Fund Facts  

Inception Date: Jul 1, 1992
Ticker Symbol: VPTSX
Registration Date: Mar 1, 1999
Morningstar Category:Inflation-Protected Bond
As of Aug 31, 2016
Fund Net Assets ($millions) $528

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 Risk Glossary for additional 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
Bloomberg Barclays U.S. Treasury Inflation-Linked Bond Index (Series-L)a,b0.96%7.27%6.58%2.40%1.93%4.48%N/A
Morningstar Inflation-Protected Bonda,c1.15%6.39%5.74%1.35%1.19%3.49%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 Bloomberg 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
Aug 31, 2016Aug 31, 2016$0.025783000
Jul 29, 2016Jul 29, 2016$0.032047000
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
 

Morningstar Information

Morningstar RatingTM   As of Aug 31, 2016
Period Stars Category Size
Overall 3 Stars208
3-Year 3 Stars208
5-Year 3 Stars181
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 Aug 31, 2016
Fixed Income Stylebox
High Moderate
Allocation of Assets As of Aug 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 Aug 31, 2016
Asset ClassPercent
Domestic Stock0.0%
Foreign Stock0.0%
Domestic Bond93.3%
Foreign Bond1.5%
Preferred0.0%
Convertible0.0%
Cash5.2%
Other0.0%

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

 
Fixed Income Sector As of Aug 31, 2016
SectorPercent
Government84.1%
Corporate5.6%
Cash & Equivalents5.2%
Securitized5.1%
Derivative0.0%

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

 
Credit Quality As of Oct 31, 2016
Quality LevelPercent
AAA91.5%
AA0.2%
A1.7%
BBB5.0%
BB0.7%
B0.6%
Below B0.0%
Not Rated0.3%

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

 
Top Ten Holdings As of Oct 31, 2016
Holding NamePercent
IRS NOK FLOAT .95 5/12/2018 MSCME11.7%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 07/15/20215.7%
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/20275.3%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/20195.0%
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/20295.0%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.375% 07/15/20234.8%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 01/15/20234.4%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/20244.4%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/20224.1%
IRS NOK FLOAT 1.01 5/19/2018 MSCME3.9%
All Holdings As of Oct 31, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 07/15/2021$29,725,865
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$27,188,094
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2019$25,900,131
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$25,751,088
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.375% 07/15/2023$24,649,008
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 01/15/2023$23,007,242
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2024$22,603,375
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2022$21,109,251
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.375% 07/15/2025$18,963,251
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$17,669,807
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$16,345,395
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$16,236,648
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$16,039,905
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75% 02/15/2042$15,606,324
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2024$15,056,160
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$12,574,607
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,051,529
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2020$9,917,509
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 01/15/2022$9,502,136
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25% 01/15/2025$9,046,832
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$7,930,311
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2018$7,880,567
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$7,845,880
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,376,609
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$7,296,902
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2026$6,690,672
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$6,341,132
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,659,744
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2021$5,376,222
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,490,843
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 02/15/2043$2,833,154
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75% 02/15/2045$2,277,231
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2026$1,914,931
KINDER MORGAN INC/DE 2% 12/01/2017$1,907,328
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,904,596
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.194% 05/25/2036$1,281,182
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,249,874
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$950,413
VOLT XLII LLC 4.25% 03/26/2046$830,956
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$727,315
INTESA SANPAOLO SPA 2.375% 01/13/2017$700,664
INTESA SANPAOLO SPA 6.5% 02/24/2021$561,479
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 3.137% 02/10/2048$539,613
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$531,891
PORSCHE INNOVATIVE LEASE OWNER TRUST 2015-1 2.95% 05/21/2021$529,524
HARLEY-DAVIDSON MOTORCYCLE TRUST 2015-2 1.3% 03/16/2020$527,896
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$527,528
ACTAVIS FUNDING SCS 3.45% 03/15/2022$519,718
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2015-2 1.31% 08/15/2019$516,712
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 1.98% 01/15/2022$503,965
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$501,483
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.006% 03/20/2036$482,682
GM FINANCIAL AUTOMOBILE LEASING TRUST 2015-2 1.68% 12/20/2018$482,612
COLT 2016-1 MORTGAGE LOAN TRUST 3% 05/25/2046$449,072
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.134% 12/25/2027$437,150
REALKREDIT DANMARK A/S 0.699% 03/25/2036$419,328
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$409,352
DEUTSCHE BANK AG 4.25% 10/14/2021$403,080
NAVIENT STUDENT LOAN TRUST 2016-7 0% 03/25/2066$400,492
LLOYDS BANKING GROUP PLC 3.1% 07/06/2021$381,093
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 12/15/2047$380,441
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$378,832
NEW VALLEY GENERATION I 7.299% 03/15/2019$374,889
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2015-1 1.82% 09/15/2020$372,842
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$369,422
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2014-A 1.31% 05/15/2019$367,168
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$361,200
FEDERAL NATIONAL MORTGAGE ASSOCIATION 0.906% 07/20/2019$350,265
AMERICAN EXPRESS CREDIT CORP 1.035% 07/15/2020$318,682
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$317,260
SPRINT CAPITAL CORP 6.9% 05/01/2019$316,500
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.184% 03/25/2028$316,138
PNC BANK NA 3.25% 06/01/2025$312,705
ING BANK NV 2.625% 12/05/2022$308,123
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2007-LDP10 5.439% 01/15/2049$306,403
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$298,978
KLA-TENCOR CORP 4.65% 11/01/2024$283,558
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$282,217
RELIANCE HOLDING USA INC 5.4% 02/14/2022$279,367
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$277,819
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$277,056
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$276,130
CITIGROUP INC 3.3% 04/27/2025$275,068
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$274,557
JPMORGAN CHASE & CO 3.2% 01/25/2023$274,100
BANK OF AMERICA CORP 4% 04/01/2024$272,892
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$272,858
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 4.42% 06/15/2021$272,163
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.084% 07/25/2028$272,163
LINCOLN NATIONAL CORP 4% 09/01/2023$271,916
METLIFE INC 4.368% 09/15/2023$271,682
GLENCORE FUNDING LLC 4% 04/16/2025$271,356
ACTAVIS FUNDING SCS 3.8% 03/15/2025$270,303
MORGAN STANLEY 3.875% 04/29/2024$270,184
TIME WARNER INC 3.55% 06/01/2024$269,763
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$269,356
AT&T INC 3% 02/15/2022$269,079
JPMORGAN CHASE & CO 3.875% 02/01/2024$268,403
NEWELL BRANDS INC 3.15% 04/01/2021$267,879
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$267,813
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$267,162
SANTANDER HOLDINGS USA INC 2.65% 04/17/2020$267,019
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.284% 10/25/2024$266,878
ALTRIA GROUP INC 2.625% 01/14/2020$266,642
HARTFORD FINANCIAL SERVICES GROUP INC/THE 5.125% 04/15/2022$266,227
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$265,963
TYSON FOODS INC 2.65% 08/15/2019$265,962
PERRIGO FINANCE UNLIMITED CO 3.5% 12/15/2021$265,645
SOCIETE GENERALE SA 5.2% 04/15/2021$265,511
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$265,466
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$264,936
MORGAN STANLEY 2.65% 01/27/2020$264,764
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.084% 10/25/2024$264,654
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.334% 05/25/2028$264,218
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$264,098
COOPERATIEVE RABOBANK UA 4.375% 08/04/2025$263,782
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.234% 04/25/2028$262,203
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-INN 1.455% 06/15/2029$261,599
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.534% 08/25/2024$261,354
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-SGP 2.235% 07/15/2036$261,202
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.184% 10/25/2028$260,449
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$260,204
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$259,094
BANK OF AMERICA CORP 5.625% 07/01/2020$257,639
NATIONWIDE BUILDING SOCIETY 4% 09/14/2026$257,000
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2015-B 1.91% 03/16/2020$256,870
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$255,762
BNP PARIBAS SA 5% 01/15/2021$255,760
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.284% 09/25/2024$255,295
AT&T INC 5.875% 10/01/2019$254,909
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$254,086
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.464% 04/25/2035$251,323
NEWMONT MINING CORP 4.875% 03/15/2042$249,193
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.334% 03/25/2029$248,001
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$247,359
CONOCOPHILLIPS 6% 01/15/2020$247,143
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$244,988
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.794% 08/10/2045$240,387
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.534% 07/25/2025$229,276
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$217,245
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$212,984
S&P GLOBAL INC 4.4% 02/15/2026$212,190
SANTANDER UK PLC 5% 11/07/2023$207,865
CROWN CASTLE TOWERS LLC 7.284% 08/25/2028$206,557
SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC 3.36% 03/20/2023$206,538
UBS GROUP FUNDING JERSEY LTD 2.661% 04/14/2021$206,508
LLOYDS BANKING GROUP PLC 4.65% 03/24/2026$206,246
PETROLEOS MEXICANOS 4.625% 09/21/2023$204,703
CREDIT AGRICOLE SA 4.375% 03/17/2025$204,695
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$204,166
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$202,553
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$201,950
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.92% 06/24/2049$200,519
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C31 3.801% 08/15/2048$200,026
STANDARD CHARTERED PLC 6.409% 01/30/2017$194,750
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV 2.8% 07/21/2023$193,165
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.6% 11/01/2024$187,573
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 4.534% 05/25/2025$186,055
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$182,303
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$181,687
HESS CORP 4.3% 04/01/2027$178,568
ABBVIE INC 3.6% 05/14/2025$175,707
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.534% 05/25/2025$170,773
SPECTRUM BRANDS INC 5.75% 07/15/2025$168,563
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.084% 02/25/2025$168,053
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.524% 04/20/2046$167,762
AT&T INC 5.15% 03/15/2042$165,724
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.574% 08/20/2046$165,235
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.452% 11/15/2049$163,191
BANK OF AMERICA CORP 6.5% 10/23/2024$162,938
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 4.471% 12/15/2047$162,919
CROWN CASTLE TOWERS LLC 7.484% 08/25/2028$162,319
HCA INC 6.5% 02/15/2020$160,950
DALLAS INDEPENDENT SCHOOL DISTRICT 5.616% 03/25/2046$160,661
WESTERN DIGITAL CORP 7.375% 04/01/2023$160,053
KLX INC 5.875% 12/01/2022$159,541
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 4.668% 11/15/2048$158,609
ALLISON TRANSMISSION INC 5% 10/01/2024$158,488
GENERAL MOTORS CO 3.5% 10/02/2018$158,181
DARLING GLOBAL FINANCE BV 6.146% 07/25/2041$157,639
SONIC AUTOMOTIVE INC 5% 05/15/2023$157,200
ALTRIA GROUP INC 7.034% 04/25/2026$156,665
SOFI CONSUMER LOAN PROGRAM 2016-3 LLC 3.05% 12/26/2025$156,324
TACO BELL FUNDING LLC 3.832% 05/25/2046$155,834
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$155,293
FANNIE MAE REMICS 5% 06/25/2045$154,531
HERTZ VEHICLE FINANCING II LP 2.02% 09/25/2019$153,280
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025$151,260
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.574% 08/20/2046$146,995
DAVITA HEALTHCARE PARTNERS INC 6.526% 03/25/2041$146,809
DANSKE BANK A/S 5.716% 09/25/2045$144,982
BAT INTERNATIONAL FINANCE PLC 4.876% 09/10/2045$144,336
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.214% 11/25/2035$143,959
CROWN CASTLE INTERNATIONAL CORP 6.434% 10/25/2028$143,355
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$143,033
ENTERGY CORP 4% 07/15/2022$141,046
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-1 8.2% 02/15/2023$138,364
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.945% 01/10/2047$137,778
SABINE PASS LIQUEFACTION LLC 5% 03/15/2027$135,660
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.654% 01/10/2045$135,224
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV 3.15% 10/01/2026$131,569
SG COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C5 3.055% 10/10/2048$121,389
BAXALTA INC 4.603% 04/10/2046$119,685
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 7.125% 06/15/2024$119,500
VALEANT PHARMACEUTICALS INTERNATIONAL INC 6.125% 04/15/2025$118,875
SOFI CONSUMER LOAN PROGRAM 2016-2 LLC 3.09% 10/27/2025$118,111
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$113,791
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9 5.372% 05/15/2047$113,540
FEDERAL HOME LOAN MORTGAGE CORP 5.875% 05/15/2037$111,641
CROWN CASTLE INTERNATIONAL CORP 6.534% 09/25/2028$110,853
CRH AMERICA INC 6.084% 04/25/2028$110,795
CELGENE CORP 3.875% 08/15/2025$110,198
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$107,648
GILEAD SCIENCES INC 3.65% 03/01/2026$107,045
MORGAN STANLEY CAPITAL I TRUST 2005-IQ9 5% 07/15/2056$106,508
VIACOM INC 4.375% 03/15/2043$105,275
FLAGSHIP CREDIT AUTO TRUST 2016-4 3.89% 11/15/2022$105,196
JPMORGAN CHASE & CO 2.295% 08/15/2021$105,139
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-3 1.84% 11/16/2020$104,942
GOLDMAN SACHS GROUP INC/THE 2.429% 11/29/2023$104,631
CGBAM COMMERCIAL MORTGAGE TRUST 2016-IMC 0% 11/15/2021$104,100
CGBAM COMMERCIAL MORTGAGE TRUST 2016-IMC 0% 11/15/2021$104,000
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2015-3 1.74% 09/15/2021$103,694
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.801% 11/15/2045$100,731
VOLKSWAGEN CREDIT AUTO MASTER TRUST 0.876% 07/22/2019$99,824
MERCEDES BENZ AUTO LEASE TRUST 2015-B 6% 07/16/2018$97,190
GOLDMAN SACHS GROUP INC/THE 2.35% 11/15/2021$96,525
NAVIENT CORP 7.25% 01/25/2022$96,306
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST 1.44% 06/15/2022$95,081
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.534% 07/25/2025$90,649
KOHL'S CORP 5.55% 07/17/2045$87,603
CENTURYLINK INC 6.45% 06/15/2021$84,728
AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET FINANCE INC 5.25% 03/15/2025$82,976
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65% 04/15/2025$81,113
NEWELL BRANDS INC 3.85% 04/01/2023$79,701
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 6.064% 01/10/2045$76,234
MICRON TECHNOLOGY INC 7.5% 09/15/2023$74,119
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 4.984% 01/25/2029$73,343
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$73,071
CENTURYLINK INC 7.5% 04/01/2024$73,063
CROWN AMERICAS LLC / CROWN AMERICAS CAPITAL CORP V 6.234% 04/25/2028$69,904
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$68,420
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.384% 11/25/2025$66,009
HANESBRANDS INC 4.625% 05/15/2024$65,400
NAVIENT CORP 6.625% 07/26/2021$60,600
CENOVUS ENERGY INC 5.7% 10/15/2019$57,310
FEDERAL HOME LOAN MORTGAGE CORP 2.034% 07/25/2025$51,011
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.284% 11/25/2025$47,998
CREDIT SUISSE USA INC 5.834% 10/25/2028$47,083
LAM RESEARCH CORP 2.8% 06/15/2021$40,772
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2015-3 1.42% 05/17/2021$40,450
FIDELITY NATIONAL INFORMATION SERVICES INC 3.5% 04/15/2023$38,577
SPX FLOW INC 5.875% 08/15/2026$34,595
SPX FLOW INC 5.625% 08/15/2024$34,553
ALTRIA GROUP INC 3.034% 07/25/2025$27,704
BMW FLOORPLAN MASTER OWNER TRUST 1.284% 11/25/2050$27,445
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2015-4 6.15% 12/17/2018$19,826
CENOVUS ENERGY INC 3% 08/15/2022$13,625
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$8,350
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.802% 08/12/2043$7,152
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2 5.542% 01/15/2049$5,223
FIDELITY NATIONAL INFORMATION SERVICES INC 5% 10/15/2025$3,382
DALLAS COUNTY HOSPITAL DISTRICT 5.566% 04/25/2046$3,249
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$9,230,896
FEDERAL HOME ZERO 11/16$1,799,838
FEDERAL HOME ZERO 01/17$1,799,023
SUMITOMO FLT 09/17$1,302,785
NATIXIS SA/NEW FLT 09/17$1,003,182
FEDERAL HOME ZERO 12/16$999,722
SUMITOMO FLT 09/17$901,743
MITSUBISHI UFJ FLT 09/17$701,441
BARCLAYS BANK FLT 09/17$600,485
 
