Transamerica JPMorgan Core Bond VP^

Transcription

1 Portfolio Holdings as of 12/31/2012* Transamerica JPMorgan Core Bond VP^ Security Description U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Commercial Mortgage Pass-Through Certificates, 6.304%, due 07/16/2034, Series 2001-J2A, Class B 0.94% U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % U.S. Treasury Note, 3.250%, due 03/31/ % U.S. Treasury Bond, 8.750%, due 08/15/ % U.S. Treasury Bond, 7.500%, due 11/15/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % U.S. Treasury Note, 3.250%, due 12/31/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Residual Funding Corp., Principal STRIPS, Zero Coupon, due 07/15/ % U.S. Treasury Note, 1.750%, due 10/31/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % U.S. Treasury Note, 1.500%, due 08/31/ % Freddie Mac, 5.500%, due 03/15/2017, Series 2430, Class ZQ 0.47% Freddie Mac, 5.500%, due 01/01/ % Fannie Mae, 3.920%, due 08/01/ % Fannie Mae, 3.739%, due 06/01/ % Financing Corp. Fico STRIPS, Zero Coupon, due 05/11/ % Fannie Mae, 3.640%, due 10/01/ % Fannie Mae, 2.670%, due 07/01/ % U.S. Treasury Note, 2.750%, due 10/31/ % Temp Kl Hj3 A1 02/63 Var, 1.000%, due 02/01/ % Fannie Mae, 4.020%, due 08/01/ % Fannie Mae, 4.500%, due 08/01/2018, Series % Freddie Mac, 3.500%, due 07/15/2042, Series 262, Class % U.S. Treasury Note, 1.750%, due 01/31/ % U.S. Treasury Bond, %, due 02/15/ % Freddie Mac, 6.000%, due 04/15/2036, Series 3819, Class ZQ 0.30% U.S. Treasury Note, 4.750%, due 08/15/ % U.S. Treasury Bond, 8.500%, due 02/15/ % Fannie Mae, 6.000%, due 11/25/2032, Series , Class ZA 0.28% Fannie Mae, 4.650%, due 06/01/ % Ginnie Mae, 5.000%, due 04/16/2023, Series , Class AY 0.27% Fannie Mae, 5.500%, due 04/25/2023, Series , Class EQ 0.27% Fannie Mae, 4.240%, due 06/01/ % Fannie Mae, 4.060%, due 07/01/ % Freddie Mac, 6.000%, due 10/15/2032, Series 2510, Class ND 0.27% Freddie Mac, 6.000%, due 05/15/2027, Series 3318, Class DB 0.27% Fannie Mae, 4.050%, due 08/01/ % Fannie Mae, 5.500%, due 01/25/2026, Series , Class DX 0.26%

2 U.S. Treasury Note, 2.625%, due 02/29/ % Fannie Mae, 3.764%, due 07/25/2021, Series 2011-M2, Class A3 0.26% Fannie Mae, 3.870%, due 08/01/ % Freddie Mac, 5.000%, due 12/15/2022, Series 3402, Class NC 0.26% Fannie Mae, 3.860%, due 07/01/ % Fannie Mae, 3.980%, due 08/01/ % Fannie Mae, 3.763%, due 06/25/2021, Series 2011-M1, Class A3 0.26% Fannie Mae, 7.000%, due 11/25/2041, Series , Class LB 0.26% Credit Suisse Mortgage Capital Certificates, 1.212%, due 06/28/2047, Series R, Class A6 0.26% Freddie Mac, 4.000%, due 06/01/ % Fannie Mae, 5.000%, due 10/01/ % Fannie Mae, 5.000%, due 09/25/2023, Series , Class DG 0.26% Fannie Mae, 4.230%, due 03/01/ % Residual Funding Corp., Principal STRIPS, Zero Coupon, due 10/15/ % U.S. Treasury Note, 3.500%, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Ginnie Mae, 6.500%, due 06/20/2033, Series , Class HB 0.25% Residual Funding Corp., Principal STRIPS, Zero Coupon, due 10/15/ % Freddie Mac, 3.500%, due 06/01/ % Citigroup Mortgage Loan Trust, Inc., 4.500%, due 12/25/2036, Series , Class 6A6 0.25% Fannie Mae, 2.030%, due 08/01/ % Freddie Mac, 5.000%, due 08/15/2034, Series 3117, Class PL 0.25% Fannie Mae, 3.500%, due 08/01/ % Fannie Mae, 2.380%, due 12/01/ % Fannie Mae, 1.400%, due 07/01/ % Fannie Mae, 1.940%, due 07/01/ % Fannie Mae, 1.990%, due 01/01/ % Fndus /30 01/23 1, 2.340%, due 01/01/ % Ginnie Mae, 0.790%, due 09/20/2062, Series 2012-H28, Class FA 0.24% U.S. Treasury Note, 1.750%, due 04/15/ % U.S. Treasury Note, 3.875%, due 02/15/ % Fannie Mae, 0.710%, due 10/25/2042, Series , Class FD 0.24% Fndus /2 Cmt 01 Feb /23 Var 1, 1.000%, due 02/01/ % Freddie Mac, 4.000%, due 12/15/2041, Series 3966, Class NA 0.24% Fndus SARM 1/13 01/23 1, 0.569%, due 01/01/ % Fndus Sarm1/ /23 1, 0.549%, due 01/01/ % Fndus SARM 1/30 Cmt 01/23 Var, 1.000%, due 01/01/ % Fndus SARM 1/31 1 Cmt 01/23 Var 1, 1.000%, due 01/01/ % Ginnie Mae, 0.680%, due 01/20/2061, Series 2012-H22, Class FD 0.24% Fannie Mae, 0.710%, due 09/25/2042, Series , Class FB 0.24% Freddie Mac, 0.709%, due 08/15/2042, Series 267, Class F5 0.24% Temp Kl Hf1 Ba 02/63 1, 1.650%, due 02/20/ % Ginnie Mae, 0.640%, due 04/20/2060, Series 2012-H24, Class FG 0.23% Fannie Mae, 0.762%, due 08/01/ % Freddie Mac, 0.659%, due 08/15/2039, Series 4073, Class MF 0.23% Freddie Mac, 0.759%, due 07/15/2042, Series 264, Class F1 0.23% Fannie Mae, 0.760%, due 08/25/2042, Series 411, Class F1 0.23% Fannie Mae, 4.000%, due 10/25/2025, Series , Class VN 0.23% Fannie Mae, 7.000%, due 11/25/2041, Series , Class MT 0.23% Citigroup Mortgage Loan Trust, Inc., 4.000%, due 11/25/2036, Series , Class 5A6 0.23%

