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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Raytheon Co | NYSE:RTN | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 116.96 | 0 | 01:00:00 |
FORM 11-K
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ý
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ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Page(s)
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Financial Statements
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Supplemental Schedule*
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2016
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2015
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||||
Assets
|
|
|
|
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||||
Total investments at fair value (Notes 2 and 3)
|
|
$
|
14,073,012,671
|
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$
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12,961,239,315
|
|
|
|
|
|
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||||
Fully benefit-responsive investment contracts at contract value (Note 4)
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1,844,304,082
|
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1,666,208,119
|
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||
|
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|
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||||
Receivables
|
|
|
|
|
||||
Notes receivable from participants
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216,286,658
|
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220,276,490
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||
Receivables for securities sold
|
|
14,721,892
|
|
|
99,143
|
|
||
Accrued investment income and other receivables
|
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22,106,089
|
|
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22,324,941
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||
Total receivables
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253,114,639
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242,700,574
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||
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||||
Total assets
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16,170,431,392
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14,870,148,008
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||
Liabilities
|
|
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||||
Payable for securities purchased
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26,140,345
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5,655,844
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||
Accrued investment expenses and other payables
|
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1,536,261
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|
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2,019,569
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||
Total liabilities
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27,676,606
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7,675,413
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||
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|
|
|
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||||
Net assets available for benefits
|
|
$
|
16,142,754,786
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$
|
14,862,472,595
|
|
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|
2016
|
||
Additions to net assets attributable to:
|
|
|
||
|
|
|
||
Net appreciation of investments (Notes 2 and 3)
|
|
$
|
1,019,482,690
|
|
Interest and dividends
|
|
236,176,486
|
|
|
Interest income on notes receivable from participants (Note 2)
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|
7,378,368
|
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Other revenue (Note 5)
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12,746
|
|
|
|
|
|
||
Contributions
|
|
|
||
Employee contributions
|
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726,545,106
|
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Employer contributions
|
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285,761,674
|
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|
|
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1,012,306,780
|
|
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Total additions
|
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2,275,357,070
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|
|
|
|
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||
Deductions from net assets attributable to:
|
|
|
||
|
|
|
||
Distributions to participants
|
|
$
|
1,031,130,594
|
|
Administrative expenses
|
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9,843,050
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|
Total deductions
|
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1,040,973,644
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|
|
|
|
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||
Increase in net assets prior to plan mergers
|
|
1,234,383,426
|
|
|
Transfers in from affiliate benefit plans (Note 1)
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|
45,898,765
|
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|
Increase in net assets available for benefits
|
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1,280,282,191
|
|
|
Net assets, beginning of year
|
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14,862,472,595
|
|
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Net assets, end of year
|
|
$
|
16,142,754,786
|
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Level 1:
|
Quoted prices in active markets for identical assets or liabilities.
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Level 2:
|
Observable inputs, other than Level 1 prices, such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs that are observable or that we corroborate with observable market data for substantially the full term of the related assets or liabilities.
|
Level 3:
|
Unobservable inputs supported by little or no market activity that are significant to the fair value of the assets or liabilities.
|
|
Fair Value of Investment Assets as of 12/31/2016
|
||||||||||||||
|
Total
|
Level 1
|
Level 2
|
Level 3
|
Not Subject To Leveling
(1)
|
||||||||||
|
|
|
|
|
|
||||||||||
Registered investment companies
|
$
|
5,985,917,538
|
|
$
|
5,985,917,538
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
Self-directed brokerage account
|
528,817,922
|
|
528,817,922
|
|
—
|
|
—
|
|
—
|
|
|||||
Raytheon Company common stock
|
1,622,194,652
|
|
1,622,194,652
|
|
—
|
|
—
|
|
—
|
|
|||||
Common collective trusts
|
5,936,082,559
|
|
—
|
|
—
|
|
—
|
|
5,936,082,559
|
|
|||||
Total investments at fair value
|
$
|
14,073,012,671
|
|
$
|
8,136,930,112
|
|
$
|
—
|
|
$
|
—
|
|
$
|
5,936,082,559
|
|
|
Fair Value of Investment Assets as of 12/31/2015
|
||||||||||||||
|
Total
|
Level 1
|
Level 2
|
Level 3
|
Not Subject To Leveling
(1)
|
||||||||||
|
|
|
|
|
|
||||||||||
Registered investment companies
|
$
|
5,613,215,935
|
|
$
|
5,613,215,935
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
Self-directed brokerage account
|
495,413,917
|
|
495,413,917
|
|
—
|
|
—
|
|
—
|
|
|||||
Raytheon Company common stock
|
1,475,053,616
|
|
1,475,053,616
|
|
—
|
|
—
|
|
—
|
|
|||||
Common collective trusts
|
5,377,555,847
|
|
—
|
|
—
|
|
—
|
|
5,377,555,847
|
|
|||||
Total investments at fair value
|
$
|
12,961,239,315
|
|
$
|
7,583,683,468
|
|
$
|
—
|
|
$
|
—
|
|
$
|
5,377,555,847
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
Investment Contracts
|
|
|
|
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|
|||||
|
21st Centy Fox
|
|
6.9% 3/01/19
|
|
$
|
925,000
|
|
|
$
|
1,015,733
|
|
|
Abbott Lab
|
|
2.35% 11/30/19
|
|
2,515,000
|
|
|
2,516,720
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Abbott Lab
|
|
2.9% 11/30/21
|
|
2,240,000
|
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2,234,682
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||
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Abbvie Inc
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|
2% 11/6/18 WI
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|
2,680,000
|
|
|
2,685,615
|
|
||
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Abbvie Inc
|
|
2.3% 5/14/21
|
|
1,090,000
|
|
|
1,067,027
|
|
||
|
Abbvie Inc
|
|
2.5% 5/14/20
|
|
1,500,000
|
|
|
1,499,535
|
|
||
|
Abbvie Inc
|
|
2.9% 11/06/22 WI
|
|
800,000
|
|
|
789,299
|
|
||
|
Abbvie Inc
|
|
3.2% 11/06/22
|
|
535,000
|
|
|
534,747
|
|
||
|
Abbvie Inc
|
|
3.6% 5/14/25
|
|
835,000
|
|
|
825,978
|
|
||
|
ABN Amro Bk
|
|
2.5% 10/18 144A
|
|
2,645,000
|
|
|
2,665,843
|
|
||
|
Ace Ina Holding
|
|
2.3% 11/03/20
|
|
255,000
|
|
|
254,743
|
|
||
|
Ace Ina Holding
|
|
2.875% 11/22
|
|
2,490,000
|
|
|
2,507,582
|
|
||
|
Actavis Funding
|
|
2.35% 3/12/18
|
|
3,080,000
|
|
|
3,097,408
|
|
||
|
Actavis Funding
|
|
3% 3/12/20
|
|
333,000
|
|
|
337,451
|
|
||
|
Actavis Funding
|
|
3.45% 3/22
|
|
7,055,000
|
|
|
7,153,862
|
|
||
|
Aetna Inc
|
|
1.9% 6/07/19
|
|
775,000
|
|
|
773,023
|
|
||
|
Aetna Inc
|
|
2.4% 6/15/21
|
|
533,000
|
|
|
530,111
|
|
||
|
Aetna Inc
|
|
3.2% 6/15/26
|
|
2,705,000
|
|
|
2,672,026
|
|
||
|
Aetna Inc
|
|
4.125% 6/01/21
|
|
250,000
|
|
|
266,161
|
|
||
|
Agrium Inc
|
|
3.15% 10/01/22
|
|
250,000
|
|
|
248,270
|
|
||
|
Aid Glbl
|
|
5.5 4/26/24
|
|
6,130,000
|
|
|
7,339,633
|
|
||
|
Aid Ukraine
|
|
1.471% 9/29/21
|
|
800,000
|
|
|
780,995
|
|
||
|
AIG Intl Grp
|
|
4.875% 6/01/22
|
|
600,000
|
|
|
654,995
|
|
||
|
Air Liquid
|
|
1.75% 9/27/21 144A
|
|
1,080,000
|
|
|
1,037,003
|
|
||
|
Alabama Econ
|
|
3.163% 9/15/25
|
|
445,000
|
|
|
448,849
|
|
||
|
Alberta Province
|
|
1.9% 12/6/19
|
|
4,420,000
|
|
|
4,426,767
|
|
||
|
Allya
|
|
2015-1 A3 1.39% 9/19
|
|
528,000
|
|
|
528,399
|
|
||
|
Allyl
|
|
2015-SN1 A3 1.21% 3/17
|
|
64,263
|
|
|
64,267
|
|
||
|
Altria Group Inc
|
|
2.85% 8/09/22
|
|
520,000
|
|
|
520,064
|
|
||
|
Altria Group Inc
|
|
9.25% 8/06/19
|
|
40,000
|
|
|
47,179
|
|
||
|
American Ex Crd
|
|
2.125% 3/18/19
|
|
805,000
|
|
|
807,900
|
|
||
|
American Express
|
|
2.25% 5/05/21
|
|
1,000,000
|
|
|
987,259
|
|
||
|
American Honda
|
|
1.65% 7/12/21
|
|
900,000
|
|
|
865,953
|
|
||
|
American Honda
|
|
1.7% 02/22/19
|
|
411,000
|
|
|
409,223
|
|
||
|
American Honda
|
|
1.7% 9/9/21
|
|
500,000
|
|
|
482,071
|
|
||
|
American Intl
|
|
5.85% 1/16/18
|
|
500,000
|
|
|
521,325
|
|
||
|
American Intl Group
|
|
2.3% 7/19
|
|
2,155,000
|
|
|
2,164,258
|
|
||
|
American Intl Group
|
|
3.3% 3/01/21
|
|
2,000,000
|
|
|
2,046,902
|
|
||
|
American Tower
|
|
3.4% 2/15/19
|
|
1,510,000
|
|
|
1,542,583
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
American Tower
|
|
4.5% 1/15/18
|
|
2,315,000
|
|
|
2,375,836
|
|
||
|
Amgen Inc
|
|
1.85% 8/19/21
|
|
745,000
|
|
|
717,110
|
|
||
|
Amgen Inc
|
|
4.1% 6/15/21
|
|
2,255,000
|
|
|
2,375,187
|
|
||
|
Amxca
|
|
2014-4 A 1.43% 6/20
|
|
1,158,000
|
|
|
1,159,919
|
|
||
|
Anheuser Busch
|
|
2.2% 8/18
|
|
450,000
|
|
|
452,964
|
|
||
|
Anheuser Busch
|
|
2.5% 7/15/22
|
|
3,208,000
|
|
|
3,153,875
|
|
||
|
Anheuser Busch
|
|
6.875% 11/19
|
|
1,245,000
|
|
|
1,407,902
|
|
||
|
Anhueser-Busch
|
|
