Transamerica Core Bond

Transcription

1 Portfolio Holdings as of 12/31/2014* Transamerica Capital, Inc. Transamerica Core Bond Security Description Federal Home Loan Mortgage Corp., 4.500%, due 05/01/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Government Trust Certificate, Zero Coupon, due 04/01/2020, Series 2001-Z 1.07% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Federal National Mortgage Association, 4.340%, due 06/01/ % Federal National Mortgage Association, 3.950%, due 07/01/ % Federal National Mortgage Association, 3.890%, due 07/01/ % Federal National Mortgage Association, 5.240%, due 05/01/ % Israel Government AID Bond, Zero Coupon, due 02/15/2020, Series 2008-Z 0.66% Federal National Mortgage Association REMIC, 7.000%, due 11/25/ % U.S. Treasury Note, 3.250%, due 12/31/ % U.S. Treasury Note, 3.125%, due 01/31/ % Federal National Mortgage Association REMIC, 5.500%, due 07/25/ % Federal National Mortgage Association, 4.050%, due 01/01/ % Government Trust Certificate, Zero Coupon, due 04/01/2016, Series 2001-Z 0.56% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury Inflation Indexed Bond, 2.500%, due 01/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Federal National Mortgage Association, 4.500%, due 08/01/ % Tennessee Valley Authority, 5.880%, due 04/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Springleaf Funding Trust, 2.580%, due 09/15/2021, Series 2013-AA, Class A 0.34% Government National Mortgage Association, 0.806%, due 02/20/ % Federal National Mortgage Association REMIC, 5.500%, due 07/25/ % Goldman Sachs Group, Inc., 7.500%, due 02/15/2019, Series MTN 0.33% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Citigroup Mortgage Loan Trust, 4.000%, due 11/25/2036, Series , Class 5A6 0.32% Federal National Mortgage Association, 4.260%, due 07/01/ % Federal National Mortgage Association REMIC, 5.000%, due 09/25/ % Federal Home Loan Mortgage Corp., 3.500%, due 07/15/ % Bank of America Corp., 5.625%, due 07/01/2020, Series MTN 0.30%

2 U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Federal National Mortgage Association, 4.480%, due 06/01/ % Citigroup Mortgage Loan Trust, 4.500%, due 12/25/2036, Series , Class 6A6 0.27% Federal Home Loan Mortgage Corp. REMIC, 5.500%, due 03/15/ % Federal National Mortgage Association REMIC, 5.500%, due 04/25/ % Federal National Mortgage Association REMIC, 5.500%, due 10/25/ % Residual Funding Corp., due 10/15/ % Associates Corp. of North America, 6.950%, due 11/01/ % U.S. Treasury Inflation Indexed Note, 1.125%, due 01/15/ % Federal National Mortgage Association, 2.030%, due 08/01/ % Federal National Mortgage Association REMIC, 5.500%, due 11/25/ % Trafigura Securitisation Finance PLC, 2.561%, due 10/15/2015, Series A, Class A 0.25% Federal Home Loan Mortgage Corp. REMIC, 4.500%, due 06/15/ % Government National Mortgage Association, 5.500%, due 04/20/ % Federal National Mortgage Association REMIC, 6.000%, due 08/25/ % Federal Home Loan Mortgage Corp. REMIC, 5.000%, due 05/15/ % Federal National Mortgage Association, 6.000%, due 02/01/ % Federal National Mortgage Association, 3.590%, due 10/01/ % Morgan Stanley, 7.300%, due 05/13/2019, Series MTN 0.24% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Federal National Mortgage Association, 3.120%, due 01/01/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % U.S. Treasury Inflation Indexed Note, 0.125%, due 01/15/ % General Electric Capital Corp., 5.500%, due 01/08/2020, Series MTN 0.23% Government National Mortgage Association, 5.500%, due 01/16/ % Ident of Securities, 3.110%, due 03/25/ % HLSS Servicer Advance Receivables Trust, 1.244%, due 01/17/2045, Series 2014-T1, Class AT1 0.23% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Federal National Mortgage Association, 5.500%, due 09/01/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Federal Home Loan Mortgage Corp. REMIC, 0.557%, due 07/15/ % Springleaf Funding Trust, 2.410%, due 12/15/2022, Series 2014-AA, Class A 0.21% Government National Mortgage Association, 5.500%, due 09/20/ % Federal Home Loan Mortgage Corp. REMIC, 7.192%, due 11/15/ % Government National Mortgage Association, 6.125%, due 06/16/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % VOLT XXVII LLC, 3.125%, due 08/27/2057, Series 2014-NPL7, Class A1 0.21% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Comcast Corp., 7.050%, due 03/15/ % Federal Home Loan Mortgage Corp., 3.500%, due 06/01/ % U.S. Treasury Bond, 5.000%, due 05/15/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Vericrest Opportunity Loan Transferee LLC, 3.125%, due 04/27/2054, Series 2014-NPL4, Class A1 0.20% Federal National Mortgage Association REMIC, 6.000%, due 03/25/ % Federal National Mortgage Association, 0.720%, due 08/25/ % Federal National Mortgage Association, 4.050%, due 01/01/ %

3 Israel Government AID Bond, Zero Coupon, due 02/15/2025, Series 2010-Z 0.19% HSBC Holdings PLC, 4.875%, due 01/14/ % Federal National Mortgage Association, 4.250%, due 04/01/ % Federal Home Loan Mortgage Corp. REMIC, 5.000%, due 07/15/ % Government National Mortgage Association, 0.856%, due 05/20/ % Federal National Mortgage Association, 4.450%, due 07/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Credit Suisse Commercial Mortgage Trust, 5.669%, due 03/15/2039, Series 2006-C2, Class A3 0.18% Federal Home Loan Mortgage Corp. REMIC, 7.000%, due 12/15/ % SpringCastle America Funding LLC, 2.700%, due 05/25/2023, Series 2014-AA, Class A 0.18% Federal National Mortgage Association REMIC, 0.370%, due 10/27/ % Federal Home Loan Mortgage Corp. REMIC, 5.500%, due 02/15/ % Chase Mortgage Finance Trust, 2.535%, due 02/25/2037, Series 2007-A1, Class 1A3 0.18% A10 Term Asset Financing LLC, 2.620%, due 11/15/2027, Series , Class A 0.17% RALI Trust, 5.500%, due 08/25/2033, Series 2003-QS15, Class A7 0.17% Federal Home Loan Mortgage Corp. REMIC, 4.000%, due 12/15/ % Ohio State University, 4.800%, due 06/01/2111, Series A 0.17% Federal National Mortgage Association REMIC, 6.000%, due 12/25/ % Banc of America Funding Trust, 2.686%, due 03/20/2035, Series 2005-E, Class 4A1 0.17% Bank of America Corp., 6.400%, due 08/28/2017, Series MTN 0.17% Wells Fargo Mortgage-Backed Securities Trust, 2.613%, due 09/25/2034, Series 2004-P, Class 2A1 0.17% Federal Home Loan Mortgage Corp. REMIC, 5.500%, due 05/15/ % Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, 5.231%, due 05/25/ % Government National Mortgage Association, 0.806%, due 05/20/ % Federal Home Loan Mortgage Corp. REMIC, 5.500%, due 05/15/ % Tennessee Valley Authority, due 11/01/ % UBS-BAMLL Trust, 3.663%, due 06/10/2030, Series 2012-WRM, Class A 0.16% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % BCAP LLC Trust, 1.008%, due 09/26/2037, Series 2011-RR10, Class 2A1 0.16% AT&T, Inc., 3.875%, due 08/15/ % JPMorgan Chase Commercial Mortgage Securities Trust, 5.814%, due 06/12/2043, Series 2006-CB15, Class A4 0.15% CSMC Trust, 1.155%, due 06/28/2047, Series R, Class A6 0.15% Federal Home Loan Mortgage Corp., 5.500%, due 12/01/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % HLSS Servicer Advance Receivables Backed Notes, 1.147%, due 05/16/2044, Series 2013-T2, Class A2 0.15% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Federal National Mortgage Association REMIC, 8.000%, due 02/25/ % Federal National Mortgage Association REMIC, 6.500%, due 01/25/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Springleaf Mortgage Loan Trust, 6.000%, due 10/25/2057, Series A, Class M4 0.14% Residual Funding Corp., due 07/15/ % Government National Mortgage Association, 5.750%, due 10/20/ % Prudential Insurance Co. of America, 8.300%, due 07/01/ % Federal National Mortgage Association, 5.000%, due 08/01/ % Federal Home Loan Mortgage Corp. REMIC, 6.000%, due 11/15/ %

