 4,241 |
| 4,138 |
| 347 |
| 339 |
| 3,894 |
| 3,799 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.000%, 12/31/2017 |
| 3,690 |
| 3,689 |
|
|
|
|
| 3,690 |
| 3,689 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.125%, 04/15/2021 |
| 5,639 |
| 5,657 |
| 3,259 |
| 3,269 |
| 2,381 |
| 2,388 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.625%, 01/15/2024 |
| 3,158 |
| 3,225 |
| 3,000 |
| 3,064 |
| 157 |
| 161 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 11/30/2018 |
| 4,945 |
| 4,943 |
| 2,085 |
| 2,084 |
| 2,860 |
| 2,859 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.625%, 02/15/2043 |
| 2,949 |
| 2,756 |
|
|
|
|
| 2,949 |
| 2,756 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 07/15/2018 |
| 2,378 |
| 2,417 |
|
|
|
|
| 2,378 |
| 2,417 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 04/30/2022 |
| 2,228 |
| 2,226 |
|
|
|
|
| 2,228 |
| 2,226 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.750%, 02/15/2042 |
| 2,351 |
| 2,271 |
| 2,112 |
| 2,041 |
| 238 |
| 230 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.250%, 06/30/2019 |
| 3,031 |
| 3,020 |
| 1,967 |
| 1,960 |
| 1,064 |
| 1,060 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 08/31/2021 |
| 2,200 |
| 2,217 |
| 1,915 |
| 1,930 |
| 285 |
| 287 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.250%, 05/31/2019 |
| 1,915 |
| 1,909 |
|
|
|
|
| 1,915 |
| 1,909 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.816%, 02/15/2045 (B) |
| 7,105 |
| 3,192 |
| 4,000 |
| 1,797 |
| 3,105 |
| 1,395 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 11/15/2045 |
| 2,536 |
| 2,608 |
| 1,726 |
| 1,775 |
| 810 |
| 833 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.125%, 04/15/2022 |
| 2,854 |
| 2,854 |
| 1,641 |
| 1,641 |
| 1,213 |
| 1,213 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.375%, 07/15/2023 |
| 1,399 |
| 1,417 |
| 1,399 |
| 1,417 |
|
|
|
|
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 08/31/2020 |
| 2,658 |
| 2,639 |
| 1,239 |
| 1,230 |
| 1,419 |
| 1,409 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.772%, 08/15/2045 (B) |
| 4,930 |
| 2,179 |
| 2,120 |
| 937 |
| 2,810 |
| 1,242 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.750%, 12/31/2020 |
| 2,230 |
| 2,234 |
| 1,031 |
| 1,033 |
| 1,199 |
| 1,201 |
|
U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 02/15/2029 |
| 1,620 |
| 2,086 |
| 750 |
| 966 |
| 870 |
| 1,120 |
|
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, 02/15/2044 |
| 861 |
| 950 |
| 798 |
| 881 |
| 63 |
| 69 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 08/31/2024 |
| 1,428 |
| 1,402 |
| 664 |
| 652 |
| 764 |
| 750 |
|
U.S. Treasury Bills |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.115%, 03/01/2018 (B) (G) (H) |
| 517 |
| 515 |
| 297 |
| 296 |
| 220 |
| 219 |
|
Total U.S. Treasury Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $1,192,297) ($ Thousands) |
|
|
| 1,191,699 |
|
|
| 596,156 |
|
|
| 595,543 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CORPORATE OBLIGATIONS — 56.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary — 4.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
1011778 BC ULC / New Red Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 10/15/2025 (E) |
| 180 |
| 182 |
| 180 |
| 182 |
|
|
|
|
|
21st Century Fox America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.200%, 12/15/2034 |
| 65 |
| 81 |
| 65 |
| 81 |
|
|
|
|
|
21st Century Fox America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.650%, 11/15/2037 (F) |
| 205 |
| 270 |
| 180 |
| 237 |
| 25 |
| 33 |
|
21st Century Fox America |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.250%, 05/18/2018 |
| 2,520 |
| 2,603 |
| 1,500 |
| 1,549 |
| 1,020 |
| 1,054 |
|
21st Century Fox America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.150%, 02/15/2041 |
| 15 |
| 19 |
|
|
|
|
| 15 |
| 19 |
|
21st Century Fox America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.900%, 08/15/2039 |
| 10 |
| 13 |
|
|
|
|
| 10 |
| 13 |
|
21st Century Fox America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 01/09/2038 |
| 20 |
| 26 |
|
|
|
|
| 20 |
| 26 |
|
21st Century Fox America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.150%, 03/01/2037 |
| 20 |
| 25 |
|
|
|
|
| 20 |
| 25 |
|
Altice Financing |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.625%, 02/15/2023 (E) |
| 400 |
| 424 |
| 400 |
| 424 |
|
|
|
|
|
Amazon.com |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 08/22/2027 (E) (F) |
| 3,367 |
| 3,392 |
| 2,164 |
| 2,180 |
| 1,203 |
| 1,212 |
|
Amazon.com |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 08/22/2037 (E) |
| 540 |
| 549 |
| 300 |
| 305 |
| 240 |
| 244 |
|
Amazon.com |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 08/22/2057 (E) |
| 253 |
| 259 |
| 118 |
| 121 |
| 135 |
| 138 |
|
Amazon.com |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.900%, 08/21/2020 (E) (F) |
| 1,526 |
| 1,530 |
| 709 |
| 711 |
| 817 |
| 819 |
|
Amazon.com |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 02/22/2023 (E) |
| 1,626 |
| 1,622 |
| 753 |
| 751 |
| 873 |
| 871 |
|
Amazon.com |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.950%, 12/05/2044 |
| 500 |
| 578 |
| 360 |
| 416 |
| 140 |
| 162 |
|
Amazon.com |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%, 08/22/2024 (E) |
| 1,893 |
| 1,900 |
| 538 |
| 540 |
| 1,355 |
| 1,360 |
|
Amazon.com |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.050%, 08/22/2047 (E) |
| 1,010 |
| 1,029 |
| 535 |
| 545 |
| 475 |
| 484 |
|
American Axle & Manufacturing |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.625%, 10/15/2022 |
| 380 |
| 392 |
| 380 |
| 392 |
|
|
|
|
|
American Honda Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 09/21/2020 (E) |
| 1,560 |
| 1,642 |
| 1,065 |
| 1,121 |
| 495 |
| 521 |
|
AutoZone |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 06/01/2027 |
| 945 |
| 954 |
| 440 |
| 444 |
| 505 |
| 510 |
|
BMW US Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 04/06/2020 (E) |
| 1,190 |
| 1,197 |
| 555 |
| 558 |
| 635 |
| 639 |
|
Burger King Worldwide |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 04/01/2022 (E) |
| 172 |
| 177 |
| 172 |
| 177 |
|
|
|
|
|
CBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 02/15/2023 (F) |
| 1,455 |
| 1,435 |
| 675 |
| 666 |
| 780 |
| 769 |
|
CBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.375%, 02/15/2028 |
| 725 |
| 704 |
| 340 |
| 330 |
| 385 |
| 374 |
|
CCO Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 05/01/2027 (E) |
| 160 |
| 162 |
| 160 |
| 162 |
|
|
|
|
|
Charter Communications Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.384%, 10/23/2035 |
| 20 |
| 24 |
| 10 |
| 12 |
| 10 |
| 12 |
|
Charter Communications Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.908%, 07/23/2025 |
| 1,300 |
| 1,390 |
| 580 |
| 620 |
| 720 |
| 770 |
|
Charter Communications Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.464%, 07/23/2022 |
| 2,710 |
| 2,867 |
| 1,900 |
| 2,010 |
| 810 |
| 857 |
|
Charter Communications Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 05/01/2047 (E) |
| 1,092 |
| 1,135 |
| 478 |
| 497 |
| 614 |
| 638 |
|
Charter Communications Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 03/15/2028 (E) |
| 690 |
| 698 |
| 320 |
| 324 |
| 370 |
| 374 |
|
Charter Communications Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.484%, 10/23/2045 |
| 660 |
| 774 |
| 410 |
| 481 |
| 250 |
| 293 |
|
Charter Communications Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 02/15/2028 (E) |
| 570 |
| 558 |
| 265 |
| 259 |
| 305 |
| 299 |
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 02/15/2028 |
| 1,895 |
| 1,888 |
| 879 |
| 876 |
| 1,016 |
| 1,012 |
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.350%, 01/15/2027 |
| 610 |
| 570 |
| 285 |
| 266 |
| 325 |
| 304 |
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.950%, 08/15/2037 |
| 20 |
| 28 |
| 20 |
| 28 |
|
|
|
|
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.050%, 03/15/2033 |
| 90 |
| 123 |
|
|
|
|
| 90 |
| 123 |
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 08/15/2047 |
| 250 |
| 254 |
| 115 |
| 117 |
| 135 |
| 137 |
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 08/15/2034 |
| 220 |
| 234 |
| 200 |
| 213 |
| 20 |
| 21 |
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 08/15/2035 |
| 1,190 |
| 1,290 |
| 315 |
| 341 |
| 875 |
| 949 |
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.550%, 07/01/2039 |
| 80 |
| 107 |
| 80 |
| 107 |
|
|
|
|
|
Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.400%, 03/01/2040 |
| 100 |
| 134 |
| 100 |
| 134 |
|
|
|
|
|
Comcast Cable Communications Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
10.125%, 04/15/2022 |
| 45 |
| 58 |
|
|
|
|
| 45 |
| 58 |
|
Comcast Cable Communications Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
9.455%, 11/15/2022 |
| 180 |
| 239 |
|
|
|
|
| 180 |
| 239 |
|
Daimler Finance North America |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 08/01/2018 (E) |
| 1,725 |
| 1,734 |
| 735 |
| 739 |
| 990 |
| 995 |
|
Daimler Finance North America |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.300%, 01/06/2020 (E) |
| 1,520 |
| 1,527 |
| 830 |
| 834 |
| 690 |
| 693 |
|
Discovery Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.950%, 05/15/2042 |
| 255 |
| 253 |
| 120 |
| 119 |
| 135 |
| 134 |
|
Discovery Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.200%, 09/20/2047 |
| 294 |
| 298 |
| 136 |
| 138 |
| 158 |
| 160 |
|
Discovery Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 03/20/2028 |
| 479 |
| 475 |
| 222 |
| 220 |
| 257 |
| 255 |
|
Discovery Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 04/01/2043 |
| 505 |
| 492 |
| 235 |
| 229 |
| 270 |
| 263 |
|
DISH DBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 06/01/2021 |
| 80 |
| 88 |
| 80 |
| 88 |
|
|
|
|
|
DISH DBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 11/15/2024 |
| 570 |
| 598 |
| 570 |
| 598 |
|
|
|
|
|
DISH DBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 07/15/2022 |
| 180 |
| 191 |
| 180 |
| 191 |
|
|
|
|
|
Dollar Tree |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 03/01/2023 |
| 240 |
| 253 |
| 240 |
| 253 |
|
|
|
|
|
ERAC USA Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 12/01/2026 (E) |
| 1,066 |
| 1,046 |
| 494 |
| 485 |
| 572 |
| 561 |
|
ERAC USA Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 11/01/2023 (E) |
| 295 |
| 289 |
| 135 |
| 132 |
| 160 |
| 157 |
|
ERAC USA Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 02/15/2045 (E) |
| 215 |
| 213 |
| 100 |
| 99 |
| 115 |
| 114 |
|
Fiat Chrysler Automobiles |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/15/2020 |
| 200 |
| 208 |
| 200 |
| 208 |
|
|
|
|
|
Ford Motor |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.291%, 12/08/2046 (F) |
| 1,010 |
| 1,053 |
| 470 |
| 490 |
| 540 |
| 563 |
|
Ford Motor Credit |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.339%, 03/28/2022 |
| 1,140 |
| 1,159 |
| 530 |
| 539 |
| 610 |
| 620 |
|
Ford Motor Credit |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.979%, 08/03/2022 |
| 2,125 |
| 2,116 |
| 990 |
| 986 |
| 1,135 |
| 1,130 |
|
Ford Motor Credit |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.810%, 01/09/2024 |
| 695 |
| 709 |
| 360 |
| 367 |
| 335 |
| 342 |
|
Ford Motor Credit |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.551%, 10/05/2018 |
| 750 |
| 755 |
|
|
|
|
| 750 |
| 755 |
|
Ford Motor Credit |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.597%, 11/04/2019 |
| 1,475 |
| 1,487 |
| 775 |
| 781 |
| 700 |
| 706 |
|
Ford Motor Credit |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 08/02/2021 |
| 580 |
| 645 |
| 230 |
| 256 |
| 350 |
| 389 |
|
Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 03/12/2019 |
| 200 |
| 201 |
|
|
|
|
| 200 |
| 201 |
|
General Motors |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/02/2018 |
| 1,000 |
| 1,016 |
| 1,000 |
| 1,016 |
|
|
|
|
|
General Motors |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 04/01/2038 |
| 885 |
| 908 |
| 410 |
| 421 |
| 475 |
| 487 |
|
General Motors |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.400%, 04/01/2048 (F) |
| 465 |
| 482 |
| 216 |
| 224 |
| 249 |
| 258 |
|
General Motors |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.600%, 04/01/2036 |
| 670 |
| 796 |
| 670 |
| 796 |
|
|
|
|
|
General Motors |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.112%, VAR ICE LIBOR USD 3 Month+0.800%, 08/07/2020 (A) |
| 1,000 |
| 1,001 |
|
|
|
|
| 1,000 |
| 1,001 |
|
General Motors |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 10/02/2023 |
| 315 |
| 341 |
|
|
|
|
| 315 |
| 341 |
|
General Motors |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 10/02/2043 (F) |
| 260 |
| 297 |
| 100 |
| 114 |
| 160 |
| 183 |
|
General Motors |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 10/01/2027 |
| 422 |
| 428 |
| 196 |
| 199 |
| 226 |
| 229 |
|
General Motors Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 01/17/2027 (F) |
| 2,000 |
| 2,055 |
| 990 |
| 1,017 |
| 1,010 |
| 1,038 |
|
General Motors Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 05/15/2023 |
| 110 |
| 115 |
| 110 |
| 115 |
|
|
|
|
|
General Motors Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 05/15/2018 |
| 60 |
| 61 |
| 60 |
| 61 |
|
|
|
|
|
General Motors Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 09/25/2021 |
| 180 |
| 191 |
| 180 |
| 191 |
|
|
|
|
|
General Motors Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 04/10/2022 |
| 120 |
| 121 |
| 90 |
| 91 |
| 30 |
| 30 |
|
General Motors Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 07/13/2020 |
| 118 |
| 121 |
|
|
|
|
| 118 |
| 121 |
|
Goodyear Tire & Rubber |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 11/15/2023 |
| 220 |
| 230 |
| 220 |
| 230 |
|
|
|
|
|
Goodyear Tire & Rubber |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 05/31/2026 |
| 140 |
| 146 |
| 140 |
| 146 |
|
|
|
|
|
Grupo Televisa |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 05/13/2045 |
| 495 |
| 497 |
| 270 |
| 271 |
| 225 |
| 226 |
|
Hilton Worldwide Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 04/01/2027 |
| 290 |
| 305 |
| 290 |
| 305 |
|
|
|
|
|
Historic TW |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.625%, 05/15/2029 |
| 122 |
| 152 |
|
|
|
|
| 122 |
| 152 |
|
Home Depot |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 04/01/2046 |
| 48 |
| 52 |
|
|
|
|
| 48 |
| 52 |
|
Home Depot |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 02/15/2024 |
| 66 |
| 70 |
|
|
|
|
| 66 |
| 70 |
|
Hyundai Capital America |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.125%, 10/02/2017 (E) |
| 140 |
| 140 |
| 140 |
| 140 |
|
|
|
|
|
Hyundai Capital America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 10/30/2018 (E) |
| 38 |
| 38 |
|
|
|
|
| 38 |
| 38 |
|
Hyundai Capital America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 09/20/2022 (E) (F) |
| 841 |
| 839 |
| 389 |
| 388 |
| 452 |
| 451 |
|
Lennar |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/30/2024 |
| 170 |
| 175 |
| 170 |
| 175 |
|
|
|
|
|
McDonald’s MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.350%, 03/01/2018 |
| 100 |
| 101 |
|
|
|
|
| 100 |
| 101 |
|
McDonald’s MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 12/09/2045 |
| 1,006 |
| 1,133 |
| 467 |
| 526 |
| 539 |
| 607 |
|
McDonald’s MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/01/2027 (F) |
| 570 |
| 585 |
| 450 |
| 462 |
| 120 |
| 123 |
|
McDonald’s MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 12/09/2020 |
| 570 |
| 581 |
| 265 |
| 270 |
| 305 |
| 311 |
|
McDonald’s MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 01/30/2026 |
| 140 |
| 146 |
|
|
|
|
| 140 |
| 146 |
|
Myriad International Holdings BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.850%, 07/06/2027 (E) |
| 550 |
| 569 |
| 550 |
| 569 |
|
|
|
|
|
NBCUniversal Enterprise |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.974%, 04/15/2019 (E) |
| 200 |
| 201 |
|
|
|
|
| 200 |
| 201 |
|
NBCUniversal Media |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.450%, 01/15/2043 |
| 165 |
| 176 |
| 75 |
| 80 |
| 90 |
| 96 |
|
NBCUniversal Media |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 04/01/2041 |
| 50 |
| 64 |
|
|
|
|
| 50 |
| 64 |
|
NBCUniversal Media |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 04/01/2021 |
| 270 |
| 290 |
| 270 |
| 290 |
|
|
|
|
|
NCL |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 11/15/2020 (E) |
| 310 |
| 318 |
| 310 |
| 318 |
|
|
|
|
|
NCL |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 12/15/2021 (E) |
| 40 |
| 42 |
| 40 |
| 42 |
|
|
|
|
|
Netflix |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 02/15/2025 |
| 110 |
| 120 |
| 110 |
| 120 |
|
|
|
|
|
Netflix |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 02/15/2022 |
| 50 |
| 55 |
| 50 |
| 55 |
|
|
|
|
|
Newell Brands |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 04/01/2021 |
| 230 |
| 235 |
| 170 |
| 174 |
| 60 |
| 61 |
|
Newell Brands |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 04/01/2023 |
| 420 |
| 441 |
| 290 |
| 304 |
| 130 |
| 137 |
|
Newell Brands |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 04/01/2026 |
| 380 |
| 400 |
| 260 |
| 274 |
| 120 |
| 126 |
|
QVC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 03/15/2043 |
| 30 |
| 30 |
| 20 |
| 20 |
| 10 |
| 10 |
|
SFR Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.375%, 05/01/2026 (E) |
| 400 |
| 432 |
| 400 |
| 432 |
|
|
|
|
|
Taylor Morrison Communities |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 04/15/2021 (E) |
| 460 |
| 472 |
| 460 |
| 472 |
|
|
|
|
|
Time Warner |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 02/15/2027 |
| 1,735 |
| 1,735 |
| 295 |
| 295 |
| 1,440 |
| 1,440 |
|
Time Warner |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.570%, 02/01/2024 |
| 30 |
| 37 |
|
|
|
|
| 30 |
| 37 |
|
Time Warner |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 03/29/2041 |
| 185 |
| 222 |
| 185 |
| 222 |
|
|
|
|
|
Time Warner |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.550%, 06/01/2024 |
| 1,750 |
| 1,780 |
| 1,365 |
| 1,388 |
| 385 |
| 392 |
|
Time Warner |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.850%, 07/15/2045 |
| 105 |
| 107 |
| 50 |
| 51 |
| 55 |
| 56 |
|
Time Warner |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 03/29/2021 |
| 730 |
| 786 |
| 730 |
| 786 |
|
|
|
|
|
Time Warner |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 10/15/2041 |
| 302 |
| 326 |
|
|
|
|
| 302 |
| 326 |
|
Time Warner Cable |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.550%, 05/01/2037 |
| 390 |
| 458 |
| 145 |
| 170 |
| 245 |
| 288 |
|
Time Warner Cable |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 11/15/2040 |
| 130 |
| 143 |
|
|
|
|
| 130 |
| 143 |
|
Time Warner Cable |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 02/01/2020 |
| 320 |
| 338 |
|
|
|
|
| 320 |
| 338 |
|
Time Warner Cable |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.300%, 07/01/2038 |
| 530 |
| 665 |
| 420 |
| 527 |
| 110 |
| 138 |
|
Time Warner Cable |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.250%, 04/01/2019 |
| 2,465 |
| 2,680 |
| 2,265 |
| 2,463 |
| 200 |
| 217 |
|
Time Warner Cable |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 07/01/2018 |
| 40 |
| 41 |
|
|
|
|
| 40 |
| 41 |
|
Time Warner Cable |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 09/01/2041 |
| 44 |
| 46 |
|
|
|
|
| 44 |
| 46 |
|
Time Warner Entertainment |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.375%, 07/15/2033 |
| 270 |
| 367 |
| 270 |
| 367 |
|
|
|
|
|
TJX |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 09/15/2026 |
| 120 |
| 112 |
|
|
|
|
| 120 |
| 112 |
|
Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.250%, 10/05/2017 |
| 1,400 |
| 1,400 |
| 1,150 |
| 1,150 |
| 250 |
| 250 |
|
Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.100%, 01/17/2019 |
| 174 |
| 175 |
|
|
|
|
| 174 |
| 175 |
|
Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.600%, 01/11/2022 |
| 1,680 |
| 1,700 |
| 820 |
| 830 |
| 860 |
| 870 |
|
United Business Media |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 11/03/2020 (E) |
| 490 |
| 514 |
| 490 |
| 514 |
|
|
|
|
|
Viacom |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.850%, 12/15/2034 (F) |
| 571 |
| 538 |
| 264 |
| 249 |
| 307 |
| 289 |
|
Viacom |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 09/01/2023 |
| 130 |
| 134 |
| 100 |
| 103 |
| 30 |
| 31 |
|
Viacom |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 04/01/2024 |
| 130 |
| 130 |
| 100 |
| 100 |
| 30 |
| 30 |
|
Viacom |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 03/15/2043 |
| 280 |
| 241 |
| 130 |
| 112 |
| 150 |
| 129 |
|
WPP Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 09/07/2042 |
| 60 |
| 62 |
|
|
|
|
| 60 |
| 62 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 81,031 |
|
|
| 45,564 |
|
|
| 35,467 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples — 4.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Alimentation Couche-Tard |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.550%, 07/26/2027 (E) (F) |
| 1,545 |
| 1,558 |
| 415 |
| 419 |
| 1,130 |
| 1,139 |
|
Alimentation Couche-Tard |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 07/26/2022 (E) |
| 1,500 |
| 1,505 |
| 695 |
| 697 |
| 805 |
| 808 |
|
Altria Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 05/05/2021 |
| 200 |
| 216 |
| 20 |
| 21 |
| 180 |
| 195 |
|
Altria Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.850%, 08/09/2022 |
| 190 |
| 194 |
|
|
|
|
| 190 |
| 194 |
|
Altria Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
9.250%, 08/06/2019 |
| 1,250 |
| 1,416 |
| 1,250 |
| 1,416 |
|
|
|
|
|
Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 02/01/2023 (F) |
| 3,987 |
| 4,133 |
| 2,084 |
| 2,160 |
| 1,903 |
| 1,973 |
|
Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.900%, 02/01/2046 (F) |
| 4,882 |
| 5,515 |
| 2,846 |
| 3,215 |
| 2,036 |
| 2,300 |
|
Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.650%, 02/01/2026 |
| 1,996 |
| 2,065 |
| 1,014 |
| 1,049 |
| 982 |
| 1,016 |
|
Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.650%, 02/01/2021 |
| 2,955 |
| 3,003 |
| 1,520 |
| 1,545 |
| 1,435 |
| 1,458 |
|
Anheuser-Busch InBev Worldwide |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 04/15/2020 |
| 430 |
| 462 |
| 430 |
| 462 |
|
|
|
|
|
Anheuser-Busch InBev Worldwide |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 07/15/2022 (F) |
| 750 |
| 757 |
| 330 |
| 333 |
| 420 |
| 424 |
|
Anheuser-Busch InBev Worldwide |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.750%, 01/15/2019 |
| 18 |
| 19 |
|
|
|
|
| 18 |
| 19 |
|
Anheuser-Busch InBev Worldwide |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 01/15/2020 |
| 1,140 |
| 1,226 |
| 1,140 |
| 1,226 |
|
|
|
|
|
Anheuser-Busch InBev Worldwide |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 07/15/2042 |
| 230 |
| 221 |
|
|
|
|
| 230 |
| 221 |
|
BAT Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.557%, 08/15/2027 (E) |
| 2,940 |
| 2,970 |
| 1,751 |
| 1,769 |
| 1,189 |
| 1,201 |
|
BAT Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.764%, 08/15/2022 (E) (F) |
| 3,516 |
| 3,535 |
| 1,822 |
| 1,832 |
| 1,694 |
| 1,703 |
|
BAT Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.222%, 08/15/2024 (E) |
| 890 |
| 892 |
| 412 |
| 413 |
| 478 |
| 479 |
|
BAT Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.540%, 08/15/2047 (E) |
| 1,315 |
| 1,353 |
| 775 |
| 797 |
| 540 |
| 556 |
|
BAT Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.297%, 08/14/2020 (E) |
| 666 |
| 668 |
| 308 |
| 309 |
| 358 |
| 359 |
|
Church & Dwight |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.450%, 08/01/2022 |
| 340 |
| 339 |
| 160 |
| 159 |
| 180 |
| 180 |
|
Church & Dwight |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 08/01/2027 |
| 554 |
| 548 |
| 257 |
| 254 |
| 297 |
| 294 |
|
Church & Dwight |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 08/01/2047 |
| 340 |
| 337 |
| 160 |
| 159 |
| 180 |
| 178 |
|
Coca-Cola Femsa |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 11/26/2018 |
| 626 |
| 630 |
| 302 |
| 304 |
| 324 |
| 326 |
|
Costco Wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 02/15/2022 |
| 56 |
| 56 |
|
|
|
|
| 56 |
| 56 |
|
Costco Wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.300%, 05/18/2022 |
| 1,615 |
| 1,617 |
| 750 |
| 751 |
| 865 |
| 866 |
|
Costco Wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 05/18/2027 |
| 1,620 |
| 1,624 |
| 750 |
| 752 |
| 870 |
| 872 |
|
Costco Wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 05/18/2024 |
| 1,405 |
| 1,408 |
| 650 |
| 651 |
| 755 |
| 757 |
|
Cott Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 04/01/2025 (E) |
| 220 |
| 229 |
| 220 |
| 229 |
|
|
|
|
|
CVS Caremark |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 12/01/2022 |
| 510 |
| 511 |
|
|
|
|
| 510 |
| 511 |
|
CVS Health |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/20/2022 |
| 210 |
| 218 |
| 100 |
| 104 |
| 110 |
| 114 |
|
CVS Health |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 07/20/2025 |
| 515 |
| 537 |
| 266 |
| 277 |
| 249 |
| 260 |
|
CVS Health |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 07/20/2045 (F) |
| 2,285 |
| 2,628 |
| 1,750 |
| 2,013 |
| 535 |
| 615 |
|
CVS Pass-Through Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.926%, 01/10/2034 (E) |
| 83 |
| 94 |
|
|
|
|
| 83 |
| 94 |
|
Danone |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.589%, 11/02/2023 (E) |
| 1,370 |
| 1,346 |
| 1,040 |
| 1,022 |
| 330 |
| 324 |
|
Danone |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.947%, 11/02/2026 (E) |
| 750 |
| 727 |
| 250 |
| 242 |
| 500 |
| 485 |
|
Danone |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.077%, 11/02/2021 (E) |
| 230 |
| 226 |
|
|
|
|
| 230 |
| 226 |
|
Diageo Capital PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.828%, 07/15/2020 |
| 1,450 |
| 1,562 |
| 1,450 |
| 1,562 |
|
|
|
|
|
Diageo Investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 05/11/2022 |
| 580 |
| 595 |
|
|
|
|
| 580 |
| 595 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.200%, 07/15/2045 |
| 510 |
| 559 |
| 60 |
| 66 |
| 450 |
| 493 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 07/15/2035 |
| 250 |
| 272 |
| 180 |
| 196 |
| 70 |
| 76 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/06/2022 (F) |
| 1,460 |
| 1,512 |
| 840 |
| 870 |
| 620 |
| 642 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%, 07/02/2020 |
| 1,755 |
| 1,787 |
| 815 |
| 830 |
| 940 |
| 957 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 08/23/2018 |
| 225 |
| 234 |
|
|
|
|
| 225 |
| 234 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 07/15/2022 |
| 1,285 |
| 1,330 |
| 640 |
| 662 |
| 645 |
| 668 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 06/04/2042 |
| 115 |
| 122 |
| 50 |
| 53 |
| 65 |
| 69 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 02/10/2020 |
| 331 |
| 355 |
| 315 |
| 338 |
| 16 |
| 17 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 07/15/2025 |
| 1,070 |
| 1,102 |
| 700 |
| 721 |
| 370 |
| 381 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 01/26/2039 |
| 49 |
| 63 |
|
|
|
|
| 49 |
| 63 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 02/09/2040 |
| 365 |
| 457 |
| 225 |
| 282 |
| 140 |
| 175 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 06/01/2046 |
| 2,253 |
| 2,224 |
| 1,413 |
| 1,395 |
| 840 |
| 829 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 06/01/2026 (F) |
| 1,450 |
| 1,390 |
| 725 |
| 695 |
| 725 |
| 695 |
|
Kroger |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 11/01/2021 |
| 900 |
| 908 |
| 375 |
| 378 |
| 525 |
| 530 |
|
Lamb Weston Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 11/01/2024 (E) |
| 210 |
| 219 |
| 210 |
| 219 |
|
|
|
|
|
Molson Coors Brewing |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/01/2022 |
| 100 |
| 104 |
| 100 |
| 104 |
|
|
|
|
|
Mondelez International Holdings Netherlands BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 10/28/2021 (E) |
| 4,135 |
| 4,061 |
| 2,030 |
| 1,994 |
| 2,105 |
| 2,067 |
|
Mondelez International Holdings Netherlands BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.625%, 10/28/2019 (E) |
| 3,450 |
| 3,423 |
| 2,055 |
| 2,039 |
| 1,395 |
| 1,384 |
|
PepsiCo |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/05/2042 |
| 160 |
| 165 |
| 110 |
| 113 |
| 50 |
| 52 |
|
PepsiCo |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 10/22/2044 |
| 100 |
| 107 |
|
|
|
|
| 100 |
| 107 |
|
PepsiCo |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.100%, 07/17/2022 |
| 59 |
| 61 |
|
|
|
|
| 59 |
| 61 |
|
PepsiCo |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 08/25/2021 |
| 31 |
| 32 |
|
|
|
|
| 31 |
| 32 |
|
Pernod Ricard |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.450%, 01/15/2022 (E) |
| 550 |
| 589 |
| 180 |
| 193 |
| 370 |
| 396 |
|
Philip Morris International |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 02/21/2020 |
| 2,410 |
| 2,412 |
| 1,130 |
| 1,131 |
| 1,280 |
| 1,281 |
|
Philip Morris International |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.900%, 11/15/2021 |
| 370 |
| 378 |
| 370 |
| 378 |
|
|
|
|
|
Philip Morris International |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/20/2042 |
| 130 |
| 141 |
| 60 |
| 65 |
| 70 |
| 76 |
|
Philip Morris International |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 08/22/2022 |
| 590 |
| 590 |
| 340 |
| 340 |
| 250 |
| 250 |
|
Reckitt Benckiser Treasury Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 06/26/2024 (E) |
| 2,680 |
| 2,661 |
| 1,250 |
| 1,241 |
| 1,430 |
| 1,420 |
|
Reynolds American |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 06/12/2020 |
| 216 |
| 221 |
| 162 |
| 166 |
| 54 |
| 55 |
|
Reynolds American |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.850%, 08/15/2045 |
| 1,536 |
| 1,880 |
| 791 |
| 968 |
| 745 |
| 912 |
|
Reynolds American |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.125%, 06/23/2019 |
| 390 |
| 430 |
| 20 |
| 22 |
| 370 |
| 408 |
|
Spectrum Brands |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 07/15/2025 |
| 130 |
| 139 |
| 130 |
| 139 |
|
|
|
|
|
Walgreens Boots Alliance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 06/01/2026 |
| 2,070 |
| 2,064 |
| 1,625 |
| 1,620 |
| 445 |
| 444 |
|
Walgreens Boots Alliance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.800%, 11/18/2044 |
| 1,100 |
| 1,168 |
| 470 |
| 499 |
| 630 |
| 669 |
|
Walgreens Boots Alliance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 11/18/2021 |
| 1,237 |
| 1,277 |
| 590 |
| 609 |
| 647 |
| 668 |
|
Wal-Mart Stores |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 04/15/2041 |
| 320 |
| 415 |
|
|
|
|
| 320 |
| 415 |
|
Wal-Mart Stores |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 10/02/2043 |
| 200 |
| 233 |
|
|
|
|
| 200 |
| 233 |
|
Wal-Mart Stores |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 04/22/2044 |
| 2,095 |
| 2,308 |
| 855 |
| 942 |
| 1,240 |
| 1,366 |
|
Wal-Mart Stores |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 04/22/2024 |
| 60 |
| 63 |
|
|
|
|
| 60 |
| 63 |
|
Wm Wrigley Jr |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.900%, 10/21/2019 (E) |
| 670 |
| 680 |
| 480 |
| 487 |
| 190 |
| 193 |
|
Wm Wrigley Jr |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 10/21/2018 (E) |
| 170 |
| 171 |
| 130 |
| 131 |
| 40 |
| 40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 85,247 |
|
|
| 46,028 |
|
|
| 39,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy — 5.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Anadarko Finance, Ser B |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 05/01/2031 |
| 870 |
| 1,083 |
| 810 |
| 1,008 |
| 60 |
| 75 |
|
Anadarko Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.550%, 03/15/2026 (F) |
| 1,223 |
| 1,366 |
| 567 |
| 633 |
| 656 |
| 733 |
|
Anadarko Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 07/15/2044 (F) |
| 965 |
| 919 |
| 605 |
| 576 |
| 360 |
| 343 |
|
Anadarko Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.450%, 09/15/2036 |
| 140 |
| 165 |
| 30 |
| 35 |
| 110 |
| 130 |
|
Anadarko Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.850%, 03/15/2021 |
| 693 |
| 735 |
| 423 |
| 449 |
| 270 |
| 286 |
|
Anadarko Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.600%, 03/15/2046 |
| 360 |
| 446 |
| 50 |
| 62 |
| 310 |
| 384 |
|
Apache |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 04/15/2043 |
| 300 |
| 300 |
|
|
|
|
| 300 |
| 300 |
|
Apache |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 04/15/2022 |
| 109 |
| 111 |
|
|
|
|
| 109 |
| 111 |
|
Apache |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 01/15/2044 (F) |
| 1,295 |
| 1,216 |
| 850 |
| 798 |
| 445 |
| 418 |
|
Apache |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.100%, 09/01/2040 |
| 250 |
| 261 |
| 130 |
| 136 |
| 120 |
| 125 |
|
BG Energy Capital PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/15/2021 (E) |
| 1,485 |
| 1,568 |
| 910 |
| 961 |
| 575 |
| 607 |
|
BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.245%, 05/06/2022 |
| 250 |
| 259 |
| 160 |
| 166 |
| 90 |
| 93 |
|
BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.216%, 11/28/2023 |
| 3,055 |
| 3,130 |
| 1,600 |
| 1,639 |
| 1,455 |
| 1,491 |
|
BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.119%, 05/04/2026 |
| 230 |
| 230 |
| 100 |
| 100 |
| 130 |
| 130 |
|
BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.506%, 03/17/2025 |
| 620 |
| 640 |
| 530 |
| 547 |
| 90 |
| 93 |
|
BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.588%, 04/14/2027 |
| 1,425 |
| 1,466 |
| 660 |
| 679 |
| 765 |
| 787 |
|
BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.561%, 11/01/2021 |
| 50 |
| 53 |
| 50 |
| 53 |
|
|
|
|
|
BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.723%, 11/28/2028 |
| 185 |
| 190 |
| 85 |
| 87 |
| 100 |
| 103 |
|
BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.994%, 09/26/2023 |
| 95 |
| 101 |
|
|
|
|
| 95 |
| 101 |
|
Canadian Natural Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 06/01/2027 |
| 462 |
| 467 |
| 267 |
| 270 |
| 195 |
| 197 |
|
Canadian Natural Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.450%, 06/30/2033 |
| 50 |
| 59 |
|
|
|
|
| 50 |
| 59 |
|
Cheniere Corpus Christi Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 06/30/2027 (E) |
| 200 |
| 206 |
| 200 |
| 206 |
|
|
|
|
|
Chesapeake Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 03/15/2023 |
| 50 |
| 46 |
| 50 |
| 46 |
|
|
|
|
|
Chesapeake Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.000%, 12/15/2022 (E) |
| 20 |
| 22 |
| 20 |
| 22 |
|
|
|
|
|
Chevron |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.954%, 05/16/2026 |
| 1,010 |
| 1,008 |
| 730 |
| 729 |
| 280 |
| 279 |
|
Chevron |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.895%, 03/03/2024 |
| 2,410 |
| 2,444 |
| 1,130 |
| 1,146 |
| 1,280 |
| 1,298 |
|
Chevron |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.191%, 06/24/2023 |
| 22 |
| 23 |
|
|
|
|
| 22 |
| 23 |
|
Chevron |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.355%, 12/05/2022 |
| 15 |
| 15 |
|
|
|
|
| 15 |
| 15 |
|
Cimarex Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 05/15/2027 |
| — |
| — |
|
|
|
|
|
|
|
|
|
Cimarex Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 06/01/2024 |
| 815 |
| 862 |
| 380 |
| 402 |
| 435 |
| 460 |
|
CNOOC Nexen Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 04/30/2024 |
| 200 |
| 213 |
|
|
|
|
| 200 |
| 213 |
|
CNOOC Nexen Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/05/2025 |
| 2,210 |
| 2,244 |
| 1,370 |
| 1,391 |
| 840 |
| 853 |
|
Concho Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 10/01/2027 |
| 767 |
| 771 |
| 355 |
| 357 |
| 412 |
| 414 |
|
Concho Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 10/01/2047 |
| 355 |
| 370 |
| 165 |
| 172 |
| 190 |
| 198 |
|
Conoco Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.250%, 10/15/2031 |
| 180 |
| 242 |
| 50 |
| 67 |
| 130 |
| 175 |
|
ConocoPhillips |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.900%, 10/15/2032 |
| 10 |
| 12 |
| 10 |
| 12 |
|
|
|
|
|
ConocoPhillips |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 11/15/2034 |
| 1,090 |
| 1,125 |
| 630 |
| 650 |
| 460 |
| 475 |
|
ConocoPhillips |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.900%, 05/15/2038 |
| 420 |
| 523 |
| 420 |
| 523 |
|
|
|
|
|
Devon Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 06/15/2045 |
| 770 |
| 811 |
| 580 |
| 611 |
| 190 |
| 200 |
|
Devon Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.600%, 07/15/2041 |
| 490 |
| 536 |
| 380 |
| 416 |
| 110 |
| 120 |
|
Devon Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 05/15/2042 |
| 17 |
| 17 |
|
|
|
|
| 17 |
| 17 |
|
Devon Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.850%, 12/15/2025 (F) |
| 900 |
| 1,038 |
| 450 |
| 519 |
| 450 |
| 519 |
|
Devon Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 05/15/2022 (F) |
| 407 |
| 412 |
| 270 |
| 273 |
| 137 |
| 139 |
|
Devon Financing LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.875%, 09/30/2031 |
| 300 |
| 396 |
| 260 |
| 343 |
| 40 |
| 53 |
|
Ecopetrol |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 01/16/2025 |
| 203 |
| 203 |
|
|
|
|
| 203 |
| 203 |
|
Ecopetrol |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 05/28/2045 (F) |
| 2,320 |
| 2,268 |
| 1,290 |
| 1,261 |
| 1,030 |
| 1,007 |
|
Enbridge |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 07/15/2027 |
| 725 |
| 736 |
| 340 |
| 345 |
| 385 |
| 391 |
|
Enbridge |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.900%, 07/15/2022 |
| 1,062 |
| 1,068 |
| 496 |
| 499 |
| 566 |
| 569 |
|
Enbridge Energy Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 10/15/2025 |
| 200 |
| 228 |
|
|
|
|
| 200 |
| 228 |
|
Enbridge Energy Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 09/15/2040 |
| 515 |
| 538 |
| 240 |
| 251 |
| 275 |
| 287 |
|
Enbridge Energy Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.375%, 10/15/2045 |
| 305 |
| 393 |
| 140 |
| 180 |
| 165 |
| 213 |
|
Encana |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 02/01/2038 |
| 690 |
| 817 |
| 320 |
| 379 |
| 370 |
| 438 |
|
Energy Transfer |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.250%, 11/15/2029 |
| 1,990 |
| 2,577 |
| 1,315 |
| 1,703 |
| 675 |
| 874 |
|
Energy Transfer |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 11/01/2023 |
| 690 |
| 723 |
| 690 |
| 723 |
|
|
|
|
|
Energy Transfer |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 12/15/2045 |
| 766 |
| 841 |
| 357 |
| 392 |
| 409 |
| 449 |
|
Energy Transfer |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 03/15/2045 |
| 14 |
| 14 |
|
|
|
|
| 14 |
| 14 |
|
Energy Transfer Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 06/15/2018 |
| 885 |
| 889 |
| 410 |
| 412 |
| 475 |
| 477 |
|
Ensco |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.700%, 03/15/2021 |
| 2 |
| 2 |
| 2 |
| 2 |
|
|
|
|
|
Ensco |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.000%, 01/31/2024 |
| 218 |
| 214 |
| 218 |
| 214 |
|
|
|
|
|
Enterprise Products Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.700%, 02/15/2042 |
| 40 |
| 48 |
|
|
|
|
| 40 |
| 48 |
|
EOG Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 01/15/2026 |
| 320 |
| 339 |
| 230 |
| 244 |
| 90 |
| 95 |
|
ExxonMobil |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.114%, 03/01/2046 (F) |
| 310 |
| 335 |
| 150 |
| 162 |
| 160 |
| 173 |
|
ExxonMobil |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.397%, 03/06/2022 |
| 100 |
| 101 |
|
|
|
|
| 100 |
| 101 |
|
ExxonMobil |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.043%, 03/01/2026 (F) |
| 660 |
| 671 |
| 460 |
| 468 |
| 200 |
| 203 |
|
Florida Gas Transmission |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.900%, 05/15/2019 (E) |
| 1,350 |
| 1,467 |
| 1,000 |
| 1,087 |
| 350 |
| 380 |
|
Halliburton |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.850%, 11/15/2035 |
| 60 |
| 65 |
| 60 |
| 65 |
|
|
|
|
|
Halliburton |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 11/15/2045 |
| 941 |
| 1,032 |
| 480 |
| 526 |
| 461 |
| 506 |
|
Halliburton |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 11/15/2025 |
| 730 |
| 750 |
| 540 |
| 555 |
| 190 |
| 195 |
|
Halliburton |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/01/2023 |
| 50 |
| 51 |
|
|
|
|
| 50 |
| 51 |
|
Hess |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.800%, 04/01/2047 |
| 225 |
| 231 |
| 105 |
| 108 |
| 120 |
| 123 |
|
KazMunayGas National JSC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 04/19/2047 (E) |
| 340 |
| 335 |
|
|
|
|
| 340 |
| 335 |
|
