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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, 2016
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, 2016 and 2015, and for the Year Ended December 31, 2016, Supplemental Schedules as of and for the year ended December 31, 2016, 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, 2016 and 2015
  
Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2016
  
Notes to Financial Statements as of December 31, 2016 and 2015 and for the Year Ended December 31, 2016
  
SUPPLEMENTAL SCHEDULES:
  
 
Form 5500, Schedule H, Line 4(i) - Schedule of Assets (Held at End of Year) as of December 31, 2016
  
Form 5500, Schedule G, Part III - Schedule of Nonexempt Transactions for the Year Ended December 31, 2016
 

 
 
 
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, 2016 and 2015, and the related statement of changes in net assets available for benefits for the year ended December 31, 2016. 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, 2016 and 2015, and the changes in net assets available for benefits for the year ended December 31, 2016, in conformity with accounting principles generally accepted in the United States of America.

The supplemental schedules listed in the table of contents have been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The supplemental schedules are the responsibility of the Plan’s management. Our audit procedures included determining whether the supplemental schedules reconcile to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedules. In forming our opinion on the supplemental schedules, we evaluated whether the supplemental schedules, including their form and content, are presented in compliance with the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, such supplemental schedules are fairly stated, in all material respects, in relation to the financial statements as a whole.

/s/ DELOITTE & TOUCHE LLP
Chicago, Illinois
June 23, 2017


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2016 AND 2015
(Dollars in millions)
 
2016

 
2015

ASSETS:
 
 
 
 
Investments — interest in Master Trust
 
$
49,689

 
$
46,437

 
 
 
 
 
Receivables:
 
 
 
 
Notes receivable from participants
 
713

 
706

 
 


 


NET ASSETS AVAILABLE FOR BENEFITS
 
$
50,402

 
$
47,143

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, 2016
(Dollars in millions)
 
ADDITIONS:
 
Net Master Trust activity
$
3,339

Interest income from notes receivable from participants
23

Contributions:
 
Employer
1,372

Participant
1,684

Total contributions
3,056

Total additions
6,418

DEDUCTIONS — Benefits paid
3,161

NET ADDITIONS BEFORE ASSET TRANSFER
3,257

 
 
ASSETS TRANSFERRED FROM ANOTHER PLAN
2

 
 
NET ASSETS AVAILABLE FOR BENEFITS:
 
Beginning of year
47,143

End of year
$
50,402

See notes to financial statements.


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2016 AND 2015, AND FOR THE YEAR ENDED DECEMBER 31, 2016
(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 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 (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

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31, 2016 and 2015. 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, if applicable.
Notes Receivable from Participants — Members may borrow from their fund accounts a minimum of one thousand dollars up to a maximum equal to the lesser of fifty thousand dollars 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 3.25% to 9.50% at December 31, 2016, with loans maturing at various dates through January 2037.
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 to apply all or a part of his or her account toward the purchase of an annuity contract with payments for a specified number of years, from a provider made available by the Plan administrator in accordance with the procedures established by the Plan administrator. If a Member makes no election, annual distributions of the required minimum amount will generally begin after age 70 ½, in accordance with applicable Plan provisions. Notwithstanding the foregoing, following a Member’s termination of service, if his or her account balance is one thousand dollars or less, it will automatically be paid out to the Member in accordance with applicable Plan provisions.

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Assets Transferred from Another Plan — 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.
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

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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 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.
•
Short-term investments include certificates of deposits, commercial paper, treasury bills, and discounted notes with original maturities greater than three months, but less than one year. These investments are primarily valued using a market approach in the same manner as fixed-income securities referenced above.
•
Cash and cash equivalents include certificates of deposits, commercial paper, treasury bills, discounted notes with original maturities of three months or less, cash and cash collateral. Cash collateral is related to the collateral posted on derivatives. 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:

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•
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
•
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.
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.

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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.
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 $49,689 and $46,437, respectively, representing 100% of the Master Trust’s net assets at December 31, 2016 and 2015.
Although the Plan is the only participating plan in the Master Trust as of December 31, 2016, 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, 2016 and 2015, are as follows:

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2016

 
2015

ASSETS:
 
 
 
 
Investments — at fair value:
 
 
 
 
Common/collective trusts
 
$
23,522

 
$
20,750

Common and preferred stock
 
5,310

 
5,598

Government and agency securities
 
487

 
491

Corporate bonds
 
381

 
466

Mortgage and asset-backed securities
 
167

 
200

Boeing common stock
 
5,575

 
6,028

Limited partnerships
 
—

 
1

Short-term investments
 
112

 
87

Other investments
 
18

 
6

Total investments — at fair value
 
35,572

 
33,627

Investments — at contract value:
 
 
 
 
Synthetic GICs
 
14,239

 
12,903

Cash and cash equivalents
 
57

 
233

Receivables:
 
 
 
 
Receivables for securities sold
 
392

 
322

Accrued investment income
 
73

 
66

Other
 
21

 
30

Total receivables
 
486

 
418

Total assets
 
50,354

 
47,181

LIABILITIES:
 
 
 
 
Payables for securities purchased
 
559

 
644

Accrued investment and administration expenses
 
25

 
23

Other
 
81

 
77

Total liabilities
 
665

 
744

NET ASSETS
 
$
49,689

 
$
46,437


Changes in net assets for the Master Trust for the year ended December 31, 2016 are as follows:
Net appreciation of investments
$
2,774

Interest income
371

Dividend income
279

Investment income
650

Net investment income
3,424

Amounts received from participating plans
3,392

Deductions:
 
Amounts paid to participating plans
3,481

Investment and administration expenses
85

Total deductions
3,566

 
 
Assets transferred from another plan
2

 
 
Increase in net assets
3,252

Beginning of year
46,437

End of year
$
49,689


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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, 2016 and 2015. 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, 2016

Investments:
 
 
 
 
 
 
 
 
 
 
Investments in the fair value hierarchy:
 
 
 
 
 
 
 
 
 
 
Common and preferred stock
 
$
5,150

 
$
160

 
$
—

 
$
—

 
$
5,310

Government and agency securities
 
—

 
487

 
—

 
—

 
487

Corporate bonds
 
—

 
381

 
—

 
—

 
381

Mortgage and asset-backed securities
 
—

 
135

 
32

 
—

 
167

Boeing common stock
 
5,575

 
—

 
—

 
—

 
5,575

Short-term investments
 
—

 
112

 
—

 
—

 
112

Other investments
 
3

 
15

 
—

 
—

 
18

Total investments in the fair value hierarchy
 
10,728

 
1,290

 
32

 
—

 
12,050

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

 
—

 
—

 
23,522

 
23,522

Limited partnerships
 
—

 
—

 
—

 
—

 
—

Total investments measured at net asset value
 
—

 
—

 
—

 
23,522

 
23,522

Total investments at fair value
 
10,728


1,290

 
32

 
23,522

 
35,572

Receivables:
 
 
 
 
 
 
 
 
 
 
Forward contracts
 
—

 
14

 
—

 
—

 
14

Futures
 
1

 
—

 
—

 
—

 
1

Total receivables
 
1

 
14

 
—

 
—

 
15

Cash and cash equivalents
 
—

 
24

 
—

 
33

 
57

Total financial assets
 
$
10,729

 
$
1,328

 
$
32

 
$
23,555

 
$
35,644

 
 
 
 
 
 
 
 
 
 


Investment liabilities:
 
 
 
 
 
 
 
 
 
 
Swaps
 
$
—

 
$
16

 
$
—

 
$
—

 
$
16

Options
 
3

 
1

 
—

 
—

 
4

Futures
 
1

 
—

 
—

 
—

 
1

Forward contracts
 
—

 
15

 
—

 
—

 
15

Total investment liabilities
 
$
4

 
$
32

 
$
—

 
$
—

 
$
36


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, 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

Short-term investments
 
—

 
87

 
—

 
—

 
87

Other investments
 
—

 
6

 
—

 
—

 
6

Total investments in the fair value hierarchy
 
11,355

 
1,475

 
46

 
—

 
12,876

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

 
1,475

 
46

 
20,751

 
33,627

Receivables:
 
 
 
 
 
 
 
 
 
 
Forward contracts
 
—

 
12

 
—

 
—

 
12

Futures
 
1

 
—

 
—

 
—

 
1

Total receivables
 
1

 
12

 
—

 
—

 
13

Cash equivalents
 
—

 
4

 
—

 
229

 
233

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

Total Master Trust investment assets at fair value classified within Level 3 were $32 and $46 as of December 31, 2016 and 2015, respectively, which consists of mortgage and asset-backed securities. Such amounts were 0.09% and 0.14% of “Total investments at fair value” in the Master Trust’s statements of net assets available for benefits as of December 31, 2016 and 2015, 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, 2016 and 2015.
6.
DERIVATIVE FINANCIAL INSTRUMENTS
ASC 815, Derivatives and Hedging, requires disclosures on 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, 2016 and 2015, 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, 2016
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
Synthetic GICs - TBAs
$
—

$
—

$
—

$
—

$
—

$
4

$
4

Other investments:







Options
3

—

1

—

—

—

4

Swaps
9

1

1

3

—

—

14

Other receivables:







Forward contracts
—

—

14

—

—

—

14

Futures
—

—

—

—

1

—

1

Total assets
$
12

$
1

$
16

$
3

$
1

$
4

$
37

Liabilities:
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
15

$
—

$
—

$
—

$
15

Futures
—

—

—

1

—

—

1

Options
3

—

1

—

—

—

4

Swaps
6

2

8

—

—

—

16

Payable for securities purchased:
 
 
 
 
 
 
 
TBAs
—

—

—

—

—

8

8

Total liabilities
$
9

$
2

$
24

$
1

$
—

$
8

$
44

 
 
 
 
 
 
 
 
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







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, 2016, is reflected in the following table:
 
Interest rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

Net gains (losses):
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
7

$
—

$
—

$
—

$
7

Futures
1

—

—

17

2

—

20

Options
—

—

2

—

—

—

2

Swaps
—

5

(6
)
19

—

—

18

TBAs
—

—

—

—

—

(1
)
(1
)
Total net gains (losses)
$
1

$
5

$
3

$
36

$
2

$
(1
)
$
46

The following table summarizes the gross notional value of derivative contracts outstanding as of December 31, 2016 and 2015. 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, 2016
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
806

$
—

$
—

$
—

$
806

Futures
1,738

—

1

274

181

—

2,194

Options
685

—

31

—

—

—

716

Swaps
765

150

119

3

—

—

1,037

TBAs
—

—

—

—

—

1,980

1,980

Total
$
3,188

$
150

$
957

$
277

$
181

$
1,980

$
6,733

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

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, 2016 and 2015, the Master Trust had an insignificant amount of contracts in a net liability position with contingent features with a total of $3 and $15, respectively, posted in collateral against those positions.
7.
PLAN AMENDMENTS
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 accrued a pension benefit from a defined benefit plan and also are eligible to participate under the Plan.
Effective during 2016 as specified in the Plan provisions, the Plan added an enhanced defined contribution benefit contributed by the Company for certain union Members as specified or permitted in the applicable collective bargaining agreement for each group.
Effective January 5, 2016, the Plan began to allow non-union and certain union Members to elect to irrevocably convert all or a portion of the amounts in any of his or her eligible accounts to Roth treatment pursuant to an in-plan direct Roth rollover, in accordance with applicable Plan provisions.
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, 2016 and 2015, to Form 5500:
 
 
2016

 
2015

Net assets available for benefits per the financial statements
 
$
50,402

 
$
47,143

Amounts allocated to withdrawing Members
 
(11
)
 
(12
)
Net assets available for benefits per Form 5500
 
$
50,391

 
$
47,131

The following is a reconciliation of benefits paid per the financial statements for the year ended December 31, 2016, to total benefit payments per Form 5500:
Benefits paid per the financial statements
$
3,161

Amounts allocated to withdrawing Members — December 31, 2016
11

Amounts allocated to withdrawing Members — December 31, 2015
(12
)
Amounts deemed distributions of Member loans as reflected in the Form 5500
(7
)
Total benefit payments per Form 5500
$
3,153

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, 2016.
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.
As of December 31, 2016 and 2015, the Plan held approximately 36 million and 42 million shares of common stock of the Company, respectively, with a cost basis of $2,987 and $3,198, respectively, and recorded dividend income of $178 during the year ended December 31, 2016.

17
Table of Contents

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
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. This 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 two hundred forty-five thousand and thirty-five dollars and associated earnings in the amount of twelve thousand two hundred and ninety-one dollars to the Plan on February 18, 2016.
Between January 1, 2002 and December 31, 2014, reportable nonexempt party-in-interest transactions occurred. Plan assets in excess of expenses were paid to the trustee. This was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of three hundred and seventy-six dollars and associated earnings in the amount of four hundred and forty-seven dollars to the Plan on October 31, 2016 and April 10, 2017.
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 has been amended since receiving the determination letter. 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 2013.
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, 2017, the Aviall, Inc. Employee Savings Plan (“Aviall Plan”) was merged into the Plan. All assets and liabilities of the Aviall Plan were transferred to the Plan. The fair value of the assets transferred totaled $116.
*  *  *  *  *  *

18
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 23, 2017
 
 
  
/s/ Michael Cleary      
 
 
Date
 
 
  
Michael Cleary
 
 
 
 
 
  
Vice President of Accounting
 
 
 
 
 
  
and Financial Reporting
 
 
 
 
 
  
 


19
Table of Contents

SUPPLEMENTAL SCHEDULES
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, 2016
Security Name
Maturity Date
Rate
Cost
 Current Value
(in dollars)

1 800 FLOWERS.COM INC CL A COMMON STOCK USD.01
 
 
**
$
14,884

1ST CONSTITUTION BANCORP COMMON STOCK
 
 
**
21,150

1ST SOURCE CORP COMMON STOCK
 
 
**
120,850

21ST CENTURY FOX AMERICA COMPANY GUAR 02/21 4.5
2/15/2021
4.50%
**
133,643

21ST CENTURY FOX AMERICA COMPANY GUAR 02/41 6.15
2/15/2041
6.15%
**
41,397

21ST CENTURY FOX AMERICA COMPANY GUAR 10/25 3.7
10/15/2025
3.70%
**
101,215

2U INC COMMON STOCK USD.001
 
 
**
1,253,366

3175AR155 INT FLR US NOV17 .15 CALL
11/28/2017
 
**
42

3175C1606 INT FLR US DEC19 1.6 CALL
12/6/2019
 
**
27,272

3175JSF83 INT FLR US DEC19 1.6 CALL
12/6/2019
 
**
27,272

3175RW776 INT FLR US OCT17 0.4 CALL
10/26/2017
 
**
879

317U168L4 IRO USD 30Y P OCT18 2.86 PUT
10/23/2018
 
**
37,904

317U236L2 IRO JPY 10Y P MAR17 0.4 PUT
3/3/2017
 
**
772

317U384M0 IRO USD 30Y P 2.3000 OCT19 2.30 PUT
10/21/2019
 
**
709,303

317U473M2 IRO USD 30Y P 2.5000 NOV19 2.50 PUT
11/7/2019
 
**
441,456

317U474M1 IRO USD 30Y P 2.7500 NOV19 2.75 PUT
11/7/2019
 
**
202,993

317U477M8 IRO USD 30Y P 2.7500 NOV19 2.75 PUT
11/7/2019
 
**
299,148

317U478M7 IRO USD 30Y P 2.7250 NOV19 2.725 PUT
11/7/2019
 
**
306,164

317U540M1 IRO USD 2Y C 1.65000 NOV18 1.65 CALL
11/15/2018
 
**
48,740

317U588M4 IRO USD 1Y P 1.64000 JUN17 1.64 PUT
6/19/2017
 
**
78,907

317U596M4 IRO USD 1Y P 2.03000 DEC17 2.03 PUT
12/18/2017
 
**
110,022

317U796L4 IRO USD 30Y C 2.1500 JUN18 2.15 CALL
6/15/2018
 
**
7,871

317U797L3 IRO USD 30Y P 2.1500 JUN18 2.15 PUT
6/15/2018
 
**
30,177

317U798L2 IRO USD 30Y P 2.1500 JUN18 2.15 PUT
6/15/2018
 
**
90,532

317U799L1 IRO USD 30Y C 2.1500 JUN18 2.15 CALL
6/15/2018
 
**
23,614

317U841J4 IRO USD 30Y P 2.9050 AUG18 2.905 PUT
8/20/2018
 
**
80,922

317U857J5 IRO USD 30Y P 2.9400 AUG18 2.94 PUT
8/20/2018
 
**
25,811

3I GROUP PLC COMMON STOCK GBP.738636
 
 
**
134,234

3M CO COMMON STOCK USD.01
 
 
**
9,943,313

7AN7P Q7 NYM EPUT CRUDE OIL CS JUL17 0.5 PUT
6/19/2017
 
**
440

7AQ7P U7 NYM EPUT CRUDE OIL CS AUG17 0.5 PUT
7/21/2017
 
**
440

7AU7P V7 NYM EPUT CRUDE OIL CS SEP17 0.5 PUT
8/21/2017
 
**
400

7AV7P X7 NYM EPUT CRUDE OIL CS OCT17 0.5 PUT
9/19/2017
 
**
400

7AX7P Z7 NYM EPUT CRUDE OIL CS NOV17 0.5 PUT
10/19/2017
 
**
440

7AZ7P F8 NYM EPUT CRUDE OIL CS DEC17 0.5 PUT
11/17/2017
 
**
400

A H BELO CORP A COMMON STOCK USD.01
 
 
**
12,363

A10 SECURITIZATION A10 2013 1 A 144A
11/15/2025
2.40%
**
2,794

A10 SECURITIZATION A10 2014 1 A2 144A
4/15/2033
3.02%
**
389,054

AALBERTS INDUSTRIES NV COMMON STOCK EUR.25
 
 
**
533,121

AAR CORP COMMON STOCK USD1.0
 
 
**
46,270

AAREAL BANK AG COMMON STOCK
 
 
**
673,358

AARON S INC COMMON STOCK USD.5
 
 
**
236,054


20
Table of Contents

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

ABB LTD REG COMMON STOCK CHF.12
 
 
**
1,190,905

ABBOTT LABORATORIES COMMON STOCK
 
 
**
34,571,266

ABBOTT LABORATORIES SR UNSECURED 11/23 3.4
11/30/2023
3.40%
**
64,756

ABBVIE INC SR UNSECURED 05/18 1.8
5/14/2018
1.80%
**
1,300,976

ABBVIE INC SR UNSECURED 11/22 2.9
11/6/2022
2.90%
**
77,044

ABBVIE INC SR UNSECURED 11/22 3.2
11/6/2022
3.20%
**
84,055

ABERCROMBIE + FITCH CO CL A COMMON STOCK USD.01
 
 
**
76,260

ABERDEEN ASSET MGMT PLC COMMON STOCK GBP.1
 
 
**
130,181

ABIOMED INC COMMON STOCK USD.01
 
 
**
1,428,444

ABLYNX NV COMMON STOCK
 
 
**
337,651

ABM INDUSTRIES INC COMMON STOCK USD.01
 
 
**
226,049

ABN AMRO BANK NV SR UNSECURED 144A 06/20 2.45
6/4/2020
2.45%
**
596,674

ABN AMRO BANK NV SR UNSECURED 144A 10/18 2.5
10/30/2018
2.50%
**
201,576

ACADIA HEALTHCARE CO INC COMMON STOCK USD.01
 
 
**
4,031,183

ACADIA REALTY TRUST REIT USD.001
 
 
**
2,724,597

ACCELERON PHARMA INC COMMON STOCK USD.001
 
 
**
270,640

ACCENTURE PLC CL A COMMON STOCK USD.0000225
 
 
**
20,695,817

ACCESS NATIONAL CORP COMMON STOCK USD.835
 
 
**
28,454

ACCO BRANDS CORP COMMON STOCK USD.01
 
 
**
145,795

ACETO CORP COMMON STOCK USD.01
 
 
**
1,087,954

ACHILLION PHARMACEUTICALS COMMON STOCK USD.001
 
 
**
47,218

ACI WORLDWIDE INC COMMON STOCK USD.005
 
 
**
2,359,500

ACORDA THERAPEUTICS INC COMMON STOCK USD.001
 
 
**
53,072

ACS ACTIVIDADES CONS Y SERV COMMON STOCK EUR.5
 
 
**
436,293

ACTAVIS INC COMPANY GUAR 10/22 3.25
10/1/2022
3.25%
**
497,959

ACTELION LTD REG COMMON STOCK
 
 
**
3,337,819

ACTIVISION BLIZZARD INC COMMON STOCK USD.000001
 
 
**
424,076

ACTUA CORP COMMON STOCK USD.001
 
 
**
63,588

ACTUANT CORP A COMMON STOCK USD.2
 
 
**
133,435

ACXIOM CORP COMMON STOCK USD.1
 
 
**
6,500,876

ADAMS RESOURCES + ENERGY INC COMMON STOCK USD.1
 
 
**
12,173

ADARO ENERGY TBK PT COMMON STOCK IDR100.
 
 
**
104,776

ADDUS HOMECARE CORP COMMON STOCK USD.001
 
 
**
42,901

ADECCO GROUP AG REG COMMON STOCK CHF1.0
 
 
**
762,276

ADIDAS AG COMMON STOCK
 
 
**
5,178,722

ADIENT PLC COMMON STOCK USD.001
 
 
**
1,372,295

ADOBE SYSTEMS INC COMMON STOCK USD.0001
 
 
**
27,819,252

ADTRAN INC COMMON STOCK USD.01
 
 
**
1,869,890

ADVANCE AUTO PARTS INC COMMON STOCK USD.0001
 
 
**
1,203,289

ADVANCED ENERGY INDUSTRIES COMMON STOCK USD.001
 
 
**
754,510

ADVANCED MICRO DEVICES COMMON STOCK USD.01
 
 
**
470,723

ADVANTECH CO LTD COMMON STOCK TWD10.
 
 
**
592,246

ADVISORY BOARD CO/THE COMMON STOCK USD.01
 
 
**
2,527,000

AECOM COMMON STOCK USD.01
 
 
**
4,477,770

AEGION CORP COMMON STOCK USD.01
 
 
**
80,153

AEON FINANCIAL SERVICE CO LT COMMON STOCK
 
 
**
359,715


21
Table of Contents

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

AEON MALL CO LTD COMMON STOCK
 
 
**
19,733

AEP INDUSTRIES INC COMMON STOCK USD.01
 
 
**
36,223

AERCAP HOLDINGS NV COMMON STOCK EUR.01
 
 
**
2,579,820

AERCAP IRELAND CAP/GLOBA COMPANY GUAR 05/21 4.5
5/15/2021
4.50%
**
414,540

AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/20 4.625
10/30/2020
4.63%
**
520,000

AEROVIRONMENT INC
 
 
**
10,449

AEROVIRONMENT INC COMMON STOCK USD.0001
 
 
**
27,206

AES TIETE ENERGIA SA UNIT UNIT
 
 
**
101,085

AETNA INC COMMON STOCK USD.01
 
 
**
3,418,708

AETNA INC SR UNSECURED 06/23 2.8
6/15/2023
2.80%
**
20,685

AETNA INC SR UNSECURED 06/36 4.25
6/15/2036
4.25%
**
17,045

AETNA INC SR UNSECURED 12/17 VAR
12/8/2017
1.60%
**
4,954,023

AETNA INC SR UNSECURED 12/37 6.75
12/15/2037
6.75%
**
77,977

AEW GLOBAL PPTY SECS MASTER TR
 
 
**
2,005,056

AEW GLOBAL PPTY SECS MASTER TR MUTUAL FUND
 
 
**
299,053,664

AFFILIATED MANAGERS GROUP COMMON STOCK USD.01
 
 
**
5,851,812

AGCO CORP COMMON STOCK USD.01
 
 
**
497,249

AGEAS COMMON STOCK
 
 
**
1,430,469

AGILYSYS INC COMMON STOCK USD.3
 
 
**
21,010

AGREE REALTY CORP REIT USD.0001
 
 
**
94,955

AGRICULTURAL BANK OF CHINA H COMMON STOCK CNY1.0
 
 
**
63,984

AGRIUM INC COMMON STOCK
 
 
**
181,148

AGRIUM INC SR UNSECURED 01/45 5.25
1/15/2045
5.25%
**
145,793

AGRIUM INC SR UNSECURED 03/35 4.125
3/15/2035
4.13%
**
9,169

AGROFRESH SOLUTIONS INC COMMON STOCK
 
 
**
9,869

AGUAS ANDINAS SA A COMMON STOCK
 
 
**
35,478

AIA GROUP LTD COMMON STOCK
 
 
**
6,138,312

AIG GLOBAL FUNDING SR SECURED 144A 12/17 1.65
12/15/2017
1.65%
**
90,088

AIR CANADA 2013 1A PTT PASS THRU CE 144A 11/26 4.125
11/15/2026
4.13%
**
42,313

AIR CHINA LTD H COMMON STOCK CNY1.0
 
 
**
15,323

AIR INDUSTRIES GROUP COMMON STOCK USD.001
 
 
**
3,219

AIR LEASE CORP
 
 
**
10,622

AIR LEASE CORP COMMON STOCK USD.01
 
 
**
351,883

AIR LEASE CORP SR UNSECURED 01/20 2.125
1/15/2020
2.13%
**
56,149

AIR LEASE CORP SR UNSECURED 09/23 3
9/15/2023
3.00%
**
32,483

AIR LIQUIDE SA COMMON STOCK EUR5.5
 
 
**
6,347,411

AIR METHODS CORP COMMON STOCK USD.06
 
 
**
112,016

AIR TRANSPORT SERVICES GROUP COMMON STOCK USD.01
 
 
**
94,882

AIRASIA BHD COMMON STOCK MYR.1
 
 
**
408,177

AJINOMOTO CO INC COMMON STOCK
 
 
**
250,265

AKAMAI TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
2,814,096

AKBANK T.A.S. COMMON STOCK TRY1.
 
 
**
61,240

AKER SOLUTIONS ASA COMMON STOCK NOK1.08
 
 
**
173,502

AKSA AKRILIK KIMYA SANAYII COMMON STOCK TRY1.
 
 
**
300,119

AKZO NOBEL COMMON STOCK EUR2.
 
 
**
4,449,558

ALABAMA POWER CO SR UNSECURED 02/19 5.125
2/15/2019
5.13%
**
26,517


22
Table of Contents

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

ALAMO GROUP INC COMMON STOCK USD.1
 
 
**
93,603

ALAMOS GOLD INC CLASS A COMMON STOCK
 
 
**
290,012

ALASKA AIR GROUP INC COMMON STOCK USD.01
 
 
**
4,805,173

ALBA PLC ALBA 2006 2 A3B REGS
12/15/2038
0.03%
**
482,988

ALBANY INTL CORP CL A COMMON STOCK USD.001
 
 
**
128,112

ALBANY MOLECULAR RESEARCH COMMON STOCK USD.01
 
 
**
51,102

ALBEMARLE CORP COMMON STOCK USD.01
 
 
**
3,766,258

ALEXANDER + BALDWIN INC COMMON STOCK
 
 
**
234,894

ALEXANDRIA REAL ESTATE EQUIT REIT USD.01
 
 
**
102,795

ALEXION PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
**
5,043,022

ALFRESA HOLDINGS CORP COMMON STOCK
 
 
**
67,985

ALIBABA GROUP HOLDING SP ADR ADR USD.000025
 
 
**
22,265,630

ALICO INC COMMON STOCK USD1.0
 
 
**
19,467

ALIMENTATION COUCHE TARD B COMMON STOCK
 
 
**
399,995

ALKERMES PLC COMMON STOCK USD.01
 
 
**
7,954,054

ALLEGHENY TECHNOLOGIES INC COMMON STOCK USD.1
 
 
**
85,002

ALLEGIANT TRAVEL CO COMMON STOCK USD.001
 
 
**
3,144,960

ALLERGAN INC COMPANY GUAR 03/23 2.8
3/15/2023
2.80%
**
81,390

ALLERGAN PLC COMMON STOCK USD.0033
 
 
**
58,169,200

ALLIANCE DATA SYSTEMS CORP COMMON STOCK USD.01
 
 
**
13,712,514

ALLIANZ SE REG COMMON STOCK
 
 
**
806,782

ALLIED PROPERTIES REAL ESTAT REIT
 
 
**
184,971

ALLIED WORLD ASSURANCE CO COMMON STOCK USD4.1
 
 
**
517,496

ALLSCRIPTS HEALTHCARE SOLUTI COMMON STOCK USD.01
 
 
**
117,160

ALLSTATE CORP COMMON STOCK USD.01
 
 
**
2,312,544

ALLY AUTO RECEIVABLES TRUST LE ALLYL 2015 SN1 A3
12/20/2017
1.21%
**
58,617

ALLY FINANCIAL INC COMPANY GUAR 02/17 5.5
2/15/2017
5.50%
**
200,750

ALLY FINANCIAL INC COMPANY GUAR 09/18 4.75
9/10/2018
4.75%
**
309,000

ALLY FINANCIAL INC SR UNSECURED 02/18 3.25
2/13/2018
3.25%
**
301,500

ALLY FINANCIAL INC SR UNSECURED 05/18 3.6
5/21/2018
3.60%
**
2,418,000

ALLY FINANCIAL INC SR UNSECURED 09/17 3.25
9/29/2017
3.25%
**
201,250

ALMOST FAMILY INC COMMON STOCK USD.1
 
 
**
40,660

ALNYLAM PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
**
1,694,796

ALON USA ENERGY INC COMMON STOCK USD.01
 
 
**
79,319

ALPHA + OMEGA SEMICONDUCTOR COMMON STOCK
 
 
**
56,685

ALPHABET INC CL A COMMON STOCK USD.001
 
 
**
94,038,457

ALPHABET INC CL C COMMON STOCK USD.001
 
 
**
76,646,357

ALPS ELECTRIC CO LTD COMMON STOCK
 
 
**
2,672,507

ALTEN SA COMMON STOCK
 
 
**
809,289

ALTICE LUXEMBOURG SA COMPANY GUAR 144A 05/22 7.75
5/15/2022
7.75%
**
1,067,500

ALTRA INDUSTRIAL MOTION CORP COMMON STOCK USD.001
 
 
**
86,973

ALTRIA GROUP INC COMMON STOCK USD.333
 
 
**
3,085,163

AMADA HOLDINGS CO LTD COMMON STOCK
 
 
**
719,437

AMADEUS IT GROUP SA COMMON STOCK EUR.01
 
 
**
3,836,566

AMAZON.COM INC COMMON STOCK USD.01
 
 
**
101,077,977

AMAZON.COM INC SR UNSECURED 12/34 4.8
12/5/2034
4.80%
**
96,858


23
Table of Contents

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

AMBAC FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
89,933

AMBEV SA ADR ADR
 
 
**
2,019,400

AMC ENTERTAINMENT HLDS CL A COMMON STOCK USD.01
 
 
**
78,481

AMC NETWORKS INC A COMMON STOCK
 
 
**
1,732,768

AMDOCS LTD COMMON STOCK GBP.0001
 
 
**
4,110,819

AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3
4/15/2030
3.00%
**
66,325

AMER NATL BNKSHS/DANVILLE VA COMMON STOCK USD1.0
 
 
**
28,536

AMER SPORTS OYJ COMMON STOCK
 
 
**
449,290

AMERCO COMMON STOCK USD.25
 
 
**
463,096

AMERESCO INC CL A COMMON STOCK USD.0001
 
 
**
15,785

AMERICA MOVIL SAB DE CV COMPANY GUAR 03/20 5
3/30/2020
5.00%
**
85,548

AMERICA MOVIL SAB DE CV COMPANY GUAR 11/17 5.625
11/15/2017
5.63%
**
3,445,513

AMERICA MOVIL SPN ADR CL L ADR
 
 
**
142,996

AMERICA S CAR MART INC COMMON STOCK USD.01
 
 
**
48,344

AMERICAN ASSETS TRUST INC REIT USD.01
 
 
**
2,661,482

AMERICAN CAMPUS COMMUNITIES REIT USD.01
 
 
**
2,408,768

AMERICAN EAGLE OUTFITTERS COMMON STOCK USD.01
 
 
**
1,259,459

AMERICAN EQUITY INVT LIFE HL COMMON STOCK USD1.0
 
 
**
168,644

AMERICAN EXPRESS BK FSB SR UNSECURED 09/17 6
9/13/2017
6.00%
**
144,328

AMERICAN EXPRESS CO COMMON STOCK USD.2
 
 
**
20,361,629

AMERICAN EXPRESS CO SR UNSECURED 12/22 2.65
12/2/2022
2.65%
**
158,523

AMERICAN EXPRESS CO SUBORDINATED 12/24 3.625
12/5/2024
3.63%
**
28,116

AMERICAN EXPRESS CREDIT SR UNSECURED 09/17 VAR
9/22/2017
1.30%
**
2,501,458

AMERICAN EXPRESS CREDIT SR UNSECURED 11/18 VAR
11/5/2018
1.66%
**
7,044,779

AMERICAN FINANCIAL GROUP INC COMMON STOCK
 
 
**
355,829

AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 4A1
9/25/2045
2.40%
**
190,025

AMERICAN HONDA FINANCE SR UNSECURED 02/19 VAR
2/22/2019
1.74%
**
1,857,655

AMERICAN HONDA FINANCE SR UNSECURED 08/19 2.25
8/15/2019
2.25%
**
126,217

AMERICAN HONDA FINANCE SR UNSECURED 09/26 2.3
9/9/2026
2.30%
**
27,069

AMERICAN HONDA FINANCE SR UNSECURED 11/18 1.5
11/19/2018
1.50%
**
4,661,046

AMERICAN HONDA FINANCE SR UNSECURED 12/17 1.55
12/11/2017
1.55%
**
89,077

AMERICAN INTERNATIONAL GROUP COMMON STOCK USD2.5
 
 
**
11,670,897

AMERICAN INTL GROUP SR UNSECURED 02/24 4.125
2/15/2024
4.13%
**
248,134

AMERICAN MONEY MANAGEMENT CORP AMMC 2012 11A A2R 144A
10/30/2023
2.28%
**
1,000,320

AMERICAN MUNI PWR OHIO INC OHR AMEPWR 02/28 FIXED 7.334
2/15/2028
7.33%
**
256,906

AMERICAN NATIONAL INSURANCE COMMON STOCK USD1.0
 
 
**
332,086

AMERICAN PUBLIC EDUCATION COMMON STOCK USD.01
 
 
**
44,141

AMERICAN RAILCAR INDUSTRIES COMMON STOCK USD.01
 
 
**
92,845

AMERICAN TOWER CORP REIT USD.01
 
 
**
9,381,214

AMERICAN TOWER CORP SR UNSECURED 01/22 2.25
1/15/2022
2.25%
**
560,353

AMERICAN TOWER TRUSTE I AMTT 13 1A 144A
3/15/2043
1.55%
**
49,959

AMERICAN VANGUARD CORP COMMON STOCK USD.1
 
 
**
51,035

AMERICAN WATER CAP CORP SR UNSECURED 12/42 4.3
12/1/2042
4.30%
**
7,330

AMERICAN WATER CAPITAL C SR UNSECURED 03/25 3.4
3/1/2025
3.40%
**
11,257

AMERICAN WATER CAPITAL C SR UNSECURED 12/26 3
12/1/2026
3.00%
**
103,213

AMERICAN WATER WORKS CO INC COMMON STOCK USD.01
 
 
**
1,765,584


24
Table of Contents

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

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2015 2 A3
1/8/2020
1.27%
**
629,839

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2016 4 A2A
4/8/2020
1.34%
**
4,281,963

AMERIPRISE FINANCIAL INC SR UNSECURED 10/23 4
10/15/2023
4.00%
**
104,875

AMERISAFE INC COMMON STOCK USD.01
 
 
**
85,669

AMGEN INC SR UNSECURED 02/19 5.7
2/1/2019
5.70%
**
26,870

AMGEN INC SR UNSECURED 05/17 2.125
5/15/2017
2.13%
**
140,457

AMGEN INC SR UNSECURED 05/22 3.625
5/15/2022
3.63%
**
46,503

AMGEN INC SR UNSECURED 11/21 3.875
11/15/2021
3.88%
**
151,788

AMKOR TECHNOLOGY INC COMMON STOCK USD.001
 
 
**
162,206

AMOREPACIFIC GROUP COMMON STOCK KRW500.0
 
 
**
49,333

AMPCO PITTSBURGH CORP COMMON STOCK USD1.0
 
 
**
17,169

AMPHASTAR PHARMACEUTICALS IN COMMON STOCK USD.0001
 
 
**
18,752

AMPHENOL CORP CL A COMMON STOCK USD.001
 
 
**
1,902,768

AMPLIFON SPA
 
 
**
(17,150
)
AMPLIFON SPA COMMON STOCK EUR.02
 
 
**
142,228

ANADARKO PETROLEUM CORP SR UNSECURED 07/24 3.45
7/15/2024
3.45%
**
127,614

ANADARKO PETROLEUM CORP SR UNSECURED 09/36 6.45
9/15/2036
6.45%
**
214,230

ANALOG DEVICES INC COMMON STOCK USD.167
 
 
**
5,143,747

ANALOG DEVICES INC SR UNSECURED 12/23 3.125
12/5/2023
3.13%
**
24,998

ANALOGIC CORP COMMON STOCK USD.05
 
 
**
1,685,544

ANDERSONS INC/THE COMMON STOCK
 
 
**
123,685

ANGIODYNAMICS INC COMMON STOCK USD.01
 
 
**
72,828

ANGLO AMERICAN PLATINUM LTD COMMON STOCK ZAR.1
 
 
**
95,014

ANGLO AMERICAN PLC COMMON STOCK USD.54945
 
 
**
787,370

ANGLOGOLD ASHANTI SPON ADR ADR
 
 
**
240,238

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 02/23 3.3
2/1/2023
3.30%
**
1,119,505

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 02/24 3.7
2/1/2024
3.70%
**
532,360

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/22 3.75
1/15/2022
3.75%
**
1,148,154

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/42 4.95
1/15/2042
4.95%
**
1,415,129

ANIKA THERAPEUTICS INC COMMON STOCK USD.01
 
 
**
24,088

ANIXTER INTERNATIONAL INC COMMON STOCK USD1.0
 
 
**
246,797

ANTHEM INC COMMON STOCK USD.01
 
 
**
7,116,615

AON PLC COMMON STOCK USD.01
 
 
**
7,320,383

AON PLC COMPANY GUAR 11/23 4
11/27/2023
4.00%
**
46,690

AON PLC COMPANY GUAR 12/42 4.25
12/12/2042
4.25%
**
42,159

AOZORA BANK LTD COMMON STOCK
 
 
**
247,867

APACHE CORP SR UNSECURED 04/22 3.25
4/15/2022
3.25%
**
81,257

APACHE CORP SR UNSECURED 09/40 5.1
9/1/2040
5.10%
**
62,771

APOLLO EDUCATION GROUP INC COMMON STOCK
 
 
**
103,505

APOLLO GLOBAL MANAGEMENT A MLP
 
 
**
2,710,400

APPLE INC COMMON STOCK USD.00001
 
 
**
86,035,845

APPLE INC SR UNSECURED 02/22 2.15
2/9/2022
2.15%
**
118,981

APPLE INC SR UNSECURED 05/18 1
5/3/2018
1.00%
**
99,625

APPLE INC SR UNSECURED 05/23 2.4
5/3/2023
2.40%
**
97,372

APPLE INC SR UNSECURED 08/46 3.85
8/4/2046
3.85%
**
59,405

APPLIED INDUSTRIAL TECH INC COMMON STOCK
 
 
**
126,938


25
Table of Contents

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

APPLIED MATERIALS INC
 
 
**
(40,609
)
APPLIED MATERIALS INC COMMON STOCK USD.01
 
 
**
26,871,971

APTARGROUP INC COMMON STOCK USD.01
 
 
**
4,407,000

APTEVO THERAPEUTICS INC COMMON STOCK USD.001
 
 
**
4,375

ARAMARK COMMON STOCK USD.01
 
 
**
2,964,903

ARC DOCUMENT SOLUTIONS INC COMMON STOCK USD.001
 
 
**
11,394

ARCA CONTINENTAL SAB DE CV COMMON STOCK
 
 
**
43,447

ARCADIS NV COMMON STOCK EUR.02
 
 
**
292,444

ARCBEST CORP COMMON STOCK USD.01
 
 
**
70,839

ARCELIK A.S. COMMON STOCK TRY1.
 
 
**
196,993

ARCH CAPITAL GROUP LTD COMMON STOCK USD.01
 
 
**
4,512,967

ARCHER DANIELS MIDLAND CO COMMON STOCK
 
 
**
4,011,768

ARCHROCK INC COMMON STOCK USD.01
 
 
**
2,003,562

ARCTIC CAT INC COMMON STOCK USD.01
 
 
**
16,928

ARENA PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
**
1,027,163

ARGO GROUP INTERNATIONAL COMMON STOCK USD1.0
 
 
**
202,643

ARIAD PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
452,542

ARISTA NETWORKS INC COMMON STOCK USD.0001
 
 
**
10,897,366

ARISTOCRAT LEISURE LTD COMMON STOCK
 
 
**
212,069

ARIZONA PUBLIC SERVICE SR UNSECURED 01/20 2.2
1/15/2020
2.20%
**
23,027

ARIZONA PUBLIC SERVICE SR UNSECURED 04/42 4.5
4/1/2042
4.50%
**
26,255

ARKEMA COMMON STOCK EUR10.
 
 
**
248,306

ARMSTRONG FLOORING INC COMMON STOCK USD.0001
 
 
**
27,396

AROTECH CORP COMMON STOCK USD.01
 
 
**
9,933

ARRIS INTERNATIONAL PLC COMMON STOCK GBP.0001
 
 
**
3,127,705

ARROW ELECTRONICS INC COMMON STOCK USD1.0
 
 
**
686,976

ARROW ELECTRONICS INC SR UNSECURED 01/27 7.5
1/15/2027
7.50%
**
95,191

ARROW ELECTRONICS INC SR UNSECURED 03/18 3
3/1/2018
3.00%
**
65,740

ARROW FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
52,286

ARTISAN PARTNERS ASSET MA A COMMON STOCK USD.01
 
 
**
3,213,000

ARVIND LTD COMMON STOCK INR10.
 
 
**
433,447

ARYZTA AG COMMON STOCK CHF.02
 
 
**
238,691

ASAHI KASEI CORP COMMON STOCK
 
 
**
166,078

ASALEO CARE LTD COMMON STOCK
 
 
**
465,090

ASBURY AUTOMOTIVE GROUP COMMON STOCK USD.01
 
 
**
2,461,830

ASCENA RETAIL GROUP INC COMMON STOCK USD.01
 
 
**
102,345

ASCENDAS REAL ESTATE INV TRT REIT
 
 
**
77,777

ASCENT CAPITAL GROUP INC A COMMON STOCK USD.01
 
 
**
29,382

ASHFORD HOSPITALITY PRIME IN REIT USD.01
 
 
**
2,689

ASHFORD HOSPITALITY TRUST REIT USD.01
 
 
**
37,380

ASHMORE GROUP PLC COMMON STOCK GBP.0001
 
 
**
195,967

ASHOK LEYLAND LTD COMMON STOCK INR1.
 
 
**
22,916

ASM PACIFIC TECHNOLOGY COMMON STOCK HKD.1
 
 
**
19,072

ASML HOLDING NV COMMON STOCK EUR.09
 
 
**
610,928

ASML HOLDING NV NY REG SHS NY REG SHRS EUR.09
 
 
**
2,614,148

ASPEN INSURANCE HOLDINGS LTD COMMON STOCK USD.001514456
 
 
**
360,800


26
Table of Contents

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

ASPEN TECHNOLOGY INC COMMON STOCK USD.1
 
 
**
2,258,284

ASSOCIATED BANC CORP COMMON STOCK USD.01
 
 
**
374,699

ASSURANT INC COMMON STOCK USD.01
 
 
**
666,271

ASSURED GUARANTY LTD COMMON STOCK USD.01
 
 
**
2,017,371

ASTA FUNDING INC COMMON STOCK USD.01
 
 
**
13,014

ASTEC INDUSTRIES INC COMMON STOCK USD.2
 
 
**
1,460,846

ASTELLAS PHARMA INC COMMON STOCK
 
 
**
1,366,894

ASTORIA FINANCIAL CORP COMMON STOCK USD.01
 
 
**
185,418

ASTRAZENECA PLC SPONS ADR ADR
 
 
**
11,154,483

ASTRAZENECA PLC SR UNSECURED 09/37 6.45
9/15/2037
6.45%
**
58,216

ASTRONOVA INC COMMON STOCK USD.05
 
 
**
11,699

ASX LTD COMMON STOCK
 
 
**
97,893

AT+T INC SR UNSECURED 01/18 1.75
1/15/2018
1.75%
**
5,503,361

AT+T INC SR UNSECURED 02/18 5.5
2/1/2018
5.50%
**
83,119

AT+T INC SR UNSECURED 02/19 5.8
2/15/2019
5.80%
**
150,532

AT+T INC SR UNSECURED 02/21 4.6
2/15/2021
4.60%
**
105,768

AT+T INC SR UNSECURED 02/23 3.6
2/17/2023
3.60%
**
418,536

AT+T INC SR UNSECURED 03/22 3.8
3/15/2022
3.80%
**
179,399

AT+T INC SR UNSECURED 03/41 6.375
3/1/2041
6.38%
**
57,581

AT+T INC SR UNSECURED 06/22 3
6/30/2022
3.00%
**
73,621

AT+T INC SR UNSECURED 08/21 3.875
8/15/2021
3.88%
**
123,894

AT+T INC SR UNSECURED 12/17 1.4
12/1/2017
1.40%
**
2,272,988

ATCO LTD CLASS I COMMON STOCK
 
 
**
70,934

ATHENAHEALTH INC COMMON STOCK USD.01
 
 
**
1,422,424

ATLAS AIR WORLDWIDE HOLDINGS COMMON STOCK USD.01
 
 
**
144,873

ATLAS COPCO AB B SHS COMMON STOCK SEK.64
 
 
**
95,148

ATLAS SENIOR LOAN FUND LTD ATCLO 2012 2A AR 144A
1/30/2024
2.12%
**
1,299,992

ATLASSIAN CORP PLC CLASS A COMMON STOCK USD.1
 
 
**
2,660,840

ATMOS ENERGY CORP SR UNSECURED 03/19 8.5
3/15/2019
8.50%
**
147,823

ATMOS ENERGY CORP SR UNSECURED 10/44 4.125
10/15/2044
4.13%
**
66,640

ATN INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
123,160

ATOS SE COMMON STOCK EUR1.0
 
 
**
2,688,618

ATRESMEDIA CORP DE MEDIOS DE COMMON STOCK EUR.75
 
 
**
260,821

ATRIUM CDO CORP ATRM 8A AR 144A
10/23/2024
2.21%
**
1,799,998

ATRIUM EUROPEAN REAL ESTATE COMMON STOCK
 
 
**
239,230

ATWOOD OCEANICS INC COMMON STOCK USD1.0
 
 
**
75,366

AUBURN SECURITIES PLC AUBN 4 A2 REGS
10/1/2041
0.91%
**
25,442

AUBURN SECURITIES PLC AUBN 5 A2 REGS
12/1/2041
0.58%
**
567,180

AUROBINDO PHARMA LTD COMMON STOCK INR1.
 
 
**
40,344

AUST AND NZ BANKING GROUP COMMON STOCK
 
 
**
1,331,055

AUTO ABS COMP 2012 3 A REGS
9/27/2024
0.60%
**
465,804

AUTOMATIC DATA PROCESSING COMMON STOCK USD.1
 
 
**
18,259,895

AUTONATION INC COMMON STOCK USD.01
 
 
**
443,542

AV HOMES INC COMMON STOCK USD1.0
 
 
**
10,523

AVALONBAY COMMUNITIES SR UNSECURED 06/25 3.45
6/1/2025
3.45%
**
800,920

AVALONBAY COMMUNITIES SR UNSECURED 10/26 2.9
10/15/2026
2.90%
**
44,479


27
Table of Contents

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

AVIATION CAPITAL GROUP SR UNSECURED 144A 10/20 7.125
10/15/2020
7.13%
**
358,050

AVIS BUDGET GROUP INC COMMON STOCK USD.01
 
 
**
2,762,371

AVNET INC COMMON STOCK USD1.0
 
 
**
649,020

AVX CORP COMMON STOCK USD.01
 
 
**
235,497

AWE LTD COMMON STOCK
 
 
**
124,493

AXALTA COATING SYSTEMS LTD COMMON STOCK USD1.0
 
 
**
1,781,600

AXCELIS TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
40,638

AXIS CAPITAL HOLDINGS LTD COMMON STOCK USD.0125
 
 
**
669,018

AXT INC COMMON STOCK USD.001
 
 
**
14,880

AYGAZ AS COMMON STOCK TRY1.
 
 
**
157,317

AZBIL CORP COMMON STOCK
 
 
**
761,607

AZZ INC COMMON STOCK USD1.0
 
 
**
31,375

B+G FOODS INC COMMON STOCK USD.01
 
 
**
2,122,329

B2R MORTGAGE TRUST B2R 2015 2 A 144A
11/15/2048
3.34%
**
223,302

BAIDU INC SPON ADR ADR USD.00005
 
 
**
5,245,501

BALCHEM CORP COMMON STOCK USD.0667
 
 
**
660,534

BALDWIN + LYONS INC CL B COMMON STOCK
 
 
**
30,996

BALFOUR BEATTY PLC COMMON STOCK GBP.5
 
 
**
298,707

BALTIMORE GAS + ELECTRIC SR UNSECURED 08/46 3.5
8/15/2046
3.50%
**
23,395

BANC OF AMERICA COMMERCIAL MOR BACM 2007 1 A1A
1/15/2049
5.43%
**
92,149

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A5
6/10/2049
5.38%
**
1,616,445

BANC OF AMERICA LARGE LOAN BALL 2010 UB5 A4A 144A
2/17/2051
5.74%
**
28,425

BANC OF AMERICA MERRILL LYNCH BAMLL 2015 ASHF A 144A
1/15/2028
1.65%
**
500,801

BANC OF CALIFORNIA INC COMMON STOCK USD.01
 
 
**
76,340

BANCA CARIGE SPA COVERED REGS 10/18 3.875
10/24/2018
3.88%
**
1,769,928

BANCFIRST CORP COMMON STOCK USD1.0
 
 
**
143,018

BANCO BILBAO VIZCAYA ARGENTA COMMON STOCK EUR.49
 
 
**
125,196

BANCO BRADESCO ADR ADR
 
 
**
755,532

BANCO DE CHILE COMMON STOCK
 
 
**
195,314

BANCO DE SABADELL SA COMMON STOCK EUR.125
 
 
**
74,109

BANCO DO BRASIL S.A. COMMON STOCK
 
 
**
137,226

BANCO NAC DE DESEN ECONO SR UNSECURED REGS 06/18 6.369
6/16/2018
6.37%
**
146,269

BANCO SANTANDER BRASIL ADS ADR
 
 
**
75,494

BANCO SANTANDER CHILE ADR ADR
 
 
**
240,636

BANCO SANTANDER SA COMMON STOCK EUR.5
 
 
**
1,376,041

BANCO SANTANDER SA JR SUBORDINA REGS 09/49 VAR
9/11/2049
6.25%
**
1,185,708

BANCORP INC/THE COMMON STOCK USD1.0
 
 
**
36,588

BANCORPSOUTH INC COMMON STOCK USD2.5
 
 
**
101,347

BANDAI NAMCO HOLDINGS INC COMMON STOCK
 
 
**
732,735

BANK CENTRAL ASIA TBK PT COMMON STOCK IDR62.5
 
 
**
167,282

BANK DANAMON INDONESIA TBK COMMON STOCK
 
 
**
501,817

BANK MANDIRI PERSERO TBK PT COMMON STOCK IDR500.
 
 
**
40,037

BANK MUTUAL CORP COMMON STOCK USD.01
 
 
**
44,557

BANK NEGARA INDONESIA PERSER COMMON STOCK IDR7500.
 
 
**
122,454

BANK OF AMERICA CORP COMMON STOCK USD.01
 
 
**
9,120,670

BANK OF AMERICA CORP SR UNSECURED 01/23 3.3
1/11/2023
3.30%
**
139,464


28
Table of Contents

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

BANK OF AMERICA CORP SR UNSECURED 01/24 4.125
1/22/2024
4.13%
**
349,188

BANK OF AMERICA CORP SR UNSECURED 04/18 6.875
4/25/2018
6.88%
**
2,444,693

BANK OF AMERICA CORP SR UNSECURED 04/24 4
4/1/2024
4.00%
**
185,641

BANK OF AMERICA CORP SR UNSECURED 05/21 5
5/13/2021
5.00%
**
119,794

BANK OF AMERICA CORP SR UNSECURED 06/19 7.625
6/1/2019
7.63%
**
898,973

BANK OF AMERICA CORP SR UNSECURED 07/20 5.625
7/1/2020
5.63%
**
148,440

BANK OF AMERICA CORP SR UNSECURED 12/17 5.75
12/1/2017
5.75%
**
730,274

BANK OF AMERICA CORP SUBORDINATED 01/25 4
1/22/2025
4.00%
**
369,463

BANK OF AMERICA CREDIT CARD TR BACCT 2015 A2 A
9/15/2020
1.36%
**
924,574

BANK OF AMERICA NA SR UNSECURED 05/17 VAR
5/8/2017
1.30%
**
1,201,109

BANK OF AMERICA NA SR UNSECURED 06/18 1.75
6/5/2018
1.75%
**
699,971

BANK OF CHINA LTD H COMMON STOCK CNY1.0
 
 
**
311,915

BANK OF COMMUNICATIONS CO H COMMON STOCK CNY1.0
 
 
**
171,488

BANK OF HAWAII CORP COMMON STOCK USD.01
 
 
**
4,115,216

BANK OF MONTREAL COMMON STOCK
 
 
**
1,445,688

BANK OF MONTREAL COVERED 144A 06/22 1.75
6/15/2022
1.75%
**
681,358

BANK OF MONTREAL SR UNSECURED 11/22 2.55
11/6/2022
2.55%
**
148,170

BANK OF NEW YORK MELLON CORP COMMON STOCK USD.01
 
 
**
5,737,102

BANK OF NEW YORK MELLON SR UNSECURED 05/19 2.2
5/15/2019
2.20%
**
71,428

BANK OF NEW YORK MELLON SR UNSECURED 11/25 3.95
11/18/2025
3.95%
**
14,712

BANK OF NOVA SCOTIA COMMON STOCK
 
 
**
995,759

BANK OF NOVA SCOTIA COVERED 04/21 1.875
4/26/2021
1.88%
**
2,341,392

BANK OF NOVA SCOTIA SR UNSECURED 01/19 VAR
1/15/2019
1.71%
**
5,196,266

BANK OF NOVA SCOTIA SR UNSECURED 04/17 1.25
4/11/2017
1.25%
**
120,037

BANK OF NY MELLON CORP SR UNSECURED 03/19 2.2
3/4/2019
2.20%
**
156,106

BANK OF NY MELLON CORP SR UNSECURED 08/20 2.6
8/17/2020
2.60%
**
15,109

BANK OF QUEENSLAND LTD COMMON STOCK
 
 
**
64,386

BANK OF THE OZARKS COMMON STOCK USD.01
 
 
**
3,277,409

BANK OF THE PHILIPPINE ISLAN COMMON STOCK PHP10.
 
 
**
20,328

BANK RAKYAT INDONESIA PERSER COMMON STOCK IDR250.
 
 
**
165,777

BANK TOKYO MIT UFJ NY
8/4/2017
0.01%
**
3,869,022

BANKRATE INC COMMON STOCK USD.01
 
 
**
46,222

BANNER CORPORATION COMMON STOCK USD.01
 
 
**
2,710,301

BANQUE CANTONALE VAUDOIS REG COMMON STOCK CHF10.0
 
 
**
225,926

BAR HARBOR BANKSHARES COMMON STOCK USD2.0
 
 
**
29,108

BARCLAYS AFRICA GROUP LTD COMMON STOCK ZAR2.0
 
 
**
348,939

BARCLAYS BANK PLC
9/8/2017
1.64%
**
2,900,000

BARCLAYS BANK PLC SUBORDINATED 04/23 VAR
4/10/2023
7.75%
**
1,051,400

BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
11/21/2022
7.63%
**
6,036,250

BARCLAYS PLC COMMON STOCK GBP.25
 
 
**
3,011,503

BARCLAYS PLC JR SUBORDINA 12/49 VAR
12/15/2049
8.00%
**
1,001,143

BARCLAYS PLC JR SUBORDINA 12/49 VAR
12/29/2049
6.50%
**
306,704

BARCLAYS PLC JR SUBORDINA REGS 12/49 VAR
12/29/2049
7.88%
**
492,522

BARCLAYS PLC SR UNSECURED 03/25 3.65
3/16/2025
3.65%
**
1,740,280

BARCLAYS PLC SR UNSECURED 08/21 3.2
8/10/2021
3.20%
**
197,678

BARNES + NOBLE EDUCATION INC COMMON STOCK USD.01
 
 
**
42,347


29
Table of Contents

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

BARNES + NOBLE INC COMMON STOCK USD.001
 
 
**
65,138

BARNES GROUP INC COMMON STOCK USD.01
 
 
**
257,585

BARRATT DEVELOPMENTS PLC COMMON STOCK GBP.1
 
 
**
889,003

BARRICK GOLD CORP COMMON STOCK
 
 
**
837,870

BARRICK NA FINANCE LLC COMPANY GUAR 05/21 4.4
5/30/2021
4.40%
**
22,068

BASF SE COMMON STOCK
 
 
**
808,126

BAXTER INTERNATIONAL INC COMMON STOCK USD1.0
 
 
**
4,393,518

BAYER AG REG COMMON STOCK
 
 
**
9,809,781

BB UBS TRUST BBUBS 2012 TFT A 144A
6/5/2030
2.89%
**
86,921

BB+T CORPORATION SR UNSECURED 06/20 2.625
6/29/2020
2.63%
**
226,763

BB+T CORPORATION SUBORDINATED 11/19 5.25
11/1/2019
5.25%
**
51,860

BBA AVIATION PLC COMMON STOCK GBP.2976
 
 
**
703,620

BBCCRE TRUST BBCCR 2015 GTP A 144A
8/10/2033
3.97%
**
1,121,778

BCC FUNDING CORP BCCFC 2016 1 A2 144A
12/20/2021
2.20%
**
118,387

BDO UNIBANK INC COMMON STOCK PHP10.0
 
 
**
50,940

BEACON ROOFING SUPPLY INC COMMON STOCK USD.01
 
 
**
1,473,871

BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 12A2
5/25/2034
3.14%
**
12,010

BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1
2/25/2034
0.75%
**
229,247

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW16 AM
6/11/2040
5.71%
**
217,813

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW17 AMFL 144A
6/11/2050
1.37%
**
309,942

BECTON DICKINSON AND CO COMMON STOCK USD1.0
 
 
**
6,064,593

BED BATH + BEYOND INC COMMON STOCK USD.01
 
 
**
2,867,396

BEFIMMO REIT
 
 
**
605,476

BEIERSDORF AG COMMON STOCK
 
 
**
4,792,344

BEIJING CAPITAL INTL AIRPO H COMMON STOCK CNY1.0
 
 
**
26,291

BEIJING ENTERPRISES HLDGS COMMON STOCK
 
 
**
420,713

BEIJING JINGNENG CLEAN ENE H COMMON STOCK CNY1.0
 
 
**
362,441

BEIJING URBAN CONSTRUCTION H COMMON STOCK CNY1.0
 
 
**
388,797

BEL FUSE INC CL B COMMON STOCK USD.1
 
 
**
31,673

BELDEN INC COMMON STOCK USD.01
 
 
**
6,453,324

BELLE INTERNATIONAL HOLDINGS COMMON STOCK HKD.01
 
 
**
179,953

BELMOND LTD CLASS A COMMON STOCK USD.01
 
 
**
882,035

BEMIS COMPANY COMMON STOCK USD.1
 
 
**
24,053

BENCHMARK ELECTRONICS INC COMMON STOCK USD.1
 
 
**
156,038

BENDIGO AND ADELAIDE BANK COMMON STOCK
 
 
**
206,927

BENEFICIAL BANCORP INC COMMON STOCK USD.01
 
 
**
84,382

BERKSHIRE HATHAWAY ENERG SR UNSECURED 04/18 5.75
4/1/2018
5.75%
**
84,091

BERKSHIRE HATHAWAY INC SR UNSECURED 01/17 1.9
1/31/2017
1.90%
**
235,122

BERKSHIRE HILLS BANCORP INC COMMON STOCK USD.01
 
 
**
2,785,676

BERRY PLASTICS GROUP INC COMMON STOCK USD.01
 
 
**
4,570,484

BEST PACIFIC INTERNATIONAL H COMMON STOCK HKD.01
 
 
**
365,297

BHARAT PETROLEUM CORP LTD COMMON STOCK INR10.
 
 
**
324,700

BHP BILLITON FIN USA LTD COMPANY GUAR 02/17 1.625
2/24/2017
1.63%
**
50,038

BHP BILLITON FIN USA LTD COMPANY GUAR 09/43 5
9/30/2043
5.00%
**
83,772

BHP BILLITON LIMITED COMMON STOCK
 
 
**
825,404

BID CORP LTD COMMON STOCK
 
 
**
81,370



30
Table of Contents

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

BIDVEST GROUP LTD COMMON STOCK ZAR.05
 
 
**
172,012

BIG 5 SPORTING GOODS CORP COMMON STOCK USD.01
 
 
**
39,124

BIG LOTS INC COMMON STOCK USD.01
 
 
**
922,659

BIGLARI HOLDINGS INC COMMON STOCK USD.5
 
 
**
473

BILL BARRETT CORP COMMON STOCK USD.001
 
 
**
33,559

BIO RAD LABORATORIES A
 
 
**
18,247

BIO RAD LABORATORIES A COMMON STOCK USD.0001
 
 
**
2,479,008

BIOGEN INC COMMON STOCK USD.0005
 
 
**
25,297,605

BIOGEN INC SR UNSECURED 03/18 6.875
3/1/2018
6.88%
**
21,151

BIOGEN INC SR UNSECURED 09/22 3.625
9/15/2022
3.63%
**
88,276

BIOMARIN PHARMACEUTICAL INC COMMON STOCK USD.001
 
 
**
4,855,170

BIZLINK HOLDING INC COMMON STOCK TWD10.
 
 
**
2,275,221

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 03/18 1.7
3/5/2018
1.70%
**
598,073

BLACK BOX CORP
 
 
**
2,718

BLACK BOX CORP COMMON STOCK USD.001
 
 
**
16,180

BLACK HILLS CORP COMMON STOCK USD1.0
 
 
**
2,431,824

BLACKROCK INC COMMON STOCK USD.01
 
 
**
4,601,870

BLACKROCK INC SR UNSECURED 03/24 3.5
3/18/2024
3.50%
**
90,105

BLACKROCK INC SR UNSECURED 06/22 3.375
6/1/2022
3.38%
**
77,756

BLUCORA INC COMMON STOCK USD.0001
 
 
**
55,932

BLUE BUFFALO PET PRODUCTS IN COMMON STOCK USD.01
 
 
**
2,644,400

BLUEBIRD BIO INC COMMON STOCK USD.01
 
 
**
497,179

BLUESTONE SECURITIES PLC BLST 2006 1 A1 REGS
6/9/2043
0.60%
**
952,837

BLUESTREAM VENTURES
 
 
**
159,689

BMW US CAPITAL LLC COMPANY GUAR 144A 09/19 VAR
9/13/2019
1.37%
**
3,499,143

BMW VEHICLE LEASE TRUST BMWLT 2016 2 A2
1/22/2019
1.23%
**
5,532,256

BNC BANCORP COMMON STOCK
 
 
**
40,513

BNP PARIBAS COMMON STOCK EUR2.
 
 
**
2,689,360

BNP PARIBAS NY BANCH
8/25/2017
1.53%
**
9,000,000

BNP PARIBAS SR UNSECURED 09/17 2.375
9/14/2017
2.38%
**
8,994,659

*BOEING CO/THE COMMON STOCK USD5.0
 
 
**
5,575,155,181

BOINGO WIRELESS INC COMMON STOCK
 
 
**
29,524

BOISE CASCADE CO COMMON STOCK USD.01
 
 
**
40,523

BOK FINANCIAL CORPORATION COMMON STOCK USD.00006
 
 
**
364,296

BOLIDEN AB COMMON STOCK SEK2.11
 
 
**
1,083,730

BOLSA MEXICANA DE VALORES SA COMMON STOCK
 
 
**
540,529

BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/46 2
10/31/2046
2.90%
**
1,568,613

BOOZ ALLEN HAMILTON HOLDINGS COMMON STOCK USD.01
 
 
**
14,278,995

BOSTON PRIVATE FINL HOLDING COMMON STOCK USD1.0
 
 
**
2,235,822

BOSTON PROPERTIES LP SR UNSECURED 09/23 3.125
9/1/2023
3.13%
**
78,446

BOSTON SCIENTIFIC CORP COMMON STOCK USD.01
 
 
**
10,175,531

BOSTON SCIENTIFIC CORP SR UNSECURED 01/20 6
1/15/2020
6.00%
**
1,043,889

BP CAPITAL MARKETS PLC COMPANY GUAR 02/24 3.814
2/10/2024
3.81%
**
140,247

BP CAPITAL MARKETS PLC COMPANY GUAR 03/25 3.506
3/17/2025
3.51%
**
908,604

BP CAPITAL MARKETS PLC COMPANY GUAR 05/22 3.245
5/6/2022
3.25%
**
291,023

BP PLC COMMON STOCK USD.25
 
 
**
2,088,879

BPCE SA SUBORDINATED 144A 03/25 4.5
3/15/2025
4.50%
**
876,844


31
Table of Contents

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

BPCE SA SUBORDINATED 144A 07/24 4.625
7/11/2024
4.63%
**
395,227

BPER BANCA COMMON STOCK EUR3.0
 
 
**
334,098

BRADY CORPORATION CL A COMMON STOCK USD.01
 
 
**
2,289,874

BRAMMER PLC COMMON STOCK GBP.2
 
 
**
177,442

BRANCH BANKING + TRUST SR UNSECURED 05/19 VAR
5/1/2019
1.42%
**
6,509,126

BRANDYWINE REALTY TRUST REIT USD.01
 
 
**
146,394

BRASKEM SA PREF A PREFERENCE
 
 
**
214,674

BRAVO BRIO RESTAURANT GROUP COMMON STOCK
 
 
**
6,232

BRENT APO APR17C 68 EXP 04/28/2017
4/28/2017
 
**
590

BRENT APO AUG17C 68 EXP 08/31/2017
8/31/2017
 
**
1,700

BRENT APO DEC17C 68 EXP 12/29/2017
12/29/2017
 
**
2,350

BRENT APO FEB17C 68 EXP 02/28/2017
2/28/2017
 
**
70

BRENT APO JAN17C 68 EXP 01/31/2017
1/31/2017
 
**
10

BRENT APO JUL17C 68 EXP 07/31/2017
7/31/2017
 
**
1,480

BRENT APO JUN17C 68 EXP 06/30/2017
6/30/2017
 
**
1,220

BRENT APO MAR17C 68 EXP 03/31/2017
3/31/2017
 
**
280

BRENT APO MAY17C 68 EXP 05/31/2017
5/31/2017
 
**
940

BRENT APO NOV17C 68 EXP 11/30/2017
11/30/2017
 
**
2,200

BRENT APO OCT17C 68 EXP 10/31/2017
10/31/2017
 
**
2,090

BRENT APO SEP17C 68 EXP 09/29/2017
9/29/2017
 
**
1,870

BRFKREDIT A/S COVERED 10/47 2
10/1/2047
2.00%
**
246,080

BRFKREDIT A/S COVERED 10/47 3
10/1/2047
3.00%
**
73,047

BRIDGE BANCORP INC COMMON STOCK USD.01
 
 
**
42,713

BRIDGEPOINT EDUCATION INC COMMON STOCK USD.01
 
 
**
45,109

BRIGGS + STRATTON COMMON STOCK USD.01
 
 
**
102,663

BRIGHT HORIZONS FAMILY SOLUT COMMON STOCK USD.001
 
 
**
6,585,801

BRINK S CO/THE COMMON STOCK USD1.0
 
 
**
22,894

BRISTOL MYERS SQUIBB CO COMMON STOCK USD.1
 
 
**
29,514,947

BRISTOW GROUP INC COMMON STOCK USD.01
 
 
**
30,454

BRITISH LAND CO PLC REIT GBP.25
 
 
**
65,105

BRITISH TELECOM PLC SR UNSECURED 01/18 5.95
1/15/2018
5.95%
**
879,618

BRITISH TELECOM PLC SR UNSECURED 12/30 9.125
12/15/2030
9.13%
**
152,568

BRITVIC PLC COMMON STOCK GBP.2
 
 
**
535,507

BROADCOM LTD COMMON STOCK
 
 
**
30,947,124

BROADRIDGE FINANCIAL SOLUTIO COMMON STOCK USD.01
 
 
**
4,773,600

BROADSOFT INC COMMON STOCK
 
 
**
2,197,594

BROCADE COMMUNICATIONS SYS COMMON STOCK USD.001
 
 
**
296,950

BROOKDALE SENIOR LIVING INC COMMON STOCK USD.01
 
 
**
223,262

BROOKLINE BANCORP INC COMMON STOCK USD.01
 
 
**
117,670

BROOKS AUTOMATION INC COMMON STOCK USD.01
 
 
**
115,479

BROTHER INDUSTRIES LTD COMMON STOCK
 
 
**
569,585

BRUNEL INTERNATIONAL COMMON STOCK EUR.03
 
 
**
123,368

BRUNSWICK CORP COMMON STOCK USD.75
 
 
**
2,564,634

BRYN MAWR BANK CORP COMMON STOCK USD1.0
 
 
**
56,144

BT GROUP PLC COMMON STOCK GBP.05
 
 
**
986,035

BUCKEYE PARTNERS LP SR UNSECURED 10/24 4.35
10/15/2024
4.35%
**
86,745

BUCKEYE PARTNERS LP SR UNSECURED 11/18 2.65
11/15/2018
2.65%
**
60,395


32
Table of Contents

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

BUILD A BEAR WORKSHOP INC COMMON STOCK USD.01
 
 
**
7,521

BUONI ORDINARI DEL TES BILLS 02/17 0.00000
2/28/2017
 
**
422,202

BUONI POLIENNALI DEL TES BONDS 02/17 4
2/1/2017
4.00%
**
211,655

BUONI POLIENNALI DEL TES BONDS 144A REGS 03/67 2.8
3/1/2067
2.80%
**
375,451

BUONI POLIENNALI DEL TES BONDS REGS 04/20 1.65
4/23/2020
1.65%
**
3,988,877

BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 09/24 2
9/15/2024
2.35%
**
1,216,634

BURLINGTN NORTH SANTA FE SR UNSECURED 03/23 3
3/15/2023
3.00%
**
86,032

BURLINGTN NORTH SANTA FE SR UNSECURED 05/40 5.75
5/1/2040
5.75%
**
61,020

BURLINGTN NORTH SANTA FE SR UNSECURED 09/21 3.45
9/15/2021
3.45%
**
156,654

BURLINGTON STORES INC COMMON STOCK USD.0001
 
 
**
1,420,071

BURSA MALAYSIA BHD COMMON STOCK MYR.5
 
 
**
206,355

BWPC0DE12 CDS USD P F 1.00000 1 CCPCDX
6/20/2026
1.00%
**
(14,682,384
)
BWPC0DE12 CDS USD R V 03MEVENT 2 CCPCDX
6/20/2026
1.00%
**
14,800,000

BWU00E7V2 IRS USD P F 2.22500 SWU00E7V2 CCPVANILLA
9/16/2025
2.23%
**
(298,558
)
BWU00E7V2 IRS USD R V 03MLIBOR SWUV0E7V4 CCPVANILLA
9/16/2025
0.97%
**
300,000

BWU00FAA1 IRS USD P F 2.00000 SWU00FAA1 CCPVANILLA
6/15/2023
2.00%
**
(23,340,852
)
BWU00FAA1 IRS USD R V 03MLIBOR SWUV0FAA3 CCPVANILLA
6/15/2023
0.96%
**
23,500,000

BWU00FAL7 IRS USD P F 2.50000 SWU00FAL7 CCPVANILLA
6/15/2046
2.50%
**
(4,905,451
)
BWU00FAL7 IRS USD R V 03MLIBOR SWUV0FAL9 CCPVANILLA
6/15/2046
0.96%
**
5,000,000

BWU00FLJ0 IRS USD P F 2.50000 SWU00FLJ0 CCPVANILLA
6/15/2046
2.50%
**
(194,995
)
BWU00FLJ0 IRS USD R V 03MLIBOR SWUV0FLJ2 CCPVANILLA
6/15/2046
0.96%
**
200,000

BWU00GU74 IRS USD P F 2.50000 SWU00GU74 CCPVANILLA
2/22/2026
2.50%
**
(7,727,355
)
BWU00GU74 IRS USD R V 03MLIBOR SWUV0GU76 CCPVANILLA
2/22/2026
1.00%
**
7,800,000

BWU00H8N2 IRS USD P F 1.50000 SWU00H8N2 CCPVANILLA
6/15/2019
1.50%
**
(48,865,873
)
BWU00H8N2 IRS USD R V 03MLIBOR SWUV0H8N4 CCPVANILLA
6/15/2019
1.00%
**
49,100,000

BWU00HB08 IRS USD P F 2.40000 SWU00HB08 CCPVANILLA
3/16/2026
2.40%
**
(2,958,259
)
BWU00HB08 IRS USD R V 03MLIBOR SWUV0HB00 CCPVANILLA
3/16/2026
1.00%
**
3,000,000

BWU00I172 IRS USD P F 2.30000 SWU00I172 CCPVANILLA
4/27/2026
2.30%
**
(1,668,287
)
BWU00I172 IRS USD R V 03MLIBOR SWUV0I174 CCPVANILLA
4/27/2026
1.00%
**
1,700,000

BWU00IN60 IRS USD P F 1.50000 SWU00IN60 CCPVANILLA
12/21/2021
1.50%
**
(1,954,621
)
BWU00IN60 IRS USD R V 03MLIBOR SWUV0IN62 CCPVANILLA
12/21/2021
 
**
2,000,000

BWU00IN78 IRS USD P F 1.50000 SWU00IN78 CCPVANILLA
12/21/2021
1.50%
**
(36,764,623
)
BWU00IN78 IRS USD R V 03MLIBOR SWUV0IN70 CCPVANILLA
12/21/2021
 
**
16,700,000

BWU00IN78 IRS USD R V 03MLIBOR SWUV0IN70 CCPVANILLA
12/21/2021
0.99%
**
20,900,000

BWU00IN94 IRS USD P F 1.75000 SWU00IN94 CCPVANILLA
12/21/2023
1.75%
**
(43,990,062
)
BWU00IN94 IRS USD R V 03MLIBOR SWUV0IN96 CCPVANILLA
12/21/2023
0.99%
**
45,200,000

BWU00INA1 IRS USD P F 1.75000 SWU00INA1 CCPVANILLA
12/21/2026
1.75%
**
(5,292,935
)
BWU00INA1 IRS USD R V 03MLIBOR SWUV0INA3 CCPVANILLA
12/21/2026
 
**
1,700,000

BWU00INA1 IRS USD R V 03MLIBOR SWUV0INA3 CCPVANILLA
12/21/2026
0.99%
**
3,900,000

BWU00INB9 IRS USD P F 1.75000 SWU00INB9 CCPVANILLA
12/21/2026
1.75%
**
(30,394,237
)
BWU00INB9 IRS USD R V 03MLIBOR SWUV0INB1 CCPVANILLA
12/21/2026
 
**
16,800,000

BWU00INB9 IRS USD R V 03MLIBOR SWUV0INB1 CCPVANILLA
12/21/2026
0.99%
**
15,300,000

BWU00INI4 IRS USD P F 2.25000 SWU00INI4 CCPVANILLA
12/21/2046
2.25%
**
(3,402,618
)
BWU00INI4 IRS USD R V 03MLIBOR SWUV0INI6 CCPVANILLA
12/21/2046
0.99%
**
3,700,000

BWU00ISZ1 IRS USD P F 1.45000 SWU00ISZ1 CCPVANILLA
6/28/2021
1.45%
**
(5,307,282
)
BWU00ISZ1 IRS USD R V 03MLIBOR SWUV0ISZ3 CCPVANILLA
6/28/2021
1.00%
**
5,400,000

BWU00IUR6 IRS USD P F 2.09750 SWU00IUR6 CCPVANILLA
7/1/2041
2.10%
**
(5,490,091
)

33
Table of Contents

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

BWU00IUR6 IRS USD R V 03MLIBOR SWUV0IUR8 CCPVANILLA
7/1/2041
1.00%
**
5,600,000

BWU00JC37 IRS USD P F 1.85000 SWU00JC37 CCPVANILLA
7/27/2026
1.85%
**
(624,657
)
BWU00JC37 IRS USD R V 03MLIBOR SWUV0JC39 CCPVANILLA
7/27/2026
1.00%
**
650,000

BWU00JF83 IRS JPY P F .50000 SWU00JF83 CCPVANILLA
9/20/2046
0.50%
**
(1,003,815
)
BWU00JF83 IRS JPY R V 06MLIBOR SWUV0JF85 CCPVANILLA
9/20/2046
 
**
1,114,588

BWU00JKP9 IRS GBP P F .50000 SWU00JKP9 CCPVANILLA
3/15/2022
0.50%
**
(1,211,337
)
BWU00JKP9 IRS GBP R V 06MLIBOR SWUV0JKP1 CCPVANILLA
3/15/2022
1.00%
**
1,235,649

BWU00JOE0 IRS GBP P F .50000 SWU00JOE0 CCPVANILLA
3/15/2019
0.50%
**
(9,490,404
)
BWU00JOE0 IRS GBP R V 06MLIBOR SWUV0JOE2 CCPVANILLA
3/15/2019
1.00%
**
9,514,501

BWU00JOF7 IRS GBP P F .75000 SWU00JOF7 CCPVANILLA
3/15/2027
0.75%
**
(12,692,415
)
BWU00JOF7 IRS GBP R V 06MLIBOR SWUV0JOF9 CCPVANILLA
3/15/2027
1.00%
**
13,345,014

BWU00JOH3 IRS EUR P F .00000 SWU00JOH3 CCPVANILLA
3/15/2022
 
**
(2,097,888
)
BWU00JOH3 IRS EUR R V 06MEURIB SWUV0JOH5 CCPVANILLA
3/15/2022
1.00%
**
2,109,500

BWU00JTA3 IRS GBP P F .41000 SWU00JTA3 CCPVANILLA
3/15/2019
0.41%
**
(21,899,412
)
BWU00JTA3 IRS GBP R V 06MLIBOR SWUV0JTA5 CCPVANILLA
3/15/2019
1.00%
**
21,994,561

BWU00K6B3 IRS USD P F 1.25000 SWU00K6B3 CCPVANILLA
5/15/2019
1.25%
**
(75,412,689
)
BWU00K6B3 IRS USD R V 03MLIBOR SWUV0K6B5 CCPVANILLA
5/15/2019
1.00%
**
75,900,000

BWU09TZ49 IRS EUR P F .62500 INFLATIONZERO CCP LCH
9/15/2018
0.63%
**
(210,200
)
BWU09TZ49 IRS EUR R V 12MHICIP CPTFEMU/INFLATIONZERO CCP LCH
9/15/2018
1.00%
**
210,950

BWU0B3298 TRS USD P E COMM SWAP SPGCINP
 
 
**
(96,814
)
BWU0B3298 TRS USD R F .00000 -5.00 BPS FIXD RATE
2/15/2017
 
**
102,208

BWU0B4254 IRS EUR P F .87500 INFLATIONZERO CCP LCH
5/15/2021
0.88%
**
(930,178
)
BWU0B4254 IRS EUR R V 12MHICP CPTFEMU/INFLATIONZERO CCP LCH
5/15/2021
1.00%
**
949,275

BWU0C0780 TRS USD P E COMM SWAP SPGCINP
 
 
**
(570,707
)
BWU0C0780 TRS USD R F .00000 -5.0BPS FIXD RATE
8/15/2017
1.00%
**
602,504

BWU0C0798 TRS USD P E COMM SWAP SPGCINP
 
 
**
(534,784
)
BWU0C0798 TRS USD R F .00000 -5.00 BPS FIXD RATE
2/15/2017
1.00%
**
564,580

BWU0C7900 IRS EUR P F .29000 INFLATIONZERO CCP LCH
8/15/2017
0.29%
**
(1,784,589
)
BWU0C7900 IRS EUR R V 12MHICP CPTFEMU/INFLATIONZERO CCP LCH
8/15/2017
1.00%
**
1,793,075

BWU0C8262 IRS EUR P F .80625 INFLATIONZERO CCP LCH
4/15/2021
0.81%
**
(1,382,957
)
BWU0C8262 IRS EUR R V 12MHICP CPTFEMU /INFLATIONZERO CCP LCH
4/15/2021
1.00%
**
1,413,365

BWX TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
3,136,300

C + F FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
20,439

CABLE ONE INC COMMON STOCK USD.01
 
 
**
95,746

CABOT MICROELECTRONICS CORP COMMON STOCK USD.001
 
 
**
116,549

CACI INTERNATIONAL INC CL A COMMON STOCK USD.1
 
 
**
248,973

CADILA HEALTHCARE LTD COMMON STOCK INR1.0
 
 
**
89,086

CAI INTERNATIONAL INC COMMON STOCK USD.0001
 
 
**
18,658

CAIRN HOMES PLC COMMON STOCK EUR.001
 
 
**
283,928

CALAMOS ASSET MANAGEMENT A COMMON STOCK USD.01
 
 
**
6,840

CALATLANTIC GROUP INC COMMON STOCK USD.01
 
 
**
270,754

CALAVO GROWERS INC COMMON STOCK USD.001
 
 
**
1,490,792

CALERES INC COMMON STOCK USD.01
 
 
**
137,910

CALGON CARBON CORP COMMON STOCK USD.01
 
 
**
87,125

CALIFORNIA ST CAS 03/36 FIXED 7.95
3/1/2036
7.95%
**
11,653

CALIX INC COMMON STOCK
 
 
**
16,601

CALLAWAY GOLF COMPANY COMMON STOCK USD.01
 
 
**
925,736


34
Table of Contents

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

CALLIDUS SOFTWARE INC COMMON STOCK USD.001
 
 
**
964,152

CALLON PETROLEUM CO COMMON STOCK USD.01
 
 
**
2,094,516

CALPINE CORP COMMON STOCK USD.001
 
 
**
4,869,146

CALTEX AUSTRALIA LTD COMMON STOCK
 
 
**
724,145

CAMBREX CORP COMMON STOCK USD.1
 
 
**
2,568,560

CAMDEN NATIONAL CORP COMMON STOCK
 
 
**
54,674

CAN IMPERIAL BK OF COMMERCE COMMON STOCK
 
 
**
1,362,219

CANADA HOUSING TRUST GOVT GUARANT 144A 06/24 2.9
6/15/2024
2.90%
**
2,145,444

CANADA HOUSING TRUST GOVT GUARANT 144A 12/22 2.4
12/15/2022
2.40%
**
6,582,215

CANADIAN GOVERNMENT RRB BONDS 12/36 3
12/1/2036
3.00%
**
234,743

CANADIAN GOVERNMENT RRB BONDS 12/44 1.5
12/1/2044
1.50%
**
939,574

CANADIAN MORTGAGE POOLS CAN 98001289
8/1/2020
1.18%
**
318,573

CANADIAN NATL RAILWAY CO COMMON STOCK
 
 
**
6,696,460

CANADIAN NATL RESOURCES SR UNSECURED 03/38 6.25
3/15/2038
6.25%
**
56,883

CANADIAN NATL RESOURCES SR UNSECURED 04/24 3.8
4/15/2024
3.80%
**
24,914

CANADIAN PACIFIC RR CO SR UNSECURED 01/22 4.5
1/15/2022
4.50%
**
53,718

CANADIAN PACIFIC RR CO SR UNSECURED 10/31 7.125
10/15/2031
7.13%
**
81,310

CANADIAN TIRE CORP CLASS A COMMON STOCK
 
 
**
588,007

CANFOR CORP COMMON STOCK
 
 
**
494,178

CANTEL MEDICAL CORP COMMON STOCK USD.1
 
 
**
1,651,388

CAPCOM CO LTD COMMON STOCK
 
 
**
292,365

CAPGEMINI COMMON STOCK EUR8.0
 
 
**
990,365

CAPITAL AUTO RECEIVABLES ASSET AFIN 2016 2 A2A
1/22/2019
1.32%
**
9,870,668

CAPITAL BANK FINANCIAL CL A COMMON STOCK
 
 
**
120,694

CAPITAL CITY BANK GROUP INC COMMON STOCK USD.01
 
 
**
37,786

CAPITAL ONE FINANCIAL CO SR UNSECURED 06/23 3.5
6/15/2023
3.50%
**
250,946

CAPITAL ONE FINANCIAL CO SUBORDINATED 10/25 4.2
10/29/2025
4.20%
**
85,283

CAPITAL ONE FINANCIAL CORP COMMON STOCK USD.01
 
 
**
6,543,000

CAPITAL ONE MULTI ASSET EXECUT COMET 2016 A1 A1
2/15/2022
1.15%
**
401,625

CAPITALAND MALL TRUST REIT
 
 
**
76,590

CAPITOL FEDERAL FINANCIAL IN COMMON STOCK USD.01
 
 
**
232,827

CARBO CERAMICS INC COMMON STOCK USD.01
 
 
**
16,077

CARDINAL FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
104,174

CARDINAL HEALTH INC COMMON STOCK
 
 
**
2,927,596

CARDINAL HEALTH INC SR UNSECURED 06/17 1.9
6/15/2017
1.90%
**
1,220,336

CARDINAL HEALTH INC SR UNSECURED 09/25 3.75
9/15/2025
3.75%
**
33,050

CARDTRONICS PLC A COMMON STOCK
 
 
**
3,531,498

CARE CAPITAL PROPERTIES INC REIT USD.01
 
 
**
1,237,625

CAREER EDUCATION CORP COMMON STOCK USD.01
 
 
**
84,171

CARGILL INC SR UNSECURED 144A 05/21 4.307
5/14/2021
4.31%
**
117,407

CARGILL INC SR UNSECURED 144A 11/17 6
11/27/2017
6.00%
**
46,835

CARLSBERG AS B COMMON STOCK DKK20.
 
 
**
1,591,199

CARMAX AUTO OWNER TRUST CARMX 2015 3 A3
5/15/2020
1.63%
**
4,010,396

CARMAX AUTO OWNER TRUST CARMX 2015 4 A2A
4/15/2019
1.09%
**
5,385,128

CARMAX AUTO OWNER TRUST CARMX 2016 2 A2A
6/17/2019
1.24%
**
10,618,475

CARPENTER TECHNOLOGY COMMON STOCK USD5.0
 
 
**
1,658,937

CARRIAGE SERVICES INC COMMON STOCK USD.01
 
 
**
52,841


35
Table of Contents

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

CARRIZO OIL + GAS INC COMMON STOCK USD.01
 
 
**
1,986,721

CARROLS RESTAURANT GROUP INC COMMON STOCK USD.01
 
 
**
53,146

CARTER S INC COMMON STOCK USD.01
 
 
**
2,850,870

CASCADE BANCORP COMMON STOCK
 
 
**
29,459

CASETEK HOLDINGS LTD COMMON STOCK TWD10.
 
 
**
15,992

CASTELLUM AB COMMON STOCK SEK.5
 
 
**
981,646

CATCHER TECHNOLOGY CO LTD COMMON STOCK TWD10.
 
 
**
5,615,812

CATERPILLAR FINANCIAL SE SR UNSECURED 02/19 7.15
2/15/2019
7.15%
**
55,357

CATERPILLAR FINANCIAL SE SR UNSECURED 06/22 2.85
6/1/2022
2.85%
**
79,157

CATO CORP CLASS A COMMON STOCK USD.033
 
 
**
77,065

CAVCO INDUSTRIES INC COMMON STOCK USD.01
 
 
**
2,582,920

CAVIUM INC COMMON STOCK USD.001
 
 
**
16,743,161

CBIZ INC COMMON STOCK USD.01
 
 
**
84,693

CBL + ASSOCIATES PROPERTIES REIT USD.01
 
 
**
129,663

CBS CORP CLASS B NON VOTING COMMON STOCK USD.001
 
 
**
3,066,484

CBS CORP COMPANY GUAR 01/26 4
1/15/2026
4.00%
**
29,494

CBS CORP COMPANY GUAR 07/17 1.95
7/1/2017
1.95%
**
2,064,532

CBS CORP COMPANY GUAR 08/24 3.7
8/15/2024
3.70%
**
106,775

CBS CORP COMPANY GUAR 08/44 4.9
8/15/2044
4.90%
**
11,011

CCL INDUSTRIES INC CL B COMMON STOCK
 
 
**
280,707

CCSAN0020 CYS JPY P V 03MLIBOR JY0003M - 77.05
1/23/2019
1.00%
**
(1,544,156
)
CCSAN0020 CYS USD R V 03MLIBOR US0003M
1/23/2019
1.00%
**
1,769,480

CCSCCG122 CYS GBP R V 03MLIBOR BP0003M - 5.5
10/13/2026
1.00%
**
5,165,275

CCSCCG122 CYS USD P V 03MLIBOR US0003M
10/13/2026
1.00%
**
(5,124,018
)
CCSCCG163 CYS GBP R V 03MLIBOR BP0003M -5.85
10/13/2026
1.00%
**
1,229,625

CCSCCG163 CYS USD P V 03MLIBOR US0003M
10/13/2026
1.00%
**
(1,221,645
)
CCSCGG060 CYS JPY P V 03MLIBOR JY0003M -76.75
1/23/2019
1.00%
**
(4,375,379
)
CCSCGG060 CYS USD R V 03MLIBOR US0003M
1/23/2019
1.00%
**
5,012,295

CCSCGG086 CYS JPY P V 03MLIBOR JY0003M-77.5
1/23/2019
1.00%
**
(2,573,357
)
CCSCGG086 CYS USD R V 03MLIBOR US0003M
1/23/2019
1.00%
**
2,949,134

CDI CORP COMMON STOCK USD.1
 
 
**
15,170

CDP FINANCIAL COMPANY GUAR 144A 11/19 4.4
11/25/2019
4.40%
**
266,703

CDW CORP/DE COMMON STOCK USD.01
 
 
**
9,951,847

CEB INC COMMON STOCK USD.01
 
 
**
3,950,514

CECO ENVIRONMENTAL CORP COMMON STOCK USD.01
 
 
**
61,715

CEDAR REALTY TRUST INC REIT USD.06
 
 
**
36,144

CELADON GROUP INC COMMON STOCK USD.033
 
 
**
17,589

CELGENE CORP COMMON STOCK USD.01
 
 
**
51,587,692

CELGENE CORP SR UNSECURED 05/24 3.625
5/15/2024
3.63%
**
33,161

CELGENE CORP SR UNSECURED 08/22 3.25
8/15/2022
3.25%
**
45,401

CELGENE CORP SR UNSECURED 10/20 3.95
10/15/2020
3.95%
**
52,272

CEMEX SAB SPONS ADR PART CER ADR
 
 
**
148,547

CENCOSUD SA COMMON STOCK
 
 
**
213,583

CENOVUS ENERGY INC COMMON STOCK
 
 
**
489,241

CENOVUS ENERGY INC SR UNSECURED 08/22 3
8/15/2022
3.00%
**
101,512

CENOVUS ENERGY INC SR UNSECURED 11/39 6.75
11/15/2039
6.75%
**
11,150

CENTERPOINT ENERGY RESOU SR UNSECURED 01/21 4.5
1/15/2021
4.50%
**
104,922


36
Table of Contents

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

CENTERPOINT ENERGY RESOU SR UNSECURED 01/41 5.85
1/15/2041
5.85%
**
56,572

CENTERSTATE BANKS INC COMMON STOCK USD.01
 
 
**
1,475,767

CENTRAIS ELETRICAS BRASILIER COMMON STOCK
 
 
**
296,452

CENTRAL EUROPEAN MEDIA ENT A COMMON STOCK USD.08
 
 
**
31,365

CENTRAL GARDEN AND PET CO A COMMON STOCK USD.01
 
 
**
114,021

CENTRAL PACIFIC FINANCIAL CO COMMON STOCK
 
 
**
115,940

CENTRICA PLC COMMON STOCK GBP.061728
 
 
**
383,575

CENTURY ALUMINUM COMPANY COMMON STOCK USD.01
 
 
**
18,327

CENTURY BANCORP INC CL A COMMON STOCK USD1.0
 
 
**
24,600

CENTURY COMMUNITIES INC COMMON STOCK USD.01
 
 
**
36,246

CERNER CORP COMMON STOCK USD.01
 
 
**
2,956,835

CEVA INC COMMON STOCK USD.001
 
 
**
2,910,798

CF INDUSTRIES HOLDINGS INC COMMON STOCK USD.01
 
 
**
11,648

CF INDUSTRIES INC SR SECURED 144A 12/21 3.4
12/1/2021
3.40%
**
101,917

CFC LLC CFCAT 2014 2A B 144A
11/16/2020
2.64%
**
345,741

CFC LLC CFCAT 2015 1A A 144A
6/15/2021
1.75%
**
156,753

CGI GROUP INC CLASS A COMMON STOCK
 
 
**
590,702

CHALLENGER LTD COMMON STOCK
 
 
**
854,924

CHARLES SCHWAB CORP SR UNSECURED 09/22 3.225
9/1/2022
3.23%
**
35,809

CHAROEN POKPHAND FOODS NVDR NVDR THB1.0
 
 
**
411,396

CHART INDUSTRIES INC COMMON STOCK USD.01
 
 
**
123,296

CHARTER COMM OPT LLC/CAP SR SECURED 07/22 4.464
7/23/2022
4.46%
**
1,149,534

CHARTER COMM OPT LLC/CAP SR SECURED 07/25 4.908
7/23/2025
4.91%
**
179,168

CHARTER COMM OPT LLC/CAP SR SECURED 10/35 6.384
10/23/2035
6.38%
**
1,370,198

CHARTER COMMUNICATIONS INC A COMMON STOCK USD.001
 
 
**
11,858,273

CHARTER HALL RETAIL REIT REIT
 
 
**
310,396

CHASE CORP COMMON STOCK USD.1
 
 
**
77,033

CHECK POINT SOFTWARE TECH COMMON STOCK USD.01
 
 
**
3,081,101

CHEFS WAREHOUSE INC/THE COMMON STOCK USD.01
 
 
**
34,002

CHEMICAL FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
2,393,718

CHEMTURA CORP COMMON STOCK USD.01
 
 
**
282,432

CHEMUNG FINANCIAL CORP COMMON STOCK USD.01
 
 
**
18,575

CHESAPEAKE LODGING TRUST REIT USD.01
 
 
**
98,061

CHESAPEAKE UTILITIES CORP COMMON STOCK USD.4867
 
 
**
1,914,502

CHEUNG KONG INFRASTRUCTURE COMMON STOCK HKD1.0
 
 
**
63,664

CHEUNG KONG PROPERTY HOLDING COMMON STOCK HKD1.0
 
 
**
355,713

CHEVRON CORP COMMON STOCK USD.75
 
 
**
4,875,369

CHICAGO BRIDGE + IRON CO NV COMMON STOCK EUR.01
 
 
**
112,903

CHICAGO IL CHI 01/33 FIXED OID 7.375
1/1/2033
7.38%
**
207,582

CHICAGO IL CHI 01/42 FIXED OID 7.75
1/1/2042
7.75%
**
405,780

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.2
12/1/2040
6.20%
**
11,710

CHICO S FAS INC COMMON STOCK USD.01
 
 
**
123,970

CHILDREN S PLACE INC/THE COMMON STOCK USD.1
 
 
**
2,748,566

CHIMERIX INC COMMON STOCK USD.001
 
 
**
10,129

CHINA BLUECHEMICAL LTD H COMMON STOCK HKD1.
 
 
**
133,107

CHINA CINDA ASSET MANAGEME H COMMON STOCK CNY1.0
 
 
**
302,269

CHINA CITIC BANK CORP LTD H COMMON STOCK CNY1.0
 
 
**
235,908


37
Table of Contents

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

CHINA COMMUNICATIONS SERVI H COMMON STOCK CNY1.0
 
 
**
172,033

CHINA CONSTR BK CORP
3/16/2017
1.55%
**
4,500,000

CHINA CONSTRUCTION BANK H COMMON STOCK CNY1.0
 
 
**
1,179,655

CHINA EVERBRIGHT INTL LTD COMMON STOCK
 
 
**
45,349

CHINA EVERGRANDE GROUP COMMON STOCK USD.01
 
 
**
63,543

CHINA GALAXY SECURITIES CO H COMMON STOCK CNY1.0
 
 
**
102,328

CHINA LIFE INSURANCE CO LTD COMMON STOCK TWD10.
 
 
**
317,348

CHINA MERCHANTS PORT HOLDING COMMON STOCK
 
 
**
49,631

CHINA MOBILE LTD COMMON STOCK
 
 
**
1,908,386

CHINA OVERSEAS LAND + INVEST COMMON STOCK
 
 
**
270,355

CHINA PETROLEUM + CHEMICAL H COMMON STOCK CNY1.0
 
 
**
349,019

CHINA RESOURCES LAND LTD COMMON STOCK HKD.1
 
 
**
197,948

CHINA RESOURCES POWER HOLDIN COMMON STOCK
 
 
**
120,766

CHINA SHENHUA ENERGY CO H COMMON STOCK CNY1.0
 
 
**
255,161

CHINA TELECOM CORP LTD H COMMON STOCK CNY1.0
 
 
**
71,109

CHINA VANKE CO LTD H COMMON STOCK CNY1.0
 
 
**
90,861

CHIPBOND TECHNOLOGY CORP COMMON STOCK TWD10.
 
