SEMIANNual REPORT November 30, 2016 TRBUX T. Rowe Price Ultra Short-Term Bond Fund The fund invests in high-quality, short-term bonds for current income and minimal principal fluctuation.
HIGHLIGHTS A lack of clarity about the policies of the incoming Trump administration and the prospect of global central banks starting to unwind their monetary accommodation created uncertainty in financial markets. The fund outperformed its benchmark over the six-month period, primarily as a result of our allocation to floating rate notes. The fund offers a good alternative for investors seeking more return than a money market fund as well as a safe haven for equity and bond investors in an uncertain risk environment. We expect the Fed will carefully weigh the policy actions of the new U.S. government and global market events before making any additional rate increases. The views and opinions in this report were current as of November 30, 2016. They are not guarantees of performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and the managers reserve the right to change their views about individual stocks, sectors, and the markets at any time. As a result, the views expressed should not be relied upon as a forecast of the fund s future investment intent. The report is certified under the Sarbanes-Oxley Act, which requires mutual funds and other public companies to affirm that, to the best of their knowledge, the information in their financial reports is fairly and accurately stated in all material respects. REPORTS ON THE WEB Sign up for our Email Program, and you can begin to receive updated fund reports and prospectuses online rather than through the mail. Log in to your account at troweprice.com for more information.
Manager s Letter Fellow Shareholders Improved economic data before the election and hopes for even faster growth under the incoming Trump administration weighed on securities that are vulnerable to rising interest rates, especially Treasury bonds. Over the six-month period, the yield on the two-year U.S. Treasury note rose to 1.11% from 0.87% and the yield curve steepened as longer-term rates rose more than rates on shorter maturities. PERFORMANCE The Ultra Short-Term Bond Fund returned 0.82% during the six-month period ended November 30, 2016, compared with 0.37% for the Bloomberg Barclays Short-Term Government/Corporate Index. The Lipper Ultra-Short Performance Comparison Six-Month Period Ended 11/30/16 Total Return Ultra Short-Term Bond Fund 0.82% Bloomberg Barclays Short-Term Government/Corporate Index 0.37 Lipper Ultra-Short Obligations Funds Average 0.64 Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. Obligations Funds Average generated a 0.64% return for the same period. The portfolio s relative outperformance stemmed mainly from its allocation to floating rate notes. The fund s net asset value rose to $5.01, and dividends contributed $0.03 per share in the six-month period. The investment objective of the fund is to provide incremental income above that of a money market fund, but with a slightly higher degree of principal risk. ECONOMY AND INTEREST RATES The U.S. economy picked up after sluggish performance in the first half of 2016. Although the pace of employment growth moderated, the labor market tightened and wage growth modestly accelerated. 1
What Rising Rates Mean for Bonds With the Federal Reserve expected to continue its measured approach to interest rate hikes, yields on U.S. Treasuries and other fixed income securities may slowly increase from the low levels of the recent past. We expect the Fed to pause after each increase in the federal funds rate and to carefully analyze incoming U.S. economic data to be sure that the long recovery from the global financial crisis is durable enough to withstand further incremental moves toward normalization of monetary policy. The Fed s more gradual approach to interest rate normalization than previous cycles nonetheless brings the risk of rising rates to the forefront for bond investors. Higher interest rates weigh on the prices of most types of bonds. Importantly, investors also need to understand that not all bonds or bond funds would respond uniformly in such an environment. In particular, the duration of a bond or bond fund, which is tied in part to its maturity, provides important information about how the asset will perform when rates change. Also, some bond sectors and bonds of varying quality are better insulated from rate changes and may even perform well as rates rise. A bond fund s duration (shown in the Portfolio Characteristics exhibit) is the most precise indicator of how the fund will respond to rising rates. If a bond fund has a duration of 5.3 years, for example, the fund s net asset value (NAV) would be expected to fall about 5.3% in value for every one-percentage-point rise in rates. Even this is only part of the picture, however rising rates will also generally mean higher dividends per share as the fund invests in new, higheryielding bonds. As a result, the fund s total return (change in NAV plus dividend income) is unlikely to fall as steeply as the duration indicates. Generally, bond funds with a shorter weighted average maturity in other words, those with holdings that come due sooner have lower durations and should fare better than funds with longer average maturities when rates rise. This is because investors in the bonds will not be locked into lower yields, or coupon payments, for long. When the fund receives principal payments from maturing bonds, it can reinvest them at a higher yield. Indeed, for investors in a bond fund with a low duration and a low weighted average maturity, higher rates can mean an increase in income potential. Some fixed income sectors offer an added degree of protection from rising rates. Floating rate funds invest in bank loans where the interest rate on the loan is periodically reset, meaning that investors face very little interest rate risk. However, the bank loans usually have a credit profile that is below investment quality, which means these investments may have greater exposure to default risk than investment-grade bonds. Mortgage-backed securities typically fare better than other bonds of similar maturity when rates rise modestly, as fewer homeowners will refinance and pay off their loans early. In addition, lower-quality bonds with a price that is highly sensitive to the issuer s credit rating (shown in the Quality Diversification exhibit) may perform better as rates increase. Rising rates often accompany a strengthening economy, which can lead to credit upgrades for lower-rated issuers. Also, the higher yields offered by lower-quality bonds provide an additional cushion to total return if bond prices fall as interest rates increase. However, lower-quality bonds are generally exposed to greater credit risk than other bonds because the securities carry a higher risk of default. 2
