Transamerica

09/30/2017*


Transamerica Intermediate Bond

Security Description % of Total Market Value
Federal National Mortgage Association, 3.00%, TBA 4.97%
Federal National Mortgage Association, 3.50%, TBA 3.98%
Federal National Mortgage Association, 3.00%, TBA 2.01%
U.S. Treasury Bond, 3.62%, due 02/15/2044 1.57%
U.S. Treasury Note, 1.00%, due 11/30/2019 1.44%
U.S. Treasury Bond, 4.75%, due 02/15/2037 1.33%
U.S. Treasury Note, 1.25%, due 11/30/2018 1.25%
U.S. Treasury Inflation-Indexed Note, 0.62%, due 01/15/2024 1.17%
Federal National Mortgage Association, 4.00%, TBA 1.17%
Alpine Securitization. Ltd., 1.32%, due 11/01/2017 1.07%
U.S. Treasury Note, 1.62%, due 03/31/2019 1.02%
Atlantic Asset Securitization LLC, 1.32%, due 11/21/2017 1.00%
Gotham Funding Corp., 1.33%, due 11/06/2017 1.00%
U.S. Treasury Bond, 4.50%, due 02/15/2036 0.99%
Sumitomo Mitsui Banking Corp., 1.32%, due 11/08/2017 0.96%
U.S. Treasury Bill, 1.04%, due 10/12/2017 0.93%
Macquarie Bank, Ltd., 1.41%, due 01/08/2018 0.88%
Barton Capital Corp., 1.35%, due 10/16/2017 0.87%
Federal National Mortgage Association, 2.50%, TBA 0.86%
Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.32%, due 12/13/2017 0.86%
Manhattan Asset Funding Co. LLC, 1.31%, due 10/11/2017 0.84%
U.S. Treasury Inflation-Indexed Bond, 2.50%, due 01/15/2029 0.83%
U.S. Treasury Bond, 2.50%, due 02/15/2045 0.82%
U.S. Treasury Bond, 3.12%, due 02/15/2042 0.81%
Cooperatieve Rabobank UA, 11.00%, due 06/30/2019 0.80%
SBA Tower Trust, Series 2014-1A, Class C, 2.89%, due 10/15/2044 0.80%
Kells Funding LLC, 1.32%, due 11/09/2017 0.77%
CRC Funding LLC, 1.31%, due 10/03/2017 0.76%
Lexington Parker Capital Co. LLC, 1.35%, due 12/18/2017 0.74%
Barclays Bank PLC, 10.17%, due 06/12/2021 0.72%
U.S. Treasury Bond, 2.25%, due 08/15/2046 0.70%
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1, 4.00%, due 04/25/2057 0.69%
General Electric Co., 5.00%, due 01/21/2021 0.68%
U.S. Treasury Bond, 3.50%, due 02/15/2039 0.68%
Motel 6 Trust, Series 2017-MTL6, Class C, 2.63%, due 08/15/2034 0.68%
U.S. Treasury Bond, 2.75%, due 08/15/2042 0.68%
U.S. Treasury Bond, 2.50%, due 05/15/2046 0.67%
U.S. Treasury Note, 1.87%, due 11/30/2021 0.67%
Commerzbank AG, 8.12%, due 09/19/2023 0.66%
Thunder Bay Funding LLC, 1.31%, due 11/15/2017 0.65%
Nordea Bank AB, 4.25%, due 09/21/2022 0.61%
Federal National Mortgage Association, 3.50%, TBA 0.58%
U.S. Treasury Bill, 1.04%, due 11/16/2017 0.56%
Federal National Mortgage Association, 5.00%, TBA 0.56%
JPMorgan Chase & Co., 3.25%, due 09/23/2022 0.54%
U.S. Treasury Bond, 2.87%, due 08/15/2045 0.53%
U.S. Treasury Note, 0.75%, due 01/31/2018 0.51%
Bank of America Corp., Series MTN, 4.45%, due 03/03/2026 0.50%
Morgan Stanley, 5.75%, due 01/25/2021 0.49%
U.S. Treasury Bill, 1.17%, due 10/12/2017 0.49%
U.S. Treasury Note, 1.12%, due 09/30/2021 0.48%
Liberty Funding LLC, 1.32%, due 10/05/2017 0.48%
BB-UBS Trust, Series 2012-TFT, Class A, 2.89%, due 06/05/2030 0.48%
Morgan Stanley, 5.00%, due 11/24/2025 0.47%
Cancara Asset Securitisation LLC, 1.32%, due 10/05/2017 0.47%
UBS AG, 7.62%, due 08/17/2022 0.45%
Crown Castle Towers LLC, 3.22%, due 05/15/2042 0.44%
Morgan Stanley Capital Barclays Bank Trust, Series 2016-MART, Class A, 2.20%, due 09/13/2031 0.43%
Macquarie Group, Ltd., 6.25%, due 01/14/2021 0.43%
Verizon Communications, Inc., 5.15%, due 09/15/2023 0.42%
AT&T, Inc., 3.00%, due 06/30/2022 0.41%
U.S. Treasury Note, 2.50%, due 08/15/2023 0.40%
COMM Mortgage Trust, Series 2015-3BP, Class A, 3.17%, due 02/10/2035 0.37%
Anheuser-Busch InBev Finance, Inc., 3.65%, due 02/01/2026 0.37%
One Market Plaza Trust, Series 2017-1MKT, Class A, 3.61%, due 02/10/2032 0.36%
International Lease Finance Corp., 8.25%, due 12/15/2020 0.36%
Abbott Laboratories, 3.75%, due 11/30/2026 0.36%
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4, 3.10%, due 12/15/2050 0.36%
Ameriprise Financial, Inc., 3.70%, due 10/15/2024 0.35%
Anheuser-Busch InBev Worldwide, Inc., 4.43%, due 10/06/2048 0.34%
BlueMountain CLO, Ltd., Series 2015-2A, Class A1, 2.73%, due 07/18/2027 0.34%
U.S. Treasury Inflation-Indexed Bond, 1.75%, due 01/15/2028 0.33%
OCP CLO, Ltd., Series 2015-8A, Class A1, 2.83%, due 04/17/2027 0.33%
Aviation Capital Group Corp., 7.12%, due 10/15/2020 0.33%
Celgene Corp., 5.00%, due 08/15/2045 0.32%
U.S. Treasury Note, 2.00%, due 12/31/2021 0.32%
Delta Air Lines Pass-Through Trust, 4.75%, due 11/07/2021 0.32%
Martin Marietta Materials, Inc., 4.25%, due 07/02/2024 0.32%
Duke Energy Corp., 3.75%, due 09/01/2046 0.32%
Walgreens Boots Alliance, Inc., 3.30%, due 11/18/2021 0.32%
Harris Corp., 5.55%, due 10/01/2021 0.31%