2.65% 2/01/21
|
|
3,530,000
|
|
|
3,546,196
|
|
||
|
Anhueser-Busch
|
|
3.3% 2/01/23
|
|
1,501,000
|
|
|
1,526,050
|
|
||
|
Anhueser-Busch
|
|
1.9% 2/01/19
|
|
900,000
|
|
|
901,091
|
|
||
|
Apple Inc
|
|
1% 5/03/18
|
|
1,713,000
|
|
|
1,706,330
|
|
||
|
Apple Inc
|
|
2.85% 5/06/21
|
|
660,000
|
|
|
674,880
|
|
||
|
Arch Cap Fin
|
|
4.011% 12/15/26
|
|
375,000
|
|
|
379,842
|
|
||
|
AT&T Inc
|
|
1.6% 2/15/17
|
|
1,200,000
|
|
|
1,200,323
|
|
||
|
AT&T Inc
|
|
2.45% 6/30/20
|
|
502,000
|
|
|
498,149
|
|
||
|
AT&T Inc
|
|
2.8% 2/17/21
|
|
6,360,000
|
|
|
6,304,274
|
|
||
|
AT&T Inc
|
|
3% 6/30/22
|
|
580,000
|
|
|
568,724
|
|
||
|
AT&T Inc
|
|
3.4% 5/15/25
|
|
4,725,000
|
|
|
4,548,091
|
|
||
|
AT&T Inc
|
|
3.8% 3/15/22
|
|
590,000
|
|
|
604,225
|
|
||
|
AT&T Inc
|
|
5% 3/01/21
|
|
1,000,000
|
|
|
1,074,646
|
|
||
|
Atmos Energy
|
|
6.35% 6/15/17
|
|
126,000
|
|
|
128,869
|
|
||
|
Aust & Nz Bkg Ny
|
|
2.25% 6/13/19
|
|
650,000
|
|
|
651,829
|
|
||
|
Australia & Nz
|
|
1.45% 5/15/18
|
|
460,000
|
|
|
457,847
|
|
||
|
Australia & Nz
|
|
2.7% 11/16/20
|
|
1,690,000
|
|
|
1,695,766
|
|
||
|
Avalonbay Comm
|
|
3.625% 10/1/20
|
|
209,000
|
|
|
216,870
|
|
||
|
Avmt
|
|
2013 Avm A 3.7427% 12/32
|
|
2,415,000
|
|
|
2,537,844
|
|
||
|
Axis Specialty
|
|
5.875% 6/01/20
|
|
2,150,000
|
|
|
2,355,104
|
|
||
|
Baact
|
|
2016-A1 A 1Ml+39 10/21
|
|
4,300,000
|
|
|
4,312,549
|
|
||
|
BACCT
|
|
2014-A3 A 1ML+29 1/20
|
|
5,000,000
|
|
|
5,003,471
|
|
||
|
BACCT
|
|
2015-A1 A 1Ml+33 6/20
|
|
2,850,000
|
|
|
2,853,828
|
|
||
|
BACM
|
|
2007-4 A4 CSTR 2/51
|
|
3,786,020
|
|
|
3,838,356
|
|
||
|
BACM
|
|
2016-Ub10 A2 2.612% 06/49
|
|
534,000
|
|
|
539,316
|
|
||
|
Bank Amer
|
|
5.65% 5/01/18
|
|
4,525,000
|
|
|
4,740,458
|
|
||
|
Bank Amer Fdg
|
|
2.25% 4/21/20
|
|
2,000,000
|
|
|
1,986,998
|
|
||
|
Bank Amer Fdg C
|
|
3.3% 1/11/23
|
|
1,700,000
|
|
|
1,703,990
|
|
||
|
Bank Amer Fdg C
|
|
3.95% 4/21/25
|
|
1,120,000
|
|
|
1,113,522
|
|
||
|
Bank Amer Fdg C
|
|
4.2% 8/26/24
|
|
1,260,000
|
|
|
1,282,045
|
|
||
|
Bank Amer Fdg Crp
|
|
2.6% 1/15/19
|
|
3,750,000
|
|
|
3,780,728
|
|
||
|
Bank Amer Na
|
|
1.75% 6/05/18
|
|
500,000
|
|
|
499,903
|
|
||
|
Bank America Corp
|
|
2.65% 4/01/19
|
|
1,890,000
|
|
|
1,909,229
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Bank Montmtn Be
|
|
1.45% 4/09/18
|
|
1,075,000
|
|
|
1,072,316
|
|
||
|
Bank Nova Scotia
|
|
2.45% 3/22/21
|
|
2,000,000
|
|
|
1,990,100
|
|
||
|
Bank Of America
|
|
2.625% 4/19/21
|
|
1,500,000
|
|
|
1,488,423
|
|
||
|
Bank Of America
|
|
3.5% 4/19/26
|
|
1,275,000
|
|
|
1,256,204
|
|
||
|
Bank Of America
|
|
4.45% 3/03/26
|
|
540,000
|
|
|
555,729
|
|
||
|
Bank Of America
|
|
6% 9/01/17
|
|
1,065,000
|
|
|
1,095,826
|
|
||
|
Bank Of America Cor
|
|
5.7% 1/22
|
|
640,000
|
|
|
718,191
|
|
||
|
Bank Of America Crp Mtn
|
|
2% 1/18
|
|
450,000
|
|
|
451,004
|
|
||
|
Bank Of Montreal
|
|
1.5% 7/18/19
|
|
1,830,000
|
|
|
1,805,235
|
|
||
|
Bank Of New York Co
|
|
2.05% 5/21
|
|
2,070,000
|
|
|
2,029,921
|
|
||
|
Bank T-M Ufj
|
|
2.7% 9/09/18 144A
|
|
1,450,000
|
|
|
1,464,455
|
|
||
|
Bank Tokyo-Msb
|
|
2.3% 3/20 144A
|
|
380,000
|
|
|
375,538
|
|
||
|
Banque Ctr Tunisie
|
|
1.416% 8/21
|
|
600,000
|
|
|
584,640
|
|
||
|
Barclays Plc
|
|
2.875% 6/20
|
|
1,015,000
|
|
|
1,006,426
|
|
||
|
Barclays Plc
|
|
3.2% 08/10/21
|
|
1,000,000
|
|
|
988,391
|
|
||
|
Barclays Plc
|
|
4.375% 1/12/26
|
|
930,000
|
|
|
941,924
|
|
||
|
Barclays Plc
|
|
2.75% 11/08/19
|
|
334,000
|
|
|
333,118
|
|
||
|
Bat Intl Fin
|
|
2.75% 6/20 144A
|
|
2,400,000
|
|
|
2,411,150
|
|
||
|
Bat Intl Fin
|
|
3.5% 6/22 144A
|
|
500,000
|
|
|
511,927
|
|
||
|
Baxalta Inc
|
|
3.6% 6/23/22
|
|
715,000
|
|
|
719,734
|
|
||
|
Bayer Us Fin
|
|
2.375% 10/19 144 A
|
|
1,000,000
|
|
|
1,001,296
|
|
||
|
Bayer Us Fin
|
|
3% 10/08/21 144A
|
|
1,115,000
|
|
|
1,120,065
|
|
||
|
BB&T Corp
|
|
2.25% 2/01/19
|
|
140,000
|
|
|
141,042
|
|
||
|
BB&T Corporation
|
|
6.85% 4/19
|
|
9,000
|
|
|
9,971
|
|
||
|
Bear
|
|
7.25% 2/01/18
|
|
1,350,000
|
|
|
1,428,458
|
|
||
|
Becton Dickinso
|
|
2.675% 12/19
|
|
105,000
|
|
|
106,481
|
|
||
|
Belgium Govt
|
|
1.125% 8/19 Rgs
|
|
1,000,000
|
|
|
984,388
|
|
||
|
Berkley Wr Corp
|
|
5.375% 9/15/20
|
|
1,300,000
|
|
|
1,392,086
|
|
||
|
Berkley Wr Corpmtn
|
|
7.375% 9/19
|
|
700,000
|
|
|
784,788
|
|
||
|
Berkshire Eng
|
|
2.4% 2/20
|
|
2,000,000
|
|
|
2,004,216
|
|
||
|
Bhp Billiton Fn Ltd
|
|
3.85% 9/23
|
|
1,390,000
|
|
|
1,469,497
|
|
||
|
Bk Tk-Mtltd
|
|
3.75% 3/10/24 144A
|
|
1,290,000
|
|
|
1,333,223
|
|
||
|
Bmw Us Cap
|
|
1.85% 9/15/21 144A
|
|
1,075,000
|
|
|
1,037,061
|
|
||
|
Bmw Us Capital
|
|
2% 4/11/21 144A
|
|
1,825,000
|
|
|
1,789,493
|
|
||
|
Bmwlt
|
|
2015-1 A3 1.24% 12/17
|
|
429,147
|
|
|
429,258
|
|
||
|
Bmwot
|
|
2016-A A3 1.41% 7/20
|
|
1,439,000
|
|
|
1,425,014
|
|
||
|
Bnp Pariba
|
|
2.45% 3/17/19
|
|
1,351,000
|
|
|
1,361,196
|
|
||
|
Bp Cap Mkts
|
|
1.674% 2/18
|
|
1,330,000
|
|
|
1,331,184
|
|
||
|
Bp Cap Mkts
|
|
1.676% 5/03/19
|
|
203,000
|
|
|
201,513
|
|
||
|
Bp Cap Mkts
|
|
2.241% 9/26/18
|
|
1,065,000
|
|
|
1,072,768
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Bp Cap Mkts
|
|
3.017% 1/16/27
|
|
1,095,000
|
|
|
1,056,158
|
|
||
|
Bp Cap Mkts
|
|
3.245% 5/06/22
|
|
625,000
|
|
|
637,542
|
|
||
|
Bpce Sa
|
|
2.5% 12/10/18
|
|
1,000,000
|
|
|
1,008,566
|
|
||
|
Bpce Sa
|
|
2.5% 7/15/19
|
|
1,300,000
|
|
|
1,306,780
|
|
||
|
Bpce Sa Mtn
|
|
2.25% 1/27/20
|
|
1,500,000
|
|
|
1,488,231
|
|
||
|
Bpcm
|
|
1.375% 5/10/18
|
|
609,000
|
|
|
607,032
|
|
||
|
British Telecom Plc
|
|
2.35% 2/19
|
|
1,356,000
|
|
|
1,363,411
|
|
||
|
BSCMS
|
|
2007-T26 A4 CSTR 1/45
|
|
1,404,796
|
|
|
1,406,269
|
|
||
|
BSCMS
|
|
2007-T28 A1A 5.71% 9/42
|
|
1,743,995
|
|
|
1,785,531
|
|
||
|
Burlington North San
|
|
4.1% 6/21
|
|
2,000,000
|
|
|
2,129,978
|
|
||
|
BWSTA
|
|
2015-1 A3 1.31% 10/19
|
|
4,300,000
|
|
|
4,302,714
|
|
||
|
Caf
|
|
2% 05/10/19
|
|
1,000,000
|
|
|
993,483
|
|
||
|
Cameron Intl Crp
|
|
4.5% 6/01/21
|
|
1,490,000
|
|
|
1,539,149
|
|
||
|
Can Natural Res
|
|
3.45% 11/15/21
|
|
525,000
|
|
|
536,185
|
|
||
|
Capital One
|
|
2.25% 2/13/19
|
|
910,000
|
|
|
913,742
|
|
||
|
Capital One
|
|
2.25% 9/13/21
|
|
1,445,000
|
|
|
1,408,570
|
|
||
|
Capital One
|
|
2.45% 4/24/19
|
|
1,054,000
|
|
|
1,060,268
|
|
||
|
Capital One
|
|
2.95% 7/23/21
|
|
965,000
|
|
|
967,716
|
|
||
|
Capital One
|
|
3.375% 2/15/23
|
|
2,710,000
|
|
|
2,681,876
|
|
||
|
Capital One
|
|
3.75% 4/24/24
|
|
860,000
|
|
|
870,197
|
|
||
|
Capital One
|
|
6.75% 9/15/17
|
|
18,000
|
|
|
18,642
|
|
||
|
Cardinal Health
|
|
2.4% 11/15/19
|
|
1,500,000
|
|
|
1,510,193
|
|
||
|
Carmx
|
|
16-4 A3 1.4% 8/21
|
|
740,000
|
|
|
732,071
|
|
||
|
Carmx
|
|
2015-2 A3 1.37% 3/20
|
|
2,030,000
|
|
|
2,030,554
|
|
||
|
Carmx
|
|
15-3 A2B 1ML+45 11/18
|
|
604,315
|
|
|
604,589
|
|
||
|
Carmx
|
|
16-1 A2B 1Ml+65 4/19
|
|
1,366,644
|
|
|
1,368,791
|
|
||
|
Carmx
|
|
16-2 A2B 1Ml+.47 6/17/19
|
|
1,794,587
|
|
|
1,797,105
|
|
||
|
Carmx
|
|
2014-4 A3 1.25% 11/19
|
|
2,474,962
|
|
|
2,474,123
|
|
||
|
Carmx
|
|
2015-1 A3 1.38% 11/19
|
|
1,364,425
|
|
|
1,364,906
|
|
||
|
Carmx
|
|
2015-3 A3 1.63% 6/20
|
|
363,000
|
|
|
363,943
|
|
||
|
Carmx
|
|
2016-2 A3 1.52% 2/21
|
|
1,615,000
|
|
|
1,607,824
|
|
||
|
CBS Corp
|
|
4.3% 2/15/21
|
|
770,000
|
|
|
815,697
|
|
||
|
CCART
|
|
16-Aa A2 1.47% 4/19 144A
|
|
1,612,396
|
|
|
1,613,964
|
|
||
|
CCART
|
|
2015-BA A2 1.48% 12/18
|
|
1,226,613
|
|
|
1,227,254
|
|
||
|
CCCIT
|
|
13-A2 A2 1193476+0.28% 05
|
|
1,600,000
|
|
|
1,601,591
|
|
||
|
CCCIT
|
|
2014 A2 1.02% 2/19
|
|
5,700,000
|
|
|
5,699,779
|
|
||
|
CCCIT
|
|
2014-A6 A6 2.15% 7/21
|
|
751,000
|
|
|
756,887
|
|
||
|
CCCIT
|
|
2016-A1 A1 0% 11/21
|
|
1,073,000
|
|
|
1,068,273
|
|
||
|
Cco Llc/Capital
|
|
4.464% 7/23/22
|
|
3,445,000
|
|
|
3,596,456
|
|
||
|
CD
|
|
2007-CD5 A1A 5.8% 11/44
|
|
3,672,781
|
|
|
3,745,218
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Cdp Finl Inc
|
|
3.15% 7/24 144A
|
|
1,765,000
|
|
|
1,787,481
|
|
||
|
Cdp Finl Inc
|
|
4.4% 11/25/19 144A
|
|
1,300,000
|
|
|
1,386,184
|
|
||
|
Celgene Corp
|
|
1.9% 8/15/17
|
|
720,000
|
|
|
722,272
|
|
||
|
Celgene Corp
|
|
2.125% 8/15/18
|
|
343,000
|
|
|
344,318
|
|
||
|
CGCMT
|
|
13-GC11 A1 0.672% 12/17
|
|
70,269
|
|
|
70,112
|
|
||
|
CGCMT
|
|
2015-GC29 A2 2.674% 4/48
|
|
366,000
|
|
|
371,142
|
|
||
|
CGCMT
|
|
2016-P4 A2 2.446% 7/49
|
|
197,000
|
|
|
197,472
|
|
||
|
CHAIT
|
|
07-A2 A2 1193476+0.05% 04
|
|
1,000,000
|
|
|
1,000,000
|
|
||
|
CHAIT
|
|
13-A6 A6 1193476+0.42% 07
|
|
3,797,000
|
|
|
3,809,788
|
|
||
|
CHAIT
|
|
15-A7 A7 1.62% 7/20
|
|
993,000
|
|
|
994,986
|
|
||
|
CHAIT
|
|
16-A1 A1 1Ml+0 05/21
|
|
3,900,000
|
|
|
3,912,186
|
|
||
|
CHAIT
|
|
2014-A7 A 1.38% 11/19
|
|
993,000
|
|
|
993,863
|
|
||
|
CHAIT
|
|
2015-A2 A 1.59% 2/20
|
|
850,000
|
|
|
852,420
|
|
||
|
CHAIT
|
|
2015-A5 A 1.35% 4/20
|
|
750,000
|
|
|
749,559
|
|
||
|
CHAIT
|
|
2016-A2 A 1.37% 6/15/21
|
|
1,048,000
|
|
|
1,037,893
|
|
||
|
CHAIT
|
|
2016-A5 A5 1.27% 7/21
|
|
1,090,000
|
|
|
1,075,465
|
|
||
|
Chevron Corp Ne
|
|
1.104% 12/5/17
|
|
41,000
|
|
|
40,905
|
|
||
|
Chevron Corp New
|
|
1.961% 3/20
|
|
375,000
|
|
|
373,772
|
|
||
|
Chevron Phil
|
|
2.45% 5/01/20 144A
|
|
347,000
|
|
|
344,405
|
|
||
|
CIBC
|
|
1.6% 9/06/19
|
|
995,000
|
|
|
984,623
|
|
||
|
Cigna
|
|
4% 2/15/22
|
|
1,670,000
|
|
|
1,743,042
|
|
||
|
Cigna Mtn
|
|
5.125% 6/15/20
|
|
1,350,000
|
|
|
1,461,605
|
|
||
|
Cisco Systems
|
|
1.85% 9/20/21
|
|
1,000,000
|
|
|
975,312
|
|
||
|
Citigroup
|
|
2.15% 7/18
|
|
300,000
|
|
|
300,942
|
|
||
|
Citigroup Inc
|
|
1.7% 4/27/18
|
|
2,000,000
|
|
|
1,995,308
|
|
||
|
Citigroup Inc
|
|
1.75% 5/01/18
|
|
1,000,000
|
|
|
997,727
|
|
||
|
Citigroup Inc
|
|
2.35% 8/02/21
|
|
1,000,000
|
|
|
977,299
|
|
||
|
Citigroup Inc
|
|
2.7% 3/30/21
|
|
2,500,000
|
|
|
2,492,158
|
|
||
|
Citigroup Inc
|
|
3.3% 4/27/25
|
|
780,000
|
|
|
763,180
|
|
||
|
Citigroup Inc
|
|
3.7% 1/12/26
|
|
3,670,000
|
|
|
3,646,039
|
|
||
|
Citigroup Inc
|
|
4.4% 6/10/25
|
|
1,080,000
|
|
|
1,103,480
|
|
||
|
Citigroup Inc
|
|
4.45% 9/29/27
|
|
965,000
|
|
|
981,089
|
|
||
|
Citigroup Inc
|
|
4.5% 1/14/22
|
|
755,000
|
|
|
804,188
|
|
||
|
Citigroup Inc
|
|
2.55% 4/08/19
|
|
1,100,000
|
|
|
1,108,524
|
|
||
|
Citizens Bank Na
|
|
2.55% 5/13/21
|
|
3,925,000
|
|
|
3,897,490
|
|
||
|
Citizens Bk Mtn
|
|
2.45% 12/04/19
|
|
590,000
|
|
|
591,697
|
|
||
|
Citizens Bk Mtn
|
|
2014-GC21 A3 3.493% 5/47
|
|
2,620,000
|
|
|
2,708,824
|
|
||
|
Citizens Fincl
|
|
2.375% 7/28/21
|
|
76,000
|
|
|
74,460
|
|
||
|
Cleveland Elec
|
|
7.88% 11/01/17
|
|
14,000
|
|
|
14,724
|
|
||
|
Clmt
|
|
2016-Clne A Cstr 12/31
|
|
3,100,000
|
|
|
3,063,949
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Colgate-Palmolive
|
|
0.9% 5/01/18
|
|
596,000
|
|
|
592,848
|
|
||
|
Comcast Corp
|
|
1.625% 1/15/22
|
|
1,604,000
|
|
|
1,534,722
|
|
||
|
Comcast Corp Glb
|
|
5.875% 2/15/18
|
|
1,834,000
|
|
|
1,922,727
|
|
||
|
Comerica Inc
|
|
2.125% 5/23/19
|
|
267,000
|
|
|
266,500
|
|
||
|
Comet
|
|
2014-A5 A 1.48% 7/20
|
|
1,650,000
|
|
|
1,653,409
|
|
||
|
Comet
|
|
2015-A1 A 1.39% 1/21
|
|
770,000
|
|
|
769,640
|
|
||
|
Comet
|
|
2015-A5 A5 1.59% 5/21
|
|
1,100,000
|
|
|
1,103,032
|
|
||
|
Comet
|
|
2015-A7 A7 1.45% 8/21
|
|
271,000
|
|
|
270,434
|
|
||
|
Comet
|
|
2016-A3 A3 1.34% 4/22
|
|
1,060,000
|
|
|
1,048,269
|
|
||
|
