2014 VOLUNTARY INVESTMENT PLAN
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SECURITIES AND EXCHANGE COMMISSION
Washington, D. C. 20549
FORM 11-K
ANNUAL REPORT
Pursuant to Section 15 (d) of the
Securities Exchange Act of 1934
For the fiscal year ended December 31, 2014
Commission File No. 1-442
THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
THE BOEING COMPANY
100 N. Riverside Plaza
Chicago, Illinois 60606-1596

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The Boeing Company
Voluntary Investment Plan
Employer ID No: 91-0425694
Plan Number: 002
Financial Statements as of December 31, 2014 and 2013, and for the Year Ended December 31, 2014, Supplemental Schedules as of and for the year ended December 31, 2014, and Report of Independent Registered Public Accounting Firm


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
TABLE OF CONTENTS 
 
  
Page
  
FINANCIAL STATEMENTS:
  
 
  
  
  
SUPPLEMENTAL SCHEDULES AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2014
  
 
  
 

 
 
 
NOTE: All other schedules required by Section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 have been omitted because they are not applicable or are not required.
  
 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Employee Benefit Plans Committee and
Members of The Boeing Company Voluntary Investment Plan
The Boeing Company
Chicago, Illinois

We have audited the accompanying statements of net assets available for benefits of The Boeing Company Voluntary Investment Plan (the “Plan”) as of December 31, 2014 and 2013, and the related statement of changes in net assets available for benefits for the year ended December 31, 2014. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2014 and 2013, and the changes in net assets available for benefits for the year ended December 31, 2014, in conformity with accounting principles generally accepted in the United States of America.
The supplemental schedules listed in the table of contents have been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The supplemental schedules are the responsibility of the Plan’s management. Our audit procedures included determining whether the supplemental schedules reconcile to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedules. In forming our opinion on the supplemental schedules, we evaluated whether the supplemental schedules, including their form and content are, presented in compliance with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, such supplemental schedules are fairly stated, in all material respects, in relation to the financial statements as a whole.
/s/ DELOITTE & TOUCHE LLP
Seattle, Washington
June 26, 2015



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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2014 AND 2013
(Dollars in millions)
 
2014

 
2013

ASSETS:
 
 
 
 
Investments — at fair value — interest in Master Trust
 
$
45,836

 
$
44,404

Receivables:
 
 
 
 
Notes receivable from participants
 
706

 
714

 
 


 


NET ASSETS REFLECTING INVESTMENTS AT FAIR VALUE
 
46,542

 
45,118

ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE FOR FULLY BENEFIT-RESPONSIVE INVESTMENT CONTRACTS
 
(327
)
 
(245
)
NET ASSETS AVAILABLE FOR BENEFITS
 
$
46,215

 
$
44,873

See notes to financial statements.

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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
FOR THE YEAR ENDED DECEMBER 31, 2014
(Dollars in millions)
 
ADDITIONS:
 
Net Master Trust activity
$
1,786

Interest income from notes receivable from participants
22

Contributions:
 
Employer
765

Participant
1,778

Total contributions
2,543

Total additions
4,351

DEDUCTIONS — Benefits paid
3,009

NET ADDITIONS
1,342

NET ASSETS AVAILABLE FOR BENEFITS:
 
Beginning of year
44,873

End of year
$
46,215

See notes to financial statements.


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 AND 2013, AND FOR THE YEAR ENDED DECEMBER 31, 2014
(Dollars in millions)
1.
DESCRIPTION OF PLAN
The following description of The Boeing Company Voluntary Investment Plan (the “VIP” or the “Plan”) provides only general information. Participants, as defined by the Plan (“Members”), should refer to the plan document for a more complete description of the Plan’s provisions.
General — The Plan is a defined contribution plan intended to qualify under the Internal Revenue Code (IRC) as a profit sharing plan with a cash or deferred arrangement and employee stock ownership plan component, and is designed to provide Members with a means of making regular savings to provide additional security for their retirement. An employee of The Boeing Company (the “Company” or “Boeing”) becomes eligible to participate on the first day of employment.
The Plan also provides for salary continuation during extended illness of certain bargaining units of active employees or disbursement of their remaining account balance at termination.
The Plan includes an auto-enrollment provision for newly eligible employees unless they affirmatively elect not to participate in the Plan. Automatically enrolled Members have their deferral rate set at a percentage of eligible compensation as defined in the plan document and their contributions are invested in a default investment fund until changed by the Members.
The assets of the Plan, excluding notes receivable from participants, are held in The Boeing Company Employee Savings Plans Master Trust (the “Master Trust”). State Street Bank and Trust Company (“SSBT”) serves as trustee for the Master Trust. The Employee Benefit Plans Committee controls and manages the operation and administration of the Plan. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”), as amended.
Contributions — Members may elect to contribute to the Plan a percentage of their eligible compensation from pretax, after-tax, or a combination of both, as defined in the plan document and subject to statutory limitations. Members who have attained age 50 before the end of the plan year are eligible to make catch-up contributions, as defined in the plan document and subject to statutory limits. Catch-up contributions are ineligible for an employer-matching contribution. The Plan also accepts certain rollover contributions.
Under the terms of the Plan, Boeing makes employer-matching and Company contributions for eligible Members. Members should refer to the plan document for details.
Members may elect to change contribution percentages to be effective the next pay period after the request is received, or as soon as administratively possible thereafter. The allocation of both Members’ contributions and employer contributions to the funds may be changed at any time and become effective on the day of the change or the next business day, according to the time of the request for a change in relation to the stock market close of business.
Members’ Accounts — Individual accounts are maintained for each Plan Member. Each Member’s account is credited with the Member’s contributions and the employer-matching and Company’s contributions, allocations of Plan earnings (losses) from the funds in which the account is invested, and charged with an allocation of certain administrative and investment-related expenses, and Member-specific charges, if

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applicable. Allocations are based on Member earnings or account balances, as defined by the plan document. The benefit to which a Member is entitled is the benefit that can be provided from the Member’s account.
Investment Funds — Upon enrollment in the Plan, Members may direct the investment of their contributions and any employer contributions to the investment funds offered under the Plan. These investment funds consisted of common/collective trusts, separately managed U.S. equity accounts, separately managed non-U.S. equity accounts, a separately managed fixed-income account, custom target date funds, a stable value fund (composed of synthetic-guaranteed investment contracts (“synthetic GICs”)), and Boeing common stock, which is The Boeing Employee Stock Ownership Plan Stock Fund (the “Boeing Stock Fund”) (a dividend payout program), as of December 31, 2014 and 2013. Investment funds are valued daily and Members may elect to change their investment allocations on a daily basis.
Vesting — Member contributions, both pretax and after-tax, employer-matching contributions, Company contributions, and earnings on those contributions are immediately vested.
Withdrawals — Members may elect to withdraw all or a portion of their own pretax contribution accounts, employer-matching contribution accounts, and Company contribution accounts, at any time on or after the day the Member attains age 59 1/2. If a Member is under age 59 1/2, withdrawals from his or her pretax contribution account are subject to certain hardship rules as provided by the Plan. If a Member takes a hardship withdrawal, the Member may continue contributions to the Plan; however, employer-matching contributions will be suspended for six months following the withdrawal.
In addition, a Member may elect to withdraw all or part of his or her employer-matching contribution account before the Member attains age 59 1/2, but only if the Member has attained his or her fifth anniversary of employment. If such a withdrawal is made, employer-matching contributions will be suspended for six months following the withdrawal. Company contributions may be fully withdrawn upon termination of employment. Withdrawals of after-tax contributions and rollover contributions can be made at any time.
In the event of illness or injury and if a Member has used all of their regular sick leave benefits, eligible Members may elect to withdraw, subject to Plan requirements, all or a portion of their salary continuation balance.
Notes Receivable from Participants — Members may borrow from their fund accounts a minimum of $1,000 up to a maximum equal to the lesser of $50,000 or 50% of their account balance (excluding a Member’s salary continuation balance and minus any current outstanding loan balance), reduced by the highest outstanding loan balance under all of the Company’s savings plans during the last 12 months. Members may have two loans outstanding under the Plan at any time. Loans may be additionally limited in accordance with the Plan provisions and/or loan policies and procedures. The interest rate on new loans is set every month and is equal to the prime rate published in the Wall Street Journal as of the last business day of the calendar month, immediately preceding the date of the loan. Interest rates on outstanding loans ranged from 2.0% to 9.8% at December 31, 2014, with loans maturing at various dates through December 2034.
Loan repayment is made through regular payroll deductions for a period of up to 60 months for general loans and over a longer period for loans used to finance the purchase of a principal residence. If a Member’s employment terminates for any reason, and the loan balances are not paid in full by the termination date, the Member may continue to make monthly loan repayments until the loan is scheduled to be paid off. A loan will continue to be subject to default if a payment has not been made for 90 days, an outstanding loan balance remains 30 days after the scheduled payoff date, or the Member takes a full distribution of his or her net account balance before the loan is paid off. If the loan defaults, the loan balance will become taxable income to the Member.
Benefit Payments — Upon termination of service, a Member may elect to receive a lump-sum amount equal to the full value of the Member’s vested interest in his or her account; a partial payment amount; or monthly, quarterly, semiannual, or annual installments of a fixed dollar amount or for a specific number of years, up to

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10 years. Generally, a Member may also elect to have all or a portion of his or her Boeing Stock Fund balance paid in shares and/or cash. A Member also has the option to elect an annuity contract. If a Member makes no election, annual distributions of the required minimum amount will generally begin after age 70 1/2. Notwithstanding the foregoing, following a Member’s termination of service, if his or her account balance is $1,000 or less, it will automatically be paid out to the Member in accordance with applicable Plan terms.
2.    SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of Accounting — The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP).
Use of Estimates — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and changes therein and the disclosure of contingent assets and liabilities. Actual results could differ from those estimates.
Risks and Uncertainties — The Plan utilizes various investment instruments. Investment securities, in general, are exposed to various risks, such as interest rate risk, credit risk, and overall market volatility. Due to the level of risk associated with certain investment securities, it is reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.
Valuation of Investments — Investments in the Master Trust are stated at fair value. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability (exit price) in an orderly transaction between market participants at the measurement date. Securities traded in markets that are not considered active may be valued using unobservable inputs, such as less recent trade prices, single broker-dealer quotations, related yield curves, and other assumptions about the security. The Master Trust’s investments, as discussed in Note 4, are valued as follows:
•
Common stock, including Boeing common stock, preferred stock, and other investments (rights, warrants, exchange-traded funds, exchange-traded options, and other exchange-traded derivatives) traded in active markets on national and international exchanges are primarily valued using a market approach based on the closing market prices of identical instruments on the last trading day of the year. The other exchange-traded derivatives are included in other receivables and other liabilities on the Master Trust’s statements of net assets available for benefits.
•
Forward and spot currency contracts are valued using a market value approach based on spot foreign currency rates if the contract tenor is two days or less and on interpolated forward rates for any contracts with a tenor greater than two days. Forward and spot currency contracts are included in other receivables and other liabilities on the Master Trust’s statements of net assets available for benefits.
•
Investments in common/collective trust funds are valued based on the year-end unit value. Unit values are determined by the issuer or third party administrator by dividing the fair values of the total net assets at year-end by the outstanding units. There were no unfunded commitments, no restrictions on redemption frequency, and no advance notice periods required for redemption for these investments.
•
Synthetic GICs are stated at fair value and then adjusted to contract value. There are no reserves against contract value for credit risk of the contract issuer. The fixed-income securities underlying the contracts were valued using prices provided by SSBT, which are based on the pricing methodology stated below for fixed-income securities.
•
Fixed-income securities are primarily valued using a market approach using matrix pricing, which considers a security’s relationship to other securities for which quoted prices in an active market may be available, or alternatively based on an income approach, which uses valuation techniques to convert future cash flows to a single present value amount. The valuation approach is designed to maximize the use of observable inputs, such as observable trade prices, multiple broker-dealer

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quotations, related yield curves, and other assumptions about the security (prepayment projections, cash flows, other security characteristics, etc.) and minimize unobservable inputs. The securities are valued as of the last trading day of the year. Fixed-income instruments that have a delayed future settlement such as to-be-announced securities (TBAs) are valued similarly to fixed-income securities in active markets. TBAs are included in synthetic GICs and payables for securities purchased on the Master Trust’s statements of net assets available for benefits.
•
Investments in limited partnerships are recorded based upon the net asset value (NAV) provided by the partnerships. There are no unfunded commitments and the Plan does not have the ability to make redemption requests from limited partnerships.
•
Other investments include over-the-counter (OTC) derivatives, such as options and swap contracts. These derivatives are valued using a market approach and are based upon the expected amount that the Master Trust would receive or pay to exit the derivative at the reporting date. The valuation methodology relies on inputs, including, but not limited to, benchmark yields, swap curves, cash flow analysis, ratings updates, and interdealer broker rates. Credit risk of the derivative counterparties is offset by collateralizing the expected amount that the Master Trust would receive or pay to terminate the derivative.
•
Cash equivalents and short-term investments include certificates of deposits, Treasury bills, and discounted notes with original maturities of three months or less for cash equivalents and greater than three months, but less than one year for short-term investments. These investments are primarily valued using a market approach in the same manner as fixed-income securities referenced above. In the event that an instrument with an original maturity of less than three months does not have a market price, then those investments are valued at amortized cost, which approximates fair value.
In accordance with the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946-210-45 through 946-210-55, the synthetic GICs are included at fair value in participant-directed investments in the statements of net assets available for benefits, and an additional line item is presented representing the adjustment from fair value to contract value. Contract value is the amount Members would receive if they were to initiate permitted transactions under the terms of the Plan. The statement of changes in net assets available for benefits is presented on a contract-value basis.
Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. The net appreciation/depreciation in fair value of investments includes both realized and unrealized gains or losses and is calculated as the difference between the fair value of the assets as of the beginning of the plan year or the purchase date in the current year and either the sales price or the end-of-year fair value.
Valuation Controls — Plan management has controls that are designed to ensure that fair value measurements used by the Master Trust are appropriate and reliable, that they are based on observable inputs wherever possible, and that the valuation approaches are consistently applied and the assumptions used are reasonable. The controls consist of a framework that provides for oversight of the fair value methodologies and valuations, as well as validation procedures.
The Board of Directors of the Company has delegated the fiduciary oversight of Plan assets over various retirement plans held within the Master Trust structures to the Employee Benefit Investment Committee (EBIC). The EBIC has sub-delegated this responsibility to the Chief Investment Officer (CIO), who manages Trust Investments and chairs the Valuation Committee. Trust Investments is responsible for the oversight of the Plan assets including selection and monitoring of investment managers, asset strategies, and risk management. The Valuation Committee is responsible for the oversight of the valuation practices of the Master Trust and is represented by members of Trust Investments including Risk Management and Trust Operations, Public Markets, and Investment Strategy. The Valuation Committee meets at least quarterly with the purpose of fulfilling the following responsibilities and provides an annual review to the EBIC of its findings and actions:
•
Review and approve annually the valuation practices, including those used by third parties

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•
Review and approve the year-end valuations, including the methods used to develop and substantiate the unobservable inputs used in the fair value measurement
•
Review analysis and benchmarks used by the Company and the Master Trust to assess the reasonableness of the year-end valuations and changes in fair value measurements from period to period
•
Review and approve annual financial statement disclosures of the investments held in the Master Trust
Limited partnerships are generally valued using the NAV or its equivalent. Valuations provided by the funds are reviewed at least quarterly. The asset managers’ audited financial statements are used in the Master Trust's annual financial reporting process, where applicable. Assessments of reasonableness include regular asset manager meetings and review of quarterly reports, third-party reviews and reconciliations, which includes escalation to Trust Investments for exceptions, quarterly CIO investment reviews, and reviews of manager valuation policies. Valuation policies are reviewed when a new mandate is entered into with an asset manager, on a rolling three-year basis for existing managers, or as changes to policies are provided by managers.
Fixed income, equity, and derivative instruments are generally valued using valuations obtained from pricing vendors. Pricing vendor valuation methodologies and custodian pricing controls and related documentation are assessed for reasonableness on an annual basis. The pricing vendor due diligence process includes reviews of pricing controls and procedures, as well as discussions in order to maintain a current understanding on the valuation processes and related assumptions and inputs that may be used by the vendors to price instruments. The custodian due diligence process includes reviews of pricing controls and procedures that are carried out on the Master Trust's behalf. This includes various levels of tolerances checks on price changes, review of stale or unchanged prices, multi-price source comparisons, and vendor price challenges. Additionally, on a monthly basis, the custodian reconciles its valuations to valuations obtained from each investment manager and any exceptions are reported to Trust Investments for resolution, which may include escalation to the Valuation Committee.
Benefits — Benefits are recorded when paid.
Expenses — Necessary and proper expenses of the Plan are paid from the Plan assets at the Master Trust level, except for those expenses the Company is required by law or chooses to pay. Expenses are paid at the Master Trust level, deducted from income earned and therefore are recorded as a reduction of investment return and are not separately reflected in the statement of changes.
Notes Receivable from Participants — Notes receivable from participants are measured at the unpaid principal balance, plus any accrued but unpaid interest. Delinquent Member loans are recorded as distributions based on the terms of the plan document.
Recent Accounting Guidance Not Yet Adopted — In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). ASU No. 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the NAV per share practical expedient. It also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the NAV per share practical expedient. Rather, those disclosures are limited to investments for which the entity has elected to measure the fair value using that practical expedient. Plan management is currently evaluating the impact of ASU No. 2015-07, which will be effective for the Plan beginning January 1, 2016.
3.
SYNTHETIC GUARANTEED INVESTMENT CONTRACTS
The Master Trust includes the VIP Stable Value Fund (VIP SVF), which is managed by Goldman Sachs Asset Management Company LLP (“GSAM”). The VIP SVF holds synthetic GICs.
A synthetic GIC, also known as a wrap contract, is an investment contract issued by an insurance company or other financial institution, backed by diversified bond portfolios that are owned by the VIP SVF. These contracts provide that realized and unrealized gains and losses on the underlying assets are not reflected immediately in the net assets of the VIP SVF, but rather are amortized, at a maximum over the duration of the underlying assets, through adjustments to the future interest-crediting rate. Primary variables impacting the future crediting rate of the wrap contracts include current yield of the underlying assets within the wrap contract, duration of the underlying assets covered by the wrap contract, and the existing difference between market value and contract value of the underlying assets within the wrap contract. The issuer guarantees that all qualified participant withdrawals will occur at contract value (or book value), which represents

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contributions made under the contract, plus earnings, less withdrawals made under the contract and administrative expenses.
The synthetic GICs are included in the Master Trust’s statements of net assets available for benefits, as discussed in Note 2, at fair value in participant-directed investments, and an additional line item is presented representing the adjustment from fair value to contract value. There are no reserves against contract value for credit risk of the contract issuers. The fixed-income securities underlying the contracts are valued using prices provided by SSBT, which are based on the valuation methodology stated in Note 2.
The assets underlying the synthetic GICs are owned by the VIP SVF, which is part of the Master Trust; SSBT is the custodian for the Master Trust assets. The underlying assets of the synthetic GICs are invested in diversified bond portfolios managed by BlackRock Financial Management Inc., Voya Investment Management Co., JPMorgan Asset Management (JPMAM), Pacific Investment Management Company, Prudential Fixed Income Management, and Western Asset Management Co. In addition to the diversified bond portfolios, GSAM oversees an allocation to a cash component, which is invested in a separately managed account, managed by JPMAM.
The wrap providers are each contractually obligated to pay the principal and specified interest rate that is guaranteed to the VIP SVF. The respective interest-crediting rates are each based on a formula agreed upon with each issuer; each one may not be less than 0%. Such interest rates are reviewed and reset on a quarterly basis. Synthetic GICs provide prospective crediting interest rates, which are adjusted quarterly based on the interest earnings, fair value, and duration of the underlying diversified bond portfolios. The crediting rate of each contract in any given quarter will reflect market experience from the previous quarter. The wrap providers may not terminate the contracts at any amount less than contract value.
Certain events, such as a Plan termination or a Plan merger outside the Master Trust initiated by the Company, could limit the ability of the VIP SVF to transact at contract value or may allow for the termination of the wrapper contract at less than contract value. The Company does not believe that any events are probable that could limit the ability of the VIP SVF to transact at contract value.
The average yields of the VIP SVF for the years ended December 31, 2014 and 2013, are as follows:
 
 
2014

 
2013

Average yields:
 
 
 
 
Based on annualized earnings (1)
 
1.66
%
 
1.44
%
Based on interest rate credited to Members (2)
 
2.11
%
 
1.87
%
(1) 
Computed by dividing the annualized one-day actual earnings of the VIP SVF on the last day of the plan year by the fair value of the investments of the VIP SVF on the same date.
(2) 
Computed by dividing the annualized one-day earnings credited to Members in the VIP SVF on the last day of the plan year by the fair value of the investments of the VIP SVF on the same date.
4.
MASTER TRUST
The Master Trust assets are invested and records are maintained by each investment fund option. Funds are allocated to the participating plans in accordance with the Plan provisions and Member allocation elections. The allocation of net assets available for benefits is based on the respective number of units held by the plans’ Members as of year-end. The allocation of the changes in net assets available for benefits is calculated daily based on the units held by the plans’ Members as of that day’s end.
The Plan’s interest in the Master Trust was $45,836 and $44,404, respectively, representing 100% of the Master Trust’s net assets at December 31, 2014 and 2013, respectively.
Although the Plan is the only participating plan in the Master Trust as of December 31, 2014, the Company intends to keep the Master Trust for potential future acquired plans and file a Form 5500 as a master trust.
The Master Trust’s statements of net assets available for benefits as of December 31, 2014 and 2013, are as

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follows:
 
 
2014

 
2013

ASSETS:
 
 
 
 
Investments — at fair value:
 
 
 
 
Common/collective trusts
 
$
20,652

 
$
18,455

Common and preferred stock
 
5,819

 
5,394

Boeing common stock
 
6,086

 
7,030

Synthetic GICs
 
11,992

 
12,215

Limited partnerships
 
1

 
1

Fixed-income securities
 
1,154

 
944

Other investments
 
10

 
4

Total investments — at fair value
 
45,714

 
44,043

Cash and cash equivalents
 
227

 
287

Receivables:
 
 
 
 
Receivables for securities sold
 
254

 
198

Accrued investment income
 
66

 
66

Other
 
30

 
16

Total receivables
 
350

 
280

Total assets
 
46,291

 
44,610

LIABILITIES:
 
 
 
 
Payables for securities purchased
 
322

 
149

Accrued investment and administration expenses
 
22

 
22

Other
 
111

 
35

Total liabilities
 
455

 
206

NET ASSETS AVAILABLE FOR BENEFITS — At fair value
 
45,836

 
44,404

ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE FOR FULLY BENEFIT-RESPONSIVE INVESTMENT CONTRACTS
 
(327
)
 
(245
)
NET ASSETS AVAILABLE FOR BENEFITS
 
$
45,509

 
$
44,159


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Changes in net assets for the Master Trust for the year ended December 31, 2014, are as follows:
Net appreciation (depreciation) of investments:
 
Common/collective trusts
$
1,241

Common and preferred stock
446

Boeing common stock
(347
)
Other
(30
)
Net appreciation of investments
1,310

Interest income
306

Dividend income
255

Investment income
561

Net investment income
1,871

Amounts received from participating plans
2,901

Deductions:
 
Amounts paid to participating plans
3,337

Investment and administration expenses
85

Total deductions
3,422

Increase in net assets
1,350

Beginning of year
44,159

End of year
$
45,509

5.
FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES
ASC 820 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 for financial assets and financial liabilities are described below:
Basis of Fair Value Measurement:
Level 1 — Values are based on unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. An active market is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
Level 2 — Values are based on (a) quoted prices for similar assets or liabilities in active markets; (b) quoted prices for identical or similar assets or liabilities in nonactive markets; or (c) valuation models whose inputs are observable, directly or indirectly, for substantially the full term of the asset or liability.
Level 3 — Values are based on prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement.
The following tables set forth by level within the fair value hierarchy a summary of Master Trust investments by classes of assets and liabilities on the basis of the nature and risk of the investments measured at fair value on a recurring basis as of December 31, 2014 and 2013. As required by ASC 820, assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The Plan’s policy is to recognize transfers between levels at the beginning of the reporting period.

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Quoted Prices
in Active Market
for Identical
Asset
(Level 1)

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Balance as of December 31, 2014

Investment assets:
 
 
 
 
 
 
 
 
Common/collective trusts:
 
 
 
 
 
 
 
 
U.S. equity
 
$
—

 
$
11,246

 
$
—

 
$
11,246

Non-U.S. equity
 
—

 
3,766

 
—

 
3,766

Fixed income
 
—

 
5,240

 
—

 
5,240

Other
 
—

 
400

 
—

 
400

Total common/collective trusts
 
—

 
20,652

 
—

 
20,652

Common and preferred stocks:
 
 
 
 
 
 
 
 
U.S. equity
 
4,446

 
—

 
—

 
4,446

Non-U.S. equity
 
1,119

 
254

 
—

 
1,373

Total common and preferred stocks
 
5,565

 
254

 
—

 
5,819

Fixed-income securities:
 
 
 
 
 
 
 
 
Corporate bonds
 
—

 
454

 
—

 
454

Mortgage-backed and asset-backed
 
—

 
165

 
28

 
193

U.S. government and agency
 
—

 
246

 
—

 
246

Other
 
—

 
261

 
—

 
261

Total fixed-income securities
 
—

 
1,126

 
28

 
1,154

Boeing common stock
 
6,086

 
—

 
—

 
6,086

Synthetic GICs:
 
 
 
 
 
 
 
 
U.S. government and agency
 
—

 
4,927

 
6

 
4,933

Corporate bonds
 
—

 
3,846

 
—

 
3,846

Mortgage-backed and asset-backed
 
—

 
1,909

 
922

 
2,831

Common/collective trusts — fixed-income
 
—

 
251

 
—

 
251

Other
 
—

 
131

 
—

 
131

Total synthetic GICs
 
—

 
11,064

 
928

 
11,992

Limited partnerships
 
—

 
—

 
1

 
1

Other investments
 
—

 
10

 
—

 
10

Total investment assets
 
11,651

 
33,106

 
957

 
45,714

Receivables:
 
 
 
 
 
 
 
 
Forward currency contracts
 
—

 
11

 
—

 
11

Futures
 
1

 
—

 
—

 
1

Total receivables
 
1

 
11

 
—

 
12

Cash equivalents
 
—

 
6

 
—

 
6

Total financial assets
 
$
11,652

 
$
33,123

 
$
957

 
$
45,732

Investment liabilities:
 
 
 
 
 
 
 
 
Swaps
 
$
—

 
$
24

 
$
—

 
$
24

Options
 
—

 
2

 
—

 
2

Futures
 
3

 
—

 
—

 
3

Forward currency contracts
 
—

 
10

 
—

 
10

Total investment liabilities
 
$
3

 
$
36

 
$
—

 
$
39

 
 
Quoted Prices
in Active Market
for Identical
Asset
(Level 1)

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Balance as of December 31, 2013

Investment assets:
 
 
 
 
 
 
 
 

12
Table of Contents

Common/collective trusts:
 
 
 
 
 
 
 
 
U.S. equity
 
$
—

 
$
10,725

 
$
—

 
$
10,725

Non-U.S. equity
 
—

 
3,938

 
—

 
3,938

Fixed income
 
—

 
3,392

 
—

 
3,392

Short-term investment
 
—

 
400

 
—

 
400

Total common/collective trusts
 
—

 
18,455

 
—

 
18,455

Common and preferred stocks:
 
 
 
 
 
 
 
 
U.S. equity
 
4,129

 
—

 
—

 
4,129

Non-U.S. equity
 
1,031

 
234

 
—

 
1,265

Total common and preferred stocks
 
5,160

 
234

 
—

 
5,394

Fixed-income securities:
 
 
 
 
 
 
 
 
Corporate bonds
 
—

 
393

 
—

 
393

Mortgage-backed and asset-backed
 
—

 
155

 
17

 
172

U.S. government and agency
 
—

 
189

 
—

 
189

Other
 
—

 
190

 
—

 
190

Total fixed-income securities
 
—

 
927

 
17

 
944

Boeing common stock
 
7,030

 
—

 
—

 
7,030

Synthetic GICs:
 
 
 
 
 
 
 
 
U.S. government and agency
 
—

 
5,784

 
6

 
5,790

Corporate bonds
 
—

 
3,304

 
—

 
3,304

Mortgage-backed and asset-backed
 
—

 
1,819

 
705

 
2,524

Common collective trusts — fixed income
 
—

 
334

 
—

 
334

Other
 
—

 
263

 
—

 
263

Total synthetic GICs
 
—

 
11,504

 
711

 
12,215

Limited partnerships
 
—

 
—

 
1

 
1

Other investments
 
—

 
4

 
—

 
4

Total investment assets
 
12,190

 
31,124

 
729

 
44,043

Receivables:
 
 
 
 
 
 
 
 
Forward currency contracts
 
—

 
4

 
—

 
4

Futures
 
1

 
—

 
—

 
1

Total receivables
 
1

 
4

 
—

 
5

Cash equivalents
 
—

 
14

 
—

 
14

Total financial assets
 
$
12,191

 
$
31,142

 
$
729

 
$
44,062

Investment liabilities:
 
 
 
 
 
 
 
 
TBAs
 
$
—

 
$
3

 
$
—

 
$
3

Swaps
 
—

 
5

 
—

 
5

Forward currency contracts
 
—

 
5

 
—

 
5

Total investment liabilities
 
$
—

 
$
13

 
$
—

 
$
13


13
Table of Contents

Total Master Trust investment assets at fair value classified within Level 3 were $957 and $729 million as of December 31, 2014 and 2013, respectively, which primarily consist of fixed-income securities, including those underlying the synthetic GICs, and an investment in a partnership. Such amounts were 2.09% and 1.65% of “Total investment assets” in the Master Trust’s statements of net assets available for benefits as of December 31, 2014 and 2013, respectively.
Level 3 Activities — A summary of changes in the fair value of the Master Trust’s Level 3 investment assets for the years ended December 31, 2014 and 2013, is as follows:
 
January 1, 2014 Beginning Balance

Net Unrealized and Realized Gains (Losses)

Purchases

Sales

Transfers into Level 3

Transfers out of Level 3

December 31, 2014 Ending Balance

Financial assets:
 
 
 
 
 
 
 
Fixed-income securities:
 
 
 
 
 
 

Mortgage-backed and asset- backed
$
17

$
(1
)
$
17

$
(4
)
$
—

$
(1
)
$
28

Synthetic GICs:
 
 
 
 
 
 
 
U.S. government and agency
6

—

—

—

—

—

6

Mortgage-backed and asset- backed
705

(9
)
406

(177
)
2

(5
)
922

Limited partnerships
1

—

—

—

—

—

1

Total financial assets
$
729

$
(10
)
$
423

$
(181
)
$
2

$
(6
)
$
957

 
January 1, 2013 Beginning Balance

Net Unrealized and Realized Gains (Losses)

Purchases

Sales

Transfers into Level 3

Transfers out of Level 3

December 31, 2013 Ending Balance

Financial assets:
 
 
 
 
 
 
 
Fixed-income securities:
 
 
 
 
 
 
 
Corporate bonds
$
1

$
—

$
—

$
—

$
—

$
(1
)
$
—

Mortgage-backed and asset- backed
5

(1
)
10

(1
)
5

(1
)
17

Synthetic GICs:
 
 
 
 
 
 

U.S. government and agency
14

—

—

—

—

(8
)
6

Mortgage-backed and asset- backed
180

(6
)
419

(104
)
224

(8
)
705

Other
9

—

7

(16
)
—

—

—

Limited partnerships
1

—

—

—

—

—

1

Total financial assets

$210


($7
)

$436


($121
)

$229


($18
)

$729

The net unrealized loss on Level 3 investment assets still held as of December 31, 2014 and 2013, were $8 and $7 for mortgage-backed and asset-backed securities, respectively.
Transfers Between Levels — The availability of observable market data is monitored to assess the appropriate classification of financial instruments within the fair value hierarchy. Changes in economic conditions or model-based valuation techniques may require the transfer of financial instruments from one fair value level to another. In such instances, the transfer is reported at the beginning of the reporting period.
$2 of mortgage-backed and asset-backed securities were transferred into Level 3 during 2014 because the pricing vendor notified Plan management that the significant valuation input was unobservable. Mortgage-backed and asset-backed securities in the amount of $6 were reclassified from Level 3 to Level 2 as additional pricing information, including significant observable inputs, on these securities became available. There were no reclassifications between Level 1 and Level 2 during 2014.

14
Table of Contents

$229 of mortgage-backed and asset-backed securities were transferred into Level 3 during 2013 because the pricing vendor notified Plan management that the significant valuation input was unobservable. Mortgage-backed and asset-backed securities, U.S. government and agency securities, and corporate bonds in the amounts of $9, $8, and $1, respectively, were reclassified from Level 3 to Level 2 as additional pricing information, including significant observable inputs, on these securities became available. There were no reclassifications between Level 1 and Level 2 during 2013.


15
Table of Contents

Level 3 Quantitative Disclosure — A summary of quantitative data of the Master Trust’s Level 3 investment assets for the years ended December 31, 2014 and 2013, is as follows:
 
2014
 
Level 3 Total
Valuation Technique
Assumptions*
Minimum
Maximum
Weighted Average
Synthetic GICs
 
 
 
 
 
 
Collateralized mortgage obligations
 
 
 
 
 
 
Whole loan collateralized mortgage obligations
$
784

Matrix pricing
Bid Yield
1.09
%
6.44
%
4.04
%
 
 
 
Prepayment Rate
0.00

28.57

6.55

 
 
 
Default Rate
0.02

22.68

3.78

 
 
 
Severity
10.00

100.00

49.12

 
 
 
 
 
 
 
 
 
 
Bid Yield
0.55

7.10

2.26

 
 
 
Prepayment Rate
0.00

100.00

0.20

 
 
 
Default Rate
0.00

0.00

0.00

 
 
 
Severity
0.00

0.00

0.00

Asset-backed securities
 
 
 
 
 
 
Home equity loans
11

Matrix pricing
Bid Yield
2.44
%
7.24
%
4.15
%
 
 
 
Prepayment Rate
0.00

5.00

4.56

 
 
 
Default Rate
4.94

6.00

5.88

 
 
 
Severity
70.00

100.00

73.16

 
 
 
 
 
 
 
Other asset-backed securities
62

Matrix pricing
Bid Yield
2.61
%
5.39
%
3.24
%
 
 
 
Prepayment Rate
1.00

11.43

8.66

 
 
 
Default Rate
0.00

15.54

1.62

 
 
 
Severity
0.00

100.00

20.89

 
 
 
 
 
 
 
 
 
 
Bid Yield
2.30
%
2.40
%
2.32
%
 
 
 
Prepayment Rate
0.00

0.00

0.00

 
 
 
Default Rate
0.00

0.00

0.00

 
 
 
Severity
0.00

0.00

0.00

Synthetic GICs
$857
 
 
 
 
 

16
Table of Contents

 
2013
 
Level 3 Total
Valuation Technique
Assumptions*
Minimum
Maximum
Weighted Average
Fixed-income securities
 
 
 
 
 
 
Collateralized mortgage obligations
 
 
 
 
 
 
Agency residential mortgage-backed securities
$
1

Matrix pricing
Yield
1.50
%
2.31
%
1.89
%
 
 
 
Prepayment Speed
100.00

100.00

100.00

Non agency residential mortgage-backed securities
4

Matrix pricing
Yield
1.12
%
4.73
%
3.11
%
 
 
 
Prepayment Speed
2.00

6.00

4.24

 
 
 
Default Rate
1.00

6.00

2.97

 
 
 
Severity
20.00

80.00

50.7

Fixed-income

$5

 
 
 
 
 
Synthetic GICs
 
 
 
 
 
 
Collateralized mortgage obligations
 
 
 
 
 
 
Non agency residential mortgage-backed securities
$
109

Matrix pricing
Yield
1.12
%
7.43
%
4.63
%
 
 
 
Prepayment Speed
0.50

28.85

5.92

 
 
 
Default Rate
0.10

19.62

4.06

 
 
 
Severity
5.00

86.00

42.55

Non agency residential mortgage-backed securities
3

Matrix pricing
Yield
5.50
%
6.00
%
5.98
%
 
 
 
Prepayment Speed
2.00

5.00

4.88

 
 
 
Default Rate
8.00

13.00

12.79

 
 
 
Severity
45.00

60.00

59.38

Commercial mortgage-backed securities
4

Matrix pricing
Yield
1.40
%
4.90
%
3.09
%
 
 
 
 
 
 
 
Other asset-backed securities
 
 
 
 
 
 
Non agency residential mortgage-backed securities
21

Matrix pricing
Yield
1.72
%
8.72
%
3.97
%
 
 
 
Prepayment Speed
 
7.00

3.44

 
 
 
Default Rate
3.00

10.84

6.09

 
 
 
Severity
40.00

100.00

66.47

Asset-backed securities
26

Matrix pricing
Yield
1.30
%
6.25
%
4.68
%
 
 
 
Prepayment Speed
 
10.00

4.40

 
 
 
Default Rate
4.92

22.68

6.76

 
 
 
Severity
50.00

10.00

74.94

 
 
 
 
 
 
 
Synthetic GICs
$163
 
 
 
 
 
*Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated.
Sensitivity Disclosures for Level 3 — For residential mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities, an increase in unobservable yields, loss severity rates, or default rates in isolation would generally result in a decrease in fair value.

17
Table of Contents

For mortgage-backed securities and asset-backed securities, an increase in unobservable prepayment rates/speeds in isolation may result in an increase or a decrease in fair value, depending upon the nature of the security.
For corporate issues, including structured notes and auction rate securities, an increase in unobservable spreads or yields, in isolation, would generally result in a decrease in fair value.
Although the sensitivities of the fair value of these securities to various unobservable inputs are discussed in isolation above, interrelationships exist among observable and unobservable inputs such that a change in any significant unobservable input may affect changes to one or more of the other inputs.

18
Table of Contents

6.
DERIVATIVE FINANCIAL INSTRUMENTS
ASC 815, Derivatives and Hedging, requires disclosures to enable Members to understand how and why derivatives are used, accounted for, and affect the results of operations and financial position. Derivative instruments held by the Master Trust are not designated as hedging instruments under ASC 815. The Master Trust is exposed to the following financial instrument risk:
Interest Rate Risk — Interest rate risk is the risk of change in the market value of the assets due to a change in interest rates. Bond futures, interest rate swaps, and interest rate swaptions are generally used to manage interest rate risk or adjust portfolio duration.
A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date.
Interest rate swap agreements involve the exchange by the Master Trust, with a counterparty, of respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments, with respect to the notional amount of principal.
Interest rate swaptions are options to enter into an interest rate swap based on predetermined conditions.
Credit Risk — Credit risk is the risk of change in the market value of assets due to the change in creditworthiness of the underlying issuer. Credit default swaps are used to manage the credit exposure of a security or basket of securities.
Credit default swap agreements involve one party (referred to as the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation, or index.
Foreign Currency Risk — Currency risk is the risk of a change in market value due to the change in foreign currency exchange rates. Generally, currency futures and forward contracts are used to achieve the desired currency exposure, or generate value-added performance.
Foreign currency futures and forwards are agreements between two parties to buy and sell a set of currencies at a set exchange rate on a specified future date.
A currency option gives the buyer the right, but not the obligation, to buy one currency or sell another currency at a set exchange rate on or before a given date.
Equity Risk — Equity risk is the risk of a change in market value of assets due to the change in equity or equity index prices. Equity futures are generally used to manage the market exposure of a security or index, or rebalance the total portfolio to the target asset allocation. An equity futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date.
Commodity Risk — Commodity risk is the risk of change in the market value of the underlying commodity due to a change in the price of the commodity. Commodity futures, swaps, and options are generally used to achieve the desired market exposure to commodities. A futures contract is an agreement between two parties to buy and sell a commodity at a set price on a future date. Commodity swaps are agreements involving the exchange by the Master Trust, with a counterparty, of respective commitments to pay or receive cash flows, e.g., an exchange of payments based on the price movement for the commodity, with respect to the notional amount of principal. Commodity options give the buyer the right, but not the obligation, to buy one commodity or sell another commodity at a set price on or before a given date.
Future Settlement Risk — Future settlement risk is the risk of counterparty nonperformance resulting in not receiving the asset or associated gains specified in the contract. Gains are derived from the change in market value of the contract due to a change in price of the underlying security. Mortgage-backed TBAs are used to manage the market exposure of a security or asset class. A TBA is a contract for the purchase or sale of agency mortgage-backed securities to be delivered at a future agreed-upon date.
As of December 31, 2014 and 2013, the Master Trust has invested in derivative contracts which are reflected on the Master Trust’s statements of net assets available for benefits, as discussed in Note 4, as follows:

19
Table of Contents

 
Interest rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

December 31, 2014
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
Synthetic GICs - TBAs
$
—

$
—

$
—

$
—

$
—

$
3

$
3

Other investments:
 
 
 
 
 
 
 
Swaps
7

2

—

—

—

—

9

Other receivables:
 
 
 
 
 
 
 
Forward contracts
—

—

11

—

—

—

11

Futures
—

—

—

—

1

—

1

Total assets
$
7

$
2

$
11

$
—

$
1

$
3

$
24

Liabilities:
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
—

$
—

$
—

$
—

$
—

Futures
—

—

—

2

1

—

3

Options
1

—

—

—

—

—

1

Swaps
13

3

2

6

—

—

24

Total liabilities
$
14

$
3

$
2

$
8

$
1

$
—

$
28

 
 
 
 
 
 
 
 
December 31, 2013
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
Other investments:
 
 
 
 
 
 

Swaps
$
1

$
1

$
2

$
—

$
—

$
—

$
4

Other receivables:
 
 
 
 
 
 

Forward contracts
—

—

4

—

—

—

4

Futures
—

—

—

1

—

—

1

Total assets
$
1

$
1

$
6

$
1

$
—

$
—

$
9


20
Table of Contents

Liabilities:
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
5

$
—

$
—

$
—

$
5

Swaps
3

2

—

—

—

—

5

Payable for securities purchased:
 
 
 
 
 
 


TBAs
—

—

—

—

—

3

3

Total liabilities
$
3

$
2

$
5

$
—

$
—

$
3

$
13

Realized gains and losses and the change in unrealized gains and losses are reflected in the Master Trust’s statement of changes in net assets available for benefits as net appreciation or depreciation in the fair value of investments. The effect of derivative contracts realized gains and losses and the change in unrealized gains and losses for the year ended December 31, 2014, is reflected in the following table:
 
Interest rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

Net gains (losses):
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
2

$
—

$
—

$
—

$
2

Futures
5

—

—

8

1

—

14

Options
1

—

—

—

—

—

1

Swaps
(9
)
(3
)
(7
)
(28
)
—

—

(47
)
TBAs
—

—

—

—

—

—

—

Total net gains (losses)
$
(3
)
$
(3
)
$
(5
)
$
(20
)
$
1

$
—

$
(30
)

21
Table of Contents

The following table summarizes the gross notional value of derivative contracts outstanding as of December 31, 2014 and 2013. The gross notional amounts give an indication of the volume of the Master Trust’s derivative activity and significantly exceed the fair value of the derivative investments, which is more representative of the economic exposure associated with derivatives in the Master Trust.
 
Interest rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

December 31, 2014
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
829

$
—

$
—

$
—

$
829

Futures
354

—

—

303

101

—

758

Options
753

—

43

—

—

—

796

Swaps
640

189

51

1

—

—

881

TBAs
—

—

—

—

—

—

—

Total
$
1,747

$
189

$
923

$
304

$
101

$
—

$
3,264

December 31, 2013
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
532

$
—

$
—

$
—

$
532

Futures
583

—

2

313

—

—

898

Options
138

—

5

—

—

—

143

Swaps
245

73

46

—

—

—

364

TBAs
—

—

—

—

—

—

—

Total
$
966

$
73

$
585

$
313

$
—

$
—

$
1,937

Derivatives are generally used to manage the market exposure of a security, index or currency, or adjust the portfolio duration. Derivative contracts are instruments that derive their value from underlying assets, indices, reference interest rates, or a combination of these factors. Refer to Note 2 for further description of how derivative instruments are valued. Certain cash instruments, such as mortgage-backed TBAs meet the definition of a derivative instrument under GAAP.
The nature of the counterparty and the settlement mechanism of the derivative affect the credit risk to which the Master Trust is exposed. For OTC derivatives such as swaps, forwards, options and TBAs, the Master Trust is exposed to the credit risk of the derivative counterparty.
For exchange-traded derivatives, such as futures and options, and “cleared” OTC swaps, the Master Trust is generally exposed to the credit risk of the relevant exchange or clearinghouse. Where possible, the Master Trust seeks to mitigate its credit risk exposures arising on derivative transactions through the use of legally enforceable master netting arrangements and collateral agreements.
The Master Trust is also exposed to liquidity risk in the following situations:
1) When the derivative contracts require the Master Trust to post additional cash or securities collateral with counterparties as the fair value of the contracts moves in the counterparties’ favor and the Master Trust’s receivables under related contracts are unavailable for offset or insufficient in value to offset the payment obligation to the counterparty.

22
Table of Contents

2) When certain derivative contracts have credit-related contingent features under the International Swaps and Derivatives Association Master Agreement (generally swaps) with counterparties for contracts in a net liability position.
The Master Trust has liquidity risk if its assets decline by various, pre-specified rates over predetermined time periods. If this occurs, the Master Trust is required to post more collateral or may be required to pay off the open liability contracts given the counterparty’s right to terminate the contract. At December 31, 2014 and 2013, the Master Trust had an insignificant amount of contracts in a net liability position with contingent features with a total of $5 and $7, respectively, posted in collateral against those positions.

7.
PLAN AMENDMENTS
Effective January 1, 2014, the Plan was amended to allow certain Members to defer up to 100% of eligible incentive payments, subject to statutory limits. Such deferrals are not eligible for employer-matching contributions. Members should refer to the plan document for details.
Effective with the pay period beginning on or after December 26, 2014, the Plan was amended to change the employer-matching contribution formula for certain non-union Members.
Effective January 1, 2014, the maximum Member contribution percentage was increased from 25% to 30% of eligible compensation for certain Members.
8.
RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500
The following is a reconciliation of net assets available for benefits per the financial statements as of December 31, 2014 and 2013, to Form 5500:
 
 
2014

 
2013

Net assets available for benefits per the financial statements
 
$
46,215

 
$
44,873

Amounts allocated to withdrawing Members
 
(13
)
 
(18
)
Adjustment from contract value to fair value for fully benefit-responsive investment contracts
 
327

 
245

Net assets available for benefits per Form 5500
 
$
46,529

 
$
45,100


23
Table of Contents

The following is a reconciliation of total additions per the financial statements for the year ended December 31, 2014, to total income per Form 5500:
Total additions per the financial statements
$
4,351

Adjustment from contract value to fair value for fully benefit-responsive investment contracts — December 31, 2014
327

Adjustment from contract value to fair value for fully benefit-responsive investment contracts — December 31, 2013
(245
)
Total income per Form 5500
$
4,433

The following is a reconciliation of benefits paid per the financial statements for the year ended December 31, 2014, to total benefit payments per Form 5500:
Benefits paid per the financial statements
$
3,009

Amounts allocated to withdrawing Members — December 31, 2014
13

Amounts allocated to withdrawing Members — December 31, 2013
(18
)
Amounts deemed distributions of Member loans as reflected in the Form 5500
(17
)
Total benefit payments per Form 5500
$
2,987

Amounts allocated to withdrawing Members are recorded on the Form 5500 for benefit claims that have been processed and approved for payment prior to December 31, but not yet paid as of that date.
Amounts deemed distributions of Member loans as reflected in the Form 5500 are for loans that Members failed to make a payment within 90 days of receipt of the last loan payment made, Members who failed to repay the loan in full within 30 days after the end of the repayment period, or the Member takes a full distribution of their net account balance before the loan is paid off for the year ended December 31, 2014.
9.
SIGNIFICANT INVESTMENTS
The Master Trust has invested in the following funds, representing 5% or more of net assets available for benefits as of December 31, 2014 and 2013, stated at fair value:
 
2014

 
2013

SSBT Flagship S&P 500 Index Non-Lending Series Fund Class A
$
9,381

 
$
8,095

Boeing common stock
6,086

 
7,030

SSBT Bond Market Index Non-Lending Series Fund Class A
3,748

 
3,039

SSBT Global All Cap Equity ex-US Index Non-lending Series Fund Class A
3,740

 
3,419

NTGI Collective Russell 2000 Index Fund-Non Lending
2,409

 
2,630

10.
RELATED-PARTY TRANSACTIONS
Certain Master Trust investments are managed by SSBT. SSBT is the trustee as defined by the Plan and, therefore, these transactions qualify as party-in-interest transactions.
As of December 31, 2014 and 2013, the Plan held approximately 47 million and 52 million shares of common stock of the Company, respectively, with a cost basis of $3,291 and $3,328, respectively, and recorded dividend income of $147 during the year ended December 31, 2014.
Evercore Trust Company, N.A. (“Evercore”) is the independent fiduciary and investment manager of the Boeing Stock Fund. The Plan has authorized Evercore with sole responsibility for deciding whether to restrict investment in the Boeing Stock Fund, or to sell or otherwise dispose of all or any portion of the stock held in

24
Table of Contents

the Boeing Stock Fund. In the event Evercore determined to sell or dispose of stock in the Boeing Stock Fund, Evercore would designate an alternative investment fund under the Plan for the temporary investment of any proceeds from the sale or other disposition of the Company’s common stock.
11.
PROHIBITED TRANSACTIONS
Between February 28, 2011 and May 29, 2012, reportable nonexempt party-in-interest transactions existed. Plan assets were inadvertently used to pay an overstated amount for investment advisory fees. The Plan was corrected according to the guiding principles of the Department of Labor’s Voluntary Fiduciary Correction Program (VFCP), which involved remitting the total principal amount of one hundred and seventy-three dollars and associated earnings in the amount of seventeen dollars to the Plan on December 11, 2014.
On December 31, 2012, a reportable nonexempt party-in-interest transaction existed. An investment advisory firm was in control of plan assets held outside of the Plan and Master Trust. The Plan was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of fifteen thousand seven hundred and fifty-two dollars and associated earnings in the amount of eight hundred and ninety-eight dollars to the Plan on October 28, 2014 and April 9, 2015, respectively.
Between April 30, 2014 and October 29, 2014, reportable nonexempt party-in-interest transactions existed. Plan assets were inadvertently used to pay an overstated amount for investment advisory fees. The Plan was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of one hundred fifty thousand nine hundred and forty-nine dollars and associated earnings in the amount of two thousand and two hundred dollars to the Plan on October 29, 2014.
12.
TAX STATUS
The Internal Revenue Service (IRS) has determined and informed the Company by a letter, dated May 11, 2015, that the Plan is designed in accordance with applicable sections of the IRC. The Plan administrator believes that the Plan is designed and is currently being operated in compliance with the applicable requirements of the IRC. Therefore, the Plan administrator believes that the tax-exempt status of the Plan and related trust has not been affected and no provision for income taxes has been included in the Plan’s financial statements.
GAAP requires Plan management to evaluate tax positions taken by the Plan and recognize a tax liability (or asset) if the Plan has taken an uncertain position that more likely than not would not be sustained upon examination by the IRS. The Plan administrator has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2014 and 2013, there are no uncertain tax positions taken or expected to be taken that would require recognition of a liability (or asset) or disclosure in the financial statements. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits for any tax periods in progress. The Plan administrator believes it is no longer subject to income tax examinations for years prior to 2011.
13.
PLAN TERMINATION
Although it has not expressed any intention to do so, the Company has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions set forth in ERISA. In the event of termination of the Plan, both Members and Company contributions, including any income earned, will be distributed to the Members.

25
Table of Contents

14.
SUBSEQUENT EVENTS
Effective January 5, 2015, the Plan began allowing non-union and certain union Members to make Roth 401(k) contributions to the Plan. Roth contributions were added to the Plan for other union Members, with varying effective dates, as specified or permitted in the applicable collective bargaining agreement for each group.
Effective January 1, 2016, the Plan will add an enhanced defined contribution benefit to be contributed by the Company, including a temporary transition benefit, under the Plan for certain eligible non-union employees who previously received benefits from both a defined benefit plan and a defined contribution plan. The Plan will also add an enhanced defined contribution benefit to be contributed by the Company for certain union Members as specified or permitted in the applicable collective bargaining agreement for each group.


*  *  *  *  *  *

26
Table of Contents

SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the Plan Administrator has duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
 
 
 
 
 
 
 
 
 
 
 
 
  
THE BOEING COMPANY
 
 
 
 
 
  
 VOLUNTARY INVESTMENT PLAN
 
 
 
 
 
 
June 26, 2015
 
 
  
/s/ Maurita Sutedja      
 
 
Date
 
 
  
Maurita Sutedja
 
 
 
 
 
  
Vice President Finance
 
 
 
 
 
  
Chief Financial Officer
 
 
 
 
 
  
Shared Services Group


27
Table of Contents

SUPPLEMENTAL SCHEDULES

28
Table of Contents

THE BOEING COMPANY
VOLUNTARY INVESTMENT PLAN
FORM 5500, SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
AS OF DECEMBER 31, 2014
Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
AAR CORP COMMON STOCK USD1.
 
 
**
$
38,892

ABB TREASURY CENTER USA SR UNSECURED 144A 06/16 2.5
6/15/2016
2.50%
**
509,923

ACCO BRANDS CORP COMMON STOCK USD.01
 
 
**
100,660

ABN AMRO BANK NV SR UNSECURED 144A 01/16 1.375
1/22/2016
1.38%
**
1,904,673

ABN AMRO BANK NV 10/18 2.5
10/30/2018
2.5%
**
202,003

ABM INDUSTRIES INC COMMON STOCK USD.01
 
 
**
158,578

ADT CORP/THE COMMON STOCK USD.01
 
 
**
609,026

ADT CORP SR UNSECURED 07/17 2.25
7/15/2017
2.25%
**
870,750

ADT CORP SR UNSECURED 07/42 4.875
7/15/2042
4.88%
**
18,500

ADT CORP SR UNSECURED 06/23 4.125
6/15/2023
4.13%
**
31,675

AEP INDUSTRIES INC COMMON STOCK USD.01
 
 
**
29,773

AEW GLOBAL PPTY SECS MASTER TR MUTUAL FUND
 
 
**
239,940,021

AGCO CORP COMMON STOCK USD.01
 
 
**
379,906

AGL CAPITAL CORP COMPANY GUAR 07/16 6.375
7/15/2016
6.38%
**
537,882

AGL CAPITAL CORP COMPANY GUAR 03/41 5.875
3/15/2041
5.88%
**
31,354

AGL CAPITAL CORP COMPANY GUAR 09/21 3.5
9/15/2021
3.5%
**
155,254

AH BELO CORP A COMMON STOCK USD.01
 
 
**
20,210

AIG GLOBAL FUNDING SR SECURED 144A 12/17 1.65
12/15/2017
1.65%
**
6,088,953

AMC NETWORKS INC A COMMON STOCK
 
 
**
1,122,352

ANZ NEW ZEALAND INTL/LDN COMPANY GUAR 144A 08/15 3.125
8/10/2015
3.13%
**
1,967,920

ANZ NEW ZEALAND INTL/LDN COMPANY GUAR 144A 03/16 1.125
3/24/2016
1.13%
**
4,715,778

AOL INC COMMON STOCK USD.01
 
 
**
364,374

AON PLC COMPANY GUAR 12/42 4.25
12/12/2042
4.25%
**
43,739

AT+T INC COMMON STOCK USD1.
 
 
**
1,492,706

AT+T INC SR UNSECURED 02/18 5.5
2/1/2018
5.5%
**
1,782,786

AT+T INC SR UNSECURED 08/15 2.5
8/15/2015
2.5%
**
11,011,612

AT+T INC SR UNSECURED 05/21 4.45
5/15/2021
4.45%
**
53,721

AT+T INC SR UNSECURED 08/16 2.4
8/15/2016
2.4%
**
357,079

AT+T INC SR UNSECURED 08/21 3.875
8/15/2021
3.88%
**
2,160,624

AT+T INC SR UNSECURED 02/17 1.6
2/15/2017
1.6%
**
801,635

AT+T INC SR UNSECURED 02/22 3
2/15/2022
3%
**
775,132

AT+T INC SR UNSECURED 12/15 0.8
12/1/2015
0.8%
**
4,611,224

AT+T INC SR UNSECURED 12/17 1.4
12/1/2017
1.4%
**
222,742

AT+T INC SR UNSECURED 02/16 0.9
2/12/2016
0.9%
**
169,955

AT+T INC SR UNSECURED 03/24 3.9
3/11/2024
3.9%
**
452,172

A10 SECURITIZATION A10 2014 1 A2 144A
4/15/2033
3.02%
**
392,666

AVX CORP COMMON STOCK USD.01
 
 
**
210,938

AZZ INC COMMON STOCK USD1.
 
 
**
115,423

A10 SECURITIZATION A10 2013 1 A 144A
11/15/2025
2.4%
**
123,632

AARON S INC COMMON STOCK USD.5
 
 
**
197,390

ABBEY NATL TREASURY SERV COMPANY GUAR 03/17 1.375
3/13/2017
1.38%
**
4,993,980

ABBEY NATL TREASURY SERV 09/17 1.65
9/29/2017
1.65%
**
6,426,971


29
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ABBOTT LABORATORIES COMMON STOCK NPV
 
 
**
20,064,379

ABBVIE INC SR UNSECURED 11/15 1.2
11/6/2015
1.2%
**
15,545,555

ABBVIE INC SR UNSECURED 11/17 1.75
11/6/2017
1.75%
**
1,944,216

ABBVIE INC SR UNSECURED 11/22 2.9
11/6/2022
2.9%
**
13,308,836

ABERCROMBIE + FITCH CO CL A COMMON STOCK USD.01
 
 
**
182,007

ABIOMED INC COMMON STOCK USD.01
 
 
**
651,739

ACADIA HEALTHCARE CO INC COMMON STOCK USD.01
 
 
**
4,610,092

ACADIA PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
**
838,168

ACADIA REALTY TRUST REIT USD.001
 
 
**
3,098,422

ACCESS GROUP INC ACCSS 2005 1 A3
6/22/2022
0.4%
**
1,522,668

ACCESS GROUP INC ACCSS 2005 A A3
7/25/2034
0.63%
**
8,039,160

ACCESS GROUP INC ACCSS 2008 1 A
10/27/2025
1.53%
**
4,888,203

ACCESS NATIONAL CORP COMMON STOCK USD.835
 
 
**
17,353

ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 2A2
10/25/2034
1.37%
**
1,689,031

ACE INA HOLDINGS COMPANY GUAR 02/17 5.7
2/15/2017
5.7%
**
70,912

ACE INA HOLDINGS COMPANY GUAR 11/15 2.6
11/23/2015
2.6%
**
441,775

ACE INA HOLDINGS COMPANY GUAR 03/23 2.7
3/13/2023
2.7%
**
1,009,818

ACE SECURITIES CORP. ACE 2004 SD1 A1
11/25/2033
0.66%
**
749,338

ACE SECURITIES CORP. ACE 2004 HE3 M1
11/25/2034
1.1%
**
897,276

ACETO CORP COMMON STOCK USD.01
 
 
**
1,851,574

ACHILLION PHARMACEUTICALS COMMON STOCK USD.001
 
 
**
331,975

ACI WORLDWIDE INC COMMON STOCK USD.005
 
 
**
2,924,650

ACORDA THERAPEUTICS INC COMMON STOCK USD.001
 
 
**
1,837,107

ACTAVIS FUNDING SCS COMPANY GUAR 06/17 1.3
6/15/2017
1.3%
**
5,912,303

ACTAVIS FUNDING SCS COMPANY GUAR 06/19 2.45
6/15/2019
2.45%
**
260,481

ACTUATE CORP COMMON STOCK USD.001
 
 
**
30,439

ACTUANT CORP A COMMON STOCK USD.2
 
 
**
170,304

ACUITY BRANDS INC COMMON STOCK USD.01
 
 
**
384,492

ACTUA CORP COMMON STOCK USD.001
 
 
**
70,038

ACXIOM CORP COMMON STOCK USD.1
 
 
**
5,045,403

BHP BILLITON PLC COMMON STOCK USD.5
 
 
**
656,737

ARM HOLDINGS PLC COMMON STOCK GBP.0005
 
 
**
2,644,934

ADAMS RESOURCES + ENERGY INC COMMON STOCK USD.1
 
 
**
15,335

ADDUS HOMECARE CORP COMMON STOCK USD.001
 
 
**
22,377

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7A2
2/25/2035
1.01%
**
233,747

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1
9/25/2035
2.76%
**
1,845,899

ADOBE SYSTEMS INC COMMON STOCK USD.0001
 
 
**
19,223,625

ADTRAN INC COMMON STOCK USD.01
 
 
**
2,019,203

ADVANCE AUTO PARTS INC COMMON STOCK USD.0001
 
 
**
3,678,253

ADVISORY BOARD CO/THE COMMON STOCK USD.01
 
 
**
3,051,454

AECOM COMMON STOCK USD.01
 
 
**
323,896

AEGION CORP COMMON STOCK USD.01
 
 
**
62,939

AEROPOSTALE INC COMMON STOCK USD.01
 
 
**
11,890

ADVENT HEALTH SYSTEM UNSECURED 03/23 3.378
3/1/2023
3.38%
**
3,986,928

ADVANCED ENERGY INDUSTRIES COMMON STOCK USD.001
 
 
**
94,729

AETNA INC SR UNSECURED 11/22 2.75
11/15/2022
2.75%
**
776,020

AETNA INC COMMON STOCK USD.01
 
 
**
4,775,057

AETNA INC SR UNSECURED 12/37 6.75
12/15/2037
6.75%
**
79,132


30
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
AETNA INC SR UNSECURED 05/17 1.75
5/15/2017
1.75%
**
6,540,775

AETNA INC SR UNSECURED 03/19 2.2
3/15/2019
2.2%
**
461,928

AFRICAN DEVELOPMENT BANK SUBORDINATED 10/15 6.875
10/15/2015
6.88%
**
390,858

AGILENT TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
2,183,740

AGIOS PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
3,427,304

AGREE REALTY CORP REIT USD.0001
 
 
**
31,867

AGRIUM INC COMMON STOCK NPV
 
 
**
541,334

AGRIUM INC SR UNSECURED 06/23 3.5
6/1/2023
3.5%
**
616,301

AGRIUM INC SR UNSECURED 01/45 5.25
1/15/2045
5.25%
**
151,216

AIR CANADA 2013 1A PTT PASS THRU CE 144A 11/26 4.125
11/15/2026
4.13%
**
46,168

AIR METHODS CORP COMMON STOCK USD.06
 
 
**
2,159,231

AIR INDUSTRIES GROUP COMMON STOCK USD.001
 
 
**
10,711

AIR LEASE CORP COMMON STOCK USD.01
 
 
**
351,678

AIR TRANSPORT SERVICES GROUP COMMON STOCK USD.01
 
 
**
50,889

BALFOUR BEATTY PLC COMMON STOCK GBP.5
 
 
**
356,014

AKAMAI TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
24,182,873

AKORN INC COMMON STOCK NPV
 
 
**
2,254,174

ALABAMA POWER CO SR UNSECURED 02/19 5.125
2/15/2019
5.13%
**
27,827

ALABAMA POWER CO SR UNSECURED 10/15 0.55
10/15/2015
0.55%
**
299,868

ALAMO GROUP INC COMMON STOCK USD.1
 
 
**
59,581

ALAMOS GOLD INC COMMON STOCK NPV
 
 
**
337,518

ALASKA AIR GROUP INC COMMON STOCK USD.01
 
 
**
777,896

BRAMMER PLC COMMON STOCK GBP.2
 
 
**
522,367

ALBANY INTL CORP CL A COMMON STOCK USD.001
 
 
**
105,118

ALBANY MOLECULAR RESEARCH COMMON STOCK USD.01
 
 
**
51,722

ALBEMARLE CORP COMMON STOCK USD.01
 
 
**
2,441,278

BRITISH LAND CO PLC REIT GBP.25
 
 
**
101,406

ALCATEL LUCENT SPONSORED ADR ADR EUR2.
 
 
**
2,802,406

SKY PLC COMMON STOCK GBP.5
 
 
**
4,352,230

ALEXANDER + BALDWIN INC COMMON STOCK
 
 
**
185,111

TULLOW OIL PLC COMMON STOCK GBP.1
 
 
**
51,378

ALEXANDRIA REAL ESTATE EQUIT REIT USD.01
 
 
**
427,461

ALEXION PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
**
7,069,071

ALIBABA GROUP HOLDING SP ADR ADR USD.000025
 
 
**
19,281,390

ALIBABA GROUP HOLDING COMPANY GUAR 144A 11/17 1.625
11/28/2017
1.63%
**
4,161,060

ALICO INC COMMON STOCK USD1.
 
 
**
35,872

ALIGN TECHNOLOGY INC COMMON STOCK USD.0001
 
 
**
3,477,602

ALIMENTATION COUCHE TARD B COMMON STOCK NPV
 
 
**
1,404,054

ALLEGHANY CORP COMMON STOCK USD1.
 
 
**
760,140

ALLEGHENY TECHNOLOGIES INC COMMON STOCK USD.1
 
 
**
2,444,331

ALLEGIANT TRAVEL CO COMMON STOCK USD.001
 
 
**
2,720,973

ALLERGAN INC COMMON STOCK USD.01
 
 
**
41,184,210

ALLETE INC COMMON STOCK NPV
 
 
**
3,070,747

ALLIANCE DATA SYSTEMS CORP COMMON STOCK USD.01
 
 
**
18,569,508

ALLIANT TECHSYSTEMS INC COMMON STOCK USD.01
 
 
**
214,481

ALLIED MOTION TECHNOLOGIES COMMON STOCK NPV
 
 
**
21,842

ALLIED WORLD ASSURANCE COMPANY GUAR 08/16 7.5
8/1/2016
7.5%
**
1,670,231

ALLSCRIPTS HEALTHCARE SOLUTI COMMON STOCK USD.01
 
 
**
149,217


31
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE
1/20/2030
3%
**
—

FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
1/14/2045
3.5%
**
—

FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
1/14/2045
4.5%
**
—

FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
1/14/2045
5%
**
—

ALLSTATE CORP COMMON STOCK USD.01
 
 
**
4,580,300

ALLSTATE CORP SR UNSECURED 05/18 6.75
5/15/2018
6.75%
**
230,874

ALLSTATE CORP SR UNSECURED 06/23 3.15
6/15/2023
3.15%
**
562,728

ALLY MASTER OWNER TRUST AMOT 2014 2 A
1/16/2018
0.53%
**
6,124,839

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 5 A3
3/15/2017
0.62%
**
1,705,624

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 3 A3
8/15/2016
0.85%
**
69,868

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 3 A4
2/15/2017
1.06%
**
790,887

ALLY FINANCIAL INC COMPANY GUAR 02/15 8.3
2/12/2015
8.3%
**
180,900

ALLY FINANCIAL INC COMPANY GUAR 02/17 5.5
2/15/2017
5.5%
**
210,000

ALLY FINANCIAL INC COMPANY GUAR 06/15 4.625
6/26/2015
4.63%
**
100,750

ALLY FINANCIAL INC COMPANY GUAR 07/16 3.5
7/18/2016
3.5%
**
101,125

ALLY FINANCIAL INC COMPANY GUAR 09/18 4.75
9/10/2018
4.75%
**
310,500

ALLY FINANCIAL INC COMPANY GUAR 01/17 2.75
1/30/2017
2.75%
**
398,752

ALLY FINANCIAL INC SR UNSECURED 09/17 3.25
9/29/2017
3.25%
**
200,000

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 2 A4
4/15/2016
1.98%
**
129,758

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 4 A4
6/15/2016
1.14%
**
844,018

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 1 A3
2/16/2016
0.93%
**
49,261

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 2 A3
4/15/2016
0.74%
**
261,416

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 4 A3
1/17/2017
0.59%
**
1,985,749

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 4 A4
10/16/2017
0.8%
**
1,045,723

ALLY AUTO RECEIVABLES TRUST ALLYA 2013 1 A3
5/15/2017
0.63%
**
1,191,970

ALLY AUTO RECEIVABLES TRUST LE ALLYL 2013 SN1 A3
5/20/2016
0.72%
**
4,714,094

ALLY AUTO RECEIVABLES TRUST ALLYA 2013 2 A4
11/15/2018
1.24%
**
3,687,683

ALLY AUTO RECEIVABLES TRUST LE ALLYL 2014 SN1 A2A
10/20/2016
0.52%
**
3,498,505

ALLY AUTO RECEIVABLES TRUST LE ALLYL 2014 SN1 A3
2/21/2017
0.75%
**
1,242,819

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 1 A2
2/15/2017
0.48%
**
4,895,267

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 3 A2
9/15/2017
0.81%
**
4,398,918

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 2 A2
7/17/2017
0.68%
**
6,695,725

ALMOST FAMILY INC COMMON STOCK USD.1
 
 
**
26,692

ALNYLAM PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
**
3,214,677

ALON USA ENERGY INC COMMON STOCK USD.01
 
 
**
88,310

ALTERA CORP SR UNSECURED 05/17 1.75
5/15/2017
1.75%
**
3,358,541

COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A
7/20/2046
0.38%
**
224,282

ALTICE SA SR SECURED 144A 05/22 7.75
5/15/2022
7.75%
**
1,001,875

AVIVA PLC COMMON STOCK GBP.25
 
 
**
394,635

ALTRA INDUSTRIAL MOTION CORP COMMON STOCK USD.001
 
 
**
66,915

ALTRIA GROUP INC COMMON STOCK USD.333
 
 
**
2,776,069

ALTRIA GROUP INC COMPANY GUAR 11/18 9.7
11/10/2018
9.7%
**
7,491,867

ALTRIA GROUP INC COMPANY GUAR 08/19 9.25
8/6/2019
9.25%
**
6,463,482

ALTRIA GROUP INC COMPANY GUAR 05/21 4.75
5/5/2021
4.75%
**
1,271,924

ALTRIA GROUP INC COMPANY GUAR 08/22 2.85
8/9/2022
2.85%
**
417,829

ALTRIA GROUP INC COMPANY GUAR 01/24 4
1/31/2024
4%
**
3,310,195

AMAZON.COM INC COMMON STOCK USD.01
 
 
**
24,629,066

AMAZON.COM INC SR UNSECURED 11/17 1.2
11/29/2017
1.2%
**
771,726


32
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
AMAZON.COM INC SR UNSECURED 11/22 2.5
11/29/2022
2.5%
**
4,732,575

AMAZON.COM INC SR UNSECURED 11/15 0.65
11/27/2015
0.65%
**
5,127,434

AMAZON.COM INC SR UNSECURED 12/19 2.6
12/5/2019
2.6%
**
312,140

AMAZON.COM INC SR UNSECURED 12/24 3.8
12/5/2024
3.8%
**
3,657,536

AMAZON.COM INC SR UNSECURED 12/34 4.8
12/5/2034
4.8%
**
5,341,067

AMAZON.COM INC SR UNSECURED 12/44 4.95
12/5/2044
4.95%
**
1,859,409

AMBAC FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
97,927

AMBEV SA ADR ADR NPV
 
 
**
373,200

HESS CORP SR UNSECURED 10/29 7.875
10/1/2029
7.88%
**
70,380

AMERCO COMMON STOCK USD.25
 
 
**
495,181

AMERESCO INC CL A COMMON STOCK USD.0001
 
 
**
20,090

AMERICA MOVIL SPN ADR CL L ADR NPV
 
 
**
1,288,658

AMERICA MOVIL SAB DE CV COMPANY GUAR 01/15 5.75
1/15/2015
5.75%
**
6,703,350

AMERICA MOVIL SAB DE CV COMPANY GUAR 03/20 5
3/30/2020
5%
**
88,219

DIAGEO PLC COMMON STOCK GBP.2893518
 
 
**
2,878,728

AMER AIRLN 14 1 A PTT EQUIPMENT TR 04/28 3.7
4/1/2028
3.7%
**
256,275

AMERICAN AIRLINES 2013 2 EQUIPMENT TR 07/24 4.95
7/15/2024
4.95%
**
783,700

AMERICAN ASSETS TRUST INC REIT USD.01
 
 
**
3,051,516

SCHRODERS PLC COMMON STOCK GBP1.0
 
 
**
385,770

DCC PLC COMMON STOCK EUR.25
 
 
**
393,341

AMERICAN CAMPUS COMMUNITIES REIT USD.01
 
 
**
5,647,998

AMERICAN CAMPUS CMNTYS COMPANY GUAR 07/24 4.125
7/1/2024
4.13%
**
1,010,078

DAIRY CREST GROUP PLC COMMON STOCK GBP.25
 
 
**
290,320

AMERICAN CREDIT ACCEPTANCE REC ACAR 2013 2 A 144A
2/15/2017
1.32%
**
437,763

AMERICAN CREDIT ACCEPTANCE REC ACAR 2014 2 B 144A
3/10/2020
2.26%
**
309,701

AMERICAN CREDIT ACCEPTANCE REC ACAR 2014 4 A 144A
7/10/2018
1.23%
**
907,744

AMERICAN ELECTRIC POWER SR UNSECURED 12/17 1.65
12/15/2017
1.65%
**
1,395,359

AMERICAN EAGLE OUTFITTERS COMMON STOCK USD.01
 
 
**
1,208,292

AMERICAN EQUITY INVT LIFE HL COMMON STOCK USD1.
 
 
**
218,400

AMERICAN EXPRESS BK FSB SR UNSECURED 09/17 6
9/13/2017
6%
**
156,067

AMERICAN EXPR CENTURION SR UNSECURED 11/15 0.875
11/13/2015
0.88%
**
300,416

AMERICAN EXPRESS CO SR UNSECURED 12/22 2.65
12/2/2022
2.65%
**
5,065,734

AMERICAN EXPRESS CO SR UNSECURED 05/18 1.55
5/22/2018
1.55%
**
5,942,958

AMERICAN EXPRESS CO SUBORDINATED 12/24 3.625
12/5/2024
3.63%
**
1,812,986

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2012 2 A
3/15/2018
0.68%
**
12,009,180

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2013 2 A
5/17/2021
0.58%
**
13,529,997

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2014 3 A
4/15/2020
1.49%
**
917,832

AMER EXPRESS CREDIT CO SR UNSECURED 09/15 2.75
9/15/2015
2.75%
**
2,233,942

AMERICAN EXPRESS CREDIT SR UNSECURED 07/16 1.3
7/29/2016
1.3%
**
3,891,880

AMERICAN EXPRESS CREDIT SR UNSECURED 03/19 VAR
3/18/2019
0.79%
**
9,062,053

AMERICAN EXPRESS CREDIT SR UNSECURED 06/17 VAR
6/5/2017
0.5%
**
6,988,016

AMERICAN EXPRESS CREDIT SR UNSECURED 08/19 2.25
8/15/2019
2.25%
**
1,100,176

AMERICAN EXPRESS CREDIT SR UNSECURED 09/17 1.55
9/22/2017
1.55%
**
5,193,138

AMERICAN EXPRESS CREDIT SR UNSECURED 09/17 VAR
9/22/2017
0.55%
**
2,485,778

AMERICAN FINANCIAL GROUP INC COMMON STOCK NPV
 
 
**
541,440

AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 4A1
9/25/2045
1.83%
**
317,527

AMERICAN HONDA FINANCE SR UNSECURED 10/16 VAR
10/7/2016
0.73%
**
3,917,024

AMERICAN HONDA FINANCE SR UNSECURED 10/16 1.125
10/7/2016
1.13%
**
4,681,548


33
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
AMERICAN HONDA FINANCE SR UNSECURED 07/17 1.2
7/14/2017
1.2%
**
1,942,212

AMERICAN HONDA FINANCE SR UNSECURED 08/19 2.25
8/15/2019
2.25%
**
436,399

AMERICAN HONDA FINANCE SR UNSECURED 12/17 1.55
12/11/2017
1.55%
**
89,380

AMERICAN HONDA FINANCE SR UNSECURED 12/17 VAR
12/11/2017
0.55%
**
3,397,868

AMERICAN HONDA FINANCE SR UNSECURED 144A 09/15 2.5
9/21/2015
2.5%
**
456,623

AMERICAN HONDA FINANCE SR UNSECURED 144A 02/15 1.45
2/27/2015
1.45%
**
300,462

AMERICAN HONDA FINANCE SR UNSECURED 144A 08/15 1
8/11/2015
1%
**
2,489,238

AMERICAN HONDA FINANCE SR UNSECURED 144A 09/17 1.5
9/11/2017
1.5%
**
300,266

AMERICAN INTERNATIONAL GROUP COMMON STOCK USD2.5
 
 
**
10,843,536

AMERICAN INTL GROUP SR UNSECURED 10/15 5.05
10/1/2015
5.05%
**
3,606,204

AMERICAN INTL GROUP SR UNSECURED 12/20 6.4
12/15/2020
6.4%
**
1,752,931

AMERICAN INTL GROUP SR UNSECURED 06/22 4.875
6/1/2022
4.88%
**
1,044,710

AMERICAN INTL GROUP SR UNSECURED 02/24 4.125
2/15/2024
4.13%
**
25,548

AMERICAN INTL GROUP SR UNSECURED 07/19 2.3
7/16/2019
2.3%
**
870,886

AMERICAN INTL GROUP SR UNSECURED 10/16 5.6
10/18/2016
5.6%
**
4,131,741

AMERICAN INTL GROUP SR UNSECURED 05/17 5.45
5/18/2017
5.45%
**
1,609,370

AMERICAN INTL GROUP SR UNSECURED 01/18 5.85
1/16/2018
5.85%
**
5,720,200

AMERICAN MUNI PWR OHIO INC OH AMEPWR 02/28 FIXED 7.334
2/15/2028
7.33%
**
262,258

AMER NATL BNKSHS/DANVILLE VA COMMON STOCK USD1.
 
 
**
20,344

AMERICAN NATIONAL INSURANCE COMMON STOCK USD1.
 
 
**
304,503

AMERICAN RAILCAR INDUSTRIES COMMON STOCK USD.01
 
 
**
105,575

AMERICAN SCIENCE + ENGINEERI COMMON STOCK USD.667
 
 
**
37,212

TBA FHLMC GOLD CONV INTER AGGR
12/1/2099
2.5%
**
—

AMERICAN TOWER TRUST I AMTT 13 1A 144A
3/15/2043
1.55%
**
49,408

AMERICAN TOWER CORP REIT USD.01
 
 
**
16,916,003

AMERICAN VANGUARD CORP COMMON STOCK USD.1
 
 
**
30,967

AMERICAN WATER CAP CORP SR UNSECURED 12/42 4.3
12/1/2042
4.3%
**
7,118

AMERICAN WATER CAPITAL C SR UNSECURED 03/25 3.4
3/1/2025
3.4%
**
11,070

AMERICAN WATER WORKS CO INC COMMON STOCK USD.01
 
 
**
3,187,340

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 3 A3
1/9/2017
0.96%
**
315,332

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 2 A3
10/11/2016
1.05%
**
52,424

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 4 A3
6/8/2017
0.67%
**
726,574

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 1 A2
7/10/2017
0.57%
**
2,255,220

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 2 A2A
10/10/2017
0.54%
**
5,696,540

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 2 A3
2/8/2019
0.94%
**
861,588

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 1 A3
10/10/2017
0.61%
**
427,128

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 3 A2
10/11/2016
0.68%
**
1,413,231

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 4 B
9/10/2018
1.66%
**
1,970,161

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 4 A2B
4/9/2018
0.56%
**
5,700,844

AMERISAFE INC COMMON STOCK USD.01
 
 
**
78,154

AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 A1
11/25/2034
0.76%
**
14,425

AMERISOURCEBERGEN CORP SR UNSECURED 05/17 1.15
5/15/2017
1.15%
**
5,308,769

AMERIPRISE FINANCIAL INC COMMON STOCK USD.01
 
 
**
13,469,663

AMERIPRISE FINANCIAL INC SR UNSECURED 10/23 4
10/15/2023
4%
**
105,927

AMERIS BANCORP COMMON STOCK USD1.
 
 
**
25,589

AMGEN INC SR UNSECURED 06/17 5.85
6/1/2017
5.85%
**
220,299

AMGEN INC SR UNSECURED 06/18 6.15
6/1/2018
6.15%
**
369,917

AMGEN INC SR UNSECURED 02/19 5.7
2/1/2019
5.7%
**
14,707,780


34
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
AMGEN INC SR UNSECURED 10/20 3.45
10/1/2020
3.45%
**
805,222

AMGEN INC SR UNSECURED 06/16 2.3
6/15/2016
2.3%
**
40,632

AMGEN INC SR UNSECURED 06/21 4.1
6/15/2021
4.1%
**
177,081

AMGEN INC SR UNSECURED 11/21 3.875
11/15/2021
3.88%
**
417,323

AMGEN INC SR UNSECURED 05/22 3.625
5/15/2022
3.63%
**
252,221

AMGEN INC SR UNSECURED 05/17 2.125
5/15/2017
2.13%
**
411,327

AMGEN INC SR UNSECURED 05/17 1.25
5/22/2017
1.25%
**
297,633

AMGEN INC SR UNSECURED 05/19 VAR
5/22/2019
0.83%
**
4,999,835

AMGEN INC SR UNSECURED 05/19 2.2
5/22/2019
2.2%
**
99,580

AMGEN INC SR UNSECURED 05/24 3.625
5/22/2024
3.63%
**
17,294,744

AMKOR TECHNOLOGY INC COMMON STOCK USD.001
 
 
**
109,163

AMPCO PITTSBURGH CORP COMMON STOCK USD1.0
 
 
**
19,731

AMPHENOL CORP CL A COMMON STOCK USD.001
 
 
**
1,926,398

AMSURG CORP COMMON STOCK NPV
 
 
**
252,415

ANADARKO PETROLEUM CORP COMMON STOCK USD.1
 
 
**
5,020,538

ANADARKO PETROLEUM CORP SR UNSECURED 09/16 5.95
9/15/2016
5.95%
**
4,442,205

ANADARKO PETROLEUM CORP SR UNSECURED 09/36 6.45
9/15/2036
6.45%
**
216,305

ANADARKO PETROLEUM CORP SR UNSECURED 09/17 6.375
9/15/2017
6.38%
**
2,701,679

ANALOGIC CORP COMMON STOCK USD.05
 
 
**
104,070

ANDERSONS INC/THE COMMON STOCK NPV
 
 
**
147,038

ANGIODYNAMICS INC COMMON STOCK USD.01
 
 
**
70,147

ANHEUSER BUSCH COS LLC COMPANY GUAR 10/16 5.05
10/15/2016
5.05%
**
267,343

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/15 4.125
1/15/2015
4.13%
**
200,187

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/20 5.375
1/15/2020
5.38%
**
3,029,804

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 04/15 3.625
4/15/2015
3.63%
**
605,282

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 04/20 5
4/15/2020
5%
**
1,358,457

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/19 7.75
1/15/2019
7.75%
**
454,215

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 07/17 1.375
7/15/2017
1.38%
**
424,623

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 01/16 0.8
1/15/2016
0.8%
**
1,136,831

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 02/24 3.7
2/1/2024
3.7%
**
534,964

ANIKA THERAPEUTICS INC COMMON STOCK USD.01
 
 
**
1,005,463

ANIXTER INTERNATIONAL INC COMMON STOCK USD1.
 
 
**
244,769

ANTHEM INC COMMON STOCK USD.01
 
 
**
3,971,172

AON CORP COMPANY GUAR 09/15 3.5
9/30/2015
3.5%
**
6,351,339

APACHE CORP SR UNSECURED 09/40 5.1
9/1/2040
5.1%
**
58,772

APACHE CORP SR UNSECURED 04/22 3.25
4/15/2022
3.25%
**
2,823,780

APACHE CORP SR UNSECURED 04/17 1.75
4/15/2017
1.75%
**
699,317

APOLLO EDUCATION GROUP INC COMMON STOCK NPV
 
 
**
356,620

APOLLO GLOBAL MANAGEMENT A MLP
 
 
**
4,008,600

APIDOS CLO APID 2006 3A A1 144A
6/12/2020
0.5%
**
340,803

APPALACHIAN POWER CO SR UNSECURED 06/17 5
6/1/2017
5%
**
215,762

APPLE INC COMMON STOCK USD.00001
 
 
**
149,936,329

APPLE INC SR UNSECURED 05/16 0.45
5/3/2016
0.45%
**
11,697,306

APPLE INC SR UNSECURED 05/18 1
5/3/2018
1%
**
98,516

APPLE INC SR UNSECURED 05/23 2.4
5/3/2023
2.4%
**
97,200

APPLE INC SR UNSECURED 05/21 2.85
5/6/2021
2.85%
**
29,414,163

APPLIED INDUSTRIAL TECH INC COMMON STOCK NPV
 
 
**
182,223

APPLIED MATERIALS INC COMMON STOCK USD.01
 
 
**
11,691,168


35
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
APTARGROUP INC COMMON STOCK USD.01
 
 
**
278,121

APPROACH RESOURCES INC COMMON STOCK USD.01
 
 
**
17,029

ARC PROPERTIES OPERATING COMPANY GUAR 02/17 2
2/6/2017
2%
**
12,185,927

ARCBEST CORP COMMON STOCK USD.01
 
 
**
1,222,406

ARCH COAL INC COMMON STOCK USD.01
 
 
**
25,178

ARCTIC CAT INC COMMON STOCK USD.01
 
 
**
40,009

ARENA PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
**
2,467,968

ARGENT SECURITIES INC. ARSI 2003 W3 M1
9/25/2033
1.28%
**
471,604

ARGENT SECURITIES INC. ARSI 2004 W5 AV3B
4/25/2034
1.06%
**
1,042,760

ARGENT SECURITIES INC. ARSI 2004 W11 M2
11/25/2034
1.22%
**
3,320,549

ARES MANAGEMENT LP MLP
 
 
**
1,743,138

ARIZONA PUBLIC SERVICE SR UNSECURED 05/15 4.65
5/15/2015
4.65%
**
182,519

ARIZONA PUBLIC SERVICE SR UNSECURED 08/16 6.25
8/1/2016
6.25%
**
406,131

ARIZONA PUBLIC SERVICE SR UNSECURED 04/42 4.5
4/1/2042
4.5%
**
26,479

HAMMERSON PLC REIT GBP.25
 
 
**
64,515

STANDARD CHARTERED PLC COMMON STOCK USD.5
 
 
**
3,794,872

HAYS PLC COMMON STOCK GBP.01
 
 
**
1,280,179

ARM HOLDINGS PLC SPONS ADR ADR NPV
 
 
**
5,235,928

ARROW ELECTRONICS INC COMMON STOCK USD1.
 
 
**
557,770

ARROW ELECTRONICS INC SR UNSECURED 01/27 7.5
1/15/2027
7.5%
**
98,042

ARROW ELECTRONICS INC SR UNSECURED 03/18 3
3/1/2018
3%
**
271,741

ARROW ELECTRONICS INC SR UNSECURED 11/15 3.375
11/1/2015
3.38%
**
594,528

ARROW FINANCIAL CORP COMMON STOCK USD1.
 
 
**
33,813

ARTISAN PARTNERS ASSET MA A COMMON STOCK USD.01
 
 
**
2,930,740

ARUBA NETWORKS INC COMMON STOCK USD.0001
 
 
**
3,469,427

ASBURY AUTOMOTIVE GROUP COMMON STOCK USD.01
 
 
**
4,149,787

ASCENA RETAIL GROUP INC COMMON STOCK USD.01
 
 
**
131,315

ASCENT CAPITAL GROUP INC A COMMON STOCK USD.01
 
 
**
70,503

ASHFORD HOSPITALITY TRUST REIT USD.01
 
 
**
50,482

ASHLAND INC COMMON STOCK USD.01
 
 
**
333,172

ASPEN TECHNOLOGY INC COMMON STOCK USD.1
 
 
**
5,390,804

ASSET BACKED SECURITIES CORP H ABSHE 2003 HE7 M1
12/15/2033
1.13%
**
2,109,533

IMPERIAL TOBACCO GROUP PLC COMMON STOCK GBP.1
 
 
**
535,243

ASSOCIATED BANC CORP COMMON STOCK USD.01
 
 
**
282,617

ASSOCIATED ESTATES REALTY CP REIT NPV
 
 
**
92,770

ASSURANT INC COMMON STOCK USD.01
 
 
**
490,985

ASTA FUNDING INC COMMON STOCK USD.01
 
 
**
11,620

ASTEC INDUSTRIES INC COMMON STOCK USD.2
 
 
**
88,644

ASTORIA FINANCIAL CORP COMMON STOCK USD.01
 
 
**
132,825

ASTRAZENECA PLC SPONS ADR ADR
 
 
**
10,518,643

ASTRAZENECA PLC SR UNSECURED 09/37 6.45
9/15/2037
6.45%
**
60,637

ASTRO MED INC COMMON STOCK USD.05
 
 
**
13,547

ATHENAHEALTH INC COMMON STOCK USD.01
 
 
**
3,811,949

ATLANTIC TELE NETWORK INC COMMON STOCK USD.01
 
 
**
103,886

ATLAS AIR WORLDWIDE HOLDINGS COMMON STOCK USD.01
 
 
**
126,307

ATMEL CORP COMMON STOCK USD.001
 
 
**
2,278,087

ATMOS ENERGY CORP SR UNSECURED 06/17 6.35
6/15/2017
6.35%
**
379,726

ATMOS ENERGY CORP SR UNSECURED 03/19 8.5
3/15/2019
8.5%
**
161,579


36
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ATMOS ENERGY CORP SR UNSECURED 10/44 4.125
10/15/2044
4.13%
**
69,451

ATWOOD OCEANICS INC COMMON STOCK USD1.
 
