Transamerica

06/30/2017*


Transamerica Total Return

Security Description % of Total Market Value
U.S. Treasury Note, 2.00%, due 12/31/2021 13.62%
Federal National Mortgage Association, 3.50%, TBA 11.77%
Federal National Mortgage Association, 4.00%, TBA 6.86%
Federal National Mortgage Association, 3.00%, TBA 4.65%
Federal National Mortgage Association, 3.00%, TBA 4.03%
Federal National Mortgage Association, 4.50%, TBA 3.17%
Japan Treasury Discount Bill, 0.00%, due 08/28/2017 3.15%
U.S. Treasury Inflation-Indexed Bond, 2.50%, due 01/15/2029 2.54%
U.S. Treasury Bond, 3.12%, due 08/15/2044 2.43%
U.S. Treasury Note, 2.25%, due 11/15/2024 2.16%
Federal National Mortgage Association, 4.00%, TBA 1.64%
Federal National Mortgage Association, 4.00%, TBA 1.63%
Realkredit Danmark A/S, Series MTN, 1.00%, due 04/01/2018 1.63%
Nordea Hypotek AB, 2.25%, due 06/19/2019 1.56%
Federal National Mortgage Association, 3.00%, TBA 1.55%
U.S. Treasury Bond, 2.87%, due 08/15/2045 1.53%
Japan Treasury Discount Bill, 0.00%, due 08/21/2017 1.44%
U.S. Treasury Inflation-Indexed Bond, 1.75%, due 01/15/2028 1.44%
Federal National Mortgage Association, 5.00%, TBA 1.36%
Brazil Letras do Tesouro Nacional, Zero Coupon, due 07/01/2018 1.25%
U.S. Treasury Inflation-Indexed Bond, 2.37%, due 01/15/2025 1.13%
Federal Home Loan Mortgage Corp., 3.50%, TBA 1.12%
Federal Home Loan Mortgage Corp., 3.50%, TBA 1.12%
U.S. Treasury Bond, 2.75%, due 11/15/2042 1.08%
U.S. Treasury Inflation-Indexed Note, 0.37%, due 01/15/2027 1.04%
Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2005-4, Class M2, 1.69%, due 12/25/2035 0.99%
U.S. Treasury Bond, 4.37%, due 11/15/2039 0.97%
Mexico Cetes, 6.78%, due 08/17/2017 0.95%
Government National Mortgage Association, 1.99%, due 12/20/2065 0.91%
U.S. Treasury Inflation-Indexed Bond, 0.12%, due 04/15/2022 0.87%
U.S. Treasury Bond, 3.00%, due 05/15/2042 0.84%
U.S. Treasury Bond, 3.75%, due 11/15/2043 0.82%
Brazil Letras do Tesouro Nacional, Zero Coupon, due 01/01/2018 0.80%
Morgan Stanley, Series MTN, 5.95%, due 12/28/2017 0.78%
Verizon Communications, Inc., 2.99%, due 09/14/2018 0.71%
Kroger Co., 1.31%, due 07/03/2017 0.70%
Barclays Bank PLC, 7.62%, due 11/21/2022 0.69%
International Lease Finance Corp., 7.12%, due 09/01/2018 0.69%
Cooperatieve Rabobank UA, Series MTN, 6.87%, due 03/19/2020 0.69%
Bank of America Corp., Series MTN, 7.62%, due 06/01/2019 0.69%
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE1, Class 1M2, 1.64%, due 12/25/2035 0.67%
Realkredit Danmark A/S, Series MTN, 1.00%, due 04/01/2018 0.67%
Federal Home Loan Mortgage Corp., 4.00%, TBA 0.65%
Government National Mortgage Association, 4.00%, TBA 0.65%
Tayarra, Ltd., 3.62%, due 02/15/2022 0.63%
VW CR, Inc., 1.42%, due 07/10/2017 0.61%
U.S. Treasury Inflation-Indexed Bond, 2.00%, due 01/15/2026 0.60%
Swedbank Hypotek AB, 3.75%, due 06/19/2019 0.60%
Lloyds Bank PLC, 12.00%, due 12/16/2024 0.57%
U.S. Treasury Bond, 2.87%, due 05/15/2043 0.57%
Wells Fargo & Co., 7.98%, due 03/15/2018 0.55%
Bank of America Corp., Series MTN, 6.87%, due 04/25/2018 0.53%
Nykredit Realkredit A/S, 1.00%, due 07/01/2018 0.52%
Realkredit Danmark A/S, Series MTN, 1.00%, due 01/01/2018 0.52%
JPMorgan Mortgage Acquisition Trust, Series 2007-CH3, Class A5, 1.47%, due 03/25/2037 0.51%
U.S. Treasury Bond, 3.62%, due 08/15/2043 0.50%
Federal Home Loan Mortgage Corp., 4.50%, TBA 0.50%
Nykredit Realkredit A/S, 2.00%, due 04/01/2018 0.48%
BBCMS Trust, Series 2015-STP, Class A, 3.32%, due 09/10/2028 0.48%
Option One Mortgage Loan Trust, Series 2007-4, Class 2A4, 1.52%, due 04/25/2037 0.47%
eBay, Inc., 2.15%, due 06/05/2020 0.47%
Plains All American Pipeline, LP, 1.92%, due 07/03/2017 0.47%
Glencore Funding LLC, 1.27%, due 07/05/2017 0.47%