Comet
|
|
2016-A4 A4 1.33% 6/15/22
|
|
868,000
|
|
|
856,357
|
|
||
|
Comet
|
|
2014-A2 A2 1.26% 1/20
|
|
890,000
|
|
|
890,494
|
|
||
|
Comm
|
|
13-Cr12 A4 4.046% 10/46
|
|
3,600,000
|
|
|
3,845,186
|
|
||
|
Comm
|
|
15-Ccre24 A4 3.432% 8/55
|
|
4,300,000
|
|
|
4,387,650
|
|
||
|
Comm
|
|
2007-C9 A4 Cstr 12/49
|
|
345,924
|
|
|
348,720
|
|
||
|
Comm
|
|
2010-C1 A3 4.205 7/46
|
|
1,480,000
|
|
|
1,569,309
|
|
||
|
Comm
|
|
2012-CR1 A2 2.35% 5/45
|
|
175,880
|
|
|
175,893
|
|
||
|
Comm
|
|
2012-Cr3 Asb 2.372% 11/45
|
|
353,000
|
|
|
354,813
|
|
||
|
Comm
|
|
2012-Lc4 A4 3.288% 12/44
|
|
282,000
|
|
|
292,894
|
|
||
|
Comm
|
|
2013-Cr8 A2 2.367% 6/46
|
|
2,630,000
|
|
|
2,655,938
|
|
||
|
Comm
|
|
2013-LC6 A1 0.7240% 1/46
|
|
29,308
|
|
|
29,272
|
|
||
|
Comm
|
|
2014-CR17 A2 3.012% 5/47
|
|
630,000
|
|
|
643,131
|
|
||
|
Comm
|
|
2014-UBS4 A2 2.963% 8/47
|
|
2,080,000
|
|
|
2,119,976
|
|
||
|
Comm
|
|
2015-Cr22 A2 2.856% 3/48
|
|
262,000
|
|
|
266,853
|
|
||
|
Comm
|
|
2015-Cr25 A3 3.505% 8/48
|
|
4,000,000
|
|
|
4,105,121
|
|
||
|
Comm
|
|
2015-Dc1 A4 3.078% 2/48
|
|
3,000,000
|
|
|
2,978,419
|
|
||
|
Comm
|
|
2015-Pc1 A3 3.725% 7/50
|
|
4,000,000
|
|
|
4,139,974
|
|
||
|
Commonwealth Edi
|
|
3.4% 9/01/21
|
|
1,615,000
|
|
|
1,674,417
|
|
||
|
Commonwealth NY
|
|
2.25% 3/13/19
|
|
2,004,000
|
|
|
2,010,952
|
|
||
|
Commonwealth NY
|
|
2.4% 11/02/20
|
|
940,000
|
|
|
933,303
|
|
||
|
Commonwealth NY
|
|
2.5% 9/20/18
|
|
1,985,000
|
|
|
2,007,131
|
|
||
|
Commwlth Bk Astl Nyb
|
|
2.3% 3/20
|
|
770,000
|
|
|
765,603
|
|
||
|
Comwlth Edison
|
|
2.15% 1/15/19
|
|
177,000
|
|
|
177,600
|
|
||
|
ConocoPhillip Co
|
|
2.2% 5/15/20
|
|
438,000
|
|
|
434,358
|
|
||
|
Consolidated Edison
|
|
2% 5/15/21
|
|
311,000
|
|
|
303,679
|
|
||
|
Corp Andina
|
|
2.125% 9/27/21
|
|
830,000
|
|
|
803,581
|
|
||
|
Coventry Health
|
|
5.95% 3/15/17
|
|
1,000,000
|
|
|
1,009,846
|
|
||
|
Coventry Hlth
|
|
5.45% 6/15/21
|
|
300,000
|
|
|
332,870
|
|
||
|
Credit Suisse
|
|
3.125% 12/20
|
|
1,250,000
|
|
|
1,245,114
|
|
||
|
Credit Suisse GG
|
|
3.45% 4/16/21
|
|
3,000,000
|
|
|
3,016,383
|
|
||
|
Credit Suisse NY
|
|
1.7% 4/27/18
|
|
2,175,000
|
|
|
2,169,897
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Credit Suisse NY
|
|
1.75% 1/29/18
|
|
1,275,000
|
|
|
1,272,321
|
|
||
|
Credit Suisse NY
|
|
3% 10/29/21
|
|
2,280,000
|
|
|
2,299,590
|
|
||
|
CVS Caremark
|
|
2.25% 12/05/18
|
|
784,000
|
|
|
790,717
|
|
||
|
CVS Health
|
|
1.9% 7/20/18
|
|
2,065,000
|
|
|
2,072,591
|
|
||
|
CVS Health
|
|
2.125% 6/01/21
|
|
1,000,000
|
|
|
982,500
|
|
||
|
CVS Health
|
|
2.8% 7/20/20
|
|
1,338,000
|
|
|
1,357,349
|
|
||
|
CVS Health
|
|
3.5% 7/20/22
|
|
7,295,000
|
|
|
7,487,741
|
|
||
|
CWCI
|
|
2007-C2 A3 5.484% 4/47
|
|
236,396
|
|
|
237,011
|
|
||
|
Daimler Fin
|
|
1.5% 7/05/19 144A
|
|
1,000,000
|
|
|
983,447
|
|
||
|
Daimler Fin
|
|
1.875% 1/18 144A
|
|
950,000
|
|
|
951,192
|
|
||
|
Daimler Fin
|
|
2.25% 3/20 144A
|
|
387,000
|
|
|
384,971
|
|
||
|
Daimler Fin
|
|
2.45% 5/20 144A
|
|
3,250,000
|
|
|
3,241,228
|
|
||
|
Danaher Corp
|
|
2.4% 9/15/20
|
|
135,000
|
|
|
135,185
|
|
||
|
Dbubs
|
|
2011-Lc2A A4 4.537% 7/44
|
|
735,000
|
|
|
791,987
|
|
||
|
DCENT
|
|
16-A2 A2 1Ml+55 9/21
|
|
1,500,000
|
|
|
1,508,831
|
|
||
|
DCENT
|
|
2012-A6 A6 1.67% 1/22
|
|
1,409,000
|
|
|
1,403,640
|
|
||
|
DCENT
|
|
2014-A5 A 1.39% 4/20
|
|
2,630,000
|
|
|
2,633,901
|
|
||
|
DCENT
|
|
2015-A2 A 1.90% 10/22
|
|
1,000,000
|
|
|
995,760
|
|
||
|
DCENT
|
|
2015-A4 A4 2.19% 4/23
|
|
550,000
|
|
|
550,677
|
|
||
|
DCENT
|
|
2016-A1 A1 1.64% 7/21
|
|
760,000
|
|
|
759,823
|
|
||
|
DCENT
|
|
2016-A4 A4 1.39% 3/15/22
|
|
873,000
|
|
|
863,035
|
|
||
|
Deutsche Bank Ag
|
|
2.85% 5/10/19
|
|
1,060,000
|
|
|
1,055,075
|
|
||
|
Deutsche Bank Ag
|
|
2.5% 2/13/19
|
|
913,000
|
|
|
905,355
|
|
||
|
Deutsche Bk Ag
|
|
3.375% 5/12/21
|
|
1,760,000
|
|
|
1,740,709
|
|
||
|
Deutsche Tel Fi
|
|
1.95% 9/19/21
|
|
1,340,000
|
|
|
1,289,968
|
|
||
|
Devon Energy Co
|
|
3.25% 5/15/22
|
|
1,000,000
|
|
|
992,618
|
|
||
|
Dexia Crdt
|
|
1.875% 9/15/21 144A
|
|
750,000
|
|
|
723,071
|
|
||
|
Diamond
|
|
1 Fi 3.48% 6/01/19 144A
|
|
1,785,000
|
|
|
1,821,678
|
|
||
|
Diamond
|
|
1/2 Fin 4.42% 6/15/21
|
|
670,000
|
|
|
692,694
|
|
||
|
Discover
|
|
2% 2/21/18
|
|
4,675,000
|
|
|
4,673,579
|
|
||
|
Discover
|
|
2.6% 11/13/18
|
|
500,000
|
|
|
504,241
|
|
||
|
Discover
|
|
3.1% 6/20
|
|
1,247,000
|
|
|
1,261,096
|
|
||
|
Discover
|
|
3.45% 7/27/26
|
|
250,000
|
|
|
241,049
|
|
||
|
Discover
|
|
3.75% 3/04/25
|
|
1,190,000
|
|
|
1,161,941
|
|
||
|
Dominion Gas Hldgs
|
|
2.5% 12/19
|
|
1,200,000
|
|
|
1,212,500
|
|
||
|
Dominion Res Inc
|
|
1.6% 8/15/19
|
|
262,000
|
|
|
257,889
|
|
||
|
Dominion Resource
|
|
1.9% 6/15/18
|
|
400,000
|
|
|
400,146
|
|
||
|
Dominion Resource
|
|
2% 8/15/21
|
|
429,000
|
|
|
415,645
|
|
||
|
Dominion Resource
|
|
6.4% 6/15/18
|
|
1,199,000
|
|
|
1,271,441
|
|
||
|
Dow Chemical
|
|
3% 11/15/22
|
|
1,425,000
|
|
|
1,424,021
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Duke Energy
|
|
1.8% 9/01/21
|
|
245,000
|
|
|
235,786
|
|
||
|
Duke Energy Cor
|
|
1.625% 8/15/17
|
|
855,000
|
|
|
856,344
|
|
||
|
Duke Energy Cor
|
|
2.1% 6/15/18
|
|
364,000
|
|
|
365,495
|
|
||
|
Duke Energy Ind
|
|
3.75% 7/15/20
|
|
1,000,000
|
|
|
1,048,566
|
|
||
|
Ecolab Inc
|
|
4.35% 12/08/21
|
|
770,000
|
|
|
831,314
|
|
||
|
Electronic Arts
|
|
3.7% 3/01/21
|
|
1,080,000
|
|
|
1,115,684
|
|
||
|
Emera Us Fin
|
|
3.55% 6/26 144A
|
|
645,000
|
|
|
633,135
|
|
||
|
Enlink Midstrm Lp
|
|
2.7% 4/01/19
|
|
660,000
|
|
|
660,285
|
|
||
|
Entergy Corp
|
|
4% 7/15/22
|
|
850,000
|
|
|
887,909
|
|
||
|
Enterprise Prod
|
|
2.85% 4/15/21
|
|
323,000
|
|
|
325,183
|
|
||
|
Enterprise Prod
|
|
3.7% 2/26
|
|
275,000
|
|
|
275,619
|
|
||
|
Enterprise Prod
|
|
3.75% 2/15/25
|
|
615,000
|
|
|
624,106
|
|
||
|
Enterprise Prod
|
|
3.9% 2/15/24
|
|
1,335,000
|
|
|
1,375,378
|
|
||
|
Enterprise Prod
|
|
3.95% 2/15/27
|
|
390,000
|
|
|
398,920
|
|
||
|
Erac USA Fin
|
|
2.8% 11/01/18 144A
|
|
220,000
|
|
|
222,715
|
|
||
|
Erac USA Fin
|
|
3.85% 11/24 144A
|
|
225,000
|
|
|
228,385
|
|
||
|
Erac USA Llc
|
|
3.3% 10/22 144A
|
|
745,000
|
|
|
745,704
|
|
||
|
Erp Operat Lp
|
|
4.625% 12/15/21
|
|
15,000
|
|
|
16,278
|
|
||
|
Erp Operating Lp
|
|
2.375% 7/19
|
|
286,000
|
|
|
288,135
|
|
||
|
Eversource Energy
|
|
2.5% 3/15/21
|
|
1,000,000
|
|
|
992,048
|
|
||
|
Exelon Corp
|
|
1.55% 6/09/17
|
|
75,000
|
|
|
74,862
|
|
||
|
Exelon Corp
|
|
2.85% 6/15/20
|
|
1,111,000
|
|
|
1,122,222
|
|
||
|
Exelon Gen Llc
|
|
4.25% 6/15/22
|
|
1,290,000
|
|
|
1,333,901
|
|
||
|
Express Scrip Hd
|
|
2.25% 6/15/19
|
|
2,010,000
|
|
|
2,009,250
|
|
||
|
Exxon Mobil Corp
|
|
2.222% 3/01/21
|
|
810,000
|
|
|
809,798
|
|
||
|
Exxon Mobil Corp
|
|
2.726% 3/01/23
|
|
632,000
|
|
|
633,514
|
|
||
|
FHLB
|
|
0.875% 5/24/17
|
|
565,000
|
|
|
565,285
|
|
||
|
FHLG
|
|
10.00% 10/30 #G20027
|
|
140,032
|
|
|
152,673
|
|
||
|
FHLG
|
|
15YR 2.5% 6/23#G14775
|
|
169,421
|
|
|
171,353
|
|
||
|
FHLG
|
|
15YR 2.5% 9/22#J20415
|
|
85,939
|
|
|
88,128
|
|
||
|
FHLG
|
|
15Yr 3% 5/29#J29409
|
|
1,853,156
|
|
|
1,910,271
|
|
||
|
FHLG
|
|
15Yr 3.5% 2/30#G18542
|
|
2,527,913
|
|
|
2,644,927
|
|
||
|
FHLG
|
|
15Yr 3.5% 8/30#G15273
|
|
723,758
|
|
|
756,695
|
|
||
|
FHLG
|
|
15YR 3.50% 10/26 #G14450
|
|
1,553,126
|
|
|
1,624,776
|
|
||
|
FHLG
|
|
15YR 4.00% 4/26 #E02867
|
|
87,393
|
|
|
92,736
|
|
||
|
FHLG
|
|
15YR 4.00% 6/18 #E96973
|
|
18,578
|
|
|
19,127
|
|
||
|
FHLG
|
|
15YR 4.00% 6/24 #G18312
|
|
178,594
|
|
|
188,260
|
|
||
|
FHLG
|
|
15YR 4.00% 7/24 #G13596
|
|
141,190
|
|
|
148,832
|
|
||
|
FHLG
|
|
15YR 4.00% 9/25 #E02787
|
|
168,803
|
|
|
180,705
|
|
||
|
FHLG
|
|
15YR 4.00% 9/25 #G14376
|
|
121,395
|
|
|
128,042
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
FHLG
|
|
15YR 4.50% 1/19 #G11565
|
|
16,527
|
|
|
16,920
|
|
||
|
FHLG
|
|
15YR 4.50% 10/18 #B12459
|
|
13,409
|
|
|
13,713
|
|
||
|
FHLG
|
|
15YR 4.50% 10/18 #E99833
|
|
73,954
|
|
|
75,631
|
|
||
|
FHLG
|
|
15YR 4.50% 11/18 #B10931
|
|
46,879
|
|
|
48,044
|
|
||
|
FHLG
|
|
15YR 4.50% 4/19 #B13051
|
|
13,532
|
|
|
13,938
|
|
||
|
FHLG
|
|
15YR 4.50% 6/19 #B14961
|
|
41,187
|
|
|
42,463
|
|
||
|
FHLG
|
|
15YR 4.50% 8/18 #E98688
|
|
61,298
|
|
|
62,641
|
|
||
|
FHLG
|
|
15YR 4.50% 9/18 #E99205
|
|
55,084
|
|
|
56,334
|
|
||
|
FHLG
|
|
15YR 4.50% 9/24 #J10826
|
|
276,853
|
|
|
293,245
|
|
||
|
FHLG
|
|
15YR 5.0% 4/20 #G11682
|
|
221,814
|
|
|
230,947
|
|
||
|
FHLG
|
|
15YR 5.00% 10/18 #E99955
|
|
8,266
|
|
|
8,488
|
|
||
|
FHLG
|
|
15YR 5.00% 10/23 #G13276
|
|
178,625
|
|
|
190,154
|
|
||
|
FHLG
|
|
15YR 5.00% 12/17 #E01280
|
|
6,381
|
|
|
6,480
|
|
||
|
FHLG
|
|
15YR 5.00% 12/17 #E93561
|
|
10,868
|
|
|
11,037
|
|
||
|
FHLG
|
|
15YR 5.00% 12/18 #G13293
|
|
25,878
|
|
|
26,537
|
|
||
|
FHLG
|
|
15YR 5.00% 3/19 #G13052
|
|
91,488
|
|
|
93,817
|
|
||
|
FHLG
|
|
15YR 5.00% 4/20 #G13598
|
|
99,286
|
|
|
102,127
|
|
||
|
FHLG
|
|
15YR 5.00% 5/18 #P10034
|
|
21,110
|
|
|
21,399
|
|
||
|
FHLG
|
|
15YR 5.50% 11/18 #B10916
|
|
66,329
|
|
|
68,445
|
|
||
|
FHLG
|
|
15YR 5.50% 11/18 #E01497
|
|
39,721
|
|
|
40,988
|
|
||
|
FHLG
|
|
15YR 5.50% 12/21 #G13481
|
|
160,188
|
|
|
169,672
|
|
||
|
FHLG
|
|
15YR 5.50% 12/24 #G14015
|
|
1,393,050
|
|
|
1,484,752
|
|
||
|
FHLG
|
|
15YR 5.50% 2/20 #G11728
|
|
695,046
|
|
|
724,585
|
|
||
|
FHLG
|
|
15YR 5.50% 3/17 #E01136
|
|
335
|
|
|
336
|
|
||
|
FHLG
|
|
15YR 6.00% 1/24 #G13647
|
|
260,280
|
|
|
282,166
|
|
||
|
FHLG
|
|
15YR 6.00% 1/24 #G13982
|
|
250,005
|
|
|
268,342
|
|
||
|
FHLG
|
|
15YR 6.00% 11/23 #G13368
|
|
57,275
|
|
|
61,314
|
|
||
|
FHLG
|
|
15YR 6.00% 4/20 #J02203
|
|
7,657
|
|
|
7,925
|
|
||
|
FHLG
|
|
15YR 6.00% 7/17 #E90474
|
|
6,663
|
|
|
6,728
|
|
||
|
FHLG
|
|
15YR 6.50% 1/20 #J02204
|
|
10,962
|
|
|
11,417
|
|
||
|
FHLG
|
|
15YR 6.50% 10/17 #E01254
|
|
1,463
|
|
|
1,487
|
|
||
|
FHLG
|
|
15YR 6.50% 4/18 #G11452
|
|
2,316
|
|
|
2,341
|
|
||
|
FHLG
|
|
15YR 6.50% 6/17 #E90325
|
|
2,848
|
|
|
2,866
|
|
||
|
FHLG
|
|
15YR 6.50% 7/21 #G12934
|
|
14,225
|
|
|
15,191
|
|
||
|
FHLG
|
|
20Yr 3.5% 6/32#C91456
|
|
1,019,123
|
|
|
1,063,982
|
|
||
|
FHLG
|
|
20YR 5.50% 7/28 #G30564
|
|
306,533
|
|
|
339,605
|
|
||
|
FHLG
|
|
20YR 6.00% 9/27 #G30357
|
|
153,394
|
|
|
172,719
|
|
||
|
FHLG
|
|
25YR 5.50% 7/35 #G05815
|
|
58,021
|
|
|
65,052
|
|
||
|
FHLG
|
|
4.00% 1/41 #A96478
|
|
567,051
|
|
|
598,571
|
|
||
|
FHLG
|
|
4.00% 12/40 #C03565
|
|
103,842
|
|
|
109,614
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
FHLG
|
|
4.00% 4/39 #A85531
|
|
108,961
|
|
|
115,120
|
|
||
|
FHLG
|
|
5.50% 1/24 #G13432
|
|
287,015
|
|
|
307,624
|
|
||
|
FHLG
|
|
5.50% 12/37 #G03696
|
|
242,860
|
|
|
272,174
|
|
||
|
FHLG
|
|
5.50% 12/37 #G03865
|
|
113,958
|
|
|
127,713
|
|
||
|
FHLG
|
|
5.50% 3/34 #G01665
|
|
84,707
|
|
|
95,044
|
|
||
|
FHLG
|
|
5.50% 5/34 #Z40042
|
|
636,248
|
|
|
712,772
|
|
||
|
FHLG
|
|
5.50% 7/39 #G05546
|
|
290,893
|
|
|
325,277
|
|
||
|
FHLG
|
|
6.00% 1/38 #G03781
|
|
279,418
|
|
|
316,062
|
|
||
|
FHLG
|
|
6.00% 8/26 #G00587
|
|
29,997
|
|
|
33,162
|
|
||
|
FHLG
|
|
6.00% 8/28 #C13910
|
|
47,178
|
|
|
53,555
|
|
||
|
FHLG
|
|
6.00% 9/37 #G03282
|
|
134,888
|
|
|
152,489
|
|
||
|
FHLG
|
|
6.50% 10/26 #C90995
|
|
155,436
|
|
|
175,510
|
|
||
|
FHLG
|
|
6.50% 5/22 #D95395
|
|
7,212
|
|
|
8,144
|
|
||
|
FHLG
|
|
6.50% 5/24 #Z40034
|
|
