Fund Facts  

Inception Date: Jul 1, 1992
Ticker Symbol: VPTSX
Registration Date: Mar 1, 1999
Morningstar Category:Inflation-Protected Bond
As of Jun 30, 2016
Fund Net Assets ($millions) $526

Documents for Fund or Underlying Fund(s)  

Description

Objective  

To offer inflation protection and income.

Principal Investment Strategies  

The Fund invests, under normal conditions, in a combination of: (1) inflation-indexed fixed income securities or instruments, (2) other fixed income securities or instruments, and (3) inflation-linked derivatives. To the extent a Fund subadviser invests in fixed income securities that are not inflation-indexed, it may use inflation-linked derivatives in connection with such investments to seek to achieve the Fund’s investment objective. Inflation-indexed fixed income securities or instruments are designed to protect the future purchasing power of the money invested in them; either their principal values or coupon rates are indexed to changes in inflation. These adjustments result in changes to the interest payments. The Fund’s investments in these securities or instruments may include:

• fixed income securities issued or guaranteed by the U.S. Government, foreign governments (national, regional or local), their agencies or instrumentalities, political subdivisions of governments (such as provinces and municipalities), or supra-national organizations (such as the World Bank);
• fixed income securities issued by U.S. and foreign companies; and
• U.S. and foreign mortgage-backed and asset-backed securities.

The Fund generally invests in securities denominated in U.S. dollars, but may also invest its assets in securities denominated in foreign currencies.

The Fund’s subadvisers may use futures, options, swap agreements, and swaptions to provide inflation protection to the Fund, to manage risk, or to obtain or adjust investment exposure. The Fund’s subadvisers also may use forward currency contracts to obtain or adjust investment exposure or to manage foreign currency risks. The Fund's investments in credit default swaps, if any, will be less than 5% of the Fund's net assets.

The Fund generally invests in investment grade fixed income securities (i.e., securities rated within the four highest grades by Standard & Poor’s, Moody’s Investors Service, Inc., or Fitch Ratings or unrated securities that the Fund’s subadvisers determine are of comparable quality).

The Fund’s fixed income investments may be of any maturity.

Principal Investment Risks  

There is no guarantee that the Fund will achieve its investment objective. You may lose money by investing in the Fund. The Fund’s principal investment risks include Inflation-Adjusted Securities Risk, Interest Rate Risk, Credit Risk, Foreign Securities Risk, Foreign Currency Risk, U.S. Government Agency Securities Risk, Derivative Instruments Risk, Call Risk, Mortgage-Backed Securities Risk, Asset-Backed Securities Risk, Municipal Securities Risk, Multi-Manager Risk.
Please see the Fund’s prospectus or other disclosure documents for information about the Fund’s risks.

 

Performance & Expenses

Standard Performance As of Jun 30, 2016
Fund/Benchmark Name QtrYTD1-Yr3-Yr5-Yr10-YrSince Inception
Vantagepoint Inflation Focused   1.67%5.92%3.72%1.58%1.96%4.27%N/A
Barclays U.S. Treasury Inflation-Linked Bond Index (Series-L)a,b1.71%6.24%4.35%2.31%2.63%4.75%N/A
Morningstar Inflation-Protected Bonda,c1.56%5.17%2.63%1.20%1.54%3.71%N/A

Fund past performance, as shown, is no guarantee of how the fund will perform in the future. The performance shown has been annualized for periods greater than one year. Investment returns and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. For current performance, visit www.icmarc.org.

Fund performance is shown comparing it to a "benchmark" which may be a (i) broad-based securities market index (ii) a group of mutual funds with similar investment objectives, or (iii) a short term government backed debt obligation such as a U.S. Treasury Bill. An index is not available for direct investment, is unmanaged, and does not reflect the costs of portfolio management or trading. A fund's portfolio may differ from the securities held in an index.

Annual Fund Operating Expenses
Total Expenses   0.65%

 

a. Certain information including, but not limited to, benchmark performance or other performance and/or fee information, is provided by Morningstar, Inc., © 2016 All rights reserved. This information: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar and/or its content providers are responsible for any damages or losses arising from any use of information. Morningstar is a registered trademark of Morningstar, Inc.

b. The Barclays U.S. Treasury Inflation-Linked Bond Index (Series-L), consists of all U.S. Treasury inflation protected securities rated investment grade or better, having at least one year to final maturity and at least $250 million par amount outstanding. The Series-L reference identifies this index as the former Lehman Brothers U.S. TIPS Index.

c. The Fund’s Morningstar Category Average is a group of funds with similar investment objectives and strategies and is the equal-weighted return of all funds per category. Morningstar places funds in certain categories based on a fund’s historical portfolio holdings.

Distributions

Dividends and Capital Gains  
Record Date Ex/Payable Date Income/Capital Gains Paid Per Share
Jun 30, 2016Jun 30, 2016$0.039779000
May 31, 2016May 31, 2016$0.008362000
Dec 31, 2015Dec 31, 2015$0.067140000
Sep 30, 2015Sep 30, 2015$0.001943000
Aug 31, 2015Aug 31, 2015$0.030332000
Jul 31, 2015Jul 31, 2015$0.000598000
Dec 31, 2014Dec 31, 2014$0.022580000
Sep 30, 2014Sep 30, 2014$0.005330000
Aug 29, 2014Aug 29, 2014$0.013844000
Jul 31, 2014Jul 31, 2014$0.027811000
Jun 30, 2014Jun 30, 2014$0.028296000
May 30, 2014May 30, 2014$0.055411000
Apr 30, 2014Apr 30, 2014$0.031010000
Mar 31, 2014Mar 31, 2014$0.002729000
Dec 31, 2013Dec 31, 2013$0.211440000
Nov 29, 2013Nov 29, 2013$0.007105000
Oct 31, 2013Oct 31, 2013$0.007495000
Sep 30, 2013Sep 30, 2013$0.022242000
 

Morningstar Information

Morningstar Rating   As of Jun 30, 2016
Period Stars Category Size
Overall 3 Stars207
3-Year 3 Stars207
5-Year 3 Stars182
10-Year N/A N/A

For each fund with at least a three-year history, Morningstar calculates a Morningstar Rating™ based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund's monthly performance (including the effects of sales charges, loads, fee waivers, and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. The top 10% of funds in each category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The Overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten-year (if applicable) Morningstar Rating metrics. For funds with loads, the Morningstar rating on a load-waived basis is provided, when available. Load-waived ratings do not include any front- or back-end sales loads and are intended for investors that have access to such purchase terms. Funds with loads are waived for plans administered by ICMA-RC. Past performance is no guarantee of future results.

Morningstar Stylebox As of Jun 30, 2016
Fixed Income Stylebox
High Moderate
Allocation of Assets As of May 31, 2016
Type of Asset Percent
Equity0%
Fixed Income95%
Cash/Other5%

Due to rounding, percentages shown may not add up to 100%.

 
 

Characteristics

Allocation of Assets As of May 31, 2016
Asset ClassPercent
Domestic Stock0.0%
Foreign Stock0.0%
Domestic Bond92.7%
Foreign Bond2.4%
Preferred0.0%
Convertible0.0%
Cash4.9%
Other0.0%

Due to rounding, percentages shown may not add up to 100%.

 
Fixed Income Sector As of May 31, 2016
SectorPercent
Government83.6%
Corporate6.2%
Securitized5.3%
Cash & Equivalents4.9%

Exposure reflects fixed income securities only and will sum to the fixed income exposure of the fund.

 
Credit Quality As of May 31, 2016
Quality LevelPercent
AAA90.3%
AA0.2%
A1.7%
BBB6.2%
BB0.3%
B0.6%
Below B0.0%
Not Rated0.7%

Due to rounding, percentages shown may not add up to 100%. Exposure reflects fixed income securities only.