 
**
153,979

CHONGQING RURAL COMMERCIAL H COMMON STOCK CNY1.0
 
 
**
144,954

CHRISTOPHER + BANKS CORP COMMON STOCK USD.01
 
 
**
8,394

CHRYSLER CAPITAL AUTO RECEIVAB CCART 2016 AA A2 144A
4/15/2019
1.47%
**
968,084

CHRYSLER CAPITAL AUTO RECEIVAB CCART 2016 BA A2 144A
1/15/2020
1.36%
**
1,806,235

CHUBB CORP COMPANY GUAR 05/18 5.75
5/15/2018
5.75%
**
68,593

CHUBB INA HOLDINGS INC COMPANY GUAR 02/17 5.7
2/15/2017
5.70%
**
65,322

CHUBB INA HOLDINGS INC COMPANY GUAR 03/23 2.7
3/13/2023
2.70%
**
79,160

CHUBB LTD COMMON STOCK
 
 
**
9,469,833

CHUGAI PHARMACEUTICAL CO LTD COMMON STOCK
 
 
**
1,363,459

CHUNGHWA PRECISION TEST TECH COMMON STOCK TWD10.0
 
 
**
2,178,473

CHURCHILL DOWNS INC COMMON STOCK
 
 
**
1,969,391

CHUY S HOLDINGS INC COMMON STOCK USD.01
 
 
**
1,361,797

CIA CERVECERIAS UNI SPON ADR ADR
 
 
**
29,603

CIA ENERGETICA DE SPON ADR ADR
 
 
**
67,556

CIA SANEAMENTO BASICO DE ADR ADR
 
 
**
183,677

CIBER INC COMMON STOCK USD.01
 
 
**
4,533

CIENA CORP COMMON STOCK USD.01
 
 
**
925,139

CIFC FUNDING LTD CIFC 2012 3A A1R 144A
1/29/2025
2.08%
**
2,599,984

CIGNA CORP COMMON STOCK USD.25
 
 
**
5,130,046

CIMAREX ENERGY CO COMMON STOCK USD.01
 
 
**
2,468,216

CIMB GROUP HOLDINGS BHD COMMON STOCK MYR1.
 
 
**
86,661

CIMC ENRIC HOLDINGS LTD COMMON STOCK HKD.01
 
 
**
78,149

CIMIC GROUP LTD COMMON STOCK
 
 
**
1,525,644

CIPLA LTD COMMON STOCK INR2.
 
 
**
15,681

CIRCOR INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
2,406,853

CIRRUS LOGIC INC COMMON STOCK USD.001
 
 
**
990,977

CISCO SYSTEMS INC COMMON STOCK USD.001
 
 
**
30,683,665

CISCO SYSTEMS INC SR UNSECURED 01/20 4.45
1/15/2020
4.45%
**
26,793

CISCO SYSTEMS INC SR UNSECURED 02/18 VAR
2/21/2018
1.51%
**
6,034,488

CISCO SYSTEMS INC SR UNSECURED 03/24 3.625
3/4/2024
3.63%
**
250,516


38
Table of Contents

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

CISCO SYSTEMS INC SR UNSECURED 06/20 2.45
6/15/2020
2.45%
**
25,252

CIT GROUP INC COMMON STOCK USD.01
 
 
**
43,619

CIT GROUP INC SR UNSECURED 03/18 5.25
3/15/2018
5.25%
**
207,250

CIT GROUP INC SR UNSECURED 05/20 5.375
5/15/2020
5.38%
**
106,250

CIT GROUP INC SR UNSECURED 144A 04/18 6.625
4/1/2018
6.63%
**
421,500

CIT GROUP INC SR UNSECURED 144A 05/18 5
5/15/2018
5.00%
**
607,500

CITI TRENDS INC COMMON STOCK USD.01
 
 
**
28,957

CITIBANK CREDIT CARD ISSUANCE CCCIT 2007 A8 A8
9/20/2019
5.65%
**
18,558,482

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A2 A2
2/22/2019
1.02%
**
5,599,783

CITIC TELECOM INTERNATIONAL COMMON STOCK
 
 
**
248,232

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 SHP2 A 144A
7/15/2027
1.28%
**
1,310,256

CITIGROUP INC COMMON STOCK USD.01
 
 
**
36,068,126

CITIGROUP INC SR UNSECURED 04/18 VAR
4/27/2018
1.58%
**
1,807,436

CITIGROUP INC SR UNSECURED 06/19 VAR
6/7/2019
1.88%
**
1,209,318

CITIGROUP INC SR UNSECURED 08/21 VAR
8/2/2021
2.07%
**
606,428

CITIGROUP INC SR UNSECURED 10/26 3.2
10/21/2026
3.20%
**
210,369

CITIGROUP INC SR UNSECURED 12/21 2.9
12/8/2021
2.90%
**
49,865

CITIGROUP INC SUBORDINATED 09/25 5.5
9/13/2025
5.50%
**
126,386

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 RES1 M1
11/25/2034
1.73%
**
820,592

CITIZENS FINANCIAL GROUP COMMON STOCK USD.01
 
 
**
7,506,065

CITIZENS HOLDING COMPANY COMMON STOCK USD.2
 
 
**
15,898

CITIZENS INC COMMON STOCK
 
 
**
49,316

CITY HOLDING CO COMMON STOCK USD2.5
 
 
**
103,901

CIVEO CORP COMMON STOCK USD.01
 
 
**
15,107

CLAYTON WILLIAMS ENERGY INC COMMON STOCK USD.1
 
 
**
107,453

CLEAN ENERGY FUELS CORP COMMON STOCK USD.0001
 
 
**
17,294

CLEAN HARBORS INC COMMON STOCK USD.01
 
 
**
285,206

CLEARWATER PAPER CORP COMMON STOCK USD.0001
 
 
**
127,626

CLICKS GROUP LTD COMMON STOCK ZAR.01
 
 
**
291,905

CLIFTON BANCORP INC COMMON STOCK USD.01
 
 
**
46,818

CLOUD PEAK ENERGY INC COMMON STOCK USD.01
 
 
**
23,001

CLP HOLDINGS LTD COMMON STOCK
 
 
**
266,505

CME GROUP INC SR UNSECURED 09/22 3
9/15/2022
3.00%
**
71,600

CMMNWLTH BNK OF AUS
12/8/2017
1.30%
**
15,000,000

CMS ENERGY CORP COMMON STOCK USD.01
 
 
**
3,581,151

CNA FINANCIAL CORP SR UNSECURED 03/26 4.5
3/1/2026
4.50%
**
33,464

CNA FINANCIAL CORP SR UNSECURED 05/24 3.95
5/15/2024
3.95%
**
44,630

CNB FINANCIAL CORP/PA COMMON STOCK
 
 
**
38,372

CNH INDUSTRIAL NV COMMON STOCK EUR.01
 
 
**
3,743,000

CNO FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
2,209,336

CNOOC LTD COMMON STOCK
 
 
**
517,957

CNP ASSURANCES COMMON STOCK EUR1.
 
 
**
813,123

CNPC GENERAL CAPITAL LTD COMPANY GUAR 144A 05/19 2.75
5/14/2019
2.75%
**
503,661

CO OP GRP HLDS COMPANY GUAR REGS 07/20 VAR
7/8/2020
6.88%
**
1,254,632

COBIZ FINANCIAL INC COMMON STOCK USD.01
 
 
**
2,812,134

COCA COLA EAST JAPAN CO LTD COMMON STOCK
 
 
**
887,857

COCA COLA HBC AG DI COMMON STOCK CHF6.7
 
 
**
528,950


39
Table of Contents

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

COCA COLA ICECEK AS COMMON STOCK TRY1.0
 
 
**
319,934

CODORUS VALLEY BANCORP INC COMMON STOCK USD2.5
 
 
**
19,550

COEUR MINING INC COMMON STOCK USD.01
 
 
**
63,357

COGENT COMMUNICATIONS HOLDIN COMMON STOCK USD.001
 
 
**
1,890,315

COGNEX CORP COMMON STOCK USD.002
 
 
**
2,366,282

COGNIZANT TECH SOLUTIONS A
 
 
**
(254,457
)
COGNIZANT TECH SOLUTIONS A COMMON STOCK USD.01
 
 
**
19,630,167

COHERENT INC COMMON STOCK USD.01
 
 
**
5,284,239

COHU INC COMMON STOCK USD1.0
 
 
**
35,612

COLFAX CORP COMMON STOCK USD.001
 
 
**
275,080

COLONY AMERICAN FINANCE LTD CAFL 2016 2 A 144A
11/15/2048
2.55%
**
317,709

COLUMBIA BANKING SYSTEM INC COMMON STOCK
 
 
**
228,985

COLUMBIA SPORTSWEAR CO COMMON STOCK
 
 
**
4,154,866

COLUMBUS MCKINNON CORP/NY COMMON STOCK USD.01
 
 
**
52,647

COM HEM HOLDING AB COMMON STOCK SEK1.0
 
 
**
373,060

COMCAST CORP CLASS A COMMON STOCK USD.01
 
 
**
21,551,886

COMCAST CORP COMPANY GUAR 02/18 5.875
2/15/2018
5.88%
**
1,673,412

COMCAST CORP COMPANY GUAR 05/18 5.7
5/15/2018
5.70%
**
8,444,960

COMCAST CORP COMPANY GUAR 08/34 4.2
8/15/2034
4.20%
**
99,083

COMERICA INC COMMON STOCK USD5.0
 
 
**
154,337

COMFORT SYSTEMS USA INC COMMON STOCK USD.01
 
 
**
42,424

COMM MORTGAGE TRUST COMM 2015 DC1 ASB
2/10/2048
3.14%
**
1,125,753

COMMERCIAL METALS CO COMMON STOCK USD.01
 
 
**
229,931

COMMERCIAL VEHICLE GROUP INC COMMON STOCK USD.01
 
 
**
10,695

COMMERZBANK FINANCE + CO COVERED 06/18 4.25
6/4/2018
4.25%
**
2,117,110

COMMONWEALTH BK AUSTR NY SR UNSECURED 03/18 1.625
3/12/2018
1.63%
**
1,803,664

COMMSCOPE HOLDING CO INC COMMON STOCK USD.01
 
 
**
5,605,854

COMMUNITY BANK SYSTEM INC COMMON STOCK USD1.0
 
 
**
245,183

COMMUNITY HEALTH SYSTEMS INC COMMON STOCK USD.01
 
 
**
593,949

COMMUNITY TRUST BANCORP INC COMMON STOCK USD5.0
 
 
**
86,403

COMMVAULT SYSTEMS INC COMMON STOCK USD.01
 
 
**
352,347

COMPAGNIE DE SAINT GOBAIN COMMON STOCK EUR4.0
 
 
**
461,972

COMPAL ELECTRONICS COMMON STOCK TWD10.
 
 
**
69,268

COMPASS GROUP PLC COMMON STOCK GBP.10625
 
 
**
6,766,241

COMPUTER SCIENCES CORP COMMON STOCK USD1.0
 
 
**
13,462,492

COMPUTER TASK GROUP INC COMMON STOCK USD.01
 
 
**
5,178

COMPUTERSHARE LTD COMMON STOCK
 
 
**
35,593

COMTECH TELECOMMUNICATIONS COMMON STOCK USD.1
 
 
**
19,434

COMUNIDAD DE MADRID SR UNSECURED 03/20 4.688
3/12/2020
4.69%
**
840,700

CONCHO RESOURCES INC COMMON STOCK USD.001
 
 
**
6,062,605

CONMED CORP COMMON STOCK USD.01
 
 
**
2,390,790

CONN S INC COMMON STOCK USD.01
 
 
**
27,223

CONNECTONE BANCORP INC COMMON STOCK
 
 
**
44,063

CONOCOPHILLIPS COMPANY GUAR 02/39 6.5
2/1/2039
6.50%
**
101,273

CONOCOPHILLIPS HLDG CO SR UNSECURED 04/29 6.95
4/15/2029
6.95%
**
113,180

CONS TOMOKA LAND CO FLORIDA COMMON STOCK USD1.0
 
 
**
32,853

CONSOL ENERGY INC COMMON STOCK USD.01
 
 
**
332,424


40
Table of Contents

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

CONSOLIDATED COMMUNICATIONS COMMON STOCK USD.01
 
 
**
34,475

CONSOLIDATED EDISON CO O SR UNSECURED 03/42 4.2
3/15/2042
4.20%
**
80,215

CONSOLIDATED WATER CO ORD SH COMMON STOCK USD.6
 
 
**
15,570

CONSTELLATION BRANDS INC A COMMON STOCK USD.01
 
 
**
2,313,448

CONSTELLATION ENERGY GRO COMPANY GUAR 12/20 5.15
12/1/2020
5.15%
**
86,485

CONSTELLATION SOFTWARE INC COMMON STOCK
 
 
**
856,229

CONSUMER CREDIT ORIGINATION LO CCOLT 2015 1 A 144A
3/15/2021
2.82%
**
23,602

CONSUMER PORTFOLIO SERVICES COMMON STOCK
 
 
**
12,595

CONSUMERS ENERGY CO 1ST MORTGAGE 04/20 5.65
4/15/2020
5.65%
**
33,045

CONSUMERS ENERGY CO 1ST MORTGAGE 05/22 2.85
5/15/2022
2.85%
**
91,421

CONTANGO OIL + GAS COMMON STOCK USD.04
 
 
**
30,719

CONTINENTAL BUILDING PRODUCT COMMON STOCK USD.001
 
 
**
19,658

CONTL AIRLINES 2012 2 A PASS THRU CE 04/26 4
4/29/2026
4.00%
**
12,994

CONTROL4 CORP COMMON STOCK USD.0001
 
 
**
8,874

CONVATEC GROUP PLC COMMON STOCK
 
 
**
745,465

COOPER COS INC/THE COMMON STOCK USD.1
 
 
**
2,830,192

COOPER STANDARD HOLDING COMMON STOCK USD.001
 
 
**
158,895

COOPER TIRE + RUBBER COMMON STOCK USD1.0
 
 
**
238,928

COOPERATIEVE RABOBANK UA COMPANY GUAR 02/22 3.875
2/8/2022
3.88%
**
153,093

COOPERATIEVE RABOBANK UA COMPANY GUAR 12/23 4.625
12/1/2023
4.63%
**
263,023

COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 11/49 VAR
11/29/2049
8.40%
**
821,003

COPA HOLDINGS SA CLASS A COMMON STOCK
 
 
**
260,682

COPPER MOUNTAIN MINING CORP COMMON STOCK
 
 
**
52,921

CORDATUS CORDA 2007 1X A1F REGS
7/25/2024
0.04%
**
678,448

CORE MARK HOLDING CO INC COMMON STOCK USD.01
 
 
**
12,404

CORE MOLDING TECHNOLOGIES IN COMMON STOCK USD.01
 
 
**
14,030

CORELOGIC INC COMMON STOCK USD1.0
 
 
**
2,683,765

CORESITE REALTY CORP REIT USD.01
 
 
**
1,647,562

CORNERSTONE ONDEMAND INC COMMON STOCK USD.0001
 
 
**
3,469,420

CORNING INC COMMON STOCK USD.5
 
 
**
19,404,884

CORPORATE OFFICE PROPERTIES REIT USD.01
 
 
**
188,787

COSAN SA INDUSTRIA COMERCIO COMMON STOCK
 
 
**
21,099

COSTAR GROUP INC COMMON STOCK USD.01
 
 
**
5,559,324

COSTCO WHOLESALE CORP COMMON STOCK USD.005
 
 
**
5,592,322

COTIVITI HOLDINGS INC COMMON STOCK USD.001
 
 
**
2,071,568

COTY INC CL A COMMON STOCK USD.01
 
 
**
2,071,117

COUNTRY GARDEN HOLDINGS CO COMMON STOCK HKD.1
 
 
**
40,304

COUSINS PROPERTIES INC REIT USD1.0
 
 
**
203,568

COVANTA HOLDING CORP COMMON STOCK USD.1
 
 
**
138,029

COVENANT TRANSPORT GRP CL A COMMON STOCK USD.01
 
 
**
23,788

COVESTRO AG COMMON STOCK
 
 
**
2,072,427

COX COMMUNICATIONS INC SR UNSECURED 144A 01/19 9.375
1/15/2019
9.38%
**
73,432

COX COMMUNICATIONS INC SR UNSECURED 144A 02/35 4.8
2/1/2035
4.80%
**
55,889

COX COMMUNICATIONS INC SR UNSECURED 144A 09/26 3.35
9/15/2026
3.35%
**
190,988

CPS AUTO TRUST CPS 2012 D A 144A
3/16/2020
1.48%
**
13,652

CPS AUTO TRUST CPS 2014 A A 144A
8/15/2018
1.21%
**
6,760

CR BARD INC SR UNSECURED 01/18 1.375
1/15/2018
1.38%
**
8,293,879


41
Table of Contents

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

CRA INTERNATIONAL INC COMMON STOCK
 
 
**
28,877

CRAFT BREW ALLIANCE INC COMMON STOCK USD.005
 
 
**
31,181

CRANE CO COMMON STOCK USD1.0
 
 
**
45,003

CRAY INC COMMON STOCK USD.01
 
 
**
7,928

CRED SUIS GP FUN LTD COMPANY GUAR 03/25 3.75
3/26/2025
3.75%
**
246,201

CRED SUIS GP FUN LTD COMPANY GUAR 06/23 3.8
6/9/2023
3.80%
**
249,725

CRED SUIS GP FUN LTD COMPANY GUAR 12/20 3.125
12/10/2020
3.13%
**
498,437

CREDICORP LTD COMMON STOCK USD5.0
 
 
**
157,860

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2015 2A A 144A
2/15/2023
2.40%
**
679,335

CREDIT AGRICOLE LONDON SR UNSECURED 144A 04/19 VAR
4/15/2019
1.68%
**
1,205,212

CREDIT AGRICOLE SA SUBORDINATED 144A 09/33 VAR
9/19/2033
8.13%
**
537,875

CREDIT AGRICOLE SA SUBORDINATED REGS 09/33 VAR
9/19/2033
8.13%
**
2,043,925

CREDIT SUISSE NY
9/12/2017
1.65%
**
600,000

CREDIT SUISSE NY
5/3/2017
1.40%
**
10,908,154

CREDIT SUISSE NY
11/21/2017
1.66%
**
8,000,000

CREDIT SUISSE SUBORDINATED REGS 08/23 6.5
8/8/2023
6.50%
**
637,350

CREE INC COMMON STOCK USD.00125
 
 
**
215,976

CRESCENT POINT ENERGY CORP COMMON STOCK
 
 
**
74,848

CREW ENERGY INC COMMON STOCK
 
 
**
193,763

CROCS INC COMMON STOCK USD.001
 
 
**
24,490

CROWN CASTLE INTL CORP REIT USD.01
 
 
**
23,246,551

CROWN HOLDINGS INC COMMON STOCK USD5.0
 
 
**
2,304,511

CRUDE OIL FUT OPT DEC17C 63 EXP 11/15/2017
11/15/2017
 
**
60,000

CRUDE OIL FUT OPT DEC17P 48 EXP 11/15/2017
11/15/2017
 
**
53,200

CRUDE OIL FUT OPT JUN17C 62 EXP 05/17/2017
5/17/2017
 
**
32,200

CRUDE OIL FUT OPT JUN17P 47 EXP 05/17/2017
5/17/2017
 
**
23,000

CRYOLIFE INC COMMON STOCK USD.01
 
 
**
52,988

CSG SYSTEMS INTL INC COMMON STOCK USD.01
 
 
**
64,566

CSN ISLANDS XI CORP COMPANY GUAR 144A 09/19 6.875
9/21/2019
6.88%
**
54,250

CSN ISLANDS XI CORP COMPANY GUAR REGS 09/19 6.875
9/21/2019
6.88%
**
31,000

CSRA INC COMMON STOCK USD.001
 
 
**
10,661,465

CTBC FINANCIAL HOLDING CO LT COMMON STOCK TWD10.
 
 
**
281,813

CTRIP.COM INTERNATIONAL ADR ADR USD.01
 
 
**
351,880

CUBESMART REIT USD.01
 
 
**
3,127,726

CUBIC CORP COMMON STOCK
 
 
**
122,848

CULP INC COMMON STOCK USD.05
 
 
**
45,695

CUMMINS INC COMMON STOCK USD2.5
 
 
**
8,049,863

CUMULUS MEDIA INC CL A COMMON STOCK USD.01
 
 
**
1,973

CURTISS WRIGHT CORP COMMON STOCK USD1.0
 
 
**
2,470,016

CUSTOMERS BANCORP INC COMMON STOCK USD1.0
 
 
**
95,460

CVB FINANCIAL CORP COMMON STOCK
 
 
**
2,106,029


42
Table of Contents

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

CVR ENERGY INC COMMON STOCK USD.01
 
 
**
96,279

CVS HEALTH CORP COMMON STOCK USD.01
 
 
**
13,649,931

CVS HEALTH CORP SR UNSECURED 07/18 1.9
7/20/2018
1.90%
**
3,975,218

CVS HEALTH CORP SR UNSECURED 12/18 2.25
12/5/2018
2.25%
**
65,570

CVS HEALTH CORP SR UNSECURED 12/22 2.75
12/1/2022
2.75%
**
98,513

CYBERARK SOFTWARE LTD/ISRAEL COMMON STOCK ILS.01
 
 
**
3,058,738

CYNOSURE INC A COMMON STOCK USD.001
 
 
**
98,131

CYPRESS SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
**
12,057,096

CYRUSONE INC REIT USD.01
 
 
**
100,866

CZECH REPUBLIC BONDS REGS 04/17 4
4/11/2017
4.00%
**
818,612

CZECH REPUBLIC BONDS REGS 07/17 VAR
7/23/2017
1.21%
**
1,346,406

CZECH REPUBLIC BONDS REGS 08/28 2.5
8/25/2028
2.50%
**
747,335

D+L INDUSTRIES INC COMMON STOCK PHP1.0
 
 
**
550,204

DAELIM INDUSTRIAL CO LTD COMMON STOCK KRW5000.
 
 
**
61,442

DAH CHONG HONG COMMON STOCK
 
 
**
121,024

DAH SING FINANCIAL HOLDINGS COMMON STOCK
 
 
**
492,491

DAIICHI SANKYO CO LTD COMMON STOCK
 
 
**
785,308

DAIICHIKOSHO CO LTD COMMON STOCK
 
 
**
661,500

DAIKIN INDUSTRIES LTD COMMON STOCK
 
 
**
2,761,178

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/19 2.25
7/31/2019
2.25%
**
175,231

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 VAR
8/3/2017
1.59%
**
975,545

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 10/19 VAR
10/30/2019
1.51%
**
4,044,700

DAIRY CREST GROUP PLC COMMON STOCK GBP.25
 
 
**
459,283

DAITO TRUST CONSTRUCT CO LTD COMMON STOCK
 
 
**
165,799

DAIWA HOUSE INDUSTRY CO LTD COMMON STOCK
 
 
**
164,410

DAIWA OFFICE INVESTMENT CORP REIT
 
 
**
556,437

DAKTRONICS INC COMMON STOCK
 
 
**
30,784

DANA INC COMMON STOCK USD.01
 
 
**
2,679,672

DANAHER CORP COMMON STOCK USD.01
 
 
**
5,248,440

DANONE COMMON STOCK EUR.25
 
 
**
5,027,800

DANONE SPONS ADR ADR
 
 
**
1,990,647

DANSKE BANK A/S COMMON STOCK DKK10.
 
 
**
208,380

DANSKE CORP.
8/24/2017
1.43%
**
10,897,318

DARLING INGREDIENTS INC COMMON STOCK USD.01
 
 
**
2,007,440

DASSAULT SYSTEMES SA COMMON STOCK EUR.5
 
 
**
1,891,349

DATALINK CORP COMMON STOCK USD.001
 
 
**
25,391

DAVE + BUSTER S ENTERTAINMEN COMMON STOCK USD.01
 
 
**
3,765,513

DAWSON GEOPHYSICAL CO COMMON STOCK USD.01
 
 
**
11,602

DBRR TRUST DBRR 2011 C32 A3A 144A
6/17/2049
5.89%
**
97,553

DBS GROUP HOLDINGS LTD COMMON STOCK
 
 
**
4,162,464

DBUBS MORTGAGE TRUST DBUBS 2011 LC2A XA 144A
7/10/2044
1.14%
**
39,682


43
Table of Contents

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

DBV TECHNOLOGIES SA SPON ADR ADR EUR.1
 
 
**
755,295

DCC PLC COMMON STOCK EUR.25
 
 
**
119,413

DCT INDUSTRIAL TRUST INC REIT USD.01
 
 
**
162,792

DDR CORP REIT USD.1
 
 
**
129,413

DE LONGHI SPA COMMON STOCK EUR1.5
 
 
**
507,286

DEAN FOODS CO COMMON STOCK USD.01
 
 
**
196,456

DECKERS OUTDOOR CORP COMMON STOCK USD.01
 
 
**
161,462

DEERE + COMPANY SR UNSECURED 06/22 2.6
6/8/2022
2.60%
**
69,660

DEL FRISCO S RESTAURANT GROU COMMON STOCK USD.001
 
 
**
34,850

DEL TACO RESTAURANTS INC COMMON STOCK
 
 
**
46,243

DELEK US HOLDINGS INC COMMON STOCK USD.01
 
 
**
145,551

DELL TECHNOLOGIES INC CL V TRACKING STK
 
 
**
125,167

DELPHI AUTOMOTIVE PLC COMMON STOCK USD.01
 
 
**
5,723,134

DELTA ELECTRONICS THAI FORGN FOREIGN SH. THB1.0 A
 
 
**
409,884

DENBURY RESOURCES INC COMMON STOCK USD.001
 
 
**
84,114

DENSO CORP COMMON STOCK
 
 
**
4,549,255

DENTSPLY SIRONA INC COMMON STOCK USD.01
 
 
**
11,385,799

DEPFA ACS BANK COVERED REGS 03/17 5.75
3/28/2017
5.75%
**
302,533

DEPOSITORY TRUST + CLEAR JR SUB DEBS 144A 12/49 VAR
12/29/2049
4.88%
**
763,125

DERMIRA INC COMMON STOCK USD.001
 
 
**
2,611,443

DESTINATION MATERNITY CORP COMMON STOCK USD.01
 
 
**
4,767

DETOUR GOLD CORP COMMON STOCK
 
 
**
380,516

DEUT PFANDBRIEFBANK AG PFANDBRIEFE REGS 08/19 1.625
8/30/2019
1.63%
**
394,159

DEUTSCHE BANK AG LONDON SR UNSECURED 02/18 1.875
2/13/2018
1.88%
**
13,920

DEUTSCHE BANK AG LONDON SR UNSECURED 05/24 3.7
5/30/2024
3.70%
**
45,704

DEUTSCHE BANK AG SR UNSECURED 05/21 3.375
5/12/2021
3.38%
**
146,503

DEUTSCHE BANK AG SR UNSECURED 08/20 2.95
8/20/2020
2.95%
**
90,567

DEUTSCHE BANK AG SR UNSECURED 144A 10/21 4.25
10/14/2021
4.25%
**
3,714,267

DEUTSCHE POST AG REG COMMON STOCK
 
 
**
321,445

DEUTSCHE WOHNEN AG BR COMMON STOCK
 
 
**
210,874

DEUTSCHLAND I/L BOND BONDS REGS 04/20 1.75
4/15/2020
1.75%
**
38,702

DEUTZ AG COMMON STOCK
 
 
**
430,152

DEVELOPMENT BK OF JAPAN GOVT GUARANT 144A 09/21 1.625
9/1/2021
1.63%
**
2,200,565

DEVRY EDUCATION GROUP INC COMMON STOCK USD.01
 
 
**
143,614

DEXCOM INC COMMON STOCK USD.001
 
 
**
96,416

DEXIA CREDIT LOCAL GOVT LIQUID 144A 09/21 1.875
9/15/2021
1.88%
**
1,833,525

DEXIA CREDIT LOCAL GOVT LIQUID REGS 01/21 2
1/22/2021
2.00%
**
2,387,736

DEXUS PROPERTY GROUP REIT
 
 
**
92,660

DG BANK NY BRANCH
4/25/2017
1.21%
**
7,300,723

DHI GROUP INC COMMON STOCK USD.01
 
 
**
23,319

DHT HOLDINGS INC COMMON STOCK USD.01
 
 
**
34,797


44
Table of Contents

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

DIAGEO CAPITAL PLC COMPANY GUAR 10/17 5.75
10/23/2017
5.75%
**
5,114,718

DIAGEO INVESTMENT CORP COMPANY GUAR 05/22 2.875
5/11/2022
2.88%
**
80,480

DIAGEO PLC COMMON STOCK GBP.2893518
 
 
**
3,735,260

DIAGEO PLC SPONSORED ADR ADR
 
 
**
4,813,357

DIAMOND 1 FIN/DIAMOND 2 SR SECURED 144A 06/21 4.42
6/15/2021
4.42%
**
310,424

DIAMOND OFFSHORE DRILL SR UNSECURED 11/43 4.875
11/1/2043
4.88%
**
91,633

DIAMOND OFFSHORE DRILLING COMMON STOCK USD.01
 
 
**
215,303

DIAMONDBACK ENERGY INC COMMON STOCK USD.01
 
 
**
2,084,059

DIAMONDROCK HOSPITALITY CO REIT USD.01
 
 
**
154,813

DICK S SPORTING GOODS INC COMMON STOCK USD.01
 
 
**
2,155,860

DIGI INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
31,006

DIGIRAD CORP COMMON STOCK USD.0001
 
 
**
11,310

DIGITAL REALTY TRUST LP COMPANY GUAR 07/22 3.95
7/1/2022
3.95%
**
616,552

DIGITALGLOBE INC COMMON STOCK USD.001
 
 
**
202,842

DILLARDS INC CL A COMMON STOCK
 
 
**
237,720

DIME COMMUNITY BANCSHARES COMMON STOCK USD.01
 
 
**
76,219

DINEEQUITY INC COMMON STOCK USD.01
 
 
**
54,054

DIODES INC COMMON STOCK USD.667
 
 
**
118,390

DIPLOMAT PHARMACY INC COMMON STOCK
 
 
**
34,461

DIRECT LINE INSURANCE GROUP COMMON STOCK GBP.1090909
 
 
**
264,800

DISCOVER CARD EXECUTION NOTE T DCENT 2014 A5 A
4/15/2020
1.39%
**
15,022,251

DISCOVERY COMMUNICATIONS A COMMON STOCK USD.01
 
 
**
5,605,345

DISCOVERY COMMUNICATIONS C COMMON STOCK USD.01
 
 
**
8,725,727

DISCOVERY COMMUNICATIONS COMPANY GUAR 05/22 3.3
5/15/2022
3.30%
**
59,798

DISCOVERY COMMUNICATIONS COMPANY GUAR 05/42 4.95
5/15/2042
4.95%
**
46,116

DISH NETWORK CORP A COMMON STOCK USD.01
 
 
**
8,811,732

DIVERSIFIED REAL ASSET FUND
 
 
**
(2,279,108
)
DIVERSIFIED REAL ASSET FUND WELLINGTON
 
 
**
295,651,524

DIVI S LABORATORIES LTD COMMON STOCK INR2.
 
 
**
56,752

DMC GLOBAL INC COMMON STOCK USD.05
 
 
**
19,496

DOLLAR GENERAL CORP COMMON STOCK USD.875
 
 
**
8,212,289

DOLLAR GENERAL CORP SR UNSECURED 07/17 4.125
7/15/2017
4.13%
**
5,149,653

DOLLARAMA INC COMMON STOCK
 
 
**
759,060

DOMINION DIAMOND CORP COMMON STOCK
 
 
**
35,816

DOMINION DIAMOND CORP COMMON STOCK
 
 
**
126,118

DOMINION RESOURCES
4/17/2017
1.22%
**
8,170,544

DOMINION RESOURCES INC SR UNSECURED 06/18 6.4
6/15/2018
6.40%
**
84,846

DOMINION RESOURCES INC SR UNSECURED 09/22 2.75
9/15/2022
2.75%
**
78,726



45
Table of Contents

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

DOMINO S PIZZA INC COMMON STOCK USD.01
 
 
**
316,569

DOMTAR CORP COMMON STOCK USD.01
 
 
**
235,585

DON QUIJOTE HOLDINGS CO LTD COMMON STOCK
 
 
**
292,944

DONEGAL GROUP INC CL A COMMON STOCK USD.01
 
 
**
37,617

DOOSAN HEAVY INDUSTRIES COMMON STOCK KRW5000.0
 
 
**
93,324

DORMAN PRODUCTS INC COMMON STOCK USD.01
 
 
**
2,104,859

DOUGLAS DYNAMICS INC COMMON STOCK USD.01
 
 
**
75,881

DOUGLAS EMMETT INC REIT USD.01
 
 
**
355,985

DOW CHEMICAL CO/THE SR UNSECURED 11/21 4.125
11/15/2021
4.13%
**
79,247

DOW CHEMICAL CO/THE SR UNSECURED 11/22 3
11/15/2022
3.00%
**
230,105

DOWA HOLDINGS CO LTD COMMON STOCK
 
 
**
904,463

DR PEPPER SNAPPLE GROUP COMPANY GUAR 01/20 2
1/15/2020
2.00%
**
24,825

DR PEPPER SNAPPLE GROUP COMPANY GUAR 09/26 2.55
9/15/2026
2.55%
**
30,560

DRIL QUIP INC COMMON STOCK USD.01
 
 
**
83,049

DRIVE AUTO RECEIVABLES TRUST DRIVE 2016 CA D 144A
3/15/2024
4.18%
**
141,928

DSP GROUP INC COMMON STOCK USD.001
 
 
**
29,428

DSW INC CLASS A COMMON STOCK
 
 
**
157,531

DT AUTO OWNER TRUST DTAOT 2016 3A A 144A
11/15/2019
1.75%
**
349,856

DT AUTO OWNER TRUST DTAOT 2016 4A B 144A
8/17/2020
2.02%
**
42,787

DT AUTO OWNER TRUST DTAOT 2016 4A D 144A
10/17/2022
3.77%
**
71,613

DTE ELECTRIC CO GENL REF MOR 06/22 2.65
6/15/2022
2.65%
**
191,225

DU PONT (E.I.) DE NEMOURS COMMON STOCK USD.3
 
 
**
3,674,844

DUCOMMUN INC COMMON STOCK USD.01
 
 
**
41,586

DUFRY AG REG COMMON STOCK CHF5.0
 
 
**
802,099

DUKE ENERGY CAROLINAS 1ST MORTGAGE 06/20 4.3
6/15/2020
4.30%
**
106,898

DUKE ENERGY CORP COMMON STOCK USD.001
 
 
**
4,080,639

DUKE ENERGY CORP SR UNSECURED 09/19 5.05
9/15/2019
5.05%
**
86,243

DULUTH HOLDINGS INC CL B COMMON STOCK
 
 
**
558,724

DUN + BRADSTREET CORP COMMON STOCK USD.01
 
 
**
2,669,040

DUPONT FABROS TECHNOLOGY REIT USD.001
 
 
**
130,560

DXP ENTERPRISES INC COMMON STOCK USD.01
 
 
**
23,137

DYCOM INDUSTRIES INC COMMON STOCK USD.333
 
 
**
604,503

DYNEGY INC COMMON STOCK USD.01
 
 
**
101,080

E TRADE FINANCIAL CORP COMMON STOCK USD.01
 
 
**
705,890

E.SUN FINANCIAL HOLDING CO COMMON STOCK TWD10.
 
 
**
49,364

EAGLE PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
1,689,942

EAST WEST BANCORP INC COMMON STOCK USD.001
 
 
**
3,647,510

EASTGROUP PROPERTIES INC REIT
 
 
**
15,137

EASYJET PLC COMMON STOCK GBP.2728571
 
 
**
96,130

EATON CORP PLC COMMON STOCK USD.01
 
 
**
4,233,111

EATON VANCE CDO LTD EATON 2007 10X A1 REGS
2/22/2027
0.05%
**
93,473

EATON VANCE CDO LTD EATON 2007 10X A2 REGS
2/22/2027
1.16%
**
414,193

EBAY INC COMMON STOCK USD.001
 
 
**
21,407,767

EBAY INC SR UNSECURED 07/42 4
7/15/2042
4.00%
**
62,602

EBIX INC COMMON STOCK USD.1
 
 
**
77,531

ECHO GLOBAL LOGISTICS INC COMMON STOCK USD.0001
 
 
**
30,636

ECHOSTAR CORP A COMMON STOCK USD.001
 
 
**
226,476


46
Table of Contents

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

ECOLAB INC SR UNSECURED 12/17 1.45
12/8/2017
1.45%
**
6,609,470

ECOPETROL SA SR UNSECURED 05/45 5.875
5/28/2045
5.88%
**
950,400

EDP ENERGIAS DO BRASIL SA COMMON STOCK
 
 
**
57,640

EDUCATION REALTY TRUST INC REIT USD.01
 
 
**
2,736,768

EDWARDS LIFESCIENCES CORP COMMON STOCK USD1.0
 
 
**
2,330,694

EIFFAGE COMMON STOCK EUR4.
 
 
**
197,193

EISAI CO LTD COMMON STOCK
 
 
**
7,164,651

ELECTRO SCIENTIFIC INDS INC COMMON STOCK
 
 
**
15,777

ELECTROLUX AB SER B COMMON STOCK SEK5.0
 
 
**
972,722

ELECTRONIC ARTS INC COMMON STOCK USD.01
 
 
**
39,582,886

ELECTRONICS FOR IMAGING COMMON STOCK USD.01
 
 
**
3,076,253

ELEMENT FLEET MANAGEMENT COR COMMON STOCK
 
 
**
1,679,501

ELEMENTIS PLC COMMON STOCK GBP.05
 
 
**
566,597

ELI LILLY + CO COMMON STOCK
 
 
**
15,271,775

ELLIE MAE INC COMMON STOCK USD.0001
 
 
**
2,850,643

ELRINGKLINGER AG COMMON STOCK
 
 
**
90,418

EMC INS GROUP INC COMMON STOCK USD1.0
 
 
**
64,582

EMCOR GROUP INC COMMON STOCK USD.01
 
 
**
3,236,209

EMERA US FINANCE LP COMPANY GUAR 144A 06/21 2.7
6/15/2021
2.70%
**
494,922

EMERGENT BIOSOLUTIONS INC COMMON STOCK USD.001
 
 
**
117,797

EMERGENT CAPITAL INC COMMON STOCK USD.01
 
 
**
3,255

EMPLOYERS HOLDINGS INC COMMON STOCK USD.01
 
 
**
125,809

ENANTA PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
**
7,705

ENBRIDGE INC SR UNSECURED 12/26 4.25
12/1/2026
4.25%
**
116,724

ENCANA CORP SR UNSECURED 08/34 6.5
8/15/2034
6.50%
**
107,714

ENCORE CAPITAL GROUP INC COMMON STOCK USD.01
 
 
**
96,264

ENCORE WIRE CORP COMMON STOCK USD.01
 
 
**
79,981

ENDESA SA COMMON STOCK EUR1.2
 
 
**
2,160,850

ENDO INTERNATIONAL PLC COMMON STOCK USD.0001
 
 
**
161,027

ENDOCYTE INC COMMON STOCK
 
 
**
9,410

ENDURANCE SPECIALTY HOLDINGS COMMON STOCK USD1.0
 
 
**
593,300

ENEL AMERICAS SA ADR ADR
 
 
**
186,663

ENEL SPA COMMON STOCK EUR1.
 
 
**
1,393,245

ENERGY TRANSFER PARTNERS SR UNSECURED 02/23 3.6
2/1/2023
3.60%
**
119,004

ENERGY TRANSFER PARTNERS SR UNSECURED 03/25 4.05
3/15/2025
4.05%
**
45,536

ENERGY TRANSFER PARTNERS SR UNSECURED 12/45 6.125
12/15/2045
6.13%
**
425,576

ENERNOC INC COMMON STOCK USD.001
 
 
**
11,070

ENERSYS COMMON STOCK USD.01
 
 
**
324,818

ENGIE BRASIL ENERGIA SA COMMON STOCK
 
 
**
37,638

ENGIE COMMON STOCK EUR1.0
 
 
**
2,652,655

ENGILITY HOLDINGS INC COMMON STOCK USD.01
 
 
**
75,690

ENI SPA COMMON STOCK
 
 
**
2,863,728

ENLINK MIDSTREAM PARTNER SR UNSECURED 06/25 4.15
6/1/2025
4.15%
**
48,533

ENNIS INC COMMON STOCK USD2.5
 
 
**
46,238

ENOVA INTERNATIONAL INC COMMON STOCK USD.00001
 
 
**
22,439

ENPRO INDUSTRIES INC COMMON STOCK USD.01
 
 
**
113,771

ENSCO PLC SR UNSECURED 03/21 4.7
3/15/2021
4.70%
**
38,477


47
Table of Contents

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

ENSCO PLC SR UNSECURED 03/25 5.2
3/15/2025
5.20%
**
39,729

ENSCO PLC SR UNSECURED 10/44 5.75
10/1/2044
5.75%
**
21,750

ENSIGN GROUP INC/THE COMMON STOCK USD.001
 
 
**
31,938

ENSTAR GROUP LTD COMMON STOCK USD1.0
 
 
**
215,691

ENTEGRIS INC COMMON STOCK USD.01
 
 
**
214,657

ENTERCOM COMMUNICATIONS CL A COMMON STOCK USD.01
 
 
**
45,472

ENTERGY ARKANSAS INC 1ST MORTGAGE 06/23 3.05
6/1/2023
3.05%
**
34,126

ENTERGY LOUISIANA LLC COLLATERAL T 10/26 2.4
10/1/2026
2.40%
**
46,657

ENTERPRISE FINANCIAL SERVICE COMMON STOCK USD.01
 
 
**
88,150

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/19 6.5
1/31/2019
6.50%
**
87,207

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/24 3.9
2/15/2024
3.90%
**
74,259

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/25 3.75
2/15/2025
3.75%
**
218,453

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/26 3.7
2/15/2026
3.70%
**
34,123

ENVISION HEALTHCARE CORP COMMON STOCK
 
 
**
4,548,019

EOG RESOURCES INC COMMON STOCK USD.01
 
 
**
11,113,519

EOG RESOURCES INC SR UNSECURED 02/21 4.1
2/1/2021
4.10%
**
57,963

EOG RESOURCES INC SR UNSECURED 03/23 2.625
3/15/2023
2.63%
**
87,247

EP ENERGY CORP CL A COMMON STOCK USD.01
 
 
**
1,913

EPR PROPERTIES REIT USD.01
 
 
**
1,901,905

EQT CORP COMMON STOCK
 
 
**
1,939,633

EQT MIDSTREAM PARTNERS L SR UNSECURED 12/26 4.125
12/1/2026
4.13%
**
1,267,171

EQUATORIAL ENERGIA SA ORD COMMON STOCK
 
 
**
160,457

EQUIFAX INC
 
 
**
13,328

EQUIFAX INC COMMON STOCK USD1.25
 
 
**
7,811,220

EQUINIX INC
 
 
**
56,014

EQUINIX INC REIT USD.001
 
 
**
12,435,009

EQUITY COMMONWEALTH REIT USD.01
 
 
**
1,509,278

EQUITY COMMONWEALTH SR UNSECURED 01/18 6.65
1/15/2018
6.65%
**
76,901

EQUITY ONE INC REIT USD.01
 
 
**
128,959

ERA GROUP INC COMMON STOCK USD.01
 
 
**
31,310

ERAC USA FINANCE LLC COMPANY GUAR 144A 06/34 6.7
6/1/2034
6.70%
**
103,085

ERAC USA FINANCE LLC COMPANY GUAR 144A 10/17 6.375
10/15/2017
6.38%
**
2,514,724

EREGLI DEMIR VE CELIK FABRIK COMMON STOCK TRY1.
 
 
**
68,191

ERICSSON (LM) TEL SP ADR ADR
 
 
**
5,066,270

ERICSSON LM B SHS COMMON STOCK SEK5.0
 
 
**
265,197

ERP OPERATING LP SR UNSECURED 11/26 2.85
11/1/2026
2.85%
**
15,085

ERP OPERATING LP SR UNSECURED 12/21 4.625
12/15/2021
4.63%
**
65,172

ESCALADE INC COMMON STOCK
 
 
**
16,236

ESCO TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
150,972

ESPERION THERAPEUTICS INC COMMON STOCK USD.001
 
 
**
15,575

ESSA BANCORP INC COMMON STOCK USD.01
 
 
**
19,336

ESSENDANT INC COMMON STOCK USD.1
 
 
**
79,253

ESSENT GROUP LTD COMMON STOCK USD.015
 
 
**
1,458,366

ESSILOR INTERNATIONAL COMMON STOCK EUR.18
 
 
**
4,155,899

ESTERLINE TECHNOLOGIES CORP COMMON STOCK USD.2
 
 
**
229,601

ETHAN ALLEN INTERIORS INC COMMON STOCK USD.01
 
 
**
1,859,304

EULER HERMES GROUP COMMON STOCK EUR.32
 
 
**
449,165


48
Table of Contents

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

EUROCASH SA COMMON STOCK PLN1.
 
 
**
186,121

EUROCOMMERCIAL PROPERTIE CV DUTCH CERT EUR5.0
 
 
**
435,389

EURONAV NV COMMON STOCK
 
 
**
248,612

EURONET WORLDWIDE INC COMMON STOCK USD.02
 
 
**
155,580

EUROSAIL PLC ESAIL 2007 3X A3A REGS
6/13/2045
1.52%
**
67,135

EUROSAIL PLC ESAIL 2007 3X A3C REGS
6/13/2045
1.52%
**
89,502

EVANS BANCORP INC COMMON STOCK USD.5
 
 
**
15,996

EVERBANK FINANCIAL CORP COMMON STOCK USD.01
 
 
**
96,550

EVERCORE PARTNERS INC CL A COMMON STOCK USD.01
 
 
**
609,163

EVERI HOLDINGS INC COMMON STOCK USD.001
 
 
**
12,232

EVONIK INDUSTRIES AG COMMON STOCK
 
 
**
857,274

EW SCRIPPS CO/THE A COMMON STOCK USD.01
 
 
**
115,381

EXACTECH INC COMMON STOCK USD.01
 
 
**
39,176

EXAMWORKS GROUP INC COMMON STOCK
 
 
**
3,139,744

EXAR CORP COMMON STOCK USD.0001
 
 
**
37,266

EXEDY CORP COMMON STOCK
 
 
**
516,200

EXELON CORP SR UNSECURED 06/25 3.95
6/15/2025
3.95%
**
102,804

EXELON GENERATION CO LLC SR UNSECURED 10/41 5.75
10/1/2041
5.75%
**
28,157

EXETER AUTOMOBILE RECEIVABLES EART 2016 3A B 144A
8/16/2021
2.84%
**
53,787

EXLSERVICE HOLDINGS INC COMMON STOCK USD.001
 
 
**
114,801

EXPEDIA INC COMMON STOCK USD.001
 
 
**
9,527,188

EXPERIAN PLC COMMON STOCK USD.1
 
 
**
2,143,216

EXPORT IMPORT BK KOREA SR UNSECURED 01/21 4
1/29/2021
4.00%
**
418,408

EXPRESS INC COMMON STOCK
 
 
**
76,773

EXPRESS SCRIPTS HOLDING CO COMMON STOCK USD.01
 
 
**
2,824,724

EXTERRAN CORP COMMON STOCK USD.01
 
 
**
1,182,931

EXTRACTION OIL + GAS INC COMMON STOCK
 
 
**
2,444,880

EXXON MOBIL CORP COMMON STOCK
 
 
**
5,375,164

EZCORP INC CL A COMMON STOCK USD.01
 
 
**
65,806

FABRINET COMMON STOCK USD.01
 
 
**
132,184

FACEBOOK INC A COMMON STOCK USD.000006
 
 
**
87,926,042

FAIRFAX FINANCIAL HLDGS LTD COMMON STOCK
 
 
**
248,558

FANNIE MAE FNR 1994 29 Z
2/25/2024
6.50%
**
54,667

FANNIE MAE FNR 2002 86 PG
12/25/2032
6.00%
**
201,401

FANNIE MAE FNR 2005 70 NA
8/25/2035
5.50%
**
60,743

FANNIE MAE FNR 2006 30 KF
5/25/2036
0.93%
**
205,604

FANNIE MAE FNR 2006 48 TF
6/25/2036
1.16%
**
56,780

FANNIE MAE FNR 2006 9 KZ
3/25/2036
6.00%
**
305,344

FANNIE MAE FNR 2007 106 A7
10/25/2037
6.20%
**
56,028

FANNIE MAE FNR 2009 104 FA
12/25/2039
1.56%
**
425,023

FANNIE MAE FNR 2010 18 PV
3/25/2021
5.00%
**
385,973

FANNIE MAE FNR 2012 154 PW
10/25/2042
3.00%
**
674,026

FANNIE MAE FNR 2013 13 IK
3/25/2028
2.50%
**
71,536

FANNIE MAE FNR 2013 130 FB
1/25/2044
1.21%
**
270,849

FANNIE MAE FNR 2013 83 CA
10/25/2037
3.50%
**
244,898

FANNIE MAE FNR 2013 96 YA
9/25/2038
3.50%
**
389,187

FANNIE MAE FNR 2016 38 NA
1/25/2046
3.00%
**
483,656


49
Table of Contents

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

FANNIE MAE NOTES 04/26 2.125
4/24/2026
2.13%
**
283,707

FANNIE MAE NOTES 09/24 2.625
9/6/2024
2.63%
**
807,744

FANNIEMAE ACES FNA 2012 M8 ASQ3
12/25/2019
1.80%
**
341,053

FANNIEMAE ACES FNA 2013 M7 A2
12/27/2022
2.28%
**
332,365

FANNIEMAE ACES FNA 2014 M1 A2
7/25/2023
3.25%
**
542,025

FANNIEMAE ACES FNA 2014 M9 A2
7/25/2024
3.10%
**
819,439

FANNIEMAE ACES FNA 2015 M7 A2
12/25/2024
2.59%
**
856,596

FANNIEMAE WHOLE LOAN FNW 2004 W1 1A7
11/25/2043
5.68%
**
470,202

FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2
2/25/2044
7.00%
**
57,489

FANNIEMAE WHOLE LOAN FNW 2009 W1 A
12/25/2049
6.00%
**
145,060

FANUC CORP COMMON STOCK
 
 
**
3,125,957

FAR EASTONE TELECOMM CO LTD COMMON STOCK TWD10.
 
 
**
105,728

FARMERS CAPITAL BANK CORP COMMON STOCK USD.125
 
 
**
30,150

FARMERS NATL BANC CORP COMMON STOCK
 
 
**
38,510

FARO TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
53,172

FBL FINANCIAL GROUP INC CL A COMMON STOCK
 
 
**
171,774

FCB FINANCIAL HOLDINGS CL A COMMON STOCK USD.001
 
 
**
71,455

FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR
9/1/2037
2.79%
**
625,629

FED HM LN PC POOL C03520 FG 09/40 FIXED 4
9/1/2040
4.00%
**
2,711,661

FED HM LN PC POOL D98914 FG 01/32 FIXED 4
1/1/2032
4.00%
**
151,276

FED HM LN PC POOL G03600 FG 11/37 FIXED 7
11/1/2037
7.00%
**
109,758

FED HM LN PC POOL G08653 FG 07/45 FIXED 3
7/1/2045
3.00%
**
2,685,077

FED HM LN PC POOL G30591 FG 02/28 FIXED 6
2/1/2028
6.00%
**
99,051

FED HM LN PC POOL J14494 FG 02/26 FIXED 4
2/1/2026
4.00%
**
161,270

FED HM LN PC POOL U80439 FG 07/33 FIXED 3.5
7/1/2033
3.50%
**
699,915

FED HM LN PC POOL U90291 FG 10/42 FIXED 4
10/1/2042
4.00%
**
321,551

FED HM LN PC POOL U90690 FG 06/42 FIXED 3.5
6/1/2042
3.50%
**
290,967

FED HM LN PC POOL U91619 FG 06/43 FIXED 4
6/1/2043
4.00%
**
1,189,960

FED REPUBLIC OF BRAZIL SR UNSECURED 02/47 5.625
2/21/2047
5.63%
**
263,250

FEDERAL AGRIC MTG CORP CL C COMMON STOCK USD1.0
 
 
**
52,803

FEDERAL MOGUL HOLDINGS CORP COMMON STOCK USD.01
 
 
**
92,872

FEDERAL REALTY INVS TRUST REIT USD.01
 
 
**
3,154,842

FEDERAL SIGNAL CORP COMMON STOCK USD1.0
 
 
**
94,394

FEDERATED NATIONAL HOLDING C COMMON STOCK USD.01
 
 
**
6,747

FEDERATION DES CAISSES SR UNSECURED 144A 01/18 VAR
1/29/2018
1.55%
**
2,797,147

FELCOR LODGING TRUST INC REIT USD.01
 
 
**
68,141

FENG TAY ENTERPRISE CO LTD COMMON STOCK TWD10.
 
 
**
16,810

FERRARI NV COMMON STOCK EUR.01
 
 
**
99,332

FERROGLOBE PLC COMMON STOCK USD7.5
 
 
**
53,760

FHLMC MULTIFAMILY STRUCTURED P FHMS K708 X1
1/25/2019
1.46%
**
128,653

FHLMC MULTIFAMILY STRUCTURED P FHMS KF12 A
9/25/2022
1.23%
**
528,147

FHLMC MULTIFAMILY STRUCTURED P FHMS KJ09 A2
9/25/2022
2.84%
**
130,620

FHLMC MULTIFAMILY STRUCTURED P FHMS KS06 A2
7/25/2026
2.72%
**
246,969

FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1
8/25/2031
0.71%
**
8,151

FIAT CHRYSLER AUTOMOBILE SR UNSECURED 04/20 4.5
4/15/2020
4.50%
**
1,020,000

FIAT CHRYSLER AUTOMOBILES NV COMMON STOCK EUR.01
 
 
**
884,494

FIBRA UNO ADMINISTRACION SA REIT
 
 
**
100,569


50
Table of Contents

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

FIDELITY NATIONAL INFO SERV COMMON STOCK USD.01
 
 
**
24,616,811

FIDELITY SOUTHERN CORP COMMON STOCK
 
 
**
50,938

FIDESSA GROUP PLC COMMON STOCK GBP.1
 
 
**
220,615

FINANCIAL INSTITUTIONS INC COMMON STOCK USD.01
 
 
**
49,077

FINECOBANK SPA COMMON STOCK
 
 
**
235,914

FINISAR CORPORATION COMMON STOCK USD.001
 
 
**
268,101

FINISH LINE/THE CL A COMMON STOCK USD.01
 
 
**
75,184

FINN SQUARE CLO LTD FINNS 2012 1A A1R 144A
12/24/2023
2.05%
**
2,600,047

FINNING INTERNATIONAL INC COMMON STOCK
 
 
**
149,893

FIREEYE INC
 
 
**
66,582

FIREEYE INC COMMON STOCK USD.0001
 
 
**
1,611,688

FIRST AMERICAN FINANCIAL COMMON STOCK USD.00001
 
 
**
2,136,335

FIRST BANCORP INC/ME COMMON STOCK USD.01
 
 
**
37,304

FIRST BANCORP PUERTO RICO COMMON STOCK USD.1
 
 
**
140,244

FIRST BANCORP/NC COMMON STOCK
 
 
**
55,637

FIRST BANCSHARES INC/MS COMMON STOCK USD1.0
 
 
**
19,470

FIRST BUSEY CORP COMMON STOCK USD.001
 
 
**
118,195

FIRST BUSINESS FINANCIAL SER COMMON STOCK USD.01
 
 
**
19,450

FIRST COMMONWEALTH FINL CORP COMMON STOCK USD1.0
 
 
**
132,257

FIRST COMMUNITY BANCSHARES COMMON STOCK USD1.0
 
 
**
55,608

FIRST CONNECTICUT BANCORP COMMON STOCK USD.01
 
 
**
37,146

FIRST DATA CORP CLASS A COMMON STOCK USD.01
 
 
**
821,317

FIRST DEFIANCE FINL CORP COMMON STOCK USD.01
 
 
**
52,009

FIRST FINANCIAL BANCORP COMMON STOCK
 
 
**
169,135

FIRST FINANCIAL CORP/INDIANA COMMON STOCK
 
 
**
70,330

FIRST FINANCIAL HOLDING CO COMMON STOCK TWD10.
 
 
**
86,443

FIRST FINANCIAL NORTHWEST COMMON STOCK USD.01
 
 
**
30,340

FIRST HORIZON NATIONAL CORP COMMON STOCK USD.625
 
 
**
2,517,998

FIRST INDUSTRIAL REALTY TR REIT USD.01
 
 
**
212,759

FIRST INTERSTATE BANCSYS A COMMON STOCK
 
 
**
82,845

FIRST MERCHANTS CORP COMMON STOCK
 
 
**
157,754

FIRST MIDWEST BANCORP INC/IL COMMON STOCK USD.01
 
 
**
188,771

FIRST NBC BANK HOLDING CO COMMON STOCK
 
 
**
13,469

FIRST POTOMAC REALTY TRUST REIT USD.001
 
 
**
44,977

FIRST QUANTUM MINERALS LTD COMMON STOCK
 
 
**
335,539

FIRST SOLAR INC COMMON STOCK USD.001
 
 
**
300,459

FIRSTCASH INC COMMON STOCK USD.01
 
 
**
148,849

FISERV INC COMMON STOCK USD.01
 
 
**
9,821,972

FIVE PRIME THERAPEUTICS INC COMMON STOCK USD.001
 
 
**
475,494

FIVE STAR QUALITY CARE COMMON STOCK USD.01
 
 
**
12,153

FLAGSHIP CREDIT AUTO TRUST FCAT 2013 2 A 144A
1/15/2019
1.94%
**
4,624

FLAGSTAR BANCORP INC COMMON STOCK USD.01
 
 
**
135,293

FLEETCOR TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
13,837,826

FLEX LTD COMMON STOCK
 
 
**
216,498

FLEXSTEEL INDS COMMON STOCK USD1.0
 
 
**
44,217

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 06/24 3.25
6/1/2024
3.25%
**
127,559

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 12/42 3.8
12/15/2042
3.80%
**
78,670


51
Table of Contents

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

FLUOR CORP COMMON STOCK USD.01
 
 
**
157,928

FLUSHING FINANCIAL CORP COMMON STOCK USD.01
 
 
**
90,374

FMC TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
79,729

FNB CORP COMMON STOCK USD.01
 
 
**
206,947

FNMA POOL 256901 FN 09/37 FIXED 6.5
9/1/2037
6.50%
**
13,930

FNMA POOL 256937 FN 10/37 FIXED 6.5
10/1/2037
6.50%
**
25,946

FNMA POOL 257239 FN 06/28 FIXED 5.5
6/1/2028
5.50%
**
151,210

FNMA POOL 468559 FN 08/21 FIXED 4.01
8/1/2021
4.01%
**
393,446

FNMA POOL 725229 FN 03/34 FIXED VAR
3/1/2034
6.00%
**
170,879

FNMA POOL 888365 FN 04/22 FIXED VAR
4/1/2022
6.00%
**
39,007

FNMA POOL 932850 FN 12/40 FIXED 4
12/1/2040
4.00%
**
355,864

FNMA POOL 968066 FN 10/22 FIXED 6
10/1/2022
6.00%
**
91,001

FNMA POOL AB4698 FN 03/42 FIXED 4
3/1/2042
4.00%
**
359,515

FNMA POOL AB4955 FN 04/42 FIXED 4
4/1/2042
4.00%
**
595,890

FNMA POOL AB8925 FN 04/43 FIXED 3
4/1/2043
3.00%
**
115,239

FNMA POOL AB9615 FN 06/33 FIXED 4
6/1/2033
4.00%
**
271,425

FNMA POOL AC3237 FN 10/39 FIXED 5
10/1/2039
5.00%
**
211,806

FNMA POOL AD0329 FN 09/28 FIXED VAR
9/1/2028
6.50%
**
103,230

FNMA POOL AD0752 FN 01/39 FIXED VAR
1/1/2039
7.00%
**
148,467

FNMA POOL AD0979 FN 10/35 FIXED VAR
10/1/2035
7.50%
**
205,887

FNMA POOL AE1807 FN 10/40 FIXED 4
10/1/2040
4.00%
**
15,737

FNMA POOL AE4456 FN 02/41 FIXED 4
2/1/2041
4.00%
**
131,716

FNMA POOL AE4664 FN 10/40 FIXED 4
10/1/2040
4.00%
**
153,661

FNMA POOL AE6191 FN 11/40 FIXED 4
11/1/2040
4.00%
**
67,581

FNMA POOL AE7314 FN 11/40 FIXED 4
11/1/2040
4.00%
**
3,421

FNMA POOL AE8446 FN 11/40 FIXED 4
11/1/2040
4.00%
**
6,022

FNMA POOL AE9387 FN 12/40 FIXED 4
12/1/2040
4.00%
**
4,453

FNMA POOL AH0864 FN 12/40 FIXED 4
12/1/2040
4.00%
**
25,681

FNMA POOL AH1266 FN 01/41 FIXED 4
1/1/2041
4.00%
**
576,900

FNMA POOL AH2442 FN 01/41 FIXED 4
1/1/2041
4.00%
**
60,544

FNMA POOL AK3107 FN 02/42 FIXED 4
2/1/2042
4.00%
**
270,056

FNMA POOL AL0379 FN 12/36 FIXED VAR
12/1/2036
8.00%
**
247,535

FNMA POOL AL2171 FN 06/42 FIXED VAR
6/1/2042
4.00%
**
540,126

FNMA POOL AL2382 FN 02/42 FIXED VAR
2/1/2042
4.00%
**
1,118,760

FNMA POOL AL5548 FN 05/38 FLOATING VAR
5/1/2038
2.67%
**
587,874

FNMA POOL AM1990 FN 01/23 FIXED 2.33
1/1/2023
2.33%
**
426,555

FNMA POOL AM2674 FN 03/23 FIXED 2.61
3/1/2023
2.61%
**
605,622

FNMA POOL AM2711 FN 03/23 FIXED 2.57
3/1/2023
2.57%
**
426,811

FNMA POOL AM4066 FN 08/23 FIXED 3.59
8/1/2023
3.59%
**
944,839

FNMA POOL AM4764 FN 11/23 FIXED 3.44
11/1/2023
3.44%
**
666,399

FNMA POOL AM5079 FN 01/24 FIXED 3.45
1/1/2024
3.45%
**
718,277

FNMA POOL AM5473 FN 03/24 FIXED 3.76
3/1/2024
3.76%
**
929,361

FNMA POOL AM5612 FN 05/24 FIXED 3.42
5/1/2024
3.42%
**
776,914

FNMA POOL AM7514 FN 02/25 FIXED 3.07
2/1/2025
3.07%
**
900,188

FNMA POOL AO6757 FN 06/42 FIXED 4
6/1/2042
4.00%
**
369,127

FNMA POOL AP0645 FN 07/32 FIXED 3.5
7/1/2032
3.50%
**
128,003

FNMA POOL AP7126 FN 10/27 FIXED 2.5
10/1/2027
2.50%
**
543,751


52
Table of Contents

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

FNMA POOL AQ1534 FN 10/32 FIXED 3.5
10/1/2032
3.50%
**
363,587

FNMA POOL AQ1607 FN 11/32 FIXED 3.5
11/1/2032
3.50%
**
316,160

FNMA POOL AR7961 FN 03/33 FIXED 3.5
3/1/2033
3.50%
**
342,330

FNMA POOL AT3179 FN 05/43 FIXED 3
5/1/2043
3.00%
**
724,950

FNMA POOL AT5907 FN 06/43 FIXED 4
6/1/2043
4.00%
**
1,334,647

FNMA POOL AT5915 FN 06/43 FIXED 4
6/1/2043
4.00%
**
464,956

FNMA POOL AU0317 FN 06/43 FIXED 3
6/1/2043
3.00%
**
257,528

FNMA POOL AU1632 FN 07/43 FIXED 3
7/1/2043
3.00%
**
5,315,945

FNMA POOL MA0006 FN 03/39 FIXED 4
3/1/2039
4.00%
**
22,657

FNMA POOL MA0320 FN 02/30 FIXED 5
2/1/2030
5.00%
**
203,123

FNMA POOL MA1125 FN 07/42 FIXED 4
7/1/2042
4.00%
**
409,191

FNMA POOL MA1177 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
386,912

FNMA POOL MA1213 FN 10/42 FIXED 3.5
10/1/2042
3.50%
**
371,829

FNMA POOL MA1373 FN 03/43 FIXED 3.5
3/1/2043
3.50%
**
856,108

FNMA POOL MA1463 FN 06/43 FIXED 3.5
6/1/2043
3.50%
**
369,203

FNMA POOL MA1508 FN 07/43 FIXED 3.5
7/1/2043
3.50%
**
371,037

FNMA POOL MA1510 FN 07/43 FIXED 4
7/1/2043
4.00%
**
671,439

FNMA POOL MA1546 FN 08/43 FIXED 3.5
8/1/2043
3.50%
**
706,618

FORD CREDIT AUTO LEASE TRUST FORDL 2016 A A2A
11/15/2018
1.42%
**
6,255,427

FORD CREDIT AUTO OWNER TRUST FORDO 2016 B A2A
3/15/2019
1.08%
**
5,921,629

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/19 2.943
1/8/2019
2.94%
**
202,282

FORD MOTOR CREDIT CO LLC SR UNSECURED 02/21 5.75
2/1/2021
5.75%
**
219,316

FORD MOTOR CREDIT CO LLC SR UNSECURED 03/19 2.375
3/12/2019
2.38%
**
359,787

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/19 2.021
5/3/2019
2.02%
**
990,824

FORD MOTOR CREDIT CO LLC SR UNSECURED 06/17 3
6/12/2017
3.00%
**
6,412,109

FORD MOTOR CREDIT CO LLC SR UNSECURED 06/18 VAR
6/15/2018
1.86%
**
200,482

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/17 6.625
8/15/2017
6.63%
**
1,624,752

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/17 VAR
9/8/2017
1.47%
**
300,084

FORESTAR GROUP INC COMMON STOCK USD1.0
 
 
**
61,699

FORMFACTOR INC COMMON STOCK USD.001
 
 
**
3,879,243

FORTESCUE METALS GROUP LTD COMMON STOCK
 
 
**
722,546

FORTINET INC COMMON STOCK USD.001
 
 
**
2,815,166

FORUM ENERGY TECHNOLOGIES IN COMMON STOCK USD.01
 
 
**
1,911,624

FORWARD AIR CORP COMMON STOCK USD.01
 
 
**
18,952

FOSSIL GROUP INC COMMON STOCK USD.01
 
 
**
17,223

FOSTER (LB) CO A COMMON STOCK USD.01
 
 
**
13,940

FOUR CORNERS PROPERTY TRUST REIT USD.0001
 
 
**
655,183

FOXCONN TECHNOLOGY CO LTD COMMON STOCK TWD10.
 
 
**
124,863

FRANCE (GOVT OF) BONDS REGS 05/45 3.25
5/25/2045
3.25%
**
1,016,031

FRANCE (GOVT OF) BONDS REGS 07/24 0.25
7/25/2024
0.25%
**
7,035,479

FRANKLIN COVEY CO COMMON STOCK USD.05
 
 
**
28,915

FRANKLIN ELECTRIC CO INC COMMON STOCK USD.1
 
 
**
179,407

FRANKLIN RESOURCES INC COMMON STOCK USD.1
 
 
**
2,555,839

FRANKLIN STREET PROPERTIES C REIT USD.0001
 
 
**
79,704

FRED S INC CLASS A COMMON STOCK
 
 
**
62,770

FREDDIE MAC FHR 2113 MW
1/15/2029
6.50%
**
206,472

FREDDIE MAC FHR 2175 TH
7/15/2029
6.00%
**
211,729


53
Table of Contents

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

FREDDIE MAC FHR 2338 ZC
7/15/2031
6.50%
**
272,523

FREDDIE MAC FHR 2430 WF
3/15/2032
6.50%
**
96,012

FREDDIE MAC FHR 2595 DC
4/15/2023
5.00%
**
142,079

FREDDIE MAC FHR 2936 SC
3/15/2029
5.40%
**
139,642

FREDDIE MAC FHR 2980 QA
5/15/2035
6.00%
**
135,193

FREDDIE MAC FHR 3005 ED
7/15/2025
5.00%
**
108,666

FREDDIE MAC FHR 3187 Z
7/15/2036
5.00%
**
189,753

FREDDIE MAC FHR 3397 FC
12/15/2037
1.04%
**
23,701

FREDDIE MAC FHR 3648 CY
3/15/2030
4.50%
**
282,639

FREDDIE MAC FHR 3662 PJ
4/15/2040
5.00%
**
246,434

FREDDIE MAC FHR 3677 PB
5/15/2040
4.50%
**
351,027

FREDDIE MAC FHR 4219 JA
8/15/2039
3.50%
**
319,102

FREDDIE MAC FHR 4579 FD
1/15/2038
0.88%
**
946,295

FREDDIE MAC FHR 4579 SD
1/15/2038
1.98%
**
56,095

FREDDIEMAC STRIP FHS 279 35
9/15/2042
3.50%
**
272,618

FREDDIEMAC STRIP FHS 323 300
1/15/2044
3.00%
**
686,728

FREEPORT MCMORAN INC COMPANY GUAR 03/22 3.55
3/1/2022
3.55%
**
93,000

FREIGHTCAR AMERICA INC COMMON STOCK USD.01
 
 
**
15,244

FREMF MORTGAGE TRUST FREMF 2016 K59 B 144A
11/25/2049
3.58%
**
105,097

FRESENIUS SE + CO KGAA COMMON STOCK
 
 
**
464,080

FRESH DEL MONTE PRODUCE INC COMMON STOCK USD.01
 
 
**
341,771

FRONTIER COMMUNICATIONS CORP COMMON STOCK USD.25
 
 
**
363,813

FRP HOLDINGS INC COMMON STOCK USD.1
 
 
**
34,759

FRUTAROM COMMON STOCK ILS1.
 
 
**
783,555

FSMIH17AS TRS CHF P E SMH7 INDEX
 
 
**
(11,387,513
)
FSMIH17AS TRS CHF R F .00000 FSMIH17_SW/20170317
3/17/2017
 
**
11,473,175

FTD COS INC COMMON STOCK USD.0001
 
 
**
62,413

FTI CONSULTING INC COMMON STOCK USD.01
 
 
**
2,421,382

FUBON FINANCIAL HOLDING CO COMMON STOCK TWD10.
 
 
**
216,792

FUJI HEAVY INDUSTRIES LTD COMMON STOCK
 
 
**
445,962

FUJIFILM HOLDINGS CORP COMMON STOCK
 
 
**
749,085

FUJITSU LTD COMMON STOCK
 
 
**
529,022

FULTON FINANCIAL CORP COMMON STOCK USD2.5
 
 
**
350,714

FUTUREFUEL CORP COMMON STOCK USD.0001
 
 
**
55,558

G III APPAREL GROUP LTD COMMON STOCK USD.01
 
 
**
3,248,053

GAIA INC COMMON STOCK USD.0001
 
 
**
9,844

GAIL INDIA LTD COMMON STOCK INR10.
 
 
**
87,149

GAIN CAPITAL HOLDINGS INC COMMON STOCK USD.00001
 
 
**
24,280

GALENICA AG REG COMMON STOCK CHF.1
 
 
**
114,182

GAMESTOP CORP CLASS A COMMON STOCK USD.001
 
 
**
274,450

GAMING AND LEISURE PROPERTIE REIT
 
 
**
125,542

GANNETT CO INC COMMON STOCK USD.01
 
 
**
99,994

GARMIN LTD COMMON STOCK CHF10.0
 
 
**
17,212,204

GARTNER INC COMMON STOCK USD.0005
 
 
**
3,638,520

GASLOG LTD COMMON STOCK USD.01
 
 
**
108,917

GATX CORP COMMON STOCK USD.625
 
 
**
149,393

GAZPROM PAO SPON ADR ADR
 
 
**
432,729


54
Table of Contents

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

GE CAPITAL INTL FUNDING COMPANY GUAR 11/20 2.342
11/15/2020
2.34%
**
249,881

GE CAPITAL INTL FUNDING COMPANY GUAR 11/35 4.418
11/15/2035
4.42%
**
221,108

GEELY AUTOMOBILE HOLDINGS LT COMMON STOCK HKD.02
 
 
**
396,632

GENERAL CABLE CORP COMMON STOCK USD.01
 
 
**
62,484

GENERAL COMMUNICATION INC A COMMON STOCK
 
 
**
47,186

GENERAL ELECTRIC CO SR SECURED 12/19 2.1
12/11/2019
2.10%
**
77,563

GENERAL ELECTRIC CO SR UNSECURED 01/38 5.875
1/14/2038
5.88%
**
201,365

GENERAL ELECTRIC CO SR UNSECURED 03/32 6.75
3/15/2032
6.75%
**
82,530

GENERAL ELECTRIC CO SR UNSECURED 09/17 5.625
9/15/2017
5.63%
**
283,455

GENERAL ELECTRIC CO SR UNSECURED 09/20 4.375
9/16/2020
4.38%
**
97,811

GENERAL ELECTRIC CO SUBORDINATED 02/21 5.3
2/11/2021
5.30%
**
221,812

GENERAL MILLS INC COMMON STOCK USD.1
 
 
**
4,820,654

GENERAL MILLS INC SR UNSECURED 12/21 3.15
12/15/2021
3.15%
**
76,607

GENERAL MOTORS CO COMMON STOCK USD.01
 
 
**
5,459,428

GENERAL MOTORS FINL CO COMPANY GUAR 07/21 3.2
7/6/2021
3.20%
**
396,663

GENERAL MOTORS FINL CO COMPANY GUAR 09/17 3
9/25/2017
3.00%
**
403,756

GENERAL MOTORS FINL CO COMPANY GUAR 10/19 VAR
10/4/2019
2.13%
**
401,765

GENERAL MOTORS FINL CO COMPANY GUAR 10/26 4
10/6/2026
4.00%
**
60,576

GENERALITAT DE CATALUNYA SR UNSECURED 02/20 4.95
2/11/2020
4.95%
**
2,138,461

GENERALITAT DE CATALUNYA SR UNSECURED 06/18 4.75
6/4/2018
4.75%
**
412,340

GENERALITAT DE CATALUNYA SR UNSECURED 09/21 4.9
9/15/2021
4.90%
**
112,639

GENERALITAT DE VALENCIA SR UNSECURED 09/17 VAR
9/3/2017
2.06%
**
212,001

GENESCO INC COMMON STOCK USD1.0
 
 
**
1,863,435

GENESEE + WYOMING INC CL A COMMON STOCK USD.01
 
 
**
5,126,831

GENPACT LTD COMMON STOCK USD.01
 
 
**
8,165,291

GENTEX CORP COMMON STOCK USD.06
 
 
**
148,423

GENTING BHD COMMON STOCK MYR.1
 
 
**
72,760

GENTING HONG KONG LTD COMMON STOCK USD.1
 
 
**
234,150

GENTING MALAYSIA BHD COMMON STOCK MYR.1
 
 
**
48,802

GENTING SINGAPORE PLC COMMON STOCK USD.1
 
 
**
175,400

GENWORTH FINANCIAL INC CL A COMMON STOCK USD.001
 
 
**
79,538

GEOSPACE TECHNOLOGIES CORP COMMON STOCK USD.01
 
 
**
18,772

GERDAU SA PREF PREFERENCE
 
 
**
33,515

GERMAN AMERICAN BANCORP COMMON STOCK
 
 
**
70,077

GETTY REALTY CORP REIT USD.01
 
 
**
47,284

GFK SE COMMON STOCK
 
 
**
23,246

GIBRALTAR INDUSTRIES INC COMMON STOCK USD.01
 
 
**
821,671

GILEAD SCIENCES INC COMMON STOCK USD.001
 
 
**
4,121,872

GILEAD SCIENCES INC SR UNSECURED 12/21 4.4
12/1/2021
4.40%
**
10,758

GLACIER BANCORP INC COMMON STOCK USD.01
 
 
**
3,371,890

GLADSTONE COMMERCIAL CORP REIT USD.001
 
 
**
24,723

GLATFELTER COMMON STOCK USD.01
 
 
**
102,846

GLAUKOS CORP COMMON STOCK USD.001
 
 
**
1,665,882

GLAXOSMITHKLINE PLC COMMON STOCK GBP.25
 
 
**
1,893,181

GLAXOSMITHKLINE PLC SPON ADR ADR
 
 
**
3,827,894

GLENCORE PLC COMMON STOCK USD.01
 
 
**
1,097,013

GLOBAL ALL CAP FUND
 
 
**
(360
)

55
Table of Contents

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

GLOBAL ALL CAP FUND WELLINGTON
 
 
**
298,821,157

GLOBAL BRANDS GROUP HOLDING
 
 
**
(2,935
)
GLOBAL BRANDS GROUP HOLDING COMMON STOCK HKD.0125
 
 
**
913,737

GLOBAL EAGLE ENTERTAINMENT I COMMON STOCK USD.0001
 
 
**
32,494

GLOBAL INDEMNITY LTD COMMON STOCK USD.0001
 
 
**
50,896

GLOBAL LOGISTIC PROPERTIES L COMMON STOCK
 
 
**
52,689

GLOBAL PAYMENTS INC
 
 
**
255,455

GLOBAL PAYMENTS INC COMMON STOCK
 
 
**
29,904,466

GLOBAL POWER EQUIPMENT GROUP COMMON STOCK USD.01
 
 
**
7,255

GLOBE TELECOM INC COMMON STOCK PHP50.
 
 
**
45,380

GMAT TRUST GMAT 2013 1A A 144A
11/25/2043
6.97%
**
39,265

GMO INTERNET INC COMMON STOCK
 
 
**
514,929

GNC HOLDINGS INC CL A COMMON STOCK USD.001
 
 
**
19,618

GNMA POOL 783867 GN 08/36 FIXED 6
8/15/2036
6.00%
**
965,190

GO FINANCIAL AUTO SECURITIZATI GFAST 2015 2 A 144A
11/15/2018
3.27%
**
178,506

GODADDY INC CLASS A COMMON STOCK USD.001
 
 
**
3,834,190

GODREJ CONSUMER PRODUCTS LTD COMMON STOCK INR1.
 
 
**
43,455

GOLD RESOURCE CORP COMMON STOCK USD.001
 
 
**
22,737

GOLDCREST CO LTD COMMON STOCK
 
 
**
151,818

GOLDEN OCEAN GROUP LTD COMMON STOCK USD.05
 
 
**
5,021

GOLDMAN SACHS GROUP INC COMMON STOCK USD.01
 
 
**
24,141,588

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 5.95
1/18/2018
5.95%
**
354,192

GOLDMAN SACHS GROUP INC SR UNSECURED 01/19 2.625
1/31/2019
2.63%
**
107,140

GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75
1/24/2022
5.75%
**
786,951

GOLDMAN SACHS GROUP INC SR UNSECURED 02/19 7.5
2/15/2019
7.50%
**
75,384

GOLDMAN SACHS GROUP INC SR UNSECURED 02/21 2.875
2/25/2021
2.88%
**
160,740

GOLDMAN SACHS GROUP INC SR UNSECURED 06/17 VAR
6/4/2017
1.57%
**
801,275

GOLDMAN SACHS GROUP INC SR UNSECURED 09/20 VAR
9/15/2020
2.16%
**
403,729

GOLDMAN SACHS GROUP INC SR UNSECURED 10/27 VAR
10/28/2027
2.64%
**
203,879

GOLDMAN SACHS GROUP INC SR UNSECURED 11/18 VAR
11/15/2018
2.01%
**
605,704

GOLDMAN SACHS GROUP INC SUBORDINATED 05/36 6.45
5/1/2036
6.45%
**
196,642

GOLDMAN SACHS GROUP INC SUBORDINATED 10/37 6.75
10/1/2037
6.75%
**
197,576

GOODMAN GROUP REIT
 
 
**
125,276

GOODYEAR TIRE + RUBBER CO COMMON STOCK
 
 
**
33,587

GOVERNMENT NATIONAL MORTGAGE A GNR 2004 19 KE
3/16/2034
5.00%
**
385,331

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 35 TE
6/20/2037
6.00%
**
91,752

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 70 PE
11/20/2037
5.50%
**
141,301

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H04 BA
2/20/2063
1.65%
**
316,560

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H05 FB
2/20/2062
0.93%
**
239,631

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H11 FC
5/20/2065
1.08%
**
2,380,151

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FA
6/20/2065
1.10%
**
3,666,428

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FB
8/20/2065
1.13%
**
575,970

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H32 FH
12/20/2065
1.19%
**
381,163

GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FM
2/20/2066
1.30%
**
746,210

GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H10 FJ
4/20/2066
1.04%
**
97,126



56
Table of Contents

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

GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H26 FC
12/20/2066
1.60%
**
125,820

GOVERNMENT PROPERTIES INCOME REIT USD.01
 
 
**
55,574

GP STRATEGIES CORP COMMON STOCK USD.01
 
 
**
49,821

GPT GROUP REIT NPV
 
 
**
74,848

GRACO INC COMMON STOCK USD1.0
 
 
**
2,243,430

GRAHAM HOLDINGS CO CLASS B COMMON STOCK USD1.0
 
 
**
262,118

GRAND CANYON EDUCATION INC COMMON STOCK USD.01
 
 
**
2,381,545

GRAND CITY PROPERTIES COMMON STOCK EUR.1
 
 
**
499,228

GRANITE CONSTRUCTION INC COMMON STOCK USD.01
 
 
**
1,312,300

GRAY TELEVISION INC COMMON STOCK
 
 
**
63,256

GREAT HALL MORTGAGES PLC GHM 2006 1 A2B REGS
6/18/2038
0.02%
**
779,466

GREAT HALL MORTGAGES PLC GHM 2007 1 A2B REGS
3/18/2039
0.09%
**
714,013

GREAT HALL MORTGAGES PLC GHM 2007 2A AC 144A
6/18/2039
1.12%
**
911,575

GREAT LAKES DREDGE + DOCK CO COMMON STOCK USD.0001
 
 
**
25,830

GREAT SOUTHERN BANCORP INC COMMON STOCK USD.01
 
 
**
72,794

GREAT WALL MOTOR COMPANY H COMMON STOCK CNY1.0
 
 
**
123,263

GREAT WEST LIFECO INC COMMON STOCK
 
 
**
112,771

GREAT WESTERN BANCORP INC COMMON STOCK USD.01
 
 
**
72,447

GREEN BANCORP INC COMMON STOCK USD.01
 
 
**
10,974

GREEN BRICK PARTNERS INC COMMON STOCK USD.01
 
 
**
44,019

GREEN DOT CORP CLASS A COMMON STOCK USD.001
 
 
**
105,174

GREEN PLAINS INC COMMON STOCK USD.001
 
 
**
54,502

GREENLIGHT CAPITAL RE LTD A COMMON STOCK USD.01
 
 
**
70,110

GREIF INC CL A COMMON STOCK
 
 
**
115,704

GREIF INC CL B COMMON STOCK
 
 
**
110,782

GROUP 1 AUTOMOTIVE INC COMMON STOCK USD.01
 
 
**
183,705

GROUPE BRUXELLES LAMBERT SA COMMON STOCK
 
 
**
84,001

GROWTHPOINT PROPERTIES LTD REIT
 
 
**
124,100

GRUBHUB INC COMMON STOCK USD.0001
 
 
**
2,693,065

GRUMA S.A.B. B COMMON STOCK
 
 
**
624,507

GRUPO BIMBO SAB SERIES A COMMON STOCK
 
 
**
49,152

GRUPO FINANCIERO BANORTE O COMMON STOCK MXN3.5
 
 
**
202,203

GRUPO MEXICO SAB DE CV SER B COMMON STOCK
 
 
**
440,997

GRUPO TELEVISA SA SPON ADR ADR
 
 
**
2,947,161

GS MORTGAGE SECURITIES TRUST GSMS 2007 GG10 A4
8/10/2045
5.99%
**
83,474

GS MORTGAGE SECURITIES TRUST GSMS 2010 C2 A1 144A
12/10/2043
3.85%
**
11,821

GS MORTGAGE SECURITIES TRUST GSMS 2011 GC5 D 144A
8/10/2044
5.40%
**
556,318

GSI TECHNOLOGY INC COMMON STOCK USD.001
 
 
**
13,535

GUARANTY BANCORP COMMON STOCK USD.001
 
 
**
52,078

GUDANG GARAM TBK PT COMMON STOCK IDR500.
 
 
**
243,316

GUESS? INC COMMON STOCK USD.01
 
 
**
91,779

GUJARAT STATE PETRONET LTD COMMON STOCK INR10.
 
 
**
508,774

GULF ISLAND FABRICATION INC COMMON STOCK
 
 
**
18,290

H.B. FULLER CO. COMMON STOCK USD1.0
 
 
**
218,216

H+E EQUIPMENT SERVICES INC COMMON STOCK USD.01
 
 
**
12,857

H+R REAL ESTATE INV REIT UTS REIT
 
 
**
71,728

HACKETT GROUP INC/THE COMMON STOCK USD.001
 
 
**
23,329


57
Table of Contents

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

HAEMONETICS CORP/MASS COMMON STOCK USD.01
 
 
**
178,568

HAITONG INTERNATIONAL SECURI COMMON STOCK HKD.1
 
 
**
289,276

HALLADOR ENERGY CO COMMON STOCK USD.01
 
 
**
12,626

HALLIBURTON CO COMMON STOCK USD2.5
 
 
**
7,796,965

HALLIBURTON COMPANY SR UNSECURED 08/23 3.5
8/1/2023
3.50%
**
116,772

HALLMARK FINL SERVICES INC COMMON STOCK USD.18
 
 
**
22,644

HALYARD HEALTH INC COMMON STOCK USD.01
 
 
**
209,159

HAMMERSON PLC REIT GBP.25
 
 
**
82,046

HANA FINANCIAL GROUP COMMON STOCK KRW5000.
 
 
**
168,618

HANCOCK HOLDING CO COMMON STOCK USD3.33
 
 
**
3,394,987

HANESBRANDS INC COMMON STOCK USD.01
 
 
**
1,703,965

HANGER INC COMMON STOCK USD.01
 
 
**
27,104

HANMI FINANCIAL CORPORATION COMMON STOCK USD.001
 
 
**
110,877

HANNOVER RUECK SE COMMON STOCK
 
 
**
918,171

HANON SYSTEMS COMMON STOCK KRW100.0
 
 
**
561,255

HANOVER INSURANCE GROUP INC/ COMMON STOCK USD.01
 
 
**
2,985,765

HANWHA CHEMICAL CORP COMMON STOCK KRW5000.
 
 
**
302,298

HANWHA CORPORATION COMMON STOCK KRW5000.0
 
 
**
249,831

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A
6/20/2035
1.08%
**
833,398

HARDINGE INC COMMON STOCK USD.01
 
 
**
12,487

HARLEY DAVIDSON INC COMMON STOCK USD.01
 
 
**
3,537,096

HARMAN INTERNATIONAL COMMON STOCK USD.01
 
 
**
1,749,658

HARMONIC INC COMMON STOCK USD.001
 
 
**
46,635

HARTE HANKS INC COMMON STOCK USD1.0
 
 
**
8,667

HARTFORD FINANCIAL SVCS GRP COMMON STOCK USD.01
 
 
**
2,696,990

HARVARD BIOSCIENCE INC COMMON STOCK USD.01
 
 
**
10,004

HARVEY NORMAN HOLDINGS LTD COMMON STOCK
 
 
**
59,330

HAULOTTE GROUP COMMON STOCK EUR.13
 
 
**
335,272

HAVERTY FURNITURE COMMON STOCK USD1.0
 
 
**
41,285

HAWAIIAN HOLDINGS INC COMMON STOCK USD.01
 
 
**
73,929

HAWAIIAN TELCOM HOLDCO INC COMMON STOCK USD.01
 
 
**
27,927

HAWKINS INC COMMON STOCK USD.05
 
 
**
55,299

HAYNES INTERNATIONAL INC COMMON STOCK USD.001
 
 
**
26,353

HC2 HOLDINGS INC COMMON STOCK USD.001
 
 
**
12,109

HCA HOLDINGS INC COMMON STOCK USD.01
 
 
**
6,455,506

HCF17A TRS HKD P F .00000 HCF17_SW 2017-01-26
1/26/2017
 
**
(1,897,782
)
HCF17A TRS HKD R E HCF7 INDEX
 
 
**
1,937,380

HCF17I TRS HKD P F .00000 HCF17_SW/20170126
1/26/2017
 
**
(3,769,028
)
HCF17I TRS HKD R E HCF7 INDEX
 
 
**
3,874,761

HCI GROUP INC COMMON STOCK
 
 
**
12,752

HCL TECHNOLOGIES LTD COMMON STOCK INR2.0
 
 
**
187,910

HCP INC SR UNSECURED 08/24 3.875
8/15/2024
3.88%
**
88,956

HCP INC SR UNSECURED 11/23 4.25
11/15/2023
4.25%
**
153,006

HEALTHCARE REALTY TRUST INC REIT USD.01
 
 
**
198,899

HEALTHCARE TRUST OF AME CL A REIT USD.01
 
 
**
204,381

HEALTHSOUTH CORP COMMON STOCK USD.01
 
 
**
6,589,781

HEALTHSTREAM INC COMMON STOCK
 
 
**
54,108


58
Table of Contents

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

HEARTLAND FINANCIAL USA INC COMMON STOCK USD1.0
 
 
**
93,456

HECLA MINING CO COMMON STOCK USD.25
 
 
**
243,629

HEIDELBERGCEMENT AG COMMON STOCK
 
 
**
567,532

HEIDRICK + STRUGGLES INTL COMMON STOCK USD.01
 
 
**
44,557

HEINEKEN NV COMMON STOCK EUR1.6
 
 
**
563,335

HEINEKEN NV SR UNSECURED 144A 04/22 3.4
4/1/2022
3.40%
**
41,086

HEINEKEN NV SR UNSECURED 144A 10/17 1.4
10/1/2017
1.40%
**
8,429,396

HELEN OF TROY LTD COMMON STOCK USD.1
 
 
**
70,347

HELIX ENERGY SOLUTIONS GROUP COMMON STOCK
 
 
**
1,397,855

HELLENIC RAILWAY ORG GOVT GUARANT REGS 12/17 5.014
12/27/2017
5.01%
**
204,885

HELLENIC REPUBLIC BONDS REGS 02/23 VAR
2/24/2023
3.00%
**
2,579

HELLENIC REPUBLIC BONDS REGS 02/25 VAR
2/24/2025
3.00%
**
2,478

HELLENIC REPUBLIC BONDS REGS 02/26 VAR
2/24/2026
3.00%
**
7,367

HELLENIC REPUBLIC BONDS REGS 02/29 VAR
2/24/2029
3.00%
**
11,290

HELLENIC REPUBLIC BONDS REGS 02/30 VAR
2/24/2030
3.00%
**
9,585

HELLENIC REPUBLIC BONDS REGS 02/31 VAR
2/24/2031
3.00%
**
10,162

HELLENIC REPUBLIC BONDS REGS 02/32 VAR
2/24/2032
3.00%
**
8,555

HELLENIC REPUBLIC BONDS REGS 02/33 VAR
2/24/2033
3.00%
**
6,290

HELLENIC REPUBLIC BONDS REGS 02/34 VAR
2/24/2034
3.00%
**
4,803

HELLENIC REPUBLIC BONDS REGS 02/37 VAR
2/24/2037
3.00%
**
9,229

HELLENIC REPUBLIC BONDS REGS 02/38 VAR
2/24/2038
3.00%
**
9,179

HELLENIC REPUBLIC BONDS REGS 02/40 VAR
2/24/2040
3.00%
**
1,963

HELLENIC REPUBLIC BONDS REGS 02/41 VAR
2/24/2041
3.00%
**
656

HELLENIC REPUBLIC BONDS REGS 02/42 VAR
2/24/2042
3.00%
**
6,576

HELMERICH + PAYNE
 
 
**
(24,501
)
HELMERICH + PAYNE COMMON STOCK USD.1
 
 
**
2,397,078

HEMISPHERE MEDIA GROUP INC COMMON STOCK USD.0001
 
 
**
13,776

HENNES + MAURITZ AB B SHS COMMON STOCK
 
 
**
3,253,453

HERITAGE COMMERCE CORP COMMON STOCK
 
 
**
36,970

HERITAGE CRYSTAL CLEAN INC COMMON STOCK USD.01
 
 
**
28,967

HERITAGE FINANCIAL CORP COMMON STOCK
 
 
**
79,181

HERMAN MILLER INC COMMON STOCK USD.2
 
 
**
2,085,550

HERMES INTERNATIONAL COMMON STOCK
 
 
**
621,965

HERO FUNDING TRUST HERO 2016 3A A1 144A
9/20/2042
3.08%
**
95,169

HERO MOTOCORP LTD COMMON STOCK INR2.
 
 
**
136,496

HERSHA HOSPITALITY TRUST REIT USD.01
 
 
**
73,810

HESS CORP COMMON STOCK USD1.0
 
 
**
6,770,923

HEWLETT PACKARD ENTERPRIS COMMON STOCK USD.01
 
 
**
26,102,730

HIGHWOODS PROPERTIES INC REIT USD.01
 
 
**
5,058,152

HILL INTERNATIONAL INC COMMON STOCK USD.0001
 
 
**
14,268

HILLENBRAND INC COMMON STOCK
 
 
**
18,063

HILLTOP HOLDINGS INC COMMON STOCK USD.01
 
 
**
286,795

HILTON WORLDWIDE FIN LLC TERM LOAN
10/25/2023
1.00%
**
366,515

HINDALCO INDUSTRIES LTD COMMON STOCK INR1.
 
 
**
165,677

HINDUSTAN PETROLEUM CORP COMMON STOCK INR10.
 
 
**
288,215

HINDUSTAN UNILEVER LTD COMMON STOCK INR1.
 
 
**
134,016

HISTORIC TW INC COMPANY GUAR 02/23 9.15
2/1/2023
9.15%
**
128,245


59
Table of Contents

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

HITACHI CHEMICAL CO LTD COMMON STOCK
 
 
**
746,820

HITACHI CONSTRUCTION MACHINE COMMON STOCK
 
 
**
316,823

HITACHI HIGH TECHNOLOGIES CO COMMON STOCK
 
 
**
1,467,437

HITACHI LTD COMMON STOCK
 
 
**
54,186

HITACHI TRANSPORT SYSTEM LTD COMMON STOCK
 
 
**
457,774

HMS HOLDINGS CORP COMMON STOCK USD.01
 
 
**
79,958

HOCHTIEF AG COMMON STOCK
 
 
**
346,767

HOGY MEDICAL CO LTD COMMON STOCK
 
 
**
352,356

HOLLYFRONTIER CORP COMMON STOCK USD.01
 
 
**
76,003

HOME BANCORP INC COMMON STOCK USD.01
 
 
**
27,683

HOME BANCSHARES INC COMMON STOCK USD.01
 
 
**
3,796,159

HOME DEPOT INC COMMON STOCK USD.05
 
 
**
4,141,731

HOME DEPOT INC SR UNSECURED 06/22 2.625
6/1/2022
2.63%
**
85,410

HOME DEPOT INC SR UNSECURED 09/26 2.125
9/15/2026
2.13%
**
33,207

HOMESTAR MORTGAGE ACCEPTANCE C HMAC 2004 4 A3
9/25/2034
1.69%
**
104,498

HOMESTREET INC COMMON STOCK
 
 
**
60,356

HOMETRUST BANCSHARES INC COMMON STOCK
 
 
**
55,737

HON HAI PRECISION GDR REG S GDR
 
 
**
722,762

HON HAI PRECISION INDUSTRY COMMON STOCK TWD10.
 
 
**
649,666

HONDA AUTO RECEIVABLES OWNER T HAROT 2016 3 A2
10/18/2018
1.01%
**
7,263,213

HONDA MOTOR CO LTD SPONS ADR ADR
 
 
**
519,582

HONEYWELL INTERNATIONAL INC COMMON STOCK USD1.0
 
 
**
26,313,126

HONEYWELL INTERNATIONAL SR UNSECURED 11/26 2.5
11/1/2026
2.50%
**
80,456

HONG KONG EXCHANGES + CLEAR COMMON STOCK HKD1.0
 
 
**
366,251

HOOKER FURNITURE CORP COMMON STOCK
 
 
**
42,770

HOPE BANCORP INC COMMON STOCK USD.001
 
 
**
291,115

HORACE MANN EDUCATORS COMMON STOCK USD.001
 
 
**
175,480

HORIZON BANCORP INDIANA COMMON STOCK
 
 
**
38,724

HORIZON GLOBAL CORP COMMON STOCK USD.01
 
 
**
36,384

HORIZON PHARMA PLC COMMON STOCK USD.0001
 
 
**
106,837

HORNBECK OFFSHORE SERVICES COMMON STOCK USD.01
 
 
**
23,682

HOSPITALITY PROPERTIES TRUST REIT USD.01
 
 
**
322,066

HOST HOTELS + RESORTS LP SR UNSECURED 06/25 4
6/15/2025
4.00%
**
689,444

HOST HOTELS + RESORTS LP SR UNSECURED 10/23 3.75
10/15/2023
3.75%
**
49,086

HOTA INDUSTRIAL MFG CO LTD COMMON STOCK TWD10.
 
 
**
2,621,862

HOUGHTON MIFFLIN HARCOURT CO COMMON STOCK USD.01
 
 
**
61,704

HOUSING DEVELOPMENT FINANCE COMMON STOCK INR2.
 
 
**
3,103,858

HOUSTON WIRE + CABLE CO COMMON STOCK USD.001
 
 
**
11,323

HOYA CORP COMMON STOCK
 
 
**
7,722,188

HP INC COMMON STOCK USD.01
 
 
**
8,412,277

HP INC SR UNSECURED 12/21 4.65
12/9/2021
4.65%
**
169,716

HSBC BANK USA SUBORDINATED 11/34 5.875
11/1/2034
5.88%
**
116,423

HSBC FINANCE CORP SUBORDINATED 01/21 6.676
1/15/2021
6.68%
**
1,011,637

HSBC HOLDINGS PLC COMMON STOCK USD.5
 
 
**
1,344,854

HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR
12/29/2049
6.00%
**
436,160

HSBC HOLDINGS PLC SR UNSECURED 01/22 4.875
1/14/2022
4.88%
**
145,738

HSBC HOLDINGS PLC SR UNSECURED 01/22 VAR
1/5/2022
2.36%
**
203,727


60
Table of Contents

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

HSBC HOLDINGS PLC SR UNSECURED 03/22 4
3/30/2022
4.00%
**
284,446

HSBC HOLDINGS PLC SR UNSECURED 04/21 5.1
4/5/2021
5.10%
**
2,107,377

HSBC USA INC SR UNSECURED 11/17 1.5
11/13/2017
1.50%
**
5,457,358

HSIF17A TRS HKD P F .00000 HSIF17_SW 2017-01-26
1/26/2017
 
**
(1,112,759
)
HSIF17A TRS HKD R E HIF7 INDEX
 
 
**
1,133,062

HSIF17I TRS HKD P F .00000 HSIF17_SW 2017-01-26
1/26/2017
 
**
(832,992
)
HSIF17I TRS HKD R E HIF7 INDEX
 
 
**
849,797

HUA NAN FINANCIAL HOLDINGS C COMMON STOCK TWD10.
 