Specialty Underwriting & Residential Finance Trust, Series 2004-BC2, Class M1, 2.04%, due 05/25/2035 0.46%
Toyota Industries Corp., 1.55%, due 02/22/2018 0.46%
U.S. Treasury Inflation-Indexed Note, 0.37%, due 07/15/2025 0.46%
U.S. Treasury Bond, 2.75%, due 08/15/2042 0.46%
Brazil Notas do Tesouro Nacional, Series F, 10.00%, due 01/01/2023 0.45%
Deutsche Bank AG, 4.25%, due 10/14/2021 0.44%
Norinchukin Bank, 1.87%, due 10/10/2017 0.44%
Nykredit Realkredit A/S, Series MTN, 1.00%, due 04/01/2018 0.43%
BRFkredit A/S, Series MTN, 1.00%, due 01/01/2018 0.43%
Sumitomo Mitsui Banking Corp., 1.94%, due 09/15/2017 0.42%
Realkredit Danmark A/S, 2.00%, due 04/01/2018 0.42%
Berica 8 Residential MBS Srl, Series 2008, Class A, Zero Coupon, due 03/31/2048 0.41%
UBS AG, 1.79%, due 06/08/2020 0.41%
Sumitomo Mitsui Trust Bank, Ltd., 1.99%, due 09/18/2017 0.40%
Simon Property Group, LP, 2.50%, due 09/01/2020 0.39%
Nykredit Realkredit A/S, Series MTN, 1.00%, due 10/01/2017 0.39%
Dynegy, Inc., 6.75%, due 11/01/2019 0.37%
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 2A1, 3.07%, due 12/25/2033 0.36%
Barclays Bank PLC, 10.17%, due 06/12/2021 0.36%
Barclays Bank PLC, 1.94%, due 11/06/2017 0.36%
Argentina Treasury Bill, 3.34%, due 04/27/2018 0.35%
UBS Group Funding Switzerland AG, 3.00%, due 04/15/2021 0.35%
U.S. Treasury Bond, 2.25%, due 08/15/2046 0.34%
Ludgate Funding PLC, Series 2007-1, Class A2A, 0.49%, due 01/01/2061 0.34%
Bear Stearns Cos. LLC, 7.25%, due 02/01/2018 0.34%
CIT Group, Inc., 3.87%, due 02/19/2019 0.33%
RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2B, 1.37%, due 06/12/2044 0.33%
Federal National Mortgage Association, 3.50%, TBA 0.32%
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE10, Class 21A3, 1.45%, due 12/25/2036 0.32%
Morgan Stanley, Series MTN, 6.62%, due 04/01/2018 0.32%
KBC Bank NV, 8.00%, due 01/25/2023 0.32%
Federal National Mortgage Association, 3.50%, TBA 0.32%
AT&T, Inc., 2.80%, due 02/17/2021 0.31%
Southern Co., 1.99%, due 09/30/2020 0.31%
Bank of America Corp., Series MTN, 5.65%, due 05/01/2018 0.30%
UBS AG, Series MTN, 4.75%, due 05/22/2023 0.30%
Hyundai Auto Lease Securitization Trust, Series 2017-B, Class A2B, 1.43%, due 12/16/2019 0.30%
Countrywide Asset-Backed Certificates, Series 2006-26, Class 2A3, 1.38%, due 06/25/2037 0.29%
BRFkredit A/S, 4.00%, due 01/01/2018 0.29%
Citigroup Commercial Mortgage Trust, Series 2015-SHP2, Class A, 2.43%, due 07/15/2027 0.28%
U.S. Treasury Bond, 4.37%, due 05/15/2040 0.28%
Credit Suisse Group Funding Guernsey, Ltd., 3.80%, due 06/09/2023 0.27%
State of Illinois, 5.10%, due 06/01/2033 0.27%
General Motors Financial Co., Inc., 2.08%, due 04/13/2020 0.27%
JPMorgan Chase & Co., 2.05%, due 04/25/2023 0.26%
Lockwood Grove CLO, Ltd., Series 2014-1A, Class A1R, 2.62%, due 04/25/2025 0.26%
KVK CLO, Ltd., Series 2013-2A, Class AR, 2.30%, due 01/15/2026 0.26%
Madison Park Funding XIII, Ltd., Series 2014-13A, Class AR, 2.26%, due 01/19/2025 0.26%
World Omni Automobile Lease Securitization Trust, Series 2017-A, Class A2, 1.68%, due 12/16/2019 0.26%
Citigroup, Inc., 2.75%, due 04/25/2022 0.26%
Hilton USA Trust, Series 2016-SFP, Class A, 2.82%, due 11/05/2035 0.26%
U.S. Treasury Bond, 3.00%, due 02/15/2047 0.26%
South Carolina Student Loan Corp., Series A-3, 1.34%, due 12/01/2023 0.26%
Boston Scientific Corp., 3.37%, due 05/15/2022 0.26%
AvalonBay Communities, Inc., Series MTN, 3.50%, due 11/15/2024 0.25%
Goldman Sachs Group, Inc., 2.44%, due 09/15/2020 0.25%
Lloyds Banking Group PLC, 7.00%, due 06/27/2019 0.25%
Credit Suisse Group Funding Guernsey, Ltd., 3.75%, due 03/26/2025 0.25%
SLM Student Loan Trust, Series 2005-4, Class A3, 1.27%, due 01/25/2027 0.25%
Becton Dickinson and Co., 2.13%, due 06/06/2019 0.25%
Hyundai Auto Lease Securitization Trust, Series 2017-B, Class A2A, 1.69%, due 12/16/2019 0.25%
