|
Principal
Amount ($)
|
|
Value ($)
|
|
|
Government National Mortgage Association 97.9%
|
|
Government National Mortgage Association:
|
|
|
|
|
|
|
|
|
|
2.99%, with various maturities from 3/15/2042 until 6/15/2042
|
|
|
3,505,796
|
|
3,362,573
|
|
|
3.0%, with various maturities from 9/15/2042 until 11/15/2042
|
|
|
47,878,136
|
|
46,314,659
|
|
|
3.1%, with various maturities from 10/15/2041 until 2/15/2042
|
|
|
4,468,948
|
|
4,360,261
|
|
|
3.25%, with various maturities from 9/15/2042 until 11/15/2042
|
|
|
5,611,609
|
|
5,546,944
|
|
|
3.5%, with various maturities from 7/1/2040 until 2/20/2043 (a)
|
|
|
275,815,669
|
|
278,288,764
|
|
|
4.0%, with various maturities from 8/20/2030 until 5/20/2043 (a)
|
|
|
324,578,745
|
|
337,653,546
|
|
|
4.25%, with various maturities from 9/15/2040 until 10/15/2041
|
|
|
2,956,135
|
|
3,118,656
|
|
|
4.49%, 7/15/2041
|
|
|
1,130,777
|
|
1,207,291
|
|
|
4.5%, with various maturities from 6/20/2033 until 5/15/2042 (a)
|
|
|
351,128,234
|
|
375,481,731
|
|
|
4.55%, 1/15/2041
|
|
|
3,677,038
|
|
3,940,377
|
|
|
4.625%, with various maturities from 4/15/2041 until 5/15/2041
|
|
|
1,402,905
|
|
1,506,896
|
|
|
5.0%, with various maturities from 3/20/2029 until 2/20/2042
|
|
|
258,132,870
|
|
281,282,032
|
|
|
5.5%, with various maturities from 12/15/2025 until 6/15/2042
|
|
|
200,671,963
|
|
221,591,640
|
|
|
6.0%, with various maturities from 8/20/2023 until 5/15/2040
|
|
|
137,831,382
|
|
153,456,290
|
|
|
6.5%, with various maturities from 11/20/2032 until 3/20/2041
|
|
|
34,022,690
|
|
38,230,728
|
|
|
7.0%, with various maturities from 1/15/2036 until 6/20/2039
|
|
|
3,939,053
|
|
4,501,241
|
|
|
7.5%, with various maturities from 6/20/2022 until 8/20/2032
|
|
|
213,359
|
|
252,937
|
|
|
Total Government National Mortgage Association
(Cost $1,762,443,038)
|
|
1,760,096,566
|
|
|
Collateralized Mortgage Obligations 21.3%
|
|
Federal Home Loan Mortgage Corp.:
|
|
|
|
|
|
|
|
|
|
"EA", Series 2530, Principal Only, Zero Coupon, 1/15/2032
|
|
|
1,010,627
|
|
858,653
|
|
|
"OH", Series 3382, Principal Only, Zero Coupon, 11/15/2037
|
|
|
1,082,085
|
|
724,673
|
|
|
"CO", Series 3820, Principal Only, Zero Coupon, 3/15/2041
|
|
|
10,788,545
|
|
8,520,354
|
|
|
"UF", Series 3807, 1.365% *, 2/15/2041
|
|
|
929,274
|
|
931,268
|
|
|
"PA", Series 4122, 1.5%, 2/15/2042
|
|
|
2,707,257
|
|
2,510,712
|
|
|
"JZ", Series 4288, 2.5%, 3/15/2041
|
|
|
3,500,000
|
|
2,742,929
|
|
|
"BC", Series 4144, 2.5%, 12/15/2042
|
|
|
1,200,000
|
|
899,972
|
|
|
"KB", Series 4144, 2.5%, 12/15/2042
|
|
|
3,200,000
|
|
2,409,717
|
|
|
"KH"', Series 4153, 2.5%, 1/15/2043
|
|
|
2,292,400
|
|
1,668,081
|
|
|
"PT", Series 3586, 2.555% *, 2/15/2038
|
|
|