Kerr-McGee |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.950%, 07/01/2024 |
| 298 |
| 354 |
|
|
|
|
| 298 |
| 354 |
|
Kerr-McGee |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.875%, 09/15/2031 |
| 610 |
| 775 |
| 510 |
| 648 |
| 100 |
| 127 |
|
Kinder Morgan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 01/15/2023 (F) |
| 1,687 |
| 1,696 |
| 782 |
| 786 |
| 905 |
| 910 |
|
Kinder Morgan |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 06/01/2025 |
| 2,780 |
| 2,913 |
| 1,295 |
| 1,357 |
| 1,485 |
| 1,556 |
|
Kinder Morgan |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.550%, 06/01/2045 |
| 475 |
| 512 |
| 220 |
| 237 |
| 255 |
| 275 |
|
Kinder Morgan |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 02/15/2021 (E) |
| 1,800 |
| 1,931 |
| 835 |
| 896 |
| 965 |
| 1,035 |
|
Kinder Morgan Energy Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.400%, 09/01/2044 |
| 470 |
| 489 |
| 220 |
| 229 |
| 250 |
| 260 |
|
Kinder Morgan Energy Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 09/01/2023 |
| 45 |
| 45 |
|
|
|
|
| 45 |
| 45 |
|
Marathon Oil |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.600%, 10/01/2037 (F) |
| 373 |
| 431 |
| 174 |
| 201 |
| 199 |
| 230 |
|
Marathon Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 09/15/2054 |
| 515 |
| 498 |
| 240 |
| 232 |
| 275 |
| 266 |
|
Marathon Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 09/15/2044 (F) |
| 230 |
| 228 |
| 105 |
| 104 |
| 125 |
| 124 |
|
MPLX |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 06/01/2025 |
| 110 |
| 118 |
| 110 |
| 118 |
|
|
|
|
|
MPLX |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 12/01/2024 |
| 320 |
| 345 |
| 320 |
| 345 |
|
|
|
|
|
Newfield Exploration |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 07/01/2024 |
| 210 |
| 225 |
| 210 |
| 225 |
|
|
|
|
|
Noble Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 01/15/2028 |
| 450 |
| 450 |
| 280 |
| 280 |
| 170 |
| 170 |
|
Noble Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 11/15/2024 |
| 650 |
| 666 |
| 500 |
| 512 |
| 150 |
| 154 |
|
Noble Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.050%, 11/15/2044 |
| 29 |
| 30 |
|
|
|
|
| 29 |
| 30 |
|
Noble Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 11/15/2043 |
| 260 |
| 273 |
| 180 |
| 189 |
| 80 |
| 84 |
|
Noble Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.950%, 08/15/2047 |
| 240 |
| 245 |
| 150 |
| 153 |
| 90 |
| 92 |
|
Noble Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 12/15/2021 (F) |
| 920 |
| 969 |
| 690 |
| 727 |
| 230 |
| 242 |
|
Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 02/15/2027 (F) |
| 350 |
| 344 |
| 230 |
| 226 |
| 120 |
| 118 |
|
Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/15/2025 |
| 45 |
| 46 |
|
|
|
|
| 45 |
| 46 |
|
Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 06/15/2045 (F) |
| 280 |
| 306 |
| 150 |
| 164 |
| 130 |
| 142 |
|
Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.100%, 02/15/2047 (F) |
| 480 |
| 494 |
| 320 |
| 329 |
| 160 |
| 165 |
|
Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 02/15/2023 |
| 129 |
| 130 |
|
|
|
|
| 129 |
| 130 |
|
Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 04/15/2046 (F) |
| 140 |
| 148 |
| 90 |
| 95 |
| 50 |
| 53 |
|
Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.125%, 02/15/2022 |
| 330 |
| 340 |
| 330 |
| 340 |
|
|
|
|
|
Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 04/15/2026 |
| 270 |
| 276 |
| 270 |
| 276 |
|
|
|
|
|
Panhandle Eastern Pipeline |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.125%, 06/01/2019 |
| 2,000 |
| 2,178 |
| 2,000 |
| 2,178 |
|
|
|
|
|
Pertamina Persero |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 05/03/2042 (E) |
| 300 |
| 338 |
|
|
|
|
| 300 |
| 338 |
|
Petrobras Global Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.850%, 06/05/2115 |
| 820 |
| 783 |
| 620 |
| 592 |
| 200 |
| 191 |
|
Petrobras Global Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 03/17/2024 |
| 1,394 |
| 1,489 |
| 1,084 |
| 1,158 |
| 310 |
| 331 |
|
Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.299%, 01/27/2025 (E) |
| 2,404 |
| 2,400 |
| 1,278 |
| 1,276 |
| 1,126 |
| 1,124 |
|
Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 01/17/2022 |
| 130 |
| 140 |
| 130 |
| 140 |
|
|
|
|
|
Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.375%, 01/17/2027 |
| 310 |
| 341 |
| 310 |
| 341 |
|
|
|
|
|
Petro-Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.800%, 05/15/2038 |
| 1,205 |
| 1,614 |
| 825 |
| 1,105 |
| 380 |
| 509 |
|
Petrofac |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 10/10/2018 (E) |
| 250 |
| 248 |
|
|
|
|
| 250 |
| 248 |
|
Petroleos del Peru |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 06/19/2032 (E) |
| 850 |
| 874 |
|
|
|
|
| 850 |
| 874 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.460%, 12/15/2025 |
| 1,568 |
| 1,576 |
| 1,003 |
| 1,008 |
| 565 |
| 568 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 03/13/2027 (E) |
| 626 |
| 693 |
| 291 |
| 322 |
| 335 |
| 371 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 01/23/2046 (F) |
| 1,307 |
| 1,216 |
| 385 |
| 358 |
| 922 |
| 858 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 06/27/2044 (F) |
| 120 |
| 112 |
| 90 |
| 84 |
| 30 |
| 28 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 01/18/2024 |
| 32 |
| 33 |
|
|
|
|
| 32 |
| 33 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.378%, 04/15/2025 |
| 812 |
| 818 |
| 528 |
| 532 |
| 284 |
| 286 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.625%, 06/15/2035 (F) |
| 767 |
| 826 |
| 727 |
| 783 |
| 40 |
| 43 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.375%, 01/23/2045 |
| 990 |
| 1,008 |
| 490 |
| 499 |
| 500 |
| 509 |
|
Petroleos Mexicanos MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 09/21/2047 (F) |
| 330 |
| 351 |
| 155 |
| 165 |
| 175 |
| 186 |
|
Petroleos Mexicanos MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 08/04/2026 |
| 120 |
| 137 |
|
|
|
|
| 120 |
| 137 |
|
Petroleos Mexicanos MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 09/21/2047 (E) |
| 160 |
| 170 |
|
|
|
|
| 160 |
| 170 |
|
Petroleos Mexicanos MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 09/21/2047 |
| 140 |
| 149 |
| 140 |
| 149 |
|
|
|
|
|
Petroleos Mexicanos MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 03/13/2027 (E) |
| 850 |
| 942 |
| 395 |
| 438 |
| 455 |
| 504 |
|
Phillips 66 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 05/01/2042 |
| 35 |
| 43 |
|
|
|
|
| 35 |
| 43 |
|
Phillips 66 Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.900%, 10/01/2046 |
| 760 |
| 760 |
| 355 |
| 355 |
| 405 |
| 405 |
|
Plains All American Pipeline |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 12/15/2026 |
| 215 |
| 218 |
| 100 |
| 101 |
| 115 |
| 117 |
|
Plains All American Pipeline |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.650%, 10/15/2025 |
| 1,000 |
| 1,030 |
| 500 |
| 515 |
| 500 |
| 515 |
|
QEP Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 03/01/2021 |
| 340 |
| 358 |
| 340 |
| 358 |
|
|
|
|
|
Range Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 07/01/2022 (E) |
| 10 |
| 10 |
| 10 |
| 10 |
|
|
|
|
|
Range Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 03/15/2023 (E) |
| 340 |
| 337 |
| 340 |
| 337 |
|
|
|
|
|
Range Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 05/15/2025 |
| 20 |
| 20 |
| 20 |
| 20 |
|
|
|
|
|
Sabine Pass Liquefaction |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 05/15/2024 |
| 220 |
| 245 |
| 220 |
| 245 |
|
|
|
|
|
Sabine Pass Liquefaction |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 03/15/2027 |
| 878 |
| 936 |
| 407 |
| 434 |
| 471 |
| 502 |
|
Sabine Pass Liquefaction |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 03/01/2025 |
| 1,200 |
| 1,324 |
| 700 |
| 772 |
| 500 |
| 552 |
|
Sabine Pass Liquefaction |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 03/15/2028 |
| 175 |
| 177 |
| 80 |
| 81 |
| 95 |
| 96 |
|
Sabine Pass Liquefaction |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 06/30/2026 |
| 455 |
| 507 |
| 210 |
| 234 |
| 245 |
| 273 |
|
Schlumberger |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 12/21/2020 (E) |
| 2,690 |
| 2,755 |
| 1,690 |
| 1,731 |
| 1,000 |
| 1,024 |
|
Schlumberger Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/21/2025 (E) |
| 450 |
| 472 |
| 330 |
| 346 |
| 120 |
| 126 |
|
Schlumberger Investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 09/14/2021 (E) |
| 47 |
| 48 |
|
|
|
|
| 47 |
| 48 |
|
Schlumberger Investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.650%, 12/01/2023 |
| 61 |
| 65 |
|
|
|
|
| 61 |
| 65 |
|
Shelf Drilling Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
9.500%, 11/02/2020 (E) |
| 36 |
| 37 |
| 36 |
| 37 |
|
|
|
|
|
Shell International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 05/10/2026 (F) |
| 900 |
| 895 |
| 700 |
| 696 |
| 200 |
| 199 |
|
Shell International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 05/11/2045 (F) |
| 795 |
| 852 |
| 280 |
| 300 |
| 515 |
| 552 |
|
Shell International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 08/12/2023 |
| 930 |
| 975 |
|
|
|
|
| 930 |
| 975 |
|
Shell International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 03/25/2020 |
| 830 |
| 881 |
| 690 |
| 732 |
| 140 |
| 149 |
|
Shell International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 05/10/2046 (F) |
| 947 |
| 958 |
| 507 |
| 513 |
| 440 |
| 445 |
|
Shell International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.550%, 08/12/2043 |
| 280 |
| 304 |
| 200 |
| 217 |
| 80 |
| 87 |
|
Shell International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 05/11/2035 |
| 1,761 |
| 1,860 |
| 920 |
| 972 |
| 841 |
| 888 |
|
Shell International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.125%, 05/11/2020 |
| 56 |
| 56 |
|
|
|
|
| 56 |
| 56 |
|
Sinopec Group Overseas Development |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 04/10/2024 (E) |
| 1,240 |
| 1,331 |
| 860 |
| 923 |
| 380 |
| 408 |
|
Southern Natural Gas LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.000%, 03/01/2032 |
| 170 |
| 231 |
| 170 |
| 231 |
|
|
|
|
|
Spectra Energy Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/15/2025 |
| 815 |
| 821 |
| 415 |
| 418 |
| 400 |
| 403 |
|
Spectra Energy Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 09/25/2043 |
| 30 |
| 36 |
|
|
|
|
| 30 |
| 36 |
|
Statoil |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 03/01/2024 |
| 565 |
| 595 |
| 355 |
| 374 |
| 210 |
| 221 |
|
Statoil |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 04/15/2019 |
| 140 |
| 148 |
|
|
|
|
| 140 |
| 148 |
|
Suncor Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 12/01/2024 |
| 340 |
| 351 |
|
|
|
|
| 340 |
| 351 |
|
Sunoco Logistics Partners Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.400%, 10/01/2047 |
| 743 |
| 756 |
|
|
|
|
| 743 |
| 756 |
|
TC PipeLines |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 05/25/2027 |
| 690 |
| 692 |
| 320 |
| 321 |
| 370 |
| 371 |
|
Tennessee Gas Pipeline LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.375%, 06/15/2032 |
| 1,638 |
| 2,113 |
| 1,638 |
| 2,113 |
|
|
|
|
|
Texas Eastern Transmission |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%, 10/15/2022 (E) |
| 1,152 |
| 1,134 |
| 750 |
| 738 |
| 402 |
| 396 |
|
Total Capital International |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 02/17/2022 |
| 1,665 |
| 1,700 |
| 850 |
| 868 |
| 815 |
| 832 |
|
TransCanada Pipelines |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 03/01/2034 |
| 1,285 |
| 1,405 |
| 815 |
| 891 |
| 470 |
| 514 |
|
Transcontinental Gas Pipe Line |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.850%, 02/01/2026 |
| 1,070 |
| 1,382 |
| 590 |
| 762 |
| 480 |
| 620 |
|
Western Gas Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 06/01/2021 |
| 25 |
| 27 |
|
|
|
|
| 25 |
| 27 |
|
Western Gas Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.650%, 07/01/2026 |
| 40 |
| 42 |
|
|
|
|
| 40 |
| 42 |
|
Western Gas Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 07/01/2022 |
| 35 |
| 36 |
|
|
|
|
| 35 |
| 36 |
|
Williams |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.750%, 06/15/2031 |
| 461 |
| 561 |
| 461 |
| 561 |
|
|
|
|
|
Williams |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.875%, 09/01/2021 |
| 735 |
| 864 |
| 475 |
| 558 |
| 260 |
| 306 |
|
Williams Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 06/15/2027 |
| 970 |
| 968 |
| 455 |
| 454 |
| 515 |
| 514 |
|
Williams Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 03/15/2022 |
| 1,200 |
| 1,240 |
|
|
|
|
| 1,200 |
| 1,240 |
|
Williams Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 01/15/2025 |
| 750 |
| 765 |
| 750 |
| 765 |
|
|
|
|
|
Williams Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 03/15/2024 |
| 100 |
| 105 |
| 100 |
| 105 |
|
|
|
|
|
Williams Partners |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.100%, 09/15/2045 |
| 565 |
| 594 |
| 265 |
| 279 |
| 300 |
| 315 |
|
WPX Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.250%, 08/01/2023 |
| 50 |
| 56 |
| 50 |
| 56 |
|
|
|
|
|
WPX Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 01/15/2022 |
| 10 |
| 10 |
| 10 |
| 10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 112,836 |
|
|
| 64,890 |
|
|
| 47,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials — 19.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
ABN AMRO Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 07/28/2025 (E) |
| 360 |
| 382 |
| 360 |
| 382 |
|
|
|
|
|
AIG Global Funding MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.650%, 12/15/2017 (E) |
| 42 |
| 42 |
|
|
|
|
| 42 |
| 42 |
|
Ally Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 09/15/2020 |
| 526 |
| 592 |
| 526 |
| 592 |
|
|
|
|
|
American Campus Communities Operating Partnership |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 04/15/2023 |
| 1,050 |
| 1,081 |
| 1,050 |
| 1,081 |
|
|
|
|
|
American Express |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 08/01/2022 |
| 1,825 |
| 1,823 |
| 830 |
| 829 |
| 995 |
| 994 |
|
American Express |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%, 03/19/2018 |
| 1,970 |
| 2,019 |
| 800 |
| 820 |
| 1,170 |
| 1,199 |
|
American Express Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 11/05/2018 |
| 44 |
| 44 |
|
|
|
|
| 44 |
| 44 |
|
American Express Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 08/15/2019 |
| 2,160 |
| 2,177 |
| 1,025 |
| 1,033 |
| 1,135 |
| 1,144 |
|
American Express Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 03/03/2020 |
| 1,500 |
| 1,508 |
| 1,500 |
| 1,508 |
|
|
|
|
|
American Express Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 05/26/2020 |
| 64 |
| 65 |
|
|
|
|
| 64 |
| 65 |
|
American Express Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.800%, 07/31/2018 |
| 65 |
| 65 |
|
|
|
|
| 65 |
| 65 |
|
American International Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, VAR ICE LIBOR USD 3 Month+2.056%, 03/15/2037 (A) |
| 1,220 |
| 1,336 |
| 1,220 |
| 1,336 |
|
|
|
|
|
American International Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 02/15/2024 |
| 107 |
| 114 |
|
|
|
|
| 107 |
| 114 |
|
American International Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 05/01/2036 |
| 705 |
| 901 |
| 335 |
| 428 |
| 370 |
| 473 |
|
American International Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 01/15/2035 |
| 30 |
| 29 |
|
|
|
|
| 30 |
| 29 |
|
American International Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 01/15/2055 |
| 170 |
| 165 |
| 80 |
| 78 |
| 90 |
| 87 |
|
American International Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 04/01/2026 |
| 1,175 |
| 1,223 |
| 560 |
| 583 |
| 615 |
| 640 |
|
Aon |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/14/2024 |
| 65 |
| 67 |
|
|
|
|
| 65 |
| 67 |
|
Aon |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 09/30/2040 |
| 19 |
| 24 |
|
|
|
|
| 19 |
| 24 |
|
Banco Santander |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/11/2022 |
| 820 |
| 840 |
| 370 |
| 379 |
| 450 |
| 461 |
|
Banco Santander |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 04/11/2027 |
| 620 |
| 644 |
| 285 |
| 296 |
| 335 |
| 348 |
|
Bank of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 12/01/2017 |
| 375 |
| 377 |
| 305 |
| 307 |
| 70 |
| 70 |
|
Bank of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, VAR ICE LIBOR USD 3 Month+3.705%, 09/29/2049 (A) |
| 720 |
| 794 |
| 720 |
| 794 |
|
|
|
|
|
Bank of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.625%, 06/01/2019 |
| 3,900 |
| 4,257 |
| 3,400 |
| 3,711 |
| 500 |
| 546 |
|
Bank of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 11/15/2018 |
| 1,250 |
| 1,317 |
| 1,250 |
| 1,317 |
|
|
|
|
|
Bank of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.700%, 01/24/2022 |
| 5 |
| 6 |
|
|
|
|
| 5 |
| 6 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.503%, 10/21/2022 |
| 2,260 |
| 2,239 |
| 1,050 |
| 1,040 |
| 1,210 |
| 1,199 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.705%, VAR ICE LIBOR USD 3 Month+1.512%, 04/24/2028 (A) |
| 1,985 |
| 2,016 |
|
|
|
|
| 1,985 |
| 2,016 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 04/21/2020 |
| 100 |
| 100 |
|
|
|
|
| 100 |
| 100 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.824%, VAR ICE LIBOR USD 3 Month+1.575%, 01/20/2028 (A) |
| 1,890 |
| 1,944 |
| 874 |
| 899 |
| 1,016 |
| 1,045 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 04/19/2021 |
| 2,365 |
| 2,381 |
| 2,365 |
| 2,381 |
|
|
|
|
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 01/11/2023 (F) |
| 1,995 |
| 2,044 |
| 160 |
| 164 |
| 1,835 |
| 1,880 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 07/01/2020 |
| 140 |
| 153 |
| 110 |
| 120 |
| 30 |
| 33 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 04/25/2018 |
| 2,925 |
| 3,009 |
| 675 |
| 694 |
| 2,250 |
| 2,315 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028 (A) (F) |
| 2,290 |
| 2,313 |
| 2,020 |
| 2,040 |
| 270 |
| 273 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 08/01/2025 |
| 2,162 |
| 2,265 |
| 1,972 |
| 2,066 |
| 190 |
| 199 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.093%, VAR ICE LIBOR USD 3 Month+1.090%, 10/01/2025 (A) |
| 2,145 |
| 2,143 |
| 930 |
| 929 |
| 1,215 |
| 1,214 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/22/2025 |
| 1,493 |
| 1,545 |
| 810 |
| 838 |
| 683 |
| 707 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 04/19/2026 (F) |
| 1,304 |
| 1,326 |
| 60 |
| 61 |
| 1,244 |
| 1,265 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 05/13/2021 |
| 180 |
| 196 |
|
|
|
|
| 180 |
| 196 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 04/01/2024 (F) |
| 3,600 |
| 3,803 |
| 3,310 |
| 3,497 |
| 290 |
| 306 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 01/22/2024 |
| 290 |
| 309 |
|
|
|
|
| 290 |
| 309 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.100%, 07/24/2023 |
| 340 |
| 362 |
|
|
|
|
| 340 |
| 362 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.650%, 05/01/2018 |
| 3,780 |
| 3,866 |
| 1,000 |
| 1,023 |
| 2,780 |
| 2,843 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.600%, 01/15/2019 |
| 830 |
| 836 |
| 670 |
| 675 |
| 160 |
| 161 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 08/26/2024 (F) |
| 1,530 |
| 1,609 |
| 830 |
| 873 |
| 700 |
| 736 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.244%, VAR ICE LIBOR USD 3 Month+1.814%, 04/24/2038 (A) (F) |
| 959 |
| 1,013 |
| 444 |
| 469 |
| 515 |
| 544 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 01/21/2044 (F) |
| 1,010 |
| 1,170 |
| 770 |
| 892 |
| 240 |
| 278 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.369%, VAR ICE LIBOR USD 3 Month+0.660%, 07/21/2021 (A) |
| 2,205 |
| 2,205 |
| 1,025 |
| 1,025 |
| 1,180 |
| 1,180 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.450%, 03/03/2026 |
| 1,081 |
| 1,143 |
| 417 |
| 441 |
| 664 |
| 702 |
|
Bank of Montreal MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 01/25/2019 |
| 55 |
| 55 |
|
|
|
|
| 55 |
| 55 |
|
Bank of New York Mellon |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 05/15/2024 |
| 1,945 |
| 2,011 |
| 770 |
| 796 |
| 1,175 |
| 1,215 |
|
Bank of New York Mellon |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.550%, 09/23/2021 |
| 34 |
| 35 |
|
|
|
|
| 34 |
| 35 |
|
Bank of New York Mellon MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 09/11/2024 |
| 100 |
| 102 |
|
|
|
|
| 100 |
| 102 |
|
Bank of New York Mellon MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 03/04/2019 |
| 1,055 |
| 1,060 |
| 630 |
| 633 |
| 425 |
| 427 |
|
Bank of New York Mellon MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 04/15/2021 |
| 327 |
| 330 |
|
|
|
|
| 327 |
| 330 |
|
Bank of New York Mellon MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.600%, 01/15/2020 |
| 40 |
| 43 |
|
|
|
|
| 40 |
| 43 |
|
Bank of New York Mellon MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 05/16/2027 (F) |
| 1,406 |
| 1,427 |
| 654 |
| 664 |
| 752 |
| 763 |
|
Bank of Nova Scotia |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.850%, 04/14/2020 |
| 160 |
| 159 |
|
|
|
|
| 160 |
| 159 |
|
Bank of Tokyo-Mitsubishi |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.100%, 09/09/2023 (E) |
| 200 |
| 213 |
|
|
|
|
| 200 |
| 213 |
|
Barclays Bank PLC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.050%, 12/04/2017 (E) |
| 420 |
| 423 |
| 420 |
| 423 |
|
|
|
|
|
BB&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 11/01/2019 |
| 200 |
| 213 |
|
|
|
|
| 200 |
| 213 |
|
Bear Stearns |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.250%, 02/01/2018 |
| 2,500 |
| 2,547 |
|
|
|
|
| 2,500 |
| 2,547 |
|
Bear Stearns |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.400%, 10/02/2017 |
| 570 |
| 570 |
| 70 |
| 70 |
| 500 |
| 500 |
|
Bear Stearns |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.650%, 07/02/2018 |
| 995 |
| 1,016 |
| 995 |
| 1,016 |
|
|
|
|
|
Berkshire Hathaway |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 08/15/2021 |
| 500 |
| 530 |
|
|
|
|
| 500 |
| 530 |
|
Berkshire Hathaway |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 01/31/2022 |
| 65 |
| 68 |
|
|
|
|
| 65 |
| 68 |
|
Berkshire Hathaway Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 05/15/2042 |
| 1,316 |
| 1,445 |
| 1,000 |
| 1,098 |
| 316 |
| 347 |
|
Berkshire Hathaway Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.400%, 05/15/2018 |
| 110 |
| 113 |
|
|
|
|
| 110 |
| 113 |
|
BNP Paribas |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 03/13/2027 (E) |
| 200 |
| 212 |
| 200 |
| 212 |
|
|
|
|
|
BNP Paribas MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 08/20/2018 |
| 380 |
| 383 |
|
|
|
|
| 380 |
| 383 |
|
Boeing Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.700%, 10/27/2019 |
| 490 |
| 519 |
| 490 |
| 519 |
|
|
|
|
|
BPCE |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 07/21/2024 (E) (F) |
| 410 |
| 442 |
| 210 |
| 226 |
| 200 |
| 216 |
|
Brighthouse Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.700%, 06/22/2047 (E) |
| 435 |
| 425 |
| 205 |
| 200 |
| 230 |
| 225 |
|
Brighthouse Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 06/22/2027 (E) (F) |
| 1,420 |
| 1,394 |
| 560 |
| 550 |
| 860 |
| 844 |
|
Capital One |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.650%, 08/08/2022 |
| 1,914 |
| 1,905 |
| 887 |
| 883 |
| 1,027 |
| 1,022 |
|
Capital One Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 07/15/2021 |
| 50 |
| 54 |
|
|
|
|
| 50 |
| 54 |
|
Capital One Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 03/09/2027 (F) |
| 430 |
| 435 |
| 200 |
| 202 |
| 230 |
| 233 |
|
Capital One Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 10/29/2025 |
| 305 |
| 313 |
| 141 |
| 145 |
| 164 |
| 168 |
|
Chubb INA Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 11/03/2022 |
| 39 |
| 40 |
|
|
|
|
| 39 |
| 40 |
|
Chubb INA Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 03/15/2025 |
| 74 |
| 75 |
|
|
|
|
| 74 |
| 75 |
|
Chubb INA Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 11/03/2045 (F) |
| 690 |
| 759 |
| 320 |
| 352 |
| 370 |
| 407 |
|
Chubb INA Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.350%, 05/03/2026 |
| 200 |
| 205 |
| 170 |
| 174 |
| 30 |
| 31 |
|
Chubb INA Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.300%, 11/03/2020 |
| 210 |
| 211 |
| 160 |
| 161 |
| 50 |
| 50 |
|
Citibank |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.100%, 06/12/2020 |
| 3,995 |
| 4,002 |
| 1,885 |
| 1,888 |
| 2,110 |
| 2,114 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/15/2023 |
| 630 |
| 641 |
| 500 |
| 509 |
| 130 |
| 132 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 05/18/2046 (F) |
| 100 |
| 109 |
| 70 |
| 76 |
| 30 |
| 33 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.050%, 07/30/2022 |
| 70 |
| 73 |
| 70 |
| 73 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.300%, VAR ICE LIBOR USD 3 Month+3.423%, 12/29/2049 (A) |
| 520 |
| 564 |
| 520 |
| 564 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.650%, 07/30/2045 |
| 903 |
| 1,000 |
| 567 |
| 628 |
| 336 |
| 372 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.887%, VAR ICE LIBOR USD 3 Month+1.563%, 01/10/2028 (A) |
| 69 |
| 71 |
|
|
|
|
| 69 |
| 71 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.867%, VAR ICE LIBOR USD 3 Month+0.550%, 08/25/2036 (A) |
| 600 |
| 500 |
|
|
|
|
| 600 |
| 500 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 05/01/2026 |
| 865 |
| 867 |
| 605 |
| 606 |
| 260 |
| 261 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.750%, 05/01/2018 |
| 1,835 |
| 1,836 |
| 1,835 |
| 1,836 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 11/21/2017 |
| 1,095 |
| 1,102 |
|
|
|
|
| 1,095 |
| 1,102 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 01/12/2026 |
| 1,500 |
| 1,538 |
| 905 |
| 928 |
| 595 |
| 610 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.450%, 09/29/2027 |
| 2,875 |
| 3,035 |
| 1,490 |
| 1,573 |
| 1,385 |
| 1,462 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.050%, 12/07/2018 |
| 2,000 |
| 2,003 |
| 2,000 |
| 2,003 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.668%, VAR ICE LIBOR USD 3 Month+1.390%, 07/24/2028 (A) |
| 1,000 |
| 1,010 |
|
|
|
|
| 1,000 |
| 1,010 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.800%, 02/05/2018 |
| 1,000 |
| 1,000 |
|
|
|
|
| 1,000 |
| 1,000 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, VAR ICE LIBOR USD 3 Month+3.905%, 12/31/2049 (A) |
| 1,250 |
| 1,352 |
| 1,250 |
| 1,352 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 07/30/2018 |
| 71 |
| 71 |
|
|
|
|
| 71 |
| 71 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, VAR ICE LIBOR USD 3 Month+4.068%, 12/29/2049 (A) |
| 360 |
| 387 |
| 360 |
| 387 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 09/13/2025 |
| 950 |
| 1,066 |
| 750 |
| 842 |
| 200 |
| 224 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.350%, VAR ICE LIBOR USD 3 Month+3.466%, 05/29/2049 (A) |
| 390 |
| 405 |
| 390 |
| 405 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 04/27/2025 |
| 120 |
| 121 |
|
|
|
|
| 120 |
| 121 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 06/10/2025 |
| 1,080 |
| 1,137 |
| 810 |
| 853 |
| 270 |
| 284 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 10/21/2026 |
| 1,100 |
| 1,082 |
| 180 |
| 177 |
| 920 |
| 905 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 05/15/2018 |
| 3,150 |
| 3,233 |
|
|
|
|
| 3,150 |
| 3,233 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 09/26/2018 |
| 4,100 |
| 4,127 |
| 4,100 |
| 4,127 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.625%, 06/15/2032 |
| 100 |
| 127 |
| 100 |
| 127 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.700%, 04/27/2018 |
| 160 |
| 160 |
|
|
|
|
| 160 |
| 160 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.125%, 07/15/2039 |
| 439 |
| 694 |
| 69 |
| 109 |
| 370 |
| 585 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.900%, VAR ICE LIBOR USD 3 Month+4.230%, 12/29/2049 (A) |
| 140 |
| 151 |
| 140 |
| 151 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 01/14/2022 |
| 380 |
| 409 |
|
|
|
|
| 380 |
| 409 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.675%, 09/13/2043 |
| 70 |
| 95 |
| 70 |
| 95 |
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 11/20/2026 |
| 240 |
| 250 |
| 180 |
| 188 |
| 60 |
| 62 |
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.300%, 05/06/2044 |
| 225 |
| 263 |
| 178 |
| 208 |
| 47 |
| 55 |
|
Citigroup Capital III |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.625%, 12/01/2036 |
| 1,500 |
| 1,942 |
| 1,500 |
| 1,942 |
|
|
|
|
|
CME Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 03/15/2025 |
| 51 |
| 52 |
|
|
|
|
| 51 |
| 52 |
|
Commonwealth Bank of Australia MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 10/15/2019 (E) |
| 10 |
| 11 |
| 10 |
| 11 |
|
|
|
|
|
Commonwealth Bank of Australia MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 07/12/2047 (E) (F) |
| 800 |
| 803 |
| 510 |
| 512 |
| 290 |
| 291 |
|
Compass Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 04/10/2025 |
| 430 |
| 429 |
| 430 |
| 429 |
|
|
|
|
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank |
|
|
|
|
|
|
|
|
|
|
|
|
|
11.000%, VAR ICE LIBOR USD 3 Month+10.868%, 12/31/2049 (A) (E) |
| 920 |
| 1,039 |
| 920 |
| 1,039 |
|
|
|
|
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 08/04/2045 |
| 310 |
| 369 |
| 310 |
| 369 |
|
|
|
|
|
Cooperatieve Rabobank UA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 08/04/2025 (F) |
| 1,650 |
| 1,733 |
| 650 |
| 683 |
| 1,000 |
| 1,050 |
|
Cooperatieve Rabobank UA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 12/01/2023 |
| 1,630 |
| 1,752 |
| 1,100 |
| 1,182 |
| 530 |
| 570 |
|
Cooperatieve Rabobank UA MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 02/08/2022 |
| 30 |
| 32 |
|
|
|
|
| 30 |
| 32 |
|
Credit Agricole |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.375%, VAR ICE LIBOR USD 3 Month+6.982%, 12/31/2049 (A) (E) |
| 1,260 |
| 1,395 |
| 1,090 |
| 1,207 |
| 170 |
| 188 |
|
Credit Suisse Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.997%, VAR ICE LIBOR USD 3 Month+1.200%, 12/14/2023 (A) (E) |
| 1,865 |
| 1,860 |
| 845 |
| 843 |
| 1,020 |
| 1,017 |
|
Credit Suisse Group Funding Guernsey |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 09/15/2022 |
| 585 |
| 607 |
| 290 |
| 301 |
| 295 |
| 306 |
|
Credit Suisse Group Funding Guernsey |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 06/09/2023 (F) |
| 575 |
| 595 |
| 285 |
| 295 |
| 290 |
| 300 |
|
Credit Suisse Group Funding Guernsey |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.550%, 04/17/2026 (F) |
| 1,215 |
| 1,303 |
| 580 |
| 622 |
| 635 |
| 681 |
|
Credit Suisse Group Funding Guernsey |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 05/15/2045 |
| 2,170 |
| 2,425 |
| 890 |
| 994 |
| 1,280 |
| 1,431 |
|
Discover Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 02/21/2018 |
| 1,000 |
| 1,002 |
|
|
|
|
| 1,000 |
| 1,002 |
|
Discover Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.600%, 11/13/2018 |
| 995 |
| 1,001 |
| 995 |
| 1,001 |
|
|
|
|
|
DNB Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.125%, 10/02/2020 (E) |
| 2,250 |
| 2,248 |
| 1,040 |
| 1,039 |
| 1,210 |
| 1,209 |
|
Farmers Exchange Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.200%, 07/15/2048 (E) |
| 1,021 |
| 1,328 |
|
|
|
|
| 1,021 |
| 1,328 |
|
Farmers Exchange Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.050%, 07/15/2028 (E) |
| 1,000 |
| 1,256 |
| 1,000 |
| 1,256 |
|
|
|
|
|
Farmers Exchange Capital II |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.151%, VAR ICE LIBOR USD 3 Month+3.744%, 11/01/2053 (A) (E) |
| 1,650 |
| 1,879 |
| 1,650 |
| 1,879 |
|
|
|
|
|
Fifth Third Bancorp |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.300%, 03/01/2019 |
| 30 |
| 30 |
|
|
|
|
| 30 |
| 30 |
|
Fifth Third Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 10/01/2021 |
| 200 |
| 204 |
|
|
|
|
| 200 |
| 204 |
|
First Industrial MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 12/01/2017 |
| 970 |
| 979 |
| 970 |
| 979 |
|
|
|
|
|
Ford Motor |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 01/15/2043 |
| 210 |
| 206 |
| 210 |
| 206 |
|
|
|
|
|
Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.125%, 01/15/2020 |
| 660 |
| 743 |
| 660 |
| 743 |
|
|
|
|
|
Goldman Sachs Capital II |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, VAR ICE LIBOR USD 3 Month+0.768%, 12/29/2049 (A) |
| 10 |
| 9 |
| 10 |
| 9 |
|
|
|
|
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.272%, VAR ICE LIBOR USD 3 Month+1.201%, 09/29/2025 (A) |
| 4,840 |
| 4,847 |
| 1,925 |
| 1,928 |
| 2,915 |
| 2,919 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 11/16/2026 |
| 1,237 |
| 1,240 |
| 516 |
| 517 |
| 721 |
| 723 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 02/25/2026 |
| 775 |
| 793 |
| 435 |
| 445 |
| 340 |
| 348 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 07/27/2021 |
| 740 |
| 814 |
| 340 |
| 374 |
| 400 |
| 440 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 01/22/2018 |
| 2,890 |
| 2,897 |
| 2,370 |
| 2,376 |
| 520 |
| 521 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 05/22/2045 (F) |
| 960 |
| 1,099 |
| 600 |
| 687 |
| 360 |
| 412 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 02/01/2041 |
| 1,050 |
| 1,386 |
| 750 |
| 990 |
| 300 |
| 396 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 10/21/2025 |
| 1,120 |
| 1,168 |
| 520 |
| 542 |
| 600 |
| 626 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 10/01/2037 |
| 1,508 |
| 1,989 |
| 714 |
| 942 |
| 794 |
| 1,047 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 10/21/2045 |
| 920 |
| 1,023 |
| 390 |
| 434 |
| 530 |
| 589 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.150%, 04/01/2018 |
| 4,530 |
| 4,629 |
| 2,780 |
| 2,841 |
| 1,750 |
| 1,788 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 09/15/2020 (F) |
| 1,090 |
| 1,104 |
| 490 |
| 496 |
| 600 |
| 608 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 01/24/2022 |
| 410 |
| 459 |
| 110 |
| 123 |
| 300 |
| 336 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 01/18/2018 |
| 1,510 |
| 1,529 |
| 260 |
| 263 |
| 1,250 |
| 1,266 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.900%, 07/19/2018 |
| 220 |
| 222 |
|
|
|
|
| 220 |
| 222 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.691%, VAR ICE LIBOR USD 3 Month+1.510%, 06/05/2028 (A) |
| 1,380 |
| 1,391 |
| 1,380 |
| 1,391 |
|
|
|
|
|
Goldman Sachs Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 03/15/2020 (F) |
| 3,810 |
| 4,093 |
| 2,860 |
| 3,072 |
| 950 |
| 1,021 |
|
Goldman Sachs Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 06/15/2020 |
| 1,050 |
| 1,153 |
| 170 |
| 187 |
| 880 |
| 966 |
|
Goldman Sachs Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/03/2024 (F) |
| 690 |
| 728 |
| 490 |
| 517 |
| 200 |
| 211 |
|
Goldman Sachs Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.905%, VAR ICE LIBOR USD 3 Month+0.990%, 07/24/2023 (A) |
| 1,210 |
| 1,211 |
|
|
|
|
| 1,210 |
| 1,211 |
|
Goldman Sachs Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 07/08/2024 |
| 951 |
| 990 |
| 830 |
| 864 |
| 121 |
| 126 |
|
Goldman Sachs Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 02/15/2019 |
| 5,245 |
| 5,633 |
| 3,930 |
| 4,221 |
| 1,315 |
| 1,412 |
|
Goodman US Finance Three |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 10/15/2037 (E) |
| 135 |
| 137 |
|
|
|
|
| 135 |
| 137 |
|
Goodman US Finance Three |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 10/15/2037 (E) |
| 116 |
| 117 |
| 116 |
| 117 |
|
|
|
|
|
Guardian Life Global Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.950%, 10/27/2021 (E) |
| 1,530 |
| 1,503 |
| 750 |
| 737 |
| 780 |
| 766 |
|
Guardian Life Global Funding MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 04/26/2021 (E) |
| 1,700 |
| 1,678 |
| 1,000 |
| 987 |
| 700 |
| 691 |
|
Guardian Life Insurance of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.850%, 01/24/2077 (E) (F) |
| 78 |
| 84 |
| 36 |
| 39 |
| 42 |
| 45 |
|
HBOS PLC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 05/21/2018 (E) |
| 2,300 |
| 2,368 |
| 2,100 |
| 2,162 |
| 200 |
| 206 |
|
HCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 03/01/2024 |
| 765 |
| 801 |
| 765 |
| 801 |
|
|
|
|
|
HCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 08/01/2022 |
| 1,000 |
| 1,012 |
| 1,000 |
| 1,012 |
|
|
|
|
|
Health Care |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.950%, 01/15/2021 |
| 820 |
| 880 |
| 820 |
| 880 |
|
|
|
|
|
Highwoods Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 04/15/2018 |
| 1,142 |
| 1,176 |
| 1,142 |
| 1,176 |
|
|
|
|
|
HSBC Bank PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 08/12/2020 (E) |
| 100 |
| 105 |
|
|
|
|
| 100 |
| 105 |
|
HSBC Bank PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 01/19/2021 (E) |
| 1,760 |
| 1,894 |
| 1,760 |
| 1,894 |
|
|
|
|
|
HSBC Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.676%, 01/15/2021 |
| 246 |
| 278 |
|
|
|
|
| 246 |
| 278 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.041%, VAR ICE LIBOR USD 3 Month+1.546%, 03/13/2028 (A) |
| 720 |
| 752 |
| 335 |
| 350 |
| 385 |
| 402 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 03/14/2024 |
| 1,355 |
| 1,417 |
| 985 |
| 1,030 |
| 370 |
| 387 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 03/08/2026 |
| 1,055 |
| 1,133 |
|
|
|
|
| 1,055 |
| 1,133 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 08/18/2025 |
| 1,000 |
| 1,036 |
| 750 |
| 777 |
| 250 |
| 259 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 03/08/2021 (F) |
| 1,910 |
| 1,970 |
| 1,020 |
| 1,052 |
| 890 |
| 918 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.650%, 01/05/2022 |
| 2,580 |
| 2,589 |
| 1,250 |
| 1,254 |
| 1,330 |
| 1,335 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/30/2022 |
| 536 |
| 567 |
| 330 |
| 349 |
| 206 |
| 218 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.262%, VAR ICE LIBOR USD 3 Month+1.055%, 03/13/2023 (A) (F) |
| 2,175 |
| 2,220 |
| 1,020 |
| 1,041 |
| 1,155 |
| 1,179 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 11/23/2026 |
| 1,647 |
| 1,717 |
| 947 |
| 987 |
| 700 |
| 730 |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 01/14/2022 |
| 100 |
| 109 |
|
|
|
|
| 100 |
| 109 |
|
HSBC USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.350%, 03/05/2020 |
| 100 |
| 101 |
|
|
|
|
| 100 |
| 101 |
|
ILFC E-Capital Trust II |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.610%, 12/21/2065 (A)(D) (E) |
| 400 |
| 381 |
| 400 |
| 381 |
|
|
|
|
|
ING Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.800%, 09/25/2023 (E) |
| 1,350 |
| 1,541 |
| 920 |
| 1,050 |
| 430 |
| 491 |
|
ING Groep |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 03/29/2022 |
| 1,060 |
| 1,081 |
| 495 |
| 505 |
| 565 |
| 576 |
|
ING Groep |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 03/29/2027 (F) |
| 920 |
| 958 |
| 430 |
| 448 |
| 490 |
| 510 |
|
Intercontinental Exchange |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/15/2023 |
| 65 |
| 70 |
|
|
|
|
| 65 |
| 70 |
|
Intercontinental Exchange |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 10/15/2018 |
| 85 |
| 86 |
|
|
|
|
| 85 |
| 86 |
|
International Lease Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.125%, 09/01/2018 (E) |
| 3,080 |
| 3,225 |
| 2,080 |
| 2,178 |
| 1,000 |
| 1,047 |
|
Intesa Sanpaolo |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.125%, 07/14/2022 (E) |
| 2,080 |
| 2,085 |
| 1,090 |
| 1,093 |
| 990 |
| 992 |
|
Intesa Sanpaolo |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 07/14/2027 (E) |
| 1,850 |
| 1,857 |
| 865 |
| 868 |
| 985 |
| 989 |
|
Intesa Sanpaolo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.017%, 06/26/2024 (E) |
| 2,120 |
| 2,156 |
| 1,610 |
| 1,637 |
| 510 |
| 519 |
|
John Deere Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.700%, 01/15/2020 |
| 160 |
| 159 |
| 160 |
| 159 |
|
|
|
|
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.220%, VAR ICE LIBOR USD 3 Month+1.155%, 03/01/2025 (A) |
| 4,605 |
| 4,679 |
| 2,605 |
| 2,647 |
| 2,000 |
| 2,032 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 07/22/2020 |
| 210 |
| 223 |
| 210 |
| 223 |
|
|
|
|
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.300%, 04/23/2019 |
| 2,000 |
| 2,134 |
| 2,000 |
| 2,134 |
|
|
|
|
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.260%, VAR ICE LIBOR USD 3 Month+1.580%, 02/22/2048 (A) |
| 1,240 |
| 1,301 |
| 575 |
| 603 |
| 665 |
| 698 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 05/13/2024 |
| 230 |
| 240 |
|
|
|
|
| 230 |
| 240 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 10/01/2027 (F) |
| 720 |