BP Capital Markets PLC, 3.11%, due 05/04/2026 0.31%
Trafigura Securitisation Finance PLC, Series 2014-1A, Class A, 2.18%, due 10/15/2018 0.31%
Core Industrial Trust, Series 2015-CALW, Class B, 3.25%, due 02/10/2034 0.30%
American Tower Trust #1, Series 2013-1A, Class 1A, 1.55%, due 03/15/2043 0.30%
Goldman Sachs Group, Inc., 5.75%, due 01/24/2022 0.30%
U.S. Treasury Note, 1.50%, due 08/15/2026 0.30%
Athene Global Funding, 3.00%, due 07/01/2022 0.30%
Perrigo Finance Unlimited Co., 4.37%, due 03/15/2026 0.30%
Crown Castle Towers LLC, 6.11%, due 01/15/2040 0.29%
Federal National Mortgage Association, 5.00%, due 04/01/2039 0.29%
AT&T, Inc., 3.40%, due 05/15/2025 0.29%
U.S. Treasury Note, 1.75%, due 11/30/2021 0.29%
Towd Point Mortgage Trust, Series 2015-5, Class A1B, 2.75%, due 05/25/2055 0.28%
Microsoft Corp., 3.30%, due 02/06/2027 0.28%
Ameriprise Financial, Inc., 7.30%, due 06/28/2019 0.28%
U.S. Treasury Note, 1.62%, due 05/15/2026 0.28%
PacifiCorp, 3.60%, due 04/01/2024 0.28%
U.S. Treasury Note, 2.00%, due 02/15/2025 0.28%
Bunge, Ltd. Finance Corp., 3.75%, due 09/25/2027 0.28%
Pacific Life Insurance Co., 9.25%, due 06/15/2039 0.28%
Anadarko Petroleum Corp., 5.55%, due 03/15/2026 0.27%
General Electric Co., Series MTN, 6.87%, due 01/10/2039 0.27%
Welk Resorts LLC, Series 2017-AA, Class A, 2.82%, due 06/15/2033 0.27%
CVS Health Corp., 2.12%, due 06/01/2021 0.27%
BAT Capital Corp., 3.55%, due 08/15/2027 0.27%
Hewlett Packard Enterprise Co., 3.60%, due 10/15/2020 0.27%
Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.25%, due 04/25/2056 0.26%
Kilroy Realty, LP, 4.25%, due 08/15/2029 0.26%
Becton Dickinson and Co., 3.70%, due 06/06/2027 0.26%
Wellfleet CLO, Ltd., Series 2016-2A, Class A1, 2.95%, due 10/20/2028 0.26%
U.S. Treasury Note, 1.62%, due 11/15/2022 0.26%
Monsanto Co., 4.40%, due 07/15/2044 0.26%
Verizon Communications, Inc., 5.50%, due 03/16/2047 0.25%
U.S. Treasury Note, 1.62%, due 02/15/2026 0.25%
Citigroup, Inc., 2.74%, due 09/01/2023 0.25%
Bank of America Corp., Series MTN, 3.09%, due 10/01/2025 0.25%
American Airlines Pass-Through Trust, 3.70%, due 04/01/2028 0.25%
Ford Motor Co., 4.34%, due 12/08/2026 0.25%
New Residential Mortgage Loan Trust, Series 2017-1A, Class A1, 4.00%, due 02/25/2057 0.25%
Delta Air Lines Pass-Through Trust, 6.82%, due 02/10/2024 0.24%
Federal National Mortgage Association, 5.50%, due 12/01/2041 0.24%
BMW US Capital LLC, 2.80%, due 04/11/2026 0.24%
Intel Corp., 2.87%, due 05/11/2024 0.24%
VSE VOI Mortgage LLC, Series 2016-A, Class A, 2.54%, due 07/20/2033 0.24%
Aventura Mall Trust, Series 2013-AVM, Class A, 3.86%, due 12/05/2032 0.24%
EPR Properties, 4.75%, due 12/15/2026 0.23%
Toronto-Dominion Bank, 3.62%, due 09/15/2031 0.23%
UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.66%, due 06/10/2030 0.23%
CBL & Associates, LP, 5.25%, due 12/01/2023 0.23%
Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.39%, due 10/05/2030 0.23%
Crown Castle Towers LLC, 4.88%, due 08/15/2040 0.23%
Exxon Mobil Corp., 3.04%, due 03/01/2026 0.23%
Pernod Ricard SA, 5.75%, due 04/07/2021 0.23%
BB-UBS Trust, Series 2012-TFT, Class C, 3.58%, due 06/05/2030 0.23%
Lexington Parker Capital Co. LLC, 1.36%, due 11/09/2017 0.22%
Oaktree Capital Management, LP, 6.75%, due 12/02/2019 0.22%
Shell International Finance BV, 2.50%, due 09/12/2026 0.22%
Capital One Financial Corp., 2.50%, due 05/12/2020 0.22%
Hospitality Properties Trust, 5.00%, due 08/15/2022 0.22%
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 2A, 3.00%, due 07/26/2048 0.22%
Petroleos Mexicanos, 3.50%, due 01/30/2023 0.22%
Goldman Sachs Group, Inc., 6.75%, due 10/01/2037 0.22%
Ocwen Master Advance Receivables Trust, Series 2017-T1, Class AT1, 2.49%, due 09/15/2048 0.22%
Apple, Inc., 2.40%, due 05/03/2023 0.22%
Towd Point Mortgage Trust, Series 2015-3, Class A1B, 3.00%, due 03/25/2054 0.22%
NBCUniversal Media LLC, 4.37%, due 04/01/2021 0.22%
QUALCOMM, Inc., 3.25%, due 05/20/2027 0.22%
Mexico Government International Bond, 4.00%, due 10/02/2023 0.22%
Discover Financial Services, 3.75%, due 03/04/2025 0.22%
State of California, 7.60%, due 11/01/2040 0.22%
OneBeacon US Holdings, Inc., 4.60%, due 11/09/2022 0.22%
Sabine Pass Liquefaction LLC, 4.20%, due 03/15/2028 0.22%
Allergan Funding SCS, 3.80%, due 03/15/2025 0.21%
Medtronic, Inc., 4.62%, due 03/15/2045 0.21%
Arrow Electronics, Inc., 3.87%, due 01/12/2028 0.21%
ICG US CLO, Ltd., Series 2014-1A, Class A1, 2.45%, due 04/20/2026 0.21%
Wal-Mart Stores, Inc., 4.30%, due 04/22/2044 0.21%
Dell International LLC / EMC Corp., 6.02%, due 06/15/2026 0.21%
SCG Trust, Series 2013-SRP1, Class AJ, 3.42%, due 11/15/2026 0.21%
KLA-Tencor Corp., 4.12%, due 11/01/2021 0.21%