3 Fannie Mae, 3.645%, due 07/25/2021, Series 2011-M2, Class A2 0.23% Ginnie Mae, 5.535%, due 07/20/2040, Series , Class WA 0.23% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Freddie Mac, 0.609%, due 10/15/2041, Series 4048, Class FB 0.22% Financing Corp. Fico STRIPS, Zero Coupon, due 11/30/ % Fannie Mae, 5.500%, due 07/25/2036, Series , Class PC 0.22% U.S. Treasury Bond, 8.750%, due 05/15/ % Israel Government AID Bond, Zero Coupon, due 03/15/ % Fannie Mae, 4.320%, due 06/01/ % Fannie Mae, 0.610%, due 05/25/2027, Series , Class HF 0.22% U.S. Treasury Note, 3.125%, due 04/30/ % Fannie Mae, 7.000%, due 11/25/2041, Series , Class NT 0.21% Financing Corp. Fico STRIPS, Zero Coupon, due 09/26/2019, Series D-P 0.21% Freddie Mac, 0.612%, due 07/15/2037, Series 4048, Class FJ 0.21% Ginnie Mae, 5.500%, due 11/20/2020, Series , Class VA 0.21% Freddie Mac, 4.500%, due 05/01/ % Freddie Mac, 7.000%, due 03/15/2032, Series 2423, Class MT 0.21% Freddie Mac, 7.000%, due 06/15/2029, Series 2169, Class TB 0.20% Ginnie Mae, 5.500%, due 08/20/2038, Series , Class AC 0.20% Vendee Mortgage Trust, 7.500%, due 02/15/2027, Series , Class 2Z 0.20% Fannie Mae, 5.750%, due 06/25/2033, Series , Class PE 0.20% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % RFA, 5.750%, due 09/05/ % Fannie Mae, 6.000%, due 09/01/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Fannie Mae, 3.770%, due 08/01/ % U.S. Treasury Note, 2.875%, due 03/31/ % U.S. Treasury Bond, 8.000%, due 11/15/ % Ginnie Mae, 5.000%, due 07/16/2033, Series , Class ZN 0.18% U.S. Treasury Note, 1.375%, due 11/30/ % Fndus SARM Ranch 01/23 Var, 0.210%, due 01/01/ % Fannie Mae, 5.500%, due 04/25/2038, Series , Class AE 0.18% General Electric Capital Corp., 5.625%, due 05/01/ % Historic TW, Inc., 9.150%, due 02/01/ % U.S. Treasury Inflation Indexed Note, 1.250%, due 04/15/ % Fannie Mae, 5.000%, due 07/25/2033, Series , Class NZ 0.17% U.S. Treasury Note, 1.875%, due 04/30/ % U.S. Treasury Note, 3.375%, due 07/31/ % Stanwich Mortgage Loan Trust, 2.981%, due 10/18/2042, Series 2012-NPL5, Class A 0.17% U.S. Treasury Note, 1.375%, due 01/15/ % Ginnie Mae, 5.500%, due 09/20/ % Vericrest Opportunity Loan Transferee, 3.475%, due 11/25/2060, Series 2012-NL3A, Class A 0.16% Fannie Mae, 0.712%, due 08/25/2019, Series 2012-M11, Class FA 0.16% Morgan Stanley Re-REMIC Trust, 2.000%, due 07/27/2049, Series 2012-XA, Class A 0.16% Freddie Mac, 0.659%, due 03/15/2039, Series 3804, Class FN 0.16% Ginnie Mae, 6.000%, due 08/20/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Ginnie Mae, 6.000%, due 09/20/ % Fannie Mae, 5.000%, due 08/25/2040, Series , Class WZ 0.16% U.S. Treasury Bond, 6.250%, due 05/15/ %

4 Fannie Mae, 5.500%, due 07/01/ % Fannie Mae, 5.500%, due 02/25/2034, Series , Class PC 0.15% U.S. Treasury Note, 4.000%, due 02/15/ % U.S. Treasury Inflation Indexed Note, 2.000%, due 01/15/ % Fannie Mae, 5.500%, due 05/01/ % Fannie Mae, 5.000%, due 08/01/ % Fannie Mae, 6.000%, due 10/01/2033, Series % U.S. Treasury Inflation Indexed Note, 1.125%, due 01/15/ % Ginnie Mae, 6.500%, due 11/20/2031, Series , Class PB 0.15% Ginnie Mae, 6.500%, due 10/16/2024, Series , Class PQ 0.15% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Fannie Mae, 5.000%, due 09/01/2018, Series % Freddie Mac, 5.500%, due 08/23/ % AH Mortgage Advance Trust, 3.370%, due 05/10/2043, Series SART-1, Class A2 0.14% U.S. Treasury Note, 2.625%, due 08/15/ % ASIF Global Financing XIX, 4.900%, due 01/17/ % Fannie Mae, 0.982%, due 04/01/ % Ginnie Mae, 6.500%, due 06/20/2032, Series , Class UK 0.14% Fannie Mae, 5.500%, due 11/25/2036, Series , Class ME 0.14% Freddie Mac, 5.500%, due 03/15/2035, Series 2953, Class PG 0.14% Springleaf Mortgage Loan Trust, 1.570%, due 12/25/2059, Series A, Class A 0.14% Stanwich Mortgage Loan Trust, 2.981%, due 09/15/2042, Series 2012-NPL4, Class A 0.14% Fannie Mae, 4.250%, due 04/01/ % Goldman Sachs Group, Inc., 7.500%, due 02/15/ % Fannie Mae, 4.291%, due 06/01/ % Fannie Mae, 4.450%, due 07/01/ % Fannie Mae, 3.940%, due 07/01/ % Wachovia Corp., 5.750%, due 02/01/ % Fannie Mae, 5.500%, due 05/25/2023, Series , Class LW 0.13% U.S. Treasury Note, 4.500%, due 02/15/ % Fannie Mae, 4.060%, due 09/01/ % Freddie Mac, 6.000%, due 02/15/2033, Series 2567, Class QD 0.13% Fannie Mae, 3.726%, due 06/25/2021, Series 2011-M4, Class A2 0.13% Fannie Mae, 4.160%, due 03/01/ % Freddie Mac, 5.000%, due 01/15/2034, Series 3920, Class LP 0.13% Fannie Mae, 3.970%, due 07/01/ % Fannie Mae, 3.970%, due 06/01/ % Fannie Mae, 4.000%, due 04/25/2033, Series , Class UD 0.13% Fannie Mae, 3.990%, due 07/01/ % Fannie Mae, 6.000%, due 11/25/2039, Series , Class AD 0.13% Fannie Mae, 6.500%, due 08/25/2032, Series , Class GH 0.13% Fannie Mae, 0.470%, due 11/25/2046, Series 2007-W1, Class 1AF1 0.13% U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/ % Fannie Mae, 3.380%, due 01/01/ % Freddie Mac, 6.000%, due 09/15/2036, Series 3349, Class DP 0.13% Verizon Pennsylvania, Inc., 8.350%, due 12/15/ % U.S. Treasury Inflation Indexed Note, 0.625%, due 04/15/ % Fannie Mae, 5.000%, due 07/25/2023, Series , Class CA 0.13% U.S. Treasury Note, 2.750%, due 11/30/ % Freddie Mac, due 03/15/2019, Series 2877, Class KO 0.13%