 
Top Ten Holdings As of May 31, 2016
Holding NamePercent
IRS NOK FLOAT .95 5/12/2018 MSCME11.7%
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/20196.8%
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 07/15/20216.4%
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/20275.3%
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/20295.0%
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/20234.7%
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/20244.4%
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/20444.1%
IRS NOK FLOAT 1.01 5/19/2018 MSCME3.9%
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/20223.9%
All Holdings As of May 31, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2019$35,106,975
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 07/15/2021$33,435,974
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$27,578,099
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$25,748,571
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2023$24,609,405
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2024$22,781,393
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$21,196,399
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2022$20,206,387
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2025$16,868,469
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$15,981,314
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$15,905,628
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2024$15,208,564
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2042$14,696,033
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$11,834,668
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2018$11,704,901
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2023$11,571,946
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$11,358,912
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,157,797
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2022$9,614,360
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2020$9,032,000
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$8,461,946
UNITED STATES TREASURY INFLATION INDEXED BONDS .25% 01/15/2025$7,588,034
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,263,130
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$6,973,832
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125 04/15/2021$6,249,736
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,595,961
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$5,233,573
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$5,042,217
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2026$4,283,882
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,281,808
AT&T INC .702% 03/30/2017$3,001,812
GOLDMAN SACHS GROUP INC/THE 3.85% 07/08/2024$2,718,248
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 02/15/2043$2,662,105
UNITED STATES TREASURY NOTE/BOND 1.625 05/15/2026$2,452,638
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2045$2,028,553
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,905,586
KINDER MORGAN INC/DE 2% 12/01/2017$1,879,032
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,822,601
UNITED STATES TREASURY NOTE/BOND 1.625% 02/15/2026$1,470,351
UBS AG 5.125% 05/15/2024$1,326,000
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIE .639% 05/25/2036$1,241,919
BANK OF AMERICA CORP 5.75% 12/01/2017$1,164,297
UNITED STATES TREASURY NOTE/BOND 2% 02/15/2025$1,118,412
CREDIT AGRICOLE SA 8.125% 09/19/2033$1,100,714
VOLT XLII LLC 4.25 03/26/2046$968,774
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$948,208
UBS AG 4.75% 05/22/2023$927,338
BG ENERGY CAPITAL PLC 6.5% 11/30/2072$843,426
UNITED STATES TREASURY NOTE/BOND 2.5 02/15/2046$806,916
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$740,993
INTESA SANPAOLO SPA 2.375% 01/13/2017$703,305
INTESA SANPAOLO SPA 6.5% 02/24/2021$571,750
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015 3.137% 02/10/2048$535,789
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.31% 08/15/2019$529,315
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$528,743
HARLEY-DAVIDSON MOTORCYCLE TRUST 1.3% 03/16/2020$527,909
PORSCHE INNOVATIVE LEASE OWNER TRUST 201 1.43% 05/21/2021$527,329
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$525,988
WORLD FINANCIAL NETWORK CREDIT CARD MAST 1.76% 05/17/2021$522,768
ACTAVIS FUNDING SCS 3.45% 03/15/2022$508,598
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$501,665
FORD CREDIT FLOORPLAN MASTER OWNER TRUST 1.98% 01/15/2022$500,642
GM FINANCIAL AUTOMOBILE LEASING TRUST 20 1.68% 12/20/2018$482,416
HSBC HOME EQUITY LOAN TRUST USA 2007-1 0.9055% 03/20/2036$476,872
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 2.799% 12/25/2027$440,061
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 0.6008% 03/25/2036$426,474
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$407,200
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$405,503
COMM 2014-KYO MORTGAGE TRUST 1.091% 06/11/2027$398,311
NEW VALLEY GENERATION I 7.299% 03/15/2019$378,109
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 3.789% 12/15/2047$377,700
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$377,430
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.31% 05/15/2019$369,760
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.82% 09/15/2020$369,604
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN0 3.369% 03/13/2035$366,352
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$360,660
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.439% 01/15/2049$353,348
EXELON CORP 2.85% 06/15/2020$353,134
GE DEALER FLOORPLAN MASTER NOTE TRUST .583% 07/20/2019$349,506
UBS AG/STAMFORD CT 7.625% 08/17/2022$345,326
ML-CFC COMMERCIAL MORTGAGE TRUST 2006-4 5.166% 12/12/2049$333,707
BMW FLOORPLAN MASTER OWNER TRUST .698% 07/15/2020$318,700
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.844% 03/25/2028$318,501
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$317,063
PNC BANK NA 3.25% 06/01/2025$311,360
FFMLT TRUST 2005-FF11 .879% 11/25/2035$307,273
FORD CREDIT AUTO LEASE TRUST 2014-B .89% 09/15/2017$306,728
CITIZENS BANK NA/PROVIDENCE RI 2.3% 12/03/2018$301,730
ACTAVIS FUNDING SCS 1.158% 09/01/2016$300,384
SPRINT CAPITAL CORP 6.9% 05/01/2019$281,250
RELIANCE HOLDING USA INC 5.4% 02/14/2022$277,274
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$277,146
KLA-TENCOR CORP 4.65% 11/01/2024$276,020
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$273,412
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.129% 04/25/2035$273,307
CITIGROUP INC 3.3% 04/27/2025$272,598
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$272,288
JPMORGAN CHASE & CO 3.2% 01/25/2023$272,283
TIME WARNER INC 3.55% 06/01/2024$271,972
AMERICAN TOWER CORP 4.7% 03/15/2022$271,676
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$271,262
BECTON DICKINSON AND CO 3.734% 12/15/2024$270,854
BANK OF AMERICA CORP 4% 04/01/2024$268,994
MORGAN STANLEY 3.875% 04/29/2024$268,606
METLIFE INC 4.368% 09/15/2023$268,534
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$268,304
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$267,477
CHEVRON CORP 2.411% 03/03/2022$266,903
JPMORGAN CHASE & CO 3.875% 02/01/2024$266,824
SANTANDER HOLDINGS USA INC/PA 2.65% 04/17/2020$266,768
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$266,758
AT&T INC 3% 02/15/2022$266,686
ALTRIA GROUP INC 2.625% 01/14/2020$266,678
TYSON FOODS INC 2.65% 08/15/2019$266,481
SOCIETE GENERALE SA 5.2% 04/15/2021$265,700
MITSUBISHI UFJ FINANCIAL GROUP INC 2.5151 03/01/2021$265,630
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 4.42 06/15/2021$265,485
HARTFORD FINANCIAL SERVICES GROUP INC/TH 5.125% 04/15/2022$264,706
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$264,629
MORGAN STANLEY 2.65% 01/27/2020$264,233
ACTAVIS FUNDING SCS 3.8% 03/15/2025$264,164
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$264,093
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$263,911
NEWELL RUBBERMAID INC 3.15 04/01/2021$263,878
LINCOLN NATIONAL CORP 4% 09/01/2023$263,831
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENL 4.375% 08/04/2025$260,844
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.9745% 07/25/2028$260,671
PERRIGO FINANCE PLC 3.5% 12/15/2021$260,392
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$260,145
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$260,113
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-SGP 1.894% 07/15/2036$259,633
AT&T INC 5.875 10/01/2019$259,129
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.749% 10/25/2024$258,466
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 1.118% 06/15/2029$258,342
BANK OF AMERICA CORP 5.625% 07/01/2020$257,269
BNP PARIBAS SA 5% 01/15/2021$256,553
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$256,275
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$256,008
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2015-B 1.91% 03/16/2020$255,796
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$255,334
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.949% 10/25/2024$253,903
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.199% 08/25/2024$250,029
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.921% 04/25/2028$249,488
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$249,164
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.2216% 05/25/2028$248,565
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.989% 08/10/2045$247,351
CONOCOPHILLIPS 6% 01/15/2020$247,232
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.096 10/25/2028$247,105
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.949% 09/25/2024$242,753
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$238,775
GLENCORE FUNDING LLC 4% 04/16/2025$228,659
CVS HEALTH CORP 3.875% 07/20/2025$226,286
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$223,157
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$218,755
NEWMONT MINING CORP 4.875% 03/15/2042$216,707
KBC BANK NV 8% 01/25/2023$216,485
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$216,047
CAPITAL ONE MULTI-ASSET EXECUTION TRUST 1.6% 05/17/2021$214,658
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$214,312
MCGRAW HILL FINANCIAL INC 4.4% 02/15/2026$209,328
SANTANDER UK PLC 5% 11/07/2023$209,119
GOLDMAN SACHS GROUP INC/THE 1.925% 11/29/2023$205,783
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$202,336
UBS GROUP FUNDING JERSEY LTD 2.4091 04/14/2021$201,660
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557 04/10/2031$201,405
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.749% 02/25/2025$201,163
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 3.801% 08/15/2048$199,584
REYNOLDS AMERICAN INC 4% 06/12/2022$198,015
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$197,558
H/2 ASSET FUNDING LTD SERIES 2015-1 1.861% 06/24/2049$194,337
STANDARD CHARTERED PLC 6.409% 01/30/2017$182,500
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$181,376
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$181,140
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.43885 05/25/2025$180,209
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$179,605
ABBVIE INC 3.6% 05/14/2025$177,435
HYUNDAI AUTO LEASE SECURITIZATION TRUST 1.4% 11/15/2018$175,351
WORLD FINANCIAL NETWORK CREDIT CARD MAST 2.55% 06/17/2024$171,331
FREEPORT-MCMORAN INC 4.55% 11/14/2024$171,175
PLAINS ALL AMERICAN PIPELINE LP / PAA FI 3.6% 11/01/2024$169,104
AT&T INC 5.15 03/15/2042$167,317
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$166,688
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.199% 05/25/2025$162,951
SPECTRUM BRANDS INC 5.75% 07/15/2025$162,750
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 4.62% 12/15/2047$162,306
HCA INC 6.5% 02/15/2020$159,863
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.3765% 08/25/2028$158,697
BARCLAYS DRYROCK ISSUANCE TRUST 1.56% 03/15/2021$158,663
BANK OF AMERICA CORP 6.5% 10/23/2024$158,438
GENERAL MOTORS CO 3.5% 10/02/2018$158,046
SONIC AUTOMOTIVE INC 5% 05/15/2023$158,000
FANNIE MAE REMICS 5 06/25/2045$156,772
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 4.819238% 11/15/2048$156,495
METLIFE INC 5.25% 06/15/2020$156,390
BELLEMEADE RE II LTD 6.933 04/25/2026$156,375
COMM 2014-KYO MORTGAGE TRUST 3.93865 06/11/2027$156,234
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$155,879
KLX INC 5.875% 12/01/2022$154,440
FANNIE MAE REMICS 5.804 09/25/2045$153,850
TACO BELL FUNDING LLC 3.832 05/25/2046$153,704
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$153,597
HERTZ VEHICLE FINANCING LLC 2.02% 09/25/2019$153,562
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908 07/23/2025$150,018
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.1765% 08/25/2028$147,020
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$143,081
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8 5.039275 09/10/2045$142,962
BIOGEN INC 3.625% 09/15/2022$138,868
ENTERGY CORP 4% 07/15/2022$138,853
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.3385 10/25/2028$138,013
GS MORTGAGE SECURITIES TRUST 2014-GC18 5.112489 01/10/2047$134,181
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-1 8.2% 02/15/2023$131,066
VALEANT PHARMACEUTICALS INTERNATIONAL IN 6.125% 04/15/2025$125,813
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP8 5.48 05/15/2045$123,127
FANNIE MAE REMICS 5.66115 04/25/2046$122,500
FREDDIE MAC REMICS 5.97725 05/15/2037$118,768
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 4.456949% 04/10/2046$115,167
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.372% 05/15/2047$112,867
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65 04/15/2025$111,194
CELGENE CORP 3.875% 08/15/2025$110,073
GILEAD SCIENCES INC 3.65% 03/01/2026$108,119
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$107,857
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.7435% 04/25/2028$107,458
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.435 09/25/2028$107,393
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$105,921
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.802 08/12/2043$105,109
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$104,767
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.699% 07/25/2025$103,760
REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU 5.75% 10/15/2020$103,375
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2015-3 1.74% 09/15/2021$103,244
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.802481% 11/15/2045$98,929
VOLKSWAGEN CREDIT AUTO MASTER TRUST 0.54425% 07/22/2019$98,778
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,196
NAVIENT CORP 7.25% 01/25/2022$91,794
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$86,946
BELLEMEADE RE LTD 2.689% 07/25/2025$82,644
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$82,025
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.066% 11/25/2025$80,314
NEWELL RUBBERMAID INC 3.85 04/01/2023$78,209
ADVANCED MICRO DEVICES INC 6.75% 03/01/2019$77,830
KOHL'S CORP 5.55 07/17/2045$76,432
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$76,405
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 5.88783% 01/10/2045$75,559
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2015-3 1.42% 05/17/2021$71,247
EBAY INC 3.8 03/09/2022$70,726
MICRON TECHNOLOGY INC 7.5 09/15/2023$70,518
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.8935% 04/25/2028$68,164
HANESBRANDS INC 4.625 05/15/2024$64,320
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 2.966% 11/25/2025$63,246
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2 1.2% 12/17/2018$62,567
DRIVE AUTO RECEIVABLES TRUST 2015-D 1.23% 06/15/2018$54,838
CENOVUS ENERGY INC 5.7% 10/15/2019$54,267
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.7385 10/25/2028$45,166
LAM RESEARCH CORP 2.8 06/15/2021$40,400
HUSKY ENERGY INC 7.25 12/15/2019$37,947
FIDELITY NATIONAL INFORMATION SERVICES INC 3.5 04/15/2023$37,501
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.739% 08/12/2043$33,953
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-SD1 0.971% 11/25/2050$33,450
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$24,041
CENOVUS ENERGY INC 3 08/15/2022$12,480
FIDELITY NATIONAL INFORMATION SERVICES INC 5% 10/15/2025$3,346
DRIVE AUTO RECEIVABLES TRUST 2015-C 1.03% 02/15/2018$1,882
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$16,930,136
 