Palisades Center Trust, Series 2016-PLSD, Class A, 2.71%, due 04/13/2033 0.21%
United Airlines Pass-Through Trust, 3.75%, due 03/03/2028 0.21%
Sheffield Receivable, 1.35%, due 10/11/2017 0.21%
AbbVie, Inc., 3.20%, due 05/14/2026 0.21%
Palmer Square CLO, Ltd., Series 2015-2A, Class A1AR, 2.57%, due 07/20/2030 0.21%
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1, 4.00%, due 05/25/2057 0.21%
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class B, 3.70%, due 03/13/2035 0.21%
U.S. Treasury Note, 2.50%, due 05/15/2024 0.21%
Green Tree Agency Advance Funding Trust I, Series 2016-T1, Class AT1, 2.38%, due 10/15/2048 0.20%
MVW Owner Trust, Series 2016-1A, Class A, 2.25%, due 12/20/2033 0.20%
Santander UK Group Holdings PLC, 4.75%, due 09/15/2025 0.20%
Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/2026 0.20%
Schlumberger Holdings Corp., 3.00%, due 12/21/2020 0.20%
Ally Financial, Inc., 4.12%, due 03/30/2020 0.20%
General Motors Co., 4.87%, due 10/02/2023 0.20%
Colombia Government International Bond, 4.50%, due 01/28/2026 0.20%
Public Service Electric & Gas Co., Series MTN, 3.00%, due 05/15/2025 0.20%
Credit Suisse Group Funding Guernsey, Ltd., 3.80%, due 06/09/2023 0.20%
Ally Financial, Inc., 3.50%, due 01/27/2019 0.19%
State of California, 7.95%, due 03/01/2036 0.19%
U.S. Treasury Bill, 1.12%, due 10/26/2017 0.19%
HCP, Inc., 3.40%, due 02/01/2025 0.19%
U.S. Treasury Note, 2.25%, due 11/15/2024 0.19%
Discover Bank, 3.45%, due 07/27/2026 0.19%
Biogen, Inc., 4.05%, due 09/15/2025 0.19%
Federal National Mortgage Association, Zero Coupon, due 10/09/2019 0.19%
Standard Chartered Bank, 1.32%, due 10/27/2017 0.19%
LafargeHolcim Finance US LLC, 4.75%, due 09/22/2046 0.18%
Citigroup Mortgage Loan Trust, Series 2015-A, Class A1, 3.50%, due 06/25/2058 0.18%
Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75%, due 10/25/2056 0.18%
Towd Point Mortgage Trust, Series 2016-4, Class A1, 2.25%, due 07/25/2056 0.18%
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, due 04/25/2029 0.18%
International Paper Co., 4.75%, due 02/15/2022 0.18%
Oncor Electric Delivery Co. LLC, 4.10%, due 06/01/2022 0.18%
Appalachian Power Co., 3.40%, due 06/01/2025 0.17%
Kinder Morgan Energy Partners, LP, 4.15%, due 02/01/2024 0.17%
U.S. Treasury Note, 1.75%, due 05/15/2023 0.17%
Aviation Capital Group Corp., 2.87%, due 01/20/2022 0.17%
JPMorgan Chase & Co., 3.37%, due 05/01/2023 0.17%
DTE Electric Co., 4.30%, due 07/01/2044 0.17%
Apple, Inc., 2.85%, due 02/23/2023 0.17%
Victory Receivables Corp., 1.33%, due 10/06/2017 0.17%
Palmer Square CLO, Ltd., Series 2013-2A, Class A1AR, 2.52%, due 10/17/2027 0.17%
Sprint Communications, Inc., 9.00%, due 11/15/2018 0.17%
Korea Development Bank, 3.00%, due 03/17/2019 0.17%
New Residential Mortgage Loan Trust, Series 2016-3A, Class A1B, 3.25%, due 09/25/2056 0.17%
JPMorgan Chase & Co., 6.40%, due 05/15/2038 0.17%
JPMorgan Chase & Co., 3.54%, due 05/01/2028 0.17%
Hertz Vehicle Financing LLC, Series 2016-3A, Class A, 2.27%, due 07/25/2020 0.16%
NRG Energy, Inc., 6.62%, due 03/15/2023 0.16%
Wells Fargo & Co., Series MTN, 3.58%, due 05/22/2028 0.16%
Towd Point Mortgage Trust, Series 2017-3, Class A1, 2.75%, due 06/25/2057 0.16%
D.R. Horton, Inc., 4.37%, due 09/15/2022 0.16%
Continental Airlines Pass-Through Trust, 4.00%, due 04/29/2026 0.16%
U.S. Treasury Note, 1.12%, due 06/30/2021 0.16%
Indonesia Government International Bond, 4.75%, due 01/08/2026 0.16%
COMM Mortgage Trust, Series 2016-GCT, Class C, 3.57%, due 08/10/2029 0.16%
First Horizon National Corp., 3.50%, due 12/15/2020 0.16%
Citigroup, Inc., 3.37%, due 03/01/2023 0.16%
U.S. Treasury Bond, 5.25%, due 02/15/2029 0.16%
CBS Corp., 5.75%, due 04/15/2020 0.16%
Sysco Corp., 3.25%, due 07/15/2027 0.16%
EPR Properties, 4.50%, due 04/01/2025 0.16%
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-DSTY, Class B, 3.77%, due 06/10/2027 0.15%
Deutsche Bank AG, 2.62%, due 08/20/2020 0.15%
Petronas Capital, Ltd., 5.25%, due 08/12/2019 0.15%
Hartford Financial Services Group, Inc., 5.12%, due 04/15/2022 0.15%
CSMC Trust, Series 2014-4R, Class 21A1, 1.56%, due 12/27/2035 0.15%
CNA Financial Corp., 5.87%, due 08/15/2020 0.15%
New Residential Advanced Receivables Trust, Series 2017-T1, Class AT1, 3.21%, due 02/15/2051 0.15%
American Airlines Pass-Through Trust, 4.95%, due 07/15/2024 0.15%
Allstate Corp., 3.28%, due 12/15/2026 0.15%
Credit Suisse Group Funding Guernsey, Ltd., 3.75%, due 03/26/2025 0.15%
GS Mortgage Securities Trust, Series 2013-G1, Class A2, 3.55%, due 04/10/2031 0.15%
Alternative Loan Trust, Series 2007-22, Class 2A16, 6.50%, due 09/25/2037 0.15%
