Fund Facts  

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

Documents for Fund or Underlying Fund(s)  

Description

Objective  

To offer inflation protection and income.

Principal Investment Strategies  

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

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

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

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

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

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

Principal Investment Risks  

There is no guarantee that the Fund will achieve its investment objective. You may lose money by investing in the Fund. The Fund’s principal investment risks include Inflation-Adjusted Securities Risk, Interest Rate Risk, Credit Risk, Foreign Securities Risk, Foreign Currency Risk, U.S. Government Agency Securities Risk, Derivative Instruments Risk, Call Risk, Mortgage-Backed Securities Risk, Asset-Backed Securities Risk, Municipal Securities Risk, Multi-Manager Risk.
Please see the 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
Barclays U.S. Treasury Inflation-Linked Bond Index (Series-L)a,b1.71%6.24%4.35%2.31%2.63%4.75%N/A
Morningstar Inflation-Protected Bonda,c1.56%5.17%2.63%1.20%1.54%3.71%N/A

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

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

Annual Fund Operating Expenses
Total Expenses   0.65%

 

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

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

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

Distributions

Dividends and Capital Gains  
Record Date Ex/Payable Date Income/Capital Gains Paid Per Share
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 Rating   As of Jun 30, 2016
Period Stars Category Size
Overall 3 Stars207
3-Year 3 Stars207
5-Year 3 Stars182
10-Year N/A N/A

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

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

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

 
 