| 759 |
| 130 |
| 137 |
| 590 |
| 622 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 01/24/2022 |
| 840 |
| 910 |
| 180 |
| 195 |
| 660 |
| 715 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 10/15/2020 |
| 330 |
| 349 |
| 330 |
| 349 |
|
|
|
|
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 07/15/2025 |
| 2,920 |
| 3,075 |
| 2,115 |
| 2,227 |
| 805 |
| 848 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.032%, VAR ICE LIBOR USD 3 Month+1.460%, 07/24/2048 (A) |
| 1,490 |
| 1,514 |
| 695 |
| 706 |
| 795 |
| 808 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 12/15/2026 |
| 520 |
| 542 |
|
|
|
|
| 520 |
| 542 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.972%, 01/15/2023 (F) |
| 2,280 |
| 2,316 |
| 1,060 |
| 1,077 |
| 1,220 |
| 1,239 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 12/01/2027 |
| 360 |
| 361 |
|
|
|
|
| 360 |
| 361 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.776%, VAR ICE LIBOR USD 3 Month+0.935%, 04/25/2023 (A) |
| 1,600 |
| 1,609 |
| 1,275 |
| 1,282 |
| 325 |
| 327 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 05/18/2023 |
| 2,330 |
| 2,330 |
| 1,045 |
| 1,045 |
| 1,285 |
| 1,285 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.540%, VAR ICE LIBOR USD 3 Month+1.380%, 05/01/2028 (A) |
| 1,000 |
| 1,009 |
|
|
|
|
| 1,000 |
| 1,009 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 09/10/2024 (F) |
| 1,140 |
| 1,187 |
| 620 |
| 646 |
| 520 |
| 541 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 09/23/2022 |
| 285 |
| 295 |
| 45 |
| 47 |
| 240 |
| 248 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 10/01/2026 |
| 2,444 |
| 2,392 |
| 1,134 |
| 1,110 |
| 1,310 |
| 1,282 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 01/15/2018 |
| 5,135 |
| 5,200 |
| 3,635 |
| 3,681 |
| 1,500 |
| 1,519 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 08/15/2021 |
| 160 |
| 171 |
| 160 |
| 171 |
|
|
|
|
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.950%, 06/01/2045 |
| 180 |
| 205 |
| 150 |
| 171 |
| 30 |
| 34 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 01/25/2023 |
| 100 |
| 103 |
|
|
|
|
| 100 |
| 103 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 01/23/2020 |
| 905 |
| 910 |
|
|
|
|
| 905 |
| 910 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.882%, VAR ICE LIBOR USD 3 Month+1.360%, 07/24/2038 (A) |
| 1,605 |
| 1,618 |
| 750 |
| 756 |
| 855 |
| 862 |
|
JPMorgan Chase MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.295%, 08/15/2021 (F) |
| 1,995 |
| 1,993 |
| 925 |
| 924 |
| 1,070 |
| 1,069 |
|
JPMorgan Chase Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 10/01/2017 |
| 4,027 |
| 4,027 |
| 1,600 |
| 1,600 |
| 2,427 |
| 2,427 |
|
Kemper |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 02/15/2025 (F) |
| 1,105 |
| 1,120 |
| 515 |
| 522 |
| 590 |
| 598 |
|
KKR Group Finance II |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 02/01/2043 (E) |
| 80 |
| 91 |
| 60 |
| 68 |
| 20 |
| 23 |
|
Lazard Group LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 02/13/2025 |
| 1,410 |
| 1,438 |
| 650 |
| 663 |
| 760 |
| 775 |
|
Liberty Mutual Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.500%, 05/15/2025 (E) |
| 100 |
| 130 |
|
|
|
|
| 100 |
| 130 |
|
Lloyds Banking Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.100%, 07/06/2021 |
| 490 |
| 498 |
|
|
|
|
| 490 |
| 498 |
|
Lloyds TSB Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.800%, 01/13/2020 (E) |
| 310 |
| 335 |
|
|
|
|
| 310 |
| 335 |
|
Macquarie Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.947%, VAR ICE LIBOR USD 3 Month+0.630%, 10/27/2017 (A) (E) |
| 1,180 |
| 1,181 |
| 1,180 |
| 1,181 |
|
|
|
|
|
Macquarie Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 01/14/2021 (E) |
| 166 |
| 185 |
|
|
|
|
| 166 |
| 185 |
|
Massachusetts Mutual Life Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.875%, 06/01/2039 (E) |
| 196 |
| 318 |
| 107 |
| 174 |
| 89 |
| 144 |
|
MetLife |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.400%, 12/15/2036 |
| 915 |
| 1,055 |
|
|
|
|
| 915 |
| 1,055 |
|
MetLife |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.700%, 06/15/2035 |
| 15 |
| 18 |
|
|
|
|
| 15 |
| 18 |
|
MetLife Capital Trust IV |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.875%, 12/15/2067 (E) |
| 800 |
| 1,072 |
| 800 |
| 1,072 |
|
|
|
|
|
Metropolitan Life Global Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.500%, 01/10/2018 (E) |
| 313 |
| 313 |
|
|
|
|
| 313 |
| 313 |
|
Metropolitan Life Global Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 12/18/2026 (E) |
| 2,375 |
| 2,443 |
| 1,150 |
| 1,183 |
| 1,225 |
| 1,260 |
|
Metropolitan Life Global Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.950%, 09/15/2021 (E) |
| 710 |
| 699 |
| 330 |
| 325 |
| 380 |
| 374 |
|
Mitsubishi UFJ Financial Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.998%, 02/22/2022 |
| 230 |
| 233 |
| 230 |
| 233 |
|
|
|
|
|
Mizuho Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.800%, 03/26/2018 (E) |
| 200 |
| 200 |
|
|
|
|
| 200 |
| 200 |
|
Morgan Stanley |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 01/20/2027 (F) |
| 1,470 |
| 1,490 |
| 681 |
| 690 |
| 789 |
| 800 |
|
Morgan Stanley |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 01/22/2047 |
| 225 |
| 240 |
| 105 |
| 112 |
| 120 |
| 128 |
|
Morgan Stanley |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.109%, VAR ICE LIBOR USD 3 Month+0.800%, 02/14/2020 (A) |
| 6,750 |
| 6,784 |
| 4,500 |
| 4,523 |
| 2,250 |
| 2,261 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 07/24/2020 |
| 500 |
| 543 |
| 500 |
| 543 |
|
|
|
|
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.125%, 07/27/2026 |
| 190 |
| 186 |
| 135 |
| 132 |
| 55 |
| 54 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.243%, VAR ICE LIBOR USD 3 Month+0.930%, 07/22/2022 (A) |
| 3,045 |
| 3,057 |
| 2,045 |
| 2,053 |
| 1,000 |
| 1,004 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 11/17/2021 |
| 5,127 |
| 5,145 |
| 2,478 |
| 2,487 |
| 2,649 |
| 2,658 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 05/19/2022 (F) |
| 2,950 |
| 2,967 |
| 1,370 |
| 1,378 |
| 1,580 |
| 1,589 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.971%, VAR ICE LIBOR USD 3 Month+1.455%, 07/22/2038 (A) |
| 845 |
| 849 |
| 390 |
| 392 |
| 455 |
| 457 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 09/23/2019 |
| 350 |
| 374 |
|
|
|
|
| 350 |
| 374 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 09/08/2026 |
| 80 |
| 84 |
| 37 |
| 39 |
| 43 |
| 45 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 04/21/2021 |
| 1,025 |
| 1,028 |
| 575 |
| 577 |
| 450 |
| 451 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.300%, 05/13/2019 |
| 965 |
| 1,045 |
| 545 |
| 590 |
| 420 |
| 455 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.625%, 04/01/2018 |
| 4,300 |
| 4,405 |
| 1,000 |
| 1,024 |
| 3,300 |
| 3,381 |
|
Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 12/28/2017 |
| 2,200 |
| 2,222 |
| 2,000 |
| 2,020 |
| 200 |
| 202 |
|
National City |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 05/15/2019 |
| 50 |
| 54 |
|
|
|
|
| 50 |
| 54 |
|
Nationwide Mutual Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.610%, VAR ICE LIBOR USD 3 Month+2.290%, 12/15/2024 (A) (E) |
| 3,735 |
| 3,731 |
| 2,975 |
| 2,972 |
| 760 |
| 759 |
|
New York Life Global Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.550%, 11/02/2018 (E) |
| 1,000 |
| 999 |
| 1,000 |
| 999 |
|
|
|
|
|
New York Life Global Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 06/18/2019 (E) |
| 73 |
| 73 |
|
|
|
|
| 73 |
| 73 |
|
New York Life Global Funding MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.100%, 01/02/2019 (E) |
| 330 |
| 332 |
|
|
|
|
| 330 |
| 332 |
|
New York Life Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 11/15/2039 (E) |
| 670 |
| 932 |
| 415 |
| 577 |
| 255 |
| 355 |
|
Nippon Life Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, VAR USD ICE Swap 11:00 NY 5 Yr+2.880%, 09/19/2047 (A) (E) (F) |
| 1,055 |
| 1,044 |
| 490 |
| 485 |
| 565 |
| 559 |
|
Nordea Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 05/13/2021 (E) |
| 250 |
| 268 |
|
|
|
|
| 250 |
| 268 |
|
Nordea Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.625%, 05/15/2018 (E) |
| 220 |
| 220 |
|
|
|
|
| 220 |
| 220 |
|
Northwestern Mutual Life Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.063%, 03/30/2040 (E) |
| 1,370 |
| 1,803 |
| 690 |
| 908 |
| 680 |
| 895 |
|
Northwestern Mutual Life Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 09/30/2047 (E) |
| 935 |
| 924 |
| 435 |
| 430 |
| 500 |
| 494 |
|
Pipeline Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 01/15/2030 (E) |
| 434 |
| 513 |
|
|
|
|
| 434 |
| 513 |
|
PNC Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 07/02/2019 |
| 870 |
| 876 |
| 545 |
| 549 |
| 325 |
| 327 |
|
PNC Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.550%, 12/09/2021 |
| 1,030 |
| 1,039 |
| 250 |
| 252 |
| 780 |
| 787 |
|
PNC Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 10/18/2019 |
| 1,025 |
| 1,034 |
| 625 |
| 630 |
| 400 |
| 404 |
|
Pricoa Global Funding MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.600%, 05/29/2018 (E) |
| 150 |
| 150 |
|
|
|
|
| 150 |
| 150 |
|
Protective Life Global Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.722%, 04/15/2019 (E) |
| 2,470 |
| 2,462 |
| 1,600 |
| 1,595 |
| 870 |
| 867 |
|
Prudential Financial MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 05/12/2041 |
| 10 |
| 12 |
|
|
|
|
| 10 |
| 12 |
|
Quicken Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 05/01/2025 (E) |
| 200 |
| 210 |
| 200 |
| 210 |
|
|
|
|
|
Royal Bank of Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 02/05/2020 |
| 180 |
| 180 |
|
|
|
|
| 180 |
| 180 |
|
Royal Bank of Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 10/01/2018 |
| 183 |
| 183 |
|
|
|
|
| 183 |
| 183 |
|
Royal Bank of Scotland Group PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.100%, 06/10/2023 |
| 550 |
| 609 |
| 550 |
| 609 |
|
|
|
|
|
Royal Bank of Scotland Group PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 05/28/2024 |
| 490 |
| 522 |
| 490 |
| 522 |
|
|
|
|
|
Royal Bank of Scotland Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 12/19/2023 |
| 860 |
| 951 |
| 860 |
| 951 |
|
|
|
|
|
Royal Bank of Scotland Group PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 12/15/2022 |
| 390 |
| 429 |
| 390 |
| 429 |
|
|
|
|
|
Santander Holdings USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 07/17/2025 |
| 80 |
| 83 |
| 80 |
| 83 |
|
|
|
|
|
Santander UK Group Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 08/05/2021 |
| 1,685 |
| 1,693 |
| 1,485 |
| 1,492 |
| 200 |
| 201 |
|
SL Green Realty |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.750%, 03/15/2020 |
| 1,000 |
| 1,114 |
| 1,000 |
| 1,114 |
|
|
|
|
|
Standard Chartered |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.700%, 03/26/2044 (E) (F) |
| 1,760 |
| 2,068 |
| 1,160 |
| 1,363 |
| 600 |
| 705 |
|
State Street |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 11/20/2023 |
| 138 |
| 147 |
|
|
|
|
| 138 |
| 147 |
|
State Street |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 12/16/2024 |
| 70 |
| 72 |
|
|
|
|
| 70 |
| 72 |
|
State Street |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.956%, 03/15/2018 |
| 1,570 |
| 1,592 |
| 1,300 |
| 1,318 |
| 270 |
| 274 |
|
Sumitomo Mitsui Financial Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.058%, 07/14/2021 |
| 340 |
| 335 |
| 340 |
| 335 |
|
|
|
|
|
Teachers Insurance & Annuity Association of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.900%, 09/15/2044 (E) |
| 615 |
| 695 |
| 175 |
| 198 |
| 440 |
| 497 |
|
Teachers Insurance & Annuity Association of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.850%, 12/16/2039 (E) |
| 124 |
| 171 |
| 110 |
| 152 |
| 14 |
| 19 |
|
Teachers Insurance & Annuity Association of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.270%, 05/15/2047 (E) |
| 270 |
| 279 |
| 125 |
| 129 |
| 145 |
| 150 |
|
Toronto-Dominion Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.750%, 07/23/2018 |
| 72 |
| 72 |
|
|
|
|
| 72 |
| 72 |
|
UBS MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.800%, 03/26/2018 |
| 445 |
| 446 |
|
|
|
|
| 445 |
| 446 |
|
UBS Group Funding Switzerland |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.650%, 02/01/2022 (E) (F) |
| 2,070 |
| 2,062 |
| 1,025 |
| 1,021 |
| 1,045 |
| 1,041 |
|
UBS Group Funding Switzerland |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.491%, 05/23/2023 (E) |
| 3,115 |
| 3,190 |
| 1,655 |
| 1,695 |
| 1,460 |
| 1,495 |
|
UBS Group Funding Switzerland |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 09/24/2025 (E) |
| 200 |
| 210 |
| 200 |
| 210 |
|
|
|
|
|
UBS Group Funding Switzerland |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.253%, 03/23/2028 (E) |
| 1,130 |
| 1,185 |
| 720 |
| 755 |
| 410 |
| 430 |
|
US Bancorp MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 04/27/2027 |
| 533 |
| 536 |
| 247 |
| 248 |
| 286 |
| 288 |
|
US Bancorp MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 07/15/2022 |
| 25 |
| 25 |
|
|
|
|
| 25 |
| 25 |
|
US Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.125%, 10/28/2019 |
| 695 |
| 700 |
| 435 |
| 438 |
| 260 |
| 262 |
|
Ventas Realty L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 04/01/2020 |
| 1,450 |
| 1,464 |
| 1,450 |
| 1,464 |
|
|
|
|
|
Wachovia MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 02/01/2018 |
| 5,140 |
| 5,211 |
| 2,000 |
| 2,028 |
| 3,140 |
| 3,183 |
|
Wachovia Capital Trust III |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.570%, VAR ICE LIBOR USD 3 Month+0.930%, 12/31/2049 (A) (F) |
| 2,790 |
| 2,797 |
| 2,340 |
| 2,346 |
| 450 |
| 451 |
|
WEA Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 10/05/2020 (E) |
| 1,750 |
| 1,787 |
| 1,750 |
| 1,787 |
|
|
|
|
|
WEA Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 09/17/2024 (E) |
| 990 |
| 1,009 |
| 780 |
| 795 |
| 210 |
| 214 |
|
WEA Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 09/17/2044 (E) |
| 230 |
| 237 |
| 230 |
| 237 |
|
|
|
|
|
WEA Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 04/05/2022 (E) |
| 1,185 |
| 1,199 |
| 555 |
| 562 |
| 630 |
| 637 |
|
Wells Fargo |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.100%, 07/26/2021 |
| 2,830 |
| 2,806 |
| 1,280 |
| 1,269 |
| 1,550 |
| 1,537 |
|
Wells Fargo |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 10/23/2026 |
| 2,240 |
| 2,190 |
| 1,310 |
| 1,281 |
| 930 |
| 909 |
|
Wells Fargo |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, VAR ICE LIBOR USD 3 Month+3.990%, 12/29/2049 (A) |
| 120 |
| 134 |
| 120 |
| 134 |
|
|
|
|
|
Wells Fargo |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 04/22/2026 |
| 2,855 |
| 2,805 |
| 1,935 |
| 1,901 |
| 920 |
| 904 |
|
Wells Fargo |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 11/15/2017 |
| 250 |
| 251 |
| 250 |
| 251 |
|
|
|
|
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/08/2022 |
| 430 |
| 447 |
|
|
|
|
| 430 |
| 447 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 12/07/2046 (F) |
| 700 |
| 769 |
| 500 |
| 549 |
| 200 |
| 220 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 02/13/2023 |
| 660 |
| 677 |
| 430 |
| 441 |
| 230 |
| 236 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.550%, 12/07/2020 |
| 46 |
| 46 |
|
|
|
|
| 46 |
| 46 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 01/30/2020 |
| 70 |
| 70 |
|
|
|
|
| 70 |
| 70 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 07/22/2027 (F) |
| 2,510 |
| 2,654 |
| 1,500 |
| 1,586 |
| 1,010 |
| 1,068 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.900%, 11/17/2045 |
| 1,034 |
| 1,153 |
| 650 |
| 725 |
| 384 |
| 428 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 08/15/2023 |
| 900 |
| 953 |
|
|
|
|
| 900 |
| 953 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 01/22/2021 |
| 1,585 |
| 1,621 |
| 1,010 |
| 1,033 |
| 575 |
| 588 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 06/14/2046 (F) |
| 1,370 |
| 1,422 |
| 820 |
| 851 |
| 550 |
| 571 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.600%, 04/01/2021 |
| 160 |
| 172 |
| 160 |
| 172 |
|
|
|
|
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.650%, 11/04/2044 |
| 261 |
| 279 |
| 260 |
| 278 |
| 1 |
| 1 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 07/22/2022 (F) |
| 5,020 |
| 5,029 |
| 3,340 |
| 3,346 |
| 1,680 |
| 1,683 |
|
Wells Fargo Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 12/06/2019 |
| 1,125 |
| 1,131 |
|
|
|
|
| 1,125 |
| 1,131 |
|
Wells Fargo Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.650%, 01/22/2018 |
| 2,255 |
| 2,256 |
| 1,670 |
| 1,671 |
| 585 |
| 585 |
|
Westpac Banking |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 11/19/2019 |
| 170 |
| 180 |
|
|
|
|
| 170 |
| 180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 382,191 |
|
|
| 219,482 |
|
|
| 162,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Russian Foreign Bond - Eurobond |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/04/2022 |
| 400 |
| 427 |
| 400 |
| 427 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care — 5.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbott Laboratories |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.900%, 11/30/2046 |
| 755 |
| 843 |
| 435 |
| 486 |
| 320 |
| 357 |
|
Abbott Laboratories |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 11/30/2026 |
| 5,025 |
| 5,156 |
| 2,735 |
| 2,806 |
| 2,290 |
| 2,350 |
|
Abbott Laboratories |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 11/30/2023 |
| 4,245 |
| 4,378 |
| 2,080 |
| 2,145 |
| 2,165 |
| 2,233 |
|
Abbott Laboratories |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 11/30/2036 |
| 260 |
| 287 |
| 170 |
| 188 |
| 90 |
| 99 |
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.900%, 11/06/2022 (F) |
| 420 |
| 426 |
| 190 |
| 193 |
| 230 |
| 233 |
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.700%, 05/14/2045 |
| 500 |
| 545 |
| 500 |
| 545 |
|
|
|
|
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 05/14/2026 (F) |
| 775 |
| 777 |
| 360 |
| 361 |
| 415 |
| 416 |
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.450%, 05/14/2046 |
| 1,150 |
| 1,210 |
| 535 |
| 563 |
| 615 |
| 647 |
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 05/14/2025 |
| 610 |
| 632 |
| 90 |
| 93 |
| 520 |
| 539 |
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 05/14/2020 |
| 1,700 |
| 1,720 |
| 790 |
| 799 |
| 910 |
| 921 |
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.800%, 05/14/2018 |
| 1,250 |
| 1,252 |
| 750 |
| 751 |
| 500 |
| 501 |
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 11/06/2022 |
| 44 |
| 45 |
|
|
|
|
| 44 |
| 45 |
|
AbbVie |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/14/2035 |
| 1,125 |
| 1,211 |
| 510 |
| 549 |
| 615 |
| 662 |
|
Actavis |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 10/01/2022 |
| 13 |
| 13 |
|
|
|
|
| 13 |
| 13 |
|
Aetna |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 08/15/2047 |
| 90 |
| 91 |
|
|
|
|
| 90 |
| 91 |
|
Aetna |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%, 06/15/2023 |
| 3,465 |
| 3,486 |
| 1,665 |
| 1,675 |
| 1,800 |
| 1,811 |
|
Aetna |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 03/15/2019 |
| 490 |
| 493 |
| 310 |
| 312 |
| 180 |
| 181 |
|
Allergan Funding SCS |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.350%, 03/12/2018 |
| 500 |
| 501 |
|
|
|
|
| 500 |
| 501 |
|
Allergan Funding SCS |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 03/15/2022 |
| 925 |
| 960 |
| 530 |
| 550 |
| 395 |
| 410 |
|
Allergan Funding SCS |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.550%, 03/15/2035 |
| 340 |
| 363 |
| 60 |
| 64 |
| 280 |
| 299 |
|
Allergan Funding SCS |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 03/15/2045 |
| 55 |
| 59 |
| 41 |
| 44 |
| 14 |
| 15 |
|
Allergan Funding SCS |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 03/15/2025 |
| 3,635 |
| 3,775 |
| 2,495 |
| 2,591 |
| 1,140 |
| 1,184 |
|
Amgen |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 11/15/2021 |
| 150 |
| 159 |
|
|
|
|
| 150 |
| 159 |
|
Amgen |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.125%, 05/01/2020 |
| 22 |
| 22 |
|
|
|
|
| 22 |
| 22 |
|
Amgen |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 11/15/2041 |
| 1,505 |
| 1,721 |
| 745 |
| 852 |
| 760 |
| 869 |
|
Amgen |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 05/22/2024 (F) |
| 130 |
| 135 |
| 100 |
| 104 |
| 30 |
| 31 |
|
Amgen |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 05/01/2045 |
| 1,257 |
| 1,331 |
| 745 |
| 789 |
| 512 |
| 542 |
|
Amgen |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.663%, 06/15/2051 |
| 1,658 |
| 1,819 |
| 500 |
| 549 |
| 1,158 |
| 1,270 |
|
Anthem |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.300%, 07/15/2018 |
| 65 |
| 65 |
|
|
|
|
| 65 |
| 65 |
|
Anthem |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 08/15/2024 |
| 590 |
| 607 |
| 500 |
| 514 |
| 90 |
| 93 |
|
Anthem |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.125%, 05/15/2022 |
| 468 |
| 478 |
|
|
|
|
| 468 |
| 478 |
|
Anthem |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 05/15/2042 |
| 41 |
| 44 |
|
|
|
|
| 41 |
| 44 |
|
Anthem |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 01/15/2018 |
| 1,100 |
| 1,101 |
|
|
|
|
| 1,100 |
| 1,101 |
|
AstraZeneca |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.375%, 11/16/2025 |
| 500 |
| 508 |
|
|
|
|
| 500 |
| 508 |
|
Baxalta |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 06/23/2022 |
| 1,832 |
| 1,898 |
| 920 |
| 953 |
| 912 |
| 945 |
|
Baxalta |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 06/23/2020 |
| 500 |
| 507 |
|
|
|
|
| 500 |
| 507 |
|
Baylor Scott & White Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.185%, 11/15/2045 |
| 1,000 |
| 1,052 |
|
|
|
|
| 1,000 |
| 1,052 |
|
Becton Dickinson |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.363%, 06/06/2024 |
| 2,090 |
| 2,109 |
| 1,115 |
| 1,125 |
| 975 |
| 984 |
|
Becton Dickinson |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.734%, 12/15/2024 (F) |
| 232 |
| 238 |
| 162 |
| 166 |
| 70 |
| 72 |
|
Becton Dickinson |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 06/06/2027 (F) |
| 980 |
| 991 |
| 455 |
| 460 |
| 525 |
| 531 |
|
Becton Dickinson |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.685%, 12/15/2044 (F) |
| 1,055 |
| 1,115 |
| 505 |
| 534 |
| 550 |
| 581 |
|
Becton Dickinson |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.404%, 06/05/2020 |
| 1,470 |
| 1,475 |
| 680 |
| 682 |
| 790 |
| 793 |
|
Becton Dickinson |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.894%, 06/06/2022 |
| 1,240 |
| 1,244 |
| 575 |
| 577 |
| 665 |
| 667 |
|
Biogen |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 09/15/2022 |
| 430 |
| 452 |
| 260 |
| 273 |
| 170 |
| 179 |
|
Cardinal Health |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.616%, 06/15/2022 |
| 270 |
| 270 |
| 170 |
| 170 |
| 100 |
| 100 |
|
Cardinal Health |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.079%, 06/15/2024 |
| 350 |
| 352 |
| 220 |
| 221 |
| 130 |
| 131 |
|
Celgene |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 05/15/2024 |
| 69 |
| 72 |
|
|
|
|
| 69 |
| 72 |
|
Celgene |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 08/15/2045 |
| 3,472 |
| 3,925 |
| 2,125 |
| 2,402 |
| 1,347 |
| 1,523 |
|
Celgene |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 08/15/2043 |
| 40 |
| 46 |
|
|
|
|
| 40 |
| 46 |
|
Celgene |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.550%, 08/15/2022 |
| 360 |
| 377 |
| 300 |
| 314 |
| 60 |
| 63 |
|
Celgene |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 08/15/2025 |
| 480 |
| 506 |
| 220 |
| 232 |
| 260 |
| 274 |
|
Centene |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 05/15/2022 |
| 210 |
| 219 |
| 210 |
| 219 |
|
|
|
|
|
Centene |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 02/15/2024 |
| 110 |
| 119 |
| 110 |
| 119 |
|
|
|
|
|
Centene |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 01/15/2025 |
| 130 |
| 135 |
| 130 |
| 135 |
|
|
|
|
|
Cigna |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.050%, 10/15/2027 |
| 1,745 |
| 1,721 |
| 1,005 |
| 991 |
| 740 |
| 730 |
|
DaVita |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 05/01/2025 |
| 20 |
| 20 |
| 20 |
| 20 |
|
|
|
|
|
Eli Lilly |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.100%, 05/15/2027 |
| 910 |
| 916 |
| 475 |
| 478 |
| 435 |
| 438 |
|
Eli Lilly |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.350%, 05/15/2022 (F) |
| 405 |
| 405 |
| 190 |
| 190 |
| 215 |
| 215 |
|
Eli Lilly |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 05/15/2047 |
| 365 |
| 378 |
| 170 |
| 176 |
| 195 |
| 202 |
|
EMD Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 03/19/2020 (E) |
| 1,995 |
| 2,010 |
| 1,045 |
| 1,053 |
| 950 |
| 957 |
|
Forest Laboratories |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 12/15/2021 (E) |
| 35 |
| 38 |
|
|
|
|
| 35 |
| 38 |
|
Fresenius Medical Care US Finance II |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 01/31/2022 (E) |
| 170 |
| 191 |
| 170 |
| 191 |
|
|
|
|
|
Fresenius Medical Care US Finance II |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 09/15/2018 (E) |
| 1,250 |
| 1,303 |
|
|
|
|
| 1,250 |
| 1,303 |
|
Fresenius Medical Care US Finance II |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 07/31/2019 (E) |
| 750 |
| 796 |
| 750 |
| 796 |
|
|
|
|
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.650%, 12/01/2041 |
| 35 |
| 44 |
|
|
|
|
| 35 |
| 44 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 03/01/2047 |
| 260 |
| 266 |
|
|
|
|
| 260 |
| 266 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 03/01/2027 |
| 550 |
| 545 |
|
|
|
|
| 550 |
| 545 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 09/01/2022 |
| 670 |
| 692 |
| 405 |
| 418 |
| 265 |
| 274 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 04/01/2024 (F) |
| 995 |
| 1,051 |
| 775 |
| 819 |
| 220 |
| 232 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.650%, 03/01/2026 |
| 460 |
| 480 |
| 310 |
| 323 |
| 150 |
| 157 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 03/01/2046 |
| 790 |
| 884 |
| 470 |
| 526 |
| 320 |
| 358 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.850%, 09/20/2019 |
| 280 |
| 280 |
|
|
|
|
| 280 |
| 280 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 02/01/2025 |
| 1,030 |
| 1,073 |
| 1,030 |
| 1,073 |
|
|
|
|
|
Gilead Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 02/01/2045 |
| 10 |
| 11 |
|
|
|
|
| 10 |
| 11 |
|
GlaxoSmithKline Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.650%, 05/15/2018 |
| 810 |
| 831 |
| 810 |
| 831 |
|
|
|
|
|
GlaxoSmithKline Capital PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.850%, 05/08/2022 |
| 170 |
| 174 |
|
|
|
|
| 170 |
| 174 |
|
Humana |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 12/01/2022 |
| 560 |
| 570 |
| 170 |
| 173 |
| 390 |
| 397 |
|
Humana |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.200%, 06/15/2018 |
| 2,709 |
| 2,810 |
| 1,150 |
| 1,193 |
| 1,559 |
| 1,617 |
|
Humana |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.800%, 03/15/2047 (F) |
| 30 |
| 33 |
| 20 |
| 22 |
| 10 |
| 11 |
|
Humana |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 12/01/2042 (F) |
| 170 |
| 183 |
| 130 |
| 140 |
| 40 |
| 43 |
|
Humana |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 10/01/2024 |
| 1,470 |
| 1,544 |
| 790 |
| 830 |
| 680 |
| 714 |
|
Humana |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.950%, 10/01/2044 |
| 60 |
| 69 |
| 50 |
| 57 |
| 10 |
| 12 |
|
Humana |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 03/15/2027 |
| 70 |
| 73 |
| 50 |
| 52 |
| 20 |
| 21 |
|
Johnson & Johnson |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 03/03/2037 |
| 260 |
| 270 |
| 260 |
| 270 |
|
|
|
|
|
Johnson & Johnson |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 03/01/2046 |
| 170 |
| 176 |
|
|
|
|
| 170 |
| 176 |
|
Johnson & Johnson |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 12/05/2043 |
| 850 |
| 976 |
| 600 |
| 689 |
| 250 |
| 287 |
|
Kaiser Foundation Hospitals |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 05/01/2027 |
| 3,600 |
| 3,623 |
| 2,500 |
| 2,516 |
| 1,100 |
| 1,107 |
|
Laboratory Corp of America Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 09/01/2024 |
| 720 |
| 722 |
| 335 |
| 336 |
| 385 |
| 386 |
|
Laboratory Corp of America Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 09/01/2027 |
| 721 |
| 725 |
| 335 |
| 337 |
| 386 |
| 388 |
|
Medtronic |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 03/15/2035 |
| 76 |
| 84 |
|
|
|
|
| 76 |
| 84 |
|
Medtronic |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 03/15/2022 |
| 65 |
| 67 |
|
|
|
|
| 65 |
| 67 |
|
Medtronic |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 03/15/2024 |
| 1,055 |
| 1,112 |
| 465 |
| 490 |
| 590 |
| 622 |
|
Medtronic |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 03/15/2045 |
| 60 |
| 68 |
|
|
|
|
| 60 |
| 68 |
|
Medtronic |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/15/2025 (F) |
| 1,040 |
| 1,085 |
| 840 |
| 876 |
| 200 |
| 209 |
|
Medtronic Global Holdings SCA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.350%, 04/01/2027 |
| 520 |
| 534 |
| 330 |
| 339 |
| 190 |
| 195 |
|
Merck |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 09/15/2022 |
| 29 |
| 29 |
|
|
|
|
| 29 |
| 29 |
|
Merck |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 02/10/2025 (F) |
| 330 |
| 332 |
| 230 |
| 231 |
| 100 |
| 101 |
|
New York and Presbyterian Hospital |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.563%, 08/01/2036 |
| 730 |
| 713 |
|
|
|
|
| 730 |
| 713 |
|
Perrigo Finance Unlimited |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 12/15/2024 |
| 500 |
| 511 |
| 235 |
| 240 |
| 265 |
| 271 |
|
Perrigo Finance Unlimited |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 03/15/2026 |
| 665 |
| 690 |
| 365 |
| 379 |
| 300 |
| 311 |
|
Pfizer |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/15/2036 |
| 1,040 |
| 1,116 |
| 410 |
| 440 |
| 630 |
| 676 |
|
Pfizer |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 05/15/2044 |
| 345 |
| 381 |
|
|
|
|
| 345 |
| 381 |
|
Providence St. Joseph Health Obligated Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.746%, 10/01/2026 |
| 1,700 |
| 1,631 |
| 1,200 |
| 1,151 |
| 500 |
| 480 |
|
RWJ Barnabas Health |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.949%, 07/01/2046 |
| 1,030 |
| 1,026 |
| 1,030 |
| 1,026 |
|
|
|
|
|
Shire Acquisitions Investments Ireland |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 09/23/2026 (F) |
| 1,745 |
| 1,720 |
| 810 |
| 798 |
| 935 |
| 922 |
|
Shire Acquisitions Investments Ireland |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.900%, 09/23/2019 |
| 3,200 |
| 3,194 |
| 2,200 |
| 2,196 |
| 1,000 |
| 998 |
|
Shire Acquisitions Investments Ireland |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 09/23/2023 |
| 1,480 |
| 1,471 |
| 685 |
| 681 |
| 795 |
| 790 |
|
Stryker |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 03/15/2046 |
| 675 |
| 735 |
|
|
|
|
| 675 |
| 735 |
|
Tenet Healthcare |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.125%, 04/01/2022 |
| 60 |
| 61 |
| 60 |
| 61 |
|
|
|
|
|
Teva Pharmaceutical Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 12/18/2022 |
| 120 |
| 117 |
| 120 |
| 117 |
|
|
|
|
|
Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 10/01/2026 |
| 190 |
| 175 |
| 190 |
| 175 |
|
|
|
|
|
Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 07/21/2021 |
| 10 |
| 9 |
| 10 |
| 9 |
|
|
|
|
|
Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%, 07/21/2023 |
| 50 |
| 48 |
| 50 |
| 48 |
|
|
|
|
|
Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.400%, 07/20/2018 |
| 750 |
| 747 |
|
|
|
|
| 750 |
| 747 |
|
Thermo Fisher Scientific |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.100%, 08/15/2047 (F) |
| 768 |
| 770 |
| 356 |
| 357 |
| 412 |
| 413 |
|
Thermo Fisher Scientific |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 02/15/2022 |
| 465 |
| 481 |
|
|
|
|
| 465 |
| 481 |
|
Thermo Fisher Scientific |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 08/15/2027 |
| 1,200 |
| 1,187 |
| 555 |
| 549 |
| 645 |
| 638 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 03/15/2023 |
| 50 |
| 51 |
|
|
|
|
| 50 |
| 51 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.375%, 11/15/2021 |
| 75 |
| 78 |
|
|
|
|
| 75 |
| 78 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 07/15/2025 |
| 70 |
| 74 |
|
|
|
|
| 70 |
| 74 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 12/15/2021 |
| 1,235 |
| 1,267 |
| 580 |
| 595 |
| 655 |
| 672 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 10/15/2020 |
| 710 |
| 746 |
| 530 |
| 557 |
| 180 |
| 189 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 04/15/2047 |
| 450 |
| 483 |
|
|
|
|
| 450 |
| 483 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.800%, 03/15/2036 |
| 280 |
| 353 |
| 280 |
| 353 |
|
|
|
|
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 07/15/2045 (F) |
| 1,150 |
| 1,328 |
| 950 |
| 1,097 |
| 200 |
| 231 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 07/15/2035 |
| 28 |
| 32 |
|
|
|
|
| 28 |
| 32 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.350%, 07/15/2022 |
| 28 |
| 29 |
|
|
|
|
| 28 |
| 29 |
|
Valeant Pharmaceuticals International |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 05/15/2023 (E) |
| 90 |
| 80 |
| 90 |
| 80 |
|
|
|
|
|
Valeant Pharmaceuticals International |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 07/15/2021 (E) |
| 1,040 |
| 1,037 |
| 1,040 |
| 1,037 |
|
|
|
|
|
Valeant Pharmaceuticals International |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 03/15/2020 (E) |
| 60 |
| 60 |
| 60 |
| 60 |
|
|
|
|
|
Valeant Pharmaceuticals International |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%, 03/15/2024 (E) |
| 200 |
| 213 |
| 200 |
| 213 |
|
|
|
|
|
Valeant Pharmaceuticals International |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 03/15/2022 (E) |
| 70 |
| 74 |
| 70 |
| 74 |
|
|
|
|
|
Wyeth LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 04/01/2037 (F) |
| 470 |
| 615 |
| 340 |
| 445 |
| 130 |
| 170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 105,812 |
|
|
| 55,279 |
|
|
| 50,533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials — 3.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
ABB Finance USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 05/08/2042 |
| 110 |
| 118 |
| 80 |
| 86 |
| 30 |
| 32 |
|
AerCap Ireland Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/15/2021 |
| 370 |
| 391 |
|
|
|
|
| 370 |
| 391 |
|
AerCap Ireland Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 07/01/2022 |
| 210 |
| 225 |
| 210 |
| 225 |
|
|
|
|
|
AerCap Ireland Capital DAC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 05/15/2019 |
| 520 |
| 532 |
| 520 |
| 532 |
|
|
|
|
|
Air Lease |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 04/01/2027 |
| 1,085 |
| 1,086 |
| 505 |
| 506 |
| 580 |
| 580 |
|
Air Lease |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 07/01/2022 (F) |
| 1,720 |
| 1,708 |
| 800 |
| 794 |
| 920 |
| 914 |
|
Aviation Capital Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 04/06/2021 (E) |
| 120 |
| 136 |
|
|
|
|
| 120 |
| 136 |
|
BAE Systems |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 10/11/2021 (E) |
| 2,100 |
| 2,265 |
| 1,350 |
| 1,456 |
| 750 |
| 809 |
|
Boeing |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 02/15/2020 |
| 210 |
| 225 |
|
|
|
|
| 210 |
| 225 |
|
Burlington Northern Santa Fe |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 04/01/2045 |
| 670 |
| 711 |
| 505 |
| 536 |
| 165 |
| 175 |
|
Burlington Northern Santa Fe |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 03/15/2018 |
| 950 |
| 968 |
|
|
|
|
| 950 |
| 968 |
|
Burlington Northern Santa Fe |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.400%, 06/01/2041 |
| 50 |
| 62 |
|
|
|
|
| 50 |
| 62 |
|
Burlington Northern Santa Fe |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.290%, 06/01/2036 |
| 90 |
| 127 |
|
|
|
|
| 90 |
| 127 |
|
Burlington Northern Santa Fe |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 09/15/2021 |
| 91 |
| 95 |
|
|
|
|
| 91 |
| 95 |
|
Canadian Pacific Railway |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 09/15/2115 |
| 44 |
| 56 |
|
|
|
|
| 44 |
| 56 |
|
Caterpillar Financial Services MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 08/20/2021 |
| 1,025 |
| 1,040 |
| 620 |
| 629 |
| 405 |
| 411 |
|
Caterpillar Financial Services MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.100%, 01/10/2020 |
| 815 |
| 819 |
| 265 |
| 266 |
| 550 |
| 553 |
|
Catholic Health Initiatives |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 11/01/2042 |
| 110 |
| 103 |
| 80 |
| 75 |
| 30 |
| 28 |
|
Cintas No. 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.900%, 04/01/2022 |
| 400 |
| 407 |
| 230 |
| 234 |
| 170 |
| 173 |
|
Cintas No. 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 04/01/2027 |
| 400 |
| 418 |
| 260 |
| 272 |
| 140 |
| 146 |
|
CK Hutchison International 17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 03/29/2023 (E) |
| 639 |
| 636 |
| 270 |
| 269 |
| 369 |
| 367 |
|
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.256%, 03/15/2020 |
| 1,061 |
| 1,128 |
| 966 |
| 1,027 |
| 95 |
| 101 |
|
Continental Airlines Pass-Through Trust, Ser 2000-1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.048%, 11/01/2020 |
| 153 |
| 169 |
|
|
|
|
| 153 |
| 169 |
|
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.983%, 04/19/2022 |
| 1,856 |
| 2,042 |
| 1,252 |
| 1,378 |
| 604 |
| 664 |
|
Continental Airlines Pass-Through Trust, Ser 2009-2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.250%, 11/10/2019 |
| 130 |
| 143 |
|
|
|
|
| 130 |
| 143 |
|
CSX |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 05/01/2050 |
| 21 |
| 20 |
|
|
|
|
| 21 |
| 20 |
|
DAE Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 08/01/2024 (E) |
| 90 |
| 92 |
| 90 |
| 92 |
|
|
|
|
|
DAE Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 08/01/2022 (E) |
| 100 |
| 103 |
| 100 |
| 103 |
|
|
|
|
|
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.821%, 08/10/2022 |
| 465 |
| 536 |
| 368 |
| 424 |
| 97 |
| 112 |
|
Delta Air Lines Pass-Through Trust, Ser 2010-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.200%, 07/02/2018 |
| 235 |
| 242 |
|
|
|
|
| 235 |
| 242 |
|
Eaton |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 11/02/2022 |
| 900 |
| 906 |
| 450 |
| 453 |
| 450 |
| 453 |
|
Eaton |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.625%, 04/01/2024 |
| 75 |
| 90 |
|
|
|
|
| 75 |
| 90 |
|
Eaton |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.500%, 11/02/2017 |
| 330 |
| 330 |
| 270 |
| 270 |
| 60 |
| 60 |
|
Eaton |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 11/02/2042 |
| 550 |
| 552 |
| 440 |
| 442 |
| 110 |
| 110 |
|
FedEx |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.550%, 04/01/2046 (F) |
| 1,045 |
| 1,113 |
| 485 |
| 516 |
| 560 |
| 597 |
|
FedEx |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 01/15/2047 |
| 481 |
| 500 |
| 223 |
| 232 |
| 258 |
| 268 |
|
GE Capital International Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.418%, 11/15/2035 |
| 1,308 |
| 1,423 |
| 227 |
| 247 |
| 1,081 |
| 1,176 |
|
GE Capital International Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.342%, 11/15/2020 (F) |
| 1,225 |
| 1,237 |
| 530 |
| 535 |
| 695 |
| 702 |
|
General Dynamics |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 11/15/2027 |
| 970 |
| 939 |
| 450 |
| 436 |
| 520 |
| 503 |
|
General Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/11/2044 (F) |
| 855 |
| 957 |
| 220 |
| 246 |
| 635 |
| 711 |
|
General Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.100%, 12/11/2019 |
| 30 |
| 30 |
|
|
|
|
| 30 |
| 30 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.300%, 02/11/2021 |
| 293 |
| 322 |
| 184 |
| 202 |
| 109 |
| 120 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 08/07/2019 |
| 185 |
| 199 |
|
|
|
|
| 185 |
| 199 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 01/10/2039 |
| 726 |
| 1,063 |
| 521 |
| 763 |
| 205 |
| 300 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 01/14/2038 |
| 391 |
| 512 |
| 182 |
| 238 |
| 209 |
| 274 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.150%, 08/07/2037 |
| 254 |
| 337 |
|
|
|
|
| 254 |
| 337 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 09/16/2020 |
| 40 |
| 43 |
| 30 |
| 32 |
| 10 |
| 11 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 01/07/2021 |
| 135 |