4 Federal National Mortgage Association REMIC, 0.770%, due 04/25/ % Federal National Mortgage Association, 6.000%, due 07/01/ % American General Mortgage Loan Trust, 5.650%, due 03/25/2058, Series A, Class A3 0.13% Federal National Mortgage Association, 6.000%, due 03/01/ % U.S. Treasury Bond, 3.500%, due 02/15/ % Federal Home Loan Mortgage Corp. REMIC, 5.000%, due 07/15/ % Federal Home Loan Mortgage Corp. REMIC, 5.000%, due 03/15/ % Federal National Mortgage Association REMIC, 5.750%, due 08/25/ % Morgan Stanley Re-REMIC Trust, 2.000%, due 07/27/2049, Series 2012-XA, Class A 0.13% OneMain Financial Issuance Trust, 2.430%, due 06/18/2024, Series A, Class A 0.13% Morgan Stanley, 5.625%, due 09/23/2019, Series MTN 0.13% Federal National Mortgage Association REMIC, 0.420%, due 06/27/ % Federal National Mortgage Association, 4.250%, due 04/01/ % AIG SunAmerica Global Financing X, 6.900%, due 03/15/ % Wells Fargo Mortgage-Backed Securities Trust, 2.619%, due 03/25/2035, Series 2005-AR3, Class 1A1 0.12% Federal Home Loan Mortgage Corp. REMIC, 4.000%, due 11/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Federal National Mortgage Association, 5.000%, due 08/01/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % VOLT XXIII LLC, 3.625%, due 11/25/2053, Series 2014-NPL2, Class A1 0.12% Trafigura Securitisation Finance PLC, 1.111%, due 10/15/2021, Series A, Class A 0.12% Academic Loan Funding Trust, 0.969%, due 12/26/2044, Series A, Class A 0.12% Federal National Mortgage Association, 3.320%, due 05/01/ % Federal National Mortgage Association, 3.290%, due 08/01/ % Federal National Mortgage Association, 3.290%, due 08/01/ % Federal Home Loan Mortgage Corp., 2.553%, due 02/01/ % HSBC Holdings PLC, 5.100%, due 04/05/ % Eni SpA, 5.700%, due 10/01/ % CSMC Trust, 3.719%, due 06/25/2050, Series , Class A4 0.12% Port Authority of New York & New Jersey, 4.458%, due 10/01/ % VOLT XXII LLC, 3.625%, due 10/27/2053, Series 2014-NPL1, Class A1 0.12% COBALT Commercial Mortgage Trust, 5.254%, due 08/15/2048, Series 2006-C1, Class AM 0.12% Springleaf Mortgage Loan Trust, 6.000%, due 09/25/2057, Series A, Class M3 0.11% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Ident of Securities, 2.990%, due 01/25/ % General Electric Capital Corp., 4.650%, due 10/17/2021, Series MTN 0.11% Verizon Communications, Inc., 3.000%, due 11/01/ % Federal Home Loan Mortgage Corp. REMIC, 5.300%, due 01/15/ % VNDO Mortgage Trust, 2.996%, due 11/15/2030, Series AVE, Class A 0.11% Progreso Receivables Funding II LLC, 3.500%, due 07/08/2019, Series 2014-A, Class A 0.11% Federal Home Loan Mortgage Corp. REMIC, 6.000%, due 11/15/ % GLC II Trust, 4.000%, due 12/18/2020, Series 2014-A, Class A 0.11% Federal National Mortgage Association, 3.170%, due 02/01/ % Federal Home Loan Mortgage Corp., 6.500%, due 12/01/ % GSMPS Mortgage Loan Trust, 0.520%, due 09/25/2035, Series 2005-RP3, Class 1AF 0.11% CPS Auto Receivables Trust, 1.490%, due 04/15/2019, Series 2014-D, Class A 0.11% Federal Home Loan Mortgage Corp. REMIC, 7.500%, due 12/15/ %

5 CPS Auto Receivables Trust, 1.540%, due 07/16/2018, Series 2013-D, Class A 0.11% GMACM Mortgage Loan Trust, 6.500%, due 01/25/2035, Series 2004-J5, Class A7 0.11% Federal National Mortgage Association, 2.875%, due 03/01/ % Israel Government AID Bond, Zero Coupon, due 11/15/2026, Series 2011-Z 0.11% Wells Fargo Mortgage-Backed Securities Trust, 2.566%, due 10/25/2034, Series 2004-U, Class A1 0.11% AT&T, Inc., 5.350%, due 09/01/ % Federal National Mortgage Association, 5.500%, due 10/01/ % Federal National Mortgage Association REMIC, 4.500%, due 10/25/ % Federal National Mortgage Association REMIC, 0.720%, due 08/25/ % Federal Home Loan Mortgage Corp., 5.000%, due 08/01/ % American Municipal Power, Inc., 7.499%, due 02/15/2050, Series B 0.11% U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Oracle Corp., 6.125%, due 07/08/ % Government National Mortgage Association, 6.500%, due 12/20/ % American Credit Acceptance Receivables Trust, 0.990%, due 10/10/2017, Series , Class A 0.10% Federal National Mortgage Association REMIC, 5.500%, due 07/25/ % Government National Mortgage Association, 7.000%, due 10/16/ % Federal National Mortgage Association, 6.000%, due 09/01/ % Federal Home Loan Mortgage Corp. REMIC, 7.500%, due 11/15/ % Government National Mortgage Association, 6.000%, due 11/20/ % VOLT XIX LLC, 3.875%, due 04/26/2055, Series 2014-NP11, Class A1 0.10% Government National Mortgage Association, 7.000%, due 08/16/ % Government National Mortgage Association, 5.500%, due 09/20/ % Residual Funding Corp., due 10/15/ % Normandy Mortgage Loan Co. LLC, 4.949%, due 09/16/2043, Series 2013-NPL3, Class A 0.10% Federal National Mortgage Association, 5.500%, due 07/01/ % Government National Mortgage Association, due 12/20/ % Wells Fargo Mortgage-Backed Securities Trust, 2.597%, due 07/25/2034, Series 2004-I, Class 1A1 0.10% Carlyle Global Market Strategies Commodities Funding, Ltd., 2.131%, due 10/15/2021, Series A, Class A 0.10% Wells Fargo Re-REMIC Trust, 1.750%, due 08/20/2021, Series 2012-IO, Class A 0.10% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Oak Hill Advisors Residential Loan Trust, 3.475%, due 04/25/2054, Series 2014-NPL2, Class A1 0.10% Citigroup Mortgage Loan Trust, 2.732%, due 11/25/2038, Series 2008-AR4, Class 1A1A 0.10% Federal Home Loan Mortgage Corp., 6.500%, due 12/01/ % CSMC Trust, 0.955%, due 04/15/2027, Series 2014-ICE, Class A 0.09% Federal Home Loan Mortgage Corp. REMIC, 5.500%, due 01/15/ % Macquarie Group, Ltd., 6.250%, due 01/14/ % GLC Trust, 3.000%, due 07/15/2021, Series 2014-A, Class A 0.09% Weatherford International, Ltd., 9.875%, due 03/01/ % Corp. Andina de Fomento, 3.750%, due 01/15/ % GMACM Mortgage Loan Trust, 2.788%, due 12/19/2033, Series 2003-AR2, Class 2A4 0.09% Berkshire Hathaway Energy Co., 3.750%, due 11/15/ % BCAP LLC Trust, 2.140%, due 07/26/2045, Series 2010-RR7, Class 2A1 0.09% Federal Home Loan Mortgage Corp. REMIC, 0.561%, due 02/15/ % Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.727%, due 07/10/2043, Series , Class AM 0.09%

