FORM 11-K |
S | ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Page(s) | |
Financial Statements | |
Supplemental Schedule* | |
2012 | 2011 | |||||||
Assets | ||||||||
Investments | ||||||||
At fair value (Notes 2, 3, and 4) | ||||||||
Investment contracts | $ | 2,002,616,020 | $ | 2,058,759,571 | ||||
Registered investment companies | 5,576,511,926 | 5,471,584,867 | ||||||
Common collective trusts | 3,600,894,907 | 2,450,655,030 | ||||||
Raytheon Company common stock | 1,028,235,551 | 1,048,648,885 | ||||||
Total investments | 12,208,258,404 | 11,029,648,353 | ||||||
Receivables | ||||||||
Receivables for securities sold | 40,194,751 | 31,634,619 | ||||||
Notes receivable from participants | 239,591,741 | 242,084,204 | ||||||
Accrued investment income and other receivables | 28,685,589 | 29,738,745 | ||||||
Total receivables | 308,472,081 | 303,457,568 | ||||||
Total assets | 12,516,730,485 | 11,333,105,921 | ||||||
Liabilities | ||||||||
Due to Trustee | 28,435,894 | — | ||||||
Payable for securities purchased | 16,391,352 | 40,411,410 | ||||||
Accrued investment expenses and other payables | 4,471,457 | 3,855,472 | ||||||
Total liabilities | 49,298,703 | 44,266,882 | ||||||
Net Assets available for benefits at fair value | 12,467,431,782 | 11,288,839,039 | ||||||
Adjustment from fair value to contract value for interest in fully benefit-responsive investment contracts | (95,727,243 | ) | (64,066,806 | ) | ||||
Net assets available for benefits | $ | 12,371,704,539 | $ | 11,224,772,233 |
2012 | ||||
Additions to net assets attributable to: | ||||
Net appreciation of investments (Notes 2, 3 and 4) | $ | 1,021,726,698 | ||
Interest and dividends | 256,921,849 | |||
Interest income on notes receivable from participants (Note 2) | 8,636,430 | |||
Contributions and deferrals | ||||
Employee deferrals | 609,408,574 | |||
Employer contributions | 278,219,320 | |||
887,627,894 | ||||
Total additions | 2,174,912,871 | |||
Deductions from net assets attributable to: | ||||
Distributions to participants | 1,035,292,887 | |||
Administrative expenses | 3,114,277 | |||
Total deductions | 1,038,407,164 | |||
Increase in net assets prior to plan mergers | 1,136,505,707 | |||
Transfers in from affiliate benefit plans (Note 1) | 10,426,599 | |||
Increase in net assets available for benefits | 1,146,932,306 | |||
Net assets, beginning of year | 11,224,772,233 | |||
Net assets, end of year | $ | 12,371,704,539 |
2012 | 2011 | |||||||
Northern Trust Collective S&P 500 Index Fund - DC - Non-Lending | $ | 1,571,114,408 | $ | 1,169,143,471 | ||||
Hartford Capital Appreciation HLS IA | 1,490,988,672 | 1,605,631,538 | ||||||
Janus Balanced N Fund(a) | 1,243,948,230 | — | ||||||
Fidelity Institutional Money Market Fund - Money Market Portfolio | 1,074,219,160 | 1,243,780,114 | ||||||
Raytheon Common Stock | 1,028,235,551 | 1,048,648,885 | ||||||
Northern Trust ACWI ex-US Fund - DC Non-Lending (a) | 803,966,425 | — | ||||||
Pimco Total Return Institutional Fund | 708,894,078 | 575,686,571 | ||||||
Janus Balanced I Fund (b) | — | 1,247,686,825 | ||||||
(a) Investment did not represent more than 5% of the Plan's net assets in 2011. | ||||||||
(b) Investment did not represent more than 5% of the Plan's net assets in 2012. |
Registered investment companies | $ | 415,618,813 | ||
Common collective trusts | 426,054,144 | |||
Raytheon Company common stock | 180,053,741 | |||
$ | 1,021,726,698 |
Level 1: | Quoted prices in active markets for identical assets or liabilities. |
Level 2: | Observable inputs, other than Level 1 prices, such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs that are observable or that we corroborate with observable market data for substantially the full term of the related assets or liabilities. |
Level 3: | Unobservable inputs supported by little or no market activity that are significant to the fair value of the assets or liabilities. |
Fair Value of Investment Assets as of 12/31/2012 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investment contracts | |||||||||||||||
Fixed income | |||||||||||||||
US government and agencies | $ | 709,431,956 | $ | 132,916,172 | $ | — | $ | 842,348,128 | |||||||
Corporate debt | — | 578,160,803 | — | 578,160,803 | |||||||||||
Mortgage backed securities | — | 434,444,095 | — | 434,444,095 | |||||||||||
Asset backed securities | — | 107,116,914 | — | 107,116,914 | |||||||||||
Common collective trust | — | 19,417,182 | — | 19,417,182 | |||||||||||
Other fixed income investments | — | 19,149,783 | — | 19,149,783 | |||||||||||
Futures contracts | 49,766 | — | — | 49,766 | |||||||||||
Wrap contracts | — | — | 1,929,349 | 1,929,349 | |||||||||||
Total investment contracts | 709,481,722 | 1,291,204,949 | 1,929,349 | 2,002,616,020 | |||||||||||
Registered investment companies | |||||||||||||||
Target date mutual funds | 7,882,815 | — | — | 7,882,815 | |||||||||||
Fixed income based mutual funds | 914,564,403 | — | — | 914,564,403 | |||||||||||
Equity based mutual funds | 3,460,961,609 | — | — | 3,460,961,609 | |||||||||||
Money market funds | 1,193,103,099 | — | — | 1,193,103,099 | |||||||||||
Total registered investment companies | 5,576,511,926 | — | — | 5,576,511,926 | |||||||||||
Common collective trusts | |||||||||||||||
Fixed income based funds | — | 493,715,515 | — | 493,715,515 | |||||||||||
Equity based funds | — | 3,107,179,392 | — | 3,107,179,392 | |||||||||||
Total common collective trusts | — | 3,600,894,907 | — | 3,600,894,907 | |||||||||||
Raytheon Company common stock | 1,028,235,551 | — | — | 1,028,235,551 | |||||||||||
Total Investments | $ | 7,314,229,199 | $ | 4,892,099,856 | $ | 1,929,349 | $ | 12,208,258,404 |
Fair Value of Investment Assets as of 12/31/2011 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investment contracts | |||||||||||||||
Fixed income | |||||||||||||||
US government and agencies | $ | 737,135,933 | $ | 127,736,843 | $ | — | $ | 864,872,776 | |||||||
Corporate debt | — | 580,278,628 | — | 580,278,628 | |||||||||||
Mortgage backed securities | — | 463,479,847 | — | 463,479,847 | |||||||||||
Asset backed securities | — | 102,996,699 | — | 102,996,699 | |||||||||||
Common collective trust | — | 33,658,069 | — | 33,658,069 | |||||||||||
Other fixed income investments | — | 10,009,931 | — | 10,009,931 | |||||||||||
Futures contracts | 88,281 | — | — | 88,281 | |||||||||||
Wrap contracts | — | — | 3,375,340 | 3,375,340 | |||||||||||
Total investment contracts | 737,224,214 | 1,318,160,017 | 3,375,340 | 2,058,759,571 | |||||||||||
Registered investment companies | |||||||||||||||
Target date mutual funds | 4,932,325 | — | — | 4,932,325 | |||||||||||
Fixed income based mutual funds | 728,090,670 | — | — | 728,090,670 | |||||||||||
Equity based mutual funds | 3,365,591,250 | — | — | 3,365,591,250 | |||||||||||
Money market funds | 1,372,970,622 | — | — | 1,372,970,622 | |||||||||||
Total registered investment companies | 5,471,584,867 | — | — | 5,471,584,867 | |||||||||||
Common collective trusts | |||||||||||||||
Fixed income based funds | — | 229,947,688 | — | 229,947,688 | |||||||||||
Equity based funds | — | 2,220,707,342 | — | 2,220,707,342 | |||||||||||
Total common collective trusts | — | 2,450,655,030 | — | 2,450,655,030 | |||||||||||
Raytheon Company common stock | 1,048,648,885 | — | — | 1,048,648,885 | |||||||||||
Total Investments | $ | 7,257,457,966 | $ | 3,768,815,047 | $ | 3,375,340 | $ | 11,029,648,353 |
Level 3 Investment Assets - 12/31/2012 | ||||||||||||||||||||||||||
Balance, beginning of year | Realized gains (losses) | Unrealized appreciation (depreciation) | Purchases | Sales | Transfers in (out) of level 3 | Balance, end of year | ||||||||||||||||||||
Investment contracts | ||||||||||||||||||||||||||
Wrap contracts | $ | 3,375,340 | $ | — | $ | (1,445,991 | ) | $ | — | $ | — | $ | — | $ | 1,929,349 | |||||||||||
Total | $ | 3,375,340 | $ | — | $ | (1,445,991 | ) | $ | — | $ | — | $ | — | $ | 1,929,349 |
Level 3 Investment Assets - 12/31/2011 | |||||||||||||||||||||||||||
Balance, beginning of year | Realized gains (losses) | Unrealized appreciation (depreciation) | Purchases | Sales | Transfers in (out) of level 3 | Balance, end of year | |||||||||||||||||||||
Investment contracts | |||||||||||||||||||||||||||
Wrap contracts | $ | 3,668,395 | $ | — | $ | (293,055 | ) | $ | — | $ | — | $ | — | $ | 3,375,340 | ||||||||||||
Investment in the DB/DC Master Trust | 158,774 | (248,991 | ) | 249,035 | (158,818 | ) | — | — | |||||||||||||||||||
Total | $ | 3,827,169 | $ | (248,991 | ) | $ | (44,020 | ) | $ | — | $ | (158,818 | ) | $ | — | $ | 3,375,340 |
December 31, 2012 | December 31, 2011 | ||
Average annual yield | 2.60% | 2.45% | |
Crediting interest rate | 2.50% | 2.63% |
Long Contracts | Short Contracts | ||||||||||||
2012 | 2012 | ||||||||||||
Number of Contracts | Aggregate Face Value | Number of Contracts | Aggregate Face Value | ||||||||||
US 2 Year Treasury Note | 51 | $ | 11,243,906 | — | $ | — | |||||||
US 5 Year Treasury Note | 231 | 28,739,648 | — | — | |||||||||
US 10 Year Treasury Note | 28 | 3,717,875 | — | — | |||||||||
US Ultra Bond (CBT) | — | — | 7 | 1,138,156 | |||||||||
US Long Bond (CBT) | — | — | 48 | 7,080,000 | |||||||||
310 | $ | 43,701,429 | 55 | $ | 8,218,156 |
Long Contracts | Short Contracts | ||||||||||||
2011 | 2011 | ||||||||||||
Number of Contracts | Aggregate Face Value | Number of Contracts | Aggregate Face Value | ||||||||||
US 2 Year Treasury Note | 144 | $ | 31,758,750 | — | $ | — | |||||||
US 5 Year Treasury Note | 548 | 67,545,281 | — | — | |||||||||
US 10 Year Treasury Note | 19 | 2,491,375 | — | — | |||||||||
US Ultra Bond (CBT) | — | — | 20 | 3,203,750 | |||||||||
US Long Bond (CBT) | — | — | 36 | 5,213,250 | |||||||||
711 | $ | 101,795,406 | 56 | $ | 8,417,000 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Investment Contracts | |||||||||||
3M Co Mtn | 1% 6/26/17 | $ | 100,000 | $ | 100,333 | ||||||
Abbvie Inc | 1.75% 11/06/17 144A | 3,318,000 | 3,352,849 | ||||||||
Abbvie Inc | 2% 11/6/18 144A | 2,680,000 | 2,713,446 | ||||||||
Abnanv | 3% 01/14 SNR | 1,680,000 | 1,712,175 | ||||||||
ACE INA Holding | 5.875% 6/15/14 | 400,000 | 429,562 | ||||||||
Aetna Inc | 6.5% 9/15/18 | 1,850,000 | 2,299,234 | ||||||||
Aetna Inc | 4.125% 6/01/21 | 250,000 | 277,435 | ||||||||
Aetna Inc | 1.5% 11/15/17 | 1,533,000 | 1,535,536 | ||||||||
Agrium Inc | 3.15% 10/01/22 | 250,000 | 248,125 | ||||||||
AIG Intl Grp | 4.875% 6/01/22 | 600,000 | 684,237 | ||||||||
AIG Intl Mtn | 8.25% 8/15/18 | 830,000 | 1,090,115 | ||||||||
Air Prods & Chm | 4.15% 2/1/13 | 150,000 | 150,445 | ||||||||
Allied Wrld As | 7.5% 8/01/16 | 1,350,000 | 1,594,642 | ||||||||
Allstate Lf Mtn | 5.375% 4/30/13 | 275,000 | 279,554 | ||||||||
Allya | 2012-5 A2 0.45% 7/15 | 713,000 | 712,914 | ||||||||
Allya | 2012-3 A2 0.7% 2/15/14 | 580,000 | 581,001 | ||||||||
Allya | 2011-1 A3 1.45% 1/15 | 309,966 | 310,965 | ||||||||
Allya | 2011-2 A3 1.18% 4/15 | 318,366 | 319,433 | ||||||||
Allya | 2011-5 A3 .99% 11/15 | 1,000,000 | 1,005,373 | ||||||||
Allya | 2012-1 A2 0.71% 9/14 | 338,628 | 339,119 | ||||||||
Allya | 2012-2 A3 0.74% 4/16 | 827,000 | 830,511 | ||||||||
Allya | 2012-4 A3 0.59% 1/17 | 636,000 | 636,984 | ||||||||
