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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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o
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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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2018
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2017
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||||
Assets
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||||
Total investments at fair value (Notes 2 and 3)
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$
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15,140,986,416
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$
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16,610,845,610
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||||
Fully benefit-responsive investment contracts at contract value (Note 4)
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1,856,576,488
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1,765,191,430
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||||
Receivables
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||||
Notes receivable from participants
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212,750,362
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213,867,927
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Receivables for securities sold
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8,022,483
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464,738
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Accrued investment income and other receivables
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42,625,276
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20,092,500
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Total receivables
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263,398,121
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234,425,165
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||||
Total assets
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17,260,961,025
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18,610,462,205
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Liabilities
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||||
Payable for securities purchased
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14,418,775
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21,793,982
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Accrued investment expenses and other payables
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2,862,945
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3,689,073
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Total liabilities
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17,281,720
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25,483,055
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||||
Net assets available for benefits
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$
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17,243,679,305
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$
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18,584,979,150
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2018
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||
Additions to net assets attributable to:
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|
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||
Interest and dividends
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$
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453,817,257
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Interest income on notes receivable from participants (Note 2)
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8,363,257
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Other revenue (Note 5)
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553,816
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Contributions
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Employee contributions
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732,026,392
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Employer contributions
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326,181,258
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1,058,207,650
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Total additions
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1,520,941,980
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Deductions from net assets attributable to:
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|
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|
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||
Net depreciation of investments (Notes 2 and 3)
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$
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1,447,362,778
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Distributions to participants
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1,404,619,939
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Administrative expenses
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10,259,108
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Total deductions
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2,862,241,825
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Decrease in net assets available for benefits
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(1,341,299,845
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)
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Net assets, beginning of year
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18,584,979,150
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Net assets, end of year
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$
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17,243,679,305
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Level 1:
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Quoted prices in active markets for identical assets or liabilities.
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Level 2:
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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.
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Level 3:
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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 12/31/2018
|
||||||||||||||
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Total
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Level 1
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Level 2
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Level 3
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Not Subject To Leveling
(1)
|
||||||||||
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||||||||||
Registered investment companies
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$
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6,391,041,646
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$
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6,391,041,646
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$
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—
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$
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—
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$
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—
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Self-directed brokerage account
|
592,321,056
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592,321,056
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—
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—
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—
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|||||
Raytheon Company common stock
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1,596,071,707
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1,596,071,707
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—
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—
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—
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|||||
Common collective trusts
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6,561,552,007
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—
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—
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—
|
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6,561,552,007
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|||||
Total investments at fair value
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$
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15,140,986,416
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$
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8,579,434,409
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$
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—
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$
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—
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$
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6,561,552,007
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|
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Fair Value of Investment Assets as of 12/31/2017
|
||||||||||||||
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Total
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Level 1
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Level 2
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Level 3
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Not Subject To Leveling
(1)
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||||||||||
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Registered investment companies
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$
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6,719,268,001
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$
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6,719,268,001
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$
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—
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$
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—
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$
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—
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Self-directed brokerage account
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621,574,612
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621,574,612
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—
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—
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|
—
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|||||
Raytheon Company common stock
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2,068,984,221
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2,068,984,221
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—
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—
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—
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|||||
Common collective trusts
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7,201,018,776
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—
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—
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—
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7,201,018,776
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|||||
Total investments at fair value
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$
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16,610,845,610
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$
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9,409,826,834
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$
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—
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$
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—
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$
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7,201,018,776
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(1)
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Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the statements of net assets available for benefits.
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1.
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The Plan's failure to qualify under Section 401(a) or Section 401(k) of the Code.
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2.
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The establishment of a defined contribution plan that competes with the Plan for employee contributions.
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3.
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Any substantive modification of the Plan or the administration of the Plan that is not consented to by the FBRIC Provider.
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4.
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Complete or partial termination of the Plan.
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5.
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Any known change in law, regulation or administrative ruling applicable to the Plan that could have a material adverse effect on the Fixed Income Fund's cash flow.
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6.
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Any communication given to participants by the Plan Sponsor or any other Plan fiduciary that is designed to induce or influence participants not to invest in the Fixed Income Fund or to transfer assets out of the Fixed Income Fund.
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7.
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Exclusion of a material group of previously eligible employees from eligibility in the Plan.
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8.
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Any material early retirement program, group termination, group layoff, facility closing or similar program.
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9.
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Any transfer of assets from the Fixed Income Fund directly to a competing option.
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10.
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Bankruptcy of the Plan Sponsor or other Plan Sponsor events which cause a significant withdrawal from the Plan.
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Identity of Issue, Borrower, Lessor, or Similar Party
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Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value
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Shares/Units/ Principal
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Current Value
|
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|||
Investment Contracts
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|||||
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21st Century Fox
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6.9% 3/01/19
|
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$
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925,000
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$
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930,307
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21st Century Fox
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|
4.5% 02/15/21
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|
1,000,000
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|
|
1,026,658
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Abbott Lab
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|
2.9% 11/30/21
|
|
2,570,000
|
|
|
2,544,446
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||
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Abbvie Inc
|
|
2.9% 11/06/22 WI
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800,000
|
|
|
778,382
|
|
||
|
Abbvie Inc
|
|
3.6% 5/14/25
|
|
835,000
|
|
|
801,271
|
|
||
|
Abbvie Inc
|
|
2.5% 5/14/20
|
|
1,000,000
|
|
|
990,366
|
|
||
|
ABN AMRO Bank
|
|
2.65% 01/21 144A
|
|
2,590,000
|
|
|
2,552,720
|
|
||
|
Ace Ina Holding
|
|
2.3% 11/03/20
|
|
255,000
|
|
|
251,354
|
|
||
|
Actavis Funding
|
|
3.45% 3/22
|
|
2,295,000
|
|
|
2,259,788
|
|
||
|
Actavis Funding
|
|
3% 3/12/20
|
|
1,029,000
|
|
|
1,024,902
|
|
||
|
AEP Texas Inc.
|
|
3.95% 6/01/28 144A
|
|
930,000
|
|
|
931,943
|
|
||
|
AerCap Ireland
|
|
5% 10/21
|
|
1,052,000
|
|
|
1,068,496
|
|
||
|
AerCap Ireland
|
|
4.25% 07/01/20
|
|
645,000
|
|
|
646,434
|
|
||
|
AerCap Ireland
|
|
4.625% 10/30/20
|
|
485,000
|
|
|
488,292
|
|
||
|
AerCap Ireland
|
|
3.5% 01/15/25
|
|
750,000
|
|
|
684,565
|
|
||
|
AerCap Ireland
|
|
4.125% 7/3/23
|
|
312,000
|
|
|
303,350
|
|
||
|
Aetna Inc
|
|
4.125% 6/01/21
|
|
250,000
|
|
|
253,427
|
|
||
|
AIG Global Funding
|
|
1.9% 10/06/21 1
|
|
990,000
|
|
|
947,609
|
|
||
|
AIG Global Funding
|
|
2.15% 7/2/20 144A
|
|
747,000
|
|
|
735,809
|
|
||
|
Air Lease Corp
|
|
3% 09/15/23
|
|
413,000
|
|
|
387,790
|
|
||
|
Air Lease Corp
|
|
3.5% 01/15/2022
|
|
2,035,000
|
|
|
2,002,544
|
|
||
|
Air Lease Corp
|
|
2.625% 07/01/22
|
|
600,000
|
|
|
568,714
|
|
||
|
Air Liquid
|
|
1.75% 9/27/21 144A
|
|
1,080,000
|
|
|
1,033,865
|
|
||
|
Aircastle Limited
|
|
4.4% 09/25/23
|
|
945,000
|
|
|
929,370
|
|
||
|
Alabama Economic Settlement Authority
|
|
3.163% 9/15/25
|
|
400,000
|
|
|
396,804
|
|
||
|
Alberta Province
|
|
1.9% 12/6/19
|
|
3,620,000
|
|
|
3,590,569
|
|
||
|
Ally Auto Receivable Trust
|
|
2.92% 11/22
|
|
785,000
|
|
|
783,634
|
|
||
|
Ally Auto Receivable Trust
|
|
1.74% 09/21
|
|
880,000
|
|
|
871,757
|
|
||
|
Ally Auto Receivable Trust
|
|
1.75% 12/21
|
|
1,331,000
|
|
|
1,317,970
|
|
||
|
Ally Wholesale Enterprises LLC
|
|
2.7% 01/17/2023
|
|
800,000
|
|
|
794,041
|
|
||
|
Ally Wholesale Enterprises LLC
|
|
3.29% 05/15/2023
|
|
1,030,000
|
|
|
1,035,902
|
|
||
|
Altria Group Inc
|
|
2.85% 8/09/22
|
|
520,000
|
|
|
499,162
|
|
||
|
Altria Group Inc
|
|
9.25% 8/06/19
|
|
40,000
|
|
|
41,342
|
|
||
|
American Electric Power
|
|
3.2% 11/27
|
|
1,345,000
|
|
|
1,276,505
|
|
||
|
American Electric Power
|
|
2.15% 11/13/20
|
|
522,000
|
|
|
511,488
|
|
||
|
American Express Co
|
|
3.375% 05/21
|
|
6,070,000
|
|
|
6,079,431
|
|
||
|
American Express Co
|
|
3.7% 08/03/23
|
|
1,020,000
|
|
|
1,022,886
|
|
||
|
American Express Credit Account Master
|
|
1.64% 12/21
|
|
1,150,000
|
|
|
1,144,629
|
|
||
|
American Express Credit Account Master
|
|
1.77% 11/22
|
|
860,000
|
|
|
847,696
|
|
||
|
American Express Credit Account Master
|
|
2.04% 05/23
|
|
698,000
|
|
|
687,237
|
|
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 Express Credit Account Master
|
|
2.99% 12/23
|
|
815,000
|
|
|
817,139
|
|
||
|
American Express Credit Account Master
|
|
0% 02/24
|
|
826,000
|
|
|
828,961
|
|
||
|
American Express Credit Account Master
|
|
1.93% 09/22
|
|
1,187,000
|
|
|
1,172,961
|
|
||
|
American Express Credit Corporation
|
|
2.125% 3/18/19
|
|
135,000
|
|
|
134,780
|
|
||
|
American Express Credit Corporation
|
|
2.25% 5/05/21
|
|
1,000,000
|
|
|
978,562
|
|
||
|
American Honda
|
|
1.7% 9/9/21
|
|
500,000
|
|
|
480,659
|
|
||
|
American International Group
|
|
4.875% 6/01/22
|
|
600,000
|
|
|
622,485
|
|
||
|
American International Group
|
|
2.3% 7/19
|
|
2,155,000
|
|
|
2,146,001
|
|
||
|
American International Group
|
|
3.3% 3/01/21
|
|
2,000,000
|
|
|
1,993,149
|
|
||
|
American Tower
|
|
3.4% 2/15/19
|
|
1,510,000
|
|
|
1,510,853
|
|
||
|
American Tower
|
|
3.3% 2/15/21
|
|
1,000,000
|
|
|
994,230
|
|
||
|
American Tower
|
|
2.25% 01/15/22
|
|
1,000,000
|
|
|
956,966
|
|
||
|
Amgen Inc
|
|
4.1% 6/15/21
|
|
2,255,000
|
|
|
2,299,320
|
|
||
|
Amphenol Corp
|
|
3.2% 4/1/24
|
|
145,000
|
|
|
140,588
|
|
||
|
Analog Devices, Inc.
|
|
2.95% 01/12/21
|
|
1,055,000
|
|
|
1,045,712
|
|
||
|
Anhueser-Busch
|
|
3.3% 2/01/23
|
|
4,629,000
|
|
|
4,507,086
|
|
||
|
Anhueser-Busch
|
|
2.65% 2/01/21
|
|
731,000
|
|
|
718,504
|
|
||
|
Anthem Inc
|
|
2.95% 12/01/22
|
|
555,000
|
|
|
541,227
|
|
||
|
APT Pipelines
|
|
3.875% 10/22 144A
|
|
1,315,000
|
|
|
1,309,927
|
|
||
|
Arch Capital Finance
|
|
4.011% 12/15/26
|
|
375,000
|
|
|
374,655
|
|
||
|
AT&T Inc
|
|
3% 6/30/22
|
|
580,000
|
|
|
565,618
|
|
||
|
AT&T Inc
|
|
5.2% 3/15/20
|
|
105,000
|
|
|
107,258
|
|
||
|
AT&T Inc
|
|
3.8% 3/15/22
|
|
590,000
|
|
|
592,546
|
|
||
|
AT&T Inc
|
|
2.8% 2/17/21
|
|
4,810,000
|
|
|
4,747,544
|
|
||
|
AT&T Inc
|
|
5% 3/01/21
|
|
1,000,000
|
|
|
1,033,968
|
|
||
|
AT&T Inc
|
|
2.45% 6/30/20
|
|
397,000
|
|
|
391,772
|
|
||
|
Australian and New Zealand Banking Group Limited
|
|
2.7% 11/16/20
|
|
1,690,000
|
|
|
1,671,624
|
|
||
|
Australian and New Zealand Banking Group Limited
|
|
2.25% 6/13/19
|
|
650,000
|
|
|
647,794
|
|
||
|
Autozone, Inc.
|
|
3.125% 7/15/23
|
|
577,000
|
|
|
560,379
|
|
||
|
Avalonbay Communities
|
|
3.625% 10/1/20
|
|
209,000
|
|
|
210,167
|
|
||
|
Aviation Capital Group LLC
|
|
3.875% 05/01/23
|
|
1,010,000
|
|
|
989,465
|
|
||
|
AXA Equitable Holdings, Inc.
|
|
3.9% 04/20/2023 144A
|
|
77,000
|
|
|
76,041
|
|
||
|
Axis Specialty
|
|
5.875% 6/01/20
|
|
2,150,000
|
|
|
2,211,621
|
|
||
|
Banco Santander, S.A.
|
|
3.848% 4/12/23
|
|
800,000
|
|
|
777,286
|
|
||
|
Banco Santander, S.A.