5 U.S. Treasury Note, 2.750%, due 05/31/ % Fannie Mae, 3.120%, due 01/01/ % U.S. Treasury Note, 2.250%, due 07/31/ % Fannie Mae, 3.540%, due 01/01/ % U.S. Treasury Note, 2.625%, due 04/30/ % Fannie Mae, 3.030%, due 12/01/ % Ginnie Mae, 5.500%, due 01/16/2033, Series , Class ZQ 0.12% U.S. Treasury Note, 3.500%, due 05/15/ % Fannie Mae, 2.970%, due 11/01/ % Freddie Mac, 6.500%, due 07/15/2032, Series 2484, Class LZ 0.12% Freddie Mac, 7.000%, due 03/15/2024, Series 1695, Class EB 0.12% Fannie Mae, 2.650%, due 08/01/ % Freddie Mac, 6.500%, due 07/15/2036, Series 3195, Class PD 0.12% U.S. Treasury Note, 4.250%, due 08/15/ % Freddie Mac, 5.500%, due 05/15/2038, Series 3453, Class B 0.12% U.S. Treasury Note, 1.875%, due 02/28/ % Freddie Mac, 4.891%, due 02/01/ % Fndus Sarm1/181 01/23 Var, 0.549%, due 01/01/ % Fndus SARM 1/28 Cmt 01/23 Var, 1.000%, due 01/01/ % VOLT LLC, 3.475%, due 12/25/2017, Series 2012-RLF1, Class A 0.12% Fannie Mae, 0.510%, due 08/25/2041, Series , Class CF 0.12% Freddie Mac, 8.000%, due 01/15/2030, Series 2210, Class Z 0.12% Fannie Mae, 0.952%, due 01/01/ % Freddie Mac, 3.500%, due 01/01/ % Ginnie Mae, 0.660%, due 11/20/2059, Series 2012-H30, Class PA 0.12% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Fannie Mae, 5.000%, due 12/01/2018, Series % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % CNH Equipment Trust, 0.440%, due 02/16/2016, Series 2012-C, Class A2 0.11% Real Estate Asset Trust, 2.734%, due 11/25/2042, Series A, Class A1 0.11% GSR Mortgage Loan Trust, 5.500%, due 01/25/2037, Series F, Class 2A4 0.11% Citigroup, Inc., 4.450%, due 01/10/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Wells Fargo Re-REMIC Trust, 1.750%, due 08/20/2021, Series 2012-IO, Class A 0.11% Fannie Mae, 4.380%, due 04/01/ % Freddie Mac, 7.250%, due 09/15/2030, Series 2256, Class MC 0.11% Ginnie Mae, 5.500%, due 04/20/2034, Series , Class GC 0.11% Merrill Lynch & Co., Inc., 6.400%, due 08/28/2017, Series C 0.11% Freddie Mac, 6.500%, due 03/15/2032, Series 2430, Class WF 0.11% BCAP LLC Trust, 0.440%, due 06/26/2047, Series 2012-RR4, Class 8A3 0.11% United Mexican States, 7.500%, due 04/08/ % Springleaf Mortgage Loan Trust, 2.220%, due 10/25/2057, Series A, Class A 0.11% Freddie Mac, 1.360%, due 10/25/2044, Series T-62, Class 1A1 0.11% Fannie Mae, 2.700%, due 03/28/ % Fannie Mae, 0.430%, due 06/25/2037, Series , Class PF 0.11% Ginnie Mae, 0.910%, due 05/20/2061, Series 2012-H21, Class CF 0.11% RFA, 6.250%, due 07/05/2018, Series , Class A1 0.11% Ginnie Mae, 6.500%, due 12/20/2031, Series , Class MQ 0.11% BCAP LLC Trust, 0.434%, due 02/26/2037, Series 2012-RR10, Class 1A1 0.10%

6 BCAP LLC Trust, 0.398%, due 05/26/2036, Series 2012-RR10, Class 3A1 0.10% Ginnie Mae, 8.500%, due 02/16/2030, Series , Class ZJ 0.10% Fannie Mae, 6.500%, due 01/25/2032, Series , Class HE 0.10% Fannie Mae, due 03/25/2036, Series , Class WQ 0.10% Fannie Mae, 6.792%, due 07/25/2023, Series , Class ZB 0.10% VOLT LLC, 4.949%, due 04/25/2017, Series A, Class A1 0.10% U.S. Treasury Bond, 5.000%, due 05/15/ % Countrywide Alternative Loan Trust, 5.500%, due 08/25/2035, Series CB, Class 1A4 0.10% U.S. Treasury Note, 2.250%, due 01/31/ % Citigroup, Inc., 5.000%, due 09/15/ % Fannie Mae, 6.000%, due 01/25/2032, Series , Class PN 0.10% Fannie Mae, 7.000%, due 11/25/2031, Series , Class Z 0.10% Countrywide Alternative Loan Trust, 5.750%, due 03/25/2034, Series CB, Class 1A9 0.10% Fannie Mae, 5.500%, due 07/25/2038, Series , Class DQ 0.10% Banc of America Mortgage Securities, Inc., 5.500%, due 04/25/2034, Series , Class 1A % Credit Suisse Mortgage Capital Certificates, 2.209%, due 03/27/2046, Series R, Class A1 0.10% BCAP LLC Trust, 4.930%, due 05/26/2037, Series 2012-RR3, Class 2A5 0.10% Ginnie Mae, 6.500%, due 07/16/2032, Series , Class PG 0.10% Ginnie Mae, 0.860%, due 05/20/2061, Series 2012-H21, Class DF 0.09% Fannie Mae, 5.000%, due 04/01/2019, Series % Ginnie Mae, 5.792%, due 12/20/2038, Series , Class WA 0.09% GE Equipment Midticket LLC, 0.600%, due 05/23/2016, Series , Class A3 0.09% Ginnie Mae, 0.660%, due 03/20/2060, Series 2012-H24, Class FA 0.09% NYMT Residential, LLC, 4.250%, due 12/25/2017, Series 2012-RP1A 0.09% Macquarie Equipment Funding Trust, 0.610%, due 04/20/2015, Series 2012-A, Class A2 0.09% Fannie Mae, %, due 06/25/2035, Series , Class SC 0.09% Fannie Mae, 6.000%, due 11/01/2037, Series % Banc of America Funding Corp., 3.000%, due 10/26/2039, Series 2012-R6, Class 1A1 0.09% U.S. Treasury Note, 1.000%, due 11/30/ % U.S. Treasury Bond, 4.750%, due 02/15/ % Freddie Mac, 6.044%, due 06/01/2036, Series 1G % Vericrest Opportunity Loan Transferee, 2.487%, due 02/26/2052, Series 2012-NL2A, Class A1 0.09% Freddie Mac, 5.500%, due 04/15/2033, Series 2597, Class AE 0.09% U.S. Treasury Inflation Indexed Note, 0.500%, due 04/15/ % Bank of America Corp., 5.000%, due 05/13/ % Fannie Mae, due 12/25/2033, Series , Class P 0.09% Freddie Mac, 0.559%, due 07/15/2034, Series 3344, Class FT 0.09% BCAP LLC Trust, 3.176%, due 09/26/2037, Series 2011-RR10, Class 2A1 0.09% JPMorgan Chase Commercial Mortgage Securities Corp., 5.326%, due 08/12/2040, Series 2003-PM1A, Class A4 0.09% Structured Asset Mortgage Investments, Inc., 0.460%, due 07/19/2035, Series 2005-AR5, Class A3 0.09% AT&T, Inc., 4.300%, due 12/15/ % BCAP LLC Trust, 0.380%, due 08/26/2036, Series 2012-RR2, Class 1A1 0.09% Nordea Bank AB, 3.125%, due 03/20/ % Hydro-Quebec, 9.400%, due 02/01/ % Fannie Mae, 6.490%, due 03/25/2036, Series , Class WN 0.09%