6 General Electric Capital Corp., 3.100%, due 01/09/2023, Series MTN 0.09% American Express Co., 7.000%, due 03/19/ % Federal Home Loan Mortgage Corp. REMIC, 6.000%, due 04/15/ % Federal National Mortgage Association REMIC, due 01/25/ % BCAP LLC Trust, 2.229%, due 05/26/2037, Series 2012-RR3, Class 2A5 0.09% Federal Home Loan Mortgage Corp. REMIC, 6.500%, due 04/15/ % U.S. Treasury Bond, 4.375%, due 02/15/ % Federal National Mortgage Association REMIC, %, due 03/25/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % CSMC Trust, 2.156%, due 03/27/2046, Series R, Class A1 0.09% Federal Home Loan Mortgage Corp., 3.033%, due 03/01/ % GTP Acquisition Partners I LLC, 4.347%, due 06/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Federal National Mortgage Association, 6.000%, due 02/01/ % State of California, 7.300%, due 10/01/ % Merrill Lynch Mortgage Trust, 5.677%, due 05/12/2039, Series 2006-C1, Class A4 0.09% Metropolitan Life Global Funding I, 3.875%, due 04/11/ % Federal National Mortgage Association REMIC, 6.000%, due 05/25/ % Federal Home Loan Mortgage Corp. REMIC, 6.500%, due 08/15/ % Wells Fargo Mortgage-Backed Securities Trust, 2.615%, due 09/25/2034, Series 2004-R, Class 2A1 0.09% Federal National Mortgage Association REMIC, due 12/25/ % Mexico Government International Bond, 3.500%, due 01/21/2021, Series MTN 0.08% GSR Mortgage Loan Trust, 6.000%, due 09/25/2034, Series F, Class 2A3 0.08% GSR Mortgage Loan Trust, 5.250%, due 06/25/2033, Series F, Class 1A4 0.08% Federal Home Loan Mortgage Corp. REMIC, 6.000%, due 01/15/ % NiSource Finance Corp., 5.800%, due 02/01/ % BCAP LLC Trust, 5.046%, due 05/26/2035, Series 2010-RR8, Class 3A4 0.08% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % CVS Pass-Through Trust, 5.926%, due 01/10/ % Federal Home Loan Mortgage Corp., 4.983%, due 01/01/ % Mexico Government International Bond, 4.750%, due 03/08/2044, Series MTN 0.08% Federal Home Loan Mortgage Corp., 2.550%, due 12/01/ % Federal Home Loan Mortgage Corp. REMIC, 5.000%, due 08/15/ % Government National Mortgage Association, 0.606%, due 03/20/ % Federal National Mortgage Association REMIC, 8.259%, due 11/25/ % HLSS Servicer Advance Receivables Backed Notes, 1.981%, due 11/15/2046, Series 2013-T7, Class AT7 0.08% Federal National Mortgage Association REMIC, 5.851%, due 05/25/ % CPS Auto Receivables Trust, 2.520%, due 09/16/2019, Series 2012-B, Class A 0.08% Merrill Lynch Mortgage Trust, 5.047%, due 07/12/2038, Series 2005-CIP1, Class A4 0.08% JPMorgan Chase Commercial Mortgage Securities Trust, 5.402%, due 08/12/2037, Series 2005-CB11, Class AJ 0.08% U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Bank of America Corp., 5.700%, due 01/24/ % Springleaf Mortgage Loan Trust, 1.870%, due 09/25/2057, Series A, Class A 0.08% BHP Billiton Finance USA, Ltd., 3.250%, due 11/21/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % PNC Bank NA, 6.875%, due 04/01/ %

7 MASTR Adjustable Rate Mortgages Trust, 2.643%, due 04/21/2034, Series , Class 2A1 0.08% Bank of America Corp., 6.875%, due 04/25/2018, Series MTN 0.08% Capital One Financial Corp., 4.750%, due 07/15/ % Citigroup, Inc., 8.500%, due 05/22/ % BCAP LLC Trust, 5.000%, due 08/26/2037, Series 2011-RR4, Class 6A3 0.08% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Anadarko Holding Co., 7.150%, due 05/15/ % Total Capital International SA, 2.875%, due 02/17/ % Federal National Mortgage Association, 7.000%, due 12/25/ % UBS-Barclays Commercial Mortgage Trust, 3.525%, due 05/10/2063, Series 2012-C2, Class A4 0.08% Morgan Stanley Capital I Trust, 4.054%, due 07/15/2049, Series 2011-C3, Class A3 0.08% Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Zero Coupon, due 10/25/ % International Business Machines Corp., 7.000%, due 10/30/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % RBSHD Trust, 4.685%, due 10/25/2047, Series A, Class A 0.07% General Electric Capital Corp., 6.750%, due 03/15/2032, Series MTN 0.07% CSMC Trust, 2.346%, due 07/27/2037, Series R, Class 1A1 0.07% Federal Home Loan Mortgage Corp. REMIC, %, due 02/15/ % Federal National Mortgage Association, 6.000%, due 10/01/ % Orange SA, 9.000%, due 03/01/ % OnDeck Asset Securitization Trust LLC, 3.150%, due 05/17/2018, Series A, Class A 0.07% Amgen, Inc., 5.150%, due 11/15/ % Federal National Mortgage Association, 6.000%, due 07/01/ % State Street Corp., 3.700%, due 11/20/ % Eaton Corp., 7.625%, due 04/01/ % Federal Home Loan Mortgage Corp. REMIC, 5.000%, due 07/15/ % NYMT Residential LLC, 4.850%, due 09/25/2018, Series 2013-RP3A 0.07% Federal Home Loan Mortgage Corp., 2.680%, due 05/01/ % Federal National Mortgage Association, due 11/15/ % Koninklijke Philips NV, 7.200%, due 06/01/ % HP Enterprise Services LLC, 7.450%, due 10/15/ % Federal National Mortgage Association, 6.500%, due 09/01/ % African Development Bank, 8.800%, due 09/01/ % Federal National Mortgage Association REMIC, 2.320%, due 12/25/ % Illinois Tool Works, Inc., 3.900%, due 09/01/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Academic Loan Funding Trust, 0.970%, due 12/27/2022, Series A, Class A1 0.07% Federal National Mortgage Association REMIC, 5.500%, due 12/25/ % Viacom, Inc., 3.875%, due 12/15/ % MASTR Asset Securitization Trust, 5.250%, due 12/25/2033, Series , Class 9A6 0.07% RAMP Trust, 0.470%, due 03/25/2036, Series 2006-RZ1, Class A3 0.07% Exelon Generation Co. LLC, 4.000%, due 10/01/ % Duke Energy Progress, Inc., 3.000%, due 09/15/ % Federal National Mortgage Association REMIC, due 03/25/ % AGL Capital Corp., 3.500%, due 09/15/ % JPMorgan Mortgage Trust, 2.430%, due 11/25/2033, Series 2006-A2, Class 5A3 0.07%