| 146 |
|
|
|
|
| 135 |
| 146 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.650%, 10/17/2021 |
| 140 |
| 153 |
|
|
|
|
| 140 |
| 153 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.795%, VAR ICE LIBOR USD 3 Month+0.480%, 08/15/2036 (A) |
| 2,400 |
| 2,137 |
| 1,550 |
| 1,380 |
| 850 |
| 757 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 01/09/2020 |
| 43 |
| 43 |
|
|
|
|
| 43 |
| 43 |
|
General Electric MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 01/08/2020 |
| 180 |
| 194 |
|
|
|
|
| 180 |
| 194 |
|
Illinois Tool Works |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.650%, 11/15/2026 |
| 555 |
| 541 |
| 275 |
| 268 |
| 280 |
| 273 |
|
International Lease Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.625%, 01/15/2022 |
| 180 |
| 220 |
| 10 |
| 12 |
| 170 |
| 208 |
|
John Deere Capital MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%, 09/08/2027 |
| 1,050 |
| 1,032 |
| 487 |
| 479 |
| 563 |
| 553 |
|
John Deere Capital MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 09/08/2022 |
| 839 |
| 831 |
| 389 |
| 385 |
| 450 |
| 446 |
|
Lockheed Martin |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.350%, 09/15/2021 |
| 1,495 |
| 1,554 |
| 920 |
| 956 |
| 575 |
| 598 |
|
Lockheed Martin |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.100%, 01/15/2023 |
| 50 |
| 52 |
| 50 |
| 52 |
|
|
|
|
|
Lockheed Martin |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.550%, 01/15/2026 |
| 1,410 |
| 1,455 |
| 530 |
| 547 |
| 880 |
| 908 |
|
Lockheed Martin |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.070%, 12/15/2042 |
| 91 |
| 93 |
|
|
|
|
| 91 |
| 93 |
|
Lockheed Martin |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/15/2036 |
| 90 |
| 98 |
| 90 |
| 98 |
|
|
|
|
|
Mexico City Airport Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 07/31/2047 (E) |
| 740 |
| 749 |
| 335 |
| 339 |
| 405 |
| 410 |
|
Mexico City Airport Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 10/31/2046 (E) |
| 680 |
| 694 |
|
|
|
|
| 680 |
| 694 |
|
Mexico City Airport Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 04/30/2028 (E) (F) |
| 685 |
| 683 |
| 315 |
| 314 |
| 370 |
| 369 |
|
Northrop Grumman |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 02/01/2027 |
| 1,485 |
| 1,494 |
| 690 |
| 694 |
| 795 |
| 800 |
|
Northrop Grumman |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 04/15/2045 (F) |
| 431 |
| 420 |
| 200 |
| 195 |
| 231 |
| 225 |
|
Northrop Grumman |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 08/01/2023 |
| 3,025 |
| 3,118 |
| 1,400 |
| 1,443 |
| 1,625 |
| 1,675 |
|
Park Aerospace Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 08/15/2022 (E) |
| 80 |
| 83 |
| 80 |
| 83 |
|
|
|
|
|
Park Aerospace Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 02/15/2024 (E) |
| 160 |
| 168 |
| 160 |
| 168 |
|
|
|
|
|
Penske Truck Leasing L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 11/15/2026 (E) (F) |
| 1,275 |
| 1,260 |
| 595 |
| 588 |
| 680 |
| 672 |
|
Penske Truck Leasing L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.375%, 02/01/2022 (E) |
| 801 |
| 822 |
| 370 |
| 380 |
| 431 |
| 442 |
|
Penske Truck Leasing L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 03/14/2023 (E) |
| 1,092 |
| 1,082 |
| 506 |
| 501 |
| 586 |
| 581 |
|
Raytheon |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.125%, 10/15/2020 |
| 430 |
| 445 |
| 430 |
| 445 |
|
|
|
|
|
Republic Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 05/15/2018 |
| 2,254 |
| 2,283 |
| 1,254 |
| 1,270 |
| 1,000 |
| 1,013 |
|
Siemens Financieringsmaatschappij |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.900%, 05/27/2022 (E) |
| 1,875 |
| 1,916 |
| 825 |
| 843 |
| 1,050 |
| 1,073 |
|
Siemens Financieringsmaatschappij |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 03/16/2020 (E) |
| 1,485 |
| 1,500 |
| 695 |
| 702 |
| 790 |
| 798 |
|
Siemens Financieringsmaatschappij |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.350%, 10/15/2026 (E) |
| 555 |
| 523 |
|
|
|
|
| 555 |
| 523 |
|
Siemens Financieringsmaatschappij |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 09/15/2023 (E) |
| 1,030 |
| 996 |
| 1,030 |
| 996 |
|
|
|
|
|
Union Pacific |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 04/15/2027 |
| 1,195 |
| 1,202 |
| 560 |
| 563 |
| 635 |
| 639 |
|
United Rentals North America |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 01/15/2028 |
| 70 |
| 70 |
| 70 |
| 70 |
|
|
|
|
|
United Rentals North America |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 07/15/2025 |
| 240 |
| 257 |
| 240 |
| 257 |
|
|
|
|
|
United Technologies |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/01/2042 |
| 200 |
| 215 |
| 200 |
| 215 |
|
|
|
|
|
United Technologies |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.875%, 11/15/2019 |
| 110 |
| 125 |
|
|
|
|
| 110 |
| 125 |
|
United Technologies |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 11/01/2046 |
| 685 |
| 661 |
|
|
|
|
| 685 |
| 661 |
|
United Technologies |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%, 05/04/2018 (K) |
| 850 |
| 850 |
|
|
|
|
| 850 |
| 850 |
|
United Technologies |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.950%, 11/01/2021 |
| 85 |
| 84 |
|
|
|
|
| 85 |
| 84 |
|
United Technologies |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 05/15/2045 |
| 59 |
| 61 |
|
|
|
|
| 59 |
| 61 |
|
US Airways Pass-Through Trust, Ser 1998-1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.850%, 01/30/2018 |
| 117 |
| 119 |
|
|
|
|
| 117 |
| 119 |
|
US Airways Pass-Through Trust, Ser 2012-2, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 06/03/2025 |
| 738 |
| 790 |
| 738 |
| 790 |
|
|
|
|
|
Valmont Industries |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 10/01/2054 |
| 630 |
| 617 |
| 295 |
| 289 |
| 335 |
| 328 |
|
Wabtec |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 11/15/2026 |
| 990 |
| 973 |
| 460 |
| 452 |
| 530 |
| 521 |
|
Waste Management |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.375%, 05/15/2029 |
| 330 |
| 435 |
| 330 |
| 435 |
|
|
|
|
|
Waste Management |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.600%, 03/01/2021 |
| 90 |
| 97 |
|
|
|
|
| 90 |
| 97 |
|
Waste Management |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 05/15/2024 |
| 370 |
| 384 |
| 280 |
| 291 |
| 90 |
| 93 |
|
West |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 07/15/2022 (E) |
| 300 |
| 303 |
| 300 |
| 303 |
|
|
|
|
|
West |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 07/15/2021 (E) |
| 90 |
| 91 |
| 90 |
| 91 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 61,275 |
|
|
| 30,410 |
|
|
| 30,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology — 3.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Analog Devices |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.125%, 12/05/2023 |
| 1,000 |
| 1,015 |
| 460 |
| 467 |
| 540 |
| 548 |
|
Analog Devices |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 12/05/2026 |
| 755 |
| 762 |
| 350 |
| 353 |
| 405 |
| 409 |
|
Analog Devices |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 12/05/2021 |
| 925 |
| 927 |
| 430 |
| 431 |
| 495 |
| 496 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.800%, 05/11/2020 |
| 1,985 |
| 1,985 |
| 920 |
| 920 |
| 1,065 |
| 1,065 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.650%, 02/23/2046 |
| 270 |
| 306 |
|
|
|
|
| 270 |
| 306 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.850%, 05/06/2021 |
| 113 |
| 116 |
|
|
|
|
| 113 |
| 116 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 02/09/2045 |
| 31 |
| 29 |
|
|
|
|
| 31 |
| 29 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 02/09/2047 |
| 85 |
| 91 |
| 40 |
| 43 |
| 45 |
| 48 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 02/09/2024 |
| 1,635 |
| 1,676 |
| 760 |
| 779 |
| 875 |
| 897 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.300%, 05/11/2022 |
| 4,180 |
| 4,197 |
| 1,940 |
| 1,948 |
| 2,240 |
| 2,249 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.850%, 05/11/2024 |
| 1,845 |
| 1,867 |
| 855 |
| 865 |
| 990 |
| 1,002 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 05/13/2045 |
| 985 |
| 1,071 |
| 595 |
| 647 |
| 390 |
| 424 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 05/13/2025 |
| 64 |
| 66 |
|
|
|
|
| 64 |
| 66 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 05/04/2043 |
| 1,380 |
| 1,390 |
| 640 |
| 645 |
| 740 |
| 745 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.561%, VAR ICE LIBOR USD 3 Month+0.250%, 05/03/2018 (A) |
| 69 |
| 69 |
|
|
|
|
| 69 |
| 69 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 05/13/2022 |
| 645 |
| 658 |
| 140 |
| 143 |
| 505 |
| 515 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.350%, 02/09/2027 (F) |
| 1,230 |
| 1,267 |
| 570 |
| 587 |
| 660 |
| 680 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 02/09/2022 |
| 82 |
| 82 |
|
|
|
|
| 82 |
| 82 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.450%, 08/04/2026 |
| 1,410 |
| 1,360 |
| 680 |
| 656 |
| 730 |
| 704 |
|
Apple |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 05/11/2027 |
| 1,240 |
| 1,262 |
| 575 |
| 585 |
| 665 |
| 677 |
|
Cisco Systems |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.400%, 09/20/2019 |
| 2,560 |
| 2,547 |
| 1,185 |
| 1,179 |
| 1,375 |
| 1,368 |
|
Cisco Systems |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.850%, 09/20/2021 |
| 1,560 |
| 1,543 |
| 725 |
| 717 |
| 835 |
| 826 |
|
CommScope Technologies |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 03/15/2027 (E) |
| 130 |
| 130 |
| 130 |
| 130 |
|
|
|
|
|
Dell International |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.420%, 06/15/2021 (E) |
| 1,460 |
| 1,533 |
| 820 |
| 861 |
| 640 |
| 672 |
|
Dell International |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.480%, 06/01/2019 (E) |
| 1,660 |
| 1,693 |
| 1,160 |
| 1,183 |
| 500 |
| 510 |
|
Fidelity National Information Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 10/15/2020 |
| 575 |
| 599 |
| 265 |
| 276 |
| 310 |
| 323 |
|
Fidelity National Information Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 08/15/2021 |
| 732 |
| 727 |
| 337 |
| 335 |
| 395 |
| 392 |
|
Fidelity National Information Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.850%, 10/15/2018 |
| 1,280 |
| 1,295 |
| 590 |
| 597 |
| 690 |
| 698 |
|
Harris |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.854%, 04/27/2035 |
| 80 |
| 88 |
|
|
|
|
| 80 |
| 88 |
|
Harris |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.054%, 04/27/2045 |
| 270 |
| 310 |
| 190 |
| 218 |
| 80 |
| 92 |
|
Hewlett Packard Enterprise |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.350%, 10/15/2045 |
| 1,105 |
| 1,171 |
| 515 |
| 546 |
| 590 |
| 625 |
|
Hewlett Packard Enterprise |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.900%, 10/15/2025 (F) |
| 425 |
| 449 |
| 200 |
| 211 |
| 225 |
| 238 |
|
Intel |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.900%, 07/29/2045 |
| 120 |
| 143 |
| 120 |
| 143 |
|
|
|
|
|
Intel |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.100%, 07/29/2022 |
| 35 |
| 36 |
|
|
|
|
| 35 |
| 36 |
|
Intel |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 07/29/2025 |
| 223 |
| 236 |
| 140 |
| 148 |
| 83 |
| 88 |
|
Intel |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 10/01/2021 |
| 35 |
| 37 |
|
|
|
|
| 35 |
| 37 |
|
Mastercard |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.375%, 04/01/2024 |
| 250 |
| 261 |
|
|
|
|
| 250 |
| 261 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 02/12/2045 |
| 1,280 |
| 1,299 |
| 950 |
| 964 |
| 330 |
| 335 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 08/08/2026 |
| 2,740 |
| 2,648 |
| 2,260 |
| 2,184 |
| 480 |
| 464 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 08/08/2046 |
| 1,085 |
| 1,095 |
| 425 |
| 429 |
| 660 |
| 666 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.100%, 02/06/2037 (F) |
| 1,231 |
| 1,335 |
| 675 |
| 732 |
| 556 |
| 603 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 02/06/2024 |
| 2,465 |
| 2,519 |
| 1,315 |
| 1,344 |
| 1,150 |
| 1,175 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 08/08/2023 |
| 1,110 |
| 1,088 |
| 515 |
| 505 |
| 595 |
| 583 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 08/08/2036 (F) |
| 455 |
| 459 |
| 220 |
| 222 |
| 235 |
| 237 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 02/06/2027 (F) |
| 1,550 |
| 1,604 |
| 1,000 |
| 1,035 |
| 550 |
| 569 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 02/12/2035 |
| 1,137 |
| 1,157 |
| 685 |
| 697 |
| 452 |
| 460 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 02/12/2025 (F) |
| 250 |
| 253 |
| 160 |
| 162 |
| 90 |
| 91 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 11/03/2055 |
| 43 |
| 51 |
|
|
|
|
| 43 |
| 51 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 05/01/2023 |
| 20 |
| 20 |
|
|
|
|
| 20 |
| 20 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 12/15/2023 |
| 89 |
| 95 |
|
|
|
|
| 89 |
| 95 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 08/08/2056 |
| 240 |
| 247 |
| 100 |
| 103 |
| 140 |
| 144 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 02/12/2055 |
| 24 |
| 25 |
|
|
|
|
| 24 |
| 25 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 02/06/2022 |
| 1,655 |
| 1,673 |
| 770 |
| 778 |
| 885 |
| 895 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 02/06/2057 |
| 205 |
| 231 |
| 95 |
| 107 |
| 110 |
| 124 |
|
Microsoft |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.375%, 02/12/2022 |
| 20 |
| 20 |
|
|
|
|
| 20 |
| 20 |
|
Nokia |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 06/12/2027 |
| 120 |
| 123 |
| 120 |
| 123 |
|
|
|
|
|
Nokia |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.375%, 06/12/2022 |
| 880 |
| 888 |
| 880 |
| 888 |
|
|
|
|
|
Oracle |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 05/15/2035 |
| 2,570 |
| 2,695 |
| 1,195 |
| 1,253 |
| 1,375 |
| 1,442 |
|
Oracle |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.200%, 10/15/2017 |
| 1,300 |
| 1,300 |
| 1,050 |
| 1,050 |
| 250 |
| 250 |
|
TSMC Global |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.625%, 04/03/2018 (E) |
| 1,335 |
| 1,333 |
| 875 |
| 874 |
| 460 |
| 459 |
|
Visa |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 12/14/2045 (F) |
| 690 |
| 764 |
| 570 |
| 631 |
| 120 |
| 133 |
|
Visa |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.650%, 09/15/2047 |
| 855 |
| 850 |
| 395 |
| 393 |
| 460 |
| 457 |
|
Visa |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 12/14/2020 |
| 80 |
| 81 |
|
|
|
|
| 80 |
| 81 |
|
Visa |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 12/14/2025 (F) |
| 1,410 |
| 1,444 |
| 1,050 |
| 1,075 |
| 360 |
| 369 |
|
Visa |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%, 12/14/2022 |
| 550 |
| 563 |
| 255 |
| 261 |
| 295 |
| 302 |
|
VMware |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 08/21/2027 |
| 720 |
| 728 |
| 335 |
| 339 |
| 385 |
| 389 |
|
VMware |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 08/21/2022 |
| 1,205 |
| 1,212 |
| 560 |
| 563 |
| 645 |
| 649 |
|
VMware |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.300%, 08/21/2020 |
| 1,450 |
| 1,454 |
| 675 |
| 677 |
| 775 |
| 777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 62,248 |
|
|
| 33,002 |
|
|
| 29,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials — 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Liquide Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 09/27/2023 (E) |
| 590 |
| 569 |
| 325 |
| 313 |
| 265 |
| 256 |
|
Alcoa Nederland Holding BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 09/30/2024 (E) |
| 270 |
| 299 |
| 270 |
| 299 |
|
|
|
|
|
Amcor Finance USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 04/28/2026 (E) |
| 2,425 |
| 2,407 |
| 1,050 |
| 1,042 |
| 1,375 |
| 1,365 |
|
Anglo American Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 04/10/2022 (E) |
| 280 |
| 287 |
| 280 |
| 287 |
|
|
|
|
|
Anglo American Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 09/11/2024 (E) |
| 710 |
| 709 |
| 200 |
| 200 |
| 510 |
| 509 |
|
Anglo American Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 04/10/2027 (E) |
| 210 |
| 219 |
| 210 |
| 219 |
|
|
|
|
|
Anglo American Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/11/2027 (E) |
| 200 |
| 198 |
| 200 |
| 198 |
|
|
|
|
|
ArcelorMittal |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 10/15/2039 |
| 120 |
| 144 |
| 120 |
| 144 |
|
|
|
|
|
ArcelorMittal |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.250%, 02/25/2022 |
| 120 |
| 138 |
| 120 |
| 138 |
|
|
|
|
|
Barrick |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 04/01/2042 (F) |
| 80 |
| 91 |
| 70 |
| 80 |
| 10 |
| 11 |
|
Barrick North America Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.700%, 05/30/2041 |
| 1,020 |
| 1,217 |
| 455 |
| 543 |
| 565 |
| 674 |
|
Barrick North America Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 05/30/2021 |
| 303 |
| 326 |
| 303 |
| 326 |
|
|
|
|
|
Barrick North America Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 05/01/2043 |
| 290 |
| 351 |
| 120 |
| 145 |
| 170 |
| 206 |
|
BHP Billiton Finance USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 02/24/2042 |
| 40 |
| 42 |
|
|
|
|
| 40 |
| 42 |
|
BHP Billiton Finance USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, VAR USD Swap Semi 30/360 5 Year Curr+5.093%, 10/19/2075 (A) (E) (F) |
| 830 |
| 977 |
| 620 |
| 730 |
| 210 |
| 247 |
|
BHP Billiton Finance USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 02/24/2022 |
| 50 |
| 51 |
| 35 |
| 36 |
| 15 |
| 15 |
|
BHP Billiton Finance USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 09/30/2043 (F) |
| 830 |
| 980 |
| 455 |
| 537 |
| 375 |
| 443 |
|
Celulosa Arauco y Constitucion |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 01/11/2022 |
| 160 |
| 169 |
| 100 |
| 106 |
| 60 |
| 63 |
|
CF Industries |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 12/01/2026 (E) (F) |
| 697 |
| 730 |
| 322 |
| 337 |
| 375 |
| 393 |
|
CF Industries |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 12/01/2021 (E) |
| 895 |
| 912 |
| 415 |
| 423 |
| 480 |
| 489 |
|
Dow Chemical |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 11/15/2041 |
| 25 |
| 28 |
|
|
|
|
| 25 |
| 28 |
|
Dow Chemical |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 11/15/2022 |
| 2,585 |
| 2,633 |
| 1,265 |
| 1,288 |
| 1,320 |
| 1,345 |
|
Eastman Chemical |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 01/15/2020 |
| 1,500 |
| 1,518 |
| 695 |
| 703 |
| 805 |
| 815 |
|
Ecolab |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 12/08/2021 |
| 220 |
| 238 |
| 220 |
| 238 |
|
|
|
|
|
EI du Pont de Nemours |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 05/01/2020 |
| 600 |
| 604 |
| 280 |
| 282 |
| 320 |
| 322 |
|
Equate Petrochemical BV MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 11/03/2026 (E) |
| 780 |
| 802 |
| 410 |
| 422 |
| 370 |
| 380 |
|
Freeport-McMoRan |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 11/15/2020 |
| 104 |
| 106 |
| 104 |
| 106 |
|
|
|
|
|
Freeport-McMoRan |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 02/15/2023 |
| 50 |
| 55 |
| 50 |
| 55 |
|
|
|
|
|
Freeport-McMoRan |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.450%, 03/15/2043 |
| 195 |
| 182 |
| 195 |
| 182 |
|
|
|
|
|
Freeport-McMoRan |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/14/2021 |
| 640 |
| 643 |
| 360 |
| 362 |
| 280 |
| 281 |
|
Glencore Finance Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 10/25/2017 (E) |
| 1,330 |
| 1,330 |
| 1,080 |
| 1,080 |
| 250 |
| 250 |
|
Glencore Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/27/2027 (E) (F) |
| 1,210 |
| 1,217 |
| 990 |
| 996 |
| 220 |
| 221 |
|
Glencore Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 05/30/2023 (E) (F) |
| 260 |
| 270 |
| 60 |
| 62 |
| 200 |
| 208 |
|
International Paper |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 05/15/2046 |
| 1,005 |
| 1,125 |
| 470 |
| 526 |
| 535 |
| 599 |
|
International Paper |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 09/15/2035 |
| 575 |
| 637 |
| 360 |
| 399 |
| 215 |
| 238 |
|
LyondellBasell Industries |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 04/15/2024 |
| 200 |
| 229 |
| 200 |
| 229 |
|
|
|
|
|
Nacional del Cobre de Chile |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 08/01/2027 (E) |
| 1,410 |
| 1,404 |
| 345 |
| 343 |
| 1,065 |
| 1,061 |
|
Nacional del Cobre de Chile |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 08/01/2047 (E) |
| 520 |
| 528 |
| 245 |
| 249 |
| 275 |
| 279 |
|
OCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 10/22/2025 (E) |
| 1,940 |
| 1,952 |
| 1,650 |
| 1,660 |
| 290 |
| 292 |
|
Potash Corp of Saskatchewan |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 03/30/2020 |
| 280 |
| 295 |
| 280 |
| 295 |
|
|
|
|
|
Reynolds Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 02/15/2021 |
| 117 |
| 120 |
| 117 |
| 120 |
|
|
|
|
|
Reynolds Group Issuer |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 07/15/2023 (E) |
| 170 |
| 177 |
| 170 |
| 177 |
|
|
|
|
|
Rock-Tenn |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 03/01/2023 |
| 70 |
| 74 |
| 70 |
| 74 |
|
|
|
|
|
Rock-Tenn |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/01/2020 |
| 320 |
| 328 |
| 320 |
| 328 |
|
|
|
|
|
Sherwin-Williams |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.450%, 06/01/2027 |
| 420 |
| 422 |
| 194 |
| 195 |
| 226 |
| 227 |
|
Sherwin-Williams |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 06/01/2022 (F) |
| 1,089 |
| 1,097 |
| 505 |
| 509 |
| 584 |
| 588 |
|
Southern Copper |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 11/08/2042 |
| 2,030 |
| 2,148 |
| 900 |
| 952 |
| 1,130 |
| 1,196 |
|
Teck Resources |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 07/15/2041 |
| 5 |
| 6 |
|
|
|
|
| 5 |
| 6 |
|
Vale Overseas |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 08/10/2026 (F) |
| 1,465 |
| 1,662 |
| 325 |
| 369 |
| 1,140 |
| 1,293 |
|
Vale Overseas |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 11/21/2036 |
| 1,820 |
| 2,084 |
| 1,510 |
| 1,729 |
| 310 |
| 355 |
|
Vulcan Materials |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 06/15/2047 |
| 485 |
| 492 |
| 225 |
| 228 |
| 260 |
| 264 |
|
Westlake Chemical |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 02/15/2021 |
| 60 |
| 62 |
| 60 |
| 62 |
|
|
|
|
|
Westlake Chemical |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 05/15/2023 |
| 140 |
| 146 |
| 140 |
| 146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 35,430 |
|
|
| 20,469 |
|
|
| 14,961 |
|
Other Asset-Backed Securities — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Bravo Mortgage Asset Trust, Ser 2006-1A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.686%, VAR ICE LIBOR USD 1 Month+0.240%, 07/25/2036 (A) (E) |
| 1,107 |
| 1,093 |
| 1,107 |
| 1,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate — 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Alexandria Real Estate Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 01/15/2020 |
| 2,591 |
| 2,617 |
| 2,000 |
| 2,020 |
| 591 |
| 597 |
|
Alexandria Real Estate Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 01/15/2027 |
| 750 |
| 765 |
|
|
|
|
| 750 |
| 765 |
|
Boston Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 02/01/2024 |
| 1,250 |
| 1,307 |
| 1,250 |
| 1,307 |
|
|
|
|
|
Boston Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 11/15/2020 |
| 450 |
| 493 |
|
|
|
|
| 450 |
| 493 |
|
Crown Castle International |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 09/01/2024 |
| 1,000 |
| 995 |
| 1,000 |
| 995 |
|
|
|
|
|
DDR |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.375%, 05/15/2023 |
| 1,130 |
| 1,115 |
| 525 |
| 518 |
| 605 |
| 597 |
|
DDR |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 07/15/2022 |
| 1,240 |
| 1,314 |
| 575 |
| 609 |
| 665 |
| 705 |
|
Digital Realty Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 02/01/2023 |
| 336 |
| 335 |
| 156 |
| 156 |
| 180 |
| 179 |
|
Digital Realty Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 08/15/2027 |
| 720 |
| 727 |
| 335 |
| 338 |
| 385 |
| 389 |
|
Duke Realty |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 06/15/2022 |
| 50 |
| 53 |
|
|
|
|
| 50 |
| 53 |
|
Education Realty Operating Partnership |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.600%, 12/01/2024 |
| 505 |
| 521 |
|
|
|
|
| 505 |
| 521 |
|
ERP Operating |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 12/15/2021 |
| 64 |
| 69 |
|
|
|
|
| 64 |
| 69 |
|
GLP Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.375%, 04/15/2026 |
| 80 |
| 87 |
| 80 |
| 87 |
|
|
|
|
|
HCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 11/15/2023 |
| 580 |
| 616 |
|
|
|
|
| 580 |
| 616 |
|
HCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 02/01/2020 |
| 28 |
| 28 |
|
|
|
|
| 28 |
| 28 |
|
HCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 12/01/2022 |
| 450 |
| 474 |
|
|
|
|
| 450 |
| 474 |
|
Healthcare Realty Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 04/15/2023 |
| 400 |
| 407 |
|
|
|
|
| 400 |
| 407 |
|
Healthcare Realty Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 05/01/2025 |
| 200 |
| 201 |
|
|
|
|
| 200 |
| 201 |
|
Mid-America Apartments |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 06/01/2027 |
| 690 |
| 693 |
| 320 |
| 321 |
| 370 |
| 372 |
|
Mid-America Apartments |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 10/15/2023 |
| 465 |
| 493 |
| 215 |
| 228 |
| 250 |
| 265 |
|
Mid-America Apartments |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 11/15/2025 |
| 565 |
| 587 |
| 265 |
| 275 |
| 300 |
| 312 |
|
Mid-America Apartments |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 06/15/2024 |
| 1,090 |
| 1,124 |
| 505 |
| 521 |
| 585 |
| 603 |
|
Public Storage |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.094%, 09/15/2027 |
| 1,705 |
| 1,700 |
| 447 |
| 446 |
| 1,258 |
| 1,254 |
|
Public Storage |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.370%, 09/15/2022 |
| 1,217 |
| 1,213 |
| 564 |
| 562 |
| 653 |
| 651 |
|
Public Storage |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.370%, 09/15/2022 |
| 2,108 |
| 2,108 |
| 977 |
| 977 |
| 1,131 |
| 1,131 |
|
Realty Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 10/15/2022 |
| 70 |
| 72 |
|
|
|
|
| 70 |
| 72 |
|
Regency Centers |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 02/01/2027 |
| 447 |
| 447 |
| 209 |
| 209 |
| 238 |
| 238 |
|
Simon Property Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 03/01/2021 |
| 38 |
| 40 |
|
|
|
|
| 38 |
| 40 |
|
Tanger Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 12/01/2024 |
| 545 |
| 546 |
| 250 |
| 250 |
| 295 |
| 296 |
|
Tanger Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 12/01/2023 |
| 585 |
| 595 |
| 270 |
| 275 |
| 315 |
| 320 |
|
Ventas Realty |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 02/15/2018 |
| 1,804 |
| 1,806 |
| 1,000 |
| 1,001 |
| 804 |
| 805 |
|
Ventas Realty |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 04/01/2027 |
| 500 |
| 509 |
|
|
|
|
| 500 |
| 509 |
|
Ventas Realty |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 01/15/2026 |
| 29 |
| 30 |
|
|
|
|
| 29 |
| 30 |
|
Washington Prime Group |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 08/15/2024 |
| 425 |
| 433 |
| 200 |
| 204 |
| 225 |
| 229 |
|
Welltower |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 06/01/2025 |
| 625 |
| 652 |
| 625 |
| 652 |
|
|
|
|
|
Welltower |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 01/15/2024 |
| 102 |
| 109 |
|
|
|
|
| 102 |
| 109 |
|
Welltower |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.125%, 04/15/2020 |
| 525 |
| 576 |
|
|
|
|
| 525 |
| 576 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 25,857 |
|
|
| 11,951 |
| 13,591 |
| 13,906 |
|
Telecommunication Services — 3.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
America Movil |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 03/30/2020 |
| 750 |
| 802 |
| 750 |
| 802 |
|
|
|
|
|
America Movil |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 11/15/2017 (F) |
| 980 |
| 985 |
| 440 |
| 442 |
| 540 |
| 543 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 05/15/2046 |
| 2,375 |
| 2,284 |
| 1,530 |
| 1,471 |
| 845 |
| 813 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/09/2048 (F) |
| 2,343 |
| 2,161 |
| 1,998 |
| 1,843 |
| 345 |
| 318 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.300%, 08/14/2058 |
| 527 |
| 533 |
| 244 |
| 247 |
| 283 |
| 286 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 03/15/2022 |
| 400 |
| 417 |
|
|
|
|
| 400 |
| 417 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 08/14/2024 |
| 380 |
| 381 |
|
|
|
|
| 380 |
| 381 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 03/15/2042 |
| 25 |
| 25 |
|
|
|
|
| 25 |
| 25 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 02/01/2018 |
| 100 |
| 101 |
|
|
|
|
| 100 |
| 101 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 03/01/2037 |
| 3,590 |
| 3,778 |
| 1,945 |
| 2,047 |
| 1,645 |
| 1,731 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 08/15/2040 |
| 1,770 |
| 1,994 |
| 845 |
| 952 |
| 925 |
| 1,042 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 08/15/2021 |
| 70 |
| 73 |
|
|
|
|
| 70 |
| 73 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 06/30/2022 |
| 180 |
| 182 |
|
|
|
|
| 180 |
| 182 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 08/14/2027 |
| 2,326 |
| 2,330 |
| 1,094 |
| 1,096 |
| 1,232 |
| 1,234 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.450%, 04/01/2024 |
| 1,200 |
| 1,273 |
| 555 |
| 589 |
| 645 |
| 684 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 06/15/2045 |
| 975 |
| 895 |
| 240 |
| 220 |
| 735 |
| 675 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 02/17/2023 |
| 400 |
| 412 |
| 400 |
| 412 |
|
|
|
|
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.800%, 02/15/2019 |
| 210 |
| 221 |
|
|
|
|
| 210 |
| 221 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 03/01/2027 |
| 370 |
| 381 |
| 170 |
| 175 |
| 200 |
| 206 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 05/15/2025 |
| 6,501 |
| 6,413 |
| 3,482 |
| 3,435 |
| 3,019 |
| 2,978 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.900%, 08/14/2037 |
| 1,180 |
| 1,192 |
| 600 |
| 606 |
| 580 |
| 586 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.450%, 03/01/2047 |
| 1,050 |
| 1,110 |
| 490 |
| 518 |
| 560 |
| 592 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 02/17/2026 |
| 500 |
| 513 |
|
|
|
|
| 500 |
| 513 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.800%, 06/15/2044 |
| 240 |
| 234 |
|
|
|
|
| 240 |
| 234 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 02/14/2050 |
| 481 |
| 483 |
| 223 |
| 224 |
| 258 |
| 259 |
|
AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 01/15/2025 |
| 515 |
| 530 |
| 240 |
| 247 |
| 275 |
| 283 |
|
Bharti Airtel |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 06/10/2025 (E) |
| 1,140 |
| 1,155 |
| 940 |
| 952 |
| 200 |
| 203 |
|
British Telecommunications |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 01/15/2018 |
| 200 |
| 202 |
|
|
|
|
| 200 |
| 202 |
|
Sprint |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.625%, 02/15/2025 |
| 310 |
| 356 |
| 310 |
| 356 |
|
|
|
|
|
Sprint |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.250%, 09/15/2021 |
| 40 |
| 44 |
| 40 |
| 44 |
|
|
|
|
|
Sprint |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.875%, 09/15/2023 |
| 340 |
| 394 |
| 340 |
| 394 |
|
|
|
|
|
Sprint Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.750%, 03/15/2032 |
| 300 |
| 384 |
| 300 |
| 384 |
|
|
|
|
|
Sprint Spectrum |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.360%, 09/20/2021 (E) |
| 1,740 |
| 1,766 |
|
|
|
|
| 1,740 |
| 1,766 |
|
Telefonica Emisiones |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.134%, 04/27/2020 |
| 662 |
| 710 |
| 300 |
| 322 |
| 362 |
| 388 |
|
Telefonica Emisiones |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.462%, 02/16/2021 |
| 23 |
| 25 |
|
|
|
|
| 23 |
| 25 |
|
Telefonica Emisiones SAU |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.213%, 03/08/2047 (F) |
| 795 |
| 875 |
| 450 |
| 495 |
| 345 |
| 380 |
|
Telefonica Emisiones SAU |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.877%, 07/15/2019 |
| 90 |
| 96 |
| 90 |
| 96 |
|
|
|
|
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.150%, 09/15/2023 |
| 330 |
| 370 |
|
|
|
|
| 330 |
| 370 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.946%, 03/15/2022 |
| 850 |
| 865 |
| 395 |
| 402 |
| 455 |
| 463 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.862%, 08/21/2046 |
| 975 |
| 988 |
| 475 |
| 481 |
| 500 |
| 507 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.012%, 08/21/2054 |
| 430 |
| 432 |
| 199 |
| 200 |
| 231 |
| 232 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 11/01/2042 |
| 880 |
| 779 |
| 130 |
| 115 |
| 750 |
| 664 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.376%, 02/15/2025 (E) |
| 218 |
| 219 |
|
|
|
|
| 218 |
| 219 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 08/15/2026 (F) |
| 1,000 |
| 939 |
| 910 |
| 855 |
| 90 |
| 84 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 11/01/2034 |
| 4,282 |
| 4,285 |
| 2,495 |
| 2,497 |
| 1,787 |
| 1,788 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 03/16/2047 (F) |
| 190 |
| 211 |
| 130 |
| 144 |
| 60 |
| 67 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 08/15/2046 |
| 2,110 |
| 1,918 |
| 980 |
| 891 |
| 1,130 |
| 1,027 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 11/01/2024 |
| 120 |
| 122 |
| 120 |
| 122 |
|
|
|
|
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 08/10/2033 (F) |
| 1,435 |
| 1,470 |
| 1,005 |
| 1,030 |
| 430 |
| 440 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.522%, 09/15/2048 (F) |
| 1,565 |
| 1,515 |
| 435 |
| 421 |
| 1,130 |
| 1,094 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 03/16/2037 |
| 1,930 |
| 2,116 |
| 1,100 |
| 1,206 |
| 830 |
| 910 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.272%, 01/15/2036 |
| 2,150 |
| 2,112 |
| 1,335 |
| 1,311 |
| 815 |
| 801 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 03/16/2027 (F) |
| 2,530 |
| 2,640 |
| 1,825 |
| 1,904 |
| 705 |
| 736 |
|
Vodafone Group PLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 02/19/2023 |
| 970 |
| 985 |
| 430 |
| 437 |
| 540 |
| 548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 57,676 |
|
|
| 30,385 |
|
|
| 27,291 |
|
Utilities — 4.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
AEP Texas |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.650%, 02/15/2033 |
| 500 |
| 633 |
|
|
|
|
| 500 |
| 633 |
|
AEP Texas Central Transition Funding II |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.170%, 01/01/2018 |
| 167 |
| 169 |
| 42 |
| 42 |
| 126 |
| 127 |
|
AEP Transmission |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.100%, 12/01/2026 |
| 1,700 |
| 1,705 |
| 1,700 |
| 1,705 |
|
|
|
|
|
AES |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 05/15/2023 |
| 470 |
| 484 |
| 470 |
| 484 |
|
|
|
|
|
Alabama Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.450%, 03/30/2022 |
| 1,065 |
| 1,065 |
| 490 |
| 490 |
| 575 |
| 575 |
|
American Electric Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.650%, 12/15/2017 |
| 1,078 |
| 1,078 |
| 655 |
| 655 |
| 423 |
| 423 |
|
Appalachian Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.300%, 06/01/2027 |
| 685 |
| 692 |
| 320 |
| 323 |
| 365 |
| 369 |
|
Arizona Public Service |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.200%, 01/15/2020 |
| 20 |
| 20 |
|
|
|
|
| 20 |
| 20 |
|
Baltimore Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 08/15/2047 (F) |
| 840 |
| 836 |
| 390 |
| 388 |
| 450 |
| 448 |
|
Berkshire Hathaway Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 09/15/2037 |
| 2,010 |
| 2,686 |
| 1,160 |
| 1,550 |
| 850 |
| 1,136 |
|
Berkshire Hathaway Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 11/15/2023 |
| 156 |
| 164 |
|
|
|
|
| 156 |
| 164 |
|
Boston Gas |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.487%, 02/15/2042 (E) |
| 35 |
| 38 |
|
|
|
|
| 35 |
| 38 |
|
Carolina Power & Light |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.800%, 05/15/2022 |
| 25 |
| 26 |
|
|
|
|
| 25 |
| 26 |
|
Carolina Power & Light |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 09/15/2021 |
| 194 |
| 199 |
|
|
|
|
| 194 |
| 199 |
|
Carolina Power & Light |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.300%, 01/15/2019 |
| 175 |
| 183 |
|
|
|
|
| 175 |
| 183 |
|
Cleco Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 12/01/2040 |
| 700 |
| 861 |
|
|
|
|
| 700 |
| 861 |
|
Comision Federal de Electricidad |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 02/23/2027 (E) |
| 240 |
| 253 |
|
|
|
|
| 240 |
| 253 |
|
Commonwealth Edison |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 08/15/2047 |
| 284 |
| 284 |
| 131 |
| 131 |
| 153 |
| 153 |
|
Commonwealth Edison |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 08/15/2027 |
| 970 |
| 966 |
| 450 |
| 448 |
| 520 |
| 518 |
|
Consolidated Edison of New York |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.450%, 03/15/2044 |
| 1,500 |
| 1,663 |
| 810 |
| 898 |
| 690 |
| 765 |
|
Dominion Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.600%, 08/15/2019 |
| 845 |
| 839 |
| 390 |
| 387 |
| 455 |
| 452 |
|
Dominion Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.866%, VAR ICE LIBOR USD 3 Month+0.550%, 06/01/2019 (A) (E) |
| 1,000 |
| 1,004 |
| 1,000 |
| 1,004 |
|
|
|
|
|
Dominion Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 12/01/2019 |
| 385 |
| 388 |
|
|
|
|
| 385 |
| 388 |
|
Dominion Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.000%, 08/15/2021 |
| 635 |
| 625 |
| 295 |
| 290 |
| 340 |
| 335 |
|
DTE Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.500%, 10/01/2019 |
| 885 |
| 872 |
| 490 |
| 483 |
| 395 |
| 389 |
|
Duke Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.800%, 09/01/2021 |
| 960 |
| 941 |
| 445 |
| 436 |
| 515 |
| 505 |
|
Duke Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 08/15/2027 (F) |
| 751 |
| 744 |
| 98 |
| 97 |
| 653 |
| 647 |
|
Duke Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 08/15/2022 |
| 340 |
| 338 |
|
|
|
|
| 340 |
| 338 |
|
Duke Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.550%, 09/15/2021 |
| 76 |
| 79 |
|
|
|
|
| 76 |
| 79 |
|
Duke Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 08/15/2047 |
| 130 |
| 129 |
| 130 |
| 129 |
|
|
|
|
|
Duke Energy Carolinas |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 03/15/2046 |
| 450 |
| 461 |
| 210 |
| 215 |
| 240 |
| 246 |
|
Duke Energy Carolinas |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 06/01/2045 |
| 680 |
| 684 |
|
|
|
|
| 680 |
| 684 |
|
Duke Energy Carolinas |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 06/15/2020 |
| 39 |
| 41 |
|
|
|
|
| 39 |
| 41 |
|
Duke Energy Carolinas |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 12/15/2041 |
| 628 |
| 683 |
| 600 |
| 652 |
| 28 |
| 31 |
|
Duke Energy Carolinas |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 03/15/2023 |
| 710 |
| 714 |
| 330 |
| 332 |
| 380 |
| 382 |
|
Duke Energy Carolinas |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 09/30/2042 |
| 1,000 |
| 1,043 |
| 1,000 |
| 1,043 |
|
|
|
|
|
Duke Energy Florida |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.400%, 10/01/2046 |
| 425 |
| 401 |
| 200 |
| 189 |
| 225 |
| 212 |
|
Duke Energy Florida |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 11/15/2042 |
| 380 |
| 385 |
| 165 |
| 167 |
| 215 |
| 218 |
|
Duke Energy Florida |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.200%, 01/15/2027 |
| 1,080 |
| 1,092 |
| 635 |
| 642 |
| 445 |
| 450 |
|
Duke Energy Indiana |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.200%, 03/15/2042 |
| 30 |
| 31 |
|
|
|
|
| 30 |
| 31 |
|
Duke Energy Indiana |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 07/15/2020 |
| 52 |
| 55 |
|
|
|
|
| 52 |
| 55 |
|
Duke Energy Progress |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.100%, 05/15/2042 |
| 425 |
| 445 |
|
|
|
|
| 425 |
| 445 |
|
Duquesne Light Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.616%, 08/01/2027 (E) |
| 1,230 |
| 1,221 |
| 575 |
| 571 |
| 655 |
| 650 |
|
Duquesne Light Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.400%, 09/15/2020 (E) |
| 1,950 |
| 2,167 |
| 1,450 |
| 1,611 |
| 500 |
| 556 |
|
Electricite de France |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 01/22/2114 (E) |
| 560 |
| 624 |
| 260 |
| 290 |
| 300 |
| 334 |
|
Emera US Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 06/15/2019 |
| 2,049 |
| 2,050 |
| 2,049 |