5,606,074
|
|
5,649,151
|
|
|
"IY", Series 3955, Interest Only, 3.0%, 3/15/2021
|
|
|
8,148,157
|
|
560,087
|
|
|
"YI", Series 3936, Interest Only, 3.0%, 6/15/2025
|
|
|
1,450,147
|
|
117,630
|
|
|
"AI", Series 4016, Interest Only, 3.0%, 9/15/2025
|
|
|
13,060,897
|
|
1,240,191
|
|
|
"EI", Series 3953, Interest Only, 3.0%, 11/15/2025
|
|
|
2,872,945
|
|
275,345
|
|
|
"DI", Series 3952, Interest Only, 3.0%, 11/15/2025
|
|
|
2,407,482
|
|
229,129
|
|
|
"IO", Series 3974, Interest Only, 3.0%, 12/15/2025
|
|
|
2,520,300
|
|
256,015
|
|
|
"GI", Series 3985, Interest Only, 3.0%, 10/15/2026
|
|
|
1,520,172
|
|
160,462
|
|
|
"DI", Series 4010, Interest Only, 3.0%, 2/15/2027
|
|
|
2,052,240
|
|
232,651
|
|
|
"PI", Series 4017, Interest Only, 3.0%, 3/15/2027
|
|
|
3,852,088
|
|
477,497
|
|
|
"IP", Series 4046, Interest Only, 3.0%, 5/15/2027
|
|
|
4,310,877
|
|
535,478
|
|
|
"ZB", Series 4150, 3.0%, 1/15/2043
|
|
|
3,617,579
|
|
2,717,562
|
|
|
"ZB", Series 4183, 3.0%, 3/15/2043
|
|
|
10,207,479
|
|
8,257,202
|
|
|
"ZP", Series 4181, 3.0%, 3/15/2043
|
|
|
2,277,689
|
|
1,851,033
|
|
|
"JZ", Series 4283, 3.0%, 12/15/2043
|
|
|
5,700,000
|
|
5,536,125
|
|
|
"IA", Series 3800, Interest Only, 3.5%, 12/15/2022
|
|
|
933,749
|
|
4,770
|
|
|
"EI", Series 3749, Interest Only, 3.5%, 3/15/2025
|
|
|
5,503,162
|
|
578,284
|
|
|
"MZ", Series 3821, 3.5%, 3/15/2041
|
|
|
9,357,820
|
|
8,229,349
|
|
|
"DZ", Series 4199, 3.5%, 5/15/2043
|
|
|
10,205,962
|
|
8,296,164
|
|
|
"ZG", Series 4213, 3.5%, 6/15/2043
|
|
|
6,125,070
|
|
5,748,745
|
|
|
"TZ", Series 3982, 4.0%, 1/15/2042
|
|
|
1,184,981
|
|
1,100,549
|
|
|
"VZ", Series 4212, 4.0%, 6/15/2043
|
|
|
20,403,348
|
|
18,331,184
|
|
|
"JI", Series 3558, Interest Only, 4.5%, 12/15/2023
|
|
|
2,161,805
|
|
98,743
|
|
|
"PI", Series 3843, Interest Only, 4.5%, 5/15/2038
|
|
|
16,530,827
|
|
2,441,439
|
|
|
"57", Series 256, Interest Only, 5.0%, 3/15/2023
|
|
|
1,775,484
|
|
152,619
|
|
|
"CZ", Series 3658, 5.0%, 4/15/2040
|
|
|
1,994,459
|
|
2,169,963
|
|
|
"SY", Series 3035, Interest Only, 5.933% **, 9/15/2035
|
|
|
2,552,449
|
|
346,096
|
|
|
"SP", Series 3016, Interest Only, 5.943% **, 8/15/2035
|
|
|
650,241
|
|
58,208
|
|
|
"IO", Series 2580, Interest Only, 6.0%, 3/15/2033
|
|
|
745,252
|
|
153,058
|
|
|
"MI", Series 3871, Interest Only, 6.0%, 4/15/2040
|
|
|
2,501,740
|
|
445,154
|
|
|
"SG", Series 3033, Interest Only, 6.483% **, 9/15/2035
|
|
|
1,732,360
|
|
314,353
|
|
|
"A", Series 172, Interest Only, 6.5%, 1/1/2024
|
|
|
211,715
|
|
34,865
|
|
|
"SB", Series 2742, Interest Only, 6.833% **, 1/15/2019
|
|
|
2,925,771
|
|
315,180
|
|
|
"SN", Series 3175, Interest Only, 6.983% **, 6/15/2036
|
|
|
5,328,524
|
|
878,182
|
|