Other
Holding NameMarket Value
IRS NOK FLOAT .95 5/12/2018 MSCME$7,284,761
USD CCP COLL VM CREDIT SU$1,383,565
IRS NOK FIXED 1.56 5/12/2026 MSCME$898,437
IRS AUD FIXED 2.21 4/27/2018 MSCME$779,264
SWAP CASH COLLATERAL USD$640,000
IRS USD FIXED 1.81 6/9/2020 MSCME$398,811
USD FOR CDX$241,459
USD CCP COLL IM MS$198,556
USD$127,061
IRS GBP FLOAT 1.65 6/5/2020 MSCME$125,575
IRS NZD FIXED 2.25 4/28/2018 MSCME$102,643
IRS NZD FIXED 4.07 6/9/2025 MSCME$53,545
IRS NOK FIXED 1.01 5/19/2018 MSCME$50,008
IRS AUD FLOAT 3.08 05/25 MSCME$43,414
CANADIAN DOLLAR$37,941
IRO USD P 2.25 10/17/2018 MS$32,732
PUT ON 10 YEAR US TREASURY NOTES PUT USD 130.5 24/JUN/2016$32,375
IRO USD P 2.3 3/29/2019 MS$31,930
IRS NZD FLOAT 4.07 6/9/2025 MSCME$25,433
IRS USD FLOAT 1.81 6/9/2020 MSCME$20,450
IRS USD FIXED 1.81 6/9/2020 MSCME$19,767
US 10YR NOTE (CBT) BOND SEP16 (TYU6) COMDTY$16,267
CURRENCY CONTRACT$15,101
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$14,447
IRO USD P 2.25 12/10/2018 MS$14,257
IRO USD P 2.25 11/15/2018 MS$13,106
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$12,641
AUD CCP COLL VM MS$10,233
IRO USD P 2.5 7/25/2016 MS$10,155
IRS GBP FIXED 2.49 6/9/2025 MSCME$9,920
CALL ON 10 YEAR US TREASURY NOTES CALL USD 130.5 24/JUN/2016$9,625
US 5YR NOTE (CBT) BOND SEP16 (FVU6) COMDTY$9,449
EURO-BOBL FUTURE BOND JUN16 (OEM6) COMDTY$4,573
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$4,446
BRITISH POUND$1,290
IRS USD FIXED 2.5 MS 6/15/2046 CME$1,072
CURRENCY CONTRACT$1,002
CANADIAN DOLLAR$729
CURRENCY CONTRACT$722
AUSTRALIAN DOLLAR$404
IRS AUD FIXED 3.08 05/25 MSCME$156
NORWEGIAN KRONE$46
EURO$7
JAPANESE YEN$1
INF USD FLOAT 1.71 4/15/2019 CITI$0
INF USD FLOAT 1.75 4/15/2020 CITI$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
NA.BBB USD 5/11/2063 CT FLOAT CDS$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.95 7/15/2020 CITI$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
INF USD FLOAT 1.9 1/15/2020 CITI$0
INF USD FLOAT 1.9 7/15/2022 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
IRO USD P .9 6/20/16 RBS$-64
IRS USD FIXED 2.72 11/10/2045 MSCME$-682
IRO USD P 1 6/27/2017 MS$-691
IRS USD FIXED 2 MS 12/16/2020 CME$-704
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-862
IRO USD C 2 7/25/2016 MS$-876
IRS USD FIXED 2.69 8/6/2045 MSCME$-1,289
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-1,419
CURRENCY CONTRACT$-1,557
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-1,622
CURRENCY CONTRACT$-1,706
CURRENCY CONTRACT$-1,743
IRO USD P 1.0 6/24/2016 MS$-1,988
CURRENCY CONTRACT$-3,098
US 2YR NOTE (CBT) BOND SEP16 (TUU6) COMDTY$-3,133
INF SWAP US 1.725 03/04/15-4Y DUB$-5,263
INF USD FIXED 1.39 7/15/2018 BARC$-7,198
IRO USD P 1.15 7/5/2016 GS$-7,222
US LONG BOND(CBT) BOND SEP16 (USU6) COMDTY$-8,146
IRO USD P 1.5 7/5/16 CB$-8,182
US 10YR ULTRA FUT BOND SEP16 (UXYU6) COMDTY$-10,716
IRO USD P 2.6075 11/15/2018 MS$-12,180
IRO USD P 2.59 12/10/2018 MS$-12,978
US ULTRA BOND CBT BOND SEP16 (WNU6) COMDTY$-17,699
IRS USD FLOAT 2.69 8/6/2045 MSCME$-17,959
IRS USD FLOAT 1.81 6/9/2020 MSCME$-19,024
IRO USD P 1.25 7/5/2016 DB$-20,694
NA.BBB USD 5/11/2063 CT FIXED CDS$-22,713
INF USD 1.825 11/16 BPS$-27,426
INF USD 1.935 10/23/2016 RBS$-27,772
IRO USD P 2.605 10/17/2018 MS$-28,662
INF USD FIXED 1.71 4/15/2019 CITI$-28,737
IRO USD P 2.6 3/29/2019 MS$-30,616
CURRENCY CONTRACT$-31,861
INF USD FIXED 1.9 1/15/2020 CITI$-37,600
USD$-42,723
INF USD FIXED 1.95 7/15/2020 CITI$-46,415
IRS USD FIXED 2.75 CS 06/17/2025 CME$-47,666
INF USD FIXED 1.96 1/15/2023 CITI$-48,594
IRS NOK FLOAT 1.01 5/19/2018 MSCME$-49,829
IRS GBP FLOAT 2.49 6/9/2025 MSCME$-50,251
IRS GBP FIXED 1.65 6/5/2020 MSCME$-52,457
IRS USD FLOAT 2.72 11/10/2045 MSCME$-54,744
INF SWP:USD 2.5 7/15/22 DUB$-64,459
INF USD 2.1725 11/01/2018 DUB$-65,589
INF USD FIXED 1.96 7/15/2021 CITI$-69,073
INF USD 1.93 02/10/2017 DB$-75,709
INF USD FIXED 1.89 1/15/2022 CITI$-78,287
IRS USD FIXED 3.75 CS 6/18/2044 CME$-85,332
EURO$-86,294
INF USD FIXED 1.9 7/15/2022 CITI$-91,138
INF USD FIXED 1.75 4/15/2020 CITI$-94,249
IRS NZD FLOAT 2.25 4/28/2018 MSCME$-96,052
IRS USD FIXED 3.25 CS 06/17/2045 CME$-102,619
INF USD FIXED 1.95 7/15/2021 CITI$-103,568
INF USD FIXED 1.92 7/15/2022 CITI$-126,410
INF USD 1.55 11/05/16 RBS$-131,773
INF USD 1.93 10/31/2016 RBS$-149,406
IRS USD FIXED 3.5 12/18/43 GS CME$-238,382
INF SWP:USD 2.25 7/15/17 RBS$-242,628
IRS USD 2.75 FIXED 6/19/43 MS CME$-258,805
INF USD 2.205 10//11/2018 GS$-270,635
INF SWP:USD 2.25 7/15/17 BPS$-297,832
USD CCP COLL VM MS$-299,076
INF USD P 2.5 07-15-2022 BPS$-394,909
IRS USD FIXED 3.50 CS 12/17/2044 CME$-595,302
IRS AUD FLOAT 2.21 4/27/2018 MSCME$-852,040
IRS NOK FLOAT 1.56 5/12/2026 MSCME$-904,263
IRS NOK FIXED .95 5/12/2018 MSCME$-7,277,483
All Holdings As of Apr 30, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2019$29,856,376
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$28,944,925
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2018$27,087,066
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$24,908,697
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2023$24,823,022
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2024$22,793,282
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$20,950,654
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 07/15/2021$20,833,437
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$20,800,373
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2022$20,563,649
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2025$17,045,830
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$16,158,716
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2042$15,448,927
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2024$14,115,000
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$13,654,412
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2023$11,660,965
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$11,483,783
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,283,901
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2022$9,678,617
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2020$9,060,142
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2017$8,368,697
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$7,888,829
UNITED STATES TREASURY INFLATION INDEXED BONDS .25% 01/15/2025$7,663,265
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,303,816
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,617,521
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$5,103,496
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$4,786,051
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$4,396,482
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,324,667
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2026$3,093,764
AT&T INC .702% 03/30/2017$3,001,866
GOLDMAN SACHS GROUP INC/THE 3.85% 07/08/2024$2,710,162
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 02/15/2043$2,694,856
UNITED STATES TREASURY NOTE/BOND 1.625% 02/15/2026$2,456,738
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125 04/15/2021$2,124,182
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2045$2,056,702
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,907,007
KINDER MORGAN INC/DE 2% 12/01/2017$1,884,179
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,824,965
UBS AG 5.125% 05/15/2024$1,321,125
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIE .639% 05/25/2036$1,240,714
BANK OF AMERICA CORP 5.75% 12/01/2017$1,168,765
CREDIT AGRICOLE SA 8.125% 09/19/2033$1,101,045
VOLT XLII LLC 4.25 03/26/2046$988,369
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$946,655
UBS AG 4.75% 05/22/2023$915,008
BG ENERGY CAPITAL PLC 6.5% 11/30/2072$842,129
UNITED STATES TREASURY NOTE/BOND 2.5 02/15/2046$802,052
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$745,079
INTESA SANPAOLO SPA 2.375% 01/13/2017$703,277
INTESA SANPAOLO SPA 6.5% 02/24/2021$572,698
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015 3.137% 02/10/2048$536,098
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$529,694
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.31% 08/15/2019$529,655
PORSCHE INNOVATIVE LEASE OWNER TRUST 201 1.43% 05/21/2021$528,104
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$526,501
HARLEY-DAVIDSON MOTORCYCLE TRUST 1.3% 03/16/2020$526,362
WORLD FINANCIAL NETWORK CREDIT CARD MAST 1.76% 05/17/2021$523,081
ACTAVIS FUNDING SCS 3.45% 03/15/2022$512,884
FORD CREDIT FLOORPLAN MASTER OWNER TRUST 1.98% 01/15/2022$501,825
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$501,639
GM FINANCIAL AUTOMOBILE LEASING TRUST 20 1.68% 12/20/2018$481,985
HSBC HOME EQUITY LOAN TRUST USA 2007-1 0.9055% 03/20/2036$476,339
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 2.799% 12/25/2027$434,390
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$429,022
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 0.6008% 03/25/2036$426,431
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$408,019
COMM 2014-KYO MORTGAGE TRUST 1.091% 06/11/2027$400,776
FORD CREDIT AUTO LEASE TRUST 2014-B .89% 09/15/2017$393,184
NEW VALLEY GENERATION I 7.299% 03/15/2019$380,318
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$378,700
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 3.789% 12/15/2047$377,834
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.82% 09/15/2020$370,201
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.31% 05/15/2019$369,950
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN0 3.369% 03/13/2035$368,310
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$360,419
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.439% 01/15/2049$354,728
EXELON CORP 2.85% 06/15/2020$352,407
GE DEALER FLOORPLAN MASTER NOTE TRUST .583% 07/20/2019$349,250
UBS AG/STAMFORD CT 7.625% 08/17/2022$345,814
FFMLT TRUST 2005-FF11 .879% 11/25/2035$339,577
ML-CFC COMMERCIAL MORTGAGE TRUST 2006-4 5.166% 12/12/2049$335,451
BMW FLOORPLAN MASTER OWNER TRUST .698% 07/15/2020$318,423
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$316,832
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.844% 03/25/2028$316,427
PNC BANK NA 3.25% 06/01/2025$311,300
CITIZENS BANK NA/PROVIDENCE RI 2.3% 12/03/2018$302,034
ACTAVIS FUNDING SCS 1.158% 09/01/2016$300,388
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$279,585
RELIANCE HOLDING USA INC 5.4% 02/14/2022$277,330
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.129% 04/25/2035$277,186
SPRINT CAPITAL CORP 6.9% 05/01/2019$276,000
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$274,939
CITIGROUP INC 3.3% 04/27/2025$272,630
JPMORGAN CHASE & CO 3.2% 01/25/2023$272,523
BECTON DICKINSON AND CO 3.734% 12/15/2024$271,942
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$271,703
AT&T INC 3% 02/15/2022$271,404
TIME WARNER INC 3.55% 06/01/2024$271,292
KLA-TENCOR CORP 4.65% 11/01/2024$270,878
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$270,601
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$269,704
CHEVRON CORP 2.411% 03/03/2022$269,638
AMERICAN TOWER CORP 4.7% 03/15/2022$269,134
METLIFE INC 4.368% 09/15/2023$268,995
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$268,728
ALTRIA GROUP INC 2.625% 01/14/2020$268,680
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$268,664
MORGAN STANLEY 3.875% 04/29/2024$268,650
BANK OF AMERICA CORP 4% 04/01/2024$268,329
SOCIETE GENERALE SA 5.2% 04/15/2021$267,689
JPMORGAN CHASE & CO 3.875% 02/01/2024$267,599
ACTAVIS FUNDING SCS 3.8% 03/15/2025$267,423
TYSON FOODS INC 2.65% 08/15/2019$267,106
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$266,602
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$266,536
NEWELL RUBBERMAID INC 3.15 04/01/2021$266,486
SANTANDER HOLDINGS USA INC/PA 2.65% 04/17/2020$266,299
HARTFORD FINANCIAL SERVICES GROUP INC/TH 5.125% 04/15/2022$264,913
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.9745% 07/25/2028$264,718
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$264,494
MORGAN STANLEY 2.65% 01/27/2020$264,004
MITSUBISHI UFJ FINANCIAL GROUP INC 2.5151 03/01/2021$263,867
PERRIGO FINANCE PLC 3.5% 12/15/2021$262,237
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$262,081
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENL 4.375% 08/04/2025$261,960
LINCOLN NATIONAL CORP 4% 09/01/2023$261,649
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$261,007
AT&T INC 5.875 10/01/2019$260,543
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$260,033
HALLIBURTON CO 3.375% 11/15/2022$260,003
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 1.118% 06/15/2029$259,088
BANK OF AMERICA CORP 5.625% 07/01/2020$258,701
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-SGP 1.894% 07/15/2036$258,011
BNP PARIBAS SA 5% 01/15/2021$257,920
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.749% 10/25/2024$257,879
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$257,306
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$256,580
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.949% 10/25/2024$256,225
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2015-B 1.91% 03/16/2020$256,196
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$252,146
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.921% 04/25/2028$251,631
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.2216% 05/25/2028$251,464
CONOCOPHILLIPS 6% 01/15/2020$248,624
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.989% 08/10/2045$248,552
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.199% 08/25/2024$246,861
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.949% 09/25/2024$241,833
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$241,613
GLENCORE FUNDING LLC 4% 04/16/2025$239,686
CVS HEALTH CORP 3.875% 07/20/2025$227,110
NEWMONT MINING CORP 4.875% 03/15/2042$225,110
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$222,476
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$221,341
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$217,953
KBC BANK NV 8% 01/25/2023$217,775
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$215,040
CAPITAL ONE MULTI-ASSET EXECUTION TRUST 1.6% 05/17/2021$214,563
MCGRAW HILL FINANCIAL INC 4.4% 02/15/2026$211,953
SANTANDER UK PLC 5% 11/07/2023$208,630
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.749% 02/25/2025$205,918
GOLDMAN SACHS GROUP INC/THE 1.925% 11/29/2023$204,817
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$203,019
UBS GROUP FUNDING JERSEY LTD 2.4091 04/14/2021$200,816
REYNOLDS AMERICAN INC 4% 06/12/2022$200,362
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 3.801% 08/15/2048$200,252
KOHL'S CORP 4.25% 07/17/2025$193,883
H/2 ASSET FUNDING LTD SERIES 2015-1 1.861% 06/24/2049$193,232
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$193,200
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$191,624
STANDARD CHARTERED PLC 6.409% 01/30/2017$187,500
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$181,325
ABBVIE INC 3.6% 05/14/2025$180,564
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$180,079
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.43885 05/25/2025$178,977
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$178,000
HYUNDAI AUTO LEASE SECURITIZATION TRUST 1.4% 11/15/2018$175,333
FREEPORT-MCMORAN INC 4.55% 11/14/2024$173,481
METLIFE INC 5.25% 06/15/2020$172,787
WORLD FINANCIAL NETWORK CREDIT CARD MAST 2.55% 06/17/2024$171,927
PLAINS ALL AMERICAN PIPELINE LP / PAA FI 3.6% 11/01/2024$170,678
AT&T INC 5.15 03/15/2042$168,654
SPECTRUM BRANDS INC 5.75% 07/15/2025$165,176
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.199% 05/25/2025$162,101
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 4.62% 12/15/2047$161,783
HCA INC 6.5% 02/15/2020$160,950
SONIC AUTOMOTIVE INC 5% 05/15/2023$160,000
GENERAL MOTORS CO 3.5% 10/02/2018$158,998
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 4.819238% 11/15/2048$158,904
BARCLAYS DRYROCK ISSUANCE TRUST 1.56% 03/15/2021$158,515
BANK OF AMERICA CORP 6.5% 10/23/2024$158,063
KLX INC 5.875% 12/01/2022$157,755
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.3765% 08/25/2028$157,189
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$155,823
HERTZ VEHICLE FINANCING LLC 2.02% 09/25/2019$153,872
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$153,705
CCO SAFARI II LLC 4.908% 07/23/2025$151,147
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.1765% 08/25/2028$146,842
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8 5.039275 09/10/2045$146,234
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$144,773
BIOGEN INC 3.625% 09/15/2022$142,116
GS MORTGAGE SECURITIES TRUST 2014-GC18 5.112489 01/10/2047$141,163
ENTERGY CORP 4% 07/15/2022$139,801
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.3385 10/25/2028$138,826
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-1 8.2% 02/15/2023$131,735
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$128,489
VALEANT PHARMACEUTICALS INTERNATIONAL IN 6.125% 04/15/2025$125,682
FANNIE MAE REMICS 5.66115 04/25/2046$123,041
FREDDIE MAC REMICS 5.97725 05/15/2037$122,827
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65 04/15/2025$117,611
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 4.456949% 04/10/2046$117,311
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.372% 05/15/2047$112,933
CELGENE CORP 3.875% 08/15/2025$110,831
GILEAD SCIENCES INC 3.65% 03/01/2026$109,117
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$108,155
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.435 09/25/2028$108,006
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.7435% 04/25/2028$107,395
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.802 08/12/2043$104,827
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.699% 07/25/2025$104,085
REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU 5.75% 10/15/2020$104,000
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$103,981
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2015-3 1.74% 09/15/2021$103,458
VOLKSWAGEN CREDIT AUTO MASTER TRUST 0.54425% 07/22/2019$98,684
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,111
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.802481% 11/15/2045$96,360
NAVIENT CORP 7.25% 01/25/2022$93,931
BELLEMEADE RE LTD 2.689% 07/25/2025$93,104
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$87,562
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.066% 11/25/2025$82,673
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$81,964
NEWELL RUBBERMAID INC 3.85 04/01/2023$78,538
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$77,066
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 5.88783% 01/10/2045$76,181
ADVANCED MICRO DEVICES INC 6.75% 03/01/2019$72,885
DRIVE AUTO RECEIVABLES TRUST 2015-D 1.23% 06/15/2018$71,379
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2 1.2% 12/17/2018$71,338
EBAY INC 3.8 03/09/2022$71,196
MICRON TECHNOLOGY INC 7.5 09/15/2023$69,513
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2015-3 1.42% 05/17/2021$68,609
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.8935% 04/25/2028$68,448
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 2.966% 11/25/2025$66,588
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.739% 08/12/2043$57,184
CENOVUS ENERGY INC 5.7% 10/15/2019$54,998
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.7385 10/25/2028$45,488
HUSKY ENERGY INC 7.25 12/15/2019$37,979
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-SD1 0.971% 11/25/2050$34,364
FIDELITY NATIONAL INFORMATION SERVICES INC 3.5 04/15/2023$33,490
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$29,019
DRIVE AUTO RECEIVABLES TRUST 2015-C 1.03% 02/15/2018$17,686
CENOVUS ENERGY INC 3 08/15/2022$12,576
DRIVE AUTO RECEIVABLES TRUST 2015-B .93% 12/15/2017$11,182
FIDELITY NATIONAL INFORMATION SERVICES INC 5% 10/15/2025$3,318
MACQUARIE EQUIPMENT FUNDING TRUST 2014-A .8% 11/21/2016$2,656
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$16,195,005
FEDERAL HOME ZERO 05/16$1,199,944
FEDERAL HOME ZERO 05/16$899,892
FEDERAL HOME ZERO 05/16$499,994
FEDERAL HOME ZERO 05/16$499,924
FEDERAL HOME ZERO 05/16$399,933
FEDERAL HOME ZERO 06/16$399,838
FEDERAL HOME ZERO 05/16$99,986
 