|
|
3ML+112 04/23
|
|
400,000
|
|
|
392,234
|
|
||
|
Bank 2018-BN11 A2
|
|
3.784% 03/61
|
|
4,200,000
|
|
|
4,213,524
|
|
||
|
Bank of America Corp
|
|
3.289% 07/60
|
|
1,000,000
|
|
|
996,760
|
|
||
|
Bank of America Corp
|
|
3.3% 1/11/23
|
|
2,285,000
|
|
|
2,250,277
|
|
||
|
Bank of America Corp
|
|
2.6% 1/15/19
|
|
410,000
|
|
|
409,920
|
|
||
|
Bank of America Corp
|
|
4% 01/22/25
|
|
1,225,000
|
|
|
1,193,825
|
|
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 of America Corp
|
|
3.95% 4/21/25
|
|
1,120,000
|
|
|
1,085,675
|
|
||
|
Bank of America Corp
|
|
4.45% 3/03/26
|
|
1,815,000
|
|
|
1,795,797
|
|
||
|
Bank of America Corp
|
|
3.593%/VAR 07/28
|
|
1,560,000
|
|
|
1,480,217
|
|
||
|
Bank of America Corp
|
|
3.004%/VAR 12/20/23
|
|
6,302,000
|
|
|
6,118,337
|
|
||
|
Bank of America Corp
|
|
3ML+63 05/22
|
|
1,335,000
|
|
|
1,335,150
|
|
||
|
Bank of America Corp
|
|
2.881%/VAR 4/24/23
|
|
1,050,000
|
|
|
1,021,175
|
|
||
|
Bank of America Corp
|
|
3.55%/VAR 3/24
|
|
1,500,000
|
|
|
1,481,774
|
|
||
|
Bank of America Corp
|
|
2.625% 4/19/21
|
|
1,500,000
|
|
|
1,479,544
|
|
||
|
Bank of America Corp
|
|
3.864% 07/23/2024
|
|
2,000,000
|
|
|
1,995,112
|
|
||
|
Bank of America Credit Card Trust
|
|
1ML+39 10/21
|
|
4,300,000
|
|
|
4,302,782
|
|
||
|
Bank of America Credit Card Trust
|
|
1.95% 8/22
|
|
1,054,000
|
|
|
1,041,420
|
|
||
|
Bank of America Credit Card Trust
|
|
1.84% 1/23
|
|
958,000
|
|
|
940,850
|
|
||
|
Bank of America Credit Card Trust
|
|
2.7% 7/23
|
|
1,000,000
|
|
|
996,409
|
|
||
|
Bank of America Credit Card Trust
|
|
3% 9/23
|
|
820,000
|
|
|
822,317
|
|
||
|
Bank of Montreal
|
|
3.1% 4/13/21
|
|
2,310,000
|
|
|
2,308,756
|
|
||
|
Bank of Montreal
|
|
3ML+46 04/13/21
|
|
600,000
|
|
|
596,406
|
|
||
|
Bank of New York Mellon
|
|
2.661%/VAR 5/23
|
|
1,310,000
|
|
|
1,274,027
|
|
||
|
Bank of Nova Scotia
|
|
3.125% 04/21
|
|
2,945,000
|
|
|
2,940,248
|
|
||
|
Bank of the West Auto Trust
|
|
3.52% 12/15/22
|
|
430,000
|
|
|
432,698
|
|
||
|
Bank of Tokyo-Mitsubishi
|
|
2.3% 3/20 144A
|
|
380,000
|
|
|
376,351
|
|
||
|
Bank of Tokyo-Mitsubishi
|
|
3.75% 3/10/24 144A
|
|
1,290,000
|
|
|
1,296,293
|
|
||
|
Banque Fédérative du Crédit Mutuel
|
|
2.2% 07/20/20 144A
|
|
1,245,000
|
|
|
1,221,956
|
|
||
|
Barclays plc
|
|
4.337% 01/10/28
|
|
2,045,000
|
|
|
1,893,398
|
|
||
|
Barclays plc
|
|
4.972/VAR 5/16/29
|
|
745,000
|
|
|
718,726
|
|
||
|
Barclays plc
|
|
2.75% 11/08/19
|
|
334,000
|
|
|
331,570
|
|
||
|
Barclays plc
|
|
3.2% 08/10/21
|
|
2,000,000
|
|
|
1,943,692
|
|
||
|
Barclays plc
|
|
4.338/VAR 05/16/2024
|
|
650,000
|
|
|
631,923
|
|
||
|
Barclays plc
|
|
2.65% 01/11/21
|
|
850,000
|
|
|
832,232
|
|
||
|
BAT International Finance
|
|
2.75% 6/20 144A
|
|
2,400,000
|
|
|
2,357,797
|
|
||
|
BAT International Finance
|
|
3.5% 6/22 144A
|
|
500,000
|
|
|
489,170
|
|
||
|
Bayer US Finance
|
|
3% 10/08/21 144A
|
|
1,115,000
|
|
|
1,090,164
|
|
||
|
BB&T Corporation
|
|
2.25% 2/01/19
|
|
140,000
|
|
|
139,914
|
|
||
|
BB&T Corporation
|
|
6.85% 4/19
|
|
9,000
|
|
|
9,111
|
|
||
|
Benchmark 2018-B2 Mortgage Trust A2
|
|
3.6623% 02/51
|
|
856,000
|
|
|
867,641
|
|
||
|
Benchmark 2018-B2 Mortgage Trust A3
|
|
3.5439% 02/51
|
|
5,000,000
|
|
|
5,044,313
|
|
||
|
Benchmark 2018-B7 Mortgage Trust A2
|
|
4.377% 05/53
|
|
513,000
|
|
|
536,750
|
|
||
|
Benchmark 2018-B8 Mortgage Trust A2
|
|
4.2122% 01/52
|
|
593,000
|
|
|
614,925
|
|
||
|
Berkley (WR) Corporation
|
|
7.375% 9/19
|
|
700,000
|
|
|
720,432
|
|
||
|
Berkley (WR) Corporation
|
|
5.375% 9/15/20
|
|
1,300,000
|
|
|
1,338,460
|
|
||
|
Berkshire Hathaway Energy
|
|
2.8% 1/15/23
|
|
1,206,000
|
|
|
1,179,090
|
|
||
|
BMW Floorplan Master Owner Trust
|
|
3.15% 5/15/23 144A
|
|
753,000
|
|
|
754,480
|
|
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
|
|
|||
|
BMW US Capital
|
|
2% 4/11/21 144A
|
|
1,825,000
|
|
|
1,770,045
|
|
||
|
BMW US Capital
|
|
3.4% 8/13/21 144A
|
|
1,215,000
|
|
|
1,209,863
|
|
||
|
BMW US Capital
|
|
2.7% 04/06/22 144A
|
|
937,000
|
|
|
910,029
|
|
||
|
BMW Vehicle Lease Trust
|
|
3.06% 07/21
|
|
787,000
|
|
|
790,721
|
|
||
|
BMW Vehicle Lease Trust
|
|
2.07% 10/20
|
|
411,000
|
|
|
407,947
|
|
||
|
BP Capital Markets America
|
|
3.79% 2/24
|
|
1,520,000
|
|
|
1,536,295
|
|
||
|
BP Capital Markets America
|
|
3.245% 05/06/22
|
|
625,000
|
|
|
619,552
|
|
||
|
BP Capital Markets America
|
|
3.796% 09/21/25
|
|
1,995,000
|
|
|
2,005,509
|
|
||
|
BP Capital Markets plc
|
|
2.315% 2/20
|
|
733,000
|
|
|
726,650
|
|
||
|
BPCE SA
|
|
2.5% 7/15/19
|
|
1,300,000
|
|
|
1,295,009
|
|
||
|
BPCE SA
|
|
2.25% 1/27/20
|
|
3,900,000
|
|
|
3,848,735
|
|
||
|
BPCE SA
|
|
4% 09/12/23 144A
|
|
1,025,000
|
|
|
1,006,983
|
|
||
|
Braemar Hotels & Resorts Trust Series
|
|
1ML+82 06/35 144A
|
|
1,440,000
|
|
|
1,427,874
|
|
||
|
Brambles Ltd
|
|
5.35% 4/20 144A
|
|
980,000
|
|
|
1,001,696
|
|
||
|
Braskem Netherlands Finance
|
|
4.5% 01/28 144A
|
|
750,000
|
|
|
693,195
|
|
||
|
British American Tobacco
|
|
2.764% 08/15/22
|
|
5,400,000
|
|
|
5,100,705
|
|
||
|
British American Tobacco
|
|
2.297% 08/14/20
|
|
1,000,000
|
|
|
976,171
|
|
||
|
British Telecom plc
|
|
2.35% 2/19
|
|
556,000
|
|
|
555,256
|
|
||
|
Broadcom Cayman Finance
|
|
3.625% 1/15/24
|
|
2,200,000
|
|
|
2,081,280
|
|
||
|
Burlington North Santa Fe
|
|
4.1% 6/21
|
|
2,000,000
|
|
|
2,052,280
|
|
||
|
Cameron International Corporation
|
|
4.5% 6/01/21
|
|
1,490,000
|
|
|
1,507,842
|
|
||
|
Campbell Soup Company
|
|
3.65% 3/15/23
|
|
1,600,000
|
|
|
1,560,237
|
|
||
|
Canadian Imperial Bank
|
|
2.55% 6/22
|
|
500,000
|
|
|
486,850
|
|
||
|
Canadian Natural Resources
|
|
3.45% 11/15/21
|
|
525,000
|
|
|
521,196
|
|
||
|
Canadian Natural Resources
|
|
2.95% 1/15/23
|
|
3,020,000
|
|
|
2,886,486
|
|
||
|
Canadian Pacer Auto Receivable Trust 2017-1A A3
|
|
2.05% 03/21
|
|
488,000
|
|
|
484,623
|
|
||
|
Canadian Pacer Auto Receivable Trust 2018-1A A3
|
|
3.088% 11/21 144A
|
|
685,000
|
|
|
685,028
|
|
||
|
Canadian Pacer Auto Receivable Trust 2018-2A A3
|
|
3.27% 12/22
|
|
648,000
|
|
|
652,920
|
|
||
|
Capital One Bank
|
|
2.95% 7/23/21
|
|
965,000
|
|
|
949,551
|
|
||
|
Capital One Bank
|
|
2.25% 9/13/21
|
|
1,445,000
|
|
|
1,393,843
|
|
||
|
Capital One Bank
|
|
2.35% 1/31/20
|
|
2,435,000
|
|
|
2,403,854
|
|
||
|
Capital One Bank
|
|
2.65% 08/08/22
|
|
520,000
|
|
|
499,333
|
|
||
|
Capital One Bank
|
|
2.25% 2/13/19
|
|
910,000
|
|
|
909,757
|
|
||
|
Capital One Financial
|
|
2.45% 4/24/19
|
|
140,000
|
|
|
139,775
|
|
||
|
Capital One Financial
|
|
3.45% 4/21
|
|
3,660,000
|
|
|
3,652,357
|
|
||
|
Capital One Financial
|
|
2.5% 05/12/20
|
|
500,000
|
|
|
493,459
|
|
||
|
Capital One Financial
|
|
3.2% 01/30/2023
|
|
1,000,000
|
|
|
973,066
|
|
||
|
Capital One Multi-Asset Execution Trust
|
|
1.99% 07/23
|
|
2,331,000
|
|
|
2,294,811
|
|
||
|
Capital One Multi-Asset Execution Trust
|
|
2.08% 03/23
|
|
240,000
|
|
|
237,117
|
|
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
|
|
|||
|
Capital One Multi-Asset Execution Trust
|
|
2.05% 08/23
|
|
581,000
|
|
|
572,440
|
|
||
|
Capital One Multi-Asset Execution Trust
|
|
1.34% 4/22
|
|
459,000
|
|
|
455,466
|
|
||
|
Capital One Multi-Asset Execution Trust
|
|
1.33% 6/15/22
|
|
868,000
|
|
|
859,228
|
|
||
|
Capital One Multi-Asset Execution Trust
|
|
2% 1/23
|
|
858,000
|
|
|
848,567
|
|
||
|
Capital One Multi-Asset Execution Trust
|
|
3.01% 02/24
|
|
542,000
|
|
|
544,863
|
|
||
|
CarMax
|
|
3.35% 06/23
|
|
1,278,000
|
|
|
1,282,886
|
|
||
|
CarMax
|
|
1.52% 2/21
|
|
727,950
|
|
|
723,524
|
|
||
|
CarMax
|
|
1.93% 03/22
|
|
1,285,000
|
|
|
1,271,889
|
|
||
|
CarMax
|
|
1.97% 04/22
|
|
1,127,000
|
|
|
1,114,696
|
|
||
|
CarMax
|
|
2.98% 01/23
|
|
1,607,000
|
|
|
1,616,367
|
|
||
|
CarMax
|
|
1.4% 8/21
|
|
571,817
|
|
|
565,177
|
|
||
|
CarMax
|
|
1.63% 6/20
|
|
34,263
|
|
|
34,221
|
|
||
|
CarMax
|
|
2.15% 10/22
|
|
348,000
|
|
|
344,434
|
|
||
|
CarMax
|
|
3.36% 09/23
|
|
524,000
|
|
|
527,589
|
|
||
|
Caterpillar Financial
|
|
2.1% 01/10/20
|
|
597,000
|
|
|
591,106
|
|
||
|
CBS Corporation
|
|
4.3% 2/15/21
|
|
770,000
|
|
|
780,588
|
|
||
|
CDP Financial Inc
|
|
4.4% 11/25/19 144A
|
|
1,300,000
|
|
|
1,318,639
|
|
||
|
CDP Financial Inc
|
|
3.15% 7/24 144A
|
|
1,765,000
|
|
|
1,778,206
|
|
||
|
CenterPoint Energy
|
|
2.50% 09/01/22
|
|
189,000
|
|
|
180,752
|
|
||
|
CFCRE 2016-C4 Mortgage Trust A3
|
|
3.014% 05/58
|
|
2,500,000
|
|
|
2,405,047
|
|
||
|
CGDBB Commercial Mortgage Trust
|
|
1ML+79 7/28
|
|
2,080,000
|
|
|
2,060,556
|
|
||
|
Charter Communications Operating
|
|
4.908% 7/23/25
|
|
885,000
|
|
|
879,607
|
|
||
|
Charter Communications Operating
|
|
4.464% 7/23/22
|
|
3,445,000
|
|
|
3,477,928
|
|
||
|
Chase Issuance Trust
|
|
1ML+0 05/21
|
|
3,900,000
|
|
|
3,903,209
|
|
||
|
Chase Issuance Trust
|
|
1ML+100 1/22
|
|
4,300,000
|
|
|
4,302,086
|
|
||
|
Chase Issuance Trust
|
|
1.37% 6/21
|
|
1,048,000
|
|
|
1,040,119
|
|
||
|
Chase Issuance Trust
|
|
1.27% 7/21
|
|
1,090,000
|
|
|
1,080,446
|
|
||
|
Chevron Phillips Chemical
|
|
2.45% 5/01/20 144A
|
|
347,000
|
|
|
343,783
|
|
||
|
Chevron Phillips Chemical
|
|
3.3% 5/23 144A
|
|
480,000
|
|
|
474,772
|
|
||
|
Cigna Corp
|
|
5.125% 6/15/20
|
|
1,350,000
|
|
|
1,384,332
|
|
||
|
Cigna Corp
|
|
4% 2/15/22
|
|
1,670,000
|
|
|
1,687,025
|
|
||
|
Cisco Systems
|
|
1.85% 9/20/21
|
|
1,000,000
|
|
|
972,316
|
|
||
|
Citibank Credit Card Issuance Trust
|
|
1.88% 8/8/22
|
|
3,781,000
|
|
|
3,719,386
|
|
||
|
Citibank Credit Card Issuance Trust
|
|
0% 11/21
|
|
1,073,000
|
|
|
1,061,614
|
|
||
|
Citibank Credit Card Issuance Trust
|
|
1.92% 04/22
|
|
949,000
|
|
|
936,896
|
|
||
|
Citibank Credit Card Issuance Trust
|
|
1.8% 09/21
|
|
841,000
|
|
|
834,218
|
|
||
|
Citibank Credit Card Issuance Trust
|
|
2.539% 1/23
|
|
1,020,000
|
|
|
1,011,775
|
|
||
|
Citibank N.A.
|
|
3.05% 05/01/20
|
|
4,430,000
|
|
|
4,423,753
|
|
||
|
Citibank N.A.
|
|
2.1% 06/12/20
|
|
750,000
|
|
|
737,472
|
|
||
|
Citigroup Commercial Mortgage Trust
|
|
3.024% 9/45
|
|
424,000
|
|
|
422,151
|
|
||
|
Citigroup Commercial Mortgage Trust
|
|
3.093% 04/46
|
|
111,000
|
|
|
110,201
|
|
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
|
|
|||
|
Citigroup Commercial Mortgage Trust
|
|
4.371% 9/46
|
|
294,000
|
|
|
307,010
|
|
||
|
Citigroup Commercial Mortgage Trust
|
|
4.131% 11/46
|
|
383,000
|
|
|
396,408
|
|
||
|
Citigroup Commercial Mortgage Trust
|
|
3.356% 7/47
|
|
769,000
|
|
|
769,114
|
|
||
|
Citigroup Commercial Mortgage Trust
|
|
2.674% 4/48
|
|
664,869
|
|
|
661,486
|
|
||
|
Citigroup Commercial Mortgage Trust
|
|
3.368% 02/49
|
|
457,000
|
|
|
458,412
|
|
||
|
Citigroup Commercial Mortgage Trust
|
|
3.199% 04/50
|
|
388,000
|
|
|
389,334
|
|
||
|
Citigroup Inc
|
|
4.4% 6/10/25
|
|
1,080,000
|
|
|
1,057,394
|
|
||
|
Citigroup Inc
|
|
4.45% 9/29/27
|
|
965,000
|
|
|
930,495
|
|
||
|
Citigroup Inc
|
|
3.7% 1/12/26
|
|
4,390,000
|
|
|
4,222,843
|
|
||
|
Citigroup Inc
|
|
2.75% 04/25/2022
|
|
1,400,000
|
|
|
1,357,374
|
|
||
|
Citigroup Inc
|
|
2.876/VAR 07/24/23
|
|
1,555,000
|
|
|
1,504,359
|
|
||
|
Citigroup Inc
|
|
3.124%/VAR 1/24/23
|
|
2,116,000
|
|
|
2,078,353
|
|
||
|
Citigroup Inc
|
|
4.044/VAR 06/24
|
|
830,000
|
|
|
833,175
|
|
||
|
Citigroup Inc
|
|
2.35% 8/02/21
|
|
1,000,000
|
|
|
971,422
|
|
||
|
Citigroup Inc
|
|
2.45% 1/10/20
|
|
500,000
|
|
|
495,931
|
|
||
|
Citigroup Inc
|
|
2.7% 10/27/2022
|
|
300,000
|
|
|
289,170
|
|
||
|
Citizens Bank
|
|
2.55% 5/13/21
|
|
3,925,000
|
|
|
3,838,816
|
|
||
|
Citizens Bank
|
|
2.2% 05/26/20
|
|
1,120,000
|
|
|
1,103,789
|
|
||
|
Citizens Bank
|
|
2.45% 12/04/19
|
|
590,000
|
|
|
585,826
|
|
||
|
Citizens Bank
|
|
2.65% 5/26/22
|
|
450,000
|
|
|
437,170
|
|
||
|
Citizens Bank
|
|
2.375% 7/28/21
|
|
76,000
|
|
|
74,029
|
|
||
|
CNH Equipment Trust
|
|
3.23% 07/17/2023
|
|
745,000
|
|
|
747,174
|
|
||
|
Comcast Corporation
|
|
1.625% 1/15/22
|
|
1,604,000
|
|
|
1,535,013
|
|
||
|
Comcast Corporation
|
|
3.7% 04/15/2024
|
|
1,000,000
|
|
|
1,006,034
|
|
||
|
Comcast Corporation
|
|
3.375% 08/15/25
|
|
565,000
|
|
|
550,800
|
|
||
|
Comcast Corporation
|
|
4% 10/15/25
|
|
2,076,000
|
|
|
2,101,526
|
|
||
|
COMM 13-CR12 A4
|
|
4.046% 10/46
|
|
3,600,000
|
|
|
3,718,210
|
|
||
|
COMM 14-UBS6 ASB
|
|
3.387% 12/47
|
|
195,000
|
|
|
196,520
|
|
||
|
COMM 15-CCRE24 A4
|
|
3.432% 8/55
|
|
4,300,000
|
|
|
4,288,467
|
|
||
|
COMM 15-CR23 ASB
|
|
3.257% 05/48
|
|
338,000
|
|
|
339,251
|
|
||
|
COMM 15-CR26 ASB
|
|
3.373% 10/48
|
|
222,000
|
|
|
223,778
|
|
||
|
COMM 2010-C1 A3
|
|
4.205% 7/46
|
|
1,342,217
|
|
|
1,358,763
|
|
||
|
COMM 2012-CR3 A3
|
|
2.822% 10/45
|
|
424,431
|
|
|
417,465
|
|
||
|
COMM 2012-CR3 ASB
|
|
2.372% 11/45
|
|
403,419
|
|
|
398,715
|
|
||
|
COMM 2012-LC4 A4
|
|
3.288% 12/44
|
|
921,356
|
|
|
921,307
|
|
||
|
COMM 2013-CR12 A2
|
|
2.904% 10/46
|
|
295,719
|
|
|
295,379
|
|
||
|
COMM 2013-CR6 A4
|
|
3.101% 03/46
|
|
496,000
|
|
|
493,216
|
|
||
|
COMM 2013-CR7 A4
|
|
3.213% 03/46
|
|
650,100
|
|
|
649,394
|
|
||
|
COMM 2013-CR7 ASB
|
|
2.739% 03/46
|
|
3,302,611
|
|
|
3,283,348
|
|
||
|
COMM 2013-CR8 A5
|
|
3.612% 06/46
|
|
301,000
|
|
|
304,871
|
|
||
|
COMM 2015-CR22 A2
|
|
2.856% 3/48
|
|
262,000
|
|
|
261,235
|
|
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
|
|
|||
|
COMM 2015-CR22 ASB
|
|
3.144% 3/48
|
|
318,000
|
|
|
317,892
|
|
||
|
COMM 2015-CR23 A2
|
|
2.852% 05/48
|
|
750,000
|
|
|
746,456
|
|
||
|
COMM 2015-CR25 A3
|
|
3.505% 8/48
|
|
4,000,000
|
|
|
4,000,542
|
|
||
|
COMM 2015-DC1 A4
|
|
3.078% 2/48
|
|
3,000,000
|
|
|
2,939,670
|
|
||
|
COMM 2015-PC1 A3
|
|
3.725% 7/50
|
|
4,000,000
|
|
|
4,075,986
|
|
||
|
Commonwealth Bank of Australia NY
|
|
2.3% 3/20
|
|
770,000
|
|
|
761,855
|
|
||
|
Commonwealth Bank of Australia NY
|
|
2.4% 11/20
|
|
940,000
|
|
|
925,319
|
|
||
|
Commonwealth Edison
|
|
3.4% 9/01/21
|
|
1,615,000
|
|
|
1,623,649
|
|
||
|
Commonwealth Edison
|
|
2.95% 08/15/27
|
|
1,040,000
|
|
|
1,000,514
|
|
||
|
Compass Bank
|
|
2.875% 6/29/22
|
|
1,337,000
|
|
|
1,281,080
|
|
||
|
Compass Bank
|
|
3.5% 6/11/21
|
|
610,000
|
|
|
608,276
|
|
||
|
Conagra Brands, Inc.
|
|
4.6% 11/25
|
|
800,000
|
|
|
802,892
|
|
||
|
Conagra Brands, Inc.
|
|
3.8% 10/22/21
|
|
850,000
|
|
|
850,262
|
|
||
|
Concho Resources Inc
|
|
3.75% 10/01/27
|
|
660,000
|
|
|
621,656
|
|
||
|
Consolidated Edison
|
|
2% 5/15/21
|
|
311,000
|
|
|
301,704
|
|
||
|
Constellation Brands, FRN
|
|
3ML+95 11/15/21
|
|
1,860,000
|
|
|
1,837,721
|
|
||
|
CORE 15-CALW
|
|
3.04% 2/34 144A
|
|
1,166,866
|
|
|
1,163,072
|
|
||
|
Corporacion Andina De Formento
|
|
2% 05/10/19
|
|
455,000
|
|
|
453,356
|
|
||
|
Corporacion Andina De Formento
|
|
2.125% 9/27/21
|
|
1,220,000
|
|
|
1,184,217
|
|
||
|
Corporacion Andina De Formento
|
|
2.75% 1/23
|
|
400,000
|
|
|
390,464
|
|
||
|
Coventry Health
|
|
5.45% 6/15/21
|
|
300,000
|
|
|
310,606
|
|
||
|
CPPIB Capital Inc
|
|
2.75% 11/02/27
|
|
750,000
|
|
|
728,760
|
|
||
|
Credit Agricole S.A.
|
|
2.75% 6/10/20 144A
|
|
1,000,000
|
|
|
988,688
|
|
||
|
Credit Agricole S.A.