2,100,019
|
|
|
2,318,944
|
|
||
|
FHLG
|
|
6.50% 8/21 #C90473
|
|
180,451
|
|
|
203,756
|
|
||
|
FHLG
|
|
6.50% 8/26 #C90985
|
|
28,389
|
|
|
32,056
|
|
||
|
FHLG
|
|
6.50% 9/23 #Z40030
|
|
1,935,445
|
|
|
2,130,516
|
|
||
|
FHLG
|
|
8.50% 7/28 #G00981
|
|
87,546
|
|
|
102,840
|
|
||
|
FHLM AR
|
|
12M+187.9 10/42#849255
|
|
140,979
|
|
|
149,020
|
|
||
|
FHLM ARM
|
|
2.98% 8/41 #1B8533
|
|
72,765
|
|
|
75,607
|
|
||
|
FHLM ARM
|
|
3.07% 9/41 #1B8608
|
|
44,505
|
|
|
47,162
|
|
||
|
FHLM ARM
|
|
3.224% 4/41#1B8179
|
|
28,007
|
|
|
29,052
|
|
||
|
FHLM ARM
|
|
3.242% 9/1/41#1B8659
|
|
30,509
|
|
|
31,823
|
|
||
|
FHLM ARM
|
|
3.283% 6/1/41
|
|
28,649
|
|
|
30,168
|
|
||
|
FHLM ARM
|
|
3.464% 5/1/41#1B8304
|
|
24,641
|
|
|
25,993
|
|
||
|
FHLM ARM
|
|
3.627% 6/1/41#1B8372
|
|
38,361
|
|
|
40,418
|
|
||
|
FHLM ARM
|
|
3.717% 05/41#1B8124
|
|
36,832
|
|
|
38,803
|
|
||
|
FHR
|
|
1577 PK 6.5% 9/23
|
|
18,326
|
|
|
20,016
|
|
||
|
FHR
|
|
1584 L 6.5% 9/23
|
|
66,131
|
|
|
72,692
|
|
||
|
FHR
|
|
1617 PM 6.5% 11/23
|
|
51,772
|
|
|
57,035
|
|
||
|
FHR
|
|
1835 D 6% 4/26
|
|
44,284
|
|
|
48,469
|
|
||
|
FHR
|
|
1837 Z 6.5% 4/26
|
|
42,081
|
|
|
46,466
|
|
||
|
FHR
|
|
192 I 9% 2/22
|
|
57,890
|
|
|
62,510
|
|
||
|
FHR
|
|
2009-3534 Mb 4% 5/24
|
|
1,370,000
|
|
|
1,443,381
|
|
||
|
FHR
|
|
2010-3703 Cy 4% 8/25
|
|
3,507,038
|
|
|
3,657,224
|
|
||
|
FHR
|
|
2010-3736 QB 4% 5/37
|
|
487,834
|
|
|
489,643
|
|
||
|
FHR
|
|
2010-3747 HM 3% 7/37
|
|
1,175,396
|
|
|
1,187,764
|
|
||
|
FHR
|
|
2011-3844 PJ 5% 1/40
|
|
586,481
|
|
|
617,710
|
|
||
|
FHR
|
|
2011-3857 Ec 3.5% 8/39
|
|
1,503,116
|
|
|
1,559,452
|
|
||
|
FHR
|
|
2012-4016 Ca 2% 7/41
|
|
1,690,975
|
|
|
1,677,317
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
FHR
|
|
2012-4049 CA 3% 5/27
|
|
1,084,591
|
|
|
1,103,485
|
|
||
|
FHR
|
|
2012-4077 Km 3.5% 11/41
|
|
3,346,033
|
|
|
3,468,498
|
|
||
|
FHR
|
|
2013-4281 Lg 4% 1/43
|
|
942,773
|
|
|
992,812
|
|
||
|
FHR
|
|
2014-4305 Ma 3% 8/38
|
|
3,145,839
|
|
|
3,177,032
|
|
||
|
FHR
|
|
2014-4352 A 3% 4/40
|
|
928,655
|
|
|
949,670
|
|
||
|
FHR
|
|
2014-4358 Da 3% 6/40
|
|
3,251,986
|
|
|
3,325,674
|
|
||
|
FHR
|
|
2015-4441 Ak 3% 9/37
|
|
5,879,761
|
|
|
5,945,470
|
|
||
|
FHR
|
|
2015-4472 Wl 3% 5/45
|
|
699,482
|
|
|
716,703
|
|
||
|
FHR
|
|
2015-4482 Dh 3% 6/42
|
|
3,222,655
|
|
|
3,305,021
|
|
||
|
FHR
|
|
2015-4502 Ga 3.5% 8/41
|
|
3,399,767
|
|
|
3,528,307
|
|
||
|
FHR
|
|
2068 B 10% 11/22
|
|
8,653
|
|
|
9,691
|
|
||
|
FHR
|
|
2075 PH 6.5% 8/28
|
|
40,638
|
|
|
44,659
|
|
||
|
FHR
|
|
2208 PG 7% 1/30
|
|
73,474
|
|
|
85,085
|
|
||
|
FHR
|
|
2262 Z 7.5% 10/30
|
|
38,851
|
|
|
45,698
|
|
||
|
FHR
|
|
2344 ZJ 6.5% 8/31
|
|
5,673
|
|
|
6,485
|
|
||
|
FHR
|
|
2399 OH 6.5% 1/32
|
|
49,837
|
|
|
56,989
|
|
||
|
FHR
|
|
2420 MZ 6.5% 2/32
|
|
493,321
|
|
|
563,348
|
|
||
|
FHR
|
|
2425 OB 6% 3/17
|
|
883
|
|
|
887
|
|
||
|
FHR
|
|
2474 NR 6.5% 7/32
|
|
35,562
|
|
|
40,724
|
|
||
|
FHR
|
|
2484 LZ 6.5% 7/32
|
|
61,860
|
|
|
70,811
|
|
||
|
FHR
|
|
2527 TB 6% 11/32
|
|
20,212
|
|
|
22,857
|
|
||
|
FHR
|
|
2558 BD 5% 1/18
|
|
210,788
|
|
|
213,823
|
|
||
|
FHR
|
|
2590 BY 5% 3/18
|
|
295,780
|
|
|
300,775
|
|
||
|
FHR
|
|
2650 QN 4.5% 1/33
|
|
14,185
|
|
|
14,365
|
|
||
|
FHR
|
|
2672 NH 0% 9/18
|
|
55,408
|
|
|
56,303
|
|
||
|
FHR
|
|
2872 JG 4.5% 10/19
|
|
229,895
|
|
|
236,054
|
|
||
|
FHR
|
|
3397 FC 0.8613% 12/37
|
|
721,124
|
|
|
725,074
|
|
||
|
FHR
|
|
3564 JA 4% 1/18
|
|
48,779
|
|
|
49,436
|
|
||
|
FHR
|
|
3741 HD 3% 11/15/39
|
|
164,407
|
|
|
166,033
|
|
||
|
FHR
|
|
3803 EN 3.5% 2/24
|
|
1,820,369
|
|
|
1,864,914
|
|
||
|
FHR
|
|
3820 DA 4% 11/35
|
|
139,477
|
|
|
143,159
|
|
||
|
FHR
|
|
4046 LA 3% 11/2026
|
|
857,987
|
|
|
871,953
|
|
||
|
FHR
|
|
4189 Md 3.0% 6/33
|
|
1,102,689
|
|
|
1,113,690
|
|
||
|
FHR
|
|
2010-3747 HK 2.5% 7/37
|
|
1,343,907
|
|
|
1,352,018
|
|
||
|
FHR
|
|
2012-4026 HA 3.5% 12/39
|
|
3,116,229
|
|
|
3,233,020
|
|
||
|
FHR Ser
|
|
4221 CLS GA 1.4% 7/23
|
|
560,795
|
|
|
552,922
|
|
||
|
FICO
|
|
5/11/2018
|
|
220,000
|
|
|
216,093
|
|
||
|
Fidelity Natl
|
|
2.85% 10/15/18
|
|
1,095,000
|
|
|
1,113,834
|
|
||
|
Fidelity Natl
|
|
3.625% 10/15/20
|
|
1,470,000
|
|
|
1,520,721
|
|
||
|
Fifth Third Bk
|
|
1.45% 2/28/18
|
|
2,150,000
|
|
|
2,144,836
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Fifth Third Bk
|
|
2.25% 6/14/21
|
|
2,155,000
|
|
|
2,128,588
|
|
||
|
Fifth Third Bk
|
|
2.375% 4/25/19
|
|
1,250,000
|
|
|
1,258,914
|
|
||
|
Fitat Auto
|
|
14-3 A3 0.96% 3/19
|
|
697,070
|
|
|
696,566
|
|
||
|
FNA
|
|
2014-M9 AB2 3.055% 7/24
|
|
3,742,434
|
|
|
3,790,267
|
|
||
|
FNA
|
|
2015-M8 Ab2 2.829% Perp
|
|
3,700,000
|
|
|
3,670,142
|
|
||
|
FNA
|
|
2016-M11 Ab2 2.183% 7/26
|
|
3,800,000
|
|
|
3,548,372
|
|
||
|
FNA
|
|
2016-M12 Ab2 2.362% 9/26
|
|
5,800,000
|
|
|
5,475,336
|
|
||
|
FNA
|
|
2016-M3 Ab2 2.606% 2/26
|
|
3,000,000
|
|
|
2,853,386
|
|
||
|
FNA
|
|
2016-M5 Ab2 2.375% 4/26
|
|
3,400,000
|
|
|
3,235,241
|
|
||
|
FNMA
|
|
0.875% 8/02/19
|
|
674,000
|
|
|
664,337
|
|
||
|
FNMA
|
|
1% 12/31/19
|
|
1,673,000
|
|
|
1,662,194
|
|
||
|
FNMA
|
|
1.125% 12/14/18
|
|
606,000
|
|
|
604,616
|
|
||
|
FNMA
|
|
1.375% 2/26/21
|
|
978,000
|
|
|
958,111
|
|
||
|
FNMA
|
|
1.5% 11/30/20
|
|
638,000
|
|
|
629,487
|
|
||
|
FNMA
|
|
1.875% 9/18/18
|
|
1,321,000
|
|
|
1,336,051
|
|
||
|
FNMA
|
|
10YR 2.5% 10/22#AB6544
|
|
128,712
|
|
|
131,986
|
|
||
|
FNMA
|
|
10YR 2.5% 10/22#AB6730
|
|
99,254
|
|
|
101,782
|
|
||
|
FNMA
|
|
10YR 2.5% 5/23 #MA1431
|
|
282,443
|
|
|
289,637
|
|
||
|
FNMA
|
|
10YR 6.50% 12/37 #AD0070
|
|
112,338
|
|
|
123,655
|
|
||
|
FNMA
|
|
15Yr 3% 9/31#Al8853
|
|
2,915,373
|
|
|
3,009,326
|
|
||
|
FNMA
|
|
15Yr 3.5% 1/27 #Ax1909
|
|
253,832
|
|
|
265,314
|
|
||
|
FNMA
|
|
15Yr 3.5% 10/29#Al5851
|
|
224,763
|
|
|
235,281
|
|
||
|
FNMA
|
|
15Yr 3.5% 12/29#As4198
|
|
907,618
|
|
|
950,376
|
|
||
|
FNMA
|
|
15Yr 3.5% 3/29#Av9229
|
|
809,315
|
|
|
845,797
|
|
||
|
FNMA
|
|
15Yr 3.5% 6/29#Aw3638
|
|
722,663
|
|
|
756,594
|
|
||
|
FNMA
|
|
15Yr 3.5% 7/26#Ai7819
|
|
57,067
|
|
|
59,631
|
|
||
|
FNMA
|
|
15Yr 3.5% 9/29#Al5878
|
|
586,189
|
|
|
613,804
|
|
||
|
FNMA
|
|
15YR 3.50% 1/26 #AL1168
|
|
132,612
|
|
|
138,631
|
|
||
|
FNMA
|
|
15YR 3.50% 3/27 #AL1746
|
|
617,894
|
|
|
646,037
|
|
||
|
FNMA
|
|
15YR 3.50% 5/27 #AL1741
|
|
266,986
|
|
|
279,063
|
|
||
|
FNMA
|
|
15YR 3.50% 5/27 #AL1751
|
|
139,930
|
|
|
146,259
|
|
||
|
FNMA
|
|
15YR 4.00% 12/18 #735522
|
|
66,085
|
|
|
68,078
|
|
||
|
FNMA
|
|
15YR 4.00% 6/19 #773153
|
|
24,022
|
|
|
24,747
|
|
||
|
FNMA
|
|
15YR 4.00% 7/18 #726128
|
|
8,722
|
|
|
8,985
|
|
||
|
FNMA
|
|
15YR 4.00% 7/19 #773445
|
|
55,608
|
|
|
57,285
|
|
||
|
FNMA
|
|
15YR 4.00% 9/18 #254919
|
|
17,928
|
|
|
18,469
|
|
||
|
FNMA
|
|
15YR 4.00% 9/18 #682450
|
|
3,193
|
|
|
3,289
|
|
||
|
FNMA
|
|
15Yr 4.5% 11/25#Al8242
|
|
439,772
|
|
|
465,774
|
|
||
|
FNMA
|
|
15YR 4.50% 1/21 #852735
|
|
752
|
|
|
782
|
|
||
|
FNMA
|
|
15YR 4.50% 10/19 #796680
|
|
86,251
|
|
|
89,269
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
FNMA
|
|
15YR 4.50% 10/20 #735926
|
|
4,977
|
|
|
5,175
|
|
||
|
FNMA
|
|
15YR 4.50% 10/20 #836381
|
|
13,636
|
|
|
14,192
|
|
||
|
FNMA
|
|
15YR 4.50% 11/18 #254952
|
|
263,106
|
|
|
269,249
|
|
||
|
FNMA
|
|
15YR 4.50% 11/19 #889395
|
|
1,340
|
|
|
1,378
|
|
||
|
FNMA
|
|
15YR 4.50% 11/20 #813915
|
|
4,794
|
|
|
4,990
|
|
||
|
FNMA
|
|
15YR 4.50% 12/18 #255031
|
|
248,127
|
|
|
253,920
|
|
||
|
FNMA
|
|
15YR 4.50% 12/18 #888889
|
|
82,914
|
|
|
84,780
|
|
||
|
FNMA
|
|
15YR 4.50% 12/19 #735290
|
|
20,006
|
|
|
20,615
|
|
||
|
FNMA
|
|
15YR 4.50% 12/20 #995320
|
|
413,563
|
|
|
428,385
|
|
||
|
FNMA
|
|
15YR 4.50% 12/20 #995465
|
|
73,257
|
|
|
76,141
|
|
||
|
FNMA
|
|
15YR 4.50% 2/20 #809744
|
|
2,829
|
|
|
2,933
|
|
||
|
FNMA
|
|
15YR 4.50% 3/19 #742078
|
|
49,008
|
|
|
50,405
|
|
||
|
FNMA
|
|
15YR 4.50% 3/19 #758528
|
|
49,530
|
|
|
50,844
|
|
||
|
FNMA
|
|
15YR 4.50% 3/21 #890081
|
|
140,548
|
|
|
144,556
|
|
||
|
FNMA
|
|
15YR 4.50% 4/19 #725352
|
|
81,885
|
|
|
84,139
|
|
||
|
FNMA
|
|
15YR 4.50% 4/19 #774267
|
|
14,404
|
|
|
14,814
|
|
||
|
FNMA
|
|
15YR 4.50% 5/18 #697602
|
|
16,066
|
|
|
16,428
|
|
||
|
FNMA
|
|
15YR 4.50% 5/19 #725445
|
|
10,069
|
|
|
10,346
|
|
||
|
FNMA
|
|
15YR 4.50% 5/19 #780233
|
|
78,603
|
|
|
80,921
|
|
||
|
FNMA
|
|
15YR 4.50% 6/18 #710238
|
|
9,157
|
|
|
9,363
|
|
||
|
FNMA
|
|
15YR 4.50% 7/18 #720393
|
|
19,852
|
|
|
20,298
|
|
||
|
FNMA
|
|
15YR 4.50% 7/19 #788390
|
|
3,097
|
|
|
3,192
|
|
||
|
FNMA
|
|
15YR 4.50% 7/21 #845515
|
|
3,826
|
|
|
4,004
|
|
||
|
FNMA
|
|
15YR 4.50% 7/21 #932885
|
|
147,394
|
|
|
152,800
|
|
||
|
FNMA
|
|
15YR 4.50% 8/18 #727466
|
|
11,119
|
|
|
11,369
|
|
||
|
FNMA
|
|
15YR 4.50% 8/18 #733772
|
|
39,257
|
|
|
40,140
|
|
||
|
FNMA
|
|
15YR 5.00% 11/18 #740462
|
|
13,092
|
|
|
13,447
|
|
||
|
FNMA
|
|
15YR 5.00% 11/18 #749596
|
|
41,076
|
|
|
42,240
|
|
||
|
FNMA
|
|
15YR 5.00% 12/18 #888681
|
|
74,331
|
|
|
76,093
|
|
||
|
FNMA
|
|
15YR 5.00% 12/19 #803919
|
|
79,850
|
|
|
83,196
|
|
||
|
FNMA
|
|
15YR 5.00% 12/20 #995324
|
|
294,234
|
|
|
307,442
|
|
||
|
FNMA
|
|
15YR 5.00% 12/21 #888436
|
|
190,442
|
|
|
198,249
|
|
||
|
FNMA
|
|
15YR 5.00% 3/18 #667792
|
|
9,699
|
|
|
9,888
|
|
||
|
FNMA
|
|
15YR 5.00% 4/19 #761326
|
|
28,600
|
|
|
29,549
|
|
||
|
FNMA
|
|
15YR 5.00% 5/18 #707298
|
|
148,599
|
|
|
151,921
|
|
||
|
FNMA
|
|
15YR 5.00% 6/18 #709848
|
|
15,138
|
|
|
15,497
|
|
||
|
FNMA
|
|
15YR 5.00% 6/18 #709877
|
|
12,377
|
|
|
12,654
|
|
||
|
FNMA
|
|
15YR 5.50% 1/18 #680143
|
|
1,511
|
|
|
1,537
|
|
||
|
FNMA
|
|
15YR 5.50% 10/19 #795064
|
|
8,018
|
|
|
8,359
|
|
||
|
FNMA
|
|
15YR 5.50% 11/17 #670452
|
|
10,748
|
|
|
10,894
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
FNMA
|
|
15YR 5.50% 2/17 #634197
|
|
2,795
|
|
|
2,798
|
|
||
|
FNMA
|
|
15YR 5.50% 2/18 #681383
|
|
9,534
|
|
|
9,679
|
|
||
|
FNMA
|
|
15YR 5.50% 3/20 #735521
|
|
9,070
|
|
|
9,416
|
|
||
|
FNMA
|
|
15YR 5.50% 3/24 #AE0467
|
|
66,255
|
|
|
70,963
|
|
||
|
FNMA
|
|
15YR 5.50% 4/18 #254686
|
|
26,939
|
|
|
27,478
|
|
||
|
FNMA
|
|
15YR 5.50% 4/19 #725528
|
|
19,982
|
|
|
20,582
|
|
||
|
FNMA
|
|
15YR 5.50% 5/21 #AL0230
|
|
227,922
|
|
|
237,201
|
|
||
|
FNMA
|
|
15YR 5.50% 9/19 #725793
|
|
4,578
|
|
|
4,741
|
|
||
|
FNMA
|
|
15YR 5.50% 9/19 #725796
|
|
7,332
|
|
|
7,640
|
|
||
|
FNMA
|
|
15YR 5.50% 9/23 #AL0229
|
|
257,084
|
|
|
273,181
|
|
||
|
FNMA
|
|
15YR 6.00% 1/24 #995425
|
|
193,132
|
|
|
209,391
|
|
||
|
FNMA
|
|
15YR 6.00% 11/17 #668811
|
|
802
|
|
|
811
|
|
||
|
FNMA
|
|
15YR 6.00% 2/23 #889634
|
|
313,032
|
|
|
337,258
|
|
||
|
FNMA
|
|
15YR 6.00% 3/18 #555390
|
|
1,869
|
|
|
1,894
|
|
||
|
FNMA
|
|
15YR 6.00% 3/24 #AE0745
|
|
140,057
|
|
|
151,030
|
|
||
|
FNMA
|
|
15YR 6.00% 5/17 #644987
|
|
1,900
|
|
|
1,911
|
|
||
|
FNMA
|
|
15YR 6.00% 6/22 #944357
|
|
120,056
|
|
|
129,643
|
|
||
|
FNMA
|
|
15YR 6.50% 1/23 #889111
|
|
224,720
|
|
|
243,687
|
|
||
|
FNMA
|
|
15YR 6.50% 2/24 #995658
|
|
60,355
|
|
|
66,023
|
|
||
|
FNMA
|
|
15YR 6.50% 3/17 #627139
|
|
354
|
|
|
355
|
|
||
|
FNMA
|
|
15YR 7.00% 5/17 #254353
|
|
429
|
|
|
432
|
|
||
|
FNMA
|
|
15YR 7.00% 5/17 #638774
|
|
4,629
|
|
|
4,659
|
|
||
|
FNMA
|
|
20YR 4.50% 5/26 #AH0473
|
|
43,340
|
|
|
46,616
|
|
||
|
FNMA
|
|
20YR 5.5% 12/33 #AL4500
|
|
226,427
|
|
|
251,501
|
|
||
|
FNMA
|
|
20YR 5.50% 4/29 #AD0912
|
|
146,458
|
|
|
162,676
|
|