Other
Holding NameMarket Value
USD CCP COLL VM CREDIT SU$1,302,055
SWAP CASH COLLATERAL USD$640,000
IRS USD FIXED 1.81 6/9/2020 MSCME$431,551
IRS AUD FIXED 2.21 4/27/2018 MSCME$207,256
USD CCP COLL IM MS$195,761
USD FOR CDX$122,527
IRS GBP FLOAT 1.65 6/5/2020 MSCME$105,265
IRS NZD FLOAT 2.25 4/28/2018 MSCME$93,092
USD$75,891
IRS NZD FIXED 4.07 6/9/2025 MSCME$74,624
US ULTRA BOND CBT BOND JUN16 (WNM6) COMDTY$64,641
CANADIAN DOLLAR$52,848
IRS CAD FIXED 1.05 6/5/2017 MSCME$41,461
IRS USD FIXED 1.81 6/9/2020 MSCME$35,745
IRS AUD FIXED 3.08 05/25 MSCME$35,374
IRO USD P 2.25 10/17/2018 MS$26,159
EURO-BOBL FUTURE BOND JUN16 (OEM6) COMDTY$19,878
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$19,701
IRO USD P 2.3 3/29/2019 MS$18,998
IRS CAD FIXED1.04 05/17 MSCME$18,517
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$17,238
IRS CAD FIXED 1.05 6/5/2017 MSCME$16,914
IRO USD P 2.25 12/10/2018 MS$11,788
IRO USD P 2.25 11/15/2018 MS$10,737
CURRENCY CONTRACT$10,024
CURRENCY CONTRACT$9,747
IRS GBP FIXED 2.49 6/9/2025 MSCME$8,324
IRS CAD FLOAT 1.01 4/28/2018 MSCME$7,008
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$6,900
IRS CAD FIXED 1.04 5/28/2017 MSCME$4,902
US LONG BOND(CBT) BOND JUN16 (USM6) COMDTY$4,690
IRO USD P 2.5 7/25/2016 MS$4,037
IRS NZD FLOAT 4.07 6/9/2025 MSCME$3,675
IRS USD FIXED 2.5 MS 6/15/2046 CME$2,582
CURRENCY CONTRACT$2,013
CURRENCY CONTRACT$1,859
BRITISH POUND$1,302
CAD CCP COLL VM MS$786
CANADIAN DOLLAR$762
US 10YR ULTRA FUTURE BOND JUN16 (UXYM6) COMDTY$568
US 2YR NOTE (CBT) BOND JUN16 (TUM6) COMDTY$495
AUSTRALIAN DOLLAR$425
NORWEGIAN KRONE$48
EURO$7
JAPANESE YEN$1
INF USD FLOAT 1.39 7/15/2018 BARC$0
INF USD FLOAT 1.75 4/15/2020 CITI$0
INF USD FLOAT 1.71 4/15/2019 CITI$0
NA.BBB USD 5/11/2063 CT FLOAT CDS$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
INF USD FLOAT 1.9 1/15/2020 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
INF USD FLOAT 1.9 7/15/2022 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
INF USD FLOAT 1.95 7/15/2020 CITI$0
IRO USD P .9 6/20/16 RBS$-263
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-496
IRS CAD FLOAT 1.04 5/28/2017 MSCME$-639
IRO USD P 1 6/27/2017 MS$-692
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-817
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-933
IRS USD FIXED 2.69 8/6/2045 MSCME$-953
IRS USD FIXED 2 MS 12/16/2020 CME$-1,116
IRS CAD FIXED 1.01 4/28/2018 MSCME$-1,665
IRO USD C 2 7/25/2016 MS$-1,823
IRO USD P 1.0 6/24/2016 MS$-1,996
IRS AUD FLOAT 3.08 05/25 MSCME$-2,009
US 5YR NOTE (CBT) BOND JUN16 (FVM6) COMDTY$-2,245
IRS USD FLOAT 1.81 6/9/2020 MSCME$-2,956
INF SWAP US 1.725 03/04/15-4Y DUB$-4,851
IRS CAD FLOAT 1.05 6/5/2017 MSCME$-5,552
IRS USD FIXED 2.72 11/10/2045 MSCME$-5,556
IRO USD P 1.15 7/5/2016 GS$-6,933
IRO USD P 1.5 7/5/16 CB$-8,179
IRO USD P 2.6075 11/15/2018 MS$-9,125
IRO USD P 2.59 12/10/2018 MS$-9,862
CURRENCY CONTRACT$-10,000
IRS CAD FLOAT 1.04 05/17 MSCME$-10,095
CURRENCY CONTRACT$-10,448
INF USD FIXED 1.39 7/15/2018 BARC$-10,992
US 10YR NOTE (CBT) BOND JUN16 (TYM6) COMDTY$-11,638
IRS USD FLOAT 1.81 6/9/2020 MSCME$-12,004
CURRENCY CONTRACT$-13,611
CURRENCY CONTRACT$-14,406
IRS USD FLOAT 2.69 8/6/2045 MSCME$-16,009
IRO USD P 2.6 3/29/2019 MS$-16,393
NA.BBB USD 5/11/2063 CT FIXED CDS$-17,888
IRO USD P 2.605 10/17/2018 MS$-19,547
CAN 10YR BOND FUTURE BOND JUN16 (CNM6) COMDTY$-19,672
IRO USD P 1.25 7/5/2016 DB$-20,266
AUD CCP COLL VM MS$-20,674
USD$-21,734
CURRENCY CONTRACT$-23,084
INF USD FIXED 1.71 4/15/2019 CITI$-25,726
INF USD FIXED 1.9 1/15/2020 CITI$-27,881
IRS CAD FLOAT 1.05 6/5/2017 MSCME$-29,886
INF USD 1.825 11/16 BPS$-30,208
INF USD 1.935 10/23/2016 RBS$-30,682
US 5YR NOTE (CBT) BOND JUN16 (FVM6) COMDTY$-35,007
IRS GBP FIXED 1.65 6/5/2020 MSCME$-36,622
INF USD FIXED 1.96 1/15/2023 CITI$-36,742
INF USD FIXED 1.95 7/15/2020 CITI$-36,839
IRS GBP FLOAT 2.49 6/9/2025 MSCME$-42,951
IRS USD FIXED 2.75 CS 06/17/2025 CME$-46,089
IRS USD FLOAT 2.72 11/10/2045 MSCME$-49,104
INF USD FIXED 1.89 1/15/2022 CITI$-59,217
INF USD FIXED 1.9 7/15/2022 CITI$-60,239
INF USD FIXED 1.96 7/15/2021 CITI$-60,426
INF SWP:USD 2.5 7/15/22 DUB$-60,836
INF USD 2.1725 11/01/2018 DUB$-64,926
INF USD FIXED 1.75 4/15/2020 CITI$-73,549
IRS USD FIXED 3.75 CS 6/18/2044 CME$-80,577
INF USD FIXED 1.95 7/15/2021 CITI$-81,969
INF USD 1.93 02/10/2017 DB$-82,864
INF USD FIXED 1.92 7/15/2022 CITI$-87,628
EURO$-88,807
IRS USD FIXED 3.25 CS 06/17/2045 CME$-90,014
IRS NZD FIXED 2.25 4/28/2018 MSCME$-91,018
INF USD 1.55 11/05/16 RBS$-150,892
INF USD 1.93 10/31/2016 RBS$-163,256
IRS USD FIXED 3.5 12/18/43 GS CME$-227,765
IRS USD 2.75 FIXED 6/19/43 MS CME$-244,965
IRS AUD FLOAT 2.21 4/27/2018 MSCME$-247,056
INF SWP:USD 2.25 7/15/17 RBS$-251,854
INF USD 2.205 10//11/2018 GS$-268,661
INF SWP:USD 2.25 7/15/17 BPS$-309,035
USD CCP COLL VM MS$-359,317
INF USD P 2.5 07-15-2022 BPS$-373,894
IRS USD FIXED 3.50 CS 12/17/2044 CME$-560,470
All Holdings As of Mar 31, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2019$29,834,164
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2018$27,088,432
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$26,990,811
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$24,782,682
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2023$24,743,334
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2024$22,671,991
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 07/15/2021$21,461,443
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2022$20,512,477
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$19,722,928
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2025$18,275,801
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$17,574,239
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$16,965,886
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2042$15,377,264
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$14,292,165
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2024$14,047,852
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,238,198
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2023$11,209,042
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$10,265,055
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2022$9,654,828
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2020$9,054,620
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2017$8,379,701
UNITED STATES TREASURY INFLATION INDEXED BONDS .25% 01/15/2025$7,929,830
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$7,856,098
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,298,085
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,621,075
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$5,079,251
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$4,786,359
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$3,559,915
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,305,261
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2026$3,077,280
AT&T INC .702% 03/30/2017$2,999,127
GOLDMAN SACHS GROUP INC/THE 3.85% 07/08/2024$2,691,107
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 02/15/2043$2,676,765
UNITED STATES TREASURY NOTE/BOND 1.625% 02/15/2026$2,463,770
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 07/15/2016$2,431,112
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2045$2,191,769
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,909,565
KINDER MORGAN INC/DE 2% 12/01/2017$1,880,400
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,826,462
BANK OF AMERICA CORP 2.6% 01/15/2019$1,322,867
UBS AG 5.125% 05/15/2024$1,321,125
EXPORT-IMPORT BANK OF KOREA 4% 01/29/2021$1,309,193
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIE .639% 05/25/2036$1,230,581
BANK OF AMERICA CORP 5.75% 12/01/2017$1,169,348
CREDIT AGRICOLE SA 8.125% 09/19/2033$1,089,504
VOLT XLII LLC 4.25 03/26/2046$1,000,913
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$941,485
UBS AG 4.75% 05/22/2023$914,018
BG ENERGY CAPITAL PLC 6.5% 11/30/2072$841,649
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$742,731
INTESA SANPAOLO SPA 2.375% 01/13/2017$703,170
INTESA SANPAOLO SPA 6.5% 02/24/2021$572,621
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015 3.137% 02/10/2048$531,190
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$529,519
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.31% 08/15/2019$528,939
PORSCHE INNOVATIVE LEASE OWNER TRUST 201 1.43% 05/21/2021$528,391
HARLEY-DAVIDSON MOTORCYCLE TRUST 1.3% 03/16/2020$526,845
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$526,338
WORLD FINANCIAL NETWORK CREDIT CARD MAST 1.76% 05/17/2021$522,373
ACTAVIS FUNDING SCS 3.45% 03/15/2022$519,757
FORD CREDIT FLOORPLAN MASTER OWNER TRUST 1.98% 01/15/2022$502,498
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$501,835
FORD CREDIT AUTO LEASE TRUST 2014-B .89% 09/15/2017$487,127
GM FINANCIAL AUTOMOBILE LEASING TRUST 20 1.68% 12/20/2018$481,823
HSBC HOME EQUITY LOAN TRUST USA 2007-1 0.9055% 03/20/2036$472,456
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$450,407
REPUBLIC OF SLOVENIA 5.25% 02/18/2024$448,980
KBC BANK NV 8% 01/25/2023$433,000
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 2.799% 12/25/2027$431,698
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 0.6008% 03/25/2036$424,707
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$406,166
FFMLT TRUST 2005-FF11 .879% 11/25/2035$400,322
COMM 2014-KYO MORTGAGE TRUST 1.091% 06/11/2027$395,931
NEW VALLEY GENERATION I 7.299% 03/15/2019$381,911
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$377,029
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 3.789% 12/15/2047$376,775
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.82% 09/15/2020$370,446
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.31% 05/15/2019$368,271
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN0 3.369% 03/13/2035$365,110
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$359,439
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.439% 01/15/2049$355,234
EXELON CORP 2.85% 06/15/2020$352,411
GE DEALER FLOORPLAN MASTER NOTE TRUST .583% 07/20/2019$348,605
UBS AG/STAMFORD CT 7.625% 08/17/2022$344,040
EXTENDED STAY AMERICA TRUST 2013-ESH 2.295% 12/05/2031$343,137
ML-CFC COMMERCIAL MORTGAGE TRUST 2006-4 5.166% 12/12/2049$336,089
BMW FLOORPLAN MASTER OWNER TRUST .698% 07/15/2020$318,299
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$316,712
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.844% 03/25/2028$310,460
PNC BANK NA 3.25% 06/01/2025$307,454
CITIZENS BANK NA/PROVIDENCE RI 2.3% 12/03/2018$301,883
ACTAVIS FUNDING SCS 1.158% 09/01/2016$300,310
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$289,404
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.129% 04/25/2035$281,329
RELIANCE HOLDING USA INC 5.4% 02/14/2022$279,317
JPMORGAN CHASE & CO 3.2% 01/25/2023$272,088
BECTON DICKINSON AND CO 3.734% 12/15/2024$271,967
CITIGROUP INC 3.3% 04/27/2025$271,205
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$271,112
ACTAVIS FUNDING SCS 3.8% 03/15/2025$271,094
AMERICAN TOWER CORP 4.7% 03/15/2022$271,066
CHEVRON CORP 2.411% 03/03/2022$271,036
AT&T INC 3% 02/15/2022$270,754
VERIZON COMMUNICATIONS INC 7.35% 04/01/2039$270,137
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$268,758
METLIFE INC 4.368% 09/15/2023$268,139
ALTRIA GROUP INC 2.625% 01/14/2020$267,943
BANK OF AMERICA CORP 4% 04/01/2024$267,942
MORGAN STANLEY 3.875% 04/29/2024$267,931
TIME WARNER INC 3.55% 06/01/2024$267,900
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$267,002
TYSON FOODS INC 2.65% 08/15/2019$266,857
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$266,845
JPMORGAN CHASE & CO 3.875% 02/01/2024$266,643
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$266,507
SOCIETE GENERALE SA 5.2% 04/15/2021$266,405
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$265,384
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$264,874
VIACOM INC 3.875% 04/01/2024$264,391
NEWELL RUBBERMAID INC 3.15 04/01/2021$264,294
SANTANDER HOLDINGS USA INC/PA 2.65% 04/17/2020$264,285
MORGAN STANLEY 2.65% 01/27/2020$264,082
HARTFORD FINANCIAL SERVICES GROUP INC/TH 5.125% 04/15/2022$263,245
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$262,681
PERRIGO FINANCE PLC 3.5% 12/15/2021$262,290
SPRINT CAPITAL CORP 6.9% 05/01/2019$261,750
KLA-TENCOR CORP 4.65% 11/01/2024$261,511
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$260,907
AT&T INC 5.875 10/01/2019$260,162
LINCOLN NATIONAL CORP 4% 09/01/2023$259,813
HALLIBURTON CO 3.375% 11/15/2022$259,730
BANK OF AMERICA CORP 5.625% 07/01/2020$258,700
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$258,181
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENL 4.375% 08/04/2025$257,892
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$257,689
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-SGP 1.894% 07/15/2036$257,376
BNP PARIBAS SA 5% 01/15/2021$257,182
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$257,117
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2015-B 1.91% 03/16/2020$256,271
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 1.118% 06/15/2029$255,978
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$254,745
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$253,240
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$252,914
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.9745% 07/25/2028$252,766
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.949% 10/25/2024$252,130
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.989% 08/10/2045$249,428
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.749% 10/25/2024$248,664
CONOCOPHILLIPS 6% 01/15/2020$244,849
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.921% 04/25/2028$243,059
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.199% 08/25/2024$242,666
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.2216% 05/25/2028$241,203
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$238,055
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.949% 09/25/2024$231,847
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$231,025
CVS HEALTH CORP 3.875% 07/20/2025$227,051
GILEAD SCIENCES INC 3.65% 03/01/2026$219,171
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$216,767
GLENCORE FUNDING LLC 4% 04/16/2025$216,091
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$215,186
CAPITAL ONE MULTI-ASSET EXECUTION TRUST 1.6% 05/17/2021$214,611
MCGRAW HILL FINANCIAL INC 4.4% 02/15/2026$209,155
NEWMONT MINING CORP 4.875% 03/15/2042$206,509
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$205,124
GOLDMAN SACHS GROUP INC/THE 1.925% 11/29/2023$204,602
SANTANDER UK PLC 5% 11/07/2023$203,321
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$201,810
UBS GROUP FUNDING JERSEY LTD 2.4091 04/14/2021$200,235
REYNOLDS AMERICAN INC 4% 06/12/2022$200,229
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 3.801% 08/15/2048$198,899
H/2 ASSET FUNDING LTD SERIES 2015-1 1.861% 06/24/2049$197,368
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$196,016
SOCIETE GENERALE SA 8%$194,500
KOHL'S CORP 4.25% 07/17/2025$194,014
STANDARD CHARTERED PLC 6.409% 01/30/2017$191,416
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$182,963
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$181,394
ABBVIE INC 3.6% 05/14/2025$180,894
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$177,536
HYUNDAI AUTO LEASE SECURITIZATION TRUST 1.4% 11/15/2018$175,193
WORLD FINANCIAL NETWORK CREDIT CARD MAST 2.55% 06/17/2024$171,476
METLIFE INC 5.25% 06/15/2020$169,588
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$166,940
SPECTRUM BRANDS INC 5.75% 07/15/2025$165,463
PLAINS ALL AMERICAN PIPELINE LP / PAA FI 3.6% 11/01/2024$164,141
AT&T INC 5.15 03/15/2042$161,849
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.199% 05/25/2025$161,569
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 4.62% 12/15/2047$160,919
HCA INC 6.5% 02/15/2020$159,500
BARCLAYS DRYROCK ISSUANCE TRUST 1.56% 03/15/2021$158,646
SONIC AUTOMOTIVE INC 5% 05/15/2023$158,400
GENERAL MOTORS CO 3.5% 10/02/2018$157,734
KLX INC 5.875% 12/01/2022$156,000
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$155,805
BANK OF AMERICA CORP 6.5% 10/23/2024$155,018
HERTZ VEHICLE FINANCING LLC 2.02% 09/25/2019$154,032
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$153,670
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 4.819238% 11/15/2048$152,722
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$152,488
CCO SAFARI II LLC 4.908% 07/23/2025$147,890
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.1765% 08/25/2028$145,267
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$143,977
FREEPORT-MCMORAN INC 4.55% 11/14/2024$140,938
BIOGEN INC 3.625% 09/15/2022$140,876
ENTERGY CORP 4% 07/15/2022$139,104
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-1 8.2% 02/15/2023$131,499
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65 04/15/2025$123,509
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 4.456949% 04/10/2046$119,277
VALEANT PHARMACEUTICALS INTERNATIONAL IN 6.125% 04/15/2025$115,875
BELLEMEADE RE LTD 2.689% 07/25/2025$115,450
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.749% 02/25/2025$114,099
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.372% 05/15/2047$113,735
CELGENE CORP 3.875% 08/15/2025$110,560
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$107,955
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.699% 07/25/2025$104,828
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.7435% 04/25/2028$104,782
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$103,804
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2015-3 1.74% 09/15/2021$103,240
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.435 09/25/2028$103,200
REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU 5.75% 10/15/2020$102,875
VOLKSWAGEN CREDIT AUTO MASTER TRUST 0.54425% 07/22/2019$98,600
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.802481% 11/15/2045$97,711
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,075
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.739% 08/12/2043$91,506
DRIVE AUTO RECEIVABLES TRUST 2015-D 1.23% 06/15/2018$90,903
NAVIENT CORP 7.25% 01/25/2022$89,181
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$85,103
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.066% 11/25/2025$84,332
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2015-3 1.42% 05/17/2021$81,011
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$80,853
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2 1.2% 12/17/2018$80,759
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$78,305
NEWELL RUBBERMAID INC 3.85 04/01/2023$77,900
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 5.88783% 01/10/2045$75,763
EBAY INC 3.8 03/09/2022$70,096
ADVANCED MICRO DEVICES INC 6.75% 03/01/2019$69,230
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 2.966% 11/25/2025$68,768
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.3765% 08/25/2028$68,677
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.8935% 04/25/2028$66,090
MACQUARIE EQUIPMENT FUNDING TRUST 2014-A .8% 11/21/2016$59,543
CENOVUS ENERGY INC 5.7% 10/15/2019$53,228
HUSKY ENERGY INC 7.25 12/15/2019$37,611
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-SD1 0.971% 11/25/2050$35,009
DRIVE AUTO RECEIVABLES TRUST 2015-B .93% 12/15/2017$34,607
DRIVE AUTO RECEIVABLES TRUST 2015-C 1.03% 02/15/2018$34,208
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$29,007
CENOVUS ENERGY INC 3 08/15/2022$12,465
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$13,924,106
FEDERAL HOME ZERO 04/16$1,799,750
UNITED STATES ZERO 04/16$899,951
UNITED STATES ZERO 04/16$261,968
UNITED STATES ZERO 04/16$99,997
 
