Transamerica Core Bond

Transcription

1 Portfolio Holdings as of 03/31/2014* Distributor: Transamerica Capital, Inc. Transamerica Core Bond Security Description U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Freddie Mac, 4.500%, due 05/01/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Government Trust Certificate, Zero Coupon, due 04/01/ % Israel Government AID Bond, Zero Coupon, due 03/15/ % Fannie Mae, 4.220%, due 07/01/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Fannie Mae, 3.764%, due 04/25/2021, Series 2011-M2, Class A3 0.71% Fannie Mae, 4.340%, due 06/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Fannie Mae, 3.950%, due 07/01/ % U.S. Treasury Bond, 4.500%, due 02/15/ % Israel Government AID Bond, Zero Coupon, due 09/15/ % Israel Government AID Bond, Zero Coupon, due 09/15/ % Fannie Mae, 7.000%, due 11/25/2041, Series , Class NT 0.59% Fannie Mae, 4.060%, due 07/01/ % Fannie Mae, 3.890%, due 07/01/ % Fannie Mae, 5.240%, due 05/01/ % Israel Government AID Bond, Zero Coupon, due 02/15/ % Fannie Mae, 3.980%, due 08/01/ % Fannie Mae, 3.430%, due 11/01/ % Fannie Mae, 5.500%, due 07/25/2034, Series , Class VZ 0.45% Government Trust Certificate, Zero Coupon, due 04/01/ % Fannie Mae, 4.050%, due 01/01/ % Goldman Sachs Group, Inc., 7.500%, due 02/15/2019, Series GMTN 0.38% Fannie Mae, 3.990%, due 07/01/ % Fannie Mae, 4.020%, due 08/01/ % Citigroup Mortgage Loan Trust, Inc., 4.000%, due 11/25/2036, Series , Class 5A6 0.36% Government Trust Certificate, Zero Coupon, due 10/01/ % Fannie Mae, 3.726%, due 06/25/2021, Series 2011-M4, Class A2 0.33% Wachovia Bank NA, 6.000%, due 11/15/2017, Series 2007-A7, Class A7 0.32% Citigroup Mortgage Loan Trust, Inc., 4.500%, due 12/25/2036, Series , Class 6A6 0.32% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % U.S. Treasury Inflation Indexed Bond, 2.500%, due 01/15/ % Fannie Mae, 4.500%, due 08/01/ %

2 Fannie Mae, 3.881%, due 09/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Fannie Mae, 3.763%, due 06/25/2021, Series 2011-M1, Class A3 0.28% Fannie Mae, 5.500%, due 07/25/2038, Series , Class ZA 0.28% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Ginnie Mae, 0.760%, due 02/20/2064, Series 2014-H04, Class FB 0.28% Springleaf Funding Trust, 2.580%, due 09/15/2021, Series 2013-AA, Class A 0.27% Fannie Mae, 5.000%, due 09/25/2040, Series , Class VA 0.27% Freddie Mac, 4.500%, due 07/15/2039, Series 3680, Class MA 0.26% Tennessee Valley Authority, 5.880%, due 04/01/ % Vericrest Opportunity Loan Transferee, 3.250%, due 11/25/2053, Series 2014-NPL3, Class A1 0.26% Freddie Mac, 3.500%, due 07/15/2042, Series 262, Class % Fannie Mae, 4.260%, due 07/01/ % Bank of America Corp., 5.625%, due 07/01/ % Ginnie Mae, 5.500%, due 04/20/2033, Series , Class PZ 0.24% Fannie Mae, 3.970%, due 06/01/ % Fannie Mae, 4.160%, due 03/01/ % Fannie Mae, 3.990%, due 07/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Fannie Mae, 3.920%, due 08/01/ % Fannie Mae, 5.500%, due 04/25/2034, Series , Class H 0.22% Fannie Mae, 6.000%, due 02/01/ % Fannie Mae, 5.500%, due 09/01/2033, Series AA % Fannie Mae, 4.480%, due 06/01/ % Associates Corp., 6.950%, due 11/01/2018, Series , Class A6A 0.21% U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Morgan Stanley, 5.625%, due 09/23/2019, Series 2004-WMC3, Class M1 0.21% U.S. Treasury Inflation Indexed Note, 1.125%, due 01/15/ % Fannie Mae, 6.000%, due 08/25/2037, Series , Class ZG 0.20% U.S. Treasury Bond, 4.750%, due 02/15/ % Trafigura Securitisation Finance PLC, 2.555%, due 10/15/2015, Series A, Class A 0.20% U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Fannie Mae, 2.030%, due 08/01/ % Freddie Mac, 7.198%, due 11/15/2046, Series 3688, Class GT 0.20% Residual Funding Corp., Zero Coupon, due 10/15/ % Fannie Mae, 5.500%, due 10/25/2040, Series , Class AM 0.20% Freddie Mac, 5.500%, due 03/15/2035, Series 2953, Class PG 0.20% Fannie Mae, 5.500%, due 11/25/2036, Series , Class ME 0.20% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Morgan Stanley, 7.300%, due 05/13/2019, Series GMTN 0.20% Fannie Mae, 4.360%, due 05/01/ % Freddie Mac, 4.500%, due 06/15/2025, Series 3684, Class CY 0.19% Freddie Mac, 0.559%, due 07/15/2037, Series 4048, Class FJ 0.19% Fannie Mae, 3.590%, due 10/01/ % U.S. Treasury Note, 2.375%, due 05/31/ % Fannie Mae, 3.870%, due 08/01/ % General Electric Capital Corp., 5.500%, due 01/08/2020, Series GMTN 0.18% Fannie Mae, 3.270%, due 11/01/ % Fannie Mae, 3.120%, due 01/01/ %

3 Fannie Mae, 3.860%, due 07/01/ % Honda Auto Receivables Owner Trust, 0.410%, due 09/21/2016, Series , Class A2 0.18% HLSS Servicer Advance Receivables Trust, 1.244%, due 01/17/2045, Series 2014-T1, Class AT1 0.18% HLSS Servicer Advance Receivables Backed Notes, 1.183%, due 08/15/2044, Series 2013-T4, Class AT4 0.18% Fannie Mae, 3.500%, due 09/01/ % Freddie Mac, 7.000%, due 12/15/2036, Series 3704, Class CT 0.18% Freddie Mac, 5.000%, due 12/15/2023, Series 2721, Class PG 0.18% U.S. Treasury Note, 0.750%, due 12/31/ % Ginnie Mae, 5.500%, due 01/16/2033, Series , Class ZQ 0.18% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Chase Mortgage Finance Corp., 2.681%, due 02/25/2037, Series 2007-A1, Class 1A3 0.17% Fannie Mae, 5.500%, due 05/25/2038, Series , Class A 0.17% Fannie Mae, 5.500%, due 12/25/2022, Series , Class GB 0.17% Springleaf Funding Trust, 2.410%, due 12/15/2022, Series 2014-AA, Class A 0.17% Fannie Mae, 0.704%, due 08/25/2042, Series 411, Class F1 0.17% Ginnie Mae, 6.125%, due 06/16/2031, Series , Class QE 0.17% Freddie Mac, 5.000%, due 05/15/2041, Series 3860, Class PZ 0.17% Freddie Mac, 3.500%, due 06/01/ % Ginnie Mae, 5.500%, due 09/20/2035, Series , Class AZ 0.16% General Electric Capital Corp., 5.625%, due 05/01/2018, Series GMTN 0.16% Banc of America Funding Corp., 2.656%, due 03/20/2035, Series 2005-E, Class 4A1 0.16% Fannie Mae, 6.000%, due 12/25/2049, Series 2009-W1, Class A 0.16% Wells Fargo Mortgage Backed Securities Trust, 2.613%, due 09/25/2034, Series 2004-P, Class 2A1 0.16% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Freddie Mac, 5.500%, due 05/15/2041, Series 3852, Class QN 0.16% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Credit Suisse Commercial Mortgage Trust, 5.644%, due 03/15/2039, Series 2006-C2, Class A3 0.15% Freddie Mac, 5.500%, due 05/15/2041, Series 3852, Class TP 0.15% Fannie Mae, 6.000%, due 03/25/2037, Series , Class MZ 0.15% Comcast Corp., 7.050%, due 03/15/ % U.S. Treasury Note, 3.125%, due 05/15/ % Fannie Mae, 4.050%, due 01/01/2021, Series 3740, Class SC 0.15% General Electric Capital Corp., 6.000%, due 08/07/2019, Series GMTN 0.15% HSBC Holdings PLC, 4.875%, due 01/14/ % Freddie Mac, 5.000%, due 07/15/2033, Series 2642, Class JG 0.15% Ginnie Mae, 0.859%, due 05/20/2061, Series 2012-H21, Class CF 0.15% VOLT XXIII LLC, 3.625%, due 11/25/2053, Series 2014-NPL2, Class A1 0.15% Springleaf Mortgage Loan Trust, 5.450%, due 01/25/2058, Series A, Class A2 0.15% Freddie Mac, 4.500%, due 02/15/2037, Series 3687, Class MA 0.15% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Fannie Mae, 4.250%, due 04/01/ % VOLT XXII LLC, 3.625%, due 10/27/2053, Series 2014-NPL1, Class A1 0.15% New Residential Advance Receivables Trust Advance Receivables Backed, 1.274%, due 03/15/2045, Series T1, Class A1 0.15% Freddie Mac, 4.000%, due 12/15/2041, Series 3966, Class NA 0.14% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % BCAP LLC Trust, 0.899%, due 09/26/2037, Series 2011-RR10, Class 2A1 0.14%