GM Financial Automobile Leasing Trust, Series 2017-1, Class A2A, 1.67%, due 09/20/2019 0.25%
Standard Chartered Bank, 1.63%, due 02/05/2018 0.25%
Dryden XXV Senior Loan Fund, Series 2012-25A, Class AR, 2.35%, due 01/15/2025 0.25%
SoFi Professional Loan Program LLC, Series 2017-B, Class A1FX, 1.83%, due 05/25/2040 0.24%
Federal Home Loan Mortgage Corp. REMIC, 1.55%, due 06/15/2041 0.24%
Nykredit Realkredit A/S, 1.00%, due 07/01/2018 0.24%
RBSSP Resecuritization Trust, Series 2009-6, Class 2A1, 3.08%, due 01/26/2036 0.24%
State of Illinois, 6.63%, due 02/01/2035 0.24%
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AQ1, Class M2, 1.86%, due 03/25/2035 0.24%
Fort Cre LLC, Series 2016-1A, Class A1, 2.71%, due 05/21/2036 0.24%
AT&T, Inc., 2.02%, due 07/15/2021 0.24%
LeasePlan Corp. NV, 2.87%, due 01/22/2019 0.23%
Verizon Communications, Inc., 1.72%, due 05/22/2020 0.23%
Enbridge, Inc., 1.94%, due 06/15/2020 0.23%
Denali Capital CLO X, Ltd., Series 2013-1A, Class A1L, 2.31%, due 04/28/2025 0.23%
FirstEnergy Corp., 2.85%, due 07/15/2022 0.23%
Spectra Energy Partners, LP, 1.52%, due 07/26/2017 0.23%
JPMorgan Chase & Co., 2.40%, due 06/07/2021 0.23%
Shire Acquisitions Investments Ireland DAC, 1.90%, due 09/23/2019 0.23%
Alternative Loan Trust, Series 2007-OA6, Class A1B, 1.41%, due 06/25/2037 0.23%
Royal Bank of Scotland Group PLC, 6.99%, due 10/05/2017 0.23%
COMM Mortgage Trust, Series 2015-CR26, Class ASB, 3.37%, due 10/10/2048 0.23%
Morgan Stanley Capital I Trust, Series 2014-CPT, Class AM, 3.51%, due 07/13/2029 0.23%
GS Mortgage Securities Corp. Trust, Series 2016-RENT, Class A, 3.20%, due 02/10/2029 0.22%
Federal Home Loan Mortgage Corp., 2.80%, due 01/01/2036 0.22%
Credit Suisse Group Funding Guernsey, Ltd., 3.12%, due 12/10/2020 0.22%
Navient Private Education Loan Trust, Series 2015-CA, Class A, 2.48%, due 01/16/2035 0.22%
Deutsche Bank AG, 2.60%, due 01/18/2019 0.22%
Discover Bank, 2.60%, due 11/13/2018 0.22%
BAMLL Commercial Mortgage Securities Trust, Series 2016-ASHF, Class A, 3.05%, due 12/15/2033 0.22%
Kuwait International Government Bond, 2.75%, due 03/20/2022 0.22%
Royal Bank of Canada, 2.30%, due 03/22/2021 0.22%
Oak Hill Credit Partners X, Ltd., Series 2014-10A, Class AR, 2.28%, due 07/20/2026 0.22%
Carlyle Global Market Strategies CLO, Ltd., Series 2014-3A, Class A1AR, 2.32%, due 07/27/2026 0.22%
OZLM Funding V, Ltd., Series 2013-5A, Class A1R, 2.28%, due 01/17/2026 0.22%
Sumitomo Mitsui Trust Bank, Ltd., 1.73%, due 03/06/2019 0.22%
Dryden 34 Senior Loan Fund, Series 2014-34A, Class A1R, Zero Coupon, due 10/15/2026 0.22%
Mountain View CLO, Ltd., Series 2014-1A, Class AR, 2.39%, due 10/15/2026 0.22%
Octagon Investment Partners XIX, Ltd., Series 2014-1A, Class AR, 2.25%, due 04/15/2026 0.22%
Regatta V Funding, Ltd., Series 2014-1A, Class A1BR, 2.31%, due 10/25/2026 0.22%
JMP Credit Advisors CLO III, Ltd., Series 2014-1A, Class AR, 2.39%, due 10/17/2025 0.22%
Santander Drive Auto Receivables Trust, Series 2017-1, Class A2, 1.49%, due 02/18/2020 0.22%
National Australia Bank, Ltd., 2.25%, due 03/16/2021 0.22%
Government National Mortgage Association, 1.59%, due 08/20/2065 0.22%
Societe Generale SA, Series MTN, 8.25%, due 11/29/2018 0.21%
Latam Airlines Pass-Through Trust, 4.20%, due 08/15/2029 0.21%
Federal National Mortgage Association, 6.00%, due 06/01/2040 0.21%
Springleaf Finance Corp., 8.25%, due 12/15/2020 0.21%
Government National Mortgage Association, 1.59%, due 09/20/2065 0.21%
CWABS Asset-Backed Certificates Trust, Series 2005-17, Class MV1, 1.67%, due 05/25/2036 0.21%
Berica ABS Srl, Series 2011-1, Class A1, Zero Coupon, due 12/31/2055 0.21%
Realkredit Danmark A/S, 2.00%, due 01/01/2018 0.21%
Government National Mortgage Association, 1.94%, due 12/20/2066 0.20%