8 CHL Mortgage Pass-Through Trust, 5.250%, due 01/25/2034, Series 2003-J13, Class 1A7 0.07% Federal National Mortgage Association REMIC, due 10/25/ % Travelers Property Casualty Corp., 7.750%, due 04/15/ % Federal National Mortgage Association, 7.500%, due 12/25/ % Federal National Mortgage Association, 6.500%, due 10/01/ % Federal Home Loan Mortgage Corp., 5.500%, due 12/01/ % AT&T, Inc., 6.300%, due 01/15/ % A10 Term Asset Financing LLC, 3.020%, due 04/15/2033, Series , Class A2 0.07% LVII Re-REMIC Trust, 5.189%, due 11/27/2037, Series , Class M3 0.07% Vendee Mortgage Trust, 6.750%, due 06/15/2028, Series , Class 1G 0.07% ASG Re-REMIC Trust, 2.287%, due 03/26/2037, Series , Class A % Federal National Mortgage Association REMIC, 6.000%, due 11/25/ % WFRBS Commercial Mortgage Trust, 4.375%, due 03/15/2044, Series 2011-C3, Class A4 0.07% Port Authority of New York & New Jersey, 5.647%, due 11/01/2040, Series B 0.07% Ford Motor Credit Co. LLC, 2.375%, due 03/12/ % Government National Mortgage Association, 5.500%, due 09/20/ % U.S. Treasury Note, 0.750%, due 12/31/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Mexico Government International Bond, 5.750%, due 10/12/2110, Series , Class A2 0.07% GE Capital Commercial Mortgage Corp., 4.826%, due 06/10/2048, Series 2005-C1, Class AJ 0.07% Banc of America Commercial Mortgage Trust, 5.889%, due 07/10/2044, Series , Class A4 0.07% Dominion Resources, Inc., 5.250%, due 08/01/ % Federal Home Loan Mortgage Corp., 6.500%, due 05/01/ % WaMu Mortgage Pass-Through Certificates Trust, 2.438%, due 06/25/2033, Series 2003-AR6, Class A1 0.07% BXG Receivables Note Trust, 2.660%, due 12/02/2027, Series 2012-A, Class A 0.07% Comcast Cable Holdings LLC, %, due 04/15/ % Federal National Mortgage Association, 6.000%, due 08/01/ % Blackstone Holdings Finance Co. LLC, 5.875%, due 03/15/ % Kansas City Power & Light Co., 5.300%, due 10/01/ % RAMP Trust, 4.820%, due 03/25/2034, Series 2004-RZ1, Class M1 0.07% Verizon Communications, Inc., 5.050%, due 03/15/ % Ford Motor Credit Co. LLC, 3.984%, due 06/15/ % Federal National Mortgage Association REMIC, %, due 05/25/ % COBALT CMBS Commercial Mortgage Trust, 5.223%, due 08/15/2048, Series 2006-C1, Class A4 0.06% Hydro-Quebec, 8.400%, due 01/15/ % Fluor Corp., 3.375%, due 09/15/ % Impac Secured Assets Trust, 0.520%, due 05/25/2036, Series , Class 2A1 0.06% Florida Power & Light Co., 5.950%, due 10/01/ % Government National Mortgage Association, 5.750%, due 02/20/ % Federal Home Loan Mortgage Corp. REMIC, due 12/15/ % Daimler Finance North America LLC, 2.875%, due 03/10/ % Government National Mortgage Association, 6.500%, due 12/20/ % Federal Home Loan Mortgage Corp. REMIC, 6.500%, due 02/15/ % John Sevier Combined Cycle Generation LLC, 4.626%, due 01/15/ % Westgate Resorts LLC, 3.000%, due 01/20/2025, Series A, Class A 0.06%

9 Sequoia Mortgage Trust, 0.465%, due 12/20/2034, Series , Class A1 0.06% Commonwealth Bank of Australia, 2.250%, due 03/16/ % WaMu Mortgage Pass-Through Certificates Trust, 2.369%, due 06/25/2034, Series 2004-AR3, Class A2 0.06% Federal Home Loan Mortgage Corp. REMIC, 5.706%, due 10/15/ % Centel Capital Corp., 9.000%, due 10/15/ % Penske Truck Leasing Co., LP / PTL Finance Corp., 4.875%, due 07/11/ % Federal National Mortgage Association REMIC, 6.438%, due 03/25/ % ABFC Trust, 5.010%, due 06/25/2035, Series 2005-AQ1, Class A4 0.06% RAIT Trust, 1.411%, due 12/15/2031, Series 2014-FL3, Class A 0.06% Mosaic Co., 5.450%, due 11/15/ % Springleaf Mortgage Loan Trust, 2.660%, due 12/25/2059, Series A, Class M1 0.06% Government National Mortgage Association, 5.825%, due 10/20/ % Bank of New York Mellon Corp., 3.550%, due 09/23/ % BCAP LLC Trust, 0.340%, due 08/26/2036, Series 2012-RR2, Class 1A1 0.06% Citigroup Mortgage Loan Trust, 2.406%, due 09/25/2033, Series , Class 1A1 0.06% Citigroup Commercial Mortgage Trust, 5.431%, due 10/15/2049, Series 2006-C5, Class A4 0.06% Federal Home Loan Mortgage Corp. REMIC, due 05/15/ % Federal National Mortgage Association, 6.000%, due 11/01/ % Federal Home Loan Mortgage Corp., 3.372%, due 07/01/ % ERP Operating, LP, 4.625%, due 12/15/ % Stadshypotek AB, 1.875%, due 10/02/ % Mondelez International, Inc., 4.000%, due 02/01/ % Exeter Automobile Receivables Trust, 1.290%, due 10/16/2017, Series A, Class A 0.06% Union Carbide Corp., 7.500%, due 06/01/ % Merrill Lynch Mortgage Trust, 5.366%, due 01/12/2044, Series 2005-LC1, Class AJ 0.06% VOLT XV LLC, 3.250%, due 05/26/2054, Series A, Class A1 0.06% Verizon Communications, Inc., 4.500%, due 09/15/ % Federal National Mortgage Association, 7.500%, due 04/01/ % A10 Term Asset Financing LLC, 1.720%, due 04/15/2033, Series , Class A1 0.06% Sempra Energy, 9.800%, due 02/15/ % Federal National Mortgage Association REMIC, %, due 04/25/ % Federal National Mortgage Association REMIC, 6.000%, due 05/25/ % Federal National Mortgage Association REMIC, 6.000%, due 03/25/ % Federal National Mortgage Association, 7.000%, due 06/25/ % Celgene Corp., 1.900%, due 08/15/ % Federal Home Loan Mortgage Corp. REMIC, 6.250%, due 10/15/ % Walgreens Boots Alliance, Inc., 3.100%, due 09/15/ % Macquarie Group, Ltd., 6.000%, due 01/14/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % BCAP LLC Trust, 0.345%, due 05/26/2036, Series 2012-RR10, Class 3A1 0.06% Federal Home Loan Mortgage Corp. REMIC, 0.411%, due 08/15/ % Ecolab, Inc., 5.500%, due 12/08/ % Federal National Mortgage Association REMIC, 6.191%, due 02/25/ % Federal National Mortgage Association REMIC, 5.500%, due 08/25/ % Nevada Power Co., 5.450%, due 05/15/ % Chase Funding Trust, 5.278%, due 11/25/2034, Series , Class 1A5 0.06% Bank of America Corp., 5.875%, due 02/07/2042, Series MTN 0.06% Federal National Mortgage Association REMIC, 6.530%, due 03/25/ % BCAP LLC Trust, 2.378%, due 08/26/2035, Series 2009-RR14, Class 3A2 0.06%