||
|
FNMA
|
|
20YR 5.50% 7/27 #986156
|
|
252,662
|
|
|
280,641
|
|
||
|
FNMA
|
|
20YR 6.00% 1/28 #257048
|
|
115,309
|
|
|
130,274
|
|
||
|
FNMA
|
|
20YR 6.00% 10/27 #256928
|
|
140,477
|
|
|
158,708
|
|
||
|
FNMA
|
|
20YR 6.00% 11/22 #254544
|
|
30,248
|
|
|
34,174
|
|
||
|
FNMA
|
|
20YR 6.00% 9/21 #253999
|
|
18,676
|
|
|
21,100
|
|
||
|
FNMA
|
|
20YR 6.50% 11/18 #252104
|
|
16,290
|
|
|
18,396
|
|
||
|
FNMA
|
|
20YR 6.50% 12/21 #545419
|
|
1,254
|
|
|
1,416
|
|
||
|
FNMA
|
|
20YR 6.50% 3/19 #252348
|
|
13,571
|
|
|
15,326
|
|
||
|
FNMA
|
|
20YR 6.50% 7/18 #251825
|
|
12,946
|
|
|
13,307
|
|
||
|
FNMA
|
|
5.00% 8/25 #255810
|
|
418,893
|
|
|
456,005
|
|
||
|
FNMA
|
|
5.50% 1/38 #AL0662
|
|
261,132
|
|
|
292,547
|
|
||
|
FNMA
|
|
5.50% 11/34 #310105
|
|
456,097
|
|
|
510,829
|
|
||
|
FNMA
|
|
5.50% 2/37 #904918
|
|
90,266
|
|
|
99,020
|
|
||
|
FNMA
|
|
5.50% 6/33 #254767
|
|
764,882
|
|
|
857,080
|
|
||
|
FNMA
|
|
6.00% 2/28 #257076
|
|
111,435
|
|
|
125,897
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
FNMA
|
|
6.00% 3/33 #695584
|
|
10,379
|
|
|
11,689
|
|
||
|
FNMA
|
|
6.00% 4/25 #660719
|
|
71,447
|
|
|
76,321
|
|
||
|
FNMA
|
|
6.00% 9/33 #752786
|
|
23,378
|
|
|
26,285
|
|
||
|
FNMA
|
|
6.50% 10/21 #254044
|
|
3,211
|
|
|
3,626
|
|
||
|
FNMA
|
|
6.50% 11/22 #735137
|
|
60,375
|
|
|
68,182
|
|
||
|
FNMA
|
|
6.50% 12/32 #735415
|
|
11,920
|
|
|
13,605
|
|
||
|
FNMA
|
|
6.50% 12/35 #AD0723
|
|
72,821
|
|
|
84,310
|
|
||
|
FNMA
|
|
6.50% 7/32 #545759
|
|
23,615
|
|
|
26,965
|
|
||
|
FNMA
|
|
6.50% 7/32 #545762
|
|
11,931
|
|
|
13,621
|
|
||
|
FNMA
|
|
6.50% 7/35 #745092
|
|
13,085
|
|
|
14,983
|
|
||
|
FNMA
|
|
6.50% 8/36 #888034
|
|
17,484
|
|
|
19,950
|
|
||
|
FNMA
|
|
6.50% 8/36 #888544
|
|
64,058
|
|
|
73,204
|
|
||
|
FNMA
|
|
6.50% 8/36 #AE0746
|
|
54,677
|
|
|
62,452
|
|
||
|
FNMA
|
|
6.50% 9/28 #AD0329
|
|
116,234
|
|
|
131,263
|
|
||
|
FNMA
|
|
7.00% 12/36 #907742
|
|
26,414
|
|
|
28,960
|
|
||
|
FNMA
|
|
7.50% 11/37 #888892
|
|
144,121
|
|
|
170,921
|
|
||
|
FNMA
|
|
7.50% 11/38 #995504
|
|
110,381
|
|
|
130,939
|
|
||
|
FNMA
|
|
8.00% 11/37 #995783
|
|
16,301
|
|
|
18,275
|
|
||
|
FNMA
|
|
8.00% 6/27 #695533
|
|
8,743
|
|
|
10,312
|
|
||
|
FNMA Arm
|
|
10/41#AJ3399
|
|
16,504
|
|
|
17,179
|
|
||
|
FNMA Arm
|
|
11/40#AE6806
|
|
21,434
|
|
|
22,622
|
|
||
|
FNMA Arm
|
|
2.69% 9/41 #AH5260
|
|
131,787
|
|
|
136,950
|
|
||
|
FNMA Arm
|
|
3.01% 8/41 #AI4358
|
|
13,283
|
|
|
13,992
|
|
||
|
FNMA Arm
|
|
3.228% 7/41#AI3469
|
|
35,680
|
|
|
37,542
|
|
||
|
FNMA Arm
|
|
3.365% 10/41#AI6819
|
|
21,716
|
|
|
22,700
|
|
||
|
FNMA Arm
|
|
3.37% 9/41 #AI8935
|
|
49,878
|
|
|
53,052
|
|
||
|
FNMA Arm
|
|
3.545% 7/41#AI6050
|
|
47,109
|
|
|
49,111
|
|
||
|
FNMA Arm
|
|
6/42#AO2244
|
|
44,120
|
|
|
45,742
|
|
||
|
FNMA Arm
|
|
9/41#AI9813
|
|
25,005
|
|
|
25,990
|
|
||
|
FNR
|
|
02-58 HC 5.5% 9/17
|
|
345
|
|
|
347
|
|
||
|
FNR
|
|
03-66 PA 3.5% 2/33
|
|
183,166
|
|
|
185,813
|
|
||
|
FNR
|
|
1992-205 Z 7% 11/22
|
|
66,622
|
|
|
73,417
|
|
||
|
FNR
|
|
1994-40 Z 6.5% 3/24
|
|
165,016
|
|
|
181,634
|
|
||
|
FNR
|
|
1997-46 PL 6% 7/27
|
|
226,822
|
|
|
245,933
|
|
||
|
FNR
|
|
2001-44 PD 7% 9/31
|
|
9,010
|
|
|
10,475
|
|
||
|
FNR
|
|
2001-7 PF 7% 3/31
|
|
4,614
|
|
|
5,368
|
|
||
|
FNR
|
|
2003-32 UN 4% 1/33
|
|
393,136
|
|
|
395,093
|
|
||
|
FNR
|
|
2003-57 NK 5% 6/18
|
|
4,967
|
|
|
5,060
|
|
||
|
FNR
|
|
2004-2 QL 4% 2/19
|
|
354,384
|
|
|
360,606
|
|
||
|
FNR
|
|
2004-82 HJ 5.5% 9/32
|
|
38,971
|
|
|
39,068
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
FNR
|
|
2004-91 AR 5.50% 4/33
|
|
910,651
|
|
|
929,671
|
|
||
|
FNR
|
|
2006-41 MC 5.5% 7/35
|
|
21,593
|
|
|
21,818
|
|
||
|
FNR
|
|
2007-77 MH 6% 12/36
|
|
43,758
|
|
|
45,586
|
|
||
|
FNR
|
|
2008-29 CA 4.5% 9/35
|
|
353,617
|
|
|
356,668
|
|
||
|
FNR
|
|
2009-10 AB 3/24
|
|
33,595
|
|
|
34,900
|
|
||
|
FNR
|
|
2010-104 Pg 2.5% 11/39
|
|
2,855,940
|
|
|
2,855,328
|
|
||
|
FNR
|
|
2010-31 AP 4.5% 2/40
|
|
460,806
|
|
|
471,761
|
|
||
|
FNR
|
|
2010-68 Hj 4.5% 6/40
|
|
4,379,237
|
|
|
4,637,381
|
|
||
|
FNR
|
|
2011-123 Jg 2.5% 3/41
|
|
2,479,764
|
|
|
2,448,017
|
|
||
|
FNR
|
|
2011-5 PA 4% 10/25
|
|
29,998
|
|
|
30,642
|
|
||
|
FNR
|
|
2011-87 Ja 3% 6/25/40
|
|
2,038,987
|
|
|
2,076,700
|
|
||
|
FNR
|
|
2012-94 E 3% 6/22
|
|
265,118
|
|
|
269,470
|
|
||
|
FNR
|
|
2013-130 Cg 4% 6/43
|
|
1,156,365
|
|
|
1,219,233
|
|
||
|
FNR
|
|
2013-16 GP 3% 3/33
|
|
967,464
|
|
|
993,454
|
|
||
|
FNR
|
|
2013-18 Md 1.75% 2/33
|
|
2,859,485
|
|
|
2,827,118
|
|
||
|
FNR
|
|
2013-72 KE 3.5% 2/43
|
|
1,617,828
|
|
|
1,683,054
|
|
||
|
FNR
|
|
2013-73 Tk 3.5% 9/42
|
|
1,119,387
|
|
|
1,160,846
|
|
||
|
FNR
|
|
2014-21 Ga 3% 4/39
|
|
2,463,744
|
|
|
2,473,631
|
|
||
|
FNR
|
|
2014-64 Nk 3% 12/37
|
|
3,312,691
|
|
|
3,346,307
|
|
||
|
FNR
|
|
2014-83 P 3% 6/43
|
|
771,020
|
|
|
785,739
|
|
||
|
FNR
|
|
2015-28 Je 3% 5/45
|
|
1,211,576
|
|
|
1,241,716
|
|
||
|
FNR
|
|
2015-28 P 2.5% 5/45
|
|
1,751,829
|
|
|
1,758,330
|
|
||
|
FNR
|
|
2015-42 Le 3% 6/45
|
|
1,027,512
|
|
|
1,052,989
|
|
||
|
FNR
|
|
2015-7 Ga 3% 9/39
|
|
2,898,899
|
|
|
2,964,279
|
|
||
|
FNR
|
|
2016-100 P 3.5% 11/44
|
|
1,547,000
|
|
|
1,605,214
|
|
||
|
FNR
|
|
2016-105 Pa 3.5% 4/45
|
|
1,000,000
|
|
|
1,039,106
|
|
||
|
FNR
|
|
2016-19 Ah 3% 4/46
|
|
853,358
|
|
|
873,461
|
|
||
|
FNR
|
|
2016-25 Ha 3% 2/38
|
|
2,041,300
|
|
|
2,061,230
|
|
||
|
FNR
|
|
2016-26 Cg 3% 5/46
|
|
2,166,540
|
|
|
2,215,824
|
|
||
|
FNR
|
|
2016-27 Hk 3% 1/41
|
|
1,092,746
|
|
|
1,118,083
|
|
||
|
FNR
|
|
2016-27 Kg 3% 1/40
|
|
572,235
|
|
|
585,220
|
|
||
|
FNR
|
|
2016-34 Gh 3% 6/46
|
|
2,175,482
|
|
|
2,229,435
|
|
||
|
FNR
|
|
2016-37 Bk 3% 6/46
|
|
2,262,089
|
|
|
2,316,327
|
|
||
|
FNR
|
|
G93-3 K 7% 2/23
|
|
28,311
|
|
|
30,911
|
|
||
|
FNW
|
|
2003-W4 2A 6.5% 10/42
|
|
11,571
|
|
|
12,858
|
|
||
|
Ford Crd
|
|
16-1 A 2.31% 8/27
|
|
324,000
|
|
|
323,371
|
|
||
|
Ford Mtr Cr
|
|
2.875% 10/01/18
|
|
1,500,000
|
|
|
1,517,634
|
|
||
|
Ford Mtr Cr Co
|
|
1.897% 8/12/19
|
|
1,000,000
|
|
|
983,456
|
|
||
|
Ford Mtr Cr Co
|
|
3.336% 3/18/21
|
|
1,730,000
|
|
|
1,740,553
|
|
||
|
Ford Mtr Cr Llc
|
|
2.375% 1/16/18
|
|
1,680,000
|
|
|
1,687,313
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Ford Mtr Cr Llc
|
|
2.459% 3/27/20
|
|
2,000,000
|
|
|
1,973,020
|
|
||
|
Ford Mtr Cr Llc
|
|
4.25% 9/20/22
|
|
1,475,000
|
|
|
1,518,033
|
|
||
|
Ford Mtr Cr Llc
|
|
5% 5/15/18
|
|
605,000
|
|
|
628,592
|
|
||
|
Ford Mtr Credit
|
|
4.134% 8/04/25
|
|
1,875,000
|
|
|
1,877,798
|
|
||
|
Fordf
|
|
2016-3 A1 1.55% 7/21
|
|
1,198,000
|
|
|
1,185,650
|
|
||
|
Fordo
|
|
16-B A3 1.33% 10/20
|
|
1,768,000
|
|
|
1,762,186
|
|
||
|
Fordo
|
|
2015-C A3 1.41% 2/20
|
|
553,000
|
|
|
553,190
|
|
||
|
Fordo
|
|
2016-A A3 2.01% 7/20
|
|
753,000
|
|
|
752,674
|
|
||
|
Fordr
|
|
15-2 A 2.44% 1/27
|
|
450,000
|
|
|
453,954
|
|
||
|
Fordr
|
|
2014-2 A 2.31% 4/26
|
|
473,000
|
|
|
476,956
|
|
||
|
Forest Labs
|
|
4.375% 2/19 144A
|
|
1,560,000
|
|
|
1,620,483
|
|
||
|
Fortive Corp
|
|
1.8% 6/19 144A
|
|
178,000
|
|
|
176,847
|
|
||
|
Fortive Corp
|
|
2.35% 6/21 144A
|
|
302,000
|
|
|
297,694
|
|
||
|
FSPC
|
|
T-54 2A 6% 2/43
|
|
83,469
|
|
|
93,688
|
|
||
|
FSPC
|
|
T-54 3A 7% 2/43
|
|
36,967
|
|
|
42,213
|
|
||
|
Futures Cash Collateral
|
|
Futures Cash Collateral
|
|
960,000
|
|
|
960,000
|
|
||
|
Ge Cap Fdg
|
|
3.373% 11/15/25
|
|
1,687,000
|
|
|
1,712,577
|
|
||
|
Ge Cap Intl
|
|
2.342% 11/15/20
|
|
1,676,000
|
|
|
1,672,154
|
|
||
|
Gecap
|
|
5.3% 2/11/21
|
|
470,000
|
|
|
520,843
|
|
||
|
General Elec Cap
|
|
2.2% 1/09/20
|
|
224,000
|
|
|
224,616
|
|
||
|
General Elec Cap
|
|
3.1% 1/09/23
|
|
649,000
|
|
|
657,091
|
|
||
|
General Elec Cap
|
|
4.65% 10/17/21
|
|
160,000
|
|
|
175,348
|
|
||
|
General Elec Co
|
|
3.375% 3/11/24
|
|
786,000
|
|
|
806,936
|
|
||
|
General Mtr Finl
|
|
3.7% 5/09/23
|
|
1,800,000
|
|
|
1,769,274
|
|
||
|
Gfort
|
|
16-1 A1 1.86% 5/21
|
|
630,000
|
|
|
627,987
|
|
||
|
Gmalt
|
|
2015-1 A3 1.53% 9/18
|
|
659,000
|
|
|
659,890
|
|
||
|
Gmalt
|
|
2015-2 A3 1.68% 12/18
|
|
559,000
|
|
|
560,515
|
|
||
|
GNII II
|
|
5.50% 7/38 #004187
|
|
21,705
|
|
|
23,178
|
|
||
|
GNII II
|
|
6.00% 11/38 #004285
|
|
38,739
|
|
|
42,361
|
|
||
|
GNII II
|
|
6.50% 9/29 #002808
|
|
222,653
|
|
|
255,611
|
|
||
|
GNMA
|
|
15YR 4.50% 12/18 #781681
|
|
74,177
|
|
|
75,888
|
|
||
|
GNMA
|
|
15YR 6.50% 5/17 #569432
|
|
1,504
|
|
|
1,514
|
|
||
|
GNMA
|
|
15YR 6.50% 6/20 #641437
|
|
18,454
|
|
|
19,573
|
|
||
|
GNMA
|
|
20YR 6.50% 4/23 #593677
|
|
15,768
|
|
|
17,314
|
|
||
|
GNMA
|
|
30YR 5.5% 11/35#783799
|
|
201,875
|
|
|
231,162
|
|
||
|
GNMA
|
|
30YR 5.5% 6/35#783800
|
|
96,010
|
|
|
110,022
|
|
||
|
GNMA
|
|
4.50% 3/41 #738108
|
|
1,643,306
|
|
|
1,790,103
|
|
||
|
GNMA
|
|
6.50% 1/23 #530795
|
|
103,236
|
|
|
113,358
|
|
||
|
GNMA
|
|
7.00% 10/28 #481353
|
|
71,403
|
|
|
83,444
|
|
||
|
GNMA
|
|
7.00% 2/28 #462548
|
|
1,639
|
|
|
1,860
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
GNMA
|
|
7.00% 5/32 #552576
|
|
14,199
|
|
|
16,658
|
|
||
|
GNMA
|
|
7.00% 7/28 #462643
|
|
77,594
|
|
|
90,114
|
|
||
|
GNMA
|
|
7.00% 8/28 #416611
|
|
25,500
|
|
|
29,459
|
|
||
|
GNMA
|
|
7.00% 8/28 #458917
|
|
5,763
|
|
|
6,641
|
|
||
|
GNMA
|
|
8.00% 11/29 #186997
|
|
3,278
|
|
|
3,872
|
|
||
|
GNR
|
|
13-41 PA 2.5% 4/40
|
|
366,090
|
|
|
370,851
|
|
||
|
GNR
|
|
2000-9 ZJ 8.5% 2/30
|
|
72,381
|
|
|
83,968
|
|
||
|
GNR
|
|
2002-33 ZD 6% 5/32
|
|
441,885
|
|
|
495,520
|
|
||
|
GNR
|
|
2008-47 PC 5% 11/16/37
|
|
1,230,891
|
|
|
1,292,633
|
|
||
|
GNR
|
|
2009-127 PL 4.25% 10/38
|
|
431,195
|
|
|
444,187
|
|
||
|
GNR
|
|
2009-65 GL 4.5% 5/38
|
|
320,510
|
|
|
327,614
|
|
||
|
GNR
|
|
2009-79 PC 4.5% 8/36
|
|
416,636
|
|
|
418,949
|
|
||
|
GNR
|
|
2010-162 PQ 4.5% 6/39
|
|
277,012
|
|
|
286,277
|
|
||
|
GNR
|
|
2010-47 CN 4.5% 8/38
|
|
264,986
|
|
|
270,914
|
|
||
|
GNR
|
|
2010-61 HD 3.5% 11/38
|
|
2,459,841
|
|
|
2,504,249
|
|
||
|
GNR
|
|
2010-68 LA 4.5% 3/38
|
|
660,562
|
|
|
675,903
|
|
||
|
GNR
|
|
2010-73 CB 4.40% 8/35
|
|
697,919
|
|
|
716,149
|
|
||
|
GNR
|
|
2010-73 GA 4.5% 9/36
|
|
913,785
|
|
|
947,700
|
|
||
|
GNR
|
|
2010-98 Ch 3% 10/39
|
|
668,613
|
|
|
681,202
|
|
||
|
GNR
|
|
2011-66 NJ 3% 11/38
|
|
216,144
|
|
|
217,718
|
|
||
|
GNR
|
|
2013-106 Pa 4% 2/43
|
|
2,619,341
|
|
|
2,760,615
|
|
||
|
Goldman Sachs
|
|
2.6% 4/23/20
|
|
2,000,000
|
|
|
2,000,780
|
|
||
|
Goldman Sachs
|
|
2.625% 1/19
|
|
1,060,000
|
|
|
1,071,013
|
|
||
|
Goldman Sachs
|
|
2.625% 4/25/21
|
|
420,000
|
|
|
416,590
|
|
||
|
Goldman Sachs
|
|
2.75 9/15/20
|
|
2,000,000
|
|
|
2,007,170
|
|
||
|
Goldman Sachs
|
|
3.75% 2/25/26
|
|
800,000
|
|
|
801,252
|
|
||
|
Goldman Sachs
|
|
3.85% 7/08/24
|
|
740,000
|
|
|
754,517
|
|
||
|
Goldman Sachs
|
|
3ML+110 11/18
|
|
170,000
|
|
|
171,616
|
|
||
|
Goldman Sachs
|
|
5.75% 1/24/22
|
|
1,580,000
|
|
|
1,774,577
|
|
||
|
Goldman Sachs
|
|
5.95% 1/18/18
|
|
665,000
|
|
|
692,709
|
|
||
|
Goldman Sachs
|
|
6.15% 4/01/18
|
|
400,000
|
|
|
420,710
|
|
||
|
Goldman Sachs
|
|
7.5% 2/15/19
|
|
163,000
|
|
|
180,635
|
|
||
|
Gsinc
|
|
2.375% 1/22/18
|
|
495,000
|
|
|
497,886
|
|
||
|
Gsinc
|
|
5.25% 7/27/21
|
|
2,420,000
|
|
|
2,649,982
|
|
||
|
GSMS
|
|
14-Gc18 Aab 3.648% 1/47
|
|
116,000
|
|
|
121,779
|
|
||
|
GSMS
|
|
14-Gc20 Aab 3.655% 4/47
|
|
134,000
|
|
|
140,697
|
|
||
|
GSMS
|
|
15-Gc32 A3 3.498% 7/48
|
|
4,300,000
|
|
|
4,415,368