7 CPS Auto Trust, 2.520%, due 09/16/2019, Series 2012-B, Class A 0.08% Fannie Mae, 5.500%, due 12/25/2035, Series , Class GL 0.08% Westgate Resorts LLC, 3.000%, due 01/20/2025, Series A, Class A 0.08% BB-UBS Trust, 2.892%, due 06/05/2030, Series 2012-TFT, Class A 0.08% Fannie Mae, 5.000%, due 05/11/ % Citigroup, Inc., 6.000%, due 08/15/ % Israel Government AID Bond, Zero Coupon, due 02/15/ % U.S. Treasury Note, 4.250%, due 11/15/ % GE Equipment Midticket LLC, 0.470%, due 01/22/2015, Series , Class A2 0.08% Concord Funding Co. LLC, 3.145%, due 01/15/2017, Series , Class A 0.08% Wells Fargo Mortgage Backed Securities Trust, 2.615%, due 09/25/2034, Series 2004-P, Class 2A1 0.08% Macquarie Bank, Ltd., 5.000%, due 02/22/ % Credit Suisse Mortgage Capital Certificates, 1.459%, due 08/28/2047, Series R, Class A1 0.08% Fontainebleau Miami Beach Trust, 2.887%, due 05/05/2027, Series 2012-FBLU, Class A 0.08% Metropolitan Life Global Funding I, 2.500%, due 09/29/ % Ginnie Mae, 6.500%, due 04/20/2029, Series , Class ZC 0.08% Capital One Bank USA NA, 8.800%, due 07/15/ % International Business Machines Corp., 6.220%, due 08/01/ % Morgan Stanley Re-REMIC, 1.000%, due 03/27/ % Banc of America Funding Corp., 2.668%, due 03/20/2035, Series 2005-E, Class 4A1 0.08% Wachovia Bank Commercial Mortgage Trust, 5.293%, due 12/15/2044, Series 2005-C22, Class A4 0.08% NorthStar Mortgage Trust, 1.410%, due 08/25/2029, Series , Class A 0.08% Kraft Foods Group, Inc., 6.875%, due 01/26/ % U.S. Treasury Note, 3.125%, due 04/30/ % Freddie Mac, 6.801%, due 07/25/2032, Series T-41, Class 3A 0.08% Fannie Mae, %, due 05/25/2034, Series , Class SA 0.08% WaMu Mortgage Pass-Through Certificates, 5.500%, due 06/25/2035, Series , Class CB7 0.08% WaMu Mortgage Pass-Through Certificates, 2.473%, due 10/25/2033, Series 2003-AR11, Class A6 0.08% Fannie Mae STRIPS, Zero Coupon, due 11/15/ % Florida Power & Light Co., 5.950%, due 10/01/ % Trafigura Securitisation Finance PLC, 2.609%, due 10/15/2015, Series A, Class A 0.08% Freddie Mac, 6.000%, due 01/01/ % Freddie Mac, 6.375%, due 03/15/2032, Series 2424, Class EM 0.08% RMAT, 2.734%, due 08/26/2052, Series A, Class A1 0.08% Westgate Resorts LLC, 4.500%, due 09/20/2025, Series , Class A 0.08% Credit Suisse USA, Inc., 4.875%, due 01/15/ % RAMP Trust, 0.830%, due 11/25/2034, Series 2004-RS11, Class M1 0.08% Barclays Bank PLC, 2.750%, due 02/23/ % Comcast Corp., 6.500%, due 11/15/ % Chase Mortgage Finance Corp., 3.037%, due 02/25/2037, Series 2007-A1, Class 1A3 0.08% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % NCUA Guaranteed Notes, 2.900%, due 10/29/2020, Series 2010-C1, Class A2 0.08% U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % American Credit Acceptance Receivables Trust, 1.890%, due 07/15/2016, Series , Class A 0.07% GSR Mortgage Loan Trust, 6.000%, due 09/25/2035, Series F, Class 3A9 0.07%

8 Freddie Mac, 7.000%, due 04/15/2032, Series 2434, Class TC 0.07% Stadshypotek AB, 1.450%, due 09/30/ % Springleaf Mortgage Loan Trust, 5.450%, due 01/25/2058, Series A, Class A2 0.07% Bank of Nova Scotia, 2.550%, due 01/12/ % Credit Suisse Mortgage Capital Certificates, 1.209%, due 02/27/2047, Series R, Class A1 0.07% Springleaf Mortgage Loan Trust, 6.000%, due 10/25/2057, Series A, Class M4 0.07% Morgan Stanley Re-REMIC Trust, due 07/17/2056, Series 2009-IO, Class B 0.07% Freddie Mac, 6.000%, due 02/01/ % LVII Resecuritization Trust, 5.381%, due 09/27/2037, Series , Class M3 0.07% Citigroup, Inc., 2.250%, due 08/07/ % General Electric Capital Corp., 3.150%, due 09/07/ % GSR Mortgage Loan Trust, 5.500%, due 05/25/2034, Series F, Class 2A4 0.07% Morgan Stanley Re-REMIC Trust, 5.000%, due 07/17/2056, Series 2009-IO, Class A2 0.07% Countrywide Home Loan Mortgage Pass-Through Trust, 5.500%, due 04/25/2034, Series , Class A % Freddie Mac, 5.500%, due 12/15/2022, Series 2535, Class BK 0.07% Fannie Mae, 5.000%, due 05/01/ % Park Place Securities, Inc., 0.835%, due 10/25/2034, Series 2004-MCW1, Class M1 0.07% MMCA Automobile Trust, 1.570%, due 08/15/2017, Series 2012-A, Class A4 0.07% Fannie Mae, %, due 04/25/2034, Series , Class SA 0.07% Ginnie Mae, 0.760%, due 07/20/2062, Series 2012-H26, Class MA 0.07% Freddie Mac, 5.500%, due 08/01/ % Ginnie Mae, 6.500%, due 07/20/2032, Series , Class ZA 0.07% U.S. Treasury Note, 0.250%, due 10/31/ % Santander Drive Auto Receivables Trust, 0.470%, due 09/15/2015, Series , Class A2 0.07% Wachovia Corp., 5.500%, due 05/01/ % African Development Bank, 8.800%, due 09/01/ % Wachovia Bank NA, 6.000%, due 11/15/ % Freddie Mac, 6.500%, due 02/25/2043, Series T-54, Class 2A 0.07% Volkswagen Auto Loan Enhanced Trust, 0.850%, due 08/22/2016, Series , Class A3 0.07% Freddie Mac, %, due 06/15/2034, Series 2990, Class SL 0.07% U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Ally Auto Receivables Trust, 0.450%, due 07/15/2015, Series , Class A2 0.07% Freddie Mac, 5.500%, due 05/15/2041, Series 3852, Class QN 0.07% Freddie Mac, 7.000%, due 05/15/2032, Series 2450, Class GZ 0.07% Fannie Mae, 6.500%, due 10/01/2036, Series % Freddie Mac, 6.500%, due 03/15/2032, Series 2423, Class TB 0.07% Fannie Mae, 4.390%, due 05/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Wells Fargo & Co., 2.625%, due 12/15/ % Fannie Mae, 6.176%, due 12/25/2042, Series 2003-W1, Class 1A1 0.07% Freddie Mac, 6.000%, due 12/01/ % Illinois Tool Works, Inc., 3.900%, due 09/01/ % Fannie Mae, Zero Coupon, due 06/01/ % CDP Financial, Inc., 4.400%, due 11/25/ % Freddie Mac, 7.000%, due 01/01/2031, Series A % AmeriCredit Automobile Receivables Trust, 1.170%, due 05/09/2016, Series , Class A3 0.07%