10 U.S. Treasury Bond, 6.125%, due 11/15/ % Enel Finance International NV, 5.125%, due 10/07/ % Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 5.540%, due 12/25/2033, Series H, Class A4 0.06% Nordea Bank AB, 1.625%, due 05/15/ % Santander Drive Auto Receivables Trust, 1.020%, due 01/16/2018, Series 2013-A, Class A3 0.06% Anthem, Inc., 3.125%, due 05/15/ % Federal National Mortgage Association, 6.500%, due 08/01/ % Federal Home Loan Mortgage Corp. REMIC, 6.695%, due 11/15/ % HLSS Servicer Advance Receivables Trust, 1.990%, due 10/15/2045, Series 2012-T2, Class A2 0.06% General Electric Capital Corp., 6.000%, due 08/07/2019, Series MTN 0.06% Deutsche Telekom International Finance BV, 8.750%, due 06/15/ % PacifiCorp, 6.250%, due 10/15/ % Federal National Mortgage Association REMIC, due 03/25/ % Banc of America Commercial Mortgage Trust, 5.634%, due 07/10/2046, Series , Class A4 0.05% Structured Asset Securities Corp., 5.490%, due 02/25/2034, Series XS, Class 1A5 0.05% Apple, Inc., 2.400%, due 05/03/ % Springleaf Mortgage Loan Trust, 3.560%, due 12/25/2059, Series A, Class M2 0.05% RBSSP Re-REMIC Trust, 6.500%, due 02/26/2036, Series , Class 1A1 0.05% UBS-Barclays Commercial Mortgage Trust, 1.758%, due 05/10/2063, Series 2012-C2, Class XA 0.05% Federal Home Loan Mortgage Corp., 2.137%, due 12/01/ % Banc of America Mortgage Trust, 2.691%, due 04/25/2034, Series 2004-C, Class 2A2 0.05% Federal Home Loan Mortgage Corp. REMIC, 6.000%, due 04/15/ % Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, 6.500%, due 02/25/ % Pacific Life Insurance Co., 9.250%, due 06/15/ % Vodafone Group PLC, 1.625%, due 03/20/ % Federal National Mortgage Association, 5.500%, due 03/01/ % Suncor Energy, Inc., 5.950%, due 12/01/ % Bank of Nova Scotia, 2.550%, due 01/12/ % Federal National Mortgage Association, 2.553%, due 12/01/ % Federal Home Loan Mortgage Corp., 2.368%, due 11/01/ % Federal Home Loan Mortgage Corp. REMIC, due 09/15/ % CHL Mortgage Pass-Through Trust, 5.750%, due 04/25/2034, Series , Class A4 0.05% BCAP LLC Trust, 0.305%, due 05/28/2036, Series 2011-RR5, Class 11A3 0.05% MASTR Adjustable Rate Mortgages Trust, 2.639%, due 11/21/2034, Series , Class 3A7 0.05% Federal Home Loan Mortgage Corp., 2.219%, due 12/01/ % Thermo Fisher Scientific, Inc., 4.150%, due 02/01/ % Tennessee Valley Authority, Zero Coupon, due 05/01/ % Financing Corp., due 09/26/2019, Series D-P 0.05% Structured Asset Mortgage Investments II Trust, 0.824%, due 10/19/2034, Series 2004-AR5, Class 1A1 0.05% Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, 7.500%, due 02/25/ % WaMu Mortgage Pass-Through Certificates Trust, 5.500%, due 06/25/2034, Series 2004-S2, Class 2A4 0.05%

11 Federal National Mortgage Association, 6.500%, due 02/01/ % Federal National Mortgage Association, due 08/25/ % Federal National Mortgage Association REMIC, due 11/25/ % BP Capital Markets PLC, 3.245%, due 05/06/ % CPS Auto Trust, 1.820%, due 12/16/2019, Series 2012-C, Class A 0.05% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Federal Home Loan Mortgage Corp. REMIC, due 10/15/ % VOLT XXIV LLC, 3.250%, due 11/25/2053, Series 2014-NPL3, Class A1 0.05% Flagship Credit Auto Trust, 1.210%, due 04/15/2019, Series , Class A 0.05% Credit Suisse First Boston Mortgage Securities Corp., 5.500%, due 12/25/2034, Series , Class 1A4 0.05% Shell International Finance BV, 4.375%, due 03/25/ % CHL Mortgage Pass-Through Trust, 5.500%, due 06/25/2034, Series , Class 1A4 0.05% Ryder System, Inc., 2.500%, due 03/01/2017, Series MTN 0.05% Telefonica Emisiones SAU, 5.134%, due 04/27/ % Talisman Energy, Inc., 7.750%, due 06/01/ % Morgan Stanley Re-REMIC Trust, 0.250%, due 07/27/2049, Series 2012-XA, Class B 0.05% Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.350%, due 02/23/ % Citigroup Mortgage Loan Trust, 5.750%, due 05/25/2037, Series , Class 3A1 0.05% Citigroup Commercial Mortgage Trust, 4.830%, due 05/15/2043, Series 2005-C3, Class AM 0.05% Placer Dome, Inc., 6.450%, due 10/15/ % Equity Commonwealth, 5.875%, due 09/15/ % Federal Home Loan Mortgage Corp. REMIC, due 01/15/ % Texas Eastern Transmission, LP, 2.800%, due 10/15/ % Goldman Sachs Group, Inc., 5.375%, due 03/15/2020, Series MTN 0.05% Federal Home Loan Mortgage Corp., 5.500%, due 03/01/ % Federal Home Loan Mortgage Corp. REMIC, due 01/15/ % Federal Home Loan Mortgage Corp. REMIC, 5.500%, due 12/15/ % BP Capital Markets PLC, 1.846%, due 05/05/ % Arrow Electronics, Inc., 6.000%, due 04/01/ % Chase Mortgage Finance Trust, 2.506%, due 07/25/2037, Series 2007-A2, Class 2A1 0.05% Federal National Mortgage Association, 0.570%, due 05/25/ % Government National Mortgage Association, %, due 04/20/ % Credit Suisse First Boston Mortgage Securities Corp., 5.500%, due 09/25/2034, Series , Class 2A4 0.05% Federal National Mortgage Association REMIC, due 09/25/ % DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 4.600%, due 02/15/ % UnitedHealth Group, Inc., 3.375%, due 11/15/ % ebay, Inc., 3.250%, due 10/15/ % Federal National Mortgage Association REMIC, 5.970%, due 06/25/ % America Movil SAB de CV, 2.375%, due 09/08/ % ERAC USA Finance LLC, 6.700%, due 06/01/ % Federal National Mortgage Association, 6.500%, due 11/01/ % Nabors Industries, Inc., 4.625%, due 09/15/ % Thomson Reuters Corp., 3.950%, due 09/30/ % Federal National Mortgage Association, 6.000%, due 09/01/ % Federal National Mortgage Association REMIC, 5.500%, due 09/25/ % CSX Corp., 7.375%, due 02/01/ % ING Bank NV, 3.750%, due 03/07/ %

