Attached files
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8-K/A - 8-K/A - Allied World Assurance Co Holdings, AG | form_8-kxax20160219xinvest.htm |
Exhibit 99.1
Allied World Assurance Company Holdings, AG | |||||
Securities Listing as at December 31, 2015 |
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
U.S Government Securities | ||||||||||||
UNITED STATES TREASURY | 0.00 | 6/23/2016 | 1,700,000 | $ | 1,698,089 | |||||||
UNITED STATES TREASURY | 0.00 | 9/15/2016 | 20,000,000 | 19,955,544 | ||||||||
UNITED STATES TREASURY | 0.00 | 6/2/2016 | 5,883,000 | 5,872,370 | ||||||||
UNITED STATES TREASURY | 6.63 | 2/15/2027 | 625,000 | 886,325 | ||||||||
UNITED STATES TREASURY | 3.63 | 2/15/2044 | 300,000 | 337,620 | ||||||||
UNITED STATES TREASURY | 2.00 | 11/30/2020 | 900,000 | 909,288 | ||||||||
UNITED STATES TREASURY | 2.13 | 1/31/2021 | 10,185,000 | 10,336,960 | ||||||||
UNITED STATES TREASURY | 2.75 | 2/15/2024 | 4,575,000 | 4,765,183 | ||||||||
UNITED STATES TREASURY | 1.63 | 3/31/2019 | 10,000,000 | 10,064,800 | ||||||||
UNITED STATES TREASURY | 0.88 | 4/15/2017 | 18,950,000 | 18,947,726 | ||||||||
UNITED STATES TREASURY | 1.75 | 9/30/2019 | 10,900,000 | 10,975,537 | ||||||||
UNITED STATES TREASURY | 0.88 | 10/15/2017 | 36,600,000 | 36,489,833 | ||||||||
UNITED STATES TREASURY | 4.63 | 11/15/2016 | 825,000 | 852,192 | ||||||||
UNITED STATES TREASURY | 0.88 | 11/15/2017 | 18,710,000 | 18,648,070 | ||||||||
UNITED STATES TREASURY | 2.25 | 11/15/2024 | 4,000,000 | 3,997,840 | ||||||||
UNITED STATES TREASURY | 0.50 | 11/30/2016 | 93,500,000 | 93,284,950 | ||||||||
UNITED STATES TREASURY | 1.00 | 12/15/2017 | 4,600,000 | 4,593,882 | ||||||||
UNITED STATES TREASURY | 2.13 | 12/31/2021 | 905,000 | 913,154 | ||||||||
UNITED STATES TREASURY | 1.63 | 12/31/2019 | 19,400,000 | 19,403,492 | ||||||||
UNITED STATES TREASURY | 2.63 | 7/15/2017 | 7,000,000 | 8,385,542 | ||||||||
UNITED STATES TREASURY | 0.63 | 12/31/2016 | 4,000,000 | 3,994,360 | ||||||||
UNITED STATES TREASURY | 0.88 | 1/15/2018 | 2,000,000 | 1,991,060 | ||||||||
UNITED STATES TREASURY | 0.25 | 1/15/2025 | 2,880,000 | 2,762,718 | ||||||||
UNITED STATES TREASURY | 0.50 | 1/31/2017 | 60,000,000 | 59,797,800 | ||||||||
UNITED STATES TREASURY | 1.00 | 2/15/2018 | 19,675,000 | 19,617,352 | ||||||||
UNITED STATES TREASURY | 0.50 | 2/28/2017 | 4,400,000 | 4,383,104 | ||||||||
UNITED STATES TREASURY | 1.38 | 2/29/2020 | 3,000,000 | 2,965,950 | ||||||||
UNITED STATES TREASURY | 1.00 | 3/15/2018 | 36,850,000 | 36,729,870 | ||||||||
UNITED STATES TREASURY | 1.38 | 4/30/2020 | 2,075,000 | 2,048,419 | ||||||||
UNITED STATES TREASURY | 2.00 | 8/15/2025 | 7,400,000 | 7,215,296 | ||||||||
UNITED STATES TREASURY | 1.00 | 8/15/2018 | 24,500,000 | 24,342,710 | ||||||||
UNITED STATES TREASURY | 1.00 | 9/15/2018 | 1,400,000 | 1,390,088 | ||||||||
UNITED STATES TREASURY | 1.38 | 9/30/2020 | 11,700,000 | 11,498,643 | ||||||||
UNITED STATES TREASURY | 3.63 | 8/15/2019 | 18,955,000 | 20,349,899 | ||||||||
UNITED STATES TREASURY | 1.25 | 11/15/2018 | 1,700,000 | 1,697,348 | ||||||||
UNITED STATES TREASURY | 0.88 | 11/30/2017 | 10,000,000 | 9,970,300 |
Page 1
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
UNITED STATES TREASURY | 1.13 | 1/15/2021 | 5,795,000 | 6,499,477 | ||||||||
UNITED STATES TREASURY | 2.38 | 5/31/2018 | 4,480,000 | 4,606,963 | ||||||||
UNITED STATES TREASURY | 1.50 | 7/31/2016 | 175,000 | 175,899 | ||||||||
UNITED STATES TREASURY | 1.38 | 9/30/2018 | 22,600,000 | 22,670,963 | ||||||||
UNITED STATES TREASURY | 1.00 | 9/30/2016 | 100,000 | 100,215 | ||||||||
UNITED STATES TREASURY | 1.00 | 10/31/2016 | 950,000 | 952,081 | ||||||||
UNITED STATES TREASURY | 0.88 | 12/31/2016 | 21,806,500 | 21,825,908 | ||||||||
UNITED STATES TREASURY | 0.88 | 1/31/2017 | 18,260,000 | 18,269,860 | ||||||||
UNITED STATES TREASURY | 0.88 | 2/28/2017 | 520,000 | 520,218 | ||||||||
UNITED STATES TREASURY | 0.63 | 8/31/2017 | 28,100,000 | 27,922,690 | ||||||||
UNITED STATES TREASURY | 0.63 | 9/30/2017 | 30,300,000 | 30,092,446 | ||||||||
UNITED STATES TREASURY | 0.75 | 10/31/2017 | 35,285,000 | 35,097,637 | ||||||||
UNITED STATES TREASURY | 1.00 | 11/30/2019 | 2,100,000 | 2,052,960 | ||||||||
UNITED STATES TREASURY | 0.75 | 12/31/2017 | 83,000,000 | 82,442,242 | ||||||||
UNITED STATES TREASURY | 0.38 | 1/15/2016 | 2,585,000 | 2,585,103 | ||||||||
UNITED STATES TREASURY | 0.13 | 1/15/2023 | 12,000,000 | 11,864,412 | ||||||||
UNITED STATES TREASURY | 0.88 | 1/31/2018 | 11,815,000 | 11,757,579 | ||||||||
UNITED STATES TREASURY | 0.38 | 2/15/2016 | 10,300,000 | 10,301,751 | ||||||||
UNITED STATES TREASURY | 1.13 | 3/31/2020 | 1,735,000 | 1,696,535 | ||||||||
UNITED STATES TREASURY | 0.25 | 4/15/2016 | 1,096,000 | 1,095,847 | ||||||||
UNITED STATES TREASURY | 0.25 | 5/15/2016 | 22,000,000 | 21,988,340 | ||||||||
UNITED STATES TREASURY | 1.38 | 6/30/2018 | 18,460,000 | 18,537,163 | ||||||||
UNITED STATES TREASURY | 0.38 | 5/31/2016 | 1,300,000 | 1,299,662 | ||||||||
UNITED STATES TREASURY | 0.88 | 6/15/2017 | 315,660,000 | 315,366,430 | ||||||||
UNITED STATES TREASURY | 0.50 | 6/30/2016 | 22,719,000 | 22,718,773 | ||||||||
UNITED STATES TREASURY | 1.63 | 6/30/2019 | 19,000,000 | 19,087,588 | ||||||||
UNITED STATES TREASURY | 0.88 | 7/15/2017 | 21,905,000 | 21,868,419 | ||||||||
UNITED STATES TREASURY | 0.13 | 7/15/2024 | 5,000,000 | 4,761,750 | ||||||||
UNITED STATES TREASURY | 0.50 | 7/31/2016 | 21,000,000 | 20,987,820 | ||||||||
UNITED STATES TREASURY | 1.00 | 5/15/2018 | 2,805,000 | 2,791,676 | ||||||||
UNITED STATES TREASURY | 2.13 | 5/15/2025 | 6,000,000 | 5,921,160 | ||||||||
UNITED STATES TREASURY | 1.88 | 5/31/2022 | 5,500,000 | 5,448,190 | ||||||||
UNITED STATES TREASURY | 1.50 | 5/31/2020 | 119,000,000 | 117,983,745 | ||||||||
UNITED STATES TREASURY | 1.13 | 6/15/2018 | 14,000,000 | 13,969,620 | ||||||||
UNITED STATES TREASURY | 1.63 | 6/30/2020 | 2,200,000 | 2,190,870 | ||||||||
UNITED STATES TREASURY | 0.63 | 6/30/2017 | 3,800,000 | 3,781,190 | ||||||||
UNITED STATES TREASURY | 0.88 | 7/15/2018 | 23,000,000 | 22,795,530 | ||||||||
UNITED STATES TREASURY | 0.63 | 7/31/2017 | 111,000 | 110,388 | ||||||||
UNITED STATES TREASURY | 2.00 | 7/31/2022 | 200,000 | 199,484 | ||||||||
1,396,755,500 | $ | 1,396,411,897 | ||||||||||
U.S Government Agencies | ||||||||||||
FEDERAL HOME LOAN BANKS | 1.50 | 5/8/2020 | 3,030,000 | $ | 2,984,805 | |||||||
FNMA | 1.60 | 12/24/2020 | 925,000 | 906,232 | ||||||||
FNMA | 1.88 | 9/18/2018 | 21,000,000 | 21,298,200 |
Page 2
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 1.25 | 5/12/2017 | 6,000,000 | 6,016,561 | ||||||||
PRIVATE EXPORT FUNDING CORPORA | 1.88 | 7/15/2018 | 67,000 | 67,328 | ||||||||
PRIVATE EXPORT FUNDING CORPORA | 3.55 | 1/15/2024 | 6,000,000 | 6,363,599 | ||||||||
37,022,000 | $ | 37,636,724 | ||||||||||
Non U.S Government Securities & Agencies | ||||||||||||
CANADA GOVERNMENT | 0.75 | 9/1/2020 | 4,160,000 | $ | 2,998,009 | |||||||
CANADA GOVERNMENT | 0.25 | 11/1/2017 | 95,000 | 68,106 | ||||||||
CANADA GOVERNMENT | 1.50 | 9/1/2017 | 2,100,000 | 1,536,926 | ||||||||
CANADA GOVERNMENT | 1.25 | 3/1/2018 | 2,660,000 | 1,946,160 | ||||||||
CANADA GOVERNMENT | 1.00 | 8/1/2016 | 760,000 | 548,791 | ||||||||
CANADA GOVERNMENT | 1.25 | 9/1/2018 | 8,300,000 | 6,091,905 | ||||||||
CANADA GOVERNMENT | 1.50 | 2/1/2017 | 8,275,000 | 6,022,146 | ||||||||
CANADA GOVERNMENT | 1.75 | 3/1/2019 | 1,970,000 | 1,471,040 | ||||||||
CANADA GOVERNMENT | 1.00 | 5/1/2016 | 650,000 | 468,738 | ||||||||
CANADA GOVERNMENT | 1.63 | 2/27/2019 | 10,500,000 | 10,540,216 | ||||||||
CANADA GOVERNMENT | 1.75 | 9/1/2019 | 3,000,000 | 2,248,823 | ||||||||
CANADA GOVERNMENT | 1.25 | 8/1/2017 | 7,439,000 | 5,419,958 | ||||||||
CANADA GOVERNMENT | 1.50 | 3/1/2020 | 720,000 | 536,634 | ||||||||
CANADA GOVERNMENT | 0.75 | 3/1/2021 | 110,000 | 78,805 | ||||||||
CANADA GOVERNMENT | 4.25 | 6/1/2018 | 6,160,000 | 4,830,662 | ||||||||
CANADA GOVERNMENT | 3.25 | 6/1/2021 | 250,000 | 202,667 | ||||||||
CANADA GOVERNMENT | 2.75 | 9/1/2016 | 1,000,000 | 730,646 | ||||||||
CANADA GOVERNMENT | 1.50 | 3/1/2017 | 4,500,000 | 3,277,539 | ||||||||
ELECTRICITE DE FRANCE SA | 6.50 | 1/26/2019 | 1,025,000 | 1,145,375 | ||||||||
ELECTRICITE DE FRANCE SA | 1.15 | 1/20/2017 | 2,295,000 | 2,285,871 | ||||||||
ELECTRICITE DE FRANCE SA | 2.35 | 10/13/2020 | 3,500,000 | 3,445,224 | ||||||||
EXPORT-IMPORT BANK OF KOREA | 1.38 | 9/17/2016 | 1,400,000 | 1,401,945 | ||||||||
CANADA GOVERNMENT | 0.88 | 2/14/2017 | 1,700,000 | 1,696,124 | ||||||||
KREDITANSTALT FUER WIEDERAUFBA | 4.38 | 2/9/2016 | 900,000 | 649,929 | ||||||||
ONTARIO PROVINCE OF | 2.50 | 9/10/2021 | 240,000 | 240,031 | ||||||||
QUEBEC PROVINCE | 2.75 | 8/25/2021 | 240,000 | 243,293 | ||||||||
SINOPEC GROUP OVERSEAS DEVELOP | 1.75 | 4/10/2017 | 1,265,000 | 1,261,287 | ||||||||
STATOILHYDRO ASA | 2.25 | 11/8/2019 | 3,560,000 | 3,540,341 | ||||||||
GOVERNMENT OF SINGAPORE | 4.00 | 9/1/2018 | 29,750,000 | 22,444,877 | ||||||||
AIRPORT AUTHORITY HONG KONG | 5.10 | 4/13/2016 | 31,000,000 | 4,022,642 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 4.00 | 7/14/2016 | 2,500,000 | 1,784,249 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 3.25 | 1/4/2020 | 2,325,000 | 2,871,080 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 3.00 | 7/4/2020 | 1,300,000 | 1,608,866 | ||||||||
HONG KONG MORTGAGE CORP LTD | 2.00 | 1/11/2016 | 11,000,000 | 1,419,690 | ||||||||
CHINA DEVELOPMENT BANK CORP (H | 2.70 | 1/25/2016 | 12,000,000 | 1,549,596 | ||||||||
SINGAPORE LABOUR FOUNDATION | 1.30 | 6/8/2017 | 2,000,000 | 1,393,818 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.44 | 6/19/2017 | 30,000,000 | 3,876,699 | ||||||||
URBAN RENEWAL AUTHORITY | 1.50 | 7/13/2017 | 30,000,000 | 3,896,763 | ||||||||
KREDITANSTALT FUER WIEDERAUFBA | 0.50 | 7/25/2016 | 10,000,000 | 10,907,430 |
Page 3
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
HOUSING AND DEVELOPMENT BOARD | 1.11 | 8/30/2017 | 5,500,000 | 3,840,870 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.25 | 9/18/2017 | 40,000,000 | 5,144,675 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.27 | 12/18/2017 | 58,000,000 | 7,446,308 | ||||||||
CHINA DEVELOPMENT BANK CORP (H | 1.93 | 1/11/2018 | 50,000,000 | 6,452,295 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 0.94 | 3/21/2016 | 5,000,000 | 3,518,063 | ||||||||
CHINA GLOBAL | 2.87 | 6/27/2016 | 15,000,000 | 2,271,116 | ||||||||
AIRPORT AUTHORITY HONG KONG | 1.50 | 9/19/2016 | 10,000,000 | 1,283,433 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 1.88 | 11/13/2017 | 2,500,000 | 1,766,821 | ||||||||
AUSTRALIA COMMONWEALTH OF | 3.25 | 10/21/2018 | 1,630,000 | 1,225,350 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 0.50 | 4/12/2019 | 6,695,000 | 7,453,507 | ||||||||
EXPORT-IMPORT BANK OF CHINA | 3.00 | 5/14/2016 | 5,000,000 | 754,497 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.34 | 6/24/2019 | 25,000,000 | 3,281,549 | ||||||||
HONG KONG SCIENCE AND TECHNOLO | 2.12 | 7/11/2019 | 9,000,000 | 1,173,999 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.32 | 12/23/2019 | 10,000,000 | 1,310,684 | ||||||||
HONG KONG MORTGAGE CORP LTD | 1.00 | 2/12/2018 | 21,500,000 | 2,755,636 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 0.25 | 10/16/2020 | 1,320,000 | 1,453,905 | ||||||||
NONGHYUP BANK | 2.25 | 7/16/2018 | 1,000,000 | 695,866 | ||||||||
MONETARY AUTHORITY OF SINGAPOR | 0.00 | 1/19/2016 | 6,000,000 | 4,227,426 | ||||||||
EXPORT-IMPORT BANK OF KOREA | 2.07 | 4/6/2017 | 2,000,000 | 1,406,323 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 2.10 | 11/3/2020 | 1,000,000 | 696,507 | ||||||||
JAPAN (GOVERNMENT OF) | 0.00 | 3/28/2016 | 6,100,000,000 | 50,710,809 | ||||||||
JAPAN (GOVERNMENT OF) | 0.00 | 4/7/2016 | 4,800,000,000 | 39,906,121 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 0.50 | 10/13/2017 | 9,040,000 | 9,968,338 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 4.00 | 7/4/2016 | 1,970,000 | 2,186,663 | ||||||||