9 Countrywide Home Loan Mortgage Pass-Through Trust, 3.011%, due 11/25/2035, Series , Class 2A1 0.07% Fannie Mae, 0.460%, due 06/27/2036, Series , Class A2 0.07% Fannie Mae, 4.369%, due 04/01/ % Wells Fargo Mortgage Backed Securities Trust, 4.100%, due 06/25/2033, Series 2003-G, Class A1 0.07% Fannie Mae, 4.500%, due 08/25/2033, Series , Class YD 0.07% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Fannie Mae, %, due 07/25/2035, Series , Class SG 0.07% Freddie Mac, 7.000%, due 10/15/2030, Series 2259, Class ZM 0.07% Port Authority of New York & New Jersey, 4.458%, due 10/01/ % Nationwide Mutual Insurance Co., 9.375%, due 08/15/ % RAMP Trust, 0.510%, due 03/25/2036, Series 2006-RZ1, Class A3 0.06% General Electric Capital Corp., 6.750%, due 03/15/ % Hewlett-Packard Co., 6.000%, due 09/15/ % Credit Acceptance Auto Loan Trust, 1.520%, due 03/16/2020, Series A, Class A 0.06% Bank of Montreal, 1.400%, due 09/11/ % CarMax Auto Owner Trust, 1.070%, due 06/15/2016, Series , Class A3 0.06% Banc of America Alternative Loan Trust, 5.500%, due 09/25/2033, Series , Class 1CB1 0.06% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Freddie Mac, 6.000%, due 11/15/2032, Series 2527, Class TB 0.06% Kerr-McGee Corp., 7.875%, due 09/15/ % AIG SunAmerica Global Financing X, 6.900%, due 03/15/ % Westpac Banking Corp., 2.450%, due 11/28/ % Australia & New Zealand Banking Group, Ltd., 2.400%, due 11/23/ % New York Life Global Funding, 3.000%, due 05/04/ % Volkswagen Auto Lease Trust, 0.660%, due 11/20/2014, Series 2012-A, Class A2 0.06% Freddie Mac, 4.500%, due 02/15/2020, Series 2922, Class JN 0.06% Commonwealth Bank of Australia, 2.250%, due 03/16/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % HSBC Bank PLC, 4.750%, due 01/19/ % Ally Auto Receivables Trust, 0.480%, due 05/15/2015, Series , Class A2 0.06% National Australia Bank, Ltd., 2.000%, due 06/20/ % Fannie Mae, 5.000%, due 08/01/ % GSMPS Mortgage Loan Trust, 0.560%, due 03/25/2035, Series 2005-RP2, Class 1AF 0.06% Wells Fargo Mortgage Backed Securities Trust, 2.792%, due 07/25/2034, Series 2004-I, Class 1A1 0.06% GSR Mortgage Loan Trust, 6.000%, due 09/25/2034, Series F, Class 2A3 0.06% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Freddie Mac, 4.500%, due 12/15/2018, Series 2999, Class NC 0.06% General Electric Capital Corp., 1.625%, due 07/02/ % California Republic Auto Receivables Trust, 1.180%, due 08/15/2017, Series , Class A 0.06% VOLT LLC, 4.704%, due 06/26/2017, Series 2012-RP2A, Class A1 0.06% Province of Ontario Canada, 0.950%, due 05/26/ % Morgan Stanley, 5.300%, due 03/01/ % RCMC LLC, 5.623%, due 11/15/2044, Series 2012-CRE1, Class A 0.06% Westgate Resorts LLC, 2.500%, due 03/20/2025, Series A, Class A 0.06% GTE Corp., 6.840%, due 04/15/ %

10 AH Mortgage Advance Trust, 2.230%, due 05/10/2043, Series SART-1, Class A1R 0.06% Stadshypotek AB, 1.875%, due 10/02/ % Freddie Mac, 2.860%, due 02/01/2037, Series 1N % CarMax Auto Owner Trust, 0.430%, due 09/15/2015, Series , Class A2 0.06% Merrill Lynch & Co., Inc., 5.450%, due 07/15/ % Freddie Mac, 5.000%, due 05/15/2041, Series 3860, Class PZ 0.06% Ford Credit Auto Owner Trust, 0.840%, due 08/15/2016, Series 2012-A, Class A3 0.06% Springleaf Mortgage Loan Trust, 6.000%, due 09/25/2057, Series A, Class M3 0.06% UBS-BAMLL Trust, 3.663%, due 06/10/2030, Series 2012-WRM, Class A 0.06% Credit Suisse Mortgage Capital Certificates, 3.250%, due 07/27/2037, Series R, Class 1A1 0.06% Madison Avenue Manufactured Housing Contract, 2.460%, due 03/25/2032, Series 2002-A, Class M2 0.06% Banc of America Mortgage Securities, Inc., 3.123%, due 11/25/2033, Series 2003-J, Class 3A2 0.06% Morgan Stanley, 7.300%, due 05/13/ % AH Mortgage Advance Trust, 3.270%, due 09/15/2043, Series SART-2, Class A1 0.06% Citigroup Mortgage Loan Trust, Inc., 2.500%, due 06/25/2051, Series 2012-A, Class A 0.06% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Freddie Mac, 7.500%, due 02/15/2023, Series 1466, Class PZ 0.06% Fannie Mae, 6.500%, due 08/25/2036, Series , Class PD 0.06% Structured Asset Securities Corp., 4.750%, due 09/25/2018, Series , Class 1A1 0.06% GSR Mortgage Loan Trust, 6.000%, due 02/25/2036, Series F, Class 2A4 0.06% British Telecommunications PLC, 9.625%, due 12/15/ % Ginnie Mae, due 02/17/2033, Series , Class YO 0.06% U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % UBS AG, 5.750%, due 04/25/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % WaMu Mortgage Pass-Through Certificates, 5.250%, due 10/25/2033, Series 2003-S9, Class A8 0.06% Banc of America Mortgage Securities, Inc., 5.500%, due 05/25/2034, Series , Class 1A3 0.06% Exeter Automobile Receivables Trust, 1.300%, due 06/15/2017, Series A, Class A 0.06% Toyota Motor Credit Corp., 2.000%, due 09/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % General Electric Capital Corp., 2.250%, due 11/09/ % Ginnie Mae, due 03/20/2037, Series % MLCC Mortgage Investors, Inc., 2.499%, due 12/25/2034, Series , Class 2A1 0.05% Berkshire Hathaway Finance Corp., 4.400%, due 05/15/ % Freddie Mac, 4.000%, due 05/01/2019, Series E % General Electric Capital Corp., 4.650%, due 10/17/ % Springleaf Mortgage Loan Trust, 4.050%, due 01/25/2058, Series A, Class A1 0.05% Fannie Mae, 4.500%, due 03/01/2019, Series % Morgan Stanley, 5.625%, due 09/23/ % Fannie Mae, Zero Coupon, due 05/15/ % Amgen, Inc., 5.150%, due 11/15/ % American Credit Acceptance Receivables Trust, 1.640%, due 11/15/2016, Series , Class A 0.05% CPS Auto Trust, 1.820%, due 12/16/2019, Series 2012-C, Class A 0.05% ASG Resecuritization Trust, 2.504%, due 03/26/2037, Series , Class A % Goldman Sachs Group, Inc., 6.000%, due 06/15/ %

11 Fannie Mae, 6.000%, due 12/01/2032, Series % Ginnie Mae, 6.500%, due 01/20/2032, Series , Class PG 0.05% Bear Stearns Adjustable Rate Mortgage Trust, 2.370%, due 02/25/2036, Series , Class A1 0.05% Anheuser-Busch InBev Worldwide, Inc., 7.750%, due 01/15/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Ginnie Mae, %, due 04/20/2037, Series , Class NS 0.05% U.S. Treasury Note, 2.625%, due 11/15/ % MASTR Asset Securitization Trust, 5.500%, due 11/25/2033, Series , Class 3A1 0.05% Freddie Mac, due 01/15/2033, Series % NBCUniversal Media LLC, 6.400%, due 04/30/ % Union Carbide Corp., 7.500%, due 06/01/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Berkshire Hathaway, Inc., 3.400%, due 01/31/ % Metropolitan Life Global Funding I, 3.875%, due 04/11/ % General Electric Capital Corp., 4.625%, due 01/07/ % Jefferies Group, Inc., 8.500%, due 07/15/ % Norfolk Southern Corp., 6.000%, due 05/23/ % American Honda Finance Corp., 2.600%, due 09/20/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % U.S. Treasury Bond, 5.375%, due 02/15/ % VOLT LLC, 3.475%, due 11/27/2017, Series 2012-RP3A, Class A 0.05% PennyMac Loan Trust, 3.422%, due 05/28/2052, Series 2012-NPL1, Class A 0.05% ING Bank NV, 3.750%, due 03/07/ % Ford Motor Credit Co. LLC, 3.984%, due 06/15/ % Shell International Finance BV, 6.375%, due 12/15/ % Pacific Life Insurance Co., 9.250%, due 06/15/ % National Australia Bank, Ltd., 2.750%, due 09/28/ % Prudential Insurance Co. of America, 8.300%, due 07/01/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % American General Mortgage Loan Trust, 5.750%, due 09/25/2048, Series , Class A7 0.05% A10 Securitization LLC, 3.492%, due 04/15/2024, Series , Class A 0.05% Academic Loan Funding Trust, 1.010%, due 12/27/2022, Series A, Class A1 0.05% DNB Boligkreditt AS, 2.100%, due 10/14/ % Impac Secured Assets CMN Owner Trust, 0.560%, due 05/25/2036, Series , Class 2A1 0.05% U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % WaMu Mortgage Pass-Through Certificates, 4.840%, due 04/25/2035, Series , Class 1A4 0.05% BCAP LLC Trust, 2.689%, due 07/26/2045, Series 2010-RR7, Class 2A1 0.05% Goldman Sachs Group, Inc., 6.250%, due 09/01/ % Freddie Mac, 5.500%, due 07/15/ % Barclays Bank PLC, 2.250%, due 05/10/ % Banc of America Funding Corp., 5.500%, due 10/26/2037, Series 2010-R5, Class 1A1 0.05% MassMutual Global Funding II, 2.000%, due 04/05/ % Huntington Auto Trust, 0.380%, due 09/15/2015, Series , Class A2 0.05% ASG Resecuritization Trust, 6.000%, due 06/28/2037, Series , Class A % HSBC USA, Inc., 2.375%, due 02/13/ % Countrywide Alternative Loan Trust, 4.860%, due 06/25/2035, Series T1, Class A2 0.05% Fannie Mae, 0.560%, due 04/25/2035, Series , Class PF 0.05%