Allyl | 2012-SN1 A3 .57% 8/20/15 | 590,000 | 590,259 | ||||||||
Altria Group | 4.125% 9/11/15 | 650,000 | 705,487 | ||||||||
Altria Group Inc | 8.5% 11/13 | 565,000 | 601,987 | ||||||||
Altria Group Inc | 9.7% 11/10/18 | 1,350,000 | 1,889,183 | ||||||||
Altria Group Inc | 9.25% 8/6/19 | 1,138,000 | 1,581,953 | ||||||||
Amer Honda | 2.5% 9/21/15 144A | 640,000 | 667,346 | ||||||||
Amer Honda Mtn | 1.85% 9/14 144A | 1,000,000 | 1,017,101 | ||||||||
Amer Intl Grp Glb | 5.6% 10/18/16 | 300,000 | 342,494 | ||||||||
American Ex Cc | 2.75% 9/15/15 | 962,000 | 1,008,465 | ||||||||
American Ex Mtn | 2.8% 9/19/16 | 507,000 | 536,277 | ||||||||
American Exp | .875% 11/13/15 | 430,000 | 429,648 | ||||||||
American Exp Mtn | 5.875% 5/13 | 525,000 | 534,482 | ||||||||
American Honda | 1.5% 9/17 144A | 430,000 | 429,726 | ||||||||
American Intl | 4.25% 5/15/13 | 500,000 | 506,073 | ||||||||
American Intl | 5.85% 1/16/18 | 500,000 | 590,889 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
American Intl Grp | 3.8% 3/22/17 | 323,000 | 349,484 | ||||||||
American Water Glb | 6/10/1985 | 150,000 | 179,221 | ||||||||
Amex | 2.65% 12/02/22 144A | 2,012,000 | 2,001,560 | ||||||||
Amgen Inc | 4.1% 6/15/21 | 2,255,000 | 2,495,667 | ||||||||
Amxca | 2012-2 A .68% 3/18 | 2,120,000 | 2,127,122 | ||||||||
Amxca | 2012-5 A 0.59% 5/18 | 2,150,000 | 2,150,159 | ||||||||
Anadarko Pete | 6.95% 6/15/19 | 995,000 | 1,257,498 | ||||||||
Anadarko Petro | 6.375% 9/15/17 | 500,000 | 597,049 | ||||||||
Anglo Ameri | 9.375% 4/8/14 144A | 545,000 | 599,129 | ||||||||
Anheuser Busch | 1.375% 7/15/17 | 450,000 | 454,579 | ||||||||
Anheuser Busch | 2.5% 7/15/22 | 870,000 | 874,412 | ||||||||
Anheuser-Busch Mtn | 4.375% 2/21 | 2,525,000 | 2,935,209 | ||||||||
Aon Corp | 3.125% 5/27/16 | 1,800,000 | 1,894,504 | ||||||||
Apache Corp | 1.75% 4/15/17 | 123,000 | 126,262 | ||||||||
Aristotle Hldg | 2.75% 11/14 144 | 1,885,000 | 1,944,557 | ||||||||
Astrazeneca Plc Glb | 5.4% 6/1/14 | 220,000 | 235,094 | ||||||||
AT&T Broadband | 8.375% 3/15/13 | 146,000 | 148,302 | ||||||||
AT&T Inc | 5.8% 2/15/19 | 300,000 | 367,838 | ||||||||
AT&T Inc | 2.95% 5/15/16 | 1,000,000 | 1,058,449 | ||||||||
AT&T Inc | 3.875% 8/15/21 | 2,935,000 | 3,267,697 | ||||||||
AT&T Inc | 1.6% 2/15/17 | 1,110,000 | 1,122,676 | ||||||||
AT&T Inc | 1.4% 12/01/17 | 3,590,000 | 3,589,314 | ||||||||
Atmos Energy | 6.35% 6/15/17 | 200,000 | 241,853 | ||||||||
Australia & Nz | 1.875% 10/06/17 | 430,000 | 438,230 | ||||||||
Autozone Inc | 3.7% 4/15/22 | 590,000 | 619,601 | ||||||||
Axis Specialty | 5.875% 6/1/20 | 2,150,000 | 2,438,691 | ||||||||
BAAT | 2012-1 A3 0.78% 6/16 | 1,910,000 | 1,918,880 | ||||||||
BACCT | 2007-A3 A3 1ML+2 11/16 | 1,300,000 | 1,299,333 | ||||||||
BACCT | 2006-A7 A7 1ML+4 12/16 | 1,885,000 | 1,884,431 | ||||||||
BACCT | 2007-A6 A6 1ML+6 9/16 | 3,745,000 | 3,745,060 | ||||||||
BACM | 2005-2 A5 CSTR 7/43 | 2,240,000 | 2,430,662 | ||||||||
Bank Amer | 4.9% 5/01/13 | 415,000 | 420,663 | ||||||||
Bank Amer | 5.65% 5/01/18 | 4,525,000 | 5,262,611 | ||||||||
Bank Amer | 4.5% 4/1/15 | 2,210,000 | 2,355,544 | ||||||||
Bank Amer Fdg | 3.7% 9/1/15 | 2,745,000 | 2,901,627 | ||||||||
Bank Amer Fdg C | 3.875% 3/22/17 | 1,740,000 | 1,886,475 | ||||||||
Bank Amer Mtn | 6.5% 8/1/16 | 1,590,000 | 1,835,590 | ||||||||
Bank America Crp | 1.5% 10/09/15 | 450,000 | 452,264 | ||||||||
Bank America Med | 3/3/625 | 980,000 | 1,038,153 | ||||||||
Bank Montreal Mtn | 2.5% 1/11/17 | 450,000 | 471,562 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Bank Nova Scotia | 3.4% 1/22/15 | 2,720,000 | 2,867,636 | ||||||||
Bank Nova Scotia | 1.85% 1/12/15 | 1,235,000 | 1,264,738 | ||||||||
Bank Nova Scotia | 2.55% 1/12/17 | 150,000 | 157,788 | ||||||||
Bank Nova Scotia | .75% 10/9/15 | 2,105,000 | 2,093,298 | ||||||||
Bank Of America | 6% 9/01/17 | 905,000 | 1,059,417 | ||||||||
Bank Of America | 3.75% 7/12/16 | 1,395,000 | 1,490,758 | ||||||||
Bank Of America Cor | 5.7% 1/22 | 640,000 | 768,848 | ||||||||
Bank Of Nova Sc | 2.05% 10/07/15 | 2,500,000 | 2,583,490 | ||||||||
Bank Of NY | 4.3% 5/15/14 | 510,000 | 535,994 | ||||||||
Bank Of NY | 5.45% 5/15/19 | 480,000 | 573,137 | ||||||||
Bank Of NY | 2.3% 7/28/16 | 610,000 | 637,430 | ||||||||
Bank Of NY Mtn | 2.4% 1/17/17 | 589,000 | 616,851 | ||||||||
Bank Tokyo | 2.6% 1/22/13 144A | 870,000 | 870,787 | ||||||||
Bankamer Glb | 5.125% 11/15/14 | 250,000 | 266,611 | ||||||||
Barclays Bank | 2.375% 1/13/14 | 1,500,000 | 1,525,320 | ||||||||
Barclays Bank Mtn | 5.2% 7/10/14 | 215,000 | 228,764 | ||||||||
Barclays Glb Mtn | 5% 9/22/16 | 5,500,000 | 6,163,190 | ||||||||
Barrick Gold | 2.9% 5/30/16 | 2,000,000 | 2,097,856 | ||||||||
Bat Intl Fin | 2.125% 6/7/17 144 | 2,100,000 | 2,151,059 | ||||||||
Baxter Intl | 4% 3/1/14 | 115,000 | 119,447 | ||||||||
Baxter Intl Glbl | 4/3/625 | 100,000 | 108,292 | ||||||||
BB&T Corporation | 6.85% 4/19 | 50,000 | 63,622 | ||||||||
BB&T Sr Mtn B | 3.375% 9/25/13 | 400,000 | 408,318 | ||||||||
Bear | 7.25% 2/01/18 | 1,350,000 | 1,691,014 | ||||||||
Bear Stearns Co | 5.3% 10/30/15 | 675,000 | 747,971 | ||||||||
Becton Dickinso | 1.75% 11/8/16 | 1,170,000 | 1,204,197 | ||||||||
Bellsouth Corp | 5.2% 9/15/14 | 150,000 | 161,117 | ||||||||
Berk Hath Inc | 2.2% 8/15/16 | 133,000 | 138,732 | ||||||||
Berkley Wr Corp | 5.375% 9/15/20 | 1,300,000 | 1,452,978 | ||||||||
Berkley Wr Corpmtn | 7.375% 9/19 | 700,000 | 855,553 | ||||||||
Berkshire Hath Glb | 5 8/15/13 | 70,000 | 71,992 | ||||||||
Berkshire Hathaway | 4.6 5/15/13 | 350,000 | 355,427 | ||||||||
Bk Nova Scotia | 1.375% 12/18/17 | 1,070,000 | 1,071,072 | ||||||||
Bk Of Amer Glb | 5.625 10/16 MTN | 250,000 | 282,598 | ||||||||
Blackrock Inc | 3.5% 12/10/14 | 1,725,000 | 1,821,798 | ||||||||
BMWLT | 2011-1 A3 1.06% 2/14 | 330,883 | 331,440 | ||||||||
BMWLT | 2012-1 A3 .75% 2/20/15 | 470,000 | 471,598 | ||||||||
BMWOT | 2011-A A3 .76% 8/15 | 4,060,000 | 4,073,629 | ||||||||
Boit | 2003-A4 A4 1ML+25 1/16 | 1,000,000 | 1,000,900 | ||||||||
Boit | 2003-A8 A8 1ML+25 5/16 | 400,000 | 400,604 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Boit | 2004-A3 A3 1ML+17 2/17 | 2,500,000 | 2,504,440 | ||||||||
BP Cap Markets | 5.25% 11/07/13 | 200,000 | 208,121 | ||||||||
BP Cap Markets | 3.125% 10/1/15 | 1,500,000 | 1,592,196 | ||||||||
BP Cap Markt Plc Mtn | 4.5% 10/20 | 750,000 | 863,543 | ||||||||
BP Cap Mkts | 3.561% 11/01/2021 | 665,000 | 717,828 | ||||||||
BP Capital Markets | 2.248% 11/16 | 440,000 | 457,634 | ||||||||
BP Capital Mkts | 1.375% 11/6/17 | 450,000 | 450,229 | ||||||||
Branch Bank Mtn | 4.875% 1/15/13 | 150,000 | 150,224 | ||||||||
Brit Colmb Prov | 2.1% 5/18/16 | 1,170,000 | 1,229,114 | ||||||||
British Colmb Pro | 1.2% 4/25/17 | 2,540,000 | 2,584,742 | ||||||||
British Telecom | 5.15% 1/15/13 | 935,000 | 936,289 | ||||||||
BSCMS | 05-T18 A4 4.933% 2/42 | 650,000 | 702,005 | ||||||||
BSCMS | 05-PWR8 A4 4.674% 6/41 | 460,000 | 498,560 | ||||||||
BSCMS | 2004-PWR4 A3 CSTR 6/41 | 212,999 | 223,900 | ||||||||
BSCMS | 06-PW11 AAB CSTR 3/39 | 238,256 | 248,285 | ||||||||
BSCMS | 2007-PW15 AAB 5.315% 2/44 | 941,188 | 975,516 | ||||||||
BSCMS | 2007-PW16 AAB CSTR 6/40 | 2,719,579 | 2,919,213 | ||||||||
Bunge Ltd Glb | 5/5/875 | 125,000 | 127,217 | ||||||||
Burlington North San | 4.1% 6/21 | 2,000,000 | 2,228,500 | ||||||||
Cameron Intl Crp | 4.5% 6/01/21 | 1,490,000 | 1,665,594 | ||||||||
Canada Govt | .875% 2/14/17 | 2,585,000 | 2,605,098 | ||||||||
Canada Natural | 1.45% 11/14/14 | 450,000 | 456,397 | ||||||||
Canadian Imp Bk | .9% 10/01/15 | 357,000 | 358,509 | ||||||||
Capital One Fin | 6.25% 11/15/13 | 325,000 | 340,700 | ||||||||
Capital One Fin | 6.75% 9/15/17 | 100,000 | 122,088 | ||||||||
Capital One Fin | 2.15% 3/23/15 | 1,070,000 | 1,092,121 | ||||||||
Capital One Fin Co | 1% 11/06/15 | 430,000 | 428,512 | ||||||||
Capital One USA Mtn | 8.8% 7/19 | 2,050,000 | 2,773,857 | ||||||||
Carmx | 2012-1 A3 0.89% 9/16 | 1,200,000 | 1,207,834 | ||||||||
Carmx | 2012-3 A3 0.52% 7/17 | 330,000 | 329,875 | ||||||||
Carolina P & L | 5/9/125 | 160,000 | 165,313 | ||||||||
Caterp Fin Serv | 5.5 3/15/16 | 75,000 | 86,104 | ||||||||
Caterpillar Inc | 2.6% 6/26/22 | 1,470,000 | 1,480,859 | ||||||||
Caterpilr Fin Mtn | 4.9% 8/15/13 | 370,000 | 380,227 | ||||||||
CBS Corp | 8.875% 5/15/19 | 900,000 | 1,213,010 | ||||||||
CBS Corp New | 3.375% 3/01/22 | 805,000 | 836,120 | ||||||||
CCCIT | 2003-A10 A10 4.75% 12/15 | 1,010,000 | 1,051,375 | ||||||||
CCCIT | 04-A8 A8 4.9% 12/16 | 5,700,000 | 6,182,325 | ||||||||
CCCIT | 2008-A5 A5 4.85% 4/15 | 1,030,000 | 1,044,616 | ||||||||
CCCIT | 2008-A6 A6 1ML+120 5/17 | 1,500,000 | 1,537,278 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
CCCIT | 2009-A4 A4 4.9% 6/16 | 420,000 | 447,603 | ||||||||
CCCIT | 2012-A1 A1 0.55% 10/17 | 1,190,000 | 1,189,013 | ||||||||
CD | 2005-CD1 A4 CSTR 7/44 | 2,123,000 | 2,355,984 | ||||||||
CD | 06-CD2 A4 CSTR 1/46 | 2,000,000 | 2,239,810 | ||||||||
CDP Finl Inc | 3% 11/25/14 144A | 1,740,000 | 1,818,507 | ||||||||
Celgene Corp | 1.9% 8/15/17 | 720,000 | 732,666 | ||||||||
Cenovus Energy Inc | 3% 8/15/22 | 920,000 | 938,521 | ||||||||
Centerpoint Ener | 6.125% 11/1/17 | 50,000 | 60,022 | ||||||||
Centurytel Inc | 5% 2/15/15 | 1,000,000 | 1,062,837 | ||||||||
CFGNR | 2011-150 D 3% 4/37 | 279,114 | 286,469 | ||||||||
CGCMT | 2006-C5 A4 5.431% 10/49 | 370,000 | 424,511 | ||||||||
CHAIT | 2008-A6 A6 1ML+120 5/15 | 1,350,000 | 1,355,920 | ||||||||
CHAIT | 2012-A3 A3 0% 6/17 | 2,150,000 | 2,163,890 | ||||||||
CHAIT | 2012-A5 A5 .59% 8/17 | 2,170,000 | 2,172,222 | ||||||||
CHAIT | 2012-A8 A8 0.54% 10/17 | 3,500,000 | 3,495,625 | ||||||||
Chevron Corp Ne | 1.104% 12/5/17 | 3,017,000 | 3,036,921 | ||||||||
Cigna | 4% 2/15/22 | 1,670,000 | 1,823,647 | ||||||||
Cigna Mtn | 5.125% 6/15/20 | 1,350,000 | 1,539,262 | ||||||||
Cisco Systems | 5.5% 2/22/16 | 80,000 | 91,423 | ||||||||
Citigroup | 5.125% 5/5/14 | 295,000 | 310,770 | ||||||||
Citigroup | 5% 9/15/14 | 1,890,000 | 1,988,446 | ||||||||
Citigroup | 5.5% 4/11/13 | 800,000 | 808,242 | ||||||||
Citigroup | 6.375% 8/12/14 | 35,000 | 37,823 | ||||||||
Citigroup | 4.75% 5/19/15 | 1,810,000 | 1,951,113 | ||||||||
Citigroup | 3.953% 6/15/16 | 1,635,000 | 1,759,394 | ||||||||
Citigroup Frn | 3ML+28 11/05/14 | 700,000 | 694,751 | ||||||||
Citigroup Frn | 8/13/2013 | 1,300,000 | 1,312,484 | ||||||||
Citigroup Inc | 6.5% 08/13 SNR | 3,500,000 | 3,621,090 | ||||||||
Citigroup Inc | 4.5% 1/14/22 | 755,000 | 841,472 | ||||||||
Citigroup Inc | 4.45% 1/10/17 | 2,465,000 | 2,729,916 | ||||||||
Citigroup Inc | 2.65% 3/02/15 | 450,000 | 463,365 | ||||||||
Citigroup Inc | 2.25% 8/07/15 | 500,000 | 512,025 | ||||||||
Citigroup Inc Glb | 4.7% 5/29/15 | 100,000 | 107,702 | ||||||||
Citigroup Inc Mtn | 8.5% 5/22/19 | 2,500,000 | 3,359,145 | ||||||||
Cleveland Elec | 7.88% 11/01/17 | 80,000 | 100,392 | ||||||||
Cme Group Inc | 5.75% 2/14 | 75,000 | 79,204 | ||||||||
Cmmonwlth Bk | 3.5% 3/19/15 144A | 500,000 | 528,574 | ||||||||
Coca-Coal Ent | 1.125% 11/12/13 | 698,000 | 701,126 | ||||||||
Coca-Cola Co | 1.8% 9/01/16 WI | 1,735,000 | 1,791,486 | ||||||||
COELT | 05-B A2 @LIBUS3+10 12/21 | 869,724 | 868,452 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Colgate-Palm Mtn | 1.375% 11/15 | 1,500,000 | 1,532,373 | ||||||||