4 Fannie Mae, 0.354%, due 10/27/2037, Series , Class A6 0.14% Freddie Mac, 6.000%, due 11/15/2035, Series 3219, Class PD 0.14% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Fannie Mae, 4.301%, due 01/01/ % Freddie Mac, 5.500%, due 02/15/2022, Series 3282, Class YD 0.14% A10 Term Asset Financing LLC, 2.620%, due 11/15/2027, Series , Class A 0.14% Fannie Mae, 3.770%, due 01/01/ % Fannie Mae, 4.130%, due 08/01/ % U.S. Treasury Bond, 5.000%, due 05/15/ % Israel Government AID Bond, Zero Coupon, due 02/15/ % Fannie Mae, 8.000%, due 02/25/2023, Series , Class ZC 0.14% Fannie Mae, 4.450%, due 07/01/ % Fannie Mae, 4.281%, due 01/01/ % Bank of America Corp., 6.400%, due 08/28/2017, Series C GMTN 0.14% Morgan Stanley Re-REMIC Trust, 2.000%, due 07/27/2049, Series 2012-XA, Class A 0.14% Freddie Mac, 5.231%, due 05/25/2043, Series T-56, Class A5 0.14% Jackson National Life Global Funding, 4.700%, due 06/01/ % VOLT XX LLC, 3.625%, due 03/25/2054, Series 2013-NPL6, Class A1 0.13% Ginnie Mae, 0.809%, due 05/20/2061, Series 2012-H21, Class DF 0.13% Federal Farm Credit Banks, 5.125%, due 11/15/ % Ginnie Mae, 5.750%, due 10/20/2037, Series , Class ZA 0.13% Fannie Mae, 0.754%, due 04/25/2040, Series , Class FJ 0.13% Wells Fargo Re-REMIC Trust, 1.750%, due 08/20/2021, Series 2012-IO, Class A 0.13% Credit Suisse Mortgage Capital Certificates, 1.155%, due 06/28/2047, Series R, Class A6 0.13% RALI Trust, 5.500%, due 08/25/2033, Series 2003-QS15, Class A7 0.13% Fannie Mae, 6.000%, due 07/01/ % Fannie Mae, 6.500%, due 01/25/2032, Series , Class HE 0.13% Academic Loan Funding Trust, 0.954%, due 12/26/2044, Series A, Class A 0.13% Fannie Mae, 6.000%, due 03/01/ % CPS Auto Trust, 1.540%, due 07/16/2018, Series 2013-D, Class A 0.13% Freddie Mac, 6.000%, due 11/15/2035, Series 3076, Class KZ 0.13% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Credit Suisse Mortgage Capital Certificates, 2.155%, due 03/27/2046, Series R, Class A1 0.13% Fannie Mae, 5.000%, due 08/01/ % Freddie Mac, 5.500%, due 12/01/ % JPMorgan Chase Commercial Mortgage Securities Corp., 5.814%, due 06/12/2043, Series 2006-CB15, Class A4 0.13% U.S. Treasury Bond, 8.000%, due 11/15/ % Blackstone Holdings Finance Co., LLC, 5.875%, due 03/15/ % Fannie Mae, 0.404%, due 06/27/2036, Series , Class A2 0.12% UBS-BAMLL Trust, 3.663%, due 06/10/2030, Series 2012-WRM, Class A 0.12% Fannie Mae, 5.500%, due 01/25/2026, Series , Class DX 0.12% AT&T, Inc., 3.875%, due 08/15/ % Ohio State University, 4.800%, due 06/01/ % Wells Fargo Mortgage Backed Securities Trust, 2.621%, due 03/25/2035, Series 2005-AR3, Class 1A1 0.12% U.S. Treasury Note, 2.000%, due 04/30/ % Tennessee Valley Authority, Zero Coupon, due 11/01/ % Freddie Mac, 3.979%, due 02/01/ %

5 Freddie Mac, 7.500%, due 12/15/2036, Series 3704, Class ET 0.11% Freddie Mac, 6.500%, due 12/01/2036, Series P % Springleaf Mortgage Loan Trust, 6.000%, due 10/25/2057, Series A, Class M4 0.11% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Freddie Mac, 4.000%, due 11/15/2041, Series 3957, Class B 0.11% American General Mortgage Loan Trust, 5.750%, due 09/25/2048, Series , Class A7 0.11% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % VOLT XXI LLC, 3.625%, due 11/25/2053, Series 2013-NPL7, Class A1 0.11% Freddie Mac, 6.500%, due 07/15/2036, Series 3195, Class PD 0.11% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Fannie Mae, 5.000%, due 08/01/ % Residual Funding Corp., Zero Coupon, due 07/15/ % Prudential Insurance Co. of America, 8.300%, due 07/01/ % Fannie Mae, 0.704%, due 08/25/2041, Series , Class FA 0.11% American General Mortgage Loan Trust, 5.650%, due 03/25/2058, Series A, Class A3 0.11% Springleaf Mortgage Loan Trust, 4.050%, due 01/25/2058, Series A, Class A1 0.11% GMAC Mortgage Corp., Loan Trust, 6.500%, due 01/25/2035, Series 2004-J5, Class A7 0.11% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Ginnie Mae, 5.500%, due 09/20/ % Freddie Mac, 7.500%, due 11/15/2036, Series 3704, Class DT 0.10% Freddie Mac, 5.300%, due 01/15/2033, Series 2557, Class HL 0.10% Citigroup, Inc., 6.000%, due 08/15/ % Fannie Mae, 4.500%, due 10/25/2039, Series , Class J 0.10% Kansas City Power & Light Co., 5.300%, due 10/01/ % Freddie Mac, 5.000%, due 08/01/ % Fannie Mae, 6.000%, due 05/25/2037, Series , Class B 0.10% Fannie Mae, 5.000%, due 01/25/2024, Series , Class BA 0.10% Pacific Life Insurance Co., 9.250%, due 06/15/ % Fannie Mae, 5.750%, due 08/25/2034, Series 2004-W10, Class A6 0.10% Ginnie Mae, 7.000%, due 10/16/2040, Series , Class CP 0.10% Fannie Mae, 5.500%, due 10/01/ % Freddie Mac, 5.000%, due 03/15/2041, Series 3822, Class HY 0.10% Freddie Mac, 5.000%, due 07/15/2041, Series 3890, Class ME 0.10% Fannie Mae, 4.250%, due 04/01/ % GSMPS Mortgage Loan Trust, 0.504%, due 09/25/2035, Series 2005-RP3, Class 1AF 0.10% Fannie Mae, 5.000%, due 08/25/2039, Series , Class HB 0.10% Springleaf Mortgage Loan Trust, 6.000%, due 09/25/2057, Series A, Class M3 0.10% CPS Auto Trust, 2.520%, due 09/16/2019, Series 2012-B, Class A 0.10% Wells Fargo Mortgage Backed Securities Trust, 2.638%, due 07/25/2034, Series 2004-I, Class 1A1 0.10% VOLT XIX LLC, 3.625%, due 04/25/2055, Series 2013-NPL5, Class A1 0.10% Fannie Mae, 6.000%, due 10/25/2036, Series , Class PD 0.10% Wells Fargo Mortgage Backed Securities Trust, 2.652%, due 10/25/2034, Series 2004-U, Class A1 0.09% Fannie Mae, 5.500%, due 07/25/2040, Series , Class HJ 0.09% Citigroup Mortgage Loan Trust, Inc., 2.707%, due 11/25/2038, Series 2008-AR4, Class 1A1A 0.09% Fannie Mae, 4.540%, due 01/01/ % Fannie Mae, 6.000%, due 09/01/ % Ginnie Mae, 6.500%, due 12/20/2034, Series %