| 2,050 |
|
|
|
|
|
Enel Finance International |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 05/25/2022 (E) |
| 2,130 |
| 2,143 |
| 990 |
| 996 |
| 1,140 |
| 1,147 |
|
Entergy |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 09/15/2020 |
| 400 |
| 428 |
|
|
|
|
| 400 |
| 428 |
|
Exelon |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 06/15/2025 |
| 375 |
| 392 |
|
|
|
|
| 375 |
| 392 |
|
Exelon |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 06/15/2035 |
| 760 |
| 915 |
| 760 |
| 915 |
|
|
|
|
|
FirstEnergy |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 03/15/2023 |
| 340 |
| 360 |
|
|
|
|
| 340 |
| 360 |
|
FirstEnergy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 07/15/2027 (F) |
| 850 |
| 863 |
| 540 |
| 548 |
| 310 |
| 315 |
|
FirstEnergy, Ser C |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.375%, 11/15/2031 (F) |
| 3,445 |
| 4,583 |
| 2,965 |
| 3,944 |
| 480 |
| 639 |
|
Florida Gas Transmission LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 07/15/2022 (E) |
| 1,000 |
| 1,042 |
| 1,000 |
| 1,042 |
|
|
|
|
|
Georgia Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.300%, 03/15/2042 |
| 215 |
| 225 |
| 100 |
| 105 |
| 115 |
| 120 |
|
Indiana Michigan Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.550%, 03/15/2046 |
| 775 |
| 861 |
| 210 |
| 233 |
| 565 |
| 628 |
|
IPALCO Enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 09/01/2024 (E) |
| 340 |
| 341 |
| 340 |
| 341 |
|
|
|
|
|
ITC Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.650%, 06/15/2024 |
| 633 |
| 651 |
|
|
|
|
| 633 |
| 651 |
|
Jersey Central Power & Light |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.700%, 04/01/2024 (E) |
| 700 |
| 760 | �� |
|
|
|
| 700 |
| 760 |
|
Jersey Central Power & Light |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.350%, 02/01/2019 |
| 100 |
| 107 |
|
|
|
|
| 100 |
| 107 |
|
Kansas City Power & Light |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.300%, 10/01/2041 |
| 100 |
| 117 |
|
|
|
|
| 100 |
| 117 |
|
KCP&L Greater Missouri Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.270%, 11/15/2021 |
| 2,700 |
| 3,151 |
| 2,700 |
| 3,151 |
|
|
|
|
|
KeySpan Gas East |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.742%, 08/15/2026 (E) |
| 1,025 |
| 995 |
| 675 |
| 655 |
| 350 |
| 340 |
|
Majapahit Holding BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.750%, 01/20/2020 |
| 420 |
| 468 |
| 420 |
| 468 |
|
|
|
|
|
Metropolitan Edison |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/15/2023 (E) |
| 2,775 |
| 2,853 |
| 2,425 |
| 2,493 |
| 350 |
| 360 |
|
MidAmerican Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.250%, 05/01/2046 |
| 700 |
| 750 |
| 500 |
| 536 |
| 200 |
| 214 |
|
MidAmerican Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.800%, 09/15/2043 |
| 830 |
| 965 |
| 510 |
| 593 |
| 320 |
| 372 |
|
NextEra Energy Capital Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.300%, 04/01/2019 |
| 500 |
| 503 |
|
|
|
|
| 500 |
| 503 |
|
NiSource Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.800%, 02/01/2042 |
| 149 |
| 178 |
|
|
|
|
| 149 |
| 178 |
|
NiSource Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.800%, 01/15/2019 |
| 347 |
| 368 |
| 347 |
| 368 |
|
|
|
|
|
NiSource Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.950%, 03/30/2048 |
| 253 |
| 249 |
| 117 |
| 115 |
| 136 |
| 134 |
|
Northern States Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 09/15/2047 |
| 1,053 |
| 1,038 |
| 488 |
| 481 |
| 565 |
| 557 |
|
Oklahoma Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 04/01/2047 |
| 885 |
| 937 |
| 410 |
| 434 |
| 475 |
| 503 |
|
Oncor Electric Delivery |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 09/30/2040 |
| 250 |
| 301 |
|
|
|
|
| 250 |
| 301 |
|
Oncor Electric Delivery LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.800%, 09/01/2018 (F) |
| 1,535 |
| 1,605 |
| 1,075 |
| 1,124 |
| 460 |
| 481 |
|
Oncor Electric Delivery LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.550%, 12/01/2041 |
| 690 |
| 767 |
| 690 |
| 767 |
|
|
|
|
|
Pacific Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.450%, 04/15/2042 |
| 590 |
| 651 |
| 200 |
| 221 |
| 390 |
| 430 |
|
Pacific Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.400%, 01/15/2040 |
| 42 |
| 52 |
|
|
|
|
| 42 |
| 52 |
|
Pacific Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.800%, 03/01/2037 |
| 780 |
| 994 |
| 710 |
| 905 |
| 70 |
| 89 |
|
Pacific Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
8.250%, 10/15/2018 |
| 460 |
| 490 |
| 280 |
| 298 |
| 180 |
| 192 |
|
Pacific Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 11/30/2017 |
| 525 |
| 529 |
|
|
|
|
| 525 |
| 529 |
|
Pacific Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.050%, 03/01/2034 |
| 870 |
| 1,133 |
| 340 |
| 443 |
| 530 |
| 690 |
|
Pacific Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 09/15/2021 |
| 12 |
| 12 |
|
|
|
|
| 12 |
| 12 |
|
Pacific Gas & Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 12/15/2041 |
| 48 |
| 52 |
|
|
|
|
| 48 |
| 52 |
|
PECO Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 10/01/2044 |
| 1,555 |
| 1,654 |
| 625 |
| 665 |
| 930 |
| 989 |
|
PECO Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 10/15/2025 |
| 1,130 |
| 1,147 |
| 525 |
| 533 |
| 605 |
| 614 |
|
Pennsylvania Electric |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.200%, 04/01/2020 |
| 200 |
| 212 |
|
|
|
|
| 200 |
| 212 |
|
Perusahaan Listrik Negara MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.125%, 05/15/2027 (E) |
| 670 |
| 670 |
|
|
|
|
| 670 |
| 670 |
|
PPL Electric Utilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.150%, 10/01/2045 |
| 745 |
| 794 |
| 345 |
| 368 |
| 400 |
| 426 |
|
Progress Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 04/01/2022 |
| 280 |
| 285 |
|
|
|
|
| 280 |
| 285 |
|
Public Service of New Hampshire |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 11/01/2023 |
| 515 |
| 538 |
| 310 |
| 324 |
| 205 |
| 214 |
|
Public Service of New Mexico |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.950%, 05/15/2018 |
| 1,265 |
| 1,312 |
| 1,265 |
| 1,312 |
|
|
|
|
|
Sierra Pacific Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.600%, 05/01/2026 |
| 980 |
| 947 |
| 450 |
| 435 |
| 530 |
| 512 |
|
Southern |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.150%, 09/01/2019 |
| 1,470 |
| 1,473 |
| 615 |
| 616 |
| 855 |
| 857 |
|
Southern |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.400%, 07/01/2046 |
| 590 |
| 611 |
| 275 |
| 285 |
| 315 |
| 326 |
|
Southern California Edison |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/01/2023 |
| 205 |
| 216 |
|
|
|
|
| 205 |
| 216 |
|
Southern California Edison |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.050%, 03/15/2042 |
| 5 |
| 5 |
|
|
|
|
| 5 |
| 5 |
|
Southern Gas Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.450%, 10/01/2023 |
| 645 |
| 631 |
| 300 |
| 294 |
| 345 |
| 337 |
|
Southwestern Electric Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 03/01/2018 |
| 345 |
| 351 |
|
|
|
|
| 345 |
| 351 |
|
Southwestern Electric Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.900%, 04/01/2045 |
| 300 |
| 301 |
| 140 |
| 141 |
| 160 |
| 160 |
|
Southwestern Public Service |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 08/15/2047 |
| 633 |
| 630 |
| 293 |
| 292 |
| 340 |
| 338 |
|
SP PowerAssets MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 09/26/2027 (E) |
| 510 |
| 508 |
| 231 |
| 230 |
| 279 |
| 278 |
|
Texas-New Mexico Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
9.500%, 04/01/2019 (E) |
| 1,100 |
| 1,216 |
|
|
|
|
| 1,100 |
| 1,216 |
|
Virginia Electric & Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 01/15/2022 |
| 330 |
| 337 |
|
|
|
|
| 330 |
| 337 |
|
Virginia Electric & Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 11/15/2026 |
| 620 |
| 616 |
| 285 |
| 283 |
| 335 |
| 333 |
|
Virginia Electric & Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.650%, 08/15/2043 |
| 1,035 |
| 1,155 |
| 405 |
| 452 |
| 630 |
| 703 |
|
Virginia Electric & Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 03/15/2023 |
| 500 |
| 506 |
| 500 |
| 506 |
|
|
|
|
|
West Penn Power |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.950%, 12/15/2017 (E) |
| 500 |
| 504 |
|
|
|
|
| 500 |
| 504 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 81,509 |
|
|
| 45,614 |
|
|
| 35,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Obligations |
|
|
| 1,093,583 |
|
|
| 605,545 |
|
|
| 488,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES — 16.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive — 1.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ally Auto Receivables Trust, Ser 2015-1, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.390%, 09/16/2019 (L) |
| 496 |
| 497 |
| 300 |
| 300 |
| 197 |
| 197 |
|
Ally Auto Receivables Trust, Ser 2016-3, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.190%, 12/17/2018 (L) |
| 153 |
| 153 |
| 58 |
| 58 |
| 95 |
| 95 |
|
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, 02/20/2021 (E) (L) |
| 2,968 |
| 2,975 |
| 1,377 |
| 1,380 |
| 1,591 |
| 1,595 |
|
Avis Budget Rental Car Funding AESOP, Ser 2017-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.070%, 09/20/2023 (E) |
| 999 |
| 1,007 |
|
|
|
|
| 999 |
| 1,007 |
|
Bank of The West Auto Trust, Ser 2014-1, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.090%, 03/15/2019 (E) (L) |
| 9 |
| 9 |
| 6 |
| 6 |
| 3 |
| 3 |
|
California Republic Auto Receivables Trust, Ser 2016-1, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.240%, 10/15/2021 (L) |
| 1,351 |
| 1,358 |
| 381 |
| 383 |
| 970 |
| 975 |
|
California Republic Auto Receivables Trust, Ser 2017-1, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.900%, 03/15/2021 (L) |
| 1,041 |
| 1,041 |
| 491 |
| 491 |
| 550 |
| 550 |
|
California Republic Auto Receivables Trust, Ser 2017-1, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.280%, 06/15/2022 (L) |
| 477 |
| 479 |
| 225 |
| 226 |
| 252 |
| 253 |
|
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.620%, 03/20/2019 (L) |
| 326 |
| 326 |
| 207 |
| 207 |
| 119 |
| 119 |
|
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.010%, 07/20/2020 (L) |
| 550 |
| 552 |
| 349 |
| 350 |
| 201 |
| 202 |
|
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.980%, 10/20/2020 (L) |
| 585 |
| 587 |
| 325 |
| 326 |
| 260 |
| 261 |
|
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.320%, 01/22/2019 (L) |
| 69 |
| 69 |
| 38 |
| 38 |
| 31 |
| 31 |
|
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.360%, 04/22/2019 (L) |
| 217 |
| 218 |
| 120 |
| 120 |
| 98 |
| 98 |
|
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.690%, 03/20/2021 (L) |
| 486 |
| 484 |
| 268 |
| 267 |
| 218 |
| 217 |
|
Enterprise Fleet Financing, Ser 2017-2, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.220%, 01/20/2023 (E) (L) |
| 1,302 |
| 1,302 |
| 608 |
| 608 |
| 694 |
| 694 |
|
Flagship Credit Auto Trust, Ser 2016-3, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.050%, 11/15/2020 (E) (L) |
| 660 |
| 660 |
| 365 |
| 365 |
| 295 |
| 295 |
|
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.260%, 11/15/2025 (E) (L) |
| 1,665 |
| 1,677 |
| 1,055 |
| 1,063 |
| 610 |
| 614 |
|
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.120%, 07/15/2026 (E) (L) |
| 1,640 |
| 1,647 |
| 965 |
| 969 |
| 675 |
| 678 |
|
Ford Credit Auto Owner Trust, Ser 2017-2, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.360%, 03/15/2029 (E) (L) |
| 4,296 |
| 4,273 |
| 1,988 |
| 1,977 |
| 2,308 |
| 2,296 |
|
Hertz Vehicle Financing II, Ser 2015-1A, Cl C |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 03/25/2021 (E) |
| 650 |
| 650 |
| 650 |
| 650 |
|
|
|
|
|
Hertz Vehicle Financing, Ser 2013-1A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.830%, 08/25/2019 (E) |
| 625 |
| 623 |
|
|
|
|
| 625 |
| 623 |
|
Hertz Vehicle Financing, Ser 2015-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.730%, 03/25/2021 (E) (L) |
| 2,547 |
| 2,549 |
| 937 |
| 938 |
| 1,610 |
| 1,611 |
|
Hertz Vehicle Financing, Ser 2015-3A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.670%, 09/25/2021 (E) (L) |
| 2,188 |
| 2,169 |
| 1,030 |
| 1,021 |
| 1,158 |
| 1,148 |
|
Hertz Vehicle Financing, Ser 2016-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 03/25/2022 (E) (L) |
| 1,128 |
| 1,124 |
| 524 |
| 522 |
| 604 |
| 602 |
|
Hertz Vehicle Financing, Ser 2016-3A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.270%, 07/25/2020 (E) (L) |
| 1,289 |
| 1,283 |
| 716 |
| 713 |
| 573 |
| 570 |
|
Hertz Vehicle Financing, Ser 2016-3A, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.110%, 07/25/2020 (E) (L) |
| 487 |
| 483 |
| 233 |
| 231 |
| 254 |
| 252 |
|
Hertz Vehicle Financing, Ser 2016-4A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.650%, 07/25/2022 (E) (L) |
| 1,509 |
| 1,486 |
| 698 |
| 687 |
| 811 |
| 799 |
|
Hertz Vehicle Financing, Ser 2017-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.960%, 10/25/2021 (E) |
| 1,240 |
| 1,234 |
|
|
|
|
| 1,240 |
| 1,234 |
|
Honda Auto Receivables Owner Trust, Ser 2016-2, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.130%, 09/17/2018 (L) |
| 353 |
| 352 |
| 196 |
| 196 |
| 156 |
| 156 |
|
Mercedes-Benz Auto Lease Trust, Ser 2017-A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.790%, 04/15/2020 (L) |
| 3,605 |
| 3,609 |
| 1,680 |
| 1,682 |
| 1,925 |
| 1,927 |
|
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.870%, 11/15/2018 (L) |
| 81 |
| 81 |
| 61 |
| 61 |
| 20 |
| 20 |
|
Nissan Auto Receivables Owner Trust, Ser 2016-C, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.070%, 05/15/2019 (L) |
| 302 |
| 302 |
| 165 |
| 165 |
| 137 |
| 137 |
|
Santander Drive Auto Receivables Trust, Ser 2017-3, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.870%, 06/15/2021 (L) |
| 1,029 |
| 1,027 |
| 477 |
| 476 |
| 552 |
| 551 |
|
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.710%, 04/15/2021 (E) (L) |
| 449 |
| 447 |
| 248 |
| 247 |
| 201 |
| 200 |
|
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.030%, 02/15/2022 (E) (L) |
| 334 |
| 332 |
| 184 |
| 183 |
| 150 |
| 149 |
|
TCF Auto Receivables Owner Trust, Ser 2016-PT1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.930%, 06/15/2022 (E) (L) |
| 254 |
| 254 |
| 118 |
| 118 |
| 136 |
| 136 |
|
World Omni Auto Receivables Trust, Ser 2014-B, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.680%, 12/15/2020 (L) |
| 470 |
| 470 |
| 219 |
| 219 |
| 251 |
| 251 |
|
|
|
|
| 37,789 |
|
|
| 17,243 |
|
|
| 20,546 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Cards — 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Express Credit Account Master Trust, Ser 2017-4, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.640%, 12/15/2021 (L) |
| 1,390 |
| 1,388 |
| 645 |
| 644 |
| 745 |
| 744 |
|
Barclays Dryrock Issuance Trust, Ser 2017-2, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.534%, VAR LIBOR USD 1 Month+0.300%, 05/15/2023 (A) (L) |
| 1,203 |
| 1,205 |
| 556 |
| 557 |
| 647 |
| 648 |
|
Capital One Multi-Asset Execution Trust, Ser 2015-A1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.390%, 01/15/2021 (L) |
| 117 |
| 117 |
| 65 |
| 65 |
| 52 |
| 52 |
|
Chase Issuance Trust, Ser 2014-A7, Cl A7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.380%, 11/15/2019 (L) |
| 1,690 |
| 1,690 |
| 675 |
| 675 |
| 1,015 |
| 1,015 |
|
Chase Issuance Trust, Ser 2016-A6, Cl A6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.100%, 01/15/2020 (L) |
| 200 |
| 200 |
| 100 |
| 100 |
| 100 |
| 100 |
|
Synchrony Credit Card Master Note Trust, Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.610%, 11/15/2020 (L) |
| 835 |
| 835 |
| 389 |
| 389 |
| 446 |
| 446 |
|
Synchrony Credit Card Master Note Trust, Ser 2015-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.370%, 03/15/2023 (L) |
| 655 |
| 661 |
| 304 |
| 307 |
| 351 |
| 354 |
|
Synchrony Credit Card Master Note Trust, Ser 2015-4, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.380%, 09/15/2023 (L) |
| 1,119 |
| 1,128 |
| 523 |
| 527 |
| 596 |
| 601 |
|
Synchrony Credit Card Master Note Trust, Ser 2016-2, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.210%, 05/15/2024 (L) |
| 1,042 |
| 1,041 |
| 456 |
| 456 |
| 586 |
| 585 |
|
Synchrony Credit Card Master Note Trust, Ser 2016-3, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.580%, 09/15/2022 (L) |
| 438 |
| 435 |
| 183 |
| 182 |
| 255 |
| 253 |
|
Synchrony Credit Card Master Note Trust, Ser 2017-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.930%, 06/15/2023 (L) |
| 1,325 |
| 1,320 |
| 661 |
| 659 |
| 664 |
| 661 |
|
World Financial Network Credit Card Master Trust, Ser 2014-C, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.540%, 08/16/2021 (L) |
| 197 |
| 197 |
| 110 |
| 110 |
| 87 |
| 87 |
|
World Financial Network Credit Card Master Trust, Ser 2015-B, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.550%, 06/17/2024 (L) |
| 99 |
| 100 |
| 46 |
| 46 |
| 53 |
| 54 |
|
World Financial Network Credit Card Master Trust, Ser 2016-A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.030%, 04/15/2025 (L) |
| 2,798 |
| 2,766 |
| 1,297 |
| 1,282 |
| 1,501 |
| 1,484 |
|
World Financial Network Credit Card Master Trust, Ser 2016-C, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.720%, 08/15/2023 (L) |
| 1,040 |
| 1,034 |
| 502 |
| 499 |
| 538 |
| 535 |
|
World Financial Network Credit Card Master Trust, Ser 2017-A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.120%, 03/15/2024 (L) |
| 1,577 |
| 1,577 |
| 733 |
| 733 |
| 844 |
| 844 |
|
|
|
|
| 15,694 |
|
|
| 7,231 |
|
|
| 8,463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage Related Securities — 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ACE Securities Home Equity Loan Trust, Ser 2006-NC1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.457%, VAR ICE LIBOR USD 1 Month+0.220%, 12/25/2035 (A) |
| 1,118 |
| 1,116 |
|
|
|
|
| 1,118 |
| 1,116 |
|
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.287%, VAR ICE LIBOR USD 1 Month+1.050%, 01/25/2034 (A) |
| 505 |
| 469 |
|
|
|
|
| 505 |
| 469 |
|
Aegis Asset-Backed Securities Trust, Ser 2005-5, Cl 2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.487%, VAR ICE LIBOR USD 1 Month+0.250%, 12/25/2035 (A) |
| 1,362 |
| 1,357 |
|
|
|
|
| 1,362 |
| 1,357 |
|
Ameriquest Mortgage Security Asset-Backed Pass-Through Certificates, Ser 2003-9, Cl AV1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.997%, VAR ICE LIBOR USD 1 Month+0.760%, 09/25/2033 (A) |
| 129 |
| 129 |
|
|
|
|
| 129 |
| 129 |
|
Argent Securities, Ser 2003-W5, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.287%, VAR ICE LIBOR USD 1 Month+1.050%, 10/25/2033 (A) |
| 235 |
| 236 |
|
|
|
|
| 235 |
| 236 |
|
Bear Stearns Asset-Backed Securities Trust, Ser 2004-HE10, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.212%, VAR ICE LIBOR USD 1 Month+0.975%, 12/25/2034 (A) |
| 429 |
| 422 |
|
|
|
|
| 429 |
| 422 |
|
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 08/25/2043 (A) (L) |
| 67 |
| 67 |
| 48 |
| 48 |
| 19 |
| 19 |
|
Centex Home Equity, Ser 2006-A, Cl AV4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.457%, VAR ICE LIBOR USD 1 Month+0.250%, 06/25/2036 (A) |
| 3,393 |
| 3,377 |
| 3,393 |
| 3,377 |
|
|
|
|
|
Citifinancial Mortgage Securities, Ser 2004-1, Cl AF4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.070%, 04/25/2034 |
| 370 |
| 380 |
|
|
|
|
| 370 |
| 380 |
|
Citigroup Mortgage Loan Trust, Ser 2006-HE2, Cl A2D |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.394%, VAR ICE LIBOR USD 1 Month+0.240%, 08/25/2036 (A) |
| 4,200 |
| 4,148 |
| 4,200 |
| 4,148 |
|
|
|
|
|
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.677%, VAR LIBOR USD 1 Month+0.470%, 05/25/2039 (A) (E) |
| 229 |
| 218 |
| 229 |
| 218 |
|
|
|
|
|
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.436%, VAR LIBOR USD 1 Month+1.200%, 11/20/2036 (A) |
| 15 |
| 15 |
|
|
|
|
| 15 |
| 15 |
|
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.451%, VAR ICE LIBOR USD 1 Month+0.280%, 05/25/2037 (A) |
| 5,500 |
| 4,019 |
| 5,500 |
| 4,019 |
|
|
|
|
|
Morgan Stanley ABS Capital I Trust, Ser 2005-HE1, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.912%, VAR ICE LIBOR USD 1 Month+0.675%, 12/25/2034 (A) |
| 736 |
| 718 |
|
|
|
|
| 736 |
| 718 |
|
New Century Home Equity Loan Trust, Ser 2003-A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.957%, VAR ICE LIBOR USD 1 Month+0.720%, 10/25/2033 (A) (E) |
| 140 |
| 136 |
|
|
|
|
| 140 |
| 136 |
|
New Century Home Equity Loan Trust, Ser 2005-3, Cl M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.727%, VAR ICE LIBOR USD 1 Month+0.490%, 07/25/2035 (A) (L) |
| 2,977 |
| 2,981 |
| 2,055 |
| 2,058 |
| 922 |
| 923 |
|
NovaStar Mortgage Funding Trust, Ser 2004-4, Cl M4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.887%, VAR LIBOR USD 1 Month+1.650%, 03/25/2035 (A) |
| 47 |
| 48 |
|
|
|
|
| 47 |
| 48 |
|
Option One Mortgage Loan Trust, Ser 2005-4, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.677%, VAR ICE LIBOR USD 1 Month+0.440%, 11/25/2035 (A) |
| 1,107 |
| 1,105 |
|
|
|
|
| 1,107 |
| 1,105 |
|
Option One Mortgage Loan Trust, Ser 2006-1, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.457%, VAR ICE LIBOR USD 1 Month+0.220%, 01/25/2036 (A) |
| 2,435 |
| 2,423 |
|
|
|
|
| 2,435 |
| 2,423 |
|
People’s Choice Home Loan Securities Trust, Ser 2004-1, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.122%, VAR ICE LIBOR USD 1 Month+0.885%, 06/25/2034 (A) |
| 650 |
| 622 |
|
|
|
|
| 650 |
| 622 |
|
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.795%, 06/25/2033 |
| 10 |
| 10 |
|
|
|
|
| 10 |
| 10 |
|
|
|
|
| 23,996 |
|
|
| 13,868 |
|
|
| 10,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Obligations — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse Mortgage Trust, Ser 2017-RPL1, Cl M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.861%, 07/25/2057 (A)(D) (E) |
| 1,760 |
| 1,478 |
| 1,760 |
| 1,478 |
|
|
|
|
|
Morgan Stanley Capital I Trust 2007-IQ16, Ser IQ16, Cl AJ |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.319%, 12/12/2049 (A)(D) |
| 1,010 |
| 948 |
| 1,010 |
| 948 |
|
|
|
|
|
Towd Point Mortgage Funding, Ser 2016-V1A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.482%, VAR ICE LIBOR GDP 3 Month+1.200%, 02/20/2054 (A) (E) |
| 736 |
| 992 |
| 736 |
| 992 |
|
|
|
|
|
Waterfall Commercial Mortgage Trust 2015-SBC5, Ser SBC5, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.104%, 09/19/2022 (A)(D) (E) |
| 951 |
| 950 |
| 951 |
| 950 |
|
|
|
|
|
WFRBS Commercial Mortgage Trust 2014-C19, Ser C19, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.723%, 03/15/2047 (A)(D) |
| 110 |
| 117 |
| 110 |
| 117 |
|
|
|
|
|
|
|
|
| 4,485 |
|
|
| 4,485 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Asset-Backed Securities — 12.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Academic Loan Funding Trust, Ser 2012-1A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 12/27/2022 (A) (E) |
| 12 |
| 12 |
|
|
|
|
| 12 |
| 12 |
|
Academic Loan Funding Trust, Ser 2012-1A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.878%, VAR ICE LIBOR USD 1 Month+1.100%, 12/27/2044 (A) (E) |
| 2,100 |
| 2,096 |
| 2,100 |
| 2,096 |
|
|
|
|
|
Airspeed, Ser 2007-1A, Cl G2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.514%, VAR LIBOR USD 1 Month+0.280%, 06/15/2032 (A) (E) |
| 337 |
| 304 |
|
|
|
|
| 337 |
| 304 |
|
Ally Master Owner Trust, Ser 2017-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.634%, VAR LIBOR USD 1 Month+0.400%, 02/15/2021 (A) (L) |
| 700 |
| 702 |
| 328 |
| 329 |
| 372 |
| 373 |
|
Ballyrock CLO, Ser 2017-1A, Cl A1R |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.457%, VAR ICE LIBOR USD 3 Month+1.150%, 10/20/2026 (A) (E) |
| 150 |
| 150 |
|
|
|
|
| 150 |
| 150 |
|
Brazos Higher Education Authority, Ser 2010-1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.517%, VAR ICE LIBOR USD 3 Month+1.200%, 02/25/2035 (A) (L) |
| 3,050 |
| 3,118 |
| 2,200 |
| 2,249 |
| 850 |
| 869 |
|
Brazos Higher Education Authority, Ser 2011-2, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.314%, VAR ICE LIBOR USD 3 Month+1.000%, 10/27/2036 (A) (L) |
| 2,150 |
| 2,164 |
| 1,750 |
| 1,761 |
| 400 |
| 403 |
|
Business Loan Express Business Loan Trust, Ser 2004-A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.667%, VAR ICE LIBOR USD 1 Month+0.430%, 02/25/2031 (A) (E) |
| 94 |
| 91 |
|
|
|
|
| 94 |
| 91 |
|
CCG Receivables Trust, Ser 2017-1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.840%, 11/14/2023 (E) |
| 355 |
| 351 |
|
|
|
|
| 355 |
| 351 |
|
Cent 18, Ser 2013-18A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.433%, VAR ICE LIBOR USD 3 Month+1.120%, 07/23/2025 (A) (E) |
| 500 |
| 500 |
|
|
|
|
| 500 |
| 500 |
|
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.102%, 11/25/2034 |
| 75 |
| 78 |
|
|
|
|
| 75 |
| 78 |
|
CIT Education Loan Trust, Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.418%, VAR ICE LIBOR USD 3 Month+0.090%, 03/25/2042 (A) (E) (L) |
| 1,588 |
| 1,493 |
| 1,132 |
| 1,064 |
| 456 |
| 429 |
|
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.046%, 03/25/2037 |
| 1,970 |
| 2,002 |
| 1,970 |
| 2,002 |
|
|
|
|
|
College Ave Student Loans, Ser 2017-A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.887%, VAR ICE LIBOR USD 1 Month+1.650%, 11/26/2046 (A) (E) (L) |
| 841 |
| 841 |
| 393 |
| 393 |
| 448 |
| 448 |
|
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.737%, VAR ICE LIBOR USD 1 Month+0.500%, 10/25/2034 (A) |
| 614 |
| 603 |
|
|
|
|
| 614 |
| 603 |
|
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.777%, VAR ICE LIBOR USD 1 Month+0.540%, 12/25/2034 (A) |
| 450 |
| 436 |
|
|
|
|
| 450 |
| 436 |
|
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.031%, VAR ICE LIBOR USD 1 Month+0.800%, 02/25/2036 (A) |
| 2,372 |
| 2,348 |
| 2,372 |
| 2,348 |
|
|
|
|
|
Countrywide Asset-Backed Certificates, Ser 2007-4, Cl A4W |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.027%, 04/25/2047 |
| 456 |
| 444 |
|
|
|
|
| 456 |
| 444 |
|
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.374%, VAR ICE LIBOR USD 1 Month+0.140%, 07/15/2036 (A) |
| 691 |
| 651 |
|
|
|
|
| 691 |
| 651 |
|
CWABS Revolving Home Equity Loan Trust, Ser 2004-K, Cl 2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.788%, VAR ICE LIBOR USD 1 Month+0.300%, 02/15/2034 (A) |
| 185 |
| 173 |
| 185 |
| 173 |
|
|
|
|
|
CWHEQ Revolving Home Equity Loan Trust, Ser 2005-D, Cl 2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.424%, VAR ICE LIBOR USD 1 Month+0.190%, 11/15/2035 (A) |
| 298 |
| 277 |
|
|
|
|
| 298 |
| 277 |
|
DRB Prime Student Loan Trust, Ser 2015-B, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.170%, 07/25/2031 (E) |
| 195 |
| 198 |
|
|
|
|
| 195 |
| 198 |
|
Eaton Vance CLO, Ser 2017-1A, Cl AR |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.504%, VAR ICE LIBOR USD 3 Month+1.200%, 07/15/2026 (A) (E) (L) |
| 1,475 |
| 1,480 |
| 900 |
| 903 |
| 575 |
| 577 |
|
Educational Funding of the South, Ser 2011-1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.964%, VAR ICE LIBOR USD 3 Month+0.650%, 04/25/2035 (A) (L) |
| 1,406 |
| 1,404 |
| 1,154 |
| 1,152 |
| 253 |
| 252 |
|
Encore Credit Receivables Trust, Ser 2005-3, Cl M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.972%, VAR ICE LIBOR USD 1 Month+0.735%, 10/25/2035 (A) |
| 1,131 |
| 1,134 |
|
|
|
|
| 1,131 |
| 1,134 |
|
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2004-FF5, Cl A3C |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 08/25/2034 (A) |
| 743 |
| 722 |
|
|
|
|
| 743 |
| 722 |
|
First Franklin Mortgage Loan Trust, Ser 2005-FF8, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.644%, VAR ICE LIBOR USD 1 Month+0.490%, 09/25/2035 (A) |
| 1,604 |
| 1,610 |
| 1,604 |
| 1,610 |
|
|
|
|
|
Flatiron CLO, Ser 2017-1A, Cl A1R |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.338%, VAR ICE LIBOR USD 3 Month+1.180%, 07/17/2026 (A) (E) (L) |
| 2,100 |
| 2,109 |
| 1,600 |
| 1,607 |
| 500 |
| 502 |
|
Ford Credit Floorplan Master Owner Trust, Ser 2017-1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.070%, 05/15/2022 (L) |
| 2,075 |
| 2,081 |
| 965 |
| 968 |
| 1,110 |
| 1,113 |
|
Global SC Finance, Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.090%, 07/17/2029 (E) (L) |
| 1,155 |
| 1,143 |
| 868 |
| 859 |
| 287 |
| 284 |
|
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.270%, 06/15/2029 |
| 738 |
| 757 |
| 738 |
| 757 |
|
|
|
|
|
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.696%, 06/19/2029 (A)(D) |
| 200 |
| 174 |
| 200 |
| 174 |
|
|
|
|
|
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.755%, 02/20/2032 (A)(D) |
| 50 |
| 47 |
| 50 |
| 47 |
|
|
|
|
|
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.689%, 03/13/2032 (A)(D) |
| 250 |
| 237 |
| 250 |
| 237 |
|
|
|
|
|
GSAMP Trust, Ser 2003-SEA, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.607%, VAR ICE LIBOR USD 1 Month+0.400%, 02/25/2033 (A) |
| 1,114 |
| 1,097 |
| 1,114 |
| 1,097 |
|
|
|
|
|
GSAMP Trust, Ser 2006-HE1, Cl A2D |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.547%, VAR ICE LIBOR USD 1 Month+0.310%, 01/25/2036 (A) |
| 1,740 |
| 1,739 |
|
|
|
|
| 1,740 |
| 1,739 |
|
GSAMP Trust, Ser 2006-HE3, Cl A2D |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.434%, VAR ICE LIBOR USD 1 Month+0.250%, 05/25/2046 (A) |
| 3,300 |
| 2,934 |
| 3,300 |
| 2,934 |
|
|
|
|
|
Higher Education Funding, Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.367%, VAR ICE LIBOR USD 3 Month+1.050%, 05/25/2034 (A) (E) (L) |
| 1,955 |
| 1,948 |
| 1,500 |
| 1,495 |
| 455 |
| 453 |
|
HSI Asset Securitization Trust, Ser 2006-OPT3, Cl 3A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.334%, VAR ICE LIBOR USD 1 Month+0.180%, 02/25/2036 (A) |
| 339 |
| 337 |
| 339 |
| 337 |
|
|
|
|
|
JGWPT XXX LLC, Ser 2013-3A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.080%, 01/17/2073 (E) (L) |
| 1,082 |
| 1,107 |
| 826 |
| 845 |
| 256 |
| 262 |
|
JGWPT XXXI LLC, Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.960%, 03/15/2063 (E) |
| 241 |
| 249 |
|
|
|
|
| 241 |
| 249 |
|
JGWPT XXXII, Ser 2014-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.610%, 01/17/2073 (E) (L) |
| 1,462 |
| 1,435 |
| 1,118 |
| 1,098 |
| 343 |
| 337 |
|
JGWPT XXXIII, Ser 2014-3A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 06/15/2077 (E) |
| 170 |
| 170 |
|
|
|
|
| 170 |
| 170 |
|
JPMorgan Chase Acquisition, Ser 2005-OPT1, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.912%, VAR ICE LIBOR USD 1 Month+0.675%, 06/25/2035 (A) |
| 82 |
| 82 |
|
|
|
|
| 82 |
| 82 |
|
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.270%, 04/15/2040 (L) |
| 355 |
| 361 |
| 260 |
| 265 |
| 95 |
| 96 |
|
Magnetite XI, Ser 2017-11A, Cl A1R |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.424%, VAR ICE LIBOR USD 3 Month+1.120%, 01/18/2027 (A) (E) |
| 1,730 |
| 1,736 |
| 1,730 |
| 1,736 |
|
|
|
|
|
Magnetite XII, Ser 2016-12A, Cl AR |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.634%, VAR ICE LIBOR USD 3 Month+1.330%, 04/15/2027 (A) (E) |
| 600 |
| 604 |
|
|
|
|
| 600 |
| 604 |
|
Mid-State Trust, Ser 2003-11, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.864%, 07/15/2038 (L) |
| 2,671 |
| 2,769 |
| 2,014 |
| 2,088 |
| 656 |
| 681 |
|
Morgan Stanley Resecuritization Trust 2015-R7, Ser 2015-R7, Cl 1BXA |
|
|
|
|
|
|
|
|
|
|
|
|
|
11.275%, 02/26/2036 (A)(D) (E) |
| 930 |
| 1,022 |
| 930 |
| 1,022 |
|
|
|
|
|
National Collegiate Student Loan Trust, Ser 2007-4, Cl A3L |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.021%, VAR ICE LIBOR USD 1 Month+0.850%, 03/25/2038 (A) |
| 3,933 |
| 2,709 |
| 3,933 |
| 2,709 |
|
|
|
|
|
Navient Private Education Loan Trust, Ser 2014-AA, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.834%, VAR ICE LIBOR USD 1 Month+1.600%, 10/15/2031 (A) (E) (L) |
| 1,330 |
| 1,356 |
| 646 |
| 659 |
| 684 |
| 697 |
|
Navient Private Education Loan Trust, Ser 2014-CTA, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.934%, VAR ICE LIBOR USD 1 Month+0.700%, 09/16/2024 (A) (E) (L) |
| 672 |
| 673 |
| 372 |
| 372 |
| 301 |
| 301 |
|
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.434%, VAR ICE LIBOR USD 1 Month+1.200%, 12/15/2028 (A) (E) (L) |
| 462 |
| 469 |
| 202 |
| 205 |
| 260 |
| 264 |
|
Navient Private Education Loan Trust, Ser 2015-CA, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.250%, 05/15/2040 (E) (L) |
| 647 |
| 654 |
| 408 |
| 412 |
| 239 |
| 242 |
|
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.910%, 12/15/2045 (E) (L) |
| 2,887 |
| 2,986 |
| 1,347 |
| 1,393 |
| 1,540 |
| 1,593 |
|
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.384%, VAR ICE LIBOR USD 1 Month+2.150%, 12/15/2045 (A) (E) (L) |
| 850 |
| 884 |
| 396 |
| 412 |
| 454 |
| 472 |
|
Navient Student Loan Trust, Ser 2014-1, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.744%, VAR ICE LIBOR USD 1 Month+0.510%, 06/25/2031 (A) (L) |
| 5,328 |
| 5,307 |
| 3,748 |
| 3,733 |
| 1,580 |
| 1,574 |
|
Navient Student Loan Trust, Ser 2014-2, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.874%, VAR ICE LIBOR USD 1 Month+0.640%, 03/25/2083 (A) (L) |
| 3,195 |
| 3,169 |
| 2,439 |
| 2,419 |
| 757 |
| 750 |
|
Navient Student Loan Trust, Ser 2014-3, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.854%, VAR ICE LIBOR USD 1 Month+0.620%, 03/25/2083 (A) (L) |
| 3,238 |
| 3,206 |
| 2,471 |
| 2,447 |
| 767 |
| 759 |
|
Navient Student Loan Trust, Ser 2014-4, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.857%, VAR ICE LIBOR USD 1 Month+0.620%, 03/25/2083 (A) (L) |
| 2,269 |
| 2,248 |
| 1,833 |
| 1,816 |
| 436 |
| 432 |
|
Navient Student Loan Trust, Ser 2016-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 02/25/2070 (A) (E) (L) |
| 5,004 |
| 4,962 |
| 1,946 |
| 1,930 |
| 3,058 |
| 3,032 |
|
Navient Student Loan Trust, Ser 2016-2A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.737%, VAR ICE LIBOR USD 1 Month+1.500%, 06/25/2065 (A) (E) |
| 1,270 |
| 1,317 |
|
|
|
|
| 1,270 |
| 1,317 |
|
Navient Student Loan Trust, Ser 2016-5A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.487%, VAR ICE LIBOR USD 1 Month+1.250%, 06/25/2065 (A) (E) (L) |
| 656 |
| 669 |
| 308 |
| 314 |
| 348 |
| 355 |
|
Navient Student Loan Trust, Ser 2016-7A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.387%, VAR ICE LIBOR USD 1 Month+1.150%, 03/25/2066 (A) (E) (L) |
| 1,349 |
| 1,366 |
| 666 |
| 674 |
| 684 |
| 692 |
|
Navient Student Loan Trust, Ser 2017-1A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.987%, VAR ICE LIBOR USD 1 Month+0.750%, 07/26/2066 (A) (E) |
| 700 |
| 708 |
|
|
|
|
| 700 |
| 708 |
|
Navient Student Loan Trust, Ser 2017-1A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.387%, VAR ICE LIBOR USD 1 Month+1.150%, 07/26/2066 (A) (E) (L) |
| 4,840 |
| 4,938 |
| 2,283 |
| 2,329 |
| 2,557 |
| 2,609 |
|
Navient Student Loan Trust, Ser 2017-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.284%, VAR ICE LIBOR USD 1 Month+1.050%, 12/27/2066 (A) (E) (L) |
| 3,275 |
| 3,320 |
| 1,528 |
| 1,549 |
| 1,747 |
| 1,771 |
|
Navient Student Loan Trust, Ser 2017-3A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.384%, 07/26/2066 (L) |
| 5,293 |
| 5,360 |
| 2,817 |
| 2,853 |
| 2,476 |
| 2,507 |
|
Navient Student Loan Trust, Ser 2017-4A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 09/27/2066 (A) (E) (L) |
| 3,561 |
| 3,593 |
| 1,660 |
| 1,675 |
| 1,901 |
| 1,918 |
|
Navient Student Loan Trust, Ser 2017-5A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.048%, VAR ICE LIBOR USD 1 Month+0.800%, 07/26/2066 (A) (E) (L) |
| 4,701 |
| 4,703 |
| 2,179 |
| 2,180 |
| 2,522 |
| 2,523 |
|
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.494%, VAR ICE LIBOR USD 3 Month+0.180%, 10/27/2036 (A) (L) |
| 1,001 |
| 981 |
| 642 |
| 629 |
| 359 |
| 352 |
|
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.474%, VAR ICE LIBOR USD 3 Month+0.160%, 01/25/2037 (A) (L) |
| 833 |
| 824 |
| 541 |
| 535 |
| 292 |
| 289 |
|
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.424%, VAR ICE LIBOR USD 3 Month+0.110%, 10/25/2033 (A) (L) |
| 4,157 |
| 4,077 |
| 1,927 |
| 1,890 |
| 2,230 |
| 2,187 |
|
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.423%, VAR ICE LIBOR USD 3 Month+0.100%, 03/23/2037 (A) (L) |
| 980 |
| 957 |
| 630 |
| 615 |
| 350 |
| 342 |
|
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.407%, VAR ICE LIBOR USD 3 Month+0.120%, 12/24/2035 (A) (L) |
| 4,087 |
| 4,021 |
| 1,398 |
| 1,375 |
| 2,690 |
| 2,646 |
|
Nelnet Student Loan Trust, Ser 2005-4, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.467%, VAR ICE LIBOR USD 3 Month+0.180%, 03/22/2032 (A) (L) |
| 665 |
| 641 |
| 393 |
| 379 |
| 272 |
| 262 |
|
Nelnet Student Loan Trust, Ser 2006-2, Cl A6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.434%, VAR ICE LIBOR USD 3 Month+0.120%, 04/25/2031 (A) (L) |
| 2,813 |
| 2,811 |
| 1,337 |
| 1,336 |
| 1,476 |
| 1,475 |
|
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.678%, VAR ICE LIBOR USD 3 Month+0.350%, 03/25/2026 (A) (E) |
| 101 |
| 100 |
|
|
|
|
| 101 |
| 100 |
|
Nelnet Student Loan Trust, Ser 2008-3, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.967%, VAR ICE LIBOR USD 3 Month+1.650%, 11/25/2024 (A) |
| 535 |
| 545 |
|
|
|
|
| 535 |
| 545 |
|
Nelnet Student Loan Trust, Ser 2010-4A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.034%, VAR ICE LIBOR USD 1 Month+0.800%, 04/25/2046 (A) (E) (L) |
| 255 |
| 257 |
| 175 |
| 176 |
| 80 |
| 81 |
|
Nelnet Student Loan Trust, Ser 2011-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.084%, VAR ICE LIBOR USD 1 Month+0.850%, 02/25/2048 (A) (E) |
| 493 |
| 494 |
|
|
|
|
| 493 |
| 494 |
|
Nelnet Student Loan Trust, Ser 2012-5A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.771%, VAR ICE LIBOR USD 1 Month+0.600%, 10/27/2036 (A) (E) |
| 1,445 |
| 1,435 |
| 1,445 |
| 1,435 |
|
|
|
|
|
Nelnet Student Loan Trust, Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.834%, VAR ICE LIBOR USD 1 Month+0.600%, 06/25/2041 (A) (E) |
| 1,189 |
| 1,186 |
|
|
|
|
| 1,189 |
| 1,186 |
|
Nelnet Student Loan Trust, Ser 2014-2A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.084%, VAR ICE LIBOR USD 1 Month+0.850%, 07/27/2037 (A) (E) |
| 950 |
| 935 |
|
|
|
|
| 950 |
| 935 |
|
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.187%, VAR ICE LIBOR USD 1 Month+0.950%, 11/25/2048 (A) (E) (L) |
| 2,155 |
| 2,120 |
| 1,655 |
| 1,628 |
| 500 |
| 492 |
|
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.837%, VAR ICE LIBOR USD 1 Month+0.600%, 09/25/2047 (A) (E) (L) |
| 2,980 |
| 2,945 |
| 2,247 |
| 2,221 |
| 733 |
| 724 |
|
Nelnet Student Loan Trust, Ser 2016-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 09/25/2065 (A) (E) (L) |
| 1,536 |
| 1,558 |
| 713 |
| 723 |
| 824 |
| 835 |
|
Nelnet Student Loan Trust, Ser 2017-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.007%, VAR ICE LIBOR USD 1 Month+0.770%, 09/25/2065 (A) (E) (L) |
| 2,339 |
| 2,348 |
| 1,091 |
| 1,095 |
| 1,249 |
| 1,253 |
|
North Carolina State Education Assistance Authority, Ser 2011-2, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.114%, VAR ICE LIBOR USD 3 Month+0.800%, 07/25/2025 (A) (L) |
| 827 |
| 829 |
| 571 |
| 572 |
| 257 |
| 257 |
|
Origen Manufactured Housing, Ser 2006-A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.756%, 10/15/2037 (A)(D) |
| 2,119 |
| 1,972 |
| 2,119 |
| 1,972 |
|
|
|
|
|
Ownit Mortgage Loan Trust, Ser 2005-3, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 06/25/2036 (A) |
| 469 |
| 470 |
|
|
|
|
| 469 |
| 470 |
|
Prosper Marketplace Issuance Trust, Ser 2017-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.410%, 09/15/2023 (E) |
| 840 |
| 841 |
|
|
|
|
| 840 |
| 841 |
|
RAMP Series 2006-RZ3 Trust, Ser 2006-RZ3, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.535%, VAR ICE LIBOR USD 1 Month+0.350%, 08/25/2036 (A) |
| 6,530 |
| 6,114 |
| 6,530 |
| 6,114 |
|
|
|
|
|
RAMP Trust, Ser 2003-RS11, Cl MII1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.302%, VAR ICE LIBOR USD 1 Month+1.095%, 12/25/2033 (A) |
| 145 |
| 138 |
| 145 |
| 138 |
|
|
|
|
|
Rosslyn Portfolio Trust, Ser 2017-R17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.177%, 06/15/2033 |
| 330 |
| 330 |
|
|
|
|
| 330 |
| 330 |
|
Scholar Funding Trust, Ser 2011-A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.214%, VAR ICE LIBOR USD 3 Month+0.900%, 10/28/2043 (A) (E) (L) |
| 883 |
| 881 |
| 676 |
| 674 |
| 208 |
| 207 |
|
SLC Student Loan Trust, Ser 2005-3, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.470%, VAR ICE LIBOR USD 3 Month+0.150%, 12/15/2039 (A) |
| 1,240 |
| 1,186 |
|
|
|
|
| 1,240 |
| 1,186 |
|
SLM Student Loan Trust, Ser 2003-1, Cl A5C |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.070%, VAR ICE LIBOR USD 3 Month+0.750%, 12/15/2032 (A) (E) (L) |