Other
Holding NameMarket Value
USD CCP COLL VM CREDIT SU$1,387,252
SWAP CASH COLLATERAL USD$656,000
IRS USD FIXED 1.81 6/9/2020 MSCME$451,408
IRS AUD FLOAT 1.92 10/30/2017 JPCME$214,495
USD CCP COLL IM MS$198,848
IRS CAD FIXED1.04 05/17 MSCME$158,396
IRS GBP FLOAT 1.65 6/5/2020 MSCME$149,170
IRS CAD FIXED 1.05 6/5/2017 MSCME$147,070
USD FOR CDX$130,143
USD$109,744
IRS NZD FIXED 4.07 6/9/2025 MSCME$64,009
IRS NZD FIXED 3.37 6/9/2017 MSCME$54,293
CANADIAN DOLLAR$51,055
IRS AUD FIXED 3.08 05/25 MSCME$42,178
IRS USD FIXED 1.81 6/9/2020 MSCME$40,077
US 2YR NOTE (CBT) BOND JUN16 (TUM6) COMDTY$33,930
CURRENCY CONTRACT$28,360
US ULTRA BOND CBT BOND JUN16 (WNM6) COMDTY$28,309
CURRENCY CONTRACT$27,156
IRO USD P 2.25 10/17/2018 MS$24,642
IRS AUD FLOAT 2.22 6/9/2017 MSCME$21,789
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$21,525
CURRENCY CONTRACT$21,363
CALL ON 10 YEAR US TREASURY NOTES CALL USD 131 22/APR/2016$20,344
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$18,835
IRS AUD FLOAT 2.10 05/17 MSCME$17,242
IRO USD P 2.3 3/29/2019 MS$15,656
IRS NZD FLOAT 4.07 6/9/2025 MSCME$12,867
IRS GBP FIXED 2.49 6/9/2025 MSCME$12,800
EURO-BOBL FUTURE BOND JUN16 (OEM6) COMDTY$12,116
US 10YR NOTE (CBT) BOND JUN16 (TYM6) COMDTY$11,805
IRO USD P 2.25 12/10/2018 MS$11,202
IRO USD P 2.25 11/15/2018 MS$10,180
PUT ON 30 YEAR US TREASURY BONDS PUT USD 160 22/APR/2016$10,094
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$9,560
US 5YR NOTE (CBT) BOND JUN16 (FVM6) COMDTY$6,108
CURRENCY CONTRACT$5,608
CURRENCY CONTRACT$2,868
CURRENCY CONTRACT$1,796
BRITISH POUND$1,280
IRS USD FIXED 2.5 MS 6/15/2046 CME$1,186
CANADIAN DOLLAR$736
AUSTRALIAN DOLLAR$429
EURO$7
JAPANESE YEN$1
CMBX.NA.BBB USD 5/11/2063 CT FLOAT CDS$0
INF USD FLOAT 1.95 7/15/2020 CITI$0
INF USD FLOAT 1.71 4/15/2019 CITI$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.75 4/15/2020 CITI$0
INF USD FLOAT 1.9 7/15/2022 CITI$0
INF USD FLOAT 1.9 1/15/2020 CITI$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
CURRENCY CONTRACT$-28
CURRENCY CONTRACT$-33
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-142
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-233
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-267
IRS USD FIXED 2.69 8/6/2045 MSCME$-616
IRO USD P 1 6/27/2017 MS$-655
US 10YR ULTRA FUT BOND JUN16 (UXYM6) COMDTY$-744
IRS USD FIXED 2 MS 12/16/2020 CME$-1,452
IRO USD P 1.0 6/24/2016 MS$-1,883
CURRENCY CONTRACT$-2,196
CURRENCY CONTRACT$-2,602
CURRENCY CONTRACT$-2,841
INF SWAP US 1.725 03/04/15-4Y DUB$-4,483
IRS USD FIXED 2.72 11/10/2045 MSCME$-4,581
IRS USD FLOAT 1.81 6/9/2020 MSCME$-5,209
CAN 10YR BOND FUT BOND JUN16 (CNM6) COMDTY$-5,520
IRO USD P 1.15 7/5/2016 GS$-5,735
IRS USD FIXED 2.63 11/10/2035 MSCME$-5,871
IRS USD FLOAT 1.81 6/9/2020 MSCME$-6,069
IRS AUD FLOAT 3.08 05/25 MSCME$-7,126
CALL ON 10 YEAR US TREASURY NOTES CALL USD 132$-7,750
IRO USD P 1.5 7/5/16 CB$-8,117
CURRENCY CONTRACT$-8,534
INF USD 1.4725 11/21/2016 DB$-8,955
IRO USD P 2.6075 11/15/2018 MS$-9,900
INF USD FIXED 1.39 7/15/2018 BARC$-10,227
CURRENCY CONTRACT$-10,598
IRO USD P 2.59 12/10/2018 MS$-10,655
CURRENCY CONTRACT$-11,885
CURRENCY CONTRACT$-12,234
CURRENCY CONTRACT$-12,396
CURRENCY CONTRACT$-16,894
CMBX.NA.BBB USD 5/11/2063 CT FIXED CDS$-18,075
IRS USD FLOAT 2.69 8/6/2045 MSCME$-18,375
IRO USD P 1.25 7/5/2016 DB$-18,602
IRS AUD FIXED 2.10 05/17 MSCME$-19,184
IRO USD P 2.6 3/29/2019 MS$-19,701
IRO USD P 2.605 10/17/2018 MS$-21,917
INF USD FIXED 1.71 4/15/2019 CITI$-24,099
US LONG BOND(CBT) BOND JUN16 (USM6) COMDTY$-27,263
INF USD FIXED 1.9 1/15/2020 CITI$-29,232
INF USD 1.825 11/16 BPS$-29,427
IRS AUD FIXED 2.22 6/9/2017 MSCME$-30,371
INF USD 1.935 10/23/2016 RBS$-30,444
INF USD FIXED 1.95 7/15/2020 CITI$-38,779
INF USD FIXED 1.96 1/15/2023 CITI$-40,427
US 5YR NOTE (CBT) BOND JUN16 (FVM6) COMDTY$-48,007
IRS GBP FLOAT 2.49 6/9/2025 MSCME$-54,296
IRS USD FLOAT 2.72 11/10/2045 MSCME$-55,969
IRS USD FLOAT 2.63 11/10/2035 MSCME$-56,406
INF USD 1.860 11/05/16 DUB$-56,474
INF USD FIXED 1.96 7/15/2021 CITI$-60,354
INF SWP:USD 2.5 7/15/22 DUB$-62,039
IRS USD FIXED 2.75 CS 06/17/2025 CME$-62,277
INF USD FIXED 1.89 1/15/2022 CITI$-62,572
INF USD 2.1725 11/01/2018 DUB$-63,432
INF USD 1.825 11/29/16 DUB$-64,032
INF USD FIXED 1.9 7/15/2022 CITI$-69,220
IRS GBP FIXED 1.65 6/5/2020 MSCME$-70,610
USD$-77,502
INF USD FIXED 1.75 4/15/2020 CITI$-77,637
INF USD 1.93 02/10/2017 DB$-78,852
IRS USD FIXED 3.75 CS 6/18/2044 CME$-84,976
INF USD FIXED 1.95 7/15/2021 CITI$-85,013
EURO$-88,253
INF USD FIXED 1.92 7/15/2022 CITI$-98,936
INF USD 1.845 11/29/16 DUB$-99,341
IRS USD FIXED 3.25 CS 06/17/2045 CME$-101,570
INF USD 1.73 04/15/2016 GS$-104,104
INF USD 1.55 11/05/16 RBS$-148,327
IRS CAD FLOAT 1.04 05/17 MSCME$-156,176
INF USD 1.93 10/31/2016 RBS$-161,938
IRS CAD FLOAT 1.05 6/5/2017 MSCME$-164,905
USD CCP COLL VM MS$-180,745
IRS NZD FLOAT 3.37 6/9/2017 MSCME$-194,650
IRS AUD FIXED 1.92 10/30/2017 JPCME$-223,644
IRS USD FIXED 3.5 12/18/43 GS CME$-237,635
INF SWP:USD 2.25 7/15/17 RBS$-243,242
IRS USD 2.75 FIXED 6/19/43 MS CME$-257,947
INF USD 2.205 10//11/2018 GS$-262,363
INF SWP:USD 2.25 7/15/17 BPS$-298,577
INF USD P 2.5 07-15-2022 BPS$-380,876
IRS USD FIXED 3.50 CS 12/17/2044 CME$-592,495
All Holdings As of Feb 29, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2019$30,223,334
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$26,588,141
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2018$26,410,970
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2023$24,603,715
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$24,137,631
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 07/15/2021$21,126,905
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2024$21,084,247
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2022$20,203,595
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$19,871,556
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$17,342,625
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2025$17,224,015
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$17,000,927
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2042$14,789,478
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2024$13,834,870
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$13,549,438
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2023$11,033,877
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,014,848
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$9,682,156
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2022$9,513,651
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2020$8,699,187
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2017$8,323,094
UNITED STATES TREASURY INFLATION INDEXED BONDS .25% 01/15/2025$7,796,484
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$7,607,781
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,197,149
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,554,076
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$4,910,882
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$4,721,239
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,218,920
AT&T INC .702% 03/30/2017$2,997,561
GOLDMAN SACHS GROUP INC/THE 3.85% 07/08/2024$2,662,501
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2045$2,618,919
ZIMMER BIOMET HOLDINGS INC 3.55% 04/01/2025$2,572,918
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 02/15/2043$2,571,510
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 07/15/2016$2,423,078
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,905,309
KINDER MORGAN INC/DE 2% 12/01/2017$1,846,781
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,810,924
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.875% 07/15/2019$1,671,001
MEDTRONIC INC 4.375% 03/15/2035$1,347,943
BANK OF AMERICA CORP 2.6% 01/15/2019$1,307,342
EXPORT-IMPORT BANK OF KOREA 4% 01/29/2021$1,304,778
UBS AG 5.125% 05/15/2024$1,291,930
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIE .639% 05/25/2036$1,229,522
BANK OF AMERICA CORP 5.75% 12/01/2017$1,167,087
CREDIT AGRICOLE SA 8.125% 09/19/2033$1,052,500
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$985,580
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$923,659
UBS AG 4.75% 05/22/2023$907,313
BG ENERGY CAPITAL PLC 6.5% 11/30/2072$828,848
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$742,365
INTESA SANPAOLO SPA 2.375% 01/13/2017$702,371
CANADIAN NATURAL RESOURCES LTD .657% 03/30/2016$599,146
INTESA SANPAOLO SPA 6.5% 02/24/2021$561,578
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$530,235
PORSCHE INNOVATIVE LEASE OWNER TRUST 201 1.43% 05/21/2021$528,319
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.31% 08/15/2019$528,136
HARLEY-DAVIDSON MOTORCYCLE TRUST 1.3% 03/16/2020$526,539
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$526,007
FORD CREDIT AUTO LEASE TRUST 2014-B .89% 09/15/2017$525,870
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015 3.137% 02/10/2048$523,143
WORLD FINANCIAL NETWORK CREDIT CARD MAST 1.76% 05/17/2021$522,057
ACTAVIS FUNDING SCS 3.45% 03/15/2022$510,584
FORD CREDIT FLOORPLAN MASTER OWNER TRUST 1.98% 01/15/2022$503,050
NEW VALLEY GENERATION I 7.299% 03/15/2019$502,878
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$501,228
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.46% 07/20/2020$495,507
GM FINANCIAL AUTOMOBILE LEASING TRUST 20 1.68% 12/20/2018$481,634
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$476,823
HSBC HOME EQUITY LOAN TRUST USA 2007-1 0.9055% 03/20/2036$471,994
REPUBLIC OF SLOVENIA 5.25% 02/18/2024$446,000
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 0.6008% 03/25/2036$437,161
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 2.799% 12/25/2027$428,240
FFMLT TRUST 2005-FF11 .879% 11/25/2035$427,810
KBC BANK NV 8% 01/25/2023$421,259
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.439% 01/15/2049$403,372
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$397,595
COMM 2014-KYO MORTGAGE TRUST 1.091% 06/11/2027$390,483
CITIGROUP COMMERCIAL MORTGAGE TRUST 2008 6.263% 12/10/2049$377,004