 
**
162,844

AUST + NZ BANKING GROUP SR UNSECURED 144A 03/16 3.25
3/1/2016
3.25%
**
205,991

AUST + NZ BANKING GROUP UNSECURED 144A 07/16 VAR
7/15/2016
0.41%
**
6,497,654

AUST + NZ BANKING GRP NY SR UNSECURED 02/16 0.9
2/12/2016
0.9%
**
15,493,384

AUTODESK INC COMMON STOCK USD.01
 
 
**
23,127,965

AUTOMATIC DATA PROCESSING COMMON STOCK USD.1
 
 
**
7,142,641

AUTOZONE INC SR UNSECURED 06/16 6.95
6/15/2016
6.95%
**
324,879

AUTOZONE INC SR UNSECURED 01/15 5.75
1/15/2015
5.75%
**
375,524

AVALONBAY COMMUNITIES IN SR UNSECURED 10/20 3.625
10/1/2020
3.63%
**
5,200,455

AVENTURA MALL TRUST AVMT 2013 AVM A 144A
12/5/2032
3.74%
**
2,663,936

AVIATION CAPITAL GROUP SR UNSECURED 144A 10/20 7.125
10/15/2020
7.13%
**
356,826

AVIS BUDGET GROUP INC COMMON STOCK USD.01
 
 
**
4,321,400

AVIS BUDGET RENTAL CAR FUNDING AESOP 2010 5A A 144A
3/20/2017
3.15%
**
685,372

AVIS BUDGET RENTAL CAR FUNDING AESOP 2012 2A A 144A
5/20/2018
2.8%
**
3,169,055

AVIS BUDGET RENTAL CAR FUNDING AESOP 2012 3A A 144A
3/20/2019
2.1%
**
100,032

AVIS BUDGET RENTAL CAR FUNDING AESOP 2013 1A A 144A
9/20/2019
1.92%
**
15,170,139

AVNET INC COMMON STOCK USD1.
 
 
**
586,449

HSBC HOLDINGS PLC COMMON STOCK USD.5
 
 
**
8,552,194

AXCELIS TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
28,600

AXIALL CORP COMMON STOCK USD.01
 
 
**
296,016

AXIS SPECIALTY FINANCE COMPANY GUAR 06/20 5.875
6/1/2020
5.88%
**
951,535

AXIS SPECIALTY FINAN PLC COMPANY GUAR 04/19 2.65
4/1/2019
2.65%
**
2,506,318

BB UBS TRUST BBUBS 2012 TFT A 144A
6/5/2030
2.89%
**
450,377

BB+T CORPORATION SUBORDINATED 12/15 5.2
12/23/2015
5.2%
**
57,194

BB+T CORPORATION SUBORDINATED 11/19 5.25
11/1/2019
5.25%
**
53,472

B+G FOODS INC COMMON STOCK USD.01
 
 
**
156,287

BANK OF AMERICA CREDIT CARD TR BACCT 2014 A1 A
6/15/2021
0.54%
**
12,834,904

BANK OF AMERICA CREDIT CARD TR BACCT 2014 A2 A
9/16/2019
0.43%
**
2,006,318

BANK OF AMERICA CREDIT CARD TR BACCT 2014 A3 A
1/15/2020
0.45%
**
17,396,868

BAE SYSTEMS PLC SR UNSECURED 144A 10/16 3.5
10/11/2016
3.5%
**
10,299,236

BAE SYSTEMS HOLDINGS INC COMPANY GUAR 144A 08/15 5.2
8/15/2015
5.2%
**
6,901,363

BAMLL DB TRUST BMLDB 2012 OSI A1 144A
4/13/2029
2.34%
**
1,466,018

BANC OF AMERICA MERRILL LYNCH BAMLL 2014 FL1 A
12/15/2031
1.56%
**
8,493,865

BB+T CORPORATION SR UNSECURED 04/16 3.95
4/29/2016
3.95%
**
311,600

BB+T CORPORATION SR UNSECURED 03/16 3.2
3/15/2016
3.2%
**
1,641,954

BB+T CORPORATION SR UNSECURED 08/17 1.6
8/15/2017
1.6%
**
4,005,848

BB+T CORPORATION SR UNSECURED 01/18 1.45
1/12/2018
1.45%
**
6,933,157

BB+T CORPORATION 06/18 2.05
6/19/2018
2.05%
**
5,768,762

BB+T CORPORATION SR UNSECURED 02/19 2.25
2/1/2019
2.25%
**
225,461

BB+T CORPORATION SR UNSECURED 01/20 2.45
1/15/2020
2.45%
**
7,330,037

BG ENERGY CAPITAL PLC COMPANY GUAR 144A 10/16 2.875
10/15/2016
2.88%
**
205,002

BHP BILLITON FIN USA LTD COMPANY GUAR 04/19 6.5
4/1/2019
6.5%
**
546,543

BHP BILLITON FIN USA LTD COMPANY GUAR 02/17 1.625
2/24/2017
1.63%
**
2,646,704

BHP BILLITON FIN USA LTD COMPANY GUAR 09/18 2.05
9/30/2018
2.05%
**
6,070,450

BHP BILLITON FIN USA LTD COMPANY GUAR 09/43 5
9/30/2043
5%
**
85,014

BP CAPITAL MARKETS PLC COMPANY GUAR 03/15 3.875
3/10/2015
3.88%
**
4,577,605

BP CAPITAL MARKETS PLC COMPANY GUAR 10/15 3.125
10/1/2015
3.13%
**
17,645,851


37
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BP CAPITAL MARKETS PLC COMPANY GUAR 10/20 4.5
10/1/2020
4.5%
**
2,596,726

BP CAPITAL MARKETS PLC COMPANY GUAR 03/16 3.2
3/11/2016
3.2%
**
4,210,520

BP CAPITAL MARKETS PLC COMPANY GUAR 11/16 2.248
11/1/2016
2.25%
**
2,365,800

BP CAPITAL MARKETS PLC COMPANY GUAR 11/21 3.561
11/1/2021
3.56%
**
658,991

BP CAPITAL MARKETS PLC COMPANY GUAR 05/22 3.245
5/6/2022
3.25%
**
12,961,369

BP CAPITAL MARKETS PLC COMPANY GUAR 11/15 0.7
11/6/2015
0.7%
**
9,127,163

BP CAPITAL MARKETS PLC COMPANY GUAR 11/17 1.375
11/6/2017
1.38%
**
989,100

BP CAPITAL MARKETS PLC COMPANY GUAR 05/18 1.375
5/10/2018
1.38%
**
210,201

BP CAPITAL MARKETS PLC COMPANY GUAR 02/24 3.814
2/10/2024
3.81%
**
135,876

BNP PARIBAS SR UNSECURED 09/17 2.375
9/14/2017
2.38%
**
5,410,993

BNP PARIBAS COMPANY GUAR 03/15 3.25
3/11/2015
3.25%
**
1,508,003

BNP PARIBAS COMPANY GUAR 01/21 5
1/15/2021
5%
**
11,310

BNP PARIBAS HOME LOAN COVERED 144A 11/15 2.2
11/2/2015
2.2%
**
1,719,458

BNP PARIBAS SR UNSECURED 08/18 2.7
8/20/2018
2.7%
**
3,454,411

BNP PARIBAS 12/16 1.25
12/12/2016
1.25%
**
9,993,520

BPCE SA COMPANY GUAR 02/17 1.625
2/10/2017
1.63%
**
3,447,152

BPCE SA COMPANY GUAR 04/24 4
4/15/2024
4%
**
20,903,320

BPCE SA COMPANY GUAR 11/16 VAR
11/18/2016
1%
**
1,000,698

BPCE SA COMPANY GUAR 06/17 VAR
6/23/2017
0.86%
**
9,999,460

BPCE SA UNSECURED 07/17 1.6125
7/25/2017
1.61%
**
1,636,295

BPCE SA SUBORDINATED 144A 07/24 4.625
7/11/2024
4.63%
**
8,543,524

BPCE SA SUBORDINATED 144A 03/25 4.5
3/15/2025
4.5%
**
879,414

BMW VEHICLE OWNER TRUST BMWOT 2013 A A2
2/25/2016
0.41%
**
461,979

BAIDU INC SPON ADR ADR USD.00005
 
 
**
35,102,593

BAKER HUGHES INC COMMON STOCK USD1.
 
 
**
947,975

BAKER HUGHES INC SR UNSECURED 11/18 7.5
11/15/2018
7.5%
**
3,043,779

BALDWIN + LYONS INC CL B COMMON STOCK NPV
 
 
**
31,709

BALTIMORE GAS + ELECTRIC SR UNSECURED 10/16 5.9
10/1/2016
5.9%
**
162,616

BALTIMORE GAS + ELECTRIC SR UNSECURED 07/23 3.35
7/1/2023
3.35%
**
343,376

BANCFIRST CORP COMMON STOCK USD1.
 
 
**
97,430

BANCO BRADESCO ADR ADR NPV
 
 
**
668,634

BANC OF AMERICA COMMERCIAL MOR BACM 2005 3 A3A
7/10/2043
4.62%
**
2,803,211

BANC OF AMERICA COMMERCIAL MOR BACM 2005 3 A4
7/10/2043
4.67%
**
1,309,875

BANC OF AMERICA COMMERCIAL MOR BACM 2005 4 A5A
7/10/2045
4.93%
**
1,544,440

BANC OF AMERICA COMMERCIAL MOR BACM 2006 3 A4
7/10/2044
5.89%
**
1,375,227

BANC OF AMERICA COMMERCIAL MOR BACM 2006 2 A4
5/10/2045
5.73%
**
14,032,145

BANC OF AMERICA COMMERCIAL MOR BACM 2006 2 AJ
5/10/2045
5.76%
**
8,520,393

BANC OF AMERICA COMMERCIAL MOR BACM 2006 6 A2
10/10/2045
5.31%
**
168,033

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 A2
9/10/2047
5.32%
**
108,314

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 A4
9/10/2047
5.41%
**
156,915

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 AM
9/10/2047
5.45%
**
282,890

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A3
6/10/2049
5.55%
**
1,663,813

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A4
6/10/2049
5.55%
**
26,281,444

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A5
6/10/2049
5.38%
**
1,726,350

BANC OF AMERICA COMMERCIAL MOR BACM 2007 4 A1A
2/10/2051
5.77%
**
3,522,148

BANC OF AMERICA COMMERCIAL MOR BACM 2007 5 A3
2/10/2051
5.62%
**
109,070

BANC OF AMERICA LARGE LOAN BALL 2009 UB2 A4AA 144A
2/24/2051
5.67%
**
3,143,342

BANC OF AMERICA LARGE LOAN BALL 2010 UB5 A4A 144A
2/17/2051
5.65%
**
77,360


38
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BANCO NAC DE DESEN ECONO SR UNSECURED 144A 06/18 6.369
6/16/2018
6.37%
**
149,240

BANCO NAC DE DESEN ECONO SR UNSECURED 144A 06/19 6.5
6/10/2019
6.5%
**
63,600

BANCO NAC DE DESEN ECONO SR UNSECURED 144A 09/16 3.375
9/26/2016
3.38%
**
2,207,480

BANCO SANTANDER CHILE ADR ADR
 
 
**
228,752

BANCO SANTANDER BRAS CI SR UNSECURED 144A 01/16 4.25
1/14/2016
4.25%
**
304,200

BANCORPSOUTH INC COMMON STOCK USD2.5
 
 
**
2,828,719

BANCORP INC/THE COMMON STOCK USD1.
 
 
**
27,900

BANC OF AMERICA FUNDING CORPOR BAFC 2012 R5 A 144A
10/3/2039
0.41%
**
3,308,092

BANC OF CALIFORNIA INC COMMON STOCK USD.01
 
 
**
32,919

BANK OF AMERICA CORP COMMON STOCK USD.01
 
 
**
28,397,692

BANK OF AMERICA CORP SR UNSECURED 10/16 VAR
10/14/2016
0.49%
**
4,868,791

BANK OF AMERICA CORP SR UNSECURED 10/16 5.625
10/14/2016
5.63%
**
2,682,567

BANK OF AMERICA CORP SUBORDINATED 03/19 5.49
3/15/2019
5.49%
**
331,955

BANK OF AMERICA CORP SR UNSECURED 09/17 6
9/1/2017
6%
**
31,464,203

BANK OF AMERICA CORP SR UNSECURED 12/17 5.75
12/1/2017
5.75%
**
5,281,408

BANK OF AMERICA NA SR UNSECURED 11/16 1.125
11/14/2016
1.13%
**
996,394

BANK OF AMERICA NA SR UNSECURED 05/17 VAR
5/8/2017
0.65%
**
1,198,013

BANK OF AMERICA CORP SR UNSECURED 06/19 7.625
6/1/2019
7.63%
**
2,411,181

BANK OF AMERICA CORP SR UNSECURED 08/16 6.5
8/1/2016
6.5%
**
4,233,891

BANK OF AMERICA CORP SR UNSECURED 04/15 4.5
4/1/2015
4.5%
**
5,046,980

BANK OF AMERICA CORP SR UNSECURED 07/20 5.625
7/1/2020
5.63%
**
1,986,840

BANK OF AMERICA CORP SR UNSECURED 03/16 3.625
3/17/2016
3.63%
**
205,619

BANK OF AMERICA CORP SR UNSECURED 05/21 5
5/13/2021
5%
**
4,050,546

BANK OF AMERICA CORP SR UNSECURED 07/16 3.75
7/12/2016
3.75%
**
11,206,912

BANK OF AMERICA CORP SR UNSECURED 03/17 3.875
3/22/2017
3.88%
**
701,018

BANK OF AMERICA CORP SR UNSECURED 10/15 1.5
10/9/2015
1.5%
**
2,510,253

BANK OF AMERICA CORP SR UNSECURED 01/16 1.25
1/11/2016
1.25%
**
8,690,216

BANK OF AMERICA CORP SR UNSECURED 01/18 2
1/11/2018
2%
**
10,691,868

BANK OF AMERICA CORP SR UNSECURED 01/23 3.3
1/11/2023
3.3%
**
4,239,326

BANK OF AMERICA CORP SR UNSECURED 01/19 2.6
1/15/2019
2.6%
**
9,582,942

BANK OF AMERICA CORP SR UNSECURED 11/16 1.35
11/21/2016
1.35%
**
2,492,893

BANK OF AMERICA CORP SR UNSECURED 01/24 4.125
1/22/2024
4.13%
**
3,759,555

BANK OF AMERICA CORP SR UNSECURED 01/44 5
1/21/2044
5%
**
4,703,265

BANK OF AMERICA CORP SR UNSECURED 04/19 2.65
4/1/2019
2.65%
**
8,930,025

BANK OF AMERICA CORP SR UNSECURED 04/24 4
4/1/2024
4%
**
13,822,262

BANK OF AMERICA CORP SUBORDINATED 08/24 4.2
8/26/2024
4.2%
**
6,132,725

BANK OF AMERICA CORP SR UNSECURED 08/17 1.7
8/25/2017
1.7%
**
311,071

BANK OF AMERICA CORP SR UNSECURED 07/23 4.1
7/24/2023
4.1%
**
22,116

BANK OF HAWAII CORP COMMON STOCK USD.01
 
 
**
2,455,434

BANK OF MONTREAL SR UNSECURED 11/15 0.8
11/6/2015
0.8%
**
2,895,367

BANK OF MONTREAL SR UNSECURED 11/22 2.55
11/6/2022
2.55%
**
147,128

BANK OF MONTREAL SR UNSECURED 07/16 VAR
7/15/2016
0.75%
**
11,954,371

BANK OF MONTREAL SR UNSECURED 07/17 1.3
7/14/2017
1.3%
**
4,189,259

BANK OF MONTREAL COMMON STOCK NPV
 
 
**
624,376

BANK OF MONTREAL COVERED 144A 06/15 2.85
6/9/2015
2.85%
**
1,434,207

BANK MUTUAL CORP COMMON STOCK USD.01
 
 
**
32,345

BANK OF THE OZARKS COMMON STOCK USD.01
 
 
**
6,146,187

BANK OF NEW YORK MELLON CORP COMMON STOCK USD.01
 
 
**
9,005,201


39
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BANK OF NEW YORK MELLON SR UNSECURED 06/15 2.95
6/18/2015
2.95%
**
303,370

BANK OF NEW YORK MELLON SR UNSECURED 01/16 2.5
1/15/2016
2.5%
**
560,478

BANK OF NEW YORK MELLON SR UNSECURED 02/15 1.2
2/20/2015
1.2%
**
179,058

BANK OF NEW YORK MELLON SR UNSECURED 01/18 1.3
1/25/2018
1.3%
**
1,292,743

BANK OF NEW YORK MELLON SR UNSECURED 03/16 0.7
3/4/2016
0.7%
**
3,996,112

BANK OF NEW YORK MELLON SR UNSECURED 08/18 VAR
8/1/2018
0.79%
**
10,376,746

BANK OF NEW YORK MELLON SR UNSECURED 01/19 2.1
1/15/2019
2.1%
**
15,048

BANK OF NEW YORK MELLON SR UNSECURED 11/25 3.95
11/18/2025
3.95%
**
14,986

BANK OF NEW YORK MELLON SR UNSECURED 05/19 2.2
5/15/2019
2.2%
**
71,199

BANK OF NEW YORK MELLON SR UNSECURED 09/19 2.3
9/11/2019
2.3%
**
12,556,850

BANK OF NOVA SCOTIA COMMON STOCK NPV
 
 
**
778,602

BANK OF NOVA SCOTIA SR UNSECURED 01/15 3.4
1/22/2015
3.4%
**
1,076,690

BANK OF NOVA SCOTIA SR UNSECURED 03/16 2.9
3/29/2016
2.9%
**
7,688,761

BANK OF NOVA SCOTIA SR UNSECURED 10/15 0.75
10/9/2015
0.75%
**
5,619,307

BANK OF NOVA SCOTIA SR UNSECURED 10/18 2.05
10/30/2018
2.05%
**
350,429

BANK OF NOVA SCOTIA SR UNSECURED 07/17 1.3
7/21/2017
1.3%
**
5,139,207

BANK OF NOVA SCOTIA COVERED 144A 10/15 1.65
10/29/2015
1.65%
**
723,221

BANK OF NOVA SCOTIA COVERED 09/19 2.125
9/11/2019
2.13%
**
8,027,278

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 01/15 3.85
1/22/2015
3.85%
**
1,652,747

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 02/16 1
2/26/2016
1%
**
200,036

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 09/24 3.25
9/8/2024
3.25%
**
19,944,607

OXFORD INSTRUMENTS PLC COMMON STOCK GBP.05
 
 
**
677,923

BANNER CORPORATION COMMON STOCK USD.01
 
 
**
83,760

BANQUE FED CRED MUTUEL 01/17 1.7
1/20/2017
1.7%
**
3,709,068

BAR HARBOR BANKSHARES COMMON STOCK USD2.
 
 
**
19,680

ASSOCIATED BRITISH FOODS PLC COMMON STOCK GBP.0568
 
 
**
1,617,517

BACARDI LTD COMPANY GUAR 144A 04/19 8.2
4/1/2019
8.2%
**
201,136

BARCLAYS PLC SR UNSECURED 11/19 2.75
11/8/2019
2.75%
**
9,302,810

BARCLAYS BANK PLC SUBORDINATED 144A 06/21 10.179
6/12/2021
10.18%
**
14,164,314

BARCLAYS BANK PLC SR UNSECURED 09/16 5
9/22/2016
5%
**
12,387,565

BARCLAYS BANK PLC SUBORDINATED 04/23 VAR
4/10/2023
7.75%
**
3,161,000

BARCLAYS BANK PLC SR UNSECURED 02/19 2.5
2/20/2019
2.5%
**
303,986

BARCLAYS BANK PLC SR UNSECURED 05/24 3.75
5/15/2024
3.75%
**
587,528

BARCLAYS BANK PLC SUBORDINATED 144A 12/17 6.05
12/4/2017
6.05%
**
956,923

BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
11/21/2022
7.63%
**
874,740

BARCLAYS BANK PLC SR UNSECURED 02/15 2.75
2/23/2015
2.75%
**
12,133,275

BARNES + NOBLE INC COMMON STOCK USD.001
 
 
**
135,651

BARNES GROUP INC COMMON STOCK USD.01
 
 
**
2,593,180

BARRICK GOLD CORP SR UNSECURED 04/19 6.95
4/1/2019
6.95%
**
1,480,323

BARRICK GOLD CORP SR UNSECURED 04/22 3.85
4/1/2022
3.85%
**
596,653

BARRICK GOLD CORP SR UNSECURED 05/23 4.1
5/1/2023
4.1%
**
1,527,921

PERSIMMON PLC COMMON STOCK GBP.1
 
 
**
2,288,089

BARRETT BUSINESS SVCS INC COMMON STOCK USD.01
 
 
**
14,029

BILL BARRETT CORP COMMON STOCK USD.001
 
 
**
38,521

BARRICK NA FINANCE LLC COMPANY GUAR 05/21 4.4
5/30/2021
4.4%
**
1,938,724

BARRICK PD AU FIN PTY LT COMPANY GUAR 01/20 4.95
1/15/2020
4.95%
**
261,407

BASIC ENERGY SERVICES INC COMMON STOCK USD.01
 
 
**
20,119

PRUDENTIAL PLC COMMON STOCK GBP.05
 
 
**
2,044,813


40
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BAXTER INTERNATIONAL INC SR UNSECURED 03/20 4.25
3/15/2020
4.25%
**
59,142

BAXTER INTERNATIONAL INC SR UNSECURED 06/16 0.95
6/1/2016
0.95%
**
4,477,190

BAXTER INTERNATIONAL INC SR UNSECURED 06/23 3.2
6/15/2023
3.2%
**
554,203

RIO TINTO PLC COMMON STOCK GBP.1
 
 
**
4,590,650

BAYER US FINANCE LLC COMPANY GUAR 144A 10/16 VAR
10/7/2016
0.48%
**
4,601,596

BAYER US FINANCE LLC COMPANY GUAR 144A 10/17 1.5
10/6/2017
1.5%
**
3,677,356

REDROW PLC COMMON STOCK GBP.1
 
 
**
304,561

BAYVIEW FINANCIAL ACQUISITION BAYV 2006 A 2A4
2/28/2041
0.47%
**
108,316

BBCN BANCORP INC COMMON STOCK USD.001
 
 
**
113,487

BEACON ROOFING SUPPLY INC COMMON STOCK USD.01
 
 
**
2,479,426

BEAM INC SR UNSECURED 05/17 1.875
5/15/2017
1.88%
**
451,825

BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1
1/25/2035
2.52%
**
123,821

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A1
3/25/2035
2.58%
**
4,019,586

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A2
3/25/2035
2.51%
**
30,383

BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1
11/25/2030
2.75%
**
39,362

BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1
2/25/2034
2.79%
**
674,738

BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 12A2
5/25/2034
2.65%
**
16,327

BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1
2/25/2033
2.35%
**
3,846

BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2
5/25/2035
2.55%
**
2,163,317

BEAR STEARNS ASSET BACKED SECU BSABS 2005 SD1 1A3
8/25/2043
0.57%
**
760,325

BEAR STEARNS ASSET BACKED SECU BSABS 2004 BO1 M4
10/25/2034
1.37%
**
99,471

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 5 A1
8/25/2035
2.15%
**
104,237

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 T20 A4B
10/12/2042
5.13%
**
1,333,999

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T22 AM
4/12/2038
5.58%
**
388,126

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW11 A4
3/11/2039
5.43%
**
4,136,376

BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1
2/25/2034
0.33%
**
310,154

BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 1A1
10/25/2037
1.17%
**
991,067

BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A
8/25/2036
5.5%
**
1,673,372

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 A4
10/12/2041
5.54%
**
10,633,294

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW14 A3
12/11/2038
5.21%
**
1,047,633

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW14 A1A
12/11/2038
5.19%
**
7,809,988

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW17 A3
6/11/2050
5.74%
**
1,702,912

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW17 AMFL 144A
6/11/2050
0.82%
**
308,307

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T26 A4
1/12/2045
5.47%
**
6,322,356

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T26 A1A
1/12/2045
5.45%
**
5,440,113

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW16 AM
6/11/2040
5.71%
**
234,332

BEAR STEARNS COS LLC SR UNSECURED 10/17 6.4
10/2/2017
6.4%
**
5,577,152

BEAR STEARNS COS LLC SR UNSECURED 02/18 7.25
2/1/2018
7.25%
**
11,127,870

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T28 A3
9/11/2042
5.79%
**
579,685

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW18 A3
6/11/2050
5.96%
**
233,853

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
1/26/2036
2.59%
**
113,798

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
12/26/2046
2.34%
**
3,435,469

BEBE STORES INC COMMON STOCK USD.001
 
 
**
10,998

BECTON DICKINSON AND CO COMMON STOCK USD1.
 
 
**
1,998,338

BECTON DICKINSON AND CO SR UNSECURED 12/17 1.8
12/15/2017
1.8%
**
12,863,265

BECTON DICKINSON AND CO SR UNSECURED 12/19 2.675
12/15/2019
2.68%
**
2,968,532

BECTON DICKINSON AND CO SR UNSECURED 12/24 3.734
12/15/2024
3.73%
**
566,266


41
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BECTON DICKINSON AND CO SR UNSECURED 12/44 4.685
12/15/2044
4.69%
**
1,583,133

BED BATH + BEYOND INC COMMON STOCK USD.01
 
 
**
3,842,015

FIDESSA GROUP PLC COMMON STOCK GBP.1
 
 
**
324,215

ST JAMES S PLACE PLC COMMON STOCK GBP.15
 
 
**
800,106

BEL FUSE INC CL B COMMON STOCK USD.1
 
 
**
28,024

TRAVIS PERKINS PLC COMMON STOCK GBP.1
 
 
**
2,572,618

BELDEN INC COMMON STOCK USD.01
 
 
**
2,817,852

SENIOR PLC COMMON STOCK GBP.1
 
 
**
563,063

BP PLC COMMON STOCK USD.25
 
 
**
1,758,830

SHANKS GROUP PLC COMMON STOCK GBP.1
 
 
**
323,856

BEMIS COMPANY COMMON STOCK USD.1
 
 
**
435,598

BENEFITFOCUS INC COMMON STOCK USD.001
 
 
**
977,365

BERKSHIRE HATHAWAY ENERG SR UNSECURED 144A 02/20 2.4
2/1/2020
2.4%
**
4,380,842

BERKSHIRE HATHAWAY ENERG SR UNSECURED 144A 02/25 3.5
2/1/2025
3.5%
**
5,031,790

BERKSHIRE HATHAWAY FIN COMPANY GUAR 12/15 2.45
12/15/2015
2.45%
**
3,562,958

BERKSHIRE HATHAWAY INC SR UNSECURED 02/15 3.2
2/11/2015
3.2%
**
6,448,396

BERKSHIRE HATHAWAY INC SR UNSECURED 01/17 1.9
1/31/2017
1.9%
**
238,391

BERKSHIRE HILLS BANCORP INC COMMON STOCK USD.01
 
 
**
68,303

BERRY PLASTICS GROUP INC COMMON STOCK USD.01
 
 
**
3,692,423

TATE + LYLE PLC COMMON STOCK GBP.25
 
 
**
492,397

BG GROUP PLC COMMON STOCK GBP.1
 
 
**
3,432,356

TAYLOR WIMPEY PLC COMMON STOCK GBP.01
 
 
**
712,276

BIG 5 SPORTING GOODS CORP COMMON STOCK USD.01
 
 
**
32,991

BIGLARI HOLDINGS INC COMMON STOCK USD.5
 
 
**
81,900

BIO RAD LABORATORIES A COMMON STOCK USD.0001
 
 
**
259,445

BIO REFERENCE LABS INC COMMON STOCK USD.01
 
 
**
88,904

BIODELIVERY SCIENCES INTL COMMON STOCK USD.001
 
 
**
406,456

BIOMARIN PHARMACEUTICAL INC COMMON STOCK USD.001
 
 
**
8,951,860

BIOGEN IDEC INC COMMON STOCK USD.0005
 
 
**
18,197,236

BIOGEN IDEC INC SR UNSECURED 03/18 6.875
3/1/2018
6.88%
**
403,352

BIOMED REALTY TRUST INC REIT USD.01
 
 
**
2,283,606

BIOSCRIP INC COMMON STOCK USD.0001
 
 
**
43,701

SMITH + NEPHEW PLC COMMON STOCK USD.2
 
 
**
3,493,161

BLACKBERRY LTD COMMON STOCK
 
 
**
188,089

BLACKROCK INC COMMON STOCK USD.01
 
 
**
5,339,801

BLACKROCK INC SR UNSECURED 03/24 3.5
3/18/2024
3.5%
**
89,596

GLAXOSMITHKLINE PLC COMMON STOCK GBP.25
 
 
**
817,189

SDL PLC COMMON STOCK GBP.01
 
 
**
241,364

BLOOMIN BRANDS INC COMMON STOCK USD.01
 
 
**
2,755,788

BLUCORA INC COMMON STOCK USD.0001
 
 
**
52,519

BOARDWALK PIPELINES LLC COMPANY GUAR 02/17 5.5
2/1/2017
5.5%
**
263,729

BLUESTREAM VENTURES
 
 
**
856,069

BOEING CO/THE COMMON STOCK USD5.
 
 
**
6,086,018,193

BONANZA CREEK ENERGY INC COMMON STOCK USD.001
 
 
**
1,118,236

SYNTHOMER PLC COMMON STOCK GBP.1
 
 
**
584,616

ASTRAZENECA PLC COMMON STOCK USD.25
 
 
**
1,398,400

BOOZ ALLEN HAMILTON HOLDINGS COMMON STOCK USD.01
 
 
**
1,120,490

BOSTON PRIVATE FINL HOLDING COMMON STOCK USD1.
 
 
**
3,112,567


42
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BOSTON PROPERTIES LP SR UNSECURED 09/23 3.125
9/1/2023
3.13%
**
78,115

BOSTON SCIENTIFIC CORP COMMON STOCK USD.01
 
 
**
6,291,299

BOSTON SCIENTIFIC CORP SR UNSECURED 01/20 6
1/15/2020
6%
**
6,403,495

BOTTLING GROUP LLC COMPANY GUAR 04/16 5.5
4/1/2016
5.5%
**
264,510

BOULDER BRANDS INC COMMON STOCK USD.0001
 
 
**
45,346

BRADY CORPORATION CL A COMMON STOCK USD.01
 
 
**
126,092

BRANDYWINE REALTY TRUST REIT USD.01
 
 
**
194,908

BRAVO BRIO RESTAURANT GROUP COMMON STOCK NPV
 
 
**
22,812

FED REPUBLIC OF BRAZIL SR UNSECURED 01/41 5.625
1/7/2041
5.63%
**
107,750

FED REPUBLIC OF BRAZIL SR UNSECURED 01/45 5
1/27/2045
5%
**
1,274,000

BREEZE EASTERN CORP COMMON STOCK USD.01
 
 
**
10,668

BRIDGE BANCORP INC COMMON STOCK USD.01
 
 
**
30,147

BRIDGEPOINT EDUCATION IN W/D COMMON STOCK USD.01
 
 
**
34,809

BRIGGS + STRATTON COMMON STOCK USD.01
 
 
**
94,177

BRIGHT HORIZONS FAMILY SOLUT COMMON STOCK USD.001
 
 
**
2,007,327

BRINK S CO/THE COMMON STOCK USD1.
 
 
**
105,085

BRISTOL MYERS SQUIBB CO COMMON STOCK USD.1
 
 
**
48,188,727

BRISTOL MYERS SQUIBB CO SR UNSECURED 08/17 0.875
8/1/2017
0.88%
**
2,277,373

BRISTOW GROUP INC COMMON STOCK USD.01
 
 
**
1,763,172

BRITISH COLUMBIA PROV OF SR UNSECURED 10/22 2
10/23/2022
2%
**
5,516,980

SKY PLC COMPANY GUAR 144A 09/19 2.625
9/16/2019
2.63%
**
11,164,140

BRITISH TELECOM PLC SR UNSECURED 12/30 9.625
12/15/2030
9.63%
**
157,005

BRITISH TELECOM PLC SR UNSECURED 06/15 2
6/22/2015
2%
**
8,149,054

BRITISH TELECOM PLC SR UNSECURED 06/16 1.625
6/28/2016
1.63%
**
1,510,802

BRITISH TELECOM PLC SR UNSECURED 02/19 2.35
2/14/2019
2.35%
**
3,834,486

BRITISH TELECOM PLC SR UNSECURED 01/18 5.95
1/15/2018
5.95%
**
4,651,453

BROADCOM CORP CL A COMMON STOCK USD.0001
 
 
**
18,611,535

BROADRIDGE FINANCIAL SOLUTIO COMMON STOCK USD.01
 
 
**
4,491,005

BROOKDALE SENIOR LIVING INC COMMON STOCK USD.01
 
 
**
2,531,037

BROOKFIELD ASSET MANAGE CL A COMMON STOCK NPV
 
 
**
417,204

BROOKLINE BANCORP INC COMMON STOCK USD.01
 
 
**
71,965

BROOKS AUTOMATION INC COMMON STOCK USD.01
 
 
**
86,254

BROWN SHOE COMPANY INC COMMON STOCK USD.01
 
 
**
135,094

BRUNSWICK CORP COMMON STOCK USD.75
 
 
**
5,606,114

BRYN MAWR BANK CORP COMMON STOCK USD1.
 
 
**
41,692

BSKYB FINANCE UK PLC COMPANY GUAR 144A 10/15 5.625
10/15/2015
5.63%
**
2,697,950

BUCKEYE OH TOBACCO SETTLEMENT BUCGEN 06/47 FIXED OID 5.875
6/1/2047
5.88%
**
15,861,300

BUCKEYE PARTNERS LP SR UNSECURED 11/18 2.65
11/15/2018
2.65%
**
192,062

BUNGE LTD FINANCE CORP COMPANY GUAR 07/15 5.1
7/15/2015
5.1%
**
306,515

BUNGE LIMITED FINANCE CO COMPANY GUAR 03/16 4.1
3/15/2016
4.1%
**
453,623

BUNGE LIMITED FINANCE CO COMPANY GUAR 06/17 3.2
6/15/2017
3.2%
**
102,824

BURLINGTN NORTH SANTA FE SR UNSECURED 05/40 5.75
5/1/2040
5.75%
**
61,688

BURLINGTN NORTH SANTA FE SR UNSECURED 06/21 4.1
6/1/2021
4.1%
**
162,693

BURLINGTN NORTH SANTA FE SR UNSECURED 09/21 3.45
9/15/2021
3.45%
**
156,524

BURLINGTN NORTH SANTA FE SR UNSECURED 03/23 3
3/15/2023
3%
**
4,570,401

BURLINGTN NORTH SANTA FE SR UNSECURED 09/23 3.85
9/1/2023
3.85%
**
5,274,070

BURLINGTN NORTH SANTA FE SR UNSECURED 09/24 3.4
9/1/2024
3.4%
**
30,548


43
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BURLINGTN NORTH SANTA FE SR UNSECURED 09/44 4.55
9/1/2044
4.55%
**
3,820,994

BURLINGTN NORTH SANTA FE SR UNSECURED 01/15 4.875
1/15/2015
4.88%
**
2,502,998

BURLINGTN NORTH SANTA FE SR UNSECURED 05/17 5.65
5/1/2017
5.65%
**
378,416

BURLINGTN NORTH SANTA FE SR UNSECURED 03/18 5.75
3/15/2018
5.75%
**
1,429,097

C + F FINANCIAL CORP COMMON STOCK USD1.
 
 
**
16,293

C+J ENERGY SERVICES INC COMMON STOCK USD.01
 
 
**
47,384

CAI INTERNATIONAL INC COMMON STOCK USD.0001
 
 
**
49,926

CBIZ INC COMMON STOCK USD.01
 
 
**
42,988

CBL + ASSOCIATES PROPERTIES REIT USD.01
 
 
**
218,961

CBS CORP COMPANY GUAR 02/21 4.3
2/15/2021
4.3%
**
344,556

CBS CORP COMPANY GUAR 07/17 1.95
7/1/2017
1.95%
**
571,780

CBS CORP COMPANY GUAR 08/44 4.9
8/15/2044
4.9%
**
11,170

CBS CORP COMPANY GUAR 08/24 3.7
8/15/2024
3.7%
**
15,956

CREDIT BASED ASSET SERVICING A CBASS 2006 CB2 AF4
12/25/2036
3.67%
**
851,223

CDI CORP COMMON STOCK USD.1
 
 
**
36,306

CDGJ COMMERCIAL MORTGAGE TRUST CDGJ 2014 BXCH A 144A
12/15/2027
1.55%
**
15,004,935

CDP FINANCIAL COMPANY GUAR 144A 11/19 4.4
11/25/2019
4.4%
**
275,282

CD COMMERCIAL MORTGAGE TRUST CD 2005 CD1 A4
7/15/2044
5.23%
**
1,664,318

CD COMMERCIAL MORTGAGE TRUST CD 2005 CD1 AJ
7/15/2044
5.23%
**
333,552

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD2 AM
1/15/2046
5.35%
**
520,141

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD2 A1B
1/15/2046
5.3%
**
6,559,910

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A4
12/11/2049
5.32%
**
1,969,297

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A1A
12/11/2049
5.29%
**
3,277,857

CECO ENVIRONMENTAL CORP COMMON STOCK USD.01
 
 
**
39,813

CDW CORP/DE COMMON STOCK USD.01
 
 
**
11,439,746

CF INDUSTRIES INC COMPANY GUAR 05/18 6.875
5/1/2018
6.88%
**
926,516

CF INDUSTRIES INC COMPANY GUAR 06/23 3.45
6/1/2023
3.45%
**
483,885

CI FINANCIAL CORP COMMON STOCK NPV
 
 
**
94,786

CIGNA CORP COMMON STOCK USD.25
 
 
**
3,989,821

CIGNA CORP SR UNSECURED 03/17 5.375
3/15/2017
5.38%
**
1,042,453

CIGNA CORP SR UNSECURED 12/20 4.375
12/15/2020
4.38%
**
1,014,923

CIGNA CORP SR UNSECURED 02/22 4
2/15/2022
4%
**
3,856,612

CIT GROUP INC COMMON STOCK USD.01
 
 
**
2,248,010

CIT GROUP INC SR UNSECURED 144A 02/15 4.75
2/15/2015
4.75%
**
200,150

CIT GROUP INC SR UNSECURED 05/17 5
5/15/2017
5%
**
622,500

CIT EQUIPMENT COLLATERAL CITEC 2013 VT1 A3 144A
7/20/2020
1.13%
**
1,599,450

CIT EQUIPMENT COLLATERAL CITEC 2014 VT1 A2 144A
5/22/2017
1.03%
**
10,589,315

CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 1 AF5
2/25/2033
6.71%
**
438,801

CME GROUP INC SR UNSECURED 09/22 3
9/15/2022
3%
**
10,233,517

CME GROUP INDEX SERVICES COMPANY GUAR 144A 03/18 4.4
3/15/2018
4.4%
**
97,387

CMS ENERGY CORP COMMON STOCK USD.01
 
 
**
3,117,075

CMS ENERGY CORP SR UNSECURED 07/17 6.55
7/17/2017
6.55%
**
167,672

CMS ENERGY CORP SR UNSECURED 02/18 5.05
2/15/2018
5.05%
**
233,794

CNH EQUIPMENT TRUST CNH 2012 B A3
9/15/2017
0.86%
**
238,581

CNH EQUIPMENT TRUST CNH 2014 A A3
5/15/2019
0.84%
**
1,740,247

CNOOC FINANCE 2014 ULC COMPANY GUAR 04/24 4.25
4/30/2024
4.25%
**
3,104,037

CNH EQUIPMENT TRUST CNH 2013 A A3
6/15/2018
0.69%
**
1,640,849

COMM MORTGAGE TRUST COMM 2013 CR12 A4
10/10/2046
4.05%
**
1,886,747


44
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
COMM MORTGAGE TRUST COMM 2013 CR12 AM
10/10/2046
4.3%
**
630,859

COMM MORTGAGE TRUST COMM 2013 CR12 B
10/10/2046
4.76%
**
284,074

COMM MORTGAGE TRUST COMM 2013 CR12 C
10/10/2046
5.09%
**
129,734

COMM MORTGAGE TRUST COMM 2014 CR15 A2
2/10/2047
2.93%
**
4,323,110

COMM MORTGAGE TRUST COMM 2014 PAT A 144A
8/13/2027
0.96%
**
592,486

COMM MORTGAGE TRUST COMM 2014 UBS6 A4
12/10/2047
3.38%
**
8,457,277

COMM MORTGAGE TRUST COMM 2014 CR21 A2
12/10/2047
3.1%
**
12,135,624

CNA FINANCIAL CORP SR UNSECURED 08/16 6.5
8/15/2016
6.5%
**
108,164

CNA FINANCIAL CORP SR UNSECURED 08/21 5.75
8/15/2021
5.75%
**
85,475

CNB FINANCIAL CORP/PA COMMON STOCK NPV
 
 
**
26,548

CNH EQUIPMENT TRUST CNH 2013 C A3
8/15/2018
1.02%
**
871,495

CPS AUTO TRUST CPS 2012 C A 144A
12/16/2019
1.82%
**
1,037,664

COMM MORTGAGE TRUST COMM 2012 9W57 A 144A
2/10/2029
2.36%
**
19,469,891

CNO FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
3,399,314

COMM MORTGAGE TRUST COMM 2010 C1 A1 144A
7/10/2046
3.16%
**
1,123,821

CNH EQUIPMENT TRUST CNH 2012 A A3
5/15/2017
0.94%
**
267,804

CNH EQUIPMENT TRUST CNH 2014 B A3
5/15/2019
0.91%
**
997,105

CNPC GENERAL CAPITAL LTD COMPANY GUAR 144A 05/19 2.75
5/14/2019
2.75%
**
496,611

CNH EQUIPMENT TRUST CNH 2012 C A3
12/15/2017
0.57%
**
861,681

CNH EQUIPMENT TRUST CNH 2012 D A3
4/16/2018
0.65%
**
5,938,135

COMM MORTGAGE TRUST COMM 2012 CR3 A3
10/15/2045
2.82%
**
640,561

CPS AUTO TRUST CPS 2012 D A 144A
3/16/2020
1.48%
**
348,544

CPS AUTO TRUST CPS 2013 A A 144A
6/15/2020
1.31%
**
417,601

COMM MORTGAGE TRUST COMM 2013 WWP A2 144A
3/10/2031
3.42%
**
164,183

COMM MORTGAGE TRUST COMM 2013 CR7 A1
3/10/2046
0.72%
**
2,301,874

CNOOC FINANCE 2013 LTD COMPANY GUAR 05/16 1.125
5/9/2016
1.13%
**
498,229

COMM MORTGAGE TRUST COMM 2013 CR8 A4
6/10/2046
3.33%
**
938,951

CRH AMERICA INC COMPANY GUAR 09/16 6
9/30/2016
6%
**
2,427,088

CRH AMERICA INC COMPANY GUAR 01/16 4.125
1/15/2016
4.13%
**
3,293,024

CPS AUTO TRUST CPS 2013 D A 144A
7/16/2018
1.54%
**
673,991

CPS AUTO TRUST CPS 2014 A A 144A
8/15/2018
1.21%
**
561,321

COMM MORTGAGE TRUST COMM 2014 BBG A 144A
3/15/2029
0.96%
**
597,375

CPS AUTO TRUST CPS 2014 C A 144A
2/15/2019
1.31%
**
712,006

CPS AUTO TRUST CPS 2014 D A 144A
4/15/2019
1.66%
**
1,995,040

CSG SYSTEMS INTL INC COMMON STOCK USD.01
 
 
**
84,787

COMM MORTGAGE TRUST COMM 2014 FL5 A 144A
10/15/2031
1.52%
**
24,951,171

CREDIT SUISSE MORTGAGE TRUST CSMC 2009 RR3 A5A 144A
12/15/2043
5.34%
**
952,985

CSX CORP SR UNSECURED 05/17 5.6
5/1/2017
5.6%
**
519,781

CSX CORP SR UNSECURED 03/18 6.25
3/15/2018
6.25%
**
170,345

CSX CORP SR UNSECURED 02/19 7.375
2/1/2019
7.38%
**
2,305,216

CSX CORP SR UNSECURED 11/23 3.7
11/1/2023
3.7%
**
157,259

CSN ISLANDS XI CORP COMPANY GUAR 144A 09/19 6.875
9/21/2019
6.88%
**
64,925

CREDIT SUISSE MORTGAGE TRUST CSMC 2010 RR5 2A 144A
12/16/2043
5.34%
**
2,666,467

CSN RESOURCES SA COMPANY GUAR 144A 07/20 6.5
7/21/2020
6.5%
**
128,800

CST BRANDS INC COMMON STOCK USD.01
 
 
**
1,713,873

CREDIT SUISSE MORTGAGE TRUST CSMC 2014 USA A2 144A
9/15/2037
3.95%
**
2,643,805

CREDIT SUISSE MORTGAGE TRUST CSMC 2014 USA B 144A
9/15/2037
4.18%
**
1,851,447

CREDIT SUISSE MORTGAGE TRUST CSMC 2014 USA D 144A
9/15/2037
4.37%
**
1,685,298


45
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CREDIT SUISSE MORTGAGE TRUST CSMC 2014 TIKI A 144A
9/15/2038
1.12%
**
2,853,989

CVB FINANCIAL CORP COMMON STOCK NPV
 
 
**
164,205

CVR ENERGY INC COMMON STOCK USD.01
 
 
**
146,788

CVS HEALTH CORP COMMON STOCK USD.01
 
 
**
14,081,389

CVS HEALTH CORP SR UNSECURED 06/17 5.75
6/1/2017
5.75%
**
397,312

CVS HEALTH CORP SR UNSECURED 05/15 3.25
5/18/2015
3.25%
**
5,437,883

CVS HEALTH CORP SR UNSECURED 05/20 4.75
5/18/2020
4.75%
**
110,780

CVS HEALTH CORP SR UNSECURED 05/21 4.125
5/15/2021
4.13%
**
271,077

CVS HEALTH CORP SR UNSECURED 12/22 2.75
12/1/2022
2.75%
**
3,895,928

CVS HEALTH CORP SR UNSECURED 12/16 1.2
12/5/2016
1.2%
**
4,816,275

CVS HEALTH CORP SR UNSECURED 12/18 2.25
12/5/2018
2.25%
**
479,253

CVS HEALTH CORP SR UNSECURED 12/23 4
12/5/2023
4%
**
3,174,816

COUNTRYWIDE ASSET BACKED CERTI CWL 2001 BC3 A
12/25/2031
0.65%
**
204,105

COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A1
12/25/2034
0.71%
**
2,813,565

COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 AF3
10/25/2035
4.46%
**
117,944

COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J7 2A1
9/25/2034
0.94%
**
26,004

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 2A2
10/25/2047
0.97%
**
5,769,520

COUNTRYWIDE HOME LOANS CWHL 2003 56 6A1
12/25/2033
2.46%
**
338,161

COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2
4/25/2035
0.46%
**
616,873

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1
4/25/2035
2.43%
**
1,288,890

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A3
4/25/2035
2.43%
**
157,676

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A
2/25/2037
0.37%
**
339,097

COUNTRYWIDE HOME LOANS CWHL 2004 R2 1AF1 144A
11/25/2034
0.59%
**
165,933

CABELA S INC COMMON STOCK USD.01
 
 
**
974,755

CABOT CORP COMMON STOCK USD1.
 
 
**
251,756

CACI INTERNATIONAL INC CL A COMMON STOCK USD.1
 
 
**
203,126

CADENCE DESIGN SYS INC COMMON STOCK USD.01
 
 
**
4,798,841

CALAMOS ASSET MANAGEMENT A COMMON STOCK USD.01
 
 
**
10,656

CALGON CARBON CORP COMMON STOCK USD.01
 
 
**
106,498

CALIFORNIA REPUBLIC AUTO RECEI CRART 2012 1 A 144A
8/15/2017
1.18%
**
126,521

CALIFORNIA RESOURCES CRP COMPANY GUAR 144A 01/20 5
1/15/2020
5%
**
694,000

CALIFORNIA ST CAS 04/16 FIXED 5.95
4/1/2016
5.95%
**
532,730

CALIFORNIA ST CAS 04/34 FIXED 7.5
4/1/2034
7.5%
**
1,152,100

CALIFORNIA ST CAS 04/39 FIXED 7.55
4/1/2039
7.55%
**
1,234,552

CALIFORNIA ST CAS 10/19 FIXED 6.2
10/1/2019
6.2%
**
2,107,278

CALIFORNIA ST CAS 03/40 FIXED 7.625
3/1/2040
7.63%
**
767,500

CALIFORNIA ST CAS 03/22 FIXED 6.65
3/1/2022
6.65%
**
13,235,044

CALIFORNIA ST CAS 03/19 FIXED 6.2
3/1/2019
6.2%
**
574,515

CALIFORNIA ST CAS 03/36 FIXED 7.95
3/1/2036
7.95%
**
12,362

CALLAWAY GOLF COMPANY COMMON STOCK USD.01
 
 
**
60,768

CALLON PETROLEUM CO COMMON STOCK USD.01
 
 
**
20,111

CALPINE CORP COMMON STOCK USD.001
 
 
**
2,347,993

CAMBREX CORP COMMON STOCK USD.1
 
 
**
1,701,170

CAMDEN NATIONAL CORP COMMON STOCK NPV
 
 
**
32,669

CAMDEN PROPERTY TRUST REIT USD.01
 
 
**
2,498,746

CAMERON INTERNATIONAL CORP COMMON STOCK USD.01
 
 
**
7,844,648

CAMERON INTERNATIONAL CO SR UNSECURED 06/24 3.7
6/15/2024
3.7%
**
484,316

CAMPUS CREST COMMUNITIES INC REIT USD.01
 
 
**
29,218


46
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CANADA GOV T REAL RETURN BONDS 12/21 4.25
12/1/2021
4.25%
**
1,076,665

CANADA GOV T REAL RETURN BONDS 12/36 3
12/1/2036
3%
**
268,517

CANADA HOUSING TRUST GOVT GUARANT 144A 12/22 2.4
12/15/2022
2.4%
**
7,504,438

CANADA HOUSING TRUST GOVT GUARANT 144A 06/24 2.9
6/15/2024
2.9%
**
2,459,360

CAN IMPERIAL BK OF COMMERCE COMMON STOCK NPV
 
 
**
1,060,248

CANADIAN IMPERIAL BANK SR UNSECURED 12/15 2.35
12/11/2015
2.35%
**
232,420

CANADIAN IMPERIAL BANK SR UNSECURED 10/15 0.9
10/1/2015
0.9%
**
372,091

CANADIAN IMPERIAL BANK SR UNSECURED 01/18 1.55
1/23/2018
1.55%
**
248,770

CANADIAN NATL RAILWAY CO COMMON STOCK NPV
 
 
**
7,974,334

CANADIAN NATL RAILWAY CO COMMON STOCK NPV
 
 
**
870,496

CANADIAN NATL RAILWAY SR UNSECURED 07/18 6.8
7/15/2018
6.8%
**
713,783

CANADIAN NATL RAILWAY SR UNSECURED 03/19 5.55
3/1/2019
5.55%
**
3,609,395

CANADIAN NATL RAILWAY SR UNSECURED 12/16 1.45
12/15/2016
1.45%
**
302,049

CANADIAN NATURAL RESOURCES COMMON STOCK NPV
 
 
**
815,624

CANADIAN NATL RESOURCES SR UNSECURED 05/17 5.7
5/15/2017
5.7%
**
379,416

CANADIAN NATL RESOURCES SR UNSECURED 03/38 6.25
3/15/2038
6.25%
**
55,610

CANADIAN NATL RESOURCES SR UNSECURED 02/18 5.9
2/1/2018
5.9%
**
431,603

CANADIAN NATL RESOURCES SR UNSECURED 03/16 VAR
3/30/2016
0.61%
**
5,639,932

CANADIAN NATL RESOURCES SR UNSECURED 01/18 1.75
1/15/2018
1.75%
**
3,045,974

CANADIAN OIL SANDS LTD COMPANY GUAR 144A 04/22 4.5
4/1/2022
4.5%
**
605,179

CANADIAN PACIFIC RR CO SR UNSECURED 10/31 7.125
10/15/2031
7.13%
**
82,519

CANADIAN PACIFIC RR CO SR UNSECURED 05/18 6.5
5/15/2018
6.5%
**
274,963

CANADIAN PACIFIC RR CO SR UNSECURED 05/19 7.25
5/15/2019
7.25%
**
209,227

CANADIAN PACIFIC RAILWAY LTD COMMON STOCK NPV
 
 
**
7,288,499

CANADIAN PACIFIC RAILWAY LTD COMMON STOCK NPV
 
 
**
618,174

CANADIAN SOLAR INC COMMON STOCK NPV
 
 
**
385,951

CANADIAN TIRE CORP CLASS A COMMON STOCK NPV
 
 
**
370,896

CANFOR CORP COMMON STOCK NPV
 
 
**
1,330,697

CANTEL MEDICAL CORP COMMON STOCK USD.1
 
 
**
1,628,350

CAPELLA EDUCATION CO COMMON STOCK USD.01
 
 
**
1,763,923

CAPITAL CITY BANK GROUP INC COMMON STOCK USD.01
 
 
**
28,671

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 2 A3
10/20/2017
1.24%
**
589,916

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 3 A3
12/20/2017
1.31%
**
7,225,009

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 1 A2
7/20/2016
0.62%
**
3,296,486

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 4 A3
3/20/2018
1.09%
**
3,776,641

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A1A
5/20/2016
0.68%
**
3,801,870

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A2
4/20/2017
0.96%
**
8,409,761

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A3
6/20/2018
1.32%
**
1,114,248

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 2 A4
10/22/2018
1.62%
**
4,257,583

CAPITAL BANK FINANCIAL CL A COMMON STOCK
 
 
**
82,410

CAPITAL ONE FINANCIAL CORP COMMON STOCK USD.01
 
 
**
4,474,210

CAPITAL ONE FINANCIAL CO SR UNSECURED 02/17 5.25
2/21/2017
5.25%
**
9,154,611

CAPITAL ONE FINANCIAL CO SR UNSECURED 06/15 5.5
6/1/2015
5.5%
**
381,806

CAPITAL ONE FINANCIAL CO SR UNSECURED 09/17 6.75
9/15/2017
6.75%
**
225,633

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/16 3.15
7/15/2016
3.15%
**
4,885,123

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/21 4.75
7/15/2021
4.75%
**
220,428

CAPITAL ONE FINANCIAL CO SR UNSECURED 03/15 2.15
3/23/2015
2.15%
**
351,042

CAPITAL ONE FINANCIAL CO SR UNSECURED 11/15 1
11/6/2015
1%
**
2,997,144


47
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CAPITAL ONE FINANCIAL CO SR UNSECURED 06/23 3.5
6/15/2023
3.5%
**
50,533

CAPITAL ONE FINANCIAL CO SR UNSECURED 04/19 2.45
4/24/2019
2.45%
**
2,993,127

CAPITAL ONE MULTI ASSET EXECUT COMET 2013 A3 A3
9/16/2019
0.96%
**
9,210,951

CAPITAL ONE BANK USA NA SR UNSECURED 11/18 2.15
11/21/2018
2.15%
**
661,529

CAPITAL ONE NA SR UNSECURED 07/21 2.95
7/23/2021
2.95%
**
7,805,851

CAPITOL FEDERAL FINANCIAL IN COMMON STOCK USD.01
 
 
**
180,773

CARBO CERAMICS INC COMMON STOCK USD.01
 
 
**
61,557

CARDINAL FINANCIAL CORP COMMON STOCK USD1.
 
 
**
63,000

CARDINAL HEALTH INC COMMON STOCK NPV
 
 
**
3,743,854

CARDINAL HEALTH INC SR UNSECURED 12/20 4.625
12/15/2020
4.63%
**
640,337

CARDINAL HEALTH INC SR UNSECURED 06/17 1.9
6/15/2017
1.9%
**
201,570

CARDTRONICS INC COMMON STOCK USD.0001
 
 
**
5,380,367

CAREER EDUCATION CORP COMMON STOCK USD.01
 
 
**
47,794

CAREFREE PORTFOLIO TRUST CFREE 2014 CARE A 144A
11/15/2019
1.49%
**
7,968,882

CAREFUSION CORP SR UNSECURED 05/17 1.45
5/15/2017
1.45%
**
2,585,571

CARGILL INC SR UNSECURED 144A 11/17 6
11/27/2017
6%
**
441,404

CARGILL INC SR UNSECURED 144A 05/21 4.307
5/14/2021
4.31%
**
120,973

CARGILL INC SR UNSECURED 144A 03/17 1.9
3/1/2017
1.9%
**
424,383

CFC LLC CFCAT 2013 1A A 144A
7/17/2017
1.65%
**
72,871

CFC LLC CFCAT 2013 2A A 144A
11/15/2017
1.75%
**
109,535

CFC LLC CFCAT 2014 2A B 144A
11/16/2020
2.64%
**
345,544

CARMAX AUTO OWNER TRUST CARMX 2011 3 A3
6/15/2016
1.07%
**
285,250

CARMAX AUTO OWNER TRUST CARMX 2012 1 A3
9/15/2016
0.89%
**
795,818

CARMAX AUTO OWNER TRUST CARMX 2012 1 A4
6/15/2017
1.25%
**
1,004,243

CARMAX AUTO OWNER TRUST CARMX 2012 3 A4
4/16/2018
0.79%
**
9,967,970

CARMAX AUTO OWNER TRUST CARMX 2013 1 A3
10/16/2017
0.6%
**
2,660,497

CARMAX AUTO OWNER TRUST CARMX 2013 3 A2
8/15/2016
0.59%
**
1,373,704

CARMAX AUTO OWNER TRUST CARMX 2013 3 A3
4/16/2018
0.97%
**
15,828,312

CARMAX AUTO OWNER TRUST CARMX 2013 4 A3
7/16/2018
0.8%
**
921,939

CARMAX AUTO OWNER TRUST CARMX 2014 1 A4
7/15/2019
1.32%
**
4,273,155

CARMAX AUTO OWNER TRUST CARMX 2014 2 A4
10/15/2019
1.61%
**
598,996

CARMAX AUTO OWNER TRUST CARMX 2014 3 A2
8/15/2017
0.55%
**
12,995,593

CARMAX AUTO OWNER TRUST CARMX 2014 4 A2A
2/15/2018
0.67%
**
4,495,086

CARMAX AUTO OWNER TRUST CARMX 2014 4 A3
11/15/2019
1.25%
**
1,495,887

CARMIKE CINEMAS INC COMMON STOCK USD.03
 
 
**
53,854

CARNIVAL CORP COMPANY GUAR 02/16 1.2
2/5/2016
1.2%
**
1,349,216

CARNOW AUTO RECEIVABLES TRUST CNART 2013 1A A 144A
10/16/2017
1.16%
**
14,515

CARNOW AUTO RECEIVABLES TRUST CNART 2014 1A A 144A
1/17/2017
0.96%
**
544,867

CARRIAGE SERVICES INC COMMON STOCK USD.01
 
 
**
38,653

DUKE ENERGY PROGRESS INC 1ST MORTGAGE 04/15 5.15
4/1/2015
5.15%
**
454,897

CARPENTER TECHNOLOGY COMMON STOCK USD5.
 
 
**
222,118

CARRIZO OIL + GAS INC COMMON STOCK USD.01
 
 
**
162,032

CARROLS RESTAURANT GROUP INC COMMON STOCK USD.01
 
 
**
26,591

CASCADE MICROTECH INC COMMON STOCK USD.01
 
 
**
23,960

CASH AMERICA INTL INC COMMON STOCK USD.1
 
 
**
131,173

CASTLE (A.M.) + CO COMMON STOCK USD.01
 
 
**
12,265

CATAMARAN CORP COMMON STOCK NPV
 
 
**
114,193

CATERPILLAR INC SR UNSECURED 05/21 3.9
5/27/2021
3.9%
**
2,447,338


48
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CATERPILLAR FINANCIAL SE SR UNSECURED 09/17 5.85
9/1/2017
5.85%
**
1,224,849

CATERPILLAR FINANCIAL SE SR UNSECURED 10/18 7.05
10/1/2018
7.05%
**
294,927

CATERPILLAR FINANCIAL SE SR UNSECURED 02/19 7.15
2/15/2019
7.15%
**
59,815

CATERPILLAR FINANCIAL SE SR UNSECURED 06/22 2.85
6/1/2022
2.85%
**
79,031

CATERPILLAR FINANCIAL SE SR UNSECURED 02/16 0.7
2/26/2016
0.7%
**
1,700,695

CATERPILLAR FINANCIAL SE SR UNSECURED 09/16 1.35
9/6/2016
1.35%
**
5,041,430

CATERPILLAR FINANCIAL SE SR UNSECURED 11/16 1
11/25/2016
1%
**
650,498

CATERPILLAR FINANCIAL SE SR UNSECURED 12/19 2.25
12/1/2019
2.25%
**
4,373,784

CATHAY GENERAL BANCORP COMMON STOCK USD.01
 
 
**
196,710

CATHOLIC HEALTH INITIATI SECURED 11/17 1.6
11/1/2017
1.6%
**
139,429

CATHOLIC HEALTH INITIATI UNSECURED 08/23 4.2
8/1/2023
4.2%
**
496,527

CATO CORP CLASS A COMMON STOCK USD.033
 
 
**
108,065

CAVCO INDUSTRIES INC COMMON STOCK USD.01
 
 
**
73,087

CAVIUM INC COMMON STOCK USD.001
 
 
**
3,571,960

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 A5
10/15/2048
5.62%
**
326,667

CC HOLDINGS GS V LLC/CRO SR SECURED 04/23 3.849
4/15/2023
3.85%
**
595,987

CEDAR REALTY TRUST INC REIT USD.06
 
 
**
40,627

CELADON GROUP INC COMMON STOCK USD.033
 
 
**
1,113,625

CELGENE CORP COMMON STOCK USD.01
 
 
**
52,926,447

CELGENE CORP SR UNSECURED 10/15 2.45
10/15/2015
2.45%
**
201,962

CELGENE CORP SR UNSECURED 10/20 3.95
10/15/2020
3.95%
**
52,892

CELGENE CORP SR UNSECURED 08/17 1.9
8/15/2017
1.9%
**
301,057

CELGENE CORP SR UNSECURED 08/22 3.25
8/15/2022
3.25%
**
20,129

CELGENE CORP SR UNSECURED 05/19 2.25
5/15/2019
2.25%
**
357,460

CELGENE CORP SR UNSECURED 05/24 3.625
5/15/2024
3.63%
**
401,303

CELLDEX THERAPEUTICS INC COMMON STOCK USD.001
 
 
**
949,000

CEMEX SAB SPONS ADR PART CER ADR NPV
 
 
**
143,068

CENTENE CORP COMMON STOCK USD.001
 
 
**
2,008,459

CENOVUS ENERGY INC COMMON STOCK NPV
 
 
**
177,977

CENOVUS ENERGY INC SR UNSECURED 10/19 5.7
10/15/2019
5.7%
**
396,589

CENOVUS ENERGY INC SR UNSECURED 11/39 6.75
11/15/2039
6.75%
**
11,392

CENOVUS ENERGY INC SR UNSECURED 08/22 3
8/15/2022
3%
**
28,078

CENTERPOINT ENERGY INC SR UNSECURED 05/18 6.5
5/1/2018
6.5%
**
377,241

CENTERPOINT ENERGY RESOU SR UNSECURED 01/21 4.5
1/15/2021
4.5%
**
328,985

CENTERPOINT ENERGY RESOU SR UNSECURED 01/41 5.85
1/15/2041
5.85%
**
63,980

CENTERPOINT ENERGY RESOU SR UNSECURED 05/16 6.15
5/1/2016
6.15%
**
522,318

CENTERSTATE BANKS INC COMMON STOCK USD.01
 
 
**
54,929

CENTRAL GARDEN AND PET CO A COMMON STOCK USD.01
 
 
**
35,240

CENTRAL PACIFIC FINANCIAL CO COMMON STOCK NPV
 
 
**
79,335

CENTURY ALUMINUM COMPANY COMMON STOCK USD.01
 
 
**
51,163

CENTURY BANCORP INC CL A COMMON STOCK USD1.
 
 
**
16,425

CEPHEID INC COMMON STOCK NPV
 
 
**
3,667,498

CEVA INC COMMON STOCK USD.001
 
 
**
1,200,868

CHART INDUSTRIES INC COMMON STOCK USD.01
 
 
**
66,587

CHASE CORP COMMON STOCK USD.1
 
 
**
33,183

CHASE ISSUANCE TRUST CHAIT 2012 A4 A4
8/16/2021
1.58%
**
587,203

CHASE ISSUANCE TRUST CHAIT 2014 A1 A1
1/15/2019
1.15%
**
7,886,126

CHASE ISSUANCE TRUST CHAIT 2014 A5 A5
4/15/2021
0.53%
**
996,687


49
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1
2/25/2037
2.53%
**
141,838

CHECKPOINT SYSTEMS INC COMMON STOCK USD.1
 
 
**
59,108

CHEFS WAREHOUSE INC/THE COMMON STOCK USD.01
 
 
**
49,582

CHEMICAL FINANCIAL CORP COMMON STOCK USD1.
 
 
**
100,499

CHEMTURA CORP COMMON STOCK USD.01
 
 
**
210,378

CHEMUNG FINANCIAL CORP COMMON STOCK USD.01
 
 
**
14,150

CHESAPEAKE ENERGY CORP COMPANY GUAR 04/19 VAR
4/15/2019
3.48%
**
588,000

CHESAPEAKE LODGING TRUST REIT USD.01
 
 
**
141,100

CHEVRONTEXACO CORP COMMON STOCK USD.75
 
 
**
7,992,264

CHEVRON CORP SR UNSECURED 12/22 2.355
12/5/2022
2.36%
**
1,716,397

CHEVRON CORP SR UNSECURED 06/16 0.889
6/24/2016
0.89%
**
1,824,853

CHEVRON CORP SR UNSECURED 11/17 1.345
11/15/2017
1.35%
**
3,798,074

CHICAGO BRIDGE + IRON CO NV COMMON STOCK EUR.01
 
 
**
266,783

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.9%
**
505,096

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.9%
**
631,370

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.2
12/1/2040
6.2%
**
11,867

CHICOPEE BANCORP INC COMMON STOCK NPV
 
 
**
11,692

CHICO S FAS INC COMMON STOCK USD.01
 
 
**
239,260

CHILDREN S PLACE INC/THE COMMON STOCK USD.1
 
 
**
2,034,615

CHINA MOBILE LTD SPON ADR ADR
 
 
**
1,876,358

CHIPOTLE MEXICAN GRILL INC COMMON STOCK USD.01
 
 
**
4,881,241

CHRISTOPHER + BANKS CORP COMMON STOCK USD.01
 
 
**
20,482

CHUBB CORP COMMON STOCK USD1.
 
 
**
4,197,778

CHUBB CORP SR UNSECURED 05/18 5.75
5/15/2018
5.75%
**
660,918

CHURCHILL DOWNS INC COMMON STOCK NPV
 
 
**
156,292

CIBER INC COMMON STOCK USD.01
 
 
**
25,471

CIENA CORP COMMON STOCK USD.01
 
 
**
2,832,792

CIMAREX ENERGY CO COMMON STOCK USD.01
 
 
**
869,200

CIRCOR INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
2,430,610

CIRRUS LOGIC INC COMMON STOCK USD.001
 
 
**
125,628

CISCO SYSTEMS INC COMMON STOCK USD.001
 
 
**
36,587,295

CISCO SYSTEMS INC SR UNSECURED 02/16 5.5
2/22/2016
5.5%
**
590,810

CISCO SYSTEMS INC SR UNSECURED 02/19 4.95
2/15/2019
4.95%
**
195,583

CISCO SYSTEMS INC SR UNSECURED 01/20 4.45
1/15/2020
4.45%
**
55,046

CISCO SYSTEMS INC SR UNSECURED 03/24 3.625
3/4/2024
3.63%
**
250,094

CISCO SYSTEMS INC SR UNSECURED 03/19 2.125
3/1/2019
2.13%
**
527,470

CISCO SYSTEMS INC SR UNSECURED 03/17 1.1
3/3/2017
1.1%
**
5,230,211

CITIGROUP INC COMMON STOCK USD.01
 
 
**
30,706,992

CITIGROUP INC SR UNSECURED 08/16 5.85
8/2/2016
5.85%
**
534,990

CITIGROUP INC SR UNSECURED 08/17 6
8/15/2017
6%
**
3,761,655

CITIGROUP INC SR UNSECURED 11/17 6.125
11/21/2017
6.13%
**
11,011,455

CITIGROUP INC SR UNSECURED 05/18 6.125
5/15/2018
6.13%
**
452,670

CITIGROUP INC SR UNSECURED 05/19 8.5
5/22/2019
8.5%
**
760,101

CITIGROUP INC SR UNSECURED 01/15 6.01
1/15/2015
6.01%
**
2,972,223

CITIGROUP INC SR UNSECURED 05/15 4.75
5/19/2015
4.75%
**
466,781

CITIGROUP INC SR UNSECURED 06/16 3.953
6/15/2016
3.95%
**
2,107,284

CITIGROUP INC SR UNSECURED 01/22 4.5
1/14/2022
4.5%
**
398,857

CITIGROUP INC SR UNSECURED 01/17 4.45
1/10/2017
4.45%
**
3,060,255


50
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CITIGROUP INC SR UNSECURED 03/23 3.375
3/1/2023
3.38%
**
2,614,171

CITIGROUP INC SR UNSECURED 04/16 1.3
4/1/2016
1.3%
**
16,206,965

CITIGROUP INC SR UNSECURED 04/16 VAR
4/1/2016
1.03%
**
7,526,295

CITIGROUP INC SR UNSECURED 05/18 1.75
5/1/2018
1.75%
**
790,640

CITIGROUP INC SUBORDINATED 05/23 3.5
5/15/2023
3.5%
**
5,763,061

CITIGROUP INC SR UNSECURED 07/16 1.7
7/25/2016
1.7%
**
3,241,047

CITIGROUP INC SUBORDINATED 09/25 5.5
9/13/2025
5.5%
**
2,063,632

CITIGROUP INC SR UNSECURED 09/18 2.5
9/26/2018
2.5%
**
5,179,822

CITIGROUP INC SR UNSECURED 10/23 3.875
10/25/2023
3.88%
**
1,507,133

CITIGROUP INC SR UNSECURED 03/17 VAR
3/10/2017
0.78%
**
21,248,880

CITIGROUP INC SR UNSECURED 07/19 2.5
7/29/2019
2.5%
**
380,305

CITIGROUP INC SR UNSECURED 08/17 1.55
8/14/2017
1.55%
**
398,872

CITIGROUP INC SUBORDINATED 11/26 4.3
11/20/2026
4.3%
**
3,791,488

CITIGROUP INC SR UNSECURED 11/17 1.85
11/24/2017
1.85%
**
19,448,628

CITIBANK CREDIT CARD ISSUANCE CCCIT 2003 A7 A7
7/7/2017
4.15%
**
996,448

CITIBANK CREDIT CARD ISSUANCE CCCIT 2005 A9 A9
11/20/2017
5.1%
**
2,337,496

CITIBANK CREDIT CARD ISSUANCE CCCIT 2006 A8 A8
12/17/2018
0.27%
**
6,569,099

CITIBANK CREDIT CARD ISSUANCE CCCIT 2007 A8 A8
9/20/2019
5.65%
**
30,092,053

CITIBANK CREDIT CARD ISSUANCE CCCIT 2008 A1 A1
2/7/2020
5.35%
**
8,765,936

CITIBANK CREDIT CARD ISSUANCE CCCIT 2013 A6 A6
9/7/2018
1.32%
**
6,691,895

CITIBANK CREDIT CARD ISSUANCE CCCIT 2013 A10 A10
2/7/2018
0.73%
**
4,500,801

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A1 A1
1/23/2023
2.88%
**
2,358,606

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A2 A2
2/22/2019
1.02%
**
8,168,471

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A4 A4
4/24/2019
1.23%
**
10,982,763

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A6 A6
7/15/2021
2.15%
**
700,478

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A8 A8
4/9/2020
1.73%
**
2,203,142

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2005 C3 A4
5/15/2043
4.86%
**
176,358

CITI TRENDS INC COMMON STOCK USD.01
 
 
**
38,809

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1
9/25/2035
2.23%
**
45,168

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2
9/25/2035
2.28%
**
156,603

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 A4
12/10/2049
5.71%
**
5,676,755

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 AR4 1A1A 144A
11/25/2038
2.73%
**
438,000

CITIZENS BANK NA/RI SR UNSECURED 12/17 1.6
12/4/2017
1.6%
**
3,059,448

CITIZENS FINANCIAL GROUP COMMON STOCK USD.01
 
 
**
6,281,376

CITIZENS HOLDING COMPANY COMMON STOCK USD.2
 
 
**
11,949

CITIZENS INC COMMON STOCK NPV
 
 
**
38,167

CITY HOLDING CO COMMON STOCK USD2.5
 
 
**
71,517

CITY NATIONAL CORP COMMON STOCK USD1.
 
 
**
1,559,633

CIVEO CORP COMMON STOCK USD.01
 
 
**
28,223

CLARCOR INC COMMON STOCK USD1.
 
 
**
2,518,992

CLEAN HARBORS INC COMMON STOCK USD.01
 
 
**
246,256

CLEAN ENERGY FUELS CORP COMMON STOCK USD.0001
 
 
**
30,205

CLEARWATER PAPER CORP COMMON STOCK USD.0001
 
 
**
133,467

CLEVELAND ELEC ILLUMINAT SR SECURED 11/17 7.88
11/1/2017
7.88%
**
174,321

CLEVELAND ELECTRIC ILLUM SR UNSECURED 04/17 5.7
4/1/2017
5.7%
**
56,080

CLEVELAND ELECTRIC ILLUM 1ST MORTGAGE 11/18 8.875
11/15/2018
8.88%
**
185,129

CLIFFS NATURAL RESOURCES INC COMMON STOCK USD.125
 
 
**
70,986


51
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CLIFTON BANCORP INC COMMON STOCK USD.01
 
 
**
37,604

CLOUD PEAK ENERGY INC COMMON STOCK USD.01
 
 
**
37,638

COBALT CMBS COMMERCIAL MORTGAG CWCI 2006 C1 A4
8/15/2048
5.22%
**
142,256

COBALT CMBS COMMERCIAL MORTGAG CWCI 2007 C2 A1A
4/15/2047
5.48%
**
1,963,178

COBALT CMBS COMMERCIAL MORTGAG CWCI 2007 C2 AMFX
4/15/2047
5.53%
**
1,707,557

COBIZ FINANCIAL INC COMMON STOCK USD.01
 
 
**
2,787,840

COCA COLA BOTTLING CO CONSOL COMMON STOCK USD1.
 
 
**
63,118

COCA COLA CO/THE SR UNSECURED 09/16 1.8
9/1/2016
1.8%
**
6,161,069

COCA COLA CO/THE SR UNSECURED 03/15 0.75
3/13/2015
0.75%
**
8,008,072

CODORUS VALLEY BANCORP INC COMMON STOCK USD2.5
 
 
**
12,617

COEUR MINING INC COMMON STOCK USD.01
 
 
**
35,617

COGNIZANT TECH SOLUTIONS A COMMON STOCK USD.01
 
 
**
25,674,488

COHERENT INC COMMON STOCK USD.01
 
 
**
149,371

COHU INC COMMON STOCK USD1.
 
 
**
30,488

COLUMBIA BANKING SYSTEM INC COMMON STOCK NPV
 
 
**
141,501

COLUMBIA SPORTSWEAR CO COMMON STOCK NPV
 
 
**
301,313

COLUMBUS MCKINNON CORP/NY COMMON STOCK USD.01
 
 
**
54,594

COMFORT SYSTEMS USA INC COMMON STOCK USD.01
 
 
**
63,173

COMCAST CABLE COMMUNICAT COMPANY GUAR 05/17 8.875
5/1/2017
8.88%
**
1,661,688

COMCAST CORP CLASS A COMMON STOCK USD.01
 
 
**
25,373,405

COMCAST CORP SPECIAL CL A COMMON STOCK USD.01
 
 
**
8,126,336

COMCAST CORP COMPANY GUAR 01/15 6.5
1/15/2015
6.5%
**
841,928

COMCAST CORP COMPANY GUAR 06/16 4.95
6/15/2016
4.95%
**
105,934

COMCAST CORP COMPANY GUAR 03/16 5.9
3/15/2016
5.9%
**
482,389

COMCAST CORP COMPANY GUAR 01/17 6.5
1/15/2017
6.5%
**
4,248,989

COMCAST CORP COMPANY GUAR 02/18 5.875
2/15/2018
5.88%
**
1,805,822

COMCAST CORP COMPANY GUAR 07/19 5.7
7/1/2019
5.7%
**
308,833

COMCAST CORP COMPANY GUAR 03/24 3.6
3/1/2024
3.6%
**
2,877,638

COMCAST CORP COMPANY GUAR 02/25 3.375
2/15/2025
3.38%
**
2,043,208

COMCAST CORP COMPANY GUAR 08/34 4.2
8/15/2034
4.2%
**
101,428

COMERICA INC SR UNSECURED 09/15 3
9/16/2015
3%
**
619,109

COMERICA INC SR UNSECURED 05/19 2.125
5/23/2019
2.13%
**
198,662

COMM MORTGAGE TRUST COMM 2006 C8 A4
12/10/2046
5.31%
**
2,236,093

COMM MORTGAGE TRUST COMM 2006 C8 A1A
12/10/2046
5.29%
**
6,637,797

COMM MORTGAGE TRUST COMM 2006 C7 A4
6/10/2046
5.76%
**
9,193,001

COMM MORTGAGE TRUST COMM 2013 LC6 A3
1/10/2046
2.67%
**
3,427,557

COMMERCIAL METALS CO COMMON STOCK USD.01
 
 
**
171,974

COMMERCIAL MORTGAGE ASSET TRUS CMAT 1999 C1 D
1/17/2032
6.89%
**
40,061

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2006 GG7 A4
7/10/2038
5.82%
**
1,671,049

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2007 GG9 A2
3/10/2039
5.38%
**
2,583,705

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2007 GG9 A3
3/10/2039
5.45%
**
3,019,989

COMMONWEALTH BK AUSTR NY SR UNSECURED 03/17 1.125
3/13/2017
1.13%
**
3,082,085

COMMONWEALTH BK AUSTR NY SR UNSECURED 09/17 1.4
9/8/2017
1.4%
**
3,530,724

COMMONWEALTH EDISON CO 1ST MORTGAGE 04/15 4.7
4/15/2015
4.7%
**
50,566

COMMONWEALTH EDISON CO 1ST MORTGAGE 09/16 1.95
9/1/2016
1.95%
**
152,376

COMMONWEALTH BANK AUST SR UNSECURED 144A 03/16 3.25
3/17/2016
3.25%
**
1,646,371

COMMONWEALTH BANK AUST SR UNSECURED 144A 06/16 VAR
6/3/2016
0.43%
**
12,997,725

COMMSCOPE HOLDING CO INC COMMON STOCK USD.01
 
 
**
1,623,213


52
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
COMMUNITY BANK SYSTEM INC COMMON STOCK USD1.
 
 
**
148,516

COMMUNITY HEALTH SYSTEMS INC COMMON STOCK USD.01
 
 
**
2,436,213

BRF SA COMMON STOCK NPV
 
 
**
155,128

COMMUNITY TRUST BANCORP INC COMMON STOCK USD5.
 
 
**
63,775

COMMVAULT SYSTEMS INC COMMON STOCK USD.01
 
 
**
1,488,672

ALFA S.A.B. A COMMON STOCK NPV
 
 
**
125,261

CEMIG SA SPONS ADR ADR
 
 
**
119,996

CIA DE MINAS BUENAVENTUR ADR ADR
 
 
**
17,208

COMPASS BANK SR UNSECURED 09/17 1.85
9/29/2017
1.85%
**
6,410,542

COMPUTER SCIENCES CORP COMMON STOCK USD1.
 
 
**
11,170,884

COMPUTER SCIENCES CORP SR UNSECURED 09/15 2.5
9/15/2015
2.5%
**
2,080,618

COMPUTER TASK GROUP INC COMMON STOCK USD.01
 
 
**
11,722

COMSCORE INC COMMON STOCK USD.001
 
 
**
987,798

COMSTOCK RESOURCES INC COMMON STOCK USD.5
 
 
**
21,635

COMTECH TELECOMMUNICATIONS COMMON STOCK USD.1
 
 
**
51,693

CONAGRA FOODS INC SR UNSECURED 01/16 1.3
1/25/2016
1.3%
**
6,248,919

CONAGRA FOODS INC SR UNSECURED 01/18 1.9
1/25/2018
1.9%
**
203,634

CON WAY INC COMMON STOCK USD.625
 
 
**
277,228

CONCHO RESOURCES INC COMMON STOCK USD.001
 
 
**
5,268,995

BANCO DE CREDITO E INVERSION COMMON STOCK NPV
 
 
**
72,431

CONMED CORP COMMON STOCK USD.01
 
 
**
2,399,740

CONN S INC COMMON STOCK USD.01
 
 
**
40,221

CONOCOPHILLIPS COMPANY GUAR 02/39 6.5
2/1/2039
6.5%
**
106,292

CONOCOPHILLIPS COMPANY GUAR 02/19 5.75
2/1/2019
5.75%
**
164,832

CONOCOPHILLIPS COMPANY GUAR 01/20 6
1/15/2020
6%
**
859,837

CONOCOPHILLIPS CANADA COMPANY GUAR 10/16 5.625
10/15/2016
5.63%
**
415,623

CONOCOPHILLIPS COMPANY COMPANY GUAR 12/22 2.4
12/15/2022
2.4%
**
861,231

CONS EDISON CO OF NY SR UNSECURED 03/42 4.2
3/15/2042
4.2%
**
82,964

BANCO DE CHILE COMMON STOCK
 
 
**
154,812

CONS TOMOKA LAND CO FLORIDA COMMON STOCK USD1.
 
 
**
34,317

CONSTELLATION ENERGY GRP COMPANY GUAR 06/15 4.55
6/15/2015
4.55%
**
355,652

CONSTELLATION ENERGY GRO COMPANY GUAR 12/20 5.15
12/1/2020
5.15%
**
88,576

CONSTELLATION SOFTWARE INC COMMON STOCK
 
 
**
894,729

CONSUMER PORTFOLIO SERVICES COMMON STOCK NPV
 
 
**
18,106

CONSUMERS ENERGY CO 1ST MORTGAGE 08/16 5.5
8/15/2016
5.5%
**
90,131

CONSUMERS ENERGY CO 1ST MORTGAGE 04/20 5.65
4/15/2020
5.65%
**
34,530

CONSUMERS ENERGY CO 1ST MORTGAGE 05/22 2.85
5/15/2022
2.85%
**
89,975

CONTANGO OIL + GAS COMMON STOCK USD.04
 
 
**
50,936

CONTL AIRLINES 2012 1 A PASS THRU CE 10/25 4.15
10/11/2025
4.15%
**
314,042

CONTL AIRLINES 2012 2 A PASS THRU CE 04/26 4
4/29/2026
4%
**
307,504

CONTL AIRLINES 2007 1 PASS THRU CE 10/23 5.983
10/19/2023
5.98%
**
1,748,759

CONTINENTAL RESOURCES COMPANY GUAR 06/24 3.8
6/1/2024
3.8%
**
966,109

ALICORP S.A. COMUN COMMON STOCK PEN1.
 
 
**
336,003

COOPER STANDARD HOLDING COMMON STOCK USD.001
 
 
**
88,962

COOPER TIRE + RUBBER COMMON STOCK USD1.
 
 
**
213,098

RABOBANK NEDERLAND COMPANY GUAR 02/22 3.875
2/8/2022
3.88%
**
154,248

RABOBANK NEDERLAND COMPANY GUAR 11/22 3.95
11/9/2022
3.95%
**
254,657

RABOBANK NEDERLAND COMPANY GUAR 01/17 3.375
1/19/2017
3.38%
**
12,283,515


53
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
COOPER US INC COMPANY GUAR 04/15 5.45
4/1/2015
5.45%
**
182,181

COPPER MOUNTAIN MINING CORP COMMON STOCK
 
 
**
107,766

CORE MARK HOLDING CO INC COMMON STOCK USD.01
 
 
**
1,677,931

CORE MOLDING TECHNOLOGIES IN COMMON STOCK USD.01
 
 
**
11,455

CORELOGIC INC COMMON STOCK USD1.
 
 
**
2,511,784

INGREDION INC SR UNSECURED 11/15 3.2
11/1/2015
3.2%
**
2,796,002

CORNERSTONE ONDEMAND INC COMMON STOCK USD.0001
 
 
**
2,080,320

CORNING INC COMMON STOCK USD.5
 
 
**
6,058,106

CORPORATE EXECUTIVE BOARD CO COMMON STOCK USD.01
 
 
**
4,308,282

GNMA II TBA 30 YR 4 JUMBOS
1/21/2045
4%
**
—

CORPORATE OFFICE PROPERTIES REIT USD.01
 
 
**
171,553

COSTCO WHOLESALE CORP COMMON STOCK USD.005
 
 
**
10,119,249

COSTCO WHOLESALE CORP SR UNSECURED 12/17 1.125
12/15/2017
1.13%
**
4,354,532

COSTAR GROUP INC COMMON STOCK USD.01
 
 
**
6,450,555

COURIER CORP COMMON STOCK USD1.
 
 
**
16,815

COUSINS PROPERTIES INC REIT USD1.
 
 
**
172,065

COVANTA HOLDING CORP COMMON STOCK USD.1
 
 
**
279,747

COVENANT TRANSPORT GRP CL A COMMON STOCK USD.01
 
 
**
33,345

COVENTRY HEALTH CARE INC SR UNSECURED 03/17 5.95
3/15/2017
5.95%
**
174,996

COVENTRY HEALTH CARE INC SR UNSECURED 06/21 5.45
6/15/2021
5.45%
**
5,256,245

COVIDIEN INTL FINANCE SA COMPANY GUAR 05/15 1.35
5/29/2015
1.35%
**
3,510,504

COVIDIEN INTL FINANCE SA COMPANY GUAR 06/23 2.95
6/15/2023
2.95%
**
191,362

COX COMMUNICATIONS INC SR UNSECURED 144A 12/16 5.875
12/1/2016
5.88%
**
383,727

COX COMMUNICATIONS INC SR UNSECURED 144A 01/19 9.375
1/15/2019
9.38%
**
81,804

CPS AUTO TRUST CPS 2013 C A 144A
4/16/2018
1.64%
**
295,890

CRAFT BREW ALLIANCE INC COMMON STOCK USD.005
 
 
**
24,612

CRANE CO COMMON STOCK USD1.
 
 
**
294,791

CRAY INC COMMON STOCK USD.01
 
 
**
968,922

CREDIT AGRICOLE SA JR SUBORDINA 144A 10/49 VAR
10/29/2049
8.38%
**
3,399,875

CREDIT AGRICOLE LONDON SR UNSECURED 144A 04/19 VAR
4/15/2019
1.03%
**
14,913,457

CREDIT AGRICOLE LONDON SR UNSECURED 144A 06/17 VAR
6/12/2017
1%
**
1,100,887

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2014 2A A 144A
3/15/2022
1.88%
**
894,032

CREDIT SUISSE NEW YORK SUBORDINATED 02/18 6
2/15/2018
6%
**
1,040,083

CREDIT SUISSE USA INC COMPANY GUAR 08/15 5.125
8/15/2015
5.13%
**
1,847,716

CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR5 7A2
6/25/2034
2.41%
**
306,641

CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 8 6A1
12/25/2019
4.5%
**
289,508

CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR
12/29/2049
6.25%
**
769,400

CREE INC COMMON STOCK USD.00125
 
 
**
250,994

CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 C2 A4
4/15/2037
4.83%
**
3,159,146

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C2 A3
3/15/2039
5.67%
**
1,455,913

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C2 A1A
3/15/2039
5.67%
**
17,735,303

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C3 A1A
6/15/2038
5.81%
**
2,881,507

CREDIT SUISSE NEW YORK SR UNSECURED 03/15 3.5
3/23/2015
3.5%
**
3,523,643

CREDIT SUISSE NEW YORK SR UNSECURED 08/20 4.375
8/5/2020
4.38%
**
1,311,681

CREDIT SUISSE NEW YORK SR UNSECURED 05/17 1.375
5/26/2017
1.38%
**
12,953,726

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C1 AM
2/15/2039
5.47%
**
738,519

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C1 AJ
2/15/2039
5.47%
**
5,713,701

CRESCENT POINT ENERGY CORP COMMON STOCK NPV
 
 
**
127,783


54
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CREW ENERGY INC COMMON STOCK
 
 
**
198,313

CROCS INC COMMON STOCK USD.001
 
 
**
87,055

CROWN CASTLE TOWERS LLC SR SECURED 144A 08/35 3.214
8/15/2035
3.21%
**
516,111

CROWN CASTLE INTL CORP REIT USD.01
 
 
**
26,789,480

CROWN HOLDINGS INC COMMON STOCK USD5.
 