Characteristics

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

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

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

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

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

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

 
Top Ten Holdings As of Aug 31, 2016
Holding NamePercent
IRS NOK FLOAT .95 5/12/2018 MSCME11.6%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 04/15/20196.5%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 07/15/20216.1%
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/20275.4%
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/20295.1%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.375% 07/15/20234.8%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/20244.4%
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 07/15/20224.2%
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/20443.9%
IRS NOK FLOAT 1.01 5/19/2018 MSCME3.9%
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 FLOAT 1.71 4/15/2019 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
INF USD FLOAT 1.9 7/15/2022 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.9 1/15/2020 CITI$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
INF USD FIXED 1.58 01/15/2025 BOA$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
INF USD FLOAT 1.95 7/15/2020 CITI$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
IRS USD FLOAT 1.43 8/12/2026 MSCME$0
INF USD FLOAT 1.75 4/15/2020 CITI$0
NA.BBB USD 5/11/2063 CT FLOAT CDS$0
CURRENCY CONTRACT$-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 1.71 4/15/2019 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 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
INF USD FLOAT 1.96 7/15/2021 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 1.95 7/15/2020 CITI$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
IRS USD FLOAT 1.81 6/9/2020 MSCME$-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
All Holdings As of Jun 30, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 07/15/2021$33,692,709
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2019$32,314,213
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$28,196,568
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$26,396,028
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2023$25,083,469
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2024$23,250,656
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$22,284,599
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2022$21,672,851
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2025$17,246,769
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$16,366,877
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$16,210,179
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2024$15,508,828
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2042$15,447,033
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2023$12,322,875
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$12,089,476
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2018$11,783,772
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$11,605,774
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,420,299
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2022$9,792,685
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2020$9,159,014
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$8,816,370
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$8,131,153
UNITED STATES TREASURY INFLATION INDEXED BONDS .25% 01/15/2025$7,754,432
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2021$7,457,278
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,376,511
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$6,483,177
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$6,342,135
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2026$5,862,735
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,661,614
UNITED STATES TREASURY NOTE/BOND 1.625% 05/15/2026$4,049,064
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,555,085
AT&T INC 1.051% 03/30/2017$3,001,947
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 02/15/2043$2,802,818
GOLDMAN SACHS GROUP INC/THE 3.85% 07/08/2024$2,761,437
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2045$2,387,438
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,906,762
KINDER MORGAN INC/DE 2% 12/01/2017$1,890,487
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,833,616
UNITED STATES TREASURY NOTE/BOND 1.625% 02/15/2026$1,516,934
UBS AG 5.125% 05/15/2024$1,327,513
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIE 1.113% 05/25/2036$1,273,914
BANK OF AMERICA CORP 5.75% 12/01/2017$1,164,681
UNITED STATES TREASURY NOTE/BOND 2% 02/15/2025$1,151,112
CREDIT AGRICOLE SA 8.125% 09/19/2033$1,075,000
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$969,262
VOLT XLII LLC 4.25% 03/26/2046$950,341
UBS AG 4.75% 05/22/2023$922,500
UNITED STATES TREASURY NOTE/BOND 2.5% 02/15/2046$864,302
BG ENERGY CAPITAL PLC 6.5% 11/30/2072$836,030
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$739,071
INTESA SANPAOLO SPA 2.375% 01/13/2017$702,710
INTESA SANPAOLO SPA 6.5% 02/24/2021$569,532
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015 3.137% 02/10/2048$547,205
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$531,794
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.31% 08/15/2019$530,323
PORSCHE INNOVATIVE LEASE OWNER TRUST 201 1.43% 05/21/2021$528,937
HARLEY-DAVIDSON MOTORCYCLE TRUST 1.3% 03/16/2020$528,405
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$526,966
WORLD FINANCIAL NETWORK CREDIT CARD MAST 1.76% 05/17/2021$523,436
ACTAVIS FUNDING SCS 3.45% 03/15/2022$519,932
FORD CREDIT FLOORPLAN MASTER OWNER TRUST 1.98% 01/15/2022$506,932
COLT 2016-1 MORTGAGE LOAN TRUST 3% 05/25/2046$503,615
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$503,137
GM FINANCIAL AUTOMOBILE LEASING TRUST 20 1.68% 12/20/2018$483,540
HSBC HOME EQUITY LOAN TRUST USA 2007-1 .928% 03/20/2036$477,439
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.053% 12/25/2027$439,791
ASSET BACKED SECURITIES CORP HOME EQUITY .618% 03/25/2036$426,462
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$414,357
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 3.789% 12/15/2047$386,094
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$385,004
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$382,935
NEW VALLEY GENERATION I 7.299% 03/15/2019$380,890
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN0 3.369% 03/13/2035$373,495
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.82% 09/15/2020$372,736
LLOYDS BANKING GROUP PLC 3.1% 07/06/2021$371,495
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.31% 05/15/2019$370,448
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$361,960
EXELON CORP 2.85% 06/15/2020$356,216
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.439% 01/15/2049$353,083
GE DEALER FLOORPLAN MASTER NOTE TRUST .828% 07/20/2019$349,274
UBS AG/STAMFORD CT 7.625% 08/17/2022$340,500
PNC BANK NA 3.25% 06/01/2025$319,108
BMW FLOORPLAN MASTER OWNER TRUST .942% 07/15/2020$318,172
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.103% 03/25/2028$318,020
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$317,608
ML-CFC COMMERCIAL MORTGAGE TRUST 2006-4 5.166% 12/12/2049$308,409
CITIZENS BANK NA/PROVIDENCE RI 2.3% 12/03/2018$304,097
ACTAVIS FUNDING SCS 1.548% 09/01/2016$300,307
SPRINT CAPITAL CORP 6.9% 05/01/2019$288,000
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$285,996
FFMLT TRUST 2005-FF11 1.133% 11/25/2035$284,214
KLA-TENCOR CORP 4.65% 11/01/2024$283,015
RELIANCE HOLDING USA INC 5.4% 02/14/2022$280,270
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$279,131
CITIGROUP INC 3.3% 04/27/2025$277,089
TIME WARNER INC 3.55% 06/01/2024$276,687
AMERICAN TOWER CORP 4.7% 03/15/2022$276,229
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$275,551
BECTON DICKINSON AND CO 3.734% 12/15/2024$275,158
JPMORGAN CHASE & CO 3.2% 01/25/2023$274,923
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$274,176
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$273,456
MORGAN STANLEY 3.875% 04/29/2024$273,418
BANK OF AMERICA CORP 4% 04/01/2024$272,614
CHEVRON CORP 2.411% 03/03/2022$271,602
METLIFE INC 4.368% 09/15/2023$271,484
ACTAVIS FUNDING SCS 3.8% 03/15/2025$271,364
AT&T INC 3% 02/15/2022$270,598
JPMORGAN CHASE & CO 3.875% 02/01/2024$270,347
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$270,047
ALTRIA GROUP INC 2.625% 01/14/2020$269,464
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$269,423
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$269,351
SOCIETE GENERALE SA 5.2% 04/15/2021$268,983
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$268,242
NEWELL BRANDS INC 3.15% 04/01/2021$268,028
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.383% 04/25/2035$267,982
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINAN 4.42% 06/15/2021$267,902
