ANNual REPORT May 31, 2017 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 Short-maturity Treasury yields climbed from late 2016 through May 2017 as investors priced in stronger economic growth projections following Donald Trump s victory in the U.S. presidential election. The fund outperformed its benchmark primarily as a result of our overweight to corporate bonds, corresponding underweight to Treasuries, and an out-of-benchmark position in asset-backed securities. To mitigate the impact of rising rates, we have aggressively added floating rate securities to the portfolio, and they now compose about 40% of our holdings. For the near term, the fund will remain relatively short duration in expectation of rising rates. We are positive on credit and continue to run larger corporate exposures to sectors, such as banks, that should benefit from rising rates. The views and opinions in this report were current as of May 31, 2017. 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 While U.S. Treasury yields fell to near record lows in July, they rose through the end of the reporting period amid expectations of accelerating inflation and economic growth stemming from Donald Trump s campaign proposals to cut taxes and increase infrastructure spending. Thanks to our positioning in corporate bonds and asset-backed securities, your fund significantly outperformed the benchmark. We expect the Fed will continue with its plan to tighten monetary policy, and we are positioned for the likelihood of rising short-term yields. Overall, we remain generally positive and overweight in corporate debt and underweight in Treasuries as the business cycle persists. PERFORMANCE The Ultra Short-Term Bond Fund returned 1.77% during the 12-month period ended May 31, 2017, compared with 0.78% for the Bloomberg Barclays Short-Term Government/Corporate Index and 1.24% for the Lipper Performance Comparison Total Return Periods Ended 5/31/17 6 Months 12 Months Ultra Short-Term Bond Fund 0.95% 1.77% Bloomberg Barclays Short-Term Government/Corporate Index 0.41 0.78 Lipper Ultra-Short Obligations Funds Average 0.65 1.24 Ultra-Short Obligations Funds Average. The fund s net asset value rose to $5.02, and dividends contributed $0.07 per share in the 12-month period. The objective of the fund is to provide incremental income above that of a money market fund by overweighting securities with a yield advantage over Treasuries, or spread sectors, and allocating to out-of-benchmark securities in an effort to build incremental yield into the portfolio. 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 have slowly increased 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 economic activity is strong enough to withstand further incremental moves toward normalization of monetary policy. The Fed s more gradual approach to interest rate increases than in 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 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% 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, higher-yielding 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 ECONOMY AND INTEREST RATES The U.S. economy continued to grow in the early months of 2017, albeit at a slower pace than 2016. The underlying trend of moderate growth, however, remains in place, driven by a strong labor market. Citing an improving labor market and rising inflation, the Federal Reserve raised interest rates by 25 basis points in December 2016 and in March 2017. After the pair of hikes, the range for the federal funds target rate was 0.75% to 1.00%. (The Fed subsequently raised rates in June, shortly after the end of the reporting period.) Moreover, the Fed is 2-Year Treasury Note expected to continue on 6-Month Treasury Bill its gradual tightening path later in 2017, with most observers expecting one additional increase before the end of the year. Interest Rate Levels 5/31/16 8/16 11/16 2/17 5/31/17 Source: Federal Reserve Board. Short-term Treasury yields rose over the 12-month reporting period as the market anticipated the Fed s moves. While U.S. Treasury yields fell to near record lows in July 2016, shortly after the UK voted to leave the European Union, they climbed higher through the end of the reporting period amid expectations of accelerating inflation and economic growth stemming from Donald Trump s campaign proposals to cut taxes and increase infrastructure spending. The yield on the two-year Treasury note began the fiscal year at 0.87% and finished at 1.28%. (Bond prices and yields move in opposite directions.) While such rate increases have varying impacts on other parts of the yield curve, these Fed moves most directly affect the fund s natural investment horizon, namely the one- to three-year part of the yield curve. At the current low interest rate levels, price moves relating to interest rate shifts can materially impact the total returns of the fund. To address this risk, we have aggressively added floating rate securities to the portfolio, and they now compose about 40% of our holdings. These securities are called floating rate because the rates of interest they pay typically reset each quarter usually to a certain percentage 3