4.0% 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 Inflation pressures firmed, too, as commodity prices rebounded above their early-2016 lows. During the six-month period, interest rates moved higher, as markets anticipated that the Federal Reserve would raise its federal funds target rate in late 2016. That upward rate move accelerated after the U.S. election as inflation expectations increased immediately following our reporting period and the central bank lifted the fed funds target rate range to 0.50% to 0.75% an increase of 25 basis points (one hundred basis points equal one percentage point). The yield curve Interest Rate Levels 2-Year Treasury Note 6-Month Treasury Bill 11/30/15 2/16 5/16 8/16 11/30/16 Source: Federal Reserve Board. steepened as long-term rates increased more than short-maturity yields. The yield on the two-year Treasury note began the period at 0.87% and rose to 1.11%. (Bond prices and yields move in opposite directions.) Credit spreads on investment-grade corporate bonds narrowed significantly over the period, especially as Treasury yields rose after the election. Strong demand from yield-hungry investors (particularly those in Asia) was satiated by new supply. The prospect of corporate tax cuts and higher levels of government spending from the Trump administration helped support investment-grade corporate bonds as did a decline in risk aversion following the stabilization in oil prices. PORTFOLIO REVIEW While a slow move to higher rates was expected, the sharp move higher that we saw in November was not. Still, the fund s gradual shift over the period to a more defensive duration posture, our focus on building a cash position, and an emphasis on adding floating rate notes to the portfolio all proved beneficial to performance. In particular, the fund s exposure to floating rate notes approximately 20% of the portfolio benefited from a sharp move higher in the LIBOR. The LIBOR increase was the result of asset reallocations occurring in the money markets as a result of money fund reform, which took effect in 3
Portfolio Characteristics Periods Ended 5/31/16 11/30/16 Price Per Share $5.00 $5.01 Dividends Per Share For 6 Months 0.03 0.03 For 12 Months 0.05 0.06 October. With about 40% of the portfolio maturing in one year or less, the fund s net asset value was somewhat protected from the interest rate shifts we have seen. SEC Yield (30-day) 1.19% 1.30% The fund s securitized positions continued to Weighted Average perform well. These Maturity (years) 1.2 1.6 bonds are generally the Weighted Average Effective most senior tranches the Duration (years) 0.8 0.8 first lien on the assets of 12-month dividends may not equal the combined an asset pool, which are 6-month figures due to rounding. generally considered safer investments backed by receivables, leases, commercial and residential mortgages, and auto loans. Their high credit quality (AAA and AA) and rapid selfamortizing features (i.e., their payments consist of both principal and interest), such that the loan will be paid off at the end of a scheduled term, along with decent yields, have made them a significant part of the portfolio. Top performers in the securitized sector included debt issued by SMB Private Education Loan Trust, Synchrony Credit Security Diversification U.S. Treasury Bonds and Notes 9% Commercial Mortgage- Backed Securities 10% Asset- Backed Securities 16% Based on net assets as of 11/30/16. Mortgage- Backed Securities 2% Corporate Bonds and Notes 63% Card Master Note Trust, and Suntrust Auto Receivables Trust. (Please refer to the fund s portfolio of investments for a complete list of holdings and the amount each represents in the portfolio.) Corporate bonds make up the bulk of the fund. We have been finding good value in lower-rated energy, mid-stream, and utility names especially as uncertain oil prices have improved valuations on the bonds. Our Murphy Oil holdings were the fund s top contributor as they benefited 4
Quality Diversification Percent of Net Assets U.S. Government Agency Securities* 1% U.S. Treasury Securities** 9 AAA 28 AA 7 A 20 BBB 30 BB and Below 4 Not Rated 2 Reserves -1 Total 100% Based on net assets as of 11/30/16. * U.S. government agency securities are issued or guaranteed by a U.S. government agency and may include conventional pass-through securities and collateralized mortgage obligations; unlike Treasuries, government agency securities are not issued directly by the U.S. government and are generally unrated but may have credit support from the U.S. Treasury (e.g., FHLMC and FNMA issues) or a direct government guarantee (e.g., GNMA issues). Therefore, this category may include rated and unrated securities. ** U.S. Treasury securities are issued by the U.S. Treasury and are backed by the full faith and credit of the U.S. government. The ratings of U.S. Treasury securities are derived from the ratings on the U.S. government. Sources: Moody s Investors Service; if Moody s does not rate a security, then Standard & Poor s (S&P) is used as a secondary source. When available, Fitch will be used for securities that are not rated by Moody s or S&P. T. Rowe Price does not evaluate these ratings but