6 Fannie Mae, 2.875%, due 03/01/ % AIG SunAmerica Global Financing X, 6.900%, due 03/15/ % Gap, Inc., 5.950%, due 04/12/ % GE Capital Commercial Mortgage Corp., 4.826%, due 06/10/2048, Series 2005-C1, Class AJ 0.09% CW Capital Cobalt, Ltd., 5.254%, due 08/15/2048, Series 2006-C1, Class AM 0.09% Johnson Controls, Inc., 5.250%, due 12/01/ % Thomson Reuters Corp., 3.950%, due 09/30/ % U.S. Treasury Bond, 5.500%, due 08/15/ % HSBC Holdings PLC, 5.100%, due 04/05/ % Sempra Energy, 9.800%, due 02/15/ % WEA Finance LLC / WT Finance AUST Pty, Ltd., 6.750%, due 09/02/ % BCAP LLC Trust, 2.278%, due 05/26/2037, Series 2012-RR3, Class 2A5 0.09% ING Bank NV, 3.750%, due 03/07/ % Freddie Mac, 5.500%, due 01/15/2039, Series 3501, Class CB 0.09% U.S. Treasury Bond, 2.125%, due 08/31/ % Weatherford International, Ltd., 9.875%, due 03/01/ % Normandy Mortgage Loan Trust, 4.949%, due 09/16/2043, Series 2013-NPL3, Class A 0.09% General Electric Capital Corp., 4.650%, due 10/17/ % Fannie Mae, 5.500%, due 07/01/ % U.S. Treasury Note, 2.125%, due 08/15/ % Ginnie Mae, 7.000%, due 08/16/2039, Series , Class AB 0.09% Credit Suisse Mortgage Capital Certificates, 3.428%, due 06/25/2050, Series , Class A4 0.09% GSR Mortgage Loan Trust, 6.000%, due 09/25/2034, Series F, Class 2A3 0.09% Capital One Bank USA NA, 3.375%, due 02/15/ % Fannie Mae, 6.000%, due 02/01/ % Freddie Mac, 6.000%, due 04/15/2036, Series R006, Class ZA 0.09% Rio Tinto Finance USA, Ltd., 3.750%, due 09/20/ % Freddie Mac, 0.555%, due 02/15/2033, Series 2994, Class FC 0.09% Fannie Mae, 0.707%, due 08/01/ % Structured Asset Securities Corp., 4.690%, due 02/25/2035, Series 2005-NC1, Class A % VNO Mortgage Trust, 2.996%, due 11/15/2030, Series AVE, Class A 0.09% Ginnie Mae, due 12/20/2040, Series , Class OP 0.09% Fannie Mae, %, due 03/25/2040, Series , Class SC 0.09% American Honda Finance Corp., 2.600%, due 09/20/ % GSR Mortgage Loan Trust, 5.250%, due 06/25/2033, Series F, Class 1A4 0.08% ENI SpA, 5.700%, due 10/01/ % Wells Fargo Mortgage Backed Securities Trust, 2.615%, due 09/25/2034, Series 2004-R, Class 2A1 0.08% Freddie Mac, 6.000%, due 01/15/2036, Series 3101, Class UZ 0.08% Fannie Mae, 6.000%, due 05/25/2031, Series , Class ZA 0.08% Fannie Mae, due 01/25/2037, Series % International Business Machines Corp., 1.625%, due 05/15/ % Freddie Mac, 3.162%, due 03/01/2036, Series 1J % Freddie Mac, 6.500%, due 12/01/2035, Series G % Nationwide Mutual Insurance Co., 9.375%, due 08/15/ % AT&T, Inc., 5.350%, due 09/01/ % Fannie Mae, 5.839%, due 05/25/2051, Series , Class WA 0.08% Oncor Electric Delivery Co., LLC, 6.800%, due 09/01/ % Ginnie Mae, 6.000%, due 11/20/2033, Series , Class PE 0.08%

7 Freddie Mac, 6.500%, due 08/15/2021, Series 2345, Class QH 0.08% Port Authority of New York & New Jersey, 4.458%, due 10/01/ % Credit Suisse Mortgage Capital Certificates, 3.250%, due 07/27/2037, Series R, Class 1A1 0.08% Oracle Corp., 6.125%, due 07/08/ % Westgate Resorts LLC, 3.000%, due 01/20/2025, Series A, Class A 0.08% Qwest Corp., 6.750%, due 12/01/ % BCAP LLC Trust, 2.478%, due 07/26/2045, Series 2010-RR7, Class 2A1 0.08% Bank of Nova Scotia, 2.550%, due 01/12/ % PSEG Power LLC, 5.320%, due 09/15/ % Ginnie Mae, 0.609%, due 03/20/2060, Series 2012-H24, Class FA 0.08% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Israel Government AID Bond, Zero Coupon, due 11/15/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % GMAC Mortgage Corp., Loan Trust, 2.844%, due 12/19/2033, Series 2003-AR2, Class 2A4 0.08% Fannie Mae, 6.500%, due 10/01/ % Fannie Mae, 8.328%, due 11/25/2037, Series , Class AN 0.08% Freddie Mac, 5.000%, due 08/15/2036, Series 3203, Class ZM 0.08% Academic Loan Funding Trust, 0.954%, due 12/27/2022, Series A, Class A1 0.08% Residual Funding Corp., Zero Coupon, due 10/15/ % Freddie Mac, 5.045%, due 01/01/ % Macquarie Group, Ltd., 7.625%, due 08/13/ % American Municipal Power, Inc., 7.499%, due 02/15/ % Occidental Petroleum Corp., 2.700%, due 02/15/ % Westpac Banking Corp., 4.875%, due 11/19/2019, Series A, Class A 0.08% Teva Pharmaceutical Finance Co., BV, 3.650%, due 11/10/ % American Express Co., 7.000%, due 03/19/ % Corp. Andina de Fomento, 3.750%, due 01/15/ % Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.727%, due 07/10/2043, Series , Class AM 0.07% Hess Corp., 7.875%, due 10/01/ % Time Warner Cable, Inc., 6.550%, due 05/01/ % Fannie Mae, 6.000%, due 10/01/2028, Series % MASTR Adjustable Rate Mortgages Trust, 2.641%, due 04/21/2034, Series , Class 2A1 0.07% VOLT NPL IX LLC, 4.250%, due 04/25/2053, Series 2013-NPL3, Class A1 0.07% RBSHD Trust, 4.685%, due 10/25/2047, Series A, Class A 0.07% Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.350%, due 02/23/ % Anheuser-Busch InBev Worldwide, Inc., 7.750%, due 01/15/ % GTP Acquisition Partners I LLC, 4.347%, due 06/15/2016, Series 2005-FF11, Class A2D 0.07% RAMP Trust, 0.454%, due 03/25/2036, Series 2006-RZ1, Class A3 0.07% Principal Life Global Funding II, 2.250%, due 10/15/ % Fannie Mae, Zero Coupon, due 11/15/ % Fannie Mae, 6.000%, due 07/01/2024, Series AE % Springleaf Mortgage Loan Trust, 1.870%, due 09/25/2057, Series A, Class A 0.07% Merrill Lynch Mortgage Trust, 5.657%, due 05/12/2039, Series 2006-C1, Class A4 0.07% Freddie Mac, 5.000%, due 07/15/2033, Series 2645, Class PE 0.07% ASG Resecuritization Trust, 2.080%, due 03/26/2037, Series , Class A % Freddie Mac, 6.500%, due 04/15/2028, Series 2044, Class PE 0.07% MidAmerican Energy Holdings Co., 3.750%, due 11/15/ %