|
|
3.375% 1/22
|
|
1,500,000
|
|
|
1,475,386
|
|
||
|
Credit Suisse
|
|
3% 10/29/21
|
|
2,280,000
|
|
|
2,250,988
|
|
||
|
Credit Suisse
|
|
3.574% 1/23 144A
|
|
1,000,000
|
|
|
975,477
|
|
||
|
Credit Suisse
|
|
3.45% 4/16/21
|
|
4,000,000
|
|
|
3,985,482
|
|
||
|
CSAIL 2015-C2 A-SB Commercial Mortgage Trust
|
|
3.2241% 6/57
|
|
227,000
|
|
|
226,271
|
|
||
|
CSAIL 2017-CX9 A2 Commercial Mortgage Trust
|
|
2.884% 09/50
|
|
641,000
|
|
|
636,413
|
|
||
|
CSAIL 2018-CX11 A-SB Commercial Mortgage Trust
|
|
4.0339% 4/51
|
|
2,400,000
|
|
|
2,470,051
|
|
||
|
CVS Health Corporation
|
|
3.5% 7/20/22
|
|
7,295,000
|
|
|
7,244,585
|
|
||
|
CVS Health Corporation
|
|
3.7% 03/09/23
|
|
1,979,000
|
|
|
1,957,702
|
|
||
|
CVS Health Corporation
|
|
4.1% 03/25/25
|
|
1,000,000
|
|
|
991,224
|
|
||
|
CVS Health Corporation
|
|
2.8% 7/20/20
|
|
338,000
|
|
|
334,896
|
|
||
|
CVS Health Corporation
|
|
2.125% 6/01/21
|
|
1,000,000
|
|
|
967,380
|
|
||
|
CVS Health Corporation
|
|
3.35% 03/09/21
|
|
1,421,000
|
|
|
1,416,253
|
|
||
|
Daimler Financial
|
|
3.1% 05/20 144A
|
|
740,000
|
|
|
735,855
|
|
||
|
Daimler Financial
|
|
3.35% 5/21 144A
|
|
1,230,000
|
|
|
1,226,149
|
|
||
|
Daimler Financial
|
|
2.45% 5/20 144A
|
|
3,250,000
|
|
|
3,210,894
|
|
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
|
|
|||
|
Daimler Financial
|
|
2.25% 3/20 144A
|
|
387,000
|
|
|
381,767
|
|
||
|
Daimler Financial
|
|
1.5% 7/05/19 144A
|
|
1,000,000
|
|
|
990,162
|
|
||
|
Daimler Financial
|
|
2.3% 1/06/20 144A
|
|
1,000,000
|
|
|
989,025
|
|
||
|
Daimler Financial
|
|
2.85% 1/6/22 144A
|
|
504,000
|
|
|
492,270
|
|
||
|
Daimler Financial
|
|
2.3% 2/12/21 144A
|
|
500,000
|
|
|
487,807
|
|
||
|
Danaher Corporation
|
|
2.4% 9/15/20
|
|
135,000
|
|
|
133,739
|
|
||
|
DBGS BIOD Mortgage Trust
|
|
1ML+80.3 05/35
|
|
1,647,447
|
|
|
1,638,275
|
|
||
|
DBUBS Mortgage Trust
|
|
4.537% 7/44
|
|
734,944
|
|
|
755,613
|
|
||
|
Dell Equipment Finance Trust
|
|
3.39% 06/22
|
|
256,000
|
|
|
256,083
|
|
||
|
Delta Air Lines
|
|
3.625% 3/15/22
|
|
2,570,000
|
|
|
2,514,864
|
|
||
|
Deutsche Bank Ag
|
|
2.85% 5/10/19
|
|
1,060,000
|
|
|
1,053,632
|
|
||
|
Deutsche Bank Ag
|
|
3.375% 5/12/21
|
|
1,760,000
|
|
|
1,698,418
|
|
||
|
Deutsche Bank Ag
|
|
2.5% 2/13/19
|
|
913,000
|
|
|
911,266
|
|
||
|
Deutsche Telecom
|
|
1.95% 9/21 144A
|
|
1,340,000
|
|
|
1,285,635
|
|
||
|
Devon Energy Co
|
|
3.25% 5/15/22
|
|
1,900,000
|
|
|
1,851,368
|
|
||
|
Dexia Credit
|
|
1.875% 9/15/21 144A
|
|
750,000
|
|
|
730,463
|
|
||
|
Dexia Credit
|
|
2.25% 2/18/20 144A
|
|
2,250,000
|
|
|
2,236,481
|
|
||
|
Diamond Finance
|
|
3.48% 6/19 144A
|
|
1,785,000
|
|
|
1,779,731
|
|
||
|
Diamond Finance
|
|
5.45% 6/23 144A
|
|
939,000
|
|
|
955,510
|
|
||
|
Digital Realty
|
|
3.4% 10/01/20
|
|
613,000
|
|
|
610,931
|
|
||
|
Digital Realty
|
|
2.75% 2/1/23
|
|
312,000
|
|
|
298,067
|
|
||
|
Discover Bank
|
|
3.45% 7/27/26
|
|
250,000
|
|
|
229,366
|
|
||
|
Discover Bank
|
|
3.1% 6/20
|
|
1,247,000
|
|
|
1,238,275
|
|
||
|
Discover Bank
|
|
3.35% 2/06/23
|
|
250,000
|
|
|
243,326
|
|
||
|
Discover Card Execution Note Trust
|
|
1ML+55 9/21
|
|
1,500,000
|
|
|
1,501,010
|
|
||
|
Discover Card Execution Note Trust
|
|
1ML+60 12/26
|
|
1,660,000
|
|
|
1,657,467
|
|
||
|
Discover Card Execution Note Trust
|
|
1.88% 2/15/23
|
|
2,357,000
|
|
|
2,318,858
|
|
||
|
Discover Card Execution Note Trust
|
|
1.90% 10/22
|
|
1,268,000
|
|
|
1,250,524
|
|
||
|
Discover Card Execution Note Trust
|
|
2.19% 4/23
|
|
550,000
|
|
|
543,992
|
|
||
|
Discover Card Execution Note Trust
|
|
1.85% 10/23
|
|
599,000
|
|
|
586,878
|
|
||
|
Discover Card Execution Note Trust
|
|
1.39% 3/22
|
|
873,000
|
|
|
863,369
|
|
||
|
Discover Card Execution Note Trust
|
|
3.32% 3/24
|
|
1,038,000
|
|
|
1,050,640
|
|
||
|
Discover Financial
|
|
3.75% 3/04/25
|
|
1,190,000
|
|
|
1,138,467
|
|
||
|
Discovery Communication
|
|
3.95% 3/20/28
|
|
1,260,000
|
|
|
1,169,012
|
|
||
|
Dominion Resources Inc
|
|
2.5% 12/19
|
|
1,200,000
|
|
|
1,191,085
|
|
||
|
Dominion Resources Inc
|
|
1.6% 8/15/19
|
|
262,000
|
|
|
259,087
|
|
||
|
Dominion Resources Inc
|
|
2% 8/15/21
|
|
251,000
|
|
|
241,167
|
|
||
|
Dow Chemical
|
|
3% 11/15/22
|
|
1,425,000
|
|
|
1,382,164
|
|
||
|
DowDuPont Inc.
|
|
3.766% 11/15/20
|
|
380,000
|
|
|
383,566
|
|
||
|
DowDuPont Inc.
|
|
4.205% 11/15/23
|
|
1,030,000
|
|
|
1,053,163
|
|
||
|
Dr Horton Inc
|
|
2.55% 12/01/20
|
|
560,000
|
|
|
546,413
|
|
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
|
|
|
234,493
|
|
||
|
Duke Energy
|
|
3.05% 3/15/23
|
|
675,000
|
|
|
669,056
|
|
||
|
Duke Energy
|
|
3.95% 11/15/28
|
|
1,075,000
|
|
|
1,101,830
|
|
||
|
Ecolab Inc
|
|
4.35% 12/08/21
|
|
628,000
|
|
|
645,174
|
|
||
|
Ecopetrol S.A.
|
|
5.875% 09/18/2023
|
|
1,500,000
|
|
|
1,563,750
|
|
||
|
Electronic Arts
|
|
3.7% 3/01/21
|
|
1,080,000
|
|
|
1,087,592
|
|
||
|
Emera US Finance
|
|
2.7% 6/15/21
|
|
1,200,000
|
|
|
1,168,990
|
|
||
|
Enbridge Inc
|
|
2.9% 07/15/22
|
|
1,100,000
|
|
|
1,064,486
|
|
||
|
ENEL Finance International N.V.
|
|
2.875% 5/25/22 144A
|
|
2,175,000
|
|
|
2,049,201
|
|
||
|
Energy Transfer Operating, LP
|
|
4.95% 06/15/28
|
|
570,000
|
|
|
558,816
|
|
||
|
Enterprise Products
|
|
3.9% 2/15/24
|
|
2,035,000
|
|
|
2,047,039
|
|
||
|
Enterprise Products
|
|
2.85% 4/15/21
|
|
323,000
|
|
|
319,766
|
|
||
|
Enterprise Products
|
|
2.8% 02/15/2021
|
|
305,000
|
|
|
301,643
|
|
||
|
ERAC USA Finance
|
|
3.3% 10/22 144A
|
|
745,000
|
|
|
729,221
|
|
||
|
ERAC USA Finance
|
|
3.85% 11/24 144A
|
|
225,000
|
|
|
223,902
|
|
||
|
Erp Operating Lp
|
|
4.625% 12/15/21
|
|
15,000
|
|
|
15,519
|
|
||
|
Erp Operating Lp
|
|
2.375% 7/19
|
|
286,000
|
|
|
285,119
|
|
||
|
Eversource Energy
|
|
2.5% 3/15/21
|
|
520,000
|
|
|
511,051
|
|
||
|
Eversource Energy
|
|
2.8% 3/15/22
|
|
574,000
|
|
|
561,548
|
|
||
|
Exelon Corporation
|
|
4.25% 6/15/22
|
|
1,290,000
|
|
|
1,307,679
|
|
||
|
Exelon Corporation
|
|
2.85% 6/15/20
|
|
1,111,000
|
|
|
1,102,027
|
|
||
|
Exelon Corporation
|
|
VAR 6/1/22
|
|
376,000
|
|
|
367,408
|
|
||
|
Express Scripts
|
|
2.25% 6/15/19
|
|
1,360,000
|
|
|
1,354,216
|
|
||
|
Express Scripts
|
|
4.75% 11/21
|
|
320,000
|
|
|
329,146
|
|
||
|
Express Scripts
|
|
2.6% 11/20
|
|
180,000
|
|
|
177,150
|
|
||
|
Exxon Mobil Corp
|
|
2.726% 3/01/23
|
|
632,000
|
|
|
621,461
|
|
||
|
Exxon Mobil Corp
|
|
2.222% 3/01/21
|
|
810,000
|
|
|
798,310
|
|
||
|
Fannie Mae
|
|
2.375% 01/19/23
|
|
1,370,000
|
|
|
1,359,669
|
|
||
|
Fannie Mae
|
|
G93-3 K 7% 2/23
|
|
14,797
|
|
|
15,500
|
|
||
|
Fannie Mae
|
|
6.625% 11/15/30
|
|
1,935,000
|
|
|
2,594,373
|
|
||
|
Fannie Mae
|
|
2001-7 PF 7% 3/31
|
|
2,379
|
|
|
2,700
|
|
||
|
Fannie Mae
|
|
2013-72 KE 3.5% 2/43
|
|
981,812
|
|
|
995,354
|
|
||
|
Fannie Mae
|
|
2015-M8 Ab2 2.829% 01/25
|
|
2,539,180
|
|
|
2,525,751
|
|
||
|
Fannie Mae
|
|
2016-M3 Ab2 2.606% 2/26
|
|
2,534,545
|
|
|
2,468,770
|
|
||
|
Fannie Mae
|
|
2016-M5 Ab2 2.375% 4/26
|
|
2,682,389
|
|
|
2,575,974
|
|
||
|
Fannie Mae
|
|
2016-M11 Ab2 2.254% 7/26
|
|
3,800,000
|
|
|
3,581,517
|
|
||
|
Fannie Mae
|
|
2016-M12 Ab2 2.362% 9/26
|
|
5,800,000
|
|
|
5,499,938
|
|
||
|
Fannie Mae
|
|
2018-M4 A1 VAR 11/27
|
|
2,569,249
|
|
|
2,595,957
|
|
||
|
Fannie Mae
|
|
2018-M7 A1 VAR 03/28
|
|
3,269,253
|
|
|
3,300,336
|
|
||
|
Fannie Mae
|
|
2018-M8 A1 VAR 09/27
|
|
3,735,890
|
|
|
3,813,879
|
|
||
|
Fannie Mae
|
|
2018-M14 A1 3.5778% 8/25/28
|
|
3,644,145
|
|
|
3,768,590
|
|
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
|
|
|||
|
Fannie Mae
|
|
2018-M14 A2 VAR 08/28
|
|
3,100,000
|
|
|
3,160,305
|
|
||
|
Fannie Mae
|
|
2018-M13 A1 VAR 03/30
|
|
2,397,422
|
|
|
2,524,858
|
|
||
|
Fannie Mae
|
|
15YR 5.50% 9/23 #AL0229
|
|
88,663
|
|
|
91,078
|
|
||
|
Fannie Mae
|
|
2001-44 PD 7% 9/31
|
|
6,408
|
|
|
7,288
|
|
||
|
Fannie Mae
|
|
2010-31 AP 4.5% 2/40
|
|
37,290
|
|
|
37,310
|
|
||
|
Fannie Mae
|
|
15YR 5.00% 12/21 #888436
|
|
37,198
|
|
|
37,483
|
|
||
|
Fannie Mae
|
|
7.50% 11/37 #888892
|
|
81,339
|
|
|
94,664
|
|
||
|
Fannie Mae
|
|
15YR 6.50% 1/23 #889111
|
|
111,887
|
|
|
116,778
|
|
||
|
Fannie Mae
|
|
15YR 6.00% 2/23 #889634
|
|
141,016
|
|
|
145,808
|
|
||
|
Fannie Mae
|
|
15YR 5.00% 12/20 #995324
|
|
72,897
|
|
|
73,605
|
|
||
|
Fannie Mae
|
|
7.50% 11/38 #995504
|
|
75,737
|
|
|
88,134
|
|
||
|
Fannie Mae
|
|
1992-205 Z 7% 11/22
|
|
32,257
|
|
|
34,143
|
|
||
|
Fannie Mae
|
|
1994-40 Z 6.5% 3/24
|
|
91,472
|
|
|
97,091
|
|
||
|
Fannie Mae
|
|
1997-46 PL 6% 7/27
|
|
148,150
|
|
|
159,064
|
|
||
|
Fannie Mae
|
|
2013-18 Md 1.75% 2/33
|
|
1,742,143
|
|
|
1,690,207
|
|
||
|
Fannie Mae
|
|
2013-73 Tk 3.5% 9/42
|
|
787,122
|
|
|
798,783
|
|
||
|
Fannie Mae
|
|
2013-130 Cg 4% 6/43
|
|
784,821
|
|
|
807,044
|
|
||
|
Fannie Mae
|
|
2014-21 Ga 3% 4/39
|
|
1,708,613
|
|
|
1,698,508
|
|
||
|
Fannie Mae
|
|
2014-64 Nk 3% 12/37
|
|
1,999,546
|
|
|
1,991,032
|
|
||
|
Fannie Mae
|
|
2015-7 Ga 3% 9/39
|
|
1,786,682
|
|
|
1,781,432
|
|
||
|
Fannie Mae
|
|
2016-25 Ha 3% 2/38
|
|
1,194,226
|
|
|
1,189,142
|
|
||
|
Fannie Mae
|
|
2016-42 DA 3% 07/45
|
|
3,560,191
|
|
|
3,531,647
|
|
||
|
Fannie Mae
|
|
2017-4 BA 3.5% 05/41
|
|
2,025,357
|
|
|
2,045,650
|
|
||
|
Fannie Mae
|
|
2011-87 Ja 3% 6/25/40
|
|
995,701
|
|
|
991,893
|
|
||
|
Fannie Mae
|
|
2011-123 Jg 2.5% 3/41
|
|
1,692,255
|
|
|
1,655,054
|
|
||
|
Fannie Mae
|
|
2017-96 KA 3% 01/55
|
|
4,300,233
|
|
|
4,283,703
|
|
||
|
Fannie Mae
|
|
20YR 6.50% 3/19 #252348
|
|
243
|
|
|
243
|
|
||
|
Fannie Mae
|
|
20YR 6.00% 9/21 #253999
|
|
6,466
|
|
|
6,952
|
|
||
|
Fannie Mae
|
|
20YR 6.00% 11/22 #254544
|
|
15,257
|
|
|
16,403
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 12/18 #255031
|
|
—
|
|
|
—
|
|
||
|
Fannie Mae
|
|
20YR 6.00% 10/27 #256928
|
|
83,689
|
|
|
90,080
|
|
||
|
Fannie Mae
|
|
20YR 6.00% 1/28 #257048
|
|
74,983
|
|
|
80,710
|
|
||
|
Fannie Mae
|
|
6.00% 2/28 #257076
|
|
68,890
|
|
|
74,151
|
|
||
|
Fannie Mae
|
|
20YR 4.50% 5/26 #AH0473
|
|
10,196
|
|
|
10,556
|
|
||
|
Fannie Mae
|
|
15Yr 3.5% 12/29#As4198
|
|
609,331
|
|
|
619,025
|
|
||
|
Fannie Mae
|
|
15Yr 3.5% 3/29#Av9229
|
|
492,170
|
|
|
499,999
|
|
||
|
Fannie Mae
|
|
03-66 PA 3.5% 2/33
|
|
11,710
|
|
|
11,710
|
|
||
|
Fannie Mae
|
|
2009-10 AB 5% 3/24
|
|
9,003
|
|
|
9,247
|
|
||
|
Fannie Mae
|
|
2010-68 Hj 4.5% 6/40
|
|
2,579,474
|
|
|
2,666,221
|
|
||
|
Fannie Mae
|
|
2010-104 Pg 2.5% 11/39
|
|
1,873,632
|
|
|
1,850,576
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 4/19 #725352
|
|
2,907
|
|
|
2,905
|
|
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
|
|
|||
|
Fannie Mae
|
|
15YR 5.50% 4/19 #725528
|
|
6
|
|
|
6
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 12/19 #735290
|
|
1,577
|
|
|
1,580
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 3/19 #742078
|
|
2,609
|
|
|
2,608
|
|
||
|
Fannie Mae
|
|
15YR 5.00% 4/19 #761326
|
|
1,191
|
|
|
1,190
|
|
||
|
Fannie Mae
|
|
15YR 4.00% 6/19 #773153
|
|
1,966
|
|
|
1,967
|
|
||
|
Fannie Mae
|
|
15YR 4.00% 7/19 #773445
|
|
6,193
|
|
|
6,199
|
|
||
|
Fannie Mae
|
|
15YR 5.00% 12/19 #803919
|
|
15,376
|
|
|
15,473
|
|
||
|
Fannie Mae
|
|
15YR 6.00% 6/22 #944357
|
|
67,098
|
|
|
69,562
|
|
||
|
Fannie Mae
|
|
2012-149 DA 1.75% 01/43
|
|
102,875
|
|
|
98,621
|
|
||
|
Fannie Mae
|
|
2013-16 GP 3% 3/33
|
|
606,906
|
|
|
606,376
|
|
||
|
Fannie Mae
|
|
2014-83 P 3% 6/43
|
|
564,250
|
|
|
562,246
|
|
||
|
Fannie Mae
|
|
2015-28 P 2.5% 5/45
|
|
1,142,217
|
|
|
1,116,322
|
|
||
|
Fannie Mae
|
|
2015-28 Je 3% 5/45
|
|
929,819
|
|
|
923,993
|
|
||
|
Fannie Mae
|
|
2015-42 Le 3% 6/45
|
|
787,959