 
**
2,755,319

CRYOLIFE INC COMMON STOCK USD.01
 
 
**
31,350

CUBESMART REIT USD.01
 
 
**
214,896

CUBIC CORP COMMON STOCK NPV
 
 
**
134,864

CULP INC COMMON STOCK USD.05
 
 
**
26,666

CUMMINS INC COMMON STOCK USD2.5
 
 
**
7,511,257

CUMMINS INC SR UNSECURED 10/23 3.65
10/1/2023
3.65%
**
489,138

CUMULUS MEDIA INC CL A COMMON STOCK USD.01
 
 
**
65,468

CENTRAIS ELETRICAS BRASILIER COMMON STOCK NPV
 
 
**
62,403

CURTISS WRIGHT CORP COMMON STOCK USD1.
 
 
**
3,232,316

CUSTOMERS BANCORP INC COMMON STOCK USD1.0
 
 
**
51,861

CYNOSURE INC A COMMON STOCK USD.001
 
 
**
59,008

CYTEC INDUSTRIES INC COMMON STOCK USD.01
 
 
**
321,805

CYRUSONE INC REIT USD.01
 
 
**
62,125

BANCO DO BRASIL S.A. COMMON STOCK NPV
 
 
**
251,274

DBRR TRUST DBRR 2011 C32 A3A 144A
6/17/2049
5.72%
**
5,233,813

DBUBS MORTGAGE TRUST DBUBS 2011 LC2A A2 144A
7/10/2044
3.39%
**
23,695,705

DBUBS MORTGAGE TRUST DBUBS 2011 LC2A XA 144A
7/10/2044
1.4%
**
83,968

DBRR TRUST DBRR 2013 EZ3 A 144A
12/18/2049
1.64%
**
1,411,215

DCT INDUSTRIAL TRUST INC REIT USD.01
 
 
**
249,620

DDR CORP REIT USD.1
 
 
**
372,616

DSP GROUP INC COMMON STOCK USD.001
 
 
**
24,512

DTE ENERGY COMPANY SR UNSECURED 06/16 6.35
6/1/2016
6.35%
**
321,974

DTE ENERGY COMPANY SR UNSECURED 12/19 2.4
12/1/2019
2.4%
**
6,711,107

DXP ENTERPRISES INC COMMON STOCK USD.01
 
 
**
69,277

DT AUTO OWNER TRUST DTAOT 2014 2A A 144A
8/15/2017
0.68%
**
520,008

DT AUTO OWNER TRUST DTAOT 2014 3A A 144A
4/16/2018
0.98%
**
1,307,209

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 03/16 3
3/28/2016
3%
**
307,377

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 09/16 2.625
9/15/2016
2.63%
**
3,626,503

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 04/15 1.65
4/10/2015
1.65%
**
1,202,628

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/15 1.3
7/31/2015
1.3%
**
2,409,797

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/19 2.25
7/31/2019
2.25%
**
174,463

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 01/16 1.25
1/11/2016
1.25%
**
3,509,520

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 01/18 1.875
1/11/2018
1.88%
**
165,573

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/16 VAR
8/1/2016
0.91%
**
603,196

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 1.375
8/1/2017
1.38%
**
149,300

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 VAR
8/1/2017
0.57%
**
5,983,080

DAKTRONICS INC COMMON STOCK NPV
 
 
**
1,989

DANA HOLDING CORP COMMON STOCK USD.01
 
 
**
2,203,240

DANAHER CORP COMMON STOCK USD.01
 
 
**
7,136,386

DANONE SPONS ADR ADR
 
 
**
3,762,043

DARLING INGREDIENTS INC COMMON STOCK USD.01
 
 
**
2,157,862

DATALINK CORP COMMON STOCK USD.001
 
 
**
29,090

GRUPO BIMBO SAB SERIES A COMMON STOCK NPV
 
 
**
20,918


55
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GRUMA S.A.B. B COMMON STOCK NPV
 
 
**
773,878

DEALERTRACK TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
2,592,135

DEAN FOODS CO COMMON STOCK USD.01
 
 
**
174,808

DECKERS OUTDOOR CORP COMMON STOCK USD.01
 
 
**
3,739,923

DEERE + COMPANY SR UNSECURED 06/22 2.6
6/8/2022
2.6%
**
747,669

JOHN DEERE CAPITAL CORP SR UNSECURED 06/16 2.25
6/7/2016
2.25%
**
3,552,072

JOHN DEERE CAPITAL CORP SR UNSECURED 04/15 0.875
4/17/2015
0.88%
**
236,294

JOHN DEERE CAPITAL CORP SR UNSECURED 04/19 2.25
4/17/2019
2.25%
**
887,850

JOHN DEERE CAPITAL CORP SR UNSECURED 10/17 1.2
10/10/2017
1.2%
**
54,687

JOHN DEERE CAPITAL CORP SR UNSECURED 01/20 1.7
1/15/2020
1.7%
**
419,093

JOHN DEERE CAPITAL CORP SR UNSECURED 01/16 0.75
1/22/2016
0.75%
**
1,149,760

JOHN DEERE CAPITAL CORP SR UNSECURED 03/18 1.3
3/12/2018
1.3%
**
173,153

JOHN DEERE CAPITAL CORP SR UNSECURED 10/16 1.05
10/11/2016
1.05%
**
2,767,911

JOHN DEERE CAPITAL CORP SR UNSECURED 03/19 1.95
3/4/2019
1.95%
**
297,665

JOHN DEERE CAPITAL CORP SR UNSECURED 12/17 1.55
12/15/2017
1.55%
**
219,988

DEL CORONADO TRUST DEL 2013 HDC A 144A
3/15/2026
0.96%
**
846,547

DEL FRISCO S RESTAURANT GROU COMMON STOCK USD.001
 
 
**
641,621

ITAUSA INVESTIMENTOS ITAU PR PREFERENCE
 
 
**
61,112

DELEK US HOLDINGS INC COMMON STOCK USD.01
 
 
**
164,962

DELHAIZE GROUP SA COMPANY GUAR 06/17 6.5
6/15/2017
6.5%
**
3,877,558

DELMARVA PWR + LIGHT CO 1ST MORTGAGE 11/23 3.5
11/15/2023
3.5%
**
728,558

DELTA AIR LINES 2007 1 A PASS THRU CE 02/24 6.821
2/10/2024
6.82%
**
1,273,305

DENBURY RESOURCES INC COMMON STOCK USD.001
 
 
**
185,827

DEMAND MEDIA INC COMMON STOCK USD.0001
 
 
**
11,916

DEMANDWARE INC COMMON STOCK USD.01
 
 
**
1,955,957

DESTINATION MATERNITY CORP COMMON STOCK USD.01
 
 
**
14,706

DETOUR GOLD CORP COMMON STOCK NPV
 
 
**
113,888

DEUTSCHE BANK AG LONDON SR UNSECURED 09/17 6
9/1/2017
6%
**
333,266

DEUTSCHE BANK AG LONDON SR UNSECURED 05/17 1.35
5/30/2017
1.35%
**
2,553,303

DEUTSCHE BANK AG LONDON SR UNSECURED 05/24 3.7
5/30/2024
3.7%
**
47,694

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 03/16 5.75
3/23/2016
5.75%
**
527,999

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 144A 04/16 3.125
4/11/2016
3.13%
**
4,509,679

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 144A 03/17 2.25
3/6/2017
2.25%
**
152,369

DEUTSCHE BANK AG LONDON SR UNSECURED 01/16 3.25
1/11/2016
3.25%
**
5,542,695

DEUTSCHE BK FINL LLC COMPANY GUAR 03/15 5.375
3/2/2015
5.38%
**
402,873

DEVON ENERGY CORPORATION SR UNSECURED 05/22 3.25
5/15/2022
3.25%
**
687,650

DEVON ENERGY CORPORATION SR UNSECURED 12/18 2.25
12/15/2018
2.25%
**
1,275,387

DEXCOM INC COMMON STOCK USD.001
 
 
**
2,472,240

DEXIA CREDIT LOCAL SA NY GOVT LIQUID 144A 11/16 VAR
11/7/2016
0.61%
**
2,006,928

DIAGEO PLC SPONSORED ADR ADR
 
 
**
7,175,234

DIAGEO CAPITAL PLC COMPANY GUAR 09/16 5.5
9/30/2016
5.5%
**
322,862

DIAGEO CAPITAL PLC COMPANY GUAR 07/20 4.828
7/15/2020
4.83%
**
3,654,684

DIAGEO CAPITAL PLC COMPANY GUAR 05/17 1.5
5/11/2017
1.5%
**
3,615,803

DIAGEO CAPITAL PLC COMPANY GUAR 04/16 0.625
4/29/2016
0.63%
**
3,090,418

DIAGEO INVESTMENT CORP COMPANY GUAR 05/22 2.875
5/11/2022
2.88%
**
79,952

DIAMOND OFFSHORE DRILLING COMMON STOCK USD.01
 
 
**
327,343

DIAMOND OFFSHORE DRILL SR UNSECURED 11/43 4.875
11/1/2043
4.88%
**
37,484

DIAMOND RESORTS INTERNATIONA COMMON STOCK USD.01
 
 
**
762,507


56
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
DIAMONDROCK HOSPITALITY CO REIT USD.01
 
 
**
199,659

DIGI INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
20,949

DIGITALGLOBE INC COMMON STOCK USD.001
 
 
**
3,396,232

DIME COMMUNITY BANCSHARES COMMON STOCK USD.01
 
 
**
61,734

DILLARDS INC CL A COMMON STOCK NPV
 
 
**
474,683

DIODES INC COMMON STOCK USD.667
 
 
**
127,153

DIRECTV HOLDINGS/FING COMPANY GUAR 03/15 3.55
3/15/2015
3.55%
**
4,023,744

DIRECTV HOLDINGS/FING COMPANY GUAR 03/20 5.2
3/15/2020
5.2%
**
680,036

DIRECTV HOLDINGS/FING COMPANY GUAR 02/16 3.125
2/15/2016
3.13%
**
14,303,454

DIRECTV HOLDINGS/FING COMPANY GUAR 02/21 4.6
2/15/2021
4.6%
**
107,114

DIRECTV HOLDINGS/FING COMPANY GUAR 03/16 3.5
3/1/2016
3.5%
**
1,000,432

DIRECTV HOLDINGS/FING COMPANY GUAR 03/41 6.375
3/1/2041
6.38%
**
58,458

DIRECTV HOLDINGS/FING COMPANY GUAR 03/17 2.4
3/15/2017
2.4%
**
305,661

DIRECTV HOLDINGS/FING COMPANY GUAR 03/22 3.8
3/15/2022
3.8%
**
1,668,487

DIRECTV HOLDINGS/FING COMPANY GUAR 01/18 1.75
1/15/2018
1.75%
**
407,297

DISCOVER BANK SUBORDINATED 11/19 8.7
11/18/2019
8.7%
**
455,084

DISCOVER BANK SR UNSECURED 02/18 2
2/21/2018
2%
**
6,732,410

DISCOVER BANK SR UNSECURED 08/23 4.2
8/8/2023
4.2%
**
2,623,325

DISCOVER CARD EXECUTION NOTE T DCENT 2007 A1 A1
3/16/2020
5.65%
**
6,481,962

DISCOVER CARD EXECUTION NOTE T DCENT 2011 A4 A4
5/15/2019
0.51%
**
12,993,512

DISCOVER CARD EXECUTION NOTE T DCENT 2012 A1 A1
8/15/2017
0.81%
**
1,219,573

DISCOVER CARD EXECUTION NOTE T DCENT 2014 A3 A3
10/15/2019
1.22%
**
10,981,234

WALT DISNEY CO/THE COMMON STOCK USD.01
 
 
**
13,172,189

WALT DISNEY COMPANY/THE SR UNSECURED 08/21 2.75
8/16/2021
2.75%
**
629,994

WALT DISNEY COMPANY/THE SR UNSECURED 02/22 2.55
2/15/2022
2.55%
**
99,362

WALT DISNEY COMPANY/THE SR UNSECURED 12/15 0.45
12/1/2015
0.45%
**
2,499,298

WALT DISNEY COMPANY/THE SR UNSECURED 12/17 1.1
12/1/2017
1.1%
**
6,414,347

WALT DISNEY COMPANY/THE SR UNSECURED 05/17 0.875
5/30/2017
0.88%
**
302,197

WALT DISNEY COMPANY/THE SR UNSECURED 06/44 4.125
6/1/2044
4.13%
**
32,517

DISCOVER FINANCIAL SVS SR UNSECURED 11/22 3.85
11/21/2022
3.85%
**
1,762,140

DISCOVERY COMMUNICATIONS COMPANY GUAR 06/15 3.7
6/1/2015
3.7%
**
450,063

DISCOVERY COMMUNICATIONS COMPANY GUAR 05/22 3.3
5/15/2022
3.3%
**
5,003,166

DISCOVERY COMMUNICATIONS A COMMON STOCK USD.01
 
 
**
2,780,425

DISCOVERY COMMUNICATIONS C COMMON STOCK USD.01
 
 
**
13,369,204

DNB BOLIGKREDITT AS COVERED 144A 10/16 2.1
10/14/2016
2.1%
**
1,149,114

DNB BOLIGKREDITT AS COVERED 144A 03/17 2.9
3/29/2017
2.9%
**
944,408

DOCTOR REDDY S LAB ADR ADR
 
 
**
580,175

DOLLARAMA INC COMMON STOCK
 
 
**
451,302

DOLPHIN ENERGY LTD SR SECURED 144A 06/19 5.888
6/15/2019
5.89%
**
174,191

DOMINION DIAMOND CORP COMMON STOCK NPV
 
 
**
66,452

DOMINION DIAMOND CORP COMMON STOCK NPV
 
 
**
261,269

DOMINION GAS HLDGS LLC SR UNSECURED 11/16 1.05
11/1/2016
1.05%
**
2,994,387

DOMINION RESOURCES INC SR UNSECURED 06/18 6.4
6/15/2018
6.4%
**
1,187,231

DOMINION RESOURCES INC SR UNSECURED 09/15 2.25
9/1/2015
2.25%
**
227,191

DOMINION RESOURCES INC SR UNSECURED 03/21 4.45
3/15/2021
4.45%
**
86,677

DOMINION RESOURCES INC SR UNSECURED 09/17 1.4
9/15/2017
1.4%
**
3,603,477

DONEGAL GROUP INC CL A COMMON STOCK USD.01
 
 
**
34,389

DORMAN PRODUCTS INC COMMON STOCK USD.01
 
 
**
3,083,488


57
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
DOUGLAS EMMETT INC REIT USD.01
 
 
**
2,533,744

DOUGLAS DYNAMICS INC COMMON STOCK USD.01
 
 
**
48,325

DOW CHEMICAL CO/THE SR UNSECURED 05/19 8.55
5/15/2019
8.55%
**
671,353

DOW CHEMICAL CO/THE SR UNSECURED 11/20 4.25
11/15/2020
4.25%
**
1,208,118

DOW CHEMICAL CO/THE SR UNSECURED 02/16 2.5
2/15/2016
2.5%
**
152,586

DOW CHEMICAL CO/THE SR UNSECURED 11/21 4.125
11/15/2021
4.13%
**
306,416

DOW CHEMICAL CO/THE SR UNSECURED 11/22 3
11/15/2022
3%
**
820,732

DR PEPPER SNAPPLE GROUP INC COMMON STOCK USD.01
 
 
**
1,060,577

DR PEPPER SNAPPLE GROUP COMPANY GUAR 01/16 2.9
1/15/2016
2.9%
**
397,859

DR PEPPER SNAPPLE GROUP COMPANY GUAR 01/20 2
1/15/2020
2%
**
24,423

BARCLAYS DRYROCK ISSUANCE TRUS DROCK 2012 2 A
8/15/2018
0.64%
**
14,306,857

DU PONT (E.I.) DE NEMOURS COMMON STOCK USD.3
 
 
**
1,335,652

E.I. DU PONT DE NEMOURS SR UNSECURED 12/16 5.25
12/15/2016
5.25%
**
400,138

E.I. DU PONT DE NEMOURS SR UNSECURED 07/18 6
7/15/2018
6%
**
227,768

E.I. DU PONT DE NEMOURS SR UNSECURED 01/20 4.625
1/15/2020
4.63%
**
1,121,754

E.I. DU PONT DE NEMOURS SR UNSECURED 04/16 2.75
4/1/2016
2.75%
**
117,817

E.I. DU PONT DE NEMOURS SR UNSECURED 02/23 2.8
2/15/2023
2.8%
**
516,410

DUKE ENERGY INDIANA INC 1ST MORTGAGE 07/20 3.75
7/15/2020
3.75%
**
731,096

DUCOMMUN INC COMMON STOCK USD.01
 
 
**
28,491

SPECTRA ENERGY CAPITAL COMPANY GUAR 10/19 8
10/1/2019
8%
**
90,758

DUKE REALTY CORP REIT USD.01
 
 
**
449,288

DUKE ENERGY CORP COMMON STOCK USD.001
 
 
**
1,336,807

DUKE ENERGY CORP SR UNSECURED 09/19 5.05
9/15/2019
5.05%
**
89,408

DUKE ENERGY CORP SR UNSECURED 04/15 3.35
4/1/2015
3.35%
**
2,626,782

DUKE ENERGY CORP SR UNSECURED 11/16 2.15
11/15/2016
2.15%
**
81,478

DUKE ENERGY CORP SR UNSECURED 06/18 2.1
6/15/2018
2.1%
**
403,654

DUKE ENERGY CORP SR UNSECURED 10/23 3.95
10/15/2023
3.95%
**
12,722,196

DUKE REALTY LP COMPANY GUAR 03/16 5.5
3/1/2016
5.5%
**
419,369

DUKE ENERGY CAROLINAS 1ST MORTGAGE 06/20 4.3
6/15/2020
4.3%
**
108,704

DUNKIN BRANDS GROUP INC COMMON STOCK USD.001
 
 
**
2,074,496

DUPONT FABROS TECHNOLOGY REIT USD.001
 
 
**
98,789

DYAX CORP COMMON STOCK USD.01
 
 
**
518,533

DYCOM INDUSTRIES INC COMMON STOCK USD.333
 
 
**
100,708

DYNAMIC MATERIALS CORP COMMON STOCK USD.05
 
 
**
19,705

DYNEGY FINANCE I/II INC SR SECURED 144A 11/19 6.75
11/1/2019
6.75%
**
814,000

ELECTRICITE DE FRANCE 01/17 1
1/20/2017
0.69%
**
2,306,261

PARQUE ARAUCO S.A. COMMON STOCK NPV
 
 
**
331,502

EMC CORP/MA COMMON STOCK USD.01
 
 
**
6,708,898

EMC CORP/MA SR UNSECURED 06/18 1.875
6/1/2018
1.88%
**
423,555

EMC INS GROUP INC COMMON STOCK USD1.
 
 
**
50,885

EOG RESOURCES INC COMMON STOCK USD.01
 
 
**
32,908,672

EOG RESOURCES INC SR UNSECURED 06/19 5.625
6/1/2019
5.63%
**
299,028

EOG RESOURCES INC SR UNSECURED 06/15 2.95
6/1/2015
2.95%
**
1,649,815

EOG RESOURCES INC SR UNSECURED 02/21 4.1
2/1/2021
4.1%
**
595,524

EOG RESOURCES INC SR UNSECURED 02/16 2.5
2/1/2016
2.5%
**
234,156

EOG RESOURCES INC SR UNSECURED 03/23 2.625
3/15/2023
2.63%
**
86,302

EPIQ SYSTEMS INC COMMON STOCK USD.01
 
 
**
61,266

ERAC USA FINANCE LLC COMPANY GUAR 144A 06/34 6.7
6/1/2034
6.7%
**
109,343


58
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ERAC USA FINANCE LLC COMPANY GUAR 144A 11/16 6.2
11/1/2016
6.2%
**
195,972

ERP OPERATING LP SR UNSECURED 08/16 5.375
8/1/2016
5.38%
**
202,489

ERP OPERATING LP SR UNSECURED 06/17 5.75
6/15/2017
5.75%
**
192,641

ERP OPERATING LP SR UNSECURED 12/21 4.625
12/15/2021
4.63%
**
109,401

ERP OPERATING LP SR UNSECURED 07/19 2.375
7/1/2019
2.38%
**
120,483

EQT CORP COMMON STOCK NPV
 
 
**
1,173,350

ERAC USA FINANCE LLC COMPANY GUAR 144A 04/16 1.4
4/15/2016
1.4%
**
1,423,333

ERAC USA FINANCE LLC COMPANY GUAR 144A 11/24 3.85
11/15/2024
3.85%
**
4,056,592

EPR PROPERTIES REIT USD.01
 
 
**
2,486,446

ERA GROUP INC COMMON STOCK USD.01
 
 
**
39,022

EAGLE BANCORP INC COMMON STOCK USD.01
 
 
**
2,719,234

E TRADE FINANCIAL CORP COMMON STOCK USD.01
 
 
**
698,593

EXCO RESOURCES INC COMMON STOCK USD.001
 
 
**
34,475

EAST WEST BANCORP INC COMMON STOCK USD.001
 
 
**
5,652,899

EASTGROUP PROPERTIES INC REIT NPV
 
 
**
1,621,625

CORPBANCA COMMON STOCK NPV
 
 
**
10,226

EASTMAN CHEMICAL CO SR UNSECURED 06/17 2.4
6/1/2017
2.4%
**
4,088,850

EASTMAN CHEMICAL CO SR UNSECURED 01/20 2.7
1/15/2020
2.7%
**
5,279,794

EASTMAN CHEMICAL CO SR UNSECURED 03/25 3.8
3/15/2025
3.8%
**
4,708,162

EASTMAN KODAK CO COMMON STOCK USD.01
 
 
**
75,659

EATON CORP COMPANY GUAR 11/15 0.95
11/2/2015
0.95%
**
150,133

EATON CORP COMPANY GUAR 11/17 1.5
11/2/2017
1.5%
**
1,103,570

EATON CORP COMPANY GUAR 11/22 2.75
11/2/2022
2.75%
**
4,008,180

EBAY INC COMMON STOCK USD.001
 
 
**
32,708,981

EBAY INC SR UNSECURED 10/15 1.625
10/15/2015
1.63%
**
3,023,103

EBAY INC SR UNSECURED 07/15 0.7
7/15/2015
0.7%
**
8,004,296

EBAY INC SR UNSECURED 07/42 4
7/15/2042
4%
**
66,774

EBAY INC SR UNSECURED 07/17 1.35
7/15/2017
1.35%
**
451,516

EBIX INC COMMON STOCK USD.1
 
 
**
66,176

ECHOSTAR CORP A COMMON STOCK USD.001
 
 
**
231,368

ECOLAB INC SR UNSECURED 12/16 3
12/8/2016
3%
**
743,416

ECOLAB INC SR UNSECURED 12/21 4.35
12/8/2021
4.35%
**
1,334,747

ECOLAB INC SR UNSECURED 12/17 1.45
12/8/2017
1.45%
**
297,311

ECOPETROL SA SR UNSECURED 05/45 5.875
5/28/2045
5.88%
**
1,017,500

EDISON INTERNATIONAL SR UNSECURED 09/17 3.75
9/15/2017
3.75%
**
189,978

EDUCATION REALTY TRUST INC REIT USD.01
 
 
**
2,783,365

EDWARDS LIFESCIENCES CORP COMMON STOCK USD1.
 
 
**
326,220

ARCA CONTINENTAL SAB DE CV COMMON STOCK NPV
 
 
**
234,078

KINDER MORGAN INC/DELAWA COMPANY GUAR 06/17 7
6/15/2017
7%
**
2,718,765

EL PASO PIPELINE PART OP COMPANY GUAR 04/20 6.5
4/1/2020
6.5%
**
356,196

ELECTRO RENT CORP COMMON STOCK NPV
 
 
**
34,538

ELECTRO SCIENTIFIC INDS INC COMMON STOCK NPV
 
 
**
20,680

ELECTRONIC ARTS INC COMMON STOCK USD.01
 
 
**
13,753,580

ELECTRONICS FOR IMAGING COMMON STOCK USD.01
 
 
**
48,441

ELIZABETH ARDEN INC COMMON STOCK USD.01
 
 
**
43,850

ELLIE MAE INC COMMON STOCK USD.0001
 
 
**
3,069,441

EMCOR GROUP INC COMMON STOCK USD.01
 
 
**
2,310,188

EMERGENT BIOSOLUTIONS INC COMMON STOCK USD.001
 
 
**
97,674


59
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
EMERALD OIL INC COMMON STOCK USD.001
 
 
**
5,166

EMPLOYERS HOLDINGS INC COMMON STOCK USD.01
 
 
**
74,691

EMULEX CORP COMMON STOCK USD.1
 
 
**
41,261

ENABLE MIDSTREAM PARTNER COMPANY GUAR 144A 05/19 2.4
5/15/2019
2.4%
**
2,236,985

ENABLE MIDSTREAM PARTNER SR UNSECURED 144A 05/24 3.9
5/15/2024
3.9%
**
963,886

ENCANA CORP COMMON STOCK
 
 
**
4,578,487

ENCANA CORP COMMON STOCK
 
 
**
763,651

ENCANA CORP SR UNSECURED 08/34 6.5
8/15/2034
6.5%
**
108,552

ENCANA CORP SR UNSECURED 12/17 5.9
12/1/2017
5.9%
**
583,556

ENCANA CORP SR UNSECURED 05/19 6.5
5/15/2019
6.5%
**
85,134

ENCORE CAPITAL GROUP INC COMMON STOCK USD.01
 
 
**
149,184

ENCORE WIRE CORP COMMON STOCK USD.01
 
 
**
68,874

ENDOCYTE INC COMMON STOCK
 
 
**
23,210

ENERSIS S.A. SPONS ADR ADR NPV
 
 
**
288,540

ENERSYS COMMON STOCK USD.01
 
 
**
1,812,408

ENERNOC INC COMMON STOCK USD.001
 
 
**
28,505

ENERPLUS CORP COMMON STOCK NPV
 
 
**
570,973

ENGILITY HOLDINGS INC COMMON STOCK USD.01
 
 
**
1,825,934

ENNIS INC COMMON STOCK USD2.5
 
 
**
35,898

ENPHASE ENERGY INC COMMON STOCK USD.00001
 
 
**
777,719

ENPRO INDUSTRIES INC COMMON STOCK USD.01
 
 
**
147,925

ENSCO PLC SR UNSECURED 03/21 4.7
3/15/2021
4.7%
**
40,181

ENSCO PLC SR UNSECURED 03/16 3.25
3/15/2016
3.25%
**
6,364,288

ENTERCOM COMMUNICATIONS CL A COMMON STOCK USD.01
 
 
**
36,140

ENTERGY ARKANSAS INC 1ST MORTGAGE 06/23 3.05
6/1/2023
3.05%
**
34,002

ENTERGY CORP SR UNSECURED 09/15 3.625
9/15/2015
3.63%
**
207,920

ENTERGY CORP SR UNSECURED 09/20 5.125
9/15/2020
5.13%
**
844,225

ENTERGY CORP SR UNSECURED 01/17 4.7
1/15/2017
4.7%
**
5,936,291

ENTERGY GULF STATES LA 1ST MORTGAGE 05/18 6
5/1/2018
6%
**
226,069

ENTERPRISE FINANCIAL SERVICE COMMON STOCK USD.01
 
 
**
40,447

ENTERPRISE PRODUCTS OPER COMPANY GUAR 09/17 6.3
9/15/2017
6.3%
**
2,795,025

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/19 6.5
1/31/2019
6.5%
**
2,161,656

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/16 3.2
2/1/2016
3.2%
**
511,841

ENTERPRISE PRODUCTS OPER COMPANY GUAR 08/15 1.25
8/13/2015
1.25%
**
6,918,230

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/43 4.45
2/15/2043
4.45%
**
592,805

ENTERPRISE PRODUCTS OPER COMPANY GUAR 03/23 3.35
3/15/2023
3.35%
**
1,671,565

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/24 3.9
2/15/2024
3.9%
**
73,331

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/25 3.75
2/15/2025
3.75%
**
356,352

ENTROPIC COMMUNICATIONS INC COMMON STOCK USD.001
 
 
**
19,967

ENVESTNET INC COMMON STOCK
 
 
**
4,987,661

ENVISION HEALTHCARE HOLDINGS COMMON STOCK USD.01
 
 
**
6,782,173

EQUIFAX INC COMMON STOCK USD1.25
 
 
**
6,974,199

EQUINIX INC REIT USD.001
 
 
**
25,132,794

EQUITY ONE INC REIT USD.01
 
 
**
106,563

ERICSSON (LM) TEL SP ADR ADR
 
 
**
3,308,140

ERICKSON INC COMMON STOCK USD.0001
 
 
**
10,258

ESCALADE INC COMMON STOCK NPV
 
 
**
18,561

ESCO TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
98,339


60
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ESSA BANCORP INC COMMON STOCK USD.01
 
 
**
14,760

ESTERLINE TECHNOLOGIES CORP COMMON STOCK USD.2
 
 
**
3,037,039

ETHAN ALLEN INTERIORS INC COMMON STOCK USD.01
 
 
**
2,091,714

EVANS BANCORP INC COMMON STOCK USD.5
 
 
**
12,498

EVERBANK FINANCIAL CORP COMMON STOCK USD.01
 
 
**
226,623

BRITISH TELECOM PLC SR UNSECURED REGS 12/16 VAR
12/7/2016
8.5%
**
3,970,160

EVERTEC INC COMMON STOCK USD.01
 
 
**
5,032,790

EXACT SCIENCES CORP COMMON STOCK USD.01
 
 
**
3,932,042

EXACTECH INC COMMON STOCK USD.01
 
 
**
33,823

EXAMWORKS GROUP INC COMMON STOCK
 
 
**
3,505,704

EXCEL TRUST INC REIT USD.01
 
 
**
57,644

EXELON GENERATION CO LLC SR UNSECURED 10/41 5.75
10/1/2041
5.75%
**
33,845

EXELON CORP COMMON STOCK NPV
 
 
**
10,679,040

EXELIS INC COMMON STOCK USD.01
 
 
**
316,241

EXETER AUTOMOBILE RECEIVABLES EART 2013 1A A 144A
10/16/2017
1.29%
**
67,614

EXETER AUTOMOBILE RECEIVABLES EART 2014 3A A 144A
1/15/2019
1.32%
**
2,809,887

EXETER AUTOMOBILE RECEIVABLES EART 2013 2A A 144A
11/15/2017
1.49%
**
321,081

EXETER AUTOMOBILE RECEIVABLES EART 2014 1A A 144A
5/15/2018
1.29%
**
237,491

EXETER AUTOMOBILE RECEIVABLES EART 2014 2A A 144A
8/15/2018
1.06%
**
395,953

EXLSERVICE HOLDINGS INC COMMON STOCK USD.001
 
 
**
91,212

EXPORT IMPORT BK KOREA SR UNSECURED 06/20 5.125
6/29/2020
5.13%
**
33,809

EXPORT IMPORT BK KOREA SR UNSECURED 01/21 4
1/29/2021
4%
**
427,805

EXPORT IMPORT BK KOREA SR UNSECURED 09/16 VAR
9/17/2016
1.09%
**
1,506,819

EXPRESS SCRIPTS HOLDING CO COMMON STOCK USD.01
 
 
**
19,289,943

EXPRESS SCRIPTS HOLDING COMPANY GUAR 02/15 2.1
2/12/2015
2.1%
**
500,614

EXPRESS SCRIPTS HOLDING COMPANY GUAR 06/17 1.25
6/2/2017
1.25%
**
1,954,511

EXTENDED STAY AMERICA TRUST ESA 2013 ESH7 A27 144A
12/5/2031
2.96%
**
324,232

EXTERRAN HOLDINGS INC COMMON STOCK USD.01
 
 
**
2,009,209

EZCORP INC CL A COMMON STOCK USD.01
 
 
**
60,219

EXXON MOBIL CORP COMMON STOCK NPV
 
 
**
10,399,331

EXXON MOBIL CORPORATION SR UNSECURED 03/17 VAR
3/15/2017
0.28%
**
2,228,421

FBR SECURITIZATION TRUST FBRSI 2005 5 AV24
11/25/2035
0.9%
**
76,569

FDIC STRUCTURED SALE GUARANTEE SSGN 2010 S1 1A 144A
2/25/2048
0.7%
**
1,416,834

FNB CORP COMMON STOCK USD.01
 
 
**
221,179

FMS WERTMANAGEMENT GOVT GUARANT 01/17 0.625
1/30/2017
0.63%
**
7,517,704

NEXTERA ENERGY CAPITAL COMPANY GUAR 12/15 7.875
12/15/2015
7.88%
**
613,867

NEXTERA ENERGY CAPITAL COMPANY GUAR 09/15 2.6
9/1/2015
2.6%
**
1,010,408

FXCM INC A COMMON STOCK USD.01
 
 
**
1,704,871

FTD COS INC COMMON STOCK USD.0001
 
 
**
64,243

FREMF MORTGAGE TRUST FREMF 2013 KF02 C 144A
12/25/2045
4.17%
**
737,260

FORTRESS OPPORTUNITIES RESIDEN FRT 2013 1A AR 144A
10/25/2018
4.21%
**
9,527

FORTRESS OPPORTUNITIES RESIDEN FRT 2013 1A A1N 144A
10/25/2033
3.96%
**
17,330

FREMF MORTGAGE TRUST FREMF 2014 K36 C 144A
12/25/2046
4.36%
**
593,308

FREMF MORTGAGE TRUST FREMF 2014 K503 C 144A
10/25/2047
3.08%
**
855,947

FRP HOLDINGS INC COMMON STOCK USD.1
 
 
**
36,152

FTI CONSULTING INC COMMON STOCK USD.01
 
 
**
158,383

FACEBOOK INC A COMMON STOCK USD.000006
 
 
**
89,564,775

FAIRCHILD SEMICONDUCTOR INTE COMMON STOCK USD.01
 
 
**
202,425


61
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FAIRFAX FINANCIAL HLDGS LTD COMMON STOCK NPV
 
 
**
262,802

FARMER MAC GTD TR 07 1 SECURED 144A 04/17 5.125
4/19/2017
5.13%
**
7,870,119

BT GROUP PLC COMMON STOCK GBP.05
 
 
**
1,945,804

ASOS PLC COMMON STOCK GBP.035
 
 
**
321,330

FARMERS CAPITAL BANK CORP COMMON STOCK USD.125
 
 
**
16,699

FED HM LN PC POOL G00825
12/1/2027
7%
**
1,090

FED HM LN PC POOL G00869
1/1/2028
7.5%
**
27,551

FED HM LN PC POOL G00144
3/1/2021
10%
**
6,086

FED HM LN PC POOL G00280
12/1/2022
9.5%
**
2,045

FED HM LN PC POOL G00473
3/1/2026
7.5%
**
365

FED HM LN PC POOL G00529
8/1/2026
7.5%
**
3,101

FED HM LN PC POOL G00552
3/1/2023
8.5%
**
15,337

FED HM LN PC POOL G00561
6/1/2025
9.5%
**
24,339

FED HM LN PC POOL G00627
6/1/2025
8%
**
18,123

FED HM LN PC POOL G00704
12/1/2026
7%
**
16,974

FED HM LN PC POOL G00675
3/1/2027
7.5%
**
17,710

FED HM LN PC POOL G01091
12/1/2029
7%
**
48,019

FED HM LN PC POOL G01665
3/1/2034
5.5%
**
1,070,135

FED HM LN PC POOL G11300
8/1/2017
6%
**
538

FED HM LN PC POOL G11410
7/1/2018
4%
**
1,398,231

FED HM LN PC POOL G11557 G1 1557
3/1/2019
6%
**
929

FED HM LN PC POOL G11634
11/1/2019
5.5%
**
11,522

FED HM LN PC POOL G11652
1/1/2020
6%
**
373,798

FED HM LN PC POOL G20028 10/39 FIXED 7.5
12/1/2036
7.5%
**
2,214,616

FED HM LN PC POOL 846004
12/1/2024
2.58%
**
19,198

FED HM LN PC POOL G30591
2/1/2028
6%
**
175,183

FED HM LN PC POOL D91280
4/1/2016
7.5%
**
7,939

FED HM LN PC POOL D93618
7/1/2019
6.5%
**
24,792

FED HM LN PC POOL D98914
1/1/2032
4%
**
198,713

FED HM LN PC POOL D64290
10/1/2025
7%
**
16,628

FED HM LN PC POOL D64990
3/1/2025
8.5%
**
4,751

FED HM LN PC POOL D67104
1/1/2026
7.5%
**
86,958

FED HM LN PC POOL D70703
4/1/2026
7%
**
19,282

FED HM LN PC POOL D71569
5/1/2026
7.5%
**
699

FED HM LN PC POOL D74278
8/1/2026
8%
**
1,356

FED HM LN PC POOL D75342
10/1/2026
8%
**
860

FED HM LN PC POOL D75558
10/1/2026
8%
**
1,347

FED HM LN PC POOL D75787
11/1/2026
8%
**
4,791

FED HM LN PC POOL D77163
1/1/2027
7.5%
**
6,802

FED HM LN PC POOL D77260
1/1/2027
7.5%
**
5,504

FED HM LN PC POOL D77487
1/1/2027
7.5%
**
1,981

FED HM LN PC POOL D77475
1/1/2027
7%
**
4,574

FED HM LN PC POOL D77490
1/1/2027
7.5%
**
777

FED HM LN PC POOL D77541
1/1/2027
7.5%
**
9,892

FED HM LN PC POOL D80165
5/1/2027
7%
**
17,712

FED HM LN PC POOL D80177
5/1/2027
7%
**
14,548

FED HM LN PC POOL E84467
7/1/2016
6%
**
107

FED HM LN PC POOL E83637
5/1/2016
6%
**
1,630


62
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FED HM LN PC POOL E83638
5/1/2016
6%
**
205

FED HM LN PC POOL E83641
5/1/2016
6%
**
108

FED HM LN PC POOL E83651
5/1/2016
6%
**
1,341

FED HM LN PC POOL E84225
6/1/2016
6%
**
8,896

FED HM LN PC POOL E84260
7/1/2016
6%
**
7,936

FED HM LN PC POOL E85346
9/1/2016
6%
**
3,916

FED HM LN PC POOL E84885
8/1/2016
6%
**
563

FED HM LN PC POOL E85131
9/1/2016
6%
**
151

FED HM LN PC POOL E86208
11/1/2016
6%
**
1,239

FED HM LN PC POOL E87156
1/1/2017
6%
**
4,648

FED HM LN PC POOL E88001
2/1/2017
6%
**
153,409

FED HM LN PC POOL E88056
2/1/2017
6%
**
1,139

FED HM LN PC POOL E88063
2/1/2017
6%
**
2,410

FED HM LN PC POOL E87634
1/1/2017
6%
**
40,438

FED HM LN PC POOL E87908
2/1/2017
6%
**
1,698

FED HM LN PC POOL E87940
2/1/2017
6%
**
272

FED HM LN PC POOL E88884
4/1/2017
6%
**
5,409

FED HM LN PC POOL E88123
2/1/2017
6%
**
8,175

FED HM LN PC POOL E88197
2/1/2017
6%
**
241

FED HM LN PC POOL E88282
3/1/2017
6%
**
7,556

FED HM LN PC POOL E88283
3/1/2017
6%
**
358

FED HM LN PC POOL E88474
3/1/2017
6%
**
3,173

FED HM LN PC POOL E88603
4/1/2017
6%
**
1,640

FED HM LN PC POOL E88729
4/1/2017
6%
**
8,507

FED HM LN PC POOL E88765
3/1/2017
6%
**
2,403

FED HM LN PC POOL E88749
3/1/2017
6%
**
1,257

FED HM LN PC POOL E88750
3/1/2017
6%
**
439

FED HM LN PC POOL E88776
3/1/2017
6%
**
1,457

FED HM LN PC POOL E88791
3/1/2017
6%
**
536

FED HM LN PC POOL E88809
4/1/2017
6%
**
10,201

FED HM LN PC POOL E89777
5/1/2017
6%
**
2,545

FED HM LN PC POOL E89856
5/1/2017
6%
**
2,476

FED HM LN PC POOL E89883
5/1/2017
6%
**
3,368

FED HM LN PC POOL E89041
4/1/2017
6%
**
596

FED HM LN PC POOL E89092
4/1/2017
6%
**
986

FED HM LN PC POOL E89080
4/1/2017
6%
**
3,942

FED HM LN PC POOL E89102
4/1/2017
6%
**
6,073

FED HM LN PC POOL E89118
4/1/2017
6%
**
7,461

FED HM LN PC POOL E89149
4/1/2017
6%
**
3,890

FED HM LN PC POOL E89216
4/1/2017
6%
**
3,942

FED HM LN PC POOL E89294
4/1/2017
6%
**
9,827

FED HM LN PC POOL E89347
4/1/2017
6%
**
10,250

FED HM LN PC POOL E89369
4/1/2017
6%
**
1,741

FED HM LN PC POOL E89434
5/1/2017
6%
**
4,772

FED HM LN PC POOL E89435
5/1/2017
6%
**
4,559

FED HM LN PC POOL E89601
5/1/2017
6%
**
328

FED HM LN PC POOL E89593
5/1/2017
6%
**
7,763

FED HM LN PC POOL E89645
5/1/2017
6%
**
7,106


63
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FED HM LN PC POOL E89704
5/1/2017
6%
**
1,395

FED HM LN PC POOL E89686
5/1/2017
6%
**
7,259

FED HM LN PC POOL E89687
5/1/2017
6%
**
5,239

FED HM LN PC POOL E89707
5/1/2017
6%
**
4,636

FED HM LN PC POOL E89746
5/1/2017
6%
**
255

FED HM LN PC POOL E89913
5/1/2017
6%
**
11,946

FED HM LN PC POOL E89969
5/1/2017
6%
**
3,081

FED HM LN PC POOL E90781
8/1/2017
6%
**
6,540

FED HM LN PC POOL E90831
8/1/2017
6%
**
273

FED HM LN PC POOL E90103
5/1/2017
6%
**
3,500

FED HM LN PC POOL E90135
6/1/2017
6%
**
772

FED HM LN PC POOL E90171
6/1/2017
6%
**
6,102

FED HM LN PC POOL E90237
6/1/2017
6%
**
5,444

FED HM LN PC POOL E90313
6/1/2017
6%
**
247

FED HM LN PC POOL E90315
7/1/2017
6%
**
4,794

FED HM LN PC POOL E90295
6/1/2017
6%
**
2,100

FED HM LN PC POOL E90348
6/1/2017
6%
**
8,482

FED HM LN PC POOL E90322
6/1/2017
6%
**
772

FED HM LN PC POOL E90402
7/1/2017
6%
**
7,197

FED HM LN PC POOL E90473
7/1/2017
6%
**
14,867

FED HM LN PC POOL E90472
7/1/2017
6%
**
6,097

FED HM LN PC POOL E90551
7/1/2017
6%
**
2,306

FED HM LN PC POOL E90623
8/1/2017
6%
**
219

FED HM LN PC POOL E90689
8/1/2017
6%
**
251

FED HM LN PC POOL E90690
7/1/2017
6%
**
402

FED HM LN PC POOL E90985
8/1/2017
6%
**
86

FED HM LN PC POOL E91012
8/1/2017
6%
**
11,658

FED HM LN PC POOL E91278
7/1/2017
6%
**
156

FED HM LN PC POOL E91485
9/1/2017
6%
**
9,575

FED HM LN PC POOL E91879
10/1/2017
6%
**
469

FED HM LN PC POOL E93128
10/1/2017
6%
**
8,152

FED HM LN PC POOL E99733
9/1/2018
6%
**
7,304

FED HM LN PC POOL 847153
5/1/2033
2.36%
**
347,164

FED HM LN PC POOL 846313
2/1/2026
2.43%
**
1,371

FED HM LN PC POOL 846661
2/1/2029
2.29%
**
2,365

FREDDIEMAC STRIP FHS 279 35
9/15/2042
3.5%
**
369,654

FED HM LN PC POOL 1B1580
3/1/2034
2.53%
**
241,921

FED HM LN PC POOL A47038
9/1/2035
5%
**
342,781

FED HM LN PC POOL A53630
10/1/2036
6%
**
205,342

FED HM LN PC POOL A62077
6/1/2037
6%
**
204,737

FED HM LN PC POOL A62378
6/1/2037
6%
**
152,481

FED HM LN PC POOL A63809
8/1/2037
6%
**
179,383

FED HM LN PC POOL A69654
12/1/2037
6%
**
81,293

FED HM LN PC POOL A71410
1/1/2038
6%
**
1,998

FED HM LN PC POOL A75218
4/1/2038
6%
**
143,633

FED HM LN PC POOL 2B0646
7/1/2042
2.03%
**
1,112,427

FED HM LN PC POOL G02031
2/1/2036
5.5%
**
363,843

FED HM LN PC POOL G12467
11/1/2021
6%
**
494,234


64
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FED HM LN PC POOL G03233
8/1/2037
6%
**
25,213

FED HM LN PC POOL G02427
12/1/2036
5.5%
**
951,885

FED HM LN PC POOL G02408
12/1/2036
5.5%
**
552,683

FED HM LN PC POOL G03073
7/1/2037
5.5%
**
593,347

FED HM LN PC POOL G03600
11/1/2037
7%
**
194,095

FED HM LN PC POOL G03695
11/1/2037
5.5%
**
334,285

FED HM LN PC POOL G03812
2/1/2038
5.5%
**
420,157

FED HM LN PC POOL G03819
1/1/2038
6%
**
123,596

FED HM LN PC POOL G04448
7/1/2038
5.5%
**
177,381

FED HM LN PC POOL G04585
2/1/2038
5.5%
**
317,365

FED HM LN PC POOL G04588
8/1/2038
5.5%
**
188,251

FED HM LN PC POOL G04636
12/1/2035
5%
**
98,322

FED HM LN PC POOL G04688
9/1/2038
5.5%
**
166,737

FED HM LN PC POOL G05927
7/1/2040
4.5%
**
2,241,133

FED HM LN PC POOL G05179
1/1/2039
5.5%
**
187,146

FED HM LN PC POOL G05527
7/1/2039
4%
**
115,118

FED HM LN PC POOL G05676
11/1/2039
4%
**
1,856,511

FED HM LN PC POOL G05726
8/1/2039
5%
**
616,286

FED HM LN PC POOL G05741
12/1/2039
4.5%
**
1,237,188

FED HM LN PC POOL G06875
12/1/2038
5.5%
**
3,708,695

FED HM LN PC POOL G06021
1/1/2040
5.5%
**
498,801

FED HM LN PC POOL G06087
9/1/2040
5%
**
121,441

FED HM LN PC POOL G06172
12/1/2038
5.5%
**
1,168,449

FED HM LN PC POOL G06506
12/1/2040
4%
**
3,698,777

FED HM LN PC POOL G06507
2/1/2041
4%
**
610,560

FED HM LN PC POOL G06601
12/1/2040
4.5%
**
3,836,650

FED HM LN PC POOL G06669
9/1/2039
6.5%
**
511,944

FED HM LN PC POOL G07032
6/1/2042
3%
**
1,817,635

FED HM LN PC POOL G07129
9/1/2042
3.5%
**
1,765,675

FED HM LN PC POOL G07335
3/1/2039
7%
**
1,492,260

FED HM LN PC POOL G07388
5/1/2043
3.5%
**
3,355,038

FED HM LN PC POOL G07509
9/1/2039
6.5%
**
1,288,460

FED HM LN PC POOL G13300
5/1/2023
4.5%
**
150,533

FED HM LN PC POOL G12978
12/1/2022
5.5%
**
496,523

FED HM LN PC POOL G14171
10/1/2024
6%
**
457,544

FED HM LN PC POOL G14239
9/1/2026
4%
**
352,117

FED HM LN PC POOL G13492
2/1/2024
5%
**
362,461

FED HM LN PC POOL G13868
7/1/2025
4.5%
**
801,557

FED HM LN PC POOL G14375
7/1/2026
4%
**
1,762,119

FED HM LN PC POOL G14492
10/1/2025
4%
**
977,739

FED HM LN PC POOL G08273
6/1/2038
5.5%
**
111,241

FED HM LN PC POOL G08368
10/1/2039
4.5%
**
1,123,496

FED HM LN PC POOL G08372
11/1/2039
4.5%
**
1,129,912

FED HM LN PC POOL G08540
8/1/2043
3%
**
1,443,217

FED HM LN PC POOL G08521
1/1/2043
3%
**
929,295

FED HM LN PC POOL G08553
10/1/2043
3%
**
166,587

FED HM LN PC POOL G08567
1/1/2044
4%
**
3,917,051

FED HM LN PC POOL G18401
9/1/2026
3.5%
**
318,391


65
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FED HM LN PC POOL G18475
8/1/2028
2.5%
**
449,872

FED HM LN PC POOL 1J1467
12/1/2036
2.27%
**
312,627

FED HM LN PC POOL 1J1492
11/1/2036
2.32%
**
232,966

FED HM LN PC POOL C91028
2/1/2027
5%
**
35,415

FED HM LN PC POOL C91161
2/1/2028
5%
**
41,763

FED HM LN PC POOL J09212
1/1/2024
5%
**
193,372

FED HM LN PC POOL J11089
4/1/2019
4%
**
109,261

FED HM LN PC POOL J12398
6/1/2025
4.5%
**
696,749

FED HM LN PC POOL J12439
6/1/2025
4.5%
**
1,216,109

FED HM LN PC POOL J14494
2/1/2026
4%
**
2,184,002

FED HM LN PC POOL J15658
6/1/2026
4%
**
696,611

FED HM LN PC POOL J15719
6/1/2026
4%
**
1,701,438

FED HM LN PC POOL J15974
6/1/2026
4%
**
707,705

FED HM LN PC POOL J16059
7/1/2026
4%
**
289,456

FED HM LN PC POOL J18912
4/1/2027
2.5%
**
838,995

FED HM LN PC POOL 1G1381
12/1/2036
2.69%
**
98,235

FED HM LN PC POOL 1G2201
9/1/2037
2.28%
**
5,083

FED HM LN PC POOL 1G2511
5/1/2036
2.53%
**
898,036

FED HM LN PC POOL 1B8062
3/1/2041
3.12%
**
533,003

FED HM LN PC POOL 555294
10/1/2017
9%
**
239

FED HM LN PC POOL 555330
10/1/2019
10%
**
5,734

FED HM LN PC POOL 555152 555152
7/1/2020
9%
**
144

FED HM LN PC POOL 555248
1/1/2020
8.5%
**
3,284

FED HM LN PC POOL C00098
2/1/2022
8%
**
7,494

FED HM LN PC POOL C00371
9/1/2024
7%
**
1,569

FED HM LN PC POOL C00516
5/1/2027
8%
**
11,770

FED HM LN PC POOL C00522
5/1/2027
7%
**
13,559

FED HM LN PC POOL C00636
7/1/2028
7.5%
**
28,250

FED HM LN PC POOL C00632
7/1/2028
7%
**
12,606

FED HM LN PC POOL C00650
9/1/2028
7%
**
8,423

FED HM LN PC POOL C00984
5/1/2030
8%
**
2,567

FED HM LN PC POOL C00987
5/1/2030
7.5%
**
2,563

FED HM LN PC POOL C01116
1/1/2031
7.5%
**
64,226

FED HM LN PC POOL C03517
9/1/2040
4.5%
**
758,082

FED HM LN PC POOL C03520
9/1/2040
4%
**
6,383,457

FED HM LN PC POOL C03545
8/1/2040
5%
**
1,082,407

FED HM LN PC POOL C04422
12/1/2042
3%
**
1,128,678

FED HM LN PC POOL C03613
11/1/2040
4%
**
1,015,494

FED HM LN PC POOL C03792
4/1/2042
3.5%
**
2,701,831

FED HM LN PC POOL C04240
9/1/2042
3.5%
**
1,003,877

FED HM LN PC POOL C04272
10/1/2042
3%
**
2,816,909

FED HM LN PC POOL C09022
1/1/2043
3%
**
5,371,448

FED HM LN PC POOL C09055
12/1/2043
4%
**
1,898,401

FED HM LN PC POOL C10542
6/1/2028
7%
**
12,091

FED HM LN PC POOL C12585
7/1/2028
7%
**
1,014

FED HM LN PC POOL C14084
8/1/2028
7%
**
21,946

FED HM LN PC POOL A85726
4/1/2039
5%
**
373,379

FED HM LN PC POOL A90826
1/1/2040
4.5%
**
1,067,415


66
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FED HM LN PC POOL A91235
2/1/2040
4.5%
**
485,921

FED HM LN PC POOL C26742
5/1/2029
6%
**
860

FED HM LN PC POOL A93471
8/1/2040
4.5%
**
671,482

FED HM LN PC POOL A93316
8/1/2040
4.5%
**
567,042

FED HM LN PC POOL A93318
8/1/2040
5%
**
1,550,341

FED HM LN PC POOL A93625
8/1/2040
5%
**
959,212

FED HM LN PC POOL A93652
9/1/2040
5%
**
357,682

FED HM LN PC POOL A93713
9/1/2040
5%
**
1,151,557

FED HM LN PC POOL A94069
9/1/2040
5%
**
521,524

FED HM LN PC POOL A94113
10/1/2040
5%
**
927,323

FED HM LN PC POOL A94132
9/1/2040
5%
**
77,462

FED HM LN PC POOL A94898
11/1/2040
4.5%
**
593,611

FED HM LN PC POOL A95085
11/1/2040
4%
**
988,215

FED HM LN PC POOL A95519
12/1/2040
4.5%
**
330,551

FED HM LN PC POOL A95561
12/1/2040
4%
**
1,211,021

FED HM LN PC POOL A95575
12/1/2040
4%
**
1,025,488

FED HM LN PC POOL A95825
12/1/2040
4%
**
1,217,863

FED HM LN PC POOL A95831
12/1/2040
4.5%
**
2,256,186

FED HM LN PC POOL A97040
2/1/2041
4%
**
548,621

FED HM LN PC POOL E00956
3/1/2016
6%
**
448

FED HM LN PC POOL E01007
8/1/2016
6%
**
377

FED HM LN PC POOL E01095
1/1/2017
6%
**
199

FED HM LN PC POOL E01495
9/1/2018
6%
**
4,165

FED HM LN PC POOL E04113
11/1/2027
2.5%
**
2,040,704

FED HM LN PC POOL A01672
9/1/2019
9.5%
**
4,747

FED HM LN PC POOL A00936
1/1/2019
9%
**
180

FED HM LN PC POOL A17092
12/1/2033
6%
**
113,102

FED HM LN PC POOL A39803
11/1/2035
5.5%
**
687,903

FED HM LN PC POOL J23935
5/1/2028
3%
**
892,397

FED HM LN PC POOL J25735
9/1/2028
3%
**
1,066,147

FED HM LN PC POOL J27464
2/1/2029
3.5%
**
1,961,404

FED HM LN PC POOL J27964
4/1/2029
3%
**
983,891

FED HM LN PC POOL J28196
5/1/2029
3%
**
5,851,244

FED HM LN PC POOL J29007
8/1/2029
3%
**
1,011,202

FEDERAL HOME LOAN BANK BONDS 05/17 0.875
5/24/2017
0.88%
**
119,779

FEDERAL HOME LOAN BANK BONDS 09/16 0.5
9/28/2016
0.5%
**
4,667,593

FEDERAL HOME LN BANK 11/16 0.625
11/23/2016
0.63%
**
16,091,071

FEDERAL AGRIC MTG CORP CL C COMMON STOCK USD1.
 
 
**
27,973

FED HM LN PC POOL U80439
7/1/2033
3.5%
**
829,150

FED HM LN PC POOL Q04673
11/1/2041
4%
**
1,528,124

FED HM LN PC POOL Q04674
12/1/2041
4%
**
133,270

FED HM LN PC POOL Q08998
6/1/2042
3.5%
**
2,013,142

FED HM LN PC POOL U90155
9/1/2042
4%
**
4,173,988

FED HM LN PC POOL U90245
10/1/2042
3.5%
**
931,239

FED HM LN PC POOL U90316
10/1/2042
4%
**
3,903,610

FED HM LN PC POOL U90291
10/1/2042
4%
**
524,619

FED HM LN PC POOL U90690
6/1/2042
3.5%
**
360,832

FED HM LN PC POOL U95137
8/1/2043
4%
**
905,089


67
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FED HM LN PC POOL U99091
3/1/2044
4.5%
**
1,839,491

FED HM LN PC POOL U99076
12/1/2043
4.5%
**
7,816,163

FED HM LN PC POOL U99084
2/1/2044
4.5%
**
6,447,721

FED HM LN PC POOL U99114
2/1/2044
3.5%
**
415,467

FED HM LN PC POOL U91254
4/1/2043
4%
**
1,512,580

FED HM LN PC POOL U91619
6/1/2043
4%
**
1,412,010

FED HM LN PC POOL U92272
12/1/2043
4.5%
**
975,590

FED HM LN PC POOL Q10241
8/1/2042
3.5%
**
854,749

FED HM LN PC POOL Q10448
8/1/2042
3.5%
**
893,516

FED HM LN PC POOL Q11788
10/1/2042
3%
**
444,834

FED HM LN PC POOL Q11288
9/1/2042
3.5%
**
890,466

FED HM LN PC POOL Q12052
10/1/2042
3.5%
**
1,002,122

FED HM LN PC POOL Q12520
10/1/2042
3%
**
199,118

FED HM LN PC POOL Q14326
1/1/2043
2.5%
**
1,003,973

FREDDIEMAC STRIP FHS 323 300
1/15/2044
3%
**
830,269

FED HM LN PC POOL U62476
4/1/2043
3.5%
**
5,000,832

FED HM LN PC POOL Q15062
2/1/2043
3%
**
3,519,848

FED HM LN PC POOL Q17792
5/1/2043
3.5%
**
3,951,653

FED HM LN PC POOL Q20416
7/1/2043
3%
**
551,658

FED HM LN PC POOL Q20402
7/1/2043
3%
**
321,986

FED HM LN PC POOL Q21694
8/1/2043
3%
**
494,524

FED HM LN PC POOL Q20983
8/1/2043
3%
**
419,465

FED HM LN PC POOL V60298
10/1/2028
3%
**
996,371

FED HM LN PC POOL V60564
6/1/2029
3%
**
1,990,493

FED HM LN PC POOL Q24332
1/1/2044
4%
**
1,029,371

FED HM LN PC POOL Q25702
4/1/2044
4.5%
**
1,080,780

FED HM LN PC POOL Q25703
4/1/2044
4.5%
**
1,272,499

FED HM LN PC POOL Q25705
4/1/2044
4.5%
**
755,120

FED HM LN PC POOL Q25712
4/1/2044
4.5%
**
807,629

FED HM LN PC POOL Q25818
4/1/2044
4.5%
**
5,085,095

FED HM LN PC POOL Q25819
4/1/2044
4.5%
**
5,419,846

FED HM LN PC POOL Q25853
4/1/2044
4.5%
**
1,061,997

FED HM LN PC POOL Q25850
4/1/2044
4.5%
**
1,005,575

FED HM LN PC POOL Q25851
4/1/2044
4.5%
**
392,537

FED HM LN PC POOL Q25852
4/1/2044
4.5%
**
1,007,836

FED FARM CRD DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/30/2015
 
**
19,999,680

FED HM LN PC POOL C80379
2/1/2026
7%
**
15,339

FED HM LN PC POOL C80373
1/1/2026
7.5%
**
656

FED HM LN PC POOL C80407
6/1/2026
7%
**
1,827

FED HM LN PC POOL C90148
9/1/2016
7.5%
**
862

FEDERAL HOME LOAN BANK BONDS 09/17 2.25
9/8/2017
2.25%
**
92,247,428

FED HM LN PC POOL 410792
2/1/2030
2.38%
**
31,571

FEDERAL HOME LOAN BANK BONDS 12/16 0.75
12/19/2016
0.75%
**
7,726,306

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/2/2015
 
**
1,200,000

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/7/2015
0.01%
**
4,854,985

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/9/2015
0.01%
**
999,996

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/14/2015
 
**
2,699,981

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/14/2015
0.04%
**
19,299,756


68
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FED HOME LN DISCOUNT NT DISCOUNT NOT 01/15 0.00000
 
 
**
599,994

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/21/2015
0.01%
**
8,299,909

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/15 0.00000
2/12/2015
0.05%
**
50,497,054

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/15 0.00000
2/23/2015
0.09%
**
6,599,174

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/15 0.00000
2/25/2015
0.13%
**
36,592,731

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/15 0.00000
3/6/2015
0.1%
**
9,998,311

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/15 0.00000
3/9/2015
0.09%
**
19,696,700

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/15 0.00000
3/11/2015
0.09%
**
26,295,463

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/15 0.00000
3/18/2015
0.08%
**
18,196,926

FED HOME LN DISCOUNT NT DISCOUNT NOT 05/15 0.00000
5/6/2015
0.1%
**
1,599,461

FED HOME LN DISCOUNT NT DISCOUNT NOT 05/15 0.00000
5/19/2015
0.12%
**
34,984,235

FED HOME LN DISCOUNT NT DISCOUNT NOT 05/15 0.00000
5/20/2015
0.11%
**
99,957

FED HOME LN DISCOUNT NT DISCOUNT NOT 09/15 0.00000
9/4/2015
0.17%
**
8,889,661

FED HOME LN DISCOUNT NT DISCOUNT NOT 09/15 0.00000
9/9/2015
0.17%
**
9,189,095

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/5/2015
0.01%
**
2,086,996

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/20/2015
0.01%
**
14,999,644

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/15 0.00000
1/26/2015
 
**
2,499,968

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 02/15 0.00000
2/24/2015
0.1%
**
199,972

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 03/15 0.00000
3/9/2015
0.09%
**
9,498,462

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 04/15 0.00000
4/1/2015
0.07%
**
33,294,173

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 04/15 0.00000
4/10/2015
0.07%
**
62,288,007

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 04/15 0.00000
4/27/2015
0.08%
**
7,398,092

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 05/15 0.00000
5/6/2015
0.1%
**
11,995,833

FREDDIE MAC FHR 2338 ZC
7/15/2031
6.5%
**
402,685

FREDDIE MAC FHR 2410 PF
2/15/2032
1.14%
**
2,129,290

FREDDIE MAC FHR 2430 WF
3/15/2032
6.5%
**
149,631

FEDERAL FARM CREDIT BANK BONDS 08/15 0.4
8/26/2015
0.4%
**
10,010,150

FEDERAL FARM CREDIT BANK BONDS 09/17 1.125
9/22/2017
1.13%
**
10,397,842

FREDDIE MAC FHR 2113 MW
1/15/2029
6.5%
**
313,838

FREDDIE MAC FHR 2135 OH
3/15/2029
6.5%
**
279,879

FREDDIE MAC FHR 2175 TH
7/15/2029
6%
**
344,830

FHLMC STRUCTURED PASS THROUGH FSPC T 21 A
10/25/2029
0.53%
**
302,769

FREDDIE MAC FHR 2248 FB
9/15/2030
0.66%
**
8,623

FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1
8/25/2031
1%
**
10,704

FREDDIE MAC FHR 2319 PZ
5/15/2031
6.5%
**
779,735

FEDERAL HOME LOAN BANK BONDS 12/15 5
12/21/2015
5%
**
10,452

FEDERAL HOME LOAN BANK BONDS 07/36 5.5
7/15/2036
5.5%
**
12,754,262

FEDERAL HOME LOAN BANK BONDS 12/16 4.75
12/16/2016
4.75%
**
4,764,316

FEDERAL HOME LOAN BANK BONDS 03/16 3.125
3/11/2016
3.13%
**
1,377,030

FED HM LN PC POOL 360077
8/1/2019
9%
**
445

FED HM LN PC POOL 538275
12/1/2019
9%
**
692

BARCLAYS PLC COMMON STOCK GBP.25
 
 
**
3,799,067

FED HM LN PC POOL 540880
10/1/2019
9%
**
3,973

FREDDIE MAC SENIOR NOTES 11/16 0.625
11/1/2016
0.63%
**
1,675,980

FEDERAL MOGUL HOLDINGS CORP COMMON STOCK USD.01
 
 
**
128,640

FED HM LN PC POOL 547356
3/1/2020
9%
**
175

FED HM LN PC POOL 549820
9/1/2020
9%
**
1,729

FANNIE MAE SUBORDINATED 10/19 0.00000
10/9/2019
0.01%
**
27,466,558


69
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FANNIE DISCOUNT NOTE DISCOUNT NOT 01/15 0.00000
1/2/2015
 
**
2,995,000

FANNIE DISCOUNT NOTE DISCOUNT NOT 01/15 0.00000
1/5/2015
 
**
3,299,993

FANNIE DISCOUNT NOTE DISCOUNT NOT 01/15 0.00000
1/6/2015
 
**
499,999

FANNIE DISCOUNT NOTE DISCOUNT NOT 01/15 0.00000
1/20/2015
 
**
900,991

FANNIE DISCOUNT NOTE DISCOUNT NOT 02/15 0.00000
2/9/2015
0.05%
**
99,995

FANNIE DISCOUNT NOTE DISCOUNT NOT 03/15 0.00000
3/3/2015
0.05%
**
3,699,687

FANNIE DISCOUNT NOTE DISCOUNT NOT 04/15 0.00000
4/6/2015
0.06%
**
64,389,803

FANNIE DISCOUNT NOTE DISCOUNT NOT 04/15 0.00000
4/16/2015
0.1%
**
19,494,597

FANNIE DISCOUNT NOTE DISCOUNT NOT 04/15 0.00000
4/27/2015
0.07%
**
20,695,331

FANNIE DISCOUNT NOTE DISCOUNT NOT 05/15 0.00000
5/1/2015
0.08%
**
3,998,933

FANNIE DISCOUNT NOTE DISCOUNT NOT 05/15 0.00000
5/13/2015
0.11%
**
1,399,461

FANNIE DISCOUNT NOTE DISCOUNT NOT 06/15 0.00000
6/1/2015
0.15%
**
13,091,758

FANNIE MAE FNR 1994 15 ZK
2/25/2024
5.5%
**
855,662

FANNIE MAE FNR 1994 29 Z
2/25/2024
6.5%
**
96,309

FANNIE MAE FNR 1994 43 PK
2/25/2024
6.35%
**
674,529

FANNIE MAE NOTES 04/15 5
4/15/2015
5%
**
9,124,695

FANNIE MAE NOTES 03/16 5
3/15/2016
5%
**
701,288

FANNIE MAE NOTES 09/16 5.25
9/15/2016
5.25%
**
2,279,363

FANNIE MAE NOTES 10/15 4.375
10/15/2015
4.38%
**
696,861

FANNIE MAE FNR 1997 89 ZA
12/20/2027
7%
**
351,480

FANNIE MAE FNR 1999 6 PB
3/25/2019
6%
**
198,537

FANNIE MAE NOTES 03/16 2.25
3/15/2016
2.25%
**
10,209,610

FANNIE MAE NOTES 04/16 2.375
4/11/2016
2.38%
**
3,114,936

FANNIE MAE NOTES 09/16 1.25
9/28/2016
1.25%
**
4,545,936

FANNIE MAE NOTES 05/15 0.5
5/27/2015
0.5%
**
10,011,190

FANNIE MAE NOTES 08/17 0.875
8/28/2017
0.88%
**
18,789,139

FANNIE MAE NOTES 10/17 0.875
10/26/2017
0.88%
**
2,989,517

FANNIE MAE NOTES 12/15 0.375
12/21/2015
0.38%
**
4,401,025

FANNIE MAE NOTES 03/16 0.5
3/30/2016
0.5%
**
16,094,640

FANNIE MAE NOTES 05/18 0.875
5/21/2018
0.88%
**
875,201

FANNIE MAE NOTES 07/16 0.375
7/5/2016
0.38%
**
22,840,968

FANNIE MAE NOTES 09/18 1.875
9/18/2018
1.88%
**
4,110,840

FANNIE MAE NOTES 11/18 1.625
11/27/2018
1.63%
**
1,969,437

FANNIE MAE NOTES 02/19 1.875
2/19/2019
1.88%
**
116,745

FANNIE MAE NOTES 06/19 1.75
6/20/2019
1.75%
**
1,487,293

FANNIE MAE 09/19 1.75
9/12/2019
1.75%
**
28,069,384

FANNIE MAE NOTES 09/24 2.625
9/6/2024
2.63%
**
11,504,511

FNMA POOL 050305 FN 05/20 FIXED 9.5
5/1/2020
9.5%
**
2,093

FNMA POOL 050402 FN 02/21 FIXED 9
2/1/2021
9%
**
370

FNMA POOL 050415 FN 03/21 FIXED 9
3/1/2021
9%
**
545

FNMA POOL 050795 FN 09/23 FIXED 7
9/1/2023
7%
**
2,452

FNMA POOL 050947 FN 12/23 FIXED 7
12/1/2023
7%
**
28,414

FNMA POOL 050966 FN 01/24 FIXED 7
1/1/2024
7%
**
11,091

FNMA POOL 050993 FN 02/24 FIXED 7
2/1/2024
7%
**
8,772

FNMA POOL 060680 FN 02/28 FLOATING VAR
2/1/2028
4.37%
**
50,074

FNMA POOL 070110 FN 10/16 FIXED VAR
10/1/2016
10%
**
709

FNMA POOL 108489 FN 11/20 FIXED 9
11/1/2020
9%
**
13,215

FNMA POOL 100168 FN 01/21 FIXED VAR
1/15/2021
9.5%
**
2,837


70
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL 190377 FN 11/36 FIXED VAR
11/1/2036
5%
**
13,536

FNMA POOL 190353 FN 08/34 FIXED VAR
8/1/2034
5%
**
18,796

FNMA POOL 190357 FN 03/35 FIXED VAR
3/1/2035
5%
**
14,336

FNMA POOL 190360 FN 08/35 FIXED VAR
8/1/2035
5%
**
11,692

FNMA POOL 190533 FN 01/24 FIXED VAR
1/1/2024
7%
**
4,805

FANNIE MAE FNR 2012 28 B
6/25/2039
6.5%
**
504,079

FANNIE MAE FNR 2012 17 FG
3/25/2042
0.67%
**
7,461,634

FANNIEMAE ACES FNA 2012 M8 ASQ1
12/25/2019
1.17%
**
1,164,678

FANNIEMAE ACES FNA 2012 M8 ASQ2
12/25/2019
1.52%
**
308,280

FANNIEMAE ACES FNA 2012 M8 ASQ3
12/25/2019
1.8%
**
339,241

FANNIE MAE FNR 2012 154 PW
10/25/2042
3%
**
653,541

FANNIE MAE FNR 2013 9 BC
7/25/2042
6.5%
**
5,662,954

FANNIE MAE FNR 2013 9 CB
4/25/2042
5.5%
**
8,931,601

FANNIE MAE FNR 2013 13 IK
3/25/2028
2.5%
**
118,809

FANNIE MAE FNR 2013 23 NH
3/25/2028
2%
**
1,916,369

FANNIEMAE ACES FNA 2013 M7 A2
12/27/2022
2.28%
**
330,338

FANNIE MAE FNR 2013 90 A
11/25/2038
4%
**
2,896,869

FANNIE MAE FNR 2013 83 CA
10/25/2037
3.5%
**
2,638,090

FANNIE MAE FNR 2013 96 YA
9/25/2038
3.5%
**
510,562

FANNIEMAE ACES FNA 2014 M1 A2
7/25/2023
3.37%
**
549,855

FANNIEMAE ACES FNA 2014 M5 FA
1/25/2017
0.51%
**
672,452

FANNIE MAE FNR 2014 23 PA
8/25/2036
3.5%
**
3,119,414

FANNIEMAE ACES FNA 2014 M6 FA
12/25/2017
0.45%
**
350,941

FANNIEMAE ACES FNA 2014 M9 A2
7/25/2024
3.1%
**
834,160

FANNIEMAE ACES FNA 2014 M13 AB1
8/25/2024
2.58%
**
5,933,768

FANNIEMAE ACES FNA 2014 M13 AB2
8/25/2024
3.1%
**
13,245,962

FANNIEMAE STRIP FNS 404 F13
5/25/2040
0.77%
**
1,000,699

FANNIE MAE NOTES 03/16 2
3/8/2016
2%
**
1,018,751

FANNIE MAE NOTES 08/18 1.25
8/22/2018
1.25%
**
4,968,230

FNMA POOL 242136 FN 10/23 FIXED 7
10/1/2023
7%
**
482

FNMA POOL 245442 FN 11/23 FIXED 7
11/1/2023
7%
**
4,133

FNMA POOL 252210 FN 02/19 FIXED 6.5
2/1/2019
6.5%
**
48,364

FNMA POOL 253799 FN 05/16 FIXED 6.5
5/1/2016
6.5%
**
16,389

FNMA POOL 253153 FN 02/20 FIXED 7
2/1/2020
7%
**
19,205

FNMA POOL 254793 FN 07/33 FIXED 5
7/1/2033
5%
**
369,809

FNMA POOL 253947 FN 08/31 FIXED 8
8/1/2031
8%
**
45,808

FNMA POOL 254223 FN 02/32 FIXED 7.5
2/1/2032
7.5%
**
577

FNMA POOL 256901 FN 09/37 FIXED 6.5
9/1/2037
6.5%
**
28,565

FNMA POOL 256937 FN 10/37 FIXED 6.5
10/1/2037
6.5%
**
47,217

FNMA POOL 257239 FN 06/28 FIXED 5.5
6/1/2028
5.5%
**
277,377

FNMA POOL 262211 FN 12/23 FIXED 7
12/1/2023
7%
**
634

FNMA POOL 267989 FN 02/24 FIXED 7
2/1/2024
7%
**
4,519

FNMA POOL 274621 FN 03/24 FIXED 7
3/1/2024
7%
**
1,479

FNMA POOL 303675 FN 10/17 FIXED VAR
10/1/2017
10%
**
10,538

FEDERAL REALTY INVS TRUST REIT USD.01
 
 
**
3,149,656

FNMA POOL 312206 FN 06/25 FLOATING VAR
6/1/2025
2.22%
**
47,149

FNMA POOL 313499 FN 10/18 FIXED VAR
10/1/2018
10%
**
12,172

FNMA POOL 313947 FN 01/28 FIXED VAR
1/1/2028
7%
**
2,824


71
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL 330089 FN 04/25 FIXED 8
4/1/2025
8%
**
33,839

FNMA POOL 330126 FN 08/25 FLOATING VAR
8/1/2025
2.3%
**
57,995

FNMA POOL 331427 FN 11/25 FLOATING VAR
11/1/2025
2.19%
**
29,587

FNMA POOL 347547 FN 08/26 FLOATING VAR
8/1/2026
2.25%
**
354

FNMA POOL 347633 FN 07/26 FLOATING VAR
7/1/2026
2.25%
**
21,850

FNMA POOL 362968 FN 01/26 FLOATING VAR
1/1/2026
2.44%
**
50,024

FNMA POOL 366826 FN 01/27 FIXED 7
1/1/2027
7%
**
5,499

FNMA POOL 367801 FN 05/24 FIXED 9
5/1/2024
9%
**
1,747

FNMA POOL 369996 FN 01/27 FIXED 7.5
1/1/2027
7.5%
**
3,738

FNMA POOL 371049 FN 02/27 FIXED 7.5
2/1/2027
7.5%
**
14,801

FNMA POOL 371073 FN 02/27 FIXED 7.5
2/1/2027
7.5%
**
7,713

FNMA POOL 371871 FN 02/27 FIXED 7.5
2/1/2027
7.5%
**
8,590

FNMA POOL 377038 FN 04/27 FIXED 7.5
4/1/2027
7.5%
**
12,754

FNMA POOL 390986 FN 08/27 FLOATING VAR
8/1/2027
2.25%
**
121,034

FNMA POOL 396434 FN 11/27 FIXED 7.5
11/1/2027
7.5%
**
552

FNMA POOL 396439 FN 11/27 FIXED 7.5
11/1/2027
7.5%
**
8,763

FNMA POOL 397256 FN 10/27 FIXED 7.5
10/1/2027
7.5%
**
811

FNMA POOL 398754 FN 09/27 FIXED 7.5
9/1/2027
7.5%
**
6,375

FNMA POOL 400044 FN 10/27 FIXED 7.5
10/1/2027
7.5%
**
6,299

FNMA POOL 401788 FN 10/27 FIXED 7.5
10/1/2027
7.5%
**
2,108

FREDDIE MAC FHR 3677 PB
5/15/2040
4.5%
**
531,027

FREDDIE MAC FHR 3786 NA
7/15/2040
4.5%
**
3,235,487

FREDDIE MAC FHR 3843 GH
10/15/2039
3.75%
**
2,343,443

FREDDIE MAC FHR 3877 FA
11/15/2040
0.51%
**
5,579,017

FREDDIE MAC FHR 4042 EB
8/15/2039
6.5%
**
3,422,827

FHLMC MULTIFAMILY STRUCTURED P FHMS K708 X1
1/25/2019
1.5%
**
295,040

FREDDIE MAC FHR 4219 JA
8/15/2039
3.5%
**
421,361

FREDDIE MAC FHR 4227 VA
10/15/2037
3.5%
**
1,654,899

FREDDIE MAC FHR 4229 MA
5/15/2041
3.5%
**
3,239,389

FREDDIE MAC FHR 4305 A
6/15/2048
3.5%
**
3,615,110

FREDDIE MAC FHR 4305 KA
3/15/2038
3%
**
2,743,027

FREDDIE MAC FHR 4384 LA
9/15/2040
3.5%
**
14,773,277

FHLMC MULTIFAMILY STRUCTURED P FHMS K041 A2
10/25/2024
3.17%
**
15,562,860

FREDDIE MAC NOTES 04/16 5.25
4/18/2016
5.25%
**
6,368,970

FREDDIE MAC NOTES 05/16 2.5
5/27/2016
2.5%
**
5,141,325

FREDDIE MAC NOTES 08/16 2
8/25/2016
2%
**
9,153,460

FREDDIE MAC NOTES 01/22 2.375
1/13/2022
2.38%
**
5,703,110

FREDDIE MAC NOTES 03/17 1
3/8/2017
1%
**
3,610,433

FREDDIE MAC NOTES 07/17 1
7/28/2017
1%
**
8,996,625

FREDDIE MAC NOTES 08/19 1.25
8/1/2019
1.25%
**
652,721

FREDDIE MAC NOTES 09/17 1
9/29/2017
1%
**
1,845,937

FREDDIE MAC NOTES 01/18 0.75
1/12/2018
0.75%
**
3,232,929

FREDDIE MAC NOTES 03/18 0.875
3/7/2018
0.88%
**
2,514,340

FREDDIE MAC NOTES 10/16 0.875
10/14/2016
0.88%
**
53,860,044

FREDDIE MAC NOTES 02/17 0.875
2/22/2017
0.88%
**
5,008,105

STRUCTURED AGENCY CREDIT RISK STACR 2014 DN1 M2
2/25/2024
2.37%
**
923,838

STRUCTURED AGENCY CREDIT RISK STACR 2014 DN2 M2
4/25/2024
1.82%
**
15,655,323

STRUCTURED AGENCY CREDIT RISK STACR 2014 DN3 M2
8/25/2024
2.57%
**
3,448,809


72
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
STRUCTURED AGENCY CREDIT RISK STACR 2014 HQ1 M2
8/25/2024
2.67%
**
4,782,840

FNMA POOL 468559 FN 08/21 FIXED 4.01
8/1/2021
4.01%
**
417,643

FNMA POOL 471834 FN 07/17 FIXED 1.4
7/1/2017
1.4%
**
340,605

FNMA POOL 479545 FN 08/29 FIXED 7
8/1/2029
7%
**
2,997

FNMA POOL 492745 FN 05/29 FIXED 7
5/1/2029
7%
**
13,216

FNMA POOL 503573 FN 10/29 FIXED 7
10/1/2029
7%
**
2,959

FNMA POOL 507521 FN 08/29 FIXED 7
8/1/2029
7%
**
6,237

FNMA POOL 509436 FN 10/29 FIXED 7
10/1/2029
7%
**
9,042

FNMA POOL 509662 FN 08/29 FIXED 7
8/1/2029
7%
**
531

FNMA POOL 511103 FN 08/29 FIXED 7
8/1/2029
7%
**
15,716

FNMA POOL 511384 FN 09/29 FIXED 7
9/1/2029
7%
**
2,065

FNMA POOL 514267 FN 09/29 FIXED 7
9/1/2029
7%
**
2,900

FNMA POOL 515518 FN 10/29 FIXED 7
10/1/2029
7%
**
4,056

FNMA POOL 517511 FN 10/29 FIXED 7
10/1/2029
7%
**
14,954

FNMA POOL 518108 FN 09/29 FIXED 7
9/1/2029
7%
**
7,945

FNMA POOL 522760 FN 11/29 FIXED 7
11/1/2029
7%
**
9,385

FNMA POOL 523486 FN 08/30 FIXED 8
8/1/2030
8%
**
1,158

FNMA POOL 529428 FN 03/30 FIXED 8
3/1/2030
8%
**
3,693

FNMA POOL 533757 FN 06/30 FIXED 8
6/1/2030
8%
**
14,774

FNMA POOL 534659 FN 05/15 FIXED 7
5/1/2015
7%
**
1,537

FNMA POOL 534194 FN 04/30 FIXED 8
4/1/2030
8%
**
3,734

FEDERAL SIGNAL CORP COMMON STOCK USD1.
 