 
**
28,196

HUB GROUP INC CL A COMMON STOCK USD.01
 
 
**
134,531

HUBBELL INC COMMON STOCK USD.01
 
 
**
2,676,981

HUBSPOT INC COMMON STOCK USD.001
 
 
**
1,190,604

HULIC CO LTD COMMON STOCK
 
 
**
25,834

HUNTINGTON AUTO TRUST HUNT 2016 1 A2
5/15/2019
1.29%
**
8,061,167

HUNTINGTON BANCSHARES INC COMMON STOCK USD.01
 
 
**
375,223

HUNTINGTON BANCSHARES SR UNSECURED 03/21 3.15
3/14/2021
3.15%
**
25,352

HUNTSMAN CORP COMMON STOCK USD.01
 
 
**
202,362

HURCO COMPANIES INC COMMON STOCK
 
 
**
23,733

HURON CONSULTING GROUP INC COMMON STOCK USD.01
 
 
**
1,912,291

HUSKY ENERGY INC COMMON STOCK
 
 
**
311,029

HUSQVARNA AB B SHS COMMON STOCK SEK2.0
 
 
**
96,979

HUTCH WHAMPOA INT 11 LTD COMPANY GUAR 144A 01/17 3.5
1/13/2017
3.50%
**
6,765,307

HUTCH WHAMPOA INT 14 LTD COMPANY GUAR 144A 10/17 1.625
10/31/2017
1.63%
**
2,437,320

HYDRO QUEBEC LOCAL GOVT G 01/22 8.4
1/15/2022
8.40%
**
175,001

HYDRO QUEBEC LOCAL GOVT G 07/24 8.05
7/7/2024
8.05%
**
230,078

HYPERMARCAS SA COMMON STOCK
 
 
**
79,481

HYPROP INVESTMENTS LTD UTS REIT
 
 
**
39,924

HYSAN DEVELOPMENT CO COMMON STOCK
 
 
**
62,007

HYSTER YALE MATERIALS COMMON STOCK USD.01
 
 
**
65,364

HYUNDAI AUTO RECEIVABLES TRUST HART 2015 C A2A
11/15/2018
0.99%
**
1,073,071

HYUNDAI CAPITAL AMERICA COMPANY GUAR 144A 06/17 4
6/8/2017
4.00%
**
4,747,127

HYUNDAI DEVELOPMENT CO ENGIN COMMON STOCK KRW5000.
 
 
**
279,495

HYUNDAI ENGINEERING + CONST COMMON STOCK KRW5000.
 
 
**
220,733

HYUNDAI GLOVIS CO LTD COMMON STOCK KRW500.
 
 
**
181,900

HYUNDAI MOBIS CO LTD COMMON STOCK KRW5000.
 
 
**
198,033

HYUNDAI WIA CORP COMMON STOCK KRW5000.
 
 
**
237,350

IBERDROLA SA COMMON STOCK EUR.75
 
 
**
57,218

IBERIABANK CORP COMMON STOCK USD1.0
 
 
**
3,779,135

IBM CORP SR UNSECURED 06/42 4
6/20/2042
4.00%
**
145,037

IBM CORP SR UNSECURED 11/39 5.6
11/30/2039
5.60%
**
23,161

ICF INTERNATIONAL INC COMMON STOCK USD.001
 
 
**
113,160

ICON PLC COMMON STOCK EUR.06
 
 
**
1,907,072

ICONIX BRAND GROUP INC COMMON STOCK USD.001
 
 
**
43,496

ICU MEDICAL INC COMMON STOCK USD.1
 
 
**
119,796

IDACORP INC COMMON STOCK
 
 
**
2,526,451

IDEMITSU KOSAN CO LTD COMMON STOCK
 
 
**
367,377

IDT CORP CLASS B COMMON STOCK USD.01
 
 
**
20,320

II VI INC COMMON STOCK
 
 
**
1,001,192


61
Table of Contents

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

IIDA GROUP HOLDINGS CO LTD COMMON STOCK
 
 
**
36,115

ILG INC COMMON STOCK USD.01
 
 
**
137,002

ILLINOIS ST ILS 04/35 FIXED 6.725
4/1/2035
6.73%
**
407,728

ILLINOIS TOOL WORKS COMMON STOCK USD.01
 
 
**
4,434,277

ILLINOIS TOOL WORKS INC SR UNSECURED 09/21 3.375
9/15/2021
3.38%
**
78,275

ILLUMINA INC COMMON STOCK USD.01
 
 
**
6,593,292

IMARKETKOREA INC COMMON STOCK KRW500.
 
 
**
250,270

IMAX CORP COMMON STOCK
 
 
**
2,951,600

IMPERIAL BRANDS PLC COMMON STOCK GBP.1
 
 
**
1,019,646

IMPERIAL HOLDINGS LTD COMMON STOCK ZAR.04
 
 
**
225,545

IMPERIAL OIL LTD COMMON STOCK
 
 
**
219,713

IMPERVA INC COMMON STOCK USD.0001
 
 
**
1,498,176

IMPINJ INC COMMON STOCK USD.001
 
 
**
1,718,902

IMPLENIA AG REG COMMON STOCK CHF1.02
 
 
**
632,297

INC RESEARCH HOLDINGS INC A COMMON STOCK USD.01
 
 
**
5,557,348

INCHCAPE PLC COMMON STOCK GBP.1
 
 
**
230,996

INCYTE CORP COMMON STOCK USD.001
 
 
**
11,337,028

IND + COMM BK OF CHINA H COMMON STOCK CNY1.0
 
 
**
870,846

INDEPENDENCE GROUP NL COMMON STOCK
 
 
**
399,213

INDEPENDENCE HOLDING CO COMMON STOCK USD1.0
 
 
**
34,056

INDEPENDENT BANK CORP MICH COMMON STOCK USD1.0
 
 
**
23,935

INDEPENDENT BANK CORP/MA COMMON STOCK USD.01
 
 
**
130,262

INDEPENDENT BANK GROUP INC COMMON STOCK USD.01
 
 
**
89,544

INDIABULLS HOUSING FINANCE L COMMON STOCK INR2.0
 
 
**
87,429

INDIANA MICHIGAN POWER SR UNSECURED 03/23 3.2
3/15/2023
3.20%
**
90,864

INDOFOOD CBP SUKSES MAKMUR T COMMON STOCK IDR50.0
 
 
**
99,991

INDOFOOD SUKSES MAKMUR TBK P COMMON STOCK IDR100.
 
 
**
94,529

INDONESIA GOVERNMENT SR UNSECURED 03/34 8.375
3/15/2034
8.38%
**
3,310,141

INDONESIA GOVERNMENT SR UNSECURED 05/33 6.625
5/15/2033
6.63%
**
112,022

INDONESIA GOVERNMENT SR UNSECURED 06/32 8.25
6/15/2032
8.25%
**
2,864,447

INDUSTRIA DE DISENO TEXTIL COMMON STOCK EUR.03
 
 
**
6,203,106

INDUSTRIAL ALLIANCE INSURANC COMMON STOCK
 
 
**
554,383

INDUSTRIAL BANK OF KOREA COMMON STOCK KRW5000.
 
 
**
25,268

INDUSTRIAL BANK OF KOREA SR UNSECURED 144A 07/17 2.375
7/17/2017
2.38%
**
1,303,654

INDUSTRIAS PENOLES SAB DE CV COMMON STOCK
 
 
**
237,739

INDYMAC RESIDENTIAL ASSET BACK INABS 2005 B M3
8/25/2035
0.94%
**
386,386

INFINEON TECHNOLOGIES AG COMMON STOCK
 
 
**
9,460,653

INFINERA CORP COMMON STOCK USD.001
 
 
**
69,431

INFORMA PLC COMMON STOCK GBP.001
 
 
**
655,103

INFOSYS LTD SP ADR ADR
 
 
**
321,529

INFRASTRUTTURE WIRELESS ITAL COMMON STOCK
 
 
**
244,222

ING (US) FUNDING LLC
8/11/2017
0.01%
**
11,919,979

ING BANK NV COVERED REGS 12/22 2.625
12/5/2022
2.63%
**
4,262,930

ING BANK NV SR UNSECURED 144A 11/18 2
11/26/2018
2.00%
**
1,199,521

ING GROEP NV COMMON STOCK EUR.01
 
 
**
5,894,018

INGENICO GROUP COMMON STOCK EUR1.0
 
 
**
459,817

INGERSOLL RAND PLC COMMON STOCK USD1.0
 
 
**
2,943,219


62
Table of Contents

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

INGEVITY CORP COMMON STOCK USD.01
 
 
**
672,035

INGLES MARKETS INC CLASS A COMMON STOCK USD.05
 
 
**
69,024

INGREDION INC COMMON STOCK USD.01
 
 
**
125,585

INNERWORKINGS INC COMMON STOCK USD.0001
 
 
**
52,501

INNOPHOS HOLDINGS INC COMMON STOCK USD.001
 
 
**
112,464

INNOSPEC INC COMMON STOCK USD.01
 
 
**
161,455

INPHI CORP COMMON STOCK
 
 
**
4,180,180

INSIGHT ENTERPRISES INC COMMON STOCK USD.01
 
 
**
149,224

INSTEEL INDUSTRIES INC COMMON STOCK
 
 
**
65,756

INTEGER HOLDINGS CORP COMMON STOCK USD.001
 
 
**
1,875,671

INTEGRA LIFESCIENCES HOLDING COMMON STOCK USD.01
 
 
**
48,128

INTEL CORP COMMON STOCK USD.001
 
 
**
21,541,587

INTEL CORP SR UNSECURED 07/22 3.1
7/29/2022
3.10%
**
30,850

INTEL CORP SR UNSECURED 07/25 3.7
7/29/2025
3.70%
**
88,599

INTEL CORP SR UNSECURED 10/21 3.3
10/1/2021
3.30%
**
31,175

INTER PARFUMS INC COMMON STOCK USD.001
 
 
**
1,557,263

INTERACTIVE BROKERS GRO CL A COMMON STOCK USD.01
 
 
**
39,759

INTERCONTINENTAL EXCHANGE IN COMMON STOCK USD.01
 
 
**
35,415,962

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/23 4
10/15/2023
4.00%
**
65,017

INTERFACE INC
 
 
**
62,151

INTERFACE INC COMMON STOCK USD.1
 
 
**
2,473,476

INTERNAP CORP COMMON STOCK USD.001
 
 
**
7,284

INTERNATIONAL BANCSHARES CRP COMMON STOCK USD1.0
 
 
**
271,810

INTERNATIONAL GAME TECHNOLOG COMMON STOCK USD.1
 
 
**
348,501

INTERNATIONAL PAPER CO COMMON STOCK USD1.0
 
 
**
4,584,384

INTERNATIONAL PAPER CO SR UNSECURED 02/27 3
2/15/2027
3.00%
**
471,719

INTERNET INITIATIVE JAPAN COMMON STOCK
 
 
**
464,310

INTERPUBLIC GROUP OF COS INC COMMON STOCK USD.1
 
 
**
1,904,380

INTERPUMP GROUP SPA COMMON STOCK EUR.52
 
 
**
364,602

INTERSIL CORP A COMMON STOCK USD.01
 
 
**
1,926,854

INTESA SANPAOLO SPA COMPANY GUAR 01/17 2.375
1/13/2017
2.38%
**
400,055

INTESA SANPAOLO SPA SUBORDINATED 144A 01/26 5.71
1/15/2026
5.71%
**
1,145,135

INTESA SANPAOLO SPA SUBORDINATED 144A 06/24 5.017
6/26/2024
5.02%
**
462,093

INTL BUSINESS MACHINES CORP COMMON STOCK USD.2
 
 
**
3,490,272

INTL FCSTONE INC COMMON STOCK USD.01
 
 
**
68,983

INTL LEASE FINANCE CORP SR UNSECURED 03/17 8.75
3/15/2017
8.75%
**
101,375

INTL LEASE FINANCE CORP SR UNSECURED 05/19 6.25
5/15/2019
6.25%
**
215,000

INTL SPEEDWAY CORP CL A COMMON STOCK USD.01
 
 
**
98,072

INTRA CELLULAR THERAPIES INC COMMON STOCK USD.0001
 
 
**
961,293

INTRALINKS HOLDINGS INC COMMON STOCK USD.001
 
 
**
2,052,863

INTREPID POTASH INC COMMON STOCK USD.001
 
 
**
14,071

INTUIT INC COMMON STOCK USD.01
 
 
**
32,661,099

INTUIT INC SR UNSECURED 03/17 5.75
3/15/2017
5.75%
**
65,577

INVACARE CORP COMMON STOCK USD.25
 
 
**
41,460

INVENTEC CO LTD COMMON STOCK TWD10.
 
 
**
115,201

INVESTEC LTD COMMON STOCK ZAR.0002
 
 
**
39,538

INVESTEC PLC COMMON STOCK GBP.0002
 
 
**
673,832


63
Table of Contents

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

INVESTMENT TECHNOLOGY GROUP COMMON STOCK USD.01
 
 
**
68,794

INVESTOR AB B SHS COMMON STOCK SEK6.25
 
 
**
170,239

INVESTORS BANCORP INC COMMON STOCK USD.01
 
 
**
351,303

INVESTORS REAL ESTATE TRUST REIT
 
 
**
54,808

INVESTORS TITLE CO COMMON STOCK
 
 
**
32,427

INVINCIBLE INVESTMENT CORP REIT
 
 
**
329,389

ION GEOPHYSICAL CORP COMMON STOCK
 
 
**
4,386

IPALCO ENTERPRISES INC SR SECURED 07/20 3.45
7/15/2020
3.45%
**
1,017,500

IPG PHOTONICS CORP COMMON STOCK USD.0001
 
 
**
1,174,649

IPSOS COMMON STOCK EUR.25
 
 
**
254,980

IRIDIUM COMMUNICATIONS INC COMMON STOCK USD.001
 
 
**
89,539

IROBOT CORP COMMON STOCK USD.01
 
 
**
1,058,296

IRONWOOD PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
1,981,767

ISS A/S COMMON STOCK DKK1.0
 
 
**
477,304

ITAU UNIBANCO H SPON PRF ADR ADR
 
 
**
567,857

ITAUSA INVESTIMENTOS ITAU PR PREFERENCE
 
 
**
538,468

ITC LTD COMMON STOCK INR1.
 
 
**
89,760

ITOCHU CORP COMMON STOCK
 
 
**
263,468

ITRON INC COMMON STOCK
 
 
**
2,823,033

ITT INC COMMON STOCK USD1.0
 
 
**
2,455,520

IWG PLC COMMON STOCK
 
 
**
713,417

IXIA COMMON STOCK
 
 
**
72,128

IXYS CORPORATION COMMON STOCK USD.01
 
 
**
59,214

J + J SNACK FOODS CORP COMMON STOCK
 
 
**
3,952,197

J ALEXANDER S HOLDINGS COMMON STOCK USD.001
 
 
**
13,276

J P MORGAN MBS FUND COMMINGLED J P MORGAN MBS FUND COMMINGLED
 
 
**
37,175,368

J.C. PENNEY CO INC COMMON STOCK USD.5
 
 
**
242,336

J2 GLOBAL INC COMMON STOCK USD.01
 
 
**
12,943,132

JABIL CIRCUIT INC COMMON STOCK USD.001
 
 
**
441,564

JACK HENRY + ASSOCIATES INC COMMON STOCK USD.01
 
 
**
4,971,680

JACK IN THE BOX INC COMMON STOCK USD.01
 
 
**
1,481,686

JACKSON NATL LIFE GLOBAL SECURED 144A 04/21 2.25
4/29/2021
2.25%
**
49,309

JACKSON NATL LIFE GLOBAL SR SECURED 144A 10/17 VAR
10/13/2017
1.46%
**
11,577,564

JACOBS ENGINEERING GROUP INC COMMON STOCK USD1.0
 
 
**
3,644,751

JAPAN (2 YEAR ISSUE) SR UNSECURED 12/18 0.1
12/15/2018
0.10%
**
4,052,513

JAPAN (20 YEAR ISSUE) SR UNSECURED 09/34 1.4
9/20/2034
1.40%
**
99,533

JAPAN (30 YEAR ISSUE) SR UNSECURED 09/46 0.5
9/20/2046
0.50%
**
3,080,302

JAPAN FIN ORG MUNICIPAL SR UNSECURED 144A 04/21 2.125
4/13/2021
2.13%
**
1,858,405

JAPAN FIN ORG MUNICIPAL SR UNSECURED 144A 10/23 2.125
10/25/2023
2.13%
**
1,236,669

JAPAN GOVT CPI LINKED SR UNSECURED 03/26 0.1
3/10/2026
0.10%
**
8,291,419

JAPAN PRIME REALTY INVESTMEN REIT
 
 
**
71,068

JAPAN REAL ESTATE INVESTMENT REIT
 
 
**
92,845

JAPAN RETAIL FUND INVESTMENT REIT
 
 
**
66,942

JAPAN TOBACCO INC COMMON STOCK
 
 
**
3,888,987

JAPAN TREASURY DISC BILL BILLS 01/17 0.00000
1/10/2017
0.01%
**
1,286,057

JAPAN TREASURY DISC BILL BILLS 01/17 0.00000
1/16/2017
 
**
6,430,445

JAPAN TREASURY DISC BILL BILLS 01/17 0.00000
1/30/2017
 
**
2,744,137


64
Table of Contents

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

JAPAN TREASURY DISC BILL BILLS 02/17 0.00000
2/6/2017
 
**
12,091,957

JAPAN TREASURY DISC BILL BILLS 02/17 0.00000
2/13/2017
0.01%
**
2,315,613

JAPAN TREASURY DISC BILL BILLS 02/17 0.00000
2/27/2017
 
**
15,096,163

JAPAN TREASURY DISC BILL BILLS 03/17 0.00000
3/6/2017
 
**
7,119,754

JAPAN TREASURY DISC BILL BILLS 03/17 0.00000
3/13/2017
0.01%
**
19,473,286

JAPAN TREASURY DISC BILL BILLS 03/17 0.00000
3/21/2017
 
**
7,378,053

JAPAN TREASURY DISC BILL BILLS 03/17 0.00000
3/21/2017
0.01%
**
943,704

JAPAN TREASURY DISC BILL BILLS 03/17 0.00000
3/27/2017
0.01%
**
85,796

JASTRZEBSKA SPOLKA WEGLOWA S COMMON STOCK PLN5.
 
 
**
279,809

JBS SA COMMON STOCK
 
 
**
255,342

JD.COM INC ADR ADR USD.00002
 
 
**
250,126

JEAN COUTU GROUP INC CLASS A COMMON STOCK
 
 
**
204,356

JEFFERIES GROUP LLC SR UNSECURED 04/18 5.125
4/13/2018
5.13%
**
72,355

JEFFERIES GROUP LLC SR UNSECURED 04/21 6.875
4/15/2021
6.88%
**
79,634

JETBLUE AIRWAYS CORP COMMON STOCK USD.01
 
 
**
180,705

JG SUMMIT HOLDINGS INC COMMON STOCK PHP1.
 
 
**
46,091

JIANGXI COPPER CO LTD H COMMON STOCK CNY1.0
 
 
**
27,911

JM SMUCKER CO/THE COMMON STOCK
 
 
**
2,567,219

JOHN B. SANFILIPPO + SON INC COMMON STOCK USD.01
 
 
**
57,720

JOHN DEERE CAPITAL CORP SR UNSECURED 03/18 1.3
3/12/2018
1.30%
**
174,529

JOHN DEERE CAPITAL CORP SR UNSECURED 10/17 1.2
10/10/2017
1.20%
**
54,964

JOHNSON + JOHNSON COMMON STOCK USD1.0
 
 
**
25,077,415

JOHNSON CONTROLS INTERNATION COMMON STOCK USD.01
 
 
**
19,048,933

JOHNSON CONTROLS INTL PL SR UNSECURED 02/26 3.9
2/14/2026
3.90%
**
39,141

JOHNSON CONTROLS INTL PL SR UNSECURED 11/17 1.4
11/2/2017
1.40%
**
3,730,967

JOHNSON MATTHEY PLC COMMON STOCK GBP1.109245
 
 
**
582,423

JOHNSON OUTDOORS INC A COMMON STOCK USD.05
 
 
**
36,594

JOLLIBEE FOODS CORP COMMON STOCK PHP1.0
 
 
**
276,878

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LDPX A3
1/15/2049
5.42%
**
48,820

JPMCB LIQUIDITY FUND JP MORGAN SHORT TERM EQUITY IN
 
 
**
430,186,802

JPMORGAN CHASE + CO COMMON STOCK USD1.0
 
 
**
34,264,206

JPMORGAN CHASE + CO JR SUBORDINA 12/49 VAR
12/29/2049
5.30%
**
510,280

JPMORGAN CHASE + CO SR UNSECURED 01/20 2.25
1/23/2020
2.25%
**
1,396,704

JPMORGAN CHASE + CO SR UNSECURED 01/22 4.5
1/24/2022
4.50%
**
539,216

JPMORGAN CHASE + CO SR UNSECURED 05/21 4.625
5/10/2021
4.63%
**
1,615,095

JPMORGAN CHASE + CO SR UNSECURED 06/21 2.4
6/7/2021
2.40%
**
1,486,221

JPMORGAN CHASE + CO SR UNSECURED 07/25 3.9
7/15/2025
3.90%
**
1,028,279

JPMORGAN CHASE + CO SR UNSECURED 10/20 2.55
10/29/2020
2.55%
**
2,298,303

JPN BANK FOR INT L COOP GOVT GUARANT 11/21 2
11/4/2021
2.00%
**
975,161

JSW STEEL LTD COMMON STOCK INR10.
 
 
**
129,825

JTEKT CORP COMMON STOCK
 
 
**
429,682

JULIUS BAER GROUP LTD COMMON STOCK CHF.02
 
 
**
2,573,751

JUNGHEINRICH PRFD PREFERENCE
 
 
**
974,709

JUNIPER NETWORKS INC COMMON STOCK USD.00001
 
 
**
7,432,804

JUST EAT PLC COMMON STOCK GBP.01
 
 
**
5,317,061

JYSKE BANK REG COMMON STOCK DKK10.
 
 
**
305,676

K12 INC COMMON STOCK USD.0001
 
 
**
70,442


65
Table of Contents

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

K2M GROUP HOLDINGS INC COMMON STOCK USD.001
 
 
**
747,191

KABU.COM SECURITIES CO LTD COMMON STOCK
 
 
**
382,578

KADANT INC COMMON STOCK USD.01
 
 
**
2,079,698

KAJIMA CORP COMMON STOCK
 
 
**
277,447

KAMAN CORP COMMON STOCK USD1.0
 
 
**
130,398

KANEKA CORP COMMON STOCK
 
 
**
342,813

KANSAS CITY POWER + LT SR UNSECURED 03/23 3.15
3/15/2023
3.15%
**
23,821

KANSAS CITY POWER + LT SR UNSECURED 10/41 5.3
10/1/2041
5.30%
**
69,441

KAPSTONE PAPER AND PACKAGING COMMON STOCK USD.0001
 
 
**
205,660

KAR AUCTION SERVICES INC COMMON STOCK USD.01
 
 
**
3,807,245

KARYOPHARM THERAPEUTICS INC COMMON STOCK USD.0001
 
 
**
16,920

KAZ MINERALS PLC COMMON STOCK GBP.2
 
 
**
274,093

KB FINANCIAL GROUP INC COMMON STOCK KRW5000.
 
 
**
204,149

KB HOME COMMON STOCK USD1.0
 
 
**
139,365

KBC BANK NV SUBORDINATED REGS 01/23 VAR
1/25/2023
8.00%
**
2,319,900

KBC GROEP NV COMMON STOCK
 
 
**
2,796,077

KCG HOLDINGS INC CL A COMMON STOCK USD.01
 
 
**
156,178

KDDI CORP COMMON STOCK
 
 
**
124,333

KEARNY FINANCIAL CORP/MD COMMON STOCK USD.01
 
 
**
116,516

KELLOGG CO SR UNSECURED 12/20 4
12/15/2020
4.00%
**
94,774

KELLY SERVICES INC A COMMON STOCK USD1.0
 
 
**
72,817

KEMET CORP COMMON STOCK USD.01
 
 
**
19,704

KEMPER CORP COMMON STOCK USD.1
 
 
**
231,556

KEPCO PLANT SERVICE + ENGINE COMMON STOCK KRW200.
 
 
**
258,525

KERRY PROPERTIES LTD COMMON STOCK HKD1.0
 
 
**
642,104

KEY TRONIC CORP COMMON STOCK
 
 
**
9,697

KEYCORP COMMON STOCK USD1.0
 
 
**
115,174

KEYCORP SR UNSECURED 03/21 5.1
3/24/2021
5.10%
**
218,707

KEYW HOLDING CORP/THE COMMON STOCK
 
 
**
44,708

KIA MOTORS CORP COMMON STOCK KRW5000.0
 
 
**
169,115

KILROY REALTY CORP REIT USD.01
 
 
**
200,257

KIMBALL ELECTRONICS INC COMMON STOCK
 
 
**
52,998

KIMBALL INTERNATIONAL B COMMON STOCK USD.05
 
 
**
18,789

KINDER MORGAN ENER PART COMPANY GUAR 02/17 6
2/1/2017
6.00%
**
20,061

KINDER MORGAN ENER PART COMPANY GUAR 02/20 6.85
2/15/2020
6.85%
**
891,814

KINDER MORGAN INC COMPANY GUAR 144A 02/21 5
2/15/2021
5.00%
**
532,588

KINDRED HEALTHCARE INC COMMON STOCK USD.25
 
 
**
61,677

KINGBOARD LAMINATES HLDG LTD COMMON STOCK HKD.1
 
 
**
358,732

KINGFISHER PLC COMMON STOCK GBP.157143
 
 
**
755,186

KINGPAK TECHNOLOGY INC COMMON STOCK TWD10.0
 
 
**
2,128,176

KINNEVIK AB B COMMON STOCK SEK.1
 
 
**
67,043

KINROSS GOLD CORP COMMON STOCK
 
 
**
557,437

KINTETSU WORLD EXPRESS INC COMMON STOCK
 
 
**
332,164

KIRBY CORP COMMON STOCK USD.1
 
 
**
349,657

KIRKLAND S INC COMMON STOCK
 
 
**
27,018

KITE REALTY GROUP TRUST REIT USD.01
 
 
**
84,622

KLA TENCOR CORP COMMON STOCK USD.001
 
 
**
5,546,547


66
Table of Contents

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

KLEPIERRE REIT EUR1.4
 
 
**
63,654

KLX INC COMMON STOCK USD.01
 
 
**
219,325

KMG CHEMICALS INC COMMON STOCK USD.01
 
 
**
43,829

KMH17A TRS KRW P F .00000 KMH17_SW 2017-03-09
3/9/2017
 
**
(1,032,834
)
KMH17A TRS KRW R E KMH7 INDEX
 
 
**
1,076,544

KMH17I TRS KRW P F .00000 KMH17_SW 2017-03-09
3/9/2017
 
**
(836,700
)
KMH17I TRS KRW R E KMH7 INDEX
 
 
**
861,235

KNIGHT TRANSPORTATION INC COMMON STOCK USD.01
 
 
**
1,051,816

KNOLL INC COMMON STOCK USD.01
 
 
**
2,081,763

KNOWLES CORP COMMON STOCK USD.01
 
 
**
92,490

KOMATSU LTD COMMON STOCK
 
 
**
74,907

KOMMUNALBANKEN AS SR UNSECURED 144A 06/20 VAR
6/16/2020
1.30%
**
1,301,387

KONAMI HOLDINGS CORP COMMON STOCK
 
 
**
1,238,325

KONICA MINOLTA INC COMMON STOCK
 
 
**
349,390

KONINKLIJKE AHOLD DELHAIZE N COMMON STOCK EUR.01
 
 
**
240,527

KONINKLIJKE DSM NV COMMON STOCK EUR1.5
 
 
**
206,130

KONINKLIJKE PHILIPS NV COMMON STOCK EUR.2
 
 
**
219,742

KONINKLIJKE PHILIPS NV SR UNSECURED 03/22 3.75
3/15/2022
3.75%
**
52,093

KONINKLIJKE PHILIPS NVR NY NY REG SHRS
 
 
**
3,709,425

KOREA ELECTRIC POWER CORP COMMON STOCK KRW5000.
 
 
**
117,328

KOREA LAND + HOUSING COR SR UNSECURED 144A 08/17 1.875
8/2/2017
1.88%
**
299,713

KOREA TREASURY BOND SR UNSECURED 03/17 3.5
3/10/2017
3.50%
**
978,917

KOREA TREASURY BOND SR UNSECURED 06/22 3.75
6/10/2022
3.75%
**
693,828

KOREA TREASURY BOND SR UNSECURED 09/18 5.75
9/10/2018
5.75%
**
975,994

KOREA TREASURY BOND SR UNSECURED 12/31 4
12/10/2031
4.00%
**
271,970

KOREA ZINC CO LTD COMMON STOCK KRW5000.
 
 
**
93,600

KORN/FERRY INTERNATIONAL COMMON STOCK USD.01
 
 
**
141,764

KOSMOS ENERGY LTD COMMON STOCK USD.01
 
 
**
131,445

KRAFT HEINZ FOODS CO COMPANY GUAR 02/20 5.375
2/10/2020
5.38%
**
17,330

KRAFT HEINZ FOODS CO COMPANY GUAR 06/22 3.5
6/6/2022
3.50%
**
25,424

KRAFT HEINZ FOODS CO COMPANY GUAR 06/42 5
6/4/2042
5.00%
**
76,795

KRATON CORP COMMON STOCK USD.01
 
 
**
75,757

KRATOS DEFENSE + SECURITY COMMON STOCK USD.001
 
 
**
28,823

KROGER CO COMPANY GUAR 04/31 7.5
4/1/2031
7.50%
**
67,326

KROGER CO SR UNSECURED 01/21 3.3
1/15/2021
3.30%
**
82,202

KROGER CO SR UNSECURED 02/24 4
2/1/2024
4.00%
**
142,961

KRONOS WORLDWIDE INC COMMON STOCK USD.01
 
 
**
74,649

KRUNG THAI BANK NVDR NVDR THB5.15
 
 
**
51,898

KT CORP SP ADR ADR
 
 
**
118,652

KT+G CORP COMMON STOCK KRW5000.
 
 
**
112,808

KUALA LUMPUR KEPONG BHD COMMON STOCK MYR1.
 
 
**
24,610

KUBOTA CORP COMMON STOCK
 
 
**
2,190,143

KUEHNE + NAGEL INTL AG REG COMMON STOCK CHF1.0
 
 
**
1,207,937

KULICKE + SOFFA INDUSTRIES COMMON STOCK
 
 
**
122,608

KURARAY CO LTD COMMON STOCK
 
 
**
64,739

KYOCERA CORP COMMON STOCK
 
 
**
3,278,858

KYUSHU FINANCIAL GROUP INC COMMON STOCK
 
 
**
58,471


67
Table of Contents

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

L BRANDS INC COMMON STOCK USD.5
 
 
**
14,453,065

L OREAL COMMON STOCK EUR.2
 
 
**
2,655,799

LA QUINTA HOLDINGS INC COMMON STOCK USD.01
 
 
**
34,388

LA Z BOY INC COMMON STOCK USD1.0
 
 
**
136,837

LAB CORP OF AMER HLDGS SR UNSECURED 08/17 2.2
8/23/2017
2.20%
**
45,210

LAB CORP OF AMER HLDGS SR UNSECURED 11/18 2.5
11/1/2018
2.50%
**
40,353

LABORATORY CORP OF AMER SR UNSECURED 02/22 3.2
2/1/2022
3.20%
**
47,390

LABORATORY CRP OF AMER HLDGS COMMON STOCK USD.1
 
 
**
14,180,855

LADENBURG THALMANN FINANCIAL COMMON STOCK USD.0001
 
 
**
18,298

LAGARDERE SCA COMMON STOCK EUR6.1
 
 
**
591,408

LAKE SUNAPEE BANK GROUP COMMON STOCK USD.01
 
 
**
19,344

LAKELAND BANCORP INC COMMON STOCK
 
 
**
75,953

LAKELAND FINANCIAL CORP COMMON STOCK
 
 
**
116,506

LAM RESEARCH CORP COMMON STOCK USD.001
 
 
**
13,113,269

LAND MARK OPTOELECTRONICS COMMON STOCK TWD10.0
 
 
**
3,086,635

LAND SECURITIES GROUP PLC REIT GBP.1
 
 
**
165,335

LANDEC CORP COMMON STOCK USD.001
 
 
**
38,185

LANDWIRTSCH. RENTENBANK GOVT GUARANT 01/23 4.25
1/24/2023
4.25%
**
229,842

LARGAN PRECISION CO LTD COMMON STOCK TWD10.
 
 
**
9,818,792

LASALLE HOTEL PROPERTIES REIT USD.01
 
 
**
215,484

LATTICE SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
**
46,817

LAYNE CHRISTENSEN COMPANY COMMON STOCK USD.01
 
 
**
15,598

LAZARD LTD CL A COMMON STOCK USD.01
 
 
**
143,692

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 A3
9/15/2045
5.87%
**
163,387

LCI INDUSTRIES COMMON STOCK USD.01
 
 
**
2,011,693

LEAF GROUP LTD COMMON STOCK USD.0001
 
 
**
12,753

LEASEPLAN CORPORATION NV SR UNSECURED 144A 05/18 2.5
5/16/2018
2.50%
**
1,802,617

LEE + MAN PAPER MANUFACTURIN COMMON STOCK HKD.025
 
 
**
213,526

LEGACYTEXAS FINANCIAL GROUP COMMON STOCK USD.01
 
 
**
1,252,185

LEGG MASON INC COMMON STOCK USD.1
 
 
**
346,418

LEGRAND SA COMMON STOCK EUR4.
 
 
**
1,585,396

LENDLEASE GROUP STAPLED SECURITY
 
 
**
150,961

LENNAR CORP A COMMON STOCK USD.1
 
 
**
1,918,971

LETRA TESOURO NACIONAL BILLS 01/18 0.00000
1/1/2018
 
**
2,811,583

LETRA TESOURO NACIONAL BILLS 04/17 0.00000
4/1/2017
 
**
5,162,689

LETRA TESOURO NACIONAL BILLS 04/17 0.00000
4/1/2017
0.01%
**
2,382,275

LETRA TESOURO NACIONAL BILLS 07/17 0.00000
7/1/2017
0.01%
**
11,215,450

LEXICON PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
338,337

LEXINGTON REALTY TRUST REIT USD.0001
 
 
**
151,654

LG CORP COMMON STOCK KRW5000.
 
 
**
224,690

LG INNOTEK CO LTD COMMON STOCK KRW5000.
 
 
**
324,968

LG UPLUS CORP COMMON STOCK KRW5000.
 
 
**
48,917

LHC GROUP INC COMMON STOCK USD.01
 
 
**
84,317

LI + FUNG LTD COMMON STOCK HKD.0125
 
 
**
1,225,342

LIBBEY INC COMMON STOCK USD.01
 
 
**
19,460

LIBERTY GLOBAL PLC C COMMON STOCK USD.01
 
 
**
9,174,330

LIBERTY GLOBAL PLC A COMMON STOCK USD.01
 
 
**
2,457,050


68
Table of Contents

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

LIBERTY INTERACTIVE CORP Q A TRACKING STK USD.01
 
 
**
21,741,497

LIBERTY MEDIA COR SIRIUSXM C TRACKING STK
 
 
**
7,334,182

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 05/22 4.95
5/1/2022
4.95%
**
81,834

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 06/23 4.25
6/15/2023
4.25%
**
52,349

LIBERTY TAX INC COMMON STOCK USD.01
 
 
**
10,425

LIBERTY TRIPADVISOR HDG A COMMON STOCK USD.01
 
 
**
47,603

LIFE STORAGE INC REIT USD.01
 
 
**
26,175

LIFEPOINT HEALTH INC COMMON STOCK USD.01
 
 
**
1,610,166

LIFESTYLE CHINA GROUP LTD COMMON STOCK HKD.005
 
 
**
61,801

LIFESTYLE INTL HLDGS LTD COMMON STOCK HKD.005
 
 
**
324,384

LIFETIME BRANDS INC COMMON STOCK USD.01
 
 
**
23,643

LIMELIGHT NETWORKS INC COMMON STOCK USD.001
 
 
**
25,313

LIMONEIRA CO COMMON STOCK USD.01
 
 
**
30,867

LINCOLN NATIONAL CORP SR UNSECURED 02/20 6.25
2/15/2020
6.25%
**
82,831

LINCOLN NATIONAL CORP SR UNSECURED 03/22 4.2
3/15/2022
4.20%
**
26,461

LINDE AG COMMON STOCK
 
 
**
1,872,854

LINDSAY CORP COMMON STOCK USD1.0
 
 
**
28,725

LINK REIT REIT
 
 
**
217,770

LIQUIDITY SERVICES INC COMMON STOCK USD.001
 
 
**
29,981

LITE ON TECHNOLOGY CORP COMMON STOCK TWD10.
 
 
**
72,878

LITTELFUSE INC COMMON STOCK USD.01
 
 
**
1,973,314

LLOYDS BANK PLC COVERED REGS 03/25 5.125
3/7/2025
5.13%
**
465,241

LLOYDS BANK PLC COVERED REGS 03/27 4.875
3/30/2027
4.88%
**
6,051,356

LLOYDS BANKING GROUP PLC COMMON STOCK
 
 
**
271,170

LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
12/29/2049
7.63%
**
1,548,066

LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
12/29/2049
7.88%
**
913,838

LMI AEROSPACE INC COMMON STOCK USD.02
 
 
**
11,482

LOBLAW COMPANIES LTD COMMON STOCK
 
 
**
1,668,296

LOCKHEED MARTIN CORP COMMON STOCK USD1.0
 
 
**
5,833,850

LOCKHEED MARTIN CORP SR UNSECURED 09/21 3.35
9/15/2021
3.35%
**
92,941

LOGMEIN INC W/I COMMON STOCK USD.01
 
 
**
3,442,201

LOJAS RENNER S.A. COMMON STOCK
 
 
**
44,849

LONDON STOCK EXCHANGE GROUP COMMON STOCK GBP.06918605
 
 
**
101,179

LONGF 2013 1A AR CLAS/ISIT/MPP
1/15/2024
2.14%
**
2,500,000

LONZA GROUP AG REG COMMON STOCK
 
 
**
2,034,211

LOS ANGELES CA DEPT OF ARPTS LOSAPT 05/39 FIXED 6.582
5/15/2039
6.58%
**
50,894

LOS ANGELES CA UNIF SCH DIST LOSSCD 07/34 FIXED 6.758
7/1/2034
6.76%
**
536,800

LOTTE CHEMICAL CORP COMMON STOCK KRW5000.0
 
 
**
541,982

LOWE S COMPANIES INC SR UNSECURED 04/22 3.12
4/15/2022
3.12%
**
122,943

LOWE S COS INC COMMON STOCK USD.5
 
 
**
11,174,374

LSB INDUSTRIES INC COMMON STOCK USD.1
 
 
**
17,261

LSI INDUSTRIES INC COMMON STOCK
 
 
**
23,960

LT GROUP INC COMMON STOCK PHP1.0
 
 
**
198,509

LUBY S INC COMMON STOCK USD.32
 
 
**
12,284

LUKOIL PJSC SPON ADR ADR RUB.025
 
 
**
334,188



69
Table of Contents

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

LUMINEX CORP COMMON STOCK USD.001
 
 
**
68,357

LUMOS NETWORKS CORP COMMON STOCK USD.01
 
 
**
35,223

LUNDIN MINING CORP COMMON STOCK
 
 
**
739,242

LUXOTTICA GROUP SPA COMMON STOCK EUR.06
 
 
**
1,770,648

LVMH MOET HENNESSY LOUIS VUI COMMON STOCK EUR.3
 
 
**
5,247,270

LYDALL INC COMMON STOCK USD.1
 
 
**
2,253,196

M + T BANK CORP COMMON STOCK USD.5
 
 
**
12,345,456

M DIAS BRANCO SA COMMON STOCK
 
 
**
116,611

M/I HOMES INC COMMON STOCK USD.01
 
 
**
61,943

MACATAWA BANK CORP COMMON STOCK
 
 
**
35,207

MACK CALI REALTY CORP REIT USD.01
 
 
**
175,484

MACOM TECHNOLOGY SOLUTIONS H COMMON STOCK USD.001
 
 
**
9,555,432

MACQUARIE BANK LTD SR UNSECURED 144A 03/17 1.65
3/24/2017
1.65%
**
7,025,820

MACQUARIE BANK LTD SR UNSECURED 144A 06/19 2.6
6/24/2019
2.60%
**
55,383

MACQUARIE BANK LTD SR UNSECURED 144A 10/17 1.6
10/27/2017
1.60%
**
249,984

MACQUARIE INFRASTRUCTURE COR COMMON STOCK USD.001
 
 
**
291,587

MACQUARIE MEXICO REAL ESTATE REIT
 
 
**
271,288

MACYS RETAIL HLDGS INC COMPANY GUAR 07/17 7.45
7/15/2017
7.45%
**
123,788

MADISON SQUARE GARDEN CO A COMMON STOCK USD.01
 
 
**
241,143

MAGELLAN HEALTH INC COMMON STOCK USD.01
 
 
**
2,337,115

MAGELLAN MIDSTREAM PARTN SR UNSECURED 09/46 4.25
9/15/2046
4.25%
**
21,610

MAGNA INTERNATIONAL INC COMMON STOCK
 
 
**
1,254,260

MAGNA INTERNATIONAL INC COMMON STOCK
 
 
**
108,118

MAIDEN HOLDINGS LTD COMMON STOCK USD.01
 
 
**
126,984

MAINSOURCE FINANCIAL GROUP I COMMON STOCK
 
 
**
70,520

MALAYAN BANKING BHD COMMON STOCK MYR1.
 
 
**
36,375

MALAYSIA GOVERNMENT SR UNSECURED 03/27 3.892
3/15/2027
3.89%
**
192,554

MALAYSIA GOVERNMENT SR UNSECURED 06/31 4.232
6/30/2031
4.23%
**
787,994

MALAYSIA GOVERNMENT SR UNSECURED 10/17 3.314
10/31/2017
3.31%
**
357,166

MALAYSIA GOVERNMENT SR UNSECURED 11/19 4.378
11/29/2019
4.38%
**
250,180

MALIN CLO BV MALIN 2007 1A A1 144A
5/7/2023
0.03%
**
1,001,408

MALLINCKRODT PLC COMMON STOCK USD.2
 
 
**
209,045

MANITOWOC COMPANY INC COMMON STOCK USD.01
 
 
**
58,718

MANITOWOC FOODSERVICE INC COMMON STOCK USD.01
 
 
**
133,744

MANPOWERGROUP INC COMMON STOCK USD.01
 
 
**
1,493,105

MANTECH INTERNATIONAL CORP A COMMON STOCK USD.01
 
 
**
103,935

MAPFRE SA COMMON STOCK EUR.1
 
 
**
148,341

MARATHON OIL CORP COMMON STOCK USD1.0
 
 
**
10,415,427

MARATHON OIL CORP SR UNSECURED 11/22 2.8
11/1/2022
2.80%
**
81,282

MARICO LTD COMMON STOCK INR1.
 
 
**
266,989

MARINEMAX INC COMMON STOCK USD.001
 
 
**
47,601

MARKEL CORP COMMON STOCK
 
 
**
1,889,501

MARLIN BUSINESS SERVICES INC COMMON STOCK USD.01
 
 
**
25,707

MARRIOTT INTERNATIONAL CL A COMMON STOCK USD.01
 
 
**
8,396,154

MARRIOTT VACATIONS WORLD COMMON STOCK USD.01
 
 
**
1,347,163

MARSH + MCLENNAN COS INC SR UNSECURED 03/20 2.35
3/6/2020
2.35%
**
79,069

MARTEN TRANSPORT LTD COMMON STOCK USD.01
 
 
**
71,648


70
Table of Contents

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

MARVELL TECHNOLOGY GROUP LTD COMMON STOCK USD.002
 
 
**
8,179,513

MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1
4/25/2038
1.83%
**
38,150

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 08/18 2.1
8/2/2018
2.10%
**
100,868

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 10/22 2.5
10/17/2022
2.50%
**
98,197

MASTEC INC COMMON STOCK USD.1
 
 
**
203,873

MASTERCARD INC A COMMON STOCK USD.0001
 
 
**
53,288,564

MATADOR RESOURCES CO COMMON STOCK USD.01
 
 
**
1,902,118

MATERION CORP COMMON STOCK
 
 
**
81,180

MATRIX SERVICE CO COMMON STOCK USD.01
 
 
**
58,362

MATSON INC COMMON STOCK
 
 
**
1,741,577

MATTHEWS INTL CORP CLASS A COMMON STOCK USD1.0
 
 
**
203,729

MAXIM INTEGRATED PRODUCTS COMMON STOCK USD.001
 
 
**
2,700,479

MAXIMUS INC COMMON STOCK
 
 
**
2,246,105

MAXLINEAR INC CLASS A COMMON STOCK
 
 
**
5,542,955

MAZDA MOTOR CORP COMMON STOCK
 
 
**
795,062

MB FINANCIAL INC COMMON STOCK USD.01
 
 
**
153,261

MBIA INC COMMON STOCK USD1.0
 
 
**
168,664

MBT FINANCIAL CORP COMMON STOCK
 
 
**
25,594

MCCLATCHY CO CLASS A COMMON STOCK USD.01
 
 
**
5,536

MCDERMOTT INTL INC COMMON STOCK USD1.0
 
 
**
134,306

MCDONALD S CORP SR UNSECURED 07/40 4.875
7/15/2040
4.88%
**
84,537

MCGRATH RENTCORP COMMON STOCK
 
 
**
100,405

MCKESSON CORP COMMON STOCK USD.01
 
 
**
19,321,847

MDC HOLDINGS INC COMMON STOCK USD.01
 
 
**
118,738

MEAD JOHNSON NUTRITION CO COMMON STOCK USD.01
 
 
**
1,255,424

MEDCO HEALTH SOLUTIONS COMPANY GUAR 09/20 4.125
9/15/2020
4.13%
**
125,916

MEDIA GENERAL INC COMMON STOCK
 
 
**
138,965

MEDIATEK INC COMMON STOCK TWD10.
 
 
**
497,099

MEDICAL PROPERTIES TRUST INC REIT USD.001
 
 
**
78,560

MEDICINES COMPANY COMMON STOCK USD.001
 
 
**
3,683,372

MEDIDATA SOLUTIONS INC COMMON STOCK USD.01
 
 
**
1,774,461

MEDIOBANCA SPA COMMON STOCK EUR.5
 
 
**
562,739

MEDNAX INC COMMON STOCK USD.01
 
 
**
3,456,254

MEDTRONIC PLC COMMON STOCK USD.1
 
 
**
33,979,488

MEDY TOX INC COMMON STOCK KRW500.
 
 
**
388,546

MEETME INC COMMON STOCK USD.001
 
 
**
20,154

MEGA FINANCIAL HOLDING CO LT COMMON STOCK TWD10.
 
 
**
15,700

MEIJI HOLDINGS CO LTD COMMON STOCK
 
 
**
887,452

MELIA HOTELS INTERNATIONAL COMMON STOCK EUR.2
 
 
**
768,980

MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1
6/15/2030
1.18%
**
388,297

MENTOR GRAPHICS CORP COMMON STOCK
 
 
**
266,899

MERCANTILE BANK CORP COMMON STOCK
 
 
**
65,673

MERCEDES BENZ AUTO LEASE TRUST MBALT 2016 B A2
1/15/2019
1.15%
**
3,192,947

MERCER INTERNATIONAL INC COMMON STOCK USD1.0
 
 
**
85,275

MERCHANTS BANCSHARES INC COMMON STOCK USD.01
 
 
**
33,333

MERCK + CO. INC. COMMON STOCK USD.5
 
 
**
20,897,378

MERCK KGAA COMMON STOCK
 
 
**
3,234,612


71
Table of Contents

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

MERCURY SYSTEMS INC COMMON STOCK USD.01
 
 
**
105,317

MEREDITH CORP COMMON STOCK USD1.0
 
 
**
2,452,477

MERIDIAN BANCORP INC COMMON STOCK
 
 
**
81,024

MERIT MEDICAL SYSTEMS INC COMMON STOCK
 
 
**
116,786

MERITAGE HOMES CORP COMMON STOCK USD.01
 
 
**
135,546

MERRILL LYNCH CAN 98001212
6/1/2020
0.98%
**
361,062

MERRILL LYNCH CAN 98001247
7/1/2020
1.18%
**
928,734

MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 WMC1 M2
9/25/2035
1.39%
**
939,816

MERRILL LYNCH MORTGAGE TRUST MLMT 2008 C1 A4
2/12/2051
5.69%
**
92,735

MET LIFE GLOB FUNDING I SECURED 144A 01/18 1.5
1/10/2018
1.5%
**
8,501,394

MET LIFE GLOB FUNDING I SECURED 144A 04/20 2
4/14/2020
2%
**
889,868

MET LIFE GLOB FUNDING I SECURED 144A 09/18 1.35
9/14/2018
1.35%
**
5,961,630

MET LIFE GLOB FUNDING I SR SECURED 144A 04/22 3.875
4/11/2022
3.88%
**
301,161

MET TRANSPRTN AUTH NY REVENUE MTATRN 11/39 FIXED 6.668
11/15/2039
6.67%
**
397,842

META FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
63,284

METAIR INVESTMENTS LTD COMMON STOCK
 
 
**
521,565

METHODE ELECTRONICS INC COMMON STOCK USD.5
 
 
**
50,985

METLIFE INC COMMON STOCK USD.01
 
 
**
7,464,843

METLIFE INC JR SUBORDINA 12/49 VAR
12/29/2049
5.25%
**
607,500

METLIFE INC SR UNSECURED 06/35 5.7
6/15/2035
5.70%
**
58,832

METRO AG COMMON STOCK
 
 
**
185,927

METRO PACIFIC INVESTMENTS CO COMMON STOCK PHP1.
 
 
**
73,630

METROPOLITAN BANK + TRUST COMMON STOCK PHP20.
 
 
**
17,481

MEXICO CETES BILLS 02/17 0.00000
2/2/2017
 
**
3,002,834

MGM GROWTH PROPERTIES LLC A REIT
 
 
**
520,525

MGP INGREDIENTS INC COMMON STOCK
 
 
**
31,088

MICHELIN (CGDE) COMMON STOCK EUR2.
 
 
**
555,763

MICRO STAR INTERNATIONAL CO COMMON STOCK TWD10.
 
 
**
52,524

MICROCHIP TECHNOLOGY INC COMMON STOCK USD.001
 
 
**
20,601,323

MICRON TECHNOLOGY INC COMMON STOCK USD.1
 
 
**
29,435,930

MICROSEMI CORP COMMON STOCK USD.2
 
 
**
86,514

MICROSOFT CORP COMMON STOCK USD.00000625
 
 
**
111,884,499

MICROSOFT CORP SR UNSECURED 08/23 2
8/8/2023
2%
**
81,243

MICROSOFT CORP SR UNSECURED 08/36 3.45
8/8/2036
3.45%
**
80,781

MICROSOFT CORP SR UNSECURED 11/22 2.125
11/15/2022
2.13%
**
146,168

MID AMERICA APARTMENT COMM REIT USD.01
 
 
**
332,732

MIDDLEBY CORP COMMON STOCK USD.01
 
 
**
415,927

MIDSOUTH BANCORP INC COMMON STOCK USD.1
 
 
**
15,327

MIDWESTONE FINANCIAL GROUP I COMMON STOCK USD.01
 
 
**
30,832

MILLER INDUSTRIES INC/TENN COMMON STOCK USD.01
 
 
**
29,809

MINERAL DEPOSITS LTD COMMON STOCK
 
 
**
16,005

MINERALS TECHNOLOGIES INC COMMON STOCK USD.1
 
 
**
2,766,091

MIRVAC GROUP REIT
 
 
**
69,123

MISC BHD COMMON STOCK MYR1.
 
 
**
41,452

MISSISSIPPI ST MSS 11/17 FLOATING VAR
11/1/2017
1.32%
**
1,399,538

MISTRAS GROUP INC COMMON STOCK USD.01
 
 
**
44,735

MISUMI GROUP INC COMMON STOCK
 
 
**
803,351


72
Table of Contents

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

MITCHAM INDUSTRIES INC COMMON STOCK USD.01
 
 
**
4,677

MITSUBISHI CHEMICAL HOLDINGS COMMON STOCK
 
 
**
328,195

MITSUBISHI CORP COMMON STOCK
 
 
**
394,950

MITSUBISHI ELECTRIC CORP COMMON STOCK
 
 
**
855,021

MITSUBISHI ESTATE CO LTD COMMON STOCK
 
 
**
359,198

MITSUBISHI GAS CHEMICAL CO COMMON STOCK
 
 
**
571,295

MITSUBISHI TANABE PHARMA COMMON STOCK
 
 
**
190,698

MITSUBISHI UFJ FIN GRP SR UNSECURED 03/21 2.95
3/1/2021
2.95%
**
503,338

MITSUBISHI UFJ FINANCIAL GRO COMMON STOCK
 
 
**
460,641

MITSUBISHITST+BNK CC
8/23/2017
1.53%
**
6,000,000

MITSUBISHITST+BNK CC
9/19/2017
1.58%
**
600,000

MITSUBISHITST+BNK CC
9/19/2017
1.71%
**
100,000

MITSUI CHEMICALS INC COMMON STOCK
 
 
**
1,449,393

MITSUI FUDOSAN CO LTD COMMON STOCK
 
 
**
324,688

MIURA CO LTD COMMON STOCK
 
 
**
657,806

MIXI INC COMMON STOCK
 
 
**
673,623

MIZUHO BANK LTD
12/8/2017
1.66%
**
8,500,000

MIZUHO BANK LTD COMPANY GUAR 144A 09/17 1.7
9/25/2017
1.70%
**
3,500,207

MIZUHO FINANCIAL GROUP INC COMMON STOCK
 
 
**
876,722

MKS INSTRUMENTS INC COMMON STOCK
 
 
**
3,175,227

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 A4
9/12/2049
5.7%
**
239,866

MLCC MORTGAGE INVESTORS INC MLCC 2005 B A1
7/25/2030
0.87%
**
280,306

MLP AG COMMON STOCK
 
 
**
172,620

MOBILE MINI INC COMMON STOCK USD.01
 
 
**
136,428

MOBILE TELESYSTEMS SP ADR ADR
 
 
**
49,440

MOBILEYE NV COMMON STOCK EUR.01
 
 
**
2,202,879

MODINE MANUFACTURING CO COMMON STOCK USD.625
 
 
**
85,720

MOELIS + CO CLASS A COMMON STOCK USD.01
 
 
**
2,261,910

MOLINA HEALTHCARE INC COMMON STOCK USD.001
 
 
**
288,446

MOLSON COORS BREWING CO B COMMON STOCK USD.01
 
 
**
12,264,952

MONADELPHOUS GROUP LTD COMMON STOCK
 
 
**
165,918

MONARCH CASINO + RESORT INC COMMON STOCK USD.01
 
 
**
26,889

MONDELEZ INTERNATIONAL INC A COMMON STOCK
 
 
**
6,898,369

MONDELEZ INTL HLDINGS NE COMPANY GUAR 144A 10/19 1.625
10/28/2019
1.63%
**
882,263

MONDI LTD COMMON STOCK
 
 
**
31,756

MONDI PLC COMMON STOCK EUR.2
 
 
**
608,499

MONMOUTH REAL ESTATE INV COR REIT USD.01
 
 
**
59,360

MONRO MUFFLER BRAKE INC COMMON STOCK USD.01
 
 
**
1,655,368

MONSANTO CO COMMON STOCK USD.01
 
 
**
1,849,592

MONSTER BEVERAGE CORP COMMON STOCK
 
 
**
4,618,853

MOODY S CORP COMMON STOCK USD.01
 
 
**
2,836,301

MOOG INC CLASS A COMMON STOCK USD1.0
 
 
**
164,200

MORGAN STANLEY BAML TRUST MSBAM 2015 C25 A4
10/15/2048
3.37%
**
704,130

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ16 A4
12/12/2049
5.81%
**
145,611

MORGAN STANLEY CAPITAL I TRUST MSC 2011 C3 A3
7/15/2049
4.05%
**
155,395

MORGAN STANLEY CAPITAL I TRUST MSC 2014 CPT B 144A
7/13/2029
3.45%
**
408,138

MORGAN STANLEY REREMIC TRUST MSRR 2010 GG10 A4A 144A
8/15/2045
5.79%
**
1,267,089


73
Table of Contents

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

MORGAN STANLEY REREMIC TRUST MSRR 2012 IO AXA 144A
3/27/2051
1%
**
67,779

MORGAN STANLEY SR UNSECURED 01/20 2.65
1/27/2020
2.65%
**
71,334

MORGAN STANLEY SR UNSECURED 01/45 4.3
1/27/2045
4.3%
**
143,506

MORGAN STANLEY SR UNSECURED 07/26 3.125
7/27/2026
3.13%
**
60,189

MORGAN STANLEY SR UNSECURED 10/24 3.7
10/23/2024
3.70%
**
303,574

MORGAN STANLEY SUBORDINATED 05/23 4.1
5/22/2023
4.10%
**
256,631

MORGAN STANLEY SUBORDINATED 09/26 4.35
9/8/2026
4.35%
**
30,742

MORNEAU SHEPELL INC COMMON STOCK
 
 
**
238,972

MOSAIC CO SR UNSECURED 11/23 4.25
11/15/2023
4.25%
**
146,209

MOSAIC CO SR UNSECURED 11/33 5.45
11/15/2033
5.45%
**
104,140

MOTORCAR PARTS OF AMERICA IN COMMON STOCK USD.01
 
 
**
13,998

MOVADO GROUP INC COMMON STOCK USD.01
 
 
**
53,044

MPLX LP SR UNSECURED 06/25 4.875
6/1/2025
4.88%
**
1,336,591

MRC GLOBAL INC COMMON STOCK USD.01
 
 
**
106,669

MS+AD INSURANCE GROUP HOLDIN COMMON STOCK
 
 
**
745,711

MSC INDUSTRIAL DIRECT CO A COMMON STOCK USD.001
 
 
**
44,717

MSG NETWORKS INC A COMMON STOCK USD.01
 
 
**
47,085

MTU AERO ENGINES AG COMMON STOCK
 
 
**
1,445,676

MUELLER INDUSTRIES INC COMMON STOCK USD.01
 
 
**
221,179

MUENCHENER RUECKVER AG REG COMMON STOCK
 
 
**
1,391,205

MULTI COLOR CORP COMMON STOCK
 
 
**
87,921

MULTIPLUS SA COMMON STOCK
 
 
**
345,820

MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.637
4/1/2057
6.64%
**
12,402

MURPHY OIL CORP COMMON STOCK USD1.0
 
 
**
4,569,230

MURPHY USA INC COMMON STOCK
 
 
**
130,009

MUTUALFIRST FINANCIAL INC COMMON STOCK USD.01
 
 
**
23,600

MYERS INDUSTRIES INC COMMON STOCK
 
 
**
7,994

MYLAN NV COMMON STOCK EUR.01
 
 
**
6,882,260

MYR GROUP INC/DELAWARE COMMON STOCK USD.01
 
 
**
81,087

MYRIAD GENETICS INC COMMON STOCK USD.01
 
 
**
46,726

N B T BANCORP INC COMMON STOCK USD.01
 
 
**
184,565

NABORS INDUSTRIES INC COMPANY GUAR 09/20 5
9/15/2020
5%
**
25,688

NABORS INDUSTRIES INC COMPANY GUAR 09/21 4.625
9/15/2021
4.63%
**
147,395

NABORS INDUSTRIES LTD COMMON STOCK USD.001
 
 
**
459,758

NACCO INDUSTRIES CL A COMMON STOCK USD1.0
 
 
**
55,688

NAGAILEBEN CO LTD COMMON STOCK
 
 
**
439,620

NAMPAK LTD COMMON STOCK ZAR.05
 
 
**
235,071

NANOMETRICS INC COMMON STOCK
 
 
**
56,510

NASDAQ INC COMMON STOCK USD.01
 
 
**
5,234,018

NASPERS LTD N SHS COMMON STOCK ZAR.02
 
 
**
479,258

NAT GAS EURO OPT APR17C 3.1 EXP 03/28/2017
3/28/2017
 
**
21,836

NAT GAS EURO OPT APR17C 3.95 EXP 03/28/2017
3/28/2017
 
**
1,254

NAT GAS EURO OPT AUG17C 3.1 EXP 07/26/2017
7/26/2017
 
**
24,528

NAT GAS EURO OPT AUG17C 3.95 EXP 07/26/2017
7/26/2017
 
**
1,973

NAT GAS EURO OPT DEC17C 3.1 EXP 11/27/2017
11/27/2017
 
**
31,312

NAT GAS EURO OPT FEB17C 3.1 EXP 01/26/2017
1/26/2017
 
**
25,660

NAT GAS EURO OPT JUL17C 3.1 EXP 06/27/2017
6/27/2017
 
**
24,228


74
Table of Contents

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

NAT GAS EURO OPT JUL17C 3.95 EXP 06/27/2017
6/27/2017
 
**
1,785

NAT GAS EURO OPT JUN17C 3.1 EXP 05/25/2017
5/25/2017
 
**
22,808

NAT GAS EURO OPT JUN17C 3.95 EXP 05/25/2017
5/25/2017
 
**
1,504

NAT GAS EURO OPT MAR17C 3.1 EXP 02/23/2017
2/23/2017
 
**
25,276

NAT GAS EURO OPT MAY17C 3.1 EXP 04/25/2017
4/25/2017
 
**
21,560

NAT GAS EURO OPT MAY17C 3.95 EXP 04/25/2017
4/25/2017
 
**
1,262

NAT GAS EURO OPT NOV17C 3.1 EXP 10/26/2017
10/26/2017
 
**
27,428

NAT GAS EURO OPT OCT17C 3.1 EXP 09/26/2017
9/26/2017
 
**
25,624

NAT GAS EURO OPT OCT17C 3.95 EXP 09/26/2017
9/26/2017
 
**
2,361

NAT GAS EURO OPT SEP17C 3.1 EXP 08/28/2017
8/28/2017
 
**
24,580

NAT GAS EURO OPT SEP17C 3.95 EXP 08/28/2017
8/28/2017
 
**
2,126

NATIONAL AUSTRALIA BANK COVERED 144A 12/21 2.4
12/7/2021
2.4%
**
2,387,170

NATIONAL AUSTRALIA BANK LTD COMMON STOCK
 
 
**
1,375,772

NATIONAL AUSTRALIA BK/NY SR UNSECURED 07/18 1.875
7/23/2018
1.88%
**
1,229,702

NATIONAL BANK HOLD CL A COMMON STOCK
 
 
**
2,110,544

NATIONAL HEALTHCARE CORP COMMON STOCK USD.01
 
 
**
108,759

NATIONAL PRESTO INDS INC COMMON STOCK USD1.0
 
 
**
65,436

NATIONAL RETAIL PROP INC SR UNSECURED 11/25 4
11/15/2025
4.00%
**
85,633

NATIONAL RETAIL PROP INC SR UNSECURED 12/26 3.6
12/15/2026
3.60%
**
20,687

NATIONAL RETAIL PROPERTIES REIT USD.01
 
 
**
259,012

NATIONAL WESTERN LIFE GROU A COMMON STOCK USD.01
 
 
**
127,428

NATIONSTAR HECM LOAN TRUST NHLT 2015 2A A 144A
11/25/2025
2.88%
**
81,079

NATIONWIDE MUTUAL INSURA SUBORDINATED 144A 08/39 9.375
8/15/2039
9.38%
**
37,760

NATIXIS NY
11/1/2017
1.37%
**
12,800,000

NATURAL GAS SERVICES GROUP COMMON STOCK USD.01
 
 
**
52,308

NAVIENT CORP COMMON STOCK USD.01
 
 
**
429,020

NAVIENT CORP SR UNSECURED 06/19 4.875
6/17/2019
4.88%
**
621,000

NAVIGANT CONSULTING INC COMMON STOCK USD.001
 
 
**
131,083

NAVIGATORS GROUP INC COMMON STOCK USD.1
 
 
**
168,971

NBCUNIVERSAL ENTERPRISE COMPANY GUAR 144A 04/18 1.662
4/15/2018
1.66%
**
3,935,576

NBCUNIVERSAL ENTERPRISE COMPANY GUAR 144A 04/19 1.974
4/15/2019
1.97%
**
169,610

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/21 4.375
4/1/2021
4.38%
**
27,008

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/40 6.4
4/30/2040
6.4%
**
355,607

NCI INC A COMMON STOCK USD.019
 
 
**
14,299

NEKTAR THERAPEUTICS COMMON STOCK USD.0001
 
 
**
488,690

NELNET INC CL A COMMON STOCK USD.01
 
 
**
171,637

NEOGEN CORP COMMON STOCK USD.16
 
 
**
1,964,160

NEOPHOTONICS CORP COMMON STOCK USD.0025
 
 
**
20,907

NESTE OYJ COMMON STOCK
 
 
**
870,987

NESTLE SA REG COMMON STOCK CHF.1
 
 
**
13,139,872

NESTLE SA SPONS ADR ADR
 
 
**
7,695,909

NETAPP INC COMMON STOCK USD.001
 
 
**
13,729,553

NETEASE INC ADR ADR USD.0001
 
 
**
1,988,234

NETFLIX INC COMMON STOCK USD.001
 
 
**
34,195,788

NETGEAR INC COMMON STOCK USD.001
 
 
**
194,953

NETSCOUT SYSTEMS INC COMMON STOCK USD.001
 
 
**
24,980

NEUROCRINE BIOSCIENCES INC COMMON STOCK USD.001
 
 
**
1,933,104


75
Table of Contents

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

NEUSTAR INC CLASS A COMMON STOCK USD.001
 
 
**
178,022

NEVADA POWER CO GENL REF MOR 03/19 7.125
3/15/2019
7.13%
**
138,971

NEVRO CORP COMMON STOCK USD.001
 
 
**
2,129,592

NEW EUROPE PROPERTY INVEST COMMON STOCK
 
 
**
69,088

NEW HOME CO INC/THE COMMON STOCK USD.01
 
 
**
13,174

NEW MEDIA INVESTMENT GROUP COMMON STOCK USD.01
 
 
**
30,717

NEW ORIENTAL EDUCATIO SP ADR ADR USD.01
 
 
**
75,696

NEW RELIC INC COMMON STOCK USD.001
 
 
**
973,778

NEW WORLD DEVELOPMENT COMMON STOCK
 
 
**
723,422

NEW YORK + CO COMMON STOCK USD.001
 
 
**
9,539

NEW YORK CITY NY TRANSITIONAL NYCGEN 11/38 FIXED 5.572
11/1/2038
5.57%
**
169,669

NEW YORK COMMUNITY BANCORP COMMON STOCK USD.01
 
 
**
166,880

NEW YORK LIFE GLOBAL FDG SECURED 144A 07/26 2.35
7/14/2026
2.35%
**
23,299

NEW YORK LIFE GLOBAL FDG SECURED 144A 11/18 1.55
11/2/2018
1.55%
**
49,857

NEW YORK NY NYC 12/31 FIXED 6.646
12/1/2031
6.65%
**
194,319

NEW YORK ST DORM AUTH ST PERSO NYSHGR 09/27 FIXED 5.051
9/15/2027
5.05%
**
913,592

NEW YORK TIMES CO A COMMON STOCK USD.1
 
 
**
2,236,275

NEW ZEALAND INDEX LINKED SR UNSECURED REGS 09/25 2
9/20/2025
2.00%
**
73,288

NEWCREST MINING LTD COMMON STOCK
 
 
**
401,855

NEWELL BRANDS INC COMMON STOCK USD1.0
 
 
**
8,849,094

NEWFIELD EXPLORATION CO COMMON STOCK USD.01
 
 
**
273,983

NEWGATE FUNDING PLC NGATE 2006 3X A3A REGS
12/1/2050
0.57%
**
1,669,853

NEWPARK RESOURCES INC COMMON STOCK USD.01
 
 
**
85,470

NEWS CORP CLASS A COMMON STOCK USD.01
 
 
**
232,649

NEWS CORP CLASS B COMMON STOCK
 
 
**
107,227

NEWSTAR FINANCIAL INC COMMON STOCK USD.01
 
 
**
45,510

NEX GROUP PLC COMMON STOCK GBP.175
 
 
**
40,258

NEXON CO LTD COMMON STOCK
 
 
**
101,668

NH FOODS LTD COMMON STOCK
 
 
**
54,100

NIAGARA MOHAWK POWER SR UNSECURED 144A 08/19 4.881
8/15/2019
4.88%
**
122,722

NICE LTD SPON ADR ADR
 
 
**
2,819,160

NICHOLAS FINANCIAL INC COMMON STOCK
 
 
**
13,400

NIDEC CORP COMMON STOCK
 
 
**
4,534,294

NIELSEN HOLDINGS PLC COMMON STOCK EUR.07
 
 
**
10,503,567

NIEN MADE ENTERPRISE CO LTD COMMON STOCK TWD10.0
 
 
**
361,088

NIHON PARKERIZING CO LTD COMMON STOCK
 
 
**
639,451

NIKE INC CL B COMMON STOCK USD1.0
 
 
**
8,955,229

NIKON CORP COMMON STOCK
 
 
**
162,017

NINE DRAGONS PAPER HOLDINGS COMMON STOCK HKD.1
 
 
**
232,122

NINTENDO CO LTD COMMON STOCK
 
 
**
1,549,385

NIPPON BUILDING FUND INC REIT
 
 
**
99,850

NIPPON DENKO CO LTD COMMON STOCK
 
 
**
139,718

NIPPON EXPRESS CO LTD COMMON STOCK
 
 
**
760,398

NIPPON TELEGRAPH + TELEPHONE COMMON STOCK
 
 
**
1,233,949

NISOURCE FINANCE CORP COMPANY GUAR 02/45 5.65
2/1/2045
5.65%
**
67,626

NISOURCE FINANCE CORP COMPANY GUAR 03/18 6.4
3/15/2018
6.4%
**
35,807

NISSAN AUTO RECEIVABLES OWNER NAROT 2016 A A2A
2/15/2019
1.06%
**
2,533,707


76
Table of Contents

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

NISSAN AUTO RECEIVABLES OWNER NAROT 2016 B A2A
4/15/2019
1.05%
**
6,023,101

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 04/18 VAR
4/6/2018
1.66%
**
10,435,617

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/21 1.9
9/14/2021
1.9%
**
39,563

NISSHA PRINTING CO LTD COMMON STOCK
 
 
**
432,172

NITTO KOHKI CO LTD COMMON STOCK
 
 
**
663,017

NL INDUSTRIES COMMON STOCK USD.125
 
 
**
15,037

NMI HOLDINGS INC CLASS A COMMON STOCK USD.01
 
 
**
17,743

NN GROUP NV COMMON STOCK
 
 
**
2,264,026

NN INC COMMON STOCK USD.01
 
 
**
56,674

NOBLE CORP PLC COMMON STOCK USD.01
 
 
**
138,350

NOBLE ENERGY INC SR UNSECURED 05/21 5.625
5/1/2021
5.63%
**
44,861

NOKIA OYJ COMMON STOCK
 
 
**
371,456

NOMURA REAL ESTATE HOLDINGS COMMON STOCK
 
 
**
22,158

NOMURA REAL ESTATE MASTER FU REIT
 
 
**
733,667

NORDEA BANK AB SR UNSECURED 144A 03/17 3.125
3/20/2017
3.13%
**
1,707,718

NORDEA KREDIT REALKREDIT COVERED 10/17 2
10/1/2017
2.00%
**
1,197,643

NORDEA KREDIT REALKREDIT COVERED 10/37 2.5
10/1/2037
2.5%
**
98,481

NORDEA KREDIT REALKREDIT COVERED 10/47 2.5
10/1/2047
2.50%
**
1,095,372

NORDEA KREDIT REALKREDIT COVERED 10/47 3
10/1/2047
3%
**
434,389

NORDIC AMERICAN TANKERS LTD COMMON STOCK USD.01
 
 
**
76,625

NORDSON CORP COMMON STOCK
 
 
**
447,640

NORDSTROM INC COMMON STOCK
 
 
**
2,034,629

NORDSTROM INC SR UNSECURED 10/21 4
10/15/2021
4%
**
41,883

NORFOLK SOUTHERN CORP SR UNSECURED 10/42 3.95
10/1/2042
3.95%
**
23,748

NORFOLK SOUTHERN CORP SR UNSECURED 12/21 3.25
12/1/2021
3.25%
**
154,052

NORINCHUKIN BK
7/26/2017
1.43%
**
5,100,000

NORINCHUKIN BK
7/27/2017
1.43%
**
17,250,000

NORINCHUKIN BK
6/9/2017
1.40%
**
3,302,078

NORINCHUKIN BK
10/11/2017
1.59%
**
1,300,000

NORTHEAST BANCORP COMMON STOCK USD1.0
 
 
**
16,126

NORTHERN OIL AND GAS INC COMMON STOCK USD.001
 
 
**
3,850

NORTHERN TRUST RUSSELL 2000 J
 
 
**
(1,310,484
)
NORTHERN TRUST RUSSELL 2000 J FUND NUMBER 386 NON LENDING
 
 
**
2,936,224,082

NORTHFIELD BANCORP INC COMMON STOCK USD.01
 
 
**
104,383

NORTHRIM BANCORP INC COMMON STOCK USD1.0
 
 
**
22,657

NORTHROP GRUMMAN CORP COMMON STOCK USD1.0
 
 
**
4,442,976

NORTHROP GRUMMAN SYSTEMS COMPANY GUAR 02/31 7.75
2/15/2031
7.75%
**
34,760

NORTHWEST BANCSHARES INC COMMON STOCK USD.01
 
 
**
170,023

NORTHWEST PIPE CO COMMON STOCK USD.01
 
 
**
1,266,118

NORWEGIAN GOVERNMENT BONDS 144A REGS 05/21 3.75
5/25/2021
3.75%
**
349,308

NORWOOD FINANCIAL CORP COMMON STOCK USD.1
 
 
**
12,958

NOVANTA INC COMMON STOCK
 
 
**
71,022

NOVARTIS AG REG COMMON STOCK CHF.5
 
 
**
7,724,598

NOVARTIS AG SPONSORED ADR ADR
 
 
**
1,089,249

NOVASTAR HOME EQUITY LOAN NHEL 2005 1 M5
6/25/2035
1.6%
**
185,760

NOVATEK MICROELECTRONICS COR COMMON STOCK TWD10.
 
 
**
340,361

NOVATEK PJSC SPONS GDR REG S GDR
 
 
**
169,000


77
Table of Contents

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

NOVO BANCO SA SR UNSECURED 04/19 5
4/4/2019
5.00%
**
71,724

NOVO BANCO SA SR UNSECURED REGS 04/19 5
4/23/2019
5%
**
286,895

NOVO BANCO SA SR UNSECURED REGS 05/19 5
5/23/2019
5.00%
**
286,895

NOVO NORDISK A/S B COMMON STOCK DKK.2
 
 
**
3,092,544

NOW INC COMMON STOCK USD.01
 
 
**
90,211

NRG ENERGY INC COMMON STOCK USD.01
 
 
**
2,195,766

NSK LTD COMMON STOCK
 
 
**
63,849

NTT DOCOMO INC COMMON STOCK
 
 
**
502,302

NU SKIN ENTERPRISES INC A COMMON STOCK USD.001
 
 
**
133,450

NUCOR CORP SR UNSECURED 06/18 5.85
6/1/2018
5.85%
**
36,874

NUCOR CORP SR UNSECURED 08/23 4
8/1/2023
4%
**
105,121

NUFARM LTD COMMON STOCK
 
 
**
608,502

NUFLARE TECHNOLOGY INC COMMON STOCK
 
 
**
182,621

NUTANIX INC A COMMON STOCK USD.000025
 
 
**
271,151

NUTRACEUTICAL INTL CORP COMMON STOCK USD.01
 
 
**
35,824

NUVECTRA CORP COMMON STOCK USD.001
 
 
**
4,125

NVIDIA CORP
 
 
**
(16,323
)
NVIDIA CORP COMMON STOCK USD.001
 
 
**
16,665,316

NWS HOLDINGS LTD COMMON STOCK HKD1.0
 
 
**
21,194

NXP SEMICONDUCTORS NV COMMON STOCK
 
 
**
17,946,739

NXSTAGE MEDICAL INC COMMON STOCK USD.001
 
 
**
1,006,988

NY STATE ELECTRIC + GAS SR UNSECURED 144A 12/26 3.25
12/1/2026
3.25%
**
66,709

NYKREDIT COVERED 04/17 2
4/1/2017
2.00%
**
470,692

NYKREDIT COVERED 07/17 2
7/1/2017
2%
**
2,438,944

NYKREDIT COVERED 10/17 2
10/1/2017
2%
**
2,568,439

NYKREDIT REALKREDIT AS COVERED 04/17 1
4/1/2017
1%
**
796,983

NYKREDIT REALKREDIT AS COVERED 07/17 1
7/1/2017
1%
**
1,184,480

NYKREDIT REALKREDIT AS COVERED 10/37 2
10/1/2037
2%
**
1,006,781

NYKREDIT REALKREDIT AS COVERED 10/37 2.5
10/1/2037
2.5%
**
1,307,077

NYKREDIT REALKREDIT AS COVERED 10/47 2
10/1/2047
2%
**
2,811,867

NYKREDIT REALKREDIT AS COVERED 10/47 3
10/1/2047
3%
**
3,369,707

NYKREDIT REALKREDIT AS COVERED REGS 10/47 2.5
10/1/2047
2.5%
**
5,817,462

OASIS PETROLEUM INC COMMON STOCK USD.01
 
 
**
2,503,323

OBAYASHI CORP COMMON STOCK
 
 
**
92,896

OBERTHUR TECHNOLOGIES S.A. 2016 EUR TERM LOAN B2
12/14/2023
1.00%
**
1,268,269

OBIC CO LTD COMMON STOCK
 
 
**
714,134

OC OERLIKON CORP AG REG COMMON STOCK CHF1.0
 
 
**
341,615

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/23 2.7
2/15/2023
2.7%
**
123,788

OCCIDENTAL PETROLEUM CORP COMMON STOCK USD.2
 
 
**
4,200,789

OCEAN TRAILS CLO OCTR 2007 2A A1V2 144A
6/27/2022
1.11%
**
215,630

OCEANEERING INTL INC COMMON STOCK USD.25
 
 
**
254,793

OCEANFIRST FINANCIAL CORP COMMON STOCK USD.01
 
 
**
52,312

OCLARO INC COMMON STOCK USD.01
 
 
**
6,166,076

OCWEN MASTER ADVANCE RECEIVABL OMART 2015 T3 AT3 144A
11/15/2047
3.21%
**
586,877

ODBRCHT OFFSHRE DRLL FIN SR SECURED 144A 10/23 6.625
10/1/2023
6.63%
**
98,374

ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 10/23 6.625
10/1/2023
6.63%
**
147,561

ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 10/23 6.75
10/1/2023
6.75%
**
356,669


78
Table of Contents

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

OFFICE DEPOT INC
 
 
**
10,386

OFFICE DEPOT INC COMMON STOCK USD.01
 
 
**
157,649

OFG BANCORP COMMON STOCK USD1.0
 
 
**
53,710

OHL MEXICO SAB DE CV COMMON STOCK
 
 
**
29,395

OIL + NATURAL GAS CORP LTD COMMON STOCK INR5.
 
 
**
411,554

OIL DRI CORP OF AMERICA COMMON STOCK USD.1
 
 
**
19,564

OIL STATES INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
199,875

OKI ELECTRIC INDUSTRY CO LTD COMMON STOCK
 
 
**
225,250

OKINAWA CELLULAR TELEPHONE COMMON STOCK
 
 
**
194,217

OLD DOMINION FREIGHT LINE COMMON STOCK USD.1
 
 
**
4,495,396

OLD NATIONAL BANCORP COMMON STOCK
 
 
**
233,572

OLD REPUBLIC INTL CORP COMMON STOCK USD1.0
 
 
**
442,073

OLD SECOND BANCORP INC COMMON STOCK USD1.0
 
 
**
32,841

OLIN CORP COMMON STOCK USD1.0
 
 
**
209,413

OLYMPIC STEEL INC COMMON STOCK
 
 
**
17,373

OLYMPUS CORP COMMON STOCK
 
 
**
2,916,517

OMEGA HEALTHCARE INVESTORS REIT USD.1
 
 
**
141,920

OMEGA PROTEIN CORP COMMON STOCK USD.01
 
 
**
53,908

OMNICELL INC COMMON STOCK USD.001
 
 
**
97,327

OMNICOM GROUP COMMON STOCK USD.15
 
 
**
19,297,756

OMNOVA SOLUTIONS INC COMMON STOCK USD.1
 
 
**
41,000

ON ASSIGNMENT INC COMMON STOCK USD.01
 
 
**
203,666

ON SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
**
537,541

ONE LIBERTY PROPERTIES INC REIT USD1.0
 
 
**
23,161

ONEBEACON INSURANCE GROUP A COMMON STOCK USD.01
 
 
**
5,698

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2014 1A A 144A
6/18/2024
2.43%
**
343,197

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2014 2A A 144A
9/18/2024
2.47%
**
122,731

ONEOK PARTNERS LP COMPANY GUAR 03/25 4.9
3/15/2025
4.9%
**
150,167

ONEOK PARTNERS LP COMPANY GUAR 10/22 3.375
10/1/2022
3.38%
**
903,757

ONO PHARMACEUTICAL CO LTD COMMON STOCK
 
 
**
3,168,220

ONTARIO (PROVINCE OF) SR UNSECURED 06/26 2.4
6/2/2026
2.4%
**
4,070,545

ONTARIO (PROVINCE OF) SR UNSECURED 09/19 1.65
9/27/2019
1.65%
**
74,578

ONTARIO (PROVINCE OF) SR UNSECURED 09/21 2.5
9/10/2021
2.50%
**
4,433,876

ONTARIO (PROVINCE OF) UNSECURED 06/20 4.2
6/2/2020
4.20%
**
977,539

OPEN TEXT CORP COMMON STOCK
 
 
**
239,414

OPPENHEIMER HOLDINGS CL A COMMON STOCK USD.001
 
 
**
26,691

OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 2 M1
5/25/2035
1.42%
**
1,018,935

OPUS BANK COMMON STOCK
 
 
**
71,850

ORACLE CORP COMMON STOCK USD.01
 
 
**
26,702,372

ORACLE CORP SR UNSECURED 07/23 3.625
7/15/2023
3.63%
**
251,539

ORACLE CORP SR UNSECURED 07/36 3.85
7/15/2036
3.85%
**
68,314

ORACLE CORP SR UNSECURED 07/40 5.375
7/15/2040
5.38%
**
92,969

ORANGE COMMON STOCK EUR4.
 
 
**
563,687

ORASURE TECHNOLOGIES INC COMMON STOCK USD.000001
 
 
**
24,777

ORBCOMM INC COMMON STOCK USD.001
 
 
**
46,618

ORBITAL ATK INC COMMON STOCK USD.01
 
 
**
4,171,474

ORBOTECH LTD COMMON STOCK USD.14
 
 
**
1,230,557


79
Table of Contents

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

ORCHIDS PAPER PRODUCTS CO COMMON STOCK USD.001
 
 
**
21,468

ORICA LTD COMMON STOCK
 
 
**
1,242,417

ORIGIN ENERGY LTD COMMON STOCK
 
 
**
500,091

ORION GROUP HOLDINGS INC COMMON STOCK USD.01
 
 
**
27,532

ORION OYJ CLASS B COMMON STOCK EUR.65
 
 
**
1,268,845

ORITANI FINANCIAL CORP COMMON STOCK USD.01
 
 
**
86,475

ORIX CORP COMMON STOCK
 
 
**
51,607

ORMAT TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
217,590

ORRSTOWN FINL SERVICES INC COMMON STOCK
 
 
**
10,438

ORTHOFIX INTERNATIONAL NV COMMON STOCK USD.1
 
 
**
32,526

OSHKOSH CORP COMMON STOCK USD.01
 
 
**
353,352

OSI SYSTEMS INC COMMON STOCK
 
 
**
148,206

OSRAM LICHT AG COMMON STOCK
 
 
**
1,697,617

OTP BANK PLC COMMON STOCK HUF100.
 
 
**
62,190

OVERSTOCK.COM INC COMMON STOCK USD.0001
 
 
**
23,905

OWENS + MINOR INC COMMON STOCK USD2.0
 
 
**
213,399

OWENS CORNING COMMON STOCK USD.001
 
 
**
335,707

OXFORD INSTRUMENTS PLC COMMON STOCK GBP.05
 
 
**
265,922

P.A.M. TRANSPORTATION SVCS COMMON STOCK USD.01
 
 
**
10,158

PACCAR INC COMMON STOCK USD1.0
 
 
**
1,182,150

PACIFIC CONTINENTAL CORP COMMON STOCK
 
 
**
38,063

PACIFIC DRILLING SA COMMON STOCK
 
 
**
4,744

PACIFIC GAS + ELECTRIC SR UNSECURED 11/17 5.625
11/30/2017
5.63%
**
202,234

PACIFIC GAS + ELECTRIC SR UNSECURED 11/17 VAR
11/30/2017
1.13%
**
1,652,000

PACIFIC MERCANTILE BANCORP COMMON STOCK
 
 
**
21,170

PACIFIC PREMIER BANCORP INC COMMON STOCK USD.01
 
 
**
43,481

PACIFICORP 1ST MORTGAGE 01/19 5.5
1/15/2019
5.5%
**
85,775

PACIFICORP 1ST MORTGAGE 04/24 3.6
4/1/2024
3.6%
**
70,721

PACIFICORP 1ST MORTGAGE 10/37 6.25
10/15/2037
6.25%
**
64,768

PACWEST BANCORP COMMON STOCK
 
 
**
3,441,533

PAKUWON JATI TBK PT COMMON STOCK IDR25.0
 
 
**
300,774

PALO ALTO NETWORKS INC COMMON STOCK USD.0001
 
 
**
4,413,390

PANASONIC CORP COMMON STOCK
 
 
**
153,997

PANHANDLE OIL AND GAS INC A COMMON STOCK USD.01666
 
 
**
33,794

PAPA JOHN S INTL INC COMMON STOCK USD.01
 
 
**
1,797,180

PARADE TECHNOLOGIES LTD COMMON STOCK TWD10.
 
 
**
4,509,169

PARK ELECTROCHEMICAL CORP COMMON STOCK USD.1
 
 
**
38,233

PARK NATIONAL CORP COMMON STOCK
 
 
**
123,728

PARK STERLING CORP COMMON STOCK USD.01
 
 
**
49,763

PARKER DRILLING CO COMMON STOCK USD.167
 
 
**
21,052

PARKER HANNIFIN CORP COMMON STOCK USD.5
 
 
**
11,233,040

PARKWAY INC REIT USD.001
 
 
**
66,528

PARQUE ARAUCO S.A. COMMON STOCK
 
 
**
333,094



80
Table of Contents

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

PARSLEY ENERGY INC CLASS A COMMON STOCK USD.01
 
 
**
201,432

PARTNERS GROUP HOLDING AG COMMON STOCK CHF.01
 
 
**
498,216

PASON SYSTEMS INC COMMON STOCK
 
 
**
442,286

PATHEON NV COMMON STOCK EUR.01
 
 
**
2,104,443

PATRIOT TRANSPORTATION HOLDI COMMON STOCK USD.1
 
 
**
7,153

PATRIZIA IMMOBILIEN AG COMMON STOCK
 
 
**
412,501

PATTERSON UTI ENERGY INC COMMON STOCK USD.01
 
 
**
337,388

PAX GLOBAL TECHNOLOGY LTD COMMON STOCK HKD.1
 
 
**
195,572

PAYCHEX INC COMMON STOCK USD.01
 
 
**
5,154,101

PAYCOM SOFTWARE INC COMMON STOCK USD.01
 
 
**
17,741,828

PAYLOCITY HOLDING CORP COMMON STOCK USD.001
 
 
**
2,355,785

PAYPAL HOLDINGS INC COMMON STOCK USD.0001
 
 
**
38,502,590

PBF ENERGY INC CLASS A COMMON STOCK USD.001
 
 
**
252,927

PC CONNECTION INC COMMON STOCK USD.01
 
 
**
71,967

PCCW LTD COMMON STOCK
 
 
**
20,043

PCM INC COMMON STOCK USD.001
 
 
**
20,948

PDC ENERGY INC COMMON STOCK USD.01
 
 
**
3,706,225

PDF SOLUTIONS INC COMMON STOCK USD.00015
 
 
**
18,130

PEAPACK GLADSTONE FINL CORP COMMON STOCK
 
 
**
37,982

PEARSON PLC COMMON STOCK GBP.25
 
 
**
179,985

PEBBLEBROOK HOTEL TRUST REIT USD.01
 
 
**
1,710,298

PEGASYSTEMS INC COMMON STOCK USD.01
 
 
**
2,797,920

PEGATRON CORP COMMON STOCK TWD10.
 
 
**
279,531

PENARTH MASTER ISSUER PENAR 2015 2A A1 144A
5/18/2019
1.14%
**
1,299,359

PENN REAL ESTATE INVEST TST REIT USD1.0
 
 
**
89,396

PENNS WOODS BANCORP INC COMMON STOCK USD8.33
 
 
**
25,856

PENNSYLVANIA ELECTRIC CO SR UNSECURED 09/17 6.05
9/1/2017
6.05%
**
102,765

PENNSYLVANIA HIGHER EDUCATION PHEAA 2016 2A A 144A
11/25/2065
1.50%
**
399,949

PENSKE AUTOMOTIVE GROUP INC COMMON STOCK USD.0001
 
 
**
451,630

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 01/23 4.25
1/17/2023
4.25%
**
124,632

PENTAIR PLC COMMON STOCK USD.01
 
 
**
1,942,769

PENUMBRA INC COMMON STOCK USD.001
 
 
**
558,824

PEOPLE S INSURANCE CO GROU H COMMON STOCK CNY1.0
 
 
**
303,902

PEOPLE S UNITED FINANCIAL COMMON STOCK USD.01
 
 
**
579,445

PEOPLES BANCORP INC COMMON STOCK
 
 
**
61,934

PEOPLES BANCORP OF NC COMMON STOCK
 
 
**
15,769

PEPSICO INC COMMON STOCK USD.017
 
 
**
2,323,518

PEPSICO INC SR UNSECURED 10/26 2.375
10/6/2026
2.38%
**
85,200

PERCEPTRON INC COMMON STOCK USD.01
 
 
**
6,806

PERFICIENT INC COMMON STOCK USD.001
 
 
**
59,151

PERFORMANCE FOOD GROUP CO COMMON STOCK USD.01
 
 
**
3,000,000


81
Table of Contents

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

PERKINELMER INC COMMON STOCK USD1.0
 
 
**
2,628,360

PERNOD RICARD SA COMMON STOCK EUR1.55
 
 
**
6,067,814

PERRY ELLIS INTERNATIONAL COMMON STOCK USD.01
 
 
**
12,878

PERSIMMON PLC COMMON STOCK GBP.1
 
 
**
2,028,806

PETKIM PETROKIMYA HOLDING AS COMMON STOCK TRY1.
 
 
**
64,589

PETROBRAS PETROLEO BRAS PR PREFERENCE
 
 
**
129,009

PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/20 5.75
1/20/2020
5.75%
**
2,592,000

PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/21 5.375
1/27/2021
5.38%
**
1,442,550

PETROBRAS GLOBAL FINANCE COMPANY GUAR 03/24 6.25
3/17/2024
6.25%
**
479,600

PETROLEOS MEXICANOS COMPANY GUAR 01/26 4.5
1/23/2026
4.5%
**
177,645

PETROLEOS MEXICANOS COMPANY GUAR 06/41 6.5
6/2/2041
6.5%
**
1,034,888

PETRONAS CHEMICALS GROUP BHD COMMON STOCK MYR.1
 
 
**
191,497

PETRONET LNG LTD COMMON STOCK INR10.
 
 
**
570,160

PEUGEOT SA COMMON STOCK EUR1.
 
 
**
1,047,118

PFIZER INC COMMON STOCK USD.05
 
 
**
10,058,796

PFIZER INC SR UNSECURED 06/23 3
6/15/2023
3.00%
**
45,794

PFS TAX LIEN TRUST PFS 2014 1 NOTE 144A
5/15/2029
1.44%
**
33,756

PGE SA COMMON STOCK PLN10.25
 
 
**
122,490

PHARMATHENE INC COMMON STOCK USD.0001
 
 
**
10,075

PHARMERICA CORP COMMON STOCK USD.01
 
 
**
69,590

PHH CORP COMMON STOCK USD.01
 
 
**
81,712

PHI INC NON VOTING COMMON STOCK USD.1
 
 
**
24,003

PHI INC VOTING COMMON STOCK USD.1
 
 
**
5,250

PHILIP MORRIS INTERNATIONAL COMMON STOCK
 
 
**
15,881,658

PHILLIPS 66 PARTNERS LP SR UNSECURED 10/26 3.55
10/1/2026
3.55%
**
21,291

PHISON ELECTRONICS CORP COMMON STOCK TWD10.
 
 
**
364,672

PHOENIX SATELLITE TELEVISION COMMON STOCK HKD.1
 
 
**
276,086

PHOTRONICS INC COMMON STOCK USD.01
 
 
**
59,766

PHYSICIANS REALTY TRUST REIT USD.01
 
 
**
2,575,887

PICC PROPERTY + CASUALTY H COMMON STOCK CNY1.0
 
 
**
127,762

PICK N PAY STORES LTD COMMON STOCK ZAR.0125
 
 
**
25,465

PICO HOLDINGS INC COMMON STOCK USD.001
 
 
**
50,859

PIER 1 IMPORTS INC COMMON STOCK USD.001
 
 
**
60,591

PIMCO FDS PAC INVT MGMT SER ASSET BKD SECS PORTFOLIO
 
 
**
64,073,929

PIMCO FDS PAC INVT MGMT SER SHORT TERM PORTFOLIO INSTL CL
 
 
**
2,071,944

PIMCO FDS SHORT TERM FLTG NAV MUTUAL FUND
 
 
**
74,339,113

PINNACLE FINANCIAL PARTNERS COMMON STOCK USD1.0
 
 
**
2,274,149

PINNACLE FOODS INC
 
 
**
(44,415
)
PINNACLE FOODS INC COMMON STOCK USD.01
 
 
**
3,925,421

PINNACLE HOLDINGS LTD COMMON STOCK ZAR.01
 
 
**
147,604

PIONEER CORP COMMON STOCK
 
 
**
1,983,748


82
Table of Contents

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

PIONEER ENERGY SERVICES CORP COMMON STOCK USD.1
 
 
**
50,039

PIRAMAL ENTERPRISES LTD COMMON STOCK INR2.
 
 
**
619,309

PKO BANK POLSKI SA COMMON STOCK PLN1.
 
 
**
105,433

PLAINS ALL AMER PIPELINE SR UNSECURED 02/45 4.9
2/15/2045
4.9%
**
133,953

PLAINS ALL AMER PIPELINE SR UNSECURED 10/25 4.65
10/15/2025
4.65%
**
77,485

PLAINS ALL AMER PIPELINE SR UNSECURED 12/19 2.6
12/15/2019
2.60%
**
54,057

PLANET FITNESS INC CL A COMMON STOCK USD.0001
 
 
**
792,262

PLAYTECH PLC COMMON STOCK
 
 
**
300,978

PLEXUS CORP COMMON STOCK USD.01
 
 
**
177,251

PNC BANK NA SR UNSECURED 02/18 1.5
2/23/2018
1.50%
**
4,824,942

PNC BANK NA SUBORDINATED 11/22 2.7
11/1/2022
2.70%
**
285,481

PNC FINANCIAL SERVICES GROUP COMMON STOCK USD5.0
 
 
**
6,371,981

PNM RESOURCES INC COMMON STOCK
 
 
**
2,212,522

POLAND GOVERNMENT BOND BONDS 07/25 3.25
7/25/2025
3.25%
**
305,618

POLAND GOVERNMENT BOND BONDS 09/22 5.75
9/23/2022
5.75%
**
1,821,101

POLSKIE GORNICTWO NAFTOWE I COMMON STOCK PLN1.
 
 
**
140,440

POLYONE CORPORATION COMMON STOCK USD.01
 
 
**
1,699,626

POPEYES LOUISIANA KITCHEN IN COMMON STOCK USD.01
 
 
**
1,756,279

POPULAR INC COMMON STOCK USD.01
 
 
**
279,440

PORSCHE AUTOMOBIL HLDG PRF PREFERENCE
 
 
**
125,244

PORT AUTH OF NEW YORK NEW JE PORTRN 10/62 FIXED 4.458
10/1/2062
4.46%
**
910,260

PORT AUTH OF NEW YORK NEW JE PORTRN 12/24 FIXED 5.859
12/1/2024
5.86%
**
1,321,683

PORTLAND GENERAL ELECTRIC CO COMMON STOCK
 
 
**
2,356,285

POSCO COMMON STOCK KRW5000.
 
 
**
212,345

POSCO DAEWOO CORP COMMON STOCK KRW5000.0
 
 
**
75,984

POST HOLDINGS INC COMMON STOCK USD.01
 
 
**
603,649

POTASH CORP SASKATCHEWAN SR UNSECURED 03/24 3.625
3/15/2024
3.63%
**
168,628

POTASH CORP SASKATCHEWAN SR UNSECURED 12/17 3.25
12/1/2017
3.25%
**
101,304

POTBELLY CORP COMMON STOCK USD.01
 
 
**
19,144

POU CHEN COMMON STOCK TWD10.
 
 
**
233,250

POWELL INDUSTRIES INC COMMON STOCK USD.01
 
 
**
42,549

POWER CORP OF CANADA COMMON STOCK
 
 
**
100,835

POWER FINANCE CORPORATION COMMON STOCK INR10.
 
 
**
331,138

POWERTECH TECHNOLOGY INC COMMON STOCK TWD10.
 