|
|
|
781,903
|
|
||
|
Fannie Mae
|
|
2015-54 GA 2.5% 07/45
|
|
112,420
|
|
|
110,391
|
|
||
|
Fannie Mae
|
|
2016-19 Ah 3% 4/46
|
|
546,935
|
|
|
545,761
|
|
||
|
Fannie Mae
|
|
2016-26 Cg 3% 5/46
|
|
1,687,138
|
|
|
1,679,057
|
|
||
|
Fannie Mae
|
|
2016-27 Hk 3% 1/41
|
|
831,434
|
|
|
825,544
|
|
||
|
Fannie Mae
|
|
2016-27 Kg 3% 1/40
|
|
350,345
|
|
|
349,091
|
|
||
|
Fannie Mae
|
|
2016-37 Bk 3% 6/46
|
|
1,752,289
|
|
|
1,744,005
|
|
||
|
Fannie Mae
|
|
2016-34 Gh 3% 6/46
|
|
1,656,072
|
|
|
1,645,777
|
|
||
|
Fannie Mae
|
|
2016-105 Pa 3.5% 4/45
|
|
791,011
|
|
|
802,906
|
|
||
|
Fannie Mae
|
|
2016-100 P 3.5% 11/44
|
|
1,377,072
|
|
|
1,393,083
|
|
||
|
Fannie Mae
|
|
2017-11 HA 3.5% 12/45
|
|
1,447,063
|
|
|
1,468,454
|
|
||
|
Fannie Mae
|
|
2017-20 AP 3.5% 03/45
|
|
1,621,162
|
|
|
1,644,983
|
|
||
|
Fannie Mae
|
|
2017-74 PA 3.5% 11/45
|
|
1,263,246
|
|
|
1,282,529
|
|
||
|
Fannie Mae
|
|
2017-97 P 3% 01/47
|
|
851,082
|
|
|
842,926
|
|
||
|
Fannie Mae
|
|
2018-3 LP 3% 02/47
|
|
2,723,265
|
|
|
2,704,872
|
|
||
|
Fannie Mae
|
|
2018-16 NB 3.25% 12/44
|
|
834,753
|
|
|
839,653
|
|
||
|
Fannie Mae
|
|
2018-11 LA 3.5% 7/45
|
|
1,071,330
|
|
|
1,087,164
|
|
||
|
Fannie Mae
|
|
2018-44 PA 3.5% 06/44
|
|
5,381,417
|
|
|
5,422,869
|
|
||
|
Fannie Mae
|
|
2018-88 BA 4% 11/25/43
|
|
1,708,426
|
|
|
1,754,609
|
|
||
|
Fannie Mae
|
|
6.50% 10/21 #254044
|
|
1,658
|
|
|
1,713
|
|
||
|
Fannie Mae
|
|
5.50% 11/34 #310105
|
|
294,920
|
|
|
316,291
|
|
||
|
Fannie Mae
|
|
15Yr 3.5% 7/26#Ai7819
|
|
34,925
|
|
|
35,460
|
|
||
|
Fannie Mae
|
|
15YR 3.50% 1/26 #AL1168
|
|
78,100
|
|
|
79,249
|
|
||
|
Fannie Mae
|
|
15YR 3.50% 5/27 #AL1741
|
|
166,351
|
|
|
169,049
|
|
||
|
Fannie Mae
|
|
15YR 3.50% 3/27 #AL1746
|
|
383,330
|
|
|
389,415
|
|
||
|
Fannie Mae
|
|
15YR 3.50% 5/27 #AL1751
|
|
84,197
|
|
|
85,563
|
|
||
|
Fannie Mae
|
|
20YR 2.5% 01/33#AL2974
|
|
221,953
|
|
|
217,372
|
|
||
|
Fannie Mae
|
|
20YR 2.5% 01/33#AL2975
|
|
248,450
|
|
|
243,322
|
|
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
|
|
|||
|
Fannie Mae
|
|
20YR 2.5% 01/33#AL2976
|
|
149,458
|
|
|
146,373
|
|
||
|
Fannie Mae
|
|
20YR 2.5% 01/33#AL2982
|
|
175,793
|
|
|
172,165
|
|
||
|
Fannie Mae
|
|
15Yr 3.5% 10/29#Al5851
|
|
149,508
|
|
|
151,887
|
|
||
|
Fannie Mae
|
|
15Yr 3.5% 9/29#Al5878
|
|
398,182
|
|
|
404,516
|
|
||
|
Fannie Mae
|
|
15Yr 4.5% 11/25#Al8242
|
|
235,655
|
|
|
242,896
|
|
||
|
Fannie Mae
|
|
15Yr 3% 9/31#Al8853
|
|
1,857,230
|
|
|
1,863,260
|
|
||
|
Fannie Mae
|
|
15Yr 3.5% 1/27 #Ax1909
|
|
159,973
|
|
|
162,568
|
|
||
|
Fannie Mae
|
|
20YR 6.50% 12/21 #545419
|
|
510
|
|
|
527
|
|
||
|
Fannie Mae
|
|
6.50% 7/32 #545759
|
|
15,508
|
|
|
17,323
|
|
||
|
Fannie Mae
|
|
6.50% 7/32 #545762
|
|
7,672
|
|
|
8,568
|
|
||
|
Fannie Mae
|
|
6.00% 4/25 #660719
|
|
46,185
|
|
|
48,461
|
|
||
|
Fannie Mae
|
|
2011-5 PA 4% 10/25
|
|
11,092
|
|
|
11,126
|
|
||
|
Fannie Mae
|
|
2011-26 PA 4.5% 04/41
|
|
357,467
|
|
|
373,589
|
|
||
|
Fannie Mae
|
|
3.5% 07/32#BM3929
|
|
1,271,940
|
|
|
1,291,576
|
|
||
|
Fannie Mae
|
|
15Yr 4% 08/27#BM4533
|
|
1,086,188
|
|
|
1,111,632
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 5/19 #725445
|
|
427
|
|
|
427
|
|
||
|
Fannie Mae
|
|
6.50% 11/22 #735137
|
|
11,927
|
|
|
12,269
|
|
||
|
Fannie Mae
|
|
6.50% 12/32 #735415
|
|
7,933
|
|
|
8,861
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 10/20 #735926
|
|
1,338
|
|
|
1,348
|
|
||
|
Fannie Mae
|
|
6.50% 7/35 #745092
|
|
8,691
|
|
|
9,753
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 3/19 #758528
|
|
490
|
|
|
489
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 4/19 #774267
|
|
904
|
|
|
904
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 5/19 #780233
|
|
5,799
|
|
|
5,800
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 7/19 #788390
|
|
258
|
|
|
258
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 10/19 #796680
|
|
18,638
|
|
|
18,706
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 2/20 #809744
|
|
607
|
|
|
610
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 11/20 #813915
|
|
1,694
|
|
|
1,722
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 10/20 #836381
|
|
4,680
|
|
|
4,718
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 7/21 #845515
|
|
1,857
|
|
|
1,887
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 1/21 #852735
|
|
231
|
|
|
235
|
|
||
|
Fannie Mae
|
|
6.50% 8/36 #888034
|
|
11,653
|
|
|
13,005
|
|
||
|
Fannie Mae
|
|
6.50% 8/36 #888544
|
|
41,827
|
|
|
46,806
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 11/19 #889395
|
|
75
|
|
|
75
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 3/21 #890081
|
|
9,853
|
|
|
9,884
|
|
||
|
Fannie Mae
|
|
5.50% 2/37 #904918
|
|
17,900
|
|
|
18,712
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 7/21 #932885
|
|
46,656
|
|
|
46,945
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 12/20 #995320
|
|
82,996
|
|
|
83,509
|
|
||
|
Fannie Mae
|
|
15YR 6.00% 1/24 #995425
|
|
94,300
|
|
|
98,273
|
|
||
|
Fannie Mae
|
|
15YR 4.50% 12/20 #995465
|
|
21,094
|
|
|
21,255
|
|
||
|
Fannie Mae
|
|
15YR 6.50% 2/24 #995658
|
|
35,312
|
|
|
37,284
|
|
||
|
Fannie Mae
|
|
8.00% 11/37 #995783
|
|
12,291
|
|
|
13,674
|
|
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
|
|
|||
|
Fannie Mae
|
|
10YR 2.5% 10/22#AB6544
|
|
58,683
|
|
|
58,362
|
|
||
|
Fannie Mae
|
|
10YR 2.5% 10/22#AB6730
|
|
50,863
|
|
|
50,584
|
|
||
|
Fannie Mae
|
|
10YR 2.5% 5/23 #MA1431
|
|
134,419
|
|
|
133,680
|
|
||
|
Fannie Mae
|
|
10YR 6.50% 12/37 #AD0070
|
|
34,587
|
|
|
37,460
|
|
||
|
Fannie Mae
|
|
6.50% 9/28 #AD0329
|
|
67,809
|
|
|
73,450
|
|
||
|
Fannie Mae
|
|
6.50% 12/35 #AD0723
|
|
48,738
|
|
|
54,441
|
|
||
|
Fannie Mae
|
|
15YR 5.50% 3/24 #AE0467
|
|
30,857
|
|
|
31,875
|
|
||
|
Fannie Mae
|
|
15YR 6.00% 3/24 #AE0745
|
|
60,925
|
|
|
63,108
|
|
||
|
Fannie Mae
|
|
6.50% 8/36 #AE0746
|
|
35,845
|
|
|
40,096
|
|
||
|
Fannie Mae
|
|
2003-W4 2A 6.5% 10/42
|
|
8,119
|
|
|
8,759
|
|
||
|
Fidelity National
|
|
3.625% 10/15/20
|
|
820,000
|
|
|
823,580
|
|
||
|
Fifth Third Bank
|
|
2.03% 02/22
|
|
977,000
|
|
|
966,356
|
|
||
|
Fifth Third Bank
|
|
2.375% 4/25/19
|
|
1,250,000
|
|
|
1,247,423
|
|
||
|
Ford Motor Credit Company
|
|
4.25% 9/22
|
|
1,475,000
|
|
|
1,413,933
|
|
||
|
Ford Motor Credit Company
|
|
4.134% 8/25
|
|
1,875,000
|
|
|
1,689,707
|
|
||
|
Ford Motor Credit Company
|
|
2.03% 12/20
|
|
939,000
|
|
|
931,933
|
|
||
|
Ford Motor Credit Company
|
|
1.69% 11/21
|
|
953,000
|
|
|
941,255
|
|
||
|
Ford Motor Credit Company
|
|
2.93% 06/21
|
|
1,840,000
|
|
|
1,836,327
|
|
||
|
Ford Motor Credit Company
|
|
1.33% 10/20
|
|
615,737
|
|
|
612,912
|
|
||
|
Ford Motor Credit Company
|
|
2.459% 3/20
|
|
2,000,000
|
|
|
1,957,611
|
|
||
|
Ford Motor Credit Company
|
|
2.681% 01/20
|
|
1,736,000
|
|
|
1,707,058
|
|
||
|
Ford Motor Credit Company
|
|
3.03% 11/22
|
|
809,000
|
|
|
809,376
|
|
||
|
Ford Motor Credit Company
|
|
1.55% 7/21
|
|
1,198,000
|
|
|
1,188,721
|
|
||
|
Ford Motor Credit Company
|
|
2.37% 09/22
|
|
838,000
|
|
|
825,581
|
|
||
|
Ford Motor Credit Company
|
|
2.95% 05/15
|
|
800,000
|
|
|
797,850
|
|
||
|
Ford Motor Credit Company
|
|
2.31% 4/26 144A
|
|
473,000
|
|
|
469,681
|
|
||
|
Ford Motor Credit Company
|
|
2.31% 8/27
|
|
324,000
|
|
|
319,584
|
|
||
|
Ford Motor Credit Company
|
|
2.44% 1/27
|
|
450,000
|
|
|
446,219
|
|
||
|
Ford Motor Credit Company
|
|
1.67% 6/21
|
|
704,771
|
|
|
699,400
|
|
||
|
Ford Motor Credit Company
|
|
2.01% 7/20
|
|
142,006
|
|
|
141,620
|
|
||
|
Ford Motor Credit Company
|
|
1.897% 8/19
|
|
1,000,000
|
|
|
990,174
|
|
||
|
Ford Motor Credit Company
|
|
3.339% 3/22
|
|
364,000
|
|
|
343,568
|
|
||
|
Ford Motor Credit Company
|
|
4.14% 2/23
|
|
1,000,000
|
|
|
950,457
|
|
||
|
Fortis Inc.
|
|
2.1% 10/04/21
|
|
1,600,000
|
|
|
1,538,118
|
|
||
|
Fortive Corp
|
|
1.8% 06/15/19
|
|
21,000
|
|
|
20,749
|
|
||
|
Fortive Corp
|
|
2.35% 06/15/21
|
|
302,000
|
|
|
294,458
|
|
||
|
Freddie Mac
|
|
15YR 5.00% 10/23 #G13276
|
|
87,384
|
|
|
90,254
|
|
||
|
Freddie Mac
|
|
5.50% 1/24 #G13432
|
|
136,116
|
|
|
140,717
|
|
||
|
Freddie Mac
|
|
15YR 5.50% 12/21 #G13481
|
|
59,918
|
|
|
61,176
|
|
||
|
Freddie Mac
|
|
15YR 6.00% 1/24 #G13647
|
|
119,809
|
|
|
124,958
|
|
||
|
Freddie Mac
|
|
15YR 6.00% 1/24 #G13982
|
|
100,486
|
|
|
103,644
|
|
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
|
|
|||
|
Freddie Mac
|
|
15YR 5.50% 12/24 #G14015
|
|
580,956
|
|
|
597,922
|
|
||
|
Freddie Mac
|
|
15YR 5.0% 4/20 #G11682
|
|
43,636
|
|
|
43,977
|
|
||
|
Freddie Mac
|
|
15YR 5.50% 2/20 #G11728
|
|
97,596
|
|
|
98,199
|
|
||
|
Freddie Mac
|
|
192 I 9% 2/22
|
|
14,999
|
|
|
14,999
|
|
||
|
Freddie Mac
|
|
6.50% 9/23 #Z40030
|
|
972,120
|
|
|
1,030,028
|
|
||
|
Freddie Mac
|
|
6.50% 5/24 #Z40034
|
|
1,204,853
|
|
|
1,280,277
|
|
||
|
Freddie Mac
|
|
2068 B 10% 11/22
|
|
3,201
|
|
|
3,449
|
|
||
|
Freddie Mac
|
|
2420 MZ 6.5% 2/32
|
|
358,289
|
|
|
400,707
|
|
||
|
Freddie Mac
|
|
2012-4049 CA 3% 5/27
|
|
663,509
|
|
|
661,223
|
|
||
|
Freddie Mac
|
|
3803 EN 3.5% 2/24
|
|
752,513
|
|
|
753,590
|
|
||
|
Freddie Mac
|
|
2011-3844 PJ 5% 1/40
|
|
302,621
|
|
|
311,994
|
|
||
|
Freddie Mac
|
|
K067 A2 3.194% 07/27
|
|
7,015,000
|
|
|
6,965,702
|
|
||
|
Freddie Mac
|
|
18-K072 A2 3.444% 12/27
|
|
10,000,000
|
|
|
10,086,474
|
|
||
|
Freddie Mac
|
|
2018-K076 A2 3.9% 04/28
|
|
3,500,000
|
|
|
3,651,427
|
|
||
|
Freddie Mac
|
|
2018-K076 AM 3.9% 04/28
|
|
1,575,000
|
|
|
1,633,630
|
|
||
|
Freddie Mac
|
|
2018-K078 AM 3.92% 06/51
|
|
1,975,000
|
|
|
2,052,243
|
|
||
|
Freddie Mac
|
|
K079 AM 3.93% 06/25/28
|
|
2,550,000
|
|
|
2,653,091
|
|
||
|
Freddie Mac
|
|
2018-K077 A2 3.85% 05/28
|
|
3,200,000
|
|
|
3,326,244
|
|
||
|
Freddie Mac
|
|
K077 AM 3.85% 05/28
|
|
660,000
|
|
|
682,518
|
|
||
|
Freddie Mac
|
|
2018-K080 AM 3.986% 07/28
|
|
4,700,000
|
|
|
4,911,766
|
|
||
|
Freddie Mac
|
|
2018-K082 AM 3.92% 09/28
|
|
2,800,000
|
|
|
2,909,798
|
|
||
|
Freddie Mac
|
|
2018-K733 AM 3.75% 09/25
|
|
2,300,000
|
|
|
2,372,900
|
|
||
|
Freddie Mac
|
|
2018-K083 A2 3.97% 09/28
|
|
2,500,000
|
|
|
2,636,652
|
|
||
|
Freddie Mac
|
|
2018-K083 AM 4.03% 10/28
|
|
1,000,000
|
|
|
1,048,212
|
|
||
|
Freddie Mac
|
|
2018-K084 AM 3.88% 10/28
|
|
5,000,000
|
|
|
5,179,751
|
|
||
|
Freddie Mac
|
|
2018-K085 AM 4.06% 10/28
|
|
2,500,000
|
|
|
2,620,447
|
|
||
|
Freddie Mac
|
|
2018- 4% 11/28
|
|
2,300,000
|
|
|
2,389,950
|
|
||
|
Freddie Mac
|
|
2018-K086 AM 3.919% 11/28
|
|
750,000
|
|
|
779,407
|
|
||
|
Freddie Mac
|
|
K074 A2 3.6% 02/51
|
|
6,000,000
|
|
|
6,123,175
|
|
||
|
Freddie Mac
|
|
2527 TB 6% 11/32
|
|
13,697
|
|
|
15,195
|
|
||
|
Freddie Mac
|
|
2872 JG 4.5% 10/19
|
|
12,801
|
|
|
12,838
|
|
||
|
Freddie Mac
|
|
3397 FC 0.8613% 12/37
|
|
256,986
|
|
|
258,948
|
|
||
|
Freddie Mac
|
|
20YR 6.00% 9/27 #G30357
|
|
102,038
|
|
|
109,830
|
|
||
|
Freddie Mac
|
|
6.50% 5/22 #D95395
|
|
2,153
|
|
|
2,195
|
|
||
|
Freddie Mac
|
|
15YR 6.50% 7/21 #G12934
|
|
5,033
|
|
|
5,195
|
|
||
|
Freddie Mac
|
|
15YR 6.00% 11/23 #G13368
|
|
21,103
|
|
|
21,707
|
|
||
|
Freddie Mac
|
|
15YR 6.00% 4/20 #J02203
|
|
134
|
|
|
134
|
|
||
|
Freddie Mac
|
|
8.50% 7/28 #G00981
|
|
53,096
|
|
|
59,715
|
|
||
|
Freddie Mac
|
|
15YR 4.50% 4/19 #B13051
|
|
780
|
|
|
780
|
|
||
|
Freddie Mac
|
|
2075 PH 6.5% 8/28
|
|
26,763
|
|
|
29,390
|
|
||
|
Freddie Mac
|
|
2208 PG 7% 1/30
|
|
45,140
|
|
|
50,984
|
|
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
|
|
|||
|
Freddie Mac
|
|
2262 Z 7.5% 10/30
|
|
26,412
|
|
|
30,249
|
|
||
|
Freddie Mac
|
|