 
**
93,366

FNMA POOL 545204 FN 05/36 FLOATING VAR
5/1/2036
2.99%
**
95,992

FNMA POOL 545278 FN 11/31 FIXED VAR
11/1/2031
7.5%
**
100,379

FNMA POOL 554482 FN 10/30 FIXED 7.5
10/1/2030
7.5%
**
154,354

FNMA POOL 555743 FN 09/33 FIXED VAR
9/1/2033
5%
**
445,533

FNMA POOL 569915 FN 02/16 FIXED 7
2/1/2016
7%
**
15,541

FNMA POOL 569972 FN 03/31 FIXED 7.5
3/1/2031
7.5%
**
48,411

FNMA POOL 569973 FN 02/31 FIXED 8
2/1/2031
8%
**
22,628

FNMA POOL 572675 FN 04/31 FIXED 7.5
4/1/2031
7.5%
**
68,186

FNMA POOL 589396 FN 07/16 FIXED 6
7/1/2016
6%
**
61,969

FNMA POOL 593848 FN 07/31 FIXED 8
7/1/2031
8%
**
23,196

FNMA POOL 602065 FN 09/31 FIXED 7
9/1/2031
7%
**
123,461

FNMA POOL 604576 FN 09/21 FIXED 6.5
9/1/2021
6.5%
**
25,099

FNMA POOL 609504 FN 10/31 FIXED 7
10/1/2031
7%
**
129,960

FNMA POOL 621101 FN 01/17 FIXED 6
1/1/2017
6%
**
62,017

FNMA POOL AH0864 FN 12/40 FIXED 4
12/1/2040
4%
**
37,649

FNMA POOL AH0210 FN 12/40 FIXED 4.5
12/1/2040
4.5%
**
2,179,924

FNMA POOL AH0943 FN 12/40 FIXED 4
12/1/2040
4%
**
1,534,853

FNMA POOL AH1115 FN 01/41 FIXED 4.5
1/1/2041
4.5%
**
4,076,765

FNMA POOL AH1266 FN 01/41 FIXED 4
1/1/2041
4%
**
858,220

FNMA POOL AH1508 FN 12/40 FIXED 4.5
12/1/2040
4.5%
**
2,226,519

FNMA POOL AH1565 FN 12/40 FIXED 4.5
12/1/2040
4.5%
**
1,022,842

FNMA POOL AH1559 FN 12/40 FIXED 4
12/1/2040
4%
**
1,931,687

FNMA POOL AH1560 FN 01/41 FIXED 4
1/1/2041
4%
**
2,434,483

FNMA POOL AH2683 FN 01/41 FIXED 4
1/1/2041
4%
**
2,970,129

FNMA POOL AH2442 FN 01/41 FIXED 4
1/1/2041
4%
**
111,120

FNMA POOL AH3203 FN 01/41 FIXED 4
1/1/2041
4%
**
577,494


73
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL AH4404 FN 01/41 FIXED 4
1/1/2041
4%
**
2,921,777

FNMA POOL AH5287 FN 02/26 FIXED 3.5
2/1/2026
3.5%
**
967,351

FNMA POOL AH6958 FN 02/41 FLOATING VAR
2/1/2041
2.89%
**
680,255

FNMA POOL AI0511 FN 04/41 FIXED 5
4/1/2041
5%
**
168,944

FNMA POOL AI1051 FN 06/26 FIXED 4
6/1/2026
4%
**
827,813

FNMA POOL AI1863 FN 05/41 FIXED 5
5/1/2041
5%
**
363,713

FNMA POOL AI1892 FN 05/41 FIXED 5
5/1/2041
5%
**
1,819,568

FNMA POOL AI2433 FN 05/41 FIXED 5
5/1/2041
5%
**
436,411

FNMA POOL AI2443 FN 05/41 FIXED 5
5/1/2041
5%
**
295,594

FNMA POOL AI2462 FN 05/41 FIXED 5
5/1/2041
5%
**
292,643

FNMA POOL AI2737 FN 05/41 FIXED 5
5/1/2041
5%
**
53,231

FNMA POOL AI4261 FN 06/41 FIXED 5
6/1/2041
5%
**
237,429

FNMA POOL AI8382 FN 09/26 FIXED 3.5
9/1/2026
3.5%
**
719,969

FNMA POOL AI8630 FN 07/42 FIXED 4
7/1/2042
4%
**
145,115

FNMA POOL AI9940 FN 09/41 FIXED 5
9/1/2041
5%
**
1,059,887

FNMA POOL AJ1414 FN 09/41 FIXED 4.5
9/1/2041
4.5%
**
1,099,770

FNMA POOL AJ1884 FN 02/42 FIXED 3.5
2/1/2042
3.5%
**
931,153

FNMA POOL AJ2288 FN 09/41 FIXED 4
9/1/2041
4%
**
1,066,176

FNMA POOL AJ6935 FN 11/26 FIXED 3.5
11/1/2026
3.5%
**
2,430,939

FNMA POOL AK0968 FN 02/27 FIXED 3
2/1/2027
3%
**
1,072,811

FNMA POOL AK1140 FN 02/27 FIXED 3
2/1/2027
3%
**
731,017

FNMA POOL AK1608 FN 01/27 FIXED 3
1/1/2027
3%
**
721,327

FNMA POOL AK3107 FN 02/42 FIXED 4
2/1/2042
4%
**
337,767

FNMA POOL AK6966 FN 03/27 FIXED 3
3/1/2027
3%
**
1,086,825

FNMA POOL AL0007 FN 12/34 FIXED VAR
12/1/2034
5%
**
1,740,477

FNMA POOL AL0009 FN 12/34 FIXED VAR
12/1/2034
5.5%
**
1,910,735

FNMA POOL AL0215 FN 04/41 FIXED VAR
4/1/2041
4.5%
**
2,741,775

FNMA POOL AL0379 FN 12/36 FIXED VAR
12/1/2036
8%
**
370,876

FNMA POOL AL0476 FN 11/40 FIXED VAR
11/1/2040
5%
**
1,432,742

FNMA POOL AL0484 FN 05/40 FIXED VAR
5/1/2040
5.5%
**
704,434

FNMA POOL AL0533 FN 07/41 FLOATING VAR
7/1/2041
3.25%
**
2,453,717

FNMA POOL AL0998 FN 10/41 FIXED VAR
10/1/2041
4.5%
**
1,533,278

FNMA POOL AL1051 FN 09/41 FIXED VAR
9/1/2041
4.5%
**
985,208

FNMA POOL AL1469 FN 02/39 FIXED VAR
2/1/2039
7%
**
1,930,255

FNMA POOL AL1470 FN 04/37 FIXED VAR
4/1/2037
7%
**
793,633

FNMA POOL AL2683 FN 09/26 FIXED VAR
9/1/2026
4%
**
3,688,261

FNMA POOL AL1938 FN 12/26 FIXED VAR
12/1/2026
4%
**
2,779,723

FNMA POOL AL1945 FN 06/42 FIXED VAR
6/1/2042
3.5%
**
798,427

FNMA POOL AL2151 FN 03/42 FIXED VAR
3/1/2042
3.5%
**
1,695,498

FNMA POOL AL2171 FN 06/42 FIXED VAR
6/1/2042
4%
**
731,794

FNMA POOL AL2382 FN 02/42 FIXED VAR
2/1/2042
4%
**
1,511,074

FNMA POOL AL2389 FN 09/42 FIXED VAR
9/1/2042
3.5%
**
1,771,289

FNMA POOL AL3192 FN 05/42 FIXED VAR
5/1/2042
5%
**
1,555,113

FNMA POOL AL3429 FN 06/41 FIXED VAR
6/1/2041
4.5%
**
4,810,382

FNMA POOL AL4465 FN 07/28 FIXED VAR
7/1/2028
3%
**
3,161,885

FNMA POOL AL4324 FN 05/40 FIXED VAR
5/1/2040
6.5%
**
7,233,611

FNMA POOL AL4364 FN 09/42 FLOATING VAR
9/1/2042
3.64%
**
13,257,632

FNMA POOL AL4741 FN 01/44 FIXED VAR
1/1/2044
4.5%
**
1,169,547


74
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL AL5540 FN 07/44 FIXED VAR
7/1/2044
4.5%
**
867,446

FNMA POOL AM2674 FN 03/23 FIXED 2.61
3/1/2023
2.61%
**
606,178

FNMA POOL AM1990 FN 01/23 FIXED 2.33
1/1/2023
2.33%
**
440,999

FNMA POOL AM2501 FN 02/20 FIXED 1.77
2/1/2020
1.77%
**
559,933

FNMA POOL AM2711 FN 03/23 FIXED 2.57
3/1/2023
2.57%
**
442,299

FNMA POOL AM4066 FN 08/23 FIXED 3.59
8/1/2023
3.59%
**
965,632

FNMA POOL AM4764 FN 11/23 FIXED 3.44
11/1/2023
3.44%
**
699,267

FNMA POOL AM5079 FN 01/24 FIXED 3.45
1/1/2024
3.45%
**
753,731

FNMA POOL AM5473 FN 03/24 FIXED 3.76
3/1/2024
3.76%
**
945,725

FNMA POOL AM5612 FN 05/24 FIXED 3.42
5/1/2024
3.42%
**
793,772

FNMA POOL AO0454 FN 08/42 FIXED 3.5
8/1/2042
3.5%
**
882,917

FNMA POOL AO0527 FN 05/27 FIXED 3
5/1/2027
3%
**
748,206

FNMA POOL AO4135 FN 06/42 FIXED 3.5
6/1/2042
3.5%
**
3,158,522

FNMA POOL AO4688 FN 07/43 FIXED 3
7/1/2043
3%
**
3,919,262

FNMA POOL AO6482 FN 07/42 FLOATING VAR
7/1/2042
2.29%
**
383,455

FNMA POOL AO7348 FN 08/42 FIXED 4
8/1/2042
4%
**
911,628

FNMA POOL AO8156 FN 08/27 FIXED 3
8/1/2027
3%
**
6,399,797

FNMA POOL AP0006 FN 07/42 FLOATING VAR
7/1/2042
2.02%
**
1,442,243

FNMA POOL AP0645 FN 07/32 FIXED 3.5
7/1/2032
3.5%
**
170,391

FNMA POOL AP2611 FN 09/42 FIXED 3.5
9/1/2042
3.5%
**
875,003

FNMA POOL AP3308 FN 09/42 FIXED 3.5
9/1/2042
3.5%
**
845,771

FNMA POOL AP3902 FN 10/42 FIXED 3
10/1/2042
3%
**
844,270

FNMA POOL AP4710 FN 08/42 FIXED 3.5
8/1/2042
3.5%
**
1,757,623

FNMA POOL AP5143 FN 09/42 FIXED 3
9/1/2042
3%
**
925,217

FNMA POOL AP6032 FN 04/43 FIXED 3
4/1/2043
3%
**
908,455

FNMA POOL AP6027 FN 04/43 FIXED 3
4/1/2043
3%
**
943,418

FNMA POOL AP6053 FN 07/28 FIXED 2.5
7/1/2028
2.5%
**
312,525

FNMA POOL AP6054 FN 07/43 FIXED 3
7/1/2043
3%
**
92,130

FNMA POOL AP7126 FN 10/27 FIXED 2.5
10/1/2027
2.5%
**
777,970

FNMA POOL AP8057 FN 09/42 FIXED 3.5
9/1/2042
3.5%
**
917,999

FNMA POOL AP8903 FN 10/42 FIXED 3.5
10/1/2042
3.5%
**
929,759

FNMA POOL AP9539 FN 10/42 FIXED 3
10/1/2042
3%
**
461,406

FNMA POOL AP9766 FN 10/42 FIXED 4
10/1/2042
4%
**
2,676,022

FNMA POOL AQ1534 FN 10/32 FIXED 3.5
10/1/2032
3.5%
**
475,023

FNMA POOL AQ1607 FN 11/32 FIXED 3.5
11/1/2032
3.5%
**
414,170

FNMA POOL AQ1802 FN 10/42 FIXED 3.5
10/1/2042
3.5%
**
754,243

FNMA POOL AQ5369 FN 12/42 FIXED 3.5
12/1/2042
3.5%
**
4,746,424

FNMA POOL AQ5971 FN 12/42 FIXED 3
12/1/2042
3%
**
854,075

FNMA POOL AQ7083 FN 12/42 FIXED 3.5
12/1/2042
3.5%
**
5,102,123

FNMA POOL AQ8359 FN 01/43 FIXED 3
1/1/2043
3%
**
894,349

FNMA POOL AQ9990 FN 02/43 FIXED 2.5
2/1/2043
2.5%
**
1,826,220

FNMA POOL AR2602 FN 02/43 FIXED 2.5
2/1/2043
2.5%
**
585,482

FNMA POOL AR2638 FN 02/43 FIXED 3.5
2/1/2043
3.5%
**
912,452

FNMA POOL AR3368 FN 02/28 FIXED 2.5
2/1/2028
2.5%
**
361,051

FNMA POOL AR4473 FN 03/28 FIXED 2.5
3/1/2028
2.5%
**
2,767,040

FNMA POOL AR7989 FN 03/33 FIXED 3.5
3/1/2033
3.5%
**
1,667,373

FNMA POOL AR7214 FN 06/43 FIXED 3
6/1/2043
3%
**
3,826,008

FNMA POOL AR7961 FN 03/33 FIXED 3.5
3/1/2033
3.5%
**
399,917


75
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL AR8911 FN 03/33 FIXED 3.5
3/1/2033
3.5%
**
1,571,792

FNMA POOL AR8246 FN 04/33 FIXED 3.5
4/1/2033
3.5%
**
1,743,666

FNMA POOL AR8749 FN 03/43 FIXED 3
3/1/2043
3%
**
3,681,324

FNMA POOL AR9203 FN 03/43 FIXED 3.5
3/1/2043
3.5%
**
2,338,996

FNMA POOL AS0047 FN 07/28 FIXED 2.5
7/1/2028
2.5%
**
1,176,393

FNMA POOL AS0070 FN 08/43 FIXED 4
8/1/2043
4%
**
941,088

FNMA POOL AS0276 FN 08/33 FIXED 3.5
8/1/2033
3.5%
**
1,108,891

FNMA POOL AS0305 FN 08/43 FIXED 3
8/1/2043
3%
**
—

FNMA POOL AS0465 FN 09/33 FIXED 3.5
9/1/2033
3.5%
**
2,166,920

FNMA POOL AS0467 FN 09/33 FIXED 3.5
9/1/2033
3.5%
**
183,908

FNMA POOL AS0522 FN 09/43 FIXED 3.5
9/1/2043
3.5%
**
489,393

FNMA POOL AS0589 FN 09/33 FIXED 3.5
9/1/2033
3.5%
**
1,206,542

FNMA POOL AS1013 FN 11/33 FIXED 3.5
11/1/2033
3.5%
**
892,313

FNMA POOL AS1348 FN 12/33 FIXED 3.5
12/1/2033
3.5%
**
767,123

FNMA POOL AS2369 FN 05/29 FIXED 3.5
5/1/2029
3.5%
**
3,079,599

FNMA POOL AT0238 FN 03/43 FIXED 2.5
3/1/2043
2.5%
**
1,256,075

FNMA POOL AT1735 FN 04/33 FIXED 3.5
4/1/2033
3.5%
**
1,310,176

FNMA POOL AT1572 FN 05/43 FIXED 3
5/1/2043
3%
**
3,815,856

FNMA POOL AT2043 FN 04/43 FIXED 3
4/1/2043
3%
**
94,568

FNMA POOL AT2725 FN 05/43 FIXED 3
5/1/2043
3%
**
19,725,216

FNMA POOL AT2722 FN 05/43 FIXED 3
5/1/2043
3%
**
1,797,150

FNMA POOL AT2894 FN 05/28 FIXED 2.5
5/1/2028
2.5%
**
463,231

FNMA POOL AT3179 FN 05/43 FIXED 3
5/1/2043
3%
**
934,419

FNMA POOL AT3389 FN 08/43 FIXED 3
8/1/2043
3%
**
963,960

FNMA POOL AT5915 FN 06/43 FIXED 4
6/1/2043
4%
**
585,051

FNMA POOL AT6764 FN 07/43 FIXED 3
7/1/2043
3%
**
108,578

FNMA POOL AT7213 FN 06/28 FIXED 2.5
6/1/2028
2.5%
**
180,047

FNMA POOL AT7620 FN 06/43 FIXED 3
6/1/2043
3%
**
2,849,781

FNMA POOL AT8968 FN 07/28 FIXED 2.5
7/1/2028
2.5%
**
375,190

FNMA POOL AT8326 FN 06/43 FIXED 3
6/1/2043
3%
**
3,816,814

FNMA POOL AT8489 FN 08/43 FIXED 3
8/1/2043
3%
**
3,857,093

FNMA POOL AT9250 FN 07/43 FIXED 3
7/1/2043
3%
**
3,666,092

FNMA POOL AT9311 FN 07/28 FIXED 2.5
7/1/2028
2.5%
**
225,721

FNMA POOL AT9521 FN 07/28 FIXED 2.5
7/1/2028
2.5%
**
535,770

FNMA POOL AU0317 FN 06/43 FIXED 3
6/1/2043
3%
**
289,077

FNMA POOL AU1130 FN 09/43 FIXED 2.5
9/1/2043
2.5%
**
653,930

FNMA POOL AU1632 FN 07/43 FIXED 3
7/1/2043
3%
**
6,702,829

FNMA POOL AU1811 FN 08/28 FIXED 2.5
8/1/2028
2.5%
**
231,897

FNMA POOL AU1888 FN 06/28 FIXED 2.5
6/1/2028
2.5%
**
1,467,945

FNMA POOL AU3034 FN 08/28 FIXED 2.5
8/1/2028
2.5%
**
125,589

FNMA POOL AU3191 FN 08/28 FIXED 2.5
8/1/2028
2.5%
**
574,718

FNMA POOL AU3334 FN 07/28 FIXED 2.5
7/1/2028
2.5%
**
617,458

FNMA POOL AU3732 FN 08/43 FIXED 2.5
8/1/2043
2.5%
**
1,920,909

FNMA POOL AU3735 FN 08/43 FIXED 3
8/1/2043
3%
**
—

FNMA POOL AU3736 FN 08/43 FIXED 3
8/1/2043
3%
**
4,044,328

FNMA POOL AU3789 FN 08/28 FIXED 2.5
8/1/2028
2.5%
**
368,475

FNMA POOL AU4278 FN 09/43 FIXED 2.5
9/1/2043
2.5%
**
707,320

FNMA POOL AU5161 FN 08/43 FIXED 3
8/1/2043
3%
**
4,843,977


76
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL AU5190 FN 08/28 FIXED 2.5
8/1/2028
2.5%
**
469,520

FNMA POOL AU5904 FN 09/33 FIXED 3.5
9/1/2033
3.5%
**
996,465

FNMA POOL AU7083 FN 09/43 FIXED 3
9/1/2043
3%
**
—

FNMA POOL AV0802 FN 08/28 FIXED 2.5
8/1/2028
2.5%
**
55,933

FNMA POOL AV0702 FN 12/43 FIXED 4
12/1/2043
4%
**
957,883

FNMA POOL AV4486 FN 01/44 FIXED 4.5
1/1/2044
4.5%
**
435,810

FNMA POOL AV4502 FN 01/44 FIXED 4.5
1/1/2044
4.5%
**
389,314

FNMA POOL AV4736 FN 12/43 FIXED 4
12/1/2043
4%
**
946,553

FNMA POOL AV5425 FN 01/44 FIXED 4.5
1/1/2044
4.5%
**
2,769,087

FNMA POOL AV5667 FN 01/44 FIXED 4
1/1/2044
4%
**
474,366

FNMA POOL AV5730 FN 04/44 FIXED 4.5
4/1/2044
4.5%
**
970,974

FNMA POOL AV5731 FN 04/44 FIXED 4.5
4/1/2044
4.5%
**
619,657

FNMA POOL AV5732 FN 04/44 FIXED 4.5
4/1/2044
4.5%
**
411,483

FNMA POOL AV5733 FN 04/44 FIXED 4.5
4/1/2044
4.5%
**
514,612

FNMA POOL AV5734 FN 04/44 FIXED 4.5
4/1/2044
4.5%
**
650,235

FNMA POOL AV7116 FN 03/44 FIXED 4.5
3/1/2044
4.5%
**
437,561

FNMA POOL AV8492 FN 02/44 FIXED 4.5
2/1/2044
4.5%
**
982,333

FNMA POOL AV9290 FN 02/44 FIXED 4.5
2/1/2044
4.5%
**
1,684,270

FNMA POOL AW3730 FN 05/44 FIXED 4.5
5/1/2044
4.5%
**
873,802

FNMA POOL AW3731 FN 05/44 FIXED 4.5
5/1/2044
4.5%
**
1,024,395

FNMA POOL AW3732 FN 05/44 FIXED 4.5
5/1/2044
4.5%
**
1,526,084

FNMA POOL 641089 FN 05/32 FIXED 7
5/1/2032
7%
**
210,913

FNMA POOL 649952 FN 06/32 FIXED 6.5
6/1/2032
6.5%
**
45,022

FANNIE MAE FNR 2001 81 HE
1/25/2032
6.5%
**
1,125,965

FANNIE MAE FNR 2002 11 QC
3/25/2017
5.5%
**
25,934

FANNIEMAE ACES FNA 2002 M3 C
7/25/2020
4.92%
**
406,968

FANNIE MAE FNR 2002 86 PG
12/25/2032
6%
**
326,404

FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1
12/25/2042
5.85%
**
207,292

FANNIE MAE FNR 2003 21 OU
3/25/2033
5.5%
**
172,007

FREDDIE MAC FHR 2450 PG
3/15/2022
6%
**
30,117

FANNIE MAE FNR 2003 49 YD
6/25/2023
5.5%
**
81,625

FREDDIE MAC FHR 2541 EQ
12/15/2017
5%
**
603,449

FREDDIE MAC FHR 2564 HJ
2/15/2018
5%
**
190,358

FREDDIE MAC FHR 2595 DC
4/15/2023
5%
**
255,026

FANNIE MAE FNR 2003 92 PE
9/25/2018
4.5%
**
444,563

FANNIEMAE WHOLE LOAN FNW 2003 W15 1A
7/25/2043
6.5%
**
173,951

FANNIE MAE FNR 2003 89 DC
12/25/2032
5%
**
174,301

FANNIEMAE WHOLE LOAN FNW 2004 W1 1A7
11/25/2043
5.68%
**
501,222

FANNIEMAE WHOLE LOAN FNW 2004 W1 2A1
12/25/2043
6.5%
**
239,589

FREDDIE MAC FHR 2638 JG
2/15/2033
5%
**
940,480

FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2
2/25/2044
7%
**
85,562

FANNIE MAE FNR 2004 38 FK
5/25/2034
0.52%
**
553,789

FANNIE MAE FNR 2004 80 WB
11/25/2019
4%
**
876,926

FANNIE MAE FNR 2005 12 JE
9/25/2033
5%
**
299,865

FANNIE MAE FNR 2005 64 PL
7/25/2035
5.5%
**
2,449,406

FANNIE MAE FNR 2005 70 NA
8/25/2035
5.5%
**
99,201

FANNIE MAE FNR 2005 87 PE
12/25/2033
5%
**
589,381

FREDDIE MAC FHR 2649 KA
7/15/2018
4.5%
**
478,217


77
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FREDDIE MAC FHR 2692 QD
12/15/2022
5%
**
110,029

FREDDIE MAC FHR 2684 PE
1/15/2033
5%
**
112,945

FREDDIE MAC FHR 2707 QE
11/15/2018
4.5%
**
649,940

FREDDIE MAC FHR 2764 UE
10/15/2032
5%
**
434,398

FREDDIE MAC FHR 2780 YD
4/15/2019
5%
**
173,186

FREDDIE MAC FHR 2797 PG
1/15/2033
5.5%
**
13,178

FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1
7/25/2044
1.52%
**
1,270,964

FREDDIE MAC FHR 2810 PD
6/15/2033
6%
**
10,920

FREDDIE MAC FHR 2812 FL
2/15/2023
0.36%
**
715,751

FANNIE MAE FNR 2006 9 KZ
3/25/2036
6%
**
511,871

FREDDIE MAC FHR 2864 LE
6/15/2033
5%
**
16,947

FREDDIE MAC FHR 2936 SC
3/15/2029
5.94%
**
280,770

FREDDIE MAC FHR 2980 QA
5/15/2035
6%
**
203,812

FREDDIE MAC FHR 3005 ED
7/15/2025
5%
**
179,655

FREDDIE MAC FHR 3055 CF
10/15/2035
0.57%
**
950,902

FREDDIE MAC FHR 3067 PK
5/15/2034
5.5%
**
196,188

FANNIE MAE FNR 2009 62 HJ
5/25/2039
6%
**
899,647

FREDDIE MAC FHR 3150 FA
5/15/2036
0.51%
**
5,350,045

FREDDIE MAC FHR 3187 Z
7/15/2036
5%
**
324,348

FANNIE MAE FNR 2007 59 AQ
7/25/2035
5.75%
**
5,663

FANNIE MAE FNR 2007 73 A1
7/25/2037
0.23%
**
1,048,956

FANNIE MAE FNR 2007 106 A7
10/25/2037
6.14%
**
89,972

FANNIE MAE FNR 2007 100 YF
10/25/2037
0.72%
**
1,189,103

FANNIE MAE FNR 2008 25 EF
4/25/2038
1.12%
**
5,388,436

FREDDIE MAC FHR 3209 EG
8/15/2020
4.5%
**
964,145

FREDDIE MAC FHR 3221 FW
9/15/2036
0.58%
**
2,460,417

FREDDIE MAC FHR 3231 FA
10/15/2036
0.56%
**
1,804,715

FANNIE MAE FNR 2008 80 ME
5/25/2032
5%
**
21,717

FANNIE MAE FNR 2009 29 LA
5/25/2039
2%
**
1,731,263

FREDDIE MAC FHR 3397 FC
12/15/2037
1%
**
44,742

FHLMC MULTIFAMILY VRD CERTIFIC FHM M012 A1A2
8/15/2051
5.5%
**
5,312,500

FREDDIE MAC FHR 3404 FB
1/15/2038
1.16%
**
4,444,881

FANNIE MAE FNR 2011 15 AB
8/25/2019
9.75%
**
336,372

FREDDIE MAC FHR 3439 CY
4/15/2023
4.5%
**
3,138,806

FANNIEMAE ACES FNA 2011 M2 A1
4/25/2021
2.02%
**
624,062

FANNIE MAE FNR 2011 59 NZ
7/25/2041
5.5%
**
3,290,194

FANNIE MAE NOTES 10/15 1.625
10/26/2015
1.63%
**
10,012,662

FANNIE MAE NOTES 06/17 5.375
6/12/2017
5.38%
**
3,930,287

FANNIE MAE NOTES 07/15 2.375
7/28/2015
2.38%
**
2,024,812

FANNIEMAE WHOLE LOAN FNW 2009 W1 A
12/25/2049
6%
**
224,876

FANNIE MAE FNR 2009 87 NF
11/25/2039
0.92%
**
1,688,680

FREDDIE MAC FHR 3578 VZ
8/15/2036
5.5%
**
1,762,541

FREDDIE MAC FHR 3571 FL
8/15/2036
1.1%
**
1,539,573

FREDDIE MAC FHR 3616 FG
3/15/2032
0.81%
**
1,490,544

FANNIE MAE FNR 2010 110 AE
11/25/2018
9.75%
**
980,821

FANNIE MAE FNR 2010 111 AE
4/25/2038
5.5%
**
929,281

FANNIE MAE FNR 2010 64 DM
6/25/2040
5%
**
907,370

FANNIE MAE FNR 2010 64 EH
10/25/2035
5%
**
151,325


78
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FANNIE MAE FNR 2010 54 FT
4/25/2037
0.93%
**
4,492,853

FREDDIE MAC FHR 3649 BW
3/15/2025
4%
**
543,868

FREDDIE MAC FHR 3648 CY
3/15/2030
4.5%
**
352,396

FREDDIE MAC FHR 3662 PJ
4/15/2040
5%
**
357,883

FREDDIE MAC FHR 3653 HJ
4/15/2040
5%
**
521,375

FNMA POOL 725162 FN 02/34 FIXED VAR
2/1/2034
6%
**
94,612

FNMA POOL 725229 FN 03/34 FIXED VAR
3/1/2034
6%
**
272,238

FNMA POOL 725946 FN 11/34 FIXED VAR
11/1/2034
5.5%
**
243,427

FNMA POOL 735382 FN 04/35 FIXED VAR
4/1/2035
5%
**
1,896,515

FNMA POOL 735061 FN 11/34 FIXED VAR
11/1/2034
6%
**
2,841,297

FNMA POOL 735208 FN 10/19 FIXED VAR
10/1/2019
6%
**
212,617

FNMA POOL 735439 FN 09/19 FIXED VAR
9/1/2019
6%
**
225,797

FNMA POOL 735500 FN 05/35 FIXED VAR
5/1/2035
5.5%
**
2,616,102

FNMA POOL 735501 FN 05/35 FIXED VAR
5/1/2035
6%
**
586,048

FNMA POOL 735503 FN 04/35 FIXED VAR
4/1/2035
6%
**
690,496

FNMA POOL 735561 FN 04/34 FLOATING VAR
4/1/2034
2.24%
**
113,225

FNMA POOL 735580 FN 06/35 FIXED VAR
6/1/2035
5%
**
888,485

FNMA POOL 735676 FN 07/35 FIXED VAR
7/1/2035
5%
**
593,832

FNMA POOL 735809 FN 08/35 FLOATING VAR
8/1/2035
2.29%
**
1,989,172

FNMA POOL 735893 FN 10/35 FIXED VAR
10/1/2035
5%
**
258,894

FNMA POOL 735989 FN 02/35 FIXED VAR
2/1/2035
5.5%
**
3,863,872

FNMA POOL 745000 FN 10/35 FIXED VAR
10/1/2035
6%
**
121,139

FNMA POOL 745140 FN 11/35 FIXED VAR
11/1/2035
5%
**
3,340,317

FNMA POOL 745327 FN 03/36 FIXED VAR
3/1/2036
6%
**
371,025

FNMA POOL 745412 FN 12/35 FIXED VAR
12/1/2035
5.5%
**
1,912,092

FNMA POOL 745619 FN 05/36 FLOATING VAR
5/1/2036
2.32%
**
2,108,035

FNMA POOL 745885 FN 10/36 FIXED VAR
10/1/2036
6%
**
1,426,544

FNMA POOL 745948 FN 10/36 FIXED VAR
10/1/2036
6.5%
**
150,731

FNMA POOL 745959 FN 11/36 FIXED VAR
11/1/2036
5.5%
**
945,610

FNMA POOL 758777 FN 04/28 FIXED 6.5
4/1/2028
6.5%
**
966

FNMA POOL 811569 FN 06/21 FIXED 6
6/1/2021
6%
**
75,332

FNMA POOL 813599 FN 01/36 FLOATING VAR
1/1/2036
2.3%
**
321,644

FNMA POOL 825480 FN 06/35 FLOATING VAR
6/1/2035
2.33%
**
503,463

FNMA POOL 827223 FN 04/35 FLOATING VAR
4/1/2035
1.97%
**
4,146,451

FNMA POOL 827601 FN 08/19 FIXED 5.5
8/1/2019
5.5%
**
181,207

FNMA POOL 831561 FN 05/36 FIXED 6.5
5/1/2036
6.5%
**
126,725

FNMA POOL 833600 FN 11/35 FIXED 6.5
11/1/2035
6.5%
**
21,686

FNMA POOL 836464 FN 10/35 FLOATING VAR
10/1/2035
2.15%
**
1,522,503

FNMA POOL 836852 FN 10/35 FLOATING VAR
10/1/2035
2.06%
**
1,012,584

FNMA POOL 844237 FN 11/35 FLOATING VAR
11/1/2035
2.11%
**
263,365

FNMA POOL 843823 FN 11/35 FLOATING VAR
11/1/2035
2.1%
**
743,696

FNMA POOL 843997 FN 11/35 FLOATING VAR
11/1/2035
2.11%
**
354,044

FNMA POOL 844052 FN 11/35 FLOATING VAR
11/1/2035
2.14%
**
339,717

FNMA POOL 844148 FN 11/35 FLOATING VAR
11/1/2035
2.1%
**
271,926

FNMA POOL 844789 FN 11/35 FLOATING VAR
11/1/2035
2.1%
**
276,717

FNMA POOL 866888 FN 01/36 FLOATING VAR
1/1/2036
2.25%
**
452,032

FNMA POOL 872021 FN 06/21 FIXED 6
6/1/2021
6%
**
86,421

FNMA POOL 872502 FN 06/36 FLOATING VAR
6/1/2036
2.26%
**
3,089,463


79
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL 879394 FN 02/21 FIXED 5
2/1/2021
5%
**
51,377

FNMA POOL 879067 FN 04/36 FLOATING VAR
4/1/2036
2.22%
**
1,836,978

FNMA POOL 880870 FN 03/36 FIXED 6.5
3/1/2036
6.5%
**
14,985

FNMA POOL 884729 FN 08/36 FLOATING VAR
8/1/2036
2.21%
**
297,159

FNMA POOL 884773 FN 10/36 FLOATING VAR
10/1/2036
2.11%
**
361,491

FNMA POOL 888365 FN 04/22 FIXED VAR
4/1/2022
6%
**
90,535

FNMA POOL 888366 FN 04/37 FIXED VAR
4/1/2037
7%
**
434,794

FNMA POOL 889190 FN 03/38 FIXED VAR
3/1/2038
6%
**
179,657

FNMA POOL 888560 FN 11/35 FIXED VAR
11/1/2035
6%
**
1,290,561

FNMA POOL 888601 FN 06/20 FIXED VAR
6/1/2020
5.5%
**
351,056

FNMA POOL 888637 FN 09/37 FIXED VAR
9/1/2037
6%
**
221,484

FNMA POOL 888832 FN 11/37 FIXED VAR
11/1/2037
6.5%
**
60,985

FNMA POOL 888890 FN 10/37 FIXED VAR
10/1/2037
6.5%
**
447,672

FNMA POOL 888893 FN 08/37 FIXED VAR
8/1/2037
5.5%
**
98,465

FNMA POOL 889072 FN 12/37 FIXED VAR
12/1/2037
6.5%
**
479,253

FNMA POOL 889117 FN 10/35 FIXED VAR
10/1/2035
5%
**
1,243,331

FNMA POOL 890116 FN 02/23 FIXED VAR
2/1/2023
7%
**
886,888

FNMA POOL 889579 FN 05/38 FIXED VAR
5/1/2038
6%
**
3,126,508

FNMA POOL 890236 FN 08/40 FIXED VAR
8/1/2040
4.5%
**
226,312

FNMA POOL 890248 FN 08/37 FIXED VAR
8/1/2037
6%
**
2,661,588

FNMA POOL 890268 FN 10/38 FIXED VAR
10/1/2038
6.5%
**
699,966

FNMA POOL 890604 FN 10/44 FIXED VAR
10/1/2044
4.5%
**
5,565,566

FNMA POOL 891654 FN 06/36 FIXED 6.5
6/1/2036
6.5%
**
262,439

FNMA POOL 898736 FN 05/36 FLOATING VAR
5/1/2036
2.36%
**
1,091,393

FNMA POOL 902425 FN 11/36 FLOATING VAR
11/1/2036
2.4%
**
72,137

FNMA POOL 903261 FN 10/36 FIXED 6
10/1/2036
6%
**
267,234

FNMA POOL 906666 FN 12/36 FIXED 6.5
12/1/2036
6.5%
**
13,871

FNMA POOL 908172 FN 01/37 FIXED 6.5
1/1/2037
6.5%
**
13,883

FNMA POOL 913984 FN 02/37 FLOATING VAR
2/1/2037
1.81%
**
672,928

FNMA POOL 914875 FN 04/37 FIXED 6.5
4/1/2037
6.5%
**
267,025

FNMA POOL 918653 FN 06/37 FIXED 6
6/1/2037
6%
**
183,658

FNMA POOL 924874 FN 10/37 FIXED 7
10/1/2037
7%
**
90,021

FNMA POOL 928746 FN 09/37 FIXED 6.5
9/1/2037
6.5%
**
19,255

FNMA POOL 928938 FN 12/37 FIXED 7
12/1/2037
7%
**
72,633

FNMA POOL 929298 FN 03/38 FIXED 5
3/1/2038
5%
**
466,267

FNMA POOL 930719 FN 03/19 FIXED 4.5
3/1/2019
4.5%
**
32,895

FNMA POOL 931307 FN 06/39 FIXED 4.5
6/1/2039
4.5%
**
775,547

FNMA POOL 932426 FN 01/40 FIXED 4.5
1/1/2040
4.5%
**
2,701,672

FNMA POOL 932495 FN 02/40 FIXED 4.5
2/1/2040
4.5%
**
257,453

FNMA POOL 931991 FN 09/39 FIXED 4.5
9/1/2039
4.5%
**
1,374,352

FNMA POOL 932058 FN 10/39 FIXED 4.5
10/1/2039
4.5%
**
1,088,251

FNMA POOL 932669 FN 03/40 FIXED 4.5
3/1/2040
4.5%
**
22,819

FNMA POOL 932850 FN 12/40 FIXED 4
12/1/2040
4%
**
556,600

FNMA POOL 933409 FN 03/38 FIXED 5
3/1/2038
5%
**
482,337

FNMA POOL 933638 FN 08/38 FLOATING VAR
8/1/2038
4.99%
**
1,056,287

FNMA POOL 934202 FN 11/38 FIXED 7
11/1/2038
7%
**
42,717

FNMA POOL 934648 FN 11/38 FIXED 7
11/1/2038
7%
**
455,311

FNMA POOL 942798 FN 08/37 FIXED 6.5
8/1/2037
6.5%
**
189,055


80
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL 943699 FN 08/37 FIXED 6.5
8/1/2037
6.5%
**
151,830

FNMA POOL 946065 FN 09/37 FIXED 6.5
9/1/2037
6.5%
**
46,539

FNMA POOL 948849 FN 08/37 FIXED 6
8/1/2037
6%
**
812,437

FNMA POOL 955183 FN 11/37 FIXED 7
11/1/2037
7%
**
160,511

FNMA POOL 955762 FN 10/37 FIXED 6.5
10/1/2037
6.5%
**
4,241

FNMA POOL 962062 FN 03/38 FIXED 5
3/1/2038
5%
**
511,952

FNMA POOL 962444 FN 04/38 FIXED 5
4/1/2038
5%
**
331,165

FNMA POOL 968066 FN 10/22 FIXED 6
10/1/2022
6%
**
176,404

FNMA POOL 968252 FN 02/38 FIXED 7
2/1/2038
7%
**
59,577

FNMA POOL 971053 FN 02/39 FIXED 4.5
2/1/2039
4.5%
**
121,643

FNMA POOL 972571 FN 03/38 FIXED 5
3/1/2038
5%
**
527,464

FNMA POOL 972572 FN 03/38 FIXED 5
3/1/2038
5%
**
238,821

FNMA POOL 972242 FN 03/38 FIXED 6.5
3/1/2038
6.5%
**
2,700

FNMA POOL 973161 FN 02/38 FIXED 6.5
2/1/2038
6.5%
**
168,158

FNMA POOL 974156 FN 02/38 FIXED 7
2/1/2038
7%
**
88,408

FNMA POOL 975184 FN 03/38 FIXED 5
3/1/2038
5%
**
153,981

FNMA POOL 975185 FN 03/38 FIXED 5
3/1/2038
5%
**
132,786

FNMA POOL 975453 FN 03/38 FIXED 5
3/1/2038
5%
**
18,098

FNMA POOL 975454 FN 03/38 FIXED 5
3/1/2038
5%
**
74,500

FNMA POOL 975441 FN 03/38 FIXED 5
3/1/2038
5%
**
201,925

FNMA POOL 979973 FN 09/36 FIXED 5
9/1/2036
5%
**
40,524

FNMA POOL 984632 FN 06/38 FLOATING VAR
6/1/2038
2.19%
**
3,449,264

FNMA POOL 985626 FN 04/33 FIXED 6
4/1/2033
6%
**
563,939

FNMA POOL 985867 FN 08/38 FIXED 7
8/1/2038
7%
**
129,752

FNMA POOL 987325 FN 09/38 FLOATING VAR
9/1/2038
2.37%
**
1,477,561

FNMA POOL 987560 FN 08/38 FIXED 6.5
8/1/2038
6.5%
**
24,004

FNMA POOL 987891 FN 09/38 FIXED 7
9/1/2038
7%
**
4,522

FNMA POOL 991549 FN 11/38 FIXED 7
11/1/2038
7%
**
57,306

FNMA POOL 992249 FN 11/38 FIXED 7
11/1/2038
7%
**
52,034

FNMA POOL 992262 FN 01/39 FIXED 5
1/1/2039
5%
**
50,220

FNMA POOL 995072 FN 08/38 FIXED VAR
8/1/2038
5.5%
**
826,212

FNMA POOL 995149 FN 10/38 FIXED VAR
10/1/2038
6.5%
**
451,216

FNMA POOL 995381 FN 01/24 FIXED VAR
1/1/2024
6%
**
286,167

FNMA POOL 995899 FN 02/38 FIXED VAR
2/1/2038
6%
**
355,198

FNMA POOL AA0472 FN 03/39 FIXED 4
3/1/2039
4%
**
325,840

FNMA POOL AA2700 FN 01/39 FIXED 5
1/1/2039
5%
**
23,771

FNMA POOL AB1228 FN 07/40 FIXED 5
7/1/2040
5%
**
84,181

FNMA POOL AB3517 FN 09/41 FIXED 4.5
9/1/2041
4.5%
**
429,073

FNMA POOL AB2801 FN 04/26 FIXED 3.5
4/1/2026
3.5%
**
1,222,830

FNMA POOL AB3701 FN 10/41 FIXED 4.5
10/1/2041
4.5%
**
2,942,053

FNMA POOL AB4590 FN 03/42 FIXED 3.5
3/1/2042
3.5%
**
997,392

FNMA POOL AB4689 FN 03/42 FIXED 3.5
3/1/2042
3.5%
**
1,511,861

FNMA POOL AB4698 FN 03/42 FIXED 4
3/1/2042
4%
**
473,691

FNMA POOL AB4941 FN 04/42 FIXED 3.5
4/1/2042
3.5%
**
5,086,376

FNMA POOL AB4955 FN 04/42 FIXED 4
4/1/2042
4%
**
786,535

FNMA POOL AB5236 FN 05/27 FIXED 3
5/1/2027
3%
**
915,410

FNMA POOL AB6229 FN 09/42 FIXED 3.5
9/1/2042
3.5%
**
3,329,082

FNMA POOL AB6238 FN 09/42 FIXED 3.5
9/1/2042
3.5%
**
867,340


81
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL AB5425 FN 06/42 FIXED 3.5
6/1/2042
3.5%
**
565,994

FNMA POOL AB5546 FN 06/42 FIXED 3.5
6/1/2042
3.5%
**
1,012,857

FNMA POOL AB5593 FN 07/42 FIXED 3.5
7/1/2042
3.5%
**
677,246

FNMA POOL AB6136 FN 09/27 FIXED 2.5
9/1/2027
2.5%
**
4,766,819

FNMA POOL AB7130 FN 12/42 FIXED 3.5
12/1/2042
3.5%
**
4,266,551

FNMA POOL AB6390 FN 10/42 FIXED 3
10/1/2042
3%
**
439,261

FNMA POOL AB6694 FN 10/42 FIXED 3
10/1/2042
3%
**
925,153

FNMA POOL AB6832 FN 11/42 FIXED 3.5
11/1/2042
3.5%
**
2,554,636

FNMA POOL AB7059 FN 11/42 FIXED 2.5
11/1/2042
2.5%
**
4,855,387

FNMA POOL AB7272 FN 12/42 FIXED 3
12/1/2042
3%
**
1,771,096

FNMA POOL AB7410 FN 12/42 FIXED 3
12/1/2042
3%
**
4,827,879

FNMA POOL AB7426 FN 12/42 FIXED 3
12/1/2042
3%
**
1,339,015

FNMA POOL AB7568 FN 01/43 FIXED 3
1/1/2043
3%
**
1,975,813

FNMA POOL AB7570 FN 01/43 FIXED 3
1/1/2043
3%
**
3,354,601

FNMA POOL AB7741 FN 01/43 FIXED 3
1/1/2043
3%
**
2,797,596

FNMA POOL AB7716 FN 01/28 FIXED 2.5
1/1/2028
2.5%
**
442,747

FNMA POOL AB7728 FN 01/43 FIXED 2.5
1/1/2043
2.5%
**
482,048

FNMA POOL AB8925 FN 04/43 FIXED 3
4/1/2043
3%
**
144,248

FNMA POOL AB8464 FN 02/43 FIXED 2.5
2/1/2043
2.5%
**
60,009

FNMA POOL AB8465 FN 02/43 FIXED 2.5
2/1/2043
2.5%
**
766,438

FNMA POOL AB9825 FN 07/28 FIXED 2.5
7/1/2028
2.5%
**
181,396

FNMA POOL AB9110 FN 04/33 FIXED 3.5
4/1/2033
3.5%
**
2,252,660

FNMA POOL AB9136 FN 04/43 FIXED 2.5
4/1/2043
2.5%
**
1,945,527

FNMA POOL AB9347 FN 05/43 FIXED 3
5/1/2043
3%
**
2,772,476

FNMA POOL AB9361 FN 05/43 FIXED 3.5
5/1/2043
3.5%
**
950,274

FNMA POOL AB9461 FN 05/43 FIXED 3
5/1/2043
3%
**
3,793,771

FNMA POOL AB9516 FN 05/28 FIXED 2.5
5/1/2028
2.5%
**
458,037

FNMA POOL AB9615 FN 06/33 FIXED 4
6/1/2033
4%
**
397,684

FNMA POOL AB9980 FN 07/43 FIXED 3.5
7/1/2043
3.5%
**
991,173

FNMA POOL AC0728 FN 08/39 FIXED 5
8/1/2039
5%
**
31,600

FNMA POOL AC1889 FN 09/39 FIXED 4
9/1/2039
4%
**
564,686

FNMA POOL AC2953 FN 09/39 FIXED 4.5
9/1/2039
4.5%
**
343,285

FNMA POOL AC3237 FN 10/39 FIXED 5
10/1/2039
5%
**
2,550,759

FNMA POOL MA0776 FN 06/31 FIXED 4.5
6/1/2031
4.5%
**
1,539,546

FNMA POOL MA0816 FN 08/31 FIXED 4.5
8/1/2031
4.5%
**
1,147,341

FNMA POOL MA0833 FN 08/21 FIXED 3
8/1/2021
3%
**
263,144

FNMA POOL MA0006 FN 03/39 FIXED 4
3/1/2039
4%
**
40,222

FNMA POOL MA0243 FN 11/29 FIXED 5
11/1/2029
5%
**
1,000,973

FNMA POOL MA0320 FN 02/30 FIXED 5
2/1/2030
5%
**
362,009

FNMA POOL MA0583 FN 12/40 FIXED 4
12/1/2040
4%
**
13,042

FNMA POOL MA0670 FN 03/21 FIXED 3.5
3/1/2021
3.5%
**
476,506

FNMA POOL MA0734 FN 05/31 FIXED 4.5
5/1/2031
4.5%
**
1,552,600

FNMA POOL MA0706 FN 04/31 FIXED 4.5
4/1/2031
4.5%
**
509,610

FNMA POOL MA1688 FN 12/33 FIXED 3.5
12/1/2033
3.5%
**
282,932

FNMA POOL MA1711 FN 12/43 FIXED 4.5
12/1/2043
4.5%
**
1,593,353

FNMA POOL MA0913 FN 11/31 FIXED 4.5
11/1/2031
4.5%
**
1,032,096

FNMA POOL MA0939 FN 12/31 FIXED 4.5
12/1/2031
4.5%
**
1,143,235

FNMA POOL MA0968 FN 12/31 FIXED 4.5
12/1/2031
4.5%
**
186,108


82
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL MA1044 FN 04/42 FIXED 3
4/1/2042
3%
**
277,889

FNMA POOL MA1125 FN 07/42 FIXED 4
7/1/2042
4%
**
549,345

FNMA POOL MA1146 FN 08/42 FIXED 4
8/1/2042
4%
**
7,938,943

FNMA POOL MA1177 FN 09/42 FIXED 3.5
9/1/2042
3.5%
**
1,037,145

FNMA POOL MA1213 FN 10/42 FIXED 3.5
10/1/2042
3.5%
**
463,664

FNMA POOL MA1221 FN 09/42 FIXED 4.5
9/1/2042
4.5%
**
194,176

FNMA POOL MA1253 FN 11/42 FIXED 4
11/1/2042
4%
**
2,126,161

FNMA POOL MA1272 FN 12/42 FIXED 3
12/1/2042
3%
**
2,004,919

FNMA POOL MA1372 FN 03/43 FIXED 3.5
3/1/2043
3.5%
**
8,806,292

FNMA POOL MA1373 FN 03/43 FIXED 3.5
3/1/2043
3.5%
**
1,020,762

FNMA POOL MA1403 FN 04/43 FIXED 3.5
4/1/2043
3.5%
**
6,974,219

FNMA POOL MA1436 FN 05/43 FIXED 3.5
5/1/2043
3.5%
**
4,021,272

FNMA POOL MA1472 FN 06/33 FIXED 3.5
6/1/2033
3.5%
**
93,847

FNMA POOL MA1458 FN 06/43 FIXED 3
6/1/2043
3%
**
1,876,600

FNMA POOL MA1463 FN 06/43 FIXED 3.5
6/1/2043
3.5%
**
443,583

FNMA POOL MA1493 FN 06/43 FIXED 2.5
6/1/2043
2.5%
**
486,398

FNMA POOL MA1508 FN 07/43 FIXED 3.5
7/1/2043
3.5%
**
443,095

FNMA POOL MA1510 FN 07/43 FIXED 4
7/1/2043
4%
**
926,999

FNMA POOL MA1543 FN 08/33 FIXED 3.5
8/1/2033
3.5%
**
844,456

FNMA POOL MA1546 FN 08/43 FIXED 3.5
8/1/2043
3.5%
**
832,884

FNMA POOL MA1547 FN 08/43 FIXED 4
8/1/2043
4%
**
615,144

FNMA POOL MA1582 FN 09/43 FIXED 3.5
9/1/2043
3.5%
**
4,167,428

FNMA POOL MA1584 FN 09/33 FIXED 3.5
9/1/2033
3.5%
**
92,614

FNMA POOL MA1591 FN 09/43 FIXED 4.5
9/1/2043
4.5%
**
2,102,234

FNMA POOL MA1629 FN 10/43 FIXED 4.5
10/1/2043
4.5%
**
1,905,583

FNMA POOL MA1608 FN 10/33 FIXED 3.5
10/1/2033
3.5%
**
1,315,028

FNMA POOL MA1664 FN 11/43 FIXED 4.5
11/1/2043
4.5%
**
1,264,722

FNMA POOL MA1652 FN 11/33 FIXED 3.5
11/1/2033
3.5%
**
473,806

FNMA POOL AD0217 FN 08/37 FIXED VAR
8/1/2037
6%
**
174,880

FNMA POOL AD0249 FN 04/37 FIXED VAR
4/1/2037
5.5%
**
1,117,702

FNMA POOL AD0296 FN 12/36 FLOATING VAR
12/1/2036
2.21%
**
486,535

FNMA POOL AD0329 FN 09/28 FIXED VAR
9/1/2028
6.5%
**
171,281

FNMA POOL AD0452 FN 04/21 FIXED VAR
4/1/2021
6%
**
1,345,859

FNMA POOL AD0471 FN 01/24 FIXED VAR
1/1/2024
5.5%
**
671,671

FNMA POOL AD0752 FN 01/39 FIXED VAR
1/1/2039
7%
**
246,573

FNMA POOL AD0979 FN 10/35 FIXED VAR
10/1/2035
7.5%
**
294,197

FNMA POOL AD4178 FN 06/40 FIXED 4.5
6/1/2040
4.5%
**
1,310,081

FNMA POOL AD6510 FN 05/40 FIXED 5
5/1/2040
5%
**
40,078

FNMA POOL AD9153 FN 08/40 FIXED 4.5
8/1/2040
4.5%
**
751,101

FNMA POOL AD9143 FN 08/40 FIXED 4.5
8/1/2040
4.5%
**
101,951

FNMA POOL AD9713 FN 08/40 FIXED 5
8/1/2040
5%
**
258,595

FNMA POOL AE0081 FN 07/24 FIXED VAR
7/1/2024
6%
**
462,265

FNMA POOL AE0113 FN 07/40 FIXED VAR
7/1/2040
4%
**
895,442

FNMA POOL AE0654 FN 12/40 FLOATING VAR
12/1/2040
3.8%
**
8,954,116

FNMA POOL AE0758 FN 02/39 FIXED VAR
2/1/2039
7%
**
1,996,139

FNMA POOL AE0967 FN 06/39 FIXED VAR
6/1/2039
3.5%
**
1,456,304

FNMA POOL AE1807 FN 10/40 FIXED 4
10/1/2040
4%
**
26,750

FNMA POOL AE1862 FN 08/40 FIXED 5
8/1/2040
5%
**
794,751


83
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FNMA POOL AE1840 FN 08/40 FIXED 5
8/1/2040
5%
**
94,815

FNMA POOL AE3505 FN 01/26 FIXED 3.5
1/1/2026
3.5%
**
372,058

FNMA POOL AE4456 FN 02/41 FIXED 4
2/1/2041
4%
**
192,040

FNMA POOL AE4664 FN 10/40 FIXED 4
10/1/2040
4%
**
245,100

FNMA POOL AE6191 FN 11/40 FIXED 4
11/1/2040
4%
**
112,366

FNMA POOL AE6090 FN 10/40 FIXED 4
10/1/2040
4%
**
608,241

FNMA POOL AE7283 FN 10/40 FIXED 4
10/1/2040
4%
**
34,777

FNMA POOL AE7314 FN 11/40 FIXED 4
11/1/2040
4%
**
5,218

FNMA POOL AE8446 FN 11/40 FIXED 4
11/1/2040
4%
**
9,250

FNMA POOL AE9387 FN 12/40 FIXED 4
12/1/2040
4%
**
8,127

MACYS RETAIL HLDGS INC COMPANY GUAR 12/16 5.9
12/1/2016
5.9%
**
8,286,321

FELCOR LODGING TRUST INC REIT USD.01
 
 
**
92,046

F5 NETWORKS INC COMMON STOCK NPV
 
 
**
21,765,476

FIDELITY + GUARANTY LIFE COMMON STOCK USD.01
 
 
**
936,490

FIDELITY NATIONAL INFORMATIO COMMON STOCK USD.01
 
 
**
12,835,965

FIDELITY NATL FINANCIAL SR UNSECURED 09/22 5.5
9/1/2022
5.5%
**
2,505,788

FIDELITY SOUTHERN CORP COMMON STOCK NPV
 
 
**
34,669

FIESTA RESTAURANT GROUP COMMON STOCK USD.01
 
 
**
1,546,266

FIFTH THIRD BANCORP SR UNSECURED 01/16 3.625
1/25/2016
3.63%
**
4,904,013

FIFTH THIRD BANK SR UNSECURED 02/16 0.9
2/26/2016
0.9%
**
1,000,063

FIFTH THIRD BANK SR UNSECURED 11/16 1.15
11/18/2016
1.15%
**
1,696,741

FIFTH THIRD BANK SR UNSECURED 11/16 VAR
11/18/2016
0.74%
**
5,712,067

FIFTH THIRD BANK SR UNSECURED 04/19 2.375
4/25/2019
2.38%
**
301,366

FIFTH THIRD AUTO TRUST FITAT 2013 A A3
9/15/2017
0.61%
**
1,386,989

FIFTH THIRD AUTO TRUST FITAT 2014 1 A2
8/15/2016
0.46%
**
—

FIFTH THIRD AUTO TRUST FITAT 2014 2 A2A
4/17/2017
0.45%
**
9,993,840

FIFTH THIRD AUTO TRUST FITAT 2014 2 A4
12/15/2020
1.38%
**
3,100,984

FIFTH THIRD AUTO TRUST FITAT 2014 3 A3
3/15/2019
0.96%
**
1,027,782

FINANCIAL INSTITUTIONS INC COMMON STOCK USD.01
 
 
**
36,090

FINISAR CORPORATION COMMON STOCK USD.001
 
 
**
125,330

FINISH LINE/THE CL A COMMON STOCK USD.01
 
 
**
97,167

FINNING INTERNATIONAL INC COMMON STOCK NPV
 
 
**
518,432

LAND SECURITIES GROUP PLC REIT GBP.1
 
 
**
140,139

FIREEYE INC COMMON STOCK USD.0001
 
 
**
3,369,744

FIRST AMERICAN FINANCIAL COMMON STOCK USD.00001
 
 
**
364,832

FIRST BANCORP INC/ME COMMON STOCK USD.01
 
 
**
20,387

FIRST BANCORP PUERTO RICO COMMON STOCK USD1.
 
 
**
124,544

FIRST BANCORP/NC COMMON STOCK NPV
 
 
**
37,864

FIRST BANCSHARES INC/MS COMMON STOCK USD1.
 
 
**
10,273

LUKOIL OAO SPON ADR ADR RUB.025
 
 
**
342,439

FIRST BUSEY CORP COMMON STOCK USD.001
 
 
**
56,051

FIRST BUSINESS FINANCIAL SER COMMON STOCK USD.01
 
 
**
19,643

FIRST COMMONWEALTH FINL CORP COMMON STOCK USD1.
 
 
**
85,995

FIRST COMMUNITY BANCSHARES COMMON STOCK USD1.
 
 
**
30,387

FIRST CONNECTICUT BANCORP COMMON STOCK USD.01
 
 
**
26,765

1ST CONSTITUTION BANCORP COMMON STOCK NPV
 
 
**
11,143

FIRST DEFIANCE FINL CORP COMMON STOCK USD.01
 
 
**
34,912

FIRST FINANCIAL BANCORP COMMON STOCK NPV
 
 
**
110,518


84
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FIRST FINANCIAL CORP/INDIANA COMMON STOCK NPV
 
 
**
47,446

FIRST FINANCIAL NORTHWEST COMMON STOCK USD.01
 
 
**
18,505

FIRST HORIZON NATIONAL CORP COMMON STOCK USD.625
 
 
**
544,422

FIRST INDUSTRIAL REALTY TR REIT USD.01
 
 
**
155,948

FIRST INTERSTATE BANCSYS A COMMON STOCK NPV
 
 
**
54,166

FIRST INVESTORS AUTO OWNER TRU FIAOT 2013 1A A2 144A
10/15/2018
0.9%
**
172,083

FIRST INVESTORS AUTO OWNER TRU FIAOT 2014 3A A2 144A
11/15/2018
1.06%
**
676,423

FIRST MERCHANTS CORP COMMON STOCK NPV
 
 
**
83,948

FIRST MIDWEST BANCORP INC/IL COMMON STOCK USD.01
 
 
**
128,017

NEXT PLC COMMON STOCK GBP.1
 
 
**
1,570,654

FIRST NBC BANK HOLDING CO COMMON STOCK
 
 
**
64,944

UDG HEALTHCARE PLC COMMON STOCK EUR.05
 
 
**
233,977

KINGFISHER PLC COMMON STOCK GBP.157143
 
 
**
967,090

UDG HEALTHCARE PLC COMMON STOCK EUR.05
 
 
**
348,578

FIRST NIAGARA FINANCIAL GRP COMMON STOCK USD.01
 
 
**
266,995

FIRST POTOMAC REALTY TRUST REIT USD.001
 
 
**
50,676

FIRST REPUBLIC BANK/CA COMMON STOCK USD.01
 
 
**
1,787,716

FIRST SOLAR INC COMMON STOCK USD.001
 
 
**
397,654

1ST SOURCE CORP COMMON STOCK NPV
 
 
**
84,403

FISERV INC COMMON STOCK USD.01
 
 
**
12,397,040

FISERV INC COMPANY GUAR 11/17 6.8
11/20/2017
6.8%
**
3,838,758

FISERV INC COMPANY GUAR 06/16 3.125
6/15/2016
3.13%
**
1,848,053

FIRSTMERIT CORP COMMON STOCK NPV
 
 
**
311,723

FLAGSTAR BANCORP INC COMMON STOCK USD.01
 
 
**
78,996

FIRSTENERGY CORP SR UNSECURED 11/31 7.375
11/15/2031
7.38%
**
1,210,366

FIRSTENERGY CORP SR UNSECURED 03/18 2.75
3/15/2018
2.75%
**
2,479,013

FIRSTENERGY CORP SR UNSECURED 03/23 4.25
3/15/2023
4.25%
**
4,963,025

FIVE BELOW COMMON STOCK USD.01
 
 
**
2,518,599

FIVE STAR QUALITY CARE COMMON STOCK USD.01
 
 
**
17,866

FLAGSHIP CREDIT AUTO TRUST FCAT 2013 1 A 144A
4/16/2018
1.32%
**
111,940

FLAGSHIP CREDIT AUTO TRUST FCAT 2013 2 A 144A
1/15/2019
1.94%
**
240,000

ICAP PLC COMMON STOCK GBP.1
 
 
**
237,855

FLEETCOR TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
6,069,004

FLEXSTEEL INDS COMMON STOCK USD1.
 
 
**
23,123

ITV PLC COMMON STOCK GBP.1
 
 
**
1,667,264

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 12/42 3.8
12/15/2042
3.8%
**
80,749

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 06/24 3.25
6/1/2024
3.25%
**
128,018

FLORIDA ST TURNPIKE AUTH FLSTRN 07/39 FIXED OID 6.8
7/1/2039
6.8%
**
2,673,681

FLOTEK INDUSTRIES INC COMMON STOCK USD.0001
 
 
**
430,547

FLUSHING FINANCIAL CORP COMMON STOCK USD.01
 
 
**
62,330

FOMENTO ECONOMICO MEX SP ADR ADR
 
 
**
149,651

FORD CREDIT FLOORPLAN MASTER O FORDF 2012 2 A
1/15/2019
1.92%
**
9,093,756

FORD CREDIT FLOORPLAN MASTER O FORDF 2013 5 A1
9/15/2018
1.5%
**
15,206,280

FORD CREDIT FLOORPLAN MASTER O FORDF 2014 2 A
2/15/2021
0.66%
**
6,870,160

FORD CREDIT FLOORPLAN MASTER O FORDF 2014 1 A1
2/15/2019
1.2%
**
15,554,042

FORD CREDIT AUTO OWNER TRUST FORDO 2011 A A4
5/15/2016
1.65%
**
87,068

FORD CREDIT AUTO OWNER TRUST FORDO 2012 A A4
6/15/2017
1.15%
**
2,024,246

FORD CREDIT AUTO OWNER TRUST FORDO 2012 A B
8/15/2017
1.88%
**
404,172


85
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FORD CREDIT AUTO OWNER TRUST FORDO 2012 B A3
12/15/2016
0.72%
**
603,231

FORD CREDIT AUTO OWNER TRUST FORDO 2012 D A3
4/15/2017
0.51%
**
375,828

FORD CREDIT AUTO OWNER TRUST FORDO 2013 A A3
7/15/2017
0.55%
**
1,102,371

FORD CREDIT AUTO LEASE TRUST FORDL 2013 A A3
3/15/2016
0.6%
**
1,207,621

FORD CREDIT AUTO LEASE TRUST FORDL 2013 A A4
4/15/2016
0.78%
**
3,502,464

FORD CREDIT AUTO OWNER TRUST FORDO 2013 C A3
12/15/2017
0.82%
**
307,367

FORD CREDIT AUTO OWNER TRUST FORDO 2013 C A4
10/15/2018
1.25%
**
3,013,668

FORD CREDIT AUTO OWNER TRUST FORDO 2013 B A3
10/15/2017
0.57%
**
5,908,017

FORD CREDIT AUTO LEASE TRUST FORDL 2013 B A2A
1/15/2016
0.59%
**
—

FORD CREDIT AUTO LEASE TRUST FORDL 2013 B A3
9/15/2016
0.76%
**
4,572,884

FORD CREDIT AUTO OWNER TRUST FORDO 2013 D A2
8/15/2016
0.45%
**
727,374

FORD CREDIT AUTO OWNER TRUST FORDO 2013 D A3
4/15/2018
0.67%
**
1,906,516

FORD CREDIT AUTO OWNER TRUST FORDO 2014 A A3
5/15/2018
0.79%
**
4,896,217

FORD CREDIT AUTO LEASE TRUST FORDL 2014 A A2A
10/15/2016
0.5%
**
4,348,546

FORD CREDIT AUTO LEASE TRUST FORDL 2014 A A3
4/15/2017
0.68%
**
1,228,883

FORD CREDIT AUTO OWNER TRUST FORDO 2014 B A3
10/15/2018
0.9%
**
1,896,550

FORD CREDIT AUTO LEASE TRUST FORDL 2014 B A3
9/15/2017
0.89%
**
1,722,497

FORD CREDIT AUTO OWNER TRUST/F FORDR 2014 2 A 144A
4/15/2026
2.31%
**
1,924,946

FORD CREDIT AUTO OWNER TRUST FORDO 2014 C A2
8/15/2017
0.61%
**
4,992,830

FORD MOTOR CO COMMON STOCK USD.01
 
 
**
9,704,550

FORD MOTOR COMPANY SR UNSECURED 01/43 4.75
1/15/2043
4.75%
**
801,891

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/20 8.125
1/15/2020
8.13%
**
26,494,916

FORD MOTOR CREDIT CO LLC SR UNSECURED 04/15 7
4/15/2015
7%
**
813,766

FORD MOTOR CREDIT CO LLC SR UNSECURED 02/21 5.75
2/1/2021
5.75%
**
2,469,483

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/18 5
5/15/2018
5%
**
22,002,597

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/21 5.875
8/2/2021
5.88%
**
2,408,199

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/15 3.875
1/15/2015
3.88%
**
5,003,785

FORD MOTOR CREDIT CO LLC SR UNSECURED 06/16 3.984
6/15/2016
3.98%
**
683,365

FORD MOTOR CREDIT CO LLC SR UNSECURED 04/16 4.207
4/15/2016
4.21%
**
621,027

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/15 2.75
5/15/2015
2.75%
**
906,022

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/22 4.25
9/20/2022
4.25%
**
3,713,728

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/16 1.7
5/9/2016
1.7%
**
6,647,449

FORD MOTOR CREDIT CO LLC SR UNSECURED 03/19 2.375
3/12/2019
2.38%
**
953,316

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/17 1.684
9/8/2017
1.68%
**
4,460,225

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/17 VAR
9/8/2017
0.75%
**
695,180

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/24 3.664
9/8/2024
3.66%
**
881,758

FORD MOTOR CREDIT CO LLC SR UNSECURED 11/19 2.597
11/4/2019
2.6%
**
989,648

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/18 2.375
1/16/2018
2.38%
**
603,477

FOREST CITY ENTERPRISES CL A COMMON STOCK USD.333
 
 
**
1,901,345

FORESTAR GROUP INC COMMON STOCK USD1.
 
 
**
55,240

FORTINET INC COMMON STOCK USD.001
 
 
**
7,368,058

FORUM ENERGY TECHNOLOGIES IN COMMON STOCK USD.01
 
 
**
2,284,280

FOSSE MASTER ISSUER PLC FOSSM 2014 1A A1 144A
4/18/2015
0.28%
**
4,798,401

FOSTER (LB) CO A COMMON STOCK USD.01
 
 
**
49,784

FOX CHASE BANCORP INC COMMON STOCK USD.01
 
 
**
20,504

ORANGE SA SR UNSECURED 09/15 2.125
9/16/2015
2.13%
**
418,460

FRANKLIN COVEY CO COMMON STOCK USD.05
 
 
**
27,782

FRANKLIN ELECTRIC CO INC COMMON STOCK USD.1
 
 
**
173,088


86
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FRANKLIN RESOURCES INC COMMON STOCK USD.1
 
 
**
6,770,367

FRANKLIN STREET PROPERTIES C REIT USD.0001
 
 
**
75,461

FREDDIE MAC WHOLE LOAN FHW 2005 S001 2A2
9/25/2045
0.32%
**
926,557

FRED S INC CLASS A COMMON STOCK NPV
 
 
**
58,881

FREEPORT MCMORAN INC SR UNSECURED 03/22 3.55
3/1/2022
3.55%
**
600,145

FREEPORT MCMORAN INC SR UNSECURED 03/17 2.15
3/1/2017
2.15%
**
259,426

FREEPORT MCMORAN INC COMPANY GUAR 03/23 3.875
3/15/2023
3.88%
**
117,855

FREEPORT MCMORAN INC COMPANY GUAR 03/18 2.375
3/15/2018
2.38%
**
98,901

FREEPORT MCMORAN INC COMPANY GUAR 03/20 3.1
3/15/2020
3.1%
**
651,731

FREEPORT MCMORAN INC COMPANY GUAR 11/17 2.3
11/14/2017
2.3%
**
3,200,836

FRISCH S RESTAURANTS INC COMMON STOCK NPV
 
 
**
14,204

FRONTIER COMMUNICATIONS CORP COMMON STOCK USD.25
 
 
**
666,573

FUEL SYSTEMS SOLUTIONS INC COMMON STOCK USD.001
 
 
**
20,184

H.B. FULLER CO. COMMON STOCK USD1.
 
 
**
187,115

FULTON FINANCIAL CORP COMMON STOCK USD2.5
 
 
**
230,576

FURMANITE CORP COMMON STOCK NPV
 
 
**
17,634

FUTUREFUEL CORP COMMON STOCK USD.0001
 
 
**
52,041

G + K SERVICES INC CL A COMMON STOCK USD.5
 
 
**
4,030,798

GATX CORP SR UNSECURED 03/19 2.5
3/15/2019
2.5%
**
9,684,097

GE BUSINESS LOAN TRUST GEBL 2003 1 B 144A
4/15/2031
1.46%
**
293,876

GE CAPITAL CREDIT CARD MASTER GEMNT 2010 2 A
3/15/2020
4.47%
**
1,327,515

GE CAPITAL CREDIT CARD MASTER GEMNT 2012 6 A
8/17/2020
1.36%
**
2,087,287

GE COMMERCIAL MORTGAGE CORPORA GECMC 2007 C1 A1A
12/10/2049
5.48%
**
3,659,646

GE EQUIPMENT TRANSPORTATION LL GEET 2012 2 A3
7/25/2016
0.62%
**
1,086,299

GNMA POOL 763884 GN 09/43 FIXED 3
9/15/2043
3%
**
1,522,652

GNMA POOL 767037 GN 03/43 FIXED 3
3/15/2043
3%
**
907,866

GNMA POOL 767041 GN 04/43 FIXED 3
4/15/2043
3%
**
4,408,103

GNMA POOL 767046 GN 04/43 FIXED 3
4/15/2043
3%
**
891,781

GNMA POOL 770014 GN 12/43 FIXED 3
12/15/2043
3%
**
2,999,101

GNMA POOL 771561 GN 08/41 FIXED 4
8/15/2041
4%
**
656,792

GNMA POOL 798463 GN 09/42 FIXED 3
9/15/2042
3%
**
992,061

GNMA POOL 799706 GN 09/42 FIXED 3.5
9/15/2042
3.5%
**
250,231

GNMA POOL AA6294 GN 04/43 FIXED 3
4/15/2043
3%
**
610,449

GNMA POOL AA5821 GN 11/42 FIXED 3
11/15/2042
3%
**
1,843,359

GNMA POOL AA8635 GN 02/43 FIXED 3
2/15/2043
3%
**
2,422,016

GNMA POOL AA9712 GN 03/43 FIXED 3
3/15/2043
3%
**
249,183

GNMA POOL AB0670 GN 02/43 FIXED 3
2/15/2043
3%
**
745,027

GNMA POOL AB2734 GN 08/42 FIXED 3
8/15/2042
3%
**
26,619

GNMA POOL AB2827 GN 09/42 FIXED 3
9/15/2042
3%
**
106,342

GNMA POOL AB3031 GN 10/42 FIXED 3
10/15/2042
3%
**
467,301

GNMA POOL AB9323 GN 09/42 FIXED 3.5
9/15/2042
3.5%
**
246,586

GNMA POOL AC3752 GN 12/42 FIXED 3
12/15/2042
3%
**
897,037

GNMA POOL AC4794 GN 03/43 FIXED 3
3/15/2043
3%
**
625,789

GNMA POOL AC8118 GN 01/43 FIXED 3
1/15/2043
3%
**
891,062

GNMA POOL AC8509 GN 01/43 FIXED 3
1/15/2043
3%
**
473,473

GNMA II POOL MA0023 G2 04/42 FIXED 4
4/20/2042
4%
**
965,127

GNMA II POOL MA0317 G2 08/42 FIXED 3
8/20/2042
3%
**
2,678,751

GNMA II POOL MA0318 G2 08/42 FIXED 3.5
8/20/2042
3.5%
**
5,672,752


87
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GNMA II POOL MA0391 G2 09/42 FIXED 3
9/20/2042
3%
**
3,111,060

GNMA II POOL MA0392 G2 09/42 FIXED 3.5
9/20/2042
3.5%
**
4,047,511

GNMA II POOL MA0462 G2 10/42 FIXED 3.5
10/20/2042
3.5%
**
5,692,503

GNMA II POOL MA0624 G2 12/42 FIXED 3
12/20/2042
3%
**
903,960

GNMA II POOL MA0698 G2 01/43 FIXED 3
1/20/2043
3%
**
918,236

GNMA II POOL MA1012 G2 05/43 FIXED 3.5
5/20/2043
3.5%
**
4,362,102

GNMA II POOL MA1375 G2 10/43 FIXED 3.5
10/20/2043
3.5%
**
2,347,552

GNMA II POOL MA1448 G2 11/43 FIXED 3.5
11/20/2043
3.5%
**
44,481

GNMA II POOL MA1996 G2 06/44 FIXED 4
6/20/2044
4%
**
8,053,198

GNMA POOL AD1718 GN 02/43 FIXED 3
2/15/2043
3%
**
801,889

GNMA POOL AD1034 GN 07/43 FIXED 3
7/15/2043
3%
**
973,247

GNMA POOL AD1389 GN 05/43 FIXED 3
5/15/2043
3%
**
1,468,564

GNMA POOL AD1398 GN 07/43 FIXED 3
7/15/2043
3%
**
1,004,898

GNMA POOL AD2413 GN 05/43 FIXED 3.5
5/15/2043
3.5%
**
480,677

GNMA POOL AD2414 GN 05/43 FIXED 3.5
5/15/2043
3.5%
**
465,444

GNMA POOL AD4102 GN 07/43 FIXED 3
7/15/2043
3%
**
2,280,339

GNMA POOL AD9450 GN 04/43 FIXED 3
4/15/2043
3%
**
1,952,978

GNMA POOL AE7613 GN 07/43 FIXED 3
7/15/2043
3%
**
583,839

GNMA POOL AE7690 GN 08/43 FIXED 3
8/15/2043
3%
**
1,365,238

GNMA POOL AE7691 GN 08/43 FIXED 3
8/15/2043
3%
**
17,219,967

GNMA POOL AE8109 GN 01/44 FIXED 3.5
1/15/2044
3.5%
**
1,285,202

GNMA POOL AE9881 GN 05/43 FIXED 3
5/15/2043
3%
**
96,046

GNMA POOL AF0702 GN 08/43 FIXED 3
8/15/2043
3%
**
100,787

GNMA POOL AF0703 GN 09/43 FIXED 3
9/15/2043
3%
**
48,208

GNMA POOL AF0704 GN 08/43 FIXED 3
8/15/2043
3%
**
254,643

GNMA POOL AF5807 GN 01/44 FIXED 3.5
1/15/2044
3.5%
**
153,962

GNMA POOL AG5649 GN 09/43 FIXED 3
9/15/2043
3%
**
100,286

GMAC COMMERCIAL MORTGAGE SECUR GMACC 2006 C1 A1A
11/10/2045
5.23%
**
9,683,885

GMAC COMMERCIAL MORTGAGE SECUR GMACC 2006 C1 A4
11/10/2045
5.24%
**
3,284,135

GSI GROUP INC COMMON STOCK NPV
 
 
**
49,783

GS MORTGAGE SECURITIES TRUST GSMS 2011 GC5 D 144A
8/10/2044
5.31%
**
590,483

GS MORTGAGE SECURITIES TRUST GSMS 2013 NYC5 A 144A
1/10/2030
2.32%
**
147,734

GMAT TRUST GMAT 2013 1A A 144A
11/25/2043
3.97%
**
99,517

GMAT TRUST GMAT 2014 1A A 144A
2/25/2044
3.72%
**
175,212

GNMA POOL 595611 GN 01/35 FIXED 5
1/15/2035
5%
**
16,040

GNMA POOL 603692 GN 06/34 FIXED 5
6/15/2034
5%
**
27,782

GNMA POOL 604497 GN 07/33 FIXED 5
7/15/2033
5%
**
16,893

GNMA POOL 586373 GN 02/35 FIXED 5
2/15/2035
5%
**
15,118

GNMA POOL 594106 GN 09/33 FIXED 4.5
9/15/2033
4.5%
**
193,190

GNMA POOL 607465 GN 02/34 FIXED 5
2/15/2034
5%
**
61,508

GNMA POOL 607451 GN 01/34 FIXED 5
1/15/2034
5%
**
56,201

GNMA II POOL 003529 G2 03/34 FIXED 5
3/20/2034
5%
**
7,190

GNMA II POOL 002958 G2 08/30 FIXED 8
8/20/2030
8%
**
25,363

GNMA II POOL 004371 G2 02/39 FIXED 6
2/20/2039
6%
**
24,949

GNMA II POOL 004423 G2 04/39 FIXED 4.5
4/20/2039
4.5%
**
15,225

GNMA II POOL 004447 G2 05/39 FIXED 5
5/20/2039
5%
**
267,509

GNMA II POOL 003879 G2 07/36 FIXED 6
7/20/2036
6%
**
4,659

GNMA II POOL 004041 G2 10/37 FIXED 7
10/20/2037
7%
**
535,106


88
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GNMA II POOL 004028 G2 09/37 FIXED 6
9/20/2037
6%
**
129,156

GNMA II POOL 004040 G2 10/37 FIXED 6.5
10/20/2037
6.5%
**
32,594

GNMA II POOL 004073 G2 01/38 FIXED 6
1/20/2038
6%
**
256,661

GNMA II POOL 004060 G2 12/37 FIXED 6
12/20/2037
6%
**
125,782

GNMA II POOL 004099 G2 03/38 FIXED 6
3/20/2038
6%
**
51,875

GNMA II POOL 004195 G2 07/38 FIXED 6
7/20/2038
6%
**
19,253

GNMA II POOL 004222 G2 08/38 FIXED 6
8/20/2038
6%
**
130,677

GNMA II POOL 004224 G2 08/38 FIXED 7
8/20/2038
7%
**
574,785

GNMA II POOL 004268 G2 10/38 FIXED 6
10/20/2038
6%
**
15,220

GNMA II POOL 004245 G2 09/38 FIXED 6
9/20/2038
6%
**
1,598,205

GNMA II POOL 004247 G2 09/38 FIXED 7
9/20/2038
7%
**
507,684

GNMA II POOL 004291 G2 11/38 FIXED 6
11/20/2038
6%
**
762,986

GNMA II POOL 005269 G2 12/41 FIXED 6
12/20/2041
6%
**
54,640

GNMA II POOL 005280 G2 01/42 FIXED 4
1/20/2042
4%
**
481,145

GNMA II POOL 005305 G2 02/42 FIXED 4
2/20/2042
4%
**
3,058,308

GNMA II POOL 005326 G2 03/27 FIXED 3
3/20/2027
3%
**
637,917

GNMA II POOL 004520 G2 08/39 FIXED 5
8/20/2039
5%
**
1,477,599

GNMA II POOL 004543 G2 09/39 FIXED 6
9/20/2039
6%
**
98,454

GNMA II POOL 004602 G2 12/39 FIXED 6
12/20/2039
6%
**
20,995

GNMA II POOL 004617 G2 01/40 FIXED 4.5
1/20/2040
4.5%
**
1,127,011

GNMA II POOL 004717 G2 06/40 FIXED 6
6/20/2040
6%
**
56,286

GNMA II POOL 004696 G2 05/40 FIXED 4.5
5/20/2040
4.5%
**
2,589,085

GNMA II POOL 004697 G2 05/40 FIXED 5
5/20/2040
5%
**
531,428

GNMA II POOL 004746 G2 07/40 FIXED 4.5
7/20/2040
4.5%
**
588,474

GNMA II POOL 004747 G2 07/40 FIXED 5
7/20/2040
5%
**
3,245,474

GNMA II POOL 004772 G2 08/40 FIXED 5
8/20/2040
5%
**
883,199

GNMA II POOL 004774 G2 08/40 FIXED 6
8/20/2040
6%
**
741,379

GNMA II POOL 004800 G2 09/40 FIXED 4
9/20/2040
4%
**
1,279,421

GNMA II POOL 004801 G2 09/40 FIXED 4.5
9/20/2040
4.5%
**
49,139

GNMA II POOL 004802 G2 09/40 FIXED 5
9/20/2040
5%
**
680,482

GNMA II POOL 004833 G2 10/40 FIXED 4
10/20/2040
4%
**
4,174,541

GNMA II POOL 004834 G2 10/40 FIXED 4.5
10/20/2040
4.5%
**
162,045

GNMA II POOL 004837 G2 10/40 FIXED 6
10/20/2040
6%
**
190,838

GNMA II POOL 004883 G2 12/40 FIXED 4.5
12/20/2040
4.5%
**
797,392

GNMA II POOL 004855 G2 11/40 FIXED 5
11/20/2040
5%
**
3,135,361

GNMA II POOL 004905 G2 12/40 FIXED 6
12/20/2040
6%
**
1,088,698

GNMA II POOL 004945 G2 02/41 FIXED 4
2/20/2041
4%
**
648,571

GNMA II POOL 004922 G2 01/41 FIXED 4
1/20/2041
4%
**
860,437

GNMA II POOL 004923 G2 01/41 FIXED 4.5
1/20/2041
4.5%
**
1,067,424

GNMA II POOL 004978 G2 03/41 FIXED 4.5
3/20/2041
4.5%
**
18,029,741

GNMA II POOL 004979 G2 03/41 FIXED 5
3/20/2041
5%
**
1,651,163

GNMA II POOL 004984 G2 03/41 FIXED 5.5
3/20/2041
5.5%
**
1,440,274

GNMA II POOL 004991 G2 03/41 FIXED 6
3/20/2041
6%
**
378,950

GNMA II POOL 005016 G2 04/41 FIXED 4
4/20/2041
4%
**
538,988

GNMA II POOL 005017 G2 04/41 FIXED 4.5
4/20/2041
4.5%
**
1,699,621

GNMA II POOL 005018 G2 04/41 FIXED 5
4/20/2041
5%
**
1,158,785

GNMA II POOL 005019 G2 04/41 FIXED 6
4/20/2041
6%
**
229,727

GNMA II POOL 005063 G2 05/41 FIXED 6
5/20/2041
6%
**
281,739


89
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GNMA II POOL 005082 G2 06/41 FIXED 4.5
6/20/2041
4.5%
**
1,063,140

GNMA II POOL 005140 G2 08/41 FIXED 4.5
8/20/2041
4.5%
**
2,289,936

GNMA II POOL 005115 G2 07/41 FIXED 4.5
7/20/2041
4.5%
**
249,952

GNMA II POOL 005189 G2 09/41 FIXED 6
9/20/2041
6%
**
525,266

GNMA II POOL 005240 G2 11/41 FIXED 6
11/20/2041
6%
**
612,804

GNMA II POOL 005259 G2 12/41 FIXED 4
12/20/2041
4%
**
322,123

GNMA II POOL 008358 G2 01/24 FLOATING VAR
1/20/2024
1.63%
**
23,375

GNMA II POOL 008399 G2 04/24 FLOATING VAR
4/20/2024
1.63%
**
21,234

GNMA II POOL 008770 G2 12/25 FLOATING VAR
12/20/2025
1.63%
**
66,964

GNMA II POOL 008744 G2 11/25 FLOATING VAR
11/20/2025
1.63%
**
56,535

GNMA II POOL 008781 G2 01/26 FLOATING VAR
1/20/2026
1.63%
**
1,254

GNMA II POOL 008788 G2 01/26 FLOATING VAR
1/20/2026
1.63%
**
14,944

GNMA POOL 610410 GN 08/33 FIXED 5
8/15/2033
5%
**
25,548

GNMA POOL 389023 GN 11/22 FIXED 8.5
11/15/2022
8.5%
**
402

GNMA POOL 438506 GN 01/27 FIXED 7
1/15/2027
7%
**
10,764

GNMA POOL 476784 GN 08/28 FIXED 7
8/15/2028
7%
**
19,993

GNMA POOL 721989 GN 05/43 FIXED 3
5/15/2043
3%
**
2,800,898

GNMA POOL 722000 GN 06/43 FIXED 3
6/15/2043
3%
**
497,822

GNMA POOL 723344 GN 09/39 FIXED 4
9/15/2039
4%
**
1,015,767

GNMA POOL 723430 GN 11/39 FIXED 4.5
11/15/2039
4.5%
**
511,018

GNMA POOL 733600 GN 04/40 FIXED 5
4/15/2040
5%
**
350,157

GNMA POOL 733627 GN 05/40 FIXED 5
5/15/2040
5%
**
762,027

GNMA POOL 737111 GN 04/40 FIXED 4.5
4/15/2040
4.5%
**
1,184,268

GNMA POOL 738108 GN 03/41 FIXED 4.5
3/15/2041
4.5%
**
1,168,683

GNMA POOL 745243 GN 07/40 FIXED 4
7/15/2040
4%
**
1,788,497

GNMA POOL 497630 GN 02/29 FIXED 6
2/15/2029
6%
**
7,746

GNMA POOL 498387 GN 02/29 FIXED 6
2/15/2029
6%
**
5,882

GNMA POOL 521330 GN 05/35 FIXED 5
5/15/2035
5%
**
404,874

GNMA POOL 523278 GN 07/31 FIXED 6
7/15/2031
6%
**
52,061

GNMA POOL 543812 GN 02/31 FIXED 6
2/15/2031
6%
**
15,279

GNMA POOL 136713 GN 03/16 FIXED 9.5
3/15/2016
9.5%
**
177

GNMA POOL 146412 GN 04/16 FIXED 9.5
4/15/2016
9.5%
**
310

GNMA POOL 300672 GN 04/22 FIXED 8.5
4/15/2022
8.5%
**
8,292

GNMA POOL 306283 GN 10/21 FIXED 8.5
10/15/2021
8.5%
**
9,596

GNMA POOL 315855 GN 01/22 FIXED 8.5
1/15/2022
8.5%
**
3,051

GNMA POOL 322562 GN 04/22 FIXED 8.5
4/15/2022
8.5%
**
12,793

GNMA POOL 780049 GN 11/21 FIXED 9.5
11/15/2021
9.5%
**
6,009

GNMA POOL 780151 GN 12/21 FIXED 9
12/15/2021
9%
**
35,573

GNMA POOL 780345 GN 12/21 FIXED 9.5
12/15/2021
9.5%
**
10,653

GNMA POOL 781213 GN 12/17 FIXED 8
12/15/2017
8%
**
4,966

GNMA II POOL 080012 G2 11/26 FLOATING VAR
11/20/2026
1.63%
**
24,434

GNMA II POOL 080106 G2 08/27 FLOATING VAR
8/20/2027
1.63%
**
28,459

GNMA II POOL 080397 G2 04/30 FLOATING VAR
4/20/2030
2%
**
4,811

GP STRATEGIES CORP W/D COMMON STOCK USD.01
 
 
**
59,106

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG6 AAB
4/10/2038
5.55%
**
33,668

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG6 A4
4/10/2038
5.55%
**
6,975,849

GSAMP TRUST GSAMP 2004 AR1 A2B
6/25/2034
1.37%
**
2,196,872

GSAMP TRUST GSAMP 2004 AR1 M1
6/25/2034
1.14%
**
890,756


90
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1
3/25/2032
6%
**
5,094

GNMA POOL 783867 GN 08/36 FIXED 6
8/15/2036
6%
**
1,376,093

GNMA POOL 758922 GN 06/43 FIXED 3
6/15/2043
3%
**
6,005,449

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG8 A4
11/10/2039
5.56%
**
6,308,947

GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP3 1AF 144A
9/25/2035
0.52%
**
648,429

FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 A2D
9/25/2035
1%
**
22,442

FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF11 A2D
11/25/2035
1%
**
168,777

G III APPAREL GROUP LTD COMMON STOCK USD.01
 
 
**
4,357,167

GNMA POOL 781804 GN 09/34 FIXED 6
9/15/2034
6%
**
517,174

GNMA POOL 781847 GN 12/34 FIXED 6
12/15/2034
6%
**
437,427

GNMA POOL 781885 GN 03/35 FIXED 5
3/15/2035
5%
**
32,133

GNMA POOL 781902 GN 02/35 FIXED 6
2/15/2035
6%
**
385,844

GNMA POOL 781958 GN 07/35 FIXED 5
7/15/2035
5%
**
38,410

GNMA POOL 782382 GN 08/38 FIXED 5.5
8/15/2038
5.5%
**
119,726

GNMA POOL 782436 GN 10/38 FIXED 6
10/15/2038
6%
**
274,835

GNMA POOL 782716 GN 07/39 FIXED 5
7/15/2039
5%
**
411,984

GNMA POOL 782838 GN 07/19 FIXED 4.5
7/15/2019
4.5%
**
292,478

GNMA II POOL 783368 G2 07/41 FIXED 4.5
7/20/2041
4.5%
**
3,449,332

GSR MORTGAGE LOAN TRUST GSR 2005 AR3 2A1
5/25/2035
0.61%
**
45,264

GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 1AF 144A
3/25/2035
0.52%
**
2,253,422

GS MORTGAGE SECURITIES TRUST GSMS 2010 C2 A1 144A
12/10/2043
3.85%
**
92,086

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC16 B
11/10/2046
5.16%
**
1,061,171

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC26 A4
11/10/2047
3.36%
**
8,475,595

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC18 A2
1/10/2047
2.92%
**
1,546,839

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC22 AAB
6/10/2047
3.47%
**
1,665,949

GAIN CAPITAL HOLDINGS INC COMMON STOCK USD.00001
 
 
**
33,284

GNMA POOL 615656 GN 10/33 FIXED 5
10/15/2033
5%
**
12,024

GNMA POOL 623871 GN 06/34 FIXED 5
6/15/2034
5%
**
22,394

GNMA POOL 633701 GN 09/33 FIXED 5
9/15/2033
5%
**
26,236

GNMA POOL 636484 GN 03/35 FIXED 5
3/15/2035
5%
**
26,493

GNMA POOL 637746 GN 12/34 FIXED 5
12/15/2034
5%
**
18,082

GNMA POOL 638222 GN 12/34 FIXED 5
12/15/2034
5%
**
15,440

GNMA POOL 643362 GN 10/35 FIXED 5
10/15/2035
5%
**
23,136

GNMA POOL 646853 GN 08/35 FIXED 5.5
8/15/2035
5.5%
**
15,692

GNMA POOL 672676 GN 04/38 FIXED 5.5
4/15/2038
5.5%
**
296,237

GNMA POOL 676754 GN 03/38 FIXED 5.5
3/15/2038
5.5%
**
522,419

GNMA POOL 687179 GN 04/38 FIXED 5.5
4/15/2038
5.5%
**
401,420

GNMA POOL 687835 GN 08/38 FIXED 6
8/15/2038
6%
**
212,765

GNMA POOL 688043 GN 11/38 FIXED 6
11/15/2038
6%
**
297,223

GNMA POOL 689805 GN 08/23 FIXED 7
8/15/2023
7%
**
38,469

GNMA POOL 690922 GN 06/38 FIXED 5.5
6/15/2038
5.5%
**
404,680

GNMA POOL 697586 GN 11/38 FIXED 5.5
11/15/2038
5.5%
**
10,978

GNMA POOL 711379 GN 07/38 FIXED 5.5
7/15/2038
5.5%
**
5,178

GNMA POOL 711709 GN 01/43 FIXED 3
1/15/2043
3%
**
219,260

GNMA POOL 711754 GN 05/43 FIXED 3
5/15/2043
3%
**
5,662,827

GNMA POOL 711803 GN 09/43 FIXED 3
9/15/2043
3%
**
1,144,732

GNMA POOL 711793 GN 08/43 FIXED 3
8/15/2043
3%
**
3,109,561

GNMA POOL 711829 GN 12/43 FIXED 3
12/15/2043
3%
**
2,112,023


91
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GAMING AND LEISURE PROPERTIE REIT
 
 
**
120,294

GAMESTOP CORP CLASS A COMMON STOCK USD.001
 
 
**
367,237

GASTAR EXPLORATION LTD COMMON STOCK USD.001
 
 
**
12,845

GE COMMERCIAL MORTGAGE CORPORA GECMC 2005 C4 A4
11/10/2045
5.31%
**
2,031,054

GENERAC HOLDINGS INC COMMON STOCK USD.01
 
 
**
5,093,801

GENERAL CABLE CORP COMMON STOCK USD.01
 
 
**
48,872

GENERAL COMMUNICATION INC A COMMON STOCK NPV
 
 
**
53,556

GENERAL DYNAMICS CORP COMPANY GUAR 11/22 2.25
11/15/2022
2.25%
**
862,701

GENERAL ELECTRIC CO COMMON STOCK USD.06
 
 
**
23,739,902

GENERAL ELECTRIC CO SR UNSECURED 10/22 2.7
10/9/2022
2.7%
**
2,200,893

GENERAL ELECTRIC CO SR UNSECURED 10/15 0.85
10/9/2015
0.85%
**
1,142,917

GENERAL ELECTRIC CO SR UNSECURED 03/44 4.5
3/11/2044
4.5%
**
1,110,214

GENERAL ELEC CAP CORP SUBORDINATED 02/21 5.3
2/11/2021
5.3%
**
228,397

GENERAL ELEC CAP CORP SR UNSECURED 05/20 5.55
5/4/2020
5.55%
**
1,103,306

GENERAL ELEC CAP CORP SR UNSECURED 09/17 5.625
9/15/2017
5.63%
**
299,715

GENERAL ELEC CAP CORP SUBORDINATED 11/67 VAR
11/15/2067
6.38%
**
5,362,500

GENERAL ELEC CAP CORP SR UNSECURED 05/18 5.625
5/1/2018
5.63%
**
17,412,965

GENERAL ELEC CAP CORP SR UNSECURED 01/39 6.875
1/10/2039
6.88%
**
226,321

GENERAL ELEC CAP CORP SR UNSECURED 09/15 4.375
9/21/2015
4.38%
**
820,262

GENERAL ELEC CAP CORP SR UNSECURED 06/15 3.5
6/29/2015
3.5%
**
2,029,194

GENERAL ELEC CAP CORP SR UNSECURED 09/20 4.375
9/16/2020
4.38%
**
421,666

GENERAL ELEC CAP CORP SR UNSECURED 11/15 2.25
11/9/2015
2.25%
**
4,946,954

GENERAL ELEC CAP CORP SR UNSECURED 10/21 4.65
10/17/2021
4.65%
**
185,976

GENERAL ELEC CAP CORP SR UNSECURED 01/17 2.9
1/9/2017
2.9%
**
284,578

GENERAL ELEC CAP CORP SR UNSECURED 07/15 1.625
7/2/2015
1.63%
**
2,978,601

GENERAL ELEC CAP CORP SR SECURED 12/15 1
12/11/2015
1%
**
2,889,437

GENERAL ELEC CAP CORP SR SECURED 12/19 2.1
12/11/2019
2.1%
**
76,870

GENERAL ELEC CAP CORP SR UNSECURED 01/16 1
1/8/2016
1%
**
200,728

GENERAL ELEC CAP CORP SR UNSECURED 01/23 3.1
1/9/2023
3.1%
**
10,317,324

GENERAL ELEC CAP CORP SR UNSECURED 07/16 1.5
7/12/2016
1.5%
**
3,354,325

GENERAL ELEC CAP CORP SR UNSECURED 05/17 1.25
5/15/2017
1.25%
**
9,012,195

GENERAL ELEC CAP CORP SR UNSECURED 05/24 3.45
5/15/2024
3.45%
**
966,122

GENERAL ELEC CAP CORP SR UNSECURED 01/16 5
1/8/2016
5%
**
10,319,802

GENERAL ELEC CAP CORP SR UNSECURED 03/32 6.75
3/15/2032
6.75%
**
293,665

GENERAL MILLS INC COMMON STOCK USD.1
 
 
**
7,925,691

GENERAL MILLS INC SR UNSECURED 02/17 5.7
2/15/2017
5.7%
**
1,392,932

GENERAL MILLS INC SR UNSECURED 02/19 5.65
2/15/2019
5.65%
**
227,049

GENERAL MILLS INC SR UNSECURED 12/21 3.15
12/15/2021
3.15%
**
77,487

GENERAL MILLS INC SR UNSECURED 01/16 0.875
1/29/2016
0.88%
**
3,008,904

GENERAL MILLS INC SR UNSECURED 01/16 VAR
1/28/2016
0.43%
**
3,499,594

GENERAL MOTORS CO COMMON STOCK USD.01
 
 
**
4,880,418

GENESCO INC COMMON STOCK USD1.
 