Wells Fargo & Co., 5.37%, due 11/02/2043 0.15%
Charles Schwab Corp., 3.20%, due 03/02/2027 0.15%
FedEx Corp., 4.90%, due 01/15/2034 0.15%
Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.75%, due 08/25/2055 0.15%
VEREIT Operating Partnership, LP, 4.12%, due 06/01/2021 0.14%
Houston Galleria Mall Trust, Series 2015-HGLR, Class A1A2, 3.08%, due 03/05/2037 0.14%
Towd Point Mortgage Trust, Series 2015-6, Class A1B, 2.75%, due 04/25/2055 0.14%
Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/2022 0.14%
Reinsurance Group of America, Inc., 3.98%, due 12/15/2065 0.14%
321 Henderson Receivables VI LLC, Series 2010-1A, Class A, 5.56%, due 07/15/2059 0.14%
Owens Corning, 4.20%, due 12/15/2022 0.14%
Danone SA, 2.94%, due 11/02/2026 0.14%
ERAC USA Finance LLC, 2.70%, due 11/01/2023 0.14%
New Residential Mortgage Loan Trust, Series 2015-2A, Class A1, 3.75%, due 08/25/2055 0.14%
Realty Income Corp., 3.87%, due 07/15/2024 0.14%
Svenska Handelsbanken AB, Series MTN, 2.45%, due 03/30/2021 0.13%
America Movil SAB de CV, 3.12%, due 07/16/2022 0.13%
Queens Center Mortgage Trust, Series 2013-QCA, Class D, 3.59%, due 01/11/2037 0.13%
Federal National Mortgage Association, 5.00%, due 11/01/2039 0.13%
Conagra Brands, Inc., 3.20%, due 01/25/2023 0.13%
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC, 5.75%, due 10/15/2020 0.13%
COMM Mortgage Trust, Series 2013-GAM, Class A2, 3.36%, due 02/10/2028 0.13%
Petrobras Global Finance BV, 5.37%, due 01/27/2021 0.13%
Kraft Heinz Foods Co., 4.87%, due 02/15/2025 0.13%
State of California, 7.30%, due 10/01/2039 0.13%
SBA Tower Trust, 3.16%, due 04/09/2047 0.13%
Swiss Re America Holding Corp., 7.75%, due 06/15/2030 0.13%
Dominion Energy, Inc., 2.57%, due 07/01/2020 0.13%
NBCUniversal Enterprise, Inc., 5.25%, due 03/19/2021 0.13%
BorgWarner, Inc., 3.37%, due 03/15/2025 0.13%
SolarCity LMC Series III LLC, Series 2014-2, Class A, 4.02%, due 07/20/2044 0.12%
Wells Fargo Bank NA, 5.95%, due 08/26/2036 0.12%
Petroleos Mexicanos, 6.87%, due 08/04/2026 0.12%
New Residential Mortgage Loan Trust, Series 2016-2A, Class A1, 3.75%, due 11/26/2035 0.12%
Duke Energy Corp., 3.75%, due 04/15/2024 0.12%
Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.46%, due 07/20/2020 0.12%
EnLink Midstream Partners, LP, 2.70%, due 04/01/2019 0.12%
Tyson Foods, Inc., 3.95%, due 08/15/2024 0.12%
Hutchison Whampoa International 14, Ltd., 1.62%, due 10/31/2017 0.11%
Anglo American Capital PLC, 4.00%, due 09/11/2027 0.11%
Goldman Sachs Group, Inc., 2.75%, due 09/15/2020 0.11%
Energy Transfer, LP, 7.60%, due 02/01/2024 0.11%
Longfellow Place CLO, Ltd., Series 2013-1A, Class ARR, 2.64%, due 04/15/2029 0.11%
Nationstar Mortgage Loan Trust, Series 2013-A, Class A, 3.75%, due 12/25/2052 0.11%
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-WLDN, Class A, 3.90%, due 05/05/2030 0.11%
Hughes Satellite Systems Corp., 7.62%, due 06/15/2021 0.11%
FedEx Corp., 5.10%, due 01/15/2044 0.11%
Kroger Co., 2.80%, due 08/01/2022 0.11%
GS Mortgage Securities Corp. II, Series 2013-KING, Class E, 3.54%, due 12/10/2027 0.11%
Hutchison Whampoa International 12 II, Ltd., 2.00%, due 11/08/2017 0.11%
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class C, 3.73%, due 06/15/2029 0.10%
GS Mortgage Securities Corp. Trust, Series 2012-SHOP, Class C, 3.63%, due 06/05/2031 0.10%
Saudi Arabia Government International Bond, 2.37%, due 10/26/2021 0.10%
Federal National Mortgage Association, 6.00%, due 04/01/2035 0.10%
NBCUniversal Media LLC, 4.45%, due 01/15/2043 0.10%
AT&T, Inc., 4.35%, due 06/15/2045 0.10%
New Residential Mortgage Loan Trust, Series 2016-1A, Class A1, 3.75%, due 03/25/2056 0.10%
EOG Resources, Inc., 2.45%, due 04/01/2020 0.10%
COMM Mortgage Trust, Series 2014-UBS2, Class A5, 3.96%, due 03/10/2047 0.10%
ERAC USA Finance LLC, 3.85%, due 11/15/2024 0.10%
U.S. Treasury Bond, 3.00%, due 05/15/2042 0.10%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.50%, due 05/15/2021 0.10%
Thermo Fisher Scientific, Inc., 2.40%, due 02/01/2019 0.10%
KeyBank NA, Series MTN, 3.40%, due 05/20/2026 0.10%
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX3, 3.75%, due 11/25/2054 0.10%
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class B, 3.78%, due 02/15/2048 0.10%
Mastercard, Inc., 3.37%, due 04/01/2024 0.10%
Intesa Sanpaolo SpA, 5.01%, due 06/26/2024 0.10%
Liberty Funding LLC, 1.35%, due 01/09/2018 0.10%
Energy Transfer, LP, 4.90%, due 02/01/2024 0.09%
COMM Mortgage Trust, Series 2013-WWP, Class A2, 3.42%, due 03/10/2031 0.09%
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3, 4.00%, due 03/25/2057 0.09%
US Airways Pass-Through Trust, 5.37%, due 05/15/2023 0.09%