simply assigns them to the appropriate credit quality category as determined by the rating agency. from the stabilization in oil prices. Money center banks continued to be large issuers of debt, and this sector remained a significant overweight in the portfolio. Many of our bank holdings are floating rate issues that we expect will benefit as rates move higher over the next two years. While we are primarily a cash bond manager, we occasionally employ the limited use of derivatives in our strategy for hedging purposes. Derivatives may include futures, options, and interest-only mortgages, as well as credit default and interest rate swaps. Given our expectations that rates would move higher before a Fed tightening in December, we reduced the overall duration of the portfolio by actively shorting some derivatives, including U.S. Treasury two- and five-year note futures, fed funds futures, and eurodollar futures. We expect to reduce our derivative exposure gradually, following the actual tightening. 5
OUTLOOK Following the Fed s December 2016 rate hike, we expect the central bank to carefully weigh the policy actions of the new government as well as global market events before moving forward with any additional rate increases. Much uncertainty remains as we move into 2017. As such, we think it is appropriate to maintain a defensive posture as we begin the new year. As always, we believe the fund offers a good alternative for cash investors seeking more return than a money market fund as well as a safe haven for equity and bond investors in an uncertain risk environment. Thank you for your confidence in us and for investing with T. Rowe Price. Respectfully submitted, Joseph K. Lynagh President and chairman of the fund s Investment Advisory Committee December 20, 2016 The committee chairman has day-to-day responsibility for managing the portfolio and works with committee members in developing and executing the fund s investment program. 6
Risks of Fixed Income Investing Bonds are subject to interest rate risk (the decline in bond prices that usually accompanies a rise in interest rates) and credit risk (the chance that any fund holding could have its credit rating downgraded or that a bond issuer will default by failing to make timely payments of interest or principal), potentially reducing the fund s income level and share price. Mortgage-backed securities are subject to prepayment risk, particularly if falling rates lead to heavy refinancing activity, and extension risk, which is an increase in interest rates that causes a fund s average maturity to lengthen unexpectedly due to a drop in mortgage prepayments. This could increase the fund s sensitivity to rising interest rates and its potential for price declines. Glossary Bloomberg Barclays Short-Term Government/Credit Bond Index: The index measures the performance of short-term government and corporate bonds. Duration: A measure of a bond fund s sensitivity to changes in interest rates. For example, a fund with duration of two years would fall about 2% in price in response to a one-percentage-point rise in interest rates, and vice versa. Federal funds rate: The interest rate charged on overnight loans of reserves by one financial institution to another in the United States. The Federal Reserve sets a target federal funds rate to affect the direction of interest rates. Lipper averages: The averages of available mutual fund performance returns for specified time periods in defined categories as tracked by Lipper Inc. LIBOR: The London Interbank Offered Rate, which is a benchmark for short-term taxable rates. SEC yield (30-day): A method of calculating a fund s yield that assumes all portfolio securities are held until maturity. Yield will vary and is not guaranteed. Weighted average effective duration: A measure of a fund s price sensitivity to changes in interest rates. Funds with longer weighted average effective durations are more sensitive to changes in interest rates than securities of shorter durations. Weighted average maturity: A measure of a fund s interest rate sensitivity. In general, the longer the average maturity, the greater the fund s sensitivity to interest rate changes. The weighted average maturity may take into account the interest rate readjustment dates for certain securities. Money funds must maintain a weighted average maturity of less than 60 days. Yield curve: A graphic depiction of the relationship between yields and maturity dates for a set of similar securities. A security with a longer maturity usually has a higher yield. If a short-term security offers a higher yield, then the curve is said to be inverted. If shortand long-term bonds are offering equivalent yields, then the curve is said to be flat. 7
Performance and Expenses Growth of $10,000 This chart shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The result is compared with benchmarks, which may include a broad-based market index and a peer group average or index. Market indexes do not include expenses, which are deducted from fund returns as well as mutual fund averages and indexes. ULTRA SHORT-TERM BOND FUND $11,000 10,800 10,600 10,400 10,200 10,000 As of 11/30/16 Ultra Short-Term Bond Fund $10,288 Bloomberg Barclays Short-Term Government/Corporate Index $10,146 Lipper Ultra-Short Obligations Funds Average* $10,215 12/3/12 11/13 11/14 11/15 11/16 *The Lipper Ultra-Short Obligations Funds Average is from 12/31/12. Average Annual Compound Total Return Since Inception Periods Ended 11/30/16 One Year 12/3/12 Ultra Short-Term Bond Fund 1.76% 0.71% This table shows how the fund would have performed each year if its actual (or cumulative) returns for the periods shown had been earned at a constant rate. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. Past performance cannot guarantee future results. 8