|
|
||
|
GSMS
|
|
2012-Gcj9 A3 2.773% 11/45
|
|
265,000
|
|
|
267,156
|
|
||
|
GSMS
|
|
2013-GC10 A2 1.84% 2/46
|
|
116,387
|
|
|
116,713
|
|
||
|
GSMS
|
|
2013-Gc10 A5 2.943% 2/46
|
|
344,000
|
|
|
348,826
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
GSMS
|
|
2013-GC12 A1 VAR 6/46
|
|
96,518
|
|
|
96,280
|
|
||
|
Guardian Life Gbl
|
|
2% 4/21 144A
|
|
380,000
|
|
|
370,283
|
|
||
|
Harley David
|
|
2.7% 3/15/17 144A
|
|
350,000
|
|
|
350,817
|
|
||
|
Harot
|
|
2015-4 A3 1.23% 9/23/19
|
|
503,000
|
|
|
501,772
|
|
||
|
Harot
|
|
2016-2 A3 1.39% 4/20
|
|
352,000
|
|
|
351,454
|
|
||
|
Hart
|
|
2015-B A3 1.12% 11/19
|
|
2,995,000
|
|
|
2,989,520
|
|
||
|
Hart
|
|
2015-C A3 1.46% 2/20
|
|
545,000
|
|
|
545,225
|
|
||
|
Hart
|
|
2016-A A3 1.56% 9/20
|
|
275,000
|
|
|
274,930
|
|
||
|
Hart
|
|
2016-B A3 1.29% 4/21
|
|
872,000
|
|
|
864,974
|
|
||
|
HCP Inc
|
|
4.0% 12/01/22
|
|
1,200,000
|
|
|
1,233,947
|
|
||
|
Hess Corp
|
|
4.3% 4/01/27
|
|
340,000
|
|
|
337,937
|
|
||
|
Hewlett Packar
|
|
Step 10/05/18
|
|
890,000
|
|
|
898,439
|
|
||
|
Hewlett Pkrd Entr
|
|
Var 10/05/17
|
|
2,610,000
|
|
|
2,624,373
|
|
||
|
Hfmot
|
|
2016-1A A2 1.81% 3/21
|
|
437,000
|
|
|
435,981
|
|
||
|
HSBC
|
|
1.5% 5/15/18 144A
|
|
930,000
|
|
|
924,686
|
|
||
|
Hsbc Bnk
|
|
4.125% 8/12/20 144A
|
|
2,000,000
|
|
|
2,097,584
|
|
||
|
HSBC Hldngs Plc
|
|
4.875% 1/22
|
|
675,000
|
|
|
727,991
|
|
||
|
Hsbc Holdings
|
|
2.95% 5/25/21
|
|
2,325,000
|
|
|
2,322,087
|
|
||
|
HSBC Holdings Plc
|
|
5.1% 4/05/21
|
|
360,000
|
|
|
388,735
|
|
||
|
HSBC USA Inc
|
|
2.25% 6/23/19
|
|
659,000
|
|
|
658,591
|
|
||
|
HSBC USA Inc
|
|
2.625% 9/24/18
|
|
1,848,000
|
|
|
1,866,583
|
|
||
|
Hunt Auto
|
|
16-1 A3 1.57% 11/20
|
|
429,000
|
|
|
428,121
|
|
||
|
Huntingtn Bcshrs
|
|
2.3% 1/14/22
|
|
1,000,000
|
|
|
968,910
|
|
||
|
Huntington Banc
|
|
2.6% 8/02/18
|
|
2,450,000
|
|
|
2,473,469
|
|
||
|
Husky Energy In
|
|
4% 4/15/24
|
|
1,000,000
|
|
|
1,017,039
|
|
||
|
Hyundai Cap Am
|
|
2.6% 3/20 144A
|
|
380,000
|
|
|
377,098
|
|
||
|
Hyundai Cap Ame
|
|
2.55% 2/19 144A
|
|
890,000
|
|
|
894,883
|
|
||
|
IL Sales Tax
|
|
1.56% 6/15/17
|
|
2,150,000
|
|
|
2,155,934
|
|
||
|
Ilfc Mtn
|
|
7.125% 9/01/18 144A
|
|
1,941,000
|
|
|
2,091,428
|
|
||
|
Imperial Tbcco
|
|
2.95% 7/20 144A
|
|
2,000,000
|
|
|
2,010,794
|
|
||
|
Ingsll-Rand Glb
|
|
2.875% 1/15/19
|
|
160,000
|
|
|
162,808
|
|
||
|
Intercont Exch
|
|
2.5% 10/15/18
|
|
318,000
|
|
|
322,230
|
|
||
|
Intercont Exch
|
|
2.75% 12/01/20
|
|
534,000
|
|
|
538,898
|
|
||
|
Intl Paper Co
|
|
4.75% 2/15/22
|
|
1,855,000
|
|
|
2,004,721
|
|
||
|
Israel Glbl
|
|
5.5% 12/04/23
|
|
160,000
|
|
|
190,127
|
|
||
|
Jackson Natl Lf
|
|
2.25% 4/29/21
|
|
2,845,000
|
|
|
2,803,250
|
|
||
|
Japan Bank Intl
|
|
1.5% 7/21/21
|
|
787,000
|
|
|
753,856
|
|
||
|
Jefferies Grp
|
|
6.875% 4/15/21
|
|
985,000
|
|
|
1,119,669
|
|
||
|
John Deere Capital
|
|
2.8% 3/21
|
|
2,000,000
|
|
|
2,026,882
|
|
||
|
John Deere Capital
|
|
3.9% 7/12/21
|
|
500,000
|
|
|
527,955
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Johnson & Johnson
|
|
2.05% 3/01/23
|
|
1,060,000
|
|
|
1,030,237
|
|
||
|
Jordan Govt
|
|
3% 6/30/25
|
|
790,000
|
|
|
804,734
|
|
||
|
JPM T
|
|
13-C16 A2 3.07% 12/46
|
|
2,509,590
|
|
|
2,560,673
|
|
||
|
JPMBB
|
|
15-C27 A3A1 2.9202% 2/48
|
|
4,500,000
|
|
|
4,439,447
|
|
||
|
JPMBB
|
|
15-C29 A2 2.8596% 5/48
|
|
379,000
|
|
|
387,642
|
|
||
|
JPMBB
|
|
15-C32 A4 3.3293% 11/48
|
|
3,000,000
|
|
|
3,022,301
|
|
||
|
JPMC Co
|
|
2.2% 10/22/19
|
|
870,000
|
|
|
873,074
|
|
||
|
JPMC Co
|
|
2.35% 1/28/19
|
|
820,000
|
|
|
826,492
|
|
||
|
JPMC Co
|
|
2.55% 10/29/20
|
|
400,000
|
|
|
399,396
|
|
||
|
JPMC Co
|
|
3.625% 5/13/24
|
|
1,340,000
|
|
|
1,361,432
|
|
||
|
JPMC Co
|
|
4.25% 10/15/20
|
|
2,050,000
|
|
|
2,167,762
|
|
||
|
JPMC Co
|
|
4.625% 5/10/21
|
|
1,400,000
|
|
|
1,506,149
|
|
||
|
JPMCC
|
|
16-Jp4 A2 2.9343% 12/49
|
|
507,000
|
|
|
519,200
|
|
||
|
JPMCC
|
|
2013-C10 0.7302% 12/15/47
|
|
43,677
|
|
|
43,596
|
|
||
|
JPMCC
|
|
2015-Jp1 A2 3.1438% 1/49
|
|
423,000
|
|
|
435,965
|
|
||
|
JPMorgan Chase
|
|
2.25%1/23/20
|
|
640,000
|
|
|
638,093
|
|
||
|
JPMorgan Chase
|
|
2.75% 6/20
|
|
1,140,000
|
|
|
1,149,519
|
|
||
|
JPMorgan Chase
|
|
2.95% 10/01/26
|
|
1,140,000
|
|
|
1,086,456
|
|
||
|
JPMorgan Chase
|
|
3.2% 1/25/23
|
|
1,000,000
|
|
|
1,010,119
|
|
||
|
JPMorgan Chase
|
|
3.2% 6/26
|
|
2,060,000
|
|
|
2,013,261
|
|
||
|
JPMorgan Chase
|
|
4.95% 3/25/20
|
|
650,000
|
|
|
699,899
|
|
||
|
Jpn Fin Org
|
|
2.125% 10/23 144A
|
|
1,000,000
|
|
|
950,139
|
|
||
|
Key Bank Na
|
|
2.5% 12/15/19
|
|
307,000
|
|
|
310,041
|
|
||
|
Keybank Natl
|
|
1.65% 2/01/18
|
|
1,100,000
|
|
|
1,100,512
|
|
||
|
Keybank Natl
|
|
2.25% 3/16/20
|
|
250,000
|
|
|
248,788
|
|
||
|
Keybank Natl Assn
|
|
1.6% 8/22/19
|
|
384,000
|
|
|
378,569
|
|
||
|
Keycorp Mtn
|
|
2.9% 9/15/20
|
|
2,000,000
|
|
|
2,022,196
|
|
||
|
Keycorp Mtn
|
|
5.1% 3/24/21
|
|
435,000
|
|
|
475,299
|
|
||
|
Kinder Morgan En
|
|
2.65% 2/01/19
|
|
207,000
|
|
|
208,015
|
|
||
|
Kinder Morgan Ic
|
|
3.05% 12/01/19
|
|
392,000
|
|
|
397,437
|
|
||
|
Kinder Mrgn Inc
|
|
2% 12/01/17
|
|
146,000
|
|
|
146,213
|
|
||
|
Kraft Foods
|
|
5.375% 2/20 WI
|
|
523,000
|
|
|
566,117
|
|
||
|
Kraft Foods Grp
|
|
3.5% 6/22 WI
|
|
980,000
|
|
|
996,046
|
|
||
|
Kraft Heinz Co
|
|
3.95% 7/15/25
|
|
3,180,000
|
|
|
3,217,324
|
|
||
|
Kraft Heinz Food
|
|
3% 6/01/26
|
|
400,000
|
|
|
374,982
|
|
||
|
Kroger Co
|
|
2% 1/15/19
|
|
1,000,000
|
|
|
1,002,065
|
|
||
|
Kroger Co
|
|
2.3% 1/15/19
|
|
350,000
|
|
|
352,053
|
|
||
|
Kroger Co
|
|
3.3% 1/15/21
|
|
215,000
|
|
|
220,744
|
|
||
|
Laboratory Corp
|
|
3.2% 2/01/22
|
|
150,000
|
|
|
151,095
|
|
||
|
LBUBS
|
|
2007-C7 A3 5.886% 9/45
|
|
342,284
|
|
|
350,737
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
LG&E & Ku Energ
|
|
3.75% 11/20
|
|
1,250,000
|
|
|
1,299,141
|
|
||
|
Liberty Mutual
|
|
4.95% 5/22 144A
|
|
930,000
|
|
|
1,013,716
|
|
||
|
Liberty Mutual
|
|
5% 6/01/21 144A
|
|
390,000
|
|
|
423,948
|
|
||
|
Lincoln National
|
|
6.25% 2/15/20
|
|
1,350,000
|
|
|
1,490,054
|
|
||
|
Lloyds Bank Plc
|
|
1.75% 3/16/18
|
|
1,890,000
|
|
|
1,887,059
|
|
||
|
Lloyds Bank Plc
|
|
1.75% 5/14/18
|
|
1,965,000
|
|
|
1,962,094
|
|
||
|
Lockheed Martin
|
|
2.5% 11/23/20
|
|
1,500,000
|
|
|
1,511,507
|
|
||
|
Lyondellbas Inds
|
|
5% 4/15/19
|
|
2,000,000
|
|
|
2,111,460
|
|
||
|
Mack Cali Rlty Lp
|
|
2.5% 12/15/17
|
|
400,000
|
|
|
401,213
|
|
||
|
Macys Retail
|
|
3.875% 1/15/22
|
|
270,000
|
|
|
276,284
|
|
||
|
Manitoba Prov
|
|
2.125% 6/26
|
|
100,000
|
|
|
93,141
|
|
||
|
Manu&Trd Nt Prg
|
|
2.3% 1/30/19
|
|
450,000
|
|
|
453,164
|
|
||
|
Manufctrs & Trdr
|
|
2.1% 2/06/20
|
|
600,000
|
|
|
597,940
|
|
||
|
Marathon Petrol
|
|
2.7% 12/14/18
|
|
515,000
|
|
|
521,748
|
|
||
|
Markel Corp
|
|
7.125% 9/30/19
|
|
1,300,000
|
|
|
1,455,597
|
|
||
|
Marriott Intl
|
|
3% 3/01/19
|
|
2,440,000
|
|
|
2,481,873
|
|
||
|
Marsh & Mclenn
|
|
2.35% 3/06/20
|
|
550,000
|
|
|
550,193
|
|
||
|
Martin Mariet Frn
|
|
3ML+110 6/17
|
|
630,000
|
|
|
631,084
|
|
||
|
Massmutual
|
|
2.45% 11/23/20 144A
|
|
3,550,000
|
|
|
3,546,312
|
|
||
|
Massmutual Glb
|
|
2.35% 4/19 144A
|
|
890,000
|
|
|
898,034
|
|
||
|
Mbalt
|
|
2015-B A3 1.34% 7/18
|
|
380,000
|
|
|
380,287
|
|
||
|
Mbart
|
|
2016-1 A3 1.26% 2/21
|
|
830,000
|
|
|
823,324
|
|
||
|
Mcdonalds Corp
|
|
2.75% 12/20
|
|
74,000
|
|
|
74,613
|
|
||
|
Mckesson Co
|
|
2.284% 3/15/2019
|
|
614,000
|
|
|
616,155
|
|
||
|
Mckesson Corp
|
|
4.75% 3/01/21
|
|
425,000
|
|
|
455,319
|
|
||
|
Medtronic Inc
|
|
2.5% 3/15/20
|
|
790,000
|
|
|
798,406
|
|
||
|
Medtronic Inc
|
|
3.5% 3/15/25
|
|
5,515,000
|
|
|
5,671,510
|
|
||
|
Merrill Lyn
|
|
6.875% 4/25/18
|
|
3,342,000
|
|
|
3,551,754
|
|
||
|
Merrill Lyn Co
|
|
6.4% 8/28/17
|
|
161,000
|
|
|
165,932
|
|
||
|
Met Life Glb
|
|
2.3% 4/10/19 144A
|
|
890,000
|
|
|
894,697
|
|
||
|
Met Life Glb
|
|
2.5% 12/03/20 144A
|
|
1,400,000
|
|
|
1,399,381
|
|
||
|
Met Life Glb Fn
|
|
7.717% 2/15/19
|
|
2,500,000
|
|
|
2,795,620
|
|
||
|
Met Life Glbl
|
|
1.5% 1/18 144A
|
|
1,150,000
|
|
|
1,150,062
|
|
||
|
Met Life Glbl Fdg
|
|
2% 4/20 144A
|
|
1,600,000
|
|
|
1,581,099
|
|
||
|
Mitsubish Ufj
|
|
2.19% 9/13/21
|
|
500,000
|
|
|
485,772
|
|
||
|
Mitsubishi
|
|
2.45% 10/16/19 144A
|
|
1,575,000
|
|
|
1,576,044
|
|
||
|
Mizuho Bk Ltd
|
|
2.45% 4/19 144A
|
|
450,000
|
|
|
451,730
|
|
||
|
Mizuho Finl
|
|
2.273% 9/13/21
|
|
500,000
|
|
|
485,051
|
|
||
|
Mizuho Finl
|
|
2.632% 04/21 144A
|
|
1,000,000
|
|
|
988,690
|
|
||
|
Mlcfc
|
|
2007-9 A4 5.748% 9/49
|
|
819,648
|
|
|
835,994
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Mondelez
|
|
1.625% 10/28/19 144A
|
|
2,230,000
|
|
|
2,184,987
|
|
||
|
Morgan Stanle Mtn
|
|
5.5% 1/26/20
|
|
1,360,000
|
|
|
1,473,527
|
|
||
|
Morgan Stanley
|
|
2.125% 4/25/18
|
|
360,000
|
|
|
361,383
|
|
||
|
Morgan Stanley
|
|
2.5% 4/21/21
|
|
2,340,000
|
|
|
2,312,559
|
|
||
|
Morgan Stanley
|
|
2.65% 1/27/20
|
|
2,100,000
|
|
|
2,108,572
|
|
||
|
Morgan Stanley
|
|
2.8% 6/16/20
|
|
4,000,000
|
|
|
4,029,916
|
|
||
|
Morgan Stanley
|
|
3.125% 7/27/26
|
|
1,420,000
|
|
|
1,354,616
|
|
||
|
Morgan Stanley
|
|
3.7% 10/23/24
|
|
350,000
|
|
|
353,733
|
|
||
|
Morgan Stanley
|
|
3.75% 2/25/23
|
|
1,795,000
|
|
|
1,841,884
|
|
||
|
Morgan Stanley
|
|
5.5% 7/28/21
|
|
525,000
|
|
|
581,266
|
|
||
|
Morgan Stanley
|
|
5.75% 1/25/21
|
|
3,070,000
|
|
|
3,403,743
|
|
||
|
Morgan Stanley
|
|
2.5% 1/24/19
|
|
1,330,000
|
|
|
1,343,502
|
|
||
|
Mosaic Co New
|
|
4.25% 11/15/23
|
|
2,275,000
|
|
|
2,291,457
|
|
||
|
Msbam
|
|
15-C22 Asb 3.04% 4/15/48
|
|
200,000
|
|
|
201,955
|
|
||
|
Msbam
|
|
2012-C5 A2 1.972% 8/45
|
|
579,593
|
|
|
580,736
|
|
||
|
Msbam
|
|
2012-C6 A4 2.858% 11/45
|
|
615,000
|
|
|
624,788
|
|
||
|
Msbam
|
|
2015-C21 A3 3.077% 3/48
|
|
2,000,000
|
|
|
1,990,555
|
|
||
|
Msbam
|
|
2016-C29 A1 1.597% 5/49
|
|
471,959
|
|
|
469,588
|
|
||
|
MSBAM
|
|
2014-C14 A2 2.916% 1/47
|
|
750,000
|
|
|
764,228
|
|
||
|
MSC
|
|
2007-IQ13 A1A 5.312% 3/44
|
|
104,870
|
|
|
104,999
|
|
||
|
MSC
|
|
2007-T27 A1A CSTR 6/42
|
|
620,174
|
|
|
627,365
|
|
||
|
MSC
|
|
2007-T27 A4 Cstr 6/42
|
|
2,214,165
|
|
|
2,239,232
|
|
||
|
MSC
|
|
2011-C3 A3 4.054% 7/49
|
|
53,443
|
|
|
55,566
|
|
||
|
MSC
|
|
2015-Ms1 A3 3.51% 5/48
|
|
3,500,000
|
|
|
3,559,456
|
|
||
|
Mufg Americas Hld
|
|
2.25% 2/20
|
|
1,703,000
|
|
|
1,683,788
|
|
||
|
Mylan Nv
|
|
2.5% 6/07/19 144A
|
|
811,000
|
|
|
806,404
|
|
||
|
Na Dev Bank
|
|
4.375% 2/11/20
|
|
2,100,000
|
|
|
2,232,892
|
|
||
|
Nabors Ind Inc
|
|
4.625% 9/15/21
|
|
1,000,000
|
|
|
1,016,520
|
|
||
|
Nabors Ind Mtn
|
|
6.15% 2/15/18
|
|
925,000
|
|
|
959,688
|
|
||
|
Narot
|
|
2015-A A3 1.05% 10/19
|
|
1,802,081
|
|
|
1,799,231
|
|
||
|
Narot
|
|
2015-C A3 1.37% 5/20
|
|
1,415,000
|
|
|
1,412,817
|
|
||
|
Narot
|
|
2016-A A3 1.34% 10/15/20
|
|
448,000
|
|
|
446,654
|
|
||
|
Narot
|
|
2016-B A3 1.32% 1/15/21
|
|
1,474,000
|
|
|
1,465,120
|
|
||
|
Narot
|
|
2016-C A3 1.18% 1/21
|
|
776,000
|
|
|
768,722
|
|
||
|
National Aus Bk
|
|
2.625% 1/14/21
|
|
1,635,000
|
|
|
1,634,158
|
|
||
|
Nationwide
|
|
2.45% 7/27/21 144A
|
|
1,250,000
|
|
|
1,232,255
|
|
||
|
Natl Aust Bk
|
|
2.25% 7/19 144A
|
|
2,025,000
|
|
|
2,030,581
|
|
||
|
Nat-Rural
|
|
2.3% 11/01/20
|
|
2,500,000
|
|
|
2,483,125
|
|
||
|
Navsl
|
|
2016-6A A1 1Ml+48 3/66