above the London Interbank Offered Rate (LIBOR), the interest rate at which banks loan money to each other in the London wholesale market. The yield on floating rate bonds can rise with interest rates, providing investors with more income when rates rise. Our holdings are generally Portfolio Characteristics Periods Ended 11/30/16 5/31/17 Price Per Share $5.01 $5.02 Dividends Per Share For 6 Months 0.03 0.04 For 12 Months 0.06 0.07 SEC Yield (30-day) 1.30% 1.47% Weighted Average Maturity (years) 1.6 1.9 Weighted Average Effective Duration (years) 0.8 0.5 12-month dividends may not equal the combined 6-month figures due to rounding. situated near the top of the corporate capital structure and generate solid income in the lowyield environment. That risk/reward trade-off stacks up well compared with other fixed income asset classes. Cash flow and demand for shortterm debt has been strong, which should help support pricing. In the reporting period, most interest rates moved higher though rate increases seemed restrained relative to expectations around Fed policy. For example, strong global demand for relatively higher-yielding U.S. Treasury debt seems to have capped rates. Over the last six months of the period, one-year Treasury bill yields moved higher by 37 basis points (0.37%), ending Security Diversification Percent of Net Assets Corporate Bonds and Notes 60% Asset-Backed Securities 20 U.S. Treasury Bonds and Notes 10 Commercial Mortgage-Backed Securities 7 Mortgage-Backed Securities 3 Government Related 1 Other and Reserves -1 Total 100% Based on net assets as of 5/31/17. at 1.15%, while two-year Treasury yields ended at 1.28%, advancing 14 basis points. Over the same period, the three-month LIBOR advanced 27 basis points, to yield 1.21%. Meanwhile credit spreads, the difference between the yield of a corporate bond and a Treasury security with a comparable maturity, remained tight amid strong demand for shorter-duration 4
Quality Diversification 5 Percent of Net Assets U.S. Government Agency Securities* 1% U.S. Treasury Securities** 10 AAA 21 AA 12 A 21 BBB 33 BB 3 Reserves -1 Total 100% Based on net assets as of 5/31/17. * 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. Securities that have not been rated by any rating agency totaled 0.00% of the portfolio at the end of the reporting period. investment-grade debt. Spreads for most investment-grade debt, with maturities around three years, narrowed some 20 basis points to 40 basis points over the last six months of the period. In particular, spreads on banks and select energy names contracted over the period, contributing significantly to the performance of the portfolio. Spreads compressed to a lesser degree within most securitized sectors holdings of asset-backed and mortgage-backed securities but still made positive contributions to portfolio performance. To further diversify the portfolio and provide incremental income, we recently added a limited number of AAA rated collateralized loan obligations, which are securities backed by pools of debt. Our yield curve positioning detracted from results relative to the benchmark. With rates rising rapidly following the election, longerduration positions were negatively affected. The portfolio ended the period with a duration of 0.50 years, neutral to the benchmark s duration. We believe that shorter-maturity profile will prove prudent in a rising-rate environment. 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. OUTLOOK The next few months will hopefully add some clarity to the economic outlook. We are mindful that this current economic expansion could be slowing and that global political risks any of which could lead to a risk-off event persist. The prospect of fiscal stimulus out of Washington now seems unlikely in 2017. However, the expectation of increased spending could resurface as a market theme late in the year or more likely in 2018. Globally, easy monetary policies continue to support strong demand for income, but these programs will eventually need to wind down. We believe, as do most market watchers, that one more rate increase is likely this year. If the Fed does raise rates as expected, we believe short-term rates will move to the 1.25% and 1.50% range. We also anticipate that the Fed s discussions around shrinking its balance sheet will induce uncertain outcomes in the