1584 L 6.5% 9/23
|
|
35,121
|
|
|
37,223
|
|
||
|
Freddie Mac
|
|
1577 PK 6.5% 9/23
|
|
7,873
|
|
|
8,289
|
|
||
|
Freddie Mac
|
|
1617 PM 6.5% 11/23
|
|
28,626
|
|
|
30,406
|
|
||
|
Freddie Mac
|
|
1837 Z 6.5% 4/26
|
|
23,359
|
|
|
24,891
|
|
||
|
Freddie Mac
|
|
1835 D 6% 4/26
|
|
26,995
|
|
|
28,405
|
|
||
|
Freddie Mac
|
|
2399 OH 6.5% 1/32
|
|
37,419
|
|
|
41,873
|
|
||
|
Freddie Mac
|
|
2344 ZJ 6.5% 8/31
|
|
3,867
|
|
|
4,322
|
|
||
|
Freddie Mac
|
|
2011-3857 Ec 3.5% 8/39
|
|
900,435
|
|
|
913,844
|
|
||
|
Freddie Mac
|
|
2012-4026 HA 3.5% 12/39
|
|
2,000,353
|
|
|
2,024,685
|
|
||
|
Freddie Mac
|
|
2012-4016 Ca 2% 7/41
|
|
966,763
|
|
|
934,452
|
|
||
|
Freddie Mac
|
|
2012-4062 BA 3.5% 06/38
|
|
2,156,381
|
|
|
2,175,328
|
|
||
|
Freddie Mac
|
|
2010-3703 Cy 4% 8/25
|
|
2,048,234
|
|
|
2,093,514
|
|
||
|
Freddie Mac
|
|
2014-4352 A 3% 4/40
|
|
652,584
|
|
|
650,859
|
|
||
|
Freddie Mac
|
|
2014-4358 Da 3% 6/40
|
|
2,188,053
|
|
|
2,183,161
|
|
||
|
Freddie Mac
|
|
2015-4441 Ak 3% 9/37
|
|
3,556,907
|
|
|
3,547,001
|
|
||
|
Freddie Mac
|
|
4454 B 3% 10/41
|
|
3,418,796
|
|
|
3,390,086
|
|
||
|
Freddie Mac
|
|
2015-4461 LA 3% 06/38
|
|
4,513,405
|
|
|
4,477,302
|
|
||
|
Freddie Mac
|
|
2015-4482 Dh 3% 6/42
|
|
2,214,213
|
|
|
2,217,224
|
|
||
|
Freddie Mac
|
|
2015-4502 Ga 3.5% 8/41
|
|
2,245,558
|
|
|
2,267,978
|
|
||
|
Freddie Mac
|
|
2016-4546 AB 2% 01/31
|
|
1,730,717
|
|
|
1,673,971
|
|
||
|
Freddie Mac
|
|
2016-4569 DA 3% 08/44
|
|
1,752,649
|
|
|
1,747,557
|
|
||
|
Freddie Mac
|
|
4189 Md 3.0% 6/33
|
|
730,967
|
|
|
728,454
|
|
||
|
Freddie Mac
|
|
2013-4281 Lg 4% 1/43
|
|
617,977
|
|
|
636,615
|
|
||
|
Freddie Mac
|
|
2014-4305 Ma 3% 8/38
|
|
2,028,731
|
|
|
2,023,084
|
|
||
|
Freddie Mac
|
|
4314 KA 3% 12/39
|
|
3,902,654
|
|
|
3,883,630
|
|
||
|
Freddie Mac
|
|
2017-4716 PA 3% 07/44
|
|
4,629,887
|
|
|
4,616,635
|
|
||
|
Freddie Mac
|
|
2474 NR 6.5% 7/32
|
|
24,198
|
|
|
27,051
|
|
||
|
Freddie Mac
|
|
2484 LZ 6.5% 7/32
|
|
40,553
|
|
|
45,384
|
|
||
|
Freddie Mac
|
|
2009-3534 Mb 4% 5/24
|
|
1,176,013
|
|
|
1,210,761
|
|
||
|
Freddie Mac
|
|
15YR 5.00% 4/20 #G13598
|
|
2,741
|
|
|
2,759
|
|
||
|
Freddie Mac
|
|
15YR 3.50% 10/26 #G14450
|
|
917,771
|
|
|
931,651
|
|
||
|
Freddie Mac
|
|
15YR 2.5% 6/23#G14775
|
|
87,639
|
|
|
87,110
|
|
||
|
Freddie Mac
|
|
15Yr 3.5% 8/30#G15273
|
|
445,075
|
|
|
451,807
|
|
||
|
Freddie Mac
|
|
15Yr 2.5% 10/31#G16387
|
|
915,169
|
|
|
901,090
|
|
||
|
Freddie Mac
|
|
25YR 5.50% 7/35 #G05815
|
|
37,396
|
|
|
40,041
|
|
||
|
Freddie Mac
|
|
6.50% 8/26 #C90985
|
|
17,312
|
|
|
18,743
|
|
||
|
Freddie Mac
|
|
6.50% 10/26 #C90995
|
|
101,483
|
|
|
110,013
|
|
||
|
Freddie Mac
|
|
20Yr 3.5% 6/32#C91456
|
|
727,394
|
|
|
738,169
|
|
||
|
Freddie Mac
|
|
6.00% 8/26 #G00587
|
|
20,352
|
|
|
21,804
|
|
||
|
Freddie Mac
|
|
5.50% 3/34 #G01665
|
|
54,780
|
|
|
58,694
|
|
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
|
|
|||
|
Freddie Mac
|
|
6.00% 8/28 #C13910
|
|
41,028
|
|
|
44,768
|
|
||
|
Freddie Mac
|
|
15YR 4.00% 9/25 #E02787
|
|
96,817
|
|
|
99,069
|
|
||
|
Freddie Mac
|
|
15YR 4.00% 4/26 #E02867
|
|
56,921
|
|
|
58,327
|
|
||
|
Freddie Mac
|
|
15YR 4.50% 6/19 #B14961
|
|
2,531
|
|
|
2,535
|
|
||
|
Freddie Mac
|
|
15YR 2.5% 9/22#J20415
|
|
38,113
|
|
|
37,931
|
|
||
|
Freddie Mac
|
|
15Yr 3% 5/29#J29409
|
|
1,213,988
|
|
|
1,215,937
|
|
||
|
Freddie Mac
|
|
5.50% 5/34 #Z40042
|
|
411,936
|
|
|
440,687
|
|
||
|
Freddie Mac
|
|
20Yr 3% 11/33#G30872
|
|
825,968
|
|
|
827,231
|
|
||
|
Freddie Mac
|
|
20Yr 3.5% 05/38#G31067
|
|
449,936
|
|
|
456,601
|
|
||
|
Freddie Mac
|
|
2012-4135 AB 1.75% 06/42
|
|
78,243
|
|
|
75,034
|
|
||
|
Freddie Mac
|
|
2015-4472 Wl 3% 5/45
|
|
452,858
|
|
|
452,115
|
|
||
|
Freddie Mac
|
|
K724 A1 2.776% 03/23
|
|
279,191
|
|
|
277,797
|
|
||
|
Freddie Mac
|
|
4683 EA 2.5% 05/47
|
|
1,272,735
|
|
|
1,243,572
|
|
||
|
Freddie Mac
|
|
2017-K727 A1 2.632% 10/23
|
|
197,285
|
|
|
195,819
|
|
||
|
Freddie Mac
|
|
2018-4765 QA 3% 02/46
|
|
1,788,295
|
|
|
1,778,598
|
|
||
|
Freddie Mac
|
|
2018-K079 A1 3.729% 02/28
|
|
268,337
|
|
|
276,672
|
|
||
|
Freddie Mac
|
|
4847 CA 3.5% 11/15/45
|
|
1,197,532
|
|
|
1,213,048
|
|
||
|
Freddie Mac
|
|
2018-4766 MA 3.5% 02/46
|
|
1,679,423
|
|
|
1,706,019
|
|
||
|
FSPC T-54 2A
|
|
6% 2/43
|
|
69,476
|
|
|
79,022
|
|
||
|
FSPC T-54 3A
|
|
7% 2/43
|
|
30,057
|
|
|
34,754
|
|
||
|
General Dynamics
|
|
2.875% 5/11/20
|
|
1,330,000
|
|
|
1,330,722
|
|
||
|
General Dynamics
|
|
3% 5/11/21
|
|
1,585,000
|
|
|
1,588,406
|
|
||
|
General Electric Capital
|
|
2.342% 11/15/20
|
|
4,891,000
|
|
|
4,719,916
|
|
||
|
General Electric Capital
|
|
3.1% 1/09/23
|
|
649,000
|
|
|
605,553
|
|
||
|
General Electric Capital
|
|
3.375% 3/11/24
|
|
786,000
|
|
|
734,161
|
|
||
|
General Electric Capital
|
|
2.2% 1/09/20
|
|
224,000
|
|
|
219,946
|
|
||
|
General Mills, Inc.
|
|
3.2% 04/16/2021
|
|
152,000
|
|
|
151,200
|
|
||
|
General Motors Financial
|
|
3.7% 5/09/23
|
|
1,800,000
|
|
|
1,712,467
|
|
||
|
General Motors Financial
|
|
3.5% 11/24
|
|
780,000
|
|
|
709,792
|
|
||
|
General Motors Financial
|
|
4.15% 06/19/23
|
|
1,910,000
|
|
|
1,860,928
|
|
||
|
General Motors Financial
|
|
2.65% 4/13/20
|
|
603,000
|
|
|
593,598
|
|
||
|
General Motors Financial
|
|
3.55% 4/9/21
|
|
508,000
|
|
|
500,948
|
|
||
|
GM Financial Leasing Trust
|
|
2.39% 7/22
|
|
374,000
|
|
|
370,148
|
|
||
|
GM Financial Leasing Trust
|
|
3.1% 06/21
|
|
1,304,000
|
|
|
1,302,041
|
|
||
|
GM Financial Leasing Trust
|
|
2.01% 11/20
|
|
385,000
|
|
|
382,295
|
|
||
|
GM Financial Leasing Trust
|
|
2.02% 09/20
|
|
1,097,000
|
|
|
1,088,618
|
|
||
|
GM Financial Leasing Trust
|
|
2.61% 01/21
|
|
1,500,000
|
|
|
1,492,822
|
|
||
|
GMF Floorplan Owner Revolving Trust
|
|
1.86% 5/21 144A
|
|
630,000
|
|
|
627,110
|
|
||
|
GMF Floorplan Owner Revolving Trust
|
|
2.22% 1/22 144A
|
|
685,000
|
|
|
679,105
|
|
||
|
GMF Floorplan Owner Revolving Trust
|
|
3.25% 03/15/2023
|
|
773,000
|
|
|
773,072
|
|
||
|
GNMA
|
|
6.50% 9/29 #002808
|
|
172,298
|
|
|
191,200
|
|
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
|
|
5.50% 7/38 #004187
|
|
16,569
|
|
|
16,990
|
|
||
|
GNMA
|
|
6.00% 11/38 #004285
|
|
27,365
|
|
|
29,462
|
|
||
|
GNMA
|
|
20YR 6.50% 4/23 #593677
|
|
11,149
|
|
|
11,744
|
|
||
|
GNMA
|
|
2009-65 GL 4.5% 5/38
|
|
12,703
|
|
|
12,716
|
|
||
|
GNMA
|
|
2002-33 ZD 6% 5/32
|
|
301,103
|
|
|
327,963
|
|
||
|
GNMA
|
|
2008-47 PC 5% 11/16/37
|
|
654,487
|
|
|
674,460
|
|
||
|
GNMA
|
|
2009-127 PL 4.25% 10/38
|
|
144,293
|
|
|
145,056
|
|
||
|
GNMA
|
|
2010-47 CN 4.5% 8/38
|
|
22,534
|
|
|
22,609
|
|
||
|
GNMA
|
|
2010-73 CB 4.40% 8/35
|
|
10,560
|
|
|
10,550
|
|
||
|
GNMA
|
|
2010-73 GA 4.5% 9/36
|
|
311,761
|
|
|
314,818
|
|
||
|
GNMA
|
|
2010-68 LA 4.5% 3/38
|
|
13,898
|
|
|
13,887
|
|
||
|
GNMA
|
|
2010-162 PQ 4.5% 6/39
|
|
91,230
|
|
|
92,306
|
|
||
|
GNMA
|
|
5% 07/48#MA5332
|
|
22,467
|
|
|
23,407
|
|
||
|
GNMA
|
|
5% 11/48#MA5597
|
|
4,771,268
|
|
|
4,970,959
|
|
||
|
GNMA
|
|
6.50% 1/23 #530795
|
|
57,859
|
|
|
60,947
|
|
||
|
GNMA
|
|
15YR 6.50% 6/20 #641437
|
|
4,080
|
|
|
4,154
|
|
||
|
GNMA
|
|
2010-61 HD 3.5% 11/38
|
|
623,293
|
|
|
623,484
|
|
||
|
GNMA
|
|
2010-98 Ch 3% 10/39
|
|
342,152
|
|
|
342,919
|
|
||
|
GNMA
|
|
2013-106 Pa 4% 2/43
|
|
1,606,290
|
|
|
1,658,315
|
|
||
|
GNMA
|
|
7.00% 8/28 #416611
|
|
12,326
|
|
|
13,806
|
|
||
|
GNMA
|
|
7.00% 8/28 #458917
|
|
4,453
|
|
|
4,942
|
|
||
|
GNMA
|
|
7.00% 2/28 #462548
|
|
1,291
|
|
|
1,400
|
|
||
|
GNMA
|
|
7.00% 7/28 #462643
|
|
54,496
|
|
|
60,957
|
|
||
|
GNMA
|
|
7.00% 10/28 #481353
|
|
53,719
|
|
|
60,330
|
|
||
|
GNMA
|
|
7.00% 5/32 #552576
|
|
12,909
|
|
|
14,705
|
|
||
|
GNMA
|
|
8.00% 11/29 #186997
|
|
720
|
|
|
826
|
|
||
|
Goldman Sachs
|
|
7.5% 2/15/19
|
|
145,000
|
|
|
145,698
|
|
||
|
Goldman Sachs
|
|
3.85% 7/08/24
|
|
740,000
|
|
|
723,346
|
|
||
|
Goldman Sachs
|
|
5.75% 1/24/22
|
|
3,650,000
|
|
|
3,821,515
|
|
||
|
Goldman Sachs
|
|
3.85% 01/26/27
|
|
4,715,000
|
|
|
4,437,516
|
|
||
|
Goldman Sachs
|
|
3.75% 2/25/26
|
|
800,000
|
|
|
756,882
|
|
||
|
Goldman Sachs
|
|
2.908%/VAR 6/5/23
|
|
4,125,000
|
|
|
3,959,768
|
|
||
|
Goldman Sachs
|
|
2.876%/VAR 10/22
|
|
2,640,000
|
|
|
2,563,876
|
|
||
|
Goldman Sachs
|
|
5.25% 7/27/21
|
|
318,000
|
|
|
330,100
|
|
||
|
Goldman Sachs
|
|
3.2% 2/23/23
|
|
1,000,000
|
|
|
969,908
|
|
||
|
Goldman Sachs
|
|
3.2% 6/5/20
|
|
392,000
|
|
|
391,232
|
|
||
|
GSMS 14-GC18 AAB
|
|
3.648% 1/47
|
|
116,000
|
|
|
117,224
|
|
||
|
GSMS 14-GC20 AAB
|
|
3.655% 4/47
|
|
134,000
|
|
|
135,865
|
|
||
|
GSMS 14-GC26 AAB
|
|
3.365% 11/47
|
|
528,000
|
|
|
531,457
|
|
||
|
GSMS 15-GC28 AAB
|
|
3.206% 02/48
|
|
362,000
|
|
|
362,485
|
|
||
|
GSMS 15-GC32 A3
|
|
3.498% 7/48
|
|
4,300,000
|
|
|
4,304,317
|
|
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
|
|
|||
|
GSMS 15-GC32 AAB
|
|
3.513% 7/48
|
|
285,000
|
|
|
288,295
|
|
||
|
GSMS 2012-ALOH A
|
|
3.551 4/10/34
|
|
1,780,000
|
|
|
1,794,048
|
|
||
|
GSMS 2012-GC6 A3
|
|
3.482% 01/45
|
|
439,341
|
|
|
444,042
|
|
||
|
GSMS 2012-GCJ7 A4
|
|
3.377% 05/45
|
|
3,630,752
|
|
|
3,646,072
|
|
||
|
GSMS 2012-GCJ9 A3
|
|
2.773% 11/45
|
|
1,075,703
|
|
|
1,060,956
|
|
||
|
GSMS 2012-GCJ9 AAB
|
|
2.368% 10/45
|
|
1,576,108
|
|
|
1,558,402
|
|
||
|
GSMS 2013-GC10 A4
|
|
2.681% 02/46
|
|
158,811
|
|
|
155,514
|
|
||
|
GSMS 2013-GC10 A5
|
|
2.943% 2/46
|
|
868,000
|
|
|
857,111
|
|
||
|
Guardian Life Global
|
|
2% 4/21 144A
|
|
380,000
|
|
|
370,298
|
|
||
|
Halfmoon Parent
|
|
4.375% 10/15/28 144A
|
|
1,295,000
|
|
|
1,303,016
|
|
||
|
Halfmoon Parent
|
|
3.4% 09/17/2021 144A
|
|
730,000
|
|
|
728,308
|
|
||
|
Halfmoon Parent
|
|
3.75% 07/15/2023 144A
|
|
373,000
|
|
|
371,735
|
|
||
|
Harot
|
|
1.68% 08/21
|
|
1,012,000
|
|
|
1,001,536
|
|
||
|
Harot
|
|
1.79% 09/21
|
|
528,000
|
|
|
521,534
|
|
||
|
Harot
|
|
2.64% 02/22
|
|
1,903,000
|
|
|
1,891,684
|
|
||
|
Harot
|
|
1.72% 07/21
|
|
620,285
|
|
|
614,952
|
|
||
|
Hart
|
|
2.79% 07/22
|
|
1,284,000
|
|
|
1,282,973
|
|
||
|
Hart
|
|
1.77% 01/22
|
|
1,415,000
|
|
|
1,396,095
|
|
||
|
Hart
|
|
1.29% 4/21
|
|
680,974
|
|
|
674,371
|
|
||
|
Hart
|
|
1.46% 2/20
|
|
14,142
|
|
|
14,132
|
|
||
|
Hart
|
|
1.56% 9/20
|
|
109,270
|
|
|
108,859
|
|
||
|
Healthcare Trust
|
|
2.95% 07/22
|
|
658,000
|
|
|
639,527
|
|
||
|
HSBC Holdings
|
|
5.1% 4/05/21
|
|
360,000
|
|
|
372,267
|
|
||
|
HSBC Holdings
|
|
4.875% 1/22
|
|
675,000
|
|
|
697,694
|
|
||
|
HSBC Holdings
|
|
3.262/VAR 3/13/23
|
|
3,905,000
|
|
|
3,821,485
|
|
||
|
HSBC Holdings
|
|
3.033/VAR 11/22/23
|
|
900,000
|
|
|
871,074
|
|
||
|
HSBC Holdings
|
|
3.95%/VAR 5/18/2024
|
|
650,000
|
|
|
646,451
|
|
||
|
HSBC USA Inc
|
|
2.25% 6/23/19
|
|
659,000
|
|
|
656,369
|
|
||
|
Hungary Government
|
|
6.375% 3/29/21
|
|
750,000
|
|
|
791,505
|
|
||
|
Huntington Auto Trust
|
|
1.57% 11/20
|
|
176,973
|
|
|
176,220
|
|
||
|
Huntington Bancshares
|
|
2.5% 8/7/22
|
|
1,040,000
|
|
|
1,004,692
|
|
||
|
Huntington Bancshares
|
|
2.3% 1/14/22
|
|
1,000,000
|
|
|
965,468
|
|
||
|
Huntington National Bank
|
|
3.25% 5/21
|
|
850,000
|
|
|
847,854
|
|
||
|
Husky Energy
|
|
4% 4/15/24
|
|
1,000,000
|
|
|
989,569
|
|
||
|
Hyundai Capital
|
|
1.625% 8/19 144A
|
|
1,345,000
|
|
|
1,331,084
|
|
||
|
Hyundai Capital
|
|
2.6% 3/20 144A
|
|
380,000
|
|
|
375,104
|
|
||
|
Hyundai Floorplan Master Owner Trust
|
|
1.81% 3/21
|
|
437,000
|
|
|
435,221
|
|
||
|
Imperial Tobacco
|
|
2.95% 7/20 144A
|
|
2,000,000
|
|
|
1,969,808
|
|
||
|
ING Bank
|
|
2.05% 8/15/21 144A
|
|
1,060,000
|
|
|
1,023,217
|
|
||
|
ING Group N.V.