 
**
3,885,400

GENESEE + WYOMING INC CL A COMMON STOCK USD.01
 
 
**
7,184,608

GENWORTH FINANCIAL INC CL A COMMON STOCK USD.001
 
 
**
273,573

GENTHERM INC COMMON STOCK NPV
 
 
**
895,066

GENZYME CORP COMPANY GUAR 06/15 3.625
6/15/2015
3.63%
**
101,381

GEORGIA POWER COMPANY SR UNSECURED 04/16 3
4/15/2016
3%
**
1,540,370

GEORGIA POWER COMPANY SR UNSECURED 05/22 2.85
5/15/2022
2.85%
**
703,977


92
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GEORGIA POWER COMPANY SR UNSECURED 11/15 0.625
11/15/2015
0.63%
**
5,596,155

GEOSPACE TECHNOLOGIES CORP COMMON STOCK USD.01
 
 
**
24,433

GERMAN AMERICAN BANCORP COMMON STOCK NPV
 
 
**
40,653

GETTY REALTY CORP REIT USD.01
 
 
**
33,597

GIBRALTAR INDUSTRIES INC COMMON STOCK USD.01
 
 
**
51,658

GILEAD SCIENCES INC COMMON STOCK USD.001
 
 
**
21,156,091

GILEAD SCIENCES INC SR UNSECURED 04/21 4.5
4/1/2021
4.5%
**
1,094,230

GILEAD SCIENCES INC SR UNSECURED 12/21 4.4
12/1/2021
4.4%
**
871,094

GILEAD SCIENCES INC SR UNSECURED 04/19 2.05
4/1/2019
2.05%
**
4,650,665

GILEAD SCIENCES INC SR UNSECURED 04/24 3.7
4/1/2024
3.7%
**
1,075,052

GILEAD SCIENCES INC SR UNSECURED 02/20 2.35
2/1/2020
2.35%
**
6,343,954

GILEAD SCIENCES INC SR UNSECURED 02/25 3.5
2/1/2025
3.5%
**
4,572,612

GLACIER BANCORP INC COMMON STOCK USD.01
 
 
**
3,034,428

GLADSTONE COMMERCIAL CORP REIT USD.001
 
 
**
21,119

GLATFELTER COMMON STOCK USD.01
 
 
**
110,079

GLAXOSMITHKLINE PLC SPON ADR ADR
 
 
**
5,728,377

GLAXOSMITHKLINE CAP INC COMPANY GUAR 03/16 0.7
3/18/2016
0.7%
**
4,999,760

GLAXOSMITHKLINE CAP INC COMPANY GUAR 03/23 2.8
3/18/2023
2.8%
**
1,767,459

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/15 0.75
5/8/2015
0.75%
**
2,002,946

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/17 1.5
5/8/2017
1.5%
**
1,692,308

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/22 2.85
5/8/2022
2.85%
**
11,210,605

GLENCORE FUNDING LLC COMPANY GUAR 144A 05/16 1.7
5/27/2016
1.7%
**
2,785,422

GLOBAL CASH ACCESS HOLDINGS COMMON STOCK USD.001
 
 
**
40,305

GLOBAL PAYMENTS INC COMMON STOCK NPV
 
 
**
3,148,470

GLOBAL POWER EQUIPMENT GROUP COMMON STOCK USD.01
 
 
**
21,226

GOLD FIELDS OROGEN HOLD COMPANY GUAR 144A 10/20 4.875
10/7/2020
4.88%
**
915,600

GOLD RESOURCE CORP COMMON STOCK USD.001
 
 
**
17,667

GOLDCORP INC SR UNSECURED 06/21 3.625
6/9/2021
3.63%
**
18,064,018

GOLDMAN SACHS GROUP INC SR UNSECURED 02/19 7.5
2/15/2019
7.5%
**
372,301

GOLDMAN SACHS GROUP INC SR UNSECURED 03/20 5.375
3/15/2020
5.38%
**
4,353,908

GOLDMAN SACHS GROUP INC SR UNSECURED 06/20 6
6/15/2020
6%
**
10,959,145

GOLDMAN SACHS GROUP INC SR UNSECURED 08/15 3.7
8/1/2015
3.7%
**
1,122,834

GOLDMAN SACHS GROUP INC SR UNSECURED 11/15 1.6
11/23/2015
1.6%
**
14,338,701

GOLDMAN SACHS GROUP INC SR UNSECURED 11/18 VAR
11/15/2018
1.33%
**
2,423,518

GOLDMAN SACHS GROUP INC SR UNSECURED 06/17 VAR
6/4/2017
1%
**
798,351

GOLDMAN SACHS GROUP INC SR UNSECURED 07/24 3.85
7/8/2024
3.85%
**
8,245,808

GOLDMAN SACHS GROUP INC COMMON STOCK USD.01
 
 
**
35,339,279

GOLDMAN SACHS GROUP INC SR UNSECURED 01/16 5.35
1/15/2016
5.35%
**
125,222

GOLDMAN SACHS GROUP INC SUBORDINATED 10/37 6.75
10/1/2037
6.75%
**
5,482,155

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 5.95
1/18/2018
5.95%
**
12,515,055

GOLDMAN SACHS GROUP INC SR UNSECURED 04/18 6.15
4/1/2018
6.15%
**
41,759,599

GOLDMAN SACHS GROUP INC SR UNSECURED 07/21 5.25
7/27/2021
5.25%
**
7,708,761

GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75
1/24/2022
5.75%
**
7,895,071

GOLDMAN SACHS GROUP INC SR UNSECURED 05/15 3.3
5/3/2015
3.3%
**
2,298,511

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 2.375
1/22/2018
2.38%
**
20,958,544

GOLDMAN SACHS GROUP INC SR UNSECURED 01/23 3.625
1/22/2023
3.63%
**
607,573

GOLDMAN SACHS GROUP INC SR UNSECURED 04/18 VAR
4/30/2018
1.43%
**
5,058,665

GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 4
3/3/2024
4%
**
30,853,788


93
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GOLDMAN SACHS CAPITAL II LIMITD GUARA 12/49 VAR
12/31/2049
4%
**
88,200

GOLDMAN SACHS GROUP INC SR UNSECURED 02/16 3.625
2/7/2016
3.63%
**
3,991,366

GOLDMAN SACHS GROUP INC SUBORDINATED 05/36 6.45
5/1/2036
6.45%
**
199,436

GOLDMAN SACHS GROUP INC SR UNSECURED 01/19 2.625
1/31/2019
2.63%
**
408,479

GOLDMAN SACHS GROUP INC SR UNSECURED 07/18 2.9
7/19/2018
2.9%
**
7,510,467

GOLDMAN SACHS GROUP INC SR UNSECURED 10/19 2.55
10/23/2019
2.55%
**
237,131

GOODRICH PETROLEUM CORP COMMON STOCK USD.2
 
 
**
13,196

GOOGLE INC CL A COMMON STOCK USD.001
 
 
**
42,276,621

GOOGLE INC CL C COMMON STOCK USD.001
 
 
**
21,681,890

GOVERNMENT NATIONAL MORTGAGE A GNR 2002 31 FW
6/16/2031
0.56%
**
26,031

GOVERNMENT NATIONAL MORTGAGE A GNR 2004 19 KE
3/16/2034
5%
**
392,085

GOVERNMENT NATIONAL MORTGAGE A GNR 2006 38 FZ
9/16/2035
0.26%
**
1,075,433

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H10 FC
5/20/2060
1.16%
**
4,760,154

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H20 AF
10/20/2060
0.49%
**
7,252,921

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H22 FE
5/20/2059
0.51%
**
3,973,119

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H04 BA
2/20/2063
1.65%
**
350,310

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H05 FB
2/20/2062
0.56%
**
355,380

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H09 AF
3/20/2061
0.66%
**
1,546,069

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H11 FB
4/20/2061
0.66%
**
9,114,634

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 84 AB
7/16/2033
5%
**
1,220,035

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 35 TE
6/20/2037
6%
**
111,778

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 70 PE
11/20/2037
5.5%
**
240,004

GOVERNMENT PROPERTIES INCOME REIT USD.01
 
 
**
108,492

GOVERNMENT PROPERTIES IN SR UNSECURED 08/19 3.75
8/15/2019
3.75%
**
294,393

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 96 FT
10/20/2039
0.92%
**
2,040,479

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 76 CF
9/16/2039
0.96%
**
2,095,379

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 122 C
11/16/2037
2.88%
**
531,220

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 14 QP
12/20/2039
6%
**
285,086

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 109 CH
12/20/2037
3%
**
5,235,462

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 48 QA
8/16/2039
5%
**
845,837

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 52 NA
4/16/2041
4%
**
1,015,527

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 59 F
5/20/2042
0.62%
**
1,631,018

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 WP
8/16/2042
6.5%
**
1,514,858

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 88 WA
6/20/2030
4.99%
**
2,361,284

GOVERNMENT NATIONAL MORTGAGE A GNR 2014 134 A
9/16/2047
3.1%
**
2,435,349

GOVERNMENT NATIONAL MORTGAGE A GNR 1999 11 ZB
4/20/2029
6.5%
**
310,997

GRACO INC COMMON STOCK USD1.
 
 
**
1,844,140

GRAFTECH INTERNATIONAL LTD COMMON STOCK USD.01
 
 
**
46,157

GRAHAM HOLDINGS CO CLASS B COMMON STOCK USD1.0
 
 
**
442,220

GRAND CANYON EDUCATION INC COMMON STOCK USD.01
 
 
**
3,051,564

GRANITE MORTGAGES PLC. GRAN 2003 2 1A3 REGS
7/20/2043
0.73%
**
308,800

GRANITE MORTGAGES PLC. GRAN 2004 3 2A1
9/20/2044
0.53%
**
196,246

GRANITE MASTER ISSUER PLC GRANM 2005 1 A4
12/20/2054
0.37%
**
29,953

GRAY TELEVISION INC COMMON STOCK NPV
 
 
**
53,950

GREAT LAKES DREDGE + DOCK CO COMMON STOCK USD.0001
 
 
**
52,644

GREAT SOUTHERN BANCORP INC COMMON STOCK USD.01
 
 
**
52,840

GREAT WEST LIFECO INC COMMON STOCK NPV
 
 
**
124,703

GREATBATCH INC COMMON STOCK USD.001
 
 
**
3,158,651


94
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GREEN DOT CORP CLASS A COMMON STOCK USD.001
 
 
**
79,809

GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2
6/25/2045
0.61%
**
1,149,476

GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1
1/25/2037
0.35%
**
2,329,307

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2005 GG5 A5
4/10/2037
5.22%
**
1,010,815

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2005 GG5 AM
4/10/2037
5.28%
**
5,110,032

GREIF INC CL A COMMON STOCK NPV
 
 
**
106,504

GREIF INC CL B COMMON STOCK NPV
 
 
**
80,786

GROUP 1 AUTOMOTIVE INC COMMON STOCK USD.01
 
 
**
211,234

GROUPON INC COMMON STOCK USD.0001
 
 
**
100,987

GRUPO TELEVISA SA SPON ADR ADR NPV
 
 
**
197,548

GUARANTY BANCORP COMMON STOCK USD.001
 
 
**
31,075

GUESS? INC COMMON STOCK USD.01
 
 
**
159,892

GUIDEWIRE SOFTWARE INC COMMON STOCK USD.0001
 
 
**
786,183

GULF ISLAND FABRICATION INC COMMON STOCK NPV
 
 
**
29,802

AMER SPORTS OYJ COMMON STOCK NPV
 
 
**
589,804

GULFMARK OFFSHORE INC CL A COMMON STOCK USD.01
 
 
**
998,778

HCA INC COMPANY GUAR 01/15 6.375
1/15/2015
6.38%
**
300,000

HCA HOLDINGS INC COMMON STOCK USD.01
 
 
**
9,787,290

HCC INSURANCE HOLDINGS INC COMMON STOCK USD1.
 
 
**
4,717,360

HCP INC SR UNSECURED 01/18 6.7
1/30/2018
6.7%
**
6,257,871

HCP INC SR UNSECURED 02/16 3.75
2/1/2016
3.75%
**
2,276,451

HCP INC SR UNSECURED 02/19 3.75
2/1/2019
3.75%
**
104,955

HCP INC SR UNSECURED 02/20 2.625
2/1/2020
2.63%
**
67,294

HCP INC SR UNSECURED 11/23 4.25
11/15/2023
4.25%
**
85,150

HCP INC SR UNSECURED 08/24 3.875
8/15/2024
3.88%
**
90,408

HLSS SERVICER ADVANCE RECEIVAB HSART 2013 T1 A2 144A
1/16/2046
1.5%
**
139,888

HLSS SERVICER ADVANCE RECEIVAB HSART 2013 T2 A2 144A
5/16/2044
1.15%
**
839,160

HLSS SERVICER ADVANCE RECEIVAB HSART 2014 T1 AT1 144A
1/17/2045
1.24%
**
431,000

HLSS SERVICER ADVANCE RECEIVAB HSART 2014 T2 AT2 144A
1/15/2047
2.22%
**
664,136

HMS HOLDINGS CORP COMMON STOCK USD.01
 
 
**
2,934,232

EQUITY COMMONWEALTH SR UNSECURED 06/17 6.25
6/15/2017
6.25%
**
107,750

EQUITY COMMONWEALTH SR UNSECURED 01/18 6.65
1/15/2018
6.65%
**
82,411

HSBC HOLDINGS PLC SUBORDINATED 05/32 7.625
5/17/2032
7.63%
**
1,374,656

HSBC HOLDINGS PLC SR UNSECURED 04/21 5.1
4/5/2021
5.1%
**
2,645,131

HSBC HOLDINGS PLC SR UNSECURED 01/22 4.875
1/14/2022
4.88%
**
3,265,922

HSBC HOLDINGS PLC SR UNSECURED 03/22 4
3/30/2022
4%
**
292,681

HSBC HOLDINGS PLC SUBORDINATED 03/24 4.25
3/14/2024
4.25%
**
1,508,844

HSBC USA INC SR UNSECURED 02/15 2.375
2/13/2015
2.38%
**
4,509,041

HSBC USA INC SR UNSECURED 01/18 1.625
1/16/2018
1.63%
**
159,384

HSBC USA INC SR UNSECURED 09/18 2.625
9/24/2018
2.63%
**
1,538,517

HSBC USA INC SR UNSECURED 11/17 1.5
11/13/2017
1.5%
**
3,091,878

HSBC FINANCE CORP SR UNSECURED 06/15 5
6/30/2015
5%
**
4,743,814

HSBC FINANCE CORP SUBORDINATED 01/21 6.676
1/15/2021
6.68%
**
3,648,352

HSBC BANK USA SUBORDINATED 11/34 5.875
11/1/2034
5.88%
**
124,926

HSBC BANK USA SUBORDINATED 08/17 6
8/9/2017
6%
**
16,582,530

HSBC BANK USA NA SUBORDINATED 08/20 4.875
8/24/2020
4.88%
**
402,883

H+R REAL ESTATE INV REIT UTS REIT NPV
 
 
**
80,673

HACKETT GROUP INC/THE COMMON STOCK USD.001
 
 
**
25,227


95
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
HAEMONETICS CORP/MASS COMMON STOCK USD.01
 
 
**
22,078

HALCON RESOURCES CORP COMMON STOCK USD.0001
 
 
**
48,532

LVMH MOET HENNESSY LOUIS VUI COMMON STOCK EUR.3
 
 
**
5,796,415

HALLIBURTON CO SR UNSECURED 11/21 3.25
11/15/2021
3.25%
**
66,168

HALLIBURTON CO SR UNSECURED 08/16 1
8/1/2016
1%
**
2,097,911

HALLIBURTON CO SR UNSECURED 08/18 2
8/1/2018
2%
**
1,493,523

HALLIBURTON COMPANY SR UNSECURED 08/23 3.5
8/1/2023
3.5%
**
1,256,323

HALLMARK FINL SERVICES INC COMMON STOCK USD.18
 
 
**
23,539

BEFIMMO REIT NPV
 
 
**
376,016

HANCOCK HOLDING CO COMMON STOCK USD3.33
 
 
**
251,740

HANESBRANDS INC COMMON STOCK USD.01
 
 
**
2,344,020

HANGER INC COMMON STOCK USD.01
 
 
**
51,618

HANMI FINANCIAL CORPORATION COMMON STOCK USD.001
 
 
**
69,290

HANOVER INSURANCE GROUP INC/ COMMON STOCK USD.01
 
 
**
3,427,069

BANCA POPOL EMILIA ROMAGNA COMMON STOCK EUR3.
 
 
**
398,098

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2003 1 A
5/19/2033
2.48%
**
25,834

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 4A
7/19/2035
2.71%
**
1,241,031

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A
6/20/2035
0.51%
**
3,431,370

HARDINGE INC COMMON STOCK USD.01
 
 
**
13,434

HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2012 1 A4
2/15/2018
0.91%
**
2,219,882

HARMONIC INC COMMON STOCK USD.001
 
 
**
65,382

REED ELSEVIER NV COMMON STOCK EUR.07
 
 
**
1,541,203

HARTE HANKS INC COMMON STOCK USD1.
 
 
**
44,428

THALES SA COMMON STOCK EUR3.
 
 
**
625,206

HARTFORD FINANCIAL SVCS GRP COMMON STOCK USD.01
 
 
**
2,739,033

HARTFORD FINL SVCS GRP SR UNSECURED 03/20 5.5
3/30/2020
5.5%
**
2,056,760

HARVARD BIOSCIENCE INC COMMON STOCK USD.01
 
 
**
18,598

CARLSBERG AS B COMMON STOCK DKK20.
 
 
**
1,677,813

HASBRO INC COMMON STOCK USD.5
 
 
**
2,313,924

HAVERTY FURNITURE COMMON STOCK USD1.
 
 
**
38,341

INGENICO COMMON STOCK EUR1.
 
 
**
974,810

HAWAIIAN HOLDINGS INC COMMON STOCK USD.01
 
 
**
136,163

HAWAIIAN TELCOM HOLDCO INC COMMON STOCK USD.01
 
 
**
31,071

HAWKINS INC COMMON STOCK USD.05
 
 
**
44,413

HCP INC SR UNSECURED 01/17 6
1/30/2017
6%
**
218,226

HEALTHSOUTH CORP W/D COMMON STOCK USD.01
 
 
**
2,174,528

HEALTHCARE REALTY TRUST INC REIT USD.01
 
 
**
179,219

HEADWATERS INC COMMON STOCK USD.001
 
 
**
464,918

HEALTH CARE REIT INC SR UNSECURED 03/16 3.625
3/15/2016
3.63%
**
2,831,376

HEALTH CARE REIT INC SR UNSECURED 01/22 5.25
1/15/2022
5.25%
**
83,339

HEALTH CARE REIT INC SR UNSECURED 03/18 2.25
3/15/2018
2.25%
**
7,245,058

HEALTHWAYS INC COMMON STOCK USD.001
 
 
**
61,131

HEALTHCARE TRUST OF AME CL A REIT USD.01
 
 
**
189,146

HEARTLAND FINANCIAL USA INC COMMON STOCK USD1.
 
 
**
52,764

HEARTLAND PAYMENT SYSTEMS IN COMMON STOCK USD.001
 
 
**
10,552,944

HEARTWARE INTERNATIONAL INC COMMON STOCK USD.001
 
 
**
1,644,832

HECLA MINING CO COMMON STOCK USD.25
 
 
**
65,202

HEIDRICK + STRUGGLES INTL COMMON STOCK USD.01
 
 
**
42,527


96
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
HEINEKEN NV SR UNSECURED 144A 04/22 3.4
4/1/2022
3.4%
**
41,128

HEINEKEN NV SR UNSECURED 144A 10/15 0.8
10/1/2015
0.8%
**
4,289,778

HELIX ENERGY SOLUTIONS GROUP COMMON STOCK NPV
 
 
**
3,677,542

HELMERICH + PAYNE COMMON STOCK USD.1
 
 
**
1,213,560

HEMISPHERE MEDIA GROUP INC COMMON STOCK USD.0001
 
 
**
16,593

AP MOELLER MAERSK A/S B COMMON STOCK DKK1000.
 
 
**
174,884

JACK HENRY + ASSOCIATES INC COMMON STOCK USD.01
 
 
**
5,250,830

HERITAGE COMMERCE CORP COMMON STOCK NPV
 
 
**
22,622

HERITAGE FINANCIAL CORP COMMON STOCK NPV
 
 
**
53,966

HERITAGE CRYSTAL CLEAN INC COMMON STOCK USD.01
 
 
**
22,749

HERITAGE FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
23,880

HERSHA HOSPITALITY TRUST REIT USD.01
 
 
**
96,557

HERTZ VEHICLE FINANCING LLC HERTZ 2013 1A A2 144A
8/25/2019
1.83%
**
1,282,791

HESS CORP SR UNSECURED 02/19 8.125
2/15/2019
8.13%
**
1,356,363

HESS CORP SR UNSECURED 06/17 1.3
6/15/2017
1.3%
**
3,208,953

HEWLETT PACKARD CO COMMON STOCK USD.01
 
 
**
41,899,937

HEWLETT PACKARD CO SR UNSECURED 09/15 2.125
9/13/2015
2.13%
**
705,495

HEWLETT PACKARD CO SR UNSECURED 06/21 4.3
6/1/2021
4.3%
**
858,118

HEWLETT PACKARD CO SR UNSECURED 12/21 4.65
12/9/2021
4.65%
**
170,252

HIGHWOODS PROPERTIES INC REIT USD.01
 
 
**
5,075,595

HILL INTERNATIONAL INC COMMON STOCK USD.0001
 
 
**
12,595

HILLTOP HOLDINGS INC COMMON STOCK USD.01
 
 
**
173,804

HILTON USA TRUST HILT 2013 HLT AFX 144A
11/5/2030
2.66%
**
15,724,804

FRESENIUS SE + CO KGAA COMMON STOCK NPV
 
 
**
172,658

UNITED INTERNET AG REG SHARE COMMON STOCK NPV
 
 
**
1,321,436

FUCHS PETROLUB SE PREF PREFERENCE
 
 
**
149,068

HOME BANCSHARES INC COMMON STOCK USD.01
 
 
**
2,990,398

HOME BANCORP INC COMMON STOCK USD.01
 
 
**
16,448

HOME DEPOT INC SR UNSECURED 03/16 5.4
3/1/2016
5.4%
**
126,638

HOME DEPOT INC SR UNSECURED 04/21 4.4
4/1/2021
4.4%
**
94,561

HOME DEPOT INC SR UNSECURED 02/24 3.75
2/15/2024
3.75%
**
603,474

HOME PROPERTIES INC REIT USD.01
 
 
**
255,512

HOMESTAR MORTGAGE ACCEPTANCE C HMAC 2004 4 A3
9/25/2034
0.72%
**
152,165

HOMESTREET INC COMMON STOCK
 
 
**
26,759

HOMETRUST BANCSHARES INC COMMON STOCK
 
 
**
35,852

HON HAI PRECISION GDR REG S GDR
 
 
**
12,421

HONDA MOTOR CO LTD SPONS ADR ADR
 
 
**
2,228,984

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 3 A2
1/15/2016
0.54%
**
469,970

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 3 A4
9/16/2019
1.13%
**
8,596,317

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 2 A3
2/16/2016
0.7%
**
1,350,931

HONDA AUTO RECEIVABLES OWNER T HAROT 2014 1 A2
9/21/2016
0.41%
**
4,406,734

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 1 A3
1/15/2016
0.77%
**
126,682

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 1 A4
4/16/2018
0.97%
**
450,723

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 1 A3
11/21/2016
0.48%
**
1,957,179

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 2 A4
6/17/2019
0.66%
**
1,524,740

HONDA AUTO RECEIVABLES OWNER T HAROT 2014 2 A2
9/19/2016
0.39%
**
7,295,781

HONDA AUTO RECEIVABLES OWNER T HAROT 2014 2 A3
3/19/2018
0.77%
**
2,247,032

HONEYWELL INTERNATIONAL INC COMMON STOCK USD1.
 
 
**
36,762,367


97
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
HONEYWELL INTERNATIONAL SR UNSECURED 03/18 5.3
3/1/2018
5.3%
**
277,319

HONOLULU CITY CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41%
**
2,786,924

HONOLULU CITY CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41%
**
3,003,540

HONOLULU CITY CNTY HI HON 11/22 FIXED 2.512
11/1/2022
2.51%
**
3,892,878

HONOLULU CITY CNTY HI HON 11/23 FIXED 2.812
11/1/2023
2.81%
**
5,413,986

HOOKER FURNITURE CORP COMMON STOCK NPV
 
 
**
19,351

HORACE MANN EDUCATORS COMMON STOCK USD.001
 
 
**
136,038

HORIZON BANCORP INDIANA COMMON STOCK NPV
 
 
**
24,101

HORNBECK OFFSHORE SERVICES COMMON STOCK USD.01
 
 
**
81,902

HORTONWORKS INC COMMON STOCK USD.0001
 
 
**
531,307

HOSPIRA INC COMMON STOCK USD.01
 
 
**
2,236,238

HOSPIRA INC SR UNSECURED 03/17 6.05
3/30/2017
6.05%
**
188,679

HOSPITALITY PROPERTIES TRUST REIT USD.01
 
 
**
314,557

HOUSTON WIRE + CABLE CO COMMON STOCK USD.001
 
 
**
20,817

HSBC BANK PLC SR UNSECURED 144A 05/16 3.1
5/24/2016
3.1%
**
4,439,694

HUB GROUP INC CL A COMMON STOCK USD.01
 
 
**
117,096

HUMANA INC COMMON STOCK USD.166
 
 
**
2,843,874

HUMANA INC. SR UNSECURED 08/18 6.3
8/1/2018
6.3%
**
783,596

HUMANA INC SR UNSECURED 06/18 7.2
6/15/2018
7.2%
**
11,682

HUMANA INC SR UNSECURED 12/22 3.15
12/1/2022
3.15%
**
2,586,491

HUNTINGTON AUTO TRUST HUNT 2012 1 A3
9/15/2016
0.81%
**
227,249

HUNTINGTON AUTO TRUST HUNT 2012 2 A3
4/17/2017
0.51%
**
1,531,278

HUNTINGTON AUTO TRUST HUNT 2012 2 B
2/15/2018
1.07%
**
1,246,825

HUNTSMAN CORP COMMON STOCK USD.01
 
 
**
537,039

HURCO COMPANIES INC COMMON STOCK NPV
 
 
**
24,443

HURON CONSULTING GROUP INC COMMON STOCK USD.01
 
 
**
10,953,958

HYDRO QUEBEC LOCAL GOVT G 01/22 8.4
1/15/2022
8.4%
**
188,362

HYDRO QUEBEC LOCAL GOVT G 07/24 8.05
7/7/2024
8.05%
**
245,820

HYUNDAI AUTO RECEIVABLES TRUST HART 2012 A A4
12/15/2016
0.95%
**
775,201

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A A3
7/17/2017
0.56%
**
2,433,614

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A A4
9/17/2018
0.75%
**
998,316

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 B A3
9/15/2017
0.71%
**
7,043,582

HYUNDAI AUTO LEASE SECURITIZAT HALST 2013 B A2 144A
3/15/2016
0.75%
**
3,521,688

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 C A3
2/15/2018
1.01%
**
8,133,316

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 C A4
3/15/2019
1.55%
**
502,153

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 C B
3/15/2019
2.1%
**
534,055

HYUNDAI AUTO RECEIVABLES TRUST HART 2014 A A4
8/15/2019
1.32%
**
11,377,097

HYUNDAI AUTO LEASE SECURITIZAT HALST 2014 A A2 144A
7/15/2016
0.52%
**
3,984,533

HYUNDAI AUTO RECEIVABLES TRUST HART 2014 B A4
11/15/2019
1.46%
**
992,719

HYUNDAI AUTO LEASE SECURITIZAT HALST 2014 B A2 144A
2/15/2017
0.61%
**
11,581,463

HYSTER YALE MATERIALS COMMON STOCK USD.01
 
 
**
75,030

HYUNDAI AUTO RECEIVABLES TRUST HART 2011 C A4
2/15/2018
1.3%
**
359,359

HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 10/15 1.625
10/2/2015
1.63%
**
2,409,845

HYUNDAI AUTO RECEIVABLES TRUST HART 2010 B A4
3/15/2017
1.63%
**
360,701

HYUNDAI CAPITAL AUTO FUNDING L HCAF 2010 8A A 144A
9/20/2016
1.15%
**
9,818

ICF INTERNATIONAL INC COMMON STOCK USD.001
 
 
**
84,009

ICU MEDICAL INC COMMON STOCK USD.1
 
 
**
125,880

IGM FINANCIAL INC COMMON STOCK NPV
 
 
**
35,984


98
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
IMS HEALTH HOLDINGS INC COMMON STOCK USD.01
 
 
**
2,334,778

KBC GROEP NV COMMON STOCK NPV
 
 
**
214,412

ING BANK NV SR UNSECURED 144A 03/17 3.75
3/7/2017
3.75%
**
2,720,905

ING BANK NV SR UNSECURED 144A 09/15 2
9/25/2015
2%
**
10,128,470

IPG PHOTONICS CORP COMMON STOCK USD.0001
 
 
**
3,007,663

IPC HEALTHCARE INC COMMON STOCK USD.001
 
 
**
70,533

ING BANK NV SR UNSECURED 144A 09/15 3
9/1/2015
3%
**
3,548,860

IPIC GMTN LTD COMPANY GUAR 144A 11/15 3.125
11/15/2015
3.13%
**
70,969

ING BANK NV COVERED REGS 12/22 2.625
12/5/2022
2.63%
**
4,331,553

IBERIABANK CORP COMMON STOCK USD1.
 
 
**
5,544,805

ICICI BANK LTD SPON ADR ADR
 
 
**
161,700

HANNOVER RUECK SE COMMON STOCK NPV
 
 
**
683,103

IGATE CORP COMMON STOCK USD.01
 
 
**
3,186,036

IHS INC CLASS A COMMON STOCK USD.01
 
 
**
1,195,740

IKANG HEALTHCARE GROUP ADR ADR USD.01
 
 
**
142,248

ILLINOIS TOOL WORKS COMMON STOCK USD.01
 
 
**
2,485,023

ILLUMINA INC COMMON STOCK USD.01
 
 
**
7,733,902

IMATION CORP COMMON STOCK USD.01
 
 
**
14,372

IMAX CORP COMMON STOCK NPV
 
 
**
2,773,893

WARTSILA OYJ ABP COMMON STOCK NPV
 
 
**
223,686

IMPAC CMB TRUST IMM 2004 6 1A2
10/25/2034
0.95%
**
1,886,948

IMPAC CMB TRUST IMM 2004 9 1A1
1/25/2035
0.93%
**
394,762

IMPAC CMB TRUST IMM 2007 A M1
5/25/2037
0.57%
**
3,602,384

IMPAC SECURED ASSETS CORP. IMSA 2006 2 2A1
8/25/2036
0.52%
**
222,940

IMPERIAL HOLDINGS INC COMMON STOCK USD.01
 
 
**
14,031

IMPERIAL OIL LTD COMMON STOCK NPV
 
 
**
302,482

IMPERIAL TOBACCO FINANCE COMPANY GUAR 144A 02/18 2.05
2/11/2018
2.05%
**
1,024,229

IMPERIAL TOBACCO GR SPON ADR ADR
 
 
**
1,100,575

INCYTE CORP COMMON STOCK USD.001
 
 
**
5,906,703

INDEPENDENCE HOLDING CO COMMON STOCK USD1.
 
 
**
24,301

INDEPENDENT BANK CORP/MA COMMON STOCK USD.01
 
 
**
100,903

INDEPENDENT BANK GROUP INC COMMON STOCK USD.01
 
 
**
56,051

LAGARDERE SCA COMMON STOCK EUR6.1
 
 
**
1,027,501

INDIANA MICHIGAN POWER SR UNSECURED 03/23 3.2
3/15/2023
3.2%
**
90,489

GEA GROUP AG COMMON STOCK NPV
 
 
**
347,970

DEUTZ AG COMMON STOCK NPV
 
 
**
429,326

INDUSTRIAL BANK OF KOREA SR UNSECURED 144A 07/17 2.375
7/17/2017
2.38%
**
1,316,692

INFORMATICA CORP COMMON STOCK USD.001
 
 
**
5,525,380

INFOSYS LTD SP ADR ADR
 
 
**
906,048

INGERSOLL RAND GL HLD CO COMPANY GUAR 08/18 6.875
8/15/2018
6.88%
**
1,288,561

INGERSOLL RAND GL HLD CO COMPANY GUAR 06/23 4.25
6/15/2023
4.25%
**
569,215

INGLES MARKETS INC CLASS A COMMON STOCK USD.05
 
 
**
53,224

INGRAM MICRO INC CL A COMMON STOCK USD.01
 
 
**
430,631

INGREDION INC COMMON STOCK USD.01
 
 
**
617,381

MEDIOBANCA SPA COMMON STOCK EUR.5
 
 
**
738,504

INSIGHT ENTERPRISES INC COMMON STOCK USD.01
 
 
**
95,534

INNOSPEC INC COMMON STOCK USD.01
 
 
**
100,644

INPHI CORP COMMON STOCK
 
 
**
3,243,480


99
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
INNERWORKINGS INC COMMON STOCK USD.0001
 
 
**
41,521

INNOPHOS HOLDINGS INC COMMON STOCK USD.001
 
 
**
125,784

INSTEEL INDUSTRIES INC COMMON STOCK NPV
 
 
**
43,505

INSULET CORP COMMON STOCK USD.001
 
 
**
3,010,389

INTEGRA LIFESCIENCES HOLDING COMMON STOCK USD.01
 
 
**
13,069

INTEGRATED SILICON SOLUTION COMMON STOCK USD.0001
 
 
**
52,643

INTEL CORP COMMON STOCK USD.001
 
 
**
52,619,883

INTEL CORP SR UNSECURED 10/16 1.95
10/1/2016
1.95%
**
509,699

INTEL CORP SR UNSECURED 10/21 3.3
10/1/2021
3.3%
**
62,918

INTEL CORP SR UNSECURED 12/17 1.35
12/15/2017
1.35%
**
5,554,856

INTER PARFUMS INC COMMON STOCK USD.001
 
 
**
73,154

INTERACTIVE BROKERS GRO CL A COMMON STOCK USD.01
 
 
**
555,234

INTERFACE INC COMMON STOCK USD.1
 
 
**
1,503,332

INTERCONTINENTAL EXCHANGE IN COMMON STOCK USD.01
 
 
**
26,577,948

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/23 4
10/15/2023
4%
**
5,328,337

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/18 2.5
10/15/2018
2.5%
**
231,136

MICHELIN (CGDE) COMMON STOCK EUR2.
 
 
**
788,939

INTERNAP CORP COMMON STOCK USD.001
 
 
**
42,427

INTERNATIONAL BANCSHARES CRP COMMON STOCK USD1.
 
 
**
176,809

INTL BUSINESS MACHINES CORP COMMON STOCK USD.2
 
 
**
11,743,245

IBM CORP SR UNSECURED 11/19 8.375
11/1/2019
8.38%
**
1,542,405

IBM CORP SR UNSECURED 11/39 5.6
11/30/2039
5.6%
**
67,635

IBM CORP SR UNSECURED 01/16 2
1/5/2016
2%
**
162,348

IBM CORP SR UNSECURED 07/16 1.95
7/22/2016
1.95%
**
2,504,267

IBM CORP SR UNSECURED 02/17 1.25
2/6/2017
1.25%
**
4,262,006

IBM CORP SR UNSECURED 06/42 4
6/20/2042
4%
**
107,542

INTL LEASE FINANCE CORP SR UNSECURED 09/15 8.625
9/15/2015
8.63%
**
1,980,750

INTL LEASE FINANCE CORP SR SECURED 144A 09/16 6.75
9/1/2016
6.75%
**
1,533,600

INTL LEASE FINANCE CORP SR UNSECURED 03/17 8.75
3/15/2017
8.75%
**
110,750

INTL LEASE FINANCE CORP SR UNSECURED 04/15 4.875
4/1/2015
4.88%
**
100,725

INTERNATIONAL PAPER CO SR UNSECURED 06/18 7.95
6/15/2018
7.95%
**
1,231,965

INTERNATIONAL PAPER CO SR UNSECURED 02/22 4.75
2/15/2022
4.75%
**
1,565,574

INTL RECTIFIER CORP COMMON STOCK USD1.
 
 
**
1,676,997

INTL SHIPHOLDING CORP COMMON STOCK USD1.
 
 
**
10,683

INTL SPEEDWAY CORP CL A COMMON STOCK USD.01
 
 
**
84,347

INTERPUBLIC GROUP OF COS INC COMMON STOCK USD.1
 
 
**
2,301,316

INTERSIL CORP A COMMON STOCK USD.01
 
 
**
180,947

INTERVAL LEISURE GROUP COMMON STOCK USD.01
 
 
**
8,774

INTEVAC INC COMMON STOCK NPV
 
 
**
18,314

INTESA SANPAOLO SPA SR UNSECURED 144A 08/15 3.625
8/12/2015
3.63%
**
1,783,771

INTESA SANPAOLO SPA COMPANY GUAR 01/16 3.125
1/15/2016
3.13%
**
1,462,759

INTESA SANPAOLO SPA COMPANY GUAR 01/17 2.375
1/13/2017
2.38%
**
14,069,078

INTESA SANPAOLO SPA SUBORDINATED 144A 06/24 5.017
6/26/2024
5.02%
**
7,385,619

INTESA SANPAOLO NEW YORK CERT OF DEPO 04/15 1.65
4/7/2015
1.65%
**
1,402,598

INTESA SANPAOLO NEW YORK CERT OF DEPO 04/16 VAR
4/11/2016
1.61%
**
4,908,570

INTL FCSTONE INC COMMON STOCK USD.01
 
 
**
35,833

INTRALINKS HOLDINGS INC COMMON STOCK USD.001
 
 
**
1,910,489

INTUIT INC COMMON STOCK USD.01
 
 
**
41,230,134


100
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
INTUIT INC SR UNSECURED 03/17 5.75
3/15/2017
5.75%
**
1,230,887

INVACARE CORP COMMON STOCK USD.25
 
 
**
53,247

INTREPID POTASH INC COMMON STOCK USD.001
 
 
**
93,898

INVENSENSE INC COMMON STOCK USD.001
 
 
**
2,070,548

OC OERLIKON CORP AG REG COMMON STOCK CHF1.0
 
 
**
523,197

INVESTMENT TECHNOLOGY GROUP COMMON STOCK USD.01
 
 
**
72,558

INVESTORS REAL ESTATE TRUST REIT NPV
 
 
**
62,803

DEUTSCHE POST AG REG COMMON STOCK NPV
 
 
**
944,467

INVESTORS TITLE CO COMMON STOCK NPV
 
 
**
14,834

ION GEOPHYSICAL CORP COMMON STOCK USD.01
 
 
**
30,159

IRIDIUM COMMUNICATIONS INC COMMON STOCK USD.001
 
 
**
90,938

IROBOT CORP COMMON STOCK USD.01
 
 
**
77,946

IRONWOOD PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
1,841,617

ITAU UNIBANCO H SPON PRF ADR ADR NPV
 
 
**
3,017,175

ITAU UNIBANCO HLDG SA/KY SUBORDINATED 144A 03/22 5.65
3/19/2022
5.65%
**
1,468,125

ITC HOLDINGS CORP COMMON STOCK NPV
 
 
**
2,421,757

IXYS CORPORATION COMMON STOCK USD.01
 
 
**
40,030

J + J SNACK FOODS CORP COMMON STOCK NPV
 
 
**
5,029,525

321 HENDERSON RECEIVABLES LLC HENDR 2010 3A A 144A
12/15/2048
3.82%
**
2,494,906

JPMORGAN CHASE + CO SR UNSECURED 10/15 1.1
10/15/2015
1.1%
**
9,016,182

JPMORGAN CHASE + CO SR UNSECURED 02/16 VAR
2/26/2016
0.85%
**
3,406,732

JPMORGAN CHASE + CO SR UNSECURED 02/17 1.35
2/15/2017
1.35%
**
7,842,827

JPMORGAN CHASE + CO SR UNSECURED 02/17 VAR
2/15/2017
0.75%
**
22,742,430

JPMORGAN CHASE + CO UNSECURED 04/18 VAR
4/25/2018
0.78%
**
6,584,866

JP MORGAN MORTGAGE TRUST JPMMT 2004 A3 1A1
7/25/2034
2.35%
**
684,679

JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1
2/25/2035
2.64%
**
611,307

JPMORGAN CHASE + CO COMMON STOCK USD1.0
 
 
**
32,994,930

JPMORGAN CHASE + CO SUBORDINATED 10/15 5.15
10/1/2015
5.15%
**
431,678

JPMORGAN CHASE + CO SUBORDINATED 06/17 6.125
6/27/2017
6.13%
**
5,627,539

JPMORGAN CHASE + CO SR UNSECURED 01/18 6
1/15/2018
6%
**
6,080,885

JPMORGAN CHASE + CO SR UNSECURED 04/19 6.3
4/23/2019
6.3%
**
232,315

JPMORGAN CHASE + CO SR UNSECURED 01/15 3.7
1/20/2015
3.7%
**
2,604,360

JPMORGAN CHASE + CO SR UNSECURED 07/20 4.4
7/22/2020
4.4%
**
915,961

JPMORGAN CHASE + CO SR UNSECURED 10/20 4.25
10/15/2020
4.25%
**
5,590,520

JPMORGAN CHASE + CO SR UNSECURED 03/16 3.45
3/1/2016
3.45%
**
23,401,988

JPMORGAN CHASE + CO SR UNSECURED 05/21 4.625
5/10/2021
4.63%
**
1,650,894

JPMORGAN CHASE + CO SR UNSECURED 07/16 3.15
7/5/2016
3.15%
**
9,847,636

JPMORGAN CHASE + CO SR UNSECURED 01/22 4.5
1/24/2022
4.5%
**
545,876

JPMORGAN CHASE + CO SR UNSECURED 09/22 3.25
9/23/2022
3.25%
**
995,767

JPMORGAN CHASE + CO SR UNSECURED 01/18 VAR
1/25/2018
1.13%
**
8,264,395

JPMORGAN CHASE + CO SR UNSECURED 01/23 3.2
1/25/2023
3.2%
**
1,581,782

JPMORGAN CHASE + CO SUBORDINATED 05/23 3.375
5/1/2023
3.38%
**
306,687

JPMORGAN CHASE + CO SR UNSECURED 05/18 1.625
5/15/2018
1.63%
**
5,192,266

JPMORGAN CHASE + CO SR UNSECURED 05/24 3.625
5/13/2024
3.63%
**
5,737,295

JPMORGAN CHASE + CO SUBORDINATED 09/24 3.875
9/10/2024
3.88%
**
4,113,498

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP2 AM
7/15/2042
4.78%
**
755,846

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP6 A4
4/15/2043
5.48%
**
6,305,728

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP6 A1A
4/15/2043
5.47%
**
13,206,250


101
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP6 AM
4/15/2043
5.53%
**
198,649

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 A4
9/12/2037
4.9%
**
530,447

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 ASB
9/12/2037
4.85%
**
66,149

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 AM
9/12/2037
4.95%
**
285,106

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 A3A2
9/12/2037
4.93%
**
979,657

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP4 A4
10/15/2042
4.92%
**
4,671,791

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP4 AM
10/15/2042
5%
**
1,662,701

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB13 A3A1
1/12/2043
5.24%
**
512,583

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB13 A4
1/12/2043
5.24%
**
5,796,057

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP5 AM
12/15/2044
5.28%
**
5,118,606

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 CB14 ASB
12/12/2044
5.51%
**
442,164

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP7 ASB
4/15/2045
5.87%
**
395,871

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 CB16 AM
5/12/2045
5.59%
**
169,966

JMP GROUP LLC COMMON STOCK USD.001
 
 
**
17,183

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LDPX A1A
1/15/2049
5.44%
**
5,425,015

JABIL CIRCUIT INC COMMON STOCK USD.001
 
 
**
407,239

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD11 A2
6/15/2049
5.77%
**
150,444

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2011 C5 A2
8/15/2046
3.15%
**
2,810,376

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 C10 A4
12/15/2047
2.88%
**
5,681,048

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 LC11 A4
4/15/2046
2.69%
**
8,333,810

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 B
11/15/2045
4.93%
**
2,614,918

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 C
11/15/2045
5.08%
**
588,254

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C17 B
1/15/2047
4.89%
**
331,554

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C22 C
9/15/2047
4.56%
**
1,343,367

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C23 AS
9/15/2047
4.2%
**
6,602,442

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 PHH C 144A
8/15/2027
2.26%
**
2,040,901

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 FL6 A 144A
11/15/2031
1.56%
**
15,002,580

PERNOD RICARD SA COMMON STOCK EUR1.55
 
 
**
6,227,013

JACKSON NATL LIFE GLOBAL SR SECURED 144A 02/17 1.25
2/21/2017
1.25%
**
9,948,580

JACKSON NATL LIFE GLOBAL SECURED 144A 04/19 2.3
4/16/2019
2.3%
**
6,989,759

JACOBS ENGINEERING GROUP INC COMMON STOCK USD1.
 
 
**
2,998,252

JARDEN CORP COMMON STOCK USD.01
 
 
**
8,517,373

KUONI REISEN HLDG REG(CAT B) COMMON STOCK CHF1.
 
 
**
488,112

JEAN COUTU GROUP INC CLASS A COMMON STOCK NPV
 
 
**
669,712

JEFFERIES GROUP LLC SR UNSECURED 03/16 5.5
3/15/2016
5.5%
**
72,349

JEFFERIES GROUP LLC SR UNSECURED 07/19 8.5
7/15/2019
8.5%
**
53,924

JEFFERIES GROUP LLC SR UNSECURED 04/21 6.875
4/15/2021
6.88%
**
28,419

JEFFERIES GROUP LLC SR UNSECURED 11/15 3.875
11/9/2015
3.88%
**
561,622

JEFFERIES GROUP LLC SR UNSECURED 04/18 5.125
4/13/2018
5.13%
**
131,826

JEFFERIES GROUP LLC SR UNSECURED 01/23 5.125
1/20/2023
5.13%
**
2,033,036

MERCK KGAA COMMON STOCK NPV
 
 
**
7,008,354

JETBLUE AIRWAYS CORP COMMON STOCK USD.01
 
 
**
1,322,708

JOHN DEERE OWNER TRUST 11/18 1.07
11/15/2018
1.07%
**
8,084,185

JOHN DEERE OWNER TRUST JDOT 2013 B A3
8/15/2017
0.87%
**
1,177,451

JOHN DEERE OWNER TRUST JDOT 2012 B A3
7/15/2016
0.53%
**
1,028,077

JOHN DEERE OWNER TRUST JDOT 2014 A A3
4/16/2018
0.92%
**
2,618,800

JOHNSON + JOHNSON COMMON STOCK USD1.
 
 
**
28,935,774

JOHNSON + JOHNSON SR UNSECURED 11/17 1.125
11/21/2017
1.13%
**
3,783,672


102
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
JOHNSON CONTROLS INC COMMON STOCK USD.01388
 
 
**
25,908,886

JOHNSON CONTROLS INC SR UNSECURED 01/16 5.5
1/15/2016
5.5%
**
2,293,423

JOHNSON CONTROLS INC SR UNSECURED 12/16 2.6
12/1/2016
2.6%
**
3,177,131

JOHNSON CONTROLS INC SR UNSECURED 11/17 1.4
11/2/2017
1.4%
**
2,104,710

JOHNSON OUTDOORS INC A COMMON STOCK USD.05
 
 
**
28,766

EUROCOMMERCIAL PROPERTIE CV DUTCH CERT EUR5.0
 
 
**
575,377

SIKA AG BR COMMON STOCK CHF.6
 
 
**
534,812

JOY GLOBAL INC COMMON STOCK USD1.
 
 
**
1,418,860

J2 GLOBAL INC COMMON STOCK USD.01
 
 
**
5,115,000

JP MORGAN CHASE BANK NA SR UNSECURED 06/17 VAR
6/2/2017
0.65%
**
497,600

JP MORGAN CHASE BANK NA SR UNSECURED 06/17 VAR
6/2/2017
1%
**
796,159

JPMORGAN CHASE + CO SR UNSECURED 10/19 2.2
10/22/2019
2.2%
**
5,155,160

SKANDINAVISKA ENSKILDA BAN A COMMON STOCK SEK10.0
 
 
**
773,917

JUNIPER NETWORKS INC SR UNSECURED 03/16 3.1
3/15/2016
3.1%
**
2,855,350

SOLVAY SA COMMON STOCK NPV
 
 
**
343,560

KAR AUCTION SERVICES INC COMMON STOCK USD.01
 
 
**
1,179,209

KBR INC COMMON STOCK USD.001
 
 
**
218,909

KCG HOLDINGS INC CL A COMMON STOCK USD.01
 
 
**
137,319

KLA TENCOR CORP SR UNSECURED 11/17 2.375
11/1/2017
2.38%
**
3,248,021

KLA TENCOR CORP SR UNSECURED 11/21 4.125
11/1/2021
4.13%
**
3,257,376

KMG CHEMICALS INC COMMON STOCK USD.01
 
 
**
22,540

K12 INC COMMON STOCK USD.0001
 
 
**
30,411

KADANT INC COMMON STOCK USD.01
 
 
**
2,051,212

SCHNEIDER ELECTRIC SE COMMON STOCK EUR4.0
 
 
**
6,334,474

VIVENDI SA COMMON STOCK EUR5.5
 
 
**
661,850

KAMAN CORP COMMON STOCK USD1.
 
 
**
106,840

SAP SE COMMON STOCK NPV
 
 
**
5,099,086

KANSAS CITY POWER + LT SR UNSECURED 06/17 5.85
6/15/2017
5.85%
**
302,839

KANSAS CITY POWER + LT SR UNSECURED 10/41 5.3
10/1/2041
5.3%
**
74,975

KANSAS CITY POWER + LT SR UNSECURED 03/23 3.15
3/15/2023
3.15%
**
24,079

STOREBRAND ASA COMMON STOCK NOK5.
 
 
**
206,414

KAPSTONE PAPER AND PACKAGING COMMON STOCK USD.0001
 
 
**
273,374

KB HOME COMMON STOCK USD1.
 
 
**
145,888

KELLOGG CO COMMON STOCK USD.25
 
 
**
3,151,198

KELLOGG CO SR UNSECURED 05/16 4.45
5/30/2016
4.45%
**
210,337

KELLOGG CO SR UNSECURED 12/20 4
12/15/2020
4%
**
96,328

KELLOGG CO SR UNSECURED 11/16 1.875
11/17/2016
1.88%
**
608,299

KELLOGG CO SR UNSECURED 05/15 1.125
5/15/2015
1.13%
**
3,760,050

KELLOGG CO SR UNSECURED 05/17 1.75
5/17/2017
1.75%
**
482,511

KELLY SERVICES INC A COMMON STOCK USD1.
 
 
**
54,073

KEMET CORP COMMON STOCK USD.01
 
 
**
12,482

KEMPER CORP COMMON STOCK USD.1
 
 
**
188,747

KENNAMETAL INC COMMON STOCK USD1.25
 
 
**
253,107

KENTUCKY UTILITIES CO 1ST MORTGAGE 11/15 1.625
11/1/2015
1.63%
**
201,632

KERR MCGEE CORP COMPANY GUAR 07/24 6.95
7/1/2024
6.95%
**
2,309,990

KEURIG GREEN MOUNTAIN INC COMMON STOCK USD.1
 
 
**
517,002

KEY ENERGY SERVICES INC COMMON STOCK USD.1
 
 
**
17,118

KEY TRONIC CORP COMMON STOCK NPV
 
 
**
9,846


103
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
KEYCORP SR UNSECURED 03/21 5.1
3/24/2021
5.1%
**
445,796

KEYCORP SR UNSECURED 12/18 2.3
12/13/2018
2.3%
**
4,677,090

KEYERA CORP COMMON STOCK NPV
 
 
**
132,988

KEYCORP STUDENT LOAN TRUST KSLT 2006 A 1B
12/27/2039
0.7%
**
4,560,026

KEY BANK NA SR UNSECURED 02/18 1.65
2/1/2018
1.65%
**
7,222,733

KEY BANK NA SR UNSECURED 12/19 2.5
12/15/2019
2.5%
**
4,643,944

KEYW HOLDING CORP/THE COMMON STOCK
 
 
**
408,598

KIMBALL INTERNATIONAL B COMMON STOCK USD.05
 
 
**
26,174

KILROY REALTY CORP REIT USD.01
 
 
**
382,302

SAMSUNG ELECTR GDR GDR
 
 
**
2,354,055

E.ON SE COMMON STOCK NPV
 
 
**
1,858,515

KINDER MORGAN ENER PART COMPANY GUAR 02/17 6
2/1/2017
6%
**
399,686

KINDER MORGAN ENER PART COMPANY GUAR 02/18 5.95
2/15/2018
5.95%
**
2,931,128

KINDER MORGAN ENER PART COMPANY GUAR 02/20 6.85
2/15/2020
6.85%
**
918,899

KINDER MORGAN ENER PART COMPANY GUAR 02/19 2.65
2/1/2019
2.65%
**
3,448,596

KINDER MORGAN INC W/I COMMON STOCK USD.01
 
 
**
13,048,404

KINDER MORGAN INC/DELAWA COMPANY GUAR 12/17 2
12/1/2017
2%
**
5,242,364

KINDER MORGAN INC/DELAWA COMPANY GUAR 12/19 3.05
12/1/2019
3.05%
**
2,569,410

KINDRED HEALTHCARE INC COMMON STOCK USD.25
 
 
**
117,388

KINROSS GOLD CORP COMMON STOCK NPV
 
 
**
52,914

KIRBY CORP COMMON STOCK USD.1
 
 
**
157,201

KIRKLAND S INC COMMON STOCK NPV
 
 
**
41,181

KITE REALTY GROUP TRUST REIT USD.01
 
 
**
64,809

KNOWLES CORP COMMON STOCK USD.01
 
 
**
130,349

KOHLS CORP COMMON STOCK USD.01
 
 
**
1,287,395

KONINKLIJKE PHILIPS NV SR UNSECURED 03/18 5.75
3/11/2018
5.75%
**
1,154,356

KONINKLIJKE PHILIPS NV SR UNSECURED 03/22 3.75
3/15/2022
3.75%
**
52,066

KORN/FERRY INTERNATIONAL COMMON STOCK USD.01
 
 
**
138,537

KOREA HYDRO + NUCLEAR PO SR UNSECURED 144A 09/15 3.125
9/16/2015
3.13%
**
314,559

KOREA NATIONAL OIL CORP SR UNSECURED 144A 04/17 3.125
4/3/2017
3.13%
**
205,214

KOREA LAND + HOUSING COR SR UNSECURED 144A 08/17 1.875
8/2/2017
1.88%
**
299,091

MONDELEZ INTERNATIONAL SR UNSECURED 11/31 6.5
11/1/2031
6.5%
**
71,431

MONDELEZ INTERNATIONAL SR UNSECURED 02/20 5.375
2/10/2020
5.38%
**
5,327,577

MONDELEZ INTERNATIONAL SR UNSECURED 02/16 4.125
2/9/2016
4.13%
**
746,750

KRAFT FOODS GROUP INC SR UNSECURED 06/42 5
6/4/2042
5%
**
82,560

KRAFT FOODS GROUP INC SR UNSECURED 02/20 5.375
2/10/2020
5.38%
**
7,787,780

KRAFT FOODS GROUP INC SR UNSECURED 08/18 6.125
8/23/2018
6.13%
**
450,506

KRAFT FOODS GROUP INC SR UNSECURED 06/17 2.25
6/5/2017
2.25%
**
20,330

KRAFT FOODS GROUP INC SR UNSECURED 06/22 3.5
6/6/2022
3.5%
**
1,660,033

KRATOS DEFENSE + SECURITY COMMON STOCK USD.001
 
 
**
19,553

KRATON PERFORMANCE POLYMERS COMMON STOCK USD.01
 
 
**
46,881

KRISPY KREME DOUGHNUTS INC COMMON STOCK NPV
 
 
**
5,313,179

KROGER CO/THE COMPANY GUAR 04/31 7.5
4/1/2031
7.5%
**
67,524

KROGER CO/THE COMPANY GUAR 01/15 4.95
1/15/2015
4.95%
**
400,470

KROGER CO/THE SR UNSECURED 01/17 2.2
1/15/2017
2.2%
**
518,108

KROGER CO/THE SR UNSECURED 01/19 2.3
1/15/2019
2.3%
**
714,831

KROGER CO/THE SR UNSECURED 01/21 3.3
1/15/2021
3.3%
**
81,183

KROGER CO/THE SR UNSECURED 02/24 4
2/1/2024
4%
**
3,188,155


104
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
KRONOS WORLDWIDE INC COMMON STOCK USD.01
 
 
**
81,401

KULICKE + SOFFA INDUSTRIES COMMON STOCK NPV
 
 
**
111,154

LB COMMERCIAL CONDUIT MORTGAGE LBCMT 2007 C3 AM
7/15/2044
5.9%
**
4,176,664

L BRANDS INC COMMON STOCK USD.5
 
 
**
21,559,605

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C6 A1A
9/15/2039
5.34%
**
4,138,453

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A2
11/15/2038
5.3%
**
2,393,702

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A3
11/15/2038
5.35%
**
7,046,138

LDR HOLDING CORP COMMON STOCK USD.001
 
 
**
292,504

LHC GROUP INC COMMON STOCK USD.01
 
 
**
57,527

LG+E AND KU ENERGY LLC SR UNSECURED 11/15 2.125
11/15/2015
2.13%
**
403,513

LG+E AND KU ENERGY LLC SR UNSECURED 11/20 3.75
11/15/2020
3.75%
**
521,478

LMI AEROSPACE INC COMMON STOCK USD.02
 
 
**
18,781

L N B BANCORP INC COMMON STOCK USD1.
 
 
**
18,481

LSB INDUSTRIES INC COMMON STOCK USD.1
 
 
**
64,452

LSI INDUSTRIES INC COMMON STOCK NPV
 
 
**
16,703

L 3 COMMUNICATIONS CORP COMPANY GUAR 05/17 1.5
5/28/2017
1.5%
**
2,577,394

CAISSE CENTRALE DESJARDN COMPANY GUAR 144A 10/15 VAR
10/29/2015
0.51%
**
8,301,942

CAISSE CENTRALE DESJARDN SR UNSECURED REGS 09/17 1.55
9/12/2017
1.55%
**
19,917,040

CAISSE CENTRALE DESJARDN SR UNSECURED 144A 09/17 VAR
9/12/2017
0.59%
**
4,513,748

LA QUINTA HOLDINGS INC COMMON STOCK USD.01
 
 
**
2,786,487

LA Z BOY INC COMMON STOCK USD1.
 
 
**
118,284

LABORATORY CORP OF AMER SR UNSECURED 12/15 5.625
12/15/2015
5.63%
**
312,080

LAB CORP OF AMER HLDGS SR UNSECURED 05/16 3.125
5/15/2016
3.13%
**
513,130

LAB CORP OF AMER HLDGS SR UNSECURED 08/17 2.2
8/23/2017
2.2%
**
272,357

LAB CORP OF AMER HLDGS SR UNSECURED 11/18 2.5
11/1/2018
2.5%
**
229,196

BAYER AG REG COMMON STOCK NPV
 
 
**
13,801,552

HENKEL AG + CO KGAA VORZUG PREFERENCE
 
 
**
234,800

BEIERSDORF AG COMMON STOCK NPV
 
 
**
4,551,681

LAKELAND BANCORP INC COMMON STOCK NPV
 
 
**
45,572

LAKELAND FINANCIAL CORP COMMON STOCK NPV
 
 
**
71,291

LAM RESEARCH CORP COMMON STOCK USD.001
 
 
**
29,243,851

STATE BANK OF INDI GDR REG S GDR
 
 
**
372,099

ELRINGKLINGER AG COMMON STOCK NPV
 
 
**
303,138

GAZPROM OAO SPON ADR ADR
 
 
**
398,454

LANDEC CORP COMMON STOCK USD.001
 
 
**
38,212

LANDS END INC COMMON STOCK USD.01
 
 
**
1,643,945

LANNETT CO INC COMMON STOCK USD.001
 
 
**
787,405

INTERPUMP GROUP SPA COMMON STOCK EUR.52
 
 
**
628,730

LAREDO PETROLEUM INC COMMON STOCK USD.01
 
 
**
1,354,867

ORANGE COMMON STOCK EUR4.
 
 
**
3,151,514

LAS VEGAS SANDS CORP COMMON STOCK USD.001
 
 
**
10,873,053

LASALLE HOTEL PROPERTIES REIT USD.01
 
 
**
3,175,559

LATAM AIRLINES GROUP SP ADR ADR
 
 
**
76,672

LATTICE SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
**
70,623

LAYNE CHRISTENSEN COMPANY COMMON STOCK USD.01
 
 
**
13,690

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2005 C2 A5
4/15/2030
5.15%
**
189,864

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2005 C7 A4
11/15/2030
5.2%
**
1,729,212

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2005 C7 AM
11/15/2040
5.26%
**
691,043


105
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C1 A4
2/15/2031
5.16%
**
5,878,937

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C1 AM
2/15/2031
5.22%
**
497,135

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C3 A1A
3/15/2039
5.64%
**
11,854,995

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 A3
9/15/2045
5.87%
**
2,745,460

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 AM
9/15/2045
6.16%
**
2,793,008

LEAR CORP COMMON STOCK USD.01
 
 
**
753,941

LEAPFROG ENTERPRISES INC COMMON STOCK USD.0001
 
 
**
20,801

LEASEPLAN CORPORATION NV SR UNSECURED 144A 05/18 2.5
5/16/2018
2.5%
**
1,800,772

RANDSTAD HOLDING NV COMMON STOCK EUR.1
 
 
**
4,536,157

ALLIANZ SE REG COMMON STOCK NPV
 
 
**
626,742

LEGACYTEXAS FINANCIAL GROUP COMMON STOCK USD.01
 
 
**
92,896

LEGG MASON INC COMMON STOCK USD.1
 
 
**
618,131

GIMV NV COMMON STOCK
 
 
**
342,144

LEHMAN XS TRUST LXS 2006 14N 3A2
8/25/2036
0.29%
**
1,383,009

HERMES INTERNATIONAL COMMON STOCK NPV
 
 
**
629,972

LENDINGCLUB CORP COMMON STOCK USD.01
 
 
**
490,137

LENNAR CORP A COMMON STOCK USD.1
 
 
**
2,298,798

KGHM POLSKA MIEDZ SA COMMON STOCK PLN10.
 
 
**
113,140

LEVEL 3 COMMUNICATIONS INC COMMON STOCK USD.01
 
 
**
284,478

DEUTSCHE LUFTHANSA REG COMMON STOCK NPV
 
 
**
409,907

LEXINGTON REALTY TRUST REIT USD.0001
 
 
**
154,181

MUENCHENER RUECKVER AG REG COMMON STOCK NPV
 
 
**
1,915,805

LEXMARK INTERNATIONAL INC A COMMON STOCK USD.01
 
 
**
245,350

SOCIETE BIC SA COMMON STOCK EUR3.82
 
 
**
786,511

LIBERTY INTERACTIVE CORP A COMMON STOCK USD.01
 
 
**
25,148,216

LIBERTY MUTUAL GROUP INC SR UNSECURED 144A 08/16 6.7
8/15/2016
6.7%
**
558,440

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 06/21 5
6/1/2021
5%
**
81,698

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 05/22 4.95
5/1/2022
4.95%
**
54,093

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 06/23 4.25
6/15/2023
4.25%
**
6,182,874

LIBERTY MEDIA CORP C COMMON STOCK USD.01
 
 
**
5,886,792

LIFE TIME FITNESS INC COMMON STOCK USD.02
 
 
**
214,703

LIFE TECHNOLOGIES CORP SR UNSECURED 01/16 3.5
1/15/2016
3.5%
**
202,421

LIFETIME BRANDS INC COMMON STOCK USD.01
 
 
**
22,910

ELI LILLY + CO COMMON STOCK NPV
 
 
**
20,453,810

LIMELIGHT NETWORKS INC COMMON STOCK USD.001
 
 
**
27,825

LIMONEIRA CO COMMON STOCK USD.01
 
 
**
35,846

DASSAULT SYSTEMES SA COMMON STOCK EUR.5
 
 
**
1,512,081

LINCOLN NATIONAL CORP SR UNSECURED 07/19 8.75
7/1/2019
8.75%
**
187,430

LINCOLN NATIONAL CORP SR UNSECURED 02/20 6.25
2/15/2020
6.25%
**
87,022

LINCOLN NATIONAL CORP SR UNSECURED 06/21 4.85
6/24/2021
4.85%
**
27,540

LINCOLN NATIONAL CORP SR UNSECURED 03/22 4.2
3/15/2022
4.2%
**
5,310,870

LINDSAY CORP COMMON STOCK USD1.
 
 
**
105,460

LINN CO LLC COMMON STOCK
 
 
**
119,048

LINKEDIN CORP A COMMON STOCK USD.0001
 
 
**
9,167,496

LIQUIDITY SERVICES INC COMMON STOCK USD.001
 
 
**
25,123

NORDEA BANK AB COMMON STOCK NPV
 
 
**
352,488

LLOYDS BANK PLC COMPANY GUAR 11/18 2.3
11/27/2018
2.3%
**
3,366,502

LLOYDS BANK PLC COMPANY GUAR 01/16 4.875
1/21/2016
4.88%
**
998,635


106
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
LLOYDS BANK PLC COMPANY GUAR 144A 01/20 5.8
1/13/2020
5.8%
**
4,391,071

LOBLAW COMPANIES LTD COMMON STOCK NPV
 
 
**
3,025,437

LOCKHEED MARTIN CORP COMMON STOCK USD1.
 
 
**
11,213,159

LOCKHEED MARTIN CORP COMPANY GUAR 05/16 7.65
5/1/2016
7.65%
**
119,791

LOCKHEED MARTIN CORP SR UNSECURED 11/19 4.25
11/15/2019
4.25%
**
664,923

LOCKHEED MARTIN CORP SR UNSECURED 09/16 2.125
9/15/2016
2.13%
**
509,137

LOCKHEED MARTIN CORP SR UNSECURED 09/21 3.35
9/15/2021
3.35%
**
93,228

LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 4 AV1
8/25/2033
0.79%
**
3,403,467

LORILLARD INC COMMON STOCK USD.01
 
 
**
5,613,493

LORILLARD TOBACCO CO COMPANY GUAR 06/19 8.125
6/23/2019
8.13%
**
3,867,323

LORILLARD TOBACCO CO COMPANY GUAR 08/16 3.5
8/4/2016
3.5%
**
12,719,052

LOS ANGELES CA CMNTY CLG DIST LOSHGR 08/42 FIXED 6.6
8/1/2042
6.6%
**
446,350

LOS ANGELES CA CMNTY CLG DIST LOSHGR 08/49 FIXED 6.75
8/1/2049
6.75%
**
417,301

LOS ANGELES CA DEPT OF ARPTS LOSAPT 05/39 FIXED 6.582
5/15/2039
6.58%
**
52,540

LOS ANGELES CA UNIF SCH DIST LOSSCD 07/34 FIXED 6.758
7/1/2034
6.76%
**
557,344

RAMIRENT OYJ COMMON STOCK NPV
 
 
**
633,752

AKZO NOBEL COMMON STOCK EUR2.
 
 
**
4,931,710

LOUISIANA PACIFIC CORP COMMON STOCK USD1.
 
 
**
232,536

LUBY S INC COMMON STOCK USD.32
 
 
**
13,059

BANCO BILBAO VIZCAYA ARGENTA COMMON STOCK EUR.49
 
 
**
489,632

LUMOS NETWORKS CORP COMMON STOCK USD.01
 
 
**
37,929

LYDALL INC COMMON STOCK USD.1
 
 
**
57,172

WILLIAM LYON HOMES CL A COMMON STOCK USD.01
 
 
**
51,932

LYONDELLBASELL IND NV SR UNSECURED 11/21 6
11/15/2021
6%
**
2,042,952

MBIA INC COMMON STOCK USD1.
 
 
**
164,279

MB FINANCIAL INC COMMON STOCK USD.01
 
 
**
235,771

MASTR ASSET SECURITIZATION TRU MASTR 2003 11 6A16
12/25/2033
5.25%
**
1,468,609

MDC HOLDINGS INC COMMON STOCK USD.01
 
 
**
116,653

MANUF + TRADERS TRUST CO SR UNSECURED 03/18 1.45
3/7/2018
1.45%
**
247,319

MANUF + TRADERS TRUST CO SR UNSECURED 07/17 1.4
7/25/2017
1.4%
**
5,901,348

M+T BANK AUTO RECEIVABLES TRUS MTBAT 2013 1A A3 144A
11/15/2017
1.06%
**
601,870

MGM RESORTS INTL COMPANY GUAR 04/16 6.875
4/1/2016
6.88%
**
208,000

M/I HOMES INC COMMON STOCK USD.01
 
 
**
56,482

MKS INSTRUMENTS INC COMMON STOCK NPV
 
 
**
1,937,421

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 6 A4
3/12/2051
5.49%
**
289,872

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 4 A3
12/12/2049
5.17%
**
4,003,014

MRC GLOBAL INC COMMON STOCK USD.01
 
 
**
1,579,191

MYR GROUP INC/DELAWARE COMMON STOCK USD.01
 
 
**
58,965

MACATAWA BANK CORP COMMON STOCK NPV
 
 
**
18,398

CNP ASSURANCES COMMON STOCK EUR1.
 
 
**
1,201,431

MACK CALI REALTY CORP REIT USD.01
 
 
**
115,256

JUNGHEINRICH PRFD PREFERENCE
 
 
**
781,385

JPMCB LIQUIDITY FUND JP MORGAN SHORT TERM EQUITY IN
 
 
**
465,444,480

ORANGE POLSKA SA COMMON STOCK PLN3.0
 
 
**
116,354

SECURITAS AB B SHS COMMON STOCK SEK1.
 
 
**
439,176

MACQUARIE BANK LTD SR UNSECURED 144A 02/17 5
2/22/2017
5%
**
645,295

MACQUARIE BANK LTD SR UNSECURED 144A 07/15 3.45
7/27/2015
3.45%
**
2,031,626

MACQUARIE BANK LTD SR UNSECURED 144A 08/16 2
8/15/2016
2%
**
404,872


107
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
MACQUARIE BANK LTD SR UNSECURED 144A 10/17 1.6
10/27/2017
1.6%
**
5,006,877

MACYS RETAIL HLDGS INC COMPANY GUAR 07/17 7.45
7/15/2017
7.45%
**
272,855

STEVEN MADDEN LTD COMMON STOCK USD.0001
 
 
**
2,031,709

FORTUM OYJ COMMON STOCK EUR3.4
 
 
**
1,246,857

MAGELLAN HEALTH INC COMMON STOCK USD.01
 
 
**
3,560,199

MAGNA INTERNATIONAL INC COMMON STOCK NPV
 
 
**
989,077

MAGNA INTERNATIONAL INC SR UNSECURED 06/24 3.625
6/15/2024
3.63%
**
1,503,066

MAGNACHIP SEMICONDUCT COMMON STOCK USD.01
 
 
**
41,269

MAGNIT PJSC SPON GDR REGS DEPOSITORY RECEIPT
 
 
**
238,259

UCB SA COMMON STOCK NPV
 
 
**
4,908,635

MAINSOURCE FINANCIAL GROUP I COMMON STOCK NPV
 
 
**
42,886

ALTEN COMMON STOCK NPV
 
 
**
474,806

MANITOWOC COMPANY INC COMMON STOCK USD.01
 
 
**
174,413

MANPOWERGROUP INC COMMON STOCK USD.01
 
 
**
913,478

MANTECH INTERNATIONAL CORP A COMMON STOCK USD.01
 
 
**
74,366

MANUF + TRADERS TRUST CO SUBORDINATED 12/17 6.625
12/4/2017
6.63%
**
282,832

MANULIFE FINANCIAL CORP SR UNSECURED 09/15 3.4
9/17/2015
3.4%
**
3,359,423

GAS NATURAL SDG SA COMMON STOCK EUR1.
 
 
**
1,085,559

MARATHON OIL CORP COMMON STOCK USD1.
 
 
**
4,615,104

MARATHON OIL CORP SR UNSECURED 03/18 5.9
3/15/2018
5.9%
**
222,299

MARATHON OIL CORP SR UNSECURED 11/15 0.9
11/1/2015
0.9%
**
3,419,991

MARATHON OIL CORP SR UNSECURED 11/22 2.8
11/1/2022
2.8%
**
79,602

MARATHON PETROLEUM CORP SR UNSECURED 03/16 3.5
3/1/2016
3.5%
**
184,454

WOLTERS KLUWER COMMON STOCK EUR.12
 
 
**
195,429

SANOFI AVENTIS COMMON STOCK EUR2.
 
 
**
6,380,744

MARINEMAX INC COMMON STOCK USD.001
 
 
**
49,323

INVESTOR AB B SHS COMMON STOCK NPV
 
 
**
165,185

HENNES + MAURITZ AB B SHS COMMON STOCK NPV
 
 
**
3,534,777

TDC A/S COMMON STOCK DKK1.
 
 
**
174,391

WIENERBERGER AG COMMON STOCK NPV
 
 
**
328,222

MARKEL CORP COMMON STOCK NPV
 
 
**
2,606,400

MARKEL CORPORATION SR UNSECURED 07/22 4.9
7/1/2022
4.9%
**
4,392,544

BANCO SANTANDER SA COMMON STOCK EUR.5
 
 
**
3,028,697

MARKETAXESS HOLDINGS INC COMMON STOCK USD.003
 
 
**
2,330,001

MARKETO INC COMMON STOCK USD.0001
 
 
**
3,652,702

MARLIN BUSINESS SERVICES INC COMMON STOCK USD.01
 
 
**
25,252

MARRIOTT VACATIONS WORLD COMMON STOCK USD.01
 
 
**
1,951,234

MARSH + MCLENNAN COS INC SR UNSECURED 06/24 3.5
6/3/2024
3.5%
**
582,950

MARSH + MCLENNAN COS INC SR UNSECURED 09/19 2.35
9/10/2019
2.35%
**
300,439

MARRIOTT INTERNATIONAL CL A COMMON STOCK USD.01
 
 
**
7,695,631

MARRIOTT INTERNATIONAL SR UNSECURED 10/20 3.375
10/15/2020
3.38%
**
5,067,711

MLP AG COMMON STOCK NPV
 
 
**
192,590

RED ELECTRICA CORPORACION SA COMMON STOCK EUR2.
 
 
**
1,060,839

MARTEN TRANSPORT LTD COMMON STOCK USD.01
 
 
**
67,220

MELIA HOTELS INTERNATIONAL COMMON STOCK EUR.2
 
 
**
635,758

LINDE AG COMMON STOCK NPV
 
 
**
3,875,282

MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1
4/25/2038
1.18%
**
61,772

MASS INSTITUTE OF TECH UNSECURED 07/38 3.959
7/1/2038
3.96%
**
8,484,232


108
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
HON HAI PRECISION GDR REG S GDR
 
 
**
1,618,395

MASSMUTUTAL GLOB FNDG II SR SECURED 144A 07/18 5.25
7/31/2018
5.25%
**
2,542,526

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/16 3.125
4/14/2016
3.13%
**
669,389

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/17 2
4/5/2017
2%
**
344,790

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 10/22 2.5
10/17/2022
2.5%
**
97,340

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 08/18 2.1
8/2/2018
2.1%
**
100,943

MASTEC INC COMMON STOCK USD.1
 
 
**
120,511

MASTERCARD INC CLASS A COMMON STOCK USD.0001
 
 
**
53,920,393

MASTERCARD INC SR UNSECURED 04/24 3.375
4/1/2024
3.38%
**
2,894,609

MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1
12/25/2033
2.48%
**
890,137

MASTR ALTERNATIVE LOANS TRUST MALT 2004 8 7A1
9/25/2019
5%
**
185,454

MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2
11/25/2036
0.28%
**
2,964,030

MATADOR RESOURCES CO COMMON STOCK USD.01
 
 
**
1,464,490

MATERION CORP COMMON STOCK NPV
 
 
**
72,222

MATRIX SERVICE CO COMMON STOCK USD.01
 
 
**
36,605

MATSON INC COMMON STOCK NPV
 
 
**
145,053

MATTEL INC COMMON STOCK USD1.
 
 
**
755,677

MATTHEWS INTL CORP CLASS A COMMON STOCK USD1.0
 
 
**
154,625

GFK SE COMMON STOCK NPV
 
 
**
498,071

MAVENIR SYSTEMS INC COMMON STOCK USD.001
 
 
**
2,323,465

MAXIM INTEGRATED PRODUCT SR UNSECURED 11/18 2.5
11/15/2018
2.5%
**
10,975,239

MAXIMUS INC COMMON STOCK NPV
 
 
**
5,497,162

MBT FINANCIAL CORP COMMON STOCK NPV
 
 
**
11,252

MCCLATCHY CO CLASS A COMMON STOCK USD.01
 
 
**
13,951

MCDERMOTT INTL INC COMMON STOCK USD1.
 
 
**
44,741

MCDONALD S CORP COMMON STOCK USD.01
 
 
**
6,641,831

MCDONALD S CORP SR UNSECURED 03/18 5.35
3/1/2018
5.35%
**
622,324

MCDONALD S CORP SR UNSECURED 07/40 4.875
7/15/2040
4.88%
**
89,002

MCDONALD S CORP SR UNSECURED 05/15 0.75
5/29/2015
0.75%
**
6,009,396

MCGRATH RENTCORP COMMON STOCK NPV
 
 
**
91,873

MCGRAW HILL FINANCIAL INC COMMON STOCK USD1.
 
 
**
6,832,596

MCKESSON CORP SR UNSECURED 03/17 5.7
3/1/2017
5.7%
**
1,411,782

MCKESSON CORP SR UNSECURED 03/17 1.292
3/10/2017
1.29%
**
3,057,303

MCKESSON CORP SR UNSECURED 03/19 2.284
3/15/2019
2.28%
**
217,545

MCKESSON CORP COMMON STOCK USD.01
 
 
**
11,320,375

MCKESSON CORP SR UNSECURED 03/21 4.75
3/1/2021
4.75%
**
320,646

MEADOWBROOK INSURANCE GROUP COMMON STOCK USD.01
 
 
**
43,358

MEADWESTVACO CORP COMMON STOCK USD.01
 
 
**
746,196

MEDASSETS INC COMMON STOCK USD.01
 
 
**
99,235

MEDCO HEALTH SOLUTIONS COMPANY GUAR 03/18 7.125
3/15/2018
7.13%
**
346,367

MEDCO HEALTH SOLUTIONS COMPANY GUAR 09/20 4.125
9/15/2020
4.13%
**
127,424

MEDIA GENERAL INC COMMON STOCK NPV
 
 
**
123,467

MEDICAL PROPERTIES TRUST INC REIT USD.001
 
 
**
162,425

MEDICINES COMPANY COMMON STOCK USD.001
 
 
**
3,250,312

MEDIDATA SOLUTIONS INC COMMON STOCK USD.01
 
 
**
3,628,045

MEDNAX INC COMMON STOCK USD.01
 
 
**
7,050,962

MEDTRONIC INC COMMON STOCK USD.1
 
 
**
20,318,813

MEDTRONIC INC SR UNSECURED 03/20 4.45
3/15/2020
4.45%
**
1,283,677


109
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
MEDTRONIC INC SR UNSECURED 03/22 3.125
3/15/2022
3.13%
**
5,326,024

MEDTRONIC INC SR UNSECURED 04/23 2.75
4/1/2023
2.75%
**
418,089

MEDTRONIC INC SR UNSECURED 02/17 0.875
2/27/2017
0.88%
**
3,819,259

MEDTRONIC INC SR UNSECURED 144A 03/20 2.5
3/15/2020
2.5%
**
8,883,240

MEDTRONIC INC SR UNSECURED 144A 03/18 1.5
3/15/2018
1.5%
**
9,809,893

MEDTRONIC INC SR UNSECURED 144A 03/22 3.15
3/15/2022
3.15%
**
3,139,296

MEDTRONIC INC SR UNSECURED 144A 03/25 3.5
3/15/2025
3.5%
**
13,145,165

MEMORIAL RESOURCE DEVELOPMEN COMMON STOCK USD.01
 
 
**
1,371,632

MEN S WEARHOUSE INC/THE COMMON STOCK USD.01
 
 
**
218,719

MENTOR GRAPHICS CORP COMMON STOCK NPV
 
 
**
240,397

MERCADOLIBRE INC COMMON STOCK USD.001
 
 
**
111,711

MERCANTILE BANK CORP COMMON STOCK NPV
 
 
**
36,617

MERCEDES BENZ AUTO RECEIVABLES MBART 2012 1 A3
10/17/2016
0.47%
**
849,927

MERCEDES BENZ AUTO LEASE TRUST MBALT 2014 A A2A
6/15/2016
0.48%
**
—

MERCEDES BENZ AUTO LEASE TRUST MBALT 2014 A A3
12/15/2016
0.68%
**
1,053,950

MERCEDES BENZ AUTO LEASE TRUST MBALT 2013 A A3
2/15/2016
0.59%
**
309,316

MERCEDES BENZ AUTO RECEIVABLES MBART 2013 1 A3
8/15/2017
0.78%
**
17,305,418

MERCEDES BENZ AUTO RECEIVABLES MBART 2013 1 A4
11/15/2019
1.13%
**
1,002,392

MERCEDES BENZ AUTO RECEIVABLES MBART 2014 1 A4
11/16/2020
1.31%
**
1,777,474

MERCER INTERNATIONAL INC COMMON STOCK USD1.
 
 
**
78,103

MERCHANTS BANCSHARES INC COMMON STOCK USD.01
 
 
**
18,837

INFINEON TECHNOLOGIES AG COMMON STOCK NPV
 
 
**
1,479,953

MERCK + CO. INC. COMMON STOCK USD.5
 
 
**
24,831,030

MERCK + CO INC SR UNSECURED 01/21 3.875
1/15/2021
3.88%
**
2,629,391

MERCK + CO INC SR UNSECURED 05/16 0.7
5/18/2016
0.7%
**
7,458,626

MERCURY SYSTEMS INC COMMON STOCK USD.01
 
 
**
48,511

MEREDITH CORP COMMON STOCK USD1.
 
 
**
2,512,137

MERIT MEDICAL SYSTEMS INC COMMON STOCK NPV
 
 
**
76,373

MERRILL LYNCH MORTGAGE INVESTO MLMI 1998 C1 A3
11/15/2026
6.72%
**
3,473,993

MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1
6/25/2028
0.83%
**
364,044

MERITAGE HOMES CORP COMMON STOCK USD.01
 
 
**
140,181

BANK OF AMERICA CORP SUBORDINATED 05/16 6.05
5/16/2016
6.05%
**
6,845,957

BANK OF AMERICA CORP SR UNSECURED 08/17 6.4
8/28/2017
6.4%
**
14,372,741

BANK OF AMERICA CORP SR UNSECURED 04/18 6.875
4/25/2018
6.88%
**
27,565,920

BANK OF AMERICA CORP SR UNSECURED 01/15 5
1/15/2015
5%
**
4,104,727

MLCC MORTGAGE INVESTORS INC MLCC 2005 2 3A
10/25/2035
1.16%
**
784,152

MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1
4/25/2029
0.63%
**
21,369

MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1
4/25/2035
2.13%
**
596,299

MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2
4/25/2035
2.13%
**
1,140,824

MLCC MORTGAGE INVESTORS INC MLCC 2005 B A1
7/25/2030
0.58%
**
523,253

MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A3
6/25/2035
2.48%
**
11,823,673

MERRILL LYNCH MORTGAGE TRUST MLMT 2005 MKB2 A4
9/12/2042
5.2%
**
183,877

MERRILL LYNCH MORTGAGE TRUST MLMT 2005 MCP1 AM
6/12/2043
4.81%
**
2,992,616

MERRILL LYNCH MORTGAGE TRUST MLMT 2005 LC1 AM
1/12/2044
5.31%
**
279,568

MERRILL LYNCH MORTGAGE TRUST MLMT 2006 C1 A4
5/12/2039
5.68%
**
3,651,060

MERRILL LYNCH MORTGAGE TRUST MLMT 2006 C1 AM
5/12/2039
5.68%
**
1,417,360

MERRILL LYNCH MORTGAGE TRUST MLMT 2007 C1 A3
6/12/2050
5.83%
**
74,736

MERRILL LYNCH MORTGAGE TRUST MLMT 2007 C1 A4
6/12/2050
5.83%
**
289,995


110
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
MERRILL LYNCH MORTGAGE TRUST MLMT 2008 C1 A4
2/12/2051
5.69%
**
114,455

NOKIA OYJ COMMON STOCK NPV
 
 
**
609,315

META FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
21,550

METHANEX CORP COMMON STOCK NPV
 
 
**
1,087,444

METLIFE INC COMMON STOCK USD.01
 
 
**
9,913,561

METLIFE INC SR UNSECURED 06/35 5.7
6/15/2035
5.7%
**
62,309

METLIFE INC SR UNSECURED 06/15 5
6/15/2015
5%
**
8,841,707

METLIFE INC JR SUBORDINA 12/66 6.4
12/15/2066
6.4%
**
4,900,425

METLIFE INC SR UNSECURED 02/19 7.717
2/15/2019
7.72%
**
824,006

METLIFE INC SR UNSECURED 09/23 4.368
9/15/2023
4.37%
**
1,853,660

METLIFE INC SR UNSECURED 12/17 1
12/15/2017
1.9%
**
3,877,817

METRO BANCORP INC COMMON STOCK USD1.
 
 
**
37,195

MET LIFE GLOB FUNDING I SR SECURED 144A 09/15 2.5
9/29/2015
2.5%
**
2,485,118

MET LIFE GLOB FUNDING I SR SECURED 144A 04/22 3.875
4/11/2022
3.88%
**
301,276

MET LIFE GLOB FUNDING I SECURED 144A 04/19 2.3
4/10/2019
2.3%
**
7,026,488

MET TRANSPRTN AUTH NY REVENUE MTATRN 11/39 FIXED 6.668
11/15/2039
6.67%
**
409,653

MET WTR DIST OF STHRN CA METWTR 07/40 FIXED 6.947
7/1/2040
6.95%
**
71,536

AEGON NV COMMON STOCK EUR.12
 
 
**
993,534

MICROSOFT CORP COMMON STOCK USD.00000625
 
 
**
153,355,129

MICROSOFT CORP SR UNSECURED 09/15 1.625
9/25/2015
1.63%
**
5,045,530

MICROSOFT CORP SR UNSECURED 10/20 3
10/1/2020
3%
**
495,213

MICROSOFT CORP SR UNSECURED 02/16 2.5
2/8/2016
2.5%
**
501,582

EULER HERMES GROUP COMMON STOCK EUR.32
 
 
**
310,886

MICROFINANCIAL INC COMMON STOCK USD.01
 
 
**
14,644

MICRON TECHNOLOGY INC COMMON STOCK USD.1
 
 
**
32,725,948

MICROSEMI CORP COMMON STOCK USD.2
 
 
**
261,806

MID AMERICA APARTMENT COMM REIT USD.01
 
 
**
375,043

BERKSHIRE HATHAWAY ENERG SR UNSECURED 04/18 5.75
4/1/2018
5.75%
**
9,419,030

ERICSSON LM B SHS COMMON STOCK SEK5.0
 
 
**
908,204

SOCIETE GENERALE SA COMMON STOCK EUR1.25
 
 
**
876,346

HAULOTTE GROUP COMMON STOCK EUR.13
 
 
**
399,636

ALCATEL LUCENT COMMON STOCK EUR.05
 
 
**
5,760,185

TELIASONERA AB COMMON STOCK NPV
 
 
**
237,345

MIDSOUTH BANCORP INC COMMON STOCK USD.1
 
 
**
19,542

MIDSTATES PETROLEUM CO INC COMMON STOCK USD.01
 
 
**
6,964

MIDWESTONE FINANCIAL GROUP I COMMON STOCK USD.01
 
 
**
23,624

TELEPERFORMANCE COMMON STOCK EUR2.5
 
 
**
55,241

ASM PACIFIC TECHNOLOGY COMMON STOCK HKD.1
 
 
**
3,010,632

AWE LTD COMMON STOCK NPV
 
 
**
317,816

MILLER INDUSTRIES INC/TENN COMMON STOCK USD.01
 
 
**
23,430

AJINOMOTO CO INC COMMON STOCK
 
 
**
205,788

MINERALS TECHNOLOGIES INC COMMON STOCK USD.1
 
 
**
3,040,865

AEON FINANCIAL SERVICE CO LT COMMON STOCK
 
 
**
564,964

AFRICAN RAINBOW MINERALS LTD COMMON STOCK ZAR.05
 
 
**
16,602

RAMSAY HEALTH CARE LTD COMMON STOCK NPV
 
 
**
270,694

SINGAPORE TECH ENGINEERING COMMON STOCK NPV
 
 
**
48,751

AMMB HOLDINGS BHD COMMON STOCK MYR1.0
 
 
**
93,059

REALTEK SEMICONDUCTOR CORP COMMON STOCK TWD10.
 
