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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, 2015
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, 2015 and 2014, and for the Year Ended December 31, 2015, Supplemental Schedules as of and for the year ended December 31, 2015, and Report of Independent Registered Public Accounting Firm


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
TABLE OF CONTENTS 
 
  
Page
  
FINANCIAL STATEMENTS:
  
 
Statements of Net Assets Available for Benefits as of December 31, 2015 and 2014
  
Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2015
  
Notes to Financial Statements as of December 31, 2015 and 2014 and for the Year Ended December 31, 2015
  
SUPPLEMENTAL SCHEDULES:
  
 
Form 5500, Schedule H, Line 4(i) - Schedule of Assets (Held at End of Year) as of December 31, 2015
  
Form 5500, Schedule G, Part III - Schedule of Nonexempt Transactions for the Year Ended December 31, 2015
 

 
 
 
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.
  
 

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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, 2015 and 2014, and the related statement of changes in net assets available for benefits for the year ended December 31, 2015. 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, 2015 and 2014, and the changes in net assets available for benefits for the year ended December 31, 2015, in conformity with accounting principles generally accepted in the United States of America.

As discussed in Note 2 to the financial statements, in 2015 the Plan retrospectively adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) and ASU No. 2015-12, Plan Accounting: Defined Benefit Pension Plans (Topic 960), Defined Contribution Pension Plans (Topic 962), Health and Welfare Benefit Plans (Topic 965).
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 27, 2016



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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2015 AND 2014
(Dollars in millions)
 
2015

 
2014

ASSETS:
 
 
 
 
Investments — interest in Master Trust
 
$
46,437

 
$
45,509

 
 
 
 
 
Receivables:
 
 
 
 
Notes receivable from participants
 
706

 
706

 
 


 


NET ASSETS AVAILABLE FOR BENEFITS
 
$
47,143

 
$
46,215

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, 2015
(Dollars in millions)
 
ADDITIONS:
 
Net Master Trust activity
$
1,739

Interest income from notes receivable from participants
22

Contributions:
 
Employer
746

Participant
1,706

Total contributions
2,452

Total additions
4,213

DEDUCTIONS — Benefits paid
3,285

NET ADDITIONS
928

NET ASSETS AVAILABLE FOR BENEFITS:
 
Beginning of year
46,215

End of year
$
47,143

See notes to financial statements.


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2015 AND 2014, AND FOR THE YEAR ENDED DECEMBER 31, 2015
(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 qualified default investment alternative (QDIA) until changed by the Members. The current QDIA for the Plan is the custom target date funds.
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 oversees 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 on a pretax, after-tax, Roth, or a combination of those bases, 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, employer-matching contributions, Company contributions, and 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 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

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(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”), as of December 31, 2015 and 2014. Members may elect that dividends received with respect to their investments in the Boeing Stock Fund be distributed to them in cash or reinvested in the Boeing Stock Fund (a dividend payout program). Investment funds are valued daily and Members may elect to change their investment allocations on a daily basis.
Vesting — Member contributions, 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 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 accounts are subject to restrictions for certain accounts and 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 eligible Members have used all of their regular sick leave benefits, the 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 (subject to restrictions for certain accounts 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 a maximum of 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, 2015, with loans maturing at various dates through January 2036.
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 generally 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 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 provisions.

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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, except for fully benefit-responsive investment contracts (FBRICs) or synthetic GICs, which are reported at contract 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. Contract value is the amount Members would receive if they were to initiate permitted transactions under the terms of the Plan (see Note 3). 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 net asset value (NAV). The NAV is used as a practical expedient to estimate fair 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 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, including government and agency securities, corporate bonds, and mortgage and asset backed 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 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

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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 NAV provided by the partnerships. There are no unfunded commitments and the Master Trust 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, Financial Services - Investment Companies, the synthetic GICs are included at contract value in participant-directed investments in the statements of net assets available for benefits. 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. Net appreciation of investments includes both realized and unrealized gains or losses and is calculated as the difference between the fair value of the investments 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 implemented 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
•
Review and approve the year-end valuations, including the methods used to develop and substantiate the unobservable inputs used in the fair value measurement

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•
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 of 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 Plan’s statement of changes in net assets available for benefits.
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.
Recently Adopted Accounting Guidance — In May 2015, the FASB issued Accounting Standards Update (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 2015-07”). ASU 2015-07 removes the requirement to present certain investments for which the practical expedient is used to measure fair value at NAV within the fair value hierarchy table. Instead, a plan would be required to include those investments as a reconciling item so that the total fair value amount of investments in the disclosure is consistent with the fair value investment balance on the statement of net assets available for benefits. ASU 2015-07 is effective for fiscal years beginning after December 15, 2015, with early adoption permitted and is to be applied retrospectively. The Plan elected to early adopt ASU 2015-07 as of December 31, 2015, as permitted, and has applied ASU 2015-07 retrospectively, as required. The Plan presents the investment disclosure required by this new guidance in Note 5. There are no effects on the statements of net assets available for benefits or the changes therein.
In July 2015, the FASB issued ASU No. 2015-12, Plan Accounting: Defined Benefit Pension Plans (Topic 960), Defined Contribution Pension Plans (Topic 962), and Health and Welfare Benefit Plans (Topic 965): (Part I) Fully Benefit-Responsive Investment Contracts, (Part II) Plan Investment Disclosures, and (Part III) Measurement Date Practical Expedient (“ASU 2015-12”). Part I eliminates the requirement to measure the fair value of FBRICs and provide certain disclosures. Contract value is the only required measure for FBRICs. Part II eliminates the requirements to disclose individual investments that represent 5% or more of net assets available for benefits and the net appreciation or depreciation in fair value of investments by general type. Part II also simplifies the level of disaggregation of investments that are measured using fair value. Plans will

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continue to disaggregate investments that are measured using fair value by general type; however, plans are no longer required to also disaggregate investments by nature, characteristics and risks. Further, the disclosure of information about fair value measurements shall be provided by general type of plan asset. Part III is not applicable to the Plan. ASU 2015-12 is effective for fiscal years beginning after December 15, 2015, with early adoption permitted. Parts I and II are to be applied retrospectively. The Plan has elected to early adopt ASU 2015-12 as of December 31, 2015, as permitted, and has applied the provisions of ASU 2015-12 retrospectively, as required. Parts I and II are reflected in the statements of assets available for benefits and in the notes to the financial statements. The adoption resulted in the reclassification of the adjustment from fair value to contract value for FBRICs totaling $327, in the statement of net assets available for benefits for the Plan and the Master Trust as of December 31, 2014. Certain historical disclosures that are no longer required were removed.
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 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 contract value in participant-directed investments. 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.


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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 $46,437 and $45,509, respectively, representing 100% of the Master Trust’s net assets at December 31, 2015 and 2014.
Although the Plan is the only participating plan in the Master Trust as of December 31, 2015, 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 as of December 31, 2015 and 2014, are as follows:
 
 
2015

 
2014

ASSETS:
 
 
 
 
Investments — at fair value:
 
 
 
 
Common/collective trusts
 
$
20,750

 
$
20,652

Common and preferred stock
 
5,598

 
5,819

Government and agency securities
 
491

 
507

Corporate bonds
 
466

 
454

Mortgage and asset-backed securities
 
200

 
193

Boeing common stock
 
6,028

 
6,086

Limited partnerships
 
1

 
1

Other investments
 
6

 
10

Total investments — at fair value
 
33,540

 
33,722

Investments — at contract value:
 
 
 
 
Synthetic GICs
 
12,903

 
11,665

Cash and cash equivalents
 
320

 
227

Receivables:
 
 
 
 
Receivables for securities sold
 
322

 
254

Accrued investment income
 
66

 
66

Other
 
30

 
30

Total receivables
 
418

 
350

Total assets
 
47,181

 
45,964

LIABILITIES:
 
 
 
 
Payables for securities purchased
 
644

 
322

Accrued investment and administration expenses
 
23

 
22

Other
 
77

 
111

Total liabilities
 
744

 
455

NET ASSETS
 
$
46,437

 
$
45,509


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Changes in net assets for the Master Trust for the year ended December 31, 2015 are as follows:
Net appreciation of investments
$
1,251

Interest income
321

Dividend income
254

Investment income
575

Net investment income
1,826

Amounts received from participating plans
2,792

Deductions:
 
Amounts paid to participating plans
3,603

Investment and administration expenses
87

Total deductions
3,690

Increase in net assets
928

Beginning of year
45,509

End of year
$
46,437

5.
FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES
ASC 820, Fair Value Measurements and Disclosures, 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.

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The following tables set forth by level within the fair value hierarchy a summary of Master Trust investments by general types of assets and liabilities measured at fair value on a recurring basis as of December 31, 2015 and 2014. 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.
 
 
Quoted Prices
in Active Market
for Identical
Asset
(Level 1)

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Not Leveled

 
Balance as of December 31, 2015

Investments:
 
 
 
 
 
 
 
 
 
 
Investments in the fair value hierarchy:
 
 
 
 
 
 
 
 
 
 
Common and preferred stock
 
$
5,327

 
$
271

 
$
—

 
$
—

 
$
5,598

Government and agency securities
 
—

 
491

 
—

 
—

 
491

Corporate bonds
 
—

 
466

 
—

 
—

 
466

Mortgage and asset-backed securities
 
—

 
154

 
46

 
—

 
200

Boeing common stock
 
6,028

 
—

 
—

 
—

 
6,028

Other investments
 
—

 
6

 
—

 
—

 
6

Total investments in the fair value hierarchy
 
11,355

 
1,388

 
46

 
—

 
12,789

Investments measured at net asset value:
 
 
 
 
 
 
 
 
 
 
Common/collective trusts
 
—

 
—

 
—

 
20,750

 
20,750

Limited partnerships
 
—

 
—

 
—

 
1

 
1

Total investments measured at net asset value
 
—

 
—

 
—

 
20,751

 
20,751

Total investments at fair value
 
11,355


1,388

 
46

 
20,751

 
33,540

Receivables:
 
 
 
 
 
 
 
 
 
 
Forward contracts
 
—

 
12

 
—

 
—

 
12

Futures
 
1

 
—

 
—

 
—

 
1

Total receivables
 
1

 
12

 
—

 
—

 
13

Cash equivalents
 
—

 
91

 
—

 
229

 
320

Total financial assets
 
$
11,356

 
$
1,491

 
$
46

 
$
20,980

 
$
33,873

 
 
 
 
 
 
 
 
 
 


Investment liabilities:
 
 
 
 
 
 
 
 
 
 
Swaps
 
$
—

 
$
11

 
$
—

 
$
—

 
$
11

Options
 
—

 
1

 
—

 
—

 
1

Futures
 
3

 
—

 
—

 
—

 
3

Forward contracts
 
—

 
5

 
—

 
—

 
5

Total investment liabilities
 
$
3

 
$
17

 
$
—

 
$
—

 
$
20


12
Table of Contents

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

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Not Leveled

 
Balance as of December 31, 2014

Investments:
 
 
 
 
 
 
 
 
 
 
Investments in the fair value hierarchy:
 
 
 
 
 
 
 
 
 
 
Common and preferred stock
 
$
5,565

 
$
254

 
$
—

 
$
—

 
$
5,819

Government and agency securities
 
—

 
507

 
—

 
—

 
507

Corporate bonds
 
—

 
454

 
—

 
—

 
454

Mortgage and asset-backed securities
 
—

 
165

 
28

 
—

 
193

Boeing common stock
 
6,086

 
—

 
—

 
—

 
6,086

Other investments
 
—

 
10

 
—

 
—

 
10

Total investments in the fair value hierarchy
 
11,651

 
1,390

 
28

 
—

 
13,069

Investments measured at net asset value:
 
 
 
 
 
 
 
 
 
 
Common/collective trusts
 
—

 
—

 
—

 
20,652

 
20,652

Limited partnerships
 
—

 
—

 
—

 
1

 
1

Total investments measured at net asset value
 
—

 
—

 
—

 
20,653

 
20,653

Total investments at fair value
 
11,651

 
1,390

 
28

 
20,653

 
33,722

Receivables:
 
 
 
 
 
 
 
 
 
 
Forward contracts
 
—

 
11

 
—

 
—

 
11

Futures
 
1

 
—

 
—

 
—

 
1

Total receivables
 
1

 
11

 
—

 
—

 
12

Cash equivalents
 
—

 
6

 
—

 
—

 
6

Total financial assets
 
$
11,652

 
$
1,407

 
$
28

 
$
20,653

 
$
33,740

 
 
 
 
 
 
 
 
 
 
 
Investment liabilities:
 
 
 
 
 
 
 
 
 
 
Swaps
 
$
—

 
$
24

 
$
—

 
$
—

 
$
24

Options
 
—

 
2

 
—

 
—

 
2

Futures
 
3

 
—

 
—

 
—

 
3

Forward contracts
 
—

 
10

 
—

 
—

 
10

Total investment liabilities
 
$
3

 
$
36

 
$
—

 
$
—

 
$
39

Total Master Trust investment assets at fair value classified within Level 3 were $46 and $28 as of December 31, 2015 and 2014, respectively, which consists of mortgage and asset-backed securities. Such amounts were 0.14% and 0.08% of “Total investments at fair value” in the Master Trust’s statements of net assets available for benefits as of December 31, 2015 and 2014, 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. The significance of transfers between levels is evaluated based upon the nature of the financial instrument and size of the transfer relative to net assets available for benefits. There were no significant transfers between levels for the years ended December 31, 2015 and 2014.
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:

13
Table of Contents


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.

14
Table of Contents

As of December 31, 2015 and 2014, 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:
 
Interest rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

December 31, 2015
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
Synthetic GICs - TBAs
$
—

$
—

$
—

$
—

$
—

$
1

$
1

Other investments:







Options
—

—

1

—

—

—

1

Swaps
2

1

—

2

—

—

5

Other receivables:







Forward contracts
—

—

12

—

—

—

12

Futures
—

—

—

—

1

—

1

Total assets
$
2

$
1

$
13

$
2

$
1

$
1

$
20

Liabilities:
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
5

$
—

$
—

$
—

$
5

Futures
—

—

—

2

1

—

3

Options
1

—

—

—

—

—

1

Swaps
7

4

—

—

—

—

11

Payable for securities purchased:
 
 
 
 
 
 
 
TBAs
—

—

—

—

—

1

1

Total liabilities
$
8

$
4

$
5

$
2

$
1

$
1

$
21

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

$
—

$
—

$
—

$
—

$
3

$
3

Other investments:







Options
—

—

—

—

—

—

—

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
$
—

$
—

$
10

$
—

$
—

$
—

$
10

Futures
—

—

—

2

1

—

3

Options
1

—

1

—

—

—

2

Swaps
13

3

2

6

—

—

24

Payable for securities purchased:
 
 
 
 
 
 
 
TBAs
—

—

—

—

—

—

—

Total liabilities
$
14

$
3

$
13

$
8

$
1

$
—

$
39







15
Table of Contents

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, 2015, is reflected in the following table:
 
Interest rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

Net gains (losses):
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
6

$
—

$
—

$
—

$
6

Futures
(1
)
—

—

2

1

—

2

Options
1

—

2

—

—

—

3

Swaps
(6
)
(2
)
(5
)
(33
)
—

—

(46
)
TBAs
—

—

—

—

—

—

—

Total net gains (losses)
$
(6
)
$
(2
)
$
3

$
(31
)
$
1

$
—

$
(35
)
The following table summarizes the gross notional value of derivative contracts outstanding as of December 31, 2015 and 2014. 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, 2015
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
829

$
—

$
—

$
—

$
829

Futures
422

—

—

255

121

—

798

Options
217

—

37

—

—

—

254

Swaps
773

218

73

1

—

—

1,065

TBAs
—

—

—

—

—

1,150

1,150

Total
$
1,412

$
218

$
939

$
256

$
121

$
1,150

$
4,096

December 31, 2014
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
829

$
—

$
—

$
—

$
829

Futures
354

—

—

303

101

—

758

Options
753

—

43

—

—

—

796

Swaps
640

189

51

1

—

—

881

TBAs
—

—

—

—

—

812

812

Total
$
1,747

$
189

$
923

$
304

$
101

$
812

$
4,076

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.

16
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, 2015 and 2014, the Master Trust had an insignificant amount of contracts in a net liability position with contingent features with a total of $15 and $5, respectively, posted in collateral against those positions.
7.
PLAN AMENDMENTS
Effective January 5, 2015, the Plan began to allow 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.
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, 2015 and 2014, to Form 5500:
 
 
2015

 
2014

Net assets available for benefits per the financial statements
 
$
47,143

 
$
46,215

Amounts allocated to withdrawing Members
 
(12
)
 
(13
)
Adjustment from contract value to fair value for fully benefit-responsive investment contracts
 
—

 
327

Net assets available for benefits per Form 5500
 
$
47,131

 
$
46,529

The following is a reconciliation of total additions per the financial statements for the year ended December 31, 2015, to total income per Form 5500:
Total additions per the financial statements
$
4,213

Adjustment from contract value to fair value for fully benefit-responsive investment contracts — December 31, 2014
(327
)
Total income per Form 5500
$
3,886

The following is a reconciliation of benefits paid per the financial statements for the year ended December 31, 2015, to total benefit payments per Form 5500:
Benefits paid per the financial statements
$
3,285

Amounts allocated to withdrawing Members — December 31, 2015
12

Amounts allocated to withdrawing Members — December 31, 2014
(13
)
Amounts deemed distributions of Member loans as reflected in the Form 5500
(8
)
Total benefit payments per Form 5500
$
3,276

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 failed to repay the loan in full within 30 days after the end of the repayment period, or Members took a full distribution of their net account balance before the loan was paid off for the year ended December 31, 2015.
9.
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.

17
Table of Contents

As of December 31, 2015 and 2014, the Plan held approximately 42 million and 47 million shares of common stock of the Company, respectively, with a cost basis of $3,198 and $3,291, respectively, and recorded dividend income of $156 during the year ended December 31, 2015.
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 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.
10.
NONEXEMPT PARTY-IN-INTEREST TRANSACTIONS
On December 31, 2012, a reportable nonexempt party-in-interest transaction occurred. 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 Department of Labor’s (DOL’s) Voluntary Fiduciary Correction Program (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 June 24, 2014 and August 29, 2014, reportable nonexempt party-in-interest transactions occurred. Plan assets were inadvertently used to pay expenses that should have been paid by the plan sponsor. The Plan was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of two hundred forty-five thousand and thirty-five dollars and associated earnings in the amount of twelve thousand two hundred ninety-one dollars to the Plan on February 18, 2016.
11.
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 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 2012.
12.
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 employer contributions, including any income earned, will be distributed to the Members.
13.
SUBSEQUENT EVENTS
Effective January 1, 2016, the Plan added an enhanced defined contribution benefit 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.
Effective during 2016 as specified in the Plan provisions, the Plan will 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.

18
Table of Contents

Effective April 1, 2016, the Narus, Inc. 401(k) Plan (“Narus Plan”) was merged into the Plan. All assets and liabilities of the Narus Plan were transferred to the Plan. The fair value of the assets transferred totaled $2.
Effective January 1, 2017, or as soon as administratively practical thereafter, the Aviall, Inc. Employee Savings Plan (“Aviall Plan”) will merge into the Plan. All assets and liabilities of the Aviall Plan will be transferred to the Plan.
*  *  *  *  *  *

19
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 27, 2016
 
 
  
/s/ Maurita Sutedja      
 
 
Date
 
 
  
Maurita Sutedja
 
 
 
 
 
  
Vice President Finance
 
 
 
 
 
  
Chief Financial Officer
 
 
 
 
 
  
Shared Services Group


20
Table of Contents

SUPPLEMENTAL SCHEDULES

21
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, 2015
Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

1ST CONSTITUTION BANCORP COMMON STOCK
 
 
**
$
13,874

1ST SOURCE CORP COMMON STOCK
 
 
**
83,534

21ST CENTURY FOX AMERICA COMPANY GUAR 02/21 4.5
5/15/2022
4.50%
**
134,504

21ST CENTURY FOX AMERICA COMPANY GUAR 02/41 6.15
5/15/2022
6.15%
**
39,330

21ST CENTURY FOX AMERICA COMPANY GUAR 09/22 3
5/15/2022
3.00%
**
98,542

31750A9Z9 OTC ECAL USD VS JPY JAN16 125.1 CALL
3/16/2021
 
**
587

31750AAL8 OTC ECAL USD VS CNY OCT16 6.52 CALL
3/16/2021
 
**
149,369

31750AHH0 OTC ECAL USD VS BRL MAR16 4 CALL
3/16/2021
 
**
100,863

31750AHH0 OTC ECAL USD VS BRL MAR16 4 CALL
3/16/2021
 
**
58,395

31750AHK3 OTC ECAL USD VS BRL MAR16 4 CALL
3/16/2021
 
**
26,543

3175GC228 OTC EPUT LPM6 JUN16 4200 PUT
4/15/2017
 
**
15,075

317U245J6 IRO USD 10Y P 2.5800 MAY16 2.58 PUT
1/14/2030
 
**
20,494

317U265J1 IRO USD 10Y P 2.5800 MAY16 2.58 PUT
1/14/2030
 
**
7,984

317U458K5 IRO USD 5Y5Y P 3.400 DEC16 3.4 PUT
4/15/2017
 
**
10,476

317U567J6 IRO USD 1Y P 1.5000 APR16 1.5 PUT
4/15/2017
 
**
208

317U612J1 IRO USD 1Y P 1.5000 APR16 1.5 PUT
4/15/2017
 
**
668

317U841J4 IRO USD 30Y P 2.9050 AUG18 2.905 PUT
1/14/2030
 
**
106,212

317U857J5 IRO USD 30Y P 2.9400 AUG18 2.94 PUT
1/14/2030
 
**
34,052

317U874J4 IRO USD 1Y P 0.9500 JAN16 0.95 PUT
4/15/2017
 
**
6

317U886G6 IRO EUR 10Y C 1.0000 SEP16 1 CALL
3/16/2021
 
**
146,044

3I GROUP PLC COMMON STOCK GBP.738636
 
 
**
109,534

3M CO COMMON STOCK USD.01
 
 
**
9,916,179

A H BELO CORP A COMMON STOCK USD.01
 
 
**
9,735

A. M. CASTLE + CO COMMON STOCK USD.01
 
 
**
2,444

A10 SECURITIZATION A10 2013 1 A 144A
5/15/2022
2.40%
**
48,990

A10 SECURITIZATION A10 2014 1 A2 144A
5/15/2022
3.02%
**
390,970

AALBERTS INDUSTRIES NV COMMON STOCK EUR.25
 
 
**
607,789

AAON INC COMMON STOCK USD.004
 
 
**
945,983

AAR CORP COMMON STOCK USD1.
 
 
**
36,806

AAREAL BANK AG COMMON STOCK
 
 
**
525,469

AARON S INC COMMON STOCK USD.5
 
 
**
144,572

ABB TREASURY CENTER USA SR UNSECURED 144A 06/16 2.5
11/18/2016
2.50%
**
1,426,947

ABBEY NATL TREASURY SERV COMPANY GUAR 04/16 4
11/18/2016
4.00%
**
1,237,948

ABBOTT LABORATORIES COMMON STOCK
 
 
**
22,256,947

ABBVIE INC
11/18/2016
0.55%
**
5,999,768

ABBVIE INC SR UNSECURED 11/22 2.9
5/15/2022
2.90%
**
75,460

ABBVIE INC SR UNSECURED 11/22 3.2
5/15/2022
3.20%
**
82,684

ABERCROMBIE + FITCH CO CL A COMMON STOCK USD.01
 
 
**
171,585

ABIOMED INC COMMON STOCK USD.01
 
 
**
3,187,697

ABLYNX NV COMMON STOCK
 
 
**
471,679

ABM INDUSTRIES INC COMMON STOCK USD.01
 
 
**
157,581

ABN AMRO BANK NV SR UNSECURED 144A 02/17 4.25
11/18/2016
4.25%
**
1,655,975

ABN AMRO BANK NV SR UNSECURED 144A 06/20 2.45
3/16/2021
2.45%
**
594,847


22
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ABN AMRO BANK NV SR UNSECURED 144A 10/16 VAR
11/18/2016
1.12%
**
4,774,056

ABN AMRO BANK NV SR UNSECURED 144A 10/18 2.5
5/15/2022
2.50%
**
201,273

ACADIA HEALTHCARE CO INC COMMON STOCK USD.01
 
 
**
6,451,244

ACADIA PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
**
104,098

ACADIA REALTY TRUST REIT USD.001
 
 
**
2,978,859

ACCENTURE PLC CL A COMMON STOCK USD.0000225
 
 
**
38,111,464

ACCESS NATIONAL CORP COMMON STOCK USD.835
 
 
**
20,972

ACCO BRANDS CORP COMMON STOCK USD.01
 
 
**
79,656

ACETO CORP COMMON STOCK USD.01
 
 
**
1,881,073

ACI WORLDWIDE INC COMMON STOCK USD.005
 
 
**
2,266,260

ACORDA THERAPEUTICS INC COMMON STOCK USD.001
 
 
**
1,649,212

ACS ACTIVIDADES CONS Y SERV COMMON STOCK EUR.5
 
 
**
355,003

ACTAVIS FUNDING SCS COMPANY GUAR 03/20 3
1/14/2030
3.00%
**
1,998,410

ACTAVIS INC COMPANY GUAR 10/22 3.25
5/15/2022
3.25%
**
83,568

ACTELION LTD REG COMMON STOCK
 
 
**
2,538,740

ACTIVISION BLIZZARD INC COMMON STOCK USD.000001
 
 
**
3,256,866

ACTUA CORP COMMON STOCK USD.001
 
 
**
43,418

ACTUANT CORP A COMMON STOCK USD.2
 
 
**
149,798

ACXIOM CORP COMMON STOCK USD.1
 
 
**
6,262,256

ADAMS RESOURCES + ENERGY INC COMMON STOCK USD.1
 
 
**
11,789

ADDUS HOMECARE CORP COMMON STOCK USD.001
 
 
**
21,464

ADECCO SA REG COMMON STOCK CHF1.0
 
 
**
636,757

ADOBE SYSTEMS INC COMMON STOCK USD.0001
 
 
**
31,466,988

ADT CORP SR UNSECURED 07/42 4.875
5/15/2022
4.88%
**
17,875

ADT CORP/THE COMMON STOCK USD.01
 
 
**
554,394

ADTRAN INC COMMON STOCK USD.01
 
 
**
79,419

ADVANCE AUTO PARTS INC COMMON STOCK USD.0001
 
 
**
1,596,460

ADVANCED DRAINAGE SYSTEMS IN COMMON STOCK USD.01
 
 
**
1,540,563

ADVANCED ENERGY INDUSTRIES COMMON STOCK USD.001
 
 
**
78,395

ADVANCED SEMICONDUCTOR ENGR COMMON STOCK TWD10.
 
 
**
1,296,861

ADVANTECH CO LTD COMMON STOCK TWD10.
 
 
**
534,432

ADVISORY BOARD CO/THE COMMON STOCK USD.01
 
 
**
3,332,955

AECOM COMMON STOCK USD.01
 
 
**
4,608,974

AEGION CORP COMMON STOCK USD.01
 
 
**
65,306

AEON FINANCIAL SERVICE CO LT COMMON STOCK
 
 
**
507,605

AEON MALL CO LTD COMMON STOCK
 
 
**
24,254

AEP INDUSTRIES INC COMMON STOCK USD.01
 
 
**
24,071

AERCAP HOLDINGS NV COMMON STOCK EUR.01
 
 
**
3,021,341

AETNA INC COMMON STOCK USD.01
 
 
**
5,800,422

AETNA INC SR UNSECURED 12/37 6.75
5/15/2022
6.75%
**
75,542

AEW GLOBAL PPTY SECS MASTER TR MUTUAL FUND
 
 
**
252,104,286

AGCO CORP COMMON STOCK USD.01
 
 
**
381,503

AGEAS COMMON STOCK
 
 
**
475,676

AGILENT TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
1,115,700

AGIOS PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
1,687,271

AGL CAPITAL CORP COMPANY GUAR 03/41 5.875
5/15/2022
5.88%
**
27,412


23
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

AGL CAPITAL CORP COMPANY GUAR 09/21 3.5
5/15/2022
3.50%
**
150,380

AGREE REALTY CORP REIT USD.0001
 
 
**
34,840

AGRICULTURAL BANK CHINA
11/18/2016
1.00%
**
12,966,976

AGRIUM INC COMMON STOCK
 
 
**
125,620

AGRIUM INC SR UNSECURED 01/45 5.25
5/15/2022
5.25%
**
130,502

AGRIUM INC SR UNSECURED 03/35 4.125
5/15/2022
4.13%
**
8,506

AIA GROUP LTD COMMON STOCK
 
 
**
7,463,106

AIG GLOBAL FUNDING SR SECURED 144A 12/17 1.65
5/15/2022
1.65%
**
89,548

AIR CANADA 2013 1A PTT PASS THRU CE 144A 11/26 4.125
5/15/2022
4.13%
**
43,367

AIR CHINA LTD H COMMON STOCK CNY1.0
 
 
**
339,555

AIR INDUSTRIES GROUP COMMON STOCK USD.001
 
 
**
8,094

AIR LEASE CORP COMMON STOCK USD.01
 
 
**
343,170

AIR LIQUIDE SA COMMON STOCK EUR5.5
 
 
**
5,911,237

AIR METHODS CORP COMMON STOCK USD.06
 
 
**
147,468

AIR TRANSPORT SERVICES GROUP COMMON STOCK USD.01
 
 
**
59,926

AIRASIA BHD COMMON STOCK MYR.1
 
 
**
176,367

AIRBUS GROUP SE COMMON STOCK EUR1.0
 
 
**
663,673

AIRE VALLEY MORTGAGES PLC AIREM 2006 1A 1A 144A
3/16/2021
0.57%
**
392,881

AIRE VALLEY MORTGAGES PLC AIREM 2007 1A 2A1 144A
3/16/2021
0.59%
**
1,829,351

AIRGAS INC COMMON STOCK USD.01
 
 
**
864,915

AKAMAI TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
4,728,648

AKBANK T.A.S. COMMON STOCK TRY1.
 
 
**
53,497

AKER SOLUTIONS ASA COMMON STOCK NOK1.08
 
 
**
132,478

AKZO NOBEL
 
 
**
5,201,088

ALABAMA POWER CO SR UNSECURED 02/19 5.125
5/15/2022
5.13%
**
26,831

ALAMO GROUP INC COMMON STOCK USD.1
 
 
**
64,083

ALAMOS GOLD INC CLASS A COMMON STOCK
 
 
**
147,398

ALASKA AIR GROUP INC COMMON STOCK USD.01
 
 
**
310,044

ALBA PLC ALBA 2006 2 A3B REGS
1/14/2030
0.12%
**
534,897

ALBANY INTL CORP CL A COMMON STOCK USD.001
 
 
**
101,134

ALBANY MOLECULAR RESEARCH COMMON STOCK USD.01
 
 
**
54,071

ALBEMARLE CORP COMMON STOCK USD.01
 
 
**
814,497

ALEXANDER + BALDWIN INC COMMON STOCK
 
 
**
166,487

ALEXANDRIA REAL ESTATE EQUIT REIT USD.01
 
 
**
281,652

ALEXION PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
**
8,550,369

ALFA S.A.B. A COMMON STOCK
 
 
**
210,853

ALFRESA HOLDINGS CORP COMMON STOCK
 
 
**
399,850

ALIBABA GROUP HOLDING SP ADR
 
 
**
27,717,060

ALICO INC COMMON STOCK USD1.
 
 
**
27,741

ALIMENTATION COUCHE TARD B COMMON STOCK
 
 
**
1,021,802

ALIOR BANK SA COMMON STOCK PLN10.0
 
 
**
87,046

ALKERMES PLC COMMON STOCK USD.01
 
 
**
10,474,191

ALLEGHANY CORP COMMON STOCK USD1.
 
 
**
433,483

ALLEGHENY TECHNOLOGIES INC COMMON STOCK USD.1
 
 
**
60,030

ALLEGIANT TRAVEL CO COMMON STOCK USD.001
 
 
**
2,769,195

ALLERGAN PLC COMMON STOCK USD.0033
 
 
**
88,119,375


24
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ALLETE INC COMMON STOCK
 
 
**
2,016,172

ALLIANCE DATA SYSTEMS CORP COMMON STOCK USD.01
 
 
**
8,828,668

ALLIANZ SE REG COMMON STOCK
 
 
**
2,135,348

ALLIED MOTION TECHNOLOGIES COMMON STOCK
 
 
**
20,368

ALLIED PROPERTIES REAL ESTAT REIT
 
 
**
156,816

ALLIED WORLD ASSURANCE CO COMMON STOCK USD12.98
 
 
**
358,326

ALLSCRIPTS HEALTHCARE SOLUTI COMMON STOCK USD.01
 
 
**
133,960

ALLSTATE CORP COMMON STOCK USD.01
 
 
**
2,831,304

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 1 A2
11/18/2016
0.48%
**
68,906

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 2 A2
11/18/2016
0.68%
**
1,019,396

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 3 A2
11/18/2016
0.81%
**
1,060,937

ALLY AUTO RECEIVABLES TRUST ALLYA 2015 1 A2
11/18/2016
0.84%
**
2,317,485

ALLY AUTO RECEIVABLES TRUST LE ALLYL 2014 SN2 A2A
11/18/2016
0.71%
**
380,109

ALLY AUTO RECEIVABLES TRUST LE ALLYL 2015 SN1 A3
5/15/2022
1.62%
**
165,283

ALLY FINANCIAL INC COMMON STOCK USD.1
 
 
**
16,467,694

ALLY FINANCIAL INC COMPANY GUAR 01/17 2.75
1/14/2030
2.75%
**
399,000

ALLY FINANCIAL INC COMPANY GUAR 02/17 5.5
1/14/2030
5.50%
**
206,000

ALLY FINANCIAL INC COMPANY GUAR 07/16 3.5
1/14/2030
3.50%
**
100,250

ALLY FINANCIAL INC COMPANY GUAR 09/18 4.75
1/14/2030
4.75%
**
307,125

ALLY FINANCIAL INC SR UNSECURED 02/18 3.25
4/15/2017
3.25%
**
298,500

ALLY FINANCIAL INC SR UNSECURED 05/18 3.6
3/16/2021
3.60%
**
2,400,000

ALLY FINANCIAL INC SR UNSECURED 09/17 3.25
4/15/2017
3.25%
**
199,750

ALMOST FAMILY INC COMMON STOCK USD.1
 
 
**
35,248

ALNYLAM PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
**
3,967,719

ALON USA ENERGY INC COMMON STOCK USD.01
 
 
**
103,435

ALPHA + OMEGA SEMICONDUCTOR COMMON STOCK
 
 
**
24,491

ALPHABET INC CL A COMMON STOCK USD.001
 
 
**
138,156,682

ALPHABET INC CL C COMMON STOCK USD.001
 
 
**
76,192,311

ALPS ELECTRIC CO LTD COMMON STOCK
 
 
**
6,991,276

ALTEN SA COMMON STOCK
 
 
**
736,845

ALTICE LUXEMBOURG SA COMPANY GUAR 144A 05/22 7.75
4/15/2017
7.75%
**
902,500

ALTRA INDUSTRIAL MOTION CORP COMMON STOCK USD.001
 
 
**
59,114

ALTRIA GROUP INC COMMON STOCK USD.333
 
 
**
3,139,789

AMADA HOLDINGS CO LTD COMMON STOCK
 
 
**
60,960

AMADEUS IT HOLDING SA A SHS COMMON STOCK EUR.01
 
 
**
2,800,882

AMAZON.COM INC COMMON STOCK USD.01
 
 
**
153,839,999

AMAZON.COM INC SR UNSECURED 12/34 4.8
5/15/2022
4.80%
**
92,653

AMBAC FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
56,318

AMBEV SA ADR
 
 
**
1,541,507

AMC ENTERTAINMENT HLDS CL A COMMON STOCK USD.01
 
 
**
3,144

AMC NETWORKS INC A COMMON STOCK
 
 
**
2,031,296

AMDOCS LTD COMMON STOCK GBP.0001
 
 
**
2,602,989

AMER NATL BNKSHS/DANVILLE VA COMMON STOCK USD1.
 
 
**
21,000

AMER SPORTS OYJ COMMON STOCK
 
 
**
546,399

AMERCO COMMON STOCK USD.25
 
 
**
678,509

AMERESCO INC CL A COMMON STOCK USD.0001
 
 
**
17,938


25
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

AMERICA MOVIL SAB DE CV COMPANY GUAR 03/20 5
5/15/2022
5.00%
**
86,810

AMERICAN ASSETS TRUST INC REIT USD.01
 
 
**
2,436,376

AMERICAN CAMPUS COMMUNITIES REIT USD.01
 
 
**
2,790,491

AMERICAN CREDIT ACCEPTANCE REC ACAR 2014 2 B 144A
5/15/2022
2.26%
**
297,639

AMERICAN EAGLE OUTFITTERS COMMON STOCK USD.01
 
 
**
710,784

AMERICAN EQUITY INVT LIFE HL COMMON STOCK USD1.
 
 
**
179,792

AMERICAN EXPRESS BK FSB SR UNSECURED 09/17 6
5/15/2022
6.00%
**
149,960

AMERICAN EXPRESS CO COMMON STOCK USD.2
 
 
**
19,589,314

AMERICAN EXPRESS CO SR UNSECURED 12/22 2.65
5/15/2022
2.65%
**
155,972

AMERICAN EXPRESS CO SUBORDINATED 12/24 3.625
5/15/2022
3.63%
**
27,403

AMERICAN EXPRESS CREDIT SR UNSECURED 06/17 VAR
11/18/2016
0.72%
**
2,179,083

AMERICAN EXPRESS CREDIT SR UNSECURED 09/17 VAR
11/18/2016
0.89%
**
1,087,670

AMERICAN EXPRESS CREDIT SR UNSECURED 11/18 VAR
11/18/2016
1.11%
**
3,066,782

AMERICAN FINANCIAL GROUP INC COMMON STOCK
 
 
**
642,737

AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 4A1
4/15/2017
2.15%
**
259,610

AMERICAN HONDA FINANCE SR UNSECURED 08/19 2.25
5/15/2022
2.25%
**
125,308

AMERICAN HONDA FINANCE SR UNSECURED 09/17 VAR
11/18/2016
1.02%
**
2,114,052

AMERICAN HONDA FINANCE SR UNSECURED 10/16 1.125
11/18/2016
1.13%
**
1,534,544

AMERICAN HONDA FINANCE SR UNSECURED 12/17 1.55
5/15/2022
1.55%
**
89,019

AMERICAN HONDA FINANCE SR UNSECURED 12/17 VAR
11/18/2016
0.80%
**
1,263,050

AMERICAN INTERNATIONAL GROUP COMMON STOCK USD2.5
 
 
**
10,596,870

AMERICAN INTL GROUP SR UNSECURED 02/24 4.125
5/15/2022
4.13%
**
245,432

AMERICAN MUNI PWR OHIO INC OHR AMEPWR 02/28 FIXED 7.334
3/16/2021
7.33%
**
254,178

AMERICAN NATIONAL INSURANCE COMMON STOCK USD1.
 
 
**
272,550

AMERICAN PUBLIC EDUCATION COMMON STOCK USD.01
 
 
**
16,749

AMERICAN RAILCAR INDUSTRIES COMMON STOCK USD.01
 
 
**
94,874

AMERICAN SCIENCE + ENGINEERI COMMON STOCK USD.667
 
 
**
29,669

AMERICAN TOWER CORP REIT USD.01
 
 
**
19,496,160

AMERICAN TOWER TRUST I AMTT 13 1A 144A
5/15/2022
1.55%
**
48,826

AMERICAN VANGUARD CORP COMMON STOCK USD.1
 
 
**
37,337

AMERICAN WATER CAP CORP SR UNSECURED 12/42 4.3
5/15/2022
4.30%
**
7,085

AMERICAN WATER CAPITAL C SR UNSECURED 03/25 3.4
5/15/2022
3.40%
**
11,176

AMERICAN WATER WORKS CO INC COMMON STOCK USD.01
 
 
**
4,260,175

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 2 A2A
11/18/2016
0.54%
**
370,547

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2015 2 A3
5/15/2022
1.27%
**
628,525

AMERIPRISE FINANCIAL INC COMMON STOCK USD.01
 
 
**
14,237,932

AMERIPRISE FINANCIAL INC SR UNSECURED 10/23 4
5/15/2022
4.00%
**
103,881

AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R1 A1B
4/15/2017
1.22%
**
331,653

AMERIS BANCORP COMMON STOCK USD1.
 
 
**
33,922

AMERISAFE INC COMMON STOCK USD.01
 
 
**
93,911

AMGEN INC SR UNSECURED 02/19 5.7
3/16/2021
5.70%
**
1,157,607

AMGEN INC SR UNSECURED 02/19 5.7
5/15/2022
5.70%
**
27,562

AMGEN INC SR UNSECURED 05/17 2.125
5/15/2022
2.13%
**
140,854

AMGEN INC SR UNSECURED 05/22 3.625
5/15/2022
3.63%
**
46,225

AMGEN INC SR UNSECURED 11/21 3.875
3/16/2021
3.88%
**
182,328

AMGEN INC SR UNSECURED 11/21 3.875
5/15/2022
3.88%
**
151,072


26
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

AMKOR TECHNOLOGY INC COMMON STOCK USD.001
 
 
**
93,480

AMMB HOLDINGS BHD COMMON STOCK MYR1.0
 
 
**
52,016

AMOREPACIFIC CORP COMMON STOCK KRW500.0
 
 
**
169,681

AMOREPACIFIC GROUP COMMON STOCK KRW500.0
 
 
**
56,547

AMP LTD COMMON STOCK
 
 
**
62,131

AMPCO PITTSBURGH CORP COMMON STOCK USD1.0
 
 
**
10,517

AMPHENOL CORP CL A COMMON STOCK USD.001
 
 
**
1,775,820

AMPLIFON SPA COMMON STOCK EUR.02
 
 
**
640,951

AMSURG CORP COMMON STOCK
 
 
**
360,316

ANACOR PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
730,916

ANADARKO PETROLEUM CORP COMMON STOCK USD.1
 
 
**
1,020,812

ANADARKO PETROLEUM CORP SR UNSECURED 07/24 3.45
5/15/2022
3.45%
**
115,485

ANADARKO PETROLEUM CORP SR UNSECURED 09/16 5.95
11/18/2016
5.95%
**
2,364,254

ANADARKO PETROLEUM CORP SR UNSECURED 09/36 6.45
5/15/2022
6.45%
**
173,495

ANALOG DEVICES INC COMMON STOCK USD.167
 
 
**
1,042,450

ANALOGIC CORP COMMON STOCK USD.05
 
 
**
101,598

ANDERSONS INC/THE COMMON STOCK
 
 
**
87,520

ANGIODYNAMICS INC COMMON STOCK USD.01
 
 
**
44,797

ANHEUSER BUSCH COS LLC COMPANY GUAR 10/16 5.05
11/18/2016
5.05%
**
517,542

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 02/24 3.7
5/15/2022
3.70%
**
525,409

ANIKA THERAPEUTICS INC COMMON STOCK USD.01
 
 
**
18,775

ANIXTER INTERNATIONAL INC COMMON STOCK USD1.
 
 
**
183,888

ANTA SPORTS PRODUCTS LTD COMMON STOCK HKD.1
 
 
**
456,223

ANTHEM INC COMMON STOCK USD.01
 
 
**
4,336,584

AON PLC COMMON STOCK USD.01
 
 
**
6,383,975

AON PLC COMPANY GUAR 11/23 4
5/15/2022
4.00%
**
46,111

AON PLC COMPANY GUAR 12/42 4.25
5/15/2022
4.25%
**
40,169

APACHE CORP SR UNSECURED 04/22 3.25
5/15/2022
3.25%
**
76,195

APACHE CORP SR UNSECURED 09/40 5.1
5/15/2022
5.10%
**
51,289

APOLLO EDUCATION GROUP INC COMMON STOCK
 
 
**
80,190

APOLLO GLOBAL MANAGEMENT A MLP
 
 
**
2,732,400

APPLE INC COMMON STOCK USD.00001
 
 
**
92,822,163

APPLE INC SR UNSECURED 05/18 1
5/15/2022
1.00%
**
99,188

APPLE INC SR UNSECURED 05/23 2.4
5/15/2022
2.40%
**
97,437

APPLIED INDUSTRIAL TECH INC COMMON STOCK
 
 
**
161,839

APPLIED MATERIALS INC COMMON STOCK USD.01
 
 
**
9,845,625

APPROACH RESOURCES INC COMMON STOCK USD.01
 
 
**
4,904

APTARGROUP INC COMMON STOCK USD.01
 
 
**
2,978,650

ARAMARK COMMON STOCK USD.01
 
 
**
2,534,979

ARCA CONTINENTAL SAB DE CV COMMON STOCK
 
 
**
224,277

ARCADIS NV COMMON STOCK EUR.02
 
 
**
463,845

ARCBEST CORP COMMON STOCK USD.01
 
 
**
54,801

ARCELIK A.S. COMMON STOCK TRY1.
 
 
**
63,991

ARCH CAPITAL GROUP LTD COMMON STOCK USD.01
 
 
**
3,195,736

ARCHER DANIELS MIDLAND CO COMMON STOCK
 
 
**
2,657,246

ARCHROCK INC COMMON STOCK USD.01
 
 
**
614,422


27
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ARCTIC CAT INC COMMON STOCK USD.01
 
 
**
18,460

ARENA PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
**
1,441,614

ARISTA NETWORKS INC COMMON STOCK USD.0001
 
 
**
5,036,637

ARIZONA PUBLIC SERVICE SR UNSECURED 01/20 2.2
5/15/2022
2.20%
**
22,784

ARIZONA PUBLIC SERVICE SR UNSECURED 04/42 4.5
5/15/2022
4.50%
**
25,639

ARM HOLDINGS PLC COMMON STOCK GBP.0005
 
 
**
331,330

ARM HOLDINGS PLC SPONS ADR ADR
 
 
**
4,300,107

ARRIS GROUP INC COMMON STOCK USD.01
 
 
**
3,507,052

ARROW ELECTRONICS INC COMMON STOCK USD1.
 
 
**
522,024

ARROW ELECTRONICS INC SR UNSECURED 01/27 7.5
5/15/2022
7.50%
**
94,278

ARROW ELECTRONICS INC SR UNSECURED 03/18 3
5/15/2022
3.00%
**
64,948

ARROW FINANCIAL CORP COMMON STOCK USD1.
 
 
**
34,071

ARTISAN PARTNERS ASSET MA A COMMON STOCK USD.01
 
 
**
3,029,040

ARVIND LTD COMMON STOCK INR10.
 
 
**
501,783

ASAHI KASEI CORP COMMON STOCK
 
 
**
102,610

ASALEO CARE LTD COMMON STOCK
 
 
**
449,469

ASBURY AUTOMOTIVE GROUP COMMON STOCK USD.01
 
 
**
4,282,507

ASCENA RETAIL GROUP INC COMMON STOCK USD.01
 
 
**
96,215

ASCENDAS REAL ESTATE INV TRT REIT
 
 
**
45,001

ASCENDAS REAL ESTATE INVT RTS RTS EXP. 13JAN2016
 
 
**
46

ASCENT CAPITAL GROUP INC A COMMON STOCK USD.01
 
 
**
22,271

ASHFORD HOSPITALITY PRIME IN REIT USD.01
 
 
**
2,857

ASHFORD HOSPITALITY TRUST REIT USD.01
 
 
**
30,395

ASHMORE GROUP PLC COMMON STOCK GBP.0001
 
 
**
227,501

ASM PACIFIC TECHNOLOGY COMMON STOCK HKD.1
 
 
**
14,156

ASML HOLDING NV COMMON STOCK EUR.09
 
 
**
487,020

ASML HOLDING NV NY REG SHS NY REG SHRS EUR.09
 
 
**
5,851,363

ASPEN INSURANCE HOLDINGS LTD COMMON STOCK USD.001514456
 
 
**
316,848

ASPEN TECHNOLOGY INC COMMON STOCK USD.1
 
 
**
2,473,280

ASSOCIATED BANC CORP COMMON STOCK USD.01
 
 
**
284,438

ASSURANT INC COMMON STOCK USD.01
 
 
**
577,875

ASSURED GUARANTY LTD COMMON STOCK USD.01
 
 
**
446,984

ASTA FUNDING INC COMMON STOCK USD.01
 
 
**
10,558

ASTEC INDUSTRIES INC COMMON STOCK USD.2
 
 
**
91,779

ASTELLAS PHARMA INC COMMON STOCK
 
 
**
1,165,896

ASTORIA FINANCIAL CORP COMMON STOCK USD.01
 
 
**
157,581

ASTRA AGRO LESTARI TBK PT COMMON STOCK IDR500.
 
 
**
38,058

ASTRAZENECA PLC COMMON STOCK USD.25
 
 
**
1,339,555

ASTRAZENECA PLC SPONS ADR ADR
 
 
**
11,949,721

ASTRAZENECA PLC SR UNSECURED 09/37 6.45
5/15/2022
6.45%
**
56,907

ASTRO MED INC COMMON STOCK USD.05
 
 
**
11,863

ASX LTD COMMON STOCK
 
 
**
83,964

AT+T INC SR UNSECURED 02/18 5.5
5/15/2022
5.50%
**
85,519

AT+T INC SR UNSECURED 02/22 3
5/15/2022
3.00%
**
352,900

AT+T INC SR UNSECURED 05/16 2.95
11/18/2016
2.95%
**
784,108

AT+T INC SR UNSECURED 05/18 5.6
5/15/2022
5.60%
**
151,861


28
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

AT+T INC SR UNSECURED 08/16 2.4
1/14/2030
2.40%
**
10,066

AT+T INC SR UNSECURED 08/21 3.875
5/15/2022
3.88%
**
257,918

ATARA BIOTHERAPEUTICS INC COMMON STOCK USD.0001
 
 
**
279,682

ATHENAHEALTH INC COMMON STOCK USD.01
 
 
**
2,167,461

ATLANTIC TELE NETWORK INC COMMON STOCK USD.01
 
 
**
120,240

ATLAS AIR WORLDWIDE HOLDINGS COMMON STOCK USD.01
 
 
**
105,913

ATLAS COPCO AB B SHS COMMON STOCK SEK.64
 
 
**
80,547

ATLASSIAN CORP PLC CLASS A
 
 
**
28,083

ATLASSIAN CORP PLC CLASS A COMMON STOCK USD.1
 
 
**
247,769

ATMOS ENERGY CORP
11/18/2016
0.70%
**
5,999,766

ATMOS ENERGY CORP SR UNSECURED 03/19 8.5
5/15/2022
8.50%
**
152,357

ATMOS ENERGY CORP SR UNSECURED 10/44 4.125
5/15/2022
4.13%
**
64,207

ATRESMEDIA CORP DE MEDIOS DE COMMON STOCK EUR.75
 
 
**
272,574

ATRIUM EUROPEAN REAL ESTATE COMMON STOCK
 
 
**
239,906

ATWOOD OCEANICS INC COMMON STOCK USD1.
 
 
**
58,720

AU OPTRONICS CORP COMMON STOCK TWD10.0
 
 
**
142,483

AUBURN SECURITIES PLC AUBN 5 A2 REGS
1/14/2030
0.83%
**
768,184

AURIZON HOLDINGS LTD COMMON STOCK
 
 
**
164,907

AUROBINDO PHARMA LTD COMMON STOCK INR1.
 
 
**
77,938

AUST + NZ BANKING GRP NY SR UNSECURED 01/17 1.25
11/18/2016
1.25%
**
877,311

AUST AND NZ BANKING GROUP COMMON STOCK
 
 
**
1,125,185

AUSTRALIAN DOLLAR
4/15/2017
 
**
200

AUSTRALIAN DOLLAR
3/16/2021
 
**
71,159

AUSTRALIAN DOLLAR
1/14/2030
 
**
20,056

AUSTRALIAN DOLLAR
 
 
**
4

AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/16 4.75
3/16/2021
4.75%
**
22,096

AUTO ABS COMP 2012 3 A REGS
3/16/2021
3.25%
**
1,234,210

AUTOMATIC DATA PROCESSING COMMON STOCK USD.1
 
 
**
14,656,052

AVAGO TECHNOLOGIES LTD COMMON STOCK
 
 
**
21,561,016

AVALONBAY COMMUNITIES SR UNSECURED 06/25 3.45
1/14/2030
3.45%
**
789,924

AVIATION CAPITAL GROUP SR UNSECURED 144A 10/20 7.125
3/16/2021
7.13%
**
354,950

AVICHINA INDUSTRY + TECH H COMMON STOCK CNY1.
 
 
**
28,335

AVIS BUDGET GROUP INC COMMON STOCK USD.01
 
 
**
3,293,318

AVIVA PLC COMMON STOCK GBP.25
 
 
**
60,911

AVNET INC COMMON STOCK USD1.
 
 
**
583,995

AVX CORP COMMON STOCK USD.01
 
 
**
182,913

AWE LTD COMMON STOCK
 
 
**
105,001

AXA SA COMMON STOCK EUR2.29
 
 
**
296,520

AXCELIS TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
28,935

AXIALL CORP COMMON STOCK USD.01
 
 
**
107,338

AXIS CAPITAL HOLDINGS LTD COMMON STOCK USD.0125
 
 
**
576,255

AYGAZ AS COMMON STOCK TRY1.
 
 
**
166,093

AZBIL CORP COMMON STOCK
 
 
**
678,441

AZZ INC COMMON STOCK USD1.
 
 
**
136,702

B+G FOODS INC COMMON STOCK USD.01
 
 
**
183,050

B2R MORTGAGE TRUST B2R 2015 2 A 144A
5/15/2022
3.34%
**
226,876


29
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BAE SYSTEMS PLC SR UNSECURED 144A 10/16 3.5
5/15/2022
3.50%
**
116,659

BAIDU INC SPON ADR ADR USD.00005
 
 
**
17,907,192

BAKER HUGHES INC COMMON STOCK USD1.
 
 
**
359,601

BAKER HUGHES INC SR UNSECURED 11/18 7.5
5/15/2022
7.50%
**
45,161

BALCHEM CORP COMMON STOCK USD.0667
 
 
**
305,946

BALDWIN + LYONS INC CL B COMMON STOCK
 
 
**
29,557

BALFOUR BEATTY PLC COMMON STOCK GBP.5
 
 
**
395,858

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 A4
5/15/2022
5.41%
**
131,214

BANC OF AMERICA COMMERCIAL MOR BACM 2007 1 A1A
4/15/2017
5.43%
**
246,957

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A5
1/14/2030
5.38%
**
1,662,624

BANC OF AMERICA FUNDING CORPOR BAFC 2012 R5 A 144A
3/16/2021
0.45%
**
1,381,662

BANC OF AMERICA LARGE LOAN BALL 2010 UB5 A4A 144A
3/16/2021
5.67%
**
70,284

BANC OF CALIFORNIA INC COMMON STOCK USD.01
 
 
**
41,959

BANCA CARIGE SPA COVERED REGS 10/18 3.875
3/16/2021
3.88%
**
1,880,217

BANCA POPOL EMILIA ROMAGNA COMMON STOCK EUR3.
 
 
**
529,211

BANCFIRST CORP COMMON STOCK USD1.
 
 
**
90,099

BANCO BILBAO VIZCAYA ARG JR SUBORDINA REGS 12/49 VAR
3/16/2021
6.75%
**
1,484,701

BANCO BILBAO VIZCAYA ARGENTA COMMON STOCK EUR.49
 
 
**
90,131

BANCO BRADESCO ADR ADR
 
 
**
223,482

BANCO DE CHILE COMMON STOCK
 
 
**
139,659

BANCO DO BRASIL S.A. COMMON STOCK
 
 
**
121,087

BANCO ESPIRITO SANTO SA SR UNSECURED REGS 01/19 4
3/16/2021
4.00%
**
71,696

BANCO NAC DE DESEN ECONO SR UNSECURED 144A 06/18 6.369
3/16/2021
6.37%
**
137,550

BANCO POPOLARE SC COMMON STOCK
 
 
**
738,259

BANCO POPOLARE SC SR UNSECURED REGS 03/19 3.5
3/16/2021
3.50%
**
2,115,726

BANCO SANTANDER CHILE ADR ADR
 
 
**
204,624

BANCO SANTANDER SA COMMON STOCK EUR.5
 
 
**
488,956

BANCO SANTANDER SA JR SUBORDINA REGS 09/49 VAR
4/15/2017
6.25%
**
710,983

BANCO SANTANDER SA JR SUBORDINA REGS 09/49 VAR
3/16/2021
6.25%
**
812,552

BANCORP INC/THE COMMON STOCK USD1.
 
 
**
16,320

BANCORPSOUTH INC COMMON STOCK USD2.5
 
 
**
1,087,059

BANDAI NAMCO HOLDINGS INC COMMON STOCK
 
 
**
392,183

BANGKOK BANK PUBLIC CO NVDR NVDR THB10.0
 
 
**
90,267

BANK CENTRAL ASIA TBK PT COMMON STOCK IDR62.5
 
 
**
26,822

BANK DANAMON INDONESIA TBK COMMON STOCK
 
 
**
371,720

BANK MUTUAL CORP COMMON STOCK USD.01
 
 
**
36,777

BANK NEGARA INDONESIA PERSER COMMON STOCK IDR7500.
 
 
**
247,998

BANK OF AMERICA CORP COMMON STOCK USD.01
 
 
**
8,990,586

BANK OF AMERICA CORP SR UNSECURED 01/23 3.3
5/15/2022
3.30%
**
136,821

BANK OF AMERICA CORP SR UNSECURED 01/24 4.125
5/15/2022
4.13%
**
325,348

BANK OF AMERICA CORP SR UNSECURED 01/24 4.125
1/14/2030
4.13%
**
1,342,705

BANK OF AMERICA CORP SR UNSECURED 04/18 6.875
3/16/2021
6.88%
**
2,427,165

BANK OF AMERICA CORP SR UNSECURED 04/18 6.875
1/14/2030
6.88%
**
110,326

BANK OF AMERICA CORP SR UNSECURED 04/24 4
5/15/2022
4.00%
**
184,089

BANK OF AMERICA CORP SR UNSECURED 04/24 4
1/14/2030
4.00%
**
102,272

BANK OF AMERICA CORP SR UNSECURED 05/21 5
5/15/2022
5.00%
**
240,361


30
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BANK OF AMERICA CORP SR UNSECURED 06/19 7.625
1/14/2030
7.63%
**
1,737,477

BANK OF AMERICA CORP SR UNSECURED 07/20 5.625
5/15/2022
5.63%
**
149,954

BANK OF AMERICA CORP SR UNSECURED 07/23 4.1
5/15/2022
4.10%
**
21,713

BANK OF AMERICA CORP SR UNSECURED 12/17 5.75
5/15/2022
5.75%
**
251,391

BANK OF AMERICA CORP SR UNSECURED 12/17 5.75
1/14/2030
5.75%
**
754,174

BANK OF AMERICA CORP SUBORDINATED 01/25 4
5/15/2022
4.00%
**
361,224

BANK OF AMERICA CORP SUBORDINATED 03/19 5.49
5/15/2022
5.49%
**
323,489

BANK OF AMERICA CREDIT CARD TR BACCT 2015 A2 A
5/15/2022
1.36%
**
918,730

BANK OF AMERICA NA SR UNSECURED 05/17 VAR
3/16/2021
0.76%
**
1,197,036

BANK OF AMERICA NA SR UNSECURED 11/16 1.125
11/18/2016
1.13%
**
4,372,508

BANK OF AMERICA NA SR UNSECURED 11/16 VAR
11/18/2016
0.83%
**
3,336,368

BANK OF CHINA LTD
11/18/2016
0.97%
**
11,953,954

BANK OF CHINA LTD H COMMON STOCK CNY1.0
 
 
**
368,315

BANK OF COMMUNICATIONS CO H COMMON STOCK CNY1.0
 
 
**
353,660

BANK OF HAWAII CORP COMMON STOCK USD.01
 
 
**
2,522,290

BANK OF MONTREAL-
11/18/2016
0.58%
**
7,981,096

BANK OF MONTREAL CHICAGO CERT OF DEPO 09/17 VAR
11/18/2016
0.89%
**
4,815,306

BANK OF MONTREAL COMMON STOCK
 
 
**
494,640

BANK OF MONTREAL SR UNSECURED 11/22 2.55
5/15/2022
2.55%
**
148,128

BANK OF NEW YORK MELLON CORP COMMON STOCK USD.01
 
 
**
5,900,519

BANK OF NEW YORK MELLON SR UNSECURED 01/18 1.3
5/15/2022
1.30%
**
153,610

BANK OF NEW YORK MELLON SR UNSECURED 01/19 2.1
5/15/2022
2.10%
**
15,070

BANK OF NEW YORK MELLON SR UNSECURED 05/19 2.2
5/15/2022
2.20%
**
71,105

BANK OF NEW YORK MELLON SR UNSECURED 11/25 3.95
5/15/2022
3.95%
**
14,686

BANK OF NOVA SCOTIA COMMON STOCK
 
 
**
689,401

BANK OF NOVA SCOTIA SR UNSECURED 01/17 2.55
11/18/2016
2.55%
**
5,770,805

BANK OF NOVA SCOTIA SR UNSECURED 04/17 1.25
5/15/2022
1.25%
**
119,788

BANK OF THE OZARKS COMMON STOCK USD.01
 
 
**
4,063,782

BANK RAKYAT INDONESIA PERSER COMMON STOCK IDR250.
 
 
**
205,791

BANK TOKYO MIT UFJ NY
11/18/2016
0.37%
**
17,999,302

BANKIA SA SR UNSECURED 01/16 VAR
4/15/2017
0.15%
**
108,602

BANKIA SA SR UNSECURED REGS 01/19 3.5
4/15/2017
3.50%
**
114,289

BANNER CORPORATION COMMON STOCK USD.01
 
 
**
89,289

BANQUE CANTONALE VAUDOIS REG COMMON STOCK CHF10.0
 
 
**
245,444

BANQUE PSA FINANCE SR UNSECURED REGS 02/16 4.25
3/16/2021
4.25%
**
1,309,953

BAR HARBOR BANKSHARES COMMON STOCK USD2.
 
 
**
21,168

BARCLAYS AFRICA GROUP LTD COMMON STOCK ZAR2.0
 
 
**
32,846

BARCLAYS BANK PLC SR UNSECURED 09/16 5
11/18/2016
5.00%
**
9,201,413

BARCLAYS BANK PLC SR UNSECURED 09/16 5
5/15/2022
5.00%
**
102,566

BARCLAYS BANK PLC SUBORDINATED 04/23 VAR
3/16/2021
7.75%
**
1,067,500

BARCLAYS BANK PLC SUBORDINATED 04/23 VAR
1/14/2030
7.75%
**
854,000

BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
3/16/2021
7.63%
**
1,935,875

BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
1/14/2030
7.63%
**
227,750

BARCLAYS BANK PLC SUBORDINATED REGS 05/21 10
3/16/2021
10.00%
**
1,330,507

BARCLAYS PLC COMMON STOCK GBP.25
 
 
**
4,611,813

BARCLAYS PLC JR SUBORDINA 12/49 VAR
4/15/2017
8.00%
**
353,183


31
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BARCLAYS PLC JR SUBORDINA 12/49 VAR
3/16/2021
8.00%
**
235,456

BARCLAYS PLC SR UNSECURED 03/25 3.65
3/16/2021
3.65%
**
1,729,845

BARCLAYS PLC SR UNSECURED 06/20 2.875
5/15/2022
2.88%
**
199,580

BARNES + NOBLE EDUCATION INC COMMON STOCK USD.01
 
 
**
36,735

BARNES + NOBLE INC COMMON STOCK USD.001
 
 
**
50,884

BARNES GROUP INC COMMON STOCK USD.01
 
 
**
2,096,928

BARRATT DEVELOPMENTS PLC COMMON STOCK GBP.1
 
 
**
470,770

BARRICK NA FINANCE LLC COMPANY GUAR 05/21 4.4
5/15/2022
4.40%
**
116,731

BASF SE COMMON STOCK
 
 
**
169,702

BASIC ENERGY SERVICES INC COMMON STOCK USD.01
 
 
**
7,692

BAXTER INTERNATIONAL INC COMMON STOCK USD1.
 
 
**
5,221,209

BAXTER INTERNATIONAL INC SR UNSECURED 03/20 4.25
5/15/2022
4.25%
**
57,716

BAYER AG REG COMMON STOCK
 
 
**
10,018,072

BAYER US FINANCE LLC COMPANY GUAR 144A 10/16 VAR
11/18/2016
0.57%
**
2,014,115

BB UBS TRUST BBUBS 2012 TFT A 144A
5/15/2022
2.89%
**
454,849

BB+T CORP COMMON STOCK USD5.
 
 
**
2,330,230

BB+T CORPORATION SR UNSECURED 01/20 2.45
5/15/2022
2.45%
**
226,508

BB+T CORPORATION SUBORDINATED 11/19 5.25
5/15/2022
5.25%
**
52,473

BBA AVIATION PLC COMMON STOCK GBP.2976
 
 
**
619,582

BBCCRE TRUST BBCCR 2015 GTP A 144A
1/14/2030
3.97%
**
1,133,461

BBCN BANCORP INC COMMON STOCK USD.001
 
 
**
135,900

BEACON ROOFING SUPPLY INC COMMON STOCK USD.01
 
 
**
705,208

BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 12A2
1/14/2030
2.71%
**
13,600

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 5 A1
4/15/2017
2.32%
**
81,594

BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1
1/14/2030
0.38%
**
266,349

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW16 AM
5/15/2022
5.91%
**
223,802

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW17 AMFL 144A
5/15/2022
0.89%
**
310,867

BECTON DICKINSON AND CO COMMON STOCK USD1.
 
 
**
6,792,749

BED BATH + BEYOND INC COMMON STOCK USD.01
 
 
**
4,353,501

BEFIMMO REIT
 
 
**
710,565

BEIERSDORF AG COMMON STOCK
 
 
**
5,615,110

BEIJING JINGNENG CLEAN ENE H COMMON STOCK CNY1.
 
 
**
457,733

BEIJING URBAN CONSTRUCTION H COMMON STOCK CNY1.0
 
 
**
344,629

BEL FUSE INC CL B COMMON STOCK USD.1
 
 
**
17,722

BELDEN INC COMMON STOCK USD.01
 
 
**
2,389,006

BELLE INTERNATIONAL HOLDINGS COMMON STOCK HKD.01
 
 
**
261,332

BELLSOUTH LLC COMPANY GUAR 144A 04/21 4.821
4/15/2017
4.18%
**
303,568

BELLSOUTH LLC COMPANY GUAR 144A 04/21 4.821
3/16/2021
4.18%
**
1,517,838

BELMOND LTD CLASS A COMMON STOCK USD.01
 
 
**
87,638

BEMIS COMPANY COMMON STOCK USD.1
 
 
**
289,100

BENDIGO AND ADELAIDE BANK COMMON STOCK
 
 
**
284,649

BERKSHIRE HATHAWAY ENERG SR UNSECURED 04/18 5.75
5/15/2022
5.75%
**
86,427

BERKSHIRE HATHAWAY INC SR UNSECURED 01/17 1.9
5/15/2022
1.90%
**
237,039

BERKSHIRE HILLS BANCORP INC COMMON STOCK USD.01
 
 
**
1,841,848

BERRY PLASTICS GROUP INC COMMON STOCK USD.01
 
 
**
3,694,050

BG GROUP PLC
 
 
**
2,783,611



32
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BHARAT PETROLEUM CORP LTD COMMON STOCK INR10.
 
 
**
87,299

BHP BILLITON FIN USA LTD COMPANY GUAR 02/17 1.625
5/15/2022
1.63%
**
49,898

BHP BILLITON FIN USA LTD COMPANY GUAR 09/43 5
5/15/2022
5.00%
**
67,410

BHP BILLITON LIMITED COMMON STOCK
 
 
**
591,060

BIG 5 SPORTING GOODS CORP COMMON STOCK USD.01
 
 
**
22,527

BIG LOTS INC COMMON STOCK USD.01
 
 
**
71,068

BIGLARI HOLDINGS INC COMMON STOCK USD.5
 
 
**
326

BILL BARRETT CORP COMMON STOCK USD.001
 
 
**
13,291

BIOGEN INC COMMON STOCK USD.0005
 
 
**
32,909,649

BIOGEN INC SR UNSECURED 03/18 6.875
5/15/2022
6.88%
**
21,908

BIOGEN INC SR UNSECURED 09/22 3.625
5/15/2022
3.63%
**
86,953

BIOMARIN PHARMACEUTICAL INC COMMON STOCK USD.001
 
 
**
5,150,316

BIOMED REALTY TRUST INC REIT USD.01
 
 
**
308,373

BK NEDERLANDSE GEMEENTEN SR UNSECURED 11/19 3.875
3/16/2021
3.88%
**
124,546

BK NEDERLANDSE GEMEENTEN SR UNSECURED REGS 01/22 0.375
3/16/2021
0.38%
**
4,661,337

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 03/18 1.7
3/16/2021
1.70%
**
595,006

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 09/16 1.55
11/18/2016
1.55%
**
339,718

BLACKBAUD INC COMMON STOCK USD.001
 
 
**
1,019,184

BLACKBERRY LTD COMMON STOCK
 
 
**
327,965

BLACKROCK INC COMMON STOCK USD.01
 
 
**
4,868,414

BLACKROCK INC SR UNSECURED 03/24 3.5
5/15/2022
3.50%
**
89,332

BLACKROCK INC SR UNSECURED 06/22 3.375
5/15/2022
3.38%
**
77,587

BLUCORA INC COMMON STOCK USD.0001
 
 
**
37,162

BLUE BUFFALO PET PRODUCTS IN COMMON STOCK USD.01
 
 
**
1,292,861

BLUESTONE SECURITIES PLC BLST 2006 1 A1 REGS
3/16/2021
0.81%
**
1,256,124

BLUESTREAM VENTURES
 
 
**
707,298

BM+FBOVESPA SA COMMON STOCK
 
 
**
106,251

BMW VEHICLE LEASE TRUST BMWLT 2015 2 A2A
11/18/2016
1.07%
**
4,194,079

BNP PARIBAS COMMON STOCK EUR2.
 
 
**
97,929

BNP PARIBAS COMPANY GUAR 03/17 1.375
11/18/2016
1.38%
**
2,141,938

BNP PARIBAS COMPANY GUAR 05/17 VAR
11/18/2016
0.80%
**
2,757,015

BNP PARIBAS JR SUBORDINA REGS 12/49 VAR
3/16/2021
6.13%
**
1,779,359

BOB EVANS FARMS COMMON STOCK USD.01
 
 
**
9,091

*BOEING CO/THE
 
 
**
6,028,340,697

BOINGO WIRELESS INC COMMON STOCK
 
 
**
16,034

BOISE CASCADE CO COMMON STOCK USD.01
 
 
**
32,832

BOK FINANCIAL CORPORATION COMMON STOCK USD.00006
 
 
**
193,720

BOLIDEN AB COMMON STOCK SEK2.11
 
 
**
581,696

BOLSA MEXICANA DE VALORES SA COMMON STOCK
 
 
**
676,979

BONANZA CREEK ENERGY INC COMMON STOCK USD.001
 
 
**
21,064

BONOS Y OBLIG DEL ESTADO BONDS 144A REGS 04/24 3.8
3/16/2021
3.80%
**
7,395,694

BONOS Y OBLIG DEL ESTADO BONDS 144A REGS 10/44 5.15
3/16/2021
5.15%
**
1,538,614

BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/24 2
3/16/2021
2.75%
**
1,066,687

BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/25 2
3/16/2021
2.15%
**
3,199,868

BOOZ ALLEN HAMILTON HOLDINGS COMMON STOCK USD.01
 
 
**
9,293,131

BORAL LTD COMMON STOCK
 
 
**
257,323

BOSKALIS WESTMINSTER COMMON STOCK EUR.8
 
 
**
697,083


33
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BOSTON PRIVATE FINL HOLDING COMMON STOCK USD1.
 
 
**
1,215,932

BOSTON PROPERTIES LP SR UNSECURED 09/23 3.125
5/15/2022
3.13%
**
77,889

BOSTON SCIENTIFIC CORP COMMON STOCK USD.01
 
 
**
8,197,428

BOSTON SCIENTIFIC CORP SR UNSECURED 01/20 6
3/16/2021
6.00%
**
1,054,890

BP CAPITAL MARKETS PLC COMPANY GUAR 02/24 3.814
5/15/2022
3.81%
**
134,930

BP CAPITAL MARKETS PLC COMPANY GUAR 03/25 3.506
1/14/2030
3.51%
**
1,258,919

BP CAPITAL MARKETS PLC COMPANY GUAR 05/22 3.245
5/15/2022
3.25%
**
281,448

BP CAPITAL MARKETS PLC COMPANY GUAR 11/16 2.248
11/18/2016
2.25%
**
3,200,490

BP CAPITAL MARKETS PLC COMPANY GUAR 11/16 VAR
11/18/2016
0.76%
**
2,403,493

BP PLC COMMON STOCK USD.25
 
 
**
1,431,983

BPCE SA COMPANY GUAR 04/16 1.7
11/18/2016
1.70%
**
570,418

BPCE SA COMPANY GUAR 11/16 VAR
4/15/2017
0.93%
**
1,000,221

BPCE SA SUBORDINATED 144A 03/25 4.5
1/14/2030
4.50%
**
863,365

BPCE SA SUBORDINATED 144A 07/24 4.625
3/16/2021
4.63%
**
2,334,907

BPCE SA SUBORDINATED 144A 07/24 4.625
1/14/2030
4.63%
**
583,727

BPE FINANCIACIONES SA COMPANY GUAR 05/16 2.875
4/15/2017
2.88%
**
1,094,967

BPE FINANCIACIONES SA COMPANY GUAR 05/16 2.875
3/16/2021
2.88%
**
547,483

BPE FINANCIACIONES SA COMPANY GUAR REGS 02/20 2
3/16/2021
2.00%
**
862,766

BRADY CORPORATION CL A COMMON STOCK USD.01
 
 
**
92,196

BRAMMER PLC COMMON STOCK GBP.2
 
 
**
243,100

BRANCH BANKING + TRUST SR UNSECURED 10/16 1.45
11/18/2016
1.45%
**
639,317

BRANDYWINE REALTY TRUST REIT USD.01
 
 
**
110,400

BRASKEM SA PREF A PREFERENCE
 
 
**
265,990

BRAVO BRIO RESTAURANT GROUP COMMON STOCK
 
 
**
14,760

BRAZILIAN REAL
4/15/2017
 
**
—

BRAZILIAN REAL
3/16/2021
 
**
47,798

BRAZILIAN REAL
 
 
**
108,499

BREEZE EASTERN CORP
 
 
**
200

BRENT CALENDER SWAP FTR OPTN FEB16 87 CALL
4/15/2017
 
**
40

BRENT CALENDER SWAP FTR OPTN JAN16 87 CALL
4/15/2017
 
**
40

BRENT CALENDER SWAP FTR OPTN MAR16 87 CALL
4/15/2017
 
**
40

BRF SA COMMON STOCK
 
 
**
462,104

BRIDGE BANCORP INC COMMON STOCK USD.01
 
 
**
34,295

BRIDGEPOINT EDUCATION IN W/D COMMON STOCK USD.01
 
 
**
23,401

BRIDGESTONE CORP COMMON STOCK
 
 
**
173,490

BRIGGS + STRATTON COMMON STOCK USD.01
 
 
**
79,788

BRIGHT HORIZONS FAMILY SOLUT COMMON STOCK USD.001
 
 
**
3,707,400

BRINK S CO/THE COMMON STOCK USD1.
 
 
**
91,255

BRISTOL MYERS SQUIBB CO COMMON STOCK USD.1
 
 
**
34,829,409

BRISTOW GROUP INC COMMON STOCK USD.01
 
 
**
25,563

BRITISH AMERICAN TOBACCO BHD COMMON STOCK MYR.5
 
 
**
16,980

BRITISH AMERICAN TOBACCO PLC COMMON STOCK GBP.25
 
 
**
193,755

BRITISH LAND CO PLC REIT GBP.25
 
 
**
96,965

BRITISH TELECOM PLC SR UNSECURED 12/30 9.625
5/15/2022
9.63%
**
145,916

BRITISH TELECOM PLC SR UNSECURED REGS 12/16 VAR
3/16/2021
8.50%
**
3,537,099

BRITVIC PLC COMMON STOCK GBP.2
 
 
**
906,426

BROADRIDGE FINANCIAL SOLUTIO COMMON STOCK USD.01
 
 
**
4,572,423


34
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BROOKFIELD ASSET MANAGE CL A COMMON STOCK
 
 
**
391,219

BROOKLINE BANCORP INC COMMON STOCK USD.01
 
 
**
82,513

BROOKS AUTOMATION INC COMMON STOCK USD.01
 
 
**
72,250

BRUNEL INTERNATIONAL COMMON STOCK EUR.03
 
 
**
144,174

BRUNSWICK CORP COMMON STOCK USD.75
 
 
**
5,625,551

BRYN MAWR BANK CORP COMMON STOCK USD1.
 
 
**
38,255

BT GROUP PLC COMMON STOCK GBP.05
 
 
**
2,278,158

BUCKEYE PARTNERS LP SR UNSECURED 10/24 4.35
5/15/2022
4.35%
**
71,485

BUCKEYE PARTNERS LP SR UNSECURED 11/18 2.65
5/15/2022
2.65%
**
57,723

BUMRUNGRAD HOSPITAL PU NVDR NVDR THB1.0
 
 
**
137,207

BUNDESOBLIGATION I/L BONDS REGS 04/18 0.75
3/16/2021
0.75%
**
1,776,204

BUNDESREPUB. DEUTSCHLAND BONDS REGS 07/17 4.25
3/16/2021
4.25%
**
290,284

BUNGE LIMITED FINANCE CO COMPANY GUAR 03/16 4.1
5/15/2022
4.10%
**
140,719

BUONI POLIENNALI DEL TES BONDS 144A REGS 09/44 4.75
3/16/2021
4.75%
**
613,733

BUONI POLIENNALI DEL TES BONDS REGS 04/20 1.65
3/16/2021
1.65%
**
4,129,603

BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 09/24 2
4/15/2017
2.35%
**
504,147

BUREAU VERITAS SA COMMON STOCK EUR.12
 
 
**
1,427,221

BURLINGTN NORTH SANTA FE SR UNSECURED 03/23 3
5/15/2022
3.00%
**
83,765

BURLINGTN NORTH SANTA FE SR UNSECURED 05/40 5.75
5/15/2022
5.75%
**
55,971

BURLINGTN NORTH SANTA FE SR UNSECURED 09/21 3.45
5/15/2022
3.45%
**
153,308

BURSA MALAYSIA BHD COMMON STOCK MYR.5
 
 
**
218,012

BWU00BT10 IRS EUR P F 1.50000 SWU00BT10 CCPVANILLA
3/16/2021
1.50%
**
(4,947,262
)
BWU00BT10 IRS EUR R V 06MEURIB SWUV0BT12 CCPVANILLA
3/16/2021
1.00%
**
5,105,610

BWU00E7A8 IRS GBP P F 2.00000 SWU00E7A8 CCPVANILLA
3/16/2021
2.00%
**
(7,197,705
)
BWU00E7A8 IRS GBP R V 06MLIBOR SWUV0E7A0 CCPVANILLA
3/16/2021
1.00%
**
7,222,111

BWU00EI99 IRS USD P F 1.00000 SWU00EI99 CCPVANILLA
1/14/2030
1.00%
**
(7,193,674
)
BWU00EI99 IRS USD R V 03MLIBOR SWUV0EI91 CCPVANILLA
1/14/2030
1.00%
**
7,200,000

BWU00FAB9 IRS USD P F 2.25000 SWU00FAB9 CCPVANILLA
4/15/2017
2.25%
**
(1,395,556
)
BWU00FAB9 IRS USD P F 2.25000 SWU00FAB9 CCPVANILLA
1/14/2030
2.25%
**
(1,495,239
)
BWU00FAB9 IRS USD R V 03MLIBOR SWUV0FAB1 CCPVANILLA
4/15/2017
1.00%
**
1,400,000

BWU00FAB9 IRS USD R V 03MLIBOR SWUV0FAB1 CCPVANILLA
1/14/2030
1.00%
**
1,500,000

BWU00FAL7 IRS USD P F 2.50000 SWU00FAL7 CCPVANILLA
1/14/2030
2.50%
**
(386,113
)
BWU00FAL7 IRS USD R V 03MLIBOR SWUV0FAL9 CCPVANILLA
1/14/2030
1.00%
**
400,000

BWU00FL35 IRS USD P F 2.25000 SWU00FL35 CCPVANILLA
3/16/2021
2.25%
**
(21,554,401
)
BWU00FL35 IRS USD R V 03MLIBOR SWUV0FL37 CCPVANILLA
3/16/2021
1.00%
**
21,700,000

BYD ELECTRONIC INTL CO LTD COMMON STOCK
 
 
**
204,239

C + F FINANCIAL CORP COMMON STOCK USD1.
 
 
**
15,990

C+J ENERGY SERVICES LTD COMMON STOCK
 
 
**
17,074

CABLE ONE INC COMMON STOCK USD.01
 
 
**
142,674

CABOT CORP COMMON STOCK USD1.
 
 
**
157,664

CABOT MICROELECTRONICS CORP COMMON STOCK USD.001
 
 
**
78,585

CACI INTERNATIONAL INC CL A COMMON STOCK USD.1
 
 
**
218,682

CADENCE DESIGN SYS INC COMMON STOCK USD.01
 
 
**
3,057,925

CAI INTERNATIONAL INC COMMON STOCK USD.0001
 
 
**
21,692

CAISSE CENTRALE DESJARDN SR UNSECURED 144A 01/18 VAR
11/18/2016
0.99%
**
1,224,255

CAISSE D AMORT DETTE SOC SR UNSECURED REGS 11/24 1.375
3/16/2021
1.38%
**
904,201

CALAMOS ASSET MANAGEMENT A COMMON STOCK USD.01
 
 
**
7,744


35
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CALATLANTIC GROUP INC
 
 
**
1,878,081

CALAVO GROWERS INC COMMON STOCK USD.001
 
 
**
935,410

CALERES INC COMMON STOCK USD.01
 
 
**
112,698

CALGON CARBON CORP COMMON STOCK USD.01
 
 
**
88,406

CALIFORNIA RESOURCES CORP COMMON STOCK USD.01
 
 
**
6,156

CALIFORNIA RESOURCES CRP COMPANY GUAR 01/20 5
3/16/2021
5.00%
**
65,550

CALIFORNIA RESOURCES CRP SECURED 144A 12/22 8
3/16/2021
8.00%
**
258,915

CALIFORNIA ST CAS 03/36 FIXED 7.95
3/16/2021
7.95%
**
11,963

CALIFORNIA ST CAS 04/39 FIXED 7.55
3/16/2021
7.55%
**
1,162,008

CALLAWAY GOLF COMPANY COMMON STOCK USD.01
 
 
**
676,384

CALLIDUS SOFTWARE INC COMMON STOCK USD.001
 
 
**
1,622,647

CALLON PETROLEUM CO COMMON STOCK USD.01
 
 
**
968,608

CALPINE CORP COMMON STOCK USD.001
 
 
**
4,970,474

CAMBREX CORP COMMON STOCK USD.1
 
 
**
2,577,707

CAMDEN NATIONAL CORP COMMON STOCK
 
 
**
36,154

CAMDEN PROPERTY TRUST REIT USD.01
 
 
**
440,602

CAMECO CORP COMMON STOCK
 
 
**
563,896

CAMPUS CREST COMMUNITIES INC REIT USD.01
 
 
**
27,180

CAN IMPERIAL BK OF COMMERCE COMMON STOCK
 
 
**
807,456

CANADA HOUSING TRUST GOVT GUARANT 144A 06/24 2.9
3/16/2021
2.90%
**
2,101,047

CANADA HOUSING TRUST GOVT GUARANT 144A 12/22 2.4
3/16/2021
2.40%
**
6,430,592

CANADIAN DOLLAR
4/15/2017
 
**
213

CANADIAN DOLLAR
3/16/2021
 
**
258,339

CANADIAN DOLLAR
1/14/2030
 
**
136,608

CANADIAN DOLLAR
 
 
**
426,047

CANADIAN GOVERNMENT RRB BONDS 12/36 3
3/16/2021
3.00%
**
225,273

CANADIAN GOVERNMENT RRB BONDS 12/44 1.5
3/16/2021
1.50%
**
290,395

CANADIAN MORTGAGE POOLS CAN 98001289
3/16/2021
1.04%
**
350,316

CANADIAN NAT RES LTD SR UNSECURED 03/16 VAR
11/18/2016
0.98%
**
2,469,717

CANADIAN NATL RAILWAY CO COMMON STOCK
 
 
**
6,031,638

CANADIAN NATL RAILWAY CO COMMON STOCK
 
 
**
701,613

CANADIAN NATL RAILWAY SR UNSECURED 06/16 5.8
11/18/2016
5.80%
**
799,255

CANADIAN NATL RESOURCES SR UNSECURED 03/38 6.25
5/15/2022
6.25%
**
45,509

CANADIAN OIL SANDS LTD COMPANY GUAR 144A 04/22 4.5
3/16/2021
4.50%
**
583,047

CANADIAN PACIFIC RR CO SR UNSECURED 01/22 4.5
5/15/2022
4.50%
**
53,178

CANADIAN PACIFIC RR CO SR UNSECURED 10/31 7.125
5/15/2022
7.13%
**
74,298

CANADIAN TIRE CORP CLASS A COMMON STOCK
 
 
**
297,718

CANFOR CORP COMMON STOCK
 
 
**
697,660

CANTEL MEDICAL CORP COMMON STOCK USD.1
 
 
**
2,040,118

CAP GEMINI COMMON STOCK EUR8.
 
 
**
1,303,403

CAPCOM CO LTD COMMON STOCK
 
 
**
333,346

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 3 A3
11/18/2016
1.31%
**
2,631,797

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A2
11/18/2016
0.96%
**
281,924

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A3
11/18/2016
1.32%
**
1,639,155

CAPITAL BANK FINANCIAL CL A COMMON STOCK
 
 
**
98,339

CAPITAL CITY BANK GROUP INC COMMON STOCK USD.01
 
 
**
28,321

CAPITAL ONE FINANCIAL CO SR UNSECURED 06/23 3.5
5/15/2022
3.50%
**
49,694


36
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/21 4.75
5/15/2022
4.75%
**
216,631

CAPITAL ONE FINANCIAL CORP COMMON STOCK USD.01
 
 
**
4,179,222

CAPITALAND COMMERCIAL TRUST REIT
 
 
**
17,129

CAPITALAND MALL TRUST REIT
 
 
**
47,616

CAPITEC BANK HOLDINGS LTD COMMON STOCK ZAR.01
 
 
**
67,114

CAPITOL FEDERAL FINANCIAL IN COMMON STOCK USD.01
 
 
**
177,661

CARBO CERAMICS INC COMMON STOCK USD.01
 
 
**
26,436

CARDINAL FINANCIAL CORP COMMON STOCK USD1.
 
 
**
72,277

CARDINAL HEALTH INC COMMON STOCK
 
 
**
4,283,889

CARDINAL HEALTH INC SR UNSECURED 09/25 3.75
5/15/2022
3.75%
**
32,487

CARDTRONICS INC COMMON STOCK USD.0001
 
 
**
4,379,043

CAREER EDUCATION CORP COMMON STOCK USD.01
 
 
**
24,927

CARGILL GBL FUNDING
11/18/2016
0.35%
**
19,999,589

CARGILL INC SR UNSECURED 144A 05/21 4.307
5/15/2022
4.31%
**
117,706

CARGILL INC SR UNSECURED 144A 11/17 6
5/15/2022
6.00%
**
48,309

CARLSBERG AS B COMMON STOCK DKK20.
 
 
**
1,701,498

CARMAX AUTO OWNER TRUST CARMX 2013 1 A3
11/18/2016
0.60%
**
314,250

CARMAX AUTO OWNER TRUST CARMX 2013 4 A3
11/18/2016
0.80%
**
2,248,632

CARMAX AUTO OWNER TRUST CARMX 2014 3 A2
11/18/2016
0.55%
**
1,522,246

CARMAX AUTO OWNER TRUST CARMX 2014 4 A2A
11/18/2016
0.67%
**
936,830

CARMAX AUTO OWNER TRUST CARMX 2015 1 A2
5/15/2022
0.65%
**
778,991

CARMAX AUTO OWNER TRUST CARMX 2015 4 A2A
11/18/2016
1.03%
**
4,994,745

CARMIKE CINEMAS INC COMMON STOCK USD.03
 
 
**
47,027

CARPENTER TECHNOLOGY COMMON STOCK USD5.
 
 
**
136,518

CARRIAGE SERVICES INC COMMON STOCK USD.01
 
 
**
44,465

CARRIZO OIL + GAS INC COMMON STOCK USD.01
 
 
**
2,187,855

CARROLS RESTAURANT GROUP INC COMMON STOCK USD.01
 
 
**
40,914

CASCADE BANCORP COMMON STOCK
 
 
**
1,421,928

CASCADE MICROTECH INC COMMON STOCK USD.01
 
 
**
26,650

CASETEK HOLDINGS LTD COMMON STOCK TWD10.
 
 
**
20,474

CASH AMERICA INTL INC COMMON STOCK USD.1
 
 
**
155,710

CASTELLUM AB COMMON STOCK NPV
 
 
**
753,069

CATALENT INC COMMON STOCK USD.01
 
 
**
1,829,693

CATERPILLAR FINANCIAL SE SR UNSECURED 02/19 7.15
5/15/2022
7.15%
**
57,296

CATERPILLAR FINANCIAL SE SR UNSECURED 06/22 2.85
5/15/2022
2.85%
**
78,226

CATERPILLAR INC COMMON STOCK USD1.
 
 
**
1,494,440

CATHAY GENERAL BANCORP COMMON STOCK USD.01
 
 
**
131,367

CATO CORP CLASS A COMMON STOCK USD.033
 
 
**
94,333

CAVCO INDUSTRIES INC
 
 
**
21,058

CAVCO INDUSTRIES INC COMMON STOCK USD.01
 
 
**
1,036,626

CAVIUM INC COMMON STOCK USD.001
 
 
**
5,514,383

CBIZ INC COMMON STOCK USD.01
 
 
**
49,517

CBL + ASSOCIATES PROPERTIES REIT USD.01
 
 
**
139,472

CBS CORP CLASS B NON VOTING COMMON STOCK USD.001
 
 
**
1,753,236

CBS CORP COMPANY GUAR 01/26 4
5/15/2022
4.00%
**
28,279

CBS CORP COMPANY GUAR 08/24 3.7
5/15/2022
3.70%
**
103,086

CBS CORP COMPANY GUAR 08/44 4.9
5/15/2022
4.90%
**
10,009


37
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CCFOBHUS0 CREDIT SUISSE COC CCFOBHUS0 CREDIT SUISSE COC
4/15/2017
1.00%
**
109,000

CCFOBHUS0 CREDIT SUISSE COC CCFOBHUS0 CREDIT SUISSE COC
3/16/2021
1.00%
**
348,000

CCFOBHUS0 CREDIT SUISSE COC CCFOBHUS0 CREDIT SUISSE COC
1/14/2030
1.00%
**
38,000

CCFOBZUS0 CREDIT SUISSE CCP US CCFOBZUS0 CASH COLL CCP COC US
4/15/2017
1.00%
**
102,000

CCMACIUS9 MACQUIRE BOC CCMACIUS9 MACQUIRE BOC
4/15/2017
 
**
90,000

CCMSCZUS2 CCPC COC EQUITY MORGAN STANLEY CASH COLLATERAL
3/16/2021
 
**
1,384,000

CCO SAFARI II LLC SR SECURED 144A 07/20 3.579
3/16/2021
3.58%
**
795,207

CCO SAFARI II LLC SR SECURED 144A 07/22 4.464
3/16/2021
4.46%
**
1,096,161

CCO SAFARI II LLC SR SECURED 144A 10/35 6.384
3/16/2021
6.38%
**
1,212,397

CCSALZUS5 CITIBANK COC CCPC CCSALZUS5 CITIBANK COC CCPC
3/16/2021
1.00%
**
694,000

CCSBAN139 CYS EUR R V 03MEURIB EUR003M -20.0
3/16/2021
1.00%
**
9,338,760

CCSBAN139 CYS EUR R V 03MEURIB EUR003M -20.0
1/14/2030
1.00%
**
4,938,240

CCSBAN139 CYS USD P V 03MLIBOR US0003M
3/16/2021
1.00%
**
(9,224,898
)
CCSBAN139 CYS USD P V 03MLIBOR US0003M
1/14/2030
1.00%
**
(4,878,031
)
CCSGCG032 CYS EUR R V 03MEURIB EUR003M - 10.0
3/16/2021
1.00%
**
4,392,622

CCSGCG032 CYS USD P V 03MLIBOR US0003M
3/16/2021
1.00%
**
(4,388,022
)
CCSGCG057 CYS EUR R V 03MEURIB EUR003M -20.0
3/16/2021
1.00%
**
2,633,728

CCSGCG057 CYS USD P V 03MLIBOR US0003M
3/16/2021
1.00%
**
(2,601,616
)
CCSNN0014 CYS EUR R V 03MEURIB EUR003M- 10
3/16/2021
1.00%
**
8,894,922

CCSNN0014 CYS USD P V 03MLIBOR US0003M
3/16/2021
1.00%
**
(8,780,444
)
CCSNN0030 CYS EUR R V 03MEURIB EUR003M -20.0
3/16/2021
1.00%
**
1,733,249

CCSNN0030 CYS USD P V 03MLIBOR US0003M
3/16/2021
1.00%
**
(1,712,729
)
CCSNN0055 CYS EUR R V 03MEURIB EUR003M -10.0
3/16/2021
1.00%
**
8,115,369

CCSNN0055 CYS USD P V 03MLIBOR US0003M
3/16/2021
1.00%
**
(8,106,870
)
CCSNN0071 CYS EUR R V 03MEURIB EUR003M -10.0
3/16/2021
1.00%
**
13,177,866

CCSNN0071 CYS USD P V 03MLIBOR US0003M
3/16/2021
1.00%
**
(13,164,065
)
CCSNN0113 CYS EUR R V 03MEURIB EUR003M -10.0
3/16/2021
1.00%
**
20,096,245

CCSNN0113 CYS USD P V 03MLIBOR US0003M
3/16/2021
1.00%
**
(20,075,200
)
CDI CORP COMMON STOCK USD.1
 
 
**
13,858

CDP FINANCIAL COMPANY GUAR 144A 11/19 4.4
5/15/2022
4.40%
**
270,160

CDW CORP/DE COMMON STOCK USD.01
 
 
**
5,862,898

CEB INC COMMON STOCK USD.01
 
 
**
2,025,870

CECO ENVIRONMENTAL CORP COMMON STOCK USD.01
 
 
**
23,992

CEDAR REALTY TRUST INC REIT USD.06
 
 
**
39,188

CELADON GROUP INC COMMON STOCK USD.033
 
 
**
24,329

CELGENE CORP COMMON STOCK USD.01
 
 
**
50,570,456

CELGENE CORP SR UNSECURED 05/24 3.625
5/15/2022
3.63%
**
32,456

CELGENE CORP SR UNSECURED 08/22 3.25
5/15/2022
3.25%
**
44,643

CELGENE CORP SR UNSECURED 10/20 3.95
5/15/2022
3.95%
**
52,472

CELLTRION INC COMMON STOCK KRW1000.0
 
 
**
139,374

CEMEX SAB SPONS ADR PART CER ADR
 
 
**
81,328

CEMIG SA SPONS ADR ADR
 
 
**
14,772

CEMPRA INC COMMON STOCK USD.001
 
 
**
1,562,726

CENCOSUD SA COMMON STOCK
 
 
**
50,776

CENOVUS ENERGY INC SR UNSECURED 08/22 3
5/15/2022
3.00%
**
93,123

CENOVUS ENERGY INC SR UNSECURED 11/39 6.75
5/15/2022
6.75%
**
9,509

CENTERPOINT ENERGY RESOU SR UNSECURED 01/21 4.5
3/16/2021
4.50%
**
209,925


38
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CENTERPOINT ENERGY RESOU SR UNSECURED 01/21 4.5
5/15/2022
4.50%
**
104,962

CENTERPOINT ENERGY RESOU SR UNSECURED 01/41 5.85
5/15/2022
5.85%
**
55,228

CENTERPOINT ENERGY RESOU SR UNSECURED 05/16 6.15
11/18/2016
6.15%
**
666,946

CENTERSTATE BANKS INC COMMON STOCK USD.01
 
 
**
72,178

CENTRAL EUROPEAN MEDIA ENT A COMMON STOCK USD.08
 
 
**
33,087

CENTRAL GARDEN AND PET CO A COMMON STOCK USD.01
 
 
**
50,184

CENTRAL PACIFIC FINANCIAL CO COMMON STOCK
 
 
**
81,254

CENTURY ALUMINUM COMPANY COMMON STOCK USD.01
 
 
**
9,463

CENTURY BANCORP INC CL A COMMON STOCK USD1.
 