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 3.789% 12/15/2047$370,464
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.82% 09/15/2020$370,069
HARLEY-DAVIDSON MOTORCYCLE TRUST 2013-1 .87% 07/15/2019$369,223
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$368,334
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.31% 05/15/2019$368,034
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN0 3.369% 03/13/2035$360,829
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$358,014
GE DEALER FLOORPLAN MASTER NOTE TRUST .583% 07/20/2019$349,755
EXELON CORP 2.85% 06/15/2020$348,237
EXTENDED STAY AMERICA TRUST 2013-ESH 2.295% 12/05/2031$341,697
ML-CFC COMMERCIAL MORTGAGE TRUST 2006-4 5.166% 12/12/2049$335,804
UBS AG/STAMFORD CT 7.625% 08/17/2022$334,964
BMW FLOORPLAN MASTER OWNER TRUST .698% 07/15/2020$318,111
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$316,668
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.844% 03/25/2028$306,836
PNC BANK NA 3.25% 06/01/2025$303,498
CITIZENS BANK NA/PROVIDENCE RI 2.3% 12/03/2018$300,552
ACTAVIS FUNDING SCS 1.158% 09/01/2016$300,370
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$295,205
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.129% 04/25/2035$284,382
RELIANCE HOLDING USA INC 5.4% 02/14/2022$272,942
JPMORGAN CHASE & CO 3.2% 01/25/2023$268,726
CITIGROUP INC 3.3% 04/27/2025$268,566
ACTAVIS FUNDING SCS 3.8% 03/15/2025$268,154
AT&T INC 3% 02/15/2022$264,262
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$264,175
AMERICAN TOWER CORP 4.7% 03/15/2022$264,089
ALTRIA GROUP INC 2.625% 01/14/2020$264,068
BECTON DICKINSON AND CO 3.734% 12/15/2024$263,847
TYSON FOODS INC 2.65% 08/15/2019$263,702
METLIFE INC 4.368% 09/15/2023$263,630
BANK OF AMERICA CORP 4% 04/01/2024$263,554
JPMORGAN CHASE & CO 3.875% 02/01/2024$263,340
SOCIETE GENERALE SA 5.2% 04/15/2021$263,190
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$262,793
MORGAN STANLEY 3.875% 04/29/2024$262,453
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$262,081
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$261,712
HARTFORD FINANCIAL SERVICES GROUP INC/TH 5.125% 04/15/2022$260,545
BAXTER INTERNATIONAL INC 1.85% 06/15/2018$259,899
MORGAN STANLEY 2.65% 01/27/2020$259,826
CHEVRON CORP 2.411% 03/03/2022$259,121
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$258,337
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 1.118% 06/15/2029$258,258
SANTANDER HOLDINGS USA INC/PA 2.65% 04/17/2020$258,088
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-SGP 1.894% 07/15/2036$257,816
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$257,809
LINCOLN NATIONAL CORP 4% 09/01/2023$257,737
DIRECTV HOLDINGS LLC / DIRECTV FINANCING 5.875% 10/01/2019$257,477
SPRINT CAPITAL CORP 6.9% 05/01/2019$257,250
TIME WARNER INC 3.55% 06/01/2024$256,351
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2015-B 1.91% 03/16/2020$256,287
BNP PARIBAS SA 5% 01/15/2021$255,787
KLA-TENCOR CORP 4.65% 11/01/2024$255,122
PERRIGO FINANCE PLC 3.5% 12/15/2021$254,994
BANK OF AMERICA CORP 5.625% 07/01/2020$254,797
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$253,566
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$251,817
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENL 4.375% 08/04/2025$251,792
HALLIBURTON CO 3.375% 11/15/2022$251,443
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$250,928
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$250,094
VERIZON COMMUNICATIONS INC 7.35% 04/01/2039$249,268
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.989% 08/10/2045$248,781
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$248,483
VIACOM INC 3.875% 04/01/2024$248,471
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$245,555
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$241,081
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.949% 10/25/2024$239,924
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$239,888
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.749% 10/25/2024$237,907
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.9745% 07/25/2028$235,572
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$232,512
CONOCOPHILLIPS 6% 01/15/2020$231,464
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.199% 08/25/2024$229,815
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$225,775
CVS HEALTH CORP 3.875% 07/20/2025$225,044
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$224,139
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.2216% 05/25/2028$219,739
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.921% 04/25/2028$219,108
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.949% 09/25/2024$219,012
GILEAD SCIENCES INC 3.65% 03/01/2026$215,914
CAPITAL ONE MULTI-ASSET EXECUTION TRUST 1.6% 05/17/2021$214,505
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$213,648
SANTANDER UK PLC 5% 11/07/2023$202,166
GOLDMAN SACHS GROUP INC/THE 1.925% 11/29/2023$201,473
MCGRAW HILL FINANCIAL INC 4.4% 02/15/2026$200,955
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$199,944
REYNOLDS AMERICAN INC 4% 06/12/2022$198,590
GLENCORE FUNDING LLC 4% 04/16/2025$198,353
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$197,782
H/2 ASSET FUNDING LTD SERIES 2015-1 1.861% 06/24/2049$196,503
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 3.801% 08/15/2048$195,071
STANDARD CHARTERED PLC 6.409% 01/30/2017$193,500
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$193,038
KOHL'S CORP 4.25% 07/17/2025$188,730
NEWMONT MINING CORP 4.875% 03/15/2042$185,609
SOCIETE GENERALE SA 8%$183,494
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$181,366
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$180,190
ABBVIE INC 3.6% 05/14/2025$175,932
HYUNDAI AUTO LEASE SECURITIZATION TRUST 1.4% 11/15/2018$175,121
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$173,018
WORLD FINANCIAL NETWORK CREDIT CARD MAST 2.55% 06/17/2024$172,306
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$172,037
AMERICAN INTERNATIONAL GROUP INC 6.4% 12/15/2020$171,378
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$168,525
METLIFE INC 5.25% 06/15/2020$167,300
SPECTRUM BRANDS INC 5.75% 07/15/2025$164,106
HCA INC 6.5% 02/15/2020$160,979
BARCLAYS DRYROCK ISSUANCE TRUST 1.56% 03/15/2021$158,443
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$155,746
GENERAL MOTORS CO 3.5% 10/02/2018$154,693
HERTZ VEHICLE FINANCING LLC 2.02% 09/25/2019$153,882
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$153,520
BANK OF AMERICA CORP 6.5% 10/23/2024$153,188
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.199% 05/25/2025$152,751
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$152,536
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 4.62% 12/15/2047$152,178
SONIC AUTOMOTIVE INC 5% 05/15/2023$152,000
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 4.819238% 11/15/2048$151,350
KLX INC 5.875% 12/01/2022$149,370
DIRECTV HOLDINGS LLC / DIRECTV FINANCING 5.15% 03/15/2042$148,906
PLAINS ALL AMERICAN PIPELINE LP / PAA FI 3.6% 11/01/2024$146,325
CCO SAFARI II LLC 4.908% 07/23/2025$143,837
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$141,277
ENTERGY CORP 4% 07/15/2022$137,719
BIOGEN INC 3.625% 09/15/2022$137,654
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.1765% 08/25/2028$136,671
FREEPORT-MCMORAN INC 4.55% 11/14/2024$134,275
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-1 8.2% 02/15/2023$129,700
VALEANT PHARMACEUTICALS INTERNATIONAL IN 6.125% 04/15/2025$126,281
DRIVE AUTO RECEIVABLES TRUST 2015-D 1.23% 06/15/2018$121,430
BELLEMEADE RE LTD 2.689% 07/25/2025$115,450
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.372% 05/15/2047$113,817
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.749% 02/25/2025$110,667
CELGENE CORP 3.875% 08/15/2025$108,441
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 4.456949% 04/10/2046$107,733
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$106,328
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.699% 07/25/2025$105,345
MACQUARIE EQUIPMENT FUNDING TRUST 2014-A .8% 11/21/2016$103,394
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2015-3 1.74% 09/15/2021$103,061
REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU 5.75% 10/15/2020$103,000
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$101,707
VOLKSWAGEN CREDIT AUTO MASTER TRUST 0.54425% 07/22/2019$98,510
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.7435% 04/25/2028$97,648
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,099
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.802481% 11/15/2045$93,708
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.739% 08/12/2043$91,844
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2 1.2% 12/17/2018$90,900
NAVIENT CORP 7.25% 01/25/2022$86,806
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.066% 11/25/2025$85,543
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$82,723
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2015-3 1.42% 05/17/2021$80,971
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$78,961
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$78,855
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 5.88783% 01/10/2045$72,258
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 2.966% 11/25/2025$70,602
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.3765% 08/25/2028$64,927
ADVANCED MICRO DEVICES INC 6.75% 03/01/2019$63,210
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.8935% 04/25/2028$61,948
DRIVE AUTO RECEIVABLES TRUST 2015-B .93% 12/15/2017$56,892
DRIVE AUTO RECEIVABLES TRUST 2015-C 1.03% 02/15/2018$50,544
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-SD1 0.971% 11/25/2050$37,274
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$28,999
CENOVUS ENERGY INC 5.7% 10/15/2019$28,818
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2026$5,138
PARK PLACE SECURITIES INC ASSET-BACKED P 1.219% 12/25/2034$1,842
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$18,202,920
FEDERAL HOME ZERO 03/16$699,994
UNITED STATES ZERO 03/16$529,923
UNITED STATES ZERO 03/16$260,989
 