 
**
97,272


111
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ASAHI KASEI CORP COMMON STOCK
 
 
**
783,748

MISSISSIPPI ST MSS 11/17 FLOATING VAR
11/1/2017
0.86%
**
1,412,684

ADVANCED SEMICONDUCTOR ENGR COMMON STOCK TWD10.
 
 
**
157,936

AUSDRILL LTD COMMON STOCK NPV
 
 
**
96,257

MISTRAS GROUP INC COMMON STOCK USD.01
 
 
**
31,931

MITCHAM INDUSTRIES INC COMMON STOCK USD.01
 
 
**
6,683

AUST AND NZ BANKING GROUP COMMON STOCK NPV
 
 
**
1,454,116

MITSUBISHI UFJ TR + BANK SR UNSECURED 144A 10/17 1.6
10/16/2017
1.6%
**
2,947,897

MITSUBISHI UFJ TR + BANK SR UNSECURED 144A 10/19 2.45
10/16/2019
2.45%
**
2,299,324

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 2 AM
6/12/2046
5.88%
**
338,930

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 A4
9/12/2049
5.7%
**
329,849

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 AMA
9/12/2049
5.85%
**
1,575,030

MIZUHO BANK LTD COMPANY GUAR 144A 04/17 1.3
4/16/2017
1.3%
**
3,192,374

MIZUHO BANK LTD COMPANY GUAR 144A 04/19 2.45
4/16/2019
2.45%
**
596,096

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 1 AM
2/12/2039
5.52%
**
2,114,139

MOBILE TELESYSTEMS SP ADR ADR
 
 
**
279,302

MOBILE MINI INC COMMON STOCK USD.01
 
 
**
348,386

WESTPAC BANKING CORP COMMON STOCK NPV
 
 
**
780,635

MODINE MANUFACTURING CO COMMON STOCK USD.625
 
 
**
59,935

MOELIS + CO CLASS A COMMON STOCK USD.01
 
 
**
1,023,449

DATANG INTL POWER GEN CO H COMMON STOCK CNY1.0
 
 
**
63,452

MOHAWK INDUSTRIES INC COMMON STOCK USD.01
 
 
**
5,732,784

MOLINA HEALTHCARE INC COMMON STOCK USD.001
 
 
**
252,394

DIGI.COM BHD COMMON STOCK MYR.01
 
 
**
218,990

MOLSON COORS BREWING CO COMPANY GUAR 05/17 2
5/1/2017
2%
**
710,930

MOLSON COORS BREWING CO COMPANY GUAR 05/22 3.5
5/1/2022
3.5%
**
242,407

MOLSON COORS BREWING CO COMPANY GUAR 05/42 5
5/1/2042
5%
**
54,274

TELSTRA CORP LTD COMMON STOCK NPV
 
 
**
1,501,554

MONARCH CASINO + RESORT INC COMMON STOCK USD.01
 
 
**
27,208

BENDIGO AND ADELAIDE BANK COMMON STOCK NPV
 
 
**
184,879

MONDELEZ INTERNATIONAL INC A COMMON STOCK NPV
 
 
**
8,475,749

MONDELEZ INTERNATIONAL SR UNSECURED 02/19 2.25
2/1/2019
2.25%
**
9,814,526

MONDELEZ INTERNATIONAL SR UNSECURED 02/24 4
2/1/2024
4%
**
1,966,982

ASTRA AGRO LESTARI TBK PT COMMON STOCK IDR500.
 
 
**
92,418

CLP HOLDINGS LTD COMMON STOCK
 
 
**
212,938

MONMOUTH REAL ESTATE INV COR REIT USD.01
 
 
**
43,118

MONOLITHIC POWER SYSTEMS INC COMMON STOCK USD.001
 
 
**
989,627

HUANENG POWER INTL INC H COMMON STOCK CNY1.0
 
 
**
92,071

MONRO MUFFLER BRAKE INC COMMON STOCK USD.01
 
 
**
2,109,122

GENTING HONG KONG LTD COMMON STOCK USD.1
 
 
**
306,600

CLICKS GROUP LTD COMMON STOCK ZAR.01
 
 
**
449,861

MONSANTO CO SR UNSECURED 04/16 2.75
4/15/2016
2.75%
**
102,279

MONSANTO CO COMMON STOCK USD.01
 
 
**
30,531,873

MONSANTO CO SR UNSECURED 04/18 5.125
4/15/2018
5.13%
**
221,331

MONSANTO CO SR UNSECURED 11/18 1.85
11/15/2018
1.85%
**
199,212

MONSANTO CO SR UNSECURED 06/17 1.15
6/30/2017
1.15%
**
8,955,724

MONSANTO CO SR UNSECURED 07/24 3.375
7/15/2024
3.38%
**
477,553

MONSTER WORLDWIDE INC COMMON STOCK USD.001
 
 
**
37,408


112
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
GOLDCREST CO LTD COMMON STOCK
 
 
**
170,465

NTT DATA CORP COMMON STOCK
 
 
**
263,606

ASX LTD COMMON STOCK NPV
 
 
**
81,720

OBIC CO LTD COMMON STOCK
 
 
**
548,100

BHP BILLITON LIMITED COMMON STOCK
 
 
**
818,558

SAM YUNG TRADING CO LTD COMMON STOCK KRW500.
 
 
**
568,390

BROTHER INDUSTRIES LTD COMMON STOCK
 
 
**
766,561

OKINAWA CELLULAR TELEPHONE COMMON STOCK
 
 
**
200,592

MOODY S CORPORATION SR UNSECURED 07/19 2.75
7/15/2019
2.75%
**
504,117

MOODY S CORPORATION SR UNSECURED 07/44 5.25
7/15/2044
5.25%
**
558,679

MOOG INC CLASS A COMMON STOCK USD1.
 
 
**
2,267,021

DONGBU INSURANCE CO LTD COMMON STOCK KRW500.
 
 
**
373,639

MIRVAC GROUP REIT NPV
 
 
**
65,283

TK CORPORATION COMMON STOCK KRW500.
 
 
**
105,746

MORGAN STANLEY BAML TRUST MSBAM 2014 C14 A2
2/15/2047
2.92%
**
5,052,081

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 A3
2/15/2046
2.66%
**
4,923,095

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 A4
2/15/2046
2.92%
**
450,017

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 AS
2/15/2046
3.21%
**
216,525

GMO INTERNET INC COMMON STOCK
 
 
**
456,146

CANON INC COMMON STOCK
 
 
**
70,471

HARVEY NORMAN HOLDINGS LTD COMMON STOCK NPV
 
 
**
69,415

CAPCOM CO LTD COMMON STOCK
 
 
**
125,717

MORGAN STANLEY COMMON STOCK USD.01
 
 
**
8,797,706

MORGAN STANLEY SR UNSECURED 04/18 6.625
4/1/2018
6.63%
**
11,959,868

MORGAN STANLEY SR UNSECURED 04/18 2.125
4/25/2018
2.13%
**
8,524,933

MORGAN STANLEY SUBORDINATED 09/26 4.35
9/8/2026
4.35%
**
2,796,611

MORGAN STANLEY SR UNSECURED 01/17 5.45
1/9/2017
5.45%
**
8,333,094

MORGAN STANLEY SR UNSECURED 04/17 5.55
4/27/2017
5.55%
**
868,347

MORGAN STANLEY SR UNSECURED 08/17 6.25
8/28/2017
6.25%
**
2,888,246

MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M1
12/25/2034
0.84%
**
9,389,207

MORGAN STANLEY SR UNSECURED 12/17 5.95
12/28/2017
5.95%
**
18,622,891

MORGAN STANLEY CAPITAL I TRUST MSC 2005 HQ7 A4
11/14/2042
5.21%
**
1,531,421

MORGAN STANLEY CAPITAL I TRUST MSC 2006 T21 A3
10/12/2052
5.19%
**
698,143

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ8 A4
3/12/2044
5.41%
**
2,908,548

MORGAN STANLEY CAPITAL I TRUST MSC 2006 IQ11 AM
10/15/2042
5.66%
**
188,472

DONGSUNG FINETEC CO LTD COMMON STOCK KRW500.
 
 
**
361,940

MORGAN STANLEY SR UNSECURED 10/16 5.75
10/18/2016
5.75%
**
2,254,791

MORGAN STANLEY SR UNSECURED 10/16 VAR
10/18/2016
0.68%
**
787,629

MORGAN STANLEY SR UNSECURED 02/16 1.75
2/25/2016
1.75%
**
4,143,352

MORGAN STANLEY SR UNSECURED 02/23 3.75
2/25/2023
3.75%
**
1,841,349

MORGAN STANLEY SR UNSECURED 01/19 2.5
1/24/2019
2.5%
**
826,749

MORGAN STANLEY SR UNSECURED 04/24 3.875
4/29/2024
3.88%
**
1,949,468

MORGAN STANLEY SR UNSECURED 07/19 2.375
7/23/2019
2.38%
**
896,681

MORGAN STANLEY SR UNSECURED 01/21 5.75
1/25/2021
5.75%
**
2,984,673

MORGAN STANLEY SR UNSECURED 04/15 6
4/28/2015
6%
**
482,687

MORGAN STANLEY SR UNSECURED 05/19 7.3
5/13/2019
7.3%
**
4,507,355

MORGAN STANLEY SR UNSECURED 09/19 5.625
9/23/2019
5.63%
**
1,749,631

MORGAN STANLEY SR UNSECURED 11/15 3.45
11/2/2015
3.45%
**
428,195


113
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
MORGAN STANLEY SR UNSECURED 04/16 3.8
4/29/2016
3.8%
**
3,424,458

MORGAN STANLEY SR UNSECURED 03/17 4.75
3/22/2017
4.75%
**
1,943,977

MORGAN STANLEY SUBORDINATED 05/23 4.1
5/22/2023
4.1%
**
232,861

MORGAN STANLEY SUBORDINATED 11/22 4.875
11/1/2022
4.88%
**
180,553

MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1
1/25/2035
0.49%
**
264,868

MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 1A1
11/25/2035
0.45%
**
46,156

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ9 A1A
7/12/2044
5.73%
**
1,954,507

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ9 AM
7/12/2044
5.77%
**
391,816

MORGAN STANLEY CAPITAL I TRUST MSC 2007 HQ11 A31
2/12/2044
5.44%
**
152,083

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T25 A3
11/12/2049
5.51%
**
524,454

DBS GROUP HOLDINGS LTD COMMON STOCK NPV
 
 
**
6,342,767

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ13 A1A
3/15/2044
5.31%
**
10,107,659

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ13 A4
3/15/2044
5.36%
**
3,123,863

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 A1A
6/11/2042
5.65%
**
11,461,333

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 AAB
6/11/2042
5.65%
**
22,520

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 A4
6/11/2042
5.65%
**
3,635,653

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ14 A2
4/15/2049
5.61%
**
1,357,096

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ15 A4
6/11/2049
5.91%
**
3,354,113

MORGAN STANLEY REREMIC TRUST MSRR 2009 GG10 A4A 144A
8/12/2045
5.8%
**
1,660,339

MORGAN STANLEY REREMIC TRUST MSRR 2010 GG10 A4A 144A
8/15/2045
5.8%
**
15,816,276

MORGAN STANLEY CAPITAL I TRUST MSC 2011 C3 A3
7/15/2049
4.05%
**
175,296

MORGAN STANLEY SR UNSECURED 10/24 3.7
10/23/2024
3.7%
**
304,086

MORGAN STANLEY SR UNSECURED 01/18 1.875
1/5/2018
1.88%
**
15,630,582

MORGAN STANLEY REREMIC TRUST MSRR 2012 IO AXA 144A
3/27/2051
1%
**
161,417

MORGAN STANLEY BAML TRUST MSBAM 2013 C9 A2
5/15/2046
1.97%
**
2,924,491

MORGAN STANLEY BAML TRUST MSBAM 2013 C9 AS
5/15/2046
3.46%
**
316,093

MORGAN STANLEY BAML TRUST MSBAM 2014 C15 A4
4/15/2047
4.05%
**
1,185,531

MORGAN STANLEY BAML TRUST MSBAM 2014 C16 ASB
6/15/2047
3.48%
**
5,410,366

MORGAN STANLEY BAML TRUST MSBAM 2014 C18 AS
10/15/2047
4.11%
**
2,302,183

MORGAN STANLEY BAML TRUST MSBAM 2014 C19 A2
12/15/2047
3.1%
**
17,517,106

MORNEAU SHEPELL INC COMMON STOCK
 
 
**
282,054

COMPUTERSHARE LTD COMMON STOCK NPV
 
 
**
38,095

CENTRAL JAPAN RAILWAY CO COMMON STOCK
 
 
**
1,089,353

EVA AIRWAYS CORP COMMON STOCK TWD10.
 
 
**
250,924

CATCHER TECHNOLOGY CO LTD COMMON STOCK TWD10.
 
 
**
2,168,439

CJ CORP COMMON STOCK KRW5000.
 
 
**
47,262

CHINA AIRLINES LTD COMMON STOCK TWD10.
 
 
**
146,826

CHEUNG KONG HOLDINGS LTD COMMON STOCK NPV
 
 
**
774,096

MORTGAGEIT TRUST MHL 2005 3 A1
8/25/2035
0.47%
**
6,706,816

CHIYODA CORP COMMON STOCK
 
 
**
234,939

CHIYODA CO LTD COMMON STOCK
 
 
**
316,544

CSPC PHARMACEUTICAL GROUP LT COMMON STOCK NPV
 
 
**
213,451

CHINA OVERSEAS LAND + INVEST COMMON STOCK NPV
 
 
**
333,623

CHINA RESOURCES LAND LTD COMMON STOCK HKD.1
 
 
**
142,749

MOSAIC CO/THE COMMON STOCK USD.01
 
 
**
7,064,338

MOSAIC CO SR UNSECURED 11/21 3.75
11/15/2021
3.75%
**
150,916

MOSAIC CO SR UNSECURED 11/33 5.45
11/15/2033
5.45%
**
118,798

MOTEL 6 TRUST MOTEL 2012 MTL6 A2 144A
10/5/2025
1.95%
**
3,508,732


114
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ADVANTECH CO LTD COMMON STOCK TWD10.
 
 
**
101,548

BEIJING CAPITAL INTL AIRPO H COMMON STOCK CNY1.
 
 
**
20,854

CHEUNG KONG INFRASTRUCTURE COMMON STOCK HKD1.0
 
 
**
59,369

COMMONWEALTH BANK OF AUSTRAL COMMON STOCK NPV
 
 
**
524,847

LENOVO GROUP LTD COMMON STOCK NPV
 
 
**
5,759,841

CHARTER HALL RETAIL REIT REIT NPV
 
 
**
409,420

PETROCHINA CO LTD H COMMON STOCK CNY1.0
 
 
**
294,304

MOVADO GROUP INC COMMON STOCK USD.01
 
 
**
52,343

MUELLER INDUSTRIES INC COMMON STOCK USD.01
 
 
**
188,965

KDDI CORP COMMON STOCK
 
 
**
70,067

DAH SING FINANCIAL HOLDINGS COMMON STOCK NPV
 
 
**
507,693

EXEDY CORP COMMON STOCK
 
 
**
563,673

DAITO TRUST CONSTRUCT CO LTD COMMON STOCK
 
 
**
125,693

DAICEL CORP COMMON STOCK
 
 
**
130,097

DAIWA HOUSE INDUSTRY CO LTD COMMON STOCK
 
 
**
114,750

DAIWA SECURITIES GROUP INC COMMON STOCK
 
 
**
142,264

MULTI COLOR CORP COMMON STOCK NPV
 
 
**
90,889

MULTI FINELINE ELECTRONIX IN COMMON STOCK USD.0001
 
 
**
27,626

DELTA ELECTRONICS INC COMMON STOCK TWD10.
 
 
**
3,036,089

MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.637
4/1/2057
6.64%
**
13,257

PHOENIX SATELLITE TELEVISION COMMON STOCK HKD.1
 
 
**
615,439

CHINA UNICOM HONG KONG LTD COMMON STOCK NPV
 
 
**
53,541

NCSOFT CORP COMMON STOCK KRW500.0
 
 
**
249,698

MURPHY OIL CORP COMMON STOCK USD1.
 
 
**
7,082,904

MURPHY OIL CORP SR UNSECURED 12/17 2.5
12/1/2017
2.5%
**
3,229,506

HONG KONG EXCHANGES + CLEAR COMMON STOCK NPV
 
 
**
343,185

DON QUIJOTE HOLDINGS CO LTD COMMON STOCK
 
 
**
522,332

DOWA HOLDINGS CO LTD COMMON STOCK
 
 
**
627,799

KINTETSU WORLD EXPRESS INC COMMON STOCK
 
 
**
553,418

INDOFOOD SUKSES MAKMUR TBK P COMMON STOCK IDR100.
 
 
**
74,830

MUTUALFIRST FINANCIAL INC COMMON STOCK USD.01
 
 
**
15,665

MYERS INDUSTRIES INC COMMON STOCK NPV
 
 
**
48,699

MYLAN INC COMMON STOCK USD.5
 
 
**
2,005,588

MYLAN INC COMPANY GUAR 144A 01/23 3.125
1/15/2023
3.13%
**
2,185,149

MYLAN INC COMPANY GUAR 06/16 1.8
6/24/2016
1.8%
**
779,673

MYLAN INC 06/18 2.6
6/24/2018
2.6%
**
5,065,325

MYLAN INC SR UNSECURED 11/16 1.35
11/29/2016
1.35%
**
6,086,892

MYLAN INC SR UNSECURED 03/19 2.55
3/28/2019
2.55%
**
229,117

LI + FUNG LTD COMMON STOCK HKD.0125
 
 
**
3,022,026

N B T BANCORP INC COMMON STOCK USD.01
 
 
**
115,772

AU OPTRONICS CORP COMMON STOCK TWD10.0
 
 
**
246,573

NCI BUILDING SYSTEMS INC COMMON STOCK USD.01
 
 
**
626,865

NCR CORPORATION COMMON STOCK USD.01
 
 
**
1,369,901

NCI INC A COMMON STOCK USD.019
 
 
**
10,465

NCUA GUARANTEED NOTES NGN 2010 R3 3A
12/8/2020
2.4%
**
505,269

NCUA GUARANTEED NOTES NGN 2010 C1 A1
10/29/2020
1.6%
**
799,327

NCUA GUARANTEED NOTES NGN 2010 C1 A2
10/29/2020
2.9%
**
2,633,750

REMGRO LTD COMMON STOCK ZAR.01
 
 
**
149,534


115
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
NL INDUSTRIES COMMON STOCK USD.125
 
 
**
15,867

CHINA PETROLEUM + CHEMICAL H COMMON STOCK CNY1.0
 
 
**
439,564

NN INC COMMON STOCK USD.01
 
 
**
35,816

NPS PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
7,165,386

NRG ENERGY INC COMMON STOCK USD.01
 
 
**
1,899,975

NABISCO INC SR UNSECURED 06/15 7.55
6/15/2015
7.55%
**
1,126,490

NABORS INDUSTRIES INC COMPANY GUAR 02/18 6.15
2/15/2018
6.15%
**
1,415,490

NABORS INDUSTRIES INC COMPANY GUAR 09/20 5
9/15/2020
5%
**
49,109

NABORS INDUSTRIES INC COMPANY GUAR 09/21 4.625
9/15/2021
4.63%
**
737,540

NABORS INDUSTRIES INC COMPANY GUAR 09/16 2.35
9/15/2016
2.35%
**
178,045

NACCO INDUSTRIES CL A COMMON STOCK USD1.
 
 
**
36,506

NANOMETRICS INC COMMON STOCK NPV
 
 
**
37,929

SINGAPORE EXCHANGE LTD COMMON STOCK NPV
 
 
**
70,727

EISAI CO LTD COMMON STOCK
 
 
**
3,260,600

NASDAQ OMX GROUP/THE COMMON STOCK USD.01
 
 
**
4,870,434

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 09/15 2.75
9/28/2015
2.75%
**
7,101,913

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 07/16 3
7/27/2016
3%
**
618,656

NATIONAL BANK OF CANADA COMMON STOCK NPV
 
 
**
200,620

FAMILYMART CO LTD COMMON STOCK
 
 
**
91,080

MITSUBISHI UFJ FINANCIAL GRO COMMON STOCK
 
 
**
1,235,944

NUFARM LTD COMMON STOCK NPV
 
 
**
809,605

TIME DOTCOM BHD COMMON STOCK MYR.5
 
 
**
378,648

NATIONAL BANK HOLD CL A COMMON STOCK
 
 
**
77,582

FIRST PACIFIC CO COMMON STOCK USD.01
 
 
**
19,807

NOVATEK MICROELECTRONICS COR COMMON STOCK TWD10.
 
 
**
563,255

NORTHAM PLATINUM LTD COMMON STOCK ZAR.0001
 
 
**
59,583

EPISTAR CORP COMMON STOCK TWD10.
 
 
**
73,644

COCA COLA EAST JAPAN CO LTD COMMON STOCK
 
 
**
353,542

FUJI HEAVY INDUSTRIES LTD COMMON STOCK
 
 
**
534,384

FUJIFILM HOLDINGS CORP COMMON STOCK
 
 
**
1,747,167

FANUC CORP COMMON STOCK
 
 
**
3,310,442

FUJITSU LTD COMMON STOCK
 
 
**
1,402,580

NATIONAL HEALTHCARE CORP COMMON STOCK USD.01
 
 
**
90,175

KRUNG THAI BANK NVDR NVDR THB5.15
 
 
**
239,143

NATIONAL GRID PLC SR UNSECURED 08/16 6.3
8/1/2016
6.3%
**
912,134

SIAM COMMERCIAL BANK P NVDR NVDR THB10.0
 
 
**
54,213

KASIKORNBANK PCL NVDR NVDR THB10.0
 
 
**
261,714

GPT GROUP REIT NPV
 
 
**
73,154

BANGKOK BANK PUBLIC CO NVDR NVDR THB10.0
 
 
**
125,599

NATIONAL OILWELL VARCO I SR UNSECURED 12/17 1.35
12/1/2017
1.35%
**
222,111

NATL PENN BCSHS INC COMMON STOCK NPV
 
 
**
155,349

NATIONAL PRESTO INDS INC COMMON STOCK USD1.
 
 
**
35,695

GIANT MANUFACTURING COMMON STOCK TWD10.
 
 
**
649,104

MEDIATEK INC COMMON STOCK TWD10.
 
 
**
5,423,771

NATIONAL RETAIL PROPERTIES REIT USD.01
 
 
**
326,850

GLORY LTD COMMON STOCK
 
 
**
392,744

NATIONAL RURAL UTIL COOP COLLATERAL T 11/15 1.9
11/1/2015
1.9%
**
788,428

NATIONAL RURAL UTIL COOP COLLATERAL T 01/17 1.1
1/27/2017
1.1%
**
4,156,985


116
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
NATIONAL SEMICONDUCTOR SR UNSECURED 04/15 3.95
4/15/2015
3.95%
**
838,293

NATL WESTERN LIFE INS CL A COMMON STOCK USD1.
 
 
**
110,393

BANK OF AMERICA CORP SUBORDINATED 09/16 7.8
9/15/2016
7.8%
**
275,161

NATIONWIDE MUTUAL INSURA SR SUBORDINA 144A 08/39 9.375
8/15/2039
9.38%
**
39,611

NATURAL GAS SERVICES GROUP COMMON STOCK USD.01
 
 
**
25,966

NAVIGATORS GROUP INC COMMON STOCK USD.1
 
 
**
105,243

HELLENIC REPUBLIC SR UNSECURED 08/16 5
8/22/2016
5%
**
840,736

NAVIGANT CONSULTING INC COMMON STOCK USD.001
 
 
**
67,736

NAVITAS EQUIPMENT RECEIVABLES NVTAS 2013 1 A 144A
11/15/2016
1.95%
**
61,032

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/16 2.875
4/1/2016
2.88%
**
3,123,207

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/20 5.15
4/30/2020
5.15%
**
1,787,312

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/21 4.375
4/1/2021
4.38%
**
27,495

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/40 6.4
4/30/2040
6.4%
**
368,443

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 01/23 2.875
1/15/2023
2.88%
**
424,579

NBCUNIVERSAL ENTERPRISE COMPANY GUAR 144A 04/18 VAR
4/15/2018
0.92%
**
4,260,152

NIPPON BUILDING FUND INC REIT
 
 
**
90,679

SHINHAN FINANCIAL GROUP LTD COMMON STOCK KRW5000.
 
 
**
15,489

JAPAN REAL ESTATE INVESTMENT REIT
 
 
**
82,239

HYUNDAI DEVELOPMENT CO ENGIN COMMON STOCK KRW5000.
 
 
**
351,386

NELNET INC CL A COMMON STOCK USD.01
 
 
**
156,688

NELNET STUDENT LOAN TRUST NSLT 2004 4 B
1/25/2041
0.53%
**
5,494,413

NELNET STUDENT LOAN TRUST NSLT 2007 1 B2
8/25/2037
5.37%
**
6,551,750

NEOGEN CORP COMMON STOCK USD.16
 
 
**
1,110,320

HANKYU HANSHIN HOLDINGS INC COMMON STOCK
 
 
**
92,022

NESTLE SA SPONS ADR ADR
 
 
**
8,773,624

CHAROEN POKPHAND FOODS NVDR NVDR THB1.0
 
 
**
47,957

NETAPP INC COMMON STOCK USD.001
 
 
**
9,537,645

NETAPP INC SR UNSECURED 06/21 3.375
6/15/2021
3.38%
**
100,261

NETFLIX INC COMMON STOCK USD.001
 
 
**
11,174,063

NETEASE INC ADR ADR USD.0001
 
 
**
7,103,381

NETGEAR INC COMMON STOCK USD.001
 
 
**
127,625

FUBON FINANCIAL HOLDING CO COMMON STOCK TWD10.
 
 
**
476,486

NETSUITE INC COMMON STOCK USD.01
 
 
**
2,917,787

NEUSTAR INC CLASS A COMMON STOCK USD.001
 
 
**
1,677,174

JAMES HARDIE INDUSTRIES CDI CDI EUR.59
 
 
**
120,067

NEVADA POWER CO GENL REF MOR 01/15 5.875
1/15/2015
5.88%
**
450,603

NEVADA POWER CO GENL REF MOR 03/19 7.125
3/15/2019
7.13%
**
149,129

TAKARA LEBEN CO LTD COMMON STOCK
 
 
**
611,285

DELTA ELECTRONICS THAI NVDR NVDR THB1.0
 
 
**
40,071

CAPITAMALL TRUST REIT NPV
 
 
**
53,883

HENDERSON LAND DEVELOPMENT COMMON STOCK NPV
 
 
**
314,513

RESONA HOLDINGS INC COMMON STOCK
 
 
**
793,615

THAI UNION FROZEN PROD NVDR NVDR THB.25
 
 
**
165,871

HITACHI CHEMICAL CO LTD COMMON STOCK
 
 
**
135,906

HITACHI TRANSPORT SYSTEM LTD COMMON STOCK
 
 
**
334,752

CHIPBOND TECHNOLOGY CORP COMMON STOCK TWD10.
 
 
**
216,569

HONDA MOTOR CO LTD COMMON STOCK
 
 
**
5,699,477


117
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
POWER ASSETS HOLDINGS LTD COMMON STOCK NPV
 
 
**
169,700

HONG LEONG BANK BERHAD COMMON STOCK MYR1.
 
 
**
25,189

HON HAI PRECISION INDUSTRY COMMON STOCK TWD10.
 
 
**
733,952

INDEPENDENCE GROUP NL COMMON STOCK NPV
 
 
**
573,934

HOYA CORP COMMON STOCK
 
 
**
7,070,207

NEW HAMPSHIRE THRIFT BANCSHS COMMON STOCK USD.01
 
 
**
12,808

HUNG POO REAL ESTATE DEVELOP COMMON STOCK TWD10.
 
 
**
133,755

HYUNDAI MOBIS CO LTD COMMON STOCK KRW5000.
 
 
**
78,584

HYSAN DEVELOPMENT CO COMMON STOCK NPV
 
 
**
321,708

SK HYNIX INC COMMON STOCK KRW5000.
 
 
**
14,306,233

LARGAN PRECISION CO LTD COMMON STOCK TWD10.
 
 
**
4,092,463

TAISHIN FINANCIAL HOLDING COMMON STOCK TWD10.
 
 
**
16,411

INDOCEMENT TUNGGAL PRAKARSA COMMON STOCK IDR500.
 
 
**
62,374

ORICA LTD COMMON STOCK NPV
 
 
**
1,189,676

INVENTEC CO LTD COMMON STOCK TWD10.
 
 
**
134,442

CHINA GAS HOLDINGS LTD COMMON STOCK HKD.01
 
 
**
34,894

ISUZU MOTORS LTD COMMON STOCK
 
 
**
192,764

NIPPON SHOKUBAI CO LTD COMMON STOCK
 
 
**
530,131

JGC CORP COMMON STOCK
 
 
**
498,836

JAPAN TOBACCO INC COMMON STOCK
 
 
**
2,642,526

KEYENCE CORP COMMON STOCK
 
 
**
942,500

NEW YORK + CO COMMON STOCK USD.001
 
 
**
11,093

NEW YORK COMMUNITY BANCORP COMMON STOCK USD.01
 
 
**
706,832

NEW YORK LIFE GLOBAL FDG SR SECURED 144A 05/15 3
5/4/2015
3%
**
504,353

NEW YORK LIFE GLOBAL FDG SR SECURED 144A 07/16 2.45
7/14/2016
2.45%
**
818,936

NEW YORK LIFE GLOBAL FDG SECURED 144A 05/17 1.65
5/15/2017
1.65%
**
654,948

NEW YORK LIFE GLOBAL FDG SECURED 144A 07/15 0.75
7/24/2015
0.75%
**
600,248

NEW YORK LIFE GLOBAL FDG SECURED 144A 02/16 0.8
2/12/2016
0.8%
**
56,096

NEW YORK LIFE GLOBAL FDG SECURED 144A 12/17 1.45
12/15/2017
1.45%
**
6,183,837

KOREA ELECTRIC POWER CORP COMMON STOCK KRW5000.
 
 
**
369,058

KOBE STEEL LTD COMMON STOCK
 
 
**
552,592

NEW YORK NY NYC 12/31 FIXED 6.646
12/1/2031
6.65%
**
203,096

KONICA MINOLTA INC COMMON STOCK
 
 
**
1,520,664

HANWHA CORPORATION COMMON STOCK KRW5000.
 
 
**
259,831

KOREAN AIR LINES CO LTD COMMON STOCK KRW5000.
 
 
**
550,587

JTEKT CORP COMMON STOCK
 
 
**
426,578

NEW YORK CITY NY TRANSITIONAL NYCGEN 11/38 FIXED 5.572
11/1/2038
5.57%
**
174,091

NEW YORK CITY NY MUNI WTR FIN NYCUTL 06/43 FIXED 5.44
6/15/2043
5.44%
**
177,958

KURITA WATER INDUSTRIES LTD COMMON STOCK
 
 
**
92,591

NEW YORK ST DORM AUTH ST PERSO NYSHGR 09/27 FIXED 5.051
9/15/2027
5.05%
**
925,704

KYOCERA CORP COMMON STOCK
 
 
**
2,891,650

NEW YORK TIMES CO A COMMON STOCK USD.1
 
 
**
2,473,528

NEWBRIDGE BANCORP COMMON STOCK NPV
 
 
**
29,457

LEIGHTON HOLDINGS LTD COMMON STOCK NPV
 
 
**
195,637

LEND LEASE GROUP STAPLED SECURITY NPV
 
 
**
1,311,239

NEWELL RUBBERMAID INC SR UNSECURED 12/19 2.875
12/1/2019
2.88%
**
5,507,070

NEWFIELD EXPLORATION CO COMMON STOCK USD.01
 
 
**
372,493


118
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
JAPAN RETAIL FUND INVESTMENT REIT
 
 
**
69,911

LIBERTY HOLDINGS LTD COMMON STOCK ZAR.0833
 
 
**
153,034

NEWPARK RESOURCES INC COMMON STOCK USD.01
 
 
**
80,184

NEWPORT CORP COMMON STOCK USD.1167
 
 
**
76,383

21ST CENTURY FOX AMERICA COMPANY GUAR 10/15 7.6
10/11/2015
7.6%
**
398,916

21ST CENTURY FOX AMERICA COMPANY GUAR 03/19 6.9
3/1/2019
6.9%
**
2,847,652

21ST CENTURY FOX AMERICA COMPANY GUAR 02/21 4.5
2/15/2021
4.5%
**
377,633

21ST CENTURY FOX AMERICA COMPANY GUAR 02/41 6.15
2/15/2041
6.15%
**
44,543

21ST CENTURY FOX AMERICA COMPANY GUAR 09/22 3
9/15/2022
3%
**
99,325

NEWSTAR FINANCIAL INC COMMON STOCK USD.01
 
 
**
62,976

CTBC FINANCIAL HOLDING CO LT COMMON STOCK TWD10.
 
 
**
315,588

JAPAN PRIME REALTY INVESTMEN REIT
 
 
**
31,377

NEXTERA ENERGY CAPITAL COMPANY GUAR 06/15 1.2
6/1/2015
1.2%
**
6,690,568

NEXTERA ENERGY CAPITAL COMPANY GUAR 09/15 1.339
9/1/2015
1.34%
**
3,510,549

AEON MALL CO LTD COMMON STOCK
 
 
**
25,035

BOC HONG KONG HOLDINGS LTD COMMON STOCK NPV
 
 
**
58,447

NIAGARA MOHAWK POWER SR UNSECURED 144A 08/19 4.881
8/15/2019
4.88%
**
127,190

NICE SYSTEMS LTD SPONS ADR ADR
 
 
**
886,375

NICHOLAS FINANCIAL INC COMMON STOCK NPV
 
 
**
16,792

NIKE INC CL B COMMON STOCK NPV
 
 
**
27,077,282

NIMBLE STORAGE INC COMMON STOCK USD.001
 
 
**
5,679,713

NIPPON LIFE INSURANCE SUBORDINATED 144A 10/44 VAR
10/16/2044
5.1%
**
10,450,000

NISOURCE FINANCE CORP COMPANY GUAR 09/17 5.25
9/15/2017
5.25%
**
202,301

NISOURCE FINANCE CORP COMPANY GUAR 03/18 6.4
3/15/2018
6.4%
**
301,816

NISOURCE FINANCE CORP COMPANY GUAR 01/19 6.8
1/15/2019
6.8%
**
446,120

NISOURCE FINANCE CORP COMPANY GUAR 03/16 10.75
3/15/2016
10.75%
**
186,920

NISOURCE FINANCE CORP COMPANY GUAR 02/45 5.65
2/1/2045
5.65%
**
69,430

NISSAN MOTOR ACCEPTANCE UNSECURED 144A 03/16 1
3/15/2016
1%
**
690,306

NISSAN MOTOR ACCEPTANCE UNSECURED 144A 03/18 1.8
3/15/2018
1.8%
**
218,708

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/19 2.35
3/4/2019
2.35%
**
200,739

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 A A3
5/15/2017
0.5%
**
1,325,269

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 A A4
7/15/2019
0.75%
**
7,084,100

NISSAN MASTER OWNER TRUST RECE NMOTR 2013 A A
2/15/2018
0.46%
**
7,990,880

NISSAN AUTO RECEIVABLES OWNER NAROT 2011 B A3
2/16/2016
0.95%
**
883,932

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 A A4
7/16/2018
1%
**
8,433,300

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 B A3
10/17/2016
0.46%
**
462,815

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 B A4
12/17/2018
0.66%
**
1,003,977

NISSAN AUTO LEASE TRUST NALT 2013 A A4
10/15/2018
0.74%
**
2,032,127

NISSAN AUTO LEASE TRUST NALT 2013 B A2A
1/15/2016
0.57%
**
766,242

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 B A4
10/15/2019
1.31%
**
3,999,580

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 C A3
8/15/2018
0.67%
**
2,155,755

NISSAN AUTO LEASE TRUST NALT 2014 A A3
2/15/2017
0.8%
**
1,105,260

NISSAN AUTO RECEIVABLES OWNER NAROT 2014 A A2
11/15/2016
0.42%
**
—

NISSAN AUTO RECEIVABLES OWNER NAROT 2014 A A3
8/15/2018
0.72%
**
1,505,588

NISSAN AUTO RECEIVABLES OWNER NAROT 2014 B A3
5/15/2019
1.11%
**
797,018

NOBLE ENERGY INC SR UNSECURED 03/19 8.25
3/1/2019
8.25%
**
635,418

NOBLE ENERGY INC SR UNSECURED 12/21 4.15
12/15/2021
4.15%
**
3,946,243

NOBLE ENERGY INC SR UNSECURED 11/24 3.9
11/15/2024
3.9%
**
1,976,696


119
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
NOBLE HOLDING INTL LTD COMPANY GUAR 08/15 3.45
8/1/2015
3.45%
**
2,026,308

NOBLE HOLDING INTL LTD COMPANY GUAR 03/17 2.5
3/15/2017
2.5%
**
428,574

NOBLE HOLDING INTL LTD COMPANY GUAR 03/42 5.25
3/15/2042
5.25%
**
31,554

MABUCHI MOTOR CO LTD COMMON STOCK
 
 
**
176,521

NOMURA HOLDINGS INC SR UNSECURED 03/15 5
3/4/2015
5%
**
649,609

NOMURA HOLDINGS INC SR UNSECURED 01/16 4.125
1/19/2016
4.13%
**
2,276,783

NOMURA HOLDINGS INC SR UNSECURED 03/19 2.75
3/19/2019
2.75%
**
2,148,275

NORANDA ALUMINUM HOLDING COR COMMON STOCK USD.01
 
 
**
24,534

NORDEA BANK AB SR UNSECURED 144A 01/20 4.875
1/27/2020
4.88%
**
667,996

NORDEA BANK AB SR UNSECURED 144A 03/17 3.125
3/20/2017
3.13%
**
2,175,548

NORDEA BANK AB SR UNSECURED 144A 05/16 0.875
5/13/2016
0.88%
**
2,407,860

MALAYAN BANKING BHD COMMON STOCK MYR1.
 
 
**
310,519

NORDSTROM INC SR UNSECURED 10/21 4
10/15/2021
4%
**
42,793

ALLIANCE FINANCIAL GROUP BHD COMMON STOCK MYR1.
 
 
**
63,446

MISC BHD COMMON STOCK MYR1.
 
 
**
223,385

NORFOLK SOUTHERN CORP SR UNSECURED 05/17 7.7
5/15/2017
7.7%
**
742,677

NORFOLK SOUTHERN CORP SR UNSECURED 04/18 5.75
4/1/2018
5.75%
**
920,224

NORFOLK SOUTHERN CORP SR UNSECURED 06/19 5.9
6/15/2019
5.9%
**
2,387,387

NORFOLK SOUTHERN CORP SR UNSECURED 12/21 3.25
12/1/2021
3.25%
**
153,541

NORFOLK SOUTHERN CORP SR UNSECURED 10/42 3.95
10/1/2042
3.95%
**
24,521

CHINA TELECOM CORP LTD H COMMON STOCK CNY1.0
 
 
**
535,020

NAVER CORP COMMON STOCK KRW500.
 
 
**
261,053

SUMITOMO MITSUI FINANCIAL GR COMMON STOCK
 
 
**
773,594

MTN GROUP LTD COMMON STOCK ZAR.0001
 
 
**
623,843

ASCENDAS REAL ESTATE INV TRT REIT
 
 
**
50,291

NWS HOLDINGS LTD COMMON STOCK HKD1.0
 
 
**
23,905

HYUNDAI DEPT STORE CO COMMON STOCK KRW5000.
 
 
**
103,176

PANASONIC CORP COMMON STOCK
 
 
**
1,116,415

PCCW LTD COMMON STOCK NPV
 
 
**
25,383

SINOTRANS LIMITED H COMMON STOCK CNY1.
 
 
**
109,299

SUNCORP GROUP LTD COMMON STOCK NPV
 
 
**
254,329

YUE YUEN INDUSTRIAL HLDG COMMON STOCK HKD.25
 
 
**
548,657

MIZUHO FINANCIAL GROUP INC COMMON STOCK
 
 
**
88,334

MISUMI GROUP INC COMMON STOCK
 
 
**
672,238

MITSUBISHI ESTATE CO LTD COMMON STOCK
 
 
**
383,661

MITSUBISHI CORP COMMON STOCK
 
 
**
107,249

MITSUBISHI ELECTRIC CORP COMMON STOCK
 
 
**
916,602

MITSUI + CO LTD COMMON STOCK
 
 
**
128,481

MITSUI FUDOSAN CO LTD COMMON STOCK
 
 
**
380,083

MITSUBISHI MOTORS CORP COMMON STOCK
 
 
**
454,573

POWERTECH TECHNOLOGY INC COMMON STOCK TWD10.
 
 
**
54,883

MONADELPHOUS GROUP LTD COMMON STOCK NPV
 
 
**
170,876

COMFORTDELGRO CORP LTD COMMON STOCK NPV
 
 
**
82,409

FIRSTRAND LTD COMMON STOCK ZAR.01
 
 
**
237,617

MURATA MANUFACTURING CO LTD COMMON STOCK
 
 
**
7,117,061

SEIKO EPSON CORP COMMON STOCK
 
 
**
1,065,591

NHK SPRING CO LTD COMMON STOCK
 
 
**
307,389

NASPERS LTD N SHS COMMON STOCK ZAR.02
 
 
**
490,339


120
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
NAGAILEBEN CO LTD COMMON STOCK
 
 
**
469,851

NATIONAL AUSTRALIA BANK LTD COMMON STOCK NPV
 
 
**
668,414

NEW WORLD DEVELOPMENT COMMON STOCK NPV
 
 
**
87,419

NETCARE LTD COMMON STOCK ZAR.01
 
 
**
299,267

NEWCREST MINING LTD COMMON STOCK NPV
 
 
**
100,080

MINERAL DEPOSITS LTD COMMON STOCK NPV
 
 
**
28,796

NORTHEAST BANCORP COMMON STOCK USD1.
 
 
**
11,867

NIPPON DENKO CO LTD COMMON STOCK
 
 
**
180,224

DENSO CORP COMMON STOCK
 
 
**
6,590,347

NEC CORP COMMON STOCK
 
 
**
2,496,718

NIHON PARKERIZING CO LTD COMMON STOCK
 
 
**
714,659

NIDEC CORP COMMON STOCK
 
 
**
17,090,880

NH FOODS LTD COMMON STOCK
 
 
**
286,034

NIPPON TELEGRAPH + TELEPHONE COMMON STOCK
 
 
**
253,838

YAMAHA CORP COMMON STOCK
 
 
**
282,960

NOK CORP COMMON STOCK
 
 
**
476,792

HITACHI HIGH TECHNOLOGIES CO COMMON STOCK
 
 
**
540,056

NOMURA HOLDINGS INC COMMON STOCK
 
 
**
232,571

NIPPON YUSEN COMMON STOCK
 
 
**
213,937

NORTHERN OIL AND GAS INC COMMON STOCK USD.001
 
 
**
31,273

OKI ELECTRIC INDUSTRY CO LTD COMMON STOCK
 
 
**
265,099

OJI HOLDINGS CORP COMMON STOCK
 
 
**
28,892

NORTHERN TRUST CORP COMMON STOCK USD1.667
 
 
**
13,351,536

OLYMPUS CORP COMMON STOCK
 
 
**
1,869,761

OMRON CORP COMMON STOCK
 
 
**
1,631,886

ONO PHARMACEUTICAL CO LTD COMMON STOCK
 
 
**
1,655,657

ORIX CORP COMMON STOCK
 
 
**
229,996

NORTHFIELD BANCORP INC COMMON STOCK USD.01
 
 
**
77,360

OSAKA GAS CO LTD COMMON STOCK
 
 
**
124,134

AMOREPACIFIC GROUP COMMON STOCK KRW5000.
 
 
**
257,865

NORTHRIM BANCORP INC COMMON STOCK USD1.
 
 
**
18,814

NORTHROP GRUMMAN CORP COMMON STOCK USD1.
 
 
**
4,367,460

NORTHROP GRUMMAN SYSTEMS COMPANY GUAR 02/31 7.75
2/15/2031
7.75%
**
35,037

NORTHROP GRUMMAN CORP SR UNSECURED 08/19 5.05
8/1/2019
5.05%
**
1,304,150

NORTHSTAR ASSET MANAGEMENT COMMON STOCK USD.01
 
 
**
341,507

NORTHSTAR MORTGAGE TRUST NRF 2012 1 A 144A
8/25/2029
1.36%
**
450,391

N STAR REAL ESTATE CDO LTD NSTAR 2013 1A A 144A
8/25/2029
2.01%
**
416,997

N STAR REAL ESTATE CDO LTD NSTAR 2013 1A A 144A
8/25/2029
2.02%
**
3,536,434

INCITEC PIVOT LTD COMMON STOCK NPV
 
 
**
218,042

NORTHWEST BANCSHARES INC COMMON STOCK USD.01
 
 
**
118,158

NORTHWEST PIPE CO COMMON STOCK USD.01
 
 
**
1,712,322

WISTRON NEWEB CORP COMMON STOCK TWD10.
 
 
**
351,940

UNILEVER INDONESIA TBK PT COMMON STOCK IDR10.
 
 
**
83,456

ALFRESA HOLDINGS CORP COMMON STOCK
 
 
**
438,384

KINSUS INTERCONNECT TECH COMMON STOCK TWD10.
 
 
**
287,102

PICK N PAY STORES LTD COMMON STOCK ZAR.0125
 
 
**
65,293

LEE + MAN PAPER MANUFACTURIN COMMON STOCK HKD.025
 
 
**
236,678

NORWOOD FINANCIAL CORP COMMON STOCK USD.1
 
 
**
11,359


121
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
NOVADAQ TECHNOLOGIES INC COMMON STOCK
 
 
**
671,298

NOVARTIS AG SPONSORED ADR ADR
 
 
**
1,711,152

NOVARTIS CAPITAL CORP COMPANY GUAR 04/15 2.9
4/24/2015
2.9%
**
2,302,741

NOVARTIS CAPITAL CORP COMPANY GUAR 09/22 2.4
9/21/2022
2.4%
**
871,187

NOVARTIS CAPITAL CORP COMPANY GUAR 05/24 3.4
5/6/2024
3.4%
**
426,516

UNI PRESIDENT ENTERPRISES CO COMMON STOCK TWD10.
 
 
**
207,874

NOVO NORDISK A/S SPONS ADR ADR
 
 
**
22,876,118

NOW INC COMMON STOCK USD.01
 
 
**
245,258

NU SKIN ENTERPRISES INC A COMMON STOCK USD.001
 
 
**
152,295

NTELOS HOLDINGS CORP COMMON STOCK USD.01
 
 
**
5,154

NSTAR ELECTRIC CO SR UNSECURED 11/17 5.625
11/15/2017
5.63%
**
188,744

NUCOR CORP SR UNSECURED 06/18 5.85
6/1/2018
5.85%
**
676,190

NUCOR CORP SR UNSECURED 08/23 4
8/1/2023
4%
**
104,732

PRESIDENT CHAIN STORE CORP COMMON STOCK TWD10.
 
 
**
324,948

YPSO FRANCE SAS TERM LOAN B 2
5/21/2020
1%
**
1,175,734

NUMERICABLE U S LLC TERM LOAN B 1
5/21/2020
1%
**
1,359,016

NUMERICABLE SFR SR SECURED 144A 05/22 6
5/15/2022
6%
**
1,608,800

NUTRACEUTICAL INTL CORP COMMON STOCK USD.01
 
 
**
22,099

PICC PROPERTY + CASUALTY H COMMON STOCK CNY1.0
 
 
**
210,016

BANK RAKYAT INDONESIA PERSER COMMON STOCK IDR250.
 
 
**
278,151

NUVERRA ENVIRONMENTAL SOLUTI COMMON STOCK USD.001
 
 
**
9,668

QANTAS AIRWAYS LTD COMMON STOCK NPV
 
 
**
1,089,887

OFG BANCORP COMMON STOCK USD1.
 
 
**
68,265

OSI SYSTEMS INC COMMON STOCK NPV
 
 
**
137,789

CHINA RESOURCES POWER HOLDIN COMMON STOCK NPV
 
 
**
88,345

NOMURA REAL ESTATE OFFICE FU REIT
 
 
**
540,932

PERUSAHAAN GAS NEGARA PERSER COMMON STOCK IDR100.
 
 
**
218,539

UNITED URBAN INVESTMENT CORP REIT
 
 
**
44,115

CHALLENGER LTD COMMON STOCK NPV
 
 
**
672,627

BANK NEGARA INDONESIA PERSER COMMON STOCK IDR7500.
 
 
**
414,564

BEC WORLD PUBLIC CO LTD NVDR NVDR THB1.0
 
 
**
154,705

RICOH LEASING CO LTD COMMON STOCK
 
 
**
379,324

RICOH CO LTD COMMON STOCK
 
 
**
87,130

AIRPORTS OF THAILAND PC NVDR NVDR
 
 
**
289,714

OASIS PETROLEUM INC COMMON STOCK USD.01
 
 
**
108,502

SEMICONDUCTOR MANUFACTURING COMMON STOCK USD.0004
 
 
**
121,220

OCCIDENTAL PETROLEUM CORP COMMON STOCK USD.2
 
 
**
24,983,135

OCCIDENTAL PETROLEUM COR SR UNSECURED 06/16 4.125
6/1/2016
4.13%
**
193,289

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/21 4.1
2/1/2021
4.1%
**
1,814,726

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/17 1.75
2/15/2017
1.75%
**
251,442

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/22 3.125
2/15/2022
3.13%
**
484,325

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/23 2.7
2/15/2023
2.7%
**
209,104

ROHM CO LTD COMMON STOCK
 
 
**
1,381,209

OCEANFIRST FINANCIAL CORP COMMON STOCK USD.01
 
 
**
29,858

OCH ZIFF CAPITAL MANAGEMEN A MLP NPV
 
 
**
3,223,680

RMB HOLDINGS LTD COMMON STOCK ZAR.01
 
 
**
373,502

SAKAI CHEMICAL INDUSTRY CO COMMON STOCK
 
 
**
162,492


122
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SAMSUNG ELECTRONICS CO LTD COMMON STOCK KRW5000.0
 
 
**
11,774,763

OHIO ST OHS 05/21 FIXED 4.534
5/1/2021
4.53%
**
11,257,800

OHIO ST OHS 05/22 FIXED 4.654
5/1/2022
4.65%
**
11,392,100

SASOL LTD COMMON STOCK NPV
 
 
**
521,254

SATO HOLDINGS CORP COMMON STOCK
 
 
**
364,694

OIL DRI CORP OF AMERICA COMMON STOCK USD.1
 
 
**
16,707

OIL STATES INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
250,613

MEDIPAL HOLDINGS CORP COMMON STOCK
 
 
**
442,963

SECOM CO LTD COMMON STOCK
 
 
**
254,873

SECURITY BANK CORP COMMON STOCK PHP10.
 
 
**
260,401

SEKISUI CHEMICAL CO LTD COMMON STOCK
 
 
**
436,882

SEKISUI HOUSE LTD COMMON STOCK
 
 
**
92,656

OLD DOMINION FREIGHT LINE COMMON STOCK USD.1
 
 
**
2,251,560

SINOPEC SHANGHAI PETROCHEM H COMMON STOCK CNY1.0
 
 
**
617,175

SKILLED GROUP LTD COMMON STOCK NPV
 
 
**
271,333

OLD NATIONAL BANCORP COMMON STOCK NPV
 
 
**
169,290

OLD REPUBLIC INTL CORP COMMON STOCK USD1.
 
 
**
340,396

OLD SECOND BANCORP INC COMMON STOCK USD1.
 
 
**
15,960

SHIMAMURA CO LTD COMMON STOCK
 
 
**
468,410

SHIN ETSU CHEMICAL CO LTD COMMON STOCK
 
 
**
3,103,230

SHIONOGI + CO LTD COMMON STOCK
 
 
**
8,377,122

SHINKO ELECTRIC INDUSTRIES COMMON STOCK
 
 
**
436,945

HULIC CO LTD COMMON STOCK
 
 
**
477,754

OLIN CORP COMMON STOCK USD1.
 
 
**
158,707

SINO LAND CO COMMON STOCK NPV
 
 
**
814,912

SINGAPORE AIRLINES LTD COMMON STOCK NPV
 
 
**
236,360

OLYMPIC STEEL INC COMMON STOCK NPV
 
 
**
12,748

SUNDRUG CO LTD COMMON STOCK
 
 
**
745,014

OMNICOM GROUP COMMON STOCK USD.15
 
 
**
19,739,201

OMNICOM GROUP INC COMPANY GUAR 04/16 5.9
4/15/2016
5.9%
**
443,437

OMEGA HEALTHCARE INVESTORS REIT USD.1
 
 
**
224,262

OMEGA PROTEIN CORP COMMON STOCK USD.01
 
 
**
22,747

SONIC HEALTHCARE LTD COMMON STOCK NPV
 
 
**
490,216

OMNOVA SOLUTIONS INC COMMON STOCK USD.1
 
 
**
33,374

ON ASSIGNMENT INC COMMON STOCK USD.01
 
 
**
153,072

ON DECK CAPITAL INC COMMON STOCK USD.005
 
 
**
330,843

ON SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
**
426,747

ONCOR ELECTRIC DELIVERY SR SECURED 01/15 6.375
1/15/2015
6.38%
**
325,467

ONDECK ASSET SECURITIZATION TR ONDK 2014 1A A 144A
5/17/2018
3.15%
**
218,398

ONE LIBERTY PROPERTIES INC REIT USD1.
 
 
**
21,824

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2014 1A A 144A
6/18/2024
2.43%
**
2,952,941

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2014 2A A 144A
9/18/2024
2.47%
**
202,792

ONEOK PARTNERS LP COMPANY GUAR 10/22 3.375
10/1/2022
3.38%
**
1,143,193

ONEOK PARTNERS LP COMPANY GUAR 09/18 3.2
9/15/2018
3.2%
**
12,456,259

ONEX CORPORATION COMMON STOCK NPV
 
 
**
326,161

ONTARIO (PROVINCE OF) SR UNSECURED 02/15 2.95
2/5/2015
2.95%
**
971,744

ONTARIO (PROVINCE OF) SR UNSECURED 06/15 2.7
6/16/2015
2.7%
**
1,010,561

ONTARIO 09/21 2.5
9/10/2021
2.5%
**
7,657,372


123
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ONTARIO (PROVINCE OF) SR UNSECURED 05/16 2.3
5/10/2016
2.3%
**
76,654

ONTARIO (PROVINCE OF) SR UNSECURED 05/15 0.95
5/26/2015
0.95%
**
576,428

ONTARIO (PROVINCE OF) SR UNSECURED 09/19 1.65
9/27/2019
1.65%
**
74,137

ONTARIO (PROVINCE OF) SR UNSECURED 10/17 1.1
10/25/2017
1.1%
**
3,807,863

OPEN TEXT CORP COMMON STOCK NPV
 
 
**
64,210

OPHTHOTECH CORP COMMON STOCK USD.001
 
 
**
545,888

OPPENHEIMER HOLDINGS CL A COMMON STOCK USD.001
 
 
**
33,364

ORACLE CORP COMMON STOCK USD.01
 
 
**
44,997,072

ORACLE CORP SR UNSECURED 07/19 5
7/8/2019
5%
**
1,653,851

ORACLE CORP SR UNSECURED 07/40 5.375
7/15/2040
5.38%
**
95,969

ORACLE CORP SR UNSECURED 10/17 1.2
10/15/2017
1.2%
**
7,345,763

ORACLE CORP SR UNSECURED 10/22 2.5
10/15/2022
2.5%
**
491,918

ORACLE CORP SR UNSECURED 07/23 3.625
7/15/2023
3.63%
**
146,819

ORACLE CORP SR UNSECURED 07/21 2.8
7/8/2021
2.8%
**
2,232,424

ORACLE CORP SR UNSECURED 01/16 5.25
1/15/2016
5.25%
**
6,132,387

SHENZHEN EXPRESSWAY CO H COMMON STOCK CNY1.
 
 
**
473,407

STOCKLAND REIT NPV
 
 
**
108,276

ORASURE TECHNOLOGIES INC COMMON STOCK USD.000001
 
 
**
333,220

ORBCOMM INC COMMON STOCK USD.001
 
 
**
36,866

ORBITAL SCIENCES CORP COMMON STOCK USD.01
 
 
**
3,173,020

ORCHIDS PAPER PRODUCTS CO COMMON STOCK USD.001
 
 
**
23,870

SUMITOMO HEAVY INDUSTRIES COMMON STOCK
 
 
**
1,290,804

SUMITOMO REALTY + DEVELOPMEN COMMON STOCK
 
 
**
172,297

SUN HUNG KAI PROPERTIES COMMON STOCK NPV
 
 
**
335,609

ORION MARINE GROUP INC COMMON STOCK USD.01
 
 
**
30,575

ORITANI FINANCIAL CORP COMMON STOCK USD.01
 
 
**
71,025

SURUGA BANK LTD COMMON STOCK
 
 
**
884,416

SUZUKI MOTOR CORP COMMON STOCK
 
 
**
537,370

SUZUKEN CO LTD COMMON STOCK
 
 
**
462,438

ORMAT TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
122,582

SWIRE PACIFIC LTD A COMMON STOCK HKD.6
 
 
**
123,729

THK CO LTD COMMON STOCK
 
 
**
1,061,604

TDK CORP COMMON STOCK
 
 
**
3,714,517

TAIWAN CEMENT COMMON STOCK TWD10.
 
 
**
63,173

TAISEI CORP COMMON STOCK
 
 
**
544,351

MITSUBISHI TANABE PHARMA COMMON STOCK
 
 
**
98,912

TIMAH PERSERO TBK PT COMMON STOCK IDR50.
 
 
**
117,055

SYSMEX CORP COMMON STOCK
 
 
**
696,818

TERUMO CORP COMMON STOCK
 
 
**
2,451,280

KASIKORNBANK PCL FOREIGN FOREIGN SH. THB10.0 A
 
 
**
881,198

TAIWAN SEMICONDUCTOR MANUFAC COMMON STOCK TWD10.
 
 
**
7,553,731

TOKYO OHKA KOGYO CO LTD COMMON STOCK
 
 
**
836,315

TOKYO TATEMONO CO LTD COMMON STOCK
 
 
**
257,183

TOKYO GAS CO LTD COMMON STOCK
 
 
**
587,404

TOKYO ELECTRON LTD COMMON STOCK
 
 
**
146,127

TOKYU CORP COMMON STOCK
 
 
**
293,615

HYOSUNG CORPORATION COMMON STOCK KRW5000.
 
 
**
177,355

TOTO LTD COMMON STOCK
 
 
**
293,590


124
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
TOUNG LOONG TEXTILE MANUF CO COMMON STOCK TWD10.
 
 
**
241,393

HAITONG INTERNATIONAL SECURI COMMON STOCK HKD.1
 
 
**
429,754

TOYO SUISAN KAISHA LTD COMMON STOCK
 
 
**
97,585

MAZDA MOTOR CORP COMMON STOCK
 
 
**
417,534

TOYOTA MOTOR CORP COMMON STOCK
 
 
**
542,131

OVERSEAS PRIVATE INV COR US GOVT GUAR 09/16 0.00000
9/7/2016
 
**
5,992,308

OVERSEAS PRIVATE INV COR US GOVT GUAR 04/17 0.00000
4/23/2017
3.56%
**
8,592,500

OVERSEAS PRIVATE INV COR US GOVT GUAR 05/30 3.43
5/15/2030
3.43%
**
8,915,340

OVERSEAS PRIVATE INV COR US GOVT GUAR 11/17 0.00000
11/17/2017
1.5%
**
8,431,272

TENAGA NASIONAL BHD COMMON STOCK MYR1.
 
 
**
738,052

TSUTSUMI JEWELRY CO LTD COMMON STOCK
 
 
**
72,682

OWENS + MINOR INC COMMON STOCK USD2.
 
 
**
212,310

OWENS CORNING COMMON STOCK USD.001
 
 
**
378,046

TTK PRESTIGE LTD COMMON STOCK INR10.
 
 
**
434,127

OWENS ILLINOIS INC COMMON STOCK USD.01
 
 
**
5,595,081

UMW HOLDINGS BHD COMMON STOCK MYR.5
 
 
**
29,778

GUANGDONG INVESTMENT LTD COMMON STOCK NPV
 
 
**
54,593

MIZRAHI TEFAHOT BANK LTD COMMON STOCK ILS.1
 
 
**
528,664

UNITED OVERSEAS BANK LTD COMMON STOCK NPV
 
 
**
185,118

UOL GROUP LTD COMMON STOCK NPV
 
 
**
21,010

P.A.M. TRANSPORTATION SVCS COMMON STOCK USD.01
 
 
**
42,509

PBF ENERGY INC CLASS A COMMON STOCK USD.001
 
 
**
196,603

PC CONNECTION INC COMMON STOCK USD.01
 
 
**
62,897

PCCW HKT CAPITAL NO3 LTD COMPANY GUAR 144A 07/15 5.25
7/20/2015
5.25%
**
1,276,128

PDC ENERGY INC COMMON STOCK USD.01
 
 
**
1,914,639

PICO HOLDINGS INC COMMON STOCK USD.001
 
 
**
44,429

PHI INC VOTING COMMON STOCK USD.1
 
 
**
10,825

PHI INC NON VOTING COMMON STOCK USD.1
 
 
**
49,817

PFS TAX LIEN TRUST PFS 2014 1 NOTE 144A
5/15/2029
1.44%
**
98,853

PMC SIERRA INC COMMON STOCK USD.001
 
 
**
172,758

PMFG INC COMMON STOCK USD1.
 
 
**
11,255

PNC FINANCIAL SERVICES GROUP COMMON STOCK USD5.
 
 
**
20,748,348

PNC FUNDING CORP COMPANY GUAR 02/17 5.625
2/1/2017
5.63%
**
658,334

PNC FUNDING CORP COMPANY GUAR 06/19 6.7
6/10/2019
6.7%
**
1,030,104

PNC FUNDING CORP COMPANY GUAR 09/15 4.25
9/21/2015
4.25%
**
730,887

PNC FUNDING CORP COMPANY GUAR 02/15 3.625
2/8/2015
3.63%
**
1,569,607

PNC FUNDING CORP COMPANY GUAR 08/20 4.375
8/11/2020
4.38%
**
1,669,718

PNC FUNDING CORP COMPANY GUAR 09/16 2.7
9/19/2016
2.7%
**
513,479

PNM RESOURCES INC COMMON STOCK NPV
 
 
**
3,126,854

PNC BANK NA SUBORDINATED 11/22 2.7
11/1/2022
2.7%
**
277,721

PNC BANK NA SUBORDINATED 07/23 3.8
7/25/2023
3.8%
**
3,607,790

PNC BANK NA SR UNSECURED 11/16 1.15
11/1/2016
1.15%
**
2,666,552

PPG INDUSTRIES INC COMMON STOCK USD1.67
 
 
**
8,066,210

PPG INDUSTRIES INC SR UNSECURED 03/18 6.65
3/15/2018
6.65%
**
551,171

PPG INDUSTRIES INC SR UNSECURED 01/16 1.9
1/15/2016
1.9%
**
202,129

PPL CORP COMMON STOCK USD.01
 
 
**
3,480,414

PPL ELECTRIC UTILITIES 1ST MORTGAGE 06/44 4.125
6/15/2044
4.13%
**
56,498

PPL CAPITAL FUNDING INC COMPANY GUAR 06/22 4.2
6/15/2022
4.2%
**
84,749


125
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
PPL CAPITAL FUNDING INC COMPANY GUAR 06/18 1.9
6/1/2018
1.9%
**
99,830

PRGX GLOBAL INC COMMON STOCK USD.01
 
 
**
13,482

PSEG POWER LLC COMPANY GUAR 12/15 5.5
12/1/2015
5.5%
**
182,234

PSEG POWER LLC COMPANY GUAR 04/20 5.125
4/15/2020
5.13%
**
33,328

PSEG POWER LLC COMPANY GUAR 09/16 2.75
9/15/2016
2.75%
**
3,074,478

PSEG POWER LLC COMPANY GUAR 09/21 4.15
9/15/2021
4.15%
**
84,277

PSEG POWER LLC COMPANY GUAR 11/18 2.45
11/15/2018
2.45%
**
661,051

PVH CORP COMMON STOCK USD1.
 
 
**
1,553,292

PTC THERAPEUTICS INC COMMON STOCK USD.001
 
 
**
674,770

PTC INC COMMON STOCK USD.01
 
 
**
1,588,829

PACCAR INC COMMON STOCK USD1.
 
 
**
2,223,927

PACCAR FINANCIAL CORP SR UNSECURED 03/17 1.6
3/15/2017
1.6%
**
265,205

PACCAR FINANCIAL CORP SR UNSECURED 06/15 1.05
6/5/2015
1.05%
**
330,846

PACCAR FINANCIAL CORP SR UNSECURED 11/17 1.4
11/17/2017
1.4%
**
299,237

PACIFIC CONTINENTAL CORP COMMON STOCK NPV
 
 
**
24,702

PACIFIC GAS + ELECTRIC SR UNSECURED 03/34 6.05
3/1/2034
6.05%
**
381,931

PACIFIC GAS + ELECTRIC SR UNSECURED 11/17 5.625
11/30/2017
5.63%
**
1,122,578

PACIFIC GAS + ELECTRIC SR UNSECURED 10/18 8.25
10/15/2018
8.25%
**
1,744,840

PACIFIC GAS + ELECTRIC SR UNSECURED 06/23 3.25
6/15/2023
3.25%
**
1,733,297

PACIFIC GAS + ELECTRIC SR UNSECURED 11/23 3.85
11/15/2023
3.85%
**
1,316,658

PACIFIC MERCANTILE BANCORP COMMON STOCK NPV
 
 
**
13,749

PACIFIC PREMIER BANCORP INC COMMON STOCK USD.01
 
 
**
30,189

WESFARMERS LTD COMMON STOCK NPV
 
 
**
98,498

PACIFICORP 1ST MORTGAGE 10/37 6.25
10/15/2037
6.25%
**
67,665

PACIFICORP 1ST MORTGAGE 01/19 5.5
1/15/2019
5.5%
**
90,392

PACIFICORP 1ST MORTGAGE 04/24 3.6
4/1/2024
3.6%
**
70,274

PACIRA PHARMACEUTICALS INC COMMON STOCK
 
 
**
644,558

PACKAGING CORP OF AMERICA COMMON STOCK USD.01
 
 
**
149,466

PACWEST BANCORP COMMON STOCK NPV
 
 
**
6,416,133

ALUMINA LTD COMMON STOCK NPV
 
 
**
140,171

WEST JAPAN RAILWAY CO COMMON STOCK
 
 
**
352,548

PALO ALTO NETWORKS INC COMMON STOCK USD.0001
 
 
**
31,074,069

WHEELOCK + CO LTD COMMON STOCK NPV
 
 
**
74,689

PANHANDLE OIL AND GAS INC A COMMON STOCK USD.01666
 
 
**
33,407

XEBIO CO LTD COMMON STOCK
 
 
**
279,970

YAMAHA MOTOR CO LTD COMMON STOCK
 
 
**
364,584

ASTELLAS PHARMA INC COMMON STOCK
 
 
**
863,682

AZBIL CORP COMMON STOCK
 
 
**
588,740

PANTRY INC COMMON STOCK USD.01
 
 
**
87,350

SK HOLDINGS CO LTD COMMON STOCK KRW5000.0
 
 
**
340,640

ZHEJIANG EXPRESSWAY CO H COMMON STOCK CNY1.
 
 
**
70,098

PARK ELECTROCHEMICAL CORP COMMON STOCK USD.1
 
 
**
51,107

PARK NATIONAL CORP COMMON STOCK NPV
 
 
**
135,994

PARK STERLING CORP COMMON STOCK USD.01
 
 
**
33,898

PARKER DRILLING CO COMMON STOCK USD.167
 
 
**
24,858

PARKER HANNIFIN CORP COMMON STOCK USD.5
 
 
**
2,424,260

PARKWAY PROPERTIES INC REIT USD.001
 
 
**
99,894

DEUTSCHE BOERSE AG COMMON STOCK NPV
 
 
**
137,657


126
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
PASON SYSTEMS INC COMMON STOCK NPV
 
 
**
360,975

PATTERSON UTI ENERGY INC COMMON STOCK USD.01
 
 
**
158,136

PAYLOCITY HOLDING CORP PRIVATE COMP USD.001
 
 
**
528,714

PEABODY ENERGY CORP COMMON STOCK USD.01
 
 
**
136,456

PEAPACK GLADSTONE FINL CORP COMMON STOCK NPV
 
 
**
22,829

PEBBLEBROOK HOTEL TRUST REIT USD.01
 
 
**
3,795,458

PEMBINA PIPELINE CORP COMMON STOCK NPV
 
 
**
76,766

PENN VIRGINIA CORP COMMON STOCK USD.01
 
 
**
32,178

J.C. PENNEY CO INC COMMON STOCK USD.5
 
 
**
176,010

PENNS WOODS BANCORP INC COMMON STOCK USD8.33
 
 
**
25,221

PENNSYLVANIA ELECTRIC CO SR UNSECURED 09/17 6.05
9/1/2017
6.05%
**
320,980

PENN REAL ESTATE INVEST TST REIT USD1.
 
 
**
110,614

PENSKE TRUCK LEASING/PTL UNSECURED 144A 05/15 3.125
5/11/2015
3.13%
**
1,229,881

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/16 2.5
3/15/2016
2.5%
**
1,024,913

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/18 3.375
3/15/2018
3.38%
**
12,992,741

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 01/23 4.25
1/17/2023
4.25%
**
124,558

PENSKE AUTOMOTIVE GROUP INC COMMON STOCK USD.0001
 
 
**
1,513,957

PENTAIR FINANCE SA COMPANY GUAR 12/15 1.35
12/1/2015
1.35%
**
5,809,535

GROUPE BRUXELLES LAMBERT SA COMMON STOCK NPV
 
 
**
85,525

PEOPLES BANCORP INC COMMON STOCK NPV
 
 
**
37,210

NOVARTIS AG REG COMMON STOCK CHF.5
 
 
**
4,120,317

PEUGEOT SA COMMON STOCK EUR1.
 
 
**
490,179

PEOPLES BANCORP OF NC COMMON STOCK NPV
 
 
**
11,303

ABB LTD REG COMMON STOCK CHF1.03
 
 
**
680,697

ROCHE HOLDING AG GENUSSCHEIN COMMON STOCK NPV
 
 
**
11,450,073

TECAN GROUP AG REG COMMON STOCK CHF.1
 
 
**
589,308

NESTLE SA REG COMMON STOCK CHF.1
 
 
**
13,140,471

BALOISE HOLDING AG REG COMMON STOCK CHF.1
 
 
**
334,275

PEOPLE S UNITED FINANCIAL COMMON STOCK USD.01
 
 
**
454,337

PEOPLES UNITED BANK SUBORDINATED 07/24 4
7/15/2024
4%
**
460,866

PEP BOYS MANNY MOE + JACK COMMON STOCK USD1.
 
 
**
1,214,557

PEPSICO INC SR UNSECURED 06/18 5
6/1/2018
5%
**
1,476,126

PEPSICO INC SR UNSECURED 11/18 7.9
11/1/2018
7.9%
**
600,998

PEPSICO INC SR UNSECURED 01/15 3.1
1/15/2015
3.1%
**
225,180

PEPSICO INC SR UNSECURED 08/21 3
8/25/2021
3%
**
3,502,785

PEPSICO INC SR UNSECURED 03/15 0.75
3/5/2015
0.75%
**
7,503,908

PEPSICO INC SR UNSECURED 08/15 0.7
8/13/2015
0.7%
**
2,665,003

PEPSICO INC SR UNSECURED 08/17 1.25
8/13/2017
1.25%
**
896,260

PEPSICO INC SR UNSECURED 02/16 0.7
2/26/2016
0.7%
**
1,936,010

PERCEPTRON INC COMMON STOCK USD.01
 
 
**
10,199

PERFICIENT INC COMMON STOCK USD.001
 
 
**
63,007

PERICOM SEMICONDUCTOR CORP COMMON STOCK NPV
 
 
**
29,138

PERKINELMER INC COMMON STOCK USD1.
 
 
**
2,851,196

PERNOD RICARD SA SR UNSECURED 144A 01/22 4.45
1/15/2022
4.45%
**
3,661,719

PERRIGO CO PLC COMPANY GUAR 11/16 1.3
11/8/2016
1.3%
**
7,041,032

PERRIGO CO PLC SR UNSECURED 11/18 2.3
11/8/2018
2.3%
**
4,346,572

PERRIGO FINANCE PLC COMPANY GUAR 12/21 3.5
12/15/2021
3.5%
**
2,670,793

ENEL SPA COMMON STOCK EUR1.
 
 
**
1,151,343


127
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ING GROEP NV CVA DUTCH CERT EUR.24
 
 
**
5,931,776

SONOVA HOLDING AG REG COMMON STOCK CHF.05
 
 
**
2,574,908

PETRO CANADA SR UNSECURED 05/18 6.05
5/15/2018
6.05%
**
922,291

PETROBRAS INTL FIN CO COMPANY GUAR 01/20 5.75
1/20/2020
5.75%
**
1,892,792

PETROBRAS INTL FIN CO COMPANY GUAR 01/21 5.375
1/27/2021
5.38%
**
1,514,942

PETROBRAS INTL FIN CO COMPANY GUAR 01/41 6.75
1/27/2041
6.75%
**
72,766

PETROBRAS INTL FIN CO COMPANY GUAR 02/15 2.875
2/6/2015
2.88%
**
2,106,307

PETROBRAS GLOBAL FINANCE COMPANY GUAR 05/16 2
5/20/2016
2%
**
2,894,105

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/17 3.25
3/17/2017
3.25%
**
942,500

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/17 VAR
3/17/2017
1%
**
646,170

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/24 6.25
3/17/2024
6.25%
**
2,283,696

PETROLEOS MEXICANOS COMPANY GUAR 06/41 6.5
6/2/2041
6.5%
**
1,267,988

PETROLEO BRASIL SP PREF ADR ADR
 
 
**
285,766

PETROQUEST ENERGY INC COMMON STOCK USD.001
 
 
**
14,567

DE LONGHI SPA COMMON STOCK EUR1.5
 
 
**
541,622

PFIZER INC COMMON STOCK USD.05
 
 
**
35,759,047

PFIZER INC SR UNSECURED 03/19 6.2
3/15/2019
6.2%
**
1,570,572

PFIZER INC SR UNSECURED 01/17 0.9
1/15/2017
0.9%
**
876,510

PFIZER INC SR UNSECURED 06/23 3
6/15/2023
3%
**
45,507

PFIZER INC SR UNSECURED 05/17 1.1
5/15/2017
1.1%
**
4,363,827

PHARMERICA CORP COMMON STOCK USD.01
 
 
**
57,305

PHILIP MORRIS INTERNATIONAL COMMON STOCK NPV
 
 
**
19,084,875

PHILIP MORRIS INTL INC SR UNSECURED 05/18 5.65
5/16/2018
5.65%
**
253,491

PHILIP MORRIS INTL INC SR UNSECURED 03/20 4.5
3/26/2020
4.5%
**
1,580,417

PHILIP MORRIS INTL INC SR UNSECURED 05/16 2.5
5/16/2016
2.5%
**
5,804,838

PHILIP MORRIS INTL INC SR UNSECURED 11/21 2.9
11/15/2021
2.9%
**
11,570,202

PHILIP MORRIS INTL INC SR UNSECURED 03/23 2.625
3/6/2023
2.63%
**
267,110

PHILIP MORRIS INTL INC SR UNSECURED 11/17 1.25
11/9/2017
1.25%
**
4,583,013

PHOTRONICS INC COMMON STOCK USD.01
 
 
**
12,349

ESSILOR INTERNATIONAL COMMON STOCK EUR.18
 
 
**
3,413,881

PIMCO FDS PAC INVT MGMT SER SHORT TERM PORTFOLIO INSTL CL
 
 
**
4,334,581

PIMCO FDS PAC INVT MGMT SER INVT GRADE CORP PORT INSTL CL
 
 
**
4,584,920

PIMCO FDS PAC INVT MGMT SER ASSET BKD SECS PORTFOLIO
 
 
**
3,103,521

PIMCO FDS SHORT TERM FLTG NAV MUTUAL FUND
 
 
**
149,929,702

PINNACLE FINANCIAL PARTNERS COMMON STOCK USD1.
 
 
**
1,151,998

PINNACLE FOODS INC COMMON STOCK USD.01
 
 
**
3,735,234

PIONEER ENERGY SERVICES CORP COMMON STOCK USD.1
 
 
**
23,850

SNAM SPA COMMON STOCK NPV
 
 
**
876,075

CREDIT AGRICOLE SA COMMON STOCK EUR3.
 
 
**
320,113

FREEPORT MCMORAN OIL+GAS COMPANY GUAR 11/20 6.5
11/15/2020
6.5%
**
309,586

FREEPORT MCMORAN OIL+GAS COMPANY GUAR 02/23 6.875
2/15/2023
6.88%
**
401,613

PLAINS ALL AMER PIPELINE SR UNSECURED 01/17 6.125
1/15/2017
6.13%
**
441,383

PLAINS ALL AMER PIPELINE SR UNSECURED 05/18 6.5
5/1/2018
6.5%
**
487,809

PLAINS ALL AMER PIPELINE SR UNSECURED 01/20 5.75
1/15/2020
5.75%
**
2,859,096

PLAINS ALL AMER PIPELINE SR UNSECURED 09/15 3.95
9/15/2015
3.95%
**
255,113

PLAINS ALL AMER PIPELINE SR UNSECURED 02/21 5
2/1/2021
5%
**
440,726


128
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
PLAINS ALL AMER PIPELINE SR UNSECURED 10/23 3.85
10/15/2023
3.85%
**
14,507,789

PLAINS ALL AMER PIPELINE SR UNSECURED 12/19 2.6
12/15/2019
2.6%
**
53,625

PLAINS ALL AMER PIPELINE SR UNSECURED 02/45 4.9
2/15/2045
4.9%
**
147,356

PLEXUS CORP COMMON STOCK USD.01
 
 
**
135,169

POLARIS INDUSTRIES INC COMMON STOCK USD.01
 
 
**
360,254

POLYCOM INC COMMON STOCK USD.0005
 
 
**
177,120

POLYONE CORPORATION COMMON STOCK USD.01
 
 
**
2,767,525

OTP BANK PLC COMMON STOCK HUF100.
 
 
**
31,663

PORSCHE INNOVATIVE LEASE OWNER PILOT 2013 1 A2 144A
1/22/2016
0.54%
**
1,038,858

PORSCHE INNOVATIVE LEASE OWNER PILOT 2014 1 A2 144A
1/20/2017
0.65%
**
4,701,321

PORT AUTH OF NEW YORK NEW JE PORTRN 12/24 FIXED 5.859
12/1/2024
5.86%
**
23,655,360

PORT AUTH OF NEW YORK NEW JE PORTRN 10/62 FIXED 4.458
10/1/2062
4.46%
**
955,287

PORTLAND GENERAL ELECTRIC CO COMMON STOCK NPV
 
 
**
6,167,992

INTRUM JUSTITIA AB COMMON STOCK NPV
 
 
**
486,035

POST HOLDINGS INC COMMON STOCK USD.01
 
 
**
167,434

POST PROPERTIES INC REIT USD.01
 
 
**
216,861

POTASH CORP SASKATCHEWAN SR UNSECURED 09/15 3.75
9/30/2015
3.75%
**
5,882,571

POTASH CORP SASKATCHEWAN SR UNSECURED 12/17 3.25
12/1/2017
3.25%
**
651,941

POTASH CORP SASKATCHEWAN SR UNSECURED 03/24 3.625
3/15/2024
3.63%
**
174,427

AAREAL BANK AG COMMON STOCK NPV
 
 
**
617,532

COMPAGNIE DE SAINT GOBAIN COMMON STOCK EUR4.0
 
 
**
413,426

POWELL INDUSTRIES INC COMMON STOCK USD.01
 
 
**
40,237

POWER CORP OF CANADA COMMON STOCK NPV
 
 
**
123,393

POWER INTEGRATIONS INC COMMON STOCK USD.001
 
 
**
2,976,861

POWERSECURE INTERNATIONAL IN COMMON STOCK USD.01
 
 
**
26,271

PRAXAIR INC SR UNSECURED 08/22 2.2
8/15/2022
2.2%
**
110,194

PRECISION CASTPARTS CORP COMMON STOCK NPV
 
 
**
8,488,852

PRECISION CASTPARTS CORP SR UNSECURED 12/15 0.7
12/20/2015
0.7%
**
4,981,575

PREFERRED BANK/LOS ANGELES COMMON STOCK NPV
 
 
**
37,149

PREFORMED LINE PRODUCTS CO COMMON STOCK USD2.
 
 
**
33,597

PREMIER FINANCIAL BANCORP COMMON STOCK NPV
 
 
**
12,776

PREMIERE GLOBAL SERVICES INC COMMON STOCK USD.01
 
 
**
43,542

PRESTIGE BRANDS HOLDINGS INC COMMON STOCK USD.01
 
 
**
2,875,927

PRICELINE GROUP INC/THE COMMON STOCK USD.008
 
 
**
37,857,252

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 05/18 1.6
5/29/2018
1.6%
**
147,941

PRIME MORTGAGE TRUST PRIME 2004 CL1 2A1
2/25/2019
5%
**
7,732

PRIME MORTGAGE TRUST PRIME 2005 2 1A1
7/25/2020
4.75%
**
255,653

PRINCIPAL FINANCIAL GROU COMPANY GUAR 11/17 1.85
11/15/2017
1.85%
**
334,267

PRINCIPAL FINANCIAL GROU COMPANY GUAR 05/23 3.125
5/15/2023
3.13%
**
2,953,467

PRINCIPAL LFE GLB FND II SR SECURED 144A 12/15 1
12/11/2015
1%
**
5,089,977

PRINCIPAL LFE GLB FND II SR SECURED 144A 05/16 VAR
5/27/2016
0.61%
**
3,358,924

PRINCIPAL LFE GLB FND II SR SECURED 144A 10/18 2.25
10/15/2018
2.25%
**
780,656

PRINCIPAL LFE GLB FND II SR SECURED 144A 09/17 1.5
9/11/2017
1.5%
**
284,190

PRIVATE EXPORT FUNDING US GOVT GUAR 03/19 4.375
3/15/2019
4.38%
**
539,392

PRIVATE EXPORT FUNDING US GOVT GUAR 11/22 2.05
11/15/2022
2.05%
**
369,562

PROASSURANCE CORP COMMON STOCK USD.01
 
 
**
4,620,741

PROCERA NETWORKS INC COMMON STOCK USD.001
 
 
**
13,266

PROCTER + GAMBLE CO/THE COMMON STOCK
 
 
**
2,984,746


129
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
PROCTER + GAMBLE CO/THE SR UNSECURED 08/34 5.8
8/15/2034
5.8%
**
59,819

PROCTER + GAMBLE CO/THE SR UNSECURED 08/16 1.45
8/15/2016
1.45%
**
2,198,222

PRIVATEBANCORP INC COMMON STOCK NPV
 
 
**
4,064,112

PROGRESS ENERGY INC SR UNSECURED 01/16 5.625
1/15/2016
5.63%
**
3,038,530

PROGRESS ENERGY INC SR UNSECURED 03/19 7.05
3/15/2019
7.05%
**
3,999,557

PROGRESS ENERGY INC SR UNSECURED 12/19 4.875
12/1/2019
4.88%
**
6,551,652

PROGRESS ENERGY INC SR UNSECURED 04/22 3.15
4/1/2022
3.15%
**
916,759

PROGRESS SOFTWARE CORP COMMON STOCK USD.01
 
 
**
130,155

PROGRESSIVE CORP SR UNSECURED 04/44 4.35
4/25/2044
4.35%
**
67,122

PROLOGIS LP COMPANY GUAR 03/20 6.875
3/15/2020
6.88%
**
5,873,025

PROSPERITY BANCSHARES INC COMMON STOCK USD1.
 
 
**
385,859

PROTO LABS INC COMMON STOCK USD.001
 
 
**
3,385,939

PROVIDENCE AND WORCESTER RR COMMON STOCK USD.5
 
 
**
11,224

SWISS LIFE HOLDING AG REG COMMON STOCK CHF5.1
 
 
**
2,806,871

PROVIDENT FINANCIAL HLDGS COMMON STOCK USD.01
 
 
**
13,950

PROVIDENT FINANCIAL SERVICES COMMON STOCK USD.01
 
 
**
118,474

POLAND GOVERNMENT BOND BONDS 09/22 5.75
9/23/2022
5.75%
**
2,336,135

PRUDENTIAL BANCORP INC COMMON STOCK USD.01
 
 
**
11,328

PRUDENTIAL FINANCIAL INC COMMON STOCK USD.01
 
 
**
5,521,045

PRUDENTIAL FINANCIAL INC SR UNSECURED 06/17 6.1
6/15/2017
6.1%
**
1,827,433

PRUDENTIAL FINANCIAL INC SR UNSECURED 06/20 5.375
6/21/2020
5.38%
**
101,576

PRUDENTIAL FINANCIAL INC SR UNSECURED 05/16 3
5/12/2016
3%
**
2,075,018

PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/22 2.25
9/15/2022
2.25%
**
29,736

PUB SVC NEW HAMP 1ST MORTGAGE 11/23 3.5
11/1/2023
3.5%
**
43,372

PUBLIC SERVICE CO OF NEW SR UNSECURED 05/18 7.95
5/15/2018
7.95%
**
411,901

PUBLIC SERVICE OKLAHOMA SR UNSECURED 12/19 5.15
12/1/2019
5.15%
**
111,778

PUB SVC ELEC + GAS 1ST MORTGAGE 05/15 2.7
5/1/2015
2.7%
**
201,463

PUBLIC SERVICE ENTERPRISE GP COMMON STOCK NPV
 
 
**
4,521,972

PULASKI FINANCIAL CORP COMMON STOCK USD.01
 
 
**
15,141

PUMA BIOTECHNOLOGY INC COMMON STOCK USD.0001
 
 
**
757,080

QVC INC SR SECURED 04/24 4.85
4/1/2024
4.85%
**
11,201,102

QLOGIC CORP COMMON STOCK USD.001
 
 
**
117,416

QCR HOLDINGS INC COMMON STOCK USD1.
 