Federal National Mortgage Association:
|
|
|
|
|
|
|
|
|
|
"CO", Series 2013-117, Principal Only, Zero Coupon, 5/25/2033
|
|
|
4,056,068
|
|
2,785,609
|
|
|
"AY", Series 2013-6, 2.0%, 2/25/2043
|
|
|
1,244,000
|
|
851,413
|
|
|
"ZC", Series 2012-134, 2.5%, 12/25/2042
|
|
|
11,507,154
|
|
7,821,596
|
|
|
"PZ", Series 2013-123, 2.7%, 3/25/2043
|
|
|
6,055,456
|
|
4,522,593
|
|
|
"DI", Series 2011-136, Interest Only, 3.0%, 1/25/2026
|
|
|
2,382,190
|
|
222,526
|
|
|
"IG", Series 2011-96, Interest Only, 3.0%, 10/25/2026
|
|
|
4,658,353
|
|
530,129
|
|
|
"LA", Series 2013-30, 3.0%, 3/25/2043
|
|
|
2,015,000
|
|
1,773,131
|
|
|
"PU", Series 2013-30, 3.0%, 4/25/2043
|
|
|
11,881,078
|
|
9,695,506
|
|
|
"LZ", Series 2013-45, 3.0%, 5/25/2043
|
|
|
12,700,639
|
|
9,430,835
|
|
|
"ZC", Series 2013-53, 3.0%, 6/25/2043
|
|
|
13,356,417
|
|
10,173,873
|
|
|
"HI", Series 2010-123, Interest Only, 3.5%, 3/25/2024
|
|
|
4,767,620
|
|
335,400
|
|
|
"KI", Series 2011-72, Interest Only, 3.5%, 3/25/2025
|
|
|
6,453,178
|
|
469,983
|
|
|
"KI", Series 2012-98, Interest Only, 3.5%, 7/25/2027
|
|
|
29,301,031
|
|
4,134,947
|
|
|
''IO", Series 2012-146, Interest Only, 3.5%, 1/25/2043
|
|
|
9,425,676
|
|
2,388,126
|
|
|
"ZN", Series 2013-54, 3.5%, 6/25/2043
|
|
|
10,925,275
|
|
9,670,281
|
|
|
"KZ", Series 2013-66, 3.5%, 7/25/2043
|
|
|
9,158,653
|
|
7,997,063
|
|
|
"ZU", Series 2013-73, 3.5%, 7/25/2043
|
|
|
2,502,132
|
|
2,209,935
|
|
|
"CI", Series 2010-112, Interest Only, 4.0%, 12/25/2023
|
|
|
4,661,994
|
|
83,981
|
|
|
"BI", Series 2011-42, Interest Only, 4.0%, 8/25/2025
|
|
|
2,107,884
|
|
164,810
|
|
|
"AZ", Series 2013-133, 4.0%, 1/25/2044
|
|
|
6,836,000
|
|
6,122,492
|
|
|
"25", Series 351, Interest Only, 4.5%, 5/1/2019
|
|
|
1,721,461
|
|
146,258
|
|
|
"AI", Series 2011-24, Interest Only, 4.5%, 8/25/2024
|
|
|
1,486,627
|
|
51,403
|
|
|
"CZ", Series 2011-99, 4.5%, 10/25/2041
|
|
|
6,638,062
|
|
6,856,451
|
|
|
"21", Series 334, Interest Only, 5.0%, 3/1/2018
|
|
|
1,766,827
|
|
123,938
|
|
|
"20", Series 334, Interest Only, 5.0%, 3/1/2018
|
|
|
1,444,294
|
|
103,991
|
|
|
''23", Series 339, Interest Only, 5.0%, 7/1/2018
|
|
|
1,323,084
|
|
88,483
|
|
|
"27", Series 351, Interest Only, 5.0%, 4/1/2019
|
|
|
454,331
|
|
34,821
|
|
|
"26", Series 381, Interest Only, 5.0%, 12/25/2020
|
|
|
299,240
|
|
24,397
|
|
|
"BI", Series 2010-10, Interest Only, 5.0%, 9/25/2035
|
|
|
620,616
|
|
26,508
|
|
|
"ZA", Series 2008-24, 5.0%, 4/25/2038
|
|
|
19,984,419
|
|
21,583,342
|
|
|
"ZC", Series 2011-10, 5.0%, 2/25/2041
|
|
|
11,566,528
|
|
12,161,675
|
|
|
"KT", Series 2007-32, 5.5%, 4/25/2037
|
|
|
1,201,243
|
|
1,294,642
|
|
|
"PJ", Series 2004-46, Interest Only, 5.835% **, 3/25/2034
|
|
|
4,682,177
|