Goldman Sachs Group, Inc., Series MTN, 2.28%, due 11/15/2018 0.20%
Federal National Mortgage Association REMIC, 1.44%, due 09/25/2046 0.20%
Chase Issuance Trust, Series 2017-A1, Class A, 1.45%, due 01/18/2022 0.20%
Dell International LLC / EMC Corp., 5.45%, due 06/15/2023 0.20%
Westlake Automobile Receivables Trust, Series 2017-1A, Class A2, 1.78%, due 04/15/2020 0.20%
CVP Cascade CLO-1, Ltd., Series 2013-CLO1, Class A1R, 2.30%, due 01/16/2026 0.20%
Mitsubishi UFJ Trust & Banking Corp., 1.98%, due 09/19/2017 0.20%
Federal Home Loan Bank Discount Notes, 1.00%, due 07/20/2017 0.20%
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE1, Class 2M2, 1.64%, due 02/25/2036 0.20%
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A, 1.35%, due 06/25/2037 0.20%
Government National Mortgage Association, 1.59%, due 10/20/2065 0.20%
Alternative Loan Trust, Series 2006-OC7, Class 2A2A, 1.38%, due 07/25/2046 0.20%
SoFi Consumer Loan Program LLC, Series 2016-3, Class A, 3.05%, due 12/26/2025 0.19%
U.S. Treasury Inflation-Indexed Note, 0.62%, due 01/15/2026 0.19%
Nordea Kredit Realkreditaktieselskab, Series MTN, 1.00%, due 04/01/2018 0.19%
Nykredit Realkredit A/S, 1.00%, due 04/01/2018 0.19%
Petrobras Global Finance BV, 6.12%, due 01/17/2022 0.19%
Preferred Term Securities XVII, Ltd. / Preferred Term Securities XVII, Inc., 1.66%, due 06/23/2035 0.19%
Oaktree CLO, Ltd., Series 2014-2A, Class A1AR, 2.37%, due 10/20/2026 0.19%
Alternative Loan Trust, Series 2005-82, Class A1, 1.48%, due 02/25/2036 0.18%
Nelnet Student Loan Trust, Series 2010-3A, Class A, 1.93%, due 07/27/2048 0.18%
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 2A1, 1.40%, due 07/25/2046 0.18%
Barclays PLC, 3.68%, due 01/10/2023 0.18%
U.S. Treasury Bond, 4.25%, due 05/15/2039 0.18%
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, due 04/25/2029 0.17%
Sabine Pass Liquefaction LLC, 5.75%, due 05/15/2024 0.17%
AbbVie, Inc., 1.80%, due 05/14/2018 0.17%
Natixis SA, 1.84%, due 10/02/2017 0.17%
Sudbury Mill CLO, Ltd., Series 2013-1A, Class A1R, 2.30%, due 01/17/2026 0.17%
Sudbury Mill CLO, Ltd., Series 2013-1A, Class A2R, 2.32%, due 01/17/2026 0.17%
Mountain Hawk III CLO, Ltd., Series 2014-3A, Class AR, 2.35%, due 04/18/2025 0.17%
Merrill Lynch Mortgage Investors Trust, Series 2006-FM1, Class A2C, 1.37%, due 04/25/2037 0.17%
State of Illinois, 7.35%, due 07/01/2035 0.17%
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR2, Class 1A1, 3.15%, due 03/25/2035 0.17%
Argentina Treasury Bill, 3.25%, due 12/15/2017 0.17%
BRFkredit A/S, 2.00%, due 10/01/2017 0.17%
Regency Energy Partners, LP / Regency Energy Finance Corp., 5.00%, due 10/01/2022 0.17%
Alternative Loan Trust, Series 2006-OA17, Class 1A1A, 1.40%, due 12/20/2046 0.17%
U.S. Treasury Bond, 3.12%, due 02/15/2043 0.16%
Citigroup Mortgage Loan Trust, Series 2007-FS1, Class 1A1, 4.62%, due 10/25/2037 0.16%
Government National Mortgage Association, 4.00%, TBA 0.16%
BCAP LLC Trust, Series 2011-RR8, Class 2A1, 3.49%, due 08/26/2037 0.16%
Credit Suisse Group Funding Guernsey, Ltd., 3.80%, due 09/15/2022 0.16%
Government National Mortgage Association, 3.50%, TBA 0.16%
City of Chicago, Series B, 7.75%, due 01/01/2042 0.16%
Federal National Mortgage Association, 5.00%, TBA 0.16%
Independent National Mortgage Corp. Index Mortgage Loan Trust, Series 2005-AR11, Class A3, 3.19%, due 08/25/2035 0.16%
JPMCC Re-REMIC Trust, Series 2016-FLRR, Class AFL, 2.60%, due 01/15/2033 0.16%
Government National Mortgage Association, 3.00%, TBA 0.16%
New York Life Global Funding, 2.90%, due 01/17/2024 0.16%
Lloyds Banking Group PLC, 7.62%, due 06/27/2023 0.16%
Bank of America Corp., 6.00%, due 09/01/2017 0.16%
Kitty Hawk CLO LLC, Series 2015-1A, Class A1R, 2.36%, due 04/15/2027 0.16%