Royal Bank of Scotland Group PLC, 6.40%, due 10/21/2019 0.09%
Indonesia Government International Bond, 5.37%, due 10/17/2023 0.09%
CK Hutchison International 17, Ltd., 2.25%, due 09/29/2020 0.09%
Provident Funding Mortgage Loan Trust, Series 2005-1, Class 3A1, 1.81%, due 05/25/2035 0.09%
Wells Fargo & Co., 2.12%, due 04/22/2019 0.09%
America Movil SAB de CV, 4.37%, due 07/16/2042 0.09%
BNP Paribas SA, 6.75%, due 03/14/2022 0.08%
BBCMS Trust, Series 2013-TYSN, Class B, 4.04%, due 09/05/2032 0.08%
EnLink Midstream Partners, LP, 4.85%, due 07/15/2026 0.08%
Constellation Brands, Inc., 3.70%, due 12/06/2026 0.08%
Reynolds American, Inc., 8.12%, due 06/23/2019 0.08%
Actavis, Inc., 3.25%, due 10/01/2022 0.08%
COMM Mortgage Trust, Series 2013-WWP, Class B, 3.72%, due 03/10/2031 0.08%
Ocwen Master Advance Receivables Trust, Series 2016-T2, Class AT2, 2.72%, due 08/16/2049 0.08%
Comcast Corp., 5.87%, due 02/15/2018 0.08%
Societe Generale SA, 5.00%, due 01/17/2024 0.08%
General Electric Co., Series MTN, 5.50%, due 01/08/2020 0.08%
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A, 2.33%, due 07/20/2033 0.08%
U.S. Treasury Bill, 1.10%, due 10/19/2017 0.08%
Doosan Heavy Industries & Construction Co., Ltd., 2.12%, due 04/27/2020 0.08%
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC, 6.87%, due 02/15/2021 0.08%
OCP CLO, Ltd., Series 2014-7A, Class A1AR, Zero Coupon, due 10/20/2026 0.08%
SBA Tower Trust, 2.24%, due 04/09/2043 0.08%
Citigroup Mortgage Loan Trust, Series 2015-PS1, Class A1, 3.75%, due 09/25/2042 0.07%
Federal National Mortgage Association, 5.00%, due 08/01/2039 0.07%
Federal National Mortgage Association, 6.00%, due 02/01/2041 0.07%
American Airlines Pass-Through Trust, 3.20%, due 12/15/2029 0.07%
Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class A4, 4.02%, due 03/10/2047 0.07%
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC, 5.12%, due 07/15/2023 0.07%
American Express Co., 4.05%, due 12/03/2042 0.07%
Credit Suisse Mortgage Capital Certificates, Series 2009-11R, Class 5A1, 3.17%, due 08/26/2036 0.07%
Western Gas Partners, LP, 5.37%, due 06/01/2021 0.07%
Federal Home Loan Mortgage Corp., 5.00%, due 08/01/2035 0.07%
Shell International Finance BV, 3.75%, due 09/12/2046 0.07%
US Bank NA, 2.12%, due 10/28/2019 0.07%
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2, 2.75%, due 11/15/2049 0.06%
Bank of America Corp., 5.75%, due 12/01/2017 0.06%
Duke Energy Progress LLC, 3.60%, due 09/15/2047 0.06%
Federal National Mortgage Association, 6.50%, due 05/01/2040 0.06%
Republic of Poland Government International Bond, 3.00%, due 03/17/2023 0.06%
Exxon Mobil Corp., 1.81%, due 03/15/2019 0.06%
Anthem, Inc., 1.87%, due 01/15/2018 0.06%
Seagate HDD Cayman, 4.87%, due 06/01/2027 0.06%
RJ Reynolds Tobacco Co., 8.12%, due 06/23/2019 0.06%
State of California, 7.70%, due 11/01/2030 0.06%
JPMorgan Chase Bank NA, 6.00%, due 10/01/2017 0.06%
BXG Receivables Note Trust, Series 2015-A, Class A, 2.88%, due 05/02/2030 0.06%
Wells Fargo & Co., Series MTN, 4.10%, due 06/03/2026 0.06%
JPMorgan Resecuritization Trust, Series 2014-2, Class 6A1, 3.23%, due 05/26/2037 0.06%
Royal Bank of Scotland Group PLC, 6.00%, due 12/19/2023 0.06%
Fidelity National Financial, Inc., 5.50%, due 09/01/2022 0.06%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class AS, 3.47%, due 11/15/2045 0.06%
Bank One Capital III, 8.75%, due 09/01/2030 0.06%
JG Wentworth XXXV LLC, Series 2015-2A, Class A, 3.87%, due 03/15/2058 0.06%
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.50%, due 04/25/2057 0.06%
Citigroup, Inc., 5.95%, due 01/30/2023 0.06%
Coventry Health Care, Inc., 5.45%, due 06/15/2021 0.06%
Federal National Mortgage Association, 3.50%, due 10/01/2028 0.06%
Federal National Mortgage Association, 5.00%, due 10/01/2039 0.06%
Anglo American Capital PLC, 4.75%, due 04/10/2027 0.06%
CSMC Trust, Series 2014-11R, Class 17A1, 1.38%, due 12/27/2036 0.06%
Federal National Mortgage Association, 4.50%, due 06/01/2026 0.06%
Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.66%, due 12/26/2028 0.06%
Lincoln National Corp., 8.75%, due 07/01/2019 0.06%
Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class A3, 3.75%, due 03/10/2047 0.06%
UBS Group Funding Switzerland AG, 4.25%, due 03/23/2028 0.05%
Citigroup Capital XIII, 7.68% 0.05%
Newell Brands, Inc., 4.20%, due 04/01/2026 0.05%
Celgene Corp., 2.87%, due 08/15/2020 0.05%
Orange Lake Timeshare Trust, Series 2015-AA, Class A, 2.88%, due 09/08/2027 0.05%
Federal National Mortgage Association, 5.00%, due 11/01/2039 0.05%
Gilead Sciences, Inc., 4.15%, due 03/01/2047 0.05%
Amgen, Inc., 4.40%, due 05/01/2045 0.05%