 
**
17,819

CEPHEID INC COMMON STOCK
 
 
**
1,223,755

CERNER CORP COMMON STOCK USD.01
 
 
**
3,664,955

CEVA INC COMMON STOCK USD.001
 
 
**
493,830

CFC LLC CFCAT 2013 2A A 144A
5/15/2022
1.75%
**
5,298

CFC LLC CFCAT 2014 2A B 144A
5/15/2022
2.64%
**
341,404

CFC LLC CFCAT 2015 1A A 144A
5/15/2022
1.88%
**
298,910

CGI GROUP INC CLASS A COMMON STOCK
 
 
**
400,375

CHALLENGER LTD COMMON STOCK
 
 
**
736,724

CHARLES SCHWAB CORP SR UNSECURED 09/22 3.225
5/15/2022
3.23%
**
35,450

CHART INDUSTRIES INC COMMON STOCK USD.01
 
 
**
34,968

CHARTER HALL RETAIL REIT REIT
 
 
**
339,889

CHASE CORP COMMON STOCK USD.1
 
 
**
37,553

CHECK POINT SOFTWARE TECH COMMON STOCK USD.01
 
 
**
2,232,788

CHECKPOINT SYSTEMS INC COMMON STOCK USD.1
 
 
**
26,992

CHEFS WAREHOUSE INC/THE COMMON STOCK USD.01
 
 
**
35,895

CHEMICAL FINANCIAL CORP COMMON STOCK USD1.
 
 
**
112,406

CHEMTURA CORP COMMON STOCK USD.01
 
 
**
231,986

CHEMUNG FINANCIAL CORP COMMON STOCK USD.01
 
 
**
14,134

CHESAPEAKE ENERGY CORP COMPANY GUAR 04/19 VAR
4/15/2017
3.57%
**
168,000

CHESAPEAKE LODGING TRUST REIT USD.01
 
 
**
95,407

CHESAPEAKE UTILITIES CORP
 
 
**
1,260,587

CHEUNG KONG INFRASTRUCTURE COMMON STOCK HKD1.0
 
 
**
74,011

CHEUNG KONG PROPERTY HOLDING COMMON STOCK HKD1.0
 
 
**
271,753

CHEVRON CORP COMMON STOCK USD.75
 
 
**
28,118,347

CHICAGO BRIDGE + IRON CO NV COMMON STOCK EUR.01
 
 
**
352,275

CHICAGO IL CHI 01/33 FIXED OID 7.375
1/14/2030
7.38%
**
211,344

CHICAGO IL CHI 01/42 FIXED OID 7.75
1/14/2030
7.75%
**
404,796

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.2
3/16/2021
6.20%
**
10,850

CHICO S FAS INC COMMON STOCK USD.01
 
 
**
99,700

CHICOPEE BANCORP INC COMMON STOCK
 
 
**
12,103

CHILDREN S PLACE INC/THE COMMON STOCK USD.1
 
 
**
2,087,112

CHILEAN PESO
 
 
**
31,357

CHINA AGRI INDUSTRIES HLDGS COMMON STOCK
 
 
**
67,957

CHINA AIRLINES LTD COMMON STOCK TWD10.
 
 
**
296,283

CHINA BLUECHEMICAL LTD H COMMON STOCK HKD1.
 
 
**
136,126

CHINA CINDA ASSET MANAGEME H COMMON STOCK CNY1.0
 
 
**
343,364

CHINA CITIC BANK CORP LTD H COMMON STOCK CNY1.0
 
 
**
196,262

CHINA COMMUNICATIONS CONST H COMMON STOCK CNY1.0
 
 
**
15,309


39
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CHINA CONSTRUCTION BANK H COMMON STOCK CNY1.0
 
 
**
966,744

CHINA DEVELOPMENT FINANCIAL COMMON STOCK TWD10.
 
 
**
75,167

CHINA EVERBRIGHT INTL LTD COMMON STOCK
 
 
**
51,354

CHINA GALAXY SECURITIES CO H COMMON STOCK CNY1.
 
 
**
74,310

CHINA LIFE INSURANCE CO H COMMON STOCK CNY1.0
 
 
**
197,557

CHINA LIFE INSURANCE CO LTD COMMON STOCK TWD10.
 
 
**
412,032

CHINA LONGYUAN POWER GROUP H COMMON STOCK CNY1.0
 
 
**
20,380

CHINA MENGNIU DAIRY CO COMMON STOCK HKD.1
 
 
**
212,022

CHINA MERCHANTS HLDGS INTL COMMON STOCK
 
 
**
63,612

CHINA MOBILE LTD SPON ADR ADR
 
 
**
1,144,006

CHINA OVERSEAS LAND + INVEST COMMON STOCK
 
 
**
356,664

CHINA RESOURCES LAND LTD COMMON STOCK HKD.1
 
 
**
256,614

CHINA SHENHUA ENERGY CO H COMMON STOCK CNY1.0
 
 
**
159,778

CHINA SOUTHERN AIRLINES CO H COMMON STOCK CNY1.0
 
 
**
131,172

CHINA TAIPING INSURANCE HOLD COMMON STOCK
 
 
**
260,045

CHINA TELECOM CORP LTD H COMMON STOCK CNY1.0
 
 
**
86,419

CHINA VANKE CO LTD H COMMON STOCK CNY1.0
 
 
**
117,600

CHIPBOND TECHNOLOGY CORP COMMON STOCK TWD10.
 
 
**
162,134

CHIYODA CORP COMMON STOCK
 
 
**
107,419

CHONGQING RURAL COMMERCIAL H COMMON STOCK CNY1.0
 
 
**
85,508

CHRISTOPHER + BANKS CORP COMMON STOCK USD.01
 
 
**
5,919

CHUBB CORP COMMON STOCK USD1.
 
 
**
5,151,738

CHUBB CORP COMPANY GUAR 05/18 5.75
5/15/2022
5.75%
**
70,748

CHUBB INA HOLDINGS INC COMPANY GUAR 02/17 5.7
5/15/2022
5.70%
**
68,013

CHUBB INA HOLDINGS INC COMPANY GUAR 03/23 2.7
5/15/2022
2.70%
**
78,147

CHUBB LTD COMMON STOCK
 
 
**
5,991,250

CHURCHILL DOWNS INC COMMON STOCK
 
 
**
26,600

CHUY S HOLDINGS INC COMMON STOCK USD.01
 
 
**
481,226

CIA ENERGETICA DE SP PREF B PREFERENCE
 
 
**
15,242

CIBER INC COMMON STOCK USD.01
 
 
**
25,184

CIENA CORP COMMON STOCK USD.01
 
 
**
7,429,572

CIMAREX ENERGY CO COMMON STOCK USD.01
 
 
**
1,403,266

CIMC ENRIC HOLDINGS LTD COMMON STOCK HKD.01
 
 
**
100,979

CIMIC GROUP LTD COMMON STOCK
 
 
**
419,339

CIPLA LTD COMMON STOCK INR2.
 
 
**
310,198

CIRCOR INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
1,509,687

CIRRUS LOGIC INC COMMON STOCK USD.001
 
 
**
168,055

CISCO SYSTEMS INC COMMON STOCK USD.001
 
 
**
42,872,178

CISCO SYSTEMS INC SR UNSECURED 01/20 4.45
5/15/2022
4.45%
**
27,201

CISCO SYSTEMS INC SR UNSECURED 03/24 3.625
5/15/2022
3.63%
**
250,386

CISCO SYSTEMS INC SR UNSECURED 06/20 2.45
5/15/2022
2.45%
**
25,237

CIT GROUP INC COMMON STOCK USD.01
 
 
**
40,573

CIT GROUP INC SR UNSECURED 05/17 5
4/15/2017
5.00%
**
618,000

CITI TRENDS INC COMMON STOCK USD.01
 
 
**
32,661

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A2 A2
11/18/2016
1.02%
**
2,447,428

CITIC TELECOM INTERNATIONAL COMMON STOCK
 
 
**
346,724

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 SHP2 A 144A
1/14/2030
1.48%
**
1,301,647


40
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CITIGROUP INC COMMON STOCK USD.01
 
 
**
29,940,170

CITIGROUP INC SR UNSECURED 04/18 VAR
3/16/2021
1.01%
**
1,792,719

CITIGROUP INC SR UNSECURED 04/25 3.3
5/15/2022
3.30%
**
132,583

CITIGROUP INC SR UNSECURED 10/20 2.65
4/15/2017
2.65%
**
99,192

CITIGROUP INC SR UNSECURED 10/23 3.875
5/15/2022
3.88%
**
428,869

CITIGROUP INC SUBORDINATED 09/25 5.5
5/15/2022
5.50%
**
124,832

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 RES1 M1
1/14/2030
1.20%
**
940,399

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2
4/15/2017
2.42%
**
127,385

CITIZENS FINANCIAL GROUP COMMON STOCK USD.01
 
 
**
6,095,408

CITIZENS HOLDING COMPANY COMMON STOCK USD.2
 
 
**
14,637

CITIZENS INC COMMON STOCK
 
 
**
37,313

CITY HOLDING CO COMMON STOCK USD2.5
 
 
**
70,149

CIVEO CORP COMMON STOCK USD.01
 
 
**
9,751

CJ CHEILJEDANG CORP COMMON STOCK KRW5000.
 
 
**
62,458

CJ CORP COMMON STOCK KRW5000.
 
 
**
72,353

CK HUTCHISON HOLDINGS LTD COMMON STOCK HKD1.0
 
 
**
101,300

CLARCOR INC COMMON STOCK USD1.
 
 
**
2,285,280

CLAYTON WILLIAMS ENERGY INC COMMON STOCK USD.1
 
 
**
26,643

CLEAN ENERGY FUELS CORP COMMON STOCK USD.0001
 
 
**
21,769

CLEAN HARBORS INC COMMON STOCK USD.01
 
 
**
213,456

CLEARWATER PAPER CORP COMMON STOCK USD.0001
 
 
**
88,647

CLICKS GROUP LTD COMMON STOCK ZAR.01
 
 
**
212,772

CLIFTON BANCORP INC COMMON STOCK USD.01
 
 
**
39,679

CLOUD PEAK ENERGY INC COMMON STOCK USD.01
 
 
**
8,528

CLP HOLDINGS LTD COMMON STOCK
 
 
**
246,963

CLUBCORP HOLDINGS INC COMMON STOCK USD.01
 
 
**
707,378

CME GROUP INC SR UNSECURED 09/22 3
5/15/2022
3.00%
**
70,452

CMS ENERGY CORP COMMON STOCK USD.01
 
 
**
3,429,188

CNA FINANCIAL CORP SR UNSECURED 05/24 3.95
5/15/2022
3.95%
**
74,662

CNB FINANCIAL CORP/PA COMMON STOCK
 
 
**
25,873

CNH INDUSTRIAL NV COMMON STOCK EUR.01
 
 
**
2,792,259

CNO FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
3,014,120

CNOOC FINANCE 2013 LTD COMPANY GUAR 05/16 1.125
1/14/2030
1.13%
**
499,159

CNOOC FINANCE 2014 ULC COMPANY GUAR 04/24 4.25
3/16/2021
4.25%
**
3,023,772

CNOOC LTD COMMON STOCK
 
 
**
226,997

CNP ASSURANCES COMMON STOCK EUR1.
 
 
**
535,070

CNPC GENERAL CAPITAL LTD COMPANY GUAR 144A 05/19 2.75
3/16/2021
2.75%
**
499,195

CO OP GRP HLDS COMPANY GUAR REGS 07/20 VAR
3/16/2021
6.88%
**
1,282,336

COBALT CMBS COMMERCIAL MORTGAG CWCI 2006 C1 A4
5/15/2022
5.22%
**
118,275

COBIZ FINANCIAL INC COMMON STOCK USD.01
 
 
**
2,659,455

COCA COLA BOTTLING CO CONSOL COMMON STOCK USD1.
 
 
**
130,860

COCA COLA EAST JAPAN CO LTD COMMON STOCK
 
 
**
720,838

COCA COLA HBC AG DI COMMON STOCK CHF6.7
 
 
**
167,087

COCA COLA ICECEK AS COMMON STOCK TRY1.0
 
 
**
178,139

CODORUS VALLEY BANCORP INC COMMON STOCK USD2.5
 
 
**
13,241

COEUR MINING INC COMMON STOCK USD.01
 
 
**
17,286

COGENT COMMUNICATIONS HOLDIN COMMON STOCK USD.001
 
 
**
2,118,518


41
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

COGNIZANT TECH SOLUTIONS A COMMON STOCK USD.01
 
 
**
18,775,576

COHERENT INC COMMON STOCK USD.01
 
 
**
160,171

COHU INC COMMON STOCK USD1.
 
 
**
30,923

COLUMBIA BANKING SYSTEM INC COMMON STOCK
 
 
**
166,614

COLUMBIA SPORTSWEAR CO COMMON STOCK
 
 
**
1,160,773

COLUMBUS MCKINNON CORP/NY COMMON STOCK USD.01
 
 
**
36,798

COMCAST CORP CLASS A COMMON STOCK USD.01
 
 
**
27,032,058

COMCAST CORP COMPANY GUAR 08/34 4.2
5/15/2022
4.20%
**
96,087

COMERICA INC COMMON STOCK USD5.
 
 
**
96,418

COMFORT SYSTEMS USA INC COMMON STOCK USD.01
 
 
**
104,870

COMFORTDELGRO CORP LTD COMMON STOCK
 
 
**
90,297

COMM MORTGAGE TRUST COMM 2015 DC1 ASB
1/14/2030
3.14%
**
1,104,197

COMMERCIAL METALS CO COMMON STOCK USD.01
 
 
**
144,525

COMMERZBANK FINANCE + CO COVERED 06/18 4.25
3/16/2021
4.25%
**
2,237,793

COMMSCOPE HOLDING CO INC COMMON STOCK USD.01
 
 
**
1,177,995

COMMUNITY BANK SYSTEM INC COMMON STOCK USD1.
 
 
**
155,566

COMMUNITY HEALTH SYSTEMS INC COMMON STOCK USD.01
 
 
**
307,270

COMMUNITY OF MADRID SPAI SR UNSECURED REGS 04/25 1.826
3/16/2021
1.83%
**
107,110

COMMUNITY TRUST BANCORP INC COMMON STOCK USD5.
 
 
**
60,900

COMPAL ELECTRONICS COMMON STOCK TWD10.
 
 
**
259,643

COMPASS GROUP PLC COMMON STOCK GBP.10624
 
 
**
(115,648
)
COMPASS GROUP PLC COMMON STOCK GBP.10625
 
 
**
9,486,200

COMPUTER SCIENCES CORP COMMON STOCK USD1.
 
 
**
2,978,128

COMPUTER TASK GROUP INC COMMON STOCK USD.01
 
 
**
8,143

COMPUTERSHARE LTD COMMON STOCK
 
 
**
33,352

COMSTOCK RESOURCES INC COMMON STOCK USD.5
 
 
**
5,941

COMTECH TELECOMMUNICATIONS COMMON STOCK USD.1
 
 
**
32,948

COMUNIDAD DE MADRID SR UNSECURED 03/20 4.688
3/16/2021
4.69%
**
879,109

CON EDISON INC
11/18/2016
0.65%
**
5,999,766

CONCHO RESOURCES INC COMMON STOCK USD.001
 
 
**
3,806,146

CONMED CORP COMMON STOCK USD.01
 
 
**
2,239,150

CONN S INC COMMON STOCK USD.01
 
 
**
50,507

CONNECTONE BANCORP INC COMMON STOCK
 
 
**
3,570

CONOCOPHILLIPS CANADA COMPANY GUAR 10/16 5.625
5/15/2022
5.63%
**
211,737

CONOCOPHILLIPS COMPANY GUAR 02/39 6.5
5/15/2022
6.50%
**
84,304

CONOCOPHILLIPS HLDG CO SR UNSECURED 04/29 6.95
5/15/2022
6.95%
**
103,085

CONS TOMOKA LAND CO FLORIDA COMMON STOCK USD1.
 
 
**
32,417

CONSOLIDATED COMMUNICATIONS COMMON STOCK USD.01
 
 
**
13,680

CONSOLIDATED EDISON CO O SR UNSECURED 03/42 4.2
5/15/2022
4.20%
**
76,721

CONSOLIDATED WATER CO ORD SH COMMON STOCK USD.6
 
 
**
17,564

CONSTELLATION ENERGY GRO COMPANY GUAR 12/20 5.15
5/15/2022
5.15%
**
86,860

CONSTELLATION SOFTWARE INC COMMON STOCK
 
 
**
1,873,791

CONSUMER CREDIT ORIGINATION LO CCOLT 2015 1 A 144A
5/15/2022
0.01%
**
148,899

CONSUMER PORTFOLIO SERVICES COMMON STOCK
 
 
**
12,767

CONSUMERS ENERGY CO 1ST MORTGAGE 04/20 5.65
5/15/2022
5.65%
**
33,826

CONSUMERS ENERGY CO 1ST MORTGAGE 05/22 2.85
5/15/2022
2.85%
**
89,103

CONTANGO OIL + GAS COMMON STOCK USD.04
 
 
**
11,166


42
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CONTINENTAL BUILDING PRODUCT COMMON STOCK USD.001
 
 
**
14,858

CONTL AIRLINES 2012 2 A PASS THRU CE 04/26 4
5/15/2022
4.00%
**
13,791

COOPER STANDARD HOLDING COMMON STOCK USD.001
 
 
**
119,256

COOPER TIRE + RUBBER COMMON STOCK USD1.
 
 
**
232,778

COOPERATIEVE RABOBANK UA COMPANY GUAR 02/22 3.875
5/15/2022
3.88%
**
153,031

COOPERATIEVE RABOBANK UA COMPANY GUAR 11/22 3.95
5/15/2022
3.95%
**
253,056

COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 07/49 VAR
3/16/2021
8.38%
**
1,335,745

COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 11/49 VAR
3/16/2021
8.40%
**
3,437,984

COPA HOLDINGS SA CLASS A COMMON STOCK
 
 
**
138,506

COPPER MOUNTAIN MINING CORP COMMON STOCK
 
 
**
24,187

CORE MARK HOLDING CO INC COMMON STOCK USD.01
 
 
**
11,799

CORE MOLDING TECHNOLOGIES IN COMMON STOCK USD.01
 
 
**
10,521

CORELOGIC INC COMMON STOCK USD1.
 
 
**
2,068,541

CORNERSTONE ONDEMAND INC COMMON STOCK USD.0001
 
 
**
3,249,273

CORNING INC COMMON STOCK USD.5
 
 
**
10,284,968

CORPORATE OFFICE PROPERTIES REIT USD.01
 
 
**
132,006

COSTAR GROUP INC COMMON STOCK USD.01
 
 
**
6,590,311

COSTCO WHOLESALE CORP COMMON STOCK USD.005
 
 
**
7,980,361

COTY INC CL A COMMON STOCK USD.01
 
 
**
1,714,647

COUNTRY GARDEN HOLDINGS CO COMMON STOCK HKD.1
 
 
**
29,543

COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 MV2
1/14/2030
0.70%
**
888,633

COUSINS PROPERTIES INC REIT USD1.
 
 
**
142,082

COVANTA HOLDING CORP COMMON STOCK USD.1
 
 
**
196,878

COVENANT TRANSPORT GRP CL A COMMON STOCK USD.01
 
 
**
23,235

COWAY CO LTD COMMON STOCK KRW500.0
 
 
**
269,324

COX COMMUNICATIONS INC SR UNSECURED 144A 01/19 9.375
5/15/2022
9.38%
**
75,311

COX COMMUNICATIONS INC SR UNSECURED 144A 02/35 4.8
5/15/2022
4.80%
**
49,636

CPS AUTO TRUST CPS 2012 D A 144A
5/15/2022
1.48%
**
27,038

CPS AUTO TRUST CPS 2013 C A 144A
5/15/2022
1.64%
**
110,854

CPS AUTO TRUST CPS 2013 D A 144A
5/15/2022
1.54%
**
181,350

CPS AUTO TRUST CPS 2014 A A 144A
5/15/2022
1.21%
**
75,447

CRAFT BREW ALLIANCE INC COMMON STOCK USD.005
 
 
**
15,443

CRANE CO COMMON STOCK USD1.
 
 
**
29,852

CRED SUIS GP FUN LTD COMPANY GUAR 144A 03/25 3.75
5/15/2022
3.75%
**
241,821

CRED SUIS GP FUN LTD COMPANY GUAR 144A 12/20 3.125
1/14/2030
3.13%
**
497,729

CREDICORP LTD COMMON STOCK USD5.
 
 
**
97,320

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2015 2A A 144A
5/15/2022
2.40%
**
672,635

CREDIT AGRICOLE
11/18/2016
0.87%
**
15,979,300

CREDIT AGRICOLE LONDON SR UNSECURED 144A 04/19 VAR
1/14/2030
1.12%
**
2,386,322

CREDIT AGRICOLE LONDON SR UNSECURED 144A 06/17 VAR
4/15/2017
1.05%
**
797,690

CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR
3/16/2021
7.88%
**
1,124,750

CREDIT AGRICOLE SA SUBORDINATED 144A 09/33 VAR
3/16/2021
8.13%
**
551,064

CREDIT AGRICOLE SA SUBORDINATED REGS 09/33 VAR
3/16/2021
8.13%
**
881,702

CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR
1/14/2030
6.25%
**
799,398

CREDIT SUISSE GROUP AG REG COMMON STOCK CHF.04
 
 
**
664,221

CREDIT SUISSE NY
11/18/2016
0.88%
**
7,696,945



43
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CREDIT SUISSE SEC LLC COC CREDIT SUISSE SEC FUTURES COC
4/15/2017
 
**
1,252,000

CREDIT SUISSE SEC LLC COC CREDIT SUISSE SEC FUTURES COC
1/14/2030
 
**
376,000

CREDIT SUISSE SUBORDINATED REGS 08/23 6.5
3/16/2021
6.50%
**
646,500

CREE INC COMMON STOCK USD.00125
 
 
**
218,267

CRESCENT POINT ENERGY CORP COMMON STOCK
 
 
**
63,826

CREW ENERGY INC COMMON STOCK
 
 
**
108,167

CRITEO SA SPON ADR ADR EUR.025
 
 
**
12,921,718

CROCS INC COMMON STOCK USD.001
 
 
**
64,205

CROWN CASTLE INTL CORP REIT USD.01
 
 
**
35,627,255

CROWN HOLDINGS INC COMMON STOCK USD5.
 
 
**
2,627,426

CRUDE OIL FUT OPT MAR16C 45 EXP 02/17/2016
4/15/2017
 
**
2,300

CRYOLIFE INC COMMON STOCK USD.01
 
 
**
29,828

CSFB CASH COLL CCP CSFB CASH COLL CCFOBCUS1
4/15/2017
1%
**
963,000

CSFB CASH COLL CCP CSFB CASH COLL CCFOBCUS1
3/16/2021
1%
**
172,000

CSFB CASH COLL CCP CSFB CASH COLL CCFOBCUS1
1/14/2030
1%
**
491,000

CSG GUERNSEY I LTD COMPANY GUAR REGS 02/41 VAR
3/16/2021
7.88%
**
1,648,000

CSG SYSTEMS INTL INC COMMON STOCK USD.01
 
 
**
94,232

CSN ISLANDS XI CORP COMPANY GUAR 144A 09/19 6.875
3/16/2021
6.88%
**
36,400

CSN ISLANDS XI CORP COMPANY GUAR REGS 09/19 6.875
3/16/2021
6.88%
**
20,800

CSRA INC COMMON STOCK USD.001
 
 
**
3,052,200

CTBC FINANCIAL HOLDING CO LT COMMON STOCK TWD10.
 
 
**
269,923

CTRIP.COM INTERNATIONAL ADR ADR USD.01
 
 
**
102,065

CUBESMART REIT USD.01
 
 
**
298,147

CUBIC CORP COMMON STOCK
 
 
**
121,055

CULP INC COMMON STOCK USD.05
 
 
**
31,328

CUMMINS INC COMMON STOCK USD2.5
 
 
**
8,446,936

CUMULUS MEDIA INC CL A COMMON STOCK USD.01
 
 
**
5,109

CURTISS WRIGHT CORP COMMON STOCK USD1.
 
 
**
2,407,090

CUSTOMERS BANCORP INC COMMON STOCK USD1.0
 
 
**
72,541

CVB FINANCIAL CORP COMMON STOCK
 
 
**
173,430

CVENT INC COMMON STOCK USD.001
 
 
**
1,037,351

CVR ENERGY INC COMMON STOCK USD.01
 
 
**
149,215

CVS HEALTH CORP COMMON STOCK USD.01
 
 
**
12,336,521

CVS HEALTH CORP SR UNSECURED 05/20 4.75
5/15/2022
4.75%
**
107,666

CVS HEALTH CORP SR UNSECURED 12/18 2.25
5/15/2022
2.25%
**
65,314

CVS HEALTH CORP SR UNSECURED 12/22 2.75
5/15/2022
2.75%
**
97,431

CYBERARK SOFTWARE LTD/ISRAEL COMMON STOCK ILS.01
 
 
**
1,354,877

CYNOSURE INC A COMMON STOCK USD.001
 
 
**
96,130

CYPRESS SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
**
1,935,974

CYRUSONE INC REIT USD.01
 
 
**
84,450

CZECH KORUNA
3/16/2021
 
**
4,384

CZECH REPUBLIC BONDS REGS 10/16 VAR
3/16/2021
0.37%
**
2,541,171

D+L INDUSTRIES INC COMMON STOCK PHP1.0
 
 
**
384,279

DAELIM INDUSTRIAL CO LTD COMMON STOCK KRW5000.
 
 
**
41,088

DAEWOO SECURITIES CO LTD COMMON STOCK KRW5000.
 
 
**
57,496

DAH CHONG HONG COMMON STOCK
 
 
**
166,061

DAH SING FINANCIAL HOLDINGS COMMON STOCK
 
 
**
401,992


44
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

DAI ICHI LIFE INSURANCE COMMON STOCK
 
 
**
685,128

DAIICHI SANKYO CO LTD COMMON STOCK
 
 
**
3,498,777

DAIICHIKOSHO CO LTD COMMON STOCK
 
 
**
738,954

DAIMLER AG REGISTERED SHARES COMMON STOCK
 
 
**
519,304

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/19 2.25
5/15/2022
2.25%
**
172,704

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/16 1.45
11/18/2016
1.45%
**
2,325,085

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 VAR
11/18/2016
0.67%
**
2,610,326

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 VAR
11/18/2016
1.04%
**
425,764

DAIRY CREST GROUP PLC COMMON STOCK GBP.25
 
 
**
550,096

DAITO TRUST CONSTRUCT CO LTD COMMON STOCK
 
 
**
128,110

DAIWA HOUSE INDUSTRY CO LTD COMMON STOCK
 
 
**
174,720

DAIWA OFFICE INVESTMENT CORP REIT
 
 
**
641,523

DAIWA SECURITIES GROUP INC COMMON STOCK
 
 
**
105,255

DAKTRONICS INC COMMON STOCK
 
 
**
14,135

DALIAN WANDA COMMERCIAL PR H COMMON STOCK CNY1.0
 
 
**
99,366

DANA HOLDING CORP COMMON STOCK USD.01
 
 
**
1,269,945

DANAHER CORP SR UNSECURED 06/21 3.9
5/15/2022
3.9%
**
74,401

DANAHER CORP W/D COMMON STOCK USD.01
 
 
**
7,403,372

DANISH KRONE
3/16/2021
 
**
666

DANISH KRONE
1/14/2030
 
**
581

DANISH KRONE
 
 
**
82,162

DANONE COMMON STOCK EUR.25
 
 
**
6,786,517

DANONE SPONS ADR ADR
 
 
**
3,765,588

DARLING INGREDIENTS INC COMMON STOCK USD.01
 
 
**
1,350,821

DASSAULT SYSTEMES SA COMMON STOCK EUR.5
 
 
**
2,058,302

DATALINK CORP COMMON STOCK USD.001
 
 
**
15,334

DBS GROUP HOLDINGS LTD COMMON STOCK
 
 
**
3,897,660

DBUBS MORTGAGE TRUST DBUBS 2011 LC2A A2 144A
4/15/2017
3.39%
**
219,934

DBUBS MORTGAGE TRUST DBUBS 2011 LC2A XA 144A
5/15/2022
1.56%
**
55,350

DBV TECHNOLOGIES SA SPON ADR
 
 
**
722,740

DCC PLC COMMON STOCK EUR.25
 
 
**
375,402

DCT INDUSTRIAL TRUST INC REIT USD.01
 
 
**
127,058

DDR CORP REIT USD.1
 
 
**
142,719

DE LONGHI SPA COMMON STOCK EUR1.5
 
 
**
706,361

DEAN FOODS CO COMMON STOCK USD.01
 
 
**
154,693

DECKERS OUTDOOR CORP COMMON STOCK USD.01
 
 
**
129,894

DEERE + CO COMMON STOCK USD1.
 
 
**
1,311,386

DEERE + COMPANY SR UNSECURED 06/22 2.6
5/15/2022
2.6%
**
69,020

DEL FRISCO S RESTAURANT GROU COMMON STOCK USD.001
 
 
**
32,841

DELEK US HOLDINGS INC COMMON STOCK USD.01
 
 
**
148,756

DELHAIZE GROUP COMMON STOCK
 
 
**
156,257

DELL EQUIPMENT FINANCE TRUST DEFT 2015 2 A1 144A
1/14/2030
0.6%
**
372,689

DELPHI AUTOMOTIVE PLC COMMON STOCK USD.01
 
 
**
6,440,061

DELTA AIR LINES INC COMMON STOCK USD.0001
 
 
**
8,497,165

DELTA ELECTRONICS THAI NVDR NVDR THB1.0
 
 
**
165,181

DEMAND MEDIA INC COMMON STOCK USD.0001
 
 
**
10,709

DENBURY RESOURCES INC COMMON STOCK USD.001
 
 
**
46,171


45
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

DENSO CORP COMMON STOCK
 
 
**
6,248,685

DENTSPLY INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
6,513,688

DEPFA ACS BANK COVERED REGS 03/17 5.75
3/16/2021
5.75%
**
419,818

DEPOSITORY TRUST + CLEAR JR SUB DEBS 144A 12/49 VAR
1/14/2030
4.88%
**
744,375

DESTINATION MATERNITY CORP COMMON STOCK USD.01
 
 
**
8,040

DETOUR GOLD CORP COMMON STOCK
 
 
**
137,969

DEUTSCHE BANK AG LONDON SR UNSECURED 02/18 1.875
5/15/2022
1.88%
**
13,881

DEUTSCHE BANK AG LONDON SR UNSECURED 05/24 3.7
5/15/2022
3.7%
**
46,811

DEUTSCHE BANK AG REGISTERED COMMON STOCK
 
 
**
206,762

DEUTSCHE BANK AG SR UNSECURED 08/20 2.95
5/15/2022
2.95%
**
240,355

DEUTSCHE BOERSE AG COMMON STOCK
 
 
**
169,843

DEUTSCHE LUFTHANSA REG COMMON STOCK
 
 
**
1,410,686

DEUTSCHE TELEKOM AG REG COMMON STOCK
 
 
**
545,089

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 03/16 5.75
11/18/2016
5.75%
**
618,993

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 144A 04/16 3.125
11/18/2016
3.13%
**
2,378,904

DEUTSCHE WOHNEN AG BR COMMON STOCK
 
 
**
200,344

DEUTSCHLAND I/L BOND BONDS REGS 04/20 1.75
3/16/2021
1.75%
**
39,357

DEUTZ AG COMMON STOCK
 
 
**
327,980

DEVRY EDUCATION GROUP INC COMMON STOCK USD.01
 
 
**
28,094

DEXCOM INC COMMON STOCK USD.001
 
 
**
381,490

DEXIA CREDIT LOCAL GOVT LIQUID REGS 01/21 2
3/16/2021
2%
**
2,451,973

DEXUS PROPERTY GROUP REIT
 
 
**
72,584

DGB FINANCIAL GROUP INC COMMON STOCK KRW5000.
 
 
**
76,694

DHI GROUP INC COMMON STOCK USD.01
 
 
**
34,213

DHT HOLDINGS INC COMMON STOCK USD.01
 
 
**
67,996

DIAGEO INVESTMENT CORP COMPANY GUAR 05/22 2.875
5/15/2022
2.88%
**
79,295

DIAGEO PLC COMMON STOCK
 
 
**
3,678,028

DIAGEO PLC SPONSORED ADR ADR
 
 
**
6,566,887

DIAMOND FOODS INC COMMON STOCK USD.001
 
 
**
17,810

DIAMOND OFFSHORE DRILL SR UNSECURED 11/43 4.875
5/15/2022
4.88%
**
78,314

DIAMOND OFFSHORE DRILLING COMMON STOCK USD.01
 
 
**
195,724

DIAMOND RESORTS INTERNATIONA COMMON STOCK USD.01
 
 
**
684,357

DIAMONDROCK HOSPITALITY CO REIT USD.01
 
 
**
129,571

DIGI INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
25,662

DIGITAL REALTY TRUST LP COMPANY GUAR 07/22 3.95
1/14/2030
3.95%
**
595,801

DIGITALGLOBE INC COMMON STOCK USD.001
 
 
**
110,873

DILLARDS INC CL A COMMON STOCK
 
 
**
249,172

DIME COMMUNITY BANCSHARES COMMON STOCK USD.01
 
 
**
66,322

DINEEQUITY INC COMMON STOCK USD.01
 
 
**
77,219

DIODES INC COMMON STOCK USD.667
 
 
**
105,984

DIPLOMAT PHARMACY INC COMMON STOCK
 
 
**
1,402,438

DIRECT LINE INSURANCE GROUP COMMON STOCK GBP.1090909
 
 
**
1,622,355

DIRECTV HOLDINGS/FING COMPANY GUAR 02/21 4.6
5/15/2022
4.6%
**
105,917

DIRECTV HOLDINGS/FING COMPANY GUAR 03/22 3.8
5/15/2022
3.8%
**
176,107

DIRECTV HOLDINGS/FING COMPANY GUAR 03/41 6.375
5/15/2022
6.38%
**
53,666

DISCO CORP COMMON STOCK
 
 
**
3,565,817

DISCOVERY COMMUNICATIONS A COMMON STOCK USD.01
 
 
**
5,539,462


46
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

DISCOVERY COMMUNICATIONS C COMMON STOCK USD.01
 
 
**
15,406,646

DISCOVERY COMMUNICATIONS COMPANY GUAR 05/22 3.3
5/15/2022
3.3%
**
56,566

DISCOVERY COMMUNICATIONS COMPANY GUAR 05/42 4.95
5/15/2022
4.95%
**
41,890

DIVERSIFIED REAL ASSET FUND WELLINGTON
 
 
**
228,753,678

DIVI S LABORATORIES LTD COMMON STOCK INR2.
 
 
**
41,411

DNB BOLIGKREDITT AS COVERED 144A 03/16 2.9
3/16/2021
2.9%
**
923,312

DOCTOR REDDY S LAB ADR ADR
 
 
**
752,166

DOLLAR GENERAL CORP COMMON STOCK USD.875
 
 
**
6,893,770

DOLLARAMA INC COMMON STOCK
 
 
**
840,950

DOMINION DIAMOND CORP COMMON STOCK
 
 
**
37,851

DOMINION DIAMOND CORP COMMON STOCK
 
 
**
139,456

DOMINION RESOURCES INC SR UNSECURED 03/21 4.45
5/15/2022
4.45%
**
84,655

DOMINION RESOURCES INC SR UNSECURED 05/16 VAR
11/18/2016
1.11%
**
1,686,984

DOMINION RESOURCES INC SR UNSECURED 06/18 6.4
5/15/2022
6.4%
**
87,591

DOMTAR CORP COMMON STOCK USD.01
 
 
**
161,398

DON QUIJOTE HOLDINGS CO LTD COMMON STOCK
 
 
**
309,177

DONEGAL GROUP INC CL A COMMON STOCK USD.01
 
 
**
30,300

DONGFENG MOTOR GRP CO LTD H COMMON STOCK CNY1.0
 
 
**
375,735

DONGSUNG FINETEC CO LTD COMMON STOCK KRW500.
 
 
**
199,930

DORMAN PRODUCTS INC COMMON STOCK USD.01
 
 
**
910,949

DOUGLAS DYNAMICS INC COMMON STOCK USD.01
 
 
**
47,513

DOUGLAS EMMETT INC REIT USD.01
 
 
**
3,036,527

DOW CHEMICAL CO/THE SR UNSECURED 11/21 4.125
5/15/2022
4.13%
**
157,259

DOW CHEMICAL CO/THE SR UNSECURED 11/22 3
5/15/2022
3%
**
148,384

DOWA HOLDINGS CO LTD COMMON STOCK
 
 
**
699,081

DR PEPPER SNAPPLE GROUP COMPANY GUAR 01/20 2
5/15/2022
2%
**
24,429

DREW INDUSTRIES INC COMMON STOCK USD.01
 
 
**
888,629

DRIL QUIP INC COMMON STOCK USD.01
 
 
**
43,653

DSP GROUP INC COMMON STOCK USD.001
 
 
**
21,287

DSW INC CLASS A COMMON STOCK
 
 
**
69,480

DT AUTO OWNER TRUST DTAOT 2014 3A A 144A
5/15/2022
0.98%
**
372,414

DTE ELECTRIC CO GENL REF MOR 06/22 2.65
5/15/2022
2.65%
**
186,971

DTS INC COMMON STOCK USD.0001
 
 
**
9,032

DU PONT (E.I.) DE NEMOURS COMMON STOCK USD.3
 
 
**
4,372,556

DUCOMMUN INC COMMON STOCK USD.01
 
 
**
18,280

DUFRY AG REG COMMON STOCK CHF5.0
 
 
**
851,029

DUKE ENERGY CAROLINAS 1ST MORTGAGE 06/20 4.3
5/15/2022
4.3%
**
108,235

DUKE ENERGY CORP COMMON STOCK USD.001
 
 
**
3,800,946

DUKE ENERGY CORP SR UNSECURED 09/19 5.05
5/15/2022
5.05%
**
87,024

DUKE ENERGY CORP SR UNSECURED 11/16 2.15
5/15/2022
2.15%
**
80,480

DUKE REALTY CORP REIT USD.01
 
 
**
193,594

DUN + BRADSTREET CORP COMMON STOCK USD.01
 
 
**
2,234,495

DUNKIN BRANDS GROUP INC COMMON STOCK USD.001
 
 
**
2,623,544

DUPONT FABROS TECHNOLOGY REIT USD.001
 
 
**
94,480

DXP ENTERPRISES INC COMMON STOCK USD.01
 
 
**
15,185

DYAX CORP COMMON STOCK USD.01
 
 
**
472,357

DYCOM INDUSTRIES INC COMMON STOCK USD.333
 
 
**
200,785


47
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

DYNAMIC MATERIALS CORP COMMON STOCK USD.05
 
 
**
8,598

DYNEGY INC COMPANY GUAR 11/19 6.75
1/14/2030
6.75%
**
752,000

E TRADE FINANCIAL CORP COMMON STOCK USD.01
 
 
**
901,649

EAGLE BANCORP INC COMMON STOCK USD.01
 
 
**
2,542,931

EAGLE PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
2,078,425

EAST WEST BANCORP INC COMMON STOCK USD.001
 
 
**
960,950

EASTGROUP PROPERTIES INC REIT
 
 
**
1,605,016

EASTMAN KODAK CO COMMON STOCK USD.01
 
 
**
14,860

EASYJET PLC COMMON STOCK GBP.2728571
 
 
**
356,324

EATON CORP PLC COMMON STOCK USD.01
 
 
**
3,866,624

EBAY INC COMMON STOCK USD.001
 
 
**
19,292,197

EBAY INC SR UNSECURED 07/42 4
5/15/2022
4%
**
59,268

EBIX INC COMMON STOCK USD.1
 
 
**
116,700

ECHO GLOBAL LOGISTICS INC COMMON STOCK USD.0001
 
 
**
24,937

ECHOSTAR CORP A COMMON STOCK USD.001
 
 
**
172,358

ECOLAB INC SR UNSECURED 12/16 3
11/18/2016
3%
**
2,045,030

ECOPETROL SA SR UNSECURED 05/45 5.875
3/16/2021
5.88%
**
781,000

ECOPETROL SA SR UNSECURED 06/26 5.375
1/14/2030
5.38%
**
596,750

EDUCATION REALTY TRUST INC REIT USD.01
 
 
**
2,753,838

EDWARDS LIFESCIENCES CORP COMMON STOCK USD1.
 
 
**
712,558

EGYPTIAN POUND
 
 
**
11

EISAI CO LTD COMMON STOCK
 
 
**
5,360,476

EKSPORTFINANS ASA SR UNSECURED 05/16 5.5
3/16/2021
5.5%
**
1,518,855

EKSPORTFINANS ASA SR UNSECURED 05/16 5.5
1/14/2030
5.5%
**
1,316,341

EL PUERTO DE LIVERPOOL C1 COMMON STOCK
 
 
**
24,404

ELECTRICITE DE FRANCE SA
11/18/2016
1.51%
**
11,022,349

ELECTRICITE DE FRANCE SA
11/18/2016
1.51%
**
6,199,134

ELECTRO RENT CORP COMMON STOCK
 
 
**
22,632

ELECTRO SCIENTIFIC INDS INC COMMON STOCK
 
 
**
13,831

ELECTROLUX AB SER B COMMON STOCK SEK5.0
 
 
**
1,182,846

ELECTRONIC ARTS INC COMMON STOCK USD.01
 
 
**
25,681,420

ELECTRONICS FOR IMAGING COMMON STOCK USD.01
 
 
**
153,307

ELEMENT FINANCIAL CORP COMMON STOCK
 
 
**
1,762,162

ELI LILLY + CO COMMON STOCK
 
 
**
17,838,516

ELISA OYJ COMMON STOCK
 
 
**
97,769

ELIZABETH ARDEN INC COMMON STOCK USD.01
 
 
**
3,346

ELLIE MAE INC COMMON STOCK USD.0001
 
 
**
2,658,974

ELRINGKLINGER AG COMMON STOCK
 
 
**
142,957

EMC INS GROUP INC COMMON STOCK USD1.
 
 
**
54,446

EMCOR GROUP INC COMMON STOCK USD.01
 
 
**
2,634,033

EMERALD OIL INC COMMON STOCK USD.001
 
 
**
243

EMERGENT BIOSOLUTIONS INC COMMON STOCK USD.001
 
 
**
143,516

EMERGENT CAPITAL INC COMMON STOCK
 
 
**
9,926

EMPIRE CO LTD A COMMON STOCK
 
 
**
101,007

EMPLOYERS HOLDINGS INC COMMON STOCK USD.01
 
 
**
86,732

ENCANA CORP SR UNSECURED 08/34 6.5
5/15/2022
6.5%
**
80,881

ENCORE CAPITAL GROUP INC COMMON STOCK USD.01
 
 
**
97,709


48
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ENCORE WIRE CORP COMMON STOCK USD.01
 
 
**
68,431

ENDESA SA COMMON STOCK EUR1.2
 
 
**
320,631

ENDOCYTE INC COMMON STOCK
 
 
**
14,797

ENDURANCE SPECIALTY HOLDINGS COMMON STOCK USD1.0
 
 
**
288,595

ENERGA SA COMMON STOCK PLN10.92
 
 
**
159,899

ENERGY TRANSFER PARTNERS SR UNSECURED 02/23 3.6
5/15/2022
3.6%
**
99,603

ENERGY TRANSFER PARTNERS SR UNSECURED 03/25 4.05
5/15/2022
4.05%
**
37,778

ENERGY TRANSFER PARTNERS SR UNSECURED 12/45 6.125
1/14/2030
6.13%
**
325,442

ENERGY XXI LTD COMMON STOCK USD.005
 
 
**
575

ENERNOC INC COMMON STOCK USD.001
 
 
**
7,103

ENERSYS COMMON STOCK USD.01
 
 
**
1,539,585

ENGIE COMMON STOCK EUR1.0
 
 
**
3,521,055

ENGILITY HOLDINGS INC COMMON STOCK USD.01
 
 
**
72,950

ENI SPA COMMON STOCK
 
 
**
432,009

ENLINK MIDSTREAM LLC COMMON STOCK USD.01
 
 
**
37,453

ENLINK MIDSTREAM PARTNER SR UNSECURED 06/25 4.15
5/15/2022
4.15%
**
38,456

ENNIS INC COMMON STOCK USD2.5
 
 
**
51,301

ENPRO INDUSTRIES INC COMMON STOCK USD.01
 
 
**
103,331

ENSCO PLC SR UNSECURED 03/21 4.7
5/15/2022
4.7%
**
32,207

ENSCO PLC SR UNSECURED 03/25 5.2
5/15/2022
5.2%
**
32,737

ENSCO PLC SR UNSECURED 10/44 5.75
5/15/2022
5.75%
**
19,776

ENSTAR GROUP LTD COMMON STOCK USD1.
 
 
**
246,066

ENTEGRIS INC COMMON STOCK USD.01
 
 
**
137,504

ENTERCOM COMMUNICATIONS CL A COMMON STOCK USD.01
 
 
**
33,376

ENTERGY ARKANSAS INC 1ST MORTGAGE 06/23 3.05
5/15/2022
3.05%
**
33,416

ENTERPRISE FINANCIAL SERVICE COMMON STOCK USD.01
 
 
**
58,118

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/19 6.5
5/15/2022
6.5%
**
87,892

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/24 3.9
5/15/2022
3.9%
**
67,177

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/25 3.75
5/15/2022
3.75%
**
196,662

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/26 3.7
5/15/2022
3.7%
**
30,498

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/43 4.45
3/16/2021
4.45%
**
457,736

ENVESTNET INC COMMON STOCK
 
 
**
600,522

ENVISION HEALTHCARE HOLDINGS COMMON STOCK USD.01
 
 
**
5,845,431

EOG RESOURCES INC COMMON STOCK USD.01
 
 
**
8,797,427

EOG RESOURCES INC SR UNSECURED 02/21 4.1
5/15/2022
4.1%
**
58,021

EOG RESOURCES INC SR UNSECURED 03/23 2.625
5/15/2022
2.63%
**
85,262

EP ENERGY CORP CL A COMMON STOCK USD.01
 
 
**
1,279

EPIQ SYSTEMS INC COMMON STOCK USD.01
 
 
**
46,882

EPISTAR CORP COMMON STOCK TWD10.
 
 
**
27,171

EPR PROPERTIES REIT USD.01
 
 
**
2,569,754

EQT CORP COMMON STOCK
 
 
**
1,543,048

EQUIFAX INC COMMON STOCK USD1.25
 
 
**
8,112,414

EQUINIX INC REIT USD.001
 
 
**
25,474,478

EQUITY COMMONWEALTH REIT USD.01
 
 
**
1,036,409

EQUITY COMMONWEALTH SR UNSECURED 01/18 6.65
5/15/2022
6.65%
**
79,378

EQUITY ONE INC REIT USD.01
 
 
**
114,084

ERA GROUP INC COMMON STOCK USD.01
 
 
**
20,572


49
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ERAC USA FINANCE LLC COMPANY GUAR 144A 04/16 1.4
11/18/2016
1.4%
**
744,397

ERAC USA FINANCE LLC COMPANY GUAR 144A 06/34 6.7
5/15/2022
6.7%
**
100,255

EREGLI DEMIR VE CELIK FABRIK COMMON STOCK TRY1.
 
 
**
102,344

ERICKSON INC COMMON STOCK USD.0001
 
 
**
2,534

ERICSSON (LM) TEL SP ADR ADR
 
 
**
3,240,492

ERICSSON LM B SHS COMMON STOCK SEK5.0
 
 
**
439,605

ERP OPERATING LP SR UNSECURED 12/21 4.625
5/15/2022
4.63%
**
108,528

ESCALADE INC COMMON STOCK
 
 
**
16,298

ESCO TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
96,313

ESSA BANCORP INC COMMON STOCK USD.01
 
 
**
16,826

ESSENDANT INC COMMON STOCK USD.1
 
 
**
123,278

ESSENT GROUP LTD COMMON STOCK USD.015
 
 
**
1,960,819

ESSILOR INTERNATIONAL COMMON STOCK EUR.18
 
 
**
3,440,917

ETHAN ALLEN INTERIORS INC COMMON STOCK USD.01
 
 
**
1,405,216

EULER HERMES GROUP COMMON STOCK EUR.32
 
 
**
269,459

EURO CURRENCY
3/16/2021
 
**
2,898,724

EURO CURRENCY
1/14/2030
 
**
58,185

EURO CURRENCY
 
 
**
14,097

EUROCASH SA COMMON STOCK PLN1.
 
 
**
373,574

EUROCOMMERCIAL PROPERTIE CV DUTCH CERT EUR5.0
 
 
**
539,199

EURONAV NV COMMON STOCK
 
 
**
316,809

EURONET WORLDWIDE INC COMMON STOCK USD.02
 
 
**
1,727,093

EUROPEAN INVESTMENT BANK SR UNSECURED REGS 01/21 3.625
3/16/2021
3.63%
**
1,787,453

EVA AIRWAYS CORP COMMON STOCK TWD10.
 
 
**
207,818

EVANS BANCORP INC COMMON STOCK USD.5
 
 
**
12,929

EVERBANK FINANCIAL CORP COMMON STOCK USD.01
 
 
**
190,002

EVEREST RE GROUP LTD COMMON STOCK USD.01
 
 
**
490,681

EVERGRANDE REAL ESTATE GROUP COMMON STOCK USD.01
 
 
**
89,758

EVERI HOLDINGS INC COMMON STOCK USD.001
 
 
**
24,746

EVONIK INDUSTRIES AG COMMON STOCK
 
 
**
609,835

EW SCRIPPS CO/THE A COMMON STOCK USD.01
 
 
**
81,795

EXACTECH INC COMMON STOCK USD.01
 
 
**
26,045

EXAMWORKS GROUP INC COMMON STOCK
 
 
**
2,707,720

EXEDY CORP COMMON STOCK
 
 
**
628,320

EXELON GENERATION CO LLC SR UNSECURED 10/41 5.75
5/15/2022
5.75%
**
29,003

EXETER AUTOMOBILE RECEIVABLES EART 2014 1A A 144A
5/15/2022
1.29%
**
52,221

EXLSERVICE HOLDINGS INC COMMON STOCK USD.001
 
 
**
124,816

EXPEDIA INC COMMON STOCK USD.001
 
 
**
20,498,904

EXPORT DEVELMT CORP
11/18/2016
0.33%
**
4,999,889

EXPORT IMPORT BK KOREA SR UNSECURED 01/21 4
1/14/2030
4%
**
426,016

EXPORT IMPORT BK KOREA SR UNSECURED 06/20 5.125
3/16/2021
5.13%
**
33,115

EXPRESS INC COMMON STOCK
 
 
**
1,978,404

EXPRESS SCRIPTS COMPANY GUAR 05/16 3.125
11/18/2016
3.13%
**
1,129,436

EXPRESS SCRIPTS HOLDING CO COMMON STOCK USD.01
 
 
**
14,286,815

EXPRESS SCRIPTS HOLDING COMPANY GUAR 02/17 2.65
11/18/2016
2.65%
**
1,681,092

EXTERRAN CORP COMMON STOCK USD.01
 
 
**
1,067,534

EXXON MOBIL CORP COMMON STOCK
 
 
**
8,394,124


50
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

EXXON MOBIL CORPORATION SR UNSECURED 03/18 VAR
11/18/2016
0.46%
**
3,831,596

EZCORP INC CL A COMMON STOCK USD.01
 
 
**
25,574

FABRINET COMMON STOCK USD.01
 
 
**
78,130

FACEBOOK INC A COMMON STOCK USD.000006
 
 
**
149,789,183

FAIRCHILD SEMICONDUCTOR INTE COMMON STOCK USD.01
 
 
**
248,354

FAIRFAX FINANCIAL HLDGS LTD COMMON STOCK
 
 
**
889,531

FANNIE MAE FNR 1994 29 Z
5/15/2022
6.5%
**
73,843

FANNIE MAE FNR 2002 86 PG
5/15/2022
6%
**
258,531

FANNIE MAE FNR 2005 70 NA
5/15/2022
5.5%
**
77,994

FANNIE MAE FNR 2006 9 KZ
5/15/2022
6%
**
402,642

FANNIE MAE FNR 2007 106 A7
5/15/2022
6.1%
**
71,388

FANNIE MAE FNR 2010 18 PV
5/15/2022
5%
**
476,616

FANNIE MAE FNR 2012 154 PW
5/15/2022
3%
**
662,188

FANNIE MAE FNR 2013 13 IK
5/15/2022
2.5%
**
91,855

FANNIE MAE FNR 2013 83 CA
5/15/2022
3.5%
**
320,178

FANNIE MAE FNR 2013 96 YA
5/15/2022
3.5%
**
455,717

FANNIE MAE NOTES 09/24 2.625
1/14/2030
2.63%
**
808,447

FANNIEMAE ACES FNA 2012 M8 ASQ3
5/15/2022
1.8%
**
340,997

FANNIEMAE ACES FNA 2013 M7 A2
5/15/2022
2.28%
**
332,510

FANNIEMAE ACES FNA 2014 M1 A2
5/15/2022
3.43%
**
542,177

FANNIEMAE ACES FNA 2014 M5 FA
5/15/2022
0.58%
**
62,731

FANNIEMAE ACES FNA 2014 M9 A2
5/15/2022
3.1%
**
820,949

FANNIEMAE ACES FNA 2015 M7 A2
5/15/2022
2.65%
**
866,033

FANNIEMAE WHOLE LOAN FNW 2004 W1 1A7
5/15/2022
5.68%
**
494,756

FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2
5/15/2022
7%
**
70,521

FANNIEMAE WHOLE LOAN FNW 2009 W1 A
5/15/2022
6%
**
186,940

FANUC CORP COMMON STOCK
 
 
**
3,276,911

FAR EASTONE TELECOMM CO LTD COMMON STOCK TWD10.
 
 
**
129,656

FARMERS CAPITAL BANK CORP COMMON STOCK USD.125
 
 
**
19,438

FED HM LN PC POOL C03520 FG 09/40 FIXED 4
3/16/2021
4%
**
3,454,624

FED HM LN PC POOL D98914 FG 01/32 FIXED 4
5/15/2022
4%
**
172,006

FED HM LN PC POOL G03600 FG 11/37 FIXED 7
5/15/2022
7%
**
151,592

FED HM LN PC POOL G30591 FG 02/28 FIXED 6
5/15/2022
6%
**
132,700

FED HM LN PC POOL J14494 FG 02/26 FIXED 4
5/15/2022
4%
**
211,422

FED HM LN PC POOL U80439 FG 07/33 FIXED 3.5
5/15/2022
3.5%
**
789,936

FED HM LN PC POOL U90291 FG 10/42 FIXED 4
5/15/2022
4%
**
435,995

FED HM LN PC POOL U90690 FG 06/42 FIXED 3.5
5/15/2022
3.5%
**
327,897

FED HM LN PC POOL U91619 FG 06/43 FIXED 4
5/15/2022
4%
**
1,311,299

FED REPUBLIC OF BRAZIL SR UNSECURED 01/45 5
3/16/2021
5%
**
867,750

FEDERAL AGRIC MTG CORP CL C COMMON STOCK USD1.
 
 
**
29,108

FEDERAL MOGUL HOLDINGS CORP COMMON STOCK USD.01
 
 
**
61,705

FEDERAL REALTY INVS TRUST REIT USD.01
 
 
**
4,675,200

FEDERAL SIGNAL CORP COMMON STOCK USD1.
 
 
**
95,845

FELCOR LODGING TRUST INC REIT USD.01
 
 
**
62,101

FENG TAY ENTERPRISE CO LTD COMMON STOCK TWD10.
 
 
**
160,088

FERROGLOBE PLC COMMON STOCK USD7.5
 
 
**
19,866

FERROVIAL SA COMMON STOCK EUR.2
 
 
**
344,579


51
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FHLMC MULTIFAMILY STRUCTURED P FHMS K708 X1
5/15/2022
1.61%
**
204,414

FHLMC MULTIFAMILY STRUCTURED P FHMS KF12 A
5/15/2022
1%
**
621,779

FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1
4/15/2017
0.68%
**
9,241

FIAT CHRYSLER AUTOMOBILE SR UNSECURED 04/20 4.5
3/16/2021
4.5%
**
1,012,500

FIAT CHRYSLER AUTOMOBILES NV COMMON STOCK EUR.01
 
 
**
239,114

FIBRA UNO ADMINISTRACION SA REIT
 
 
**
143,855

FIDELITY NATIONAL INFO SERV COMMON STOCK USD.01
 
 
**
13,930,183

FIDELITY SOUTHERN CORP COMMON STOCK
 
 
**
48,011

FIDESSA GROUP PLC COMMON STOCK GBP.1
 
 
**
245,034

FIFTH THIRD AUTO TRUST FITAT 2015 1 A2A
11/18/2016
0.91%
**
1,306,303

FIFTH THIRD BANCORP SR UNSECURED 01/16 3.625
5/15/2022
3.63%
**
76,134

FIFTH THIRD BANCORP SR UNSECURED 02/16 0.9
11/18/2016
0.9%
**
306,663

FIFTH THIRD BANK SR UNSECURED 11/16 1.15
11/18/2016
1.15%
**
1,748,636

FIFTH THIRD BANK SR UNSECURED 11/16 VAR
11/18/2016
0.87%
**
1,401,687

FINANCIAL INSTITUTIONS INC COMMON STOCK USD.01
 
 
**
40,180

FINECOBANK SPA COMMON STOCK
 
 
**
384,267

FINISAR CORPORATION COMMON STOCK USD.001
 
 
**
110,795

FINISH LINE/THE CL A COMMON STOCK USD.01
 
 
**
72,266

FINMECCANICA SPA COMMON STOCK EUR4.4
 
 
**
1,238,493

FIREEYE INC COMMON STOCK USD.0001
 
 
**
754,874

FIRST AMERICAN FINANCIAL COMMON STOCK USD.00001
 
 
**
2,365,846

FIRST BANCORP INC/ME COMMON STOCK USD.01
 
 
**
23,070

FIRST BANCORP PUERTO RICO COMMON STOCK USD1.
 
 
**
68,955

FIRST BANCORP/NC COMMON STOCK
 
 
**
38,417

FIRST BANCSHARES INC/MS COMMON STOCK USD1.
 
 
**
12,985

FIRST BUSEY CORP COMMON STOCK USD.001
 
 
**
59,208

FIRST BUSINESS FINANCIAL SER COMMON STOCK USD.01
 
 
**
20,508

FIRST COMMONWEALTH FINL CORP COMMON STOCK USD1.
 
 
**
84,596

FIRST COMMUNITY BANCSHARES COMMON STOCK USD1.
 
 
**
34,372

FIRST CONNECTICUT BANCORP COMMON STOCK USD.01
 
 
**
28,552

FIRST DEFIANCE FINL CORP COMMON STOCK USD.01
 
 
**
38,725

FIRST FINANCIAL BANCORP COMMON STOCK
 
 
**
107,426

FIRST FINANCIAL CORP/INDIANA COMMON STOCK
 
 
**
45,248

FIRST FINANCIAL NORTHWEST COMMON STOCK USD.01
 
 
**
21,457

FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF11 A2D
4/15/2017
1.1%
**
111,636

FIRST INDUSTRIAL REALTY TR REIT USD.01
 
 
**
167,856

FIRST INTERSTATE BANCSYS A COMMON STOCK
 
 
**
56,599

FIRST INVESTORS AUTO OWNER TRU FIAOT 2013 1A A2 144A
5/15/2022
0.9%
**
6,603

FIRST MERCHANTS CORP COMMON STOCK
 
 
**
93,800

FIRST MIDWEST BANCORP INC/IL COMMON STOCK USD.01
 
 
**
137,893

FIRST NBC BANK HOLDING CO COMMON STOCK
 
 
**
68,985

FIRST NIAGARA FINANCIAL GRP COMMON STOCK USD.01
 
 
**
100,590

FIRST PACIFIC CO COMMON STOCK USD.01
 
 
**
13,264

FIRST POTOMAC REALTY TRUST REIT USD.001
 
 
**
46,740

FIRST REPUBLIC BANK/CA COMMON STOCK USD.01
 
 
**
1,810,044

FIRST SOLAR INC COMMON STOCK USD.001
 
 
**
601,169

FIRSTMERIT CORP COMMON STOCK
 
 
**
2,195,515


52
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FISERV INC COMMON STOCK USD.01
 
 
**
10,908,343

FIVE BELOW COMMON STOCK USD.01
 
 
**
1,251,900

FIVE STAR QUALITY CARE COMMON STOCK USD.01
 
 
**
13,690

FLAGSHIP CREDIT AUTO TRUST FCAT 2013 1 A 144A
5/15/2022
1.32%
**
23,209

FLAGSHIP CREDIT AUTO TRUST FCAT 2013 2 A 144A
5/15/2022
1.94%
**
98,107

FLAGSTAR BANCORP INC COMMON STOCK USD.01
 
 
**
116,058

FLEETCOR TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
5,495,373

FLEETMATICS GROUP PLC COMMON STOCK EUR.015
 
 
**
2,464,737

FLEXSTEEL INDS COMMON STOCK USD1.
 
 
**
31,677

FLEXTRONICS INTL LTD COMMON STOCK
 
 
**
443,826

FLIGHT CENTRE TRAVEL GROUP L COMMON STOCK
 
 
**
287,492

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 06/24 3.25
5/15/2022
3.25%
**
127,630

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 12/42 3.8
5/15/2022
3.8%
**
75,754

FLUOR CORP COMMON STOCK USD.01
 
 
**
480,322

FLUSHING FINANCIAL CORP COMMON STOCK USD.01
 
 
**
66,543

FNB CORP COMMON STOCK USD.01
 
 
**
221,511

FNMA POOL 256901 FN 09/37 FIXED 6.5
5/15/2022
6.5%
**
19,107

FNMA POOL 256937 FN 10/37 FIXED 6.5
5/15/2022
6.5%
**
33,053

FNMA POOL 257239 FN 06/28 FIXED 5.5
5/15/2022
5.5%
**
193,712

FNMA POOL 468559 FN 08/21 FIXED 4.01
5/15/2022
4.01%
**
402,941

FNMA POOL 725229 FN 03/34 FIXED VAR
5/15/2022
6%
**
214,066

FNMA POOL 888365 FN 04/22 FIXED VAR
5/15/2022
6%
**
60,641

FNMA POOL 932850 FN 12/40 FIXED 4
3/16/2021
4%
**
446,214

FNMA POOL 968066 FN 10/22 FIXED 6
5/15/2022
6%
**
127,338

FNMA POOL AB4698 FN 03/42 FIXED 4
1/14/2030
4%
**
418,833

FNMA POOL AB4955 FN 04/42 FIXED 4
1/14/2030
4%
**
696,343

FNMA POOL AB8925 FN 04/43 FIXED 3
1/14/2030
3%
**
129,040

FNMA POOL AB9615 FN 06/33 FIXED 4
5/15/2022
4%
**
351,976

FNMA POOL AC3237 FN 10/39 FIXED 5
5/15/2022
5%
**
268,932

FNMA POOL AD0329 FN 09/28 FIXED VAR
5/15/2022
6.5%
**
135,158

FNMA POOL AD0752 FN 01/39 FIXED VAR
5/15/2022
7%
**
186,552

FNMA POOL AD0979 FN 10/35 FIXED VAR
5/15/2022
7.5%
**
247,577

FNMA POOL AE1807 FN 10/40 FIXED 4
3/16/2021
4%
**
20,888

FNMA POOL AE4456 FN 02/41 FIXED 4
3/16/2021
4%
**
157,684

FNMA POOL AE4664 FN 10/40 FIXED 4
3/16/2021
4%
**
201,039

FNMA POOL AE6191 FN 11/40 FIXED 4
3/16/2021
4%
**
88,287

FNMA POOL AE7314 FN 11/40 FIXED 4
3/16/2021
4%
**
4,358

FNMA POOL AE8446 FN 11/40 FIXED 4
3/16/2021
4%
**
8,008

FNMA POOL AE9387 FN 12/40 FIXED 4
3/16/2021
4%
**
5,684

FNMA POOL AH0864 FN 12/40 FIXED 4
3/16/2021
4%
**
30,449

FNMA POOL AH1266 FN 01/41 FIXED 4
3/16/2021
4%
**
717,662

FNMA POOL AH2442 FN 01/41 FIXED 4
3/16/2021
4%
**
77,152

FNMA POOL AK3107 FN 02/42 FIXED 4
1/14/2030
4%
**
304,221

FNMA POOL AL0379 FN 12/36 FIXED VAR
5/15/2022
8%
**
316,342

FNMA POOL AL2171 FN 06/42 FIXED VAR
1/14/2030
4%
**
635,764

FNMA POOL AL2382 FN 02/42 FIXED VAR
1/14/2030
4%
**
1,316,919

FNMA POOL AM1990 FN 01/23 FIXED 2.33
5/15/2022
2.33%
**
432,578


53
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL AM2501 FN 02/20 FIXED 1.77
5/15/2022
1.77%
**
545,595

FNMA POOL AM2674 FN 03/23 FIXED 2.61
5/15/2022
2.61%
**
600,927

FNMA POOL AM2711 FN 03/23 FIXED 2.57
5/15/2022
2.57%
**
434,472

FNMA POOL AM4066 FN 08/23 FIXED 3.59
5/15/2022
3.59%
**
947,964

FNMA POOL AM4764 FN 11/23 FIXED 3.44
5/15/2022
3.44%
**
677,835

FNMA POOL AM5079 FN 01/24 FIXED 3.45
5/15/2022
3.45%
**
730,907

FNMA POOL AM5473 FN 03/24 FIXED 3.76
5/15/2022
3.76%
**
929,863

FNMA POOL AM5612 FN 05/24 FIXED 3.42
5/15/2022
3.42%
**
777,711

FNMA POOL AM7514 FN 02/25 FIXED 3.07
5/15/2022
3.07%
**
898,947

FNMA POOL AP0645 FN 07/32 FIXED 3.5
5/15/2022
3.5%
**
146,500

FNMA POOL AP7126 FN 10/27 FIXED 2.5
3/16/2021
2.5%
**
663,992

FNMA POOL AQ1534 FN 10/32 FIXED 3.5
5/15/2022
3.5%
**
432,797

FNMA POOL AQ1607 FN 11/32 FIXED 3.5
5/15/2022
3.5%
**
369,567

FNMA POOL AR7961 FN 03/33 FIXED 3.5
5/15/2022
3.5%
**
370,233

FNMA POOL AT3179 FN 05/43 FIXED 3
1/14/2030
3%
**
833,008

FNMA POOL AT5907 FN 06/43 FIXED 4
5/15/2022
4%
**
1,536,151

FNMA POOL AT5915 FN 06/43 FIXED 4
5/15/2022
4%
**
539,607

FNMA POOL AU0317 FN 06/43 FIXED 3
1/14/2030
3%
**
279,979

FNMA POOL AU1632 FN 07/43 FIXED 3
1/14/2030
3%
**
6,086,018

FNMA POOL MA0006 FN 03/39 FIXED 4
3/16/2021
4%
**
29,778

FNMA POOL MA0320 FN 02/30 FIXED 5
5/15/2022
5%
**
268,262

FNMA POOL MA1125 FN 07/42 FIXED 4
5/15/2022
4%
**
487,318

FNMA POOL MA1177 FN 09/42 FIXED 3.5
5/15/2022
3.5%
**
437,197

FNMA POOL MA1213 FN 10/42 FIXED 3.5
5/15/2022
3.5%
**
421,316

FNMA POOL MA1373 FN 03/43 FIXED 3.5
5/15/2022
3.5%
**
944,109

FNMA POOL MA1463 FN 06/43 FIXED 3.5
5/15/2022
3.5%
**
409,206

FNMA POOL MA1508 FN 07/43 FIXED 3.5
5/15/2022
3.5%
**
408,796

FNMA POOL MA1510 FN 07/43 FIXED 4
5/15/2022
4%
**
754,483

FNMA POOL MA1546 FN 08/43 FIXED 3.5
5/15/2022
3.5%
**
771,914

FOMENTO ECONOMICO MEX SP ADR ADR
 
 
**
265,414

FORD CREDIT AUTO LEASE TRUST FORDL 2015 A A2A
11/18/2016
0.79%
**
1,653,780

FORD CREDIT AUTO OWNER TRUST FORDO 2013 C A3
5/15/2022
0.82%
**
108,678

FORD CREDIT AUTO OWNER TRUST FORDO 2014 B A3
11/18/2016
0.9%
**
4,121,945

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/21 3.2
1/14/2030
3.2%
**
993,237

FORD MOTOR CREDIT CO LLC SR UNSECURED 03/19 2.375
5/15/2022
2.38%
**
354,890

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/17 VAR
4/15/2017
0.98%
**
295,818

FORD OTOMOTIV SANAYI AS COMMON STOCK TRY1.
 
 
**
70,076

FOREST CITY ENTERPRISES CL A COMMON STOCK USD.333
 
 
**
1,778,194

FORESTAR GROUP INC COMMON STOCK USD1.
 
 
**
39,242

FORTINET INC COMMON STOCK USD.001
 
 
**
658,155

FORUM ENERGY TECHNOLOGIES IN COMMON STOCK USD.01
 
 
**
1,468,934

FORWARDS CREDIT SUISSE COC OPTIONS CASH COLLATERALD
 
 
**
461,504

FOSTER (LB) CO A COMMON STOCK USD.01
 
 
**
14,002

FOX CHASE BANCORP INC COMMON STOCK USD.01
 
 
**
24,957

FOXCONN TECHNOLOGY CO LTD COMMON STOCK TWD10.
 
 
**
162,648

FRANCE (GOVT OF) BONDS REGS 05/30 2.5
3/16/2021
2.5%
**
5,410,777



54
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FRANCE (GOVT OF) BONDS REGS 05/45 3.25
3/16/2021
3.25%
**
1,103,806

FRANCE (GOVT OF) BONDS REGS 07/24 0.25
3/16/2021
0.25%
**
6,906,813

FRANCESCAS HOLDINGS CORP COMMON STOCK USD.01
 
 
**
520,176

FRANKLIN COVEY CO COMMON STOCK USD.05
 
 
**
24,022

FRANKLIN ELECTRIC CO INC COMMON STOCK USD.1
 
 
**
124,662

FRANKLIN RESOURCES INC COMMON STOCK USD.1
 
 
**
4,707,142

FRANKLIN STREET PROPERTIES C REIT USD.0001
 
 
**
63,653

FRED S INC CLASS A COMMON STOCK
 
 
**
55,363

FREDDIE MAC FHR 2113 MW
5/15/2022
6.50%
**
249,210

FREDDIE MAC FHR 2175 TH
5/15/2022
6.00%
**
278,090

FREDDIE MAC FHR 2338 ZC
5/15/2022
6.50%
**
329,101

FREDDIE MAC FHR 2430 WF
5/15/2022
6.50%
**
121,399

FREDDIE MAC FHR 2595 DC
5/15/2022
5.00%
**
197,021

FREDDIE MAC FHR 2936 SC
5/15/2022
5.90%
**
202,127

FREDDIE MAC FHR 2980 QA
5/15/2022
6.00%
**
171,782

FREDDIE MAC FHR 3005 ED
5/15/2022
5.00%
**
141,567

FREDDIE MAC FHR 3187 Z
5/15/2022
5.00%
**
247,981

FREDDIE MAC FHR 3397 FC
4/15/2017
0.93%
**
30,690

FREDDIE MAC FHR 3648 CY
5/15/2022
4.50%
**
349,883

FREDDIE MAC FHR 3662 PJ
5/15/2022
5.00%
**
330,643

FREDDIE MAC FHR 3677 PB
5/15/2022
4.50%
**
461,506

FREDDIE MAC FHR 4219 JA
5/15/2022
3.50%
**
375,447

FREDDIEMAC STRIP FHS 279 35
5/15/2022
3.50%
**
322,241

FREDDIEMAC STRIP FHS 323 300
5/15/2022
3.00%
**
739,335

FREEPORT MCMORAN INC COMPANY GUAR 03/22 3.55
5/15/2022
3.55%
**
58,000

FREEPORT MCMORAN INC COMPANY GUAR 03/23 3.875
5/15/2022
3.88%
**
71,250

FREIGHTCAR AMERICA INC COMMON STOCK USD.01
 
 
**
19,838

FRESENIUS MEDICAL CARE AG + COMMON STOCK
 
 
**
532,889

FRESENIUS SE + CO KGAA COMMON STOCK
 
 
**
236,919

FRESH DEL MONTE PRODUCE W/D COMMON STOCK USD.01
 
 
**
219,167

FRONTIER COMMUNICATIONS CORP COMMON STOCK USD.25
 
 
**
467,140

FRP HOLDINGS INC COMMON STOCK USD.1
 
 
**
31,293

FRUTAROM COMMON STOCK ILS1.
 
 
**
725,126

FTD COS INC COMMON STOCK USD.0001
 
 
**
48,284

FTI CONSULTING INC COMMON STOCK USD.01
 
 
**
1,405,983

FUBON FINANCIAL HOLDING CO COMMON STOCK TWD10.
 
 
**
406,886

FUEL SYSTEMS SOLUTIONS INC COMMON STOCK USD.001
 
 
**
9,022

FUJI HEAVY INDUSTRIES LTD COMMON STOCK
 
 
**
1,232,774

FUJIFILM HOLDINGS CORP COMMON STOCK
 
 
**
7,031,215

FUJITSU LTD COMMON STOCK
 
 
**
110,992

FUKUOKA FINANCIAL GROUP INC COMMON STOCK
 
 
**
120,703

FULTON FINANCIAL CORP COMMON STOCK USD2.5
 
 
**
242,702

FURMANITE CORP COMMON STOCK
 
 
**
15,018

FUTUREFUEL CORP COMMON STOCK USD.0001
 
 
**
53,960

G + K SERVICES INC CL A COMMON STOCK USD.5
 
 
**
2,961,018

G III APPAREL GROUP LTD COMMON STOCK USD.01
 
 
**
2,475,196

G8 EDUCATION LTD COMMON STOCK
 
 
**
214,575


55
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GAIN CAPITAL HOLDINGS INC COMMON STOCK USD.00001
 
 
**
29,926

GALAXY ENTERTAINMENT GROUP L COMMON STOCK
 
 
**
223,989

GAMESTOP CORP CLASS A COMMON STOCK USD.001
 
 
**
304,655

GAMING AND LEISURE PROPERTIE REIT
 
 
**
113,980

GANNETT CO INC COMMON STOCK USD.01
 
 
**
33,655

GASLOG LTD COMMON STOCK USD.01
 
 
**
920,595

GASTAR EXPLORATION LTD COMMON STOCK USD.001
 
 
**
6,982

GATX CORP COMMON STOCK USD.625
 
 
**
103,226

GAZPROM PAO SPON ADR ADR
 
 
**
316,407

GE CAPITAL INTL FUNDING COMPANY GUAR 144A 11/20 2.342
5/15/2022
2.34%
**
247,915

GE CAPITAL INTL FUNDING COMPANY GUAR 144A 11/35 4.418
5/15/2022
4.42%
**
215,322

GEELY AUTOMOBILE HOLDINGS LT COMMON STOCK HKD.02
 
 
**
714,077

GENERAL CABLE CORP COMMON STOCK USD.01
 
 
**
44,050

GENERAL COMMUNICATION INC A COMMON STOCK
 
 
**
77,043

GENERAL ELECTRIC CO W/D COMMON STOCK USD.06
 
 
**
13,076,147

GENERAL ELECTRIC CO SR SECURED 12/19 2.1
5/15/2022
2.10%
**
76,992

GENERAL ELECTRIC CO SR UNSECURED 01/39 6.875
5/15/2022
6.88%
**
218,092

GENERAL ELECTRIC CO SR UNSECURED 02/17 5.4
11/18/2016
5.40%
**
2,302,814

GENERAL ELECTRIC CO SR UNSECURED 03/32 6.75
5/15/2022
6.75%
**
81,010

GENERAL ELECTRIC CO SR UNSECURED 09/17 5.625
5/15/2022
5.63%
**
293,225

GENERAL ELECTRIC CO SR UNSECURED 09/20 4.375
5/15/2022
4.38%
**
98,787

GENERAL ELECTRIC CO SR UNSECURED 10/22 2.7
1/14/2030
2.70%
**
1,493,711

GENERAL ELECTRIC CO SUBORDINATED 02/21 5.3
5/15/2022
5.30%
**
225,524

GENERAL MILLS INC COMMON STOCK USD.1
 
 
**
7,700,666

GENERAL MILLS INC SR UNSECURED 12/21 3.15
5/15/2022
3.15%
**
75,056

GENERAL MOTORS CO COMMON STOCK USD.01
 
 
**
5,189,926

GENERALITAT DE CATALUNYA SR UNSECURED 02/20 4.95
3/16/2021
4.95%
**
2,220,786

GENERALITAT DE CATALUNYA SR UNSECURED 03/16 2.75
3/16/2021
2.75%
**
200,274

GENERALITAT DE CATALUNYA SR UNSECURED 06/18 4.75
3/16/2021
4.75%
**
427,841

GENERALITAT DE CATALUNYA SR UNSECURED 11/16 4.3
3/16/2021
4.30%
**
164,543

GENERALITAT DE VALENCIA SR UNSECURED 09/17 VAR
3/16/2021
2.29%
**
218,238

GENERALITAT DE VALENCIA SR UNSECURED 11/16 4
3/16/2021
4.00%
**
1,895,764

GENESCO INC COMMON STOCK USD1.
 
 
**
1,467,748

GENESEE + WYOMING INC CL A COMMON STOCK USD.01
 
 
**
4,533,530

GENPACT LTD W/D COMMON STOCK USD.01
 
 
**
12,250,492

GENTHERM INC COMMON STOCK
 
 
**
3,775,979

GENTING BHD COMMON STOCK MYR.1
 
 
**
135,226

GENTING HONG KONG LTD COMMON STOCK USD.1
 
 
**
267,744

GEOSPACE TECHNOLOGIES CORP COMMON STOCK USD.01
 
 
**
12,973

GERMAN AMERICAN BANCORP COMMON STOCK
 
 
**
44,382

GETTY REALTY CORP REIT USD.01
 
 
**
31,642

GFK SE COMMON STOCK
 
 
**
372,798

GIANT MANUFACTURING COMMON STOCK TWD10.
 
 
**
380,035

GIBRALTAR INDUSTRIES INC COMMON STOCK USD.01
 
 
**
80,823

GILEAD SCIENCES INC COMMON STOCK USD.001
 
 
**
13,684,328

GILEAD SCIENCES INC SR UNSECURED 12/21 4.4
5/15/2022
4.40%
**
10,801

GLACIER BANCORP INC COMMON STOCK USD.01
 
 
**
2,753,336


56
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GLADSTONE COMMERCIAL CORP REIT USD.001
 
 
**
17,946

GLATFELTER COMMON STOCK USD.01
 
 
**
79,384

GLAXOSMITHKLINE PLC COMMON STOCK GBP.25
 
 
**
1,367,330

GLAXOSMITHKLINE PLC SPON ADR ADR
 
 
**
5,556,195

GLENCORE PLC COMMON STOCK USD.01
 
 
**
89,022

GLOBAL ALL CAP FUND WELLINGTON
 
 
**
310,211,938

GLOBAL BRANDS GROUP HOLDING COMMON STOCK HKD.0125
 
 
**
1,530,288

GLOBAL INDEMNITY PLC COMMON STOCK USD.0001
 
 
**
38,655

GLOBAL PAYMENTS INC COMMON STOCK
 
 
**
10,706,983

GLOBAL POWER EQUIPMENT GROUP COMMON STOCK USD.01
 
 
**
5,349

GLORY LTD COMMON STOCK
 
 
**
661,337

GMAT TRUST GMAT 2013 1A A 144A
5/15/2022
3.97%
**
62,174

GMO INTERNET INC COMMON STOCK
 
 
**
573,974

GNMA POOL 783867 GN 08/36 FIXED 6
5/15/2022
6.00%
**
1,149,092

GO FINANCIAL AUTO SECURITIZATI GFAST 2015 1 A 144A
5/15/2022
1.81%
**
203,842

GO FINANCIAL AUTO SECURITIZATI GFAST 2015 2 A 144A
5/15/2022
3.30%
**
706,541

GODADDY INC CLASS A COMMON STOCK USD.001
 
 
**
1,001,009

GODREJ CONSUMER PRODUCTS LTD COMMON STOCK INR1.
 
 
**
126,316

GOLD RESOURCE CORP COMMON STOCK USD.001
 
 
**
8,677

GOLDCREST CO LTD COMMON STOCK
 
 
**
160,200

GOLDEN CREDIT CARD TRUST GCCT 2015 3A A 144A
11/18/2016
0.62%
**
4,019,315

GOLDEN OCEAN GROUP LTD COMMON STOCK USD.01
 
 
**
5,703

GOLDMAN FUTURES CASH COLLATERAL FEDL01
3/16/2021
0.26%
**
167,000

GOLDMAN SACHS GROUP INC COMMON STOCK USD.01
 
 
**
27,255,642

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 5.95
5/15/2022
5.95%
**
425,406

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 5.95
1/14/2030
5.95%
**
113,083

GOLDMAN SACHS GROUP INC SR UNSECURED 01/19 2.625
5/15/2022
2.63%
**
106,758

GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75
5/15/2022
5.75%
**
449,202

GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75
1/14/2030
5.75%
**
346,852

GOLDMAN SACHS GROUP INC SR UNSECURED 02/19 7.5
5/15/2022
7.50%
**
77,810

GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 4
1/14/2030
4.00%
**
2,155,398

GOLDMAN SACHS GROUP INC SR UNSECURED 04/20 VAR
3/16/2021
1.48%
**
1,101,629

GOLDMAN SACHS GROUP INC SR UNSECURED 06/17 VAR
4/15/2017
1.06%
**
797,730

GOLDMAN SACHS GROUP INC SR UNSECURED 09/20 VAR
4/15/2017
1.71%
**
400,870

GOLDMAN SACHS GROUP INC SR UNSECURED 11/18 VAR
1/14/2030
1.46%
**
602,437

GOLDMAN SACHS GROUP INC SUBORDINATED 05/36 6.45
5/15/2022
6.45%
**
186,525

GOLDMAN SACHS GROUP INC SUBORDINATED 10/37 6.75
5/15/2022
6.75%
**
187,030

GOME ELECTRICAL APPLIANCES COMMON STOCK HKD.025
 
 
**
676,613

GOODMAN GROUP REIT
 
 
**
110,691

GOODYEAR TIRE + RUBBER CO COMMON STOCK
 
 
**
154,627

GOVERNMENT NATIONAL MORTGAGE A GNR 2004 19 KE
5/15/2022
5.00%
**
394,281

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 35 TE
5/15/2022
6.00%
**
110,744

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 70 PE
5/15/2022
5.50%
**
185,950

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H04 BA
5/15/2022
1.65%
**
339,794

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H05 FB
5/15/2022
0.59%
**
313,971

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H11 FC
1/14/2030
0.74%
**
2,551,841

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FA
1/14/2030
0.76%
**
3,745,188


57
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FB
1/14/2030
0.79%
**
592,236

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H32 FH
5/15/2022
0.91%
**
389,585

GOVERNMENT PROPERTIES INCOME REIT USD.01
 
 
**
46,261

GP STRATEGIES CORP W/D COMMON STOCK USD.01
 
 
**
43,742

GPT GROUP REIT NPV
 
 
**
71,467

GRACO INC COMMON STOCK USD1.
 
 
**
2,277,412

GRAHAM HOLDINGS CO CLASS B COMMON STOCK USD1.0
 
 
**
248,305

GRAND CANYON EDUCATION INC COMMON STOCK USD.01
 
 
**
2,451,332

GRAND CITY PROPERTIES COMMON STOCK EUR.1
 
 
**
1,020,407

GRANITE CONSTRUCTION INC COMMON STOCK USD.01
 
 
**
36,216

GRAY TELEVISION INC COMMON STOCK
 
 
**
95,029

GREAT HALL MORTGAGES PLC GHM 2006 1 A2B REGS
3/16/2021
0.11%
**
943,130

GREAT HALL MORTGAGES PLC GHM 2007 1 A2B REGS
3/16/2021
0.09%
**
851,479

GREAT HALL MORTGAGES PLC GHM 2007 2A AC 144A
3/16/2021
0.47%
**
2,345,276

GREAT LAKES DREDGE + DOCK CO COMMON STOCK USD.0001
 
 
**
24,354

GREAT SOUTHERN BANCORP INC COMMON STOCK USD.01
 
 
**
60,286

GREAT WALL MOTOR COMPANY H COMMON STOCK CNY1.0
 
 
**
36,783

GREAT WEST LIFECO INC COMMON STOCK
 
 
**
106,889

GREATBATCH INC COMMON STOCK USD.001
 
 
**
3,065,475

GREEN DOT CORP CLASS A COMMON STOCK USD.001
 
 
**
63,956

GREEN PLAINS INC COMMON STOCK USD.001
 
 
**
19,648

GREENLIGHT CAPITAL RE LTD A COMMON STOCK USD.01
 
 
**
57,533

GREIF INC CL A COMMON STOCK
 
 
**
69,477

GREIF INC CL B COMMON STOCK
 
 
**
70,143

GROUP 1 AUTOMOTIVE INC COMMON STOCK USD.01
 
 
**
178,425

GROUPE BRUXELLES LAMBERT SA COMMON STOCK
 
 
**
85,547

GROWTHPOINT PROPERTIES LTD REIT
 
 
**
98,267

GRUMA S.A.B. B COMMON STOCK
 
 
**
835,356

GRUPO TELEVISA SA SPON ADR ADR
 
 
**
7,521,443

GS MORTGAGE SECURITIES TRUST GSMS 2010 C2 A1 144A
4/15/2017
3.85%
**
14,452

GS MORTGAGE SECURITIES TRUST GSMS 2011 GC5 D 144A
5/15/2022
5.47%
**
560,856

GSI GROUP INC COMMON STOCK
 
 
**
46,063

GUARANTY BANCORP COMMON STOCK USD.001
 
 
**
35,594

GUESS? INC COMMON STOCK USD.01
 
 
**
143,205

GUJARAT STATE PETRONET LTD COMMON STOCK INR10.
 
 
**
464,585

GULF ISLAND FABRICATION INC COMMON STOCK
 
 
**
16,077

GULFPORT ENERGY CORP COMMON STOCK USD.01
 
 
**
102,776

GUNGHO ONLINE ENTERTAINMENT COMMON STOCK
 
 
**
70,015

H.B. FULLER CO. COMMON STOCK USD1.
 
 
**
163,750

H+E EQUIPMENT SERVICES INC COMMON STOCK USD.01
 
 
**
9,666

H+R REAL ESTATE INV REIT UTS REIT
 
 
**
62,065

HACHIJUNI BANK LTD/THE COMMON STOCK
 
 
**
117,669

HACKETT GROUP INC/THE COMMON STOCK USD.001
 
 
**
46,121

HAEMONETICS CORP/MASS COMMON STOCK USD.01
 
 
**
123,673

HAITONG INTERNATIONAL SECURI COMMON STOCK HKD.1
 
 
**
343,433

HAKUHODO DY HOLDINGS INC COMMON STOCK
 
 
**
155,699

HALCON RESOURCES CORP COMMON STOCK USD.0001
 
 
**
6,871


58
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

HALLIBURTON COMPANY SR UNSECURED 08/23 3.5
5/15/2022
3.50%
**
112,864

HALLMARK FINL SERVICES INC COMMON STOCK USD.18
 
 
**
22,760

HALYARD HEALTH INC COMMON STOCK USD.01
 
 
**
30,503

HAMMERSON PLC REIT GBP.25
 
 
**
60,480

HANA FINANCIAL GROUP COMMON STOCK KRW5000.
 
 
**
207,128

HANCOCK HOLDING CO COMMON STOCK USD3.33
 
 
**
206,394

HANGER INC COMMON STOCK USD.01
 
 
**
38,773

HANMI FINANCIAL CORPORATION COMMON STOCK USD.001
 
 
**
75,358

HANNOVER RUECK SE COMMON STOCK
 
 
**
1,736,434

HANON SYSTEMS COMMON STOCK KRW100.0
 
 
**
644,064

HANOVER INSURANCE GROUP INC/ COMMON STOCK USD.01
 
 
**
2,968,666

HANWHA CORPORATION COMMON STOCK KRW5000.0
 
 
**
617,840

HANWHA LIFE INSURANCE CO LTD COMMON STOCK KRW5000.
 
 
**
340,745

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A
3/16/2021
0.55%
**
928,134

HARDINGE INC COMMON STOCK USD.01
 
 
**
10,504

HARLEY DAVIDSON INC COMMON STOCK USD.01
 
 
**
3,803,909

HARMONIC INC COMMON STOCK USD.001
 
 
**
37,961

HARRIS CORP COMMON STOCK USD1.
 
 
**
61,612

HARTE HANKS INC COMMON STOCK USD1.
 
 
**
18,598

HARTFORD FINANCIAL SVCS GRP COMMON STOCK USD.01
 
 
**
2,312,072

HARVARD BIOSCIENCE INC COMMON STOCK USD.01
 
 
**
11,382

HARVEY NORMAN HOLDINGS LTD COMMON STOCK
 
 
**
168,410

HAULOTTE GROUP COMMON STOCK EUR.13
 
 
**
370,230

HAVERTY FURNITURE COMMON STOCK USD1.
 
 
**
37,348

HAWAIIAN HOLDINGS INC COMMON STOCK USD.01
 
 
**
82,920

HAWAIIAN TELCOM HOLDCO INC COMMON STOCK USD.01
 
 
**
28,017

HAWKINS INC COMMON STOCK USD.05
 
 
**
36,664

HBOS PLC SUBORDINATED 09/16 VAR
3/16/2021
0.77%
**
216,988

HBOS PLC SUBORDINATED 09/16 VAR
4/15/2017
1.30%
**
298,896

HBOS PLC SUBORDINATED 09/16 VAR
3/16/2021
1.03%
**
2,291,534

HCA HOLDINGS INC COMMON STOCK USD.01
 
 
**
5,794,741

HCL TECHNOLOGIES LTD COMMON STOCK INR2.0
 
 
**
89,125

HCP INC SR UNSECURED 02/20 2.625
5/15/2022
2.63%
**
66,952

HCP INC SR UNSECURED 08/24 3.875
5/15/2022
3.88%
**
86,261

HCP INC SR UNSECURED 11/23 4.25
5/15/2022
4.25%
**
81,114

HEADWATERS INC COMMON STOCK USD.001
 
 
**
503,807

HEALTHCARE REALTY TRUST INC REIT USD.01
 
 
**
185,779

HEALTHCARE TRUST OF AME CL A REIT USD.01
 
 
**
189,356

HEALTHSOUTH CORP W/D COMMON STOCK USD.01
 
 
**
4,759,711

HEALTHSTREAM INC COMMON STOCK
 
 
**
30,250

HEALTHWAYS INC COMMON STOCK USD.001
 
 
**
39,575

HEARTLAND FINANCIAL USA INC COMMON STOCK USD1.
 
 
**
61,058

HEARTLAND PAYMENT SYSTEMS IN COMMON STOCK USD.001
 
 
**
10,293,754

HEATHROW FINANCE PLC SR SECURED REGS 03/17 7.125
3/16/2021
7.13%
**
2,332,471

HECLA MINING CO COMMON STOCK USD.25
 
 
**
44,169

HEIDRICK + STRUGGLES INTL COMMON STOCK USD.01
 
 
**
50,221

HEINEKEN NV COMMON STOCK EUR1.6
 
 
**
1,188,912


59
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

HEINEKEN NV SR UNSECURED 144A 04/22 3.4
5/15/2022
3.40%
**
40,569

HELEN OF TROY LTD COMMON STOCK USD.1
 
 
**
202,072

HELIX ENERGY SOLUTIONS GROUP COMMON STOCK
 
 
**
934,555

HELLENIC RAILWAY ORG GOVT GUARANT REGS 12/17 5.014
3/16/2021
5.01%
**
198,793

HELLENIC REPUBLIC BONDS REGS 02/23 VAR
4/15/2017
3.00%
**
20,178

HELLENIC REPUBLIC BONDS REGS 02/24 VAR
4/15/2017
3.00%
**
19,540

HELLENIC REPUBLIC BONDS REGS 02/25 VAR
4/15/2017
3.00%
**
19,105

HELLENIC REPUBLIC BONDS REGS 02/26 VAR
4/15/2017
3.00%
**
18,467

HELLENIC REPUBLIC BONDS REGS 02/27 VAR
4/15/2017
3.00%
**
18,008

HELLENIC REPUBLIC BONDS REGS 02/28 VAR
4/15/2017
3.00%
**
17,623

HELLENIC REPUBLIC BONDS REGS 02/29 VAR
4/15/2017
3.00%
**
17,455

HELLENIC REPUBLIC BONDS REGS 02/30 VAR
4/15/2017
3.00%
**
16,971

HELLENIC REPUBLIC BONDS REGS 02/31 VAR
4/15/2017
3.00%
**
16,467

HELLENIC REPUBLIC BONDS REGS 02/32 VAR
4/15/2017
3.00%
**
16,277

HELLENIC REPUBLIC BONDS REGS 02/33 VAR
4/15/2017
3.00%
**
15,953

HELLENIC REPUBLIC BONDS REGS 02/34 VAR
4/15/2017
3.00%
**
15,847

HELLENIC REPUBLIC BONDS REGS 02/35 VAR
4/15/2017
3.00%
**
15,455

HELLENIC REPUBLIC BONDS REGS 02/36 VAR
4/15/2017
3.00%
**
15,303

HELLENIC REPUBLIC BONDS REGS 02/37 VAR
4/15/2017
3.00%
**
15,208

HELLENIC REPUBLIC BONDS REGS 02/38 VAR
4/15/2017
3.00%
**
15,139

HELLENIC REPUBLIC BONDS REGS 02/39 VAR
4/15/2017
3.00%
**
15,469

HELLENIC REPUBLIC BONDS REGS 02/40 VAR
4/15/2017
3.00%
**
15,454

HELLENIC REPUBLIC BONDS REGS 02/41 VAR
4/15/2017
3.00%
**
15,472

HELLENIC REPUBLIC BONDS REGS 02/42 VAR
4/15/2017
3.00%
**
15,447

HELLENIC REPUBLIC SCHULDSCHEIN LOAN
3/16/2021
1.00%
**
2,074,833

HELMERICH + PAYNE COMMON STOCK USD.1
 
 
**
1,530,298

HEMISPHERE MEDIA GROUP INC COMMON STOCK USD.0001
 
 
**
18,143

HENNES + MAURITZ AB B SHS COMMON STOCK
 
 
**
3,696,359

HERITAGE COMMERCE CORP COMMON STOCK
 
 
**
30,642

HERITAGE CRYSTAL CLEAN INC COMMON STOCK USD.01
 
 
**
19,557

HERITAGE FINANCIAL CORP COMMON STOCK
 
 
**
57,933

HERMAN MILLER INC COMMON STOCK USD.2
 
 
**
2,269,625

HERMES INTERNATIONAL COMMON STOCK
 
 
**
552,683

HERMES MICROVISION INC COMMON STOCK TWD10.
 
 
**
291,046

HERSHA HOSPITALITY TRUST REIT USD.01
 
 
**
74,702

HESS CORP COMMON STOCK USD1.
 
 
**
7,310,784

HESS CORP SR UNSECURED 02/19 8.125
5/15/2022
8.13%
**
56,669

HESS CORP SR UNSECURED 10/29 7.875
5/15/2022
7.88%
**
60,079

HEWLETT PACKARD ENTERPRIS COMMON STOCK USD.01
 
 
**
5,011,440

HIGHWOODS PROPERTIES INC REIT USD.01
 
 
**
5,427,764

HIKMA PHARMACEUTICALS PLC COMMON STOCK GBP.1
 
 
**
1,556,978

HILL INTERNATIONAL INC COMMON STOCK USD.0001
 
 
**
12,726

HILLENBRAND INC COMMON STOCK
 
 
**
79,142

HILLTOP HOLDINGS INC COMMON STOCK USD.01
 
 
**
167,445

HISTORIC TW INC COMPANY GUAR 02/23 9.15
5/15/2022
9.15%
**
129,744

HITACHI HIGH TECHNOLOGIES CO COMMON STOCK
 
 
**
410,241

HITACHI TRANSPORT SYSTEM LTD COMMON STOCK
 
 
**
440,999


60
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

HOKUHOKU FINANCIAL GROUP INC COMMON STOCK
 
 
**
76,279

HOLDING ACCOUNT
 
 
**
92,460,919

HOLLYFRONTIER CORP COMMON STOCK USD.01
 
 
**
92,545

HOLOGIC INC COMMON STOCK USD.01
 
 
**
350,918

HOME BANCORP INC COMMON STOCK USD.01
 
 
**
18,628

HOME BANCSHARES INC COMMON STOCK USD.01
 
 
**
2,851,595

HOME DEPOT INC COMMON STOCK USD.05
 
 
**
3,287,206

HOME DEPOT INC SR UNSECURED 06/22 2.625
5/15/2022
2.63%
**
84,911

HOME DEPOT INC SR UNSECURED 09/17 VAR
11/18/2016
0.88%
**
1,229,337

HOMESTAR MORTGAGE ACCEPTANCE C HMAC 2004 4 A3
5/15/2022
1.32%
**
129,190

HOMESTREET INC COMMON STOCK
 
 
**
33,368

HOMETRUST BANCSHARES INC COMMON STOCK
 
 
**
43,578

HON HAI PRECISION GDR REG S GDR
 
 
**
1,333,820

HON HAI PRECISION INDUSTRY COMMON STOCK TWD10.
 