|
|
3.15% 3/29/22
|
|
850,000
|
|
|
835,715
|
|
||
|
Intercontinental Exchange
|
|
2.75% 12/01/20
|
|
534,000
|
|
|
530,550
|
|
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
|
|
|||
|
Intercontinental Exchange
|
|
3.45% 09/21/23
|
|
505,000
|
|
|
506,930
|
|
||
|
International Paper
|
|
4.75% 2/15/22
|
|
852,000
|
|
|
888,783
|
|
||
|
ITC Holdings
|
|
2.7% 11/15/22
|
|
523,000
|
|
|
505,492
|
|
||
|
Jackson National Life Global
|
|
2.25% 4/29/21
|
|
2,845,000
|
|
|
2,777,859
|
|
||
|
Japan Bank International
|
|
2.25% 02/24/20
|
|
600,000
|
|
|
596,956
|
|
||
|
Japan Bank International
|
|
2.125% 6/20
|
|
1,878,000
|
|
|
1,860,244
|
|
||
|
Japan Bank International
|
|
2.125% 7/21/20
|
|
1,000,000
|
|
|
990,230
|
|
||
|
Japan Bank International
|
|
1.5% 7/21/21
|
|
787,000
|
|
|
761,757
|
|
||
|
Japan Finance Organization for Municipalities
|
|
2.125% 10/23 144A
|
|
1,000,000
|
|
|
957,952
|
|
||
|
Japan Finance Organization for Municipalities
|
|
2.625% 4/20/22 144A
|
|
1,200,000
|
|
|
1,184,949
|
|
||
|
Jefferies Group
|
|
6.875% 4/15/21
|
|
985,000
|
|
|
1,048,136
|
|
||
|
John Deere Capital
|
|
3.9% 7/12/21
|
|
500,000
|
|
|
509,477
|
|
||
|
John Deere Capital
|
|
3.65% 10/12/23
|
|
800,000
|
|
|
808,321
|
|
||
|
Jordan Government
|
|
3% 6/30/25
|
|
790,000
|
|
|
789,842
|
|
||
|
JP Morgan Chase & Co.
|
|
4.25% 10/15/20
|
|
2,050,000
|
|
|
2,086,551
|
|
||
|
JP Morgan Chase & Co.
|
|
4.625% 5/10/21
|
|
1,400,000
|
|
|
1,440,723
|
|
||
|
JP Morgan Chase & Co.
|
|
3.2% 1/25/23
|
|
1,000,000
|
|
|
985,375
|
|
||
|
JP Morgan Chase & Co.
|
|
3.625% 5/13/24
|
|
1,340,000
|
|
|
1,330,979
|
|
||
|
JP Morgan Chase & Co.
|
|
2.25%1/23/20
|
|
640,000
|
|
|
633,554
|
|
||
|
JP Morgan Chase & Co.
|
|
2.75% 6/20
|
|
1,785,000
|
|
|
1,774,492
|
|
||
|
JP Morgan Chase & Co.
|
|
3.2% 6/26
|
|
2,060,000
|
|
|
1,941,028
|
|
||
|
JP Morgan Chase & Co.
|
|
2.95% 10/01/26
|
|
1,140,000
|
|
|
1,053,383
|
|
||
|
JP Morgan Chase & Co.
|
|
2.55% 10/29/20
|
|
400,000
|
|
|
395,477
|
|
||
|
JP Morgan Chase & Co.
|
|
2.55% 03/01/21
|
|
1,000,000
|
|
|
985,857
|
|
||
|
JP Morgan Chase & Co.
|
|
3.559%/VAR 04/23/24
|
|
850,000
|
|
|
843,521
|
|
||
|
JP Morgan Chase & Co.
|
|
3.514% 06/18/22
|
|
850,000
|
|
|
851,890
|
|
||
|
JP Morgan Chase & Co.
|
|
4.023/VAR 12/05/24
|
|
1,100,000
|
|
|
1,109,296
|
|
||
|
JPMBB 13-C12 ASB
|
|
3.157% 07/45
|
|
1,538,385
|
|
|
1,532,656
|
|
||
|
JPMBB 14-C22 A3A1
|
|
3.5379% 9/47
|
|
2,000,000
|
|
|
2,008,455
|
|
||
|
JPMBB 14-C22 ASB
|
|
3.5036% 09/47
|
|
356,000
|
|
|
357,808
|
|
||
|
JPMBB 15-C27 A3A1
|
|
2.9202% 2/48
|
|
4,500,000
|
|
|
4,373,653
|
|
||
|
JPMBB 15-C32 A4
|
|
3.3293% 11/48
|
|
3,000,000
|
|
|
2,971,744
|
|
||
|
JPMCC 12-C8 ASB
|
|
2.3791% 10/45
|
|
1,852,086
|
|
|
1,821,930
|
|
||
|
JPMCC 13-C10 A5
|
|
3.1425% 12/47
|
|
1,085,000
|
|
|
1,076,848
|
|
||
|
JPMCC 16-JP4 A2
|
|
2.9343% 12/49
|
|
507,000
|
|
|
502,278
|
|
||
|
JPMCC 17-JP5 A3
|
|
3.3422% 03/50
|
|
2,100,000
|
|
|
2,090,323
|
|
||
|
JPMCC 2012-C6 A3
|
|
3.5074% 5/45
|
|
295,731
|
|
|
297,127
|
|
||
|
JPMCC 2012-C8 A3
|
|
2.8291% 10/45
|
|
419,558
|
|
|
412,228
|
|
||
|
JPMCC 2015-JP1 A2
|
|
3.1438% 1/49
|
|
423,000
|
|
|
421,039
|
|
||
|
JPMorgan Chase Bank
|
|
3.086/VAR 4/21
|
|
3,250,000
|
|
|
3,236,412
|
|
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
|
|
|||
|
Key Corp
|
|
5.1% 3/24/21
|
|
435,000
|
|
|
451,145
|
|
||
|
Key Corp
|
|
2.9% 9/15/20
|
|
2,000,000
|
|
|
1,986,492
|
|
||
|
KeyBank National
|
|
2.5% 12/15/19
|
|
307,000
|
|
|
305,120
|
|
||
|
KeyBank National
|
|
2.25% 3/16/20
|
|
250,000
|
|
|
247,312
|
|
||
|
KeyBank National
|
|
1.6% 8/22/19
|
|
384,000
|
|
|
380,588
|
|
||
|
Kinder Morgan
|
|
2.65% 2/01/19
|
|
207,000
|
|
|
206,890
|
|
||
|
Kinder Morgan
|
|
3.05% 12/01/19
|
|
392,000
|
|
|
389,746
|
|
||
|
Kraft Foods
|
|
3.5% 6/22 WI
|
|
980,000
|
|
|
971,859
|
|
||
|
Kraft Heinz
|
|
3% 6/01/26
|
|
400,000
|
|
|
357,015
|
|
||
|
Kraft Heinz
|
|
3.95% 7/15/25
|
|
3,180,000
|
|
|
3,078,830
|
|
||
|
Kroger
|
|
2.3% 1/15/19
|
|
350,000
|
|
|
349,879
|
|
||
|
Kroger
|
|
3.3% 1/15/21
|
|
215,000
|
|
|
214,067
|
|
||
|
Kubota Credit Owner Trust
|
|
3.1% 08/15/2022 144A
|
|
1,027,000
|
|
|
1,032,031
|
|
||
|
Laboratory Corp
|
|
3.2% 2/01/22
|
|
150,000
|
|
|
148,858
|
|
||
|
LG&E & Ku Energy Llc
|
|
3.75% 11/20
|
|
1,250,000
|
|
|
1,254,587
|
|
||
|
Liberty Mutual
|
|
5% 6/01/21 144A
|
|
390,000
|
|
|
400,513
|
|
||
|
Liberty Mutual
|
|
4.95% 5/22 144A
|
|
930,000
|
|
|
958,809
|
|
||
|
Lincoln National
|
|
6.25% 2/15/20
|
|
1,350,000
|
|
|
1,393,238
|
|
||
|
Lloyds Bank plc
|
|
3.3% 05/07/21
|
|
2,200,000
|
|
|
2,193,246
|
|
||
|
Lloyds Bank plc
|
|
2.907/VAR 11/07/23
|
|
1,000,000
|
|
|
945,558
|
|
||
|
LyondellBasell Industries
|
|
5% 4/15/19
|
|
974,000
|
|
|
975,060
|
|
||
|
Macquarie
|
|
3.189/VAR 11/23 144A
|
|
2,650,000
|
|
|
2,547,029
|
|
||
|
Macys Retail
|
|
3.875% 1/15/22
|
|
270,000
|
|
|
267,178
|
|
||
|
Manitoba Provence
|
|
2.125% 6/26
|
|
100,000
|
|
|
93,454
|
|
||
|
Manufacturers & Traders Trust Company
|
|
2.1% 2/06/20
|
|
600,000
|
|
|
593,487
|
|
||
|
Manufacturers & Traders Trust Company
|
|
2.5% 5/18/22
|
|
500,000
|
|
|
485,674
|
|
||
|
Maple Escrow Subsidiary
|
|
3.551% 5/25/21 144A
|
|
725,000
|
|
|
723,874
|
|
||
|
Maple Escrow Subsidiary
|
|
4.057% 5/25/23 144A
|
|
2,000,000
|
|
|
1,991,742
|
|
||
|
Markel Corp
|
|
7.125% 9/30/19
|
|
1,300,000
|
|
|
1,333,925
|
|
||
|
Marriott Intl
|
|
3% 3/01/19
|
|
2,440,000
|
|
|
2,436,884
|
|
||
|
Marsh & Mclennan
|
|
2.35% 3/06/20
|
|
550,000
|
|
|
545,056
|
|
||
|
Marsh & Mclennan
|
|
2.75% 1/30/22
|
|
886,000
|
|
|
868,363
|
|
||
|
Massmutual
|
|
2.35% 4/19 144A
|
|
890,000
|
|
|
889,040
|
|
||
|
Massmutual
|
|
2.45% 11/23/20 144A
|
|
750,000
|
|
|
739,786
|
|
||
|
McCormick & Company, Inc.
|
|
2.7% 08/15/22
|
|
1,345,000
|
|
|
1,304,124
|
|
||
|
Mcdonalds
|
|
2.625% 1/15/22
|
|
530,000
|
|
|
518,259
|
|
||
|
Mcdonalds
|
|
2.75% 12/20
|
|
74,000
|
|
|
73,472
|
|
||
|
Medtronic Inc
|
|
3.5% 3/15/25
|
|
3,927,000
|
|
|
3,913,178
|
|
||
|
Mercedes Benz Auto Lease Trust
|
|
2.41% 02/21
|
|
636,000
|
|
|
633,118
|
|
||
|
MetLife
|
|
3.45% 10/21 144A
|
|
1,030,000
|
|
|
1,034,264
|
|
||
|
MetLife
|
|
2% 4/20 144A
|
|
750,000
|
|
|
739,222
|
|
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
|
|
|||
|
MetLife
|
|
2.65% 4/22 144A
|
|
750,000
|
|
|
730,885
|
|
||
|
Mid-Atlantic Interstate Transmission
|
|
4.1% 5/28 144A
|
|
860,000
|
|
|
854,389
|
|
||
|
Mitsubishi UFJ Financial Corp
|
|
3.761% 7/26/23
|
|
3,080,000
|
|
|
3,094,008
|
|
||
|
Mitsubishi UFJ Financial Corp
|
|
2.65% 10/20 144A
|
|
1,000,000
|
|
|
987,660
|
|
||
|
Mitsubishi UFJ Financial Corp
|
|
2.19% 9/13/21
|
|
500,000
|
|
|
482,651
|
|
||
|
Mitsubishi UFJ Financial Corp
|
|
2.998% 2/22
|
|
436,000
|
|
|
429,876
|
|
||
|
Mitsubishi UFJ Financial Corp
|
|
3.455% 03/02/2023
|
|
750,000
|
|
|
745,353
|
|
||
|
Mizuho Financial Group
|
|
3.922/VAR 9/24
|
|
3,870,000
|
|
|
3,910,670
|
|
||
|
Mizuho Financial Group
|
|
3.549% 02/28/23
|
|
1,005,000
|
|
|
1,002,814
|
|
||
|
Mizuho Financial Group
|
|
2.632% 04/21 144A
|
|
1,000,000
|
|
|
980,998
|
|
||
|
Mizuho Financial Group
|
|
2.273% 9/13/21
|
|
500,000
|
|
|
484,101
|
|
||
|
Mizuho Financial Group
|
|
2.953% 2/22
|
|
500,000
|
|
|
490,162
|
|
||
|
Moodys Corp
|
|
2.75% 12/15/21
|
|
295,000
|
|
|
289,292
|
|
||
|
Moodys Corp
|
|
3.25% 06/07/2021
|
|
440,000
|
|
|
438,286
|
|
||
|
Morgan Stanley
|
|
3.125% 01/23/23
|
|
1,890,000
|
|
|
1,844,964
|
|
||
|
Morgan Stanley
|
|
3.772%/VAR 01/24/29
|
|
270,000
|
|
|
258,482
|
|
||
|
Morgan Stanley
|
|
4% 07/23/25
|
|
320,000
|
|
|
315,837
|
|
||
|
Morgan Stanley
|
|
3.75% 2/25/23
|
|
465,000
|
|
|
464,154
|
|
||
|
Morgan Stanley
|
|
3.875% 01/27/26
|
|
1,455,000
|
|
|
1,419,843
|
|
||
|
Morgan Stanley
|
|
3.625% 01/20/27
|
|
2,540,000
|
|
|
2,415,309
|
|
||
|
Morgan Stanley
|
|
5.75% 1/25/21
|
|
3,070,000
|
|
|
3,204,903
|
|
||
|
Morgan Stanley
|
|
5.5% 7/28/21
|
|
525,000
|
|
|
549,772
|
|
||
|
Morgan Stanley
|
|
5.5% 1/26/20
|
|
1,360,000
|
|
|
1,390,741
|
|
||
|
Morgan Stanley
|
|
3.737%/VAR 4/24
|
|
4,115,000
|
|
|
4,083,566
|
|
||
|
Morgan Stanley
|
|
2.5% 4/21/21
|
|
2,340,000
|
|
|
2,292,929
|
|
||
|
Morgan Stanley
|
|
2.75% 05/19/22
|
|
850,000
|
|
|
826,909
|
|
||
|
Morgan Stanley
|
|
2.65% 1/27/20
|
|
600,000
|
|
|
595,429
|
|
||
|
Morgan Stanley
|
|
2.5% 1/24/19
|
|
1,330,000
|
|
|
1,329,457
|
|
||
|
Mosaic Co New
|
|
4.25% 11/15/23
|
|
2,275,000
|
|
|
2,286,522
|
|
||
|
MPLX LP
|
|
4.125% 03/01/27
|
|
380,000
|
|
|
361,996
|
|
||
|
MPLX LP
|
|
4% 03/15/2028
|
|
585,000
|
|
|
548,616
|
|
||
|
MPLX LP
|
|
4.8% 02/15/2029
|
|
565,000
|
|
|
563,958
|
|
||
|
MSBAM 13-C13 ASB
|
|
3.557% 11/46
|
|
654,267
|
|
|
660,923
|
|
||
|
MSBAM 15-C22 ASB
|
|
3.04% 4/15/48
|
|
200,000
|
|
|
199,422
|
|
||
|
MSBAM 2012-C6 A4
|
|
2.858% 11/45
|
|
842,990
|
|
|
830,950
|
|
||
|
MSBAM 2013-C11 A4
|
|
CSTR 8/46
|
|
228,000
|
|
|
237,528
|
|
||
|
MSBAM 2013-C7 A4
|
|
2.918% 2/46
|
|
616,000
|
|
|
607,311
|
|
||
|
MSBAM 2013-C8 A4
|
|
3.134% 12/48
|
|
703,000
|
|
|
698,606
|
|
||
|
MSBAM 2014-C16 ASB
|
|
3.477% 6/47
|
|
469,000
|
|
|
471,636
|
|
||
|
MSBAM 2014-C17 ASB
|
|
3.477% 8/47
|
|
591,000
|
|
|
595,907
|
|
||
|
MSBAM 2015-C21 A3
|
|
3.077% 3/48
|
|
5,600,000
|
|
|
5,473,934
|
|
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
|
|
|||
|
MSBAM 2015-C21 ASB
|
|
3.15% 03/48
|
|
118,000
|
|
|
117,308
|
|
||
|
MSBAM 2016-C29 A1
|
|
1.597% 5/49
|
|
261,951
|
|
|
258,254
|
|
||
|
MSC 2011-C3 A3
|
|
4.054% 7/49
|
|
42,856
|
|
|
42,967
|
|
||
|
MSC 2015-MS1 A3
|
|
3.51% 5/48
|
|
3,500,000
|
|
|
3,501,972
|
|
||
|
Mylan N.V.
|
|
2.5% 06/07/19
|
|
446,000
|
|
|
443,904
|
|
||
|
Mylan, Inc.
|
|
4.55% 04/15/28 144A
|
|
1,455,000
|
|
|
1,356,884
|
|
||
|
NA Development Bank
|
|
4.375% 2/11/20
|
|
2,900,000
|
|
|
2,945,504
|
|
||
|
NALT 2017-A A3
|
|
1.91% 04/20
|
|
890,000
|
|
|
885,562
|
|
||
|
NALT 2017-B A3
|
|
2.05% 09/20
|
|
504,000
|
|
|
500,393
|
|
||
|
NAROT 2016-B A3
|
|
1.32% 1/15/21
|
|
774,686
|
|
|
768,494
|
|
||
|
NAROT 2017-A A3
|
|
1.74% 08/21
|
|
858,000
|
|
|
850,018
|
|
||
|
NAROT 2017-B A3
|
|
1.75% 10/21
|
|
2,095,000
|
|
|
2,070,659
|
|
||
|
National Australian Bank
|
|
2.625% 1/14/21
|
|
1,635,000
|
|
|
1,616,122
|
|
||
|
National Australian Bank
|
|
3.7% 11/04/21
|
|
1,220,000
|
|
|
1,231,536
|
|
||
|
Nationwide Building Society
|
|
3.766%/VAR 03/08/24 144A
|
|
1,005,000
|
|
|
967,191
|
|
||
|
NAVSL 2016-6A A1
|
|
1ML+48 3/66
|
|
53,074
|
|
|
53,087
|
|
||
|
New York City Transitional Finance Authority (TFA)
|
|
2.05% 08/01/23
|
|
225,000
|
|
|
215,087
|
|
||
|
New York City Transitional Finance Authority (TFA)
|
|
2.85% 02/01/24
|
|
210,000
|
|
|
205,661
|
|
||
|
New York Life
|
|
1.95% 2/20 144A
|
|
1,000,000
|
|
|
988,551
|
|
||
|
New York State Urban Development Corporation
|
|
2.67% 03/15/23
|
|
525,000
|
|
|
518,826
|
|
||
|
New York State Urban Development Corporation
|
|
2.7% 03/15/23
|
|
915,000
|
|
|
905,319
|
|
||
|
Newell Rubbermaid
|
|
4.2% 4/01/26
|
|
535,000
|
|
|
523,118
|
|
||
|
NextEra Energy Capital Holdings, Inc.