12 Time Warner, Inc., 7.625%, due 04/15/ % BCAP LLC Trust, 5.440%, due 04/26/2037, Series 2010-RR5, Class 2A5 0.05% Federal National Mortgage Association, 6.000%, due 08/01/ % Nordea Bank AB, 4.875%, due 05/13/ % Cleveland Electric Illuminating Co., 8.875%, due 11/15/ % Amgen, Inc., 3.450%, due 10/01/ % PPG Industries, Inc., 9.000%, due 05/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % BCAP LLC Trust, 4.500%, due 01/26/2036, Series 2010-RR12, Class 2A5 0.05% Banc of America Alternative Loan Trust, 6.000%, due 02/25/2034, Series , Class 1A1 0.05% Novartis Capital Corp., 3.400%, due 05/06/ % Federal Home Loan Mortgage Corp. REMIC, due 02/15/ % Kerr-McGee Corp., 7.875%, due 09/15/ % Teva Pharmaceutical Finance Co., BV, 3.650%, due 11/10/ % U.S. Treasury Bond, 5.500%, due 08/15/ % Burlington Resources Finance Co., 7.400%, due 12/01/ % Turkey Government International Bond, 5.750%, due 03/22/ % CSMC Trust, 3.719%, due 06/25/2050, Series , Class A3 0.05% Federal Home Loan Mortgage Corp. REMIC, 5.500%, due 11/15/ % Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 5.550%, due 03/25/2034, Series XS, Class A5B 0.05% Wells Fargo & Co., 3.676%, due 06/15/ % Federal National Mortgage Association, 6.500%, due 06/01/ % Credit Suisse First Boston Mortgage Securities Corp., 4.730%, due 07/15/2037, Series 2005-C3, Class AM 0.05% ConocoPhillips, 6.650%, due 07/15/ % Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 5.530%, due 03/25/2034, Series XS, Class A5A 0.05% SpringCastle America Funding LLC, 4.610%, due 10/25/2027, Series 2014-AA, Class B 0.05% ASG Re-REMIC Trust, 4.688%, due 05/24/2036, Series , Class G % AXIS Equipment Finance Receivables II LLC, 1.750%, due 03/20/2017, Series A, Class A 0.05% LB-UBS Commercial Mortgage Trust, 5.833%, due 06/15/2038, Series 2006-C4, Class A4 0.05% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Aetna, Inc., 6.750%, due 12/15/ % Chase Mortgage Finance Trust, 5.500%, due 03/25/2034, Series 2004-S3, Class 2A5 0.05% San Diego Gas & Electric Co., 6.000%, due 06/01/ % Selene Non-Performing Loans LLC, 2.981%, due 05/25/2054, Series A, Class A 0.05% Sequoia Mortgage Trust, 0.465%, due 12/20/2034, Series , Class A3 0.05% Nippon Telegraph & Telephone Corp., 1.400%, due 07/18/ % US Bank NA, 2.125%, due 10/28/ % Morgan Stanley, 5.000%, due 11/24/2025, Series MTN 0.05% Royal Bank of Canada, 1.200%, due 09/19/ % Heineken NV, 1.400%, due 10/01/ % American Tower Trust I, 3.070%, due 03/15/2048, Series A, Class 2A 0.04% Chase Funding Trust, 0.730%, due 02/25/2033, Series , Class 2A2 0.04% Gold Key Resorts LLC, 3.220%, due 03/17/2031, Series 2014-A, Class A 0.04% 21st Century Fox America, Inc., 7.700%, due 10/30/ % Exeter Automobile Receivables Trust, 1.290%, due 05/15/2018, Series A, Class A 0.04%

13 Federal Home Loan Mortgage Corp., 6.000%, due 12/01/ % Southern California Edison Co., 6.650%, due 04/01/ % Petrobras Global Finance BV, 6.250%, due 03/17/ % Morgan Stanley Mortgage Loan Trust, 5.682%, due 04/25/2034, Series , Class 4A 0.04% BAE Systems Holdings, Inc., 5.200%, due 08/15/ % WaMu Mortgage Pass-Through Certificates Trust, 5.500%, due 06/25/2033, Series 2003-S3, Class 1A4 0.04% Berkshire Hathaway Energy Co., 6.125%, due 04/01/ % Federal National Mortgage Association, 6.500%, due 05/01/ % First Horizon Mortgage Pass-Through Trust, 2.629%, due 05/25/2034, Series 2004-AR2, Class 2A1 0.04% RALI Trust, 5.500%, due 05/25/2034, Series 2004-QS7, Class A4 0.04% CenterPoint Energy Resources Corp., 4.500%, due 01/15/ % Verizon Communications, Inc., 6.550%, due 09/15/ % CSMC Trust, 2.699%, due 07/28/2036, Series R, Class 3A1 0.04% RBSSP Re-REMIC Trust, 4.000%, due 05/26/2037, Series , Class 7A5 0.04% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Federal National Mortgage Association, due 09/25/ % Occidental Petroleum Corp., 2.700%, due 02/15/ % JPMorgan Chase Commercial Mortgage Securities Trust, 0.316%, due 05/15/2047, Series 2006-LDP9, Class A3SF 0.04% Bunge, Ltd. Finance Corp., 8.500%, due 06/15/ % Madison Avenue Manufactured Housing Contract Trust, 2.419%, due 03/25/2032, Series 2002-A, Class M2 0.04% Impac Secured Assets Trust, 0.520%, due 08/25/2036, Series , Class 2A1 0.04% Time Warner Entertainment Co., LP, 8.375%, due 07/15/ % WaMu Mortgage Pass-Through Certificates Trust, 2.406%, due 09/25/2033, Series 2003-AR9, Class 1A6 0.04% ASG Re-REMIC Trust, 2.573%, due 11/28/2035, Series , Class 3A % Banc of America Funding Trust, 5.500%, due 10/25/2034, Series , Class 1A1 0.04% Federal National Mortgage Association, 7.000%, due 07/25/ % Petrobras International Finance Co. SA, 5.375%, due 01/27/ % Anheuser-Busch InBev Worldwide, Inc., 8.200%, due 01/15/ % Goldman Sachs Group, Inc., 6.150%, due 04/01/ % Federal Home Loan Mortgage Corp. REMIC, due 08/15/ % Burlington Northern Santa Fe LLC, 5.750%, due 05/01/ % Government National Mortgage Association, 6.500%, due 12/20/ % Province of Quebec Canada, 6.350%, due 01/30/2026, Series MTN 0.04% Merrill Lynch Mortgage Investors Trust, 2.161%, due 12/25/2034, Series , Class 2A1 0.04% Discovery Communications LLC, 4.375%, due 06/15/ % Government National Mortgage Association, 6.500%, due 12/15/ % Ford Motor Credit Co. LLC, 1.500%, due 01/17/ % Kraft Foods Group, Inc., 5.375%, due 02/10/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % American Honda Finance Corp., 7.625%, due 10/01/2018, Series MTN 0.04% Federal National Mortgage Association REMIC, %, due 09/25/ % Federal National Mortgage Association, 6.000%, due 01/01/ % Federal National Mortgage Association REMIC, %, due 05/25/ % Federal National Mortgage Association, 6.000%, due 04/01/ % Arizona Public Service Co., 5.050%, due 09/01/ %