Comcast Corp | 5.3% 1/15/14 | 100,000 | 104,918 | ||||||||
Comcast Corp | 5.9% 3/15/16 | 2,100,000 | 2,412,188 | ||||||||
Comcast Corp Glb | 5.875% 2/15/18 | 1,972,000 | 2,375,501 | ||||||||
Comerica Inc | 3% 9/16/15 | 74,000 | 78,131 | ||||||||
Comet | 2008-A3 A3 5.05% 2/16 | 1,900,000 | 1,926,292 | ||||||||
Comm | 2012-LC4 A1 1.156% 12/44 | 646,206 | 652,148 | ||||||||
Comm | 2012-CR5 A1 0.673% 12/45 | 320,000 | 320,000 | ||||||||
Comm | 2012-CR1 A1 1.116% 5/45 | 161,771 | 163,253 | ||||||||
Comm | 2012-CR1 A2 2.35% 5/45 | 360,000 | 378,763 | ||||||||
Comm | 2004-LB2A A4 4.715 3/39 | 1,509,776 | 1,562,709 | ||||||||
Comm | 2006-C8 A4 0% 12/46 | 2,290,000 | 2,630,903 | ||||||||
Comm | 2006-C7 A4 CSTR 6/46 | 2,755,000 | 3,128,586 | ||||||||
Commonwealth Edi | 3.4% 9/01/21 | 1,615,000 | 1,741,895 | ||||||||
Commonwealth NY | 1.95% 3/16/15 | 1,750,000 | 1,795,747 | ||||||||
Conocophillips | 4.75% 2/1/14 | 53,000 | 55,400 | ||||||||
Costco Whl New | .65% 12/07/15 | 226,000 | 226,105 | ||||||||
Coventry Health | 5.95% 3/15/17 | 1,000,000 | 1,162,100 | ||||||||
Coventry Hlth | 5.45% 6/15/21 | 300,000 | 356,221 | ||||||||
Cr Bard Inc | 1.375% 1/15/18 | 1,205,000 | 1,210,894 | ||||||||
Credit Suis Fb Usa | 5/8/125 | 125,000 | 138,716 | ||||||||
Credit Suisse Fb | 4.875% 1/15/15 | 200,000 | 215,543 | ||||||||
CSFB | 2003-C4 A4 5.137% 8/36 | 350,702 | 354,859 | ||||||||
CSFB | 2005-C5 A4 5.1% 8/38 | 3,250,000 | 3,572,290 | ||||||||
CSFB | 05-C5 AM CSTR 8/38 | 1,200,000 | 1,317,575 | ||||||||
CSFB | 05-C6 A4 5.23% 12/40 | 2,689,637 | 2,962,524 | ||||||||
CSMC | 2007-C2 A2 CSTR 1/49 | 142,339 | 143,539 | ||||||||
CSMC | 2006-C1 A4 CSTR 2/39 | 1,600,000 | 1,805,142 | ||||||||
Daimler Fin | 1.875% 9/15/14144A | 2,885,000 | 2,932,285 | ||||||||
Daimler Fin Llc | 2.3% 1/15 144A | 1,270,000 | 1,300,466 | ||||||||
Daimler Fin Nor | 1.3% 7/15 144A | 430,000 | 432,463 | ||||||||
Daimler Fina Na | 1.65% 4/15 144 | 1,690,000 | 1,710,615 | ||||||||
DBUBS | 2011-LC3A A1 2.238% 8/44 | 101,011 | 103,610 | ||||||||
DCENT | 2008-A4 A4 5.65 12/15 | 150,000 | 153,642 | ||||||||
DCENT | 2010-A1 A1 1ML+65 9/15 | 2,000,000 | 2,002,178 | ||||||||
DCENT | 2012-A1 A1 0.81% 8/17 | 2,744,000 | 2,764,802 | ||||||||
DCENT | 2012-A3 A 0.86% 11/15/17 | 1,720,000 | 1,731,265 | ||||||||
DCENT | 2012-A5 A5 1ML+20 1/18 | 2,900,000 | 2,902,069 | ||||||||
DCP Midstream | 9.75% 3/15/19 144 | 1,475,000 | 1,949,826 | ||||||||
Deutsche Tel | 2.25% 3/6/17 144A | 1,545,000 | 1,583,872 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Deutsche Tel Glb | 5.25% 7/22/13 | 390,000 | 399,974 | ||||||||
Deutsche Tel Mtn | 4.875% 7/8/14 | 350,000 | 370,321 | ||||||||
Devon Energy Co | 3.25% 5/15/22 | 1,000,000 | 1,042,539 | ||||||||
Diageo Cptl Glb | 5.2% 1/30/13 | 1,289,000 | 1,293,741 | ||||||||
Directv Hld Globl | 4.75% 10/1/14 | 1,300,000 | 1,388,036 | ||||||||
Directv Hldgs | 3.5% 3/01/16 | 1,700,000 | 1,800,557 | ||||||||
Directv Hldgs | 3.8% 3/15/22 | 1,090,000 | 1,123,285 | ||||||||
Directv Holdgs LLC | 3.125% 2/16 | 1,400,000 | 1,465,775 | ||||||||
Disney (Walt) Mtn | 1.1% 12/1/17 | 381,000 | 381,654 | ||||||||
Dominion Resour | 2.25% 9/1/15 | 425,000 | 440,347 | ||||||||
Dow Chemical | 3% 11/15/22 | 1,425,000 | 1,420,139 | ||||||||
Dr Pepper Snapp | 2.9% 1/15/16 | 685,000 | 721,599 | ||||||||
Duke Cap Corp | 6.25% 2/15/13 | 1,000,000 | 1,006,344 | ||||||||
Duke Cap Corp | 5.5% 3/01/14 | 380,000 | 399,727 | ||||||||
Duke Energy Car | 5.75% 11/15/13 | 395,000 | 412,661 | ||||||||
Duke Energy Car | 1.75% 12/15/16 | 705,000 | 722,554 | ||||||||
Duke Energy Cor | 2.15% 11/15/16 | 75,000 | 77,119 | ||||||||
Duke Energy Cor | 1.625% 8/15/17 | 855,000 | 856,930 | ||||||||
Dupont Ei Glbl | 4/4/875 | 95,000 | 100,363 | ||||||||
Dupont Mtn | 4.125% 3/06/13 | 100,000 | 100,668 | ||||||||
Ebay Inc | 1.35% 7/15/17 | 390,000 | 394,403 | ||||||||
Ecolab Inc | 4.35% 12/8/21 | 770,000 | 858,559 | ||||||||
Encana Hldgs | 5.8% 5/1/14 | 430,000 | 457,085 | ||||||||
Entergy La Llc | 1.875% 12/15/14 | 603,000 | 616,095 | ||||||||
Enterprise Produ | 1.25% 8/13/15 | 330,000 | 332,001 | ||||||||
Eog Resources In | 6/10/125 | 75,000 | 78,119 | ||||||||
Erac USA Fin Mtn | 2.25% 1/14 144A | 1,750,000 | 1,767,831 | ||||||||
Erac USA Llc | 3.3% 10/22 144A | 745,000 | 753,396 | ||||||||
Erp Operat Lp | 4.625% 12/15/21 | 82,000 | 92,272 | ||||||||
Export Dev Can Glb | 3.5% 5/16/13 | 1,000,000 | 1,012,128 | ||||||||
Export Dev Canada | 1.5% 5/15/14 | 290,000 | 294,846 | ||||||||
Fed Realty Tr | 5.4% 12/01/13 | 220,000 | 229,023 | ||||||||
FHLB | 1.875% 6/21/13 | 8,635,000 | 8,705,712 | ||||||||
FHLG | 6.50% 5/33 #N50075 | 106,167 | 118,834 | ||||||||
FHLG | 15YR 5.00% 1/20 #M30030 | 48,081 | 51,047 | ||||||||
FHLG | 15YR 5.00% 11/17 #M30281 | 95,683 | 101,585 | ||||||||
FHLG | 15YR 6.00% 1/18 #M50041 | 50,005 | 52,371 | ||||||||
FHLG | 6.00% 8/26 #G00587 | 74,423 | 81,415 | ||||||||
FHLG | 8.50% 7/28 #G00981 | 199,728 | 238,219 | ||||||||
FHLG | 5.50% 3/34 #G01665 | 302,629 | 330,930 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FHLG | 15YR 5.0% 4/20 #G11682 | 1,169,579 | 1,266,478 | ||||||||
FHLG | 15YR 5.50% 2/20 #G11728 | 3,268,148 | 3,515,047 | ||||||||
FHLG | 15YR 6.50% 4/18 #G11452 | 133,062 | 143,390 | ||||||||
FHLG | 15YR 4.50% 1/19 #G11565 | 133,220 | 141,786 | ||||||||
FHLG | 10.00% 10/30 #G20027 | 633,328 | 735,966 | ||||||||
FHLG | 15YR 5.00% 5/18 #P10034 | 250,822 | 260,792 | ||||||||
FHLG | 15YR 6.50% 7/14 #P60031 | 182,288 | 186,739 | ||||||||
FHLG | 15YR 7.00% 12/14 #P60089 | 5,653 | 5,873 | ||||||||
FHLG | 15YR 7.00% 3/16 #P60090 | 5,676 | 5,982 | ||||||||
FHLG | 6.50% 8/22 #O20119 | 162,168 | 181,369 | ||||||||
FHLG | 5.50% 5/27 #O20133 | 62,234 | 67,036 | ||||||||
FHLG | 20YR 5.50% 9/27 #G30345 | 154,687 | 166,929 | ||||||||
FHLG | 20YR 6.00% 9/27 #G30357 | 548,766 | 613,215 | ||||||||
FHLG | 20YR 5.50% 7/28 #G30564 | 1,362,092 | 1,469,889 | ||||||||
FHLG | 6.50% 5/22 #D95395 | 111,680 | 125,258 | ||||||||
FHLG | 6.00% 11/21 #D94929 | 106,963 | 118,396 | ||||||||
FHLG | 15YR 6.50% 4/16 #E83211 | 6,694 | 7,164 | ||||||||
FHLG | 15YR 6.00% 4/17 #E89007 | 187,550 | 202,161 | ||||||||
FHLG | 15YR 6.50% 6/17 #E90325 | 80,124 | 87,256 | ||||||||
FHLG | 15YR 6.00% 7/17 #E90474 | 164,518 | 178,175 | ||||||||
FHLG | 15YR 5.00% 12/17 #E93561 | 135,392 | 145,097 | ||||||||
FHLG | 15YR 4.00% 6/18 #E96973 | 209,160 | 221,538 | ||||||||
FHLG | 15YR 4.50% 8/18 #E98688 | 549,859 | 585,213 | ||||||||
FHLG | 15YR 4.50% 10/18 #E99833 | 551,667 | 587,137 | ||||||||
FHLG | 15YR 4.50% 9/18 #E99205 | 404,938 | 430,975 | ||||||||
FHLG | 15YR 5.00% 10/18 #E99955 | 78,755 | 84,407 | ||||||||
FHLG | 4.50% 6/23 #A45156 | 847,595 | 910,105 | ||||||||
FHLG | 6.00% 9/37 #G03282 | 767,909 | 835,161 | ||||||||
FHLG | 5.50% 12/37 #G03696 | 1,284,611 | 1,386,275 | ||||||||
FHLG | 6.00% 1/38 #G03781 | 1,622,059 | 1,763,103 | ||||||||
FHLG | 5.50% 12/37 #G03865 | 632,515 | 682,573 | ||||||||
FHLG | 5.50% 7/39 #G05546 | 1,162,933 | 1,254,968 | ||||||||
FHLG | 25YR 5.50% 7/35 #G05815 | 203,846 | 223,036 | ||||||||
FHLG | 15YR 5.00% 10/23 #G13276 | 781,198 | 837,927 | ||||||||
FHLG | 15YR 5.00% 12/18 #G13293 | 217,412 | 232,996 | ||||||||
FHLG | 15YR 6.00% 11/23 #G13368 | 280,492 | 313,367 | ||||||||
FHLG | 15YR 6.50% 7/21 #G12934 | 145,523 | 159,052 | ||||||||
FHLG | 15YR 5.00% 3/19 #G13052 | 752,653 | 807,416 | ||||||||
FHLG | 5.50% 1/24 #G13432 | 1,113,392 | 1,188,851 | ||||||||
FHLG | 15YR 5.50% 12/21 #G13481 | 664,178 | 711,683 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FHLG | 15YR 4.00% 7/24 #G13596 | 553,953 | 588,813 | ||||||||
FHLG | 15YR 5.00% 4/20 #G13598 | 764,142 | 821,167 | ||||||||
FHLG | 15YR 6.00% 1/24 #G13647 | 1,121,882 | 1,254,151 | ||||||||
FHLG | 15YR 6.00% 1/24 #G13982 | 1,000,129 | 1,117,887 | ||||||||
FHLG | 15YR 5.50% 12/24 #G14015 | 6,425,321 | 6,872,834 | ||||||||
FHLG | 15YR 3.50% 1/26 #G14312 | 297,083 | 317,124 | ||||||||
FHLG | 15YR 4.00% 9/25 #G14376 | 440,979 | 468,729 | ||||||||
FHLG | 15YR 3.50% 4/27 #G14449 | 833,870 | 892,469 | ||||||||
FHLG | 15YR 3.50% 10/26 #G14450 | 3,592,825 | 3,821,727 | ||||||||
FHLG | 15YR 4.00% 6/24 #G18312 | 654,552 | 695,743 | ||||||||
FHLG | 6.50% 10/26 #C90995 | 378,831 | 418,963 | ||||||||
FHLG | 6.50% 8/26 #C90985 | 78,225 | 86,512 | ||||||||
FHLG | 15YR 6.00% 4/20 #J02203 | 109,250 | 120,180 | ||||||||
FHLG | 15YR 6.50% 1/20 #J02204 | 98,758 | 108,992 | ||||||||
FHLG | 15YR 4.50% 9/24 #J10826 | 793,552 | 854,494 | ||||||||
FHLG | 10YR 3.00% 8/21 #J16393 | 378,291 | 397,073 | ||||||||
FHLG | 10YR 3.00% 8/21 #J16442 | 369,228 | 387,559 | ||||||||
FHLG | 6.50% 9/37 #H09069 | 148,797 | 162,607 | ||||||||
FHLG | 4.00% 12/40 #C03565 | 255,398 | 272,348 | ||||||||
FHLG | 6.00% 8/28 #C13910 | 61,998 | 68,238 | ||||||||
FHLG | 4.00% 4/39 #A85531 | 323,812 | 345,302 | ||||||||
FHLG | 4.00% 1/41 #A96478 | 935,591 | 997,683 | ||||||||
FHLG | 15YR 6.00% 10/16 #E01054 | 93,240 | 99,900 | ||||||||
FHLG | 15YR 5.50% 3/17 #E01136 | 33,674 | 35,819 | ||||||||
FHLG | 15YR 5.00% 12/17 #E01280 | 87,345 | 93,606 | ||||||||
FHLG | 15YR 6.50% 10/17 #E01254 | 22,486 | 24,487 | ||||||||
FHLG | 15YR 5.50% 11/18 #E01497 | 239,697 | 256,469 | ||||||||
FHLG | 15YR 4.00% 9/25 #E02787 | 442,252 | 478,789 | ||||||||
FHLG | 15YR 4.00% 4/26 #E02867 | 234,453 | 252,943 | ||||||||
FHLG | 15YR 4.50% 11/18 #B10931 | 339,761 | 361,650 | ||||||||
FHLG | 15YR 5.50% 11/18 #B10916 | 410,938 | 439,391 | ||||||||
FHLG | 15YR 4.50% 10/18 #B12459 | 92,455 | 98,399 | ||||||||
FHLG | 15YR 4.50% 4/19 #B13051 | 84,610 | 90,266 | ||||||||
FHLG | 15YR 4.50% 6/19 #B14961 | 199,698 | 213,663 | ||||||||
FHLG | 5.50% 9/33 #A13845 | 129,837 | 142,060 | ||||||||
FHLG | 6.50% 4/34 #A21170 | 226,071 | 256,095 | ||||||||
FHLG | 15YR 2.50% 11/22 #J21160 | 9,962,674 | 10,409,582 | ||||||||
FHLG | 6.50% 9/23 #Z40030 | 5,482,965 | 6,116,057 | ||||||||
FHLG | 6.50% 5/24 #Z40034 | 6,034,892 | 6,738,584 | ||||||||
FHLG | 5.50% 5/34 #Z40042 | 2,163,871 | 2,372,313 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FHLG | 6.50% 8/21 #C90473 | 622,959 | 694,131 | ||||||||
FHLG | 20YR 6.00% 2/22 #C90523 | 223,678 | 247,667 | ||||||||
FHLG | 20YR 6.00% 7/22 #C90562 | 180,223 | 200,392 | ||||||||
FHLM ARM | 2.98% 8/41 #1B8533 | 271,248 | 283,984 | ||||||||
FHLM ARM | 3.07% 9/41 #1B8608 | 161,414 | 169,229 | ||||||||
FHLMC | 5% 7/15/14 | 6,900,000 | 7,401,775 | ||||||||
FHLMC | 1.75% 9/10/15 | 1,630,000 | 1,688,777 | ||||||||
FHLMC | 0.75% 11/25/14 | 8,217,000 | 8,289,247 | ||||||||
FHLMC | 1.25% 08/01/19 | 4,800,000 | 4,798,390 | ||||||||
FHLMC | 1% 9/29/17 | 17,137,000 | 17,294,803 | ||||||||
FHLMC | 1.25% 10/02/19 | 1,065,000 | 1,060,177 | ||||||||
FHLMC | .75% 1/12/18 | 3,580,000 | 3,550,542 | ||||||||
FHR | 192 I 9% 2/22 | 197,952 | 231,189 | ||||||||
FHR | 2344 ZJ 6.5 8/31 | 16,810 | 19,177 | ||||||||
FHR | 2420 MZ 6.5% 2/32 | 1,177,273 | 1,341,798 | ||||||||
FHR | 2399 OH 6.5 1/32 | 130,321 | 147,978 | ||||||||
FHR | 2425 OB 6 3/17 | 65,982 | 70,896 | ||||||||
FHR | 1584 L 6.5 9/23 | 192,476 | 215,944 | ||||||||
FHR | 1577 PK 6.5 9/23 | 77,752 | 86,902 | ||||||||
FHR | June 5, 1617 | 153,040 | 171,979 | ||||||||
FHR | 1668 D 6.5 2/14 | 24,384 | 24,902 | ||||||||