 
**
318,533

PPG INDUSTRIES INC COMMON STOCK USD1.67
 
 
**
23,948,031

PPG INDUSTRIES INC SR UNSECURED 11/19 2.3
11/15/2019
2.3%
**
45,219

PPL CAPITAL FUNDING INC COMPANY GUAR 06/22 4.2
6/15/2022
4.20%
**
84,313

PPL CORP COMMON STOCK USD.01
 
 
**
932,970

PPL ELECTRIC UTILITIES 1ST MORTGAGE 06/44 4.125
6/15/2044
4.13%
**
54,727

PRA HEALTH SCIENCES INC COMMON STOCK USD.01
 
 
**
3,021,678

PRAXAIR INC SR UNSECURED 08/22 2.2
8/15/2022
2.20%
**
112,354


83
Table of Contents

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

PREFERRED BANK/LOS ANGELES COMMON STOCK
 
 
**
69,823

PREFORMED LINE PRODUCTS CO COMMON STOCK USD2.0
 
 
**
35,744

PREMIER FINANCIAL BANCORP COMMON STOCK
 
 
**
18,130

PRESTIGE BRANDS HOLDINGS INC COMMON STOCK USD.01
 
 
**
3,658,879

PRGX GLOBAL INC COMMON STOCK USD.01
 
 
**
13,906

PRICELINE GROUP INC/THE COMMON STOCK USD.008
 
 
**
23,758,968

PRICOA GLOBAL FUNDING 1 SECURED 144A 06/18 VAR
6/27/2018
1.5%
**
5,017,226

PRICOA GLOBAL FUNDING 1 SECURED 144A 06/21 2.2
6/3/2021
2.2%
**
196,444

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 05/18 1.6
5/29/2018
1.6%
**
2,362,409

PRIMERICA INC COMMON STOCK
 
 
**
31,256

PRIMORIS SERVICES CORP COMMON STOCK USD.0001
 
 
**
84,605

PRINCIPAL LFE GLB FND II SECURED 144A 05/18 VAR
5/21/2018
1.21%
**
5,428,871

PRINCIPAL LFE GLB FND II SECURED 144A 11/21 2.375
11/21/2021
2.38%
**
83,831

PRINCIPAL LFE GLB FND II SR SECURED 144A 10/18 2.25
10/15/2018
2.25%
**
212,087

PRINCIPAL LFE GLB FND II SR SECURED 144A 12/17 VAR
12/1/2017
1.43%
**
7,018,247

PRIVATE EXPORT FUNDING US GOVT GUAR 03/19 4.375
3/15/2019
4.38%
**
521,107

PRIVATE EXPORT FUNDING US GOVT GUAR 11/22 2.05
11/15/2022
2.05%
**
379,433

PRIVATEBANCORP INC COMMON STOCK
 
 
**
1,996,902

PROASSURANCE CORP COMMON STOCK USD.01
 
 
**
5,077,333

PROCTER + GAMBLE CO WHEN DIS COMMON STOCK
 
 
**
1,896,088

PROGRESS ENERGY INC SR UNSECURED 04/22 3.15
4/1/2022
3.15%
**
126,130

PROGRESS RESIDENTIAL TRUST PROG 2015 SFR2 A 144A
6/12/2032
2.74%
**
740,682

PROGRESS SOFTWARE CORP COMMON STOCK USD.01
 
 
**
153,807

PROGRESSIVE CORP SR UNSECURED 04/44 4.35
4/25/2044
4.35%
**
64,308

PROOFPOINT INC COMMON STOCK USD.0001
 
 
**
16,575,408

PROSIEBENSAT.1 MEDIA SE COMMON STOCK
 
 
**
1,714,634

PROSPERITY BANCSHARES INC COMMON STOCK USD1.0
 
 
**
3,542,343

PROTECTIVE LIFE GLOBAL SR SECURED 144A 06/18 VAR
6/8/2018
1.5%
**
7,000,945

PROTO LABS INC COMMON STOCK USD.001
 
 
**
2,639,390

PROV ST JOSEPH HLTH OBL UNSECURED 10/26 2.746
10/1/2026
2.75%
**
22,720

PROVIDENCE SERVICE CORP COMMON STOCK USD.001
 
 
**
45,318

PROVIDENT FINANCIAL HLDGS COMMON STOCK USD.01
 
 
**
18,643

PROVIDENT FINANCIAL SERVICES COMMON STOCK USD.01
 
 
**
185,648

PROVINCE OF ALBERTA UNSECURED 06/20 1.25
6/1/2020
1.25%
**
1,335,548

PROVINCE OF ALBERTA UNSECURED 06/25 2.35
6/1/2025
2.35%
**
1,407,619

PROVINCE OF QUEBEC NOTES 12/21 4.25
12/1/2021
4.25%
**
166,874

PROVINCE OF QUEBEC SR UNSECURED 12/18 4.5
12/1/2018
4.5%
**
158,914

PROXIMUS COMMON STOCK
 
 
**
267,340

PRUDENTIAL BANCORP INC COMMON STOCK USD.01
 
 
**
15,768

PRUDENTIAL FINANCIAL INC COMMON STOCK USD.01
 
 
**
4,400,385

PRUDENTIAL FINANCIAL INC SR UNSECURED 06/20 5.375
6/21/2020
5.38%
**
98,582


84
Table of Contents

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

PRUDENTIAL PLC COMMON STOCK GBP.05
 
 
**
1,711,559

PRYSMIAN SPA COMMON STOCK EUR.1
 
 
**
962,368

PSEG POWER LLC COMPANY GUAR 09/21 4.15
9/15/2021
4.15%
**
114,716

PSP SWISS PROPERTY AG REG COMMON STOCK CHF.1
 
 
**
291,876

PTT EXPLOR + PROD PCL NVDR NVDR THB1.0
 
 
**
31,984

PTT GLOBAL CHEMICAL PCL NVDR NVDR THB10.0
 
 
**
304,000

PUB SVC NEW HAMP 1ST MORTGAGE 11/23 3.5
11/1/2023
3.50%
**
42,813

PUBLIC BANK BERHAD COMMON STOCK MYR1.
 
 
**
264,633

PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/22 2.25
9/15/2022
2.25%
**
30,508

PUBLIC SERVICE OKLAHOMA SR UNSECURED 12/19 5.15
12/1/2019
5.15%
**
107,532

PULTEGROUP INC COMMON STOCK USD.01
 
 
**
620,362

PURE STORAGE INC CLASS A COMMON STOCK USD.0001
 
 
**
4,631,083

QBE INSURANCE GROUP LTD COMMON STOCK
 
 
**
575,384

QCR HOLDINGS INC COMMON STOCK USD1.0
 
 
**
35,203

QEP RESOURCES INC COMMON STOCK USD.01
 
 
**
88,497

QORVO INC COMMON STOCK USD.0001
 
 
**
336,470

QUAD GRAPHICS INC COMMON STOCK USD.025
 
 
**
93,677

QUALCOMM INC COMMON STOCK USD.0001
 
 
**
36,155,160

QUALCOMM INC SR UNSECURED 05/45 4.8
5/20/2045
4.80%
**
534,315

QUALICORP SA COMMON STOCK
 
 
**
135,443

QUALYS INC COMMON STOCK USD.001
 
 
**
1,628,234

QUANEX BUILDING PRODUCTS COMMON STOCK USD.01
 
 
**
74,907

QUANTA SERVICES INC COMMON STOCK USD.00001
 
 
**
739,412

QUEBECOR INC CL B COMMON STOCK
 
 
**
623,368

QUIDEL CORP COMMON STOCK USD.001
 
 
**
27,910

QUINSTREET INC COMMON STOCK USD.001
 
 
**
12,904

QUINTILES IMS HOLDINGS INC COMMON STOCK USD.01
 
 
**
15,605,004

QUORUM HEALTH CORP COMMON STOCK USD.0001
 
 
**
13,340

RAC BOND CO PLC SR SECURED REGS 05/23 4.565
5/6/2023
4.57%
**
1,073,082

RACE POINT CLO LTD RACEP 2012 7A AR 144A
11/8/2024
1.2%
**
1,299,991

RADIAN GROUP INC COMMON STOCK USD.001
 
 
**
3,907,414

RALPH LAUREN CORP COMMON STOCK USD.01
 
 
**
1,737,034

RAMBUS INC COMMON STOCK USD.001
 
 
**
52,064

RAMCO GERSHENSON PROPERTIES REIT USD.01
 
 
**
88,371

RAMI LEVY CHAIN STORES HASHI COMMON STOCK ILS.01
 
 
**
295,517

RAMIRENT OYJ COMMON STOCK
 
 
**
527,695

RANDSTAD HOLDING NV COMMON STOCK EUR.1
 
 
**
5,097,605

RANGE RESOURCES CORP COMMON STOCK USD.01
 
 
**
2,117,469

RAUBEX GROUP LTD COMMON STOCK ZAR.01
 
 
**
249,148

RAVEN INDUSTRIES INC COMMON STOCK USD1.0
 
 
**
15,851

RAYMOND JAMES FINANCIAL INC COMMON STOCK USD.01
 
 
**
3,250,287


85
Table of Contents

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

RAYTHEON COMPANY SR UNSECURED 12/22 2.5
12/15/2022
2.5%
**
79,600

RBC BEARINGS INC COMMON STOCK USD.01
 
 
**
97,265

RCI HOSPITALITY HOLDINGS INC COMMON STOCK USD.01
 
 
**
17,528

RE/MAX HOLDINGS INC CL A COMMON STOCK USD.0001
 
 
**
46,928

READING INTERNATIONAL INC A COMMON STOCK USD.01
 
 
**
13,313

REALKREDIT DANMARK COVERED 01/17 1
1/1/2017
1.00%
**
432,652

REALKREDIT DANMARK COVERED 01/17 2
1/1/2017
2.00%
**
177,316

REALKREDIT DANMARK COVERED 04/17 1
4/1/2017
1.00%
**
7,000,037

REALKREDIT DANMARK COVERED 04/17 2
4/1/2017
2.00%
**
6,360,872

REALKREDIT DANMARK COVERED 04/18 1
4/1/2018
1.00%
**
1,469,299

REALKREDIT DANMARK COVERED 10/37 2
10/1/2037
2.00%
**
620,695

REALKREDIT DANMARK COVERED 10/37 2.5
10/1/2037
2.50%
**
1,344,253

REALKREDIT DANMARK COVERED 10/47 2
10/1/2047
2.00%
**
1,192,365

REALKREDIT DANMARK COVERED 10/47 2.5
10/1/2047
2.50%
**
2,371,019

REALKREDIT DANMARK COVERED 10/47 3
10/1/2047
3.00%
**
3,027,899

REALNETWORKS INC COMMON STOCK USD.001
 
 
**
17,433

REALOGY HOLDINGS CORP COMMON STOCK USD.01
 
 
**
90,775

REALTEK SEMICONDUCTOR CORP COMMON STOCK TWD10.
 
 
**
325,980

REALTY INCOME CORP SR UNSECURED 01/27 3
1/15/2027
3.00%
**
21,654

REALTY INCOME CORP SR UNSECURED 07/24 3.875
7/15/2024
3.88%
**
76,583

RECKITT BENCKISER GROUP PLC COMMON STOCK GBP.1
 
 
**
6,239,672

RECKITT BENCKISER TREAS
8/30/2017
1.35%
**
9,909,625

RED HAT INC COMMON STOCK USD.0001
 
 
**
6,563,928

RED ROBIN GOURMET BURGERS COMMON STOCK USD.001
 
 
**
68,357

REDEFINE PROPERTIES LTD REIT
 
 
**
92,308

REDROW PLC COMMON STOCK GBP.1
 
 
**
177,051

REGAL BELOIT CORP COMMON STOCK USD.01
 
 
**
212,182

REGENCY CENTERS CORP REIT USD.01
 
 
**
103,701

REGENERON PHARMACEUTICALS COMMON STOCK USD.001
 
 
**
13,333,443

REGIONAL MANAGEMENT CORP COMMON STOCK USD.1
 
 
**
29,618

REINSURANCE GROUP OF AMERICA COMMON STOCK USD.01
 
 
**
587,374

RELIANCE CAPITAL LTD COMMON STOCK INR10.
 
 
**
285,816

RELIANCE INDUSTRIES LTD COMMON STOCK INR10.
 
 
**
86,478

RELIANCE STEEL + ALUMINUM COMMON STOCK
 
 
**
4,911,913

RELX NV COMMON STOCK EUR.07
 
 
**
1,757,802

RELX PLC COMMON STOCK GBP.144397
 
 
**
293,653

REMGRO LTD COMMON STOCK
 
 
**
111,093

RENAISSANCERE HOLDINGS LTD COMMON STOCK USD1.0
 
 
**
7,378,493

RENASANT CORP COMMON STOCK USD5.0
 
 
**
2,920,948

RENAULT SA COMMON STOCK EUR3.81
 
 
**
141,193

RENEWABLE ENERGY GROUP INC COMMON STOCK USD.0001
 
 
**
41,759


86
Table of Contents

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

RENT A CENTER INC COMMON STOCK USD.01
 
 
**
59,963

REPLIGEN CORP COMMON STOCK USD.01
 
 
**
3,602,550

REPO BNP PARIBAS SECURITIES CO REPO DUMMY ASSET
2/23/2017
 
**
11,589,825

REPSOL SA COMMON STOCK EUR1.
 
 
**
1,637,690

REPUBLIC BANCORP INC CLASS A COMMON STOCK
 
 
**
76,984

REPUBLIC OF CYPRUS SR UNSECURED 144A REGS 02/20 4
2/3/2020
4.63%
**
798,129

REPUBLIC OF INDONESIA SR UNSECURED 144A 06/23 2.625
6/14/2023
2.63%
**
4,555,961

REPUBLIC OF INDONESIA SR UNSECURED 144A 07/21 2.875
7/8/2021
2.88%
**
1,100,236

REPUBLIC OF INDONESIA SR UNSECURED REGS 03/20 5.875
3/13/2020
5.88%
**
605,723

REPUBLIC OF PHILIPPINES SR UNSECURED 01/36 6.25
1/14/2036
6.25%
**
1,511,648

REPUBLIC OF SLOVENIA SR UNSECURED REGS 02/19 4.125
2/18/2019
4.13%
**
1,867,788

REPUBLIC OF SLOVENIA SR UNSECURED REGS 05/18 4.75
5/10/2018
4.75%
**
828,480

REPUBLIC OF SLOVENIA SR UNSECURED REGS 05/23 5.85
5/10/2023
5.85%
**
4,055,134

REPUBLIC OF SLOVENIA SR UNSECURED REGS 10/22 5.5
10/26/2022
5.50%
**
7,955,827

REPUBLIC OF SOUTH AFRICA BONDS 12/26 10.5
12/21/2026
10.50%
**
96,753

REPUBLIC OF SOUTH AFRICA SR UNSECURED 05/19 6.875
5/27/2019
6.88%
**
1,294,080

REPUBLIC OF SOUTH AFRICA SR UNSECURED 07/26 3.75
7/24/2026
3.75%
**
430,127

REPUBLIC OF SOUTH AFRICA SR UNSECURED 07/44 5.375
7/24/2044
5.38%
**
688,800

REPUBLIC SERVICES INC SR UNSECURED 09/19 5.5
9/15/2019
5.50%
**
130,589

RESILIENT REIT LTD REIT
 
 
**
58,598

RESOLUTE FOREST PRODUCTS COMMON STOCK USD.001
 
 
**
50,451

RESONA HOLDINGS INC COMMON STOCK
 
 
**
1,132,335

RESOURCE CAPITAL CORP LTD RSO 2015 CRE4 A 144A
8/15/2032
2.11%
**
887,726

RESOURCES CONNECTION INC COMMON STOCK USD.01
 
 
**
72,996

RESTAURANT GROUP PLC COMMON STOCK GBP.28125
 
 
**
176,025

RETAIL OPPORTUNITY INVESTMEN REIT USD.0001
 
 
**
1,950,193

RETAILMENOT INC COMMON STOCK USD.001
 
 
**
39,990

REXEL SA COMMON STOCK EUR5.
 
 
**
628,423

REXNORD CORP COMMON STOCK USD.01
 
 
**
2,534,162

REYNOLDS AMERICAN INC COMPANY GUAR 08/45 5.85
8/15/2045
5.85%
**
828,888

RICE ENERGY INC COMMON STOCK USD.01
 
 
**
5,128,206

RICE PARK FINANCING TRUST RICE 2016 A A 144A
10/31/2041
4.63%
**
413,697

RICHTER GEDEON NYRT COMMON STOCK HUF100.
 
 
**
54,438

RICOH LEASING CO LTD COMMON STOCK
 
 
**
411,082

RIGHTMOVE PLC COMMON STOCK GBP.01
 
 
**
250,782

RING ENERGY INC COMMON STOCK USD.001
 
 
**
29,292

RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
7/6/2024
9.25%
**
949,865

RIO TINTO LTD COMMON STOCK
 
 
**
268,179

RIO TINTO PLC COMMON STOCK GBP.1
 
 
**
3,300,012

RIOCAN REAL ESTATE INVST TR REIT
 
 
**
95,316

RIVERVIEW BANCORP INC COMMON STOCK USD.01
 
 
**
14,945


87
Table of Contents

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

RLJ LODGING TRUST REIT
 
 
**
176,695

RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS
6/12/2044
0.53%
**
3,172,514

RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS
6/12/2044
0.55%
**
1,130,753

RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS
6/12/2044
0.53%
**
1,751,773

RMB HOLDINGS LTD COMMON STOCK ZAR.01
 
 
**
91,207

RMR GROUP INC/THE A COMMON STOCK
 
 
**
9,401

ROADRUNNER TRANSPORTATION SY COMMON STOCK USD.01
 
 
**
36,209

ROBERT HALF INTL INC COMMON STOCK USD.001
 
 
**
1,011,941

ROBINSONS LAND CO COMMON STOCK PHP1.0
 
 
**
204,705

ROCHE HOLDING AG GENUSSCHEIN COMMON STOCK
 
 
**
15,363,249

ROCHE HOLDINGS LTD SPONS ADR ADR
 
 
**
975,212

ROCKWELL AUTOMATION INC COMMON STOCK USD1.0
 
 
**
376,992

ROCKY BRANDS INC COMMON STOCK
 
 
**
9,471

ROGERS COMMUNICATIONS IN COMPANY GUAR 05/32 8.75
5/1/2032
8.75%
**
61,308

ROGERS COMMUNICATIONS INC B COMMON STOCK
 
 
**
218,081

ROGERS CORP COMMON STOCK USD1.0
 
 
**
133,803

ROHM CO LTD COMMON STOCK
 
 
**
63,472

ROLLS ROYCE HOLDINGS PLC COMMON STOCK GBP.2
 
 
**
1,699,040

ROSNEFT OIL CO PJSC REG GDR GDR
 
 
**
108,732

ROSS STORES INC COMMON STOCK USD.01
 
 
**
180,531

ROWAN COMPANIES PLC A COMMON STOCK USD.125
 
 
**
224,451

ROYAL BANK OF CANADA COVERED 03/21 2.3
3/22/2021
2.30%
**
1,092,300

ROYAL BANK OF CANADA COVERED 09/17 1.2
9/19/2017
1.20%
**
245,670

ROYAL BANK OF CANADA SR UNSECURED 04/19 VAR
4/15/2019
1.59%
**
6,280,361

ROYAL BK OF SCOTLAND PLC SUBORDINATED 04/18 6.934
4/9/2018
6.93%
**
792,213

ROYAL BK OF SCOTLAND PLC SUBORDINATED REGS 03/22 VAR
3/16/2022
9.50%
**
609,276

ROYAL BK OF SCOTLAND PLC SUBORDINATED REGS 03/22 VAR
3/19/2022
13.13%
**
2,438,407

ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR
12/29/2049
8.63%
**
918,000

ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR
12/29/2049
8.00%
**
574,500

ROYAL DUTCH SHELL PLC A SHS COMMON STOCK EUR.07
 
 
**
335,312

ROYAL DUTCH SHELL PLC B SHS COMMON STOCK EUR.07
 
 
**
1,530,917

ROYAL DUTCH SHELL SPON ADR A ADR
 
 
**
22,167,135

ROYAL GOLD INC COMMON STOCK USD.01
 
 
**
140,257

ROYAL MAIL PLC COMMON STOCK GBP.01
 
 
**
1,408,459

RPC INC COMMON STOCK USD.1
 
 
**
26,506

RPM INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
4,811,379

RPX CORP COMMON STOCK USD.0001
 
 
**
53,136

RSP PERMIAN INC COMMON STOCK USD.01
 
 
**
3,129,022

RTI SURGICAL INC COMMON STOCK USD.001
 
 
**
16,617

RUBICON PROJECT INC/THE COMMON STOCK USD.00001
 
 
**
19,522

RUBY TUESDAY INC COMMON STOCK USD.01
 
 
**
44,157


88
Table of Contents

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

RUDOLPH TECHNOLOGIES INC COMMON STOCK USD.001
 
 
**
78,970

RUSH ENTERPRISES INC CL A COMMON STOCK USD.01
 
 
**
91,553

RWE AG COMMON STOCK
 
 
**
968,674

RYDER SYSTEM INC COMMON STOCK USD.5
 
 
**
396,765

RYDER SYSTEM INC SR UNSECURED 06/17 3.5
6/1/2017
3.50%
**
134,125

RYDER SYSTEM INC SR UNSECURED 09/20 2.875
9/1/2020
2.88%
**
69,750

RYMAN HOSPITALITY PROPERTIES REIT USD.01
 
 
**
90,419

S + T BANCORP INC COMMON STOCK USD2.5
 
 
**
131,643

S+P GLOBAL INC COMMON STOCK USD1.0
 
 
**
4,967,810

SABRA HEALTH CARE REIT INC REIT USD.01
 
 
**
2,442

SAF HOLLAND SA COMMON STOCK EUR.01
 
 
**
513,420

SAFEGUARD SCIENTIFICS INC
 
 
**
(3,631
)
SAFEGUARD SCIENTIFICS INC COMMON STOCK USD.1
 
 
**
780,221

SAFETY INSURANCE GROUP INC COMMON STOCK USD.01
 
 
**
69,941

SAGA COMMUNICATIONS INC CL A COMMON STOCK USD.01
 
 
**
25,754

SAGE GROUP PLC/THE COMMON STOCK GBP.01051948
 
 
**
947,159

SAIA INC COMMON STOCK USD.001
 
 
**
1,820,569

SAKAI CHEMICAL INDUSTRY CO COMMON STOCK
 
 
**
157,560

SALEM MEDIA GROUP INC COMMON STOCK USD.01
 
 
**
10,888

SALESFORCE.COM INC COMMON STOCK USD.001
 
 
**
20,150,106

SAM YUNG TRADING CO LTD COMMON STOCK KRW500.
 
 
**
435,478

SAMSUNG BIOLOGICS CO LTD COMMON STOCK KRW2500.0
 
 
**
828,137

SAMSUNG ELECTRONICS CO LTD COMMON STOCK KRW5000.0
 
 
**
14,037,935

SAN A CO LTD COMMON STOCK
 
 
**
572,624

SANDERSON FARMS INC COMMON STOCK USD1.0
 
 
**
233,809

SANDY SPRING BANCORP INC COMMON STOCK USD1.0
 
 
**
102,454

SANGAMO THERAPEUTICS INC COMMON STOCK USD.01
 
 
**
11,675

SANKEN ELECTRIC CO LTD COMMON STOCK
 
 
**
329,232

SANMINA CORP COMMON STOCK USD.01
 
 
**
293,017

SANOFI ADR ADR
 
 
**
5,665,644

SANOFI COMMON STOCK EUR2.
 
 
**
625,847

SANTANDER DRIVE AUTO RECEIVABL SDART 2016 3 A2
11/15/2019
1.34%
**
3,901,878

SANTANDER HOLDINGS USA SR UNSECURED 05/19 2.7
5/24/2019
2.70%
**
399,696

SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/49 VAR
12/29/2049
7.38%
**
741,428

SANTANDER UK GROUP HLDGS SR UNSECURED 01/21 3.125
1/8/2021
3.13%
**
997,664

SANTANDER UK GROUP HLDGS SR UNSECURED 10/20 2.875
10/16/2020
2.88%
**
990,991

SANTANDER UK PLC SR UNSECURED 03/19 2.5
3/14/2019
2.5%
**
771,479

SANTANDER UK PLC SUBORDINATED 144A 11/23 5
11/7/2023
5.00%
**
712,127

SAP SE COMMON STOCK
 
 
**
6,592,189

SAPUTO INC COMMON STOCK
 
 
**
237,825

SARTORIUS STEDIM BIOTECH COMMON STOCK EUR.2
 
 
**
1,233,440


89
Table of Contents

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

SASOL LTD COMMON STOCK
 
 
**
142,700

SATO CORP COMMON STOCK
 
 
**
339,203

SATS LTD COMMON STOCK
 
 
**
707,005

SAUDI INTERNATIONAL BOND SR UNSECURED 144A 10/21 2.375
10/26/2021
2.38%
**
9,029,705

SAUDI INTERNATIONAL BOND SR UNSECURED 144A 10/26 3.25
10/26/2026
3.25%
**
948,024

SAUDI INTERNATIONAL BOND SR UNSECURED 144A 10/46 4.5
10/26/2046
4.50%
**
287,350

SCANA CORPORATION SR UNSECURED 02/22 4.125
2/1/2022
4.13%
**
101,039

SCANSOURCE INC COMMON STOCK
 
 
**
115,805

SCENTRE GROUP REIT
 
 
**
252,088

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 08/22 2.4
8/1/2022
2.4%
**
98,169

SCHLUMBERGER LTD COMMON STOCK USD.01
 
 
**
6,024,000

SCHNEIDER ELECTRIC SE COMMON STOCK EUR4.0
 
 
**
6,033,695

SCHNITZER STEEL INDS INC A COMMON STOCK USD1.0
 
 
**
72,140

SCHOLASTIC CORP COMMON STOCK USD.01
 
 
**
146,032

SCHULMAN (A.) INC COMMON STOCK USD1.0
 
 
**
96,002

SCHWAB (CHARLES) CORP COMMON STOCK USD.01
 
 
**
13,330,322

SCHWEITZER MAUDUIT INTL INC COMMON STOCK USD.1
 
 
**
135,315

SCICLONE PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
16,967

SCOR SE COMMON STOCK EUR7.876972
 
 
**
435,925

SCORPIO TANKERS INC COMMON STOCK USD.01
 
 
**
77,540

SCSK CORP COMMON STOCK
 
 
**
420,800

SDL PLC COMMON STOCK GBP.01
 
 
**
181,632

SE09H17AS TRS SEK P E M7SE9/20170315/E09H17ASS
 
 
**
(2,542,755
)
SE09H17AS TRS SEK R V 01MSTIBO STBB1M/-0.0035 /E09H17ASS
3/15/2017
1.00%
**
2,595,384

SEABOARD CORP COMMON STOCK USD1.0
 
 
**
173,888

SEACHANGE INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
460

SEACOAST BANKING CORP/FL COMMON STOCK USD.1
 
 
**
72,357

SEACOR HOLDINGS INC COMMON STOCK USD.01
 
 
**
131,512

SEAGATE TECHNOLOGY COMMON STOCK USD.00001
 
 
**
9,752,473

SEALED AIR CORP COMMON STOCK USD.1
 
 
**
2,482,320

SEARS HOMETOWN AND OUTLET ST COMMON STOCK USD.01
 
 
**
9,870

SEASPINE HOLDINGS CORP COMMON STOCK USD.01
 
 
**
4,448

SEATTLE GENETICS INC COMMON STOCK USD.001
 
 
**
159,260

SEAWORLD ENTERTAINMENT INC COMMON STOCK USD.01
 
 
**
21,353

SECOM CO LTD COMMON STOCK
 
 
**
58,631

SECURITY BANK CORP COMMON STOCK PHP10.
 
 
**
182,859

SEGA SAMMY HOLDINGS INC COMMON STOCK
 
 
**
198,300

SEGRO PLC REIT GBP.1
 
 
**
881,047

SEIKO EPSON CORP COMMON STOCK
 
 
**
691,773

SEKISUI HOUSE LTD COMMON STOCK
 
 
**
116,762

SELECT BANCORP INC COMMON STOCK USD1.0
 
 
**
16,105


90
Table of Contents

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

SELECT INCOME REIT REIT USD.01
 
 
**
68,998

SELECT MEDICAL HOLDINGS CORP COMMON STOCK USD.001
 
 
**
167,043

SELECTIVE INSURANCE GROUP COMMON STOCK USD2.0
 
 
**
3,035,757

SEMBCORP INDUSTRIES LTD COMMON STOCK
 
 
**
27,618

SEMGROUP CORP CLASS A COMMON STOCK
 
 
**
170,298

SEMICONDUCTOR MANUFACTURING COMMON STOCK USD.004
 
 
**
2,252,777

SEMPRA ENERGY SR UNSECURED 10/39 6
10/15/2039
6%
**
142,986

SEMPRA ENERGY SR UNSECURED 12/23 4.05
12/1/2023
4.05%
**
105,487

SENECA FOODS CORP CL A COMMON STOCK USD.25
 
 
**
36,926

SENIOR PLC COMMON STOCK GBP.1
 
 
**
312,593

SENSATA TECHNOLOGIES HOLDING COMMON STOCK EUR.01
 
 
**
7,341,686

SENSIENT TECHNOLOGIES CORP COMMON STOCK USD.1
 
 
**
2,405,727

SEOBU T+D COMMON STOCK KRW500.
 
 
**
531,418

SEQUOIA MORTGAGE TRUST SEMT 2004 3 A
5/20/2034
1.4%
**
13,576

SEQUOIA MORTGAGE TRUST SEMT 2005 2 A2
3/20/2035
1.12%
**
468,160

SERVICE CORP INTERNATIONAL COMMON STOCK USD1.0
 
 
**
11,360

SERVICEMASTER GLOBAL HOLDING COMMON STOCK USD.01
 
 
**
2,749,910

SERVICENOW INC COMMON STOCK USD.001
 
 
**
22,480,416

SEVERSTAL GDR REG S GDR
 
 
**
415,553

SHAKE SHACK INC CLASS A COMMON STOCK USD.01
 
 
**
578,259

SHANKS GROUP PLC COMMON STOCK GBP.1
 
 
**
455,642

SHELL INTERNATIONAL FIN COMPANY GUAR 05/26 2.875
5/10/2026
2.88%
**
108,281

SHELL INTERNATIONAL FIN COMPANY GUAR 05/35 4.125
5/11/2035
4.13%
**
109,254

SHELL INTERNATIONAL FIN COMPANY GUAR 05/46 4
5/10/2046
4%
**
103,276

SHELL INTERNATIONAL FIN COMPANY GUAR 08/23 3.4
8/12/2023
3.4%
**
71,833

SHELL INTERNATIONAL FIN COMPANY GUAR 08/43 4.55
8/12/2043
4.55%
**
26,071

SHENANDOAH TELECOMMUNICATION COMMON STOCK
 
 
**
112,285

SHENZHEN EXPRESSWAY CO H COMMON STOCK CNY1.0
 
 
**
502,820

SHERWIN WILLIAMS CO/THE COMMON STOCK USD1.0
 
 
**
2,775,547

SHILOH INDUSTRIES INC COMMON STOCK USD.01
 
 
**
10,621

SHIMAMURA CO LTD COMMON STOCK
 
 
**
200,146

SHIN ETSU CHEMICAL CO LTD COMMON STOCK
 
 
**
2,184,445

SHINHAN FINANCIAL GROUP LTD COMMON STOCK KRW5000.
 
 
**
70,359

SHINSEI BANK LTD COMMON STOCK
 
 
**
50,414

SHIONOGI + CO LTD COMMON STOCK
 
 
**
4,987,663

SHIP FINANCE INTL LTD COMMON STOCK USD.01
 
 
**
138,506

SHIP HEALTHCARE HOLDINGS INC COMMON STOCK
 
 
**
465,555

SHIRE ACQ INV IRELAND DA COMPANY GUAR 09/23 2.875
9/23/2023
2.88%
**
44,671

SHIRE PLC ADR ADR
 
 
**
7,303,679

SHIRE PLC COMMON STOCK GBP.05
 
 
**
726,482

SHOE CARNIVAL INC COMMON STOCK USD.01
 
 
**
49,778


91
Table of Contents

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

SHOPIFY INC CLASS A COMMON STOCK
 
 
**
502,951

SHORE BANCSHARES INC COMMON STOCK USD.01
 
 
**
18,056

SHORETEL INC COMMON STOCK USD.001
 
 
**
23,595

SHUTTERFLY INC COMMON STOCK USD.0001
 
 
**
99,607

SI FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
**
20,313

SIAM CEMENT PCL NVDR NVDR THB1.0
 
 
**
73,409

SIBANYE GOLD LTD COMMON STOCK
 
 
**
126,699

SIEMENS AG REG COMMON STOCK NPV
 
 
**
1,918,020

SIEMENS FINANCIERINGSMAT COMPANY GUAR 144A 09/19 VAR
9/13/2019
1.28%
**
5,550,470

SIERRA BANCORP COMMON STOCK
 
 
**
38,157

SIFCO INDUSTRIES COMMON STOCK USD1.0
 
 
**
3,917

SIGMA DESIGNS INC COMMON STOCK
 
 
**
21,000

SIGNATURE BANK COMMON STOCK USD.01
 
 
**
2,027,700

SIKA AG BR COMMON STOCK CHF.6
 
 
**
760,502

SILERGY CORP COMMON STOCK TWD10.0
 
 
**
2,887,772

SILGAN HOLDINGS INC COMMON STOCK USD.01
 
 
**
1,721,030

SILICON LABORATORIES INC COMMON STOCK USD.0001
 
 
**
1,240,265

SIMMONS FIRST NATL CORP CL A COMMON STOCK USD.01
 
 
**
144,126

SIMON PROPERTY GROUP LP SR UNSECURED 03/21 4.375
3/1/2021
4.38%
**
251,210

SIMPSON MANUFACTURING CO INC COMMON STOCK USD.01
 
 
**
1,763,563

SINCLAIR BROADCAST GROUP A COMMON STOCK USD.01
 
 
**
78,139

SINGAPORE AIRLINES LTD COMMON STOCK
 
 
**
52,878

SINGAPORE EXCHANGE LTD COMMON STOCK
 
 
**
59,473

SINGAPORE TECH ENGINEERING COMMON STOCK
 
 
**
42,479

SINGAPORE TELECOMMUNICATIONS COMMON STOCK NPV
 
 
**
1,193,002

SINO BIOPHARMACEUTICAL COMMON STOCK HKD.025
 
 
**
721,131

SINO LAND CO COMMON STOCK
 
 
**
707,408

SINOFERT HOLDINGS LTD COMMON STOCK HKD.1
 
 
**
178,495

SINOPEC SHANGHAI PETROCHEM H COMMON STOCK CNY1.0
 
 
**
287,109

SINOPHARM GROUP CO H COMMON STOCK CNY1.0
 
 
**
370,882

SINOTRANS LIMITED H COMMON STOCK CNY1.0
 
 
**
233,399

SISTEMA PJSC REG S SPONS GDR GDR
 
 
**
254,430

SITEONE LANDSCAPE SUPPLY INC COMMON STOCK USD.01
 
 
**
1,248,544

SK HYNIX INC COMMON STOCK KRW5000.
 
 
**
429,347

SK INNOVATION CO LTD COMMON STOCK KRW5000.
 
 
**
444,546

SK NETWORKS CO LTD COMMON STOCK KRW2500.
 
 
**
53,799

SK TELECOM COMMON STOCK KRW500.
 
 
**
343,474

SKANDINAVISKA ENSKILDA SR UNSECURED 144A 03/18 1.75
3/19/2018
1.75%
**
199,648

SKANSKA AB B SHS COMMON STOCK
 
 
**
118,150

SKYWEST INC COMMON STOCK
 
 
**
190,524

SKYWORKS SOLUTIONS INC COMMON STOCK USD.25
 
 
**
1,117,138


92
Table of Contents

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

SLC AGRICOLA SA COMMON STOCK
 
 
**
118,705

SLM CORP COMMON STOCK USD.2
 
 
**
41,127

SLM STUDENT LOAN TR 03 7 SLM STUDENT LOAN TR 03 7 REGS
12/15/2033
0.23%
**
455,388

SLM STUDENT LOAN TRUST SLMA 2005 10 A4
10/25/2019
0.75%
**
7,069

SLM STUDENT LOAN TRUST SLMA 2006 B A4
3/15/2024
1.14%
**
94,948

SLM STUDENT LOAN TRUST SLMA 2007 A A4A
12/16/2041
1.2%
**
692,153

SM ENERGY CO COMMON STOCK USD.01
 
 
**
58,133

SM PRIME HOLDINGS INC COMMON STOCK PHP1.0
 
 
**
31,765

SMART + FINAL STORES INC COMMON STOCK USD.001
 
 
**
24,238

SMITH (A.O.) CORP COMMON STOCK USD1.0
 
 
**
1,396,825

SMITH + NEPHEW PLC COMMON STOCK USD.2
 
 
**
3,723,782

SMITHS GROUP PLC COMMON STOCK GBP.375
 
 
**
1,866,488

SNAM SPA COMMON STOCK
 
 
**
399,082

SNC LAVALIN GROUP INC COMMON STOCK
 
 
**
63,649

SNYDERS LANCE INC COMMON STOCK USD.833
 
 
**
95,122

SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 F A2 144A
2/25/2040
3.02%
**
1,495,272

SOCIETE GENERALE INSTL
10/19/2017
1.47%
**
3,200,000

SOCIETE GENERALE INSTL
10/20/2017
1.45%
**
6,500,000

SOCIETE GENERALE SA COMMON STOCK EUR1.25
 
 
**
1,652,976

SOCIETE GENERALE SUBORDINATED 144A 04/25 4.25
4/14/2025
4.25%
**
1,067,109

SODEXO COMMON STOCK EUR4.
 
 
**
110,226

SOFTBANK GROUP CORP COMMON STOCK
 
 
**
885,450

SOMPO HOLDINGS INC COMMON STOCK
 
 
**
400,634

SONIC AUTOMOTIVE INC CLASS A COMMON STOCK USD.01
 
 
**
86,837

SONIC CORP COMMON STOCK USD.01
 
 
**
2,172,070

SONOCO PRODUCTS CO COMMON STOCK
 
 
**
34,202

SONUS NETWORKS INC COMMON STOCK USD.001
 
 
**
20,299

SONY CORP COMMON STOCK
 
 
**
112,316

SOTHEBY S COMMON STOCK USD.01
 
 
**
130,183

SOUTH STATE CORP COMMON STOCK USD2.5
 
 
**
3,202,074

SOUTH32 LTD COMMON STOCK
 
 
**
650,924

SOUTHERN CAL EDISON 1ST REF MORT 01/36 5.55
1/15/2036
5.55%
**
199,193

SOUTHERN CO GAS CAPITAL COMPANY GUAR 03/41 5.875
3/15/2041
5.88%
**
29,120

SOUTHERN CO GAS CAPITAL COMPANY GUAR 09/21 3.5
9/15/2021
3.5%
**
154,166

SOUTHERN COPPER CORP COMMON STOCK USD.01
 
 
**
81,543

SOUTHERN MISSOURI BANCORP COMMON STOCK USD.01
 
 
**
29,365

SOUTHERN NATL BANCORP OF VA COMMON STOCK USD.01
 
 
**
20,098

SOUTHERN POWER CO SR UNSECURED 09/41 5.15
9/15/2041
5.15%
**
40,284

SOUTHERN POWER CO SR UNSECURED 12/19 1.95
12/15/2019
1.95%
**
71,396

SOUTHERN POWER CO SR UNSECURED 12/25 4.15
12/1/2025
4.15%
**
20,723

SOUTHSIDE BANCSHARES INC COMMON STOCK USD1.25
 
 
**
65,094


93
Table of Contents

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

SOUTHWEST BANCORP INC/OKLA COMMON STOCK USD1.0
 
 
**
59,450

SOUTHWEST GAS HOLDINGS INC COMMON STOCK USD1.0
 
 
**
2,330,014

SOUTHWESTERN ELEC POWER SR UNSECURED 01/19 6.45
1/15/2019
6.45%
**
81,436

SOUTHWESTERN ELEC POWER SR UNSECURED 04/45 3.9
4/1/2045
3.9%
**
89,419

SOUTHWESTERN ENERGY CO COMMON STOCK USD.01
 
 
**
98,797

SP PLUS CORP COMMON STOCK USD.001
 
 
**
60,579

SPAIN LETRAS DEL TESORO BILLS 04/17 0.00000
4/7/2017
 
**
7,075,298

SPAR GROUP LIMITED/THE COMMON STOCK
 
 
**
189,141

SPAREBANK 1 SR BANK ASA COMMON STOCK NOK25.0
 
 
**
338,061

SPARK INFRASTRUCTURE GROUP STAPLED SECURITY
 
 
**
559,852

SPARTAN MOTORS INC COMMON STOCK USD.01
 
 
**
32,236

SPARTANNASH CO COMMON STOCK
 
 
**
3,046,517

SPARTON CORP COMMON STOCK USD1.25
 
 
**
24,446

SPECTRA ENERGY CAPITAL COMPANY GUAR 03/20 5.65
3/1/2020
5.65%
**
146,833

SPECTRA ENERGY CAPITAL COMPANY GUAR 10/19 8
10/1/2019
8%
**
85,305

SPECTRUM PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
25,003

SPEEDWAY MOTORSPORTS INC COMMON STOCK USD.01
 
 
**
82,173

SPIRE INC COMMON STOCK USD1.0
 
 
**
2,266,673

SPIRIT AIRLINES INC COMMON STOCK USD.0001
 
 
**
487,413

SPIRIT ISSUER PLC SR SECURED REGS 12/27 6.582
12/28/2027
6.58%
**
985,697

SPIRIT REALTY CAPITAL INC REIT USD.01
 
 
**
285,270

SPLUNK INC COMMON STOCK USD.001
 
 
**
4,348,364

SPOK HOLDINGS INC COMMON STOCK USD.0001
 
 
**
46,791

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 2A M1 144A
12/25/2065
3.52%
**
311,956

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 2A M2 144A
12/25/2065
4.48%
**
300,773

SPS COMMERCE INC COMMON STOCK USD.001
 
 
**
1,703,918

SPX FLOW INC COMMON STOCK USD.01
 
 
**
75,149

SQUARE INC A COMMON STOCK USD.000001
 
 
**
8,562,843

*SSGA S+P 500 INDEX SER A
 
 
**
(20,911,813
)
*SSGA S+P 500 INDEX SER A S+P 500 FLAGSHIP NON LENDING
 
 
**
10,384,752,727

*SSGA US BND INDEX SER A
 
 
**
4,640,199

*SSGA US BND INDEX SER A MUTUAL FUND
 
 
**
4,433,125,698

ST JAMES S PLACE PLC COMMON STOCK GBP.15
 
 
**
676,592

ST JUDE MEDICAL INC COMMON STOCK USD.1
 
 
**
8,487,229

STADSHYPOTEK AB COVERED 144A 10/19 1.875
10/2/2019
1.88%
**
248,715

STAG INDUSTRIAL INC REIT USD.01
 
 
**
80,728

STAGE STORES INC COMMON STOCK USD.01
 
 
**
12,542

STANDARD BANK GROUP LTD COMMON STOCK ZAR.1
 
 
**
560,826

STANDARD CHRTRD BNKN
6/2/2017
1.4%
**
12,000,000

STANDARD CHRTRD BNKN
9/12/2017
1.68%
**
5,000,000



94
Table of Contents

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

STANDARD MOTOR PRODS COMMON STOCK USD2.0
 
 
**
120,011

STANDEX INTERNATIONAL CORP
 
 
**
81,679

STANDEX INTERNATIONAL CORP COMMON STOCK USD1.5
 
 
**
2,323,984

STANLEY BLACK + DECKER INC COMMON STOCK USD2.5
 
 
**
2,430,625

STAPLES INC COMMON STOCK USD.0006
 
 
**
109,795

STARBUCKS CORP COMMON STOCK USD.001
 
 
**
7,124,993

STARBUCKS CORP SR UNSECURED 06/22 2.7
6/15/2022
2.70%
**
93,484

STARBUCKS CORP SR UNSECURED 06/45 4.3
6/15/2045
4.30%
**
630,085

STARRETT (L.S.) CO CL A COMMON STOCK USD1.0
 
 
**
6,668

STARTEK INC COMMON STOCK USD.01
 
 
**
12,988

STATE AUTO FINANCIAL CORP COMMON STOCK
 
 
**
112,656

STATE BANK FINANCIAL CORP COMMON STOCK USD.01
 
 
**
44,668

STATE OF QATAR SR UNSECURED 144A 06/46 4.625
6/2/2046
4.63%
**
1,697,865

*STATE STR BK TR CO INVT FDS
 
 
**
(4,244,766
)
*STATE STR BK TR CO INVT FDS EX US INDX NL CL A (CMLH1)
 
 
**
4,585,798,626

*STATE STREET CORP COMMON STOCK USD1.0
 
 
**
10,090,776

*STATE STREET CORP SR SUBORDINA 05/23 3.1
5/15/2023
3.10%
**
49,902

*STATE STREET CORP SR UNSECURED 11/23 3.7
11/20/2023
3.70%
**
114,518

STATOIL ASA COMPANY GUAR 01/22 3.15
1/23/2022
3.15%
**
67,346

STATOIL ASA COMPANY GUAR 01/23 2.45
1/17/2023
2.45%
**
58,568

STATOIL ASA COMPANY GUAR 05/18 1.15
5/15/2018
1.15%
**
59,631

STEEL DYNAMICS INC COMMON STOCK USD.005
 
 
**
169,218

STEELCASE INC CL A COMMON STOCK
 
 
**
36,767

STEIN MART INC COMMON STOCK USD.01
 
 
**
3,666

STEPAN CO COMMON STOCK USD1.0
 
 
**
167,034

STERIS PLC COMMON STOCK
 
 
**
1,973,247

STERLING BANCORP/DE COMMON STOCK USD.01
 
 
**
1,930,921

STERLING CONSTRUCTION CO COMMON STOCK USD.01
 
 
**
15,609

STEVEN MADDEN LTD COMMON STOCK USD.0001
 
 
**
6,066,954

STEWART INFORMATION SERVICES COMMON STOCK USD1.0
 
 
**
108,611

STHREE PLC COMMON STOCK GBP.01
 
 
**
395,085

STILLWATER MINING CO COMMON STOCK USD.01
 
 
**
169,848

STOCK YARDS BANCORP INC COMMON STOCK
 
 
**
101,036

STOCKLAND REIT NPV
 
 
**
106,502

STONERIDGE INC COMMON STOCK
 
 
**
48,948

STOREBRAND ASA COMMON STOCK NOK5.
 
 
**
253,401

STRATASYS LTD COMMON STOCK ILS.01
 
 
**
64,473

STRATUS PROPERTIES INC COMMON STOCK USD.01
 
 
**
26,921

STRIPS 02/22 0.00000
2/15/2022
 
**
2,418,154

STRIPS 02/29 0.00000
2/15/2029
 
**
1,021,643

STRIPS 02/33 0.00000
2/15/2033
 
**
873,569

STRIPS 05/20 0.00000
5/15/2020
0.01%
**
3,595,868

STRIPS 05/21 0.00000
5/15/2021
 
**
1,443,863

STRIPS 05/22 0.00000
5/15/2022
0.01%
**
1,873,544

STRIPS 05/23 0.00000
5/15/2023
0.01%
**
2,625,481

STRIPS 05/26 0.00000
5/15/2026
 
**
1,567,816

STRIPS 05/27 0.00000
5/15/2027
 
**
1,291,238


95
Table of Contents

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

STRIPS 05/30 0.00000
5/15/2030
 
**
1,360,787

STRIPS 05/31 0.00000
5/15/2031
 
**
705,704

STRIPS 05/33 0.00000
5/15/2033
 
**
927,680

STRIPS 05/34 0.00000
5/15/2034
 
**
686,004

STRIPS 08/21 0.00000
8/15/2021
0.01%
**
569,941

STRIPS 08/23 0.00000
8/15/2023
 
**
300,629

STRIPS 08/29 0.00000
8/15/2029
 
**
703,671

STRIPS 08/32 0.00000
8/15/2032
0.01%
**
1,048,463

STRIPS 08/34 0.00000
8/15/2034
0.01%
**
1,024,100

STRIPS 11/30 0.00000
11/15/2030
 
**
1,687,860

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 2A
4/25/2034
3.09%
**
654,554

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 5 3A1
5/25/2034
3.18%
**
876,055

STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 A2
4/25/2033
1.24%
**
237,356

STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4
3/25/2034
1.29%
**
551,723

STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A1
3/19/2034
1.44%
**
199,360

STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1
6/25/2033
2.89%
**
309,615

STRYKER CORP COMMON STOCK USD.1
 
 
**
6,721,700

SUFFOLK BANCORP COMMON STOCK USD2.5
 
 
**
48,258

SUL AMERICA SA UNITS UNIT
 
 
**
92,912

SUMITOMO CHEMICAL CO LTD COMMON STOCK
 
 
**
119,175

SUMITOMO DAINIPPON PHARMA CO COMMON STOCK
 
 
**
835,813

SUMITOMO ELECTRIC INDUSTRIES COMMON STOCK
 
 
**
198,097

SUMITOMO HEAVY INDUSTRIES COMMON STOCK
 
 
**
755,356

SUMITOMO MITSUI BANKING COMPANY GUAR 07/17 1.35
7/11/2017
1.35%
**
8,069,938

SUMITOMO MITSUI BANKING COMPANY GUAR 07/17 1.8
7/18/2017
1.80%
**
3,006,981

SUMITOMO MITSUI BKG CORP
9/15/2017
1.55%
**
1,400,000

SUMITOMO MITSUI BKG CORP
9/15/2017
1.55%
**
3,500,000

SUMITOMO MITSUI BKG CORP
9/15/2017
1.66%
**
300,000

SUMITOMO MITSUI BKG CORP
10/12/2017
1.50%
**
8,000,000

SUMITOMO MITSUI FINANCIAL GR COMMON STOCK
 
 
**
1,246,590

SUMITOMO MITSUI FINL GRP SR UNSECURED 07/26 2.632
7/14/2026
2.63%
**
92,926

SUMITOMO MITSUI FINL GRP SR UNSECURED 10/21 2.442
10/19/2021
2.44%
**
2,459,413

SUMITOMO MITSUI TR BK LT COMPANY GUAR 144A 03/18 1.8
3/28/2018
1.80%
**
498,078

SUMITOMO MITSUI TRUST HOLDIN COMMON STOCK
 
 
**
516,442

SUMITOMO REALTY + DEVELOPMEN COMMON STOCK
 
 
**
133,150

SUMITOMO TR & BKNG C
10/6/2017
1.57%
**
400,000

SUMITOMO TR + BKNG C
8/8/2017
1.53%
**
7,000,000

SUMMIT HOTEL PROPERTIES INC REIT
 
 
**
93,647

SUMMIT MATERIALS INC CL A COMMON STOCK USD.01
 
 
**
996,571

SUN BANCORP INC NJ COMMON STOCK USD5.0
 
 
**
11,882

SUN HUNG KAI + CO LTD COMMON STOCK
 
 
**
273,644

SUN HUNG KAI PROPERTIES COMMON STOCK
 
 
**
442,401

SUNCOKE ENERGY INC COMMON STOCK USD.01
 
 
**
72,066

SUNCOR ENERGY INC COMMON STOCK
 
 
**
5,407,322

SUNCOR ENERGY INC SR UNSECURED 12/34 5.95
12/1/2034
5.95%
**
59,035

SUNCORP GROUP LTD COMMON STOCK
 
 
**
387,961

SUNDRUG CO LTD COMMON STOCK
 
 
**
721,362


96
Table of Contents

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

SUNNY OPTICAL TECH COMMON STOCK HKD.1
 
 
**
7,118,240

SUNOCO LOGISTICS PARTNER COMPANY GUAR 02/22 4.65
2/15/2022
4.65%
**
52,884

SUNOCO LOGISTICS PARTNER COMPANY GUAR 04/21 4.4
4/1/2021
4.40%
**
66,345

SUNOCO LOGISTICS PARTNER COMPANY GUAR 04/24 4.25
4/1/2024
4.25%
**
176,352

SUNSTONE HOTEL INVESTORS INC REIT USD.01
 
 
**
219,539

SUNTRUST BANKS INC SR UNSECURED 05/19 2.5
5/1/2019
2.50%
**
68,580

SUPER MICRO COMPUTER INC COMMON STOCK USD.001
 
 
**
92,509

SUPERIOR ENERGY SERVICES INC COMMON STOCK USD.001
 
 
**
233,569

SUPERIOR UNIFORM GROUP INC COMMON STOCK
 
 
**
6,808

SUPERNUS PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
**
2,616,658

SUPREME INDS INC CLASS A COMMON STOCK USD.1
 
 
**
24,131

SURGERY PARTNERS INC COMMON STOCK USD.01
 
 
**
2,155,600

SURGICAL CARE AFFILIATES INC COMMON STOCK USD.01
 
 
**
2,559,240

SURGUTNEFTEGAS SP ADR ADR
 
 
**
102,333

SURUGA BANK LTD COMMON STOCK
 
 
**
890,283

SURYA CITRA MEDIA PT TBK COMMON STOCK IDR50.0
 
 
**
422,977

SUZUKEN CO LTD COMMON STOCK
 
 
**
57,643

SUZUKI MOTOR CORP COMMON STOCK
 
 
**
373,888

SVB FINANCIAL GROUP COMMON STOCK USD.001
 
 
**
2,717,721

SVENSKA CELLULOSA AB SCA B COMMON STOCK SEK3.33
 
 
**
753,156

SVENSKA HANDELSBANKEN AB COMPANY GUAR 09/21 1.875
9/7/2021
1.88%
**
241,429

SVENSKA HANDLSBNKN A
7/5/2017
1.16%
**
14,910,969

SWEDBANK AB SR UNSECURED 144A 03/18 1.75
3/12/2018
1.75%
**
4,291,579

SWEDBANK AB SR UNSECURED 144A 03/20 2.2
3/4/2020
2.20%
**
694,274

SWEDISH MATCH AB COMMON STOCK SEK1.9823
 
 
**
1,346,250

SWISS LIFE HOLDING AG REG COMMON STOCK CHF5.1
 
 
**
1,183,028

SWISS RE AG COMMON STOCK CHF.1
 
 
**
753,789

SWPC05DU6 CDS USD P V 03MEVENT FLO CORPORATE
9/20/2019
1.00%
**
(1,800,000
)
SWPC05DU6 CDS USD R F 1.00000 FIX CORPORATE
9/20/2019
1.00%
**
1,805,369

SWPC05DV4 CDS USD P V 03MEVENT FLO CORPORATE
9/20/2019
1.00%
**
(1,000,000
)
SWPC05DV4 CDS USD R F 1.00000 FIX CORPORATE
9/20/2019
1.00%
**
1,002,983

SWPC06O40 CDS USD P V 03MEVENT FLO SOVEREIGN
12/20/2019
1.00%
**
(1,000,000
)
SWPC06O40 CDS USD R F 1.00000 FIX SOVEREIGN
12/20/2019
1.00%
**
1,001,881

SWPC06OH1 CDS USD P V 03MEVENT FLO SOVEREIGN
12/20/2019
1.00%
**
(2,900,000
)
SWPC06OH1 CDS USD R F 1.00000 FIX SOVEREIGN
12/20/2019
1.00%
**
2,905,455

SWPC06RQ8 CDS USD P V 03MEVENT FLO SOVEREIGN
12/20/2019
1.00%
**
(1,900,000
)
SWPC06RQ8 CDS USD R F 1.00000 FIX SOVEREIGN
12/20/2019
1.00%
**
1,903,574

SWPC07UE9 CDS USD P V 03MEVENT FLO SOVEREIGN
12/20/2019
1.00%
**
(4,700,000
)
SWPC07UE9 CDS USD R F 1.00000 FIX SOVEREIGN
12/20/2019
1.00%
**
4,708,840

SWPC0B7H9 CDS USD P V 03MEVENT FLO CORPORATE
12/20/2020
1.00%
**
(300,000
)
SWPC0B7H9 CDS USD R F 1.00000 FIX CORPORATE
12/20/2020
1.00%
**
303,280

SWPC0BBB7 CDS USD P V 03MEVENT FLO CORPORATE
12/20/2020
1.00%
**
(700,000
)
SWPC0BBB7 CDS USD R F 1.00000 FIX CORPORATE
12/20/2020
1.00%
**
710,423

SWPC0CKW9 CDS USD P V 03MEVENT 2 CCPCDX
6/20/2021
1.00%
**
(1,600,000
)


97
Table of Contents

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

SWPC0CKW9 CDS USD R F 5.00000 1 CCPCDX
6/20/2021
5.00%
**
1,711,982

SWPC0D520 CDS USD P F 1.00000 FIX CORPORATE
3/20/2026
1.00%
**
(1,200,000
)
SWPC0D520 CDS USD R V 03MEVENT FLO CORPORATE
3/20/2026
1.00%
**
1,391,984

SWPC0DKQ0 CDS EUR P F 1.00000 FIX CORPORATE
6/20/2021
1.00%
**
(738,325
)
SWPC0DKQ0 CDS EUR R V 03MEVENT FLO CORPORATE
6/20/2021
1.00%
**
751,869

SWPC0DKR8 CDS EUR P F 1.00000 FIX CORPORATE
6/20/2021
1.00%
**
(632,850
)
SWPC0DKR8 CDS EUR R V 03MEVENT FLO CORPORATE
6/20/2021
1.00%
**
644,459

SWPC0DLF3 CDS EUR P F 1.00000 FIX CORPORATE
6/20/2021
1.00%
**
(843,800
)
SWPC0DLF3 CDS EUR R V 03MEVENT FLO CORPORATE
6/20/2021
1.00%
**
869,212

SWPC0DTU2 CDS USD P V 03MEVENT 2 CCPCDX
12/20/2021
1.00%
**
(26,400,000
)
SWPC0DTU2 CDS USD R F 1.00000 1 CCPCDX
12/20/2021
1.00%
**
26,799,458

SWPC0DU30 CDS USD P V 03MEVENT 2 CCPCORPORATE
12/20/2021
1.00%
**
(1,100,000
)
SWPC0DU30 CDS USD R F 1.00000 1 CCPCORPORATE
12/20/2021
1.00%
**
1,108,540

SWPC0DVJ4 CDS EUR P F 1.00000 FIX CORPORATE
12/20/2021
1.00%
**
(316,425
)
SWPC0DVJ4 CDS EUR R V 03MEVENT FLO CORPORATE
12/20/2021
1.00%
**
322,990

SWPC0DVK1 CDS EUR P F 1.00000 FIX CORPORATE
12/20/2021
1.00%
**
(316,425
)
SWPC0DVK1 CDS EUR R V 03MEVENT FLO CORPORATE
12/20/2021
1.00%
**
324,076

SWPC0DVL9 CDS EUR P F 1.00000 FIX CORPORATE
12/20/2021
1.00%
**
(316,425
)
SWPC0DVL9 CDS EUR R V 03MEVENT FLO CORPORATE
12/20/2021
1.00%
**
323,705

SWPC0DVQ8 CDS EUR P F 1.00000 FIX ITRAXX
12/20/2021
1.00%
**
(316,425
)
SWPC0DVQ8 CDS EUR R V 03MEVENT FLO ITRAXX
12/20/2021
1.00%
**
334,545

SWPC0DVS4 CDS EUR P F 1.00000 FIX ITRAXX
12/20/2021
1.00%
**
(1,265,700
)
SWPC0DVS4 CDS EUR R V 03MEVENT FLO ITRAXX
12/20/2021
1.00%
**
1,338,178

SWPC0DVW5 CDS EUR P F 1.00000 FIX ITRAXX
12/20/2021
1.00%
**
(421,900
)
SWPC0DVW5 CDS EUR R V 03MEVENT FLO ITRAXX
12/20/2021
1.00%
**
446,059

SWPC0DXA1 CDS USD P V 03MEVENT 2 CCPCDX
12/20/2021
1.00%
**
(1,400,000
)
SWPC0DXA1 CDS USD R F 5.00000 1 CCPCDX
12/20/2021
5.00%
**
1,486,671

SWPC0EE85 CDS EUR P V 03MEVENT 2 CCPCORPORATE
12/20/2017
1.00%
**
(632,850
)
SWPC0EE85 CDS EUR R F 1.00000 1 CCPCORPORATE
12/20/2017
1.00%
**
637,124

SWPC0EOD3 CDS USD P V 03MEVENT 2 CCPCORPORATE
12/20/2023
1.00%
**
(400,000
)
SWPC0EOD3 CDS USD R F 5.00000 1 CCPCORPORATE
12/20/2023
5.00%
**
476,032

SWPC824S0 CDS USD P V 00MEVENT
6/20/2017
1.00%
**
(2,200,000
)
SWPC824S0 CDS USD R F 1.00000
6/20/2017
1.00%
**
2,203,676

SWU00BOT4 IRS SEK P V 03MSTIBO SWUV0BOT6 CCPVANILLA
1/23/2025
 
**
(616,428
)
SWU00BOT4 IRS SEK R F 1.02250 SWU00BOT4 CCPVANILLA
1/23/2025
1.02%
**
626,051

SWU00BOU1 IRS SEK P V 03MSTIBO SWUV0BOU3 CCPVANILLA
1/23/2025
 
**
(759,527
)
SWU00BOU1 IRS SEK R F 1.01250 SWU00BOU1 CCPVANILLA
1/23/2025
1.01%
**
770,783

SWU00BOW7 IRS SEK P V 03MSTIBO SWUV0BOW9 CCPVANILLA
1/23/2025
 
**
(198,138
)
SWU00BOW7 IRS SEK R F 1.03250 SWU00BOW7 CCPVANILLA
1/23/2025
1.03%
**
201,388

SWU00BPW6 IRS JPY P V 06MLIBOR SWUV0BPW8 CCPVANILLA
6/17/2035
0.02%
**
(2,400,652
)
SWU00BPW6 IRS JPY R F 1.25000 SWU00BPW6 CCPVANILLA
6/17/2035
1.25%
**
2,678,295

SWU00D991 IRS USD P V 03MLIBOR CCP CME
12/16/2022
0.97%
**
(1,500,000
)
SWU00D991 IRS USD R F 2.25000 CCP CME
12/16/2022
2.25%
**
1,514,733

SWU00DZH4 IRS JPY P V 06MLIBOR SWUV0DZH6 CCPVANILLA
9/18/2020
 
**
(5,487,204
)
SWU00DZH4 IRS JPY R F .25000 SWU00DZH4 CCPVANILLA
9/18/2020
0.25%
**
5,528,552

SWU00DZI2 IRS JPY P V 06MLIBOR SWUV0DZI4 CCPVANILLA
3/22/2018
 
**
(24,349,466
)
SWU00DZI2 IRS JPY R F .15000 SWU00DZI2 CCPVANILLA
3/22/2018
0.15%
**
24,388,999


98
Table of Contents

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

SWU00FP15 IRS JPY P V 06MLIBOR SWUV0FP17 CCPVANILLA
3/18/2026
 
**
(23,835,041
)
SWU00FP15 IRS JPY R F .30000 SWU00FP15 CCPVANILLA
3/18/2026
0.30%
**
24,063,066

SWU00IY84 IRS JPY P V 06MLIBOR SWUV0IY86 CCPVANILLA
3/18/2026
 
**
(7,887,855
)
SWU00IY84 IRS JPY R F .30000 SWU00IY84 CCPVANILLA
3/18/2026
0.30%
**
7,964,816

SWU00JGA7 IRS GBP P V 06MLIBOR SWUV0JGA9 CCPVANILLA
3/15/2047
1.00%
**
(2,285,952
)
SWU00JGA7 IRS GBP R F 1.50000 SWU00JGA7 CCPVANILLA
3/15/2047
1.50%
**
2,326,330

SWU00JLZ6 IRS ZAR P V 03MJIBAR SWUV0JLZ8 CCPVANILLA
3/15/2027
1.00%
**
(2,537,477
)
SWU00JLZ6 IRS ZAR R F 8.50000 SWU00JLZ6 CCPVANILLA
3/15/2027
8.50%
**
2,557,492

SWU00JMG7 IRS EUR P V 06MEURIB SWUV0JMG9 CCPVANILLA
9/5/2026
 
**
(11,391,300
)
SWU00JMG7 IRS EUR R F 1.00000 SWU00JMG7 CCPVANILLA
9/5/2026
1.00%
**
11,805,817

SWU00JQX6 IRS ZAR P V 03MJIBAR SWUV0JQX8 CCPVANILLA
3/15/2019
1.00%
**
(416,819
)
SWU00JQX6 IRS ZAR R F 7.50000 SWU00JQX6 CCPVANILLA
3/15/2019
7.50%
**
416,867

SWU00K8T2 IRS ZAR P V 03MJIBAR SWUV0K8T4 CCPVANILLA
3/15/2022
1.00%
**
(8,862,888
)
SWU00K8T2 IRS ZAR R F 8.25000 SWU00K8T2 CCPVANILLA
3/15/2022
8.25%
**
8,998,526

SWU029980 IRS USD P F 1.67750 INFLATIONZERO CCP LCH
5/24/2021
1.68%
**
(1,200,000
)
SWU029980 IRS USD R V 12MCPI CPURNSA/INFLATIONZERO CCP LCH
5/24/2021
1.00%
**
1,232,874

SWU09GJ52 IRS GBP P V 12MUKPRI INFLATIONZERO UKRPI CCP LCH
10/15/2046
1.00%
**
(481,903
)
SWU09GJ52 IRS GBP R F 3.58500 INFLATIONZERO CCP LCH
10/15/2046
3.59%
**
498,911

SWU09TE42 IRS EUR P F .80625 FIX INFLATIONZERO
4/15/2021
0.81%
**
(421,900
)
SWU09TE42 IRS EUR R V 12MCPTFE INF INFLATIONZERO
4/15/2021
1.00%
**
431,031

SWU0AH041 TRS USD P F .00000 VARS GOLDLNPM
4/29/2020
 
**
(909,091
)
SWU0AH041 TRS USD R F .00000
4/29/2020
 
**
958,789

SWU0AHP02 TRS USD P E
 
 
**
300

SWU0AHP02 TRS USD P E COM FWD OREXIO 4Q16
 
 
**
(300
)
SWU0AHP02 TRS USD R E
 
 
**
(9,375
)
SWU0AHP02 TRS USD R E MATUTIRY DATE 12/31/16
 
 
**
9,375

SWU0AHP10 TRS USD P E
 
 
**
(1,588,143
)
SWU0AHP10 TRS USD R E
 
 
**
1,588,143

SWU0AHP28 TRS USD P E
 
 
**
(160,160
)
SWU0AHP28 TRS USD R E
 
 
**
160,160

SWU0AM842 TRS USD P E COM FWD EURMARG CAL17
 
 
**
(36,000
)
SWU0AM842 TRS USD R E
 
 
**
74,572

SWU0AN006 TRS USD P F .00000 VARS GOLDLNPM 0.09
7/24/2020
 
**
(666,667
)
SWU0AN006 TRS USD R F .00000
7/24/2020
 
**
690,138

SWU0AN345 TRS USD P E
 
 
**
4,000

SWU0AN345 TRS USD P E COM FWD EURMARG CAL 16
 
 
**
(4,000
)
SWU0AN345 TRS USD R E
 
 
**
(4,912
)
SWU0AN345 TRS USD R E
 
 
**
8,283

SWU0AP522 TRS USD P E COM FWD EURMARG 1Q17 4.66
 
 
**
(900
)
SWU0AP522 TRS USD R E MATURITY DATE 3/31/17
 
 
**
3,202

SWU0AP530 TRS USD P E COMMODITYFORWARD
 
 
**
(9,300
)
SWU0AP530 TRS USD R E COMMODITYFORWARD
 
 
**
22,572

SWU0AP555 TRS USD P E COMMODITYFORWARD
 
 
**
(4,200
)
SWU0AP555 TRS USD R E COMMODITYFORWARD
 
 
**
10,568

SWU0AP563 TRS USD P E COMMODITYFORWARD
 
 
**
(3,000
)
SWU0AP563 TRS USD R E COMMODITYFORWARD
 
 
**
7,845

SWU0B0575 TRS USD P E COM FWD EURSIMP
 
 
**
(12,000
)

99
Table of Contents

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

SWU0B0575 TRS USD R E MATURITY DATE 12/31/17
 
 
**
33,621

SWU0B0708 IRS USD P F 1.58000 FIX INFLATIONZERO
5/23/2018
1.58%
**
(2,500,000
)
SWU0B0708 IRS USD R V 12MUSCPI INF INFLATIONZERO
5/23/2018
1.00%
**
2,518,351

SWU0B1052 TRS USD P E COM FWD GOLDLNPM 1365
 
 
**
(600
)
SWU0B1052 TRS USD R E MATURITY DATE 2017/07/05
 
 
**
124,576

SWU0B2134 TRS USD P E COMMODITYFORWARD
 
 
**
(36,000
)
SWU0B2134 TRS USD R E COMMODITYFORWARD
 
 
**
120,030

SWU0B2316 TRS USD P E
 
 
**
1,000

SWU0B2316 TRS USD P E COMMODITYFORWARD
 
 
**
(2,990
)
SWU0B2316 TRS USD R E
 
 
**
(3,537
)
SWU0B2316 TRS USD R E COMMODITYFORWARD
 
 
**
2,990

SWU0C1218 TRS USD P V 03MTBILL TBILDI3M + 13
2/15/2017
0.65%
**
(15,298,324
)
SWU0C1218 TRS USD R E BCOMTR
 
 
**
15,421,299

SWU0C1226 TRS USD P V 03MTBILL TBILDI3M + 13
8/15/2017
0.66%
**
(3,245,387
)
SWU0C1226 TRS USD R E BCOMTR
 
 
**
3,271,475

SWU0C1267 TRS USD P V 03MTBILL TBILDI3M + 12
2/15/2017
0.65%
**
(16,553,472
)
SWU0C1267 TRS USD R E BCOMTR
 
 
**
16,686,537

SWU0C1275 TRS USD P V 03MTBILL
2/15/2017
0.65%
**
2,872,560

SWU0C1275 TRS USD P V 03MTBILL TBILDI3M + 12
2/15/2017
0.65%
**
(12,401,771
)
SWU0C1275 TRS USD R E
 
 
**
(2,895,651
)
SWU0C1275 TRS USD R E BCOMTR
 
 
**
12,501,462

SWU0C1374 TRS USD P V 03MTBILL TBILDI3M + 15
2/15/2017
0.68%
**
(5,193,835
)
SWU0C1374 TRS USD R E BCOMF1T
 
 
**
5,231,975

SWU0C1382 TRS USD P V 01MTBILL TBILDI3M14BPS
8/15/2017
0.67%
**
(6,430,310
)
SWU0C1382 TRS USD R E COMM SWAP TBL BCOMFIT
 
 
**
6,477,531

SWU0C1408 TRS USD P V 03MTBILL TBILDI3M + 14
2/15/2017
0.67%
**
(18,365,978
)
SWU0C1408 TRS USD R E BCOMF1T
 
 
**
18,500,849

SWU0C2018 IRS USD P F 1.56500 FIX INFLATIONZERO
6/7/2018
1.57%
**
(200,000
)
SWU0C2018 IRS USD R V 12MUSCPI INF INFLATIONZERO
6/7/2018
1.00%
**
201,530

SWU0C2299 TRS USD P E COM FWD OREXIO 1Q17
 
 
**
(4,877
)
SWU0C2299 TRS USD R E MATURITY DATE 2017/03/31
 
 
**
134,254

SWU0C3271 TRS USD P E COMMODITYFORWARD
 
 
**
(246
)
SWU0C3271 TRS USD R E COMMODITYFORWARD
 
 
**
246

SWU0C3602 TRS USD P E COMMODITYFORWARD
 
 
**
(1,500
)
SWU0C3602 TRS USD R E COMMODITYFORWARD
 
 
**
32,411

SWU0C4360 TRS USD P V 03MTBILL TBILDI3M + 12
2/15/2017
0.65%
**
(2,813,689
)
SWU0C4360 TRS USD R E COMM SWAP TBL-BCOMTR2
 
 
**
2,836,439

SWU0C4402 TRS USD P V 03MTBILL TBILDI3M + 12
2/15/2017
0.65%
**
(12,546,181
)
SWU0C4402 TRS USD R E COMM SWAP TBL-BCOMTR1
 
 
**
12,647,037

SWU0C4592 TRS USD P V 03MTBILL TBILDI3M + 13
2/15/2017
0.66%
**
(27,808,114
)
SWU0C4592 TRS USD R E COMM SWAP TBL-BCOMTR2
 
 
**
28,030,699

SWU0C4824 TRS USD P E COMMODITYFORWARD
 
 
**
(252,000
)
SWU0C4824 TRS USD R E COMMODITYFORWARD
 
 
**
1,875,985

SWU0C7090 TRS USD P E COMMODITYFORWARD
 
 
**
(6,600
)
SWU0C7090 TRS USD R E COMMODITYFORWARD
 
 
**
11,055

SWU0C7462 TRS USD P E COMMODITYFORWARD
 
 
**
(4,200
)
SWU0C7462 TRS USD R E COMMODITYFORWARD
 
 
**
9,342


100
Table of Contents

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

SWU0C7470 TRS USD P E COMMODITYFORWARD
 
 
**
(1,800
)
SWU0C7470 TRS USD R E COMMODITYFORWARD
 
 
**
4,159

SWU0C7975 TRS USD P E COMMODITYFORWARD
 
 
**
(1,800
)
SWU0C7975 TRS USD R E COMMODITYFORWARD
 
 
**
3,209

SWU0C9815 TRS USD P E COMMODITYSPREAD
 
 
**
(2,250
)
SWU0C9815 TRS USD R E COMMODITYSPREAD
 
 
**
5,408

SWU0C9872 TRS USD P E COMMODITYSPREAD
 
 
**
(2
)
SWU0C9872 TRS USD R E COMMODITYSPREAD
 
 
**
2

SWU0CF290 TRS USD P E COM FWD EURMARG
 
 
**
(7,800
)
SWU0CF290 TRS USD R E MATURITY DATE 03/31/2017
 
 
**
26,659

SWU0CF340 TRS USD P E COM FWD EURSIMP CAL17
 
 
**
(6,000
)
SWU0CF340 TRS USD R E MATURITY DATE 2017/12/31
 
 
**
18,123

SWU0CF365 TRS USD P E COMMODITYFORWARD
 
 
**
(12,000
)
SWU0CF365 TRS USD R E COMMODITYFORWARD
 
 
**
36,126

SWU0GC566 TRS CHF P E VOLS EURCHF .085
 
 
**
(7,871
)
SWU0GC566 TRS CHF R E
 
 
**
29,311

SWU0GC582 TRS CHF P E VOLS EURCHF
 
 
**
(4,920
)
SWU0GC582 TRS CHF R E
 
 
**
15,977

SWU0GC764 TRS USD P E
 
 
**
2,000

SWU0GC764 TRS USD P E COM FWD EURMARG
 
 
**
(2,000
)
SWU0GC764 TRS USD R E
 
 
**
(6,096
)
SWU0GC764 TRS USD R E MATURITY DATE 2016/12/31
 
 
**
7,782

SWU0GG054 TRS USD P F .00000 VARS GOLDLNPM 0.1089
4/29/2020
 
**
(757,576
)
SWU0GG054 TRS USD R F .00000
4/29/2020
 
**
798,991

SWU0KB035 TRS USD P F .00000 VARS GOLDLNPM 0.111556
5/7/2020
 
**
(748,503
)
SWU0KB035 TRS USD R F .00000
5/7/2020
 
**
791,268

SWU0KB860 TRS USD P E
 
 
**
1,500

SWU0KB860 TRS USD P E COM FWD EURMARG CAL16
 
 
**
(1,500
)
SWU0KB860 TRS USD R E
 
 
**
(1,693
)
SWU0KB860 TRS USD R E
 
 
**
2,956

SWU0NN333 TRS USD P E
 
 
**
3,000

SWU0NN333 TRS USD P E COM FWD EURMARG 4Q16 4.85
 
 
**
(3,000
)
SWU0NN333 TRS USD R E
 
 
**
(8,334
)
SWU0NN333 TRS USD R E
 
 
**
10,862

SWU0NN556 TRS USD P E COM FWD EURMARG CAL17
 
 
**
(2,400
)
SWU0NN556 TRS USD R E
 
 
**
4,971

SWU0RWP19 TRS USD P E
 
 
**
3,400

SWU0RWP19 TRS USD R E
 
 
**
(6,008
)
SWU0RWPD3 TRS USD P E
 
 
**
3,000

SWU0RWPD3 TRS USD P E COM FWD EURSIMP
 
 
**
(3,000
)
SWU0RWPD3 TRS USD R E
 
 
**
(9,351
)
SWU0RWPD3 TRS USD R E
 
 
**
11,450

SWU0VOL24 TRS CHF P E
 
 
**
(6,887
)
SWU0VOL24 TRS CHF R E
 
 
**
24,442

SWU0VS143 TRS CHF P E
 
 
**
(3,936
)
SWU0VS143 TRS CHF R E
 
 
**
12,166

SWU0VS150 TRS CHF P E
 
 
**
(3,092
)

101
Table of Contents

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

SWU0VS150 TRS CHF R E
 
 
**
3,936

SYKES ENTERPRISES INC COMMON STOCK USD.01
 
 
**
121,270

SYMANTEC CORP COMMON STOCK USD.01
 
 
**
14,132,201

SYNALLOY CORP COMMON STOCK USD1.0
 
 
**
10,096

SYNAPTICS INC COMMON STOCK USD.001
 
 
**
2,411,207

SYNCHRONOSS TECHNOLOGIES INC COMMON STOCK USD.0001
 
 
**
31,559

SYNCHRONY FINANCIAL SR UNSECURED 08/26 3.7
8/4/2026
3.70%
**
79,785

SYNCHRONY FINANCIAL SR UNSECURED 11/17 VAR
11/9/2017
2.29%
**
1,006,548

SYNERGY RESOURCES CORP COMMON STOCK USD.001
 
 
**
97,244

SYNGENTA AG REG COMMON STOCK CHF.1
 
 
**
550,475

SYNNEX CORP COMMON STOCK USD.001
 
 
**
472,583

SYNTHOMER PLC COMMON STOCK GBP.1
 
 
**
624,515

SYSTEMAX INC COMMON STOCK USD.01
 
 
**
33,256

T+D HOLDINGS INC COMMON STOCK
 
 
**
53,003

T4F ENTRETENIMENTO SA COMMON STOCK
 
 
**
291,583

TA25F17A TRS ILS P F .00000 TA25F17_SW 2017-01-27
1/27/2017
 
**
(1,670,669
)
TA25F17A TRS ILS R E TAF7 INDEX
 
 
**
1,681,264

TABLEAU SOFTWARE INC CL A COMMON STOCK USD.0001
 
 
**
2,443,646

TAHOE RESOURCES INC COMMON STOCK
 
 
**
457,496

TAISEI CORP COMMON STOCK
 
 
**
245,467

TAIWAN SEMICONDUCTOR MANUFAC COMMON STOCK TWD10.
 
 
**
6,625,913

TAIWAN SEMICONDUCTOR SP ADR ADR
 
 
**
7,685,738

TAKARA LEBEN CO LTD COMMON STOCK
 
 
**
680,796

TAKE TWO INTERACTIVE SOFTWRE COMMON STOCK USD.01
 
 
**
19,716

TAKEDA PHARMACEUTICAL CO LTD COMMON STOCK
 
 
**
1,915,180

TANGER FACTORY OUTLET CENTER REIT USD.01
 
 
**
2,160,504

TARGA RESOURCES CORP COMMON STOCK USD.001
 
 
**
379,706

TARGET CORP COMMON STOCK USD.0833
 
 
**
4,203,714

TARGET CORP SR UNSECURED 04/26 2.5
4/15/2026
2.50%
**
28,621

TARGET CORP SR UNSECURED 06/19 2.3
6/26/2019
2.30%
**
81,289

TATA CONSULTANCY SVCS LTD COMMON STOCK INR1.
 
 
**
3,635,289

TATA MOTORS LTD SPON ADR ADR USD.1
 
 
**
186,394

TATA STEEL LTD COMMON STOCK INR10.
 
 
**
74,542

TATE + LYLE PLC COMMON STOCK GBP.25
 
 
**
1,228,221

TATNEFT PAO SPONSORED ADR ADR
 
 
**
383,635

TAUBMAN CENTERS INC REIT USD.01
 
 
**
22,697

TAURON POLSKA ENERGIA SA COMMON STOCK PLN5.
 
 
**
19,978

TAYLOR MORRISON HOME CORP A COMMON STOCK USD.00001
 
 
**
392,846

TAYLOR WIMPEY PLC COMMON STOCK GBP.01
 
 
**
389,240

TCC INTL HLDGS LTD COMMON STOCK HKD.1
 
 
**
363,721

TCF AUTO RECEIVABLES OWNER TRU TCFAT 2015 2A A2 144A
1/15/2019
1.64%
**
181,143

TCF FINANCIAL CORP COMMON STOCK USD.01
 
 
**
279,471

TDC A/S COMMON STOCK DKK1.
 
 
**
1,002,794

TDK CORP COMMON STOCK
 
 
**
523,891

TEAM HEALTH HOLDINGS INC COMMON STOCK USD.01
 
 
**
2,107,325

TEAM INC COMMON STOCK USD.3
 
 
**
99,460

TECAN GROUP AG REG COMMON STOCK CHF.1
 
 
**
910,233


102
Table of Contents

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

TECH DATA CORP COMMON STOCK USD.0015
 
 
**
758,902

TECH MAHINDRA LTD COMMON STOCK INR5.0
 
 
**
55,722

TECHTARGET COMMON STOCK USD.001
 
 
**
43

TECHTRONIC INDUSTRIES CO LTD COMMON STOCK
 
 
**
1,346,408

TECK RESOURCES LTD CLS B COMMON STOCK
 
 
**
899,060

TECNICAS REUNIDAS SA COMMON STOCK EUR.1
 
 
**
649,354

TECO FINANCE INC COMPANY GUAR 03/20 5.15
3/15/2020
5.15%
**
159,287

TEEKAY CORP COMMON STOCK USD.001
 
 
**
2,248

TEEKAY TANKERS LTD CLASS A COMMON STOCK USD.01
 
 
**
16,446

TEGMA GESTAO LOGISTICA COMMON STOCK
 
 
**
64,030

TEGNA INC COMMON STOCK USD1.0
 
 
**
470,409

TEIJIN LTD COMMON STOCK
 
 
**
491,532

TELECOM ITALIA SPA SR UNSECURED 06/19 6.375
6/24/2019
6.38%
**
810,693

TELEDYNE TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
108,732

TELEFONICA EMISIONES SAU COMPANY GUAR 02/21 5.462
2/16/2021
5.46%
**
185,312

TELEFONICA EMISIONES SAU COMPANY GUAR 04/20 5.134
4/27/2020
5.13%
**
60,002

TELEKOMUNIKASI INDONESIA PER COMMON STOCK IDR50.
 
 
**
263,837

TELENAV INC COMMON STOCK USD.001
 
 
**
15,510

TELEPERFORMANCE COMMON STOCK EUR2.5
 
 
**
352,717

TELEPHONE AND DATA SYSTEMS COMMON STOCK USD.01
 
 
**
289,999

TELETECH HOLDINGS INC COMMON STOCK USD.01
 
 
**
77,470

TELKOM SA SOC LTD COMMON STOCK ZAR10.
 
 
**
251,950

TEMPUR SEALY INTERNATIONAL I COMMON STOCK USD.01
 
 
**
2,116,680

TENAGA NASIONAL BHD COMMON STOCK MYR1.
 
 
**
384,837

TENCENT HOLDINGS LTD COMMON STOCK HKD.00002
 
 
**
18,090,321

TENN VALLEY AUTHORITY SR UNSECURED 01/48 4.875
1/15/2048
4.88%
**
241,719

TENN VALLEY AUTHORITY SR UNSECURED 09/65 4.25
9/15/2065
4.25%
**
79,265

TEREX CORP COMMON STOCK USD.01
 
 
**
222,980

TERRENO REALTY CORP REIT USD.01
 
 
**
1,209,457

TERRITORIAL BANCORP INC COMMON STOCK USD.01
 
 
**
33,661

TERUMO CORP COMMON STOCK
 
 
**
5,360,685

TESARO INC COMMON STOCK USD.0001
 
 
**
915,943

TESCO CORP COMMON STOCK
 
 
**
45,045

TESCO PLC SR UNSECURED 04/47 5.125
4/10/2047
5.13%
**
1,039,351

TESLA INC COMMON STOCK USD.001
 
 
**
3,723,762

TESSCO TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
10,660

TETRA TECH INC COMMON STOCK USD.01
 
 
**
278,620

TETRA TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
26,757

TETRAPHASE PHARMACEUTICALS I COMMON STOCK USD.001
 
 
**
9,708

TEVA PHARM FIN IV BV COMPANY GUAR 11/21 3.65
11/10/2021
3.65%
**
37,475

TEVA PHARMACEUTICALS NE COMPANY GUAR 07/18 1.4
7/20/2018
1.40%
**
4,694,407

TEVA PHARMACEUTICALS NE COMPANY GUAR 10/26 3.15
10/1/2026
3.15%
**
18,439

TEXAS CAPITAL BANCSHARES INC COMMON STOCK USD.01
 
 
**
1,585,718

TEXAS INSTRUMENTS INC COMMON STOCK USD1.0
 
 
**
14,057,816

TEXAS INSTRUMENTS INC SR UNSECURED 03/21 2.75
3/12/2021
2.75%
**
101,870

TEXTAINER GROUP HOLDINGS LTD COMMON STOCK USD.01
 
 
**
40,468

TFI INTERNATIONAL INC COMMON STOCK
 
 
**
478,711


103
Table of Contents

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

THAI OIL PCL NVDR NVDR THB10.0
 
 
**
372,442

THAI UNION GROUP PCL NVDR NVDR THB.25
 
 
**
257,145

THALES SA COMMON STOCK EUR3.
 
 
**
1,401,542

THERMO FISHER SCIENTIFIC INC COMMON STOCK USD1.0
 
 
**
10,226,928

THERMON GROUP HOLDINGS INC COMMON STOCK USD.001
 
 
**
60,649

THK CO LTD COMMON STOCK
 
 
**
625,243

THOMSON REUTERS CORP COMMON STOCK
 
 
**
195,991

THOMSON REUTERS CORP SR UNSECURED 09/21 3.95
9/30/2021
3.95%
**
109,097

THOR INDUSTRIES INC COMMON STOCK USD.1
 
 
**
2,238,819

TIDEWATER INC COMMON STOCK USD.1
 
 
**
11,185

TILE SHOP HLDGS INC COMMON STOCK USD.0001
 
 
**
1,087,410

TIMAH PERSERO TBK PT COMMON STOCK IDR50.
 
 
**
86,291

TIMBERLAND BANCORP INC COMMON STOCK USD.01
 
 
**
21,177

TIME INC COMMON STOCK USD.01
 
 
**
193,940

TIME WARNER CABLE LLC SR SECURED 02/21 4.125
2/15/2021
4.13%
**
284,307

TIME WARNER INC COMMON STOCK USD.01
 
 
**
9,839,786

TIME WARNER INC COMPANY GUAR 03/21 4.75
3/29/2021
4.75%
**
74,991

TIMKENSTEEL CORP COMMON STOCK
 
 
**
86,796

TITAN INTERNATIONAL INC COMMON STOCK
 
 
**
66,229

TITAN MACHINERY INC COMMON STOCK USD.00001
 
 
**
28,368

TIVITY HEALTH INC COMMON STOCK USD.001
 
 
**
69,956

TIVO CORP
 
 
**
10,522

TIVO CORP COMMON STOCK USD.001
 
 
**
205,865

TJX COMPANIES INC COMMON STOCK USD1.0
 
 
**
4,718,765

TK CORPORATION COMMON STOCK KRW500.
 
 
**
63,647

TOKYO ELECTRON LTD COMMON STOCK
 
 
**
4,706,447

TOKYO METROPOLITAN GOVT SR UNSECURED 144A 05/21 2
5/17/2021
2.00%
**
873,036

TOKYO OHKA KOGYO CO LTD COMMON STOCK
 
 
**
371,587

TOKYO TATEMONO CO LTD COMMON STOCK
 
 
**
218,433

TOKYU FUDOSAN HOLDINGS CORP COMMON STOCK
 
 
**
39,636

TOLL BROTHERS INC COMMON STOCK USD.01
 
 
**
527,062

TOMPKINS FINANCIAL CORP COMMON STOCK USD.1
 
 
**
122,335

TONGDA GROUP HOLDINGS LTD COMMON STOCK HKD.01
 
 
**
1,865,048

TOOTSIE ROLL INDS COMMON STOCK USD.694
 
 
**
103,231

TOPBUILD CORP COMMON STOCK
 
 
**
89,819

TOPPAN PRINTING CO LTD COMMON STOCK
 
 
**
133,956

TORONTO DOMINION BANK SR UNSECURED 01/19 1.95
1/22/2019
1.95%
**
40,062

TORONTO DOMINION BANK SR UNSECURED 01/19 VAR
1/22/2019
1.72%
**
6,049,194

TORONTO DOMINION BANK SR UNSECURED 07/18 VAR
7/23/2018
1.42%
**
5,011,360

TORONTO DOMINION BANK SR UNSECURED 11/19 2.25
11/5/2019
2.25%
**
130,774

TORRENT PHARMACEUTICALS LTD COMMON STOCK INR5.
 
 
**
378,738

TOSHIBA CORP COMMON STOCK
 
 
**
1,896,880

TOTAL CAPITAL CANADA LTD COMPANY GUAR 07/23 2.75
7/15/2023
2.75%
**
192,966

TOTAL CAPITAL INTL SA COMPANY GUAR 01/24 3.7
1/15/2024
3.70%
**
26,103

TOTAL CAPITAL INTL SA COMPANY GUAR 06/17 1.55
6/28/2017
1.55%
**
26,043

TOTAL CAPITAL SA COMPANY GUAR 08/18 2.125
8/10/2018
2.13%
**
50,383

TOTAL ENERGY SERVICES INC COMMON STOCK
 
 
**
176,128


104
Table of Contents

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

TOTAL SA COMMON STOCK EUR2.5
 
 
**
139,517

TOTAL SA SPON ADR ADR
 
 
**
12,846,989

TOTAL SYSTEM SERVICES INC
 
 
**
256,387

TOTAL SYSTEM SERVICES INC COMMON STOCK USD.1
 
 
**
8,372,412

TOWER BERSAMA INFRASTRUCTURE COMMON STOCK IDR100.0
 
 
**
302,811

TOWER INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
25,997

TOWNE BANK COMMON STOCK USD1.667
 
 
**
119,268

TOWNSQUARE MEDIA INC CL A COMMON STOCK USD.01
 
 
**
10,701

TOYOTA AUTO RECEIVABLES OWNER TAOT 2014 A A3
12/15/2017
0.67%
**
214,525

TOYOTA MOTOR CORP COMMON STOCK
 
 
**
984,804

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/18 1.45
1/12/2018
1.45%
**
170,049

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/19 2.1
1/17/2019
2.10%
**
221,208

TP ICAP PLC COMMON STOCK GBP.25
 
 
**
30,684

TRAFIGURA SECURITISATION FINAN TRFIG 2014 1A A 144A
10/15/2018
1.65%
**
503,781

TRANSCANADA CORP COMMON STOCK
 
 
**
972,802

TRANSCANADA PIPELINES SR UNSECURED 08/18 6.5
8/15/2018
6.50%
**
251,487

TRANSCANADA PIPELINES SR UNSECURED 08/38 7.25
8/15/2038
7.25%
**
87,749

TRANSOCEAN LTD COMMON STOCK CHF.1
 
 
**
379,187

TRANSUNION COMMON STOCK USD.01
 
 
**
11,781,701

TRAVELERS COS INC/THE COMMON STOCK
 
 
**
13,050,829

TRC COS INC COMMON STOCK USD.1
 
 
**
31,503

TREASURY BILL 02/17 0.00000
2/23/2017
0.01%
**
250,831

TREASURY BILL 03/17 0.00000
3/2/2017
 
**
5,895,772

TREASURY BILL 05/17 0.00000
5/4/2017
 
**
9,483,122

TREASURY WINE ESTATES LTD COMMON STOCK
 
 
**
157,421

TRECORA RESOURCES COMMON STOCK USD.1
 
 
**
32,644

TREDEGAR CORP COMMON STOCK
 
 
**
71,328

TREEHOUSE FOODS INC COMMON STOCK USD.01
 
 
**
87,783

TRI POINTE GROUP INC COMMON STOCK USD.01
 
 
**
204,229

TRILOGY ENERGY CORP COMMON STOCK
 
 
**
66,996

TRIMAS CORP COMMON STOCK USD.01
 
 
**
89,112

TRINITY INDUSTRIES INC COMMON STOCK USD.01
 
 
**
364,211

TRINSEO SA COMMON STOCK USD.01
 
 
**
2,195,701

TRIPADVISOR INC COMMON STOCK USD.001
 
 
**
13,063,774

TRIPLE S MANAGEMENT CORP B COMMON STOCK USD1.0
 
 
**
53,033

TRISTATE CAPITAL HLDGS INC COMMON STOCK
 
 
**
62,167

TRITON INTERNATIONAL LTD/BER COMMON STOCK USD.01
 
 
**
53,436

TRIUMPH GROUP INC COMMON STOCK USD.001
 
 
**
127,094

TRONOX LTD CL A COMMON STOCK USD.01
 
 
**
65,520

TRUEBLUE INC COMMON STOCK
 
 
**
101,065

TRUSTCO BANK CORP NY COMMON STOCK USD1.0
 
 
**
81,611

TRUSTMARK CORP COMMON STOCK
 
 
**
241,172

TSY 0 1/8 2024 I/L GILT BONDS REGS 03/24 0.125
3/22/2024
0.13%
**
5,561,684

TSY INFL IX N/B 01/22 0.125
1/15/2022
0.13%
**
1,176,759

TSY INFL IX N/B 01/23 0.125
1/15/2023
0.13%
**
311,843

TSY INFL IX N/B 01/24 0.625
1/15/2024
0.63%
**
737,907

TSY INFL IX N/B 01/25 0.25
1/15/2025
0.25%
**
16,563,196


105
Table of Contents

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

TSY INFL IX N/B 01/25 2.375
1/15/2025
2.38%
**
2,429,463

TSY INFL IX N/B 01/29 2.5
1/15/2029
2.50%
**
9,818,520

TSY INFL IX N/B 02/40 2.125
2/15/2040
2.13%
**
41,553

TSY INFL IX N/B 02/42 0.75
2/15/2042
0.75%
**
364,589

TSY INFL IX N/B 02/44 1.375
2/15/2044
1.38%
**
1,528,017

TSY INFL IX N/B 04/18 0.125
4/15/2018
0.13%
**
4,480,339

TSY INFL IX N/B 04/19 0.125
4/15/2019
0.13%
**
3,008,037

TSY INFL IX N/B 04/20 0.125
4/15/2020
0.13%
**
2,502,995

TSY INFL IX N/B 07/18 1.375
7/15/2018
1.38%
**
58,160

TSY INFL IX N/B 07/20 1.25
7/15/2020
1.25%
**
1,158,881

TSY INFL IX N/B 07/21 0.625
7/15/2021
0.63%
**
143,870

TSY INFL IX N/B 07/22 0.125
7/15/2022
0.13%
**
5,479,658

TSY INFL IX N/B 07/24 0.125
7/15/2024
0.13%
**
64,288,204

TSY INFL IX N/B 07/25 0.375
7/15/2025
0.38%
**
1,013,753

TSY INFL IX N/B 07/26 0.125
7/15/2026
0.13%
**
682,600

TTM TECHNOLOGIES COMMON STOCK USD.001
 
 
**
130,725

TUESDAY MORNING CORP COMMON STOCK USD.01
 
 
**
29,727

TULLOW OIL PLC COMMON STOCK GBP.1
 
 
**
293,655

TUNG THIH ELECTRONIC CO LTD COMMON STOCK TWD10.
 
 
**
1,958,205

TUPRAS TURKIYE PETROL RAFINE COMMON STOCK TRY1.
 
 
**
267,887

TURKIYE GARANTI BANKASI COMMON STOCK TRY1.
 
 
**
31,213

TURKIYE HALK BANKASI COMMON STOCK TRY1.
 
 
**
92,144

TUTOR PERINI CORP COMMON STOCK USD1.0
 
 
**
489,440

TVA PRIN STRIP BONDS 06/35 0.00000
6/15/2035
 
**
153,736

TWENTY FIRST CENTURY FOX A COMMON STOCK USD.01
 
 
**
9,073,464

TWF17A TRS USD P F .00000 TWF17_SW/20170123
1/23/2017
 
**
(135,649
)
TWF17A TRS USD R E TWF7 INDEX
 
 
**
137,520

TWF17I TRS USD P F .00000
1/30/2017
 
**
(103,261
)
TWF17I TRS USD P F .00000 TWF17_SW 2017-01-23
1/30/2017
 
**
(1,188,654
)
TWF17I TRS USD R E
1/30/2017
 
**
103,261

TWF17I TRS USD R E TWF7 INDEX
 
 
**
1,203,300

TWIN DISC INC COMMON STOCK
 
 
**
14,965

TXF17A TRS TWD P F .00000
1/18/2017
 
**
(57,150
)
TXF17A TRS TWD P F .00000 TXF17_SW 2017-01-18
1/18/2017
 
**
(804,111
)
TXF17A TRS TWD R E
1/18/2017
 
**
57,150

TXF17A TRS TWD R E FTF7 INDEX
 
 
**
804,667

TYLER TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
4,771,373

TYSON FOODS INC COMPANY GUAR 08/34 4.875
8/15/2034
4.88%
**
67,257

UBS AG JERSEY BRANCH SUBORDINATED REGS 02/22 VAR
2/22/2022
7.25%
**
704,142

UBS AG STAMFORD BRAN
9/20/2017
1.65%
**
11,000,000

UBS AG STAMFORD CT SR UNSECURED 03/18 1.8
3/26/2018
1.80%
**
9,531,582

UBS AG STAMFORD CT SR UNSECURED 08/17 1.375
8/14/2017
1.38%
**
4,528,519

UBS AG STAMFORD CT SUBORDINATED 08/22 7.625
8/17/2022
7.63%
**
453,500

UBS AG SUBORDINATED REGS 05/24 5.125
5/15/2024
5.13%
**
807,536

UBS BAMLL TRUST UBSBM 2012 WRM A 144A
6/10/2030
3.66%
**
159,356

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2012 C2 A4
5/10/2063
3.53%
**
155,066

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2013 C5 XA 144A
3/10/2046
1.03%
**
781,990


106
Table of Contents

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

UBS COMMERCIAL MORTGAGE TRUST UBSCM 2012 C1 D 144A
5/10/2045
5.55%
**
559,937

UBS COMMERCIAL MORTGAGE TRUST UBSCM 2012 C1 XA 144A
5/10/2045
2.09%
**
85,859

UBS GROUP AG REG COMMON STOCK CHF.1
 
 
**
6,055,068

UBS GROUP FUNDING COMPANY GUAR 144A 02/22 VAR
2/1/2022
2.42%
**
609,702

UBS GROUP FUNDING COMPANY GUAR 144A 04/21 VAR
4/14/2021
2.66%
**
1,443,378

UBS GROUP FUNDING COMPANY GUAR 144A 09/25 4.125
9/24/2025
4.13%
**
815,414

UCB SA COMMON STOCK
 
 
**
4,604,747

UDG HEALTHCARE PLC COMMON STOCK EUR.05
 
 
**
252,766

UDG HEALTHCARE PLC COMMON STOCK EUR.05
 
 
**
482,402

UDR INC COMPANY GUAR 09/26 2.95
9/1/2026
2.95%
**
14,966

UFP TECHNOLOGIES INC COMMON STOCK USD.01
 
 
**
10,460

UIL HOLDINGS CORP SR UNSECURED 10/20 4.625
10/1/2020
4.63%
**
114,852

UK TSY 3.5 2045 UNSECURED REGS 01/45 3.5
1/22/2045
3.50%
**
836,784

ULTA BEAUTY INC COMMON STOCK USD.01
 
 
**
556,789

ULTIMATE SOFTWARE GROUP INC COMMON STOCK USD.01
 
 
**
5,791,436

ULTRA CLEAN HOLDINGS INC COMMON STOCK USD.001
 
 
**
38,393

ULTRAGENYX PHARMACEUTICAL IN COMMON STOCK USD.001
 
 
**
6,066,769

ULTRAPAR PARTICIPACOES SA COMMON STOCK
 
 
**
18,928

ULTRATECH INC COMMON STOCK USD.001
 
 
**
61,437

UMH PROPERTIES INC REIT USD.1
 
 
**
18,512

UMICORE COMMON STOCK
 
 
**
134,334

UMPQUA HOLDINGS CORP COMMON STOCK
 
 
**
3,008,274

UNI PRESIDENT ENTERPRISES CO COMMON STOCK TWD10.
 