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$267,650
HARTFORD FINANCIAL SERVICES GROUP INC/TH 5.125% 04/15/2022$267,603
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$267,380
TYSON FOODS INC 2.65% 08/15/2019$267,303
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$266,275
LINCOLN NATIONAL CORP 4% 09/01/2023$265,519
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$265,441
PERRIGO FINANCE UNLIMITED CO 3.5% 12/15/2021$264,805
MITSUBISHI UFJ FINANCIAL GROUP INC 2.553% 03/01/2021$264,760
MORGAN STANLEY 2.65% 01/27/2020$264,511
SANTANDER HOLDINGS USA INC 2.65% 04/17/2020$263,891
COOPERATIEVE RABOBANK UA 4.375% 08/04/2025$261,621
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 6.003% 07/25/2028$260,823
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$260,441
AT&T INC 5.875% 10/01/2019$260,391
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$260,209
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 2.142% 07/15/2036$259,217
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 1.362% 06/15/2029$259,083
BANK OF AMERICA CORP 5.625% 07/01/2020$258,993
BNP PARIBAS SA 5% 01/15/2021$258,480
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$258,342
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.91% 03/16/2020$256,532
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.203% 10/25/2024$256,024
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.003% 10/25/2024$255,077
CONOCOPHILLIPS 6% 01/15/2020$250,419
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.453% 08/25/2024$249,492
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.153% 04/25/2028$248,236
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.253% 05/25/2028$247,329
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.988% 08/10/2045$246,060
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 5.103% 10/25/2028$244,124
GLENCORE FUNDING LLC 4% 04/16/2025$243,813
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$241,741
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.203% 09/25/2024$240,442
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$239,591
NEWMONT MINING CORP 4.875% 03/15/2042$238,174
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$230,174
FORD CREDIT AUTO LEASE TRUST 2014-B .89% 09/15/2017$226,653
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.453% 07/25/2025$217,749
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$216,519
CAPITAL ONE MULTI-ASSET EXECUTION TRUST 1.6% 05/17/2021$215,718
S&P GLOBAL INC 4.4% 02/15/2026$213,744
KBC BANK NV 8% 01/25/2023$212,475
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$206,705
SANTANDER UK PLC 5% 11/07/2023$205,980
CVS HEALTH CORP 3.875% 07/20/2025$204,980
GOLDMAN SACHS GROUP INC/THE 2.274% 11/29/2023$204,771
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$204,284
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 3.801% 08/15/2048$204,063
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$203,406
UBS GROUP FUNDING JERSEY LTD 2.409% 04/14/2021$202,252
H/2 ASSET 1.624% 06/24/2049$201,042
REYNOLDS AMERICAN INC 4% 06/12/2022$200,234
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.003% 02/25/2025$196,544
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$188,000
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$182,630
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$182,004
ABBVIE INC 3.6% 05/14/2025$180,560
STANDARD CHARTERED PLC 6.409% 01/30/2017$180,500
FREEPORT-MCMORAN INC 4.55% 11/14/2024$180,400
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.453% 05/25/2025$180,203
PLAINS ALL AMERICAN PIPELINE LP / PAA FI 3.6% 11/01/2024$178,744
HYUNDAI AUTO LEASE SECURITIZATION TRUST 1.4% 11/15/2018$175,658
WORLD FINANCIAL NETWORK CREDIT CARD MAST 2.55% 06/17/2024$174,336
AT&T INC 5.15% 03/15/2042$173,266
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 4.62% 12/15/2047$165,453
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.453% 05/25/2025$163,091
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.647% 04/25/2046$162,565
SPECTRUM BRANDS INC 5.75% 07/15/2025$162,169
HCA INC 6.5% 02/15/2020$160,769
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.697% 03/25/2046$160,676
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 4.819% 11/15/2048$160,019
BANK OF AMERICA CORP 6.5% 10/23/2024$159,938
BARCLAYS DRYROCK ISSUANCE TRUST 1.56% 03/15/2021$159,293
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.797% 09/25/2045$158,775
GENERAL MOTORS CO 3.5% 10/02/2018$158,640
SONIC AUTOMOTIVE INC 5% 05/15/2023$157,600
BELLEMEADE RE II LTD 6.953% 04/25/2026$156,472
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$156,159
FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.403% 08/25/2028$155,456
TACO BELL FUNDING LLC 3.832% 05/25/2046$155,304
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$154,767
HERTZ VEHICLE FINANCING II LP 2.02% 09/25/2019$154,465
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$154,260
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.607% 03/25/2041$154,019
KLX INC 5.875% 12/01/2022$153,660
CHARTER COMMUNICATIONS OPERATING LLC / C 4.908% 07/23/2025$153,338
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5% 06/25/2045$148,968
FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.203% 08/25/2028$147,752
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$146,613
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$145,695
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012 5.039% 09/10/2045$143,731
BIOGEN INC 3.625% 09/15/2022$141,377
ENTERGY CORP 4% 07/15/2022$140,758
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.353% 10/25/2028$137,817
METLIFE INC 5.25% 06/15/2020$135,320
GS MORTGAGE SECURITIES TRUST 2014-GC18 5.112% 01/10/2047$134,163
EXETER AUTOMOBILE RECEIVABLES TRUST 2016 8.2% 02/15/2023$132,395
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.48% 05/15/2045$123,550
FEDERAL HOME LOAN MORTGAGE CORP 5.968% 05/15/2037$123,105
VALEANT PHARMACEUTICALS INTERNATIONAL IN 6.125% 04/15/2025$120,750
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013 4.456% 04/10/2046$119,579
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINAN 7.125% 06/15/2024$113,979
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.372% 05/15/2047$112,917
CELGENE CORP 3.875% 08/15/2025$112,210
GILEAD SCIENCES INC 3.65% 03/01/2026$111,128
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$109,137
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$107,054
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.453% 09/25/2028$106,756
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.003% 04/25/2028$106,068
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65% 04/15/2025$105,017
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.802% 08/12/2043$104,922
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 1.74% 09/15/2021$103,732
REYNOLDS GROUP ISSUER INC / REYNOLDS GRO 5.75% 10/15/2020$103,500
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.961% 11/15/2045$99,454
VOLKSWAGEN CREDIT AUTO MASTER TRUST .798% 07/22/2019$98,802
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,268
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.953% 07/25/2025$93,902
NAVIENT CORP 7.25% 01/25/2022$90,844
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.453% 07/25/2025$85,604
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$85,269
KOHL'S CORP 5.55% 07/17/2045$84,112
ADVANCED MICRO DEVICES INC 6.75% 03/01/2019$82,990
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$82,108
NEWELL BRANDS INC 3.85% 04/01/2023$79,666
AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET 5.25% 03/15/2025$79,061
WELLS FARGO CREDIT RISK TRANSFER SECURIT 3.303% 11/25/2025$78,619
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 5.888% 01/10/2045$75,857
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$75,481
EBAY INC 3.8% 03/09/2022$72,346
BELLEMEADE RE LTD 2.953% 07/25/2025$72,311
MICRON TECHNOLOGY INC 7.5% 09/15/2023$71,355
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.153% 04/25/2028$67,296
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 20 1.42% 05/17/2021$64,980
HANESBRANDS INC 4.625% 05/15/2024$64,480
WELLS FARGO CREDIT RISK TRANSFER SECURIT 3.203% 11/25/2025$59,944
CENOVUS ENERGY INC 5.7% 10/15/2019$56,101
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2 1.2% 12/17/2018$54,057
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.753% 10/25/2028$45,013
LAM RESEARCH CORP 2.8% 06/15/2021$40,996
DRIVE AUTO RECEIVABLES TRUST 2015-D 1.23% 06/15/2018$39,779
FIDELITY NATIONAL INFORMATION SERVICES I 3.5% 04/15/2023$38,472
HUSKY ENERGY INC 7.25% 12/15/2019$38,280
ACE SECURITIES CORP HOME EQUITY LOAN TRU 1.203% 11/25/2050$32,656
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$16,927
CENOVUS ENERGY INC 3% 08/15/2022$12,798
FIDELITY NATIONAL INFORMATION SERVICES I 5% 10/15/2025$3,412
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$6,997,549
FEDERAL HOME ZERO 07/16$599,930
 