FMS WERTMANAGEMENT LT GTD | 2.75 | 6/3/2016 | 22,200,000 | 24,408,868 | ||||||||
UNITED KINGDOM GILT | 3.75 | 9/7/2019 | 3,790,000 | 6,118,993 | ||||||||
UNITED KINGDOM GILT | 4.50 | 3/7/2019 | 750,000 | 1,228,017 | ||||||||
UNITED KINGDOM GILT | 4.75 | 3/7/2020 | 2,600,000 | 4,389,333 | ||||||||
UNITED KINGDOM GILT | 3.75 | 9/7/2020 | 2,400,000 | 3,934,252 | ||||||||
UNITED KINGDOM GILT | 1.75 | 1/22/2017 | 3,175,000 | 4,742,808 | ||||||||
UNITED KINGDOM GILT | 1.00 | 9/7/2017 | 4,230,000 | 6,271,381 | ||||||||
UNITED KINGDOM GILT | 1.25 | 7/22/2018 | 5,855,000 | 8,711,667 | ||||||||
UNITED KINGDOM GILT | 1.75 | 7/22/2019 | 3,320,000 | 4,996,598 | ||||||||
UNITED KINGDOM GILT | 2.00 | 7/22/2020 | 2,140,000 | 3,245,301 | ||||||||
SWITZERLAND (CONFEDERATION OF) | 4.25 | 6/5/2017 | 1,850,000 | 1,982,882 | ||||||||
EUROPEAN INVESTMENT BANK | 3.50 | 4/15/2016 | 9,100,000 | 9,987,841 | ||||||||
AUSTRALIA COMMONWEALTH OF | 3.25 | 10/21/2018 | 4,710,000 | 3,540,735 | ||||||||
AUSTRALIA COMMONWEALTH OF | 2.75 | 10/21/2019 | 6,405,000 | 4,770,725 | ||||||||
AUSTRALIA COMMONWEALTH OF | 1.75 | 11/21/2020 | 2,230,000 | 1,585,120 | ||||||||
AUSTRALIA COMMONWEALTH OF | 6.00 | 2/15/2017 | 28,460,000 | 21,617,761 | ||||||||
AUSTRALIA COMMONWEALTH OF | 4.50 | 4/15/2020 | 10,130,000 | 8,081,073 | ||||||||
AUSTRALIA COMMONWEALTH OF | 5.50 | 1/21/2018 | 9,340,000 | 7,269,494 | ||||||||
AUSTRALIA COMMONWEALTH OF | 4.25 | 7/21/2017 | 8,390,000 | 6,311,441 | ||||||||
AUSTRALIA COMMONWEALTH OF | 5.25 | 3/15/2019 | 8,905,000 | 7,119,848 | ||||||||
GOVERNMENT OF SINGAPORE | 0.50 | 4/1/2018 | 20,000,000 | 13,887,851 |
Page 4
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CHINA GLOBAL | 1.40 | 8/18/2016 | 17,000,000 | 2,558,922 | ||||||||
CIMB BANK BHD (SINGAPORE BRANC | 2.12 | 6/30/2018 | 1,000,000 | 691,524 | ||||||||
CHINA DEVELOPMENT BANK CORP (H | 2.95 | 3/20/2017 | 3,000,000 | 393,001 | ||||||||
EXPORT-IMPORT BANK OF CHINA | 3.65 | 5/14/2019 | 5,000,000 | 754,589 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.02 | 4/10/2017 | 230,000,000 | 29,940,969 | ||||||||
EXPORT-IMPORT BANK OF KOREA | 2.04 | 7/24/2018 | 3,000,000 | 2,086,434 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 1.23 | 1/30/2018 | 3,000,000 | 2,089,522 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.53 | 3/19/2018 | 40,000,000 | 5,154,997 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.79 | 6/18/2018 | 45,000,000 | 5,827,532 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.52 | 9/25/2018 | 60,000,000 | 7,913,653 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.17 | 12/19/2018 | 50,000,000 | 6,530,841 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.37 | 11/21/2016 | 5,000,000 | 646,233 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 4.85 | 6/27/2017 | 20,000,000 | 2,751,818 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.35 | 3/25/2019 | 40,000,000 | 5,252,544 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 3.52 | 12/5/2017 | 35,000,000 | 4,774,133 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 3.56 | 6/25/2018 | 50,000,000 | 6,912,447 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.61 | 12/10/2018 | 73,000,000 | 9,655,594 | ||||||||
HONG KONG MORTGAGE CORP LTD | 1.45 | 1/12/2018 | 8,500,000 | 1,100,363 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 2.02 | 2/22/2016 | 7,000,000 | 4,938,216 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 1.69 | 6/8/2016 | 2,500,000 | 1,763,631 | ||||||||
KOREA DEVELOPMENT BANK (THE) | 2.05 | 7/23/2018 | 2,750,000 | 1,913,088 | ||||||||
LTA | 4.17 | 5/10/2016 | 1,000,000 | 710,993 | ||||||||
LTA | 2.73 | 9/18/2020 | 1,500,000 | 1,063,476 | ||||||||
CHINA GLOBAL | 2.56 | 6/29/2017 | 5,000,000 | 745,553 | ||||||||
CHINA GLOBAL | 3.10 | 6/29/2022 | 6,000,000 | 884,616 | ||||||||
CHINA GLOBAL | 2.60 | 11/22/2016 | 3,000,000 | 453,990 | ||||||||
CHINA GLOBAL | 2.74 | 11/21/2017 | 6,000,000 | 892,745 | ||||||||
GOVERNMENT OF SINGAPORE | 2.50 | 6/1/2019 | 2,000,000 | 1,454,340 | ||||||||
GOVERNMENT OF SINGAPORE | 2.38 | 4/1/2017 | 7,000,000 | 5,026,539 | ||||||||
GOVERNMENT OF SINGAPORE | 1.13 | 4/1/2016 | 5,000,000 | 3,526,240 | ||||||||
GOVERNMENT OF SINGAPORE | 3.75 | 9/1/2016 | 3,500,000 | 2,513,368 | ||||||||
12,328,534,000 | $ | 556,757,565 | ||||||||||
State & Municipal | ||||||||||||
ALABAMA FEDERAL AID HIGHWAY FI | 5.00 | 9/1/2028 | 7,000,000 | $ | 8,464,890 | |||||||
ANNE ARUNDEL CNTY MD | 5.00 | 4/1/2026 | 5,385,000 | 6,728,827 | ||||||||
AUSTIN TEX INDPT SCH DIST | 5.00 | 8/1/2029 | 1,975,000 | 2,413,825 | ||||||||
BALTIMORE CNTY MD | 5.00 | 8/1/2026 | 7,595,000 | 9,534,687 | ||||||||
BOSTON MASS | 5.00 | 3/1/2023 | 5,000,000 | 6,146,850 | ||||||||
BROWNSVILLE TEX UTIL SYS REV | 5.00 | 9/1/2022 | 2,250,000 | 2,666,160 | ||||||||
CALIFORNIA STATE OF | 5.25 | 2/1/2023 | 3,000,000 | 3,714,180 | ||||||||
CALIFORNIA STATE OF | 7.95 | 3/1/2036 | 1,000,000 | 1,196,310 | ||||||||
CENTRAL PUGET SOUND REGIONAL T | 5.00 | 11/1/2025 | 2,500,000 | 2,983,750 | ||||||||
CHANDLER ARIZ | 4.00 | 7/1/2022 | 2,000,000 | 2,298,580 | ||||||||
CYPRESS-FAIRBANKS TEX INDPT SC | 5.00 | 2/15/2029 | 6,000,000 | 7,297,140 |
Page 5
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
DALLAS TEX | 5.00 | 10/1/2025 | 10,430,000 | 13,131,057 | ||||||||
DENTON TEX INDPT SCH DIST | 5.00 | 8/15/2029 | 5,320,000 | 6,450,713 | ||||||||
DISTRICT OF COLUMBIA | 5.00 | 6/1/2027 | 3,500,000 | 4,317,075 | ||||||||
DISTRICT OF COLUMBIA | 5.00 | 6/1/2028 | 5,000,000 | 6,134,700 | ||||||||
EAST BAY CALIF MUN UTIL DIST | 5.00 | 6/1/2028 | 4,160,000 | 5,167,760 | ||||||||
EDINA & MORNINGSIDE MINN INDPT | 5.00 | 2/1/2027 | 7,015,000 | 8,692,427 | ||||||||
FLAGLER CNTY FLA SCH BRD | 5.00 | 8/1/2023 | 860,000 | 1,017,449 | ||||||||
FLORIDA ST | 5.00 | 7/1/2026 | 2,800,000 | 3,509,800 | ||||||||
FORSYTH CNTY GA | 5.00 | 3/1/2027 | 1,000,000 | 1,246,330 | ||||||||
FORT WORTH TEX INDPT SCH DIST | 5.00 | 2/15/2028 | 6,900,000 | 8,451,327 | ||||||||
FRANKLIN CNTY OHIO HOSP REV | 5.00 | 12/1/2028 | 2,025,000 | 2,510,332 | ||||||||
GEORGIA ST | 5.00 | 2/1/2027 | 5,000,000 | 6,223,700 | ||||||||
HARRIS CNTY TEX FLOOD CTL DIST | 5.00 | 10/1/2027 | 3,930,000 | 4,794,364 | ||||||||
HAWAII ST- REF-EF | 5.00 | 11/1/2023 | 5,000,000 | 6,035,600 | ||||||||
HONOLULU HAWAII CITY & CNTY | 5.00 | 10/1/2029 | 2,000,000 | 2,444,720 | ||||||||
HONOLULU HAWAII CITY & CNTY | 5.00 | 10/1/2029 | 3,000,000 | 3,667,080 | ||||||||
HONOLULU HAWAII CITY & CNTY | 5.00 | 10/1/2026 | 2,500,000 | 3,111,175 | ||||||||
HUNTSVILLE ALA | 5.00 | 5/1/2026 | 2,985,000 | 3,702,833 | ||||||||
ILLINOIS STATE OF | 4.00 | 2/1/2023 | 1,750,000 | 1,822,153 | ||||||||
INDIANAPOLIS IND LOC PUB IMPT | 5.00 | 1/1/2022 | 1,500,000 | 1,752,315 | ||||||||
KING CNTY WASH | 5.00 | 12/1/2027 | 5,000,000 | 6,212,550 | ||||||||
LOS ANGELES CALIF CMNTY COLLEG | 5.00 | 6/1/2026 | 2,790,000 | 3,559,203 | ||||||||
LOUDOUN CNTY VA | 4.00 | 12/1/2027 | 2,730,000 | 3,124,649 | ||||||||
MARYLAND ST | 4.00 | 8/1/2029 | 7,000,000 | 7,819,770 | ||||||||
MASSACHUSETTS ST | 5.50 | 12/1/2023 | 3,610,000 | 4,608,454 | ||||||||
MASSACHUSETTS ST | 5.00 | 8/1/2025 | 4,065,000 | 5,119,949 | ||||||||
MASSACHUSETTS ST SCH BLDG AUTH | 5.00 | 8/15/2023 | 5,000,000 | 6,090,950 | ||||||||
MCKINNEY TEX | 5.00 | 8/15/2024 | 2,000,000 | 2,461,240 | ||||||||
MIAMI DADE CNTY FLA | 5.00 | 10/1/2022 | 1,500,000 | 1,777,305 | ||||||||
MINNESOTA ST | 5.00 | 8/1/2029 | 5,000,000 | 6,175,650 | ||||||||
MONTGOMERY CNTY MD | 5.00 | 11/1/2028 | 5,000,000 | 6,140,650 | ||||||||
MULTNOMAH CNTY ORE SCH DIST NO | 5.00 | 6/15/2027 | 3,500,000 | 4,333,105 | ||||||||
MULTNOMAH CNTY ORE SCH DIST NO | 5.00 | 6/15/2028 | 2,250,000 | 2,772,788 | ||||||||
NJ ST TPK AUTH TPK REV | 5.00 | 1/1/2027 | 2,000,000 | 2,394,280 | ||||||||
NEW YORK NY | 1.02 | 1/15/2016 | 5,250,000 | 5,250,788 | ||||||||
NEW YORK NY | 5.00 | 8/1/2023 | 3,885,000 | 4,760,757 | ||||||||
NEW YORK NY CITY TRANSITIONAL | 4.08 | 11/1/2020 | 2,500,000 | 2,657,050 | ||||||||
NEW YORK NY CITY TRANSITIONAL | 5.00 | 8/1/2028 | 2,000,000 | 2,428,960 | ||||||||
NEW YORK ST ENVIRONMENTAL FACS | 5.00 | 6/15/2028 | 3,000,000 | 3,715,650 | ||||||||
NEW YORK ST DORM AUTH | 5.00 | 3/15/2023 | 5,120,000 | 6,262,682 | ||||||||
NEW YORK ST DORM AUTH | 5.00 | 12/15/2023 | 3,000,000 | 3,650,280 | ||||||||
NEW YORK ST DORM AUTH | 5.00 | 3/15/2026 | 3,000,000 | 3,739,890 | ||||||||
NORTH EAST INDPT SCH DIST TEX | 5.25 | 2/1/2028 | 2,085,000 | 2,688,753 | ||||||||
NORTH EAST INDPT SCH DIST TEX | 5.25 | 2/1/2030 | 1,000,000 | 1,302,550 | ||||||||
OKLAHOMA DEV FIN AUTH | 2.38 | 12/1/2021 | 1,000,000 | 1,024,420 |
Page 6
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
OKLAHOMA ST STUDENT LN AUTH | 0.92 | 2/25/2032 | 516,750 | 496,767 | ||||||||
OREGON ST DEPT TRANSN | 5.00 | 11/15/2030 | 5,000,000 | 6,077,750 | ||||||||
ORLANDO FLA UTILS COMMN WTR &E | 5.00 | 10/1/2024 | 4,500,000 | 5,587,740 | ||||||||
PUERTO RICO COMWLTH HWY & TRAN | 5.55 | 7/1/2018 | 2,600,000 | 2,250,976 | ||||||||
PUERTO RICO COMWLTH HWY & TRAN | 5.65 | 7/1/2020 | 14,345,000 | 11,923,564 | ||||||||
PUERTO RICO COMWLTH HWY & TRAN | 5.85 | 3/1/2027 | 8,020,000 | 6,292,652 | ||||||||
PUERTO RICO COMWLTH HWY & TRAN | 5.85 | 7/1/2025 | 3,225,000 | 2,597,609 | ||||||||
PUERTO RICO ELEC PWR AUTH | 7.00 | 7/1/2033 | 310,000 | 201,116 | ||||||||
PUERTO RICO ELEC PWR AUTH | 7.00 | 7/1/2040 | 195,000 | 126,512 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2017 | 575,000 | 371,094 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2020 | 330,000 | 212,401 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.50 | 7/1/2018 | 125,000 | 80,580 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.50 | 7/1/2019 | 160,000 | 103,038 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.25 | 7/1/2033 | 2,400,000 | 1,542,480 | ||||||||
PUERTO RICO ELEC PWR AUTH | 4.00 | 7/1/2016 | 435,000 | 287,492 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2019 | 235,000 | 151,335 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.25 | 7/1/2019 | 860,000 | 553,831 | ||||||||
PUERTO RICO ELEC PWR AUTH | 6.13 | 7/1/2040 | 7,980,000 | 5,115,180 | ||||||||
PUERTO RICO ELEC PWR AUTH PWR | 5.95 | 7/1/2030 | 715,000 | 459,445 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2020 | 2,000,000 | 1,287,280 | ||||||||
PUERTO RICO ELEC PWR AUTH | 6.05 | 7/1/2032 | 4,970,000 | 3,193,623 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.05 | 7/1/2042 | 2,615,000 | 1,680,373 | ||||||||
PUERTO RICO INDL TOURIST EDL M | 7.25 | 4/1/2041 | 8,855,000 | 6,170,961 | ||||||||
PUERTO RICO INDL TOURIST EDL M | 0.00 | 4/1/2033 | 655,000 | 229,250 | ||||||||
PUERTO RICO INDL TOURIST EDL M | 7.10 | 4/1/2038 | 1,720,000 | 1,197,567 | ||||||||
REGIONAL TRANSN DIST COLO | 5.00 | 11/1/2023 | 3,165,000 | 3,837,151 | ||||||||
SACRAMENTO CALIF CITY UNI SCH | 5.00 | 7/1/2023 | 1,750,000 | 2,131,010 | ||||||||
NY ST STAR | 4.00 | 10/15/2022 | 2,000,000 | 2,311,420 | ||||||||
SAN ANTONIO TEX INDPT SCH DIST | 5.00 | 2/15/2027 | 5,000,000 | 6,167,600 | ||||||||
SEATTLE WASHINGTON | 5.00 | 6/1/2027 | 4,605,000 | 5,693,300 | ||||||||
SEDGWICK CNTY KANS UNI SCH DIS | 5.00 | 10/1/2022 | 1,500,000 | 1,788,375 | ||||||||
TAMPA BAY WTR FLA | 5.00 | 10/1/2027 | 3,450,000 | 4,266,098 | ||||||||
TARRANT REGL WTR DIST TEX | 5.00 | 3/1/2027 | 5,000,000 | 6,144,000 | ||||||||
TEXAS ST | 1.78 | 10/1/2020 | 1,000,000 | 987,910 | ||||||||
TEXAS ST | 2.08 | 10/1/2021 | 965,000 | 951,818 | ||||||||
TEXAS ST | 4.00 | 8/1/2028 | 7,735,000 | 8,593,353 | ||||||||
TEXAS TRANSN COMMN ST HWY FD | 5.00 | 10/1/2026 | 5,000,000 | 6,350,050 | ||||||||
TUCSON ARIZ CTFS PARTN | 4.00 | 7/1/2024 | 2,750,000 | 3,102,303 | ||||||||
UNIVERSITY CINCINNATI OHIO | 5.00 | 6/1/2022 | 1,535,000 | 1,842,982 | ||||||||
UNIVERSITY CALIFORNIA | 1.80 | 7/1/2019 | 7,000,000 | 7,004,690 | ||||||||
UTAH TRAN AUTH SALES TAX REV | 5.00 | 6/15/2028 | 1,750,000 | 2,166,693 | ||||||||