 
**
320,269

UNIBAIL RODAMCO SE REIT EUR5.0
 
 
**
352,050

UNIFIRST CORP/MA COMMON STOCK USD.1
 
 
**
171,662

UNILEVER PLC COMMON STOCK GBP.0311
 
 
**
751,877

UNION BANKSHARES CORP COMMON STOCK USD1.33
 
 
**
146,534

UNION PACIFIC CORP COMMON STOCK USD2.5
 
 
**
3,678,463

UNION PACIFIC CORP SR UNSECURED 01/23 2.95
1/15/2023
2.95%
**
151,325

UNIT CORP COMMON STOCK USD.2
 
 
**
146,092

UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1
1/7/2030
3.10%
**
38,600

UNITED COMMUNITY BANKS/GA COMMON STOCK USD1.0
 
 
**
145,493

UNITED COMMUNITY FINANCIAL COMMON STOCK
 
 
**
44,897

UNITED FINANCIAL BANCORP INC COMMON STOCK
 
 
**
98,645

UNITED FIRE GROUP INC COMMON STOCK USD.001
 
 
**
107,682

UNITED INSURANCE HOLDINGS CO COMMON STOCK USD.0001
 
 
**
24,708

UNITED MEXICAN STATES SR UNSECURED 01/21 3.5
1/21/2021
3.50%
**
203,200

UNITED MEXICAN STATES SR UNSECURED 01/45 5.55
1/21/2045
5.55%
**
102,250

UNITED MEXICAN STATES SR UNSECURED 01/47 4.35
1/15/2047
4.35%
**
2,315,250

UNITED MEXICAN STATES SR UNSECURED 03/49 4
3/15/2049
4.00%
**
1,413,213

UNITED MEXICAN STATES SR UNSECURED 10/23 4
10/2/2023
4.00%
**
200,480

UNITED NATURAL FOODS INC COMMON STOCK USD.01
 
 
**
244,326

UNITED OVERSEAS BANK LTD COMMON STOCK
 
 
**
125,673

UNITED PARCEL SERVICE CL B COMMON STOCK USD.01
 
 
**
7,439,907

UNITED PARCEL SERVICE SR UNSECURED 10/22 2.45
10/1/2022
2.45%
**
74,690

UNITED RENTALS INC COMMON STOCK USD.01
 
 
**
553,767

UNITED STATES LIME + MINERAL COMMON STOCK USD.1
 
 
**
46,586


107
Table of Contents

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

UNITED STATES STEEL CORP COMMON STOCK USD1.0
 
 
**
2,294,063

UNITED STATES TREAS BILLS 01/17 0.00000
1/5/2017
0.01%
**
82,998,340

UNITED TECHNOLOGIES CORP COMMON STOCK USD1.0
 
 
**
22,466,948

UNITED TECHNOLOGIES CORP SR UNSECURED 11/21 1.95
11/1/2021
1.95%
**
166,199

UNITED TRACTORS TBK PT COMMON STOCK IDR250.0
 
 
**
338,328

UNITED URBAN INVESTMENT CORP REIT
 
 
**
77,789

UNITEDHEALTH GROUP INC COMMON STOCK USD.01
 
 
**
15,576,213

UNITEDHEALTH GROUP INC SR UNSECURED 07/25 3.75
7/15/2025
3.75%
**
310,570

UNITEDHEALTH GROUP INC SR UNSECURED 11/21 3.375
11/15/2021
3.38%
**
202,357

UNITEDHEALTH GROUP INC SR UNSECURED 11/37 6.625
11/15/2037
6.63%
**
39,242

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858
5/15/2112
4.86%
**
869,859

UNIVERSAL AMERICAN CORP COMMON STOCK USD.01
 
 
**
81,590

UNIVERSAL CORP/VA COMMON STOCK
 
 
**
133,556

UNIVERSAL ELECTRONICS INC COMMON STOCK USD.01
 
 
**
64,098

UNIVERSAL FOREST PRODUCTS COMMON STOCK
 
 
**
209,469

UNIVERSAL ROBINA CORP COMMON STOCK PHP1.
 
 
**
29,830

UNIVERSAL STAINLESS + ALLOY COMMON STOCK USD.001
 
 
**
8,309

UNIVERSAL TECHNICAL INSTITUT COMMON STOCK USD.0001
 
 
**
7,159

UNIVEST CORP OF PENNSYLVANIA COMMON STOCK USD5.0
 
 
**
67,609

UOA DEVELOPMENT BHD COMMON STOCK MYR.05
 
 
**
238,143

US BANCORP COMMON STOCK USD.01
 
 
**
11,577,873

US BANCORP SR UNSECURED 01/24 3.7
1/30/2024
3.70%
**
80,055

US BANCORP SR UNSECURED 11/18 1.95
11/15/2018
1.95%
**
7,923,109

US CELLULAR CORP COMMON STOCK USD1.0
 
 
**
89,626

US ECOLOGY INC COMMON STOCK USD.01
 
 
**
90,682

US TREASURY N/B 02/22 1.75
2/28/2022
1.75%
**
2,964,141

US TREASURY N/B 02/36 4.5
2/15/2036
4.50%
**
569,390

US TREASURY N/B 02/40 4.625
2/15/2040
4.63%
**
12,779,690

US TREASURY N/B 02/46 2.5
2/15/2046
2.50%
**
710,875

US TREASURY N/B 05/30 6.25
5/15/2030
6.25%
**
1,556,200

US TREASURY N/B 05/40 4.375
5/15/2040
4.38%
**
1,556,740

US TREASURY N/B 05/41 4.375
5/15/2041
4.38%
**
247,461

US TREASURY N/B 05/42 3
5/15/2042
3.00%
**
198,328

US TREASURY N/B 05/43 2.875
5/15/2043
2.88%
**
482,949

US TREASURY N/B 05/45 3
5/15/2045
3.00%
**
690,539

US TREASURY N/B 05/46 2.5
5/15/2046
2.50%
**
177,734

US TREASURY N/B 06/21 2.125
6/30/2021
2.13%
**
2,324,796

US TREASURY N/B 07/23 1.25
7/31/2023
1.25%
**
564,844

US TREASURY N/B 08/21 1.125
8/31/2021
1.13%
**
9,372,247

US TREASURY N/B 08/26 1.5
8/15/2026
1.50%
**
9,473,188

US TREASURY N/B 08/39 4.5
8/15/2039
4.50%
**
477,197

US TREASURY N/B 08/42 2.75
8/15/2042
2.75%
**
283,418

US TREASURY N/B 08/44 3.125
8/15/2044
3.13%
**
1,416,953

US TREASURY N/B 08/46 2.25
8/15/2046
2.25%
**
(1,597,558
)
US TREASURY N/B 10/18 0.75
10/31/2018
0.75%
**
18,664,866

US TREASURY N/B 11/21 1.75
11/30/2021
1.75%
**
2,084,332

US TREASURY N/B 11/25 2.25
11/15/2025
2.25%
**
1,974,376


108
Table of Contents

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

US TREASURY N/B 11/26 2
11/15/2026
2.00%
**
11,160,917

US TREASURY N/B 11/39 4.375
11/15/2039
4.38%
**
1,086,319

US TREASURY N/B 11/40 4.25
11/15/2040
4.25%
**
182,109

US TREASURY N/B 11/42 2.75
11/15/2042
2.75%
**
3,116,824

US TREASURY N/B 11/44 3
11/15/2044
3.00%
**
296,356

US TREASURY N/B 11/46 2.875
11/15/2046
2.88%
**
1,448,204

USA TRUCK INC COMMON STOCK USD.01
 
 
**
8,928

VAIL RESORTS INC COMMON STOCK USD.01
 
 
**
3,207,972

VALE SA PREF PREFERENCE
 
 
**
104,699

VALEANT PHARMACEUTICALS INTE COMMON STOCK
 
 
**
66,785

VALEO SA COMMON STOCK EUR1.0
 
 
**
317,318

VALIDUS HOLDINGS LTD COMMON STOCK USD.175
 
 
**
501,801

VALLEY NATIONAL BANCORP COMMON STOCK
 
 
**
250,295

VALMONT INDUSTRIES COMMON STOCK USD1.0
 
 
**
2,220,161

VALVOLINE INC COMMON STOCK USD.01
 
 
**
2,289,750

VANTIV INC CL A COMMON STOCK USD.00001
 
 
**
17,577,765

VASCULAR SOLUTIONS INC COMMON STOCK USD.01
 
 
**
2,041,760

VEECO INSTRUMENTS INC COMMON STOCK USD.01
 
 
**
107,505

VEEVA SYSTEMS INC CLASS A COMMON STOCK USD.00001
 
 
**
368,376

VENTAS REALTY LP/CAP CRP COMPANY GUAR 03/22 4.25
3/1/2022
4.25%
**
126,861

VEOLIA ENVIRONNEMENT COMMON STOCK EUR5.
 
 
**
218,461

VERA BRADLEY INC COMMON STOCK
 
 
**
37,457

VERICREST OPPORTUNITY LOAN TRA VOLT 2014 NP11 A1 144A
4/25/2055
3.88%
**
95,181

VERICREST OPPORTUNITY LOAN TRA VOLT 2015 NPL3 A1 144A
10/25/2058
3.38%
**
385,264

VERICREST OPPORTUNITY LOAN TRA VOLT 2016 NP10 A1 144A
9/25/2046
3.50%
**
310,946

VERICREST OPPORTUNITY LOAN TRA VOLT 2016 NP13 A1 144A
12/26/2046
3.88%
**
171,000

VERICREST OPPORTUNITY LOAN TRA VOLT 2016 NPL9 A1 144A
9/25/2046
3.50%
**
237,382

VERIFONE SYSTEMS INC COMMON STOCK USD.01
 
 
**
4,241,903

VERITIV CORP COMMON STOCK USD.01
 
 
**
88,150

VERIZON COMMUNICATIONS INC COMMON STOCK USD.1
 
 
**
6,889,276

VERIZON COMMUNICATIONS SR UNSECURED 03/21 3.45
3/15/2021
3.45%
**
35,102

VERIZON COMMUNICATIONS SR UNSECURED 03/24 4.15
3/15/2024
4.15%
**
52,249

VERIZON COMMUNICATIONS SR UNSECURED 03/55 4.672
3/15/2055
4.67%
**
82,642

VERIZON COMMUNICATIONS SR UNSECURED 08/21 1.75
8/15/2021
1.75%
**
383,720

VERIZON COMMUNICATIONS SR UNSECURED 08/46 4.862
8/21/2046
4.86%
**
141,861

VERIZON COMMUNICATIONS SR UNSECURED 08/54 5.012
8/21/2054
5.01%
**
45,759

VERIZON COMMUNICATIONS SR UNSECURED 09/20 4.5
9/15/2020
4.50%
**
37,454

VERIZON COMMUNICATIONS SR UNSECURED 09/23 5.15
9/15/2023
5.15%
**
315,137

VERIZON COMMUNICATIONS SR UNSECURED 09/33 6.4
9/15/2033
6.40%
**
48,261

VERIZON COMMUNICATIONS SR UNSECURED 09/48 4.522
9/15/2048
4.52%
**
92,056

VERIZON COMMUNICATIONS SR UNSECURED 11/22 2.45
11/1/2022
2.45%
**
178,693

VERIZON OWNER TRUST VZOT 2016 1A A 144A
1/20/2021
1.42%
**
125,170

VERTEX PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
**
2,257,028

VESTAS WIND SYSTEMS A/S COMMON STOCK DKK1.
 
 
**
1,774,458

VIACOM INC SR UNSECURED 03/23 3.25
3/15/2023
3.25%
**
76,732



109
Table of Contents

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

VIACOM INC SR UNSECURED 12/34 4.85
12/15/2034
4.85%
**
31,202

VIAD CORP COMMON STOCK USD1.5
 
 
**
90,405

VIAVI SOLUTIONS INC COMMON STOCK USD.001
 
 
**
119,862

VICINITY CENTRES REIT
 
 
**
86,301

VILLAGE SUPER MARKET CLASS A COMMON STOCK
 
 
**
31,673

VINCI SA COMMON STOCK EUR2.5
 
 
**
622,575

VIPSHOP HOLDINGS LTD ADR ADR USD.0001
 
 
**
61,271

VIRGINIA ELEC + POWER CO SR UNSECURED 02/24 3.45
2/15/2024
3.45%
**
25,691

VIRGINIA ELEC + POWER CO SR UNSECURED 02/44 4.45
2/15/2044
4.45%
**
80,840

VIRTUSA CORP COMMON STOCK USD.01
 
 
**
42,654

VISA INC CLASS A SHARES COMMON STOCK USD.0001
 
 
**
86,257,820

VISHAY INTERTECHNOLOGY INC COMMON STOCK USD.1
 
 
**
182,315

VISHAY PRECISION GROUP COMMON STOCK
 
 
**
25,175

VISTA OUTDOOR INC COMMON STOCK USD.01
 
 
**
62,103

VISTEON CORP COMMON STOCK
 
 
**
103,799

VITAMIN SHOPPE INC COMMON STOCK USD.01
 
 
**
70,585

VNO MORTGAGE TRUST VNDO 2012 6AVE A 144A
11/15/2030
3.00%
**
239,152

VODAFONE GROUP PLC SP ADR ADR
 
 
**
10,122,717

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
2/27/2017
5.63%
**
160,920

VOLTRONIC POWER TECHNOLOGY COMMON STOCK TWD10.0
 
 
**
2,480,626

VONAGE HOLDINGS CORP COMMON STOCK USD.001
 
 
**
869,532

VONOVIA SE COMMON STOCK
 
 
**
232,939

VOXX INTERNATIONAL CORP COMMON STOCK USD.01
 
 
**
9,151

VSE CORP COMMON STOCK USD.05
 
 
**
39,772

VULCAN MATERIALS CO COMMON STOCK USD1.0
 
 
**
448,788

VWR CORP COMMON STOCK USD.01
 
 
**
120,970

WABASH NATIONAL CORP COMMON STOCK USD.01
 
 
**
94,050

WABCO HOLDINGS INC COMMON STOCK USD.01
 
 
**
3,502,950

WABTEC CORP COMMON STOCK USD.01
 
 
**
2,977,014

WACHOVIA CORP SR UNSECURED 06/17 5.75
6/15/2017
5.75%
**
50,952

WAGEWORKS INC
 
 
**
(254,162
)
WAGEWORKS INC COMMON STOCK USD.001
 
 
**
9,412,748

WAL MART STORES INC COMMON STOCK USD.1
 
 
**
2,467,584

WALGREENS BOOTS ALLIANCE INC COMMON STOCK USD.01
 
 
**
10,752,345

WALKER + DUNLOP INC COMMON STOCK
 
 
**
105,518

WALMART DE MEXICO SAB DE CV COMMON STOCK
 
 
**
278,050

WALT DISNEY CO/THE COMMON STOCK USD.01
 
 
**
1,213,746

WALT DISNEY COMPANY/THE SR UNSECURED 02/22 2.55
2/15/2022
2.55%
**
100,406

WALT DISNEY COMPANY/THE SR UNSECURED 06/44 4.125
6/1/2044
4.13%
**
32,049

WALTER INVESTMENT MANAGEMENT COMMON STOCK USD.01
 
 
**
12,170

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A
7/25/2045
0.74%
**
178,242

WASHINGTON FEDERAL INC COMMON STOCK USD1.0
 
 
**
255,633

WASHINGTON REIT REIT USD.01
 
 
**
150,766

WASHINGTON TRUST BANCORP COMMON STOCK USD.0625
 
 
**
91,922

WASTE MANAGEMENT INC COMPANY GUAR 06/20 4.75
6/30/2020
4.75%
**
161,696

WATERSTONE FINANCIAL INC COMMON STOCK USD.01
 
 
**
64,124

WATSCO INC COMMON STOCK USD.5
 
 
**
1,777,440


110
Table of Contents

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

WATTS WATER TECHNOLOGIES A COMMON STOCK USD.1
 
 
**
50,986

WCI COMMUNITIES INC COMMON STOCK USD.01
 
 
**
16,040

WEBSTER FINANCIAL CORP COMMON STOCK USD.01
 
 
**
2,315,476

WEG SA COMMON STOCK
 
 
**
50,957

WEINGARTEN REALTY INVESTORS REIT USD.03
 
 
**
293,478

WEIS MARKETS INC COMMON STOCK
 
 
**
178,129

WELLCARE HEALTH PLANS INC COMMON STOCK USD.01
 
 
**
4,136,800

WELLS FARGO + CO COMMON STOCK USD1.666
 
 
**
40,354,518

WELLS FARGO + COMPANY SR UNSECURED 01/20 2.15
1/30/2020
2.15%
**
14,929

WELLS FARGO + COMPANY SR UNSECURED 01/20 VAR
1/30/2020
1.57%
**
499,755

WELLS FARGO + COMPANY SR UNSECURED 03/22 3.5
3/8/2022
3.50%
**
159,472

WELLS FARGO + COMPANY SR UNSECURED 04/21 4.6
4/1/2021
4.60%
**
257,890

WELLS FARGO + COMPANY SR UNSECURED 07/20 2.6
7/22/2020
2.60%
**
10,058

WELLS FARGO + COMPANY SR UNSECURED 07/21 2.1
7/26/2021
2.10%
**
778,444

WELLS FARGO + COMPANY SR UNSECURED 09/24 3.3
9/9/2024
3.30%
**
2,078,469

WELLS FARGO + COMPANY SR UNSECURED 10/23 VAR
10/31/2023
2.12%
**
506,172

WELLS FARGO + COMPANY SR UNSECURED 12/20 2.55
12/7/2020
2.55%
**
1,176,343

WELLS FARGO + COMPANY SUBORDINATED 02/23 3.45
2/13/2023
3.45%
**
85,306

WELLS FARGO + COMPANY SUBORDINATED 06/26 4.1
6/3/2026
4.10%
**
235,060

WELLS FARGO + COMPANY SUBORDINATED 11/45 4.9
11/17/2045
4.90%
**
48,275

WELLS FARGO BANK NA
11/16/2017
1.26%
**
9,000,000

WELLS FARGO BANK NA SR UNSECURED 01/18 VAR
1/22/2018
1.62%
**
9,292,042

WELLS FARGO BANK NA SR UNSECURED 11/18 VAR
11/28/2018
1.45%
**
8,001,536

WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR10 3A1
7/25/2036
2.96%
**
134,194

WELLTOWER INC SR UNSECURED 03/23 3.75
3/15/2023
3.75%
**
76,508

WELLTOWER INC SR UNSECURED 06/25 4
6/1/2025
4.00%
**
56,210

WENDY S CO/THE COMMON STOCK USD.1
 
 
**
73,981

WERNER ENTERPRISES INC COMMON STOCK USD.01
 
 
**
187,842

WESBANCO INC COMMON STOCK USD2.0833
 
 
**
145,198

WESCO AIRCRAFT HOLDINGS INC COMMON STOCK USD.001
 
 
**
82,793

WESCO INTERNATIONAL INC COMMON STOCK USD.01
 
 
**
143,881

WEST MARINE INC COMMON STOCK USD.001
 
 
**
22,531

WESTERN ALLIANCE BANCORP COMMON STOCK USD.0001
 
 
**
8,080,258

WESTERN DIGITAL CORP COMMON STOCK USD.01
 
 
**
21,506,039

WESTERN ENERGY SERVICES CORP COMMON STOCK
 
 
**
265,143

WESTERN GAS PARTNERS LP SR UNSECURED 06/25 3.95
6/1/2025
3.95%
**
78,884

WESTERN GAS PARTNERS SR UNSECURED 06/21 5.375
6/1/2021
5.38%
**
72,062

WESTERN NEW ENGLAND BANCORP COMMON STOCK USD.01
 
 
**
34,025

WESTERN REFINING INC COMMON STOCK USD.01
 
 
**
233,080

WESTFIELD CORP MISC.
 
 
**
197,194

WESTGATE RESORTS WESTR 2014 1A A 144A
12/20/2026
2.15%
**
472,505

WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2016 2A A2 144A
6/17/2019
1.57%
**
221,194

WESTLAKE CHEMICAL CORP COMMON STOCK USD.01
 
 
**
64,389

WESTPAC BANKING CORP COVERED 144A 11/20 2.25
11/9/2020
2.25%
**
2,200,922

WESTPAC BANKING CORP SR UNSECURED 05/18 1.55
5/25/2018
1.55%
**
6,485,213

WESTPAC BANKING CORP SR UNSECURED 08/17 2
8/14/2017
2.00%
**
8,114,354

WESTPAC BANKING CORP.
10/4/2017
1.39%
**
7,222,206


111
Table of Contents

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

WESTROCK CO COMMON STOCK
 
 
**
1,948,908

WEX INC COMMON STOCK USD.01
 
 
**
13,379,278

WEYCO GROUP INC COMMON STOCK USD1.0
 
 
**
35,275

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 D 144A
3/15/2045
4.21%
**
364,396

WH GROUP LTD COMMON STOCK USD.0001
 
 
**
304,881

WHARF HOLDINGS LTD COMMON STOCK
 
 
**
272,605

WHEELOCK + CO LTD COMMON STOCK
 
 
**
320,908

WHIRLPOOL CORP COMMON STOCK USD1.0
 
 
**
13,615,482

WHITE MOUNTAINS INSURANCE GP COMMON STOCK USD1.0
 
 
**
157,177

WHITECAP RESOURCES INC COMMON STOCK
 
 
**
309,202

WHITESTONE REIT REIT USD.001
 
 
**
22,102

WHITING PETROLEUM CORP COMMON STOCK USD.001
 
 
**
174,230

WIENERBERGER AG COMMON STOCK
 
 
**
544,561

WILEY (JOHN) + SONS CLASS A COMMON STOCK USD1.0
 
 
**
100,553

WILLBROS GROUP INC COMMON STOCK USD.05
 
 
**
11,379

WILLIAM DEMANT HOLDING COMMON STOCK DKK.2
 
 
**
119,272

WILLIAM HILL PLC COMMON STOCK GBP.1
 
 
**
1,180,001

WILLIAM LYON HOMES CL A COMMON STOCK USD.01
 
 
**
48,755

WILLIAMS PARTNERS/ACMP SR UNSECURED 05/23 4.875
5/15/2023
4.88%
**
50,933

WILMAR INTERNATIONAL LTD COMMON STOCK
 
 
**
74,548

WIN SEMICONDUCTORS CORP COMMON STOCK TWD10.
 
 
**
3,253,810

WIND ACQUISITION FIN SA SECURED REGS 04/21 7
4/23/2021
7.00%
**
2,523,544

WINDSTREAM HOLDINGS INC COMMON STOCK USD.0001
 
 
**
71,123

WINNEBAGO INDUSTRIES COMMON STOCK USD.5
 
 
**
774,539

WINTRUST FINANCIAL CORP COMMON STOCK
 
 
**
334,693

WISC ELEC POWER SR UNSECURED 09/21 2.95
9/15/2021
2.95%
**
71,459

WISDOMTREE INVESTMENTS INC COMMON STOCK USD.01
 
 
**
1,398,070

WISTRON CORP COMMON STOCK TWD10.
 
 
**
236,813

WISTRON NEWEB CORP COMMON STOCK TWD10.
 
 
**
567,094

WIX.COM LTD COMMON STOCK ILS.01
 
 
**
1,518,932

WM MORRISON SUPERMARKETS COMMON STOCK GBP.1
 
 
**
450,282

WNS HOLDINGS LTD ADR ADR USD.16
 
 
**
4,270,250

WOLTERS KLUWER COMMON STOCK EUR.12
 
 
**
1,190,860

WOLVERINE WORLD WIDE INC COMMON STOCK USD1.0
 
 
**
2,122,785

WOOD GROUP (JOHN) PLC COMMON STOCK GBP.042857
 
 
**
680,848

WOODWARD INC COMMON STOCK USD.00292
 
 
**
3,083,566

WOORI BANK COMMON STOCK KRW5000.0
 
 
**
119,572

WORKDAY INC CLASS A COMMON STOCK USD.001
 
 
**
12,756,890

WORTHINGTON INDUSTRIES COMMON STOCK
 
 
**
186,392

WP CAREY INC REIT USD.001
 
 
**
223,419

WPP PLC COMMON STOCK GBP.1
 
 
**
8,728,206

WPX ENERGY INC COMMON STOCK
 
 
**
248,025

WR BERKLEY CORP COMMON STOCK USD.2
 
 
**
189,620

WSFS FINANCIAL CORP COMMON STOCK USD.01
 
 
**
3,252,194

WYNN MACAU LTD SR UNSECURED 144A 10/21 5.25
10/15/2021
5.25%
**
856,375

XCEL ENERGY INC COMMON STOCK USD2.5
 
 
**
1,470,613

XCEL ENERGY INC SR UNSECURED 03/22 2.6
3/15/2022
2.60%
**
59,755


112
Table of Contents

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

XCEL ENERGY INC SR UNSECURED 07/36 6.5
7/1/2036
6.50%
**
75,443

XCERRA CORP COMMON STOCK USD.05
 
 
**
43,846

XEBIO HOLDINGS CO LTD COMMON STOCK
 
 
**
221,424

XEROX CORPORATION SR UNSECURED 12/19 5.625
12/15/2019
5.63%
**
55,919

XPO LOGISTICS INC COMMON STOCK USD.001
 
 
**
1,636,800

XYLEM INC SR UNSECURED 11/26 3.25
11/1/2026
3.25%
**
29,132

YADKIN FINANCIAL CORP COMMON STOCK USD1.0
 
 
**
2,756,080

YAMAHA CORP COMMON STOCK
 
 
**
309,144

YAMANA GOLD INC COMMON STOCK
 
 
**
130,270

YAMAZAKI BAKING CO LTD COMMON STOCK
 
 
**
168,428

YANGZIJIANG SHIPBUILDING COMMON STOCK
 
 
**
432,181

YOKOGAWA ELECTRIC CORP COMMON STOCK
 
 
**
223,537

YTL CORP BHD COMMON STOCK MYR.1
 
 
**
50,722

YUASA TRADING CO LTD COMMON STOCK
 
 
**
410,299

YUE YUEN INDUSTRIAL HLDG COMMON STOCK HKD.25
 
 
**
782,434

YUM BRANDS INC COMMON STOCK
 
 
**
2,220,286

YUM CHINA HOLDINGS INC COMMON STOCK USD.01
 
 
**
3,453,613

YUME INC COMMON STOCK USD.001
 
 
**
10,640

ZAGG INC COMMON STOCK USD.001
 
 
**
21,833

ZAYO GROUP HOLDINGS INC COMMON STOCK USD.001
 
 
**
3,859,013

ZEDGE INC CL B COMMON STOCK
 
 
**
1,142

ZEE ENTERTAINMENT ENTERPRISE COMMON STOCK INR1.
 
 
**
32,225

ZELTIQ AESTHETICS INC COMMON STOCK USD.001
 
 
**
1,060,713

ZENDESK INC COMMON STOCK USD.01
 
 
**
2,685,552

ZHUZHOU CRRC TIMES ELECTRI H COMMON STOCK CNY1.0
 
 
**
106,582

ZILLOW GROUP INC C COMMON STOCK
 
 
**
5,517,364

ZIMMER BIOMET HOLDINGS INC COMMON STOCK USD.01
 
 
**
2,187,840

ZIMMER BIOMET HOLDINGS SR UNSECURED 04/25 3.55
4/1/2025
3.55%
**
1,753,177

ZIMMER BIOMET HOLDINGS SR UNSECURED 12/22 1.414
12/13/2022
1.41%
**
2,351,681

ZIONS BANCORPORATION COMMON STOCK
 
 
**
784,146

ZOGENIX INC COMMON STOCK USD.001
 
 
**
21,408

ZUMIEZ INC COMMON STOCK
 
 
**
32,950

ZUMTOBEL GROUP AG COMMON STOCK
 
 
**
356,612

ZURICH INSURANCE GROUP AG COMMON STOCK CHF.1
 
 
**
4,133,924

ZYNGA INC CL A COMMON STOCK USD.00000625
 
 
**
158,641

Bank of Tokyo (wrap contract)
 
 
**
(10,466,054
)
Pacific Life (wrap contract)
 
 
**
(24,032,412
)
Prudential (wrap contract)
 
 
**
(17,964,413
)
Royal Bank of Canada (wrap contract)
 
 
**
(24,737,983
)
Voya (wrap contract)
 
 
**
(35,868,132
)
1166 AVENUE OF THE AMERICAS CO AACMT 2005 C6A D 144A
10/13/2037
5.69%
**
561,380

1166 AVENUE OF THE AMERICAS CO AACMT 2005 C6A F 144A
10/13/2037
5.69%
**
445,983

1166 AVENUE OF THE AMERICAS CO AACMT 2005 C6A G 144A
10/13/2037
5.69%
**
1,331,845

1166 AVENUE OF THE AMERICAS CO AACMT 2005 C6A H 144A
10/13/2037
5.69%
**
2,747,333

21ST CENTURY FOX AMERICA COMPANY GUAR 02/21 4.5
2/15/2021
4.50%
**
235,211

21ST CENTURY FOX AMERICA COMPANY GUAR 03/19 6.9
3/1/2019
6.90%
**
2,652,479

21ST CENTURY FOX AMERICA COMPANY GUAR 05/18 7.25
5/18/2018
7.25%
**
107,197


113
Table of Contents

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

21ST CENTURY FOX AMERICA COMPANY GUAR 08/20 5.65
8/15/2020
5.65%
**
221,055

21ST CENTURY FOX AMERICA COMPANY GUAR 09/22 3
9/15/2022
3.00%
**
1,154,548

321 HENDERSON RECEIVABLES LLC HENDR 2010 3A A 144A
12/15/2048
3.82%
**
1,811,772

A10 SECURITIZATION A10 2015 1 A1 144A
4/15/2034
2.10%
**
334,432

ABBOTT LABORATORIES SR UNSECURED 11/19 2.35
11/22/2019
2.35%
**
10,862,793

ABBOTT LABORATORIES SR UNSECURED 11/21 2.9
11/30/2021
2.90%
**
8,495,718

ABBOTT LABORATORIES SR UNSECURED 11/23 3.4
11/30/2023
3.40%
**
3,277,633

ABBVIE INC SR UNSECURED 05/18 1.8
5/14/2018
1.80%
**
13,239,935

ABBVIE INC SR UNSECURED 05/20 2.5
5/14/2020
2.50%
**
11,107,898

ABBVIE INC SR UNSECURED 05/25 3.6
5/14/2025
3.60%
**
4,378,948

ABBVIE INC SR UNSECURED 05/36 4.3
5/14/2036
4.30%
**
1,048,201

ABBVIE INC SR UNSECURED 05/46 4.45
5/14/2046
4.45%
**
1,436,291

ABBVIE INC SR UNSECURED 11/18 2
11/6/2018
2.00%
**
6,350,897

ABBVIE INC SR UNSECURED 11/22 2.9
11/6/2022
2.90%
**
22,169,039

ABBVIE INC SR UNSECURED 11/22 3.2
11/6/2022
3.20%
**
5,761,789

ABN AMRO BANK NV SR UNSECURED 144A 06/20 2.45
6/4/2020
2.45%
**
2,108,247

ACCESS GROUP INC ACCSS 2005 A A3
7/25/2034
1.28%
**
6,598,558

ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 2A2
10/25/2034
1.96%
**
1,341,214

ACE SECURITIES CORP. ACE 2004 HE3 M1
11/25/2034
1.52%
**
788,630

ACE SECURITIES CORP. ACE 2004 SD1 A1
11/25/2033
1.08%
**
107,619

ACTAVIS FUNDING SCS COMPANY GUAR 03/18 2.35
3/12/2018
2.35%
**
4,566,245

ACTAVIS FUNDING SCS COMPANY GUAR 03/20 3
3/12/2020
3.00%
**
3,756,363

ACTAVIS FUNDING SCS COMPANY GUAR 03/22 3.45
3/15/2022
3.45%
**
13,047,940

ACTAVIS FUNDING SCS COMPANY GUAR 03/25 3.8
3/15/2025
3.80%
**
1,171,378

ACTAVIS FUNDING SCS COMPANY GUAR 06/19 2.45
6/15/2019
2.45%
**
567,392

ACTAVIS FUNDING SCS COMPANY GUAR 06/24 3.85
6/15/2024
3.85%
**
3,026,751

ACTAVIS INC COMPANY GUAR 08/19 6.125
8/15/2019
6.13%
**
895,874

ACTAVIS INC COMPANY GUAR 10/17 1.875
10/1/2017
1.88%
**
1,447,761

ACTAVIS INC COMPANY GUAR 10/22 3.25
10/1/2022
3.25%
**
826,612

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7A2
2/25/2035
1.43%
**
25,968

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1
9/25/2035
3.32%
**
1,164,622

ADVENT HEALTH SYSTEM UNSECURED 03/23 3.378
3/1/2023
3.38%
**
3,944,200

AEGON NV JR SUBORDINA 07/49 VAR
7/29/2049
1.68%
**
2,753,959

AEP TRANSMISSION CO LLC SR UNSECURED 144A 12/26 3.1
12/1/2026
3.10%
**
748,512

AETNA INC SR UNSECURED 03/19 2.2
3/15/2019
2.20%
**
4,746,937

AETNA INC SR UNSECURED 05/17 1.75
5/15/2017
1.75%
**
6,505,883

AETNA INC SR UNSECURED 06/19 1.9
6/7/2019
1.90%
**
10,601,635

AETNA INC SR UNSECURED 06/21 2.4
6/15/2021
2.40%
**
1,095,019

AETNA INC SR UNSECURED 06/23 2.8
6/15/2023
2.80%
**
275,803

AETNA INC SR UNSECURED 06/26 3.2
6/15/2026
3.20%
**
5,089,789

AETNA INC SR UNSECURED 11/22 2.75
11/15/2022
2.75%
**
785,917

AGRIUM INC SR UNSECURED 01/19 6.75
1/15/2019
6.75%
**
297,154

AGRIUM INC SR UNSECURED 06/23 3.5
6/1/2023
3.50%
**
633,418

AID ISRAEL US GOVT GUAR 04/24 5.5
4/26/2024
5.50%
**
10,009,554

AID ISRAEL US GOVT GUAR 12/23 5.5
12/4/2023
5.50%
**
339,046

AID JORDAN US GOVT GUAR 06/22 2.578
6/30/2022
2.58%
**
2,619,375

AID JORDAN US GOVT GUAR 06/25 3
6/30/2025
3.00%
**
1,351,553


114
Table of Contents

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

AID TUNISIA US GOVT GUAR 08/21 1.416
8/5/2021
1.42%
**
966,642

AID UKRAINE US GOVT GUAR 05/19 1.844
5/16/2019
1.84%
**
12,967,188

AID UKRAINE US GOVT GUAR 09/21 1.471
9/29/2021
1.47%
**
2,733,483

AIG GLOBAL FUNDING SR SECURED 144A 12/17 1.65
12/15/2017
1.65%
**
6,005,898

AIG GLOBAL FUNDING SR SECURED 144A 12/21 2.7
12/15/2021
2.70%
**
598,711

AIR LEASE CORP SR UNSECURED 01/20 2.125
1/15/2020
2.13%
**
4,876,131

AIR LIQUIDE FINANCE COMPANY GUAR 144A 09/21 1.75
9/27/2021
1.75%
**
1,715,762

ALABAMA ECON SETTLEMENT AUTH B ABMGEN 09/25 FIXED 3.163
9/15/2025
3.16%
**
806,920

ALABAMA POWER CO SR UNSECURED 10/20 3.375
10/1/2020
3.38%
**
309,988

ALIBABA GROUP HOLDING SR UNSECURED 11/17 1.625
11/28/2017
1.63%
**
4,171,703

ALLERGAN INC COMPANY GUAR 03/18 1.35
3/15/2018
1.35%
**
268,056

ALLSTATE CORP SR UNSECURED 05/18 6.75
5/15/2018
6.75%
**
212,910

ALLY AUTO RECEIVABLES TRUST ALLYA 2014 1 A4
4/15/2019
1.53%
**
1,802,935

ALLY AUTO RECEIVABLES TRUST ALLYA 2015 1 A2
2/15/2018
0.92%
**
548,942

ALLY AUTO RECEIVABLES TRUST ALLYA 2015 1 A3
9/16/2019
1.39%
**
1,624,226

ALLY AUTO RECEIVABLES TRUST ALLYA 2016 2 A3
5/15/2020
1.35%
**
2,231,614

ALLY MASTER OWNER TRUST AMOT 2014 4 A2
6/17/2019
1.43%
**
1,000,591

ALTERA CORP COMPANY GUAR 11/18 2.5
11/15/2018
2.50%
**
574,757

ALTRIA GROUP INC COMPANY GUAR 01/24 4
1/31/2024
4.00%
**
2,583,429

ALTRIA GROUP INC COMPANY GUAR 05/21 4.75
5/5/2021
4.75%
**
5,083,908

ALTRIA GROUP INC COMPANY GUAR 08/19 9.25
8/6/2019
9.25%
**
4,583,011

ALTRIA GROUP INC COMPANY GUAR 08/22 2.85
8/9/2022
2.85%
**
1,161,421

AMAZON.COM INC SR UNSECURED 11/17 1.2
11/29/2017
1.20%
**
780,300

AMAZON.COM INC SR UNSECURED 12/19 2.6
12/5/2019
2.60%
**
519,028

AMAZON.COM INC SR UNSECURED 12/34 4.8
12/5/2034
4.80%
**
5,503,300

AMAZON.COM INC SR UNSECURED 12/44 4.95
12/5/2044
4.95%
**
2,052,983

AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7
4/1/2028
3.70%
**
223,518

AMERICAN AIRLINES 2013 2 PASS THRU CE 07/24 4.95
7/15/2024
4.95%
**
660,343

AMERICAN CAMPUS CMNTYS COMPANY GUAR 07/24 4.125
7/1/2024
4.13%
**
1,025,286

AMERICAN ELECTRIC POWER SR UNSECURED 12/17 1.65
12/15/2017
1.65%
**
1,395,464

AMERICAN EXPR CENTURION SR UNSECURED 09/17 6
9/13/2017
6.00%
**
257,729

AMERICAN EXPRESS CO SR UNSECURED 05/18 1.55
5/22/2018
1.55%
**
5,988,342

AMERICAN EXPRESS CO SR UNSECURED 05/19 8.125
5/20/2019
8.13%
**
193,356

AMERICAN EXPRESS CO SR UNSECURED 12/22 2.65
12/2/2022
2.65%
**
2,998,156

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2013 2 A
5/17/2021
1.12%
**
6,519,950

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2013 2 B
5/17/2021
1.40%
**
3,012,080

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2014 3 A
4/15/2020
1.49%
**
1,575,567

AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2014 4 A
6/15/2020
1.43%
**
490,812

AMERICAN EXPRESS CREDIT SR UNSECURED 05/21 2.25
5/5/2021
2.25%
**
494,042

AMERICAN EXPRESS CREDIT SR UNSECURED 07/18 1.8
7/31/2018
1.80%
**
4,645,967

AMERICAN EXPRESS CREDIT SR UNSECURED 08/19 2.25
8/15/2019
2.25%
**
1,106,122

AMERICAN EXPRESS CREDIT SR UNSECURED 09/17 1.55
9/22/2017
1.55%
**
7,691,559

AMERICAN HONDA FINANCE SR UNSECURED 03/18 1.5
3/13/2018
1.50%
**
549,922

AMERICAN HONDA FINANCE SR UNSECURED 07/18 1.6
7/13/2018
1.60%
**
461,003

AMERICAN HONDA FINANCE SR UNSECURED 08/19 2.25
8/15/2019
2.25%
**
313,018

AMERICAN HONDA FINANCE SR UNSECURED 09/20 2.45
9/24/2020
2.45%
**
713,671

AMERICAN HONDA FINANCE SR UNSECURED 09/21 1.7
9/9/2021
1.70%
**
1,930,124


115
Table of Contents

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

AMERICAN HONDA FINANCE SR UNSECURED 10/18 2.125
10/10/2018
2.13%
**
302,346

AMERICAN INTL GROUP SR UNSECURED 01/18 5.85
1/16/2018
5.85%
**
291,974

AMERICAN INTL GROUP SR UNSECURED 03/21 3.3
3/1/2021
3.30%
**
6,808,409

AMERICAN INTL GROUP SR UNSECURED 06/22 4.875
6/1/2022
4.88%
**
781,334

AMERICAN INTL GROUP SR UNSECURED 07/19 2.3
7/16/2019
2.30%
**
874,106

AMERICAN INTL GROUP SR UNSECURED 12/20 6.4
12/15/2020
6.40%
**
734,387

AMERICAN TOWER CORP SR UNSECURED 01/27 3.125
1/15/2027
3.13%
**
2,860,249

AMERICAN TOWER CORP SR UNSECURED 02/24 5
2/15/2024
5.00%
**
14,725,534

AMERICAN TOWER CORP SR UNSECURED 02/26 4.4
2/15/2026
4.40%
**
817,482

AMERICOLD LLC TRUST ACRE 2010 ARTA A2FL 144A
1/14/2029
2.19%
**
5,667,916

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 4 B
9/10/2018
1.66%
**
300,982

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 5 B
1/8/2019
1.52%
**
1,335,894

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2014 2 A3
2/8/2019
0.94%
**
1,136,655

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2015 2 A3
1/8/2020
1.27%
**
2,031,355

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2016 1 A3
10/8/2020
1.81%
**
1,002,224

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2016 3 A2B
11/8/2019
1.21%
**
6,607,121

AMERIPRISE FINANCIAL INC SR UNSECURED 03/20 5.3
3/15/2020
5.30%
**
303,495

AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 A1
11/25/2034
1.19%
**
2,079

AMGEN INC SR UNSECURED 02/19 5.7
2/1/2019
5.70%
**
6,878,790

AMGEN INC SR UNSECURED 05/17 1.25
5/22/2017
1.25%
**
300,030

AMGEN INC SR UNSECURED 05/17 2.125
5/15/2017
2.13%
**
266,868

AMGEN INC SR UNSECURED 05/19 2.2
5/22/2019
2.20%
**
5,743,999

AMGEN INC SR UNSECURED 05/19 VAR
5/22/2019
1.52%
**
603,657

AMGEN INC SR UNSECURED 05/22 3.625
5/15/2022
3.63%
**
206,680

AMGEN INC SR UNSECURED 05/24 3.625
5/22/2024
3.63%
**
4,745,411

AMGEN INC SR UNSECURED 06/17 5.85
6/1/2017
5.85%
**
203,667

AMGEN INC SR UNSECURED 06/18 6.15
6/1/2018
6.15%
**
344,678

AMGEN INC SR UNSECURED 06/21 4.1
6/15/2021
4.10%
**
173,938

AMGEN INC SR UNSECURED 08/26 2.6
8/19/2026
2.60%
**
6,485,300

AMGEN INC SR UNSECURED 11/21 3.875
11/15/2021
3.88%
**
6,856,651

ANADARKO PETROLEUM CORP SR UNSECURED 03/19 8.7
3/15/2019
8.70%
**
454,587

ANADARKO PETROLEUM CORP SR UNSECURED 03/21 4.85
3/15/2021
4.85%
**
5,908,031

ANADARKO PETROLEUM CORP SR UNSECURED 03/26 5.55
3/15/2026
5.55%
**
3,637,595

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 02/19 1.9
2/1/2019
1.90%
**
10,339,817

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 02/21 2.65
2/1/2021
2.65%
**
15,121,376

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 02/23 3.3
2/1/2023
3.30%
**
3,088,817

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/19 7.75
1/15/2019
7.75%
**
417,701

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/20 5.375
1/15/2020
5.38%
**
3,381,151

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 04/20 5
4/15/2020
5.00%
**
1,320,639

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 08/18 2.2
8/1/2018
2.20%
**
604,054

ANTHEM INC SR UNSECURED 01/18 1.875
1/15/2018
1.88%
**
300,132

ANTHEM INC SR UNSECURED 06/17 5.875
6/15/2017
5.88%
**
4,279,890

ANZ NEW ZEALAND INTL/LDN COMPANY GUAR 144A 03/18 1.75
3/29/2018
1.75%
**
1,183,041

APACHE CORP SR UNSECURED 04/22 3.25
4/15/2022
3.25%
**
6,175,511

APPALACHIAN POWER CO SR UNSECURED 06/17 5
6/1/2017
5.00%
**
202,688

APPLE INC SR UNSECURED 02/21 VAR
2/23/2021
2.05%
**
6,399,840

APPLE INC SR UNSECURED 05/21 2.85
5/6/2021
2.85%
**
6,083,646


116
Table of Contents

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

APPLE INC SR UNSECURED 08/26 2.45
8/4/2026
2.45%
**
5,556,198

APPLE INC SR UNSECURED 08/46 3.85
8/4/2046
3.85%
**
4,790,705

ARCH CAPITAL FINANCE LLC COMPANY GUAR 12/26 4.011
12/15/2026
4.01%
**
694,858

ARGENT SECURITIES INC. ARSI 2003 W3 M1
9/25/2033
1.88%
**
270,828

ARGENT SECURITIES INC. ARSI 2004 W11 M2
11/25/2034
1.81%
**
3,186,668

ARGENT SECURITIES INC. ARSI 2004 W5 AV3B
4/25/2034
1.66%
**
763,289

ARIZONA PUBLIC SERVICE SR UNSECURED 01/20 2.2
1/15/2020
2.20%
**
114,134

ARROW ELECTRONICS INC SR UNSECURED 03/18 3
3/1/2018
3.00%
**
202,278

ARROW ELECTRONICS INC SR UNSECURED 06/18 6.875
6/1/2018
6.88%
**
95,648

ASIAN DEVELOPMENT BANK SR UNSECURED 01/20 1.5
1/22/2020
1.50%
**
20,892,720

ASIAN DEVELOPMENT BANK SR UNSECURED 03/19 1.75
3/21/2019
1.75%
**
13,640,320

ASSET BACKED SECURITIES CORP H ABSHE 2003 HE7 M1
12/15/2033
1.51%
**
1,624,527

ASTRAZENECA PLC SR UNSECURED 11/18 1.75
11/16/2018
1.75%
**
3,255,808

ASTRAZENECA PLC SR UNSECURED 11/25 3.375
11/16/2025
3.38%
**
7,050,953

AT+T INC SR UNSECURED 01/18 1.75
1/15/2018
1.75%
**
410,251

AT+T INC SR UNSECURED 02/17 1.6
2/15/2017
1.60%
**
800,215

AT+T INC SR UNSECURED 02/18 5.5
2/1/2018
5.50%
**
2,987,102

AT+T INC SR UNSECURED 02/19 5.8
2/15/2019
5.80%
**
430,091

AT+T INC SR UNSECURED 02/21 2.8
2/17/2021
2.80%
**
198,411

AT+T INC SR UNSECURED 02/22 3
2/15/2022
3.00%
**
425,803

AT+T INC SR UNSECURED 02/26 4.125
2/17/2026
4.13%
**
3,645,238

AT+T INC SR UNSECURED 02/47 5.65
2/15/2047
5.65%
**
4,289,980

AT+T INC SR UNSECURED 03/17 2.4
3/15/2017
2.40%
**
300,737

AT+T INC SR UNSECURED 03/19 2.3
3/11/2019
2.30%
**
11,895,433

AT+T INC SR UNSECURED 03/22 3.8
3/15/2022
3.80%
**
1,501,829

AT+T INC SR UNSECURED 05/21 4.45
5/15/2021
4.45%
**
52,879

AT+T INC SR UNSECURED 05/25 3.4
5/15/2025
3.40%
**
19,180,078

AT+T INC SR UNSECURED 06/20 2.45
6/30/2020
2.45%
**
7,020,736

AT+T INC SR UNSECURED 06/22 3
6/30/2022
3.00%
**
701,851

AT+T INC SR UNSECURED 08/21 3.875
8/15/2021
3.88%
**
41,298

ATLANTA GA ARPT REVENUE ATLAPT 01/19 FIXED 5
1/1/2019
5.00%
**
3,320,609

ATLANTA GA WTR WSTWTR REVENU ATLUTL 11/26 FIXED OID 6
11/1/2026
6.00%
**
3,200,493

ATMOS ENERGY CORP SR UNSECURED 06/17 6.35
6/15/2017
6.35%
**
536,969

AUST + NZ BANKING GRP NY SR UNSECURED 01/18 1.5
1/16/2018
1.50%
**
249,827

AUST + NZ BANKING GRP NY SR UNSECURED 09/19 2.05
9/23/2019
2.05%
**
13,116,714

AUTOZONE INC SR UNSECURED 04/19 1.625
4/21/2019
1.63%
**
2,378,093

AUTOZONE INC SR UNSECURED 04/21 2.5
4/15/2021
2.50%
**
1,072,809

AVALONBAY COMMUNITIES IN SR UNSECURED 10/20 3.625
10/1/2020
3.63%
**
5,191,920

AVIATION CAPITAL GROUP SR UNSECURED 144A 04/21 6.75
4/6/2021
6.75%
**
1,201,200

AVIS BUDGET RENTAL CAR FUNDING AESOP 2013 1A A 144A
9/20/2019
1.92%
**
14,327,596

AVIS BUDGET RENTAL CAR FUNDING AESOP 2015 1A A 144A
7/20/2021
2.50%
**
12,801,857

AVIS BUDGET RENTAL CAR FUNDING AESOP 2015 2A A 144A
12/20/2021
2.63%
**
5,432,726

AXIS SPECIALTY FINAN PLC COMPANY GUAR 04/19 2.65
4/1/2019
2.65%
**
2,517,228

AXIS SPECIALTY FINANCE COMPANY GUAR 06/20 5.875
6/1/2020
5.88%
**
920,746

BACARDI LTD COMPANY GUAR 144A 04/19 8.2
4/1/2019
8.20%
**
186,451

BALTIMORE GAS + ELECTRIC SR UNSECURED 07/23 3.35
7/1/2023
3.35%
**
342,925

BALTIMORE GAS + ELECTRIC SR UNSECURED 08/26 2.4
8/15/2026
2.40%
**
5,508,724


117
Table of Contents

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

BALTIMORE GAS + ELECTRIC SR UNSECURED 08/46 3.5
8/15/2046
3.50%
**
5,398,734

BAMLL DB TRUST BMLDB 2012 OSI A1 144A
4/13/2029
2.34%
**
179,723

BANC OF AMERICA COMMERCIAL MOR BACM 2006 3 A4
7/10/2044
5.89%
**
18,291

BANC OF AMERICA COMMERCIAL MOR BACM 2007 1 A4
1/15/2049
5.45%
**
82,826

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A1A
6/10/2049
5.55%
**
320,711

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A4
6/10/2049
5.55%
**
11,624,254

BANC OF AMERICA COMMERCIAL MOR BACM 2007 4 A1A
2/10/2051
5.77%
**
3,524,684

BANC OF AMERICA COMMERCIAL MOR BACM 2007 4 A4
2/10/2051
5.75%
**
1,456,138

BANC OF AMERICA COMMERCIAL MOR BACM 2016 UB10 A3
7/15/2049
2.90%
**
9,725,593

BANC OF AMERICA COMMERCIAL MOR BACM 2016 UB10 ASB
7/15/2049
3.02%
**
1,998,166

BANC OF AMERICA LARGE LOAN BALL 2009 UB2 A4AA 144A
2/24/2051
5.84%
**
1,170,031

BANC OF AMERICA MERRILL LYNCH BAMLL 2014 FL1 A 144A
12/15/2031
2.10%
**
8,527,339

BANC OF AMERICA SEURITIES LLC TBA CASH COLLATERAL USD
 
 
**
280,000

BANK OF AMERICA CORP SR UNSECURED 01/18 2
1/11/2018
2.00%
**
11,723,915

BANK OF AMERICA CORP SR UNSECURED 01/19 2.6
1/15/2019
2.60%
**
9,751,651

BANK OF AMERICA CORP SR UNSECURED 01/23 3.3
1/11/2023
3.30%
**
4,113,694

BANK OF AMERICA CORP SR UNSECURED 01/24 4.125
1/22/2024
4.13%
**
3,393,155

BANK OF AMERICA CORP SR UNSECURED 01/44 5
1/21/2044
5.00%
**
1,138,897

BANK OF AMERICA CORP SR UNSECURED 03/17 3.875
3/22/2017
3.88%
**
673,794

BANK OF AMERICA CORP SR UNSECURED 04/18 6.875
4/25/2018
6.88%
**
28,251,085

BANK OF AMERICA CORP SR UNSECURED 04/19 2.65
4/1/2019
2.65%
**
33,803,366

BANK OF AMERICA CORP SR UNSECURED 04/20 2.25
4/21/2020
2.25%
**
3,260,878

BANK OF AMERICA CORP SR UNSECURED 04/24 4
4/1/2024
4.00%
**
13,247,549

BANK OF AMERICA CORP SR UNSECURED 04/26 3.5
4/19/2026
3.50%
**
4,109,489

BANK OF AMERICA CORP SR UNSECURED 05/18 1.95
5/12/2018
1.95%
**
3,577,015

BANK OF AMERICA CORP SR UNSECURED 05/21 5
5/13/2021
5.00%
**
14,418,864

BANK OF AMERICA CORP SR UNSECURED 06/19 7.625
6/1/2019
7.63%
**
943,922

BANK OF AMERICA CORP SR UNSECURED 07/20 5.625
7/1/2020
5.63%
**
1,770,280

BANK OF AMERICA CORP SR UNSECURED 08/17 6.4
8/28/2017
6.40%
**
14,059,302

BANK OF AMERICA CORP SR UNSECURED 08/25 3.875
8/1/2025
3.88%
**
1,626,930

BANK OF AMERICA CORP SR UNSECURED 09/17 6
9/1/2017
6.00%
**
23,188,042

BANK OF AMERICA CORP SR UNSECURED 10/20 2.625
10/19/2020
2.63%
**
9,105,196

BANK OF AMERICA CORP SR UNSECURED 11/20 2.151
11/9/2020
2.15%
**
2,672,799

BANK OF AMERICA CORP SR UNSECURED 12/17 5.75
12/1/2017
5.75%
**
3,977,660

BANK OF AMERICA CORP SUBORDINATED 01/25 4
1/22/2025
4.00%
**
790,992

BANK OF AMERICA CORP SUBORDINATED 03/19 5.49
3/15/2019
5.49%
**
318,254

BANK OF AMERICA CORP SUBORDINATED 03/26 4.45
3/3/2026
4.45%
**
963,553

BANK OF AMERICA CORP SUBORDINATED 04/25 3.95
4/21/2025
3.95%
**
1,891,429

BANK OF AMERICA CORP SUBORDINATED 08/24 4.2
8/26/2024
4.20%
**
6,132,598

BANK OF AMERICA CREDIT CARD TR BACCT 2014 A3 A
1/15/2020
0.99%
**
17,412,077

BANK OF AMERICA CREDIT CARD TR BACCT 2015 A2 A
9/15/2020
1.36%
**
2,998,617

BANK OF AMERICA NA SR UNSECURED 12/18 2.05
12/7/2018
2.05%
**
502,679

BANK OF MONTREAL COVERED 144A 06/22 1.75
6/15/2022
1.75%
**
20,401,814

BANK OF MONTREAL SR UNSECURED 01/19 2.375
1/25/2019
2.38%
**
504,329

BANK OF MONTREAL SR UNSECURED 04/18 1.4
4/10/2018
1.40%
**
598,450

BANK OF MONTREAL SR UNSECURED 04/18 1.45
4/9/2018
1.45%
**
1,072,463

BANK OF MONTREAL SR UNSECURED 07/18 1.8
7/31/2018
1.80%
**
3,312,079


118
Table of Contents

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

BANK OF MONTREAL SR UNSECURED 09/17 1.4
9/11/2017
1.40%
**
130,007

BANK OF MONTREAL SR UNSECURED 12/19 2.1
12/12/2019
2.10%
**
3,099,988

BANK OF NOVA SCOTIA COVERED 04/21 1.875
4/26/2021
1.88%
**
18,340,904

BANK OF NOVA SCOTIA COVERED 09/19 2.125
9/11/2019
2.13%
**
8,050,795

BANK OF NOVA SCOTIA SR UNSECURED 06/19 1.65
6/14/2019
1.65%
**
3,299,484

BANK OF NOVA SCOTIA SR UNSECURED 06/19 2.05
6/5/2019
2.05%
**
1,961,607

BANK OF NOVA SCOTIA SR UNSECURED 10/18 2.05
10/30/2018
2.05%
**
602,411

BANK OF NY MELLON CORP SR UNSECURED 02/20 2.15
2/24/2020
2.15%
**
548,380

BANK OF NY MELLON CORP SR UNSECURED 03/19 2.2
3/4/2019
2.20%
**
1,158,204

BANK OF NY MELLON CORP SR UNSECURED 04/21 2.5
4/15/2021
2.50%
**
2,017,241

BANK OF NY MELLON CORP SR UNSECURED 08/23 2.2
8/16/2023
2.20%
**
6,115,691

BANK OF NY MELLON CORP SR UNSECURED 11/20 2.45
11/27/2020
2.45%
**
200,073

BANK TOKYO MIT UFJ NY
1/4/2017
 
**
9,997,733

BANK TOKYO MIT UFJ NY
1/5/2017
 
**
14,996,263

BANK TOKYO MIT UFJ NY
1/5/2017
0.01%
**
9,998,736

BARCLAYS BANK PLC SUBORDINATED 144A 06/21 10.179
6/12/2021
10.18%
**
13,100,041

BARCLAYS BANK PLC SUBORDINATED 144A 12/17 6.05
12/4/2017
6.05%
**
898,786

BARCLAYS CAPITAL INC TBA CASH COLLATERAL
 
 
**
310,000

BARCLAYS CAPITAL REPO REPO
1/3/2017
0.62%
**
150,000,000

BARCLAYS PLC SR UNSECURED 01/26 4.375
1/12/2026
4.38%
**
1,569,874

BARCLAYS PLC SR UNSECURED 08/21 3.2
8/10/2021
3.20%
**
1,912,537

BARCLAYS PLC SR UNSECURED 08/45 5.25
8/17/2045
5.25%
**
6,317,065

BARCLAYS PLC SR UNSECURED 11/19 2.75
11/8/2019
2.75%
**
2,888,354

BARRICK GOLD CORP SR UNSECURED 04/19 6.95
4/1/2019
6.95%
**
539,271

BARRICK GOLD CORP SR UNSECURED 05/23 4.1
5/1/2023
4.10%
**
505,740

BARRICK NA FINANCE LLC COMPANY GUAR 05/21 4.4
5/30/2021
4.40%
**
452,919

BAT INTL FINANCE PLC COMPANY GUAR 144A 06/18 1.85
6/15/2018
1.85%
**
6,753,058

BAT INTL FINANCE PLC COMPANY GUAR 144A 06/20 2.75
6/15/2020
2.75%
**
6,444,287

BAT INTL FINANCE PLC COMPANY GUAR 144A 06/22 3.5
6/15/2022
3.50%
**
1,229,924

BAXALTA INC COMPANY GUAR 06/18 2
6/22/2018
2.00%
**
3,390,180

BAYER US FINANCE LLC COMPANY GUAR 144A 10/17 1.5
10/6/2017
1.50%
**
3,969,781

BAYER US FINANCE LLC COMPANY GUAR 144A 10/19 2.375
10/8/2019
2.38%
**
400,708

BB+T CORPORATION SR UNSECURED 01/20 2.45
1/15/2020
2.45%
**
12,456,865

BB+T CORPORATION SR UNSECURED 02/19 2.25
2/1/2019
2.25%
**
604,674

BB+T CORPORATION SR UNSECURED 06/18 2.05
6/19/2018
2.05%
**
3,247,698

BB+T CORPORATION SR UNSECURED 06/20 2.625
6/29/2020
2.63%
**
2,328,097

BB+T CORPORATION SR UNSECURED 08/17 1.6
8/15/2017
1.60%
**
5,619,354

BB+T CORPORATION SUBORDINATED 11/19 5.25
11/1/2019
5.25%
**
59,423

BEAM SUNTORY INC COMPANY GUAR 05/17 1.875
5/15/2017
1.88%
**
450,644

BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1
11/25/2030
2.75%
**
26,355

BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1
2/25/2033
2.75%
**
2,965

BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1
2/25/2034
3.33%
**
505,495

BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1
1/25/2035
3.59%
**
75,586

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A1
3/25/2035
2.92%
**
2,467,983



119
Table of Contents

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

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A2
3/25/2035
3.13%
**
19,274

BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2
5/25/2035
2.98%
**
1,446,657

BEAR STEARNS ASSET BACKED SECU BSABS 2004 BO1 M4
10/25/2034
1.79%
**
100,512

BEAR STEARNS ASSET BACKED SECU BSABS 2005 SD1 1A3
8/25/2043
1.16%
**
251,728

BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A
8/25/2036
5.50%
**
826,496

BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 1A1
10/25/2037
1.58%
**
733,001

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW15 A1A
2/11/2044
5.32%
**
4,537,477

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T26 A1A
1/12/2045
5.45%
**
1,854,547

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T26 A4
1/12/2045
5.47%
**
6,328,211

BEAR STEARNS COS LLC COMPANY GUAR 02/18 7.25
2/1/2018
7.25%
**
10,217,288

BEAR STEARNS COS LLC COMPANY GUAR 10/17 6.4
10/2/2017
6.40%
**
5,159,011

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
1/26/2036
2.97%
**
82,043

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
12/26/2046
2.78%
**
2,695,852

BECTON DICKINSON AND CO SR UNSECURED 04/18 4.9
4/15/2018
4.90%
**
207,976

BECTON DICKINSON AND CO SR UNSECURED 12/17 1.8
12/15/2017
1.80%
**
10,082,876

BECTON DICKINSON AND CO SR UNSECURED 12/19 2.675
12/15/2019
2.68%
**
2,899,758

BECTON DICKINSON AND CO SR UNSECURED 12/24 3.734
12/15/2024
3.73%
**
260,769

BECTON DICKINSON AND CO SR UNSECURED 12/44 4.685
12/15/2044
4.69%
**
673,364

BELGIUM KINGDOM SR UNSECURED 144A REGS 08/19 1
8/3/2019
1.13%
**
3,171,077

BERKSHIRE HATHAWAY ENERG SR UNSECURED 02/20 2.4
2/1/2020
2.40%
**
5,815,793

BERKSHIRE HATHAWAY ENERG SR UNSECURED 02/25 3.5
2/1/2025
3.50%
**
5,099,065

BERKSHIRE HATHAWAY ENERG SR UNSECURED 04/18 5.75
4/1/2018
5.75%
**
2,212,643

BERKSHIRE HATHAWAY ENERG SR UNSECURED 05/17 1.1
5/15/2017
1.10%
**
200,003

BERKSHIRE HATHAWAY FIN COMPANY GUAR 03/19 1.7
3/15/2019
1.70%
**
2,987,351

BERKSHIRE HATHAWAY FIN COMPANY GUAR 08/19 1.3
8/15/2019
1.30%
**
3,319,196

BERKSHIRE HATHAWAY INC SR UNSECURED 03/23 2.75
3/15/2023
2.75%
**
2,590,240

BHP BILLITON FIN USA LTD COMPANY GUAR 02/17 1.625
2/24/2017
1.63%
**
2,576,939

BHP BILLITON FIN USA LTD COMPANY GUAR 04/19 6.5
4/1/2019
6.50%
**
510,442

BHP BILLITON FIN USA LTD COMPANY GUAR 09/18 2.05
9/30/2018
2.05%
**
6,081,899

BIOGEN INC SR UNSECURED 03/18 6.875
3/1/2018
6.88%
**
370,135

BIOGEN INC SR UNSECURED 09/20 2.9
9/15/2020
2.90%
**
202,551

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 03/18 1.7
3/5/2018
1.70%
**
4,570,273

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 03/19 2.3
3/10/2019
2.30%
**
400,157

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 03/20 2.3
3/5/2020
2.30%
**
296,670

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 09/24 3.25
9/8/2024
3.25%
**
20,011,962

BLACK HILLS CORP SR UNSECURED 01/19 2.5
1/11/2019
2.50%
**
6,606,235

BLACKROCK INC SR UNSECURED 12/19 5
12/10/2019
5.00%
**
635,339

BMW US CAPITAL LLC COMPANY GUAR 144A 09/19 1.45
9/13/2019
1.45%
**
5,287,132

BMW VEHICLE LEASE TRUST BMWLT 2015 2 A4
2/20/2019
1.55%
**
1,250,864

BMW VEHICLE LEASE TRUST BMWLT 2016 1 A3
1/22/2019
1.34%
**
1,035,899

BMW VEHICLE LEASE TRUST BMWLT 2016 2 A3
9/20/2019
1.43%
**
1,095,449

BMW VEHICLE OWNER TRUST BMWOT 2016 A A4
12/27/2022
1.37%
**
5,784,967

BNP PARIBAS SR UNSECURED 08/18 2.7
8/20/2018
2.70%
**
3,423,984

BNP PARIBAS SR UNSECURED 09/17 2.375
9/14/2017
2.38%
**
5,566,924

BNZ INTL FUNDING/LONDON COMPANY GUAR 144A 03/19 2.35
3/4/2019
2.35%
**
4,094,566

BOARDWALK PIPELINES LLC COMPANY GUAR 02/17 5.5
2/1/2017
5.50%
**
250,666

BOSTON PROPERTIES LP SR UNSECURED 05/21 4.125
5/15/2021
4.13%
**
739,582


120
Table of Contents

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

BOSTON PROPERTIES LP SR UNSECURED 11/18 3.7
11/15/2018
3.70%
**
293,561

BOSTON SCIENTIFIC CORP SR UNSECURED 01/20 6
1/15/2020
6.00%
**
4,430,487

BOSTON SCIENTIFIC CORP SR UNSECURED 05/20 2.85
5/15/2020
2.85%
**
1,050,435

BOSTON SCIENTIFIC CORP SR UNSECURED 10/23 4.125
10/1/2023
4.13%
**
3,008,611

BP CAP MARKETS AMERICA COMPANY GUAR 06/18 4.2
6/15/2018
4.20%
**
310,205

BP CAPITAL MARKETS PLC COMPANY GUAR 01/27 3.017
1/16/2027
3.02%
**
2,036,285

BP CAPITAL MARKETS PLC COMPANY GUAR 02/18 1.674
2/13/2018
1.67%
**
4,378,418

BP CAPITAL MARKETS PLC COMPANY GUAR 03/19 4.75
3/10/2019
4.75%
**
202,473

BP CAPITAL MARKETS PLC COMPANY GUAR 03/25 3.506
3/17/2025
3.51%
**
2,009,024

BP CAPITAL MARKETS PLC COMPANY GUAR 05/18 1.375
5/10/2018
1.38%
**
213,340

BP CAPITAL MARKETS PLC COMPANY GUAR 05/19 1.676
5/3/2019
1.68%
**
4,334,109

BP CAPITAL MARKETS PLC COMPANY GUAR 05/22 3.245
5/6/2022
3.25%
**
1,128,352

BP CAPITAL MARKETS PLC COMPANY GUAR 05/26 3.119
5/4/2026
3.12%
**
244,167

BP CAPITAL MARKETS PLC COMPANY GUAR 09/21 2.112
9/16/2021
2.11%
**
5,523,875

BP CAPITAL MARKETS PLC COMPANY GUAR 11/17 1.375
11/6/2017
1.38%
**
999,433

BP CAPITAL MARKETS PLC COMPANY GUAR 11/23 3.216
11/28/2023
3.22%
**
1,838,180

BPCE SA BANK GUARANT 12/21 2.75
12/2/2021
2.75%
**
494,582

BPCE SA COMPANY GUAR 01/18 1.625
1/26/2018
1.63%
**
498,785

BPCE SA COMPANY GUAR 02/17 1.625
2/10/2017
1.63%
**
3,440,774

BPCE SA SR UNSECURED 07/17 1.6125
7/25/2017
1.61%
**
1,632,760

BPCE SA SUBORDINATED 144A 07/24 4.625
7/11/2024
4.63%
**
5,730,794

BRAINTREE MA BRA 05/27 FIXED 5
5/15/2027
5.00%
**
2,598,768

BRANCH BANKING + TRUST SR UNSECURED 04/21 2.85
4/1/2021
2.85%
**
304,593

BRITISH COLUMBIA PROV OF SR UNSECURED 10/22 2
10/23/2022
2.00%
**
5,519,406

BRITISH TELECOM PLC SR UNSECURED 01/18 5.95
1/15/2018
5.95%
**
4,347,024

BRITISH TELECOM PLC SR UNSECURED 02/19 2.35
2/14/2019
2.35%
**
3,862,395

BRIXMOR OPERATING PART SR UNSECURED 02/25 3.85
2/1/2025
3.85%
**
2,166,364

BUCKEYE PARTNERS LP SR UNSECURED 01/18 6.05
1/15/2018
6.05%
**
581,960

BUCKEYE PARTNERS LP SR UNSECURED 11/18 2.65
11/15/2018
2.65%
**
196,282

BUNGE LIMITED FINANCE CO COMPANY GUAR 06/17 3.2
6/15/2017
3.20%
**
100,753

BURLINGTN NORTH SANTA FE SR UNSECURED 03/18 5.75
3/15/2018
5.75%
**
1,340,230

BURLINGTN NORTH SANTA FE SR UNSECURED 03/23 3
3/15/2023
3.00%
**
4,554,635

BURLINGTN NORTH SANTA FE SR UNSECURED 05/17 5.65
5/1/2017
5.65%
**
349,652

BURLINGTN NORTH SANTA FE SR UNSECURED 06/21 4.1
6/1/2021
4.10%
**
159,886

BURLINGTN NORTH SANTA FE SR UNSECURED 09/44 4.55
9/1/2044
4.55%
**
935,658

CABELA S MASTER CREDIT CARD TR CABMT 2016 1 A1
6/15/2022
1.78%
**
9,776,997

CALIFORNIA ST CAS 03/19 FIXED 6.2
3/1/2019
6.20%
**
545,460

CALIFORNIA ST CAS 03/22 FIXED 6.65
3/1/2022
6.65%
**
12,660,775

CALIFORNIA ST CAS 03/40 FIXED 7.625
3/1/2040
7.63%
**
147,952

CALIFORNIA ST CAS 04/34 FIXED 7.5
4/1/2034
7.50%
**
1,095,463

CALIFORNIA ST CAS 08/19 FIXED 5
8/1/2019
5.00%
**
7,951,160

CALIFORNIA ST CAS 10/19 FIXED 6.2
10/1/2019
6.20%
**
1,999,620

CALIFORNIA ST UNIV REVENUE CASHGR 11/40 FIXED 6
11/1/2040
6.00%
**
2,000,865

CANADIAN IMPERIAL BANK SR UNSECURED 01/18 1.55
1/23/2018
1.55%
**
250,044

CANADIAN IMPERIAL BANK SR UNSECURED 09/19 1.6
9/6/2019
1.60%
**
2,916,969

CANADIAN NATL RAILWAY SR UNSECURED 03/19 5.55
3/1/2019
5.55%
**
3,419,871

CANADIAN NATL RAILWAY SR UNSECURED 07/18 6.8
7/15/2018
6.80%
**
661,224


121
Table of Contents

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

CANADIAN NATL RESOURCES SR UNSECURED 02/18 5.9
2/1/2018
5.90%
**
405,974

CANADIAN NATL RESOURCES SR UNSECURED 05/17 5.7
5/15/2017
5.70%
**
355,210

CANADIAN PACIFIC RR CO SR UNSECURED 05/18 6.5
5/15/2018
6.50%
**
254,623

CANADIAN PACIFIC RR CO SR UNSECURED 05/19 7.25
5/15/2019
7.25%
**
3,273,341

CAPITAL AUTO RECEIVABLES ASSET AFIN 2014 1 A3
6/20/2018
1.32%
**
75,482

CAPITAL AUTO RECEIVABLES ASSET AFIN 2015 2 A2
9/20/2018
1.39%
**
2,596,547

CAPITAL AUTO RECEIVABLES ASSET AFIN 2015 3 A3
1/21/2020
1.94%
**
3,015,201

CAPITAL AUTO RECEIVABLES ASSET AFIN 2015 4 A2
3/20/2019
1.62%
**
680,486

CAPITAL AUTO RECEIVABLES ASSET AFIN 2016 1 A3
4/20/2020
1.73%
**
2,092,936

CAPITAL ONE BANK USA NA SR UNSECURED 11/18 2.15
11/21/2018
2.15%
**
7,478,490

CAPITAL ONE FINANCIAL CO SR UNSECURED 02/17 5.25
2/21/2017
5.25%
**
8,540,817

CAPITAL ONE FINANCIAL CO SR UNSECURED 04/19 2.45
4/24/2019
2.45%
**
3,018,996

CAPITAL ONE FINANCIAL CO SR UNSECURED 09/17 6.75
9/15/2017
6.75%
**
207,144

CAPITAL ONE MULTI ASSET EXECUT COMET 2015 A7 A7
8/16/2021
1.45%
**
3,602,455

CAPITAL ONE MULTI ASSET EXECUT COMET 2016 A4 A4
6/15/2022
1.33%
**
3,945,347

CAPITAL ONE MULTI ASSET EXECUT COMET 2016 A5 A5
6/17/2024
1.66%
**
9,722,205

CAPITAL ONE MULTI ASSET EXECUT COMET 2016 A6 A6
9/15/2022
1.82%
**
3,788,347

CAPITAL ONE NA SR UNSECURED 02/18 1.65
2/5/2018
1.65%
**
673,689

CAPITAL ONE NA SR UNSECURED 07/21 2.95
7/23/2021
2.95%
**
7,884,111

CAPITAL ONE NA SR UNSECURED 08/18 2.35
8/17/2018
2.35%
**
7,482,735

CAPITAL ONE NA SR UNSECURED 09/19 1.85
9/13/2019
1.85%
**
4,972,824

CAPITAL ONE NA SR UNSECURED 09/21 2.25
9/13/2021
2.25%
**
2,512,453

CARDINAL HEALTH INC SR UNSECURED 03/18 1.7
3/15/2018
1.70%
**
199,799

CARDINAL HEALTH INC SR UNSECURED 06/17 1.9
6/15/2017
1.90%
**
200,548

CARDINAL HEALTH INC SR UNSECURED 06/18 1.95
6/15/2018
1.95%
**
2,292,975

CARDINAL HEALTH INC SR UNSECURED 12/20 4.625
12/15/2020
4.63%
**
541,585

CARGILL INC SR UNSECURED 144A 03/17 1.9
3/1/2017
1.90%
**
420,580

CARGILL INC SR UNSECURED 144A 03/19 7.35
3/6/2019
7.35%
**
333,697

CARGILL INC SR UNSECURED 144A 11/17 6
11/27/2017
6.00%
**
364,274

CARMAX AUTO OWNER TRUST CARMX 2013 4 A3
7/16/2018
0.80%
**
84,739

CARMAX AUTO OWNER TRUST CARMX 2014 3 A3
6/17/2019
1.16%
**
1,719,818

CARMAX AUTO OWNER TRUST CARMX 2014 4 A3
11/15/2019
1.25%
**
1,098,959

CARMAX AUTO OWNER TRUST CARMX 2015 2 A4
3/15/2021
1.80%
**
4,899,006

CARMAX AUTO OWNER TRUST CARMX 2015 3 A3
5/15/2020
1.63%
**
6,887,855

CARMAX AUTO OWNER TRUST CARMX 2015 4 A3
11/16/2020
1.56%
**
3,001,141

CARMAX AUTO OWNER TRUST CARMX 2016 1 A3
11/16/2020
1.61%
**
1,263,008

CARMAX AUTO OWNER TRUST CARMX 2016 2 A3
2/16/2021
1.52%
**
1,493,335

CARMAX AUTO OWNER TRUST CARMX 2016 2 A4
9/15/2021
1.68%
**
4,765,681

CARMAX AUTO OWNER TRUST CARMX 2016 4 A3
8/15/2021
1.40%
**
1,517,338

CARMAX AUTO OWNER TRUST CARMX 2016 4 A4
6/15/2022
1.60%
**
2,202,274

CATERPILLAR FINANCIAL SE SR UNSECURED 06/19 2.1
6/9/2019
2.10%
**
652,367

CATERPILLAR FINANCIAL SE SR UNSECURED 09/17 5.85
9/1/2017
5.85%
**
1,132,137

CATERPILLAR FINANCIAL SE SR UNSECURED 10/18 7.05
10/1/2018
7.05%
**
272,483

CATERPILLAR FINANCIAL SE SR UNSECURED 12/19 2.25
12/1/2019
2.25%
**
4,386,839

CATERPILLAR FINL SERVICE SR UNSECURED 05/19 1.35
5/18/2019
1.35%
**
522,669

CATERPILLAR FINL SERVICE SR UNSECURED 11/18 1.8
11/13/2018
1.80%
**
200,002

CATERPILLAR INC SR UNSECURED 05/21 3.9
5/27/2021
3.90%
**
2,383,263


122
Table of Contents

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

CATHOLIC HEALTH INITIATI SECURED 11/17 1.6
11/1/2017
1.60%
**
140,613

CBS CORP COMPANY GUAR 02/21 4.3
2/15/2021
4.30%
**
243,847

CBS CORP COMPANY GUAR 04/20 5.75
4/15/2020
5.75%
**
629,190

CC HOLDINGS GS V LLC/CRO SR SECURED 04/23 3.849
4/15/2023
3.85%
**
609,738

CCBPGTUS0 FWCC BNP USD FORWARDS CASH COLLATERAL USD
 
 
**
500,000

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A1A
12/11/2049
5.29%
**
1,143,428

CD COMMERCIAL MORTGAGE TRUST CD 2016 CD2 A4
11/10/2049
3.53%
**
1,917,928

CD COMMERCIAL MORTGAGE TRUST CD 2016 CD2 ASB
11/10/2049
3.35%
**
3,075,968

CDGJ COMMERCIAL MORTGAGE TRUST CDGJ 2014 BXCH A 144A
12/15/2027
2.10%
**
12,882,575

CDP FINANCIAL COMPANY GUAR 144A 11/19 4.4
11/25/2019
4.40%
**
2,133,626

CELGENE CORP SR UNSECURED 05/19 2.25
5/15/2019
2.25%
**
360,205

CELGENE CORP SR UNSECURED 05/24 3.625
5/15/2024
3.63%
**
361,760

CELGENE CORP SR UNSECURED 08/18 2.125
8/15/2018
2.13%
**
9,329,316

CELGENE CORP SR UNSECURED 08/18 2.3
8/15/2018
2.30%
**
301,834

CELGENE CORP SR UNSECURED 08/22 3.55
8/15/2022
3.55%
**
266,653

CELGENE CORP SR UNSECURED 08/25 3.875
8/15/2025
3.88%
**
1,805,472

CENOVUS ENERGY INC SR UNSECURED 10/19 5.7
10/15/2019
5.70%
**
866,489

CENTERPOINT ENER HOUSTON GENL REF MOR 09/26 2.4
9/1/2026
2.40%
**
2,210,250

CENTERPOINT ENERGY RESOU SR UNSECURED 01/21 4.5
1/15/2021
4.50%
**
257,058

CF INDUSTRIES INC COMPANY GUAR 05/18 6.875
5/1/2018
6.88%
**
857,902

CF INDUSTRIES INC COMPANY GUAR 06/23 3.45
6/1/2023
3.45%
**
445,005

CGBAM COMMERCIAL MORTGAGE TRUS CGBAM 2016 IMC D 144A
11/15/2021
6.10%
**
4,476,777

CGGS COMMERCIAL MORTGAGE TRUST CGGS 2016 RNDA AFX 144A
2/10/2033
2.76%
**
5,950,050

CHARLES SCHWAB CORP SR UNSECURED 03/18 1.5
3/10/2018
1.50%
**
4,766,125

CHARTER COMM OPT LLC/CAP SR SECURED 07/20 3.579
7/23/2020
3.58%
**
11,804,119

CHARTER COMM OPT LLC/CAP SR SECURED 07/22 4.464
7/23/2022
4.46%
**
5,982,802

CHARTER COMM OPT LLC/CAP SR SECURED 07/25 4.908
7/23/2025
4.91%
**
2,740,218

CHASE ISSUANCE TRUST CHAIT 2007 C1 C1
4/15/2019
1.16%
**
17,048,590

CHASE ISSUANCE TRUST CHAIT 2012 A4 A4
8/16/2021
1.58%
**
1,241,835

CHASE ISSUANCE TRUST CHAIT 2015 A4 A4
4/15/2022
1.84%
**
10,299,643

CHASE ISSUANCE TRUST CHAIT 2015 A7 A7
7/15/2020
1.62%
**
6,012,001

CHASE ISSUANCE TRUST CHAIT 2016 A2 A
6/15/2021
1.37%
**
3,614,801

CHASE ISSUANCE TRUST CHAIT 2016 A3 A3
6/15/2023
1.25%
**
10,431,714

CHASE ISSUANCE TRUST CHAIT 2016 A4 A4
7/15/2022
1.49%
**
21,593,405

CHASE ISSUANCE TRUST CHAIT 2016 A5 A5
7/15/2021
1.27%
**
2,663,111

CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1
2/25/2037
3.13%
**
89,701

CHEVRON CORP SR UNSECURED 03/18 1.365
3/2/2018
1.37%
**
6,343,764

CHEVRON CORP SR UNSECURED 03/19 4.95
3/3/2019
4.95%
**
528,942

CHEVRON CORP SR UNSECURED 03/20 1.961
3/3/2020
1.96%
**
498,337

CHEVRON CORP SR UNSECURED 05/21 2.1
5/16/2021
2.10%
**
3,222,135

CHEVRON CORP SR UNSECURED 05/26 2.954
5/16/2026
2.95%
**
2,223,099

CHEVRON CORP SR UNSECURED 06/18 1.718
6/24/2018
1.72%
**
300,919

CHEVRON CORP SR UNSECURED 11/18 1.79
11/16/2018
1.79%
**
3,065,617

CHEVRON CORP SR UNSECURED 11/20 2.419
11/17/2020
2.42%
**
189,339

CHEVRON PHILLIPS CHEM CO SR UNSECURED 144A 05/18 1.7
5/1/2018
1.70%
**
1,970,207

CHICAGO IL CHI 01/33 FIXED OID 7.375
1/1/2033
7.38%
**
1,660,656

CHICAGO IL CHI 01/42 FIXED OID 7.75
1/1/2042
7.75%
**
2,739,015


123
Table of Contents

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

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.90%
**
502,840

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.90%
**
625,860

CHRYSLER CAPITAL AUTO RECEIVAB CCART 2015 BA A2 144A
12/17/2018
1.46%
**
3,875,538

CHRYSLER CAPITAL AUTO RECEIVAB CCART 2016 BA A2 144A
1/15/2020
1.36%
**
2,395,008

CHUBB CORP COMPANY GUAR 05/18 5.75
5/15/2018
5.75%
**
596,229

CHUBB INA HOLDINGS INC COMPANY GUAR 03/23 2.7
3/13/2023
2.70%
**
1,029,084

CHUBB INA HOLDINGS INC COMPANY GUAR 05/26 3.35
5/3/2026
3.35%
**
486,197

CHUBB INA HOLDINGS INC COMPANY GUAR 11/20 2.3
11/3/2020
2.30%
**
3,799,129

CHUBB INA HOLDINGS INC COMPANY GUAR 11/22 2.875
11/3/2022
2.88%
**
3,866,378

CIGNA CORP SR UNSECURED 02/22 4
2/15/2022
4.00%
**
3,823,690

CIGNA CORP SR UNSECURED 03/17 5.375
3/15/2017
5.38%
**
972,358

CIGNA CORP SR UNSECURED 12/20 4.375
12/15/2020
4.38%
**
1,004,588

CISCO SYSTEMS INC SR UNSECURED 02/18 1.4
2/28/2018
1.40%
**
285,489

CISCO SYSTEMS INC SR UNSECURED 02/19 4.95
2/15/2019
4.95%
**
187,073

CISCO SYSTEMS INC SR UNSECURED 03/19 2.125
3/1/2019
2.13%
**
531,918

CISCO SYSTEMS INC SR UNSECURED 06/18 1.65
6/15/2018
1.65%
**
3,981,977

CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 1 AF5
2/25/2033
7.21%
**
414,294

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A1 A1
1/23/2023
2.88%
**
8,765,470

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A2 A2
2/22/2019
1.02%
**
2,599,899

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A6 A6
7/15/2021
2.15%
**
705,487

CITIBANK CREDIT CARD ISSUANCE CCCIT 2014 A8 A8
4/9/2020
1.73%
**
2,208,430

CITIBANK CREDIT CARD ISSUANCE CCCIT 2016 A1 A1
11/19/2021
1.75%
**
8,960,355

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 A1A
12/10/2049
5.71%
**
7,407,533

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 A4
12/10/2049
5.71%
**
13,702,779

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC27 A2
2/10/2048
2.69%
**
6,092,310

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC27 A3
2/10/2048
3.06%
**
1,929,022

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC33 A4
9/10/2058
3.78%
**
1,896,206

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C2 AAB
8/10/2049
2.71%
**
8,817,462

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C3 A3
11/15/2049
2.90%
**
6,781,640

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 GC36 A2
2/10/2049
2.29%
**
6,546,319

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 P3 AAB
4/15/2049
3.13%
**
11,058,266

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 P6 A3
12/10/2049
3.65%
**
3,794,869

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 P6 A5
12/10/2049
3.72%
**
1,922,100

CITIGROUP INC SR UNSECURED 01/26 3.7
1/12/2026
3.70%
**
6,536,178

CITIGROUP INC SR UNSECURED 02/18 1.8
2/5/2018
1.80%
**
1,244,304

CITIGROUP INC SR UNSECURED 02/20 2.4
2/18/2020
2.40%
**
928,113

CITIGROUP INC SR UNSECURED 03/17 VAR
3/10/2017
1.49%
**
21,313,227

CITIGROUP INC SR UNSECURED 04/18 1.7
4/27/2018
1.70%
**
4,515,027

CITIGROUP INC SR UNSECURED 05/18 1.75
5/1/2018
1.75%
**
1,297,230

CITIGROUP INC SR UNSECURED 05/19 8.5
5/22/2019
8.50%
**
969,711

CITIGROUP INC SR UNSECURED 06/19 2.05
6/7/2019
2.05%
**
498,113

CITIGROUP INC SR UNSECURED 07/45 4.65
7/30/2045
4.65%
**
361,538

CITIGROUP INC SR UNSECURED 08/21 2.35
8/2/2021
2.35%
**
4,890,995

CITIGROUP INC SR UNSECURED 09/18 2.5
9/26/2018
2.50%
**
6,178,538

CITIGROUP INC SR UNSECURED 11/17 1.85
11/24/2017
1.85%
**
15,679,579

CITIGROUP INC SR UNSECURED 12/18 2.05
12/7/2018
2.05%
**
7,083,207

CITIGROUP INC SUBORDINATED 05/23 3.5
5/15/2023
3.50%
**
5,701,536


124
Table of Contents

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

CITIGROUP INC SUBORDINATED 06/25 4.4
6/10/2025
4.40%
**
1,892,643

CITIGROUP INC SUBORDINATED 09/25 5.5
9/13/2025
5.50%
**
1,923,269

CITIGROUP INC SUBORDINATED 09/27 4.45
9/29/2027
4.45%
**
6,450,622

CITIGROUP INC SUBORDINATED 11/26 4.3
11/20/2026
4.30%
**
1,241,227

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1
9/25/2035
2.69%
**
27,694

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 AR4 1A1A 144A
11/25/2038
3.00%
**
161,886

CITIZENS BANK NA/RI SR UNSECURED 05/21 2.55
5/13/2021
2.55%
**
1,267,173

CITIZENS BANK NA/RI SR UNSECURED 12/17 1.6
12/4/2017
1.60%
**
3,069,773

CITIZENS FINANCIAL GROUP SUBORDINATED 06/23 VAR
6/29/2023
5.16%
**
4,264,129

CITYLINE COMMERCIAL MORTGAGE T CLMT 2016 CLNE A 144A
11/10/2031
2.78%
**
5,732,549

CLEVELAND ELEC ILLUMINAT SR SECURED 11/17 7.88
11/1/2017
7.88%
**
157,768

CLEVELAND ELECTRIC ILLUM 1ST MORTGAGE 11/18 8.875
11/15/2018
8.88%
**
365,227

CLEVELAND ELECTRIC ILLUM SR UNSECURED 04/17 5.7
4/1/2017
5.70%
**
52,472

CNA FINANCIAL CORP SR UNSECURED 01/18 6.95
1/15/2018
6.95%
**
183,839

CNH EQUIPMENT TRUST CNH 2013 C A3
8/15/2018
1.02%
**
29,180

CNH EQUIPMENT TRUST CNH 2014 A A3
5/15/2019
0.84%
**
515,024

CNH EQUIPMENT TRUST CNH 2014 B A3
5/15/2019
0.91%
**
429,532

CNH EQUIPMENT TRUST CNH 2016 B A3
8/15/2021
1.63%
**
558,719

COBALT CMBS COMMERCIAL MORTGAG CWCI 2007 C2 A1A
4/15/2047
5.48%
**
574,450

COMCAST CABLE COMMUNICAT COMPANY GUAR 05/17 8.875
5/1/2017
8.88%
**
1,455,719

COMCAST CORP COMPANY GUAR 01/17 6.5
1/15/2017
6.50%
**
3,853,414

COMCAST CORP COMPANY GUAR 02/18 5.875
2/15/2018
5.88%
**
1,682,849

COMCAST CORP COMPANY GUAR 02/25 3.375
2/15/2025
3.38%
**
2,021,092

COMCAST CORP COMPANY GUAR 03/20 5.15
3/1/2020
5.15%
**
3,454,832

COMCAST CORP COMPANY GUAR 05/18 5.7
5/15/2018
5.70%
**
844,496

COMCAST CORP COMPANY GUAR 07/19 5.7
7/1/2019
5.70%
**
109,399

COMERICA BANK SR UNSECURED 06/20 2.5
6/2/2020
2.50%
**
299,890

COMERICA INC SR UNSECURED 05/19 2.125
5/23/2019
2.13%
**
4,141,940

COMM MORTGAGE TRUST COMM 2012 CR3 A3
10/15/2045
2.82%
**
101,234

COMM MORTGAGE TRUST COMM 2012 CR4 A2
10/15/2045
1.80%
**
1,775,213

COMM MORTGAGE TRUST COMM 2013 CR12 A4
10/10/2046
4.05%
**
10,787,884

COMM MORTGAGE TRUST COMM 2013 CR12 AM
10/10/2046
4.30%
**
307,564

COMM MORTGAGE TRUST COMM 2013 CR12 B
10/10/2046
4.76%
**
279,533

COMM MORTGAGE TRUST COMM 2013 CR12 C
10/10/2046
5.08%
**
124,122

COMM MORTGAGE TRUST COMM 2013 CR8 A4
6/10/2046
3.33%
**
937,755

COMM MORTGAGE TRUST COMM 2013 CR9 ASB
7/10/2045
3.83%
**
14,705,547

COMM MORTGAGE TRUST COMM 2013 LC6 A3
1/10/2046
2.67%
**
3,512,341

COMM MORTGAGE TRUST COMM 2013 WWP A2 144A
3/10/2031
3.42%
**
164,333

COMM MORTGAGE TRUST COMM 2014 277P A 144A
8/10/2049
3.61%
**
901,421

COMM MORTGAGE TRUST COMM 2014 BBG A 144A
3/15/2029
1.50%
**
751,715

COMM MORTGAGE TRUST COMM 2014 CR15 A2
2/10/2047
2.93%
**
4,288,444

COMM MORTGAGE TRUST COMM 2014 CR18 ASB
7/15/2047
3.45%
**
4,166,236

COMM MORTGAGE TRUST COMM 2014 CR21 A2
12/10/2047
3.10%
**
12,097,738

COMM MORTGAGE TRUST COMM 2014 FL5 A 144A
10/15/2031
2.07%
**
24,542,186

COMM MORTGAGE TRUST COMM 2014 PAT A 144A
8/13/2027
1.48%
**
592,507

COMM MORTGAGE TRUST COMM 2014 UBS6 A4
12/10/2047
3.38%
**
8,415,821

COMM MORTGAGE TRUST COMM 2015 CR22 A2
3/10/2048
2.86%
**
5,092,618


125
Table of Contents

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

COMM MORTGAGE TRUST COMM 2015 CR23 ASB
5/10/2048
3.26%
**
2,887,578

COMM MORTGAGE TRUST COMM 2015 CR24 A4
8/10/2048
3.43%
**
7,652,878

COMM MORTGAGE TRUST COMM 2015 CR26 ASB
10/10/2048
3.37%
**
2,671,517

COMM MORTGAGE TRUST COMM 2015 DC1 A2
2/10/2048
2.87%
**
5,512,009

COMM MORTGAGE TRUST COMM 2015 LC23 ASB
10/10/2048
3.60%
**
23,148,826

COMM MORTGAGE TRUST COMM 2016 GCT A 144A
8/10/2029
2.68%
**
8,728,934

COMMONWEALTH BANK AUST SR UNSECURED 144A 09/18 1.375
9/6/2018
1.38%
**
5,672,685

COMMONWEALTH BK AUSTR NY SR UNSECURED 09/18 2.5
9/20/2018
2.50%
**
252,885

COMMONWEALTH EDISON CO 1ST MORTGAGE 03/18 5.8
3/15/2018
5.80%
**
105,011

COMMONWEALTH EDISON CO 1ST MORTGAGE 08/20 4
8/1/2020
4.00%
**
194,984

COMMONWEALTH EDISON CO 1ST MORTGAGE 09/17 6.15
9/15/2017
6.15%
**
273,709

COMPASS BANK SR UNSECURED 09/17 1.85
9/29/2017
1.85%
**
6,423,386

CONNECTICUT ST HLTH EDUCTNLF CTSMED 07/33 ADJUSTABLE VAR
7/1/2033
1.00%
**
3,182,172

CONOCOPHILLIPS COMPANY COMPANY GUAR 05/18 1.5
5/15/2018
1.50%
**
149,494

CONOCOPHILLIPS COMPANY COMPANY GUAR 05/20 2.2
5/15/2020
2.20%
**
1,786,261

CONOCOPHILLIPS COMPANY COMPANY GUAR 12/17 1.05
12/15/2017
1.05%
**
198,977

CONOCOPHILLIPS COMPANY COMPANY GUAR 12/22 2.4
12/15/2022
2.40%
**
870,228

CONOCOPHILLIPS COMPANY GUAR 01/20 6
1/15/2020
6.00%
**
287,128

CONOCOPHILLIPS COMPANY GUAR 02/19 5.75
2/1/2019
5.75%
**
4,255,564

CONSECO FINANCIAL CORP GT 1997 8 A
10/15/2027
6.78%
**
5,200,341

CONSOLIDATED EDISON CO O SR UNSECURED 12/45 4.5
12/1/2045
4.50%
**
1,007,339

CONSUMERS ENERGY CO 1ST MORTGAGE 05/22 2.85
5/15/2022
2.85%
**
304,738

CONSUMERS ENERGY CO 1ST MORTGAGE 08/46 3.25
8/15/2046
3.25%
**
6,179,747

CONTL AIRLINES 2007 1 PASS THRU CE 10/23 5.983
10/19/2023
5.98%
**
1,608,975

CONTL AIRLINES 2012 1 A PASS THRU CE 10/25 4.15
10/11/2025
4.15%
**
280,664

CONTL AIRLINES 2012 2 A PASS THRU CE 04/26 4
4/29/2026
4.00%
**
264,210

CORE INDUSTRIAL TRUST CORE 2015 CALW A 144A
2/10/2034
3.04%
**
2,142,633

CORNING INC SR UNSECURED 05/18 1.5
5/8/2018
1.50%
**
3,270,334

CORP ANDINA DE FOMENTO SR UNSECURED 05/19 2
5/10/2019
2.00%
**
3,040,058

CORP ANDINA DE FOMENTO SR UNSECURED 09/21 2.125
9/27/2021
2.13%
**
4,879,577

COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J7 2A1
9/25/2034
1.36%
**
8,392

COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A
7/20/2046
0.95%
**
131,182

COUNTRYWIDE ASSET BACKED CERTI CWL 2001 BC3 A
12/25/2031
0.83%
**
163,564

COUNTRYWIDE ASSET BACKED CERTI CWL 2004 5 2A
10/25/2034
1.08%
**
8,950,097

COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A1
12/25/2034
1.30%
**
3,935,767

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 2A2
10/25/2047
1.56%
**
3,988,289

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A4W
4/25/2047
5.17%
**
12,207,094

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1
4/25/2035
2.44%
**
824,236

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A3
4/25/2035
2.44%
**
105,438

COVENTRY HEALTH CARE INC SR UNSECURED 03/17 5.95
3/15/2017
5.95%
**
161,578

COVENTRY HEALTH CARE INC SR UNSECURED 06/21 5.45
6/15/2021
5.45%
**
5,080,583

COVIDIEN INTL FINANCE SA COMPANY GUAR 06/20 4.2
6/15/2020
4.20%
**
213,019

COVIDIEN INTL FINANCE SA COMPANY GUAR 10/17 6
10/15/2017
6.00%
**
207,124

CPS AUTO TRUST CPS 2012 C A 144A
12/16/2019
1.82%
**
280,179

CPS AUTO TRUST CPS 2012 D A 144A
3/16/2020
1.48%
**
86,390

CPS AUTO TRUST CPS 2013 A A 144A
6/15/2020
1.31%
**
131,061

CPS AUTO TRUST CPS 2014 A A 144A
8/15/2018
1.21%
**
15,753


126
Table of Contents

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

CPS AUTO TRUST CPS 2014 C A 144A
2/15/2019
1.31%
**
450,822

CPS AUTO TRUST CPS 2014 D A 144A
4/15/2019
1.49%
**
483,495

CPS AUTO TRUST CPS 2015 A A 144A
7/15/2019
1.53%
**
172,786

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2014 2A A 144A
3/15/2022
1.88%
**
1,015,122