|
645,487
|
|
|
"HS", Series 2009-87, Interest Only, 5.985% **, 11/25/2039
|
|
|
9,900,264
|
|
1,434,938
|
|
|
"ZB", Series 2005-37, 6.0%, 5/25/2035
|
|
|
2,294,794
|
|
2,553,258
|
|
|
"Z", Series 2006-116, 6.0%, 12/25/2036
|
|
|
3,055,943
|
|
3,318,629
|
|
|
"WI", Series 2011-59, Interest Only, 6.0%, 5/25/2040
|
|
|
5,122,786
|
|
488,121
|
|
|
"HI", Series 2010-2, Interest Only, 6.5%, 2/25/2040
|
|
|
1,519,669
|
|
724,205
|
|
|
"PI", Series 2006-20, Interest Only, 6.515% **, 11/25/2030
|
|
|
15,910,174
|
|
2,680,274
|
|
|
"SA", Series 2005-17, Interest Only, 6.535% **, 3/25/2035
|
|
|
4,227,830
|
|
802,451
|
|
|
"SI", Series 2007-23, Interest Only, 6.605% **, 3/25/2037
|
|
|
3,498,043
|
|
558,799
|
|
|
"SJ", Series 2007-36, Interest Only, 6.605% **, 4/25/2037
|
|
|
3,169,466
|
|
453,860
|
|
|
"KI", Series 2005-65, Interest Only, 6.835% **, 8/25/2035
|
|
|
1,641,444
|
|
305,594
|
|
Government National Mortgage Association:
|
|
|
|
|
|
|
|
|
|
"SY", Series 2008-83, Interest Only, 0.00% **, 8/20/2034
|
|
|
618,385
|
|
0
|
|
|
"PO", Series 2007-18, Principal Only, Zero Coupon, 5/20/2035
|
|
|
850,060
|
|
554,952
|
|
|
"KO", Series 2013-38, Principal Only, Zero Coupon, 1/20/2043
|
|
|
2,325,858
|
|
966,380
|
|
|
"HS", Series 2009-121, Interest Only, 1.0% **, 2/20/2037
|
|
|
7,210,750
|
|
260,754
|
|
|
"HX", Series 2012-91, 3.0%, 9/20/2040
|
|
|
11,360,139
|
|
10,984,578
|
|
|
"ZD", Series 2013-37, 3.0%, 3/20/2043
|
|
|
2,629,179
|
|
2,471,677
|
|
|
"BZ", Series 2013-79, 3.0%, 5/20/2043
|
|
|
6,105,791
|
|
4,744,135
|
|
|
"LZ", Series 2013-180, 3.0%, 11/16/2043
|
|
|
11,729,250
|
|
8,623,797
|
|
|
"IE", Series 2011-128, Interest Only, 3.5%, 9/20/2026
|
|
|
10,718,485
|
|
1,384,827
|
|
|
"ZJ", Series 2013-106, 3.5%, 7/20/2043
|
|
|
8,178,747
|
|
6,771,831
|
|
|
"ZM", Series 2013-170, 4.0%, 11/20/2043
|
|
|
8,760,937
|
|
8,192,424
|
|
|
"LI", Series 2009-104, Interest Only, 4.5%, 12/16/2018
|
|
|
2,706,148
|
|
206,413
|
|
|
"BI", Series 2010-95, Interest Only, 4.5%, 8/20/2032
|
|
|
2,875,098
|
|
59,378
|
|
|
"ZC", Series 2003-86, 4.5%, 10/20/2033
|
|
|
1,999,670
|
|
2,105,647
|
|
|
"TI", Series 2010-115, Interest Only, 4.5%, 10/20/2037
|
|
|
3,576,881
|
|
401,728
|
|
|
"BL", Series 2011-46, 4.5%, 10/20/2037
|
|
|
5,143,000
|
|
5,458,524
|
|
|
"CI", Series 2011-111, Interest Only, 4.5%, 11/20/2037
|
|
|
2,617,384
|
|
231,916
|
|
|
"PI", Series 2010-94, Interest Only, 4.5%, 12/20/2037
|
|
|
4,395,291
|
|
550,409
|
|
|
"CI", Series 2010-87, Interest Only, 4.5%, 11/20/2038
|
|
|
1,500,000
|
|
397,088
|
|
|
"GP", Series 2010-67, 4.5%, 3/20/2039
|
|
|
10,514,000
|
|
11,121,638
|
|
|
"IN", Series 2011-18, Interest Only, 4.5%, 5/20/2039
|
|
|
2,629,832
|
|
470,880
|
|
|