Anchorage Capital CLO 4, Ltd., Series 2014-4A, Class A1BR, 2.31%, due 07/28/2026 0.16%
SFR Group SA, 7.37%, due 05/01/2026 0.15%
alstria office REIT-AG, 2.12%, due 04/12/2023 0.15%
Barclays PLC, 6.50%, due 09/15/2019 0.15%
Tobacco Settlement Finance Authority, Series A, 7.46%, due 06/01/2047 0.15%
Valeant Pharmaceuticals International, Inc., 4.50%, due 05/15/2023 0.15%
Sequoia Mortgage Trust, Series 2004-11, Class A2, 2.03%, due 12/20/2034 0.15%
U.S. Treasury Bond, 4.62%, due 02/15/2040 0.14%
Bear Stearns Cos. LLC, 6.40%, due 10/02/2017 0.14%
Citigroup, Inc., 2.14%, due 06/07/2019 0.14%
Alternative Loan Trust, Series 2006-OC8, Class 2A2B, 1.38%, due 11/25/2036 0.14%
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.86%, due 09/15/2045 0.14%
Argentina Treasury Bill, 2.85%, due 10/27/2017 0.14%
CWABS Asset-Backed Certificates Trust, Series 2006-14, Class 1A, 1.35%, due 02/25/2037 0.14%
Dynegy, Inc., 7.37%, due 11/01/2022 0.14%
Kinder Morgan, Inc., 6.50%, due 09/15/2020 0.14%
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12, 1.42%, due 10/25/2046 0.14%
Dell International LLC / EMC Corp., 4.42%, due 06/15/2021 0.13%
Hewlett Packard Enterprise Co., 2.45%, due 10/05/2017 0.13%
Alternative Loan Trust, Series 2006-OA12, Class A1B, 1.40%, due 09/20/2046 0.13%
Oracle Corp., 2.40%, due 09/15/2023 0.12%
ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A1A, 1.41%, due 02/25/2036 0.12%
Alternative Loan Trust, Series 2005-J12, Class 2A1, 1.48%, due 08/25/2035 0.12%
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC1, Class A6, 1.48%, due 03/25/2036 0.12%
Malin CLO BV, Series 2007-1A, Class VFNE, Zero Coupon, due 05/07/2023 0.12%
Barclays PLC, 8.25%, due 12/15/2018 0.12%
Nelnet Student Loan Trust, Series 2010-1A, Class A, 1.98%, due 11/25/2048 0.11%
Odebrecht Offshore Drilling Finance, Ltd., 6.62%, due 10/01/2023 0.11%
UBS AG, 7.62%, due 08/17/2022 0.11%
COA Summit CLO, Ltd., Series 2014-1A, Class A1, 2.50%, due 04/20/2023 0.11%
RALI Trust, Series 2008-QR1, Class 1A1, 2.61%, due 08/25/2036 0.10%
Ford Motor Credit Co. LLC, 2.59%, due 11/04/2019 0.09%
U.S. Treasury Bond, 2.50%, due 02/15/2046 0.09%
Swap Agreement, Pay, 3-Month USD-LIBOR 0.09%
Novo Banco SA, Series MTN, 5.00%, due 04/04/2019 0.08%
HarborView Mortgage Loan Trust, Series 2006-12, Class 2A2A, 1.39%, due 01/19/2038 0.08%
Citigroup, Inc., 2.63%, due 09/01/2023 0.08%
Bank of America Corp., Series MTN, 6.40%, due 08/28/2017 0.08%
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, 1.74%, due 07/25/2035 0.07%
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR19, Class 1A1A, 1.46%, due 01/25/2047 0.07%
Federal National Mortgage Association, 1.89%, due 03/01/2044 0.07%
Popular ABS Mortgage Pass-Through Trust, Series 2006-A, Class M1, 1.60%, due 02/25/2036 0.07%
ABFC Trust, Series 2004-OPT4, Class A1, 1.83%, due 04/25/2034 0.07%
Venture VIII CDO, Ltd., Series 2007-8A, Class A2A, 1.37%, due 07/22/2021 0.07%
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR19, Class 1A, 1.47%, due 01/25/2047 0.07%
Futures Contracts, Short, Euro OAT 0.07%
Reperforming Loan REMIC Trust, Series 2005-R2, Class 1AF1, 1.55%, due 06/25/2035 0.07%
Highlander Euro CDO III BV, Series 2007-3A, Class A, Zero Coupon, due 05/01/2023 0.07%
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A, 2.84%, due 09/25/2033 0.06%
Natixis SA, 1.97%, due 09/25/2017 0.06%
U.S. Treasury Inflation-Indexed Bond, 0.75%, due 02/15/2045 0.06%
Countrywide Asset-Backed Certificates, Series 2006-2, Class M1, 1.61%, due 06/25/2036 0.06%
Alternative Loan Trust, Series 2007-HY4, Class 1A1, 3.44%, due 06/25/2037 0.06%
Bundesobligation, 0.01%, due 04/17/2020 0.05%
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 2A1, 3.04%, due 06/25/2033 0.05%
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 12A1, 1.43%, due 05/25/2036 0.05%