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2015 2A A 144A
2/15/2023
2.40%
**
808,780

CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2016 3A A 144A
4/15/2024
2.15%
**
1,540,820

CREDIT AGRICOLE LONDON SR UNSECURED 144A 06/20 VAR
6/10/2020
1.92%
**
13,044,408

CREDIT AGRICOLE SA JR SUBORDINA 144A 10/49 VAR
10/29/2049
8.38%
**
3,236,209

CREDIT AGRICOLE SA SUBORDINATED REGS 09/33 VAR
9/19/2033
8.13%
**
215,150

CREDIT BASED ASSET SERVICING A CBASS 2006 CB2 AF4
12/25/2036
3.50%
**
537,371

CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 8 6A1
12/25/2019
4.50%
**
102,095

CREDIT SUISSE MORTGAGE TRUST CSMC 2009 15R 2A1 144A
10/26/2036
3.07%
**
3,417,508

CREDIT SUISSE MORTGAGE TRUST CSMC 2014 TIKI A 144A
9/15/2038
1.60%
**
2,830,751

CREDIT SUISSE MORTGAGE TRUST CSMC 2014 USA D 144A
9/15/2037
4.37%
**
1,234,121

CREDIT SUISSE MORTGAGE TRUST CSMC 2016 BDWN B 144A
2/15/2029
5.01%
**
1,760,333

CREDIT SUISSE NEW YORK SR UNSECURED 01/18 1.75
1/29/2018
1.75%
**
499,008

CREDIT SUISSE NEW YORK SR UNSECURED 04/18 1.7
4/27/2018
1.70%
**
6,834,903

CREDIT SUISSE NEW YORK SR UNSECURED 05/17 1.375
5/26/2017
1.38%
**
4,628,073

CREDIT SUISSE NEW YORK SR UNSECURED 05/19 2.3
5/28/2019
2.30%
**
12,104,548

CREDIT SUISSE NEW YORK SR UNSECURED 08/20 4.375
8/5/2020
4.38%
**
1,276,384

CREDIT SUISSE NEW YORK SUBORDINATED 02/18 6
2/15/2018
6.00%
**
972,497

CREDIT SUISSE SEC (USD) LLC TBA CASH COLLATERAL
 
 
**
1,470,000

CROWN CASTLE INTL CORP SR UNSECURED 04/22 4.875
4/15/2022
4.88%
**
4,259,200

CROWN CASTLE TOWERS LLC SR SECURED 144A 08/40 4.883
8/15/2040
4.88%
**
425,948

CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2015 C4 ASB
11/15/2048
3.62%
**
2,578,967

CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2016 C5 ASB
11/15/2048
3.53%
**
10,302,752

CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2016 C6 A2
1/15/2049
2.66%
**
6,071,885

CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2016 C6 A4
1/15/2049
2.82%
**
2,229,334

CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2016 C6 ASB
1/15/2049
2.96%
**
12,148,810

CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2016 C7 A3
11/15/2049
2.61%
**
4,316,832

CSX CORP SR UNSECURED 11/23 3.7
11/1/2023
3.70%
**
155,672

CVS HEALTH CORP SR UNSECURED 05/21 4.125
5/15/2021
4.13%
**
264,529

CVS HEALTH CORP SR UNSECURED 06/21 2.125
6/1/2021
2.13%
**
6,976,571

CVS HEALTH CORP SR UNSECURED 07/20 2.8
7/20/2020
2.80%
**
14,574,801

CVS HEALTH CORP SR UNSECURED 07/25 3.875
7/20/2025
3.88%
**
7,132,482

CVS HEALTH CORP SR UNSECURED 12/18 2.25
12/5/2018
2.25%
**
3,364,232

CVS HEALTH CORP SR UNSECURED 12/22 2.75
12/1/2022
2.75%
**
3,112,995

CVS HEALTH CORP SR UNSECURED 12/23 4
12/5/2023
4.00%
**
3,160,935

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 01/18 1.875
1/11/2018
1.88%
**
5,472,460

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/19 1.5
7/5/2019
1.50%
**
7,669,306

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/17 1.375
8/1/2017
1.38%
**
150,002

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/18 2
8/3/2018
2.00%
**
300,415

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 09/19 2.25
9/3/2019
2.25%
**
200,122

DALLAS CNTY TX CMNTY CLG DIST DALHGR 02/19 FIXED 5
2/15/2019
5.00%
**
876,516

DANONE SA SR UNSECURED 144A 10/19 1.691
10/30/2019
1.69%
**
4,107,917

DANONE SA SR UNSECURED 144A 11/21 2.077
11/2/2021
2.08%
**
2,913,291

DANSKE BANK A/S SR UNSECURED 144A 09/19 1.65
9/6/2019
1.65%
**
492,670


127
Table of Contents

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

DBRR TRUST DBRR 2011 C32 A3A 144A
6/17/2049
5.52%
**
4,750,846

DBRR TRUST DBRR 2013 EZ3 A 144A
12/18/2049
1.64%
**
78,940

DDR CORP SR UNSECURED 04/18 4.75
4/15/2018
4.75%
**
4,730,930

DEERE + COMPANY SR UNSECURED 06/22 2.6
6/8/2022
2.60%
**
686,649

DELMARVA PWR + LIGHT CO 1ST MORTGAGE 11/23 3.5
11/15/2023
3.50%
**
720,204

DELTA AIR LINES 2007 1 A PASS THRU CE 02/24 6.821
2/10/2024
6.82%
**
1,058,364

DELTA AIR LINES 2009 1A PASS THRU CE 06/21 7.75
6/17/2021
7.75%
**
212,286

DEUTSCHE BANK AG LONDON SR UNSECURED 02/18 1.875
2/13/2018
1.88%
**
4,881,827

DEUTSCHE BANK AG LONDON SR UNSECURED 05/17 1.35
5/30/2017
1.35%
**
498,917

DEUTSCHE BANK AG LONDON SR UNSECURED 09/17 6
9/1/2017
6.00%
**
307,098

DEUTSCHE BANK AG SR UNSECURED 05/21 3.375
5/12/2021
3.38%
**
2,177,754

DEUTSCHE BANK COMMERCIAL MORTG DBJPM 2016 C1 ASB
5/10/2049
3.04%
**
3,401,411

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 144A 03/17 2.25
3/6/2017
2.25%
**
150,213

DEVELOPMENT BK OF JAPAN GOVT GUARANT 144A 09/21 1.625
9/1/2021
1.63%
**
12,533,652

DEVON ENERGY CORPORATION SR UNSECURED 05/22 3.25
5/15/2022
3.25%
**
7,042,033

DEVON ENERGY CORPORATION SR UNSECURED 12/25 5.85
12/15/2025
5.85%
**
1,124,776

DEXIA CREDIT LOCAL GOVT LIQUID 144A 09/21 1.875
9/15/2021
1.88%
**
2,653,786

DIAGEO CAPITAL PLC COMPANY GUAR 05/17 1.5
5/11/2017
1.50%
**
3,616,308

DIAGEO CAPITAL PLC COMPANY GUAR 07/20 4.828
7/15/2020
4.83%
**
3,557,393

DIAMOND 1 FIN/DIAMOND 2 SR SECURED 144A 06/19 3.48
6/1/2019
3.48%
**
14,091,206

DIAMOND 1 FIN/DIAMOND 2 SR SECURED 144A 06/21 4.42
6/15/2021
4.42%
**
4,589,094

DISCOVER BANK SR UNSECURED 02/18 2
2/21/2018
2.00%
**
7,098,708

DISCOVER BANK SR UNSECURED 08/23 4.2
8/8/2023
4.20%
**
2,604,578

DISCOVER BANK SUBORDINATED 11/19 8.7
11/18/2019
8.70%
**
417,828

DISCOVER CARD EXECUTION NOTE T DCENT 2012 A6 A6
1/18/2022
1.67%
**
5,499,001

DISCOVER CARD EXECUTION NOTE T DCENT 2014 A4 A4
12/15/2021
2.12%
**
5,406,028

DISCOVER CARD EXECUTION NOTE T DCENT 2015 A2 A
10/17/2022
1.90%
**
16,723,781

DISCOVER CARD EXECUTION NOTE T DCENT 2015 A3 A
3/15/2021
1.45%
**
4,622,826

DISCOVER CARD EXECUTION NOTE T DCENT 2015 A4 A4
4/17/2023
2.19%
**
17,121,062

DISCOVER CARD EXECUTION NOTE T DCENT 2016 A4 A4
3/15/2022
1.39%
**
9,881,757

DISCOVER FINANCIAL SVS SR UNSECURED 03/25 3.75
3/4/2025
3.75%
**
962,996

DISCOVER FINANCIAL SVS SR UNSECURED 11/22 3.85
11/21/2022
3.85%
**
1,758,384

DISCOVERY COMMUNICATIONS COMPANY GUAR 05/22 3.3
5/15/2022
3.30%
**
4,983,200

DOMINION GAS HLDGS LLC SR UNSECURED 11/20 2.8
11/15/2020
2.80%
**
88,801

DOMINION GAS HLDGS LLC SR UNSECURED 12/19 2.5
12/15/2019
2.50%
**
202,199

DOMINION RESOURCES INC SR UNSECURED 03/17 1.25
3/15/2017
1.25%
**
170,012

DOMINION RESOURCES INC SR UNSECURED 06/18 1.9
6/15/2018
1.90%
**
850,444

DOMINION RESOURCES INC SR UNSECURED 06/18 6.4
6/15/2018
6.40%
**
1,018,157

DOMINION RESOURCES INC SR UNSECURED 08/19 1.6
8/15/2019
1.60%
**
1,319,570

DOMINION RESOURCES INC SR UNSECURED 08/26 2.85
8/15/2026
2.85%
**
580,463

DOMINION RESOURCES INC SR UNSECURED 09/17 1.4
9/15/2017
1.40%
**
199,785

DOW CHEMICAL CO/THE SR UNSECURED 05/19 8.55
5/15/2019
8.55%
**
618,884

DOW CHEMICAL CO/THE SR UNSECURED 11/20 4.25
11/15/2020
4.25%
**
5,170,429

DOW CHEMICAL CO/THE SR UNSECURED 11/21 4.125
11/15/2021
4.13%
**
147,928

DOW CHEMICAL CO/THE SR UNSECURED 11/22 3
11/15/2022
3.00%
**
685,312

DT AUTO OWNER TRUST DTAOT 2015 3A A 144A
3/15/2019
1.66%
**
410,994

DTE ELECTRIC CO GENL REF MOR 06/21 3.9
6/1/2021
3.90%
**
301,651


128
Table of Contents

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

DTE ENERGY CO SR UNSECURED 12/19 2.4
12/1/2019
2.40%
**
6,743,093

DUKE ENERGY CAROLINAS 1ST MORTGAGE 06/20 4.3
6/15/2020
4.30%
**
5,243,337

DUKE ENERGY CAROLINAS 1ST REF MORT 03/23 2.5
3/15/2023
2.50%
**
3,766,218

DUKE ENERGY CORP SR UNSECURED 06/18 2.1
6/15/2018
2.10%
**
401,701

DUKE ENERGY CORP SR UNSECURED 09/26 2.65
9/1/2026
2.65%
**
1,292,659

DUKE ENERGY CORP SR UNSECURED 10/23 3.95
10/15/2023
3.95%
**
13,006,075

DUKE ENERGY FLORIDA LLC 1ST MORTGAGE 06/18 5.65
6/15/2018
5.65%
**
301,299

DUKE ENERGY INDIANA INC 1ST MORTGAGE 07/20 3.75
7/15/2020
3.75%
**
1,038,815

E BATON ROUGE PARISH LA SWR CO EASUTL 02/39 FIXED OID 5.25
2/1/2039
5.25%
**
8,626,800

E.I. DU PONT DE NEMOURS SR UNSECURED 01/20 4.625
1/15/2020
4.63%
**
977,356

E.I. DU PONT DE NEMOURS SR UNSECURED 02/23 2.8
2/15/2023
2.80%
**
516,037

EASTMAN CHEMICAL CO SR UNSECURED 01/20 2.7
1/15/2020
2.70%
**
5,280,713

EASTMAN CHEMICAL CO SR UNSECURED 03/25 3.8
3/15/2025
3.80%
**
3,524,669

EATON CORP COMPANY GUAR 11/17 1.5
11/2/2017
1.50%
**
1,261,049

EATON CORP COMPANY GUAR 11/22 2.75
11/2/2022
2.75%
**
4,040,971

EBAY INC SR UNSECURED 03/18 2.5
3/9/2018
2.50%
**
2,007,470

EBAY INC SR UNSECURED 07/17 1.35
7/15/2017
1.35%
**
455,189

ECOLAB INC SR UNSECURED 01/18 1.55
1/12/2018
1.55%
**
5,005,665

ECOLAB INC SR UNSECURED 12/17 1.45
12/8/2017
1.45%
**
299,704

ECOLAB INC SR UNSECURED 12/21 4.35
12/8/2021
4.35%
**
1,323,806

EDISON INTERNATIONAL SR UNSECURED 09/17 3.75
9/15/2017
3.75%
**
182,804

ELECTRONIC ARTS INC SR UNSECURED 03/21 3.7
3/1/2021
3.70%
**
1,943,685

ELI LILLY + CO SR UNSECURED 03/18 1.25
3/1/2018
1.25%
**
2,455,579

EMERA US FINANCE LP COMPANY GUAR 144A 06/19 2.15
6/15/2019
2.15%
**
4,851,967

EMERA US FINANCE LP COMPANY GUAR 144A 06/26 3.55
6/15/2026
3.55%
**
1,130,485

EMERSON ELECTRIC CO SR UNSECURED 04/19 5
4/15/2019
5.00%
**
288,773

ENCANA CORP SR UNSECURED 05/19 6.5
5/15/2019
6.50%
**
80,718

ENERGY TRANSFER PARTNERS SR UNSECURED 06/18 2.5
6/15/2018
2.50%
**
3,407,443

ENERGY TRANSFER PARTNERS SR UNSECURED 06/21 4.65
6/1/2021
4.65%
**
6,082,174

ENERGY TRANSFER PARTNERS SR UNSECURED 07/18 6.7
7/1/2018
6.70%
**
1,002,871

ENLINK MIDSTREAM PARTNER SR UNSECURED 04/19 2.7
4/1/2019
2.70%
**
400,264

ENTERGY CORP SR UNSECURED 09/20 5.125
9/15/2020
5.13%
**
835,414

ENTERGY CORP SR UNSECURED 09/26 2.95
9/1/2026
2.95%
**
1,384,454

ENTERGY LOUISIANA LLC 1ST MORTGAGE 05/18 6
5/1/2018
6.00%
**
211,085

ENTERGY LOUISIANA LLC 1ST MORTGAGE 09/18 6.5
9/1/2018
6.50%
**
214,996

ENTERGY LOUISIANA LLC 1ST MORTGAGE 10/24 5.59
10/1/2024
5.59%
**
463,983

ENTERGY LOUISIANA LLC 1ST MORTGAGE 11/24 5.4
11/1/2024
5.40%
**
1,374,907

ENTERPRISE FLEET FINANCING LLC EFF 2016 2 A2 144A
2/22/2022
1.74%
**
5,783,581

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/19 6.5
1/31/2019
6.50%
**
2,513,733

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/25 3.75
2/15/2025
3.75%
**
360,702

ENTERPRISE PRODUCTS OPER COMPANY GUAR 03/23 3.35
3/15/2023
3.35%
**
1,710,882

ENTERPRISE PRODUCTS OPER COMPANY GUAR 05/18 1.65
5/7/2018
1.65%
**
4,856,321

ENTERPRISE PRODUCTS OPER COMPANY GUAR 09/17 6.3
9/15/2017
6.30%
**
2,578,398

ENTERPRISE PRODUCTS OPER COMPANY GUAR 10/19 2.55
10/15/2019
2.55%
**
2,182,043

EOG RESOURCES INC SR UNSECURED 01/26 4.15
1/15/2026
4.15%
**
774,406

EOG RESOURCES INC SR UNSECURED 02/21 4.1
2/1/2021
4.10%
**
584,896



129
Table of Contents

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

EOG RESOURCES INC SR UNSECURED 04/20 2.45
4/1/2020
2.45%
**
350,527

EOG RESOURCES INC SR UNSECURED 04/25 3.15
4/1/2025
3.15%
**
1,471,805

EOG RESOURCES INC SR UNSECURED 06/19 5.625
6/1/2019
5.63%
**
286,364

EOG RESOURCES INC SR UNSECURED 06/20 4.4
6/1/2020
4.40%
**
5,171,415

EQUIFAX INC SR UNSECURED 06/21 2.3
6/1/2021
2.30%
**
455,699

ERAC USA FINANCE LLC COMPANY GUAR 144A 03/17 2.75
3/15/2017
2.75%
**
3,950,559

ERAC USA FINANCE LLC COMPANY GUAR 144A 11/18 2.8
11/1/2018
2.80%
**
3,346,431

ERAC USA FINANCE LLC COMPANY GUAR 144A 11/24 3.85
11/15/2024
3.85%
**
4,065,040

ERP OPERATING LP SR UNSECURED 06/17 5.75
6/15/2017
5.75%
**
164,154

ERP OPERATING LP SR UNSECURED 07/19 2.375
7/1/2019
2.38%
**
121,954

EUROPEAN BK RECON + DEV SR UNSECURED 06/18 1
6/15/2018
1.00%
**
14,905,530

EUROPEAN INVESTMENT BANK SR UNSECURED 03/19 1.875
3/15/2019
1.88%
**
8,829,890

EUROPEAN INVESTMENT BANK SR UNSECURED 12/19 1.25
12/16/2019
1.25%
**
7,084,721

EUROPEAN INVESTMENT BANK SR UNSECURED 12/20 1.625
12/15/2020
1.63%
**
12,813,086

EXELON GENERATION CO LLC SR UNSECURED 01/20 2.95
1/15/2020
2.95%
**
526,184

EXELON GENERATION CO LLC SR UNSECURED 10/41 5.75
10/1/2041
5.75%
**
187,712

EXETER AUTOMOBILE RECEIVABLES EART 2014 3A A 144A
1/15/2019
1.32%
**
50,957

EXXON MOBIL CORPORATION SR UNSECURED 03/19 1.708
3/1/2019
1.71%
**
5,632,145

EXXON MOBIL CORPORATION SR UNSECURED 03/21 2.222
3/1/2021
2.22%
**
2,220,075

EXXON MOBIL CORPORATION SR UNSECURED 03/26 3.043
3/1/2026
3.04%
**
13,232,047

FANNIE MAE 01/25 2.829
1/25/2025
2.83%
**
6,050,774

FANNIE MAE FNR 1994 15 ZK
2/25/2024
5.50%
**
505,100

FANNIE MAE FNR 1994 43 PK
2/25/2024
6.35%
**
295,796

FANNIE MAE FNR 1997 89 ZA
12/20/2027
7.00%
**
247,946

FANNIE MAE FNR 1999 6 PB
3/25/2019
6.00%
**
71,564

FANNIE MAE FNR 2001 81 HE
1/25/2032
6.50%
**
750,547

FANNIE MAE FNR 2003 21 OU
3/25/2033
5.50%
**
110,921

FANNIE MAE FNR 2003 92 PE
9/25/2018
4.50%
**
116,414

FANNIE MAE FNR 2004 38 FK
5/25/2034
1.11%
**
346,856

FANNIE MAE FNR 2004 40 FY
5/25/2034
1.21%
**
2,153,242

FANNIE MAE FNR 2004 80 WB
11/25/2019
4.00%
**
278,245

FANNIE MAE FNR 2005 64 PL
7/25/2035
5.50%
**
1,378,846

FANNIE MAE FNR 2007 100 YF
10/25/2037
1.31%
**
747,197

FANNIE MAE FNR 2007 114 A6
10/27/2037
0.96%
**
607,031

FANNIE MAE FNR 2007 73 A1
7/25/2037
0.82%
**
710,960

FANNIE MAE FNR 2008 25 EF
4/25/2038
1.71%
**
2,981,494

FANNIE MAE FNR 2008 6 BF
2/25/2038
1.26%
**
1,392,371

FANNIE MAE FNR 2009 29 LA
5/25/2039
1.43%
**
1,310,485

FANNIE MAE FNR 2009 62 HJ
5/25/2039
6.00%
**
481,426

FANNIE MAE FNR 2009 87 NF
11/25/2039
1.51%
**
1,312,544

FANNIE MAE FNR 2010 110 AE
11/25/2018
9.75%
**
245,487


130
Table of Contents

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

FANNIE MAE FNR 2010 111 AE
4/25/2038
5.50%
**
242,439

FANNIE MAE FNR 2010 54 FT
4/25/2037
1.52%
**
3,429,791

FANNIE MAE FNR 2010 64 DM
6/25/2040
5.00%
**
509,942

FANNIE MAE FNR 2011 15 AB
8/25/2019
9.75%
**
80,420

FANNIE MAE FNR 2011 59 NZ
7/25/2041
5.50%
**
3,616,124

FANNIE MAE FNR 2012 17 FG
3/25/2042
1.26%
**
4,557,577

FANNIE MAE FNR 2012 28 B
6/25/2039
6.50%
**
245,927

FANNIE MAE FNR 2013 23 NH
3/25/2028
2.00%
**
1,298,543

FANNIE MAE FNR 2013 83 CA
10/25/2037
3.50%
**
1,457,725

FANNIE MAE FNR 2013 9 BC
7/25/2042
6.50%
**
3,221,672

FANNIE MAE FNR 2013 9 CB
4/25/2042
5.50%
**
5,397,212

FANNIE MAE FNR 2013 90 A
11/25/2038
4.00%
**
2,038,414

FANNIE MAE FNR 2014 23 PA
8/25/2036
3.50%
**
2,081,729

FANNIE MAE FNR 2016 31 UP
8/25/2044
3.00%
**
9,900,109

FANNIE MAE FNR 2016 32 EA
8/25/2042
3.50%
**
12,600,106

FANNIE MAE FNR 2016 46 UP
11/25/2044
3.00%
**
6,027,643

FANNIE MAE NOTES 04/26 2.125
4/24/2026
2.13%
**
7,187,252

FANNIE MAE NOTES 06/17 5.375
6/12/2017
5.38%
**
3,061,491

FANNIE MAE NOTES 07/18 1.125
7/20/2018
1.13%
**
2,755,044

FANNIE MAE NOTES 08/21 1.25
8/17/2021
1.25%
**
30,487,296

FANNIE MAE NOTES 09/24 2.625
9/6/2024
2.63%
**
8,077,440

FANNIE MAE NOTES 10/21 1.375
10/7/2021
1.38%
**
21,403,140

FANNIE MAE SUBORDINATED 10/19 0.00000
10/9/2019
0.01%
**
28,970,657

FANNIE MAE UNSECURED 09/26 1.875
9/24/2026
1.88%
**
780,916

FANNIEMAE ACES FNA 2011 M2 A1
4/25/2021
2.02%
**
21,560

FANNIEMAE ACES FNA 2014 M13 AB2
8/25/2024
2.95%
**
12,932,523

FANNIEMAE ACES FNA 2015 M1 AB1
9/25/2024
2.04%
**
5,636

FANNIEMAE ACES FNA 2015 M1 AB2
9/25/2024
2.47%
**
5,824,025

FANNIEMAE ACES FNA 2015 M12 A1
5/25/2025
2.33%
**
5,753,239

FANNIEMAE ACES FNA 2015 M15 AB1
10/25/2025
2.38%
**
2,261,387

FANNIEMAE ACES FNA 2015 M4 ABV2
7/25/2022
2.37%
**
3,927,623

FANNIEMAE ACES FNA 2015 M8 AB1
1/25/2025
2.10%
**
1,801,620

FANNIEMAE ACES FNA 2016 M11 A2
7/25/2026
2.37%
**
1,489,408

FANNIEMAE ACES FNA 2016 M11 AB2
7/25/2026
2.25%
**
6,386,790

FANNIEMAE ACES FNA 2016 M11 AL
7/25/2039
2.94%
**
1,926,860

FANNIEMAE ACES FNA 2016 M12 AB1
9/25/2026
1.93%
**
3,259,949

FANNIEMAE ACES FNA 2016 M12 AB2
9/25/2026
2.36%
**
6,918,420

FANNIEMAE ACES FNA 2016 M3 AB1
2/25/2026
2.06%
**
3,190,115

FANNIEMAE ACES FNA 2016 M3 AB2
2/25/2026
2.61%
**
4,902,631

FANNIEMAE ACES FNA 2016 M4 AB1
3/25/2026
1.99%
**
3,010,414

FANNIEMAE ACES FNA 2016 M5 AB1
4/25/2026
1.87%
**
5,368,100


131
Table of Contents

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

FANNIEMAE ACES FNA 2016 M5 AB2
4/25/2026
2.38%
**
5,994,711

FANNIEMAE ACES FNA 2016 M7 AV2
10/25/2023
2.16%
**
3,171,439

FANNIEMAE STRIP FNS 404 F13
5/25/2040
1.18%
**
593,054

FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1
12/25/2042
5.59%
**
154,424

FANNIEMAE WHOLE LOAN FNW 2003 W15 1A
7/25/2043
6.50%
**
132,602

FANNIEMAE WHOLE LOAN FNW 2004 W1 2A1
12/25/2043
6.50%
**
185,998

FARMER MAC GTD TR 07 1 SECURED 144A 04/17 5.125
4/19/2017
5.13%
**
7,305,763

FBR SECURITIZATION TRUST FBRSI 2005 5 AV24
11/25/2035
1.33%
**
46,945

FED HM LN PC POOL 1B1580 FH 03/34 FLOATING VAR
3/1/2034
3.09%
**
113,419

FED HM LN PC POOL 1B8062 FH 03/41 FLOATING VAR
3/1/2041
3.12%
**
278,455

FED HM LN PC POOL 1G1381 FH 12/36 FLOATING VAR
12/1/2036
3.14%
**
70,337

FED HM LN PC POOL 1G2201 FH 09/37 FLOATING VAR
9/1/2037
3.04%
**
4,122

FED HM LN PC POOL 1G2511 FH 05/36 FLOATING VAR
5/1/2036
3.09%
**
635,938

FED HM LN PC POOL 1J1467 FH 12/36 FLOATING VAR
12/1/2036
3.24%
**
270,137

FED HM LN PC POOL 1J1492 FH 11/36 FLOATING VAR
11/1/2036
3.24%
**
182,626

FED HM LN PC POOL 2B0646 FH 07/42 FLOATING VAR
7/1/2042
2.04%
**
583,090

FED HM LN PC POOL 2B4296 FH 06/45 FLOATING VAR
6/1/2045
2.84%
**
3,922,626

FED HM LN PC POOL 360077 FH 08/19 FIXED 9
8/1/2019
9.00%
**
149

FED HM LN PC POOL 410792 FH 02/30 FLOATING VAR
2/1/2030
2.72%
**
26,383

FED HM LN PC POOL 538275 FH 12/19 FIXED 9
12/1/2019
9.00%
**
248

FED HM LN PC POOL 547356 FH 03/20 FIXED 9
3/1/2020
9.00%
**
122

FED HM LN PC POOL 549820 FH 09/20 FIXED 9
9/1/2020
9.00%
**
595

FED HM LN PC POOL 555152 FH 07/20 FIXED 9
7/1/2020
9.00%
**
85

FED HM LN PC POOL 555248 FH 01/20 FIXED 8.5
1/1/2020
8.50%
**
642

FED HM LN PC POOL 555330 FH 10/19 FIXED 10
10/1/2019
10.00%
**
1,030

FED HM LN PC POOL 846004 FH 12/24 FLOATING VAR
12/1/2024
3.33%
**
14,068

FED HM LN PC POOL 846313 FH 02/26 FLOATING VAR
2/1/2026
2.80%
**
882

FED HM LN PC POOL 846661 FH 02/29 FLOATING VAR
2/1/2029
2.70%
**
1,292

FED HM LN PC POOL 847153 FH 05/33 FLOATING VAR
5/1/2033
2.79%
**
215,077

FED HM LN PC POOL 849790 FH 03/45 FLOATING VAR
3/1/2045
2.62%
**
10,315,723

FED HM LN PC POOL A01672 FG 09/19 FIXED 9.5
9/1/2019
9.50%
**
2,342

FED HM LN PC POOL A17092 FG 12/33 FIXED 6
12/1/2033
6.00%
**
27,658

FED HM LN PC POOL A39803 FG 11/35 FIXED 5.5
11/1/2035
5.50%
**
460,357

FED HM LN PC POOL A47038 FG 09/35 FIXED 5
9/1/2035
5.00%
**
163,603

FED HM LN PC POOL A53630 FG 10/36 FIXED 6
10/1/2036
6.00%
**
110,166

FED HM LN PC POOL A62077 FG 06/37 FIXED 6
6/1/2037
6.00%
**
68,227

FED HM LN PC POOL A62378 FG 06/37 FIXED 6
6/1/2037
6.00%
**
56,254

FED HM LN PC POOL A63809 FG 08/37 FIXED 6
8/1/2037
6.00%
**
95,597

FED HM LN PC POOL A69654 FG 12/37 FIXED 6
12/1/2037
6.00%
**
45,300

FED HM LN PC POOL A71410 FG 01/38 FIXED 6
1/1/2038
6.00%
**
1,116

FED HM LN PC POOL A75218 FG 04/38 FIXED 6
4/1/2038
6.00%
**
84,512


132
Table of Contents

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

FED HM LN PC POOL A85726 FG 04/39 FIXED 5
4/1/2039
5.00%
**
179,360

FED HM LN PC POOL A90826 FG 01/40 FIXED 4.5
1/1/2040
4.50%
**
663,012

FED HM LN PC POOL A91235 FG 02/40 FIXED 4.5
2/1/2040
4.50%
**
340,116

FED HM LN PC POOL A93318 FG 08/40 FIXED 5
8/1/2040
5.00%
**
942,137

FED HM LN PC POOL A93625 FG 08/40 FIXED 5
8/1/2040
5.00%
**
513,300

FED HM LN PC POOL A93652 FG 09/40 FIXED 5
9/1/2040
5.00%
**
259,132

FED HM LN PC POOL A93713 FG 09/40 FIXED 5
9/1/2040
5.00%
**
767,321

FED HM LN PC POOL A94069 FG 09/40 FIXED 5
9/1/2040
5.00%
**
249,910

FED HM LN PC POOL A94113 FG 10/40 FIXED 5
10/1/2040
5.00%
**
386,508

FED HM LN PC POOL A94132 FG 09/40 FIXED 5
9/1/2040
5.00%
**
41,373

FED HM LN PC POOL A94898 FG 11/40 FIXED 4.5
11/1/2040
4.50%
**
345,416

FED HM LN PC POOL A95085 FG 11/40 FIXED 4
11/1/2040
4.00%
**
602,543

FED HM LN PC POOL A95519 FG 12/40 FIXED 4.5
12/1/2040
4.50%
**
154,938

FED HM LN PC POOL A95561 FG 12/40 FIXED 4
12/1/2040
4.00%
**
907,290

FED HM LN PC POOL A95575 FG 12/40 FIXED 4
12/1/2040
4.00%
**
674,124

FED HM LN PC POOL A95825 FG 12/40 FIXED 4
12/1/2040
4.00%
**
763,958

FED HM LN PC POOL A95831 FG 12/40 FIXED 4.5
12/1/2040
4.50%
**
1,354,931

FED HM LN PC POOL A97040 FG 02/41 FIXED 4
2/1/2041
4.00%
**
635,237

FED HM LN PC POOL C00098 FG 02/22 FIXED 8
2/1/2022
8.00%
**
4,138

FED HM LN PC POOL C00371 FG 09/24 FIXED 7
9/1/2024
7.00%
**
1,299

FED HM LN PC POOL C00516 FG 05/27 FIXED 8
5/1/2027
8.00%
**
7,868

FED HM LN PC POOL C00522 FG 05/27 FIXED 7
5/1/2027
7.00%
**
9,398

FED HM LN PC POOL C00632 FG 07/28 FIXED 7
7/1/2028
7.00%
**
8,961

FED HM LN PC POOL C00636 FG 07/28 FIXED 7.5
7/1/2028
7.50%
**
20,541

FED HM LN PC POOL C00650 FG 09/28 FIXED 7
9/1/2028
7.00%
**
4,802

FED HM LN PC POOL C00984 FG 05/30 FIXED 8
5/1/2030
8.00%
**
1,626

FED HM LN PC POOL C00987 FG 05/30 FIXED 7.5
5/1/2030
7.50%
**
1,818

FED HM LN PC POOL C01116 FG 01/31 FIXED 7.5
1/1/2031
7.50%
**
41,897

FED HM LN PC POOL C03517 FG 09/40 FIXED 4.5
9/1/2040
4.50%
**
449,596

FED HM LN PC POOL C03520 FG 09/40 FIXED 4
9/1/2040
4.00%
**
1,207,170

FED HM LN PC POOL C03545 FG 08/40 FIXED 5
8/1/2040
5.00%
**
682,355

FED HM LN PC POOL C03613 FG 11/40 FIXED 4
11/1/2040
4.00%
**
600,504

FED HM LN PC POOL C03792 FG 04/42 FIXED 3.5
4/1/2042
3.50%
**
1,966,679

FED HM LN PC POOL C04240 FG 09/42 FIXED 3.5
9/1/2042
3.50%
**
767,592

FED HM LN PC POOL C04272 FG 10/42 FIXED 3
10/1/2042
3.00%
**
2,171,114

FED HM LN PC POOL C04422 FG 12/42 FIXED 3
12/1/2042
3.00%
**
858,563

FED HM LN PC POOL C09022 FG 01/43 FIXED 3
1/1/2043
3.00%
**
4,220,851

FED HM LN PC POOL C09055 FG 12/43 FIXED 4
12/1/2043
4.00%
**
1,018,596

FED HM LN PC POOL C10542 FG 06/28 FIXED 7
6/1/2028
7.00%
**
10,543

FED HM LN PC POOL C12585 FG 07/28 FIXED 7
7/1/2028
7.00%
**
899

FED HM LN PC POOL C14084 FG 08/28 FIXED 7
8/1/2028
7.00%
**
15,149


133
Table of Contents

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

FED HM LN PC POOL C26742 FG 05/29 FIXED 6
5/1/2029
6.00%
**
782

FED HM LN PC POOL C80373 FG 01/26 FIXED 7.5
1/1/2026
7.50%
**
352

FED HM LN PC POOL C80379 FG 02/26 FIXED 7
2/1/2026
7.00%
**
10,870

FED HM LN PC POOL C80407 FG 06/26 FIXED 7
6/1/2026
7.00%
**
1,123

FED HM LN PC POOL C91028 FG 02/27 FIXED 5
2/1/2027
5.00%
**
18,641

FED HM LN PC POOL C91161 FG 02/28 FIXED 5
2/1/2028
5.00%
**
24,917

FED HM LN PC POOL C91589 FG 11/32 FIXED 3.5
11/1/2032
3.50%
**
618,273

FED HM LN PC POOL D64290 FG 10/25 FIXED 7
10/1/2025
7.00%
**
14,300

FED HM LN PC POOL D64990 FG 03/25 FIXED 8.5
3/1/2025
8.50%
**
3,995

FED HM LN PC POOL D67104 FG 01/26 FIXED 7.5
1/1/2026
7.50%
**
75,238

FED HM LN PC POOL D70703 FG 04/26 FIXED 7
4/1/2026
7.00%
**
13,964

FED HM LN PC POOL D71569 FG 05/26 FIXED 7.5
5/1/2026
7.50%
**
613

FED HM LN PC POOL D75342 FG 10/26 FIXED 8
10/1/2026
8.00%
**
765

FED HM LN PC POOL D75558 FG 10/26 FIXED 8
10/1/2026
8.00%
**
1,187

FED HM LN PC POOL D75787 FG 11/26 FIXED 8
11/1/2026
8.00%
**
3,300

FED HM LN PC POOL D77163 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
6,008

FED HM LN PC POOL D77260 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
4,809

FED HM LN PC POOL D77487 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
228

FED HM LN PC POOL D77490 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
557

FED HM LN PC POOL D77541 FG 01/27 FIXED 7.5
1/1/2027
7.50%
**
8,589

FED HM LN PC POOL D80165 FG 05/27 FIXED 7
5/1/2027
7.00%
**
13,706

FED HM LN PC POOL D80177 FG 05/27 FIXED 7
5/1/2027
7.00%
**
10,053

FED HM LN PC POOL D93618 FG 07/19 FIXED 6.5
7/1/2019
6.50%
**
9,997

FED HM LN PC POOL E01095 FG 01/17 FIXED 6
1/1/2017
6.00%
**
1

FED HM LN PC POOL E01495 FG 09/18 FIXED 6
9/1/2018
6.00%
**
513

FED HM LN PC POOL E04113 FG 11/27 FIXED 2.5
11/1/2027
2.50%
**
1,446,567

FED HM LN PC POOL E87156 FG 01/17 FIXED 6
1/1/2017
6.00%
**
170

FED HM LN PC POOL E87634 FG 01/17 FIXED 6
1/1/2017
6.00%
**
408

FED HM LN PC POOL E87940 FG 02/17 FIXED 6
2/1/2017
6.00%
**
6

FED HM LN PC POOL E88001 FG 02/17 FIXED 6
2/1/2017
6.00%
**
3,001

FED HM LN PC POOL E88056 FG 02/17 FIXED 6
2/1/2017
6.00%
**
39

FED HM LN PC POOL E88123 FG 02/17 FIXED 6
2/1/2017
6.00%
**
623

FED HM LN PC POOL E88282 FG 03/17 FIXED 6
3/1/2017
6.00%
**
96

FED HM LN PC POOL E88283 FG 03/17 FIXED 6
3/1/2017
6.00%
**
14

FED HM LN PC POOL E88474 FG 03/17 FIXED 6
3/1/2017
6.00%
**
73

FED HM LN PC POOL E88603 FG 04/17 FIXED 6
4/1/2017
6.00%
**
72

FED HM LN PC POOL E88729 FG 04/17 FIXED 6
4/1/2017
6.00%
**
691

FED HM LN PC POOL E88749 FG 03/17 FIXED 6
3/1/2017
6.00%
**
140

FED HM LN PC POOL E88765 FG 03/17 FIXED 6
3/1/2017
6.00%
**
98

FED HM LN PC POOL E88809 FG 04/17 FIXED 6
4/1/2017
6.00%
**
409

FED HM LN PC POOL E88884 FG 04/17 FIXED 6
4/1/2017
6.00%
**
316


134
Table of Contents

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

FED HM LN PC POOL E89041 FG 04/17 FIXED 6
4/1/2017
6.00%
**
21

FED HM LN PC POOL E89080 FG 04/17 FIXED 6
4/1/2017
6.00%
**
196

FED HM LN PC POOL E89092 FG 04/17 FIXED 6
4/1/2017
6.00%
**
64

FED HM LN PC POOL E89102 FG 04/17 FIXED 6
4/1/2017
6.00%
**
709

FED HM LN PC POOL E89118 FG 04/17 FIXED 6
4/1/2017
6.00%
**
409

FED HM LN PC POOL E89149 FG 04/17 FIXED 6
4/1/2017
6.00%
**
158

FED HM LN PC POOL E89216 FG 04/17 FIXED 6
4/1/2017
6.00%
**
161

FED HM LN PC POOL E89347 FG 04/17 FIXED 6
4/1/2017
6.00%
**
447

FED HM LN PC POOL E89369 FG 04/17 FIXED 6
4/1/2017
6.00%
**
183

FED HM LN PC POOL E89434 FG 05/17 FIXED 6
5/1/2017
6.00%
**
268

FED HM LN PC POOL E89435 FG 05/17 FIXED 6
5/1/2017
6.00%
**
218

FED HM LN PC POOL E89593 FG 05/17 FIXED 6
5/1/2017
6.00%
**
603

FED HM LN PC POOL E89601 FG 05/17 FIXED 6
5/1/2017
6.00%
**
60

FED HM LN PC POOL E89645 FG 05/17 FIXED 6
5/1/2017
6.00%
**
582

FED HM LN PC POOL E89686 FG 05/17 FIXED 6
5/1/2017
6.00%
**
434

FED HM LN PC POOL E89687 FG 05/17 FIXED 6
5/1/2017
6.00%
**
499

FED HM LN PC POOL E89704 FG 05/17 FIXED 6
5/1/2017
6.00%
**
144

FED HM LN PC POOL E89707 FG 05/17 FIXED 6
5/1/2017
6.00%
**
434

FED HM LN PC POOL E89746 FG 05/17 FIXED 6
5/1/2017
6.00%
**
16

FED HM LN PC POOL E89777 FG 05/17 FIXED 6
5/1/2017
6.00%
**
99

FED HM LN PC POOL E89856 FG 05/17 FIXED 6
5/1/2017
6.00%
**
351

FED HM LN PC POOL E89883 FG 05/17 FIXED 6
5/1/2017
6.00%
**
200

FED HM LN PC POOL E89913 FG 05/17 FIXED 6
5/1/2017
6.00%
**
1,430

FED HM LN PC POOL E89969 FG 05/17 FIXED 6
5/1/2017
6.00%
**
64

FED HM LN PC POOL E90103 FG 05/17 FIXED 6
5/1/2017
6.00%
**
147

FED HM LN PC POOL E90135 FG 06/17 FIXED 6
6/1/2017
6.00%
**
31

FED HM LN PC POOL E90171 FG 06/17 FIXED 6
6/1/2017
6.00%
**
353

FED HM LN PC POOL E90237 FG 06/17 FIXED 6
6/1/2017
6.00%
**
419

FED HM LN PC POOL E90295 FG 06/17 FIXED 6
6/1/2017
6.00%
**
120

FED HM LN PC POOL E90313 FG 06/17 FIXED 6
6/1/2017
6.00%
**
30

FED HM LN PC POOL E90315 FG 07/17 FIXED 6
7/1/2017
6.00%
**
164

FED HM LN PC POOL E90322 FG 06/17 FIXED 6
6/1/2017
6.00%
**
44

FED HM LN PC POOL E90348 FG 06/17 FIXED 6
6/1/2017
6.00%
**
1,143

FED HM LN PC POOL E90402 FG 07/17 FIXED 6
7/1/2017
6.00%
**
607

FED HM LN PC POOL E90472 FG 07/17 FIXED 6
7/1/2017
6.00%
**
315

FED HM LN PC POOL E90473 FG 07/17 FIXED 6
7/1/2017
6.00%
**
2,171

FED HM LN PC POOL E90551 FG 07/17 FIXED 6
7/1/2017
6.00%
**
323

FED HM LN PC POOL E90623 FG 08/17 FIXED 6
8/1/2017
6.00%
**
19

FED HM LN PC POOL E90689 FG 08/17 FIXED 6
8/1/2017
6.00%
**
31

FED HM LN PC POOL E90690 FG 07/17 FIXED 6
7/1/2017
6.00%
**
49

FED HM LN PC POOL E90781 FG 08/17 FIXED 6
8/1/2017
6.00%
**
691


135
Table of Contents

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

FED HM LN PC POOL E90831 FG 08/17 FIXED 6
8/1/2017
6.00%
**
38

FED HM LN PC POOL E90985 FG 08/17 FIXED 6
8/1/2017
6.00%
**
11

FED HM LN PC POOL E91012 FG 08/17 FIXED 6
8/1/2017
6.00%
**
1,319

FED HM LN PC POOL E91278 FG 07/17 FIXED 6
7/1/2017
6.00%
**
31

FED HM LN PC POOL E91485 FG 09/17 FIXED 6
9/1/2017
6.00%
**
2,543

FED HM LN PC POOL E93128 FG 10/17 FIXED 6
10/1/2017
6.00%
**
836

FED HM LN PC POOL E99733 FG 09/18 FIXED 6
9/1/2018
6.00%
**
3,534

FED HM LN PC POOL G00144 FG 03/21 FIXED 10
3/1/2021
10.00%
**
2,964

FED HM LN PC POOL G00280 FG 12/22 FIXED 9.5
12/1/2022
9.50%
**
957

FED HM LN PC POOL G00473 FG 03/26 FIXED 7.5
3/1/2026
7.50%
**
233

FED HM LN PC POOL G00529 FG 08/26 FIXED 7.5
8/1/2026
7.50%
**
2,096

FED HM LN PC POOL G00552 FG 03/23 FIXED 8.5
3/1/2023
8.50%
**
8,869

FED HM LN PC POOL G00561 FG 06/25 FIXED 9.5
6/1/2025
9.50%
**
1,535

FED HM LN PC POOL G00627 FG 06/25 FIXED 8
6/1/2025
8.00%
**
8,702

FED HM LN PC POOL G00675 FG 03/27 FIXED 7.5
3/1/2027
7.50%
**
12,556

FED HM LN PC POOL G00704 FG 12/26 FIXED 7
12/1/2026
7.00%
**
11,071

FED HM LN PC POOL G00825 FG 12/27 FIXED 7
12/1/2027
7.00%
**
726

FED HM LN PC POOL G00869 FG 01/28 FIXED 7.5
1/1/2028
7.50%
**
15,633

FED HM LN PC POOL G01091 FG 12/29 FIXED 7
12/1/2029
7.00%
**
32,245

FED HM LN PC POOL G01665 FG 03/34 FIXED 5.5
3/1/2034
5.50%
**
628,692

FED HM LN PC POOL G02031 FG 02/36 FIXED 5.5
2/1/2036
5.50%
**
193,189

FED HM LN PC POOL G02408 FG 12/36 FIXED 5.5
12/1/2036
5.50%
**
284,683

FED HM LN PC POOL G02427 FG 12/36 FIXED 5.5
12/1/2036
5.50%
**
558,074

FED HM LN PC POOL G03073 FG 07/37 FIXED 5.5
7/1/2037
5.50%
**
309,875

FED HM LN PC POOL G03233 FG 08/37 FIXED 6
8/1/2037
6.00%
**
9,632

FED HM LN PC POOL G03695 FG 11/37 FIXED 5.5
11/1/2037
5.50%
**
172,102

FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5
2/1/2038
5.50%
**
226,689

FED HM LN PC POOL G03819 FG 01/38 FIXED 6
1/1/2038
6.00%
**
71,817

FED HM LN PC POOL G04448 FG 07/38 FIXED 5.5
7/1/2038
5.50%
**
93,795

FED HM LN PC POOL G04585 FG 02/38 FIXED 5.5
2/1/2038
5.50%
**
163,215

FED HM LN PC POOL G04588 FG 08/38 FIXED 5.5
8/1/2038
5.50%
**
97,139

FED HM LN PC POOL G04636 FG 12/35 FIXED 5
12/1/2035
5.00%
**
68,136

FED HM LN PC POOL G04688 FG 09/38 FIXED 5.5
9/1/2038
5.50%
**
85,567

FED HM LN PC POOL G05179 FG 01/39 FIXED 5.5
1/1/2039
5.50%
**
106,177

FED HM LN PC POOL G05527 FG 07/39 FIXED 4
7/1/2039
4.00%
**
73,402

FED HM LN PC POOL G05676 FG 11/39 FIXED 4
11/1/2039
4.00%
**
1,222,548

FED HM LN PC POOL G05726 FG 08/39 FIXED 5
8/1/2039
5.00%
**
316,369

FED HM LN PC POOL G05741 FG 12/39 FIXED 4.5
12/1/2039
4.50%
**
710,276

FED HM LN PC POOL G05927 FG 07/40 FIXED 4.5
7/1/2040
4.50%
**
1,448,676

FED HM LN PC POOL G06021 FG 01/40 FIXED 5.5
1/1/2040
5.50%
**
261,447

FED HM LN PC POOL G06087 FG 09/40 FIXED 5
9/1/2040
5.00%
**
67,495


136
Table of Contents

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

FED HM LN PC POOL G06172 FG 12/38 FIXED 5.5
12/1/2038
5.50%
**
606,281

FED HM LN PC POOL G06506 FG 12/40 FIXED 4
12/1/2040
4.00%
**
2,380,018

FED HM LN PC POOL G06507 FG 02/41 FIXED 4
2/1/2041
4.00%
**
410,308

FED HM LN PC POOL G06601 FG 12/40 FIXED 4.5
12/1/2040
4.50%
**
2,602,829

FED HM LN PC POOL G06669 FG 09/39 FIXED 6.5
9/1/2039
6.50%
**
289,671

FED HM LN PC POOL G06875 FG 12/38 FIXED 5.5
12/1/2038
5.50%
**
2,124,889

FED HM LN PC POOL G07032 FG 06/42 FIXED 3
6/1/2042
3.00%
**
1,380,884

FED HM LN PC POOL G07129 FG 09/42 FIXED 3.5
9/1/2042
3.50%
**
1,278,085

FED HM LN PC POOL G07335 FG 03/39 FIXED 7
3/1/2039
7.00%
**
897,588

FED HM LN PC POOL G07388 FG 05/43 FIXED 3.5
5/1/2043
3.50%
**
2,401,657

FED HM LN PC POOL G07509 FG 09/39 FIXED 6.5
9/1/2039
6.50%
**
692,385

FED HM LN PC POOL G08273 FG 06/38 FIXED 5.5
6/1/2038
5.50%
**
60,233

FED HM LN PC POOL G08368 FG 10/39 FIXED 4.5
10/1/2039
4.50%
**
652,809

FED HM LN PC POOL G08372 FG 11/39 FIXED 4.5
11/1/2039
4.50%
**
646,378

FED HM LN PC POOL G08521 FG 01/43 FIXED 3
1/1/2043
3.00%
**
725,018

FED HM LN PC POOL G08540 FG 08/43 FIXED 3
8/1/2043
3.00%
**
1,159,209

FED HM LN PC POOL G08553 FG 10/43 FIXED 3
10/1/2043
3.00%
**
136,022

FED HM LN PC POOL G08567 FG 01/44 FIXED 4
1/1/2044
4.00%
**
2,151,234

FED HM LN PC POOL G08624 FG 01/45 FIXED 4
1/1/2045
4.00%
**
3,290,555

FED HM LN PC POOL G08672 FG 10/45 FIXED 4
10/1/2045
4.00%
**
2,144,416

FED HM LN PC POOL G08681 FG 12/45 FIXED 3.5
12/1/2045
3.50%
**
6,554,688

FED HM LN PC POOL G08694 FG 02/46 FIXED 4
2/1/2046
4.00%
**
1,049,612

FED HM LN PC POOL G08702 FG 04/46 FIXED 3.5
4/1/2046
3.50%
**
1,533,606

FED HM LN PC POOL G11300 FG 08/17 FIXED 6
8/1/2017
6.00%
**
49

FED HM LN PC POOL G11410 FG 07/18 FIXED 4
7/1/2018
4.00%
**
319,308

FED HM LN PC POOL G11557 FG 03/19 FIXED 6
3/1/2019
6.00%
**
83

FED HM LN PC POOL G11634 FG 11/19 FIXED 5.5
11/1/2019
5.50%
**
3,933

FED HM LN PC POOL G11652 FG 01/20 FIXED 6
1/1/2020
6.00%
**
80,530

FED HM LN PC POOL G12467 FG 11/21 FIXED 6
11/1/2021
6.00%
**
247,917

FED HM LN PC POOL G12978 FG 12/22 FIXED 5.5
12/1/2022
5.50%
**
251,321

FED HM LN PC POOL G13300 FG 05/23 FIXED 4.5
5/1/2023
4.50%
**
76,940

FED HM LN PC POOL G13492 FG 02/24 FIXED 5
2/1/2024
5.00%
**
185,192

FED HM LN PC POOL G13825 FG 05/25 FIXED 4
5/1/2025
4.00%
**
1,702,193

FED HM LN PC POOL G13868 FG 07/25 FIXED 4.5
7/1/2025
4.50%
**
422,258

FED HM LN PC POOL G14171 FG 10/24 FIXED 6
10/1/2024
6.00%
**
202,883

FED HM LN PC POOL G14239 FG 09/26 FIXED 4
9/1/2026
4.00%
**
201,179

FED HM LN PC POOL G14375 FG 07/26 FIXED 4
7/1/2026
4.00%
**
965,885

FED HM LN PC POOL G14492 FG 10/25 FIXED 4
10/1/2025
4.00%
**
524,960

FED HM LN PC POOL G18401 FG 09/26 FIXED 3.5
9/1/2026
3.50%
**
184,412

FED HM LN PC POOL G18475 FG 08/28 FIXED 2.5
8/1/2028
2.50%
**
323,124

FED HM LN PC POOL G20028 FG 12/36 FIXED 7.5
12/1/2036
7.50%
**
1,425,221


137
Table of Contents

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

FED HM LN PC POOL J06009 FG 10/20 FIXED 5
10/1/2020
5.00%
**
232,859

FED HM LN PC POOL J09212 FG 01/24 FIXED 5
1/1/2024
5.00%
**
70,882

FED HM LN PC POOL J10556 FG 08/24 FIXED 4
8/1/2024
4.00%
**
4,030,683

FED HM LN PC POOL J11089 FG 04/19 FIXED 4
4/1/2019
4.00%
**
20,546

FED HM LN PC POOL J12398 FG 06/25 FIXED 4.5
6/1/2025
4.50%
**
374,811

FED HM LN PC POOL J12439 FG 06/25 FIXED 4.5
6/1/2025
4.50%
**
614,975

FED HM LN PC POOL J14494 FG 02/26 FIXED 4
2/1/2026
4.00%
**
1,088,845

FED HM LN PC POOL J15658 FG 06/26 FIXED 4
6/1/2026
4.00%
**
396,909

FED HM LN PC POOL J15719 FG 06/26 FIXED 4
6/1/2026
4.00%
**
1,029,254

FED HM LN PC POOL J15974 FG 06/26 FIXED 4
6/1/2026
4.00%
**
369,738

FED HM LN PC POOL J16059 FG 07/26 FIXED 4
7/1/2026
4.00%
**
198,854

FED HM LN PC POOL J16432 FG 08/26 FIXED 3.5
8/1/2026
3.50%
**
327,090

FED HM LN PC POOL J18912 FG 04/27 FIXED 2.5
4/1/2027
2.50%
**
587,207

FED HM LN PC POOL J23935 FG 05/28 FIXED 3
5/1/2028
3.00%
**
642,978

FED HM LN PC POOL J25735 FG 09/28 FIXED 3
9/1/2028
3.00%
**
717,954

FED HM LN PC POOL J27464 FG 02/29 FIXED 3.5
2/1/2029
3.50%
**
1,446,618

FED HM LN PC POOL J27964 FG 04/29 FIXED 3
4/1/2029
3.00%
**
724,234

FED HM LN PC POOL J28196 FG 05/29 FIXED 3
5/1/2029
3.00%
**
4,390,916

FED HM LN PC POOL J29007 FG 08/29 FIXED 3
8/1/2029
3.00%
**
777,026

FED HM LN PC POOL J35097 FG 08/31 FIXED 2.5
8/1/2031
2.50%
**
975,956

FED HM LN PC POOL Q04673 FG 11/41 FIXED 4
11/1/2041
4.00%
**
1,142,524

FED HM LN PC POOL Q04674 FG 12/41 FIXED 4
12/1/2041
4.00%
**
85,245

FED HM LN PC POOL Q08998 FG 06/42 FIXED 3.5
6/1/2042
3.50%
**
1,384,979

FED HM LN PC POOL Q10241 FG 08/42 FIXED 3.5
8/1/2042
3.50%
**
613,377

FED HM LN PC POOL Q10448 FG 08/42 FIXED 3.5
8/1/2042
3.50%
**
726,979

FED HM LN PC POOL Q11288 FG 09/42 FIXED 3.5
9/1/2042
3.50%
**
632,912

FED HM LN PC POOL Q11788 FG 10/42 FIXED 3
10/1/2042
3.00%
**
360,052

FED HM LN PC POOL Q12052 FG 10/42 FIXED 3.5
10/1/2042
3.50%
**
696,432

FED HM LN PC POOL Q12520 FG 10/42 FIXED 3
10/1/2042
3.00%
**
158,125

FED HM LN PC POOL Q14326 FG 01/43 FIXED 2.5
1/1/2043
2.50%
**
834,209

FED HM LN PC POOL Q15062 FG 02/43 FIXED 3
2/1/2043
3.00%
**
2,734,905

FED HM LN PC POOL Q17792 FG 05/43 FIXED 3.5
5/1/2043
3.50%
**
3,110,262

FED HM LN PC POOL Q20402 FG 07/43 FIXED 3
7/1/2043
3.00%
**
217,101

FED HM LN PC POOL Q20416 FG 07/43 FIXED 3
7/1/2043
3.00%
**
452,144

FED HM LN PC POOL Q20983 FG 08/43 FIXED 3
8/1/2043
3.00%
**
365,072

FED HM LN PC POOL Q21694 FG 08/43 FIXED 3
8/1/2043
3.00%
**
344,024

FED HM LN PC POOL Q25702 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
884,995

FED HM LN PC POOL Q25703 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
963,452

FED HM LN PC POOL Q25705 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
584,095

FED HM LN PC POOL Q25712 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
555,465

FED HM LN PC POOL Q25818 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
3,852,947


138
Table of Contents

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

FED HM LN PC POOL Q25819 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
3,966,400

FED HM LN PC POOL Q25850 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
439,980

FED HM LN PC POOL Q25851 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
184,786

FED HM LN PC POOL Q25852 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
666,032

FED HM LN PC POOL Q25853 FG 04/44 FIXED 4.5
4/1/2044
4.50%
**
745,683

FED HM LN PC POOL Q29920 FG 11/44 FIXED 4.5
11/1/2044
4.50%
**
76,679

FED HM LN PC POOL U90245 FG 10/42 FIXED 3.5
10/1/2042
3.50%
**
782,373

FED HM LN PC POOL U90316 FG 10/42 FIXED 4
10/1/2042
4.00%
**
3,039,798

FED HM LN PC POOL U91254 FG 04/43 FIXED 4
4/1/2043
4.00%
**
1,291,211

FED HM LN PC POOL U92272 FG 12/43 FIXED 4.5
12/1/2043
4.50%
**
804,608

FED HM LN PC POOL U95137 FG 08/43 FIXED 4
8/1/2043
4.00%
**
808,667

FED HM LN PC POOL U99076 FG 12/43 FIXED 4.5
12/1/2043
4.50%
**
6,720,389

FED HM LN PC POOL U99084 FG 02/44 FIXED 4.5
2/1/2044
4.50%
**
5,432,473

FED HM LN PC POOL U99091 FG 03/44 FIXED 4.5
3/1/2044
4.50%
**
1,643,318

FED HM LN PC POOL U99114 FG 02/44 FIXED 3.5
2/1/2044
3.50%
**
341,884

FED HM LN PC POOL V60298 FG 10/28 FIXED 3
10/1/2028
3.00%
**
720,981

FED HM LN PC POOL V60564 FG 06/29 FIXED 3
6/1/2029
3.00%
**
1,422,218

FED HM LN PC POOL V60869 FG 07/30 FIXED 2.5
7/1/2030
2.50%
**
2,706,644

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/3/2017
0.01%
**
10,474,000

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/3/2017
0.49%
**
49,698,661

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/4/2017
 
**
5,408,941

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/5/2017
0.49%
**
99,494,583

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/6/2017
0.50%
**
30,797,861

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/9/2017
 
**
286,982

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/10/2017
 
**
6,999,482

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/13/2017
0.01%
**
20,547,822

FEDERAL HOME LOAN BANK BONDS 01/19 1.25
1/16/2019
1.25%
**
4,798,325

FEDERAL HOME LOAN BANK BONDS 03/18 0.875
3/19/2018
0.88%
**
5,990,322

FEDERAL HOME LOAN BANK BONDS 03/18 1.375
3/9/2018
1.38%
**
10,035,770

FEDERAL HOME LOAN BANK BONDS 05/17 0.625
5/30/2017
0.63%
**
674,712

FEDERAL HOME LOAN BANK BONDS 05/17 0.875
5/24/2017
0.88%
**
120,061

FEDERAL HOME LOAN BANK BONDS 06/18 0.875
6/29/2018
0.88%
**
2,242,177

FEDERAL HOME LOAN BANK BONDS 06/18 1.25
6/8/2018
1.25%
**
2,440,542

FEDERAL HOME LOAN BANK BONDS 06/19 1.625
6/14/2019
1.63%
**
20,097,020

FEDERAL HOME LOAN BANK BONDS 07/36 5.5
7/15/2036
5.50%
**
12,199,117

FEDERAL HOME LOAN BANK BONDS 08/17 0.75
8/28/2017
0.75%
**
8,998,299

FEDERAL HOME LOAN BANK BONDS 09/18 2
9/14/2018
2.00%
**
810,888

FEDERAL HOME LOAN BANK BONDS 09/19 1
9/26/2019
1.00%
**
4,940,420

FEDERAL HOME LOAN BANK BONDS 11/21 1.875
11/29/2021
1.88%
**
5,961,372

FHLMC MULTIFAMILY STRUCTURED P FHMS K010 A2
10/25/2020
4.33%
**
10,784,262

FHLMC MULTIFAMILY STRUCTURED P FHMS K012 A2
12/25/2020
4.18%
**
860,926


139
Table of Contents

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

FHLMC MULTIFAMILY STRUCTURED P FHMS K020 A2
5/25/2022
2.37%
**
4,187,370

FHLMC MULTIFAMILY STRUCTURED P FHMS K023 A2
8/25/2022
2.31%
**
3,535,207

FHLMC MULTIFAMILY STRUCTURED P FHMS K041 A2
10/25/2024
3.17%
**
15,439,241

FHLMC MULTIFAMILY STRUCTURED P FHMS K043 A2
12/25/2024
3.06%
**
9,696,679

FHLMC MULTIFAMILY STRUCTURED P FHMS K053 A2
12/25/2025
3.00%
**
4,539,919

FHLMC MULTIFAMILY STRUCTURED P FHMS K056 A1
7/25/2025
2.20%
**
4,819,771

FHLMC MULTIFAMILY STRUCTURED P FHMS K721 A2
8/25/2022
3.09%
**
3,676,031

FHLMC MULTIFAMILY STRUCTURED P FHMS KF13 A
11/25/2025
1.35%
**
6,650,332

FHLMC MULTIFAMILY STRUCTURED P FHMS KJ02 A2
9/25/2020
2.60%
**
6,416,463

FHLMC MULTIFAMILY STRUCTURED P FHMS KJ05 A1
5/25/2021
1.42%
**
778,572

FHLMC MULTIFAMILY STRUCTURED P FHMS KJ05 A2
10/25/2021
2.16%
**
7,100,710

FHLMC MULTIFAMILY STRUCTURED P FHMS KJ06 A
1/25/2023
2.27%
**
6,099,862

FHLMC MULTIFAMILY STRUCTURED P FHMS KP03 A2
7/25/2019
1.78%
**
18,312,887

FHLMC STRUCTURED PASS THROUGH FSPC T 21 A
10/25/2029
1.12%
**
218,663

FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1
7/25/2044
2.00%
**
952,221

FHLMC TBA 15 YR 2.5 GOLD SINGLE FAMILY
1/23/2032
2.50%
**
2,003,594

FHLMC TBA 30 YR 3 GOLD SINGLE FAMILY
1/18/2047
3.00%
**
1,985,949

FHLMC TBA 30 YR 3.5 GOLD SINGLE FAMILY
1/18/2047
3.50%
**
16,178,298

FHLMC TBA 30 YR 4 GOLD SINGLE FAMILY
1/18/2047
4.00%
**
5,251,660

FHLMC TBA 30 YR 4 GOLD SINGLE FAMILY
2/13/2047
4.00%
**
1,049,082

FHLMC TBA 30 YR 4.5 GOLD SINGLE FAMILY
1/18/2047
4.50%
**
2,683,432

FIDELITY NATIONAL INFORM SR UNSECURED 08/21 2.25
8/15/2021
2.25%
**
1,126,156

FIDELITY NATIONAL INFORM SR UNSECURED 10/18 2.85
10/15/2018
2.85%
**
1,551,524

FIDELITY NATIONAL INFORM SR UNSECURED 10/20 3.625
10/15/2020
3.63%
**
2,111,947

FIDELITY NATL FINANCIAL SR UNSECURED 09/22 5.5
9/1/2022
5.50%
**
2,432,800

FIFTH THIRD AUTO TRUST FITAT 2014 3 A3
3/15/2019
0.96%
**
524,712

FIFTH THIRD AUTO TRUST FITAT 2015 1 A3
3/16/2020
1.42%
**
4,487,669

FIFTH THIRD BANK SR UNSECURED 02/18 1.45
2/28/2018
1.45%
**
3,475,066

FIFTH THIRD BANK SR UNSECURED 03/19 2.3
3/15/2019
2.30%
**
591,966

FIFTH THIRD BANK SR UNSECURED 04/19 2.375
4/25/2019
2.38%
**
302,255

FIFTH THIRD BANK SR UNSECURED 06/21 2.25
6/14/2021
2.25%
**
7,513,603

FIFTH THIRD BANK SR UNSECURED 08/18 2.15
8/20/2018
2.15%
**
5,182,538

FIFTH THIRD BANK SR UNSECURED 09/19 1.625
9/27/2019
1.63%
**
3,062,930

FINNVERA PLC GOVT GUARANT 144A 06/25 2.375
6/4/2025
2.38%
**
382,736

FIRST INVESTORS AUTO OWNER TRU FIAOT 2015 1A A2 144A
4/15/2019
1.21%
**
116,251

FIRST INVESTORS AUTO OWNER TRU FIAOT 2016 2A A1 144A
11/16/2020
1.53%
**
712,706

FIRSTENERGY CORP SR UNSECURED 03/18 2.75
3/15/2018
2.75%
**
2,482,347

FIRSTENERGY CORP SR UNSECURED 03/23 4.25
3/15/2023
4.25%
**
4,972,554

FIRSTENERGY CORP SR UNSECURED 11/31 7.375
11/15/2031
7.38%
**
1,288,898

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 11/17 5.55
11/1/2017
5.55%
**
232,898

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 12/25 3.125
12/1/2025
3.13%
**
7,582,823