14 Boston Gas Co., 4.487%, due 02/15/ % Goldman Sachs Group, Inc., 5.950%, due 01/18/ % New York State Dormitory Authority, 5.600%, due 03/15/ % Federal National Mortgage Association REMIC, 6.000%, due 09/25/ % Poland Government International Bond, 4.000%, due 01/22/ % Schlumberger Investment SA, 3.300%, due 09/14/ % Ford Motor Credit Co. LLC, 4.250%, due 09/20/ % Federal National Mortgage Association, 7.000%, due 12/25/ % Petro-Canada, 6.050%, due 05/15/ % Waste Management, Inc., 4.750%, due 06/30/ % Government National Mortgage Association, 6.000%, due 12/20/ % Kroger Co., 6.150%, due 01/15/ % Federal National Mortgage Association, 5.500%, due 11/01/ % Federal National Mortgage Association REMIC, due 05/25/ % CHL Mortgage Pass-Through Trust, 5.000%, due 10/25/2033, Series , Class A6 0.04% Federal National Mortgage Association REMIC, 6.500%, due 08/25/ % Federal National Mortgage Association, 2.461%, due 11/01/ % Exeter Automobile Receivables Trust, 1.060%, due 08/15/2018, Series A, Class A 0.04% Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 5.800%, due 09/30/ % Johnson Controls, Inc., 5.250%, due 12/01/ % Xerox Corp., 5.625%, due 12/15/ % Union Pacific Corp., 4.163%, due 07/15/ % Federal National Mortgage Association REMIC, 0.410%, due 10/25/ % Verizon Communications, Inc., 4.400%, due 11/01/ % Tosco Corp., 8.125%, due 02/15/ % Microsoft Corp., 3.625%, due 12/15/ % Federal National Mortgage Association REMIC, 4.831%, due 07/25/ % Exeter Automobile Receivables Trust, 1.490%, due 11/15/2017, Series A, Class A 0.04% Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 4.500%, due 01/11/ % Wells Fargo Mortgage-Backed Securities Trust, 2.592%, due 06/25/2035, Series 2005-AR8, Class 2A1 0.04% Verizon Pennsylvania LLC, 8.350%, due 12/15/ % Banc of America Funding Corp., 3.000%, due 10/26/2039, Series 2012-R6, Class 1A1 0.04% Shell International Finance BV, 4.300%, due 09/22/ % Chase Mortgage Finance Trust, 2.464%, due 02/25/2037, Series 2007-A1, Class 2A1 0.04% Alabama Power Co., 6.000%, due 03/01/ % Federal National Mortgage Association, due 12/25/ % National Rural Utilities Cooperative Finance Corp., %, due 11/01/ % United Technologies Corp., 8.875%, due 11/15/ % Federal National Mortgage Association, 7.500%, due 08/25/ % AGL Capital Corp., 6.375%, due 07/15/ % Nordstrom, Inc., 4.000%, due 10/15/ % CNA Financial Corp., 5.875%, due 08/15/ % EOG Resources, Inc., 4.100%, due 02/01/ % VOLT XXVI LLC, 4.250%, due 09/25/2043, Series 2014-NPL6 0.04% 21st Century Fox America, Inc., 6.200%, due 12/15/ % BHP Billiton Finance USA, Ltd., 6.500%, due 04/01/ % Nationwide Mutual Insurance Co., 9.375%, due 08/15/ % Banc of America Funding Trust, 5.197%, due 08/26/2035, Series 2010-R11A, Class 1A6 0.04% International Business Machines Corp., 1.250%, due 02/06/ %

15 Statoil ASA, 3.150%, due 01/23/ % American Water Capital Corp., 3.850%, due 03/01/ % Federal National Mortgage Association REMIC, due 03/25/ % CHL Mortgage Pass-Through Trust, 5.500%, due 04/25/2034, Series , Class A % CPS Auto Receivables Trust, 4.210%, due 03/15/2019, Series 2011-C, Class A 0.04% Government National Mortgage Association, due 06/16/ % Apple, Inc., 2.850%, due 05/06/ % Federal Home Loan Mortgage Corp., %, due 10/01/ % Rio Tinto Finance USA, Ltd., 3.750%, due 09/20/ % Wells Fargo Mortgage-Backed Securities Trust, 5.500%, due 05/25/2034, Series , Class A9 0.03% Caterpillar, Inc., 7.900%, due 12/15/ % Nomura Holdings, Inc., 6.700%, due 03/04/ % Potash Corp. of Saskatchewan, Inc., 6.500%, due 05/15/ % Government National Mortgage Association, due 11/20/ % Delmarva Power & Light Co., 4.000%, due 06/01/ % Federal National Mortgage Association, 6.500%, due 12/01/ % Cargill, Inc., 7.350%, due 03/06/ % Federal Home Loan Mortgage Corp. REMIC, due 01/15/ % United Parcel Service of America, Inc., 8.375%, due 04/01/ % BB&T Corp., 2.450%, due 01/15/2020, Series MTN 0.03% Government National Mortgage Association, due 01/20/ % Wells Fargo Mortgage Loan Trust, 2.847%, due 08/27/2037, Series 2012-RR1, Class A1 0.03% Federal National Mortgage Association, 6.500%, due 07/25/ % Apple, Inc., 0.482%, due 05/03/ % Telefonica Emisiones SAU, 5.877%, due 07/15/ % Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, 7.500%, due 09/25/ % SNAAC Auto Receivables Trust, 1.030%, due 09/17/2018, Series A, Class A 0.03% BB&T Corp., 6.850%, due 04/30/2019, Series MTN 0.03% Banc of America Mortgage Trust, 5.500%, due 04/25/2034, Series , Class 1A % Vendee Mortgage Trust, 7.250%, due 02/15/2023, Series , Class ZB 0.03% CPS Auto Receivables Trust, 1.210%, due 08/15/2018, Series 2014-A, Class A 0.03% Government National Mortgage Association, 6.500%, due 04/20/ % American Credit Acceptance Receivables Trust, 2.260%, due 03/10/2020, Series , Class B 0.03% Federal Home Loan Mortgage Corp., 6.000%, due 06/01/ % Federal National Mortgage Association REMIC, %, due 11/25/ % Crown Castle Towers LLC, 3.214%, due 08/15/ % BHP Billiton Finance USA, Ltd., 4.125%, due 02/24/ % Verizon Communications, Inc., 3.450%, due 03/15/ % Springleaf Funding Trust, 3.450%, due 12/15/2022, Series 2014-AA, Class B 0.03% CSMC Trust, 3.500%, due 12/27/2036, Series R, Class 7A3 0.03% BAE Systems PLC, 5.800%, due 10/11/ % Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, 7.000%, due 02/25/ % Medco Health Solutions, Inc., 7.125%, due 03/15/ % Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, 7.000%, due 07/25/ % Berkshire Hathaway Finance Corp., 4.400%, due 05/15/ %