Other
Holding NameMarket Value
IRS USD FIXED 1.81 6/9/2020 MSCME$13,208,591
IRS NZD FLOAT 2.05 7/28/2018 MSCME$9,693,345
IRS NOK FLOAT .95 5/12/2018 MSCME$7,432,885
IRS NOK FLOAT 1.01 5/19/2018 MSCME$2,472,605
IRS USD FLOAT 1.49 10/4/2026 MSCME$1,160,504
IRS NZD FIXED 2.47 7/28/2026 MSCME$1,019,530
SWAP CASH COLLATERAL USD$877,000
IRS USD FIXED 1.43 8/12/2026 MSCME$572,593
IRS USD FLOAT 2.72 11/10/2045 MSCME$366,244
IRS USD FLOAT 2.69 8/6/2045 MSCME$128,458
USD CCP COLL IM MS$116,206
US ULTRA BOND CBT BOND DEC16 (WNZ6) COMDTY$74,315
CURRENCY CONTRACT$64,384
IRS USD FIXED 2.25 MS 12/21/2046 CME$56,184
PUT ON 10 YEAR US TREASURY NOTES PUT USD 128.5$55,500
CANADIAN DOLLAR$37,110
INF USD FIXED 1.58 01/15/2025 BOA$29,878
CURRENCY CONTRACT$23,182
CURRENCY CONTRACT$20,027
CURRENCY CONTRACT$18,369
CURRENCY CONTRACT$17,898
CURRENCY CONTRACT$17,171
IRO USD P 2.6 3/29/2019 MS$15,810
CURRENCY CONTRACT$15,634
EURO-BOBL FUTURE BOND DEC16 (OEZ6) COMDTY$14,614
IRS USD FLOAT 1.61 10/11/2026 MSCME$12,545
US 10YR ULTRA FUT BOND DEC16 (UXYZ6) COMDTY$10,172
IRO USD P 2.605 10/17/2018 MS$9,404
US LONG BOND(CBT) BOND DEC16 (USZ6) COMDTY$6,750
US 5YR NOTE (CBT) BOND DEC16 (FVZ6) COMDTY$4,063
CURRENCY CONTRACT$3,412
CURRENCY CONTRACT$3,340
IRO USD P 2.59 12/10/2018 MS$3,320
IRO USD P 2.6075 11/15/2018 MS$3,202
CURRENCY CONTRACT$2,449
CURRENCY CONTRACT$2,144
IRO USD C 1.35 11/07/16 GLM$1,479
NORWEGIAN KRONE$47
EURO$9
NA.BBB USD 5/11/2063 CT FLOAT CDS$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
INF USD FIXED 1.58 01/15/2025 BOA$0
INF USD FLOAT 1.9 1/15/2020 CITI$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
INF USD FLOAT 1.71 4/15/2019 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.9 7/15/2022 CITI$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
INF USD FLOAT 1.75 4/15/2020 CITI$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
INF USD FLOAT 1.95 7/15/2020 CITI$0
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-496
CURRENCY CONTRACT$-706
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-817
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-933
IRS USD FIXED 1.61 10/11/2026 MSCME$-952
CURRENCY CONTRACT$-1,085
IRO USD P 2.25 11/15/2018 MS$-2,333
IRO USD P 2.25 12/10/2018 MS$-2,448
CURRENCY CONTRACT$-2,451
CURRENCY CONTRACT$-3,435
INF USD PAY 1.805 MYC 09/20/2026$-4,557
US 10YR NOTE (CBT )DEC16 BOND DEC16 (TYZ6)$-4,644
IRO USD P 1.25 01/09/2017 GLM$-4,784
US 2YR NOTE (CBT) BOND DEC16 (TUZ6) COMDTY$-5,156
CURRENCY CONTRACT$-6,178
IRO USD P 2.25 10/17/2018 MS$-6,509
IRO USD P 1.25 02/06/17 MYC$-6,940
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$-7,184
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$-7,431
INF USD FIXED 1.9 1/15/2020 CITI$-7,493
INF USD FIXED 1.71 4/15/2019 CITI$-7,842
IRO USD P 1.55 11/07/16 GLM$-7,847
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$-8,492
IRO USD P 2.3 3/29/2019 MS$-12,709
INF USD FIXED 1.95 7/15/2020 CITI$-14,315
CURRENCY CONTRACT$-15,634
CURRENCY CONTRACT$-17,899
CURRENCY CONTRACT$-18,369
INF USD FIXED 1.75 4/15/2020 CITI$-19,270
INF USD FIXED 1.39 7/15/2018 BARC$-20,054
INF USD FIXED 1.96 1/15/2023 CITI$-22,911
NA.BBB USD 5/11/2063 CT FIXED CDS$-23,582
INF USD FIXED 1.9 7/15/2022 CITI$-23,750
INF USD FIXED 1.89 1/15/2022 CITI$-30,408
INF USD FIXED 1.96 7/15/2021 CITI$-34,023
INF USD FIXED 1.95 7/15/2021 CITI$-36,632
INF USD FIXED 1.92 7/15/2022 CITI$-41,868
USD$-50,878
EURO$-121,802
USD CCP COLL VM MS$-127,942
IRS USD FIXED 2.69 8/6/2045 MSCME$-150,953
USD$-158,537
INF SWP:USD 2.25 7/15/17 RBS$-223,879
INF USD 2.205 10/11/2018 GS$-228,469
IRS USD FIXED 2.72 11/10/2045 MSCME$-435,556
IRS USD FLOAT 1.43 8/12/2026 MSCME$-560,000
IRS NZD FLOAT 2.47 7/28/2026 MSCME$-1,044,046
IRS USD FIXED 1.49 10/4/2026 MSCME$-1,141,274
IRS NOK FIXED 1.01 5/19/2018 MSCME$-2,463,232
IRS NOK FIXED .95 5/12/2018 MSCME$-7,397,577
IRS NZD FIXED 2.05 7/28/2018 MSCME$-9,734,659
IRS USD FLOAT 1.81 6/9/2020 MSCME$-12,880,840
All Holdings As of Sep 30, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 07/15/2021$31,343,957
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$28,720,176
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2019$28,621,760
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2024$26,974,717
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$26,589,939
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.375% 07/15/2023$24,689,158
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 01/15/2023$23,020,453
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2022$21,692,062
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$18,174,196
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.375% 07/15/2025$17,394,778
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$17,135,511
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$16,476,229
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$16,266,830
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75% 02/15/2042$15,965,798
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2024$15,627,168
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$12,694,421
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,233,599
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2020$9,913,767
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 01/15/2022$9,502,507
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25% 01/15/2025$9,086,326
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$8,077,153
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$8,002,679
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2018$7,389,667
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,380,790
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$6,340,031
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2021$5,673,614
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,662,315
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2026$5,499,189
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2026$5,163,856
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$4,715,651
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,531,646
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 02/15/2043$2,902,051
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75% 02/15/2045$2,334,335
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,905,010
KINDER MORGAN INC/DE 2% 12/01/2017$1,901,594
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES 2005-FF6 1.184% 05/25/2036$1,280,631
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,250,865
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$969,836
VOLT XLII LLC 4.25% 03/26/2046$865,864
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$730,694
INTESA SANPAOLO SPA 2.375% 01/13/2017$701,021
INTESA SANPAOLO SPA 6.5% 02/24/2021$561,479
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 3.137% 02/10/2048$546,219
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$532,464
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2015-2 1.31% 08/15/2019$530,764
PORSCHE INNOVATIVE LEASE OWNER TRUST 2015-1 1.43% 05/21/2021$528,325
HARLEY-DAVIDSON MOTORCYCLE TRUST 2015-2 1.3% 03/16/2020$528,165
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$527,597
ACTAVIS FUNDING SCS 3.45% 03/15/2022$525,553
FEDERATIVE REPUBLIC OF BRAZIL BOND FIXED 10% 01/01/2027 BRL 1000$505,745
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 1.98% 01/15/2022$504,828
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$501,730
GM FINANCIAL AUTOMOBILE LEASING TRUST 2015-2 1.68% 12/20/2018$482,298
HSBC HOME EQUITY LOAN TRUST USA 2007-1 0.992% 03/20/2036$482,244
COLT 2016-1 MORTGAGE LOAN TRUST 3% 05/25/2046$471,125
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 3.124% 12/25/2027$440,426
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 0.689% 03/25/2036$423,358
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$414,197
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$385,101
NEW VALLEY GENERATION I 7.299% 03/15/2019$383,667
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 12/15/2047$383,251
LLOYDS BANKING GROUP PLC 3.1% 07/06/2021$378,446
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2015-1 1.82% 09/15/2020$373,264
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$372,205
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2014-A 1.31% 05/15/2019$370,390
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$361,184
EXELON CORP 2.85% 06/15/2020$358,033
GE DEALER FLOORPLAN MASTER NOTE TRUST 0.892% 07/20/2019$349,955
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2007-LDP10 5.439% 01/15/2049$335,815
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$319,146
BMW FLOORPLAN MASTER OWNER TRUST 1.008% 07/15/2020$318,533
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 3.174% 03/25/2028$317,984
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$317,663
PNC BANK NA 3.25% 06/01/2025$316,187
ING BANK NV 2.625% 12/05/2022$311,354
SPRINT CAPITAL CORP 6.9% 05/01/2019$310,875
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$286,466
KLA-TENCOR CORP 4.65% 11/01/2024$285,085
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$282,795
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 6.875% 09/25/2028$282,149
RELIANCE HOLDING USA INC 5.4% 02/14/2022$281,985
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$278,855
CITIGROUP INC 3.3% 04/27/2025$278,244
AMERICAN TOWER CORP 4.7% 03/15/2022$278,212
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$277,187
BECTON DICKINSON AND CO 3.734% 12/15/2024$277,029
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$276,925
TIME WARNER INC 3.55% 06/01/2024$276,669
JPMORGAN CHASE & CO 3.2% 01/25/2023$276,563
ACTAVIS FUNDING SCS 3.8% 03/15/2025$275,657
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$275,587
BANK OF AMERICA CORP 4% 04/01/2024$275,238
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 6.074% 07/25/2028$275,235
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$274,743
AT&T INC 3% 02/15/2022$273,960
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$273,683
MORGAN STANLEY 3.875% 04/29/2024$273,169
LINCOLN NATIONAL CORP 4% 09/01/2023$272,226
CHEVRON CORP 2.411% 03/03/2022$272,066
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 4.42% 06/15/2021$272,014
METLIFE INC 4.368% 09/15/2023$271,750
JPMORGAN CHASE & CO 3.875% 02/01/2024$269,834
GLENCORE FUNDING LLC 4% 04/16/2025$269,344
SANTANDER HOLDINGS USA INC 2.65% 04/17/2020$268,825