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-22A, Class 2A1, 3.27%, due 06/25/2033 0.05%
Citigroup, Inc., 2.67%, due 03/30/2021 0.05%
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3, 5.50%, due 12/25/2035 0.05%
Citigroup, Inc., 2.05%, due 06/07/2019 0.05%
Volkswagen Group of America Finance LLC, 1.65%, due 05/22/2018 0.05%
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR9, Class 2A, 2.14%, due 08/25/2046 0.05%
Swap Agreement, Pay, 3-Month USD-LIBOR 0.04%
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A1, 3.36%, due 09/25/2034 0.04%
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A, 1.49%, due 02/25/2036 0.04%
Alternative Loan Trust, Series 2005-81, Class A1, 1.49%, due 02/25/2037 0.04%
Bear Stearns Asset-Backed Securities I Trust, Series 2007-AQ1, Class A1, 1.32%, due 04/25/2031 0.04%
Luminent Mortgage Trust, Series 2006-6, Class A1, 1.41%, due 10/25/2046 0.04%
Federal National Mortgage Association, 5.00%, due 10/01/2029 0.04%
Swap Agreement, Receive, General Motors Co., 3.50%, 10/02/2018 0.04%
Banc of America Funding Trust, Series 2005-D, Class A1, 3.17%, due 05/25/2035 0.04%
Sequoia Mortgage Trust, Series 2007-1, Class 1A1, 3.09%, due 01/20/2047 0.04%
Federal National Mortgage Association, 1.89%, due 10/01/2044 0.04%
Futures Contracts, Short, U.K. Gilt 0.04%
Federal National Mortgage Association, 4.50%, due 12/01/2024 0.04%
Alternative Loan Trust, Series 2007-2CB, Class 1A13, 5.75%, due 03/25/2037 0.04%
Federal Home Loan Mortgage Corp., 3.12%, due 09/01/2035 0.04%
Federal National Mortgage Association, 2.62%, due 09/01/2035 0.03%
Bear Stearns ARM Trust, Series 2003-5, Class 2A1, 3.19%, due 08/25/2033 0.03%
ABFC Trust, Series 2004-OPT5, Class A1, 1.91%, due 06/25/2034 0.03%
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 1.89%, due 10/25/2044 0.03%
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 2.09%, due 07/25/2044 0.03%
HarborView Mortgage Loan Trust, Series 2005-14, Class 4A1A, 3.09%, due 12/19/2035 0.03%
Dynegy, Inc., 7.62%, due 11/01/2024 0.03%
Bear Stearns Alt-A Trust, Series 2006-6, Class 32A1, 3.24%, due 11/25/2036 0.03%
Federal National Mortgage Association, 1.56%, due 09/25/2042 0.03%
Government National Mortgage Association, Interest Only STRIPS, 5.42%, due 08/16/2033 0.03%
Federal National Mortgage Association, 6.00%, due 10/01/2036 0.03%
Morgan Stanley Mortgage Loan Trust, Series 2007-8XS, Class A1, 5.75%, due 04/25/2037 0.03%
Reperforming Loan REMIC Trust, Series 2004-R1, Class 2A, 6.50%, due 11/25/2034 0.03%
Alternative Loan Trust, Series 2006-30T1, Class 1A3, 6.25%, due 11/25/2036 0.02%
C-BASS Trust, Series 2007-CB1, Class AF1A, 1.28%, due 01/25/2037 0.02%
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1, 3.42%, due 01/26/2036 0.02%
Futures Contracts, Short, 10-Year Canada Government Bond 0.02%
TICC CLO LLC, Series 2012-1A, Class A, 1.75%, due 08/25/2023 0.02%
Morgan Stanley Mortgage Loan Trust, Series 2007-10XS, Class A1, 6.00%, due 07/25/2047 0.02%
Federal National Mortgage Association, 3.50%, due 02/01/2027 0.02%
First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A8, 6.25%, due 08/25/2037 0.02%
Bear Stearns ARM Trust, Series 2005-2, Class A2, 3.63%, due 03/25/2035 0.02%
Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, due 02/25/2037 0.02%
Futures Contracts, Long, U.S. Treasury Bond 0.02%
HarborView Mortgage Loan Trust, Series 2006-6, Class 5A1A, 3.73%, due 08/19/2036 0.02%
Federal National Mortgage Association, 2.68%, due 07/01/2035 0.02%
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 2A4, 3.19%, due 04/25/2036 0.02%
Federal National Mortgage Association, 3.33%, due 03/01/2034 0.02%
Hellenic Railways Organization SA, 5.01%, due 12/27/2017 0.02%
New York City Transitional Finance Authority Future Tax Secured Revenue, 4.72%, due 11/01/2023 0.02%