UTAH TRAN AUTH SALES TAX REV | 5.00 | 6/15/2030 | 4,250,000 | 5,210,160 | ||||||||
UTILITY DEBT SECURITIZATION AU | 5.00 | 12/15/2028 | 3,000,000 | 3,742,050 | ||||||||
VIRGINIA COLLEGE BLDG AUTH VA | 5.00 | 2/1/2027 | 5,000,000 | 6,122,250 | ||||||||
VIRGINIA ST PUB BLDG AUTH | 5.00 | 8/1/2026 | 5,000,000 | 6,210,200 |
Page 7
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
VIRGINIA ST RES AUTH CLEAN WTR | 5.00 | 10/1/2029 | 10,675,000 | 13,197,609 | ||||||||
WASHINGTON STATE | 5.00 | 7/1/2024 | 5,000,000 | 6,143,450 | ||||||||
WASHINGTON STATE | 5.00 | 7/1/2029 | 3,000,000 | 3,617,220 | ||||||||
367,136,750 | $ | 413,472,735 | ||||||||||
Agency MBS | ||||||||||||
FNMA | 3.00 | 10/1/2027 | 716,823 | $ | 740,786 | |||||||
FNMA | 2.47 | 8/1/2035 | 1,722,415 | 1,834,459 | ||||||||
FNMA | 6.00 | 4/1/2036 | 161,035 | 181,817 | ||||||||
FNMA | 4.00 | 11/1/2040 | 63,470 | 67,261 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 2,217 | 2,267 | ||||||||
FNMA | 4.00 | 8/1/2040 | 47,219 | 50,120 | ||||||||
FHLMC | 5.50 | 12/1/2039 | 294,456 | 325,276 | ||||||||
FHLMC | 5.00 | 1/1/2017 | 517 | 528 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 3,404 | 3,545 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 1,249 | 1,300 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 894 | 914 | ||||||||
FNMA | 3.00 | 8/1/2042 | 579,790 | 585,173 | ||||||||
FNMA | 3.50 | 3/1/2043 | 38,779 | 40,043 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 1,377 | 1,408 | ||||||||
GNMA | 3.50 | 4/20/2045 | 175,948 | 183,726 | ||||||||
FHLMC | 3.50 | 10/1/2042 | 788,997 | 813,901 | ||||||||
FHLMC | 4.00 | 4/1/2042 | 213,466 | 226,246 | ||||||||
FNMA | 4.00 | 11/1/2040 | 15,408 | 16,354 | ||||||||
FNMA | 4.00 | 12/1/2040 | 55,569 | 58,982 | ||||||||
FHLMC | 2.49 | 3/1/2035 | 232,453 | 246,851 | ||||||||
FNMA | 4.00 | 3/1/2045 | 1,776,364 | 1,881,318 | ||||||||
FNMA | 4.00 | 11/1/2040 | 30,322 | 32,184 | ||||||||
FHLMC | 4.00 | 8/1/2045 | 938,100 | 992,502 | ||||||||
GNMA | 3.50 | 12/20/2044 | 138,601 | 144,755 | ||||||||
FHLMC | 5.50 | 12/1/2018 | 267,682 | 274,035 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,241 | 1,269 | ||||||||
FHLMC | 6.00 | 9/1/2037 | 110,193 | 124,405 | ||||||||
FNMA | 4.00 | 12/1/2043 | 390,479 | 413,399 | ||||||||
FNMA | 6.00 | 2/1/2037 | 549,747 | 621,022 | ||||||||
FNMA | 3.00 | 12/1/2042 | 1,321,974 | 1,334,249 | ||||||||
FNMA | 3.50 | 7/1/2042 | 2,863,743 | 2,956,472 | ||||||||
FNMA | 5.00 | 9/1/2040 | 256,833 | 284,064 | ||||||||
FHLMC_4246 | 6.50 | 2/15/2036 | 4,248,986 | 4,932,863 | ||||||||
GNMA | 6.00 | 9/15/2038 | 176,902 | 199,274 | ||||||||
FHLMC | 6.00 | 1/1/2038 | 5,959 | 6,710 | ||||||||
FNMA | 3.00 | 12/1/2042 | 85,096 | 86,019 | ||||||||
GNMA | 5.50 | 11/20/2037 | 108,791 | 121,813 | ||||||||
FNMA | 5.00 | 2/1/2039 | 106,691 | 117,389 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 967 | 989 |
Page 8
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 10/1/2017 | 219 | 223 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,368 | 1,399 | ||||||||
FNMA | 3.00 | 11/1/2042 | 129,741 | 131,148 | ||||||||
FHLMC | 4.00 | 8/1/2025 | 431,934 | 453,550 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 967 | 989 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 1,348 | 1,379 | ||||||||
GNMA | 3.50 | 3/15/2042 | 983,018 | 1,026,819 | ||||||||
FNMA | 3.00 | 11/1/2042 | 80,832 | 81,708 | ||||||||
FNMA | 3.00 | 12/1/2042 | 209,549 | 211,821 | ||||||||
FNMA | 5.00 | 5/1/2038 | 10,908 | 12,000 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 868 | 887 | ||||||||
FHLMC | 2.53 | 9/1/2033 | 80,821 | 83,972 | ||||||||
FNMA | 5.00 | 2/1/2038 | 221,174 | 244,038 | ||||||||
FNMA | 3.50 | 4/1/2043 | 171,258 | 176,920 | ||||||||
GNMA | 7.00 | 5/15/2031 | 765 | 852 | ||||||||
FHLMC | 5.50 | 7/1/2037 | 477,844 | 528,767 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 164 | 167 | ||||||||
FHLMC | 5.00 | 3/1/2028 | 60,869 | 66,756 | ||||||||
FNMA | 4.00 | 1/1/2041 | 44,424 | 47,094 | ||||||||
FHLMC | 5.50 | 11/1/2039 | 27,822 | 31,078 | ||||||||
FHLMC | 5.00 | 7/1/2038 | 5,239,483 | 5,720,455 | ||||||||
FNMA | 3.19 | 10/1/2043 | 3,549,101 | 3,641,356 | ||||||||
FNMA | 3.75 | 3/1/2018 | 8,035,191 | 8,361,146 | ||||||||
FHLMC | 4.00 | 5/1/2044 | 161,090 | 170,468 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 1,470 | 1,531 | ||||||||
FNMA | 3.00 | 8/1/2042 | 93,841 | 94,712 | ||||||||
FNMA | 4.00 | 7/1/2026 | 506,826 | 532,429 | ||||||||
FHLMC | 4.50 | 9/1/2039 | 95,467 | 104,611 | ||||||||
FNMA | 4.50 | 12/1/2043 | 832,867 | 899,713 | ||||||||
FNMA | 5.00 | 9/1/2040 | 195,630 | 216,708 | ||||||||
FNMA | 3.00 | 1/1/2043 | 69,278 | 69,879 | ||||||||
GNMA | 3.50 | 10/20/2044 | 156,462 | 163,409 | ||||||||
GNMA | 7.00 | 3/15/2031 | 1,423 | 1,585 | ||||||||
FNMA | 4.50 | 8/1/2039 | 1,864,730 | 2,046,121 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,020 | 1,043 | ||||||||
FHLMC | 3.50 | 6/1/2042 | 361,190 | 372,591 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 2,994 | 3,118 | ||||||||
FNMA | 4.50 | 9/1/2041 | 1,604,872 | 1,737,349 | ||||||||
FNMA | 2.50 | 4/1/2027 | 662,376 | 671,521 | ||||||||
GNMA | 4.00 | 12/20/2041 | 373,368 | 398,853 | ||||||||
FNMA | 4.00 | 1/1/2041 | 114,617 | 121,656 | ||||||||
GNMA | 3.50 | 11/15/2040 | 3,197,848 | 3,348,160 | ||||||||
FNMA | 4.00 | 2/1/2042 | 48,392 | 51,370 | ||||||||
FHLMC | 2.48 | 9/1/2033 | 179,577 | 190,716 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 337 | 344 |
Page 9
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 3/1/2017 | 459 | 470 | ||||||||
FNMA | 4.00 | 10/1/2044 | 835,593 | 884,586 | ||||||||
FNMA | 4.00 | 8/1/2025 | 1,267,124 | 1,330,248 | ||||||||
GNMA | 3.50 | 3/15/2042 | 517,892 | 540,968 | ||||||||
FHLMC | 5.00 | 7/1/2018 | 3,106 | 3,235 | ||||||||
FNMA | 3.00 | 1/1/2043 | 124,784 | 125,866 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,180 | 1,207 | ||||||||
GNMA | 3.50 | 2/15/2042 | 735,874 | 769,997 | ||||||||
FHLMC | 5.00 | 3/1/2017 | 1,317 | 1,346 | ||||||||
FHLMC | 5.00 | 7/1/2039 | 380,745 | 419,955 | ||||||||
FNMA | 3.50 | 12/1/2025 | 277,517 | 291,128 | ||||||||
GNMA | 2.50 | 8/15/2027 | 1,139,575 | 1,154,408 | ||||||||
FNMA | 6.00 | 10/1/2028 | 90,831 | 102,977 | ||||||||
FNMA | 4.00 | 4/1/2025 | 464,753 | 491,112 | ||||||||
FHLMC | 5.00 | 12/1/2017 | 2,637 | 2,696 | ||||||||
FHLMC | 5.00 | 6/1/2018 | 1,555 | 1,620 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 1,880 | 1,922 | ||||||||
FNMA | 6.00 | 1/1/2036 | 268,214 | 303,575 | ||||||||
FNMA | 4.50 | 3/1/2041 | 2,902,088 | 3,158,227 | ||||||||
GNMA | 3.00 | 10/20/2045 | 3,175,982 | 3,222,619 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 98 | 100 | ||||||||
FHLMC | 4.00 | 11/1/2044 | 1,343,089 | 1,421,277 | ||||||||
FNMA | 3.00 | 7/1/2043 | 219,540 | 219,944 | ||||||||
FNMA | 6.00 | 12/1/2038 | 57,184 | 64,978 | ||||||||
FHLMC | 4.50 | 9/1/2039 | 901,728 | 988,607 | ||||||||
FHLMC | 4.00 | 1/1/2041 | 122,596 | 130,391 | ||||||||
FHLMC | 5.00 | 8/1/2018 | 963 | 1,003 | ||||||||
FNMA | 3.00 | 12/1/2042 | 108,071 | 109,242 | ||||||||
FNMA | 3.00 | 8/1/2042 | 116,630 | 117,713 | ||||||||
FHLMC | 4.50 | 4/1/2036 | 1,828,367 | 1,973,412 | ||||||||
FNMA | 2.15 | 1/1/2035 | 93,207 | 99,150 | ||||||||
FNMA | 5.50 | 6/1/2038 | 109,457 | 121,991 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 1,085 | 1,109 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 1,008 | 1,031 | ||||||||
FHLMC | 1.98 | 1/1/2035 | 218,125 | 224,007 | ||||||||
FNMA | 3.50 | 9/1/2029 | 617,237 | 647,453 | ||||||||
FHLMC | 5.00 | 3/1/2017 | 205 | 210 | ||||||||
FNMA | 4.50 | 12/1/2020 | 483,152 | 502,100 | ||||||||
FNMA | 6.00 | 1/1/2036 | 23,963 | 27,068 | ||||||||
FHLMC | 5.00 | 5/1/2039 | 632,604 | 692,230 | ||||||||
FNMA | 2.22 | 2/1/2035 | 61,175 | 65,036 | ||||||||
FNMA | 2.13 | 1/1/2035 | 105,308 | 111,797 | ||||||||
FNMA | 3.00 | 1/1/2043 | 42,382 | 42,842 | ||||||||
FHLMC | 2.50 | 2/1/2035 | 96,982 | 102,107 | ||||||||
FNMA | 2.46 | 6/1/2033 | 101,592 | 109,224 |
Page 10
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 4/1/2018 | 1,351 | 1,407 | ||||||||
FNMA | 4.00 | 8/1/2039 | 60,493 | 64,034 | ||||||||
FNMA | 5.00 | 9/1/2038 | 6,096 | 6,705 | ||||||||
FHLMC | 4.50 | 7/1/2044 | 741,692 | 799,227 | ||||||||
FHLMC | 6.00 | 11/1/2037 | 2,643 | 2,984 | ||||||||
FNMA | 4.50 | 3/1/2044 | 19,376 | 20,958 | ||||||||
FNMA | 2.80 | 9/25/2022 | 1,119,781 | 1,127,210 | ||||||||
FNMA | 4.00 | 11/1/2040 | 70,531 | 74,863 | ||||||||
FHLMC | 6.00 | 4/1/2033 | 6,691 | 7,705 | ||||||||
FHLMC | 4.00 | 5/1/2043 | 73,962 | 78,668 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 85 | 87 | ||||||||
FHLMC | 4.00 | 4/1/2043 | 110,162 | 117,589 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 2,711 | 2,823 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,338 | 1,368 | ||||||||
FNMA | 5.50 | 12/1/2038 | 32,845 | 36,815 | ||||||||
GNMA | 5.00 | 3/15/2039 | 310,500 | 342,932 | ||||||||
FNMA | 3.00 | 1/1/2043 | 40,064 | 40,412 | ||||||||
FHLMC | 4.00 | 4/1/2043 | 163,985 | 174,420 | ||||||||
FNMA | 5.50 | 12/1/2034 | 12,007 | 13,458 | ||||||||
FHLMC | 6.00 | 1/1/2038 | 562,743 | 633,743 | ||||||||
FNMA | 4.50 | 3/1/2039 | 66,600 | 71,919 | ||||||||
FNMA | 4.50 | 10/1/2041 | 31,476 | 34,074 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 2,034 | 2,096 | ||||||||
FNMA | 4.50 | 1/1/2042 | 1,046,706 | 1,132,382 | ||||||||
FHLMC | 3.50 | 2/1/2026 | 346,488 | 363,270 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 2,194 | 2,243 | ||||||||
GNMA | 3.00 | 3/20/2043 | 466,597 | 474,710 | ||||||||
FNMA | 4.00 | 9/1/2039 | 31,367 | 33,203 | ||||||||
FNMA | 3.00 | 11/1/2042 | 1,059,325 | 1,061,933 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 461 | 465 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 205 | 210 | ||||||||
FNMA | 4.00 | 7/1/2024 | 265,888 | 279,102 | ||||||||
GNMA | 4.00 | 1/20/2044 | 43,055,552 | 45,788,275 | ||||||||
FHLMC | 5.00 | 6/1/2018 | 2,418 | 2,518 | ||||||||
GNMA | 3.50 | 12/15/2041 | 457,792 | 479,020 | ||||||||
FHLMC | 6.00 | 7/1/2037 | 888 | 1,000 | ||||||||
FNMA | 4.00 | 7/1/2045 | 394,977 | 418,840 | ||||||||
GNMA | 4.00 | 7/15/2041 | 157,809 | 168,105 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 1,378 | 1,409 | ||||||||
FNMA | 1.84 | 1/1/2035 | 757,958 | 795,348 | ||||||||
FHLMC | 5.50 | 5/1/2019 | 486,103 | 509,085 | ||||||||
FNMA | 4.00 | 2/1/2035 | 40,703 | 43,204 | ||||||||
FNMA | 3.50 | 1/1/2026 | 478,244 | 501,699 | ||||||||
FNMA | 3.00 | 11/1/2042 | 69,817 | 70,574 | ||||||||
FNMA | 5.50 | 1/1/2038 | 205,408 | 228,884 |
Page 11
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.50 | 2/1/2042 | 276,115 | 285,336 | ||||||||
FNMA | 1.89 | 8/1/2033 | 3,024,389 | 3,117,640 | ||||||||
FNMA | 4.00 | 11/1/2040 | 83,150 | 88,257 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,124 | 1,149 | ||||||||
FNMA | 4.00 | 1/1/2042 | 477,695 | 508,305 | ||||||||
FNMA | 3.00 | 1/1/2043 | 248,304 | 250,457 | ||||||||
FNMA | 4.00 | 1/1/2042 | 3,193,080 | 3,389,259 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 914 | 934 | ||||||||
FNMA | 5.50 | 4/1/2036 | 18,632 | 20,763 | ||||||||
FHLMC | 5.00 | 7/1/2018 | 2,180 | 2,268 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 421 | 423 | ||||||||
FNMA | 3.00 | 1/1/2043 | 376,588 | 379,853 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 473 | 477 | ||||||||
FNMA | 6.00 | 11/1/2039 | 8,619 | 9,736 | ||||||||
FHLMC | 5.00 | 1/1/2036 | 253,178 | 277,223 | ||||||||
FHLMC_3917 | 0.83 | 6/15/2038 | 752,996 | 754,666 | ||||||||
FNMA | 3.00 | 12/1/2042 | 109,421 | 110,607 | ||||||||
FNMA | 3.00 | 12/1/2028 | 779,638 | 804,533 | ||||||||
FNMA | 4.50 | 4/1/2044 | 306,256 | 331,194 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 2,372 | 2,470 | ||||||||
FNMA | 3.00 | 11/1/2042 | 378,414 | 382,515 | ||||||||
FNMA | 4.00 | 5/1/2042 | 573,632 | 608,929 | ||||||||
GNMA | 4.00 | 9/20/2044 | 6,504,353 | 6,912,717 | ||||||||
FHLMC | 3.50 | 5/1/2026 | 565,002 | 592,367 | ||||||||