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$268,269
ALTRIA GROUP INC 2.625% 01/14/2020$268,140
NEWELL BRANDS INC 3.15% 04/01/2021$268,034
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.324% 05/25/2028$267,921
SOCIETE GENERALE SA 5.2% 04/15/2021$267,831
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.274% 10/25/2024$267,488
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$267,317
HARTFORD FINANCIAL SERVICES GROUP INC/THE 5.125% 04/15/2022$267,280
TYSON FOODS INC 2.65% 08/15/2019$266,781
MITSUBISHI UFJ FINANCIAL GROUP INC 2.553% 03/01/2021$266,494
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$266,386
PERRIGO FINANCE UNLIMITED CO 3.5% 12/15/2021$265,953
MORGAN STANLEY 2.65% 01/27/2020$265,895
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.224% 04/25/2028$265,658
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.074% 10/25/2024$265,457
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$265,151
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$264,858
COOPERATIEVE RABOBANK UA 4.375% 08/04/2025$264,303
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.174% 10/25/2028$263,315
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.524% 08/25/2024$261,883
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$260,837
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-SGP 2.208% 07/15/2036$260,807
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-INN 1.428% 06/15/2029$260,786
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$260,734
NATIONWIDE BUILDING SOCIETY 4% 09/14/2026$259,341
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.274% 09/25/2024$259,298
BANK OF AMERICA CORP 5.625% 07/01/2020$258,409
AT&T INC 5.875% 10/01/2019$257,504
BNP PARIBAS SA 5% 01/15/2021$257,495
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$257,113
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2015-B 1.91% 03/16/2020$256,841
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.454% 04/25/2035$254,232
NEWMONT MINING CORP 4.875% 03/15/2042$253,814
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.324% 03/25/2029$252,282
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$249,399
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$248,414
CONOCOPHILLIPS 6% 01/15/2020$248,273
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.988% 08/10/2045$243,149
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$240,731
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.524% 07/25/2025$231,182
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$216,930
S&P GLOBAL INC 4.4% 02/15/2026$213,836
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$213,616
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.274% 08/25/2028$209,790
SANTANDER UK PLC 5% 11/07/2023$209,111
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$207,372
BNP PARIBAS SA 4.375% 05/12/2026$207,232
PETROLEOS MEXICANOS 4.625% 09/21/2023$205,543
UBS GROUP FUNDING JERSEY LTD 2.453% 04/14/2021$205,037
CREDIT AGRICOLE SA 4.375% 03/17/2025$204,862
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C31 3.801% 08/15/2048$203,496
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$203,029
CVS HEALTH CORP 3.875% 07/20/2025$202,853
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$201,000
H/2 ASSET OTHER SECURED LOANS 1.718% 06/24/2049$200,852
REYNOLDS AMERICAN INC 4% 06/12/2022$200,145
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV 2.8% 07/21/2023$196,805
STANDARD CHARTERED PLC 6.409% 01/30/2017$194,500
FFMLT TRUST 2005-FF11 1.204% 11/25/2035$189,484
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.524% 05/25/2025$187,411
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.6% 11/01/2024$184,420
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$182,585
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$181,651
HESS CORP 4.3% 04/01/2027$180,765
ABBVIE INC 3.6% 05/14/2025$180,110
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.074% 02/25/2025$177,965
AT&T INC 5.15% 03/15/2042$174,242
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.524% 05/25/2025$171,975
SPECTRUM BRANDS INC 5.75% 07/15/2025$168,175
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.568% 08/20/2046$167,407
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 4.62% 12/15/2047$165,988
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.452% 11/15/2049$165,146
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.474% 08/25/2028$164,399
BANK OF AMERICA CORP 6.5% 10/23/2024$162,656
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 4.819% 11/15/2048$162,650
KLX INC 5.875% 12/01/2022$162,240
WESTERN DIGITAL CORP 7.375% 04/01/2023$160,965
HCA INC 6.5% 02/15/2020$160,950
ALLISON TRANSMISSION INC 5% 10/01/2024$159,263
GENERAL MOTORS CO 3.5% 10/02/2018$158,827
FANNIE MAE REMICS 6.156% 07/25/2041$158,728
SONIC AUTOMOTIVE INC 5% 05/15/2023$158,400
BELLEMEADE RE II LTD 7.024% 04/25/2026$157,160
UNITED STATES TREASURY NOTE/BOND 2.25% 08/15/2046$157,106
FANNIE MAE REMICS 5.576% 04/25/2046$156,421
TACO BELL FUNDING LLC 3.832% 05/25/2046$155,571
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$155,174
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025$154,700
HERTZ VEHICLE FINANCING II LP 2.02% 09/25/2019$153,406
FANNIE MAE REMICS 5.626% 03/25/2046$151,605
FANNIE MAE REMICS 6.536% 03/25/2041$150,287
FANNIE MAE REMICS 5.726% 09/25/2045$150,211
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8 5.039% 09/10/2045$145,800
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$145,773
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$144,641
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.424% 10/25/2028$144,252
BIOGEN INC 3.625% 09/15/2022$142,647
ENTERGY CORP 4% 07/15/2022$142,285
GS MORTGAGE SECURITIES TRUST 2014-GC18 5.107% 01/10/2047$140,696
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-1 8.2% 02/15/2023$140,043
FANNIE MAE REMICS 5% 06/25/2045$139,136
SABINE PASS LIQUEFACTION LLC 5% 03/15/2027$136,658
GS MORTGAGE SECURITIES TRUST 2012-GC6 5.835% 01/10/2045$136,454
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV 3.15% 10/01/2026$135,914
VALEANT PHARMACEUTICALS INTERNATIONAL INC 6.125% 04/15/2025$129,563
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$128,621
SOFI CONSUMER LOAN PROGRAM 2016-2 LLC 3.09% 10/27/2025$126,406
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 4.456% 04/10/2046$125,811
SG COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C5 3.055% 10/10/2048$123,496
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 7.125% 06/15/2024$119,957
FEDERAL HOME LOAN MORTGAGE CORP 5.902% 05/15/2037$117,545
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9 5.372% 05/15/2047$113,557
CELGENE CORP 3.875% 08/15/2025$112,473
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.074% 04/25/2028$112,386
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.524% 09/25/2028$111,635
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$111,029
GILEAD SCIENCES INC 3.65% 03/01/2026$109,914
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$108,909
MORGAN STANLEY CAPITAL I TRUST 2005-IQ9 5% 07/15/2056$106,680
JPMORGAN CHASE & CO 2.295% 08/15/2021$105,286
VIACOM INC 4.375% 03/15/2043$105,054
GOLDMAN SACHS GROUP INC/THE 2.429% 11/29/2023$104,854
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2015-3 1.74% 09/15/2021$103,825
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.961% 11/15/2045$101,594
VOLKSWAGEN CREDIT AUTO MASTER TRUST 0.862% 07/22/2019$99,804
NAVIENT CORP 7.25% 01/25/2022$97,256
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,215
GOLDMAN SACHS GROUP INC/THE 2.35% 11/15/2021$96,891
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST 1.44% 06/15/2022$95,115
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.524% 07/25/2025$90,820
KOHL'S CORP 5.55% 07/17/2045$88,558
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65% 04/15/2025$86,444
CENTURYLINK INC 6.45% 06/15/2021$85,024
AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET FINANCE INC 5.25% 03/15/2025$83,846
NEWELL BRANDS INC 3.85% 04/01/2023$79,947
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$76,975
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 6.14% 01/10/2045$76,836
CENTURYLINK INC 7.5% 04/01/2024$74,900
MICRON TECHNOLOGY INC 7.5% 09/15/2023$74,587
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.974% 01/25/2029$74,016
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$73,078
EBAY INC 3.8% 03/09/2022$72,806
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.224% 04/25/2028$71,041
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.374% 11/25/2025$70,729
HANESBRANDS INC 4.625% 05/15/2024$66,000
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.024% 07/25/2025$64,796
NAVIENT CORP 6.625% 07/26/2021$60,600
REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU 5.75% 10/15/2020$59,885
CENOVUS ENERGY INC 5.7% 10/15/2019$56,931
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.774% 01/25/2029$55,597
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.274% 11/25/2025$54,374
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.824% 10/25/2028$47,384
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2015-3 1.42% 05/17/2021$45,883
LAM RESEARCH CORP 2.8% 06/15/2021$41,101
BELLEMEADE RE LTD 3.024% 07/25/2025$39,763
FIDELITY NATIONAL INFORMATION SERVICES INC 3.5% 04/15/2023$38,878
SPX FLOW INC 5.625% 08/15/2024$34,595
SPX FLOW INC 5.875% 08/15/2026$34,468
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-SD1 1.274% 11/25/2050$29,265
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2015-4 1.2% 12/17/2018$27,650
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$26,190
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$17,147
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP8 5.48% 05/15/2045$15,714
CENOVUS ENERGY INC 3% 08/15/2022$13,330
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.802% 08/12/2043$7,327
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2 5.542% 01/15/2049$5,232
FIDELITY NATIONAL INFORMATION SERVICES INC 5% 10/15/2025$3,427
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$2,949
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$6,880,062
SUMITOMO FLT 09/17$1,300,891
NATIXIS SA/NEW FLT 09/17$1,002,339
SUMITOMO FLT 09/17$900,414
MITSUBISHI UFJ FLT 09/17$700,397
BARCLAYS BANK FLT 09/17$601,988
FEDERAL HOME ZERO 11/16$199,949
FEDERAL HOME ZERO 10/16$99,986
 