rates market. We intend to maintain a relatively short-duration posture given the prospect of rising rates. Still, we remain generally positive on credit as the business cycle persists and continue to run larger exposures to sectors such as banks, which will benefit from rising rates. As always, we believe that the Ultra Short-Term Bond Fund provides a welldiversified, defensive by design bond fund that offers a good level of safety in rocky markets and an attractive alternative to cash. Thank you for your confidence in us and investing with T. Rowe Price. Respectfully submitted, Joseph K. Lynagh President and chairman of the fund s Investment Advisory Committee June 22, 2017 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. Risks of Investing in Floating Rate Loan Funds Floating rate loans are subject to credit risk, the chance that any fund holding could have its credit rating downgraded or that an issuer will default (fail to make timely payments of interest or principal), and liquidity risk, the chance that the fund may not be able to sell loans or securities at desired prices, potentially reducing the fund s income level and share price. Like bond funds, this fund is exposed to interest rate risk, but credit and liquidity risks may often be more important. The loans in which the fund invests are often referred to as leveraged loans because the borrowing companies have significantly more debt than equity. In many cases leveraged loans are issued in connection with recapitalizations, acquisitions, leveraged buyouts, and refinancings. Companies issuing leveraged loans typically have a below investment-grade credit rating or may not be rated by a major credit rating agency. Leveraged loan funds could have greater price declines than funds that invest primarily in high-quality bonds, so the securities are usually considered speculative investments. Glossary Bloomberg Barclays Short-Term Government/Corporate Index: An unmanaged index that tracks short-term debt instruments. Duration: A measure of a bond fund s sensitivity to changes in interest rates. For example, a fund with a duration of two years would fall about 2% in price in response to a one-percentage-point rise in interest rates, and vice versa. Fed 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. 7
Glossary (continued) 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. 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. Note: Bloomberg Index Services Ltd. Copyright 2017, Bloomberg Index Services Ltd. Used with permission. 8
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 5/31/17 Ultra Short-Term Bond Fund $10,385 Bloomberg Barclays Short-Term Government/Corporate Index $10,188 Lipper Ultra-Short Obligations Funds Average* $10,277 12/3/12 5/13 5/14 5/15 5/16 5/17 *The Lipper Ultra-Short Obligations Funds Average is from 12/31/12. Average Annual Compound Total Return Since Inception Periods Ended 5/31/17 One Year 12/3/12 Ultra Short-Term Bond Fund 1.77% 0.85% 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. 9
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 Personal Services or Enhanced Personal Services client (enrollment in these programs generally requires T. Rowe Price assets of at least $250,000). 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. 10
Fund Expense Example (continued) Ultra Short-Term Bond Fund Beginning Ending Expenses Paid Account Value Account Value During Period* 12/1/16 5/31/17 12/1/16 to 5/31/17 Actual $1,000.00 $1,009.50 $1.75 Hypothetical (assumes 5% return before expenses) 1,000.00 1,023.19 1.77 * 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 (182), and divided by the days in the year (365) to reflect the half-year period. 11
Quarter-End Returns Since Inception Periods Ended 3/31/17 One Year 12/3/12 Ultra Short-Term Bond Fund 1.71% 0.77% 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. 12
Financial Highlights For a share outstanding throughout each period Year Ended 5/31/17 5/31/16 5/31/15 5/31/14 12/3/12 (1) 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 (2) 0.07 (3) 0.04 (3) 0.03 (3) 0.01 (3) 0.01 (3) Net realized and unrealized gain / loss 0.02 0.01 (4) (0.01) 0.01 (5) Total from investment activities 0.09 0.05 0.02 0.02 0.01 Distributions Net investment income (0.07) (0.05) (0.03) (0.01) (0.01) Net realized gain (5) Total distributions (0.07) (0.05) (0.03) (0.01) (0.01) NET ASSET VALUE End of period $ 5.02 $ 5.00 $ 5.00 $ 5.01 $ 5.00 Ratios/Supplemental Data Total return (6) 1.77% (3) 0.96% (3) 0.44% (3) 0.49% (3) 0.13% (3) Ratio of total expenses to average net assets 0.35% (3) 0.35% (3) 0.35% (3) 0.35% (3) 0.35% (3)(7) Ratio of net investment income to average net assets 1.34% (3) 0.89% (3) 0.57% (3) 0.27% (3) 0.26% (3)(7) 13