|
|
1,900,000
|
|
|
1,900,987
|
|
||
|
New York Life
|
|
1.95% 2/20 144A
|
|
1,000,000
|
|
|
992,246
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Newell Rubbermaid
|
|
4.2% 4/01/26
|
|
535,000
|
|
|
557,660
|
|
||
|
Nextera Energy
|
|
1.649% 9/01/18
|
|
167,000
|
|
|
166,446
|
|
||
|
Nippon Teleg&Telep
|
|
1.4%7/18/17
|
|
36,000
|
|
|
35,983
|
|
||
|
Nissan Motor
|
|
1.5% 3/18 144A
|
|
1,265,000
|
|
|
1,261,362
|
|
||
|
Nmotr
|
|
2016-A A2 1.54% 6/21
|
|
452,000
|
|
|
449,139
|
|
||
|
Noble Energy Inc
|
|
3.9% 11/15/24
|
|
1,500,000
|
|
|
1,509,627
|
|
||
|
Noble Enrgy Inc
|
|
4.15% 12/15/21
|
|
1,605,000
|
|
|
1,671,624
|
|
||
|
Nomura Holdings
|
|
2.75% 3/19/19
|
|
975,000
|
|
|
983,854
|
|
||
|
Nordea Bk Ab
|
|
2.375% 4/4/19 144
|
|
660,000
|
|
|
664,161
|
|
||
|
Norfolks South
|
|
3.25% 12/01/21
|
|
20,000
|
|
|
20,521
|
|
||
|
Novartis Cap Crp
|
|
2.4% 9/21/22
|
|
715,000
|
|
|
705,444
|
|
||
|
Nyse Euronext
|
|
2% 10/05/17
|
|
950,000
|
|
|
955,023
|
|
||
|
Occidental Petrol
|
|
3% 2/15/27
|
|
330,000
|
|
|
318,797
|
|
||
|
Oneok Partners
|
|
3.2% 9/15/18
|
|
65,000
|
|
|
66,407
|
|
||
|
Oneok Partners
|
|
3.375% 10/01/22
|
|
1,145,000
|
|
|
1,148,556
|
|
||
|
Oneok Partners Lp
|
|
2% 10/01/17
|
|
160,000
|
|
|
160,435
|
|
||
|
Oracle Corp
|
|
1.9% 9/15/21
|
|
5,725,000
|
|
|
5,589,094
|
|
||
|
Orange Sa
|
|
2.75% 2/06/19
|
|
1,335,000
|
|
|
1,352,180
|
|
||
|
People's United
|
|
3.65% 12/06/22
|
|
995,000
|
|
|
999,506
|
|
||
|
People's United Bk
|
|
4% 7/15/24
|
|
405,000
|
|
|
398,478
|
|
||
|
Pepsico Inc
|
|
1.7% 10/06/2021
|
|
1,000,000
|
|
|
971,499
|
|
||
|
Pg&E Corp
|
|
2.4% 3/01/19
|
|
67,000
|
|
|
67,240
|
|
||
|
Philip Morris Intl
|
|
1.875% 2/21
|
|
1,294,000
|
|
|
1,265,352
|
|
||
|
Philip Mors Int
|
|
1.875% 1/15/19
|
|
450,000
|
|
|
449,955
|
|
||
|
Phillips
|
|
66 2.95% 5/01/17
|
|
375,000
|
|
|
377,083
|
|
||
|
Plains All/Paa Fin
|
|
4.5% 12/26
|
|
800,000
|
|
|
810,400
|
|
||
|
Pnc Bank Na
|
|
2.15% 4/29/21
|
|
1,000,000
|
|
|
985,921
|
|
||
|
Pnc Bank Na
|
|
2.55% 12/09/21
|
|
500,000
|
|
|
499,931
|
|
||
|
Pnc Bank Na
|
|
3.25% 6/01/25
|
|
2,150,000
|
|
|
2,143,361
|
|
||
|
Pnc Bank Na
|
|
2.25% 7/02/19
|
|
2,530,000
|
|
|
2,544,368
|
|
||
|
Pnc Bk Na
|
|
6.875% 4/01/18
|
|
250,000
|
|
|
264,858
|
|
||
|
Pnc Bk Na Pitts
|
|
2.95% 1/30/23
|
|
1,040,000
|
|
|
1,023,935
|
|
||
|
Pnc Bk Pitt Mtn
|
|
2.2% 1/28/19
|
|
450,000
|
|
|
452,214
|
|
||
|
Pnc Financial
|
|
3.8% 7/25/23
|
|
460,000
|
|
|
473,792
|
|
||
|
Pnc Fund Corp
|
|
4.375% 8/11/20
|
|
1,200,000
|
|
|
1,276,922
|
|
||
|
Pnc Funding Corp
|
|
5.625% 2/01/17
|
|
20,000
|
|
|
20,060
|
|
||
|
Ppl Cap Fd Inc
|
|
3.5% 12/01/22
|
|
405,000
|
|
|
413,737
|
|
||
|
Pricoa Gbl
|
|
2.55% 11/24/20 144A
|
|
2,000,000
|
|
|
1,998,822
|
|
||
|
Pricoa Global
|
|
1.9% 9/18 144A
|
|
300,000
|
|
|
300,797
|
|
||
|
Principal
|
|
1.5% 4/18/19 144A
|
|
225,000
|
|
|
222,118
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Principal FdgII
|
|
2.2% 4/20 144A
|
|
1,355,000
|
|
|
1,343,957
|
|
||
|
Principal Fin
|
|
3.3% 9/15/22
|
|
460,000
|
|
|
464,999
|
|
||
|
Private Export
|
|
1.875% 7/15/18
|
|
205,000
|
|
|
206,553
|
|
||
|
Private Export Fd
|
|
2.3% 9/15/20
|
|
4,010,000
|
|
|
4,086,210
|
|
||
|
Private Expt Fdg
|
|
2.45 7/15/24
|
|
290,000
|
|
|
282,144
|
|
||
|
Progress Ene
|
|
4.875% 12/01/19
|
|
1,500,000
|
|
|
1,610,039
|
|
||
|
Pt Holdings Co Inc (Unlist)
|
|
0
|
|
525
|
|
|
—
|
|
||
|
Pub Svc Oklahoma
|
|
5.15% 12/01/19
|
|
27,000
|
|
|
29,020
|
|
||
|
Public Svc Ent
|
|
2% 11/15/21
|
|
293,000
|
|
|
283,428
|
|
||
|
Quebec Province
|
|
7.14% 2/27/26
|
|
630,000
|
|
|
806,350
|
|
||
|
Regions Fin Corp
|
|
2.25% 9/14/18
|
|
250,000
|
|
|
250,777
|
|
||
|
Regions Finl Corp
|
|
3.2% 2/08/21
|
|
1,000,000
|
|
|
1,013,338
|
|
||
|
Reliance Std Lf
|
|
2.5% 1/15/20
|
|
2,745,000
|
|
|
2,726,658
|
|
||
|
Reynolds American
|
|
2.3% 6/18
|
|
168,000
|
|
|
169,039
|
|
||
|
Reynolds American
|
|
2.3% 8/21/17
|
|
270,000
|
|
|
271,321
|
|
||
|
Reynolds American
|
|
3.25% 6/20
|
|
504,000
|
|
|
516,132
|
|
||
|
Reynolds American
|
|
4% 6/12/22
|
|
257,000
|
|
|
268,522
|
|
||
|
RFCO Sp
|
|
10/15/2020
|
|
2,180,000
|
|
|
2,035,867
|
|
||
|
Roper Industries
|
|
1.85% 11/15/17
|
|
650,000
|
|
|
651,971
|
|
||
|
Roper Industries
|
|
2.05% 10/01/18
|
|
609,000
|
|
|
610,956
|
|
||
|
Roper Technologies
|
|
2.8% 12/15/21
|
|
651,000
|
|
|
650,028
|
|
||
|
Roper Technologies
|
|
3% 12/15/20
|
|
750,000
|
|
|
759,165
|
|
||
|
Royal Bank Canada
|
|
1.5% 7/29/19
|
|
1,000,000
|
|
|
986,914
|
|
||
|
Royal Bk Can Gl
|
|
1.5% 1/14/18
|
|
860,000
|
|
|
858,695
|
|
||
|
Royal Bk Can Gl
|
|
2.35% 10/30/20
|
|
300,000
|
|
|
299,342
|
|
||
|
Royal Bk Cda
|
|
2.2% 7/27/18
|
|
500,000
|
|
|
503,253
|
|
||
|
Royal Bk Of Cda
|
|
2.15% 3/15/19
|
|
450,000
|
|
|
451,600
|
|
||
|
Ryder System Inc
|
|
2.35% 2/19
|
|
1,480,000
|
|
|
1,488,174
|
|
||
|
San Diego G&E
|
|
3% 8/15/21
|
|
500,000
|
|
|
513,944
|
|
||
|
Schlumberg
|
|
2.35% 12/21/18 144A
|
|
1,134,000
|
|
|
1,143,114
|
|
||
|
Se Banken
|
|
2.375% 3/25/19 144A
|
|
3,075,000
|
|
|
3,082,894
|
|
||
|
Select Income Reit
|
|
2.85% 2/18
|
|
339,000
|
|
|
340,412
|
|
||
|
Sempra Energy
|
|
1.625% 10/07/19
|
|
1,202,000
|
|
|
1,185,935
|
|
||
|
Sempra Energy
|
|
2.4% 3/15/20
|
|
445,000
|
|
|
444,101
|
|
||
|
Ses Gbl Amer
|
|
2.5% 3/19 144A
|
|
675,000
|
|
|
670,842
|
|
||
|
Shell Intl
|
|
2.25% 11/10/20
|
|
550,000
|
|
|
548,804
|
|
||
|
Shell Intl Fin Bv
|
|
2.125% 5/20
|
|
1,766,000
|
|
|
1,763,891
|
|
||
|
Shire Acq Inv Ire
|
|
2.4% 9/23/21
|
|
2,590,000
|
|
|
2,499,544
|
|
||
|
Simon Prop Grp
|
|
2.35% 1/30/22
|
|
175,000
|
|
|
172,474
|
|
||
|
Simon Property
|
|
3.375% 3/15/22
|
|
170,000
|
|
|
175,566
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Skandinaviska
|
|
2.375% 11/18 144A
|
|
1,505,000
|
|
|
1,514,757
|
|
||
|
Southern Company
|
|
2.35% 7/01/21
|
|
1,500,000
|
|
|
1,472,855
|
|
||
|
Ssbk Govt Stif Fund
|
|
0
|
|
23,177,496
|
|
|
23,177,496
|
|
||
|
Sstrt
|
|
2016-1A A3 1.76% 3/20
|
|
481,000
|
|
|
478,194
|
|
||
|
Stanley Blk Deckr
|
|
1.622% 11/18
|
|
1,415,000
|
|
|
1,406,003
|
|
||
|
Stat
|
|
15-1A A3 1.42% 9/19
|
|
4,500,000
|
|
|
4,499,422
|
|
||
|
Stifel Fin
|
|
4.25% 7/18/24
|
|
1,680,000
|
|
|
1,666,518
|
|
||
|
Sumitomo Bkg
|
|
2.25% 7/11/19
|
|
785,000
|
|
|
783,746
|
|
||
|
Sumitomo Bkg
|
|
2.45% 1/16/20
|
|
1,950,000
|
|
|
1,944,712
|
|
||
|
Sumitomo Bkg
|
|
2.45% 1/10/19
|
|
1,235,000
|
|
|
1,241,328
|
|
||
|
Suntrust
|
|
2.35% 11/01/18
|
|
1,230,000
|
|
|
1,240,668
|
|
||
|
Suntrust Banks
|
|
2.7% 1/27/22
|
|
1,500,000
|
|
|
1,499,127
|
|
||
|
Svensk Exportkr
|
|
1.75% 3/10/21
|
|
2,085,000
|
|
|
2,036,742
|
|
||
|
Svenska Ha Ab P
|
|
2.875% 4/04/17
|
|
295,000
|
|
|
296,380
|
|
||
|
Swiss Re Tres
|
|
2.875% 12/22 144A
|
|
580,000
|
|
|
571,399
|
|
||
|
Synchrony Fin
|
|
2.7% 2/03/20
|
|
805,000
|
|
|
802,174
|
|
||
|
Synchrony Fin
|
|
3.75% 8/15/21
|
|
640,000
|
|
|
657,229
|
|
||
|
Synchrony Financl
|
|
2.6% 1/15/19
|
|
1,200,000
|
|
|
1,205,664
|
|
||
|
Synct
|
|
2015-1 A 2.37% 3/23
|
|
748,000
|
|
|
754,746
|
|
||
|
Synct
|
|
2015-3 A 1.74% 9/21
|
|
750,000
|
|
|
750,398
|
|
||
|
Taot
|
|
2015-C A3 1.34% 6/19
|
|
4,640,000
|
|
|
4,640,239
|
|
||
|
Taot
|
|
2016-A A3 1.25% 3/20
|
|
2,800,000
|
|
|
2,794,416
|
|
||
|
Taot
|
|
2016-B A3 1.51% 4/20
|
|
1,417,000
|
|
|
1,412,457
|
|
||
|
Taot
|
|
2016-C A3 1.14% 8/20
|
|
493,000
|
|
|
489,762
|
|
||
|
Teva Pharm Ne
|
|
1.4% 7/20/18
|
|
1,085,000
|
|
|
1,075,973
|
|
||
|
Teva Pharm Ne
|
|
1.7% 7/19/19
|
|
939,000
|
|
|
922,188
|
|
||
|
Teva Pharm Ne
|
|
2.2% 7/21/21
|
|
3,167,000
|
|
|
3,027,057
|
|
||
|
Teva Pharm Ne
|
|
2.8% 7/21/23
|
|
227,000
|
|
|
214,633
|
|
||
|
Teva Pharm Ne
|
|
3.15% 10/01/26
|
|
590,000
|
|
|
543,120
|
|
||
|
Thermo Fisher
|
|
2.15% 12/14/18
|
|
189,000
|
|
|
189,828
|
|
||
|
Thermo Fisher
|
|
2.4% 2/01/19
|
|
2,081,000
|
|
|
2,096,069
|
|
||
|
Thermo Fisher Sc
|
|
1.85% 1/15/18
|
|
1,285,000
|
|
|
1,286,696
|
|
||
|
Time Warner Cab
|
|
5.85% 5/01/17W/I
|
|
741,000
|
|
|
751,498
|
|
||
|
Time Warner Cab
|
|
8.75% 2/14/19
|
|
1,600,000
|
|
|
1,802,482
|
|
||
|
Time Warner Inc
|
|
3.8% 2/15/27
|
|
825,000
|
|
|
817,755
|
|
||
|
Time Warner Inc
|
|
4.75% 3/29/21
|
|
1,149,000
|
|
|
1,229,914
|
|
||
|
Time Warnr Inc
|
|
4% 1/15/22
|
|
15,000
|
|
|
15,558
|
|
||
|
Tjx Cos Inc
|
|
2.75% 6/15/21
|
|
411,000
|
|
|
417,767
|
|
||
|
Toronto Dom
|
|
1.4% 4/30/18
|
|
1,160,000
|
|
|
1,157,033
|
|
||
|
Toronto Dom Bank
|
|
2.125% 4/07/21
|
|
1,000,000
|
|
|
983,861
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Toronto Domin Bk
|
|
2.5% 12/14/20
|
|
805,000
|
|
|
809,301
|
|
||
|
Toronto Domini
|
|
2.625% 9/10/18
|
|
1,930,000
|
|
|
1,959,222
|
|
||
|
Toronto Dominion
|
|
1.8% 7/13/21
|
|
1,445,000
|
|
|
1,398,003
|
|
||
|
Total Cap Cda L
|
|
1.45% 1/15/18
|
|
451,000
|
|
|
450,905
|
|
||
|
Total Cap Intl
|
|
2.875% 2/17/22
|
|
13,000
|
|
|
13,089
|
|
||
|
Total Cap Intl
|
|
2.125% 1/10/19
|
|
1,400,000
|
|
|
1,410,637
|
|
||
|
Total Cap Intl
|
|
2.75% 6/19/21
|
|
430,000
|
|
|
434,689
|
|
||
|
Transcanada Pipe
|
|
1.625% 11/17
|
|
900,000
|
|
|
899,285
|
|
||
|
Travelers Cos Inc
|
|
5.8% 5/15/18
|
|
35,000
|
|
|
36,917
|
|
||
|
Tva
|
|
7.125% 5/01/30
|
|
240,000
|
|
|
341,299
|
|
||
|
Ual Pass Thru Etc
|
|
9.75% 1/17
|
|
70,157
|
|
|
70,381
|
|
||
|
Ubs Ag Stam
|
|
2.375% 8/14/19
|
|
3,385,000
|
|
|
3,399,877
|
|
||
|
Ubs Grp Fndg
|
|
4.125% 4/26 144A
|
|
1,350,000
|
|
|
1,366,922
|
|
||
|
Ubsbb
|
|
2012-C2 A4 3.525 5/63
|
|
447,000
|
|
|
467,708
|
|
||
|
Ubsbb
|
|
2012-C4 A1 0.6728% 12/45
|
|
16,817
|
|
|
16,804
|
|
||
|
Ubsbb
|
|
2013-C6 A1 0.805% 4/46
|
|
89,274
|
|
|
89,013
|
|
||
|
Udr Inc Mtn
|
|
4.25% 6/01/18
|
|
402,000
|
|
|
415,198
|
|
||
|
Union Pac Corp
|
|
5.65% 5/01/17
|
|
18,000
|
|
|
18,273
|
|
||
|
United Health
|
|
2.7% 7/15/20
|
|
303,000
|
|
|
307,338
|
|
||
|
United Parcel S
|
|
5.125% 4/01/19
|
|
2,100,000
|
|
|
2,254,323
|
|
||
|
Unitedhealth Group
|
|
2.125% 3/15/21
|
|
600,000
|
|
|
592,477
|
|
||
|
Unitedhealth Group
|
|
3.45% 1/27
|
|
1,020,000
|
|
|
1,035,062
|
|
||
|
Unitedhealth Inc Mtn
|
|
4.7% 2/21
|
|
2,150,000
|
|
|
2,325,956
|
|
||
|
Unitedhelth Gr
|
|
2.875% 12/15/21
|
|
400,000
|
|
|
405,061
|
|
||
|
Us 10Yr Note
|
|
(Cbt)Mar17 Tyh7
|
|
(513
|
)
|
|
(176,344
|
)
|
||
|
Us 2Yr Note
|
|
(Cbt)Fut Mar17 Tuh7
|
|
155
|
|
|
9,688
|
|
||
|
Us 5Yr Note
|
|
(Cbt)Fut Mar17 Fvh7
|
|
830
|
|
|
136,172
|
|
||
|
Us Bancorp Med
|
|
2.95% 7/15/22
|
|
775,000
|
|
|
778,760
|
|
||
|
Us Long Bond
|
|
(Cbt) Mar17 Ush7
|
|
(23
|
)
|
|
(17,250
|
)
|
||
|
Us Ultra Bond
|
|
Fut Mar17 Wnh7
|
|
(97
|
)
|
|
(93,969
|
)
|
||
|
Usaa Capital
|
|
2% 6/01/21 144A
|
|
1,000,000
|
|
|
977,974
|
|
||
|
UST BOND
|
|
2.875% 5/15/43
|
|
220,000
|
|
|
212,041
|
|
||
|
UST Notes
|
|
1.375% 9/30/20
|
|
4,595,000
|
|
|
4,539,557
|
|
||
|
USTB
|
|
0% 1/05/17
|
|
235,000
|
|
|
234,995
|
|
||
|
USTB
|
|
0% 6/22/17
|
|
235,000
|
|
|
234,313
|
|
||
|
USTB
|
|
2.25% 8/15/46
|
|
1,030,000
|
|
|
863,831
|
|
||
|
USTB
|
|
2.50% 2/15/45
|
|
290,000
|
|
|
257,706
|
|
||
|
USTB
|
|
2.750% 11/15/42
|
|
655,000
|
|
|
617,326
|
|
||
|
USTB
|
|
2.875% 11/15/46
|
|
665,000
|
|
|
640,458
|
|
||
|
USTB
|
|
4.25% 11/15/40
|
|
6,285,000
|
|
|
7,616,308
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
USTB
|
|
4.75% 2/15/41
|
|
790,000