 
**
681,549

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 1 A3
5/15/2022
0.48%
**
15,374

HONDA AUTO RECEIVABLES OWNER T HAROT 2015 3 A2
11/18/2016
1.03%
**
2,779,374

HONDA MOTOR CO LTD COMMON STOCK
 
 
**
5,697,851

HONDA MOTOR CO LTD SPONS ADR ADR
 
 
**
2,455,417

HONEYWELL INTERNATIONAL INC COMMON STOCK USD1.
 
 
**
28,695,311

HONG KONG + CHINA GAS COMMON STOCK
 
 
**
210,406

HONG KONG DOLLAR
3/16/2021
 
**
45

HONG KONG DOLLAR
 
 
**
3,967

HONG KONG EXCHANGES + CLEAR COMMON STOCK HKD1.0
 
 
**
396,992

HOOKER FURNITURE CORP COMMON STOCK
 
 
**
28,445

HORACE MANN EDUCATORS COMMON STOCK USD.001
 
 
**
136,038

HORIZON BANCORP INDIANA COMMON STOCK
 
 
**
25,779

HORIZON GLOBAL CORP COMMON STOCK USD.01
 
 
**
15,721

HORIZON PHARMA PLC COMMON STOCK USD.0001
 
 
**
2,275,350

HORNBECK OFFSHORE SERVICES COMMON STOCK USD.01
 
 
**
32,603

HORTONWORKS INC COMMON STOCK USD.0001
 
 
**
835,463

HOSPITALITY PROPERTIES TRUST REIT USD.01
 
 
**
265,344

HOST HOTELS + RESORTS LP SR UNSECURED 06/25 4
1/14/2030
4.00%
**
671,024

HOUSING DEVELOPMENT FINANCE COMMON STOCK INR2.
 
 
**
3,250,937

HOUSTON WIRE + CABLE CO COMMON STOCK USD.001
 
 
**
9,198

HOYA CORP COMMON STOCK
 
 
**
8,492,482

HP ENTERPRISE CO SR UNSECURED 144A 10/17 2.45
4/15/2017
2.45%
**
49,958

HP ENTERPRISE CO SR UNSECURED 144A 10/18 2.85
4/15/2017
2.85%
**
49,972

HP INC COMMON STOCK USD.01
 
 
**
6,874,067

HP INC SR UNSECURED 12/21 4.65
5/15/2022
4.65%
**
158,399

HSBC BANK USA SUBORDINATED 11/34 5.875
5/15/2022
5.88%
**
115,876

HSBC HOLDINGS PLC COMMON STOCK
 
 
**
6,196,654

HSBC HOLDINGS PLC JR SUBORDINA 12/49 VAR
1/14/2030
6.38%
**
299,625

HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR
1/14/2030
6.00%
**
437,127

HSBC HOLDINGS PLC SR UNSECURED 01/22 4.875
5/15/2022
4.88%
**
148,082

HSBC HOLDINGS PLC SR UNSECURED 03/22 4
5/15/2022
4.00%
**
288,686

HSBC HOLDINGS PLC SR UNSECURED 04/21 5.1
3/16/2021
5.10%
**
2,167,930

HSBC USA INC SR UNSECURED 01/18 1.625
5/15/2022
1.63%
**
159,208


61
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

HSN INC COMMON STOCK USD.01
 
 
**
2,280,150

HTC CORP COMMON STOCK TWD10.0
 
 
**
230,341

HUB GROUP INC CL A COMMON STOCK USD.01
 
 
**
101,321

HUBSPOT INC COMMON STOCK USD.001
 
 
**
898,989

HULIC CO LTD COMMON STOCK
 
 
**
389,228

HUMANA INC COMMON STOCK USD.166
 
 
**
1,945,759

HUNGARIAN FORINT
3/16/2021
 
**
13,938

HUNGARIAN FORINT
 
 
**
3,098

HUNTSMAN CORP COMMON STOCK USD.01
 
 
**
268,048

HURCO COMPANIES INC COMMON STOCK
 
 
**
19,044

HURON CONSULTING GROUP INC COMMON STOCK USD.01
 
 
**
7,118,140

HUSQVARNA AB B SHS COMMON STOCK SEK2.0
 
 
**
625,402

HUTCH WHAMPOA INT 11 LTD COMPANY GUAR 144A 01/17 3.5
11/18/2016
3.50%
**
1,079,462

HYDRO QUEBEC LOCAL GOVT G 01/22 8.4
5/15/2022
8.40%
**
180,833

HYDRO QUEBEC LOCAL GOVT G 07/24 8.05
5/15/2022
8.05%
**
235,519

HYOSUNG CORPORATION COMMON STOCK KRW5000.
 
 
**
53,011

HYPROP INVESTMENTS LTD UTS REIT
 
 
**
47,261

HYSAN DEVELOPMENT CO COMMON STOCK
 
 
**
73,973

HYSTER YALE MATERIALS COMMON STOCK USD.01
 
 
**
53,761

HYUNDAI AUTO LEASE SECURITIZAT HALST 2014 B A2 144A
11/18/2016
0.61%
**
1,399,144

HYUNDAI AUTO LEASE SECURITIZAT HALST 2015 A A2 144A
11/18/2016
1.00%
**
3,149,027

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A A3
5/15/2022
0.56%
**
32,141

HYUNDAI AUTO RECEIVABLES TRUST HART 2015 C A2A
11/18/2016
0.99%
**
1,005,711

HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 08/16 1.875
11/18/2016
1.88%
**
1,628,427

HYUNDAI DEVELOPMENT CO ENGIN COMMON STOCK KRW5000.
 
 
**
87,755

HYUNDAI ENGINEERING + CONST COMMON STOCK KRW5000.
 
 
**
131,190

HYUNDAI MOBIS CO LTD COMMON STOCK KRW5000.
 
 
**
354,651

HYUNDAI WIA CORP COMMON STOCK KRW5000.
 
 
**
444,638

IBERIABANK CORP COMMON STOCK USD1.
 
 
**
2,420,712

IBM CORP SR UNSECURED 01/16 2
5/15/2022
2.00%
**
160,000

IBM CORP SR UNSECURED 06/42 4
5/15/2022
4.00%
**
135,632

IBM CORP SR UNSECURED 11/39 5.6
5/15/2022
5.60%
**
22,134

ICAP PLC COMMON STOCK GBP.1
 
 
**
503,821

ICF INTERNATIONAL INC COMMON STOCK USD.001
 
 
**
72,898

ICON PLC COMMON STOCK EUR.06
 
 
**
2,773,113

ICU MEDICAL INC COMMON STOCK USD.1
 
 
**
173,343

IDACORP INC COMMON STOCK
 
 
**
2,543,373

IDEA CELLULAR LTD COMMON STOCK INR10.
 
 
**
142,259

IDT CORP CLASS B COMMON STOCK USD.01
 
 
**
12,779

IG GROUP HOLDINGS PLC COMMON STOCK GBP.00005
 
 
**
351,293

IHH HEALTHCARE BHD COMMON STOCK MYR1.0
 
 
**
19,157

II VI INC COMMON STOCK
 
 
**
106,534

IIDA GROUP HOLDINGS CO LTD COMMON STOCK
 
 
**
35,696

ILLINOIS TOOL WORKS COMMON STOCK USD.01
 
 
**
3,967,260

ILLINOIS TOOL WORKS INC SR UNSECURED 09/21 3.375
5/15/2022
3.38%
**
77,140

ILLUMINA INC COMMON STOCK USD.01
 
 
**
11,183,483

IMATION CORP COMMON STOCK USD.01
 
 
**
5,195


62
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

IMAX CORP COMMON STOCK
 
 
**
2,292,330

IMPERIAL BRANDS PLC COMMON STOCK GBP.1
 
 
**
2,945,175

IMPERVA INC COMMON STOCK USD.0001
 
 
**
12,060,112

IMPLENIA AG REG COMMON STOCK CHF1.02
 
 
**
481,902

IMS HEALTH HOLDINGS INC COMMON STOCK USD.01
 
 
**
937,500

INC RESEARCH HOLDINGS INC A COMMON STOCK USD.01
 
 
**
4,893,689

INCHCAPE PLC COMMON STOCK GBP.1
 
 
**
340,509

INCYTE CORP COMMON STOCK USD.001
 
 
**
4,920,377

IND + COMM BK OF CHINA H COMMON STOCK CNY1.0
 
 
**
628,618

INDEPENDENCE HOLDING CO COMMON STOCK USD1.
 
 
**
24,127

INDEPENDENT BANK CORP/MA COMMON STOCK USD.01
 
 
**
109,648

INDEPENDENT BANK GROUP INC COMMON STOCK USD.01
 
 
**
45,920

INDIABULLS HOUSING FINANCE L COMMON STOCK INR2.0
 
 
**
23,081

INDIAN RUPEE
 
 
**
2,277

INDIANA MICHIGAN POWER SR UNSECURED 03/23 3.2
5/15/2022
3.20%
**
88,730

INDOFOOD SUKSES MAKMUR TBK P COMMON STOCK IDR100.
 
 
**
48,503

INDONESIA GOVERNMENT SR UNSECURED 03/34 8.375
3/16/2021
8.38%
**
3,014,342

INDONESIA GOVERNMENT SR UNSECURED 05/33 6.625
3/16/2021
6.63%
**
101,225

INDONESIA GOVERNMENT SR UNSECURED 06/32 8.25
3/16/2021
8.25%
**
2,601,604

INDONESIAN RUPIAH
 
 
**
93,003

INDUSTRIA DE DISENO TEXTIL COMMON STOCK EUR.03
 
 
**
7,538,112

INDUSTRIAL BANK OF KOREA SR UNSECURED 144A 07/17 2.375
1/14/2030
2.38%
**
1,308,129

INFINEON TECHNOLOGIES AG COMMON STOCK
 
 
**
258,523

INFINERA CORP COMMON STOCK USD.001
 
 
**
1,650,207

INFORMA PLC COMMON STOCK GBP.001
 
 
**
623,009

INFOSYS LTD SP ADR ADR
 
 
**
942,087

INFRASTRUTTURE WIRELESS ITAL COMMON STOCK
 
 
**
318,642

ING BANK NV COVERED REGS 12/22 2.625
3/16/2021
2.63%
**
4,228,328

ING BANK NV SR UNSECURED 144A 03/16 4
11/18/2016
4.00%
**
661,262

ING BANK NV SR UNSECURED 144A 11/18 2
3/16/2021
2.00%
**
1,195,067

ING GROEP NV CVA DUTCH CERT EUR.24
 
 
**
5,141,644

INGENICO GROUP COMMON STOCK EUR1.0
 
 
**
792,354

INGLES MARKETS INC CLASS A COMMON STOCK USD.05
 
 
**
63,255

INGRAM MICRO INC CL A COMMON STOCK USD.01
 
 
**
4,578,114

INGREDION INC COMMON STOCK USD.01
 
 
**
572,836

INNERWORKINGS INC COMMON STOCK USD.0001
 
 
**
39,975

INNOLUX CORP COMMON STOCK TWD10.
 
 
**
171,583

INNOPHOS HOLDINGS INC COMMON STOCK USD.001
 
 
**
62,365

INNOSPEC INC COMMON STOCK USD.01
 
 
**
128,009

INOTERA MEMORIES INC COMMON STOCK TWD10.
 
 
**
1,535,050

INOVALON HOLDINGS INC A COMMON STOCK
 
 
**
2,014,549

INPEX CORP COMMON STOCK
 
 
**
2,584,951

INPHI CORP COMMON STOCK
 
 
**
2,537,502

INSIGHT ENTERPRISES INC COMMON STOCK USD.01
 
 
**
92,693

INSTEEL INDUSTRIES INC COMMON STOCK
 
 
**
38,597

INTEGRA LIFESCIENCES HOLDING COMMON STOCK USD.01
 
 
**
114,480

INTEGRATED DEVICE TECH INC COMMON STOCK USD.001
 
 
**
2,638,399


63
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

INTEL CORP COMMON STOCK USD.001
 
 
**
37,694,811

INTEL CORP SR UNSECURED 07/22 3.1
5/15/2022
3.10%
**
30,591

INTEL CORP SR UNSECURED 07/25 3.7
5/15/2022
3.70%
**
86,886

INTEL CORP SR UNSECURED 10/21 3.3
5/15/2022
3.30%
**
31,075

INTER PARFUMS INC COMMON STOCK USD.001
 
 
**
63,480

INTERACTIVE BROKERS GRO CL A COMMON STOCK USD.01
 
 
**
2,135,790

INTERCONTINENTAL EXCHANGE IN COMMON STOCK USD.01
 
 
**
34,768,332

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/23 4
5/15/2022
4.00%
**
63,855

INTERFACE INC COMMON STOCK USD.1
 
 
**
2,320,955

INTERNAP CORP COMMON STOCK USD.001
 
 
**
30,272

INTERNATIONAL BANCSHARES CRP COMMON STOCK USD1.
 
 
**
171,213

INTERNATIONAL PAPER CO COMMON STOCK USD1.0
 
 
**
3,649,360

INTERNET INITIATIVE JAPAN COMMON STOCK
 
 
**
679,719

INTERPUMP GROUP SPA COMMON STOCK EUR.52
 
 
**
381,584

INTERSIL CORP A COMMON STOCK USD.01
 
 
**
96,517

INTERVAL LEISURE GROUP COMMON STOCK USD.01
 
 
**
6,556

INTESA SANPAOLO COMMON STOCK EUR.52
 
 
**
1,420,404

INTESA SANPAOLO SPA COMPANY GUAR 01/16 3.125
1/14/2030
3.13%
**
500,250

INTESA SANPAOLO SPA COMPANY GUAR 01/17 2.375
1/14/2030
2.38%
**
401,301

INTESA SANPAOLO SPA SUBORDINATED 144A 06/24 5.017
3/16/2021
5.02%
**
1,869,313

INTESA SANPAOLO SPA SUBORDINATED 144A 06/24 5.017
1/14/2030
5.02%
**
1,082,234

INTEVAC INC COMMON STOCK
 
 
**
11,101

INTL BUSINESS MACHINES CORP COMMON STOCK USD.2
 
 
**
6,151,752

INTL CONSOLIDATED AIRLINE DI COMMON STOCK EUR.5
 
 
**
2,206,104

INTL FCSTONE INC COMMON STOCK USD.01
 
 
**
58,287

INTL LEASE FINANCE CORP SR SECURED 144A 09/16 6.75
3/16/2021
6.75%
**
226,050

INTL LEASE FINANCE CORP SR UNSECURED 03/17 8.75
1/14/2030
8.75%
**
106,500

INTL SPEEDWAY CORP CL A COMMON STOCK USD.01
 
 
**
89,864

INTRA CELLULAR THERAPIES INC COMMON STOCK USD.0001
 
 
**
2,559,436

INTRALINKS HOLDINGS INC COMMON STOCK USD.001
 
 
**
1,593,136

INTREPID POTASH INC COMMON STOCK USD.001
 
 
**
19,957

INTUIT INC COMMON STOCK USD.01
 
 
**
30,690,185

INTUIT INC SR UNSECURED 03/17 5.75
5/15/2022
5.75%
**
68,102

INVACARE CORP COMMON STOCK USD.25
 
 
**
55,248

INVESTEC LTD COMMON STOCK ZAR.0002
 
 
**
234,285

INVESTEC PLC COMMON STOCK GBP.0002
 
 
**
740,356

INVESTMENT AB KINNEVIK B SHS COMMON STOCK SEK.1
 
 
**
86,706

INVESTMENT TECHNOLOGY GROUP COMMON STOCK USD.01
 
 
**
59,315

INVESTOR AB B SHS COMMON STOCK SEK6.25
 
 
**
168,414

INVESTORS BANCORP INC COMMON STOCK USD.01
 
 
**
175,298

INVESTORS REAL ESTATE TRUST REIT
 
 
**
53,425

INVESTORS TITLE CO COMMON STOCK
 
 
**
19,844

ION GEOPHYSICAL CORP COMMON STOCK USD.01
 
 
**
5,518

IPALCO ENTERPRISES INC SR SECURED 07/20 3.45
1/14/2030
3.45%
**
980,000

IPG PHOTONICS CORP COMMON STOCK USD.0001
 
 
**
2,362,294

IPSOS COMMON STOCK EUR.25
 
 
**
198,241

IRIDIUM COMMUNICATIONS INC COMMON STOCK USD.001
 
 
**
78,440


64
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

IRONWOOD PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
1,460,015

ISETAN MITSUKOSHI HOLDINGS L COMMON STOCK
 
 
**
279,506

ISS A/S COMMON STOCK DKK1.0
 
 
**
259,314

ISUZU MOTORS LTD COMMON STOCK
 
 
**
115,785

ITAU UNIBANCO H SPON PRF ADR ADR
 
 
**
145,577

ITAU UNIBANCO HLDG SA/KY SUBORDINATED 144A 03/22 5.65
3/16/2021
5.65%
**
1,337,625

ITAUSA INVESTIMENTOS ITAU PR PREFERENCE
 
 
**
69,057

ITC HOLDINGS CORP COMMON STOCK
 
 
**
2,703,462

ITC LTD COMMON STOCK INR1.
 
 
**
170,574

ITRON INC COMMON STOCK
 
 
**
107,418

ITT CORP COMMON STOCK USD1.
 
 
**
136,999

ITV PLC COMMON STOCK GBP.1
 
 
**
415,463

IXIA COMMON STOCK
 
 
**
55,686

IXYS CORPORATION COMMON STOCK USD.01
 
 
**
40,126

J + J SNACK FOODS CORP COMMON STOCK
 
 
**
4,812,054

J FRONT RETAILING CO LTD COMMON STOCK
 
 
**
60,190

J P MORGAN MBS FUND COMMINGLED J P MORGAN MBS FUND COMMINGLED
5/15/2022
 
**
51,955,485

J.C. PENNEY CO INC COMMON STOCK USD.5
 
 
**
180,899

J2 GLOBAL INC COMMON STOCK USD.01
 
 
**
5,156,936

JABIL CIRCUIT INC COMMON STOCK USD.001
 
 
**
434,475

JACK HENRY + ASSOCIATES INC COMMON STOCK USD.01
 
 
**
6,478,980

JACKSON NATL LIFE GLOBAL SR SECURED 144A 10/17 VAR
11/18/2016
0.9%
**
5,077,272

JACOBS ENGINEERING GROUP INC COMMON STOCK USD1.
 
 
**
2,810,231

JAMES HARDIE INDUSTRIES CDI CDI EUR.59
 
 
**
168,068

JAPAN (20 YEAR ISSUE) SR UNSECURED 09/34 1.4
3/16/2021
1.4%
**
90,310

JAPAN AIRLINES CO LTD COMMON STOCK
 
 
**
887,169

JAPAN PRIME REALTY INVESTMEN REIT
 
 
**
30,899

JAPAN REAL ESTATE INVESTMENT REIT
 
 
**
82,954

JAPAN RETAIL FUND INVESTMENT REIT
 
 
**
63,698

JAPAN TOBACCO INC COMMON STOCK
 
 
**
4,705,338

JAPAN TREASURY DISC BILL BILLS 01/16 0.00000
3/16/2021
 
**
748,150

JAPAN TREASURY DISC BILL BILLS 02/16 0.00000
4/15/2017
0.01%
**
4,156,503

JAPAN TREASURY DISC BILL BILLS 02/16 0.00000
3/16/2021
 
**
2,327,642

JAPAN TREASURY DISC BILL BILLS 02/16 0.00000
3/16/2021
0.01%
**
20,699,467

JAPAN TREASURY DISC BILL BILLS 02/16 0.00000
4/15/2017
0.01%
**
2,244,536

JAPAN TREASURY DISC BILL BILLS 02/16 0.00000
3/16/2021
 
**
4,655,334

JAPAN TREASURY DISC BILL BILLS 02/16 0.00000
4/15/2017
0.01%
**
2,244,543

JAPAN TREASURY DISC BILL BILLS 03/16 0.00000
4/15/2017
0.01%
**
2,577,078

JAPAN TREASURY DISC BILL BILLS 03/16 0.00000
3/16/2021
 
**
23,526,229

JAPAN TREASURY DISC BILL BILLS 03/16 0.00000
3/16/2021
0.01%
**
26,020,280

JAPANESE YEN
4/15/2017
 
**
10,556

JAPANESE YEN
3/16/2021
 
**
250,617

JAPANESE YEN
1/14/2030
 
**
429

JAPANESE YEN
 
 
**
260

JARDEN CORP
 
 
**
3,777,239


65
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

JBS SA COMMON STOCK
 
 
**
694,878

JD.COM INC ADR ADR USD.00002
 
 
**
83,308

JEAN COUTU GROUP INC CLASS A COMMON STOCK
 
 
**
607,272

JEFFERIES GROUP LLC SR UNSECURED 03/16 5.5
5/15/2022
5.5%
**
70,570

JEFFERIES GROUP LLC SR UNSECURED 04/21 6.875
5/15/2022
6.88%
**
78,308

JETBLUE AIRWAYS CORP COMMON STOCK USD.01
 
 
**
1,410,393

JOHN B. SANFILIPPO + SON INC COMMON STOCK USD.01
 
 
**
44,305

JOHN DEERE CAPITAL CORP SR UNSECURED 03/18 1.3
5/15/2022
1.3%
**
173,437

JOHN DEERE CAPITAL CORP SR UNSECURED 07/17 VAR
11/18/2016
0.77%
**
2,455,741

JOHN DEERE CAPITAL CORP SR UNSECURED 10/17 1.2
5/15/2022
1.2%
**
54,800

JOHNSON + JOHNSON COMMON STOCK USD1.
 
 
**
26,160,421

JOHNSON CONTROLS INC COMMON STOCK USD.01388
 
 
**
21,945,383

JOHNSON CONTROLS INC SR UNSECURED 12/16 2.6
11/18/2016
2.6%
**
1,327,158

JOHNSON MATTHEY PLC COMMON STOCK GBP1.047619
 
 
**
226,080

JOHNSON OUTDOORS INC A COMMON STOCK USD.05
 
 
**
20,183

JOLLIBEE FOODS CORP COMMON STOCK PHP1.0
 
 
**
408,400

JOURNAL MEDIA GROUP INC COMMON STOCK USD.01
 
 
**
12,934

JP MORGAN CHASE BANK NA SR UNSECURED 06/17 VAR
4/15/2017
0.84%
**
797,188

JP MORGAN CHASE BANK NA SR UNSECURED 06/17 VAR
3/16/2021
0.75%
**
498,243

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP6 AM
5/15/2022
5.53%
**
190,836

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LDPX A3
4/15/2017
5.42%
**
184,823

JPMCB LIQUIDITY FUND JP MORGAN SHORT TERM EQUITY IN
11/18/2016
 
**
196,160,924

JPMORGAN CHASE + CO COMMON STOCK USD1.0
 
 
**
31,461,050

JPMORGAN CHASE + CO JR SUBORDINA 12/49 VAR
1/14/2030
5.3%
**
697,375

JPMORGAN CHASE + CO SR UNSECURED 01/20 2.25
1/14/2030
2.25%
**
1,377,293

JPMORGAN CHASE + CO SR UNSECURED 01/22 4.5
1/14/2030
4.5%
**
539,303

JPMORGAN CHASE + CO SR UNSECURED 05/21 4.625
1/14/2030
4.63%
**
1,620,231

JPMORGAN CHASE + CO SR UNSECURED 10/20 2.55
3/16/2021
2.55%
**
991,609

JTEKT CORP COMMON STOCK
 
 
**
190,008

JULIUS BAER GROUP LTD COMMON STOCK CHF.02
 
 
**
3,034,760

JUNGHEINRICH PRFD PREFERENCE
 
 
**
927,579

JUNTA DE ANDALUCIA SR UNSECURED REGS 04/16 VAR
3/16/2021
2.14%
**
1,183,877

JYSKE BANK REG COMMON STOCK DKK10.
 
 
**
281,671

K S AG REG COMMON STOCK
 
 
**
853,937

K12 INC COMMON STOCK USD.0001
 
 
**
22,546

KABU.COM SECURITIES CO LTD COMMON STOCK
 
 
**
387,597

KADANT INC COMMON STOCK USD.01
 
 
**
1,689,863

KAJIMA CORP COMMON STOCK
 
 
**
66,204

KALBE FARMA TBK PT COMMON STOCK IDR10.
 
 
**
71,511

KAMAN CORP COMMON STOCK USD1.
 
 
**
108,759

KAMIGUMI CO LTD COMMON STOCK
 
 
**
60,983

KANEKA CORP COMMON STOCK
 
 
**
84,127

KANSAS CITY POWER + LT SR UNSECURED 03/23 3.15
5/15/2022
3.15%
**
23,520

KANSAS CITY POWER + LT SR UNSECURED 10/41 5.3
5/15/2022
5.3%
**
70,620

KAO CORP COMMON STOCK
 
 
**
233,987

KAPSTONE PAPER AND PACKAGING COMMON STOCK USD.0001
 
 
**
210,697

KAR AUCTION SERVICES INC COMMON STOCK USD.01
 
 
**
2,947,366


66
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

KASIKORNBANK PCL NVDR NVDR THB10.0
 
 
**
157,254

KB HOME COMMON STOCK USD1.
 
 
**
108,689

KBC GROEP NV COMMON STOCK
 
 
**
3,489,609

KBR INC COMMON STOCK USD.001
 
 
**
52,520

KCG HOLDINGS INC CL A COMMON STOCK USD.01
 
 
**
145,098

KELLOGG CO COMMON STOCK USD.25
 
 
**
1,589,940

KELLOGG CO SR UNSECURED 12/20 4
5/15/2022
4%
**
94,624

KELLY SERVICES INC A COMMON STOCK USD1.
 
 
**
51,309

KEMET CORP COMMON STOCK USD.01
 
 
**
7,044

KEMPER CORP COMMON STOCK USD.1
 
 
**
194,706

KEPCO PLANT SERVICE + ENGINE COMMON STOCK KRW200.
 
 
**
260,575

KERRY PROPERTIES LTD COMMON STOCK HKD1.0
 
 
**
422,624

KEY ENERGY SERVICES INC COMMON STOCK USD.1
 
 
**
4,942

KEY TRONIC CORP COMMON STOCK
 
 
**
9,424

KEYCORP SR UNSECURED 03/21 5.1
5/15/2022
5.1%
**
218,589

KEYW HOLDING CORP/THE COMMON STOCK
 
 
**
22,828

KIA MOTORS CORP COMMON STOCK KRW5000.0
 
 
**
440,520

KILROY REALTY CORP REIT USD.01
 
 
**
173,071

KIMBALL INTERNATIONAL B COMMON STOCK USD.05
 
 
**
28,040

KIMBERLY CLARK DE MEXICO A COMMON STOCK
 
 
**
228,392

KINDER MORGAN ENER PART COMPANY GUAR 02/17 6
3/16/2021
6%
**
20,234

KINDER MORGAN ENER PART COMPANY GUAR 02/20 6.85
3/16/2021
6.85%
**
827,458

KINDRED HEALTHCARE INC COMMON STOCK USD.25
 
 
**
76,903

KINGBOARD LAMINATES HLDG LTD COMMON STOCK HKD.1
 
 
**
177,813

KINGFISHER PLC COMMON STOCK GBP.157143
 
 
**
884,621

KINTETSU WORLD EXPRESS INC COMMON STOCK
 
 
**
452,278

KIRBY CORP COMMON STOCK USD.1
 
 
**
1,123,437

KIRKLAND S INC COMMON STOCK
 
 
**
25,259

KITE PHARMA INC COMMON STOCK USD.001
 
 
**
389,747

KITE REALTY GROUP TRUST REIT USD.01
 
 
**
93,452

KLA TENCOR CORP COMMON STOCK USD.001
 
 
**
2,493,133

KLEPIERRE REIT EUR1.4
 
 
**
71,956

KLX INC COMMON STOCK USD.01
 
 
**
23,400

KMG CHEMICALS INC COMMON STOCK USD.01
 
 
**
25,944

KNIGHT TRANSPORTATION INC COMMON STOCK USD.01
 
 
**
1,575,265

KNOWLES CORP COMMON STOCK USD.01
 
 
**
73,782

KOITO MANUFACTURING CO LTD COMMON STOCK
 
 
**
424,806

KONAMI HOLDINGS CORP COMMON STOCK
 
 
**
196,863

KONICA MINOLTA INC COMMON STOCK
 
 
**
928,474

KONINKLIJKE AHOLD NV COMMON STOCK EUR.01
 
 
**
2,198,584

KONINKLIJKE PHILIPS NV SR UNSECURED 03/22 3.75
5/15/2022
3.75%
**
51,327

KONINKLIJKE PHILIPS NVR NY NY REG SHRS
 
 
**
1,061,850

KOREA LAND + HOUSING COR SR UNSECURED 144A 08/17 1.875
3/16/2021
1.88%
**
299,309

KOREA TREASURY BOND SR UNSECURED 03/17 3.5
3/16/2021
3.5%
**
1,026,002

KOREA TREASURY BOND SR UNSECURED 06/22 3.75
3/16/2021
3.75%
**
722,964

KOREA TREASURY BOND SR UNSECURED 09/18 5.75
3/16/2021
5.75%
**
1,041,145

KOREA TREASURY BOND SR UNSECURED 12/31 4
3/16/2021
4%
**
281,779


67
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

KOREAN AIR LINES CO LTD COMMON STOCK KRW5000.
 
 
**
118,756

KOREAN REINSURANCE CO COMMON STOCK KRW500.
 
 
**
88,987

KORN/FERRY INTERNATIONAL COMMON STOCK USD.01
 
 
**
159,828

KOSE CORP COMMON STOCK
 
 
**
121,792

KOSMOS ENERGY LTD COMMON STOCK USD.01
 
 
**
96,600

KRAFT HEINZ FOODS CO COMPANY GUAR 02/20 5.375
5/15/2022
5.38%
**
17,519

KRAFT HEINZ FOODS CO COMPANY GUAR 06/22 3.5
5/15/2022
3.5%
**
25,274

KRAFT HEINZ FOODS CO COMPANY GUAR 06/42 5
5/15/2022
5%
**
75,517

KRATON PERFORMANCE POLYMERS COMMON STOCK USD.01
 
 
**
37,456

KRATOS DEFENSE + SECURITY COMMON STOCK USD.001
 
 
**
15,970

KRISPY KREME DOUGHNUTS INC COMMON STOCK
 
 
**
2,609,868

KROGER CO/THE COMPANY GUAR 04/31 7.5
5/15/2022
7.5%
**
63,686

KROGER CO/THE SR UNSECURED 01/21 3.3
5/15/2022
3.3%
**
81,216

KROGER CO/THE SR UNSECURED 02/24 4
5/15/2022
4%
**
141,987

KRONOS WORLDWIDE INC COMMON STOCK USD.01
 
 
**
35,261

KRUNG THAI BANK NVDR NVDR THB5.15
 
 
**
109,106

KT+G CORP COMMON STOCK KRW5000.
 
 
**
149,190

KUEHNE + NAGEL INTL AG REG COMMON STOCK CHF1.0
 
 
**
1,301,873

KULICKE + SOFFA INDUSTRIES COMMON STOCK
 
 
**
89,707

KUONI REISEN HLDG REG(CAT B) COMMON STOCK CHF1.0
 
 
**
653,377

KYOCERA CORP COMMON STOCK
 
 
**
3,050,373

KYOWA HAKKO KIRIN CO LTD COMMON STOCK
 
 
**
366,142

L BRANDS INC COMMON STOCK USD.5
 
 
**
17,788,408

L OREAL COMMON STOCK EUR.2
 
 
**
1,241,481

LA QUINTA HOLDINGS INC COMMON STOCK USD.01
 
 
**
19,979

LA Z BOY INC COMMON STOCK USD1.
 
 
**
107,619

LAB CORP OF AMER HLDGS SR UNSECURED 08/17 2.2
5/15/2022
2.2%
**
45,158

LAB CORP OF AMER HLDGS SR UNSECURED 11/18 2.5
5/15/2022
2.5%
**
40,100

LABORATORY CORP OF AMER SR UNSECURED 02/22 3.2
5/15/2022
3.2%
**
46,127

LACLEDE GROUP INC/THE COMMON STOCK USD1.
 
 
**
1,872,306

LAGARDERE SCA COMMON STOCK EUR6.1
 
 
**
872,048

LAKE SUNAPEE BANK GROUP COMMON STOCK USD.01
 
 
**
11,505

LAKELAND BANCORP INC COMMON STOCK
 
 
**
45,922

LAKELAND FINANCIAL CORP COMMON STOCK
 
 
**
76,457

LAM RESEARCH CORP COMMON STOCK USD.001
 
 
**
23,196,120

LAND SECURITIES GROUP PLC REIT GBP.1
 
 
**
217,750

LANDEC CORP COMMON STOCK USD.001
 
 
**
32,734

LANDWIRTSCH. RENTENBANK GOVT GUARANT 01/23 4.25
3/16/2021
4.25%
**
230,194

LANXESS AG COMMON STOCK
 
 
**
100,979

LAREDO PETROLEUM INC COMMON STOCK USD.01
 
 
**
1,024,566

LARGAN PRECISION CO LTD COMMON STOCK TWD10.
 
 
**
5,048,015

LAS VEGAS SANDS CORP COMMON STOCK USD.001
 
 
**
11,383,494

LASALLE HOTEL PROPERTIES REIT USD.01
 
 
**
1,947,686

LATAM AIRLINES GROUP SP ADR ADR
 
 
**
127,549

LATTICE SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
**
66,318

LAYNE CHRISTENSEN COMPANY COMMON STOCK USD.01
 
 
**
7,548

LAZARD LTD CL A MLP USD.01
 
 
**
207,631


68
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 A3
5/15/2022
5.87%
**
173,912

LBG CAPITAL NO.2 PLC COMPANY GUAR REGS 12/19 15
4/15/2017
15%
**
198,977

LBG CAPITAL NO.2 PLC COMPANY GUAR REGS 12/19 15
3/16/2021
15%
**
155,069

LCM LTD PARTNERSHIP LCM 9A A 144A
3/16/2021
1.52%
**
1,297,211

LDR HOLDING CORP COMMON STOCK USD.001
 
 
**
278,796

LEAR CORP COMMON STOCK USD.01
 
 
**
283,369

LEASEPLAN CORPORATION NV SR UNSECURED 144A 05/18 2.5
1/14/2030
2.5%
**
1,772,771

LEE + MAN PAPER MANUFACTURIN COMMON STOCK HKD.025
 
 
**
492,192

LEEK FINANCE PLC LEEK 18A A2D 144A
3/16/2021
0.61%
**
2,339,945

LEGACYTEXAS FINANCIAL GROUP COMMON STOCK USD.01
 
 
**
97,453

LEGG MASON INC COMMON STOCK USD.1
 
 
**
454,362

LEGRAND SA COMMON STOCK EUR4.
 
 
**
1,638,147

LENDINGCLUB CORP COMMON STOCK USD.01
 
 
**
487,913

LENDINGTREE INC COMMON STOCK USD.01
 
 
**
1,018,328

LENDLEASE GROUP STAPLED SECURITY
 
 
**
445,268

LENNAR CORP A COMMON STOCK USD.1
 
 
**
2,559,265

LETRA TESOURO NACIONAL BILLS 01/17 0.00000
4/15/2017
 
**
611,335

LETRA TESOURO NACIONAL BILLS 01/19 0.00000
4/15/2017
 
**
15,972

LETRA TESOURO NACIONAL BILLS 04/16 0.00000
1/14/2030
 
**
3,421,121

LETRA TESOURO NACIONAL BILLS 10/16 0.00000
4/15/2017
0.01%
**
1,155,896

LEXINGTON REALTY TRUST REIT USD.0001
 
 
**
112,336

LEXMARK INTERNATIONAL INC A COMMON STOCK USD.01
 
 
**
192,915

LG CHEM LTD COMMON STOCK KRW5000.
 
 
**
190,508

LHC GROUP INC COMMON STOCK USD.01
 
 
**
83,560

LI + FUNG LTD COMMON STOCK HKD.0125
 
 
**
2,014,120

LIBERTY HOLDINGS LTD COMMON STOCK ZAR.0833
 
 
**
31,249

LIBERTY INTERACTIVE CORP Q A TRACKING STK USD.01
 
 
**
25,904,496

LIBERTY MEDIA CORP C COMMON STOCK USD.01
 
 
**
5,905,446

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 05/22 4.95
5/15/2022
4.95%
**
52,999

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 06/21 5
5/15/2022
5%
**
80,214

LIBERTY TRIPADVISOR HDG A COMMON STOCK USD.01
 
 
**
5,097

LIC HOUSING FINANCE LTD COMMON STOCK INR2.
 
 
**
28,575

LIFEPOINT HEALTH INC COMMON STOCK USD.01
 
 
**
770,553

LIFESTYLE INTL HLDGS LTD COMMON STOCK HKD.005
 
 
**
371,616

LIFETIME BRANDS INC COMMON STOCK USD.01
 
 
**
17,662

LIGHTPOINT PAN EUROPEAN CLO PL LIGHP 2006 1X A REGS
3/16/2021
0.18%
**
44,828

LIMELIGHT NETWORKS INC COMMON STOCK USD.001
 
 
**
14,666

LIMONEIRA CO COMMON STOCK USD.01
 
 
**
21,439

LINCOLN NATIONAL CORP SR UNSECURED 02/20 6.25
5/15/2022
6.25%
**
84,275

LINCOLN NATIONAL CORP SR UNSECURED 06/21 4.85
5/15/2022
4.85%
**
26,923

LINDE AG COMMON STOCK
 
 
**
2,590,273

LINDSAY CORP COMMON STOCK USD1.
 
 
**
89,052

LINEAR TECHNOLOGY CORP COMMON STOCK USD.001
 
 
**
5,827,733

LINK REIT REIT
 
 
**
201,212

LINKEDIN CORP A COMMON STOCK USD.0001
 
 
**
8,188,410

LINN CO LLC COMMON STOCK
 
 
**
11,710

LIQUIDITY SERVICES INC COMMON STOCK USD.001
 
 
**
19,988


69
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

LITTELFUSE INC COMMON STOCK USD.01
 
 
**
2,204,085

LLOYDS BANK PLC COMPANY GUAR 03/17 4.2
11/18/2016
4.2%
**
1,580,435

LLOYDS BANK PLC COMPANY GUAR 08/18 VAR
1/14/2030
1.14%
**
799,930

LLOYDS BANK PLC COVERED REGS 03/25 5.125
3/16/2021
5.13%
**
530,517

LLOYDS BANK PLC COVERED REGS 03/27 4.875
3/16/2021
4.88%
**
6,824,103

LLOYDS BANKING GROUP PLC COMMON STOCK
 
 
**
256,725

LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
3/16/2021
7.63%
**
1,851,808

LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
3/16/2021
7.88%
**
1,091,055

LMI AEROSPACE INC COMMON STOCK USD.02
 
 
**
13,413

LOBLAW COMPANIES LTD COMMON STOCK
 
 
**
1,584,018

LOCKHEED MARTIN CORP COMMON STOCK USD1.
 
 
**
8,738,550

LOCKHEED MARTIN CORP SR UNSECURED 09/21 3.35
5/15/2022
3.35%
**
92,199

LOCKHEED MARTIN CORP SR UNSECURED 11/20 2.5
1/14/2030
2.5%
**
596,441

LOGMEIN INC COMMON STOCK USD.01
 
 
**
2,666,084

LONDON STOCK EXCHANGE GROUP COMMON STOCK GBP.06918605
 
 
**
113,647

LONGFOR PROPERTIES COMMON STOCK HKD.1
 
 
**
57,426

LONZA GROUP AG REG COMMON STOCK
 
 
**
2,227,187

LOS ANGELES CA CMNTY CLG DIST LOSHGR 08/42 FIXED 6.6
3/16/2021
6.6%
**
419,920

LOS ANGELES CA CMNTY CLG DIST LOSHGR 08/49 FIXED 6.75
3/16/2021
6.75%
**
395,968

LOS ANGELES CA DEPT OF ARPTS LOSAPT 05/39 FIXED 6.582
5/15/2022
6.58%
**
51,453

LOS ANGELES CA UNIF SCH DIST LOSSCD 07/34 FIXED 6.758
3/16/2021
6.76%
**
527,048

LOTTE CHEMICAL CORP COMMON STOCK KRW5000.0
 
 
**
594,343

LOUISIANA PACIFIC CORP COMMON STOCK USD1.
 
 
**
33,553

LOWE S COMPANIES INC SR UNSECURED 04/22 3.12
5/15/2022
3.12%
**
122,718

LSB INDUSTRIES INC COMMON STOCK USD.1
 
 
**
14,863

LSI INDUSTRIES INC COMMON STOCK
 
 
**
29,987

LT GROUP INC COMMON STOCK PHP1.0
 
 
**
385,715

LUBY S INC COMMON STOCK USD.32
 
 
**
12,829

LUKOIL PJSC SPON ADR ADR RUB.025
 
 
**
277,049

LUMINEX CORP COMMON STOCK USD.001
 
 
**
13,583

LUMOS NETWORKS CORP COMMON STOCK USD.01
 
 
**
25,256

LUXOFT HOLDING INC COMMON STOCK
 
 
**
2,825,812

LVMH MOET HENNESSY LOUIS VUI COMMON STOCK EUR.3
 
 
**
4,703,887

LYDALL INC COMMON STOCK USD.1
 
 
**
1,604,583

M/A COM TECHNOLOGY SOLUTIONS COMMON STOCK USD.001
 
 
**
1,858,246

M/I HOMES INC COMMON STOCK USD.01
 
 
**
53,923

M3 INC COMMON STOCK
 
 
**
7,585,498

MACATAWA BANK CORP COMMON STOCK
 
 
**
20,461

MACK CALI REALTY CORP REIT USD.01
 
 
**
141,197

MACQUARIE BANK LIMITED
11/18/2016
0.87%
**
4,766,748

MACQUARIE BANK LTD SR UNSECURED 144A 02/17 5
5/15/2022
5%
**
315,448

MACQUARIE BANK LTD SR UNSECURED 144A 06/16 VAR
11/18/2016
0.96%
**
374,291

MACQUARIE BANK LTD SR UNSECURED 144A 08/16 2
11/18/2016
2%
**
3,252,004

MACQUARIE GROUP LTD COMMON STOCK
 
 
**
1,277,432

MACQUARIE MEXICO REAL ESTATE REIT
 
 
**
355,993

MACYS RETAIL HLDGS INC COMPANY GUAR 07/17 7.45
5/15/2022
7.45%
**
129,657

MADISON SQUARE GARDEN CO A COMMON STOCK USD.01
 
 
**
274,413


70
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MAGELLAN HEALTH INC COMMON STOCK USD.01
 
 
**
1,573,995

MAGNA INTERNATIONAL INC COMMON STOCK
 
 
**
1,660,935

MAIDEN HOLDINGS LTD COMMON STOCK USD.01
 
 
**
108,500

MAINSOURCE FINANCIAL GROUP I COMMON STOCK
 
 
**
46,904

MALAYAN BANKING BHD COMMON STOCK MYR1.
 
 
**
207,383

MALAYSIA GOVERNMENT SR UNSECURED 03/27 3.892
3/16/2021
3.89%
**
199,444

MALAYSIA GOVERNMENT SR UNSECURED 10/17 3.314
3/16/2021
3.31%
**
376,760

MALAYSIA GOVERNMENT SR UNSECURED 11/19 4.378
3/16/2021
4.38%
**
264,875

MALAYSIAN RINGGIT
3/16/2021
 
**
28

MALAYSIAN RINGGIT
 
 
**
245,291

MALLINCKRODT PLC COMMON STOCK USD.2
 
 
**
9,990,718

MANITOWOC COMPANY INC COMMON STOCK USD.01
 
 
**
150,722

MANPOWERGROUP INC COMMON STOCK USD.01
 
 
**
1,254,741

MANTECH INTERNATIONAL CORP A COMMON STOCK USD.01
 
 
**
74,390

MANULIFE FINANCIAL CORP COMMON STOCK
 
 
**
142,676

MARATHON OIL CORP COMMON STOCK USD1.
 
 
**
5,921,077

MARATHON OIL CORP SR UNSECURED 06/25 3.85
5/15/2022
3.85%
**
68,412

MARICO LTD COMMON STOCK
 
 
**
63,302

MARICO LTD COMMON STOCK INR1.
 
 
**
63,232

MARINEMAX INC COMMON STOCK USD.001
 
 
**
45,313

MARKEL CORP COMMON STOCK
 
 
**
2,576,732

MARKETAXESS HOLDINGS INC COMMON STOCK USD.003
 
 
**
3,681,354

MARKETO INC COMMON STOCK USD.0001
 
 
**
2,263,841

MARLIN BUSINESS SERVICES INC COMMON STOCK USD.01
 
 
**
19,754

MARRIOTT INTERNATIONAL CL A COMMON STOCK USD.01
 
 
**
6,945,411

MARRIOTT VACATIONS WORLD COMMON STOCK USD.01
 
 
**
2,145,705

MARSH + MCLENNAN COS INC SR UNSECURED 03/20 2.35
5/15/2022
2.35%
**
78,310

MARTEN TRANSPORT LTD COMMON STOCK USD.01
 
 
**
54,428

MARUI GROUP CO LTD COMMON STOCK
 
 
**
87,147

MARVELL TECHNOLOGY GROUP LTD COMMON STOCK USD.002
 
 
**
405,006

MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1
3/16/2021
1.27%
**
48,804

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/16 3.125
5/15/2022
3.13%
**
100,579

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 08/18 2.1
5/15/2022
2.1%
**
100,334

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 10/22 2.5
5/15/2022
2.5%
**
95,922

MASTEC INC COMMON STOCK USD.1
 
 
**
92,635

MASTERCARD INC CLASS A COMMON STOCK USD.0001
 
 
**
58,636,715

MATADOR RESOURCES CO COMMON STOCK USD.01
 
 
**
1,407,921

MATAHARI DEPARTMENT STORE TB COMMON STOCK
 
 
**
110,694

MATERION CORP COMMON STOCK
 
 
**
57,400

MATRIX SERVICE CO COMMON STOCK USD.01
 
 
**
42,682

MATSON INC COMMON STOCK
 
 
**
2,267,788

MATTHEWS INTL CORP CLASS A COMMON STOCK USD1.0
 
 
**
169,811

MAXIM INTEGRATED PRODUCTS COMMON STOCK USD.001
 
 
**
2,762,410

MAXIMUS INC COMMON STOCK
 
 
**
5,077,969

MB FINANCIAL INC COMMON STOCK USD.01
 
 
**
232,255

MBIA INC COMMON STOCK USD1.
 
 
**
111,586

MBT FINANCIAL CORP COMMON STOCK
 
 
**
15,402


71
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MCCLATCHY CO CLASS A COMMON STOCK USD.01
 
 
**
5,084

MCDERMOTT INTL INC COMMON STOCK USD1.
 
 
**
51,506

MCDONALD S CORP COMMON STOCK USD.01
 
 
**
3,913,506

MCDONALD S CORP SR UNSECURED 07/40 4.875
5/15/2022
4.88%
**
80,175

MCGRATH RENTCORP COMMON STOCK
 
 
**
64,537

MCGRAW HILL FINANCIAL INC COMMON STOCK USD1.
 
 
**
6,218,131

MCKESSON CORP COMMON STOCK USD.01
 
 
**
22,518,932

MDC HOLDINGS INC COMMON STOCK USD.01
 
 
**
112,511

MEDA AB A SHS COMMON STOCK SEK1.0
 
 
**
325,215

MEDASSETS INC COMMON STOCK USD.01
 
 
**
155,381

MEDCO HEALTH SOLUTIONS COMPANY GUAR 09/20 4.125
5/15/2022
4.13%
**
125,892

MEDIA GENERAL INC COMMON STOCK
 
 
**
119,187

MEDIATEK INC COMMON STOCK TWD10.
 
 
**
1,126,435

MEDICAL PROPERTIES TRUST INC REIT USD.001
 
 
**
73,514

MEDICINES COMPANY COMMON STOCK USD.001
 
 
**
4,117,482

MEDICLINIC INTERNATIONAL PLC COMMON STOCK GBP.1
 
 
**
957,450

MEDIDATA SOLUTIONS INC COMMON STOCK USD.01
 
 
**
2,946,063

MEDIOBANCA SPA COMMON STOCK EUR.5
 
 
**
141,292

MEDIPAL HOLDINGS CORP COMMON STOCK
 
 
**
668,949

MEDIVATION INC COMMON STOCK USD.01
 
 
**
2,682,870

MEDNAX INC COMMON STOCK USD.01
 
 
**
4,794,054

MEDTRONIC INC COMPANY GUAR 03/20 4.45
5/15/2022
4.45%
**
43,072

MEDTRONIC PLC COMMON STOCK USD.1
 
 
**
43,684,253

MEDY TOX INC COMMON STOCK KRW500.
 
 
**
432,089

MEIJI HOLDINGS CO LTD COMMON STOCK
 
 
**
1,019,244

MELIA HOTELS INTERNATIONAL COMMON STOCK EUR.2
 
 
**
723,743

MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1
1/14/2030
0.68%
**
424,643

MEMORIAL RESOURCE DEVELOPMEN COMMON STOCK USD.01
 
 
**
3,235,168

MENTOR GRAPHICS CORP COMMON STOCK
 
 
**
148,170

MERCANTILE BANK CORP COMMON STOCK
 
 
**
42,749

MERCEDES BENZ AUTO LEASE TRUST MBALT 2015 B A2A
11/18/2016
1.21%
**
2,675,508

MERCEDES BENZ AUTO RECEIVABLES MBART 2013 1 A3
5/15/2022
0.78%
**
58,719

MERCER INTERNATIONAL INC COMMON STOCK USD1.
 
 
**
57,513

MERCHANTS BANCSHARES INC COMMON STOCK USD.01
 
 
**
19,366

MERCK + CO. INC. COMMON STOCK USD.5
 
 
**
24,399,618

MERCK KGAA COMMON STOCK
 
 
**
5,186,668

MERCURY SYSTEMS INC COMMON STOCK USD.01
 
 
**
63,985

MEREDITH CORP COMMON STOCK USD1.
 
 
**
1,832,805

MERIT MEDICAL SYSTEMS INC COMMON STOCK
 
 
**
81,926

MERITAGE HOMES CORP COMMON STOCK USD.01
 
 
**
132,391

MERRILL LYNCH CAN 98001212
3/16/2021
0.9%
**
399,445

MERRILL LYNCH CAN 98001247
3/16/2021
1.1%
**
1,026,682

MERRILL LYNCH MORTGAGE TRUST MLMT 2008 C1 A4
3/16/2021
5.69%
**
104,504

MET LIFE GLOB FUNDING I SECURED 144A 04/17 1.3
11/18/2016
1.3%
**
2,930,583

MET LIFE GLOB FUNDING I SECURED 144A 04/20 2
3/16/2021
2%
**
881,607

MET LIFE GLOB FUNDING I SR SECURED 144A 04/22 3.875
5/15/2022
3.88%
**
297,293

MET TRANSPRTN AUTH NY REVENUE MTATRN 11/39 FIXED 6.668
3/16/2021
6.67%
**
391,977


72
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MET WTR DIST OF STHRN CA METWTR 07/40 FIXED 6.947
3/16/2021
6.95%
**
69,866

META FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
28,247

METAIR INVESTMENTS LTD COMMON STOCK
 
 
**
627,673

METHANEX CORP COMMON STOCK
 
 
**
552,703

METLIFE INC COMMON STOCK USD.01
 
 
**
8,458,830

METLIFE INC JR SUBORDINA 12/49 VAR
1/14/2030
5.25%
**
610,500

METLIFE INC SR UNSECURED 06/35 5.7
5/15/2022
5.7%
**
57,789

METRO AG COMMON STOCK
 
 
**
746,517

METRO BANCORP INC COMMON STOCK USD1.0
 
 
**
45,030

MEX BONOS DESARR FIX RT BONDS 12/18 8.5
3/16/2021
8.5%
**
287,892

MEXICAN PESO (NEW)
4/15/2017
 
**
55,537

MEXICAN PESO (NEW)
3/16/2021
 
**
457,820

MEXICAN PESO (NEW)
1/14/2030
 
**
198,181

MEXICAN PESO (NEW)
 
 
**
64,695

MEXICAN UDIBONOS BONDS 11/35 4.5
4/15/2017
4.5%
**
140,758

MEXICAN UDIBONOS BONDS 11/40 4
4/15/2017
4%
**
39,645

MEXICAN UDIBONOS BONDS 11/46 4
4/15/2017
4%
**
266,310

MEXICAN UDIBONOS BONDS 12/25 4.5
4/15/2017
4.5%
**
1,515,575

MGM RESORTS INTL COMPANY GUAR 04/16 6.875
1/14/2030
6.88%
**
201,750

MGP INGREDIENTS INC COMMON STOCK
 
 
**
16,141

MICHELIN (CGDE) COMMON STOCK EUR2.
 
 
**
295,528

MICROCHIP TECHNOLOGY INC COMMON STOCK USD.001
 
 
**
5,988,535

MICRON TECHNOLOGY INC COMMON STOCK USD.1
 
 
**
2,274,662

MICROSEMI CORP COMMON STOCK USD.2
 
 
**
202,873

MICROSOFT CORP COMMON STOCK USD.00000625
 
 
**
176,508,661

MICROSOFT CORP SR UNSECURED 11/22 2.125
5/15/2022
2.13%
**
144,917

MID AMERICA APARTMENT COMM REIT USD.01
 
 
**
456,048

MIDSOUTH BANCORP INC COMMON STOCK USD.1
 
 
**
10,233

MIDWESTONE FINANCIAL GROUP I COMMON STOCK USD.01
 
 
**
24,936

MILLER INDUSTRIES INC/TENN COMMON STOCK USD.01
 
 
**
24,546

MINERAL DEPOSITS LTD COMMON STOCK
 
 
**
6,728

MINERALS TECHNOLOGIES INC COMMON STOCK USD.1
 
 
**
1,842,976

MIRVAC GROUP REIT
 
 
**
64,561

MISSISSIPPI ST MSS 11/17 FLOATING VAR
1/14/2030
0.89%
**
1,404,984

MISTRAS GROUP INC COMMON STOCK USD.01
 
 
**
33,255

MISUMI GROUP INC COMMON STOCK
 
 
**
1,000,710

MITCHAM INDUSTRIES INC COMMON STOCK USD.01
 
 
**
3,392

MITSUBISHI ELECTRIC CORP COMMON STOCK
 
 
**
618,355

MITSUBISHI ESTATE CO LTD COMMON STOCK
 
 
**
377,597

MITSUBISHI MOTORS CORP COMMON STOCK
 
 
**
781,737

MITSUBISHI TANABE PHARMA COMMON STOCK
 
 
**
357,189

MITSUBISHI UFJ FINANCIAL GRO COMMON STOCK
 
 
**
1,386,501

MITSUI CHEMICALS INC COMMON STOCK
 
 
**
720,894

MITSUI FUDOSAN CO LTD COMMON STOCK
 
 
**
355,659

MIURA CO LTD COMMON STOCK
 
 
**
561,466

MIXI INC COMMON STOCK
 
 
**
816,992

MIZUHO FINANCIAL GROUP INC COMMON STOCK
 
 
**
934,974


73
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MKS INSTRUMENTS INC COMMON STOCK
 
 
**
2,037,420

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 A4
5/15/2022
5.7%
**
308,417

MLCC MORTGAGE INVESTORS INC MLCC 2005 B A1
4/15/2017
0.84%
**
371,287

MLP AG COMMON STOCK
 
 
**
167,442

MMI HOLDINGS LTD COMMON STOCK ZAR.000001
 
 
**
99,872

MOBILE MINI INC COMMON STOCK USD.01
 
 
**
140,396

MOBILE TELESYSTEMS SP ADR ADR
 
 
**
134,835

MOBILEYE NV COMMON STOCK EUR.01
 
 
**
1,780,622

MODINE MANUFACTURING CO COMMON STOCK USD.625
 
 
**
39,883

MOELIS + CO CLASS A COMMON STOCK USD.01
 
 
**
1,435,656

MOF OF CZECH REP T BILL BILLS REGS 02/16 0.00000
3/16/2021
 
**
4,502,283

MOLINA HEALTHCARE INC COMMON STOCK USD.001
 
 
**
317,065

MONADELPHOUS GROUP LTD COMMON STOCK
 
 
**
101,518

MONARCH CASINO + RESORT INC COMMON STOCK USD.01
 
 
**
23,697

MONDELEZ INTERNATIONAL INC A COMMON STOCK
 
 
**
9,784,088

MONDELEZ INTERNATIONAL SR UNSECURED 02/19 2.25
5/15/2022
2.25%
**
119,956

MONDI LTD COMMON STOCK
 
 
**
219,435

MONDI PLC COMMON STOCK EUR.2
 
 
**
59,674

MONMOUTH REAL ESTATE INV COR REIT USD.01
 
 
**
40,742

MONRO MUFFLER BRAKE INC COMMON STOCK USD.01
 
 
**
2,109,107

MONSANTO CO COMMON STOCK USD.01
 
 
**
26,365,036

MONSTER WORLDWIDE INC COMMON STOCK USD.001
 
 
**
46,396

MOOG INC CLASS A COMMON STOCK USD1.
 
 
**
151,500

MORGAN STANLEY + CO INC CASH COLL (CCP)
3/16/2021
0.01%
**
893,000

MORGAN STANLEY + CO INC CASH COLL (CCP)
1/14/2030
1%
**
83,000

MORGAN STANLEY CAP SVCS COC SWAP CASH COLLATERAL USD
3/16/2021
 
**
40,000

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ16 A4
4/15/2017
5.81%
**
177,583

MORGAN STANLEY CAPITAL I TRUST MSC 2011 C3 A3
5/15/2022
4.05%
**
172,902

MORGAN STANLEY COMMON STOCK USD.01
 
 
**
6,273,027

MORGAN STANLEY REREMIC TRUST MSRR 2010 GG10 A4A 144A
3/16/2021
5.99%
**
52,602

MORGAN STANLEY REREMIC TRUST MSRR 2010 GG10 A4A 144A
1/14/2030
5.99%
**
1,402,726

MORGAN STANLEY REREMIC TRUST MSRR 2012 IO AXA 144A
5/15/2022
1%
**
109,864

MORGAN STANLEY SR UNSECURED 01/20 2.65
5/15/2022
2.65%
**
155,576

MORGAN STANLEY SR UNSECURED 01/45 4.3
5/15/2022
4.3%
**
137,392

MORGAN STANLEY SR UNSECURED 10/24 3.7
5/15/2022
3.7%
**
301,443

MORGAN STANLEY SUBORDINATED 05/23 4.1
5/15/2022
4.1%
**
252,550

MORGAN STANLEY SUBORDINATED 09/26 4.35
5/15/2022
4.35%
**
30,098

MORNEAU SHEPELL INC COMMON STOCK
 
 
**
186,590

MOSAIC CO SR UNSECURED 11/21 3.75
5/15/2022
3.75%
**
145,389

MOSAIC CO SR UNSECURED 11/33 5.45
5/15/2022
5.45%
**
106,121

MOSAIC CO/THE COMMON STOCK USD.01
 
 
**
7,261,964

MOTHERSON SUMI SYSTEMS LTD COMMON STOCK INR1.
 
 
**
158,130

MOVADO GROUP INC COMMON STOCK USD.01
 
 
**
47,435

MPLX LP COMPANY GUAR 144A 06/25 4.875
1/14/2030
4.88%
**
1,163,500

MRC GLOBAL INC COMMON STOCK USD.01
 
 
**
85,940

MS+AD INSURANCE GROUP HOLDIN COMMON STOCK
 
 
**
1,994,297

MSC INDUSTRIAL DIRECT CO A COMMON STOCK USD.001
 
 
**
44,116


74
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MSG NETWORKS INC A COMMON STOCK USD.01
 
 
**
105,872

MTN GROUP LTD COMMON STOCK ZAR.0001
 
 
**
223,877

MTU AERO ENGINES AG COMMON STOCK
 
 
**
1,266,804

MUELLER INDUSTRIES INC COMMON STOCK USD.01
 
 
**
149,999

MUENCHENER RUECKVER AG REG COMMON STOCK
 
 
**
1,452,253

MULTI COLOR CORP COMMON STOCK
 
 
**
72,729

MULTI FINELINE ELECTRONIX IN COMMON STOCK USD.0001
 
 
**
50,873

MULTIPLUS SA COMMON STOCK
 
 
**
147,236

MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.637
3/16/2021
6.64%
**
12,001

MURATA MANUFACTURING CO LTD COMMON STOCK
 
 
**
6,733,256

MURPHY OIL CORP COMMON STOCK USD1.
 
 
**
3,535,875

MUTUALFIRST FINANCIAL INC COMMON STOCK USD.01
 
 
**
17,768

MYERS INDUSTRIES INC COMMON STOCK
 
 
**
31,422

MYLAN NV COMMON STOCK EUR.01
 
 
**
10,021,875

MYR GROUP INC/DELAWARE COMMON STOCK USD.01
 
 
**
44,353

N B T BANCORP INC COMMON STOCK USD.01
 
 
**
122,867

N STAR REAL ESTATE CDO LTD NSTAR 2013 1A A 144A
5/15/2022
2.05%
**
132,731

NABORS INDUSTRIES INC COMPANY GUAR 09/20 5
5/15/2022
5%
**
21,934

NABORS INDUSTRIES INC COMPANY GUAR 09/21 4.625
5/15/2022
4.63%
**
119,155

NABORS INDUSTRIES LTD COMMON STOCK USD.001
 
 
**
227,932

NACCO INDUSTRIES CL A COMMON STOCK USD1.
 
 
**
25,953

NAGAILEBEN CO LTD COMMON STOCK
 
 
**
458,167

NAMPAK LTD COMMON STOCK ZAR.05
 
 
**
297,805

NANOMETRICS INC COMMON STOCK
 
 
**
34,141

NASDAQ INC COMMON STOCK USD.01
 
 
**
5,037,464

NASPERS LTD N SHS COMMON STOCK ZAR.02
 
 
**
609,916

NAT GAS EURO OPT APR16C 3 EXP 03/28/2016
4/15/2017
 
**
25,724

NAT GAS EURO OPT JUN16C 2.65 EXP 05/25/2016
4/15/2017
 
**
56,175

NAT GAS EURO OPT JUN16C 2.7 EXP 05/25/2016
4/15/2017
 
**
15,774

NAT GAS EURO OPT JUN16C 2.8 EXP 05/25/2016
4/15/2017
 
**
12,551

NATIONAL AUSTRALIA BANK LTD COMMON STOCK
 
 
**
1,835,102

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 06/17 VAR
11/18/2016
0.88%
**
2,184,977

NATIONAL BANK GREECE SA COVERED 10/16 3.875
4/15/2017
3.88%
**
105,222

NATIONAL BANK HOLD CL A COMMON STOCK
 
 
**
1,369,112

NATIONAL GENERAL HLDGS COMMON STOCK USD.01
 
 
**
15,608

NATIONAL HEALTHCARE CORP COMMON STOCK USD.01
 
 
**
88,540

NATIONAL INTERSTATE CORP COMMON STOCK USD.01
 
 
**
55,830

NATIONAL OILWELL VARCO INC COMMON STOCK USD.01
 
 
**
2,587,236

NATIONAL PRESTO INDS INC COMMON STOCK USD1.
 
 
**
50,959

NATIONAL RETAIL PROP INC SR UNSECURED 11/25 4
5/15/2022
4%
**
82,499

NATIONAL RETAIL PROPERTIES REIT USD.01
 
 
**
332,495

NATIONAL WESTERN LIFE GROU A COMMON STOCK USD.01
 
 
**
103,295

NATIONSTAR HECM LOAN TRUST NHLT 2015 2A A 144A
5/15/2022
3%
**
248,106

NATIONWIDE MUTUAL INSURA SUBORDINATED 144A 08/39 9.375
5/15/2022
9.38%
**
36,286

NATL PENN BCSHS INC COMMON STOCK
 
 
**
181,991

NATURA COSMETICOS SA COMMON STOCK
 
 
**
46,906

NATURAL GAS OPTN APR16C 2.6 EXP 03/28/2016
4/15/2017
 
**
7,560


75
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

NATURAL GAS OPTN APR16C 2.7 EXP 03/28/2016
4/15/2017
 
**
5,760

NATURAL GAS OPTN APR16C 3 EXP 03/28/2016
4/15/2017
 
**
14,960

NATURAL GAS SERVICES GROUP COMMON STOCK USD.01
 
 
**
25,132

NAVIENT CORP COMMON STOCK USD.01
 
 
**
86,161

NAVIENT CORP SR UNSECURED 01/16 6.25
3/16/2021
6.25%
**
208,369

NAVIENT CORP SR UNSECURED 06/18 8.45
3/16/2021
8.45%
**
73,675

NAVIENT CORP SR UNSECURED 06/19 4.875
1/14/2030
4.88%
**
552,000

NAVIGANT CONSULTING INC COMMON STOCK USD.001
 
 
**
70,776

NAVIGATORS GROUP INC COMMON STOCK USD.1
 
 
**
123,109

NAVITAS EQUIPMENT RECEIVABLES NVTAS 2013 1 A 144A
5/15/2022
1.95%
**
16,134

NBCUNIVERSAL ENTERPRISE COMPANY GUAR 144A 04/19 1.974
5/15/2022
1.97%
**
168,895

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/21 4.375
5/15/2022
4.38%
**
27,156

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/40 6.4
5/15/2022
6.4%
**
342,675

NCI INC A COMMON STOCK USD.019
 
 
**
13,991

NCR CORPORATION COMMON STOCK USD.01
 
 
**
7,338

NCSOFT CORP COMMON STOCK KRW500.0
 
 
**
494,284

NEDER WATERSCHAPSBANK SR UNSECURED REGS 08/19 1.625
3/16/2021
1.63%
**
1,148,980

NEKTAR THERAPEUTICS COMMON STOCK USD.0001
 
 
**
863,108

NELNET INC CL A COMMON STOCK USD.01
 
 
**
113,534

NEOGEN CORP COMMON STOCK USD.16
 
 
**
1,708,430

NESTLE INDIA LTD COMMON STOCK INR10.
 
 
**
53,639

NESTLE SA REG COMMON STOCK CHF.1
 
 
**
13,875,312

NESTLE SA SPONS ADR ADR
 
 
**
8,309,812

NETCARE LTD COMMON STOCK ZAR.01
 
 
**
199,585

NETEASE INC ADR ADR USD.0001
 
 
**
27,345,129

NETFLIX INC COMMON STOCK USD.001
 
 
**
26,925,395

NETGEAR INC COMMON STOCK USD.001
 
 
**
150,331

NETSUITE INC COMMON STOCK USD.01
 
 
**
189,380

NEUROCRINE BIOSCIENCES INC COMMON STOCK USD.001
 
 
**
933,405

NEUSTAR INC CLASS A COMMON STOCK USD.001
 
 
**
671,879

NEVADA POWER CO GENL REF MOR 03/19 7.125
5/15/2022
7.13%
**
142,963

NEVRO CORP COMMON STOCK USD.001
 
 
**
2,915,149

NEW EUROPE PROPERTY INVEST COMMON STOCK
 
 
**
68,184

NEW ISRAELI SHEQEL
3/16/2021
 
**
26

NEW ISRAELI SHEQEL
 
 
**
42,568

NEW RELIC INC COMMON STOCK USD.001
 
 
**
1,887,220

NEW RESIDENTIAL ADVANCE RECEIV NRART 2015 T1 AT1 144A
5/15/2022
1.85%
**
839,446

NEW TAIWAN DOLLAR
 
 
**
4,798,529

NEW WORLD DEVELOPMENT COMMON STOCK
 
 
**
324,608


76
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

NEW YORK + CO COMMON STOCK USD.001
 
 
**
9,623

NEW YORK CITY NY MUNI WTR FIN NYCUTL 06/43 FIXED 5.44
3/16/2021
5.44%
**
171,118

NEW YORK CITY NY TRANSITIONAL NYCGEN 11/38 FIXED 5.572
3/16/2021
5.57%
**
169,728

NEW YORK COMMUNITY BANCORP COMMON STOCK USD.01
 
 
**
514,014

NEW YORK LIFE GLOBAL FDG SECURED 144A 02/16 0.8
5/15/2022
0.8%
**
56,000

NEW YORK LIFE GLOBAL FDG SECURED 144A 05/17 1.65
5/15/2022
1.65%
**
50,196

NEW YORK NY NYC 12/31 FIXED 6.646
3/16/2021
6.65%
**
197,147

NEW YORK ST DORM AUTH ST PERSO NYSHGR 09/27 FIXED 5.051
3/16/2021
5.05%
**
905,784

NEW YORK TIMES CO A COMMON STOCK USD.1
 
 
**
2,488,605

NEW ZEALAND DOLLAR
4/15/2017
 
**
306

NEW ZEALAND DOLLAR
3/16/2021
 
**
403

NEW ZEALAND DOLLAR
 
 
**
—

NEWBRIDGE BANCORP COMMON STOCK
 
 
**
41,193

NEWCREST MINING LTD COMMON STOCK
 
 
**
105,970

NEWELL RUBBERMAID INC COMMON STOCK USD1.
 
 
**
1,202,370

NEWFIELD EXPLORATION CO COMMON STOCK USD.01
 
 
**
50,598

NEWGATE FUNDING PLC NGATE 2006 3X A3A REGS
3/16/2021
0.75%
**
2,193,810

NEWPARK RESOURCES INC COMMON STOCK USD.01
 
 
**
44,378

NEWPORT CORP COMMON STOCK USD.1167
 
 
**
63,432

NEWSTAR FINANCIAL INC COMMON STOCK USD.01
 
 
**
44,182

NEXON CO LTD COMMON STOCK
 
 
**
1,337,485

NHK SPRING CO LTD COMMON STOCK
 
 
**
326,083

NIAGARA MOHAWK POWER SR UNSECURED 144A 08/19 4.881
5/15/2022
4.88%
**
122,719

NICE SYSTEMS LTD SPONS ADR
 
 
**
23,076

NICE SYSTEMS LTD SPONS ADR ADR
 
 
**
2,149,500

NICHOLAS FINANCIAL INC COMMON STOCK
 
 
**
13,130

NIDEC CORP COMMON STOCK
 
 
**
5,571,288

NIELSEN HOLDINGS PLC COMMON STOCK EUR.07
 
 
**
1,364,437

NIHON PARKERIZING CO LTD COMMON STOCK
 
 
**
823,535

NIKE INC CL B COMMON STOCK USD1.0
 
 
**
15,534,717

NIMBLE STORAGE INC COMMON STOCK USD.001
 
 
**
1,691,650

NINE DRAGONS PAPER HOLDINGS COMMON STOCK HKD.1
 
 
**
217,947

NINTENDO CO LTD COMMON STOCK
 
 
**
4,053,124

NIPPON BUILDING FUND INC REIT
 
 
**
86,338

NIPPON DENKO CO LTD COMMON STOCK
 
 
**
129,299

NIPPON EXPRESS CO LTD COMMON STOCK
 
 
**
513,538

NIPPON PROLOGIS REIT INC REIT
 
 
**
27,246

NIPPON SHOKUBAI CO LTD COMMON STOCK
 
 
**
232,354

NIPPON TELEGRAPH + TELEPHONE COMMON STOCK
 
 
**
393,971

NIPPON YUSEN KK COMMON STOCK
 
 
**
581,196

NISOURCE FINANCE CORP COMPANY GUAR 02/45 5.65
5/15/2022
5.65%
**
66,664


77
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

NISOURCE FINANCE CORP COMPANY GUAR 03/18 6.4
5/15/2022
6.4%
**
37,046

NISSAN AUTO LEASE TRUST NALT 2015 A A2A
11/18/2016
1.03%
**
3,436,482

NISSAN AUTO LEASE TRUST NALT 2015 B A2A
11/18/2016
1.18%
**
5,453,314

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 B A4
11/18/2016
0.66%
**
1,472,209

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 A A3
5/15/2022
0.5%
**
21,105

NISSAN AUTO RECEIVABLES OWNER NAROT 2015 B A2B
11/18/2016
0.61%
**
2,014,446

NITTO DENKO CORP COMMON STOCK
 
 
**
814,930

NITTO KOHKI CO LTD COMMON STOCK
 
 
**
568,183

NL INDUSTRIES COMMON STOCK USD.125
 
 
**
5,609

NMC HEALTH PLC COMMON STOCK GBP.1
 
 
**
502,537

NN GROUP NV COMMON STOCK
 
 
**
300,552

NN INC COMMON STOCK USD.01
 
 
**
27,767

NOBLE CORP PLC COMMON STOCK USD.01
 
 
**
246,554

NOBLE ENERGY INC COMMON STOCK USD.01
 
 
**
59,834

NOBLE ENERGY INC COMPANY GUAR 05/21 5.625
5/15/2022
5.63%
**
80,211

NOBLE ENERGY INC COMPANY GUAR 06/22 5.875
5/15/2022
5.88%
**
59,932

NOBLE HOLDING INTL LTD COMPANY GUAR 03/42 5.25
5/15/2022
5.25%
**
22,178

NOK CORP COMMON STOCK
 
 
**
593,957

NOKIA OYJ COMMON STOCK
 
 
**
549,920

NOMURA HOLDINGS INC COMMON STOCK
 
 
**
906,633

NOMURA HOLDINGS INC SR UNSECURED 09/16 2
4/15/2017
2%
**
1,104,422

NOMURA REAL ESTATE HOLDINGS COMMON STOCK
 
 
**
24,369

NOMURA REAL ESTATE MASTER FU REIT
 
 
**
663,200

NORDEA BANK AB 04/17 1
11/18/2016
0.68%
**
3,063,982

NORDEA BANK AB SR UNSECURED 144A 01/20 4.875
1/14/2030
4.88%
**
653,789

NORDEA BANK AB SR UNSECURED 144A 03/17 3.125
3/16/2021
3.13%
**
1,733,541

NORDEA BANK FLD PLC
11/18/2016
0.64%
**
11,994,228

NORDIC AMERICAN TANKERS LTD COMMON STOCK USD.01
 
 
**
141,756

NORDSTROM INC SR UNSECURED 10/21 4
5/15/2022
4%
**
42,263

NORFOLK SOUTHERN CORP SR UNSECURED 10/42 3.95
5/15/2022
3.95%
**
21,519

NORFOLK SOUTHERN CORP SR UNSECURED 12/21 3.25
5/15/2022
3.25%
**
149,612

NORTHEAST BANCORP COMMON STOCK USD1.
 
 
**
12,926

NORTHERN OIL AND GAS INC COMMON STOCK USD.001
 
 
**
21,365

NORTHERN TRUST CORP COMMON STOCK USD1.667
 
 
**
14,119,836

NORTHERN TRUST RUSSELL 2000 J FUND NUMBER 386 NON LENDING
 
 
**
2,287,354,401

NORTHFIELD BANCORP INC COMMON STOCK USD.01
 
 
**
83,214

NORTHRIM BANCORP INC COMMON STOCK USD1.
 
 
**
19,072

NORTHROP GRUMMAN CORP COMMON STOCK USD1.
 
 
**
5,356,162

NORTHROP GRUMMAN SYSTEMS COMPANY GUAR 02/31 7.75
5/15/2022
7.75%
**
32,996

NORTHWEST BANCSHARES INC COMMON STOCK USD.01
 
 
**
126,268

NORTHWEST PIPE CO COMMON STOCK USD.01
 
 
**
928,054


78
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

NORWEGIAN CRUISE LINE HOLDIN COMMON STOCK USD.001
 
 
**
397,718

NORWEGIAN GOVERNMENT BONDS 144A REGS 05/21 3.75
3/16/2021
3.75%
**
348,421

NORWEGIAN KRONE
3/16/2021
 
**
17

NORWOOD FINANCIAL CORP COMMON STOCK USD.1
 
 
**
11,226

NOVARTIS AG REG COMMON STOCK CHF.5
 
 
**
8,420,034

NOVARTIS AG SPONSORED ADR ADR
 
 
**
17,484,963

NOVATEK MICROELECTRONICS COR COMMON STOCK TWD10.
 
 
**
282,766

NOVATEK OAO SPONS GDR REG S GDR
 
 
**
106,959

NOVO BANCO SA SR UNSECURED 03/16 7
3/16/2021
7%
**
199,879

NOVO BANCO SA SR UNSECURED 04/19 5
3/16/2021
5%
**
93,750

NOVO BANCO SA SR UNSECURED 04/19 5
3/16/2021
5%
**
376,968

NOVO BANCO SA SR UNSECURED 05/19 5
3/16/2021
5%
**
391,025

NOVO NORDISK A/S B COMMON STOCK DKK.2
 
 
**
2,394,638

NOVO NORDISK A/S SPONS ADR ADR
 
 
**
26,682,068

NOW INC COMMON STOCK USD.01
 
 
**
150,796

NRG ENERGY INC COMMON STOCK USD.01
 
 
**
3,512,168

NTELOS HOLDINGS CORP COMMON STOCK USD.01
 
 
**
11,242

NTT DOCOMO INC COMMON STOCK
 
 
**
454,283

NTT URBAN DEVELOPMENT CORP COMMON STOCK
 
 
**
16,534

NU SKIN ENTERPRISES INC A COMMON STOCK USD.001
 
 
**
105,827

NUCOR CORP SR UNSECURED 06/18 5.85
5/15/2022
5.85%
**
37,465

NUCOR CORP SR UNSECURED 08/23 4
5/15/2022
4%
**
96,959

NUFARM LTD COMMON STOCK
 
 
**
616,881

NUFLARE TECHNOLOGY INC COMMON STOCK
 
 
**
147,371

NUMERICABLE SFR COMMON STOCK EUR1.0
 
 
**
179,699

NUMERICABLE SFR SA SR SECURED 144A 05/22 6
4/15/2017
6%
**
970,000

NUMERICABLE U S LLC TERM LOAN B 1
1/14/2030
1%
**
871,084

NUMERICABLE U.S. USD TERM LOAN B2
1/14/2030
1%
**
753,606

NUTRACEUTICAL INTL CORP COMMON STOCK USD.01
 
 
**
26,466

NUVERRA ENVIRONMENTAL SOLUTI COMMON STOCK USD.001
 
 
**
893

NVIDIA CORP COMMON STOCK USD.001
 
 
**
173,864

NWS HOLDINGS LTD COMMON STOCK HKD1.0
 
 
**
19,324

NXP SEMICONDUCTORS NV COMMON STOCK
 
 
**
23,465,514

NYKREDIT REALKREDIT AS COVERED 07/16 1
3/16/2021
1%
**
12,962,094

NYKREDIT REALKREDIT AS COVERED 10/16 1
3/16/2021
1%
**
58,618

NYKREDIT REALKREDIT AS COVERED REGS 10/47 2.5
3/16/2021
2.5%
**
835,396

OAK HILL CREDIT PARTNERS OAKC 2012 6A AR 144A
3/16/2021
1%
**
1,183,125

OASIS PETROLEUM INC COMMON STOCK USD.01
 
 
**
48,347

OBIC CO LTD COMMON STOCK
 
 
**
968,985

OC OERLIKON CORP AG REG COMMON STOCK CHF1.0
 
 
**
343,158

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/23 2.7
5/15/2022
2.7%
**
117,643


79
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

OCCIDENTAL PETROLEUM CORP COMMON STOCK USD.2
 
 
**
16,333,089

OCEANEERING INTL INC COMMON STOCK USD.25
 
 
**
336,104

OCEANFIRST FINANCIAL CORP COMMON STOCK USD.01
 
 
**
34,892

OCH ZIFF CAPITAL MANAGEMEN A MLP
 
 
**
1,657,180

OCWEN MASTER ADVANCE RECEIVABL OMART 2015 T3 AT3 144A
5/15/2022
3.21%
**
585,231

ODBRCHT OFFSHRE DRLL FIN SR SECURED 144A 10/23 6.625
1/14/2030
6.63%
**
80,863

ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 10/23 6.625
3/16/2021
6.63%
**
121,295

ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 10/23 6.75
3/16/2021
6.75%
**
328,477

OFG BANCORP COMMON STOCK USD1.
 
 
**
30,012

OHL MEXICO SAB DE CV COMMON STOCK
 
 
**
66,064

OIL DRI CORP OF AMERICA COMMON STOCK USD.1
 
 
**
18,857

OIL STATES INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
139,656

OKI ELECTRIC INDUSTRY CO LTD COMMON STOCK
 
 
**
217,332

OKINAWA CELLULAR TELEPHONE COMMON STOCK
 
 
**
191,446

OLD DOMINION FREIGHT LINE COMMON STOCK USD.1
 
 
**
3,851,364

OLD NATIONAL BANCORP COMMON STOCK
 
 
**
154,272

OLD REPUBLIC INTL CORP COMMON STOCK USD1.
 
 
**
433,464

OLD SECOND BANCORP INC COMMON STOCK USD1.
 
 
**
23,300

OLIN CORP COMMON STOCK USD1.0
 
 
**
120,302

OLYMPIC STEEL INC COMMON STOCK
 
 
**
8,303

OLYMPUS CORP COMMON STOCK
 
 
**
3,116,339

OMEGA HEALTHCARE INVESTORS REIT USD.1
 
 
**
158,809

OMEGA PROTEIN CORP COMMON STOCK USD.01
 
 
**
47,774

OMNICELL INC COMMON STOCK USD.001
 
 
**
41,026

OMNICOM GROUP COMMON STOCK USD.15
 
 
**
23,311,905

OMNICOM GROUP INC COMPANY GUAR 04/16 5.9
11/18/2016
5.9%
**
1,284,468

OMNOVA SOLUTIONS INC COMMON STOCK USD.1
 
 
**
25,133

ON ASSIGNMENT INC COMMON STOCK USD.01
 
 
**
207,309

ON SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
**
3,653,763

ONDECK ASSET SECURITIZATION TR ONDK 2014 1A A 144A
5/15/2022
3.15%
**
218,790

ONE LIBERTY PROPERTIES INC REIT USD1.
 
 
**
19,786

ONEBEACON INSURANCE GROUP A COMMON STOCK USD.01
 
 
**
14,334

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2014 1A A 144A
5/15/2022
2.43%
**
850,057

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2014 2A A 144A
5/15/2022
2.47%
**
201,602

ONEMAIN HOLDINGS INC COMMON STOCK USD.01
 
 
**
350,598

ONEOK PARTNERS LP COMPANY GUAR 02/16 3.25
11/18/2016
3.25%
**
1,799,281

ONEOK PARTNERS LP COMPANY GUAR 03/25 4.9
5/15/2022
4.9%
**
117,913

ONEOK PARTNERS LP COMPANY GUAR 10/22 3.375
3/16/2021
3.38%
**
730,012

ONO PHARMACEUTICAL CO LTD COMMON STOCK
 
 
**
2,812,785

ONTARIO (PROVINCE OF) SR UNSECURED 05/16 2.3
5/15/2022
2.3%
**
75,364

ONTARIO (PROVINCE OF) SR UNSECURED 09/19 1.65
5/15/2022
1.65%
**
74,061


80
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ONTARIO (PROVINCE OF) SR UNSECURED 09/21 2.5
3/16/2021
2.5%
**
5,095,915

ONTARIO (PROVINCE OF) UNSECURED 06/20 4.2
3/16/2021
4.2%
**
969,416

OOREDOO INTERNATIONAL FI COMPANY GUAR 144A 10/16 3.375
3/16/2021
3.38%
**
60,583

OPHTHOTECH CORP COMMON STOCK USD.001
 
 
**
480,211

OPPENHEIMER HOLDINGS CL A COMMON STOCK USD.001
 
 
**
24,940

ORACLE CORP COMMON STOCK USD.01
 
 
**
26,706,535

ORACLE CORP SR UNSECURED 01/16 5.25
5/15/2022
5.25%
**
160,235

ORACLE CORP SR UNSECURED 07/23 3.625
5/15/2022
3.63%
**
248,251

ORACLE CORP SR UNSECURED 07/40 5.375
5/15/2022
5.38%
**
88,996

ORANGE COMMON STOCK EUR4.
 
 
**
787,071

ORANGE POLSKA SA COMMON STOCK PLN3.0
 
 
**
51,253

ORBCOMM INC COMMON STOCK USD.001
 
 
**
40,812

ORBITAL ATK INC COMMON STOCK USD.01
 
 
**
2,384,485

ORCHIDS PAPER PRODUCTS CO COMMON STOCK USD.001
 
 
**
25,354

ORICA LTD COMMON STOCK
 
 
**
1,231,357

ORION CORP COMMON STOCK KRW5000.
 
 
**
405,721

ORION MARINE GROUP INC COMMON STOCK USD.01
 
 
**
11,538

ORION OYJ CLASS B COMMON STOCK EUR.65
 
 
**
1,514,289

ORITANI FINANCIAL CORP COMMON STOCK USD.01
 
 
**
76,098

ORIX CORP COMMON STOCK
 
 
**
925,524

ORMAT TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
164,480

ORTHOFIX INTERNATIONAL NV COMMON STOCK USD.1
 
 
**
68,304

OSHKOSH CORP COMMON STOCK USD.01
 
 
**
201,017

OSI SYSTEMS INC COMMON STOCK
 
 
**
172,621

OSRAM LICHT AG COMMON STOCK
 
 
**
1,633,505

OTP BANK PLC COMMON STOCK HUF100.
 
 
**
44,716

OWENS + MINOR INC COMMON STOCK USD2.
 
 
**
217,571

OWENS CORNING COMMON STOCK USD.001
 
 
**
533,932

OXFORD INDUSTRIES INC COMMON STOCK USD1.
 
 
**
239,644

OXFORD INSTRUMENTS PLC COMMON STOCK GBP.05
 
 
**
356,102

P.A.M. TRANSPORTATION SVCS COMMON STOCK USD.01
 
 
**
17,989

PACCAR INC COMMON STOCK USD1.
 
 
**
1,549,980

PACIFIC CONTINENTAL CORP COMMON STOCK
 
 
**
25,921

PACIFIC DRILLING SA COMMON STOCK
 
 
**
9,815

PACIFIC GAS + ELECTRIC SR UNSECURED 11/17 5.625
5/15/2022
5.63%
**
208,440

PACIFIC MERCANTILE BANCORP COMMON STOCK
 
 
**
8,198

PACIFIC PREMIER BANCORP INC COMMON STOCK USD.01
 
 
**
37,018

PACIFICORP 1ST MORTGAGE 01/19 5.5
5/15/2022
5.5%
**
87,798

PACIFICORP 1ST MORTGAGE 04/24 3.6
5/15/2022
3.6%
**
70,270

PACIFICORP 1ST MORTGAGE 10/37 6.25
5/15/2022
6.25%
**
61,848

PACWEST BANCORP COMMON STOCK
 
 
**
2,830,075


81
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

PAKUWON JATI TBK PT COMMON STOCK IDR25.
 
 
**
276,609

PALO ALTO NETWORKS INC COMMON STOCK USD.0001
 
 
**
31,686,705

PANASONIC CORP COMMON STOCK
 
 
**
303,177

PANDORA A/S COMMON STOCK DKK1.
 
 
**
1,761,441

PANHANDLE OIL AND GAS INC A COMMON STOCK USD.01666
 
 
**
23,190

PARK ELECTROCHEMICAL CORP COMMON STOCK USD.1
 
 
**
30,873

PARK NATIONAL CORP COMMON STOCK
 
 
**
139,068

PARK STERLING CORP COMMON STOCK USD.01
 
 
**
33,760

PARKER DRILLING CO COMMON STOCK USD.167
 
 
**
14,737

PARKER HANNIFIN CORP COMMON STOCK USD.5
 
 
**
5,988,030

PARKWAY PROPERTIES INC REIT USD.001
 
 
**
84,902

PARQUE ARAUCO S.A. COMMON STOCK
 
 
**
258,145

PARSLEY ENERGY INC CLASS A COMMON STOCK USD.01
 
 
**
105,460

PARTNERRE LTD COMMON STOCK USD1.0
 
 
**
687,521

PARTNERS GROUP HOLDING AG COMMON STOCK CHF.01
 
 
**
1,119,478

PASON SYSTEMS INC COMMON STOCK
 
 
**
255,444

PATRIOT TRANSPORTATION HOLDI COMMON STOCK USD.1
 
 
**
7,122

PATRIZIA IMMOBILIEN AG COMMON STOCK
 
 
**
729,146

PATTERSON UTI ENERGY INC COMMON STOCK USD.01
 
 
**
164,191

PAX GLOBAL TECHNOLOGY LTD COMMON STOCK HKD.1
 
 
**
325,780

PAYCHEX INC COMMON STOCK USD.01
 
 
**
987,721

PAYCOM SOFTWARE INC COMMON STOCK USD.01
 
 
**
3,492,252

PAYLOCITY HOLDING CORP PRIVATE COMP USD.001
 
 
**
1,403,030

PAYPAL HOLDINGS INC COMMON STOCK USD.0001
 
 
**
22,843,214

PBF ENERGY INC CLASS A COMMON STOCK USD.001
 
 
**
333,940

PC CONNECTION INC COMMON STOCK USD.01
 
 
**
58,004

PCCW LTD COMMON STOCK
 
 
**
21,722

PDC ENERGY INC COMMON STOCK USD.01
 
 
**
3,659,679

PEABODY ENERGY CORP COMMON STOCK USD.01
 
 
**
9,024

PEAPACK GLADSTONE FINL CORP COMMON STOCK
 
 
**
25,363

PEBBLEBROOK HOTEL TRUST REIT USD.01
 
 
**
2,130,333

PEGATRON CORP COMMON STOCK TWD10.
 
 
**
309,069

PENARTH MASTER ISSUER PENAR 2015 2A A1 144A
1/14/2030
0.6%
**
1,295,866

PENN REAL ESTATE INVEST TST REIT USD1.
 
 
**
103,117

PENNS WOODS BANCORP INC COMMON STOCK USD8.33
 
 
**
21,740

PENNSYLVANIA ELECTRIC CO SR UNSECURED 09/17 6.05
5/15/2022
6.05%
**
106,439

PENSKE AUTOMOTIVE GROUP INC COMMON STOCK USD.0001
 
 
**
1,306,316

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 01/23 4.25
5/15/2022
4.25%
**
120,743

PENTAIR PLC COMMON STOCK USD.01
 
 
**
14,527,694

PEOPLE S INSURANCE CO GROU H COMMON STOCK CNY1.0
 
 
**
544,248

PEOPLE S UNITED FINANCIAL COMMON STOCK USD.01
 
 
**
483,370


82
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

PEOPLES BANCORP INC COMMON STOCK
 
 
**
27,035

PEOPLES BANCORP OF NC COMMON STOCK
 
 
**
12,146

PEP BOYS MANNY MOE + JACK COMMON STOCK USD1.0
 
 
**
100,003

PERCEPTRON INC COMMON STOCK USD.01
 
 
**
7,985

PERFICIENT INC COMMON STOCK USD.001
 
 
**
57,900

PERKINELMER INC COMMON STOCK USD1.
 
 
**
2,849,924

PERNOD RICARD SA COMMON STOCK EUR1.55
 
 
**
6,621,426

PERRY ELLIS INTERNATIONAL COMMON STOCK USD.01
 
 
**
9,523

PERSIMMON PLC COMMON STOCK GBP.1
 
 
**
2,411,766

PERTAMINA PERSERO PT SR UNSECURED REGS 05/22 4.875
3/16/2021
4.88%
**
862,944

PETROBRAS PETROLEO BRAS PR PREFERENCE
 
 
**
401,597

PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/16 3.875
1/14/2030
3.88%
**
199,200

PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/20 5.75
3/16/2021
5.75%
**
1,538,600

PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/20 5.75
1/14/2030
5.75%
**
471,000

PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/21 5.375
3/16/2021
5.38%
**
1,098,875

PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/21 5.375
5/15/2022
5.38%
**
119,200

PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/41 6.75
5/15/2022
6.75%
**
25,600

PETROBRAS GLOBAL FINANCE COMPANY GUAR 02/17 3.5
1/14/2030
3.5%
**
93,500

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/17 3.25
1/14/2030
3.25%
**
185,000

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/17 VAR
4/15/2017
2.89%
**
641,375

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/18 5.875
3/16/2021
5.88%
**
89,000

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/24 6.25
3/16/2021
6.25%
**
358,750

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/24 6.25
1/14/2030
6.25%
**
1,219,750

PETROBRAS GLOBAL FINANCE COMPANY GUAR 05/16 2
1/14/2030
2%
**
98,500

PETROLEOS MEXICANOS COMPANY GUAR 06/41 6.5
3/16/2021
6.5%
**
955,273

PETROLEOS MEXICANOS COMPANY GUAR 144A 01/26 4.5
5/15/2022
4.5%
**
171,308

PETRONAS CHEMICALS GROUP BHD COMMON STOCK MYR.1
 
 
**
265,289

PETRONET LNG LTD COMMON STOCK INR10.
 
 
**
880,445

PETROQUEST ENERGY INC COMMON STOCK USD.001
 
 
**
1,948

PEUGEOT SA COMMON STOCK EUR1.
 
 
**
3,126,257

PFIZER INC COMMON STOCK USD.05
 
 
**
12,980,014

PFIZER INC SR UNSECURED 06/23 3
5/15/2022
3%
**
45,331

PFS TAX LIEN TRUST PFS 2014 1 NOTE 144A
5/15/2022
1.44%
**
56,655

PGE SA COMMON STOCK PLN10.
 
 
**
215,868

PHARMERICA CORP COMMON STOCK USD.01
 
 
**
96,845

PHI INC NON VOTING COMMON STOCK USD.1
 
 
**
21,858

PHI INC VOTING COMMON STOCK USD.1
 
 
**
5,452

PHILIP MORRIS INTERNATIONAL COMMON STOCK
 
 
**
18,689,314

PHILLIPS 66 COMPANY GUAR 05/17 2.95
11/18/2016
2.95%
**
2,348,109

PHOENIX SATELLITE TELEVISION COMMON STOCK HKD.1
 
 
**
423,641

PHOTRONICS INC COMMON STOCK USD.01
 
 
**
49,962


83
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

PHYSICIANS REALTY TRUST REIT USD.01
 
 
**
2,612,609

PICC PROPERTY + CASUALTY H COMMON STOCK CNY1.0
 
 
**
318,755

PICK N PAY STORES LTD COMMON STOCK ZAR.0125
 
 
**
49,049

PICO HOLDINGS INC COMMON STOCK USD.001
 
 
**
24,324

PIMCO FDS PAC INVT MGMT SER ASSET BKD SECS PORTFOLIO
1/14/2030
 
**
13,524,204

PIMCO FDS PAC INVT MGMT SER SHORT TERM PORTFOLIO INSTL CL
1/14/2030
 
**
2,010,409

PIMCO FDS SHORT TERM FLTG NAV MUTUAL FUND
4/15/2017
 
**
20,689,923

PIMCO FDS SHORT TERM FLTG NAV MUTUAL FUND
3/16/2021
 
**
1,436,417

PIMCO FDS SHORT TERM FLTG NAV MUTUAL FUND
1/14/2030
 
**
110,188

PINNACLE FINANCIAL PARTNERS COMMON STOCK USD1.
 
 
**
2,220,396

PINNACLE FOODS INC COMMON STOCK USD.01
 
 
**
3,762,720

PINNACLE HOLDINGS LTD COMMON STOCK ZAR.01
 
 
**
93,467

PIONEER ENERGY SERVICES CORP COMMON STOCK USD.1
 
 
**
9,342

PIRAMAL ENTERPRISES LTD COMMON STOCK INR2.
 