Financial Highlights For a share outstanding throughout each period Year Ended 5/31/17 5/31/16 5/31/15 5/31/14 12/3/12 (1) Through 5/31/13 Ratios/Supplemental Data (continued) Portfolio turnover rate 115.9% 98.9% 127.6% 176.4% 53.3% Net assets, end of period (in thousands) $ 355,930 $ 245,897 $ 577,660 $ 576,746 $ 177,897 (1) Inception date. (2) Per share amounts calculated using average shares outstanding method. (3) Excludes expenses in excess of a 0.35% contractual expense limitation in effect through 9/30/17. (4) 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. (5) Amounts round to less than $0.01 per share. (6) 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. (7) Annualized The accompanying notes are an integral part of these financial statements. 14
May 31, 2017 Portfolio of Investments Par/Shares $ Value (Amounts in 000s) CORPORATE BONDS 54.0% Aerospace & Defense 0.2% Harris, 1.999%, 4/27/18 695 697 697 Airlines 0.2% Delta Air Lines, 2.875%, 3/13/20 730 739 739 Automotive 3.7% BMW U.S. Capital, VR, 1.79%, 4/6/22 (1) 1,000 1,004 Daimler Finance North America, VR, 1.701%, 5/5/20 (1) 1,000 1,002 Daimler Finance North America, VR, 1.78%, 1/6/20 (1) 1,000 1,005 Daimler Finance North America, VR, 1.792%, 10/30/19 (1) 1,000 1,003 Ford Motor Credit, VR, 2.155%, 1/9/20 2,000 2,016 Hyundai Capital Services, VR, 2.50%, 3/18/19 (1) 2,000 2,005 Nissan Motor Acceptance, VR, 1.64%, 9/13/19 (1) 1,000 1,000 Nissan Motor Acceptance, VR, 1.735%, 1/13/20 (1) 1,000 1,003 Toyota Motor Credit, VR, 1.418%, 4/17/20 1,000 1,000 Toyota Motor Credit, VR, 1.598%, 10/18/19 1,000 1,006 Toyota Motor Credit, VR, 1.848%, 1/11/22 1,000 1,011 13,055 Banking 25.9% ABN Amro Bank, 2.10%, 1/18/19 (1) 750 752 ABN Amro Bank, VR, 1.798%, 1/18/19 (1) 1,000 1,004 ANZ National International, VR, 2.182%, 7/28/21 (1) 500 505 Australia & New Zealand Banking, VR, 1.678%, 8/19/20 (1) 1,000 1,001 Australia & New Zealand Banking, VR, 1.816%, 9/23/19 (1) 1,000 1,008 Australia & New Zealand Banking, VR, 2.045%, 6/1/21 (1) 500 507 Banco Santander, VR, 2.718%, 4/11/22 2,000 2,047 Bank of America, 6.00%, 9/1/17 2,000 2,022 15
(Amounts in 000s) Par/Shares $ Value Bank of Montreal, VR, 1.72%, 12/12/19 1,000 1,006 Bank of Montreal, VR, 1.99%, 8/27/21 1,000 1,014 Bank of New York Mellon, VR, 2.049%, 8/17/20 1,770 1,799 Bank of Nova Scotia, VR, 1.742%, 3/7/22 2,000 2,004 Barclays, 2.00%, 3/16/18 1,000 1,001 BB&T, VR, 1.608%, 1/15/20 1,000 1,001 BB&T, VR, 1.802%, 4/1/22 1,000 1,004 BB&T, VR, 1.873%, 1/15/20 2,000 2,012 BPCE, VR, 2.392%, 5/22/22 (1) 960 963 Capital One Financial, VR, 1.941%, 5/12/20 1,000 1,000 Capital One Financial, VR, 2.056%, 3/9/22 2,000 1,997 Capital One National Association, VR, 1.885%, 9/13/19 1,000 1,005 Citigroup, VR, 1.945%, 1/10/20 1,000 1,006 Citigroup, VR, 2.032%, 6/7/19 1,000 1,008 Citigroup, VR, 2.176%, 12/8/21 1,000 1,007 Citigroup, VR, 2.36%, 8/2/21 1,000 1,016 Citizens Bank, 2.30%, 12/3/18 2,000 2,008 Citizens Bank, VR, 1.604%, 3/2/20 1,000 1,002 Citizens Bank, VR, 2.008%, 5/26/22 1,000 1,000 Commonwealth Bank of Australia, VR, 1.809%, 3/10/22 (1) 1,000 1,000 Commonwealth Bank of Australia, VR, 1.93%, 9/6/21 (1) 1,000 1,007 Credit Agricole London, VR, 2.079%, 6/10/20 (1) 1,000 1,007 Danske Bank, VR, 1.574%, 3/2/20 (1) 2,000 2,002 Deutsche Bank London, 6.00%, 9/1/17 1,000 1,010 Deutsche Bank London, VR, 3.095%, 5/10/19 500 509 Discover Bank, 2.00%, 2/21/18 1,000 1,001 Discover Financial Services, 6.45%, 6/12/17 1,000 1,001 DNB Nor Bank, VR, 2.134%, 6/2/21 (1) 1,000 1,015 Goldman Sachs, VR, 1.883%, 12/27/20 1,000 998 Goldman Sachs, VR, 1.92%, 12/13/19 1,000 1,005 16
(Amounts in 000s) Par/Shares $ Value Goldman Sachs, VR, 2.196%, 4/25/19 710 718 Goldman Sachs, VR, 2.516%, 4/23/21 1,000 1,020 HSBC Holdings, VR, 2.849%, 5/25/21 1,500 1,551 HSBC Holdings, VR, 3.346%, 3/8/21 500 526 HSBC USA, VR, 1.949%, 8/7/18 1,000 1,005 Huntington National Bank, 1.70%, 2/26/18 1,500 1,501 Huntington National Bank, VR, 1.619%, 3/10/20 2,000 2,006 ING Groep, VR, 2.302%, 3/29/22 985 997 Intesa Sanpaolo, 3.875%, 1/16/18 4,100 4,142 JPMorgan Chase, VR, 1.746%, 9/23/19 1,000 1,006 JPMorgan Chase, VR, 2.202%, 6/7/21 1,000 1,013 Key Bank, 1.65%, 2/1/18 1,000 1,001 Manufacturers and Traders Trust, VR, 1.791%, 5/18/22 1,000 999 Mitsubishi UFJ Financial Group, VR, 2.092%, 2/22/22 595 598 Morgan Stanley, VR, 1.982%, 2/14/20 1,000 1,002 Morgan Stanley, VR, 2.336%, 1/20/22 2,000 2,019 National Australia Bank, VR, 1.682%, 5/22/20 (1) 2,000 2,002 Nationwide Building Society, 2.35%, 1/21/20 (1) 800 802 Nordea Bank, VR, 1.672%, 5/29/20 (1) 1,000 1,001 Nordea Bank, VR, 2.19%, 5/27/21 (1) 500 506 Rabobank Nederland, VR, 1.69%, 8/9/19 1,000 1,005 Rabobank Nederland, VR, 1.985%, 1/10/22 1,000 1,010 Royal Bank of Canada, VR, 1.48%, 3/2/20 1,000 1,001 Royal Bank of Canada, VR, 1.90%, 2/1/22 2,000 2,019 Royal Bank of Scotland, 6.40%, 10/21/19 1,000 1,089 Santander Holdings, 3.45%, 8/27/18 1,388 1,407 Societe Generale, 2.625%, 10/1/18 1,000 1,009 Standard Chartered, 2.10%, 8/19/19 (1) 340 338 Standard Chartered, 2.40%, 9/8/19 (1) 1,500 1,498 Sumitomo Mitsui Banking, VR, 1.828%, 10/19/18 1,000 1,004 17