Other
Holding NameMarket Value
USD CCP COLL VM CREDIT SU$1,462,281
SWAP CASH COLLATERAL USD$609,000
IRS USD FIXED 1.81 6/9/2020 MSCME$453,290
IRS NZD FIXED 3.37 6/9/2017 MSCME$372,594
IRS AUD FIXED 2.10 05/17 MSCME$340,659
IRS CAD FIXED1.04 05/17 MSCME$317,518
IRS CAD FIXED 1.05 6/5/2017 MSCME$295,125
IRS AUD FIXED 2.22 6/9/2017 MSCME$266,930
IRS GBP FLOAT 1.65 6/5/2020 MSCME$226,278
USD CCP COLL IM MS$205,930
USD FOR CDX$178,927
USD - FOR FUTURES$108,202
USD$69,203
CANADIAN DOLLAR$49,008
IRS AUD FLOAT 3.08 05/25 MSCME$48,905
IRS NZD FLOAT 4.07 6/9/2025 MSCME$44,200
IRS AUD FLOAT 1.92 10/30/2017 JPCME$30,052
IRS USD FLOAT 1.81 6/9/2020 MSCME$28,812
PUT ON 30 YEAR US TREASURY BONDS PUT USD 162 22/APR/2016$27,000
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$26,507
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$23,194
PUT ON 30 YEAR US TREASURY BONDS PUT USD 164 22/APR/2016$23,063
IRS GBP FIXED 2.49 6/9/2025 MSCME$20,413
IRS NZD FIXED 4.07 6/9/2025 MSCME$17,680
CALL ON 10 YEAR US TREASURY NOTES CALL USD 132$15,250
US 10YR NOTE (CBT) BOND JUN21 (TYM6) COMDTY$14,794
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$14,618
JAPANESE YEN$13,116
US ULTRA BOND CBT BOND JUN16 WNM6 COMDTY$8,277
IRS USD FIXED 1.81 6/9/2020 MSCME$6,753
US LONG BOND(CBT) BOND JUN16 (USM6) COMDTY$5,104
CURRENCY CONTRACT$2,094
BRITISH POUND$1,240
CANADIAN DOLLAR$706
AUSTRALIAN DOLLAR$399
IRS USD FIXED 2.5 MS 6/15/2046 CME$160
CURRENCY CONTRACT$99
INF IFSUSD FIXED 1.39 7/15/2018 CITI$97
US 10YR ULTRA FUT BOND JUN16 (UXYM6) COMDTY$89
EURO$25
INF IFSUSD FLOAT 1.75 4/15/2020 CITI$0
INF IFSUSD FLOAT 1.71 4/15/2019 CITI$0
INF IFSUSD FLOAT 1.39 7/15/2018 CITI$0
INF IFSUSD FLOAT 1.9 1/15/2020 CITI$0
INF IFS USD FLOAT 1.95 7/15/2020 CITI$0
CMBX.NA.BBB USD 5/11/2063 CT FLOAT CDS$0
INF IFSUSD FLOAT 1.96 7/15/2021 CITI$0
INF IFSUSD FLOAT 1.96 1/15/2023 CITI$0
INF IFSUSD FLOAT 1.95 7/15/2021 CITI$0
INF IFSUSD FLOAT 1.89 1/15/2022 CITI$0
INF IFSUSD FLOAT 1.92 7/15/2022 CITI$0
INF IFSUSD FLOAT 1.9 7/15/2022 CITI$0
US 5YR NOTE (CBT) BOND MAR16 (FVH6) COMDTY$-123
IRS USD FIXED 2.69 8/6/2045 MSCME$-280
IRO USD P 1 6/27/2017 MS$-552
US 5YR NOTE (CBT) BOND JUN16 (FVM6) COMDTY$-605
US 10YR ULTRA FUT BOND MAR16 (UXYH6) COMDTY$-700
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-850
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-1,400
US 5YR NOTE (CBT) BOND JUN16 (FVM6) COMDTY$-1,439
IRO USD P 1.0 6/24/2016 MS$-1,573
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-1,600
IRS USD FIXED 2 MS 12/16/2020 CME$-1,651
IRO USD P 1.15 7/5/2016 GS$-1,652
CAN 10YR BOND FUT BOND 21/JUN/2016 CNM6 COMDTY$-2,211
IRS USD FIXED 2.72 11/10/2045 MSCME$-3,606
IRS USD FIXED 2.63 11/10/2035 MSCME$-4,622
CALL ON 10 YEAR US TREASURY NOTES CALL USD 133.5$-4,766
CURRENCY CONTRACT$-6,763
INF INF SWAP US 1.725 03/04/15-4Y DUB$-7,584
IRO USD P 2.6075 11/15/2018 MS$-8,864
IRO USD P 1.5 7/5/16 CB$-8,999
CURRENCY CONTRACT$-9,094
IRO USD P 2.25 11/15/2018 MS$-9,661
IRO USD P 2.59 12/10/2018 MS$-9,689
IRS AUD FIXED 3.08 05/25 MSCME$-10,131
INF IFSUSD 1.4725 11/21/2016 DB$-10,348
AUD CCP COLL VM MS$-10,587
IRO USD P 2.25 12/10/2018 MS$-10,765
IRO USD P 1.25 7/5/2016 DB$-11,758
IRS USD FLOAT 1.81 6/9/2020 MSCME$-14,574
IRO USD P 2.605 10/17/2018 MS$-18,591
IRS USD FLOAT 2.69 8/6/2045 MSCME$-20,395
IRO USD P 2.25 10/17/2018 MS$-22,799
INF IFSUSD 1.825 11/16 BPS$-32,688
INF IFSUSD 1.935 10/23/2016 RBS$-33,089
CMBX.NA.BBB USD 5/11/2063 CT FIXED CDS$-33,315
IRS AUD FIXED 1.92 10/30/2017 JPCME$-37,636
EURO-BOBL FUTURE BOND 08/MAR/2016 OEH6 COMDTY$-41,655
INF IFSUSD FIXED 1.71 4/15/2019 CITI$-42,950
EURO - FOR FUTURES$-43,237
INF IFSUSD FIXED 1.9 1/15/2020 CITI$-52,823
INF IFSUSD FIXED 1.96 1/15/2023 CITI$-60,795
INF IFSUSD 1.860 11/05/16 DUB$-61,642
IRS USD FLOAT 2.72 11/10/2045 MSCME$-61,826
IRS USD FLOAT 2.63 11/10/2035 MSCME$-62,555
INF IFS USD FIXED 1.95 7/15/2020 CITI$-64,846
IRS USD FIXED 2.75 CS 06/17/2025 CME$-66,916
IRS GBP FLOAT 2.49 6/9/2025 MSCME$-68,318
INF IFS SWP:USD 2.5 7/15/22 DUB$-68,530
INF IFSUSD 1.825 11/29/16 DUB$-71,149
INF IFSUSD 2.1725 11/01/2018 DUB$-73,227
IRS USD FIXED 3.75 CS 6/18/2044 CME$-88,318
INF IFSUSD 1.93 02/10/2017 DB$-89,638
INF IFSUSD FIXED 1.96 7/15/2021 CITI$-90,058
INF IFSUSD FIXED 1.89 1/15/2022 CITI$-100,079
INF IFSUSD 1.73 04/15/2016 GS$-103,920
INF IFSUSD 1.845 11/29/16 DUB$-110,015
IRS USD FIXED 3.25 CS 06/17/2045 CME$-110,223
INF IFSUSD FIXED 1.9 7/15/2022 CITI$-121,965
IRS GBP FIXED 1.65 6/5/2020 MSCME$-136,695
INF IFSUSD FIXED 1.95 7/15/2021 CITI$-137,620
INF IFSUSD FIXED 1.75 4/15/2020 CITI$-138,741
INF IFSUSD FIXED 1.92 7/15/2022 CITI$-165,212
INF IFSUSD 1.55 11/05/16 RBS$-167,414
INF IFSUSD 1.93 10/31/2016 RBS$-175,026
IRO USD P 2.6825 12/11/2017 MYC$-175,364
IRO USD P 2.5 12/11/2017 MYC$-223,801
IRS USD FIXED 3.5 12/18/43 GS CME$-245,085
IRS AUD FLOAT 2.22 6/9/2017 MSCME$-256,983
USD CCP COLL VM MS$-257,307
INF IFSSWP:USD 2.25 7/15/17 RBS$-264,046
IRS USD 2.75 FIXED 6/19/43 MS CME$-267,429
IRS AUD FLOAT 2.10 05/17 MSCME$-297,871
INF IFSUSD 2.205 10//11/2018 GS$-300,755
IRS CAD FLOAT 1.05 6/5/2017 MSCME$-308,202
IRS CAD FLOAT 1.04 05/17 MSCME$-319,104
INF IFSSWP:USD 2.25 7/15/17 BPS$-323,840
INF INF USD P 2.5 07-15-2022 BPS$-418,524
IRS NZD FLOAT 3.37 6/9/2017 MSCME$-450,882
IRS USD FIXED 3.50 CS 12/17/2044 CME$-616,716
 