FHR | 1837 Z 6.5 4/26 | 117,100 | 131,346 | ||||||||
FHR | 1835 D 6 4/26 | 133,844 | 149,275 | ||||||||
FHR | 2068 B 10% 11/22 | 29,481 | 34,092 | ||||||||
FHR | 2075 PH 6.5 8/28 | 107,896 | 123,324 | ||||||||
FHR | 2102 TC 6 12/13 | 38,834 | 39,540 | ||||||||
FHR | 2208 PG 7% 1/30 | 187,945 | 215,652 | ||||||||
FHR | 2262 Z 7.5% 10/30 | 85,461 | 100,350 | ||||||||
FHR | 2363 PF 6% 9/16 | 52,902 | 56,218 | ||||||||
FHR | 2356 GD 6% 9/16 | 41,678 | 44,580 | ||||||||
FHR | 2355 BP 6 9/16 | 56,378 | 60,200 | ||||||||
FHR | 3728 EA 3.5% 9/20 | 2,642,910 | 2,696,445 | ||||||||
FHR | 3763 QA 4% 4/34 | 403,025 | 433,127 | ||||||||
FHR | 3820 DA 4% 11/35 | 352,337 | 386,704 | ||||||||
FHR | 3943 EF 1ML+25 2/26 | 477,367 | 478,246 | ||||||||
FHR | 2012-4049 CA 3% 05/27 | 2,905,755 | 2,997,806 | ||||||||
FHR | 4046 LA 3% 11/2026 | 1,914,353 | 2,032,606 | ||||||||
FHR | 2474 NR 6.5 7/32 | 99,884 | 113,839 | ||||||||
FHR | 2484 LZ 6.5 7/32 | 181,289 | 206,816 | ||||||||
FHR | 2475 FB 1ML+100 2/32 | 768,553 | 784,668 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FHR | 2481 FB 1ML+100 2/32 | 773,456 | 789,673 | ||||||||
FHR | 2527 TB 6% 11/32 | 47,328 | 53,686 | ||||||||
FHR | 2543 QT 5.5 4/22 | 8,443 | 8,481 | ||||||||
FHR | 2558 BD 5% 1/18 | 2,721,692 | 2,893,172 | ||||||||
FHR | 2590 BY 5% 3/18 | 3,275,133 | 3,484,763 | ||||||||
FHR | 2619 HR 3.5% 11/31 | 15,559 | 15,671 | ||||||||
FHR | 2628 QM 4.5% 11/31 | 2,830,096 | 2,883,185 | ||||||||
FHR | 2650 QN 4.5 1/33 | 172,231 | 182,251 | ||||||||
FHR | 2662 DG 5% 10/22 | 561,650 | 579,672 | ||||||||
FHR | 2672 NH 0 9/18 | 487,521 | 513,401 | ||||||||
FHR | 2708 DG 5.5% 7/32 | 8,941 | 9,017 | ||||||||
FHR | 2780 JG 4.5 4/19 | 31,843 | 32,606 | ||||||||
FHR | 2810 PD 6% 6/33 | 150,318 | 155,981 | ||||||||
FHR | 2836 PX 4% 5/18 | 528,257 | 539,111 | ||||||||
FHR | 2872 JG 4.5% 10/19 | 1,100,000 | 1,180,534 | ||||||||
FHR | 2866 XE 4% 12/18 | 1,033,295 | 1,065,497 | ||||||||
FHR | 2941 AJ 4.5 3/35 | 64,957 | 65,437 | ||||||||
FHR | 2971 KT 5.5% 5/33 | 1,469,876 | 1,509,513 | ||||||||
FHR | 3013 VJ 5% 1/14 | 174,426 | 178,140 | ||||||||
FHR | 3047 OB 5.5% 12/33 | 54,221 | 56,198 | ||||||||
FHR | 3086 PC 5.5% 5/32 | 834,379 | 852,474 | ||||||||
FHR | 3117 JF 1ML+30 2/36 | 333,116 | 333,847 | ||||||||
FHR | 3397 FC .8613% 12/37 | 5,235,107 | 5,283,485 | ||||||||
FHR | 3564 JA 4 1/18 | 458,427 | 480,160 | ||||||||
FHR | 3560 LA 2% 8/14 | 68,065 | 68,107 | ||||||||
FHR | 3573 LC 1.85% 8/14 | 236,337 | 237,625 | ||||||||
FHR | 3741 HD 3% 11/15/39 | 313,424 | 328,628 | ||||||||
FHR | 3636 KE 5% 12/36 | 326,051 | 334,588 | ||||||||
FICO | 5/11/2018 | 1,300,000 | 1,218,187 | ||||||||
Fifth Third Ban | 3.625% 1/25/16 | 1,150,000 | 1,228,402 | ||||||||
Fiserv Inc Mtn | 3.125% 10/01/15 | 1,700,000 | 1,782,229 | ||||||||
FNBR | 2007-B1 VA 5.5% 4/17 | 244,590 | 256,135 | ||||||||
FNMA | 6/1/2017 | 8,440,000 | 8,089,065 | ||||||||
FNMA | 4.625% 10/15/13 | 4,460,000 | 4,616,015 | ||||||||
FNMA | 0.75% 12/19/14 | 625,000 | 630,355 | ||||||||
FNMA | 0.5% 5/27/15 | 6,265,000 | 6,284,890 | ||||||||
FNMA | 0.5% 7/02/15 | 4,518,000 | 4,531,523 | ||||||||
FNMA | 0.875% 8/28/17 | 9,270,000 | 9,296,744 | ||||||||
FNMA | .5% 9/28/15 | 30,076,000 | 30,153,233 | ||||||||
FNMA | 0.875% 12/20/17 | 1,622,000 | 1,622,901 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FNMA | 15YR 6.50% 1/14 #100283 | 17,319 | 17,658 | ||||||||
FNMA | 20YR 6.50% 7/18 #251825 | 116,935 | 129,798 | ||||||||
FNMA | 20YR 6.50% 11/18 #252104 | 112,591 | 124,976 | ||||||||
FNMA | 15YR 6.00% 11/13 #252165 | 30,599 | 31,145 | ||||||||
FNMA | 20YR 6.50% 3/19 #252348 | 81,473 | 90,435 | ||||||||
FNMA | 15YR 5.50% 4/18 #254686 | 258,971 | 277,817 | ||||||||
FNMA | 20YR 5.00% 5/23 #254762 | 4,606,610 | 4,996,012 | ||||||||
FNMA | 20YR 5.50% 6/23 #254764 | 360,164 | 392,606 | ||||||||
FNMA | 5.50% 6/33 #254767 | 2,482,213 | 2,719,187 | ||||||||
FNMA | 20YR 6.00% 9/21 #253999 | 69,600 | 76,673 | ||||||||
FNMA | 6.50% 10/21 #254044 | 10,861 | 12,125 | ||||||||
FNMA | 20YR 6.50% 5/22 #254305 | 100,476 | 112,624 | ||||||||
FNMA | 15YR 7.00% 5/17 #254353 | 20,771 | 22,499 | ||||||||
FNMA | 20YR 6.00% 11/22 #254544 | 95,471 | 106,425 | ||||||||
FNMA | 20YR 5.50% 1/23 #254589 | 340,350 | 370,274 | ||||||||
FNMA | 20YR 5.00% 3/25 #255667 | 1,631,917 | 1,771,394 | ||||||||
FNMA | 20YR 5.50% 9/23 #254916 | 4,687,413 | 5,107,450 | ||||||||
FNMA | 15YR 4.00% 9/18 #254919 | 159,962 | 171,135 | ||||||||
FNMA | 15YR 4.50% 11/18 #254952 | 1,820,576 | 1,957,403 | ||||||||
FNMA | 15YR 4.50% 12/18 #255031 | 1,801,088 | 1,936,451 | ||||||||
FNMA | 5.00% 8/25 #255810 | 1,705,654 | 1,851,434 | ||||||||
FNMA | 6.00% 7/27 #256803 | 760,687 | 849,334 | ||||||||
FNMA | 6.00% 9/37 #256890 | 396,491 | 429,650 | ||||||||
FNMA | 20YR 6.00% 10/27 #256928 | 558,915 | 624,496 | ||||||||
FNMA | 20YR 6.00% 1/28 #257048 | 392,930 | 439,260 | ||||||||
FNMA | 6.00% 2/28 #257076 | 395,529 | 442,166 | ||||||||
FNMA | 5.50% 11/34 #310105 | 1,611,949 | 1,766,848 | ||||||||
FNMA | 15YR 6.50% 6/14 #323794 | 17,810 | 18,245 | ||||||||
FNMA | 15YR 6.00% 1/13 #416704 | 3,800 | 3,798 | ||||||||
FNMA | 15YR 6.50% 5/13 #420033 | 5,178 | 5,220 | ||||||||
FNMA | 15YR 6.00% 11/13 #445344 | 50,088 | 50,982 | ||||||||
FNMA | 15YR 6.00% 11/13 #449782 | 40,951 | 41,759 | ||||||||
FNMA | 20YR 6.00% 12/18 #456110 | 241,637 | 263,507 | ||||||||
FNMA | 7-YR 3.18% 12/17 #466897 | 1,000,000 | 1,088,499 | ||||||||
FNMA | 7-YR 2.24% 8/19 #471863 | 994,223 | 1,030,633 | ||||||||
FNMA | 15YR 6.50% 8/14 #506702 | 131,159 | 135,698 | ||||||||
FNMA | 15YR 6.50% 12/14 #535063 | 66,054 | 68,341 | ||||||||
FNMA | 15YR 8.00% 9/15 #535460 | 28,802 | 30,464 | ||||||||
FNMA | 6.50% 2/20 #535834 | 148,178 | 164,478 | ||||||||
FNMA | 20YR 6.50% 12/21 #545419 | 3,831 | 4,276 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FNMA | 6.50% 7/32 #545759 | 64,130 | 72,565 | ||||||||
FNMA | 6.50% 7/32 #545762 | 32,169 | 36,400 | ||||||||
FNMA | 15YR 6.00% 3/18 #555390 | 49,885 | 54,011 | ||||||||
FNMA | 15YR 6.50% 6/15 #555720 | 5,084 | 5,208 | ||||||||
FNMA | 15YR 6.00% 6/16 #583745 | 13,338 | 14,195 | ||||||||
FNMA | 15YR 5.50% 12/16 #611007 | 18,869 | 20,242 | ||||||||
FNMA | 15YR 5.50% 10/16 #612660 | 56,322 | 60,421 | ||||||||
FNMA | 15YR 6.50% 3/17 #627139 | 24,807 | 26,728 | ||||||||
FNMA | 15YR 5.50% 2/17 #634197 | 258,118 | 276,902 | ||||||||
FNMA | 15YR 7.00% 3/17 #636917 | 26,872 | 29,175 | ||||||||
FNMA | 15YR 5.50% 3/17 #638411 | 20,876 | 22,395 | ||||||||
FNMA | 15YR 7.00% 5/17 #638774 | 83,352 | 90,719 | ||||||||
FNMA | 20YR 4.50% 5/26 #AH0473 | 328,416 | 354,984 | ||||||||
FNMA | 4.00% 11/41 #TBA | 1,000,000 | 1,072,300 | ||||||||
FNMA | 6.00% 12/32 #AL0045 | 535,453 | 592,130 | ||||||||
FNMA | 15YR 5.50% 9/23 #AL0229 | 1,092,038 | 1,181,406 | ||||||||
FNMA | 15YR 5.50% 5/21 #AL0230 | 1,226,014 | 1,315,235 | ||||||||
FNMA | 5.50% 1/38 #AL0662 | 953,231 | 1,042,745 | ||||||||
FNMA | 15YR 3.50% 5/27 #AL1741 | 804,265 | 864,396 | ||||||||
FNMA | 15YR 3.50% 5/27 #AL1742 | 598,235 | 639,971 | ||||||||
FNMA | 15YR 3.50% 3/27 #AL1746 | 1,282,396 | 1,384,286 | ||||||||
FNMA | 15YR 3.50% 5/27 #AL1751 | 297,939 | 320,215 | ||||||||
FNMA | 15YR 3.50% 1/26 #AL1168 | 319,057 | 343,510 | ||||||||
FNMA | 20YR 6.00% #AL1318 | 1,472,350 | 1,642,092 | ||||||||
FNMA | 15YR 6.00% 5/17 #644987 | 60,724 | 65,441 | ||||||||
FNMA | 6.00% 9/19 #660716 | 135,024 | 142,340 | ||||||||
FNMA | 6.00% 4/25 #660719 | 171,840 | 186,012 | ||||||||
FNMA | 15YR 5.50% 9/17 #665775 | 45,352 | 48,653 | ||||||||
FNMA | 15YR 5.00% 3/18 #667792 | 106,147 | 114,879 | ||||||||
FNMA | 15YR 7.00% 7/17 #667070 | 126,654 | 138,675 | ||||||||
FNMA | 15YR 6.00% 11/17 #668811 | 23,172 | 25,090 | ||||||||
FNMA | 15YR 5.50% 11/17 #670452 | 167,234 | 179,404 | ||||||||
FNMA | 15YR 5.50% 1/18 #680143 | 22,548 | 24,189 | ||||||||
FNMA | 15YR 5.50% 2/18 #681383 | 194,903 | 209,087 | ||||||||
FNMA | 1% 9/23/13 | 6,025,000 | 6,059,897 | ||||||||
FNMA | 1.625% 10/26/15 | 5,915,000 | 6,115,388 | ||||||||
FNMA | 15YR 4.00% 7/18 #682424 | 66,693 | 71,351 | ||||||||
FNMA | 15YR 4.00% 9/18 #682450 | 34,432 | 36,837 | ||||||||
FNMA | 8.00% 6/27 #695533 | 16,695 | 19,709 | ||||||||
FNMA | 6.00% 3/33 #695584 | 17,615 | 19,542 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FNMA | 15YR 4.50% 5/18 #697602 | 151,554 | 162,944 | ||||||||
FNMA | 15YR 3.50% 4/19 #698023 | 116,881 | 123,939 | ||||||||
FNMA | 15YR 4.50% 5/18 #707297 | 437,177 | 470,034 | ||||||||
FNMA | 15YR 5.00% 5/18 #707298 | 859,731 | 930,458 | ||||||||
FNMA | 15YR 4.00% 6/18 #708802 | 119,079 | 127,395 | ||||||||
FNMA | 15YR 5.00% 6/18 #709848 | 159,077 | 172,163 | ||||||||
FNMA | 15YR 5.00% 6/18 #709877 | 107,726 | 116,588 | ||||||||
FNMA | 15YR 4.50% 6/18 #710238 | 80,911 | 86,992 | ||||||||
FNMA | 15YR 4.50% 7/18 #720393 | 160,780 | 172,864 | ||||||||
FNMA | 15YR 4.50% 5/19 #725445 | 68,408 | 73,549 | ||||||||
FNMA | 15YR 4.50% 4/19 #725352 | 519,794 | 558,860 | ||||||||
FNMA | 15YR 5.50% 4/19 #725528 | 155,084 | 166,370 | ||||||||
FNMA | 7.00% 11/32 #725502 | 68,316 | 78,422 | ||||||||
FNMA | 15YR 5.50% 9/19 #725793 | 30,807 | 33,049 | ||||||||
FNMA | 15YR 5.50% 9/19 #725796 | 39,483 | 42,467 | ||||||||
FNMA | 15YR 4.00% 7/18 #726128 | 72,760 | 77,842 | ||||||||
FNMA | 15YR 4.50% 8/18 #727466 | 111,307 | 119,672 | ||||||||
FNMA | 15YR 4.00% 8/18 #728852 | 17,903 | 19,153 | ||||||||
FNMA | 15YR 4.50% 8/18 #733772 | 290,120 | 311,925 | ||||||||
FNMA | 15YR 4.50% 12/19 #735290 | 107,315 | 115,380 | ||||||||
FNMA | 10YR 4.50% 11/14 #735023 | 28,277 | 30,402 | ||||||||
FNMA | 6.50% 11/22 #735137 | 296,454 | 329,064 | ||||||||
FNMA | 6.50% 12/32 #735415 | 32,218 | 36,452 | ||||||||
FNMA | 15YR 5.50% 3/20 #735521 | 58,856 | 63,139 | ||||||||
FNMA | 15YR 4.00% 12/18 #735522 | 545,149 | 583,224 | ||||||||
FNMA | 15YR 4.50% 10/20 #735926 | 22,635 | 24,353 | ||||||||
FNMA | 15YR 5.00% 11/18 #740462 | 75,817 | 82,054 | ||||||||
FNMA | 15YR 4.50% 3/19 #742078 | 247,456 | 266,054 | ||||||||
FNMA | 15YR 4.50% 6/19 #745278 | 267,019 | 287,087 | ||||||||
FNMA | 6.50% 7/35 #745092 | 32,797 | 37,104 | ||||||||
FNMA | 20YR 6.00% 4/24 #745407 | 206,147 | 230,008 | ||||||||
FNMA | 15YR 5.00% 11/18 #749596 | 249,655 | 270,193 | ||||||||
FNMA | 6.00% 9/33 #752786 | 39,207 | 44,218 | ||||||||
FNMA | 15YR 4.50% 3/19 #758528 | 208,929 | 224,631 | ||||||||
FNMA | 15YR 5.00% 4/19 #761326 | 182,611 | 197,633 | ||||||||
FNMA | 15YR 4.00% 6/19 #773153 | 160,785 | 172,014 | ||||||||
FNMA | 15YR 4.00% 7/19 #773445 | 383,689 | 410,488 | ||||||||
FNMA | 15YR 4.00% 3/19 #773886 | 242,176 | 259,091 | ||||||||
FNMA | 15YR 4.50% 4/19 #774267 | 79,837 | 85,837 | ||||||||
FNMA | 15YR 4.50% 4/19 #775768 | 172,237 | 185,181 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FNMA | 15YR 4.50% 5/19 #780233 | 525,277 | 564,755 | ||||||||
FNMA | 15YR 4.50% 7/19 #788390 | 16,955 | 18,230 | ||||||||
FNMA | 15YR 5.50% 10/19 #795064 | 38,915 | 41,956 | ||||||||
FNMA | 15YR 4.50% 10/19 #796680 | 476,399 | 512,204 | ||||||||
FNMA | 15YR 5.00% 12/19 #803919 | 314,731 | 340,623 | ||||||||
FNMA | 15YR 4.50% 2/20 #809744 | 12,505 | 13,445 | ||||||||
FNMA | 15YR 4.50% 11/20 #813915 | 23,423 | 25,213 | ||||||||
FNMA | 15YR 4.50% 10/20 #836381 | 60,796 | 65,441 | ||||||||