 
**
14,667

QUAD GRAPHICS INC COMMON STOCK USD.025
 
 
**
80,016

OOREDOO INTERNATIONAL FI COMPANY GUAR 144A 10/16 3.375
10/14/2016
3.38%
**
61,567

QLIK TECHNOLOGIES INC COMMON STOCK USD.0001
 
 
**
3,119,890

QEP RESOURCES INC COMMON STOCK USD.01
 
 
**
325,380

QUALCOMM INC COMMON STOCK USD.0001
 
 
**
45,648,655

QUALYS INC COMMON STOCK USD.001
 
 
**
1,426,082

QUANEX BUILDING PRODUCTS COMMON STOCK USD.01
 
 
**
69,298

QUANTA SERVICES INC COMMON STOCK USD.00001
 
 
**
602,351

PROVINCE OF QUEBEC UNSECURED 02/23 2.625
2/13/2023
2.63%
**
5,003,863

PROVINCE OF QUEBEC SR UNSECURED 12/18 4.5
12/1/2018
4.5%
**
191,492

PROVINCE OF QUEBEC NOTES 12/21 4.25
12/1/2021
4.25%
**
194,934

QUEBECOR INC CL B COMMON STOCK NPV
 
 
**
741,797

QUEST DIAGNOSTICS INC COMPANY GUAR 11/15 5.45
11/1/2015
5.45%
**
1,532,303

QUEST DIAGNOSTICS INC COMPANY GUAR 04/16 3.2
4/1/2016
3.2%
**
307,376

QUINSTREET INC COMMON STOCK USD.001
 
 
**
17,421


130
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
QUINTILES TRANSNATIONAL HOLD COMMON STOCK USD.01
 
 
**
4,543,057

RBSGC MORTGAGE PASS THROUGH CE RBSGC 2007 B 1A4
1/25/2037
0.62%
**
1,327,870

RCI HOSPITALITY HOLDINGS INC COMMON STOCK USD.01
 
 
**
10,271

RCS CAPITAL CORP CLASS A COMMON STOCK USD.001
 
 
**
32,620

RLJ LODGING TRUST REIT
 
 
**
295,567

RPM INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
4,238,912

RPX CORP COMMON STOCK USD.0001
 
 
**
67,798

RTI INTERNATIONAL METALS INC COMMON STOCK USD.01
 
 
**
1,532,145

RIALTO REAL ESTATE FUND LP RIAL 2014 LT6 A 144A
9/15/2024
2.75%
**
4,258,038

RF MICRO DEVICES INC COMMON STOCK NPV
 
 
**
2,258,563

RACKSPACE HOSTING INC COMMON STOCK USD.001
 
 
**
4,870,377

RADIAN GROUP INC COMMON STOCK USD.001
 
 
**
2,818,992

RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 3A2
9/25/2046
0.37%
**
143,390

RAMCO GERSHENSON PROPERTIES REIT USD.01
 
 
**
99,884

BANQUE CANTONALE VAUDOIS REG COMMON STOCK CHF10.
 
 
**
220,232

RAYMOND JAMES FINANCIAL INC COMMON STOCK USD.01
 
 
**
1,924,944

RAYTHEON COMPANY SR UNSECURED 10/20 3.125
10/15/2020
3.13%
**
1,409,772

RAYTHEON COMPANY SR UNSECURED 12/24 3.15
12/15/2024
3.15%
**
1,238,704

REALNETWORKS INC COMMON STOCK USD.001
 
 
**
25,252

REALOGY HOLDINGS CORP COMMON STOCK USD.01
 
 
**
1,904,172

REALTY INCOME CORP SR UNSECURED 01/18 2
1/31/2018
2%
**
250,461

RED HAT INC COMMON STOCK USD.0001
 
 
**
7,741,260

RED ROBIN GOURMET BURGERS COMMON STOCK USD.001
 
 
**
110,459

KLEPIERRE REIT EUR1.4
 
 
**
69,868

REGAL BELOIT CORP COMMON STOCK USD.01
 
 
**
339,152

REGENCY CENTERS CORP REIT USD.01
 
 
**
398,753

REGENERON PHARMACEUTICALS COMMON STOCK USD.001
 
 
**
17,369,985

REGIONAL MANAGEMENT CORP COMMON STOCK USD.1
 
 
**
17,818

REGIONS FINANCIAL CORP SR UNSECURED 06/15 5.75
6/15/2015
5.75%
**
357,269

REGIONS FINANCIAL CORP SR UNSECURED 05/18 2
5/15/2018
2%
**
6,195,613

REINSURANCE GROUP OF AMERICA COMMON STOCK USD.01
 
 
**
601,687

RELIANCE STEEL + ALUMINUM COMMON STOCK NPV
 
 
**
2,987,219

REMY INTERNATIONAL INC COMMON STOCK USD.0001
 
 
**
62,174

RENASANT CORP COMMON STOCK USD5.
 
 
**
1,919,044

RENEWABLE ENERGY GROUP INC COMMON STOCK USD.0001
 
 
**
41,802

REPLIGEN CORP COMMON STOCK USD.01
 
 
**
304,405

RENT A CENTER INC COMMON STOCK USD.01
 
 
**
193,586

RENTRAK CORP COMMON STOCK USD.001
 
 
**
817,550

REPUBLIC BANCORP INC CLASS A COMMON STOCK NPV
 
 
**
48,130

REPUBLIC SERVICES INC COMPANY GUAR 05/18 3.8
5/15/2018
3.8%
**
518,422

REPUBLIC SERVICES INC COMPANY GUAR 09/19 5.5
9/15/2019
5.5%
**
135,189

RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL2 A2
10/25/2035
0.43%
**
35,229

RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1
3/25/2032
6.5%
**
4,722

GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1
7/19/2035
2.96%
**
3,599,918

RESOLUTE FOREST PRODUCTS COMMON STOCK USD.001
 
 
**
166,062

RESOURCE AMERICA INC CL A COMMON STOCK USD.01
 
 
**
18,532

RESOURCES CONNECTION INC COMMON STOCK USD.01
 
 
**
62,378


131
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
RESTORATION HARDWARE HOLDING COMMON STOCK USD.0001
 
 
**
3,877,844

RESTAURANT BRANDS INTERN COMMON STOCK
 
 
**
64,425

RETAILMENOT INC COMMON STOCK USD.001
 
 
**
46,448

REX ENERGY CORP COMMON STOCK USD.001
 
 
**
18,294

REXNORD CORP COMMON STOCK USD.01
 
 
**
5,444,530

REYNOLDS AMERICAN INC COMPANY GUAR 06/18 7.75
6/1/2018
7.75%
**
397,052

REYNOLDS AMERICAN INC COMPANY GUAR 06/17 6.75
6/15/2017
6.75%
**
6,666,889

REYNOLDS AMERICAN INC COMPANY GUAR 10/15 1.05
10/30/2015
1.05%
**
1,376,497

REYNOLDS AMERICAN INC COMPANY GUAR 11/22 3.25
11/1/2022
3.25%
**
5,678,665

REYNOLDS GRP ISS/REYNOLD SR SECURED 10/20 5.75
10/15/2020
5.75%
**
1,435,000

UBI BANCA SCPA COMMON STOCK EUR2.5
 
 
**
120,294

RICE ENERGY INC COMMON STOCK USD.01
 
 
**
1,575,141

SLM STUDENT LOAN TR 03 7 SLM STUDENT LOAN TR 03 7 REGS
12/15/2033
0.63%
**
675,800

RING ENERGY INC COMMON STOCK USD.001
 
 
**
603,956

RIOCAN REAL ESTATE INVST TR REIT NPV
 
 
**
109,531

RIO TINTO FIN USA LTD COMPANY GUAR 11/20 3.5
11/2/2020
3.5%
**
944,186

RIO TINTO FIN USA LTD COMPANY GUAR 09/16 2.25
9/20/2016
2.25%
**
91,656

RIO TINTO FIN USA PLC COMPANY GUAR 03/22 3.5
3/22/2022
3.5%
**
129,964

RIO TINTO FIN USA PLC 06/16 1.375
6/17/2016
1.38%
**
4,711,673

RIO TINTO FIN USA PLC 12/18 2.25
12/14/2018
2.25%
**
300,605

ROADRUNNER TRANSPORTATION SY COMMON STOCK USD.01
 
 
**
81,375

ROBERT HALF INTL INC COMMON STOCK USD.001
 
 
**
5,913,894

ROCHE HOLDINGS LTD SPONS ADR ADR
 
 
**
1,434,752

ROCHE HOLDING INC COMPANY GUAR 144A 09/24 3.35
9/30/2024
3.35%
**
1,337,969

ROCK TENN COMPANY CL A COMMON STOCK USD.01
 
 
**
4,045,840

ROCK TENN CO COMPANY GUAR 03/22 4.9
3/1/2022
4.9%
**
349,111

ROCKY BRANDS INC COMMON STOCK NPV
 
 
**
10,873

ROFIN SINAR TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
82,570

ROGERS COMMUNICATIONS IN COMPANY GUAR 05/32 8.75
5/1/2032
8.75%
**
65,093

ROGERS COMMUNICATIONS IN COMPANY GUAR 03/15 6.75
3/15/2015
6.75%
**
268,086

ROGERS COMMUNICATIONS IN COMPANY GUAR 08/18 6.8
8/15/2018
6.8%
**
4,937,419

ROGERS CORP COMMON STOCK USD1.
 
 
**
141,868

ROGERS COMMUNICATIONS IN COMPANY GUAR 03/15 7.5
3/15/2015
7.5%
**
5,045,731

ROHM + HAAS CO COMPANY GUAR 09/17 6
9/15/2017
6%
**
4,899,509

ROSETTA RESOURCES INC COMMON STOCK USD.001
 
 
**
2,150,933

HEINEKEN NV COMMON STOCK EUR1.6
 
 
**
1,152,162

ROVI CORP COMMON STOCK USD.001
 
 
**
2,372,447

ROYAL BANK OF CANADA COMMON STOCK NPV
 
 
**
1,385,539

ROYAL BANK OF CANADA SR UNSECURED 03/16 0.85
3/8/2016
0.85%
**
5,001,880

ROYAL BANK OF CANADA SR UNSECURED 07/16 2.3
7/20/2016
2.3%
**
1,296,086

ROYAL BK SCOTLND GRP PLC SR UNSECURED 10/19 6.4
10/21/2019
6.4%
**
1,835,159

ROYAL BK SCOTLND GRP PLC SR UNSECURED 09/15 2.55
9/18/2015
2.55%
**
1,050,412

ROYAL BANK OF CANADA SR UNSECURED 09/16 1.45
9/9/2016
1.45%
**
402,833

ROYAL BANK OF CANADA SR UNSECURED 01/17 1.2
1/23/2017
1.2%
**
3,497,442

ROYAL BK OF SCOTLAND PLC COMPANY GUAR 03/15 4.875
3/16/2015
4.88%
**
100,769

ROYAL BK OF SCOTLAND PLC COMPANY GUAR 01/21 6.125
1/11/2021
6.13%
**
889,678

ROYAL BANK OF CANADA COVERED 09/18 1.2
9/19/2018
1.2%
**
454,391


132
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ROYAL DUTCH SHELL SPON ADR A ADR
 
 
**
7,605,520

RUBY TUESDAY INC COMMON STOCK USD.01
 
 
**
93,510

RUCKUS WIRELESS INC COMMON STOCK USD.001
 
 
**
1,590,366

RUDOLPH TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
34,598

RUSH ENTERPRISES INC CL A COMMON STOCK USD.01
 
 
**
91,984

RUSSIAN FEDERATION SR UNSECURED 144A 03/30 VAR
3/31/2030
7.5%
**
611,312

RYDER SYSTEM INC COMMON STOCK USD.5
 
 
**
4,422,446

RYDER SYSTEM INC SR UNSECURED 06/17 3.5
6/1/2017
3.5%
**
464,486

RYDER SYSTEM INC SR UNSECURED 03/17 2.5
3/1/2017
2.5%
**
507,068

RYDER SYSTEM INC SR UNSECURED 02/19 2.35
2/26/2019
2.35%
**
148,965

RYLAND GROUP INC/THE COMMON STOCK USD1.
 
 
**
2,174,977

RYMAN HOSPITALITY PROPERTIES REIT USD.01
 
 
**
75,682

S + T BANCORP INC COMMON STOCK USD2.5
 
 
**
88,595

SBA COMMUNICATIONS CORP CL A COMMON STOCK USD.01
 
 
**
9,698,921

SNAAC AUTO RECEIVABLES TRUST SNAAC 2013 1A A 144A
7/16/2018
1.14%
**
13,460

SEI INVESTMENTS COMPANY COMMON STOCK USD.01
 
 
**
451,331

SI FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
14,694

SK TELECOM CO LTD SPON ADR ADR
 
 
**
194,472

SL INDS INC COMMON STOCK USD.2
 
 
**
15,990

NAVIENT CORP SR UNSECURED 06/18 8.45
6/15/2018
8.45%
**
78,050

NAVIENT CORP SR UNSECURED 01/16 6.25
1/25/2016
6.25%
**
780,000

NAVIENT CORP SR UNSECURED 09/15 3.875
9/10/2015
3.88%
**
2,609,425

NAVIENT CORP SR UNSECURED 06/19 4.875
6/17/2019
4.88%
**
601,740

SLM STUDENT LOAN TRUST SLMA 2002 5 A4L
9/17/2018
1%
**
1,036

SLM STUDENT LOAN TRUST SLMA 2003 3 A4
12/15/2017
1%
**
5,680

SLM STUDENT LOAN TRUST SLMA 2003 4 B
6/15/2038
0.89%
**
1,230,239

SLM STUDENT LOAN TRUST SLMA 2003 6 A4
12/17/2018
1%
**
39,875

SLM STUDENT LOAN TRUST SLMA 2003 11 A6 144A
12/15/2025
0.99%
**
2,197,666

SLM STUDENT LOAN TRUST SLMA 2005 4 A2
4/26/2021
1%
**
49,323

SLM STUDENT LOAN TRUST SLMA 2005 5 B
10/25/2040
0.48%
**
4,647,912

SLM STUDENT LOAN TRUST SLMA 2005 6 B
1/25/2044
0.52%
**
10,448,968

SLM STUDENT LOAN TRUST SLMA 2005 10 A4
10/25/2019
1%
**
30,060

SLM STUDENT LOAN TRUST SLMA 2002 A A2
12/16/2030
0.79%
**
7,132,387

SLM STUDENT LOAN TRUST SLMA 2004 A A3
6/15/2033
0.64%
**
12,799,506

SLM STUDENT LOAN TRUST SLMA 2004 B A2
6/15/2021
0.44%
**
5,932,530

SLM STUDENT LOAN TRUST SLMA 2006 B A4
3/15/2024
0.42%
**
673,345

SLM STUDENT LOAN TRUST SLMA 2007 A A4A
12/16/2041
0.48%
**
707,790

SLM STUDENT LOAN TRUST SLMA 2006 9 B
1/25/2041
0.46%
**
2,654,257

SLM STUDENT LOAN TRUST SLMA 2007 2 A2
7/25/2017
0.23%
**
106,904

SLM STUDENT LOAN TRUST SLMA 2007 3 A2
10/25/2017
1%
**
43,468

SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A A1 144A
9/15/2021
0.66%
**
4,440,881

SLM STUDENT LOAN TRUST SLMA 2008 9 A
4/25/2023
1.73%
**
27,598,552

SLM STUDENT LOAN TRUST SLMA 2013 5 A2
10/26/2020
0.56%
**
10,010,340

SM ENERGY CO COMMON STOCK USD.01
 
 
**
170,022

SNAAC AUTO RECEIVABLES TRUST SNAAC 2014 1A A 144A
9/17/2018
1.03%
**
133,481

SPS COMMERCE INC COMMON STOCK USD.001
 
 
**
1,198,857

SP PLUS CORP COMMON STOCK USD.001
 
 
**
54,295

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/22 3.75
1/15/2022
3.75%
**
626,226


133
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/17 2.45
1/15/2017
2.45%
**
612,161

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/15 1.85
1/15/2015
1.85%
**
200,077

SABMILLER HOLDINGS INC COMPANY GUAR 144A 08/18 VAR
8/1/2018
0.92%
**
2,006,336

SAFEGUARD SCIENTIFICS INC COMMON STOCK USD.1
 
 
**
2,103,655

SAGA COMMUNICATIONS INC CL A COMMON STOCK USD.01
 
 
**
22,262

SAGENT PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
**
1,217,709

SAIA INC COMMON STOCK USD.001
 
 
**
2,640,672

ST JOE CO/THE COMMON STOCK NPV
 
 
**
163,984

ST JUDE MEDICAL INC COMMON STOCK USD.1
 
 
**
9,934,438

ST JUDE MEDICAL INC SR UNSECURED 01/16 2.5
1/15/2016
2.5%
**
4,058,740

TRAVELERS COS INC SR UNSECURED 06/16 6.25
6/20/2016
6.25%
**
753,477

SALEM COMMUNICATIONS CL A COMMON STOCK USD.01
 
 
**
13,622

SALESFORCE.COM INC COMMON STOCK USD.001
 
 
**
18,742,019

SALIX PHARMACEUTICALS LTD COMMON STOCK USD.001
 
 
**
1,678,124

SALLY BEAUTY HOLDINGS INC COMMON STOCK USD.01
 
 
**
13,786,890

SAN DIEGO GAS + ELECTRIC 1ST MORTGAGE 11/15 5.3
11/15/2015
5.3%
**
228,998

SANCHEZ ENERGY CORP COMMON STOCK USD.01
 
 
**
35,228

SANDERSON FARMS INC COMMON STOCK USD1.
 
 
**
189,476

SANDISK CORP COMMON STOCK USD.001
 
 
**
24,552,808

SANDRIDGE ENERGY INC COMMON STOCK USD.001
 
 
**
58,204

SANDY SPRING BANCORP INC COMMON STOCK USD1.
 
 
**
66,817

JOHN B. SANFILIPPO + SON INC COMMON STOCK USD.01
 
 
**
37,310

SANMINA CORP COMMON STOCK USD.01
 
 
**
188,122

SANOFI ADR ADR
 
 
**
5,555,298

SANOFI SR UNSECURED 03/16 2.625
3/29/2016
2.63%
**
711,861

SANOFI SR UNSECURED 04/18 1.25
4/10/2018
1.25%
**
3,169,459

SANTANDER HOLDINGS USA SR UNSECURED 09/15 3
9/24/2015
3%
**
1,733,532

SANTANDER HOLDINGS USA SR UNSECURED 08/18 3.45
8/27/2018
3.45%
**
2,086,975

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 5 A3
12/15/2016
0.83%
**
26,335

SANTANDER DRIVE AUTO RECEIVABL SDART 2013 A A3 144A
1/16/2018
1.02%
**
692,298

SANTANDER DRIVE AUTO RECEIVABL SDART 2014 1 A2A
6/15/2017
0.66%
**
3,540,523

SANTANDER DRIVE AUTO RECEIVABL SDART 2014 1 A3
1/16/2018
0.87%
**
5,501,623

SANTANDER DRIVE AUTO RECEIVABL SDART 2014 2 A3
4/16/2018
0.8%
**
926,562

SANTANDER DRIVE AUTO RECEIVABL SDART 2014 5 A2B
4/16/2018
0.56%
**
6,501,138

SAUDI ELECTRICITY GLOBAL SR UNSECURED 144A 04/43 5.06
4/8/2043
5.06%
**
203,250

SBERBANK SPONSORED ADR ADR
 
 
**
589,540

SCANA CORPORATION SR UNSECURED 02/22 4.125
2/1/2022
4.13%
**
103,667

SCANSOURCE INC COMMON STOCK NPV
 
 
**
115,259

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 09/16 1.95
9/14/2016
1.95%
**
254,550

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 08/17 1.25
8/1/2017
1.25%
**
149,430

SCHLUMBERGER INVESTMENT COMPANY GUAR 12/23 3.65
12/1/2023
3.65%
**
334,512

SCHLUMBERGER LTD COMMON STOCK USD.01
 
 
**
8,411,091

SCHLUMBERGER NORGE AS COMPANY GUAR 144A 08/17 1.25
8/1/2017
1.25%
**
104,733

SCHLUMBERGER OILFIELD UK COMPANY GUAR 144A 01/21 4.2
1/15/2021
4.2%
**
108,498

SCHNITZER STEEL INDS INC A COMMON STOCK USD1.
 
 
**
55,498

SCHOLASTIC CORP COMMON STOCK USD.01
 
 
**
111,992

SCHULMAN (A.) INC COMMON STOCK USD1.
 
 
**
116,321

CHARLES SCHWAB CORP SR UNSECURED 09/22 3.225
9/1/2022
3.23%
**
35,745


134
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CHARLES SCHWAB CORP SR UNSECURED 12/15 0.85
12/4/2015
0.85%
**
2,088,549

SCHWEITZER MAUDUIT INTL INC COMMON STOCK USD.1
 
 
**
125,716

EW SCRIPPS CO/THE A COMMON STOCK USD.01
 
 
**
96,217

SEABOARD CORP W/D COMMON STOCK USD1.0
 
 
**
46,177

SEACHANGE INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
13,730

SEACOAST BANKING CORP/FL COMMON STOCK USD.1
 
 
**
45,100

SEACOR HOLDINGS INC COMMON STOCK USD.01
 
 
**
136,179

SEALED AIR CORP COMMON STOCK USD.1
 
 
**
2,410,024

SEATTLE GENETICS INC COMMON STOCK USD.001
 
 
**
1,039,855

SECURITY NATIONAL MORTGAGE LOA SNMLT 2007 1A 2A 144A
4/25/2037
0.52%
**
445,889

SELECT BANCORP INC COMMON STOCK USD1.0
 
 
**
12,050

SELECT INCOME REIT REIT USD.01
 
 
**
55,045

SELECT MEDICAL HOLDINGS CORP COMMON STOCK USD.001
 
 
**
181,541

SELECTIVE INSURANCE GROUP COMMON STOCK USD2.
 
 
**
3,334,764

SEMPRA ENERGY SR UNSECURED 02/19 9.8
2/15/2019
9.8%
**
269,661

SEMPRA ENERGY SR UNSECURED 10/39 6
10/15/2039
6%
**
148,249

SEMPRA ENERGY SR UNSECURED 04/17 2.3
4/1/2017
2.3%
**
188,401

SEMPRA ENERGY SR UNSECURED 12/23 4.05
12/1/2023
4.05%
**
106,849

SENECA FOODS CORP CL A COMMON STOCK USD.25
 
 
**
24,922

SENSIENT TECHNOLOGIES CORP COMMON STOCK USD.1
 
 
**
2,976,955

SEQUOIA MORTGAGE TRUST SEMT 2004 3 A
5/20/2034
1%
**
22,179

SERVICE CORP INTERNATIONAL COMMON STOCK USD1.
 
 
**
456,043

SERVICEMASTER GLOBAL HOLDING COMMON STOCK USD.01
 
 
**
2,047,905

SERVICENOW INC COMMON STOCK USD.001
 
 
**
33,550,197

SEVENTY SEVEN ENERGY INC COMMON STOCK USD.01
 
 
**
18,297

SEVERSTAL GDR REG S GDR
 
 
**
128,938

SHELL INTERNATIONAL FIN COMPANY GUAR 09/19 4.3
9/22/2019
4.3%
**
1,004,175

SHELL INTERNATIONAL FIN COMPANY GUAR 03/20 4.375
3/25/2020
4.38%
**
788,969

SHELL INTERNATIONAL FIN COMPANY GUAR 06/15 3.1
6/28/2015
3.1%
**
945,830

SHELL INTERNATIONAL FIN COMPANY GUAR 08/23 3.4
8/12/2023
3.4%
**
72,248

SHELL INTERNATIONAL FIN COMPANY GUAR 08/43 4.55
8/12/2043
4.55%
**
27,349

SHELL INTERNATIONAL FIN COMPANY GUAR 11/18 2
11/15/2018
2%
**
9,655,346

SHENANDOAH TELECOMMUNICATION COMMON STOCK NPV
 
 
**
73,656

SHILOH INDUSTRIES INC COMMON STOCK USD.01
 
 
**
24,177

SHIRE PLC ADR ADR
 
 
**
5,600,004

SHOE CARNIVAL INC COMMON STOCK USD.01
 
 
**
47,398

SHUTTERFLY INC COMMON STOCK USD.0001
 
 
**
153,855

SHUTTERSTOCK INC COMMON STOCK USD.01
 
 
**
320,555

SIEMENS FINANCIERINGSMAT COMPANY GUAR 144A 10/16 5.75
10/17/2016
5.75%
**
432,473

SIERRA BANCORP COMMON STOCK NPV
 
 
**
25,199

SIERRA PACIFIC POWER CO GENL REF MOR 05/16 6
5/15/2016
6%
**
501,790

SIFCO INDUSTRIES COMMON STOCK USD1.
 
 
**
14,925

SIGMA DESIGNS INC COMMON STOCK NPV
 
 
**
25,900

SIGNATURE BANK COMMON STOCK USD.01
 
 
**
3,274,960

SILICON LABORATORIES INC COMMON STOCK USD.0001
 
 
**
3,462,450

SILGAN HOLDINGS INC COMMON STOCK USD.01
 
 
**
2,119,451

SILICON IMAGE INC COMMON STOCK USD.001
 
 
**
42,432

SIMMONS FIRST NATL CORP CL A COMMON STOCK USD.01
 
 
**
70,812


135
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SIMON PROPERTY GROUP LP SR UNSECURED 02/20 5.65
2/1/2020
5.65%
**
269,747

SIMON PROPERTY GROUP LP SR UNSECURED 09/17 2.15
9/15/2017
2.15%
**
203,391

SIMPSON MANUFACTURING CO INC COMMON STOCK USD.01
 
 
**
163,139

SIRONA DENTAL SYSTEMS INC COMMON STOCK USD.01
 
 
**
2,236,672

SIZMEK INC COMMON STOCK
 
 
**
12,188

SKANDINAVISKA ENSKILDA SR UNSECURED 144A 03/18 1.75
3/19/2018
1.75%
**
398,959

SKULLCANDY INC COMMON STOCK USD.0001
 
 
**
25,429

SKYWEST INC COMMON STOCK NPV
 
 
**
69,415

SKYWORKS SOLUTIONS INC COMMON STOCK USD.25
 
 
**
25,177,146

SMALL BUSINESS ADMINISTRATION SBAP 1999 20L 1
12/1/2019
7.19%
**
73,528

SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1
2/1/2025
4.63%
**
1,582,790

SMALL BUSINESS ADMINISTRATION SBAP 2008 20F 1
6/1/2028
5.68%
**
541,625

SMALL BUSINESS ADMINISTRATION SBIC 2008 10A 1
3/10/2018
5.47%
**
1,696,292

SMITH (A.O.) CORP COMMON STOCK USD1.
 
 
**
1,173,328

SNAP ON INC COMMON STOCK USD1.
 
 
**
2,379,276

SNYDERS LANCE INC COMMON STOCK USD.833
 
 
**
206,671

SOLARWINDS INC COMMON STOCK USD.001
 
 
**
1,763,982

SOLARCITY CORP COMMON STOCK USD.0001
 
 
**
369,172

SOLERA HOLDINGS INC COMMON STOCK USD.01
 
 
**
4,273,530

SONIC CORP COMMON STOCK USD.01
 
 
**
5,936,140

SONIC AUTOMOTIVE INC CLASS A COMMON STOCK USD.01
 
 
**
102,536

SONOCO PRODUCTS CO COMMON STOCK NPV
 
 
**
430,008

SONUS NETWORKS INC COMMON STOCK USD.001
 
 
**
5,156,808

REPUBLIC OF SOUTH AFRICA SR UNSECURED 05/19 6.875
5/27/2019
6.88%
**
1,371,000

REPUBLIC OF SOUTH AFRICA SR UNSECURED 07/44 5.375
7/24/2044
5.38%
**
739,375

SOUTH CAROLINA STUDENT LOAN CO SCSLC 2008 1 A2
3/1/2018
0.78%
**
214,522

SOUTH JERSEY INDUSTRIES COMMON STOCK USD1.25
 
 
**
2,719,325

SOUTH STATE CORP COMMON STOCK USD2.5
 
 
**
158,108

SOUTHERN CAL EDISON 1ST REF MORT 01/36 5.55
1/15/2036
5.55%
**
208,952

SOUTHERN CAL EDISON 1ST REF MORT 10/23 3.5
10/1/2023
3.5%
**
940,826

SOUTHERN CAL EDISON 1ST REF MORT 05/17 1.125
5/1/2017
1.13%
**
3,076,194

SOUTHERN CO/THE COMMON STOCK USD5.
 
 
**
1,144,263

SOUTHERN CO SR UNSECURED 09/16 1.95
9/1/2016
1.95%
**
761,413

SOUTHERN CO SR UNSECURED 08/17 1.3
8/15/2017
1.3%
**
5,092,006

SOUTHERN COPPER CORP COMMON STOCK USD.01
 
 
**
135,360

SOUTHERN MISSOURI BANCORP COMMON STOCK USD.01
 
 
**
15,758

SOUTHERN NATL BANCORP OF VA COMMON STOCK USD.01
 
 
**
13,899

SOUTHERN NATURAL GAS COMPANY GUAR 144A 04/17 5.9
4/1/2017
5.9%
**
290,315

SOUTHERN POWER CO SR UNSECURED 07/15 4.875
7/15/2015
4.88%
**
5,156,399

SOUTHERN POWER CO SR UNSECURED 09/41 5.15
9/15/2041
5.15%
**
46,448

SOUTHWEST BANCORP INC/OKLA COMMON STOCK USD1.
 
 
**
35,588

SOUTHWEST GAS CORP COMMON STOCK USD1.
 
 
**
3,242,553

SOUTHWESTERN ELEC POWER SR UNSECURED 01/19 6.45
1/15/2019
6.45%
**
87,273

SOUTHWESTERN ENERGY CO SR UNSECURED 03/22 4.1
3/15/2022
4.1%
**
5,422,185

SOVRAN SELF STORAGE INC REIT USD.01
 
 
**
26,777

SPANSION INC CLASS A COMMON STOCK USD.001
 
 
**
3,085,720

SPARTAN MOTORS INC COMMON STOCK USD.01
 
 
**
18,331

SPARTANNASH CO COMMON STOCK NPV
 
 
**
2,482,098


136
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SPARTON CORP COMMON STOCK USD1.25
 
 
**
29,049

SPECTRA ENERGY CAPITAL COMPANY GUAR 04/18 6.2
4/15/2018
6.2%
**
288,902

SPECTRA ENERGY CAPITAL COMPANY GUAR 03/20 5.65
3/1/2020
5.65%
**
152,201

SPECTRANETICS CORP COMMON STOCK USD.001
 
 
**
1,282,123

SPEEDWAY MOTORSPORTS INC COMMON STOCK USD.01
 
 
**
82,931

SPIRIT AEROSYSTEMS HOLD CL A COMMON STOCK USD.01
 
 
**
323,704

SPIRIT REALTY CAPITAL INC REIT USD.01
 
 
**
319,306

SPLUNK INC COMMON STOCK USD.001
 
 
**
7,889,514

SPOK HOLDINGS INC COMMON STOCK USD.0001
 
 
**
39,147

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2012 2A A 144A
10/25/2057
2.22%
**
540,676

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2012 3A A 144A
12/25/2059
1.57%
**
240,395

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 1A A 144A
6/25/2058
1.27%
**
281,534

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 2A M1 144A
12/25/2065
3.52%
**
317,295

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 2A M2 144A
12/25/2065
4.48%
**
308,845

STADSHYPOTEK AB COVERED 144A 10/19 1.875
10/2/2019
1.88%
**
246,933

STAGE STORES INC COMMON STOCK USD.01
 
 
**
59,409

STAG INDUSTRIAL INC REIT USD.01
 
 
**
82,859

STANCORP FINANCIAL GROUP COMMON STOCK NPV
 
 
**
300,747

STANDARD CHARTERED PLC SR UNSECURED 144A 09/17 1.5
9/8/2017
1.5%
**
10,273,508

STANDARD MOTOR PRODS COMMON STOCK USD2.
 
 
**
85,961

STANDARD PACIFIC CORP COMMON STOCK USD.01
 
 
**
203,245

STANDEX INTERNATIONAL CORP COMMON STOCK USD1.5
 
 
**
1,626,478

STANLEY BLACK + DECKER INC COMMON STOCK USD2.5
 
 
**
5,519,412

STARBUCKS CORP COMMON STOCK USD.001
 
 
**
6,546,113

STARBUCKS CORP SR UNSECURED 12/16 0.875
12/5/2016
0.88%
**
5,013,821

STARRETT (L.S.) CO CL A COMMON STOCK USD1.
 
 
**
14,290

STARTEK INC COMMON STOCK USD.01
 
 
**
14,986

STATE AUTO FINANCIAL CORP COMMON STOCK NPV
 
 
**
93,368

STATE BANK INDIA/LONDON SR UNSECURED 144A 07/15 4.5
7/27/2015
4.5%
**
223,874

SSGA S+P 500 INDEX SER A S+P 500 FLAGSHIP NON LENDING
 
 
**
9,380,501,305

SSGA US BND INDEX SER A MUTUAL FUND
 
 
**
3,748,137,352

STATE STR BK TR CO INVT FDS US INDX NL SF CL A (CMLH1)
 
 
**
3,740,051,884

STATE STREET CORP COMMON STOCK USD1.
 
 
**
5,208,868

STATE STREET CORP JR SUBORDINA 03/18 4.956
3/15/2018
4.96%
**
2,935,063

STATE STREET CORP SR UNSECURED 03/16 2.875
3/7/2016
2.88%
**
3,356,144

STATE STREET CORP SR SUBORDINA 05/23 3.1
5/15/2023
3.1%
**
49,296

STATE STREET CORP SR UNSECURED 11/23 3.7
11/20/2023
3.7%
**
115,572

STATE STREET CORP SR UNSECURED 12/24 3.3
12/16/2024
3.3%
**
2,801,248

STATOIL ASA COMPANY GUAR 01/23 2.45
1/17/2023
2.45%
**
57,230

STATOIL ASA COMPANY GUAR 11/20 2.9
11/8/2020
2.9%
**
67,512

STATOIL ASA COMPANY GUAR 11/18 1.95
11/8/2018
1.95%
**
2,403,430

STATOIL ASA COMPANY GUAR 11/18 VAR
11/8/2018
0.69%
**
2,103,154

STATOIL ASA COMPANY GUAR 11/17 1.25
11/9/2017
1.25%
**
5,200,127

STEEL DYNAMICS INC COMMON STOCK USD.005
 
 
**
473,464

STEIN MART INC COMMON STOCK USD.01
 
 
**
64,430

STEPAN CO COMMON STOCK USD1.
 
 
**
82,164

STERLING BANCORP/DE COMMON STOCK USD.01
 
 
**
119,383

STERLING CONSTRUCTION CO COMMON STOCK USD.01
 
 
**
11,790


137
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
STEWART INFORMATION SERVICES COMMON STOCK USD1.
 
 
**
87,303

STOCK YARDS BANCORP INC COMMON STOCK NPV
 
 
**
47,843

STONE ENERGY CORP COMMON STOCK USD.01
 
 
**
62,287

STONE STREET TRUST SR UNSECURED 144A 12/15 5.902
12/15/2015
5.9%
**
208,192

STONERIDGE INC COMMON STOCK NPV
 
 
**
35,584

STRATEGIC HOTELS + RESORTS I REIT USD.01
 
 
**
280,900

STRATUS PROPERTIES INC COMMON STOCK USD.01
 
 
**
11,196

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 16 1A2
11/25/2034
2.46%
**
1,293,756

STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4
3/25/2034
0.87%
**
628,352

STRUCTURED ASSET SECURITIES CO SASC 2003 31A 2A7
10/25/2033
2.44%
**
4,043,388

STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A3
11/25/2033
2.48%
**
1,429,110

STRUCTURED ASSET SECURITIES CO SASC 2003 26A 3A5
9/25/2033
2.44%
**
1,823,783

STRUCTURED ASSET SECURITIES CO SASC 2003 22A 3A
6/25/2033
2.49%
**
580,322

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1
2/25/2034
2.57%
**
18,976

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2
4/25/2034
2.47%
**
35,821

STRUCTURED ASSET SECURITIES CO SASC 2005 GEL2 A
4/25/2035
0.72%
**
188,901

STRUCTURED ASSET SECURITIES CO SASC 2005 RF3 1A 144A
6/25/2035
0.52%
**
945,290

STRUCTURED ASSET SECURITIES CO SASC 2005 GEL4 M1
8/25/2035
0.68%
**
664,970

LEHMAN XS TRUST LXS 2005 5N 1A1
11/25/2035
0.47%
**
1,506,732

STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR4 A1
1/19/2034
0.86%
**
1,325,343

STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A1
3/19/2034
0.86%
**
296,545

STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
7/19/2035
0.41%
**
2,382,479

STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A1
5/25/2046
0.38%
**
2,093,398

STRYKER CORP COMMON STOCK USD.1
 
 
**
5,479,158

SUFFOLK BANCORP COMMON STOCK USD2.5
 
 
**
25,594

SUMITOMO MITSUI BANKING SR UNSECURED 144A 07/15 3.15
7/22/2015
3.15%
**
1,114,538

SUMITOMO MITSUI BANKING SR UNSECURED 144A 01/16 3.1
1/14/2016
3.1%
**
816,879

SUMITOMO MITSUI BANKING COMPANY GUAR 07/15 1.35
7/18/2015
1.35%
**
5,023,380

SUMITOMO MITSUI BANKING COMPANY GUAR 07/17 1.35
7/11/2017
1.35%
**
3,502,015

SUMITOMO MITSUI BANKING COMPANY GUAR 07/24 3.4
7/11/2024
3.4%
**
6,003,952

SUMITOMO MITSUI FINANCIA SUBORDINATED 144A 04/24 4.436
4/2/2024
4.44%
**
2,588,480

SUMITOMO MITSUI TR BK LT COMPANY GUAR 144A 03/18 1.8
3/28/2018
1.8%
**
496,126

SUMMIT HOTEL PROPERTIES INC REIT
 
 
**
72,674

SUNCOR ENERGY INC COMMON STOCK NPV
 
 
**
1,204,248

SUNCOR ENERGY INC SR UNSECURED 12/34 5.95
12/1/2034
5.95%
**
58,408

SUNCOKE ENERGY INC COMMON STOCK USD.01
 
 
**
122,906

SUNCOR ENERGY INC SR UNSECURED 06/18 6.1
6/1/2018
6.1%
**
336,513

SUNPOWER CORP COMMON STOCK USD.001
 
 
**
9,145,886

SUNOCO LOGISTICS PARTNER COMPANY GUAR 04/24 4.25
4/1/2024
4.25%
**
35,394

SUNSTONE HOTEL INVESTORS INC REIT USD.01
 
 
**
228,449

SUNTRUST BANKS INC SR UNSECURED 01/17 3.5
1/20/2017
3.5%
**
3,643,380

SUNTRUST BANKS INC SR UNSECURED 11/18 2.35
11/1/2018
2.35%
**
1,172,157

SUNTRUST BANKS INC SR UNSECURED 05/19 2.5
5/1/2019
2.5%
**
2,302,023

SUPER MICRO COMPUTER INC COMMON STOCK USD.001
 
 
**
1,172,142

SUNTORY HOLDINGS LTD SR UNSECURED 144A 09/17 1.65
9/29/2017
1.65%
**
1,993,956

SUPERIOR ENERGY SERVICES INC COMMON STOCK USD.001
 
 
**
278,816

SUPERIOR UNIFORM GROUP INC COMMON STOCK NPV
 
 
**
5,874

SUPPORT.COM INC COMMON STOCK USD.0001
 
 
**
11,462


138
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SUPREME INDS INC CLASS A COMMON STOCK USD.1
 
 
**
10,851

SVENSKA HANDELSBANKEN AB SR UNSECURED 01/19 2.5
1/25/2019
2.5%
**
1,040,012

SWIFT ENERGY CO COMMON STOCK USD.01
 
 
**
12,037

SWIFT TRANSPORTATION CO COMMON STOCK USD.001
 
 
**
2,421,525

SYKES ENTERPRISES INC COMMON STOCK USD.01
 
 
**
98,621

SYMANTEC CORP SR UNSECURED 09/15 2.75
9/15/2015
2.75%
**
1,265,348

SYMETRA FINANCIAL CORP COMMON STOCK USD.01
 
 
**
266,965

SYNALLOY CORP COMMON STOCK USD1.
 
 
**
16,236

SYNAPTICS INC COMMON STOCK USD.001
 
 
**
2,668,996

SYMMETRY SURGICAL INC COMMON STOCK
 
 
**
7,385

SYNOVUS FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
374,844

SYNNEX CORP COMMON STOCK USD.001
 
 
**
296,383

SYNERGY RESOURCES CORP COMMON STOCK USD.001
 
 
**
614,297

SYNCHRONY FINANCIAL SR UNSECURED 08/17 1.875
8/15/2017
1.88%
**
6,938,455

SYNCHRONY FINANCIAL SR UNSECURED 08/19 3
8/15/2019
3%
**
1,405,211

SYNCHRONY FINANCIAL SR UNSECURED 08/24 4.25
8/15/2024
4.25%
**
523,326

SYSCO CORPORATION COMPANY GUAR 10/17 1.45
10/2/2017
1.45%
**
4,135,446

SYSCO CORPORATION COMPANY GUAR 10/24 3.5
10/2/2024
3.5%
**
1,512,654

SYSTEMAX INC COMMON STOCK USD.01
 
 
**
51,192

TCF FINANCIAL CORP COMMON STOCK USD.01
 
 
**
255,702

TCI COMMUNICATIONS INC SR UNSECURED 08/15 8.75
8/1/2015
8.75%
**
418,471

TESSCO TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
23,780

TIAA SEASONED COMMERCIAL MORTG TIAAS 2007 C4 A1A
8/15/2039
5.56%
**
1,989,390

TJX COMPANIES INC COMMON STOCK USD1.
 
 
**
4,225,145

TRC COS INC COMMON STOCK USD.1
 
 
**
18,842

TRW AUTOMOTIVE INC COMPANY GUAR 144A 03/17 7.25
3/15/2017
7.25%
**
552,500

TTM TECHNOLOGIES COMMON STOCK USD.001
 
 
**
57,115

TABLEAU SOFTWARE INC CL A COMMON STOCK USD.0001
 
 
**
12,926,070

TAHOE RESOURCES INC COMMON STOCK
 
 
**
395,994

TAIWAN SEMICONDUCTOR SP ADR ADR
 
 
**
11,295,790

TAL INTERNATIONAL GROUP INC COMMON STOCK USD.001
 
 
**
147,354

TALISMAN ENERGY SR UNSECURED 05/15 5.125
5/15/2015
5.13%
**
223,299

TALISMAN ENERGY SR UNSECURED 02/37 5.85
2/1/2037
5.85%
**
33,963

TALISMAN ENERGY SR UNSECURED 02/38 6.25
2/1/2038
6.25%
**
40,608

TANGER FACTORY OUTLET CENTER REIT USD.01
 
 
**
87,115

TARGET CORP COMMON STOCK USD.0833
 
 
**
14,748,478

TARGET CORP SR UNSECURED 06/19 2.3
6/26/2019
2.3%
**
384,674

TASER INTERNATIONAL INC COMMON STOCK USD.00001
 
 
**
1,058,935

TATA MOTORS LTD SPON ADR ADR USD.1
 
 
**
879,424

TAUBMAN CENTERS INC REIT USD.01
 
 
**
23,461

TAYLOR MORRISON HOME CORP A COMMON STOCK USD.00001
 
 
**
2,512,370

TEAM INC COMMON STOCK USD.3
 
 
**
82,943

TEAM HEALTH HOLDINGS INC COMMON STOCK USD.01
 
 
**
6,280,262

TECH DATA CORP COMMON STOCK USD.0015
 
 
**
239,768

TECK RESOURCES LIMITED COMPANY GUAR 01/21 4.5
1/15/2021
4.5%
**
158,455

TECK RESOURCES LIMITED COMPANY GUAR 01/17 3.15
1/15/2017
3.15%
**
407,876

TECK RESOURCES LIMITED COMPANY GUAR 02/18 2.5
2/1/2018
2.5%
**
572,358

TECO FINANCE INC COMPANY GUAR 11/17 6.572
11/1/2017
6.57%
**
621,220


139
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
TECO FINANCE INC COMPANY GUAR 03/20 5.15
3/15/2020
5.15%
**
167,494

TELECOMMUNICATION SYSTEMS A COMMON STOCK USD.01
 
 
**
15,350

TELEFONICA EMISIONES SAU COMPANY GUAR 07/19 5.877
7/15/2019
5.88%
**
22,761

TELEFONICA EMISIONES SAU COMPANY GUAR 04/20 5.134
4/27/2020
5.13%
**
34,317

TELEFONICA EMISIONES SAU COMPANY GUAR 02/16 3.992
2/16/2016
3.99%
**
1,545,823

TELEFONICA EMISIONES SAU COMPANY GUAR 02/21 5.462
2/16/2021
5.46%
**
189,549

TELEPHONE AND DATA SYSTEMS COMMON STOCK USD.01
 
 
**
253,636

TELENAV INC COMMON STOCK USD.001
 
 
**
27,347

TELETECH HOLDINGS INC COMMON STOCK USD.01
 
 
**
111,651

TEMPUR SEALY INTERNATIONAL I COMMON STOCK USD.01
 
 
**
1,735,156

TENCENT HOLDINGS LTD SR UNSECURED 144A 05/19 3.375
5/2/2019
3.38%
**
1,016,437

TENN VALLEY AUTHORITY SR UNSECURED 07/17 5.5
7/18/2017
5.5%
**
589,147

TENN VALLEY AUTHORITY SR UNSECURED 01/48 4.875
1/15/2048
4.88%
**
250,804

TENN VALLEY AUTHORITY SR UNSECURED 09/39 5.25
9/15/2039
5.25%
**
1,069,375

TENN VALLEY AUTHORITY SR UNSECURED 02/21 3.875
2/15/2021
3.88%
**
1,183,911

TENN VALLEY AUTHORITY SR UNSECURED 09/24 2.875
9/15/2024
2.88%
**
16,032,339

TVA PRIN STRIP BONDS 06/35 0.00000
6/15/2035
 
**
153,603

TEREX CORP COMMON STOCK USD.01
 
 
**
197,167

TERRITORIAL BANCORP INC COMMON STOCK USD.01
 
 
**
22,089

TERRENO REALTY CORP REIT USD.01
 
 
**
48,625

TESCO CORP COMMON STOCK NPV
 
 
**
34,165

TESLA MOTORS INC COMMON STOCK USD.001
 
 
**
28,136,867

TEVA PHARMACEUTICAL SP ADR ADR
 
 
**
6,228,736

TETRA TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
1,438,404

TETRA TECH INC COMMON STOCK USD.01
 
 
**
172,402

TEVA PHARMACEUT FIN BV COMPANY GUAR 11/16 2.4
11/10/2016
2.4%
**
612,403

TEVA PHARMA FIN II/III COMPANY GUAR 06/15 3
6/15/2015
3%
**
2,594,420

TEVA PHARM FIN IV BV COMPANY GUAR 11/21 3.65
11/10/2021
3.65%
**
81,978

TEXAS CAPITAL BANCSHARES INC COMMON STOCK USD.01
 
 
**
233,881

TEXAS EASTERN TRANSMISSI SR UNSECURED 144A 09/17 6
9/15/2017
6%
**
771,136

TEXAS INSTRUMENTS INC COMMON STOCK USD1.
 
 
**
19,542,153

TEXAS INSTRUMENTS INC SR UNSECURED 05/16 2.375
5/16/2016
2.38%
**
153,444

TEXAS INSTRUMENTS INC SR UNSECURED 03/21 2.75
3/12/2021
2.75%
**
100,481

TEXAS ROADHOUSE INC COMMON STOCK USD.001
 
 
**
907,806

TEXAS ST TXS 06/18 FLOATING VAR
6/1/2018
0.56%
**
4,909,120

TEXTRON INC SR UNSECURED 12/17 5.6
12/1/2017
5.6%
**
208,792

TEXTRON INC SR UNSECURED 03/15 6.2
3/15/2015
6.2%
**
1,449,357

THERMO FISHER SCIENTIFIC INC COMMON STOCK USD1.
 
 
**
10,182,945

THERMO FISHER SCIENTIFIC SR UNSECURED 06/15 5
6/1/2015
5%
**
234,023

THERMO FISHER SCIENTIFIC SR UNSECURED 03/16 3.2
3/1/2016
3.2%
**
511,938

THERMO FISHER SCIENTIFIC SR UNSECURED 08/21 3.6
8/15/2021
3.6%
**
826,137

THERMO FISHER SCIENTIFIC SR UNSECURED 08/16 2.25
8/15/2016
2.25%
**
101,559

THERMO FISHER SCIENTIFIC SR UNSECURED 01/18 1.85
1/15/2018
1.85%
**
203,387

THERMO FISHER SCIENTIFIC SR UNSECURED 02/19 2.4
2/1/2019
2.4%
**
1,712,550

THERMON GROUP HOLDINGS INC COMMON STOCK USD.001
 
 
**
76,852

THOMSON REUTERS CORP SR UNSECURED 09/21 3.95
9/30/2021
3.95%
**
110,651

THOMSON REUTERS CORP SR UNSECURED 05/16 0.875
5/23/2016
0.88%
**
5,526,214

THOMSON REUTERS CORP SR UNSECURED 02/17 1.3
2/23/2017
1.3%
**
2,900,711


140
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
THOMSON REUTERS CORP SR UNSECURED 09/17 1.65
9/29/2017
1.65%
**
2,562,202

THORATEC CORP COMMON STOCK NPV
 
 
**
153,049

THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1
9/25/2037
2.38%
**
—

THORNBURG MORTGAGE SECURITIES TMST 2007 4 3A1
9/25/2037
6.04%
**
854,128

3M CO COMMON STOCK USD.01
 
 
**
11,298,808

TIDEWATER INC COMMON STOCK USD.1
 
 
**
106,305

TIFFANY + CO COMMON STOCK USD.01
 
 
**
4,899,104

TIM PARTICIPACOES SA ADR ADR
 
 
**
388,675

TIMBERLAND BANCORP INC COMMON STOCK USD.01
 
 
**
10,865

TIME INC COMMON STOCK USD.01
 
 
**
5,945,850

HISTORIC TW INC COMPANY GUAR 02/23 9.15
2/1/2023
9.15%
**
136,011

TIME WARNER INC COMMON STOCK USD.01
 
 
**
4,702,542

TIME WARNER INC COMPANY GUAR 11/16 5.875
11/15/2016
5.88%
**
281,828

TIME WARNER INC COMPANY GUAR 07/15 3.15
7/15/2015
3.15%
**
2,839,130

TIME WARNER INC COMPANY GUAR 03/21 4.75
3/29/2021
4.75%
**
7,977,966

TIME WARNER INC COMPANY GUAR 01/22 4
1/15/2022
4%
**
418,094

TIME WARNER CABLE COMMON STOCK USD.01
 
 
**
4,683,448

TIME WARNER CABLE INC COMPANY GUAR 05/17 5.85
5/1/2017
5.85%
**
3,727,640

TIME WARNER CABLE INC COMPANY GUAR 02/19 8.75
2/14/2019
8.75%
**
229,003

TIME WARNER CABLE INC COMPANY GUAR 04/19 8.25
4/1/2019
8.25%
**
3,635,705

TIME WARNER CABLE INC COMPANY GUAR 06/39 6.75
6/15/2039
6.75%
**
719,005

TIME WARNER CABLE INC COMPANY GUAR 02/21 4.125
2/15/2021
4.13%
**
3,141,008

TIME WARNER CABLE INC COMPANY GUAR 11/40 5.875
11/15/2040
5.88%
**
798,878

TIME WARNER CABLE INC COMPANY GUAR 09/41 5.5
9/1/2041
5.5%
**
185,908

TIMKENSTEEL CORP COMMON STOCK
 
 
**
163,191

TITAN INTERNATIONAL INC COMMON STOCK NPV
 
 
**
38,130

TITAN MACHINERY INC COMMON STOCK USD.00001
 
 
**
27,141

TOLL BROTHERS INC COMMON STOCK USD.01
 
 
**
607,676

TOMPKINS FINANCIAL CORP COMMON STOCK USD.1
 
 
**
79,356

TOOTSIE ROLL INDS COMMON STOCK USD.694
 
 
**
113,099

TORO CO COMMON STOCK USD1.
 
 
**
2,218,674

TORONTO DOMINION BANK COVERED 144A 03/17 1.5
3/13/2017
1.5%
**
604,636

TORONTO DOMINION BANK SR UNSECURED 07/16 2.5
7/14/2016
2.5%
**
2,561,020

TORONTO DOMINION BANK SR UNSECURED 09/16 1.5
9/9/2016
1.5%
**
3,026,733

TORONTO DOMINION BANK SR UNSECURED 05/17 1.125
5/2/2017
1.13%
**
1,938,626

TORONTO DOMINION BANK SR UNSECURED 11/19 2.25
11/5/2019
2.25%
**
7,013,916

TORONTO DOMINION BANK COMMON STOCK NPV
 
 
**
646,998

TOTAL CAPITAL SA COMPANY GUAR 06/15 3
6/24/2015
3%
**
319,692

TOTAL CAPITAL SA COMPANY GUAR 08/18 2.125
8/10/2018
2.13%
**
50,404

TOTAL CAPITAL CANADA LTD COMPANY GUAR 01/18 1.45
1/15/2018
1.45%
**
233,340

TOTAL CAPITAL CANADA LTD COMPANY GUAR 07/23 2.75
7/15/2023
2.75%
**
155,202

TOTAL CAPITAL INTL SA COMPANY GUAR 02/17 1.5
2/17/2017
1.5%
**
87,578

TOTAL CAPITAL INTL SA COMPANY GUAR 06/17 1.55
6/28/2017
1.55%
**
2,773,428

TOTAL CAPITAL INTL SA COMPANY GUAR 01/16 0.75
1/25/2016
0.75%
**
8,856,603

TOTAL CAPITAL INTL SA COMPANY GUAR 08/16 1
8/12/2016
1%
**
75,164

TOTAL CAPITAL INTL SA COMPANY GUAR 01/24 3.7
1/15/2024
3.7%
**
25,886

TOTAL ENERGY SERVICES INC COMMON STOCK NPV
 
 
**
201,718

TOWNE BANK COMMON STOCK USD1.667
 
 
**
54,235


141
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
TOYOTA AUTO RECEIVABLES OWNER TAOT 2014 A A4
6/17/2019
1.18%
**
1,698,645

TOYOTA MOTOR CREDIT CORP SR UNSECURED 06/15 3.2
6/17/2015
3.2%
**
354,364

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/16 2.8
1/11/2016
2.8%
**
204,342

TOYOTA MOTOR CREDIT CORP SR UNSECURED 09/16 2
9/15/2016
2%
**
814,504

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/17 2.05
1/12/2017
2.05%
**
356,537

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/18 1.375
1/10/2018
1.38%
**
3,202,886

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/23 2.625
1/10/2023
2.63%
**
938,316

TOYOTA AUTO RECEIVABLES OWNER TAOT 2012 A A3
2/16/2016
0.75%
**
189,580

TOYOTA AUTO RECEIVABLES OWNER TAOT 2013 A A3
1/17/2017
0.55%
**
427,861

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/19 2.1
1/17/2019
2.1%
**
220,923

TOYOTA AUTO RECEIVABLES OWNER TAOT 2013 B A4
1/15/2019
1.46%
**
504,215

TRADE STREET RESIDENTIAL INC REIT USD.01
 
 
**
11,035

TRAFIGURA SECURITISATION FINAN TRFIG 2014 1A A 144A
10/15/2021
1.11%
**
1,568,000

TRANS CANADA PIPELINES SR UNSECURED 06/15 3.4
6/1/2015
3.4%
**
1,363,654

TRANS CANADA PIPELINES SR UNSECURED 08/38 7.25
8/15/2038
7.25%
**
86,946

TRANS CANADA PIPELINES SR UNSECURED 08/18 6.5
8/15/2018
6.5%
**
266,594

TRANS CANADA PIPELINES SR UNSECURED 01/16 0.75
1/15/2016
0.75%
**
3,191,066

TRANSFORCE INC COMMON STOCK NPV
 
 
**
424,083

TRANSOCEAN INC COMPANY GUAR 04/18 7.375
4/15/2018
7.38%
**
98,601

TRANSOCEAN INC COMPANY GUAR 11/15 4.95
11/15/2015
4.95%
**
407,017

TRANSOCEAN INC COMPANY GUAR 11/20 6.5
11/15/2020
6.5%
**
94,297

TRANSOCEAN INC COMPANY GUAR 12/16 5.05
12/15/2016
5.05%
**
4,216,090

TRANSOCEAN INC COMPANY GUAR 12/21 6.375
12/15/2021
6.38%
**
129,143

TRANSOCEAN INC COMPANY GUAR 10/17 2.5
10/15/2017
2.5%
**
88,404

TRAVELERS COS INC/THE COMMON STOCK NPV
 
 
**
10,140,959

TRAVELERS COS INC SR UNSECURED 12/17 5.75
12/15/2017
5.75%
**
278,999

TRAVELERS COS INC SR UNSECURED 05/18 5.8
5/15/2018
5.8%
**
1,513,263

TRECORA RESOURCES COMMON STOCK USD.1
 
 
**
34,648

TREDEGAR CORP COMMON STOCK NPV
 
 
**
66,840

TREEHOUSE FOODS INC COMMON STOCK USD.01
 
 
**
6,465,213

TRICAN WELL SERVICE LTD COMMON STOCK NPV
 
 
**
146,674

TRIANGLE PETROLEUM CORP COMMON STOCK USD.00001
 
 
**
27,437

TRILOGY ENERGY CORP COMMON STOCK NPV
 
 
**
85,366

TRIMAS CORP COMMON STOCK USD.01
 
 
**
118,652

TRINET GROUP INC COMMON STOCK USD.000025
 
 
**
2,177,088

TRINITY INDUSTRIES INC COMMON STOCK USD1.
 
 
**
367,491

TRIPLE S MANAGEMENT CORP B COMMON STOCK USD1.
 
 
**
61,257

TRISTATE CAPITAL HLDGS INC COMMON STOCK
 
 
**
19,937

TRIUMPH GROUP INC COMMON STOCK USD.001
 
 
**
344,503

TRIPADVISOR INC COMMON STOCK USD.001
 
 
**
3,826,176

TRUECAR INC COMMON STOCK USD.0001
 
 
**
1,261,996

TRUEBLUE INC COMMON STOCK NPV
 
 
**
91,225

TRULIA INC COMMON STOCK USD.00001
 
 
**
465,962

TRUSTCO BANK CORP NY COMMON STOCK USD1.
 
 
**
67,714

TRUSTMARK CORP COMMON STOCK NPV
 
 
**
166,013

TUESDAY MORNING CORP COMMON STOCK USD.01
 
 
**
2,163,273

TUTOR PERINI CORP COMMON STOCK USD1.
 
 
**
319,963

TWENTY FIRST CENTURY FOX A COMMON STOCK USD.01
 
 
**
5,061,702


142
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
21ST CENTURY FOX AMERICA COMPANY GUAR 144A 09/24 3.7
9/15/2024
3.7%
**
992,623

TWIN DISC INC COMMON STOCK NPV
 
 
**
20,357

TWITTER INC COMMON STOCK USD.000005
 
 
**
4,838,038

II VI INC COMMON STOCK NPV
 
 
**
78,351

TYCO INTERNATIONAL FINAN COMPANY GUAR 01/19 8.5
1/15/2019
8.5%
**
578,738

TYCO ELECTRONICS GROUP S COMPANY GUAR 10/17 6.55
10/1/2017
6.55%
**
416,483

TYSON FOODS INC COMPANY GUAR 04/16 6.6
4/1/2016
6.6%
**
266,501

TYSON FOODS INC COMPANY GUAR 08/24 3.95
8/15/2024
3.95%
**
1,524,738

TYSON FOODS INC COMPANY GUAR 08/34 4.875
8/15/2034
4.88%
**
2,288,282

UBS AG STAMFORD CT SUBORDINATED 08/22 7.625
8/17/2022
7.63%
**
1,177,356

UBS AG STAMFORD CT SUBORDINATED 07/16 5.875
7/15/2016
5.88%
**
1,390,825

UBS AG STAMFORD CT SR UNSECURED 12/17 5.875
12/20/2017
5.88%
**
446,636

UBS AG STAMFORD CT SR UNSECURED 04/18 5.75
4/25/2018
5.75%
**
112,494

UBS AG STAMFORD CT SR UNSECURED 01/15 3.875
1/15/2015
3.88%
**
552,583

UBS AG STAMFORD CT 08/17 1.375
8/14/2017
1.38%
**
4,768,771

UBS AG STAMFORD CT 08/19 2.375
8/14/2019
2.38%
**
834,951

UDR INC COMPANY GUAR 07/24 3.75
7/1/2024
3.75%
**
1,510,088

UGI CORP COMMON STOCK NPV
 
 
**
634,532

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2012 C2 A4
5/10/2063
3.53%
**
154,736

UBS COMMERCIAL MORTGAGE TRUST UBSCM 2012 C1 XA 144A
5/10/2045
2.29%
**
131,068

UBS COMMERCIAL MORTGAGE TRUST UBSCM 2012 C1 D 144A
5/10/2045
5.54%
**
585,417

UBS BAMLL TRUST UBSBM 2012 WRM A 144A
6/10/2030
3.66%
**
160,017

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2013 C5 XA 144A
3/10/2046
1.12%
**
1,109,577

UIL HOLDINGS CORPORATION SR UNSECURED 10/20 4.625
10/1/2020
4.63%
**
116,989

UMB FINANCIAL CORP COMMON STOCK USD1.
 
 
**
250,714

USAA AUTO OWNER TRUST USAOT 2014 1 A2
10/17/2016
0.38%
**
1,139,572

USA TRUCK INC COMMON STOCK USD.01
 
 
**
29,110

US BANCORP COMMON STOCK USD.01
 
 
**
10,624,607

UMH PROPERTIES INC REIT USD.1
 
 
**
11,747

USAA AUTO OWNER TRUST USAOT 2012 1 A3
8/15/2016
0.43%
**
338,389

US BANK NA CINCINNATI SR UNSECURED 09/17 1.375
9/11/2017
1.38%
**
1,746,066

US SILICA HOLDINGS INC COMMON STOCK USD.01
 
 
**
399,017

UKRAINE AID US GOVT GUAR 05/19 1.844
5/16/2019
1.84%
**
13,339,438

ULTIMATE SOFTWARE GROUP INC COMMON STOCK USD.01
 
 
**
6,855,234

ULTRA CLEAN HOLDINGS INC COMMON STOCK USD.001
 
 
**
27,580

ULTRAGENYX PHARMACEUTICAL IN COMMON STOCK USD.001
 
 
**
2,004,614

ULTRATECH INC COMMON STOCK USD.001
 
 
**
47,551

UMPQUA HOLDINGS CORP COMMON STOCK NPV
 
 
**
367,875

UNDER ARMOUR INC CLASS A COMMON STOCK USD.000333
 
 
**
5,852,029

UNIFIRST CORP/MA COMMON STOCK USD.1
 
 
**
174,281

UNILEVER CAPITAL CORP COMPANY GUAR 02/21 4.25
2/10/2021
4.25%
**
1,112,585

MUFG UNION BANK NA SR UNSECURED 09/18 2.625
9/26/2018
2.63%
**
5,885,527

UNION BANKSHARES CORP COMMON STOCK USD1.33
 
 
**
98,728

UNION PACIFIC CORP SR UNSECURED 02/16 7
2/1/2016
7%
**
468,380

UNION PACIFIC CORP SR UNSECURED 01/15 4.875
1/15/2015
4.88%
**
297,350

UNION PACIFIC CORP SR UNSECURED 02/21 4
2/1/2021
4%
**
564,820

UNION PACIFIC CORP SR UNSECURED 07/22 4.163
7/15/2022
4.16%
**
747,031


143
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
UNION PACIFIC CORP SR UNSECURED 01/23 2.95
1/15/2023
2.95%
**
151,577

UNIT CORP COMMON STOCK USD.2
 
 
**
108,336

UAL 2009 2A PASS THRU TR PASS THRU CE 07/18 9.75
7/15/2018
9.75%
**
311,476

UNITED COMMUNITY FINANCIAL COMMON STOCK NPV
 
 
**
26,968

UNITED COMMUNITY BANKS/GA COMMON STOCK USD1.
 
 
**
91,234

UNITED BANKSHARES INC COMMON STOCK USD2.5
 
 
**
249,492

UNITED FINANCIAL BANCORP INC COMMON STOCK NPV
 
 
**
78,004

UNITED MEXICAN STATES SR UNSECURED 10/23 4
10/2/2023
4%
**
207,500

UNITED MEXICAN STATES SR UNSECURED 01/21 3.5
1/21/2021
3.5%
**
204,200

UNITED MEXICAN STATES SR UNSECURED 01/45 5.55
1/21/2045
5.55%
**
116,250

UNITED NATURAL FOODS INC COMMON STOCK USD.01
 
 
**
3,711,600

UNITED PARCEL SERVICE CL B COMMON STOCK USD.01
 
 
**
8,845,019

UNITED PARCEL SERVICE SR UNSECURED 04/19 5.125
4/1/2019
5.13%
**
1,668,402

UNITED PARCEL SERVICE SR UNSECURED 01/21 3.125
1/15/2021
3.13%
**
3,416,080

UNITED PARCEL SERVICE SR UNSECURED 10/17 1.125
10/1/2017
1.13%
**
1,330,419

UNITED PARCEL SERVICE SR UNSECURED 10/22 2.45
10/1/2022
2.45%
**
73,523

UNITED RENTALS INC COMMON STOCK USD.01
 
 
**
1,688,163

US BANCORP SR UNSECURED 07/15 2.45
7/27/2015
2.45%
**
3,034,539

US BANCORP SR UNSECURED 11/16 2.2
11/15/2016
2.2%
**
3,596,087

US BANCORP SR UNSECURED 01/24 3.7
1/30/2024
3.7%
**
80,944

US BANCORP SR UNSECURED 04/19 2.2
4/25/2019
2.2%
**
1,446,584

US CELLULAR CORP COMMON STOCK USD1.
 
 
**
81,652

HOUSING URBAN DEVELOPMNT US GOVT GUAR 08/15 5.36
8/1/2015
5.36%
**
5,065,866

UNITED STATES LIME + MINERAL COMMON STOCK USD.1
 
 
**
44,809

TREASURY BILL 05/15 0.00000
5/28/2015
 
**
289,923

WI TREASURY SEC 05/15 0
5/21/2015
0.01%
**
289,936

US TREASURY N/B 11/16 7.5
11/15/2016
7.5%
**
2,817,970

US TREASURY N/B 08/27 6.375
8/15/2027
6.38%
**
5,995,127

TSY INFL IX N/B 04/29 3.875
4/15/2029
3.88%
**
372,119

US TREASURY N/B 05/30 6.25
5/15/2030
6.25%
**
1,942,281

TSY INFL IX N/B 01/25 2.375
1/15/2025
2.38%
**
14,849,053

US TREASURY N/B 02/36 4.5
2/15/2036
4.5%
**
1,467,211

US TREASURY N/B 05/37 5
5/15/2037
5%
**
427,922

TSY INFL IX N/B 01/29 2.5
1/15/2029
2.5%
**
4,117,058

US TREASURY N/B 11/40 4.25
11/15/2040
4.25%
**
453,086

TSY INFL IX N/B 02/43 0.625
2/15/2043
0.63%
**
4,825,836

US TREASURY N/B 11/43 3.75
11/15/2043
3.75%
**
168,295

US TREASURY N/B 02/44 3.625
2/15/2044
3.63%
**
353,039

TSY INFL IX N/B 02/44 1.375
2/15/2044
1.38%
**
5,258,279

US TREASURY N/B 05/44 3.375
5/15/2044
3.38%
**
6,219,940

US TREASURY N/B 08/44 3.125
8/15/2044
3.13%
**
128,627,628

WI TREASURY SEC 11/44 3
11/15/2044
3%
**
6,200,534

US TREASURY N/B 11/18 1.25
11/30/2018
1.25%
**
66,250,892

US TREASURY N/B 11/20 2
11/30/2020
2%
**
50,846,044

US TREASURY N/B 12/18 1.5
12/31/2018
1.5%
**
10,423,824

TSY INFL IX N/B 01/24 0.625
1/15/2024
0.63%
**
7,982,077

US TREASURY N/B 01/19 1.5
1/31/2019
1.5%
**
2,000,782

US TREASURY N/B 02/24 2.75
2/15/2024
2.75%
**
5,892,690


144
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
US TREASURY N/B 02/16 0.25
2/29/2016
0.25%
**
1,997,500

US TREASURY N/B 02/21 2
2/28/2021
2%
**
17,519,625

US TREASURY N/B 03/16 0.375
3/31/2016
0.38%
**
156,875,524

US TREASURY N/B 03/19 1.625
3/31/2019
1.63%
**
29,535,940

US TREASURY N/B 04/16 0.375
4/30/2016
0.38%
**
1,999,688

TSY INFL IX N/B 04/19 0.125
4/15/2019
0.13%
**
28,356,736

US TREASURY N/B 04/19 1.625
4/30/2019
1.63%
**
68,569,936

US TREASURY N/B 08/17 0.875
8/15/2017
0.88%
**
31,044,627

US TREASURY N/B 08/24 2.375
8/15/2024
2.38%
**
4,354,156

US TREASURY N/B 08/16 0.5
8/31/2016
0.5%
**
53,479,082

WI TREASURY N/B 08/19 1.625
8/31/2019
1.63%
**
31,724,669

US TREASURY N/B 05/15 4.125
5/15/2015
4.13%
**
2,541,989

US TREASURY N/B 08/15 4.25
8/15/2015
4.25%
**
2,050,078

US TREASURY N/B 09/21 2.125
9/30/2021
2.13%
**
10,112,500

US TREASURY N/B 09/19 1.75
9/30/2019
1.75%
**
58,007,889

US TREASURY N/B 10/17 0.875
10/15/2017
0.88%
**
63,879,530

US TREASURY N/B 10/19 1.5
10/31/2019
1.5%
**
60,633,236

US TREASURY N/B 11/17 0.875
11/15/2017
0.88%
**
39,490,885

WI TREASURY SEC 11/24 2.25
11/15/2024
2.25%
**
9,352,420

US TREASURY N/B 11/16 0.5
11/30/2016
0.5%
**
3,776,535

US TREASURY N/B 11/21 1.875
11/30/2021
1.88%
**
12,431,733

US TREASURY N/B 11/19 1.5
11/30/2019
1.5%
**
56,068,936

US TREASURY N/B 11/19 1.5
11/30/2019
1.63%
**
21,930,341

US TREASURY N/B 12/17 1
12/15/2017
1%
**
42,948,093

WI TREASURY SEC 12/19 1.625
12/31/2019
1.63%
**
19,381,196

US TREASURY N/B 12/16 0.625
12/31/2016
0.63%
**
645,884,915

US TREASURY N/B 02/18 3.5
2/15/2018
3.5%
**
18,684,061

US TREASURY N/B 04/16 2.625
4/30/2016
2.63%
**
514,610

US TREASURY N/B 03/16 2.375
3/31/2016
2.38%
**
4,098,752

US TREASURY N/B 09/16 3
9/30/2016
3%
**
2,083,750

US TREASURY N/B 10/16 3.125
10/31/2016
3.13%
**
2,613,280

US TREASURY N/B 11/16 2.75
11/30/2016
2.75%
**
4,158,436

US TREASURY N/B 12/16 3.25
12/31/2016
3.25%
**
6,932,581

US TREASURY N/B 01/17 3.125
1/31/2017
3.13%
**
5,921,120

US TREASURY N/B 04/15 2.5
4/30/2015
2.5%
**
5,845,768

US TREASURY N/B 04/17 3.125
4/30/2017
3.13%
**
2,106,718

US TREASURY N/B 05/17 2.75
5/31/2017
2.75%
**
1,150,102

TSY INFL IX N/B 07/20 1.25
7/15/2020
1.25%
**
319,964

US TREASURY N/B 07/15 1.75
7/31/2015
1.75%
**
3,027,540

US TREASURY N/B 07/17 2.375
7/31/2017
2.38%
**
46,012,963

US TREASURY N/B 08/20 2.625
8/15/2020
2.63%
**
21,512,518

US TREASURY N/B 09/17 1.875
9/30/2017
1.88%
**
15,708,561

US TREASURY N/B 11/20 2.625
11/15/2020
2.63%
**
21,257,557

US TREASURY N/B 10/15 1.25
10/31/2015
1.25%
**
2,016,094

US TREASURY N/B 10/17 1.875
10/31/2017
1.88%
**
2,456,438

US TREASURY N/B 11/15 1.375
11/30/2015
1.38%
**
5,555,000

US TREASURY N/B 12/15 2.125
12/31/2015
2.13%
**
1,527,305

TSY INFL IX N/B 01/21 1.125
1/15/2021
1.13%
**
54,126,097


145
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
US TREASURY N/B 01/16 2
1/31/2016
2%
**
99,261,097

US TREASURY N/B 01/18 2.625
1/31/2018
2.63%
**
4,145,859

US TREASURY N/B 03/16 2.25
3/31/2016
2.25%
**
5,832,702

TSY INFL IX N/B 04/16 0.125
4/15/2016
0.13%
**
45,473,244

US TREASURY N/B 04/16 2
4/30/2016
2%
**
10,210,940

US TREASURY N/B 02/16 2.125
2/29/2016
2.13%
**
17,960,254

US TREASURY N/B 05/16 1.75
5/31/2016
1.75%
**
2,036,406

US TREASURY N/B 05/18 2.375
5/31/2018
2.38%
**
8,256,216

US TREASURY N/B 06/16 1.5
6/30/2016
1.5%
**
11,571,889

US TREASURY N/B 07/16 1.5
7/31/2016
1.5%
**
14,102,684

US TREASURY N/B 08/18 1.5
8/31/2018
1.5%
**
30,793,444

US TREASURY N/B 08/16 1
8/31/2016
1%
**
11,586,250

US TREASURY N/B 09/18 1.375
9/30/2018
1.38%
**
8,991,558

US TREASURY N/B 09/16 1
9/30/2016
1%
**
11,080,784

US TREASURY N/B 10/16 1
10/31/2016
1%
**
66,323,330

US TREASURY N/B 11/16 0.875
11/30/2016
0.88%
**
40,631,991

US TREASURY N/B 12/16 0.875
12/31/2016
0.88%
**
62,623,963

TSY INFL IX N/B 01/22 0.125
1/15/2022
0.13%
**
38,470,319

US TREASURY N/B 01/17 0.875
1/31/2017
0.88%
**
180,435,134

US TREASURY N/B 01/19 1.25
1/31/2019
1.25%
**
7,923,128

US TREASURY N/B 02/19 1.375
2/28/2019
1.38%
**
6,365,498

US TREASURY N/B 02/17 0.875
2/28/2017
0.88%
**
90,503,670

US TREASURY N/B 03/15 0.375
3/15/2015
0.38%
**
1,500,938

US TREASURY N/B 03/17 1
3/31/2017
1%
**
95,466,079

US TREASURY N/B 04/15 0.375
4/15/2015
0.38%
**
5,003,905

US TREASURY N/B 04/17 0.875
4/30/2017
0.88%
**
5,506,446

US TREASURY N/B 05/17 0.625
5/31/2017
0.63%
**
95,258,624

US TREASURY N/B 06/17 0.75
6/30/2017
0.75%
**
6,575,250

US TREASURY N/B 06/19 1
6/30/2019
1%
**
1,805,339

TSY INFL IX N/B 07/22 0.125
7/15/2022
0.13%
**
5,231,355

US TREASURY N/B 07/17 0.5
7/31/2017
0.5%
**
8,107,110

US TREASURY N/B 07/19 0.875
7/31/2019
0.88%
**
15,503,744

US TREASURY N/B 08/15 0.25
8/15/2015
0.25%
**
8,003,128

US TREASURY N/B 08/17 0.625
8/31/2017
0.63%
**
110,249,104

US TREASURY N/B 08/19 1
8/31/2019
1%
**
2,042,741

US TREASURY N/B 09/15 0.25
9/15/2015
0.25%
**
10,005,470

US TREASURY N/B 09/19 1
9/30/2019
1%
**
3,014,750

US TREASURY N/B 09/17 0.625
9/30/2017
0.63%
**
86,429,932

US TREASURY N/B 10/15 0.25
10/15/2015
0.25%
**
16,701,303

US TREASURY N/B 10/17 0.75
10/31/2017
0.75%
**
17,658,152

US TREASURY N/B 11/15 0.375
11/15/2015
0.38%
**
13,562,710

US TREASURY N/B 11/17 0.625
11/30/2017
0.63%
**
12,389,209

US TREASURY N/B 12/17 0.75
12/31/2017
0.75%
**
4,452,539

TSY INFL IX N/B 01/23 0.125
1/15/2023
0.13%
**
71,620,120

US TREASURY N/B 01/18 0.875
1/31/2018
0.88%
**
42,807,732

WI TREASURY N/B 02/16 0.375
2/15/2016
0.38%
**
4,301,681

US TREASURY N/B 03/16 0.375
3/15/2016
0.38%
**
8,800,686

US TREASURY N/B 03/15 0.25
3/31/2015
0.25%
**
5,001,760


146
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
US TREASURY N/B 03/18 0.75
3/31/2018
0.75%
**
2,461,523

TSY INFL IX N/B 04/18 0.125
4/15/2018
0.13%
**
5,116,840

US TREASURY N/B 04/15 0.125
4/30/2015
0.13%
**
50,011,700

US TREASURY N/B 04/18 0.625
4/30/2018
0.63%
**
14,695,320

US TREASURY N/B 05/16 0.25
5/15/2016
0.25%
**
19,558,664

US TREASURY N/B 05/18 1
5/31/2018
1%
**
2,970,936

US TREASURY N/B 06/18 1.375
6/30/2018
1.38%
**
1,502,930

TSY INFL IX N/B 07/23 0.375
7/15/2023
0.38%
**
25,572,613

US TREASURY N/B 07/18 1.375
7/31/2018
1.38%
**
91,898,274

US TREASURY N/B 08/16 0.625
8/15/2016
0.63%
**
6,260,256

US TREASURY N/B 08/15 0.375
8/31/2015
0.38%
**
8,010,624

US TREASURY N/B 08/20 2.125
8/31/2020
2.13%
**
26,807,114

US TREASURY N/B 09/15 0.25
9/30/2015
0.25%
**
6,001,872

US TREASURY N/B 10/15 0.25
10/31/2015
0.25%
**
10,099,212

US TREASURY N/B 10/20 1.75
10/31/2020
1.75%
**
5,077,290

US TREASURY N/B 10/18 1.25
10/31/2018
1.25%
**
6,159,799

US TREASURY N/B 04/21 2.25
4/30/2021
2.25%
**
16,022,588

US TREASURY N/B 05/17 0.875
5/15/2017
0.88%
**
89,048,683

US TREASURY N/B 05/24 2.5
5/15/2024
2.5%
**
8,756,326

US TREASURY N/B 05/21 2
5/31/2021
2%
**
3,517,500

US TREASURY N/B 06/21 2.125
6/30/2021
2.13%
**
18,420,384

TSY INFL IX N/B 07/24 0.125
7/15/2024
0.13%
**
32,667,534

US TREASURY N/B 07/19 1.625
7/31/2019
1.63%
**
15,904,805

US TREASURY N/B 07/21 2.25
7/31/2021
2.25%
**
30,962,464

STRIPS 11/30 0.00000
11/15/2030
 
**
1,642,368

STRIPS 05/31 0.00000
5/15/2031
 
**
689,221

STRIPS 11/16 0.00000
11/15/2016
 
**
3,210,643

STRIPS 02/20 0.00000
2/15/2020
0.01%
**
3,135,216

STRIPS 05/20 0.00000
5/15/2020
0.01%
**
3,880,809

STRIPS 02/21 0.00000
2/15/2021
0.01%
**
6,208,468

STRIPS 05/21 0.00000
5/15/2021
 
**
1,380,270

STRIPS 08/21 0.00000
8/15/2021
0.01%
**
6,012,442

STRIPS 11/21 0.00000
11/15/2021
0.01%
**
5,428,252

STRIPS 02/22 0.00000
2/15/2022
 
**
594,224

STRIPS 02/23 0.00000
2/15/2023
0.01%
**
5,237,465

STRIPS 05/23 0.00000
5/15/2023
 
**
859,391

STRIPS 02/25 0.00000
2/15/2025
 
**
32,486,952

STRIPS 05/25 0.00000
5/15/2025
 
**
32,419,717

STRIPS 05/27 0.00000
5/15/2027
 
**
1,243,797

STRIPS 02/29 0.00000
2/15/2029
 
**
991,366

STRIPS 05/30 0.00000
5/15/2030
 
**
1,319,490

UNITED STATES STEEL CORP COMMON STOCK USD1.
 
 
**
389,201

UNITED STATIONERS INC COMMON STOCK USD.1
 
 
**
159,871

UNITED TECH CORP COMMON STOCK USD1.
 
 
**
11,284,030

UNITED TECHNOLOGIES CORP PREFERRED STOCK 08/15 7.5
 
 
**
524,678

UNITED TECHNOLOGIES CORP SR UNSECURED 05/15 4.875
5/1/2015
4.88%
**
380,250

UNITED TECHNOLOGIES CORP SR UNSECURED 02/19 6.125
2/1/2019
6.13%
**
145,128

UNITED TECHNOLOGIES CORP SR UNSECURED 06/22 3.1
6/1/2022
3.1%
**
270,387


147
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
UNITED THERAPEUTICS CORP COMMON STOCK USD.01
 
 
**
2,240,177

UNITEDHEALTH GROUP INC COMMON STOCK USD.01
 
 
**
25,381,677

UNITEDHEALTH GROUP INC SR UNSECURED 03/16 5.375
3/15/2016
5.38%
**
184,725

UNITEDHEALTH GROUP INC SR UNSECURED 11/37 6.625
11/15/2037
6.63%
**
40,972

UNITEDHEALTH GROUP INC SR UNSECURED 02/18 6
2/15/2018
6%
**
579,711

UNITEDHEALTH GROUP INC SR UNSECURED 02/21 4.7
2/15/2021
4.7%
**
579,613

UNITEDHEALTH GROUP INC SR UNSECURED 11/21 3.375
11/15/2021
3.38%
**
1,239,862

UNITEDHEALTH GROUP INC SR UNSECURED 10/15 0.85
10/15/2015
0.85%
**
4,341,524

UNITEDHEALTH GROUP INC SR UNSECURED 10/17 1.4
10/15/2017
1.4%
**
584,427

UNITEDHEALTH GROUP INC SR UNSECURED 03/19 1.625
3/15/2019
1.63%
**
5,135,622

UNITEDHEALTH GROUP INC SR UNSECURED 03/23 2.875
3/15/2023
2.88%
**
675,617

UNITEDHEALTH GROUP INC SR UNSECURED 12/17 1.4
12/15/2017
1.4%
**
6,078,579

UNITEDHEALTH GROUP INC SR UNSECURED 12/21 2.875
12/15/2021
2.88%
**
7,888,748

UNIVERSAL AMERICAN CORP COMMON STOCK USD.01
 
 
**
76,096

UNIVERSAL CORP/VA COMMON STOCK NPV
 
 
**
67,597

UNIVERSAL FOREST PRODUCTS COMMON STOCK NPV
 
 
**
109,060

UNIVERSAL STAINLESS + ALLOY COMMON STOCK USD.001
 
 
**
15,467

UNIVERSAL TECHNICAL INSTITUT COMMON STOCK USD.0001
 
 
**
24,206

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/45 FIXED 5.946
5/15/2045
5.95%
**
353,713

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858
5/15/2112
4.86%
**
6,619,851

UNIV OF NORTH CAROLINA NC AT C UNCHGR 12/34 FIXED 3.847
12/1/2034
3.85%
**
10,456,500

UNIVEST CORP OF PENNSYLVANIA COMMON STOCK USD5.
 
 
**
33,194

UNUM GROUP COMMON STOCK USD.1
 
 
**
4,126,304

URBAN OUTFITTERS INC COMMON STOCK USD.0001
 
 
**
1,942,689

US ECOLOGY INC COMMON STOCK USD.01
 
 
**
74,021

VSE CORP COMMON STOCK USD.05
 
 
**
33,741

VOXX INTERNATIONAL CORP COMMON STOCK USD.01
 
 
**
17,056

VNO MORTGAGE TRUST VNDO 2012 6AVE A 144A
11/15/2030
3%
**
737,691

VERICREST OPPORTUNITY LOAN TRA VOLT 2014 NP11 A1 144A
4/25/2055
3.88%
**
840,127

VAALCO ENERGY INC COMMON STOCK USD.1
 
 
**
26,640

VAIL RESORTS INC COMMON STOCK USD.01
 
 
**
3,866,555

VALEANT PHARMACEUTICALS INTE COMMON STOCK NPV
 
 
**
17,200,820

VALEANT PHARMACEUTICALS INTE COMMON STOCK NPV
 
 
**
660,581

VALE OVERSEAS LIMITED COMPANY GUAR 01/17 6.25
1/23/2017
6.25%
**
42,664

VALE SA SP PREF ADR ADR NPV
 
 
**
205,458

VALERO ENERGY CORP COMPANY GUAR 06/17 6.125
6/15/2017
6.13%
**
516,254

VALLEY NATIONAL BANCORP COMMON STOCK NPV
 
 
**
194,074

VALMONT INDUSTRIES COMMON STOCK USD1.
 