 
**
422,345

PIZZAEXPRESS FINANCING 2 SR SECURED REGS 08/21 6.625
3/16/2021
6.63%
**
452,440

PLAINS ALL AMER PIPELINE SR UNSECURED 02/45 4.9
5/15/2022
4.9%
**
104,281

PLAINS ALL AMER PIPELINE SR UNSECURED 10/25 4.65
5/15/2022
4.65%
**
65,471

PLAINS ALL AMER PIPELINE SR UNSECURED 12/19 2.6
5/15/2022
2.6%
**
47,887

PLAINS ALL AMERICAN PIPELINE L
11/18/2016
1.1%
**
5,999,746

PLANTRONICS INC COMMON STOCK USD.01
 
 
**
4,505

PLAYTECH PLC COMMON STOCK
 
 
**
400,009

PLEXUS CORP COMMON STOCK USD.01
 
 
**
114,538

PMC SIERRA INC COMMON STOCK USD.001
 
 
**
219,153

PNC BANK NA SUBORDINATED 11/22 2.7
5/15/2022
2.7%
**
282,065

PNC FINANCIAL SERVICES GROUP COMMON STOCK USD5.
 
 
**
17,623,677

PNM RESOURCES INC COMMON STOCK
 
 
**
2,557,182

POLAND GOVERNMENT BOND BONDS 07/25 3.25
3/16/2021
3.25%
**
338,587

POLAND GOVERNMENT BOND BONDS 09/22 5.75
3/16/2021
5.75%
**
2,016,133

POLISH ZLOTY
3/16/2021
 
**
173

POLISH ZLOTY
 
 
**
119,478

POLSKIE GORNICTWO NAFTOWE I COMMON STOCK PLN1.
 
 
**
288,466

POLYCOM INC COMMON STOCK USD.0005
 
 
**
165,181

POLYONE CORPORATION COMMON STOCK USD.01
 
 
**
2,110,992

POPEYES LOUISIANA KITCHEN IN COMMON STOCK USD.01
 
 
**
2,658,767

PORSCHE AUTOMOBIL HLDG PRF PREFERENCE
 
 
**
124,678

PORSCHE INNOVATIVE LEASE OWNER PILOT 2014 1 A2 144A
11/18/2016
0.65%
**
391,075

PORT AUTH OF NEW YORK NEW JE PORTRN 10/62 FIXED 4.458
3/16/2021
4.46%
**
864,963

PORT AUTH OF NEW YORK NEW JE PORTRN 12/24 FIXED 5.859
3/16/2021
5.86%
**
1,343,210

PORTLAND GENERAL ELECTRIC CO COMMON STOCK
 
 
**
5,488,960

PORTO SEGURO SA COMMON STOCK
 
 
**
14,554

PORTOLA PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
684,542


84
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

POST HOLDINGS INC COMMON STOCK USD.01
 
 
**
597,626

POST PROPERTIES INC REIT USD.01
 
 
**
189,963

POTASH CORP SASKATCHEWAN SR UNSECURED 03/24 3.625
5/15/2022
3.63%
**
165,322

POTASH CORP SASKATCHEWAN SR UNSECURED 12/17 3.25
5/15/2022
3.25%
**
102,172

POU CHEN COMMON STOCK TWD10.
 
 
**
267,677

POUND STERLING
4/15/2017
 
**
71,108

POUND STERLING
3/16/2021
 
**
805,556

POUND STERLING
1/14/2030
 
**
149,867

POUND STERLING
 
 
**
340,288

POWELL INDUSTRIES INC COMMON STOCK USD.01
 
 
**
21,345

POWER ASSETS HOLDINGS LTD COMMON STOCK
 
 
**
198,351

POWER CORP OF CANADA COMMON STOCK
 
 
**
93,751

POWER FINANCE CORPORATION COMMON STOCK INR10.
 
 
**
308,148

POWERSECURE INTERNATIONAL IN COMMON STOCK USD.01
 
 
**
33,938

POWERTECH TECHNOLOGY INC COMMON STOCK TWD10.
 
 
**
1,443,066

PPG INDUSTRIES INC COMMON STOCK USD1.67
 
 
**
10,220,953

PPG INDUSTRIES INC SR UNSECURED 03/18 6.65
5/15/2022
6.65%
**
27,384

PPG INDUSTRIES INC SR UNSECURED 11/19 2.3
5/15/2022
2.3%
**
44,535

PPL CAPITAL FUNDING INC COMPANY GUAR 06/22 4.2
5/15/2022
4.2%
**
83,244

PPL CORP COMMON STOCK USD.01
 
 
**
2,160,429

PPL ELECTRIC UTILITIES 1ST MORTGAGE 06/44 4.125
5/15/2022
4.13%
**
53,218

PRA HEALTH SCIENCES INC COMMON STOCK USD.01
 
 
**
2,054,081

PRAXAIR INC SR UNSECURED 08/22 2.2
5/15/2022
2.2%
**
109,914

PREFERRED BANK/LOS ANGELES COMMON STOCK
 
 
**
43,983

PREFORMED LINE PRODUCTS CO COMMON STOCK USD2.
 
 
**
25,892

PREMIER FINANCIAL BANCORP COMMON STOCK
 
 
**
13,481

PREMIER OIL PLC COMMON STOCK GBP.125
 
 
**
46,036

PRESIDENT CHAIN STORE CORP COMMON STOCK TWD10.
 
 
**
37,538

PRESTIGE BRANDS HOLDINGS INC COMMON STOCK USD.01
 
 
**
4,831,964

PRGX GLOBAL INC COMMON STOCK USD.01
 
 
**
8,768

PRICELINE GROUP INC/THE COMMON STOCK USD.008
 
 
**
21,940,615

PRIMERICA INC COMMON STOCK
 
 
**
115,808

PRIMORIS SERVICES CORP COMMON STOCK USD.0001
 
 
**
76,620

PRINCIPAL FINANCIAL GROU COMPANY GUAR 11/17 1.85
5/15/2022
1.85%
**
9,007

PRINCIPAL LFE GLB FND II SR SECURED 144A 10/18 2.25
5/15/2022
2.25%
**
211,018

PRINCIPAL LFE GLB FND II SR SECURED 144A 12/17 VAR
11/18/2016
0.98%
**
5,692,097

PRIVATE EXPORT FUNDING US GOVT GUAR 03/19 4.375
5/15/2022
4.38%
**
529,904

PRIVATE EXPORT FUNDING US GOVT GUAR 11/22 2.05
5/15/2022
2.05%
**
369,408

PRIVATEBANCORP INC COMMON STOCK
 
 
**
3,800,913

PROASSURANCE CORP COMMON STOCK USD.01
 
 
**
4,262,972

PROCTER + GAMBLE CO/THE COMMON STOCK
 
 
**
2,491,012


85
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

PROCTER + GAMBLE CO/THE SR UNSECURED 08/34 5.8
5/15/2022
5.8%
**
54,427

PROGRESS ENERGY INC SR UNSECURED 04/22 3.15
5/15/2022
3.15%
**
122,677

PROGRESS RESIDENTIAL TRUST PROG 2015 SFR2 A 144A
5/15/2022
2.74%
**
734,809

PROGRESS SOFTWARE CORP COMMON STOCK USD.01
 
 
**
115,608

PROGRESSIVE CORP SR UNSECURED 04/44 4.35
5/15/2022
4.35%
**
62,508

PROOFPOINT INC COMMON STOCK USD.0001
 
 
**
14,763,121

PROSIEBENSAT.1 MEDIA SE COMMON STOCK
 
 
**
3,154,528

PROSPERITY BANCSHARES INC COMMON STOCK USD1.
 
 
**
2,174,041

PROTO LABS INC COMMON STOCK USD.001
 
 
**
3,995,911

PROVIDENCE AND WORCESTER RR COMMON STOCK USD.5
 
 
**
8,512

PROVIDENCE SERVICE CORP COMMON STOCK USD.001
 
 
**
1,381,231

PROVIDENT FINANCIAL HLDGS COMMON STOCK USD.01
 
 
**
17,417

PROVIDENT FINANCIAL SERVICES COMMON STOCK USD.01
 
 
**
132,184

PROVINCE OF ALBERTA UNSECURED 06/20 1.25
3/16/2021
1.25%
**
1,290,633

PROVINCE OF ALBERTA UNSECURED 06/25 2.35
3/16/2021
2.35%
**
1,363,976

PROVINCE OF QUEBEC NOTES 12/21 4.25
3/16/2021
4.25%
**
164,794

PROVINCE OF QUEBEC SR UNSECURED 12/18 4.5
3/16/2021
4.5%
**
158,372

PROXIMUS COMMON STOCK
 
 
**
1,933,114

PRUDENTIAL BANCORP INC COMMON STOCK USD.01
 
 
**
13,962

PRUDENTIAL FINANCIAL INC COMMON STOCK USD.01
 
 
**
4,756,705

PRUDENTIAL FINANCIAL INC SR UNSECURED 05/16 3
5/15/2022
3%
**
100,554

PRUDENTIAL FINANCIAL INC SR UNSECURED 06/20 5.375
5/15/2022
5.38%
**
100,059

PRUDENTIAL PLC COMMON STOCK GBP
 
 
**
2,922,170

PRYSMIAN SPA COMMON STOCK EUR.1
 
 
**
1,156,609

PSEG POWER LLC COMPANY GUAR 09/21 4.15
5/15/2022
4.15%
**
111,903

PSP SWISS PROPERTY AG REG COMMON STOCK CHF.1
 
 
**
327,560

PTT GLOBAL CHEMICAL PCL NVDR NVDR THB10.0
 
 
**
317,910

PUB SVC NEW HAMP 1ST MORTGAGE 11/23 3.5
5/15/2022
3.5%
**
43,031

PUBLIC BANK BERHAD COMMON STOCK MYR1.
 
 
**
164,344

PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/22 2.25
5/15/2022
2.25%
**
29,882

PUBLIC SERVICE OKLAHOMA SR UNSECURED 12/19 5.15
5/15/2022
5.15%
**
109,353

PULASKI FINANCIAL CORP COMMON STOCK USD.01
 
 
**
19,599

PULTEGROUP INC COMMON STOCK USD.01
 
 
**
590,751

PURE STORAGE INC CLASS A COMMON STOCK USD.0001
 
 
**
4,520,485

QANTAS AIRWAYS LTD COMMON STOCK
 
 
**
1,536,879

QBE INSURANCE GROUP LTD COMMON STOCK
 
 
**
398,371

QCR HOLDINGS INC COMMON STOCK USD1.
 
 
**
19,748

QEP RESOURCES INC COMMON STOCK USD.01
 
 
**
26,653

QIHOO 360 TECHNOLOGY CO ADR ADR USD.001
 
 
**
52,059

QLIK TECHNOLOGIES INC COMMON STOCK USD.0001
 
 
**
2,941,214

QLOGIC CORP COMMON STOCK USD.001
 
 
**
107,543


86
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

QUAD GRAPHICS INC COMMON STOCK USD.025
 
 
**
32,411

QUALCOMM INC COMMON STOCK USD.0001
 
 
**
28,118,612

QUALCOMM INC SR UNSECURED 05/22 3
3/16/2021
3%
**
1,088,976

QUALCOMM INC SR UNSECURED 05/45 4.8
1/14/2030
4.8%
**
444,255

QUALYS INC COMMON STOCK USD.001
 
 
**
1,278,598

QUANEX BUILDING PRODUCTS COMMON STOCK USD.01
 
 
**
76,937

QUANTA SERVICES INC COMMON STOCK USD.00001
 
 
**
429,644

QUEBECOR INC CL B COMMON STOCK
 
 
**
604,869

QUINTILES TRANSNATIONAL HOLD COMMON STOCK USD.01
 
 
**
3,094,094

RABOBANK NEDERLAND NY SR UNSECURED 04/17 VAR
11/18/2016
0.65%
**
6,563,836

RABOBANK NEDERLAND NY SR UNSECURED 11/16 VAR
11/18/2016
0.66%
**
5,258,376

RADIAN GROUP INC COMMON STOCK USD.001
 
 
**
2,130,349

RAKUTEN INC COMMON STOCK
 
 
**
123,628

RAMCO GERSHENSON PROPERTIES REIT USD.01
 
 
**
88,531

RAMI LEVY CHAIN STORES HASHI COMMON STOCK ILS.01
 
 
**
358,823

RAMIRENT OYJ COMMON STOCK
 
 
**
524,797

RANDSTAD HOLDING NV
 
 
**
4,215,070

RAUBEX GROUP LTD COMMON STOCK ZAR.01
 
 
**
161,372

RAVEN INDUSTRIES INC COMMON STOCK USD1.
 
 
**
9,812

RAYMOND JAMES FINANCIAL INC COMMON STOCK USD.01
 
 
**
2,133,296

RAYTHEON COMPANY SR UNSECURED 12/22 2.5
5/15/2022
2.5%
**
78,356

RBC BEARINGS INC COMMON STOCK USD.01
 
 
**
67,690

RCI HOSPITALITY HOLDINGS INC COMMON STOCK USD.01
 
 
**
10,240

REALKREDIT DANMARK COVERED 01/16 2
3/16/2021
2%
**
1,717,663

REALKREDIT DANMARK COVERED 10/37 2.5
3/16/2021
2.5%
**
922,298

REALKREDIT DANMARK COVERED 10/47 3
3/16/2021
3%
**
2,224,042

REALNETWORKS INC COMMON STOCK USD.001
 
 
**
15,245

REALOGY HOLDINGS CORP COMMON STOCK USD.01
 
 
**
1,411,795

REALTY INCOME CORP SR UNSECURED 07/24 3.875
5/15/2022
3.88%
**
73,574

RECKITT BENCKISER GROUP PLC COMMON STOCK GBP.1
 
 
**
7,048,122

RED HAT INC COMMON STOCK USD.0001
 
 
**
14,136,164

RED ROBIN GOURMET BURGERS COMMON STOCK USD.001
 
 
**
1,806,389

REDEFINE PROPERTIES LTD REIT
 
 
**
70,616

REDROW PLC COMMON STOCK GBP.1
 
 
**
422,657

REGAL BELOIT CORP COMMON STOCK USD.01
 
 
**
75,725

REGENCY CENTERS CORP REIT USD.01
 
 
**
425,886

REGENERON PHARMACEUTICALS COMMON STOCK USD.001
 
 
**
25,895,985

REGIONAL MANAGEMENT CORP COMMON STOCK USD.1
 
 
**
17,435

REGUS PLC COMMON STOCK GBP.01
 
 
**
1,274,414

REINSURANCE GROUP OF AMERICA COMMON STOCK USD.01
 
 
**
587,472

RELIANCE CAPITAL LTD COMMON STOCK INR10.
 
 
**
329,803


87
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

RELIANCE INDS SPONS GDR 144A GDR
 
 
**
218,821

RELIANCE STEEL + ALUMINUM COMMON STOCK
 
 
**
3,466,203

RELX PLC COMMON STOCK GBP.144397
 
 
**
289,356

REMGRO LTD COMMON STOCK
 
 
**
107,781

RENAISSANCERE HOLDINGS LTD COMMON STOCK USD1.
 
 
**
7,750,798

RENASANT CORP COMMON STOCK USD5.
 
 
**
2,672,590

RENAULT SA COMMON STOCK EUR3.81
 
 
**
60,777

RENEWABLE ENERGY GROUP INC COMMON STOCK USD.0001
 
 
**
39,993

RENT A CENTER INC COMMON STOCK USD.01
 
 
**
79,790

REPLIGEN CORP COMMON STOCK USD.01
 
 
**
833,989

REPUBLIC BANCORP INC CLASS A COMMON STOCK
 
 
**
51,420

REPUBLIC OF CYPRUS SR UNSECURED 144A REGS 02/20 4
3/16/2021
4.63%
**
814,376

REPUBLIC OF INDONESIA SR UNSECURED 144A 07/21 2.875
3/16/2021
2.88%
**
1,074,785

REPUBLIC OF INDONESIA SR UNSECURED REGS 03/20 5.875
3/16/2021
5.88%
**
601,588

REPUBLIC OF SLOVENIA SR UNSECURED REGS 02/19 4.125
3/16/2021
4.13%
**
1,892,250

REPUBLIC OF SLOVENIA SR UNSECURED REGS 02/24 5.25
4/15/2017
5.25%
**
220,750

REPUBLIC OF SLOVENIA SR UNSECURED REGS 05/18 4.75
4/15/2017
4.75%
**
212,200

REPUBLIC OF SLOVENIA SR UNSECURED REGS 05/18 4.75
3/16/2021
4.75%
**
848,800

REPUBLIC OF SLOVENIA SR UNSECURED REGS 05/23 5.85
4/15/2017
5.85%
**
1,139,370

REPUBLIC OF SLOVENIA SR UNSECURED REGS 05/23 5.85
3/16/2021
5.85%
**
2,734,488

REPUBLIC OF SLOVENIA SR UNSECURED REGS 10/22 5.5
4/15/2017
5.5%
**
1,562,658

REPUBLIC OF SLOVENIA SR UNSECURED REGS 10/22 5.5
3/16/2021
5.5%
**
6,473,867

REPUBLIC OF SOUTH AFRICA BONDS 12/18 8
3/16/2021
8%
**
3,319,989

REPUBLIC OF SOUTH AFRICA BONDS 12/26 10.5
3/16/2021
10.5%
**
81,779

REPUBLIC OF SOUTH AFRICA SR UNSECURED 05/19 6.875
3/16/2021
6.88%
**
1,282,272

REPUBLIC OF SOUTH AFRICA SR UNSECURED 07/26 3.75
3/16/2021
3.75%
**
404,460

REPUBLIC OF SOUTH AFRICA SR UNSECURED 07/44 5.375
3/16/2021
5.38%
**
630,000

REPUBLIC OF TURKEY SR UNSECURED 04/26 4.25
5/15/2022
4.25%
**
299,079

REPUBLIC SERVICES INC COMPANY GUAR 09/19 5.5
5/15/2022
5.5%
**
132,025

RESILIENT REIT LTD REIT
 
 
**
52,206

RESOLUTE FOREST PRODUCTS COMMON STOCK USD.001
 
 
**
71,385

RESOURCE AMERICA INC CL A COMMON STOCK USD.01
 
 
**
12,567

RESOURCE CAPITAL CORP LTD RSO 2015 CRE4 A 144A
1/14/2030
1.6%
**
1,388,633

RESOURCES CONNECTION INC COMMON STOCK USD.01
 
 
**
61,961

RESTAURANT GROUP PLC COMMON STOCK GBP.28125
 
 
**
490,024

RESTORATION HARDWARE HOLDING COMMON STOCK USD.0001
 
 
**
1,890,672

RETAIL OPPORTUNITY INVESTMEN REIT USD.0001
 
 
**
2,407,461

RETAILMENOT INC COMMON STOCK USD.001
 
 
**
31,516

REX ENERGY CORP COMMON STOCK USD.001
 
 
**
3,766

REXEL SA COMMON STOCK EUR5.
 
 
**
291,954

REXNORD CORP COMMON STOCK USD.01
 
 
**
2,505,996

REYNOLDS AMERICAN INC COMPANY GUAR 08/45 5.85
1/14/2030
5.85%
**
778,218

REYNOLDS GRP ISS/REYNOLD SR SECURED 10/20 5.75
1/14/2030
5.75%
**
813,752

RICE ENERGY INC COMMON STOCK USD.01
 
 
**
1,408,182

RICOH LEASING CO LTD COMMON STOCK
 
 
**
448,751

RIGHTMOVE PLC COMMON STOCK GBP.01
 
 
**
565,425


88
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

RING ENERGY INC COMMON STOCK USD.001
 
 
**
832,654

RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
3/16/2021
6.25%
**
814,000

RIO TINTO LTD COMMON STOCK
 
 
**
201,125

RIO TINTO PLC COMMON STOCK
 
 
**
2,064,552

RIOCAN REAL ESTATE INVST TR REIT
 
 
**
81,860

RLJ LODGING TRUST REIT
 
 
**
156,060

RMAC PLC RMAC 2005 NS2X A2C REGS
3/16/2021
0.18%
**
682,470

RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS
3/16/2021
0.74%
**
4,090,446

RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS
3/16/2021
0.76%
**
1,228,676

RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS
1/14/2030
0.76%
**
204,779

RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS
3/16/2021
0.74%
**
2,216,246

RMB HOLDINGS LTD COMMON STOCK ZAR.01
 
 
**
193,891

RMI HOLDINGS COMMON STOCK ZAR.0001
 
 
**
57,780

RMR GROUP INC/THE A COMMON STOCK
 
 
**
3,456

RNF6C BRENT CALENDAR FTR OPTN FEB16 71.5 CALL
4/15/2017
 
**
20

RNG6C BRENT CALENDAR FTR OPTN FEB16 71.5 CALL
4/15/2017
 
**
20

RNH6C BRENT CALENDAR FTR OPTN FEB16 71.5 CALL
4/15/2017
 
**
20

ROADRUNNER TRANSPORTATION SY COMMON STOCK USD.01
 
 
**
32,864

ROBERT HALF INTL INC COMMON STOCK USD.001
 
 
**
2,592,700

ROBINSONS LAND CO COMMON STOCK PHP1.
 
 
**
407,868

ROCHE HOLDING AG GENUSSCHEIN COMMON STOCK
 
 
**
14,384,121

ROCHE HOLDING INC COMPANY GUAR 144A 09/17 VAR
11/18/2016
0.69%
**
4,205,520

ROCHE HOLDING INC COMPANY GUAR 144A 09/24 3.35
1/14/2030
3.35%
**
1,330,508

ROCHE HOLDINGS LTD SPONS ADR ADR
 
 
**
1,392,933

ROCKWELL COLLINS INC COMMON STOCK USD.01
 
 
**
273,670

ROCKY BRANDS INC COMMON STOCK
 
 
**
9,479

ROFIN SINAR TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
76,859

ROGERS COMMUNICATIONS IN COMPANY GUAR 05/32 8.75
5/15/2022
8.75%
**
60,835

ROGERS COMMUNICATIONS INC B COMMON STOCK
 
 
**
193,992

ROGERS CORP COMMON STOCK USD1.
 
 
**
89,835

ROHM CO LTD COMMON STOCK
 
 
**
2,974,538

ROLLS ROYCE HOLDINGS PLC COMMON STOCK GBP.2
 
 
**
2,189,523

ROMANIAN LEU
3/16/2021
 
**
62

ROSNEFT OJSC REG S GDR GDR
 
 
**
58,147

ROVI CORP COMMON STOCK USD.001
 
 
**
151,973

ROWAN COMPANIES PLC A COMMON STOCK USD.125
 
 
**
1,648,760

ROYAL BANK OF CANADA COMMON STOCK
 
 
**
514,796

ROYAL BANK OF CANADA COVERED 09/17 1.2
5/15/2022
1.2%
**
244,837

ROYAL BANK OF CANADA SR UNSECURED 01/17 1.2
11/18/2016
1.2%
**
2,627,737

ROYAL BANK OF SCOTLAND GROUP COMMON STOCK GBP1.0
 
 
**
1,123,562

ROYAL BK OF SCOTLAND PLC SUBORDINATED 04/18 6.934
3/16/2021
6.93%
**
1,216,361

ROYAL BK OF SCOTLAND PLC SUBORDINATED REGS 03/22 VAR
3/16/2021
9.5%
**
1,404,952

ROYAL BK OF SCOTLAND PLC SUBORDINATED REGS 03/22 VAR
1/14/2030
9.5%
**
648,439

ROYAL BK OF SCOTLAND PLC SUBORDINATED REGS 03/22 VAR
3/16/2021
13.13%
**
2,162,181

ROYAL DUTCH SHELL PLC A SHS COMMON STOCK EUR.07
 
 
**
959,429

ROYAL DUTCH SHELL PLC B SHS COMMON STOCK EUR.07
 
 
**
813,378

ROYAL DUTCH SHELL SPON ADR A ADR
 
 
**
2,866,799


89
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ROYAL GOLD INC COMMON STOCK USD.01
 
 
**
144,312

ROYAL MAIL PLC COMMON STOCK GBP.01
 
 
**
388,688

RPC INC COMMON STOCK USD.1
 
 
**
15,989

RPM INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
6,066,225

RPX CORP COMMON STOCK USD.0001
 
 
**
54,120

RSP PERMIAN INC COMMON STOCK USD.01
 
 
**
162,315

RTI SURGICAL INC COMMON STOCK USD.001
 
 
**
7,666

RUBY TUESDAY INC COMMON STOCK USD.01
 
 
**
75,327

RUCKUS WIRELESS INC COMMON STOCK USD.001
 
 
**
4,183,969

RUDOLPH TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
48,092

RUSH ENTERPRISES INC CL A COMMON STOCK USD.01
 
 
**
62,824

RYDER SYSTEM INC COMMON STOCK USD.5
 
 
**
302,904

RYDER SYSTEM INC SR UNSECURED 06/17 3.5
5/15/2022
3.5%
**
135,877

RYDER SYSTEM INC SR UNSECURED 09/20 2.875
5/15/2022
2.88%
**
68,166

RYMAN HOSPITALITY PROPERTIES REIT USD.01
 
 
**
74,103

S + T BANCORP INC COMMON STOCK USD2.5
 
 
**
91,597

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/22 3.75
3/16/2021
3.75%
**
1,131,332

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/42 4.95
3/16/2021
4.95%
**
1,320,393

SABMILLER HOLDINGS INC COMPANY GUAR 144A 08/18 VAR
1/14/2030
1.02%
**
1,984,202

SABMILLER PLC COMMON STOCK USD.1
 
 
**
886,510

SABRA HEALTH CARE REIT INC REIT USD.01
 
 
**
2,023

SAFEGUARD SCIENTIFICS INC COMMON STOCK USD.1
 
 
**
1,398,300

SAFETY INSURANCE GROUP INC COMMON STOCK USD.01
 
 
**
30,953

SAFRAN SA COMMON STOCK EUR.2
 
 
**
431,964

SAGA COMMUNICATIONS INC CL A COMMON STOCK USD.01
 
 
**
19,686

SAGE GROUP PLC/THE COMMON STOCK GBP.01051948
 
 
**
3,618,588

SAIA INC COMMON STOCK USD.001
 
 
**
1,003,342

SAKAI CHEMICAL INDUSTRY CO COMMON STOCK
 
 
**
166,599

SALEM MEDIA GROUP INC COMMON STOCK USD.01
 
 
**
8,675

SALESFORCE.COM INC COMMON STOCK USD.001
 
 
**
15,305,483

SAM YUNG TRADING CO LTD COMMON STOCK KRW500.
 
 
**
678,540

SAMSUNG ELECTR GDR GDR
 
 
**
2,095,705

SANDERSON FARMS INC COMMON STOCK USD1.
 
 
**
174,808

SANDY SPRING BANCORP INC COMMON STOCK USD1.
 
 
**
69,072

SANKEN ELECTRIC CO LTD COMMON STOCK
 
 
**
283,969

SANMINA CORP COMMON STOCK USD.01
 
 
**
164,537

SANOFI ADR ADR
 
 
**
4,832,245

SANOFI COMMON STOCK EUR2.
 
 
**
3,668,574

SANTANDER DRIVE AUTO RECEIVABL SDART 2014 3 A3
11/18/2016
0.81%
**
1,534,210

SANTANDER UK GROUP HLDGS SUBORDINATED 144A 09/25 4.75
3/16/2021
4.75%
**
1,874,933

SANTEN PHARMACEUTICAL CO LTD COMMON STOCK
 
 
**
290,157

SAP SE COMMON STOCK
 
 
**
6,099,775

SARTORIUS STEDIM BIOTECH COMMON STOCK EUR1.0
 
 
**
1,458,814

SATO CORP COMMON STOCK
 
 
**
373,083

SATS LTD COMMON STOCK
 
 
**
717,302

SAUDI ELECTRICITY GLOBAL SR UNSECURED 144A 04/43 5.06
1/14/2030
5.06%
**
171,656

SCANA CORPORATION SR UNSECURED 02/22 4.125
5/15/2022
4.13%
**
97,969


90
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SCANSOURCE INC COMMON STOCK
 
 
**
92,471

SCENTRE GROUP REIT
 
 
**
228,724

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 08/22 2.4
5/15/2022
2.4%
**
94,116

SCHLUMBERGER LTD COMMON STOCK USD.01
 
 
**
5,413,925

SCHNEIDER ELECTRIC SE COMMON STOCK EUR4.0
 
 
**
5,122,818

SCHNITZER STEEL INDS INC A COMMON STOCK USD1.
 
 
**
35,350

SCHOLASTIC CORP COMMON STOCK USD.01
 
 
**
118,572

SCHRODERS PLC COMMON STOCK GBP1.0
 
 
**
159,443

SCHULMAN (A.) INC COMMON STOCK USD1.
 
 
**
87,937

SCHWEITZER MAUDUIT INTL INC COMMON STOCK USD.1
 
 
**
124,794

SCICLONE PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
27,333

SCOR SE COMMON STOCK EUR7.876972
 
 
**
474,226

SCORPIO TANKERS INC COMMON STOCK USD.01
 
 
**
137,278

SCSK CORP COMMON STOCK
 
 
**
6,378,093

SDL PLC COMMON STOCK GBP.01
 
 
**
218,803

SEABOARD CORP W/D COMMON STOCK USD1.0
 
 
**
31,842

SEACHANGE INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
14,504

SEACOAST BANKING CORP/FL COMMON STOCK USD.1
 
 
**
49,134

SEACOR HOLDINGS INC COMMON STOCK USD.01
 
 
**
96,973

SEALED AIR CORP COMMON STOCK USD.1
 
 
**
1,984,700

SEARS HOMETOWN AND OUTLET ST COMMON STOCK USD.01
 
 
**
3,112

SEASPINE HOLDINGS CORP COMMON STOCK USD.01
 
 
**
9,672

SEATTLE GENETICS INC COMMON STOCK USD.001
 
 
**
1,291,557

SEAWORLD ENTERTAINMENT INC COMMON STOCK USD.01
 
 
**
2,537,588

SECURITY BANK CORP COMMON STOCK PHP10.
 
 
**
226,222

SEGRO PLC REIT GBP.1
 
 
**
1,088,879

SEI INVESTMENTS COMPANY COMMON STOCK USD.01
 
 
**
618,687

SEKISUI HOUSE LTD COMMON STOCK
 
 
**
119,086

SELECT BANCORP INC COMMON STOCK USD1.0
 
 
**
13,227

SELECT INCOME REIT REIT USD.01
 
 
**
44,694

SELECT MEDICAL HOLDINGS CORP COMMON STOCK USD.001
 
 
**
150,149

SELECTIVE INSURANCE GROUP COMMON STOCK USD2.
 
 
**
2,650,872

SEMBCORP INDUSTRIES LTD COMMON STOCK
 
 
**
30,099

SEMPRA ENERGY SR UNSECURED 10/39 6
5/15/2022
6%
**
134,553

SEMPRA ENERGY SR UNSECURED 12/23 4.05
5/15/2022
4.05%
**
104,038

SENECA FOODS CORP CL A COMMON STOCK USD.25
 
 
**
26,720

SENIOR PLC COMMON STOCK GBP.1
 
 
**
487,519

SENSIENT TECHNOLOGIES CORP COMMON STOCK USD.1
 
 
**
2,172,316

SEOBU T+D COMMON STOCK KRW500.
 
 
**
716,980

SEQUOIA MORTGAGE TRUST SEMT 2004 3 A
4/15/2017
1.05%
**
18,473

SEQUOIA MORTGAGE TRUST SEMT 2005 2 A2
4/15/2017
0.78%
**
546,243

SERVICE CORP INTERNATIONAL COMMON STOCK USD1.
 
 
**
202,123

SERVICEMASTER GLOBAL HOLDING COMMON STOCK USD.01
 
 
**
2,786,040

SERVICENOW INC COMMON STOCK USD.001
 
 
**
32,314,320

SEVENTY SEVEN ENERGY INC COMMON STOCK USD.01
 
 
**
3,551

SEVERSTAL GDR REG S
 
 
**
44,603

SEVERSTAL GDR REG S GDR
 
 
**
(3,096
)

91
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SEVERSTAL GDR REG S GDR
 
 
**
50,993

SHAKE SHACK INC CLASS A COMMON STOCK USD.01
 
 
**
99,792

SHANKS GROUP PLC COMMON STOCK GBP.1
 
 
**
282,187

SHELL INTERNATIONAL FIN COMPANY GUAR 05/17 VAR
11/18/2016
0.66%
**
4,084,448

SHELL INTERNATIONAL FIN COMPANY GUAR 05/35 4.125
5/15/2022
4.13%
**
102,134

SHELL INTERNATIONAL FIN COMPANY GUAR 08/23 3.4
5/15/2022
3.4%
**
69,597

SHELL INTERNATIONAL FIN COMPANY GUAR 08/43 4.55
5/15/2022
4.55%
**
24,301

SHENANDOAH TELECOMMUNICATION COMMON STOCK
 
 
**
101,469

SHENZHEN EXPRESSWAY CO H COMMON STOCK CNY1.0
 
 
**
571,989

SHENZHOU INTERNATIONAL GROUP COMMON STOCK HKD.1
 
 
**
310,407

SHILOH INDUSTRIES INC COMMON STOCK USD.01
 
 
**
8,054

SHIMADZU CORP COMMON STOCK
 
 
**
390,997

SHIMAMURA CO LTD COMMON STOCK
 
 
**
71,125

SHIMAO PROPERTY HOLDINGS LTD COMMON STOCK HKD.1
 
 
**
40,122

SHIN ETSU CHEMICAL CO LTD COMMON STOCK
 
 
**
1,441,169

SHINHAN FINANCIAL GROUP LTD COMMON STOCK KRW5000.
 
 
**
63,345

SHINSEGAE CO LTD COMMON STOCK KRW5000.
 
 
**
507,253

SHIONOGI + CO LTD COMMON STOCK
 
 
**
14,016,536

SHIP FINANCE INTL LTD COMMON STOCK USD1.
 
 
**
154,548

SHIP HEALTHCARE HOLDINGS INC COMMON STOCK
 
 
**
500,436

SHIRE PLC ADR ADR
 
 
**
9,143,615

SHIRE PLC COMMON STOCK GBP.05
 
 
**
1,379,891

SHOE CARNIVAL INC COMMON STOCK USD.01
 
 
**
42,804

SHOPRITE HOLDINGS LTD COMMON STOCK ZAR1.134
 
 
**
61,194

SHUTTERFLY INC COMMON STOCK USD.0001
 
 
**
164,426

SI FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
18,004

SIAM COMMERCIAL BANK P NVDR NVDR THB10.0
 
 
**
32,544

SIEMENS AG REG COMMON STOCK
 
 
**
787,342

SIERRA BANCORP COMMON STOCK
 
 
**
25,328

SIFCO INDUSTRIES COMMON STOCK USD1.
 
 
**
4,864

SIGMA DESIGNS INC COMMON STOCK
 
 
**
22,120

SIGNATURE BANK COMMON STOCK USD.01
 
 
**
3,021,389

SIKA AG BR COMMON STOCK CHF.6
 
 
**
415,884

SILGAN HOLDINGS INC COMMON STOCK USD.01
 
 
**
1,928,924

SILICON LABORATORIES INC COMMON STOCK USD.0001
 
 
**
2,150,516

SILICONWARE PRECISION INDS COMMON STOCK TWD10.
 
 
**
1,464,852

SILTRONIC AG COMMON STOCK
 
 
**
3,941,047

SIMMONS FIRST NATL CORP CL A COMMON STOCK USD.01
 
 
**
90,650

SIMON PROPERTY GROUP LP SR UNSECURED 03/21 4.375
5/15/2022
4.38%
**
254,793

SIMPSON MANUFACTURING CO INC COMMON STOCK USD.01
 
 
**
161,017

SINCLAIR BROADCAST GROUP A COMMON STOCK USD.01
 
 
**
101,948

SINGAPORE AIRLINES LTD COMMON STOCK
 
 
**
71,053

SINGAPORE DOLLAR
4/15/2017
 
**
35

SINGAPORE DOLLAR
3/16/2021
 
**
450

SINGAPORE DOLLAR
1/14/2030
 
**
266

SINGAPORE DOLLAR
 
 
**
106,672

SINGAPORE EXCHANGE LTD COMMON STOCK
 
 
**
65,132


92
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SINGAPORE TECH ENGINEERING COMMON STOCK
 
 
**
40,313

SINGAPORE TELECOMMUNICATIONS COMMON STOCK NPV
 
 
**
1,242,785

SINO BIOPHARMACEUTICAL COMMON STOCK HKD.025
 
 
**
39,060

SINO LAND CO COMMON STOCK
 
 
**
613,774

SINO OCEAN LAND HOLDINGS COMMON STOCK
 
 
**
34,308

SINOFERT HOLDINGS LTD COMMON STOCK HKD.1
 
 
**
240,831

SINOPEC SHANGHAI PETROCHEM H COMMON STOCK CNY1.0
 
 
**
145,925

SINOPHARM GROUP CO H COMMON STOCK CNY1.0
 
 
**
335,472

SIRONA DENTAL SYSTEMS INC COMMON STOCK USD.01
 
 
**
6,420,802

SISTEMA JSFC REG S SPONS GDR GDR
 
 
**
74,458

SISTEMA JSFC REG S SPONS GDR GDR
 
 
**
221,256

SIZMEK INC COMMON STOCK
 
 
**
7,107

SK HYNIX INC COMMON STOCK KRW5000.
 
 
**
475,064

SK INNOVATION CO LTD COMMON STOCK KRW5000.
 
 
**
151,337

SKANDINAVISKA ENSKILDA SR UNSECURED 144A 03/18 1.75
5/15/2022
1.75%
**
198,942

SKANSKA AB B SHS COMMON STOCK
 
 
**
286,356

SKULLCANDY INC COMMON STOCK USD.0001
 
 
**
13,088

SKY PLC COMMON STOCK GBP.5
 
 
**
5,237,176

SKYWEST INC COMMON STOCK
 
 
**
99,418

SKYWORKS SOLUTIONS INC COMMON STOCK USD.25
 
 
**
31,200,663

SL INDS INC COMMON STOCK USD.2
 
 
**
13,071

SLC AGRICOLA SA COMMON STOCK
 
 
**
115,592

SLM STUDENT LOAN TR 03 7 SLM STUDENT LOAN TR 03 7 REGS
3/16/2021
0.51%
**
533,202

SLM STUDENT LOAN TRUST SLMA 2005 10 A4
4/15/2017
0.43%
**
17,540

SLM STUDENT LOAN TRUST SLMA 2006 B A4
3/16/2021
0.52%
**
380,878

SLM STUDENT LOAN TRUST SLMA 2007 A A4A
3/16/2021
0.58%
**
695,011

SM ENERGY CO COMMON STOCK USD.01
 
 
**
101,210

SMITH (A.O.) CORP COMMON STOCK USD1.
 
 
**
1,141,489

SMITH + NEPHEW PLC COMMON STOCK USD.2
 
 
**
3,082,245

SMITHS GROUP PLC COMMON STOCK GBP.375
 
 
**
2,477,853

SNAAC AUTO RECEIVABLES TRUST SNAAC 2014 1A A 144A
5/15/2022
1.03%
**
24,620

SNAP ON INC COMMON STOCK USD1.
 
 
**
2,640,022

SNYDERS LANCE INC COMMON STOCK USD.833
 
 
**
232,040

SOCIETE BIC SA COMMON STOCK EUR3.82
 
 
**
983,482

SOCIETE GENERALE JR SUBORDINA REGS 12/49 VAR
3/16/2021
8.25%
**
742,000

SOCIETE GENERALE SA COMMON STOCK EUR1.25
 
 
**
997,479

SOCIETE GENERALE SUBORDINATED 144A 04/25 4.25
1/14/2030
4.25%
**
1,038,084

SOFTBANK GROUP CORP COMMON STOCK
 
 
**
96,962

SOMPO JAPAN NIPPONKOA HOLDIN COMMON STOCK
 
 
**
733,547

SONIC AUTOMOTIVE INC CLASS A COMMON STOCK USD.01
 
 
**
86,306

SONIC CORP COMMON STOCK USD.01
 
 
**
2,400,956

SONIC HEALTHCARE LTD COMMON STOCK
 
 
**
92,205

SONOCO PRODUCTS CO COMMON STOCK
 
 
**
314,576

SONOVA HOLDING AG REG COMMON STOCK CHF.05
 
 
**
1,467,193

SONY CORP COMMON STOCK
 
 
**
3,700,874

SOTHEBY S COMMON STOCK USD.01
 
 
**
140,237

SOUTH AFRICAN RAND
3/16/2021
 
**
10


93
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SOUTH AFRICAN RAND
 
 
**
145,974

SOUTH KOREAN WON
3/16/2021
 
**
14,547

SOUTH KOREAN WON
 
 
**
833,227

SOUTH STATE CORP COMMON STOCK USD2.5
 
 
**
2,341,037

SOUTHERN CAL EDISON 1ST REF MORT 01/36 5.55
5/15/2022
5.55%
**
191,478

SOUTHERN CO/THE COMMON STOCK USD5.
 
 
**
2,166,377

SOUTHERN COPPER CORP COMMON STOCK USD.01
 
 
**
66,684

SOUTHERN MISSOURI BANCORP COMMON STOCK USD.01
 
 
**
19,837

SOUTHERN NATL BANCORP OF VA COMMON STOCK USD.01
 
 
**
16,064

SOUTHERN POWER CO SR UNSECURED 09/41 5.15
5/15/2022
5.15%
**
37,009

SOUTHERN POWER CO SR UNSECURED 12/25 4.15
5/15/2022
4.15%
**
19,963

SOUTHWEST BANCORP INC/OKLA COMMON STOCK USD1.
 
 
**
35,834

SOUTHWEST GAS CORP COMMON STOCK USD1.
 
 
**
2,338,508

SOUTHWESTERN ELEC POWER SR UNSECURED 01/19 6.45
5/15/2022
6.45%
**
83,317

SOUTHWESTERN ELEC POWER SR UNSECURED 04/45 3.9
5/15/2022
3.9%
**
84,060

SOVRAN SELF STORAGE INC REIT USD.01
 
 
**
32,944

SP PLUS CORP COMMON STOCK USD.001
 
 
**
51,433

SPAREBANK 1 SR BANK ASA COMMON STOCK NOK25.0
 
 
**
227,994

SPARK INFRASTRUCTURE GROUP STAPLED SECURITY
 
 
**
624,968

SPARTAN MOTORS INC COMMON STOCK USD.01
 
 
**
10,838

SPARTANNASH CO COMMON STOCK
 
 
**
1,872,920

SPARTON CORP COMMON STOCK USD1.25
 
 
**
20,490

SPECTRA ENERGY CAPITAL COMPANY GUAR 03/20 5.65
5/15/2022
5.65%
**
143,941

SPECTRA ENERGY CAPITAL COMPANY GUAR 10/19 8
5/15/2022
8%
**
85,298

SPEEDWAY MOTORSPORTS INC COMMON STOCK USD.01
 
 
**
78,570

SPIRIT ISSUER PLC SR SECURED REGS 12/27 6.582
3/16/2021
6.58%
**
1,126,649

SPIRIT REALTY CAPITAL INC REIT USD.01
 
 
**
263,205

SPLUNK INC COMMON STOCK USD.001
 
 
**
5,139,994

SPOK HOLDINGS INC COMMON STOCK USD.0001
 
 
**
41,312

SPORTSMAN S WAREHOUSE HOLDIN COMMON STOCK USD.01
 
 
**
154,039

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 2A M1 144A
5/15/2022
3.52%
**
312,942

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 2A M2 144A
5/15/2022
4.48%
**
302,119

SPS COMMERCE INC COMMON STOCK USD.001
 
 
**
1,298,183

*SSGA S+P 500 INDEX SER A S+P 500 FLAGSHIP NON LENDING
 
 
**
9,336,393,780

*SSGA US BND INDEX SER A MUTUAL FUND
 
 
**
4,010,641,946

ST JAMES S PLACE PLC COMMON STOCK GBP.15
 
 
**
886,958

ST JUDE MEDICAL INC COMMON STOCK USD.1
 
 
**
9,352,472

STADSHYPOTEK AB COVERED 144A 10/19 1.875
5/15/2022
1.88%
**
246,506

STAG INDUSTRIAL INC REIT USD.01
 
 
**
62,398

STAGE STORES INC COMMON STOCK USD.01
 
 
**
26,146

STANCORP FINANCIAL GROUP COMMON STOCK
 
 
**
490,253

STANDARD CHARTERED PLC COMMON STOCK USD.5
 
 
**
1,857,934

STANDARD CHRTRD BNKN
11/18/2016
0.8%
**
4,497,169

STANDARD MOTOR PRODS COMMON STOCK USD2.
 
 
**
85,803

STANDEX INTERNATIONAL CORP COMMON STOCK USD1.5
 
 
**
1,948,454

STANLEY BLACK + DECKER INC COMMON STOCK USD2.5
 
 
**
2,674,013

STARBUCKS CORP COMMON STOCK USD.001
 
 
**
8,291,464


94
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

STARBUCKS CORP SR UNSECURED 06/22 2.7
5/15/2022
2.7%
**
93,029

STARBUCKS CORP SR UNSECURED 06/45 4.3
1/14/2030
4.3%
**
622,348

STARRETT (L.S.) CO CL A COMMON STOCK USD1.
 
 
**
6,969

STARTEK INC COMMON STOCK USD.01
 
 
**
5,502

STATE AUTO FINANCIAL CORP COMMON STOCK
 
 
**
86,519

STATE BANK OF INDI GDR REG S GDR
 
 
**
305,876

*STATE STR BK TR CO INVT FDS EX US INDX NL CL A (CMLH1)
 
 
**
4,037,701,876

*STATE STREET CORP COMMON STOCK USD1.
 
 
**
7,891,797

*STATE STREET CORP SR SUBORDINA 05/23 3.1
5/15/2022
3.1%
**
49,410

*STATE STREET CORP SR UNSECURED 11/23 3.7
5/15/2022
3.7%
**
114,458

STATOIL ASA COMPANY GUAR 01/23 2.45
5/15/2022
2.45%
**
56,877

STATOIL ASA COMPANY GUAR 11/17 1.25
5/15/2022
1.25%
**
59,394

STATOIL ASA COMPANY GUAR 11/18 VAR
1/14/2030
0.8%
**
2,083,538

STATOIL ASA COMPANY GUAR 11/21 2.75
5/15/2022
2.75%
**
65,582

STEEL DYNAMICS INC COMMON STOCK USD.005
 
 
**
428,612

STEIN MART INC COMMON STOCK USD.01
 
 
**
23,367

STEPAN CO COMMON STOCK USD1.
 
 
**
101,865

STERIS PLC COMMON STOCK
 
 
**
4,070,470

STERLING BANCORP/DE COMMON STOCK USD.01
 
 
**
134,658

STERLING CONSTRUCTION CO COMMON STOCK USD.01
 
 
**
11,218

STEVEN MADDEN LTD COMMON STOCK USD.0001
 
 
**
4,788,963

STEWART INFORMATION SERVICES COMMON STOCK USD1.
 
 
**
87,987

STHREE PLC COMMON STOCK GBP.01
 
 
**
547,760

STILLWATER MINING CO COMMON STOCK USD.01
 
 
**
35,197

STOCK YARDS BANCORP INC COMMON STOCK
 
 
**
54,229

STOCKLAND REIT
 
 
**
95,795

STONE ENERGY CORP COMMON STOCK USD.01
 
 
**
15,830

STONERIDGE INC COMMON STOCK
 
 
**
40,952

STORA ENSO OYJ R SHS COMMON STOCK
 
 
**
89,290

STOREBRAND ASA COMMON STOCK NOK5.
 
 
**
201,376

STRATUS PROPERTIES INC COMMON STOCK USD.01
 
 
**
17,102

STRIPS 02/20 0.00000
5/15/2022
0.01%
**
512,173

STRIPS 02/22 0.00000
5/15/2022
 
**
605,760

STRIPS 02/29 0.00000
5/15/2022
 
**
1,001,369

STRIPS 05/20 0.00000
5/15/2022
0.01%
**
7,754,410

STRIPS 05/21 0.00000
5/15/2022
 
**
1,409,508

STRIPS 05/22 0.00000
5/15/2022
0.01%
**
1,829,447

STRIPS 05/23 0.00000
5/15/2022
 
**
875,984

STRIPS 05/27 0.00000
5/15/2022
 
**
1,264,164

STRIPS 05/30 0.00000
5/15/2022
 
**
1,327,701

STRIPS 05/31 0.00000
5/15/2022
 
**
689,513

STRIPS 05/33 0.00000
5/15/2022
 
**
903,371

STRIPS 08/21 0.00000
5/15/2022
0.01%
**
6,130,163

STRIPS 08/23 0.00000
5/15/2022
 
**
294,521

STRIPS 08/29 0.00000
5/15/2022
 
**
689,234

STRIPS 08/32 0.00000
5/15/2022
 
**
929,175

STRIPS 11/30 0.00000
5/15/2022
 
**
1,644,168


95
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 16 3A1
4/15/2017
2.69%
**
498,687

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 5 3A1
3/16/2021
2.55%
**
1,168,584

STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4
1/14/2030
0.93%
**
620,190

STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A1
5/15/2022
0.9%
**
238,758

STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1
1/14/2030
2.39%
**
369,041

STRYKER CORP COMMON STOCK USD.1
 
 
**
4,585,009

SUFFOLK BANCORP COMMON STOCK USD2.5
 
 
**
31,950

SUMCO CORP COMMON STOCK
 
 
**
3,365,097

SUMITOMO CHEMICAL CO LTD COMMON STOCK
 
 
**
1,013,957

SUMITOMO HEAVY INDUSTRIES COMMON STOCK
 
 
**
578,544

SUMITOMO MITSUI FINANCIAL GR COMMON STOCK
 
 
**
869,165

SUMITOMO MITSUI TR BK LT COMPANY GUAR 144A 03/18 1.8
1/14/2030
1.8%
**
496,097

SUMITOMO REALTY + DEVELOPMEN COMMON STOCK
 
 
**
144,437

SUMMIT HOTEL PROPERTIES INC REIT
 
 
**
69,812

SUN HUNG KAI + CO LTD COMMON STOCK
 
 
**
311,917

SUN HUNG KAI PROPERTIES COMMON STOCK
 
 
**
266,124

SUNCOKE ENERGY INC COMMON STOCK USD.01
 
 
**
22,052

SUNCOR ENERGY INC COMMON STOCK
 
 
**
3,616,148

SUNCOR ENERGY INC SR UNSECURED 12/34 5.95
5/15/2022
5.95%
**
50,097

SUNDRUG CO LTD COMMON STOCK
 
 
**
968,602

SUNEDISON SEMICONDUCTOR LTD COMMON STOCK
 
 
**
1,317,637

SUNNY OPTICAL TECH COMMON STOCK HKD.1
 
 
**
6,611,851

SUNOCO LOGISTICS PARTNER COMPANY GUAR 02/22 4.65
5/15/2022
4.65%
**
46,475

SUNOCO LOGISTICS PARTNER COMPANY GUAR 04/21 4.4
5/15/2022
4.4%
**
61,051

SUNOCO LOGISTICS PARTNER COMPANY GUAR 04/24 4.25
5/15/2022
4.25%
**
151,354

SUNSTONE HOTEL INVESTORS INC REIT USD.01
 
 
**
1,888,213

SUNTRUST BANKS INC SR UNSECURED 01/17 3.5
5/15/2022
3.5%
**
25,432

SUNTRUST BANKS INC SR UNSECURED 11/18 2.35
5/15/2022
2.35%
**
68,356

SUPER MICRO COMPUTER INC COMMON STOCK USD.001
 
 
**
37,500

SUPERIOR ENERGY SERVICES INC COMMON STOCK USD.001
 
 
**
186,384

SUPERIOR UNIFORM GROUP INC COMMON STOCK
 
 
**
5,892

SUPERNUS PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
1,564,900

SUPPORT.COM INC COMMON STOCK USD.0001
 
 
**
5,486

SUPREME INDS INC CLASS A COMMON STOCK USD.1
 
 
**
10,528

SURGERY PARTNERS INC COMMON STOCK USD.01
 
 
**
1,450,692

SURGICAL CARE AFFILIATES INC COMMON STOCK USD.01
 
 
**
1,632,210

SURGUTNEFTEGAS SP ADR ADR
 
 
**
93,570

SURUGA BANK LTD COMMON STOCK
 
 
**
919,174

SUZUKEN CO LTD COMMON STOCK
 
 
**
948,107

SVENSKA CELLULOSA AB SCA B COMMON STOCK SEK3.33
 
 
**
2,265,036

SWAP BANK OF AMERICA COC SWAP CASH COLLATERAL USD
4/15/2017
 
**
150,000

SWAP BANK OF AMERICA COC SWAP CASH COLLATERAL USD
 
 
**
1,180,000

SWAP BARCLAYS BANK COC SWAP CASH COLLATERAL USD
3/16/2021
 
**
1,290,000

SWAP BNP PARIBAS COC SWAP CASH COLLATERAL USD
3/16/2021
 
**
810,000

SWAP CITIBANK COC SWAP CASH COLLATERAL USD
4/15/2017
 
**
120,000

SWAP CREDIT SUISSE BOC SWAP CASH COLLATERAL USD
 
 
**
2,584,746

SWAP CREDIT SUISSE COC SWAP CASH COLLATERAL USD
 
 
**
210,000


96
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SWAP DEUTSCHE BANK COC SWAP CASH COLLATERAL USD
3/16/2021
 
**
30,000

SWAP GOLDMAN SACHS COC SWAP CASH COLLATERAL USD
3/16/2021
 
**
270,000

SWAP HSBC COC SWAP CASH COLLATERAL USD
3/16/2021
 
**
910,000

SWEDBANK AB SR UNSECURED 144A 03/20 2.2
3/16/2021
2.2%
**
889,269

SWEDISH KRONA
3/16/2021
 
**
190,440

SWEDISH KRONA
 
 
**
78,878

SWEDISH MATCH AB COMMON STOCK SEK1.9
 
 
**
1,117,711

SWEDISH ORPHAN BIOVITRUM AB COMMON STOCK SEK.55
 
 
**
493,339

SWIRE PACIFIC LTD CL A COMMON STOCK HKD.6
 
 
**
107,317

SWISS FRANC
3/16/2021
 
**
200,631

SWISS FRANC
 
 
**
165,087

SWISS LIFE HOLDING AG REG COMMON STOCK CHF5.1
 
 
**
1,049,153

SWISS RE AG COMMON STOCK CHF.1
 
 
**
1,756,601

SWPC03GC8 CDS USD P V 03MEVENT 2 CCPCDX
3/16/2021
1%
**
(8,600,000
)
SWPC03GC8 CDS USD R F 1.00000 1 CCPCDX
3/16/2021
1%
**
8,678,670

SWPC08IH4 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(1,900,000
)
SWPC08IH4 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
1,904,343

SWPC08II2 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(5,100,000
)
SWPC08II2 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
5,111,658

SWPC08IN1 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(500,000
)
SWPC08IN1 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
501,143

SWPC08IO9 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(800,000
)
SWPC08IO9 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
801,829

SWPC08IY7 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(1,400,000
)
SWPC08IY7 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
1,403,200

SWPC08IZ4 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(900,000
)
SWPC08IZ4 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
902,057

SWPC08MX4 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(1,300,000
)
SWPC08MX4 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
1,302,972

SWPC09NM5 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(200,000
)
SWPC09NM5 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
200,335

SWPC09NN3 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(500,000
)
SWPC09NN3 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
500,775

SWPC09OH5 CDS USD P V 03MEVENT FLO SOVEREIGN
3/16/2021
1%
**
(400,000
)
SWPC09OH5 CDS USD R F .25000 FIX SOVEREIGN
3/16/2021
0.25%
**
400,670

SWPC09OW2 CDS USD P V 03MEVENT 2 CCPCDX
3/16/2021
1%
**
(3,564,000
)
SWPC09OW2 CDS USD R F 5.00000 1 CCPCDX
3/16/2021
5%
**
3,696,976

SWPC0B1G7 CDS USD P V 03MEVENT CCP ICE
3/16/2021
1%
**
(71,000,000
)
SWPC0B1G7 CDS USD R F 1.00000 CCP ICE
3/16/2021
1%
**
71,387,873

SWPC0B1K8 CDS EUR P V 03MEVENT 2 CCPITRAXX
3/16/2021
1%
**
(22,160,520
)
SWPC0B1K8 CDS EUR R F 1.00000 1 CCPITRAXX
3/16/2021
1%
**
22,407,233

SWPC0B1M4 CDS EUR P V 03MEVENT 2 CCPITRAXX
3/16/2021
1%
**
(31,719,961
)
SWPC0B1M4 CDS EUR R F 1.00000 1 CCPITRAXX
3/16/2021
1%
**
32,079,189

SWPC0B5C2 CDS USD P V 03MEVENT CCP ICE
4/15/2017
1%
**
(900,000
)
SWPC0B5C2 CDS USD P V 03MEVENT CCP ICE
3/16/2021
1%
**
(6,900,000
)
SWPC0B5C2 CDS USD R F 5.00000 CCP ICE
4/15/2017
5%
**
910,820

SWPC0B5C2 CDS USD R F 5.00000 CCP ICE
3/16/2021
5%
**
6,982,952


97
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SWPC0B7H9 CDS USD P V 03MEVENT FLO CORPORATE
1/14/2030
1%
**
(400,000
)
SWPC0B7H9 CDS USD R F 1.00000 FIX CORPORATE
1/14/2030
1%
**
402,890

SWPC0BBB7 CDS USD P V 03MEVENT FLO CORPORATE
1/14/2030
1%
**
(700,000
)
SWPC0BBB7 CDS USD R F 1.00000 FIX CORPORATE
1/14/2030
1%
**
706,048

SWPC0BCZ3 CDS EUR P F 1.00000 FIX ITRAXX
3/16/2021
1%
**
(869,040
)
SWPC0BCZ3 CDS EUR R V 03MEVENT FLO ITRAXX
3/16/2021
1%
**
892,232

SWPC0BDP4 CDS EUR P F 1.00000 FIX ITRAXX
3/16/2021
1%
**
(434,520
)
SWPC0BDP4 CDS EUR R V 03MEVENT FLO ITRAXX
3/16/2021
1%
**
446,116

SWPC784L3 CDS USD P V 00MEVENT
3/16/2021
1%
**
(300,000
)
SWPC784L3 CDS USD R F 1.00000
3/16/2021
1%
**
300,867

SWU00AJD7 IRS MXN P V 01MTIIE SWUV0AJD9 CCPVANILLA
1/14/2030
3.34%
**
(851,130
)
SWU00AJD7 IRS MXN R F 6.07450 SWU00AJD7 CCPVANILLA
1/14/2030
6.07%
**
864,855

SWU00B9P9 IRS GBP P V 06MLIBOR SWUV0B9P1 CCPVANILLA
4/15/2017
0.75%
**
(3,095,190
)
SWU00B9P9 IRS GBP R F 2.00000 SWU00B9P9 CCPVANILLA
4/15/2017
2%
**
3,146,201

SWU00BPW6 IRS JPY P V 06MLIBOR SWUV0BPW8 CCPVANILLA
3/16/2021
0.12%
**
(2,327,611
)
SWU00BPW6 IRS JPY R F 1.25000 SWU00BPW6 CCPVANILLA
3/16/2021
1.25%
**
2,445,131

SWU00D8E1 IRS MXN P V 01MTIIE SWUV0D8E3 CCPVANILLA
1/14/2030
3.55%
**
(1,812,271
)
SWU00D8E1 IRS MXN R F 5.53500 SWU00D8E1 CCPVANILLA
1/14/2030
5.54%
**
1,825,268

SWU00D991 IRS USD P V 03MLIBOR CCP CME
4/15/2017
0.52%
**
(1,500,000
)
SWU00D991 IRS USD R F 2.25000 CCP CME
4/15/2017
2.25%
**
1,527,943

SWU00DW12 IRS GBP P V 06MLIBOR SWUV0DW14 CCPVANILLA
3/16/2021
1%
**
(2,726,715
)
SWU00DW12 IRS GBP R F 2.25000 SWU00DW12 CCPVANILLA
3/16/2021
2.25%
**
2,780,924

SWU00DZI2 IRS JPY P V 06MLIBOR SWUV0DZI4 CCPVANILLA
3/16/2021
1%
**
(70,909,015
)
SWU00DZI2 IRS JPY R F .15000 SWU00DZI2 CCPVANILLA
3/16/2021
0.15%
**
70,968,107

SWU00E1Y2 IRS EUR P V 06MEURIB SWUV0E1Y4 CCPVANILLA
3/16/2021
1%
**
(108,630
)
SWU00E1Y2 IRS EUR R F .15000 SWU00E1Y2 CCPVANILLA
3/16/2021
0.15%
**
108,990

SWU00EA97 IRS JPY P V 06MLIBOR SWUV0EA99 CCPVANILLA
3/16/2021
0.12%
**
(83,129
)
SWU00EA97 IRS JPY R F 1.00000 SWU00EA97 CCPVANILLA
3/16/2021
1%
**
87,891

SWU00EGN0 IRS JPY P V 06MLIBOR SWUV0EGN2 CCPVANILLA
3/16/2021
0.12%
**
(4,405,836
)
SWU00EGN0 IRS JPY R F 1.50000 SWU00EGN0 CCPVANILLA
3/16/2021
1.5%
**
4,739,666

SWU00EIL2 IRS MXN P V 01MTIIE SWUV0EIL4 CCPVANILLA
3/16/2021
3.53%
**
(3,392,941
)
SWU00EIL2 IRS MXN R F 4.34000 SWU00EIL2 CCPVANILLA
3/16/2021
4.34%
**
3,395,328

SWU00EYW0 IRS USD P V 03MLIBOR SWUV0EYW2 CCPVANILLA
3/16/2021
0.33%
**
(400,000
)
SWU00EYW0 IRS USD R F 2.75000 SWU00EYW0 CCPVANILLA
3/16/2021
2.75%
**
407,669

SWU00FGB3 IRS USD P V 03MLIBOR SWUV0FGB5 CCPVANILLA
4/15/2017
1%
**
(300,000
)
SWU00FGB3 IRS USD R F 2.75000 SWU00FGB3 CCPVANILLA
4/15/2017
2.75%
**
300,027

SWU00FN33 IRS BRL P F 16.15000 FIX NDFPREDISWAP
3/16/2021
16.15%
**
(7,608,215
)
SWU00FN33 IRS BRL R V 00MBRCDI FLO NDFPREDISWAP
3/16/2021
1%
**
7,663,679

SWU019E28 IRS GBP P V 12MUKRPI FLO INFLATIONZERO
4/15/2017
1%
**
(147,390
)
SWU019E28 IRS GBP R F 3.35750 FIX INFLATIONZERO
4/15/2017
3.36%
**
148,460

SWU026YO3 TRS USD P F .00000 COM FWD CUAC 1Q16
4/15/2017
 
**
(156,000
)
SWU026YO3 TRS USD R F .00000 MATURITY DATE 3/31/2016
4/15/2017
 
**
180,439

SWU026ZS3 TRS USD P F .00000 VARS GOLDLNPM
4/15/2017
 
**
(535,714
)
SWU026ZS3 TRS USD R F .00000
4/15/2017
 
**
544,520

SWU028W29 IRS GBP P V 12MUKRPI FLO INFLATIONZERO
4/15/2017
1%
**
(442,170
)
SWU028W29 IRS GBP R F 3.35000 FIX INFLATIONZERO
4/15/2017
3.35%
**
455,509

SWU028W60 IRS GBP P V 12MUKRPI FLO INFLATIONZERO
4/15/2017
1%
**
(589,560
)

98
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SWU028W60 IRS GBP R F 3.32000 FIX INFLATIONZERO
4/15/2017
3.32%
**
604,151

SWU028X93 IRS GBP P V 12MUKRPI FLO INFLATIONZERO
4/15/2017
1%
**
(1,031,730
)
SWU028X93 IRS GBP R F 3.35000 FIX INFLATIONZERO
4/15/2017
3.35%
**
1,062,854

SWU0291X3 TRS USD P V 03MTBILL TBILDI3M + 14
4/15/2017
0.42%
**
(16,206,373
)
SWU0291X3 TRS USD R E COMM SWAP TBL-BCOMF1T
4/15/2017
 
**
16,414,915

SWU0291Z8 TRS USD P V 03MTBILL TBILDI3M + 14
4/15/2017
0.29%
**
(5,674,187
)
SWU0291Z8 TRS USD R E COMM SWAP TBL-BCOMF1T
4/15/2017
 
**
5,747,202

SWU029238 TRS USD P V 03MTBILL TBILDI3M + 15
4/15/2017
0.43%
**
(4,583,106
)
SWU029238 TRS USD R E COMM SWAP TBL-BCOMF1T
4/15/2017
 
**
4,642,081

SWU0292Z7 TRS USD P V 03MTBILL TBILDI3M + 14
4/15/2017
0.42%
**
(12,135,357
)
SWU0292Z7 TRS USD R E COMM SWAP TBL-BCOMTR
4/15/2017
 
**
12,290,194

SWU029378 TRS USD P V 03MTBILL TBILDI3M + 13
4/15/2017
0.41%
**
(11,507,975
)
SWU029378 TRS USD R E COMM SWAP TBL-BCOMTR
4/15/2017
 
**
11,654,807

SWU029386 TRS USD P V 03MTBILL TBILDI3M + 13
4/15/2017
0.41%
**
(15,990,493
)
SWU029386 TRS USD R E COMM SWAP TBL-BCOMTR
4/15/2017
 
**
16,194,518

SWU029477 TRS USD P V 03MTBILL TBILDI3M + 12
4/15/2017
0.40%
**
(24,436,125
)
SWU029477 TRS USD R E COMM SWAP TBL-BCOMTR2
4/15/2017
 
**
24,722,718

SWU0295S0 TRS USD P F .35000
4/15/2017
0.35%
**
(5,720,753
)
SWU0295S0 TRS USD R E COMM SWAP JMABFNJ1
4/15/2017
 
**
5,764,551

SWU029642 TRS CHF P E VOLS USDCHF .1045
3/16/2021
 
**
(498
)
SWU029642 TRS CHF R E
3/16/2021
 
**
5,994

SWU029659 TRS CHF P E VOLS EURCHF .0845
3/16/2021
 
**
(5,994
)
SWU029659 TRS CHF R E
3/16/2021
 
**
10,668

SWU0296X8 TRS USD P F .17000 CVICPRD2 + 17
4/15/2017
0.17%
**
(4,203,640
)
SWU0296X8 TRS USD R E
4/15/2017
 
**
4,241,365

SWU0296Y6 TRS USD P F .17000 CVICPRD3 + 17
4/15/2017
0.17%
**
(4,206,224
)
SWU0296Y6 TRS USD R E
4/15/2017
 
**
4,239,335

SWU035H13 IRS GBP P V 12MUKRPI FLO INFLATIONZERO
4/15/2017
1.00%
**
(1,768,680
)
SWU035H13 IRS GBP R F 3.40000 FIX INFLATIONZERO
4/15/2017
3.40%
**
1,830,325

SWU050AN1 TRS USD P V 03MTBILL TBILDIM + 12
4/15/2017
0.40%
**
(8,513,550
)
SWU050AN1 TRS USD R E CVICBCPT
4/15/2017
 
**
8,618,793

SWU09HH94 IRS GBP P V 12MUKRPI INF INFLATIONZERO
4/15/2017
1.00%
**
(147,390
)
SWU09HH94 IRS GBP R F 3.27500 FIX INFLATIONZERO
4/15/2017
3.28%
**
148,560

SWU09OBH7 IRS GBP P V 00MUKRPI UKRPI
4/15/2017
1.00%
**
(692,733
)
SWU09OBH7 IRS GBP R F 3.55000
4/15/2017
3.55%
**
748,726

SWU09OBP9 IRS GBP P V 00MRPI UKRPI
1/14/2030
1.00%
**
(147,390
)
SWU09OBP9 IRS GBP R F 3.53000
1/14/2030
3.53%
**
157,753

SWU09PX80 IRS EUR P F .29000 FIX INFLATIONZERO
4/15/2017
0.29%
**
(1,846,710
)
SWU09PX80 IRS EUR R V 12MCPTFE INF INFLATIONZERO
4/15/2017
1.00%
**
1,851,165

SWU09RT08 IRS GBP P V 00MUKRPI UKRPI
4/15/2017
1.00%
**
(1,414,944
)
SWU09RT08 IRS GBP P V 00MUKRPI UKRPI
1/14/2030
1.00%
**
(1,739,202
)
SWU09RT08 IRS GBP R F 3.14000 INFLATIONZERO
4/15/2017
3.14%
**
1,424,134

SWU09RT08 IRS GBP R F 3.14000 INFLATIONZERO
1/14/2030
3.14%
**
1,750,498

SWU0AH041 TRS USD P F .00000 VARS GOLDLNPM
4/15/2017
 
**
(909,091
)
SWU0AH041 TRS USD R F .00000
4/15/2017
 
**
950,056

SWU0AM354 TRS USD P E COM FWD EURTOP Z5 3.40
4/15/2017
 
**
(2,600
)

99
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SWU0AM354 TRS USD R E
4/15/2017
 
**
6,806

SWU0AM719 TRS USD P E COM FWD EURMARG 2Q3Q16
4/15/2017
 
**
(18,000
)
SWU0AM719 TRS USD R E
4/15/2017
 
**
23,760

SWU0AN006 TRS USD P F .00000 VARS GOLDLNPM 0.09
4/15/2017
 
**
(666,667
)
SWU0AN006 TRS USD R F .00000
4/15/2017
 
**
683,502

SWU0AN147 TRS USD P E COM FWD EUROBOBCO 2Q3Q16
4/15/2017
 
**
(6,000
)
SWU0AN147 TRS USD R E
4/15/2017
 
**
44,504

SWU0AN345 TRS USD P E COM FWD EURMARG CAL 16
4/15/2017
 
**
(48,000
)
SWU0AN345 TRS USD R E
4/15/2017
 
**
52,470

SWU0AN360 TRS CHF P E VOLS EURCHF .088
3/16/2021
 
**
(3,996
)
SWU0AN360 TRS CHF R E
3/16/2021
 
**
8,360

SWU0AN444 TRS USD P E COM FWD EURTOP 4Q15
4/15/2017
 
**
(1,000
)
SWU0AN444 TRS USD R E
4/15/2017
 
**
2,088

SWU0BB134 TRS CHF P E VOLS EURCHF .087
3/16/2021
 
**
(4,995
)
SWU0BB134 TRS CHF R E
3/16/2021
 
**
9,886

SWU0BB258 TRS USD P E COM FWD GOLDLNPM 1103
4/15/2017
 
**
(700
)
SWU0BB258 TRS USD R E
4/15/2017
 
**
29,129

SWU0BB282 TRS USD P F .00000 COM FWD CUAC 1Q16
4/15/2017
 
**
(84,000
)
SWU0BB282 TRS USD R F .00000
4/15/2017
 
**
90,240

SWU0BN617 TRS USD P F .00000 VARS GOLDLNPM
4/15/2017
 
**
(1,075,269
)
SWU0BN617 TRS USD R F .00000
4/15/2017
 
**
1,092,804

SWU0BN724 TRS USD P F .00000 VARS GOLDLNPM
4/15/2017
 
**
(535,714
)
SWU0BN724 TRS USD R F .00000
4/15/2017
 
**
544,587

SWU0BN765 TRS USD P F .00000 COM FWD CUAC 1Q16
4/15/2017
 
**
(156,000
)
SWU0BN765 TRS USD R F .00000
4/15/2017
 
**
178,881

SWU0BN799 TRS USD P E COM FWD DTDBRTCO
4/15/2017
 
**
(2,480
)
SWU0BN799 TRS USD R E
4/15/2017
 
**
3,000

SWU0BN856 TRS USD P F .00000 VARS GOLDLNPM
4/15/2017
 
**
(533,808
)
SWU0BN856 TRS USD R F .00000
4/15/2017
 
**
542,856

SWU0CC040 TRS USD P E COM FWD EURTOP Z5 3.02
4/15/2017
 
**
(2,000
)
SWU0CC040 TRS USD R E
4/15/2017
 
**
4,475

SWU0CC057 TRS USD P E COM FWD EURTOP Z5 3.05
4/15/2017
 
**
(2,000
)
SWU0CC057 TRS USD R E
4/15/2017
 
**
4,535

SWU0CC065 TRS USD P E COM FWD EURTOP Z5 3.25
4/15/2017
 
**
(1,300
)
SWU0CC065 TRS USD R E
4/15/2017
 
**
3,208

SWU0CC453 TRS CHF P E VOLS USDCHF .108 12
3/16/2021
 
**
(1,266
)
SWU0CC453 TRS CHF R E
3/16/2021
 
**
2,997

SWU0CF217 TRS USD P E COM FWD NAPCO 1Q16
4/15/2017
 
**
(600
)
SWU0CF217 TRS USD R E
4/15/2017
 
**
7,327

SWU0CG108 TRS USD P F .00000 COM FWD CUAC 1Q16
4/15/2017
1.00%
**
(54,000
)
SWU0CG108 TRS USD R F .00000
4/15/2017
1.00%
**
57,742

SWU0CG207 TRS USD P F .00000 COM FWD CUAC 1Q16
4/15/2017
 
**
(45,000
)
SWU0CG207 TRS USD R F .00000
4/15/2017
 
**
47,107

SWU0CG751 IRS USD P F .41500 FIX INFLATIONZERO
1/14/2030
0.42%
**
(1,100,000
)
SWU0CG751 IRS USD R V 12MUSCPI INF INFLATIONZERO
1/14/2030
1.00%
**
1,103,032

SWU0CG934 TRS USD P E COM FWD EURMARG 2Q3Q16
4/15/2017
 
**
(36,000
)
SWU0CG934 TRS USD R E
4/15/2017
 
**
48,399


100
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SWU0CG942 TRS USD P F .00000 COM FWD CUAC 4Q16
4/15/2017
 
**
(126,000
)
SWU0CG942 TRS USD R F .00000 MATURITY DATE 2016/12/30
4/15/2017
 
**
126,000

SWU0CISB1 TRS USD P V 03MTBILL TBILDI3M + 12
4/15/2017
0.40%
**
(393,006
)
SWU0CISB1 TRS USD R E
4/15/2017
 
**
398,035

SWU0GG054 TRS USD P F .00000 VARS GOLDLNPM 0.1089
4/15/2017
 
**
(757,576
)
SWU0GG054 TRS USD R F .00000
4/15/2017
 
**
791,714

SWU0GG435 TRS USD P E COM FWD EUROBOBCO 2Q3Q16
4/15/2017
 
**
(6,000
)
SWU0GG435 TRS USD R E
4/15/2017
 
**
44,205

SWU0KB035 TRS USD P F .00000 VARS GOLDLNPM 0.111556
4/15/2017
 
**
(748,503
)
SWU0KB035 TRS USD R F .00000
4/15/2017
 
**
783,955

SWU0KB142 TRS USD P E COM FWD EUROBOBCO 2Q3Q16
4/15/2017
 
**
(6,000
)
SWU0KB142 TRS USD R E
4/15/2017
 
**
43,907

SWU0KB472 TRS USD P E COM FWD GOLDLNPM
4/15/2017
 
**
(600
)
SWU0KB472 TRS USD R E
4/15/2017
 
**
57,340

SWU0NN549 TRS USD P E COM FWD EURMARG 1Q16
4/15/2017
 
**
(5,043
)
SWU0NN549 TRS USD R E
4/15/2017
 
**
8,700

SWU0NN614 TRS USD P F .00000 VARS COJ6 0.24255625
4/15/2017
 
**
(101,523
)
SWU0NN614 TRS USD R F .00000
4/15/2017
 
**
105,007

SWU0RSAW6 TRS USD P E USCRLLSS
4/15/2017
 
**
(3,000
)
SWU0RSAW6 TRS USD R E MATURITY DATE 12/31/2015
4/15/2017
 
**
28,680

SWU0RWPI2 TRS USD P F .00000 COM FWD CUAC 1Q16
4/15/2017
 
**
(93,000
)
SWU0RWPI2 TRS USD R F .00000
4/15/2017
 
**
109,659

SWU0RWPP6 TRS USD P F .00000 VARS GOLDLNPM
4/15/2017
 
**
(338,983
)
SWU0RWPP6 TRS USD R F .00000
4/15/2017
 
**
347,277

SWU0RWRR0 TRS CHF P E VOLS EURCHF .0865
3/16/2021
 
**
(5,994
)
SWU0RWRR0 TRS CHF R E
3/16/2021
 
**
11,859

SWU0RWRT6 TRS CHF P E VOLS EURCHF .0835
3/16/2021
 
**
(11,988
)
SWU0RWRT6 TRS CHF R E
3/16/2021
 
**
20,092

SWU0RWRU3 TRS CHF P E VOLS USDCHF .1055
3/16/2021
 
**
(2,472
)
SWU0RWRU3 TRS CHF R E
3/16/2021
 
**
11,988

SWU0VOL08 TRS CHF P E VOLS USDCHF .109
3/16/2021
 
**
(4,429
)
SWU0VOL08 TRS CHF R E
3/16/2021
 
**
4,995

SWU0VOL73 TRS CHF P E VOLS EURCHF .09 08-16-2016
3/16/2021
 
**
(5,994
)
SWU0VOL73 TRS CHF R E
3/16/2021
 
**
13,876

SWU0VS044 TRS USD P F .00000 VARS GOLDLNPM
4/15/2017
 
**
(511,945
)
SWU0VS044 TRS USD R F .00000
4/15/2017
 
**
523,905

SYKES ENTERPRISES INC COMMON STOCK USD.01
 
 
**
129,338

SYMETRA FINANCIAL CORP COMMON STOCK USD.01
 
 
**
367,960

SYMMETRY SURGICAL INC COMMON STOCK
 
 
**
8,722

SYMRISE AG SR UNSECURED 10/17 4.125
3/16/2021
4.13%
**
1,146,856

SYNALLOY CORP COMMON STOCK USD1.
 
 
**
6,343

SYNAPTICS INC COMMON STOCK USD.001
 
 
**
2,497,610

SYNERGY RESOURCES CORP COMMON STOCK USD.001
 
 
**
69,770

SYNNEX CORP COMMON STOCK USD.001
 
 
**
341,015

SYNOVUS FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
334,583

SYNTHOMER PLC COMMON STOCK GBP.1
 
 
**
684,518

SYSMEX CORP COMMON STOCK
 
 
**
859,188


101
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SYSTEMAX INC COMMON STOCK USD.01
 
 
**
32,611

T+D HOLDINGS INC COMMON STOCK
 
 
**
152,480

T4F ENTRETENIMENTO SA COMMON STOCK
 
 
**
143,838

TABLEAU SOFTWARE INC CL A COMMON STOCK USD.0001
 
 
**
12,501,486

TAHOE RESOURCES INC COMMON STOCK
 
 
**
233,523

TAILORED BRANDS INC COMMON STOCK USD.01
 
 
**
72,725

TAIWAN FERTILIZER CO LTD COMMON STOCK TWD10.
 
 
**
17,038

TAIWAN SEMICONDUCTOR MANUFAC COMMON STOCK TWD10.
 
 
**
5,500,953

TAIWAN SEMICONDUCTOR SP ADR
 
 
**
8,104,637

TAKARA LEBEN CO LTD COMMON STOCK
 
 
**
724,356

TAKE TWO INTERACTIVE SOFTWRE COMMON STOCK USD.01
 
 
**
13,936

TAL INTERNATIONAL GROUP INC COMMON STOCK USD.001
 
 
**
53,774

TANGER FACTORY OUTLET CENTER REIT USD.01
 
 
**
77,074

TARGET CORP COMMON STOCK USD.0833
 
 
**
7,617,878

TARGET CORP SR UNSECURED 05/17 5.375
11/18/2016
5.38%
**
3,006,234

TARGET CORP SR UNSECURED 06/19 2.3
5/15/2022
2.30%
**
80,927

TATA CONSULTANCY SVCS LTD COMMON STOCK INR1.
 
 
**
1,600,872

TATA MOTORS LTD SPON ADR ADR USD.1
 
 
**
248,521

TAUBMAN CENTERS INC REIT USD.01
 
 
**
23,553

TAV HAVALIMANLARI HOLDING AS COMMON STOCK TRY1.
 
 
**
96,651

TAYLOR MORRISON HOME CORP A COMMON STOCK USD.00001
 
 
**
1,728,000

TAYLOR WIMPEY PLC COMMON STOCK GBP.01
 
 
**
1,673,023

TCF AUTO RECEIVABLES OWNER TRU TCFAT 2015 2A A2 144A
5/15/2022
1.64%
**
546,231

TCF FINANCIAL CORP COMMON STOCK USD.01
 
 
**
178,110

TDK CORP COMMON STOCK
 
 
**
4,326,531

TEAM HEALTH HOLDINGS INC COMMON STOCK USD.01
 
 
**
3,460,288

TEAM INC COMMON STOCK USD.3
 
 
**
65,518

TECAN GROUP AG REG COMMON STOCK CHF.1
 
 
**
1,015,806

TECH DATA CORP COMMON STOCK USD.0015
 
 
**
2,736,316

TECHTRONIC INDUSTRIES CO LTD COMMON STOCK
 
 
**
1,957,123

TECK RESOURCES LIMITED COMPANY GUAR 01/22 4.75
5/15/2022
4.75%
**
78,570

TECO FINANCE INC COMPANY GUAR 03/20 5.15
5/15/2022
5.15%
**
161,066

TEEKAY CORP COMMON STOCK USD.001
 
 
**
2,764

TEEKAY TANKERS LTD CLASS A COMMON STOCK USD.01
 
 
**
50,066

TEGMA GESTAO LOGISTICA COMMON STOCK
 
 
**
32,195

TEGNA INC COMMON STOCK USD1.0
 
 
**
265,973

TEIJIN LTD COMMON STOCK
 
 
**
738,268

TELECOMMUNICATION SYSTEMS A COMMON STOCK USD.01
 
 
**
24,452

TELEFONICA EMISIONES SAU COMPANY GUAR 02/16 3.992
11/18/2016
3.99%
**
2,460,054

TELEFONICA EMISIONES SAU COMPANY GUAR 02/16 3.992
4/15/2017
3.99%
**
774,124

TELEFONICA EMISIONES SAU COMPANY GUAR 02/21 5.462
5/15/2022
5.46%
**
189,994

TELEFONICA EMISIONES SAU COMPANY GUAR 04/20 5.134
5/15/2022
5.13%
**
61,144

TELEKOMUNIKASI INDONESIA PER COMMON STOCK IDR50.
 
 
**
125,214

TELENAV INC COMMON STOCK USD.001
 
 
**
12,518

TELEPERFORMANCE COMMON STOCK EUR2.5
 
 
**
68,108

TELEPHONE AND DATA SYSTEMS COMMON STOCK USD.01
 
 
**
260,065

TELETECH HOLDINGS INC COMMON STOCK USD.01
 
 
**
131,596


102
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

TELIGENT INC COMMON STOCK USD.01
 
 
**
1,104,419

TELKOM SA SOC LTD COMMON STOCK ZAR10.
 
 
**
375,726

TELSTRA CORP LTD COMMON STOCK
 
 
**
260,677

TELSTRA CORP LTD COMPANY GUAR 144A 04/25 3.125
3/16/2021
3.13%
**
95,972

TEMPUR SEALY INTERNATIONAL I COMMON STOCK USD.01
 
 
**
1,831,960

TENAGA NASIONAL BHD COMMON STOCK MYR1.
 
 
**
153,567

TENCENT HOLDINGS LTD COMMON STOCK HKD.00002
 
 
**
26,246,238

TENCENT HOLDINGS LTD SR UNSECURED 144A 05/19 3.375
3/16/2021
3.38%
**
1,016,847

TENN VALLEY AUTHORITY SR UNSECURED 01/48 4.875
5/15/2022
4.88%
**
232,245

TENN VALLEY AUTHORITY SR UNSECURED 09/65 4.25
5/15/2022
4.25%
**
75,226

TEREX CORP COMMON STOCK USD.01
 
 
**
130,691

TERRENO REALTY CORP REIT USD.01
 
 
**
53,315

TERRITORIAL BANCORP INC COMMON STOCK USD.01
 
 
**
28,434

TERUMO CORP COMMON STOCK
 
 
**
4,707,128

TESCO CORP COMMON STOCK
 
 
**
19,295

TESCO CORP TREASURY SERV COMPANY GUAR REGS 07/19 1.375
3/16/2021
1.38%
**
1,460,313

TESCO PLC SR UNSECURED 04/47 5.125
3/16/2021
5.13%
**
181,752

TESLA MOTORS INC COMMON STOCK USD.001
 
 
**
11,994,500

TESSCO TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
15,965

TETRA TECH INC COMMON STOCK USD.01
 
 
**
168,011

TETRA TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
1,534,042

TEVA PHARM FIN IV BV COMPANY GUAR 11/21 3.65
5/15/2022
3.65%
**
37,522

TEVA PHARMACEUTICAL SP ADR ADR
 
 
**
10,578,542

TEXAS CAPITAL BANCSHARES INC COMMON STOCK USD.01
 
 
**
103,436

TEXAS INSTRUMENTS INC COMMON STOCK USD1.
 
 
**
12,465,164

TEXAS INSTRUMENTS INC SR UNSECURED 03/21 2.75
5/15/2022
2.75%
**
100,653

TEXAS ROADHOUSE INC COMMON STOCK USD.001
 
 
**
1,108,655

TEXTAINER GROUP HOLDINGS LTD COMMON STOCK USD.01
 
 
**
76,646

THAI UNION GROUP PCL NVDR NVDR THB.25
 
 
**
354,324

THAILAND BAHT
 
 
**
180,533

THALES SA COMMON STOCK EUR3.
 
 
**
861,952

THE FOSCHINI GROUP LTD COMMON STOCK ZAR.0125
 
 
**
218,222

THERMO FISHER SCIENTIFIC INC COMMON STOCK USD1.
 
 
**
13,441,422

THERMON GROUP HOLDINGS INC COMMON STOCK USD.001
 
 
**
53,755

THK CO LTD COMMON STOCK
 
 
**
583,763

THOMSON REUTERS CORP COMMON STOCK
 
 
**
105,982

THOMSON REUTERS CORP SR UNSECURED 05/16 0.875
11/18/2016
0.88%
**
2,344,143

THOMSON REUTERS CORP SR UNSECURED 09/21 3.95
5/15/2022
3.95%
**
108,419

THOR INDUSTRIES INC COMMON STOCK USD.1
 
 
**
82,316

TIDEWATER INC COMMON STOCK USD.1
 
 
**
22,829

TIFFANY + CO COMMON STOCK USD.01
 
 
**
4,001,334

TILE SHOP HLDGS INC COMMON STOCK USD.0001
 
 
**
925,190

TIMAH PERSERO TBK PT COMMON STOCK IDR50.
 
 
**
41,237

TIMBERLAND BANCORP INC COMMON STOCK USD.01
 
 
**
12,720

TIME INC COMMON STOCK USD.01
 
 
**
258,132

TIME WARNER CABLE INC COMPANY GUAR 02/21 4.125
5/15/2022
4.13%
**
280,796

TIME WARNER INC COMMON STOCK USD.01
 
 
**
7,932,099


103
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

TIME WARNER INC COMPANY GUAR 03/21 4.75
5/15/2022
4.75%
**
75,242

TIMKENSTEEL CORP COMMON STOCK
 
 
**
36,931

TITAN INTERNATIONAL INC COMMON STOCK
 
 
**
14,133

TITAN MACHINERY INC COMMON STOCK USD.00001
 
 
**
21,281

TJX COMPANIES INC COMMON STOCK USD1.
 
 
**
5,310,379

TK CORPORATION COMMON STOCK KRW500.
 
 
**
76,472

TOFAS TURK OTOMOBIL FABRIKA COMMON STOCK TRY1.
 
 
**
228,872

TOKIO MARINE HOLDINGS INC COMMON STOCK
 
 
**
489,630

TOKYO ELECTRIC POWER COMPANY COMMON STOCK
 
 
**
1,112,752

TOKYO OHKA KOGYO CO LTD COMMON STOCK
 
 
**
391,978

TOKYO TATEMONO CO LTD COMMON STOCK
 
 
**
185,866

TOKYU FUDOSAN HOLDINGS CORP COMMON STOCK
 
 
**
42,441

TOMPKINS FINANCIAL CORP COMMON STOCK USD.1
 
 
**
80,590

TOOTSIE ROLL INDS COMMON STOCK USD.694
 
 
**
120,042

TORO CO COMMON STOCK USD1.
 
 
**
2,435,788

TORONTO DOMINION BANK COMMON STOCK
 
 
**
61,382

TORONTO DOMINION BANK SR UNSECURED 03/18 1.625
5/15/2022
1.63%
**
39,890

TORONTO DOMINION BANK SR UNSECURED 07/18 VAR
11/18/2016
0.86%
**
2,181,352

TORONTO DOMINION BANK SR UNSECURED 11/19 2.25
5/15/2022
2.25%
**
129,922

TORONTO-DOMINION
11/18/2016
1.00%
**
12,000,895

TORRENT PHARMACEUTICALS LTD COMMON STOCK INR5.
 
 
**
365,288

TOTAL CAPITAL CANADA LTD COMPANY GUAR 07/23 2.75
5/15/2022
2.75%
**
153,529

TOTAL CAPITAL INTL SA COMPANY GUAR 01/24 3.7
5/15/2022
3.70%
**
25,339

TOTAL CAPITAL INTL SA COMPANY GUAR 06/17 1.55
5/15/2022
1.55%
**
26,066

TOTAL CAPITAL SA COMPANY GUAR 08/18 2.125
5/15/2022
2.13%
**
50,145

TOTAL ENERGY SERVICES INC COMMON STOCK
 
 
**
169,854

TOTAL SYSTEM SERVICES INC COMMON STOCK USD.1
 
 
**
4,438,923

TOUNG LOONG TEXTILE MANUF CO COMMON STOCK TWD10.
 
 
**
253,174

TOWER BERSAMA INFRASTRUCTURE COMMON STOCK IDR100.
 
 
**
385,956

TOWER SEMICONDUCTOR LTD COMMON STOCK ILS1.
 
 
**
741,904

TOWNE BANK COMMON STOCK USD1.667
 
 
**
74,861

TOYOTA AUTO RECEIVABLES OWNER TAOT 2013 A A3
5/15/2022
0.55%
**
30,399

TOYOTA AUTO RECEIVABLES OWNER TAOT 2014 A A3
11/18/2016
0.67%
**
703,833

TOYOTA MOTOR CORP COMMON STOCK
 
 
**
802,986

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/18 1.45
5/15/2022
1.45%
**
169,677

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/19 2.1
5/15/2022
2.10%
**
220,462

TOYOTA MOTOR CREDIT CORP SR UNSECURED 09/16 2
11/18/2016
2.00%
**
6,120,054

TRAFIGURA SECURITISATION FINAN TRFIG 2014 1A A 144A
5/15/2022
1.15%
**
502,925

TRANS CANADA PIPELINES SR UNSECURED 08/18 6.5
5/15/2022
6.50%
**
256,386

TRANS CANADA PIPELINES SR UNSECURED 08/38 7.25
5/15/2022
7.25%
**
77,190

TRANSFORCE INC COMMON STOCK
 
 
**
345,031

TRANSOCEAN INC COMPANY GUAR 11/20 6.5
5/15/2022
6.50%
**
39,330

TRANSOCEAN INC COMPANY GUAR 12/21 7.125
5/15/2022
6.38%
**
27,789

TRANSOCEAN LTD COMMON STOCK CHF.1
 
 
**
126,893

TRANSUNION COMMON STOCK USD.01
 
 
**
3,432,465

TRAVELERS COS INC/THE COMMON STOCK
 
 
**
10,874,738

TRAVIS PERKINS PLC COMMON STOCK GBP.1
 
 
**
1,295,342


104
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

TRC COS INC COMMON STOCK USD.1
 
 
**
27,491

TREASURY BILL 03/16 0.00000
 
0.01%
**
5,899,558

TREASURY WINE ESTATES LTD COMMON STOCK
 
 
**
359,391

TRECORA RESOURCES COMMON STOCK USD.1
 
 
**
29,203

TREDEGAR CORP COMMON STOCK
 
 
**
40,479

TREEHOUSE FOODS INC COMMON STOCK USD.01
 
 
**
1,515,063

TREX COMPANY INC COMMON STOCK USD.01
 
 
**
903,830

TRI POINTE GROUP INC COMMON STOCK USD.01
 
 
**
98,978

TRIANGLE PETROLEUM CORP COMMON STOCK USD.00001
 
 
**
4,420

TRICAN WELL SERVICE LTD COMMON STOCK
 
 
**
13,407

TRILOGY ENERGY CORP COMMON STOCK
 
 
**
31,354

TRIMAS CORP COMMON STOCK USD.01
 
 
**
70,721

TRINET GROUP INC COMMON STOCK USD.000025
 
 
**
967,500

TRINITY INDUSTRIES INC COMMON STOCK USD.01
 
 
**
315,142

TRIPADVISOR INC COMMON STOCK USD.001
 
 
**
22,189,723

TRIPLE S MANAGEMENT CORP B COMMON STOCK USD1.
 
 
**
61,257

TRISTATE CAPITAL HLDGS INC COMMON STOCK
 
 
**
27,239

TRIUMPH GROUP INC COMMON STOCK USD.001
 
 
**
203,719

TRONOX LTD CL A COMMON STOCK USD.01
 
 
**
24,848

TRUEBLUE INC COMMON STOCK
 
 
**
105,616

TRUSTCO BANK CORP NY COMMON STOCK USD1.
 
 
**
57,268

TRUSTMARK CORP COMMON STOCK
 
 
**
155,866

TRUWORTHS INTERNATIONAL LTD COMMON STOCK ZAR.00015
 
 
**
111,371

TSUTSUMI JEWELRY CO LTD COMMON STOCK
 
 
**
66,503

TSY 0 1/8 2024 I/L GILT BONDS REGS 03/24 0.125
3/16/2021
0.13%
**
5,854,837

TSY 0 1/8 2046 I/L GILT SR UNSECURED REGS 03/46 0.125
4/15/2017
0.13%
**
93,286

TSY INFL IX N/B 01/16 2
4/15/2017
2.00%
**
359,443

TSY INFL IX N/B 01/17 2.375
4/15/2017
2.38%
**
604,261

TSY INFL IX N/B 01/22 0.125
1/14/2030
0.13%
**
2,036,631

TSY INFL IX N/B 01/23 0.125
4/15/2017
0.13%
**
296,384

TSY INFL IX N/B 01/24 0.625
4/15/2017
0.63%
**
705,439

TSY INFL IX N/B 01/25 0.25
4/15/2017
0.25%
**
95,847

TSY INFL IX N/B 01/25 0.25
3/16/2021
0.25%
**
15,239,298

TSY INFL IX N/B 01/25 0.25
1/14/2030
0.25%
**
(418
)
TSY INFL IX N/B 01/25 2.375
4/15/2017
2.38%
**
1,463,142

TSY INFL IX N/B 01/25 2.375
3/16/2021
2.38%
**
1,635,277

TSY INFL IX N/B 01/25 2.375
1/14/2030
2.38%
**
430,336

TSY INFL IX N/B 01/26 2
4/15/2017
2.00%
**
772,191

TSY INFL IX N/B 01/27 2.375
4/15/2017
2.38%
**
259,048

TSY INFL IX N/B 01/27 2.375
1/14/2030
2.38%
**
(720
)
TSY INFL IX N/B 01/28 1.75
1/14/2030
1.75%
**
4,961,001

TSY INFL IX N/B 01/29 2.5
4/15/2017
2.50%
**
1,587,950

TSY INFL IX N/B 01/29 2.5
3/16/2021
2.50%
**
3,937,067

TSY INFL IX N/B 01/29 2.5
1/14/2030
2.50%
**
6,299,307

TSY INFL IX N/B 02/42 0.75
4/15/2017
0.75%
**
369,883

TSY INFL IX N/B 02/44 1.375
4/15/2017
1.38%
**
1,298,239

TSY INFL IX N/B 02/45 0.75
4/15/2017
0.75%
**
1,215,570


105
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

TSY INFL IX N/B 02/45 0.75
1/14/2030
0.75%
**
1,145,102

TSY INFL IX N/B 04/16 0.125
4/15/2017
0.13%
**
12,021,242

TSY INFL IX N/B 04/17 0.125
4/15/2017
0.13%
**
11,077,785

TSY INFL IX N/B 04/18 0.125
4/15/2017
0.13%
**
205,383

TSY INFL IX N/B 04/19 0.125
4/15/2017
0.13%
**
3,128,116

TSY INFL IX N/B 04/20 0.125
4/15/2017
0.13%
**
601,610

TSY INFL IX N/B 04/20 0.125
1/14/2030
0.13%
**
(887
)
TSY INFL IX N/B 07/16 2.5
4/15/2017
2.50%
**
1,148,822

TSY INFL IX N/B 07/22 0.125
4/15/2017
0.13%
**
300,848

TSY INFL IX N/B 07/22 0.125
3/16/2021
0.13%
**
5,214,705

TSY INFL IX N/B 07/24 0.125
4/15/2017
0.13%
**
570,788

TSY INFL IX N/B 07/24 0.125
3/16/2021
0.13%
**
19,215,541

TSY INFL IX N/B 07/24 0.125
1/14/2030
0.13%
**
13,128,120

TSY INFL IX N/B 07/25 0.375
4/15/2017
0.38%
**
97,102

TSY INFL IX N/B 07/25 0.375
3/16/2021
0.38%
**
679,716

TSY INFL IX N/B 07/25 0.375
1/14/2030
0.38%
**
1,942,047

TTM TECHNOLOGIES COMMON STOCK USD.001
 
 
**
49,378

TUMI HOLDINGS INC COMMON STOCK USD.01
 
 
**
9,978

TUPRAS TURKIYE PETROL RAFINE COMMON STOCK TRY1.
 