FNMA | 3.00 | 8/1/2029 | 99,396 | 102,479 | ||||||||
FNMA | 3.50 | 8/1/2043 | 1,594,113 | 1,647,922 | ||||||||
FHLMC | 6.00 | 4/1/2029 | 311 | 335 | ||||||||
FNMA | 4.50 | 3/1/2041 | 4,134,016 | 4,475,265 | ||||||||
FNMA | 3.00 | 4/1/2043 | 274,599 | 276,980 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 631 | 638 | ||||||||
FNMA | 3.00 | 12/1/2042 | 116,109 | 117,368 | ||||||||
FNMA | 3.00 | 1/1/2043 | 163,018 | 164,431 | ||||||||
FNMA | 4.00 | 11/1/2040 | 451,002 | 478,703 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 268 | 269 | ||||||||
FNMA | 5.00 | 2/1/2039 | 506,860 | 560,681 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 1,980 | 2,025 | ||||||||
FHLMC | 5.00 | 9/1/2040 | 996,003 | 1,087,434 | ||||||||
FHLMC | 6.00 | 6/1/2034 | 347,280 | 396,621 | ||||||||
FNMA | 3.00 | 10/1/2042 | 131,865 | 133,295 | ||||||||
FNMA | 4.50 | 7/1/2039 | 12,263 | 13,432 | ||||||||
FHLMC | 5.50 | 11/1/2018 | 195,459 | 203,044 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 360 | 362 | ||||||||
FNMA | 5.00 | 8/1/2035 | 9,614 | 10,589 | ||||||||
FHLMC | 5.00 | 3/1/2038 | 411,981 | 449,800 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 615 | 621 |
Page 12
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.00 | 9/1/2042 | 53,250 | 53,828 | ||||||||
FNMA | 2.75 | 9/1/2033 | 3,930 | 4,195 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 1,679 | 1,748 | ||||||||
FHLMC | 6.00 | 4/1/2033 | 3,283 | 3,749 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 111 | 114 | ||||||||
FNMA | 4.00 | 9/1/2045 | 1,792,254 | 1,898,147 | ||||||||
FNMA | 3.00 | 10/1/2030 | 1,469,705 | 1,515,491 | ||||||||
FHLMC | 2.50 | 10/1/2029 | 285,627 | 288,382 | ||||||||
FHLMC | 5.50 | 12/1/2037 | 88,077 | 97,280 | ||||||||
FNMA | 6.00 | 12/1/2037 | 160,688 | 182,474 | ||||||||
FHLMC | 6.50 | 9/1/2036 | 86,150 | 98,150 | ||||||||
FNMA | 3.00 | 12/1/2042 | 323,956 | 327,467 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 1,047 | 1,090 | ||||||||
FNMA | 4.50 | 11/1/2020 | 377,978 | 392,802 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 942 | 963 | ||||||||
FNMA | 4.50 | 12/1/2039 | 8,833 | 9,675 | ||||||||
FNMA | 5.50 | 7/1/2038 | 72,660 | 81,148 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 920 | 931 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 426 | 428 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 413 | 415 | ||||||||
FHLMC | 5.00 | 6/1/2018 | 4,154 | 4,326 | ||||||||
FNMA | 3.00 | 12/1/2042 | 57,388 | 58,010 | ||||||||
FHLMC | 5.00 | 12/1/2017 | 2,023 | 2,069 | ||||||||
FNMA | 3.50 | 1/1/2046 | 17,495,000 | 18,051,286 | ||||||||
FNMA | 3.50 | 1/1/2046 | (2,745,000 | ) | (2,832,282 | ) | ||||||
FHLMC | 6.00 | 3/1/2033 | 4,611 | 5,266 | ||||||||
FHLMC | 5.00 | 5/1/2018 | 2,905 | 3,025 | ||||||||
FNMA | 5.00 | 9/1/2040 | 115,980 | 126,243 | ||||||||
FHLMC | 5.50 | 11/1/2018 | 40,242 | 41,803 | ||||||||
FHLMC | 4.00 | 9/1/2041 | 40,148 | 42,690 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 2,810 | 2,873 | ||||||||
FHLMC | 5.00 | 5/1/2017 | 334 | 339 | ||||||||
FHLMC | 3.50 | 1/1/2045 | 242,998 | 250,397 | ||||||||
FNMA | 4.50 | 4/1/2044 | 598,372 | 646,312 | ||||||||
FHLMC | 5.00 | 1/1/2040 | 34,895 | 38,421 | ||||||||
FHLMC | 5.00 | 7/1/2036 | 510,678 | 561,383 | ||||||||
FNMA | 4.00 | 9/1/2041 | 1,227,524 | 1,306,124 | ||||||||
FHLMC | 3.50 | 1/1/2046 | 1,260,000 | 1,297,308 | ||||||||
FHLMC | 3.50 | 1/1/2046 | (760,000 | ) | (782,503 | ) | ||||||
GNMA | 4.00 | 11/20/2045 | 1,896,093 | 2,018,548 | ||||||||
FHLMC | 2.70 | 5/25/2018 | 8,300,000 | 8,480,479 | ||||||||
FNMA | 2.50 | 9/1/2028 | 1,915,456 | 1,940,746 | ||||||||
FNMA | 3.00 | 1/1/2043 | 83,607 | 84,332 | ||||||||
FHLMC | 6.00 | 1/1/2037 | 21,716 | 24,456 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 445 | 455 |
Page 13
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.62 | 12/1/2020 | 1,958,370 | 2,077,082 | ||||||||
FNMA | 3.00 | 9/1/2042 | 104,570 | 105,704 | ||||||||
FHLMC | 5.00 | 10/1/2018 | 2,692 | 2,804 | ||||||||
FHLMC | 6.00 | 9/1/2037 | 4,598,753 | 5,250,336 | ||||||||
FHLMC | 5.50 | 12/1/2018 | 4,730 | 4,914 | ||||||||
FNMA | 4.00 | 1/1/2046 | 20,005,000 | 21,170,916 | ||||||||
FNMA | 4.00 | 1/1/2046 | (5,255,000 | ) | (5,561,268 | ) | ||||||
FHLMC | 5.00 | 9/1/2017 | 647 | 662 | ||||||||
FNMA | 3.00 | 10/1/2042 | 101,167 | 102,264 | ||||||||
FHLMC | 3.50 | 8/1/2044 | 9,414,218 | 9,699,277 | ||||||||
FHLMC | 5.50 | 10/1/2018 | 73,759 | 76,621 | ||||||||
FHLMC | 5.00 | 8/1/2018 | 53 | 53 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 8,779 | 8,976 | ||||||||
FNMA | 5.50 | 9/1/2036 | 805,464 | 902,917 | ||||||||
FHLMC | 5.00 | 8/1/2017 | 302 | 303 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 952 | 973 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 2,337 | 2,390 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 3,585 | 3,734 | ||||||||
FNMA | 4.50 | 12/1/2039 | 332,897 | 364,615 | ||||||||
FNMA | 5.00 | 6/1/2038 | 452,125 | 497,349 | ||||||||
FHLMC | 4.00 | 9/1/2045 | 1,036,056 | 1,096,139 | ||||||||
FNMA | 3.50 | 11/1/2042 | 440,149 | 454,849 | ||||||||
GNMA | 3.50 | 12/20/2045 | 192,111 | 200,603 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 933 | 956 | ||||||||
FNMA | 4.50 | 11/1/2044 | 896,767 | 969,990 | ||||||||
FNMA | 5.00 | 4/1/2038 | 109,369 | 120,309 | ||||||||
FHLMC | 6.00 | 7/1/2033 | 30,316 | 34,913 | ||||||||
FNMA | 4.50 | 8/1/2040 | 619,790 | 670,521 | ||||||||
FHLMC | 5.00 | 1/1/2018 | 596 | 599 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 459 | 469 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 3,781 | 3,866 | ||||||||
FNMA | 3.50 | 4/1/2043 | 2,437,904 | 2,527,762 | ||||||||
FHLMC | 6.00 | 12/1/2033 | 3,029 | 3,473 | ||||||||
FNMA | 3.00 | 4/1/2043 | 169,668 | 171,139 | ||||||||
FNMA | 4.50 | 2/1/2041 | 194,233 | 210,131 | ||||||||
FHLMC | 4.50 | 5/1/2041 | 422,849 | 456,393 | ||||||||
FHLMC | 5.00 | 11/1/2016 | 736 | 761 | ||||||||
FHLMC | 4.50 | 2/1/2036 | 133,261 | 143,832 | ||||||||
FNMA | 5.50 | 2/1/2041 | 480,918 | 535,953 | ||||||||
FNMA | 4.50 | 9/1/2040 | 254,692 | 275,539 | ||||||||
FHLMC | 4.00 | 8/1/2043 | 193,870 | 206,939 | ||||||||
FNMA | 6.00 | 6/1/2036 | 157,406 | 177,807 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 2,812 | 2,929 | ||||||||
FHLMC | 5.00 | 2/1/2019 | 478 | 480 | ||||||||
FNMA | 4.50 | 11/1/2038 | 340,839 | 368,050 |
Page 14
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 4.00 | 7/1/2042 | 947,770 | 1,004,327 | ||||||||
FHLMC | 2.53 | 9/1/2033 | 156,355 | 166,303 | ||||||||
FHLMC | 3.50 | 3/1/2026 | 289,092 | 303,094 | ||||||||
FHLMC | 3.00 | 4/1/2043 | 406,024 | 406,394 | ||||||||
FNMA | 3.00 | 11/1/2042 | 57,298 | 57,919 | ||||||||
FNMA | 5.50 | 8/1/2037 | 7,030,244 | 7,857,557 | ||||||||
FNMA | 4.00 | 1/1/2041 | 799,289 | 848,381 | ||||||||
GNMA | 4.50 | 9/15/2039 | 247,314 | 269,807 | ||||||||
FHLMC | 6.00 | 6/1/2036 | 1,368 | 1,541 | ||||||||
FNMA | 3.00 | 1/1/2043 | 195,639 | 197,760 | ||||||||
FNMA | 4.00 | 1/1/2041 | 2,556,915 | 2,711,496 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 442 | 444 | ||||||||
FHLMC | 5.00 | 12/1/2017 | 2,322 | 2,374 | ||||||||
FNMA | 4.00 | 2/1/2041 | 456,749 | 484,811 | ||||||||
FHLMC | 4.00 | 5/1/2045 | 503,644 | 532,851 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 1,771 | 1,811 | ||||||||
FNMA | 4.00 | 9/1/2025 | 580,965 | 609,837 | ||||||||
FNMA | 6.00 | 5/1/2036 | 5,768 | 6,560 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 3,741 | 3,896 | ||||||||
FNMA | 4.00 | 5/1/2024 | 874,605 | 918,070 | ||||||||
GNMA | 4.50 | 7/15/2040 | 199,185 | 216,852 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 1,289 | 1,312 | ||||||||
FNMA | 5.00 | 6/1/2035 | 756,705 | 834,930 | ||||||||
FNMA | 3.00 | 9/1/2042 | 65,307 | 66,015 | ||||||||
FHLMC | 5.50 | 10/1/2018 | 62,983 | 65,427 | ||||||||
FNMA | 3.00 | 11/1/2042 | 97,454 | 98,511 | ||||||||
FNMA | 3.50 | 10/1/2044 | 194,403 | 200,707 | ||||||||
FNMA | 3.50 | 11/1/2042 | 2,075,017 | 2,144,319 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 472 | 483 | ||||||||
FHLMC | 4.00 | 6/1/2025 | 296,753 | 311,604 | ||||||||
FHLMC | 4.00 | 8/1/2025 | 254,470 | 267,206 | ||||||||
FNMA | 4.00 | 9/1/2035 | 7,130 | 7,546 | ||||||||
FNMA | 4.50 | 3/1/2038 | 36,983 | 39,935 | ||||||||
FHLMC | 2.77 | 11/1/2034 | 59,705 | 64,438 | ||||||||
FHLMC | 3.50 | 4/1/2045 | 2,109,224 | 2,173,445 | ||||||||
FNMA | 3.00 | 12/1/2042 | 49,319 | 49,854 | ||||||||
FHLMC | 3.50 | 7/1/2042 | 536,567 | 554,179 | ||||||||
FNMA | 3.00 | 12/1/2042 | 94,667 | 95,693 | ||||||||
FNMA | 3.00 | 10/1/2042 | 116,278 | 117,538 | ||||||||
FNMA | 3.00 | 10/1/2042 | 51,526 | 52,085 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 1,905 | 1,983 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 788 | 806 | ||||||||
FHLMC | 6.00 | 9/1/2029 | 8,491 | 9,123 | ||||||||
FHLMC | 3.50 | 2/1/2042 | 916,367 | 946,445 | ||||||||
FNMA | 4.50 | 4/1/2041 | 859,367 | 930,305 |
Page 15
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 3/1/2017 | 231 | 231 | ||||||||
FNMA | 5.50 | 5/1/2038 | 655,122 | 730,091 | ||||||||
FNMA | 4.00 | 6/1/2042 | 516,792 | 547,283 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 40 | 41 | ||||||||
FHLMC_4248 | 6.50 | 5/15/2041 | 8,123,435 | 9,324,857 | ||||||||
FHLMC | 3.50 | 4/1/2026 | 441,385 | 462,764 | ||||||||
FNMA | 6.00 | 9/1/2034 | 4,362 | 4,986 | ||||||||
FNMA | 2.54 | 4/1/2034 | 29,457 | 31,578 | ||||||||
FHLMC | 2.48 | 2/1/2035 | 141,284 | 148,264 | ||||||||
FNMA | 5.50 | 12/1/2036 | 3,048,382 | 3,397,073 | ||||||||
FNMA | 6.50 | 12/1/2016 | 72,422 | 73,918 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 2,958 | 3,080 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,661 | 1,709 | ||||||||
FNMA | 3.50 | 4/1/2045 | 123,711 | 127,747 | ||||||||
FNMA | 3.00 | 1/1/2043 | 64,529 | 65,228 | ||||||||
FNMA | 3.00 | 1/1/2043 | 52,969 | 53,428 | ||||||||
FNMA | 4.00 | 11/1/2045 | 833,886 | 883,155 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 1,940 | 1,984 | ||||||||
FNMA | 6.00 | 5/1/2037 | 209,252 | 236,257 | ||||||||
FNMA | 6.00 | 8/1/2036 | 16,690 | 18,853 | ||||||||
FNMA | 4.50 | 3/1/2040 | 11,669 | 12,624 | ||||||||
FNMA | 4.50 | 1/1/2045 | 378,710 | 409,045 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 2,330 | 2,426 | ||||||||
FNMA | 3.50 | 4/1/2043 | 221,507 | 228,729 | ||||||||
FNMA | 3.00 | 1/1/2043 | 86,151 | 87,084 | ||||||||
FNMA | 5.00 | 2/1/2038 | 46,024 | 50,690 | ||||||||
GNMA | 4.50 | 9/20/2041 | 196,774 | 213,284 | ||||||||
FHLMC | 4.00 | 1/1/2042 | 504,668 | 535,607 | ||||||||
FNMA | 3.00 | 7/1/2043 | 117,688 | 117,904 | ||||||||
FNMA | 2.50 | 4/1/2027 | 671,216 | 680,483 | ||||||||
FNMA | 4.00 | 1/1/2045 | 2,909,452 | 3,083,282 | ||||||||
FNMA | 4.00 | 8/1/2044 | 9,511,831 | 10,080,131 | ||||||||
FHLMC | 3.50 | 4/1/2026 | 371,964 | 389,980 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 221 | 222 | ||||||||
FNMA | 4.00 | 4/1/2042 | 377,516 | 400,746 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 815 | 823 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 249 | 251 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 986 | 995 | ||||||||
FHLMC | 4.50 | 10/1/2044 | 754,631 | 813,169 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 241 | 244 | ||||||||
FNMA | 4.50 | 9/1/2043 | 390,733 | 422,093 | ||||||||
FHLMC | 4.00 | 12/1/2042 | 19,893 | 21,183 | ||||||||
FNMA | 4.50 | 9/1/2039 | 6,753,283 | 7,292,639 | ||||||||
FNMA | 4.50 | 8/1/2035 | 6,594 | 7,136 | ||||||||
FNMA | 4.00 | 12/1/2041 | 433,512 | 460,147 |
Page 16
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.50 | 12/1/2042 | 1,813,420 | 1,872,140 | ||||||||
FHLMC | 5.00 | 3/1/2017 | 220 | 221 | ||||||||
FNMA | 5.50 | 3/1/2034 | 2,841 | 3,185 | ||||||||
FHLMC | 4.00 | 8/1/2025 | 606,968 | 637,344 | ||||||||
FNMA | 3.00 | 12/1/2042 | 244,755 | 247,409 | ||||||||
MSC_15-UBS8 | 3.81 | 12/15/2048 | 5,000,000 | 5,086,252 | ||||||||
FNMA | 8.50 | 2/1/2031 | 243,715 | 270,713 | ||||||||