Other
Holding NameMarket Value
IRS NOK FLOAT .95 5/12/2018 MSCME$7,272,787
USD CCP COLL VM CREDIT SU$1,741,191
IRS NOK FIXED 1.56 5/12/2026 MSCME$924,959
SWAP CASH COLLATERAL USD$640,000
USD$623,011
IRS USD FIXED 1.81 6/9/2020 MSCME$471,786
IRS AUD FIXED 2.21 4/27/2018 MSCME$392,447
USD CCP COLL IM MS$198,662
IRS GBP FLOAT 1.65 6/5/2020 MSCME$172,524
IRO USD C 2.15 6/15/18 DB$157,438
USD$148,903
USD FOR CDX$139,122
US 10YR NOTE (CBT) BOND SEP16 (TYU6) COMDTY$135,724
IRO USD P 2.6 3/29/2019 MS$99,882
IRO USD P 2.15 6/15/18 DB$96,786
CALL ON 10 YEAR US TREASURY NOTES CALL USD 133.5$86,797
IRO USD P 2.605 10/17/2018 MS$55,598
CURRENCY CONTRACT$50,628
IRS NOK FIXED 1.01 5/19/2018 MSCME$48,883
IRS AUD FIXED 3.08 05/25 MSCME$40,896
CANADIAN DOLLAR$38,527
IRS USD FIXED 1.81 6/9/2020 MSCME$38,481
IRO USD C 1.00 12/16 MS$20,169
IRO USD P 2.59 12/10/2018 MS$20,098
CURRENCY CONTRACT$19,696
IRS AUD FLOAT 3.08 05/25 MSCME$19,673
IRO USD P 2.6075 11/15/2018 MS$19,123
IRS USD FLOAT 1.81 6/9/2020 MSCME$9,887
FLOAT SPRINT 6/20/2019 5.0 MSC CDS$9,086
CURRENCY CONTRACT$8,624
FLOAT SPRINT 6/20/2019 1.0 MSC CDS$7,950
CURRENCY CONTRACT$2,831
CURRENCY CONTRACT$2,504
CURRENCY CONTRACT$2,319
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$2,058
BRITISH POUND$1,186
CANADIAN DOLLAR$740
AUSTRALIAN DOLLAR$417
IRO USD P 1.78 7/21/2016 CITI$324
NORWEGIAN KRONE$46
IRO USD P 1.25 7/5/2016 DB$7
EURO$7
IRO USD P 1.15 7/5/2016 GS$3
IRO USD P 1.5 7/5/16 CB$2
JAPANESE YEN$1
INF USD FLOAT 1.75 4/15/2020 CITI$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
INF USD FLOAT 1.71 4/15/2019 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
INF USD FLOAT 1.95 7/15/2020 CITI$0
INF USD FLOAT 1.9 7/15/2022 CITI$0
INF USD FLOAT 1.9 1/15/2020 CITI$0
NA.BBB USD 5/11/2063 CT FLOAT CDS$0
IRO USD P 2.5 7/25/2016 MS$-21
IRO USD P 1.4 7/21/2016 CITI$-103
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-130
IRO USD P 2.23 7/21/2016 CITI$-182
FIXED SPRINT 6/20/2019 1.0 MSC CDS$-214
IRO USD P 2.15 7/25/16 CB$-234
FIXED SPRINT 6/20/2019 5.0 MSC CDS$-244
CURRENCY CONTRACT$-680
IRS USD FIXED 2.69 8/6/2045 MSCME$-1,625
IRS USD FIXED 2.72 11/10/2045 MSCME$-1,657
CURRENCY CONTRACT$-1,995
IRS USD FIXED 2 MS 12/16/2020 CME$-2,197
CURRENCY CONTRACT$-2,584
IRS USD FLOAT 1.81 6/9/2020 MSCME$-4,983
INF SWAP US 1.725 03/04/15-4Y DUB$-5,315
INF USD FIXED 1.39 7/15/2018 BARC$-5,717
US 2YR NOTE (CBT) BOND SEP16 (TUU6) COMDTY$-6,193
IRS USD FIXED 2.5 MS 6/15/2046 CME$-6,528
CURRENCY CONTRACT$-9,804
IRO USD C 1.85 7/25/16 CB$-9,815
IRO USD P 2.25 11/15/2018 MS$-17,275
US 5YR NOTE (CBT) BOND SEP16 (FVU6) COMDTY$-17,759
IRO USD P 2.25 12/10/2018 MS$-18,040
IRO USD C .765 12/16 MS$-20,061
CURRENCY CONTRACT$-20,628
NA.BBB USD 5/11/2063 CT FIXED CDS$-22,029
INF USD 1.825 11/16 BPS$-25,819
INF USD 1.935 10/23/2016 RBS$-26,505
IRO USD C 2 7/25/2016 MS$-26,613
IRS USD FLOAT 2.69 8/6/2045 MSCME$-29,242
INF USD FIXED 1.71 4/15/2019 CITI$-29,841
EURO-BOBL FUTURE BOND SEP16 (OEU6) COMDTY$-33,377
INF USD FIXED 1.9 1/15/2020 CITI$-45,749
IRO USD P 2.25 10/17/2018 MS$-47,952
INF USD FIXED 1.95 7/15/2020 CITI$-51,345
IRS NOK FLOAT 1.01 5/19/2018 MSCME$-53,820
INF USD FIXED 1.96 1/15/2023 CITI$-59,555
INF USD 2.1725 11/01/2018 DUB$-65,405
IRS USD FIXED 2.75 CS 06/17/2025 CME$-66,771
INF SWP:USD 2.5 7/15/22 DUB$-68,678
INF USD 1.93 02/10/2017 DB$-71,337
INF USD FIXED 1.96 7/15/2021 CITI$-72,510
US 10YR ULTRA FUT BOND SEP16 (UXYU6) COMDTY$-80,084
EURO$-82,418
IRS USD FLOAT 2.72 11/10/2045 MSCME$-87,392
IRO USD P 2.3 3/29/2019 MS$-92,016
INF USD FIXED 1.89 1/15/2022 CITI$-92,990
INF USD FIXED 1.75 4/15/2020 CITI$-104,252
IRS USD FIXED 3.75 CS 6/18/2044 CME$-105,184
INF USD FIXED 1.9 7/15/2022 CITI$-115,990
IRS GBP FIXED 1.65 6/5/2020 MSCME$-119,957
INF USD FIXED 1.95 7/15/2021 CITI$-122,133
INF USD 1.55 11/05/16 RBS$-122,393
INF USD 1.93 10/31/2016 RBS$-143,034
IRS USD FIXED 3.25 CS 6/17/2045 CME$-155,589
INF USD FIXED 1.92 7/15/2022 CITI$-157,916
USD CCP COLL VM MS$-227,764
INF SWP:USD 2.25 7/15/17 RBS$-236,769
US ULTRA BOND CBT BOND SEP16 (WNU6) COMDTY$-248,632
US LONG BOND(CBT) BOND SEP16 (USU6) COMDTY$-249,584
INF USD 2.205 10//11/2018 GS$-269,422
IRS USD FIXED 3.5 12/18/43 GS CME$-283,131
INF SWP:USD 2.25 7/15/17 BPS$-290,718
IRS USD 2.75 FIXED 6/19/43 MS CME$-318,734
INF USD P 2.5 7/15/2022 BPS$-419,382
IRS AUD FLOAT 2.21 4/27/2018 MSCME$-479,865
IRS USD FIXED 3.50 CS 12/17/2044 CME$-741,057
IRS NOK FLOAT 1.56 5/12/2026 MSCME$-904,766
IRS NOK FIXED .95 5/12/2018 MSCME$-7,280,500
All Holdings As of May 31, 2016
Fixed Income
Holding NameMarket Value
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2019$35,106,975
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 07/15/2021$33,435,974
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2027$27,578,099
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.5% 01/15/2029$25,748,571
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2023$24,609,405
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2024$22,781,393