12 Ford Motor Credit Co. LLC, 3.000%, due 06/12/ % World Omni Auto Receivables Trust, 0.430%, due 11/16/2015, Series 2012-B, Class A2 0.05% Toronto-Dominion Bank, 1.500%, due 03/13/ % Freddie Mac, 9.864%, due 07/15/2032, Series 2477, Class SD 0.05% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Freddie Mac, 6.500%, due 09/01/2019, Series G % HSBC Bank PLC, 1.625%, due 07/07/ % American General Mortgage Loan Trust, 5.750%, due 09/25/2048, Series , Class A5 0.05% Hyundai Auto Receivables Trust, 0.540%, due 01/15/2015, Series 2012-B, Class A2 0.05% Huntington Auto Trust, 1.310%, due 11/15/2016, Series A, Class A4 0.05% Oversea-Chinese Banking Corp., Ltd., 1.625%, due 03/13/ % Citigroup, Inc., 8.500%, due 05/22/ % Bank of America Corp., 5.625%, due 07/01/ % Huntington Auto Trust, 1.010%, due 01/15/2016, Series A, Class A3 0.05% VNO Mortgage Trust, 2.996%, due 11/15/2030, Series AVE, Class A 0.05% First Investors Auto Owner Trust, 1.470%, due 05/15/2018, Series A, Class A2 0.05% Fannie Mae, %, due 07/25/2035, Series , Class SC 0.05% MASTR Adjustable Rate Mortgages Trust, 2.670%, due 04/21/2034, Series , Class 2A1 0.05% HSBC Holdings PLC, 6.100%, due 01/14/ % HLSS Servicer Advance Receivables Backed Notes, 1.990%, due 10/15/2045, Series 2012-T2, Class A2 0.05% RBSSP Resecuritization Trust, 4.000%, due 05/26/2037, Series , Class 7A5 0.05% State of Illinois, 5.100%, due 06/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Kroger Co., 7.500%, due 04/01/ % Freddie Mac, due 03/15/2036, Series 3122, Class OH 0.05% Blackstone Holdings Finance Co., LLC, 5.875%, due 03/15/ % AGL Capital Corp., 5.875%, due 03/15/ % Springleaf Mortgage Loan Trust, 2.667%, due 09/25/2057, Series A, Class A 0.04% France Telecom SA, 8.500%, due 03/01/ % HLSS Servicer Advance Receivables Backed Notes, 1.340%, due 10/15/2043, Series 2012-T2, Class A1 0.04% HSBC Holdings PLC, 4.875%, due 01/14/ % Sequoia Mortgage Trust, 0.971%, due 04/20/2033, Series , Class 1A 0.04% E.I. du Pont de Nemours & Co., 6.000%, due 07/15/ % Freddie Mac, 5.000%, due 04/01/2018, Series E % Countrywide Home Loan Mortgage Pass-Through Trust, 5.750%, due 04/25/2034, Series , Class A4 0.04% John Deere Owner Trust, 0.430%, due 02/17/2015, Series 2012-B, Class A2 0.04% Texas Instruments, Inc., 1.650%, due 08/03/ % John Deere Owner Trust, 0.690%, due 01/15/2019, Series 2012-B, Class A4 0.04% PepsiCo, Inc., 1.250%, due 08/13/ % AmeriCredit Automobile Receivables Trust, 0.710%, due 12/08/2015, Series , Class A2 0.04% U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Fannie Mae, 6.000%, due 08/25/2037, Series , Class GE 0.04% Fortress Opportunities Residential Transaction, 7.211%, due 10/25/2047, Series A, Class A1 0.04% Freddie Mac, %, due 07/15/2033, Series 2692, Class SC 0.04% Tennessee Valley Authority Generic STRIPS, Zero Coupon, due 05/01/ %

13 Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.889%, due 07/10/2044, Series , Class A4 0.04% Goldman Sachs Group, Inc., 6.150%, due 04/01/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Qwest Corp., 6.750%, due 12/01/ % Simon Property Group, LP, 2.150%, due 09/15/ % RALI Trust, 5.000%, due 03/25/2019, Series 2004-QS3, Class CB 0.04% Province of Ontario Canada, 1.650%, due 09/27/ % Merrill Lynch & Co., Inc., 6.150%, due 04/25/ % U.S. Treasury Note, 3.375%, due 11/15/ % Norfolk Southern Corp., 6.000%, due 03/15/ % Credit Suisse Mortgage Capital Certificates, 5.676%, due 03/15/2039, Series 2006-C2, Class A3 0.04% Tennessee Valley Authority Principal STRIPS, Zero Coupon, due 11/01/ % Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 4.500%, due 01/11/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % ASG Resecuritization Trust, 2.459%, due 06/26/2037, Series , Class A % Volkswagen Auto Lease Trust, 0.870%, due 07/20/2015, Series 2012-A, Class A3 0.04% Fannie Mae STRIPS, due 08/01/2032, Series 326, Class % Chase Mortgage Finance Corp., 5.500%, due 03/25/2034, Series 2004-S3, Class 2A5 0.04% Springleaf Mortgage Loan Trust, 3.560%, due 12/25/2059, Series A, Class M2 0.04% Santander Drive Auto Receivables Trust, 3.350%, due 06/15/2017, Series 2011-S2A, Class D 0.04% U.S. Treasury Note, 3.125%, due 10/31/ % CommonWealth REIT, 6.250%, due 08/15/ % Freddie Mac, 5.024%, due 01/01/ % Freddie Mac, 6.500%, due 08/15/2031, Series 2344, Class ZD 0.04% Ginnie Mae, 6.500%, due 06/20/2032, Series , Class QE 0.04% AmeriCredit Automobile Receivables Trust, 1.550%, due 07/08/2016, Series , Class A3 0.04% Caterpillar Financial Services Corp., 7.050%, due 10/01/2018, Series F 0.04% General Electric Capital Corp., 5.900%, due 05/13/ % Freddie Mac, 6.000%, due 10/01/2019, Series G % Pricoa Global Funding I, 5.450%, due 06/11/ % Wells Fargo & Co., 3.500%, due 03/08/ % WaMu Mortgage Pass-Through Certificates, 5.500%, due 06/25/2033, Series 2003-S3, Class 1A4 0.04% Structured Asset Securities Corp., 5.500%, due 10/25/2033, Series H, Class 1A1 0.04% Freddie Mac, %, due 02/15/2040, Series 3632, Class BS 0.04% Freddie Mac, 6.500%, due 06/15/2032, Series 2462, Class JG 0.04% BXG Receivables Note Trust, 2.660%, due 12/02/2027, Series 2012-A, Class A 0.04% Daimler Finance North America LLC, 2.950%, due 01/11/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Nissan Auto Lease Trust, 0.450%, due 06/15/2015, Series 2012-B, Class A2A 0.04% Countrywide Alternative Loan Trust, 5.500%, due 11/25/2035, Series CB, Class 1A % Bank of New York Mellon Corp., 2.400%, due 01/17/ % BP Capital Markets PLC, 5.250%, due 11/07/ % Daimler Finance North America LLC, 2.625%, due 09/15/ %