Statistics

Duration and Maturity As of May 31, 2016
StatisticValue
Average Effective Duration6.44 years
Average Effective Maturity9.31 years
Portfolio Statistics As of Jun 30, 2016
Statistic3-Year5-Year
Beta1.010.98
Alpha-0.73-0.60
Standard Deviation4.314.93
 
 

Footnotes

1.

Please read the fund's prospectus carefully for a complete summary of all fees, expenses, financial highlights, investment objectives and strategies, risks and performance information. The prospectus contains this and other information about the investment company. Investing involves risk, including possible loss of the amount invested. Investors should carefully consider the information contained in the prospectus before investing. You can obtain a prospectus, statement of additional information and other information about the Vantagepoint Funds online at www.icmarc.org/vpprospectus, by calling 800-669-7400 or emailing investorservices@icmarc.org. The Vantagepoint Funds are distributed by ICMA-RC Services LLC, a wholly owned broker-dealer subsidiary of ICMA-RC and member FINRA/SIPC.

The source for this information is Morningstar, Inc. Copyright © 2016 Morningstar, Inc.® All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Morningstar, Inc. is a global investment research firm that is not affiliated with ICMA-RC. ICMA-RC does not independently verify Morningstar data.

Morningstar places funds in certain categories based on the fund's historical portfolio holdings. Placement of a fund in a particular Morningstar category does not mean that the fund will remain in that category or that it will invest primarily in securities consistent with its Morningstar category. A fund's investment strategy and portfolio holdings are governed by its prospectus, guidelines or other governing documents, not its Morningstar category.