8 U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Fannie Mae, 5.500%, due 12/25/2032, Series , Class Z 0.07% Freddie Mac, 5.720%, due 10/15/2038, Series 3895, Class WA 0.07% Berkshire Hathaway, Inc., 3.750%, due 08/15/ % Fannie Mae, Zero Coupon, due 06/01/2017, Series 2006-GG6, Class A4 0.07% Freddie Mac, 2.550%, due 12/01/ % Fannie Mae, 6.000%, due 08/01/ % Fannie Mae, 6.500%, due 09/01/2038, Series AC % Province of Ontario Canada, 1.650%, due 09/27/ % US Residential Opportunity Fund Trust, 3.466%, due 03/25/2034, Series A 0.07% Freddie Mac, 5.500%, due 12/01/ % BCAP LLC Trust, 0.324%, due 08/26/2036, Series 2012-RR2, Class 1A1 0.07% JPMorgan Mortgage Trust, 2.546%, due 11/25/2033, Series 2006-A2, Class 5A3 0.07% BCAP LLC Trust, 5.000%, due 08/26/2037, Series 2011-RR4, Class 6A3 0.07% Fannie Mae, 0.613%, due 08/25/2019, Series 2012-M11, Class FA 0.07% Countrywide Home Loan Mortgage Pass-Through Trust, 5.250%, due 01/25/2034, Series 2003-J13, Class 1A7 0.07% Metropolitan Life Global Funding I, 3.875%, due 04/11/ % Goldman Sachs Group, Inc., 6.250%, due 09/01/ % Fannie Mae, 6.000%, due 11/25/2039, Series , Class AD 0.07% Mexico Government International Bond, 3.500%, due 01/21/ % Freddie Mac, %, due 02/15/2040, Series 3632, Class BS 0.07% Freddie Mac, 3.299%, due 10/25/2037, Series T-76, Class 2A 0.07% BCAP LLC Trust, 5.051%, due 05/26/2035, Series 2010-RR8, Class 3A4 0.07% BlackRock, Inc., 6.250%, due 09/15/ % Telefonica Emisiones SAU, 5.877%, due 07/15/ % DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 6.000%, due 08/15/ % JPMorgan Chase Commercial Mortgage Securities Trust, 5.390%, due 08/12/2037, Series 2005-CB11, Class AJ 0.07% Fannie Mae, 7.000%, due 12/25/2033, Series 2004-W1, Class 2A2 0.07% Fannie Mae, due 12/25/2043, Series % CenterPoint Energy Resources Corp., 6.125%, due 11/01/ % Ginnie Mae, 5.750%, due 02/20/2036, Series , Class QA 0.06% U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Statoil ASA, 5.250%, due 04/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % NiSource Finance Corp., 6.800%, due 01/15/ % HLSS Servicer Advance Receivables Backed Notes, 1.981%, due 11/15/2046, Series 2013-T7, Class AT7 0.06% Fannie Mae, due 10/25/2037, Series , Class OT 0.06% Fannie Mae, 3.230%, due 11/01/ % Madison Avenue Manufactured Housing Contract, 2.404%, due 03/25/2032, Series 2002-A, Class M2 0.06% MASTR Asset Securitization Trust, 5.250%, due 12/25/2033, Series , Class 9A6 0.06% Bank of America Corp., 6.875%, due 04/25/ % CVS Pass-Through Trust, 5.926%, due 01/10/ % Exeter Automobile Receivables Trust, 1.290%, due 05/15/2018, Series A, Class A 0.06% Fannie Mae, %, due 05/25/2035, Series , Class SK 0.06% Devon Energy Corp., 6.300%, due 01/15/ % Fannie Mae, 6.000%, due 03/25/2029, Series , Class AB 0.06% BXG Receivables Note Trust, 2.660%, due 12/02/2027, Series 2012-A, Class A 0.06%

9 Citigroup, Inc., 8.500%, due 05/22/ % PNC Bank NA, 6.875%, due 04/01/ % State of California - Build America Bonds, 7.300%, due 10/01/ % Kroger Co., 3.400%, due 04/15/ % Capital One Financial Corp., 4.750%, due 07/15/ % Fannie Mae, due 03/25/2036, Series , Class WQ 0.06% WaMu Mortgage Pass-Through Certificates, 2.439%, due 06/25/2033, Series 2003-AR6, Class A1 0.06% Freddie Mac, 4.479%, due 07/01/ % Fannie Mae, 2.513%, due 12/25/2039, Series , Class MB 0.06% BHP Billiton Finance USA, Ltd., 3.250%, due 11/21/ % Morgan Stanley Capital I, Inc., 4.054%, due 07/15/2049, Series 2011-C3, Class A3 0.06% Anadarko Finance Co., 7.500%, due 05/01/2031, Series B 0.06% Total Capital International SA, 2.875%, due 02/17/ % CPS Auto Trust, 1.820%, due 12/16/2019, Series 2012-C, Class A 0.06% Freddie Mac, 6.732%, due 11/15/2021, Series 3688, Class CU 0.06% Celgene Corp., 1.900%, due 08/15/ % Anadarko Holding Co., 7.150%, due 05/15/ % Westgate Resorts LLC, 4.500%, due 09/20/2025, Series , Class A 0.06% AXIS Equipment Finance Receivables II LLC, 1.750%, due 03/20/2017, Series A, Class A 0.06% Fannie Mae, 7.500%, due 12/25/2041, Series 2002-T4, Class A3 0.06% NYMT Residential, LLC, 4.850%, due 09/25/2018, Series 2013-RP3A 0.06% Freddie Mac, 6.500%, due 05/01/2035, Series G04495, Class F1 0.06% International Business Machines Corp., 7.000%, due 10/30/ % Mexico Government International Bond, 4.750%, due 03/08/ % UBS-Barclays Commercial Mortgage Trust, 3.525%, due 05/10/2063, Series 2012-C2, Class A4 0.06% Freddie Mac, 6.500%, due 02/15/2026, Series 1818, Class Z 0.06% Vendee Mortgage Trust, 6.750%, due 06/15/2028, Series , Class 1G 0.06% Ecolab, Inc., 5.500%, due 12/08/ % Impac Secured Assets CMN Owner Trust, 0.504%, due 05/25/2036, Series , Class 2A1 0.06% NiSource Finance Corp., 5.800%, due 02/01/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Fannie Mae, 6.500%, due 08/01/ % African Development Bank, 8.800%, due 09/01/ % Sequoia Mortgage Trust, 0.457%, due 12/20/2034, Series , Class A1 0.06% Ginnie Mae, 6.500%, due 12/20/2031, Series , Class Z 0.06% Jefferies Group LLC, 8.500%, due 07/15/ % Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.889%, due 07/10/2044, Series , Class A4 0.06% CW Capital Cobalt, Ltd., 5.223%, due 08/15/2048, Series 2006-C1, Class A4 0.06% Freddie Mac, 2.930%, due 05/01/2037, Series 1J % BCAP LLC Trust, 0.346%, due 05/26/2036, Series 2012-RR10, Class 3A1 0.06% A10 Securitization LLC, 3.492%, due 04/15/2024, Series , Class A 0.06% Eaton Corp., 7.625%, due 04/01/ % E.I. du Pont de Nemours & Co., 5.600%, due 12/15/ % Fannie Mae, 6.000%, due 05/25/2032, Series , Class Z 0.06% Koninklijke Philips NV, 3.750%, due 03/15/ % Freddie Mac, 6.250%, due 10/15/2023, Series 1591, Class PV 0.06%