 
**
119,678

TURK HAVA YOLLARI AO COMMON STOCK TRY1.
 
 
**
151,907

TURK SISE VE CAM FABRIKALARI COMMON STOCK TRY1.
 
 
**
49,598

TURK TELEKOMUNIKASYON AS COMMON STOCK TRY1.
 
 
**
116,336

TURKISH LIRA
3/16/2021
 
**
36

TURKISH LIRA
 
 
**
55,830

TURKIYE GARANTI BANKASI COMMON STOCK TRY1.
 
 
**
49,130

TURKIYE HALK BANKASI COMMON STOCK TRY1.
 
 
**
24,401

TURKIYE IS BANKASI C COMMON STOCK TRY1.
 
 
**
40,250

TUTOR PERINI CORP COMMON STOCK USD1.
 
 
**
72,066

TVA PRIN STRIP BONDS 06/35 0.00000
5/15/2022
 
**
141,105

TWIN DISC INC COMMON STOCK
 
 
**
10,783

TWITTER INC COMMON STOCK USD.000005
 
 
**
2,588,788

TYCO INTERNATIONAL FINAN COMPANY GUAR 02/26 3.9
5/15/2022
3.90%
**
38,085

TYCO INTERNATIONAL PLC COMMON STOCK CHF.5
 
 
**
5,662,229

TYLER TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
3,217,076

TYSON FOODS INC COMPANY GUAR 08/34 4.875
5/15/2022
4.88%
**
67,361

UBS AG JERSEY BRANCH SUBORDINATED REGS 02/22 VAR
3/16/2021
7.25%
**
1,773,596

UBS AG STAMFORD CT SR UNSECURED 06/17 VAR
11/18/2016
0.97%
**
3,497,593

UBS AG SUBORDINATED REGS 05/23 VAR
3/16/2021
4.75%
**
1,127,002

UBS AG SUBORDINATED REGS 05/24 5.125
1/14/2030
5.13%
**
808,000

UBS BAMLL TRUST UBSBM 2012 WRM A 144A
5/15/2022
3.66%
**
157,141

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2012 C2 A4
5/15/2022
3.53%
**
151,621

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2013 C5 XA 144A
1/14/2030
1.23%
**
919,072

UBS COMMERCIAL MORTGAGE TRUST UBSCM 2012 C1 D 144A
5/15/2022
5.73%
**
565,699

UBS COMMERCIAL MORTGAGE TRUST UBSCM 2012 C1 XA 144A
5/15/2022
2.42%
**
105,987

UBS GROUP AG REG COMMON STOCK CHF.1
 
 
**
7,587,040

UBS GROUP FUNDING COMPANY GUAR 144A 09/25 4.125
3/16/2021
4.13%
**
799,170

UCB SA COMMON STOCK
 
 
**
4,928,851


106
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

UDG HEALTHCARE PLC COMMON STOCK EUR.05
 
 
**
325,903

UDG HEALTHCARE PLC COMMON STOCK EUR.05
 
 
**
513,012

UGI CORP COMMON STOCK
 
 
**
564,028

UIL HOLDINGS CORP SR UNSECURED 10/20 4.625
3/16/2021
4.63%
**
115,795

ULTA SALON COSMETICS + FRAGR COMMON STOCK USD.01
 
 
**
164,650

ULTIMATE SOFTWARE GROUP INC COMMON STOCK USD.01
 
 
**
6,556,037

ULTRA CLEAN HOLDINGS INC COMMON STOCK USD.001
 
 
**
15,217

ULTRAGENYX PHARMACEUTICAL IN COMMON STOCK USD.001
 
 
**
4,776,624

ULTRAPETROL (BAHAMAS) LTD COMMON STOCK USD.01
 
 
**
495

ULTRATECH INC COMMON STOCK USD.001
 
 
**
50,779

UMB FINANCIAL CORP COMMON STOCK USD1.
 
 
**
84,116

UMH PROPERTIES INC REIT USD.1
 
 
**
12,448

UMPQUA HOLDINGS CORP COMMON STOCK
 
 
**
2,004,561

UNDER ARMOUR INC CLASS A COMMON STOCK USD.000333
 
 
**
6,524,412

UNI PRESIDENT ENTERPRISES CO COMMON STOCK TWD10.
 
 
**
105,790

UNIBAIL RODAMCO SE REIT EUR5.
 
 
**
374,813

UNICREDIT SPA COMMON STOCK
 
 
**
204,467

UNIFIRST CORP/MA COMMON STOCK USD.1
 
 
**
149,527

UNILEVER INDONESIA TBK PT COMMON STOCK IDR10.
 
 
**
56,902

UNILEVER PLC COMMON STOCK GBP.0311
 
 
**
797,154

UNION BANKSHARES CORP COMMON STOCK USD1.33
 
 
**
103,484

UNION PACIFIC CORP COMMON STOCK USD2.5
 
 
**
1,876,878

UNION PACIFIC CORP SR UNSECURED 01/23 2.95
5/15/2022
2.95%
**
150,466

UNIT CORP COMMON STOCK USD.2
 
 
**
38,759

UNITED COMMUNITY BANKS/GA COMMON STOCK USD1.
 
 
**
93,883

UNITED COMMUNITY FINANCIAL COMMON STOCK
 
 
**
29,630

UNITED FINANCIAL BANCORP INC COMMON STOCK
 
 
**
69,964

UNITED INTERNET AG REG SHARE COMMON STOCK
 
 
**
139,088

UNITED MEXICAN STATES SR UNSECURED 01/21 3.5
5/15/2022
3.50%
**
203,000

UNITED MEXICAN STATES SR UNSECURED 01/45 5.55
5/15/2022
5.55%
**
102,500

UNITED MEXICAN STATES SR UNSECURED 03/49 4
3/16/2021
4.00%
**
1,633,057

UNITED MEXICAN STATES SR UNSECURED 10/23 4
5/15/2022
4.00%
**
202,600

UNITED NATURAL FOODS INC COMMON STOCK USD.01
 
 
**
2,400,960

UNITED PARCEL SERVICE CL B COMMON STOCK USD.01
 
 
**
6,860,429

UNITED PARCEL SERVICE SR UNSECURED 10/22 2.45
5/15/2022
2.45%
**
74,188

UNITED RENTALS INC COMMON STOCK USD.01
 
 
**
427,333

UNITED STATES LIME + MINERAL COMMON STOCK USD.1
 
 
**
33,800

UNITED STATES OF AMER TREAS 01/16 0.00000
11/18/2016
 
**
12,704,565

UNITED STATES OF AMER TREAS 01/16 0.00000
 
0.01%
**
9,499,880

UNITED STATES STEEL CORP COMMON STOCK USD1.
 
 
**
116,149

UNITED TECHNOLOGIES CORP COMMON STOCK USD1.
 
 
**
9,807,498

UNITED TRACTORS TBK PT COMMON STOCK IDR250.
 
 
**
459,869

UNITED URBAN INVESTMENT CORP REIT
 
 
**
38,173

UNITEDHEALTH GROUP INC COMMON STOCK USD.01
 
 
**
13,452,957

UNITEDHEALTH GROUP INC SR UNSECURED 01/17 VAR
11/18/2016
0.77%
**
1,941,157

UNITEDHEALTH GROUP INC SR UNSECURED 07/20 2.7
3/16/2021
2.70%
**
707,334

UNITEDHEALTH GROUP INC SR UNSECURED 07/25 3.75
3/16/2021
3.75%
**
309,263


107
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

UNITEDHEALTH GROUP INC SR UNSECURED 11/21 3.375
5/15/2022
3.38%
**
201,554

UNITEDHEALTH GROUP INC SR UNSECURED 11/37 6.625
5/15/2022
6.63%
**
38,243

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858
3/16/2021
4.86%
**
855,333

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/45 FIXED 5.946
3/16/2021
5.95%
**
340,850

UNIVERSAL AMERICAN CORP COMMON STOCK USD.01
 
 
**
57,400

UNIVERSAL CORP/VA COMMON STOCK
 
 
**
86,195

UNIVERSAL ELECTRONICS INC COMMON STOCK USD.01
 
 
**
50,991

UNIVERSAL FOREST PRODUCTS COMMON STOCK
 
 
**
140,159

UNIVERSAL STAINLESS + ALLOY COMMON STOCK USD.001
 
 
**
5,713

UNIVERSAL TECHNICAL INSTITUT COMMON STOCK USD.0001
 
 
**
11,464

UNIVEST CORP OF PENNSYLVANIA COMMON STOCK USD5.
 
 
**
34,210

UNUM GROUP COMMON STOCK USD.1
 
 
**
2,982,784

UOA DEVELOPMENT BHD COMMON STOCK MYR.05
 
 
**
216,819

UOL GROUP LTD COMMON STOCK
 
 
**
17,594

UPM KYMMENE OYJ COMMON STOCK
 
 
**
426,728

US BANCORP COMMON STOCK USD.01
 
 
**
9,655,325

US BANCORP SR UNSECURED 01/24 3.7
5/15/2022
3.70%
**
80,632

US BANCORP SR UNSECURED 11/16 2.2
5/15/2022
2.20%
**
161,542

US CELLULAR CORP COMMON STOCK USD1.
 
 
**
83,661

US DOLLAR
11/18/2016
 
**
490,972

US DOLLAR
4/15/2017
 
**
2,282,283

US DOLLAR
3/16/2021
 
**
3,661,463

US DOLLAR
1/14/2030
 
**
1,637,344

US DOLLAR
 
 
**
682,418

US ECOLOGY INC COMMON STOCK USD.01
 
 
**
67,232

US TREASURY N/B 02/36 4.5
5/15/2022
4.50%
**
768,937

US TREASURY N/B 02/42 3.125
1/14/2030
3.13%
**
1,445,555

US TREASURY N/B 02/45 2.5
4/15/2017
2.50%
**
2,296,901

US TREASURY N/B 02/45 2.5
1/14/2030
2.50%
**
5,203,917

US TREASURY N/B 04/21 2.25
1/14/2030
2.25%
**
3,977,392

US TREASURY N/B 05/21 3.125
5/15/2022
3.13%
**
2,127,032

US TREASURY N/B 05/30 6.25
5/15/2022
6.25%
**
1,884,949

US TREASURY N/B 05/40 4.375
3/16/2021
4.38%
**
125,828

US TREASURY N/B 05/42 3
1/14/2030
3.00%
**
201,234

US TREASURY N/B 05/43 2.875
1/14/2030
2.88%
**
487,500

US TREASURY N/B 05/45 3
4/15/2017
3.00%
**
398,172

US TREASURY N/B 06/21 2.125
1/14/2030
2.13%
**
2,936,476

US TREASURY N/B 08/42 2.75
1/14/2030
2.75%
**
286,746

US TREASURY N/B 08/44 3.125
1/14/2030
3.13%
**
18,703,196

US TREASURY N/B 08/45 2.875
1/14/2030
2.88%
**
3,302,117

US TREASURY N/B 09/21 2.125
1/14/2030
2.13%
**
5,254,844

US TREASURY N/B 09/22 1.75
1/14/2030
1.75%
**
30,286,820

US TREASURY N/B 11/16 7.5
5/15/2022
7.50%
**
5,285,350

US TREASURY N/B 11/39 4.375
5/15/2022
4.38%
**
377,215

US TREASURY N/B 11/39 4.375
1/14/2030
4.38%
**
251,477

US TREASURY N/B 11/40 4.25
5/15/2022
4.25%
**
432,701

US TREASURY N/B 11/42 2.75
1/14/2030
2.75%
**
1,716,259


108
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

US TREASURY N/B 11/44 3
1/14/2030
3.00%
**
298,910

US TREASURY N/B 11/45 3
4/15/2017
3.00%
**
797,594

US TREASURY N/B 11/45 3
1/14/2030
3.00%
**
697,894

US TREASURY N/B 12/16 0.625
11/18/2016
0.63%
**
24,254,158

USA TRUCK INC COMMON STOCK USD.01
 
 
**
17,886

VAALCO ENERGY INC COMMON STOCK USD.1
 
 
**
9,347

VAIL RESORTS INC COMMON STOCK USD.01
 
 
**
4,451,364

VALEANT PHARMACEUTICALS INTE COMMON STOCK
 
 
**
465,464

VALEANT PHARMACEUTICALS INTE COMMON STOCK NPV
 
 
**
20,730,622

VALEO SA COMMON STOCK EUR3.
 
 
**
695,905

VALIDUS HOLDINGS LTD COMMON STOCK USD.175
 
 
**
422,257

VALLEY NATIONAL BANCORP COMMON STOCK
 
 
**
177,172

VALMONT INDUSTRIES COMMON STOCK USD1.0
 
 
**
141,325

VANTIV INC CL A COMMON STOCK USD.00001
 
 
**
9,864,546

VENTAS REALTY LP/CAP CRP COMPANY GUAR 06/21 4.75
5/15/2022
4.75%
**
127,801

VERA BRADLEY INC COMMON STOCK
 
 
**
24,570

VERICREST OPPORTUNITY LOAN TRA VOLT 2014 NP11 A1 144A
5/15/2022
3.88%
**
337,353

VERICREST OPPORTUNITY LOAN TRA VOLT 2015 NPL3 A1 144A
5/15/2022
3.38%
**
694,904

VERIFONE SYSTEMS INC COMMON STOCK USD.01
 
 
**
7,546,543

VERITIV CORP COMMON STOCK USD.01
 
 
**
59,401

VERIZON COMMUNICATIONS INC COMMON STOCK USD.1
 
 
**
8,487,471

VERIZON COMMUNICATIONS SR UNSECURED 03/24 4.15
5/15/2022
4.15%
**
51,383

VERIZON COMMUNICATIONS SR UNSECURED 03/55 4.672
5/15/2022
4.67%
**
76,402

VERIZON COMMUNICATIONS SR UNSECURED 03/55 4.672
1/14/2030
4.67%
**
113,734

VERIZON COMMUNICATIONS SR UNSECURED 04/19 6.35
5/15/2022
6.35%
**
292,509

VERIZON COMMUNICATIONS SR UNSECURED 08/46 4.862
5/15/2022
4.86%
**
150,529

VERIZON COMMUNICATIONS SR UNSECURED 08/46 4.862
1/14/2030
4.86%
**
535,847

VERIZON COMMUNICATIONS SR UNSECURED 08/54 5.012
5/15/2022
5.01%
**
24,721

VERIZON COMMUNICATIONS SR UNSECURED 08/54 5.012
1/14/2030
5.01%
**
101,631

VERIZON COMMUNICATIONS SR UNSECURED 09/16 2.5
11/18/2016
2.50%
**
2,649,052

VERIZON COMMUNICATIONS SR UNSECURED 09/16 VAR
11/18/2016
2.04%
**
1,322,318

VERIZON COMMUNICATIONS SR UNSECURED 09/20 4.5
5/15/2022
4.50%
**
74,134

VERIZON COMMUNICATIONS SR UNSECURED 09/23 5.15
5/15/2022
5.15%
**
313,308

VERIZON COMMUNICATIONS SR UNSECURED 09/33 6.4
5/15/2022
6.40%
**
13,671

VERIZON COMMUNICATIONS SR UNSECURED 09/33 6.4
1/14/2030
6.40%
**
45,571

VERIZON COMMUNICATIONS SR UNSECURED 09/43 6.55
5/15/2022
6.55%
**
33,242

VERIZON COMMUNICATIONS SR UNSECURED 09/43 6.55
1/14/2030
6.55%
**
16,621

VERIZON COMMUNICATIONS SR UNSECURED 09/48 4.522
5/15/2022
4.52%
**
85,853

VERIZON COMMUNICATIONS SR UNSECURED 09/48 4.522
1/14/2030
4.52%
**
585,765

VERIZON COMMUNICATIONS SR UNSECURED 11/22 2.45
5/15/2022
2.45%
**
175,117

VERIZON MARYLAND LLC COMPANY GUAR 06/33 5.125
5/15/2022
5.13%
**
44,527

VERTEX PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
**
9,467,072

VESTAS WIND SYSTEMS A/S COMMON STOCK DKK1.
 
 
**
983,755

VIACOM INC CLASS B COMMON STOCK USD.001
 
 
**
1,831,003

VIACOM INC SR UNSECURED 03/23 3.25
5/15/2022
3.25%
**
73,045

VIACOM INC SR UNSECURED 04/16 6.25
11/18/2016
6.25%
**
378,118

VIACOM INC SR UNSECURED 12/16 2.5
5/15/2022
2.50%
**
80,166


109
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

VIACOM INC SR UNSECURED 12/34 4.85
5/15/2022
4.85%
**
28,584

VIAD CORP COMMON STOCK USD1.5
 
 
**
57,872

VIASAT INC COMMON STOCK USD.0001
 
 
**
33,250

VIAVI SOLUTIONS INC COMMON STOCK USD.001
 
 
**
84,036

VICINITY CENTRES REIT
 
 
**
81,202

VILLAGE SUPER MARKET CLASS A COMMON STOCK
 
 
**
27,009

VINCI SA COMMON STOCK EUR2.5
 
 
**
941,814

VIRGIN MEDIA INVESTMENT HOLDIN USD TERM LOAN F
3/16/2021
1.00%
**
329,244

VIRGINIA ELEC + POWER CO SR UNSECURED 02/24 3.45
5/15/2022
3.45%
**
25,523

VIRGINIA ELEC + POWER CO SR UNSECURED 02/44 4.45
5/15/2022
4.45%
**
79,197

VISA INC CLASS A SHARES COMMON STOCK USD.0001
 
 
**
114,996,026

VISHAY INTERTECHNOLOGY INC COMMON STOCK USD.1
 
 
**
62,419

VISHAY PRECISION GROUP COMMON STOCK
 
 
**
15,078

VISTA OUTDOOR INC COMMON STOCK USD.01
 
 
**
177,773

VITAMIN SHOPPE INC COMMON STOCK USD.01
 
 
**
97,184

VIVENDI COMMON STOCK EUR5.5
 
 
**
1,269,927

VNO MORTGAGE TRUST VNDO 2012 6AVE A 144A
5/15/2022
3.00%
**
233,452

VODAFONE GROUP PLC COMMON STOCK USD.2095
 
 
**
419,132

VODAFONE GROUP PLC SP ADR ADR
 
 
**
17,966,207

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
11/18/2016
5.63%
**
457,383

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
5/15/2022
5.63%
**
167,046

VODAFONE GROUP PLC SR UNSECURED 03/17 1.625
11/18/2016
1.63%
**
1,777,714

VOLKSWAGEN AUTO LEASE TRUST VWALT 2015 A A2A
11/18/2016
0.87%
**
1,906,415

VONOVIA SE COMMON STOCK
 
 
**
221,625

VOXX INTERNATIONAL CORP COMMON STOCK USD.01
 
 
**
10,241

VSE CORP COMMON STOCK USD.05
 
 
**
31,836

VULCAN MATERIALS CO COMMON STOCK USD1.
 
 
**
472,476

W+T OFFSHORE INC COMMON STOCK USD.00001
 
 
**
11,601

WABASH NATIONAL CORP COMMON STOCK USD.01
 
 
**
70,329

WABCO HOLDINGS INC COMMON STOCK USD.01
 
 
**
3,261,889

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C27 A3
5/15/2022
5.77%
**
157,854

WACHOVIA CORP SR UNSECURED 06/17 5.75
5/15/2022
5.75%
**
52,930

WACHOVIA CORP SUBORDINATED 10/16 VAR
4/15/2017
0.69%
**
998,151

WAGEWORKS INC COMMON STOCK USD.001
 
 
**
9,079,444

WAL MART STORES INC COMMON STOCK USD.1
 
 
**
2,599,120

WALGREENS BOOTS ALLIANCE INC COMMON STOCK USD.01
 
 
**
27,541,511

WALKER + DUNLOP INC COMMON STOCK
 
 
**
97,435

WALMART DE MEXICO SAB DE CV COMMON STOCK
 
 
**
615,306

WALT DISNEY CO/THE COMMON STOCK USD.01
 
 
**
8,915,618

WALT DISNEY COMPANY/THE SR UNSECURED 02/22 2.55
5/15/2022
2.55%
**
100,642

WALT DISNEY COMPANY/THE SR UNSECURED 06/44 4.125
5/15/2022
4.13%
**
31,616

WALTER INVESTMENT MANAGEMENT COMMON STOCK USD.01
 
 
**
36,432

WAN HAI LINES LTD COMMON STOCK TWD10.
 
 
**
83,897

WASHINGTON FEDERAL INC COMMON STOCK USD1.
 
 
**
236,918

WASHINGTON REIT REIT USD.01
 
 
**
124,801

WASHINGTON TRUST BANCORP COMMON STOCK USD.0625
 
 
**
64,813

WASTE CONNECTIONS INC COMMON STOCK USD.01
 
 
**
675,389


110
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

WASTE MANAGEMENT INC COMPANY GUAR 06/20 4.75
5/15/2022
4.75%
**
162,583

WATERSTONE FINANCIAL INC COMMON STOCK USD.01
 
 
**
49,139

WATSCO INC COMMON STOCK USD.5
 
 
**
3,631,030

WATTS WATER TECHNOLOGIES A COMMON STOCK USD.1
 
 
**
137,437

WAYFAIR INC CLASS A COMMON STOCK USD.001
 
 
**
2,348,571

WEATHERFORD BERMUDA COMPANY GUAR 04/22 4.5
5/15/2022
4.50%
**
50,400

WEATHERFORD INTERNATIONAL PL COMMON STOCK USD.001
 
 
**
122,058

WEICHAI POWER CO LTD H COMMON STOCK CNY1.
 
 
**
385,711

WEINGARTEN REALTY INVESTORS REIT USD.03
 
 
**
283,556

WEIS MARKETS INC COMMON STOCK
 
 
**
118,060

WELLCARE HEALTH PLANS INC COMMON STOCK USD.01
 
 
**
2,707,630

WELLS FARGO + CO COMMON STOCK USD1.666
 
 
**
19,830,637

WELLS FARGO + COMPANY SR UNSECURED 01/19 2.15
5/15/2022
2.15%
**
75,419

WELLS FARGO + COMPANY SR UNSECURED 01/20 2.15
5/15/2022
2.15%
**
14,869

WELLS FARGO + COMPANY SR UNSECURED 01/20 VAR
3/16/2021
1.00%
**
2,080,439

WELLS FARGO + COMPANY SR UNSECURED 03/22 3.5
5/15/2022
3.50%
**
159,704

WELLS FARGO + COMPANY SR UNSECURED 04/19 2.125
5/15/2022
2.13%
**
10,012

WELLS FARGO + COMPANY SR UNSECURED 04/21 4.6
5/15/2022
4.60%
**
261,632

WELLS FARGO + COMPANY SR UNSECURED 12/20 2.55
3/16/2021
2.55%
**
398,034

WELLS FARGO + COMPANY SR UNSECURED 12/20 2.55
1/14/2030
2.55%
**
696,559

WELLS FARGO + COMPANY SUBORDINATED 02/23 3.45
5/15/2022
3.45%
**
85,200

WELLS FARGO + COMPANY SUBORDINATED 06/26 4.1
5/15/2022
4.10%
**
234,179

WELLS FARGO + COMPANY SUBORDINATED 11/45 4.9
5/15/2022
4.90%
**
47,419

WELLS FARGO BANK NA SUBORDINATED 11/17 6
5/15/2022
6.00%
**
426,018

WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR10 3A1
4/15/2017
2.73%
**
379,237

WELLS FARGO REREMIC TRUST WFRR 2012 IO A 144A
5/15/2022
1.75%
**
25,345

WELLTOWER INC SR UNSECURED 03/23 3.75
5/15/2022
3.75%
**
73,648

WENDY S CO/THE COMMON STOCK USD.1
 
 
**
394,096

WERNER ENTERPRISES INC COMMON STOCK USD.01
 
 
**
163,028

WESBANCO INC COMMON STOCK USD2.0833
 
 
**
89,219

WESCO AIRCRAFT HOLDINGS INC COMMON STOCK USD.001
 
 
**
103,062

WESCO INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
1,740,997

WEST CHINA CEMENT LTD COMMON STOCK GBP.002
 
 
**
382,754

WEST FRASER TIMBER CO LTD COMMON STOCK
 
 
**
146,574

WEST JAPAN RAILWAY CO COMMON STOCK
 
 
**
516,361

WEST MARINE INC COMMON STOCK USD.001
 
 
**
18,270

WESTERN ALLIANCE BANCORP COMMON STOCK USD.0001
 
 
**
5,192,887

WESTERN DIGITAL CORP COMMON STOCK USD.01
 
 
**
1,188,390

WESTERN ENERGY SERVICES CORP COMMON STOCK
 
 
**
210,326

WESTERN GAS PARTNERS LP SR UNSECURED 06/25 3.95
5/15/2022
3.95%
**
67,139

WESTERN GAS PARTNERS SR UNSECURED 06/21 5.375
5/15/2022
5.38%
**
67,816

WESTERN REFINING INC COMMON STOCK USD.01
 
 
**
219,348

WESTFIELD CORP MISC.
 
 
**
200,879

WESTFIELD FINANCIAL INC COMMON STOCK USD.01
 
 
**
16,355

WESTGATE RESORTS WESTR 2014 1A A 144A
5/15/2022
2.15%
**
695,654

WESTPAC BANKING CORP COMMON STOCK
 
 
**
324,106


111
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

WESTPAC BANKING CORP COVERED 144A 11/18 1.85
4/15/2017
1.85%
**
997,475

WESTPAC BANKING CORP COVERED 144A 11/20 2.25
3/16/2021
2.25%
**
2,171,497

WESTROCK CO COMMON STOCK
 
 
**
2,074,706

WEX INC COMMON STOCK USD.01
 
 
**
8,110,435

WEYCO GROUP INC COMMON STOCK USD1.
 
 
**
30,159

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 D 144A
5/15/2022
4.32%
**
369,448

WH GROUP LTD COMMON STOCK USD.0001
 
 
**
150,222

WHEELOCK + CO LTD COMMON STOCK
 
 
**
88,876

WHIRLPOOL CORP COMMON STOCK USD1.
 
 
**
13,730,142

WHITE MOUNTAINS INSURANCE GP COMMON STOCK USD1.
 
 
**
446,988

WHITESTONE REIT REIT USD.001
 
 
**
18,459

WHITEWAVE FOODS CO COMMON STOCK USD.01
 
 
**
2,669,226

WHITING PETROLEUM CORP COMMON STOCK USD.001
 
 
**
136,833

WIENERBERGER AG COMMON STOCK
 
 
**
406,571

WILEY (JOHN) + SONS CLASS A COMMON STOCK USD1.
 
 
**
124,598

WILLIAM HILL PLC COMMON STOCK GBP.1
 
 
**
469,138

WILLIAM LYON HOMES CL A COMMON STOCK USD.01
 
 
**
42,273

WILLIAMS SONOMA INC COMMON STOCK USD.01
 
 
**
2,073,555

WILSHIRE BANCORP INC COMMON STOCK
 
 
**
88,785

WIN SEMICONDUCTORS CORP COMMON STOCK TWD10.
 
 
**
1,221,892

WINCOR NIXDORF AG COMMON STOCK
 
 
**
387,904

WINDSTREAM HOLDINGS INC COMMON STOCK USD.0001
 
 
**
62,487

WINNEBAGO INDUSTRIES COMMON STOCK USD.5
 
 
**
23,402

WINTRUST FINANCIAL CORP COMMON STOCK
 
 
**
223,774

WIPRO LTD ADR ADR
 
 
**
373,896

WISC ELEC POWER SR UNSECURED 09/21 2.95
5/15/2022
2.95%
**
70,741

WISDOMTREE INVESTMENTS INC COMMON STOCK USD.01
 
 
**
2,137,858

WISTRON NEWEB CORP COMMON STOCK TWD10.
 
 
**
607,254

WNS HOLDINGS LTD ADR ADR USD.16
 
 
**
4,103,980

WOLTERS KLUWER COMMON STOCK EUR.12
 
 
**
1,261,297

WOLVERINE WORLD WIDE INC COMMON STOCK USD1.
 
 
**
1,371,306

WOOD GROUP (JOHN) PLC COMMON STOCK GBP.042857
 
 
**
627,421

WOODWARD INC COMMON STOCK USD.00292
 
 
**
3,154,354

WOORI BANK COMMON STOCK KRW5000.0
 
 
**
137,646

WORKDAY INC CLASS A COMMON STOCK USD.001
 
 
**
5,332,982

WORLD OMNI AUTO RECEIVABLES TR WOART 2014 B A2A
11/18/2016
0.60%
**
452,027

WORLD OMNI AUTO RECEIVABLES TR WOART 2015 A A2A
11/18/2016
0.79%
**
602,191

WORLDPAY GROUP PLC COMMON STOCK GBP.03
 
 
**
1,760,084

WORTHINGTON INDUSTRIES COMMON STOCK
 
 
**
177,856

WP CAREY INC REIT USD.001
 
 
**
323,379

WPP PLC COMMON STOCK GBP.1
 
 
**
9,910,869

WPX ENERGY INC COMMON STOCK
 
 
**
104,135

WR BERKLEY CORP COMMON STOCK USD.2
 
 
**
393,488

WSFS FINANCIAL CORP COMMON STOCK USD.01
 
 
**
3,058,700

WYNN MACAU LTD SR UNSECURED 144A 10/21 5.25
1/14/2030
5.25%
**
748,000

XCEL ENERGY INC COMMON STOCK USD2.5
 
 
**
1,054,246

XCEL ENERGY INC SR UNSECURED 07/36 6.5
5/15/2022
6.50%
**
72,466


112
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

XEBIO HOLDINGS CO LTD COMMON STOCK
 
 
**
291,386

XEROX CORPORATION SR UNSECURED 05/21 4.5
5/15/2022
4.50%
**
75,696

XEROX CORPORATION SR UNSECURED 09/20 2.75
5/15/2022
2.75%
**
37,678

XEROX CORPORATION SR UNSECURED 12/19 5.625
5/15/2022
5.63%
**
106,379

XPO LOGISTICS INC COMMON STOCK USD.001
 
 
**
681,277

YADKIN FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
2,240,004

YAMAHA CORP COMMON STOCK
 
 
**
463,328

YAMAZAKI BAKING CO LTD COMMON STOCK
 
 
**
181,886

YELP INC COMMON STOCK USD.000001
 
 
**
3,168,893

YUASA TRADING CO LTD COMMON STOCK
 
 
**
454,641

YUE YUEN INDUSTRIAL HLDG COMMON STOCK HKD.25
 
 
**
571,802

YUM BRANDS INC COMMON STOCK
 
 
**
5,531,151

YUME INC COMMON STOCK USD.001
 
 
**
10,432

ZAGG INC COMMON STOCK USD.001
 
 
**
33,641

ZAYO GROUP HOLDINGS INC COMMON STOCK USD.001
 
 
**
3,113,024

ZEE ENTERTAINMENT ENTERPRISE COMMON STOCK INR1.
 
 
**
60,971

ZELTIQ AESTHETICS INC COMMON STOCK USD.001
 
 
**
1,185,193

ZENDESK INC COMMON STOCK USD.01
 
 
**
373,994

ZHEJIANG EXPRESSWAY CO H COMMON STOCK CNY1.
 
 
**
55,318

ZHEN DING TECHNOLOGY HOLDING COMMON STOCK TWD10.
 
 
**
233,075

ZHUZHOU CRRC TIMES ELECTRIC COMMON STOCK CNY1.0
 
 
**
221,131

ZILLOW GROUP INC C COMMON STOCK
 
 
**
78,691

ZIMMER BIOMET HOLDINGS INC COMMON STOCK USD.01
 
 
**
3,385,470

ZIONS BANCORPORATION COMMON STOCK
 
 
**
554,054

ZOE S KITCHEN INC COMMON STOCK USD.01
 
 
**
254,478

ZUMTOBEL GROUP AG COMMON STOCK
 
 
**
177,023

ZYNGA INC CL A COMMON STOCK USD.00000625
 
 
**
148,341

Bank of Tokyo (wrap contract)
 
 
**
(24,116,544
)
Pacific Life (wrap contract)
 
 
**
(32,383,476
)
Prudential (wrap contract)
 
 
**
(23,149,865
)
Royal Bank of Canada (wrap contract)
 
 
**
(33,337,118
)
Voya (wrap contract)
 
 
**
(48,326,004
)
21ST CENTURY FOX AMERICA COMPANY GUAR 02/21 4.5
2/15/2021
4.50%
**
242,575

21ST CENTURY FOX AMERICA COMPANY GUAR 03/19 6.9
3/1/2019
6.90%
**
2,810,809

21ST CENTURY FOX AMERICA COMPANY GUAR 05/18 7.25
5/18/2018
7.25%
**
114,314

21ST CENTURY FOX AMERICA COMPANY GUAR 08/20 5.65
8/15/2020
5.65%
**
229,209

21ST CENTURY FOX AMERICA COMPANY GUAR 09/22 3
9/15/2022
3.00%
**
1,171,329

321 HENDERSON RECEIVABLES LLC HENDR 2010 3A A 144A
12/15/2048
3.82%
**
2,194,331

A10 SECURITIZATION A10 2015 1 A1 144A
4/15/2034
2.10%
**
1,116,274

ABB TREASURY CENTER USA SR UNSECURED 144A 06/16 2.5
6/15/2016
2.50%
**
514,913

ABB TREASURY CENTER USA SR UNSECURED 144A 06/16 2.5
11/18/2016
2.50%
**
1,875,467

ABBEY NATL TREASURY SERV COMPANY GUAR 04/16 4
11/18/2016
4.00%
**
1,627,061

ABBEY NATL TREASURY SERV COMPANY GUAR 08/18 2
8/24/2018
2.00%
**
10,430,607

ABBEY NATL TREASURY SERV COMPANY GUAR 09/17 1.65
9/29/2017
1.65%
**
6,611,243

ABBVIE INC SR UNSECURED 05/18 1.8
5/14/2018
1.80%
**
18,349,562

ABBVIE INC SR UNSECURED 05/20 2.5
5/14/2020
2.50%
**
1,546,963

ABBVIE INC SR UNSECURED 05/25 3.6
5/14/2025
3.60%
**
4,723,861


113
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ABBVIE INC SR UNSECURED 11/17 1.75
11/6/2017
1.75%
**
6,700,832

ABBVIE INC SR UNSECURED 11/22 2.9
11/6/2022
2.90%
**
12,599,907

ABBVIE INC SR UNSECURED 11/22 3.2
11/6/2022
3.20%
**
1,543,235

ABN AMRO BANK NV SR UNSECURED 144A 02/17 4.25
11/18/2016
4.25%
**
2,176,484

ABN AMRO BANK NV SR UNSECURED 144A 06/20 2.45
6/4/2020
2.45%
**
2,153,717

ABN AMRO BANK NV SR UNSECURED 144A 10/16 VAR
11/18/2016
1.12%
**
6,274,646

ACCESS GROUP INC ACCSS 2005 1 A3
6/22/2022
0.74%
**
1,107,785

ACCESS GROUP INC ACCSS 2005 A A3
7/25/2034
0.72%
**
7,548,222

ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 2A2
10/25/2034
1.62%
**
1,492,652

ACE SECURITIES CORP. ACE 2004 HE3 M1
11/25/2034
1.35%
**
929,536

ACE SECURITIES CORP. ACE 2004 SD1 A1
11/25/2033
0.91%
**
425,363

ACTAVIS FUNDING SCS COMPANY GUAR 03/17 1.85
3/1/2017
1.85%
**
307,963

ACTAVIS FUNDING SCS COMPANY GUAR 03/18 2.35
3/12/2018
2.35%
**
4,349,274

ACTAVIS FUNDING SCS COMPANY GUAR 03/20 3
3/12/2020
3.00%
**
3,793,512

ACTAVIS FUNDING SCS COMPANY GUAR 03/22 3.45
3/15/2022
3.45%
**
12,356,032

ACTAVIS FUNDING SCS COMPANY GUAR 03/25 3.8
3/15/2025
3.80%
**
1,192,781

ACTAVIS FUNDING SCS COMPANY GUAR 06/19 2.45
6/15/2019
2.45%
**
572,699

ACTAVIS INC COMPANY GUAR 08/19 6.125
8/15/2019
6.13%
**
936,931

ACTAVIS INC COMPANY GUAR 10/17 1.875
10/1/2017
1.88%
**
1,478,935

ACTAVIS INC COMPANY GUAR 10/22 3.25
10/1/2022
3.25%
**
836,173

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7A2
2/25/2035
1.26%
**
113,854

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1
9/25/2035
2.76%
**
1,511,041

ADT CORP SR UNSECURED 07/17 2.25
7/15/2017
2.25%
**
917,623

ADVENT HEALTH SYSTEM UNSECURED 03/23 3.378
3/1/2023
3.38%
**
4,061,961

AEGON NV JR SUBORDINA 07/49 VAR
7/29/2049
2.14%
**
3,116,613

AETNA INC SR UNSECURED 03/19 2.2
3/15/2019
2.20%
**
474,018

AETNA INC SR UNSECURED 05/17 1.75
5/15/2017
1.75%
**
6,668,292

AETNA INC SR UNSECURED 11/22 2.75
11/15/2022
2.75%
**
796,355

AGL CAPITAL CORP COMPANY GUAR 07/16 6.375
7/15/2016
6.38%
**
525,683

AGRIUM INC SR UNSECURED 01/19 6.75
1/15/2019
6.75%
**
314,308

AGRIUM INC SR UNSECURED 06/23 3.5
6/1/2023
3.50%
**
611,360

AIG GLOBAL FUNDING SR SECURED 144A 12/17 1.65
12/15/2017
1.65%
**
6,117,320

ALIBABA GROUP HOLDING COMPANY GUAR 11/17 1.625
11/28/2017
1.63%
**
4,229,574

ALLERGAN INC COMPANY GUAR 03/18 1.35
3/15/2018
1.35%
**
271,830

ALLIED WORLD ASSURANCE COMPANY GUAR 08/16 7.5
8/1/2016
7.50%
**
1,619,794

ALLSTATE CORP SR UNSECURED 05/18 6.75
5/15/2018
6.75%
**
227,318

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 3 A4
2/15/2017
1.06%
**
228,379

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 4 A4
10/16/2017
0.80%
**
729,323

ALLY AUTO RECEIVABLES TRUST ALLYA 2013 1 A3
5/15/2017
0.63%
**
117,548

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 1 A2
11/18/2016
0.48%
**
90,565

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 1 A4
4/15/2019
1.53%
**
1,839,315

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 2 A2
11/18/2016
0.68%
**
1,339,814

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 3 A2
11/18/2016
0.81%
**
1,394,413

ALLY AUTO RECEIVABLES TRUST ALLYA 2015 1 A2
2/15/2018
0.92%
**
5,011,553

ALLY AUTO RECEIVABLES TRUST ALLYA 2015 1 A2
11/18/2016
0.84%
**
3,045,921

ALLY AUTO RECEIVABLES TRUST ALLYA 2015 1 A3
9/16/2019
1.39%
**
1,656,325

ALLY AUTO RECEIVABLES TRUST LE ALLYL 2014 SN1 A3
2/21/2017
0.75%
**
1,139,273


114
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ALLY AUTO RECEIVABLES TRUST LE ALLYL 2014 SN2 A2A
11/18/2016
0.71%
**
499,586

ALLY MASTER OWNER TRUST AMOT 2014 2 A
1/16/2018
0.70%
**
6,281,438

ALLY MASTER OWNER TRUST AMOT 2014 4 A2
6/17/2019
1.43%
**
1,021,029

ALTERA CORP COMPANY GUAR 05/17 1.75
5/15/2017
1.75%
**
3,450,184

ALTRIA GROUP INC COMPANY GUAR 01/24 4
1/31/2024
4.00%
**
2,595,560

ALTRIA GROUP INC COMPANY GUAR 05/21 4.75
5/5/2021
4.75%
**
1,278,600

ALTRIA GROUP INC COMPANY GUAR 08/19 9.25
8/6/2019
9.25%
**
6,307,457

ALTRIA GROUP INC COMPANY GUAR 08/22 2.85
8/9/2022
2.85%
**
1,158,799

AMAZON.COM INC SR UNSECURED 11/17 1.2
11/29/2017
1.20%
**
796,794

AMAZON.COM INC SR UNSECURED 11/22 2.5
11/29/2022
2.50%
**
4,956,824

AMAZON.COM INC SR UNSECURED 12/19 2.6
12/5/2019
2.60%
**
529,754

AMAZON.COM INC SR UNSECURED 12/34 4.8
12/5/2034
4.80%
**
5,394,429

AMAZON.COM INC SR UNSECURED 12/44 4.95
12/5/2044
4.95%
**
1,964,242

AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7
4/1/2028
3.70%
**
246,246

AMERICAN AIRLINES 2013 2 PASS THRU CE 07/24 4.95
7/15/2024
4.95%
**
727,089

AMERICAN CAMPUS CMNTYS COMPANY GUAR 07/24 4.125
7/1/2024
4.13%
**
1,017,467

AMERICAN CREDIT ACCEPTANCE REC ACAR 2014 4 A 144A
7/10/2018
1.33%
**
295,836

AMERICAN ELECTRIC POWER SR UNSECURED 12/17 1.65
12/15/2017
1.65%
**
1,418,884

AMERICAN EXPR CENTURION SR UNSECURED 09/17 6
9/13/2017
6.00%
**
274,401

AMERICAN EXPRESS CO SR UNSECURED 05/18 1.55
5/22/2018
1.55%
**
6,100,222

AMERICAN EXPRESS CO SR UNSECURED 05/19 8.125
5/20/2019
8.13%
**
205,397

AMERICAN EXPRESS CO SR UNSECURED 12/22 2.65
12/2/2022
2.65%
**
4,967,480

AMERICAN EXPRESS CO SUBORDINATED 12/24 3.625
12/5/2024
3.63%
**
1,775,058

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2013 2 A
5/17/2021
0.75%
**
13,834,438

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2014 3 A
4/15/2020
1.49%
**
939,987

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2014 4 A
6/15/2020
1.43%
**
501,230

AMERICAN EXPRESS CREDIT SR UNSECURED 03/19 VAR
3/18/2019
1.08%
**
9,215,944

AMERICAN EXPRESS CREDIT SR UNSECURED 06/17 VAR
11/18/2016
0.72%
**
2,864,016

AMERICAN EXPRESS CREDIT SR UNSECURED 07/16 1.3
7/29/2016
1.30%
**
1,411,543

AMERICAN EXPRESS CREDIT SR UNSECURED 07/18 1.8
7/31/2018
1.80%
**
4,746,123

AMERICAN EXPRESS CREDIT SR UNSECURED 08/19 2.25
8/15/2019
2.25%
**
1,127,372

AMERICAN EXPRESS CREDIT SR UNSECURED 09/17 1.55
9/22/2017
1.55%
**
7,869,640

AMERICAN EXPRESS CREDIT SR UNSECURED 09/17 VAR
11/18/2016
0.89%
**
1,429,548

AMERICAN EXPRESS CREDIT SR UNSECURED 11/18 VAR
11/18/2016
1.11%
**
4,030,738

AMERICAN HONDA FINANCE SR UNSECURED 03/18 1.5
3/13/2018
1.50%
**
152,579

AMERICAN HONDA FINANCE SR UNSECURED 07/17 1.2
7/14/2017
1.20%
**
1,988,336

AMERICAN HONDA FINANCE SR UNSECURED 07/18 1.6
7/13/2018
1.60%
**
468,939

AMERICAN HONDA FINANCE SR UNSECURED 08/19 2.25
8/15/2019
2.25%
**
318,440

AMERICAN HONDA FINANCE SR UNSECURED 09/17 VAR
11/18/2016
1.02%
**
2,778,544

AMERICAN HONDA FINANCE SR UNSECURED 09/20 2.45
9/24/2020
2.45%
**
338,676

AMERICAN HONDA FINANCE SR UNSECURED 10/16 1.125
10/7/2016
1.13%
**
4,778,948

AMERICAN HONDA FINANCE SR UNSECURED 10/16 1.125
11/18/2016
1.13%
**
2,016,884

AMERICAN HONDA FINANCE SR UNSECURED 12/17 VAR
11/18/2016
0.80%
**
1,660,054

AMERICAN HONDA FINANCE SR UNSECURED 144A 09/17 1.5
9/11/2017
1.50%
**
307,770

AMERICAN INTL GROUP SR UNSECURED 01/18 5.85
1/16/2018
5.85%
**
309,067

AMERICAN INTL GROUP SR UNSECURED 06/22 4.875
6/1/2022
4.88%
**
791,233

AMERICAN INTL GROUP SR UNSECURED 07/19 2.3
7/16/2019
2.30%
**
1,188,752


115
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

AMERICAN INTL GROUP SR UNSECURED 12/20 6.4
12/15/2020
6.40%
**
762,477

AMERICOLD LLC TRUST ACRE 2010 ARTA A2FL 144A
1/14/2029
2.50%
**
2,951,060

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 4 B
9/10/2018
1.66%
**
2,008,091

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 5 B
1/8/2019
1.52%
**
1,908,592

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 2 A2A
11/18/2016
0.54%
**
487,017

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 2 A3
2/8/2019
0.94%
**
3,946,323

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 4 A2B
4/9/2018
0.68%
**
3,019,450

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2015 2 A3
1/8/2020
1.27%
**
2,077,196

AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 A1
11/25/2034
1.03%
**
8,695

AMERISOURCEBERGEN CORP SR UNSECURED 05/17 1.15
5/15/2017
1.15%
**
5,447,014

AMGEN INC SR UNSECURED 02/19 5.7
2/1/2019
5.70%
**
13,556,632

AMGEN INC SR UNSECURED 05/17 1.25
5/22/2017
1.25%
**
306,255

AMGEN INC SR UNSECURED 05/17 2.125
5/15/2017
2.13%
**
274,235

AMGEN INC SR UNSECURED 05/19 2.2
5/22/2019
2.20%
**
5,237,819

AMGEN INC SR UNSECURED 05/19 VAR
5/22/2019
0.98%
**
608,461

AMGEN INC SR UNSECURED 05/20 2.125
5/1/2020
2.13%
**
3,427,387

AMGEN INC SR UNSECURED 05/22 3.625
5/15/2022
3.63%
**
210,519

AMGEN INC SR UNSECURED 05/24 3.625
5/22/2024
3.63%
**
17,428,844

AMGEN INC SR UNSECURED 06/16 2.3
6/15/2016
2.30%
**
41,224

AMGEN INC SR UNSECURED 06/17 5.85
6/1/2017
5.85%
**
216,716

AMGEN INC SR UNSECURED 06/18 6.15
6/1/2018
6.15%
**
365,360

AMGEN INC SR UNSECURED 06/21 4.1
6/15/2021
4.10%
**
178,065

AMGEN INC SR UNSECURED 11/21 3.875
11/15/2021
3.88%
**
907,472

ANADARKO PETROLEUM CORP SR UNSECURED 03/19 8.7
3/15/2019
8.70%
**
465,688

ANADARKO PETROLEUM CORP SR UNSECURED 09/16 5.95
9/15/2016
5.95%
**
6,711,454

ANADARKO PETROLEUM CORP SR UNSECURED 09/16 5.95
11/18/2016
5.95%
**
3,107,391

ANADARKO PETROLEUM CORP SR UNSECURED 09/17 6.375
9/15/2017
6.38%
**
3,105,385

ANGLO AMERICAN CAPITAL COMPANY GUAR REGS 04/21 4.125
4/15/2021
4.13%
**
3,509,613

ANHEUSER BUSCH COS LLC COMPANY GUAR 10/16 5.05
10/15/2016
5.05%
**
264,080

ANHEUSER BUSCH COS LLC COMPANY GUAR 10/16 5.05
11/18/2016
5.05%
**
680,217

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 01/18 1.25
1/17/2018
1.25%
**
1,152,152

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/19 7.75
1/15/2019
7.75%
**
444,184

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/20 5.375
1/15/2020
5.38%
**
3,033,164

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 04/20 5
4/15/2020
5.00%
**
1,362,778

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 11/19 6.875
11/15/2019
6.88%
**
503,458

ANTHEM INC SR UNSECURED 01/18 1.875
1/15/2018
1.88%
**
306,078

ANTHEM INC SR UNSECURED 06/17 5.875
6/15/2017
5.88%
**
4,543,894

ANZ NEW ZEALAND INTL/LDN COMPANY GUAR 144A 03/16 1.125
3/24/2016
1.13%
**
205,066

ANZ NEW ZEALAND INTL/LDN COMPANY GUAR 144A 03/18 1.75
3/29/2018
1.75%
**
391,822

APACHE CORP SR UNSECURED 04/22 3.25
4/15/2022
3.25%
**
2,804,934

APPALACHIAN POWER CO SR UNSECURED 06/17 5
6/1/2017
5.00%
**
213,492

APPLE INC SR UNSECURED 05/16 0.45
5/3/2016
0.45%
**
11,995,090

APPLE INC SR UNSECURED 05/17 0.9
5/12/2017
0.90%
**
5,240,480

APPLE INC SR UNSECURED 05/21 2.85
5/6/2021
2.85%
**
30,174,444

ARGENT SECURITIES INC. ARSI 2003 W3 M1
9/25/2033
1.55%
**
303,247

ARGENT SECURITIES INC. ARSI 2004 W11 M2
11/25/2034
1.47%
**
3,390,008

ARGENT SECURITIES INC. ARSI 2004 W5 AV3B
4/25/2034
1.32%
**
969,254


116
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ARIZONA PUBLIC SERVICE SR UNSECURED 01/20 2.2
1/15/2020
2.20%
**
115,718

ARIZONA PUBLIC SERVICE SR UNSECURED 08/16 6.25
8/1/2016
6.25%
**
394,297

ARROW ELECTRONICS INC SR UNSECURED 03/18 3
3/1/2018
3.00%
**
204,776

ARROW ELECTRONICS INC SR UNSECURED 06/18 6.875
6/1/2018
6.88%
**
100,411

ASSET BACKED SECURITIES CORP H ABSHE 2003 HE7 M1
12/15/2033
1.31%
**
1,900,741

ASTRAZENECA PLC SR UNSECURED 11/18 1.75
11/16/2018
1.75%
**
3,320,922

ASTRAZENECA PLC SR UNSECURED 11/25 3.375
11/16/2025
3.38%
**
7,222,713

AT+T INC SR UNSECURED 02/17 1.6
2/15/2017
1.60%
**
822,052

AT+T INC SR UNSECURED 02/18 5.5
2/1/2018
5.50%
**
2,601,568

AT+T INC SR UNSECURED 02/22 3
2/15/2022
3.00%
**
431,933

AT+T INC SR UNSECURED 03/19 2.3
3/11/2019
2.30%
**
204,842

AT+T INC SR UNSECURED 05/16 2.95
11/18/2016
2.95%
**
1,030,570

AT+T INC SR UNSECURED 05/18 5.6
5/15/2018
5.60%
**
444,606

AT+T INC SR UNSECURED 05/21 4.45
5/15/2021
4.45%
**
54,532

AT+T INC SR UNSECURED 05/25 3.4
5/15/2025
3.40%
**
20,021,661

AT+T INC SR UNSECURED 06/20 2.45
6/30/2020
2.45%
**
8,507,164

AT+T INC SR UNSECURED 08/21 3.875
8/15/2021
3.88%
**
861,584

ATMOS ENERGY CORP SR UNSECURED 06/17 6.35
6/15/2017
6.35%
**
573,123

AUST + NZ BANKING GROUP SR UNSECURED 144A 03/16 3.25
3/1/2016
3.25%
**
205,776

AUST + NZ BANKING GRP NY SR UNSECURED 01/17 1.25
11/18/2016
1.25%
**
1,153,069

AUST + NZ BANKING GRP NY SR UNSECURED 01/18 1.5
1/16/2018
1.50%
**
5,023,144

AUTOZONE INC SR UNSECURED 06/16 6.95
6/15/2016
6.95%
**
314,993

AVALONBAY COMMUNITIES IN SR UNSECURED 10/20 3.625
10/1/2020
3.63%
**
5,318,437

AVIATION CAPITAL GROUP SR UNSECURED 144A 04/21 6.75
4/6/2021
6.75%
**
1,618,213

AVIS BUDGET RENTAL CAR FUNDING AESOP 2010 5A A 144A
3/20/2017
3.15%
**
344,140

AVIS BUDGET RENTAL CAR FUNDING AESOP 2012 2A A 144A
5/20/2018
2.80%
**
3,202,717

AVIS BUDGET RENTAL CAR FUNDING AESOP 2013 1A A 144A
9/20/2019
1.92%
**
14,645,111

AVIS BUDGET RENTAL CAR FUNDING AESOP 2015 1A A 144A
7/20/2021
2.50%
**
13,053,646

AVIS BUDGET RENTAL CAR FUNDING AESOP 2015 2A A 144A
12/20/2021
2.63%
**
5,565,107

AXIS SPECIALTY FINAN PLC COMPANY GUAR 04/19 2.65
4/1/2019
2.65%
**
2,550,864

AXIS SPECIALTY FINANCE COMPANY GUAR 06/20 5.875
6/1/2020
5.88%
**
950,543

BACARDI LTD COMPANY GUAR 144A 04/19 8.2
4/1/2019
8.20%
**
194,790

BAE SYSTEMS PLC SR UNSECURED 144A 10/16 3.5
10/11/2016
3.50%
**
10,187,002

BAKER HUGHES INC SR UNSECURED 11/18 7.5
11/15/2018
7.50%
**
2,903,854

BALTIMORE GAS + ELECTRIC SR UNSECURED 07/23 3.35
7/1/2023
3.35%
**
347,461

BALTIMORE GAS + ELECTRIC SR UNSECURED 10/16 5.9
10/1/2016
5.90%
**
158,802

BAMLL DB TRUST BMLDB 2012 OSI A1 144A
4/13/2029
2.34%
**
851,818

BANC OF AMERICA COMMERCIAL MOR BACM 2006 2 A4
5/10/2045
5.83%
**
7,193,855

BANC OF AMERICA COMMERCIAL MOR BACM 2006 3 A4
7/10/2044
5.89%
**
1,285,381

BANC OF AMERICA COMMERCIAL MOR BACM 2006 4 A4
7/10/2046
5.63%
**
5,144,126

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A1A
6/10/2049
5.56%
**
1,632,207

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A4
6/10/2049
5.56%
**
22,707,514

BANC OF AMERICA COMMERCIAL MOR BACM 2007 4 A1A
2/10/2051
5.77%
**
3,401,738

BANC OF AMERICA LARGE LOAN BALL 2009 UB2 A4AA 144A
2/24/2051
7.89%
**
2,794,665

BANC OF AMERICA MERRILL LYNCH BAMLL 2014 FL1 A 144A
12/15/2031
1.73%
**
8,692,067

BANK OF AMERICA CORP SR UNSECURED 01/16 1.25
1/11/2016
1.25%
**
5,303,249

BANK OF AMERICA CORP SR UNSECURED 01/18 2
1/11/2018
2.00%
**
11,970,686


117
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BANK OF AMERICA CORP SR UNSECURED 01/19 2.6
1/15/2019
2.60%
**
9,775,671

BANK OF AMERICA CORP SR UNSECURED 01/23 3.3
1/11/2023
3.30%
**
4,135,433

BANK OF AMERICA CORP SR UNSECURED 01/24 4.125
1/22/2024
4.13%
**
3,455,565

BANK OF AMERICA CORP SR UNSECURED 01/44 5
1/21/2044
5.00%
**
4,491,790

BANK OF AMERICA CORP SR UNSECURED 03/16 3.625
3/17/2016
3.63%
**
205,995

BANK OF AMERICA CORP SR UNSECURED 03/17 3.875
3/22/2017
3.88%
**
701,563

BANK OF AMERICA CORP SR UNSECURED 04/18 6.875
4/25/2018
6.88%
**
27,215,955

BANK OF AMERICA CORP SR UNSECURED 04/19 2.65
4/1/2019
2.65%
**
29,881,357

BANK OF AMERICA CORP SR UNSECURED 04/20 2.25
4/21/2020
2.25%
**
499,987

BANK OF AMERICA CORP SR UNSECURED 04/24 4
4/1/2024
4.00%
**
13,461,312

BANK OF AMERICA CORP SR UNSECURED 05/18 1.95
5/12/2018
1.95%
**
3,639,553

BANK OF AMERICA CORP SR UNSECURED 05/21 5
5/13/2021
5.00%
**
3,817,634

BANK OF AMERICA CORP SR UNSECURED 06/19 7.625
6/1/2019
7.63%
**
997,024

BANK OF AMERICA CORP SR UNSECURED 07/16 3.75
7/12/2016
3.75%
**
6,432,830

BANK OF AMERICA CORP SR UNSECURED 07/20 5.625
7/1/2020
5.63%
**
1,832,518

BANK OF AMERICA CORP SR UNSECURED 08/17 6.4
8/28/2017
6.40%
**
14,973,199

BANK OF AMERICA CORP SR UNSECURED 08/25 3.875
8/1/2025
3.88%
**
1,664,330

BANK OF AMERICA CORP SR UNSECURED 09/17 6
9/1/2017
6.00%
**
31,117,440

BANK OF AMERICA CORP SR UNSECURED 10/16 5.625
10/14/2016
5.63%
**
2,648,145

BANK OF AMERICA CORP SR UNSECURED 11/16 1.35
11/21/2016
1.35%
**
2,558,390

BANK OF AMERICA CORP SR UNSECURED 12/17 5.75
12/1/2017
5.75%
**
4,209,322

BANK OF AMERICA CORP SUBORDINATED 01/25 4
1/22/2025
4.00%
**
792,458

BANK OF AMERICA CORP SUBORDINATED 04/25 3.95
4/21/2025
3.95%
**
1,895,868

BANK OF AMERICA CORP SUBORDINATED 05/16 6.05
5/16/2016
6.05%
**
6,733,963

BANK OF AMERICA CORP SUBORDINATED 08/24 4.2
8/26/2024
4.20%
**
6,120,470

BANK OF AMERICA CORP SUBORDINATED 09/16 7.8
9/15/2016
7.80%
**
266,719

BANK OF AMERICA CREDIT CARD TR BACCT 2014 A1 A
6/15/2021
0.71%
**
13,139,569

BANK OF AMERICA CREDIT CARD TR BACCT 2014 A2 A
9/16/2019
0.60%
**
1,443,198

BANK OF AMERICA CREDIT CARD TR BACCT 2014 A3 A
1/15/2020
0.62%
**
17,810,370

BANK OF AMERICA CREDIT CARD TR BACCT 2015 A2 A
9/15/2020
1.36%
**
3,053,276

BANK OF AMERICA NA SR UNSECURED 03/18 1.65
3/26/2018
1.65%
**
6,203,680

BANK OF AMERICA NA SR UNSECURED 06/18 1.75
6/5/2018
1.75%
**
7,126,817

BANK OF AMERICA NA SR UNSECURED 11/16 1.125
11/18/2016
1.13%
**
5,746,883

BANK OF AMERICA NA SR UNSECURED 11/16 VAR
11/18/2016
0.83%
**
4,385,061

BANK OF AMERICA NA SR UNSECURED 12/18 2.05
12/7/2018
2.05%
**
510,877

BANK OF MONTREAL CHICAGO CERT OF DEPO 09/17 VAR
11/18/2016
0.89%
**
6,328,861

BANK OF MONTREAL SR UNSECURED 01/19 2.375
1/25/2019
2.38%
**
10,333,284

BANK OF MONTREAL SR UNSECURED 04/18 1.4
4/10/2018
1.40%
**
609,153

BANK OF MONTREAL SR UNSECURED 04/18 1.45
4/9/2018
1.45%
**
688,131

BANK OF MONTREAL SR UNSECURED 07/17 1.3
7/14/2017
1.30%
**
4,300,430

BANK OF MONTREAL SR UNSECURED 07/18 1.8
7/31/2018
1.80%
**
3,384,276

BANK OF NEW YORK MELLON SR UNSECURED 01/18 1.3
1/25/2018
1.30%
**
583,922

BANK OF NEW YORK MELLON SR UNSECURED 03/16 0.7
3/4/2016
0.70%
**
409,809

BANK OF NEW YORK MELLON SR UNSECURED 03/18 1.35
3/6/2018
1.35%
**
561,580

BANK OF NEW YORK MELLON SR UNSECURED 03/19 2.2
3/4/2019
2.20%
**
590,990

BANK OF NEW YORK MELLON SR UNSECURED 09/19 2.3
9/11/2019
2.30%
**
12,841,351

BANK OF NOVA SCOTIA COVERED 09/19 2.125
9/11/2019
2.13%
**
8,199,683


118
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BANK OF NOVA SCOTIA SR UNSECURED 01/17 2.55
11/18/2016
2.55%
**
7,584,694

BANK OF NOVA SCOTIA SR UNSECURED 03/16 2.9
3/29/2016
2.90%
**
1,415,179

BANK OF NOVA SCOTIA SR UNSECURED 06/19 2.05
6/5/2019
2.05%
**
1,993,440

BANK OF NOVA SCOTIA SR UNSECURED 07/17 1.3
7/21/2017
1.30%
**
5,266,802

BANK OF NOVA SCOTIA SR UNSECURED 10/18 2.05
10/30/2018
2.05%
**
205,431

BANQUE FED CRED MUTUEL SR UNSECURED 144A 01/17 1.7
1/20/2017
1.70%
**
3,800,088

BARCLAYS BANK PLC SR UNSECURED 05/24 3.75
5/15/2024
3.75%
**
908,675

BARCLAYS BANK PLC SR UNSECURED 09/16 5
9/22/2016
5.00%
**
4,755,767

BARCLAYS BANK PLC SR UNSECURED 09/16 5
11/18/2016
5.00%
**
12,093,617

BARCLAYS BANK PLC SUBORDINATED 144A 06/21 10.179
6/12/2021
10.18%
**
14,004,050

BARCLAYS BANK PLC SUBORDINATED 144A 12/17 6.05
12/4/2017
6.05%
**
950,925

BARCLAYS PLC SR UNSECURED 03/18 2
3/16/2018
2.00%
**
6,824,547

BARCLAYS PLC SR UNSECURED 08/45 5.25
8/17/2045
5.25%
**
8,050,922

BARCLAYS PLC SR UNSECURED 11/19 2.75
11/8/2019
2.75%
**
9,556,198

BARRICK GOLD CORP SR UNSECURED 04/19 6.95
4/1/2019
6.95%
**
590,233

BARRICK GOLD CORP SR UNSECURED 05/23 4.1
5/1/2023
4.10%
**
433,373

BARRICK NA FINANCE LLC COMPANY GUAR 05/21 4.4
5/30/2021
4.40%
**
1,647,004

BARRICK PD AU FIN PTY LT COMPANY GUAR 01/20 4.95
1/15/2020
4.95%
**
248,535

BAT INTL FINANCE PLC COMPANY GUAR 144A 06/22 3.5
6/15/2022
3.50%
**
1,260,486

BAT INTL FINANCE PLC COMPANY GUAR 144A 06/25 3.95
6/15/2025
3.95%
**
7,168,237

BAXALTA INC SR UNSECURED 144A 06/18 2
6/22/2018
2.00%
**
3,438,104

BAXALTA INC SR UNSECURED 144A 06/25 4
6/23/2025
4.00%
**
3,366,662

BAXTER INTERNATIONAL INC SR UNSECURED 01/17 1.85
1/15/2017
1.85%
**
205,769

BAXTER INTERNATIONAL INC SR UNSECURED 06/16 0.95
6/1/2016
0.95%
**
4,586,857

BAYER US FINANCE LLC COMPANY GUAR 144A 10/16 VAR
11/18/2016
0.57%
**
2,647,195

BAYER US FINANCE LLC COMPANY GUAR 144A 10/17 1.5
10/6/2017
1.50%
**
4,071,523

BAYER US FINANCE LLC COMPANY GUAR 144A 10/19 2.375
10/8/2019
2.38%
**
205,070

BB+T CORPORATION SR UNSECURED 01/18 1.45
1/12/2018
1.45%
**
7,126,279

BB+T CORPORATION SR UNSECURED 01/20 2.45
1/15/2020
2.45%
**
12,750,217

BB+T CORPORATION SR UNSECURED 04/16 3.95
4/29/2016
3.95%
**
311,574

BB+T CORPORATION SR UNSECURED 06/18 2.05
6/19/2018
2.05%
**
6,936,497

BB+T CORPORATION SR UNSECURED 06/20 2.625
6/29/2020
2.63%
**
2,380,830

BB+T CORPORATION SR UNSECURED 08/17 1.6
8/15/2017
1.60%
**
5,758,304

BB+T CORPORATION SUBORDINATED 11/19 5.25
11/1/2019
5.25%
**
61,611

BEAM SUNTORY INC COMPANY GUAR 05/17 1.875
5/15/2017
1.88%
**
461,617

BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1
11/25/2030
2.77%
**
35,352

BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1
2/25/2033
2.43%
**
3,180

BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1
2/25/2034
2.89%
**
567,899

BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1
1/25/2035
3.15%
**
110,698

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A1
3/25/2035
2.68%
**
3,203,490

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A2
3/25/2035
2.92%
**
25,257

BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2
5/25/2035
2.60%
**
1,854,046

BEAR STEARNS ASSET BACKED SECU BSABS 2004 BO1 M4
10/25/2034
1.62%
**
101,625

BEAR STEARNS ASSET BACKED SECU BSABS 2005 SD1 1A3
8/25/2043
0.82%
**
526,465

BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A
8/25/2036
5.50%
**
1,183,971

BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 1A1
10/25/2037
1.42%
**
889,553

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW12 A4
9/11/2038
5.71%
**
1,285,704


119
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T22 AM
4/12/2038
5.62%
**
380,931

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 A4
10/12/2041
5.54%
**
1,250,913

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T26 A1A
1/12/2045
5.45%
**
5,063,064

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T26 A4
1/12/2045
5.47%
**
6,019,683

BEAR STEARNS COS LLC SR UNSECURED 02/18 7.25
2/1/2018
7.25%
**
10,913,425

BEAR STEARNS COS LLC SR UNSECURED 10/17 6.4
10/2/2017
6.40%
**
5,495,589

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
1/26/2036
2.69%
**
103,012

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
12/26/2046
2.57%
**
3,022,791

BECTON DICKINSON AND CO SR UNSECURED 05/17 1.45
5/15/2017
1.45%
**
2,861,132

BECTON DICKINSON AND CO SR UNSECURED 12/17 1.8
12/15/2017
1.80%
**
13,113,518

BECTON DICKINSON AND CO SR UNSECURED 12/19 2.675
12/15/2019
2.68%
**
3,379,328

BECTON DICKINSON AND CO SR UNSECURED 12/24 3.734
12/15/2024
3.73%
**
568,393

BECTON DICKINSON AND CO SR UNSECURED 12/44 4.685
12/15/2044
4.69%
**
1,519,738

BERKSHIRE HATHAWAY ENERG SR UNSECURED 02/20 2.4
2/1/2020
2.40%
**
5,583,304

BERKSHIRE HATHAWAY ENERG SR UNSECURED 02/25 3.5
2/1/2025
3.50%
**
5,080,654

BERKSHIRE HATHAWAY ENERG SR UNSECURED 04/18 5.75
4/1/2018
5.75%
**
9,215,951

BERKSHIRE HATHAWAY ENERG SR UNSECURED 05/17 1.1
5/15/2017
1.10%
**
203,068

BG ENERGY CAPITAL PLC COMPANY GUAR 144A 10/16 2.875
10/15/2016
2.88%
**
207,152

BHP BILLITON FIN USA LTD COMPANY GUAR 02/17 1.625
2/24/2017
1.63%
**
2,633,248

BHP BILLITON FIN USA LTD COMPANY GUAR 04/19 6.5
4/1/2019
6.50%
**
524,871

BHP BILLITON FIN USA LTD COMPANY GUAR 09/18 2.05
9/30/2018
2.05%
**
6,087,762

BIOGEN INC SR UNSECURED 03/18 6.875
3/1/2018
6.88%
**
392,868

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 03/18 1.7
3/5/2018
1.70%
**
4,659,161

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 03/19 2.3
3/10/2019
2.30%
**
408,128

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 09/16 1.55
11/18/2016
1.55%
**
446,499

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 09/24 3.25
9/8/2024
3.25%
**
20,300,856

BLACKROCK INC SR UNSECURED 12/19 5
12/10/2019
5.00%
**
436,210

BMW VEHICLE LEASE TRUST BMWLT 2015 2 A2A
11/18/2016
1.07%
**
5,512,370

BMW VEHICLE LEASE TRUST BMWLT 2015 2 A4
2/20/2019
1.55%
**
1,271,386

BNP PARIBAS COMPANY GUAR 03/17 1.375
11/18/2016
1.38%
**
2,815,196

BNP PARIBAS COMPANY GUAR 05/17 VAR
11/18/2016
0.80%
**
3,623,605

BNP PARIBAS SR UNSECURED 08/18 2.7
8/20/2018
2.70%
**
3,513,168

BNP PARIBAS SR UNSECURED 09/17 2.375
9/14/2017
2.38%
**
5,516,185

BOARDWALK PIPELINES LLC COMPANY GUAR 02/17 5.5
2/1/2017
5.50%
**
259,566

BOSTON PROPERTIES LP SR UNSECURED 11/18 3.7
11/15/2018
3.70%
**
302,533

BOSTON SCIENTIFIC CORP SR UNSECURED 01/20 6
1/15/2020
6.00%
**
5,384,274

BOSTON SCIENTIFIC CORP SR UNSECURED 05/20 2.85
5/15/2020
2.85%
**
1,055,045

BOTTLING GROUP LLC COMPANY GUAR 04/16 5.5
4/1/2016
5.50%
**
259,057

BP CAPITAL MARKETS PLC COMPANY GUAR 02/18 1.674
2/13/2018
1.67%
**
4,477,002

BP CAPITAL MARKETS PLC COMPANY GUAR 03/25 3.506
3/17/2025
3.51%
**
1,974,722

BP CAPITAL MARKETS PLC COMPANY GUAR 05/18 1.375
5/10/2018
1.38%
**
216,144

BP CAPITAL MARKETS PLC COMPANY GUAR 05/22 3.245
5/6/2022
3.25%
**
13,053,944

BP CAPITAL MARKETS PLC COMPANY GUAR 10/20 4.5
10/1/2020
4.50%
**
2,632,117

BP CAPITAL MARKETS PLC COMPANY GUAR 11/16 2.248
11/1/2016
2.25%
**
2,398,878

BP CAPITAL MARKETS PLC COMPANY GUAR 11/16 2.248
11/18/2016
2.25%
**
4,206,474

BP CAPITAL MARKETS PLC COMPANY GUAR 11/16 VAR
11/18/2016
0.76%
**
3,158,963

BP CAPITAL MARKETS PLC COMPANY GUAR 11/17 1.375
11/6/2017
1.38%
**
1,018,691


120
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

BP CAPITAL MARKETS PLC COMPANY GUAR 11/21 3.561
11/1/2021
3.56%
**
674,168

BPCE SA COMPANY GUAR 01/18 1.625
1/26/2018
1.63%
**
509,042

BPCE SA COMPANY GUAR 02/17 1.625
2/10/2017
1.63%
**
3,516,911

BPCE SA COMPANY GUAR 04/16 1.7
11/18/2016
1.70%
**
749,712

BPCE SA COMPANY GUAR 04/24 4
4/15/2024
4.00%
**
21,055,690

BPCE SA SR UNSECURED 07/17 1.6125
7/25/2017
1.61%
**
1,667,965

BPCE SA SUBORDINATED 144A 07/24 4.625
7/11/2024
4.63%
**
5,782,092

BRANCH BANKING + TRUST SR UNSECURED 10/16 1.45
11/18/2016
1.45%
**
840,268

BRISTOL MYERS SQUIBB CO SR UNSECURED 08/17 0.875
8/1/2017
0.88%
**
2,341,688

BRITISH COLUMBIA PROV OF SR UNSECURED 10/22 2
10/23/2022
2.00%
**
5,613,987

BRITISH TELECOM PLC SR UNSECURED 01/18 5.95
1/15/2018
5.95%
**
4,608,384

BRITISH TELECOM PLC SR UNSECURED 02/19 2.35
2/14/2019
2.35%
**
3,945,395

BRITISH TELECOM PLC SR UNSECURED 06/16 1.625
6/28/2016
1.63%
**
1,538,972

BRIXMOR OPERATING PART SR UNSECURED 02/25 3.85
2/1/2025
3.85%
**
2,190,288

BUCKEYE OH TOBACCO SETTLEMENT BUCGEN 06/47 FIXED OID 5.875
6/1/2047
5.88%
**
17,228,654

BUCKEYE PARTNERS LP SR UNSECURED 01/18 6.05
1/15/2018
6.05%
**
595,709

BUCKEYE PARTNERS LP SR UNSECURED 11/18 2.65
11/15/2018
2.65%
**
192,233

BUNGE LIMITED FINANCE CO COMPANY GUAR 03/16 4.1
3/15/2016
4.10%
**
308,989

BUNGE LIMITED FINANCE CO COMPANY GUAR 06/17 3.2
6/15/2017
3.20%
**
103,475

BURLINGTN NORTH SANTA FE SR UNSECURED 03/18 5.75
3/15/2018
5.75%
**
1,410,445

BURLINGTN NORTH SANTA FE SR UNSECURED 03/23 3
3/15/2023
3.00%
**
4,544,184

BURLINGTN NORTH SANTA FE SR UNSECURED 05/17 5.65
5/1/2017
5.65%
**
371,789

BURLINGTN NORTH SANTA FE SR UNSECURED 06/21 4.1
6/1/2021
4.10%
**
162,004

BURLINGTN NORTH SANTA FE SR UNSECURED 09/23 3.85
9/1/2023
3.85%
**
10,642,888

BURLINGTN NORTH SANTA FE SR UNSECURED 09/24 3.4
9/1/2024
3.40%
**
30,770

BURLINGTN NORTH SANTA FE SR UNSECURED 09/44 4.55
9/1/2044
4.55%
**
3,521,573

CABELA S MASTER CREDIT CARD TR CABMT 2015 1A A1
3/15/2023
2.26%
**
5,710,455

CAISSE CENTRALE DESJARDN SR UNSECURED 144A 01/18 VAR
11/18/2016
0.99%
**
1,609,064

CAISSE CENTRALE DESJARDN SR UNSECURED REGS 09/17 1.55
9/12/2017
1.55%
**
20,360,387

CALIFORNIA REPUBLIC AUTO RECEI CRART 2012 1 A 144A
8/15/2017
1.18%
**
13,446

CALIFORNIA ST CAS 03/19 FIXED 6.2
3/1/2019
6.20%
**
580,408

CALIFORNIA ST CAS 03/22 FIXED 6.65
3/1/2022
6.65%
**
13,191,305

CALIFORNIA ST CAS 03/40 FIXED 7.625
3/1/2040
7.63%
**
746,123

CALIFORNIA ST CAS 04/16 FIXED 5.95
4/1/2016
5.95%
**
519,192

CALIFORNIA ST CAS 04/34 FIXED 7.5
4/1/2034
7.50%
**
1,108,127

CALIFORNIA ST CAS 10/19 FIXED 6.2
10/1/2019
6.20%
**
2,115,347

CAMERON INTERNATIONAL CO SR UNSECURED 06/24 3.7
6/15/2024
3.70%
**
500,470

CANADIAN IMPERIAL BANK SR UNSECURED 01/18 1.55
1/23/2018
1.55%
**
255,057

CANADIAN NAT RES LTD SR UNSECURED 03/16 VAR
11/18/2016
0.98%
**
3,246,003

CANADIAN NATL RAILWAY SR UNSECURED 03/19 5.55
3/1/2019
5.55%
**
3,573,441

CANADIAN NATL RAILWAY SR UNSECURED 06/16 5.8
11/18/2016
5.80%
**
1,050,478

CANADIAN NATL RAILWAY SR UNSECURED 07/18 6.8
7/15/2018
6.80%
**
701,452

CANADIAN NATL RAILWAY SR UNSECURED 12/16 1.45
12/15/2016
1.45%
**
308,016

CANADIAN NATL RESOURCES SR UNSECURED 01/18 1.75
1/15/2018
1.75%
**
3,053,749

CANADIAN NATL RESOURCES SR UNSECURED 02/18 5.9
2/1/2018
5.90%
**
416,067

CANADIAN NATL RESOURCES SR UNSECURED 05/17 5.7
5/15/2017
5.70%
**
1,412,898


121
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CANADIAN PACIFIC RR CO SR UNSECURED 02/25 2.9
2/1/2025
2.90%
**
1,446,822

CANADIAN PACIFIC RR CO SR UNSECURED 05/18 6.5
5/15/2018
6.50%
**
269,040

CANADIAN PACIFIC RR CO SR UNSECURED 05/19 7.25
5/15/2019
7.25%
**
3,416,269

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 3 A3
12/20/2017
1.31%
**
2,729,431

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 3 A3
11/18/2016
1.31%
**
3,459,028

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 4 A3
3/20/2018
1.09%
**
3,864,198

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A2
11/18/2016
0.96%
**
370,539

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A3
6/20/2018
1.32%
**
1,136,994

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A3
11/18/2016
1.32%
**
2,154,377

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 2 A4
10/22/2018
1.62%
**
4,337,908

CAPITAL AUTO RECEIVABLES ASSET AFIN 2015 1 A3
6/20/2019
1.61%
**
4,700,317

CAPITAL AUTO RECEIVABLES ASSET AFIN 2015 4 A2
3/20/2019
1.62%
**
691,867

CAPITAL ONE BANK USA NA SR UNSECURED 11/18 2.15
11/21/2018
2.15%
**
7,583,504

CAPITAL ONE FINANCIAL CO SR UNSECURED 02/17 5.25
2/21/2017
5.25%
**
9,004,917

CAPITAL ONE FINANCIAL CO SR UNSECURED 04/19 2.45
4/24/2019
2.45%
**
3,079,730

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/16 3.15
7/15/2016
3.15%
**
775,632

CAPITAL ONE FINANCIAL CO SR UNSECURED 09/17 6.75
9/15/2017
6.75%
**
219,871

CAPITAL ONE MULTI ASSET EXECUT COMET 2015 A1 A1
1/15/2021
1.39%
**
9,170,159

CAPITAL ONE MULTI ASSET EXECUT COMET 2015 A5 A5
5/17/2021
1.60%
**
7,710,374

CAPITAL ONE MULTI ASSET EXECUT COMET 2015 A7 A7
8/16/2021
1.45%
**
3,666,681

CAPITAL ONE NA SR UNSECURED 02/18 1.65
2/5/2018
1.65%
**
380,462

CAPITAL ONE NA SR UNSECURED 07/21 2.95
7/23/2021
2.95%
**
7,967,428

CAPITAL ONE NA SR UNSECURED 08/18 2.35
8/17/2018
2.35%
**
7,638,126

CARDINAL HEALTH INC SR UNSECURED 06/17 1.9
6/15/2017
1.90%
**
205,538

CARDINAL HEALTH INC SR UNSECURED 06/18 1.95
6/15/2018
1.95%
**
2,338,418

CARDINAL HEALTH INC SR UNSECURED 12/20 4.625
12/15/2020
4.63%
**
561,244

CAREFREE PORTFOLIO TRUST CFREE 2014 CARE A 144A
11/15/2019
1.65%
**
15,431,586

CARGILL INC SR UNSECURED 144A 03/17 1.9
3/1/2017
1.90%
**
432,291

CARGILL INC SR UNSECURED 144A 11/17 6
11/27/2017
6.00%
**
385,021

CARMAX AUTO OWNER TRUST CARMX 2012 1 A4
6/15/2017
1.25%
**
412,062

CARMAX AUTO OWNER TRUST CARMX 2013 1 A3
11/18/2016
0.60%
**
413,026

CARMAX AUTO OWNER TRUST CARMX 2013 4 A3
7/16/2018
0.80%
**
639,523

CARMAX AUTO OWNER TRUST CARMX 2013 4 A3
11/18/2016
0.80%
**
2,955,426

CARMAX AUTO OWNER TRUST CARMX 2014 1 A4
7/15/2019
1.32%
**
4,377,313

CARMAX AUTO OWNER TRUST CARMX 2014 3 A2
11/18/2016
0.55%
**
2,000,721

CARMAX AUTO OWNER TRUST CARMX 2014 3 A3
6/17/2019
1.16%
**
3,062,673

CARMAX AUTO OWNER TRUST CARMX 2014 4 A2A
11/18/2016
0.67%
**
1,231,296

CARMAX AUTO OWNER TRUST CARMX 2014 4 A3
11/15/2019
1.25%
**
1,530,171

CARMAX AUTO OWNER TRUST CARMX 2015 2 A4
3/15/2021
1.80%
**
4,980,154

CARMAX AUTO OWNER TRUST CARMX 2015 3 A3
5/15/2020
1.63%
**
7,007,969

CARMAX AUTO OWNER TRUST CARMX 2015 4 A2A
11/18/2016
1.03%
**
6,564,702

CARMAX AUTO OWNER TRUST CARMX 2015 4 A3
11/16/2020
1.56%
**
3,051,565

CATERPILLAR FINANCIAL SE SR UNSECURED 09/17 5.85
9/1/2017
5.85%
**
1,207,993

CATERPILLAR FINANCIAL SE SR UNSECURED 10/18 7.05
10/1/2018
7.05%
**
290,524

CATERPILLAR FINANCIAL SE SR UNSECURED 11/17 1.25
11/6/2017
1.25%
**
663,490

CATERPILLAR FINANCIAL SE SR UNSECURED 12/19 2.25
12/1/2019
2.25%
**
4,488,847

CATERPILLAR FINL SERVICE SR UNSECURED 11/18 1.8
11/13/2018
1.80%
**
205,093


122
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CATERPILLAR INC SR UNSECURED 05/21 3.9
5/27/2021
3.90%
**
2,458,675

CATHOLIC HEALTH INITIATI SECURED 11/17 1.6
11/1/2017
1.60%
**
143,180

CATHOLIC HEALTH INITIATI UNSECURED 08/23 4.2
8/1/2023
4.20%
**
509,965

CBS CORP COMPANY GUAR 02/21 4.3
2/15/2021
4.30%
**
247,509

CBS CORP COMPANY GUAR 04/20 5.75
4/15/2020
5.75%
**
648,309

CC HOLDINGS GS V LLC/CRO SR SECURED 04/23 3.849
4/15/2023
3.85%
**
603,396

CCO SAFARI II LLC SR SECURED 144A 07/20 3.579
7/23/2020
3.58%
**
11,784,803

CCO SAFARI II LLC SR SECURED 144A 07/22 4.464
7/23/2022
4.46%
**
5,845,959

CCO SAFARI II LLC SR SECURED 144A 07/25 4.908
7/23/2025
4.91%
**
3,255,390

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD2 AM
1/15/2046
5.42%
**
508,341

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 A5
10/15/2048
5.62%
**
1,225,828

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A1A
12/11/2049
5.29%
**
2,930,566

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A4
12/11/2049
5.32%
**
9,080,395

CDGJ COMMERCIAL MORTGAGE TRUST CDGJ 2014 BXCH A 144A
12/15/2027
1.73%
**
15,274,151

CELGENE CORP SR UNSECURED 05/19 2.25
5/15/2019
2.25%
**
365,653

CELGENE CORP SR UNSECURED 05/24 3.625
5/15/2024
3.63%
**
362,807

CELGENE CORP SR UNSECURED 08/17 1.9
8/15/2017
1.90%
**
205,706

CELGENE CORP SR UNSECURED 08/18 2.125
8/15/2018
2.13%
**
8,353,187

CELGENE CORP SR UNSECURED 08/18 2.3
8/15/2018
2.30%
**
309,552

CELGENE CORP SR UNSECURED 08/22 3.55
8/15/2022
3.55%
**
807,039

CELGENE CORP SR UNSECURED 08/25 3.875
8/15/2025
3.88%
**
3,061,663

CENOVUS ENERGY INC SR UNSECURED 10/19 5.7
10/15/2019
5.70%
**
869,868

CENTERPOINT ENERGY INC SR UNSECURED 05/18 6.5
5/1/2018
6.50%
**
368,928

CENTERPOINT ENERGY RESOU SR UNSECURED 05/16 6.15
5/1/2016
6.15%
**
254,801

CENTERPOINT ENERGY RESOU SR UNSECURED 05/16 6.15
11/18/2016
6.15%
**
876,582

CENTERPOINT ENERGY RESOU SR UNSECURED 11/17 6.125
11/1/2017
6.13%
**
270,132

CF INDUSTRIES INC COMPANY GUAR 05/18 6.875
5/1/2018
6.88%
**
904,886

CF INDUSTRIES INC COMPANY GUAR 06/23 3.45
6/1/2023
3.45%
**
472,115

CHARLES SCHWAB CORP SR UNSECURED 03/18 1.5
3/10/2018
1.50%
**
4,858,855

CHASE ISSUANCE TRUST CHAIT 2007 C1 C1
4/15/2019
0.79%
**
3,295,962

CHASE ISSUANCE TRUST CHAIT 2012 A4 A4
8/16/2021
1.58%
**
605,513

CHASE ISSUANCE TRUST CHAIT 2015 A2 A2
2/18/2020
1.59%
**
9,221,056

CHASE ISSUANCE TRUST CHAIT 2015 A4 A4
4/15/2022
1.84%
**
10,472,626

CHASE ISSUANCE TRUST CHAIT 2015 A5 A5
4/15/2020
1.36%
**
8,354,522

CHASE ISSUANCE TRUST CHAIT 2015 A7 A7
7/15/2020
1.62%
**
6,127,322

CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1
2/25/2037
2.70%
**
113,424

CHEVRON CORP SR UNSECURED 03/18 1.365
3/2/2018
1.37%
**
5,539,951

CHEVRON CORP SR UNSECURED 03/19 4.95
3/3/2019
4.95%
**
301,436

CHEVRON CORP SR UNSECURED 03/20 1.961
3/3/2020
1.96%
**
504,892

CHEVRON CORP SR UNSECURED 06/16 0.889
6/24/2016
0.89%
**
1,866,448

CHEVRON CORP SR UNSECURED 06/18 1.718
6/24/2018
1.72%
**
305,841

CHEVRON CORP SR UNSECURED 11/18 1.79
11/16/2018
1.79%
**
3,101,126

CHEVRON PHILLIPS CHEM CO SR UNSECURED 144A 05/18 1.7
5/1/2018
1.70%
**
1,993,489

CHICAGO IL CHI 01/33 FIXED OID 7.375
1/1/2033
7.38%
**
1,732,521

CHICAGO IL CHI 01/42 FIXED OID 7.75
1/1/2042
7.75%
**
2,799,875

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.90%
**
476,373

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.90%
**
595,466


123
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CHRYSLER CAPITAL AUTO RECEIVAB CCART 2015 BA A2 144A
12/17/2018
1.46%
**
12,279,814

CHUBB CORP COMPANY GUAR 05/18 5.75
5/15/2018
5.75%
**
630,158

CHUBB INA HOLDINGS INC COMPANY GUAR 03/23 2.7
3/13/2023
2.70%
**
1,041,006

CHUBB INA HOLDINGS INC COMPANY GUAR 05/26 3.35
5/3/2026
3.35%
**
490,351

CHUBB INA HOLDINGS INC COMPANY GUAR 11/20 2.3
11/3/2020
2.30%
**
4,781,478

CHUBB INA HOLDINGS INC COMPANY GUAR 11/22 2.875
11/3/2022
2.88%
**
3,899,923

CIGNA CORP SR UNSECURED 02/22 4
2/15/2022
4.00%
**
3,876,391

CIGNA CORP SR UNSECURED 03/17 5.375
3/15/2017
5.38%
**
1,030,496

CIGNA CORP SR UNSECURED 12/20 4.375
12/15/2020
4.38%
**
1,031,264

CISCO SYSTEMS INC SR UNSECURED 02/16 5.5
2/22/2016
5.50%
**
577,493

CISCO SYSTEMS INC SR UNSECURED 02/19 4.95
2/15/2019
4.95%
**
195,964

CISCO SYSTEMS INC SR UNSECURED 03/17 1.1
3/3/2017
1.10%
**
5,361,666

CISCO SYSTEMS INC SR UNSECURED 03/19 2.125
3/1/2019
2.13%
**
542,587

CISCO SYSTEMS INC SR UNSECURED 06/18 1.65
6/15/2018
1.65%
**
4,085,077

CIT EQUIPMENT COLLATERAL CITEC 2013 VT1 A3 144A
7/20/2020
1.13%
**
875,613

CIT EQUIPMENT COLLATERAL CITEC 2014 VT1 A2 144A
5/22/2017
0.86%
**
8,065,722

CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 1 AF5
2/25/2033
7.21%
**
444,212

CITIBANK CREDIT CARD ISSUANCE CCCIT 2007 A8 A8
9/20/2019
5.65%
**
8,242,715

CITIBANK CREDIT CARD ISSUANCE CCCIT 2008 A1 A1
2/7/2020
5.35%
**
8,688,532

CITIBANK CREDIT CARD ISSUANCE CCCIT 2013 A6 A6
9/7/2018
1.32%
**
1,016,436

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A1 A1
1/23/2023
2.88%
**
2,406,651

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A2 A2
2/22/2019
1.02%
**
2,657,849

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A2 A2
11/18/2016
1.02%
**
3,216,708

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A6 A6
7/15/2021
2.15%
**
14,620,425

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A8 A8
4/9/2020
1.73%
**
2,259,624

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2006 C4 A1A
3/15/2049
5.81%
**
961,534

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2006 C5 A1A
10/15/2049
5.43%
**
614,373

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 A1A
12/10/2049
5.71%
**
8,302,968

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 A4
12/10/2049
5.71%
**
5,543,318

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC27 A2
2/10/2048
2.69%
**
6,212,275

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC27 A3
2/10/2048
3.06%
**
1,957,200

CITIGROUP INC SR UNSECURED 02/18 1.8
2/5/2018
1.80%
**
1,270,874

CITIGROUP INC SR UNSECURED 02/20 2.4
2/18/2020
2.40%
**
941,825

CITIGROUP INC SR UNSECURED 03/17 VAR
3/10/2017
1.03%
**
21,773,583

CITIGROUP INC SR UNSECURED 04/16 1.3
4/1/2016
1.30%
**
6,156,896

CITIGROUP INC SR UNSECURED 04/16 VAR
4/1/2016
1.12%
**
7,684,262

CITIGROUP INC SR UNSECURED 04/18 1.7
4/27/2018
1.70%
**
11,692,649

CITIGROUP INC SR UNSECURED 04/19 2.55
4/8/2019
2.55%
**
771,649

CITIGROUP INC SR UNSECURED 05/18 1.75
5/1/2018
1.75%
**
1,320,849

CITIGROUP INC SR UNSECURED 07/45 4.65
7/30/2045
4.65%
**
270,366

CITIGROUP INC SR UNSECURED 09/18 2.5
9/26/2018
2.50%
**
6,325,657

CITIGROUP INC SR UNSECURED 10/23 3.875
10/25/2023
3.88%
**
1,323,688

CITIGROUP INC SR UNSECURED 11/17 1.85
11/24/2017
1.85%
**
16,012,956

CITIGROUP INC SR UNSECURED 12/18 2.05
12/7/2018
2.05%
**
17,744,836

CITIGROUP INC SUBORDINATED 05/23 3.5
5/15/2023
3.50%
**
5,762,939

CITIGROUP INC SUBORDINATED 06/25 4.4
6/10/2025
4.40%
**
1,914,676

CITIGROUP INC SUBORDINATED 09/25 5.5
9/13/2025
5.50%
**
1,946,544


124
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CITIGROUP INC SUBORDINATED 09/27 4.45
9/29/2027
4.45%
**
1,771,181

CITIGROUP INC SUBORDINATED 11/26 4.3
11/20/2026
4.30%
**
4,353,891

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1
9/25/2035
2.43%
**
37,006

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 AR4 1A1A 144A
11/25/2038
2.74%
**
327,466

CITIGROUP TBA CASH COLLATERAL
 
 
**
271,547

CITIZENS BANK NA/RI SR UNSECURED 12/17 1.6
12/4/2017
1.60%
**
3,119,563

CLEVELAND ELEC ILLUMINAT SR SECURED 11/17 7.88
11/1/2017
7.88%
**
169,126

CLEVELAND ELECTRIC ILLUM 1ST MORTGAGE 11/18 8.875
11/15/2018
8.88%
**
390,376

CLEVELAND ELECTRIC ILLUM SR UNSECURED 04/17 5.7
4/1/2017
5.70%
**
55,191

CME GROUP INC SR UNSECURED 09/22 3
9/15/2022
3.00%
**
10,313,190

CMS ENERGY CORP SR UNSECURED 02/18 5.05
2/15/2018
5.05%
**
340,911

CMS ENERGY CORP SR UNSECURED 07/17 6.55
7/17/2017
6.55%
**
164,134

CNA FINANCIAL CORP SR UNSECURED 01/18 6.95
1/15/2018
6.95%
**
195,167

CNA FINANCIAL CORP SR UNSECURED 08/16 6.5
8/15/2016
6.50%
**
105,510

CNH EQUIPMENT TRUST CNH 2012 C A3
12/15/2017
0.57%
**
61,705

CNH EQUIPMENT TRUST CNH 2012 D A3
4/16/2018
0.65%
**
897,749

CNH EQUIPMENT TRUST CNH 2013 A A3
6/15/2018
0.69%
**
547,523

CNH EQUIPMENT TRUST CNH 2013 C A3
8/15/2018
1.02%
**
511,544

CNH EQUIPMENT TRUST CNH 2014 A A3
5/15/2019
0.84%
**
1,763,384

CNH EQUIPMENT TRUST CNH 2014 B A3
5/15/2019
0.91%
**
1,020,519

COBALT CMBS COMMERCIAL MORTGAG CWCI 2007 C2 A1A
4/15/2047
5.48%
**
1,962,381

COCA COLA CO/THE SR UNSECURED 09/16 1.8
9/1/2016
1.80%
**
6,249,557

COMCAST CABLE COMMUNICAT COMPANY GUAR 05/17 8.875
5/1/2017
8.88%
**
1,595,424

COMCAST CORP COMPANY GUAR 01/17 6.5
1/15/2017
6.50%
**
4,150,515

COMCAST CORP COMPANY GUAR 02/18 5.875
2/15/2018
5.88%
**
1,791,303

COMCAST CORP COMPANY GUAR 02/25 3.375
2/15/2025
3.38%
**
2,068,309

COMCAST CORP COMPANY GUAR 05/18 5.7
5/15/2018
5.70%
**
896,066

COMCAST CORP COMPANY GUAR 06/16 4.95
6/15/2016
4.95%
**
104,318

COMCAST CORP COMPANY GUAR 07/19 5.7
7/1/2019
5.70%
**
114,891

COMERICA INC SR UNSECURED 05/19 2.125
5/23/2019
2.13%
**
4,220,726

COMM MORTGAGE TRUST COMM 2012 CR3 A3
10/15/2045
2.82%
**
101,307

COMM MORTGAGE TRUST COMM 2013 CR12 AM
10/10/2046
4.30%
**
637,045

COMM MORTGAGE TRUST COMM 2013 CR12 B
10/10/2046
4.76%
**
282,258

COMM MORTGAGE TRUST COMM 2013 CR12 C
10/10/2046
5.08%
**
127,440

COMM MORTGAGE TRUST COMM 2013 CR8 A4
6/10/2046
3.33%
**
945,537

COMM MORTGAGE TRUST COMM 2013 LC6 A3
1/10/2046
2.67%
**
3,517,254

COMM MORTGAGE TRUST COMM 2013 WWP A2 144A
3/10/2031
3.42%
**
165,365

COMM MORTGAGE TRUST COMM 2014 277P A 144A
8/10/2049
3.61%
**
907,847

COMM MORTGAGE TRUST COMM 2014 BBG A 144A
3/15/2029
1.13%
**
608,216

COMM MORTGAGE TRUST COMM 2014 CR15 A2
2/10/2047
2.93%
**
4,372,476

COMM MORTGAGE TRUST COMM 2014 CR21 A2
12/10/2047
3.10%
**
12,354,654

COMM MORTGAGE TRUST COMM 2014 FL5 A 144A
10/15/2031
1.70%
**
25,444,554

COMM MORTGAGE TRUST COMM 2014 PAT A 144A
8/13/2027
1.12%
**
599,523

COMM MORTGAGE TRUST COMM 2014 UBS6 A4
12/10/2047
3.38%
**
8,474,081

COMM MORTGAGE TRUST COMM 2015 CR22 A2
3/10/2048
2.86%
**
5,188,319

COMM MORTGAGE TRUST COMM 2015 CR24 A4
8/10/2055
3.43%
**
7,689,336

COMM MORTGAGE TRUST COMM 2015 DC1 A2
2/10/2048
2.87%
**
5,618,818


125
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

COMMONWEALTH BK AUSTR NY SR UNSECURED 03/17 1.125
3/13/2017
1.13%
**
3,161,941

COMMONWEALTH BK AUSTR NY SR UNSECURED 09/17 1.4
9/8/2017
1.40%
**
3,629,778

COMMONWEALTH EDISON CO 1ST MORTGAGE 03/18 5.8
3/15/2018
5.80%
**
111,041

COMMONWEALTH EDISON CO 1ST MORTGAGE 08/20 4
8/1/2020
4.00%
**
200,444

COMMONWEALTH EDISON CO 1ST MORTGAGE 09/16 1.95
9/1/2016
1.95%
**
154,022

COMMONWEALTH EDISON CO 1ST MORTGAGE 09/17 6.15
9/15/2017
6.15%
**
291,531

COMPASS BANK SR UNSECURED 09/17 1.85
9/29/2017
1.85%
**
6,540,649

CONAGRA FOODS INC SR UNSECURED 01/16 1.3
1/25/2016
1.30%
**
3,586,990

CONAGRA FOODS INC SR UNSECURED 01/18 1.9
1/25/2018
1.90%
**
208,899

CONOCOPHILLIPS CANADA COMPANY GUAR 10/16 5.625
10/15/2016
5.63%
**
190,508

CONOCOPHILLIPS COMPANY COMPANY GUAR 05/18 1.5
5/15/2018
1.50%
**
2,263,329

CONOCOPHILLIPS COMPANY COMPANY GUAR 12/17 1.05
12/15/2017
1.05%
**
201,226

CONOCOPHILLIPS COMPANY COMPANY GUAR 12/22 2.4
12/15/2022
2.40%
**
837,756

CONOCOPHILLIPS COMPANY GUAR 01/20 6
1/15/2020
6.00%
**
296,824

CONOCOPHILLIPS COMPANY GUAR 02/19 5.75
2/1/2019
5.75%
**
160,820

CONSOLIDATED EDISON CO O SR UNSECURED 12/45 4.5
12/1/2045
4.50%
**
985,423

CONSUMERS ENERGY CO 1ST MORTGAGE 05/22 2.85
5/15/2022
2.85%
**
304,347

CONSUMERS ENERGY CO 1ST MORTGAGE 08/16 5.5
8/15/2016
5.50%
**
88,359

CONTINENTAL RESOURCES COMPANY GUAR 06/24 3.8
6/1/2024
3.80%
**
721,830

CONTINENTAL RESOURCES COMPANY GUAR 09/22 5
9/15/2022
5.00%
**
60,458

CONTL AIRLINES 2007 1 PASS THRU CE 10/23 5.983
10/19/2023
5.98%
**
1,726,157

CONTL AIRLINES 2012 1 A PASS THRU CE 10/25 4.15
10/11/2025
4.15%
**
304,254

CONTL AIRLINES 2012 2 A PASS THRU CE 04/26 4
4/29/2026
4.00%
**
287,343

COOPERATIEVE RABOBANK UA COMPANY GUAR 01/17 3.375
1/19/2017
3.38%
**
1,047,488

CORE INDUSTRIAL TRUST CORE 2015 TEXW D 144A
2/10/2034
3.85%
**
1,711,338

CORNING INC SR UNSECURED 05/18 1.5
5/8/2018
1.50%
**
3,302,848

COSTCO WHOLESALE CORP SR UNSECURED 12/17 1.125
12/15/2017
1.13%
**
4,487,327

COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J7 2A1
9/25/2034
1.20%
**
18,391

COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A
7/20/2046
0.61%
**
202,877

COUNTRYWIDE ASSET BACKED CERTI CWL 2001 BC3 A
12/25/2031
0.70%
**
185,215

COUNTRYWIDE ASSET BACKED CERTI CWL 2004 5 2A
10/25/2034
0.92%
**
9,226,448

COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A1
12/25/2034
0.96%
**
3,345,385

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 2A2
10/25/2047
1.22%
**
5,374,452

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A4W
4/25/2047
5.32%
**
12,666,831

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A
2/25/2037
0.62%
**
339,575

COUNTRYWIDE HOME LOANS CWHL 2004 R2 1AF1 144A
11/25/2034
0.84%
**
137,882

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1
4/25/2035
2.39%
**
1,137,867

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A3
4/25/2035
2.39%
**
144,472

COVENTRY HEALTH CARE INC SR UNSECURED 03/17 5.95
3/15/2017
5.95%
**
172,170

COVENTRY HEALTH CARE INC SR UNSECURED 06/21 5.45
6/15/2021
5.45%
**
5,178,053

COVIDIEN INTL FINANCE SA COMPANY GUAR 06/20 4.2
6/15/2020
4.20%
**
219,424

COVIDIEN INTL FINANCE SA COMPANY GUAR 06/23 2.95
6/15/2023
2.95%
**
196,648

COVIDIEN INTL FINANCE SA COMPANY GUAR 10/17 6
10/15/2017
6.00%
**
220,759

COX COMMUNICATIONS INC SR UNSECURED 144A 12/16 5.875
12/1/2016
5.88%
**
376,084

CPS AUTO TRUST CPS 2012 C A 144A
12/16/2019
1.82%
**
592,536

CPS AUTO TRUST CPS 2012 D A 144A
3/16/2020
1.48%
**
175,325

CPS AUTO TRUST CPS 2013 A A 144A
6/15/2020
1.31%
**
252,926


126
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

CPS AUTO TRUST CPS 2013 D A 144A
7/16/2018
1.54%
**
101,338

CPS AUTO TRUST CPS 2014 A A 144A
8/15/2018
1.21%
**
180,173

CPS AUTO TRUST CPS 2014 C A 144A
2/15/2019
1.31%
**
1,481,531

CPS AUTO TRUST CPS 2014 D A 144A
4/15/2019
1.49%
**
1,404,450

CPS AUTO TRUST CPS 2015 A A 144A
7/15/2019
1.53%
**
398,062

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2013 2A A 144A
4/15/2021
1.50%
**
397,164

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2014 2A A 144A
3/15/2022
1.88%
**
1,472,715

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2015 2A A 144A
2/15/2023
2.40%
**
820,586

CREDIT AGRICOLE LONDON SR UNSECURED 144A 06/20 VAR
6/10/2020
1.46%
**
13,292,571

CREDIT AGRICOLE SA JR SUBORDINA 144A 10/49 VAR
10/29/2049
8.38%
**
3,385,624

CREDIT AGRICOLE SA SUBORDINATED REGS 09/33 VAR
9/19/2033
8.13%
**
225,871

CREDIT BASED ASSET SERVICING A CBASS 2006 CB2 AF4
12/25/2036
3.55%
**
653,918

CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 8 6A1
12/25/2019
4.50%
**
193,348

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C1 AJ
2/15/2039
5.46%
**
4,030,005

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C2 A1A
3/15/2039
5.66%
**
9,828,505

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C2 A3
3/15/2039
5.66%
**
260,909

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C3 A1A
6/15/2038
5.82%
**
2,404,090

CREDIT SUISSE MORTGAGE TRUST CSMC 2009 RR3 A5A 144A
12/15/2043
5.34%
**
940,580

CREDIT SUISSE MORTGAGE TRUST CSMC 2010 RR5 2A 144A
12/16/2043
5.34%
**
2,613,786

CREDIT SUISSE MORTGAGE TRUST CSMC 2014 TIKI A 144A
9/15/2038
1.28%
**
2,902,355

CREDIT SUISSE MORTGAGE TRUST CSMC 2014 USA B 144A
9/15/2037
4.18%
**
1,845,498

CREDIT SUISSE MORTGAGE TRUST CSMC 2014 USA D 144A
9/15/2037
4.37%
**
1,697,108

CREDIT SUISSE NEW YORK SR UNSECURED 01/18 1.75
1/29/2018
1.75%
**
510,913

CREDIT SUISSE NEW YORK SR UNSECURED 04/18 1.7
4/27/2018
1.70%
**
15,372,115

CREDIT SUISSE NEW YORK SR UNSECURED 05/17 1.375
5/26/2017
1.38%
**
4,718,910

CREDIT SUISSE NEW YORK SR UNSECURED 08/20 4.375
8/5/2020
4.38%
**
1,331,349

CREDIT SUISSE NEW YORK SUBORDINATED 02/18 6
2/15/2018
6.00%
**
1,029,620

CREDIT SUISSE SEC (USD) LLC TBA CASH COLLATERAL
 
 
**
368,894

CSX CORP SR UNSECURED 02/19 7.375
2/1/2019
7.38%
**
2,257,835

CSX CORP SR UNSECURED 03/18 6.25
3/15/2018
6.25%
**
167,265

CSX CORP SR UNSECURED 05/17 5.6
5/1/2017
5.60%
**
2,128,701

CSX CORP SR UNSECURED 11/23 3.7
11/1/2023
3.70%
**
157,134

CVS HEALTH CORP SR UNSECURED 05/21 4.125
5/15/2021
4.13%
**
270,994

CVS HEALTH CORP SR UNSECURED 06/17 5.75
6/1/2017
5.75%
**
390,586

CVS HEALTH CORP SR UNSECURED 07/20 2.8
7/20/2020
2.80%
**
13,365,557

CVS HEALTH CORP SR UNSECURED 07/25 3.875
7/20/2025
3.88%
**
8,167,643

CVS HEALTH CORP SR UNSECURED 12/16 1.2
12/5/2016
1.20%
**
3,074,661

CVS HEALTH CORP SR UNSECURED 12/18 2.25
12/5/2018
2.25%
**
422,156

CVS HEALTH CORP SR UNSECURED 12/22 2.75
12/1/2022
2.75%
**
3,893,669

CVS HEALTH CORP SR UNSECURED 12/23 4
12/5/2023
4.00%
**
3,194,677

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 01/18 1.875
1/11/2018
1.88%
**
5,577,901

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 03/16 3
3/28/2016
3.00%
**
308,647

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 03/18 1.65
3/2/2018
1.65%
**
2,070,425

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/16 1.45
11/18/2016
1.45%
**
3,055,909

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 1.375
8/1/2017
1.38%
**
152,316

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 VAR
11/18/2016
0.67%
**
3,430,807

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 VAR
11/18/2016
1.04%
**
559,591


127
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/18 2
8/3/2018
2.00%
**
305,361

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 09/16 2.625
9/15/2016
2.63%
**
2,831,977

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 09/19 2.25
9/3/2019
2.25%
**
201,849

DBRR TRUST DBRR 2011 C32 A3A 144A
6/17/2049
5.71%
**
5,153,793

DBRR TRUST DBRR 2013 EZ3 A 144A
12/18/2049
1.64%
**
808,726

DBUBS MORTGAGE TRUST DBUBS 2011 LC2A A2 144A
7/10/2044
3.39%
**
21,199,523

DEERE + COMPANY SR UNSECURED 06/22 2.6
6/8/2022
2.60%
**
697,151

DELMARVA PWR + LIGHT CO 1ST MORTGAGE 11/23 3.5
11/15/2023
3.50%
**
737,135

DELTA AIR LINES 2007 1 A PASS THRU CE 02/24 6.821
2/10/2024
6.82%
**
1,196,843

DEUTSCHE BANK AG LONDON SR UNSECURED 02/18 1.875
2/13/2018
1.88%
**
14,068,434

DEUTSCHE BANK AG LONDON SR UNSECURED 05/17 1.35
5/30/2017
1.35%
**
2,433,260

DEUTSCHE BANK AG LONDON SR UNSECURED 09/17 6
9/1/2017
6.00%
**
325,604

DEUTSCHE BANK AG SR UNSECURED 08/20 2.95
8/20/2020
2.95%
**
4,720,607

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 03/16 5.75
3/23/2016
5.75%
**
517,086

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 03/16 5.75
11/18/2016
5.75%
**
813,556

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 144A 03/17 2.25
3/6/2017
2.25%
**
154,663

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 144A 04/16 3.125
11/18/2016
3.13%
**
3,126,646

DEVON ENERGY CORPORATION SR UNSECURED 01/19 6.3
1/15/2019
6.30%
**
554,270

DEVON ENERGY CORPORATION SR UNSECURED 05/22 3.25
5/15/2022
3.25%
**
609,726

DEVON ENERGY CORPORATION SR UNSECURED 12/18 2.25
12/15/2018
2.25%
**
4,199,092

DIAGEO CAPITAL PLC COMPANY GUAR 05/17 1.5
5/11/2017
1.50%
**
3,698,265

DIAGEO CAPITAL PLC COMPANY GUAR 07/20 4.828
7/15/2020
4.83%
**
3,670,222

DIAGEO CAPITAL PLC COMPANY GUAR 09/16 5.5
9/30/2016
5.50%
**
316,754

DIRECTV HOLDINGS/FING COMPANY GUAR 01/18 1.75
1/15/2018
1.75%
**
418,458

DIRECTV HOLDINGS/FING COMPANY GUAR 03/17 2.4
3/15/2017
2.40%
**
309,885

DIRECTV HOLDINGS/FING COMPANY GUAR 03/22 3.8
3/15/2022
3.80%
**
1,510,684

DISCOVER BANK SR UNSECURED 02/18 2
2/21/2018
2.00%
**
7,226,213

DISCOVER BANK SR UNSECURED 08/23 4.2
8/8/2023
4.20%
**
2,617,001

DISCOVER BANK SUBORDINATED 11/19 8.7
11/18/2019
8.70%
**
446,111

DISCOVER CARD EXECUTION NOTE T DCENT 2012 A6 A6
1/18/2022
1.67%
**
4,568,460

DISCOVER CARD EXECUTION NOTE T DCENT 2015 A3 A
3/15/2021
1.45%
**
4,700,702

DISCOVER CARD EXECUTION NOTE T DCENT 2015 A4 A4
4/17/2023
2.19%
**
17,362,942

DISCOVER FINANCIAL SVS SR UNSECURED 03/25 3.75
3/4/2025
3.75%
**
969,269

DISCOVER FINANCIAL SVS SR UNSECURED 11/22 3.85
11/21/2022
3.85%
**
1,758,597

DISCOVERY COMMUNICATIONS COMPANY GUAR 05/22 3.3
5/15/2022
3.30%
**
4,830,288

DNB BOLIGKREDITT AS COVERED 144A 03/18 1.45
3/21/2018
1.45%
**
20,320,935

DOMINION GAS HLDGS LLC SR UNSECURED 11/16 1.05
11/1/2016
1.05%
**
3,070,861

DOMINION GAS HLDGS LLC SR UNSECURED 11/20 2.8
11/15/2020
2.80%
**
90,469

DOMINION GAS HLDGS LLC SR UNSECURED 12/19 2.5
12/15/2019
2.50%
**
204,720

DOMINION RESOURCES INC SR UNSECURED 03/17 1.25
3/15/2017
1.25%
**
173,121

DOMINION RESOURCES INC SR UNSECURED 05/16 VAR
11/18/2016
1.11%
**
2,217,239

DOMINION RESOURCES INC SR UNSECURED 06/18 1.9
6/15/2018
1.90%
**
862,595

DOMINION RESOURCES INC SR UNSECURED 06/18 6.4
6/15/2018
6.40%
**
1,077,064

DOMINION RESOURCES INC SR UNSECURED 09/17 1.4
9/15/2017
1.40%
**
202,836

DOW CHEMICAL CO/THE SR UNSECURED 05/19 8.55
5/15/2019
8.55%
**
652,194

DOW CHEMICAL CO/THE SR UNSECURED 11/20 4.25
11/15/2020
4.25%
**
750,838

DOW CHEMICAL CO/THE SR UNSECURED 11/21 4.125
11/15/2021
4.13%
**
150,401


128
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

DOW CHEMICAL CO/THE SR UNSECURED 11/22 3
11/15/2022
3.00%
**
671,962

DR PEPPER SNAPPLE GROUP COMPANY GUAR 01/16 2.9
1/15/2016
2.90%
**
399,783

DRIVE AUTO RECEIVABLES TRUST DRIVE 2015 AA A3 144A
7/16/2018
1.43%
**
2,560,731

DT AUTO OWNER TRUST DTAOT 2015 3A A 144A
3/15/2019
1.66%
**
1,938,450

DTE ENERGY COMPANY SR UNSECURED 06/16 6.35
6/1/2016
6.35%
**
313,950

DTE ENERGY COMPANY SR UNSECURED 12/19 2.4
12/1/2019
2.40%
**
6,846,587

DUKE ENERGY CORP SR UNSECURED 06/18 2.1
6/15/2018
2.10%
**
410,443

DUKE ENERGY CORP SR UNSECURED 10/23 3.95
10/15/2023
3.95%
**
12,654,822

DUKE ENERGY INDIANA INC 1ST MORTGAGE 07/20 3.75
7/15/2020
3.75%
**
744,356

E.I. DU PONT DE NEMOURS SR UNSECURED 01/20 4.625
1/15/2020
4.63%
**
986,473

E.I. DU PONT DE NEMOURS SR UNSECURED 02/23 2.8
2/15/2023
2.80%
**
511,191

EASTMAN CHEMICAL CO SR UNSECURED 01/20 2.7
1/15/2020
2.70%
**
5,326,558

EASTMAN CHEMICAL CO SR UNSECURED 03/25 3.8
3/15/2025
3.80%
**
4,589,659

EATON CORP COMPANY GUAR 11/17 1.5
11/2/2017
1.50%
**
1,282,977

EATON CORP COMPANY GUAR 11/22 2.75
11/2/2022
2.75%
**
4,045,512

EBAY INC SR UNSECURED 07/17 1.35
7/15/2017
1.35%
**
462,551

ECOLAB INC SR UNSECURED 01/18 1.55
1/12/2018
1.55%
**
5,087,299

ECOLAB INC SR UNSECURED 12/16 3
12/8/2016
3.00%
**
748,377

ECOLAB INC SR UNSECURED 12/16 3
11/18/2016
3.00%
**
2,687,828

ECOLAB INC SR UNSECURED 12/17 1.45
12/8/2017
1.45%
**
304,499

ECOLAB INC SR UNSECURED 12/21 4.35
12/8/2021
4.35%
**
1,340,331

EDISON INTERNATIONAL SR UNSECURED 09/17 3.75
9/15/2017
3.75%
**
190,276

ELI LILLY + CO SR UNSECURED 03/18 1.25
3/1/2018
1.25%
**
2,509,454

EMERSON ELECTRIC CO SR UNSECURED 04/19 5
4/15/2019
5.00%
**
301,802

ENABLE MIDSTREAM PARTNER LIMITD GUARA 05/19 2.4
5/15/2019
2.40%
**
500,733

ENABLE MIDSTREAM PARTNER LIMITD GUARA 05/24 3.9
5/15/2024
3.90%
**
783,323

ENCANA CORP SR UNSECURED 05/19 6.5
5/15/2019
6.50%
**
74,930

ENERGY TRANSFER PARTNERS SR UNSECURED 06/18 2.5
6/15/2018
2.50%
**
3,332,223

ENERGY TRANSFER PARTNERS SR UNSECURED 06/21 4.65
6/1/2021
4.65%
**
3,009,260

ENERGY TRANSFER PARTNERS SR UNSECURED 07/18 6.7
7/1/2018
6.70%
**
646,510

ENLINK MIDSTREAM PARTNER SR UNSECURED 04/19 2.7
4/1/2019
2.70%
**
373,981

ENLINK MIDSTREAM PARTNER SR UNSECURED 06/25 4.15
6/1/2025
4.15%
**
780,233

ENSCO PLC SR UNSECURED 03/21 4.7
3/15/2021
4.70%
**
1,089,093

ENTERGY CORP SR UNSECURED 01/17 4.7
1/15/2017
4.70%
**
5,923,150

ENTERGY CORP SR UNSECURED 09/20 5.125
9/15/2020
5.13%
**
853,358

ENTERGY GULF STATES LA 1ST MORTGAGE 05/18 6
5/1/2018
6.00%
**
223,966

ENTERGY GULF STATES LA 1ST MORTGAGE 10/24 5.59
10/1/2024
5.59%
**
466,916

ENTERGY LOUISIANA LLC 1ST MORTGAGE 11/24 5.4
11/1/2024
5.40%
**
1,398,153

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/19 6.5
1/31/2019
6.50%
**
2,596,085

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/25 3.75
2/15/2025
3.75%
**
332,743

ENTERPRISE PRODUCTS OPER COMPANY GUAR 03/23 3.35
3/15/2023
3.35%
**
1,565,951

ENTERPRISE PRODUCTS OPER COMPANY GUAR 05/18 1.65
5/7/2018
1.65%
**
4,868,293

ENTERPRISE PRODUCTS OPER COMPANY GUAR 09/17 6.3
9/15/2017
6.30%
**
2,694,622

EOG RESOURCES INC SR UNSECURED 02/16 2.5
2/1/2016
2.50%
**
235,902

EOG RESOURCES INC SR UNSECURED 02/21 4.1
2/1/2021
4.10%
**
599,952

EOG RESOURCES INC SR UNSECURED 04/25 3.15
4/1/2025
3.15%
**
1,453,796

EOG RESOURCES INC SR UNSECURED 06/19 5.625
6/1/2019
5.63%
**
297,973


129
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

EQUITY COMMONWEALTH SR UNSECURED 06/17 6.25
6/15/2017
6.25%
**
105,830

EQUITY ONE INC COMPANY GUAR 01/17 6.25
1/15/2017
6.25%
**
3,499,882

ERAC USA FINANCE LLC COMPANY GUAR 144A 03/17 2.75
3/15/2017
2.75%
**
4,086,458

ERAC USA FINANCE LLC COMPANY GUAR 144A 04/16 1.4
4/15/2016
1.40%
**
737,435

ERAC USA FINANCE LLC COMPANY GUAR 144A 04/16 1.4
11/18/2016
1.40%
**
978,378

ERAC USA FINANCE LLC COMPANY GUAR 144A 11/16 6.2
11/1/2016
6.20%
**
191,201

ERAC USA FINANCE LLC COMPANY GUAR 144A 11/24 3.85
11/15/2024
3.85%
**
4,100,359

ERP OPERATING LP SR UNSECURED 06/17 5.75
6/15/2017
5.75%
**
395,218

ERP OPERATING LP SR UNSECURED 07/19 2.375
7/1/2019
2.38%
**
124,317

EUROPEAN BK RECON + DEV SR UNSECURED 06/18 1
6/15/2018
1.00%
**
15,221,058

EUROPEAN INVESTMENT BANK SR UNSECURED 03/19 1.875
3/15/2019
1.88%
**
9,053,277

EUROPEAN INVESTMENT BANK SR UNSECURED 12/20 1.625
12/15/2020
1.63%
**
13,070,761

EXELON GENERATION CO LLC SR UNSECURED 01/20 2.95
1/15/2020
2.95%
**
530,930

EXETER AUTOMOBILE RECEIVABLES EART 2014 2A A 144A
8/15/2018
1.06%
**
129,460

EXETER AUTOMOBILE RECEIVABLES EART 2014 3A A 144A
1/15/2019
1.32%
**
1,156,095

EXPRESS SCRIPTS COMPANY GUAR 05/16 3.125
11/18/2016
3.13%
**
1,484,442

EXPRESS SCRIPTS COMPANY GUAR 06/19 7.25
6/15/2019
7.25%
**
471,532

EXPRESS SCRIPTS HOLDING COMPANY GUAR 02/17 2.65
11/18/2016
2.65%
**
2,209,496

EXPRESS SCRIPTS HOLDING COMPANY GUAR 06/17 1.25
6/2/2017
1.25%
**
2,010,301

EXTENDED STAY AMERICA TRUST ESA 2013 ESH7 A27 144A
12/5/2031
2.96%
**
328,195

EXXON MOBIL CORPORATION SR UNSECURED 03/18 VAR
11/18/2016
0.46%
**
5,035,950

FANNIE MAE 01/25 2.829
1/25/2025
2.83%
**
6,300,452

FANNIE MAE FNR 1994 15 ZK
2/25/2024
5.50%
**
681,032

FANNIE MAE FNR 1994 43 PK
2/25/2024
6.35%
**
477,260

FANNIE MAE FNR 1997 89 ZA
12/20/2027
7.00%
**
298,773

FANNIE MAE FNR 1999 6 PB
3/25/2019
6.00%
**
129,388

FANNIE MAE FNR 2001 81 HE
1/25/2032
6.50%
**
943,883

FANNIE MAE FNR 2003 21 OU
3/25/2033
5.50%
**
140,042

FANNIE MAE FNR 2003 89 DC
12/25/2032
5.00%
**
77,813

FANNIE MAE FNR 2003 92 PE
9/25/2018
4.50%
**
258,417

FANNIE MAE FNR 2004 38 FK
5/25/2034
0.77%
**
439,758

FANNIE MAE FNR 2004 80 WB
11/25/2019
4.00%
**
572,031

FANNIE MAE FNR 2005 64 PL
7/25/2035
5.50%
**
1,888,120

FANNIE MAE FNR 2007 100 YF
10/25/2037
0.97%
**
955,541

FANNIE MAE FNR 2007 114 A6
10/27/2037
0.40%
**
4,072,825

FANNIE MAE FNR 2007 73 A1
7/25/2037
0.48%
**
915,813

FANNIE MAE FNR 2008 25 EF
4/25/2038
1.37%
**
4,100,779

FANNIE MAE FNR 2009 29 LA
5/25/2039
1.65%
**
1,536,255

FANNIE MAE FNR 2009 62 HJ
5/25/2039
6.00%
**
686,510

FANNIE MAE FNR 2009 87 NF
11/25/2039
1.17%
**
1,477,069

FANNIE MAE FNR 2010 110 AE
11/25/2018
9.75%
**
560,035

FANNIE MAE FNR 2010 111 AE
4/25/2038
5.50%
**
591,389

FANNIE MAE FNR 2010 54 FT
4/25/2037
1.18%
**
4,105,911

FANNIE MAE FNR 2010 64 DM
6/25/2040
5.00%
**
694,116

FANNIE MAE FNR 2010 64 EH
10/25/2035
5.00%
**
39,114

FANNIE MAE FNR 2011 15 AB
8/25/2019
9.75%
**
190,146

FANNIE MAE FNR 2011 59 NZ
7/25/2041
5.50%
**
3,531,898


130
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FANNIE MAE FNR 2012 17 FG
3/25/2042
0.92%
**
6,079,559

FANNIE MAE FNR 2012 28 B
6/25/2039
6.50%
**
359,865

FANNIE MAE FNR 2013 23 NH
3/25/2028
2.00%
**
1,652,522

FANNIE MAE FNR 2013 83 CA
10/25/2037
3.50%
**
1,952,902

FANNIE MAE FNR 2013 9 BC
7/25/2042
6.50%
**
4,333,180

FANNIE MAE FNR 2013 9 CB
4/25/2042
5.50%
**
7,083,453

FANNIE MAE FNR 2013 90 A
11/25/2038
4.00%
**
2,588,123

FANNIE MAE FNR 2014 23 PA
8/25/2036
3.50%
**
2,705,745

FANNIE MAE NOTES 02/19 1.875
2/19/2019
1.88%
**
119,422

FANNIE MAE NOTES 03/16 0.5
3/30/2016
0.50%
**
16,396,534

FANNIE MAE NOTES 03/16 2
3/8/2016
2.00%
**
1,028,003

FANNIE MAE NOTES 03/16 2.25
3/15/2016
2.25%
**
10,283,647

FANNIE MAE NOTES 03/16 5
3/15/2016
5.00%
**
687,778

FANNIE MAE NOTES 04/16 2.375
4/11/2016
2.38%
**
3,131,232

FANNIE MAE NOTES 05/18 0.875
5/21/2018
0.88%
**
903,438

FANNIE MAE NOTES 06/17 5.375
6/12/2017
5.38%
**
3,868,960

FANNIE MAE NOTES 06/20 1.5
6/22/2020
1.50%
**
4,280,527

FANNIE MAE NOTES 07/16 0.375
7/5/2016
0.38%
**
23,441,527

FANNIE MAE NOTES 07/18 1.125
7/20/2018
1.13%
**
5,296,523

FANNIE MAE NOTES 08/17 0.875
8/28/2017
0.88%
**
19,254,978

FANNIE MAE NOTES 08/18 1.25
8/22/2018
1.25%
**
5,093,540

FANNIE MAE NOTES 09/16 1.25
9/28/2016
1.25%
**
4,627,881

FANNIE MAE NOTES 09/16 5.25
9/15/2016
5.25%
**
2,235,336

FANNIE MAE NOTES 09/24 2.625
9/6/2024
2.63%
**
8,284,195

FANNIE MAE NOTES 10/17 0.875
10/26/2017
0.88%
**
3,076,725

FANNIE MAE NOTES 10/18 1.125
10/19/2018
1.13%
**
1,140,353

FANNIE MAE NOTES 11/18 1.625
11/27/2018
1.63%
**
2,023,038

FANNIE MAE NOTES 12/18 1.125
12/14/2018
1.13%
**
7,321,488

FANNIE MAE SUBORDINATED 10/19 0.00000
10/9/2019
0.01%
**
28,988,674

FANNIEMAE ACES FNA 2002 M3 C
7/25/2020
4.92%
**
200,437

FANNIEMAE ACES FNA 2011 M2 A1
4/25/2021
2.02%
**
466,017

FANNIEMAE ACES FNA 2014 M13 AB1
8/25/2024
2.40%
**
5,959,526

FANNIEMAE ACES FNA 2014 M13 AB2
8/25/2024
2.95%
**
13,727,491

FANNIEMAE ACES FNA 2014 M5 FA
1/25/2017
0.54%
**
80,170

FANNIEMAE ACES FNA 2015 M1 AB1
9/25/2024
2.04%
**
5,980,279

FANNIEMAE ACES FNA 2015 M1 AB2
9/25/2024
2.47%
**
6,025,185

FANNIEMAE ACES FNA 2015 M12 A1
4/25/2025
2.33%
**
6,417,916

FANNIEMAE ACES FNA 2015 M15 AB1
10/25/2025
2.38%
**
2,427,714

FANNIEMAE ACES FNA 2015 M4 ABV2
7/25/2022
2.37%
**
5,247,066


131
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FANNIEMAE ACES FNA 2015 M8 AB1
1/25/2025
2.10%
**
1,987,934

FANNIEMAE STRIP FNS 404 F13
5/25/2040
1.02%
**
793,046

FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1
12/25/2042
5.74%
**
182,890

FANNIEMAE WHOLE LOAN FNW 2003 W15 1A
7/25/2043
6.50%
**
149,144

FANNIEMAE WHOLE LOAN FNW 2004 W1 2A1
12/25/2043
6.50%
**
219,252

FARMER MAC GTD TR 07 1 SECURED 144A 04/17 5.125
4/19/2017
5.13%
**
7,764,721

FBR SECURITIZATION TRUST FBRSI 2005 5 AV24
11/25/2035
1.16%
**
66,273

FED HM LN PC POOL 1B1580 FH 03/34 FLOATING VAR
3/1/2034
2.59%
**
172,002

FED HM LN PC POOL 1B8062 FH 03/41 FLOATING VAR
3/1/2041
3.10%
**
369,171

FED HM LN PC POOL 1G1381 FH 12/36 FLOATING VAR
12/1/2036
2.73%
**
88,801

FED HM LN PC POOL 1G2201 FH 09/37 FLOATING VAR
9/1/2037
2.54%
**
4,378

FED HM LN PC POOL 1G2511 FH 05/36 FLOATING VAR
5/1/2036
2.62%
**
782,068

FED HM LN PC POOL 1J1467 FH 12/36 FLOATING VAR
12/1/2036
2.62%
**
304,084

FED HM LN PC POOL 1J1492 FH 11/36 FLOATING VAR
11/1/2036
2.62%
**
205,403

FED HM LN PC POOL 2B0646 FH 07/42 FLOATING VAR
7/1/2042
2.04%
**
894,960

FED HM LN PC POOL 2B4296 FH 06/45 FLOATING VAR
6/1/2045
2.84%
**
5,938,712

FED HM LN PC POOL 360077 FH 08/19 FIXED 9
8/1/2019
9.00%
**
306

FED HM LN PC POOL 410792 FH 02/30 FLOATING VAR
2/1/2030
2.50%
**
29,642

FED HM LN PC POOL 538275 FH 12/19 FIXED 9
12/1/2019
9.00%
**
506

FED HM LN PC POOL 540880 FH 10/19 FIXED 9
10/1/2019
9.00%
**
2,831

FED HM LN PC POOL 547356 FH 03/20 FIXED 9
3/1/2020
9.00%
**
152

FED HM LN PC POOL 549820 FH 09/20 FIXED 9
9/1/2020
9.00%
**
1,236

FED HM LN PC POOL 555152 FH 07/20 FIXED 9
7/1/2020
9.00%
**
116

FED HM LN PC POOL 555248 FH 01/20 FIXED 8.5
1/1/2020
8.50%
**
1,881

FED HM LN PC POOL 555294 FH 10/17 FIXED 9
10/1/2017
9.00%
**
34

FED HM LN PC POOL 555330 FH 10/19 FIXED 10
10/1/2019
10.00%
**
1,859

FED HM LN PC POOL 846004 FH 12/24 FLOATING VAR
12/1/2024
2.70%
**
17,473

FED HM LN PC POOL 846313 FH 02/26 FLOATING VAR
2/1/2026
2.57%
**
1,184

FED HM LN PC POOL 846661 FH 02/29 FLOATING VAR
2/1/2029
2.45%
**
2,200

FED HM LN PC POOL 847153 FH 05/33 FLOATING VAR
5/1/2033
2.48%
**
281,915

FED HM LN PC POOL A00936 FG 01/19 FIXED 9
1/1/2019
9.00%
**
86

FED HM LN PC POOL A01672 FG 09/19 FIXED 9.5
9/1/2019
9.50%
**
3,543

FED HM LN PC POOL A17092 FG 12/33 FIXED 6
12/1/2033
6.00%
**
29,109

FED HM LN PC POOL A39803 FG 11/35 FIXED 5.5
11/1/2035
5.50%
**
530,286

FED HM LN PC POOL A47038 FG 09/35 FIXED 5
9/1/2035
5.00%
**
234,143

FED HM LN PC POOL A53630 FG 10/36 FIXED 6
10/1/2036
6.00%
**
115,254

FED HM LN PC POOL A62077 FG 06/37 FIXED 6
6/1/2037
6.00%
**
110,102

FED HM LN PC POOL A62378 FG 06/37 FIXED 6
6/1/2037
6.00%
**
94,567

FED HM LN PC POOL A63809 FG 08/37 FIXED 6
8/1/2037
6.00%
**
99,430

FED HM LN PC POOL A69654 FG 12/37 FIXED 6
12/1/2037
6.00%
**
58,826

FED HM LN PC POOL A71410 FG 01/38 FIXED 6
1/1/2038
6.00%
**
1,453


132
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FED HM LN PC POOL A75218 FG 04/38 FIXED 6
4/1/2038
6.00%
**
88,472

FED HM LN PC POOL A85726 FG 04/39 FIXED 5
4/1/2039
5.00%
**
257,468

FED HM LN PC POOL A90826 FG 01/40 FIXED 4.5
1/1/2040
4.50%
**
884,058

FED HM LN PC POOL A91235 FG 02/40 FIXED 4.5
2/1/2040
4.50%
**
484,366

FED HM LN PC POOL A93318 FG 08/40 FIXED 5
8/1/2040
5.00%
**
1,271,238

FED HM LN PC POOL A93625 FG 08/40 FIXED 5
8/1/2040
5.00%
**
731,318

FED HM LN PC POOL A93652 FG 09/40 FIXED 5
9/1/2040
5.00%
**
356,124

FED HM LN PC POOL A93713 FG 09/40 FIXED 5
9/1/2040
5.00%
**
945,889

FED HM LN PC POOL A94069 FG 09/40 FIXED 5
9/1/2040
5.00%
**
436,816

FED HM LN PC POOL A94113 FG 10/40 FIXED 5
10/1/2040
5.00%
**
595,003

FED HM LN PC POOL A94132 FG 09/40 FIXED 5
9/1/2040
5.00%
**
69,026

FED HM LN PC POOL A94898 FG 11/40 FIXED 4.5
11/1/2040
4.50%
**
483,686

FED HM LN PC POOL A95085 FG 11/40 FIXED 4
11/1/2040
4.00%
**
807,926

FED HM LN PC POOL A95519 FG 12/40 FIXED 4.5
12/1/2040
4.50%
**
218,766

FED HM LN PC POOL A95561 FG 12/40 FIXED 4
12/1/2040
4.00%
**
1,003,652

FED HM LN PC POOL A95575 FG 12/40 FIXED 4
12/1/2040
4.00%
**
855,587

FED HM LN PC POOL A95825 FG 12/40 FIXED 4
12/1/2040
4.00%
**
1,014,708

FED HM LN PC POOL A95831 FG 12/40 FIXED 4.5
12/1/2040
4.50%
**
1,812,180

FED HM LN PC POOL A97040 FG 02/41 FIXED 4
2/1/2041
4.00%
**
451,654

FED HM LN PC POOL C00098 FG 02/22 FIXED 8
2/1/2022
8.00%
**
5,640

FED HM LN PC POOL C00371 FG 09/24 FIXED 7
9/1/2024
7.00%
**
1,471

FED HM LN PC POOL C00516 FG 05/27 FIXED 8
5/1/2027
8.00%
**
8,954

FED HM LN PC POOL C00522 FG 05/27 FIXED 7
5/1/2027
7.00%
**
10,356

FED HM LN PC POOL C00632 FG 07/28 FIXED 7
7/1/2028
7.00%
**
11,364

FED HM LN PC POOL C00636 FG 07/28 FIXED 7.5
7/1/2028
7.50%
**
22,708

FED HM LN PC POOL C00650 FG 09/28 FIXED 7
9/1/2028
7.00%
**
5,672

FED HM LN PC POOL C00984 FG 05/30 FIXED 8
5/1/2030
8.00%
**
2,175

FED HM LN PC POOL C00987 FG 05/30 FIXED 7.5
5/1/2030
7.50%
**
2,286

FED HM LN PC POOL C01116 FG 01/31 FIXED 7.5
1/1/2031
7.50%
**
58,151

FED HM LN PC POOL C03517 FG 09/40 FIXED 4.5
9/1/2040
4.50%
**
597,858

FED HM LN PC POOL C03520 FG 09/40 FIXED 4
9/1/2040
4.00%
**
1,575,914

FED HM LN PC POOL C03545 FG 08/40 FIXED 5
8/1/2040
5.00%
**
998,123

FED HM LN PC POOL C03613 FG 11/40 FIXED 4
11/1/2040
4.00%
**
831,516

FED HM LN PC POOL C03792 FG 04/42 FIXED 3.5
4/1/2042
3.50%
**
2,455,678

FED HM LN PC POOL C04240 FG 09/42 FIXED 3.5
9/1/2042
3.50%
**
898,267

FED HM LN PC POOL C04272 FG 10/42 FIXED 3
10/1/2042
3.00%
**
2,554,500

FED HM LN PC POOL C04422 FG 12/42 FIXED 3
12/1/2042
3.00%
**
1,019,836

FED HM LN PC POOL C09022 FG 01/43 FIXED 3
1/1/2043
3.00%
**
4,937,595

FED HM LN PC POOL C09055 FG 12/43 FIXED 4
12/1/2043
4.00%
**
1,438,507

FED HM LN PC POOL C10542 FG 06/28 FIXED 7
6/1/2028
7.00%
**
11,580

FED HM LN PC POOL C12585 FG 07/28 FIXED 7
7/1/2028
7.00%
**
980


133
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FED HM LN PC POOL C14084 FG 08/28 FIXED 7
8/1/2028
7.00%
**
18,637

FED HM LN PC POOL C26742 FG 05/29 FIXED 6
5/1/2029
6.00%
**
839

FED HM LN PC POOL C80373 FG 01/26 FIXED 7.5
1/1/2026
7.50%
**
512

FED HM LN PC POOL C80379 FG 02/26 FIXED 7
2/1/2026
7.00%
**
13,098

FED HM LN PC POOL C80407 FG 06/26 FIXED 7
6/1/2026
7.00%
**
1,414

FED HM LN PC POOL C90148 FG 09/16 FIXED 7.5
9/1/2016
7.50%
**
385

FED HM LN PC POOL C91028 FG 02/27 FIXED 5
2/1/2027
5.00%
**
25,254

FED HM LN PC POOL C91161 FG 02/28 FIXED 5
2/1/2028
5.00%
**
32,381

FED HM LN PC POOL C91589 FG 11/32 FIXED 3.5
11/1/2032
3.50%
**
767,008

FED HM LN PC POOL D64290 FG 10/25 FIXED 7
10/1/2025
7.00%
**
15,879

FED HM LN PC POOL D64990 FG 03/25 FIXED 8.5
3/1/2025
8.50%
**
4,517

FED HM LN PC POOL D67104 FG 01/26 FIXED 7.5
1/1/2026
7.50%
**
83,154

FED HM LN PC POOL D70703 FG 04/26 FIXED 7
4/1/2026
7.00%
**
17,419

FED HM LN PC POOL D71569 FG 05/26 FIXED 7.5
5/1/2026
7.50%
**
673

FED HM LN PC POOL D74278 FG 08/26 FIXED 8
8/1/2026
8.00%
**
1,317

FED HM LN PC POOL D75342 FG 10/26 FIXED 8
10/1/2026
8.00%
**
835

FED HM LN PC POOL D75558 FG 10/26 FIXED 8
10/1/2026
8.00%
**
1,299

FED HM LN PC POOL D75787 FG 11/26 FIXED 8
11/1/2026
8.00%
**
4,109

FED HM LN PC POOL D77163 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
6,568

FED HM LN PC POOL D77260 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
5,301

FED HM LN PC POOL D77475 FG 01/27 FIXED 7
1/1/2027
7.00%
**
3,937

FED HM LN PC POOL D77487 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
1,753

FED HM LN PC POOL D77490 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
687

FED HM LN PC POOL D77541 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
9,480

FED HM LN PC POOL D80165 FG 05/27 FIXED 7
5/1/2027
7.00%
**
16,150

FED HM LN PC POOL D80177 FG 05/27 FIXED 7
5/1/2027
7.00%
**
13,871

FED HM LN PC POOL D91280 FG 04/16 FIXED 7.5
4/1/2016
7.50%
**
2,417

FED HM LN PC POOL D93618 FG 07/19 FIXED 6.5
7/1/2019
6.50%
**
17,329

FED HM LN PC POOL E00956 FG 03/16 FIXED 6
3/1/2016
6.00%
**
49

FED HM LN PC POOL E01007 FG 08/16 FIXED 6
8/1/2016
6.00%
**
109

FED HM LN PC POOL E01095 FG 01/17 FIXED 6
1/1/2017
6.00%
**
74

FED HM LN PC POOL E01495 FG 09/18 FIXED 6
9/1/2018
6.00%
**
1,208

FED HM LN PC POOL E04113 FG 11/27 FIXED 2.5
11/1/2027
2.50%
**
1,804,686

FED HM LN PC POOL E83637 FG 05/16 FIXED 6
5/1/2016
6.00%
**
162

FED HM LN PC POOL E83638 FG 05/16 FIXED 6
5/1/2016
6.00%
**
35

FED HM LN PC POOL E83641 FG 05/16 FIXED 6
5/1/2016
6.00%
**
13

FED HM LN PC POOL E83651 FG 05/16 FIXED 6
5/1/2016
6.00%
**
260

FED HM LN PC POOL E84225 FG 06/16 FIXED 6
6/1/2016
6.00%
**
2,682

FED HM LN PC POOL E84260 FG 07/16 FIXED 6
7/1/2016
6.00%
**
1,297

FED HM LN PC POOL E84467 FG 07/16 FIXED 6
7/1/2016
6.00%
**
26

FED HM LN PC POOL E84885 FG 08/16 FIXED 6
8/1/2016
6.00%
**
238


134
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FED HM LN PC POOL E85131 FG 09/16 FIXED 6
9/1/2016
6.00%
**
43

FED HM LN PC POOL E85346 FG 09/16 FIXED 6
9/1/2016
6.00%
**
1,763

FED HM LN PC POOL E86208 FG 11/16 FIXED 6
11/1/2016
6.00%
**
485

FED HM LN PC POOL E87156 FG 01/17 FIXED 6
1/1/2017
6.00%
**
2,530

FED HM LN PC POOL E87634 FG 01/17 FIXED 6
1/1/2017
6.00%
**
12,244

FED HM LN PC POOL E87908 FG 02/17 FIXED 6
2/1/2017
6.00%
**
849

FED HM LN PC POOL E87940 FG 02/17 FIXED 6
2/1/2017
6.00%
**
104

FED HM LN PC POOL E88001 FG 02/17 FIXED 6
2/1/2017
6.00%
**
65,193

FED HM LN PC POOL E88056 FG 02/17 FIXED 6
2/1/2017
6.00%
**
440

FED HM LN PC POOL E88063 FG 02/17 FIXED 6
2/1/2017
6.00%
**
1,351

FED HM LN PC POOL E88123 FG 02/17 FIXED 6
2/1/2017
6.00%
**
4,609

FED HM LN PC POOL E88197 FG 02/17 FIXED 6
2/1/2017
6.00%
**
59

FED HM LN PC POOL E88282 FG 03/17 FIXED 6
3/1/2017
6.00%
**
2,821

FED HM LN PC POOL E88283 FG 03/17 FIXED 6
3/1/2017
6.00%
**
157

FED HM LN PC POOL E88474 FG 03/17 FIXED 6
3/1/2017
6.00%
**
1,127

FED HM LN PC POOL E88603 FG 04/17 FIXED 6
4/1/2017
6.00%
**
729

FED HM LN PC POOL E88729 FG 04/17 FIXED 6
4/1/2017
6.00%
**
3,712

FED HM LN PC POOL E88749 FG 03/17 FIXED 6
3/1/2017
6.00%
**
733

FED HM LN PC POOL E88765 FG 03/17 FIXED 6
3/1/2017
6.00%
**
1,317

FED HM LN PC POOL E88776 FG 03/17 FIXED 6
3/1/2017
6.00%
**
143

FED HM LN PC POOL E88809 FG 04/17 FIXED 6
4/1/2017
6.00%
**
4,839

FED HM LN PC POOL E88884 FG 04/17 FIXED 6
4/1/2017
6.00%
**
2,419

FED HM LN PC POOL E89041 FG 04/17 FIXED 6
4/1/2017
6.00%
**
133

FED HM LN PC POOL E89080 FG 04/17 FIXED 6
4/1/2017
6.00%
**
1,575

FED HM LN PC POOL E89092 FG 04/17 FIXED 6
4/1/2017
6.00%
**
449

FED HM LN PC POOL E89102 FG 04/17 FIXED 6
4/1/2017
6.00%
**
3,006

FED HM LN PC POOL E89118 FG 04/17 FIXED 6
4/1/2017
6.00%
**
3,219

FED HM LN PC POOL E89149 FG 04/17 FIXED 6
4/1/2017
6.00%
**
1,504

FED HM LN PC POOL E89216 FG 04/17 FIXED 6
4/1/2017
6.00%
**
1,427

FED HM LN PC POOL E89294 FG 04/17 FIXED 6
4/1/2017
6.00%
**
3,264

FED HM LN PC POOL E89347 FG 04/17 FIXED 6
4/1/2017
6.00%
**
3,122

FED HM LN PC POOL E89369 FG 04/17 FIXED 6
4/1/2017
6.00%
**
942

FED HM LN PC POOL E89434 FG 05/17 FIXED 6
5/1/2017
6.00%
**
2,109

FED HM LN PC POOL E89435 FG 05/17 FIXED 6
5/1/2017
6.00%
**
1,953

FED HM LN PC POOL E89593 FG 05/17 FIXED 6
5/1/2017
6.00%
**
3,878

FED HM LN PC POOL E89601 FG 05/17 FIXED 6
5/1/2017
6.00%
**
203

FED HM LN PC POOL E89645 FG 05/17 FIXED 6
5/1/2017
6.00%
**
2,974

FED HM LN PC POOL E89686 FG 05/17 FIXED 6
5/1/2017
6.00%
**
3,520

FED HM LN PC POOL E89687 FG 05/17 FIXED 6
5/1/2017
6.00%
**
2,968

FED HM LN PC POOL E89704 FG 05/17 FIXED 6
5/1/2017
6.00%
**
725

FED HM LN PC POOL E89707 FG 05/17 FIXED 6
5/1/2017
6.00%
**
1,599


135
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FED HM LN PC POOL E89746 FG 05/17 FIXED 6
5/1/2017
6.00%
**
98

FED HM LN PC POOL E89777 FG 05/17 FIXED 6
5/1/2017
6.00%
**
927

FED HM LN PC POOL E89856 FG 05/17 FIXED 6
5/1/2017
6.00%
**
1,408

FED HM LN PC POOL E89883 FG 05/17 FIXED 6
5/1/2017
6.00%
**
1,296

FED HM LN PC POOL E89913 FG 05/17 FIXED 6
5/1/2017
6.00%
**
5,960

FED HM LN PC POOL E89969 FG 05/17 FIXED 6
5/1/2017
6.00%
**
1,267

FED HM LN PC POOL E90103 FG 05/17 FIXED 6
5/1/2017
6.00%
**
968

FED HM LN PC POOL E90135 FG 06/17 FIXED 6
6/1/2017
6.00%
**
165

FED HM LN PC POOL E90171 FG 06/17 FIXED 6
6/1/2017
6.00%
**
2,833

FED HM LN PC POOL E90237 FG 06/17 FIXED 6
6/1/2017
6.00%
**
2,489

FED HM LN PC POOL E90295 FG 06/17 FIXED 6
6/1/2017
6.00%
**
1,219

FED HM LN PC POOL E90313 FG 06/17 FIXED 6
6/1/2017
6.00%
**
134

FED HM LN PC POOL E90315 FG 07/17 FIXED 6
7/1/2017
6.00%
**
2,108

FED HM LN PC POOL E90322 FG 06/17 FIXED 6
6/1/2017
6.00%
**
150

FED HM LN PC POOL E90348 FG 06/17 FIXED 6
6/1/2017
6.00%
**
4,165

FED HM LN PC POOL E90402 FG 07/17 FIXED 6
7/1/2017
6.00%
**
3,299

FED HM LN PC POOL E90472 FG 07/17 FIXED 6
7/1/2017
6.00%
**
2,668

FED HM LN PC POOL E90473 FG 07/17 FIXED 6
7/1/2017
6.00%
**
8,354

FED HM LN PC POOL E90551 FG 07/17 FIXED 6
7/1/2017
6.00%
**
1,224

FED HM LN PC POOL E90623 FG 08/17 FIXED 6
8/1/2017
6.00%
**
92

FED HM LN PC POOL E90689 FG 08/17 FIXED 6
8/1/2017
6.00%
**
114

FED HM LN PC POOL E90690 FG 07/17 FIXED 6
7/1/2017
6.00%
**
172

FED HM LN PC POOL E90781 FG 08/17 FIXED 6
8/1/2017
6.00%
**
2,438

FED HM LN PC POOL E90831 FG 08/17 FIXED 6
8/1/2017
6.00%
**
164

FED HM LN PC POOL E90985 FG 08/17 FIXED 6
8/1/2017
6.00%
**
33

FED HM LN PC POOL E91012 FG 08/17 FIXED 6
8/1/2017
6.00%
**
5,524

FED HM LN PC POOL E91278 FG 07/17 FIXED 6
7/1/2017
6.00%
**
89

FED HM LN PC POOL E91485 FG 09/17 FIXED 6
9/1/2017
6.00%
**
6,309

FED HM LN PC POOL E91879 FG 10/17 FIXED 6
10/1/2017
6.00%
**
68

FED HM LN PC POOL E93128 FG 10/17 FIXED 6
10/1/2017
6.00%
**
3,313

FED HM LN PC POOL E99733 FG 09/18 FIXED 6
9/1/2018
6.00%
**
5,615

FED HM LN PC POOL G00144 FG 03/21 FIXED 10
3/1/2021
10.00%
**
4,409

FED HM LN PC POOL G00280 FG 12/22 FIXED 9.5
12/1/2022
9.50%
**
1,380

FED HM LN PC POOL G00473 FG 03/26 FIXED 7.5
3/1/2026
7.50%
**
314

FED HM LN PC POOL G00529 FG 08/26 FIXED 7.5
8/1/2026
7.50%
**
2,879

FED HM LN PC POOL G00552 FG 03/23 FIXED 8.5
3/1/2023
8.50%
**
11,912

FED HM LN PC POOL G00561 FG 06/25 FIXED 9.5
6/1/2025
9.50%
**
22,255

FED HM LN PC POOL G00627 FG 06/25 FIXED 8
6/1/2025
8.00%
**
10,358

FED HM LN PC POOL G00675 FG 03/27 FIXED 7.5
3/1/2027
7.50%
**
15,259

FED HM LN PC POOL G00704 FG 12/26 FIXED 7
12/1/2026
7.00%
**
13,977

FED HM LN PC POOL G00825 FG 12/27 FIXED 7
12/1/2027
7.00%
**
934


136
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FED HM LN PC POOL G00869 FG 01/28 FIXED 7.5
1/1/2028
7.50%
**
20,240

FED HM LN PC POOL G01091 FG 12/29 FIXED 7
12/1/2029
7.00%
**
42,312

FED HM LN PC POOL G01665 FG 03/34 FIXED 5.5
3/1/2034
5.50%
**
812,764

FED HM LN PC POOL G02031 FG 02/36 FIXED 5.5
2/1/2036
5.50%
**
268,990

FED HM LN PC POOL G02408 FG 12/36 FIXED 5.5
12/1/2036
5.50%
**
390,981

FED HM LN PC POOL G02427 FG 12/36 FIXED 5.5
12/1/2036
5.50%
**
733,452

FED HM LN PC POOL G03073 FG 07/37 FIXED 5.5
7/1/2037
5.50%
**
440,580

FED HM LN PC POOL G03233 FG 08/37 FIXED 6
8/1/2037
6.00%
**
16,514

FED HM LN PC POOL G03695 FG 11/37 FIXED 5.5
11/1/2037
5.50%
**
242,243

FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5
2/1/2038
5.50%
**
304,793

FED HM LN PC POOL G03819 FG 01/38 FIXED 6
1/1/2038
6.00%
**
94,581

FED HM LN PC POOL G04448 FG 07/38 FIXED 5.5
7/1/2038
5.50%
**
126,984

FED HM LN PC POOL G04585 FG 02/38 FIXED 5.5
2/1/2038
5.50%
**
228,157

FED HM LN PC POOL G04588 FG 08/38 FIXED 5.5
8/1/2038
5.50%
**
134,902

FED HM LN PC POOL G04636 FG 12/35 FIXED 5
12/1/2035
5.00%
**
81,928

FED HM LN PC POOL G04688 FG 09/38 FIXED 5.5
9/1/2038
5.50%
**
119,935

FED HM LN PC POOL G05179 FG 01/39 FIXED 5.5
1/1/2039
5.50%
**
138,496

FED HM LN PC POOL G05527 FG 07/39 FIXED 4
7/1/2039
4.00%
**
95,373

FED HM LN PC POOL G05676 FG 11/39 FIXED 4
11/1/2039
4.00%
**
1,556,337

FED HM LN PC POOL G05726 FG 08/39 FIXED 5
8/1/2039
5.00%
**
426,127

FED HM LN PC POOL G05741 FG 12/39 FIXED 4.5
12/1/2039
4.50%
**
966,100

FED HM LN PC POOL G05927 FG 07/40 FIXED 4.5
7/1/2040
4.50%
**
1,819,787

FED HM LN PC POOL G06021 FG 01/40 FIXED 5.5
1/1/2040
5.50%
**
365,678

FED HM LN PC POOL G06087 FG 09/40 FIXED 5
9/1/2040
5.00%
**
92,158

FED HM LN PC POOL G06172 FG 12/38 FIXED 5.5
12/1/2038
5.50%
**
835,875

FED HM LN PC POOL G06506 FG 12/40 FIXED 4
12/1/2040
4.00%
**
3,084,976

FED HM LN PC POOL G06507 FG 02/41 FIXED 4
2/1/2041
4.00%
**
510,951

FED HM LN PC POOL G06601 FG 12/40 FIXED 4.5
12/1/2040
4.50%
**
3,263,230

FED HM LN PC POOL G06669 FG 09/39 FIXED 6.5
9/1/2039
6.50%
**
379,085

FED HM LN PC POOL G06875 FG 12/38 FIXED 5.5
12/1/2038
5.50%
**
2,862,348

FED HM LN PC POOL G07032 FG 06/42 FIXED 3
6/1/2042
3.00%
**
1,664,379

FED HM LN PC POOL G07129 FG 09/42 FIXED 3.5
9/1/2042
3.50%
**
1,571,362

FED HM LN PC POOL G07335 FG 03/39 FIXED 7
3/1/2039
7.00%
**
1,169,298

FED HM LN PC POOL G07388 FG 05/43 FIXED 3.5
5/1/2043
3.50%
**
3,056,613

FED HM LN PC POOL G07509 FG 09/39 FIXED 6.5
9/1/2039
6.50%
**
943,944

FED HM LN PC POOL G08273 FG 06/38 FIXED 5.5
6/1/2038
5.50%
**
81,821

FED HM LN PC POOL G08368 FG 10/39 FIXED 4.5
10/1/2039
4.50%
**
881,351

FED HM LN PC POOL G08372 FG 11/39 FIXED 4.5
11/1/2039
4.50%
**
879,133

FED HM LN PC POOL G08521 FG 01/43 FIXED 3
1/1/2043
3.00%
**
852,452

FED HM LN PC POOL G08540 FG 08/43 FIXED 3
8/1/2043
3.00%
**
1,342,844

FED HM LN PC POOL G08553 FG 10/43 FIXED 3
10/1/2043
3.00%
**
155,604


137
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FED HM LN PC POOL G08567 FG 01/44 FIXED 4
1/1/2044
4.00%
**
3,013,785

FED HM LN PC POOL G08681 FG 12/45 FIXED 3.5
12/1/2045
3.50%
**
7,917,580

FED HM LN PC POOL G11300 FG 08/17 FIXED 6
8/1/2017
6.00%
**
253

FED HM LN PC POOL G11410 FG 07/18 FIXED 4
7/1/2018
4.00%
**
762,866

FED HM LN PC POOL G11557 FG 03/19 FIXED 6
3/1/2019
6.00%
**
391

FED HM LN PC POOL G11634 FG 11/19 FIXED 5.5
11/1/2019
5.50%
**
7,081

FED HM LN PC POOL G11652 FG 01/20 FIXED 6
1/1/2020
6.00%
**
209,248

FED HM LN PC POOL G12467 FG 11/21 FIXED 6
11/1/2021
6.00%
**
356,324

FED HM LN PC POOL G12978 FG 12/22 FIXED 5.5
12/1/2022
5.50%
**
359,055

FED HM LN PC POOL G13300 FG 05/23 FIXED 4.5
5/1/2023
4.50%
**
110,156

FED HM LN PC POOL G13492 FG 02/24 FIXED 5
2/1/2024
5.00%
**
259,908

FED HM LN PC POOL G13868 FG 07/25 FIXED 4.5
7/1/2025
4.50%
**
598,392

FED HM LN PC POOL G14171 FG 10/24 FIXED 6
10/1/2024
6.00%
**
311,358

FED HM LN PC POOL G14239 FG 09/26 FIXED 4
9/1/2026
4.00%
**
271,270

FED HM LN PC POOL G14375 FG 07/26 FIXED 4
7/1/2026
4.00%
**
1,332,529

FED HM LN PC POOL G14492 FG 10/25 FIXED 4
10/1/2025
4.00%
**
728,163

FED HM LN PC POOL G18401 FG 09/26 FIXED 3.5
9/1/2026
3.50%
**
261,086

FED HM LN PC POOL G18475 FG 08/28 FIXED 2.5
8/1/2028
2.50%
**
400,837

FED HM LN PC POOL G20028 FG 12/36 FIXED 7.5
12/1/2036
7.50%
**
1,824,243

FED HM LN PC POOL J06009 FG 10/20 FIXED 5
10/1/2020
5.00%
**
462,205

FED HM LN PC POOL J09212 FG 01/24 FIXED 5
1/1/2024
5.00%
**
136,071

FED HM LN PC POOL J11089 FG 04/19 FIXED 4
4/1/2019
4.00%
**
54,307

FED HM LN PC POOL J12398 FG 06/25 FIXED 4.5
6/1/2025
4.50%
**
539,532

FED HM LN PC POOL J12439 FG 06/25 FIXED 4.5
6/1/2025
4.50%
**
886,232

FED HM LN PC POOL J14494 FG 02/26 FIXED 4
2/1/2026
4.00%
**
1,462,720

FED HM LN PC POOL J15658 FG 06/26 FIXED 4
6/1/2026
4.00%
**
558,870

FED HM LN PC POOL J15719 FG 06/26 FIXED 4
6/1/2026
4.00%
**
1,334,713

FED HM LN PC POOL J15974 FG 06/26 FIXED 4
6/1/2026
4.00%
**
482,357

FED HM LN PC POOL J16059 FG 07/26 FIXED 4
7/1/2026
4.00%
**
236,035

FED HM LN PC POOL J16432 FG 08/26 FIXED 3.5
8/1/2026
3.50%
**
429,627

FED HM LN PC POOL J18912 FG 04/27 FIXED 2.5
4/1/2027
2.50%
**
728,319

FED HM LN PC POOL J23935 FG 05/28 FIXED 3
5/1/2028
3.00%
**
816,743

FED HM LN PC POOL J25735 FG 09/28 FIXED 3
9/1/2028
3.00%
**
954,877

FED HM LN PC POOL J27464 FG 02/29 FIXED 3.5
2/1/2029
3.50%
**
1,758,346

FED HM LN PC POOL J27964 FG 04/29 FIXED 3
4/1/2029
3.00%
**
876,310

FED HM LN PC POOL J28196 FG 05/29 FIXED 3
5/1/2029
3.00%
**
5,339,470

FED HM LN PC POOL J29007 FG 08/29 FIXED 3
8/1/2029
3.00%
**
909,132

FED HM LN PC POOL Q04673 FG 11/41 FIXED 4
11/1/2041
4.00%
**
1,402,204

FED HM LN PC POOL Q04674 FG 12/41 FIXED 4
12/1/2041
4.00%
**
111,746

FED HM LN PC POOL Q08998 FG 06/42 FIXED 3.5
6/1/2042
3.50%
**
1,745,373

FED HM LN PC POOL Q10241 FG 08/42 FIXED 3.5
8/1/2042
3.50%
**
724,533


138
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FED HM LN PC POOL Q10448 FG 08/42 FIXED 3.5
8/1/2042
3.50%
**
846,301

FED HM LN PC POOL Q11288 FG 09/42 FIXED 3.5
9/1/2042
3.50%
**
834,051

FED HM LN PC POOL Q11788 FG 10/42 FIXED 3
10/1/2042
3.00%
**
413,055

FED HM LN PC POOL Q12052 FG 10/42 FIXED 3.5
10/1/2042
3.50%
**
893,297

FED HM LN PC POOL Q12520 FG 10/42 FIXED 3
10/1/2042
3.00%
**
181,009

FED HM LN PC POOL Q14326 FG 01/43 FIXED 2.5
1/1/2043
2.50%
**
953,121

FED HM LN PC POOL Q15062 FG 02/43 FIXED 3
2/1/2043
3.00%
**
3,173,599

FED HM LN PC POOL Q17792 FG 05/43 FIXED 3.5
5/1/2043
3.50%
**
3,705,748

FED HM LN PC POOL Q20402 FG 07/43 FIXED 3
7/1/2043
3.00%
**
294,920

FED HM LN PC POOL Q20416 FG 07/43 FIXED 3
7/1/2043
3.00%
**
525,507

FED HM LN PC POOL Q20983 FG 08/43 FIXED 3
8/1/2043
3.00%
**
397,074

FED HM LN PC POOL Q21694 FG 08/43 FIXED 3
8/1/2043
3.00%
**
490,932

FED HM LN PC POOL Q24332 FG 01/44 FIXED 4
1/1/2044
4.00%
**
863,538

FED HM LN PC POOL Q25702 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
1,040,779

FED HM LN PC POOL Q25703 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
1,250,258

FED HM LN PC POOL Q25705 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
736,949

FED HM LN PC POOL Q25712 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
709,110

FED HM LN PC POOL Q25818 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
4,527,081

FED HM LN PC POOL Q25819 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
4,707,642

FED HM LN PC POOL Q25850 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
673,957

FED HM LN PC POOL Q25851 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
279,837

FED HM LN PC POOL Q25852 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
816,835

FED HM LN PC POOL Q25853 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
903,698

FED HM LN PC POOL Q29920 FG 11/44 FIXED 4.5
11/1/2044
4.50%
**
98,893

FED HM LN PC POOL U90245 FG 10/42 FIXED 3.5
10/1/2042
3.50%
**
896,825

FED HM LN PC POOL U90316 FG 10/42 FIXED 4
10/1/2042
4.00%
**
3,630,230

FED HM LN PC POOL U91254 FG 04/43 FIXED 4
4/1/2043
4.00%
**
1,425,897

FED HM LN PC POOL U92272 FG 12/43 FIXED 4.5
12/1/2043
4.50%
**
926,645

FED HM LN PC POOL U95137 FG 08/43 FIXED 4
8/1/2043
4.00%
**
892,172

FED HM LN PC POOL U99076 FG 12/43 FIXED 4.5
12/1/2043
4.50%
**
7,471,620

FED HM LN PC POOL U99084 FG 02/44 FIXED 4.5
2/1/2044
4.50%
**
6,126,918

FED HM LN PC POOL U99091 FG 03/44 FIXED 4.5
3/1/2044
4.50%
**
1,788,940

FED HM LN PC POOL U99114 FG 02/44 FIXED 3.5
2/1/2044
3.50%
**
390,830

FED HM LN PC POOL V60298 FG 10/28 FIXED 3
10/1/2028
3.00%
**
870,731

FED HM LN PC POOL V60564 FG 06/29 FIXED 3
6/1/2029
3.00%
**
1,778,656

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/16 0.00000
1/22/2016
 
**
3,996,048

FED HOME LN DISCOUNT NT DISCOUNT NOT 11/15 0.00000
11/30/2015
 
**
60,139,757

FEDERAL FARM CREDIT BANK BONDS 09/17 1.125
9/22/2017
1.13%
**
10,654,833

FEDERAL HOME LOAN BANK BONDS 03/16 3.125
3/11/2016
3.13%
**
1,375,049

FEDERAL HOME LOAN BANK BONDS 03/18 1.375
3/9/2018
1.38%
**
10,279,231

FEDERAL HOME LOAN BANK BONDS 04/18 1.125
4/25/2018
1.13%
**
8,769,044


139
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FEDERAL HOME LOAN BANK BONDS 05/17 0.625
5/30/2017
0.63%
**
688,438

FEDERAL HOME LOAN BANK BONDS 05/17 0.875
5/24/2017
0.88%
**
122,791

FEDERAL HOME LOAN BANK BONDS 06/19 1.625
6/14/2019
1.63%
**
20,559,651

FEDERAL HOME LOAN BANK BONDS 07/36 5.5
7/15/2036
5.50%
**
12,378,976

FEDERAL HOME LOAN BANK BONDS 08/17 0.75
8/28/2017
0.75%
**
9,176,100

FEDERAL HOME LOAN BANK BONDS 09/16 0.5
9/28/2016
0.50%
**
4,787,201

FEDERAL HOME LOAN BANK BONDS 09/17 2.25
9/8/2017
2.25%
**
93,549,553

FEDERAL HOME LOAN BANK BONDS 11/16 0.625
11/23/2016
0.63%
**
16,475,651

FEDERAL HOME LOAN BANK BONDS 12/16 4.75
12/16/2016
4.75%
**
4,675,612

FEDERAL HOME LOAN BANK BONDS 12/17 1
12/19/2017
1.00%
**
21,807,612

FHLMC MULTIFAMILY STRUCTURED P FHMS K041 A2
10/25/2024
3.17%
**
15,620,528

FHLMC MULTIFAMILY STRUCTURED P FHMS K043 A2
12/25/2024
3.06%
**
9,788,587

FHLMC MULTIFAMILY STRUCTURED P FHMS KJ02 A2
9/25/2020
2.60%
**
6,539,309

FHLMC MULTIFAMILY VRD CERTIFIC FHM M012 A1A2
8/15/2051
5.50%
**
5,238,802

FHLMC STRUCTURED PASS THROUGH FSPC T 21 A
10/25/2029
0.78%
**
268,520

FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1
7/25/2044
1.62%
**
1,158,893

FHLMC TBA 30 YR 4 GOLD SINGLE FAMILY
1/14/2046
4.00%
**
5,412,421

FHLMC TBA 30 YR 4 GOLD SINGLE FAMILY
2/11/2046
4.00%
**
1,080,323

FHLMC TBA 30 YR 4.5 GOLD SINGLE FAMILY
1/14/2046
4.50%
**
1,655,794

FIDELITY NATIONAL INFORM SR UNSECURED 10/18 2.85
10/15/2018
2.85%
**
1,568,192

FIDELITY NATIONAL INFORM SR UNSECURED 10/20 3.625
10/15/2020
3.63%
**
2,117,629

FIDELITY NATL FINANCIAL SR UNSECURED 09/22 5.5
9/1/2022
5.50%
**
2,501,336

FIFTH THIRD AUTO TRUST FITAT 2013 A A3
9/15/2017
0.61%
**
488,403

FIFTH THIRD AUTO TRUST FITAT 2014 2 A4
12/15/2020
1.38%
**
3,180,020

FIFTH THIRD AUTO TRUST FITAT 2014 3 A3
3/15/2019
0.96%
**
1,053,969

FIFTH THIRD AUTO TRUST FITAT 2015 1 A2A
11/18/2016
0.91%
**
1,716,902

FIFTH THIRD AUTO TRUST FITAT 2015 1 A3
3/16/2020
1.42%
**
2,506,523

FIFTH THIRD BANCORP SR UNSECURED 01/16 3.625
1/25/2016
3.63%
**
816,080

FIFTH THIRD BANCORP SR UNSECURED 02/16 0.9
2/26/2016
0.90%
**
307,411

FIFTH THIRD BANCORP SR UNSECURED 02/16 0.9
11/18/2016
0.90%
**
403,053

FIFTH THIRD BANK SR UNSECURED 02/18 1.45
2/28/2018
1.45%
**
3,536,692

FIFTH THIRD BANK SR UNSECURED 04/19 2.375
4/25/2019
2.38%
**
308,428

FIFTH THIRD BANK SR UNSECURED 08/18 2.15
8/20/2018
2.15%
**
5,292,258

FIFTH THIRD BANK SR UNSECURED 11/16 1.15
11/18/2016
1.15%
**
2,298,270

FIFTH THIRD BANK SR UNSECURED 11/16 VAR
11/18/2016
0.87%
**
1,842,267

FIRST INVESTORS AUTO OWNER TRU FIAOT 2013 1A A2 144A
10/15/2018
0.90%
**
23,741

FIRST INVESTORS AUTO OWNER TRU FIAOT 2014 3A A2 144A
11/15/2018
1.06%
**
346,626

FIRST INVESTORS AUTO OWNER TRU FIAOT 2015 1A A2 144A
4/15/2019
1.21%
**
1,093,716

FIRSTENERGY CORP SR UNSECURED 03/18 2.75
3/15/2018
2.75%
**
2,532,245

FIRSTENERGY CORP SR UNSECURED 03/23 4.25
3/15/2023
4.25%
**
5,014,546

FIRSTENERGY CORP SR UNSECURED 11/31 7.375
11/15/2031
7.38%
**
1,248,073


140
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 12/25 3.125
12/1/2025
3.13%
**
7,699,286

FLORIDA ST TURNPIKE AUTH FLSTRN 07/39 FIXED OID 6.8
7/1/2039
6.80%
**
2,643,763

FNMA POOL 050305 FN 05/20 FIXED 9.5
5/1/2020
9.50%
**
1,527

FNMA POOL 050402 FN 02/21 FIXED 9
2/1/2021
9.00%
**
318

FNMA POOL 050415 FN 03/21 FIXED 9
3/1/2021
9.00%
**
412

FNMA POOL 050795 FN 09/23 FIXED 7
9/1/2023
7.00%
**
1,869

FNMA POOL 050947 FN 12/23 FIXED 7
12/1/2023
7.00%
**
21,628

FNMA POOL 050966 FN 01/24 FIXED 7
1/1/2024
7.00%
**
9,215

FNMA POOL 050993 FN 02/24 FIXED 7
2/1/2024
7.00%
**
6,912

FNMA POOL 060680 FN 02/28 FLOATING VAR
2/1/2028
4.42%
**
33,893

FNMA POOL 070110 FN 10/16 FIXED VAR
10/1/2016
10.00%
**
72

FNMA POOL 100168 FN 01/21 FIXED VAR
1/15/2021
9.50%
**
2,046

FNMA POOL 108489 FN 11/20 FIXED 9
11/1/2020
9.00%
**
11,514

FNMA POOL 190353 FN 08/34 FIXED VAR
8/1/2034
5.00%
**
14,745

FNMA POOL 190357 FN 03/35 FIXED VAR
3/1/2035
5.00%
**
11,299

FNMA POOL 190360 FN 08/35 FIXED VAR
8/1/2035
5.00%
**
9,061

FNMA POOL 190377 FN 11/36 FIXED VAR
11/1/2036
5.00%
**
10,468

FNMA POOL 190533 FN 01/24 FIXED VAR
1/1/2024
7.00%
**
3,944

FNMA POOL 242136 FN 10/23 FIXED 7
10/1/2023
7.00%
**
449

FNMA POOL 245442 FN 11/23 FIXED 7
11/1/2023
7.00%
**
3,724

FNMA POOL 252210 FN 02/19 FIXED 6.5
2/1/2019
6.50%
**
30,416

FNMA POOL 253153 FN 02/20 FIXED 7
2/1/2020
7.00%
**
12,758

FNMA POOL 253947 FN 08/31 FIXED 8
8/1/2031
8.00%
**
42,501

FNMA POOL 254223 FN 02/32 FIXED 7.5
2/1/2032
7.50%
**
574

FNMA POOL 254793 FN 07/33 FIXED 5
7/1/2033
5.00%
**
291,353

FNMA POOL 262211 FN 12/23 FIXED 7
12/1/2023
7.00%
**
594

FNMA POOL 267989 FN 02/24 FIXED 7
2/1/2024
7.00%
**
3,491

FNMA POOL 274621 FN 03/24 FIXED 7
3/1/2024
7.00%
**
1,370

FNMA POOL 303675 FN 10/17 FIXED VAR
10/1/2017
10.00%
**
6,615

FNMA POOL 312206 FN 06/25 FLOATING VAR
6/1/2025
2.35%
**
44,348

FNMA POOL 313499 FN 10/18 FIXED VAR
10/1/2018
10.00%
**
6,470

FNMA POOL 313947 FN 01/28 FIXED VAR
1/1/2028
7.00%
**
2,343

FNMA POOL 330089 FN 04/25 FIXED 8
4/1/2025
8.00%
**
31,112

FNMA POOL 330126 FN 08/25 FLOATING VAR
8/1/2025
2.39%
**
54,146

FNMA POOL 331427 FN 11/25 FLOATING VAR
11/1/2025
2.34%
**
27,227

FNMA POOL 347547 FN 08/26 FLOATING VAR
8/1/2026
2.38%
**
327

FNMA POOL 347633 FN 07/26 FLOATING VAR
7/1/2026
2.38%
**
20,692

FNMA POOL 362968 FN 01/26 FLOATING VAR
1/1/2026
2.57%
**
46,921

FNMA POOL 367801 FN 05/24 FIXED 9
5/1/2024
9.00%
**
676

FNMA POOL 369996 FN 01/27 FIXED 7.5
1/1/2027
7.50%
**
3,616

FNMA POOL 371049 FN 02/27 FIXED 7.5
2/1/2027
7.50%
**
14,261


141
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL 371073 FN 02/27 FIXED 7.5
2/1/2027
7.50%
**
7,467

FNMA POOL 371871 FN 02/27 FIXED 7.5
2/1/2027
7.50%
**
8,196

FNMA POOL 377038 FN 04/27 FIXED 7.5
4/1/2027
7.50%
**
12,317

FNMA POOL 390986 FN 08/27 FLOATING VAR
8/1/2027
2.38%
**
62,980

FNMA POOL 396434 FN 11/27 FIXED 7.5
11/1/2027
7.50%
**
538

FNMA POOL 396439 FN 11/27 FIXED 7.5
11/1/2027
7.50%
**
8,549

FNMA POOL 397256 FN 10/27 FIXED 7.5
10/1/2027
7.50%
**
785

FNMA POOL 398754 FN 09/27 FIXED 7.5
9/1/2027
7.50%
**
6,172

FNMA POOL 401788 FN 10/27 FIXED 7.5
10/1/2027
7.50%
**
1,380

FNMA POOL 479545 FN 08/29 FIXED 7
8/1/2029
7.00%
**
632

FNMA POOL 492745 FN 05/29 FIXED 7
5/1/2029
7.00%
**
12,860

FNMA POOL 503573 FN 10/29 FIXED 7
10/1/2029
7.00%
**
2,888

FNMA POOL 507521 FN 08/29 FIXED 7
8/1/2029
7.00%
**
6,001

FNMA POOL 509436 FN 10/29 FIXED 7
10/1/2029
7.00%
**
8,818

FNMA POOL 509662 FN 08/29 FIXED 7
8/1/2029
7.00%
**
521

FNMA POOL 511103 FN 08/29 FIXED 7
8/1/2029
7.00%
**
13,496

FNMA POOL 511384 FN 09/29 FIXED 7
9/1/2029
7.00%
**
2,014

FNMA POOL 514267 FN 09/29 FIXED 7
9/1/2029
7.00%
**
2,824

FNMA POOL 515518 FN 10/29 FIXED 7
10/1/2029
7.00%
**
3,980

FNMA POOL 517511 FN 10/29 FIXED 7
10/1/2029
7.00%
**
9,769

FNMA POOL 518108 FN 09/29 FIXED 7
9/1/2029
7.00%
**
7,262

FNMA POOL 523486 FN 08/30 FIXED 8
8/1/2030
8.00%
**
1,132

FNMA POOL 529428 FN 03/30 FIXED 8
3/1/2030
8.00%
**
3,541

FNMA POOL 533757 FN 06/30 FIXED 8
6/1/2030
8.00%
**
13,972

FNMA POOL 534194 FN 04/30 FIXED 8
4/1/2030
8.00%
**
3,636

FNMA POOL 545204 FN 05/36 FLOATING VAR
5/1/2036
3.00%
**
69,077

FNMA POOL 545278 FN 11/31 FIXED VAR
11/1/2031
7.50%
**
97,223

FNMA POOL 554482 FN 10/30 FIXED 7.5
10/1/2030
7.50%
**
106,487

FNMA POOL 555743 FN 09/33 FIXED VAR
9/1/2033
5.00%
**
348,889

FNMA POOL 569915 FN 02/16 FIXED 7
2/1/2016
7.00%
**
175

FNMA POOL 569972 FN 03/31 FIXED 7.5
3/1/2031
7.50%
**
42,415

FNMA POOL 569973 FN 02/31 FIXED 8
2/1/2031
8.00%
**
22,190

FNMA POOL 572675 FN 04/31 FIXED 7.5
4/1/2031
7.50%
**
51,582

FNMA POOL 589396 FN 07/16 FIXED 6
7/1/2016
6.00%
**
14,723

FNMA POOL 593848 FN 07/31 FIXED 8
7/1/2031
8.00%
**
22,894

FNMA POOL 602065 FN 09/31 FIXED 7
9/1/2031
7.00%
**
86,635

FNMA POOL 604576 FN 09/21 FIXED 6.5
9/1/2021
6.50%
**
8,944

FNMA POOL 609504 FN 10/31 FIXED 7
10/1/2031
7.00%
**
105,602

FNMA POOL 621101 FN 01/17 FIXED 6
1/1/2017
6.00%
**
23,429

FNMA POOL 649952 FN 06/32 FIXED 6.5
6/1/2032
6.50%
**
3,431

FNMA POOL 725162 FN 02/34 FIXED VAR
2/1/2034
6.00%
**
77,576


142
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL 725946 FN 11/34 FIXED VAR
11/1/2034
5.50%
**
190,814

FNMA POOL 735061 FN 11/34 FIXED VAR
11/1/2034
6.00%
**
2,200,859

FNMA POOL 735208 FN 10/19 FIXED VAR
10/1/2019
6.00%
**
105,293

FNMA POOL 735382 FN 04/35 FIXED VAR
4/1/2035
5.00%
**
1,482,914

FNMA POOL 735439 FN 09/19 FIXED VAR
9/1/2019
6.00%
**
111,446

FNMA POOL 735500 FN 05/35 FIXED VAR
5/1/2035
5.50%
**
2,063,455

FNMA POOL 735501 FN 05/35 FIXED VAR
5/1/2035
6.00%
**
464,322

FNMA POOL 735503 FN 04/35 FIXED VAR
4/1/2035
6.00%
**
557,058

FNMA POOL 735561 FN 04/34 FLOATING VAR
4/1/2034
2.19%
**
105,576

FNMA POOL 735580 FN 06/35 FIXED VAR
6/1/2035
5.00%
**
697,565

FNMA POOL 735676 FN 07/35 FIXED VAR
7/1/2035
5.00%
**
466,182

FNMA POOL 735809 FN 08/35 FLOATING VAR
8/1/2035
2.45%
**
1,683,643

FNMA POOL 735893 FN 10/35 FIXED VAR
10/1/2035
5.00%
**
199,862

FNMA POOL 735989 FN 02/35 FIXED VAR
2/1/2035
5.50%
**
3,001,070

FNMA POOL 745000 FN 10/35 FIXED VAR
10/1/2035
6.00%
**
88,374

FNMA POOL 745140 FN 11/35 FIXED VAR
11/1/2035
5.00%
**
2,663,964

FNMA POOL 745327 FN 03/36 FIXED VAR
3/1/2036
6.00%
**
293,170

FNMA POOL 745412 FN 12/35 FIXED VAR
12/1/2035
5.50%
**
1,533,518

FNMA POOL 745619 FN 05/36 FLOATING VAR
5/1/2036
2.38%
**
1,769,536

FNMA POOL 745885 FN 10/36 FIXED VAR
10/1/2036
6.00%
**
1,072,874

FNMA POOL 745948 FN 10/36 FIXED VAR
10/1/2036
6.50%
**
115,286

FNMA POOL 745959 FN 11/36 FIXED VAR
11/1/2036
5.50%
**
723,533

FNMA POOL 758777 FN 04/28 FIXED 6.5
4/1/2028
6.50%
**
931

FNMA POOL 811569 FN 06/21 FIXED 6
6/1/2021
6.00%
**
42,156

FNMA POOL 813599 FN 01/36 FLOATING VAR
1/1/2036
2.38%
**
295,526

FNMA POOL 825480 FN 06/35 FLOATING VAR
6/1/2035
2.46%
**
490,727

FNMA POOL 827223 FN 04/35 FLOATING VAR
4/1/2035
2.09%
**
3,094,452

FNMA POOL 827601 FN 08/19 FIXED 5.5
8/1/2019
5.50%
**
84,533

FNMA POOL 831561 FN 05/36 FIXED 6.5
5/1/2036
6.50%
**
108,400

FNMA POOL 833600 FN 11/35 FIXED 6.5
11/1/2035
6.50%
**
17,538

FNMA POOL 836464 FN 10/35 FLOATING VAR
10/1/2035
2.27%
**
1,315,771

FNMA POOL 836852 FN 10/35 FLOATING VAR
10/1/2035
2.18%
**
855,140

FNMA POOL 843823 FN 11/35 FLOATING VAR
11/1/2035
2.22%
**
664,282

FNMA POOL 843997 FN 11/35 FLOATING VAR
11/1/2035
2.23%
**
266,811

FNMA POOL 844052 FN 11/35 FLOATING VAR
11/1/2035
2.25%
**
274,450

FNMA POOL 844148 FN 11/35 FLOATING VAR
11/1/2035
2.26%
**
247,638

FNMA POOL 844237 FN 11/35 FLOATING VAR
11/1/2035
2.23%
**
218,755

FNMA POOL 844789 FN 11/35 FLOATING VAR
11/1/2035
2.20%
**
224,338

FNMA POOL 866888 FN 01/36 FLOATING VAR
1/1/2036
2.28%
**
399,401

FNMA POOL 872021 FN 06/21 FIXED 6
6/1/2021
6.00%
**
66,905

FNMA POOL 872502 FN 06/36 FLOATING VAR
6/1/2036
2.49%
**
2,458,056


143
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL 879067 FN 04/36 FLOATING VAR
4/1/2036
2.29%
**
1,780,693

FNMA POOL 879394 FN 02/21 FIXED 5
2/1/2021
5.00%
**
44,413

FNMA POOL 880870 FN 03/36 FIXED 6.5
3/1/2036
6.50%
**
15,087

FNMA POOL 884729 FN 08/36 FLOATING VAR
8/1/2036
2.35%
**
260,600

FNMA POOL 884773 FN 10/36 FLOATING VAR
10/1/2036
2.39%
**
221,608

FNMA POOL 888366 FN 04/37 FIXED VAR
4/1/2037
7.00%
**
350,035

FNMA POOL 888560 FN 11/35 FIXED VAR
11/1/2035
6.00%
**
1,045,797

FNMA POOL 888601 FN 06/20 FIXED VAR
6/1/2020
5.50%
**
205,581

FNMA POOL 888637 FN 09/37 FIXED VAR
9/1/2037
6.00%
**
169,429

FNMA POOL 888832 FN 11/37 FIXED VAR
11/1/2037
6.50%
**
46,870

FNMA POOL 888890 FN 10/37 FIXED VAR
10/1/2037
6.50%
**
344,416

FNMA POOL 888893 FN 08/37 FIXED VAR
8/1/2037
5.50%
**
77,206

FNMA POOL 889072 FN 12/37 FIXED VAR
12/1/2037
6.50%
**
370,461

FNMA POOL 889117 FN 10/35 FIXED VAR
10/1/2035
5.00%
**
978,638

FNMA POOL 889190 FN 03/38 FIXED VAR
3/1/2038
6.00%
**
142,817

FNMA POOL 889579 FN 05/38 FIXED VAR
5/1/2038
6.00%
**
2,284,650

FNMA POOL 890116 FN 02/23 FIXED VAR
2/1/2023
7.00%
**
588,239

FNMA POOL 890236 FN 08/40 FIXED VAR
8/1/2040
4.50%
**
174,132

FNMA POOL 890248 FN 08/37 FIXED VAR
8/1/2037
6.00%
**
2,137,921

FNMA POOL 890268 FN 10/38 FIXED VAR
10/1/2038
6.50%
**
537,151

FNMA POOL 890604 FN 10/44 FIXED VAR
10/1/2044
4.50%
**
5,023,191

FNMA POOL 891654 FN 06/36 FIXED 6.5
6/1/2036
6.50%
**
201,362

FNMA POOL 898736 FN 05/36 FLOATING VAR
5/1/2036
2.42%
**
1,108,868

FNMA POOL 902425 FN 11/36 FLOATING VAR
11/1/2036
2.70%
**
61,204

FNMA POOL 903261 FN 10/36 FIXED 6
10/1/2036
6.00%
**
232,396

FNMA POOL 906666 FN 12/36 FIXED 6.5
12/1/2036
6.50%
**
8,990

FNMA POOL 908172 FN 01/37 FIXED 6.5
1/1/2037
6.50%
**
10,576

FNMA POOL 913984 FN 02/37 FLOATING VAR
2/1/2037
1.85%
**
661,481

FNMA POOL 914875 FN 04/37 FIXED 6.5
4/1/2037
6.50%
**
225,810

FNMA POOL 918653 FN 06/37 FIXED 6
6/1/2037
6.00%
**
170,949

FNMA POOL 924874 FN 10/37 FIXED 7
10/1/2037
7.00%
**
96,919

FNMA POOL 928746 FN 09/37 FIXED 6.5
9/1/2037
6.50%
**
16,095

FNMA POOL 928938 FN 12/37 FIXED 7
12/1/2037
7.00%
**
66,796

FNMA POOL 929298 FN 03/38 FIXED 5
3/1/2038
5.00%
**
334,772

FNMA POOL 930719 FN 03/19 FIXED 4.5
3/1/2019
4.50%
**
20,754

FNMA POOL 931307 FN 06/39 FIXED 4.5
6/1/2039
4.50%
**
639,162

FNMA POOL 931991 FN 09/39 FIXED 4.5
9/1/2039
4.50%
**
957,026

FNMA POOL 932058 FN 10/39 FIXED 4.5
10/1/2039
4.50%
**
968,111

FNMA POOL 932426 FN 01/40 FIXED 4.5
1/1/2040
4.50%
**
2,314,698

FNMA POOL 932495 FN 02/40 FIXED 4.5
2/1/2040
4.50%
**
211,234

FNMA POOL 932669 FN 03/40 FIXED 4.5
3/1/2040
4.50%
**
18,365


144
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL 933409 FN 03/38 FIXED 5
3/1/2038
5.00%
**
386,274

FNMA POOL 933638 FN 08/38 FLOATING VAR
8/1/2038
2.50%
**
827,201

FNMA POOL 934648 FN 11/38 FIXED 7
11/1/2038
7.00%
**
372,009

FNMA POOL 942798 FN 08/37 FIXED 6.5
8/1/2037
6.50%
**
136,486

FNMA POOL 943699 FN 08/37 FIXED 6.5
8/1/2037
6.50%
**
145,612

FNMA POOL 946065 FN 09/37 FIXED 6.5
9/1/2037
6.50%
**
36,383

FNMA POOL 948849 FN 08/37 FIXED 6
8/1/2037
6.00%
**
644,200

FNMA POOL 955183 FN 11/37 FIXED 7
11/1/2037
7.00%
**
122,093

FNMA POOL 955762 FN 10/37 FIXED 6.5
10/1/2037
6.50%
**
4,281

FNMA POOL 962062 FN 03/38 FIXED 5
3/1/2038
5.00%
**
376,327

FNMA POOL 962444 FN 04/38 FIXED 5
4/1/2038
5.00%
**
237,907

FNMA POOL 968252 FN 02/38 FIXED 7
2/1/2038
7.00%
**
15,909

FNMA POOL 971053 FN 02/39 FIXED 4.5
2/1/2039
4.50%
**
93,294

FNMA POOL 972242 FN 03/38 FIXED 6.5
3/1/2038
6.50%
**
2,728

FNMA POOL 972571 FN 03/38 FIXED 5
3/1/2038
5.00%
**
412,352

FNMA POOL 972572 FN 03/38 FIXED 5
3/1/2038
5.00%
**
157,730

FNMA POOL 973161 FN 02/38 FIXED 6.5
2/1/2038
6.50%
**
169,940

FNMA POOL 974156 FN 02/38 FIXED 7
2/1/2038
7.00%
**
62,967

FNMA POOL 975184 FN 03/38 FIXED 5
3/1/2038
5.00%
**
118,879

FNMA POOL 975185 FN 03/38 FIXED 5
3/1/2038
5.00%
**
132,263

FNMA POOL 975441 FN 03/38 FIXED 5
3/1/2038
5.00%
**
138,617

FNMA POOL 975453 FN 03/38 FIXED 5
3/1/2038
5.00%
**
14,555

FNMA POOL 975454 FN 03/38 FIXED 5
3/1/2038
5.00%
**
74,158

FNMA POOL 979973 FN 09/36 FIXED 5
9/1/2036
5.00%
**
32,179

FNMA POOL 984632 FN 06/38 FLOATING VAR
6/1/2038
2.46%
**
2,977,712

FNMA POOL 985626 FN 04/33 FIXED 6
4/1/2033
6.00%
**
453,363

FNMA POOL 985867 FN 08/38 FIXED 7
8/1/2038
7.00%
**
55,325

FNMA POOL 987325 FN 09/38 FLOATING VAR
9/1/2038
2.62%
**
1,444,813

FNMA POOL 987560 FN 08/38 FIXED 6.5
8/1/2038
6.50%
**
24,220

FNMA POOL 987891 FN 09/38 FIXED 7
9/1/2038
7.00%
**
1,917

FNMA POOL 991549 FN 11/38 FIXED 7
11/1/2038
7.00%
**
60,652

FNMA POOL 992249 FN 11/38 FIXED 7
11/1/2038
7.00%
**
19,786

FNMA POOL 992262 FN 01/39 FIXED 5
1/1/2039
5.00%
**
38,297

FNMA POOL 995072 FN 08/38 FIXED VAR
8/1/2038
5.50%
**
596,255

FNMA POOL 995149 FN 10/38 FIXED VAR
10/1/2038
6.50%
**
349,039

FNMA POOL 995381 FN 01/24 FIXED VAR
1/1/2024
6.00%
**
221,365

FNMA POOL 995899 FN 02/38 FIXED VAR
2/1/2038
6.00%
**
261,901

FNMA POOL AA0472 FN 03/39 FIXED 4
3/1/2039
4.00%
**
261,448

FNMA POOL AA2700 FN 01/39 FIXED 5
1/1/2039
5.00%
**
15,691

FNMA POOL AB1228 FN 07/40 FIXED 5
7/1/2040
5.00%
**
67,803

FNMA POOL AB2801 FN 04/26 FIXED 3.5
4/1/2026
3.50%
**
987,341


145
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL AB3701 FN 10/41 FIXED 4.5
10/1/2041
4.50%
**
2,009,523

FNMA POOL AB4058 FN 12/41 FIXED 4
12/1/2041
4.00%
**
1,084,925

FNMA POOL AB4590 FN 03/42 FIXED 3.5
3/1/2042
3.50%
**
963,653

FNMA POOL AB4689 FN 03/42 FIXED 3.5
3/1/2042
3.50%
**
1,387,828

FNMA POOL AB4941 FN 04/42 FIXED 3.5
4/1/2042
3.50%
**
4,592,600

FNMA POOL AB5236 FN 05/27 FIXED 3
5/1/2027
3.00%
**
771,104

FNMA POOL AB5425 FN 06/42 FIXED 3.5
6/1/2042
3.50%
**
481,087

FNMA POOL AB5546 FN 06/42 FIXED 3.5
6/1/2042
3.50%
**
912,531

FNMA POOL AB5593 FN 07/42 FIXED 3.5
7/1/2042
3.50%
**
587,582

FNMA POOL AB6136 FN 09/27 FIXED 2.5
9/1/2027
2.50%
**
4,191,283

FNMA POOL AB6229 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
3,007,929

FNMA POOL AB6238 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
769,303

FNMA POOL AB6390 FN 10/42 FIXED 3
10/1/2042
3.00%
**
412,975

FNMA POOL AB6694 FN 10/42 FIXED 3
10/1/2042
3.00%
**
856,077

FNMA POOL AB6832 FN 11/42 FIXED 3.5
11/1/2042
3.50%
**
2,320,477

FNMA POOL AB7059 FN 11/42 FIXED 2.5
11/1/2042
2.50%
**
4,556,298

FNMA POOL AB7272 FN 12/42 FIXED 3
12/1/2042
3.00%
**
1,604,229

FNMA POOL AB7410 FN 12/42 FIXED 3
12/1/2042
3.00%
**
4,463,405

FNMA POOL AB7426 FN 12/42 FIXED 3
12/1/2042
3.00%
**
1,236,562

FNMA POOL AB7568 FN 01/43 FIXED 3
1/1/2043
3.00%
**
1,800,711

FNMA POOL AB7570 FN 01/43 FIXED 3
1/1/2043
3.00%
**
3,048,171

FNMA POOL AB7716 FN 01/28 FIXED 2.5
1/1/2028
2.50%
**
387,509

FNMA POOL AB7728 FN 01/43 FIXED 2.5
1/1/2043
2.50%
**
455,994

FNMA POOL AB7741 FN 01/43 FIXED 3
1/1/2043
3.00%
**
2,571,461

FNMA POOL AB8464 FN 02/43 FIXED 2.5
2/1/2043
2.50%
**
404,872

FNMA POOL AB8465 FN 02/43 FIXED 2.5
2/1/2043
2.50%
**
702,311

FNMA POOL AB9136 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
1,849,482

FNMA POOL AB9347 FN 05/43 FIXED 3
5/1/2043
3.00%
**
2,576,510

FNMA POOL AB9361 FN 05/43 FIXED 3.5
5/1/2043
3.50%
**
856,220

FNMA POOL AB9461 FN 05/43 FIXED 3
5/1/2043
3.00%
**
3,470,601

FNMA POOL AB9516 FN 05/28 FIXED 2.5
5/1/2028
2.50%
**
404,809

FNMA POOL AB9663 FN 06/43 FIXED 3
6/1/2043
3.00%
**
266,008

FNMA POOL AB9825 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
160,349

FNMA POOL AB9980 FN 07/43 FIXED 3.5
7/1/2043
3.50%
**
962,208

FNMA POOL AC0728 FN 08/39 FIXED 5
8/1/2039
5.00%
**
22,981

FNMA POOL AC1889 FN 09/39 FIXED 4
9/1/2039
4.00%
**
483,988

FNMA POOL AC2953 FN 09/39 FIXED 4.5
9/1/2039
4.50%
**
259,563

FNMA POOL AC3237 FN 10/39 FIXED 5
10/1/2039
5.00%
**
1,869,126

FNMA POOL AD0217 FN 08/37 FIXED VAR
8/1/2037
6.00%
**
140,163

FNMA POOL AD0249 FN 04/37 FIXED VAR
4/1/2037
5.50%
**
896,034

FNMA POOL AD0296 FN 12/36 FLOATING VAR
12/1/2036
2.44%
**
416,760

FNMA POOL AD0452 FN 04/21 FIXED VAR
4/1/2021
6.00%
**
970,117

FNMA POOL AD0471 FN 01/24 FIXED VAR
1/1/2024
5.50%
**
488,396

FNMA POOL AD0834 FN 07/29 FIXED VAR
7/1/2029
5.00%
**
217,969

FNMA POOL AD4178 FN 06/40 FIXED 4.5
6/1/2040
4.50%
**
1,301,708

FNMA POOL AD6510 FN 05/40 FIXED 5
5/1/2040
5.00%
**
34,652


146
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL AD9143 FN 08/40 FIXED 4.5
8/1/2040
4.50%
**
76,725