Fund Expense Example As a mutual fund shareholder, you may incur two types of costs: (1) transaction costs, such as redemption fees or sales loads, and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the most recent six-month period and held for the entire period. Actual Expenses The first line of the following table (Actual) provides information about actual account values and expenses based on the fund s actual returns. You may use the information on this line, together with your account balance, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number on the first line under the heading Expenses Paid During Period to estimate the expenses you paid on your account during this period. Hypothetical Example for Comparison Purposes The information on the second line of the table (Hypothetical) is based on hypothetical account values and expenses derived from the fund s actual expense ratio and an assumed 5% per year rate of return before expenses (not the fund s actual return). You may compare the ongoing costs of investing in the fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Note: T. Rowe Price charges an annual account service fee of $20, generally for accounts with less than $10,000. The fee is waived for any investor whose T. Rowe Price mutual fund accounts total $50,000 or more; accounts electing to receive electronic delivery of account statements, transaction confirmations, prospectuses, and shareholder reports; or accounts of an investor who is a T. Rowe Price Preferred Services, Personal Services, or Enhanced Personal Services client (enrollment in these programs generally requires T. Rowe Price assets of at least $100,000). This fee is not included in the accompanying table. If you are subject to the fee, keep it in mind when you are estimating the ongoing expenses of investing in the fund and when comparing the expenses of this fund with other funds. You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs, such as redemption fees or sales loads. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. To the extent a fund charges transaction costs, however, the total cost of owning that fund is higher. 9
Fund Expense Example (continued) Ultra Short-Term Bond Fund Beginning Ending Expenses Paid Account Value Account Value During Period* 6/1/16 11/30/16 6/1/16 to 11/30/16 Actual $1,000.00 $1,008.20 $1.76 Hypothetical (assumes 5% return before expenses) 1,000.00 1,023.31 1.78 * Expenses are equal to the fund s annualized expense ratio for the 6-month period (0.35%), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), and divided by the days in the year (365) to reflect the half-year period. Prior to November 1, 2016, the individual fund fee component of the investment management agreement was 0.08%. Effective November 1, 2016, the fund s individual fund fee was reduced to 0.01%. The actual ending account value and expenses paid during the period would have been $1,008.20 and $1.76, respectively, had the fund s individual fund fee been 0.01% throughout the full 6-month period. 10
Quarter-End Returns Since Inception Periods Ended 9/30/16 One Year 12/3/12 Ultra Short-Term Bond Fund 1.49% 0.69% Current performance may be higher or lower than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. For the most recent month-end performance, please visit our website (troweprice.com) or contact a T. Rowe Price representative at 1-800-225-5132. This table provides returns through the most recent calendar quarter-end rather than through the end of the fund s fiscal period. It shows how the fund would have performed each year if its actual (or cumulative) returns for the periods shown had been earned at a constant rate. Average annual total return figures include changes in principal value, reinvested dividends, and capital gain distributions. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. When assessing performance, investors should consider both short- and long-term returns. Expense Ratio Ultra Short-Term Bond Fund 0.40% The expense ratio shown is as of 11/1/16. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, includes acquired fund fees and expenses but does not include fee or expense waivers. 11
Unaudited Financial Highlights For a share outstanding throughout each period 6 Months Ended 11/30/16 Year Ended 5/31/16 5/31/15 5/31/14 12/3/12 Through 5/31/13 NET ASSET VALUE Beginning of period $ 5.00 $ 5.00 $ 5.01 $ 5.00 $ 5.00 Investment activities Net investment income (1) 0.03 (2) 0.04 (2) 0.03 (2) 0.01 (2) 0.01 (2) Net realized and unrealized gain / loss 0.01 0.01 (3) (0.01) 0.01 (4) Total from investment activities 0.04 0.05 0.02 0.02 0.01 Distributions Net investment income (0.03) (0.05) (0.03) (0.01) (0.01) Net realized gain (4) Total distributions (0.03) (0.05) (0.03) (0.01) (0.01) NET ASSET VALUE End of period $ 5.01 $ 5.00 $ 5.00 $ 5.01 $ 5.00 Ratios/Supplemental Data Total return (5) 0.82% (2) 0.96% (2) 0.44% (2) 0.49% (2) 0.13% (2) Ratio of total expenses to average net assets 0.35% (2)(6) 0.35% (2) 0.35% (2) 0.35% (2) 0.35% (2)(6) Ratio of net investment income to average net assets 1.18% (2)(6) 0.89% (2) 0.57% (2) 0.27% (2) 0.26% (2)(6) 12
Unaudited Financial Highlights For a share outstanding throughout each period Ratios/Supplemental Data (continued) 6 Months Ended 11/30/16 Year Ended 5/31/16 5/31/15 5/31/14 12/3/12 Through 5/31/13 Portfolio turnover rate 56.1% 98.9% 127.6% 176.4% 53.3% Net assets, end of period (in thousands) $ 295,993 $ 245,897 $ 577,660 $ 576,746 $ 177,897 (1) Per share amounts calculated using average shares outstanding method. (2) Excludes expenses in excess of a 0.35% contractual expense limitation in effect through 9/30/17. (3) The amount presented is inconsistent with the fund's aggregate gains and losses because of the timing of sales and redemptions of fund shares in relation to fluctuating market values for the investment portfolio. (4) Amounts round to less than $0.01 per share. (5) Total return reflects the rate that an investor would have earned on an investment in the fund during each period, assuming reinvestment of all distributions. Total return is not annualized for periods less than one year. (6) Annualized The accompanying notes are an integral part of these financial statements. 13