|
|
|
1,028,090
|
|
||
|
USTB
|
|
8.125% 8/15/21
|
|
795,000
|
|
|
1,011,611
|
|
||
|
USTN
|
|
0.625% 2/15/17
|
|
17,000,000
|
|
|
17,004,046
|
|
||
|
USTN
|
|
0.625% 4/30/2018
|
|
17,695,000
|
|
|
17,606,897
|
|
||
|
USTN
|
|
0.75% 7/15/19
|
|
64,864,300
|
|
|
63,897,662
|
|
||
|
USTN
|
|
0.75% 8/15/19
|
|
12,350,000
|
|
|
12,155,031
|
|
||
|
USTN
|
|
0.875% 6/15/19
|
|
29,698,000
|
|
|
29,376,816
|
|
||
|
USTN
|
|
0.875% 9/15/19
|
|
13,250,000
|
|
|
13,070,993
|
|
||
|
USTN
|
|
1% 5/31/18
|
|
14,620,000
|
|
|
14,612,690
|
|
||
|
USTN
|
|
1.125% 6/30/21
|
|
3,075,000
|
|
|
2,973,374
|
|
||
|
USTN
|
|
1.125% 7/31/21
|
|
934,200
|
|
|
902,180
|
|
||
|
USTN
|
|
1.25% 11/30/18
|
|
52,670,000
|
|
|
52,735,258
|
|
||
|
USTN
|
|
1.375% 9/30/18
|
|
18,309,000
|
|
|
18,374,619
|
|
||
|
USTN
|
|
1.5% 1/31/19
|
|
8,695,000
|
|
|
8,740,057
|
|
||
|
USTN
|
|
1.5% 10/31/19
|
|
1,385,000
|
|
|
1,387,704
|
|
||
|
USTN
|
|
1.5% 12/31/18
|
|
55,230,000
|
|
|
55,538,901
|
|
||
|
USTN
|
|
1.625% 3/31/19
|
|
6,395,000
|
|
|
6,443,851
|
|
||
|
USTN
|
|
1.625% 4/30/19
|
|
16,360,000
|
|
|
16,482,684
|
|
||
|
USTN
|
|
1.875% 11/30/21
|
|
3,915,000
|
|
|
3,900,550
|
|
||
|
USTN
|
|
2.125% 9/30/21
|
|
26,845,000
|
|
|
27,057,022
|
|
||
|
USTN
|
|
0.75% 1/31/18
|
|
2,765,000
|
|
|
2,758,994
|
|
||
|
USTN
|
|
0.75% 10/31/17
|
|
70,000
|
|
|
69,935
|
|
||
|
USTN
|
|
0.75% 10/31/18
|
|
15,735,000
|
|
|
15,618,954
|
|
||
|
USTN
|
|
0.875% 1/15/18
|
|
22,525,000
|
|
|
22,513,152
|
|
||
|
USTN
|
|
0.875% 1/31/18
|
|
1,465,000
|
|
|
1,463,822
|
|
||
|
USTN
|
|
0.875% 11/30/17
|
|
5,365,000
|
|
|
5,365,204
|
|
||
|
USTN
|
|
0.875% 4/15/19
|
|
21,580,000
|
|
|
21,379,673
|
|
||
|
USTN
|
|
0.875% 5/15/19
|
|
8,875,000
|
|
|
8,787,200
|
|
||
|
USTN
|
|
1% 11/15/19
|
|
2,650,000
|
|
|
2,616,846
|
|
||
|
USTN
|
|
1% 12/15/17
|
|
2,705,000
|
|
|
2,707,729
|
|
||
|
USTN
|
|
1% 12/31/17
|
|
13,330,000
|
|
|
13,339,718
|
|
||
|
USTN
|
|
1% 3/15/19
|
|
3,860,000
|
|
|
3,838,426
|
|
||
|
USTN
|
|
1% 9/15/18
|
|
1,380,000
|
|
|
1,376,865
|
|
||
|
USTN
|
|
1.0% 10/15/19
|
|
7,595,000
|
|
|
7,510,278
|
|
||
|
USTN
|
|
1.0% 8/15/18
|
|
4,040,000
|
|
|
4,034,041
|
|
||
|
USTN
|
|
1.125% 1/15/19
|
|
18,157,000
|
|
|
18,117,962
|
|
||
|
USTN
|
|
1.125% 12/31/19
|
|
24,220,000
|
|
|
23,971,721
|
|
||
|
USTN
|
|
1.25% 10/31/21
|
|
1,075,000
|
|
|
1,041,377
|
|
||
|
USTN
|
|
1.375% 1/31/21
|
|
10,000,000
|
|
|
9,831,940
|
|
||
|
USTN
|
|
1.375% 12/15/19
|
|
36,188,000
|
|
|
36,083,236
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
USTN
|
|
1.375% 2/28/19
|
|
5,484,000
|
|
|
5,497,957
|
|
||
|
USTN
|
|
1.375% 2/29/20
|
|
8,490,000
|
|
|
8,444,697
|
|
||
|
USTN
|
|
1.375% 3/31/20
|
|
10,987,000
|
|
|
10,922,968
|
|
||
|
USTN
|
|
1.375% 4/30/20
|
|
12,455,000
|
|
|
12,367,043
|
|
||
|
USTN
|
|
1.375% 4/30/21
|
|
21,535,000
|
|
|
21,106,475
|
|
||
|
USTN
|
|
1.625% 4/30/23
|
|
10,665,000
|
|
|
10,302,817
|
|
||
|
USTN
|
|
1.625% 6/30/19
|
|
29,844,000
|
|
|
30,055,833
|
|
||
|
USTN
|
|
1.625% 7/31/20
|
|
12,000,000
|
|
|
11,983,716
|
|
||
|
USTN
|
|
1.75% 11/30/21
|
|
10,567,000
|
|
|
10,477,667
|
|
||
|
USTN
|
|
1.75% 2/28/22
|
|
4,585,000
|
|
|
4,525,487
|
|
||
|
USTN
|
|
1.75% 3/31/22
|
|
24,865,000
|
|
|
24,508,013
|
|
||
|
USTN
|
|
1.875% 9/30/17
|
|
900,000
|
|
|
906,908
|
|
||
|
USTN
|
|
2% 11/15/26
|
|
890,000
|
|
|
854,925
|
|
||
|
USTN
|
|
2% 11/30/22
|
|
4,570,000
|
|
|
4,533,998
|
|
||
|
USTN
|
|
2% 12/31/21
|
|
17,380,000
|
|
|
17,426,179
|
|
||
|
USTN
|
|
2.125% 11/30/23
|
|
1,345,000
|
|
|
1,334,430
|
|
||
|
USTN
|
|
2.125% 12/31/21
|
|
1,225,000
|
|
|
1,234,233
|
|
||
|
USTN
|
|
2.125% 5/15/25
|
|
480,000
|
|
|
469,890
|
|
||
|
USTN
|
|
2.125% 6/30/22
|
|
1,105,000
|
|
|
1,107,693
|
|
||
|
USTN
|
|
2.625% 11/15/20
|
|
15,000,000
|
|
|
15,491,955
|
|
||
|
USTN
|
|
3.625% 2/15/21
|
|
5,020,000
|
|
|
5,384,231
|
|
||
|
Ustn Tii
|
|
1.375% 1/15/20
|
|
4,545,000
|
|
|
5,344,866
|
|
||
|
Valet
|
|
2013-2 A3 0.7% 4/18
|
|
119,508
|
|
|
119,393
|
|
||
|
Valet
|
|
2014-1 A3 0.91% 10/22/18
|
|
246,343
|
|
|
246,021
|
|
||
|
Vende
|
|
1994-1 2ZB 6.5% 2/24
|
|
234,947
|
|
|
258,703
|
|
||
|
Ventas Rlty Lp/Cap
|
|
2% 2/15/18
|
|
320,000
|
|
|
320,623
|
|
||
|
Verizon Com
|
|
1.75% 8/15/21
|
|
2,535,000
|
|
|
2,429,544
|
|
||
|
Verizon Com
|
|
3.45% 3/15/21
|
|
325,000
|
|
|
335,251
|
|
||
|
Verizon Com
|
|
3.5% 11/01/21
|
|
995,000
|
|
|
1,026,041
|
|
||
|
Verizon Com
|
|
3.65% 9/14/18
|
|
900,000
|
|
|
929,547
|
|
||
|
Verizon Com
|
|
4.5% 9/15/20
|
|
2,630,000
|
|
|
2,812,343
|
|
||
|
Verizon Com
|
|
4.6% 4/01/21
|
|
1,000,000
|
|
|
1,071,329
|
|
||
|
Verizon Com
|
|
5.15% 9/15/23
|
|
8,360,000
|
|
|
9,234,381
|
|
||
|
Viacom Inc
|
|
2.5% 9/01/18
|
|
350,000
|
|
|
350,987
|
|
||
|
Virginia El&Pwr
|
|
2.95% 1/15/22
|
|
340,000
|
|
|
344,338
|
|
||
|
Volkswagen
|
|
2.125% 11/18 144A
|
|
600,000
|
|
|
599,665
|
|
||
|
Volkswagen Grp
|
|
2.4% 5/20 144A
|
|
300,000
|
|
|
296,677
|
|
||
|
VWALT
|
|
2015-A A3 1.25% 12/17
|
|
429,651
|
|
|
429,686
|
|
||
|
Wachovia Bk Na Bn
|
|
6% 11/15/17
|
|
300,000
|
|
|
311,319
|
|
||
|
Wachovia Corp Mtn
|
|
5.75% 2/01/18
|
|
2,000,000
|
|
|
2,084,950
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Walgreens Boots
|
|
1.75% 5/30/18
|
|
593,000
|
|
|
593,502
|
|
||
|
Watson Pharma Inc
|
|
3.25% 10/01/22
|
|
700,000
|
|
|
696,368
|
|
||
|
WBCMT
|
|
2006-C26 A1A CSTR 6/45
|
|
40,021
|
|
|
39,945
|
|
||
|
Wellpoint inc
|
|
2.3% 7/15/18
|
|
327,000
|
|
|
329,084
|
|
||
|
Wells Fargo
|
|
2.5% 3/04/21
|
|
2,500,000
|
|
|
2,479,390
|
|
||
|
Wells Fargo
|
|
2.55% 12/07/20
|
|
1,080,000
|
|
|
1,080,377
|
|
||
|
Wells Fargo
|
|
2.6% 7/20
|
|
500,000
|
|
|
502,527
|
|
||
|
Wells Fargo
|
|
3% 1/22/21
|
|
844,000
|
|
|
858,140
|
|
||
|
Western Gas Part
|
|
4% 7/01/22
|
|
395,000
|
|
|
401,042
|
|
||
|
Western Union Co
|
|
2.875% 12/17
|
|
682,000
|
|
|
688,909
|
|
||
|
Westpac Banking
|
|
1.6% 8/19/19
|
|
1,000,000
|
|
|
987,640
|
|
||
|
Westpac Banking
|
|
2.6% 11/20
|
|
2,580,000
|
|
|
2,588,390
|
|
||
|
WFCM
|
|
15-Lc20 A3 3.086% 4/50
|
|
4,800,000
|
|
|
4,872,987
|
|
||
|
WFCM
|
|
2.528% 10/45
|
|
322,000
|
|
|
325,110
|
|
||
|
WFCM
|
|
2013-LC12 A1 1.676% 7/46
|
|
477,981
|
|
|
478,871
|
|
||
|
WFCM
|
|
2016-C34 A2 2.741% 5/49
|
|
210,000
|
|
|
211,669
|
|
||
|
WFCM
|
|
2016-C35 A2 2.495% 7/48
|
|
158,000
|
|
|
158,452
|
|
||
|
WFCM
|
|
2016-C37 A2 3.03% 12/49
|
|
357,000
|
|
|
367,478
|
|
||
|
WFCM
|
|
2016-Lc25 1.795% 12/15/59
|
|
303,000
|
|
|
301,040
|
|
||
|
WFRBS
|
|
13-C12 Asb 2.838% 3/48
|
|
90,000
|
|
|
91,623
|
|
||
|
WFRBS
|
|
13-C13 A1 0.778% 5/45
|
|
60,721
|
|
|
60,547
|
|
||
|
WFRBS
|
|
13-C14 A1 0.836% 6/15/46
|
|
28,598
|
|
|
28,569
|
|
||
|
WFRBS
|
|
13-C16 Asb 3.963% 9/46
|
|
191,000
|
|
|
202,610
|
|
||
|
WFRBS
|
|
2011-C3 A4 4.375% 3/44
|
|
569,000
|
|
|
610,211
|
|
||
|
WFRBS
|
|
2012-C8 A2 1.881% 8/45
|
|
195,965
|
|
|
196,290
|
|
||
|
WFRBS
|
|
2013-C14 A2 2.133% 6/46
|
|
190,000
|
|
|
191,057
|
|
||
|
Williams Partners
|
|
3.6% 3/15/22
|
|
545,000
|
|
|
547,349
|
|
||
|
Wisconsin Energy
|
|
2.45% 6/15/20
|
|
218,000
|
|
|
218,015
|
|
||
|
WOART
|
|
15-B A2B 1Ml+40 7/19
|
|
1,283,091
|
|
|
1,284,317
|
|
||
|
WOART
|
|
2013-B A3 0.83% 8/18
|
|
364,160
|
|
|
364,085
|
|
||
|
WOART
|
|
2014-B A3 1.14% 1/20
|
|
1,269,561
|
|
|
1,268,417
|
|
||
|
Wols
|
|
2015-A A3 1.54% 10/18
|
|
560,000
|
|
|
560,522
|
|
||
|
WPACBKG
|
|
1.6% 1/12/18
|
|
1,000,000
|
|
|
999,109
|
|
||
|
Wrap Contracts
|
|
Wrap Contracts
|
|
—
|
|
|
184,635
|
|
||
|
Wrigley (Wm.) J
|
|
2% 10/17 144A
|
|
340,000
|
|
|
341,691
|
|
||
|
Wyndham Worldwide
|
|
2.5% 3/18
|
|
390,000
|
|
|
393,237
|
|
||
|
Xerox Corp
|
|
2.75% 3/15/19
|
|
554,000
|
|
|
553,850
|
|
||
|
Xerox Corp
|
|
2.95% 3/15/17
|
|
270,000
|
|
|
270,810
|
|
||
|
Xylem Inc
|
|
4.875% 10/01/21
|
|
400,000
|
|
|
431,437
|
|
||
|
Zimmer Holdings
|
|
3.15% 4/01/22
|
|
2,000,000
|
|
|
1,992,486
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
Zoetis Inc
|
|
3.45% 11/13/20
|
|
106,000
|
|
|
108,712
|
|
||
|
|
|
|
|
|
|
|
||||
|
Adjustment to Contract Value
|
|
|
|
|
|
(15,769,306
|
)
|
|||
|
|
|
|
|
|
|
|
||||
Total Investment Contracts
|
|
|
|
|
|
$
|
1,844,304,082
|
|
|||
|
|
|
|
|
|
|
|
||||
Registered Investment Companies
|
|
|
|
|
|
|
|||||
|
* Fidelity Investments Money Market Government Portfolio Institutional Class Fund
|
|
Money Market Fund
|
|
843,924,693
|
|
|
843,924,693
|
|
||
|
Janus Balanced N Fund
|
|
Blended Based Fund
|
|
48,736,729
|
|
|
1,426,036,701
|
|
||
|
Oppenheimer Developing Markets Fund
|
|
Equity Based Fund
|
|
3,722,631
|
|
|
118,975,274
|
|
||
|
Pimco Total Return Institutional Fund
|
|
Fixed Income Based Fund
|
|
48,259,094
|
|
|
484,038,713
|
|
||
|
Principal Diversified Real Asset Fund
|
|
Blended Based Fund
|
|
1,118,687
|
|
|
12,081,818
|
|
||
|
T. Rowe Price Institutional Small-Cap Stock Fund
|
|
Equity Based Fund
|
|
27,501,732
|
|
|
602,012,920
|
|
||
|
Vanguard Institutional Total Stock Market Index Fund Institutional Plus Shares
|
|
Equity Based Fund
|
|
45,522,620
|
|
|
2,292,063,903
|
|
||
|
Vanguard REIT Index Inst
|
|
Equity Based Fund
|
|
11,430,819
|
|
|
206,783,516
|
|
||
|
|
|
|
|
|
|
|
||||
Total Registered Investment Companies
|
|
|
|
|
|
$
|
5,985,917,538
|
|
|||
|
|
|
|
|
|
|
|
||||
Self-Directed Brokerage Account
|
|
Various
|
|
—
|
|
|
$
|
528,817,922
|
|
||
|
|
|
|
|
|
|
|
||||
Common Collective Trust
|
|
|
|
|
|
|
|||||
|
Harris Associates Oakmark Global Collective Fund
|
|
Equity Based Fund
|
|
15,842,984
|
|
|
237,011,038
|
|
||
|
Northern Trust Collective Aggregate Bond Index Fund - DC – Non-Lending
|
|
Fixed Income Based Fund
|
|
10,424,898
|
|
|
1,088,672,102
|
|
||
|
Northern Trust ACWI ex-US Fund - DC NonLending(a)
|
|
Equity Based Fund
|
|
12,506,552
|
|
|
1,199,753,538
|
|
||
|
Northern Trust Collective Russell 2000 Index Fund - DC - Non-Lending
|
|
Equity Based Fund
|
|
6,509,384
|
|
|
840,491,685
|
|
||
|
Northern Trust Collective S&P 500 Index Fund - DC - Non-Lending
|
|
Equity Based Fund
|
|
21,299,032
|
|
|
2,570,154,196
|
|
||
|
|
|
|
|
|
|
|
||||
Total Common Collective Trusts
|
|
|
|
|
|
$
|
5,936,082,559
|
|
|||
|
|
|
|
|
|
|
|
||||
Raytheon Company Common Stock
|
|
|
|
|
|
|
|||||
|
* Raytheon Company
|
|
Raytheon Common Stock
|
|
11,423,906
|
|
|
1,622,194,652
|
|
||
Total Raytheon Company Common Stock
|
|
|
|
|
|
$
|
1,622,194,652
|
|
|||
|
|
|
|
|
|
|
|
||||
Total Investments
|
|
|
|
|
|
$
|
15,917,316,753
|
|
|||
|
|
|
|
|
|
|
|
||||
|
* Participant Loans
|
|
3.25%-9.50%
|
|
|
|
$
|
216,286,658
|
|
Identity of Issue, borrower, lessor, or similar party
|
|
Description of investment including maturity date, rate of interest, collateral, par, or maturity value
|
|
Shares/Units/ Principal
|
|
Current Value
|
|||||
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
||||
Total Investments At Contract Value Including Participant Loans
|
|
|
|
|
|
$
|
16,133,603,411
|
|
|||
|
|
|
|
|
|
|
|
||||
*Party in interest
|
|
|
|
|
|
|
RAYTHEON SAVINGS AND INVESTMENT PLAN
|
||
|
|
|
By:
|
/s/ Michael J. Wood
|
|
|
Michael J. Wood
|
|
|
Vice President, Controller and Chief Accounting Officer
|
|
|
Principal Accounting Officer
|
23.1
|
|
|
Consent of PricewaterhouseCoopers LLP, Independent Registered Public Accounting Firm.
|
|
|
|
1 Year Raytheon Chart |
1 Month Raytheon Chart |
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