|
|
3.342% 9/1/20
|
|
1,225,000
|
|
|
1,227,216
|
|
||
|
Nisource Inc
|
|
2.65% 11/17/22
|
|
2,125,000
|
|
|
2,034,325
|
|
||
|
Nissan
|
|
2.125% 03/03/20 144A
|
|
1,530,000
|
|
|
1,504,865
|
|
||
|
Nissan
|
|
2.25% 1/20 144A
|
|
1,070,000
|
|
|
1,054,579
|
|
||
|
Nissan
|
|
2.15% 09/20 144A
|
|
925,000
|
|
|
898,690
|
|
||
|
NMOTR 2016-A A2
|
|
1.54% 6/21
|
|
452,000
|
|
|
448,976
|
|
||
|
Noble Energy Inc
|
|
4.15% 12/15/21
|
|
1,605,000
|
|
|
1,612,623
|
|
||
|
Noble Energy Inc
|
|
3.9% 11/15/24
|
|
1,500,000
|
|
|
1,452,905
|
|
||
|
Nomura Holdings
|
|
2.75% 3/19/19
|
|
975,000
|
|
|
974,165
|
|
||
|
Norfolks South
|
|
3.25% 12/01/21
|
|
20,000
|
|
|
20,052
|
|
||
|
Nutrien Limited
|
|
3.15% 10/01/22
|
|
250,000
|
|
|
241,310
|
|
||
|
Oneok Inc
|
|
4% 07/13/27
|
|
590,000
|
|
|
563,031
|
|
||
|
Oneok Partners
|
|
3.375% 10/01/22
|
|
1,145,000
|
|
|
1,124,167
|
|
||
|
Ontario Province
|
|
3.4% 10/17/23
|
|
970,000
|
|
|
989,187
|
|
||
|
Ontario Province
|
|
2.25% 05/18/22
|
|
345,000
|
|
|
337,848
|
|
||
|
Ontario Teachers
|
|
3.125% 03/20/22
|
|
565,000
|
|
|
560,878
|
|
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
|
|
|||
|
Ontario Teachers Finance Trust
|
|
2.75% 04/16/21
|
|
250,000
|
|
|
250,235
|
|
||
|
Oracle Corp
|
|
1.9% 9/15/21
|
|
5,725,000
|
|
|
5,555,727
|
|
||
|
PACCAR Financial Corp
|
|
3.4% 8/9/23
|
|
1,025,000
|
|
|
1,032,588
|
|
||
|
People's United
|
|
3.65% 12/06/22
|
|
995,000
|
|
|
995,913
|
|
||
|
Pepsico Inc
|
|
1.7% 10/06/2021
|
|
1,000,000
|
|
|
967,152
|
|
||
|
Petroleos Mexicanos
|
|
4.625% 09/21/23
|
|
1,500,000
|
|
|
1,407,750
|
|
||
|
Petroleos Mexicanos
|
|
6.5% 03/13/27
|
|
750,000
|
|
|
705,000
|
|
||
|
Philip Morris
|
|
2.625% 2/18/22
|
|
1,000,000
|
|
|
967,914
|
|
||
|
Philip Morris
|
|
2.375% 8/17/22
|
|
745,000
|
|
|
715,934
|
|
||
|
Philip Morris
|
|
1.875% 2/21
|
|
1,294,000
|
|
|
1,257,309
|
|
||
|
Plains All American Pipeline
|
|
2.85% 1/31/23
|
|
800,000
|
|
|
754,060
|
|
||
|
Plains All American Pipeline
|
|
4.5% 12/26
|
|
800,000
|
|
|
770,957
|
|
||
|
PNC Bank
|
|
4.375% 8/11/20
|
|
1,200,000
|
|
|
1,221,843
|
|
||
|
PNC Bank
|
|
2.95% 1/30/23
|
|
1,040,000
|
|
|
1,012,818
|
|
||
|
PNC Bank
|
|
3.8% 7/25/23
|
|
460,000
|
|
|
461,595
|
|
||
|
PNC Bank
|
|
2.95% 02/23/25
|
|
2,250,000
|
|
|
2,165,894
|
|
||
|
PNC Bank
|
|
2.15% 4/29/21
|
|
1,000,000
|
|
|
974,253
|
|
||
|
PNC Bank
|
|
2.55% 12/09/21
|
|
500,000
|
|
|
487,772
|
|
||
|
PPL Capital Funding Inc
|
|
3.5% 12/01/22
|
|
405,000
|
|
|
398,411
|
|
||
|
Pricoa Glbl
|
|
2.45% 9/21/22 144A
|
|
626,000
|
|
|
604,976
|
|
||
|
Principal Financial Group
|
|
3.3% 9/15/22
|
|
460,000
|
|
|
456,892
|
|
||
|
Private Export Funding
|
|
2.45% 7/15/24
|
|
290,000
|
|
|
286,100
|
|
||
|
Private Export Funding
|
|
2.3% 9/15/20
|
|
4,010,000
|
|
|
3,978,886
|
|
||
|
Private Export Funding
|
|
2.65% 2/21 144A
|
|
1,190,000
|
|
|
1,190,909
|
|
||
|
Progress Energy Inc
|
|
4.875% 12/01/19
|
|
1,500,000
|
|
|
1,518,992
|
|
||
|
Protective Life Global
|
|
3.397% 6/21 144A
|
|
1,520,000
|
|
|
1,522,851
|
|
||
|
Protective Life Global
|
|
2.161% 9/20 144A
|
|
500,000
|
|
|
490,990
|
|
||
|
PSEG Power LLC
|
|
3.85% 06/01/23
|
|
1,105,000
|
|
|
1,105,834
|
|
||
|
Pt Holdings Co Inc (Unlist)
|
|
0
|
|
525
|
|
|
—
|
|
||
|
Public Service Company of Oklahoma
|
|
5.15% 12/01/19
|
|
27,000
|
|
|
27,497
|
|
||
|
Public Service Electric and Gas Company
|
|
3.65% 9/01/28
|
|
2,900,000
|
|
|
2,938,005
|
|
||
|
Public Service Electric and Gas Company
|
|
2.65% 11/22
|
|
577,000
|
|
|
555,146
|
|
||
|
Public Service Enterprise
|
|
2% 11/15/21
|
|
293,000
|
|
|
281,357
|
|
||
|
Quebec Province
|
|
2.75% 4/12/27
|
|
480,000
|
|
|
467,022
|
|
||
|
Quebec Province
|
|
7.14% 2/27/26
|
|
630,000
|
|
|
760,152
|
|
||
|
Quebec Province
|
|
2.375% 1/31/22
|
|
800,000
|
|
|
790,200
|
|
||
|
Rabobank
|
|
3.875% 9/26/23 144A
|
|
1,535,000
|
|
|
1,540,212
|
|
||
|
Reckitt Benckiser
|
|
2.375% 6/24/22 144A
|
|
2,075,000
|
|
|
1,992,868
|
|
||
|
Regions Financial Corp
|
|
3.2% 2/08/21
|
|
1,000,000
|
|
|
993,571
|
|
||
|
Regions Financial Corp
|
|
2.75% 8/22
|
|
786,000
|
|
|
758,279
|
|
||
|
Reliance Std Lf
|
|
2.5% 1/15/20
|
|
4,260,000
|
|
|
4,218,812
|
|
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
|
|
|||
|
Reynolds American
|
|
3.25% 6/20
|
|
504,000
|
|
|
500,829
|
|
||
|
Reynolds American
|
|
4% 6/12/22
|
|
257,000
|
|
|
254,218
|
|
||
|
Rockwell Collins
|
|
2.8% 3/15/22
|
|
2,940,000
|
|
|
2,857,505
|
|
||
|
Roper Technologies
|
|
3% 12/15/20
|
|
750,000
|
|
|
744,976
|
|
||
|
Roper Technologies
|
|
2.8% 12/15/21
|
|
651,000
|
|
|
637,742
|
|
||
|
Roper Technologies
|
|
3.65% 09/15/2023
|
|
547,000
|
|
|
547,361
|
|
||
|
Royal Bank of Canada
|
|
3.2% 04/30/21
|
|
4,595,000
|
|
|
4,594,358
|
|
||
|
Royal Bank of Canada
|
|
3ML+39 4/30/21
|
|
1,520,000
|
|
|
1,507,256
|
|
||
|
Royal Bank of Canada
|
|
3.7% 10/5/23
|
|
2,385,000
|
|
|
2,394,410
|
|
||
|
Royal Bank of Canada
|
|
2.35% 10/30/20
|
|
300,000
|
|
|
296,294
|
|
||
|
Royal Bank of Scotland
|
|
3.498/VAR 5/23
|
|
2,858,000
|
|
|
2,748,173
|
|
||
|
Royal Bank of Scotland
|
|
4.519%/VAR 06/25/20
|
|
1,029,000
|
|
|
1,009,625
|
|
||
|
Ryder System Inc
|
|
2.35% 2/19
|
|
1,480,000
|
|
|
1,478,299
|
|
||
|
Ryder System Inc
|
|
2.5% 09/01/22
|
|
395,000
|
|
|
379,488
|
|
||
|
Ryder System Inc
|
|
3.5% 06/01/21
|
|
490,000
|
|
|
490,615
|
|
||
|
San Diego G&E
|
|
3% 8/15/21
|
|
500,000
|
|
|
497,908
|
|
||
|
Santander UK
|
|
4.45% 12/3/21
|
|
750,000
|
|
|
762,961
|
|
||
|
Santander UK
|
|
3.125% 1/8/21
|
|
1,025,000
|
|
|
1,006,261
|
|
||
|
Santander UK
|
|
2.125% 11/3/20
|
|
1,500,000
|
|
|
1,464,736
|
|
||
|
Santander UK
|
|
2.5% 1/5/21
|
|
715,000
|
|
|
698,298
|
|
||
|
Schlumberger Holdings Corporation
|
|
3% 12/21/20 144A
|
|
934,000
|
|
|
925,714
|
|
||
|
Schlumberger Holdings Corporation
|
|
2.4 8/01/22 144
|
|
1,850,000
|
|
|
1,776,314
|
|
||
|
Sempra Energy
|
|
2.4% 3/15/20
|
|
445,000
|
|
|
438,694
|
|
||
|
Sempra Energy
|
|
1.625% 10/07/19
|
|
707,000
|
|
|
697,235
|
|
||
|
Sempra Energy
|
|
2.9% 02/01/2023
|
|
153,000
|
|
|
148,662
|
|
||
|
Shell International
|
|
2.125% 5/20
|
|
571,000
|
|
|
565,127
|
|
||
|
Shell International
|
|
2.25% 11/10/20
|
|
550,000
|
|
|
543,338
|
|
||
|
Shire Acquisitions Investments Ireland Limited
|
|
2.4% 9/23/21
|
|
3,894,000
|
|
|
3,765,272
|
|
||
|
Siemens
|
|
2.9% 5/27/22 144A
|
|
1,330,000
|
|
|
1,305,744
|
|
||
|
Simon Property
|
|
3.375% 3/15/22
|
|
170,000
|
|
|
170,231
|
|
||
|
Simon Property
|
|
2.35% 1/30/22
|
|
175,000
|
|
|
169,948
|
|
||
|
Simon Property
|
|
2.75% 06/01/23
|
|
690,000
|
|
|
668,599
|
|
||
|
Skandinaviska Enskilda Banken AB
|
|
2.375% 3/25/19 144A
|
|
1,890,000
|
|
|
1,886,515
|
|
||
|
Skandinaviska Enskilda Banken AB
|
|
3.25% 5/21 144A
|
|
1,515,000
|
|
|
1,509,379
|
|
||
|
Societe Generale
|
|
4.25% 9/23 144A
|
|
1,025,000
|
|
|
1,017,900
|
|
||
|
Southern Company
|
|
2.35% 7/01/21
|
|
1,500,000
|
|
|
1,458,299
|
|
||
|
SP Powerassets LTD
|
|
3% 9/26/27 144A
|
|
1,150,000
|
|
|
1,089,286
|
|
||
|
SRT 2017-A A3
|
|
2.58% 01/21
|
|
820,000
|
|
|
813,247
|
|
||
|
SRT 2018-A
|
|
2.93% 05/20/21
|
|
682,000
|
|
|
681,141
|
|
||
|
SSM Health Care Corporation
|
|
3.688% 6/1/23
|
|
470,000
|
|
|
474,284
|
|
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
|
|
|||
|
SSTRT 17-1A A3
|
|
1.89% 8/20
|
|
426,427
|
|
|
424,266
|
|
||
|
SSTRT 17-2A A3
|
|
2.04% 4/21 144A
|
|
501,000
|
|
|
495,644
|
|
||
|
SSTRT 2016-1A A3
|
|
1.76% 3/20
|
|
120,145
|
|
|
119,755
|
|
||
|
SSTRT 2018-2A A3
|
|
3.325% 8/22
|
|
1,030,000
|
|
|
1,038,018
|
|
||
|
Standard Chartered Bank
|
|
3ML+1.15 1/20/23
|
|
1,790,000
|
|
|
1,772,023
|
|
||
|
Starbucks Corp
|
|
3.8% 08/15/2025
|
|
420,000
|
|
|
415,534
|
|
||
|
State Street Government Short Term Investments Fund
|
|
0
|
|
12,496,982
|
|
|
12,496,982
|
|
||
|
Stifel Financial Corp
|
|
4.25% 7/18/24
|
|
1,680,000
|
|
|
1,698,822
|
|
||
|
Sumitomo Mitsui Banking Corp
|
|
2.45% 1/10/19
|
|
675,000
|
|
|
674,906
|
|
||
|
Sumitomo Mitsui Banking Corp
|
|
2.25% 7/11/19
|
|
785,000
|
|
|
781,209
|
|
||
|
Sumitomo Mitsui Banking Corp
|
|
2.45% 1/16/20
|
|
1,950,000
|
|
|
1,934,267
|
|
||
|
Sumitomo Mitsui Banking Corp
|
|
2.784% 7/22
|
|
1,295,000
|
|
|
1,261,796
|
|
||
|
Sumitomo Mitsui Banking Corp
|
|
2.778% 10/22
|
|
575,000
|
|
|
557,990
|
|
||
|
Sumitomo Mitsui Banking Corp
|
|
2.846% 01/11/22
|
|
1,000,000
|
|
|
981,582
|
|
||
|
Suntrust Banks Inc
|
|
2.7% 1/27/22
|
|
1,500,000
|
|
|
1,462,869
|
|
||
|
Suntrust Banks Inc
|
|
3.525%/VAR 10/21
|
|
1,361,000
|
|
|
1,362,372
|
|
||
|
Suntrust Banks Inc
|
|
3.502%/VAR 8/2/22
|
|
669,000
|
|
|
666,971
|
|
||
|
Swiss Re Treasury (US) Corp
|
|
2.875% 12/22 144A
|
|
580,000
|
|
|
568,005
|
|
||
|
Synchrony Financial
|
|
2.7% 2/03/20
|
|
575,000
|
|
|
565,167
|
|
||
|
SYNCT 2015-1 A
|
|
2.37% 3/23
|
|
748,000
|
|
|
742,091
|
|
||
|
Takeda Pharmaceutical
|
|
3.8% 11/26/20 144A
|
|
520,000
|
|
|
523,033
|
|
||
|
Takeda Pharmaceutical
|
|
4% 11/26/21 144A
|
|
1,120,000
|
|
|
1,135,226
|
|
||
|
TAOT 2016-A A3
|
|
1.25% 3/20
|
|
516,918
|
|
|
515,298
|
|
||
|
TAOT 2016-B A3
|
|
1.51% 4/20
|
|
268,519
|
|
|
267,071
|
|
||
|
TAOT 2017-B A3
|
|
1.76% 07/21
|
|
2,245,000
|
|
|
2,224,289
|
|
||
|
TAOT 2017-C A3
|
|
1.78% 11/21
|
|
1,040,000
|
|
|
1,025,149
|
|
||
|
TAOT 2018-B A3
|
|
2.96% 9/15/22
|
|
794,000
|
|
|
794,192
|
|
||
|
Tennessee Valley Authority
|
|
7.125% 5/01/30
|
|
130,000
|
|
|
179,164
|
|
||
|
Tennessee Valley Authority
|
|
2.875% 02/01/27
|
|
290,000
|
|
|
287,150
|
|
||
|
Time Warner Cable
|
|
8.75% 2/14/19
|
|
1,600,000
|
|
|
1,608,933
|
|
||
|
Time Warner Inc
|
|
4.75% 3/29/21
|
|
1,149,000
|
|
|
1,177,948
|
|
||
|
Time Warner Inc
|
|
4% 1/15/22
|
|
15,000
|
|
|
15,184
|
|
||
|
Time Warner Inc
|
|
3.8% 2/15/27
|
|
825,000
|
|
|
774,516
|
|
||
|
TJX Companies, Inc
|
|
2.75% 6/15/21
|
|
411,000
|
|
|
407,525
|
|
||
|
Toronto Dominion Bank
|
|
2.125% 4/07/21
|
|
1,000,000
|
|
|
978,506
|
|
||
|
Total Capital International
|
|
2.875% 2/17/22
|
|
13,000
|
|
|
12,845
|
|
||
|
Total Capital International
|
|
2.75% 6/19/21
|
|
430,000
|
|
|
427,525
|
|
||
|
Toyota Motor Corp
|
|
2.6% 1/11/22
|
|
1,000,000
|
|
|
985,498
|
|
||
|
Transcanada
|
|
2.125% 11/15/19
|
|
840,000
|
|
|
832,005
|
|
||
|
Transcanada
|
|
2.5% 8/1/22
|
|
800,000
|
|
|
767,721
|
|
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
|
|
|||
|
Transcontinental Gas Pipe Line Company
|
|
4% 03/15/28
|
|
1,285,000
|
|
|
1,257,272
|
|
||
|
UBS
|
|
2.375% 8/14/19
|
|
1,885,000
|
|
|
1,877,386
|
|
||
|
UBS
|
|
4.0484% 5/15/51
|
|
4,200,000
|
|
|
4,304,879
|
|
||
|
UBS
|
|
4.125% 09/25 144A
|
|
1,350,000
|
|
|
1,341,365
|
|
||
|
UBS
|
|
2.859/VAR 08/23 144A
|
|
2,315,000
|
|
|
2,226,420
|
|
||
|
UBS
|
|
2.45% 12/01/20 144A
|
|
850,000
|
|
|
834,116
|
|
||
|
UBSBB 2012-C2 A4
|
|
3.525% 5/63
|
|
447,000
|
|
|
451,909
|
|
||
|
United Parcel Services
|
|
5.125% 4/01/19
|
|
2,100,000
|
|
|
2,111,243
|
|
||
|
United Technologies
|
|
2.3% 5/4/22
|
|
1,630,000
|
|
|
1,563,645
|
|
||
|
United Technologies
|
|
3.5% 08/16/2021
|
|
247,000
|
|
|
246,321
|
|
||
|
UnitedHealth Group
|
|
2.7% 7/15/20
|
|
303,000
|
|
|
301,868
|
|
||
|
UnitedHealth Group
|
|
2.875% 12/15/21
|
|
400,000
|
|
|
398,689
|
|
||
|
UnitedHealth Group
|
|
2.125% 3/15/21
|
|
600,000
|
|
|
587,448
|
|
||
|
UnitedHealth Group
|
|
4.7% 2/21
|
|
2,150,000
|
|
|
2,212,860
|
|
||
|
Unum Group
|
|
5.625% 9/15/20
|
|
623,000
|
|
|
644,503
|
|
||
|
US 10yr Note Future
|
|
(CBT) MAR19 TYH9
|
|
(609
|
)
|
|
(237,891
|
)
|
||
|
US 10yr Ultra Future
|
|
10YR ULTRA FUT MAR19 UXYH9
|
|
(26
|
)
|
|
(12,188
|
)
|
||
|
US 2yr Note Future
|
|
(CBT) MAR19 TUH9
|
|
196
|
|
|
27,563
|
|
||
|
US 5yr Note Future
|
|
(CBT) MAR19 FVH9
|
|
512
|
|
|
128,000
|
|
||
|