Other
Holding NameMarket Value
IRS NOK FLOAT .95 5/12/2018 MSCME$7,676,597
USD CCP COLL VM CREDIT SU$757,392
SWAP CASH COLLATERAL USD$501,000
IRS USD FIXED 1.81 6/9/2020 MSCME$401,873
IRS NZD FLOAT 2.05 7/28/2018 MSCME$305,858
IRS GBP FLOAT 1.65 6/5/2020 MSCME$203,412
USD CCP COLL IM MS$191,113
USD$175,186
IRO USD C 2.15 6/15/18 DB$163,022
USD FOR CDX$102,377
IRS NOK FLOAT 1.01 5/19/2018 MSCME$80,919
IRO USD P 2.6 3/29/2019 MS$80,100
IRO USD P 2.15 6/15/18 DB$76,244
US ULTRA BOND CBT BOND DEC16 (WNZ6) COMDTY$66,410
IRS AUD FIXED 3.38 6/9/2025 MSCME$56,541
IRS AUD FIXED 2.21 4/27/2018 MSCME$43,253
IRO USD P 2.605 10/17/2018 MS$43,212
IRS NZD FIXED 2.47 7/28/2026 MSCME$42,175
IRO USD P 2.765 07/16/18 MS$40,896
CANADIAN DOLLAR$37,940
IRO USD P 2.72 7/18 MS$33,729
CURRENCY CONTRACT$31,898
PUT ON 10 YEAR US TREASURY NOTES PUT USD 128.5$25,438
IRS USD FIXED 2.75 CS 6/17/2025 CME$21,030
INF USD FIXED 1.58 01/15/2025 BOA$16,498
IRO USD P 2.59 12/10/2018 MS$15,820
IRO USD P 2.6075 11/15/2018 MS$14,958
AUD CCP COLL VM MS$14,389
IRO USD P 1.25 02/06/17 MYC$10,112
US 5YR NOTE (CBT) BOND DEC16 (FVZ6) COMDTY$9,883
US LONG BOND(CBT) BOND DEC16 (USZ6) COMDTY$6,885
IRO USD P 1.25 01/09/2017 GLM$5,757
CURRENCY CONTRACT$5,251
CURRENCY CONTRACT$2,911
IRS USD FIXED 1.43 8/12/2026 MSCME$1,288
CURRENCY CONTRACT$1,086
CURRENCY CONTRACT$656
CURRENCY CONTRACT$475
CURRENCY CONTRACT$461
CURRENCY CONTRACT$459
USD CCP COLL VM UBS$327
US 10YR NOTE (CBT )DEC16 BOND DEC16 (TYZ6)$210
CURRENCY CONTRACT$54
NORWEGIAN KRONE$48
EURO$7
CANADIAN DOLLAR$1
JAPANESE YEN$1
AUSTRALIAN DOLLAR$1
INF USD FLOAT 1.9 1/15/2020 CITI$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
NA.BBB USD 5/11/2063 CT FLOAT CDS$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.9 7/15/2022 CITI$0
IRS USD FLOAT 2.75 CS 6/17/2025 CME$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
IRS USD FLOAT 1.43 8/12/2026 MSCME$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
INF USD FLOAT 1.95 7/15/2020 CITI$0
INF USD FLOAT 1.71 4/15/2019 CITI$0
INF USD FIXED 1.58 01/15/2025 BOA$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
INF USD FLOAT 1.75 4/15/2020 CITI$0
IRO USD C 1.25 10/07/16 GLM$-44
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-130
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-214
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-244
CURRENCY CONTRACT$-521
IRS USD FIXED 2.69 8/6/2045 MSCME$-616
CURRENCY CONTRACT$-920
IRS USD FIXED 2 MS 12/16/2020 CME$-1,112
INF USD PAY 1.805 MYC 09/20/2026$-1,363
IRO USD 10Y P 1.55 10/07/2016 MYC$-1,513
USD$-1,967
IRO USD P 1.5 02/06/2017 DUB$-2,032
INF USD 1.725 03/04/19 DUB$-2,943
CURRENCY CONTRACT$-3,329
CURRENCY CONTRACT$-3,881
CURRENCY CONTRACT$-3,942
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$-4,035
CURRENCY CONTRACT$-4,498
IRS USD FIXED 2.72 11/10/2045 MSCME$-4,581
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$-4,611
CURRENCY CONTRACT$-4,657
IRS USD FIXED 1.85 CS 07/27/2026 CME$-4,806
IRO USD C 1.35 11/07/16 GLM$-4,996
CURRENCY CONTRACT$-5,365
US 2YR NOTE (CBT) BOND DEC16 (TUZ6) COMDTY$-5,618
IRS AUD FLOAT 3.38 6/9/2025 MSCME$-5,671
EURO-BOBL FUTURE BOND DEC16 (OEZ6) COMDTY$-5,872
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$-7,063
IRO USD P 1.55 11/07/16 GLM$-7,230
IRS USD FIXED 2.5 MS 6/15/2046 LCH$-7,554
CURRENCY CONTRACT$-7,863
CURRENCY CONTRACT$-8,930
INF USD FIXED 1.39 7/15/2018 BARC$-14,311
IRO USD P 2.25 11/15/2018 MS$-14,384
IRO USD P 2.25 12/10/2018 MS$-15,062
US 10YR ULTRA FUT BOND DEC16 (UXYZ6) COMDTY$-15,251
INF USD FIXED 1.71 4/15/2019 CITI$-15,506
INF USD FIXED 1.9 1/15/2020 CITI$-23,630
IRS USD FLOAT 1.81 6/9/2020 MSCME$-25,819
NA.BBB USD 5/11/2063 CT FIXED CDS$-26,127
INF USD 1.935 10/23/2016 RBS$-28,916
INF USD FIXED 1.95 7/15/2020 CITI$-29,233
IRS USD FIXED 2.00 MS 07/27/2026 CME$-30,644
IRS USD FLOAT 2.69 8/6/2045 MSCME$-30,932
IRS NZD FLOAT 2.47 7/28/2026 MSCME$-33,726
INF USD FIXED 1.96 1/15/2023 CITI$-38,505
IRO USD P 2.25 10/17/2018 MS$-39,782
INF USD FIXED 1.96 7/15/2021 CITI$-47,778
INF USD FIXED 1.75 4/15/2020 CITI$-52,479
INF USD FIXED 1.89 1/15/2022 CITI$-55,809
INF USD 2.1725 11/01/2018 DUB$-58,189
INF SWP:USD 2.5 7/15/22 DUB$-61,921
INF USD FIXED 1.9 7/15/2022 CITI$-62,490
IRS NOK FIXED 1.01 5/19/2018 MSCME$-70,949
INF USD FIXED 1.95 7/15/2021 CITI$-72,735
IRO USD P 2.3 3/29/2019 MS$-77,159
INF USD FIXED 1.92 7/15/2022 CITI$-90,650
IRS USD FLOAT 2.72 11/10/2045 MSCME$-91,078
IRS AUD FLOAT 2.21 4/27/2018 MSCME$-92,793
IRS USD FIXED 3.75 CS 6/18/2044 CME$-109,421
USD CCP COLL VM MS$-115,753
EURO$-124,672
IRS GBP FIXED 1.65 6/5/2020 MSCME$-147,948
IRS USD FIXED 3.25 CS 06/17/2045 CME$-167,450
INF SWP:USD 2.25 7/15/17 RBS$-226,990
INF USD 2.205 10/11/2018 GS$-241,383
IRS USD 2.75 FIXED 6/19/43 MS CME$-331,178
IRS NZD FIXED 2.05 7/28/2018 MSCME$-348,767
IRS USD FIXED 3.50 CS 12/17/2044 CME$-773,014
IRS NOK FIXED .95 5/12/2018 MSCME$-7,639,307
All Holdings As of Aug 31, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2019$34,053,953
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 07/15/2021$32,177,838
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$28,535,411
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$26,539,884
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.375% 07/15/2023$25,088,478
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2024$23,286,512
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2022$21,916,318
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$20,263,526
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$19,104,420
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.375% 07/15/2025$17,262,220
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$16,416,547
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$16,181,645
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75% 02/15/2042$16,072,590
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2024$15,513,518
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$12,678,510
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 01/15/2023$12,322,856
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,470,242
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2020$9,835,537
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 01/15/2022$9,411,723
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$9,084,713
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$8,312,152
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25% 01/15/2025$7,765,713
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2018$7,356,652
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,322,424
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$6,295,326
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/2021$6,091,869
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$6,015,554
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,627,088
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2026$5,167,374
UNITED STATES TREASURY NOTE/BOND 1.625% 05/15/2026$4,015,780
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,527,230
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 02/15/2043$2,923,318
GOLDMAN SACHS GROUP INC/THE 3.85% 07/08/2024$2,769,156
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/2026$2,596,896
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75% 02/15/2045$2,357,883
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,905,227
KINDER MORGAN INC/DE 2% 12/01/2017$1,902,668
UNITED STATES TREASURY NOTE/BOND 1.625% 02/15/2026$1,506,357
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,476,731
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES 2005-FF6 1.184% 05/25/2036$1,277,545
BANK OF AMERICA CORP 5.75% 12/01/2017$1,157,103
UNITED STATES TREASURY NOTE/BOND 2% 02/15/2025$1,141,014
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$977,224
VOLT XLII LLC 4.25% 03/26/2046$913,535
UNITED STATES TREASURY NOTE/BOND 2.5% 02/15/2046$877,157
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$733,588
INTESA SANPAOLO SPA 2.375% 01/13/2017$701,362
INTESA SANPAOLO SPA 6.5% 02/24/2021$567,633
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 3.137% 02/10/2048$549,450
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$532,071
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2015-2 1.31% 08/15/2019$530,145
HARLEY-DAVIDSON MOTORCYCLE TRUST 2015-2 1.3% 03/16/2020$528,043
PORSCHE INNOVATIVE LEASE OWNER TRUST 2015-1 1.43% 05/21/2021$527,641
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$526,864
ACTAVIS FUNDING SCS 3.45% 03/15/2022$524,349
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 1.98% 01/15/2022$504,483
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$501,752
FEDERATIVE REPUBLIC OF BRAZIL BOND FIXED 10% 01/01/2027 BRL 1000$494,822
COLT 2016-1 MORTGAGE LOAN TRUST 3% 05/25/2046$493,216
GM FINANCIAL AUTOMOBILE LEASING TRUST 2015-2 1.68% 12/20/2018$482,348
HSBC HOME EQUITY LOAN TRUST USA 2007-1 0.992% 03/20/2036$480,313
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 3.124% 12/25/2027$440,926
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 0.689% 03/25/2036$422,878
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$417,678
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 12/15/2047$387,918
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$387,241
NEW VALLEY GENERATION I 7.299% 03/15/2019$383,667
LLOYDS BANKING GROUP PLC 3.1% 07/06/2021$378,303
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$373,890
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2015-1 1.82% 09/15/2020$371,414
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2014-A 1.31% 05/15/2019$370,104
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$361,074
EXELON CORP 2.85% 06/15/2020$357,806
GE DEALER FLOORPLAN MASTER NOTE TRUST 0.892% 07/20/2019$350,054
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2007-LDP10 5.439% 01/15/2049$346,865
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$340,714
PNC BANK NA 3.25% 06/01/2025$319,662
BMW FLOORPLAN MASTER OWNER TRUST 1.008% 07/15/2020$318,424
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 3.174% 03/25/2028$318,370
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$317,463
ING BANK NV 2.625% 12/05/2022$310,957
SPRINT CAPITAL CORP 6.9% 05/01/2019$304,500
CITIZENS BANK NA/PROVIDENCE RI 2.3% 12/03/2018$303,789
ACTAVIS FUNDING SCS 1.548% 09/01/2016$300,000
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$289,954
KLA-TENCOR CORP 4.65% 11/01/2024$285,408
RELIANCE HOLDING USA INC 5.4% 02/14/2022$283,269
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$282,725
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$279,933
CITIGROUP INC 3.3% 04/27/2025$279,598
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$278,913
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$278,847
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$278,021