Towd Point Mortgage Trust, Series 2015-4, Class A1B, 2.75%, due 04/25/2055 0.05%
Niagara Mohawk Power Corp., 4.88%, due 08/15/2019 0.05%
Gilead Sciences, Inc., 2.95%, due 03/01/2027 0.05%
GTP Acquisition Partners I LLC, 2.35%, due 06/15/2045 0.05%
Royal Bank of Scotland Group PLC, 6.10%, due 06/10/2023 0.05%
Federal Home Loan Mortgage Corp., 5.50%, due 06/01/2041 0.05%
U.S. Treasury Bill, 1.10%, due 10/26/2017 0.05%
Sprint Corp., 7.87%, due 09/15/2023 0.05%
Kinder Morgan, Inc., 3.05%, due 12/01/2019 0.05%
Oversea-Chinese Banking Corp., Ltd., 3.15%, due 03/11/2023 0.05%
Cablevision Systems Corp., 7.75%, due 04/15/2018 0.05%
Petrobras Global Finance BV, 6.25%, due 03/17/2024 0.05%
MVW Owner Trust, Series 2014-1A, Class A, 2.25%, due 09/22/2031 0.05%
Sierra Timeshare Receivables Funding LLC, Series 2014-1A, Class A, 2.07%, due 03/20/2030 0.05%
Brazil Government International Bond, 4.25%, due 01/07/2025 0.05%
Macquarie Bank, Ltd., 1.36%, due 11/10/2017 0.05%
Alternative Loan Trust, Series 2005-50CB, Class 1A1, 5.50%, due 11/25/2035 0.05%
Laredo Petroleum, Inc., 7.37%, due 05/01/2022 0.05%
21st Century Fox America, Inc., 7.62%, due 11/30/2028 0.04%
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 2.58%, due 09/20/2032 0.04%
Federal National Mortgage Association, 4.00%, due 06/01/2042 0.04%
Peru Government International Bond, 7.35%, due 07/21/2025 0.04%
Wal-Mart Stores, Inc., 4.00%, due 04/11/2043 0.04%
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 1.92%, due 09/20/2019 0.04%
Towd Point Mortgage Trust, Series 2017-2, Class A1, 2.75%, due 04/25/2057 0.04%
Bank One Corp., 8.00%, due 04/29/2027 0.04%
HCA Healthcare, Inc., 6.25%, due 02/15/2021 0.04%
Morgan Stanley Resecuritization Trust, Series 2014-R4, Class 4A, 3.45%, due 11/21/2035 0.04%
General Motors Co., 6.25%, due 10/02/2043 0.04%
Energy Transfer, LP, 5.15%, due 03/15/2045 0.04%
New Residential Mortgage Loan Trust, Series 2014-1A, Class A, 3.75%, due 01/25/2054 0.04%
Federal National Mortgage Association, 3.50%, due 01/01/2029 0.04%
Citigroup Mortgage Loan Trust, Series 2014-A, Class A, 4.00%, due 01/25/2035 0.04%
Wells Fargo & Co., 5.90%, due 06/15/2024 0.04%
Entergy Arkansas, Inc., 3.70%, due 06/01/2024 0.04%
Husky Energy, Inc., 4.00%, due 04/15/2024 0.04%
Federal National Mortgage Association, 6.00%, due 01/01/2040 0.04%
BBCMS Trust, Series 2015-MSQ, Class B, 3.89%, due 09/15/2032 0.04%
BCAP LLC Trust, Series 2011-R11, Class 16A5, 3.28%, due 08/26/2035 0.04%
Alternative Loan Trust, Series 2007-5CB, Class 1A31, 5.50%, due 04/25/2037 0.04%
Federal National Mortgage Association, 5.50%, due 08/01/2037 0.04%
Freeport-McMoRan, Inc., 3.87%, due 03/15/2023 0.04%
JG Wentworth XXI LLC, Series 2010-2A, Class A, 4.07%, due 01/15/2048 0.04%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.51%, due 08/15/2046 0.04%
Federal National Mortgage Association, 6.00%, due 12/01/2037 0.03%
Boston Scientific Corp., 2.65%, due 10/01/2018 0.03%
Federal National Mortgage Association, 6.00%, due 11/01/2034 0.03%
Jersey Central Power & Light Co., 7.35%, due 02/01/2019 0.03%
TransCanada PipeLines, Ltd., 3.75%, due 10/16/2023 0.03%
Federal National Mortgage Association, 6.50%, due 06/01/2038 0.03%
Kerr-McGee Corp., 6.95%, due 07/01/2024 0.03%
Energy Transfer, LP, 5.95%, due 10/01/2043 0.03%
Continental Resources, Inc., 3.80%, due 06/01/2024 0.03%
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 3A1, 3.28%, due 04/25/2047 0.03%
Kraft Heinz Foods Co., 2.80%, due 07/02/2020 0.03%
Sierra Timeshare Receivables Funding LLC, Series 2014-2A, Class A, 2.05%, due 06/20/2031 0.03%
AT&T, Inc., 5.00%, due 03/01/2021 0.03%
Hertz Corp., 5.50%, due 10/15/2024 0.03%
TransCanada PipeLines, Ltd., 4.62%, due 03/01/2034 0.03%
New Residential Mortgage Loan Trust, Series 2014-2A, Class A3, 3.75%, due 05/25/2054 0.03%
Silverleaf Finance XVIII LLC, Series 2014-A, Class A, 2.81%, due 01/15/2027 0.03%
Williams Cos., Inc., 7.87%, due 09/01/2021 0.03%
Orange Lake Timeshare Trust, Series 2014-AA, Class A, 2.29%, due 07/09/2029 0.03%
Federal National Mortgage Association, 3.50%, due 07/01/2028 0.03%
HSBC Holdings PLC, 5.25%, due 03/14/2044 0.03%
Sprint Capital Corp., 6.87%, due 11/15/2028 0.03%
Schlumberger Investment SA, 3.65%, due 12/01/2023 0.03%
Williams Partners, LP, 5.40%, due 03/04/2044 0.03%
American International Group, Inc., 8.17%, due 05/15/2068 0.03%
Colombia Government International Bond, 4.00%, due 02/26/2024 0.03%
CMS Energy Corp., 4.87%, due 03/01/2044 0.03%
Cisco Systems, Inc., 2.12%, due 03/01/2019 0.03%
RALI Trust, Series 2007-QO4, Class A1A, 1.42%, due 05/25/2047 0.03%
Weatherford International, Ltd., 5.95%, due 04/15/2042 0.03%