| 977 |
| 968 |
| 462 |
| 458 |
| 514 |
| 510 |
|
SLM Student Loan Trust, Ser 2003-10A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.790%, VAR LIBOR USD 3 Month+0.550%, 12/15/2027 (A) (E) |
| 1,352 |
| 1,356 |
|
|
|
|
| 1,352 |
| 1,356 |
|
SLM Student Loan Trust, Ser 2004-10, Cl A7A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.064%, VAR ICE LIBOR USD 3 Month+0.750%, 10/25/2029 (A) (E) (L) |
| 2,274 |
| 2,267 |
| 1,078 |
| 1,075 |
| 1,196 |
| 1,192 |
|
SLM Student Loan Trust, Ser 2004-8, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.774%, VAR ICE LIBOR USD 3 Month+0.460%, 01/25/2040 (A) (L) |
| 213 |
| 199 |
| 117 |
| 109 |
| 96 |
| 90 |
|
SLM Student Loan Trust, Ser 2005-6, Cl A5B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 07/27/2026 (A) (L) |
| 123 |
| 123 |
| 83 |
| 83 |
| 40 |
| 40 |
|
SLM Student Loan Trust, Ser 2005-A, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.630%, VAR ICE LIBOR USD 3 Month+0.310%, 12/15/2038 (A) |
| 1,560 |
| 1,459 |
| 1,560 |
| 1,459 |
|
|
|
|
|
SLM Student Loan Trust, Ser 2006-2, Cl A6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.484%, VAR ICE LIBOR USD 3 Month+0.170%, 01/25/2041 (A) (L) |
| 2,440 |
| 2,356 |
| 1,900 |
| 1,835 |
| 540 |
| 521 |
|
SLM Student Loan Trust, Ser 2006-3, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.414%, VAR ICE LIBOR USD 3 Month+0.100%, 01/25/2021 (A) (L) |
| 2,020 |
| 1,997 |
| 989 |
| 978 |
| 1,031 |
| 1,019 |
|
SLM Student Loan Trust, Ser 2006-8, Cl A6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.474%, VAR ICE LIBOR USD 3 Month+0.160%, 01/25/2041 (A) (L) |
| 2,440 |
| 2,300 |
| 1,900 |
| 1,791 |
| 540 |
| 509 |
|
SLM Student Loan Trust, Ser 2007-2, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.374%, VAR ICE LIBOR USD 3 Month+0.060%, 07/25/2022 (A) (L) |
| 4,259 |
| 4,136 |
| 3,211 |
| 3,118 |
| 1,048 |
| 1,018 |
|
SLM Student Loan Trust, Ser 2007-2, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.484%, VAR ICE LIBOR USD 3 Month+0.170%, 07/25/2025 (A) (L) |
| 735 |
| 620 |
| 391 |
| 330 |
| 344 |
| 290 |
|
SLM Student Loan Trust, Ser 2007-6, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.694%, VAR ICE LIBOR USD 3 Month+0.380%, 10/25/2024 (A) |
| 1,140 |
| 1,141 |
|
|
|
|
| 1,140 |
| 1,141 |
|
SLM Student Loan Trust, Ser 2007-6, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.164%, VAR ICE LIBOR USD 3 Month+0.850%, 04/27/2043 (A) (L) |
| 488 |
| 462 |
| 374 |
| 354 |
| 114 |
| 108 |
|
SLM Student Loan Trust, Ser 2007-7, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.064%, VAR ICE LIBOR USD 3 Month+0.750%, 10/27/2070 (A) |
| 250 |
| 229 |
|
|
|
|
| 250 |
| 229 |
|
SLM Student Loan Trust, Ser 2008-2, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 01/25/2083 (A) (L) |
| 685 |
| 645 |
| 525 |
| 494 |
| 160 |
| 151 |
|
SLM Student Loan Trust, Ser 2008-3, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 04/26/2083 (A) (L) |
| 685 |
| 642 |
| 525 |
| 492 |
| 160 |
| 150 |
|
SLM Student Loan Trust, Ser 2008-4, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.964%, VAR ICE LIBOR USD 3 Month+1.650%, 07/25/2022 (A) |
| 1,068 |
| 1,096 |
|
|
|
|
| 1,068 |
| 1,096 |
|
SLM Student Loan Trust, Ser 2008-4, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 04/25/2073 (A) (L) |
| 685 |
| 669 |
| 525 |
| 513 |
| 160 |
| 156 |
|
SLM Student Loan Trust, Ser 2008-5, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.014%, VAR ICE LIBOR USD 3 Month+1.700%, 07/25/2023 (A) (L) |
| 1,925 |
| 1,982 |
| 1,205 |
| 1,240 |
| 720 |
| 742 |
|
SLM Student Loan Trust, Ser 2008-5, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/25/2073 (A) (L) |
| 685 |
| 684 |
| 525 |
| 524 |
| 160 |
| 160 |
|
SLM Student Loan Trust, Ser 2008-6, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/26/2083 (A) (L) |
| 685 |
| 677 |
| 525 |
| 519 |
| 160 |
| 158 |
|
SLM Student Loan Trust, Ser 2008-7, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/26/2083 (A) (L) |
| 685 |
| 679 |
| 525 |
| 520 |
| 160 |
| 159 |
|
SLM Student Loan Trust, Ser 2008-8, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.564%, VAR ICE LIBOR USD 3 Month+2.250%, 10/25/2075 (A) (L) |
| 685 |
| 688 |
| 525 |
| 527 |
| 160 |
| 161 |
|
SLM Student Loan Trust, Ser 2008-9, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.814%, VAR ICE LIBOR USD 3 Month+1.500%, 04/25/2023 (A) |
| 599 |
| 613 |
|
|
|
|
| 599 |
| 613 |
|
SLM Student Loan Trust, Ser 2008-9, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.564%, VAR ICE LIBOR USD 3 Month+2.250%, 10/25/2083 (A) (L) |
| 685 |
| 699 |
| 525 |
| 536 |
| 160 |
| 163 |
|
SLM Student Loan Trust, Ser 2009-3, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.987%, VAR ICE LIBOR USD 1 Month+0.750%, 01/25/2045 (A) (E) |
| 808 |
| 804 |
|
|
|
|
| 808 |
| 804 |
|
SLM Student Loan Trust, Ser 2010-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.637%, VAR ICE LIBOR USD 1 Month+0.400%, 03/25/2025 (A) (L) |
| 587 |
| 580 |
| 408 |
| 403 |
| 179 |
| 177 |
|
SLM Student Loan Trust, Ser 2012-1, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.184%, VAR ICE LIBOR USD 1 Month+0.950%, 09/25/2028 (A) (L) |
| 3,725 |
| 3,754 |
| 1,740 |
| 1,754 |
| 1,985 |
| 2,000 |
|
SLM Student Loan Trust, Ser 2012-2, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 01/25/2029 (A) (L) |
| 1,371 |
| 1,373 |
| 662 |
| 663 |
| 709 |
| 710 |
|
SLM Student Loan Trust, Ser 2012-6, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.987%, VAR ICE LIBOR USD 1 Month+0.750%, 05/26/2026 (A) (L) |
| 550 |
| 547 |
| 355 |
| 353 |
| 195 |
| 194 |
|
SLM Student Loan Trust, Ser 2012-6, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 04/27/2043 (A) (L) |
| 538 |
| 491 |
| 289 |
| 264 |
| 249 |
| 227 |
|
SLM Student Loan Trust, Ser 2012-D, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.950%, 02/15/2046 (E) (L) |
| 257 |
| 257 |
| 120 |
| 120 |
| 137 |
| 137 |
|
SLM Student Loan Trust, Ser 2013-1, Cl B |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.037%, VAR ICE LIBOR USD 1 Month+1.800%, 11/25/2070 (A) (L) |
| 425 |
| 427 |
| 245 |
| 246 |
| 180 |
| 181 |
|
SLM Student Loan Trust, Ser 2013-4, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.787%, VAR ICE LIBOR USD 1 Month+0.550%, 06/25/2043 (A) |
| 234 |
| 235 |
|
|
|
|
| 234 |
| 235 |
|
SLM Student Loan Trust, Ser 2013-B, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.334%, VAR ICE LIBOR USD 1 Month+1.100%, 06/17/2030 (A) (E) (L) |
| 242 |
| 244 |
| 127 |
| 128 |
| 115 |
| 116 |
|
SLM Student Loan Trust, Ser 2013-C, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.940%, 10/15/2031 (E) |
| 237 |
| 239 |
|
|
|
|
| 237 |
| 239 |
|
SLM Student Loan Trust, Ser 2013-M1, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 10/28/2029 (E) (L) |
| 877 |
| 866 |
| 626 |
| 618 |
| 251 |
| 248 |
|
SLM Student Loan Trust, Ser 2014-2, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.827%, VAR ICE LIBOR USD 1 Month+0.590%, 03/25/2055 (A) (L) |
| 2,061 |
| 2,066 |
| 964 |
| 966 |
| 1,097 |
| 1,100 |
|
SMB Private Education Loan Trust, Ser 2015-A, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.490%, 06/15/2027 (E) (L) |
| 562 |
| 564 |
| 262 |
| 263 |
| 300 |
| 301 |
|
SMB Private Education Loan Trust, Ser 2015-A, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.234%, VAR ICE LIBOR USD 1 Month+1.000%, 06/15/2027 (A) (E) (L) |
| 1,410 |
| 1,424 |
| 776 |
| 784 |
| 634 |
| 640 |
|
SMB Private Education Loan Trust, Ser 2015-B, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.934%, VAR ICE LIBOR USD 1 Month+0.700%, 02/15/2023 (A) (E) |
| 18 |
| 18 |
|
|
|
|
| 18 |
| 18 |
|
SMB Private Education Loan Trust, Ser 2015-B, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.980%, 07/15/2027 (E) (L) |
| 786 |
| 801 |
| 336 |
| 342 |
| 450 |
| 459 |
|
SMB Private Education Loan Trust, Ser 2015-B, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.434%, VAR ICE LIBOR USD 1 Month+1.200%, 07/15/2027 (A) (E) (L) |
| 3,681 |
| 3,763 |
| 1,047 |
| 1,070 |
| 2,634 |
| 2,693 |
|
SMB Private Education Loan Trust, Ser 2015-C, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 07/15/2027 (E) (L) |
| 1,113 |
| 1,125 |
| 546 |
| 552 |
| 567 |
| 573 |
|
SMB Private Education Loan Trust, Ser 2015-C, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.634%, VAR ICE LIBOR USD 1 Month+1.400%, 07/15/2027 (A) (E) (L) |
| 793 |
| 810 |
| 369 |
| 377 |
| 424 |
| 433 |
|
SMB Private Education Loan Trust, Ser 2016-A, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.700%, 05/15/2031 (E) (L) |
| 2,411 |
| 2,418 |
| 1,339 |
| 1,343 |
| 1,072 |
| 1,075 |
|
SMB Private Education Loan Trust, Ser 2016-A, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.734%, VAR ICE LIBOR USD 1 Month+1.500%, 05/15/2031 (A) (E) (L) |
| 2,950 |
| 3,034 |
| 1,023 |
| 1,052 |
| 1,927 |
| 1,982 |
|
SMB Private Education Loan Trust, Ser 2016-B, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.430%, 02/17/2032 (E) (L) |
| 1,821 |
| 1,807 |
| 868 |
| 861 |
| 953 |
| 946 |
|
SMB Private Education Loan Trust, Ser 2016-B, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.684%, VAR ICE LIBOR USD 1 Month+1.450%, 02/17/2032 (A) (E) (L) |
| 2,742 |
| 2,835 |
| 1,002 |
| 1,036 |
| 1,740 |
| 1,799 |
|
SMB Private Education Loan Trust, Ser 2016-C, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.340%, 09/15/2034 (E) (L) |
| 2,449 |
| 2,417 |
| 1,135 |
| 1,120 |
| 1,314 |
| 1,297 |
|
SMB Private Education Loan Trust, Ser 2016-C, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.334%, VAR ICE LIBOR USD 1 Month+1.100%, 09/15/2034 (A) (E) (L) |
| 3,307 |
| 3,365 |
| 1,131 |
| 1,151 |
| 2,176 |
| 2,214 |
|
SMB Private Education Loan Trust, Ser 2017-A, Cl A2A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.880%, 09/15/2034 (E) (L) |
| 2,149 |
| 2,168 |
| 1,018 |
| 1,027 |
| 1,131 |
| 1,141 |
|
SMB Private Education Loan Trust, Ser 2017-A, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.134%, VAR ICE LIBOR USD 1 Month+0.900%, 09/15/2034 (A) (E) (L) |
| 4,105 |
| 4,141 |
| 3,097 |
| 3,124 |
| 1,008 |
| 1,017 |
|
SoFi Professional Loan Program, Ser 2016-A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.760%, 12/26/2036 (E) (L) |
| 1,485 |
| 1,500 |
| 696 |
| 703 |
| 789 |
| 797 |
|
SoFi Professional Loan Program, Ser 2016-D, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.187%, VAR ICE LIBOR USD 1 Month+0.950%, 01/25/2039 (A) (E) (L) |
| 325 |
| 328 |
| 156 |
| 158 |
| 168 |
| 170 |
|
SoFi Professional Loan Program, Ser 2016-E, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.087%, VAR ICE LIBOR USD 1 Month+0.850%, 07/25/2039 (A) (E) (L) |
| 874 |
| 881 |
| 408 |
| 411 |
| 466 |
| 470 |
|
SoFi Professional Loan Program, Ser 2017-A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 03/26/2040 (A) (E) (L) |
| 775 |
| 779 |
| 366 |
| 368 |
| 409 |
| 411 |
|
SoFi Professional Loan Program, Ser 2017-A, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.400%, 03/26/2040 (E) (L) |
| 764 |
| 758 |
| 360 |
| 357 |
| 404 |
| 401 |
|
SoFi Professional Loan Program, Ser 2017-B, Cl A2FX |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.740%, 05/25/2040 (E) (L) |
| 1,552 |
| 1,559 |
| 670 |
| 673 |
| 882 |
| 886 |
|
SoFi Professional Loan Program, Ser 2017-C, Cl A2B |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.630%, 07/25/2040 (E) (L) |
| 1,259 |
| 1,257 |
| 585 |
| 584 |
| 674 |
| 673 |
|
SoFi Professional Loan Program, Ser 2017-D, Cl A2FX |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.650%, 09/25/2040 (E) (L) |
| 2,173 |
| 2,160 |
| 1,013 |
| 1,007 |
| 1,160 |
| 1,153 |
|
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.787%, VAR ICE LIBOR USD 1 Month+0.550%, 09/25/2034 (A) |
| 495 |
| 482 |
|
|
|
|
| 495 |
| 482 |
|
Structured Asset Investment Loan Trust, Ser 2005-HE1, Cl M1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.942%, VAR ICE LIBOR USD 1 Month+0.705%, 07/25/2035 (A) |
| 1,710 |
| 1,713 |
|
|
|
|
| 1,710 |
| 1,713 |
|
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF2, Cl A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.837%, VAR ICE LIBOR USD 1 Month+0.600%, 05/25/2035 (A) |
| 138 |
| 138 |
|
|
|
|
| 138 |
| 138 |
|
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF4, Cl M2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.667%, VAR ICE LIBOR USD 1 Month+0.430%, 11/25/2035 (A) |
| 857 |
| 858 |
|
|
|
|
| 857 |
| 858 |
|
Towd Point Mortgage Trust, Ser 2017-1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 10/25/2056 (A)(D) (E) |
| 1,406 |
| 1,420 |
|
|
|
|
| 1,406 |
| 1,420 |
|
United States Small Business Administration, Ser 2017-20E, Cl 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.880%, 05/01/2037 |
| 270 |
| 274 |
|
|
|
|
| 270 |
| 274 |
|
United States Small Business Administration, Ser 2017-20G, Cl 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.980%, 07/01/2037 |
| 310 |
| 314 |
| 310 |
| 314 |
|
|
|
|
|
Upstart Securitization Trust, Ser 2017-1, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.639%, 06/20/2024 (E) |
| 1,236 |
| 1,236 |
| 1,236 |
| 1,236 |
|
|
|
|
|
Verizon Owner Trust, Ser 2016-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.420%, 01/20/2021 (E) (L) |
| 1,695 |
| 1,687 |
| 815 |
| 811 |
| 880 |
| 876 |
|
Verizon Owner Trust, Ser 2016-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.680%, 05/20/2021 (E) (L) |
| 720 |
| 718 |
| 290 |
| 289 |
| 430 |
| 429 |
|
Verizon Owner Trust, Ser 2017-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.920%, 12/20/2021 (E) (L) |
| 1,780 |
| 1,778 |
| 830 |
| 829 |
| 950 |
| 949 |
|
VOLT XL, Ser 2015-NP14, Cl A1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, 11/27/2045 (E) |
| 95 |
| 96 |
|
|
|
|
| 95 |
| 96 |
|
Voya CLO, Ser 2016-1A, Cl A1R |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.634%, VAR ICE LIBOR USD 3 Month+1.330%, 04/18/2026 (A) (E) (L) |
| 1,290 |
| 1,290 |
| 680 |
| 680 |
| 610 |
| 610 |
|
Voya CLO, Ser 2017-3A, Cl A1R |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.354%, VAR ICE LIBOR USD 3 Month+1.050%, 01/18/2026 (A) (E) |
| 500 |
| 501 |
|
|
|
|
| 500 |
| 501 |
|
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.421%, VAR ICE LIBOR USD 1 Month+0.250%, 07/25/2036 (A) |
| 2,318 |
| 2,310 |
| 2,318 |
| 2,310 |
|
|
|
|
|
|
|
|
| 240,410 |
|
|
| 134,536 |
|
|
| 105,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities |
|
|
| 322,374 |
|
|
| 177,363 |
|
|
| 145,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SOVEREIGN DEBT — 4.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentine Bonos del Tesoro |
|
|
|
|
|
|
|
|
|
|
|
|
|
18.200%, 10/03/2021 |
| 19,870 |
| 1,178 |
| 19,870 |
| 1,178 |
|
|
|
|
|
Argentine Republic Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.875%, 04/22/2021 |
| 420 |
| 458 |
| 420 |
| 458 |
|
|
|
|
|
Argentine Republic Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.625%, 04/22/2046 |
| 180 |
| 200 |
| 180 |
| 200 |
|
|
|
|
|
Argentine Republic Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 04/22/2026 |
| 280 |
| 314 |
| 280 |
| 314 |
|
|
|
|
|
Argentine Republic Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 01/26/2022 |
| 1,300 |
| 1,365 |
| 1,300 |
| 1,365 |
|
|
|
|
|
Argentine Republic Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.125%, 07/06/2036 |
| 220 |
| 231 |
| 220 |
| 231 |
|
|
|
|
|
Brazil Notas do Tesouro Nacional, Ser F |
|
|
|
|
|
|
|
|
|
|
|
|
|
10.000%, 01/01/2023 |
| 3,994 |
| 1,298 |
| 3,994 |
| 1,298 |
|
|
|
|
|
Brazil Notas do Tesouro Nacional, Ser F |
|
|
|
|
|
|
|
|
|
|
|
|
|
10.000%, 01/01/2021 |
| 10,399 |
| 3,403 |
| 10,399 |
| 3,403 |
|
|
|
|
|
Brazilian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 04/07/2026 |
| 210 |
| 233 |
|
|
|
|
| 210 |
| 233 |
|
Brazilian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 01/27/2045 |
| 560 |
| 521 |
| 560 |
| 521 |
|
|
|
|
|
Brazilian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 01/05/2023 |
| 200 |
| 192 |
| 200 |
| 192 |
|
|
|
|
|
Brazilian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 01/07/2041 |
| 1,120 |
| 1,128 |
| 1,120 |
| 1,128 |
|
|
|
|
|
Chile Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.860%, 06/21/2047 |
| 840 |
| 855 |
| 285 |
| 290 |
| 555 |
| 565 |
|
China Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.390%, 05/21/2025 |
| 2,000 |
| 291 |
| 2,000 |
| 291 |
|
|
|
|
|
China Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.310%, 11/30/2025 |
| 11,500 |
| 1,662 |
| 11,500 |
| 1,662 |
|
|
|
|
|
Colombia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 06/15/2045 |
| 830 |
| 854 |
|
|
|
|
| 830 |
| 854 |
|
Colombia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 04/25/2027 (F) |
| 717 |
| 728 |
| 316 |
| 321 |
| 401 |
| 407 |
|
Colombia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 02/26/2044 |
| 1,510 |
| 1,688 |
| 820 |
| 917 |
| 690 |
| 771 |
|
Export-Import Bank of India |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.375%, 08/05/2026 (E) |
| 350 |
| 344 |
|
|
|
|
| 350 |
| 344 |
|
FMS Wertmanagement AoeR |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.000%, 11/21/2017 |
| 840 |
| 840 |
| 640 |
| 640 |
| 200 |
| 200 |
|
Indonesia Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, 01/15/2045 (E) |
| 400 |
| 442 |
| 200 |
| 221 |
| 200 |
| 221 |
|
Indonesia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 03/13/2020 |
| 240 |
| 261 |
| 240 |
| 261 |
|
|
|
|
|
Indonesia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 01/08/2047 (E) |
| 400 |
| 450 |
| 200 |
| 225 |
| 200 |
| 225 |
|
Indonesia Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.850%, 07/18/2027 (E) |
| 800 |
| 823 |
| 200 |
| 206 |
| 600 |
| 617 |
|
Indonesia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.350%, 01/08/2027 (E) |
| 765 |
| 811 |
| 450 |
| 477 |
| 315 |
| 334 |
|
Indonesia Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.750%, 04/25/2022 (E) |
| 740 |
| 768 |
|
|
|
|
| 740 |
| 768 |
|
Indonesia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.700%, 01/08/2022 (E) |
| 935 |
| 971 |
| 250 |
| 260 |
| 685 |
| 711 |
|
Indonesia Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 01/15/2024 (E) |
| 840 |
| 963 |
| 840 |
| 963 |
|
|
|
|
|
Israel Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 01/30/2043 |
| 575 |
| 624 |
| 260 |
| 282 |
| 315 |
| 342 |
|
Japan Bank for International Cooperation |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, 02/24/2020 |
| 1,888 |
| 1,897 |
| 882 |
| 886 |
| 1,006 |
| 1,011 |
|
Japan Bank for International Cooperation |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.875%, 04/20/2021 |
| 494 |
| 488 |
| 256 |
| 253 |
| 238 |
| 235 |
|
Japan Bank for International Cooperation |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.750%, 05/28/2020 |
| 1,362 |
| 1,351 |
| 650 |
| 645 |
| 712 |
| 706 |
|
Japan Finance Organization for Municipalities |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/13/2021 |
| 1,800 |
| 1,890 |
| 1,800 |
| 1,890 |
|
|
|
|
|
Japan Treasury Discount Bills |
|
|
|
|
|
|
|
|
|
|
|
|
|
-0.143%, 11/20/2017 (B)(M) |
| 2,000,000 |
| 17,771 |
| 1,135,000 |
| 10,085 |
| 865,000 |
| 7,686 |
|
Japan Treasury Discount Bills |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%, 01/10/2018 (B) |
| 1,720,000 |
| 15,285 |
| 465,000 |
| 4,132 |
| 1,255,000 |
| 11,153 |
|
Kazakhstan Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.875%, 10/14/2044 (E) |
| 660 |
| 675 |
|
|
|
|
| 660 |
| 675 |
|
Kuwait International Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.500%, 03/20/2027 (E) |
| 1,230 |
| 1,265 |
| 780 |
| 802 |
| 450 |
| 463 |
|
Mexico Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 10/12/2110 |
| 1,290 |
| 1,382 |
| 603 |
| 646 |
| 687 |
| 736 |
|
Mexico Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.050%, 01/11/2040 |
| 1,210 |
| 1,452 |
| 1,110 |
| 1,332 |
| 100 |
| 120 |
|
Mexico Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/02/2023 |
| 779 |
| 824 |
| 363 |
| 384 |
| 416 |
| 440 |
|
Mexico Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.600%, 01/30/2025 (F) |
| 1,300 |
| 1,332 |
| 780 |
| 799 |
| 520 |
| 533 |
|
Mexico Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 03/08/2044 |
| 4,540 |
| 4,679 |
| 1,330 |
| 1,371 |
| 3,210 |
| 3,308 |
|
Panama Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 05/15/2047 |
| 640 |
| 675 |
|
|
|
|
| 640 |
| 675 |
|
Peruvian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.625%, 11/18/2050 |
| 1,154 |
| 1,457 |
| 580 |
| 732 |
| 574 |
| 725 |
|
Peruvian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.550%, 03/14/2037 |
| 140 |
| 188 |
| 90 |
| 121 |
| 50 |
| 67 |
|
Province of Ontario Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
1.625%, 01/18/2019 (F) |
| 1,690 |
| 1,688 |
| 785 |
| 784 |
| 905 |
| 904 |
|
Province of Quebec Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.625%, 02/13/2023 |
| 620 |
| 629 |
|
|
|
|
| 620 |
| 629 |
|
Provincia de Buenos Aires |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.875%, 06/15/2027 (E) |
| 250 |
| 271 |
| 250 |
| 271 |
|
|
|
|
|
Provincia de Buenos Aires |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 02/15/2023 (E) |
| 300 |
| 316 |
| 300 |
| 316 |
|
|
|
|
|
Republic of Paraguay |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.100%, 08/11/2044 (E) |
| 325 |
| 365 |
| 325 |
| 365 |
|
|
|
|
|
Republic of Poland Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 01/22/2024 |
| 3,067 |
| 3,301 |
| 1,310 |
| 1,410 |
| 1,757 |
| 1,891 |
|
Republic of Poland Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.000%, 03/23/2022 |
| 100 |
| 110 |
|
|
|
|
| 100 |
| 110 |
|
Russian Foreign Bond - Eurobond |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 03/31/2030 |
| 630 |
| 741 |
| 630 |
| 741 |
|
|
|
|
|
Russian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.500%, 03/31/2030 (E) |
| 278 |
| 327 |
| 278 |
| 327 |
|
|
|
|
|
Saudi Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.875%, 03/04/2023 (E) |
| 3,135 |
| 3,125 |
| 980 |
| 977 |
| 2,155 |
| 2,148 |
|
Saudi Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.625%, 10/04/2047 (E) |
| 490 |
| 490 |
| 230 |
| 230 |
| 260 |
| 260 |
|
Saudi Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.625%, 03/04/2028 (E) |
| 1,295 |
| 1,291 |
| 600 |
| 598 |
| 695 |
| 693 |
|
Uruguay Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.100%, 06/18/2050 |
| 650 |
| 686 |
|
|
|
|
| 650 |
| 686 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Sovereign Debt (Cost $88,671) ($ Thousands) |
|
|
| 89,847 |
|
|
| 47,401 |
|
|
| 42,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LOAN PARTICIPATIONS — 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
1011778 BC ULC/New Red Finance (aka Burger King/Tim Hortons), Term Loan B3, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.485%, VAR LIBOR+2.250%, 02/16/2024 (A) |
| 554 |
| 553 |
| 554 |
| 553 |
|
|
|
|
|
Air Medical Group Holdings, Initial Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.485%, VAR LIBOR+3.250%, 04/28/2022 (A) |
| 728 |
| 723 |
| 728 |
| 723 |
|
|
|
|
|
Albertson’s LLC, 2017-1 Term B-4 Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.985%, VAR LIBOR+2.750%, 08/25/2021 (A) |
| 329 |
| 317 |
| 329 |
| 317 |
|
|
|
|
|
Albertson’s LLC, 2017-1 Term B-6 Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.317%, VAR LIBOR+3.000%, 06/22/2023 (A) |
| 234 |
| 225 |
| 234 |
| 225 |
|
|
|
|
|
American Airlines, Inc., 2017 Replacement Term Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.237%, VAR LIBOR+2.000%, 06/27/2020 (A) |
| 624 |
| 624 |
| 624 |
| 624 |
|
|
|
|
|
American Builders & Contractors Supply Co., Inc., Additional Term B-1 Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.735%, VAR LIBOR+2.500%, 10/31/2023 (A) |
| 595 |
| 597 |
| 595 |
| 597 |
|
|
|
|
|
Aristocrat Leisure Limited, Term B-2 Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.557%, VAR LIBOR+2.000%, 10/20/2021 |
| 71 |
| 71 |
| 71 |
| 71 |
|
|
|
|
|
Avolon Borrower 1 (US) LLC, Initial Term B-2 Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.986%, VAR LIBOR+2.750%, 03/21/2022 (A) |
| 559 |
| 560 |
| 559 |
| 560 |
|
|
|
|
|
Berry Global, Inc. (fka Berry Plastics Corporation), Term M Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.485%, VAR LIBOR+2.250%, 10/01/2022 |
| 338 |
| 339 |
| 338 |
| 339 |
|
|
|
|
|
Berry Global, Inc. (fka Berry Plastics Corporation), Term M Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.485%, VAR LIBOR+2.250%, 10/01/2022 |
| 150 |
| 150 |
| 150 |
| 150 |
|
|
|
|
|
Boyd Gaming Corporation, Refinancing Term B Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.500%, VAR LIBOR+2.500%, 09/15/2023 (A) |
| 294 |
| 295 |
| 294 |
| 295 |
|
|
|
|
|
Caesars Entertainment Resort Properties, Term Loan B, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.735%, VAR LIBOR+3.500%, 10/11/2020 |
| 499 |
| 499 |
| 499 |
| 499 |
|
|
|
|
|
CenturyLink, Cov-Lite, Term Loan B, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, VAR Ticking Fee+2.750%, 01/31/2025 (A) |
| 570 |
| 552 |
| 570 |
| 552 |
|
|
|
|
|
Charter Communications Operating, LLC, Term Loan E, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.240%, VAR LIBOR+2.000%, 07/01/2020 |
| 592 |
| 594 |
| 592 |
| 594 |
|
|
|
|
|
CSC Holdings, LLC (fka CSC Holdings, Inc.), March 2017 Refinancing Term Loan, 2nd Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, VAR LIBOR+2.250%, 07/17/2025 (A) |
| 131 |
| 130 |
| 131 |
| 130 |
|
|
|
|
|
Dell International, Term Loan A2, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
2.250%, VAR LIBOR+2.250%, 09/07/2021 (A) |
| 573 |
| 573 |
| 573 |
| 573 |
|
|
|
|
|
Delos Finance S.à r.l., New Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.333%, VAR LIBOR+2.000%, 10/06/2023 |
| 1,000 |
| 1,006 |
| 1,000 |
| 1,006 |
|
|
|
|
|
Energy Future Intermediate Holding Company LLC (EFIH Finance Inc.), Term Loan (DIP), 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
%, VAR LIBOR+3.000%, 06/30/2018 |
| 1,170 |
| 1,176 |
| 1,170 |
| 1,176 |
|
|
|
|
|
First Data Corporation, 2022D New Dollar Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.487%, VAR LIBOR+2.250%, 07/08/2022 |
| 916 |
| 918 |
| 916 |
| 918 |
|
|
|
|
|
First Data, 2024 New Dollar Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.737%, VAR LIBOR+2.500%, 04/26/2024 (A) |
| 1,041 |
| 1,044 |
| 1,041 |
| 1,044 |
|
|
|
|
|
Flying Fortress Holdings, LLC (fka Flying Fortress Inc.), New Loan (2017), 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.333%, VAR LIBOR+2.000%, 10/30/2022 |
| 560 |
| 563 |
| 560 |
| 563 |
|
|
|
|
|
Golden Nugget, Cov-Lite, Term Loan B, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.488%, 10/04/2023 |
| 89 |
| 89 |
| 89 |
| 89 |
|
|
|
|
|
Golden Nugget, Cov-Lite, Term Loan B, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.488%, 10/04/2023 (A) |
| 207 |
| 208 |
| 207 |
| 208 |
|
|
|
|
|
HCA Inc., Tranche B-8 Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.485%, VAR LIBOR+2.250%, 02/15/2024 |
| 596 |
| 598 |
| 596 |
| 598 |
|
|
|
|
|
Hilton Worldwide Finance LLC, Series B-2 Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.237%, VAR LIBOR+2.000%, 10/25/2023 |
| 272 |
| 273 |
| 272 |
| 273 |
|
|
|
|
|
Hilton Worldwide Holdings, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.234%, VAR LIBOR+2.000%, 10/25/2023 |
| 291 |
| 292 |
| 291 |
| 292 |
|
|
|
|
|
Hilton Worldwide Holdings, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.216%, VAR LIBOR+2.000%, 10/25/2023 |
| 55 |
| 55 |
| 55 |
| 55 |
|
|
|
|
|
Jaguar Holding, 2017 Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.083%, VAR LIBOR+2.750%, 08/18/2022 (A) |
| 567 |
| 570 |
| 567 |
| 570 |
|
|
|
|
|
Level 3 Financing, Cov-Lite, Tranche B 2024 Term Loan B, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.486%, VAR LIBOR+2.250%, 02/22/2024 (A) |
| 590 |
| 590 |
| 590 |
| 590 |
|
|
|
|
|
MGM Growth Properties Operating Partnership LP, Term B Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.485%, VAR LIBOR+2.250%, 04/25/2023 (A) |
| 556 |
| 557 |
| 556 |
| 557 |
|
|
|
|
|
Michaels Stores, Inc., 2016 New Replacement Term B-1 Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.985%, VAR LIBOR+2.750%, 01/30/2023 (A) |
| 23 |
| 23 |
| 23 |
| 23 |
|
|
|
|
|
Michaels Stores, Inc., 2016 New Replacement Term B-1 Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.985%, VAR LIBOR+2.750%, 01/30/2023 (A) |
| 37 |
| 38 |
| 37 |
| 38 |
|
|
|
|
|
Michaels Stores, Inc., 2016 New Replacement Term B-1 Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.985%, VAR LIBOR+2.750%, 01/30/2023 (A) |
| 4 |
| 4 |
| 4 |
| 4 |
|
|
|
|
|
Michaels Stores, Inc., 2016 New Replacement Term B-1 Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.985%, VAR LIBOR+2.750%, 01/30/2023 (A) |
| — |
| — |
|
|
|
|
|
|
|
|
|
Michaels Stores, Inc., 2016 New Replacement Term B-1 Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.984%, VAR LIBOR+2.750%, 01/30/2023 (A) |
| 494 |
| 493 |
| 494 |
| 493 |
|
|
|
|
|
MPH Acquisition Holdings LLC, Initial Term Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.333%, VAR LIBOR+3.000%, 06/07/2023 (A) |
| 536 |
| 540 |
| 536 |
| 540 |
|
|
|
|
|
Party City, 2016 Replacement Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.340%, VAR LIBOR+3.000%, 08/19/2022 (A) |
| 14 |
| 14 |
| 14 |
| 14 |
|
|
|
|
|
Party City, 2016 Replacement Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.340%, VAR LIBOR+3.000%, 08/19/2022 (A) |
| 29 |
| 28 |
| 29 |
| 28 |
|
|
|
|
|
Party City, 2016 Replacement Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.320%, VAR LIBOR+3.000%, 08/19/2022 (A) |
| 157 |
| 158 |
| 157 |
| 158 |
|
|
|
|
|
Party City, 2016 Replacement Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.320%, VAR LIBOR+3.000%, 08/19/2022 (A) |
| 327 |
| 328 |
| 327 |
| 328 |
|
|
|
|
|
Petco Animal Supplies, Cov-Lite, Term Loan B1, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.311%, VAR LIBOR+3.000%, 01/26/2023 (A) |
| 504 |
| 415 |
| 504 |
| 415 |
|
|
|
|
|
PetSmart, Cov-Lite, Term Loan B, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.240%, VAR LIBOR+3.000%, 03/11/2022 (A) |
| 679 |
| 572 |
| 679 |
| 572 |
|
|
|
|
|
Post Holdings, Inc., Series A Incremental Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.490%, VAR LIBOR+2.250%, 05/24/2024 (A) |
| 206 |
| 207 |
| 206 |
| 207 |
|
|
|
|
|
Post Holdings, Inc., Series A Incremental Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.490%, VAR LIBOR+2.250%, 05/24/2024 |
| 173 |
| 173 |
| 173 |
| 173 |
|
|
|
|
|
Reynolds Group Holdings Inc., Incremental U.S. Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.235%, VAR LIBOR+2.750%, 02/05/2023 (A) |
| 16 |
| 16 |
| 16 |
| 16 |
|
|
|
|
|
Reynolds Group Holdings, Cov-Lite, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.235%, VAR LIBOR+2.750%, 02/05/2023 (A) |
| 10 |
| 10 |
| 10 |
| 10 |
|
|
|
|
|
Reynolds Group Holdings, Cov-Lite, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.235%, VAR LIBOR+2.750%, 02/05/2023 (A) |
| 510 |
| 512 |
| 510 |
| 512 |
|
|
|
|
|
RPI Finance Trust, Initial Term Loan B-6, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.333%, VAR LIBOR+2.000%, 03/27/2023 (A) |
| 103 |
| 103 |
| 103 |
| 103 |
|
|
|
|
|
Univision Communications, Cov-Lite, 2017 Replacement Repriced Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.985%, VAR LIBOR+2.750%, 03/15/2024 (A) |
| 1,667 |
| 1,651 |
| 1,667 |
| 1,651 |
|
|
|
|
|
UPC Financing Partnership , Facility AP Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.984%, VAR LIBOR+2.750%, 04/15/2025 (A) |
| 600 |
| 602 |
| 600 |
| 602 |
|
|
|
|
|
Virgin Media, Cov-Lite, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.984%, VAR LIBOR+2.750%, 01/31/2025 (A) |
| 408 |
| 409 |
| 408 |
| 409 |
|
|
|
|
|
XPO Logistics, Inc., Refinanced Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%, VAR LIBOR+2.250%, 11/01/2021 (A) |
| 297 |
| 297 |
| 297 |
| 297 |
|
|
|
|
|
Total Loan Participations (Cost $21,558) ($ Thousands) |
|
|
| 21,334 |
|
|
| 21,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS — 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
California — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
California Health Facilities Financing Authority, RB |
|
|
|
|
|
|
|
|
|
|
|
|
|
Callable 10/01/2026 @ 100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.000%, 10/01/2047 |
| 700 |
| 725 |
|
|
|
|
| 700 |
| 725 |
|
California State, GO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.200%, 03/01/2019 |
| 2,075 |
| 2,200 |
| 1,775 |
| 1,882 |
| 300 |
| 318 |
|
Los Angeles Community College District, GO |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.750%, 08/01/2049 |
| 1,048 |
| 1,596 |
| 488 |
| 743 |
| 560 |
| 853 |
|
State of California, GO |
|
|
|
|
|
|
|
|
|
|
|
|
|
7.600%, 11/01/2040 |
| 765 |
| 1,194 |
| 355 |
| 554 |
| 410 |
| 640 |
|
6.650%, 03/01/2022 |
| 250 |
| 290 |
|
|
|
|
| 250 |
| 290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 6,005 |
|
|
| 3,179 |
|
|
| 2,826 |
|
Illinois — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Carlyle City, GO |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.737%, 07/15/2019 |
| 17 |
| 17 |
|
|
|
|
| 17 |
| 17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Massachusetts — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commonwealth of Massachusetts, GO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.910%, 05/01/2029 |
| 900 |
| 1,054 |
| 900 |
| 1,054 |
|
|
|
|
|
Commonwealth of Massachusetts, Ser 2016-E, GO |
|
|
|
|
|
|
|
|
|
|
|
|
|
Callable 04/01/2025 @ 100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 04/01/2041 |
| 1,500 |
| 1,409 |
| 1,500 |
| 1,409 |
|
|
|
|
|
Commonwealth of Massachusetts, Ser D, GO |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 08/01/2031 |
| 1,110 |
| 1,256 |
|
|
|
|
| 1,110 |
| 1,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3,719 |
|
|
| 2,463 |
|
|
| 1,256 |
|
Nevada — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
County of Clark Department of Aviation, Ser C, RB |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.820%, 07/01/2045 |
| 963 |
| 1,411 |
| 458 |
| 671 |
| 505 |
| 740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1,411 |
|
|
| 671 |
|
|
| 740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New York — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
New York and New Jersey, Port Authority, RB |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.458%, 10/01/2062 |
| 1,440 |
| 1,609 |
| 670 |
| 749 |
| 770 |
| 860 |
|
New York City, GO |
|
|
|
|
|
|
|
|
|
|
|
|
|
Callable 12/01/2020 @ 100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.646%, 12/01/2031 |
| 900 |
| 1,024 |
| 900 |
| 1,024 |
|
|
|
|
|
New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.508%, 08/01/2037 |
| 275 |
| 345 |
|
|
|
|
| 275 |
| 345 |
|
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser A-5, RB |
|
|
|
|
|
|
|
|
|
|
|
|
|
Callable 08/01/2027 @ 100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.280%, 08/01/2029 |
| 595 |
| 593 |
|
|
|
|
| 595 |
| 593 |
|
New York City, Water & Sewer System, RB |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.952%, 06/15/2042 |
| 750 |
| 1,021 |
| 750 |
| 1,021 |
|
|
|
|
|
New York State Dormitory Authority, RB |
|
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 03/15/2030 |
| 400 |
| 471 |
|
|
|
|
| 400 |
| 471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5,063 |
|
|
| 2,794 |
|
|
| 2,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ohio — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ohio State University, Ser A, RB |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
4.800%, 06/01/2111 |
| 433 |
| 470 |
| 207 |
| 225 |
| 226 |
| 245 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
| 470 |
|
|
| 225 |
|
|
| 245 |
| |||
Texas — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Brazos Higher Education Authority, Ser 2006-2, RB, GTD STD LNS |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
0.584%, 12/26/2024 (A)(N) |
| 500 |
| 500 |
| 500 |
| 500 |
|
|
|
|
| |||
North Texas Tollway Authority, Ser B, RB |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
6.718%, 01/01/2049 (F) |
| 990 |
| 1,467 |
| 459 |
| 680 |
| 531 |
| 787 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
| 1,967 |
|
|
| 1,180 |
|
|
| 787 |
| |||
Total Municipal Bonds (Cost $16,878) ($ Thousands) |
|
|
| 18,652 |
|
|
| 10,512 |
|
|
| 8,140 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
FHLB |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
1.375%, 11/15/2019 |
| 1,370 |
| 1,365 |
|
|
|
|
| 1,370 |
| 1,365 |
| |||
FHLB |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
3.000%, 09/11/2026 |
| 590 |
| 611 |
|
|
|
|
| 590 |
| 611 |
| |||
FICO STRIPS, PO |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
0.000%, 11/02/2018 (B) (C) |
| 1,800 |
| 1,771 |
| 1,800 |
| 1,771 |
|
|
|
|
| |||
FICO STRIPS, PO |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
0.000%, 05/11/2018 to 05/11/2018 (B) (C) |
| 2,370 |
| 2,349 |
| 1,910 |
| 1,893 |
| 460 |
| 456 |
| |||
FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
0.000%, 10/09/2019 to 10/09/2019 (B) |
| 8,840 |
| 8,521 |
| 3,275 |
| 3,157 |
| 5,565 |
| 5,364 |
| |||
Tennessee Valley Authority |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
3.875%, 02/15/2021 |
| 1,510 |
| 1,610 |
| 1,510 |
| 1,610 |
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total U.S. Government Agency Obligations (Cost $15,253) ($ Thousands) |
|
|
| 16,227 |
|
|
| 8,431 |
|
|
| 7,796 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
COLLATERALIZED DEBT OBLIGATION — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Community Funding CLO 2015-1A, Ser 2015-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
5.750%, 11/01/2027 (E) |
| 1,510 |
| 1,506 |
| 1,510 |
| 1,506 |
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total Collateralized Debt Obligation (Cost $1,510) ($ Thousands) |
|
|
| 1,506 |
|
|
| 1,506 |
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
PREFERRED STOCK — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Citigroup Capital XIII, 7.681% (A) |
| 19 |
| 527 |
| 19 |
| 527 |
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total Preferred Stock (Cost $491) ($ Thousands) |
|
|
| 527 |
|
|
| 527 |
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
REPURCHASE AGREEMENT(O) — 2.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Deutsche Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
1.040%, dated 09/29/2017, to be repurchased on 10/02/2017, repurchased price $53,604,645 (collateralized by U.S. Treasury Inflation Protected Security, par value $54,119,000, 0.125%, 04/15/2022; total market value $53,604,645) (O) |
| 53,600 |
| 53,600 |
| 53,600 |
| 53,600 |
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total Repurchase Agreement (Cost $53,600) ($ Thousands) |
|
|
| 53,600 |
|
|
| 53,600 |
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
AFFILIATED PARTNERSHIPS — 12.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
SEI Liquidity Fund, L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
1.110% ** ††(P) (Q) |
| 243,268,118 |
| 243,234 |
| 137,582,877 |
| 137,563 |
| 105,685,241 |
| 105,671 |
| |||
|
|
|
| 243,234 |
|
|
| 137,563 |
|
|
| 105,671 |
| |||
Total Affiliated Partnerships (Cost $243,241) ($ Thousands) |
|
|
| 243,234 |
|
|
| 137,563 |
|
|
| 105,671 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
CASH EQUIVALENTS — 18.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
SEI Daily Income Trust, Government Fund, Cl F |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
0.840%** †† |
| 358,033,000 |
| 358,034 |
| 127,390,391 |
| 127,390 |
| 230,643,509 |
| 230,644 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total Cash Equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
(Cost $358,034) ($ Thousands) |
|
|
| 358,034 |
|
|
| 127,390 |
|
|
| 230,644 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total Investments in Securities— 241.5% (Cost $4,656,518) ($ Thousands) |
|
|
| $ | 4,684,297 |
|
|
| $ | 2,479,984 |
|
|
| $ | 2,204,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Description |
| Contracts |
| Market Value |
|
|
|
|
|
|
|
|
| |||
|
|
|
| ($ Thousands) |
|
|
|
|
|
|
|
|
| |||
PURCHASED OPTIONS* — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total Purchased Options(R) |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
(Cost $383) ($ Thousands) |
| 1,483 |
| $ | 320 |
| 938 |
| $ | 203 |
| 545 |
| $ | 117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
WRITTEN OPTIONS* — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total Written Options(R) |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
(Premiums Received $448) ($ Thousands) |
| (1,897 | ) | $ | (275 | ) | (1,204 | ) | $ | (175 | ) | (693 | ) | $ | (100 | ) |
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2017.