BECTON DICKINSON AND CO 3.734% 12/15/2024$277,776
TIME WARNER INC 3.55% 06/01/2024$277,288
AMERICAN TOWER CORP 4.7% 03/15/2022$277,188
JPMORGAN CHASE & CO 3.2% 01/25/2023$276,740
BANK OF AMERICA CORP 4% 04/01/2024$276,319
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$276,255
ACTAVIS FUNDING SCS 3.8% 03/15/2025$275,200
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$274,876
MORGAN STANLEY 3.875% 04/29/2024$273,842
AT&T INC 3% 02/15/2022$273,693
CHEVRON CORP 2.411% 03/03/2022$273,629
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 6.074% 07/25/2028$272,250
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 4.42% 06/15/2021$272,153
JPMORGAN CHASE & CO 3.875% 02/01/2024$271,855
METLIFE INC 4.368% 09/15/2023$271,774
LINCOLN NATIONAL CORP 4% 09/01/2023$271,649
GLENCORE FUNDING LLC 4% 04/16/2025$271,364
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$270,267
SANTANDER HOLDINGS USA INC 2.65% 04/17/2020$269,844
ALTRIA GROUP INC 2.625% 01/14/2020$269,293
NEWELL BRANDS INC 3.15% 04/01/2021$268,591
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$268,382
SOCIETE GENERALE SA 5.2% 04/15/2021$268,233
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$267,713
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$267,268
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.224% 04/25/2028$267,199
MORGAN STANLEY 2.65% 01/27/2020$267,047
TYSON FOODS INC 2.65% 08/15/2019$266,967
HARTFORD FINANCIAL SERVICES GROUP INC/THE 5.125% 04/15/2022$266,764
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$266,609
MITSUBISHI UFJ FINANCIAL GROUP INC 2.553% 03/01/2021$266,137
COOPERATIEVE RABOBANK UA 4.375% 08/04/2025$265,934
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.274% 10/25/2024$265,474
PERRIGO FINANCE UNLIMITED CO 3.5% 12/15/2021$264,279
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.324% 05/25/2028$264,253
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.074% 10/25/2024$263,517
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-SGP 2.208% 07/15/2036$261,301
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-INN 1.428% 06/15/2029$261,033
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$260,727
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.174% 10/25/2028$260,682
BANK OF AMERICA CORP 5.625% 07/01/2020$260,020
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$259,479
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$259,137
AT&T INC 5.875% 10/01/2019$258,815
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.524% 08/25/2024$258,721
BNP PARIBAS SA 5% 01/15/2021$258,168
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.274% 09/25/2024$257,484
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.454% 04/25/2035$256,476
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2015-B 1.91% 03/16/2020$255,782
NEWMONT MINING CORP 4.875% 03/15/2042$253,080
CONOCOPHILLIPS 6% 01/15/2020$249,023
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$248,417
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$244,967
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$244,207
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.988% 08/10/2045$243,858
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.524% 07/25/2025$229,083
S&P GLOBAL INC 4.4% 02/15/2026$215,795
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$213,832
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$212,911
FFMLT TRUST 2005-FF11 1.204% 11/25/2035$212,480
SANTANDER UK PLC 5% 11/07/2023$210,335
GOLDMAN SACHS GROUP INC/THE 2.429% 11/29/2023$210,121
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$208,509
CVS HEALTH CORP 3.875% 07/20/2025$205,422
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C31 3.801% 08/15/2048$205,098
UBS GROUP FUNDING JERSEY LTD 2.453% 04/14/2021$203,248
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$203,148
REYNOLDS AMERICAN INC 4% 06/12/2022$201,908
H/2 ASSET OTHER SECURED LOANS 1.718% 06/24/2049$200,834
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV 2.8% 07/21/2023$197,363
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$196,500
STANDARD CHARTERED PLC 6.409% 01/30/2017$190,200
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.524% 05/25/2025$186,655
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.074% 02/25/2025$186,380
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.6% 11/01/2024$184,784
ABBVIE INC 3.6% 05/14/2025$182,356
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$182,349
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$181,502
AT&T INC 5.15% 03/15/2042$179,006
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST 2.55% 06/17/2024$172,806
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 4.62% 12/15/2047$172,163
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.524% 05/25/2025$171,584
SPECTRUM BRANDS INC 5.75% 07/15/2025$168,756
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 4.819% 11/15/2048$166,429
KLX INC 5.875% 12/01/2022$164,502
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.474% 08/25/2028$164,017
BANK OF AMERICA CORP 6.5% 10/23/2024$163,703
HCA INC 6.5% 02/15/2020$160,588
SONIC AUTOMOTIVE INC 5% 05/15/2023$160,000
WESTERN DIGITAL CORP 7.375% 04/01/2023$158,775
GENERAL MOTORS CO 3.5% 10/02/2018$158,734
FANNIE MAE REMICS 6.156% 07/25/2041$157,825
BELLEMEADE RE II LTD 7.024% 04/25/2026$156,639
TACO BELL FUNDING LLC 3.832% 05/25/2046$155,511
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$154,776
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025$154,753
HERTZ VEHICLE FINANCING II LP 2.02% 09/25/2019$153,229
FANNIE MAE REMICS 5.576% 04/25/2046$153,121
FANNIE MAE REMICS 5.726% 09/25/2045$152,558
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.274% 08/25/2028$151,912
FANNIE MAE REMICS 5.626% 03/25/2046$148,198
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$146,585
FANNIE MAE REMICS 5% 06/25/2045$145,951
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8 5.039% 09/10/2045$145,185
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$144,867
FANNIE MAE REMICS 6.536% 03/25/2041$144,091
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.424% 10/25/2028$143,871
BIOGEN INC 3.625% 09/15/2022$142,557
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$142,247
ENTERGY CORP 4% 07/15/2022$141,144
GS MORTGAGE SECURITIES TRUST 2014-GC18 5.107% 01/10/2047$140,421
GS MORTGAGE SECURITIES TRUST 2012-GC6 5.835% 01/10/2045$139,343
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-1 8.2% 02/15/2023$138,343
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV 3.15% 10/01/2026$136,219
VALEANT PHARMACEUTICALS INTERNATIONAL INC 6.125% 04/15/2025$132,188
SOFI CONSUMER LOAN PROGRAM 2016-2 LLC 3.09% 10/27/2025$127,192
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 4.456% 04/10/2046$126,066
SG COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C5 3.055% 10/10/2048$124,794
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP8 5.48% 05/15/2045$123,260
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 7.125% 06/15/2024$118,226
FEDERAL HOME LOAN MORTGAGE CORP 5.902% 05/15/2037$115,939
CELGENE CORP 3.875% 08/15/2025$113,705
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9 5.372% 05/15/2047$113,590
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$112,545
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.074% 04/25/2028$111,908
GILEAD SCIENCES INC 3.65% 03/01/2026$110,791
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.524% 09/25/2028$110,527
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$109,319
MORGAN STANLEY CAPITAL I TRUST 2005-IQ9 5% 07/15/2056$106,664
JPMORGAN CHASE & CO 2.295% 08/15/2021$105,698
VIACOM INC 4.375% 03/15/2043$103,651
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2015-3 1.74% 09/15/2021$103,451
REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU 5.75% 10/15/2020$103,375
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.961% 11/15/2045$101,786
VOLKSWAGEN CREDIT AUTO MASTER TRUST 0.862% 07/22/2019$99,784
NAVIENT CORP 7.25% 01/25/2022$99,038
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,230
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2 5.542% 01/15/2049$94,930
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65% 04/15/2025$92,031
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.524% 07/25/2025$89,958
KOHL'S CORP 5.55% 07/17/2045$89,731
ADVANCED MICRO DEVICES INC 6.75% 03/01/2019$86,860
AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET FINANCE INC 5.25% 03/15/2025$86,456
CENTURYLINK INC 6.45% 06/15/2021$85,271
NEWELL BRANDS INC 3.85% 04/01/2023$80,245
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 6.14% 01/10/2045$76,991
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$76,979
CENTURYLINK INC 7.5% 04/01/2024$76,081
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.374% 11/25/2025$74,081
MICRON TECHNOLOGY INC 7.5% 09/15/2023$74,035
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.024% 07/25/2025$74,017
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$73,913
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.974% 01/25/2029$72,956
EBAY INC 3.8% 03/09/2022$72,784
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.224% 04/25/2028$70,824
HANESBRANDS INC 4.625% 05/15/2024$67,280
FORD CREDIT AUTO LEASE TRUST 2014-B 0.89% 09/15/2017$66,842
NAVIENT CORP 6.625% 07/26/2021$62,025
CENOVUS ENERGY INC 5.7% 10/15/2019$57,000
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.774% 01/25/2029$55,187
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.274% 11/25/2025$54,764
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2015-3 1.42% 05/17/2021$52,266
BELLEMEADE RE LTD 3.024% 07/25/2025$51,259
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.802% 08/12/2043$48,519
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$47,788
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.824% 10/25/2028$47,528
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$46,552
LAM RESEARCH CORP 2.8% 06/15/2021$41,056
FIDELITY NATIONAL INFORMATION SERVICES INC 3.5% 04/15/2023$39,013
HUSKY ENERGY INC 7.25% 12/15/2019$38,907
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2015-4 1.2% 12/17/2018$36,539
SPX FLOW INC 5.875% 08/15/2026$35,190
SPX FLOW INC 5.625% 08/15/2024$35,020
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-SD1 1.274% 11/25/2050$30,215
CENOVUS ENERGY INC 3% 08/15/2022$13,381
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$7,262
DRIVE AUTO RECEIVABLES TRUST 2015-D 1.23% 06/15/2018$6,477
FIDELITY NATIONAL INFORMATION SERVICES INC 5% 10/15/2025$3,450
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$8,018,162
FEDERAL HOME ZERO 10/16$2,499,275
FEDERAL HOME ZERO 09/16$1,199,933
FEDERAL HOME ZERO 09/16$899,962
FEDERAL HOME ZERO 10/16$799,774
FEDERAL HOME ZERO 10/16$799,678
FEDERAL HOME ZERO 10/16$199,934
 