FNMA | 15YR 7.00% 9/19 #842257 | 240,851 | 279,890 | ||||||||
FNMA | 15YR 4.50% 7/21 #845515 | 13,741 | 14,800 | ||||||||
FNMA | 15YR 4.50% 1/21 #852735 | 2,410 | 2,594 | ||||||||
FNMA | 6.50% 5/36 #884018 | 256,047 | 285,206 | ||||||||
FNMA | 20YRS 6.00% 4/27 #888281 | 4,270,946 | 4,761,738 | ||||||||
FNMA | 7.00% 4/37 #888366 | 317,744 | 363,675 | ||||||||
FNMA | 6.50% 8/36 #888034 | 46,092 | 52,145 | ||||||||
FNMA | 15YR 5.00% 12/21 #888436 | 920,781 | 996,540 | ||||||||
FNMA | 4.50% 6/37 #888485 | 533,286 | 575,511 | ||||||||
FNMA | 6.50% 8/36 #888544 | 176,386 | 199,685 | ||||||||
FNMA | 15YR 4.50% 7/20 #888653 | 124,373 | 133,720 | ||||||||
FNMA | 15YR 5.00% 12/18 #888681 | 668,678 | 723,687 | ||||||||
FNMA | 15YR 4.50% 12/18 #888889 | 772,929 | 831,019 | ||||||||
FNMA | 7.50% 11/37 #888892 | 557,410 | 653,119 | ||||||||
FNMA | 15YR 6.50% 1/23 #889111 | 748,549 | 829,239 | ||||||||
FNMA | 5.50% 3/37 #889139 | 568,035 | 616,229 | ||||||||
FNMA | 15YR 4.50% 3/21 #890081 | 929,302 | 999,144 | ||||||||
FNMA | 15YR 4.50% 11/19 #889395 | 8,675 | 9,327 | ||||||||
FNMA | 15YR 6.00% 2/23 #889634 | 1,230,954 | 1,378,341 | ||||||||
FNMA | 5.50% 2/37 #904918 | 404,099 | 435,607 | ||||||||
FNMA | 7.00% 12/36 #907742 | 78,652 | 88,349 | ||||||||
FNMA | 4.50% 8/20 #923799 | 178,182 | 187,247 | ||||||||
FNMA | 20 YR 5.50% 1/24 #925847 | 883,804 | 961,768 | ||||||||
FNMA | 20YR 6% 11/27#928866 | 921,020 | 1,029,658 | ||||||||
FNMA | 15YR 4.50% 7/21 #932885 | 785,721 | 844,863 | ||||||||
FNMA | 15YR 6.00% 6/22 #944357 | 401,093 | 448,926 | ||||||||
FNMA | 20YR 5.50% 7/27 #986156 | 735,881 | 804,558 | ||||||||
FNMA | 7.50% 11/38 #995504 | 399,465 | 465,199 | ||||||||
FNMA | 5.50% 2/38 #995049 | 588,062 | 641,263 | ||||||||
FNMA | 15YR 4.50% 12/20 #995320 | 2,296,898 | 2,469,524 | ||||||||
FNMA | 15YR 5.00% 12/20 #995324 | 1,441,534 | 1,564,692 | ||||||||
FNMA | 15YR 6.00% 1/24 #995425 | 727,399 | 813,926 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FNMA | 15YR 4.50% 12/20 #995465 | 372,601 | 401,070 | ||||||||
FNMA | 15YR 6.50% 2/24 #995658 | 183,555 | 204,210 | ||||||||
FNMA | 8.00% 11/37 #995783 | 94,692 | 108,548 | ||||||||
FNMA | 20 YR 5.00% 1/25 #995884 | 3,966,976 | 4,304,788 | ||||||||
FNMA | 20YR 5.00% 12/29 #MA0268 | 355,583 | 387,418 | ||||||||
FNMA | 10YR 2.50% 9/22 #MA1168 | 9,930,434 | 10,394,904 | ||||||||
FNMA | 20YR 5.% 8/26 #AD0787 | 11,746,480 | 12,746,765 | ||||||||
FNMA | 10YR 6.50% 12/37 #AD0070 | 590,142 | 647,681 | ||||||||
FNMA | 5.50% 9/38 #AD0198 | 686,216 | 748,297 | ||||||||
FNMA | 15YR 5.00% 9/22 #AD0285 | 1,017,352 | 1,105,178 | ||||||||
FNMA | 6.50% 9/28 #AD0329 | 368,504 | 409,270 | ||||||||
FNMA | 6.50% 12/35 #AD0723 | 186,202 | 210,625 | ||||||||
FNMA | 20YR 5.50% 4/29 #AD0912 | 645,650 | 701,237 | ||||||||
FNMA | 15YR 5.50% 3/24 #AE0467 | 281,593 | 303,229 | ||||||||
FNMA | 15YR 6.00% 3/24 #AE0745 | 527,883 | 591,087 | ||||||||
FNMA | 6.50% 8/36 #AE0746 | 147,975 | 167,498 | ||||||||
FNMA | 15YR 4.00% 7/19 #AE0968 | 1,487,316 | 1,591,195 | ||||||||
FNMA | 3.50% 12/42 #TBA | (1,000,000 | ) | (1,066,953 | ) | ||||||
FNMA Arm | 2.69% 9/41 #AH5260 | 414,403 | 433,707 | ||||||||
FNMA Arm | 3.01% 8/41 #AI4358 | 128,246 | 133,727 | ||||||||
FNMA Arm | 3.37% 9/41 #AI8935 | 141,014 | 148,772 | ||||||||
FNR | 1992-205 Z 7 11/22 | 186,827 | 211,028 | ||||||||
FNR | G93-3 K 7% 2/23 | 70,837 | 81,113 | ||||||||
FNR | 1993-250 Z 7 12/23 | 248,164 | 258,989 | ||||||||
FNR | 1994-40 Z 6.5 3/24 | 398,218 | 444,201 | ||||||||
FNR | 1997-46 PL 6% 7/27 | 542,840 | 614,193 | ||||||||
FNR | 2001-7 PF 7% 3/31 | 10,234 | 11,777 | ||||||||
FNR | 99-8 QD 6% 3/14 | 35,736 | 36,519 | ||||||||
FNR | 2011-88 AB 2.5% 9/26 | 334,108 | 344,337 | ||||||||
FNR | 2012-15 FP 1ML+38 6/40 | 791,252 | 794,511 | ||||||||
FNR | 2012-94 E 3% 6/22 | 1,096,596 | 1,151,733 | ||||||||
FNR | 2001-44 PD 7% 9/31 | 27,213 | 31,353 | ||||||||
FNR | 2001-71 MB 6 12/16 | 127,658 | 135,892 | ||||||||
FNR | 02-58 HC 5.5% 9/17 | 116,447 | 122,973 | ||||||||
FNR | 2002-56 MC 5.5% 9/17 | 39,281 | 41,551 | ||||||||
FNR | 2003-32 UN 4% 1/33 | 5,073,506 | 5,237,520 | ||||||||
FNR | 03-66 PA 3.5 2/33 | 1,265,678 | 1,320,033 | ||||||||
FNR | 2003-68 QP 3 7/22 | 10,122 | 10,172 | ||||||||
FNR | 2003-57 NK 5 6/18 | 45,919 | 49,205 | ||||||||
FNR | 2003-80 VC 5 4/16 | 235,832 | 239,286 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
FNR | 2003-74 PG 4.5% 8/18 | 215,052 | 229,205 | ||||||||
FNR | 2004-2 QL 4% 2/19 | 2,255,000 | 2,391,570 | ||||||||
FNR | 2004-23 VB 4.5% 5/27 | 6,111,907 | 6,181,587 | ||||||||
FNR | 04-33 MW 4.5% 1/30 | 121,369 | 124,980 | ||||||||
FNR | 2004-70 JA 4.5 10/19 | 22,393 | 22,787 | ||||||||
FNR | 2004-82 HJ 5.5% 9/32 | 1,787,894 | 1,860,812 | ||||||||
FNR | 2004-89 DF 1ML+25 4/23 | 382,485 | 382,549 | ||||||||
FNR | 2004-95 AN 5.5% 1/25 | 185,006 | 192,601 | ||||||||
FNR | 2004-91 AR 5.50% 4/33 | 4,579,668 | 5,044,787 | ||||||||
FNR | 2005-21 BK 4.75% 7/23 | 384,997 | 387,521 | ||||||||
FNR | 2005-90 FC 1ML+25 10/35 | 288,464 | 288,705 | ||||||||
FNR | 2005-106 UF 1ML+30 11/35 | 280,791 | 281,544 | ||||||||
FNR | 2005-110 GJ 5.5 11/30 | 185,688 | 189,100 | ||||||||
FNR | 2006-46 PE 5.5% 11/32 | 313,837 | 315,521 | ||||||||
FNR | 2006-41 MC 5.5% 7/35 | 431,189 | 457,242 | ||||||||
FNR | 2006-90 BE 6% 4/35 | 1,000,000 | 1,078,092 | ||||||||
FNR | 2006-109 HA 4.5% 5/24 | 89,903 | 89,855 | ||||||||
FNR | 2006-113 NC 5.5% 3/33 | 979,181 | 996,828 | ||||||||
FNR | 2007-109 VA 5% 11/18 | 602,017 | 647,023 | ||||||||
FNR | 2007-114 A6 1ML+20 10/37 | 800,000 | 795,783 | ||||||||
FNR | 2007-77 MH 6 12/36 | 821,631 | 867,037 | ||||||||
FNR | 2008-29 BG 4.7% 12/35 | 193,344 | 204,872 | ||||||||
FNR | 2008-29 CA 4.5% 9/35 | 4,678,107 | 4,898,942 | ||||||||
FNR | 2009-10 AB 3/24 | 210,758 | 225,416 | ||||||||
FNR | 2011-5 PA 4% 10/25 | 151,480 | 154,462 | ||||||||
FNR | 2011-23 AB 2.75% 6/25/20 | 244,380 | 252,728 | ||||||||
FNR | 2011-40 DK 4% 11/25/37 | 4,672,258 | 4,793,353 | ||||||||
FNR | 2010-12 AY 4% 10/23 | 819,256 | 837,182 | ||||||||
FNR | 2010-123 DL 3.5% 11/25 | 307,107 | 321,679 | ||||||||
FNR | 2010-135 DE 2.25% 4/24 | 409,941 | 416,978 | ||||||||
FNR | 2010-143 B 3.5% 12/25 | 476,378 | 503,467 | ||||||||
FNW | 2003-W4 2A 6.5% 10/42 | 25,840 | 30,076 | ||||||||
FNW | 2004-W1 1A6 5.04% 11/43 | 782,456 | 824,069 | ||||||||
Ford | 2 11-B ABS 1.05% 10/15/14 | 700,000 | 703,466 | ||||||||
Ford Mtr Cr Llc | 4.25% 9/20/22 | 1,475,000 | 1,557,902 | ||||||||
Fordl | 2011-A A3 1% 7/14 | 790,000 | 791,604 | ||||||||
Fordl | 2012-A A3 0.85% 1/15 | 280,000 | 281,238 | ||||||||
Fordl | 2012-B A2 0.54% 11/14 | 200,000 | 200,114 | ||||||||
Fordl | 2012-B A3 0.57% 9/15 | 490,000 | 490,399 | ||||||||
Fordo | 2011-B A3 .84% 6/15 | 1,943,278 | 1,948,254 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Fordo | 2012-B A3 0.72% 12/15/16 | 2,050,000 | 2,056,870 | ||||||||
Fordo | 2012-D A2 0.4% 9/15 | 305,000 | 304,948 | ||||||||
Fordo | 2012-D A3 0.51% 4/17 | 510,000 | 509,832 | ||||||||
Fpl Group | 7.875% 12/15 | 80,000 | 95,447 | ||||||||
Fpl Group Captl | 5.35% 6/15/13 | 100,000 | 102,054 | ||||||||
France Telecom | 2.125% 9/16/15 | 214,000 | 220,090 | ||||||||
FSPC | T-5 A5 CSTR 6/28 | 531,312 | 539,288 | ||||||||
FSPC | T-9 A5 7.05% 3/29 | 273,496 | 309,726 | ||||||||
FSPC | T-54 2A 6% 2/43 | 127,421 | 145,590 | ||||||||
FSPC | T-54 3A 7% 2/43 | 58,769 | 69,578 | ||||||||
G2SF | 12-149 LF 1ML+25 12/42 | 570,000 | 570,623 | ||||||||
GCCFC | 2007-GG9 A2 5.381% 3/39 | 200,007 | 206,404 | ||||||||
GCCFC | 2005-GG3 A3 4.569% 8/42 | 1,041,087 | 1,048,950 | ||||||||
GCCFC | 2005-GG3 A4 CSTR 8/42 | 3,495,000 | 3,725,171 | ||||||||
GE Cap | 5.3% 2/11/21 | 1,640,000 | 1,901,895 | ||||||||
GE Cap Corp | 2.25% 11/9/15 | 4,285,000 | 4,424,820 | ||||||||
GE Cap Corp | 2.9% 1/09/17 | 1,000,000 | 1,057,021 | ||||||||
GE Cap Corp | 3.15% 9/07/22 | 1,130,000 | 1,153,171 | ||||||||
GE Cap Corp | 1.6% 11/20/17 | 250,000 | 250,069 | ||||||||
GE Cap Mtn | 2.8% 1/08/13 | 485,000 | 485,138 | ||||||||
Gecap | 5.625% 5/01/18 | 1,000,000 | 1,187,088 | ||||||||
Gecap Med | 4.75% 9/15/14 | 520,000 | 555,147 | ||||||||
Gecap Mtn | 5.65% 6/09/14 | 650,000 | 694,537 | ||||||||
GECMC | 2006-C1 A4 CSTR 3/44 | 3,580,000 | 4,015,836 | ||||||||
GE-CORP | .85% 10/09/15 | 1,015,000 | 1,018,495 | ||||||||
GEMNT | 2012-1 A 1.03% 1/18 | 830,000 | 838,513 | ||||||||
GEMNT | 2012-5 A 0.97% 6/15/18 | 2,600,000 | 2,623,742 | ||||||||
Gen Elec Cap Crp | 5.5% 6/4/14 | 4,300,000 | 4,590,289 | ||||||||
Gen Elec Cap Mtn | 5.4% 9/20/13 | 480,000 | 497,076 | ||||||||
General Elec | 2.95% 5/09/16 | 902,000 | 949,895 | ||||||||
General Elec Cap | 4.625% 1/7/21 | 390,000 | 441,956 | ||||||||
General Elec Cap | 4.65% 10/17/21 | 160,000 | 182,379 | ||||||||
General Elec Cap | 2.3% 4/27/17 | 1,330,000 | 1,378,598 | ||||||||
General Elec Cap | 1% 12/11/15 | 2,635,000 | 2,645,374 | ||||||||
General Elec Mtn | 3.35% 10/17/16 | 859,000 | 921,776 | ||||||||
Gilead Sciences | 3.05% 12/01/16 | 2,250,000 | 2,409,095 | ||||||||
Glaxosmithkli Cap | 2.85% 5/22 | 860,000 | 892,216 | ||||||||
GMACC | 2004-C2 A4 5.301% 8/38 | 420,000 | 445,397 | ||||||||
GMACC | 2003-C2 A2 CSTR 5/40 | 2,494,405 | 2,530,900 | ||||||||
GNII II | 6.50% 9/29 #002808 | 415,993 | 473,203 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
GNII II | 5.50% 7/38 #004187 | 288,938 | 309,480 | ||||||||
GNII II | 6.00% 11/38 #004285 | 310,278 | 338,446 | ||||||||
GNMA | 15YR 6.50% 5/17 #569432 | 127,943 | 136,913 | ||||||||
GNMA | 20YR 6.50% 4/23 #593677 | 23,280 | 26,268 | ||||||||
GNMA | 7.00% 8/28 #416611 | 31,837 | 36,737 | ||||||||
GNMA | 7.00% 8/28 #458917 | 7,794 | 8,987 | ||||||||
GNMA | 7.00% 7/28 #462643 | 140,746 | 162,605 | ||||||||
GNMA | 7.00% 2/28 #462548 | 2,342 | 2,698 | ||||||||
GNMA | 7.00% 10/28 #481353 | 119,834 | 138,576 | ||||||||
GNMA | 4.50% 3/41 #738108 | 3,925,504 | 4,372,184 | ||||||||
GNMA | 15YR 7.00% 2/15 #515099 | 9,326 | 9,766 | ||||||||
GNMA | 6.50% 1/23 #530795 | 275,242 | 310,561 | ||||||||
GNMA | 7.00% 5/32 #552576 | 23,124 | 26,915 | ||||||||
GNMA | 8.00% 11/29 #186997 | 8,395 | 9,910 | ||||||||
GNMA | 15YR 4.50% 12/18 #781681 | 527,403 | 564,654 | ||||||||
GNMA | 15YR 8.00% 1/16 #781570 | 8,778 | 9,274 | ||||||||
GNMA | 15YR 6.50% 6/20 #641437 | 100,650 | 111,211 | ||||||||
GNR | 2002-40 UK 6.5 6/32 | 180,204 | 208,060 | ||||||||
GNR | 2002-54 GB 6.5 8/32 | 90,942 | 104,383 | ||||||||
GNR | 2002-33 ZD 6% 5/32 | 1,050,770 | 1,184,267 | ||||||||
GNR | 2004-109 WE 5% 5/33 | 802,000 | 831,045 | ||||||||
GNR | 2009-45 PB 4.5% 7/33 | 500,000 | 514,499 | ||||||||
GNR | 2008-47 PC 5% 11/16/37 | 4,296,650 | 4,653,080 | ||||||||
GNR | 2009-93 PB 3% 12/38 | 494,093 | 514,894 | ||||||||
GNR | 2009-127 PL 4.25% 10/38 | 2,016,377 | 2,156,342 | ||||||||
GNR | 2010-47 CN 4.5% 8/38 | 1,618,275 | 1,712,107 | ||||||||
GNR | 2010-99 PT 3.5% 8/33 | 223,712 | 230,678 | ||||||||
GNR | 2010-73 CB 4.40% 8/35 | 4,291,717 | 4,556,038 | ||||||||
GNR | 2010-73 GA 4.5% 9/36 | 3,834,015 | 4,093,952 | ||||||||
GNR | 2010-68 LA 4.5% 3/38 | 4,269,342 | 4,624,977 | ||||||||
GNR | 2010-112 PM 3.25% 9/33 | 190,766 | 195,977 | ||||||||
GNR | 2010-120 FB 1ML+30 9/35 | 480,101 | 480,633 | ||||||||
GNR | 2010-162 PQ 4.5% 06/39 | 1,559,806 | 1,656,094 | ||||||||