16 Federal National Mortgage Association, 6.000%, due 07/01/ % RFMSI Trust, 5.750%, due 03/25/2033, Series 2003-S4, Class A4 0.03% Deutsche Bank AG, 3.250%, due 01/11/ % Bear Stearns Alt-A Trust, 0.670%, due 03/25/2035, Series , Class 1A1 0.03% UBS AG, 4.875%, due 08/04/2020, Series MTN 0.03% Federal National Mortgage Association REMIC, due 06/25/ % Federal National Mortgage Association REMIC, %, due 04/25/ % Federal Home Loan Mortgage Corp. REMIC, due 02/15/ % National Australia Bank, Ltd., 2.000%, due 06/20/ % GMAT Trust, 3.967%, due 11/25/2043, Series A, Class A 0.03% Federal National Mortgage Association REMIC, 6.000%, due 11/25/ % Simon Property Group, LP, 5.650%, due 02/01/ % CarFinance Capital Auto Trust, 1.460%, due 12/17/2018, Series A, Class A 0.03% Federal National Mortgage Association REMIC, 0.460%, due 07/25/ % Manufacturers & Traders Trust Co., 6.625%, due 12/04/ % British Telecommunications PLC, 9.625%, due 12/15/ % Barclays Bank PLC, 2.250%, due 05/10/ % Federal Home Loan Mortgage Corp. REMIC, 5.000%, due 10/15/ % Danaher Corp., 3.900%, due 06/23/ % PNC Funding Corp., 5.125%, due 02/08/ % DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 6.375%, due 03/01/ % Suncor Energy, Inc., 6.100%, due 06/01/ % United Technologies Corp., 4.500%, due 06/01/ % Federal National Mortgage Association REMIC, 7.500%, due 05/17/ % Federal Home Loan Mortgage Corp. REMIC, due 05/15/ % Union Carbide Corp., 7.750%, due 10/01/ % KGS Alpha SBA Coof Trust, 0.859%, due 08/25/ % Comision Federal de Electricidad, 4.875%, due 05/26/ % Salomon Brothers Mortgage Securities VII, Inc., 2.494%, due 09/25/2033, Series 2003-HYB1, Class A 0.03% Federal Home Loan Mortgage Corp., 6.000%, due 05/01/ % Federal National Mortgage Association, 7.500%, due 12/25/ % Federal Home Loan Mortgage Corp., 6.500%, due 03/01/ % JPMorgan Mortgage Trust, 2.566%, due 02/25/2035, Series 2005-A1, Class 3A4 0.03% Provident Funding Mortgage Loan Trust, 2.481%, due 05/25/2035, Series , Class 2A1 0.03% ANR Pipeline Co., 9.625%, due 11/01/ % Macy's Retail Holdings, Inc., 7.450%, due 07/15/ % Historic TW, Inc., 9.150%, due 02/01/ % Continental Airlines Pass-Through Trust, 5.983%, due 10/19/ % Federal Home Loan Mortgage Corp. REMIC, 5.500%, due 05/15/ % Government National Mortgage Association, 7.500%, due 10/15/ % NBCUniversal Media LLC, 5.950%, due 04/01/ % KeyBank NA, 5.700%, due 11/01/ % Federal National Mortgage Association, 2.935%, due 03/01/ % 21st Century Fox America, Inc., 8.875%, due 04/26/ % Oracle Corp., 6.500%, due 04/15/ % U.S. Treasury Bond, 5.250%, due 02/15/ % Federal Home Loan Mortgage Corp., %, due 03/17/ % Tennessee Valley Authority, 4.625%, due 09/15/ %

17 Federal Home Loan Mortgage Corp., 2.757%, due 03/01/ % Appalachian Power Co., 6.700%, due 08/15/ % WaMu Mortgage Pass-Through Certificates Trust, 6.000%, due 10/25/2019, Series 2004-CB3, Class 4A 0.03% International Business Machines Corp., 1.625%, due 05/15/ % Fifth Third Bank, 1.450%, due 02/28/ % Amazon.com, Inc., 3.300%, due 12/05/ % BCAP LLC Trust, 4.344%, due 06/26/2036, Series 2010-RR6, Class 22A3 0.03% Federal National Mortgage Association, 2.141%, due 09/01/ % RALI Trust, 0.820%, due 07/25/2033, Series 2003-QS13, Class A5 0.03% Federal National Mortgage Association REMIC, 7.000%, due 10/25/ % Thornburg Mortgage Securities Trust, 0.810%, due 09/25/2043, Series , Class A1 0.03% Discover Bank, 4.200%, due 08/08/ % Intel Corp., 3.300%, due 10/01/ % Westgate Resorts LLC, 4.500%, due 09/20/2025, Series , Class A 0.03% Burlington Northern Santa Fe LLC, 3.450%, due 09/15/ % Federal National Mortgage Association, 6.500%, due 06/01/ % Federal National Mortgage Association REMIC, due 03/25/ % Government National Mortgage Association, 6.035%, due 05/20/ % Mosaic Co., 4.875%, due 11/15/ % Morgan Stanley Capital I Trust, 0.466%, due 12/15/2043, Series 2006-IQ12, Class X1 0.03% Kraft Foods Group, Inc., 6.875%, due 01/26/ % Federal National Mortgage Association REMIC, 6.750%, due 04/25/ % Springleaf Mortgage Loan Trust, 4.440%, due 12/25/2059, Series A, Class M3 0.03% Petroleos Mexicanos, 6.375%, due 01/23/ % Appalachian Power Co., 6.375%, due 04/01/ % Cargill, Inc., 3.300%, due 03/01/ % Merrill Lynch Mortgage Investors Trust, 1.049%, due 09/25/2029, Series 2004-D, Class A2 0.03% Federal National Mortgage Association, 6.000%, due 10/01/ % Impac CMB Trust, 0.470%, due 05/25/2035, Series , Class 2A1 0.03% RAMP Trust, 7.000%, due 10/25/2031, Series 2004-SL2, Class A3 0.03% Verizon Communications, Inc., 6.400%, due 09/15/ % Diageo Capital PLC, 5.750%, due 10/23/ % Jefferies Group LLC, 6.250%, due 01/15/ % Turkey Government International Bond, 6.625%, due 02/17/ % Macy's Retail Holdings, Inc., 6.900%, due 04/01/ % A10 Term Asset Financing LLC, 4.380%, due 11/15/2027, Series , Class B 0.03% Cox Enterprises, Inc., 7.375%, due 07/15/ % Federal Home Loan Mortgage Corp. REMIC, 6.500%, due 01/15/ % Structured Asset Securities Corp., 4.555%, due 02/25/2035, Series 2005-NC1, Class A % Government National Mortgage Association, due 12/20/ % Federal National Mortgage Association, 0.390%, due 02/25/ % Goldman Sachs Group, Inc., 6.750%, due 10/01/ % Apache Corp., 4.750%, due 04/15/ % Citigroup Mortgage Loan Trust, 5.500%, due 05/25/2035, Series , Class 2A % Citigroup Mortgage Loan Trust, 5.250%, due 09/25/2033, Series , Class 3A4 0.03% BNZ International Funding, Ltd., 2.350%, due 03/04/ % Federal Home Loan Mortgage Corp. REMIC, due 04/15/ %