Other
Holding NameMarket Value
IRS NOK FLOAT .95 5/12/2018 MSCME$7,348,782
USD CCP COLL VM CREDIT SU$1,887,652
SWAP CASH COLLATERAL USD$709,000
IRS USD FIXED 1.81 6/9/2020 MSCME$371,280
IRS AUD FIXED 2.21 4/27/2018 MSCME$322,446
IRS NZD FLOAT 2.05 7/28/2018 MSCME$267,331
USD$258,841
USD CCP COLL IM MS$205,926
USD$194,514
IRS GBP FLOAT 1.65 6/5/2020 MSCME$188,452
USD FOR CDX$169,168
IRO USD P 2.3 3/29/2019 MS$88,261
PUT ON 10 YEAR US TREASURY NOTES PUT USD 128.5$70,313
IRO USD P 2.25 10/17/2018 MS$67,133
IRS AUD FIXED 3.08 05/25 MSCME$60,962
IRO USD C 2.15 6/15/18 DB$58,496
IRS AUD FIXED 3.38 6/9/2025 MSCME$51,200
IRS NZD FIXED 2.47 7/28/2026 MSCME$40,461
CANADIAN DOLLAR$37,956
IRS NOK FIXED 1.01 5/19/2018 MSCME$34,319
IRO USD P 2.25 12/10/2018 MS$26,409
IRO USD P 2.25 11/15/2018 MS$25,061
IRO USD C .765 12/16 MS$16,874
IRS AUD FLOAT 3.08 05/25 MSCME$13,750
IRO USD P 1.6 09/07/16 GLM$11,658
CURRENCY CONTRACT$10,317
IRO USD C 1.3 09/07/16 GLM$7,379
CURRENCY CONTRACT$5,449
INF USD FIXED 1.58 01/15/2025 BOA$4,798
IRS AUD FLOAT 3.38 6/9/2025 MSCME$4,198
IRO USD P 1.25 02/06/17 MYC$3,052
CURRENCY CONTRACT$2,693
CURRENCY CONTRACT$2,250
CURRENCY CONTRACT$1,539
CURRENCY CONTRACT$1,435
CURRENCY CONTRACT$1,371
BRITISH POUND$1,170
US 2YR NOTE (CBT) BOND DEC16 (TUZ6) COMDTY$1,160
CANADIAN DOLLAR$729
AUSTRALIAN DOLLAR$420
IRS USD FIXED 1.43 8/12/2026 MSCME$137
NORWEGIAN KRONE$46
EURO$7
JAPANESE YEN$1
INF USD FIXED 1.58 01/15/2025 BOA$0
INF USD FLOAT 1.71 4/15/2019 CITI$0
INF USD FLOAT 1.95 7/15/2020 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 1.9 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
IRS USD FLOAT 1.43 8/12/2026 MSCME$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
INF USD FLOAT 1.75 4/15/2020 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
CURRENCY CONTRACT$-55
IRO USD P 1.5 02/06/2017 DUB$-174
IRS USD FIXED 2.69 8/6/2045 MSCME$-280
US 10YR ULTRA FUT BOND DEC16 (UXYZ6) COMDTY$-325
IRO USD P 1.25 01/09/2017 GLM$-630
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-862
IRS USD FIXED 2 MS 12/16/2020 CME$-1,033
CURRENCY CONTRACT$-1,286
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-1,419
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-1,622
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$-1,849
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$-1,959
CURRENCY CONTRACT$-2,065
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$-2,113
US 5YR NOTE (CBT) BOND DEC16 (FVZ6) COMDTY$-2,459
CURRENCY CONTRACT$-2,640
IRS USD FIXED 2.72 11/10/2045 MSCME$-3,606
CURRENCY CONTRACT$-4,036
INF USD 1.725 3/04/2019 DUB$-5,001
CURRENCY CONTRACT$-5,755
INF USD FIXED 1.39 7/15/2018 BARC$-6,157
US 10YR NOTE (CBT )DEC16 BOND DEC16 (TYZ6)$-7,671
IRS USD FIXED 1.85 CS 07/27/2026 CME$-8,262
US LONG BOND(CBT) BOND DEC16 (USZ6) COMDTY$-8,609
US ULTRA BOND CBT BOND DEC16 (WNZ6) COMDTY$-9,059
IRS USD FIXED 2.5 MS 6/15/2046 LCH$-10,088
IRO USD P 2.72 7/18 MS$-11,148
IRO USD C 1.00 12/16 MS$-13,861
CURRENCY CONTRACT$-14,738
IRO USD P 2.765 07/16/18 MS$-18,443
IRS USD FLOAT 1.81 6/9/2020 MSCME$-19,024
NA.BBB USD 5/11/2063 CT FIXED CDS$-24,534
IRO USD P 2.6075 11/15/2018 MS$-26,567
IRO USD P 2.59 12/10/2018 MS$-27,704
INF USD FIXED 1.71 4/15/2019 CITI$-27,889
IRS NOK FLOAT 1.01 5/19/2018 MSCME$-28,268
INF USD 1.935 10/23/2016 RBS$-29,082
IRS NZD FLOAT 2.47 7/28/2026 MSCME$-30,003
EURO-BOBL FUTURE BOND SEP16 (OEU6) COMDTY$-33,126
IRS USD FLOAT 2.69 8/6/2045 MSCME$-34,683
USD CCP COLL VM MS$-37,539
IRS USD FIXED 2.00 MS 07/27/2026 CME$-39,512
INF USD FIXED 1.9 1/15/2020 CITI$-43,495
INF USD FIXED 1.95 7/15/2020 CITI$-50,053
INF USD FIXED 1.96 1/15/2023 CITI$-54,145
IRS USD FIXED 2.75 CS 06/17/2025 CME$-59,420
IRO USD P 2.15 6/15/18 DB$-61,459
INF USD 2.1725 11/01/2018 DUB$-64,433
INF SWP:USD 2.5 7/15/22 DUB$-67,025
INF USD FIXED 1.96 7/15/2021 CITI$-69,656
IRO USD P 2.605 10/17/2018 MS$-71,586
EURO$-82,841
INF USD FIXED 1.89 1/15/2022 CITI$-86,504
IRO USD P 2.6 3/29/2019 MS$-97,836
INF USD FIXED 1.75 4/15/2020 CITI$-99,541
IRS USD FLOAT 2.72 11/10/2045 MSCME$-102,092
INF USD FIXED 1.9 7/15/2022 CITI$-104,943
IRS USD FIXED 3.75 CS 6/18/2044 CME$-116,594
INF USD FIXED 1.95 7/15/2021 CITI$-116,970
IRS GBP FIXED 1.65 6/5/2020 MSCME$-132,113
INF USD FIXED 1.92 7/15/2022 CITI$-143,964
INF USD 1.93 10/31/2016 RBS$-155,828
IRS USD FIXED 3.25 CS 06/17/2045 CME$-186,821
INF SWP:USD 2.25 7/15/17 RBS$-237,422
INF USD 2.205 10//11/2018 GS$-265,654
INF SWP:USD 2.25 7/15/17 BPS$-291,511
IRS NZD FIXED 2.05 7/28/2018 MSCME$-297,560
IRS USD FIXED 3.5 12/18/43 GS CME$-308,526
IRS USD 2.75 FIXED 6/19/43 MS CME$-352,287
INF USD P 2.5 7/15/2022 BPS$-409,790
IRS AUD FLOAT 2.21 4/27/2018 MSCME$-435,262
IRS USD FIXED 3.50 CS 12/17/2044 CME$-825,997
IRS NOK FIXED .95 5/12/2018 MSCME$-7,323,516
All Holdings As of Jul 31, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 07/15/2021$33,129,778
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2019$31,735,052
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$28,437,332
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$26,703,183
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2023$25,213,250
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2024$23,429,067
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$23,159,544
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2022$22,048,123
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2025$17,410,682
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$16,552,527
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$16,306,614
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2042$16,067,679
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2024$15,602,611
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2023$12,374,007
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$11,867,167
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$11,717,867
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,543,275
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2022$9,453,909
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2020$9,151,347
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$9,096,327
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$8,323,406
UNITED STATES TREASURY INFLATION INDEXED BONDS .25% 01/15/2025$7,825,775
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2018$7,683,098
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,371,325
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$7,010,524
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$6,332,900
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2021$6,130,683
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,653,717
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2026$5,217,013
UNITED STATES TREASURY NOTE/BOND 1.625% 05/15/2026$4,060,000
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,551,196
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 02/15/2043$2,923,061
AT&T INC 1.051% 03/30/2017$2,901,726
GOLDMAN SACHS GROUP INC/THE 3.85% 07/08/2024$2,795,645
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2045$2,490,066
KINDER MORGAN INC/DE 2% 12/01/2017$1,908,227
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,906,641
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,827,001
UNITED STATES TREASURY NOTE/BOND 1.625% 02/15/2026$1,522,340
UBS AG 5.125% 05/15/2024$1,366,620
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIE 1.148% 05/25/2036$1,277,221
BANK OF AMERICA CORP 5.75% 12/01/2017$1,161,456
UNITED STATES TREASURY NOTE/BOND 2% 02/15/2025$1,152,529
CREDIT AGRICOLE SA 8.125% 09/19/2033$1,100,780
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$980,366
VOLT XLII LLC 4.25% 03/26/2046$937,196
UBS AG 4.75% 05/22/2023$932,063
UNITED STATES TREASURY NOTE/BOND 2.5% 02/15/2046$885,247
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$736,572
INTESA SANPAOLO SPA 2.375% 01/13/2017$701,711
INTESA SANPAOLO SPA 6.5% 02/24/2021$570,241
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015 3.137% 02/10/2048$553,870
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$531,935
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.31% 08/15/2019$530,264
PORSCHE INNOVATIVE LEASE OWNER TRUST 201 1.43% 05/21/2021$528,653
HARLEY-DAVIDSON MOTORCYCLE TRUST 1.3% 03/16/2020$528,070
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$527,580
ACTAVIS FUNDING SCS 3.45% 03/15/2022$526,512
FORD CREDIT FLOORPLAN MASTER OWNER TRUST 1.98% 01/15/2022$506,377
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$502,306
FEDERATIVE REPUBLIC OF BRAZIL 10% 01/01/2027$501,170
COLT 2016-1 MORTGAGE LOAN TRUST 3% 05/25/2046$493,897
GM FINANCIAL AUTOMOBILE LEASING TRUST 20 1.68% 12/20/2018$483,185
HSBC HOME EQUITY LOAN TRUST USA 2007-1 .967% 03/20/2036$479,790
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.088% 12/25/2027$441,653
ASSET BACKED SECURITIES CORP HOME EQUITY .653% 03/25/2036$428,103
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$421,050
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 3.789% 12/15/2047$390,472
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$390,058
NEW VALLEY GENERATION I 7.299% 03/15/2019$379,568
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN0 3.369% 03/13/2035$377,461
LLOYDS BANKING GROUP PLC 3.1% 07/06/2021$374,947
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.82% 09/15/2020$372,451
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.31% 05/15/2019$370,387
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$361,489
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$361,133
EXELON CORP 2.85% 06/15/2020$358,837
UBS AG/STAMFORD CT 7.625% 08/17/2022$349,500
GE DEALER FLOORPLAN MASTER NOTE TRUST .867% 07/20/2019$349,183
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.439% 01/15/2049$348,230
PNC BANK NA 3.25% 06/01/2025$321,648
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.138% 03/25/2028$319,014
BMW FLOORPLAN MASTER OWNER TRUST .981% 07/15/2020$318,219
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$317,803
ML-CFC COMMERCIAL MORTGAGE TRUST 2006-4 5.166% 12/12/2049$307,282
CITIZENS BANK NA/PROVIDENCE RI 2.3% 12/03/2018$304,044
ACTAVIS FUNDING SCS 1.548% 09/01/2016$300,195
SPRINT CAPITAL CORP 6.9% 05/01/2019$298,125
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$290,627
KLA-TENCOR CORP 4.65% 11/01/2024$286,176
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$283,600
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$283,274
RELIANCE HOLDING USA INC 5.4% 02/14/2022$282,518
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$279,959
CITIGROUP INC 3.3% 04/27/2025$279,482
TIME WARNER INC 3.55% 06/01/2024$279,187