GNR | 2012-149 MF 1ML+25 12/42 | 1,370,000 | 1,371,713 | ||||||||
GNR | 2012-113 FJ 1ML+25 1/42 | 792,539 | 794,762 | ||||||||
GNR | 2000-14 PD 7 2/30 | 90,650 | 105,066 | ||||||||
GNR | 2000-9 ZJ 8.5 2/30 | 148,995 | 176,677 | ||||||||
Goldman Sac Grp | 3.625% 2/07/16 | 2,730,000 | 2,889,091 | ||||||||
Goldman Sach Glb | 5.25% 10/15/13 | 1,427,000 | 1,476,962 | ||||||||
Goldman Sach Grp | 3.3% 5/03/15 | 300,000 | 312,656 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Goldman Sach Mtn | 1.6% 11/23/15 | 1,500,000 | 1,510,413 | ||||||||
Goldman Sach Mtn | 6.25% 9/1/17 | 1,385,000 | 1,633,231 | ||||||||
Goldman Sachs | 5.5 GLB 11/15/14 | 365,000 | 393,520 | ||||||||
Goldman Sachs | 4.75% 7/15/13 | 100,000 | 102,097 | ||||||||
Goldman Sachs | 5.35% 1/15/16 | 3,310,000 | 3,658,030 | ||||||||
Goldman Sachs | 5.625% 1/15/17 | 1,200,000 | 1,316,230 | ||||||||
Goldman Sachs | 5.95% 1/18/18 | 1,120,000 | 1,302,875 | ||||||||
Goldman Sachs Glb | 7.5% 2/15/19 | 200,000 | 251,472 | ||||||||
Goldman Sachs Glb | 5.15% 1/15/14 | 400,000 | 417,162 | ||||||||
Goldman Sachs Gp | 5.75% 1/24/22 | 1,580,000 | 1,866,004 | ||||||||
Goldman Sachs Mtn | 3.7% 8/1/15 | 1,106,000 | 1,167,175 | ||||||||
GSINC | 5.25% 7/27/21 | 2,420,000 | 2,756,036 | ||||||||
GSMS | 2011-GC5 A1 CSTR 8/44 | 304,630 | 308,496 | ||||||||
GSMS | 2012-GC6 A1 1.282% 1/45 | 134,560 | 135,851 | ||||||||
GSMS | 04-GG2 A6 CSTR 8/38 | 770,000 | 813,622 | ||||||||
GSMS | 2006-GG6 A2 5.506% 4/38 | 300,435 | 309,954 | ||||||||
GSMS | 2006-GG8 A2 5.479% 11/39 | 167,341 | 170,112 | ||||||||
GSMS | 2006-GG8 A4 CSTR 11/39 | 2,300,000 | 2,652,533 | ||||||||
Harley David | 2.7% 3/15/17 144A | 350,000 | 361,619 | ||||||||
Harot | 2011-3 A3 .88% 9/15 | 3,950,000 | 3,970,765 | ||||||||
Harot | 2010-1 A4 1.98% 5/23/16 | 242,512 | 243,464 | ||||||||
Harot | 2010-3 A3 .7% 4/14 | 384,758 | 385,093 | ||||||||
Harot | 2012-2 A3 0.7% 2/16 | 530,000 | 532,870 | ||||||||
Harot | 2011-1 A4 1.8% 4/17 | 230,000 | 233,917 | ||||||||
Harot | 2012-1 A3 0.77% 1/16 | 1,436,000 | 1,442,733 | ||||||||
Harot | 2012-1 A4 0.97% 4/18 | 131,000 | 132,239 | ||||||||
Harot | 2011-2 A3 0.94% 3/15 | 466,872 | 468,595 | ||||||||
Hart | 2011-A A3 1.44% 4/15 | 233,536 | 234,442 | ||||||||
Hart | 2012-A A3 .72% 3/16 | 242,000 | 242,834 | ||||||||
Hart | 2012-B A3 .62% 9/16 | 600,000 | 601,658 | ||||||||
Hart | 2011-C A3 .83% 12/15 | 3,320,000 | 3,335,126 | ||||||||
Hart | 09-A A4 3.15% 3/16 | 57,436 | 58,359 | ||||||||
Hartford Finl Svcs | 5.125% 4/22 | 570,000 | 657,002 | ||||||||
Hcp Inc Mtn | 2.7% 2/1/14 | 500,000 | 508,974 | ||||||||
Heathrow Fdg Ltd | 2.5 6/15 144A | 1,260,000 | 1,301,308 | ||||||||
Heineken Nv | 1.4% 10/1/17 144A | 220,000 | 219,256 | ||||||||
Hess Corp | 8.125% 2/15/19 | 900,000 | 1,183,659 | ||||||||
Hewlett Packard | 6.125% 3/01/14 | 325,000 | 341,646 | ||||||||
Hewlett Packard | 4.75% 6/02/14 | 100,000 | 104,240 | ||||||||
Hewlett Packard Co | 1.25% 9/13 | 418,000 | 417,995 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Hewlett-Packard | 2.625% 12/9/14 | 440,000 | 445,178 | ||||||||
Hewlett-Packard Co | 3% 9/16 | 1,660,000 | 1,670,154 | ||||||||
Hewlett-Packard Co | 2.6% 9/17 | 1,090,000 | 1,061,458 | ||||||||
Household Glbl | 4.75% 7/15/13 | 400,000 | 408,352 | ||||||||
HPQ | 6% 8/01/13 | 230,000 | 235,792 | ||||||||
HSBC Bank | 3.1% 5/24/16 144A | 3,580,000 | 3,784,049 | ||||||||
HSBC Fin Corp Glb | 5.25% 1/15/14 | 350,000 | 364,878 | ||||||||
HSBC Finance Co | 5% 6/30/15 | 400,000 | 433,560 | ||||||||
HSBC Finance Corp Frn | 1/15/2014 | 3,400,000 | 3,389,623 | ||||||||
HSBC Hldngs Plc | 4.875% 1/22 | 675,000 | 782,568 | ||||||||
HSBC Holdings Plc | 5.1% 4/05/21 | 360,000 | 424,707 | ||||||||
HSBC USA Inc | 2.375% 2/13/15 | 440,000 | 452,568 | ||||||||
HSBC USA Inc | 1.625% 1/16/18 | 377,000 | 377,197 | ||||||||
Hunt | 2012-1 A3 0.81% 9/16 | 500,000 | 502,714 | ||||||||
Hunt | 2012-2 A2 0.38% 9/15 | 371,000 | 371,233 | ||||||||
IL Sales Tax | 1.56% 06/15/17 | 2,150,000 | 2,163,545 | ||||||||
Ing Bank Nv | 2% 10/18/13 144A | 1,970,000 | 1,978,101 | ||||||||
Intel Corp | 1.35% 12/15/17 | 230,000 | 229,846 | ||||||||
Intl Paper Co | 4.75% 2/15/22 | 2,250,000 | 2,543,344 | ||||||||
John Deere Cap | 2.25% 6/07/16 | 2,850,000 | 2,981,057 | ||||||||
John Deere Cap | 3.9% 7/12/21 | 500,000 | 557,100 | ||||||||
John Deere Cap Mtn | 4.5% 4/3/13 | 80,000 | 80,843 | ||||||||
John Deere Cap Mtn | 3.15% 10/21 | 850,000 | 895,368 | ||||||||
JPMC Co | 4.25% 10/15/20 | 2,050,000 | 2,277,726 | ||||||||
JPMC Co | 4.625% 5/10/21 | 1,400,000 | 1,594,667 | ||||||||
JPMC Co Mtn | 4.65% 6/14 | 1,488,000 | 1,567,764 | ||||||||
JPMC Co Mtn | 3.7% 1/20/15 | 750,000 | 789,615 | ||||||||
JPMCC | 03-CB7 A4 CSTR 1/38 | 160,936 | 165,200 | ||||||||
JPMCC | 2003-C1 A2 4.985% 1/37 | 42,263 | 42,264 | ||||||||
JPMCC | 03-PM1A A4 CSTR 8/40 | 250,000 | 253,025 | ||||||||
JPMCC | 2005-LDP4 ASB CSTR 10/42 | 1,337,101 | 1,387,140 | ||||||||
JPMCC | 2005-LDP5 A2 5.198% 12/44 | 201,745 | 203,512 | ||||||||
JPMCC | 05-LDP5 A4 5.1792% 12/44 | 3,500,000 | 3,900,189 | ||||||||
JPMCC | 06-CB14 A4 CSTR 12/44 | 3,000,000 | 3,371,499 | ||||||||
JPMCC | 2007-LDPX A2S 5.305% 1/49 | 109,488 | 110,004 | ||||||||
JPMCC | 2007-LD11 A2 CSTR 6/49 | 221,809 | 228,779 | ||||||||
JPMCC | 2012-C6 A2 2.2058% 5/45 | 420,000 | 438,472 | ||||||||
JPMorgan Chase | 1.1% 10/15/15 | 430,000 | 429,951 | ||||||||
JPMorgan Chase | 4.95% 3/25/20 | 650,000 | 753,284 | ||||||||
JPMorgan Chase | 3.15% 7/05/16 | 1,425,000 | 1,509,314 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
JPmorgan Chase & Co | 2% 8/15/17 | 430,000 | 439,088 | ||||||||
JPmorgan Chase Co | 3.4% 6/24/15 | 1,712,000 | 1,806,258 | ||||||||
Kellogg Mtn | 4.25% 3/06/13 | 200,000 | 201,326 | ||||||||
Keycorp Mtn | 6.5% 5/14/13 | 245,000 | 250,259 | ||||||||
Keycorp Mtn | 5.1% 3/24/21 | 435,000 | 506,293 | ||||||||
KFW | 2.375% 8/25/21 | 565,000 | 587,973 | ||||||||
Kinder Morgan En | 3.95% 9/1/22 | 1,210,000 | 1,292,372 | ||||||||
Kraft Foods Gp | 3.5% 6/6/22 144A | 980,000 | 1,044,841 | ||||||||
Kraft Foods Gr | 5.375% 2/20 144A | 523,000 | 627,440 | ||||||||
Kraft Foods Inc | 6.75% 2/19/14 | 95,000 | 101,387 | ||||||||
La Ca Usd Taxm | 5.75% 7/01/34 | 1,300,000 | 1,558,622 | ||||||||
Laboratory Corp | 3.75% 8/23/22 | 140,000 | 148,301 | ||||||||
LBUBS | 2006-C6 A4 5.372% 9/39 | 150,000 | 172,434 | ||||||||
LBUBS | 2005-C1 A4 4.74% 2/30 | 4,025,000 | 4,302,572 | ||||||||
LBUBS | 2005-C5 A4 4.954% 9/30 | 3,000,000 | 3,277,161 | ||||||||
LBUBS | 2003-C3 A4 4.166% 5/32 | 89,126 | 89,527 | ||||||||
LBUBS | 2004-C8 4.799% 12/29 | 3,024,501 | 3,189,742 | ||||||||
LBUBS | 03-C8 A4 CSTR 11/33 | 1,800,000 | 1,840,734 | ||||||||
LBUBS | 2005-C7 A4 5.197% 11/30 | 2,000,000 | 2,210,238 | ||||||||
LBUBS | 2006-C1 A4 5.156 2/31 | 2,300,000 | 2,567,649 | ||||||||
LBUBS | 2007-C6 A2 5.845% 7/40 | 124,334 | 127,350 | ||||||||
Lbubs 04-C2 A4 | 4/3/367 | 213,000 | 220,571 | ||||||||
Liberty Mut | 5.75% 3/15/14 144A | 750,000 | 785,440 | ||||||||
Liberty Mutual | 5% 6/1/21 144A | 390,000 | 418,762 | ||||||||
Liberty Mutual | 4.95% 5/22 144A | 930,000 | 1,012,527 | ||||||||
Liberty Prop Lp | 5.65% 8/15/14 | 1,000,000 | 1,068,501 | ||||||||
Lincoln Nationa | 4.2% 3/15/22 | 515,000 | 551,921 | ||||||||
Lincoln National | 6.25% 2/15/20 | 1,350,000 | 1,613,944 | ||||||||
Lloyds Tsb(Ungt | 6.375% 1/21/21 | 1,800,000 | 2,215,647 | ||||||||
Lockheed Martin | 2.125% 9/15/16 | 485,000 | 502,364 | ||||||||
Lorillard Tobacco | 2.3% 8/21/17 | 525,000 | 530,674 | ||||||||
Lorillard Tobc Co | 3.5% 8/04/16 | 355,000 | 375,559 | ||||||||
Mack Cali Rlty Lp | 2.5% 12/15/17 | 400,000 | 404,136 | ||||||||
Mack-Cali Realty | 4.6% 6/15/13 | 1,000,000 | 1,015,170 | ||||||||
Macys Retail | 3.875% 1/15/22 | 270,000 | 287,484 | ||||||||
Manuf & Traders | 6/12/625 | 130,000 | 157,192 | ||||||||
Markel Corp | 7.125% 9/30/19 | 1,300,000 | 1,564,277 | ||||||||
Marriott Intl | 3% 3/01/19 | 2,440,000 | 2,509,362 | ||||||||
Massmutual Glb | 3.125% 4/16 144A | 1,090,000 | 1,155,585 | ||||||||
Massmutual Glbl | 2% 4/5/17 144A | 1,190,000 | 1,220,862 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
MBALT | 2012-A A3 1.14% 11/14 | 440,000 | 441,782 | ||||||||
MBART | 2011-1 A3 0.85% 3/15 | 2,567,385 | 2,573,444 | ||||||||
Mckesson Corp | 0.95% 12/04/15 | 83,000 | 83,110 | ||||||||
Mckesson Corp | 4.75% 3/1/21 | 425,000 | 493,144 | ||||||||
Merrill Lyn | 6.875% 4/25/18 | 1,900,000 | 2,289,527 | ||||||||
Merrill Lyn Co | 6.4% 8/28/17 | 212,000 | 248,881 | ||||||||
Merrill Lyn Co | 5.45% 2/05/13 | 1,760,000 | 1,767,642 | ||||||||
Merrill Lyn Co | 6.15% 4/25/13 | 605,000 | 614,714 | ||||||||
Merrill Lynch | 5% 2/3/14 | 500,000 | 520,324 | ||||||||
Merrill Lynch | 5.45% 7/15/14 | 960,000 | 1,017,248 | ||||||||
Merrill Lynch Co | 5% 1/15/15 | 295,000 | 315,131 | ||||||||
Met Life Gbl Fd | 1.7% 6/15 144A | 1,290,000 | 1,316,817 | ||||||||
Met Life Glb Fn | 7.717% 2/15/19 | 2,500,000 | 3,275,183 | ||||||||
Met Life Glbl | 2.5 9/29/15 144A | 1,500,000 | 1,564,610 | ||||||||
Met Life Glbl | 3.875% 4/22 144A | 107,000 | 116,241 | ||||||||
Met Life Glbl Fd | 2% 1/9/15 144 | 2,000,000 | 2,053,966 | ||||||||
Metlife Inc | 6.75% 6/1/16 | 260,000 | 307,853 | ||||||||
Metlife Inc Step | 12/15/2017 | 184,000 | 186,826 | ||||||||
Metlife Instl | 1.625 4/15 144A | 3,530,000 | 3,596,226 | ||||||||
Metropolitan Mtn | 2.5 1/13 144A | 285,000 | 285,130 | ||||||||
Mexico Gov Glb | 6/1/375 | 100,000 | 100,150 | ||||||||
Microsoft Corp | .875% 11/15/17 | 1,162,000 | 1,155,443 | ||||||||
Miller Brewing | 5.5% 8/13 144A | 610,000 | 627,182 | ||||||||
Mizuho Corp Bk | 1.55% 10/17 144A | 640,000 | 640,406 | ||||||||
MLCFC | 2007-7 ASB 5.745% 6/50 | 1,589,983 | 1,662,886 | ||||||||
MLCFC | 2006-2 A4 CSTR 6/46 | 3,000,000 | 3,455,490 | ||||||||
MLCFC | 2006-3 A4 CSTR 7/46 | 1,580,000 | 1,816,387 | ||||||||
MLMT | 05-CIP1 A4 5.047% 7/38 | 3,100,000 | 3,419,266 | ||||||||
MLMT | 2005-CKI1 A6 CSTR 11/37 | 2,490,000 | 2,767,545 | ||||||||
MLMT | 05-LC1 AM CSTR 1/44 | 1,000,000 | 1,105,069 | ||||||||
Mondelez Intl Inc | 5.375% 2/20 | 477,000 | 575,376 | ||||||||
Morgan Stanley | 5.45% 1/09/17 | 450,000 | 497,817 | ||||||||
Morgan Stanley | 5.375% 10/15/15 | 300,000 | 326,129 | ||||||||
Morgan Stanley | 5.75% 1/25/21 | 3,070,000 | 3,502,833 | ||||||||
Morgan Stanley | 5.5% 7/28/21 | 965,000 | 1,094,572 | ||||||||
Morgan Stanley | 6% 5/13/14 | 2,690,000 | 2,848,629 | ||||||||
Morgan Stanley | 4.1% 1/26/15 | 1,761,000 | 1,835,242 | ||||||||
Morgan Stanley | 4.75% 3/22/17 | 3,265,000 | 3,560,891 | ||||||||
Morgan Stanley Frn | 5/14/2013 | 1,500,000 | 1,510,286 | ||||||||
Morgan Stanley Glb | 6% 4/28/15 | 2,100,000 | 2,287,188 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
MSBAM | 2012-C5 A1 .916% 8/45 | 413,368 | 415,569 | ||||||||
MSBAM | 2012-C5 A2 1.972% 8/45 | 710,000 | 736,145 | ||||||||
MSC | 2005-HQ7 A4 CSTR 11/42 | 3,000,000 | 3,313,590 | ||||||||
MSC | 2006-HQ8 A4 CSTR 3/44 | 1,290,000 | 1,442,401 | ||||||||
MSC | 2005-HQ5 A4 1/42 | 3,740,000 | 4,010,047 | ||||||||
MSC | 03-IQ4 A2 4.07% 5/40 | 68,000 | 68,236 | ||||||||
MSC | 03-T11 A4 5.15% 6/41 | 157,956 | 160,050 | ||||||||
MSC | 2007-HQ11 A31 CSTR 2/44 | 2,250,000 | 2,353,028 | ||||||||