(Amounts in 000s) Par/Shares $ Value Sumitomo Mitsui Trust Bank, VR, 1.61%, 3/6/19 (1) 1,000 1,001 SunTrust Bank, VR, 1.70%, 1/31/20 1,000 1,006 Swedbank, VR, 1.821%, 3/14/22 (1) 2,000 2,005 Toronto-Dominion Bank, VR, 2.055%, 7/13/21 1,000 1,017 U.S. Bancorp, VR, 1.793%, 1/24/22 1,000 1,002 Wells Fargo, VR, 1.852%, 1/30/20 1,000 1,005 Wells Fargo, VR, 2.112%, 2/11/22 1,000 1,004 Wells Fargo Bank, VR, 1.75%, 12/6/19 1,000 1,008 Westpac Banking, VR, 1.53%, 3/6/20 1,000 1,001 Westpac Banking, VR, 2.028%, 8/19/21 1,000 1,008 92,106 Building Products 0.1% Martin Marietta Material, VR, 1.822%, 5/22/20 315 316 316 Building & Real Estate 0.2% D.R. Horton, 3.75%, 3/1/19 630 645 645 Cable Operators 0.4% Time Warner Cable, 6.75%, 7/1/18 1,500 1,576 1,576 Computer Service & Software 1.6% Apple, VR, 1.532%, 5/11/22 2,000 1,998 Apple, VR, 1.68%, 2/9/22 1,000 1,009 Hewlett Packard Enterprise, STEP, 2.85%, 10/5/18 1,000 1,014 Hewlett Packard Enterprise, VR, 3.08%, 10/5/18 1,700 1,735 5,756 18
(Amounts in 000s) Drugs 1.5% Par/Shares $ Value Abbott Laboratories, 2.35%, 11/22/19 1,650 1,660 Amgen, VR, 1.632%, 5/11/20 1,000 1,002 Cardinal Health, 1.95%, 6/15/18 530 532 Teva Pharmaceutical Finance III, 1.40%, 7/20/18 2,000 1,990 5,184 Energy 2.1% Columbia Pipeline Group, 2.45%, 6/1/18 1,000 1,004 DCP Midstream Operating, 2.50%, 12/1/17 1,000 1,000 Great Plains Energy, 2.50%, 3/9/20 455 460 Kinder Morgan, 2.00%, 12/1/17 890 891 Marathon Oil, 6.00%, 10/1/17 3,200 3,243 Zhejiang Provincial Energy, 2.30%, 9/30/17 1,000 1,000 7,598 Financial 2.2% Air Lease, 2.125%, 1/15/20 1,290 1,287 American Express, VR, 1.523%, 3/3/20 1,000 1,001 American International Group, 2.30%, 7/16/19 1,000 1,006 Experian Finance, 2.375%, 6/15/17 (1) 2,000 2,001 General Motors Financial, VR, 2.085%, 4/13/20 1,000 1,002 General Motors Financial, VR, 2.63%, 5/9/19 500 507 International Lease Finance, 3.875%, 4/15/18 1,000 1,016 7,820 Food/Tobacco 0.5% Philip Morris International, VR, 1.592%, 2/21/20 265 267 Tyson Foods, VR, 1.76%, 6/2/20 1,600 1,601 1,868 19
(Amounts in 000s) Gas & Gas Transmission 1.5% Par/Shares $ Value Buckeye Partners, 6.05%, 1/15/18 1,000 1,025 Enterprise Products Operations, 1.65%, 5/7/18 454 454 Kinder Morgan Finance, 6.00%, 1/15/18 (1) 1,500 1,538 ONEOK Partners, 2.00%, 10/1/17 1,700 1,701 Panhandle Eastern Pipeline, 6.20%, 11/1/17 500 508 5,226 Healthcare 1.2% Actavis Funding, VR, 2.20%, 3/12/18 1,000 1,005 Baxalta, 2.00%, 6/22/18 390 391 Becton Dickinson, VR, 2.253%, 6/6/22 430 431 Catholic Health Initiatives, 2.60%, 8/1/18 1,000 1,007 Medco Health Solutions, 7.125%, 3/15/18 1,375 1,432 4,266 Information Technology 2.8% Arrow Electronics, 3.00%, 3/1/18 1,500 1,513 Baidu, 2.25%, 11/28/17 1,000 1,003 Broadcom, 2.375%, 1/15/20 (1) 1,500 1,502 Intel, VR, 1.532%, 5/11/22 1,000 1,002 Qualcomm, VR, 1.609%, 5/20/20 2,000 2,005 Seagate Technology, 3.75%, 11/15/18 2,000 2,050 Xerox, 5.625%, 12/15/19 1,000 1,073 10,148 Insurance 1.8% CNA Financial, 6.95%, 1/15/18 1,000 1,030 Marsh & McLennan Companies, 2.55%, 10/15/18 1,102 1,113 New York Life Global Funding, VR, 1.428%, 4/9/20 (1) 1,000 1,000 New York Life Global Funding, VR, 1.543%, 10/24/19 (1) 2,000 2,002 20
(Amounts in 000s) Par/Shares $ Value Willis North America, 7.00%, 9/29/19 1,102 1,215 6,360 Investment Dealers 0.3% Raymond James Financial, 8.60%, 8/15/19 942 1,064 1,064 Manufacturing 0.7% Roper Industries, 2.05%, 10/1/18 518 519 Siemens Financieringsmaatschappij, VR, 1.477%, 3/16/20 (1) 2,000 2,005 2,524 Metals & Mining 0.1% Vale Overseas, 5.625%, 9/15/19 500 530 530 Petroleum 0.9% BP Capital Markets, VR, 2.007%, 9/16/21 1,000 1,014 Chevron, VR, 1.573%, 3/3/22 1,000 1,004 Phillips 66, VR, 1.784%, 4/15/19 (1) 335 335 Shell International Finance, 1.625%, 11/10/18 1,000 1,000 3,353 Printing & Publishing 0.3% Moody's, VR, 1.414%, 9/4/18 1,000 1,002 1,002 Publishing 0.3% Thomson Reuters, 6.50%, 7/15/18 1,000 1,051 1,051 Real Estate Investment Trust Securities 1.6% DDR, 4.75%, 4/15/18 2,000 2,038 21
(Amounts in 000s) Par/Shares $ Value Kilroy Realty, 4.80%, 7/15/18 360 369 Kimco Realty, 6.875%, 10/1/19 1,000 1,107 VEREIT Operating Partner, 3.00%, 2/6/19 1,000 1,012 WEA Finance, 1.75%, 9/15/17 (1) 1,160 1,160 Retail 0.4% 5,686 Marks & Spencer, 6.25%, 12/1/17, Acquisition Date: 7/26/16 Cost $534 (1)(2) 500 509 QVC, 3.125%, 4/1/19 880 891 Supermarkets 0.3% 1,400 Delhaize Group, 6.50%, 6/15/17 1,000 1,002 Telephones 0.1% 1,002 Verizon Communications, VR, 2.137%, 3/16/22 1,000 1,012 Transportation 0.5% 1,012 HPHT Finance 15, 2.25%, 3/17/18 (1) 500 500 Penske Truck Leasing, 3.375%, 3/15/18 (1) 1,115 1,130 Transportation Services 0.1% 1,630 ERAC USA Finance, 2.80%, 11/1/18 (1) 400 404 Utilities 2.2% Dominion Resources, 1.875%, 12/15/18 (1) 1,000 998 Dominion Resources, 6.40%, 6/15/18 480 503 Dominion Resources, STEP, 2.579%, 7/1/20 250 252 404 22