AMERICAN TOWER CORP 4.7% 03/15/2022$278,112
BECTON DICKINSON AND CO 3.734% 12/15/2024$277,912
JPMORGAN CHASE & CO 3.2% 01/25/2023$277,522
ACTAVIS FUNDING SCS 3.8% 03/15/2025$276,795
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$275,931
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$275,589
BANK OF AMERICA CORP 4% 04/01/2024$275,507
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$275,256
AT&T INC 3% 02/15/2022$274,473
MORGAN STANLEY 3.875% 04/29/2024$273,890
JPMORGAN CHASE & CO 3.875% 02/01/2024$273,708
CHEVRON CORP 2.411% 03/03/2022$273,532
METLIFE INC 4.368% 09/15/2023$273,199
LINCOLN NATIONAL CORP 4% 09/01/2023$272,683
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINAN 4.42% 06/15/2021$271,976
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$271,891
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$271,217
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 6.038% 07/25/2028$270,973
ALTRIA GROUP INC 2.625% 01/14/2020$270,387
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$270,280
NEWELL BRANDS INC 3.15% 04/01/2021$269,840
SOCIETE GENERALE SA 5.2% 04/15/2021$269,516
HARTFORD FINANCIAL SERVICES GROUP INC/TH 5.125% 04/15/2022$269,003
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$268,596
SANTANDER HOLDINGS USA INC 2.65% 04/17/2020$268,588
PERRIGO FINANCE UNLIMITED CO 3.5% 12/15/2021$268,347
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$267,815
TYSON FOODS INC 2.65% 08/15/2019$267,329
MORGAN STANLEY 2.65% 01/27/2020$266,385
MITSUBISHI UFJ FINANCIAL GROUP INC 2.553% 03/01/2021$265,775
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$264,499
COOPERATIEVE RABOBANK UA 4.375% 08/04/2025$264,269
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.418% 04/25/2035$263,779
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.238% 10/25/2024$263,676
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.038% 10/25/2024$263,192
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.188% 04/25/2028$262,909
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.288% 05/25/2028$262,074
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$261,678
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 2.181% 07/15/2036$261,152
BANK OF AMERICA CORP 5.625% 07/01/2020$261,048
AT&T INC 5.875% 10/01/2019$260,393
BNP PARIBAS SA 5% 01/15/2021$260,385
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 1.401% 06/15/2029$260,232
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$259,769
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.138% 10/25/2028$259,669
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$259,369
GLENCORE FUNDING LLC 4% 04/16/2025$258,034
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.488% 08/25/2024$257,170
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.91% 03/16/2020$256,296
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.238% 09/25/2024$254,119
NEWMONT MINING CORP 4.875% 03/15/2042$249,242
CONOCOPHILLIPS 6% 01/15/2020$249,150
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$248,771
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.795% 08/10/2045$245,123
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$244,243
FFMLT TRUST 2005-FF11 1.168% 11/25/2035$242,341
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$234,311
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.488% 07/25/2025$228,189
S&P GLOBAL INC 4.4% 02/15/2026$217,886
KBC BANK NV 8% 01/25/2023$215,220
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$215,085
CAPITAL ONE MULTI-ASSET EXECUTION TRUST 1.6% 05/17/2021$214,756
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$210,126
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$209,240
SANTANDER UK PLC 5% 11/07/2023$209,180
CVS HEALTH CORP 3.875% 07/20/2025$206,939
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 3.801% 08/15/2048$206,432
GOLDMAN SACHS GROUP INC/THE 2.274% 11/29/2023$205,521
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$204,738
UBS GROUP FUNDING JERSEY LTD 2.453% 04/14/2021$202,639
REYNOLDS AMERICAN INC 4% 06/12/2022$202,071
H/2 ASSET 1.624% 06/24/2049$200,805
TEVA PHARMACEUTICAL FINANCE NETHERLANDS 2.8% 07/21/2023$199,714
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$195,322
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.038% 02/25/2025$191,999
STANDARD CHARTERED PLC 6.409% 01/30/2017$185,790
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.488% 05/25/2025$184,847
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$183,680
ABBVIE INC 3.6% 05/14/2025$182,733
PLAINS ALL AMERICAN PIPELINE LP / PAA FI 3.6% 11/01/2024$182,458
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$181,966
AT&T INC 5.15% 03/15/2042$180,863
WORLD FINANCIAL NETWORK CREDIT CARD MAST 2.55% 06/17/2024$173,864
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 4.471% 12/15/2047$171,243
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.488% 05/25/2025$171,241
SPECTRUM BRANDS INC 5.75% 07/15/2025$168,563
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 4.668% 11/15/2048$167,891
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.192% 07/25/2041$165,527
FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.438% 08/25/2028$164,528
BANK OF AMERICA CORP 6.5% 10/23/2024$163,969
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.612% 04/25/2046$162,533
HCA INC 6.5% 02/15/2020$160,044
GENERAL MOTORS CO 3.5% 10/02/2018$159,094
SONIC AUTOMOTIVE INC 5% 05/15/2023$158,800
KLX INC 5.875% 12/01/2022$158,730
BELLEMEADE RE II LTD 6.988% 04/25/2026$157,651
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$156,081
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.762% 09/25/2045$155,402
TACO BELL FUNDING LLC 3.832% 05/25/2046$155,111
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$154,918
CHARTER COMMUNICATIONS OPERATING LLC / C 4.908% 07/23/2025$154,859
HERTZ VEHICLE FINANCING II LP 2.02% 09/25/2019$154,016
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.662% 03/25/2046$151,285
FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.238% 08/25/2028$150,871
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012 4.877% 09/10/2045$150,090
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.572% 03/25/2041$149,523
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5% 06/25/2045$147,486
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$147,250
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$146,655
FORD CREDIT AUTO LEASE TRUST 2014-B .89% 09/15/2017$143,526
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.388% 10/25/2028$143,274
BIOGEN INC 3.625% 09/15/2022$142,970
ENTERGY CORP 4% 07/15/2022$142,270
GS MORTGAGE SECURITIES TRUST 2014-GC18 4.942% 01/10/2047$140,382
TEVA PHARMACEUTICAL FINANCE NETHERLANDS 3.15% 10/01/2026$138,259
EXETER AUTOMOBILE RECEIVABLES TRUST 2016 8.2% 02/15/2023$130,817
SOFI CONSUMER LOAN PROGRAM 2016-2 LLC 3.09% 10/27/2025$126,201
SG COMMERCIAL MORTGAGE SECURITIES TRUST 3.055% 10/10/2048$124,964
VALEANT PHARMACEUTICALS INTERNATIONAL IN 6.125% 04/15/2025$124,875
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.48% 05/15/2045$123,276
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013 4.603% 04/10/2046$123,148
FEDERAL HOME LOAN MORTGAGE CORP 5.929% 05/15/2037$119,657
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINAN 7.125% 06/15/2024$117,422
WESTERN DIGITAL CORP 7.375% 04/01/2023$114,581
CELGENE CORP 3.875% 08/15/2025$114,128
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.372% 05/15/2047$113,912
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$112,384
GILEAD SCIENCES INC 3.65% 03/01/2026$111,411
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.038% 04/25/2028$111,391
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.488% 09/25/2028$110,553
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$109,772
MORGAN STANLEY CAPITAL I TRUST 2005-IQ9 5% 07/15/2056$107,031
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 1.74% 09/15/2021$103,530
REYNOLDS GROUP ISSUER INC / REYNOLDS GRO 5.75% 10/15/2020$103,500
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.801% 11/15/2045$102,087
VOLKSWAGEN CREDIT AUTO MASTER TRUST .831% 07/22/2019$99,291
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65% 04/15/2025$98,816
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,217
NAVIENT CORP 7.25% 01/25/2022$96,900
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.802% 08/12/2043$93,451
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.488% 07/25/2025$89,381
KOHL'S CORP 5.55% 07/17/2045$86,365
ADVANCED MICRO DEVICES INC 6.75% 03/01/2019$86,081
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$85,994
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.988% 07/25/2025$84,156
AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET 5.25% 03/15/2025$82,324
FRONTIER COMMUNICATIONS CORP 10.5% 09/15/2022$81,281
FRONTIER COMMUNICATIONS CORP 11% 09/15/2025$80,344
NEWELL BRANDS INC 3.85% 04/01/2023$80,266
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 5.888% 01/10/2045$77,481
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$77,130
WELLS FARGO CREDIT RISK TRANSFER SECURIT 3.338% 11/25/2025$76,290
CENTURYLINK INC 7.5% 04/01/2024$74,900
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$74,330
MICRON TECHNOLOGY INC 7.5% 09/15/2023$73,428
EBAY INC 3.8% 03/09/2022$72,594
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.188% 04/25/2028$70,485
HANESBRANDS INC 4.625% 05/15/2024$65,920
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$65,282
BELLEMEADE RE LTD 2.988% 07/25/2025$61,189
NAVIENT CORP 6.625% 07/26/2021$60,750
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 20 1.42% 05/17/2021$58,572
WELLS FARGO CREDIT RISK TRANSFER SECURIT 3.238% 11/25/2025$57,790
CENOVUS ENERGY INC 5.7% 10/15/2019$56,326
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.726% 01/25/2029$54,410
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.788% 10/25/2028$47,057
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2 1.2% 12/17/2018$45,202
LAM RESEARCH CORP 2.8% 06/15/2021$41,306
HUSKY ENERGY INC 7.25% 12/15/2019$38,964
FIDELITY NATIONAL INFORMATION SERVICES I 3.5% 04/15/2023$38,756
ACE SECURITIES CORP HOME EQUITY LOAN TRU 1.238% 11/25/2050$32,116
DRIVE AUTO RECEIVABLES TRUST 2015-D 1.23% 06/15/2018$23,258
CENOVUS ENERGY INC 3% 08/15/2022$13,156
METLIFE INC 5.25% 06/15/2020$12,040
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$11,488
CENTURYLINK INC 6.45% 06/15/2021$9,653
FIDELITY NATIONAL INFORMATION SERVICES I 5% 10/15/2025$3,478
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$13,967,703
FEDERAL HOME ZERO 08/16$499,958
FEDERAL HOME ZERO 08/16$299,963
FEDERAL HOME ZERO 10/16$199,886
FEDERAL HOME ZERO 09/16$99,975
 