Federal National Mortgage Association, 6.00%, due 03/01/2038 0.03%
Alternative Loan Trust, Series 2005-51, Class 3A3A, 1.55%, due 11/20/2035 0.02%
Alternative Loan Trust, Series 2005-36, Class 2A1A, 1.54%, due 08/25/2035 0.02%
Federal Home Loan Mortgage Corp., 3.49%, due 09/01/2035 0.02%
RAAC Trust, Series 2007-RP4, Class A, 1.58%, due 11/25/2046 0.02%
Federal National Mortgage Association, 6.00%, due 02/01/2034 0.02%
American Financial Group, Inc., 9.87%, due 06/15/2019 0.02%
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class AM, 6.30%, due 09/15/2045 0.02%
Port Authority of New York & New Jersey, Series 181, 4.96%, due 08/01/2046 0.02%
President & Fellows of Harvard College, 3.61%, due 10/01/2037 0.02%
Citigroup, Inc., 6.67%, due 09/13/2043 0.02%
New Jersey Turnpike Authority, Series F, 7.41%, due 01/01/2040 0.02%
Goldman Sachs Group, Inc., 6.25%, due 02/01/2041 0.02%
CoBank ACB, Series F, 6.25% 0.02%
State Street Corp., Series D, 5.90% 0.02%
Oncor Electric Delivery Co. LLC, 5.30%, due 06/01/2042 0.02%
Federal Home Loan Mortgage Corp., Series Z, 8.37% 0.02%
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class B, 3.05%, due 03/22/2032 0.02%
Federal Home Loan Mortgage Corp., 5.00%, due 12/01/2035 0.02%
AT&T, Inc., 4.60%, due 02/15/2021 0.02%
COMM Mortgage Trust, Series 2013-CR11, Class AM, 4.71%, due 08/10/2050 0.02%
LyondellBasell Industries NV, 5.00%, due 04/15/2019 0.02%
BCAP LLC Trust, Series 2012-RR12, Class 4A1, 3.51%, due 04/26/2036 0.02%
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, due 03/22/2032 0.02%
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-N, Class 1A2, 2.87%, due 12/25/2033 0.02%
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.20%, due 10/20/2030 0.02%
Federal National Mortgage Association, Series S, 8.25% 0.02%
CMS Energy Corp., 3.87%, due 03/01/2024 0.02%
JPMorgan Chase & Co., 4.85%, due 02/01/2044 0.02%
RBSSP Resecuritization Trust, Series 2009-7, Class 5A4, 1.63%, due 06/26/2037 0.02%
Cleveland Electric Illuminating Co., 5.95%, due 12/15/2036 0.02%
Williams Cos., Inc., 3.70%, due 01/15/2023 0.02%
BCAP LLC Trust, Series 2009-RR6, Class 2A1, 3.48%, due 08/26/2035 0.02%
Sierra Timeshare Receivables Funding LLC, Series 2014-2A, Class B, 2.40%, due 06/20/2031 0.02%
Apache Corp., 4.75%, due 04/15/2043 0.02%
HSBC Holdings PLC, 4.25%, due 03/14/2024 0.02%
PacifiCorp, 5.75%, due 04/01/2037 0.02%
Metropolitan Transportation Authority, Series E, 6.81%, due 11/15/2040 0.02%
RBSSP Resecuritization Trust, Series 2009-6, Class 2A1, 3.27%, due 01/26/2036 0.02%
Federal Home Loan Mortgage Corp., 6.00%, due 05/01/2031 0.02%
Noble Energy, Inc., 6.00%, due 03/01/2041 0.02%
Los Angeles Community College District, 6.60%, due 08/01/2042 0.02%
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class B, 2.70%, due 10/20/2030 0.02%
Delta Air Lines Pass-Through Trust, 7.75%, due 06/17/2021 0.02%
Hilton Grand Vacations Trust, Series 2013-A, Class A, 2.28%, due 01/25/2026 0.02%
Cleveland Electric Illuminating Co., 8.87%, due 11/15/2018 0.02%
JPMorgan Chase & Co., 6.75%, due 02/01/2024 0.02%
IndyMac INDX Mortgage Loan Trust, Series 2007-AR15, Class 2A1, 3.55%, due 08/25/2037 0.02%
Federal Home Loan Mortgage Corp., 3.64%, due 02/01/2041 0.02%
New York City Water & Sewer System, Series CC, 5.88%, due 06/15/2044 0.01%
Jefferies Resecuritization Trust, Series 2009-R2, Class 4A, 3.93%, due 05/26/2037 0.01%
Federal National Mortgage Association, 5.50%, due 10/01/2036 0.01%
HarborView Mortgage Loan Trust, Series 2004-4, Class 2A, 1.79%, due 06/19/2034 0.01%
BCAP LLC Trust, Series 2011-R11, Class 23A1, 3.36%, due 06/26/2035 0.01%
Federal National Mortgage Association, 6.00%, due 08/01/2034 0.01%
RALI Trust, Series 2007-QO1, Class A1, 1.38%, due 02/25/2047 0.01%
New York State Dormitory Authority, Series H, 5.38%, due 03/15/2040 0.01%
Federal National Mortgage Association, 5.50%, due 06/01/2038 0.01%
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.00%, due 09/20/2029 0.01%
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 3.40%, due 07/25/2035 0.01%
MASTR Adjustable Rate Mortgages Trust, Series 2007-R5, Class A1, 3.39%, due 11/25/2035 0.01%
CVS Health Corp., 5.30%, due 12/05/2043 0.01%
Municipal Electric Authority of Georgia, Series A, 6.63%, due 04/01/2057 0.01%
Southwest Airlines Co. Pass-Through Trust, 6.15%, due 02/01/2024 0.01%
Federal National Mortgage Association, 3.46%, due 03/01/2041 0.01%
University of California, Series AD, 4.85%, due 05/15/2112 0.01%
Apache Corp., 4.25%, due 01/15/2044 0.01%
Federal Home Loan Mortgage Corp., 5.50%, due 11/01/2038 0.01%
Government National Mortgage Association, Interest Only STRIPS, 0.79%, due 02/16/2053 0.01%