†† Investment in Affiliated Security
(A) Floating rate security - Rate disclosed is the rate in effect on September 30, 2017.
(B) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.
(C) PO - Principal Only
(D) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.
(E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees.
(F) This security or a partial position of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $237,342,191
(G) At amortized cost
(H) Rate shown represents the bond equivalent yield to maturity at date of purchase.
(K) Step Bonds - The rate reflected on the Schedule of Investments is the effective yield on September 30, 2017. The coupon on a step bond changes on a specified date.
(L) Maturity date not available.
(M) Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar.
(N) Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates.
(O) Tri-Party Repurchase Agreement.
(P) This security was purchased with cash collateral held from securities on loan (see Note —). The total market value of such securities as of September 30, 2017 was $105,671 and $137,563 ($ Thousands).
(Q) The rate shown is the 7-day effective yield as of September 30, 2017.
(R) Refer to table below for details on Options Contracts.
ACES — Alternative Credit Enhancement Structure
ARM — Adjustable Rate Mortgage
ARS — Argentine Peso
BRL — Brazilian Real
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
CNH — Chinese Offshore Yuan
CNY — Chinese Yuan
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
GO — General Obligation
ICE — Intercontinental Exchange
IDR — Indonesian Rupiah
INR — Indian Rupee
IO — Interest Only — face amount represents notional amount.
JPY — Japanese Yen
L.P. — Limited Partnership
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
Ltd. — Limited
MTN — Medium Term Note
NCUA — National Credit Union Association
PHP — Philippine Peso
PLC — Public Limited Company
PO — Principle Only
RB — Revenue Bond
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
TWD — Taiwanese Dollar
ULC — Unlimited Liability Company
USD — United States Dollar
VAR — Variable Rate
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract |
| Number of Contracts Long |
| Expiration Date |
| Notional Amount |
| Value |
| Unrealized |
| |||
|
|
|
|
|
|
|
|
|
|
|
| |||
90-Day Euro$ |
| (66 | ) | 6/1/2018 |
| $ | (16,244 | ) | $ | (16,220 | ) | $ | 24 |
|
90-Day Euro$ |
| (329 | ) | 12/1/2019 |
| (80,257 | ) | (80,560 | ) | (303 | ) | |||
90-Day Euro$ |
| (66 | ) | 9/1/2018 |
| (16,233 | ) | (16,206 | ) | 27 |
| |||
90-Day Euro$ |
| 91 |
| 12/1/2018 |
| 22,337 |
| 22,326 |
| (11 | ) | |||
90-Day Euro$ |
| (1,281 | ) | 12/1/2017 |
| (315,652 | ) | (315,510 | ) | 141 |
| |||
Euro-Bobl |
| (80 | ) | 12/1/2017 |
| (12,564 | ) | (12,407 | ) | 43 |
| |||
U.S. 10-Year Treasury Note |
| 1,068 |
| 12/1/2017 |
| 134,961 |
| 133,834 |
| (1,127 | ) | |||
U.S. 5-Year Treasury Note |
| 1,924 |
| 12/1/2017 |
| 227,403 |
| 226,070 |
| (1,333 | ) | |||
U.S. 2-Year Treasury Note |
| 563 |
| 1/1/2018 |
| 121,731 |
| 121,441 |
| (290 | ) | |||
U.S. Long Treasury Bond |
| (700 | ) | 12/1/2017 |
| (108,866 | ) | (106,969 | ) | 1,897 |
| |||
U.S. Ultra Long Treasury Bond |
| (88 | ) | 12/1/2017 |
| (14,803 | ) | (14,531 | ) | 272 |
| |||
Ultra 10-Year U.S. Treasury Note |
| (165 | ) | 12/1/2017 |
| (22,428 | ) | (22,164 | ) | 264 |
| |||
Euro |
| (18 | ) | 12/1/2017 |
| (2,695 | ) | (2,670 | ) | 25 |
| |||
Euro-BTP |
| 126 |
| 12/1/2017 |
| 20,280 |
| 20,103 |
| (79 | ) | |||
Euro-Bund |
| (282 | ) | 12/1/2017 |
| (54,353 | ) | (53,678 | ) | 392 |
| |||
|
| 697 |
|
|
| (117,383 | ) | (117,141 | ) | (58 | ) | |||
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty |
| Settlement Date |
| Currency to Deliver |
| Currency to Receive |
| Unrealized |
| ||
|
|
|
|
|
|
|
|
|
| ||
Bank of America |
| 11/20/2017 |
| JPY | 2,000,000 |
| USD | 18,445 |
| 632 |
|
Citigroup |
| 10/18/2017 |
| USD | 4,630 |
| INR | 301,350 |
| (30 | ) |
Citigroup |
| 10/19/2017 |
| USD | 104 |
| GBP | 80 |
| 4 |
|
Citigroup |
| 10/19/2017 |
| GBP | 1,190 |
| USD | 1,615 |
| 18 |
|
Citigroup |
| 10/19/2017 |
| USD | 1,733 |
| EUR | 1,503 |
| 46 |
|
Citigroup |
| 10/19/2017 |
| USD | 477 |
| EUR | 400 |
| (3 | ) |
Citigroup |
| 10/19/2017 |
| EUR | 1,600 |
| USD | 1,913 |
| 19 |
|
Citigroup |
| 10/19/2017 |
| EUR | 620 |
| USD | 729 |
| (5 | ) |
Citigroup |
| 10/19/2017 |
| USD | 4,373 |
| IDR | 59,300,390 |
| 26 |
|
Citigroup |
| 10/19/2017 |
| USD | 5,649 |
| BRL | 18,940 |
| 325 |
|
Citigroup |
| 10/19/2017 |
| CNH | 29,200 |
| USD | 4,254 |
| (134 | ) |
Citigroup |
| 10/19/2017 |
| CNY | 72,168 |
| USD | 10,539 |
| (311 | ) |
Citigroup |
| 10/19/2017 |
| TWD | 180,300 |
| USD | 5,896 |
| (51 | ) |
Citigroup |
| 10/19/2017 |
| JPY | 1,260,085 |
| USD | 11,248 |
| 41 |
|
Citigroup |
| 10/30/2017 |
| IDR | 533,430 |
| USD | 40 |
| — |
|
Deutsche Bank |
| 10/19/2017 |
| EUR | 295 |
| USD | 351 |
| 2 |
|
Deutsche Bank |
| 10/19/2017 |
| USD | 6,002 |
| TWD | 180,300 |
| (55 | ) |
Deutsche Bank |
| 11/15/2017 |
| PHP | 300,620 |
| USD | 5,818 |
| (77 | ) |
Goldman Sachs |
| 1/10/2018 |
| JPY | 1,720,000 |
| USD | 15,335 |
| (30 | ) |
Morgan Stanley |
| 10/19/2017 |
| EUR | 10 |
| USD | 12 |
| — |
|
|
|
|
|
|
|
|
| 417 |
|
A list of the exchange traded option contracts held by the Fund at September 30, 2017, is as follows:
Description |
| Number of Contracts |
| Notional Amount |
| Exercise Price |
| Expiration Date |
| Value |
| |||
|
|
|
|
|
|
|
|
|
|
|
| |||
PURCHASED OPTIONS — 0.0% |
|
|
|
|
|
|
|
|
|
|
| |||
Put Options |
|
|
|
|
|
|
|
|
|
|
| |||
March 2018, Euro Future* |
| 92 |
| $ | 5 |
| $ | 98.25 |
| 3/17/2018 |
| $ | 5 |
|
November 2017, U.S. 10-Year Future* |
| 152 |
| 36 |
| 125.00 |
| 10/21/2017 |
| 60 |
| |||
November 2017, U.S. 5-Year Future* |
| 83 |
| 26 |
| 118.00 |
| 10/21/2017 |
| 52 |
| |||
November 2017, U.S. 5-Year Future* |
| 16 |
| 2 |
| 117.25 |
| 10/21/2017 |
| 3 |
| |||
|
|
|
| $ | 69 |
|
|
|
|
| $ | 120 |
| |
Call Options |
|
|
|
|
|
|
|
|
|
|
| |||
November 2017, 90-Day Euro$ Future* |
| 215 |
| 6 |
| 98.38 |
| 11/18/2017 |
| 5 |
| |||
November 2017, U.S. 10-Year Future* |
| 86 |
| 30 |
| 126.50 |
| 10/21/2017 |
| 15 |
| |||
November 2017, U.S. 10-Year Future* |
| 168 |
| 45 |
| 127.00 |
| 10/21/2017 |
| 16 |
| |||
November 2017, U.S. 10-Year Future* |
| 68 |
| 27 |
| 125.75 |
| 10/21/2017 |
| 24 |
| |||
November 2017, U.S. 10-Year Future* |
| 66 |
| 31 |
| 125.50 |
| 10/21/2017 |
| 28 |
| |||
November 2017, U.S. 5-Year Future* |
| 68 |
| 11 |
| 118.00 |
| 10/21/2017 |
| 8 |
| |||
November 2017, U.S. 5-Year Future* |
| 67 |
| 11 |
| 118.50 |
| 10/21/2017 |
| 3 |
| |||
November 2017, U.S. 5-Year Future* |
| 109 |
| 29 |
| 117.75 |
| 10/21/2017 |
| 21 |
| |||
November 2017, U.S. Bond Future* |
| 41 |
| 21 |
| 157.00 |
| 10/21/2017 |
| 8 |
| |||
November 2017, U.S. Bond Future* |
| 34 |
| 36 |
| 153.00 |
| 10/21/2017 |
| 39 |
| |||
October 2017, U.S. Long Treasury Bond* |
| 17 |
| 14 |
| 155.50 |
| 10/21/2017 |
| 3 |
| |||
October 2017, U.S. Long Treasury Bond* |
| 33 |
| 21 |
| 153.50 |
| 10/21/2017 |
| 21 |
| |||
October 2017, U.S. Long Treasury Bond* |
| 33 |
| 25 |
| 155.00 |
| 10/21/2017 |
| 8 |
| |||
September 2017, U.S. 5-Year Future* |
| 135 |
| 6 |
| 118.00 |
| 10/21/2017 |
| 1 |
| |||
|
|
|
| 313 |
|
|
|
|
| 200 |
| |||
Total Purchased Options |
|
|
| $ | 382 |
|
|
|
|
| $ | 320 |
| |
|
|
|
|
|
|
|
|
|
|
|
| |||
WRITTEN OPTIONS — 0.0% |
|
|
|
|
|
|
|
|
|
|
| |||
December 2017, U.S. 10-Year Future* |
| (49 | ) | (17 | ) | 124.00 |
| 11/18/2017 |
| (14 | ) | |||
December 2017, U.S. 5-Year Future* |
| (68 | ) | (11 | ) | 117.00 |
| 11/18/2017 |
| (16 | ) | |||
March 2018, Euro Future* |
| (92 | ) | (2 | ) | 98.13 |
| 3/17/2018 |
| (2 | ) | |||
November 2017, U.S. 10-Year Future* |
| (65 | ) | (11 | ) | 125.50 |
| 10/21/2017 |
| (41 | ) | |||
November 2017, U.S. 10-Year Future* |
| (66 | ) | (12 | ) | 123.50 |
| 10/21/2017 |
| (5 | ) | |||
November 2017, U.S. 5-Year Future* |
| (66 | ) | (11 | ) | 117.50 |
| 10/21/2017 |
| (20 | ) | |||
November 2017, U.S. 5-Year Future* |
| (33 | ) | (8 | ) | 117.75 |
| 10/21/2017 |
| (14 | ) | |||
November 2017, U.S. Bond Future* |
| (34 | ) | (14 | ) | 150.50 |
| 10/21/2017 |
| (14 | ) | |||
November 2017, U.S. Bond Future* |
| (16 | ) | (10 | ) | 153.00 |
| 10/21/2017 |
| (21 | ) | |||
November 2017, U.S. Bond Future* |
| (17 | ) | (6 | ) | 150.00 |
| 10/21/2017 |
| (5 | ) | |||
|
|
|
| (102 | ) |
|
|
|
| (152 | ) | |||
Call Options |
|
|
|
|
|
|
|
|
|
|
| |||
December 2017, U.S. 10-Year Future* |
| (231 | ) | (49 | ) | 129.00 |
| 11/18/2017 |
| (17 | ) | |||
December 2017, U.S. 10-Year Future* |
| (49 | ) | (21 | ) | 128.50 |
| 11/18/2017 |
| (5 | ) | |||
December 2017, U.S. 5-Year Future* |
| (134 | ) | (16 | ) | 119.00 |
| 11/18/2017 |
| (10 | ) | |||
December 2017, U.S. 5-Year Future* |
| (150 | ) | (28 | ) | 119.25 |
| 11/18/2017 |
| (8 | ) | |||
December 2017, U.S. Bond Future* |
| (82 | ) | (28 | ) | 160.00 |
| 11/18/2017 |
| (16 | ) | |||
December 2017, U.S. Bond Future* |
| (82 | ) | (23 | ) | 161.00 |
| 11/18/2017 |
| (13 | ) | |||
November 2017, U.S. 10-Year Future* |
| (98 | ) | (21 | ) | 129.50 |
| 10/21/2017 |
| (3 | ) | |||
November 2017, U.S. 10-Year Future* |
| (93 | ) | (19 | ) | 126.75 |
| 10/21/2017 |
| (17 | ) | |||
November 2017, U.S. 10-Year Future* |
| (33 | ) | (8 | ) | 129.00 |
| 10/21/2017 |
| (1 | ) | |||
November 2017, U.S. 10-Year Future* |
| (66 | ) | (17 | ) | 128.00 |
| 10/21/2017 |
| (3 | ) | |||
November 2017, U.S. Bond Future* |
| (14 | ) | (8 | ) | 154.50 |
| 10/21/2017 |
| (8 | ) | |||
November 2017, U.S. Bond Future* |
| (167 | ) | (46 | ) | 160.00 |
| 10/21/2017 |
| (11 | ) | |||
November 2017, U.S. Bond Future* |
| (16 | ) | (11 | ) | 158.00 |
| 10/21/2017 |
| (2 | ) | |||
November 2017, U.S. Bond Future* |
| (33 | ) | (23 | ) | 159.00 |
| 10/21/2017 |
| (3 | ) | |||
October 2017, U.S. Long Treasury Bond* |
| (66 | ) | (17 | ) | 157.00 |
| 10/21/2017 |
| (4 | ) | |||
October 2017, U.S. Long Treasury Bond* |
| (34 | ) | (11 | ) | 157.50 |
| 10/21/2017 |
| (2 | ) | |||
|
|
|
| (346 | ) |
|
|
|
| (123 | ) | |||
|
|
|
| (448 | ) |
|
|
|
| (275 | ) | |||
Credit Default Swaps
Reference Entity/ Obligation |
| Buy/Sell Protection |
| (Pays)/Receives Rate |
| Payment Frequency |
| Termination Date |
| Notional Amount |
| Value |
| Upfront Payments/ Receipts |
| Net Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDX.HY.IG.28 |
| Sell |
| 1.00 | % | Quarterly |
| 6/20/2022 |
| (8,300 | ) | 175 |
| 163 |
| 12 |
|
CDX.NA.HY.29 |
| Buy |
| 5.00 | % | Quarterly |
| 12/20/2022 |
| 12,010 |
| (937 | ) | (907 | ) | (30 | ) |
CDX.NA.IG.27 |
| Sell |
| 1.00 | % | Quarterly |
| 12/20/2021 |
| (9,100 | ) | 203 |
| 148 |
| 55 |
|
CDXNA IG28 |
| Sell |
| 1.00 | % | Quarterly |
| 6/20/2022 |
| (12,960 | ) | 273 |
| 259 |
| 14 |
|
|
|
|
|
|
|
|
|
|
|
|
| (286 | ) | (337 | ) | 51 |
|
Interest Rate Swaps
Fund Pays |
| Fund Receives |
| Payment Frequency |
| Termination Date |
| Currency |
| Notional Amount |
| Value |
| Upfront Payments/ Receipts |
| Net Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.02% |
| 3-MONTH USD - LIBOR |
| Quarterly |
| 11/15/2043 |
| USD |
| 8,265 |
| 143 |
| 155 |
| (12 | ) |
1.26653 |
| 3-MONTH USD - LIBOR |
| Quarterly |
| 5/15/2023 |
| USD |
| 33,024 |
| 1,400 |
| 329 |
| 1,071 |
|
1.58% |
| MONTH USD - LIBOR |
| Quarterly |
| 6/13/2026 |
| USD |
| 9,520 |
| 509 |
| 0 |
| 509 |
|
2.47% |
| MONTH USD - LIBOR |
| Quarterly |
| 11/15/2043 |
| USD |
| 14,066 |
| 243 |
| 242 |
| 0 |
|
1.50% |
| 6-MONTH EUR - EURIBOR |
| Monthly |
| 8/23/2047 |
| EUR |
| 2,845 |
| 87 |
| 3 |
| 85 |
|
1.27% |
| 3-MONTH USD - LIBOR |
| Quarterly |
| 5/15/2023 |
| USD |
| 22,656 |
| 961 |
| 7 |
| 952 |
|
3-MONTH USD - LIBOR |
| 1.19% |
| Quarterly |
| 6/13/2021 |
| USD |
| 9,530 |
| (248 | ) | 0 |
| (248 | ) |
1.90% |
| 3-MONTH USD - LIBOR |
| Quarterly |
| 8/31/2022 |
| USD |
| 22,800 |
| 118 |
| 0 |
| 117 |
|
1.90% |
| 3-MONTH USD - LIBOR |
| Quarterly |
| 11/30/2022 |
| USD |
| 34,472 |
| 218 |
| 0 |
| 216 |
|
|
|
|
|
|
|
|
|
|
|
|
| 3,431 |
| 736 |
| 2,690 |
|
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Funds’ investments and other financial instruments carried at value ($ Thousands):
|
| Level 1 |
| Level 2 |
| Level 3 |
|
|
| ||||||||||||||||||||||
Investments in Securities |
| Core Fixed Income |
| U.S. Fixed Income |
| Combined |
| Core Fixed Income |
| U.S. Fixed Income |
| Combined |
| Core Fixed Income |
| U.S. Fixed Income |
| Combined |
| Total |
| ||||||||||
Mortgage-Backed Securities |
| $ | — |
| $ | — |
| $ | — |
| $ | 692,656 |
| $ | 581,024 |
| $ | 1,273,680 |
| $ | — |
| $ | — |
| $ | — |
| $ | 1,273,680 |
|
Corporate Obligations |
| — |
| — |
| — |
| 605,545 |
| 488,038 |
| 1,093,583 |
| — |
| — |
| — |
| 1,093,583 |
| ||||||||||
U.S. Treasury Obligations |
| — |
| — |
| — |
| 596,156 |
| 595,543 |
| 1,191,699 |
| — |
| — |
| — |
| 1,191,699 |
| ||||||||||
Asset-Backed Securities |
| — |
| — |
| — |
| 177,363 |
| 145,011 |
| 322,374 |
| — |
| — |
| — |
| 322,374 |
| ||||||||||
Repurchase Agreement |
| — |
| — |
| — |
| 53,600 |
|
|
| 53,600 |
| — |
| — |
| — |
| 53,600 |
| ||||||||||
Sovereign Debt |
| — |
| — |
| — |
| 47,401 |
| 42,446 |
| 89,847 |
| — |
| — |
| — |
| 89,847 |
| ||||||||||
Loan Participations |
| — |
| — |
| — |
| 21,334 |
|
|
| 21,334 |
| — |
| — |
| — |
| 21,334 |
| ||||||||||
Municipal Bonds |
| — |
| — |
| — |
| 10,512 |
| 8,140 |
| 18,652 |
| — |
| — |
| — |
| 18,652 |
| ||||||||||
U.S. Government Agency Obligations |
| — |
| — |
| — |
| 8,431 |
| 7,796 |
| 16,227 |
| — |
| — |
| — |
| 16,227 |
| ||||||||||
Collateralized Debt Obligation |
| — |
| — |
| — |
| 1,506 |
|
|
| 1,506 |
| — |
| — |
| — |
| 1,506 |
| ||||||||||
Preferred Stock |
| 527 |
| — |
| 527 |
| — |
|
|
| — |
| — |
| — |
| — |
| 527 |
| ||||||||||
Affiliated Partnership |
| — |
| — |
| — |
| 137,563 |
| 105,671 |
| 243,234 |
| — |
| — |
| — |
| 243,234 |
| ||||||||||
Cash Equivalent |
| 127,390 |
| 230,644 |
| 358,034 |
| — |
| — |
| — |
| — |
| — |
| — |
| 358,034 |
| ||||||||||
Total Investments in Securities |
| $ | 127,917 |
| $ | 230,644 |
| $ | 358,561 |
| $ | 2,352,067 |
| $ | 1,973,669 |
| $ | 4,325,736 |
| $ | — |
| $ | — |
| $ | — |
| $ | 4,684,297 |
|
|
| Level 1 |
| Level 2 |
| Level 3 |
|
|
| |||||||||||||||||||||||
Other Financial Instruments |
| Core Fixed Income |
| U.S. Fixed Income |
| Combined |
| Core Fixed Income |
| U.S. Fixed Income |
| Combined |
| Core Fixed Income |
| U.S. Fixed Income |
| Combined |
| Total |
| |||||||||||
Purchased Options |
| $ | 203 |
| $ | 117 |
| $ | 320 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 320 |
| |
Written Options |
| (175 | ) | (100 | ) | (275 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (275 | ) | |||||||||||
Futures Contracts * |
|
|
|
|
| — |
|
|
|
|
| — |
| — |
| — |
| — |
| — |
| |||||||||||
Unrealized Appreciation |
| 2,048 |
| 1,057 |
| 3,105 |
| — |
| — |
| — |
| — |
| — |
| — |
| 3,105 |
| |||||||||||
Unrealized Depreciation |
| (2,336 | ) | (827 | ) | (3,163 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (3,163 | ) | |||||||||||
Forwards Contracts * |
|
|
|
|
| — |
|
|
|
|
| — |
| — |
| — |
| — |
| — |
| |||||||||||
Unrealized Appreciation |
| — |
| — |
| — |
| 840 |
| 273 |
| 1,113 |
| — |
| — |
| — |
| 1,113 |
| |||||||||||
Unrealized Depreciation |
| — |
| — |
| — |
| (674 | ) | (22 | ) | (696 | ) | — |
| — |
| — |
| (696 | ) | |||||||||||
Centrally Cleared Swaps |
|
|
|
|
| — |
|
|
|
|
| — |
| — |
| — |
| — |
| — |
| |||||||||||
Credit Default Swaps * |
|
|
|
|
| — |
|
|
|
|
| — |
| — |
| — |
| — |
| — |
| |||||||||||
Unrealized Appreciation |
| — |
| — |
| — |
| 69 |
| 12 |
| 81 |
| — |
| — |
| — |
| 81 |
| |||||||||||
Unrealized Depreciation |
| — |
|
|
| — |
| (30 | ) | — |
| (30 | ) | — |
| — |
| — |
| (30 | ) | |||||||||||
Interest Rate Swaps * |
|
|
|
|
| — |
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| |||||||||||
Unrealized Appreciation |
| — |
| — |
| — |
| 1,879 |
| 1,071 |
| 2,950 |
| — |
| — |
| — |
| 2,950 |
| |||||||||||
Unrealized Depreciation |
| — |
| — |
| — |
| (248 | ) | (12 | ) | (260 | ) | — |
| — |
| — |
| (260 | ) | |||||||||||
Total Other Financial Instruments |
| $ | (260 | ) | $ | 247 |
| $ | (13 | ) | $ | 1,836 |
| $ | 1,322 |
| $ | 3,158 |
| $ | — |
| $ | — |
| $ | — |
| $ | 3,145 |
| |
* Future contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) of the investment.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
Pro Forma Condensed Combined Statement of Assets and Liabilities
U.S. Fixed Income Fund and Core Fixed Income Fund
As of September 30, 2017 (unaudited)
|
| Acquired |
| Acquiring |
|
|
| Core Fixed |
| ||||
|
| U.S. Fixed |
| Core Fixed |
| Pro Forma |
| Income Pro Forma |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
ASSETS: |
|
|
|
|
|
|
|
|
| ||||
Investments, at value † |
| $ | 1,867,999 |
| $ | 2,161,431 |
| $ | — |
| $ | 4,029,430 |
|
Affiliated investments, at value †† |
| 336,314 |
| 264,953 |
| — |
| 601,267 |
| ||||
Repurchase agreements† |
| — |
| 53,600 |
| — |
| 53,600 |
| ||||
Cash and cash equivalents |
| 168 |
| — |
| — |
| 168 |
| ||||
Cash pledged as collateral on swap contracts |
| 1,100 |
| 3,182 |
| — |
| 4,282 |
| ||||
Cash pledged as collateral on futures contracts |
| 227 |
| 3,213 |
| — |
| 3,440 |
| ||||
Foreign currency, at value ††† |
| 12 |
| 363 |
| — |
| 375 |
| ||||
Receivable for fund shares sold |
| 1,126 |
| 579 |
| — |
| 1,705 |
| ||||
Receivable for investment securities sold |
| 183,375 |
| 157,737 |
| — |
| 341,112 |
| ||||
Dividends and interest receivable |
| 8,906 |
| 10,708 |
| — |
| 19,614 |
| ||||
Receivable for variation margin |
| 1,608 |
| 201 |
| — |
| 1,809 |
| ||||
Unrealized gain on forward foreign currency contracts |
| 273 |
| 840 |
| — |
| 1,113 |
| ||||
Options purchased, at value ††††† |
| 117 |
| 203 |
| — |
| 320 |
| ||||
Unrealized gain on foreign spot currency contracts |
| 18 |
| 6 |
| — |
| 24 |
| ||||
Foreign tax reclaim receivable |
| 6 |
| 9 |
| — |
| 15 |
| ||||
Prepaid expenses |
| 36 |
| 42 |
| — |
| 78 |
| ||||
TOTAL ASSETS |
| $ | 2,401,285 |
| $ | 2,657,067 |
| $ | — |
| $ | 5,058,352 |
|
|
|
|
|
|
|
|
|
|
| ||||
LIABILITIES: |
|
|
|
|
|
|
|
|
| ||||
Payable for investment securities purchased |
| 493,684 |
| 428,178 |
| — |
| 921,862 |
| ||||
Payable upon return on securities loaned |
| 105,675 |
| 137,568 |
| — |
| 243,243 |
| ||||
Payable for variation margin |
| 1,737 |
| 677 |
| — |
| 2,414 |
| ||||
Payable for fund shares redeemed |
| 1,141 |
| 1,649 |
| — |
| 2,790 |
| ||||
Shareholder servicing fees payable Class F |
| 333 |
| 377 |
| — |
| 710 |
| ||||
Administration fees payable |
| 289 |
| 329 |
| — |
| 618 |
| ||||
Income distribution payable |
| 262 |
| 323 |
| — |
| 585 |
| ||||
Options written, at value ††††† |
| 100 |
| 175 |
| — |
| 275 |
| ||||
Unrealized loss on forward foreign currency contracts |
| 22 |
| 674 |
| — |
| 696 |
| ||||
Interest payable |
| 325 |
| — |
| — |
| 325 |
| ||||
Investment advisory fees payable |
| 250 |
| 270 |
| — |
| 520 |
| ||||
Chief Compliance Officer fees payable |
| 2 |
| 2 |
| — |
| 4 |
| ||||
Administration servicing fees payable Class I |
| — |
| 1 |
| — |
| 1 |
| ||||
Accrued expense payable |
| 114 |
| 178 |
| (35 | ) | 257 |
| ||||
Reorganization expense payable |
| — |
| — |
| 200 |
| 200 |
| ||||
TOTAL LIABILITIES |
| 603,934 |
| 570,401 |
| 165 |
| 1,174,500 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
NET ASSETS |
| $ | 1,797,351 |
| $ | 2,086,666 |
| $ | (165 | ) | $ | 3,883,852 |
|
† Cost of investments and repurchase agreements |
| $ | 1,863,009 |
| $ | 2,200,067 |
| $ | — |
| $ | 4,063,076 |
|
†† Cost of affiliated investments |
| 328,485 |
| 264,957 |
| — |
| 593,442 |
| ||||
††† Cost of foreign currency |
| 12 |
| 228 |
| — |
| 240 |
| ||||
††††† Cost (premiums received) |
| (23 | ) | (42 | ) | — |
| (65 | ) | ||||
* Includes market value of securities on loan |
| 103,091 |
| 134,251 |
| — |
| 237,342 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
NET ASSETS: |
|
|
|
|
|
|
|
|
| ||||
Paid-in capital — (unlimited authorization — no par value) |
| $ | 1,804,586 |
| $ | 2,096,562 |
| $ | — |
| $ | 3,901,148 |
|
Distributions in excess of net investment income |
| 207 |
| (3,256 | ) | (165 | ) | (3,214 | ) | ||||
Accumulated net realized loss on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency |
| (21,854 | ) | (23,359 | ) | — |
| (45,213 | ) | ||||
Net unrealized appreciation on investments and securities sold short |
| 12,819 |
| 14,960 |
| — |
| 27,779 |
| ||||
Net unrealized appreciation on option contracts |
| 41 |
| 70 |
| — |
| 111 |
| ||||
Net unrealized depreciation on futures contracts |
| 230 |
| (288 | ) | — |
| (58 | ) | ||||
Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies |
| 251 |
| 307 |
| — |
| 558 |
| ||||
Net unrealized appreciation on swap contracts |
| 1,071 |
| 1,670 |
| — |
| 2,741 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
NET ASSETS |
| $ | 1,797,351 |
| $ | 2,086,666 |
| $ | (165 | ) | $ | 3,883,852 |
|
|
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Class F |
|
|
|
|
|
|
|
|
| ||||
Net Assets |
| $ | 1,638,534,060 |
| $ | 1,855,251,225 |
| $ | (148,422 | ) | $ | 3,493,636,863 |
|
Shares Outstanding |
| 160,614,874 |
| 163,920,082 |
| (15,842,762 | ) | 308,692,194 |
| ||||
Net Asset Value per share |
| $ | 10.20 |
| $ | 11.32 |
| — |
| $ | 11.32 |
| |
|
|
|
|
|
|
|
|
|
| ||||
Class Y |
|
|
|
|
|
|
|
|
| ||||
Net Assets |
| $ | 158,816,534 |
| $ | 225,440,495 |
| $ | (16,324 | ) | $ | 384,240,705 |
|
Shares Outstanding |
| 15,569,664 |
| 19,909,033 |
| (1,544,306 | ) | 33,934,391 |
| ||||
Net Asset Value per share |
| $ | 10.20 |
| $ | 11.32 |
|
|
| $ | 11.32 |
|
See Notes to Pro Forma Financial Statements.
Pro Forma Condensed Combined Statement of Operations
U.S. Fixed Income Fund and Core Fixed Income Fund
For the Twelve Months Ended September 30, 2017 (unaudited)
|
| Acquired |
| Acquiring |
|
|
| Core Fixed Income |
| |||||
|
| U.S. Fixed |
| Core Fixed |
| Pro Forma |
| Fund Pro Forma |
| |||||
|
|
|
|
|
|
|
|
|
| |||||
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
| |||||
Dividends |
| $ | — |
| $ | 43 |
| $ | — |
| $ | 43 |
| |
Dividends from affiliated investment company |
| 551 |
| 320 |
| — |
| 871 |
| |||||
Interest income |
| 41,537 |
| 58,054 |
| — |
| 99,591 |
| |||||
Other income |
| 1 |
| 1 |
| — |
| 2 |
| |||||
Security lending income - net |
| 199 |
| 400 |
| — |
| 599 |
| |||||
Less: foreign taxes withheld |
| 5 |
| — |
| — |
| 5 |
| |||||
TOTAL INVESTMENT INCOME: |
| $ | 42,293 |
| $ | 58,818 |
| $ | — |
| $ | 101,111 |
| |
EXPENSES: |
|
|
|
|
|
|
|
|
| |||||
Investment advisory fees |
| 4,641 |
| 5,645 |
| — |
| 10,286 |
| |||||
Shareholder servicing fees Class F |
| 3,842 |
| 4,753 |
| — |
| 8,595 |
| |||||
Shareholder servicing fees Class I |
| — |
| 19 |
| — |
| 19 |
| |||||
Administration fees |
| 3,648 |
| 4,425 |
| (890 | ) | 7,183 |
| |||||
Trustees’ fees |
| 26 |
| 33 |
| — |
| 59 |
| |||||
Administration servicing fees Class I |
| — |
| 19 |
| — |
| 19 |
| |||||
Chief compliance officer fees |
| 9 |
| 11 |
| — |
| 20 |
| |||||
Pricing fees |
| 298 |
| 555 |
| — |
| 853 |
| |||||
Printing fees |
| 208 |
| 249 |
| — |
| 457 |
| |||||
Professional fees |
| 96 |
| 118 |
| (35 | ) | 179 |
| |||||
Custodian/Wire agent fees |
| 92 |
| 110 |
| — |
| 202 |
| |||||
Registration fees |
| 52 |
| 78 |
| — |
| 130 |
| |||||
Litigation fees |
| — |
| — |
| — |
| — |
| |||||
Interest expense |
| — |
| — |
| — |
| — |
| |||||
Other expenses |
| 23 |
| 34 |
| — |
| 57 |
| |||||
Reorganization expenses |
| — |
| — |
| 200 |
| 200 |
| |||||
|
|
|
|
|
|
|
|
|
| |||||
TOTAL EXPENSES |
| 12,935 |
| 16,049 |
| (725 | ) | 28,259 |
| |||||
LESS: |
|
|
|
|
|
|
|
|
| |||||
Waiver of investment advisory fees |
| (1,816 | ) | (2,161 | ) | 474 |
| (3,503 | ) | |||||
Waiver of shareholder servicing fees Class F |
| (19 | ) | (22 | ) | — |
| (41 | ) | |||||
Waiver of shareholder servicing fees Class I |
| — |
| (2 | ) | — |
| (2 | ) | |||||
Waiver of administration fees |
| (313 | ) | (419 | ) | — |
| (732 | ) | |||||
Net Expenses |
| 10,787 |
| 13,445 |
| (251 | ) | 23,981 |
| |||||
|
|
|
|
|
|
|
|
|
| |||||
NET INVESTMENT INCOME |
| 31,506 |
| 45,373 |
| 251 |
| 77,130 |
| |||||
|
|
|
|
|
|
|
|
|
| |||||
NET REALIZED GAIN (LOSS) ON: |
|
|
|
|
|
|
|
|
| |||||
Investments |
| (10,227 | ) | (1,127 | ) | — |
| (11,354 | ) | |||||
Affiliated investments |
| (2 | ) | (1 | ) | — |
| (3 | ) | |||||
Futures contracts |
| 3,825 |
| 5,990 |
| — |
| 9,815 |
| |||||
Foreign currency transactions |
| 305 |
| 1,209 |
| — |
| 1,514 |
| |||||
Purchased and written options |
| (131 | ) | (102 | ) | — |
| (233 | ) | |||||
Swap contracts |
| (264 | ) | (1,739 | ) | — |
| (2,003 | ) | |||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
|
|
|
|
|
|
|
|
| |||||
Investments |
| (22,580 | ) | (35,074 | ) | — |
| (57,654 | ) | |||||
Affiliated investments |
| — |
| (4 | ) | — |
| (4 | ) | |||||
Futures contracts |
| (741 | ) | (1,982 | ) | — |
| (2,723 | ) | |||||
Purchased and written options |
| 21 |
| 17 |
| — |
| 38 |
| |||||
Swap contracts |
| 1,538 |
| 5,531 |
| — |
| 7,069 |
| |||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies |
| 410 |
| 748 |
| — |
| 1,158 |
| |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
| $ | 3,660 |
| $ | 18,839 |
| $ | 251 |
| $ |
| 22,750 |
|
Notes to Pro Forma Financial Statements (Unaudited)
SEI Institutional Managed Trust
For the year ended September 30, 2017
1. Organization:
SEI Institutional Managed Trust (the “Trust”) is organized as a Massachusetts business trust under a Declaration of Trust dated October 20, 1986. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 30 funds, which include the Core Fixed Income and U.S. Fixed Income Funds (each a “Fund,” collectively the “Funds”) each of which are diversified Funds.
The Trust is registered to offer: Class F, Class Y and Class I shares of the Funds (although U.S. Fixed Income Fund Class I shares have not launched). The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Each Fund’s prospectus provides a description of its investment goal and its principal investment strategies and risks.
Effective January 31, 2017, the Trust Class A shares were each re-designated as Class F shares. This share class name change had no impact on any Fund’s operations or investment policies.
Per Board approval, the Trust will reorganize the U.S. Fixed Income Fund (the “Target Fund”) into the Core Fixed Income Fund (the “Acquiring Fund”) within the Trust. This action is part of an effort to rationalize the product offering and ensure that investors are receiving the most current and optimal investment solutions offered by SEI Investments Management Corporation (“SIMC”).
For the purposes of these Pro Forma Financial Statements, the financial information covers the period from October 1, 2016 to September 30, 2017.
2. Basis of Combination:
The accompanying unaudited Pro Forma Financial Statements Combining Schedules of Investments, Statements of Assets and Liabilities and Statements of Operations (“Pro Forma Financial Statements”) reflect the accounts of the Target Fund and the Acquiring Fund for the year ended September 30, 2017. These statements have been derived from the books and records utilized in calculating daily net asset values at September 30, 2017.
The Pro Forma Financial Statements should be read in conjunction with the historical financial statements of the Target Fund and the Acquiring Fund. The Target Fund and the Acquiring Fund follow generally accepted accounting principles in the United States of America applicable to management investment companies which are disclosed in the historical financial statements.
The Pro Forma Financial Statements give effect to the proposed exchange of assets of the Target Fund for Class F and Class Y Shares of the Acquiring Fund. Under generally accepted accounting principles, the Acquiring Fund will be the surviving entities for accounting purposes.
The Pro Forma Financial Statements have been adjusted to reflect certain other operating costs that have been adjusted to reflect anticipated expenses of the combined entities. Other costs which may change as a result of the reorganizations are currently undeterminable.
All fees and expenses incurred directly in connection with the consummation of the Reorganization and the transactions contemplated by the Plan of Reorganization will be borne by the Acquiring Fund.
3. Security Valuation:
For purposes of calculating their daily net asset values (“NAV”), the Target Fund and the Acquiring Fund each generally values their investments as follows:
Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (other than securities traded on National Association of Securities Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. The Funds value securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations or other methodologies designed to identify the market value for such securities. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of ETFs, which are priced as equity securities. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above, the Funds will value the securities using a bid price from at least one independent broker. If such prices are not readily available or cannot be valued using the methodologies described above, the Funds will value the security using the Funds’ Fair Value Pricing Policies and Procedures (“Fair Value Procedures”), as described below.
On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Funds’ Fair Value Procedures until a price from an independent source can be secured. Securities held by a Fund with remaining maturities of 60 days or less may be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument. Further, the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.
Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.
Futures and swaps cleared through a central clearing house (“centrally cleared swaps”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures or centrally cleared swaps position.
Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent source.
Prices for most securities held by a Fund are provided daily by third party independent pricing agents. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser (“Sub-Adviser”), as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify the Fair Value Pricing Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.
The Funds’ Fair Value Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board of Trustees (“Board”) or its designated sub-committee. However, when the change would not materially affect valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, approval may be obtained at the next regularly scheduled meeting of the Board.
Securities for which market prices are not readily available, for which market prices are determined to be unreliable, or which cannot be valued using the methodologies described above are valued in accordance with the Fair Value Procedures established by the Board. The Funds’ Fair Value Procedures are implemented through the Committee designated by the Board. The Committee is currently composed of two members of the Board, as well as representatives from SIMC and its affiliates. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: (i) the security’s trading has been halted or suspended, (ii) the security has been delisted from a national exchange, (iii) the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open, or (iv) the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Examples of factors the Committee may consider include: (i) the facts giving rise to the need to fair value, (ii) the last trade price, (iii) the performance of the market or the issuer’s industry, (iv) the liquidity of the security, (v) the size of the holding in a Fund, or (vi) any other appropriate information.
The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its Net Asset Value (“NAV”). The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a “Significant Event”), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates its NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.
A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the
Funds calculate NAV, it may request that a Committee meeting be called. In addition, the Funds use several processes, with respect to certain securities to monitor the pricing data supplied by various sources, including price comparisons and price movements. Any identified discrepancies are researched and subject to the procedures described above.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2017, maximized the use of observable inputs and minimized the use of unobservable inputs. For details of the investment classification, reference the Summary Schedules of Investments/Schedules of Investments.
For the year ended September 30, 2017, there have been no significant changes to the Trust’s fair valuation methodologies.
4. Federal Income Taxes
It is the intention of the Target Fund and the Acquiring Fund to continue to qualify as a regulated investment companies for Federal income tax purposes by complying with the appropriate provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its income to its shareholders. Accordingly, no provision for Federal income taxes has been made in the Pro Forma financial statements.
5. Pro Forma Adjustments
The professional fees for the Combined Fund have been reduced to reflect the reduction in audit fees. The Administration Fees have been decreased to reflect lower fees due to contractual breakpoints that will be realized as a result of the merger. The Investment Advisory Fee Waiver has been increased to reflect the lower voluntary expense cap of the Acquiring Fund. Reorganizational expenses have been added to reflect those expenses specifically borne from the merger.
PART C. OTHER INFORMATION
Item 16. Indemnification:
Article VIII of the Amended and Restated Agreement and Declaration of Trust is filed as Exhibit 1 to the Registration Statement. Insofar as indemnification for liabilities arising under the Securities Act of 1933, as amended (the “1933 Act”) may be permitted to trustees, directors, officers and controlling persons of the Registrant by the Registrant pursuant to the Declaration of Trust or otherwise, the Registrant is aware that, in the opinion of the Securities and Exchange Commission, such indemnification is against public policy as expressed in the 1933 Act and therefore is unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by the Registrant of expenses incurred or paid by trustees, directors, officers or controlling persons of the Registrant in connection with the successful defense of any act, suit or proceeding) is asserted by such trustees, directors, officers or controlling persons in connection with the shares being registered, the Registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the 1933 Act and will be governed by the final adjudication of such issues.