10 General Electric Capital Corp., 6.750%, due 03/15/ % Orange SA, 9.000%, due 03/01/ % State Street Corp., 3.700%, due 11/20/ % Westpac Banking Corp., 2.450%, due 11/28/ % Australia & New Zealand Banking Group, Ltd., 2.400%, due 11/23/ % Viacom, Inc., 3.875%, due 12/15/ % Exelon Generation Co., LLC, 4.000%, due 10/01/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Alberta Energy Co., Ltd., 7.375%, due 11/01/ % Fannie Mae, 5.500%, due 08/25/2025, Series , Class EY 0.06% Duke Energy Progress, Inc., 3.000%, due 09/15/ % AGL Capital Corp., 3.500%, due 09/15/ % WaMu Mortgage Pass-Through Certificates, 2.439%, due 06/25/2034, Series 2004-AR3, Class A2 0.06% LVII Resecuritization Trust, 5.216%, due 11/27/2037, Series , Class M3 0.06% Koninklijke Philips NV, 7.200%, due 06/01/ % Southern California Edison Co., 3.900%, due 12/01/ % Freddie Mac, due 05/15/2037, Series % Freddie Mac, 0.405%, due 08/15/2023, Series 3229, Class AF 0.05% Xerox Corp., 5.625%, due 12/15/ % Freddie Mac, due 12/15/2036, Series 3671, Class QO 0.05% Citigroup Mortgage Loan Trust, Inc., 2.419%, due 09/25/2033, Series , Class 1A1 0.05% Countrywide Financial Corp., 6.250%, due 05/15/ % BB&T Corp., 4.900%, due 06/30/ % Citigroup Mortgage Loan Trust, Inc., 5.750%, due 05/25/2037, Series , Class 3A1 0.05% Travelers Property Casualty Corp., 7.750%, due 04/15/ % Spectra Energy Capital LLC, 8.000%, due 10/01/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Intel Corp., 3.300%, due 10/01/ % Ginnie Mae, 5.836%, due 10/20/2033, Series , Class WA 0.05% Nordea Bank AB, 3.125%, due 03/20/2017, Series 2012-B, Class A2A 0.05% HP Enterprise Services LLC, 7.450%, due 10/15/ % Fannie Mae, 6.436%, due 03/25/2040, Series , Class WA 0.05% Fannie Mae, 6.000%, due 11/01/2037, Series % Ford Motor Credit Co. LLC, 2.375%, due 03/12/ % Asset Backed Funding Certificates, 5.010%, due 06/25/2035, Series 2005-AQ1, Class A4 0.05% Amgen, Inc., 5.150%, due 11/15/ % National Australia Bank, Ltd., 2.000%, due 06/20/2017, Series 2012-RP1A 0.05% Fannie Mae, 6.500%, due 02/01/2024, Series % Ford Motor Credit Co. LLC, 3.984%, due 06/15/ % WF-RBS Commercial Mortgage Trust, 4.375%, due 03/15/2044, Series 2011-C3, Class A4 0.05% Macquarie Group, Ltd., 6.250%, due 01/14/2021, Series 2012-A, Class A4 0.05% Dow Chemical Co., 8.550%, due 05/15/ % Fannie Mae, %, due 04/25/2040, Series , Class SJ 0.05% Fannie Mae, 6.185%, due 02/25/2040, Series , Class WA 0.05% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Structured Asset Securities Corp., 5.490%, due 02/25/2034, Series XS, Class 1A5 0.05% Ginnie Mae, %, due 04/20/2037, Series , Class NS 0.05% U.S. Treasury Bond, 4.375%, due 02/15/ % Sequoia Mortgage Trust, 0.457%, due 12/20/2034, Series , Class A3 0.05% Freddie Mac, 6.000%, due 04/15/2036, Series 3137, Class XP 0.05%

11 Nissan Auto Receivables Owner Trust, 0.420%, due 11/15/2016, Series 2014-A, Class A2 0.05% Freddie Mac, 5.500%, due 06/15/2025, Series 2988, Class TY 0.05% Ally Auto Receivables Trust, 0.790%, due 01/15/2018, Series , Class A3 0.05% Comcast Cable Holdings LLC, %, due 04/15/ % BCAP LLC Trust, 0.305%, due 05/28/2036, Series 2011-RR5, Class 11A3 0.05% Burlington Northern Santa Fe LLC, 5.750%, due 05/01/ % AT&T, Inc., 6.300%, due 01/15/ % Illinois Tool Works, Inc., 3.900%, due 09/01/ % Structured Asset Securities Corp., 5.540%, due 12/25/2033, Series H, Class A4 0.05% RAMP Trust, 4.320%, due 03/25/2034, Series 2004-RZ1, Class M1 0.05% Ginnie Mae, 5.500%, due 09/20/2039, Series , Class MN 0.05% Transocean, Inc., 6.500%, due 11/15/ % Banc of America Mortgage Securities, Inc., 2.817%, due 04/25/2034, Series 2004-C, Class 2A2 0.05% Countrywide Home Loan Mortgage Pass-Through Trust, 5.500%, due 06/25/2034, Series , Class 1A4 0.05% Port Authority of New York & New Jersey, 5.647%, due 11/01/2040, Series B 0.05% Countrywide Home Loan Mortgage Pass-Through Trust, 5.750%, due 04/25/2034, Series , Class A4 0.05% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Fannie Mae, 6.546%, due 03/25/2036, Series , Class WN 0.05% Verizon Communications, Inc., 5.050%, due 03/15/ % Intel Corp., 4.800%, due 10/01/ % Fannie Mae, 7.500%, due 04/01/2039, Series AD % Hydro-Quebec, 8.400%, due 01/15/ % Cargill, Inc., 3.300%, due 03/01/ % Fluor Corp., 3.375%, due 09/15/ % Freddie Mac, 5.500%, due 12/15/2034, Series 3130, Class KZ 0.05% Metropolitan Life Global Funding I, 3.650%, due 06/14/ % Dominion Resources, Inc., 5.250%, due 08/01/ % MASTR Adjustable Rate Mortgages Trust, 2.649%, due 11/21/2034, Series , Class 3A7 0.05% Fannie Mae, due 03/25/2036, Series , Class OP 0.05% Fannie Mae, 5.500%, due 03/01/2033, Series % Citigroup Commercial Mortgage Trust, 5.431%, due 10/15/2049, Series 2006-C5, Class A4 0.05% PPG Industries, Inc., 6.650%, due 03/15/ % Residential Credit Solutions Trust, 6.000%, due 03/25/2041, Series , Class A1 0.05% Commonwealth Bank of Australia, 2.250%, due 03/16/ % Daimler Finance North America LLC, 2.875%, due 03/10/ % Fannie Mae, 7.000%, due 06/25/2042, Series 2002-W8, Class A2 0.05% Freddie Mac, 4.500%, due 06/15/2018, Series 2627, Class CY 0.05% Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.634%, due 07/10/2046, Series , Class A4 0.05% Mexico Government International Bond, 5.750%, due 10/12/2110, Series , Class A2 0.05% Fannie Mae, 6.000%, due 08/01/2022, Series % Fannie Mae, 6.000%, due 09/01/2027, Series % Centel Capital Corp., 9.000%, due 10/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % First Horizon Asset Securities, Inc., 2.627%, due 05/25/2034, Series 2004-AR2, Class 2A1 0.05% Appalachian Power Co., 6.700%, due 08/15/ %