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-19, Class 2A1, 2.13%, due 01/25/2035 0.02%
U.S. Treasury Inflation-Indexed Bond, 0.75%, due 02/15/2042 0.02%
Swaption Purchased, PUT, Receives Floating Rate Index 3-Month USD-LIBOR 0.02%
CHL Mortgage Pass-Through Trust, Series 2004-12, Class 12A1, 3.26%, due 08/25/2034 0.02%
Government National Mortgage Association, Interest Only STRIPS, 5.38%, due 09/20/2034 0.02%
Federal National Mortgage Association REMIC, 6.30%, due 10/17/2038 0.01%
Federal National Mortgage Association REMIC, Interest Only STRIPS, 5.88%, due 07/25/2034 0.01%
Bear Stearns ARM Trust, Series 2006-4, Class 1A1, 3.54%, due 10/25/2036 0.01%
Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-3A, Class A1, 1.46%, due 08/25/2035 0.01%
Citigroup Mortgage Loan Trust, Series 2005-6, Class A2, 3.18%, due 09/25/2035 0.01%
Federal National Mortgage Association, 6.00%, due 07/01/2035 0.01%
New Century Home Equity Loan Trust, Series 2006-1, Class A2B, 1.39%, due 05/25/2036 0.01%
Bear Stearns ARM Trust, Series 2005-5, Class A2, 2.82%, due 08/25/2035 0.01%
U.S. Small Business Administration, Series 2004-20C, Class 1, 4.34%, due 03/01/2024 0.01%
Bear Stearns ARM Trust, Series 2003-8, Class 4A1, 3.43%, due 01/25/2034 0.01%
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1.45%, due 11/27/2028 0.01%
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-CC, Class A1, 3.09%, due 01/25/2035 0.01%
Federal Home Loan Mortgage Corp., 3.07%, due 03/01/2034 0.01%
Federal National Mortgage Association, 2.79%, due 11/01/2033 0.01%
Federal National Mortgage Association, 3.50%, due 02/01/2027 0.01%
Federal Home Loan Mortgage Corp., 2.73%, due 11/01/2033 0.01%
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 1.45%, due 07/19/2035 0.01%
Swap Agreement, Pay, 3-Month CAD-CDOR 0.01%
Government National Mortgage Association, Interest Only STRIPS, 5.38%, due 04/16/2033 0.01%
Government National Mortgage Association, Interest Only STRIPS, 5.38%, due 10/16/2033 0.01%
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, 3.10%, due 09/25/2035 0.01%
Federal Home Loan Mortgage Corp., 4.50%, due 05/01/2037 0.01%
Federal National Mortgage Association, 5.00%, due 08/01/2020 0.01%
Banc of America Funding Trust, Series 2006-J, Class 4A1, 3.55%, due 01/20/2047 0.01%
Futures Contracts, Short, 90-Day Eurodollar 0.01%
Swap Agreement, Pay, 3-Month USD-LIBOR 0.01%
Swap Agreement, Receive, MetLife, Inc., 4.75%, 02/08/2021 0.01%
Swaption Purchased, PUT, Receives Floating Rate Index 3-Month USD-LIBOR 0.00%**
Option Purchased, PUT, 90-Day Eurodollar Futures 0.00%**
Swap Agreement, Receive, Goldman Sachs Group, Inc., 5.95%, 01/18/2018 0.00%**
Federal National Mortgage Association, 4.50%, due 11/01/2018 0.00%**
Securitized Asset-Backed Receivables LLC Trust, Series 2007-HE1, Class A2A, 1.27%, due 12/25/2036 0.00%**
MASTR Alternative Loan Trust, Series 2006-2, Class 2A1, 1.61%, due 03/25/2036 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1, 1.45%, due 07/19/2035 0.00%**
Federal Home Loan Mortgage Corp., 2.61%, due 09/01/2035 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2, 1.45%, due 07/19/2035 0.00%**
Government National Mortgage Association, 2.12%, due 05/20/2024 0.00%**
Swap Agreement, Receive, Goldman Sachs Group, Inc., 5.95%, 01/18/2018 0.00%**
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1, 3.14%, due 08/25/2035 0.00%**
Futures Contracts, Short, 90-Day Eurodollar 0.00%**
Swap Agreement, Receive, Volkswagen International Finance NV, 5.38%, 05/22/2018 0.00%**
Federal National Mortgage Association, 2.84%, due 01/01/2028 0.00%**
Swap Agreement, Pay, 6-Month GBP-LIBOR 0.00%**
Futures Contracts, Short, 90-Day Eurodollar 0.00%**