Unaudited November 30, 2016 Portfolio of Investments Par/Shares $ Value (Amounts in 000s) CORPORATE BONDS 50.0% Aerospace & Defense 0.2% Harris, 1.999%, 4/27/18 695 696 696 Automotive 2.7% Diamler Finance North America, VR, 1.51%, 10/30/19 (1) 1,000 1,001 Ford Motor Credit, VR, 1.361%, 9/8/17 2,000 1,999 Harley-Davidson Financial Services, 1.55%, 11/17/17 (1) 1,000 998 Hyundai Capital America, 1.75%, 9/27/19 (1) 1,000 982 Hyundai Capital Services, VR, 1.657%, 3/18/17 (1) 1,000 1,001 Nissan Motor Acceptance, VR, 1.376%, 9/13/19 (1) 1,000 998 Toyota Motor Credit, VR, 1.322%, 10/18/19 1,000 1,005 7,984 Banking 18.3% ABN Amro Bank, 1.80%, 9/20/19 (1) 1,000 986 ANZ National International, VR, 1.90%, 7/28/21 (1) 500 502 Australia & New Zealand Banking, VR, 1.228%, 9/23/19 (1) 1,000 1,000 Australia & New Zealand Banking, VR, 1.832%, 6/1/21 (1) 500 504 Banco Santander Chile, VR, 1.776%, 4/11/17 (1) 2,000 1,998 Bank of America, 6.00%, 9/1/17 2,000 2,065 Bank of Montreal, VR, 1.727%, 8/27/21 1,000 1,002 Bank of New York Mellon, VR, 1.776%, 8/17/20 1,770 1,792 Bank of Tokyo-Mitsubishi, 1.45%, 9/8/17 (1) 1,200 1,197 Banque Federale Credit Mutuel, 2.50%, 10/29/18 (1) 250 252 Banque Federale Credit Mutuel, VR, 1.731%, 1/20/17 (1) 1,000 1,001 Barclays, 2.00%, 3/16/18 1,000 998 Barclays, VR, 2.992%, 8/10/21 1,000 1,025 BB&T, VR, 1.595%, 1/15/20 2,000 2,002 BPCE, VR, 1.732%, 2/10/17 1,000 1,001 14
(Amounts in 000s) Par/Shares $ Value Capital One National Association, VR, 1.617%, 9/13/19 1,000 1,001 Citigroup, VR, 1.763%, 6/7/19 1,000 1,008 Citigroup, VR, 2.074%, 8/2/21 1,000 1,008 Commonwealth Bank of Australia, VR, 1.665%, 9/6/21 (1) 1,000 1,001 Credit Agricole, 3.00%, 10/1/17 (1) 1,000 1,010 Credit Agricole, VR, 1.815%, 6/10/20 (1) 1,000 1,004 Deutsche Bank, 1.35%, 5/30/17 2,000 1,992 Deutsche Bank, 1.40%, 2/13/17 500 498 Deutsche Bank, VR, 2.792%, 5/10/19 500 497 Discover Financial Services, 6.45%, 6/12/17 1,000 1,024 DNB Nor Bank, VR, 1.909%, 6/2/21 (1) 1,000 1,008 Goldman Sachs, VR, 1.922%, 4/25/19 710 715 Goldman Sachs, VR, 2.242%, 4/23/21 1,000 1,012 HSBC Holdings, VR, 2.59%, 5/25/21 500 510 HSBC Holdings, VR, 3.081%, 3/8/21 500 521 HSBC USA, VR, 1.651%, 8/7/18 1,000 997 Huntington National Bank, 1.70%, 2/26/18 1,500 1,500 ING Bank, 1.80%, 3/16/18 (1) 585 584 Intesa Sanpaolo, 3.875%, 1/16/18 2,100 2,132 JPMorgan Chase, VR, 1.453%, 9/23/19 1,000 1,001 JPMorgan Chase, VR, 1.933%, 6/7/21 1,000 1,012 Key Bank, 1.65%, 2/1/18 1,000 1,000 Macquarie Bank, 1.65%, 3/24/17 (1) 1,000 998 Morgan Stanley, VR, 2.162%, 4/25/18 1,202 1,216 Nordea Bank, VR, 1.927%, 5/27/21 (1) 500 502 PNC Bank, 1.50%, 10/18/17 1,000 1,000 Rabobank Nederland, VR, 1.397%, 8/9/19 1,000 1,001 Santander Bank, VR, 1.804%, 1/12/18 1,000 1,001 Societe Generale, 2.75%, 10/12/17 1,748 1,763 15
(Amounts in 000s) Par/Shares $ Value Standard Chartered, 1.50%, 9/8/17 (1) 1,000 995 Standard Chartered, 2.10%, 8/19/19 (1) 340 336 Sumitomo Mitsui Banking, VR, 1.548%, 10/19/18 1,000 1,001 Toronto-Dominion Bank, VR, 1.778%, 7/13/21 2,000 2,020 Wells Fargo, VR, 1.567%, 1/30/20 1,000 998 Wells Fargo, VR, 1.843%, 12/7/20 1,000 1,010 WestPac Banking, VR, 1.761%, 8/19/21 1,000 1,005 54,206 Broadcasting 0.3% Interpublic Group of Companies, 2.25%, 11/15/17 1,000 1,006 1,006 Cable Operators 0.6% Time Warner Cable, 6.75%, 7/1/18 1,500 1,607 1,607 Computer Service & Software 0.6% Hewlett Packard Enterprise, VR, 3.038%, 10/5/18 (1) 1,700 1,739 1,739 Conglomerates 0.3% Hutchinson Whampoa Finance, 1.625%, 10/31/17 (1) 1,000 999 999 Consumer Products 0.3% Newell Rubbermaid, 2.05%, 12/1/17 1,000 1,003 1,003 16
(Amounts in 000s) Diversified Chemicals 0.3% Par/Shares $ Value Bayer US Finance, 1.50%, 10/6/17 (1) 1,000 997 997 Drugs 2.9% Abbott Laboratories, 2.35%, 11/22/19 1,650 1,650 ABBVIE, 1.80%, 5/14/18 1,244 1,243 Cardinal Health, 1.95%, 6/15/18 530 531 Perrigo, 2.30%, 11/8/18 2,000 2,000 Shire Acquisition Investments Ireland, 1.90%, 9/23/19 2,000 1,975 Teva Pharmaceutical Finance III, 1.40%, 7/20/18 1,000 990 8,389 Energy 5.5% Anadarko Petroleum, 6.375%, 9/15/17 525 546 Canadian Natural Resources, 1.75%, 1/15/18 2,060 2,050 DCP Midstream Operating, 2.50%, 12/1/17 1,000 1,015 Devon Energy, VR, 1.39%, 12/15/16 1,500 1,500 El Paso Natural Gas, 5.95%, 4/15/17 918 934 Kinder Morgan, 2.00%, 12/1/17 890 891 Marathon Oil, 6.00%, 10/1/17 3,200 3,307 Murphy Oil, STEP, 3.50%, 12/1/17 1,825 1,839 Plains All American Pipeline, 6.50%, 5/1/18 1,000 1,060 Schlumberger Holdings, 1.90%, 12/21/17 (1) 2,000 2,007 Transocean, VR, 6.80%, 12/15/16 1,000 1,000 16,149 Financial 2.1% Air Lease, 2.125%, 1/15/18 500 501 Air Lease, 2.125%, 1/15/20 1,290 1,269 17
(Amounts in 000s) Par/Shares $ Value Experian Finance, 2.375%, 6/15/17 (1) 2,000 2,009 General Motors Financial, 2.35%, 10/4/19 1,000 982 General Motors Financial, VR, 2.337%, 5/9/19 500 505 Synchrony Financial, 1.875%, 8/15/17 900 901 6,167 Food Processing 1.4% Bunge Finance, 5.90%, 4/1/17 1,630 1,653 Danone, 1.691%, 10/30/19 (1) 1,000 987 Mondelez International, VR, 1.50%, 10/28/19 (1) 1,500 1,498 4,138 Food Services 0.4% Sysco, 5.25%, 2/12/18 1,000 1,041 1,041 Food/Tobacco 0.3% Imperial Tobacco Finance, 2.05%, 2/11/18 (1) 1,000 1,001 1,001 Gas & Gas Transmission 1.4% Buckeye Partners, 6.05%, 1/15/18 1,000 1,042 Enterprise Products Operations, 1.65%, 5/7/18 454 452 Kinder Morgan Finance, 6.00%, 1/15/18 (1) 500 520 ONEOK Partners, 2.00%, 10/1/17 1,700 1,704 Panhandle Eastern Pipeline, 6.20%, 11/1/17 500 517 4,235 Health Care 2.1% Actavis Funding, VR, 1.925%, 3/12/18 1,000 1,005 Anthem, 1.875%, 1/15/18 1,000 1,002 18
(Amounts in 000s) Par/Shares $ Value Anthem, 5.875%, 6/15/17 1,039 1,063 Baxalta, 2.00%, 6/22/18 390 390 Catholic Health Initiatives, 1.60%, 11/1/17 1,000 1,001 Catholic Health Initiatives, 2.60%, 8/1/18 1,000 1,010 UnitedHealth Group, 1.70%, 2/15/19 895 892 6,363 Industrial Other 0.4% Stanley Black & Decker, 1.622%, 11/17/18 1,225 1,220 1,220 Information Technology 0.7% Amphenol, 1.55%, 9/15/17 960 962 Baidu, 2.25%, 11/28/17 1,000 1,004 1,966 Insurance 3.0% CNA Financial, 6.95%, 1/15/18 1,000 1,051 Marsh & McLennan Companies, 2.55%, 10/15/18 1,102 1,114 MassMutual Global Funding II, 1.55%, 10/11/19 (1) 2,000 1,979 New York Life Global Funding, VR, 1.272%, 10/24/19 (1) 2,000 2,005 Pricoa Global Funding I, 1.45%, 9/13/19 (1) 565 557 Voya Financial, VR, 2.90%, 2/15/18 940 951 Willis North America, 7.00%, 9/29/19 1,102 1,229 8,886 Lodging 0.6% Wyndham Worldwide, 2.95%, 3/1/17 1,750 1,755 1,755 19