FNMA POOL AD9153 FN 08/40 FIXED 4.5
8/1/2040
4.50%
**
538,313

FNMA POOL AD9713 FN 08/40 FIXED 5
8/1/2040
5.00%
**
210,641

FNMA POOL AE0081 FN 07/24 FIXED VAR
7/1/2024
6.00%
**
344,214

FNMA POOL AE0113 FN 07/40 FIXED VAR
7/1/2040
4.00%
**
726,244

FNMA POOL AE0654 FN 12/40 FLOATING VAR
12/1/2040
3.80%
**
6,229,462

FNMA POOL AE0758 FN 02/39 FIXED VAR
2/1/2039
7.00%
**
1,596,538

FNMA POOL AE0967 FN 06/39 FIXED VAR
6/1/2039
3.50%
**
1,272,001

FNMA POOL AE1840 FN 08/40 FIXED 5
8/1/2040
5.00%
**
62,163

FNMA POOL AE1862 FN 08/40 FIXED 5
8/1/2040
5.00%
**
678,447

FNMA POOL AE3505 FN 01/26 FIXED 3.5
1/1/2026
3.50%
**
293,545

FNMA POOL AE6090 FN 10/40 FIXED 4
10/1/2040
4.00%
**
519,659

FNMA POOL AE7283 FN 10/40 FIXED 4
10/1/2040
4.00%
**
23,967

FNMA POOL AH0210 FN 12/40 FIXED 4.5
12/1/2040
4.50%
**
1,844,131

FNMA POOL AH0943 FN 12/40 FIXED 4
12/1/2040
4.00%
**
1,322,992

FNMA POOL AH1115 FN 01/41 FIXED 4.5
1/1/2041
4.50%
**
3,614,531

FNMA POOL AH1508 FN 12/40 FIXED 4.5
12/1/2040
4.50%
**
1,961,342

FNMA POOL AH1559 FN 12/40 FIXED 4
12/1/2040
4.00%
**
1,598,559

FNMA POOL AH1560 FN 01/41 FIXED 4
1/1/2041
4.00%
**
2,076,632

FNMA POOL AH1565 FN 12/40 FIXED 4.5
12/1/2040
4.50%
**
952,819

FNMA POOL AH2683 FN 01/41 FIXED 4
1/1/2041
4.00%
**
2,452,854

FNMA POOL AH3203 FN 01/41 FIXED 4
1/1/2041
4.00%
**
496,387

FNMA POOL AH4404 FN 01/41 FIXED 4
1/1/2041
4.00%
**
2,567,408

FNMA POOL AH6958 FN 02/41 FLOATING VAR
2/1/2041
2.89%
**
539,734

FNMA POOL AI0511 FN 04/41 FIXED 5
4/1/2041
5.00%
**
147,729

FNMA POOL AI1051 FN 06/26 FIXED 4
6/1/2026
4.00%
**
666,980

FNMA POOL AI1863 FN 05/41 FIXED 5
5/1/2041
5.00%
**
314,275

FNMA POOL AI1892 FN 05/41 FIXED 5
5/1/2041
5.00%
**
1,479,599

FNMA POOL AI2433 FN 05/41 FIXED 5
5/1/2041
5.00%
**
399,868

FNMA POOL AI2443 FN 05/41 FIXED 5
5/1/2041
5.00%
**
243,793

FNMA POOL AI2462 FN 05/41 FIXED 5
5/1/2041
5.00%
**
260,361

FNMA POOL AI2737 FN 05/41 FIXED 5
5/1/2041
5.00%
**
49,528

FNMA POOL AI4261 FN 06/41 FIXED 5
6/1/2041
5.00%
**
210,599

FNMA POOL AI8382 FN 09/26 FIXED 3.5
9/1/2026
3.50%
**
553,427

FNMA POOL AI8630 FN 07/42 FIXED 4
7/1/2042
4.00%
**
125,058

FNMA POOL AI9940 FN 09/41 FIXED 5
9/1/2041
5.00%
**
945,641

FNMA POOL AJ1884 FN 02/42 FIXED 3.5
2/1/2042
3.50%
**
853,773

FNMA POOL AJ2288 FN 09/41 FIXED 4
9/1/2041
4.00%
**
870,912

FNMA POOL AJ7688 FN 12/41 FIXED 4
12/1/2041
4.00%
**
2,191,916

FNMA POOL AJ9317 FN 01/42 FIXED 4
1/1/2042
4.00%
**
3,209,095

FNMA POOL AJ9982 FN 08/42 FIXED 3.5
8/1/2042
3.50%
**
4,631,571

FNMA POOL AK0968 FN 02/27 FIXED 3
2/1/2027
3.00%
**
921,304

FNMA POOL AK1140 FN 02/27 FIXED 3
2/1/2027
3.00%
**
630,469

FNMA POOL AK1608 FN 01/27 FIXED 3
1/1/2027
3.00%
**
640,787

FNMA POOL AK6966 FN 03/27 FIXED 3
3/1/2027
3.00%
**
929,520

FNMA POOL AL0007 FN 12/34 FIXED VAR
12/1/2034
5.00%
**
1,354,993

FNMA POOL AL0009 FN 12/34 FIXED VAR
12/1/2034
5.50%
**
1,382,461


147
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL AL0215 FN 04/41 FIXED VAR
4/1/2041
4.50%
**
2,230,512

FNMA POOL AL0476 FN 11/40 FIXED VAR
11/1/2040
5.00%
**
1,162,239

FNMA POOL AL0484 FN 05/40 FIXED VAR
5/1/2040
5.50%
**
518,712

FNMA POOL AL0533 FN 07/41 FLOATING VAR
7/1/2041
3.22%
**
1,728,585

FNMA POOL AL0998 FN 10/41 FIXED VAR
10/1/2041
4.50%
**
1,191,859

FNMA POOL AL1051 FN 09/41 FIXED VAR
9/1/2041
4.50%
**
798,284

FNMA POOL AL1469 FN 02/39 FIXED VAR
2/1/2039
7.00%
**
1,534,018

FNMA POOL AL1470 FN 04/37 FIXED VAR
4/1/2037
7.00%
**
633,699

FNMA POOL AL1938 FN 12/26 FIXED VAR
12/1/2026
4.00%
**
2,055,792

FNMA POOL AL1945 FN 06/42 FIXED VAR
6/1/2042
3.50%
**
713,791

FNMA POOL AL2151 FN 03/42 FIXED VAR
3/1/2042
3.50%
**
1,462,876

FNMA POOL AL2389 FN 09/42 FIXED VAR
9/1/2042
3.50%
**
1,635,892

FNMA POOL AL2683 FN 09/26 FIXED VAR
9/1/2026
4.00%
**
2,854,139

FNMA POOL AL4324 FN 05/40 FIXED VAR
5/1/2040
6.50%
**
5,486,700

FNMA POOL AL4465 FN 07/28 FIXED VAR
7/1/2028
3.00%
**
2,803,539

FNMA POOL AL4741 FN 01/44 FIXED VAR
1/1/2044
4.50%
**
1,086,265

FNMA POOL AL5540 FN 07/44 FIXED VAR
7/1/2044
4.50%
**
795,174

FNMA POOL AL6308 FN 08/38 FIXED VAR
8/1/2038
5.00%
**
4,675,754

FNMA POOL AL6851 FN 10/43 FIXED VAR
10/1/2043
2.50%
**
944,562

FNMA POOL AL7204 FN 10/43 FIXED VAR
10/1/2043
5.00%
**
219,757

FNMA POOL AM8674 FN 04/25 FIXED 2.81
4/1/2025
2.81%
**
1,154,194

FNMA POOL AO0454 FN 08/42 FIXED 3.5
8/1/2042
3.50%
**
835,778

FNMA POOL AO0527 FN 05/27 FIXED 3
5/1/2027
3.00%
**
645,225

FNMA POOL AO4135 FN 06/42 FIXED 3.5
6/1/2042
3.50%
**
2,683,168

FNMA POOL AO4688 FN 07/43 FIXED 3
7/1/2043
3.00%
**
3,629,567

FNMA POOL AO6482 FN 07/42 FLOATING VAR
7/1/2042
2.25%
**
267,723

FNMA POOL AO7348 FN 08/42 FIXED 4
8/1/2042
4.00%
**
873,340

FNMA POOL AO8156 FN 08/27 FIXED 3
8/1/2027
3.00%
**
5,635,274

FNMA POOL AP0006 FN 07/42 FLOATING VAR
7/1/2042
2.01%
**
1,197,712

FNMA POOL AP2611 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
808,946

FNMA POOL AP3308 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
733,800

FNMA POOL AP3902 FN 10/42 FIXED 3
10/1/2042
3.00%
**
718,134

FNMA POOL AP4710 FN 08/42 FIXED 3.5
8/1/2042
3.50%
**
1,641,374

FNMA POOL AP5143 FN 09/42 FIXED 3
9/1/2042
3.00%
**
843,570

FNMA POOL AP6027 FN 04/43 FIXED 3
4/1/2043
3.00%
**
858,609

FNMA POOL AP6032 FN 04/43 FIXED 3
4/1/2043
3.00%
**
857,606

FNMA POOL AP6053 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
265,017

FNMA POOL AP6054 FN 07/43 FIXED 3
7/1/2043
3.00%
**
82,614

FNMA POOL AP8057 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
834,098

FNMA POOL AP8903 FN 10/42 FIXED 3.5
10/1/2042
3.50%
**
842,321

FNMA POOL AP9539 FN 10/42 FIXED 3
10/1/2042
3.00%
**
426,041

FNMA POOL AP9766 FN 10/42 FIXED 4
10/1/2042
4.00%
**
2,490,664

FNMA POOL AQ1802 FN 10/42 FIXED 3.5
10/1/2042
3.50%
**
694,766

FNMA POOL AQ5971 FN 12/42 FIXED 3
12/1/2042
3.00%
**
848,755

FNMA POOL AQ7192 FN 07/43 FIXED 3
7/1/2043
3.00%
**
152,828

FNMA POOL AQ8359 FN 01/43 FIXED 3
1/1/2043
3.00%
**
842,130

FNMA POOL AQ8653 FN 12/42 FIXED 2.5
12/1/2042
2.50%
**
677,791


148
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL AQ9990 FN 02/43 FIXED 2.5
2/1/2043
2.50%
**
1,762,318

FNMA POOL AR2602 FN 02/43 FIXED 2.5
2/1/2043
2.50%
**
577,425

FNMA POOL AR2638 FN 02/43 FIXED 3.5
2/1/2043
3.50%
**
833,500

FNMA POOL AR3368 FN 02/28 FIXED 2.5
2/1/2028
2.50%
**
329,155

FNMA POOL AR4343 FN 06/43 FIXED 3
6/1/2043
3.00%
**
523,553

FNMA POOL AR4473 FN 03/28 FIXED 2.5
3/1/2028
2.50%
**
2,515,792

FNMA POOL AR7182 FN 03/43 FIXED 2.5
3/1/2043
2.50%
**
693,716

FNMA POOL AR7213 FN 05/43 FIXED 2.5
5/1/2043
2.50%
**
680,953

FNMA POOL AR7214 FN 06/43 FIXED 3
6/1/2043
3.00%
**
3,518,618

FNMA POOL AR7399 FN 06/43 FIXED 3
6/1/2043
3.00%
**
227,046

FNMA POOL AR7970 FN 03/43 FIXED 2.5
3/1/2043
2.50%
**
633,669

FNMA POOL AR8600 FN 07/43 FIXED 2.5
7/1/2043
2.50%
**
862,147

FNMA POOL AR8749 FN 03/43 FIXED 3
3/1/2043
3.00%
**
3,383,334

FNMA POOL AR9203 FN 03/43 FIXED 3.5
3/1/2043
3.50%
**
2,125,288

FNMA POOL AS0047 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
1,040,181

FNMA POOL AS0070 FN 08/43 FIXED 4
8/1/2043
4.00%
**
878,546

FNMA POOL AS0302 FN 08/43 FIXED 3
8/1/2043
3.00%
**
168,705

FNMA POOL AS0522 FN 09/43 FIXED 3.5
9/1/2043
3.50%
**
419,514

FNMA POOL AS0838 FN 10/43 FIXED 5
10/1/2043
5.00%
**
563,514

FNMA POOL AS1364 FN 12/43 FIXED 3
12/1/2043
3.00%
**
157,987

FNMA POOL AS2369 FN 05/29 FIXED 3.5
5/1/2029
3.50%
**
2,593,135

FNMA POOL AS3282 FN 10/43 FIXED 3
10/1/2043
3.00%
**
343,534

FNMA POOL AS3293 FN 09/44 FIXED 4
9/1/2044
4.00%
**
2,338,210

FNMA POOL AS4271 FN 01/45 FIXED 4.5
1/1/2045
4.50%
**
414,486

FNMA POOL AS4354 FN 01/45 FIXED 4.5
1/1/2045
4.50%
**
3,328,339

FNMA POOL AS4427 FN 02/45 FIXED 4.5
2/1/2045
4.50%
**
2,800,240

FNMA POOL AS4431 FN 02/45 FIXED 4.5
2/1/2045
4.50%
**
1,499,921

FNMA POOL AT0162 FN 03/43 FIXED 2.5
3/1/2043
2.50%
**
709,562

FNMA POOL AT0238 FN 03/43 FIXED 2.5
3/1/2043
2.50%
**
1,148,446

FNMA POOL AT0333 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
851,251

FNMA POOL AT0874 FN 07/43 FIXED 3
7/1/2043
3.00%
**
160,880

FNMA POOL AT1572 FN 05/43 FIXED 3
5/1/2043
3.00%
**
3,565,133

FNMA POOL AT2008 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
760,714

FNMA POOL AT2043 FN 04/43 FIXED 3
4/1/2043
3.00%
**
87,883

FNMA POOL AT2722 FN 05/43 FIXED 3
5/1/2043
3.00%
**
1,644,266

FNMA POOL AT2725 FN 05/43 FIXED 3
5/1/2043
3.00%
**
17,971,848

FNMA POOL AT2894 FN 05/28 FIXED 2.5
5/1/2028
2.50%
**
412,039

FNMA POOL AT3389 FN 08/43 FIXED 3
8/1/2043
3.00%
**
920,925

FNMA POOL AT5198 FN 05/43 FIXED 2.5
5/1/2043
2.50%
**
506,194

FNMA POOL AT5612 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
727,968

FNMA POOL AT5690 FN 06/43 FIXED 3
6/1/2043
3.00%
**
157,414

FNMA POOL AT5803 FN 06/43 FIXED 3
6/1/2043
3.00%
**
169,416

FNMA POOL AT5994 FN 05/43 FIXED 3
5/1/2043
3.00%
**
320,271

FNMA POOL AT5995 FN 05/43 FIXED 3
5/1/2043
3.00%
**
185,561

FNMA POOL AT6656 FN 05/43 FIXED 2.5
5/1/2043
2.50%
**
791,812

FNMA POOL AT6764 FN 07/43 FIXED 3
7/1/2043
3.00%
**
95,461

FNMA POOL AT7213 FN 06/28 FIXED 2.5
6/1/2028
2.50%
**
156,263


149
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL AT7620 FN 06/43 FIXED 3
6/1/2043
3.00%
**
2,555,082

FNMA POOL AT8000 FN 06/43 FIXED 3
6/1/2043
3.00%
**
178,875

FNMA POOL AT8326 FN 06/43 FIXED 3
6/1/2043
3.00%
**
3,445,839

FNMA POOL AT8419 FN 06/43 FIXED 3
6/1/2043
3.00%
**
457,581

FNMA POOL AT8489 FN 08/43 FIXED 3
8/1/2043
3.00%
**
3,654,853

FNMA POOL AT8968 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
355,048

FNMA POOL AT9250 FN 07/43 FIXED 3
7/1/2043
3.00%
**
3,330,928

FNMA POOL AT9311 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
204,150

FNMA POOL AT9521 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
479,470

FNMA POOL AU1130 FN 09/43 FIXED 2.5
9/1/2043
2.50%
**
568,886

FNMA POOL AU1629 FN 07/43 FIXED 3
7/1/2043
3.00%
**
246,458

FNMA POOL AU1811 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
205,672

FNMA POOL AU1888 FN 06/28 FIXED 2.5
6/1/2028
2.50%
**
1,360,268

FNMA POOL AU2032 FN 07/43 FIXED 3
7/1/2043
3.00%
**
248,028

FNMA POOL AU3034 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
108,692

FNMA POOL AU3176 FN 08/43 FIXED 3
8/1/2043
3.00%
**
253,807

FNMA POOL AU3191 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
516,727

FNMA POOL AU3195 FN 08/43 FIXED 3
8/1/2043
3.00%
**
225,340

FNMA POOL AU3334 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
535,305

FNMA POOL AU3732 FN 08/43 FIXED 2.5
8/1/2043
2.50%
**
1,840,712

FNMA POOL AU3736 FN 08/43 FIXED 3
8/1/2043
3.00%
**
3,770,785

FNMA POOL AU3789 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
325,045

FNMA POOL AU3811 FN 08/43 FIXED 3
8/1/2043
3.00%
**
210,676

FNMA POOL AU4278 FN 09/43 FIXED 2.5
9/1/2043
2.50%
**
698,830

FNMA POOL AU4585 FN 08/43 FIXED 3
8/1/2043
3.00%
**
191,285

FNMA POOL AU5161 FN 08/43 FIXED 3
8/1/2043
3.00%
**
4,730,183

FNMA POOL AU5190 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
445,629

FNMA POOL AU5202 FN 08/43 FIXED 3
8/1/2043
3.00%
**
184,797

FNMA POOL AU5904 FN 09/33 FIXED 3.5
9/1/2033
3.50%
**
881,743

FNMA POOL AU8066 FN 09/43 FIXED 3
9/1/2043
3.00%
**
231,013

FNMA POOL AV0702 FN 12/43 FIXED 4
12/1/2043
4.00%
**
739,918

FNMA POOL AV0802 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
52,955

FNMA POOL AV4486 FN 01/44 FIXED 4.5
1/1/2044
4.50%
**
364,839

FNMA POOL AV4502 FN 01/44 FIXED 4.5
1/1/2044
4.50%
**
372,124

FNMA POOL AV4736 FN 12/43 FIXED 4
12/1/2043
4.00%
**
746,054

FNMA POOL AV5425 FN 01/44 FIXED 4.5
1/1/2044
4.50%
**
2,689,205

FNMA POOL AV5667 FN 01/44 FIXED 4
1/1/2044
4.00%
**
412,750

FNMA POOL AV5730 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
905,581

FNMA POOL AV5731 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
584,004

FNMA POOL AV5732 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
363,186

FNMA POOL AV5733 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
458,686

FNMA POOL AV5734 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
585,798

FNMA POOL AV7116 FN 03/44 FIXED 4.5
3/1/2044
4.50%
**
412,071

FNMA POOL AV8492 FN 02/44 FIXED 4.5
2/1/2044
4.50%
**
801,684

FNMA POOL AV9290 FN 02/44 FIXED 4.5
2/1/2044
4.50%
**
1,480,680

FNMA POOL AW9504 FN 01/45 FIXED 3
1/1/2045
3.00%
**
182,299

FNMA POOL AX3719 FN 07/27 FIXED 3.5
7/1/2027
3.50%
**
1,382,860


150
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA POOL AX4277 FN 01/45 FIXED 3
1/1/2045
3.00%
**
1,675,440

FNMA POOL AX4883 FN 12/44 FIXED 3
12/1/2044
3.00%
**
4,814,581

FNMA POOL AX4927 FN 12/44 FIXED 3
12/1/2044
3.00%
**
504,864

FNMA POOL AX6579 FN 01/45 FIXED 3
1/1/2045
3.00%
**
201,544

FNMA POOL AX7578 FN 01/45 FIXED 3
1/1/2045
3.00%
**
240,650

FNMA POOL AX9603 FN 03/45 FIXED 3
3/1/2045
3.00%
**
494,145

FNMA POOL AY4156 FN 03/45 FIXED 3
3/1/2045
3.00%
**
505,559

FNMA POOL AZ3743 FN 11/45 FIXED 3.5
11/1/2045
3.50%
**
2,637,305

FNMA POOL MA0214 FN 10/29 FIXED 5
10/1/2029
5.00%
**
989,575

FNMA POOL MA0243 FN 11/29 FIXED 5
11/1/2029
5.00%
**
699,514

FNMA POOL MA0295 FN 01/30 FIXED 5
1/1/2030
5.00%
**
468,998

FNMA POOL MA0583 FN 12/40 FIXED 4
12/1/2040
4.00%
**
10,764

FNMA POOL MA0670 FN 03/21 FIXED 3.5
3/1/2021
3.50%
**
344,298

FNMA POOL MA0706 FN 04/31 FIXED 4.5
4/1/2031
4.50%
**
404,904

FNMA POOL MA0734 FN 05/31 FIXED 4.5
5/1/2031
4.50%
**
1,242,697

FNMA POOL MA0776 FN 06/31 FIXED 4.5
6/1/2031
4.50%
**
1,225,049

FNMA POOL MA0816 FN 08/31 FIXED 4.5
8/1/2031
4.50%
**
925,102

FNMA POOL MA0833 FN 08/21 FIXED 3
8/1/2021
3.00%
**
194,414

FNMA POOL MA0913 FN 11/31 FIXED 4.5
11/1/2031
4.50%
**
804,197

FNMA POOL MA0939 FN 12/31 FIXED 4.5
12/1/2031
4.50%
**
944,600

FNMA POOL MA0968 FN 12/31 FIXED 4.5
12/1/2031
4.50%
**
164,273

FNMA POOL MA1044 FN 04/42 FIXED 3
4/1/2042
3.00%
**
254,333

FNMA POOL MA1146 FN 08/42 FIXED 4
8/1/2042
4.00%
**
7,271,815

FNMA POOL MA1177 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
516,920

FNMA POOL MA1221 FN 09/42 FIXED 4.5
9/1/2042
4.50%
**
170,791

FNMA POOL MA1253 FN 11/42 FIXED 4
11/1/2042
4.00%
**
1,980,499

FNMA POOL MA1272 FN 12/42 FIXED 3
12/1/2042
3.00%
**
1,837,579

FNMA POOL MA1372 FN 03/43 FIXED 3.5
3/1/2043
3.50%
**
8,145,986

FNMA POOL MA1403 FN 04/43 FIXED 3.5
4/1/2043
3.50%
**
6,453,384

FNMA POOL MA1412 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
729,091

FNMA POOL MA1436 FN 05/43 FIXED 3.5
5/1/2043
3.50%
**
3,727,876

FNMA POOL MA1458 FN 06/43 FIXED 3
6/1/2043
3.00%
**
1,686,147

FNMA POOL MA1493 FN 06/43 FIXED 2.5
6/1/2043
2.50%
**
463,349

FNMA POOL MA1510 FN 07/43 FIXED 4
7/1/2043
4.00%
**
94,862

FNMA POOL MA1547 FN 08/43 FIXED 4
8/1/2043
4.00%
**
583,465

FNMA POOL MA1582 FN 09/43 FIXED 3.5
9/1/2043
3.50%
**
3,972,484

FNMA POOL MA1591 FN 09/43 FIXED 4.5
9/1/2043
4.50%
**
1,988,585

FNMA POOL MA1629 FN 10/43 FIXED 4.5
10/1/2043
4.50%
**
1,819,109

FNMA POOL MA1664 FN 11/43 FIXED 4.5
11/1/2043
4.50%
**
1,198,232

FNMA POOL MA1711 FN 12/43 FIXED 4.5
12/1/2043
4.50%
**
1,489,752

FNMA POOL MA1728 FN 11/33 FIXED 5
11/1/2033
5.00%
**
358,453

FNMA POOL MA2189 FN 02/45 FIXED 3
2/1/2045
3.00%
**
106,531

FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE
1/20/2031
2.50%
**
8,262,439

FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE
1/20/2031
3.00%
**
63,652,208

FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE
1/20/2031
3.50%
**
82,735,873

FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
1/14/2046
3.00%
**
19,469,563

FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
2/11/2046
3.00%
**
26,589,483


151
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
1/14/2046
3.50%
**
52,331,964

FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
2/11/2046
3.50%
**
77,226,724

FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
1/14/2046
4.00%
**
(4,879,411
)
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
2/11/2046
4.00%
**
84,309,005

FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
1/14/2046
4.50%
**
4,426,218

FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
2/11/2046
4.50%
**
(12,485,047
)
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
1/14/2046
5.00%
**
3,496,401

FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE
1/14/2046
5.50%
**
3,426,784

FORD CREDIT AUTO LEASE TRUST FORDL 2014 A A3
4/15/2017
0.68%
**
708,699

FORD CREDIT AUTO LEASE TRUST FORDL 2014 B A3
9/15/2017
0.89%
**
1,764,879

FORD CREDIT AUTO LEASE TRUST FORDL 2015 A A2A
11/18/2016
0.79%
**
2,173,599

FORD CREDIT AUTO OWNER TRUST FORDO 2012 A A4
6/15/2017
1.15%
**
252,933

FORD CREDIT AUTO OWNER TRUST FORDO 2012 A B
8/15/2017
1.88%
**
411,140

FORD CREDIT AUTO OWNER TRUST FORDO 2012 D A3
4/15/2017
0.51%
**
2,565

FORD CREDIT AUTO OWNER TRUST FORDO 2013 A A3
7/15/2017
0.55%
**
187,706

FORD CREDIT AUTO OWNER TRUST FORDO 2013 B B
10/15/2018
1.11%
**
4,929,360

FORD CREDIT AUTO OWNER TRUST FORDO 2013 C A4
10/15/2018
1.25%
**
3,071,665

FORD CREDIT AUTO OWNER TRUST FORDO 2013 D A3
4/15/2018
0.67%
**
1,099,282

FORD CREDIT AUTO OWNER TRUST FORDO 2014 B A3
10/15/2018
0.90%
**
1,941,566

FORD CREDIT AUTO OWNER TRUST FORDO 2014 B A3
11/18/2016
0.90%
**
5,417,562

FORD CREDIT AUTO OWNER TRUST FORDO 2015 B A3
11/15/2019
1.16%
**
2,075,052

FORD CREDIT AUTO OWNER TRUST/F FORDR 2014 2 A 144A
4/15/2026
2.31%
**
1,964,203

FORD CREDIT AUTO OWNER TRUST/F FORDR 2015 1 A 144A
7/15/2026
2.12%
**
4,350,656

FORD CREDIT FLOORPLAN MASTER O FORDF 2014 2 A
2/15/2021
0.83%
**
24,311,082

FORD MOTOR COMPANY SR UNSECURED 01/43 4.75
1/15/2043
4.75%
**
734,098

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/18 2.145
1/9/2018
2.15%
**
959,659

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/18 2.375
1/16/2018
2.38%
**
1,251,244

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/20 8.125
1/15/2020
8.13%
**
25,815,132

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/21 3.2
1/15/2021
3.20%
**
5,068,517

FORD MOTOR CREDIT CO LLC SR UNSECURED 02/17 4.25
2/3/2017
4.25%
**
1,046,950

FORD MOTOR CREDIT CO LLC SR UNSECURED 02/21 5.75
2/1/2021
5.75%
**
2,439,609

FORD MOTOR CREDIT CO LLC SR UNSECURED 03/17 1.461
3/27/2017
1.46%
**
4,618,169

FORD MOTOR CREDIT CO LLC SR UNSECURED 03/19 2.375
3/12/2019
2.38%
**
606,095

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/16 1.7
5/9/2016
1.70%
**
6,154,252

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/18 5
5/15/2018
5.00%
**
22,291,094

FORD MOTOR CREDIT CO LLC SR UNSECURED 06/17 3
6/12/2017
3.00%
**
941,547

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/17 6.625
8/15/2017
6.63%
**
760,178

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/21 5.875
8/2/2021
5.88%
**
2,376,785

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/25 4.134
8/4/2025
4.13%
**
5,161,311

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/17 1.684
9/8/2017
1.68%
**
4,551,294

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/22 4.25
9/20/2022
4.25%
**
3,669,087

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/24 3.664
9/8/2024
3.66%
**
876,862

FORD MOTOR CREDIT CO LLC SR UNSECURED 10/18 2.551
10/5/2018
2.55%
**
242,148

FORD MOTOR CREDIT CO LLC SR UNSECURED 10/18 2.875
10/1/2018
2.88%
**
513,083

FORD MOTOR CREDIT CO LLC SR UNSECURED 11/19 2.597
11/4/2019
2.60%
**
1,001,063

FOREST LABORATORIES LLC COMPANY GUAR 144A 02/19 4.375
2/1/2019
4.38%
**
509,892

FOUR TIMES SQUARE TRUST FTST 2006 4TS A 144A
12/13/2028
5.40%
**
2,261,119


152
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 03/16 0.00000
3/16/2016
0.01%
**
30,730,888

FREDDIE MAC FHR 2135 OH
3/15/2029
6.50%
**
230,184

FREDDIE MAC FHR 2248 FB
9/15/2030
0.83%
**
7,464

FREDDIE MAC FHR 2319 PZ
5/15/2031
6.50%
**
614,592

FREDDIE MAC FHR 2410 PF
2/15/2032
1.31%
**
1,796,349

FREDDIE MAC FHR 2541 EQ
12/15/2017
5.00%
**
298,797

FREDDIE MAC FHR 2564 HJ
2/15/2018
5.00%
**
101,197

FREDDIE MAC FHR 2638 JG
2/15/2033
5.00%
**
626,814

FREDDIE MAC FHR 2649 KA
7/15/2018
4.50%
**
269,334

FREDDIE MAC FHR 2684 PE
1/15/2033
5.00%
**
35,802

FREDDIE MAC FHR 2707 QE
11/15/2018
4.50%
**
415,028

FREDDIE MAC FHR 2764 UE
10/15/2032
5.00%
**
285,165

FREDDIE MAC FHR 2780 YD
4/15/2019
5.00%
**
85,354

FREDDIE MAC FHR 2812 FL
2/15/2023
0.53%
**
452,448

FREDDIE MAC FHR 3055 CF
10/15/2035
0.74%
**
750,647

FREDDIE MAC FHR 3150 FA
5/15/2036
0.68%
**
3,979,684

FREDDIE MAC FHR 3209 EG
8/15/2020
4.50%
**
648,238

FREDDIE MAC FHR 3221 FW
9/15/2036
0.75%
**
2,026,771

FREDDIE MAC FHR 3231 FA
10/15/2036
0.73%
**
1,398,877

FREDDIE MAC FHR 3404 FB
1/15/2038
1.33%
**
3,511,556

FREDDIE MAC FHR 3439 CY
4/15/2023
4.50%
**
1,862,535

FREDDIE MAC FHR 3571 FL
8/15/2036
1.27%
**
1,120,492

FREDDIE MAC FHR 3578 VZ
8/15/2036
5.50%
**
1,343,428

FREDDIE MAC FHR 3613 HJ
12/15/2039
5.50%
**
1,165,745

FREDDIE MAC FHR 3616 FG
3/15/2032
0.98%
**
1,243,910

FREDDIE MAC FHR 3649 BW
3/15/2025
4.00%
**
404,758

FREDDIE MAC FHR 3653 HJ
4/15/2040
5.00%
**
417,672

FREDDIE MAC FHR 3680 MA
7/15/2039
4.50%
**
549,652

FREDDIE MAC FHR 3786 NA
7/15/2040
4.50%
**
2,663,535

FREDDIE MAC FHR 3786 P
1/15/2041
4.00%
**
18,623,511

FREDDIE MAC FHR 3843 GH
10/15/2039
3.75%
**
1,712,459

FREDDIE MAC FHR 3877 FA
11/15/2040
0.68%
**
4,102,909

FREDDIE MAC FHR 4042 EB
8/15/2039
6.50%
**
2,690,646

FREDDIE MAC FHR 4102 CE
11/15/2040
1.50%
**
1,657,858

FREDDIE MAC FHR 4118 PD
5/15/2042
1.50%
**
821,157

FREDDIE MAC FHR 4227 VA
10/15/2037
3.50%
**
1,684,171

FREDDIE MAC FHR 4229 MA
5/15/2041
3.50%
**
2,883,794

FREDDIE MAC FHR 4239 AB
12/15/2039
4.00%
**
12,760,538

FREDDIE MAC FHR 4305 A
6/15/2048
3.50%
**
3,224,657

FREDDIE MAC FHR 4305 KA
3/15/2038
3.00%
**
2,158,927

FREDDIE MAC FHR 4384 LA
9/15/2040
3.50%
**
13,422,088

FREDDIE MAC FHR 4462 KA
1/15/2045
3.50%
**
17,715,637

FREDDIE MAC NOTES 01/18 0.75
1/12/2018
0.75%
**
3,333,981

FREDDIE MAC NOTES 01/22 2.375
1/13/2022
2.38%
**
5,864,815

FREDDIE MAC NOTES 02/17 0.875
2/22/2017
0.88%
**
5,120,853

FREDDIE MAC NOTES 03/17 1
3/8/2017
1.00%
**
3,691,994

FREDDIE MAC NOTES 03/18 0.875
3/7/2018
0.88%
**
2,589,574


153
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

FREDDIE MAC NOTES 04/16 5.25
4/18/2016
5.25%
**
6,233,903

FREDDIE MAC NOTES 05/16 2.5
5/27/2016
2.50%
**
5,162,933

FREDDIE MAC NOTES 07/17 0.75
7/14/2017
0.75%
**
3,566,991

FREDDIE MAC NOTES 08/16 2
8/25/2016
2.00%
**
3,873,567

FREDDIE MAC NOTES 08/19 1.25
8/1/2019
1.25%
**
673,850

FREDDIE MAC NOTES 09/17 1
9/29/2017
1.00%
**
22,328,132

FREDDIE MAC NOTES 10/16 0.875
10/14/2016
0.88%
**
55,026,278

FREDDIE MAC NOTES 10/18 1.2
10/29/2018
1.20%
**
13,178,099

FREDDIE MAC SENIOR NOTES 11/16 0.625
11/1/2016
0.63%
**
1,719,202

FREDDIE MAC WHOLE LOAN FHW 2005 S001 2A2
9/25/2045
0.57%
**
850,369

FREEPORT MCMORAN INC COMPANY GUAR 03/17 2.15
3/1/2017
2.15%
**
242,840

FREEPORT MCMORAN INC COMPANY GUAR 03/18 2.375
3/15/2018
2.38%
**
319,708

FREEPORT MCMORAN INC COMPANY GUAR 11/17 2.3
11/14/2017
2.30%
**
2,792,773

FREEPORT MCMORAN INC COMPANY GUAR 11/21 4
11/14/2021
4.00%
**
682,453

FREEPORT MCMORAN OIL+GAS COMPANY GUAR 02/23 6.875
2/15/2023
6.88%
**
233,049

FREEPORT MCMORAN OIL+GAS COMPANY GUAR 11/20 6.5
11/15/2020
6.50%
**
189,027

FREMF MORTGAGE TRUST FREMF 2013 KF02 C 144A
12/25/2045
4.42%
**
314,196

FREMF MORTGAGE TRUST FREMF 2014 K36 C 144A
12/25/2046
4.36%
**
627,208

FREMF MORTGAGE TRUST FREMF 2014 K503 C 144A
10/25/2047
3.01%
**
374,273

GATX CORP SR UNSECURED 03/19 2.5
3/15/2019
2.50%
**
9,805,658

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2006 GG7 A4
7/10/2038
5.83%
**
1,225,751

GE CAPITAL CREDIT CARD MASTER GEMNT 2010 2 A
3/15/2020
4.47%
**
1,326,665

GE CAPITAL CREDIT CARD MASTER GEMNT 2012 6 A
8/17/2020
1.36%
**
2,141,241

GE CAPITAL CREDIT CARD MASTER GEMNT 2012 7 A
9/15/2022
1.76%
**
12,426,725

GE CAPITAL INTL FUNDING COMPANY GUAR 144A 04/16 0.964
4/15/2016
0.96%
**
30,499,732

GE CAPITAL INTL FUNDING COMPANY GUAR 144A 11/20 2.342
11/15/2020
2.34%
**
6,008,544

GE CAPITAL INTL FUNDING COMPANY GUAR 144A 11/25 3.373
11/15/2025
3.37%
**
1,846,528

GE COMMERCIAL MORTGAGE CORPORA GECMC 2007 C1 A1A
12/10/2049
5.48%
**
3,428,221

GE DEALER FLOORPLAN MASTER NOT GEDFT 2015 1 A
1/20/2020
0.90%
**
6,526,019

GENERAL DYNAMICS CORP COMPANY GUAR 11/22 2.25
11/15/2022
2.25%
**
881,727

GENERAL ELEC CAP CORP COMPANY GUAR 01/16 5
1/8/2016
5.00%
**
415,105

GENERAL ELECTRIC CAPITAL CORP COMPANY GUAR 01/16 1
1/8/2016
1.00%
**
204,944

GENERAL ELECTRIC CO SR UNSECURED 01/17 2.9
1/9/2017
2.90%
**
833,421

GENERAL ELECTRIC CO SR UNSECURED 01/20 2.2
1/9/2020
2.20%
**
1,519,095

GENERAL ELECTRIC CO SR UNSECURED 01/20 5.5
1/8/2020
5.50%
**
1,034,351

GENERAL ELECTRIC CO SR UNSECURED 01/23 3.1
1/9/2023
3.10%
**
9,943,235

GENERAL ELECTRIC CO SR UNSECURED 02/17 5.4
11/18/2016
5.40%
**
3,026,638

GENERAL ELECTRIC CO SR UNSECURED 03/44 4.5
3/11/2044
4.50%
**
1,065,102

GENERAL ELECTRIC CO SR UNSECURED 05/20 5.55
5/4/2020
5.55%
**
492,561

GENERAL ELECTRIC CO SR UNSECURED 09/17 5.625
9/15/2017
5.63%
**
295,006

GENERAL ELECTRIC CO SR UNSECURED 09/20 4.375
9/16/2020
4.38%
**
77,868

GENERAL ELECTRIC CO SR UNSECURED 10/21 4.65
10/17/2021
4.65%
**
187,196

GENERAL ELECTRIC CO SR UNSECURED 10/22 2.7
10/9/2022
2.70%
**
714,286

GENERAL ELECTRIC CO SUBORDINATED 02/21 5.3
2/11/2021
5.30%
**
596,226

GENERAL ELECTRIC CO SUBORDINATED 11/67 VAR
11/15/2067
6.38%
**
5,350,495

GENERAL MILLS INC SR UNSECURED 01/16 0.875
1/29/2016
0.88%
**
3,076,827

GENERAL MILLS INC SR UNSECURED 02/17 5.7
2/15/2017
5.70%
**
1,366,700


154
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GENERAL MILLS INC SR UNSECURED 02/19 5.65
2/15/2019
5.65%
**
224,924

GENERAL MOTORS CO SR UNSECURED 10/18 3.5
10/2/2018
3.50%
**
4,936,914

GENERAL MOTORS FINL CO COMPANY GUAR 01/19 3.1
1/15/2019
3.10%
**
4,036,586

GENERAL MOTORS FINL CO COMPANY GUAR 11/20 3.7
11/24/2020
3.70%
**
10,017,895

GEORGIA POWER COMPANY SR UNSECURED 05/22 2.85
5/15/2022
2.85%
**
704,390

GILEAD SCIENCES INC SR UNSECURED 02/20 2.35
2/1/2020
2.35%
**
6,470,230

GILEAD SCIENCES INC SR UNSECURED 02/25 3.5
2/1/2025
3.50%
**
4,603,131

GILEAD SCIENCES INC SR UNSECURED 04/19 2.05
4/1/2019
2.05%
**
4,773,677

GILEAD SCIENCES INC SR UNSECURED 04/21 4.5
4/1/2021
4.50%
**
1,092,038

GILEAD SCIENCES INC SR UNSECURED 04/24 3.7
4/1/2024
3.70%
**
524,812

GILEAD SCIENCES INC SR UNSECURED 09/18 1.85
9/4/2018
1.85%
**
2,665,535

GLAXOSMITHKLINE CAP INC COMPANY GUAR 03/23 2.8
3/18/2023
2.80%
**
1,828,883

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/17 1.5
5/8/2017
1.50%
**
329,287

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/22 2.85
5/8/2022
2.85%
**
11,576,168

GLENCORE FINANCE CANADA COMPANY GUAR 144A 10/17 VAR
10/25/2017
2.70%
**
2,128,362

GLENCORE FINANCE CANADA COMPANY GUAR 144A 11/16 5.8
11/15/2016
5.80%
**
428,762

GM FINANCIAL AUTOMOBILE LEASIN GMALT 2014 2A A3 144A
1/22/2018
1.22%
**
2,148,239

GM FINANCIAL AUTOMOBILE LEASIN GMALT 2015 3 A4
11/20/2019
1.81%
**
2,639,336

GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1
7/19/2035
3.20%
**
2,793,549

GMF FLOORPLAN OWNER REVOLVING GFORT 2015 1 A2 144A
5/15/2020
0.83%
**
8,676,067

GNMA I TBA 30 YR 3 SINGLE FAMILY MORTGAGE
1/21/2046
3.00%
**
11,412,110

GNMA II POOL 002958 G2 08/30 FIXED 8
8/20/2030
8.00%
**
21,874

GNMA II POOL 003529 G2 03/34 FIXED 5
3/20/2034
5.00%
**
5,801

GNMA II POOL 003879 G2 07/36 FIXED 6
7/20/2036
6.00%
**
3,732

GNMA II POOL 004028 G2 09/37 FIXED 6
9/20/2037
6.00%
**
100,910

GNMA II POOL 004040 G2 10/37 FIXED 6.5
10/20/2037
6.50%
**
26,950

GNMA II POOL 004041 G2 10/37 FIXED 7
10/20/2037
7.00%
**
467,687

GNMA II POOL 004060 G2 12/37 FIXED 6
12/20/2037
6.00%
**
98,309

GNMA II POOL 004073 G2 01/38 FIXED 6
1/20/2038
6.00%
**
199,983

GNMA II POOL 004099 G2 03/38 FIXED 6
3/20/2038
6.00%
**
40,971

GNMA II POOL 004195 G2 07/38 FIXED 6
7/20/2038
6.00%
**
14,943

GNMA II POOL 004222 G2 08/38 FIXED 6
8/20/2038
6.00%
**
99,183

GNMA II POOL 004224 G2 08/38 FIXED 7
8/20/2038
7.00%
**
511,134

GNMA II POOL 004245 G2 09/38 FIXED 6
9/20/2038
6.00%
**
1,205,508

GNMA II POOL 004247 G2 09/38 FIXED 7
9/20/2038
7.00%
**
431,332

GNMA II POOL 004268 G2 10/38 FIXED 6
10/20/2038
6.00%
**
11,698

GNMA II POOL 004291 G2 11/38 FIXED 6
11/20/2038
6.00%
**
580,480

GNMA II POOL 004371 G2 02/39 FIXED 6
2/20/2039
6.00%
**
19,465

GNMA II POOL 004423 G2 04/39 FIXED 4.5
4/20/2039
4.50%
**
11,808

GNMA II POOL 004447 G2 05/39 FIXED 5
5/20/2039
5.00%
**
206,173

GNMA II POOL 004520 G2 08/39 FIXED 5
8/20/2039
5.00%
**
1,090,932

GNMA II POOL 004543 G2 09/39 FIXED 6
9/20/2039
6.00%
**
73,457

GNMA II POOL 004602 G2 12/39 FIXED 6
12/20/2039
6.00%
**
16,626

GNMA II POOL 004617 G2 01/40 FIXED 4.5
1/20/2040
4.50%
**
867,930

GNMA II POOL 004696 G2 05/40 FIXED 4.5
5/20/2040
4.50%
**
1,954,182

GNMA II POOL 004697 G2 05/40 FIXED 5
5/20/2040
5.00%
**
407,541

GNMA II POOL 004717 G2 06/40 FIXED 6
6/20/2040
6.00%
**
42,105


155
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GNMA II POOL 004746 G2 07/40 FIXED 4.5
7/20/2040
4.50%
**
444,932

GNMA II POOL 004747 G2 07/40 FIXED 5
7/20/2040
5.00%
**
2,451,614

GNMA II POOL 004772 G2 08/40 FIXED 5
8/20/2040
5.00%
**
673,306

GNMA II POOL 004774 G2 08/40 FIXED 6
8/20/2040
6.00%
**
583,038

GNMA II POOL 004800 G2 09/40 FIXED 4
9/20/2040
4.00%
**
1,010,341

GNMA II POOL 004801 G2 09/40 FIXED 4.5
9/20/2040
4.50%
**
37,648

GNMA II POOL 004802 G2 09/40 FIXED 5
9/20/2040
5.00%
**
530,114

GNMA II POOL 004833 G2 10/40 FIXED 4
10/20/2040
4.00%
**
3,315,911

GNMA II POOL 004834 G2 10/40 FIXED 4.5
10/20/2040
4.50%
**
126,251

GNMA II POOL 004837 G2 10/40 FIXED 6
10/20/2040
6.00%
**
151,908

GNMA II POOL 004855 G2 11/40 FIXED 5
11/20/2040
5.00%
**
2,405,268

GNMA II POOL 004883 G2 12/40 FIXED 4.5
12/20/2040
4.50%
**
629,890

GNMA II POOL 004905 G2 12/40 FIXED 6
12/20/2040
6.00%
**
884,194

GNMA II POOL 004922 G2 01/41 FIXED 4
1/20/2041
4.00%
**
689,649

GNMA II POOL 004923 G2 01/41 FIXED 4.5
1/20/2041
4.50%
**
837,178

GNMA II POOL 004945 G2 02/41 FIXED 4
2/20/2041
4.00%
**
525,018

GNMA II POOL 004978 G2 03/41 FIXED 4.5
3/20/2041
4.50%
**
13,891,843

GNMA II POOL 004979 G2 03/41 FIXED 5
3/20/2041
5.00%
**
1,277,423

GNMA II POOL 004984 G2 03/41 FIXED 5.5
3/20/2041
5.50%
**
1,137,447

GNMA II POOL 004991 G2 03/41 FIXED 6
3/20/2041
6.00%
**
302,205

GNMA II POOL 005016 G2 04/41 FIXED 4
4/20/2041
4.00%
**
434,964

GNMA II POOL 005017 G2 04/41 FIXED 4.5
4/20/2041
4.50%
**
1,284,661

GNMA II POOL 005018 G2 04/41 FIXED 5
4/20/2041
5.00%
**
877,368

GNMA II POOL 005019 G2 04/41 FIXED 6
4/20/2041
6.00%
**
175,464

GNMA II POOL 005063 G2 05/41 FIXED 6
5/20/2041
6.00%
**
231,440

GNMA II POOL 005082 G2 06/41 FIXED 4.5
6/20/2041
4.50%
**
820,085

GNMA II POOL 005115 G2 07/41 FIXED 4.5
7/20/2041
4.50%
**
193,719

GNMA II POOL 005140 G2 08/41 FIXED 4.5
8/20/2041
4.50%
**
1,783,004

GNMA II POOL 005189 G2 09/41 FIXED 6
9/20/2041
6.00%
**
418,387

GNMA II POOL 005240 G2 11/41 FIXED 6
11/20/2041
6.00%
**
442,788

GNMA II POOL 005259 G2 12/41 FIXED 4
12/20/2041
4.00%
**
253,762

GNMA II POOL 005269 G2 12/41 FIXED 6
12/20/2041
6.00%
**
41,810

GNMA II POOL 005280 G2 01/42 FIXED 4
1/20/2042
4.00%
**
381,648

GNMA II POOL 005305 G2 02/42 FIXED 4
2/20/2042
4.00%
**
2,388,775

GNMA II POOL 005326 G2 03/27 FIXED 3
3/20/2027
3.00%
**
516,721

GNMA II POOL 008358 G2 01/24 FLOATING VAR
1/20/2024
1.75%
**
19,466

GNMA II POOL 008399 G2 04/24 FLOATING VAR
4/20/2024
1.75%
**
18,059

GNMA II POOL 008744 G2 11/25 FLOATING VAR
11/20/2025
1.63%
**
47,127

GNMA II POOL 008770 G2 12/25 FLOATING VAR
12/20/2025
1.63%
**
52,712

GNMA II POOL 008781 G2 01/26 FLOATING VAR
1/20/2026
1.75%
**
1,135

GNMA II POOL 008788 G2 01/26 FLOATING VAR
1/20/2026
1.75%
**
12,777

GNMA II POOL 080012 G2 11/26 FLOATING VAR
11/20/2026
1.63%
**
21,790

GNMA II POOL 080106 G2 08/27 FLOATING VAR
8/20/2027
1.88%
**
25,522

GNMA II POOL 080397 G2 04/30 FLOATING VAR
4/20/2030
2.00%
**
4,090

GNMA II POOL 783368 G2 07/41 FIXED 4.5
7/20/2041
4.50%
**
2,673,313

GNMA II POOL MA0023 G2 04/42 FIXED 4
4/20/2042
4.00%
**
749,083

GNMA II POOL MA0317 G2 08/42 FIXED 3
8/20/2042
3.00%
**
2,299,091


156
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GNMA II POOL MA0318 G2 08/42 FIXED 3.5
8/20/2042
3.50%
**
4,709,945

GNMA II POOL MA0391 G2 09/42 FIXED 3
9/20/2042
3.00%
**
2,669,903

GNMA II POOL MA0392 G2 09/42 FIXED 3.5
9/20/2042
3.50%
**
3,396,580

GNMA II POOL MA0462 G2 10/42 FIXED 3.5
10/20/2042
3.50%
**
4,730,101

GNMA II POOL MA0624 G2 12/42 FIXED 3
12/20/2042
3.00%
**
777,610

GNMA II POOL MA0698 G2 01/43 FIXED 3
1/20/2043
3.00%
**
792,893

GNMA II POOL MA1012 G2 05/43 FIXED 3.5
5/20/2043
3.50%
**
3,639,127

GNMA II POOL MA1448 G2 11/43 FIXED 3.5
11/20/2043
3.50%
**
35,029

GNMA II POOL MA2961 G2 07/45 FIXED 3.5
7/20/2045
3.50%
**
1,976,269

GNMA II POOL MA3033 G2 08/45 FIXED 3
8/20/2045
3.00%
**
2,050,590

GNMA II POOL MA3035 G2 08/45 FIXED 4
8/20/2045
4.00%
**
2,084,549

GNMA II POOL MA3104 G2 09/45 FIXED 3
9/20/2045
3.00%
**
8,256,432

GNMA II TBA 30 YR 3 JUMBOS
1/21/2046
3.00%
**
2,596,486

GNMA II TBA 30 YR 3.5 JUMBOS
1/21/2046
3.50%
**
56,081,260

GNMA II TBA 30 YR 3.5 JUMBOS
2/22/2046
3.50%
**
17,903,638

GNMA II TBA 30 YR 4 JUMBOS
1/21/2046
4.00%
**
33,842,647

GNMA II TBA 30 YR 4.5 JUMBOS
1/21/2046
4.50%
**
2,201,834

GNMA POOL 146412 GN 04/16 FIXED 9.5
4/15/2016
9.50%
**
47

GNMA POOL 300672 GN 04/22 FIXED 8.5
4/15/2022
8.50%
**
7,599

GNMA POOL 315855 GN 01/22 FIXED 8.5
1/15/2022
8.50%
**
2,173

GNMA POOL 322562 GN 04/22 FIXED 8.5
4/15/2022
8.50%
**
11,771

GNMA POOL 389023 GN 11/22 FIXED 8.5
11/15/2022
8.50%
**
351

GNMA POOL 438506 GN 01/27 FIXED 7
1/15/2027
7.00%
**
10,019

GNMA POOL 476784 GN 08/28 FIXED 7
8/15/2028
7.00%
**
19,441

GNMA POOL 497630 GN 02/29 FIXED 6
2/15/2029
6.00%
**
7,381

GNMA POOL 498387 GN 02/29 FIXED 6
2/15/2029
6.00%
**
5,005

GNMA POOL 521330 GN 05/35 FIXED 5
5/15/2035
5.00%
**
334,278

GNMA POOL 523278 GN 07/31 FIXED 6
7/15/2031
6.00%
**
48,504

GNMA POOL 543812 GN 02/31 FIXED 6
2/15/2031
6.00%
**
14,579

GNMA POOL 586373 GN 02/35 FIXED 5
2/15/2035
5.00%
**
13,032

GNMA POOL 594106 GN 09/33 FIXED 4.5
9/15/2033
4.50%
**
151,365

GNMA POOL 595611 GN 01/35 FIXED 5
1/15/2035
5.00%
**
12,160

GNMA POOL 603692 GN 06/34 FIXED 5
6/15/2034
5.00%
**
16,071

GNMA POOL 604497 GN 07/33 FIXED 5
7/15/2033
5.00%
**
14,982

GNMA POOL 607451 GN 01/34 FIXED 5
1/15/2034
5.00%
**
36,535

GNMA POOL 607465 GN 02/34 FIXED 5
2/15/2034
5.00%
**
60,969

GNMA POOL 610410 GN 08/33 FIXED 5
8/15/2033
5.00%
**
20,323

GNMA POOL 615656 GN 10/33 FIXED 5
10/15/2033
5.00%
**
10,296

GNMA POOL 623871 GN 06/34 FIXED 5
6/15/2034
5.00%
**
18,209

GNMA POOL 633701 GN 09/33 FIXED 5
9/15/2033
5.00%
**
22,365

GNMA POOL 636484 GN 03/35 FIXED 5
3/15/2035
5.00%
**
21,110

GNMA POOL 637746 GN 12/34 FIXED 5
12/15/2034
5.00%
**
17,868

GNMA POOL 638222 GN 12/34 FIXED 5
12/15/2034
5.00%
**
11,869

GNMA POOL 643362 GN 10/35 FIXED 5
10/15/2035
5.00%
**
17,849

GNMA POOL 646853 GN 08/35 FIXED 5.5
8/15/2035
5.50%
**
11,377

GNMA POOL 668014 GN 11/44 FIXED 3
11/15/2044
3.00%
**
4,856,912

GNMA POOL 672676 GN 04/38 FIXED 5.5
4/15/2038
5.50%
**
228,635


157
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GNMA POOL 676754 GN 03/38 FIXED 5.5
3/15/2038
5.50%
**
407,077

GNMA POOL 687179 GN 04/38 FIXED 5.5
4/15/2038
5.50%
**
318,137

GNMA POOL 687835 GN 08/38 FIXED 6
8/15/2038
6.00%
**
170,141

GNMA POOL 688043 GN 11/38 FIXED 6
11/15/2038
6.00%
**
237,337

GNMA POOL 689805 GN 08/23 FIXED 7
8/15/2023
7.00%
**
35,798

GNMA POOL 690922 GN 06/38 FIXED 5.5
6/15/2038
5.50%
**
271,892

GNMA POOL 697586 GN 11/38 FIXED 5.5
11/15/2038
5.50%
**
9,204

GNMA POOL 711379 GN 07/38 FIXED 5.5
7/15/2038
5.50%
**
5,141

GNMA POOL 723344 GN 09/39 FIXED 4
9/15/2039
4.00%
**
888,926

GNMA POOL 723430 GN 11/39 FIXED 4.5
11/15/2039
4.50%
**
375,151

GNMA POOL 733600 GN 04/40 FIXED 5
4/15/2040
5.00%
**
287,114

GNMA POOL 733627 GN 05/40 FIXED 5
5/15/2040
5.00%
**
624,889

GNMA POOL 736520 GN 04/40 FIXED 4.5
4/15/2040
4.50%
**
1,767,764

GNMA POOL 737111 GN 04/40 FIXED 4.5
4/15/2040
4.50%
**
897,024

GNMA POOL 738108 GN 03/41 FIXED 4.5
3/15/2041
4.50%
**
955,667

GNMA POOL 745243 GN 07/40 FIXED 4
7/15/2040
4.00%
**
1,290,739

GNMA POOL 771561 GN 08/41 FIXED 4
8/15/2041
4.00%
**
518,894

GNMA POOL 780049 GN 11/21 FIXED 9.5
11/15/2021
9.50%
**
4,241

GNMA POOL 780151 GN 12/21 FIXED 9
12/15/2021
9.00%
**
25,814

GNMA POOL 780345 GN 12/21 FIXED 9.5
12/15/2021
9.50%
**
5,964

GNMA POOL 781213 GN 12/17 FIXED 8
12/15/2017
8.00%
**
2,189

GNMA POOL 781804 GN 09/34 FIXED 6
9/15/2034
6.00%
**
418,085

GNMA POOL 781847 GN 12/34 FIXED 6
12/15/2034
6.00%
**
359,111

GNMA POOL 781885 GN 03/35 FIXED 5
3/15/2035
5.00%
**
25,960

GNMA POOL 781902 GN 02/35 FIXED 6
2/15/2035
6.00%
**
342,337

GNMA POOL 781958 GN 07/35 FIXED 5
7/15/2035
5.00%
**
32,381

GNMA POOL 782382 GN 08/38 FIXED 5.5
8/15/2038
5.50%
**
87,030

GNMA POOL 782436 GN 10/38 FIXED 6
10/15/2038
6.00%
**
214,514

GNMA POOL 782716 GN 07/39 FIXED 5
7/15/2039
5.00%
**
324,693

GNMA POOL 782838 GN 07/19 FIXED 4.5
7/15/2019
4.50%
**
188,252

GNMA POOL 799706 GN 09/42 FIXED 3.5
9/15/2042
3.50%
**
213,929

GNMA POOL AA5821 GN 11/42 FIXED 3
11/15/2042
3.00%
**
1,653,882

GNMA POOL AB3031 GN 10/42 FIXED 3
10/15/2042
3.00%
**
401,836

GNMA POOL AB9323 GN 09/42 FIXED 3.5
9/15/2042
3.50%
**
186,546

GNMA POOL AC3752 GN 12/42 FIXED 3
12/15/2042
3.00%
**
774,768

GNMA POOL AD1034 GN 07/43 FIXED 3
7/15/2043
3.00%
**
896,867

GNMA POOL AD2413 GN 05/43 FIXED 3.5
5/15/2043
3.50%
**
407,450

GNMA POOL AD2414 GN 05/43 FIXED 3.5
5/15/2043
3.50%
**
405,909

GNMA POOL AD4102 GN 07/43 FIXED 3
7/15/2043
3.00%
**
2,104,584

GNMA POOL AE7613 GN 07/43 FIXED 3
7/15/2043
3.00%
**
495,884

GNMA POOL AE7691 GN 08/43 FIXED 3
8/15/2043
3.00%
**
3,562,642

GNMA POOL AE8109 GN 01/44 FIXED 3.5
1/15/2044
3.50%
**
744,303

GNMA POOL AF5807 GN 01/44 FIXED 3.5
1/15/2044
3.50%
**
143,122

GNMA POOL AI6888 GN 05/45 FIXED 3
5/15/2045
3.00%
**
3,089,762

GNMA POOL AK6718 GN 01/45 FIXED 3
1/15/2045
3.00%
**
285,269

GNMA POOL AK7285 GN 03/45 FIXED 3
3/15/2045
3.00%
**
718,836



158
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GNMA POOL AK7286 GN 03/45 FIXED 3
3/15/2045
3.00%
**
3,090,715

GNMA POOL AK7329 GN 04/45 FIXED 3
4/15/2045
3.00%
**
6,175,611

GNMA POOL AK8997 GN 07/45 FIXED 3
7/15/2045
3.00%
**
4,565,773

GNMA POOL AL1539 GN 05/45 FIXED 3
5/15/2045
3.00%
**
3,089,665

GNMA POOL AL4608 GN 03/45 FIXED 3
3/15/2045
3.00%
**
4,117,460

GNMA POOL AL8635 GN 03/45 FIXED 3
3/15/2045
3.00%
**
2,060,645

GNMA POOL AM4099 GN 04/45 FIXED 3
4/15/2045
3.00%
**
3,741,241

GNMA POOL AM8643 GN 05/45 FIXED 3
5/15/2045
3.00%
**
3,789,814

GNMA POOL AM8646 GN 05/45 FIXED 3
5/15/2045
3.00%
**
3,091,397

GNMA POOL AN5715 GN 06/45 FIXED 3
6/15/2045
3.00%
**
1,041,471

GNMA POOL AN5721 GN 06/45 FIXED 3
6/15/2045
3.00%
**
466,798

GNMA POOL AN5726 GN 06/45 FIXED 3
6/15/2045
3.00%
**
11,450,758

GNMA POOL AN5734 GN 06/45 FIXED 3
6/15/2045
3.00%
**
4,909,416

GOLDCORP INC SR UNSECURED 06/21 3.625
6/9/2021
3.63%
**
17,353,861

GOLDEN CREDIT CARD TRUST GCCT 2015 3A A 144A
11/18/2016
0.62%
**
5,282,673

GOLDMAN SACHS CAP IV LIMITD GUARA 12/49 VAR
12/31/2049
4.00%
**
86,690

GOLDMAN SACHS GROUP INC SR UNSECURED 01/16 5.35
1/15/2016
5.35%
**
123,093

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 2.375
1/22/2018
2.38%
**
7,481,926

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 5.95
1/18/2018
5.95%
**
11,880,073

GOLDMAN SACHS GROUP INC SR UNSECURED 01/19 2.625
1/31/2019
2.63%
**
309,609

GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75
1/24/2022
5.75%
**
7,137,557

GOLDMAN SACHS GROUP INC SR UNSECURED 01/23 3.625
1/22/2023
3.63%
**
621,804

GOLDMAN SACHS GROUP INC SR UNSECURED 02/16 3.625
2/7/2016
3.63%
**
1,412,540

GOLDMAN SACHS GROUP INC SR UNSECURED 02/19 7.5
2/15/2019
7.50%
**
4,109,716

GOLDMAN SACHS GROUP INC SR UNSECURED 03/20 5.375
3/15/2020
5.38%
**
4,373,274

GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 4
3/3/2024
4.00%
**
29,048,954

GOLDMAN SACHS GROUP INC SR UNSECURED 04/18 6.15
4/1/2018
6.15%
**
41,399,604

GOLDMAN SACHS GROUP INC SR UNSECURED 04/18 VAR
4/30/2018
1.52%
**
5,146,794

GOLDMAN SACHS GROUP INC SR UNSECURED 04/20 2.6
4/23/2020
2.60%
**
1,016,923

GOLDMAN SACHS GROUP INC SR UNSECURED 06/20 6
6/15/2020
6.00%
**
10,978,113

GOLDMAN SACHS GROUP INC SR UNSECURED 07/18 2.9
7/19/2018
2.90%
**
28,603,755

GOLDMAN SACHS GROUP INC SR UNSECURED 07/21 5.25
7/27/2021
5.25%
**
7,737,938

GOLDMAN SACHS GROUP INC SR UNSECURED 07/24 3.85
7/8/2024
3.85%
**
8,407,186

GOLDMAN SACHS GROUP INC SR UNSECURED 09/20 2.75
9/15/2020
2.75%
**
711,702

GOLDMAN SACHS GROUP INC SR UNSECURED 10/19 2.55
10/23/2019
2.55%
**
243,784

GOLDMAN SACHS GROUP INC SR UNSECURED 10/45 4.75
10/21/2045
4.75%
**
539,496

GOLDMAN SACHS GROUP INC SR UNSECURED 11/18 VAR
11/15/2018
1.46%
**
1,851,958

GOLDMAN SACHS GROUP INC SUBORDINATED 05/45 5.15
5/22/2045
5.15%
**
258,800

GOLDMAN SACHS GROUP INC SUBORDINATED 10/25 4.25
10/21/2025
4.25%
**
1,169,404

GOLDMAN SACHS GROUP INC SUBORDINATED 10/37 6.75
10/1/2037
6.75%
**
5,030,819

GOVERNMENT NATIONAL MORTGAGE A GNR 1999 11 ZB
4/20/2029
6.50%
**
262,919

GOVERNMENT NATIONAL MORTGAGE A GNR 2002 31 FW
6/16/2031
0.74%
**
22,357

GOVERNMENT NATIONAL MORTGAGE A GNR 2006 38 FZ
9/16/2035
0.44%
**
1,108,368

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 76 CF
9/16/2039
1.14%
**
1,752,097

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 96 FT
10/20/2039
1.15%
**
1,588,986

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 109 CH
12/20/2037
3.00%
**
3,043,332

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 14 QP
12/20/2039
6.00%
**
178,912


159
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H10 FC
5/20/2060
1.23%
**
4,300,418

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H20 AF
10/20/2060
0.52%
**
6,771,311

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H22 FE
5/20/2059
0.54%
**
3,612,808

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 48 QA
8/16/2039
5.00%
**
625,359

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 52 NA
4/16/2041
4.00%
**
852,569

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H09 AF
3/20/2061
0.69%
**
1,485,505

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H11 FB
4/20/2061
0.69%
**
8,602,269

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 33 A
3/16/2040
1.90%
**
1,537,375

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 59 F
5/20/2042
0.85%
**
1,121,184

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 84 AB
7/16/2033
5.00%
**
814,696

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 WP
8/16/2042
6.50%
**
1,223,004

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 88 WA
6/20/2030
5.00%
**
1,857,164

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 47 AC
5/16/2055
2.50%
**
2,134,373

GOVERNMENT PROPERTIES IN SR UNSECURED 08/19 3.75
8/15/2019
3.75%
**
298,522

GREEN TREE AGENCY ADVANCE FUND GAAFT 2015 T1 AT1 144A
10/15/2046
2.30%
**
972,781

GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2
6/25/2045
0.86%
**
1,068,140

GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1
1/25/2037
0.60%
**
2,283,333

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG8 A4
11/10/2039
5.56%
**
2,574,413

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC16 A2
11/10/2046
3.03%
**
5,330,596

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC16 B
11/10/2046
5.16%
**
564,809

GS MORTGAGE SECURITIES TRUST GSMS 2013 NYC5 A 144A
1/10/2030
2.32%
**
150,602

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC18 A2
1/10/2047
2.92%
**
1,564,351

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC22 AAB
6/10/2047
3.47%
**
1,677,395

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC26 A4
11/10/2047
3.36%
**
8,478,201

GSAMP TRUST GSAMP 2004 AR1 A2B
6/25/2034
1.62%
**
2,275,903

GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 1AF 144A
3/25/2035
0.77%
**
2,035,700

GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1
3/25/2032
6.00%
**
4,230

GSR MORTGAGE LOAN TRUST GSR 2005 AR3 2A1
5/25/2035
0.66%
**
39,221

HALLIBURTON CO SR UNSECURED 08/16 1
8/1/2016
1.00%
**
2,148,552

HALLIBURTON CO SR UNSECURED 08/18 2
8/1/2018
2.00%
**
1,628,233

HALLIBURTON CO SR UNSECURED 09/19 6.15
9/15/2019
6.15%
**
405,958

HALLIBURTON CO SR UNSECURED 11/20 2.7
11/15/2020
2.70%
**
2,025,734

HALLIBURTON CO SR UNSECURED 11/22 3.375
11/15/2022
3.38%
**
2,521,116

HALLIBURTON CO SR UNSECURED 11/25 3.8
11/15/2025
3.80%
**
6,894,641

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2003 1 A
5/19/2033
2.57%
**
19,254

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 4A
7/19/2035
2.79%
**
788,850

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A
6/20/2035
0.74%
**
2,110,455

HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 11/17 1.55
11/17/2017
1.55%
**
1,150,504

HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2015 1 A4
8/15/2022
1.67%
**
6,131,165

HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2015 2 A3
3/16/2020
1.30%
**
2,038,146

HARRIS CORPORATION SR UNSECURED 04/18 1.999
4/27/2018
2.00%
**
886,544

HARTFORD FINL SVCS GRP SR UNSECURED 03/18 6.3
3/15/2018
6.30%
**
5,701,527

HARTFORD FINL SVCS GRP SR UNSECURED 03/20 5.5
3/30/2020
5.50%
**
2,064,500

HASHEMITE KINGDOM OF JOR US GOVT GUAR 06/22 2.578
6/30/2022
2.58%
**
3,262,825

HCP INC SR UNSECURED 01/17 6
1/30/2017
6.00%
**
213,487

HCP INC SR UNSECURED 01/18 6.7
1/30/2018
6.70%
**
6,122,704

HCP INC SR UNSECURED 02/19 3.75
2/1/2019
3.75%
**
105,714


160
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

HERTZ VEHICLE FINANCING LLC HERTZ 2013 1A A2 144A
8/25/2019
1.83%
**
1,314,440

HERTZ VEHICLE FINANCING LLC HERTZ 2015 3A A 144A
9/25/2021
2.67%
**
7,184,219

HESS CORP SR UNSECURED 02/19 8.125
2/15/2019
8.13%
**
1,265,899

HESS CORP SR UNSECURED 06/17 1.3
6/15/2017
1.30%
**
3,265,700

HILTON USA TRUST HILT 2013 HLT AFX 144A
11/5/2030
2.66%
**
16,105,038

HOME DEPOT INC SR UNSECURED 02/24 3.75
2/15/2024
3.75%
**
616,343

HOME DEPOT INC SR UNSECURED 03/16 5.4
3/1/2016
5.40%
**
227,020

HOME DEPOT INC SR UNSECURED 09/17 VAR
11/18/2016
0.88%
**
1,615,744

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 1 A3
11/21/2016
0.48%
**
101,517

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 2 A4
6/17/2019
0.66%
**
1,564,123

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 4 A3
9/18/2017
0.69%
**
1,157,849

HONDA AUTO RECEIVABLES OWNER T HAROT 2014 2 A3
3/19/2018
0.77%
**
2,252,208

HONDA AUTO RECEIVABLES OWNER T HAROT 2015 3 A2
11/18/2016
1.03%
**
3,652,992

HONEYWELL INTERNATIONAL SR UNSECURED 03/18 5.3
3/1/2018
5.30%
**
276,453

HONOLULU CITY CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41%
**
2,857,294

HONOLULU CITY CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41%
**
3,049,828

HONOLULU CITY CNTY HI HON 11/22 FIXED 2.512
11/1/2022
2.51%
**
4,010,891

HONOLULU CITY CNTY HI HON 11/23 FIXED 2.812
11/1/2023
2.81%
**
5,575,403

HP ENTERPRISE CO SR UNSECURED 144A 10/17 2.45
10/5/2017
2.45%
**
10,130,853

HP ENTERPRISE CO SR UNSECURED 144A 10/18 2.85
10/5/2018
2.85%
**
16,418,896

HP INC SR UNSECURED 06/21 4.3
6/1/2021
4.30%
**
827,016

HSBC BANK PLC SR UNSECURED 144A 05/18 1.5
5/15/2018
1.50%
**
19,255,436

HSBC BANK USA NA SUBORDINATED 08/20 4.875
8/24/2020
4.88%
**
408,332

HSBC BANK USA SUBORDINATED 08/17 6
8/9/2017
6.00%
**
16,350,334

HSBC FINANCE CORP SUBORDINATED 01/21 6.676
1/15/2021
6.68%
**
3,616,288

HSBC HOLDINGS PLC SR UNSECURED 01/22 4.875
1/14/2022
4.88%
**
3,141,584

HSBC HOLDINGS PLC SR UNSECURED 03/22 4
3/30/2022
4.00%
**
2,151,402

HSBC HOLDINGS PLC SR UNSECURED 04/21 5.1
4/5/2021
5.10%
**
444,298

HSBC HOLDINGS PLC SUBORDINATED 03/24 4.25
3/14/2024
4.25%
**
1,491,209

HSBC HOLDINGS PLC SUBORDINATED 05/32 7.625
5/17/2032
7.63%
**
1,299,314

HSBC HOLDINGS PLC SUBORDINATED 08/25 4.25
8/18/2025
4.25%
**
5,908,328

HSBC REPO
1/4/2016
0.56%
**
95,707,400

HSBC REPO
1/6/2016
0.43%
**
169,178,713

HSBC USA INC SR UNSECURED 08/18 2
8/7/2018
2.00%
**
1,710,830

HSBC USA INC SR UNSECURED 08/20 2.75
8/7/2020
2.75%
**
506,255

HSBC USA INC SR UNSECURED 11/17 1.5
11/13/2017
1.50%
**
3,160,246

HSBC USA INC SR UNSECURED 11/19 2.375
11/13/2019
2.38%
**
1,530,613

HUMANA INC SR UNSECURED 06/18 7.2
6/15/2018
7.20%
**
11,466

HUMANA INC SR UNSECURED 12/22 3.15
12/1/2022
3.15%
**
2,649,617

HUMANA INC. SR UNSECURED 08/18 6.3
8/1/2018
6.30%
**
774,813

HUNTINGTON AUTO TRUST HUNT 2012 2 A3
4/17/2017
0.51%
**
1,037

HUNTINGTON AUTO TRUST HUNT 2012 2 B
2/15/2018
1.07%
**
1,273,212

HUNTINGTON AUTO TRUST HUNT 2015 1 A4
6/15/2021
1.64%
**
3,548,492

HUNTINGTON BANCSHARES SR UNSECURED 08/18 2.6
8/2/2018
2.60%
**
205,178

HUNTINGTON NATIONAL BANK SR UNSECURED 02/18 1.7
2/26/2018
1.70%
**
4,726,034

HUNTINGTON NATIONAL BANK SR UNSECURED 04/17 1.375
4/24/2017
1.38%
**
254,630

HUNTINGTON NATIONAL BANK SR UNSECURED 04/19 2.2
4/1/2019
2.20%
**
305,133


161
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

HUNTINGTON NATIONAL BANK SR UNSECURED 06/18 2
6/30/2018
2.00%
**
4,897,787

HUNTINGTON NATIONAL BANK SR UNSECURED 11/18 2.2
11/6/2018
2.20%
**
7,552,658

HUTCH WHAMPOA INT 11 LTD COMPANY GUAR 144A 01/17 3.5
11/18/2016
3.50%
**
1,418,760

HYUNDAI AUTO LEASE SECURITIZAT HALST 2014 B A2 144A
11/18/2016
0.61%
**
1,838,925

HYUNDAI AUTO LEASE SECURITIZAT HALST 2015 A A2 144A
11/18/2016
1.00%
**
4,138,835

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A A3
7/17/2017
0.56%
**
222,080

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A A4
9/17/2018
0.75%
**
1,022,838

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A B
9/17/2018
1.13%
**
4,375,582

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 B A3
9/15/2017
0.71%
**
265,661

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 C B
3/15/2019
2.10%
**
546,725

HYUNDAI AUTO RECEIVABLES TRUST HART 2014 A A4
8/15/2019
1.32%
**
11,637,829

HYUNDAI AUTO RECEIVABLES TRUST HART 2014 B A4
11/15/2019
1.46%
**
1,839,855

HYUNDAI AUTO RECEIVABLES TRUST HART 2015 A A3
4/15/2019
1.05%
**
1,504,297

HYUNDAI AUTO RECEIVABLES TRUST HART 2015 C A2A
11/18/2016
0.99%
**
1,321,828

HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 08/16 1.875
11/18/2016
1.88%
**
2,140,277

HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 10/18 2.4
10/30/2018
2.40%
**
4,734,773

IBM CORP SR UNSECURED 02/18 1.25
2/8/2018
1.25%
**
1,459,444

IBM CORP SR UNSECURED 07/16 1.95
7/22/2016
1.95%
**
1,869,932

IBM CORP SR UNSECURED 11/19 8.375
11/1/2019
8.38%
**
1,526,841

ILLINOIS TOOL WORKS INC SR UNSECURED 03/19 1.95
3/1/2019
1.95%
**
205,156

IMPAC CMB TRUST IMM 2004 6 1A2
10/25/2034
1.20%
**
1,638,205

IMPAC CMB TRUST IMM 2004 9 1A1
1/25/2035
1.18%
**
367,555

IMPAC CMB TRUST IMM 2007 A M1 144A
5/25/2037
0.82%
**
4,387,340

IMPAC SECURED ASSETS CORP. IMSA 2006 2 2A1
8/25/2036
0.77%
**
154,294

IMPERIAL BRANDS FINANCE COMPANY GUAR 144A 02/18 2.05
2/11/2018
2.05%
**
1,050,668

IMPERIAL BRANDS FINANCE COMPANY GUAR REGS 02/23 3.5
2/11/2023
3.50%
**
9,331,762

ING BANK NV SR UNSECURED 144A 03/16 4
11/18/2016
4.00%
**
869,111

ING BANK NV SR UNSECURED 144A 03/17 3.75
3/7/2017
3.75%
**
314,941

ING BANK NV SR UNSECURED 144A 03/20 2.45
3/16/2020
2.45%
**
204,305

ING BANK NV SR UNSECURED 144A 08/18 2.05
8/17/2018
2.05%
**
4,760,430

INGERSOLL RAND GL HLD CO COMPANY GUAR 06/23 4.25
6/15/2023
4.25%
**
569,858

INGERSOLL RAND GL HLD CO COMPANY GUAR 08/18 6.875
8/15/2018
6.88%
**
1,255,488

INTEL CORP SR UNSECURED 07/20 2.45
7/29/2020
2.45%
**
244,596

INTEL CORP SR UNSECURED 07/25 3.7
7/29/2025
3.70%
**
3,359,909

INTEL CORP SR UNSECURED 07/45 4.9
7/29/2045
4.90%
**
4,332,295

INTEL CORP SR UNSECURED 10/16 1.95
10/1/2016
1.95%
**
515,549

INTEL CORP SR UNSECURED 12/17 1.35
12/15/2017
1.35%
**
5,708,013

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/18 2.5
10/15/2018
2.50%
**
234,645

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/23 4
10/15/2023
4.00%
**
5,276,844

INTERNATIONAL PAPER CO SR UNSECURED 02/22 4.75
2/15/2022
4.75%
**
1,294,670

INTERNATIONAL PAPER CO SR UNSECURED 06/18 7.95
6/15/2018
7.95%
**
1,214,253

INTESA SANPAOLO NEW YORK CERT OF DEPO 04/16 VAR
4/11/2016
1.70%
**
5,024,873

INTESA SANPAOLO SPA COMPANY GUAR 01/16 3.125
1/15/2016
3.13%
**
963,703

INTESA SANPAOLO SPA COMPANY GUAR 01/17 2.375
1/13/2017
2.38%
**
13,926,815

INTESA SANPAOLO SPA SUBORDINATED 144A 06/24 5.017
6/26/2024
5.02%
**
6,563,086

INTL BK RECON + DEVELOP SR UNSECURED 06/18 1
6/15/2018
1.00%
**
7,316,474

INTL LEASE FINANCE CORP SR SECURED 144A 09/16 6.75
9/1/2016
6.75%
**
1,284,518


162
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

INTUIT INC SR UNSECURED 03/17 5.75
3/15/2017
5.75%
**
1,132,662

JACKSON NATL LIFE GLOBAL SR SECURED 144A 10/17 VAR
11/18/2016
0.90%
**
6,673,169

JEFFERIES GROUP LLC SR UNSECURED 01/23 5.125
1/20/2023
5.13%
**
2,033,268

JEFFERIES GROUP LLC SR UNSECURED 04/18 5.125
4/13/2018
5.13%
**
133,221

JM SMUCKER CO COMPANY GUAR 03/18 1.75
3/15/2018
1.75%
**
4,941,340

JOHN DEERE CAPITAL CORP SR UNSECURED 01/20 1.7
1/15/2020
1.70%
**
728,823

JOHN DEERE CAPITAL CORP SR UNSECURED 03/19 1.95
3/4/2019
1.95%
**
306,527

JOHN DEERE CAPITAL CORP SR UNSECURED 04/19 2.25
4/17/2019
2.25%
**
905,647

JOHN DEERE CAPITAL CORP SR UNSECURED 06/16 2.25
6/7/2016
2.25%
**
3,580,657

JOHN DEERE CAPITAL CORP SR UNSECURED 07/17 VAR
11/18/2016
0.77%
**
3,227,634

JOHN DEERE CAPITAL CORP SR UNSECURED 10/16 1.05
10/11/2016
1.05%
**
2,835,594

JOHN DEERE CAPITAL CORP SR UNSECURED 12/17 1.55
12/15/2017
1.55%
**
225,556

JOHN DEERE OWNER TRUST 11/18 1.07
11/15/2018
1.07%
**
2,260,167

JOHN DEERE OWNER TRUST JDOT 2013 B A3
8/15/2017
0.87%
**
511,261

JOHN DEERE OWNER TRUST JDOT 2014 A A3
4/16/2018
0.92%
**
2,533,671

JOHNSON + JOHNSON SR UNSECURED 11/17 1.125
11/21/2017
1.13%
**
3,887,859

JOHNSON CONTROLS INC SR UNSECURED 01/16 5.5
1/15/2016
5.50%
**
194,905

JOHNSON CONTROLS INC SR UNSECURED 03/20 5
3/30/2020
5.00%
**
164,437

JOHNSON CONTROLS INC SR UNSECURED 11/17 1.4
11/2/2017
1.40%
**
2,001,744

JOHNSON CONTROLS INC SR UNSECURED 12/16 2.6
12/1/2016
2.60%
**
103,475

JOHNSON CONTROLS INC SR UNSECURED 12/16 2.6
11/18/2016
2.60%
**
1,744,313

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 CB16 AM
5/12/2045
5.59%
**
166,034

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP6 A1A
4/15/2043
5.47%
**
5,218,703

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP6 A4
4/15/2043
5.48%
**
1,284,205

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP7 A4
4/17/2045
5.91%
**
8,958,357

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD12 A1A
2/15/2051
5.85%
**
2,327,731

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2011 C5 A2
8/15/2046
3.15%
**
2,553,437

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2012 C6 A2
5/15/2045
2.21%
**
4,956,722

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 C10 A4
12/15/2047
2.88%
**
5,769,968

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 C13 A2
1/15/2046
2.67%
**
2,071,175

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 LC11 A4
4/15/2046
2.69%
**
8,463,168

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 FL6 A 144A
11/15/2031
1.73%
**
15,283,825

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 PHH C 144A
8/15/2027
2.43%
**
2,097,217

JP MORGAN MORTGAGE TRUST JPMMT 2004 A3 1A1
7/25/2034
2.50%
**
536,272

JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1
2/25/2035
2.71%
**
506,093

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 B
11/15/2045
4.93%
**
2,616,349

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 C
11/15/2045
5.08%
**
575,335

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C17 A2
1/15/2047
3.00%
**
2,088,525

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C17 B
1/15/2047
4.89%
**
328,825

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C22 C
9/15/2047
4.56%
**
963,861

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C23 AS
9/15/2047
4.20%
**
6,635,871

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C28 A2
10/15/2048
2.77%
**
7,643,229

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C30 A3
7/15/2048
3.32%
**
7,317,647

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C30 A5
7/15/2048
3.82%
**
5,857,813

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C30 B
7/15/2048
4.31%
**
3,086,466

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C31 A3
8/15/2048
3.80%
**
8,823,326

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C31 B
8/15/2048
4.62%
**
1,922,538


163
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C32 A2
11/15/2048
2.82%
**
3,619,669

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C32 A4
11/15/2048
3.33%
**
5,069,978

JPMCB LIQUIDITY FUND JP MORGAN SHORT TERM EQUITY IN
11/18/2016
 
**
257,818,561

JPMORGAN CHASE + CO SR UNSECURED 01/18 6
1/15/2018
6.00%
**
6,015,150

JPMORGAN CHASE + CO SR UNSECURED 01/20 2.25
1/23/2020
2.25%
**
12,399,443

JPMORGAN CHASE + CO SR UNSECURED 01/23 3.2
1/25/2023
3.20%
**
1,613,747

JPMORGAN CHASE + CO SR UNSECURED 02/16 VAR
2/26/2016
1.03%
**
3,484,271

JPMORGAN CHASE + CO SR UNSECURED 02/17 1.35
2/15/2017
1.35%
**
8,020,563

JPMORGAN CHASE + CO SR UNSECURED 02/17 VAR
2/15/2017
0.88%
**
23,347,983

JPMORGAN CHASE + CO SR UNSECURED 03/16 3.45
3/1/2016
3.45%
**
23,460,734

JPMORGAN CHASE + CO SR UNSECURED 03/18 1.7
3/1/2018
1.70%
**
13,547,189

JPMORGAN CHASE + CO SR UNSECURED 04/18 VAR
4/25/2018
0.87%
**
6,715,823

JPMORGAN CHASE + CO SR UNSECURED 04/19 6.3
4/23/2019
6.30%
**
229,800

JPMORGAN CHASE + CO SR UNSECURED 05/24 3.625
5/13/2024
3.63%
**
1,554,635

JPMORGAN CHASE + CO SR UNSECURED 06/20 2.75
6/23/2020
2.75%
**
16,468,329

JPMORGAN CHASE + CO SR UNSECURED 07/16 3.15
7/5/2016
3.15%
**
1,408,004

JPMORGAN CHASE + CO SR UNSECURED 07/20 4.4
7/22/2020
4.40%
**
924,218

JPMORGAN CHASE + CO SR UNSECURED 09/22 3.25
9/23/2022
3.25%
**
1,020,313

JPMORGAN CHASE + CO SR UNSECURED 10/19 2.2
10/22/2019
2.20%
**
5,285,308

JPMORGAN CHASE + CO SR UNSECURED 10/20 4.25
10/15/2020
4.25%
**
5,652,668

JPMORGAN CHASE + CO SUBORDINATED 05/23 3.375
5/1/2023
3.38%
**
312,200

JPMORGAN CHASE + CO SUBORDINATED 06/17 6.125
6/27/2017
6.13%
**
5,534,196

JPMORGAN CHASE + CO SUBORDINATED 09/24 3.875
9/10/2024
3.88%
**
8,470,538

JPMORGAN CHASE + CO SUBORDINATED 10/27 4.25
10/1/2027
4.25%
**
1,339,155

JPN BANK FOR INT L COOP GOVT GUARANT 03/16 5.25
3/23/2016
5.25%
**
12,616,433

KANSAS CITY POWER + LT SR UNSECURED 06/17 5.85
6/15/2017
5.85%
**
297,774

KELLOGG CO SR UNSECURED 05/16 4.45
5/30/2016
4.45%
**
207,633

KELLOGG CO SR UNSECURED 05/17 1.75
5/17/2017
1.75%
**
492,076

KELLOGG CO SR UNSECURED 11/16 1.875
11/17/2016
1.88%
**
618,845

KENTUCKY UTILITIES CO 1ST MORTGAGE 11/20 3.25
11/1/2020
3.25%
**
313,371

KERR MCGEE CORP COMPANY GUAR 07/24 6.95
7/1/2024
6.95%
**
2,080,595

KEY BANK NA SR UNSECURED 02/18 1.65
2/1/2018
1.65%
**
1,833,069

KEY BANK NA SR UNSECURED 03/20 2.25
3/16/2020
2.25%
**
1,980,886

KEY BANK NA SR UNSECURED 06/18 1.7
6/1/2018
1.70%
**
6,120,446

KEY BANK NA SR UNSECURED 12/19 2.5
12/15/2019
2.50%
**
4,745,842

KEYCORP SR UNSECURED 03/21 5.1
3/24/2021
5.10%
**
352,784

KEYCORP SR UNSECURED 12/18 2.3
12/13/2018
2.30%
**
3,633,874

KEYCORP STUDENT LOAN TRUST KSLT 2006 A 1B
12/27/2039
1.05%
**
4,081,079

KFW GOVT GUARANT 06/18 1
6/11/2018
1.00%
**
15,838,468

KFW GOVT GUARANT 08/18 1.125
8/6/2018
1.13%
**
9,043,310

KILROY REALTY LP COMPANY GUAR 07/18 4.8
7/15/2018
4.80%
**
1,380,957

KILROY REALTY LP COMPANY GUAR 10/25 4.375
10/1/2025
4.38%
**
2,075,797

KINDER MORGAN ENER PART COMPANY GUAR 02/17 6
2/1/2017
6.00%
**
362,839

KINDER MORGAN ENER PART COMPANY GUAR 02/19 2.65
2/1/2019
2.65%
**
3,315,594

KINDER MORGAN ENER PART COMPANY GUAR 04/20 6.5
4/1/2020
6.50%
**
329,335

KINDER MORGAN INC/DELAWA COMPANY GUAR 12/17 2
12/1/2017
2.00%
**
3,672,740

KLA TENCOR CORP SR UNSECURED 11/17 2.375
11/1/2017
2.38%
**
3,312,542


164
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

KLA TENCOR CORP SR UNSECURED 11/21 4.125
11/1/2021
4.13%
**
3,263,292

KONINKLIJKE PHILIPS NV SR UNSECURED 03/18 5.75
3/11/2018
5.75%
**
1,140,415

KOREA NATIONAL OIL CORP SR UNSECURED 144A 04/17 3.125
4/3/2017
3.13%
**
208,087

KRAFT HEINZ FOODS CO COMPANY GUAR 02/20 5.375
2/10/2020
5.38%
**
11,019,073

KRAFT HEINZ FOODS CO COMPANY GUAR 06/17 2.25
6/5/2017
2.25%
**
381,880

KRAFT HEINZ FOODS CO COMPANY GUAR 08/18 6.125
8/23/2018
6.13%
**
443,276

KRAFT HEINZ FOODS CO COMPANY GUAR 144A 07/18 2
7/2/2018
2.00%
**
2,628,200

KRAFT HEINZ FOODS CO COMPANY GUAR 144A 07/20 2.8
7/2/2020
2.80%
**
5,258,471

KRAFT HEINZ FOODS CO COMPANY GUAR 144A 07/25 3.95
7/15/2025
3.95%
**
8,186,045

KRAFT HEINZ FOODS CO SECURED 144A 02/25 4.875
2/15/2025
4.88%
**
4,041,063

KROGER CO/THE SR UNSECURED 01/17 2.2
1/15/2017
2.20%
**
527,337

KROGER CO/THE SR UNSECURED 01/19 2.3
1/15/2019
2.30%
**
991,428

KROGER CO/THE SR UNSECURED 02/24 4
2/1/2024
4.00%
**
3,079,814

L 3 COMMUNICATIONS CORP COMPANY GUAR 05/17 1.5
5/28/2017
1.50%
**
2,634,261

LAB CORP OF AMER HLDGS SR UNSECURED 05/16 3.125
5/15/2016
3.13%
**
515,600

LAB CORP OF AMER HLDGS SR UNSECURED 08/17 2.2
8/23/2017
2.20%
**
231,370

LAB CORP OF AMER HLDGS SR UNSECURED 11/18 2.5
11/1/2018
2.50%
**
195,181

LABORATORY CORP OF AMER SR UNSECURED 02/20 2.625
2/1/2020
2.63%
**
303,493

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C1 AM
2/15/2031
5.22%
**
282,795

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C3 A1A
3/15/2039
5.64%
**
9,158,359

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C6 A1A
9/15/2039
5.34%
**
4,733,689

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A1A
11/15/2038
5.34%
**
2,098,250

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A2
11/15/2038
5.30%
**
756,957

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A3
11/15/2038
5.35%
**
6,330,736

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 A3
9/15/2045
5.87%
**
2,455,314

LEHMAN XS TRUST LXS 2005 5N 1A1
11/25/2035
0.72%
**
1,347,946

LG+E AND KU ENERGY LLC SR UNSECURED 11/20 3.75
11/15/2020
3.75%
**
529,016

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 06/23 4.25
6/15/2023
4.25%
**
6,247,017

LIBERTY MUTUAL GROUP INC SR UNSECURED 144A 08/16 6.7
8/15/2016
6.70%
**
544,945

LINCOLN NATIONAL CORP SR UNSECURED 02/20 6.25
2/15/2020
6.25%
**
2,815,238

LINCOLN NATIONAL CORP SR UNSECURED 03/22 4.2
3/15/2022
4.20%
**
5,356,771

LINCOLN NATIONAL CORP SR UNSECURED 07/19 8.75
7/1/2019
8.75%
**
387,666

LLOYDS BANK PLC COMPANY GUAR 01/16 4.875
1/21/2016
4.88%
**
985,244

LLOYDS BANK PLC COMPANY GUAR 03/17 4.2
11/18/2016
4.20%
**
2,077,199

LLOYDS BANK PLC COMPANY GUAR 05/18 1.75
5/14/2018
1.75%
**
11,186,065

LLOYDS BANK PLC COMPANY GUAR 08/18 2
8/17/2018
2.00%
**
4,665,949

LLOYDS BANK PLC COMPANY GUAR 11/18 2.3
11/27/2018
2.30%
**
3,430,957

LLOYDS BANK PLC COMPANY GUAR 144A 01/20 5.8
1/13/2020
5.80%
**
4,366,060

LLOYDS BANKING GROUP PLC SUBORDINATED 144A 12/45 5.3
12/1/2045
5.30%
**
3,431,477

LOCKHEED MARTIN CORP COMPANY GUAR 05/16 7.65
5/1/2016
7.65%
**
115,220

LOCKHEED MARTIN CORP SR UNSECURED 01/26 3.55
1/15/2026
3.55%
**
329,059

LOCKHEED MARTIN CORP SR UNSECURED 09/16 2.125
9/15/2016
2.13%
**
515,850

LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 4 AV1
8/25/2033
1.04%
**
3,486,053

LYONDELLBASELL IND NV SR UNSECURED 04/19 5
4/15/2019
5.00%
**
4,360,318

LYONDELLBASELL IND NV SR UNSECURED 11/21 6
11/15/2021
6.00%
**
2,041,629

MACQUARIE BANK LTD SR UNSECURED 144A 02/17 5
2/22/2017
5.00%
**
741,864

MACQUARIE BANK LTD SR UNSECURED 144A 06/16 VAR
11/18/2016
0.96%
**
491,939


165
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MACQUARIE BANK LTD SR UNSECURED 144A 08/16 2
11/18/2016
2.00%
**
4,274,180

MACQUARIE BANK LTD SR UNSECURED 144A 10/17 1.6
10/27/2017
1.60%
**
3,871,578

MACYS RETAIL HLDGS INC COMPANY GUAR 07/17 7.45
7/15/2017
7.45%
**
6,233,371

MAGELLAN MIDSTREAM PARTN SR UNSECURED 07/19 6.55
7/15/2019
6.55%
**
296,462

MAGNA INTERNATIONAL INC SR UNSECURED 06/24 3.625
6/15/2024
3.63%
**
1,501,784

MANUF + TRADERS TRUST CO SR UNSECURED 02/20 2.1
2/6/2020
2.10%
**
3,975,216

MANUF + TRADERS TRUST CO SR UNSECURED 03/18 1.45
3/7/2018
1.45%
**
253,452

MANUF + TRADERS TRUST CO SR UNSECURED 07/17 1.4
7/25/2017
1.40%
**
6,028,213

MANUF + TRADERS TRUST CO SUBORDINATED 12/17 6.625
12/4/2017
6.63%
**
278,396

MARATHON OIL CORP SR UNSECURED 03/18 5.9
3/15/2018
5.90%
**
207,262

MARATHON OIL CORP SR UNSECURED 06/20 2.7
6/1/2020
2.70%
**
930,632

MARATHON PETROLEUM CORP SR UNSECURED 03/16 3.5
3/1/2016
3.50%
**
184,967

MARKEL CORPORATION SR UNSECURED 07/22 4.9
7/1/2022
4.90%
**
4,395,454

MARRIOTT INTERNATIONAL SR UNSECURED 10/20 3.375
10/15/2020
3.38%
**
5,163,091

MARSH + MCLENNAN COS INC SR UNSECURED 06/24 3.5
6/3/2024
3.50%
**
594,006

MARSH + MCLENNAN COS INC SR UNSECURED 09/19 2.35
9/10/2019
2.35%
**
511,155

MASS INSTITUTE OF TECH UNSECURED 07/38 3.959
7/1/2038
3.96%
**
8,404,946

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/17 2
4/5/2017
2.00%
**
918,309