Other
Holding NameMarket Value
IRS NOK FLOAT .95 5/12/2018 MSCME$7,230,257
USD CCP COLL VM CREDIT SU$1,778,203
IRS NOK FIXED 1.56 5/12/2026 MSCME$919,479
SWAP CASH COLLATERAL USD$689,000
USD$575,899
USD$524,878
IRS USD FIXED 1.81 6/9/2020 MSCME$436,281
IRS NZD FLOAT 2.05 7/28/2018 MSCME$223,510
IRS AUD FIXED 2.21 4/27/2018 MSCME$212,533
USD CCP COLL IM MS$200,536
IRS GBP FLOAT 1.65 6/5/2020 MSCME$179,388
USD FOR CDX$151,211
IRO USD P 2.3 3/29/2019 MS$93,678
US 5YR NOTE (CBT) BOND SEP16 (FVU6) COMDTY$71,265
IRO USD P 2.25 10/17/2018 MS$71,100
IRS NOK FIXED 1.01 5/19/2018 MSCME$66,511
IRS AUD FIXED 3.08 05/25 MSCME$65,663
IRS USD FIXED 1.81 6/9/2020 MSCME$54,195
IRO USD C 2.15 6/15/18 DB$48,378
CALL ON 10 YEAR US TREASURY NOTES CALL USD 133.5$47,344
CANADIAN DOLLAR$38,123
PUT ON 10 YEAR US TREASURY NOTES PUT USD 128.5$29,297
IRS NZD FIXED 2.47 7/28/2026 MSCME$28,071
IRO USD P 2.25 12/10/2018 MS$27,740
IRO USD P 2.25 11/15/2018 MS$26,400
US 10YR NOTE (CBT) BOND SEP16 (TYU6) COMDTY$16,713
IRO USD C .765 12/16 MS$8,820
CURRENCY CONTRACT$7,892
CURRENCY CONTRACT$7,614
CURRENCY CONTRACT$6,168
IRS AUD FLOAT 3.08 05/25 MSCME$5,098
CURRENCY CONTRACT$3,013
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$1,814
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$1,587
BRITISH POUND$1,179
CANADIAN DOLLAR$732
AUSTRALIAN DOLLAR$425
IRO USD P 1.10 01/23/17 MS$64
NORWEGIAN KRONE$46
EURO$7
JAPANESE YEN$1
INF USD FLOAT 1.9 7/15/2022 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
INF USD FLOAT 1.9 1/15/2020 CITI$0
INF USD FLOAT 1.75 4/15/2020 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 1.95 7/15/2020 CITI$0
INF USD FLOAT 1.95 7/15/2021 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 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
IRS USD FLOAT 1.81 6/9/2020 MSCME$-196
CURRENCY CONTRACT$-366
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-496
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-817
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-933
IRS USD FIXED 2 MS 12/16/2020 CME$-1,775
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$-1,935
IRS USD FIXED 2.69 8/6/2045 MSCME$-1,961
IRO USD P 1.10 01/18 GS$-2,047
IRS USD FIXED 2.72 11/10/2045 MSCME$-2,632
CURRENCY CONTRACT$-3,263
INF USD FIXED 1.39 7/15/2018 BARC$-4,786
INF SWAP US 1.725 03/04/15-4Y DUB$-5,679
IRO USD C 1.00 12/16 MS$-6,185
CURRENCY CONTRACT$-7,128
IRS USD FIXED 1.85 CS 07/27/2026 CME$-8,499
IRS USD FIXED 2.5 MS 6/15/2046 CME$-9,158
IRO USD P 2.72 7/18 MS$-11,820
CURRENCY CONTRACT$-11,983
IRS USD FLOAT 1.81 6/9/2020 MSCME$-12,004
NA.BBB USD 5/11/2063 CT FIXED CDS$-14,970
CURRENCY CONTRACT$-17,572
US 2YR NOTE (CBT) BOND SEP16 (TUU6) COMDTY$-19,092
IRO USD P 2.765 07/16/18 MS$-19,329
IRS NZD FLOAT 2.47 7/28/2026 MSCME$-25,039
IRO USD P 2.6075 11/15/2018 MS$-25,091
INF USD 1.825 11/16 BPS$-25,525
INF USD 1.935 10/23/2016 RBS$-25,976
IRO USD P 2.59 12/10/2018 MS$-26,161
INF USD FIXED 1.71 4/15/2019 CITI$-31,647
IRS USD FLOAT 2.69 8/6/2045 MSCME$-33,066
EURO-BOBL FUTURE BOND SEP16 (OEU6) COMDTY$-35,259
IRS USD FIXED 2.00 MS 07/27/2026 CME$-40,248
INF USD FIXED 1.9 1/15/2020 CITI$-47,784
IRO USD P 2.15 6/15/18 DB$-52,554
INF USD FIXED 1.95 7/15/2020 CITI$-53,962
INF USD FIXED 1.96 1/15/2023 CITI$-61,322
INF USD 2.1725 11/01/2018 DUB$-66,959
IRO USD P 2.605 10/17/2018 MS$-67,235
IRS NOK FLOAT 1.01 5/19/2018 MSCME$-67,851
IRS USD FIXED 2.75 CS 06/17/2025 CME$-68,953
INF SWP:USD 2.5 7/15/22 DUB$-69,226
INF USD 1.93 02/10/2017 DB$-72,062
INF USD FIXED 1.96 7/15/2021 CITI$-76,766
EURO$-83,030
US 10YR ULTRA FUT BOND SEP16 (UXYU6) COMDTY$-86,491
IRO USD P 2.6 3/29/2019 MS$-90,462
INF USD FIXED 1.89 1/15/2022 CITI$-96,452
IRS USD FLOAT 2.72 11/10/2045 MSCME$-98,469
INF USD FIXED 1.75 4/15/2020 CITI$-109,098
IRS USD FIXED 3.75 CS 6/18/2044 CME$-113,892
USD CCP COLL VM MS$-116,687
INF USD 1.55 11/05/16 RBS$-118,859
INF USD FIXED 1.9 7/15/2022 CITI$-120,181
IRS GBP FIXED 1.65 6/5/2020 MSCME$-125,617
INF USD FIXED 1.95 7/15/2021 CITI$-126,658
INF USD 1.93 10/31/2016 RBS$-140,236
US LONG BOND(CBT) BOND SEP16 (USU6) COMDTY$-145,546
INF USD FIXED 1.92 7/15/2022 CITI$-163,190
IRS USD FIXED 3.25 CS 06/17/2045 CME$-178,764
IRS NZD FIXED 2.05 7/28/2018 MSCME$-234,408
INF SWP:USD 2.25 7/15/17 RBS$-244,028
INF USD 2.205 10//11/2018 GS$-275,779
INF SWP:USD 2.25 7/15/17 BPS$-299,532
IRS USD FIXED 3.5 12/18/43 GS CME$-302,598
IRS AUD FLOAT 2.21 4/27/2018 MSCME$-319,335
US ULTRA BOND CBT BOND SEP16 (WNU6) COMDTY$-335,913
IRS USD 2.75 FIXED 6/19/43 MS CME$-344,272
INF USD P 2.5 07/15/2022 BPS$-422,560
BRAZILIAN REAL$-503,321
IRS USD FIXED 3.50 CS 12/17/2044 CME$-804,942
IRS NOK FLOAT 1.56 5/12/2026 MSCME$-898,295
IRS NOK FIXED .95 5/12/2018 MSCME$-7,227,186
 

Statistics

Duration and Maturity As of Oct 31, 2016
StatisticValue
Average Effective Duration6.11 years
Average Effective Maturity9.11 years
Portfolio Statistics As of Oct 31, 2016
Statistic3-Year5-Year
Beta1.000.99
Alpha-0.62-0.49
Standard Deviation4.214.70
 
 

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.