(Amounts in 000s) Manufacturing 0.6% Par/Shares $ Value Roper Industries, 2.05%, 10/1/18 518 521 Siemens Financieringsmaatschappij, 1.30%, 9/13/19 (1) 1,250 1,226 1,747 Metals & Mining 0.3% BHP Billiton Finance, 1.625%, 2/24/17 1,000 999 999 Oil Field Services 0.3% Energy Transfer Partners, 6.125%, 2/15/17 871 878 878 Petroleum 1.0% BP Capital Markets, VR, 1.724%, 9/16/21 1,000 1,006 ConocoPhillips, 1.05%, 12/15/17 1,000 994 Shell International Finance, 1.625%, 11/10/18 1,000 998 2,998 Real Estate Investment Trust Securities 0.7% ERP Operating, 5.75%, 6/15/17 441 451 Kilroy Realty, 4.80%, 7/15/18 360 374 WEA Finance, 1.75%, 9/15/17 (1) 1,160 1,163 1,988 Retail 0.5% Alibaba Group Holding, 1.625%, 11/28/17 1,000 998 Marks & Spencer, 6.25%, 12/1/17 (1)(2) 500 519 1,517 20
(Amounts in 000s) Transportation Services 0.3% Par/Shares $ Value ERAC USA Finance, 2.80%, 11/1/18 (1) 400 406 ERAC USA Finance, 6.375%, 10/15/17 (1) 427 444 850 Utilities 1.9% Dominion Resources, 1.50%, 9/30/18 (1) 640 635 Dominion Resources, 1.60%, 8/15/19 145 143 Exelon Generation, 6.20%, 10/1/17 800 830 MidAmerican Energy, 2.40%, 3/15/19 1,000 1,013 PPL Capital Funding, 1.90%, 6/1/18 1,000 999 Sempra Energy, 1.625%, 10/7/19 1,000 987 Transcontinental Gas Pipe Line, 6.05%, 6/15/18 860 908 5,515 Total Corporate Bonds (Cost $148,072) 148,039 ASSET-BACKED SECURITIES 15.9% Auto Backed 9.9% AmeriCredit Automobile Receivables Trust Series 2012-5, Class C 1.69%, 11/8/18 154 154 AmeriCredit Automobile Receivables Trust Series 2013-5, Class C 2.29%, 11/8/19 1,600 1,608 AmeriCredit Automobile Receivables Trust Series 2016-2, Class A2A 1.42%, 10/8/19 908 909 AmeriCredit Automobile Receivables Trust Series 2016-2, Class A3 1.60%, 11/9/20 1,000 999 21
(Amounts in 000s) Par/Shares $ Value ARI Fleet Lease Trust Series 2015-A, Class A2 1.11%, 11/15/18 (1) 427 426 Avis Budget Rental Car Funding Series 2012-3A, Class A 2.10%, 3/20/19 (1) 1,000 1,001 Avis Budget Rental Car Funding Series 2013-1A, Class B 2.62%, 9/20/19 (1) 2,000 1,996 Avis Budget Rental Car Funding Series 2014-1A, Class A 2.46%, 7/20/20 (1) 1,000 1,002 BMW Vehicle Lease Trust Series 2016-2, Class A3 1.43%, 9/20/19 415 414 Capital Auto Receivables Asset Trust Series 2013-3, Class E 4.55%, 3/21/22 (1) 555 568 Capital Auto Receivables Asset Trust Series 2013-4, Class E 3.83%, 7/20/22 (1) 590 600 Capital Auto Receivables Asset Trust Series 2014-1, Class C 2.84%, 4/22/19 1,000 1,010 Capital Auto Receivables Asset Trust Series 2015-3, Class A3 1.94%, 1/21/20 1,000 1,005 Capital Auto Receivables Asset Trust Series 2016-2, Class A3 1.46%, 6/22/20 1,000 997 Capital Auto Receivables Asset Trust Series 2016-3, Class A3 1.54%, 8/20/20 375 374 Chrysler Capital Auto Receivables Trust Series 2014-BA, Class D 3.44%, 8/16/21 (1) 1,250 1,269 22
(Amounts in 000s) Par/Shares $ Value Chrysler Capital Auto Receivables Trust Series 2016-BA, Class A3 1.64%, 7/15/21 (1) 625 621 CPS Auto Trust Series 2012-B, Class A 2.52%, 9/16/19 (1) 629 631 Enterprise Fleet Financing Series 2014-1, Class A2 0.87%, 9/20/19 (1) 17 17 Enterprise Fleet Financing Series 2016-2, Class A2 1.74%, 2/22/22 (1) 785 785 Enterprise Fleet Financing Series 2016-2, Class A3 2.04%, 2/22/22 (1) 1,000 990 Ford Credit Auto Owner Trust Series 2012-D, Class D 1.97%, 5/15/19 1,000 1,002 Ford Credit Auto Owner Trust Series 2013-B, Class D 1.82%, 11/15/19 1,000 1,003 GM Financial Auto Lease Series 2016-3, Class A3 1.61%, 12/20/19 480 481 GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1 1.96%, 5/17/21 (1) 650 650 Hyundai Auto Lease Securitization Trust Series 2016-B, Class A2A 1.24%, 11/15/18 (1) 500 500 Hyundai Auto Lease Securitization Trust Series 2016-C, Class A3 1.49%, 2/18/20 (1) 340 339 Mercedes-Benz Auto Lease Trust Series 2016-B, Class A4 1.52%, 6/15/22 390 388 23
(Amounts in 000s) Par/Shares $ Value Nissan Auto Lease Trust Series 2016-B, Class A3 1.50%, 7/15/19 2,000 1,998 Nissan Auto Receivables Owner Trust Series 2014-A, Class A3 0.72%, 8/15/18 128 128 Nissan Master Owner Trust Receivables Series 2016-A, Class A2 1.54%, 6/15/21 875 871 Smart Trust Australia Series 2014-1US, Class A3A 0.95%, 2/14/18 249 249 Smart Trust Australia Series 2015-1US, Class A3A 1.50%, 9/14/18 424 423 Smart Trust Australia Series 2016-2US, Class A3A 1.71%, 3/15/21 750 737 Suntrust Auto Receivables Trust Series 2015-1A, Class A3 1.42%, 9/16/19 (1) 2,000 2,002 USAA Auto Owner Trust Series 2015-1, Class B 1.96%, 11/15/22 1,000 1,001 Wheels SPV Series 2014-1A, Class A2 0.84%, 3/20/23 (1) 65 65 Wheels SPV Series 2016-1A, Class A2 1.59%, 5/20/25 (1) 200 200 Credit Card Backed 1.6% 29,413 Discover Card Master Trust I Series 2016-A4, Class A4 1.39%, 3/15/22 1,830 1,817 24
(Amounts in 000s) Par/Shares $ Value Synchrony Credit Card Master Note Trust Series 2014-1, Class A 1.61%, 11/15/20 1,000 1,003 Synchrony Credit Card Master Note Trust Series 2015-2, Class A 1.60%, 4/15/21 2,000 2,005 Equipment Lease Heavy Duty 1.2% 4,825 CCG Receivables Trust Series 2014-1, Class A2 1.06%, 11/15/21 (1) 148 148 CNH Equipment Trust Series 2014-A, Class A3 0.84%, 5/15/19 100 100 CNH Equipment Trust Series 2016-C, Class A3 1.44%, 12/15/21 495 491 Kubota Credit Owner Trust Series 2016-1A, Class A2 1.25%, 4/15/19 (1) 1,000 999 MMAF Equipment Finance Series 2015-AA, Class A3 1.39%, 10/16/19 (1) 765 765 MMAF Equipment Finance Series 2016-AA, Class A2 1.39%, 12/17/18 (1) 1,000 1,000 Volvo Financial Equipment Series 2014-1A, Class A3 0.82%, 4/16/18 (1) 32 32 Equipment Lease Small 0.4% 3,535 Ascentium Equipment Receivables Series 2016-2A, Class A2 1.46%, 4/10/19 (1) 225 224 25