Burlington Northern Santa Fe LLC, 3.75%, due 04/01/2024 0.01%
Federal National Mortgage Association, 6.00%, due 09/01/2038 0.01%
Federal National Mortgage Association, 6.00%, due 05/01/2038 0.01%
HP, Inc., 3.75%, due 12/01/2020 0.01%
Burlington Northern Santa Fe LLC, 3.00%, due 03/15/2023 0.01%
Impac CMB Trust, Series 2003-8, Class 1A1, 1.91%, due 10/25/2033 0.01%
State Street Corp., 2.32%, due 06/01/2077 0.01%
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, due 08/25/2036 0.01%
Morgan Stanley Re-REMIC Trust, Series 2012-R3, Class 1A, 2.75%, due 11/26/2036 0.01%
Federal National Mortgage Association, 4.50%, due 02/01/2025 0.01%
Federal National Mortgage Association, 6.00%, due 02/01/2038 0.01%
SCE Trust III, Series H, 5.75% 0.01%
COMM Mortgage Trust, Series 2013-GAM, Class A1, 1.70%, due 02/10/2028 0.01%
SilverLeaf Finance XVII LLC, Series 2013-A, Class A, 2.68%, due 03/16/2026 0.01%
Diamond Resorts Owner Trust, Series 2015-1, Class A, 2.73%, due 07/20/2027 0.01%
Federal National Mortgage Association, 4.50%, due 07/01/2025 0.01%
Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A1, 3.34%, due 02/25/2034 0.01%
Merrill Lynch Mortgage Investors Trust, Series 2005-A4, Class 2A2, 3.55%, due 07/25/2035 0.01%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA6, Class 1A1B, 1.64%, due 07/25/2047 0.01%
CHL Mortgage Pass-Through Trust, Series 2005-3, Class 1A2, 1.81%, due 04/25/2035 0.01%
Morgan Stanley Re-REMIC Trust, Series 2013-R8, Class 9A, 1.95%, due 09/26/2036 0.01%
T-Mobile USA, Inc., 6.83%, due 04/28/2023 0.00%**
Federal Home Loan Mortgage Corp., 3.26%, due 01/01/2038 0.00%**
Nexen Energy ULC, 5.87%, due 03/10/2035 0.00%**
Federal National Mortgage Association, 5.50%, due 04/01/2041 0.00%**
Federal National Mortgage Association, 3.57%, due 03/01/2041 0.00%**
Banc of America Funding Trust, Series 2005-E, Class 4A1, 3.34%, due 03/20/2035 0.00%**
CSMC Trust, Series 2009-14R, Class 2A1, 5.00%, due 06/26/2037 0.00%**
Morgan Stanley Re-REMIC Trust, Series 2009-R3, Class 1A, 5.50%, due 10/26/2035 0.00%**
Federal National Mortgage Association, 6.00%, due 12/01/2038 0.00%**
Federal National Mortgage Association, 6.00%, due 03/01/2038 0.00%**
Federal National Mortgage Association, 6.00%, due 10/01/2038 0.00%**
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 6.00%, due 06/12/2050 0.00%**
Federal Home Loan Mortgage Corp., 3.01%, due 04/01/2037 0.00%**
Federal Home Loan Mortgage Corp., 3.49%, due 05/01/2037 0.00%**
CHL Mortgage Pass-Through Trust, Series 2003-60, Class 1A1, 3.48%, due 02/25/2034 0.00%**
Voyager BRSTN Delaware Trust, Interest Only STRIPS, Series 2009-1, Class UAU7, 1.48%, due 12/26/2036 0.00%**
Federal National Mortgage Association, 3.49%, due 08/01/2035 0.00%**
JPMorgan Mortgage Trust, Series 2006-A2, Class 5A1, 3.32%, due 11/25/2033 0.00%**
Bear Stearns Alt-A Trust, Series 2004-11, Class 2A2, 3.66%, due 11/25/2034 0.00%**
JPMorgan Mortgage Trust, Series 2004-A1, Class 1A1, 2.99%, due 02/25/2034 0.00%**
Federal Home Loan Mortgage Corp., 2.73%, due 05/01/2037 0.00%**
Federal National Mortgage Association, 4.50%, due 04/01/2025 0.00%**
Federal National Mortgage Association, 5.50%, due 08/01/2037 0.00%**
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR8, Class 2A1A, 1.52%, due 07/25/2045 0.00%**
GMACM Mortgage Loan Trust, Series 2005-AR1, Class 3A, 3.90%, due 03/18/2035 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2003-AR4, Class A1, 1.93%, due 01/19/2034 0.00%**
Federal National Mortgage Association, 6.00%, due 01/01/2035 0.00%**
Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1, 1.87%, due 10/25/2028 0.00%**
Impac CMB Trust, Series 2004-6, Class 1A1, 2.03%, due 10/25/2034 0.00%**
Merrill Lynch Mortgage Investors Trust, Series 2005-A3, Class A1, 1.50%, due 04/25/2035 0.00%**
Federal Home Loan Mortgage Corp., 2.95%, due 02/01/2037 0.00%**
Federal Home Loan Mortgage Corp., 3.16%, due 09/01/2037 0.00%**
Federal Home Loan Mortgage Corp., 3.36%, due 12/01/2034 0.00%**
GMACM Mortgage Loan Trust, Series 2003-AR2, Class 1A1, 3.62%, due 12/19/2033 0.00%**
Federal National Mortgage Association, 2.88%, due 01/01/2035 0.00%**
Federal National Mortgage Association, Series O, 0.00% 0.00%**
Federal National Mortgage Association, 5.50%, due 04/01/2036 0.00%**
Rio Tinto Finance USA PLC, 2.87%, due 08/21/2022 0.00%**
Federal National Mortgage Association, 2.90%, due 08/01/2034 0.00%**
Federal National Mortgage Association, 2.40%, due 08/01/2037 0.00%**
Federal National Mortgage Association, 6.00%, due 02/01/2034 0.00%**
Federal National Mortgage Association, 6.00%, due 10/01/2034 0.00%**
Net Other Assets (Liabilities) -12.08%**