12 Merrill Lynch Mortgage Trust, 5.368%, due 01/12/2044, Series 2005-LC1, Class AJ 0.05% Impac Secured Assets CMN Owner Trust, 0.504%, due 08/25/2036, Series , Class 2A1 0.05% Springleaf Mortgage Loan Trust, 2.660%, due 12/25/2059, Series A, Class M1 0.05% Fannie Mae, 6.500%, due 06/01/2023, Series % Penske Truck Leasing Co., LP / PTL Finance Corp., 4.875%, due 07/11/ % Bank of New York Mellon Corp., 3.550%, due 09/23/ % WaMu Mortgage Pass-Through Certificates, 5.500%, due 06/25/2034, Series 2004-S2, Class 2A4 0.05% UBS-Barclays Commercial Mortgage Trust, 1.787%, due 05/10/2063, Series 2012-C2, Class XA 0.05% Credit Suisse First Boston Mortgage Securities Corp., 5.500%, due 12/25/2034, Series , Class 1A4 0.05% Fannie Mae, due 08/01/2032, Series 326, Class % Pacific Gas & Electric Co., 4.500%, due 12/15/ % Freddie Mac, 2.368%, due 11/01/ % RBSSP Resecuritization Trust, 6.500%, due 02/26/2036, Series , Class 1A1 0.05% Freddie Mac, 6.500%, due 02/25/2043, Series T-54, Class 2A 0.05% Florida Power & Light Co., 5.950%, due 10/01/ % Freddie Mac, due 02/15/2036, Series 3117, Class OG 0.05% Freddie Mac, 5.500%, due 03/01/2027, Series D % Southwestern Public Service Co., 8.750%, due 12/01/2018, Series G 0.05% ERP Operating, LP, 4.625%, due 12/15/ % Verizon Communications, Inc., 4.500%, due 09/15/ % Chase Funding Mortgage Loan Asset-Backed Certificates, 5.350%, due 11/25/2034, Series , Class 1A5 0.05% Stadshypotek AB, 1.875%, due 10/02/ % Freddie Mac, due 01/15/2040, Series 3623, Class LO 0.05% Dominion Resources, Inc., 6.000%, due 11/30/ % Freddie Mac, due 01/15/2036, Series % BCAP LLC Trust, 5.361%, due 04/26/2037, Series 2010-RR5, Class 2A5 0.05% Mosaic Co., 5.450%, due 11/15/ % Freddie Mac, due 10/15/2039, Series 3607, Class TO 0.05% John Sevier Combined Cycle Generation LLC, 4.626%, due 01/15/ % Mondelez International, Inc., 4.000%, due 02/01/ % Banc of America Funding Corp., 5.500%, due 10/25/2034, Series , Class 1A1 0.05% Structured Asset Mortgage Investments, Inc., 0.816%, due 10/19/2034, Series 2004-AR5, Class 1A1 0.05% Fannie Mae, 2.560%, due 12/01/2036, Series % BCAP LLC Trust, 2.587%, due 08/26/2035, Series 2009-RR14, Class 3A2 0.05% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % RBSSP Resecuritization Trust, 4.000%, due 05/26/2037, Series , Class 7A5 0.05% CPS Auto Trust, 4.210%, due 03/15/2019, Series 2011-C, Class A 0.05% Chase Mortgage Finance Corp., 2.655%, due 07/25/2037, Series 2007-A2, Class 2A1 0.05% Freddie Mac, 6.000%, due 12/01/2036, Series A % U.S. Treasury Note, 1.500%, due 08/31/ % Macquarie Group, Ltd., 6.000%, due 01/14/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Fannie Mae, due 09/25/2036, Series , Class OB 0.04% Freddie Mac, 5.500%, due 11/15/2032, Series 2527, Class ZW 0.04% Fannie Mae, 6.500%, due 11/01/2029, Series %

13 Walgreen Co., 3.100%, due 09/15/ % DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.800%, due 03/15/ % Enel Finance International NV, 5.125%, due 10/07/ % Pacific Gas & Electric Co., 8.250%, due 10/15/ % Nordea Bank AB, 1.625%, due 05/15/ % Freddie Mac, 7.500%, due 02/25/2042, Series T-42, Class A5 0.04% BCAP LLC Trust, 4.500%, due 01/26/2036, Series 2010-RR12, Class 2A5 0.04% HLSS Servicer Advance Receivables Trust, 1.990%, due 10/15/2045, Series 2012-T2, Class A2 0.04% BAE Systems PLC, 5.800%, due 10/11/2041, Series A, Class A 0.04% Fannie Mae, 4.846%, due 07/25/2040, Series , Class SA 0.04% Fannie Mae, 5.964%, due 06/25/2040, Series , Class WA 0.04% Freddie Mac, 2.352%, due 12/01/2036, Series 1J % Nevada Power Co., 6.500%, due 08/01/ % TransCanada PipeLines, Ltd., 7.125%, due 01/15/ % Freddie Mac, 2.219%, due 12/01/2036, Series 1J % Union Carbide Corp., 7.500%, due 06/01/ % Credit Suisse First Boston Mortgage Securities Corp., 5.500%, due 09/25/2034, Series , Class 2A4 0.04% Banc of America Alternative Loan Trust, 6.000%, due 02/25/2034, Series , Class 1A1 0.04% Deutsche Telekom International Finance BV, 8.750%, due 06/15/ % Chase Mortgage Finance Corp., 5.500%, due 03/25/2034, Series 2004-S3, Class 2A5 0.04% Banc of America Mortgage Securities, Inc., 5.500%, due 04/25/2034, Series , Class 1A % Springleaf Mortgage Loan Trust, 3.560%, due 12/25/2059, Series A, Class M2 0.04% Vodafone Group PLC, 1.625%, due 03/20/ % Stanwich Mortgage Loan Trust, 2.981%, due 09/15/2042, Series 2012-NPL4, Class A 0.04% Fannie Mae, 0.554%, due 05/25/2042, Series 2003-W8, Class 3F1 0.04% Fannie Mae, due 11/25/2023, Series , Class B 0.04% U.S. Treasury Bond, 6.125%, due 11/15/ % WellPoint, Inc., 3.125%, due 05/15/ % Fannie Mae, 5.500%, due 09/25/2033, Series , Class ZA 0.04% CSX Corp., 7.900%, due 05/01/ % Credit Suisse Mortgage Capital Certificates, 2.701%, due 07/28/2036, Series R, Class 3A1 0.04% Structured Asset Securities Corp., 5.550%, due 03/25/2034, Series XS, Class A5B 0.04% Structured Asset Securities Corp., 5.530%, due 03/25/2034, Series XS, Class A5A 0.04% Fannie Mae, 6.500%, due 05/01/2029, Series , Class A4 0.04% Talisman Energy, Inc., 7.750%, due 06/01/ % Nabors Industries, Inc., 4.625%, due 09/15/ % Deutsche Telekom International Finance BV, 6.000%, due 07/08/ % Bank of America Corp., 5.875%, due 02/07/ % Suncor Energy, Inc., 5.950%, due 12/01/2034, Series A, Class 2A1 0.04% Nevada Power Co., 5.450%, due 05/15/ % BP Capital Markets PLC, 3.245%, due 05/06/ % Apple, Inc., 2.400%, due 05/03/ % Fannie Mae, due 09/01/2024, Series 300, Class % Freddie Mac, due 09/15/2032, Series 3393, Class JO 0.04% MLCC Mortgage Investors, Inc., 2.146%, due 12/25/2034, Series , Class 2A1 0.04%