CD Mortgage Trust, Series 2007-CD5, Class A4, 5.88%, due 11/15/2044 0.00%**
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 6.50%, due 07/25/2043 0.00%**
Merrill Lynch Mortgage Investors Trust, Series 2005-2, Class 3A, 2.05%, due 10/25/2035 0.00%**
Sequoia Mortgage Trust, Series 2010, Class 2A1, 1.97%, due 10/20/2027 0.00%**
U.S. Small Business Administration, Series 2003-20I, Class 1, 5.13%, due 09/01/2023 0.00%**
Swap Agreement, Receive, Volkswagen International Finance NV, 5.38%, 05/22/2018 0.00%**
CHL Mortgage Pass-Through Trust, Series 2002-30, Class M, 3.32%, due 10/19/2032 0.00%**
Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 4A, 1.46%, due 11/25/2035 0.00%**
Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1, 1.86%, due 09/19/2032 0.00%**
Bear Stearns ARM Trust, Series 2003-8, Class 2A1, 3.56%, due 01/25/2034 0.00%**
Bear Stearns Asset-Backed Securities Trust, Series 2002-2, Class A1, 1.87%, due 10/25/2032 0.00%**
Swap Agreement, Receive, Royal Bank of Scotland Group PLC, 4.25%, 05/11/2016 0.00%**
Federal Home Loan Mortgage Corp., 4.50%, due 08/01/2025 0.00%**
WaMu Mortgage Pass-Through Certificates Trust, Series 2002-AR9, Class 1A, 2.13%, due 08/25/2042 0.00%**
Amortizing Residential Collateral Trust, Series 2002-BC4, Class A, 1.79%, due 07/25/2032 0.00%**
Federal National Mortgage Association, 2.81%, due 01/01/2026 0.00%**
Federal Home Loan Mortgage Corp. REMIC, 6.50%, due 04/15/2029 0.00%**
Urbi Desarrollos Urbanos SAB de CV, 9.50%, due 01/21/2020 0.00%**
Home Equity Asset Trust, Series 2002-1, Class A4, 1.81%, due 11/25/2032 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
RFMSI Trust, Series 2003-S9, Class A1, 6.50%, due 03/25/2032 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Federal National Mortgage Association REMIC, 1.31%, due 01/25/2021 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-P1A, Class A, 1.58%, due 03/25/2032 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, Federal National Mortgage Association, 3.50%, TBA 0.00%**
Option Written, PUT, GBP vs. USD 0.00%**
Option Written, PUT, GBP vs. USD 0.00%**
Option Written, PUT, Federal National Mortgage Association, 3.00%, TBA 0.00%**
Futures Contracts, Long, OTC Put Options Exercise Price EUR 146.00 on German Euro Bund Futures 0.00%**
Option Written, PUT, Federal National Mortgage Association, 3.50%, TBA 0.00%**
Option Written, CALL, USD vs. BRL 0.00%**
Option Written, CALL, USD vs. BRL 0.00%**
Option Written, CALL, USD vs. BRL 0.00%**
Swap Agreement, Receive, Petrobras Global Finance BV, 8.38%, 12/10/2018 0.00%**
Futures Contracts, Short, Euro-BTP Italy Government Bond 0.00%**
Option Written, CALL, 90-Day Eurodollar Futures 0.00%**
Futures Contracts, Short, 90-Day Eurodollar 0.00%**
Futures Contracts, Short, 90-Day Eurodollar 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Futures Contracts, Short, 90-Day Eurodollar 0.00%**
Swaption Written, PUT, 5-Year 0.00%**
Swap Agreement, Receive, Tesco PLC, 6.00%, 12/14/2029 -0.01%**
Swap Agreement, Pay, 3-Month USD-LIBOR -0.01%**
Swap Agreement, Pay, 6-Month GBP-LIBOR -0.01%**
Swap Agreement, Receive, North America CMBS Basket Index - Series AAA9 -0.01%**
Swaption Written, PUT, 5-Year -0.01%**
Swap Agreement, Pay, 3-Month USD-LIBOR -0.01%**
Option Written, CALL, USD vs. BRL -0.02%**
Swap Agreement, Pay, 6-Month GBP-LIBOR -0.03%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.03%**
Futures Contracts, Long, German Euro Bund -0.04%**
Futures Contracts, Long, 5-Year U.S. Treasury Note -0.04%**
Futures Contracts, Long, 10-Year U.S. Treasury Note -0.07%**
Swap Agreement, Pay, 3-Month USD-LIBOR -0.07%**
Swap Agreement, Pay, 3-Month USD-LIBOR -0.09%**
Federal Home Loan Mortgage Corp. -1.12%**
Federal National Mortgage Association -1.64%**
Net Other Assets (Liabilities) -45.79%**