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 02/15/2044$21,196,399
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 07/15/2022$20,206,387
UNITED STATES TREASURY INFLATION INDEXED BONDS .375% 07/15/2025$16,868,469
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75% 01/15/2028$15,981,314
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.375% 01/15/2025$15,905,628
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 01/15/2024$15,208,564
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2042$14,696,033
UNITED STATES TREASURY INFLATION INDEXED BONDS 2% 01/15/2026$11,834,668
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2018$11,704,901
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2023$11,571,946
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.625% 04/15/2028$11,358,912
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.875% 04/15/2029$11,157,797
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 01/15/2022$9,614,360
UNITED STATES TREASURY INFLATION INDEXED BONDS .125% 04/15/2020$9,032,000
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2040$8,461,946
UNITED STATES TREASURY INFLATION INDEXED BONDS .25% 01/15/2025$7,588,034
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.125% 01/15/2021$7,263,130
UNITED STATES TREASURY INFLATION INDEXED BONDS 1% 02/15/2046$6,973,832
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125 04/15/2021$6,249,736
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 01/15/2020$5,595,961
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25% 07/15/2020$5,233,573
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.125% 02/15/2041$5,042,217
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.625% 01/15/2026$4,283,882
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.375% 04/15/2032$3,281,808
AT&T INC .702% 03/30/2017$3,001,812
GOLDMAN SACHS GROUP INC/THE 3.85% 07/08/2024$2,718,248
UNITED STATES TREASURY INFLATION INDEXED BONDS .625% 02/15/2043$2,662,105
UNITED STATES TREASURY NOTE/BOND 1.625 05/15/2026$2,452,638
UNITED STATES TREASURY INFLATION INDEXED BONDS .75% 02/15/2045$2,028,553
ACTAVIS FUNDING SCS 1.85% 03/01/2017$1,905,586
KINDER MORGAN INC/DE 2% 12/01/2017$1,879,032
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.375% 07/15/2018$1,822,601
UNITED STATES TREASURY NOTE/BOND 1.625% 02/15/2026$1,470,351
UBS AG 5.125% 05/15/2024$1,326,000
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIE .639% 05/25/2036$1,241,919
BANK OF AMERICA CORP 5.75% 12/01/2017$1,164,297
UNITED STATES TREASURY NOTE/BOND 2% 02/15/2025$1,118,412
CREDIT AGRICOLE SA 8.125% 09/19/2033$1,100,714
VOLT XLII LLC 4.25 03/26/2046$968,774
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 3.809% 12/15/2048$948,208
UBS AG 4.75% 05/22/2023$927,338
BG ENERGY CAPITAL PLC 6.5% 11/30/2072$843,426
UNITED STATES TREASURY NOTE/BOND 2.5 02/15/2046$806,916
FORD MOTOR CREDIT CO LLC 6.625% 08/15/2017$740,993
INTESA SANPAOLO SPA 2.375% 01/13/2017$703,305
INTESA SANPAOLO SPA 6.5% 02/24/2021$571,750
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015 3.137% 02/10/2048$535,789
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.31% 08/15/2019$529,315
ALLY MASTER OWNER TRUST 1.63% 05/15/2020$528,743
HARLEY-DAVIDSON MOTORCYCLE TRUST 1.3% 03/16/2020$527,909
PORSCHE INNOVATIVE LEASE OWNER TRUST 201 1.43% 05/21/2021$527,329
BANK OF THE WEST AUTO TRUST 2015-1 1.31% 10/15/2019$525,988
WORLD FINANCIAL NETWORK CREDIT CARD MAST 1.76% 05/17/2021$522,768
ACTAVIS FUNDING SCS 3.45% 03/15/2022$508,598
ALLY MASTER OWNER TRUST 1.72% 07/15/2019$501,665
FORD CREDIT FLOORPLAN MASTER OWNER TRUST 1.98% 01/15/2022$500,642
GM FINANCIAL AUTOMOBILE LEASING TRUST 20 1.68% 12/20/2018$482,416
HSBC HOME EQUITY LOAN TRUST USA 2007-1 0.9055% 03/20/2036$476,872
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 2.799% 12/25/2027$440,061
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 0.6008% 03/25/2036$426,474
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$407,200
ENTERPRISE FLEET FINANCING LLC 1.3% 09/20/2020$405,503
COMM 2014-KYO MORTGAGE TRUST 1.091% 06/11/2027$398,311
NEW VALLEY GENERATION I 7.299% 03/15/2019$378,109
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 3.789% 12/15/2047$377,700
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$377,430
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 1.31% 05/15/2019$369,760
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRU 1.82% 09/15/2020$369,604
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN0 3.369% 03/13/2035$366,352
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2.1% 03/20/2019$360,660
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.439% 01/15/2049$353,348
EXELON CORP 2.85% 06/15/2020$353,134
GE DEALER FLOORPLAN MASTER NOTE TRUST .583% 07/20/2019$349,506
UBS AG/STAMFORD CT 7.625% 08/17/2022$345,326
ML-CFC COMMERCIAL MORTGAGE TRUST 2006-4 5.166% 12/12/2049$333,707
BMW FLOORPLAN MASTER OWNER TRUST .698% 07/15/2020$318,700
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.844% 03/25/2028$318,501
CARMAX AUTO OWNER TRUST 2013-4 1.28% 05/15/2019$317,063