FHLMC | 5.00 | 8/1/2018 | 671 | 677 | ||||||||
FHLMC | 4.00 | 12/1/2044 | 1,757,312 | 1,857,361 | ||||||||
FHLMC | 4.50 | 4/1/2039 | 140,067 | 152,522 | ||||||||
FNMA | 3.50 | 11/1/2042 | 42,664 | 44,045 | ||||||||
FNMA | 4.50 | 1/1/2040 | 801,524 | 865,538 | ||||||||
FNMA | 3.00 | 12/1/2042 | 174,134 | 176,022 | ||||||||
FHLMC | 5.00 | 5/1/2018 | 1,630 | 1,688 | ||||||||
FHLMC | 5.00 | 1/1/2017 | 730 | 736 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 978 | 1,001 | ||||||||
FHLMC | 4.00 | 12/1/2025 | 2,273,782 | 2,387,577 | ||||||||
FHLMC | 5.00 | 7/1/2019 | 121,116 | 125,664 | ||||||||
FHLMC | 6.00 | 10/1/2037 | 45,834 | 51,614 | ||||||||
FNMA | 5.00 | 1/1/2039 | 1,457,208 | 1,602,966 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 5,710 | 5,839 | ||||||||
FHLMC | 4.00 | 8/1/2044 | 2,127,340 | 2,248,455 | ||||||||
FNMA | 5.00 | 9/1/2040 | 365,952 | 403,088 | ||||||||
FHLMC | 4.00 | 7/1/2025 | 193,771 | 203,468 | ||||||||
GNMA | 2.50 | 12/20/2042 | 46,480 | 45,514 | ||||||||
FNMA | 3.50 | 7/1/2042 | 798,699 | 825,646 | ||||||||
JPMCC_15-JP1 | 3.65 | 1/15/2049 | 4,000,000 | 4,039,988 | ||||||||
FHLMC | 4.00 | 7/1/2043 | 86,652 | 92,166 | ||||||||
FNMA | 4.50 | 8/1/2040 | 211,281 | 228,575 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 690 | 697 | ||||||||
FHLMC | 5.00 | 2/1/2037 | 172,387 | 188,206 | ||||||||
FHLMC | 2.50 | 9/1/2033 | 28,295 | 30,138 | ||||||||
FNMA | 4.00 | 9/1/2044 | 330,471 | 349,847 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 1,922 | 1,965 | ||||||||
FNMA | 4.50 | 1/1/2040 | 1,003,847 | 1,101,495 | ||||||||
FHLMC | 5.00 | 5/1/2018 | 2,475 | 2,578 | ||||||||
FHLMC | 5.00 | 3/1/2039 | 561,517 | 613,115 | ||||||||
GNMA | 4.00 | 8/20/2044 | 24,267,211 | 25,790,783 | ||||||||
FNMA | 5.00 | 8/1/2039 | 2,173,468 | 2,432,800 | ||||||||
FNMA | 5.00 | 10/1/2035 | 18,302 | 20,158 | ||||||||
FHLMC | 4.50 | 9/1/2040 | 335,270 | 361,832 | ||||||||
FHLMC | 5.50 | 3/1/2019 | 11,463 | 12,005 | ||||||||
FHLMC | 5.00 | 12/1/2017 | 1,216 | 1,244 | ||||||||
GNMA | 3.50 | 1/15/2042 | 2,208,197 | 2,310,592 | ||||||||
FNMA | 5.00 | 10/1/2035 | 9,594,743 | 10,567,525 |
Page 17
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 3.00 | 11/1/2042 | 274,119 | 274,453 | ||||||||
FNMA | 5.00 | 5/1/2041 | 212,839 | 234,472 | ||||||||
FHLMC | 4.00 | 11/1/2044 | 616,526 | 651,626 | ||||||||
FNMA | 4.00 | 12/1/2025 | 994,476 | 1,044,017 | ||||||||
FHLMC | 3.00 | 10/1/2026 | 800,778 | 826,513 | ||||||||
FNMA | 5.50 | 3/1/2037 | 1,936,000 | 2,157,271 | ||||||||
FNMA | 2.51 | 6/1/2035 | 1,261,181 | 1,323,966 | ||||||||
FHLMC | 2.10 | 5/1/2042 | 5,130,268 | 5,334,890 | ||||||||
FNMA | 6.00 | 1/1/2036 | 1,278 | 1,444 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,938 | 1,982 | ||||||||
FNMA | 2.41 | 2/1/2035 | 520,756 | 541,236 | ||||||||
FHLMC | 5.00 | 12/1/2016 | 341 | 343 | ||||||||
FNMA | 4.00 | 7/1/2024 | 1,005,551 | 1,055,523 | ||||||||
FNMA | 4.00 | 10/1/2044 | 1,217,939 | 1,289,351 | ||||||||
GNMA | 4.50 | 10/15/2039 | 50,405 | 54,989 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 2,546 | 2,603 | ||||||||
FHLMC_27-55 | 5.00 | 2/15/2034 | 1,514,463 | 1,671,947 | ||||||||
FNMA | 4.50 | 9/1/2041 | 139,842 | 151,386 | ||||||||
FHLMC | 6.00 | 4/1/2038 | 44,510 | 50,127 | ||||||||
FHLMC | 4.00 | 12/1/2044 | 1,816,675 | 1,920,103 | ||||||||
FNMA | 2.50 | 10/1/2027 | 359,323 | 362,624 | ||||||||
FNMA | 5.50 | 6/1/2038 | 359,771 | 401,598 | ||||||||
FNMA | 5.50 | 4/1/2038 | 1,033,432 | 1,151,546 | ||||||||
GNMA | 4.50 | 12/20/2041 | 359,223 | 389,363 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 4,547 | 4,650 | ||||||||
FNMA | 3.00 | 8/1/2042 | 39,355 | 39,782 | ||||||||
FNMA | 4.00 | 5/1/2039 | 13,565 | 14,360 | ||||||||
FNMA | 2.24 | 12/1/2034 | 76,625 | 80,025 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 1,457 | 1,517 | ||||||||
FHLMC | 4.00 | 9/1/2043 | 83,197 | 88,491 | ||||||||
FHLMC | 4.00 | 9/1/2043 | 105,457 | 112,566 | ||||||||
FNMA | 3.00 | 8/1/2042 | 48,039 | 48,560 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 1,430 | 1,462 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 1,322 | 1,362 | ||||||||
FHLMC | 5.50 | 1/1/2046 | 895,000 | 989,115 | ||||||||
GNMA | 4.00 | 1/15/2043 | 19,174 | 20,369 | ||||||||
FNMA | 3.00 | 8/1/2029 | 3,112,106 | 3,208,645 | ||||||||
FNMA | 4.50 | 4/1/2039 | 24,177 | 26,480 | ||||||||
FNMA | 2.50 | 5/1/2027 | 854,513 | 862,510 | ||||||||
FNMA | 4.00 | 4/1/2041 | 4,480,012 | 4,767,086 | ||||||||
FHLMC | 3.00 | 10/1/2026 | 441,025 | 455,199 | ||||||||
FNMA | 5.50 | 4/1/2034 | 4,309 | 4,830 | ||||||||
FNMA | 4.00 | 8/1/2043 | 580,725 | 614,727 | ||||||||
GNMA | 4.00 | 7/20/2044 | 6,565,320 | 6,977,512 | ||||||||
FNMA | 3.00 | 4/1/2043 | 39,652 | 39,995 |
Page 18
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 11/1/2017 | 2,393 | 2,447 | ||||||||
FNMA | 4.50 | 12/1/2043 | 450,869 | 489,070 | ||||||||
FNMA | 4.50 | 3/1/2040 | 461,832 | 499,634 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 643 | 658 | ||||||||
FNMA | 3.00 | 4/1/2043 | 156,580 | 157,937 | ||||||||
FNMA | 5.50 | 10/1/2035 | 6,972 | 7,792 | ||||||||
FHLMC | 2.42 | 10/1/2034 | 86,653 | 92,113 | ||||||||
FNMA | 3.50 | 1/1/2043 | 225,021 | 232,307 | ||||||||
FNMA | 4.50 | 2/1/2041 | 3,459,607 | 3,745,187 | ||||||||
GNMA | 3.50 | 10/20/2042 | 419,847 | 439,692 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 541 | 546 | ||||||||
FNMA | 6.00 | 11/1/2035 | 2,620 | 2,966 | ||||||||
FHLMC | 4.00 | 9/1/2043 | 193,702 | 206,760 | ||||||||
MERRIL LYNCH COUNTRYWIDE | 5.38 | 8/12/2048 | 1,761,752 | 1,803,433 | ||||||||
FHLMC | 4.50 | 5/1/2040 | 402,591 | 434,487 | ||||||||
FHLMC | 6.00 | 8/1/2037 | 56,972 | 64,157 | ||||||||
FNMA | 3.00 | 12/1/2042 | 700,041 | 706,541 | ||||||||
FHLMC | 2.62 | 11/1/2034 | 149,900 | 160,281 | ||||||||
FHLMC | 5.50 | 2/1/2018 | 15,559 | 15,928 | ||||||||
FNMA | 3.00 | 10/1/2042 | 43,935 | 44,412 | ||||||||
FHLMC | 2.47 | 12/1/2033 | 994,084 | 1,059,384 | ||||||||
FNMA | 3.50 | 11/1/2042 | 1,281,798 | 1,323,304 | ||||||||
FNMA | 4.50 | 1/1/2040 | 1,752,662 | 1,929,431 | ||||||||
FNMA | 3.50 | 4/1/2043 | 44,258 | 45,710 | ||||||||
FHLMC | 5.00 | 7/1/2018 | 4,967 | 5,173 | ||||||||
FNMA | 4.50 | 4/1/2042 | 1,143,492 | 1,237,883 | ||||||||
FNMA | 4.00 | 7/1/2042 | 3,281,150 | 3,474,743 | ||||||||
FNMA | 3.00 | 11/1/2042 | 87,038 | 87,981 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 323 | 325 | ||||||||
GNMA | 4.00 | 8/20/2045 | 2,244,910 | 2,389,893 | ||||||||
FNMA | 3.00 | 12/1/2042 | 65,735 | 66,448 | ||||||||
FNMA | 3.00 | 12/1/2042 | 201,923 | 204,112 | ||||||||
FNMA | 5.00 | 1/1/2035 | 8,138 | 8,997 | ||||||||
FNMA | 3.00 | 3/1/2043 | 76,865 | 77,532 | ||||||||
FNMA | 3.00 | 4/1/2043 | 304,236 | 306,874 | ||||||||
FHLMC | 4.00 | 9/1/2043 | 284,521 | 302,625 | ||||||||
FHR_3820D DA | 4.00 | 11/15/2035 | 11,874,701 | 12,390,384 | ||||||||
FNMA | 5.50 | 6/1/2037 | 353,158 | 393,521 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 3,391 | 3,467 | ||||||||
FHLMC | 6.00 | 11/1/2036 | 61,405 | 69,152 | ||||||||
GNMA | 3.50 | 4/20/2045 | 2,924,475 | 3,053,746 | ||||||||
FNMA | 3.00 | 1/1/2029 | 254,437 | 262,561 | ||||||||
FNMA | 4.00 | 12/1/2044 | 161,461 | 170,928 | ||||||||
FNMA | 3.00 | 9/1/2043 | 11,639,612 | 11,661,047 | ||||||||
FHLMC | 6.00 | 8/1/2037 | 73,592 | 82,937 |
Page 19
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.00 | 1/1/2043 | 42,761 | 43,132 | ||||||||
FHLMC | 5.00 | 3/1/2017 | 191 | 192 | ||||||||
FHLMC | 6.00 | 10/1/2038 | 71,889 | 80,961 | ||||||||
FNMA | 5.00 | 2/1/2039 | 767,055 | 854,458 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 3,149 | 3,280 | ||||||||
FNMA | 3.00 | 4/1/2043 | 201,379 | 201,750 | ||||||||
GNMA | 7.00 | 4/15/2031 | 6,838 | 7,616 | ||||||||
FANNIE MAE FNMA_89-44 | 9.00 | 7/25/2019 | 8,694 | 9,215 | ||||||||
FHLMC | 5.00 | 3/1/2017 | 1,098 | 1,117 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 837 | 847 | ||||||||
FHLMC | 4.50 | 3/1/2036 | 315,682 | 340,725 | ||||||||
FNMA | 5.00 | 2/1/2039 | 875,667 | 980,149 | ||||||||
FHLMC | 2.69 | 11/1/2034 | 46,594 | 50,031 | ||||||||
FHLMC | 5.00 | 12/1/2017 | 2,578 | 2,636 | ||||||||
FNMA | 3.50 | 5/1/2042 | 2,748,086 | 2,839,868 | ||||||||
FNMA | 3.00 | 12/1/2042 | 387,422 | 391,622 | ||||||||
FHLMC | 3.50 | 4/1/2026 | 295,554 | 309,869 | ||||||||
FNMA | 2.50 | 10/1/2028 | 322,129 | 326,382 | ||||||||
FNMA | 2.37 | 11/1/2034 | 16,948 | 17,820 | ||||||||
GNMA | 2.50 | 6/15/2027 | 521,400 | 529,640 | ||||||||
FNMA | 3.00 | 12/1/2042 | 109,419 | 110,435 | ||||||||
FHLMC | 5.00 | 1/1/2017 | 620 | 625 | ||||||||
FNMA | 3.00 | 11/1/2042 | 199,681 | 201,846 | ||||||||
FHLMC | 5.00 | 2/1/2039 | 556,957 | 609,853 | ||||||||
FNMA | 8.50 | 4/1/2030 | 461,506 | 509,902 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 379 | 387 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 3,241 | 3,314 | ||||||||
FNMA | 4.00 | 5/1/2044 | 1,651,089 | 1,749,736 | ||||||||
FNMA | 3.00 | 12/1/2042 | 51,130 | 51,685 | ||||||||
FNMA | 4.00 | 12/1/2040 | 25,760 | 27,342 | ||||||||
FHLMC | 5.00 | 8/1/2018 | 1,359 | 1,414 | ||||||||
FNMA | 3.00 | 2/1/2027 | 1,297,922 | 1,341,311 | ||||||||
FHLMC | 2.75 | 11/1/2034 | 69,702 | 73,066 | ||||||||
FNMA | 5.50 | 3/1/2024 | 54,648 | 61,048 | ||||||||
FNMA | 4.50 | 9/1/2040 | 2,490,340 | 2,694,180 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 1,329 | 1,384 | ||||||||
FHLMC | 4.00 | 12/1/2040 | 1,545,023 | 1,641,764 | ||||||||
FNMA | 2.32 | 12/1/2033 | 7,674 | 8,170 | ||||||||
FHLMC | 3.50 | 7/1/2042 | 127,739 | 131,771 | ||||||||
FNMA | 3.50 | 10/1/2045 | 2,200,476 | 2,272,263 | ||||||||
FHLMC | 5.50 | 10/1/2018 | 3,594 | 3,733 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 946 | 953 | ||||||||
FHLMC | 6.00 | 7/1/2029 | 3,205 | 3,444 | ||||||||
FHLMC | 5.00 | 9/1/2033 | 657,109 | 720,749 | ||||||||
FHLMC | 5.00 | 11/1/2016 | 102 | 106 |
Page 20
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 6.00 | 3/1/2035 | 45,876 | 51,924 | ||||||||
FHLMC | 6.00 | 12/1/2037 | 1,089 | 1,227 | ||||||||
FNMA | 3.00 | 1/1/2043 | 276,355 | 279,351 | ||||||||
FHLMC | 5.00 | 6/1/2020 | 1,539,795 | 1,597,616 | ||||||||
FNMA | 6.00 | 12/1/2038 | 9,872 | 11,150 | ||||||||
FNMA | 4.50 | 6/1/2041 | 4,351,039 | 4,710,204 | ||||||||
FHLMC | 4.00 | 2/1/2042 | 403,590 | 426,480 | ||||||||
FHLMC | 5.00 | 5/1/2018 | 877 | 886 | ||||||||
FNMA | 3.00 | 12/1/2042 | 49,838 | 50,378 | ||||||||
FHLMC | 4.50 | 9/1/2039 | 118,938 | 130,330 | ||||||||
FHLMC | 6.00 | 8/1/2034 | 8,730,275 | 10,010,022 | ||||||||
GNMA | 2.50 | 2/15/2027 | 903,595 | 914,578 | ||||||||
FNMA | 4.00 | 1/1/2042 | 286,261 | 303,848 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 2,676 | 2,736 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 1,627 | 1,694 | ||||||||
FHLMC | 5.00 | 8/1/2018 | 2,450 | 2,552 | ||||||||
FNMA | 4.50 | 11/1/2039 | 515,376 | 556,537 | ||||||||
GNMA | 2.50 | 5/15/2027 | 1,074,432 | 1,091,490 | ||||||||
GNMA | 5.00 | 2/15/2039 | 168,024 | 185,170 | ||||||||
FNMA | 4.00 | 11/1/2044 | 3,472,115 | 3,675,697 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,316 | 1,346 | ||||||||
FNMA | 4.50 | 7/1/2041 | 707,696 | 766,114 | ||||||||
GNMA | 3.00 | 9/20/2042 | 210,435 | 214,416 | ||||||||
FNMA | 3.00 | 12/1/2042 | 1,402,336 | 1,415,358 | ||||||||
FHLMC | 6.00 | 11/1/2037 | 133,651 | 151,168 | ||||||||
FNMA | 2.45 | 10/1/2034 | 73,563 | 77,552 | ||||||||
FHLMC | 5.00 | 12/1/2017 | 651 | 665 | ||||||||
FHLMC | 4.50 | 3/1/2041 | 2,197,874 | 2,372,232 | ||||||||
FNMA | 3.00 | 12/1/2042 | 496,444 | 501,053 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 2,274 | 2,368 | ||||||||
FNMA | 3.41 | 10/1/2020 | 2,740,920 | 2,886,856 | ||||||||
FNMA | 2.55 | 11/1/2034 | 384,548 | 412,442 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 149 | 150 | ||||||||
FNMA | 4.50 | 6/1/2041 | 1,586,040 | 1,716,963 | ||||||||
FHLMC | 5.00 | 6/1/2041 | 244,465 | 267,371 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 761 | 770 | ||||||||