(Amounts in 000s) Par/Shares $ Value Ascentium Equipment Receivables Series 2016-2A, Class A3 1.65%, 5/10/22 (1) 1,000 993 GreatAmerica Leasing Receivables Series 2014-1, Class A3 0.89%, 7/15/17 (1) 31 31 Other Asset-Backed Securities 2.0% 1,248 DB Master Finance Series 2015-1A, Class A2I 3.262%, 2/20/45 (1) 997 997 Diamond Resorts Owner Trust Series 2014-1, Class A 2.54%, 5/20/27 (1) 252 251 Dominos Pizza Master Issuer Series 2012-1A, Class A2 5.216%, 1/25/42 (1) 1,042 1,065 Marriott Vacation Club Owner Trust Series 2015-1A, Class A 2.52%, 12/20/32 (1) 1,235 1,231 Sierra Receivables Funding Series 2014-1A, Class A 2.07%, 3/20/30 (1) 273 271 Sierra Receivables Funding Series 2014-2A, Class A 2.05%, 6/20/31 (1) 277 277 Sierra Receivables Funding Series 2014-3A, Class A 2.30%, 10/20/31 (1) 185 185 Sierra Receivables Funding Series 2016-2A, Class A 2.33%, 7/20/33 (1) 483 476 Wendy's Funding Series 2015-1A, Class A2I 3.371%, 6/15/45 (1) 1,000 999 5,752 26
(Amounts in 000s) Student Loan 0.8% Par/Shares $ Value SMB Private Education Loan Trust Series 2015-A, Class A1, VR 1.138%, 7/17/23 (1) 823 824 SMB Private Education Loan Trust Series 2016-A, Class A1, VR 1.238%, 5/15/23 (1) 755 756 SMB Private Education Loan Trust Series 2016-B, Class A1, VR 1.188%, 11/15/23 (1) 829 831 2,411 Total Asset-Backed Securities (Cost $47,319) 47,184 NON-U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES 11.7% Commercial Mortgage-Backed Securities 10.1% Citigroup Commercial Mortgage Trust Series 2014-GC19, Class A1 1.199%, 3/10/47 171 171 Citigroup Commercial Mortgage Trust Series 2014-GC25, Class A1 1.485%, 10/10/47 119 119 Citigroup Commercial Mortgage Trust Series 2015-GC27, Class A1 1.353%, 2/10/48 456 455 Citigroup Commercial Mortgage Trust Series 2015-GC29, Class A1 1.45%, 4/10/48 453 452 Citigroup Commercial Mortgage Trust Series 2015-P1, Class A1 1.648%, 9/15/48 833 832 Commercial Mortgage PTC Series 2014-CR15, Class A1 1.218%, 2/10/47 251 250 27
(Amounts in 000s) Par/Shares $ Value Commercial Mortgage PTC Series 2014-CR20, Class A1 1.324%, 11/10/47 156 155 Commercial Mortgage PTC Series 2014-CR21, Class A1 1.494%, 12/10/47 159 158 Commercial Mortgage PTC Series 2014-LC15, Class A1 1.259%, 4/10/47 1,104 1,102 Commercial Mortgage PTC Series 2014-LC17, Class A1 1.381%, 10/10/47 200 199 Commercial Mortgage PTC Series 2014-UBS2, Class A1 1.298%, 3/10/47 619 618 Commercial Mortgage PTC Series 2014-UBS4, Class A1 1.309%, 8/10/47 262 262 Commercial Mortgage PTC Series 2014-UBS6, Class A1 1.445%, 12/10/47 214 214 Commercial Mortgage PTC Series 2015-CR22, Class A1 1.569%, 3/10/48 352 352 Commercial Mortgage PTC Series 2015-CR24, Class A1 1.652%, 8/10/48 1,387 1,387 Commercial Mortgage PTC Series 2015-PC1, Class A1 1.667%, 7/10/50 1,663 1,665 CSAIL Commercial Mortgage Trust Series 2015-C1, Class A1 1.684%, 4/15/50 338 338 CSAIL Commercial Mortgage Trust Series 2015-C2, Class A1 1.454%, 6/15/57 1,145 1,141 28
(Amounts in 000s) Par/Shares $ Value CSAIL Commercial Mortgage Trust Series 2016-C6, Class A1 1.493%, 1/15/49 470 468 Goldman Sachs Mortgage Securities II Series 2013-GC13, Class A1 1.206%, 7/10/46 37 37 Goldman Sachs Mortgage Securities II Series 2014-GC20, Class A1 1.343%, 4/10/47 1,071 1,069 Goldman Sachs Mortgage Securities II Series 2014-GC26, Class A1 1.434%, 11/10/47 726 725 Goldman Sachs Mortgage Securities Trust Series 2014-GC24, Class A1 1.509%, 9/10/47 260 260 Goldman Sachs Mortgage Securities Trust Series 2015-GC28, Class A1 1.528%, 2/10/48 832 830 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C19, Class A1 1.266%, 4/15/47 172 172 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C23, Class A1 1.65%, 9/15/47 110 111 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C24, Class A1 1.539%, 11/15/47 116 116 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C25, Class A1 1.521%, 11/15/47 369 369 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C26, Class A1 1.596%, 1/15/48 497 497 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2015-C27, Class A1 1.414%, 2/15/48 686 684 29
(Amounts in 000s) Par/Shares $ Value JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2015-C28, Class A1 1.445%, 10/15/48 1,453 1,449 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2015-C29, Class A1 1.626%, 5/15/48 396 396 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2015-C30, Class A1 1.738%, 7/15/48 1,090 1,091 JPMorgan Chase Commercial Mortgage Securities Series 2013-C13, Class A1 1.303%, 1/15/46 22 22 JPMorgan Chase Commercial Mortgage Securities Series 2016-JP3, Class A1 1.462%, 8/15/49 568 562 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A1 1.25%, 2/15/47 173 172 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15, Class A1 1.313%, 4/15/47 261 261 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A1 1.551%, 8/15/47 1,228 1,228 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C18, Class A1 1.686%, 10/15/47 256 257 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19, Class A1 1.573%, 12/15/47 361 360 Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30, Class A1 1.389%, 9/15/49 456 450 Morgan Stanley Capital I Series 2015-MS1, Class A1 1.638%, 5/15/48 1,369 1,369 30
(Amounts in 000s) Par/Shares $ Value Wells Fargo Commercial Mortgage Trust Series 2014-LC18, Class A1 1.437%, 12/15/47 379 377 Wells Fargo Commercial Mortgage Trust Series 2015-C26, Class A1 1.454%, 2/15/48 345 344 Wells Fargo Commercial Mortgage Trust Series 2015-C27, Class A1 1.73%, 2/15/48 928 929 Wells Fargo Commercial Mortgage Trust Series 2015-C28, Class A1 1.531%, 5/15/48 443 442 Wells Fargo Commercial Mortgage Trust Series 2015-C30, Class A1 1.652%, 9/15/58 858 857 Wells Fargo Commercial Mortgage Trust Series 2015-LC20, Class A1 1.471%, 4/15/50 917 915 Wells Fargo Commercial Mortgage Trust Series 2015-NXS1, Class A1 1.342%, 5/15/48 511 509 Wells Fargo Commercial Mortgage Trust Series 2016-LC24 1.441%, 10/15/49 763 757 WF-RBS Commercial Mortgage Trust Series 2014-C19, Class A1 1.233%, 3/15/47 1,050 1,047 WF-RBS Commercial Mortgage Trust Series 2014-C20, Class A1 1.283%, 5/15/47 366 365 WF-RBS Commercial Mortgage Trust Series 2014-C22, Class A1 1.479%, 9/15/57 147 147 WF-RBS Commercial Mortgage Trust Series 2014-C23, Class A1 1.663%, 10/15/57 188 189 31