 
**
260,350

VANTIV INC CL A COMMON STOCK USD.00001
 
 
**
9,165,693

VEEVA SYSTEMS INC CLASS A COMMON STOCK USD.00001
 
 
**
1,351,928

VENTAS REALTY LP/CAP CRP COMPANY GUAR 11/15 3.125
11/30/2015
3.13%
**
306,062

VENTAS REALTY LP/CAP CRP COMPANY GUAR 06/21 4.75
6/1/2021
4.75%
**
130,428

VENTAS REALTY LP/CAP CRP COMPANY GUAR 02/18 2
2/15/2018
2%
**
7,129,290

VENTAS REALTY LP COMPANY GUAR 09/16 1.55
9/26/2016
1.55%
**
6,616,413

VENTAS REALTY LP COMPANY GUAR 04/17 1.25
4/17/2017
1.25%
**
3,581,334

VERIFONE SYSTEMS INC COMMON STOCK USD.01
 
 
**
3,361,206

VERIZON COMMUNICATIONS INC COMMON STOCK USD.1
 
 
**
8,973,199

VERIZON COMMUNICATIONS SR UNSECURED 04/19 6.35
4/1/2019
6.35%
**
1,135,588


148
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
VERIZON COMMUNICATIONS SR UNSECURED 04/21 4.6
4/1/2021
4.6%
**
3,288,683

VERIZON COMMUNICATIONS SR UNSECURED 11/16 2
11/1/2016
2%
**
1,379,942

VERIZON COMMUNICATIONS SR UNSECURED 11/15 0.7
11/2/2015
0.7%
**
10,070,496

VERIZON COMMUNICATIONS SR UNSECURED 11/22 2.45
11/1/2022
2.45%
**
2,462,933

VERIZON COMMUNICATIONS SR UNSECURED 09/16 VAR
9/15/2016
1.77%
**
3,054,390

VERIZON COMMUNICATIONS SR UNSECURED 09/16 2.5
9/15/2016
2.5%
**
210,568

VERIZON COMMUNICATIONS SR UNSECURED 09/18 3.65
9/14/2018
3.65%
**
634,036

VERIZON COMMUNICATIONS SR UNSECURED 09/20 4.5
9/15/2020
4.5%
**
5,503,702

VERIZON COMMUNICATIONS SR UNSECURED 09/23 5.15
9/15/2023
5.15%
**
40,061,573

VERIZON COMMUNICATIONS SR UNSECURED 09/33 6.4
9/15/2033
6.4%
**
862,248

VERIZON COMMUNICATIONS SR UNSECURED 09/43 6.55
9/15/2043
6.55%
**
179,361

VERIZON COMMUNICATIONS SR UNSECURED 03/24 4.15
3/15/2024
4.15%
**
341,627

VERIZON COMMUNICATIONS SR UNSECURED 03/21 3.45
3/15/2021
3.45%
**
1,257,110

VERIZON COMMUNICATIONS SR UNSECURED 06/17 1.35
6/9/2017
1.35%
**
18,946,925

VERIZON COMMUNICATIONS SR UNSECURED 144A 02/20 2.625
2/21/2020
2.63%
**
11,906,301

VERIZON COMMUNICATIONS SR UNSECURED 144A 08/46 4.862
8/21/2046
4.86%
**
744,740

VERIZON COMMUNICATIONS SR UNSECURED 144A 08/54 5.012
8/21/2054
5.01%
**
142,768

VERIZON COMMUNICATIONS SR UNSECURED 11/24 3.5
11/1/2024
3.5%
**
746,699

VERIZON MARYLAND LLC COMPANY GUAR 06/33 5.125
6/15/2033
5.13%
**
47,480

VERITIV CORP COMMON STOCK USD.01
 
 
**
85,067

1011778 B.C. ULLC 2014 TERM LOAN B
 
1%
**
696,997

VERTEX PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
**
13,097,819

VIACOM INC SR UNSECURED 04/16 6.25
4/30/2016
6.25%
**
699,738

VIAD CORP COMMON STOCK USD1.5
 
 
**
54,653

VIACOM INC CLASS B COMMON STOCK USD.001
 
 
**
20,488,167

VIACOM INC SR UNSECURED 09/19 5.625
9/15/2019
5.63%
**
904,068

VIACOM INC SR UNSECURED 04/17 3.5
4/1/2017
3.5%
**
296,597

VIACOM INC SR UNSECURED 12/16 2.5
12/15/2016
2.5%
**
81,738

VIACOM INC SR UNSECURED 02/15 1.25
2/27/2015
1.25%
**
2,502,218

VIACOM INC SR UNSECURED 06/22 3.125
6/15/2022
3.13%
**
382,493

VIACOM INC SR UNSECURED 03/23 3.25
3/15/2023
3.25%
**
77,260

VIACOM INC SR UNSECURED 09/23 4.25
9/1/2023
4.25%
**
1,051,722

VIACOM INC SR UNSECURED 12/34 4.85
12/15/2034
4.85%
**
35,818

VILLAGE SUPER MARKET CLASS A COMMON STOCK NPV
 
 
**
28,054

VINCE HOLDING CORP COMMON STOCK USD.001
 
 
**
117,885

VIPSHOP HOLDINGS LTD ADS ADR USD.0001
 
 
**
7,918,819

VIRGIN AMERICA INC COMMON STOCK
 
 
**
493,525

VIRGINIA ELEC + POWER CO SR UNSECURED 01/18 1.2
1/15/2018
1.2%
**
85,915

VIRGINIA ELEC + POWER CO SR UNSECURED 02/24 3.45
2/15/2024
3.45%
**
25,742

VIRGINIA ELEC + POWER CO SR UNSECURED 02/44 4.45
2/15/2044
4.45%
**
84,108

VISA INC CLASS A SHARES COMMON STOCK USD.0001
 
 
**
90,705,992

VISHAY PRECISION GROUP COMMON STOCK
 
 
**
22,857

VITAMIN SHOPPE INC COMMON STOCK USD.01
 
 
**
144,380

VMWARE INC CLASS A COMMON STOCK USD.01
 
 
**
3,382,247

VODAFONE GROUP PLC SP ADR ADR
 
 
**
22,856,108

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
2/27/2017
5.63%
**
3,697,934

VODAFONE GROUP PLC SR UNSECURED 09/17 1.25
9/26/2017
1.25%
**
345,541

VOLCANO CORP COMMON STOCK USD.001
 
 
**
1,335,636


149
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 05/16 VAR
5/23/2016
0.45%
**
12,986,857

VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/17 1.6
11/20/2017
1.6%
**
3,424,427

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 03/15 1.625
3/22/2015
1.63%
**
400,814

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 03/17 2.375
3/22/2017
2.38%
**
509,320

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 11/17 1.6
11/20/2017
1.6%
**
199,938

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 11/16 1.125
11/18/2016
1.13%
**
1,942,884

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2012 1 A4
7/20/2018
1.15%
**
1,221,112

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2012 2 A3
1/20/2017
0.46%
**
1,572,584

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2013 2 A3
4/20/2018
0.7%
**
9,970,190

VOLKSWAGEN AUTO LEASE TRUST VWALT 2014 A A4
7/20/2018
0.99%
**
1,772,090

WEA FINANCE LLC/WESTFIEL COMPANY GUAR 144A 09/17 1.75
9/15/2017
1.75%
**
4,627,958

WEA FINANCE LLC/WESTFIEL COMPANY GUAR 144A 09/19 2.7
9/17/2019
2.7%
**
2,754,198

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C22 AS
9/15/2057
4.07%
**
4,858,570

WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
2/27/2034
1.92%
**
3,380,375

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
10/25/2045
0.46%
**
1,777,187

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
1/25/2045
0.48%
**
3,422,744

W+T OFFSHORE INC COMMON STOCK USD.00001
 
 
**
36,861

WABCO HOLDINGS INC COMMON STOCK USD.01
 
 
**
6,789,534

WSFS FINANCIAL CORP COMMON STOCK USD.01
 
 
**
2,600,189

WNS HOLDINGS LTD ADR ADR USD.16
 
 
**
3,058,714

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2011 C3 A1 144A
3/15/2044
1.99%
**
175,233

WP CAREY INC REIT USD.001
 
 
**
467,006

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 AS
3/15/2045
3.31%
**
575,846

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 D 144A
3/15/2045
4.18%
**
381,409

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 A5
3/15/2045
3.07%
**
405,348

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 AS
10/15/2057
4.21%
**
4,602,444

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 B
10/15/2057
4.38%
**
2,278,672

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 C
10/15/2057
3.85%
**
1,573,667

WABASH NATIONAL CORP COMMON STOCK USD.01
 
 
**
1,783,659

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C20 AMFX
7/15/2042
5.18%
**
724,999

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C17 AJ
3/15/2042
5.22%
**
440,210

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C17 B
3/15/2042
5.29%
**
1,003,633

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2004 C11 A5
1/15/2041
5.19%
**
106,573

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C23 A4
1/15/2045
5.42%
**
232,955

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C23 A5
1/15/2045
5.42%
**
1,486,657

WELLS FARGO BANK NA SUBORDINATED 02/15 4.875
2/1/2015
4.88%
**
3,009,306

WELLS FARGO BANK NA SUBORDINATED 11/17 6
11/15/2017
6%
**
1,204,981

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C25 A5
5/15/2043
5.72%
**
8,818,988

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C27 A3
7/15/2045
5.77%
**
631,369

WACHOVIA CAP TRUST III LIMITD GUARA 03/49 VAR
3/29/2049
5.57%
**
2,462,025

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 A4
10/15/2048
5.57%
**
5,750,105

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 A1A
10/15/2048
5.56%
**
8,988,363

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C29 A1A
11/15/2048
5.3%
**
15,002,300

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A3
12/15/2043
5.25%
**
1,087,848

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 AM
12/15/2043
5.38%
**
922,980

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A5
12/15/2043
5.34%
**
1,120,480


150
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 AMFL 144A
12/15/2043
0.36%
**
597,590

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C31 APB
4/15/2047
5.45%
**
456,908

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C34 A3
5/15/2046
5.68%
**
1,080,982

WACHOVIA CORP SUBORDINATED 10/16 5.625
10/15/2016
5.63%
**
9,796,903

WACHOVIA CORP SR UNSECURED 06/17 5.75
6/15/2017
5.75%
**
55,201

BK NEDERLANDSE GEMEENTEN SR UNSECURED 11/19 3.875
11/4/2019
3.88%
**
141,943

WAGEWORKS INC COMMON STOCK USD.001
 
 
**
11,067,979

WAL MART STORES INC COMMON STOCK USD.1
 
 
**
6,131,832

WAL MART STORES INC SR UNSECURED 04/17 5.375
4/5/2017
5.38%
**
519,321

WAL MART STORES INC SR UNSECURED 02/18 5.8
2/15/2018
5.8%
**
4,283,966

WAL MART STORES INC SR UNSECURED 07/15 2.25
7/8/2015
2.25%
**
353,320

WAL MART STORES INC SR UNSECURED 04/16 0.6
4/11/2016
0.6%
**
2,064,034

WAL MART STORES INC SR UNSECURED 04/17 1
4/21/2017
1%
**
3,491,964

WALGREEN CO SR UNSECURED 03/15 1
3/13/2015
1%
**
250,232

WALGREENS BOOTS ALLIANCE INC COMMON STOCK USD.01
 
 
**
36,706,302

WALGREENS BOOTS ALLIANCE COMPANY GUAR 11/17 1.75
11/17/2017
1.75%
**
1,769,370

WALKER + DUNLOP INC COMMON STOCK
 
 
**
59,320

WALTER ENERGY INC COMMON STOCK USD.01
 
 
**
5,941

WALTER INVESTMENT MANAGEMENT COMMON STOCK USD.01
 
 
**
42,299

WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A
10/25/2046
2.16%
**
524,772

WARREN RESOURCES INC COMMON STOCK USD.0001
 
 
**
8,415

WASHINGTON FEDERAL INC COMMON STOCK USD1.
 
 
**
220,215

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 2A
2/25/2033
2.03%
**
29,823

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS2 3A1
3/25/2018
5%
**
202,649

WASHINGTON REIT REIT USD.01
 
 
**
127,568

LBG CAPITAL NO.2 PLC COMPANY GUAR REGS 12/19 15
12/21/2019
15%
**
1,005,467

INDIAN OIL CORP LTD SR UNSECURED REGS 01/15 4.75
1/22/2015
4.75%
**
140,201

WASHINGTON TRUST BANCORP COMMON STOCK USD.0625
 
 
**
65,895

WASTE CONNECTIONS INC COMMON STOCK USD.01
 
 
**
527,528

WASTE MANAGEMENT INC COMPANY GUAR 03/21 4.6
3/1/2021
4.6%
**
365,436

WASTE MANAGEMENT INC COMPANY GUAR 03/18 6.1
3/15/2018
6.1%
**
4,271,673

WASTE MANAGEMENT INC COMPANY GUAR 03/15 6.375
3/11/2015
6.38%
**
202,060

WASTE MANAGEMENT INC COMPANY GUAR 06/20 4.75
6/30/2020
4.75%
**
164,417

WASTE MANAGEMENT INC COMPANY GUAR 09/16 2.6
9/1/2016
2.6%
**
306,892

WASTE MANAGEMENT INC COMPANY GUAR 05/24 3.5
5/15/2024
3.5%
**
1,103,696

WATERSTONE FINANCIAL INC COMMON STOCK USD.01
 
 
**
45,828

WATSCO INC COMMON STOCK USD.5
 
 
**
3,081,167

ACTAVIS INC COMPANY GUAR 08/19 6.125
8/15/2019
6.13%
**
930,078

ACTAVIS INC COMPANY GUAR 10/22 3.25
10/1/2022
3.25%
**
890,862

ACTAVIS INC COMPANY GUAR 10/17 1.875
10/1/2017
1.88%
**
1,708,353

WATTS WATER TECHNOLOGIES A COMMON STOCK USD.1
 
 
**
175,538

WEATHERFORD INTL LLC COMPANY GUAR 06/17 6.35
6/15/2017
6.35%
**
213,800

WEATHERFORD BERMUDA COMPANY GUAR 03/18 6
3/15/2018
6%
**
213,502

WEATHERFORD BERMUDA COMPANY GUAR 03/19 9.625
3/1/2019
9.63%
**
1,162,358

WEATHERFORD BERMUDA COMPANY GUAR 09/20 5.125
9/15/2020
5.13%
**
471,580

WEATHERFORD BERMUDA COMPANY GUAR 04/22 4.5
4/15/2022
4.5%
**
62,302

WEBSTER FINANCIAL CORP COMMON STOCK USD.01
 
 
**
293,421


151
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
WEINGARTEN REALTY INVESTORS REIT USD.03
 
 
**
286,344

WEIS MARKETS INC COMMON STOCK NPV
 
 
**
127,440

ANTHEM INC SR UNSECURED 06/17 5.875
6/15/2017
5.88%
**
4,281,170

ANTHEM INC SR UNSECURED 09/15 1.25
9/10/2015
1.25%
**
6,681,926

ANTHEM INC SR UNSECURED 01/18 1.875
1/15/2018
1.88%
**
299,915

WELLS FARGO + CO COMMON STOCK USD1.666
 
 
**
21,086,074

WELLS FARGO + COMPANY SR UNSECURED 12/17 5.625
12/11/2017
5.63%
**
2,725,160

WELLS FARGO + COMPANY SR UNSECURED 06/16 VAR
6/15/2016
3.68%
**
1,524,828

WELLS FARGO + COMPANY SUBORDINATED 01/24 4.48
1/16/2024
4.48%
**
11,060,811

WELLS FARGO + COMPANY SR UNSECURED 04/21 4.6
4/1/2021
4.6%
**
5,830,333

WELLS FARGO + COMPANY SR UNSECURED 02/15 1.25
2/13/2015
1.25%
**
7,066,792

WELLS FARGO + COMPANY SR UNSECURED 03/22 3.5
3/8/2022
3.5%
**
161,809

WELLS FARGO + COMPANY SR UNSECURED 05/17 2.1
5/8/2017
2.1%
**
8,630,855

WELLS FARGO + COMPANY SR UNSECURED 01/18 1.5
1/16/2018
1.5%
**
3,267,024

WELLS FARGO + COMPANY SUBORDINATED 02/23 3.45
2/13/2023
3.45%
**
2,721,231

WELLS FARGO + COMPANY SR UNSECURED 04/18 VAR
4/23/2018
0.86%
**
11,228,362

WELLS FARGO + COMPANY SUBORDINATED 08/23 4.125
8/15/2023
4.13%
**
4,067,126

WELLS FARGO + COMPANY SR UNSECURED 01/19 2.15
1/15/2019
2.15%
**
75,198

WELLS FARGO + COMPANY SR UNSECURED 04/19 2.125
4/22/2019
2.13%
**
5,023,683

WELLS FARGO + COMPANY SUBORDINATED 06/26 4.1
6/3/2026
4.1%
**
237,117

WELLS FARGO + COMPANY SUBORDINATED 11/44 4.65
11/4/2044
4.65%
**
3,301,955

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 EE 2A1
12/25/2034
2.61%
**
1,171,417

WELLS FARGO BANK NA SUBORDINATED 05/16 VAR
5/16/2016
0.44%
**
1,495,884

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 AA A1
12/25/2034
2.62%
**
1,024,180

WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR10 3A1
7/25/2036
2.62%
**
568,360

WELLS FARGO REREMIC TRUST WFRR 2012 IO A 144A
8/20/2021
1.75%
**
508,423

WELLS FARGO BANK NA SR UNSECURED 06/16 VAR
6/2/2016
0.38%
**
5,782,427

WENDY S CO/THE COMMON STOCK USD.1
 
 
**
330,426

WERNER ENTERPRISES INC COMMON STOCK USD.01
 
 
**
217,116

WESBANCO INC COMMON STOCK USD2.0833
 
 
**
103,426

WESCO AIRCRAFT HOLDINGS INC COMMON STOCK USD.001
 
 
**
120,368

WESCO INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
3,498,039

WEST MARINE INC COMMON STOCK USD.001
 
 
**
27,804

WESTERN ALLIANCE BANCORP COMMON STOCK USD.0001
 
 
**
6,226,088

WESTERN DIGITAL CORP COMMON STOCK USD.01
 
 
**
29,626,641

WESTERN ENERGY SERVICES CORP COMMON STOCK NPV
 
 
**
478,932

WESTERN GAS PARTNERS SR UNSECURED 07/22 4
7/1/2022
4%
**
380,101

WESTERN REFINING INC COMMON STOCK USD.01
 
 
**
94,714

GENERALITAT DE CATALUNYA SR UNSECURED 02/20 4.95
2/11/2020
4.95%
**
2,548,152

RABOBANK NEDERLAND SR UNSECURED REGS 03/20 6.875
3/19/2020
6.88%
**
2,150,864

BUONI POLIENNALI DEL TES BONDS REGS 09/21 2.1
9/15/2021
2.1%
**
141,790

WESTFIELD FINANCIAL INC COMMON STOCK USD.01
 
 
**
14,291

WESTPAC BANKING CORP SR UNSECURED 08/15 3
8/4/2015
3%
**
1,039,798

WESTPAC BANKING CORP SR UNSECURED 12/15 3
12/9/2015
3%
**
1,568,669

WESTPAC BANKING CORP SR UNSECURED 09/15 1.125
9/25/2015
1.13%
**
336,801

WESTPAC BANKING CORP SR UNSECURED 01/16 0.95
1/12/2016
0.95%
**
180,391

WESTPAC BANKING CORP SR UNSECURED 12/17 1.5
12/1/2017
1.5%
**
3,491,941

WESTPAC BANKING CORP COVERED 144A 11/19 1.85
11/26/2019
1.85%
**
11,388,131


152
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
WEX INC COMMON STOCK USD.01
 
 
**
10,336,900

WEYCO GROUP INC COMMON STOCK USD1.
 
 
**
33,438

WEYERHAEUSER CO SR UNSECURED 10/19 7.375
10/1/2019
7.38%
**
5,965,110

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 LC14 A2
3/15/2047
2.86%
**
3,183,368

WHIRLPOOL CORP SR UNSECURED 11/17 1.65
11/1/2017
1.65%
**
3,220,280

WHITESTONE REIT REIT USD.001
 
 
**
23,224

WHITEWAVE FOODS CO COMMON STOCK USD.01
 
 
**
1,864,967

WHITING PETROLEUM CORP COMMON STOCK USD.001
 
 
**
351,780

WHOLE FOODS MARKET INC COMMON STOCK NPV
 
 
**
4,883,631

WILEY (JOHN) + SONS CLASS A COMMON STOCK USD1.
 
 
**
1,125,560

WILLIAMS COS INC COMMON STOCK USD1.
 
 
**
15,706,530

CLAYTON WILLIAMS ENERGY INC COMMON STOCK USD.1
 
 
**
45,745

WILLIAMS PARTNERS LP SR UNSECURED 02/15 3.8
2/15/2015
3.8%
**
1,454,143

WILLIAMS PARTNERS LP SR UNSECURED 03/20 5.25
3/15/2020
5.25%
**
2,621,550

WILLIAMS PARTNERS LP SR UNSECURED 11/23 4.5
11/15/2023
4.5%
**
5,045,670

WILLIAMS PARTNERS LP SR UNSECURED 03/24 4.3
3/4/2024
4.3%
**
21,420,557

WILLIAMS SONOMA INC COMMON STOCK USD.01
 
 
**
3,231,536

WILSHIRE BANCORP INC COMMON STOCK NPV
 
 
**
77,869

J P MORGAN MBS FUND COMMINGLED J P MORGAN MBS FUND COMMINGLED
 
 
**
99,373,084

REALKREDIT DANMARK COVERED 01/15 2
1/1/2015
2%
**
22,669,104

LLOYDS BANK PLC COVERED REGS 03/25 5.125
3/7/2025
5.13%
**
579,190

WINDSTREAM HOLDINGS INC COMMON STOCK USD.0001
 
 
**
479,725

WINTRUST FINANCIAL CORP COMMON STOCK NPV
 
 
**
215,657

WIPRO LTD ADR ADR
 
 
**
486,760

WISC ELEC POWER SR UNSECURED 12/15 6.25
12/1/2015
6.25%
**
472,595

WISC ELEC POWER SR UNSECURED 09/21 2.95
9/15/2021
2.95%
**
71,426

BUNDESOBLIGATION I/L BONDS 04/18 0.75
4/15/2018
0.75%
**
5,287,841

WOLVERINE WORLD WIDE INC COMMON STOCK USD1.
 
 
**
2,632,702

WOODSIDE FINANCE LTD COMPANY GUAR 144A 05/21 4.6
5/10/2021
4.6%
**
745,743

WOODWARD INC COMMON STOCK USD.00292
 
 
**
252,008

WORKDAY INC CLASS A COMMON STOCK USD.001
 
 
**
5,250,053

WORLD FINANCIAL NETWORK CREDIT WFNMT 2013 B A
3/16/2020
0.91%
**
7,069,776

WORLD OMNI AUTO RECEIVABLES TR WOART 2012 A A4
8/15/2018
0.85%
**
2,203,953

WORLD OMNI AUTO RECEIVABLES TR WOART 2011 B A3
8/15/2016
0.96%
**
141,993

WORLD OMNI AUTO RECEIVABLES TR WOART 2013 A A4
7/15/2019
0.87%
**
5,283,867

WORLD OMNI AUTO RECEIVABLES TR WOART 2013 B A2
11/15/2016
0.48%
**
1,054,742

WORLD OMNI AUTOMOBILE LEASE SE WOLS 2014 A A3
9/15/2017
1.16%
**
846,797

GENERALITAT DE CATALUNYA SR UNSECURED REGS 04/15 3.875
4/7/2015
3.88%
**
3,339,701

DIVERSIFIED REAL ASSET FUND WELLINGTON
 
 
**
327,790,112

GLOBAL ALL CAP FUND WELLINGTON
 
 
**
330,831,557

MEXICAN UDIBONOS BONDS 11/40 4
11/15/2040
4%
**
158,439

WPX ENERGY INC COMMON STOCK
 
 
**
210,991

WM WRIGLEY JR CO SR UNSECURED 144A 10/16 1.4
10/21/2016
1.4%
**
3,599,910

WM WRIGLEY JR CO SR UNSECURED 144A 10/18 2.4
10/21/2018
2.4%
**
1,681,758

WM WRIGLEY JR CO SR UNSECURED 144A 10/19 2.9
10/21/2019
2.9%
**
2,410,781

REPUBLIKA SLOVENIJA SR UNSECURED REGS 01/21 4.375
1/18/2021
4.38%
**
696,892

WYETH LLC COMPANY GUAR 04/17 5.45
4/1/2017
5.45%
**
1,342,337


153
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
WYNN MACAU LTD SR UNSECURED 144A 10/21 5.25
10/15/2021
5.25%
**
799,000

XTO ENERGY INC COMPANY GUAR 06/15 5.3
6/30/2015
5.3%
**
768,135

XCEL ENERGY INC SR UNSECURED 07/36 6.5
7/1/2036
6.5%
**
81,322

XCEL ENERGY INC SR UNSECURED 05/16 0.75
5/9/2016
0.75%
**
2,381,736

HEATHROW FINANCE PLC SR SECURED REGS 03/17 7.125
3/1/2017
7.13%
**
2,519,207

HYPOTHEKENBANK FRANKFURT JUMBO PFANDB REGS 01/16 2.875
1/19/2016
2.88%
**
871,320

XEROX CORPORATION SR UNSECURED 03/16 6.4
3/15/2016
6.4%
**
190,955

XEROX CORPORATION SR UNSECURED 02/15 4.25
2/15/2015
4.25%
**
695,738

XEROX CORPORATION SR UNSECURED 12/19 5.625
12/15/2019
5.63%
**
112,387

XEROX CORPORATION SR UNSECURED 05/21 4.5
5/15/2021
4.5%
**
80,149

XEROX CORPORATION SR UNSECURED 03/17 2.95
3/15/2017
2.95%
**
549,717

GLENCORE FINANCE CANADA COMPANY GUAR 144A 11/16 5.8
11/15/2016
5.8%
**
449,291

GLENCORE FINANCE CANADA COMPANY GUAR 144A 10/17 VAR
10/25/2017
2.7%
**
2,023,414

XYLEM INC COMMON STOCK
 
 
**
2,307,042

XYLEM INC SR UNSECURED 10/21 4.875
10/1/2021
4.88%
**
869,675

YADKIN FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
2,281,034

YELP INC COMMON STOCK USD.000001
 
 
**
7,261,576

ARRAN RESIDENTIAL MORTGAGES FU ARRMF 2010 1A A2B 144A
5/16/2047
1.48%
**
119,266

EUROPEAN INVESTMENT BANK SR UNSECURED REGS 01/21 3.625
1/15/2021
3.63%
**
2,032,451

YUM BRANDS INC COMMON STOCK
 
 
**
4,965,092

YUME INC COMMON STOCK USD.001
 
 
**
14,979

ZAGG INC COMMON STOCK USD.001
 
 
**
20,879

ZAYO GROUP HOLDINGS INC COMMON STOCK USD.001
 
 
**
1,894,729

ZELTIQ AESTHETICS INC COMMON STOCK USD.001
 
 
**
1,356,873

ZEP INC COMMON STOCK USD.01
 
 
**
34,163

ZILLOW INC CLASS A COMMON STOCK USD.0001
 
 
**
177,578

ZIMMER HOLDINGS INC COMMON STOCK USD.01
 
 
**
5,181,026

ZIONS BANCORPORATION COMMON STOCK NPV
 
 
**
578,610

ZOETIS INC COMMON STOCK USD.01
 
 
**
4,318,921

ZOETIS INC SR UNSECURED 02/23 3.25
2/1/2023
3.25%
**
384,707

ZOETIS INC SR UNSECURED 02/16 1.15
2/1/2016
1.15%
**
3,219,123

ZOETIS INC SR UNSECURED 02/18 1.875
2/1/2018
1.88%
**
3,825,268

ZOE S KITCHEN INC COMMON STOCK USD.01
 
 
**
161,634

ZYNGA INC CL A COMMON STOCK USD.00000625
 
 
**
129,507

DEPFA ACS BANK COVERED REGS 03/17 5.75
3/28/2017
5.75%
**
437,119

BANK OF AMERICA CORP SUBORDINATED 03/18 VAR
3/28/2018
0.92%
**
1,432,385

RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS
6/12/2044
0.73%
**
1,484,217

MET LIFE GLOB FUNDING I SR SECURED 05/17 4.625
5/16/2017
4.63%
**
4,117,959

SWPC108J7 CDS USD R F 1.00000
9/20/2015
1%
**
400,614

SWPC108J7 CDS USD P V 03MEVENT
9/20/2015
1%
**
(400,000
)
SWPC784L3 CDS USD R F 1.00000
6/20/2016
1%
**
302,362

SWPC784L3 CDS USD P V 00MEVENT
6/20/2016
1%
**
(300,000
)
SWU005A13 IRS USD R F 2.65000 MYCSWU005A13 CCPVANILLA CME
7/31/2023
2.65%
**
7,675,857

SWU005A13 IRS USD P V 03MLIBOR MYCSWUV05A15 CCPVANILLA CME
7/31/2023
0.23%
**
(7,400,000
)
SWPC376Z6 CDS USD R F 1.00000 SOVEREIGN
9/20/2015
1%
**
100,154


154
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SWPC376Z6 CDS USD P V 03MEVENT SOVEREIGN
9/20/2015
1%
**
(100,000
)
SWPC00YC4 CDS USD R F 1.00000
12/20/2023
1%
**
2,100,761

SWPC00YC4 CDS USD P V 00MEVENT US084670BD98
12/20/2023
1%
**
(2,100,000
)
SWPC03GC8 CDS USD R F 1.00000 1 CCPCDX
6/20/2019
1%
**
71,563,685

SWPC03GC8 CDS USD P V 03MEVENT 2 CCPCDX
6/20/2019
1%
**
(70,300,000
)
SWU008SB6 IRS ZAR R F 7.50000 FIX VANILLA
9/17/2019
7.5%
**
347,940

SWU008SB6 IRS ZAR P V 03MJIBAR FLO VANILLA
9/17/2019
6.08%
**
(345,759
)
SWU008WI6 IRS BRL R F 12.05500 FIX NDFPREDISWAP
1/4/2021
12.06%
**
3,968,500

SWU008WI6 IRS BRL P V 00MCETIP FLO NDFPREDISWAP
1/4/2021
1%
**
(3,950,041
)
SWU009E78 IRS USD R F 3.00000
12/17/2024
3%
**
1,598,632

SWU009E78 IRS USD P V 03MLIBOR
12/17/2024
0.24%
**
(1,500,000
)
SWU0RSAW6 TRS USD R E MATURITY DATE 12/31/2015
 
 
**
176,931

SWU0RSAW6 TRS USD P E USCRLLSS
 
 
**
(36,000
)
SWU009I66 IRS AUD R F 3.75000 SWU009I66 CCPVANILLA
12/17/2019
3.75%
**
16,752,007

SWU009I66 IRS AUD P V 06MBBSW SWUV09I68 CCPVANILLA
12/17/2019
0.24%
**
(15,957,826
)
SWU0VARE2 TRS USD R F .00000
8/3/2015
 
**
196,850

SWU0VARE2 TRS USD P F .00000 VARS SLVRLN
8/3/2015
 
**
(189,964
)
SWU0RSD29 TRS USD R E MATURITY DATE 03/31/2015
 
 
**
3,845

SWU0RSD29 TRS USD P E COM FWD DTDBRTCO 1Q15
 
 
**
(1,800
)
SWU0RSD45 TRS USD R E MATURITY DATE 03/31/2015
 
 
**
9,139

SWU0RSD45 TRS USD P E COM FWD DTDBRTCO 1Q15
 
 
**
(4,200
)
SWU0EW085 TRS USD R E
 
 
**
378,224

SWU0EW085 TRS USD P V 03MTBILL
2/17/2015
0.18%
**
(397,972
)
SWU00A7L2 IRS GBP R F 2.75000 SWU00A7L2 CCPVANILLA
3/18/2025
2.75%
**
11,295,574

SWU00A7L2 IRS GBP P V 06MLIBOR SWUV0A7L4 CCPVANILLA
3/18/2025
1%
**
(10,446,975
)
SWU00A9B2 IRS EUR R F 1.25000 SWU00A9B2 CCPVANILLA
3/18/2025
1.25%
**
54,366,056

SWU00A9B2 IRS EUR P V 06MEURIB SWUV0A9B4 CCPVANILLA
3/18/2025
1%
**
(52,274,168
)
SWU00AJD7 IRS MXN R F 6.07450 SWU00AJD7 CCPVANILLA
9/21/2021
6.07%
**
4,430,402

SWU00AJD7 IRS MXN P V 01MTIIE SWUV0AJD9 CCPVANILLA
9/21/2021
3.31%
**
(4,342,000
)
SWU0COMK4 TRS USD R E MATURITY DATE 02/28/2015
 
 
**
9,692

SWU0COMK4 TRS USD P E COM FWD FBTMM Z14
 
 
**
(3,108
)
SWU0COML2 TRS USD R E MATURITY DATE 03/31/2015
 
 
**
43,950

SWU0COML2 TRS USD P E
 
 
**
(7,788
)
SWPC06WV1 CDS USD R F 1.00000 1 CCPCDX
12/20/2019
1%
**
40,236,324

SWPC06WV1 CDS USD P V 03MEVENT 2 CCPCDX
12/20/2019
1%
**
(39,600,000
)
SWU09P631 TRS USD R E MATURITY DATE 02/28/2015
 
 
**
18,948

SWU09P631 TRS USD P E COM FWD FBTMM
 
 
**
(6,216
)
SWU00AMB7 IRS MXN R F 6.71000 SWU00AMB7 CCPVANILLA
9/20/2029
6.71%
**
909,333

SWU00AMB7 IRS MXN P V 01MTIIE SWUV0AMB9 CCPVANILLA
9/20/2029
3.29%
**
(895,538
)
SWU0COMM0 TRS USD R E MATURITY DATE 03/31/2015
 
 
**
58,044

SWU0COMM0 TRS USD P E COM FWD FBANM X14-H15
 
 
**
(11,741
)
SWU00A7E8 IRS BRL R V 00MBRCDI FLO NDFPREDISWAP
1/4/2021
1%
**
1,297,731

SWU00A7E8 IRS BRL P F 11.50000 FIX NDFPREDISWAP
1/4/2021
11.5%
**
(1,279,061
)
SWU00AP08 IRS AUD R F 3.25000 SWU00AP08 CCPVANILLA
12/17/2019
3.25%
**
14,869,442

SWU00AP08 IRS AUD P V 06MBBSW SWUV0AP00 CCPVANILLA
12/17/2019
2.77%
**
(14,484,795
)
SWU0VART9 TRS USD R F .00000
11/17/2015
 
**
250,000

SWU0VART9 TRS USD P F .00000 VARS CLZ5
11/17/2015
 
**
(215,601
)
SWU0NB610 TRS USD R F .00000
1/27/2015
 
**
82,948


155
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SWU0NB610 TRS USD P F .00000 VARS NGG5
1/27/2015
 
**
(77,280
)
SWU0COMQ1 TRS USD R E MATURITY DATE 12/31/2014
 
 
**
(41,081
)
SWU0COMS7 TRS USD R E MATURITY DATE 12/31/2014
 
 
**
87,263

SWU0COMS7 TRS USD P E COM FWD IIUM Z4
 
 
**
18,320

SWU0COMR9 TRS USD R E
 
 
**
(30,876
)
SWU0COMR9 TRS USD P E
 
 
**
10,323

SWU0NB628 TRS USD R F .00000
1/27/2015
 
**
84,899

SWU0NB628 TRS USD P F .00000 VARS NGG5
1/27/2015
 
**
(82,645
)
SWU00B706 IRS PLN R F 2.25000 SWU00B706 CCPVANILLA
3/18/2025
2.25%
**
3,664,886

SWU00B706 IRS PLN P V 06MWIBOR SWUV0B708 CCPVANILLA
3/18/2025
1%
**
(3,659,910
)
SWU029RA5 TRS USD R E MATURITY DATE 06/30/2015
 
 
**
3,972

SWU029RA5 TRS USD P E COM FWD LLSBRT 1H15
 
 
**
(2,015
)
SWU029RB3 TRS USD R E MATURITY DATE 02/27/2015
 
 
**
27,494

SWU029RB3 TRS USD P E COM FWD ACSH5
 
 
**
(10,000
)
SWU0NB891 TRS USD R E MATURITY DATE 06/30/2015
 
 
**
1,986

SWU0NB891 TRS USD P E COM FWD LLSBRT 1H15
 
 
**
(809
)
SWU0COMZ1 TRS USD R E MATURITY DATE 02/27/2015
 
 
**
11,498

SWU0COMZ1 TRS USD P E COM FWD ACSH5
 
 
**
(5,000
)
SWU0COMY4 TRS USD R E MATURITY DATE 02/27/2015
 
 
**
11,648

SWU0COMY4 TRS USD P E COM FWD ACSH5
 
 
**
(5,000
)
SWU0COM08 TRS USD R E MATURITY DATE 06/30/2015
 
 
**
1,986

SWU0COM08 TRS USD P E COM FWD LLSBRT 1H15
 
 
**
(710
)
SWU09RY44 IRS GBP R F 3.10000
12/11/2024
3.1%
**
2,978,253

SWU09RY44 IRS GBP P V 00MUKRPI UKPRI
12/11/2024
1%
**
(2,962,575
)
SWU09OBH7 IRS GBP R F 3.55000
12/11/2044
3.55%
**
773,253

SWU09OBH7 IRS GBP P V 00MUKRPI UKRPI
12/11/2044
1%
**
(732,847
)
SWU09RY36 IRS GBP R F 3.10000
12/11/2024
3.1%
**
156,750

SWU09RY36 IRS GBP P V 00MUKRPI UKRPI
12/11/2024
1%
**
(155,925
)
SWU09OBM6 IRS GBP R F 3.55000 INF SWU09OBM6 RF GBP3.55 LL
12/11/2044
3.55%
**
164,522

SWU09OBM6 IRS GBP P V 12MLIBOR INF SWU09OBM6 RF GBP3.55 SL
12/11/2044
1%
**
(155,925
)
SWU0VA001 TRS USD R F .00000
1/14/2015
 
**
210,542

SWU0VA001 TRS USD P F .00000 VARS CLG5
1/14/2015
 
**
(208,333
)
SWU09OBS3 IRS GBP R F 3.51000 INFLATIONZERO
12/15/2044
3.51%
**
488,915

SWU09OBS3 IRS GBP P V 00MUKRPI UKRPI
12/15/2044
1%
**
(467,775
)
SWU09OBP9 IRS GBP R F 3.53000
12/15/2044
3.53%
**
164,371

SWU09OBP9 IRS GBP P V 00MRPI UKRPI
12/15/2044
1%
**
(155,925
)
SWU00B9H7 IRS USD R F .00000
6/17/2025
 
**
15,973,115

SWU00B9H7 IRS USD P F .00000
6/17/2025
 
**
(15,500,000
)
SWU09OCL7 IRS GBP R F 3.45000 INFLATIONZERO
12/15/2044
3.45%
**
631,523

SWU09OCL7 IRS GBP P V 00MUKRPI UKRPI
12/15/2044
1%
**
(623,700
)
SWU0NA018 TRS USD R E MATURITY DATE 06/30/2015
 
 
**
1,998

SWU0NA018 TRS USD P E COM FWD LLSBRT 1H15
 
 
**
(1,213
)
SWU0NA026 TRS USD R E MATURITY DATE 06/30/2015
 
 
**
1,008

SWU0NA026 TRS USD P E COM FWD LLSBRT 1H15
 
 
**
(662
)
SWU0COM24 TRS USD R E MATURITY DATE 03/31/2015
 
 
**
1,705

SWU0COM24 TRS USD P E COM FWD NAPCO 1Q15
 
 
**
(588
)

156
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SWU0RSR81 TRS USD R E MATURITY DATE 03/31/2015
 
 
**
2,478

SWU0RSR81 TRS USD P E COM FWD JETNWECO 1Q15
 
 
**
(588
)
SWU0COM32 TRS USD R E MATURITY DATE 03/31/2015
 
 
**
1,714

SWU0COM32 TRS USD P E
 
 
**
(612
)
SWU0RSR99 TRS USD R E MATURITY DATE 03/31/2015
 
 
**
2,518

SWU0RSR99 TRS USD P E COM FWD JETNWECO 1Q15
 
 
**
(612
)
SWU00BGD8 IRS MXN R F 6.77000 SWU00BGD8 CCPVANILLA
11/29/2029
6.77%
**
1,488,527

SWU00BGD8 IRS MXN P V 01MTIIE SWUV0BGD0 CCPVANILLA
11/29/2029
3.3%
**
(1,458,641
)
SWU00BGL0 IRS BRL R F 13.06000 FIX NDFPREDISWAP
1/2/2018
13.06%
**
10,894,777

SWU00BGL0 IRS BRL P V 00MBRCDI FLO NDFPREDISWAP
1/2/2018
1%
**
(10,796,780
)
SWU00BGM8 IRS BRL R F 13.06000 FIX NDFPREDISWAP
1/2/2018
13.06%
**
3,340,559

SWU00BGM8 IRS BRL P V 00MBRCDI FLO NDFPREDISWAP
1/2/2018
1%
**
(3,310,511
)
SWU0RSRA6 TRS USD R E MATURITY DATE 06/30/2015
 
 
**
2,274

SWU0RSRA6 TRS USD P E COM FWD LLSBRT 1H15
 
 
**
(1,154
)
SWU0NA042 TRS USD R E MATURITY DATE 06/30/2015
 
 
**
2,400

SWU0NA042 TRS USD P E COM FWD LLSBRT 1H15
 
 
**
(1,697
)
SWU0RSRB4 TRS USD R F .00000
1/14/2015
 
**
133,483

SWU0RSRB4 TRS USD P F .00000 VARS CLG5
1/14/2015
 
**
(126,000
)
SWU0NA109 TRS USD R F .00000
1/14/2015
 
**
64,427

SWU0NA109 TRS USD P F .00000 VARS CLG5
1/14/2015
 
**
(61,000
)
BWU008A41 IRS USD R V 03MLIBOR SWUV08A43 CCPVANILLA CME
9/25/2017
1%
**
106,357,374

BWU008A41 IRS USD P F .80000 SWU008A41 CCPVANILLA CME
9/25/2017
0.8%
**
(104,900,000
)
GENERALITAT DE VALENCIA SR UNSECURED 07/15 3.25
7/6/2015
3.25%
**
243,571

317U187G2 IRO USD 30Y P 3.9575 MAY15 3.9575 PUT
5/11/2015
 
**
2,176

317U886G6 IRO EUR 10Y C 1.0000 SEP16 1 CALL
9/1/2016
 
**
321,199

3175063T8 OTC ECAL USD VS JPY FEB15 114 CALL
2/3/2015
 
**
239,093

3175063W1 OTC ECAL USD VS JPY FEB15 114 CALL
2/3/2015
 
**
229,131

WHEAT FTR OPTN MAR15 575 PUT
2/20/2015
 
**
20,475

317U555H4 IRO USD 1Y P 1.0000 JUN15 1 PUT
6/17/2015
 
**
18,619

BASF SE COMMON STOCK NPV
 
 
**
186,789

INDOFOOD CBP SUKSES MAKMUR T COMMON STOCK IDR100.
 
 
**
14,174

WARSAW STOCK EXCHANGE COMMON STOCK PLN1.
 
 
**
169,831

MMI HOLDINGS LTD COMMON STOCK ZAR.000001
 
 
**
197,544

SWISS RE AG COMMON STOCK CHF.1
 
 
**
1,909,474

UOA DEVELOPMENT BHD COMMON STOCK MYR.05
 
 
**
267,092

EFSF GOVT GUARANT REGS 07/21 3.375
7/5/2021
3.38%
**
4,319,033

INDONESIA GOVERNMENT SR UNSECURED 06/32 8.25
6/15/2032
8.25%
**
839,720

BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/22 5.85
1/31/2022
5.85%
**
5,102,036

UNICREDIT SPA COMMON STOCK
 
 
**
1,651,941

KOREA TREASURY BOND SR UNSECURED 12/31 4
12/10/2031
4%
**
280,351

FMS WERTMANAGEMENT GOVT GUARANT REGS 02/17 1.625
2/22/2017
1.63%
**
250,440

BUONI POLIENNALI DEL TES BONDS 09/22 5.5
9/1/2022
5.5%
**
1,708,542

ROYAL BK OF SCOTLAND PLC SUBORDINATED REGS 03/22 VAR
3/16/2022
9.5%
**
5,682,080

KOREA TREASURY BOND SR UNSECURED 03/17 3.5
3/10/2017
3.5%
**
1,102,889

MALAYSIA GOVERNMENT SR UNSECURED 03/27 3.892
3/15/2027
3.89%
**
246,525

LLOYDS BANK PLC COVERED REGS 03/27 4.875
3/30/2027
4.88%
**
7,491,154

RCI BANQUE SA SR UNSECURED REGS 04/17 4.25
4/27/2017
4.25%
**
1,442,564


157
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
NYKREDIT COVERED 01/15 2
1/1/2015
2%
**
1,153,768

MALAYSIA GOVERNMENT SR UNSECURED 10/17 3.314
10/31/2017
3.31%
**
453,387

SAPURAKENCANA PETROLEUM BHD COMMON STOCK MYR1.
 
 
**
100,722

FMS WERTMANAGEMENT GOVT GUARANT REGS 05/19 1.875
5/9/2019
1.88%
**
260,311

KOREA TREASURY BOND SR UNSECURED 06/15 3.25
6/10/2015
3.25%
**
861,374

KOREA TREASURY BOND SR UNSECURED 06/22 3.75
6/10/2022
3.75%
**
755,801

NEDER WATERSCHAPSBANK SR UNSECURED REGS 08/19 1.625
8/23/2019
1.63%
**
1,288,190

NORTHERN TRUST RUSSELL 2000 J FUND NUMBER 386 NON LENDING
 
 
**
2,409,272,563

BUONI POLIENNALI DEL TES BONDS 11/22 5.5
11/1/2022
5.5%
**
3,423,256

INDONESIA GOVERNMENT SR UNSECURED 05/33 6.625
5/15/2033
6.63%
**
119,945

LIGHTPOINT PAN EUROPEAN CLO PL LIGHP 2006 1X A REGS
1/31/2022
0.34%
**
680,871

REPUBLIC OF SLOVENIA SR UNSECURED REGS 10/22 5.5
10/26/2022
5.5%
**
7,983,000

NEW ZEALAND INDEX LINKED SR UNSECURED REGS 09/25 2
9/20/2025
2%
**
401,664

POLAND GOVERNMENT BOND BONDS 10/23 4
10/25/2023
4%
**
4,216,534

BUONI POLIENNALI DEL TES BONDS 09/18 1.7
9/15/2018
1.7%
**
635,273

FCE BANK PLC SR UNSECURED REGS 05/16 1.875
5/12/2016
1.88%
**
2,466,010

VIMPELCOM HOLDINGS BV COMPANY GUAR REGS 02/19 5.2
2/13/2019
5.2%
**
324,000

JUNTA DE ANDALUCIA SR UNSECURED REGS 04/16 VAR
4/6/2016
3.45%
**
1,314,177

GENERALITAT DE VALENCIA SR UNSECURED 09/17 VAR
9/3/2017
2.51%
**
242,407

BUONI POLIENNALI DEL TES BONDS 05/23 4.5
5/1/2023
4.5%
**
4,866,894

COMMERZBANK AG COMMON STOCK NPV
 
 
**
687,861

REPUBLIC OF SLOVENIA SR UNSECURED REGS 05/23 5.85
5/10/2023
5.85%
**
3,844,210

GROWTHPOINT PROPERTIES LTD REIT NPV
 
 
**
142,576

EUROBANK ERGASIAS SA COMMON STOCK EUR.3
 
 
**
84,244

BUONI POLIENNALI DEL TES BONDS 03/24 4.5
3/1/2024
4.5%
**
1,340,157

TOKYU FUDOSAN HOLDINGS CORP COMMON STOCK
 
 
**
46,997

BUNDESREPUB. DEUTSCHLAND BONDS 08/23 2
8/15/2023
2%
**
6,459,221

IIDA GROUP HOLDINGS CO LTD COMMON STOCK
 
 
**
245,661

PINNACLE HOLDINGS LTD COMMON STOCK ZAR.01
 
 
**
152,123

BUONI POLIENNALI DEL TES SR UNSECURED 05/21 3.75
5/1/2021
3.75%
**
12,361,300

FRANCE (GOVT OF) BONDS 05/24 2.25
5/25/2024
2.25%
**
1,788,430

BPE FINANCIACIONES SA COMPANY GUAR 05/16 2.875
5/19/2016
2.88%
**
2,224,606

ING BANK NV SUBORDINATED REGS 11/23 VAR
11/21/2023
4.13%
**
1,320,896

NOVO NORDISK A/S B COMMON STOCK DKK.2
 
 
**
982,700

VODAFONE GROUP PLC COMMON STOCK USD.2095
 
 
**
446,714

BANKIA SA SR UNSECURED REGS 01/19 3.5
1/17/2019
3.5%
**
391,727

BPE FINANCIACIONES SA COMPANY GUAR 02/17 2.5
2/1/2017
2.5%
**
987,564

REPUBLIC OF SLOVENIA SR UNSECURED REGS 02/24 5.25
2/18/2024
5.25%
**
219,750

SLOVENIA MOF T BILL BILLS 02/15 0.00000
2/12/2015
 
**
1,330,414

BUONI POLIENNALI DEL TES BONDS 09/24 3.75
9/1/2024
3.75%
**
1,835,594

LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
12/29/2049
7.63%
**
3,107,529

SLOVENIA MOF T BILL BILLS 03/15 0.00000
3/12/2015
 
**
241,752

BUONI POLIENNALI DEL TES UNSECURED 144A REGS 09/24 2.35
9/15/2024
2.35%
**
135,304

KONINKLIJKE AHOLD NV COMMON STOCK EUR.01
 
 
**
1,073,007

SLOVENIA MOF T BILL BILLS 04/15 0.00000
4/9/2015
 
**
845,876

SUN HUNG KAI PROPERTIES SUN HUNG KA CW16
4/22/2016
 
**
83

BUONI POLIENNALI DEL TES BONDS REGS 04/20 1.65
4/23/2020
1.65%
**
4,472,724


158
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
FRANCE (GOVT OF) BONDS 05/30 2.5
5/25/2030
2.5%
**
6,133,460

FRANCE (GOVT OF) BONDS 11/24 1.75
11/25/2024
1.75%
**
8,685,934

WESTFIELD CORP REIT NPV
 
 
**
214,308

POLAND GOVERNMENT BOND BONDS 07/25 3.25
7/25/2025
3.25%
**
14,484,670

INTERCONTINENTAL HOTELS GROU COMMON STOCK GBP.158055
 
 
**
421,539

MEXICAN UDIBONOS BONDS 11/46 4
11/8/2046
4%
**
460,659

BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/24 2
10/31/2024
2.75%
**
18,283,697

REPUBLIC OF INDONESIA 07/21 2.875
7/8/2021
2.88%
**
1,225,176

NOVO BANCO SA UNSECURED 04/19 5
4/4/2019
5%
**
118,887

NOVO BANCO SA SR UNSECURED 04/19 5
4/23/2019
5%
**
475,550

INDITEX COMMON STOCK EUR.03
 
 
**
6,339,705

REPUBLIC OF SOUTH AFRICA SR UNSECURED 07/26 3.75
7/24/2026
3.75%
**
515,481

TWINKLE PIZZA PLC SR SECURED REGS 08/21 6.625
8/1/2021
6.63%
**
476,808

NOVO BANCO SA SR UNSECURED 05/19 5
5/23/2019
5%
**
472,570

LETRA TESOURO NACIONAL BILLS 10/15 0.00000
10/1/2015
 
**
240,499

NOVO BANCO SA SR UNSECURED 03/16 7
3/4/2016
7%
**
243,882

HELLENIC T BILL BILLS 02/15 0.00000
2/6/2015
0.01%
**
963,349

AKER SOLUTIONS ASA COMMON STOCK NOK1.08
 
 
**
224,443

JAPAN (30 YEAR ISSUE) SR UNSECURED 09/44 1.7
9/20/2044
1.7%
**
19,918,877

JAPAN (20 YEAR ISSUE) SR UNSECURED 09/34 1.4
9/20/2034
1.4%
**
5,757,993

FIAT CHRYSLER AUTOMOBILES NV COMMON STOCK EUR.01
 
 
**
264,112

UBS GROUP AG COMMON STOCK CHF.1
 
 
**
6,079,114

JAPAN TREASURY DISC BILL BILLS 02/15 0.00000
2/9/2015
 
**
13,094,791

BELGACOM SA COMMON STOCK NPV
 
 
**
2,176,063

CNOOC LTD COMMON STOCK NPV
 
 
**
259,827

INVESTMENT AB KINNEVIK B SHS COMMON STOCK NPV
 
 
**
90,989

PETRONET LNG LTD COMMON STOCK INR10.
 
 
**
473,097

CATLIN GROUP LTD COMMON STOCK USD.01
 
 
**
803,337

LIFESTYLE INTL HLDGS LTD COMMON STOCK HKD.005
 
 
**
703,460

HALLA VISTEON CLIMATE CONTRO COMMON STOCK KRW500.
 
 
**
694,549

SINO BIOPHARMACEUTICAL COMMON STOCK HKD.025
 
 
**
623,594

CAPITACOMMERCIAL TRUST REIT NPV
 
 
**
23,840

HBOS PLC SUBORDINATED 09/16 VAR
9/1/2016
0.88%
**
240,800

WINCOR NIXDORF AG COMMON STOCK NPV
 
 
**
408,711

BUMRUNGRAD HOSPITAL PU NVDR NVDR THB1.0
 
 
**
57,000

TECHTRONIC INDUSTRIES CO LTD COMMON STOCK NPV
 
 
**
1,410,408

KOREAN REINSURANCE CO COMMON STOCK KRW500.
 
 
**
231,574

EUROPEAN INVESTMENT BANK SR UNSECURED 04/20 4.625
4/15/2020
4.63%
**
894,643

LG DISPLAY CO LTD COMMON STOCK KRW5000.
 
 
**
409,623

SURGUTNEFTEGAS SP ADR ADR
 
 
**
86,166

AEGON NV JR SUBORDINA 07/49 VAR
7/29/2049
2.55%
**
3,295,637

GOME ELECTRICAL APPLIANCES COMMON STOCK HKD.025
 
 
**
376,203

M3 INC COMMON STOCK
 
 
**
7,717,755

DEPFA ACS BANK COVERED REGS 01/15 4.375
1/15/2015
4.38%
**
2,786,219

SINGAPORE TELECOMMUNICATIONS COMMON STOCK NPV
 
 
**
11,743

SINGAPORE TELECOMMUNICATIONS COMMON STOCK NPV
 
 
**
1,365,633

NTT URBAN DEVELOPMENT CORP COMMON STOCK
 
 
**
17,341


159
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
CENTRICA PLC COMMON STOCK GBP.061728
 
 
**
362,576

DEXUS PROPERTY GROUP REIT NPV
 
 
**
75,873

JYSKE BANK REG COMMON STOCK DKK10.
 
 
**
340,566

GOODMAN GROUP REIT NPV
 
 
**
112,988

AIRASIA BHD COMMON STOCK MYR.1
 
 
**
52,276

ROYAL DUTCH SHELL PLC A SHS COMMON STOCK EUR.07
 
 
**
1,823,948

ROYAL DUTCH SHELL PLC B SHS COMMON STOCK EUR.07
 
 
**
1,245,268

AYGAZ AS COMMON STOCK TRY1.
 
 
**
210,245

TOFAS TURK OTOMOBIL FABRIKA COMMON STOCK TRY1.
 
 
**
71,271

TURK HAVA YOLLARI AO COMMON STOCK TRY1.
 
 
**
525,950

HACI OMER SABANCI HOLDING COMMON STOCK TRY1.
 
 
**
30,197

REPUBLIC OF SOUTH AFRICA BONDS 12/18 8
12/21/2018
8%
**
4,667,470

SPIRIT ISSUER PLC SR SECURED 12/27 6.582
12/28/2027
6.58%
**
1,191,891

PORTO SEGURO SA COMMON STOCK NPV
 
 
**
264,179

FIBRIA CELULOSE SA COMMON STOCK NPV
 
 
**
136,977

EURONAV SA COMMON STOCK NPV
 
 
**
312,451

SK NETWORKS CO LTD COMMON STOCK KRW2500.
 
 
**
354,770

SYNTHOS SA COMMON STOCK PLN.03
 
 
**
11,057

PIRAMAL ENTERPRISES LTD COMMON STOCK INR2.
 
 
**
397,789

COCA COLA ICECEK AS COMMON STOCK TRY1.
 
 
**
324,030

INTERNET INITIATIVE JAPAN COMMON STOCK
 
 
**
755,458

HAKUHODO DY HOLDINGS INC COMMON STOCK
 
 
**
688,869

SHIP HEALTHCARE HOLDINGS INC COMMON STOCK
 
 
**
210,404

SISTEMA JSFC REG S SPONS GDR GDR
 
 
**
97,484

MEX BONOS DESARR FIX RT BONDS 12/24 10
12/5/2024
10%
**
7,238,654

KABU.COM SECURITIES CO LTD COMMON STOCK
 
 
**
330,573

BURSA MALAYSIA BHD COMMON STOCK MYR.5
 
 
**
271,737

IG GROUP HOLDINGS PLC COMMON STOCK GBP.00005
 
 
**
414,807

INOTERA MEMORIES INC COMMON STOCK TWD10.
 
 
**
921,334

GLOW ENERGY PCL NVDR NVDR THB10.0
 
 
**
55,612

AYT CEDULAS CAJAS IX COVERED 03/15 3.75
3/31/2015
3.75%
**
243,835

SEEK LTD COMMON STOCK NPV
 
 
**
166,033

ATRESMEDIA CORP DE MEDIOS DE COMMON STOCK EUR.75
 
 
**
290,151

SEMBCORP INDUSTRIES LTD COMMON STOCK NPV
 
 
**
47,015

MTU AERO ENGINES AG COMMON STOCK
 
 
**
1,087,885

GRUPA LOTOS SA COMMON STOCK PLN1.
 
 
**
9,821

RMAC PLC RMAC 2005 NS2X A2C REGS
9/12/2037
0.3%
**
854,343

SARTORIUS STEDIM BIOTECH COMMON STOCK EUR1.0
 
 
**
1,151,568

GDF SUEZ COMMON STOCK EUR1.
 
 
**
5,739,267

SINOFERT HOLDINGS LTD COMMON STOCK HKD.1
 
 
**
242,377

BIM BIRLESIK MAGAZALAR AS COMMON STOCK TRY1.
 
 
**
139,664

FINMECCANICA SPA COMMON STOCK EUR4.4
 
 
**
910,684

NOVATEK OAO SPONS GDR REG S GDR
 
 
**
102,077

SEVEN + I HOLDINGS CO LTD COMMON STOCK
 
 
**
392,609

DAIICHI SANKYO CO LTD COMMON STOCK
 
 
**
2,311,066

BANDAI NAMCO HOLDINGS INC COMMON STOCK
 
 
**
440,539

STHREE PLC COMMON STOCK GBP.01
 
 
**
568,775

NAMPAK LTD COMMON STOCK ZAR.05
 
 
**
759,002


160
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SANLAM LTD COMMON STOCK ZAR.01
 
 
**
596,287

POLSKIE GORNICTWO NAFTOWE I COMMON STOCK PLN1.
 
 
**
142,722

HIKMA PHARMACEUTICALS PLC COMMON STOCK GBP.1
 
 
**
1,619,991

CHINA CONSTRUCTION BANK H COMMON STOCK CNY1.0
 
 
**
1,027,647

DAIWA OFFICE INVESTMENT CORP REIT
 
 
**
561,324

CIMC ENRIC HOLDINGS LTD COMMON STOCK HKD.01
 
 
**
142,981

SHENZHOU INTERNATIONAL GROUP COMMON STOCK HKD.1
 
 
**
471,144

SEOBU T+D COMMON STOCK KRW500.
 
 
**
463,177

BRITVIC PLC COMMON STOCK GBP.2
 
 
**
696,235

DEPFA ACS BANK COVERED REGS 10/15 4.875
10/28/2015
4.88%
**
1,961,438

LINK REIT REIT NPV
 
 
**
209,514

MEDICLINIC INTERNATIONAL LTD COMMON STOCK NPV
 
 
**
76,292

DONGFENG MOTOR GRP CO LTD H COMMON STOCK CNY1.0
 
 
**
186,557

LANCASHIRE HOLDINGS LTD COMMON STOCK USD.5
 
 
**
389,438

DUFRY AG REG COMMON STOCK CHF5.0
 
 
**
575,666

LONDON STOCK EXCHANGE GROUP COMMON STOCK GBP.06918605
 
 
**
97,313

BANKIA SA COVERED 12/15 3.5
12/14/2015
3.5%
**
124,445

SPARK INFRASTRUCTURE GROUP STAPLED SECURITY NPV
 
 
**
736,924

MIRAE ASSET SECURITIES CO LT COMMON STOCK KRW5000.
 
 
**
214,291

AUSTRALIAN GOVERNMENT SR UNSECURED 03/19 5.25
3/15/2019
5.25%
**
1,285,739

BANKIA SA SR UNSECURED 01/16 VAR
1/25/2016
1%
**
119,882

CASTELLUM AB COMMON STOCK NPV
 
 
**
756,472

BUONI POLIENNALI DEL TES BONDS REGS 08/21 3.75
8/1/2021
3.75%
**
556,739

DEUTSCHE WOHNEN AG BR COMMON STOCK NPV
 
 
**
180,065

GRUPO AEROPORT DEL PACIFIC B COMMON STOCK NPV
 
 
**
75,241

INPEX CORP COMMON STOCK
 
 
**
3,770,699

UNILEVER PLC COMMON STOCK GBP.0311
 
 
**
757,298

ANSALDO STS SPA COMMON STOCK EUR.5
 
 
**
346,339

PARTNERS GROUP HOLDING AG COMMON STOCK CHF.01
 
 
**
698,075

KONECRANES OYJ COMMON STOCK EUR.5
 
 
**
383,351

LEGRAND SA COMMON STOCK EUR4.
 
 
**
1,493,808

CEDULAS TDA 6 FONDO ACTI COVERED 04/31 4.25
4/10/2031
4.25%
**
3,727,103

HUSQVARNA AB B SHS COMMON STOCK NPV
 
 
**
792,982

ASHMORE GROUP PLC COMMON STOCK GBP.0001
 
 
**
275,488

ZUMTOBEL GROUP AG COMMON STOCK NPV
 
 
**
167,492

KUEHNE + NAGEL INTL AG REG COMMON STOCK CHF1.
 
 
**
1,777,357

AMPLIFON SPA COMMON STOCK EUR.02
 
 
**
474,727

BANK OF CHINA LTD H COMMON STOCK CNY1.0
 
 
**
859,365

TOTAL SA COMMON STOCK EUR2.5
 
 
**
1,131,878

AMOREPACIFIC CORP COMMON STOCK KRW5000.
 
 
**
246,409

RELIANCE INDS SPONS GDR 144A GDR
 
 
**
355,658

SHIMAO PROPERTY HOLDINGS LTD COMMON STOCK HKD.1
 
 
**
50,427

INVESTEC PLC COMMON STOCK GBP.0002
 
 
**
731,210

INVESTEC LTD COMMON STOCK ZAR.0002
 
 
**
279,418

ROSNEFT OJSC REG S GDR GDR
 
 
**
58,715

WILMAR INTERNATIONAL LTD COMMON STOCK NPV
 
 
**
117,365

CIA ENERGETICA DE SP PREF B PREFERENCE
 
 
**
357,036


161
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ORION OYJ CLASS B COMMON STOCK EUR.65
 
 
**
1,347,947

DEPFA ACS BANK COVERED 04/16 5.5
4/25/2016
5.5%
**
842,846

IPSOS COMMON STOCK EUR.25
 
 
**
258,267

VALLOUREC SA COMMON STOCK EUR2.0
 
 
**
188,874

ROSNEFT FINANCE SA COMPANY GUAR REGS 07/16 7.5
7/18/2016
7.5%
**
143,888

GENERALITAT DE CATALUNYA SR UNSECURED 11/16 4.3
11/15/2016
4.3%
**
189,056

PZ CUSSONS PLC COMMON STOCK GBP.01
 
 
**
160,316

SWEDISH ORPHAN BIOVITRUM AB COMMON STOCK SEK.55
 
 
**
408,496

NOMURA REAL ESTATE HOLDINGS COMMON STOCK
 
 
**
22,531

CHINA BLUECHEMICAL LTD H COMMON STOCK HKD1.
 
 
**
197,822

RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS
6/12/2044
0.71%
**
4,855,176

WM COVERED BOND PROGRAM COVERED REGS 11/16 4
11/26/2016
4%
**
502,015

BBA AVIATION PLC COMMON STOCK GBP.2976
 
 
**
473,201

HBOS PLC SUBORDINATED 09/16 VAR
9/30/2016
0.93%
**
2,581,017

GAGFAH SA COMMON STOCK EUR1.25
 
 
**
494,729

MEXICAN UDIBONOS BONDS 12/25 4.5
12/4/2025
4.5%
**
125,906

MEXICAN UDIBONOS BONDS 11/35 4.5
11/22/2035
4.5%
**
176,562

IND + COMM BK OF CHINA H COMMON STOCK CNY1.0
 
 
**
759,790

TATNEFT SPONSORED ADR ADR
 
 
**
225,792

GENERALITAT DE VALENCIA SR UNSECURED 11/16 4
11/2/2016
4%
**
2,159,985

DEPFA ACS BANK COVERED 11/16 3.875
11/14/2016
3.88%
**
1,934,620

NATIXIS COMMON STOCK EUR1.6
 
 
**
899,158

KINGBOARD LAMINATES HOLDINGS COMMON STOCK HKD.1
 
 
**
151,209

ZHUZHOU CSR TIMES ELECTRIC H COMMON STOCK CNY1.
 
 
**
726,158

SCOR SE COMMON STOCK EUR7.876972
 
 
**
224,325

METAIR INVESTMENTS LTD COMMON STOCK NPV
 
 
**
441,880

ATLAS COPCO AB B SHS COMMON STOCK SEK.64
 
 
**
89,232

TAV HAVALIMANLARI HOLDING AS COMMON STOCK TRY1.
 
 
**
401,118

BR MALLS PARTICIPACOES SA COMMON STOCK NPV
 
 
**
53,774

SILENUS (EUROP LOAN COND N25)P EURO 25X A REGS
5/15/2019
0.23%
**
25,481

FUKUOKA FINANCIAL GROUP INC COMMON STOCK
 
 
**
130,322

RAUBEX GROUP LTD COMMON STOCK ZAR.01
 
 
**
294,849

JBS SA COMMON STOCK NPV
 
 
**
456,730

COUNTRY GARDEN HOLDINGS CO COMMON STOCK HKD.1
 
 
**
28,503

CITIC TELECOM INTERNATIONAL COMMON STOCK NPV
 
 
**
371,872

AKASTOR ASA COMMON STOCK NOK.592
 
 
**
93,631

REXEL SA COMMON STOCK EUR5.
 
 
**
274,929

NUFLARE TECHNOLOGY INC COMMON STOCK
 
 
**
129,171

BA COVERED BOND ISSUER COVERED REGS 08/17 4.25
8/3/2017
4.25%
**
1,580,838

GENTING MALAYSIA BHD COMMON STOCK MYR.1
 
 
**
27,820

MEDA AB A SHS COMMON STOCK NPV
 
 
**
398,077

CHINA CITIC BANK CORP LTD H COMMON STOCK CNY1.0
 
 
**
397,191

BANKIA SA COVERED 04/22 4.5
4/26/2022
4.5%
**
1,201,318

AALBERTS INDUSTRIES NV COMMON STOCK EUR.25
 
 
**
534,394

BELLE INTERNATIONAL HOLDINGS COMMON STOCK HKD.01
 
 
**
357,167

SAMSUNG CARD CO COMMON STOCK KRW5000.
 
 
**
88,911

SMITHS GROUP PLC COMMON STOCK GBP.375
 
 
**
2,985,381

BANCO DE SABADELL SA COMMON STOCK EUR.125
 
 
**
89,314


162
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BOSKALIS WESTMINSTER COMMON STOCK EUR.8
 
 
**
699,889

BANK OF AMERICA CORP SUBORDINATED 05/17 VAR
5/23/2017
0.8%
**
3,120,961

BUNDESREPUB. DEUTSCHLAND BONDS 07/17 4.25
7/4/2017
4.25%
**
335,241

ANGLO AMERICAN PLC COMMON STOCK USD.54945
 
 
**
657,423

IOI CORP BHD COMMON STOCK MYR.1
 
 
**
159,794

SLC AGRICOLA SA COMMON STOCK NPV
 
 
**
154,356

DANONE COMMON STOCK EUR.25
 
 
**
6,231,944

SUNNY OPTICAL TECH COMMON STOCK HKD.1
 
 
**
7,872,872

ACTELION LTD REG COMMON STOCK CHF.5
 
 
**
2,458,240

3I GROUP PLC COMMON STOCK GBP.738636
 
 
**
1,071,023

AIR LIQUIDE SA COMMON STOCK EUR5.5
 
 
**
6,289,764

UNIBAIL RODAMCO SE REIT EUR5.
 
 
**
572,812

ALMIRALL SA COMMON STOCK EUR.12
 
 
**
1,577,167

TEGMA GESTAO LOGISTICA COMMON STOCK NPV
 
 
**
169,768

PITCH1 COVERED 07/22 5.125
7/20/2022
5.13%
**
6,356,585

ESTACIO PARTICIPACOES SA COMMON STOCK NPV
 
 
**
275,997

RECKITT BENCKISER GROUP PLC COMMON STOCK GBP.1
 
 
**
6,784,420

SINO OCEAN LAND HOLDINGS COMMON STOCK NPV
 
 
**
30,631

DAH CHONG HONG COMMON STOCK NPV
 
 
**
186,946

IBERDROLA SA COMMON STOCK EUR.75
 
 
**
2,343,784

ROSNEFT FINANCE SA COMPANY GUAR REGS 03/18 7.875
3/13/2018
7.88%
**
2,212,229

BUREAU VERITAS SA COMMON STOCK EUR.12
 
 
**
1,225,161

ABLYNX NV COMMON STOCK
 
 
**
305,194

BRASIL BROKERS PARTICIPACOES COMMON STOCK NPV
 
 
**
95,368

BLUE LABEL TELECOMS LTD COMMON STOCK ZAR.00000001
 
 
**
81,316

MACQUARIE GROUP LTD COMMON STOCK NPV
 
 
**
586,301

G8 EDUCATION LTD COMMON STOCK
 
 
**
295,183

RIGHTMOVE PLC COMMON STOCK GBP.01
 
 
**
420,623

BYD ELECTRONIC INTL CO LTD COMMON STOCK NPV
 
 
**
385,918

INDO TAMBANGRAYA MEGAH TBK P COMMON STOCK IDR500.
 
 
**
27,311

KEPCO PLANT SERVICE + ENGINE COMMON STOCK KRW200.
 
 
**
497,278

SJM HOLDINGS LTD COMMON STOCK NPV
 
 
**
126,888

CHINA RAILWAY CONSTRUCTION H COMMON STOCK CNY1.0
 
 
**
84,724

EVERGRANDE REAL ESTATE GROUP COMMON STOCK USD.01
 
 
**
41,432

SHIRE PLC COMMON STOCK GBP.05
 
 
**
237,487

BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 08/23 4
8/1/2023
4.75%
**
1,804,185

GENERALITAT DE CATALUNYA SR UNSECURED 06/18 4.75
6/4/2018
4.75%
**
356,278

ARYZTA AG COMMON STOCK CHF.02
 
 
**
654,538

BOLSA MEXICANA DE VALORES SA COMMON STOCK NPV
 
 
**
605,470

ADARO ENERGY TBK PT COMMON STOCK IDR100.
 
 
**
131,971

REGUS PLC COMMON STOCK GBP.01
 
 
**
997,264

RAMI LEVY CHAIN STORES HASHI COMMON STOCK ILS.01
 
 
**
296,034

KOREA TREASURY BOND SR UNSECURED 09/18 5.75
9/10/2018
5.75%
**
1,129,603

ATRIUM EUROPEAN REAL ESTATE COMMON STOCK NPV
 
 
**
320,568

KB FINANCIAL GROUP INC COMMON STOCK KRW5000.
 
 
**
51,669

AYT CEDULAS CAJAS GLOBAL COVERED 02/18 VAR
2/22/2018
0.19%
**
827,818

KOZA ALTIN ISLETMELERI AS COMMON STOCK TRY1.0
 
 
**
80,077

AMADEUS IT HOLDING SA A SHS COMMON STOCK EUR.01
 
 
**
2,252,902


163
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
BBMG CORP H COMMON STOCK CNY1.0
 
 
**
431,910

OHL MEXICO SAB DE CV COMMON STOCK NPV
 
 
**
86,382

MULTIPLUS SA COMMON STOCK NPV
 
 
**
197,427

BANQUE PSA FINANCE SR UNSECURED REGS 01/15 3.875
1/14/2015
3.88%
**
2,421,611

CALBEE INC COMMON STOCK
 
 
**
233,308

BANQUE PSA FINANCE SR UNSECURED REGS 02/16 4.25
2/25/2016
4.25%
**
2,506,926

AUSTRALIAN GOVERNMENT SR UNSECURED 04/23 5.5
4/21/2023
5.5%
**
891,802

HERMES MICROVISION INC COMMON STOCK TWD10.
 
 
**
3,645,339

DOLPHIN ENERGY LTD SR SECURED REGS 06/19 5.888
6/15/2019
5.89%
**
87,096

SPAREBANK 1 SR BANK ASA COMMON STOCK NOK25.0
 
 
**
376,373

PREMIER OIL PLC COMMON STOCK GBP.125
 
 
**
175,977

PANDORA A/S COMMON STOCK DKK1.
 
 
**
1,993,897

AUSTRALIAN GOVERNMENT SR UNSECURED 06/16 4.75
6/15/2016
4.75%
**
25,413

LBG CAPITAL NO.2 PLC COMPANY GUAR REGS 12/19 15
12/21/2019
15%
**
213,929

LIFE HEALTHCARE GROUP HOLDIN COMMON STOCK
 
 
**
143,082

LBG CAPITAL NO.2 PLC COMPANY GUAR REGS 12/19 15
12/21/2019
15%
**
178,906

QUALICORP SA COMMON STOCK NPV
 
 
**
115,040

TOWER BERSAMA INFRASTRUCTURE COMMON STOCK IDR100.
 
 
**
768,716

WEST CHINA CEMENT LTD COMMON STOCK GBP.002
 
 
**
324,200

JULIUS BAER GROUP LTD COMMON STOCK CHF.02
 
 
**
3,115,670

AUSTRALIAN INDEX LINKED SR UNSECURED REGS 09/25 3
9/20/2025
3%
**
2,112,914

AIA GROUP LTD COMMON STOCK NPV
 
 
**
6,529,694

REPUBLIKA SLOVENIJA SR UNSECURED REGS 03/26 5.125
3/30/2026
5.13%
**
460,230

SIHUAN PHARMACEUTICAL HLDGS COMMON STOCK HKD.01
 
 
**
55,196

BARCLAYS BANK PLC SUBORDINATED REGS 05/21 10
5/21/2021
10%
**
3,509,324

INTL CONSOLIDATED AIRLINE DI COMMON STOCK EUR.5
 
 
**
265,176

PGE SA COMMON STOCK PLN10.
 
 
**
666,755

MALAYSIA GOVERNMENT SR UNSECURED 11/19 4.378
11/29/2019
4.38%
**
321,121

DELTA LLOYD NV COMMON STOCK EUR.2
 
 
**
868,462

GENERALITAT DE CATALUNYA SR UNSECURED 03/16 2.75
3/24/2016
2.75%
**
202,977

EMLAK KONUT GAYRIMENKUL YATI REIT TRY.01
 
 
**
38,064

PETRONAS CHEMICALS GROUP BHD COMMON STOCK MYR.1
 
 
**
181,277

INDORAMA VENTURES PCL NVDR NVDR THB1.0
 
 
**
61,889

MILLS ESTRUTURAS E SERVICOS COMMON STOCK NPV
 
 
**
79,398

OTSUKA HOLDINGS CO LTD COMMON STOCK
 
 
**
1,031,748

WOOD GROUP (JOHN) PLC COMMON STOCK GBP.042857
 
 
**
700,360

T4F ENTRETENIMENTO SA COMMON STOCK NPV
 
 
**
205,926

TAURON POLSKA ENERGIA SA COMMON STOCK PLN5.
 
 
**
41,992

SBERBANK SPONSORED ADR ADR
 
 
**
6,059

CIA BRASILEIRA DE DIS PREF PREFERENCE
 
 
**
170,679

SEGRO PLC REIT GBP.1
 
 
**
959,045

DEUTSCHLAND I/L BOND BONDS 04/20 1.75
4/15/2020
1.75%
**
44,386

MEIJI HOLDINGS CO LTD COMMON STOCK
 
 
**
247,942

AGRICULTURAL BANK OF CHINA H COMMON STOCK CNY1.0
 
 
**
168,328

TREASURY WINE ESTATES LTD COMMON STOCK
 
 
**
214,632

INCHCAPE PLC COMMON STOCK GBP.1
 
 
**
360,955

HANWHA LIFE INSURANCE CO LTD COMMON STOCK KRW5000.
 
 
**
125,442

FRIENDS LIFE GROUP LTD COMMON STOCK
 
 
**
496,054


164
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
NOVO BANCO SA SR UNSECURED 01/15 3.875
1/21/2015
3.88%
**
241,042

ENQUEST PLC COMMON STOCK GBP.05
 
 
**
84,967

FAR EAST HORIZON LTD COMMON STOCK NPV
 
 
**
51,297

ROLLS ROYCE HOLDINGS PLC COMMON STOCK GBP.2
 
 
**
2,398,430

SHENG SIONG GROUP LTD COMMON STOCK NPV
 
 
**
53,113

FIBRA UNO ADMINISTRACION SA REIT NPV
 
 
**
189,172

BEIJING JINGNENG CLEAN ENE H COMMON STOCK CNY1.
 
 
**
367,643

JOHNSON MATTHEY PLC COMMON STOCK GBP1.047619
 
 
**
305,783

NMC HEALTH PLC COMMON STOCK GBP.1
 
 
**
1,594,501

EASYJET PLC COMMON STOCK GBP.2728571
 
 
**
1,366,380

PLAYTECH PLC COMMON STOCK NPV
 
 
**
328,646

TELEFONICA DEUTSCHLAND HOLDI COMMON STOCK
 
 
**
167,013

BARCLAYS AFRICA GROUP LTD COMMON STOCK ZAR2.0
 
 
**
55,802

UK TSY 3 1/4 2044 UNSECURED REGS 01/44 3.25
1/22/2044
3.25%
**
6,116,092

AAC TECHNOLOGIES HOLDINGS IN COMMON STOCK USD.01
 
 
**
4,990,116

TSY 0 1/8 2024 I/L GILT BONDS REGS 03/24 0.125
3/22/2024
0.13%
**
6,378,702

DIRECT LINE INSURANCE GROUP COMMON STOCK GBP.1
 
 
**
524,716

UNIPOLSAI SPA COMMON STOCK NPV
 
 
**
159,578

JAPAN AIRLINES CO LTD COMMON STOCK
 
 
**
822,720

AL NOOR HOSPITALS GROUP COMMON STOCK
 
 
**
1,721,193

GRAND CITY PROPERTIES COMMON STOCK EUR.1
 
 
**
497,749

WPP PLC COMMON STOCK GBP.1
 
 
**
8,120,219

REPUBLIKA SLOVENIJA SR UNSECURED REGS 01/20 4.125
1/26/2020
4.13%
**
684,816

EFSF GOVT GUARANT REGS 01/20 1.5
1/22/2020
1.5%
**
2,058,270

OSRAM LICHT AG COMMON STOCK
 
 
**
1,027,025

CHINA GALAXY SECURITIES CO H COMMON STOCK CNY1.
 
 
**
459,692

LT GROUP INC COMMON STOCK PHP1.0
 
 
**
352,673

FEDERATION CENTRES REIT
 
 
**
41,719

NIPPON PROLOGIS REIT INC REIT
 
 
**
32,604

BONOS Y OBLIG DEL ESTADO BONDS 144A REGS 01/23 5.4
1/31/2023
5.4%
**
1,265,974

VIMPELCOM HLDGS COMPANY GUAR REGS 02/23 5.95
2/13/2023
5.95%
**
303,800

BB SEGURIDADE PARTICIPACOES COMMON STOCK
 
 
**
141,551

REPUBLIC OF SLOVENIA SR UNSECURED REGS 05/18 4.75
5/10/2018
4.75%
**
214,000

PROSIEBEN SAT.1 MEDIA AG REG COMMON STOCK NPV
 
 
**
3,314,576

TELEKOMUNIKASI INDONESIA PER COMMON STOCK IDR50.
 
 
**
403,274

ROYAL MAIL PLC COMMON STOCK GBP.01
 
 
**
530,090

BANCA CARIGE SPA COVERED REGS 10/18 3.875
10/24/2018
3.88%
**
2,126,575

PW MEDTECH GROUP LTD COMMON STOCK USD.0001
 
 
**
170,930

PHOENIX HEALTHCARE GROUP CO COMMON STOCK HKD.00025
 
 
**
1,686,439

IMI PLC COMMON STOCK GBP.2857
 
 
**
685,564

ENERGA SA COMMON STOCK PLN10.92
 
 
**
43,609

COMPARTAMOS SAB DE CV COMMON STOCK
 
 
**
231,934

MELROSE INDUSTRIES PLC COMMON STOCK GBP.001182
 
 
**
573,820

NOTA DO TESOURO NACIONAL NOTES 01/25 10
1/1/2025
10%
**
5,336,383

BONOS Y OBLIG DEL ESTADO BONDS 144A REGS 04/24 3.8
4/30/2024
3.8%
**
723,834

JAPAN DISPLAY INC COMMON STOCK
 
 
**
169,423

BANCO POPOLARE SC SR UNSECURED REGS 03/19 3.5
3/14/2019
3.5%
**
3,847,764

COMPASS GROUP PLC COMMON STOCK GBP.10625
 
 
**
9,346,845


165
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
SCENTRE GROUP REIT NPV
 
 
**
214,903

INFORMA PLC COMMON STOCK GBP.001
 
 
**
548,670

UBS AG SUBORDINATED REGS 05/24 5.125
5/15/2024
5.13%
**
803,192

TENCENT HOLDINGS LTD COMMON STOCK HKD.00002
 
 
**
7,027,215

REDEFINE PROPERTIES LTD REIT NPV
 
 
**
37,530

CHINA VANKE CO LTD H COMMON STOCK
 
 
**
55,865

BRUNEL INTERNATIONAL COMMON STOCK EUR.03
 
 
**
230,394

SPIRE HEALTHCARE GROUP PLC COMMON STOCK GBP.01
 
 
**
1,733,503

GLOBAL BRANDS GROUP HOLDING COMMON STOCK HKD.0125
 
 
**
1,401,054

INDIVIOR PLC COMMON STOCK USD2.0
 
 
**
194,547

NOVION PROPERTY GROUP REIT NPV
 
 
**
46,613

WOORI BANK COMMON STOCK KRW5000.0
 
 
**
159,842

TUI AG NEW COMMON STOCK
 
 
**
63,677

CREDIT AGRICOLE SA SUBORDINATED REGS 09/33 VAR
9/19/2033
8.13%
**
223,135

ACTAVIS PLC COMMON STOCK USD.0033
 
 
**
31,796,828

ALKERMES PLC COMMON STOCK USD.01
 
 
**
9,023,569

AMDOCS LTD COMMON STOCK GBP.0001
 
 
**
2,006,165

AON PLC COMMON STOCK USD.01
 
 
**
6,306,100

ANGLO AMERICAN CAPITAL COMPANY GUAR REGS 04/21 4.125
4/15/2021
4.13%
**
5,016,800

ARCH CAPITAL GROUP LTD COMMON STOCK USD.01
 
 
**
3,630,513

ASPEN INSURANCE HOLDINGS LTD COMMON STOCK USD.001514456
 
 
**
287,131

ASSURED GUARANTY LTD COMMON STOCK USD.01
 
 
**
439,543

AXIS CAPITAL HOLDINGS LTD COMMON STOCK USD.0125
 
 
**
523,673

ENERGY XXI LTD COMMON STOCK USD.005
 
 
**
20,382

ACCENTURE PLC CL A COMMON STOCK USD.0000225
 
 
**
23,784,771

BELMOND LTD CLASS A COMMON STOCK USD.01
 
 
**
114,113

BUNGE LTD COMMON STOCK USD.01
 
 
**
1,663,653

CENTRAL EUROPEAN MEDIA ENT A COMMON STOCK USD.08
 
 
**
39,483

CONSOLIDATED WATER CO ORD SH COMMON STOCK USD.6
 
 
**
15,326

CREDICORP LTD COMMON STOCK USD5.
 
 
**
160,180

COVIDIEN PLC COMMON STOCK USD.2
 
 
**
30,019,180

CSN ISLANDS XI CORP COMPANY GUAR REGS 09/19 6.875
9/21/2019
6.88%
**
37,100

DELPHI AUTOMOTIVE PLC COMMON STOCK USD.01
 
 
**
7,639,454

EATON CORP PLC COMMON STOCK USD.01
 
 
**
4,617,746

ENDURANCE SPECIALTY HOLD W/I COMMON STOCK USD1.0
 
 
**
269,878

ENSTAR GROUP LTD COMMON STOCK USD1.
 
 
**
250,740

ESSENT GROUP LTD COMMON STOCK USD.015
 
 
**
2,094,748

EVEREST RE GROUP LTD COMMON STOCK USD.01
 
 
**
768,053

FABRINET COMMON STOCK USD.01
 
 
**
58,187

FLEETMATICS GROUP PLC COMMON STOCK EUR.015
 
 
**
5,780,363

FRESH DEL MONTE PRODUCE W/D COMMON STOCK USD.01
 
 
**
189,121

FREESCALE SEMICONDUCTOR LTD COMMON STOCK USD.01
 
 
**
8,735,509

GASLOG LTD COMMON STOCK USD.01
 
 
**
552,874

GENPACT LTD W/D COMMON STOCK USD.01
 
 
**
9,412,189

GLOBAL INDEMNITY PLC COMMON STOCK USD.0001
 
 
**
37,789

GREENLIGHT CAPITAL RE LTD A COMMON STOCK USD.01
 
 
**
100,399

HELEN OF TROY LTD COMMON STOCK USD.1
 
 
**
34,287


166
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
ICON PLC COMMON STOCK EUR.06
 
 
**
3,520,350

IMPERIAL TOBACCO FINANCE COMPANY GUAR REGS 02/23 3.5
2/11/2023
3.5%
**
9,137,613

KNIGHTSBRIDGE SHIPPING LTD COMMON STOCK USD.01
 
 
**
24,145

KOFAX LTD COMMON STOCK USD.001
 
 
**
55,481

KOSMOS ENERGY LTD COMMON STOCK USD.01
 
 
**
250,937

LAZARD LTD CL A LTD PART USD.01
 
 
**
178,757

MAIDEN HOLDINGS LTD COMMON STOCK USD.01
 
 
**
93,073

MARVELL TECHNOLOGY GROUP LTD COMMON STOCK USD.002
 
 
**
4,657,676

MIZUHO FIN GRP CAYMAN 3 COMPANY GUAR REGS 03/24 4.6
3/27/2024
4.6%
**
5,180,860

ALPHA + OMEGA SEMICONDUCTOR COMMON STOCK
 
 
**
23,585

NABORS INDUSTRIES LTD COMMON STOCK USD.001
 
 
**
252,786

NOBLE CORP PLC COMMON STOCK USD.01
 
 
**
387,241

NORDIC AMERICAN TANKERS LTD COMMON STOCK USD.01
 
 
**
91,859

NORWEGIAN CRUISE LINE HOLDIN COMMON STOCK USD.001
 
 
**
422,570

ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 10/22 6.75
10/1/2022
6.75%
**
517,433

ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 10/23 6.625
10/1/2023
6.63%
**
516,809

ONEBEACON INSURANCE GROUP A COMMON STOCK USD.01
 
 
**
36,531

PARTNERRE LTD COMMON STOCK USD1.
 
 
**
561,520

RENAISSANCERE HOLDINGS LTD COMMON STOCK USD1.
 
 
**
1,759,682

ROWAN COMPANIES PLC A COMMON STOCK USD.125
 
 
**
2,935,335

SEAGATE TECHNOLOGY COMMON STOCK USD.00001
 
 
**
14,378,298

PENTAIR PLC COMMON STOCK USD.01
 
 
**
4,456,496

SHIP FINANCE INTL LTD COMMON STOCK USD1.
 
 
**
131,697

TEXTAINER GROUP HOLDINGS LTD COMMON STOCK USD.01
 
 
**
186,426

TYCO INTERNATIONAL PLC COMMON STOCK CHF.5
 
 
**
6,320,138

VALIDUS HOLDINGS LTD COMMON STOCK USD.175
 
 
**
379,110

VIRGIN MEDIA INVT HLDGS LTD B FACILITY
6/7/2020
1%
**
490,305

WHITE MOUNTAINS INSURANCE GP COMMON STOCK USD1.
 
 
**
387,518

PERRIGO CO PLC COMMON STOCK NPV
 
 
**
17,926,573

ACE LTD COMMON STOCK CHF24.77
 
 
**
16,658,519

ALLIED WORLD ASSURANCE CO COMMON STOCK USD12.98
 
 
**
365,359

PACIFIC DRILLING SA COMMON STOCK
 
 
**
54,218

CAESARSTONE SDOT YAM LTD COMMON STOCK
 
 
**
949,822

CHECK POINT SOFTWARE TECH COMMON STOCK USD.01
 
 
**
12,060,888

CYBERARK SOFTWARE LTD/ISRAEL COMMON STOCK ILS.01
 
 
**
1,292,392

MELLANOX TECHNOLOGIES LTD COMMON STOCK ILS.0175
 
 
**
823,706

STRATASYS LTD COMMON STOCK ILS.01
 
 
**
199,796

AERCAP HOLDINGS NV COMMON STOCK EUR.01
 
 
**
2,523,300

ASML HOLDING NV NY REG SHS NY REG SHRS EUR.09
 
 
**
16,515,243

CNH INDUSTRIAL NV COMMON STOCK EUR.01
 
 
**
1,069,764

FRANK S INTERNATIONAL NV COMMON STOCK EUR.01
 
 
**
508,878

MOBILEYE NV COMMON STOCK
 
 
**
224,824

NXP SEMICONDUCTORS NV COMMON STOCK
 
 
**
36,672,229

ORTHOFIX INTERNATIONAL NV COMMON STOCK USD.1
 
 
**
52,365

COPA HOLDINGS SA CLASS A COMMON STOCK NPV
 
 
**
297,447

STEINER LEISURE LTD COMMON STOCK USD.01
 
 
**
66,311

ULTRAPETROL (BAHAMAS) LTD COMMON STOCK USD.01
 
 
**
10,090

TRONOX LTD CL A COMMON STOCK USD.01
 
 
**
151,757


167
Table of Contents

Security Name
Maturity Date
Coupon Rate
Cost
 Fair Value
(In Dollars)
REPUBLIC OF SOUTH AFRICA BONDS 12/26 10.5
12/21/2026
10.5%
**
124,734

RUSSIAN FEDERATION SR UNSECURED REGS 03/30 VAR
3/31/2030
7.5%
**
3,158,443

AVAGO TECHNOLOGIES LTD COMMON STOCK
 
 
**
30,562,139

BALTIC TRADING LTD COMMON STOCK
 
 
**
8,489

DHT HOLDINGS INC COMMON STOCK USD.01
 
 
**
61,441

REPUBLIC OF INDONESIA SR UNSECURED REGS 03/20 5.875
3/13/2020
5.88%
**
614,663

PERTAMINA PERSERO PT SR UNSECURED REGS 05/22 4.875
5/3/2022
4.88%
**
900,000

SCORPIO TANKERS INC COMMON STOCK USD.01
 
 
**
148,747

SUNEDISON SEMICONDUCTOR LTD COMMON STOCK
 
 
**
1,039,920

TEEKAY TANKERS LTD CLASS A COMMON STOCK USD.01
 
 
**
36,822

 
 
 
 
 
TOTAL
 
 
 
$
45,714,524,647

 
 
 
 
 
*PARTICIPANT LOANS (Interest from 2.0% to 9.8% maturing through December 2034)
 
 
 
$
706,144,654

 
 
 
 

*Party-in-interest
 
 
 
 
 
 
 
 
 
**Cost information is not required for participant directed investment and therefore is not included.
 
 
 
 
 
 
 
 
 


168
Table of Contents

THE BOEING COMPANY
VOLUNTARY INVESTMENT PLAN
FORM 5500, SCHEDULE G, PART III - SCHEDULE OF NONEXEMPT TRANSACTIONS
FOR THE YEAR ENDED DECEMBER 31, 2014
Party Involved
Relationship to Plan
Description of Transaction
Cost of Asset
Current Value of Asset
Net Gain on Each Transaction
Fidelity Investments
Service Provider
Plan assets were inadvertently used to pay an overstated amount for investment advisory fees.

$173


$190


$17

BlackRock
Service Provider
An investment advisory firm was in control of plan assets held outside of the Plan and Master Trust.

$15,752


$16,650


$898

Voya
Service Provider
Plan assets were inadvertently used to pay an overstated amount for investment advisory fees.

$150,949


$153,149


$2,200

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


169