FNMA | 4.50 | 8/1/2044 | 408,578 | 441,848 | ||||||||
FHLMC | 3.50 | 11/1/2045 | 758,419 | 781,511 | ||||||||
FNMA | 6.00 | 7/1/2037 | 342,348 | 388,765 | ||||||||
FHLMC | 4.00 | 11/1/2040 | 3,141,234 | 3,340,953 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 2,269 | 2,320 | ||||||||
FNMA | 5.50 | 5/1/2035 | 21,826 | 24,464 | ||||||||
FNMA | 3.00 | 1/1/2043 | 278,687 | 281,708 | ||||||||
FHLMC | 5.00 | 8/1/2017 | 187 | 192 | ||||||||
GNMA | 1.75 | 3/20/2035 | 6,172,853 | 6,418,475 |
Page 21
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 4.00 | 12/1/2040 | 126,426 | 134,035 | ||||||||
FHLMC | 4.00 | 2/1/2039 | 49,637 | 52,459 | ||||||||
FHLMC | 3.50 | 4/1/2026 | 304,011 | 318,736 | ||||||||
FNMA | 2.50 | 3/1/2027 | 625,624 | 634,262 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 2,922 | 3,043 | ||||||||
FHLMC | 4.00 | 3/1/2042 | 391,070 | 414,826 | ||||||||
FHLMC | 5.50 | 3/1/2018 | 106,768 | 109,303 | ||||||||
FNMA | 5.50 | 12/1/2036 | 700,637 | 780,780 | ||||||||
FHLMC | 5.00 | 2/1/2028 | 3,063 | 3,359 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 1,172 | 1,221 | ||||||||
FNMA | 6.00 | 2/1/2036 | 75,387 | 85,739 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 662 | 668 | ||||||||
FHLMC | 3.00 | 11/1/2045 | 5,886,956 | 5,883,188 | ||||||||
FNMA | 4.50 | 8/1/2041 | 118,512 | 128,295 | ||||||||
GNMA | 4.00 | 6/20/2045 | 94,526 | 100,631 | ||||||||
FNMA | 5.50 | 12/1/2036 | 52,504 | 58,478 | ||||||||
FNMA | 2.50 | 3/1/2027 | 449,526 | 455,732 | ||||||||
FNMA | 6.00 | 5/1/2041 | 4,444,414 | 5,019,733 | ||||||||
FHLMC | 5.00 | 1/1/2017 | 411 | 425 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 1,100 | 1,188 | ||||||||
FNMA | 4.50 | 4/1/2039 | 98,179 | 107,533 | ||||||||
FNMA | 4.50 | 3/1/2044 | 598,933 | 646,918 | ||||||||
FNMA | 2.44 | 4/1/2035 | 199,893 | 214,491 | ||||||||
FNMA | 4.00 | 10/1/2040 | 775,860 | 823,513 | ||||||||
FHLMC | 5.00 | 1/1/2017 | 199 | 205 | ||||||||
FHLMC | 5.00 | 1/1/2017 | 91 | 92 | ||||||||
FNMA | 3.50 | 11/1/2042 | 9,265,772 | 9,575,233 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 908 | 919 | ||||||||
FNMA | 5.00 | 12/1/2035 | 324,602 | 357,512 | ||||||||
GNMA | 4.00 | 2/20/2044 | 3,441,373 | 3,657,433 | ||||||||
FNMA | 4.00 | 7/1/2041 | 416,566 | 442,159 | ||||||||
FNMA | 4.50 | 4/1/2044 | 347,308 | 376,758 | ||||||||
FNMA | 5.00 | 4/1/2040 | 937,327 | 1,032,445 | ||||||||
FNMA | 5.00 | 9/1/2040 | 182,109 | 200,589 | ||||||||
FNMA | 5.50 | 6/1/2038 | 69,260 | 77,186 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 829 | 847 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 207 | 208 | ||||||||
FNMA | 4.38 | 6/1/2021 | 5,872,982 | 6,393,704 | ||||||||
FHLMC | 4.50 | 4/1/2036 | 1,240,430 | 1,338,833 | ||||||||
FNMA | 4.50 | 6/1/2040 | 524,466 | 567,394 | ||||||||
FNMA | 2.47 | 7/1/2033 | 92,996 | 97,870 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 1,444 | 1,477 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 1,341 | 1,371 | ||||||||
FNMA | 3.00 | 1/1/2043 | 54,260 | 54,731 | ||||||||
FHLMC | 3.50 | 4/1/2026 | 480,386 | 503,653 |
Page 22
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 11/1/2017 | 1,156 | 1,188 | ||||||||
FHLMC | 6.00 | 9/1/2037 | 9,907 | 11,156 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 4,386 | 4,567 | ||||||||
FNMA | 4.50 | 3/1/2042 | 388,408 | 423,593 | ||||||||
FNMA | 5.00 | 8/1/2039 | 10,597 | 11,659 | ||||||||
FNMA | 5.00 | 5/1/2040 | 345,267 | 387,158 | ||||||||
FHLMC | 5.00 | 1/1/2018 | 2,511 | 2,615 | ||||||||
FNMA | 3.00 | 12/1/2042 | 191,277 | 193,350 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 1,723 | 1,762 | ||||||||
FHLMC | 5.00 | 1/1/2017 | 193 | 193 | ||||||||
FNMA | 3.00 | 4/1/2043 | 84,985 | 85,722 | ||||||||
FNMA | 5.00 | 2/1/2038 | 113,416 | 124,915 | ||||||||
FNMA | 4.00 | 3/1/2026 | 410,558 | 431,011 | ||||||||
FHLMC | 5.00 | 2/1/2018 | 3,378 | 3,517 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 1,127 | 1,139 | ||||||||
FNMA | 5.00 | 9/1/2035 | 2,247 | 2,475 | ||||||||
FHLMC | 5.50 | 8/1/2018 | 62,817 | 65,254 | ||||||||
FHLMC | 5.00 | 5/1/2018 | 1,960 | 2,030 | ||||||||
FNMA | 3.00 | 1/1/2043 | 52,998 | 53,573 | ||||||||
FNMA | 3.50 | 12/1/2041 | 1,271,486 | 1,319,984 | ||||||||
FNMA | 3.00 | 12/1/2042 | 45,415 | 45,908 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 90 | 91 | ||||||||
FNMA | 4.50 | 2/1/2041 | 482,359 | 521,842 | ||||||||
FNMA | 4.00 | 2/1/2044 | 1,436,795 | 1,529,186 | ||||||||
FHLMC | 4.00 | 10/1/2043 | 202,011 | 213,505 | ||||||||
FHLMC | 8.50 | 9/15/2022 | 14,918 | 15,974 | ||||||||
FNMA | 3.00 | 12/1/2042 | 254,151 | 256,905 | ||||||||
FHLMC | 6.00 | 3/1/2036 | 2,587,142 | 2,953,706 | ||||||||
FNMA | 5.50 | 6/1/2038 | 30,687 | 34,195 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 1,045 | 1,080 | ||||||||
FNMA | 3.00 | 1/1/2043 | 320,521 | 323,995 | ||||||||
FHLMC | 3.50 | 10/1/2026 | 2,607,329 | 2,733,613 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 407 | 410 | ||||||||
FNMA | 3.00 | 9/1/2042 | 80,531 | 81,404 | ||||||||
FHLMC MULTIFAMILY STRUCTURED P | 2.22 | 12/25/2018 | 500,000 | 504,211 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 961 | 972 | ||||||||
FNMA | 3.00 | 4/1/2043 | 128,862 | 129,979 | ||||||||
FNMA | 2.50 | 3/1/2027 | 453,671 | 459,935 | ||||||||
FNMA | 3.00 | 1/1/2043 | 115,380 | 116,380 | ||||||||
FNMA | 4.50 | 3/1/2024 | 6,229,350 | 6,569,179 | ||||||||
FNMA | 2.23 | 3/1/2033 | 11,973 | 12,759 | ||||||||
FNMA | 3.00 | 2/1/2043 | 65,075 | 65,640 | ||||||||
FHLMC | 4.00 | 5/1/2043 | 165,478 | 176,634 | ||||||||
FNMA | 4.00 | 11/1/2040 | 32,840 | 34,857 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 303 | 307 |
Page 23
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
GNMA | 2.50 | 4/20/2043 | 324,255 | 317,108 | ||||||||
FNMA | 2.25 | 5/1/2035 | 78,374 | 81,350 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 2,857 | 2,975 | ||||||||
FHLMC | 4.00 | 7/1/2025 | 457,757 | 480,667 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 700 | 704 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 758 | 775 | ||||||||
FNMA | 3.00 | 4/1/2045 | 128,719 | 128,836 | ||||||||
GNMA | 4.00 | 10/20/2045 | 24,823,814 | 26,427,010 | ||||||||
GNMA | 4.00 | 5/20/2042 | 211,011 | 224,731 | ||||||||
FNMA | 3.50 | 8/1/2042 | 4,563,662 | 4,711,435 | ||||||||
FHLMC | 5.00 | 3/1/2017 | 333 | 337 | ||||||||
FHLMC | 5.50 | 2/1/2018 | 59,788 | 61,207 | ||||||||
FHLMC | 5.00 | 3/1/2018 | 281 | 282 | ||||||||
FNMA | 4.50 | 2/1/2044 | 400,000 | 432,047 | ||||||||
FHLMC | 5.00 | 3/1/2017 | 578 | 591 | ||||||||
FNMA | 5.00 | 6/1/2041 | 92,338 | 101,988 | ||||||||
FHLMC | 5.00 | 4/1/2017 | 885 | 905 | ||||||||
FHLMC | 5.00 | 11/1/2018 | 4,958 | 5,163 | ||||||||
FNMA | 1.88 | 6/1/2033 | 130,393 | 138,590 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 4,620 | 4,724 | ||||||||
FNMA | 4.00 | 1/1/2045 | 1,092,409 | 1,156,461 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 107 | 109 | ||||||||
FNMA | 5.00 | 4/1/2040 | 237,984 | 267,044 | ||||||||
FHLMC | 5.00 | 1/1/2017 | 416 | 418 | ||||||||
FNMA | 3.50 | 2/1/2041 | 725,134 | 749,652 | ||||||||
FHLMC | 5.00 | 9/1/2016 | 94 | 97 | ||||||||
FNMA | 5.00 | 10/1/2035 | 430,855 | 474,538 | ||||||||
FNMA | 5.50 | 7/1/2036 | 55,184 | 61,497 | ||||||||
FHLMC | 6.00 | 6/1/2036 | 12,558 | 14,241 | ||||||||
FNMA | 3.00 | 1/1/2043 | 94,586 | 95,407 | ||||||||
GNMA | 3.00 | 10/15/2042 | 96,635 | 98,344 | ||||||||
FHLMC | 6.00 | 3/1/2031 | 6,127 | 6,796 | ||||||||
FNMA | 3.00 | 12/1/2042 | 171,164 | 173,020 | ||||||||
FHLMC | 5.00 | 10/1/2017 | 2,540 | 2,597 | ||||||||
FNMA | 3.00 | 1/1/2043 | 265,381 | 268,257 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 833 | 852 | ||||||||
FNMA | 4.00 | 2/1/2042 | 1,330,490 | 1,412,234 | ||||||||
FHLMC | 5.00 | 9/1/2017 | 1,721 | 1,760 | ||||||||
GNMA | 7.00 | 5/15/2031 | 7,541 | 8,399 | ||||||||
GNMA | 4.00 | 3/20/2045 | 17,398,244 | 18,490,560 | ||||||||
FNMA | 5.00 | 1/1/2039 | 902,343 | 1,012,861 | ||||||||
FNMA | 6.50 | 12/1/2016 | 144,804 | 148,086 | ||||||||
FNMA | 2.18 | 1/1/2035 | 132,208 | 141,237 | ||||||||
FNMA | 6.50 | 7/1/2036 | 133,686 | 152,871 | ||||||||
FNMA | 3.50 | 4/1/2043 | 530,291 | 547,581 |
Page 24
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 2/1/2018 | 2,605 | 2,712 | ||||||||
GNMA | 3.50 | 1/15/2042 | 1,866,080 | 1,952,611 | ||||||||
FNMA | 1.99 | 3/1/2035 | 178,261 | 186,647 | ||||||||
FNMA | 5.50 | 10/1/2034 | 322 | 363 | ||||||||
FNMA | 3.00 | 12/1/2042 | 183,335 | 185,322 | ||||||||
FNMA | 2.50 | 9/1/2028 | 1,245,903 | 1,262,352 | ||||||||
FHLMC | 5.00 | 7/1/2018 | 4,314 | 4,492 | ||||||||
FNMA | 3.50 | 11/1/2028 | 29,670 | 31,121 | ||||||||
FNMA | 4.50 | 1/1/2041 | 427,647 | 462,651 | ||||||||
GNMA | 3.50 | 2/15/2042 | 1,495,214 | 1,564,547 | ||||||||
FNMA | 2.50 | 2/1/2028 | 344,273 | 347,437 | ||||||||
FNMA | 3.00 | 1/1/2031 | 1,650,000 | 1,701,384 | ||||||||
FNMA | 5.00 | 7/1/2041 | 129,140 | 142,085 | ||||||||
FNMA | 2.26 | 1/1/2035 | 36,910 | 39,315 | ||||||||
FNMA | 3.00 | 1/1/2043 | 69,888 | 70,494 | ||||||||
FNMA | 3.00 | 11/1/2028 | 739,202 | 762,805 | ||||||||
FHLMC | 5.00 | 4/1/2018 | 448 | 451 | ||||||||
FHLMC | 5.00 | 3/1/2017 | 906 | 927 | ||||||||
FNMA | 3.50 | 10/1/2042 | 4,132,816 | 4,270,845 | ||||||||
FHLMC | 4.50 | 5/1/2041 | 2,145,506 | 2,315,709 | ||||||||
FNMA | 5.50 | 6/1/2039 | 140,460 | 156,534 | ||||||||
FNMA | 6.00 | 7/1/2036 | 13,465 | 15,191 | ||||||||
FNMA | 4.50 | 8/1/2039 | 25,210 | 27,223 | ||||||||
FNMA | 5.00 | 5/1/2038 | 4,349 | 4,784 | ||||||||
FHLMC | 5.00 | 2/1/2017 | 452 | 462 | ||||||||
GNMA | 3.50 | 8/20/2045 | 2,962,891 | 3,093,860 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 971 | 999 | ||||||||
GNMA | 4.00 | 9/20/2045 | 80,139,051 | 85,314,669 | ||||||||
FHLMC | 5.00 | 11/1/2017 | 1,233 | 1,261 | ||||||||
FNMA | 3.00 | 11/1/2042 | 135,593 | 137,063 | ||||||||
FNMA | 4.50 | 4/1/2041 | 1,234,458 | 1,336,359 | ||||||||
FHLMC | 6.00 | 12/1/2037 | 17,034 | 19,183 | ||||||||
FNMA | 6.00 | 8/1/2037 | 2,026 | 2,288 | ||||||||
FNMA | 4.00 | 7/1/2041 | 490,124 | 520,237 | ||||||||
FHLMC | 5.00 | 10/1/2036 | 733,016 | 802,633 | ||||||||
FHLMC | 5.00 | 7/1/2018 | 3,777 | 3,933 | ||||||||
708,511,746 | $ | 751,838,881 | ||||||||||
Non Agency RMBS | ||||||||||||
AIREM_06-1A | 0.79 | 9/20/2066 | 1,242,115 | $ | 1,186,941 | |||||||
CWALT_06-18CB | 0.77 | 7/25/2036 | 2,776,796 | 1,740,242 | ||||||||
CWALT_06-31CB | 0.92 | 11/25/2036 | 1,415,453 | 959,717 | ||||||||
CWALT_06-39CB | 1.17 | 1/25/2037 | 1,130,213 | 844,050 | ||||||||
BANK OF AMERICA MTG SEC | 4.75 | 6/25/2019 | 551,572 | 557,744 | ||||||||
BANC OF AMERICA FUNDING CORPOR | 0.71 | 5/25/2037 | 5,685,346 | 4,183,375 |
Page 25
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
BSARM_04-10 | 2.73 | 8/25/2033 | 15,432 | 15,188 | ||||||||
CWALT_04-J4 | 1.00 | 6/25/2034 | 4,533,016 | 4,370,474 | ||||||||
COUNTRYWIDE ALTERNATIVE LOAN T | 0.72 | 11/20/2035 | 1 | — | ||||||||
CS FIRST BOSTON MORTGAGE SECUR | 3.57 | 10/25/2033 | 95,963 | 93,415 | ||||||||
GNMA | 3.50 | 3/15/2045 | 4,810,055 | 5,019,656 | ||||||||
HALO_07-WF1 | 0.52 | 12/25/2036 | 3,296,064 | 1,348,258 | ||||||||
NGN_11-R3 | 0.59 | 3/11/2020 | 793,036 | 791,807 | ||||||||
NOMURA ASSET ACCEPTANCE CORPOR | 6.02 | 4/25/2047 | 3,579,658 | 2,912,590 | ||||||||
RES ASSET SEC | 2.53 | 3/25/2035 | 682,243 | 451,805 | ||||||||
SARM | 2.58 | 2/25/2035 | 1,591,377 | 1,522,208 | ||||||||
WAMU | 1.20 | 10/25/2045 | 3,554,693 | 3,445,230 | ||||||||
WASHINGTON MUTUAL | 1.16 | 11/25/2034 | 217,149 | 206,486 | ||||||||
WAMU_04-A12 | 0.83 | 10/25/2044 | 3,720,959 | 3,603,080 | ||||||||
BRUNEL RESIDENTIAL MORTGAGE SE | 0.52 | 1/13/2039 | 769,384 | 762,700 | ||||||||
40,460,524 | $ | 34,014,964 | ||||||||||
CMBS | ||||||||||||
AVMT_13-AVM | 3.87 | 12/5/2032 | 6,200,000 | $ | 6,469,916 | |||||||
BAMLL_11-07C1 | 5.38 | 11/15/2016 | 4,340,547 | 4,395,759 | ||||||||
BACM | 5.89 | 7/10/2044 | 6,684,667 | 6,719,957 | ||||||||
BACM | 5.36 | 10/10/2045 | 2,400,000 | 2,429,885 | ||||||||