(Amounts in 000s) Par/Shares $ Value WF-RBS Commercial Mortgage Trust Series 2014-C24, Class A1 1.39%, 11/15/47 86 86 WF-RBS Commercial Mortgage Trust Series 2014-LC14, Class A1 1.193%, 3/15/47 214 213 Home Equity Loans Backed 0.1% 30,002 Nationstar Home Equity Loan Trust Series 2016-2A, Class A 2.239%, 6/25/26 (1) 150 151 Nationstar Home Equity Loan Trust Series 2016-3A, Class A 2.013%, 8/25/26 (1) 189 189 Whole Loans Backed 1.5% Connecticut Avenue Securities Series 2015-C01, Class 1M1, CMO, ARM 2.092%, 2/25/25 5 5 Connecticut Avenue Securities Series 2016-C03, Class 1M1, CMO, ARM 2.592%, 10/25/28 160 162 Connecticut Avenue Securities Series 2016-C04, Class 1M1, CMO, ARM 2.042%, 1/25/29 142 143 Structured Agency Credit Risk Debt Notes Series 2016-DNA2, Class M1, CMO, ARM 1.834%, 10/25/28 207 207 Structured Agency Credit Risk Debt Notes Series 2016-DNA3, Class M1, ARM 1.692%, 12/25/28 482 483 Structured Agency Credit Risk Debt Notes Series 2016-HQA1, Class M1, ARM 2.342%, 9/25/28 570 571 340 32
(Amounts in 000s) Par/Shares $ Value Towd Point Mortgage Trust Series 2016-3, Class A1, CMO, ARM 2.25%, 8/25/55 (1) 2,506 2,490 Towd Point Mortgage Trust Series 2016-4, Class A1, CMO, ARM 2.25%, 7/25/56 (1) 309 307 4,368 Total Non-U.S. Government Mortgage-Backed Securities (Cost $34,769) 34,710 U.S. GOVERNMENT & AGENCY MORTGAGE-BACKED SECURITIES 0.9% (3) U.S. Government Agency Obligations 0.9% Federal Home Loan Mortgage, CMO, 3.50%, 11/15/25 545 547 Federal Home Loan Mortgage, CMO, ARM, 0.888%, 2/15/45 762 757 Federal National Mortgage Assn., 4.50%, 1/1/27 589 609 Federal National Mortgage Assn., CMO, ARM, 0.984%, 1/25/45 685 682 Total U.S. Government & Agency Mortgage-Backed Securities (Cost $2,625) 2,595 U.S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING MORTGAGE-BACKED) 8.8% U.S. Treasury Obligations 8.8% U.S. Treasury Notes, 0.75%, 6/30/17 (4) 10,500 10,505 U.S. Treasury Notes, 0.875%, 11/15/17 4,500 4,499 U.S. Treasury Notes, 1.25%, 10/31/18 4,500 4,512 U.S. Treasury Notes, 1.25%, 11/15/18 2,500 2,506 U.S. Treasury Notes, 1.25%, 11/30/18 4,000 4,010 26,032 Total U.S. Government Agency Obligations (Excluding Mortgage-Backed) (Cost $26,091) 26,032 33
(Amounts in 000s) MUNICIPAL SECURITIES 0.2% Par/Shares $ Value Illinois 0.2% Illinois Fin. Auth., National Rural Utilities Cooperative Fin. Prairie Power, Series A, IDRB, 1.30%, 7/1/42 (Tender 5/8/17) 470 470 Total Municipal Securities (Cost $470) 470 SHORT-TERM INVESTMENTS 13.1% CERTIFICATES OF DEPOSIT 2.5% Yankee 2.5% (8) Bank of Nova Scotia, VR, 1.333%, 9/7/17 1,500 1,500 Credit Suisse, VR, 1.645%, 9/12/17 2,000 2,000 Nordea Bank, VR, 1.335%, 9/6/17 1,000 1,000 Royal Bank of Canada, VR, 1.268%, 10/5/17 1,000 1,000 UBS Stamford, 1.57%, 9/8/17 1,000 1,000 Westpack Banking, VR, 1.285%, 9/6/17 1,000 1,000 Total Certificates of Deposit 7,500 COMMERCIAL PAPER 9.9% 4(2) 9.2% (5) Albemarle, 1.35%, 1/3/17 2,500 2,497 Anheuser Busch InBev World, 1.50%, 6/8/17 2,000 1,984 Arrow Electronics, 1.15%, 12/27/16 2,000 1,998 AXA Financial, 1.31%, 6/23/17 1,000 993 AXA Financial, 1.55%, 7/24/17 1,000 990 Canadian Natural Resources, 1.32%, 12/19/16 700 700 Enbridge Energy Partners, 1.95%, 5/9/17 2,700 2,677 Energy Transfer Partners, 1.60%, 1/24/17 1,500 1,496 Ford Motor Credit, 1.75%, 9/1/17 1,000 987 Manhattan Asset Funding, 1.52%, 9/6/17 1,500 1,482 34
(Amounts in 000s) Par/Shares $ Value Nabors Industries, 1.20%, 12/2/16 1,300 1,300 Nabors Industries, 1.25%, 12/1/16 1,050 1,050 NiSource Finance, 1.12%, 12/15/16 2,000 1,999 Pentair, 1.60%, 12/2/16 2,500 2,500 Plains All American Pipeline, 1.55%, 2/15/17 1,500 1,495 Vodafone Airtouch, 1.60%, 9/1/17 1,000 988 VW Credit, 1.75%, 9/18/17 1,000 986 Wyndham Worldwide, 1.23%, 12/28/16 1,000 999 27,121 Non-4(2) 0.7% Harris, 1.20%, 12/12/16 2,000 1,999 1,999 Total Commercial Paper 29,120 MEDIUM-TERM NOTES 0.7% Volkswagen Group America, VR, 1.29%, 5/23/17 (1) 2,000 1,995 Total Medium-Term Notes 1,995 MONEY MARKET FUNDS 0.0% T. Rowe Price Government Reserve Fund, 0.36% (6)(7) 1 1 Total Money Market Funds 1 Total Short-Term Investments (Cost $38,616) 38,616 Total Investments in Securities 100.6% of Net Assets (Cost $297,962) $ 297,646 Par/Shares are denominated in U.S. dollars unless otherwise noted. 35
(1) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers -- total value of such securities at period-end amounts to $71,698 and represents 24.2% of net assets. (2) Security cannot be offered for public resale without first being registered under the Securities Act of 1933 and related rules ("restricted security"). Acquisition date represents the day on which an enforceable right to acquire such security is obtained and is presented along with related cost in the security description. The fund has registration rights for certain restricted securities. Any costs related to such registration are borne by the issuer. The aggregate value of restricted securities (excluding 144A holdings) at period-end amounts to $519 and represents 0.2% of net assets. (3) Issuer currently operates under a federal conservatorship; however, its securities are neither issued nor guaranteed by the U.S. government. (4) At November 30, 2016, all or a portion of this security is pledged as collateral and/or margin deposit to cover future funding obligations. (5) Commercial paper exempt from registration under Section 4(2) of the Securities Act of 1933 and may be resold in transactions exempt from registration only to dealers in that program or other "accredited investors" -- total value of such securities at period-end amounts to $27,121 and represents 9.2% of net assets. (6) Seven-day yield (7) Affiliated Company (8) Yankee certificates of deposit are issued by U.S. branches of foreign banks. ARM Adjustable Rate Mortgage CMO Collateralized Mortgage Obligation IDRB Industrial Development Revenue Bonds PTC Pass-Through Certificate STEP Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s). VR Variable Rate; rate shown is effective rate at period-end. 36