MSC | 2011-C3 A3 4.054% 7/49 | 107,000 | 120,727 | ||||||||
Mstdw | 5.55% 4/27/17 | 1,045,000 | 1,158,165 | ||||||||
MSTDW Mtn | 6.25% 8/28/17 | 915,000 | 1,046,922 | ||||||||
Nabors Ind Mtn | 6.15% 2/15/18 | 925,000 | 1,087,449 | ||||||||
Nalt | 2010-B A3 1% 12/15/13 | 207,397 | 207,543 | ||||||||
Nalt | 2010-B A4 1.27% 10/16 | 200,000 | 200,577 | ||||||||
Nalt | 2 11-A ABS 1.04% 8/15/14 | 400,000 | 401,262 | ||||||||
Nalt | 2011-B A3 0.92% 2/15 | 330,000 | 331,329 | ||||||||
Nalt | 2012-B A2A 0.45% 6/15 | 226,000 | 225,952 | ||||||||
Napa Valley Usd | 6.507% 8/1/43 | 1,200,000 | 1,584,888 | ||||||||
Narot | 2011-B A3 0.87% 2/16 | 2,120,000 | 2,134,843 | ||||||||
Narot | 2012-A A4 1% 7/18 | 193,000 | 195,210 | ||||||||
Narot | 2011-A A3 1.18% 2/15 | 370,000 | 371,706 | ||||||||
National Austr | 2.75% 3/09/17 | 250,000 | 262,893 | ||||||||
National Austr | 1.6% 8/07/15 | 930,000 | 943,897 | ||||||||
National Austr Ny Br | 2% 3/9/15 | 450,000 | 460,735 | ||||||||
National Bk Can | 1.45% 11/7/17 | 2,105,000 | 2,101,253 | ||||||||
National Oilwel | 2.6% 12/01/22 | 865,000 | 876,099 | ||||||||
Nationwide Mtn | 4.65% 2/15 144A | 2,745,000 | 2,902,590 | ||||||||
Natl Aust Bk | 2.5% 1/08/13 144A | 400,000 | 400,100 | ||||||||
Natl Aust Bk | 3.75% 3/02/15 144A | 2,595,000 | 2,748,284 | ||||||||
Natl Rural | 4.75% 3/1/14 | 300,000 | 314,414 | ||||||||
Nbcuniversal Med | 3.65% 4/30/15 | 1,080,000 | 1,148,844 | ||||||||
Nbcuniversal Media | 2.875% 1/23 | 725,000 | 727,202 | ||||||||
NCUA Gtd Nts Ma | 1.4% 6/12/15 | 620,000 | 633,719 | ||||||||
Ndass | 3.125 03/17 SNR | 1,320,000 | 1,405,157 | ||||||||
New York Life | 3% 5/4/15 144A | 150,000 | 157,607 | ||||||||
New York Life | 1.3% 10/17 144A | 1,070,000 | 1,073,794 | ||||||||
Newmont Mining | 3.5% 3/15/22 | 1,275,000 | 1,313,579 | ||||||||
News Amer Inc | 6.9% 3/1/19 | 925,000 | 1,158,425 | ||||||||
Nippon Teleg&Telep | 1.4%7/18/17 | 1,752,000 | 1,772,570 | ||||||||
Nissan | 12-A A3 ABS 0.73% 5/16 | 103,000 | 103,450 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Noble Enrgy Inc | 4.15% 12/15/21 | 1,605,000 | 1,769,999 | ||||||||
Noble Hldg Intl | 2.5% 3/15/17 | 325,000 | 335,305 | ||||||||
Nordea Bk Ag | 1.75% 10/4/13 144A | 3,510,000 | 3,542,969 | ||||||||
Nordea Bk Ag | 2.25% 3/15 144A | 2,065,000 | 2,115,254 | ||||||||
Nordstrom | 4% 10/15/21 | 200,000 | 222,762 | ||||||||
Norfolks South | 3.25% 12/01/21 | 110,000 | 114,992 | ||||||||
Novartis Cap Co | 2.9% 4/24/15 | 1,040,000 | 1,093,233 | ||||||||
Novartis Cap Crp | 2.4% 9/21/22 | 715,000 | 716,063 | ||||||||
NSLC | 04-2A A4 @LIBUS3+14 8/19 | 1,774,186 | 1,770,872 | ||||||||
NY Life | 5.375% 9/15/3 144A | 250,000 | 258,220 | ||||||||
NY Life Gbl | 2.45% 7/14/16 144A | 2,000,000 | 2,095,088 | ||||||||
NYSE Euronext | 2% 10/05/17 | 950,000 | 965,400 | ||||||||
Oneok Partners | 3.375% 10/01/22 | 1,145,000 | 1,165,457 | ||||||||
Oneok Partners Lp | 2% 10/01/17 | 1,310,000 | 1,320,413 | ||||||||
Ontario Mtn | 2.95% 2/5/15 | 450,000 | 472,942 | ||||||||
Ontario Prov | 1.875% 9/15/15 | 2,600,000 | 2,690,516 | ||||||||
Ontario Prov | .95% 5/26/15 | 250,000 | 253,213 | ||||||||
Oracle Corp | 5.25% 1/15/16 | 250,000 | 282,838 | ||||||||
Penske Trk Ls | 3.125% 5/15 144A | 570,000 | 581,594 | ||||||||
Penske Truck | 2.5% 3/15/16 144A | 1,060,000 | 1,062,596 | ||||||||
Penske Truck Ls | 2.5% 7/14 144A | 225,000 | 227,351 | ||||||||
People'S United | 3.65% 12/06/22 | 995,000 | 999,043 | ||||||||
Philip Morris | 1.125% 8/21/17 | 210,000 | 209,254 | ||||||||
Philip Mors Int | 2.5% 8/22/22 | 1,045,000 | 1,048,551 | ||||||||
Phillips 66 | 2.95% 5/1/17 144A | 2,255,000 | 2,389,152 | ||||||||
PNC Bk Na | 6.875% 4/01/18 | 250,000 | 312,163 | ||||||||
PNC Fund Corp | 4.375% 8/11/20 | 1,200,000 | 1,367,417 | ||||||||
PNC Fund Corp Mtn | 3% 5/19/14 | 940,000 | 971,550 | ||||||||
PNC Funding Corp | 5.25 11/15/15 | 110,000 | 122,899 | ||||||||
PNC Funding Corp | 5/2/625 | 110,000 | 126,967 | ||||||||
PNCfund Mtn | 3.625% 2/8/15 | 728,000 | 770,620 | ||||||||
PPG Industries | 5/3/1975 | 260,000 | 262,694 | ||||||||
PPL Cap Fd Inc | 3.5% 12/01/22 | 405,000 | 411,767 | ||||||||
Praxair Inc Mtn | 4.375% 3/31/14 | 290,000 | 303,702 | ||||||||
Pricoa Glb 1 Mtn | 5.45% 6/14 144A | 2,185,000 | 2,333,646 | ||||||||
Principal Fin | 3.3% 9/15/22 | 460,000 | 466,098 | ||||||||
Principal Life Mtn | 5.3% 4/24/13 | 520,000 | 527,441 | ||||||||
Procter & Gamble | 1.8% 11/15/15 | 670,000 | 692,543 | ||||||||
Progress Energy | 6.05% 3/15/14 | 2,550,000 | 2,706,320 | ||||||||
PSEG Pwr LLC | 2.75% 9/15/16 | 315,000 | 327,683 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Pub Svc El & Gas | 6.33% 11/1/13 | 380,000 | 398,144 | ||||||||
Pub Svc Oklahoma | 5.15 12/1/19 | 150,000 | 174,979 | ||||||||
Rabobank | 3.375% 1/19/17 | 3,188,000 | 3,423,784 | ||||||||
Rabobank Nl Utrec Mtn | 1.85% 1/14 | 1,783,000 | 1,806,703 | ||||||||
Rabobnk Nedrld Mtn | 2.125% 10/15 | 1,924,000 | 1,985,605 | ||||||||
RBS | 4.875% 3/16/15 | 1,000,000 | 1,074,012 | ||||||||
Realty Inc Corp | 5.5% 11/15/15 | 1,000,000 | 1,108,710 | ||||||||
Rentenbank Glb | 3.25% 3/15/13 | 2,000,000 | 2,012,004 | ||||||||
Reynolds Amern | 6.75% 6/15/17 | 1,000,000 | 1,207,237 | ||||||||
RFCO Sp | 10/15/2020 | 1,000,000 | 874,830 | ||||||||
Rio Tinto Fin | 2.25% 9/20/16 | 870,000 | 902,305 | ||||||||
Rio Tinto Fin | 1.625% 8/21/17 | 430,000 | 435,214 | ||||||||
Rio Tinto Fin USA Ltd | 2.5% 5/16 | 2,115,000 | 2,207,339 | ||||||||
Roper Industries | 1.85% 11/15/17 | 650,000 | 649,273 | ||||||||
Royal Bank Cana | 1.2% 9/19/2017 | 281,000 | 281,572 | ||||||||
Royal Bk Cacnada | .625% 12/4/15 | 4,195,000 | 4,183,900 | ||||||||
Royal Bk Canada | 2.3% 7/20/16 | 290,000 | 302,135 | ||||||||
Royal Bk Canada | 1.45% 10/30/14 | 5,415,000 | 5,508,230 | ||||||||
Royal Bk Cda Gbl | .8% 10/30/15 | 860,000 | 858,939 | ||||||||
Royal Bk Cda Gmtn | 2.625% 12/15 | 1,000,000 | 1,055,384 | ||||||||
Royal Bk Scotlnd | 2.55% 9/18/15 | 508,000 | 519,852 | ||||||||
Sabmiller Hl | 2.45% 1/15/17 144 | 900,000 | 937,868 | ||||||||
Sabmiller Hldgs | 3.75% 1/22 144 | 790,000 | 852,148 | ||||||||
Schlumberger | 1.95% 9/16 144A | 1,050,000 | 1,078,259 | ||||||||
Sempra Energy | 8.9% 11/15/13 | 400,000 | 427,847 | ||||||||
Shell Intl Fin | 4% 3/21/14 | 465,000 | 485,464 | ||||||||
Shell Intl Fin | .625% 12/04/15 | 5,060,000 | 5,077,720 | ||||||||
Sherwin William | 1.35% 12/15/17 | 430,000 | 428,891 | ||||||||
Siemens Fin | 5.75% 10/17/16 144 | 200,000 | 231,838 | ||||||||
Simon Property | 5.625% 8/15/14 | 100,000 | 107,732 | ||||||||
Simon Property | 6.1% 5/01/16 | 50,000 | 57,673 | ||||||||
Simon Property | 6.125% 5/30/18 | 130,000 | 158,295 | ||||||||
Simon Property | 6.75% 5/15/14 | 1,725,000 | 1,840,016 | ||||||||
Simon Property | 2.8% 1/30/17 | 236,000 | 248,951 | ||||||||
Simon Property | 2.15% 9/15/17 | 750,000 | 777,675 | ||||||||
Simon Property | 3.375% 3/15/22 | 170,000 | 179,346 | ||||||||
SLCLT | 8/2/2002 | 524,906 | 526,178 | ||||||||
SLM Corp | 6.25% 1/25/16 | 980,000 | 1,063,300 | ||||||||
SLM Corp Mtn | 6% 1/25/17 | 650,000 | 703,625 | ||||||||
SLMA | 4/6/2005 | 117,224 | 117,167 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
SLMA | 8/1/2002 | 328,150 | 327,380 | ||||||||
SLMA | 2007-6 A2 3ML+25 1/19 | 972,584 | 973,322 | ||||||||
SLMA | 8/6/2002 | 642,938 | 647,359 | ||||||||
SLMA | 2012-7 A2 1ML+28 9/19 | 861,000 | 860,368 | ||||||||
Southern Cal Ed | 4.15 9/15/14 | 135,000 | 142,736 | ||||||||
Southern Co | 4.15% 5/14 | 105,000 | 109,990 | ||||||||
Southern Co | 2.375% 9/15/15 | 940,000 | 978,846 | ||||||||
Southwstrn Bell | 7% 7/01/15 | 255,000 | 292,914 | ||||||||
SSBK Stif Fund | SSBK STIF FUND | 19,417,182 | 19,417,182 | ||||||||
Stryker Corp | 2% 9/30/16 | 1,085,000 | 1,129,462 | ||||||||
Suncor Enrgy Inc | 6.1% 6/1/18 | 1,000,000 | 1,219,357 | ||||||||
Suntrust Bk | 7.25% 3/15/18 | 100,000 | 122,344 | ||||||||
Svenska Ha Ab P | 3.125% 7/12/16 | 1,080,000 | 1,145,681 | ||||||||
Svenska Mtn | 4.875 6/10/14 144A | 3,260,000 | 3,445,038 | ||||||||
Swedbank Ab | 2.125 9/29/17 144A | 1,575,000 | 1,608,662 | ||||||||
Swiss Re Tres | 2.875% 12/22 144A | 580,000 | 579,744 | ||||||||
Taot 2011-B A3 | 0.68% 6/15/15 | 5,275,000 | 5,290,909 | ||||||||
Telecom Italia | 5.25% 11/15/13 | 210,000 | 215,775 | ||||||||
Telecom Italia | 4.95% 9/30/14 | 903,000 | 942,732 | ||||||||
Telecom Italia Mtn | 6.175% 6/14 | 800,000 | 843,200 | ||||||||
Thomson Corp | 5.95% 7/15/13 | 270,000 | 277,594 | ||||||||
Time Warner Cab | 5.85% 5/1/17W/I | 300,000 | 354,285 | ||||||||
Time Warner Cab | 8.75% 2/14/19 | 1,600,000 | 2,157,146 | ||||||||
Time Warner Inc | 3.15% 7/15/15 | 1,448,000 | 1,531,140 | ||||||||
Time Warner Inc | 4.75% 3/29/21 | 490,000 | 562,568 | ||||||||
Time Warnr Inc | 4% 1/15/22 | 715,000 | 781,862 | ||||||||
Toronto Dom Bk | 2.5% 7/14/16 | 3,055,000 | 3,213,136 | ||||||||
Toronto Domini | 2.375% 10/19/16 | 1,735,000 | 1,822,668 | ||||||||
Total Cap | 3% 6/24/15 | 6,755,000 | 7,134,455 | ||||||||
Total Cap | 2.3% 3/15/16 | 100,000 | 103,874 | ||||||||
Total Cap Cda | 1.625% 1/28/14 | 450,000 | 456,162 | ||||||||
Total Cap Intl | 2.875% 2/17/22 | 70,000 | 72,986 | ||||||||
Total Cap Intl | 1.55% 6/28/17 | 1,670,000 | 1,695,159 | ||||||||
Total Capital Sa | 4.125% 1/28/21 | 1,150,000 | 1,301,798 | ||||||||
Total Capital Sa | 1.5% 2/17/17 | 546,000 | 550,056 | ||||||||
Toyota Motor Crd | 1.25% 10/5/17 | 640,000 | 644,315 | ||||||||
Toyota Mtr Cr | 2.05% 1/12/17 | 180,000 | 186,109 | ||||||||
Transcanada Pip | 4% 6/15/13 | 175,000 | 177,822 | ||||||||
Travelers Cos Inc | 5.8% 5/15/18 | 55,000 | 66,600 | ||||||||
Tyco Electric Grp | 1.6% 2/03/15 | 233,000 | 236,450 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
UAL Pass Thru Etc | 9.75% 1/17 | 239,200 | 275,080 | ||||||||
Ubsbb | 2012-C2 A1 1.006% 5/63 | 380,987 | 384,230 | ||||||||
Ubsbb | 2012-C4 A1 .6728% 12/45 | 270,000 | 269,833 | ||||||||
Ubscm | 2012-C1 A1 1.032% 5/45 | 242,357 | 244,396 | ||||||||
Ubscm | 2012-C1 A2 2.180% 5/45 | 360,000 | 375,973 | ||||||||
Udr Inc Mtn | 5.5% 4/1/14 | 460,000 | 483,757 | ||||||||
Union Bk Na | 2.125% 12/16/13 | 660,000 | 670,326 | ||||||||
Union Pac Corp | 5.65 5/1/17 | 100,000 | 117,306 | ||||||||
Union Pacific | 4.875% 1/15/15 | 185,000 | 200,041 | ||||||||
United Tech Corp | 3.1% 6/01/22 | 1,935,000 | 2,046,797 | ||||||||
Unitedhealth Grp | 1.875% 11/16 | 339,000 | 348,995 | ||||||||
Unitedhealth Grp | .85% 10/15/15 | 124,000 | 124,395 | ||||||||
Unitedhealth Grp | 1.4% 10/15/17 | 1,418,000 | 1,419,695 | ||||||||
Unitedhealth Inc Mtn | 4.7% 2/21 | 2,150,000 | 2,502,338 | ||||||||
US Bancorp Med | 2.95% 7/15/22 | 775,000 | 782,026 | ||||||||
US Bancorp Mtn | 4.2% 5/15/14 | 990,000 | 1,039,391 | ||||||||
US Long | 30YR(CBT)FT MAR13 USH3 | (48 | ) | 42,000 | |||||||
US Trsy Strip | 0% 5/15/18 | 5,000,000 | 4,773,700 | ||||||||
US Trsy Strip Cpn | 0% 11/15/29 | 9,520,000 | 5,992,878 | ||||||||
US Ultra | 30YR(CBT) MAR13 WNH3 | (7 | ) | 8,969 | |||||||
USAA Capital | 1.05% 9/14 144A | 507,000 | 509,266 | ||||||||
USAOT | 2009-2 A4 0% 6/13 | 386,941 | 388,999 | ||||||||
UST | 10YR FUT MAR13 TYH3 | 28 | (4,813 | ) | |||||||
UST | 5YR FUT MAR13 FVH3 | 231 | 3,609 | ||||||||
USTB | 11.25% 2/15/15 | 6,355,000 | 7,825,633 | ||||||||