140
Table of Contents

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

FLORIDA ST BRD OF EDU PUBLIC E FLSEDU 06/19 FIXED 5
6/1/2019
5.00%
**
3,465,184

FLORIDA ST TURNPIKE AUTH FLSTRN 07/39 FIXED OID 6.8
7/1/2039
6.80%
**
2,521,490

FNMA POOL 050305 FN 05/20 FIXED 9.5
5/1/2020
9.50%
**
1,143

FNMA POOL 050402 FN 02/21 FIXED 9
2/1/2021
9.00%
**
248

FNMA POOL 050415 FN 03/21 FIXED 9
3/1/2021
9.00%
**
326

FNMA POOL 050795 FN 09/23 FIXED 7
9/1/2023
7.00%
**
1,427

FNMA POOL 050947 FN 12/23 FIXED 7
12/1/2023
7.00%
**
17,088

FNMA POOL 050966 FN 01/24 FIXED 7
1/1/2024
7.00%
**
6,792

FNMA POOL 050993 FN 02/24 FIXED 7
2/1/2024
7.00%
**
5,135

FNMA POOL 060680 FN 02/28 FLOATING VAR
2/1/2028
4.41%
**
21,384

FNMA POOL 100168 FN 01/21 FIXED VAR
1/15/2021
9.50%
**
1,146

FNMA POOL 108489 FN 11/20 FIXED 9
11/1/2020
9.00%
**
9,066

FNMA POOL 190353 FN 08/34 FIXED VAR
8/1/2034
5.00%
**
11,237

FNMA POOL 190357 FN 03/35 FIXED VAR
3/1/2035
5.00%
**
8,386

FNMA POOL 190360 FN 08/35 FIXED VAR
8/1/2035
5.00%
**
6,782

FNMA POOL 190377 FN 11/36 FIXED VAR
11/1/2036
5.00%
**
277,297

FNMA POOL 190533 FN 01/24 FIXED VAR
1/1/2024
7.00%
**
2,589

FNMA POOL 242136 FN 10/23 FIXED 7
10/1/2023
7.00%
**
394

FNMA POOL 245442 FN 11/23 FIXED 7
11/1/2023
7.00%
**
2,467

FNMA POOL 252210 FN 02/19 FIXED 6.5
2/1/2019
6.50%
**
15,556

FNMA POOL 253153 FN 02/20 FIXED 7
2/1/2020
7.00%
**
6,564

FNMA POOL 253947 FN 08/31 FIXED 8
8/1/2031
8.00%
**
35,930

FNMA POOL 254223 FN 02/32 FIXED 7.5
2/1/2032
7.50%
**
525

FNMA POOL 254793 FN 07/33 FIXED 5
7/1/2033
5.00%
**
215,583

FNMA POOL 267989 FN 02/24 FIXED 7
2/1/2024
7.00%
**
2,988

FNMA POOL 274621 FN 03/24 FIXED 7
3/1/2024
7.00%
**
1,197

FNMA POOL 303675 FN 10/17 FIXED VAR
10/1/2017
10.00%
**
2,298

FNMA POOL 312206 FN 06/25 FLOATING VAR
6/1/2025
2.60%
**
39,292

FNMA POOL 313499 FN 10/18 FIXED VAR
10/1/2018
10.00%
**
3,201

FNMA POOL 313947 FN 01/28 FIXED VAR
1/1/2028
7.00%
**
1,802

FNMA POOL 330089 FN 04/25 FIXED 8
4/1/2025
8.00%
**
26,744

FNMA POOL 330126 FN 08/25 FLOATING VAR
8/1/2025
2.66%
**
47,628

FNMA POOL 331427 FN 11/25 FLOATING VAR
11/1/2025
2.60%
**
15,963

FNMA POOL 347547 FN 08/26 FLOATING VAR
8/1/2026
2.66%
**
279

FNMA POOL 347633 FN 07/26 FLOATING VAR
7/1/2026
2.63%
**
18,298

FNMA POOL 362968 FN 01/26 FLOATING VAR
1/1/2026
2.89%
**
41,542

FNMA POOL 369996 FN 01/27 FIXED 7.5
1/1/2027
7.50%
**
3,314

FNMA POOL 371049 FN 02/27 FIXED 7.5
2/1/2027
7.50%
**
13,005

FNMA POOL 371073 FN 02/27 FIXED 7.5
2/1/2027
7.50%
**
6,843

FNMA POOL 371871 FN 02/27 FIXED 7.5
2/1/2027
7.50%
**
7,164

FNMA POOL 377038 FN 04/27 FIXED 7.5
4/1/2027
7.50%
**
11,255


141
Table of Contents

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

FNMA POOL 396434 FN 11/27 FIXED 7.5
11/1/2027
7.50%
**
496

FNMA POOL 396439 FN 11/27 FIXED 7.5
11/1/2027
7.50%
**
7,894

FNMA POOL 397256 FN 10/27 FIXED 7.5
10/1/2027
7.50%
**
720

FNMA POOL 398754 FN 09/27 FIXED 7.5
9/1/2027
7.50%
**
5,652

FNMA POOL 401788 FN 10/27 FIXED 7.5
10/1/2027
7.50%
**
997

FNMA POOL 479545 FN 08/29 FIXED 7
8/1/2029
7.00%
**
588

FNMA POOL 492745 FN 05/29 FIXED 7
5/1/2029
7.00%
**
8,896

FNMA POOL 503573 FN 10/29 FIXED 7
10/1/2029
7.00%
**
2,675

FNMA POOL 507521 FN 08/29 FIXED 7
8/1/2029
7.00%
**
5,479

FNMA POOL 509436 FN 10/29 FIXED 7
10/1/2029
7.00%
**
8,176

FNMA POOL 509662 FN 08/29 FIXED 7
8/1/2029
7.00%
**
485

FNMA POOL 511103 FN 08/29 FIXED 7
8/1/2029
7.00%
**
8,495

FNMA POOL 511384 FN 09/29 FIXED 7
9/1/2029
7.00%
**
1,870

FNMA POOL 514267 FN 09/29 FIXED 7
9/1/2029
7.00%
**
2,609

FNMA POOL 515518 FN 10/29 FIXED 7
10/1/2029
7.00%
**
3,706

FNMA POOL 517511 FN 10/29 FIXED 7
10/1/2029
7.00%
**
3,885

FNMA POOL 518108 FN 09/29 FIXED 7
9/1/2029
7.00%
**
6,199

FNMA POOL 523486 FN 08/30 FIXED 8
8/1/2030
8.00%
**
1,060

FNMA POOL 533757 FN 06/30 FIXED 8
6/1/2030
8.00%
**
12,416

FNMA POOL 534194 FN 04/30 FIXED 8
4/1/2030
8.00%
**
3,367

FNMA POOL 545204 FN 05/36 FLOATING VAR
5/1/2036
3.05%
**
46,553

FNMA POOL 545278 FN 11/31 FIXED VAR
11/1/2031
7.50%
**
78,828

FNMA POOL 554482 FN 10/30 FIXED 7.5
10/1/2030
7.50%
**
86,407

FNMA POOL 555743 FN 09/33 FIXED VAR
9/1/2033
5.00%
**
260,735

FNMA POOL 569972 FN 03/31 FIXED 7.5
3/1/2031
7.50%
**
38,572

FNMA POOL 569973 FN 02/31 FIXED 8
2/1/2031
8.00%
**
5,205

FNMA POOL 572675 FN 04/31 FIXED 7.5
4/1/2031
7.50%
**
48,332

FNMA POOL 593848 FN 07/31 FIXED 8
7/1/2031
8.00%
**
21,542

FNMA POOL 602065 FN 09/31 FIXED 7
9/1/2031
7.00%
**
68,698

FNMA POOL 604576 FN 09/21 FIXED 6.5
9/1/2021
6.50%
**
7,358

FNMA POOL 609504 FN 10/31 FIXED 7
10/1/2031
7.00%
**
98,598

FNMA POOL 649952 FN 06/32 FIXED 6.5
6/1/2032
6.50%
**
1,856

FNMA POOL 725162 FN 02/34 FIXED VAR
2/1/2034
6.00%
**
61,406

FNMA POOL 725946 FN 11/34 FIXED VAR
11/1/2034
5.50%
**
144,679

FNMA POOL 735061 FN 11/34 FIXED VAR
11/1/2034
6.00%
**
1,652,224

FNMA POOL 735208 FN 10/19 FIXED VAR
10/1/2019
6.00%
**
34,684

FNMA POOL 735382 FN 04/35 FIXED VAR
4/1/2035
5.00%
**
1,111,202

FNMA POOL 735439 FN 09/19 FIXED VAR
9/1/2019
6.00%
**
34,862

FNMA POOL 735500 FN 05/35 FIXED VAR
5/1/2035
5.50%
**
1,543,619

FNMA POOL 735501 FN 05/35 FIXED VAR
5/1/2035
6.00%
**
385,327

FNMA POOL 735503 FN 04/35 FIXED VAR
4/1/2035
6.00%
**
437,477


142
Table of Contents

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

FNMA POOL 735561 FN 04/34 FLOATING VAR
4/1/2034
2.59%
**
96,062

FNMA POOL 735580 FN 06/35 FIXED VAR
6/1/2035
5.00%
**
525,782

FNMA POOL 735676 FN 07/35 FIXED VAR
7/1/2035
5.00%
**
347,274

FNMA POOL 735893 FN 10/35 FIXED VAR
10/1/2035
5.00%
**
147,094

FNMA POOL 735989 FN 02/35 FIXED VAR
2/1/2035
5.50%
**
2,306,134

FNMA POOL 745000 FN 10/35 FIXED VAR
10/1/2035
6.00%
**
77,427

FNMA POOL 745140 FN 11/35 FIXED VAR
11/1/2035
5.00%
**
1,985,578

FNMA POOL 745327 FN 03/36 FIXED VAR
3/1/2036
6.00%
**
218,691

FNMA POOL 745412 FN 12/35 FIXED VAR
12/1/2035
5.50%
**
1,151,717

FNMA POOL 745885 FN 10/36 FIXED VAR
10/1/2036
6.00%
**
767,862

FNMA POOL 745948 FN 10/36 FIXED VAR
10/1/2036
6.50%
**
85,383

FNMA POOL 745959 FN 11/36 FIXED VAR
11/1/2036
5.50%
**
520,319

FNMA POOL 758777 FN 04/28 FIXED 6.5
4/1/2028
6.50%
**
835

FNMA POOL 811569 FN 06/21 FIXED 6
6/1/2021
6.00%
**
31,842

FNMA POOL 813599 FN 01/36 FLOATING VAR
1/1/2036
2.55%
**
244,451

FNMA POOL 825480 FN 06/35 FLOATING VAR
6/1/2035
2.83%
**
186,924

FNMA POOL 827601 FN 08/19 FIXED 5.5
8/1/2019
5.50%
**
35,635

FNMA POOL 831561 FN 05/36 FIXED 6.5
5/1/2036
6.50%
**
70,986

FNMA POOL 833600 FN 11/35 FIXED 6.5
11/1/2035
6.50%
**
11,808

FNMA POOL 836464 FN 10/35 FLOATING VAR
10/1/2035
2.54%
**
1,049,186

FNMA POOL 836852 FN 10/35 FLOATING VAR
10/1/2035
2.45%
**
638,904

FNMA POOL 843823 FN 11/35 FLOATING VAR
11/1/2035
2.49%
**
537,901

FNMA POOL 843997 FN 11/35 FLOATING VAR
11/1/2035
2.54%
**
203,592

FNMA POOL 844052 FN 11/35 FLOATING VAR
11/1/2035
2.49%
**
190,529

FNMA POOL 844148 FN 11/35 FLOATING VAR
11/1/2035
2.50%
**
185,560

FNMA POOL 844237 FN 11/35 FLOATING VAR
11/1/2035
2.47%
**
171,264

FNMA POOL 844789 FN 11/35 FLOATING VAR
11/1/2035
2.44%
**
181,697

FNMA POOL 866888 FN 01/36 FLOATING VAR
1/1/2036
2.71%
**
226,499

FNMA POOL 872021 FN 06/21 FIXED 6
6/1/2021
6.00%
**
32,756

FNMA POOL 879067 FN 04/36 FLOATING VAR
4/1/2036
2.73%
**
1,265,190

FNMA POOL 879394 FN 02/21 FIXED 5
2/1/2021
5.00%
**
35,432

FNMA POOL 880870 FN 03/36 FIXED 6.5
3/1/2036
6.50%
**
14,242

FNMA POOL 884729 FN 08/36 FLOATING VAR
8/1/2036
2.86%
**
211,733

FNMA POOL 884773 FN 10/36 FLOATING VAR
10/1/2036
2.92%
**
208,928

FNMA POOL 888366 FN 04/37 FIXED VAR
4/1/2037
7.00%
**
270,112

FNMA POOL 888560 FN 11/35 FIXED VAR
11/1/2035
6.00%
**
829,291

FNMA POOL 888601 FN 06/20 FIXED VAR
6/1/2020
5.50%
**
92,592

FNMA POOL 888637 FN 09/37 FIXED VAR
9/1/2037
6.00%
**
125,133

FNMA POOL 888832 FN 11/37 FIXED VAR
11/1/2037
6.50%
**
35,176

FNMA POOL 888890 FN 10/37 FIXED VAR
10/1/2037
6.50%
**
245,226

FNMA POOL 888893 FN 08/37 FIXED VAR
8/1/2037
5.50%
**
56,018


143
Table of Contents

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

FNMA POOL 889072 FN 12/37 FIXED VAR
12/1/2037
6.50%
**
267,857

FNMA POOL 889117 FN 10/35 FIXED VAR
10/1/2035
5.00%
**
731,897

FNMA POOL 889190 FN 03/38 FIXED VAR
3/1/2038
6.00%
**
113,310

FNMA POOL 889579 FN 05/38 FIXED VAR
5/1/2038
6.00%
**
1,666,125

FNMA POOL 890116 FN 02/23 FIXED VAR
2/1/2023
7.00%
**
336,653

FNMA POOL 890236 FN 08/40 FIXED VAR
8/1/2040
4.50%
**
128,075

FNMA POOL 890248 FN 08/37 FIXED VAR
8/1/2037
6.00%
**
1,684,331

FNMA POOL 890268 FN 10/38 FIXED VAR
10/1/2038
6.50%
**
394,513

FNMA POOL 890604 FN 10/44 FIXED VAR
10/1/2044
4.50%
**
3,931,625

FNMA POOL 891654 FN 06/36 FIXED 6.5
6/1/2036
6.50%
**
189,850

FNMA POOL 902425 FN 11/36 FLOATING VAR
11/1/2036
3.31%
**
52,395

FNMA POOL 903261 FN 10/36 FIXED 6
10/1/2036
6.00%
**
98,486

FNMA POOL 906666 FN 12/36 FIXED 6.5
12/1/2036
6.50%
**
8,543

FNMA POOL 908172 FN 01/37 FIXED 6.5
1/1/2037
6.50%
**
3,646

FNMA POOL 914875 FN 04/37 FIXED 6.5
4/1/2037
6.50%
**
196,175

FNMA POOL 918653 FN 06/37 FIXED 6
6/1/2037
6.00%
**
110,860

FNMA POOL 924874 FN 10/37 FIXED 7
10/1/2037
7.00%
**
43,047

FNMA POOL 928746 FN 09/37 FIXED 6.5
9/1/2037
6.50%
**
12,035

FNMA POOL 928938 FN 12/37 FIXED 7
12/1/2037
7.00%
**
52,458

FNMA POOL 929298 FN 03/38 FIXED 5
3/1/2038
5.00%
**
244,982

FNMA POOL 930719 FN 03/19 FIXED 4.5
3/1/2019
4.50%
**
10,857

FNMA POOL 931307 FN 06/39 FIXED 4.5
6/1/2039
4.50%
**
510,947

FNMA POOL 931991 FN 09/39 FIXED 4.5
9/1/2039
4.50%
**
726,478

FNMA POOL 932058 FN 10/39 FIXED 4.5
10/1/2039
4.50%
**
592,787

FNMA POOL 932426 FN 01/40 FIXED 4.5
1/1/2040
4.50%
**
1,643,477

FNMA POOL 932495 FN 02/40 FIXED 4.5
2/1/2040
4.50%
**
166,457

FNMA POOL 932669 FN 03/40 FIXED 4.5
3/1/2040
4.50%
**
13,536

FNMA POOL 933409 FN 03/38 FIXED 5
3/1/2038
5.00%
**
216,422

FNMA POOL 933638 FN 08/38 FLOATING VAR
8/1/2038
3.00%
**
436,532

FNMA POOL 934648 FN 11/38 FIXED 7
11/1/2038
7.00%
**
228,603

FNMA POOL 942798 FN 08/37 FIXED 6.5
8/1/2037
6.50%
**
91,010

FNMA POOL 943699 FN 08/37 FIXED 6.5
8/1/2037
6.50%
**
91,385

FNMA POOL 946065 FN 09/37 FIXED 6.5
9/1/2037
6.50%
**
18,432

FNMA POOL 948849 FN 08/37 FIXED 6
8/1/2037
6.00%
**
486,027

FNMA POOL 955183 FN 11/37 FIXED 7
11/1/2037
7.00%
**
115,103

FNMA POOL 955762 FN 10/37 FIXED 6.5
10/1/2037
6.50%
**
4,052

FNMA POOL 962062 FN 03/38 FIXED 5
3/1/2038
5.00%
**
300,315

FNMA POOL 962444 FN 04/38 FIXED 5
4/1/2038
5.00%
**
146,484



144
Table of Contents

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

FNMA POOL 968252 FN 02/38 FIXED 7
2/1/2038
7.00%
**
15,006

FNMA POOL 971053 FN 02/39 FIXED 4.5
2/1/2039
4.50%
**
68,394

FNMA POOL 972242 FN 03/38 FIXED 6.5
3/1/2038
6.50%
**
2,549

FNMA POOL 972571 FN 03/38 FIXED 5
3/1/2038
5.00%
**
340,826

FNMA POOL 972572 FN 03/38 FIXED 5
3/1/2038
5.00%
**
126,005

FNMA POOL 973161 FN 02/38 FIXED 6.5
2/1/2038
6.50%
**
161,080

FNMA POOL 974156 FN 02/38 FIXED 7
2/1/2038
7.00%
**
39,695

FNMA POOL 975184 FN 03/38 FIXED 5
3/1/2038
5.00%
**
111,990

FNMA POOL 975185 FN 03/38 FIXED 5
3/1/2038
5.00%
**
124,418

FNMA POOL 975441 FN 03/38 FIXED 5
3/1/2038
5.00%
**
63,188

FNMA POOL 975453 FN 03/38 FIXED 5
3/1/2038
5.00%
**
10,286

FNMA POOL 975454 FN 03/38 FIXED 5
3/1/2038
5.00%
**
69,918

FNMA POOL 979973 FN 09/36 FIXED 5
9/1/2036
5.00%
**
16,645

FNMA POOL 984632 FN 06/38 FLOATING VAR
6/1/2038
2.94%
**
1,914,815

FNMA POOL 985626 FN 04/33 FIXED 6
4/1/2033
6.00%
**
393,360

FNMA POOL 985867 FN 08/38 FIXED 7
8/1/2038
7.00%
**
29,399

FNMA POOL 987325 FN 09/38 FLOATING VAR
9/1/2038
3.12%
**
843,896

FNMA POOL 987891 FN 09/38 FIXED 7
9/1/2038
7.00%
**
1,828

FNMA POOL 991549 FN 11/38 FIXED 7
11/1/2038
7.00%
**
43,782

FNMA POOL 992249 FN 11/38 FIXED 7
11/1/2038
7.00%
**
18,806

FNMA POOL 992262 FN 01/39 FIXED 5
1/1/2039
5.00%
**
27,407

FNMA POOL 995072 FN 08/38 FIXED VAR
8/1/2038
5.50%
**
424,055

FNMA POOL 995149 FN 10/38 FIXED VAR
10/1/2038
6.50%
**
256,022

FNMA POOL 995381 FN 01/24 FIXED VAR
1/1/2024
6.00%
**
155,261

FNMA POOL 995899 FN 02/38 FIXED VAR
2/1/2038
6.00%
**
185,234

FNMA POOL AA0472 FN 03/39 FIXED 4
3/1/2039
4.00%
**
194,613

FNMA POOL AA2700 FN 01/39 FIXED 5
1/1/2039
5.00%
**
8,547

FNMA POOL AA7693 FN 07/24 FIXED 4
7/1/2024
4.00%
**
7,256,629

FNMA POOL AB1228 FN 07/40 FIXED 5
7/1/2040
5.00%
**
52,757

FNMA POOL AB2801 FN 04/26 FIXED 3.5
4/1/2026
3.50%
**
701,578

FNMA POOL AB3701 FN 10/41 FIXED 4.5
10/1/2041
4.50%
**
1,327,268

FNMA POOL AB4058 FN 12/41 FIXED 4
12/1/2041
4.00%
**
841,308

FNMA POOL AB4590 FN 03/42 FIXED 3.5
3/1/2042
3.50%
**
842,647

FNMA POOL AB4689 FN 03/42 FIXED 3.5
3/1/2042
3.50%
**
1,120,157

FNMA POOL AB4941 FN 04/42 FIXED 3.5
4/1/2042
3.50%
**
3,714,999

FNMA POOL AB5236 FN 05/27 FIXED 3
5/1/2027
3.00%
**
598,496

FNMA POOL AB5425 FN 06/42 FIXED 3.5
6/1/2042
3.50%
**
357,388

FNMA POOL AB5546 FN 06/42 FIXED 3.5
6/1/2042
3.50%
**
867,677

FNMA POOL AB5593 FN 07/42 FIXED 3.5
7/1/2042
3.50%
**
507,122

FNMA POOL AB6136 FN 09/27 FIXED 2.5
9/1/2027
2.50%
**
3,324,405

FNMA POOL AB6229 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
2,531,815

FNMA POOL AB6238 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
656,210

FNMA POOL AB6390 FN 10/42 FIXED 3
10/1/2042
3.00%
**
364,101

FNMA POOL AB6694 FN 10/42 FIXED 3
10/1/2042
3.00%
**
731,987

FNMA POOL AB6832 FN 11/42 FIXED 3.5
11/1/2042
3.50%
**
1,966,805

FNMA POOL AB7059 FN 11/42 FIXED 2.5
11/1/2042
2.50%
**
4,009,663

FNMA POOL AB7272 FN 12/42 FIXED 3
12/1/2042
3.00%
**
1,366,049


145
Table of Contents

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

FNMA POOL AB7410 FN 12/42 FIXED 3
12/1/2042
3.00%
**
3,699,536

FNMA POOL AB7426 FN 12/42 FIXED 3
12/1/2042
3.00%
**
1,066,262

FNMA POOL AB7568 FN 01/43 FIXED 3
1/1/2043
3.00%
**
1,529,438

FNMA POOL AB7570 FN 01/43 FIXED 3
1/1/2043
3.00%
**
2,673,686

FNMA POOL AB7716 FN 01/28 FIXED 2.5
1/1/2028
2.50%
**
308,533

FNMA POOL AB7728 FN 01/43 FIXED 2.5
1/1/2043
2.50%
**
404,568

FNMA POOL AB7741 FN 01/43 FIXED 3
1/1/2043
3.00%
**
2,165,619

FNMA POOL AB8464 FN 02/43 FIXED 2.5
2/1/2043
2.50%
**
361,063

FNMA POOL AB8465 FN 02/43 FIXED 2.5
2/1/2043
2.50%
**
612,513

FNMA POOL AB9136 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
1,643,049

FNMA POOL AB9347 FN 05/43 FIXED 3
5/1/2043
3.00%
**
2,206,800

FNMA POOL AB9361 FN 05/43 FIXED 3.5
5/1/2043
3.50%
**
705,739

FNMA POOL AB9461 FN 05/43 FIXED 3
5/1/2043
3.00%
**
2,849,943

FNMA POOL AB9516 FN 05/28 FIXED 2.5
5/1/2028
2.50%
**
330,099

FNMA POOL AB9663 FN 06/43 FIXED 3
6/1/2043
3.00%
**
241,482

FNMA POOL AB9825 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
131,878

FNMA POOL AB9980 FN 07/43 FIXED 3.5
7/1/2043
3.50%
**
831,376

FNMA POOL AC0728 FN 08/39 FIXED 5
8/1/2039
5.00%
**
18,287

FNMA POOL AC1889 FN 09/39 FIXED 4
9/1/2039
4.00%
**
378,086

FNMA POOL AC2953 FN 09/39 FIXED 4.5
9/1/2039
4.50%
**
186,301

FNMA POOL AC3237 FN 10/39 FIXED 5
10/1/2039
5.00%
**
1,436,594

FNMA POOL AC9526 FN 01/40 FIXED 5.5
1/1/2040
5.50%
**
1,053,287

FNMA POOL AD0217 FN 08/37 FIXED VAR
8/1/2037
6.00%
**
110,953

FNMA POOL AD0249 FN 04/37 FIXED VAR
4/1/2037
5.50%
**
690,503

FNMA POOL AD0296 FN 12/36 FLOATING VAR
12/1/2036
3.02%
**
377,267

FNMA POOL AD0452 FN 04/21 FIXED VAR
4/1/2021
6.00%
**
584,987

FNMA POOL AD0471 FN 01/24 FIXED VAR
1/1/2024
5.50%
**
330,338

FNMA POOL AD4178 FN 06/40 FIXED 4.5
6/1/2040
4.50%
**
1,218,562

FNMA POOL AD6510 FN 05/40 FIXED 5
5/1/2040
5.00%
**
19,220

FNMA POOL AD9143 FN 08/40 FIXED 4.5
8/1/2040
4.50%
**
54,594

FNMA POOL AD9153 FN 08/40 FIXED 4.5
8/1/2040
4.50%
**
359,683

FNMA POOL AD9713 FN 08/40 FIXED 5
8/1/2040
5.00%
**
151,985

FNMA POOL AE0081 FN 07/24 FIXED VAR
7/1/2024
6.00%
**
257,845

FNMA POOL AE0113 FN 07/40 FIXED VAR
7/1/2040
4.00%
**
554,946

FNMA POOL AE0478 FN 11/40 FIXED VAR
11/1/2040
4.00%
**
9,230

FNMA POOL AE0654 FN 12/40 FLOATING VAR
12/1/2040
3.77%
**
4,342,629

FNMA POOL AE0758 FN 02/39 FIXED VAR
2/1/2039
7.00%
**
1,136,804

FNMA POOL AE0967 FN 06/39 FIXED VAR
6/1/2039
3.50%
**
1,015,589

FNMA POOL AE1840 FN 08/40 FIXED 5
8/1/2040
5.00%
**
52,970

FNMA POOL AE1862 FN 08/40 FIXED 5
8/1/2040
5.00%
**
371,744

FNMA POOL AE3505 FN 01/26 FIXED 3.5
1/1/2026
3.50%
**
238,447

FNMA POOL AE6090 FN 10/40 FIXED 4
10/1/2040
4.00%
**
411,777

FNMA POOL AE7283 FN 10/40 FIXED 4
10/1/2040
4.00%
**
17,695

FNMA POOL AH0210 FN 12/40 FIXED 4.5
12/1/2040
4.50%
**
1,520,485

FNMA POOL AH0943 FN 12/40 FIXED 4
12/1/2040
4.00%
**
1,050,590

FNMA POOL AH1115 FN 01/41 FIXED 4.5
1/1/2041
4.50%
**
2,773,794

FNMA POOL AH1508 FN 12/40 FIXED 4.5
12/1/2040
4.50%
**
1,667,155


146
Table of Contents

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

FNMA POOL AH1559 FN 12/40 FIXED 4
12/1/2040
4.00%
**
1,225,229

FNMA POOL AH1560 FN 01/41 FIXED 4
1/1/2041
4.00%
**
1,623,252

FNMA POOL AH1565 FN 12/40 FIXED 4.5
12/1/2040
4.50%
**
702,609

FNMA POOL AH2683 FN 01/41 FIXED 4
1/1/2041
4.00%
**
1,913,293

FNMA POOL AH3203 FN 01/41 FIXED 4
1/1/2041
4.00%
**
307,599

FNMA POOL AH4404 FN 01/41 FIXED 4
1/1/2041
4.00%
**
1,996,649

FNMA POOL AH5098 FN 01/41 FIXED 4
1/1/2041
4.00%
**
30,489

FNMA POOL AH6958 FN 02/41 FLOATING VAR
2/1/2041
2.92%
**
353,683

FNMA POOL AI0511 FN 04/41 FIXED 5
4/1/2041
5.00%
**
116,172

FNMA POOL AI1051 FN 06/26 FIXED 4
6/1/2026
4.00%
**
499,225

FNMA POOL AI1863 FN 05/41 FIXED 5
5/1/2041
5.00%
**
231,210

FNMA POOL AI1892 FN 05/41 FIXED 5
5/1/2041
5.00%
**
1,095,707

FNMA POOL AI2433 FN 05/41 FIXED 5
5/1/2041
5.00%
**
319,333

FNMA POOL AI2443 FN 05/41 FIXED 5
5/1/2041
5.00%
**
177,280

FNMA POOL AI2462 FN 05/41 FIXED 5
5/1/2041
5.00%
**
200,597

FNMA POOL AI2737 FN 05/41 FIXED 5
5/1/2041
5.00%
**
32,204

FNMA POOL AI4261 FN 06/41 FIXED 5
6/1/2041
5.00%
**
175,371

FNMA POOL AI7778 FN 07/41 FIXED 4
7/1/2041
4.00%
**
18,559

FNMA POOL AI8382 FN 09/26 FIXED 3.5
9/1/2026
3.50%
**
408,979

FNMA POOL AI8630 FN 07/42 FIXED 4
7/1/2042
4.00%
**
103,856

FNMA POOL AI9940 FN 09/41 FIXED 5
9/1/2041
5.00%
**
783,933

FNMA POOL AJ1884 FN 02/42 FIXED 3.5
2/1/2042
3.50%
**
807,124

FNMA POOL AJ2288 FN 09/41 FIXED 4
9/1/2041
4.00%
**
679,400

FNMA POOL AJ4051 FN 10/41 FIXED 4
10/1/2041
4.00%
**
11,301

FNMA POOL AJ7688 FN 12/41 FIXED 4
12/1/2041
4.00%
**
1,471,448

FNMA POOL AJ9317 FN 01/42 FIXED 4
1/1/2042
4.00%
**
2,424,754

FNMA POOL AJ9982 FN 08/42 FIXED 3.5
8/1/2042
3.50%
**
3,839,224

FNMA POOL AK0968 FN 02/27 FIXED 3
2/1/2027
3.00%
**
726,983

FNMA POOL AK1140 FN 02/27 FIXED 3
2/1/2027
3.00%
**
476,290

FNMA POOL AK1608 FN 01/27 FIXED 3
1/1/2027
3.00%
**
530,596

FNMA POOL AK5551 FN 04/42 FIXED 4
4/1/2042
4.00%
**
7,873,081

FNMA POOL AK6966 FN 03/27 FIXED 3
3/1/2027
3.00%
**
754,670

FNMA POOL AL0007 FN 12/34 FIXED VAR
12/1/2034
5.00%
**
1,011,513

FNMA POOL AL0009 FN 12/34 FIXED VAR
12/1/2034
5.50%
**
1,001,967

FNMA POOL AL0215 FN 04/41 FIXED VAR
4/1/2041
4.50%
**
1,754,100

FNMA POOL AL0476 FN 11/40 FIXED VAR
11/1/2040
5.00%
**
913,942

FNMA POOL AL0484 FN 05/40 FIXED VAR
5/1/2040
5.50%
**
374,787

FNMA POOL AL0533 FN 07/41 FLOATING VAR
7/1/2041
3.03%
**
1,094,146

FNMA POOL AL0998 FN 10/41 FIXED VAR
10/1/2041
4.50%
**
946,037

FNMA POOL AL1051 FN 09/41 FIXED VAR
9/1/2041
4.50%
**
617,390

FNMA POOL AL1469 FN 02/39 FIXED VAR
2/1/2039
7.00%
**
1,210,195

FNMA POOL AL1470 FN 04/37 FIXED VAR
4/1/2037
7.00%
**
491,027

FNMA POOL AL1938 FN 12/26 FIXED VAR
12/1/2026
4.00%
**
1,476,002

FNMA POOL AL1945 FN 06/42 FIXED VAR
6/1/2042
3.50%
**
596,192

FNMA POOL AL2151 FN 03/42 FIXED VAR
3/1/2042
3.50%
**
1,222,502

FNMA POOL AL2389 FN 09/42 FIXED VAR
9/1/2042
3.50%
**
1,393,520

FNMA POOL AL2683 FN 09/26 FIXED VAR
9/1/2026
4.00%
**
2,150,332


147
Table of Contents

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

FNMA POOL AL3626 FN 09/42 FIXED VAR
9/1/2042
4.00%
**
24,850

FNMA POOL AL4324 FN 05/40 FIXED VAR
5/1/2040
6.50%
**
3,932,290

FNMA POOL AL4465 FN 07/28 FIXED VAR
7/1/2028
3.00%
**
2,291,721

FNMA POOL AL4741 FN 01/44 FIXED VAR
1/1/2044
4.50%
**
923,311

FNMA POOL AL5540 FN 07/44 FIXED VAR
7/1/2044
4.50%
**
639,390

FNMA POOL AL5760 FN 09/43 FIXED VAR
9/1/2043
4.00%
**
65,550

FNMA POOL AL6308 FN 08/38 FIXED VAR
8/1/2038
5.00%
**
3,501,311

FNMA POOL AL6851 FN 10/43 FIXED VAR
10/1/2043
2.50%
**
837,351

FNMA POOL AL7204 FN 10/43 FIXED VAR
10/1/2043
5.00%
**
162,273

FNMA POOL AL8558 FN 07/41 FIXED VAR
7/1/2041
6.00%
**
582,816

FNMA POOL AM8674 FN 04/25 FIXED 2.81
4/1/2025
2.81%
**
168,995

FNMA POOL AN0360 FN 12/45 FIXED 3.95
12/1/2045
3.95%
**
4,446,306

FNMA POOL AO0454 FN 08/42 FIXED 3.5
8/1/2042
3.50%
**
717,597

FNMA POOL AO0527 FN 05/27 FIXED 3
5/1/2027
3.00%
**
492,844

FNMA POOL AO4135 FN 06/42 FIXED 3.5
6/1/2042
3.50%
**
2,056,431

FNMA POOL AO4688 FN 07/43 FIXED 3
7/1/2043
3.00%
**
3,069,927

FNMA POOL AO6482 FN 07/42 FLOATING VAR
7/1/2042
2.26%
**
136,601

FNMA POOL AO7348 FN 08/42 FIXED 4
8/1/2042
4.00%
**
629,959

FNMA POOL AO8156 FN 08/27 FIXED 3
8/1/2027
3.00%
**
4,315,428

FNMA POOL AP0006 FN 07/42 FLOATING VAR
7/1/2042
2.02%
**
823,513

FNMA POOL AP2611 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
632,402

FNMA POOL AP3308 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
614,594

FNMA POOL AP3902 FN 10/42 FIXED 3
10/1/2042
3.00%
**
582,684

FNMA POOL AP4710 FN 08/42 FIXED 3.5
8/1/2042
3.50%
**
1,377,264

FNMA POOL AP5143 FN 09/42 FIXED 3
9/1/2042
3.00%
**
706,109

FNMA POOL AP6027 FN 04/43 FIXED 3
4/1/2043
3.00%
**
730,011

FNMA POOL AP6032 FN 04/43 FIXED 3
4/1/2043
3.00%
**
756,228

FNMA POOL AP6053 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
226,060

FNMA POOL AP6054 FN 07/43 FIXED 3
7/1/2043
3.00%
**
71,050

FNMA POOL AP8057 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
736,434

FNMA POOL AP8903 FN 10/42 FIXED 3.5
10/1/2042
3.50%
**
672,748

FNMA POOL AP9539 FN 10/42 FIXED 3
10/1/2042
3.00%
**
356,115

FNMA POOL AP9766 FN 10/42 FIXED 4
10/1/2042
4.00%
**
2,115,205

FNMA POOL AQ0556 FN 11/42 FIXED 3
11/1/2042
3.00%
**
2,605,141

FNMA POOL AQ1802 FN 10/42 FIXED 3.5
10/1/2042
3.50%
**
518,719

FNMA POOL AQ5971 FN 12/42 FIXED 3
12/1/2042
3.00%
**
705,082

FNMA POOL AQ7192 FN 07/43 FIXED 3
7/1/2043
3.00%
**
143,153

FNMA POOL AQ8359 FN 01/43 FIXED 3
1/1/2043
3.00%
**
711,482

FNMA POOL AQ8653 FN 12/42 FIXED 2.5
12/1/2042
2.50%
**
587,110

FNMA POOL AQ9990 FN 02/43 FIXED 2.5
2/1/2043
2.50%
**
1,455,755

FNMA POOL AR2602 FN 02/43 FIXED 2.5
2/1/2043
2.50%
**
507,820

FNMA POOL AR2638 FN 02/43 FIXED 3.5
2/1/2043
3.50%
**
719,826

FNMA POOL AR3368 FN 02/28 FIXED 2.5
2/1/2028
2.50%
**
265,252

FNMA POOL AR4343 FN 06/43 FIXED 3
6/1/2043
3.00%
**
459,991

FNMA POOL AR4473 FN 03/28 FIXED 2.5
3/1/2028
2.50%
**
2,064,556

FNMA POOL AR7182 FN 03/43 FIXED 2.5
3/1/2043
2.50%
**
576,536

FNMA POOL AR7213 FN 05/43 FIXED 2.5
5/1/2043
2.50%
**
637,457


148
Table of Contents

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

FNMA POOL AR7214 FN 06/43 FIXED 3
6/1/2043
3.00%
**
2,902,548

FNMA POOL AR7399 FN 06/43 FIXED 3
6/1/2043
3.00%
**
190,402

FNMA POOL AR7970 FN 03/43 FIXED 2.5
3/1/2043
2.50%
**
585,915

FNMA POOL AR8600 FN 07/43 FIXED 2.5
7/1/2043
2.50%
**
802,652

FNMA POOL AR8749 FN 03/43 FIXED 3
3/1/2043
3.00%
**
2,993,790

FNMA POOL AR9203 FN 03/43 FIXED 3.5
3/1/2043
3.50%
**
1,786,381

FNMA POOL AS0047 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
843,906

FNMA POOL AS0070 FN 08/43 FIXED 4
8/1/2043
4.00%
**
768,425

FNMA POOL AS0302 FN 08/43 FIXED 3
8/1/2043
3.00%
**
148,614

FNMA POOL AS0522 FN 09/43 FIXED 3.5
9/1/2043
3.50%
**
336,352

FNMA POOL AS0838 FN 10/43 FIXED 5
10/1/2043
5.00%
**
358,859

FNMA POOL AS1364 FN 12/43 FIXED 3
12/1/2043
3.00%
**
133,975

FNMA POOL AS1774 FN 02/44 FIXED 4
2/1/2044
4.00%
**
334,184

FNMA POOL AS2117 FN 04/44 FIXED 4
4/1/2044
4.00%
**
14,683

FNMA POOL AS2369 FN 05/29 FIXED 3.5
5/1/2029
3.50%
**
2,064,537

FNMA POOL AS3282 FN 10/43 FIXED 3
10/1/2043
3.00%
**
299,769

FNMA POOL AS3293 FN 09/44 FIXED 4
9/1/2044
4.00%
**
1,613,188

FNMA POOL AS4271 FN 01/45 FIXED 4.5
1/1/2045
4.50%
**
351,448

FNMA POOL AS4302 FN 01/45 FIXED 4
1/1/2045
4.00%
**
1,794,493

FNMA POOL AS4354 FN 01/45 FIXED 4.5
1/1/2045
4.50%
**
2,796,348

FNMA POOL AS4427 FN 02/45 FIXED 4.5
2/1/2045
4.50%
**
2,330,199

FNMA POOL AS4431 FN 02/45 FIXED 4.5
2/1/2045
4.50%
**
1,262,741

FNMA POOL AS5068 FN 06/45 FIXED 3.5
6/1/2045
3.50%
**
221,752

FNMA POOL AS5103 FN 06/30 FIXED 3
6/1/2030
3.00%
**
5,966,585

FNMA POOL AS5598 FN 08/45 FIXED 4
8/1/2045
4.00%
**
1,826,912

FNMA POOL AS5722 FN 09/45 FIXED 3.5
9/1/2045
3.50%
**
19,851,891

FNMA POOL AS6065 FN 10/45 FIXED 3.5
10/1/2045
3.50%
**
536,369

FNMA POOL AS6067 FN 10/45 FIXED 3.5
10/1/2045
3.50%
**
25,741,586

FNMA POOL AS6286 FN 12/45 FIXED 4
12/1/2045
4.00%
**
4,097,520

FNMA POOL AS6304 FN 12/45 FIXED 4
12/1/2045
4.00%
**
6,177,447

FNMA POOL AS6315 FN 12/45 FIXED 4
12/1/2045
4.00%
**
273,847

FNMA POOL AS6328 FN 12/45 FIXED 3.5
12/1/2045
3.50%
**
5,971,021

FNMA POOL AS6386 FN 12/45 FIXED 3
12/1/2045
3.00%
**
429,546

FNMA POOL AS6395 FN 12/45 FIXED 3.5
12/1/2045
3.50%
**
293,082

FNMA POOL AS6452 FN 01/46 FIXED 3.5
1/1/2046
3.50%
**
977,181

FNMA POOL AS6489 FN 01/46 FIXED 4
1/1/2046
4.00%
**
2,901,297

FNMA POOL AS6534 FN 01/46 FIXED 3.5
1/1/2046
3.50%
**
9,752,330

FNMA POOL AS7125 FN 05/46 FIXED 2.5
5/1/2046
2.50%
**
1,406,869

FNMA POOL AS7530 FN 07/46 FIXED 2.5
7/1/2046
2.50%
**
2,094,290

FNMA POOL AS7693 FN 08/31 FIXED 2
8/1/2031
2.00%
**
2,299,676

FNMA POOL AS7877 FN 09/46 FIXED 2.5
9/1/2046
2.50%
**
2,126,341

FNMA POOL AS8249 FN 11/36 FIXED 3
11/1/2036
3.00%
**
4,524,337

FNMA POOL AT0162 FN 03/43 FIXED 2.5
3/1/2043
2.50%
**
617,139

FNMA POOL AT0238 FN 03/43 FIXED 2.5
3/1/2043
2.50%
**
956,988

FNMA POOL AT0333 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
800,431

FNMA POOL AT0874 FN 07/43 FIXED 3
7/1/2043
3.00%
**
137,281

FNMA POOL AT1572 FN 05/43 FIXED 3
5/1/2043
3.00%
**
2,995,239


149
Table of Contents

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

FNMA POOL AT2008 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
674,743

FNMA POOL AT2043 FN 04/43 FIXED 3
4/1/2043
3.00%
**
76,376

FNMA POOL AT2722 FN 05/43 FIXED 3
5/1/2043
3.00%
**
1,374,029

FNMA POOL AT2725 FN 05/43 FIXED 3
5/1/2043
3.00%
**
14,897,518

FNMA POOL AT2894 FN 05/28 FIXED 2.5
5/1/2028
2.50%
**
344,380

FNMA POOL AT3389 FN 08/43 FIXED 3
8/1/2043
3.00%
**
785,527

FNMA POOL AT3487 FN 04/43 FIXED 3.5
4/1/2043
3.50%
**
2,686,766

FNMA POOL AT5198 FN 05/43 FIXED 2.5
5/1/2043
2.50%
**
467,620

FNMA POOL AT5612 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
682,836

FNMA POOL AT5690 FN 06/43 FIXED 3
6/1/2043
3.00%
**
120,923

FNMA POOL AT5803 FN 06/43 FIXED 3
6/1/2043
3.00%
**
116,527

FNMA POOL AT5994 FN 05/43 FIXED 3
5/1/2043
3.00%
**
272,777

FNMA POOL AT5995 FN 05/43 FIXED 3
5/1/2043
3.00%
**
165,037

FNMA POOL AT6656 FN 05/43 FIXED 2.5
5/1/2043
2.50%
**
667,682

FNMA POOL AT6764 FN 07/43 FIXED 3
7/1/2043
3.00%
**
85,278

FNMA POOL AT7213 FN 06/28 FIXED 2.5
6/1/2028
2.50%
**
124,030

FNMA POOL AT7620 FN 06/43 FIXED 3
6/1/2043
3.00%
**
2,168,886

FNMA POOL AT8000 FN 06/43 FIXED 3
6/1/2043
3.00%
**
154,724

FNMA POOL AT8326 FN 06/43 FIXED 3
6/1/2043
3.00%
**
2,807,357

FNMA POOL AT8419 FN 06/43 FIXED 3
6/1/2043
3.00%
**
398,593

FNMA POOL AT8489 FN 08/43 FIXED 3
8/1/2043
3.00%
**
3,147,515

FNMA POOL AT8968 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
245,313

FNMA POOL AT9250 FN 07/43 FIXED 3
7/1/2043
3.00%
**
2,681,004

FNMA POOL AT9311 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
174,195

FNMA POOL AT9521 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
385,214

FNMA POOL AU1130 FN 09/43 FIXED 2.5
9/1/2043
2.50%
**
534,287

FNMA POOL AU1629 FN 07/43 FIXED 3
7/1/2043
3.00%
**
210,202

FNMA POOL AU1811 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
175,153

FNMA POOL AU1888 FN 06/28 FIXED 2.5
6/1/2028
2.50%
**
1,180,800

FNMA POOL AU2032 FN 07/43 FIXED 3
7/1/2043
3.00%
**
211,860

FNMA POOL AU3034 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
87,740

FNMA POOL AU3176 FN 08/43 FIXED 3
8/1/2043
3.00%
**
216,252

FNMA POOL AU3191 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
435,415

FNMA POOL AU3195 FN 08/43 FIXED 3
8/1/2043
3.00%
**
195,804

FNMA POOL AU3334 FN 07/28 FIXED 2.5
7/1/2028
2.50%
**
413,093

FNMA POOL AU3732 FN 08/43 FIXED 2.5
8/1/2043
2.50%
**
1,681,629

FNMA POOL AU3736 FN 08/43 FIXED 3
8/1/2043
3.00%
**
4,235,088

FNMA POOL AU3789 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
266,751

FNMA POOL AU3811 FN 08/43 FIXED 3
8/1/2043
3.00%
**
167,013

FNMA POOL AU4278 FN 09/43 FIXED 2.5
9/1/2043
2.50%
**
548,223

FNMA POOL AU4346 FN 07/43 FIXED 3.5
7/1/2043
3.50%
**
1,006,095

FNMA POOL AU4585 FN 08/43 FIXED 3
8/1/2043
3.00%
**
181,241

FNMA POOL AU5161 FN 08/43 FIXED 3
8/1/2043
3.00%
**
3,807,460

FNMA POOL AU5190 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
325,265

FNMA POOL AU5202 FN 08/43 FIXED 3
8/1/2043
3.00%
**
156,076

FNMA POOL AU5904 FN 09/33 FIXED 3.5
9/1/2033
3.50%
**
705,003

FNMA POOL AU8066 FN 09/43 FIXED 3
9/1/2043
3.00%
**
195,905


150
Table of Contents

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

FNMA POOL AV0702 FN 12/43 FIXED 4
12/1/2043
4.00%
**
510,013

FNMA POOL AV0802 FN 08/28 FIXED 2.5
8/1/2028
2.50%
**
47,147

FNMA POOL AV2425 FN 02/45 FIXED 4
2/1/2045
4.00%
**
405,353

FNMA POOL AV4486 FN 01/44 FIXED 4.5
1/1/2044
4.50%
**
305,722

FNMA POOL AV4502 FN 01/44 FIXED 4.5
1/1/2044
4.50%
**
352,223

FNMA POOL AV4736 FN 12/43 FIXED 4
12/1/2043
4.00%
**
516,821

FNMA POOL AV5425 FN 01/44 FIXED 4.5
1/1/2044
4.50%
**
2,247,424

FNMA POOL AV5667 FN 01/44 FIXED 4
1/1/2044
4.00%
**
330,193

FNMA POOL AV5730 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
797,037

FNMA POOL AV5731 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
492,766

FNMA POOL AV5732 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
320,256

FNMA POOL AV5733 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
379,365

FNMA POOL AV5734 FN 04/44 FIXED 4.5
4/1/2044
4.50%
**
557,339

FNMA POOL AV7116 FN 03/44 FIXED 4.5
3/1/2044
4.50%
**
374,505

FNMA POOL AV8492 FN 02/44 FIXED 4.5
2/1/2044
4.50%
**
657,275

FNMA POOL AV9290 FN 02/44 FIXED 4.5
2/1/2044
4.50%
**
1,148,030

FNMA POOL AW3146 FN 06/44 FIXED 4
6/1/2044
4.00%
**
772,520

FNMA POOL AW9504 FN 01/45 FIXED 3
1/1/2045
3.00%
**
158,812

FNMA POOL AX1348 FN 10/44 FIXED 4
10/1/2044
4.00%
**
54,895

FNMA POOL AX3719 FN 07/27 FIXED 3.5
7/1/2027
3.50%
**
1,064,564

FNMA POOL AX4277 FN 01/45 FIXED 3
1/1/2045
3.00%
**
1,329,980

FNMA POOL AX4883 FN 12/44 FIXED 3
12/1/2044
3.00%
**
3,961,843

FNMA POOL AX4927 FN 12/44 FIXED 3
12/1/2044
3.00%
**
384,661

FNMA POOL AX6579 FN 01/45 FIXED 3
1/1/2045
3.00%
**
190,746

FNMA POOL AX7578 FN 01/45 FIXED 3
1/1/2045
3.00%
**
197,958

FNMA POOL AX9603 FN 03/45 FIXED 3
3/1/2045
3.00%
**
411,005

FNMA POOL AY1022 FN 05/45 FIXED 3
5/1/2045
3.00%
**
1,852,605

FNMA POOL AY1363 FN 04/45 FIXED 4
4/1/2045
4.00%
**
810,730

FNMA POOL AY1377 FN 04/45 FIXED 4
4/1/2045
4.00%
**
521,636

FNMA POOL AY3913 FN 02/45 FIXED 3.5
2/1/2045
3.50%
**
799,761

FNMA POOL AY4156 FN 03/45 FIXED 3
3/1/2045
3.00%
**
311,426

FNMA POOL AY4869 FN 06/45 FIXED 4
6/1/2045
4.00%
**
915,567

FNMA POOL AY5484 FN 12/44 FIXED 4
12/1/2044
4.00%
**
21,133

FNMA POOL AY9434 FN 12/45 FIXED 4
12/1/2045
4.00%
**
271,957

FNMA POOL AZ0711 FN 02/46 FIXED 3.5
2/1/2046
3.50%
**
184,389

FNMA POOL AZ3743 FN 11/45 FIXED 3.5
11/1/2045
3.50%
**
2,356,030

FNMA POOL AZ3926 FN 10/45 FIXED 4
10/1/2045
4.00%
**
32,296

FNMA POOL AZ4234 FN 06/30 FIXED 3
6/1/2030
3.00%
**
6,605,473

FNMA POOL AZ4775 FN 10/45 FIXED 3.5
10/1/2045
3.50%
**
12,439,486

FNMA POOL AZ5713 FN 09/45 FIXED 4
9/1/2045
4.00%
**
3,781,825

FNMA POOL AZ7353 FN 11/45 FIXED 3.5
11/1/2045
3.50%
**
1,116,255

FNMA POOL BA3779 FN 01/46 FIXED 4
1/1/2046
4.00%
**
34,139

FNMA POOL BA4766 FN 01/46 FIXED 4
1/1/2046
4.00%
**
893,697

FNMA POOL BA4780 FN 01/46 FIXED 4
1/1/2046
4.00%
**
17,355,554

FNMA POOL BA4801 FN 02/46 FIXED 4
2/1/2046
4.00%
**
3,939,864

FNMA POOL BA5330 FN 11/45 FIXED 4
11/1/2045
4.00%
**
46,431

FNMA POOL BA5827 FN 11/30 FIXED 3
11/1/2030
3.00%
**
976,655


151
Table of Contents

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

FNMA POOL BA6018 FN 01/46 FIXED 3
1/1/2046
3.00%
**
41,471

FNMA POOL BA6555 FN 01/46 FIXED 3
1/1/2046
3.00%
**
53,785

FNMA POOL BA6798 FN 01/46 FIXED 4
1/1/2046
4.00%
**
912,688

FNMA POOL BA6824 FN 02/46 FIXED 3
2/1/2046
3.00%
**
839,634

FNMA POOL BA6924 FN 02/46 FIXED 3
2/1/2046
3.00%
**
102,341

FNMA POOL BC1104 FN 02/46 FIXED 3
2/1/2046
3.00%
**
734,938

FNMA POOL BC3020 FN 02/46 FIXED 3
2/1/2046
3.00%
**
879,046

FNMA POOL BC3883 FN 03/46 FIXED 4
3/1/2046
4.00%
**
1,991,438

FNMA POOL MA0214 FN 10/29 FIXED 5
10/1/2029
5.00%
**
724,935

FNMA POOL MA0243 FN 11/29 FIXED 5
11/1/2029
5.00%
**
523,615

FNMA POOL MA0295 FN 01/30 FIXED 5
1/1/2030
5.00%
**
331,147

FNMA POOL MA0583 FN 12/40 FIXED 4
12/1/2040
4.00%
**
8,122

FNMA POOL MA0706 FN 04/31 FIXED 4.5
4/1/2031
4.50%
**
297,149

FNMA POOL MA0734 FN 05/31 FIXED 4.5
5/1/2031
4.50%
**
914,928

FNMA POOL MA0776 FN 06/31 FIXED 4.5
6/1/2031
4.50%
**
921,594

FNMA POOL MA0816 FN 08/31 FIXED 4.5
8/1/2031
4.50%
**
693,617

FNMA POOL MA0833 FN 08/21 FIXED 3
8/1/2021
3.00%
**
128,617

FNMA POOL MA0913 FN 11/31 FIXED 4.5
11/1/2031
4.50%
**
628,837

FNMA POOL MA0939 FN 12/31 FIXED 4.5
12/1/2031
4.50%
**
722,946

FNMA POOL MA0968 FN 12/31 FIXED 4.5
12/1/2031
4.50%
**
138,384

FNMA POOL MA1044 FN 04/42 FIXED 3
4/1/2042
3.00%
**
213,279

FNMA POOL MA1146 FN 08/42 FIXED 4
8/1/2042
4.00%
**
6,088,410

FNMA POOL MA1177 FN 09/42 FIXED 3.5
9/1/2042
3.50%
**
446,437

FNMA POOL MA1221 FN 09/42 FIXED 4.5
9/1/2042
4.50%
**
141,478

FNMA POOL MA1253 FN 11/42 FIXED 4
11/1/2042
4.00%
**
1,669,525

FNMA POOL MA1272 FN 12/42 FIXED 3
12/1/2042
3.00%
**
1,543,168

FNMA POOL MA1412 FN 04/43 FIXED 2.5
4/1/2043
2.50%
**
648,859

FNMA POOL MA1458 FN 06/43 FIXED 3
6/1/2043
3.00%
**
1,380,699

FNMA POOL MA1493 FN 06/43 FIXED 2.5
6/1/2043
2.50%
**
421,645

FNMA POOL MA1510 FN 07/43 FIXED 4
7/1/2043
4.00%
**
82,385

FNMA POOL MA1547 FN 08/43 FIXED 4
8/1/2043
4.00%
**
514,318

FNMA POOL MA1582 FN 09/43 FIXED 3.5
9/1/2043
3.50%
**
3,561,489

FNMA POOL MA1591 FN 09/43 FIXED 4.5
9/1/2043
4.50%
**
1,689,220

FNMA POOL MA1629 FN 10/43 FIXED 4.5
10/1/2043
4.50%
**
1,597,619

FNMA POOL MA1664 FN 11/43 FIXED 4.5
11/1/2043
4.50%
**
1,064,376

FNMA POOL MA1711 FN 12/43 FIXED 4.5
12/1/2043
4.50%
**
1,323,109

FNMA POOL MA1728 FN 11/33 FIXED 5
11/1/2033
5.00%
**
306,761

FNMA POOL MA2189 FN 02/45 FIXED 3
2/1/2045
3.00%
**
85,105

FNMA POOL MA2516 FN 01/46 FIXED 3
1/1/2046
3.00%
**
1,418,105

FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE
1/23/2032
2.50%
**
3,004,746

FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE
1/23/2032
3.00%
**
61,878,166

FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE
1/23/2032
3.50%
**
80,324,044

FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
1/18/2047
3.00%
**
31,987,924

FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
2/13/2047
3.00%
**
37,692,576

FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
1/18/2047
3.50%
**
322,440,429

FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
2/13/2047
3.50%
**
83,098,369

FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
1/18/2047
4.00%
**
27,859,678


152
Table of Contents

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

FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
2/13/2047
4.00%
**
38,216,446

FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
1/18/2047
4.50%
**
5,377,930

FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
1/18/2047
5.00%
**
7,189,876

FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE
1/18/2047
5.50%
**
2,223,281

FORD CREDIT AUTO LEASE TRUST FORDL 2016 A A2A
11/15/2018
1.42%
**
5,145,619

FORD CREDIT AUTO OWNER TRUST FORDO 2013 B B
10/15/2018
1.11%
**
4,818,198

FORD CREDIT AUTO OWNER TRUST FORDO 2013 C A4
10/15/2018
1.25%
**
392,430

FORD CREDIT AUTO OWNER TRUST FORDO 2013 D A3
4/15/2018
0.67%
**
59,593

FORD CREDIT AUTO OWNER TRUST FORDO 2014 A A3
5/15/2018
0.79%
**
214,355

FORD CREDIT AUTO OWNER TRUST FORDO 2014 B A3
10/15/2018
0.90%
**
591,750

FORD CREDIT AUTO OWNER TRUST FORDO 2015 B A3
11/15/2019
1.16%
**
5,056,469

FORD CREDIT AUTO OWNER TRUST FORDO 2016 B A3
10/15/2020
1.33%
**
464,799

FORD CREDIT AUTO OWNER TRUST FORDO 2016 B A4
8/15/2021
1.52%
**
6,703,615

FORD CREDIT AUTO OWNER TRUST FORDO 2016 C A4
2/15/2022
1.40%
**
3,666,730

FORD CREDIT AUTO OWNER TRUST/F FORDR 2014 2 A 144A
4/15/2026
2.31%
**
2,440,240

FORD CREDIT AUTO OWNER TRUST/F FORDR 2015 1 A 144A
7/15/2026
2.12%
**
4,308,467

FORD CREDIT AUTO OWNER TRUST/F FORDR 2016 1 A 144A
8/15/2027
2.31%
**
10,080,390

FORD CREDIT AUTO OWNER TRUST/F FORDR 2016 2 A 144A
12/15/2027
2.03%
**
10,228,195

FORD CREDIT FLOORPLAN MASTER O FORDF 2014 2 A
2/15/2021
1.20%
**
6,860,399

FORD CREDIT FLOORPLAN MASTER O FORDF 2015 4 A2
8/15/2020
1.30%
**
2,937,551

FORD CREDIT FLOORPLAN MASTER O FORDF 2016 3 A2
7/15/2021
1.32%
**
1,702,991

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/18 2.145
1/9/2018
2.15%
**
941,361

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/18 2.375
1/16/2018
2.38%
**
1,229,465

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/19 2.943
1/8/2019
2.94%
**
3,145,491

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/20 8.125
1/15/2020
8.13%
**
25,185,473

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/21 3.2
1/15/2021
3.20%
**
2,703,939

FORD MOTOR CREDIT CO LLC SR UNSECURED 02/17 4.25
2/3/2017
4.25%
**
1,001,969

FORD MOTOR CREDIT CO LLC SR UNSECURED 02/21 5.75
2/1/2021
5.75%
**
2,363,132

FORD MOTOR CREDIT CO LLC SR UNSECURED 03/17 1.461
3/27/2017
1.46%
**
4,550,728

FORD MOTOR CREDIT CO LLC SR UNSECURED 03/19 2.375
3/12/2019
2.38%
**
599,644

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/18 5
5/15/2018
5.00%
**
21,522,454

FORD MOTOR CREDIT CO LLC SR UNSECURED 06/17 3
6/12/2017
3.00%
**
915,297

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/17 6.625
8/15/2017
6.63%
**
717,181

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/19 1.897
8/12/2019
1.90%
**
1,785,775

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/21 5.875
8/2/2021
5.88%
**
1,236,892

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/25 4.134
8/4/2025
4.13%
**
5,061,076

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/17 1.684
9/8/2017
1.68%
**
4,488,725

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/22 4.25
9/20/2022
4.25%
**
3,606,005

FORD MOTOR CREDIT CO LLC SR UNSECURED 10/18 2.551
10/5/2018
2.55%
**
239,339

FORD MOTOR CREDIT CO LLC SR UNSECURED 10/18 2.875
10/1/2018
2.88%
**
505,972

FORD MOTOR CREDIT CO LLC SR UNSECURED 11/19 2.597
11/4/2019
2.60%
**
993,522

FOREST LABORATORIES LLC COMPANY GUAR 144A 02/19 4.375
2/1/2019
4.38%
**
493,591

FORTIVE CORPORATION SR UNSECURED 144A 06/19 1.8
6/15/2019
1.80%
**
2,489,421

FORWARDS CCSALTUS9 COC USD FWCC CASH COLLATERAL USD
 
 
**
266,000

FOUR TIMES SQUARE TRUST FTST 2006 4TS A 144A
12/13/2028
5.40%
**
2,194,162

FREDDIE MAC STACR STACR 2014 DN1 M2
2/25/2024
2.78%
**
6,097,233

FREDDIE MAC STACR STACR 2014 HQ1 M2
8/25/2024
3.08%
**
3,394,343


153
Table of Contents

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

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/3/2017
 
**
1,238,000

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/17 0.00000
1/5/2017
 
**
4,999,895

FREDDIE MAC FHR 2135 OH
3/15/2029
6.50%
**
182,386

FREDDIE MAC FHR 2248 FB
9/15/2030
1.20%
**
6,437

FREDDIE MAC FHR 2319 PZ
5/15/2031
6.50%
**
447,332

FREDDIE MAC FHR 2410 PF
2/15/2032
1.68%
**
1,352,858

FREDDIE MAC FHR 2541 EQ
12/15/2017
5.00%
**
89,820

FREDDIE MAC FHR 2564 HJ
2/15/2018
5.00%
**
36,428

FREDDIE MAC FHR 2638 JG
2/15/2033
5.00%
**
380,341

FREDDIE MAC FHR 2649 KA
7/15/2018
4.50%
**
113,494

FREDDIE MAC FHR 2707 QE
11/15/2018
4.50%
**
217,551

FREDDIE MAC FHR 2764 UE
10/15/2032
5.00%
**
153,090

FREDDIE MAC FHR 2780 YD
4/15/2019
5.00%
**
26,678

FREDDIE MAC FHR 2812 FL
2/15/2023
0.90%
**
238,001

FREDDIE MAC FHR 3055 CF
10/15/2035
1.11%
**
592,318

FREDDIE MAC FHR 3117 FE
2/15/2036
1.00%
**
926,666

FREDDIE MAC FHR 3150 FA
5/15/2036
1.05%
**
2,885,685

FREDDIE MAC FHR 3209 EG
8/15/2020
4.50%
**
384,790

FREDDIE MAC FHR 3221 FW
9/15/2036
1.12%
**
1,645,181

FREDDIE MAC FHR 3231 FA
10/15/2036
1.10%
**
1,019,930

FREDDIE MAC FHR 3361 PF
8/15/2035
1.15%
**
4,283,565

FREDDIE MAC FHR 3404 FB
1/15/2038
1.70%
**
2,760,941

FREDDIE MAC FHR 3439 CY
4/15/2023
4.50%
**
849,100

FREDDIE MAC FHR 3571 FL
8/15/2036
1.64%
**
794,843

FREDDIE MAC FHR 3578 VZ
8/15/2036
5.50%
**
962,210

FREDDIE MAC FHR 3609 FA
12/15/2039
1.36%
**
7,552,466

FREDDIE MAC FHR 3613 HJ
12/15/2039
5.50%
**
848,962

FREDDIE MAC FHR 3616 FG
3/15/2032
1.35%
**
1,004,024

FREDDIE MAC FHR 3649 BW
3/15/2025
4.00%
**
290,110

FREDDIE MAC FHR 3653 HJ
4/15/2040
5.00%
**
303,701

FREDDIE MAC FHR 3680 MA
7/15/2039
4.50%
**
434,569

FREDDIE MAC FHR 3786 NA
7/15/2040
4.50%
**
2,036,749

FREDDIE MAC FHR 3786 P
1/15/2041
4.00%
**
14,098,017

FREDDIE MAC FHR 3843 GH
10/15/2039
3.75%
**
1,165,495

FREDDIE MAC FHR 3877 FA
11/15/2040
1.05%
**
2,836,926

FREDDIE MAC FHR 4042 EB
8/15/2039
6.50%
**
1,979,803

FREDDIE MAC FHR 4102 CE
11/15/2040
1.50%
**
1,350,070

FREDDIE MAC FHR 4118 PD
5/15/2042
1.50%
**
670,673

FREDDIE MAC FHR 4227 VA
10/15/2037
3.50%
**
1,637,893

FREDDIE MAC FHR 4229 MA
5/15/2041
3.50%
**
2,399,306

FREDDIE MAC FHR 4239 AB
12/15/2039
4.00%
**
9,163,593

FREDDIE MAC FHR 4305 A
6/15/2048
3.50%
**
2,725,939

FREDDIE MAC FHR 4305 KA
3/15/2038
3.00%
**
1,777,447

FREDDIE MAC FHR 4384 LA
9/15/2040
3.50%
**
10,908,138

FREDDIE MAC FHR 4462 KA
1/15/2045
3.50%
**
14,732,122

FREDDIE MAC FHR 4569 JA
3/15/2042
3.00%
**
9,632,473

FREDDIE MAC FHR 4582 PA
11/15/2045
3.00%
**
23,952,811


154
Table of Contents

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

FREDDIE MAC NOTES 02/17 0.875
2/22/2017
0.88%
**
5,002,240

FREDDIE MAC NOTES 03/17 1
3/8/2017
1.00%
**
3,602,884

FREDDIE MAC NOTES 07/17 0.75
7/14/2017
0.75%
**
3,500,578

FREDDIE MAC NOTES 07/19 0.875
7/19/2019
0.88%
**
1,973,582

FREDDIE MAC NOTES 10/18 0.875
10/12/2018
0.88%
**
1,193,478

FREDDIE MAC WHOLE LOAN FHW 2005 S001 2A2
9/25/2045
0.91%
**
718,718

FREEPORT MCMORAN INC COMPANY GUAR 11/21 4
11/14/2021
4.00%
**
1,082,250

FREMF MORTGAGE TRUST FREMF 2013 KF02 C 144A
12/25/2045
4.53%
**
227,799

GATX CORP SR UNSECURED 03/19 2.5
3/15/2019
2.50%
**
9,724,815

GE CAPITAL INTL FUNDING COMPANY GUAR 11/20 2.342
11/15/2020
2.34%
**
5,910,179

GE CAPITAL INTL FUNDING COMPANY GUAR 11/25 3.373
11/15/2025
3.37%
**
1,799,340

GE CAPITAL INTL FUNDING COMPANY GUAR 11/35 4.418
11/15/2035
4.42%
**
4,610,791

GE COMMERCIAL MORTGAGE CORPORA GECMC 2007 C1 A1A
12/10/2049
5.48%
**
2,485,496

GENERAL DYNAMICS CORP COMPANY GUAR 11/22 2.25
11/15/2022
2.25%
**
884,189

GENERAL ELECTRIC CO SR UNSECURED 01/17 2.9
1/9/2017
2.90%
**
800,283

GENERAL ELECTRIC CO SR UNSECURED 01/20 2.2
1/9/2020
2.20%
**
1,481,807

GENERAL ELECTRIC CO SR UNSECURED 01/20 5.5
1/8/2020
5.50%
**
986,126

GENERAL ELECTRIC CO SR UNSECURED 01/21 4.625
1/7/2021
4.63%
**
86,865

GENERAL ELECTRIC CO SR UNSECURED 01/23 3.1
1/9/2023
3.10%
**
9,688,840

GENERAL ELECTRIC CO SR UNSECURED 01/39 6.875
1/10/2039
6.88%
**
465,281

GENERAL ELECTRIC CO SR UNSECURED 03/44 4.5
3/11/2044
4.50%
**
1,084,210

GENERAL ELECTRIC CO SR UNSECURED 05/20 5.55
5/4/2020
5.55%
**
469,510

GENERAL ELECTRIC CO SR UNSECURED 09/17 5.625
9/15/2017
5.63%
**
278,301

GENERAL ELECTRIC CO SR UNSECURED 09/20 4.375
9/16/2020
4.38%
**
75,240

GENERAL ELECTRIC CO SR UNSECURED 10/21 4.65
10/17/2021
4.65%
**
180,995

GENERAL ELECTRIC CO SR UNSECURED 10/22 2.7
10/9/2022
2.70%
**
699,871

GENERAL ELECTRIC CO SUBORDINATED 02/21 5.3
2/11/2021
5.30%
**
2,790,390

GENERAL MILLS INC SR UNSECURED 02/19 5.65
2/15/2019
5.65%
**
215,029

GENERAL MOTORS CO SR UNSECURED 10/18 3.5
10/2/2018
3.50%
**
7,108,710

GENERAL MOTORS FINL CO COMPANY GUAR 01/19 3.1
1/15/2019
3.10%
**
3,986,868

GENERAL MOTORS FINL CO COMPANY GUAR 03/26 5.25
3/1/2026
5.25%
**
4,522,364

GENERAL MOTORS FINL CO COMPANY GUAR 05/19 2.4
5/9/2019
2.40%
**
3,865,733

GENERAL MOTORS FINL CO COMPANY GUAR 05/23 3.7
5/9/2023
3.70%
**
2,371,409

GENERAL MOTORS FINL CO COMPANY GUAR 07/21 3.2
7/6/2021
3.20%
**
2,490,051

GENERAL MOTORS FINL CO COMPANY GUAR 10/19 2.35
10/4/2019
2.35%
**
3,626,871

GENERAL MOTORS FINL CO COMPANY GUAR 11/20 3.7
11/24/2020
3.70%
**
9,918,189

GEORGIA POWER COMPANY SR UNSECURED 05/22 2.85
5/15/2022
2.85%
**
698,953

GILEAD SCIENCES INC SR UNSECURED 02/20 2.35
2/1/2020
2.35%
**
6,342,787

GILEAD SCIENCES INC SR UNSECURED 02/25 3.5
2/1/2025
3.50%
**
4,504,268

GILEAD SCIENCES INC SR UNSECURED 04/19 2.05
4/1/2019
2.05%
**
4,664,847

GILEAD SCIENCES INC SR UNSECURED 04/21 4.5
4/1/2021
4.50%
**
1,061,172

GILEAD SCIENCES INC SR UNSECURED 09/18 1.85
9/4/2018
1.85%
**
401,510

GILEAD SCIENCES INC SR UNSECURED 09/20 2.55
9/1/2020
2.55%
**
11,119,971

GILEAD SCIENCES INC SR UNSECURED 09/23 2.5
9/1/2023
2.50%
**
684,668

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/17 1.5
5/8/2017
1.50%
**
320,473

GLENCORE FINANCE CANADA COMPANY GUAR 144A 10/17 VAR
10/25/2017
2.70%
**
2,287,366

GM FINANCIAL AUTOMOBILE LEASIN GMALT 2014 2A A3 144A
1/22/2018
1.22%
**
635,152


155
Table of Contents

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

GM FINANCIAL AUTOMOBILE LEASIN GMALT 2015 1 A3
9/20/2018
1.53%
**
2,077,804

GM FINANCIAL AUTOMOBILE LEASIN GMALT 2015 3 A4
11/20/2019
1.81%
**
2,601,723

GM FINANCIAL AUTOMOBILE LEASIN GMALT 2016 2 A3
9/20/2019
1.62%
**
993,050

GM FINANCIAL AUTOMOBILE LEASIN GMALT 2016 3 A3
12/20/2019
1.61%
**
1,106,453

GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1
7/19/2035
3.58%
**
2,033,341

GMF FLOORPLAN OWNER REVOLVING GFORT 2015 1 A2 144A
5/15/2020
1.04%
**
8,503,702

GNMA I TBA 30 YR 3 SINGLE FAMILY MORTGAGE
1/24/2047
3.00%
**
11,116,445

GNMA II POOL 002958 G2 08/30 FIXED 8
8/20/2030
8.00%
**
19,428

GNMA II POOL 003529 G2 03/34 FIXED 5
3/20/2034
5.00%
**
4,600

GNMA II POOL 003879 G2 07/36 FIXED 6
7/20/2036
6.00%
**
2,798

GNMA II POOL 004028 G2 09/37 FIXED 6
9/20/2037
6.00%
**
73,316

GNMA II POOL 004040 G2 10/37 FIXED 6.5
10/20/2037
6.50%
**
21,148

GNMA II POOL 004041 G2 10/37 FIXED 7
10/20/2037
7.00%
**
347,966

GNMA II POOL 004060 G2 12/37 FIXED 6
12/20/2037
6.00%
**
74,267

GNMA II POOL 004073 G2 01/38 FIXED 6
1/20/2038
6.00%
**
159,232

GNMA II POOL 004099 G2 03/38 FIXED 6
3/20/2038
6.00%
**
31,690

GNMA II POOL 004195 G2 07/38 FIXED 6
7/20/2038
6.00%
**
11,347

GNMA II POOL 004222 G2 08/38 FIXED 6
8/20/2038
6.00%
**
72,361

GNMA II POOL 004224 G2 08/38 FIXED 7
8/20/2038
7.00%
**
376,411

GNMA II POOL 004245 G2 09/38 FIXED 6
9/20/2038
6.00%
**
910,826

GNMA II POOL 004247 G2 09/38 FIXED 7
9/20/2038
7.00%
**
306,141

GNMA II POOL 004268 G2 10/38 FIXED 6
10/20/2038
6.00%
**
8,773

GNMA II POOL 004291 G2 11/38 FIXED 6
11/20/2038
6.00%
**
427,663

GNMA II POOL 004371 G2 02/39 FIXED 6
2/20/2039
6.00%
**
15,155

GNMA II POOL 004423 G2 04/39 FIXED 4.5
4/20/2039
4.50%
**
8,433

GNMA II POOL 004447 G2 05/39 FIXED 5
5/20/2039
5.00%
**
149,730

GNMA II POOL 004520 G2 08/39 FIXED 5
8/20/2039
5.00%
**
766,270

GNMA II POOL 004543 G2 09/39 FIXED 6
9/20/2039
6.00%
**
57,526

GNMA II POOL 004602 G2 12/39 FIXED 6
12/20/2039
6.00%
**
14,030

GNMA II POOL 004617 G2 01/40 FIXED 4.5
1/20/2040
4.50%
**
627,308

GNMA II POOL 004696 G2 05/40 FIXED 4.5
5/20/2040
4.50%
**
1,374,408

GNMA II POOL 004697 G2 05/40 FIXED 5
5/20/2040
5.00%
**
299,715

GNMA II POOL 004717 G2 06/40 FIXED 6
6/20/2040
6.00%
**
33,307

GNMA II POOL 004746 G2 07/40 FIXED 4.5
7/20/2040
4.50%
**
318,078

GNMA II POOL 004747 G2 07/40 FIXED 5
7/20/2040
5.00%
**
1,767,902

GNMA II POOL 004772 G2 08/40 FIXED 5
8/20/2040
5.00%
**
488,655

GNMA II POOL 004774 G2 08/40 FIXED 6
8/20/2040
6.00%
**
475,124

GNMA II POOL 004800 G2 09/40 FIXED 4
9/20/2040
4.00%
**
744,536

GNMA II POOL 004801 G2 09/40 FIXED 4.5
9/20/2040
4.50%
**
27,379

GNMA II POOL 004802 G2 09/40 FIXED 5
9/20/2040
5.00%
**
387,812

GNMA II POOL 004833 G2 10/40 FIXED 4
10/20/2040
4.00%
**
2,448,972

GNMA II POOL 004834 G2 10/40 FIXED 4.5
10/20/2040
4.50%
**
94,124

GNMA II POOL 004837 G2 10/40 FIXED 6
10/20/2040
6.00%
**
119,460

GNMA II POOL 004855 G2 11/40 FIXED 5
11/20/2040
5.00%
**
1,793,051

GNMA II POOL 004883 G2 12/40 FIXED 4.5
12/20/2040
4.50%
**
470,187

GNMA II POOL 004905 G2 12/40 FIXED 6
12/20/2040
6.00%
**
664,499

GNMA II POOL 004922 G2 01/41 FIXED 4
1/20/2041
4.00%
**
518,759


156
Table of Contents

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

GNMA II POOL 004923 G2 01/41 FIXED 4.5
1/20/2041
4.50%
**
616,282

GNMA II POOL 004945 G2 02/41 FIXED 4
2/20/2041
4.00%
**
394,991

GNMA II POOL 004978 G2 03/41 FIXED 4.5
3/20/2041
4.50%
**
10,075,988

GNMA II POOL 004979 G2 03/41 FIXED 5
3/20/2041
5.00%
**
906,216

GNMA II POOL 004984 G2 03/41 FIXED 5.5
3/20/2041
5.50%
**
877,509

GNMA II POOL 004991 G2 03/41 FIXED 6
3/20/2041
6.00%
**
229,834

GNMA II POOL 005016 G2 04/41 FIXED 4
4/20/2041
4.00%
**
328,154

GNMA II POOL 005017 G2 04/41 FIXED 4.5
4/20/2041
4.50%
**
904,953

GNMA II POOL 005018 G2 04/41 FIXED 5
4/20/2041
5.00%
**
643,989

GNMA II POOL 005019 G2 04/41 FIXED 6
4/20/2041
6.00%
**
132,799

GNMA II POOL 005063 G2 05/41 FIXED 6
5/20/2041
6.00%
**
173,836

GNMA II POOL 005082 G2 06/41 FIXED 4.5
6/20/2041
4.50%
**
587,821

GNMA II POOL 005115 G2 07/41 FIXED 4.5
7/20/2041
4.50%
**
140,408

GNMA II POOL 005140 G2 08/41 FIXED 4.5
8/20/2041
4.50%
**
1,303,854

GNMA II POOL 005189 G2 09/41 FIXED 6
9/20/2041
6.00%
**
313,659

GNMA II POOL 005240 G2 11/41 FIXED 6
11/20/2041
6.00%
**
335,285

GNMA II POOL 005259 G2 12/41 FIXED 4
12/20/2041
4.00%
**
186,841

GNMA II POOL 005269 G2 12/41 FIXED 6
12/20/2041
6.00%
**
31,901

GNMA II POOL 005280 G2 01/42 FIXED 4
1/20/2042
4.00%
**
283,946

GNMA II POOL 005305 G2 02/42 FIXED 4
2/20/2042
4.00%
**
1,756,057

GNMA II POOL 005326 G2 03/27 FIXED 3
3/20/2027
3.00%
**
390,275

GNMA II POOL 008358 G2 01/24 FLOATING VAR
1/20/2024
2.00%
**
15,385

GNMA II POOL 008399 G2 04/24 FLOATING VAR
4/20/2024
2.13%
**
14,030

GNMA II POOL 008744 G2 11/25 FLOATING VAR
11/20/2025
2.00%
**
38,028

GNMA II POOL 008770 G2 12/25 FLOATING VAR
12/20/2025
2.00%
**
42,215

GNMA II POOL 008781 G2 01/26 FLOATING VAR
1/20/2026
2.00%
**
999

GNMA II POOL 008788 G2 01/26 FLOATING VAR
1/20/2026
2.00%
**
10,446

GNMA II POOL 080012 G2 11/26 FLOATING VAR
11/20/2026
2.00%
**
18,777

GNMA II POOL 080106 G2 08/27 FLOATING VAR
8/20/2027
2.13%
**
21,552

GNMA II POOL 080397 G2 04/30 FLOATING VAR
4/20/2030
2.13%
**
3,303

GNMA II POOL 783368 G2 07/41 FIXED 4.5
7/20/2041
4.50%
**
1,942,923

GNMA II POOL 783637 G2 06/42 FIXED 3
6/20/2042
3.00%
**
157,735

GNMA II POOL MA0023 G2 04/42 FIXED 4
4/20/2042
4.00%
**
561,969

GNMA II POOL MA0317 G2 08/42 FIXED 3
8/20/2042
3.00%
**
1,823,084

GNMA II POOL MA0318 G2 08/42 FIXED 3.5
8/20/2042
3.50%
**
3,623,760

GNMA II POOL MA0391 G2 09/42 FIXED 3
9/20/2042
3.00%
**
2,140,455

GNMA II POOL MA0392 G2 09/42 FIXED 3.5
9/20/2042
3.50%
**
2,642,715

GNMA II POOL MA0462 G2 10/42 FIXED 3.5
10/20/2042
3.50%
**
3,676,142

GNMA II POOL MA0624 G2 12/42 FIXED 3
12/20/2042
3.00%
**
851,908

GNMA II POOL MA0698 G2 01/43 FIXED 3
1/20/2043
3.00%
**
1,229,312

GNMA II POOL MA1012 G2 05/43 FIXED 3.5
5/20/2043
3.50%
**
2,820,172

GNMA II POOL MA1376 G2 10/43 FIXED 4
10/20/2043
4.00%
**
985,438

GNMA II POOL MA1377 G2 10/43 FIXED 4.5
10/20/2043
4.50%
**
1,662,620

GNMA II POOL MA1448 G2 11/43 FIXED 3.5
11/20/2043
3.50%
**
26,438

GNMA II POOL MA2072 G2 07/44 FIXED 3
7/20/2044
3.00%
**
675,290



157
Table of Contents

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

GNMA II POOL MA2678 G2 03/45 FIXED 3.5
3/20/2045
3.50%
**
2,487,870

GNMA II POOL MA2754 G2 04/45 FIXED 3.5
4/20/2045
3.50%
**
7,225,770

GNMA II POOL MA3873 G2 08/46 FIXED 3
8/20/2046
3.00%
**
5,943,225

GNMA II TBA 30 YR 3 JUMBOS
1/24/2047
3.00%
**
61,459,934

GNMA II TBA 30 YR 3.5 JUMBOS
1/24/2047
3.50%
**
29,418,181

GNMA II TBA 30 YR 3.5 JUMBOS
2/21/2047
3.50%
**
31,138,476

GNMA II TBA 30 YR 4 JUMBOS
1/24/2047
4.00%
**
7,327,611

GNMA II TBA 30 YR 4 JUMBOS
2/21/2047
4.00%
**
21,208,983

GNMA POOL 300672 GN 04/22 FIXED 8.5
4/15/2022
8.50%
**
6,461

GNMA POOL 315855 GN 01/22 FIXED 8.5
1/15/2022
8.50%
**
1,541

GNMA POOL 322562 GN 04/22 FIXED 8.5
4/15/2022
8.50%
**
10,064

GNMA POOL 438506 GN 01/27 FIXED 7
1/15/2027
7.00%
**
8,433

GNMA POOL 476784 GN 08/28 FIXED 7
8/15/2028
7.00%
**
7,200

GNMA POOL 497630 GN 02/29 FIXED 6
2/15/2029
6.00%
**
6,345

GNMA POOL 498387 GN 02/29 FIXED 6
2/15/2029
6.00%
**
3,826

GNMA POOL 521330 GN 05/35 FIXED 5
5/15/2035
5.00%
**
256,809

GNMA POOL 523278 GN 07/31 FIXED 6
7/15/2031
6.00%
**
36,126

GNMA POOL 543812 GN 02/31 FIXED 6
2/15/2031
6.00%
**
13,372

GNMA POOL 586373 GN 02/35 FIXED 5
2/15/2035
5.00%
**
6,622

GNMA POOL 594106 GN 09/33 FIXED 4.5
9/15/2033
4.50%
**
110,784

GNMA POOL 595611 GN 01/35 FIXED 5
1/15/2035
5.00%
**
11,441

GNMA POOL 603692 GN 06/34 FIXED 5
6/15/2034
5.00%
**
10,065

GNMA POOL 604497 GN 07/33 FIXED 5
7/15/2033
5.00%
**
11,928

GNMA POOL 607451 GN 01/34 FIXED 5
1/15/2034
5.00%
**
34,423

GNMA POOL 607465 GN 02/34 FIXED 5
2/15/2034
5.00%
**
57,328

GNMA POOL 610410 GN 08/33 FIXED 5
8/15/2033
5.00%
**
15,158

GNMA POOL 615656 GN 10/33 FIXED 5
10/15/2033
5.00%
**
9,046

GNMA POOL 623871 GN 06/34 FIXED 5
6/15/2034
5.00%
**
15,155

GNMA POOL 633701 GN 09/33 FIXED 5
9/15/2033
5.00%
**
17,110

GNMA POOL 636484 GN 03/35 FIXED 5
3/15/2035
5.00%
**
19,836

GNMA POOL 637746 GN 12/34 FIXED 5
12/15/2034
5.00%
**
10,561

GNMA POOL 638222 GN 12/34 FIXED 5
12/15/2034
5.00%
**
9,021

GNMA POOL 643362 GN 10/35 FIXED 5
10/15/2035
5.00%
**
13,117

GNMA POOL 646853 GN 08/35 FIXED 5.5
8/15/2035
5.50%
**
10,708

GNMA POOL 668014 GN 11/44 FIXED 3
11/15/2044
3.00%
**
4,377,924

GNMA POOL 672676 GN 04/38 FIXED 5.5
4/15/2038
5.50%
**
172,222

GNMA POOL 676754 GN 03/38 FIXED 5.5
3/15/2038
5.50%
**
331,849

GNMA POOL 687179 GN 04/38 FIXED 5.5
4/15/2038
5.50%
**
236,560

GNMA POOL 687835 GN 08/38 FIXED 6
8/15/2038
6.00%
**
116,268

GNMA POOL 688043 GN 11/38 FIXED 6
11/15/2038
6.00%
**
171,091

GNMA POOL 689805 GN 08/23 FIXED 7
8/15/2023
7.00%
**
31,052

GNMA POOL 690922 GN 06/38 FIXED 5.5
6/15/2038
5.50%
**
130,319

GNMA POOL 697586 GN 11/38 FIXED 5.5
11/15/2038
5.50%
**
7,466

GNMA POOL 711379 GN 07/38 FIXED 5.5
7/15/2038
5.50%
**
2,310

GNMA POOL 723344 GN 09/39 FIXED 4
9/15/2039
4.00%
**
693,622

GNMA POOL 723430 GN 11/39 FIXED 4.5
11/15/2039
4.50%
**
265,871

GNMA POOL 733600 GN 04/40 FIXED 5
4/15/2040
5.00%
**
219,808


158
Table of Contents

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

GNMA POOL 733627 GN 05/40 FIXED 5
5/15/2040
5.00%
**
462,969

GNMA POOL 736520 GN 04/40 FIXED 4.5
4/15/2040
4.50%
**
1,279,507

GNMA POOL 737111 GN 04/40 FIXED 4.5
4/15/2040
4.50%
**
684,575

GNMA POOL 738108 GN 03/41 FIXED 4.5
3/15/2041
4.50%
**
719,520

GNMA POOL 745243 GN 07/40 FIXED 4
7/15/2040
4.00%
**
838,793

GNMA POOL 771561 GN 08/41 FIXED 4
8/15/2041
4.00%
**
397,708

GNMA POOL 780049 GN 11/21 FIXED 9.5
11/15/2021
9.50%
**
2,721

GNMA POOL 780151 GN 12/21 FIXED 9
12/15/2021
9.00%
**
16,364

GNMA POOL 780345 GN 12/21 FIXED 9.5
12/15/2021
9.50%
**
3,298

GNMA POOL 781213 GN 12/17 FIXED 8
12/15/2017
8.00%
**
264

GNMA POOL 781804 GN 09/34 FIXED 6
9/15/2034
6.00%
**
348,756

GNMA POOL 781847 GN 12/34 FIXED 6
12/15/2034
6.00%
**
265,543

GNMA POOL 781885 GN 03/35 FIXED 5
3/15/2035
5.00%
**
20,137

GNMA POOL 781902 GN 02/35 FIXED 6
2/15/2035
6.00%
**
279,351

GNMA POOL 781958 GN 07/35 FIXED 5
7/15/2035
5.00%
**
23,568

GNMA POOL 782382 GN 08/38 FIXED 5.5
8/15/2038
5.50%
**
62,139

GNMA POOL 782436 GN 10/38 FIXED 6
10/15/2038
6.00%
**
158,582

GNMA POOL 782716 GN 07/39 FIXED 5
7/15/2039
5.00%
**
233,353

GNMA POOL 782838 GN 07/19 FIXED 4.5
7/15/2019
4.50%
**
94,156

GNMA POOL 799706 GN 09/42 FIXED 3.5
9/15/2042
3.50%
**
164,978

GNMA POOL AA5821 GN 11/42 FIXED 3
11/15/2042
3.00%
**
1,399,945

GNMA POOL AB3031 GN 10/42 FIXED 3
10/15/2042
3.00%
**
323,105

GNMA POOL AB9323 GN 09/42 FIXED 3.5
9/15/2042
3.50%
**
148,905

GNMA POOL AC3752 GN 12/42 FIXED 3
12/15/2042
3.00%
**
622,833

GNMA POOL AD1034 GN 07/43 FIXED 3
7/15/2043
3.00%
**
763,367

GNMA POOL AD2413 GN 05/43 FIXED 3.5
5/15/2043
3.50%
**
363,437

GNMA POOL AD2414 GN 05/43 FIXED 3.5
5/15/2043
3.50%
**
345,851

GNMA POOL AD4102 GN 07/43 FIXED 3
7/15/2043
3.00%
**
1,766,460

GNMA POOL AE7613 GN 07/43 FIXED 3
7/15/2043
3.00%
**
416,408

GNMA POOL AE7691 GN 08/43 FIXED 3
8/15/2043
3.00%
**
2,985,275

GNMA POOL AE8109 GN 01/44 FIXED 3.5
1/15/2044
3.50%
**
710,136

GNMA POOL AF5807 GN 01/44 FIXED 3.5
1/15/2044
3.50%
**
77,121

GNMA POOL AI6888 GN 05/45 FIXED 3
5/15/2045
3.00%
**
2,418,971

GNMA POOL AK6718 GN 01/45 FIXED 3
1/15/2045
3.00%
**
257,903

GNMA POOL AK7285 GN 03/45 FIXED 3
3/15/2045
3.00%
**
605,153

GNMA POOL AK7286 GN 03/45 FIXED 3
3/15/2045
3.00%
**
2,528,893

GNMA POOL AK7329 GN 04/45 FIXED 3
4/15/2045
3.00%
**
5,705,598

GNMA POOL AK8997 GN 07/45 FIXED 3
7/15/2045
3.00%
**
3,227,178

GNMA POOL AL1539 GN 05/45 FIXED 3
5/15/2045
3.00%
**
2,946,009

GNMA POOL AL4608 GN 03/45 FIXED 3
3/15/2045
3.00%
**
3,099,890

GNMA POOL AL8635 GN 03/45 FIXED 3
3/15/2045
3.00%
**
1,966,630

GNMA POOL AM4099 GN 04/45 FIXED 3
4/15/2045
3.00%
**
3,160,421

GNMA POOL AM8643 GN 05/45 FIXED 3
5/15/2045
3.00%
**
3,098,766

GNMA POOL AM8646 GN 05/45 FIXED 3
5/15/2045
3.00%
**
2,560,359

GNMA POOL AN5715 GN 06/45 FIXED 3
6/15/2045
3.00%
**
887,156

GNMA POOL AN5721 GN 06/45 FIXED 3
6/15/2045
3.00%
**
378,745

GNMA POOL AN5726 GN 06/45 FIXED 3
6/15/2045
3.00%
**
10,321,692


159
Table of Contents

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

GNMA POOL AN5734 GN 06/45 FIXED 3
6/15/2045
3.00%
**
4,401,121

GOLDCORP INC SR UNSECURED 06/21 3.625
6/9/2021
3.63%
**
18,321,865

GOLDMAN SACH AND CO TBA CASH COLLATERAL
 
 
**
160,000

GOLDMAN SACHS CAPITAL II LIMITD GUARA 12/49 VAR
12/29/2049
4.00%
**
4,897

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 2.375
1/22/2018
2.38%
**
7,282,036

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 5.95
1/18/2018
5.95%
**
10,828,908

GOLDMAN SACHS GROUP INC SR UNSECURED 01/19 2.625
1/31/2019
2.63%
**
303,226

GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75
1/24/2022
5.75%
**
6,885,817

GOLDMAN SACHS GROUP INC SR UNSECURED 01/23 3.625
1/22/2023
3.63%
**
612,847

GOLDMAN SACHS GROUP INC SR UNSECURED 02/19 7.5
2/15/2019
7.50%
**
4,439,867

GOLDMAN SACHS GROUP INC SR UNSECURED 02/21 2.875
2/25/2021
2.88%
**
371,711

GOLDMAN SACHS GROUP INC SR UNSECURED 02/26 3.75
2/25/2026
3.75%
**
852,497

GOLDMAN SACHS GROUP INC SR UNSECURED 03/20 5.375
3/15/2020
5.38%
**
4,894,371

GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 4
3/3/2024
4.00%
**
28,653,513

GOLDMAN SACHS GROUP INC SR UNSECURED 04/18 6.15
4/1/2018
6.15%
**
38,479,050

GOLDMAN SACHS GROUP INC SR UNSECURED 04/20 2.6
4/23/2020
2.60%
**
4,339,542

GOLDMAN SACHS GROUP INC SR UNSECURED 06/20 6
6/15/2020
6.00%
**
10,512,761

GOLDMAN SACHS GROUP INC SR UNSECURED 07/21 5.25
7/27/2021
5.25%
**
7,485,612

GOLDMAN SACHS GROUP INC SR UNSECURED 07/24 3.85
7/8/2024
3.85%
**
7,186,369

GOLDMAN SACHS GROUP INC SR UNSECURED 09/20 2.75
9/15/2020
2.75%
**
5,664,364

GOLDMAN SACHS GROUP INC SR UNSECURED 10/19 2.55
10/23/2019
2.55%
**
612,464

GOLDMAN SACHS GROUP INC SR UNSECURED 10/45 4.75
10/21/2045
4.75%
**
559,491

GOLDMAN SACHS GROUP INC SR UNSECURED 11/18 VAR
11/15/2018
2.01%
**
1,817,111

GOLDMAN SACHS GROUP INC SR UNSECURED 11/21 2.35
11/15/2021
2.35%
**
6,281,135

GOLDMAN SACHS GROUP INC SR UNSECURED 11/26 3.5
11/16/2026
3.50%
**
1,211,461

GOLDMAN SACHS GROUP INC SR UNSECURED 12/19 2.3
12/13/2019
2.30%
**
15,312,601

GOLDMAN SACHS GROUP INC SUBORDINATED 05/45 5.15
5/22/2045
5.15%
**
273,432

GOLDMAN SACHS GROUP INC SUBORDINATED 10/25 4.25
10/21/2025
4.25%
**
1,168,217

GOLDMAN SACHS GROUP INC SUBORDINATED 10/37 6.75
10/1/2037
6.75%
**
5,186,357

GOVERNMENT NATIONAL MORTGAGE A GNR 2002 31 FW
6/16/2031
1.11%
**
17,528

GOVERNMENT NATIONAL MORTGAGE A GNR 2006 38 FZ
9/16/2035
0.81%
**
1,089,301

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 76 CF
9/16/2039
1.51%
**
1,393,571

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 96 FT
10/20/2039
1.49%
**
1,201,997

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 109 CH
12/20/2037
3.00%
**
1,252,522

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 14 QP
12/20/2039
6.00%
**
93,431

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H10 FC
5/20/2060
1.61%
**
3,756,380

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H20 AF
10/20/2060
0.86%
**
6,036,681

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H22 FE
5/20/2059
0.88%
**
3,059,243

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 48 QA
8/16/2039
5.00%
**
362,811

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 52 NA
4/16/2041
4.00%
**
696,307

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H09 AF
3/20/2061
1.03%
**
1,339,042

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H11 FB
4/20/2061
1.03%
**
7,484,233

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 59 F
5/20/2042
1.19%
**
762,757

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 84 AB
7/16/2033
5.00%
**
469,480

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 WP
8/16/2042
6.50%
**
896,724

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 88 WA
6/20/2030
5.01%
**
1,310,498

GOVERNMENT NATIONAL MORTGAGE A GNR 2015 21 AF
7/16/2048
2.07%
**
1,252,658


160
Table of Contents

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

GOVERNMENT NATIONAL MORTGAGE A GNR 2016 110 AB
5/16/2049
2.00%
**
2,938,545

GOVERNMENT NATIONAL MORTGAGE A GNR 2016 131 A
4/16/2057
2.20%
**
7,127,387

GOVERNMENT NATIONAL MORTGAGE A GNR 2016 86 AB
9/16/2056
2.50%
**
1,305,370

GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE
4/20/2066
1.38%
**
2,777,249

GOVERNMENT PROPERTIES IN SR UNSECURED 08/19 3.75
8/15/2019
3.75%
**
293,186

GREEN TREE AGENCY ADVANCE FUND GAAFT 2016 T1 AT1 144A
10/15/2048
2.38%
**
908,553

GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1
1/25/2037
0.77%
**
1,946,119

GS MORTGAGE SECURITIES TRUST GSMS 2007 GG10 A4
8/10/2045
5.79%
**
918,214

GS MORTGAGE SECURITIES TRUST GSMS 2012 GCJ9 A2
11/10/2045
1.76%
**
5,543,744

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC16 A2
11/10/2046
3.03%
**
5,203,919

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC16 B
11/10/2046
5.16%
**
560,359

GS MORTGAGE SECURITIES TRUST GSMS 2013 NYC5 A 144A
1/10/2030
2.32%
**
146,629

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC18 A2
1/10/2047
2.92%
**
1,501,759

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC22 AAB
6/10/2047
3.47%
**
1,663,874

GS MORTGAGE SECURITIES TRUST GSMS 2014 GC26 A4
11/10/2047
3.36%
**
8,468,373

GS MORTGAGE SECURITIES TRUST GSMS 2015 GS1 AAB
11/10/2048
3.55%
**
12,957,138

GS MORTGAGE SECURITIES TRUST GSMS 2016 ICE2 D 144A
2/15/2033
6.45%
**
3,953,937

GSAMP TRUST GSAMP 2004 AR1 A2B
6/25/2034
1.96%
**
2,224,904

GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1
3/25/2032
6.00%
**
3,943

HALLIBURTON CO SR UNSECURED 08/18 2
8/1/2018
2.00%
**
2,109,810

HALLIBURTON CO SR UNSECURED 09/19 6.15
9/15/2019
6.15%
**
387,971

HALLIBURTON CO SR UNSECURED 11/25 3.8
11/15/2025
3.80%
**
7,019,848

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2003 1 A
5/19/2033
3.00%
**
14,586

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 4A
7/19/2035
3.27%
**
635,803

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A
6/20/2035
1.08%
**
1,849,349

HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 11/17 1.55
11/17/2017
1.55%
**
1,127,199

HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2015 1 A4
8/15/2022
1.67%
**
6,026,007

HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2015 2 A3
3/16/2020
1.30%
**
2,000,500

HARRIS CNTY TX HAR 10/19 FIXED 5
10/1/2019
5.00%
**
2,464,039

HARRIS CORPORATION SR UNSECURED 04/18 1.999
4/27/2018
2.00%
**
875,533

HARTFORD FINL SVCS GRP SR UNSECURED 03/18 6.3
3/15/2018
6.30%
**
5,357,445

HARTFORD FINL SVCS GRP SR UNSECURED 03/20 5.5
3/30/2020
5.50%
**
1,987,307

HAWAII ST HIS 10/19 FIXED 5
10/1/2019
5.00%
**
1,283,923

HCP INC SR UNSECURED 02/19 3.75
2/1/2019
3.75%
**
102,810

HERTZ VEHICLE FINANCING LLC HERTZ 2013 1A A2 144A
8/25/2019
1.83%
**
1,290,943

HERTZ VEHICLE FINANCING LLC HERTZ 2015 3A A 144A
9/25/2021
2.67%
**
6,986,822

HERTZ VEHICLE FINANCING LLC HERTZ 2016 1A A 144A
3/25/2020
2.32%
**
8,048,877

HERTZ VEHICLE FINANCING LLC HERTZ 2016 3A A 144A
7/25/2020
2.27%
**
3,264,973

HESS CORP SR UNSECURED 04/27 4.3
4/1/2027
4.30%
**
627,116

HOME DEPOT INC SR UNSECURED 02/24 3.75
2/15/2024
3.75%
**
594,820

HONDA AUTO RECEIVABLES OWNER T HAROT 2014 2 A3
3/19/2018
0.77%
**
604,769

HONDA AUTO RECEIVABLES OWNER T HAROT 2016 3 A3
5/18/2020
1.16%
**
3,210,623

HONDA AUTO RECEIVABLES OWNER T HAROT 2016 4 A4
1/18/2023
1.36%
**
3,453,561

HONOLULU CITY CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41%
**
2,801,988

HONOLULU CITY CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41%
**
3,002,130

HONOLULU CITY CNTY HI HON 11/22 FIXED 2.512
11/1/2022
2.51%
**
3,943,310

HONOLULU CITY CNTY HI HON 11/23 FIXED 2.812
11/1/2023
2.81%
**
5,438,394


161
Table of Contents

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

HORRY CNTY SC SCH DIST HORSCD 03/19 FIXED 5
3/1/2019
5.00%
**
1,653,947

HP ENTERPRISE CO SR UNSECURED 144A 10/17 2.45
10/5/2017
2.45%
**
8,165,147

HP ENTERPRISE CO SR UNSECURED 144A 10/18 2.85
10/5/2018
2.85%
**
16,187,046

HP INC SR UNSECURED 06/21 4.3
6/1/2021
4.30%
**
852,964

HSBC BANK PLC SR UNSECURED 144A 08/20 4.125
8/12/2020
4.13%
**
314,863

HSBC BANK USA NA SUBORDINATED 08/20 4.875
8/24/2020
4.88%
**
1,182,038

HSBC BANK USA SUBORDINATED 08/17 6
8/9/2017
6.00%
**
15,398,385

HSBC FINANCE CORP SUBORDINATED 01/21 6.676
1/15/2021
6.68%
**
3,456,426

HSBC HOLDINGS PLC SR UNSECURED 01/22 4.875
1/14/2022
4.88%
**
3,017,309

HSBC HOLDINGS PLC SR UNSECURED 03/21 3.4
3/8/2021
3.40%
**
4,626,799

HSBC HOLDINGS PLC SR UNSECURED 03/22 4
3/30/2022
4.00%
**
2,068,696

HSBC HOLDINGS PLC SR UNSECURED 04/21 5.1
4/5/2021
5.10%
**
421,475

HSBC HOLDINGS PLC SR UNSECURED 05/21 2.95
5/25/2021
2.95%
**
5,995,726

HSBC HOLDINGS PLC SR UNSECURED 05/21 VAR
5/25/2021
2.59%
**
5,413,510

HSBC HOLDINGS PLC SR UNSECURED 05/23 3.6
5/25/2023
3.60%
**
2,715,655

HSBC HOLDINGS PLC SUBORDINATED 03/24 4.25
3/14/2024
4.25%
**
1,473,383

HSBC HOLDINGS PLC SUBORDINATED 05/32 7.625
5/17/2032
7.63%
**
1,296,111

HSBC HOLDINGS PLC SUBORDINATED 08/25 4.25
8/18/2025
4.25%
**
5,863,150

HSBC USA INC SR UNSECURED 08/20 2.75
8/7/2020
2.75%
**
1,997,958

HUMANA INC SR UNSECURED 06/18 7.2
6/15/2018
7.20%
**
10,749

HUMANA INC SR UNSECURED 12/22 3.15
12/1/2022
3.15%
**
2,657,986

HUMANA INC. SR UNSECURED 08/18 6.3
8/1/2018
6.30%
**
735,578

HUNTINGTON AUTO TRUST HUNT 2015 1 A4
6/15/2021
1.64%
**
3,500,251

HUNTINGTON BANCSHARES SR UNSECURED 08/18 2.6
8/2/2018
2.60%
**
201,948

HUNTINGTON NATIONAL BANK SR UNSECURED 04/19 2.2
4/1/2019
2.20%
**
300,263

HUNTINGTON NATIONAL BANK SR UNSECURED 06/18 2
6/30/2018
2.00%
**
750,324

HUNTINGTON NATIONAL BANK SR UNSECURED 11/18 2.2
11/6/2018
2.20%
**
6,509,369

HUSKY ENERGY INC SR UNSECURED 04/24 4
4/15/2024
4.00%
**
4,072,684

HUSKY ENERGY INC SR UNSECURED 06/19 6.15
6/15/2019
6.15%
**
2,070,141

HYUNDAI AUTO LEASE SECURITIZAT HALST 2016 B A3 144A
10/15/2019
1.52%
**
1,482,385

HYUNDAI AUTO LEASE SECURITIZAT HALST 2016 B A4 144A
4/15/2020
1.68%
**
498,933

HYUNDAI AUTO LEASE SECURITIZAT HALST 2016 C A4 144A
7/15/2020
1.65%
**
1,832,787

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A A4
9/17/2018
0.75%
**
141,009

HYUNDAI AUTO RECEIVABLES TRUST HART 2014 B A4
11/15/2019
1.46%
**
801,010

HYUNDAI AUTO RECEIVABLES TRUST HART 2015 A A3
4/15/2019
1.05%
**
1,049,300

HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 07/19 2
7/1/2019
2.00%
**
486,211

HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 10/18 2.4
10/30/2018
2.40%
**
4,654,337

HYUNDAI FLOORPLAN MASTER OWNER HFMOT 2016 1A A2 144A
3/15/2021
1.81%
**
1,555,252

IBM CORP SR UNSECURED 05/19 1.8
5/17/2019
1.80%
**
1,427,609

IBM CORP SR UNSECURED 11/19 8.375
11/1/2019
8.38%
**
1,418,297

ILLINOIS ST FIN AUTH REVENUE ILSGEN 07/19 FIXED 5
7/1/2019
5.00%
**
819,704

ILLINOIS TOOL WORKS INC SR UNSECURED 03/19 1.95
3/1/2019
1.95%
**
201,032

IMPAC CMB TRUST IMM 2007 A M1 144A
5/25/2037
1.16%
**
3,663,066

IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 02/18 2.05
2/11/2018
2.05%
**
1,030,956

IMPERIAL BRANDS FIN PLC COMPANY GUAR REGS 02/23 3.5
2/11/2023
3.50%
**
9,351,020

ING BANK NV SR UNSECURED 144A 03/17 3.75
3/7/2017
3.75%
**
301,269

ING BANK NV SR UNSECURED 144A 03/19 2.3
3/22/2019
2.30%
**
231,603


162
Table of Contents

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

ING BANK NV SR UNSECURED 144A 03/20 2.45
3/16/2020
2.45%
**
199,958

ING BANK NV SR UNSECURED 144A 08/18 2.05
8/17/2018
2.05%
**
4,653,841

ING BANK NV SR UNSECURED 144A 08/19 1.65
8/15/2019
1.65%
**
3,585,833

INGERSOLL RAND GL HLD CO COMPANY GUAR 01/19 2.875
1/15/2019
2.88%
**
4,501,176

INGERSOLL RAND GL HLD CO COMPANY GUAR 06/23 4.25
6/15/2023
4.25%
**
571,125

INGERSOLL RAND GL HLD CO COMPANY GUAR 08/18 6.875
8/15/2018
6.88%
**
1,199,110

INTEL CORP SR UNSECURED 07/25 3.7
7/29/2025
3.70%
**
3,343,574

INTEL CORP SR UNSECURED 07/45 4.9
7/29/2045
4.90%
**
4,474,732

INTEL CORP SR UNSECURED 10/21 3.3
10/1/2021
3.30%
**
629,735

INTEL CORP SR UNSECURED 12/17 1.35
12/15/2017
1.35%
**
956,435

INTER AMERICAN DEVEL BK SR UNSECURED 05/19 1
5/13/2019
1.00%
**
14,238,898

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/18 2.5
10/15/2018
2.50%
**
229,907

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/23 4
10/15/2023
4.00%
**
5,243,294

INTERNATIONAL PAPER CO SR UNSECURED 02/22 4.75
2/15/2022
4.75%
**
1,279,675

INTERNATIONAL PAPER CO SR UNSECURED 02/27 3
2/15/2027
3.00%
**
2,330,292

INTERNATIONAL PAPER CO SR UNSECURED 06/18 7.95
6/15/2018
7.95%
**
1,421,975

INTESA SANPAOLO SPA SUBORDINATED 144A 06/24 5.017
6/26/2024
5.02%
**
4,815,004

INTL BK RECON + DEVELOP SR UNSECURED 08/19 0.875
8/15/2019
0.88%
**
32,201,632

INTL BK RECON + DEVELOP SR UNSECURED 11/19 1.125
11/27/2019
1.13%
**
18,744,588

INTUIT INC SR UNSECURED 03/17 5.75
3/15/2017
5.75%
**
1,064,360

ITALY GOV T INT BOND SR UNSECURED 06/17 5.375
6/12/2017
5.38%
**
6,603,604

ITC HOLDINGS CORP SR UNSECURED 06/26 3.25
6/30/2026
3.25%
**
777,158

J P MORGAN TERM REPO
1/3/2017
0.83%
**
100,000,000

JACKSON NATL LIFE GLOBAL SECURED 144A 04/19 2.3
4/16/2019
2.30%
**
451,843

JACKSON NATL LIFE GLOBAL SR SECURED 144A 06/18 4.7
6/1/2018
4.70%
**
311,760

JACKSON NATL LIFE GLOBAL SR SECURED 144A 10/18 1.875
10/15/2018
1.88%
**
300,620

JAPAN FIN ORG MUNICIPAL SR UNSECURED 144A 02/21 2.125
2/12/2021
2.13%
**
9,790,900

JAPAN FIN ORG MUNICIPAL SR UNSECURED 144A 04/21 2.125
4/13/2021
2.13%
**
586,865

JAPAN FIN ORG MUNICIPAL SR UNSECURED 144A 10/23 2.125
10/25/2023
2.13%
**
1,712,311

JEFFERIES GROUP LLC SR UNSECURED 01/23 5.125
1/20/2023
5.13%
**
2,093,082

JEFFERIES GROUP LLC SR UNSECURED 04/18 5.125
4/13/2018
5.13%
**
129,206

JM SMUCKER CO COMPANY GUAR 03/18 1.75
3/15/2018
1.75%
**
4,851,318

JOHN DEERE CAPITAL CORP SR UNSECURED 01/20 1.7
1/15/2020
1.70%
**
721,624

JOHN DEERE CAPITAL CORP SR UNSECURED 03/19 1.95
3/4/2019
1.95%
**
301,051

JOHN DEERE CAPITAL CORP SR UNSECURED 03/23 2.8
3/6/2023
2.80%
**
1,000,027

JOHN DEERE CAPITAL CORP SR UNSECURED 04/19 2.25
4/17/2019
2.25%
**
889,471

JOHN DEERE CAPITAL CORP SR UNSECURED 07/18 1.6
7/13/2018
1.60%
**
176,942

JOHN DEERE CAPITAL CORP SR UNSECURED 12/17 1.55
12/15/2017
1.55%
**
220,558

JOHN DEERE OWNER TRUST 11/18 1.07
11/15/2018
1.07%
**
1,245,300

JOHN DEERE OWNER TRUST JDOT 2014 A A3
4/16/2018
0.92%
**
660,134

JOHNSON + JOHNSON SR UNSECURED 03/23 2.05
3/1/2023
2.05%
**
1,756,254

JOHNSON + JOHNSON SR UNSECURED 11/17 1.125
11/21/2017
1.13%
**
3,798,677

JOHNSON CONTROLS INTL PL SR UNSECURED 03/20 5
3/30/2020
5.00%
**
161,389

JOHNSON CONTROLS INTL PL SR UNSECURED 11/17 1.4
11/2/2017
1.40%
**
1,977,162

JP MORGAN CHASE BANK NA SR UNSECURED 09/19 1.65
9/23/2019
1.65%
**
4,950,265

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD12 A1A
2/15/2051
5.85%
**
1,859,125

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD12 A4
2/15/2051
5.88%
**
8,697,395


163
Table of Contents

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

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LDPX A3
1/15/2049
5.42%
**
807,243

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2012 C6 A2
5/15/2045
2.21%
**
345,674

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 C10 A4
12/15/2047
2.88%
**
5,763,383

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 C13 A2
1/15/2046
2.67%
**
2,028,032

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 LC11 A4
4/15/2046
2.69%
**
8,618,032

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 FL6 A 144A
11/15/2031
2.10%
**
12,143,386

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 INN B 144A
6/15/2029
2.00%
**
2,096,794

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 PHH C 144A
8/15/2027
2.80%
**
2,029,280

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 ASH A 144A
10/15/2034
2.20%
**
5,000,177

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 FLRR AFL 144A
1/15/2033
2.15%
**
7,849,994

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP3 A5
8/15/2049
2.87%
**
2,221,027

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 WIKI A 144A
10/5/2031
2.80%
**
8,032,862

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 WPT A 144A
10/15/2033
2.15%
**
7,516,645

JP MORGAN MORTGAGE TRUST JPMMT 2004 A3 1A1
7/25/2034
2.99%
**
421,511

JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1
2/25/2035
3.15%
**
336,407

JP MORGAN SEC INC TBA CASH COLLATERAL
 
 
**
550,000

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 B
11/15/2045
4.93%
**
2,572,187

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 C
11/15/2045
5.05%
**
568,117

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C17 A2
1/15/2047
3.00%
**
2,040,157

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C17 B
1/15/2047
4.89%
**
325,795

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C22 C
9/15/2047
4.56%
**
962,308

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C23 AS
9/15/2047
4.20%
**
6,579,629

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C28 A2
10/15/2048
2.77%
**
7,537,006

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C30 A3
7/15/2048
3.32%
**
7,251,707

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C30 A5
7/15/2048
3.82%
**
5,816,273

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C30 B
7/15/2048
4.31%
**
2,960,307

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C31 A3
8/15/2048
3.80%
**
7,046,402

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C31 B
8/15/2048
4.62%
**
1,844,838

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C32 A2
11/15/2048
2.82%
**
3,565,621

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C32 A4
11/15/2048
3.33%
**
5,037,168

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2016 C1 A4
3/15/2049
3.31%
**
12,722,742

JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2016 C4 A2
12/15/2049
2.88%
**
7,895,727

JPMORGAN CHASE + CO SR UNSECURED 01/18 6
1/15/2018
6.00%
**
5,669,384

JPMORGAN CHASE + CO SR UNSECURED 01/23 3.2
1/25/2023
3.20%
**
1,597,585

JPMORGAN CHASE + CO SR UNSECURED 02/17 1.35
2/15/2017
1.35%
**
3,500,595

JPMORGAN CHASE + CO SR UNSECURED 03/18 1.7
3/1/2018
1.70%
**
6,434,414

JPMORGAN CHASE + CO SR UNSECURED 03/19 1.85
3/22/2019
1.85%
**
2,512,047

JPMORGAN CHASE + CO SR UNSECURED 03/21 2.55
3/1/2021
2.55%
**
4,984,285

JPMORGAN CHASE + CO SR UNSECURED 04/18 VAR
4/25/2018
1.43%
**
6,618,599

JPMORGAN CHASE + CO SR UNSECURED 04/19 6.3
4/23/2019
6.30%
**
218,547

JPMORGAN CHASE + CO SR UNSECURED 05/23 2.7
5/18/2023
2.70%
**
4,960,432

JPMORGAN CHASE + CO SR UNSECURED 05/24 3.625
5/13/2024
3.63%
**
1,520,695

JPMORGAN CHASE + CO SR UNSECURED 06/20 2.75
6/23/2020
2.75%
**
4,434,748

JPMORGAN CHASE + CO SR UNSECURED 06/21 2.4
6/7/2021
2.40%
**
15,932,289

JPMORGAN CHASE + CO SR UNSECURED 09/22 3.25
9/23/2022
3.25%
**
1,001,177

JPMORGAN CHASE + CO SR UNSECURED 10/20 2.55
10/29/2020
2.55%
**
14,134,561

JPMORGAN CHASE + CO SR UNSECURED 10/20 4.25
10/15/2020
4.25%
**
5,502,827


164
Table of Contents

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

JPMORGAN CHASE + CO SR UNSECURED 10/26 2.95
10/1/2026
2.95%
**
1,603,540

JPMORGAN CHASE + CO SUBORDINATED 05/23 3.375
5/1/2023
3.38%
**
308,890

JPMORGAN CHASE + CO SUBORDINATED 06/17 6.125
6/27/2017
6.13%
**
5,211,670

JPMORGAN CHASE + CO SUBORDINATED 09/24 3.875
9/10/2024
3.88%
**
7,558,422

JPN BANK FOR INT L COOP GOVT GUARANT 07/21 1.5
7/21/2021
1.50%
**
1,342,290

JPN BANK FOR INT L COOP GOVT GUARANT 11/21 2
11/4/2021
2.00%
**
17,260,350

KANSAS CITY POWER + LT GENL REF MOR 04/19 7.15
4/1/2019
7.15%
**
304,317

KANSAS CITY POWER + LT SR UNSECURED 06/17 5.85
6/15/2017
5.85%
**
280,052

KELLOGG CO SR UNSECURED 05/17 1.75
5/17/2017
1.75%
**
481,127

KENTUCKY UTILITIES CO 1ST MORTGAGE 11/20 3.25
11/1/2020
3.25%
**
304,690

KERR MCGEE CORP COMPANY GUAR 07/24 6.95
7/1/2024
6.95%
**
2,229,809

KEY BANK NA SR UNSECURED 02/18 1.65
2/1/2018
1.65%
**
1,545,898

KEY BANK NA SR UNSECURED 03/19 2.35
3/8/2019
2.35%
**
3,238,503

KEY BANK NA SR UNSECURED 03/20 2.25
3/16/2020
2.25%
**
1,946,795

KEY BANK NA SR UNSECURED 06/18 1.7
6/1/2018
1.70%
**
6,261,480

KEY BANK NA SR UNSECURED 12/19 2.5
12/15/2019
2.50%
**
5,178,378

KEYCORP SR UNSECURED 03/21 5.1
3/24/2021
5.10%
**
344,463

KEYCORP SR UNSECURED 09/20 2.9
9/15/2020
2.90%
**
455,334

KEYCORP SR UNSECURED 12/18 2.3
12/13/2018
2.30%
**
3,562,101

KEYCORP STUDENT LOAN TRUST KSLT 2006 A 1B
12/27/2039
1.45%
**
3,460,510

KFW GOVT GUARANT 06/18 1
6/11/2018
1.00%
**
15,529,067

KFW GOVT GUARANT 08/18 1.125
8/6/2018
1.13%
**
18,823,353

KILROY REALTY LP COMPANY GUAR 07/18 4.8
7/15/2018
4.80%
**
1,329,249

KILROY REALTY LP COMPANY GUAR 10/25 4.375
10/1/2025
4.38%
**
2,052,954

KINDER MORGAN ENER PART COMPANY GUAR 02/17 6
2/1/2017
6.00%
**
351,060

KINDER MORGAN ENER PART COMPANY GUAR 02/19 2.65
2/1/2019
2.65%
**
6,534,197

KINDER MORGAN ENER PART COMPANY GUAR 03/22 4.15
3/1/2022
4.15%
**
1,852,129

KINDER MORGAN ENER PART COMPANY GUAR 04/20 6.5
4/1/2020
6.50%
**
348,668

KINDER MORGAN ENER PART COMPANY GUAR 09/22 3.95
9/1/2022
3.95%
**
2,874,774

KINDER MORGAN INC/DELAWA COMPANY GUAR 08/31 7.8
8/1/2031
7.80%
**
741,778

KINDER MORGAN INC/DELAWA COMPANY GUAR 12/17 2
12/1/2017
2.00%
**
3,725,666

KINDER MORGAN INC/DELAWA COMPANY GUAR 12/19 3.05
12/1/2019
3.05%
**
1,039,715

KLA TENCOR CORP SR UNSECURED 11/17 2.375
11/1/2017
2.38%
**
3,250,357

KLA TENCOR CORP SR UNSECURED 11/21 4.125
11/1/2021
4.13%
**
3,316,136

KONINKLIJKE PHILIPS NV SR UNSECURED 03/18 5.75
3/11/2018
5.75%
**
1,089,948

KOREA NATIONAL OIL CORP SR UNSECURED 144A 04/17 3.125
4/3/2017
3.13%
**
200,753

KRAFT HEINZ FOODS CO COMPANY GUAR 02/20 5.375
2/10/2020
5.38%
**
2,513,887

KRAFT HEINZ FOODS CO COMPANY GUAR 06/17 2.25
6/5/2017
2.25%
**
371,181

KRAFT HEINZ FOODS CO COMPANY GUAR 06/26 3
6/1/2026
3.00%
**
3,694,324

KRAFT HEINZ FOODS CO COMPANY GUAR 07/18 2
7/2/2018
2.00%
**
6,606,843

KRAFT HEINZ FOODS CO COMPANY GUAR 07/20 2.8
7/2/2020
2.80%
**
5,193,888

KRAFT HEINZ FOODS CO COMPANY GUAR 07/22 3.5
7/15/2022
3.50%
**
913,595

KRAFT HEINZ FOODS CO COMPANY GUAR 07/25 3.95
7/15/2025
3.95%
**
7,886,478

KRAFT HEINZ FOODS CO COMPANY GUAR 08/18 6.125
8/23/2018
6.13%
**
419,995

KRAFT HEINZ FOODS CO SECURED 144A 02/25 4.875
2/15/2025
4.88%
**
1,251,380

KROGER CO SR UNSECURED 01/19 2
1/15/2019
2.00%
**
3,297,511

KROGER CO SR UNSECURED 01/19 2.3
1/15/2019
2.30%
**
970,988


165
Table of Contents

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

KROGER CO SR UNSECURED 02/24 4
2/1/2024
4.00%
**
1,888,753

KROGER CO SR UNSECURED 09/19 1.5
9/30/2019
1.50%
**
2,915,020

LAB CORP OF AMER HLDGS SR UNSECURED 08/17 2.2
8/23/2017
2.20%
**
226,049

LAB CORP OF AMER HLDGS SR UNSECURED 11/18 2.5
11/1/2018
2.50%
**
191,674

LABORATORY CORP OF AMER SR UNSECURED 02/20 2.625
2/1/2020
2.63%
**
299,706

LAM RESEARCH CORP SR UNSECURED 03/20 2.75
3/15/2020
2.75%
**
1,427,950

LAM RESEARCH CORP SR UNSECURED 06/21 2.8
6/15/2021
2.80%
**
775,799

LANDWIRTSCH. RENTENBANK GOVT GUARANT 04/18 1
4/4/2018
1.00%
**
4,983,140

LB COMMERCIAL CONDUIT MORTGAGE LBCMT 2007 C3 A1A
7/15/2044
5.87%
**
2,212,343

LB COMMERCIAL CONDUIT MORTGAGE LBCMT 2007 C3 AMB
7/15/2044
5.19%
**
5,059,994

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 A3
9/15/2045
5.87%
**
2,251,108

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2008 C1 A2
4/15/2041
6.11%
**
1,153,114

LEHMAN BROTHERS HOLDINGS JR SUBORDINA 07/17 6.5
7/19/2017
6.50%
**
205

LEHMAN BROTHERS HOLDINGS SUBORDINATED 12/17 6.75
12/28/2017
6.75%
**
676

LG+E AND KU ENERGY LLC SR UNSECURED 11/20 3.75
11/15/2020
3.75%
**
520,032

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 06/23 4.25
6/15/2023
4.25%
**
6,281,850

LINCOLN NATIONAL CORP SR UNSECURED 02/20 6.25
2/15/2020
6.25%
**
2,700,300

LINCOLN NATIONAL CORP SR UNSECURED 07/19 8.75
7/1/2019
8.75%
**
111,606

LLOYDS BANK PLC COMPANY GUAR 09/19 2.35
9/5/2019
2.35%
**
220,871

LLOYDS BANK PLC COMPANY GUAR 11/18 2.3
11/27/2018
2.30%
**
301,878

LLOYDS BANK PLC COMPANY GUAR 144A 01/20 5.8
1/13/2020
5.80%
**
4,143,824

LLOYDS BANKING GROUP PLC SUBORDINATED 12/45 5.3
12/1/2045
5.30%
**
3,407,841

LOCKHEED MARTIN CORP SR UNSECURED 01/26 3.55
1/15/2026
3.55%
**
1,174,969

LOCKHEED MARTIN CORP SR UNSECURED 05/46 4.7
5/15/2046
4.70%
**
2,936,860

LOCKHEED MARTIN CORP SR UNSECURED 09/21 3.35
9/15/2021
3.35%
**
659,883

LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 4 AV1
8/25/2033
1.38%
**
3,357,730

LOWE S COS INC SR UNSECURED 04/26 2.5
4/15/2026
2.50%
**
5,413,085

LOWE S COS INC SR UNSECURED 04/46 3.7
4/15/2046
3.70%
**
2,893,683

LYONDELLBASELL IND NV SR UNSECURED 04/19 5
4/15/2019
5.00%
**
4,226,608

LYONDELLBASELL IND NV SR UNSECURED 11/21 6
11/15/2021
6.00%
**
2,012,972

MACQUARIE BANK LTD SR UNSECURED 144A 10/17 1.6
10/27/2017
1.60%
**
1,099,930

MACQUARIE GROUP LTD SR UNSECURED 144A 12/18 3
12/3/2018
3.00%
**
1,826,795

MACYS RETAIL HLDGS INC COMPANY GUAR 07/17 7.45
7/15/2017
7.45%
**
5,807,739

MAGELLAN MIDSTREAM PARTN SR UNSECURED 02/21 4.25
2/1/2021
4.25%
**
212,035

MAGELLAN MIDSTREAM PARTN SR UNSECURED 07/18 6.4
7/15/2018
6.40%
**
2,134,242

MAGELLAN MIDSTREAM PARTN SR UNSECURED 07/19 6.55
7/15/2019
6.55%
**
293,267

MAGNA INTERNATIONAL INC SR UNSECURED 06/24 3.625
6/15/2024
3.63%
**
1,509,596

MANITOBA (PROVINCE OF) SR UNSECURED 06/26 2.125
6/22/2026
2.13%
**
186,570

MANUF + TRADERS TRUST CO SR UNSECURED 02/20 2.1
2/6/2020
2.10%
**
3,938,944

MANUF + TRADERS TRUST CO SR UNSECURED 03/18 1.45
3/7/2018
1.45%
**
249,665

MANUF + TRADERS TRUST CO SR UNSECURED 07/17 1.4
7/25/2017
1.40%
**
6,163,252

MANUF + TRADERS TRUST CO SUBORDINATED 12/17 6.625
12/4/2017
6.63%
**
260,989

MANULIFE FINANCIAL CORP SR UNSECURED 03/26 4.15
3/4/2026
4.15%
**
10,857,735

MANULIFE FINANCIAL CORP SR UNSECURED 03/46 5.375
3/4/2046
5.38%
**
11,636,486

MANULIFE FINANCIAL CORP SR UNSECURED 09/20 4.9
9/17/2020
4.90%
**
429,097

MARATHON OIL CORP SR UNSECURED 03/18 5.9
3/15/2018
5.90%
**
208,833

MARATHON OIL CORP SR UNSECURED 06/20 2.7
6/1/2020
2.70%
**
1,031,371


166
Table of Contents

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

MARKEL CORPORATION SR UNSECURED 07/22 4.9
7/1/2022
4.90%
**
4,315,044

MARRIOTT INTERNATIONAL SR UNSECURED 01/22 2.3
1/15/2022
2.30%
**
4,355,511

MARRIOTT INTERNATIONAL SR UNSECURED 05/18 6.75
5/15/2018
6.75%
**
2,851,590

MARRIOTT INTERNATIONAL SR UNSECURED 10/20 3.375
10/15/2020
3.38%
**
5,078,061

MARSH + MCLENNAN COS INC SR UNSECURED 06/24 3.5
6/3/2024
3.50%
**
595,283

MARSH + MCLENNAN COS INC SR UNSECURED 09/19 2.35
9/10/2019
2.35%
**
502,811

MASS INSTITUTE OF TECH UNSECURED 07/38 3.959
7/1/2038
3.96%
**
8,386,144

MASSMUTUAL GLOBAL FUNDIN SECURED 144A 04/21 2
4/15/2021
2.00%
**
194,962

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/19 2.35
4/9/2019
2.35%
**
898,251

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 07/18 5.25
7/31/2018
5.25%
**
2,419,239

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 10/22 2.5
10/17/2022
2.50%
**
294,590

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 11/20 2.45
11/23/2020
2.45%
**
4,248,933

MASTERCARD INC SR UNSECURED 04/24 3.375
4/1/2024
3.38%
**
2,900,635

MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1
12/25/2033
2.93%
**
669,912

MASTR ALTERNATIVE LOANS TRUST MALT 2004 8 7A1
9/25/2019
5.00%
**
71,689

MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2
11/25/2036
0.70%
**
2,570,525

MAXIM INTEGRATED PRODUCT SR UNSECURED 11/18 2.5
11/15/2018
2.50%
**
11,098,747

MCDONALD S CORP SR UNSECURED 03/18 5.35
3/1/2018
5.35%
**
583,592

MCDONALD S CORP SR UNSECURED 10/17 5.8
10/15/2017
5.80%
**
222,343

MCDONALD S CORP SR UNSECURED 12/18 2.1
12/7/2018
2.10%
**
4,687,676

MCDONALD S CORP SR UNSECURED 12/20 2.75
12/9/2020
2.75%
**
13,440,166

MCDONALD S CORP SR UNSECURED 12/45 4.875
12/9/2045
4.88%
**
1,392,396

MCKESSON CORP SR UNSECURED 03/17 5.7
3/1/2017
5.70%
**
1,308,978

MCKESSON CORP SR UNSECURED 03/19 2.284
3/15/2019
2.28%
**
921,438

MCKESSON CORP SR UNSECURED 03/21 4.75
3/1/2021
4.75%
**
310,940

MEAD JOHNSON NUTRITION C SR UNSECURED 11/19 4.9
11/1/2019
4.90%
**
412,664

MEDCO HEALTH SOLUTIONS COMPANY GUAR 09/20 4.125
9/15/2020
4.13%
**
104,930

MEDTRONIC INC COMPANY GUAR 03/18 1.5
3/15/2018
1.50%
**
2,807,042

MEDTRONIC INC COMPANY GUAR 03/20 2.5
3/15/2020
2.50%
**
7,472,702

MEDTRONIC INC COMPANY GUAR 03/22 3.125
3/15/2022
3.13%
**
265,643

MEDTRONIC INC COMPANY GUAR 03/25 3.5
3/15/2025
3.50%
**
9,741,094

MEDTRONIC INC COMPANY GUAR 04/18 1.375
4/1/2018
1.38%
**
219,623

MERCEDES BENZ AUTO LEASE TRUST MBALT 2015 A A3
8/15/2017
1.10%
**
39,825

MERCEDES BENZ AUTO LEASE TRUST MBALT 2015 B A3
7/16/2018
1.34%
**
2,352,777

MERCEDES BENZ AUTO LEASE TRUST MBALT 2016 B A3
8/15/2019
1.35%
**
649,406

MERCEDES BENZ AUTO LEASE TRUST MBALT 2016 B A4
6/15/2022
1.52%
**
3,174,270

MERCEDES BENZ AUTO RECEIVABLES MBART 2014 1 A3
10/15/2018
0.87%
**
1,402,087

MERCEDES BENZ AUTO RECEIVABLES MBART 2015 1 A3
12/16/2019
1.34%
**
8,967,124

MERCEDES BENZ AUTO RECEIVABLES MBART 2016 1 A3
2/16/2021
1.26%
**
1,680,375

MERCEDES BENZ AUTO RECEIVABLES MBART 2016 1 A4
12/15/2022
1.46%
**
2,170,145

MERCK + CO INC SR UNSECURED 01/21 3.875
1/15/2021
3.88%
**
2,578,735

MERCK + CO INC SR UNSECURED 02/20 1.85
2/10/2020
1.85%
**
2,861,790

MERCK + CO INC SR UNSECURED 02/25 2.75
2/10/2025
2.75%
**
1,502,249

MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A3
6/25/2035
2.83%
**
8,582,310