14 Citigroup Commercial Mortgage Trust, 4.830%, due 05/15/2043, Series 2005-C3, Class AM 0.04% PacifiCorp, 6.250%, due 10/15/ % Wells Fargo Mortgage Loan Trust, 2.847%, due 08/27/2037, Series 2012-RR1, Class A1 0.04% GMAT Trust, 3.721%, due 02/25/2044, Series A, Class A 0.04% Fannie Mae, %, due 09/25/2024, Series , Class SM 0.04% Freddie Mac, due 08/15/2036, Series % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Verizon Communications, Inc., 6.400%, due 09/15/ % Shell International Finance BV, 4.375%, due 03/25/ % Ryder System, Inc., 2.500%, due 03/01/ % Thermo Fisher Scientific, Inc., 4.150%, due 02/01/ % Lowe's Cos., Inc., 4.650%, due 04/15/ % Morgan Stanley Mortgage Loan Trust, 5.701%, due 04/25/2034, Series , Class 4A 0.04% General Electric Capital Corp., 5.400%, due 02/15/ % Exeter Automobile Receivables Trust, 1.300%, due 06/15/2017, Series A, Class A 0.04% Fannie Mae, 6.000%, due 01/01/2024, Series % Tennessee Valley Authority, Zero Coupon, due 05/01/ % Financing Corp. Fico, Zero Coupon, due 09/26/2019, Series D-P 0.04% RALI Trust, 5.500%, due 05/25/2034, Series 2004-QS7, Class A4 0.04% Alabama Power Co., 5.875%, due 12/01/2022, Series S 0.04% BP Capital Markets PLC, 1.846%, due 05/05/ % Fannie Mae, 6.500%, due 08/25/2036, Series , Class BZ 0.04% Goldman Sachs Group, Inc., 5.375%, due 03/15/2020, Series GMTN 0.04% America Movil SAB de CV, 2.375%, due 09/08/2016, Series , Class A2 0.04% PSEG Power LLC, 4.150%, due 09/15/ % ebay, Inc., 3.250%, due 10/15/ % CFC LLC, 1.460%, due 12/17/2018, Series A, Class A 0.04% JPMorgan Chase Commercial Mortgage Securities Corp., 0.310%, due 05/15/2047, Series 2006-LDP9, Class A3SF 0.04% LB-UBS Commercial Mortgage Trust, 5.833%, due 06/15/2038, Series 2006-C4, Class A4 0.04% Countrywide Home Loan Mortgage Pass-Through Trust, 5.000%, due 10/25/2033, Series , Class A6 0.04% Texas Eastern Transmission, LP, 2.800%, due 10/15/ % Ginnie Mae, 6.500%, due 12/20/2031, Series , Class Z 0.04% WaMu Mortgage Pass-Through Certificates, 5.500%, due 06/25/2033, Series 2003-S3, Class 1A4 0.04% CSX Corp., 7.375%, due 02/01/ % Arrow Electronics, Inc., 6.000%, due 04/01/ % Fannie Mae, 6.000%, due 04/01/ % Petrobras Global Finance BV, 6.250%, due 03/17/ % Banc of America Funding Corp., 5.500%, due 10/26/2037, Series 2010-R5, Class 1A1 0.04% Cleveland Electric Illuminating Co., 8.875%, due 11/15/ % DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 4.600%, due 02/15/ % CommonWealth REIT, 5.875%, due 09/15/2020, Series A, Class A1 0.04% Telefonica Emisiones SAU, 6.421%, due 06/20/ % ASG Resecuritization Trust, 2.438%, due 11/28/2035, Series , Class 3A % Freddie Mac, 6.000%, due 05/01/ % Fannie Mae, 6.000%, due 09/25/2046, Series 2006-W3, Class 2A 0.04% UnitedHealth Group, Inc., 3.375%, due 11/15/ % Placer Dome, Inc., 6.450%, due 10/15/ %

15 Deutsche Bank AG, 3.250%, due 01/11/ % WaMu Mortgage Pass-Through Certificates, 2.419%, due 09/25/2033, Series 2003-AR9, Class 1A6 0.04% Credit Suisse First Boston Mortgage Securities Corp., 4.730%, due 07/15/2037, Series 2005-C3, Class AM 0.04% ASG Resecuritization Trust, 5.096%, due 05/24/2036, Series , Class G % ConocoPhillips, 6.650%, due 07/15/ % Wells Fargo & Co., 3.676%, due 06/15/ % Fannie Mae, %, due 05/25/2034, Series , Class SA 0.04% CPS Auto Trust, 1.210%, due 08/15/2018, Series 2014-A, Class A 0.04% Morgan Stanley Capital I, Inc., 0.205%, due 10/12/2052, Series 2006-T21, Class X 0.04% Morgan Stanley Re-REMIC Trust, 0.250%, due 07/27/2049, Series 2012-XA, Class B 0.04% Wells Fargo Mortgage Backed Securities Trust, 2.634%, due 06/25/2035, Series 2005-AR8, Class 2A1 0.04% Amgen, Inc., 3.450%, due 10/01/ % Banc of America Funding Corp., 5.155%, due 08/26/2035, Series 2010-R11A, Class 1A6 0.04% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Chase Funding Mortgage Loan Asset-Backed Certificates, 0.714%, due 02/25/2033, Series , Class 2A2 0.04% Ginnie Mae, 6.500%, due 12/15/2035, Series , Class 2A1 0.04% Fannie Mae, 4.750%, due 09/25/2018, Series , Class HC 0.04% Svenska Handelsbanken AB, 3.125%, due 07/12/ % Indiana Michigan Power Co., 7.000%, due 03/15/ % Petrobras International Finance Co., 5.375%, due 01/27/ % AT&T, Inc., 4.300%, due 12/15/ % PPG Industries, Inc., 9.000%, due 05/01/ % Ginnie Mae, 4.000%, due 09/16/2037, Series , Class BI 0.04% Nordea Bank AB, 4.875%, due 05/13/ % BAE Systems Holdings, Inc., 5.200%, due 08/15/ % Freddie Mac, 5.000%, due 10/15/2039, Series 3795, Class EI 0.04% Banc of America Funding Corp., 3.000%, due 10/26/2039, Series 2012-R6, Class 1A1 0.04% Burlington Resources Finance Co., 7.400%, due 12/01/ % Time Warner, Inc., 7.625%, due 04/15/ % Citigroup, Inc., 5.375%, due 08/09/ % Nippon Telegraph & Telephone Corp., 1.400%, due 07/18/ % Heineken NV, 1.400%, due 10/01/ % Royal Bank of Canada, 1.200%, due 09/19/ % Credit Suisse Mortgage Capital Certificates, 3.428%, due 06/25/2050, Series , Class A3 0.04% RCMC LLC, 5.623%, due 11/15/2044, Series 2012-CRE1, Class A 0.04% Freddie Mac, %, due 10/01/2030, Series G % Morgan Stanley Capital I, Inc., 0.505%, due 12/15/2043, Series 2006-IQ12, Class X1 0.04% Novartis Capital Corp., 3.400%, due 05/06/ % Chase Mortgage Finance Corp., 2.706%, due 02/25/2037, Series 2007-A1, Class 2A1 0.04% Jersey Central Power & Light Co., 7.350%, due 02/01/ % ERAC USA Finance LLC, 6.700%, due 06/01/ % Aetna, Inc., 6.750%, due 12/15/ % BCAP LLC Trust, 4.532%, due 06/26/2036, Series 2010-RR6, Class 22A3 0.04% San Diego Gas & Electric Co., 6.000%, due 06/01/ % Freddie Mac, 5.500%, due 05/15/2038, Series 3453, Class B 0.04% Fannie Mae, %, due 04/25/2037, Series , Class SG 0.04%