PNC BANK NA 3.25% 06/01/2025$311,360
FFMLT TRUST 2005-FF11 .879% 11/25/2035$307,273
FORD CREDIT AUTO LEASE TRUST 2014-B .89% 09/15/2017$306,728
CITIZENS BANK NA/PROVIDENCE RI 2.3% 12/03/2018$301,730
ACTAVIS FUNDING SCS 1.158% 09/01/2016$300,384
SPRINT CAPITAL CORP 6.9% 05/01/2019$281,250
RELIANCE HOLDING USA INC 5.4% 02/14/2022$277,274
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$277,146
KLA-TENCOR CORP 4.65% 11/01/2024$276,020
WALGREENS BOOTS ALLIANCE INC 3.8% 11/18/2024$273,412
LONG BEACH MORTGAGE LOAN TRUST 2005-2 1.129% 04/25/2035$273,307
CITIGROUP INC 3.3% 04/27/2025$272,598
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$272,288
JPMORGAN CHASE & CO 3.2% 01/25/2023$272,283
TIME WARNER INC 3.55% 06/01/2024$271,972
AMERICAN TOWER CORP 4.7% 03/15/2022$271,676
LABORATORY CORP OF AMERICA HOLDINGS 3.6% 02/01/2025$271,262
BECTON DICKINSON AND CO 3.734% 12/15/2024$270,854
BANK OF AMERICA CORP 4% 04/01/2024$268,994
MORGAN STANLEY 3.875% 04/29/2024$268,606
METLIFE INC 4.368% 09/15/2023$268,534
BP CAPITAL MARKETS PLC 3.814% 02/10/2024$268,304
LYONDELLBASELL INDUSTRIES NV 5.75% 04/15/2024$267,477
CHEVRON CORP 2.411% 03/03/2022$266,903
JPMORGAN CHASE & CO 3.875% 02/01/2024$266,824
SANTANDER HOLDINGS USA INC/PA 2.65% 04/17/2020$266,768
VERIZON COMMUNICATIONS INC 4.6% 04/01/2021$266,758
AT&T INC 3% 02/15/2022$266,686
ALTRIA GROUP INC 2.625% 01/14/2020$266,678
TYSON FOODS INC 2.65% 08/15/2019$266,481
SOCIETE GENERALE SA 5.2% 04/15/2021$265,700
MITSUBISHI UFJ FINANCIAL GROUP INC 2.5151 03/01/2021$265,630
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 4.42 06/15/2021$265,485
HARTFORD FINANCIAL SERVICES GROUP INC/TH 5.125% 04/15/2022$264,706
21ST CENTURY FOX AMERICA INC 4.5% 02/15/2021$264,629
MORGAN STANLEY 2.65% 01/27/2020$264,233
ACTAVIS FUNDING SCS 3.8% 03/15/2025$264,164
ENTERPRISE PRODUCTS OPERATING LLC 2.55% 10/15/2019$264,093
21ST CENTURY FOX AMERICA INC 6.15% 02/15/2041$263,911
NEWELL RUBBERMAID INC 3.15 04/01/2021$263,878
LINCOLN NATIONAL CORP 4% 09/01/2023$263,831
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENL 4.375% 08/04/2025$260,844
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.9745% 07/25/2028$260,671
PERRIGO FINANCE PLC 3.5% 12/15/2021$260,392
GRUPO BIMBO SAB DE CV 3.875% 06/27/2024$260,145
KINDER MORGAN ENERGY PARTNERS LP 3.95% 09/01/2022$260,113
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-SGP 1.894% 07/15/2036$259,633
AT&T INC 5.875 10/01/2019$259,129
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.749% 10/25/2024$258,466
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 1.118% 06/15/2029$258,342
BANK OF AMERICA CORP 5.625% 07/01/2020$257,269
BNP PARIBAS SA 5% 01/15/2021$256,553
FORD MOTOR CREDIT CO LLC 5.875% 08/02/2021$256,275
WYNDHAM WORLDWIDE CORP 4.25% 03/01/2022$256,008
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2015-B 1.91% 03/16/2020$255,796
SPECTRA ENERGY PARTNERS LP 4.6% 06/15/2021$255,334
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.949% 10/25/2024$253,903
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 4.199% 08/25/2024$250,029
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.921% 04/25/2028$249,488
ENERGY TRANSFER PARTNERS LP 4.05% 03/15/2025$249,164
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.2216% 05/25/2028$248,565
GS MORTGAGE SECURITIES TRUST 2007-GG10 5.989% 08/10/2045$247,351
CONOCOPHILLIPS 6% 01/15/2020$247,232
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.096 10/25/2028$247,105
FREDDIE MAC STRUCTURED AGENCY CREDIT RIS 3.949% 09/25/2024$242,753
MOTOROLA SOLUTIONS INC 7.5% 05/15/2025$238,775
GLENCORE FUNDING LLC 4% 04/16/2025$228,659
CVS HEALTH CORP 3.875% 07/20/2025$226,286
ENLINK MIDSTREAM PARTNERS LP 4.4% 04/01/2024$223,157
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$218,755
NEWMONT MINING CORP 4.875% 03/15/2042$216,707
KBC BANK NV 8% 01/25/2023$216,485
DIAMOND OFFSHORE DRILLING INC 3.45% 11/01/2023$216,047
CAPITAL ONE MULTI-ASSET EXECUTION TRUST 1.6% 05/17/2021$214,658
LSTAR COMMERCIAL MORTGAGE TRUST 2015-3 2.729% 04/20/2048$214,312
MCGRAW HILL FINANCIAL INC 4.4% 02/15/2026$209,328
SANTANDER UK PLC 5% 11/07/2023$209,119
GOLDMAN SACHS GROUP INC/THE 1.925% 11/29/2023$205,783
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$202,336
UBS GROUP FUNDING JERSEY LTD 2.4091 04/14/2021$201,660
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557 04/10/2031$201,405
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.749% 02/25/2025$201,163
JPMBB COMMERCIAL MORTGAGE SECURITIES TRU 3.801% 08/15/2048$199,584
REYNOLDS AMERICAN INC 4% 06/12/2022$198,015
PETROBRAS GLOBAL FINANCE BV 5.75% 01/20/2020$197,558
H/2 ASSET FUNDING LTD SERIES 2015-1 1.861% 06/24/2049$194,337
STANDARD CHARTERED PLC 6.409% 01/30/2017$182,500
GMF FLOORPLAN OWNER REVOLVING TRUST 1.65% 05/15/2020$181,376
PETROBRAS GLOBAL FINANCE BV 4.875% 03/17/2020$181,140
FANNIE MAE CONNECTICUT AVENUE SECURITIES 4.43885 05/25/2025$180,209
SCHLUMBERGER HOLDINGS CORP 3% 12/21/2020$179,605
ABBVIE INC 3.6% 05/14/2025$177,435