(Amounts in 000s) Par/Shares $ Value Exelon Generation, 2.95%, 1/15/20 480 488 FirstEnergy, 2.75%, 3/15/18 1,000 1,004 Georgia Power, 2.00%, 3/30/20 1,000 999 Spectra Energy Capital, 6.20%, 4/15/18 1,532 1,589 Teco Finance, VR, 1.755%, 4/10/18 1,300 1,300 Transcontinental Gas Pipe Line, 6.05%, 6/15/18 860 896 8,029 Wireless Communications 0.1% SBA Tower Trust, 3.598%, 4/15/18 (1) 200 200 200 Total Corporate Bonds (Cost $191,576) 192,247 ASSET-BACKED SECURITIES 20.6% Auto Backed 13.3% Ally Auto Receivables Trust Series 2014-1, Class C 2.04%, 12/15/19 235 236 Ally Auto Receivables Trust Series 2014-1, Class D 2.48%, 2/15/21 335 336 Ally Auto Receivables Trust Series 2015-2, Class C 2.41%, 1/15/21 (1) 670 675 Ally Auto Receivables Trust Series 2015-2, Class D 3.01%, 3/15/22 (1) 335 339 Ally Auto Receivables Trust Series 2016-1, Class C 2.29%, 6/15/21 670 674 Ally Auto Receivables Trust Series 2016-1, Class D 2.84%, 9/15/22 335 338 23
(Amounts in 000s) Par/Shares $ Value AmeriCredit Automobile Receivables Trust Series 2013-5, Class C 2.29%, 11/8/19 1,600 1,604 AmeriCredit Automobile Receivables Trust Series 2014-1, Class E 3.58%, 8/9/21 2,000 2,035 AmeriCredit Automobile Receivables Trust Series 2014-4, Class D 3.07%, 11/9/20 1,500 1,520 AmeriCredit Automobile Receivables Trust Series 2015-2, Class D 3.00%, 6/8/21 1,000 1,012 AmeriCredit Automobile Receivables Trust Series 2016-2, Class A2A 1.42%, 10/8/19 483 483 ARI Fleet Lease Trust Series 2015-A, Class A2 1.11%, 11/15/18 (1) 223 223 ARI Fleet Lease Trust Series 2017-A, Class A2 1.91%, 4/15/26 (1) 475 475 Avis Budget Rental Car Funding Series 2012-3A, Class A 2.10%, 3/20/19 (1) 1,000 1,002 Avis Budget Rental Car Funding Series 2013-1A, Class B 2.62%, 9/20/19 (1) 2,000 2,007 Avis Budget Rental Car Funding Series 2014-1A, Class A 2.46%, 7/20/20 (1) 1,000 1,004 BMW Vehicle Lease Trust Series 2016-2, Class A3 1.43%, 9/20/19 415 414 California Rep Auto Receivables Trust Series 2015-1, Class B 2.51%, 2/16/21 1,000 1,006 Capital Auto Receivables Asset Trust Series 2013-3, Class E 4.55%, 3/21/22 (1) 555 564 24
(Amounts in 000s) Par/Shares $ Value Capital Auto Receivables Asset Trust Series 2013-4, Class E 3.83%, 7/20/22 (1) 590 596 Capital Auto Receivables Asset Trust Series 2014-1, Class C 2.84%, 4/22/19 1,000 1,005 Capital Auto Receivables Asset Trust Series 2015-3, Class A3 1.94%, 1/21/20 1,000 1,003 Capital Auto Receivables Asset Trust Series 2016-2, Class A3 1.46%, 6/22/20 1,000 998 Capital Auto Receivables Asset Trust Series 2016-3, Class A3 1.54%, 8/20/20 375 375 CarMax Auto Owner Trust Series 2014-2, Class D 2.58%, 11/16/20 1,275 1,279 CarMax Auto Owner Trust Series 2015-3, Class D 3.27%, 3/15/22 1,000 1,011 Chrysler Capital Auto Receivables Trust Series 2014-BA, Class D 3.44%, 8/16/21 (1) 1,250 1,263 Chrysler Capital Auto Receivables Trust Series 2016-BA, Class A3 1.64%, 7/15/21 (1) 625 624 Enterprise Fleet Financing Series 2016-2, Class A2 1.74%, 2/22/22 (1) 766 766 Enterprise Fleet Financing Series 2016-2, Class A3 2.04%, 2/22/22 (1) 1,000 997 Enterprise Fleet Financing Series 2017-1, Class A2 2.13%, 7/20/22 (1) 1,185 1,189 GM Financial Auto Lease Series 2015-1, Class D 3.01%, 3/20/20 1,000 1,006 25
(Amounts in 000s) Par/Shares $ Value GM Financial Auto Lease Series 2016-3, Class A3 1.61%, 12/20/19 480 480 GMF Floorplan Owner Revolving Trust Series 2015-1, Class B 1.97%, 5/15/20 (1) 685 684 GMF Floorplan Owner Revolving Trust Series 2015-1, Class C 2.22%, 5/15/20 (1) 2,000 2,002 GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1 1.96%, 5/17/21 (1) 650 652 Hyundai Auto Lease Securitization Trust Series 2016-B, Class A2A 1.24%, 11/15/18 (1) 354 354 Hyundai Auto Lease Securitization Trust Series 2016-C, Class A3 1.49%, 2/18/20 (1) 340 339 Hyundai Auto Lease Securitization Trust Series 2017-B, Class A2B, VR 1.324%, 12/16/19 (1) 1,000 1,000 Mercedes-Benz Auto Lease Trust Series 2016-B, Class A4 1.52%, 6/15/22 390 389 Mercedes-Benz Master Owner Trust Series 2017-AA, Class A, VR 1.299%, 5/16/21 (1) 770 770 Nissan Auto Lease Trust Series 2016-B, Class A3 1.50%, 7/15/19 2,000 1,999 Nissan Auto Receivables Owner Trust Series 2014-A, Class A3 0.72%, 8/15/18 19 19 Nissan Master Owner Trust Receivables Series 2016-A, Class A2 1.54%, 6/15/21 875 871 Santander Drive Auto Receivables Trust Series 2013-5, Class E 3.73%, 3/15/21 (1) 1,175 1,195 26