MET LIFE GLOB FUNDING I SECURED 144A 04/19 2.3
4/10/2019
2.30%
**
10,507,684

MET LIFE GLOB FUNDING I SECURED 144A 09/19 1.55
9/13/2019
1.55%
**
920,862

METLIFE INC JR SUBORDINA 12/66 6.4
12/15/2066
6.40%
**
4,509,000


167
Table of Contents

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

METLIFE INC SR UNSECURED 02/19 7.717
2/15/2019
7.72%
**
760,677

METLIFE INC SR UNSECURED 12/17 VAR
12/15/2017
1.90%
**
1,293,328

MICROSOFT CORP SR UNSECURED 02/20 1.85
2/12/2020
1.85%
**
554,646

MICROSOFT CORP SR UNSECURED 02/55 4
2/12/2055
4.00%
**
6,147,577

MICROSOFT CORP SR UNSECURED 08/21 1.55
8/8/2021
1.55%
**
4,461,595

MICROSOFT CORP SR UNSECURED 08/26 2.4
8/8/2026
2.40%
**
2,494,000

MICROSOFT CORP SR UNSECURED 08/36 3.45
8/8/2036
3.45%
**
76,029

MICROSOFT CORP SR UNSECURED 11/18 1.3
11/3/2018
1.30%
**
4,806,157

MITSUBISHI UFJ FIN GRP SR UNSECURED 09/21 2.19
9/13/2021
2.19%
**
6,709,988

MITSUBISHI UFJ FIN GRP SR UNSECURED 09/23 2.527
9/13/2023
2.53%
**
1,155,259

MITSUBISHI UFJ TR + BANK SR UNSECURED 144A 10/19 2.45
10/16/2019
2.45%
**
2,302,622

MIZUHO BANK LTD COMPANY GUAR 144A 04/19 2.45
4/16/2019
2.45%
**
602,543

MIZUHO FIN GRP CAYMAN 3 COMPANY GUAR REGS 03/24 4.6
3/27/2024
4.60%
**
5,239,915

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 A4
9/12/2049
5.70%
**
2,212,277

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 AMA
9/12/2049
5.85%
**
1,389,208

MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1
6/25/2028
1.42%
**
232,548

MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1
4/25/2029
1.22%
**
13,607

MLCC MORTGAGE INVESTORS INC MLCC 2005 2 3A
10/25/2035
1.62%
**
363,874

MOLSON COORS BREWING CO COMPANY GUAR 05/17 2
5/1/2017
2.00%
**
305,742

MOLSON COORS BREWING CO COMPANY GUAR 05/22 3.5
5/1/2022
3.50%
**
247,049

MOLSON COORS BREWING CO COMPANY GUAR 07/19 1.45
7/15/2019
1.45%
**
3,246,399

MONDELEZ INTL HLDINGS NE COMPANY GUAR 144A 10/19 1.625
10/28/2019
1.63%
**
7,342,387

MONSANTO CO SR UNSECURED 06/17 1.15
6/30/2017
1.15%
**
2,997,744

MOODY S CORPORATION SR UNSECURED 07/19 2.75
7/15/2019
2.75%
**
5,724,581

MOODY S CORPORATION SR UNSECURED 07/44 5.25
7/15/2044
5.25%
**
551,079

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 A3
2/15/2046
2.66%
**
5,029,012

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 AS
2/15/2046
3.21%
**
218,138

MORGAN STANLEY BAML TRUST MSBAM 2013 C9 AS
5/15/2046
3.46%
**
313,482

MORGAN STANLEY BAML TRUST MSBAM 2014 C14 A2
2/15/2047
2.92%
**
4,992,958

MORGAN STANLEY BAML TRUST MSBAM 2014 C15 A4
4/15/2047
4.05%
**
1,164,705

MORGAN STANLEY BAML TRUST MSBAM 2014 C15 ASB
4/15/2047
3.65%
**
3,123,955

MORGAN STANLEY BAML TRUST MSBAM 2014 C16 ASB
6/15/2047
3.48%
**
5,373,889

MORGAN STANLEY BAML TRUST MSBAM 2014 C18 AS
10/15/2047
4.11%
**
2,281,323

MORGAN STANLEY BAML TRUST MSBAM 2014 C19 A2
12/15/2047
3.10%
**
17,437,450

MORGAN STANLEY BAML TRUST MSBAM 2015 C21 A3
3/15/2048
3.08%
**
1,990,555

MORGAN STANLEY BAML TRUST MSBAM 2015 C23 A2
7/15/2050
2.98%
**
3,067,478

MORGAN STANLEY BAML TRUST MSBAM 2015 C25 A4
10/15/2048
3.37%
**
6,940,707

MORGAN STANLEY BAML TRUST MSBAM 2015 C26 ASB
10/15/2048
3.32%
**
10,259,636

MORGAN STANLEY BAML TRUST MSBAM 2015 C27 A3
12/15/2047
3.47%
**
5,940,227

MORGAN STANLEY BAML TRUST MSBAM 2016 C31 ASB
11/15/2049
2.95%
**
3,451,599

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ13 A4
3/15/2044
5.36%
**
4,674,275

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ16 A4
12/12/2049
5.81%
**
7,535,361

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 A4
6/11/2042
5.64%
**
1,567,463

MORGAN STANLEY CAPITAL I TRUST MSC 2015 MS1 A2
5/15/2048
3.26%
**
8,392,128

MORGAN STANLEY CAPITAL I TRUST MSC 2016 BNK2 A4
11/15/2049
3.05%
**
1,865,391

MORGAN STANLEY CAPITAL I TRUST MSC 2016 UB12 A4
12/15/2049
3.60%
**
1,898,670



168
Table of Contents

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

MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M1
12/25/2034
1.43%
**
8,574,073

MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1
1/25/2035
0.91%
**
161,812

MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 1A1
11/25/2035
0.87%
**
20,579

MORGAN STANLEY REREMIC TRUST MSRR 2009 GG10 A4A 144A
8/12/2045
5.79%
**
1,368,494

MORGAN STANLEY REREMIC TRUST MSRR 2010 GG10 A4A 144A
8/15/2045
5.79%
**
27,723,292

MORGAN STANLEY SR UNSECURED 01/17 5.45
1/9/2017
5.45%
**
7,764,818

MORGAN STANLEY SR UNSECURED 01/18 1.875
1/5/2018
1.88%
**
16,512,567

MORGAN STANLEY SR UNSECURED 01/19 2.5
1/24/2019
2.50%
**
4,860,563

MORGAN STANLEY SR UNSECURED 01/20 2.65
1/27/2020
2.65%
**
2,371,116

MORGAN STANLEY SR UNSECURED 01/20 5.5
1/26/2020
5.50%
**
1,208,807

MORGAN STANLEY SR UNSECURED 01/21 5.75
1/25/2021
5.75%
**
2,884,898

MORGAN STANLEY SR UNSECURED 01/26 3.875
1/27/2026
3.88%
**
1,131,319

MORGAN STANLEY SR UNSECURED 02/19 2.45
2/1/2019
2.45%
**
11,483,318

MORGAN STANLEY SR UNSECURED 02/23 3.75
2/25/2023
3.75%
**
1,843,723

MORGAN STANLEY SR UNSECURED 03/17 4.75
3/22/2017
4.75%
**
332,486

MORGAN STANLEY SR UNSECURED 04/18 6.625
4/1/2018
6.63%
**
6,297,579

MORGAN STANLEY SR UNSECURED 04/21 2.5
4/21/2021
2.50%
**
8,021,828

MORGAN STANLEY SR UNSECURED 04/24 3.875
4/29/2024
3.88%
**
1,948,583

MORGAN STANLEY SR UNSECURED 05/19 7.3
5/13/2019
7.30%
**
4,234,256

MORGAN STANLEY SR UNSECURED 06/20 2.8
6/16/2020
2.80%
**
8,125,963

MORGAN STANLEY SR UNSECURED 07/26 3.125
7/27/2026
3.13%
**
1,342,303

MORGAN STANLEY SR UNSECURED 08/17 6.25
8/28/2017
6.25%
**
2,678,933

MORGAN STANLEY SR UNSECURED 09/19 5.625
9/23/2019
5.63%
**
1,680,138

MORGAN STANLEY SR UNSECURED 11/21 2.625
11/17/2021
2.63%
**
5,330,055

MORGAN STANLEY SR UNSECURED 12/17 5.95
12/28/2017
5.95%
**
17,444,311

MORGAN STANLEY SR UNSECURED 12/18 2.2
12/7/2018
2.20%
**
2,855,475

MORGAN STANLEY SUBORDINATED 05/23 4.1
5/22/2023
4.10%
**
405,476

MORGAN STANLEY SUBORDINATED 09/26 4.35
9/8/2026
4.35%
**
2,818,057

MORGAN STANLEY TBA CASH COLLATERAL
 
 
**
190,000

MORTGAGEIT TRUST MHL 2005 2 1A1
5/25/2035
1.28%
**
1,746,803

MUFG AMERICAS HLDGS CORP SR UNSECURED 02/20 2.25
2/10/2020
2.25%
**
4,348,180

MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.655
4/1/2057
6.66%
**
5,010,651

MYLAN INC COMPANY GUAR 03/19 2.55
3/28/2019
2.55%
**
229,506

MYLAN INC COMPANY GUAR 06/18 2.6
6/24/2018
2.60%
**
5,028,945

MYLAN NV COMPANY GUAR 144A 06/19 2.5
6/7/2019
2.50%
**
5,384,699

NA DEVELOPMENT BANK SR UNSECURED 02/20 4.375
2/11/2020
4.38%
**
2,127,891

NA DEVELOPMENT BANK SR UNSECURED 10/18 2.3
10/10/2018
2.30%
**
7,684,143

NABORS INDUSTRIES INC COMPANY GUAR 02/18 6.15
2/15/2018
6.15%
**
5,041,213

NABORS INDUSTRIES INC COMPANY GUAR 09/21 4.625
9/15/2021
4.63%
**
675,986

NATIONAL AUSTRALIA BANK COVERED 144A 12/21 2.4
12/7/2021
2.40%
**
14,919,810

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 12/20 4.375
12/10/2020
4.38%
**
498,963


169
Table of Contents

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

NATIONAL AUSTRALIA BK/NY SR UNSECURED 01/19 2
1/14/2019
2.00%
**
500,034

NATIONAL BANK OF CANADA BANK GUARANT 12/18 2.1
12/14/2018
2.10%
**
251,052

NATIONAL CITY CORP SUBORDINATED 05/19 6.875
5/15/2019
6.88%
**
1,430,891

NATIONAL RURAL UTIL COOP COLLATERAL T 01/17 1.1
1/27/2017
1.10%
**
4,170,904

NATIONAL RURAL UTIL COOP COLLATERAL T 02/18 5.45
2/1/2018
5.45%
**
312,879

NATIONAL RURAL UTIL COOP COLLATERAL T 02/19 1.65
2/8/2019
1.65%
**
2,507,623

NATIONAL RURAL UTIL COOP COLLATERAL T 06/20 2.35
6/15/2020
2.35%
**
200,287

NATIONAL RURAL UTIL COOP COLLATERAL T 11/19 2.3
11/15/2019
2.30%
**
151,059

NATIONAL RURAL UTIL COOP SR UNSECURED 11/19 1.5
11/1/2019
1.50%
**
3,460,729

NATIONSTAR HECM LOAN TRUST NHLT 2016 3A A 144A
8/25/2026
2.01%
**
565,612

NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 07/21 2.45
7/27/2021
2.45%
**
1,825,410

NAVIENT STUDENT LOAN TRUST NAVSL 2016 3A A1 144A
6/25/2065
1.36%
**
1,247,083

NAVIENT STUDENT LOAN TRUST NAVSL 2016 6A A2 144A
3/25/2066
1.27%
**
7,530,067

NBCUNIVERSAL ENTERPRISE COMPANY GUAR 144A 04/19 1.974
4/15/2019
1.97%
**
1,294,659

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 01/23 2.875
1/15/2023
2.88%
**
424,003

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/20 5.15
4/30/2020
5.15%
**
6,932,942

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/21 4.375
4/1/2021
4.38%
**
2,895,255

NCUA GUARANTEED NOTES NGN 2010 R3 3A
12/8/2020
2.40%
**
293,874

NELNET STUDENT LOAN TRUST NSLT 2004 4 B
1/25/2041
1.18%
**
3,838,121

NELNET STUDENT LOAN TRUST NSLT 2007 1 B2
8/25/2037
0.99%
**
5,685,246

NETAPP INC SR UNSECURED 06/21 3.375
6/15/2021
3.38%
**
101,563

NEVADA POWER CO GENL REF MOR 03/19 7.125
3/15/2019
7.13%
**
333,531

NEW RESIDENTIAL MORTGAGE LOAN NRZT 2016 3A A1B 144A
9/25/2056
3.25%
**
4,484,746

NEW YORK LIFE GLOBAL FDG SECURED 144A 01/19 2.1
1/2/2019
2.10%
**
1,004,139

NEW YORK LIFE GLOBAL FDG SECURED 144A 09/21 1.7
9/14/2021
1.70%
**
3,138,920

NEW YORK LIFE GLOBAL FDG SECURED 144A 11/18 1.55
11/2/2018
1.55%
**
2,682,307

NEW YORK LIFE GLOBAL FDG SECURED 144A 12/17 1.45
12/15/2017
1.45%
**
6,205,865

NEW YORK LIFE GLOBAL FDG SR SECURED 144A 04/21 2
4/13/2021
2.00%
**
1,993,038

NEWELL BRANDS INC SR UNSECURED 03/19 2.6
3/29/2019
2.60%
**
3,588,954

NEWELL BRANDS INC SR UNSECURED 04/21 3.15
4/1/2021
3.15%
**
1,994,685

NEWELL BRANDS INC SR UNSECURED 04/23 3.85
4/1/2023
3.85%
**
1,400,364

NEWELL BRANDS INC SR UNSECURED 04/26 4.2
4/1/2026
4.20%
**
1,085,531

NEWELL BRANDS INC SR UNSECURED 12/19 2.875
12/1/2019
2.88%
**
5,603,143

NEXTERA ENERGY CAPITAL COMPANY GUAR 04/19 2.3
4/1/2019
2.30%
**
3,063,141

NEXTERA ENERGY CAPITAL COMPANY GUAR 06/17 1.586
6/1/2017
1.59%
**
1,555,913

NEXTERA ENERGY CAPITAL COMPANY GUAR 09/17 2.056
9/1/2017
2.06%
**
5,298,236

NEXTERA ENERGY CAPITAL COMPANY GUAR 09/18 1.649
9/1/2018
1.65%
**
1,894,036

NIAGARA MOHAWK POWER SR UNSECURED 144A 08/19 4.881
8/15/2019
4.88%
**
827,042

NIPPON LIFE INSURANCE SUBORDINATED 144A 10/44 VAR
10/16/2044
5.10%
**
10,312,500

NISOURCE FINANCE CORP COMPANY GUAR 01/19 6.8
1/15/2019
6.80%
**
714,965

NISOURCE FINANCE CORP COMPANY GUAR 03/18 6.4
3/15/2018
6.40%
**
75,827


170
Table of Contents

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

NISSAN AUTO LEASE TRUST NALT 2015 B A2A
12/15/2017
1.18%
**
4,128,585

NISSAN AUTO LEASE TRUST NALT 2015 B A3
4/16/2018
1.54%
**
4,008,420

NISSAN AUTO LEASE TRUST NALT 2016 B A4
1/18/2022
1.61%
**
1,141,191

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 C A3
8/15/2018
0.67%
**
294,804

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 C A4
6/15/2020
1.30%
**
929,875

NISSAN AUTO RECEIVABLES OWNER NAROT 2014 A A3
8/15/2018
0.72%
**
332,682

NISSAN AUTO RECEIVABLES OWNER NAROT 2014 B A3
5/15/2019
1.11%
**
521,800

NISSAN AUTO RECEIVABLES OWNER NAROT 2015 C A2A
11/15/2018
0.87%
**
552,219

NISSAN AUTO RECEIVABLES OWNER NAROT 2016 B A3
1/15/2021
1.32%
**
473,668

NISSAN AUTO RECEIVABLES OWNER NAROT 2016 B A4
10/17/2022
1.54%
**
6,276,021

NISSAN AUTO RECEIVABLES OWNER NAROT 2016 C A2A
5/15/2019
1.07%
**
1,497,436

NISSAN MASTER OWNER TRUST RECE NMOTR 2016 A A1
6/15/2021
1.34%
**
9,547,102

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/18 1.8
3/15/2018
1.80%
**
220,217

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/19 2
3/8/2019
2.00%
**
3,028,305

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/19 2.35
3/4/2019
2.35%
**
201,001

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/18 2.65
9/26/2018
2.65%
**
606,173

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/19 1.55
9/13/2019
1.55%
**
244,261

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/21 1.9
9/14/2021
1.90%
**
849,160

NOBLE ENERGY INC SR UNSECURED 03/19 8.25
3/1/2019
8.25%
**
5,127,888

NOBLE ENERGY INC SR UNSECURED 11/24 3.9
11/15/2024
3.90%
**
4,383,151

NOBLE ENERGY INC SR UNSECURED 12/21 4.15
12/15/2021
4.15%
**
4,027,459

NOBLE HOLDING INTL LTD COMPANY GUAR 03/17 2.5
3/15/2017
2.50%
**
745,195

NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A5
3/25/2047
6.35%
**
3,793,409

NOMURA HOLDINGS INC SR UNSECURED 03/19 2.75
3/19/2019
2.75%
**
2,145,111

NORDEA BANK AB SR UNSECURED 144A 03/17 3.125
3/20/2017
3.13%
**
401,816

NORDEA BANK AB SR UNSECURED 144A 05/18 1.625
5/15/2018
1.63%
**
209,496

NORFOLK SOUTHERN CORP SR UNSECURED 04/18 5.75
4/1/2018
5.75%
**
860,980

NORFOLK SOUTHERN CORP SR UNSECURED 05/17 7.7
5/15/2017
7.70%
**
664,853

NORFOLK SOUTHERN CORP SR UNSECURED 06/19 5.9
6/15/2019
5.90%
**
2,269,357

NORFOLK SOUTHERN CORP SR UNSECURED 06/45 4.45
6/15/2045
4.45%
**
1,036,486

NORTHERN TRUST COMPANY SUBORDINATED 08/18 6.5
8/15/2018
6.50%
**
536,972

NORTHROP GRUMMAN CORP SR UNSECURED 08/19 5.05
8/1/2019
5.05%
**
1,257,457

NORTHWEST AIR 2002 1 G2 PASS THRU CE 05/23 6.264
5/20/2023
6.26%
**
366,854

NOVARTIS CAPITAL CORP COMPANY GUAR 05/24 3.4
5/6/2024
3.40%
**
422,506

NOVARTIS CAPITAL CORP COMPANY GUAR 09/22 2.4
9/21/2022
2.40%
**
874,163

NSTAR ELECTRIC CO SR UNSECURED 11/17 5.625
11/15/2017
5.63%
**
175,847

NUCOR CORP SR UNSECURED 06/18 5.85
6/1/2018
5.85%
**
600,525

NVIDIA CORP SR UNSECURED 09/21 2.2
9/16/2021
2.20%
**
2,323,125

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/22 3.125
2/15/2022
3.13%
**
500,830

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/23 2.7
2/15/2023
2.70%
**
217,867

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/27 3
2/15/2027
3.00%
**
2,302,829


171
Table of Contents

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

OCCIDENTAL PETROLEUM COR SR UNSECURED 04/26 3.4
4/15/2026
3.40%
**
1,662,448

OCEAN CNTY NJ OCE 08/19 FIXED 4
8/1/2019
4.00%
**
2,752,756

OHIO ST OHS 05/21 FIXED 4.534
5/1/2021
4.53%
**
10,982,700

OHIO ST OHS 05/22 FIXED 4.654
5/1/2022
4.65%
**
11,072,800

OHIO ST UNIV OHSHGR 12/46 FIXED 3.798
12/1/2046
3.80%
**
1,954,380

ONEMAIN DIRECT AUTO RECEIVABLE ODART 2016 1A A 144A
1/15/2021
2.04%
**
1,709,904

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2014 1A A 144A
6/18/2024
2.43%
**
844,917

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2015 1A A 144A
3/18/2026
3.19%
**
503,549

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2015 2A A 144A
7/18/2025
2.57%
**
10,800,380

ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2016 2A A 144A
3/20/2028
4.10%
**
2,548,740

ONEOK PARTNERS LP COMPANY GUAR 03/20 3.8
3/15/2020
3.80%
**
3,886,211

ONEOK PARTNERS LP COMPANY GUAR 09/18 3.2
9/15/2018
3.20%
**
296,330

ONEOK PARTNERS LP COMPANY GUAR 10/17 2
10/1/2017
2.00%
**
601,658

ONEOK PARTNERS LP COMPANY GUAR 10/22 3.375
10/1/2022
3.38%
**
235,981

ONTARIO (PROVINCE OF) SR UNSECURED 04/26 2.5
4/27/2026
2.50%
**
29,011,313

ONTARIO (PROVINCE OF) SR UNSECURED 10/17 1.1
10/25/2017
1.10%
**
3,824,071

ORACLE CORP SR UNSECURED 04/18 5.75
4/15/2018
5.75%
**
211,291

ORACLE CORP SR UNSECURED 05/22 2.5
5/15/2022
2.50%
**
4,468,748

ORACLE CORP SR UNSECURED 05/25 2.95
5/15/2025
2.95%
**
4,215,208

ORACLE CORP SR UNSECURED 05/45 4.125
5/15/2045
4.13%
**
2,422,900

ORACLE CORP SR UNSECURED 07/19 5
7/8/2019
5.00%
**
2,331,540

ORACLE CORP SR UNSECURED 07/21 2.8
7/8/2021
2.80%
**
1,121,122

ORACLE CORP SR UNSECURED 07/26 2.65
7/15/2026
2.65%
**
6,454,635

ORACLE CORP SR UNSECURED 09/21 1.9
9/15/2021
1.90%
**
8,970,632

ORACLE CORP SR UNSECURED 09/23 2.4
9/15/2023
2.40%
**
4,747,125

ORACLE CORP SR UNSECURED 10/17 1.2
10/15/2017
1.20%
**
2,640,626

ORACLE CORP SR UNSECURED 10/22 2.5
10/15/2022
2.50%
**
499,595

ORANGE SA SR UNSECURED 11/19 1.625
11/3/2019
1.63%
**
4,280,831

OSCAR US FUNDING TRUST OSCAR 2015 1A A4 144A
6/15/2022
2.44%
**
1,969,552

OVERSEAS PRIVATE INV COR US GOVT GUAR 04/17 0.00000
4/23/2017
3.56%
**
8,885,625

OVERSEAS PRIVATE INV COR US GOVT GUAR 05/30 3.43
5/15/2030
3.43%
**
7,899,895

PACCAR FINANCIAL CORP SR UNSECURED 03/17 1.6
3/15/2017
1.60%
**
263,313

PACCAR FINANCIAL CORP SR UNSECURED 03/18 1.45
3/9/2018
1.45%
**
2,612,028

PACCAR FINANCIAL CORP SR UNSECURED 08/18 1.75
8/14/2018
1.75%
**
3,364,224

PACCAR FINANCIAL CORP SR UNSECURED 11/17 1.4
11/17/2017
1.40%
**
300,545

PACIFIC GAS + ELECTRIC SR UNSECURED 03/26 2.95
3/1/2026
2.95%
**
3,428,992

PACIFIC GAS + ELECTRIC SR UNSECURED 03/34 6.05
3/1/2034
6.05%
**
375,440

PACIFIC GAS + ELECTRIC SR UNSECURED 06/23 3.25
6/15/2023
3.25%
**
1,764,982

PACIFIC GAS + ELECTRIC SR UNSECURED 08/22 2.45
8/15/2022
2.45%
**
987,796

PACIFIC GAS + ELECTRIC SR UNSECURED 10/18 8.25
10/15/2018
8.25%
**
1,831,716

PACIFIC GAS + ELECTRIC SR UNSECURED 11/17 5.625
11/30/2017
5.63%
**
845,236


172
Table of Contents

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

PACIFIC GAS + ELECTRIC SR UNSECURED 11/23 3.85
11/15/2023
3.85%
**
1,334,619

PACIFICORP 1ST MORTGAGE 07/18 5.65
7/15/2018
5.65%
**
148,430

PENNSYLVANIA ELECTRIC CO SR UNSECURED 09/17 6.05
9/1/2017
6.05%
**
195,253

PENNSYLVANIA HIGHER EDUCATION PHEAA 2016 2A A 144A
11/25/2065
1.50%
**
2,699,657

PENNSYLVANIA ST ECON DEV FING PASDEV 07/19 FIXED 5
7/1/2019
5.00%
**
3,582,810

PENNSYLVANIA ST HGR EDU ASSIST PASSTD 07/29 FLOATING VAR
7/25/2029
1.78%
**
2,053,966

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 01/20 3.05
1/9/2020
3.05%
**
1,769,126

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/18 3.375
3/15/2018
3.38%
**
12,805,376

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 05/17 3.75
5/11/2017
3.75%
**
2,267,496

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 07/20 3.2
7/15/2020
3.20%
**
4,115,136

PENTAIR FINANCE SA COMPANY GUAR 09/18 2.9
9/15/2018
2.90%
**
3,099,411

PEOPLES UNITED BANK SUBORDINATED 07/24 4
7/15/2024
4.00%
**
448,199

PEPSICO INC SR UNSECURED 04/18 1.25
4/30/2018
1.25%
**
3,295,846

PEPSICO INC SR UNSECURED 06/18 5
6/1/2018
5.00%
**
1,401,986

PEPSICO INC SR UNSECURED 08/21 3
8/25/2021
3.00%
**
3,498,991

PERNOD RICARD SA SR UNSECURED 144A 01/22 4.45
1/15/2022
4.45%
**
2,281,096

PERRIGO CO PLC SR UNSECURED 11/18 2.3
11/8/2018
2.30%
**
4,344,223

PERRIGO FINANCE UNLIMITE COMPANY GUAR 03/26 4.375
3/15/2026
4.38%
**
1,001,021

PERRIGO FINANCE UNLIMITE COMPANY GUAR 12/21 3.5
12/15/2021
3.50%
**
917,300

PETRO CANADA SR UNSECURED 05/18 6.05
5/15/2018
6.05%
**
866,579

PETROLEOS MEXICANOS COMPANY GUAR 07/20 3.5
7/23/2020
3.50%
**
2,906,888

PFIZER INC SR UNSECURED 01/17 0.9
1/15/2017
0.90%
**
879,994

PFIZER INC SR UNSECURED 03/17 6.05
3/30/2017
6.05%
**
177,119

PFIZER INC SR UNSECURED 06/19 1.45
6/3/2019
1.45%
**
3,271,948

PHILIP MORRIS INTL INC SR UNSECURED 02/21 1.875
2/25/2021
1.88%
**
1,365,271

PHILIP MORRIS INTL INC SR UNSECURED 02/26 2.75
2/25/2026
2.75%
**
7,690,360

PHILIP MORRIS INTL INC SR UNSECURED 03/20 4.5
3/26/2020
4.50%
**
4,685,087

PHILIP MORRIS INTL INC SR UNSECURED 03/23 2.625
3/6/2023
2.63%
**
270,540

PHILIP MORRIS INTL INC SR UNSECURED 08/25 3.375
8/11/2025
3.38%
**
5,490,218

PHILIP MORRIS INTL INC SR UNSECURED 11/17 1.25
11/9/2017
1.25%
**
4,605,621

PHILIP MORRIS INTL INC SR UNSECURED 11/21 2.9
11/15/2021
2.90%
**
11,554,924

PIEDMONT NATURAL GAS CO SR UNSECURED 11/46 3.64
11/1/2046
3.64%
**
706,194

PIONEER NATURAL RESOURCE SR UNSECURED 01/20 7.5
1/15/2020
7.50%
**
363,767

PIONEER NATURAL RESOURCE SR UNSECURED 05/18 6.875
5/1/2018
6.88%
**
2,043,642

PLAINS ALL AMER PIPELINE SR UNSECURED 01/17 6.125
1/15/2017
6.13%
**
2,387,913

PLAINS ALL AMER PIPELINE SR UNSECURED 01/20 5.75
1/15/2020
5.75%
**
2,752,199

PLAINS ALL AMER PIPELINE SR UNSECURED 05/18 6.5
5/1/2018
6.50%
**
454,411

PLAINS ALL AMER PIPELINE SR UNSECURED 06/22 3.65
6/1/2022
3.65%
**
110,607

PLAINS ALL AMER PIPELINE SR UNSECURED 12/26 4.5
12/15/2026
4.50%
**
1,439,211

PNC BANK NA SR UNSECURED 02/18 1.5
2/23/2018
1.50%
**
3,595,486

PNC BANK NA SR UNSECURED 03/19 1.95
3/4/2019
1.95%
**
1,016,070


173
Table of Contents

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

PNC BANK NA SR UNSECURED 06/18 1.6
6/1/2018
1.60%
**
2,996,448

PNC BANK NA SR UNSECURED 07/18 1.85
7/20/2018
1.85%
**
500,868

PNC BANK NA SR UNSECURED 07/19 1.45
7/29/2019
1.45%
**
10,445,923

PNC BANK NA SR UNSECURED 07/20 2.6
7/21/2020
2.60%
**
504,302

PNC BANK NA SR UNSECURED 10/19 2.4
10/18/2019
2.40%
**
3,027,624

PNC BANK NA SR UNSECURED 11/18 1.8
11/5/2018
1.80%
**
300,545

PNC BANK NA SR UNSECURED 12/18 1.7
12/7/2018
1.70%
**
808,534

PNC BANK NA SR UNSECURED 12/21 2.55
12/9/2021
2.55%
**
1,384,132

PNC BANK NA SUBORDINATED 07/23 3.8
7/25/2023
3.80%
**
3,608,707

PNC BANK NA SUBORDINATED 09/17 4.875
9/21/2017
4.88%
**
3,020,555

PNC FINANCIAL SERVICES SR UNSECURED 02/20 5.125
2/8/2020
5.13%
**
432,782

PNC FINANCIAL SERVICES SR UNSECURED 06/19 6.7
6/10/2019
6.70%
**
191,941

PNC FINANCIAL SERVICES SR UNSECURED 08/20 4.375
8/11/2020
4.38%
**
2,131,854

PORSCHE INNOVATIVE LEASE OWNER PILOT 2015 1 A4 144A
5/21/2021
1.43%
**
2,301,746

PORT AUTH OF NEW YORK NEW JE PORTRN 12/24 FIXED 5.859
12/1/2024
5.86%
**
21,747,693

POTASH CORP SASKATCHEWAN SR UNSECURED 12/17 3.25
12/1/2017
3.25%
**
531,846

PPG INDUSTRIES INC SR UNSECURED 11/19 2.3
11/15/2019
2.30%
**
276,340

PPL CAPITAL FUNDING INC COMPANY GUAR 06/18 1.9
6/1/2018
1.90%
**
99,976

PRAXAIR INC SR UNSECURED 08/19 4.5
8/15/2019
4.50%
**
197,198

PRAXAIR INC SR UNSECURED 11/17 1.05
11/7/2017
1.05%
**
199,711

PRAXAIR INC SR UNSECURED 11/18 1.25
11/7/2018
1.25%
**
199,088

PRICOA GLOBAL FUNDING 1 SECURED 144A 06/21 2.2
6/3/2021
2.20%
**
294,665

PRICOA GLOBAL FUNDING 1 SECURED 144A 11/20 2.55
11/24/2020
2.55%
**
781,155

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 05/18 1.6
5/29/2018
1.60%
**
149,899

PRIME MORTGAGE TRUST PRIME 2005 2 1A1
7/25/2020
4.75%
**
108,601

PRINCETON UNIVERSITY UNSECURED 07/26 2.612
7/1/2026
2.61%
**
951,166

PRINCETON UNIVERSITY UNSECURED 07/46 3.627
7/1/2046
3.63%
**
1,854,334

PRINCIPAL FINANCIAL GROU COMPANY GUAR 05/23 3.125
5/15/2023
3.13%
**
2,983,623

PRINCIPAL LFE GLB FND II SR SECURED 144A 02/17 1.125
2/24/2017
1.13%
**
559,973

PRINCIPAL LFE GLB FND II SR SECURED 144A 09/17 1.5
9/11/2017
1.50%
**
285,190

PRINCIPAL LFE GLB FND II SR SECURED 144A 10/18 2.25
10/15/2018
2.25%
**
944,294

PRIVATE EXPORT FUNDING US GOVT GUAR 03/20 2.25
3/15/2020
2.25%
**
8,809,948

PRIVATE EXPORT FUNDING US GOVT GUAR 07/18 1.875
7/15/2018
1.88%
**
8,555,806

PRIVATE EXPORT FUNDING US GOVT GUAR 07/24 2.45
7/15/2024
2.45%
**
423,744

PROGRESS ENERGY INC SR UNSECURED 01/21 4.4
1/15/2021
4.40%
**
227,993

PROGRESS ENERGY INC SR UNSECURED 03/19 7.05
3/15/2019
7.05%
**
3,730,840

PROGRESS ENERGY INC SR UNSECURED 04/22 3.15
4/1/2022
3.15%
**
787,051

PROGRESS ENERGY INC SR UNSECURED 12/19 4.875
12/1/2019
4.88%
**
6,539,929

PROGRESS RESIDENTIAL TRUST PROG 2015 SFR2 A 144A
6/12/2032
2.74%
**
1,117,416

PROTECTIVE LIFE GLOBAL SECURED 144A 09/19 1.555
9/13/2019
1.56%
**
962,076

PROV ST JOSEPH HLTH OBL UNSECURED 10/26 2.746
10/1/2026
2.75%
**
1,419,974


174
Table of Contents

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

PROVINCE OF ALBERTA SR UNSECURED 12/19 1.9
12/6/2019
1.90%
**
2,403,674

PROVINCE OF QUEBEC UNSECURED 02/23 2.625
2/13/2023
2.63%
**
5,022,380

PROVINCE OF QUEBEC UNSECURED 02/26 VAR
2/27/2026
7.14%
**
1,486,621

PROVINCE OF QUEBEC UNSECURED 04/26 2.5
4/20/2026
2.50%
**
13,956,569

PRUDENTIAL FINANCIAL INC SR UNSECURED 06/19 7.375
6/15/2019
7.38%
**
168,856

PSEG POWER LLC COMPANY GUAR 11/18 2.45
11/15/2018
2.45%
**
664,639

PUBLIC SERVICE CO OF NEW SR UNSECURED 05/18 7.95
5/15/2018
7.95%
**
377,843

PUBLIC SERVICE COLORADO 1ST MORTGAGE 11/20 3.2
11/15/2020
3.20%
**
206,487

PUBLIC SERVICE ELECTRIC 1ST MORTGAGE 08/19 2
8/15/2019
2.00%
**
402,478

PUBLIC SERVICE ENTERPRIS SR UNSECURED 11/19 1.6
11/15/2019
1.60%
**
4,130,754

QUALCOMM INC SR UNSECURED 05/18 1.4
5/18/2018
1.40%
**
2,319,684

QUALCOMM INC SR UNSECURED 05/22 3
5/20/2022
3.00%
**
3,749,158

QUALCOMM INC SR UNSECURED 05/25 3.45
5/20/2025
3.45%
**
13,533,069

QVC INC SR SECURED 04/24 4.85
4/1/2024
4.85%
**
11,057,893

RABOBANK NEDERLAND NY SR UNSECURED 01/19 2.25
1/14/2019
2.25%
**
754,016

RABOBANK NEDERLAND UTREC COMPANY GUAR 01/17 3.375
1/19/2017
3.38%
**
1,000,912

RAYTHEON COMPANY SR UNSECURED 02/20 4.4
2/15/2020
4.40%
**
197,478

RAYTHEON COMPANY SR UNSECURED 10/20 3.125
10/15/2020
3.13%
**
1,615,697

RAYTHEON COMPANY SR UNSECURED 12/24 3.15
12/15/2024
3.15%
**
1,257,195

RBC CAPITAL MARKETS REPO REPO
1/3/2017
0.57%
**
94,700,000

RBSGC MORTGAGE PASS THROUGH CE RBSGC 2007 B 1A4
1/25/2037
1.21%
**
732,811

REALTY INCOME CORP SR UNSECURED 01/18 2
1/31/2018
2.00%
**
250,706

REALTY INCOME CORP SR UNSECURED 09/17 5.375
9/15/2017
5.38%
**
194,895

REGENCY ENERGY PART/FINA COMPANY GUAR 10/22 5
10/1/2022
5.00%
**
317,910

REGIONS BANK SR UNSECURED 09/18 2.25
9/14/2018
2.25%
**
5,257,198

RELIANCE STAND LIFE II SR SECURED 144A 01/20 2.5
1/15/2020
2.50%
**
323,029

REPO BANK AMERICA REPO
1/3/2017
0.73%
**
85,000,000

REPUBLIC OF KOREA SR UNSECURED 04/19 7.125
4/16/2019
7.13%
**
5,686,552

REPUBLIC SERVICES INC SR UNSECURED 03/25 3.2
3/15/2025
3.20%
**
2,271,362

REPUBLIC SERVICES INC SR UNSECURED 05/18 3.8
5/15/2018
3.80%
**
503,625

REPUBLIC SERVICES INC SR UNSECURED 11/21 5.25
11/15/2021
5.25%
**
7,337,979

RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 3A2
9/25/2046
0.96%
**
113,749

RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1
3/25/2032
6.50%
**
3,495

REYNOLDS AMERICAN INC COMPANY GUAR 06/18 2.3
6/12/2018
2.30%
**
6,199,048

REYNOLDS AMERICAN INC COMPANY GUAR 06/19 8.125
6/23/2019
8.13%
**
3,639,267

REYNOLDS AMERICAN INC COMPANY GUAR 06/20 3.25
6/12/2020
3.25%
**
7,395,000

REYNOLDS AMERICAN INC COMPANY GUAR 06/25 4.45
6/12/2025
4.45%
**
2,618,411

RIO TINTO FIN USA PLC COMPANY GUAR 03/22 3.5
3/22/2022
3.50%
**
17,585

ROCHE HOLDINGS INC COMPANY GUAR 144A 09/17 1.35
9/29/2017
1.35%
**
200,348

ROGERS COMMUNICATIONS IN COMPANY GUAR 08/18 6.8
8/15/2018
6.80%
**
4,801,434

ROHM + HAAS CO COMPANY GUAR 09/17 6
9/15/2017
6.00%
**
131,994


175
Table of Contents

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

ROLLS ROYCE PLC COMPANY GUAR 144A 10/20 2.375
10/14/2020
2.38%
**
594,953

ROLLS ROYCE PLC COMPANY GUAR 144A 10/25 3.625
10/14/2025
3.63%
**
1,301,140

ROPER TECHNOLOGIES INC SR UNSECURED 12/21 2.8
12/15/2021
2.80%
**
969,536

ROYAL BANK OF CANADA COVERED 02/20 1.875
2/5/2020
1.88%
**
796,067

ROYAL BANK OF CANADA COVERED 09/17 1.2
9/19/2017
1.20%
**
210,717

ROYAL BANK OF CANADA COVERED 09/19 2.2
9/23/2019
2.20%
**
19,507,398

ROYAL BANK OF CANADA SR UNSECURED 01/17 1.2
1/23/2017
1.20%
**
3,500,455

ROYAL BANK OF CANADA SR UNSECURED 01/18 1.5
1/16/2018
1.50%
**
399,438

ROYAL BANK OF CANADA SR UNSECURED 07/18 1.8
7/30/2018
1.80%
**
7,012,389

ROYAL BANK OF CANADA SR UNSECURED 07/18 2.2
7/27/2018
2.20%
**
1,278,477

ROYAL BANK OF CANADA SR UNSECURED 12/18 2
12/10/2018
2.00%
**
501,374

ROYAL BK OF SCOTLAND PLC SUBORDINATED REGS 03/22 VAR
3/16/2022
9.50%
**
5,077,300

RYDER SYSTEM INC SR UNSECURED 02/19 2.35
2/26/2019
2.35%
**
221,294

RYDER SYSTEM INC SR UNSECURED 03/17 2.5
3/1/2017
2.50%
**
250,263

RYDER SYSTEM INC SR UNSECURED 03/18 2.5
3/1/2018
2.50%
**
251,814

RYDER SYSTEM INC SR UNSECURED 05/20 2.5
5/11/2020
2.50%
**
2,891,713

RYDER SYSTEM INC SR UNSECURED 06/17 3.5
6/1/2017
3.50%
**
315,648

RYDER SYSTEM INC SR UNSECURED 11/21 3.45
11/15/2021
3.45%
**
2,868,634

SAN FRANCISCO CITY CNTY CA P SFOWTR 11/19 FIXED 5
11/1/2019
5.00%
**
1,891,687

SANOFI SR UNSECURED 04/18 1.25
4/10/2018
1.25%
**
3,193,846

SANTANDER BANK NA SR UNSECURED 01/18 2
1/12/2018
2.00%
**
2,448,976

SANTANDER DRIVE AUTO RECEIVABL SDART 2015 5 A3
9/16/2019
1.58%
**
2,803,050

SANTANDER HOLDINGS USA SR UNSECURED 05/19 2.7
5/24/2019
2.70%
**
5,415,875

SANTANDER HOLDINGS USA SR UNSECURED 08/18 3.45
8/27/2018
3.45%
**
2,040,425

SANTANDER UK GROUP HLDGS SR UNSECURED 01/21 3.125
1/8/2021
3.13%
**
3,192,525

SANTANDER UK GROUP HLDGS SR UNSECURED 10/20 2.875
10/16/2020
2.88%
**
8,581,982

SANTANDER UK PLC SR UNSECURED 03/19 2.5
3/14/2019
2.50%
**
3,650,193

SANTANDER UK PLC SR UNSECURED 09/17 1.65
9/29/2017
1.65%
**
6,452,833

SANTANDER UK PLC SR UNSECURED 09/19 2.35
9/10/2019
2.35%
**
250,158

SAUDI INTERNATIONAL BOND SR UNSECURED 144A 10/21 2.375
10/26/2021
2.38%
**
2,738,040

SCHLUMBERGER HLDGS CORP SR UNSECURED 144A 12/18 2.35
12/21/2018
2.35%
**
302,475

SCHLUMBERGER HLDGS CORP SR UNSECURED 144A 12/20 3
12/21/2020
3.00%
**
492,196

SCHLUMBERGER INVESTMENT COMPANY GUAR 12/23 3.65
12/1/2023
3.65%
**
335,193

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 08/17 1.25
8/1/2017
1.25%
**
149,858

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 09/21 3.3
9/14/2021
3.30%
**
309,844

SCHLUMBERGER NORGE AS COMPANY GUAR 144A 08/17 1.25
8/1/2017
1.25%
**
104,873

SCRIPPS NETWORKS INTERAC SR UNSECURED 06/20 2.8
6/15/2020
2.80%
**
866,911

SCRIPPS NETWORKS INTERAC SR UNSECURED 06/22 3.5
6/15/2022
3.50%
**
2,223,245

SEAGATE HDD CAYMAN COMPANY GUAR 11/18 3.75
11/15/2018
3.75%
**
1,536,938

SEATTLE WA MUNI LIGHT PWR RE SEAPWR 02/19 FIXED 5
2/1/2019
5.00%
**
2,195,267

SECURITY NATIONAL MORTGAGE LOA SNMLT 2007 1A 2A 144A
4/25/2037
0.93%
**
311,858


176
Table of Contents

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

SELECT INCOME REIT SR UNSECURED 02/18 2.85
2/1/2018
2.85%
**
3,052,990

SEMPRA ENERGY SR UNSECURED 02/19 9.8
2/15/2019
9.80%
**
243,239

SEMPRA ENERGY SR UNSECURED 04/17 2.3
4/1/2017
2.30%
**
185,363

SEMPRA ENERGY SR UNSECURED 10/19 1.625
10/7/2019
1.63%
**
3,701,648

SHELL INTERNATIONAL FIN COMPANY GUAR 03/20 4.375
3/25/2020
4.38%
**
427,303

SHELL INTERNATIONAL FIN COMPANY GUAR 05/19 1.375
5/10/2019
1.38%
**
4,722,020

SHELL INTERNATIONAL FIN COMPANY GUAR 05/20 2.125
5/11/2020
2.13%
**
499,403

SHELL INTERNATIONAL FIN COMPANY GUAR 05/21 1.875
5/10/2021
1.88%
**
488,859

SHELL INTERNATIONAL FIN COMPANY GUAR 09/19 1.375
9/12/2019
1.38%
**
3,731,900

SHELL INTERNATIONAL FIN COMPANY GUAR 09/19 4.3
9/22/2019
4.30%
**
970,666

SHELL INTERNATIONAL FIN COMPANY GUAR 11/18 1.625
11/10/2018
1.63%
**
2,868,232

SHELL INTERNATIONAL FIN COMPANY GUAR 11/18 2
11/15/2018
2.00%
**
6,135,800

SHELL INTERNATIONAL FIN COMPANY GUAR 11/20 2.25
11/10/2020
2.25%
**
310,567

SHIRE ACQ INV IRELAND DA COMPANY GUAR 09/19 1.9
9/23/2019
1.90%
**
10,929,655

SHIRE ACQ INV IRELAND DA COMPANY GUAR 09/23 2.875
9/23/2023
2.88%
**
3,706,743

SHIRE ACQ INV IRELAND DA COMPANY GUAR 09/26 3.2
9/23/2026
3.20%
**
3,924,207

SIERRA RECEIVABLES FUNDING CO SRFC 2013 3A A 144A
10/20/2030
2.20%
**
3,089,930

SIMON PROPERTY GROUP LP SR UNSECURED 02/19 2.2
2/1/2019
2.20%
**
201,626

SIMON PROPERTY GROUP LP SR UNSECURED 09/17 2.15
9/15/2017
2.15%
**
200,859

SIMON PROPERTY GROUP LP SR UNSECURED 09/20 2.5
9/1/2020
2.50%
**
452,934

SIMON PROPERTY GROUP LP SR UNSECURED 144A 02/18 1.5
2/1/2018
1.50%
**
199,909

SINOPEC CAPITAL 2013 LTD COMPANY GUAR 144A 04/18 1.875
4/24/2018
1.88%
**
298,874

SKANDINAVISKA ENSKILDA SR UNSECURED 144A 03/18 1.75
3/19/2018
1.75%
**
200,646

SKANDINAVISKA ENSKILDA SR UNSECURED 144A 03/19 2.375
3/25/2019
2.38%
**
250,642

SKY PLC COMPANY GUAR 144A 02/18 6.1
2/15/2018
6.10%
**
846,183

SKY PLC COMPANY GUAR 144A 09/19 2.625
9/16/2019
2.63%
**
11,205,477

SLM STUDENT LOAN TRUST SLMA 2002 A A2
12/16/2030
1.51%
**
4,714,231

SLM STUDENT LOAN TRUST SLMA 2003 11 A6 144A
12/15/2025
1.71%
**
2,189,000

SLM STUDENT LOAN TRUST SLMA 2003 4 B
6/15/2038
1.61%
**
926,294

SLM STUDENT LOAN TRUST SLMA 2004 A A3
6/15/2033
1.36%
**
11,032,549

SLM STUDENT LOAN TRUST SLMA 2004 B A2
6/15/2021
1.16%
**
629,019

SLM STUDENT LOAN TRUST SLMA 2005 5 B
10/25/2040
1.13%
**
3,678,208

SLM STUDENT LOAN TRUST SLMA 2005 6 B
1/25/2044
1.17%
**
8,384,193

SLM STUDENT LOAN TRUST SLMA 2005 A A4
12/15/2038
1.27%
**
1,800,929

SLM STUDENT LOAN TRUST SLMA 2006 BW A5
12/15/2039
1.05%
**
8,168,834

SLM STUDENT LOAN TRUST SLMA 2008 9 A
4/25/2023
2.38%
**
19,273,615

SMALL BUSINESS ADMINISTRATION SBAP 1999 20L 1
12/1/2019
7.19%
**
25,848

SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1
2/1/2025
4.63%
**
862,450

SMALL BUSINESS ADMINISTRATION SBAP 2008 20F 1
6/1/2028
5.68%
**
327,653

SMALL BUSINESS ADMINISTRATION SBAP 2016 20A 1
1/1/2036
2.78%
**
278,871

SMALL BUSINESS ADMINISTRATION SBIC 2008 10A 1
3/10/2018
5.47%
**
846,470


177
Table of Contents

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

SMALL BUSINESS ADMINISTRATION SBIC 2016 10A 1
3/10/2026
2.51%
**
487,917

SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A A1 144A
9/15/2021
1.20%
**
857,340

SMB PRIVATE EDUCATION LOAN TRU SMB 2016 B A2A 144A
2/17/2032
2.43%
**
3,593,784

SOCIETE GENERALE COMPANY GUAR 10/18 2.625
10/1/2018
2.63%
**
253,146

SOUTHERN CAL EDISON 1ST REF MORT 05/17 1.125
5/1/2017
1.13%
**
3,084,404

SOUTHERN CAL EDISON 1ST REF MORT 08/18 5.5
8/15/2018
5.50%
**
212,510

SOUTHERN CAL EDISON 1ST REF MORT 10/23 3.5
10/1/2023
3.50%
**
930,111

SOUTHERN CALIF GAS CO 1ST MORTGAGE 06/18 1.55
6/15/2018
1.55%
**
400,300

SOUTHERN CO SR UNSECURED 06/20 2.75
6/15/2020
2.75%
**
758,444

SOUTHERN CO SR UNSECURED 07/19 1.85
7/1/2019
1.85%
**
5,403,220

SOUTHERN CO SR UNSECURED 08/17 1.3
8/15/2017
1.30%
**
5,110,403

SOUTHERN NATURAL GAS SR UNSECURED 144A 04/17 5.9
4/1/2017
5.90%
**
272,812

SOUTHERN POWER CO SR UNSECURED 06/18 1.5
6/1/2018
1.50%
**
3,265,102

SOUTHERN POWER CO SR UNSECURED 12/17 1.85
12/1/2017
1.85%
**
2,001,275

SOUTHERN POWER CO SR UNSECURED 12/19 1.95
12/15/2019
1.95%
**
4,328,409

SOUTHWEST AIRLINES CO SR UNSECURED 11/20 2.65
11/5/2020
2.65%
**
1,754,426

SOUTHWESTERN PUBLIC SERV 1ST MORTGAGE 12/18 8.75
12/1/2018
8.75%
**
281,036

SPAREBANK 1 BOLIGKREDITT COVERED 144A 11/19 1.75
11/15/2019
1.75%
**
19,737,580

SPECTRA ENERGY CAPITAL COMPANY GUAR 04/18 6.2
4/15/2018
6.20%
**
271,809

SPIRIT REALTY LP COMPANY GUAR 144A 09/26 4.45
9/15/2026
4.45%
**
1,319,289

SPRINGCASTLE SPV SCFT 2016 AA A 144A
4/25/2029
3.05%
**
6,338,108

SPRINGFIELD FUNDING TRUST SLFT 2015 AA A 144A
11/15/2024
3.16%
**
7,861,620

ST JUDE MEDICAL LLC SR UNSECURED 09/18 2
9/15/2018
2.00%
**
8,321,726

STANDARD CHARTERED PLC SR UNSECURED 144A 08/19 2.1
8/19/2019
2.10%
**
3,791,177

STANLEY BLACK + DECKER I SUBORDINATED 11/18 1.622
11/17/2018
1.62%
**
2,931,837

STANLEY BLACK + DECKER I SUBORDINATED 11/18 2.451
11/17/2018
2.45%
**
6,681,770

STATE BOARD OF REGENTS OF THE USBR 2016 1 A
9/25/2056
1.28%
**
27,100,074

*STATE STREET CORP JR SUBORDINA 03/18 4.956
3/15/2018
4.96%
**
2,562,140

*STATE STREET CORP SR UNSECURED 05/18 1.35
5/15/2018
1.35%
**
498,625

*STATE STREET CORP SR UNSECURED 05/21 1.95
5/19/2021
1.95%
**
4,620,328

*STATE STREET CORP SR UNSECURED 12/24 3.3
12/16/2024
3.30%
**
2,787,180

STATOIL ASA COMPANY GUAR 04/19 5.25
4/15/2019
5.25%
**
187,899

STATOIL ASA COMPANY GUAR 05/18 1.15
5/15/2018
1.15%
**
397,541

STATOIL ASA COMPANY GUAR 11/17 1.25
11/9/2017
1.25%
**
3,228,451

STATOIL ASA COMPANY GUAR 11/18 1.95
11/8/2018
1.95%
**
2,612,419

STATOIL ASA COMPANY GUAR 11/19 2.25
11/8/2019
2.25%
**
6,251,479

STRIPS 08/25 0.00000
8/15/2025
 
**
2,104,842

STRIPS 08/30 0.00000
8/15/2030
 
**
2,905,874

STRIPS 11/34 0.00000
11/15/2034
 
**
1,135,400

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1
2/25/2034
3.07%
**
12,966

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2
4/25/2034
3.08%
**
21,204


178
Table of Contents

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

STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR4 A1
1/19/2034
1.44%
**
861,808

STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A1
5/19/2035
1.42%
**
8,852,139

STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
7/19/2035
0.96%
**
1,556,380

STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A1
5/25/2046
0.80%
**
1,778,131

STRUCTURED ASSET SECURITIES CO SASC 2003 22A 3A
6/25/2033
3.05%
**
377,411

STRUCTURED ASSET SECURITIES CO SASC 2003 31A 2A7
10/25/2033
2.93%
**
2,669,809

STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A3
11/25/2033
3.01%
**
958,171

STRYKER CORP SR UNSECURED 03/19 2
3/8/2019
2.00%
**
4,325,118

SUMITOMO MITSUI BANKING COMPANY GUAR 01/18 1.5
1/18/2018
1.50%
**
248,747

SUMITOMO MITSUI BANKING COMPANY GUAR 01/19 2.45
1/10/2019
2.45%
**
251,369

SUMITOMO MITSUI BANKING COMPANY GUAR 07/17 1.35
7/11/2017
1.35%
**
3,821,183

SUMITOMO MITSUI BANKING COMPANY GUAR 07/18 1.95
7/23/2018
1.95%
**
1,015,279

SUMITOMO MITSUI BANKING COMPANY GUAR 07/24 3.4
7/11/2024
3.40%
**
5,941,046

SUMITOMO MITSUI FINL GRP SR UNSECURED 07/21 2.058
7/14/2021
2.06%
**
4,642,512

SUMITOMO MITSUI FINL GRP SR UNSECURED 10/21 2.442
10/19/2021
2.44%
**
2,788,974

SUNCOR ENERGY INC SR UNSECURED 06/18 6.1
6/1/2018
6.10%
**
2,964,459

SUNTORY HOLDINGS LTD SR UNSECURED 144A 09/17 1.65
9/29/2017
1.65%
**
2,000,810

SUNTRUST BANKS INC SR UNSECURED 01/22 2.7
1/27/2022
2.70%
**
2,851,211

SUNTRUST BANKS INC SR UNSECURED 05/19 2.5
5/1/2019
2.50%
**
3,412,855

SVENSKA HANDELSBANKEN AB SR UNSECURED 01/19 2.5
1/25/2019
2.50%
**
1,333,957

SVENSKA HANDELSBANKEN AB SR UNSECURED 03/18 1.625
3/21/2018
1.63%
**
249,702

SWEDISH EXPORT CREDIT SR UNSECURED 03/21 1.75
3/10/2021
1.75%
**
6,550,625

SYNCHRONY CREDIT CARD MASTER N GEMNT 2010 2 A
3/15/2020
4.47%
**
1,258,313

SYNCHRONY CREDIT CARD MASTER N GEMNT 2012 6 A
8/17/2020
1.36%
**
3,101,729

SYNCHRONY CREDIT CARD MASTER N GEMNT 2012 7 A
9/15/2022
1.76%
**
12,296,342

SYNCHRONY CREDIT CARD MASTER N GEMNT 2013 1 A
3/15/2021
1.35%
**
1,198,019

SYNCHRONY CREDIT CARD MASTER N SYNCT 2015 1 A
3/15/2023
2.37%
**
9,938,831

SYNCHRONY CREDIT CARD MASTER N SYNCT 2015 2 A
4/15/2021
1.60%
**
2,622,210

SYNCHRONY CREDIT CARD MASTER N SYNCT 2016 1 A
3/15/2022
2.04%
**
4,909,130

SYNCHRONY CREDIT CARD MASTER N SYNCT 2016 3 A
9/15/2022
1.58%
**
11,590,117

SYNCHRONY FINANCIAL SR UNSECURED 02/20 2.7
2/3/2020
2.70%
**
1,031,931

SYNCHRONY FINANCIAL SR UNSECURED 07/25 4.5
7/23/2025
4.50%
**
1,643,466

SYNCHRONY FINANCIAL SR UNSECURED 08/17 1.875
8/15/2017
1.88%
**
3,457,788

SYNCHRONY FINANCIAL SR UNSECURED 08/19 3
8/15/2019
3.00%
**
1,408,013

SYNCHRONY FINANCIAL SR UNSECURED 08/24 4.25
8/15/2024
4.25%
**
519,153

TARGET CORP SR UNSECURED 06/19 2.3
6/26/2019
2.30%
**
304,835

TCF AUTO RECEIVABLES OWNER TRU TCFAT 2016 PT1A A 144A
6/15/2022
1.93%
**
2,996,756

TD AMERITRADE HOLDING CO COMPANY GUAR 12/19 5.6
12/1/2019
5.60%
**
411,967

TECO FINANCE INC COMPANY GUAR 11/17 6.572
11/1/2017
6.57%
**
581,325

TELEFONICA EMISIONES SAU COMPANY GUAR 04/18 3.192
4/27/2018
3.19%
**
456,471

TENN VAL AUTH CPN STRIP BONDS 03/31 0.00000
3/15/2031
 
**
415,517


179
Table of Contents

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

TENN VALLEY AUTHORITY SR UNSECURED 07/17 5.5
7/18/2017
5.50%
**
543,703

TENN VALLEY AUTHORITY SR UNSECURED 09/24 2.875
9/15/2024
2.88%
**
10,230,070

TENN VALLEY AUTHORITY SR UNSECURED 09/39 5.25
9/15/2039
5.25%
**
1,055,035

TEVA PHARMACEUTICALS NE COMPANY GUAR 07/19 1.7
7/19/2019
1.70%
**
10,085,650

TEVA PHARMACEUTICALS NE COMPANY GUAR 10/26 3.15
10/1/2026
3.15%
**
977,243

TEXAS EASTERN TRANSMISSI SR UNSECURED 144A 09/17 6
9/15/2017
6.00%
**
720,675

TEXAS INSTRUMENTS INC SR UNSECURED 05/18 1
5/1/2018
1.00%
**
164,232

TEXAS ST TXS 06/18 FLOATING VAR
6/1/2018
1.02%
**
2,183,030

TEXAS ST TXS 08/27 FIXED 5.5
8/1/2027
5.50%
**
1,223,430

TEXTRON INC SR UNSECURED 03/26 4
3/15/2026
4.00%
**
1,401,667

TEXTRON INC SR UNSECURED 12/17 5.6
12/1/2017
5.60%
**
196,722

THERMO FISHER SCIENTIFIC SR UNSECURED 01/18 1.85
1/15/2018
1.85%
**
205,293

THERMO FISHER SCIENTIFIC SR UNSECURED 01/23 3.15
1/15/2023
3.15%
**
2,597,541

THERMO FISHER SCIENTIFIC SR UNSECURED 02/19 2.4
2/1/2019
2.40%
**
1,722,999

THERMO FISHER SCIENTIFIC SR UNSECURED 04/23 3
4/15/2023
3.00%
**
6,445,642

THERMO FISHER SCIENTIFIC SR UNSECURED 08/21 3.6
8/15/2021
3.60%
**
826,810

THERMO FISHER SCIENTIFIC SR UNSECURED 12/18 2.15
12/14/2018
2.15%
**
2,001,143

THOMSON REUTERS CORP SR UNSECURED 02/17 1.3
2/23/2017
1.30%
**
825,035

THOMSON REUTERS CORP SR UNSECURED 09/17 1.65
9/29/2017
1.65%
**
2,580,874

TIAA ASSET MGMT FIN LLC SR UNSECURED 144A 11/19 2.95
11/1/2019
2.95%
**
2,868,676

TIME WARNER CABLE LLC SR SECURED 02/19 8.75
2/14/2019
8.75%
**
208,485

TIME WARNER CABLE LLC SR SECURED 02/21 4.125
2/15/2021
4.13%
**
1,922,946

TIME WARNER CABLE LLC SR SECURED 04/19 8.25
4/1/2019
8.25%
**
3,337,389

TIME WARNER CABLE LLC SR SECURED 05/17 5.85
5/1/2017
5.85%
**
3,463,462

TIME WARNER CABLE LLC SR SECURED 06/39 6.75
6/15/2039
6.75%
**
639,420

TIME WARNER CABLE LLC SR SECURED 09/41 5.5
9/1/2041
5.50%
**
162,658

TIME WARNER CABLE LLC SR SECURED 11/40 5.875
11/15/2040
5.88%
**
714,518

TIME WARNER INC COMPANY GUAR 01/22 4
1/15/2022
4.00%
**
415,287

TIME WARNER INC COMPANY GUAR 02/27 3.8
2/15/2027
3.80%
**
1,252,844

TIME WARNER INC COMPANY GUAR 03/20 4.875
3/15/2020
4.88%
**
320,240

TIME WARNER INC COMPANY GUAR 03/21 4.75
3/29/2021
4.75%
**
7,756,220

TORONTO DOMINION BANK COVERED 144A 03/17 1.5
3/13/2017
1.50%
**
600,469

TORONTO DOMINION BANK SR UNSECURED 04/21 2.125
4/7/2021
2.13%
**
156,569

TORONTO DOMINION BANK SR UNSECURED 07/18 1.75
7/23/2018
1.75%
**
500,783

TORONTO DOMINION BANK SR UNSECURED 07/19 2.125
7/2/2019
2.13%
**
802,003

TORONTO DOMINION BANK SR UNSECURED 07/21 1.8
7/13/2021
1.80%
**
152,034

TORONTO DOMINION BANK SR UNSECURED 09/18 1.45
9/6/2018
1.45%
**
4,965,724

TORONTO DOMINION BANK SR UNSECURED 12/20 VAR
12/14/2020
1.89%
**
6,677,583

TORONTO DOMINION BANK SUBORDINATED 09/31 VAR
9/15/2031
3.63%
**
1,269,879

TOTAL CAPITAL CANADA LTD COMPANY GUAR 01/18 1.45
1/15/2018
1.45%
**
234,977

TOTAL CAPITAL INTL SA COMPANY GUAR 02/17 1.5
2/17/2017
1.50%
**
287,096


180
Table of Contents

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

TOTAL CAPITAL INTL SA COMPANY GUAR 06/17 1.55
6/28/2017
1.55%
**
2,742,504

TOTAL SYSTEM SERVICES IN SR UNSECURED 04/26 4.8
4/1/2026
4.80%
**
1,346,903

TOWD POINT MORTGAGE TRUST TPMT 2016 3 A1 144A
4/25/2056
2.25%
**
4,158,954

TOYOTA AUTO RECEIVABLES OWNER TAOT 2014 A A4
6/17/2019
1.18%
**
1,600,033

TOYOTA AUTO RECEIVABLES OWNER TAOT 2015 B A4
9/15/2020
1.74%
**
1,976,824

TOYOTA AUTO RECEIVABLES OWNER TAOT 2016 A A4
9/15/2021
1.47%
**
2,161,754

TOYOTA AUTO RECEIVABLES OWNER TAOT 2016 B A3
4/15/2020
1.30%
**
347,265

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/18 1.375
1/10/2018
1.38%
**
3,215,927

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/18 1.45
1/12/2018
1.45%
**
7,052,045

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/19 2.1
1/17/2019
2.10%
**
553,020

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/23 2.625
1/10/2023
2.63%
**
935,892

TOYOTA MOTOR CREDIT CORP SR UNSECURED 04/21 1.9
4/8/2021
1.90%
**
4,899,045

TOYOTA MOTOR CREDIT CORP SR UNSECURED 07/18 1.55
7/13/2018
1.55%
**
5,508,628

TOYOTA MOTOR CREDIT CORP SR UNSECURED 07/19 2.125
7/18/2019
2.13%
**
1,305,641

TOYOTA MOTOR CREDIT CORP SR UNSECURED 10/18 2
10/24/2018
2.00%
**
1,005,924

TOYOTA MOTOR CREDIT CORP SR UNSECURED 10/19 1.55
10/18/2019
1.55%
**
4,099,768

TRAFIGURA SECURITISATION FINAN TRFIG 2014 1A A 144A
10/15/2018
1.65%
**
1,060,435

TRANS ALLEGHENY INTERSTA SR UNSECURED 144A 06/25 3.85
6/1/2025
3.85%
**
2,026,062

TRANSCANADA PIPELINES SR UNSECURED 01/18 1.875
1/12/2018
1.88%
**
6,215,743

TRANSCANADA PIPELINES SR UNSECURED 01/19 3.125
1/15/2019
3.13%
**
1,980,476

TRANSCANADA PIPELINES SR UNSECURED 10/20 3.8
10/1/2020
3.80%
**
146,130

TRANSCANADA PIPELINES SR UNSECURED 11/17 1.625
11/9/2017
1.63%
**
549,595

TRANSOCEAN INC COMPANY GUAR 10/17 4.25
10/15/2017
4.25%
**
101,000

TRAVELERS COS INC SR UNSECURED 05/18 5.8
5/15/2018
5.80%
**
1,413,607

TRAVELERS COS INC SR UNSECURED 11/20 3.9
11/1/2020
3.90%
**
211,809

TRAVELERS COS INC SR UNSECURED 12/17 5.75
12/15/2017
5.75%
**
260,452

TSY INFL IX N/B 01/21 1.125
1/15/2021
1.13%
**
55,641,904

TSY INFL IX N/B 01/22 0.125
1/15/2022
0.13%
**
38,191,192

TSY INFL IX N/B 01/23 0.125
1/15/2023
0.13%
**
70,476,426

TSY INFL IX N/B 01/24 0.625
1/15/2024
0.63%
**
8,232,932

TSY INFL IX N/B 02/42 0.75
2/15/2042
0.75%
**
4,952,330

TSY INFL IX N/B 02/43 0.625
2/15/2043
0.63%
**
895,196

TSY INFL IX N/B 02/46 1
2/15/2046
1.00%
**
1,608,404

TSY INFL IX N/B 04/18 0.125
4/15/2018
0.13%
**
69,507,506

TSY INFL IX N/B 04/21 0.125
4/15/2021
0.13%
**
15,283,180

TSY INFL IX N/B 07/23 0.375
7/15/2023
0.38%
**
26,251,934

TSY INFL IX N/B 07/24 0.125
7/15/2024
0.13%
**
3,920,306

TYCO ELECTRONICS GROUP S COMPANY GUAR 10/17 6.55
10/1/2017
6.55%
**
383,783

TYSON FOODS INC COMPANY GUAR 08/19 2.65
8/15/2019
2.65%
**
948,960



181
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%
**
815,035

TYSON FOODS INC COMPANY GUAR 08/34 4.875
8/15/2034
4.88%
**
1,762,937

UAL 2009 2A PASS THRU TR PASS THRU CE 07/18 9.75
7/15/2018
9.75%
**
121,993

UBS AG STAMFORD CT SR UNSECURED 03/18 1.8
3/26/2018
1.80%
**
3,002,073

UBS AG STAMFORD CT SR UNSECURED 03/20 2.35
3/26/2020
2.35%
**
497,953

UBS AG STAMFORD CT SR UNSECURED 08/17 1.375
8/14/2017
1.38%
**
4,798,430

UBS AG STAMFORD CT SR UNSECURED 08/19 2.375
8/14/2019
2.38%
**
10,677,494

UBS AG STAMFORD CT SR UNSECURED 12/17 5.875
12/20/2017
5.88%
**
312,282

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2012 C4 AAB
12/10/2045
2.46%
**
3,227,181

UBS GROUP FUNDING COMPANY GUAR 144A 02/22 2.65
2/1/2022
2.65%
**
1,822,303

UBS GROUP FUNDING COMPANY GUAR 144A 04/26 4.125
4/15/2026
4.13%
**
3,042,604

UBS GROUP FUNDING COMPANY GUAR 144A 09/20 2.95
9/24/2020
2.95%
**
200,088

UDR INC COMPANY GUAR 07/24 3.75
7/1/2024
3.75%
**
1,519,640

UNILEVER CAPITAL CORP COMPANY GUAR 02/21 4.25
2/10/2021
4.25%
**
1,079,296

UNION PACIFIC CORP SR UNSECURED 02/21 4
2/1/2021
4.00%
**
545,753

UNION PACIFIC CORP SR UNSECURED 07/22 4.163
7/15/2022
4.16%
**
732,792

UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1
1/7/2030
3.10%
**
4,183,275

UNITED PARCEL SERVICE SR UNSECURED 01/21 3.125
1/15/2021
3.13%
**
3,384,833

UNITED PARCEL SERVICE SR UNSECURED 04/19 5.125
4/1/2019
5.13%
**
1,594,734

UNITED TECHNOLOGIES CORP JR SUBORDINA 05/18 VAR
5/4/2018
1.78%
**
7,131,555

UNITEDHEALTH GROUP INC SR UNSECURED 01/27 3.45
1/15/2027
3.45%
**
1,513,587

UNITEDHEALTH GROUP INC SR UNSECURED 02/18 6
2/15/2018
6.00%
**
539,983

UNITEDHEALTH GROUP INC SR UNSECURED 02/21 4.7
2/15/2021
4.70%
**
557,595

UNITEDHEALTH GROUP INC SR UNSECURED 03/19 1.625
3/15/2019
1.63%
**
5,289,615

UNITEDHEALTH GROUP INC SR UNSECURED 07/18 1.9
7/16/2018
1.90%
**
1,958,662

UNITEDHEALTH GROUP INC SR UNSECURED 07/20 2.7
7/15/2020
2.70%
**
609,027

UNITEDHEALTH GROUP INC SR UNSECURED 07/25 3.75
7/15/2025
3.75%
**
1,242,281

UNITEDHEALTH GROUP INC SR UNSECURED 10/17 1.4
10/15/2017
1.40%
**
786,143

UNITEDHEALTH GROUP INC SR UNSECURED 11/17 6
11/15/2017
6.00%
**
311,850

UNITEDHEALTH GROUP INC SR UNSECURED 11/21 3.375
11/15/2021
3.38%
**
1,037,726

UNITEDHEALTH GROUP INC SR UNSECURED 12/17 1.4
12/15/2017
1.40%
**
6,085,126

UNITEDHEALTH GROUP INC SR UNSECURED 12/21 2.875
12/15/2021
2.88%
**
7,906,439

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858
5/15/2112
4.86%
**
5,271,346

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/45 FIXED 3.931
5/15/2045
3.93%
**
7,723,950

UNIV OF NORTH CAROLINA NC AT C UNCHGR 12/34 FIXED 3.847
12/1/2034
3.85%
**
10,196,600

US AIRWAYS 2011 1A PTT PASS THRU CE 04/25 7.125
4/22/2025
7.13%
**
160,085

US BANCORP SR UNSECURED 04/19 2.2
4/25/2019
2.20%
**
1,653,999

US BANK NA CINCINNATI SR UNSECURED 04/19 1.4
4/26/2019
1.40%
**
5,934,762

US BANK NA CINCINNATI SR UNSECURED 09/17 1.375
9/11/2017
1.38%
**
1,746,389

US DOLLAR
 
 
**
337,882

US TREASURY N/B 01/18 0.875
1/15/2018
0.88%
**
70,406,963

US TREASURY N/B 01/18 0.875
1/31/2018
0.88%
**
18,446,302

US TREASURY N/B 01/19 1.25
1/31/2019
1.25%
**
15,108,849

US TREASURY N/B 01/19 1.5
1/31/2019
1.50%
**
12,266,246

US TREASURY N/B 01/20 1.25
1/31/2020
1.25%
**
10,656,162

US TREASURY N/B 01/21 1.375
1/31/2021
1.38%
**
97,408,437

US TREASURY N/B 01/21 2.125
1/31/2021
2.13%
**
4,129,279

US TREASURY N/B 02/17 0.625
2/15/2017
0.63%
**
15,188,614

US TREASURY N/B 02/18 0.75
2/28/2018
0.75%
**
6,444,858

US TREASURY N/B 02/18 2.75
2/28/2018
2.75%
**
4,080,156

US TREASURY N/B 02/18 3.5
2/15/2018
3.50%
**
3,084,141


182
Table of Contents

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

US TREASURY N/B 02/19 1.375
2/28/2019
1.38%
**
26,875,362

US TREASURY N/B 02/19 1.5
2/28/2019
1.50%
**
8,244,846

US TREASURY N/B 02/20 1.25
2/29/2020
1.25%
**
9,920,310

US TREASURY N/B 02/20 1.375
2/29/2020
1.38%
**
4,179,983

US TREASURY N/B 02/41 4.75
2/15/2041
4.75%
**
3,259,375

US TREASURY N/B 02/45 2.5
2/15/2045
2.50%
**
806,121

US TREASURY N/B 02/46 2.5
2/15/2046
2.50%
**
1,883,819

US TREASURY N/B 03/17 1
3/31/2017
1.00%
**
22,017,224

US TREASURY N/B 03/18 0.75
3/31/2018
0.75%
**
7,478,318

US TREASURY N/B 03/19 1.625
3/31/2019
1.63%
**
8,063,440

US TREASURY N/B 03/20 1.375
3/31/2020
1.38%
**
87,151,450

US TREASURY N/B 03/22 1.75
3/31/2022
1.75%
**
12,723,239

US TREASURY N/B 04/18 0.625
4/30/2018
0.63%
**
29,808,729

US TREASURY N/B 04/19 1.625
4/30/2019
1.63%
**
10,279,682

US TREASURY N/B 04/20 1.375
4/30/2020
1.38%
**
16,552,626

US TREASURY N/B 04/21 1.375
4/30/2021
1.38%
**
172,607,808

US TREASURY N/B 04/23 1.625
4/30/2023
1.63%
**
39,659,543

US TREASURY N/B 05/17 0.625
5/31/2017
0.63%
**
17,301,349

US TREASURY N/B 05/18 1
5/31/2018
1.00%
**
20,926,815

US TREASURY N/B 05/19 0.875
5/15/2019
0.88%
**
2,971,290

US TREASURY N/B 05/19 1.5
5/31/2019
1.50%
**
26,722,599

US TREASURY N/B 05/20 1.375
5/31/2020
1.38%
**
9,186,498

US TREASURY N/B 05/20 1.5
5/31/2020
1.50%
**
10,423,144

US TREASURY N/B 05/20 3.5
5/15/2020
3.50%
**
62,229,237

US TREASURY N/B 05/21 1.375
5/31/2021
1.38%
**
47,868,914

US TREASURY N/B 05/23 1.75
5/15/2023
1.75%
**
116,878

US TREASURY N/B 05/25 2.125
5/15/2025
2.13%
**
4,190,834

US TREASURY N/B 05/26 1.625
5/15/2026
1.63%
**
317,050

US TREASURY N/B 05/43 2.875
5/15/2043
2.88%
**
8,765,524

US TREASURY N/B 05/45 3
5/15/2045
3.00%
**
21,436,298

US TREASURY N/B 05/46 2.5
5/15/2046
2.50%
**
35,120,318

US TREASURY N/B 06/17 0.75
6/30/2017
0.75%
**
8,079,102

US TREASURY N/B 06/17 0.875
6/15/2017
0.88%
**
16,519,338

US TREASURY N/B 06/18 1.125
6/15/2018
1.13%
**
3,002,931

US TREASURY N/B 06/18 2.375
6/30/2018
2.38%
**
1,529,004

US TREASURY N/B 06/19 1
6/30/2019
1.00%
**
2,296,915

US TREASURY N/B 06/19 1.625
6/30/2019
1.63%
**
4,835,813

US TREASURY N/B 06/20 1.625
6/30/2020
1.63%
**
32,085,041

US TREASURY N/B 06/20 1.875
6/30/2020
1.88%
**
2,120,261

US TREASURY N/B 06/21 1.125
6/30/2021
1.13%
**
92,207,260

US TREASURY N/B 06/22 2.125
6/30/2022
2.13%
**
1,665,837

US TREASURY N/B 07/17 0.5
7/31/2017
0.50%
**
12,187,605

US TREASURY N/B 07/18 0.875
7/15/2018
0.88%
**
8,971,173

US TREASURY N/B 07/18 1.375
7/31/2018
1.38%
**
6,026,718

US TREASURY N/B 07/18 2.25
7/31/2018
2.25%
**
3,054,024

US TREASURY N/B 07/19 0.875
7/31/2019
0.88%
**
8,979,596

US TREASURY N/B 07/19 1.625
7/31/2019
1.63%
**
4,128,667

US TREASURY N/B 07/20 2
7/31/2020
2.00%
**
3,038,790

US TREASURY N/B 07/21 2.25
7/31/2021
2.25%
**
19,912,093

US TREASURY N/B 07/23 1.25
7/31/2023
1.25%
**
45,695,847

US TREASURY N/B 08/17 0.875
8/15/2017
0.88%
**
94,223,299


183
Table of Contents

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

US TREASURY N/B 08/18 1
8/15/2018
1.00%
**
1,782,630

US TREASURY N/B 08/18 1.5
8/31/2018
1.50%
**
23,435,563

US TREASURY N/B 08/19 1
8/31/2019
1.00%
**
9,905,860

US TREASURY N/B 08/20 1.375
8/31/2020
1.38%
**
4,156,358

US TREASURY N/B 08/20 2.125
8/31/2020
2.13%
**
2,845,281

US TREASURY N/B 08/21 1.125
8/31/2021
1.13%
**
4,145,045

US TREASURY N/B 08/21 2
8/31/2021
2.00%
**
84,896,887

US TREASURY N/B 08/21 8.125
8/15/2021
8.13%
**
1,299,026

US TREASURY N/B 08/26 1.5
8/15/2026
1.50%
**
49,766,428

US TREASURY N/B 08/44 3.125
8/15/2044
3.13%
**
37,650,455

US TREASURY N/B 08/46 2.25
8/15/2046
2.25%
**
25,090,069

US TREASURY N/B 09/17 0.625
9/30/2017
0.63%
**
10,984,534

US TREASURY N/B 09/17 1.875
9/30/2017
1.88%
**
10,888,144

US TREASURY N/B 09/18 0.75
9/30/2018
0.75%
**
95,450,556

US TREASURY N/B 09/18 1
9/15/2018
1.00%
**
2,604,496

US TREASURY N/B 09/18 1.375
9/30/2018
1.38%
**
18,067,500

US TREASURY N/B 09/19 1
9/30/2019
1.00%
**
12,221,190

US TREASURY N/B 09/20 1.375
9/30/2020
1.38%
**
6,470,858

US TREASURY N/B 09/21 2.125
9/30/2021
2.13%
**
80,068,729

US TREASURY N/B 09/23 1.375
9/30/2023
1.38%
**
3,532,280

US TREASURY N/B 10/17 0.75
10/31/2017
0.75%
**
22,100,136

US TREASURY N/B 10/17 0.875
10/15/2017
0.88%
**
1,990,310

US TREASURY N/B 10/17 1.875
10/31/2017
1.88%
**
3,927,558

US TREASURY N/B 10/18 0.75
10/31/2018
0.75%
**
48,776,854

US TREASURY N/B 10/18 1.25
10/31/2018
1.25%
**
34,054,468

US TREASURY N/B 10/19 1.5
10/31/2019
1.50%
**
19,722,653

US TREASURY N/B 10/20 1.375
10/31/2020
1.38%
**
888,961

US TREASURY N/B 10/20 1.75
10/31/2020
1.75%
**
5,210,358

US TREASURY N/B 10/23 1.625
10/31/2023
1.63%
**
21,165,540

US TREASURY N/B 11/17 0.625
11/30/2017
0.63%
**
32,773,000

US TREASURY N/B 11/17 0.875
11/15/2017
0.88%
**
43,501,697

US TREASURY N/B 11/17 0.875
11/30/2017
0.88%
**
69,435,416

US TREASURY N/B 11/18 1
11/30/2018
1.00%
**
547,694,794

US TREASURY N/B 11/18 1.25
11/30/2018
1.25%
**
142,064,988

US TREASURY N/B 11/18 1.25
11/15/2018
1.25%
**
48,048,066

US TREASURY N/B 11/19 1
11/15/2019
1.00%
**
32,108,993

US TREASURY N/B 11/19 1
11/30/2019
1.00%
**
3,655,485

US TREASURY N/B 11/19 1.5
11/30/2019
1.50%
**
4,108,487

US TREASURY N/B 11/20 2
11/30/2020
2.00%
**
12,159,586

US TREASURY N/B 11/20 2.625
11/15/2020
2.63%
**
40,093,111

US TREASURY N/B 11/21 1.75
11/30/2021
1.75%
**
10,292,629

US TREASURY N/B 11/22 2
11/30/2022
2.00%
**
47,159,130

US TREASURY N/B 11/23 2.125
11/30/2023
2.13%
**
40,951,225

US TREASURY N/B 11/26 2
11/15/2026
2.00%
**
88,993,879

US TREASURY N/B 11/40 4.25
11/15/2040
4.25%
**
20,323,398

US TREASURY N/B 11/42 2.75
11/15/2042
2.75%
**
9,676,320

US TREASURY N/B 11/46 2.875
11/15/2046
2.88%
**
29,779,890

US TREASURY N/B 12/17 0.75
12/31/2017
0.75%
**
10,083,426

US TREASURY N/B 12/17 1
12/15/2017
1.00%
**
46,048,530

US TREASURY N/B 12/17 1
12/31/2017
1.00%
**
37,088,944

US TREASURY N/B 12/18 1.375
12/31/2018
1.38%
**
6,019,452


184
Table of Contents

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

US TREASURY N/B 12/18 1.5
12/31/2018
1.50%
**
14,493,866

US TREASURY N/B 12/19 1.125
12/31/2019
1.13%
**
8,090,530

US TREASURY N/B 12/19 1.375
12/15/2019
1.38%
**
254,230,721

US TREASURY N/B 12/20 1.75
12/31/2020
1.75%
**
1,999,376

US TREASURY N/B 12/23 2.25
12/31/2023
2.25%
**
18,658,747

USAA AUTO OWNER TRUST USAOT 2015 1 A4
11/16/2020
1.54%
**
1,241,783

VALERO ENERGY CORP SR UNSECURED 03/19 9.375
3/15/2019
9.38%
**
201,530

VALSPAR CORP SR UNSECURED 05/17 6.05
5/1/2017
6.05%
**
2,397,379

VENTAS REALTY LP/CAP CRP COMPANY GUAR 02/18 2
2/15/2018
2.00%
**
7,137,659

VENTAS REALTY LP/CAP CRP COMPANY GUAR 04/19 4
4/30/2019
4.00%
**
2,384,359

VERIZON COMMUNICATIONS SR UNSECURED 02/20 2.625
2/21/2020
2.63%
**
24,510,923

VERIZON COMMUNICATIONS SR UNSECURED 03/24 4.15
3/15/2024
4.15%
**
13,271,271

VERIZON COMMUNICATIONS SR UNSECURED 04/21 4.6
4/1/2021
4.60%
**
3,248,811

VERIZON COMMUNICATIONS SR UNSECURED 08/19 1.375
8/15/2019
1.38%
**
6,521,889

VERIZON COMMUNICATIONS SR UNSECURED 08/26 2.625
8/15/2026
2.63%
**
1,040,224

VERIZON COMMUNICATIONS SR UNSECURED 09/20 4.5
9/15/2020
4.50%
**
856,090

VERIZON COMMUNICATIONS SR UNSECURED 09/23 5.15
9/15/2023
5.15%
**
38,933,212

VERIZON COMMUNICATIONS SR UNSECURED 11/22 2.45
11/1/2022
2.45%
**
2,356,816

VERIZON COMMUNICATIONS SR UNSECURED 11/24 3.5
11/1/2024
3.50%
**
897,113

VERIZON OWNER TRUST VZOT 2016 1A A 144A
1/20/2021
1.42%
**
273,188

VF CORP SR UNSECURED 11/17 5.95
11/1/2017
5.95%
**
259,199

VIACOM INC SR UNSECURED 04/24 3.875
4/1/2024
3.88%
**
310,567

VIACOM INC SR UNSECURED 06/22 3.125
6/15/2022
3.13%
**
383,006

VIACOM INC SR UNSECURED 09/19 5.625
9/15/2019
5.63%
**
866,034

VIRGINIA ELEC + POWER CO SR UNSECURED 01/18 1.2
1/15/2018
1.20%
**
285,780

VIRGINIA ELEC + POWER CO SR UNSECURED 01/26 3.15
1/15/2026
3.15%
**
3,971,256

VISA INC SR UNSECURED 12/17 1.2
12/14/2017
1.20%
**
7,855,884

VISA INC SR UNSECURED 12/20 2.2
12/14/2020
2.20%
**
3,571,068

VISA INC SR UNSECURED 12/25 3.15
12/14/2025
3.15%
**
1,386,053

VISA INC SR UNSECURED 12/45 4.3
12/14/2045
4.30%
**
390,540

VNO MORTGAGE TRUST VNDO 2012 6AVE A 144A
11/15/2030
3.00%
**
504,610

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
2/27/2017
5.63%
**
301,725

VODAFONE GROUP PLC SR UNSECURED 02/18 1.5
2/19/2018
1.50%
**
398,514

VODAFONE GROUP PLC SR UNSECURED 06/19 5.45
6/10/2019
5.45%
**
2,448,355

VODAFONE GROUP PLC SR UNSECURED 07/18 4.625
7/15/2018
4.63%
**
415,884

VODAFONE GROUP PLC SR UNSECURED 09/17 1.25
9/26/2017
1.25%
**
349,351

VOLKSWAGEN AUTO LEASE TRUST VWALT 2015 A A3
12/20/2017
1.25%
**
1,245,910

VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 05/18 1.65
5/22/2018
1.65%
**
637,520

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 03/17 2.375
3/22/2017
2.38%
**
501,125

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 11/17 1.6
11/20/2017
1.60%
**
199,488

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A5
12/15/2043
5.34%
**
2,662,275

WACHOVIA CAP TRUST III LIMITD GUARA 03/49 VAR
3/29/2049
5.57%
**
2,453,250

WACHOVIA CORP COMPANY GUAR 02/18 5.75
2/1/2018
5.75%
**
2,121,681

WAL MART STORES INC SR UNSECURED 02/18 5.8
2/15/2018
5.80%
**
2,066,071

WAL MART STORES INC SR UNSECURED 04/17 5.375
4/5/2017
5.38%
**
480,206

WALDORF ASTORIA BOCA RATON TRU WABR 2016 BOCA A 144A
6/15/2029
2.05%
**
1,100,297

WALGREENS BOOTS ALLIANCE SR UNSECURED 05/18 1.75
5/30/2018
1.75%
**
1,951,948

WALGREENS BOOTS ALLIANCE SR UNSECURED 06/21 2.6
6/1/2021
2.60%
**
596,233

WALGREENS BOOTS ALLIANCE SR UNSECURED 06/23 3.1
6/1/2023
3.10%
**
6,814,662

WALGREENS BOOTS ALLIANCE SR UNSECURED 06/26 3.45
6/1/2026
3.45%
**
1,923,938

WALGREENS BOOTS ALLIANCE SR UNSECURED 11/17 1.75
11/17/2017
1.75%
**
1,669,154


185
Table of Contents

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

WALT DISNEY COMPANY/THE SR UNSECURED 05/17 0.875
5/30/2017
0.88%
**
303,825

WALT DISNEY COMPANY/THE SR UNSECURED 08/21 2.75
8/16/2021
2.75%
**
631,150

WALT DISNEY COMPANY/THE SR UNSECURED 12/17 1.1
12/1/2017
1.10%
**
349,698

WALT DISNEY COMPANY/THE SR UNSECURED 12/17 5.875
12/15/2017
5.88%
**
177,398

WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
2/27/2034
1.85%
**
2,306,139

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
1/25/2045
0.90%
**
2,650,188

WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A
10/25/2046
2.10%
**
399,090

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 2A
2/25/2033
2.75%
**
24,804

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS2 3A1
3/25/2018
5.00%
**
44,448

WASHINGTON ST WAS 07/19 FIXED 5
7/1/2019
5.00%
**
3,256,350

WASTE MANAGEMENT INC COMPANY GUAR 03/21 4.6
3/1/2021
4.60%
**
355,962

WASTE MANAGEMENT INC COMPANY GUAR 05/24 3.5
5/15/2024
3.50%
**
1,020,729

WEA FINANCE LLC/WESTFIEL COMPANY GUAR 144A 09/19 2.7
9/17/2019
2.70%
**
2,786,536

WELLS FARGO + COMPANY SR UNSECURED 01/18 1.5
1/16/2018
1.50%
**
968,838

WELLS FARGO + COMPANY SR UNSECURED 01/20 2.15
1/30/2020
2.15%
**
9,156,531

WELLS FARGO + COMPANY SR UNSECURED 04/19 2.125
4/22/2019
2.13%
**
5,016,180

WELLS FARGO + COMPANY SR UNSECURED 04/21 4.6
4/1/2021
4.60%
**
5,372,700

WELLS FARGO + COMPANY SR UNSECURED 10/26 3
10/23/2026
3.00%
**
2,400,040

WELLS FARGO + COMPANY SR UNSECURED 12/17 5.625
12/11/2017
5.63%
**
2,540,060

WELLS FARGO + COMPANY SUBORDINATED 01/24 4.48
1/16/2024
4.48%
**
10,920,295

WELLS FARGO + COMPANY SUBORDINATED 02/23 3.45
2/13/2023
3.45%
**
2,609,357

WELLS FARGO + COMPANY SUBORDINATED 07/27 4.3
7/22/2027
4.30%
**
2,941,722

WELLS FARGO + COMPANY SUBORDINATED 11/44 4.65
11/4/2044
4.65%
**
3,149,539

WELLS FARGO + COMPANY SUBORDINATED 11/45 4.9
11/17/2045
4.90%
**
380,035

WELLS FARGO BANK NA SR UNSECURED 05/19 1.75
5/24/2019
1.75%
**
10,240,248

WELLS FARGO BANK NA SR UNSECURED 12/19 2.15
12/6/2019
2.15%
**
25,324,290

WELLS FARGO BANK NA SUBORDINATED 11/17 6
11/15/2017
6.00%
**
705,699

WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 C29 A2
6/15/2048
2.55%
**
6,366,083

WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 C30 A2
9/15/2058
2.57%
**
1,012,291

WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 NXS2 A3
7/15/2058
3.25%
**
5,270,134

WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 NXS3 ASB
9/15/2057
3.37%
**
2,889,532

WELLS FARGO COMMERCIAL MORTGAG WFCM 2016 C37 A3
12/15/2049
3.70%
**
3,809,752

WELLS FARGO DEALER FLOORPLAN M GEDFT 2015 1 A
1/20/2020
1.24%
**
6,409,455

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 AA A1
12/25/2034
3.03%
**
646,259

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 EE 2A1
12/25/2034
3.03%
**
661,854

WELLTOWER INC SR UNSECURED 03/18 2.25
3/15/2018
2.25%
**
7,230,773

WELLTOWER INC SR UNSECURED 04/26 4.25
4/1/2026
4.25%
**
2,695,126

WESFARMERS LTD COMPANY GUAR 144A 03/18 1.874
3/20/2018
1.87%
**
319,630

WESTERN GAS PARTNERS SR UNSECURED 07/22 4
7/1/2022
4.00%
**
381,119

WESTERN GAS PARTNERS SR UNSECURED 08/18 2.6
8/15/2018
2.60%
**
280,540

WESTPAC BANKING CORP COVERED 144A 11/18 1.85
11/26/2018
1.85%
**
10,394,492

WESTPAC BANKING CORP SR UNSECURED 05/21 2.1
5/13/2021
2.10%
**
586,653

WESTPAC BANKING CORP SR UNSECURED 07/18 2.25
7/30/2018
2.25%
**
1,545,924

WESTPAC BANKING CORP SR UNSECURED 08/19 1.6
8/19/2019
1.60%
**
8,220,900

WESTPAC BANKING CORP SR UNSECURED 11/18 1.95
11/23/2018
1.95%
**
500,821

WESTPAC BANKING CORP SR UNSECURED 11/19 4.875
11/19/2019
4.88%
**
321,924

WESTROCK RKT CO COMPANY GUAR 03/22 4.9
3/1/2022
4.90%
**
352,800

WEYERHAEUSER CO SR UNSECURED 10/19 7.375
10/1/2019
7.38%
**
5,612,930

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 A5
3/15/2045
3.07%
**
407,589

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 AS
3/15/2045
3.31%
**
575,388

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C19 B
3/15/2047
4.72%
**
320,180


186
Table of Contents

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

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C20 C
5/15/2047
4.51%
**
1,897,209

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C22 AS
9/15/2057
4.07%
**
4,834,633

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 AS
10/15/2057
4.21%
**
4,574,052

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 B
10/15/2057
4.38%
**
5,116,979

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C23 C
10/15/2057
3.85%
**
1,613,562

WHIRLPOOL CORP SR UNSECURED 11/17 1.65
11/1/2017
1.65%
**
3,235,624

WI TREASURY SEC 01/17 0.875
1/31/2017
0.88%
**
63,410,227

WI TREASURY SEC 02/17 0.00000
2/9/2017
0.01%
**
73,600,295

WILLIAMS PARTNERS LP SR UNSECURED 03/22 3.6
3/15/2022
3.60%
**
562,963

WILLIAMS PARTNERS LP SR UNSECURED 03/24 4.3
3/4/2024
4.30%
**
22,650,061

WILLIAMS PARTNERS LP SR UNSECURED 08/22 3.35
8/15/2022
3.35%
**
4,474,112

WILLIAMS PARTNERS LP SR UNSECURED 11/23 4.5
11/15/2023
4.50%
**
5,136,125

WISC ELEC POWER SR UNSECURED 06/18 1.7
6/15/2018
1.70%
**
50,121

WISCONSIN POWER + LIGHT SR UNSECURED 07/19 5
7/15/2019
5.00%
**
141,866

WISCONSIN PUBLIC SERVICE SR UNSECURED 12/18 1.65
12/4/2018
1.65%
**
164,829

WISCONSIN ST GEN FUND ANNUAL A WISGEN 05/27 FIXED 2.483
5/1/2027
2.48%
**
1,866,900

WISCONSIN ST WIS 05/19 FIXED 5
5/1/2019
5.00%
**
1,779,413

WM WRIGLEY JR CO SR UNSECURED 144A 10/18 2.4
10/21/2018
2.40%
**
1,684,941

WM WRIGLEY JR CO SR UNSECURED 144A 10/19 2.9
10/21/2019
2.90%
**
5,331,501

WM WRIGLEY JR CO SR UNSECURED 144A 10/20 3.375
10/21/2020
3.38%
**
4,346,194

WORLD FINANCIAL NETWORK CREDIT WFNMT 2012 D A
4/17/2023
2.15%
**
2,007,430

WORLD FINANCIAL NETWORK CREDIT WFNMT 2015 B A
6/17/2024
2.55%
**
1,011,334

WORLD FINANCIAL NETWORK CREDIT WFNMT 2016 A A
4/15/2025
2.03%
**
11,417,111

WORLD OMNI AUTO RECEIVABLES TR WOART 2014 B A3
1/15/2020
1.14%
**
1,223,116

WORLD OMNI AUTO RECEIVABLES TR WOART 2015 B A4
1/17/2022
1.84%
**
1,539,469

WORLD OMNI AUTOMOBILE LEASE SE WOLS 2014 A A3
9/15/2017
1.16%
**
477,139

WORLD OMNI AUTOMOBILE LEASE SE WOLS 2015 A A3
10/15/2018
1.54%
**
1,822,697

WORLD OMNI AUTOMOBILE LEASE SE WOLS 2016 A A3
8/15/2019
1.45%
**
1,404,550

WYETH LLC COMPANY GUAR 04/17 5.45
4/1/2017
5.45%
**
1,237,631

XEROX CORPORATION SR UNSECURED 03/17 2.95
3/15/2017
2.95%
**
4,142,443

XEROX CORPORATION SR UNSECURED 09/20 2.75
9/1/2020
2.75%
**
1,755,715

XYLEM INC SR UNSECURED 10/21 4.875
10/1/2021
4.88%
**
869,055

ZIMMER BIOMET HOLDINGS SR UNSECURED 04/18 2
4/1/2018
2.00%
**
6,247,619

ZIMMER BIOMET HOLDINGS SR UNSECURED 04/22 3.15
4/1/2022
3.15%
**
2,323,630

ZIMMER BIOMET HOLDINGS SR UNSECURED 04/25 3.55
4/1/2025
3.55%
**
1,266,183

ZOETIS INC SR UNSECURED 02/18 1.875
2/1/2018
1.88%
**
3,859,989

ZOETIS INC SR UNSECURED 11/20 3.45
11/13/2020
3.45%
**
1,026,361

ZOETIS INC SR UNSECURED 11/25 4.5
11/13/2025
4.50%
**
2,120,296

TOTAL
 
 
 
$
49,811,309,806

 
 
 
 
 
*PARTICIPANT LOANS (Interest from 3.25% to 9.50% maturing through January 2037)
 
 
**
$
713,495,086

 
 
 
 
 
*Party-in-interest
 
 
 
 
 
 
 
 
 
**Cost information is not required for participant directed investment and therefore is not included.
 
 
 
 
 
 
 
 
 (Concluded)



187
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, 2016
Party Involved
Relationship to Plan
Description of Transaction
Cost of Asset
Current Value of Asset
Net Gain on Each Transaction
The Boeing Company
Plan sponsor
Plan assets were inadvertently used to pay plan sponsor expenses.

$245,035


$257,326


$12,291

State Street Bank and Trust Company
Trustee
Plan assets were inadvertently used to make an overpayment to the Trustee.

$376


$823


$447



188