HYUNDAI AUTO LEASE SECURITIZATION TRUST 1.4% 11/15/2018$175,351
WORLD FINANCIAL NETWORK CREDIT CARD MAST 2.55% 06/17/2024$171,331
FREEPORT-MCMORAN INC 4.55% 11/14/2024$171,175
PLAINS ALL AMERICAN PIPELINE LP / PAA FI 3.6% 11/01/2024$169,104
AT&T INC 5.15 03/15/2042$167,317
CD 2006-CD3 MORTGAGE TRUST 5.617% 10/15/2048$166,688
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.199% 05/25/2025$162,951
SPECTRUM BRANDS INC 5.75% 07/15/2025$162,750
WELLS FARGO COMMERCIAL MORTGAGE TRUST 20 4.62% 12/15/2047$162,306
HCA INC 6.5% 02/15/2020$159,863
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.3765% 08/25/2028$158,697
BARCLAYS DRYROCK ISSUANCE TRUST 1.56% 03/15/2021$158,663
BANK OF AMERICA CORP 6.5% 10/23/2024$158,438
GENERAL MOTORS CO 3.5% 10/02/2018$158,046
SONIC AUTOMOTIVE INC 5% 05/15/2023$158,000
FANNIE MAE REMICS 5 06/25/2045$156,772
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 4.819238% 11/15/2048$156,495
METLIFE INC 5.25% 06/15/2020$156,390
BELLEMEADE RE II LTD 6.933 04/25/2026$156,375
COMM 2014-KYO MORTGAGE TRUST 3.93865 06/11/2027$156,234
DELL EQUIPMENT FINANCE TRUST 2015-2 1.42% 12/22/2017$155,879
KLX INC 5.875% 12/01/2022$154,440
FANNIE MAE REMICS 5.804 09/25/2045$153,850
TACO BELL FUNDING LLC 3.832 05/25/2046$153,704
HERTZ VEHICLE FINANCING LLC 2.48% 08/25/2019$153,597
HERTZ VEHICLE FINANCING LLC 2.02% 09/25/2019$153,562
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908 07/23/2025$150,018
FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.1765% 08/25/2028$147,020
KRAFT HEINZ FOODS CO 3.5% 07/15/2022$143,081
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8 5.039275 09/10/2045$142,962
BIOGEN INC 3.625% 09/15/2022$138,868
ENTERGY CORP 4% 07/15/2022$138,853
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.3385 10/25/2028$138,013
GS MORTGAGE SECURITIES TRUST 2014-GC18 5.112489 01/10/2047$134,181
EXETER AUTOMOBILE RECEIVABLES TRUST 2016-1 8.2% 02/15/2023$131,066
VALEANT PHARMACEUTICALS INTERNATIONAL IN 6.125% 04/15/2025$125,813
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP8 5.48 05/15/2045$123,127
FANNIE MAE REMICS 5.66115 04/25/2046$122,500
FREDDIE MAC REMICS 5.97725 05/15/2037$118,768
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 4.456949% 04/10/2046$115,167
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU 5.372% 05/15/2047$112,867
CITI HELD FOR ASSET ISSUANCE 2016-PM1 4.65 04/15/2025$111,194
CELGENE CORP 3.875% 08/15/2025$110,073
GILEAD SCIENCES INC 3.65% 03/01/2026$108,119
KRAFT HEINZ FOODS CO 2.8% 07/02/2020$107,857
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.7435% 04/25/2028$107,458
FANNIE MAE CONNECTICUT AVENUE SECURITIES 6.435 09/25/2028$107,393
TCF AUTO RECEIVABLES OWNER TRUST 1.02% 08/15/2018$105,921
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.802 08/12/2043$105,109
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$104,767
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.699% 07/25/2025$103,760
REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU 5.75% 10/15/2020$103,375
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2015-3 1.74% 09/15/2021$103,244
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 4.802481% 11/15/2045$98,929
VOLKSWAGEN CREDIT AUTO MASTER TRUST 0.54425% 07/22/2019$98,778
MERCEDES BENZ AUTO LEASE TRUST 2015-B 1.34% 07/16/2018$97,196
NAVIENT CORP 7.25% 01/25/2022$91,794
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.199% 07/25/2025$86,946
BELLEMEADE RE LTD 2.689% 07/25/2025$82,644
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 5.452% 09/15/2039$82,025
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 3.066% 11/25/2025$80,314
NEWELL RUBBERMAID INC 3.85 04/01/2023$78,209
ADVANCED MICRO DEVICES INC 6.75% 03/01/2019$77,830
KOHL'S CORP 5.55 07/17/2045$76,432
SAXON ASSET SECURITIES TRUST 2003-1 4.034% 06/25/2033$76,405
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 5.88783% 01/10/2045$75,559
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2015-3 1.42% 05/17/2021$71,247
EBAY INC 3.8 03/09/2022$70,726
MICRON TECHNOLOGY INC 7.5 09/15/2023$70,518
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.8935% 04/25/2028$68,164
HANESBRANDS INC 4.625 05/15/2024$64,320
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST 2015 2.966% 11/25/2025$63,246
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2 1.2% 12/17/2018$62,567
DRIVE AUTO RECEIVABLES TRUST 2015-D 1.23% 06/15/2018$54,838
CENOVUS ENERGY INC 5.7% 10/15/2019$54,267
FANNIE MAE CONNECTICUT AVENUE SECURITIES 5.7385 10/25/2028$45,166
LAM RESEARCH CORP 2.8 06/15/2021$40,400
HUSKY ENERGY INC 7.25 12/15/2019$37,947
FIDELITY NATIONAL INFORMATION SERVICES INC 3.5 04/15/2023$37,501
MERRILL LYNCH MORTGAGE TRUST 2006-C2 5.739% 08/12/2043$33,953
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-SD1 0.971% 11/25/2050$33,450
DRIVE AUTO RECEIVABLES TRUST 2016-A 1.5% 03/15/2018$24,041
CENOVUS ENERGY INC 3 08/15/2022$12,480
FIDELITY NATIONAL INFORMATION SERVICES INC 5% 10/15/2025$3,346
DRIVE AUTO RECEIVABLES TRUST 2015-C 1.03% 02/15/2018$1,882
 