(Amounts in 000s) Par/Shares $ Value Santander Drive Auto Receivables Trust Series 2013-A, Class D 3.78%, 10/15/19 (1) 500 507 Santander Drive Auto Receivables Trust Series 2015-5, Class C 2.74%, 12/15/21 1,500 1,509 Santander Drive Auto Receivables Trust Series 2015-5, Class D 3.65%, 12/15/21 1,000 1,025 Santander Drive Auto Receivables Trust Series 2016-1, Class B 2.47%, 12/15/20 1,890 1,902 Santander Drive Auto Receivables Trust Series 2017-1, Class B 2.10%, 6/15/21 180 180 Smart Trust Australia Series 2015-1US, Class A3A 1.50%, 9/14/18 223 223 Smart Trust Australia Series 2016-2US, Class A3A 1.71%, 3/15/21 750 741 SunTrust Auto Receivables Trust Series 2015-1A, Class A3 1.42%, 9/16/19 (1) 1,307 1,307 USAA Auto Owner Trust Series 2015-1, Class B 1.96%, 11/15/22 1,000 999 Wheels SPV Series 2016-1A, Class A2 1.59%, 5/20/25 (1) 200 200 Credit Card Backed 1.3% 47,406 Synchrony Credit Card Master Note Trust Series 2014-1, Class A 1.61%, 11/15/20 1,000 1,001 Synchrony Credit Card Master Note Trust Series 2014-1, Class C 1.91%, 11/15/20 100 100 27
(Amounts in 000s) Par/Shares $ Value Synchrony Credit Card Master Note Trust Series 2015-2, Class A 1.60%, 4/15/21 2,000 2,002 Synchrony Credit Card Master Note Trust Series 2015-3, Class B 1.94%, 9/15/21 1,500 1,501 Equipment Lease Heavy Duty 1.4% 4,604 CCG Receivables Trust Series 2014-1, Class A2 1.06%, 11/15/21 (1) 77 77 CCG Receivables Trust Series 2015-1, Class B 2.60%, 1/17/23 (1) 2,000 2,006 CNH Equipment Trust Series 2014-A, Class A3 0.84%, 5/15/19 8 8 CNH Equipment Trust Series 2016-C, Class A3 1.44%, 12/15/21 495 492 Kubota Credit Owner Trust Series 2016-1A, Class A2 1.25%, 4/15/19 (1) 889 888 MMAF Equipment Finance Series 2015-AA, Class A3 1.39%, 10/16/19 (1) 472 472 MMAF Equipment Finance Series 2016-AA, Class A2 1.39%, 12/17/18 (1) 762 762 Volvo Financial Equipment Series 2017-1A, Class A3 1.92%, 3/15/21 (1) 270 271 Equipment Lease Small 0.6% 4,976 Ascentium Equipment Receivables Series 2016-2A, Class A2 1.46%, 4/10/19 (1) 225 225 28
(Amounts in 000s) Par/Shares $ Value Ascentium Equipment Receivables Series 2016-2A, Class A3 1.65%, 5/10/22 (1) 1,000 994 Ascentium Equipment Receivables Series 2017-1A, Class A2 1.87%, 7/10/19 (1) 405 405 GreatAmerica Leasing Receivables Series 2017-1, Class A2 1.72%, 4/22/19 (1) 570 570 Other Asset-Backed Securities 3.3% 2,194 ALM Loan Funding Series 2014-14A, Class A1R, CLO, VR 2.322%, 7/28/26 (1) 2,000 2,000 DB Master Finance Series 2015-1A, Class A2I 3.262%, 2/20/45 (1) 992 999 Diamond Resorts Owner Trust Series 2014-1, Class A 2.54%, 5/20/27 (1) 207 205 Dominos Pizza Master Issuer Series 2012-1A, Class A2 5.216%, 1/25/42 (1) 1,035 1,043 Hilton Grand Vacation Trust Series 2017-AA, Class A 2.66%, 12/26/28 (1) 299 300 Madison Park Funding Series 2014-14A, Class A2R, CLO, VR 2.276%, 7/20/26 (1) 2,000 2,003 Marriott Vacation Club Owner Trust Series 2015-1A, Class A 2.52%, 12/20/32 (1) 1,000 997 OZLM Series 2014-8A, Class A1AR, CLO, VR 2.00%, 10/17/26 (1) 1,580 1,580 Sierra Receivables Funding Series 2014-1A, Class A 2.07%, 3/20/30 (1) 212 212 29
(Amounts in 000s) Par/Shares $ Value Sierra Receivables Funding Series 2014-2A, Class A 2.05%, 6/20/31 (1) 211 210 Sierra Receivables Funding Series 2014-3A, Class A 2.30%, 10/20/31 (1) 146 146 Sierra Receivables Funding Series 2016-2A, Class A 2.33%, 7/20/33 (1) 352 352 Springleaf Funding Trust Series 2016-AA, Class A 2.90%, 11/15/29 (1) 670 674 Wendy's Funding Series 2015-1A, Class A2I 3.371%, 6/15/45 (1) 995 1,004 Student Loan 0.7% 11,725 SLM Student Loan Trust Series 2010-1, Class A 1.424%, 3/25/25 917 903 SMB Private Education Loan Trust Series 2015-A, Class A1 1.589%, 7/17/23 (1) 367 367 SMB Private Education Loan Trust Series 2016-A, Class A1 1.689%, 5/15/23 (1) 486 487 SMB Private Education Loan Trust Series 2016-B, Class A1 1.639%, 11/15/23 (1) 556 556 2,313 Total Asset-Backed Securities (Cost $73,268) 73,218 30
(Amounts in 000s) NON-U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES 9.1% Commercial Mortgage-Backed Securities 6.6% Par/Shares $ Value Citigroup Commercial Mortgage Trust Series 2014-GC19, Class A1 1.199%, 3/10/47 99 99 Citigroup Commercial Mortgage Trust Series 2014-GC25, Class A1 1.485%, 10/10/47 98 98 Citigroup Commercial Mortgage Trust Series 2015-GC27, Class A1 1.353%, 2/10/48 394 392 Citigroup Commercial Mortgage Trust Series 2015-GC29, Class A1 1.45%, 4/10/48 403 402 Citigroup Commercial Mortgage Trust Series 2015-P1, Class A1 1.648%, 9/15/48 735 735 Commercial Mortgage PTC Series 2014-CR15, Class A1 1.218%, 2/10/47 193 193 Commercial Mortgage PTC Series 2014-CR20, Class A1 1.324%, 11/10/47 132 132 Commercial Mortgage PTC Series 2014-CR21, Class A1 1.494%, 12/10/47 133 133 Commercial Mortgage PTC Series 2014-LC15, Class A1 1.259%, 4/10/47 881 879 Commercial Mortgage PTC Series 2014-LC17, Class A1 1.381%, 10/10/47 157 157 Commercial Mortgage PTC Series 2014-UBS2, Class A1 1.298%, 3/10/47 504 503 Commercial Mortgage PTC Series 2014-UBS4, Class A1 1.309%, 8/10/47 206 206 31