"IP", Series 2011-132, Interest Only, 4.5%, 12/20/2039
|
|
|
15,030,109
|
|
1,679,989
|
|
|
"ZA", Series 2010-3, 4.5%, 1/20/2040
|
|
|
3,577,029
|
|
3,666,981
|
|
|
"AI", Series 2012-15, Interest Only, 4.5%, 9/20/2040
|
|
|
7,084,261
|
|
1,889,493
|
|
|
"ZV", Series 2011-73, 4.5%, 5/20/2041
|
|
|
13,476,389
|
|
13,731,834
|
|
|
"QI", Series 2013-20, Interest Only, 4.5%, 12/16/2042
|
|
|
14,099,387
|
|
2,792,814
|
|
|
"LV", Series 2012-77, 5.0%, 7/20/2026
|
|
|
8,000,000
|
|
8,657,794
|
|
|
"UI", Series 2010-45, Interest Only, 5.0%, 5/20/2033
|
|
|
200,219
|
|
695
|
|
|
"MI", Series 2009-76, Interest Only, 5.0%, 3/20/2035
|
|
|
1,955,302
|
|
25,475
|
|
|
"GZ", Series 2005-44, 5.0%, 7/20/2035
|
|
|
4,565,698
|
|
4,916,872
|
|
|
"Z", Series 2008-5, 5.0%, 1/20/2038
|
|
|
5,580,722
|
|
6,016,350
|
|
|
"IJ", Series 2010-41, Interest Only, 5.0%, 9/20/2038
|
|
|
979,308
|
|
163,732
|
|
|
"Z", Series 2009-112, 5.0%, 11/20/2039
|
|
|
11,033,842
|
|
12,026,910
|
|
|
"UZ", Series 2010-37, 5.0%, 3/20/2040
|
|
|
1,310,226
|
|
1,399,170
|
|
|
"AI", Series 2008-51, Interest Only, 5.5%, 5/16/2023
|
|
|
3,727,418
|
|
309,280
|
|
|
"AI", Series 2008-46, Interest Only, 5.5%, 5/16/2023
|
|
|
1,286,983
|
|
113,564
|
|
|
"AI", Series 2008-40, Interest Only, 5.5%, 5/16/2023
|
|
|
1,473,111
|
|
142,697
|
|
|
"PC", Series 2003-19, 5.5%, 3/16/2033
|
|
|
4,708,197
|
|
5,233,193
|
|
|
"PI", Series 2005-73, Interest Only, 5.5%, 12/20/2034
|
|
|
2,081,799
|
|
197,323
|
|
|
"Z", Series 2006-12, 5.5%, 3/20/2036
|
|
|
99,451
|
|
110,681
|
|
|
"HZ", Series 2009-43, 5.5%, 6/20/2039
|
|
|
2,121,423
|
|
2,351,707
|
|
|
"YI", Series 2010-147, Interest Only, 5.5%, 7/16/2039
|
|
|
1,032,216
|
|
124,043
|
|
|
"DZ", Series 2009-106, 5.5%, 11/20/2039
|
|
|
97,590
|
|
112,071
|
|
|
"SJ", Series 2011-66, Interest Only, 5.883% **, 5/16/2041
|
|
|
14,684,239
|
|
2,491,046
|
|
|
"BS", Series 2011-93, Interest Only, 5.933% **, 7/16/2041
|
|
|
20,224,549
|
|
2,960,801
|
|
|
"IL", Series 2009-93, Interest Only, 6.0%, 10/16/2014
|
|
|
3,681,796
|
|
149,002
|
|
|
"CI", Series 2009-42, Interest Only, 6.0%, 8/16/2035
|
|
|
535,664
|
|
161,562
|
|
|
"SA", Series 2012-84, Interest Only, 6.133% **, 12/20/2038
|
|
|
15,224,129
|
|
2,569,571
|
|
|
"AV", Series 2010-14, Interest Only, 6.133% **, 2/16/2040
|
|
|
6,201,628
|
|
1,308,200
|
|
|
"ST", Series 2009-31, Interest Only, 6.183% **, 3/20/2039
|
|
|
801,012
|
|
111,122
|
|
|
"SM", Series 2009-100, Interest Only, 6.283% **, 5/16/2039
|
|
|
2,427,325
|
|
322,533
|
|
|
"AI", Series 2007-38, Interest Only, 6.293% **, 6/16/2037
|
|
|
4,115,774
|
|
590,416
|
|
|
"GI", Series 2006-28, Interest Only, 6.333% **, 3/20/2035
|
|
|
506,130
|
|
8,423
|
|
|