14 Morgan Stanley, 5.500%, due 07/24/ % RALI Trust, 5.750%, due 10/25/2033, Series 2003-QS19, Class A1 0.04% DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.800%, due 03/15/ % Fannie Mae, due 06/25/2036, Series , Class JO 0.04% World Omni Auto Receivables Trust, 0.520%, due 06/15/2015, Series 2012-A, Class A2 0.04% U.S. Treasury Bond, 6.625%, due 02/15/ % Deutsche Telekom International Finance BV, 2.250%, due 03/06/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % U.S. Treasury Inflation Indexed Bond, 2.500%, due 01/15/ % GSMPS Mortgage Loan Trust, 0.560%, due 09/25/2035, Series 2005-RP3, Class 1AF 0.04% American General Mortgage Loan Trust, 5.650%, due 03/25/2058, Series A, Class A2 0.04% Halliburton Co., 7.450%, due 09/15/ % Ginnie Mae, 6.000%, due 08/20/2016, Series % Daimler Finance North America LLC, 1.650%, due 04/10/ % U.S. Treasury Bond, 6.125%, due 08/15/ % Ginnie Mae, 7.500%, due 11/20/2029, Series , Class ZW 0.04% Freddie Mac, 2.488%, due 08/01/2036, Series 1N % JPMorgan Mortgage Trust, 2.908%, due 11/25/2033, Series 2006-A2, Class 5A3 0.04% Ginnie Mae, 6.500%, due 03/01/2031, Series , Class PK 0.04% Freddie Mac, 5.000%, due 10/01/2017, Series E % GE Equipment Midticket LLC, 0.780%, due 09/22/2020, Series , Class A4 0.04% Celgene Corp., 3.250%, due 08/15/ % Freddie Mac, 5.500%, due 06/01/2020, Series G % JPMorgan Chase Commercial Mortgage Securities Corp., 5.814%, due 06/12/2043, Series 2006-CB15, Class A4 0.04% American Water Capital Corp., 6.085%, due 10/15/ % PPG Industries, Inc., 6.650%, due 03/15/ % Freddie Mac, 7.250%, due 12/15/2030, Series 2271, Class PC 0.03% Fannie Mae, due 11/25/2036, Series % Credit Suisse First Boston Mortgage Securities Corp., 5.250%, due 11/25/2033, Series , Class 5A4 0.03% Berkshire Hathaway, Inc., 3.750%, due 08/15/ % Santander Drive Auto Receivables Trust, 1.250%, due 04/15/2015, Series , Class A2 0.03% Fannie Mae, 6.500%, due 05/25/2044, Series 2004-W11, Class 1A2 0.03% Verizon Global Funding Corp., 7.750%, due 12/01/ % U.S. Treasury STRIPS, Zero Coupon, due 02/15/ % Chase Mortgage Finance Corp., 3.030%, due 07/25/2037, Series 2007-A2, Class 2A1 0.03% Ohio State University, 4.800%, due 06/01/ % Diageo Investment Corp., 8.000%, due 09/15/ % CME Group, Inc., 5.400%, due 08/01/ % Goldman Sachs Group, Inc., 5.375%, due 03/15/ % MASTR Resecuritization Trust, due 05/28/2035, Series 2005, Class % Freddie Mac, due 05/15/2037, Series % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Goldman Sachs Group, Inc., 5.750%, due 01/24/ % Fannie Mae, 6.947%, due 12/25/2042, Series 2003-W1, Class 2A 0.03% Freddie Mac, 5.991%, due 06/15/2038, Series 3455, Class SE 0.03% PPL Energy Supply LLC, 4.600%, due 12/15/ % UBS-Barclays Commercial Mortgage Trust, 3.525%, due 05/10/2063, Series 2012-C2, Class A4 0.03%

15 U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Weatherford International, Ltd., 9.875%, due 03/01/ % Fannie Mae, due 06/25/2036, Series , Class PS 0.03% Merrill Lynch Mortgage Trust, 4.674%, due 06/12/2043, Series 2005-MCP1, Class ASB 0.03% Kroger Co., 5.000%, due 04/15/ % Credit Suisse USA, Inc., 5.125%, due 08/15/ % Ginnie Mae, %, due 10/20/2037, Series , Class SP 0.03% Banc of America Funding Corp., 5.360%, due 08/26/2035, Series 2010-R11A, Class 1A6 0.03% Thomson Reuters Corp., 3.950%, due 09/30/ % U.S. Treasury STRIPS, Zero Coupon, due 08/15/ % Fannie Mae, 6.500%, due 02/25/2022, Series , Class HC 0.03% Wells Fargo Mortgage Backed Securities Trust, 4.750%, due 10/25/2018, Series , Class 1A % Metropolitan Life Global Funding I, 3.650%, due 06/14/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ % Morgan Stanley Re-REMIC Trust, 2.500%, due 03/23/2051, Series 2011-IO, Class A 0.03% AbbVie, Inc., 1.750%, due 11/06/ % Verizon Communications, Inc., 6.400%, due 02/15/ % DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 4.600%, due 02/15/ % Freddie Mac, 6.000%, due 02/01/2019, Series G % Ginnie Mae, %, due 09/20/2034, Series , Class SB 0.03% Fannie Mae, 2.364%, due 01/01/2036, Series % Freddie Mac, 7.500%, due 08/25/2042, Series T-51, Class 2A 0.03% Israel Government AID Bond, 5.500%, due 09/18/ % Freeport-McMoRan Copper & Gold, Inc., 2.150%, due 03/01/ % NiSource Finance Corp., 5.800%, due 02/01/ % Capital One Financial Corp., 6.750%, due 09/15/ % CarMax Auto Owner Trust, 2.160%, due 09/15/2016, Series , Class A4 0.03% Time Warner Cable, Inc., 7.300%, due 07/01/ % BB&T Corp., 1.600%, due 08/15/ % Ascentium Equipment Receivables LLC, 1.830%, due 09/15/2019, Series A, Class A 0.03% Anadarko Finance Co., 7.500%, due 05/01/2031, Series B 0.03% U.S. Treasury Bond, 4.500%, due 05/15/ % Freddie Mac, 2.696%, due 03/01/2037, Series 1Q % American General Mortgage Loan Trust, 5.750%, due 09/25/2048, Series , Class A4 0.03% Morgan Stanley Capital I, Inc., 4.970%, due 04/14/2040, Series 2004-HQ4, Class A7 0.03% AT&T, Inc., 5.350%, due 09/01/ % America Movil SAB de CV, 6.125%, due 03/30/ % Spectra Energy Capital LLC, 5.500%, due 03/01/ % ENI SpA, 5.700%, due 10/01/ % U.S. Treasury STRIPS, Zero Coupon, due 11/15/ % Ginnie Mae, 6.500%, due 08/20/2032, Series , Class GB 0.03% Caterpillar Financial Services Corp., 6.200%, due 09/30/2013, Series F 0.03% United Auto Credit Securitization Trust, 1.100%, due 03/16/2015, Series , Class A2 0.03% Citigroup Mortgage Loan Trust, Inc., 5.250%, due 10/25/2033, Series , Class 2A5 0.03% Freddie Mac, 6.500%, due 04/01/2018, Series G % Freddie Mac, 2.508%, due 09/01/2034, Series % Fannie Mae, %, due 05/25/2034, Series , Class SK 0.03% Vodafone Group PLC, 5.000%, due 09/15/ % BlackRock, Inc., 3.375%, due 06/01/ %