(Amounts in 000s) Par/Shares $ Value Commercial Mortgage PTC Series 2014-UBS6, Class A1 1.445%, 12/10/47 160 160 Commercial Mortgage PTC Series 2015-CR22, Class A1 1.569%, 3/10/48 264 264 Commercial Mortgage PTC Series 2015-CR24, Class A1 1.652%, 8/10/48 1,234 1,233 Commercial Mortgage PTC Series 2015-PC1, Class A1 1.667%, 7/10/50 1,313 1,314 CSAIL Commercial Mortgage Trust Series 2015-C1, Class A1 1.684%, 4/15/50 294 293 CSAIL Commercial Mortgage Trust Series 2015-C2, Class A1 1.454%, 6/15/57 974 970 CSAIL Commercial Mortgage Trust Series 2016-C6, Class A1 1.493%, 1/15/49 435 432 Goldman Sachs Mortgage Securities II Series 2013-GC13, Class A1 1.206%, 7/10/46 15 15 Goldman Sachs Mortgage Securities II Series 2014-GC26, Class A1 1.434%, 11/10/47 593 591 Goldman Sachs Mortgage Securities Trust Series 2014-GC24, Class A1 1.509%, 9/10/47 214 214 Goldman Sachs Mortgage Securities Trust Series 2015-GC28, Class A1 1.528%, 2/10/48 716 714 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C19, Class A1 1.266%, 4/15/47 111 111 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C23, Class A1 1.65%, 9/15/47 91 91 32
(Amounts in 000s) Par/Shares $ Value JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C24, Class A1 1.539%, 11/15/47 101 101 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C25, Class A1 1.521%, 11/15/47 321 320 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2014-C26, Class A1 1.596%, 1/15/48 429 428 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2015-C27, Class A1 1.414%, 2/15/48 596 594 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2015-C28, Class A1 1.445%, 10/15/48 1,277 1,273 JPMorgan Chase Barclays Bank Commercial Mortgage Securities Series 2015-C29, Class A1 1.626%, 5/15/48 358 358 JPMorgan Chase Commercial Mortgage Securities Series 2013-C13, Class A1 1.303%, 1/15/46 2 2 JPMorgan Chase Commercial Mortgage Securities Series 2016-JP3, Class A1 1.462%, 8/15/49 529 524 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A1 1.25%, 2/15/47 132 131 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15, Class A1 1.313%, 4/15/47 205 205 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A1 1.551%, 8/15/47 1,045 1,044 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C18, Class A1 1.686%, 10/15/47 120 120 Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19, Class A1 1.573%, 12/15/47 316 315 33
(Amounts in 000s) Par/Shares $ Value Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30, Class A1 1.389%, 9/15/49 426 421 Morgan Stanley Capital I Series 2015-MS1, Class A1 1.638%, 5/15/48 1,216 1,215 Wells Fargo Commercial Mortgage Trust Series 2014-LC18, Class A1 1.437%, 12/15/47 322 321 Wells Fargo Commercial Mortgage Trust Series 2015-C26, Class A1 1.454%, 2/15/48 301 300 Wells Fargo Commercial Mortgage Trust Series 2015-C27, Class A1 1.73%, 2/15/48 826 827 Wells Fargo Commercial Mortgage Trust Series 2015-C28, Class A1 1.531%, 5/15/48 395 394 Wells Fargo Commercial Mortgage Trust Series 2015-C30, Class A1 1.652%, 9/15/58 777 776 Wells Fargo Commercial Mortgage Trust Series 2015-LC20, Class A1 1.471%, 4/15/50 808 806 Wells Fargo Commercial Mortgage Trust Series 2015-NXS1, Class A1 1.342%, 5/15/48 434 433 Wells Fargo Commercial Mortgage Trust Series 2016-LC24, Class A1 1.441%, 10/15/49 693 689 WF-RBS Commercial Mortgage Trust Series 2014-C19, Class A1 1.233%, 3/15/47 822 819 WF-RBS Commercial Mortgage Trust Series 2014-C20, Class A1 1.283%, 5/15/47 291 290 WF-RBS Commercial Mortgage Trust Series 2014-C22, Class A1 1.479%, 9/15/57 124 124 34
(Amounts in 000s) Par/Shares $ Value WF-RBS Commercial Mortgage Trust Series 2014-C23, Class A1 1.663%, 10/15/57 164 164 WF-RBS Commercial Mortgage Trust Series 2014-C24, Class A1 1.39%, 11/15/47 74 74 WF-RBS Commercial Mortgage Trust Series 2014-LC14, Class A1 1.193%, 3/15/47 157 157 Home Equity Loans Backed 0.3% 23,556 Nationstar Home Equity Loan Trust Series 2016-1A, Class A 2.981%, 2/25/26 (1) 332 332 Nationstar Home Equity Loan Trust Series 2016-2A, Class A 2.239%, 6/25/26 (1) 397 400 Nationstar Home Equity Loan Trust Series 2016-3A, Class A 2.013%, 8/25/26 (1) 138 139 Whole Loans Backed 2.2% Colt Funding Series 2017-1, Class A1, CMO, ARM 2.614%, 5/27/47 (1) 497 500 Colt Funding Series 2017-1, Class A3, CMO, ARM 3.074%, 5/27/47 (1) 132 132 Connecticut Avenue Securities Series 2016-C03, Class 1M1, CMO, ARM 3.024%, 10/25/28 140 143 Connecticut Avenue securities Series 2016-C04, Class 1M1, CMO, ARM 2.474%, 1/25/29 138 140 Connecticut Avenue Securities Series 2016-C07, Class 2M1, CMO, ARM 2.324%, 4/25/29 394 396 871 35