USTB | 8.875% 8/15/17 | 1,095,000 | 1,504,614 | ||||||||
USTB | 4.75% 5/15/14 | 24,930,000 | 26,467,682 | ||||||||
USTCOUP | 8/15/2013 | 3,520,000 | 3,516,617 | ||||||||
USTCOUP | 2/15/2014 | 14,800,000 | 14,764,347 | ||||||||
USTCOUP | 8/15/2014 | 300,000 | 298,757 | ||||||||
USTCOUP | 11/15/2013 | 200,000 | 199,666 | ||||||||
USTCOUP | 5/15/2014 | 9,550,000 | 9,518,752 | ||||||||
USTCOUP | 11/15/2014 | 550,000 | 547,121 | ||||||||
USTCOUP | 5/15/2015 | 16,378,000 | 16,250,776 | ||||||||
USTCOUP | 5/15/2016 | 5,105,000 | 5,026,174 | ||||||||
USTCOUP | 8/15/2016 | 29,900,000 | 29,358,182 | ||||||||
USTCOUP | 11/15/2016 | 6,000,000 | 5,874,648 | ||||||||
USTCOUP | 2/15/2017 | 14,200,000 | 13,848,763 | ||||||||
USTCOUP | 8/15/2017 | 2,000,000 | 1,935,766 | ||||||||
USTCOUP | 11/15/2017 | 3,750,000 | 3,614,284 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
USTCOUP | 5/15/2019 | 7,190,000 | 6,712,857 | ||||||||
USTCOUP | 5/15/2020 | 4,000,000 | 3,628,784 | ||||||||
USTCOUP | 8/15/2020 | 4,140,000 | 3,727,855 | ||||||||
USTCOUP | 11/15/2020 | 2,290,000 | 2,049,330 | ||||||||
USTCOUP | 2/15/2021 | 1,210,000 | 1,071,565 | ||||||||
USTCOUP | 5/15/2021 | 3,000,000 | 2,633,256 | ||||||||
USTCOUP | 5/15/2022 | 8,800,000 | 7,459,593 | ||||||||
USTN | 4.125% 5/15/15 | 7,000,000 | 7,626,902 | ||||||||
USTN | 4.5% 11/15/15 | 19,120,000 | 21,370,324 | ||||||||
USTN | 4.625% 11/15/16 | 6,045,000 | 6,989,607 | ||||||||
USTN | 3.5% 2/15/18 | 16,785,000 | 19,088,343 | ||||||||
USTN | 2.75% 2/28/13 | 300,000 | 301,254 | ||||||||
USTN | 0.0% XX/XX/XX | 500,000 | 563,583 | ||||||||
USTN | 2.625% 4/30/16 | 10,640,000 | 11,404,600 | ||||||||
USTN | 2.375% 3/31/16 | 11,000,000 | 11,687,014 | ||||||||
USTN | 3% 9/30/16 | 5,015,000 | 5,476,407 | ||||||||
USTN | 3.125% 10/31/16 | 13,550,000 | 14,880,615 | ||||||||
USTN | 3.25% 12/31/16 | 2,000,000 | 2,213,053 | ||||||||
USTN | 3.125% 4/30/17 | 5,390,000 | 5,968,040 | ||||||||
USTN | 1.875% 6/30/15 | 30,400,000 | 31,568,225 | ||||||||
USTN | 1.75% 7/31/15 | 21,991,000 | 22,783,811 | ||||||||
USTN | 1.25% 8/31/15 | 15,195,000 | 15,555,987 | ||||||||
USTN | 1.25% 9/30/15 | 18,455,000 | 18,905,759 | ||||||||
USTN | 2.125% 12/31/15 | 1,300,000 | 1,367,038 | ||||||||
USTN | 1.25% 3/15/14 | 10,100,000 | 10,225,462 | ||||||||
USTN | .75% 3/31/13 | 4,000,000 | 4,006,408 | ||||||||
USTN | 1.5% 6/30/16 | 6,565,000 | 6,798,828 | ||||||||
USTN | 1% 8/31/16 | 18,725,000 | 19,064,182 | ||||||||
USTN | 1% 9/30/16 | 33,279,000 | 33,880,210 | ||||||||
USTN | 1.75% 10/31/18 | 2,500,000 | 2,618,013 | ||||||||
USTN | .875% 11/30/16 | 25,765,000 | 26,101,213 | ||||||||
USTN | .875% 12/31/16 | 3,400,000 | 3,442,599 | ||||||||
USTN | 1% 3/31/17 | 14,910,000 | 15,159,670 | ||||||||
USTN | .875% 4/30/17 | 28,487,000 | 28,804,576 | ||||||||
USTN | .250% 5/15/15 | 18,700,000 | 18,668,786 | ||||||||
USTN | .250% 7/15/15 | 8,965,000 | 8,944,570 | ||||||||
USTN | .25% 8/31/14 | 17,700,000 | 17,701,204 | ||||||||
USTN | .25% 9/15/15 | 26,675,000 | 26,602,002 | ||||||||
USTN | .25% 9/30/14 | 22,825,000 | 22,824,293 | ||||||||
USTN | .25% 10/15/15 | 7,000,000 | 6,978,962 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
USTN | .25% 10/31/14 | 9,690,000 | 9,689,861 | ||||||||
USTN | .375% 11/15/15 | 5,235,000 | 5,236,245 | ||||||||
USTN | 1.625% 11/15/22 | 365,000 | 360,641 | ||||||||
USTN | .625% 11/30/17 | 2,150,000 | 2,139,954 | ||||||||
USTN | 0.125% 12/31/2014 | 7,000,000 | 6,980,436 | ||||||||
USTN | .75% 12/31/17 | 18,160,000 | 18,182,700 | ||||||||
USTN | 1.125% 12/31/19 | 16,040,000 | 15,971,970 | ||||||||
Ustprin | 2/15/2015 | 11,410,000 | 11,337,524 | ||||||||
Ustprin | 11/15/2015 | 11,465,000 | 11,359,462 | ||||||||
Valet | 2011-1 A3 1.22% 6/15 | 1,072,602 | 1,077,900 | ||||||||
Valet | 2012-2 A2 0.57% 7/15 | 332,000 | 331,973 | ||||||||
Vende | 1994-1 2ZB 6.5% 2/24 | 509,932 | 576,633 | ||||||||
Vende | 1998-1 2E 7 3/28 | 142,874 | 170,655 | ||||||||
Ventas Rlty Lp/Cap | 2% 2/15/18 | 2,635,000 | 2,635,693 | ||||||||
Verizon Com | 2% 11/1/16 | 920,000 | 951,859 | ||||||||
Verizon Comm | 1.1% 11/01/17 | 430,000 | 427,907 | ||||||||
Verizon Comm Inc | 4.6% 4/01/21 | 4,425,000 | 5,159,908 | ||||||||
Verizon New Eng | 4/10/1975 | 100,000 | 103,100 | ||||||||
Viacom Inc New | 2.5% 12/15/16 | 1,970,000 | 2,053,447 | ||||||||
Viacom Inc New | 3.875% 12/15/21 | 84,000 | 91,451 | ||||||||
Virginia El&Pwr | 2.95% 1/15/22 | 340,000 | 357,648 | ||||||||
Vodafone Glbl | 5% 12/16/13 | 475,000 | 495,291 | ||||||||
Vodafone Grp Plc | 4.15% 6/10/14 | 3,600,000 | 3,777,095 | ||||||||
Volkswagen | 2.375% 3/22/17 144A | 410,000 | 422,157 | ||||||||
Volkswagen | 1.6% 11/20/17 144A | 2,010,000 | 2,005,857 | ||||||||
VW Intl Fin Nv | 1.625% 3/15 144A | 880,000 | 892,003 | ||||||||
VWALT | 2010-A A3 0.99% 11/13 | 122,934 | 122,993 | ||||||||
VWALT | 2010-A A4 1.18% 10/15 | 320,000 | 320,359 | ||||||||
VWALT | 2011-A A2 1% 2/14 | 113,218 | 113,341 | ||||||||
Wachovia Bank Na | 5.6% 3/15/16 | 100,000 | 112,514 | ||||||||
Wachovia Bk Na Bn | 6% 11/15/17 | 300,000 | 359,629 | ||||||||
Wachovia Corp | 4.875% 2/15/14 | 235,000 | 244,963 | ||||||||
Wachovia Corp Mtn | 5.75% 2/1/18 | 2,000,000 | 2,395,222 | ||||||||
Wal Mart Stores | 2.8% 4/15/16 | 2,920,000 | 3,113,371 | ||||||||
Walmart | 2.875% 4/01/15 | 4,367,000 | 4,587,734 | ||||||||
Walmart | .75% 10/25/13 | 1,200,000 | 1,203,582 | ||||||||
Walt Disney Co | .875% 12/01/14 | 145,000 | 146,196 | ||||||||
Watson Pharma Inc | 3.25% 10/1/22 | 700,000 | 713,780 | ||||||||
WBCMT | 05-C21 A4 5.274% 10/44 | 2,548,452 | 2,820,927 | ||||||||
WBCMT | 2003-C9 A4 5.012% 12/35 | 491,600 | 504,849 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
WBCMT | 2004-C11 A5 5.215 1/41 | 233,000 | 245,054 | ||||||||
WBCMT | 2006-C23 A4 5.418% 1/45 | 2,317,285 | 2,581,748 | ||||||||
WBCMT | 2006-C23 A5 CSTR 1/45 | 760,000 | 859,425 | ||||||||
WBCMT | 06-C24 A3 CSTR 3/45 | 3,000,000 | 3,396,765 | ||||||||
WBCMT | 2006-C25 A4 CSTR 5/43 | 2,597,000 | 2,963,289 | ||||||||
WBCMT | 2006-C25 A5 CSTR 5/43 | 1,105,000 | 1,272,811 | ||||||||
WBCMT | 2007-C33 A3 CSTR 2/51 | 1,575,531 | 1,648,129 | ||||||||
WBCMT | 2007-C33 APB CSTR 2/51 | 1,129,910 | 1,187,644 | ||||||||
WBCMT | 2007-C31A A2 5.421% 4/47 | 346,332 | 356,204 | ||||||||
Weatherford Int Mtn | 5.125% 9/20 | 2,300,000 | 2,532,302 | ||||||||
Wellpoint Inc | 6% 2/15/14 | 245,000 | 259,300 | ||||||||
Wellpoint Inc | 1.25% 9/10/15 | 124,000 | 124,971 | ||||||||
Wellpoint Inc | 3.3% 1/15/23 | 535,000 | 548,258 | ||||||||
Wellpoint Inc | 1.875% 1/15/18 | 226,000 | 228,719 | ||||||||
Wells Fargo Bk Glb | 4/2/1975 | 315,000 | 338,295 | ||||||||
Wells Fargo&Com | 3.676% 6/15/16 | 5,315,000 | 5,744,574 | ||||||||
Western Gas Part | 4% 7/01/22 | 395,000 | 415,734 | ||||||||
Westfield | 5.125 11/15/14 144A | 1,600,000 | 1,715,526 | ||||||||
Westpac Bankig Corp | 3% 12/9/15 | 173,000 | 183,473 | ||||||||
Westpac Banking | 4.2% 2/27/15 | 1,070,000 | 1,147,767 | ||||||||
Westpac Banking | 1.125% 9/25/15 | 1,930,000 | 1,947,721 | ||||||||
Westpac Banking Crp | 2% 8/14/17 | 772,000 | 794,928 | ||||||||
Westpac Bk | 1.25% 12/15/17 144A | 6,415,000 | 6,404,210 | ||||||||
Westpac Bk Corp | 1.85% 12/09/13 | 530,000 | 537,735 | ||||||||
WFRBS | 2011-C5 A1 1.456% 11/44 | 119,318 | 121,116 | ||||||||
WFRBS | 2012-C6 A1 1.081% 4/45 | 140,938 | 142,134 | ||||||||
WFRBS | 2012-C8 A1 .864% 8/45 | 230,048 | 231,087 | ||||||||
WFRBS | 2012-C8 A2 1.881% 8/45 | 400,000 | 412,383 | ||||||||
Williams Partnr | 5.25% 3/15/20 | 1,450,000 | 1,668,907 | ||||||||
WOART | 2012-A A3 0.64% 2/17 | 560,000 | 561,284 | ||||||||
WOART | 2011-A A3 1.49% 10/14 | 370,000 | 371,971 | ||||||||
WOART | 2012-B A2 0.43% 11/15 | 295,000 | 294,932 | ||||||||
Wols | 2012-A A3 0.93% 11/15 | 290,000 | 291,977 | ||||||||
Woolworths Ltd Mtn | 2.55% 9/15 | 1,290,000 | 1,339,826 | ||||||||
Wrap Contracts | WRAP CONTRACTS | — | 1,929,349 | ||||||||
Wyndham Worldwide Mtn | 4.25% 3/22 | 1,000,000 | 1,031,448 | ||||||||
Xerox Corp | 3ML+82 5/16/14 | 775,000 | 773,377 | ||||||||
Xerox Corp | 2.95% 3/15/17 | 270,000 | 276,939 | ||||||||
Xstrata Can Crp | 2.85% 11/14 144 | 965,000 | 990,476 | ||||||||
Xstrata Can Fin | 3.6% 1/17 144A | 2,000,000 | 2,105,592 |
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
Xstrata Fn Cda | 2.45 10/17 144A | 1,575,000 | 1,589,693 | ||||||||
Xylem Inc | 3.55% 9/20/16 | 1,175,000 | 1,251,407 | ||||||||
Xylem Inc | 4.875% 10/01/21 | 400,000 | 453,672 | ||||||||
Total Investment Contracts | 2,002,616,020 | ||||||||||
Registered Investment Companies | |||||||||||
* Fidelity Institutional Money Market – Money Market Portfolio – Institutional Class | Money Market Fund | 1,074,219,160 | 1,074,219,160 | ||||||||
* Fidelity Prime Money Market | Money Market Fund | 62,784,342 | 62,784,342 | ||||||||
Hartford Capital Appreciation HLS IA | Equity Based Fund | 34,378,342 | 1,490,988,672 | ||||||||
Janus Balanced N Fund | Equity Based Fund | 47,442,724 | 1,243,948,230 | ||||||||
OPP DEVELOPING MKTS I | Equity Based Fund | 3,364,271 | 117,345,779 | ||||||||
Pimco Total Return Institutional Fund | Fixed Income Based Fund | 63,068,868 | 708,894,078 | ||||||||
* SPTN INT TR IDX ADV | Fixed Income Based Fund | 15,272,891 | 173,805,497 | ||||||||
T. Rowe Price Institutional Small-Cap Stock Fund | Equity Based Fund | 24,426,955 | 368,847,025 | ||||||||
Brokerage Link | Various | 335,679,143 | |||||||||
Total Registered Investment Companies | 5,576,511,926 | ||||||||||
Common Collective Trusts | |||||||||||
Harris Associates Oakmark Global Collective Fund | Equity Based Funds | 16,219,380 | 171,276,654 | ||||||||
Northern Trust Collective Aggregate Bond Index Fund - DC – Non-Lending | Fixed Income Based Funds | 4,649,053 | 493,715,515 | ||||||||
Northern Trust ACWI ex-US Fund - DC NonLending(a) | Equity Based Funds | 6,993,202 | 803,966,425 | ||||||||
Northern Trust Collective Russell 2000 Index Fund - DC - Non-Lending | Equity Based Funds | 4,701,647 | 560,821,905 | ||||||||
Northern Trust Collective S&P 500 Index Fund - DC - Non-Lending | Equity Based Funds | 13,780,497 | 1,571,114,408 | ||||||||
Total Common Collective Trusts | 3,600,894,907 | ||||||||||
Raytheon Company Common Stock | |||||||||||
* Raytheon Company | Raytheon Common Stock | 17,863,717 | 1,028,235,551 | ||||||||
Total Raytheon Company Common Stock | 1,028,235,551 | ||||||||||
Total Investments | 12,208,258,404 | ||||||||||
* Participant Loans | 3.25% - 10.00% | 239,591,741 | |||||||||
Adjustment from fair value to contract value for interest in fully benefit-responsive investment contracts | (95,727,243 | ) | |||||||||
Total Investments at Contract Value Including Participant Loans | $ | 12,352,122,902 | |||||||||
Identity of Issue, borrower, lessor, or similar party | Description of investment including maturity date, rate of interest, collateral, par, or maturity value | Shares/Units/ Principal | Current Value | ||||||||
*Party in interest |
RAYTHEON SAVINGS AND INVESTMENT PLAN | ||
By: | /s/ Michael J. Wood | |
Michael J. Wood | ||
Vice President, Controller and Chief Accounting Officer | ||
Principal Accounting Officer |
23.1 | Consent of PricewaterhouseCoopers LLP, Independent Registered Public Accounting Firm. | ||