BANC OF AMERICA | 5.63 | 7/10/2046 | 2,806,575 | 2,829,368 | ||||||||
BANC OF AMERICA | 5.41 | 9/10/2047 | 3,026,613 | 3,061,659 | ||||||||
BANC OF AMERICA | 5.48 | 9/10/2047 | 28,090,000 | 25,847,699 | ||||||||
BACM_07-2 | 5.74 | 4/10/2049 | 1,191,635 | 1,226,189 | ||||||||
BSCMS | 5.20 | 12/11/2038 | 475,016 | 484,189 | ||||||||
BSCMS_07-PW18 | 5.60 | 6/11/2050 | 9,392,499 | 9,853,918 | ||||||||
CITIGROUP/DEUTSCHE BANK COMMER | 5.45 | 1/15/2046 | 19,550,000 | 19,037,596 | ||||||||
CD_07-CD4 | 5.32 | 12/11/2049 | 2,500,141 | 2,542,227 | ||||||||
CD_07-CD4 | 5.40 | 12/11/2049 | 15,521,849 | 12,972,385 | ||||||||
COMM_13-CR12 | 1.56 | 10/10/2046 | 15,076,052 | 1,085,225 | ||||||||
COMM MORTGAGE TRUST COMM_14-UB | 4.84 | 8/10/2047 | 24,766,000 | 20,921,262 | ||||||||
COMM_14-CR16 | 1.41 | 4/10/2047 | 19,659,404 | 1,248,809 | ||||||||
COMM_14-UBS3 | 3.82 | 6/10/2047 | 134,000 | 137,910 | ||||||||
COMM_14-UBS6 | 4.11 | 12/10/2047 | 7,111,000 | 5,570,221 | ||||||||
COMM_15-CR23 | 2.85 | 5/10/2048 | 1,370,000 | 1,388,136 | ||||||||
COMM_15-PC1 | 1.67 | 7/10/2050 | 8,495,146 | 8,423,491 | ||||||||
COMM_12-LC4 | 4.06 | 12/10/2044 | 134,000 | 140,702 | ||||||||
COMM | 1.83 | 8/15/2045 | 35,111,461 | 3,021,738 | ||||||||
COMM_13-CR6 | 2.62 | 3/10/2046 | 335,000 | 333,533 | ||||||||
COMM_13-LC13 | 4.21 | 8/10/2046 | 268,000 | 286,371 | ||||||||
CSAIL_15-C4 | 3.81 | 11/18/2048 | 4,000,000 | 4,077,811 | ||||||||
CITIGROUP | 5.43 | 10/15/2049 | 2,005,895 | 2,032,754 | ||||||||
CGCMT_07-C6 | 5.90 | 12/10/2049 | 5,149,798 | 5,334,127 | ||||||||
CITIGROUP COMMERCIAL MORTGAGE | 3.02 | 9/10/2045 | 335,000 | 335,612 |
Page 26
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CGCMT_13-GC11 | 3.09 | 4/10/2046 | 8,200,000 | 8,171,042 | ||||||||
CGCMT_13-GC15 | 1.25 | 9/10/2046 | 10,389,868 | 566,077 | ||||||||
CITIGROUP COMMERCIAL MORTGAGE | 4.13 | 11/10/2046 | 168,000 | 177,894 | ||||||||
CGCMT_14-GC23 | 3.62 | 7/10/2047 | 134,000 | 136,785 | ||||||||
CGCMT 2015-GC27 | 2.94 | 2/10/2048 | 1,940,000 | 1,915,001 | ||||||||
CGCMT_15_GC27 | 4.43 | 2/10/2048 | 11,750,000 | 9,159,501 | ||||||||
CWCAPITAL COBALT | 5.22 | 8/15/2048 | 3,880,651 | 3,942,515 | ||||||||
CWCI | 5.48 | 4/15/2047 | 3,000,711 | 3,084,040 | ||||||||
CWCI_07-C3 | 5.77 | 5/15/2046 | 3,878,434 | 4,055,003 | ||||||||
COMMERCIAL MORTGAGE PASS-THROU | 5.96 | 6/10/2046 | 2,419,131 | 2,439,059 | ||||||||
COMM | 5.99 | 12/10/2049 | 3,897,940 | 4,043,228 | ||||||||
GCCFC | 5.44 | 3/10/2039 | 3,755,595 | 3,839,268 | ||||||||
GREENWICH COMMERCIAL FUNDING C | 5.51 | 3/10/2039 | 42,985,000 | 40,522,450 | ||||||||
CMLT | 6.25 | 12/10/2049 | 2,145,311 | 2,211,549 | ||||||||
CREDIT SUISSE MORTGAGE CAPITAL | 5.82 | 6/15/2038 | 8,662,191 | 8,678,630 | ||||||||
CREDIT SUISSE MORTGAGE CAPITAL | 5.31 | 12/15/2039 | 2,822,163 | 2,851,704 | ||||||||
CREDIT SUISSE MORTGAGE CAPITAL | 5.37 | 12/15/2039 | 47,408,252 | 46,081,281 | ||||||||
CSMC_07-C2 | 5.53 | 1/15/2049 | 4,171,393 | 4,296,417 | ||||||||
CSMC | 5.70 | 9/15/2040 | 3,086,248 | 3,188,568 | ||||||||
DBUBS_11-LC1 | 3.74 | 11/10/2046 | 226,170 | 226,577 | ||||||||
FNMA | 2.98 | 4/25/2022 | 1,700,000 | 1,762,684 | ||||||||
FNMA_12-M8 | 1.52 | 12/25/2019 | 1,500,352 | 1,504,500 | ||||||||
FNMA_12-M8 | 1.80 | 12/25/2019 | 2,100,000 | 2,106,157 | ||||||||
FNMA_12-M14 | 2.30 | 9/25/2022 | 200,000 | 199,299 | ||||||||
FHMS_19-K710 | 1.88 | 5/25/2019 | 10,700,000 | 10,696,004 | ||||||||
FHLMC | 2.37 | 5/25/2022 | 5,000,000 | 4,960,013 | ||||||||
FHLMC_K021 | 1.49 | 6/25/2022 | 33,863,823 | 2,563,180 | ||||||||
FHLMC_13-HN | 3.11 | 2/25/2023 | 16,000,000 | 16,440,547 | ||||||||
GECMC_07-C1 | 5.48 | 12/10/2049 | 6,315,707 | 6,541,338 | ||||||||
GSMSCII_12-GC6 | 2.24 | 1/10/2045 | 14,153,072 | 1,241,374 | ||||||||
GS MORTGAGE SECURITIES CORPORA | 2.77 | 11/10/2045 | 335,000 | 329,538 | ||||||||
GS MORTGAGE SECURITIES TRUST G | 3.14 | 6/10/2046 | 168,000 | 167,624 | ||||||||
GSMS_13-GC13 | 4.17 | 7/10/2046 | 402,000 | 428,437 | ||||||||
GSMS_14-GC26 | 4.66 | 11/10/2047 | 9,294,000 | 7,771,052 | ||||||||
GS MORTGAGE SECURITIES TRUST G | 2.90 | 2/10/2048 | 2,180,000 | 2,211,927 | ||||||||
GSMS_14-GC18 | 1.42 | 1/10/2047 | 23,863,716 | 1,565,369 | ||||||||
GSMS_14-GC24 | 4.66 | 9/10/2047 | 1,090,000 | 859,705 | ||||||||
JPMBB COMMERCIAL MORTGAGE SECU | 2.82 | 11/15/2048 | 2,630,000 | 2,654,349 | ||||||||
JPMCC | 5.55 | 5/12/2045 | 5,919,378 | 5,988,844 | ||||||||
JPMCC | 5.34 | 5/15/2047 | 1,809,945 | 1,843,403 | ||||||||
JPMCC_06-LDP9 | 5.26 | 5/15/2047 | 1,228,275 | 1,246,553 | ||||||||
JPMCC | 5.44 | 6/12/2047 | 2,773,192 | 2,839,751 | ||||||||
JP MORGAN CHASE COMMERICAL MOR | 5.50 | 6/12/2047 | 26,156,932 | 24,361,334 | ||||||||
JPMCC | 5.43 | 12/12/2043 | 1,271,653 | 1,292,967 | ||||||||
JP MORGAN CHASE COMMERCIAL MOR | 5.42 | 1/15/2049 | 844,792 | 862,199 |
Page 27
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
JP MORGAN CHASE COMMERCIAL MOR | 5.89 | 2/12/2049 | 42,621,000 | 39,754,580 | ||||||||
JPMCC | 5.79 | 2/12/2051 | 2,597,913 | 2,700,514 | ||||||||
JPMCC | 5.88 | 2/15/2051 | 2,100,000 | 2,177,932 | ||||||||
JPMCC_12-LC9 | 1.68 | 12/15/2047 | 335,000 | 333,399 | ||||||||
JPMBB_14-C22 | 3.80 | 9/15/2047 | 134,000 | 137,190 | ||||||||
JPMBB_14-C23 | 3.18 | 9/15/2047 | 6,000,000 | 6,152,128 | ||||||||
JPMBB_14-C24 | 2.94 | 11/15/2047 | 900,000 | 915,152 | ||||||||
JPMBB_14-C24 | 3.37 | 11/15/2047 | 168,000 | 168,089 | ||||||||
JPMBB_14-C25 | 2.95 | 11/15/2047 | 5,470,000 | 5,563,384 | ||||||||
JPMBB_14-C26 | 3.93 | 1/15/2048 | 21,911,000 | 16,424,810 | ||||||||
JPMBB_14-C26 | 3.02 | 1/15/2048 | 4,320,000 | 4,403,951 | ||||||||
JPMBB_15-C27 | 3.85 | 2/15/2048 | 1,460,400 | 1,070,197 | ||||||||
JPMCCMSC_15-C28 | 3.74 | 10/15/2048 | 4,600,000 | 3,349,029 | ||||||||
JPMBB | 2.92 | 5/15/2048 | 1,070,000 | 1,085,888 | ||||||||
LBUBS | 5.37 | 9/15/2039 | 232,406 | 235,773 | ||||||||
MLCFC_06-4 | 5.17 | 12/12/2049 | 1,550,076 | 1,575,093 | ||||||||
MERRIL LYNCH COUNTRYWIDE | 2.34 | 8/12/2048 | 43,718,578 | 41,185,703 | ||||||||
MERRIL LYNCH COUNTRYWIDE | 5.45 | 8/12/2048 | 11,150,200 | 10,504,203 | ||||||||
MLCFC_07-9 | 6.19 | 9/12/2049 | 1,060,000 | 1,055,859 | ||||||||
MSBAM_15-C22 | 4.24 | 5/15/2046 | 3,889,000 | 3,157,125 | ||||||||
MORGAN STANLEY CAPITAL | 3.88 | 9/15/2047 | 540,670 | 540,612 | ||||||||
MSC_06-HQ9 | 5.73 | 7/12/2044 | 1,569,042 | 1,578,629 | ||||||||
MSC | 5.33 | 12/15/2043 | 1,310,967 | 1,334,229 | ||||||||
MSC_07-IQ13 | 5.44 | 3/15/2044 | 7,469,500 | 7,408,457 | ||||||||
MSBAM_12-C6 | 1.87 | 11/15/2045 | 300,000 | 299,985 | ||||||||
MSBAM_13-C13 | 1.20 | 11/15/2046 | 19,057,472 | 1,204,213 | ||||||||
MSBAM_14-C18 | 3.39 | 10/15/2047 | 1,814,440 | 1,398,700 | ||||||||
MSBAM_15-C20 | 3.07 | 2/15/2048 | 9,231,500 | 6,830,090 | ||||||||
MSBAM_15-C20 | 3.07 | 2/15/2048 | 1,470,000 | 1,472,617 | ||||||||
SWAY_14-1 | 4.63 | 1/17/2032 | 1,651,000 | 1,639,929 | ||||||||
UBS-BARCLAYS COMMERCIAL MORTGA | 3.53 | 5/10/2063 | 235,000 | 240,425 | ||||||||
UBSBB_12-C3 | 2.25 | 8/10/2049 | 6,360,573 | 584,145 | ||||||||
WFRBS_12-C10 | 1.75 | 12/15/2045 | 2,272,023 | 186,775 | ||||||||
WFRBS_12-C10 | 2.88 | 12/15/2045 | 335,000 | 330,859 | ||||||||
WF-RBS COMMERCIAL MORTGAGE TRU | 3.43 | 6/15/2045 | 168,000 | 172,166 | ||||||||
WF-RBS COMMERCIAL MORTGAGE TRU | 3.04 | 3/15/2045 | 214,000 | 213,187 | ||||||||
WFRBS_13-C12 | 1.44 | 3/15/2048 | 2,969,311 | 198,676 | ||||||||
WFRBS_14-C21 | 1.18 | 8/15/2047 | 19,250,716 | 1,321,718 | ||||||||
WBCMT_07-C30 | 0.49 | 12/15/2043 | 29,005,914 | 133,827 | ||||||||
WBCMT | 5.71 | 6/15/2049 | 2,000,000 | 2,048,632 | ||||||||
WFCM_12-LC5 | 2.92 | 10/15/2045 | 218,000 | 216,696 | ||||||||
WFCM_14-LC16 | 3.94 | 8/15/2050 | 2,096,000 | 1,678,874 | ||||||||
WFCM_15-C26 | 2.91 | 2/15/2048 | 3,900,000 | 3,741,269 | ||||||||
WFCM_15-C31 | 3.49 | 11/15/2048 | 1,800,000 | 1,826,752 | ||||||||
833,077,897 | $ | 582,784,643 |
Page 28
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
Corporate Debt Securities - Financials | ||||||||||||
ABN AMRO BANK NV | 2.50 | 10/30/2018 | 7,000,000 | $ | 7,071,753 | |||||||
ABN AMRO BANK NV | 2.45 | 6/4/2020 | 5,750,000 | 5,711,601 | ||||||||
AFLAC INC | 2.65 | 2/15/2017 | 170,000 | 172,295 | ||||||||
ABBEY NATIONAL TREASURY SERVIC | 3.05 | 8/23/2018 | 4,155,000 | 4,253,321 | ||||||||
ABBEY NATIONAL TREASURY SERVIC | 1.38 | 3/13/2017 | 2,055,000 | 2,046,306 | ||||||||
AIR LEASE CORPORATION | 2.13 | 1/15/2018 | 135,000 | 132,878 | ||||||||
AMERICAN CAMPUS COMMUNITIES OP | 3.35 | 10/1/2020 | 2,000,000 | 1,999,870 | ||||||||
AMERICAN EXPRESS COMPANY | 5.50 | 9/12/2016 | 4,000,000 | 4,119,400 | ||||||||
AMERICAN EXPRESS COMPANY | 1.55 | 5/22/2018 | 6,175,000 | 6,125,462 | ||||||||
AMERICAN EXPRESS CREDIT CORPOR | 2.80 | 9/19/2016 | 170,000 | 172,016 | ||||||||
AMERICAN EXPRESS CREDIT CORPOR | 2.13 | 3/18/2019 | 9,000,000 | 8,978,888 | ||||||||
AMERICAN EXPRESS CREDIT CORPOR | 2.25 | 8/15/2019 | 3,100,000 | 3,087,065 | ||||||||
AMERICAN INTERNATIONAL GROUP I | 5.60 | 10/18/2016 | 65,000 | 67,144 | ||||||||
APOLLO INVSTMNT | 5.25 | 3/3/2025 | 2,250,000 | 2,197,756 | ||||||||
ARC PROPERTIES OPERATING PARTN | 2.00 | 2/6/2017 | 8,000,000 | 7,840,776 | ||||||||
AUSTRALIA & NEW ZEALAND BANKIN | 1.45 | 5/15/2018 | 250,000 | 247,548 | ||||||||
AUSTRALIA & NEW ZEALAND BANKIN | 1.25 | 1/10/2017 | 2,385,000 | 2,384,220 | ||||||||
AUSTRALIA & NEW ZEALAND BANKIN | 2.25 | 6/13/2019 | 3,700,000 | 3,698,692 | ||||||||
AUSTRALIA & NEW ZEALAND BANKIN | 2.00 | 11/16/2018 | 10,925,000 | 10,902,321 | ||||||||
BB&T CORP | 1.60 | 8/15/2017 | 10,400,000 | 10,410,659 | ||||||||
BB&T CORP | 2.45 | 1/15/2020 | 2,600,000 | 2,603,859 | ||||||||
BB&T CORP | 2.63 | 6/29/2020 | 3,000,000 | 3,011,786 | ||||||||
BNP PARIBAS SA | 5.00 | 1/15/2021 | 1,500,000 | 1,654,025 | ||||||||
BNP PARIBAS SA | 2.40 | 12/12/2018 | 9,275,000 | 9,321,154 | ||||||||
BNP PARIBAS SA | 1.38 | 3/17/2017 | 5,045,000 | 5,036,696 | ||||||||
BPCE SA | 2.50 | 12/10/2018 | 3,965,000 | 4,007,224 | ||||||||
BPCE SA | 0.93 | 11/18/2016 | 3,280,000 | 3,280,722 | ||||||||
BANCO SANTANDER CHILE | 1.22 | 4/11/2017 | 4,500,000 | 4,443,750 | ||||||||
BANK OF AMERICA CORP | 6.00 | 9/1/2017 | 10,695,000 | 11,377,523 | ||||||||
BANK OF AMERICA CORP | 1.13 | 11/14/2016 | 1,500,000 | 1,497,135 | ||||||||
BANK OF AMERICA CORP | 5.65 | 5/1/2018 | 2,750,000 | 2,956,443 | ||||||||
BANK OF AMERICA CORP | 7.63 | 6/1/2019 | 2,700,000 | 3,111,993 | ||||||||
BANK OF AMERICA CORP | 5.63 | 7/1/2020 | 4,500,000 | 4,987,688 | ||||||||
BANK OF AMERICA CORP | 2.00 | 1/11/2018 | 3,370,000 | 3,362,377 | ||||||||
BANK OF AMERICA CORP | 2.60 | 1/15/2019 | 6,575,000 | 6,597,818 | ||||||||
BANK OF AMERICA CORP | 2.65 | 4/1/2019 | 4,960,000 | 4,972,109 | ||||||||
BANK OF AMERICA CORP | 4.20 | 8/26/2024 | 2,535,000 | 2,524,755 | ||||||||
BANK OF AMERICA CORP | 3.95 | 4/21/2025 | 6,000,000 | 5,841,986 | ||||||||
BANK OF MONTREAL | 2.50 | 1/11/2017 | 1,505,000 | 1,523,651 | ||||||||
BANK OF MONTREAL | 1.40 | 9/11/2017 | 200,000 | 199,226 | ||||||||
BANK OF MONTREAL | 2.63 | 1/25/2016 | 6,000,000 | 6,003,474 | ||||||||
BANK OF MONTREAL | 1.95 | 1/30/2017 | 2,600,000 | 2,620,410 | ||||||||
BANK OF NEW YORK MELLON | 2.40 | 1/17/2017 | 2,948,000 | 2,983,736 |
Page 29
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
BANK OF NEW YORK MELLON CORP/T | 2.10 | 1/15/2019 | 168,000 | 168,430 | ||||||||
BANK OF NEW YORK MELLON CORP/T | 2.20 | 5/15/2019 | 135,000 | 135,210 | ||||||||
BANK OF NEW YORK MELLON CORP/T | 2.30 | 9/11/2019 | 4,170,000 | 4,179,967 | ||||||||
BANK OF NOVA SCOTIA | 2.55 | 1/12/2017 | 170,000 | 172,199 | ||||||||
BANK OF NOVA SCOTIA | 1.38 | 12/18/2017 | 100,000 | 99,371 | ||||||||
BANK OF NOVA SCOTIA | 2.05 | 10/30/2018 | 100,000 | 100,069 | ||||||||
BANK OF NOVA SCOTIA | 1.25 | 4/11/2017 | 3,930,000 | 3,920,947 | ||||||||
BANK OF NOVA SCOTIA | 2.05 | 6/5/2019 | 4,300,000 | 4,271,675 | ||||||||
BANK OF NOVA SCOTIA | 2.35 | 10/21/2020 | 3,000,000 | 2,970,217 | ||||||||