16 Fannie Mae, due 05/25/2037, Series % Kerr-McGee Corp., 7.875%, due 09/15/ % WellPoint, Inc., 4.625%, due 05/15/ % Wachovia Bank Commercial Mortgage Trust, 5.215%, due 01/15/2041, Series 2004-C11, Class A5 0.03% Wachovia Bank Commercial Mortgage Trust, 0.104%, due 03/15/2045, Series 2006-C24, Class XC 0.03% Fannie Mae, due 12/01/2024, Series 293, Class % Morgan Stanley, 5.000%, due 11/24/ % Fannie Mae, %, due 11/25/2035, Series , Class US 0.03% Bunge, Ltd. Finance Corp., 8.500%, due 06/15/ % Fannie Mae, 0.394%, due 10/25/2046, Series 2006-W3, Class 1AF1 0.03% Fannie Mae, due 06/25/2035, Series , Class CO 0.03% Fannie Mae, 5.846%, due 06/25/2039, Series , Class KI 0.03% 21st Century Fox America, Inc., 7.700%, due 10/30/ % Fannie Mae, 6.500%, due 10/01/2036, Series % CenterPoint Energy Resources Corp., 4.500%, due 01/15/ % Southern Power Co., 5.150%, due 09/15/ % First Investors Auto Owner Trust, 1.470%, due 05/15/2018, Series A, Class A2 0.03% Fannie Mae, 6.500%, due 12/01/2027, Series % MassMutual Global Funding II, 2.000%, due 04/05/ % Turkey Government International Bond, 5.750%, due 03/22/ % Fannie Mae, 7.000%, due 12/25/2041, Series 2001-T10, Class A1 0.03% Fannie Mae, 7.000%, due 07/25/2042, Series 2002-T19, Class A2 0.03% Ginnie Mae, 5.500%, due 05/16/2019, Series , Class V 0.03% Xerox Corp., 6.750%, due 02/01/ % Ginnie Mae, due 01/20/2038, Series % Ginnie Mae, 6.043%, due 05/20/2037, Series , Class SW 0.03% Countrywide Home Loan Mortgage Pass-Through Trust, 5.500%, due 04/25/2034, Series , Class A % Wells Fargo Mortgage Backed Securities Trust, 5.500%, due 05/25/2034, Series , Class A9 0.03% Fannie Mae, due 03/25/2037, Series , Class BO 0.03% RFMSI Trust, 5.750%, due 03/25/2033, Series 2003-S4, Class A4 0.03% MidAmerican Energy Holdings Co., 6.125%, due 04/01/ % Credit Suisse Mortgage Capital Certificates, 3.500%, due 12/27/2036, Series R, Class 7A3 0.03% Spectra Energy Capital LLC, 6.200%, due 04/15/ % Southern California Edison Co., 6.650%, due 04/01/ % American Honda Finance Corp., 7.625%, due 10/01/ % Anheuser-Busch InBev Worldwide, Inc., 8.200%, due 01/15/ % Provident Funding Mortgage Loan Trust, 2.519%, due 05/25/2035, Series , Class 2A1 0.03% Discovery Communications LLC, 4.375%, due 06/15/ % Ginnie Mae, 7.500%, due 10/15/2037, Series % Nomura Holdings, Inc., 5.000%, due 03/04/ % Freddie Mac, %, due 03/17/2026, Series G80341, Class F1 0.03% Fannie Mae, 5.500%, due 01/01/2018, Series , Class PI 0.03% Orange SA, 2.750%, due 09/14/ % Kraft Foods Group, Inc., 5.375%, due 02/10/ % WEA Finance LLC / WT Finance AUST Pty, Ltd., 3.375%, due 10/03/2022, Series 2012-RP3A, Class A 0.03%

17 Ford Motor Credit Co. LLC, 1.500%, due 01/17/ % CW Capital Cobalt, Ltd., 0.834%, due 08/15/2048, Series 2006-C1 0.03% Fannie Mae, 7.500%, due 08/25/2041, Series 2001-T12, Class A2 0.03% Freddie Mac, 5.500%, due 02/01/2018, Series P10030, Class 1A3A 0.03% Petro-Canada, 6.050%, due 05/15/ % Johnson Controls, Inc., 4.250%, due 03/01/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % PPG Industries, Inc., 7.400%, due 08/15/ % Fannie Mae, 5.500%, due 11/01/2032, Series , Class SA 0.03% Province of Quebec Canada, 6.350%, due 01/30/ % Ginnie Mae, due 06/16/2037, Series % Schlumberger Investment SA, 3.300%, due 09/14/ % Vendee Mortgage Trust, 7.250%, due 02/15/2023, Series , Class ZB 0.03% Waste Management, Inc., 4.750%, due 06/30/ % Kroger Co., 6.150%, due 01/15/ % Ginnie Mae, due 11/20/2035, Series , Class BO 0.03% WaMu Mortgage Pass-Through Certificates, 6.000%, due 10/25/2019, Series 2004-CB3, Class 4A 0.03% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Time Warner Entertainment Co., LP, 8.375%, due 07/15/ % Ginnie Mae, 6.000%, due 12/20/2035, Series , Class PB 0.03% Kgs Alpha SBA Coof TR 08/37 1, 0.859%, due 08/25/ % Fannie Mae, 2.519%, due 11/01/2036, Series % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Fannie Mae, 6.000%, due 07/01/2026, Series % GMAT Trust, 3.967%, due 11/25/2043, Series A, Class A 0.03% Ford Motor Credit Co. LLC, 4.250%, due 09/20/ % CD Commercial Mortgage Trust, 0.150%, due 12/11/2049, Series 2007-CD4, Class XC 0.03% RAMP Trust, 0.494%, due 10/25/2035, Series 2005-EFC5, Class A3 0.03% Sequoia Mortgage Trust, 0.667%, due 01/20/2035, Series , Class A3 0.03% Novartis Capital Corp., 2.400%, due 09/21/ % JPMorgan Mortgage Trust, 3.398%, due 02/25/2035, Series 2005-A1, Class 3A4 0.03% Freddie Mac, 6.500%, due 03/01/2038, Series G % National Rural Utilities Cooperative Finance Corp., %, due 11/01/ % Ginnie Mae, 6.500%, due 04/20/2028, Series , Class ED 0.03% Fannie Mae, 4.286%, due 11/25/2040, Series , Class SA 0.03% Poland Government International Bond, 4.000%, due 01/22/ % Morgan Stanley Re-REMIC Trust, 4.970%, due 04/16/2040, Series 2010-HQ4B, Class A7A 0.03% AGL Capital Corp., 6.375%, due 07/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % John Deere Capital Corp., 2.250%, due 04/17/ % Freddie Mac, due 01/15/2040, Series % Tosco Corp., 8.125%, due 02/15/ % Freddie Mac, 4.500%, due 07/15/2037, Series 3747, Class HI 0.03% Arizona Public Service Co., 5.050%, due 09/01/2041, Series RA, Class A2 0.03% Fannie Mae, 0.444%, due 07/25/2036, Series , Class FC 0.03% Shell International Finance BV, 4.300%, due 09/22/ % Salomon Brothers Mortgage Securities VII, Inc., 2.618%, due 09/25/2033, Series 2003-HYB1, Class A 0.03% Fannie Mae, 7.500%, due 05/17/2024, Series G94-7, Class PJ 0.03%