Short-Term/Cash
Holding NameMarket Value
FIDELITY INSTITUTIONAL MONEY MARKET$16,930,136
 
Other
Holding NameMarket Value
IRS NOK FLOAT .95 5/12/2018 MSCME$7,284,761
USD CCP COLL VM CREDIT SU$1,383,565
IRS NOK FIXED 1.56 5/12/2026 MSCME$898,437
IRS AUD FIXED 2.21 4/27/2018 MSCME$779,264
SWAP CASH COLLATERAL USD$640,000
IRS USD FIXED 1.81 6/9/2020 MSCME$398,811
USD FOR CDX$241,459
USD CCP COLL IM MS$198,556
USD$127,061
IRS GBP FLOAT 1.65 6/5/2020 MSCME$125,575
IRS NZD FIXED 2.25 4/28/2018 MSCME$102,643
IRS NZD FIXED 4.07 6/9/2025 MSCME$53,545
IRS NOK FIXED 1.01 5/19/2018 MSCME$50,008
IRS AUD FLOAT 3.08 05/25 MSCME$43,414
CANADIAN DOLLAR$37,941
IRO USD P 2.25 10/17/2018 MS$32,732
PUT ON 10 YEAR US TREASURY NOTES PUT USD 130.5 24/JUN/2016$32,375
IRO USD P 2.3 3/29/2019 MS$31,930
IRS NZD FLOAT 4.07 6/9/2025 MSCME$25,433
IRS USD FLOAT 1.81 6/9/2020 MSCME$20,450
IRS USD FIXED 1.81 6/9/2020 MSCME$19,767
US 10YR NOTE (CBT) BOND SEP16 (TYU6) COMDTY$16,267
CURRENCY CONTRACT$15,101
FLOAT SPRINT 06/20/2019 5.0 MSC CDS$14,447
IRO USD P 2.25 12/10/2018 MS$14,257
IRO USD P 2.25 11/15/2018 MS$13,106
FLOAT SPRINT 06/20/2019 1.0 MSC CDS$12,641
AUD CCP COLL VM MS$10,233
IRO USD P 2.5 7/25/2016 MS$10,155
IRS GBP FIXED 2.49 6/9/2025 MSCME$9,920
CALL ON 10 YEAR US TREASURY NOTES CALL USD 130.5 24/JUN/2016$9,625
US 5YR NOTE (CBT) BOND SEP16 (FVU6) COMDTY$9,449
EURO-BOBL FUTURE BOND JUN16 (OEM6) COMDTY$4,573
FLOAT ADV MICRO 3/20/2019 5 CITI CDS$4,446
BRITISH POUND$1,290
IRS USD FIXED 2.5 MS 6/15/2046 CME$1,072
CURRENCY CONTRACT$1,002
CANADIAN DOLLAR$729
CURRENCY CONTRACT$722
AUSTRALIAN DOLLAR$404
IRS AUD FIXED 3.08 05/25 MSCME$156
NORWEGIAN KRONE$46
EURO$7
JAPANESE YEN$1
NA.BBB USD 5/11/2063 CT FLOAT CDS$0
INF USD FLOAT 1.9 7/15/2022 CITI$0
INF USD FLOAT 1.95 7/15/2020 CITI$0
INF USD FLOAT 1.92 7/15/2022 CITI$0
INF USD FLOAT 1.75 4/15/2020 CITI$0
INF USD FLOAT 1.39 7/15/2018 BARC$0
INF USD FLOAT 1.9 1/15/2020 CITI$0
INF USD FLOAT 1.89 1/15/2022 CITI$0
INF USD FLOAT 1.95 7/15/2021 CITI$0
INF USD FLOAT 1.71 4/15/2019 CITI$0
INF USD FLOAT 1.96 7/15/2021 CITI$0
INF USD FLOAT 1.96 1/15/2023 CITI$0
IRO USD P .9 6/20/16 RBS$-64
IRS USD FIXED 2.72 11/10/2045 MSCME$-682
IRO USD P 1 6/27/2017 MS$-691
IRS USD FIXED 2 MS 12/16/2020 CME$-704
FIXED ADV MICRO 3/20/2019 5 CITI CDS$-862
IRO USD C 2 7/25/2016 MS$-876
IRS USD FIXED 2.69 8/6/2045 MSCME$-1,289
FIXED SPRINT 06/20/2019 1.0 MSC CDS$-1,419
CURRENCY CONTRACT$-1,557
FIXED SPRINT 06/20/2019 5.0 MSC CDS$-1,622
CURRENCY CONTRACT$-1,706
CURRENCY CONTRACT$-1,743
IRO USD P 1.0 6/24/2016 MS$-1,988
CURRENCY CONTRACT$-3,098
US 2YR NOTE (CBT) BOND SEP16 (TUU6) COMDTY$-3,133
INF SWAP US 1.725 03/04/15-4Y DUB$-5,263
INF USD FIXED 1.39 7/15/2018 BARC$-7,198
IRO USD P 1.15 7/5/2016 GS$-7,222
US LONG BOND(CBT) BOND SEP16 (USU6) COMDTY$-8,146
IRO USD P 1.5 7/5/16 CB$-8,182
US 10YR ULTRA FUT BOND SEP16 (UXYU6) COMDTY$-10,716
IRO USD P 2.6075 11/15/2018 MS$-12,180
IRO USD P 2.59 12/10/2018 MS$-12,978
US ULTRA BOND CBT BOND SEP16 (WNU6) COMDTY$-17,699
IRS USD FLOAT 2.69 8/6/2045 MSCME$-17,959
IRS USD FLOAT 1.81 6/9/2020 MSCME$-19,024
IRO USD P 1.25 7/5/2016 DB$-20,694
NA.BBB USD 5/11/2063 CT FIXED CDS$-22,713
INF USD 1.825 11/16 BPS$-27,426
INF USD 1.935 10/23/2016 RBS$-27,772
IRO USD P 2.605 10/17/2018 MS$-28,662
INF USD FIXED 1.71 4/15/2019 CITI$-28,737
IRO USD P 2.6 3/29/2019 MS$-30,616
CURRENCY CONTRACT$-31,861
INF USD FIXED 1.9 1/15/2020 CITI$-37,600
USD$-42,723
INF USD FIXED 1.95 7/15/2020 CITI$-46,415
IRS USD FIXED 2.75 CS 06/17/2025 CME$-47,666
INF USD FIXED 1.96 1/15/2023 CITI$-48,594
IRS NOK FLOAT 1.01 5/19/2018 MSCME$-49,829
IRS GBP FLOAT 2.49 6/9/2025 MSCME$-50,251
IRS GBP FIXED 1.65 6/5/2020 MSCME$-52,457
IRS USD FLOAT 2.72 11/10/2045 MSCME$-54,744
INF SWP:USD 2.5 7/15/22 DUB$-64,459
INF USD 2.1725 11/01/2018 DUB$-65,589
INF USD FIXED 1.96 7/15/2021 CITI$-69,073
INF USD 1.93 02/10/2017 DB$-75,709
INF USD FIXED 1.89 1/15/2022 CITI$-78,287
IRS USD FIXED 3.75 CS 6/18/2044 CME$-85,332
EURO$-86,294
INF USD FIXED 1.9 7/15/2022 CITI$-91,138
INF USD FIXED 1.75 4/15/2020 CITI$-94,249
IRS NZD FLOAT 2.25 4/28/2018 MSCME$-96,052
IRS USD FIXED 3.25 CS 06/17/2045 CME$-102,619
INF USD FIXED 1.95 7/15/2021 CITI$-103,568
INF USD FIXED 1.92 7/15/2022 CITI$-126,410
INF USD 1.55 11/05/16 RBS$-131,773
INF USD 1.93 10/31/2016 RBS$-149,406
IRS USD FIXED 3.5 12/18/43 GS CME$-238,382
INF SWP:USD 2.25 7/15/17 RBS$-242,628
IRS USD 2.75 FIXED 6/19/43 MS CME$-258,805
INF USD 2.205 10//11/2018 GS$-270,635
INF SWP:USD 2.25 7/15/17 BPS$-297,832
USD CCP COLL VM MS$-299,076
INF USD P 2.5 07-15-2022 BPS$-394,909
IRS USD FIXED 3.50 CS 12/17/2044 CME$-595,302
IRS AUD FLOAT 2.21 4/27/2018 MSCME$-852,040
IRS NOK FLOAT 1.56 5/12/2026 MSCME$-904,263
IRS NOK FIXED .95 5/12/2018 MSCME$-7,277,483
 

Statistics

Duration and Maturity As of Jul 31, 2016
StatisticValue
Average Effective Duration4.74 years
Average Effective Maturity9.53 years
Portfolio Statistics As of Jun 30, 2016
Statistic3-Year5-Year
Beta1.010.98
Alpha-0.73-0.60
Standard Deviation4.314.93
 
 

Footnotes

1.

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

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

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