Item 17. Exhibits:
| (1) | Registrant’s Amended and Restated Agreement and Declaration of Trust, dated March 30, 2016 is herein incorporated by reference to Exhibit (a) of Post-Effective Amendment No. 113 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the Securities and Exchange Commission (“SEC”) on March 31, 2016 (“Post-Effective Amendment No. 113”). |
|
|
|
| (2) | Amended and Restated By-Laws, dated September 13, 2011, are herein incorporated by reference to Exhibit (b) of Post-Effective Amendment No. 77 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on November 2, 2011 (“Post-Effective Amendment No. 77”). |
|
|
|
| (3) | Not Applicable. |
|
|
|
| (4) | Form of Agreement and Plan of Reorganization is attached as Exhibit A to the Information Statement/Prospectus contained in this Registration Statement. |
|
|
|
| (5)(a) | See Article V of the Registrant’s Amended and Restated Agreement and Declaration of Trust, which has been incorporated by reference in Exhibit (1) of this Registration Statement. |
|
|
|
| (5)(b) | See Section 2 of the Registrant’s Amended and Restated By-Laws, which has been incorporated by reference in Exhibit (2) of this Registration Statement. |
| (6)(a) | Investment Advisory Agreement, dated December 16, 1994, between the Trust and SEI Investments Management Corporation (“SIMC”) is herein incorporated by reference to Exhibit (5)(cc) of Post-Effective Amendment No. 26 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 1997 (“Post-Effective Amendment No. 26”). |
| (6)(b) | Amended Schedule B, as last revised September 11, 2017, to the Investment Advisory Agreement, dated December 16, 1994, between the Trust and SIMC is herein incorporated by reference to Exhibit (d)(2) of Post-Effective Amendment No. 122 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 26, 2018 (“Post-Effective Amendment No. 122”). |
|
|
|
| (6)(c) | Investment Sub-Advisory Agreement, dated July 13, 2006, between SIMC and Acadian Asset Management LLC (f/k/a Acadian Asset Management Inc.) with respect to the Global Managed Volatility Fund is herein incorporated by reference to Exhibit (d)(84) of Post- Effective Amendment No. 56 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on November 29, 2006. |
|
|
|
| (6)(d) | Amendment, dated September 15, 2015, and amended Schedules A and B, as last revised September 15, 2015, to the Investment Sub-Advisory Agreement, dated July, 13, 2006, between SIMC and Acadian Asset Management LLC with respect to the Global Managed Volatility and Multi-Strategy Alternative Funds are herein incorporated by reference to Exhibit (d)(5) of Post-Effective Amendment No. 111 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 2016 (“Post-Effective Amendment No. 111”). |
|
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| (6)(e) | Amendment, dated June 30, 2016, and amended Schedules A and B, as last revised June 30, 2016, to the Investment Sub-Advisory Agreement, dated July 13, 2006, between SIMC and Acadian Asset Management LLC with respect to the Global Managed Volatility, Tax-Managed International Managed Volatility and Multi-Strategy Alternative Funds are herein incorporated by reference to Exhibit (d)(5) of Post-Effective Amendment No. 116 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on August 1, 2016 (“Post-Effective Amendment No. 116”). |
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| (6)(f) | Investment Sub-Advisory Agreement, dated July 1, 2003, between SIMC and AJO, LP (f/k/a Aronson+Johnson+Ortiz, LP) with respect to the Large Cap Value and Tax-Managed Large Cap Funds is herein incorporated by reference to Exhibit (d)(33) of Post-Effective Amendment No. 39 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on August 29, 2003 (“Post-Effective Amendment No. 39”). |
| (6)(g) | Amendment, dated June 24, 2011, and amended Schedule A, as last revised June 24, 2011, to the Investment Sub-Advisory Agreement, dated July 1, 2003, between SIMC and AJO, LP (f/k/a Aronson+Johnson+Ortiz, LP) with respect to the Large Cap Value, Tax-Managed Large Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility and Large Cap Funds are herein incorporated by reference to Exhibit (d)(17) of Post-Effective Amendment No. 77. |
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| (6)(h) | Amendment, dated December 15, 2011, to the Investment Sub-Advisory Agreement, dated July 1, 2003, as amended June 24, 2011, and with amended Schedule A, as last revised June 24, 2011, between SIMC and AJO, LP (f/k/a Aronson+Johnson+Ortiz, LP) with respect to the Large Cap, Large Cap Value, Tax-Managed Large Cap, U.S. Managed Volatility and Tax-Managed Managed Volatility Funds is herein incorporated by reference to Exhibit (d)(22) of Post-Effective Amendment No. 80 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 17, 2012 (“Post-Effective Amendment No. 80”). |
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| (6)(i) | Amended Schedule B, as last revised March 24, 2015, to the Investment Sub-Advisory Agreement, dated July 1, 2003, as amended June 24, 2011 and December 15, 2011, between SIMC and AJO, LP (f/k/a Aronson+Johnson+Ortiz, LP) with respect to the U.S. Managed Volatility and Tax-Managed Managed Volatility Funds is herein incorporated by reference to Exhibit (d)(9) of Post-Effective Amendment No. 111. |
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| (6)(j) | Investment Sub-Advisory Agreement, dated September 14, 2011, between SIMC and AllianceBernstein L.P. is herein incorporated by reference to Exhibit (d)(5) of Post-Effective Amendment No. 77. |
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| (6)(k) | Amendment, dated June 30, 2014, and amended Schedules A and B, as last revised June 30, 2014, to the Investment Sub-Advisory Agreement, dated September 14, 2011, between SIMC and AllianceBernstein L.P. with respect to the Multi-Asset Inflation Managed and Multi-Asset Capital Stability Funds are herein incorporated by reference to Exhibit (d)(11) of Post-Effective Amendment No. 96 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on October 14, 2014 (“Post-Effective Amendment No. 96”). |
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| (6)(l) | Amended Schedule A, as last revised January 8, 2016, to the Investment Sub-Advisory Agreement, dated September 14, 2011, between SIMC and AllianceBernstein L.P. with respect to the Multi-Asset Inflation Managed and Multi-Asset Capital Stability Funds is herein incorporated by reference to Exhibit (d)(12) of Post-Effective Amendment No. 111. |
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| (6)(m) | Investment Sub-Advisory Agreement, dated October 1, 2016, between SIMC and Analytic Investors, LLC with respect to the Global Managed Volatility and U.S. Managed Volatility Funds is herein incorporated by reference to Exhibit |
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| (d)(13) of Post-Effective Amendment No. 119 to Registrant’s Registration Statement on Form N1-A (File Nos. 033-099504 and 811-04878), filed with the SEC on January 27, 2017 (“Post-Effective Amendment No. 119”). |
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| (6)(n) | Investment Sub-Advisory Agreement, dated October 1, 2016, between SIMC and Analytic Investors, LLC with respect to the Tax-Managed Managed Volatility and Tax-Managed International Managed Volatility Funds is herein incorporated by reference to Exhibit (d)(14) of Post-Effective Amendment No. 119. |
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| (6)(o) | Investment Sub-Advisory Agreement, dated July 8, 2009, between SIMC and AQR Capital Management, LLC with respect to the Small Cap Fund is herein incorporated by reference to Exhibit (d)(83) of Post-Effective Amendment No. 71 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on November 24, 2009 (“Post-Effective Amendment No. 71”). |
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| (6)(p) | Amendment, dated June 28, 2011, to the Investment Sub-Advisory Agreement, dated July 8, 2009, between SIMC and AQR Capital Management, LLC with respect to the Small Cap and Large Cap Funds is herein incorporated by reference to Exhibit (d)(13) of Post-Effective Amendment No. 77. |
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| (6)(q) | Amended Schedules A and B, as last revised January 11, 2016, to the Investment Sub-Advisory Agreement, dated July 8, 2009, between SIMC and AQR Capital Management, LLC with respect to the Large Cap, Large Cap Value, Tax-Managed Small/Mid Cap, Small Cap, Small Cap Value and Multi-Asset Accumulation Funds are herein incorporated by reference to Exhibit (d)(18) of Post-Effective Amendment No. 111. |
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| (6)(r) | Investment Sub-Advisory Agreement, dated March 30, 2007, between SIMC and Ares Management LLC with respect to the High Yield Bond Fund is herein incorporated by reference to Exhibit (d)(108) of Post-Effective Amendment No. 64 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 2008. |
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| (6)(s) | Amended Schedule A, as last revised May 21, 2009, to the Investment Sub-Advisory Agreement, dated March 30, 2007, between SIMC and Ares Management LLC with respect to the High Yield Bond and Enhanced Income Funds is herein incorporated by reference to Exhibit (d)(92) of Post-Effective Amendment No. 70 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on June 29, 2009 (“Post-Effective Amendment No. 70”). |
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| (6)(t) | Amended Schedule B, as last revised June 28, 2017, to the Investment Sub-Advisory Agreement, dated March 30, 2007, between SIMC and Ares Management LLC with respect to the High Yield Bond and Enhanced Income |
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| Funds is herein incorporated by reference to Exhibit (d)(20) of Post-Effective Amendment No. 122. |
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| (6)(u) | Amended and Restated Investment Sub-Advisory Agreement, dated January 11, 2016, between SIMC and ArrowMark Colorado Holdings, LLC with respect to the Small Cap Growth Fund is herein incorporated by reference to Exhibit (d)(21) of Post-Effective Amendment No. 111. |
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| (6)(v) | Investment Sub-Advisory Agreement, dated December 23, 2015, between SIMC and Axiom International Investors LLC with respect to the Small Cap Growth Fund is herein incorporated by reference to Exhibit (d)(22) of Post-Effective Amendment No. 111. |
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| (6)(w) | Investment Sub-Advisory Agreement, dated December 10, 2014, between SIMC and Beachhead Capital Management, LLC with respect to the Long/Short Alternative Fund is herein incorporated by reference to Exhibit (d)(21) of Post-Effective Amendment No. 99 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on December 15, 2014 (“Post-Effective Amendment No. 99”). |
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| (6)(x) | Investment Sub-Advisory Agreement, dated March 26, 2014, between SIMC and Benefit Street Partners L.L.C. with respect to the High Yield Bond Fund is herein incorporated by reference to Exhibit (d)(21) of Post-Effective Amendment No. 96. |
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| (6)(y) | Investment Sub-Advisory Agreement, dated March 31, 2016, between SIMC and BlackRock Advisors, LLC with respect to the Conservative Income and Tax-Free Conservative Income Funds is herein incorporated by reference to Exhibit (d)(25) of Post-Effective Amendment No. 115 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on May 18, 2016 (“Post-Effective Amendment No. 115”). |
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| (6)(z) | Investment Sub-Advisory Agreement, dated June 23, 2015, between SIMC and BlackRock Investment Management, LLC with respect to the Tax-Managed Large Cap, Large Cap Growth and Large Cap Funds is herein incorporated by reference to Exhibit (d)(25) of Post-Effective Amendment No. 111. |
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| (6)(aa) | Amended and Restated Investment Sub-Advisory Agreement, dated June 23, 2015, between SIMC and Brandywine Global Investment Management, LLC with respect to the Large Cap, Large Cap Value and Tax-Managed Large Cap Funds is herein incorporated by reference to Exhibit (d)(26) of Post-Effective Amendment No. 111. |
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| (6)(bb) | Investment Sub-Advisory Agreement, dated March 31, 2009, between SIMC and Brigade Capital Management, LP with respect to the High Yield Bond Fund |
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| is herein incorporated by reference to Exhibit (d)(103) of Post-Effective Amendment No. 70. |
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| (6)(cc) | Amendment, dated December 7, 2016, and Amended Schedules A and B, as last revised December 7, 2016, to the Investment Sub-Advisory Agreement, dated March 31, 2009, between SIMC and Brigade Capital Management, LP with respect to the High Yield Bond and Multi-Strategy Alternative Funds are herein incorporated by reference to Exhibit (d)(29) of Post-Effective Amendment No. 119. |
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| (6)(dd) | Investment Sub-Advisory Agreement, dated December 7, 2016, between SIMC and Caerus Investors, LLC with respect to the Multi-Strategy Alternative Fund is herein incorporated by reference to Exhibit (d)(30) of Post-Effective Amendment No. 119. |
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| (6)(ee) | Investment Sub-Advisory Agreement, dated January 12, 2016, between SIMC and Cardinal Capital Management, L.L.C. with respect to the Small Cap Value and Tax-Managed Small/Mid Cap Funds is herein incorporated by reference to Exhibit (d)(28) of Post-Effective Amendment No. 111. |
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| (6)(ff) | Investment Sub-Advisory Agreement, dated December 10, 2014, between SIMC and CastleArk Management LLC with respect to the Tax-Managed Small/Mid Cap Fund is herein incorporated by reference to Exhibit (d)(27) of Post-Effective Amendment No. 102 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 2015 (“Post-Effective Amendment No. 102”). |
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| (6)(gg) | Investment Sub-Advisory Agreement, dated December 5, 2017, between SIMC and CenterSquare Investment Management LLC with respect to the Real Estate Fund is herein incorporated by reference to Exhibit (d)(33) of Post-Effective Amendment No. 122. |
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| (6)(hh) | Investment Sub-Advisory Agreement, dated June 23, 2015, between SIMC and Coho Partners, Ltd. with respect to the Tax-Managed Large Cap, Large Cap and Large Cap Value Fund is herein incorporated by reference to Exhibit (d)(31) of Post-Effective Amendment No. 111. |
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| (6)(ii) | Amended Schedule B, as last revised March 29, 2017, to the Investment Sub-Advisory Agreement, dated June 23, 2015, between SIMC and Coho Partners, Ltd. with respect to the Tax-Managed Large Cap, Large Cap and Large Cap Value Funds is herein incorporated by reference to Exhibit (d)(35) of Post-Effective Amendment No. 122. |
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| (6)(jj) | Amended and Restated Investment Sub-Advisory Agreement, dated January 11, 2016, between SIMC and EAM Investors LLC with respect to the Small Cap |
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| and Small Cap Growth Funds is herein incorporated by reference to Exhibit (d)(34) of Post-Effective Amendment No. 111. |
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| (6)(kk) | Investment Sub-Advisory Agreement, dated June 23, 2015, between SIMC and Emso Asset Management Limited with respect to the Multi-Strategy Alternative Fund is herein incorporated by reference to Exhibit (d)(35) of Post-Effective Amendment No. 111. |
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| (6)(ll) | Investment Sub-Advisory Agreement, dated December 23, 2015, between SIMC and Falcon Point Capital, LLC with respect to the Small Cap and Small Cap Growth Funds is herein incorporated by reference to Exhibit (d)(36) of Post-Effective Amendment No. 111. |
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| (6)(mm) | Investment Sub-Advisory Agreement, dated December 6, 2016, between SIMC and Fiera Capital Inc. with respect to the Large Cap, Large Cap Growth and Tax-Managed Large Cap Funds is herein incorporated by reference to Exhibit (d)(38) of Post-Effective Amendment No. 119. |
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| (6)(nn) | Amended Schedule B, as last revised March 28, 2017, to the Investment Sub-Advisory Agreement, dated December 6, 2016, between SIMC and Fiera Capital Inc. with respect to the Large Cap, Large Cap Growth and Tax-Managed Large Cap Funds is herein incorporated by reference to Exhibit (d)(40) of Post-Effective Amendment No. 122. |
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| (6)(oo) | Investment Sub-Advisory Agreement, dated January 11, 2016, between SIMC and Goldman Sachs Asset Management, L.P. with respect to the Multi-Asset Income Fund is herein incorporated by reference to Exhibit (d)(38) of Post-Effective Amendment No. 111. |
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| (6)(pp) | Investment Sub-Advisory Agreement, dated January 10, 2012, between SIMC and Guggenheim Partners Investment Management, LLC (f/k/a Guggenheim Partners Asset Management, LLC) with respect to the Multi-Asset Income Fund is herein incorporated by reference to Exhibit (d)(36) of Post-Effective Amendment No. 80. |
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| (6)(qq) | Amended Schedule B, as last revised March 30, 2012, to the Investment Sub-Advisory Agreement, dated January 10, 2012, between SIMC and Guggenheim Partners Investment Management, LLC (f/k/a Guggenheim Partners Asset Management, LLC) with respect to the Multi-Asset Income Fund is herein incorporated by reference to Exhibit (d)(38) of Post-Effective Amendment No. 85 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on April 3, 2012. |
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| (6)(rr) | Investment Sub-Advisory Agreement, dated May 1, 2014, between SIMC and Jackson Square Partners, LLC with respect to the Large Cap and Large Cap |
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| Growth Funds is herein incorporated by reference to Exhibit (d)(35) of Post-Effective Amendment No. 96. |
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| (6)(ss) | Investment Sub-Advisory Agreement, dated May 1, 2014, between SIMC and Jackson Square Partners, LLC with respect to the Tax-Managed Large Cap Fund is herein incorporated by reference to Exhibit (d)(36) of Post-Effective Amendment No. 96. |
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| (6)(tt) | Amendment, dated June 23, 2015, and Amended Schedule A, as last revised June 23, 2015, to the Investment Sub-Advisory Agreement, dated May 1, 2014, between SIMC and Jackson Square Partners, LLC with respect to the Large Cap, Large Cap Growth and Tax-Managed Large Cap Funds is herein incorporated by reference to Exhibit (d)(43) of Post-Effective Amendment No. 111. |
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| (6)(uu) | Amended Schedule B, as last revised March 29, 2017, to the Investment Sub-Advisory Agreement, dated June 23, 2015, between SIMC and Jackson Square Partners, LLC with respect to the Large Cap, Large Cap Growth and Tax-Managed Large Cap Funds is herein incorporated by reference to Exhibit (d)(47) of Post-Effective Amendment No. 122. |
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| (6)(vv) | Investment Sub-Advisory Agreement, dated April 1, 2010, between SIMC and Jennison Associates LLC with respect to the Core Fixed Income and U.S. Fixed Income Funds is herein incorporated by reference to Exhibit (d)(75) of Post-Effective Amendment No. 75 to Registrant’s Registration Statement on Form N-1A (Files Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 2011 (“Post-Effective Amendment No. 75”). |
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| (6)(ww) | Investment Sub-Advisory Agreement, dated October 3, 2005, between SIMC and J.P. Morgan Investment Management Inc. with respect to the High Yield Bond Fund is herein incorporated by reference to Exhibit (d)(76) of Post-Effective Amendment No. 45 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on December 2, 2005 (“Post-Effective Amendment No. 45”). |
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| (6)(xx) | Amendment, dated January 25, 2012, to the Investment Sub-Advisory Agreement, dated October 3, 2005, between SIMC and J.P. Morgan Investment Management Inc. with respect to the High Yield Bond Fund is herein incorporated by reference to Exhibit (d)(46) of Post-Effective Amendment No. 81 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 27, 2012 (“Post-Effective Amendment No. 81”). |
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| (6)(yy) | Amended Schedules A and B, dated June 25, 2014, to the Investment Sub-Advisory Agreement, dated October 3, 2005, as amended January 25, 2012, between SIMC and J.P. Morgan Investment Management Inc. with respect to |
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| the High Yield Bond Fund is herein incorporated by reference to Exhibit (d)(41) of Post-Effective Amendment No. 96. |
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| (6)(zz) | Investment Sub-Advisory Agreement, dated April 19, 2016, between SIMC and Kettle Hill Capital Management, LLC with respect to the Multi-Strategy Alternative Fund is herein incorporated by reference to Exhibit (d)(49) of Post-Effective Amendment No. 119. |
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| (6)(aaa) | Amended Schedule B, as last revised September 13, 2017, to the Investment Sub-Advisory Agreement, dated April 19, 2016, between SIMC and Kettle Hill Capital Management, LLC with respect to the Multi-Strategy Alternative Fund is herein incorporated by reference to Exhibit (d)(53) of Post-Effective Amendment No. 122. |
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| (6)(bbb) | Investment Sub-Advisory Agreement, dated December 5, 2017, between SIMC and LMCG Investments, LLC with respect to the Small Cap Fund is herein incorporated by reference to Exhibit (d)(54) of Post-Effective Amendment No. 122. |
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| (6)(ccc) | Investment Sub-Advisory Agreement, dated March 31, 1995, between SIMC and LSV Asset Management with respect to the Large Cap Value Fund is herein incorporated by reference to Exhibit (5)(q) of Post-Effective Amendment No. 25 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on November 30, 1995. |
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| (6)(ddd) | Amendment, dated July 1, 2003, to the Investment Sub-Advisory Agreement, dated March 31, 1995, between SIMC and LSV Asset Management with respect to the Large Cap Value and Small Cap Value Funds is herein incorporated by reference to Exhibit (d)(53) of Post-Effective Amendment No. 40 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on November 12, 2003 (“Post-Effective Amendment No. 40”). |
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| (6)(eee) | Amended Schedule C, dated July 2003, to the Investment Sub-Advisory Agreement, dated March 31, 1995, as amended July 1, 2003, between SIMC and LSV Asset Management with respect to the Large Cap Value and Small Cap Value Funds is herein incorporated by reference to Exhibit (d)(80) of Post-Effective Amendment No. 51 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on July 10, 2006. |
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| (6)(fff) | Investment Sub-Advisory Agreement, dated August 3, 2001, between SIMC and LSV Asset Management with respect to the Tax-Managed Large Cap Fund is herein incorporated by reference to Exhibit (d)(63) of Post-Effective Amendment No. 37 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 2002. |
| (6)(ggg) | Amendment, dated July 1, 2003, to the Investment Sub-Advisory Agreement, dated August 3, 2001, between SIMC and LSV Asset Management with respect to the Tax-Managed Large Cap Fund is herein incorporated by reference to Exhibit (d)(54) of Post-Effective Amendment No. 40. |
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| (6)(hhh) | Amended Schedule A, as last revised September 25, 2009, to the Investment Sub-Advisory Agreement, dated August 3, 2001, as amended July 1, 2003, between SIMC and LSV Asset Management with respect to the Tax-Managed Large Cap and Large Cap Funds is herein incorporated by reference to Exhibit (d)(50) of Post-Effective Amendment No. 71. |
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| (6)(iii) | Investment Sub-Advisory Agreement, dated November 30, 2010, between SIMC and LSV Asset Management with respect to the U.S. Managed Volatility and Tax-Managed Managed Volatility Funds is herein incorporated by reference to Exhibit (d)(50) of Post-Effective Amendment No. 77. |
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| (6)(jjj) | Amended Schedules A and B, as last revised June 30, 2016, to the Investment Sub-Advisory Agreement, dated November 30, 2010, between SIMC and LSV Asset Management with respect to the U.S. Managed Volatility, Tax-Managed Managed Volatility and Tax-Managed International Managed Volatility Funds are herein incorporated by reference to Exhibit (d)(57) of Post-Effective Amendment No. 116. |
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| (6)(kkk) | Investment Sub-Advisory Agreement, dated February 6, 2013, between SIMC and Metropolitan West Asset Management, LLC with respect to the Core Fixed Income and U.S. Fixed Income Funds is herein incorporated by reference to Exhibit (d)(58) of Post-Effective Amendment No. 96. |
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| (6)(lll) | Investment Sub-Advisory Agreement, dated September 15, 2015, between SIMC and Mountaineer Partners Management, LLC with respect to the Multi-Strategy Alternative Fund is herein incorporated by reference to Exhibit (d)(56) of Post-Effective Amendment No. 111. |
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| (6)(mmm) | Investment Sub-Advisory Agreement, dated December 11, 2013, between SIMC and PanAgora Asset Management Inc. with respect to the Multi-Asset Accumulation Fund is herein incorporated by reference to Exhibit (d)(60) of Post-Effective Amendment No. 91 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 2014 (“Post-Effective Amendment No. 91”). |
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| (6)(nnn) | Amended Schedules A and B, as last revised March 29, 2017, to the Investment Sub-Advisory Agreement, dated December 11, 2013, between SIMC and PanAgora Asset Management Inc. with respect to the Multi-Asset Accumulation Fund are herein incorporated by reference to Exhibit (d)(66) of Post-Effective Amendment No. 122. |
| (6)(ooo) | Amended and Restated Investment Sub-Advisory Agreement, dated January 12, 2016, between SIMC and Parametric Portfolio Associates LLC with respect to the Large Cap, Large Cap Value, Large Cap Growth, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Large Cap, Tax-Managed Small/Mid Cap and Tax-Managed Managed Volatility Funds is herein incorporated by reference to Exhibit (d)(58) of Post-Effective Amendment No. 111. |
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| (6)(ppp) | Amended Schedules A and B, as last revised June 30, 2016, to the Investment Sub-Advisory Agreement, dated January 12, 2016, between SIMC and Parametric Portfolio Associates LLC with respect to the Large Cap, Large Cap Value, Large Cap Growth, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Large Cap, Tax-Managed Small/Mid Cap, Tax-Managed Managed Volatility and Tax-Managed International Managed Volatility Funds are herein incorporated by reference to Exhibit (d)(62) of Post-Effective Amendment No. 116. |
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| (6)(qqq) | Investment Sub-Advisory Agreement, dated May 30, 2014, between SIMC and QS Investors, LLC with respect to the Multi-Asset Inflation Managed Fund is herein incorporated by reference to Exhibit (d)(64) of Post-Effective Amendment No. 96. |
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| (6)(rrr) | Amended Schedule B, as last revised April 20, 2017, to the Investment Sub-Advisory Agreement, dated May 30, 2014, between SIMC and QS Investors, LLC with respect to the Multi-Asset Inflation Managed Fund is herein incorporated by reference to Exhibit (d)(70) of Post-Effective Amendment No. 122. |
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| (6)(sss) | Investment Sub-Advisory Agreement, dated July 1, 2003, between SIMC and Quantitative Management Associates LLC (formerly, Prudential Investment Management, Inc.) with respect to the Large Cap Disciplined Equity Fund is herein incorporated by reference to Exhibit (d)(38) of Post-Effective Amendment No. 39. |
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| (6)(ttt) | Assignment and Assumption Agreement, dated July 1, 2004, between SIMC, Prudential Investment Management, Inc. and Quantitative Management Associates LLC with respect to the Large Cap Disciplined Equity Fund is herein incorporated by reference to Exhibit (d)(44) of Post-Effective Amendment No. 43 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on November 29, 2004 (“Post-Effective Amendment No. 43”). |
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| (6)(uuu) | Amended Schedules A and B, as last revised July 8, 2009, to the Investment Sub-Advisory Agreement, dated July 1, 2003, as assigned and assumed, July 1, 2004, between SIMC and Quantitative Management Associates LLC (formerly, Prudential Investment Management, Inc.) with respect to the Large Cap Growth, Tax-Managed Large Cap, Mid-Cap and Large Cap Funds are herein |
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| incorporated by reference to Exhibit (d)(64) of Post-Effective Amendment No. 71. |
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| (6)(vvv) | Amendment, dated January 23, 2012, to the Investment Sub-Advisory Agreement, dated July 1, 2003, as assigned and assumed July 1, 2004, with Amended Schedules A and B, as last revised July 8, 2009, between SIMC and Quantitative Management Associates LLC (formerly, Prudential Investment Management, Inc.) with respect to the Mid-Cap Fund is herein incorporated by reference to Exhibit (d)(71) of Post-Effective Amendment No. 81. |
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| (6)(www) | Investment Sub-Advisory Agreement, dated September 15, 2015, between SIMC and Ramius Advisors, LLC with respect to the Multi-Strategy Alternative Fund is herein incorporated by reference to Exhibit (d)(64) of Post-Effective Amendment No. 111. |
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| (6)(xxx) | Investment Sub-Advisory Agreement, dated December 6, 2016, between SIMC and Rice Hall James & Associates LLC with respect to the Small Cap Fund is herein incorporated by reference to Exhibit (d)(70) of Post-Effective Amendment No. 119. |
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| (6)(yyy) | Amended Schedules A and B, as last revised December 6, 2017, to the Investment Sub-Advisory Agreement, dated December 6, 2016, between SIMC and Rice Hall James & Associates LLC with respect to the Small Cap and Tax-Managed Small/Mid Cap Funds are herein incorporated by reference to Exhibit (d)(77) of Post-Effective Amendment No. 122. |
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| (6)(zzz) | Investment Sub-Advisory Agreement, dated December 5, 2017, between SIMC and Schafer Cullen Capital Management with respect to the Tax-Managed Large Cap Fund is is herein incorporated by reference to Exhibit (d)(78) of Post-Effective Amendment No. 122. |
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| (6)(aaaa) | Investment Sub-Advisory Agreement, dated July 1, 2003, between SIMC and Security Capital Research & Management Incorporated with respect to the Real Estate Fund is herein incorporated by reference to Exhibit (d)(41) of Post-Effective Amendment No. 39. |
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| (6)(bbbb) | Amended Schedules A and B, as last revised March 24, 2011, to the Investment Sub-Advisory Agreement, dated July 1, 2003, between SIMC and Security Capital Research & Management Incorporated with respect to the Real Estate Fund are herein incorporated by reference to Exhibit (d)(65) of Post-Effective Amendment No. 77. |
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| (6)(cccc) | Amendment, dated September 15, 2011, to the Investment Sub-Advisory Agreement, dated July 1, 2003, between SIMC and Security Capital Research & Management Incorporated with respect to the Real Estate Fund is herein |
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| incorporated by reference to Exhibit (d)(66) of Post-Effective Amendment No. 77. |
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| (6)(dddd) | Investment Sub-Advisory Agreement, dated December 10, 2014, between SIMC and Snow Capital Management, L.P. with respect to the Small Cap Fund is herein incorporated by reference to Exhibit (d)(73) of Post-Effective Amendment No. 102. |
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| (6)(eeee) | Investment Sub-Advisory Agreement, dated December 10, 2014, between SIMC and Snow Capital Management, L.P. with respect to the Tax-Managed Small/Mid Cap Fund is herein incorporated by reference to Exhibit (d)(74) of Post-Effective Amendment No. 102. |
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| (6)(ffff) | Amended Schedules A and B, as last revised January 11, 2016, to the Investment Sub-Advisory Agreement, dated December 10, 2014, between SIMC and Snow Capital Management L.P. with respect to the Large Cap, Large Cap Value, Tax-Managed Small/Mid Cap, Small Cap Value and Small Cap Funds are herein incorporated by reference to Exhibit (d)(68) of Post-Effective Amendment No. 111. |
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| (6)(gggg) | Investment Sub-Advisory Agreement, dated July 6, 2007, between SIMC and SSGA Funds Management, Inc. with respect to the S&P 500 Index Fund is herein incorporated by reference to Exhibit (d)(97) of Post-Effective Amendment No. 62 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on August 3, 2007 (“Post-Effective Amendment No. 62”). |
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| (6)(hhhh) | Amendment, dated June 23, 2015, to the Investment Sub-Advisory Agreement, dated July 6, 2007, between SIMC and SSGA Funds Management, Inc. with respect to the S&P 500 Index, Multi-Asset Income and Dynamic Asset Allocation Funds are herein incorporated by reference to Exhibit (d)(76) of Post-Effective Amendment No. 107 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on July 29, 2015 (“Post-Effective Amendment No. 107”). |
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| (6)(iiii) | Amended Schedule A, as last revised September 11, 2017, to the Investment Sub-Advisory Agreement, dated July 6, 2007, between SIMC and SSGA Funds Management, Inc. with respect to the S&P 500 Index, Multi-Asset Income, Dynamic Asset Allocation and Large Cap Index Funds is herein incorporated by reference to Exhibit (d)(87) of Post-Effective Amendment No. 122. |
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| (6)(jjjj) | Amended Schedule B, as last revised December 6, 2017, to the Investment Sub-Advisory Agreement, dated July 6, 2007, between SIMC and SSGA Funds Management, Inc. with respect to the S&P 500 Index, Multi-Asset Income, Dynamic Asset Allocation and Large Cap Index Funds is herein incorporated by reference to Exhibit (d)(88) of Post-Effective Amendment No. 122. |
| (6)(kkkk) | Investment Sub-Advisory Agreement, dated November 12, 2003, between SIMC and Wellington Management Company LLP with respect to the Real Estate Fund is herein incorporated by reference to Exhibit (d)(84) of Post-Effective Amendment No. 42 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 29, 2004. |
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| (6)(llll) | Amendment, dated April 10, 2012, to the Investment Sub-Advisory Agreement, dated November 12, 2003, between SIMC and Wellington Management Company LLP with respect to the Real Estate Fund is herein incorporated by reference to Exhibit (d)(87) of Post-Effective Amendment No. 88 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 2013 (“Post-Effective Amendment No. 88”). |
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| (6)(mmmm) | Amended Schedules A and B, as last revised June 25, 2014, to the Investment Sub-Advisory Agreement, dated November 12, 2003, as amended April 10, 2012, between SIMC and Wellington Management Company LLP with respect to the Enhanced Income Fund are herein incorporated by reference to Exhibit (d)(79) of Post-Effective Amendment No. 96. |
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| (6)(nnnn) | Investment Sub-Advisory Agreement, dated September 30, 2003, between SIMC and Wells Capital Management Incorporated with respect to the Core Fixed Income Fund is herein incorporated by reference to Exhibit (d)(73) of Post-Effective Amendment No. 40. |
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| (6)(oooo) | Amended Schedules A and B, as last revised April 30, 2009, to the Investment Sub-Advisory Agreement, dated September 30, 2003, between SIMC and Wells Capital Management Incorporated with respect to the Core Fixed Income and U.S. Fixed Income Funds are herein incorporated by reference to Exhibit (d)(47) of Post-Effective Amendment No. 70. |
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�� | (6)(pppp) | Investment Sub-Advisory Agreement, dated March 24, 1997, between SIMC and Western Asset Management Company with respect to the Core Fixed Income Fund is herein incorporated by reference to Exhibit 5(dd) of Post-Effective Amendment No. 28. |
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| (6)(qqqq) | Amendment, dated July 1, 2003, to the Investment Sub-Advisory Agreement, dated March 24, 1997, between SIMC and Western Asset Management Company with respect to the Core Fixed Income Fund is herein incorporated by reference to Exhibit (d)(72) of Post-Effective Amendment No. 40. |
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| (6)(rrrr) | Amended Schedules A and B, as last revised April 28, 2009, to the Investment Sub-Advisory Agreement, dated March 24, 1997, as amended July 1, 2003, between SIMC and Western Asset Management Company with respect to the |
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| Core Fixed Income and U.S. Fixed Income Funds are herein incorporated by reference to Exhibit (d)(6) of Post-Effective Amendment No. 69 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on April 29, 2009 (“Post-Effective Amendment No. 69”). |
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| (6)(ssss) | Investment Sub-Advisory Agreement, dated November 7, 2005, between SIMC and Western Asset Management Company Limited with respect to the Core Fixed Income Fund is herein incorporated by reference to Exhibit (d)(74) of Post-Effective Amendment No. 45. |
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| (6)(tttt) | Amended Schedules A and B, as last revised April 28, 2009, to the Investment Sub-Advisory Agreement, dated November 7, 2005, between SIMC and Western Asset Management Company Limited with respect to the Core Fixed Income and U.S. Fixed Income Funds are herein incorporated by reference to Exhibit (d)(55) of Post-Effective Amendment No. 69. |
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| (7)(a) | Amended and Restated Distribution Agreement, dated September 16, 2002, between the Trust and SEI Investments Distribution Co. is herein incorporated by reference to Exhibit (e) of Post-Effective Amendment No. 38 to Registrant’s Registration Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 28, 2003 (“Post-Effective Amendment No. 38”). |
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| (7)(b) | Amended Schedule A, as last revised September 11, 2017, to the Amended and Restated Distribution Agreement, dated September 16, 2002, between the Trust and SEI Investments Distribution Co. is herein incorporated by reference to Exhibit (e)(2) of Post-Effective Amendment No. 122. |
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| (8) | Not Applicable. |
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| (9)(a) | Amended and Restated Custodian Agreement, dated March 28, 2012, between the Trust and Brown Brothers Harriman & Co. is herein incorporated by reference to Exhibit (g)(1) of Post-Effective Amendment No. 88. |
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| (9)(b) | Amendment, dated June 30, 2016, to the Amended and Restated Custodian Agreement, dated March 28, 2012, between the Trust and Brown Brothers Harriman & Co. is herein incorporated by reference to Exhibit (g)(3) of Post-Effective Amendment No. 116. |
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| (9)(c) | Amendment, dated October 26, 2016, to the Amended and Restated Custodian Agreement, dated March 28, 2012, between the Trust and Brown Brothers Harriman & Co. is herein incorporated by reference to Exhibit (g)(3) of Post-Effective Amendment No. 119. |
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| (9)(d) | Amended and Restated Multi-Trust Custody Agreement, dated June 14, 2013, between the Trust and U.S. Bank National Association is herein incorporated by reference to Exhibit (g)(3) of Post-Effective Amendment No. 91. |
| (9)(e) | Tenth Amendment, dated December 11, 2017, to the Amended and Restated Multi-Trust Custody Agreement, dated June 14, 2013, between the Registrant and U.S. Bank National Association is herein incorporated by reference to Exhibit (g)(5) of Post-Effective Amendment No. 122. |
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| (9)(f) | Form of Eleventh Amendment to the Amended and Restated Multi-Trust Custody Agreement, dated June 14, 2013, between the Registrant and U.S. Bank National Association is herein incorporated by reference to Exhibit (g)(6) of Post-Effective Amendment No. 122. |
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| (10) | Amended and Restated Rule 18f-3 Multiple Class Plan, dated January 28, 2015, with Amended Schedule A, as last revised June 21, 2016, is herein incorporated by reference to Exhibit (n) of Post-Effective Amendment No. 119. |
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| (11) | Opinion and Consent of Morgan, Lewis & Bockius LLP regarding the legality of the securities being registered is filed herewith. |
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| (12) | Form of Opinion of Morgan, Lewis & Bockius LLP regarding tax matters is filed herewith. |
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| (13)(a) | Amended and Restated Administration and Transfer Agency Agreement, dated December 10, 2003, between the Trust and SEI Investments Global Funds Services (f/k/a SEI Investments Fund Management) is herein incorporated by reference to Exhibit (h) of Post-Effective Amendment No. 43. |
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| (13)(b) | Amended Schedule D, as last revised September 11, 2017, to the Amended and Restated Administration and Transfer Agency Agreement, dated December 10, 2003, between the Trust and SEI Investments Global Funds Services is herein incorporated by reference to Exhibit (h)(2) of Post-Effective Amendment No. 122. |
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| (13)(c) | Amendment No. 1, dated March 28, 2012, to the Amended and Restated Administration and Transfer Agency Agreement, dated December 10, 2003, between the Trust and SEI Investments Global Funds Services is herein incorporated by reference to Exhibit (h)(3) of Post-Effective Amendment No. 96. |
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| (13)(d) | Amended and Restated Class F Shareholder Service Plan and Agreement, dated December 5, 2017, between the Trust and SEI Investments Distribution Company is herein incorporated by reference to Exhibit (h)(4) of Post-Effective Amendment No. 122. |
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| (13)(e) | Class I Shares Shareholder Service Plan and Agreement between the Trust and SEI Investments Distribution Company is herein incorporated by reference to Exhibit (m)(6) of Post-Effective Amendment No. 36 to Registrant’s Registration |
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| Statement on Form N-1A (File Nos. 033-09504 and 811-04878), filed with the SEC on January 29, 2001. |
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| (13)(f) | Class I Shares Administrative Services Plan and Agreement, dated October 4, 2001, between the Trust and SEI Investments Distribution Company is herein incorporated by reference to Exhibit (m)(8) of Post-Effective Amendment No. 38. |
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| (13)(g) | Form of Expense Limitation Agreement between the Trust, SIMC and SEI Investments Global Funds Services is filed herewith. |
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| (14)(a) | Consent of Independent Registered Public Accounting Firm is filed herewith. |
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| (14)(b) | Consent of Morgan, Lewis & Bockius LLP is filed herewith. |
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| (15) | Not Applicable. |
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| (16)(a) | Power of Attorney, dated April 30, 2018, for Mr. William M. Doran is filed herewith. |
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| (16)(b) | Power of Attorney, dated April 30, 2018, for Mr. George J. Sullivan, Jr.is filed herewith. |
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| (16)(c) | Power of Attorney, dated April 30, 2018, for Ms. Nina Lesavoy is filed herewith. |
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| (16)(d) | Power of Attorney, dated April 30, 2018, for Mr. James M. Williams is filed herewith. |
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| (16)(e) | Power of Attorney, dated April 30, 2018, for Mr. Mitchell A. Johnson is filed herewith. |
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| (16)(f) | Power of Attorney, dated April 30, 2018, for Mr. Hubert L. Harris, Jr. is filed herewith. |
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| (16)(g) | Power of Attorney, dated April 30, 2018, for Ms. Susan C. Cote is filed herewith. |
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| (16)(h) | Power of Attorney, dated April 30, 2018, for Mr. James B. Taylor is filed herewith. |
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| (16)(i) | Power of Attorney, dated April 30, 2018, for Ms. Joan A. Binstock is filed herewith. |
(17) | (a) | Prospectus dated January 31, 2018 for the Core Fixed Income Fund and the U.S. Fixed Income Fund is herein incorporated by reference to Post-Effective Amendment No. 122. |
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(17) | (b) | Supplement dated February 14, 2018 to the Prospectus dated January 31, 2018 for the Core Fixed Income Fund and the U.S. Fixed Income Fund is herein incorporated by reference to the Registrant’s 497 filing filed with the SEC via EDGAR on February 14, 2018, Accession number 0001104659-18-009511. |
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(17) | (c) | Supplement dated April 19, 2018 to the Prospectus dated January 31, 2018 for the Core Fixed Income Fund and the U.S. Fixed Income Fund is herein incorporated by reference to the Registrant’s 497 filing filed with the SEC via EDGAR on February 14, 2018, Accession number 0001104659-18-025294. |
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(17) | (d) | Statement of Additional Information dated January 31, 2018 for the Core Fixed Income Fund and the U.S. Fixed Income Fund is herein incorporated by reference to Post-Effective Amendment No. 122. |
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(17) | (e) | Supplement dated February 14, 2018 to the Statement of Additional Information dated January 31, 2018 for the Core Fixed Income Fund and the U.S. Fixed Income Fund is herein incorporated by reference to the Registrant’s 497 filing filed with the SEC via EDGAR on February 14, 2018, Accession number 0001104659-18-009511. |
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(17) | (f) | Supplement dated April 19, 2018 to the Statement of Additional Information dated January 31, 2018 for the Core Fixed Income Fund and the U.S. Fixed Income Fund is herein incorporated by reference to the Registrant’s 497 filing filed with the SEC via EDGAR on February 14, 2018, Accession number 0001104659-18-025294 |
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(17) | (g) | Audited financial statements and related report of the independent public accounting firm included in the Registrant’s Annual Report to Shareholders for the fiscal year ended September 30, 2017, with respect to the Core Fixed Income Fund and the U.S. Fixed Income Fund is herein incorporated by reference to the Registrant’s N-CSR filed with the SEC via EDGAR on December 8, 2017, Accession No. 0001193125-17-364974. |
Item 17. Undertakings:
(1) The undersigned Registrant agrees that, prior to any public reoffering of the securities registered through the use of a prospectus which is part of this registration statement by any person or party who is deemed to be an underwriter within the meaning of Rule 145(c) of the Securities Act of 1933, the reoffering prospectus will contain the information called for by the applicable registration form for the reofferings by persons who may be deemed underwriters, in addition to the information called for by the other items of the applicable form.
(2) The undersigned Registrant agrees that every prospectus that is filed under paragraph (1) above will be filed as part of an amendment to the registration statement and will not be used until the amendment is effective, and that, in determining any liability under the Securities Act of 1933, each post-effective amendment shall be deemed to be a new registration statement for the securities offered therein, and the offering of the securities at that time shall be deemed to be the initial bona fide offering of them.
(3) The undersigned Registrant agrees to file, by post-effective amendment, an opinion of counsel supporting the tax consequences of the Reorganization within a reasonably prompt time after receipt of such opinion.
SIGNATURES
As required by the Securities Act of 1933, as amended, this registration statement has been signed on behalf of the Registrant, in the City of Oaks, Commonwealth of Pennsylvania on the 30th day of April, 2018.
| SEI INSTITUTIONAL MANAGED TRUST | |
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| |
| By: | /s/ Robert A. Nesher |
| Robert A. Nesher | |
| Trustee, President & Chief Executive Officer |
As required by the Securities Act of 1933, as amended, this registration statement has been signed by the following persons in the capacities and on the date(s) indicated.
* |
| Trustee |
| April 30, 2018 |
William M. Doran |
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* |
| Trustee |
| April 30, 2018 |
George J. Sullivan, Jr. |
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* |
| Trustee |
| April 30, 2018 |
Nina Lesavoy |
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* |
| Trustee |
| April 30, 2018 |
James M. Williams |
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* |
| Trustee |
| April 30, 2018 |
Mitchell A. Johnson |
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* |
| Trustee |
| April 30, 2018 |
Hubert L. Harris, Jr. |
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* |
| Trustee |
| April 30, 2018 |
Susan C. Cote |
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* |
| Trustee |
| April 30, 2018 |
James B. Taylor |
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* |
| Trustee |
| April 30, 2018 |
Joan Binstock |
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/s Robert A. Nesher |
| Trustee, President & Chief Executive Officer |
| April 30, 2018 |
Robert A. Nesher |
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/s/ James Hoffmayer |
| Controller & Chief Financial Officer |
| April 30, 2018 |
James Hoffmayer |
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*By: | /s/ Robert A Nesher |
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| Robert A. Nesher |
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| Attorney-in-Fact |
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Exhibit Index
Exhibit Number |
| Description |
(11) |
| Opinion and Consent of Morgan, Lewis & Bockius LLP regarding the legality of the securities being registered |
(12) |
| Form of Opinion of Morgan, Lewis & Bockius LLP regarding tax matters |
(13)(g) |
| Form of Expense Limitation Agreement between the Trust, SIMC and SEI Investments Global Funds Services |
(14)(a) |
| Consent of Independent Registered Public Accounting Firm |
(14)(b) |
| Consent of Morgan, Lewis & Bockius LLP |
(16)(a) |
| Power of Attorney, dated April 30, 2018, for Mr. William M. Doran |
(16)(b) |
| Power of Attorney, dated April 30, 2018, for Mr. George J. Sullivan, Jr. |
(16)(c) |
| Power of Attorney, dated April 30, 2018, for Ms. Nina Lesavoy |
(16)(d) |
| Power of Attorney, dated April 30, 2018, for Mr. James M. Williams |
(16)(e) |
| Power of Attorney, dated April 30, 2018, for Mr. Mitchell A. Johnson |
(16)(f) |
| Power of Attorney, dated April 30, 2018, for Mr. Hubert L. Harris, Jr. |
(16)(g) |
| Power of Attorney, dated April 30, 2018, for Ms. Susan C. Cote |
(16)(h) |
| Power of Attorney, dated April 30, 2018, for Mr. James B. Taylor |
(16)(i) |
| Power of Attorney, dated April 30, 2018, for Ms. Joan A. Binstock |