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 07/18 5.25
7/31/2018
5.25%
**
2,531,402

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 11/20 2.45
11/23/2020
2.45%
**
4,332,618

MASTERCARD INC SR UNSECURED 04/24 3.375
4/1/2024
3.38%
**
2,953,069

MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1
12/25/2033
2.74%
**
810,246

MASTR ALTERNATIVE LOANS TRUST MALT 2004 8 7A1
9/25/2019
5.00%
**
128,109

MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2
11/25/2036
0.53%
**
2,754,704

MAXIM INTEGRATED PRODUCT SR UNSECURED 11/18 2.5
11/15/2018
2.50%
**
11,273,767

MCDONALD S CORP SR UNSECURED 03/18 5.35
3/1/2018
5.35%
**
614,444

MCDONALD S CORP SR UNSECURED 10/17 5.8
10/15/2017
5.80%
**
235,214

MCDONALD S CORP SR UNSECURED 12/18 2.1
12/7/2018
2.10%
**
4,778,193

MCDONALD S CORP SR UNSECURED 12/20 2.75
12/9/2020
2.75%
**
8,913,907

MCDONALD S CORP SR UNSECURED 12/45 4.875
12/9/2045
4.88%
**
1,340,230

MCKESSON CORP SR UNSECURED 03/17 1.292
3/10/2017
1.29%
**
3,140,065

MCKESSON CORP SR UNSECURED 03/17 5.7
3/1/2017
5.70%
**
1,395,632

MCKESSON CORP SR UNSECURED 03/19 2.284
3/15/2019
2.28%
**
426,627

MCKESSON CORP SR UNSECURED 03/21 4.75
3/1/2021
4.75%
**
320,986

MEAD JOHNSON NUTRITION C SR UNSECURED 11/19 4.9
11/1/2019
4.90%
**
424,259

MEDCO HEALTH SOLUTIONS COMPANY GUAR 03/18 7.125
3/15/2018
7.13%
**
339,824

MEDCO HEALTH SOLUTIONS COMPANY GUAR 09/20 4.125
9/15/2020
4.13%
**
107,502

MEDTRONIC INC COMPANY GUAR 02/17 0.875
2/27/2017
0.88%
**
3,918,862

MEDTRONIC INC COMPANY GUAR 03/18 1.5
3/15/2018
1.50%
**
10,094,654

MEDTRONIC INC COMPANY GUAR 03/20 2.5
3/15/2020
2.50%
**
206,395

MEDTRONIC INC COMPANY GUAR 03/20 4.45
3/15/2020
4.45%
**
1,246,842

MEDTRONIC INC COMPANY GUAR 03/22 3.125
3/15/2022
3.13%
**
5,444,492

MEDTRONIC INC COMPANY GUAR 03/22 3.15
3/15/2022
3.15%
**
3,211,263

MEDTRONIC INC COMPANY GUAR 03/25 3.5
3/15/2025
3.50%
**
13,275,030

MEDTRONIC INC COMPANY GUAR 04/23 2.75
4/1/2023
2.75%
**
429,472

MEIJI YASUDA LIFE INSURA SUBORDINATED 144A 10/45 VAR
10/20/2045
5.20%
**
8,001,917

MERCEDES BENZ AUTO LEASE TRUST MBALT 2014 A A3
12/15/2016
0.68%
**
613,101


166
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MERCEDES BENZ AUTO LEASE TRUST MBALT 2015 A A3
8/15/2017
1.10%
**
1,433,067

MERCEDES BENZ AUTO LEASE TRUST MBALT 2015 B A2A
11/18/2016
1.21%
**
3,516,478

MERCEDES BENZ AUTO LEASE TRUST MBALT 2015 B A3
7/16/2018
1.34%
**
2,397,903

MERCEDES BENZ AUTO RECEIVABLES MBART 2013 1 A4
11/15/2019
1.13%
**
1,515,242

MERCEDES BENZ AUTO RECEIVABLES MBART 2014 1 A3
10/15/2018
0.87%
**
2,768,898

MERCEDES BENZ AUTO RECEIVABLES MBART 2014 1 A4
11/16/2020
1.31%
**
1,827,036

MERCEDES BENZ AUTO RECEIVABLES MBART 2015 1 A3
12/16/2019
0.01%
**
5,095,134

MERCEDES BENZ AUTO RECEIVABLES MBART 2015 1 A3
12/16/2019
1.34%
**
3,057,080

MERCK + CO INC SR UNSECURED 01/21 3.875
1/15/2021
3.88%
**
2,669,451

MERCK + CO INC SR UNSECURED 02/20 1.85
2/10/2020
1.85%
**
2,916,972

MERCK + CO INC SR UNSECURED 02/25 2.75
2/10/2025
2.75%
**
13,347,327

MERCK + CO INC SR UNSECURED 05/16 0.7
5/18/2016
0.70%
**
7,641,955

MERRILL LYNCH MORTGAGE INVESTO MLMI 1998 C1 A3
11/15/2026
6.72%
**
1,407,202

MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A3
6/25/2035
2.57%
**
11,069,461

MERRILL LYNCH MORTGAGE TRUST MLMT 2006 C1 A4
5/12/2039
5.67%
**
5,069,877

MERRILL LYNCH MORTGAGE TRUST MLMT 2006 C1 AM
5/12/2039
5.67%
**
1,388,691

MERRILL LYNCH MORTGAGE TRUST MLMT 2007 C1 A3
6/12/2050
5.84%
**
26,562

MET LIFE GLOB FUNDING I SECURED 144A 04/17 1.3
11/18/2016
1.30%
**
3,851,729

MET LIFE GLOB FUNDING I SECURED 144A 04/19 2.3
4/10/2019
2.30%
**
9,685,763

METLIFE INC JR SUBORDINA 12/66 6.4
12/15/2066
6.40%
**
4,920,157

METLIFE INC SR UNSECURED 02/19 7.717
2/15/2019
7.72%
**
809,549

METLIFE INC SR UNSECURED 09/23 4.368
9/15/2023
4.37%
**
1,870,374

METLIFE INC SR UNSECURED 12/17 VAR
12/15/2017
1.90%
**
3,987,905

MICROSOFT CORP SR UNSECURED 02/16 2.5
2/8/2016
2.50%
**
503,033

MICROSOFT CORP SR UNSECURED 02/20 1.85
2/12/2020
1.85%
**
569,809

MICROSOFT CORP SR UNSECURED 02/55 4
2/12/2055
4.00%
**
5,983,012

MICROSOFT CORP SR UNSECURED 11/18 1.3
11/3/2018
1.30%
**
4,920,031

MIDAMERICAN ENERGY CO 1ST MORTGAGE 10/24 3.5
10/15/2024
3.50%
**
1,570,807

MITSUBISHI UFJ TR + BANK SR UNSECURED 144A 10/19 2.45
10/16/2019
2.45%
**
2,348,333

MIZUHO BANK LTD COMPANY GUAR 144A 04/17 1.3
4/16/2017
1.30%
**
1,577,428

MIZUHO BANK LTD COMPANY GUAR 144A 04/19 2.45
4/16/2019
2.45%
**
615,096

MIZUHO FIN GRP CAYMAN 3 COMPANY GUAR REGS 03/24 4.6
3/27/2024
4.60%
**
5,274,144

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 1 AM
2/12/2039
5.52%
**
2,078,598

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 2 A4
6/12/2046
5.88%
**
1,497,858

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 2 AM
6/12/2046
5.89%
**
331,271

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 3 AM
7/12/2046
5.46%
**
3,749,454

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 4 A3
12/12/2049
5.17%
**
3,397,906

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 AMA
9/12/2049
5.85%
**
1,534,860

MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1
6/25/2028
1.08%
**
309,544

MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1
4/25/2029
0.88%
**
17,884

MLCC MORTGAGE INVESTORS INC MLCC 2005 2 3A
10/25/2035
1.24%
**
515,781

MOLSON COORS BREWING CO COMPANY GUAR 05/17 2
5/1/2017
2.00%
**
312,607

MOLSON COORS BREWING CO COMPANY GUAR 05/22 3.5
5/1/2022
3.50%
**
247,281

MONDELEZ INTERNATIONAL SR UNSECURED 02/16 4.125
2/9/2016
4.13%
**
739,690

MONDELEZ INTERNATIONAL SR UNSECURED 02/19 2.25
2/1/2019
2.25%
**
9,971,827

MONDELEZ INTERNATIONAL SR UNSECURED 02/24 4
2/1/2024
4.00%
**
992,885

MONSANTO CO SR UNSECURED 06/17 1.15
6/30/2017
1.15%
**
9,180,818


167
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MONSANTO CO SR UNSECURED 07/24 3.375
7/15/2024
3.38%
**
459,169

MOODY S CORPORATION SR UNSECURED 07/19 2.75
7/15/2019
2.75%
**
516,690

MOODY S CORPORATION SR UNSECURED 07/44 5.25
7/15/2044
5.25%
**
523,271

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 A3
2/15/2046
2.66%
**
5,039,249

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 A4
2/15/2046
2.92%
**
456,075

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 AS
2/15/2046
3.21%
**
220,571

MORGAN STANLEY BAML TRUST MSBAM 2013 C9 AS
5/15/2046
3.46%
**
318,617

MORGAN STANLEY BAML TRUST MSBAM 2014 C14 A2
2/15/2047
2.92%
**
5,114,819

MORGAN STANLEY BAML TRUST MSBAM 2014 C15 A4
4/15/2047
4.05%
**
1,187,538

MORGAN STANLEY BAML TRUST MSBAM 2014 C16 ASB
6/15/2047
3.48%
**
5,403,495

MORGAN STANLEY BAML TRUST MSBAM 2014 C18 AS
10/15/2047
4.11%
**
2,331,443

MORGAN STANLEY BAML TRUST MSBAM 2014 C19 A2
12/15/2047
3.10%
**
17,845,820

MORGAN STANLEY BAML TRUST MSBAM 2015 C21 A3
3/15/2048
3.08%
**
1,992,758

MORGAN STANLEY BAML TRUST MSBAM 2015 C23 A2
7/15/2050
2.98%
**
3,129,262

MORGAN STANLEY BAML TRUST MSBAM 2015 C27 A3
12/15/2047
3.47%
**
5,920,678

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ9 A1A
7/12/2044
5.73%
**
1,793,160

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ9 A4FL
7/12/2044
0.46%
**
2,202,835

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ9 AM
7/12/2044
5.77%
**
383,801

MORGAN STANLEY CAPITAL I TRUST MSC 2006 IQ11 A4
10/15/2042
5.78%
**
539,032

MORGAN STANLEY CAPITAL I TRUST MSC 2006 IQ11 AM
10/15/2042
5.78%
**
185,715

MORGAN STANLEY CAPITAL I TRUST MSC 2007 HQ11 A31
2/12/2044
5.44%
**
97,261

MORGAN STANLEY CAPITAL I TRUST MSC 2007 HQ11 A4
2/12/2044
5.45%
**
838,381

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ13 A4
3/15/2044
5.36%
**
3,066,093

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ14 A2
4/15/2049
5.61%
**
1,185,379

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T25 A3
11/12/2049
5.51%
**
2,254,811

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 A1A
6/11/2042
5.64%
**
9,793,834

MORGAN STANLEY CAPITAL I TRUST MSC 2015 MS1 A2
5/15/2048
3.26%
**
8,574,231

MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M1
12/25/2034
1.10%
**
9,230,978

MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1
1/25/2035
0.74%
**
219,537

MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 1A1
11/25/2035
0.70%
**
32,753

MORGAN STANLEY REREMIC TRUST MSRR 2009 GG10 A4A 144A
8/12/2045
5.79%
**
1,612,521

MORGAN STANLEY REREMIC TRUST MSRR 2010 GG10 A4A 144A
8/15/2045
5.79%
**
31,999,663

MORGAN STANLEY SR UNSECURED 01/17 5.45
1/9/2017
5.45%
**
8,255,317

MORGAN STANLEY SR UNSECURED 01/18 1.875
1/5/2018
1.88%
**
16,059,778

MORGAN STANLEY SR UNSECURED 01/20 2.65
1/27/2020
2.65%
**
1,604,412

MORGAN STANLEY SR UNSECURED 01/20 5.5
1/26/2020
5.50%
**
1,257,842

MORGAN STANLEY SR UNSECURED 01/21 5.75
1/25/2021
5.75%
**
2,991,269

MORGAN STANLEY SR UNSECURED 02/16 1.75
2/25/2016
1.75%
**
2,821,192

MORGAN STANLEY SR UNSECURED 02/23 3.75
2/25/2023
3.75%
**
1,883,978

MORGAN STANLEY SR UNSECURED 03/17 4.75
3/22/2017
4.75%
**
1,937,071

MORGAN STANLEY SR UNSECURED 04/16 3.8
4/29/2016
3.80%
**
3,425,650

MORGAN STANLEY SR UNSECURED 04/17 5.55
4/27/2017
5.55%
**
860,130

MORGAN STANLEY SR UNSECURED 04/18 2.125
4/25/2018
2.13%
**
3,611,775

MORGAN STANLEY SR UNSECURED 04/18 6.625
4/1/2018
6.63%
**
6,691,153

MORGAN STANLEY SR UNSECURED 04/24 3.875
4/29/2024
3.88%
**
1,984,668

MORGAN STANLEY SR UNSECURED 05/19 7.3
5/13/2019
7.30%
**
4,472,932

MORGAN STANLEY SR UNSECURED 06/20 2.8
6/16/2020
2.80%
**
10,279,631


168
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

MORGAN STANLEY SR UNSECURED 08/17 6.25
8/28/2017
6.25%
**
2,852,654

MORGAN STANLEY SR UNSECURED 09/19 5.625
9/23/2019
5.63%
**
1,752,837

MORGAN STANLEY SR UNSECURED 10/16 5.75
10/18/2016
5.75%
**
2,225,633

MORGAN STANLEY SR UNSECURED 10/16 VAR
10/18/2016
0.77%
**
807,852

MORGAN STANLEY SR UNSECURED 12/17 5.95
12/28/2017
5.95%
**
18,467,716

MORGAN STANLEY SR UNSECURED 12/18 2.2
12/7/2018
2.20%
**
2,916,794

MORGAN STANLEY SUBORDINATED 05/23 4.1
5/22/2023
4.10%
**
238,086

MORGAN STANLEY SUBORDINATED 09/26 4.35
9/8/2026
4.35%
**
2,827,149

MORGAN STANLEY SUBORDINATED 11/22 4.875
11/1/2022
4.88%
**
184,870

MOTOR PLC MOTOR 2015 1A A1 144A
6/25/2022
1.02%
**
6,363,870

MUFG AMERICAS HLDGS CORP SR UNSECURED 02/20 2.25
2/10/2020
2.25%
**
4,428,213

MURPHY OIL CORP SR UNSECURED 12/17 2.5
12/1/2017
2.50%
**
3,053,465

MURRAY ST INV TRUST I COMPANY GUAR 03/17 VAR
3/9/2017
4.65%
**
4,960,969

MYLAN INC COMPANY GUAR 03/19 2.55
3/28/2019
2.55%
**
232,598

MYLAN INC COMPANY GUAR 06/16 1.8
6/24/2016
1.80%
**
793,635

MYLAN INC COMPANY GUAR 06/18 2.6
6/24/2018
2.60%
**
5,084,123

MYLAN INC COMPANY GUAR 11/16 1.35
11/29/2016
1.35%
**
6,215,559

MYLAN INC COMPANY GUAR 144A 01/23 3.125
1/15/2023
3.13%
**
2,124,971

N STAR REAL ESTATE CDO LTD NSTAR 2013 1A A 144A
8/25/2029
2.27%
**
1,153,459

NABORS INDUSTRIES INC COMPANY GUAR 02/18 6.15
2/15/2018
6.15%
**
5,052,146

NABORS INDUSTRIES INC COMPANY GUAR 09/16 2.35
9/15/2016
2.35%
**
183,530

NABORS INDUSTRIES INC COMPANY GUAR 09/21 4.625
9/15/2021
4.63%
**
559,971

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 06/17 VAR
11/18/2016
0.88%
**
2,871,763

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 07/16 3
7/27/2016
3.00%
**
621,401

NATIONAL CITY CORP SUBORDINATED 05/19 6.875
5/15/2019
6.88%
**
1,504,919

NATIONAL OILWELL VARCO I SR UNSECURED 12/17 1.35
12/1/2017
1.35%
**
426,137

NATIONAL RURAL UTIL COOP COLLATERAL T 01/17 1.1
1/27/2017
1.10%
**
4,273,756

NBCUNIVERSAL ENTERPRISE COMPANY GUAR 144A 04/18 VAR
4/15/2018
1.01%
**
4,322,155

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 01/23 2.875
1/15/2023
2.88%
**
432,428

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/16 2.875
4/1/2016
2.88%
**
3,136,491

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/20 5.15
4/30/2020
5.15%
**
1,802,051

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/21 4.375
4/1/2021
4.38%
**
2,504,396

NCUA GUARANTEED NOTES NGN 2010 C1 A2
10/29/2020
2.90%
**
1,477,717

NCUA GUARANTEED NOTES NGN 2010 R3 3A
12/8/2020
2.40%
**
406,024

NELNET STUDENT LOAN TRUST NSLT 2004 4 B
1/25/2041
0.62%
**
4,758,672

NELNET STUDENT LOAN TRUST NSLT 2007 1 B2
8/25/2037
5.37%
**
6,630,983

NETAPP INC SR UNSECURED 06/21 3.375
6/15/2021
3.38%
**
100,058

NEW YORK LIFE GLOBAL FDG SECURED 144A 01/19 2.1
1/2/2019
2.10%
**
1,026,043

NEW YORK LIFE GLOBAL FDG SECURED 144A 05/17 1.65
5/15/2017
1.65%
**
617,227

NEW YORK LIFE GLOBAL FDG SECURED 144A 11/18 1.55
11/2/2018
1.55%
**
2,124,189

NEW YORK LIFE GLOBAL FDG SECURED 144A 12/17 1.45
12/15/2017
1.45%
**
6,339,312

NEWELL RUBBERMAID INC SR UNSECURED 12/19 2.875
12/1/2019
2.88%
**
5,441,741

NEXTERA ENERGY CAPITAL COMPANY GUAR 06/17 1.586
6/1/2017
1.59%
**
4,262,825

NEXTERA ENERGY CAPITAL COMPANY GUAR 09/17 2.056
9/1/2017
2.06%
**
5,410,354

NIAGARA MOHAWK POWER SR UNSECURED 144A 08/19 4.881
8/15/2019
4.88%
**
448,330

NIPPON LIFE INSURANCE SUBORDINATED 144A 10/44 VAR
10/16/2044
5.10%
**
10,708,162



169
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

NISOURCE FINANCE CORP COMPANY GUAR 01/19 6.8
1/15/2019
6.80%
**
752,959

NISOURCE FINANCE CORP COMPANY GUAR 03/16 10.75
3/15/2016
10.75%
**
177,045

NISOURCE FINANCE CORP COMPANY GUAR 03/18 6.4
3/15/2018
6.40%
**
80,387

NISSAN AUTO LEASE TRUST NALT 2014 A A3
2/15/2017
0.80%
**
1,132,302

NISSAN AUTO LEASE TRUST NALT 2015 A A2A
11/18/2016
1.03%
**
4,516,643

NISSAN AUTO LEASE TRUST NALT 2015 B A2A
12/15/2017
1.18%
**
8,389,048

NISSAN AUTO LEASE TRUST NALT 2015 B A2A
11/18/2016
1.18%
**
7,167,409

NISSAN AUTO LEASE TRUST NALT 2015 B A3
4/16/2018
1.54%
**
2,043,837

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 B A4
12/17/2018
0.66%
**
713,557

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 B A4
11/18/2016
0.66%
**
1,934,956

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 A A3
5/15/2017
0.50%
**
85,289

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 C A3
8/15/2018
0.67%
**
1,371,993

NISSAN AUTO RECEIVABLES OWNER NAROT 2014 A A3
8/15/2018
0.72%
**
1,276,054

NISSAN AUTO RECEIVABLES OWNER NAROT 2014 B A3
5/15/2019
1.11%
**
816,240

NISSAN AUTO RECEIVABLES OWNER NAROT 2015 B A2B
11/18/2016
0.61%
**
2,647,630

NISSAN MASTER OWNER TRUST RECE NMOTR 2013 A A
2/15/2018
0.63%
**
8,197,637

NISSAN MASTER OWNER TRUST RECE NMOTR 2015 A A1
1/15/2020
0.73%
**
12,244,285

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/16 1
3/15/2016
1.00%
**
707,124

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/18 1.8
3/15/2018
1.80%
**
224,379

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/19 2.35
3/4/2019
2.35%
**
204,181

NOBLE ENERGY INC SR UNSECURED 03/19 8.25
3/1/2019
8.25%
**
991,311

NOBLE ENERGY INC SR UNSECURED 11/24 3.9
11/15/2024
3.90%
**
1,824,019

NOBLE ENERGY INC SR UNSECURED 12/21 4.15
12/15/2021
4.15%
**
3,843,232

NOBLE HOLDING INTL LTD COMPANY GUAR 03/17 2.5
3/15/2017
2.50%
**
723,114

NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A5
3/25/2047
6.35%
**
4,631,369

NOMURA HOLDINGS INC SR UNSECURED 01/16 4.125
1/19/2016
4.13%
**
2,272,140

NOMURA HOLDINGS INC SR UNSECURED 03/19 2.75
3/19/2019
2.75%
**
2,189,245

NOMURA HOLDINGS INC SR UNSECURED 09/16 2
9/13/2016
2.00%
**
1,851,883

NORDEA BANK AB 04/17 1
11/18/2016
0.68%
**
4,027,058

NORDEA BANK AB SR UNSECURED 144A 03/17 3.125
3/20/2017
3.13%
**
417,969

NORDEA BANK AB SR UNSECURED 144A 05/18 1.625
5/15/2018
1.63%
**
213,934

NORFOLK SOUTHERN CORP SR UNSECURED 04/18 5.75
4/1/2018
5.75%
**
906,773

NORFOLK SOUTHERN CORP SR UNSECURED 05/17 7.7
5/15/2017
7.70%
**
719,901

NORFOLK SOUTHERN CORP SR UNSECURED 06/19 5.9
6/15/2019
5.90%
**
2,369,035

NORTHERN TRUST COMPANY SUBORDINATED 08/18 6.5
8/15/2018
6.50%
**
284,984

NORTHROP GRUMMAN CORP SR UNSECURED 08/19 5.05
8/1/2019
5.05%
**
1,305,750

NOVARTIS CAPITAL CORP COMPANY GUAR 05/24 3.4
5/6/2024
3.40%
**
433,736

NOVARTIS CAPITAL CORP COMPANY GUAR 09/22 2.4
9/21/2022
2.40%
**
892,845

NSTAR ELECTRIC CO SR UNSECURED 11/17 5.625
11/15/2017
5.63%
**
184,862

NUCOR CORP SR UNSECURED 06/18 5.85
6/1/2018
5.85%
**
625,218

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/17 1.75
2/15/2017
1.75%
**
446,638


170
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/22 3.125
2/15/2022
3.13%
**
490,945

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/23 2.7
2/15/2023
2.70%
**
212,166

OHIO ST OHS 05/21 FIXED 4.534
5/1/2021
4.53%
**
11,371,043

OHIO ST OHS 05/22 FIXED 4.654
5/1/2022
4.65%
**
11,500,156

OMNICOM GROUP INC COMPANY GUAR 04/16 5.9
11/18/2016
5.90%
**
1,688,205

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2014 1A A 144A
6/18/2024
2.43%
**
2,144,455

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2015 2A A 144A
7/18/2025
2.57%
**
10,937,117

ONEOK PARTNERS LP COMPANY GUAR 02/16 3.25
11/18/2016
3.25%
**
2,364,834

ONEOK PARTNERS LP COMPANY GUAR 09/18 3.2
9/15/2018
3.20%
**
12,014,778

ONEOK PARTNERS LP COMPANY GUAR 10/16 6.15
10/1/2016
6.15%
**
315,574

ONEOK PARTNERS LP COMPANY GUAR 10/17 2
10/1/2017
2.00%
**
587,274

ONEOK PARTNERS LP COMPANY GUAR 10/22 3.375
10/1/2022
3.38%
**
195,323

ONTARIO (PROVINCE OF) SR UNSECURED 10/17 1.1
10/25/2017
1.10%
**
3,906,208

ORACLE CORP SR UNSECURED 01/16 5.25
1/15/2016
5.25%
**
5,841,174

ORACLE CORP SR UNSECURED 05/22 2.5
5/15/2022
2.50%
**
4,525,924

ORACLE CORP SR UNSECURED 05/25 2.95
5/15/2025
2.95%
**
4,292,505

ORACLE CORP SR UNSECURED 05/45 4.125
5/15/2045
4.13%
**
2,429,024

ORACLE CORP SR UNSECURED 07/19 5
7/8/2019
5.00%
**
1,848,202

ORACLE CORP SR UNSECURED 07/21 2.8
7/8/2021
2.80%
**
2,288,632

ORACLE CORP SR UNSECURED 10/17 1.2
10/15/2017
1.20%
**
7,558,126

ORACLE CORP SR UNSECURED 10/22 2.5
10/15/2022
2.50%
**
505,350

OSCAR US FUNDING TRUST OSCAR 2015 1A A4 144A
6/15/2022
2.44%
**
2,046,128

OVERSEAS PRIVATE INV COR US GOVT GUAR 04/17 0.00000
4/23/2017
3.56%
**
8,993,063

OVERSEAS PRIVATE INV COR US GOVT GUAR 05/30 3.43
5/15/2030
3.43%
**
8,716,224

OVERSEAS PRIVATE INV COR US GOVT GUAR 11/17 0.00000
11/17/2017
1.50%
**
8,718,251

PACCAR FINANCIAL CORP SR UNSECURED 03/17 1.6
3/15/2017
1.60%
**
270,030

PACCAR FINANCIAL CORP SR UNSECURED 03/18 1.45
3/9/2018
1.45%
**
2,660,593

PACCAR FINANCIAL CORP SR UNSECURED 08/18 1.75
8/14/2018
1.75%
**
3,421,082

PACCAR FINANCIAL CORP SR UNSECURED 11/17 1.4
11/17/2017
1.40%
**
306,472

PACIFIC GAS + ELECTRIC SR UNSECURED 03/34 6.05
3/1/2034
6.05%
**
362,204

PACIFIC GAS + ELECTRIC SR UNSECURED 06/23 3.25
6/15/2023
3.25%
**
1,776,938

PACIFIC GAS + ELECTRIC SR UNSECURED 10/18 8.25
10/15/2018
8.25%
**
1,726,920

PACIFIC GAS + ELECTRIC SR UNSECURED 11/17 5.625
11/30/2017
5.63%
**
892,692

PACIFIC GAS + ELECTRIC SR UNSECURED 11/23 3.85
11/15/2023
3.85%
**
1,346,797

PACIFICORP 1ST MORTGAGE 07/18 5.65
7/15/2018
5.65%
**
156,373

PENNSYLVANIA ELECTRIC CO SR UNSECURED 09/17 6.05
9/1/2017
6.05%
**
207,231

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/16 2.5
3/15/2016
2.50%
**
1,037,768

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/18 3.375
3/15/2018
3.38%
**
13,099,636

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 05/17 3.75
5/11/2017
3.75%
**
2,352,123

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 07/20 3.2
7/15/2020
3.20%
**
4,128,696

PENTAIR FINANCE SA COMPANY GUAR 09/18 2.9
9/15/2018
2.90%
**
3,125,641


171
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

PEOPLES UNITED BANK SUBORDINATED 07/24 4
7/15/2024
4.00%
**
461,024

PEPSICO INC SR UNSECURED 04/18 1.25
4/30/2018
1.25%
**
3,369,189

PEPSICO INC SR UNSECURED 06/18 5
6/1/2018
5.00%
**
1,480,320

PEPSICO INC SR UNSECURED 08/21 3
8/25/2021
3.00%
**
3,590,337

PEPSICO INC SR UNSECURED 11/18 7.9
11/1/2018
7.90%
**
593,149

PERNOD RICARD SA SR UNSECURED 144A 01/22 4.45
1/15/2022
4.45%
**
3,633,045

PERRIGO CO PLC SR UNSECURED 11/16 1.3
11/8/2016
1.30%
**
7,195,462

PERRIGO CO PLC SR UNSECURED 11/18 2.3
11/8/2018
2.30%
**
4,394,191

PERRIGO FINANCE UNLIMITD COMPANY GUAR 12/21 3.5
12/15/2021
3.50%
**
2,629,444

PETRO CANADA SR UNSECURED 05/18 6.05
5/15/2018
6.05%
**
900,696

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/17 3.25
3/17/2017
3.25%
**
947,852

PETROLEOS MEXICANOS COMPANY GUAR 144A 07/20 3.5
7/23/2020
3.50%
**
2,880,552

PFIZER INC SR UNSECURED 01/17 0.9
1/15/2017
0.90%
**
899,969

PFIZER INC SR UNSECURED 03/17 6.05
3/30/2017
6.05%
**
190,097

PFIZER INC SR UNSECURED 03/19 6.2
3/15/2019
6.20%
**
1,556,264

PFIZER INC SR UNSECURED 05/17 1.1
5/15/2017
1.10%
**
4,473,312

PHILIP MORRIS INTL INC SR UNSECURED 03/20 4.5
3/26/2020
4.50%
**
1,606,827

PHILIP MORRIS INTL INC SR UNSECURED 03/23 2.625
3/6/2023
2.63%
**
276,299

PHILIP MORRIS INTL INC SR UNSECURED 05/16 2.5
5/16/2016
2.50%
**
5,845,766

PHILIP MORRIS INTL INC SR UNSECURED 05/18 5.65
5/16/2018
5.65%
**
251,545

PHILIP MORRIS INTL INC SR UNSECURED 08/25 3.375
8/11/2025
3.38%
**
5,599,562

PHILIP MORRIS INTL INC SR UNSECURED 11/17 1.25
11/9/2017
1.25%
**
4,717,742

PHILIP MORRIS INTL INC SR UNSECURED 11/21 2.9
11/15/2021
2.90%
**
11,823,336

PHILLIPS 66 COMPANY GUAR 05/17 2.95
11/18/2016
2.95%
**
3,086,170

PIONEER NATURAL RESOURCE SR UNSECURED 05/18 6.875
5/1/2018
6.88%
**
2,095,553

PLAINS ALL AMER PIPELINE SR UNSECURED 01/17 6.125
1/15/2017
6.13%
**
2,511,009

PLAINS ALL AMER PIPELINE SR UNSECURED 01/20 5.75
1/15/2020
5.75%
**
2,565,167

PLAINS ALL AMER PIPELINE SR UNSECURED 05/18 6.5
5/1/2018
6.50%
**
455,041

PLAINS ALL AMER PIPELINE SR UNSECURED 10/23 3.85
10/15/2023
3.85%
**
12,333,051

PNC BANK NA SR UNSECURED 02/18 1.5
2/23/2018
1.50%
**
3,671,082

PNC BANK NA SR UNSECURED 06/18 1.6
6/1/2018
1.60%
**
3,051,184

PNC BANK NA SR UNSECURED 07/20 2.6
7/21/2020
2.60%
**
512,228

PNC BANK NA SR UNSECURED 11/16 1.15
11/1/2016
1.15%
**
3,036,531

PNC BANK NA SUBORDINATED 07/23 3.8
7/25/2023
3.80%
**
3,698,826

PNC BANK NA SUBORDINATED 09/17 4.875
9/21/2017
4.88%
**
2,901,394

PNC FUNDING CORP COMPANY GUAR 02/17 5.625
2/1/2017
5.63%
**
649,839

PNC FUNDING CORP COMPANY GUAR 06/19 6.7
6/10/2019
6.70%
**
1,423,036

PNC FUNDING CORP COMPANY GUAR 08/20 4.375
8/11/2020
4.38%
**
1,692,265

PNC FUNDING CORP COMPANY GUAR 09/16 2.7
9/19/2016
2.70%
**
517,385

PORSCHE INNOVATIVE LEASE OWNER PILOT 2014 1 A2 144A
11/18/2016
0.65%
**
513,999

PORSCHE INNOVATIVE LEASE OWNER PILOT 2015 1 A4 144A
5/21/2021
1.43%
**
2,336,073


172
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

PORT AUTH OF NEW YORK NEW JE PORTRN 12/24 FIXED 5.859
12/1/2024
5.86%
**
22,647,927

POTASH CORP SASKATCHEWAN SR UNSECURED 12/17 3.25
12/1/2017
3.25%
**
549,656

PPG INDUSTRIES INC SR UNSECURED 01/16 1.9
1/15/2016
1.90%
**
205,015

PPG INDUSTRIES INC SR UNSECURED 03/18 6.65
3/15/2018
6.65%
**
512,939

PPG INDUSTRIES INC SR UNSECURED 11/19 2.3
11/15/2019
2.30%
**
278,881

PPL CAPITAL FUNDING INC COMPANY GUAR 06/18 1.9
6/1/2018
1.90%
**
101,510

PRAXAIR INC SR UNSECURED 08/19 4.5
8/15/2019
4.50%
**
204,131

PRAXAIR INC SR UNSECURED 11/17 1.05
11/7/2017
1.05%
**
203,120

PRAXAIR INC SR UNSECURED 11/18 1.25
11/7/2018
1.25%
**
202,199

PRICOA GLOBAL FUNDING 1 SECURED 144A 11/20 2.55
11/24/2020
2.55%
**
339,604

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 05/18 1.6
5/29/2018
1.60%
**
152,011

PRIME MORTGAGE TRUST PRIME 2004 CL1 2A1
2/25/2019
5.00%
**
2,632

PRIME MORTGAGE TRUST PRIME 2005 2 1A1
7/25/2020
4.75%
**
171,379

PRINCIPAL FINANCIAL GROU COMPANY GUAR 05/23 3.125
5/15/2023
3.13%
**
3,011,814

PRINCIPAL FINANCIAL GROU COMPANY GUAR 11/17 1.85
11/15/2017
1.85%
**
333,305

PRINCIPAL LFE GLB FND II SR SECURED 144A 02/17 1.125
2/24/2017
1.13%
**
572,454

PRINCIPAL LFE GLB FND II SR SECURED 144A 09/17 1.5
9/11/2017
1.50%
**
291,137

PRINCIPAL LFE GLB FND II SR SECURED 144A 10/18 2.25
10/15/2018
2.25%
**
962,744

PRINCIPAL LFE GLB FND II SR SECURED 144A 12/17 VAR
11/18/2016
0.98%
**
7,481,247

PROCTER + GAMBLE CO/THE SR UNSECURED 08/16 1.45
8/15/2016
1.45%
**
2,232,454

PROGRESS ENERGY INC SR UNSECURED 03/19 7.05
3/15/2019
7.05%
**
3,922,952

PROGRESS ENERGY INC SR UNSECURED 04/22 3.15
4/1/2022
3.15%
**
784,417

PROGRESS ENERGY INC SR UNSECURED 12/19 4.875
12/1/2019
4.88%
**
6,707,303

PROGRESS RESIDENTIAL TRUST PROG 2015 SFR2 A 144A
6/12/2032
2.74%
**
1,135,943

PROVINCE OF QUEBEC UNSECURED 02/23 2.625
2/13/2023
2.63%
**
5,089,393

PRUDENTIAL FINANCIAL INC SR UNSECURED 05/16 3
5/12/2016
3.00%
**
283,354

PRUDENTIAL FINANCIAL INC SR UNSECURED 06/17 6.1
6/15/2017
6.10%
**
1,796,639

PRUDENTIAL FINANCIAL INC SR UNSECURED 06/19 7.375
6/15/2019
7.38%
**
178,378

PSEG POWER LLC COMPANY GUAR 09/16 2.75
9/15/2016
2.75%
**
3,099,020

PSEG POWER LLC COMPANY GUAR 11/18 2.45
11/15/2018
2.45%
**
680,372

PUBLIC SERVICE CO OF NEW SR UNSECURED 05/18 7.95
5/15/2018
7.95%
**
401,345

QUALCOMM INC SR UNSECURED 05/18 1.4
5/18/2018
1.40%
**
2,356,984

QUALCOMM INC SR UNSECURED 05/22 3
5/20/2022
3.00%
**
3,753,409

QUALCOMM INC SR UNSECURED 05/25 3.45
5/20/2025
3.45%
**
13,071,965

QUEST DIAGNOSTICS INC COMPANY GUAR 04/16 3.2
4/1/2016
3.20%
**
154,400

QVC INC SR SECURED 04/24 4.85
4/1/2024
4.85%
**
10,787,977

RABOBANK NEDERLAND NY SR UNSECURED 04/17 VAR
11/18/2016
0.65%
**
8,626,992

RABOBANK NEDERLAND NY SR UNSECURED 11/16 VAR
11/18/2016
0.66%
**
6,911,198

RAYTHEON COMPANY SR UNSECURED 02/20 4.4
2/15/2020
4.40%
**
205,190

RAYTHEON COMPANY SR UNSECURED 10/20 3.125
10/15/2020
3.13%
**
1,449,890

RAYTHEON COMPANY SR UNSECURED 12/24 3.15
12/15/2024
3.15%
**
1,268,018


173
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

RBC CAPITAL MARKETS REPO REPO
1/4/2016
0.54%
**
96,424,694

RBSGC MORTGAGE PASS THROUGH CE RBSGC 2007 B 1A4
1/25/2037
0.87%
**
987,603

REALTY INCOME CORP SR UNSECURED 01/18 2
1/31/2018
2.00%
**
256,322

REALTY INCOME CORP SR UNSECURED 09/17 5.375
9/15/2017
5.38%
**
205,327

REGENCY CENTERS LP COMPANY GUAR 06/17 5.875
6/15/2017
5.88%
**
1,417,720

REGIONS BANK SR UNSECURED 09/18 2.25
9/14/2018
2.25%
**
5,363,808

REGIONS FINANCIAL CORP SR UNSECURED 05/18 2
5/15/2018
2.00%
**
6,366,266

REPO BANK AMERICA REPO
1/4/2016
0.42%
**
140,794,398

REPO FIRST UNION NATL BK CHARL 02/15 VAR
1/4/2016
0.48%
**
101,958,098

REPUBLIC OF KOREA SR UNSECURED 04/19 7.125
4/16/2019
7.13%
**
6,025,365

REPUBLIC SERVICES INC COMPANY GUAR 05/18 3.8
5/15/2018
3.80%
**
520,107

REPUBLIC SERVICES INC COMPANY GUAR 11/21 5.25
11/15/2021
5.25%
**
1,359,417

RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 3A2
9/25/2046
0.63%
**
123,022

RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1
3/25/2032
6.50%
**
4,268

REYNOLDS AMERICAN INC COMPANY GUAR 06/17 6.75
6/15/2017
6.75%
**
6,546,861

REYNOLDS AMERICAN INC COMPANY GUAR 06/18 2.3
6/12/2018
2.30%
**
8,042,898

REYNOLDS AMERICAN INC COMPANY GUAR 06/18 7.75
6/1/2018
7.75%
**
392,851

REYNOLDS AMERICAN INC COMPANY GUAR 06/19 8.125
6/23/2019
8.13%
**
3,846,461

REYNOLDS AMERICAN INC COMPANY GUAR 06/20 3.25
6/12/2020
3.25%
**
13,965,312

REYNOLDS AMERICAN INC COMPANY GUAR 06/25 4.45
6/12/2025
4.45%
**
2,657,736

REYNOLDS AMERICAN INC COMPANY GUAR 08/16 3.5
8/4/2016
3.50%
**
2,697,859

REYNOLDS AMERICAN INC COMPANY GUAR 11/22 3.25
11/1/2022
3.25%
**
5,906,944

RIALTO REAL ESTATE FUND LP RIAL 2014 LT6 A 144A
9/15/2024
2.75%
**
1,231,791

RIO TINTO FIN USA PLC COMPANY GUAR 03/22 3.5
3/22/2022
3.50%
**
125,561

RIO TINTO FIN USA PLC COMPANY GUAR 06/16 1.375
6/17/2016
1.38%
**
1,751,223

RIO TINTO FIN USA PLC COMPANY GUAR 12/18 2.25
12/14/2018
2.25%
**
299,745

ROCHE HLDGS INC COMPANY GUAR 144A 03/19 6
3/1/2019
6.00%
**
229,016

ROCHE HOLDING INC COMPANY GUAR 144A 09/17 1.35
9/29/2017
1.35%
**
205,072

ROCHE HOLDING INC COMPANY GUAR 144A 09/17 VAR
11/18/2016
0.69%
**
5,527,406

ROGERS COMMUNICATIONS IN COMPANY GUAR 08/18 6.8
8/15/2018
6.80%
**
5,092,839

ROHM + HAAS CO COMPANY GUAR 09/17 6
9/15/2017
6.00%
**
4,831,658

ROLLS ROYCE PLC COMPANY GUAR 144A 10/20 2.375
10/14/2020
2.38%
**
601,160

ROLLS ROYCE PLC COMPANY GUAR 144A 10/25 3.625
10/14/2025
3.63%
**
1,304,505

ROYAL BANK OF CANADA COVERED 02/20 1.875
2/5/2020
1.88%
**
804,816

ROYAL BANK OF CANADA COVERED 09/17 1.2
9/19/2017
1.20%
**
14,987,874

ROYAL BANK OF CANADA COVERED 09/19 2.2
9/23/2019
2.20%
**
10,255,591

ROYAL BANK OF CANADA SR UNSECURED 01/17 1.2
1/23/2017
1.20%
**
3,585,368

ROYAL BANK OF CANADA SR UNSECURED 01/17 1.2
11/18/2016
1.20%
**
3,453,692

ROYAL BANK OF CANADA SR UNSECURED 01/18 1.5
1/16/2018
1.50%
**
407,667

ROYAL BANK OF CANADA SR UNSECURED 07/18 1.8
7/30/2018
1.80%
**
7,140,724

ROYAL BANK OF CANADA SR UNSECURED 07/18 2.2
7/27/2018
2.20%
**
9,059,225


174
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

ROYAL BK OF SCOTLAND PLC SUBORDINATED REGS 03/22 VAR
3/16/2022
9.50%
**
5,537,155

ROYAL BK SCOTLND GRP PLC SR UNSECURED 10/19 6.4
10/21/2019
6.40%
**
1,796,283

RYDER SYSTEM INC SR UNSECURED 02/19 2.35
2/26/2019
2.35%
**
223,429

RYDER SYSTEM INC SR UNSECURED 03/17 2.5
3/1/2017
2.50%
**
515,778

RYDER SYSTEM INC SR UNSECURED 05/20 2.5
5/11/2020
2.50%
**
2,899,246

RYDER SYSTEM INC SR UNSECURED 06/17 3.5
6/1/2017
3.50%
**
327,669

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/17 2.45
1/15/2017
2.45%
**
619,559

SANOFI SR UNSECURED 03/16 2.625
3/29/2016
2.63%
**
715,201

SANOFI SR UNSECURED 04/18 1.25
4/10/2018
1.25%
**
3,264,722

SANTANDER BANK NA SR UNSECURED 01/18 2
1/12/2018
2.00%
**
6,562,774

SANTANDER DRIVE AUTO RECEIVABL SDART 2014 2 A3
4/16/2018
0.80%
**
988,917

SANTANDER DRIVE AUTO RECEIVABL SDART 2014 3 A3
11/18/2016
0.81%
**
2,016,446

SANTANDER DRIVE AUTO RECEIVABL SDART 2014 5 A2B
4/16/2018
0.73%
**
2,185,337

SANTANDER HOLDINGS USA SR UNSECURED 08/18 3.45
8/27/2018
3.45%
**
2,093,941

SANTANDER UK GROUP HLDGS SR UNSECURED 10/20 2.875
10/16/2020
2.88%
**
8,813,696

SCHLUMBERGER INVESTMENT COMPANY GUAR 12/23 3.65
12/1/2023
3.65%
**
332,669

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 08/17 1.25
8/1/2017
1.25%
**
152,009

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 09/16 1.95
9/14/2016
1.95%
**
257,423

SCHLUMBERGER NORGE AS COMPANY GUAR 144A 08/17 1.25
8/1/2017
1.25%
**
106,576

SEAGATE HDD CAYMAN COMPANY GUAR 11/18 3.75
11/15/2018
3.75%
**
1,525,529

SECURITY NATIONAL MORTGAGE LOA SNMLT 2007 1A 2A 144A
4/25/2037
0.77%
**
386,306

SELECT INCOME REIT SR UNSECURED 02/18 2.85
2/1/2018
2.85%
**
3,110,815

SEMPRA ENERGY SR UNSECURED 02/19 9.8
2/15/2019
9.80%
**
260,396

SEMPRA ENERGY SR UNSECURED 04/17 2.3
4/1/2017
2.30%
**
190,673

SHELL INTERNATIONAL FIN COMPANY GUAR 05/17 VAR
11/18/2016
0.66%
**
5,368,278

SHELL INTERNATIONAL FIN COMPANY GUAR 05/20 2.125
5/11/2020
2.13%
**
504,034

SHELL INTERNATIONAL FIN COMPANY GUAR 08/18 1.9
8/10/2018
1.90%
**
153,735

SHELL INTERNATIONAL FIN COMPANY GUAR 09/19 4.3
9/22/2019
4.30%
**
999,299

SHELL INTERNATIONAL FIN COMPANY GUAR 11/18 1.625
11/10/2018
1.63%
**
2,496,680

SHELL INTERNATIONAL FIN COMPANY GUAR 11/18 2
11/15/2018
2.00%
**
6,252,850

SIEMENS FINANCIERINGSMAT COMPANY GUAR 144A 10/16 5.75
10/17/2016
5.75%
**
424,488

SIERRA PACIFIC POWER CO GENL REF MOR 05/16 6
5/15/2016
6.00%
**
490,090

SIERRA RECEIVABLES FUNDING CO SRFC 2013 3A A 144A
10/20/2030
2.20%
**
5,049,796

SIMON PROPERTY GROUP LP SR UNSECURED 02/19 2.2
2/1/2019
2.20%
**
205,987

SIMON PROPERTY GROUP LP SR UNSECURED 09/17 2.15
9/15/2017
2.15%
**
206,843

SIMON PROPERTY GROUP LP SR UNSECURED 09/20 2.5
9/1/2020
2.50%
**
461,473

SKANDINAVISKA ENSKILDA SR UNSECURED 144A 03/18 1.75
3/19/2018
1.75%
**
204,876

SKY PLC COMPANY GUAR 144A 02/18 6.1
2/15/2018
6.10%
**
894,898

SKY PLC COMPANY GUAR 144A 09/19 2.625
9/16/2019
2.63%
**
11,382,869

SLM STUDENT LOAN TRUST SLMA 2002 A A2
12/16/2030
1.06%
**
5,950,760

SLM STUDENT LOAN TRUST SLMA 2003 11 A6 144A
12/15/2025
1.26%
**
2,175,448


175
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

SLM STUDENT LOAN TRUST SLMA 2003 4 B
6/15/2038
1.16%
**
1,051,485

SLM STUDENT LOAN TRUST SLMA 2004 A A3
6/15/2033
0.91%
**
12,912,353

SLM STUDENT LOAN TRUST SLMA 2004 B A2
6/15/2021
0.71%
**
3,776,986

SLM STUDENT LOAN TRUST SLMA 2005 5 B
10/25/2040
0.57%
**
4,015,265

SLM STUDENT LOAN TRUST SLMA 2005 6 B
1/25/2044
0.61%
**
8,919,045

SLM STUDENT LOAN TRUST SLMA 2005 A A4
12/15/2038
0.82%
**
1,744,194

SLM STUDENT LOAN TRUST SLMA 2006 9 B
1/25/2041
0.55%
**
2,219,049

SLM STUDENT LOAN TRUST SLMA 2006 BW A5
12/15/2039
0.71%
**
8,207,153

SLM STUDENT LOAN TRUST SLMA 2008 9 A
4/25/2023
1.82%
**
23,518,106

SMALL BUSINESS ADMINISTRATION SBAP 1999 20L 1
12/1/2019
7.19%
**
53,003

SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1
2/1/2025
4.63%
**
1,159,581

SMALL BUSINESS ADMINISTRATION SBAP 2008 20F 1
6/1/2028
5.68%
**
446,158

SMALL BUSINESS ADMINISTRATION SBAP 2013 20I 1
9/1/2033
3.62%
**
2,060,379

SMALL BUSINESS ADMINISTRATION SBAP 2015 20B 1
2/1/2035
2.46%
**
2,065,992

SMALL BUSINESS ADMINISTRATION SBIC 2008 10A 1
3/10/2018
5.47%
**
1,294,213

SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A A1 144A
9/15/2021
0.83%
**
3,016,289

SOCIAL PROFESSIONAL LOAN PROGR SOFI 2015 D A2 144A
10/27/2036
2.72%
**
7,575,623

SOUTHERN CAL EDISON 1ST REF MORT 05/17 1.125
5/1/2017
1.13%
**
3,139,588

SOUTHERN CAL EDISON 1ST REF MORT 06/21 3.875
6/1/2021
3.88%
**
7,215,930

SOUTHERN CAL EDISON 1ST REF MORT 10/23 3.5
10/1/2023
3.50%
**
946,192

SOUTHERN CO SR UNSECURED 08/17 1.3
8/15/2017
1.30%
**
5,954,685

SOUTHERN NATURAL GAS COMPANY GUAR 144A 04/17 5.9
4/1/2017
5.90%
**
281,333

SOUTHERN POWER CO SR UNSECURED 06/18 1.5
6/1/2018
1.50%
**
3,290,073

SOUTHERN POWER CO SR UNSECURED 12/17 1.85
12/1/2017
1.85%
**
2,044,424

SOUTHWESTERN ENERGY CO SR UNSECURED 03/22 4.1
3/15/2022
4.10%
**
3,560,852

SPECTRA ENERGY CAPITAL COMPANY GUAR 04/18 6.2
4/15/2018
6.20%
**
281,988

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 1A A 144A
6/25/2058
1.27%
**
91,260

ST JUDE MEDICAL INC SR UNSECURED 09/18 2
9/15/2018
2.00%
**
8,499,499

STANDARD CHARTERED PLC SR UNSECURED 144A 09/17 1.5
9/8/2017
1.50%
**
10,486,380

STANLEY BLACK + DECKER I SUBORDINATED 11/18 2.451
11/17/2018
2.45%
**
6,815,156

STARBUCKS CORP SR UNSECURED 12/16 0.875
12/5/2016
0.88%
**
5,143,007

STARWOOD HOTELS + RESORT SR UNSECURED 05/18 6.75
5/15/2018
6.75%
**
2,998,969

*STATE STREET CORP JR SUBORDINA 03/18 4.956
3/15/2018
4.96%
**
2,666,305

*STATE STREET CORP SR UNSECURED 05/18 1.35
5/15/2018
1.35%
**
508,414

*STATE STREET CORP SR UNSECURED 08/20 2.55
8/18/2020
2.55%
**
3,501,424

*STATE STREET CORP SR UNSECURED 12/24 3.3
12/16/2024
3.30%
**
2,854,894

STATOIL ASA COMPANY GUAR 04/19 5.25
4/15/2019
5.25%
**
195,636

STATOIL ASA COMPANY GUAR 11/17 1.25
11/9/2017
1.25%
**
3,684,130

STATOIL ASA COMPANY GUAR 11/18 1.95
11/8/2018
1.95%
**
2,666,404

STRIPS 08/25 0.00000
8/15/2025
 
**
2,113,957

STRIPS 08/30 0.00000
8/15/2030
 
**
2,898,153


176
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

STRIPS 11/34 0.00000
11/15/2034
 
**
1,128,493

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1
2/25/2034
2.59%
**
15,844

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2
4/25/2034
2.58%
**
28,559

STRUCTURED AGENCY CREDIT RISK STACR 2014 DN1 M2
2/25/2024
2.62%
**
959,992

STRUCTURED AGENCY CREDIT RISK STACR 2014 DN2 M2
4/25/2024
2.07%
**
4,531,947

STRUCTURED AGENCY CREDIT RISK STACR 2014 HQ1 M2
8/25/2024
2.92%
**
4,448,885

STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR4 A1
1/19/2034
1.10%
**
1,072,976

STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
7/19/2035
0.65%
**
1,917,824

STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A1
5/25/2046
0.63%
**
1,876,478

STRUCTURED ASSET SECURITIES CO SASC 2003 22A 3A
6/25/2033
2.59%
**
525,243

STRUCTURED ASSET SECURITIES CO SASC 2003 26A 3A5
9/25/2033
2.44%
**
1,463,488

STRUCTURED ASSET SECURITIES CO SASC 2003 31A 2A7
10/25/2033
2.53%
**
3,407,996

STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A3
11/25/2033
2.61%
**
1,203,693

STRUCTURED ASSET SECURITIES CO SASC 2005 GEL2 A
4/25/2035
0.70%
**
61,458

STRUCTURED ASSET SECURITIES CO SASC 2005 GEL4 M1
8/25/2035
0.94%
**
136,373

STRUCTURED ASSET SECURITIES CO SASC 2005 RF3 1A 144A
6/25/2035
0.77%
**
857,234

SUMITOMO MITSUI BANKING COMPANY GUAR 07/17 1.35
7/11/2017
1.35%
**
3,600,296

SUMITOMO MITSUI BANKING COMPANY GUAR 07/24 3.4
7/11/2024
3.40%
**
5,998,485

SUMITOMO MITSUI FINANCIA SUBORDINATED 144A 04/24 4.436
4/2/2024
4.44%
**
2,631,848

SUNCOR ENERGY INC SR UNSECURED 06/18 6.1
6/1/2018
6.10%
**
330,639

SUNTORY HOLDINGS LTD SR UNSECURED 144A 09/17 1.65
9/29/2017
1.65%
**
2,035,213

SUNTRUST BANKS INC SR UNSECURED 01/17 3.5
1/20/2017
3.50%
**
3,617,097

SUNTRUST BANKS INC SR UNSECURED 05/19 2.5
5/1/2019
2.50%
**
2,355,092

SUNTRUST BANKS INC SR UNSECURED 11/18 2.35
11/1/2018
2.35%
**
1,129,978

SVENSKA HANDELSBANKEN AB SR UNSECURED 01/19 2.5
1/25/2019
2.50%
**
1,054,887

SWEDBANK HYPOTEK AB COVERED 144A 03/18 1.375
3/28/2018
1.38%
**
10,145,210

SYNCHRONY CREDIT CARD MASTER N SYNCT 2015 1 A
3/15/2023
2.37%
**
10,049,576

SYNCHRONY CREDIT CARD MASTER N SYNCT 2015 2 A
4/15/2021
1.60%
**
7,752,544

SYNCHRONY FINANCIAL SR UNSECURED 01/19 2.6
1/15/2019
2.60%
**
2,986,492

SYNCHRONY FINANCIAL SR UNSECURED 02/20 2.7
2/3/2020
2.70%
**
1,040,233

SYNCHRONY FINANCIAL SR UNSECURED 07/25 4.5
7/23/2025
4.50%
**
1,635,645

SYNCHRONY FINANCIAL SR UNSECURED 08/17 1.875
8/15/2017
1.88%
**
3,524,125

SYNCHRONY FINANCIAL SR UNSECURED 08/19 3
8/15/2019
3.00%
**
1,422,362

SYNCHRONY FINANCIAL SR UNSECURED 08/24 4.25
8/15/2024
4.25%
**
515,524

TARGET CORP SR UNSECURED 05/17 5.375
11/18/2016
5.38%
**
3,951,159

TARGET CORP SR UNSECURED 06/19 2.3
6/26/2019
2.30%
**
310,975

TD AMERITRADE HOLDING CO COMPANY GUAR 12/19 5.6
12/1/2019
5.60%
**
171,267

TECK RESOURCES LIMITED COMPANY GUAR 01/17 3.15
1/15/2017
3.15%
**
368,894

TECK RESOURCES LIMITED COMPANY GUAR 02/18 2.5
2/1/2018
2.50%
**
459,477

TECO FINANCE INC COMPANY GUAR 11/17 6.572
11/1/2017
6.57%
**
618,316

TELEFONICA EMISIONES SAU COMPANY GUAR 02/16 3.992
2/16/2016
3.99%
**
211,670


177
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

TELEFONICA EMISIONES SAU COMPANY GUAR 02/16 3.992
11/18/2016
3.99%
**
3,233,303

TELEFONICA EMISIONES SAU COMPANY GUAR 04/18 3.192
4/27/2018
3.19%
**
470,064

TENN VALLEY AUTHORITY SR UNSECURED 02/21 3.875
2/15/2021
3.88%
**
1,202,397

TENN VALLEY AUTHORITY SR UNSECURED 07/17 5.5
7/18/2017
5.50%
**
579,210

TENN VALLEY AUTHORITY SR UNSECURED 09/24 2.875
9/15/2024
2.88%
**
16,309,444

TENN VALLEY AUTHORITY SR UNSECURED 09/39 5.25
9/15/2039
5.25%
**
1,034,533

TEVA PHARMACEUT FIN BV COMPANY GUAR 11/16 2.4
11/10/2016
2.40%
**
793,909

TEXAS EASTERN TRANSMISSI SR UNSECURED 144A 09/17 6
9/15/2017
6.00%
**
756,432

TEXAS INSTRUMENTS INC SR UNSECURED 05/16 2.375
5/16/2016
2.38%
**
154,556

TEXAS INSTRUMENTS INC SR UNSECURED 05/18 1
5/1/2018
1.00%
**
166,734

TEXAS ST TXS 06/18 FLOATING VAR
6/1/2018
0.64%
**
3,656,213

TEXTRON INC SR UNSECURED 12/17 5.6
12/1/2017
5.60%
**
206,935

THERMO FISHER SCIENTIFIC SR UNSECURED 01/18 1.85
1/15/2018
1.85%
**
209,391

THERMO FISHER SCIENTIFIC SR UNSECURED 02/19 2.4
2/1/2019
2.40%
**
1,751,475

THERMO FISHER SCIENTIFIC SR UNSECURED 08/16 2.25
8/15/2016
2.25%
**
103,031

THERMO FISHER SCIENTIFIC SR UNSECURED 08/21 3.6
8/15/2021
3.60%
**
832,423

THERMO FISHER SCIENTIFIC SR UNSECURED 12/18 2.15
12/14/2018
2.15%
**
2,496,351

THOMSON REUTERS CORP SR UNSECURED 02/17 1.3
2/23/2017
1.30%
**
2,973,747

THOMSON REUTERS CORP SR UNSECURED 05/16 0.875
5/23/2016
0.88%
**
204,781

THOMSON REUTERS CORP SR UNSECURED 05/16 0.875
11/18/2016
0.88%
**
3,080,958

THOMSON REUTERS CORP SR UNSECURED 09/17 1.65
9/29/2017
1.65%
**
2,628,120

TIAA ASSET MGMT FIN LLC SR UNSECURED 144A 11/19 2.95
11/1/2019
2.95%
**
2,895,426

TIME WARNER CABLE INC COMPANY GUAR 02/19 8.75
2/14/2019
8.75%
**
219,912

TIME WARNER CABLE INC COMPANY GUAR 02/21 4.125
2/15/2021
4.13%
**
1,946,120

TIME WARNER CABLE INC COMPANY GUAR 04/19 8.25
4/1/2019
8.25%
**
3,494,704

TIME WARNER CABLE INC COMPANY GUAR 05/17 5.85
5/1/2017
5.85%
**
3,660,774

TIME WARNER CABLE INC COMPANY GUAR 06/39 6.75
6/15/2039
6.75%
**
565,618

TIME WARNER CABLE INC COMPANY GUAR 09/41 5.5
9/1/2041
5.50%
**
148,155

TIME WARNER CABLE INC COMPANY GUAR 11/40 5.875
11/15/2040
5.88%
**
650,622

TIME WARNER INC COMPANY GUAR 01/22 4
1/15/2022
4.00%
**
424,647

TIME WARNER INC COMPANY GUAR 03/20 4.875
3/15/2020
4.88%
**
332,368

TIME WARNER INC COMPANY GUAR 03/21 4.75
3/29/2021
4.75%
**
7,974,466

TORONTO DOMINION BANK COVERED 144A 03/17 1.5
3/13/2017
1.50%
**
615,813

TORONTO DOMINION BANK SR UNSECURED 05/17 1.125
5/2/2017
1.13%
**
1,991,712

TORONTO DOMINION BANK SR UNSECURED 07/18 1.75
7/23/2018
1.75%
**
511,597

TORONTO DOMINION BANK SR UNSECURED 07/18 VAR
11/18/2016
0.86%
**
2,866,998

TORONTO DOMINION BANK SR UNSECURED 07/19 2.125
7/2/2019
2.13%
**
818,670

TORONTO DOMINION BANK SR UNSECURED 09/16 1.5
9/9/2016
1.50%
**
3,085,097

TORONTO DOMINION BANK SR UNSECURED 11/19 2.25
11/5/2019
2.25%
**
7,168,642

TORONTO DOMINION BANK SR UNSECURED 12/20 2.5
12/14/2020
2.50%
**
8,245,522

TORONTO DOMINION BANK SR UNSECURED 12/20 VAR
12/14/2020
1.43%
**
6,761,467


178
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

TOTAL CAPITAL CANADA LTD COMPANY GUAR 01/18 1.45
1/15/2018
1.45%
**
239,317

TOTAL CAPITAL INTL SA COMPANY GUAR 01/16 0.75
1/25/2016
0.75%
**
118,865

TOTAL CAPITAL INTL SA COMPANY GUAR 02/17 1.5
2/17/2017
1.50%
**
294,615

TOTAL CAPITAL INTL SA COMPANY GUAR 06/17 1.55
6/28/2017
1.55%
**
2,812,813

TOTAL CAPITAL INTL SA COMPANY GUAR 08/16 1
8/12/2016
1.00%
**
76,869

TOYOTA AUTO RECEIVABLES OWNER TAOT 2013 A A3
1/17/2017
0.55%
**
35,517

TOYOTA AUTO RECEIVABLES OWNER TAOT 2014 A A3
11/18/2016
0.67%
**
925,063

TOYOTA AUTO RECEIVABLES OWNER TAOT 2015 B A4
9/15/2020
1.74%
**
2,019,232

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/18 1.375
1/10/2018
1.38%
**
3,306,253

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/18 1.45
1/12/2018
1.45%
**
10,366,650

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/19 2.1
1/17/2019
2.10%
**
564,772

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/23 2.625
1/10/2023
2.63%
**
950,052

TOYOTA MOTOR CREDIT CORP SR UNSECURED 07/18 1.55
7/13/2018
1.55%
**
5,632,786

TOYOTA MOTOR CREDIT CORP SR UNSECURED 09/16 2
9/15/2016
2.00%
**
826,380

TOYOTA MOTOR CREDIT CORP SR UNSECURED 09/16 2
11/18/2016
2.00%
**
8,043,719

TRAFIGURA SECURITISATION FINAN TRFIG 2014 1A A 144A
10/15/2021
1.28%
**
1,084,786

TRANS ALLEGHENY INTERSTA SR UNSECURED 144A 06/25 3.85
6/1/2025
3.85%
**
2,049,561

TRANS CANADA PIPELINES SR UNSECURED 01/16 0.75
1/15/2016
0.75%
**
409,873

TRANS CANADA PIPELINES SR UNSECURED 01/18 1.875
1/12/2018
1.88%
**
6,334,204

TRANSOCEAN INC COMPANY GUAR 04/18 7.375
4/15/2018
7.38%
**
90,174

TRANSOCEAN INC COMPANY GUAR 10/17 3
10/15/2017
3.00%
**
90,878

TRANSOCEAN INC COMPANY GUAR 12/16 5.8
12/15/2016
5.80%
**
735,533

TRAVELERS COS INC SR UNSECURED 05/18 5.8
5/15/2018
5.80%
**
1,499,426

TRAVELERS COS INC SR UNSECURED 06/16 6.25
6/20/2016
6.25%
**
734,584

TRAVELERS COS INC SR UNSECURED 12/17 5.75
12/15/2017
5.75%
**
276,279

TSY INFL IX N/B 01/21 1.125
1/15/2021
1.13%
**
55,132,961

TSY INFL IX N/B 01/22 0.125
1/15/2022
0.13%
**
37,251,966

TSY INFL IX N/B 01/23 0.125
1/15/2023
0.13%
**
72,585,673

TSY INFL IX N/B 01/24 0.625
1/15/2024
0.63%
**
8,065,123

TSY INFL IX N/B 01/25 0.25
1/15/2025
0.25%
**
33,393,128

TSY INFL IX N/B 01/25 2.375
1/15/2025
2.38%
**
13,082,028

TSY INFL IX N/B 02/43 0.625
2/15/2043
0.63%
**
4,458,410

TSY INFL IX N/B 02/44 1.375
2/15/2044
1.38%
**
2,511,628

TSY INFL IX N/B 02/45 0.75
2/15/2045
0.75%
**
21,951,438

TSY INFL IX N/B 04/16 0.125
4/15/2016
0.13%
**
42,673,838

TSY INFL IX N/B 04/20 0.125
4/15/2020
0.13%
**
83,028,604

TSY INFL IX N/B 07/23 0.375
7/15/2023
0.38%
**
25,628,095

TSY INFL IX N/B 07/24 0.125
7/15/2024
0.13%
**
3,821,274

TSY INFL IX N/B 07/25 0.375
7/15/2025
0.38%
**
36,387,592

TYCO ELECTRONICS GROUP S COMPANY GUAR 10/17 6.55
10/1/2017
6.55%
**
408,594

TYSON FOODS INC COMPANY GUAR 04/16 6.6
4/1/2016
6.60%
**
259,566


179
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

TYSON FOODS INC COMPANY GUAR 08/24 3.95
8/15/2024
3.95%
**
1,551,809

TYSON FOODS INC COMPANY GUAR 08/34 4.875
8/15/2034
4.88%
**
1,809,289

UAL 2009 2A PASS THRU TR PASS THRU CE 07/18 9.75
7/15/2018
9.75%
**
221,696

UBS AG STAMFORD CT SR UNSECURED 03/18 1.8
3/26/2018
1.80%
**
6,465,291

UBS AG STAMFORD CT SR UNSECURED 03/20 2.35
3/26/2020
2.35%
**
511,752

UBS AG STAMFORD CT SR UNSECURED 06/17 1.375
6/1/2017
1.38%
**
8,398,232

UBS AG STAMFORD CT SR UNSECURED 06/17 VAR
11/18/2016
0.97%
**
4,596,963

UBS AG STAMFORD CT SR UNSECURED 08/17 1.375
8/14/2017
1.38%
**
4,888,234

UBS AG STAMFORD CT SR UNSECURED 08/19 2.375
8/14/2019
2.38%
**
8,342,594

UBS GROUP FUNDING COMPANY GUAR 144A 09/20 2.95
9/24/2020
2.95%
**
203,028

UDR INC COMPANY GUAR 07/24 3.75
7/1/2024
3.75%
**
1,536,135

UKRAINE AID US GOVT GUAR 05/19 1.844
5/16/2019
1.84%
**
13,286,244

UNILEVER CAPITAL CORP COMPANY GUAR 02/21 4.25
2/10/2021
4.25%
**
1,124,527

UNION PACIFIC CORP SR UNSECURED 02/16 7
2/1/2016
7.00%
**
452,954

UNION PACIFIC CORP SR UNSECURED 02/21 4
2/1/2021
4.00%
**
563,958

UNION PACIFIC CORP SR UNSECURED 07/22 4.163
7/15/2022
4.16%
**
753,411

UNITED PARCEL SERVICE SR UNSECURED 01/21 3.125
1/15/2021
3.13%
**
3,488,872

UNITED PARCEL SERVICE SR UNSECURED 04/19 5.125
4/1/2019
5.13%
**
1,679,131

UNITED STATES OF AMER TREAS 01/16 0.00000
11/18/2016
 
**
16,697,886

UNITED TECHNOLOGIES CORP JR SUBORDINA 05/18 VAR
5/4/2018
1.78%
**
7,232,388

UNITED TECHNOLOGIES CORP SR UNSECURED 06/22 3.1
6/1/2022
3.10%
**
276,367

UNITED TECHNOLOGIES CORP SR UNSECURED 12/17 5.375
12/15/2017
5.38%
**
424,094

UNITEDHEALTH GROUP INC SR UNSECURED 01/17 VAR
11/18/2016
0.77%
**
2,551,305

UNITEDHEALTH GROUP INC SR UNSECURED 02/18 6
2/15/2018
6.00%
**
573,958

UNITEDHEALTH GROUP INC SR UNSECURED 02/21 4.7
2/15/2021
4.70%
**
577,511

UNITEDHEALTH GROUP INC SR UNSECURED 03/16 5.375
3/15/2016
5.38%
**
180,871

UNITEDHEALTH GROUP INC SR UNSECURED 03/19 1.625
3/15/2019
1.63%
**
5,381,050

UNITEDHEALTH GROUP INC SR UNSECURED 07/18 1.9
7/16/2018
1.90%
**
2,004,184

UNITEDHEALTH GROUP INC SR UNSECURED 07/25 3.75
7/15/2025
3.75%
**
4,658,474

UNITEDHEALTH GROUP INC SR UNSECURED 07/35 4.625
7/15/2035
4.63%
**
319,129

UNITEDHEALTH GROUP INC SR UNSECURED 07/45 4.75
7/15/2045
4.75%
**
4,748,968

UNITEDHEALTH GROUP INC SR UNSECURED 10/17 1.4
10/15/2017
1.40%
**
802,851

UNITEDHEALTH GROUP INC SR UNSECURED 11/17 6
11/15/2017
6.00%
**
330,720

UNITEDHEALTH GROUP INC SR UNSECURED 11/21 3.375
11/15/2021
3.38%
**
1,059,145

UNITEDHEALTH GROUP INC SR UNSECURED 12/17 1.4
12/15/2017
1.40%
**
6,215,955

UNITEDHEALTH GROUP INC SR UNSECURED 12/21 2.875
12/15/2021
2.88%
**
8,103,562

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858
5/15/2112
4.86%
**
5,311,369

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/45 FIXED 3.931
5/15/2045
3.93%
**
7,743,563

UNIV OF NORTH CAROLINA NC AT C UNCHGR 12/34 FIXED 3.847
12/1/2034
3.85%
**
10,687,770

US BANCORP SR UNSECURED 04/19 2.2
4/25/2019
2.20%
**
1,486,383

US BANCORP SR UNSECURED 11/16 2.2
11/15/2016
2.20%
**
3,480,333


180
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

US BANK NA CINCINNATI SR UNSECURED 09/17 1.375
9/11/2017
1.38%
**
1,788,007

US DOLLAR
 
 
**
(60,888,570
)
US TREASURY FRN 07/17 VAR
7/31/2017
0.34%
**
16,368,777

US TREASURY FRN 10/17 VAR
10/31/2017
0.43%
**
30,713,099

US TREASURY N/B 01/16 2
1/31/2016
2.00%
**
2,462,291

US TREASURY N/B 01/17 0.875
1/31/2017
0.88%
**
68,030,314

US TREASURY N/B 01/17 3.125
1/31/2017
3.13%
**
4,344,023

US TREASURY N/B 01/18 0.875
1/15/2018
0.88%
**
24,634,487

US TREASURY N/B 01/18 0.875
1/31/2018
0.88%
**
11,674,202

US TREASURY N/B 01/19 1.25
1/31/2019
1.25%
**
15,421,064

US TREASURY N/B 01/19 1.5
1/31/2019
1.50%
**
5,141,537

US TREASURY N/B 01/22 1.5
1/31/2022
1.50%
**
10,369,656

US TREASURY N/B 02/16 2.125
2/29/2016
2.13%
**
12,330,552

US TREASURY N/B 02/17 0.625
2/15/2017
0.63%
**
15,520,631

US TREASURY N/B 02/18 0.75
2/28/2018
0.75%
**
44,235,688

US TREASURY N/B 02/19 1.375
2/28/2019
1.38%
**
19,661,263

US TREASURY N/B 02/19 1.5
2/28/2019
1.50%
**
3,083,840

US TREASURY N/B 02/22 1.75
2/28/2022
1.75%
**
1,055,590

US TREASURY N/B 02/45 2.5
2/15/2045
2.50%
**
14,227,599

US TREASURY N/B 03/16 2.375
3/31/2016
2.38%
**
4,118,353

US TREASURY N/B 03/17 1
3/31/2017
1.00%
**
34,473,588

US TREASURY N/B 03/18 0.75
3/31/2018
0.75%
**
2,538,846

US TREASURY N/B 03/19 1.625
3/31/2019
1.63%
**
8,248,871

US TREASURY N/B 03/20 1.125
3/31/2020
1.13%
**
15,365,290

US TREASURY N/B 03/20 1.375
3/31/2020
1.38%
**
77,597,363

US TREASURY N/B 03/22 1.75
3/31/2022
1.75%
**
13,010,195

US TREASURY N/B 04/16 0.375
4/30/2016
0.38%
**
2,049,169

US TREASURY N/B 04/16 2
4/30/2016
2.00%
**
10,298,280

US TREASURY N/B 04/16 2.625
4/30/2016
2.63%
**
515,955

US TREASURY N/B 04/17 0.875
4/30/2017
0.88%
**
6,862,568

US TREASURY N/B 04/18 0.625
4/30/2018
0.63%
**
25,242,855

US TREASURY N/B 04/18 0.75
4/15/2018
0.75%
**
53,996,293

US TREASURY N/B 04/20 1.375
4/30/2020
1.38%
**
3,034,365

US TREASURY N/B 05/16 1.75
5/31/2016
1.75%
**
2,060,056

US TREASURY N/B 05/17 0.625
5/31/2017
0.63%
**
32,951,861

US TREASURY N/B 05/17 2.75
5/31/2017
2.75%
**
1,155,706

US TREASURY N/B 05/18 1
5/31/2018
1.00%
**
15,327,597

US TREASURY N/B 05/18 1
5/15/2018
1.00%
**
92,484,718

US TREASURY N/B 05/19 1.5
5/31/2019
1.50%
**
19,026,098

US TREASURY N/B 05/19 3.125
5/15/2019
3.13%
**
1,978,273

US TREASURY N/B 05/20 1.375
5/31/2020
1.38%
**
9,337,213


181
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

US TREASURY N/B 05/20 3.5
5/15/2020
3.50%
**
70,003,540

US TREASURY N/B 05/21 8.125
5/15/2021
8.13%
**
2,897,741

US TREASURY N/B 05/22 1.875
5/31/2022
1.88%
**
27,500,461

US TREASURY N/B 05/23 1.75
5/15/2023
1.75%
**
119,799

US TREASURY N/B 05/43 2.875
5/15/2043
2.88%
**
1,573,562

US TREASURY N/B 05/44 3.375
5/15/2044
3.38%
**
197,949

US TREASURY N/B 05/45 3
5/15/2045
3.00%
**
7,619,562

US TREASURY N/B 06/16 1.5
6/30/2016
1.50%
**
11,735,472

US TREASURY N/B 06/17 0.75
6/30/2017
0.75%
**
8,248,631

US TREASURY N/B 06/18 1.125
6/15/2018
1.13%
**
3,066,908

US TREASURY N/B 06/18 1.375
6/30/2018
1.38%
**
9,258,723

US TREASURY N/B 06/18 2.375
6/30/2018
2.38%
**
1,582,088

US TREASURY N/B 06/19 1
6/30/2019
1.00%
**
2,332,995

US TREASURY N/B 06/20 1.625
6/30/2020
1.63%
**
32,727,472

US TREASURY N/B 06/22 2.125
6/30/2022
2.13%
**
8,239,903

US TREASURY N/B 07/16 1.5
7/31/2016
1.50%
**
14,304,866

US TREASURY N/B 07/17 0.5
7/31/2017
0.50%
**
12,406,659

US TREASURY N/B 07/18 1.375
7/31/2018
1.38%
**
58,652,315

US TREASURY N/B 07/18 2.25
7/31/2018
2.25%
**
3,154,329

US TREASURY N/B 07/19 0.875
7/31/2019
0.88%
**
4,892,663

US TREASURY N/B 08/16 0.5
8/31/2016
0.50%
**
54,759,578

US TREASURY N/B 08/16 0.625
8/15/2016
0.63%
**
3,227,064

US TREASURY N/B 08/16 1
8/31/2016
1.00%
**
11,808,035

US TREASURY N/B 08/17 0.625
8/31/2017
0.63%
**
7,025,168

US TREASURY N/B 08/17 0.875
8/15/2017
0.88%
**
96,245,741

US TREASURY N/B 08/18 1
8/15/2018
1.00%
**
9,101,459

US TREASURY N/B 08/18 1.5
8/31/2018
1.50%
**
24,947,059

US TREASURY N/B 08/19 1
8/31/2019
1.00%
**
2,109,429

US TREASURY N/B 08/20 2.125
8/31/2020
2.13%
**
2,915,461

US TREASURY N/B 08/24 2.375
8/15/2024
2.38%
**
2,495,295

US TREASURY N/B 08/44 3.125
8/15/2044
3.13%
**
87,863,419

US TREASURY N/B 08/45 2.875
8/15/2045
2.88%
**
7,886,993

US TREASURY N/B 09/16 3
9/30/2016
3.00%
**
2,083,112

US TREASURY N/B 09/17 0.625
9/30/2017
0.63%
**
11,193,817

US TREASURY N/B 09/17 1.875
9/30/2017
1.88%
**
10,235,675

US TREASURY N/B 09/18 1
9/15/2018
1.00%
**
2,034,840

US TREASURY N/B 09/18 1.375
9/30/2018
1.38%
**
9,251,160

US TREASURY N/B 09/19 1
9/30/2019
1.00%
**
3,109,825

US TREASURY N/B 09/21 2.125
9/30/2021
2.13%
**
9,324,786

US TREASURY N/B 09/22 1.75
9/30/2022
1.75%
**
7,171,204

US TREASURY N/B 10/16 1
10/31/2016
1.00%
**
166,413,601


182
Table of Contents


Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

US TREASURY N/B 10/16 3.125
10/31/2016
3.13%
**
2,610,594

US TREASURY N/B 10/17 0.75
10/31/2017
0.75%
**
22,546,060

US TREASURY N/B 10/17 0.875
10/15/2017
0.88%
**
2,033,028

US TREASURY N/B 10/17 1.875
10/31/2017
1.88%
**
1,871,198

US TREASURY N/B 10/18 0.875
10/15/2018
0.88%
**
84,295,972

US TREASURY N/B 10/18 1.25
10/31/2018
1.25%
**
23,535,067

US TREASURY N/B 10/19 1.5
10/31/2019
1.50%
**
77,955,948

US TREASURY N/B 10/20 1.375
10/31/2020
1.38%
**
905,951

US TREASURY N/B 10/22 1.875
10/31/2022
1.88%
**
12,150,947

US TREASURY N/B 11/16 0.5
11/30/2016
0.50%
**
61,318,973

US TREASURY N/B 11/16 0.875
11/30/2016
0.88%
**
30,661,745

US TREASURY N/B 11/16 2.75
11/30/2016
2.75%
**
4,169,428

US TREASURY N/B 11/17 0.625
11/30/2017
0.63%
**
13,058,413

US TREASURY N/B 11/17 0.875
11/30/2017
0.88%
**
684,060,512

US TREASURY N/B 11/18 1.25
11/30/2018
1.25%
**
66,534,814

US TREASURY N/B 11/18 1.25
11/15/2018
1.25%
**
1,289,111

US TREASURY N/B 11/20 1.625
11/30/2020
1.63%
**
44,259,031

US TREASURY N/B 11/20 2
11/30/2020
2.00%
**
66,591,321

US TREASURY N/B 11/20 2.625
11/15/2020
2.63%
**
79,513,503

US TREASURY N/B 11/21 8
11/15/2021
8.00%
**
8,407,959

US TREASURY N/B 11/22 2
11/30/2022
2.00%
**
16,458,472

US TREASURY N/B 11/42 2.75
11/15/2042
2.75%
**
11,401,966

US TREASURY N/B 11/45 3
11/15/2045
3.00%
**
29,289,908

US TREASURY N/B 12/16 0.625
12/31/2016
0.63%
**
35,804,405

US TREASURY N/B 12/16 0.625
11/18/2016
0.63%
**
31,877,767

US TREASURY N/B 12/16 0.875
12/31/2016
0.88%
**
18,825,333

US TREASURY N/B 12/16 3.25
12/31/2016
3.25%
**
6,923,145

US TREASURY N/B 12/17 0.75
12/31/2017
0.75%
**
10,279,573

US TREASURY N/B 12/18 1.25
12/15/2018
1.25%
**
135,190,463

US TREASURY N/B 12/18 1.375
12/31/2018
1.38%
**
6,152,789

US TREASURY N/B 12/18 1.5
12/31/2018
1.50%
**
14,832,897

US TREASURY N/B 12/20 1.75
12/31/2020
1.63%
**
11,438,545

US TREASURY N/B 12/21 2.125
12/31/2021
2.13%
**
5,959,572

USAA AUTO OWNER TRUST USAOT 2015 1 A4
11/16/2020
1.54%
**
1,262,410

VALERO ENERGY CORP SR UNSECURED 03/19 9.375
3/15/2019
9.38%
**
211,858

VALERO ENERGY CORP SR UNSECURED 06/17 6.125
6/15/2017
6.13%
**
507,069

VALSPAR CORP SR UNSECURED 05/17 6.05
5/1/2017
6.05%
**
2,549,170

VENTAS REALTY LP COMPANY GUAR 04/17 1.25
4/17/2017
1.25%
**
3,676,991

VENTAS REALTY LP COMPANY GUAR 09/16 1.55
9/26/2016
1.55%
**
6,757,463

VENTAS REALTY LP/CAP CRP COMPANY GUAR 02/18 2
2/15/2018
2.00%
**
7,263,329

VENTAS REALTY LP/CAP CRP COMPANY GUAR 04/19 4
4/30/2019
4.00%
**
3,195,722

VERIZON COMMUNICATIONS SR UNSECURED 02/20 2.625
2/21/2020
2.63%
**
18,918,063

VERIZON COMMUNICATIONS SR UNSECURED 04/21 4.6
4/1/2021
4.60%
**
3,337,206

VERIZON COMMUNICATIONS SR UNSECURED 06/17 1.35
6/9/2017
1.35%
**
8,209,731

VERIZON COMMUNICATIONS SR UNSECURED 09/16 2.5
9/15/2016
2.50%
**
212,736

VERIZON COMMUNICATIONS SR UNSECURED 09/16 2.5
11/18/2016
2.50%
**
3,481,706


183
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

VERIZON COMMUNICATIONS SR UNSECURED 09/16 VAR
11/18/2016
2.04%
**
1,737,951

VERIZON COMMUNICATIONS SR UNSECURED 09/20 4.5
9/15/2020
4.50%
**
6,385,508

VERIZON COMMUNICATIONS SR UNSECURED 09/23 5.15
9/15/2023
5.15%
**
45,960,560

VERIZON COMMUNICATIONS SR UNSECURED 11/16 2
11/1/2016
2.00%
**
1,402,277

VERIZON COMMUNICATIONS SR UNSECURED 11/22 2.45
11/1/2022
2.45%
**
2,366,714

VF CORP SR UNSECURED 11/17 5.95
11/1/2017
5.95%
**
275,706

VIACOM INC SR UNSECURED 04/16 6.25
4/30/2016
6.25%
**
272,612

VIACOM INC SR UNSECURED 04/16 6.25
11/18/2016
6.25%
**
496,969

VIACOM INC SR UNSECURED 04/17 3.5
4/1/2017
3.50%
**
297,218

VIACOM INC SR UNSECURED 04/24 3.875
4/1/2024
3.88%
**
307,261

VIACOM INC SR UNSECURED 06/22 3.125
6/15/2022
3.13%
**
374,993

VIACOM INC SR UNSECURED 09/19 5.625
9/15/2019
5.63%
**
890,797

VIRGINIA ELEC + POWER CO SR UNSECURED 01/18 1.2
1/15/2018
1.20%
**
291,166

VISA INC SR UNSECURED 12/17 1.2
12/14/2017
1.20%
**
8,042,078

VISA INC SR UNSECURED 12/20 2.2
12/14/2020
2.20%
**
3,641,159

VISA INC SR UNSECURED 12/25 3.15
12/14/2025
3.15%
**
1,857,008

VNO MORTGAGE TRUST VNDO 2012 6AVE A 144A
11/15/2030
3.00%
**
504,752

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
2/27/2017
5.63%
**
3,223,399

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
11/18/2016
5.63%
**
601,148

VODAFONE GROUP PLC SR UNSECURED 02/18 1.5
2/19/2018
1.50%
**
405,328

VODAFONE GROUP PLC SR UNSECURED 03/17 1.625
11/18/2016
1.63%
**
2,336,488

VODAFONE GROUP PLC SR UNSECURED 07/18 4.625
7/15/2018
4.63%
**
433,418

VODAFONE GROUP PLC SR UNSECURED 09/17 1.25
9/26/2017
1.25%
**
355,198

VOLKSWAGEN AUTO LEASE TRUST VWALT 2014 A A4
7/20/2018
0.99%
**
1,820,578

VOLKSWAGEN AUTO LEASE TRUST VWALT 2015 A A2A
11/18/2016
0.87%
**
2,505,642

VOLKSWAGEN AUTO LEASE TRUST VWALT 2015 A A3
12/20/2017
1.25%
**
1,406,127

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2013 1 A4
7/22/2019
0.78%
**
1,428,518

VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 05/18 1.65
5/22/2018
1.65%
**
630,666

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 03/17 2.375
3/22/2017
2.38%
**
509,772

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 11/17 1.6
11/20/2017
1.60%
**
198,724

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2004 C11 A5
1/15/2041
5.17%
**
83,339

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C24 A1A
3/15/2045
5.56%
**
960,782

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C25 A5
5/15/2043
5.77%
**
10,168,523

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C27 A3
7/15/2045
5.77%
**
3,271,027

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 A1A
10/15/2048
5.56%
**
12,228,220

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 A4
10/15/2048
5.57%
**
3,833,986

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C29 A4
11/15/2048
5.31%
**
6,489,560

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A3
12/15/2043
5.25%
**
734,498

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A4
12/15/2043
5.31%
**
2,397,342

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 AMFL 144A
12/15/2043
0.55%
**
612,227

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C31 APB
4/15/2047
5.45%
**
224,603

WACHOVIA CAP TRUST III LIMITD GUARA 03/49 VAR
3/29/2049
5.57%
**
2,516,969

WACHOVIA CORP SUBORDINATED 10/16 5.625
10/15/2016
5.63%
**
9,637,495

WAL MART STORES INC SR UNSECURED 02/18 5.8
2/15/2018
5.80%
**
4,243,429

WAL MART STORES INC SR UNSECURED 04/16 0.6
4/11/2016
0.60%
**
2,115,934

WAL MART STORES INC SR UNSECURED 04/17 5.375
4/5/2017
5.38%
**
512,594

WALGREENS BOOTS ALLIANCE SR UNSECURED 11/17 1.75
11/17/2017
1.75%
**
1,702,804

WALGREENS BOOTS ALLIANCE SR UNSECURED 11/19 2.7
11/18/2019
2.70%
**
613,666

WALT DISNEY COMPANY/THE SR UNSECURED 05/17 0.875
5/30/2017
0.88%
**
310,898

WALT DISNEY COMPANY/THE SR UNSECURED 08/21 2.75
8/16/2021
2.75%
**
645,832

WALT DISNEY COMPANY/THE SR UNSECURED 12/17 1.1
12/1/2017
1.10%
**
6,591,510


184
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

WALT DISNEY COMPANY/THE SR UNSECURED 12/17 5.875
12/15/2017
5.88%
**
189,399

WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
2/27/2034
1.90%
**
2,807,755

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
1/25/2045
0.73%
**
3,058,310

WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A
10/25/2046
2.15%
**
464,112

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 2A
2/25/2033
2.19%
**
26,630

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS2 3A1
3/25/2018
5.00%
**
105,568

WASTE MANAGEMENT INC COMPANY GUAR 03/18 6.1
3/15/2018
6.10%
**
4,216,488

WASTE MANAGEMENT INC COMPANY GUAR 03/21 4.6
3/1/2021
4.60%
**
364,725

WASTE MANAGEMENT INC COMPANY GUAR 05/24 3.5
5/15/2024
3.50%
**
1,125,882

WASTE MANAGEMENT INC COMPANY GUAR 09/16 2.6
9/1/2016
2.60%
**
309,538

WEA FINANCE LLC/WESTFIEL COMPANY GUAR 144A 09/17 1.75
9/15/2017
1.75%
**
4,727,041

WEA FINANCE LLC/WESTFIEL COMPANY GUAR 144A 09/19 2.7
9/17/2019
2.70%
**
2,799,805

WEATHERFORD BERMUDA COMPANY GUAR 03/18 6
3/15/2018
6.00%
**
188,976

WEATHERFORD BERMUDA COMPANY GUAR 03/19 9.625
3/1/2019
9.63%
**
159,649

WEATHERFORD INTL LLC COMPANY GUAR 06/17 6.35
6/15/2017
6.35%
**
199,817

WELL FARGO REPO
1/4/2016
0.60%
**
102,470,450

WELLS FARGO + COMPANY SR UNSECURED 01/18 1.5
1/16/2018
1.50%
**
989,729

WELLS FARGO + COMPANY SR UNSECURED 01/20 2.15
1/30/2020
2.15%
**
9,344,689

WELLS FARGO + COMPANY SR UNSECURED 04/19 2.125
4/22/2019
2.13%
**
5,129,722

WELLS FARGO + COMPANY SR UNSECURED 04/21 4.6
4/1/2021
4.60%
**
5,585,316

WELLS FARGO + COMPANY SR UNSECURED 05/17 2.1
5/8/2017
2.10%
**
8,782,929

WELLS FARGO + COMPANY SR UNSECURED 06/16 VAR
6/15/2016
3.68%
**
1,525,143

WELLS FARGO + COMPANY SR UNSECURED 12/17 5.625
12/11/2017
5.63%
**
2,693,393

WELLS FARGO + COMPANY SUBORDINATED 01/24 4.48
1/16/2024
4.48%
**
11,180,561

WELLS FARGO + COMPANY SUBORDINATED 02/23 3.45
2/13/2023
3.45%
**
2,670,509

WELLS FARGO + COMPANY SUBORDINATED 07/27 4.3
7/22/2027
4.30%
**
2,993,764

WELLS FARGO + COMPANY SUBORDINATED 08/23 4.125
8/15/2023
4.13%
**
4,123,885

WELLS FARGO + COMPANY SUBORDINATED 11/44 4.65
11/4/2044
4.65%
**
3,190,120

WELLS FARGO BANK NA SUBORDINATED 05/16 VAR
5/16/2016
0.57%
**
1,536,064

WELLS FARGO BANK NA SUBORDINATED 11/17 6
11/15/2017
6.00%
**
751,516

WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 C29 A2
6/15/2048
2.55%
**
6,468,341

WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 C30 A2
9/15/2058
2.57%
**
1,026,103

WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 NXS2 A3
7/15/2058
3.25%
**
5,352,122

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 AA A1
12/25/2034
2.85%
**
849,219

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 EE 2A1
12/25/2034
2.74%
**
928,468

WELLS FARGO REREMIC TRUST WFRR 2012 IO A 144A
8/20/2021
1.75%
**
145,022

WELLTOWER INC SR UNSECURED 03/16 3.625
3/15/2016
3.63%
**
2,831,214

WELLTOWER INC SR UNSECURED 03/18 2.25
3/15/2018
2.25%
**
7,371,254

WESTERN GAS PARTNERS SR UNSECURED 07/22 4
7/1/2022
4.00%
**
339,887

WESTERN GAS PARTNERS SR UNSECURED 08/18 2.6
8/15/2018
2.60%
**
277,240

WESTPAC BANKING CORP COVERED 144A 11/18 1.85
11/26/2018
1.85%
**
10,614,686

WESTPAC BANKING CORP SR UNSECURED 01/16 0.95
1/12/2016
0.95%
**
184,458

WESTPAC BANKING CORP SR UNSECURED 07/18 2.25
7/30/2018
2.25%
**
1,586,804

WESTPAC BANKING CORP SR UNSECURED 11/19 4.875
11/19/2019
4.88%
**
334,854

WESTPAC BANKING CORP SR UNSECURED 12/17 1.5
12/1/2017
1.50%
**
3,570,954

WESTROCK RKT CO COMPANY GUAR 03/22 4.9
3/1/2022
4.90%
**
353,206

WEYERHAEUSER CO SR UNSECURED 10/19 7.375
10/1/2019
7.38%
**
5,884,658

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 A5
3/15/2045
3.07%
**
408,652

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 AS
3/15/2045
3.31%
**
584,719

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C19 B
3/15/2047
4.72%
**
322,085

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C22 AS
9/15/2057
4.07%
**
4,901,334


185
Table of Contents

Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 AS
10/15/2057
4.21%
**
4,635,542

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 B
10/15/2057
4.38%
**
5,128,378

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 C
10/15/2057
3.85%
**
1,540,634

WHIRLPOOL CORP SR UNSECURED 11/17 1.65
11/1/2017
1.65%
**
3,293,717

WI TREASURY SEC. 03/16 0.375
3/31/2016
0.38%
**
1,024,744

WILLIAMS PARTNERS LP SR UNSECURED 03/20 5.25
3/15/2020
5.25%
**
2,298,339

WILLIAMS PARTNERS LP SR UNSECURED 03/24 4.3
3/4/2024
4.30%
**
17,425,903

WILLIAMS PARTNERS LP SR UNSECURED 11/23 4.5
11/15/2023
4.50%
**
4,146,974

WISCONSIN POWER + LIGHT SR UNSECURED 07/19 5
7/15/2019
5.00%
**
149,349

WM WRIGLEY JR CO SR UNSECURED 144A 10/16 1.4
10/21/2016
1.40%
**
3,682,069

WM WRIGLEY JR CO SR UNSECURED 144A 10/18 2.4
10/21/2018
2.40%
**
1,715,824

WM WRIGLEY JR CO SR UNSECURED 144A 10/19 2.9
10/21/2019
2.90%
**
5,419,140

WORLD OMNI AUTO RECEIVABLES TR WOART 2012 A A4
8/15/2018
0.85%
**
1,629,358

WORLD OMNI AUTO RECEIVABLES TR WOART 2014 B A2A
11/18/2016
0.60%
**
594,109

WORLD OMNI AUTO RECEIVABLES TR WOART 2015 A A2A
11/18/2016
0.79%
**
791,473

WORLD OMNI AUTO RECEIVABLES TR WOART 2015 B A4
1/17/2022
1.84%
**
1,560,245

WORLD OMNI AUTOMOBILE LEASE SE WOLS 2014 A A3
9/15/2017
1.16%
**
924,494

WORLD OMNI AUTOMOBILE LEASE SE WOLS 2015 A A3
10/15/2018
1.54%
**
1,852,662

WYETH LLC COMPANY GUAR 04/17 5.45
4/1/2017
5.45%
**
1,319,020

XCEL ENERGY INC SR UNSECURED 05/16 0.75
5/9/2016
0.75%
**
2,442,772

XEROX CORPORATION SR UNSECURED 03/16 6.4
3/15/2016
6.40%
**
186,146

XEROX CORPORATION SR UNSECURED 03/17 2.95
3/15/2017
2.95%
**
4,604,143

XEROX CORPORATION SR UNSECURED 09/20 2.75
9/1/2020
2.75%
**
1,718,098

XYLEM INC SR UNSECURED 10/21 4.875
10/1/2021
4.88%
**
876,810

ZIMMER BIOMET HOLDINGS SR UNSECURED 04/18 2
4/1/2018
2.00%
**
6,354,762

ZOETIS INC SR UNSECURED 02/16 1.15
2/1/2016
1.15%
**
1,255,040

ZOETIS INC SR UNSECURED 02/18 1.875
2/1/2018
1.88%
**
3,902,496

ZOETIS INC SR UNSECURED 11/20 3.45
11/13/2020
3.45%
**
1,025,898

ZOETIS INC SR UNSECURED 11/25 4.5
11/13/2025
4.50%
**
2,076,980

TOTAL
 
 
 
$
46,760,978,585

 
 
 
 
 
*PARTICIPANT LOANS (Interest from 2.0% to 9.8% maturing through January 2036)
 
 
**
$
706,047,971

 
 
 
 
 
*Party-in-interest
 
 
 
 
 
 
 
 
 
**Cost information is not required for participant directed investment and therefore is not included.
 
 
 
 
 
 
 
 
 (Concluded)



186
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, 2015
Party Involved
Relationship to Plan
Description of Transaction
Cost of Asset
Current Value of Asset
Net Gain on Each Transaction
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

The Boeing Company
Plan sponsor
Plan assets were inadvertently used to pay plan sponsor expenses.

$245,035


$257,326


$12,291



187