16 General Electric Capital Corp., 1.600%, due 11/20/ % Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.875%, due 02/08/ % CME Group, Inc., 3.000%, due 09/15/ % CenterPoint Energy Resources Corp., 5.850%, due 01/15/ % Bank of America Auto Trust, 1.940%, due 06/15/2017, Series , Class A4 0.03% Freddie Mac, 2.459%, due 07/01/2036, Series 1A % Ginnie Mae, due 06/16/2033, Series , Class AP 0.03% Fannie Mae, 7.000%, due 09/25/2031, Series , Class PU 0.03% Capital One Financial Corp., 7.375%, due 05/23/ % AmeriCredit Automobile Receivables Trust, 0.510%, due 01/08/2016, Series , Class A2 0.03% Fannie Mae, 7.182%, due 08/25/2033, Series , Class DS 0.03% Arrow Electronics, Inc., 3.375%, due 11/01/ % Freddie Mac, 6.000%, due 10/01/2017, Series J % Fannie Mae, %, due 08/25/2032, Series , Class S 0.03% Fannie Mae, %, due 03/25/2036, Series , Class PS 0.03% Credit Suisse First Boston Mortgage Securities Corp., 5.250%, due 09/25/2033, Series , Class 1A4 0.03% Arrow Electronics, Inc., 7.500%, due 01/15/ % Target Corp., 6.000%, due 01/15/ % BlackRock, Inc., 6.250%, due 09/15/ % Wells Fargo Mortgage Loan Trust, 2.847%, due 08/27/2037, Series 2012-RR1, Class A1 0.03% Oracle Corp., 5.750%, due 04/15/ % CBS Corp., 8.875%, due 05/15/ % Talisman Energy, Inc., 5.500%, due 05/15/ % Virginia Electric and Power Co., 5.400%, due 04/30/ % Cargill, Inc., 6.000%, due 11/27/ % Fannie Mae, 5.500%, due 09/01/2017, Series % Intel Corp., 4.000%, due 12/15/ % Deutsche Bank AG, 6.000%, due 09/01/ % Port Authority of New York & New Jersey, 5.647%, due 11/01/ % BellSouth Telecommunications, Inc., 6.375%, due 06/01/ % Fannie Mae, 6.000%, due 12/01/ % Morgan Stanley Re-REMIC Trust, 3.250%, due 12/17/2043, Series 2010-C30A, Class A3A 0.03% TCI Communications, Inc., 8.750%, due 08/01/ % Hyundai Auto Receivables Trust, 0.620%, due 09/15/2016, Series 2012-B, Class A3 0.03% Fannie Mae, %, due 11/25/2031, Series , Class SW 0.03% Freddie Mac, 6.400%, due 11/15/2023, Series 1621, Class J 0.03% Bank of America Auto Trust, 0.780%, due 06/15/2016, Series , Class A3 0.03% Walgreen Co., 3.100%, due 09/15/ % Ginnie Mae, %, due 04/16/2034, Series , Class S 0.03% AGL Capital Corp., 6.375%, due 07/15/ % Freddie Mac, 2.714%, due 11/01/2036, Series 1G % American Express Credit Corp., 2.800%, due 09/19/ % ConocoPhillips Canada Funding Co. I, 5.625%, due 10/15/ % Australia & New Zealand Banking Group, Ltd., 4.875%, due 01/12/ % HSBC Holdings PLC, 4.000%, due 03/30/ % CME Group, Inc., 5.750%, due 02/15/ % Citigroup Mortgage Loan Trust, Inc., 0.398%, due 02/25/2046, Series , Class 4A1 0.03% DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 6.375%, due 03/01/ % U.S. Treasury STRIPS, Zero Coupon, due 05/15/ %

17 WEA Finance LLC / WT Finance AUST Pty, Ltd., 6.750%, due 09/02/ % Freddie Mac, 6.500%, due 11/01/2036, Series C % Ginnie Mae, 5.500%, due 12/20/2013, Series , Class NY 0.03% Kansas City Power & Light Co., 5.300%, due 10/01/ % CPS Auto Trust, 1.480%, due 03/16/2020, Series 2012-D, Class A 0.03% CPS Auto Trust, 4.210%, due 03/15/2019, Series 2011-C, Class A 0.03% Delta Air Lines, Inc., Pass-Through Trust, 4.750%, due 05/07/2020, Series , Class A 0.03% Wells Fargo Mortgage Backed Securities Trust, 2.656%, due 10/25/2034, Series 2004-V, Class 1A1 0.03% Morgan Stanley, 5.750%, due 01/25/ % UBS-Barclays Commercial Mortgage Trust, 1.827%, due 05/10/2063, Series 2012-C2, Class XA 0.03% Dominion Resources, Inc., 5.250%, due 08/01/ % Freddie Mac, due 08/15/2036, Series % Chase Funding Mortgage Loan Asset-Backed Certificates, 4.277%, due 11/25/2034, Series , Class 1A7 0.03% DBRR Trust, 0.946%, due 09/25/2045, Series 2012-EZ1, Class A 0.03% Johnson Controls, Inc., 5.250%, due 12/01/ % Morgan Stanley Capital I, Inc., 4.054%, due 07/15/2049, Series 2011-C3, Class A3 0.03% BellSouth Corp., 5.200%, due 09/15/ % PacifiCorp, 3.850%, due 06/15/ % Morgan Stanley Re-REMIC Trust, 0.250%, due 07/27/2049, Series 2012-XA, Class B 0.03% Deutsche Telekom International Finance BV, 8.750%, due 06/15/ % TransCanada PipeLines, Ltd., 3.800%, due 10/01/ % Freddie Mac, due 02/15/2036, Series 3117, Class OG 0.03% BAE Systems PLC, 5.800%, due 10/11/ % Fannie Mae, 3.590%, due 10/01/ % Macquarie Group, Ltd., 6.250%, due 01/14/ % Fannie Mae, due 03/25/2036, Series , Class OP 0.03% Duke Energy Indiana, Inc., 3.750%, due 07/15/ % News America, Inc., 8.875%, due 04/26/ % Amgen, Inc., 3.875%, due 11/15/ % Freddie Mac, 5.612%, due 05/01/2036, Series 1L % Oracle Corp., 6.125%, due 07/08/ % Metropolitan Life Global Funding I, 1.700%, due 06/29/ % AmeriCredit Automobile Receivables Trust, 0.490%, due 04/08/2016, Series , Class A2 0.03% Principal Life Global Funding I, 5.050%, due 03/15/ % Freddie Mac, due 01/15/2040, Series 3621, Class BO 0.03% Bank of America Corp., 7.375%, due 05/15/2014, Series L 0.03% Macquarie Group, Ltd., 6.000%, due 01/14/ % Wells Fargo & Co., 3.676%, due 06/15/ % GTP Acquisition Partners I LLC, 4.347%, due 06/15/ % Anadarko Petroleum Corp., 8.700%, due 03/15/ % WEA Finance LLC / WT Finance AUST Pty, Ltd., 3.375%, due 10/03/ % Xcel Energy, Inc., 6.500%, due 07/01/ % MetLife of Connecticut Global Funding I, 5.125%, due 08/15/ % Fannie Mae, %, due 07/25/2033, Series , Class SX 0.03% Fannie Mae, 6.500%, due 01/01/2036, Series % Ally Auto Receivables Trust, 0.930%, due 02/16/2016, Series , Class A3 0.03%