US Long Bond Future
|
|
(CBT) MAR19 USH9
|
|
(161
|
)
|
|
(75,469
|
)
|
||
|
US Treasury Bond
|
|
3% 08/15/48
|
|
1,965,000
|
|
|
1,959,093
|
|
||
|
US Treasury Bond
|
|
2% 11/30/20
|
|
26,905,000
|
|
|
26,650,892
|
|
||
|
US Treasury Bond
|
|
1.5% 12/31/18
|
|
—
|
|
|
—
|
|
||
|
US Treasury Bond
|
|
1.5% 1/31/19
|
|
33,505,000
|
|
|
33,482,737
|
|
||
|
US Treasury Bond
|
|
2.125% 9/30/21
|
|
63,655,000
|
|
|
63,044,641
|
|
||
|
US Treasury Bond
|
|
1.375% 08/31/20
|
|
5,300,000
|
|
|
5,199,378
|
|
||
|
US Treasury Bond
|
|
1.375% 4/30/21
|
|
16,285,000
|
|
|
15,880,180
|
|
||
|
US Treasury Bond
|
|
2.125% 8/15/21
|
|
21,980,000
|
|
|
21,777,250
|
|
||
|
US Treasury Bond
|
|
1.625% 04/30/23
|
|
35,025,000
|
|
|
33,773,574
|
|
||
|
US Treasury Bond
|
|
1.375% 5/31/21
|
|
23,850,000
|
|
|
23,233,212
|
|
||
|
US Treasury Bond
|
|
0.875% 06/15/19
|
|
3,160,000
|
|
|
3,136,917
|
|
||
|
US Treasury Bond
|
|
1.25% 12/31/18
|
|
—
|
|
|
—
|
|
||
|
US Treasury Bond
|
|
1.75% 05/15/23
|
|
520,000
|
|
|
503,876
|
|
||
|
US Treasury Bond
|
|
1.875% 1/31/22
|
|
21,810,000
|
|
|
21,420,821
|
|
||
|
US Treasury Bond
|
|
1.875% 03/31/22
|
|
35,085,000
|
|
|
34,426,441
|
|
||
|
US Treasury Bond
|
|
2.125% 6/30/22
|
|
7,090,000
|
|
|
7,005,801
|
|
||
|
US Treasury Bond
|
|
1.75% 05/31/22
|
|
5,680,000
|
|
|
5,545,057
|
|
||
|
US Treasury Bond
|
|
1.25% 06/30/19
|
|
16,985,000
|
|
|
16,878,844
|
|
||
|
US Treasury Bond
|
|
1.875% 04/30/22
|
|
13,441,000
|
|
|
13,183,540
|
|
||
|
US Treasury Bond
|
|
1.875% 09/30/2022
|
|
25,975,000
|
|
|
25,410,413
|
|
||
|
US Treasury Bond
|
|
1.375% 09/30/19
|
|
565,000
|
|
|
559,769
|
|
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
|
|
|||
|
US Treasury Bond
|
|
2.25% 11/15/27
|
|
4,000,000
|
|
|
3,866,864
|
|
||
|
US Treasury Bond
|
|
2.375% 01/31/23
|
|
1,720,100
|
|
|
1,712,237
|
|
||
|
US Treasury Bond
|
|
0.625% 04/15/23
|
|
14,980,000
|
|
|
15,003,475
|
|
||
|
US Treasury Bond
|
|
2.75% 11/30/20
|
|
—
|
|
|
—
|
|
||
|
US Treasury Bond
|
|
2.625% 12/15/21
|
|
15,925,000
|
|
|
15,995,785
|
|
||
|
US Treasury Bond
|
|
2.5% 12/31/20
|
|
5,295,000
|
|
|
5,293,677
|
|
||
|
US Treasury Bond
|
|
COUP 11/15/27
|
|
19,000,000
|
|
|
14,903,116
|
|
||
|
US Treasury Bond
|
|
COUP 2/15/38
|
|
6,300,000
|
|
|
3,586,586
|
|
||
|
US Treasury Bond
|
|
0% 05/09/19
|
|
300,000
|
|
|
297,362
|
|
||
|
US Treasury Bond
|
|
2% 02/28/21
|
|
270,000
|
|
|
267,142
|
|
||
|
US Treasury Bond
|
|
2.125% 12/31/22
|
|
7,196,000
|
|
|
7,094,824
|
|
||
|
US Treasury Bond
|
|
1.125% 7/31/21
|
|
934,200
|
|
|
902,514
|
|
||
|
US Treasury Bond
|
|
1.25% 10/31/21
|
|
670,000
|
|
|
647,598
|
|
||
|
US Treasury Bond
|
|
0.125 1/15/23
|
|
11,335,000
|
|
|
11,996,697
|
|
||
|
US Treasury Bond
|
|
2.625% 07/15/21
|
|
6,247,900
|
|
|
6,269,235
|
|
||
|
US Treasury Bond
|
|
1.625% 10/15/20
|
|
—
|
|
|
—
|
|
||
|
US Treasury Bond
|
|
2.25% 02/15/21
|
|
23,556,000
|
|
|
23,423,433
|
|
||
|
US Treasury Bond
|
|
2.375% 03/15/21
|
|
11,455,000
|
|
|
11,422,397
|
|
||
|
US Treasury Bond
|
|
2.375% 04/15/21
|
|
13,755,000
|
|
|
13,718,151
|
|
||
|
US Treasury Bond
|
|
2.625% 05/15/21
|
|
16,030,000
|
|
|
16,078,655
|
|
||
|
US Treasury Bond
|
|
2.625% 06/15/21
|
|
6,025,000
|
|
|
6,044,076
|
|
||
|
US Treasury Bond
|
|
2.75% 08/15/21
|
|
22,055,000
|
|
|
22,201,310
|
|
||
|
US Treasury Bond
|
|
2.75% 09/15/21
|
|
4,270,000
|
|
|
4,299,236
|
|
||
|
US Treasury Bond
|
|
2.875% 10/15/2021
|
|
5,460,000
|
|
|
5,517,104
|
|
||
|
US Treasury Bond
|
|
2.875% 11/15/21
|
|
11,571,300
|
|
|
11,699,332
|
|
||
|
US Treasury Bond
|
|
2.875% 11/30/23
|
|
12,650,000
|
|
|
12,869,613
|
|
||
|
US Treasury Bond
|
|
2.625% 12/31/23
|
|
9,160,000
|
|
|
9,207,302
|
|
||
|
US Treasury Bond
|
|
1.75% 12/31/20
|
|
24,000,000
|
|
|
23,652,798
|
|
||
|
US Treasury Bond
|
|
1.125% 02/28/21
|
|
16,893,000
|
|
|
16,402,112
|
|
||
|
US Treasury Bond
|
|
1.75% 11/30/21
|
|
30,000,000
|
|
|
29,393,606
|
|
||
|
US Treasury Bond
|
|
2% 12/31/21
|
|
5,000,000
|
|
|
4,931,455
|
|
||
|
US Treasury Bond
|
|
1.625% 7/31/20
|
|
6,000,000
|
|
|
5,914,329
|
|
||
|
US Treasury Bond
|
|
1.5% 05/15/20
|
|
8,868,000
|
|
|
8,741,419
|
|
||
|
US Treasury Bond
|
|
1.875% 07/31/22
|
|
7,662,000
|
|
|
7,503,124
|
|
||
|
US Treasury Bond
|
|
1.625% 08/31/22
|
|
3,411,000
|
|
|
3,308,718
|
|
||
|
US Ultra Bond Future
|
|
(CBT) MAR19 WNH9
|
|
(50
|
)
|
|
(29,688
|
)
|
||
|
USAA Auto Owner Trust 2017-1 A3
|
|
1.79% 05/21
|
|
727,000
|
|
|
721,622
|
|
||
|
USAA Capital
|
|
2% 6/01/21 144A
|
|
1,000,000
|
|
|
971,956
|
|
||
|
Vende
|
|
6.5% 2/24
|
|
128,867
|
|
|
136,356
|
|
||
|
Verizon
|
|
3.5% 11/01/21
|
|
1,592,000
|
|
|
1,608,982
|
|
||
|
Verizon
|
|
3.45% 3/15/21
|
|
325,000
|
|
|
327,131
|
|
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
|
|
|||
|
Verizon
|
|
3.376% 2/15/25
|
|
687,000
|
|
|
666,525
|
|
||
|
Verizon
|
|
1.75% 8/15/21
|
|
811,000
|
|
|
783,107
|
|
||
|
Verizon
|
|
2.946% 03/15/22
|
|
608,000
|
|
|
600,345
|
|
||
|
Verizon
|
|
3.125% 03/16/2022
|
|
440,000
|
|
|
437,047
|
|
||
|
Virginia Electric & Power Co.
|
|
2.95% 1/15/22
|
|
340,000
|
|
|
336,343
|
|
||
|
Volkswagen
|
|
3.875% 11/20 144A
|
|
710,000
|
|
|
713,325
|
|
||
|
Volkswagen
|
|
4% 11/21 144A
|
|
925,000
|
|
|
926,854
|
|
||
|
Volkswagen
|
|
4.25% 11/023 144A
|
|
2,535,000
|
|
|
2,514,063
|
|
||
|
Volkswagen
|
|
2.4% 5/20 144A
|
|
300,000
|
|
|
295,293
|
|
||
|
Volkswagen Auto Loan Enhanced Trust
|
|
3.32% 11/21/22
|
|
492,000
|
|
|
492,091
|
|
||
|
Walt Disney Company
|
|
2.35% 12/01/22
|
|
318,000
|
|
|
308,828
|
|
||
|
Watson Pharma Inc
|
|
3.25% 10/01/22
|
|
700,000
|
|
|
684,369
|
|
||
|
WEC Energy Group, Inc.
|
|
3.375% 06/15/21
|
|
945,000
|
|
|
944,370
|
|
||
|
Wells Fargo
|
|
3% 1/22/21
|
|
844,000
|
|
|
840,204
|
|
||
|
Wells Fargo
|
|
2.6% 7/20
|
|
500,000
|
|
|
495,072
|
|
||
|
Wells Fargo
|
|
2.918% 10/45
|
|
940,762
|
|
|
930,735
|
|
||
|
Wells Fargo
|
|
3.069% 1/24/23
|
|
600,000
|
|
|
584,371
|
|
||
|
Wells Fargo
|
|
3.325%/VAR 07/23/21
|
|
3,670,000
|
|
|
3,666,331
|
|
||
|
Wells Fargo
|
|
3.625% 10/22/21
|
|
1,995,000
|
|
|
2,006,717
|
|
||
|
Wells Fargo
|
|
3.55% 8/14/23
|
|
850,000
|
|
|
846,878
|
|
||
|
Welltower Inc.
|
|
3.95% 09/01/23
|
|
353,000
|
|
|
353,857
|
|
||
|
Western Gas Partners
|
|
4% 7/01/22
|
|
395,000
|
|
|
391,598
|
|
||
|
Westinghouse Air Brake Technologies
|
|
4.7% 09/15/28
|
|
680,000
|
|
|
638,124
|
|
||
|
Westpac Banking
|
|
2.6% 11/20
|
|
2,580,000
|
|
|
2,548,662
|
|
||
|
Westpac Banking
|
|
1.6% 8/19/19
|
|
1,000,000
|
|
|
991,118
|
|
||
|
Westpac Banking
|
|
2.8% 1/11/22
|
|
1,000,000
|
|
|
981,162
|
|
||
|
WestRock Company
|
|
3.75% 3/15/25 144A
|
|
1,970,000
|
|
|
1,933,881
|
|
||
|
WFCM 15-LC20 A3
|
|
3.086% 4/50
|
|
4,800,000
|
|
|
4,787,474
|
|
||
|
WFCM 2013-LC12 A1
|
|
1.676% 7/46
|
|
48,205
|
|
|
48,143
|
|
||
|
WFCM 2015-C27 ASB
|
|
3.278% 2/48
|
|
486,000
|
|
|
488,489
|
|
||
|
WFCM 2016-C34 A2
|
|
2.741% 5/49
|
|
474,000
|
|
|
466,093
|
|
||
|
WFCM 2016-C37 A2
|
|
3.03% 12/49
|
|
357,000
|
|
|
356,284
|
|
||
|
WFCM 2016-LC25
|
|
1.795% 12/15/59
|
|
110,729
|
|
|
109,558
|
|
||
|
WFRBS 13-C12 ASB
|
|
2.838% 3/48
|
|
78,258
|
|
|
77,706
|
|
||
|
WFRBS 13-C16 ASB
|
|
3.963% 9/46
|
|
182,238
|
|
|
185,307
|
|
||
|
WFRBS 14-C20 ASB
|
|
3.638% 05/47
|
|
230,000
|
|
|
233,243
|
|
||
|
WFRBS 14-C23 ASB
|
|
3.636% 10/57
|
|
272,000
|
|
|
276,812
|
|
||
|
WFRBS 2011-C3 A4
|
|
4.375% 3/44
|
|
569,000
|
|
|
580,093
|
|
||
|
WFRBS 2012-C7 A2
|
|
3.431% 6/45
|
|
363,000
|
|
|
364,872
|
|
||
|
WFRBS 2012-C9 A3
|
|
2.87% 11/45
|
|
579,719
|
|
|
575,083
|
|
||
|
WFRBS 2012-C9 ASB
|
|
2.445% 11/45
|
|
2,139,852
|
|
|
2,119,583
|
|
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
|
|
|||
|
WFRBS 2013-C11 A5
|
|
3.071% 03/45
|
|
918,000
|
|
|
911,142
|
|
||
|
WFRBS 2013-C12 A4
|
|
3.198% 3/48
|
|
219,000
|
|
|
218,125
|
|
||
|
WFRBS 2013-C14 A5
|
|
3.337% 6/46
|
|
855,000
|
|
|
856,503
|
|
||
|
WFRBS 2013-C16 A5
|
|
4.415% 09/46
|
|
470,000
|
|
|
492,221
|
|
||
|
WFRBS 2014-C22 ASB
|
|
3.464% 9/57
|
|
870,000
|
|
|
879,849
|
|
||
|
Williams Partners
|
|
3.6% 3/15/22
|
|
1,655,000
|
|
|
1,624,850
|
|
||
|
Wisconsin Energy
|
|
2.45% 6/15/20
|
|
218,000
|
|
|
215,396
|
|
||
|
Woolworths Limited
|
|
4% 9/22/20 144A
|
|
1,400,000
|
|
|
1,409,872
|
|
||
|
Xerox Corp
|
|
2.75% 3/15/19
|
|
554,000
|
|
|
551,230
|
|
||
|
Xylem Inc
|
|
4.875% 10/01/21
|
|
400,000
|
|
|
413,007
|
|
||
|
Zimmer Biomet Holdings, Inc.
|
|
3.7% 03/19/23
|
|
985,000
|
|
|
974,430
|
|
||
|
Zoetis Inc
|
|
3.45% 11/13/20
|
|
106,000
|
|
|
106,273
|
|
||
|
|
|
|
|
|
|
|||||
|
Adjustment to Contract Value
|
|
|
|
|
|
19,978,287
|
|
|||
|
|
|
|
|
|
|
|
||||
Total Investment Contracts
|
|
|
|
|
|
$
|
1,856,576,488
|
|
|||
|
|
|
|
|
|
|
|
||||
Registered Investment Companies
|
|
|
|
|
|
|
|||||
|
* Fidelity Investments Money Market Government Portfolio - Institutional Class Fund
|
|
Money Market Fund
|
|
52,005,263
|
|
|
$
|
52,005,263
|
|
|
|
BlackRock Government Short-Term Investment Fund
|
|
Money Market Fund
|
|
725,722,846
|
|
|
725,722,846
|
|
||
|
Janus Balanced N Fund
|
|
Blended Based Fund
|
|
56,016,934
|
|
|
1,733,724,098
|
|
||
|
Oppenheimer Developing Markets Fund
|
|
Equity Based Fund
|
|
4,728,215
|
|
|
177,686,337
|
|
||
|
Pimco Total Return Institutional Fund
|
|
Fixed Income Based Fund
|
|
46,504,009
|
|
|
461,784,805
|
|
||
|
T. Rowe Price Institutional Small-Cap Stock Fund
|
|
Equity Based Fund
|
|
31,535,850
|
|
|
640,177,751
|
|
||
|
Vanguard Institutional Total Stock Market Index Fund Institutional Plus Shares
|
|
Equity Based Fund
|
|
45,518,090
|
|
|
2,462,073,504
|
|
||
|
Vanguard Real Estate Index Institutional Shares
|
|
Equity Based Fund
|
|
8,427,081
|
|
|
137,867,042
|
|
||
|
|
|
|
|
|
|
|||||
Total Registered Investment Companies
|
|
|
|
|
|
$
|
6,391,041,646
|
|
|||
|
|
|
|
|
|
|
|
||||
Self-Directed Brokerage Account
|
|
Various
|
|
|
|
$
|
592,321,056
|
|
|||
|
|
|
|
|
|
|
|
||||
Common Collective Trust
|
|
|
|
|
|
|
|||||
|
Harris Associates Oakmark Global Collective Fund
|
|
Equity Based Fund
|
|
15,295,267
|
|
|
$
|
236,923,693
|
|
|
|
Northern Trust Collective Aggregate Bond Index Fund - DC – Non-Lending
|
|
Fixed Income Based Fund
|
|
11,140,843
|
|
|
1,203,990,874
|
|
||
|
Northern Trust ACWI ex-US Fund - DC NonLending(a)
|
|
Equity Based Fund
|
|
13,244,051
|
|
|
1,393,141,771
|
|
||
|
Northern Trust Collective Russell 2000 Index Fund - DC - Non-Lending
|
|
Equity Based Fund
|
|
6,440,764
|
|
|
848,506,223
|
|
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
|
|
|||
|
Northern Trust Collective S&P 500 Index Fund - DC - Non-Lending
|
|
Equity Based Fund
|
|
20,488,112
|
|
|
2,878,989,446
|
|
||
|
|
|
|
|
|
|
|||||
Total Common Collective Trust
|
|
|
|
|
|
$
|
6,561,552,007
|
|
|||
|
|
|
|
|
|
|
|||||
Raytheon Company Common Stock
|
|
|
|
|
|
|
|||||
|
Raytheon Company*
|
|
Raytheon Common Stock
|
|
10,408,032
|
|
|
$
|
1,596,071,707
|
|
|
|
|
|
|
|
|
|
|
||||
Total Raytheon Company Common Stock
|
|
|
|
$
|
1,596,071,707
|
|
|||||
|
|
|
|
|
|
|
|
||||
Total Investments
|
|
|
|
|
|
$
|
16,997,562,904
|
|
|||
|
|
|
|
|
|
|
|
||||
Participant Loans*
|
|
Approximately 3.25%-9.50%
|
|
|
|
$
|
212,750,362
|
|
|||
|
|
|
|
|
|
|
|
||||
Total Investments At Contract Value Including Participant Loans
|
|
|
|
$
|
17,210,313,266
|
|
|||||
|
|
|
|
|
|
|
|
||||
*Party in interest
|
|
|
|
|
|
|
23.1
|
|
|
Consent of PricewaterhouseCoopers LLP, Independent Registered Public Accounting Firm.
|
|
|
|
RAYTHEON SAVINGS AND INVESTMENT PLAN
|
||
|
|
|
By:
|
/s/ Michael J. Wood
|
|
|
Michael J. Wood
|
|
|
Vice President, Controller and Chief Accounting Officer
|
|
|
Principal Accounting Officer
|
1 Year Raytheon Chart |
1 Month Raytheon Chart |
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