"QA", Series 2007-57, Interest Only, 6.333% **, 10/20/2037
|
|
|
3,189,061
|
|
476,318
|
|
|
"SL", Series 2009-100, Interest Only, 6.333% **, 5/16/2039
|
|
|
2,805,430
|
|
401,895
|
|
|
"S", Series 2003-11, Interest Only, 6.383% **, 2/16/2033
|
|
|
1,626,307
|
|
245,670
|
|
|
"IP", Series 2009-118, Interest Only, 6.5%, 12/16/2039
|
|
|
1,239,111
|
|
281,218
|
|
|
"SL", Series 2007-26, Interest Only, 6.633% **, 5/16/2037
|
|
|
6,183,497
|
|
974,697
|
|
|
"S", Series 1999-17, Interest Only, 8.033% **, 5/16/2029
|
|
|
859,791
|
|
163,989
|
|
|
"SA", Series 1999-44, Interest Only, 8.383% **, 12/16/2029
|
|
|
771,776
|
|
133,787
|
|
|
Total Collateralized Mortgage Obligations
(Cost $398,263,748)
|
|
381,876,470
|
|
|
U.S. Government Agency Sponsored Pass-Throughs 1.1%
|
|
Federal National Mortgage Association, 3.0%, 11/15/2027 (Cost $23,226,750)
|
|
|
23,250,000
|
|
20,347,179
|
|
|
Government & Agency Obligations 6.5%
|
|
U.S. Treasury Obligations
|
|
|
U.S. Treasury Bill, 0.02% ***, 2/13/2014 (b)
|
|
|
7,983,000
|
|
7,982,880
|
|
U.S. Treasury Notes:
|
|
|
|
|
|
|
|
|
|
0.75%, 6/15/2014 (c)
|
|
|
18,000,000
|
|
18,052,038
|
|
|
1.0%, 8/31/2016 (c)
|
|
|
60,000,000
|
|
60,562,500
|
|
|
2.75%, 11/15/2023
|
|
|
30,000,000
|
|
29,348,430
|
|
|
Total Government & Agency Obligations
(Cost $116,149,383)
|
|
115,945,848
|
|
|
|
|
|
|
|
Contract
Amount
|
|
Value ($)
|
|
|
Call Options Purchased 0.5%
|
|
Options on Interest Rate Swap Contracts
|
|
|
Pay Fixed Rate - 3.72% - Receive Floating - LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/2016
1
|
|
42,100,000
|
|
2,785,665
|
|
Pay Fixed Rate - 4.19% - Receive Floating - LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/2017
2
|
|
48,400,000
|
|
3,048,256
|
|
Pay Fixed Rate - 4.32% - Receive Floating - LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/2017
3
|
|
47,000,000
|
|
2,719,044
|
|
|
Total Call Options Purchased
(Cost $6,260,633)
|
|
8,552,965
|
|
|
Put Options Purchased 0.0%
|
|
Options on Interest Rate Swap Contracts
|
|
|
Receive Fixed Rate - 2.19% - Pay Floating - LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/2017
2
|
|
48,400,000
|
|
215,569
|
|
Receive Fixed Rate - 2.32% - Pay Floating - LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/2017
3
|
|
47,000,000
|
|
252,949
|
|
|
Total Put Options Purchased
(Cost $3,242,687)
|
|
468,518
|
|
|
|
|
|
|
|
Shares
|
|
Value ($)
|
|
|
|
|
Central Cash Management Fund, 0.05% (d) (Cost $56,298,074)
|
|
|
56,298,074
|
|
56,298,074
|
|
|
|
|
|
|
|
% of
Net Assets
|
|
Value ($)
|
|
|
Total Investment Portfolio
(Cost $2,365,884,313) †
|
130.4
|
|
2,343,585,620
|
|
Other Assets and Liabilities, Net
|
(30.4)
|
|
(546,086,960)
|
|
|
Net Assets
|
100.0
|
|
1,797,498,660
|
|