BANK OF NOVA SCOTIA | 1.75 | 3/22/2017 | 6,000,000 | 6,035,700 | ||||||||
BANK OF TOKYO-MITSUBISHI UFJ L | 1.55 | 9/9/2016 | 2,860,000 | 2,863,935 | ||||||||
BANK OF TOKYO MITSUBISHI UFJ L | 3.75 | 3/10/2024 | 3,625,000 | 3,708,224 | ||||||||
BANK OF TOKYO MITSUBISHI UFJ L | 2.35 | 9/8/2019 | 1,900,000 | 1,882,017 | ||||||||
BANK OF TOKYO-MITSUBISHI UFJ L | 2.75 | 9/14/2020 | 1,500,000 | 1,499,931 | ||||||||
BANQUE FEDERATIVE DU CREDIT MU | 2.75 | 10/15/2020 | 12,725,000 | 12,707,393 | ||||||||
BARCLAYS BANK PLC | 5.00 | 9/22/2016 | 100,000 | 102,681 | ||||||||
BARCLAYS BANK PLC | 2.50 | 2/20/2019 | 10,950,000 | 11,032,115 | ||||||||
BRANCH BKG & TR CO | 1.05 | 12/1/2016 | 2,645,000 | 2,640,616 | ||||||||
BB&T CORP | 1.35 | 10/1/2017 | 4,570,000 | 4,551,730 | ||||||||
BEAR STEARNS COMPANIES LLC/THE | 7.25 | 2/1/2018 | 4,800,000 | 5,288,310 | ||||||||
CBL & ASSOCIATES LP | 5.25 | 12/1/2023 | 625,000 | 596,688 | ||||||||
CBL & ASSOCIATES LP | 4.60 | 10/15/2024 | 1,160,000 | 1,093,660 | ||||||||
CANADIAN IMPERIAL BANK OF COMM | 1.55 | 1/23/2018 | 100,000 | 99,247 | ||||||||
CAPITAL ONE FINANCIAL CORP | 4.20 | 10/29/2025 | 5,725,000 | 5,645,070 | ||||||||
CAPITAL ONE BANK USA NA | 2.15 | 11/21/2018 | 1,950,000 | 1,932,445 | ||||||||
CAPITAL ONE BANK USA NA | 2.40 | 9/5/2019 | 5,250,000 | 5,185,946 | ||||||||
CATERPILLAR INC | 1.25 | 8/18/2017 | 8,530,000 | 8,495,446 | ||||||||
CITIGROUP INC | 8.50 | 5/22/2019 | 1,800,000 | 2,139,298 | ||||||||
CITIGROUP INC | 2.50 | 9/26/2018 | 3,890,000 | 3,914,114 | ||||||||
CITIGROUP INC | 1.35 | 3/10/2017 | 3,620,000 | 3,610,096 | ||||||||
CITIGROUP INC | 1.03 | 3/10/2017 | 400,000 | 399,036 | ||||||||
CITIGROUP INC | 2.55 | 4/8/2019 | 135,000 | 135,544 | ||||||||
CITIGROUP INC | 1.55 | 8/14/2017 | 100,000 | 99,551 | ||||||||
CITIGROUP INC | 1.80 | 2/5/2018 | 3,500,000 | 3,481,101 | ||||||||
CITIGROUP INC | 2.05 | 12/7/2018 | 2,286,000 | 2,273,437 | ||||||||
COMMONWEALTH BANK AUSTRALIA | 4.50 | 12/9/2025 | 2,105,000 | 2,100,657 | ||||||||
COMPASS BANK | 1.85 | 9/29/2017 | 785,000 | 776,568 | ||||||||
COMPASS BANK | 2.75 | 9/29/2019 | 2,300,000 | 2,263,643 | ||||||||
COMPASS BANK | 3.88 | 4/10/2025 | 725,000 | 666,245 | ||||||||
RABOBANK NEDERLAND NV | 4.50 | 1/11/2021 | 2,000,000 | 2,177,946 | ||||||||
RABOBANK NEDERLAND NV | 3.38 | 1/19/2017 | 2,455,000 | 2,505,814 | ||||||||
RABOBANK NEDERLAND NV | 2.25 | 1/14/2019 | 5,000,000 | 5,014,521 | ||||||||
RABOBANK NEDERLAND NV | 2.25 | 1/14/2020 | 3,250,000 | 3,231,272 | ||||||||
CREDIT AGRICOLE SA | 2.63 | 10/3/2018 | 3,000,000 | 3,035,913 | ||||||||
CREDIT AGRICOLE SA/LONDON | 2.50 | 4/15/2019 | 3,400,000 | 3,410,571 |
Page 30
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CREDIT SUISSE NEW YORK NY | 6.00 | 2/15/2018 | 200,000 | 214,915 | ||||||||
CREDIT SUISSE NEW YORK NY | 5.40 | 1/14/2020 | 8,975,000 | 9,841,445 | ||||||||
CREDIT SUISSE NEW YORK NY | 2.30 | 5/28/2019 | 14,050,000 | 14,049,614 | ||||||||
CREDIT SUISSE NEW YORK NY | 1.75 | 1/29/2018 | 5,770,000 | 5,726,281 | ||||||||
CUBESMART | 4.80 | 7/15/2022 | 4,025,000 | 4,300,460 | ||||||||
CUBESMART LP | 4.38 | 12/15/2023 | 1,200,000 | 1,235,581 | ||||||||
DNB BANK ASA | 3.20 | 4/3/2017 | 6,425,000 | 6,553,622 | ||||||||
DBS GROUP HOLDINGS LTD | 2.25 | 7/16/2019 | 1,000,000 | 1,001,178 | ||||||||
DEUTSCHE BK LDN | 1.40 | 2/13/2017 | 100,000 | 99,414 | ||||||||
DEUTSCHE BK LDN | 1.88 | 2/13/2018 | 100,000 | 99,178 | ||||||||
DEXIA CREDIT LOCAL/NEW YORK | 1.25 | 10/18/2016 | 11,350,000 | 11,360,170 | ||||||||
DISCOVER BANK/GREENWOOD DE | 2.00 | 2/21/2018 | 3,725,000 | 3,692,196 | ||||||||
DISCOVER BANK/GREENWOOD DE | 4.20 | 8/8/2023 | 4,750,000 | 4,844,179 | ||||||||
ERP OPERATING LIMITED PARTNERS | 5.75 | 6/15/2017 | 100,000 | 105,603 | ||||||||
EPR PROPERTIES | 5.75 | 8/15/2022 | 3,000,000 | 3,142,197 | ||||||||
FEDERAL REALTY INVESTMENT TRUS | 2.55 | 1/15/2021 | 2,600,000 | 2,581,674 | ||||||||
FIFTH THIRD BANK | 1.15 | 11/18/2016 | 1,335,000 | 1,332,410 | ||||||||
FIFTH THIRD BANK | 0.87 | 11/18/2016 | 2,000,000 | 1,999,720 | ||||||||
FIFTH THIRD BANK | 1.35 | 6/1/2017 | 315,000 | 313,234 | ||||||||
FIFTH THIRD BANK | 2.38 | 4/25/2019 | 2,105,000 | 2,106,600 | ||||||||
FIFTH THIRD BANK | 2.88 | 10/1/2021 | 6,000,000 | 5,929,064 | ||||||||
FRANKLIN RESOURCES INC | 1.38 | 9/15/2017 | 4,000,000 | 3,991,443 | ||||||||
GE CAPITAL INTERNATIONAL FUNDI | 0.96 | 4/15/2016 | 16,183,000 | 16,188,616 | ||||||||
GE CAPITAL INTERNATIONAL FUNDI | 2.34 | 11/15/2020 | 12,918,000 | 12,800,829 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 5.55 | 5/4/2020 | 1,433,000 | 1,621,139 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 6.00 | 8/7/2019 | 86,000 | 97,407 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 2.20 | 1/9/2020 | 3,311,000 | 3,317,169 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 0.71 | 5/5/2026 | 4,000,000 | 3,708,680 | ||||||||
GENERAL ELECTRIC CAP CORP | 3.80 | 6/18/2019 | 3,500,000 | 3,673,750 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 7.50 | 2/15/2019 | 8,100,000 | 9,256,177 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.38 | 1/22/2018 | 268,000 | 269,883 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.75 | 9/15/2020 | 775,000 | 774,624 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.63 | 1/31/2019 | 1,800,000 | 1,814,045 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.90 | 7/19/2018 | 785,000 | 799,050 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.55 | 10/23/2019 | 135,000 | 134,849 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.60 | 4/23/2020 | 5,500,000 | 5,481,967 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 1.48 | 4/23/2020 | 4,500,000 | 4,506,660 | ||||||||
GRAIN SPECTRUM FUNDING II LLC | 3.29 | 10/10/2034 | 913,878 | 905,408 | ||||||||
HCP INC | 3.75 | 2/1/2019 | 200,000 | 206,243 | ||||||||
HCP INC | 4.00 | 12/1/2022 | 12,450,000 | 12,356,376 | ||||||||
HSBC USA INC | 1.63 | 1/16/2018 | 5,080,000 | 5,049,676 | ||||||||
HSBC USA INC | 1.50 | 11/13/2017 | 155,000 | 154,341 | ||||||||
HSBC USA INC | 2.35 | 3/5/2020 | 9,425,000 | 9,313,507 | ||||||||
HSBC FINANCE CORP | 5.50 | 1/19/2016 | 1,750,000 | 1,752,958 | ||||||||
HSBC FINANCE CORP | 6.68 | 1/15/2021 | 11,000,000 | 12,600,594 |
Page 31
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
HSBC BANK USA NA | 6.00 | 8/9/2017 | 500,000 | 530,353 | ||||||||
HEALTH CARE REIT INC | 2.25 | 3/15/2018 | 1,580,000 | 1,577,462 | ||||||||
HEALTHCARE TRUST OF AMERICA HO | 3.38 | 7/15/2021 | 1,325,000 | 1,300,306 | ||||||||
HUNTINGTON NATIONAL BANK THE | 1.38 | 4/24/2017 | 5,955,000 | 5,919,775 | ||||||||
HUTCHISON WHAMPOA FIN (CI) LTD | 1.63 | 10/31/2017 | 440,000 | 436,955 | ||||||||
ING BANK NV | 3.75 | 3/7/2017 | 3,000,000 | 3,072,327 | ||||||||
INDUSTRIAL & COMMERCIAL BANK O | 2.35 | 11/13/2017 | 420,000 | 421,492 | ||||||||
VOYA FINANCIAL INC | 2.90 | 2/15/2018 | 168,000 | 170,093 | ||||||||
JPMORGAN CHASE & CO | 4.40 | 7/22/2020 | 3,925,000 | 4,179,725 | ||||||||
JPMORGAN CHASE & CO | 1.63 | 5/15/2018 | 1,605,000 | 1,588,742 | ||||||||
JPMORGAN CHASE & CO | 2.35 | 1/28/2019 | 1,710,000 | 1,712,482 | ||||||||
JPMORGAN CHASE & CO | 0.95 | 1/28/2019 | 10,525,000 | 10,447,115 | ||||||||
JPMORGAN CHASE & CO | 2.25 | 1/23/2020 | 6,725,000 | 6,642,323 | ||||||||
JPMORGAN CHASE & CO | 2.75 | 6/23/2020 | 1,150,000 | 1,152,825 | ||||||||
JPMORGAN CHASE & CO | 3.90 | 7/15/2025 | 3,500,000 | 3,600,285 | ||||||||
JPMORGAN CHASE BANK NA | 6.00 | 10/1/2017 | 4,700,000 | 5,023,900 | ||||||||
JPMORGAN CHASE & CO | 2.00 | 8/15/2017 | 9,775,000 | 9,805,703 | ||||||||
JPMORGAN CHASE & CO | 2.20 | 10/22/2019 | 1,000,000 | 990,927 | ||||||||
KEY BANK NATIONAL ASSOCIATION | 3.18 | 5/22/2022 | 2,650,000 | 2,618,793 | ||||||||
KEY BANK NATIONAL ASSOCIATION | 1.65 | 2/1/2018 | 6,900,000 | 6,865,673 | ||||||||
KEY BANK NATIONAL ASSOCIATION | 2.50 | 12/15/2019 | 2,970,000 | 2,958,825 | ||||||||
KEY BANK NATIONAL ASSOCIATION | 2.25 | 3/16/2020 | 8,370,000 | 8,220,784 | ||||||||
KILROY REALTY LP | 4.25 | 8/15/2029 | 5,725,000 | 5,594,042 | ||||||||
LEASEPLAN CORPORATION NV | 2.50 | 5/16/2018 | 1,500,000 | 1,487,851 | ||||||||
LLOYDS BANK PLC | 2.30 | 11/27/2018 | 1,000,000 | 1,003,508 | ||||||||
LLOYDS BANK PLC | 2.40 | 3/17/2020 | 5,950,000 | 5,909,634 | ||||||||
LLOYDS BANK PLC | 4.20 | 3/28/2017 | 100,000 | 103,142 | ||||||||
MACQUARIE BANK LTD | 1.65 | 3/24/2017 | 1,800,000 | 1,796,012 | ||||||||
MACQUARIE BANK LTD | 2.60 | 6/24/2019 | 4,000,000 | 3,980,130 | ||||||||
MACQUARIE BANK LTD | 2.40 | 1/21/2020 | 2,500,000 | 2,480,802 | ||||||||
MANUFACTURERS AND TRADERS TRUS | 5.63 | 12/1/2021 | 250,000 | 247,500 | ||||||||
MELLON FUNDING CORPORATION | 5.50 | 11/15/2018 | 4,050,000 | 4,431,238 | ||||||||
MERRILL LYNCH & CO. INC. | 6.40 | 8/28/2017 | 5,000,000 | 5,349,945 | ||||||||
METLIFE INC | 6.82 | 8/15/2018 | 200,000 | 224,353 | ||||||||
METLIFE GLOBAL FUNDING INC I | 1.30 | 4/10/2017 | 2,220,000 | 2,219,089 | ||||||||
MITSUBISHI UFJ TRUST AND BANKI | 1.60 | 10/16/2017 | 3,600,000 | 3,573,356 | ||||||||
MIZUHO CORPORATE BANK LTD | 1.30 | 4/16/2017 | 2,265,000 | 2,251,962 | ||||||||
MIZUHO BANK LTD | 1.70 | 9/25/2017 | 630,000 | 625,384 | ||||||||
MIZUHO CORPORATE BANK LTD | 1.80 | 3/26/2018 | 6,000,000 | 5,944,677 | ||||||||
MORGAN STANLEY | 6.63 | 4/1/2018 | 8,400,000 | 9,210,379 | ||||||||
MORGAN STANLEY | 2.13 | 4/25/2018 | 985,000 | 985,887 | ||||||||
MORGAN STANLEY | 4.35 | 9/8/2026 | 925,000 | 926,859 | ||||||||
MORGAN STANLEY | 2.50 | 1/24/2019 | 1,805,000 | 1,810,258 | ||||||||
MORGAN STANLEY | 2.38 | 7/23/2019 | 2,400,000 | 2,384,108 | ||||||||
MORGAN STANLEY | 7.30 | 5/13/2019 | 4,500,000 | 5,156,916 |
Page 32
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
MORGAN STANLEY | 2.65 | 1/27/2020 | 3,200,000 | 3,186,428 | ||||||||
MORGAN STANLEY | 2.80 | 6/16/2020 | 6,000,000 | 6,004,820 | ||||||||
MORGAN STANLEY | 3.70 | 10/23/2024 | 15,350,000 | 15,411,769 | ||||||||
NYSE EURONEXT | 2.00 | 10/5/2017 | 3,000,000 | 3,011,249 | ||||||||
NATIONAL AUSTRALIA BANK LIMITE | 2.75 | 3/9/2017 | 150,000 | 152,409 | ||||||||
NATIONAL AUSTRALIA BANK LTD | 1.25 | 3/17/2017 | 3,595,000 | 3,587,146 | ||||||||
NATIONAL BK OF CANADA | 2.10 | 12/14/2018 | 2,634,000 | 2,633,556 | ||||||||
NATIONAL BK OF CANADA | 1.45 | 11/7/2017 | 1,885,000 | 1,871,943 | ||||||||
NATIONAL RETAIL PROPERTIES INC | 4.00 | 11/15/2025 | 2,700,000 | 2,661,731 | ||||||||
NATIONAL RURAL UTILITIES COOP | 1.10 | 1/27/2017 | 134,000 | 133,883 | ||||||||
NATIONAL RURAL UTILITIES COOP | 2.00 | 1/27/2020 | 1,250,000 | 1,217,378 | ||||||||
NATIONAL RURAL UTILITIES COOP | 2.30 | 11/1/2020 | 5,000,000 | 4,909,726 | ||||||||
NATIONWIDE BUILDING SOCIETY | 3.90 | 7/21/2025 | 2,950,000 | 3,038,877 | ||||||||
NOMURA HOLDINGS INC | 2.00 | 9/13/2016 | 170,000 | 170,519 | ||||||||
NORDEA BANK AB | 1.25 | 4/4/2017 | 1,515,000 | 1,511,563 | ||||||||
OMEGA HEALTHCARE INVESTORS INC | 4.50 | 1/15/2025 | 2,500,000 | 2,442,666 | ||||||||
PNC FUNDING CORP | 5.13 | 2/8/2020 | 3,000,000 | 3,280,601 | ||||||||
PNC FUNDING CORP | 4.38 | 8/11/2020 | 2,950,000 | 3,149,534 | ||||||||
PNC BANK NATIONAL ASSOCIATION | 5.25 | 1/15/2017 | 3,000,000 | 3,117,672 | ||||||||
PNC BANKCORP INC | 4.88 | 9/21/2017 | 250,000 | 261,744 | ||||||||
PNC BANK NATIONAL ASSOCIATION | 1.15 | 11/1/2016 | 7,050,000 | 7,050,000 | ||||||||
PNC BANK NATIONAL ASSOCIATION | 2.25 | 7/2/2019 | 7,350,000 | 7,337,565 | ||||||||
PNC BANK NATIONAL ASSOCIATION | 2.60 | 7/21/2020 | 3,500,000 | 3,499,890 | ||||||||
PROLOGIS LP | 3.35 | 2/1/2021 | 4,500,000 | 4,550,074 | ||||||||
PROLOGIS INTERNATIONAL FUNDING | 4.88 | 2/15/2020 | 1,400,000 | 1,475,966 | ||||||||
PROVIDENT FUNDING ASSOCIATES L | 6.75 | 6/15/2021 | 500,000 | 483,750 | ||||||||
PRUDENTIAL FINANCIAL INC | 2.30 | 8/15/2018 | 135,000 | 135,600 | ||||||||
RABOBANK NEDERLAND NV | 1.70 | 3/19/2018 | 2,375,000 | 2,368,587 | ||||||||
REALTY INCOME CORP | 5.95 | 9/15/2016 | 100,000 | 103,048 | ||||||||
REGIONS BANK | 2.25 | 9/14/2018 | 1,290,000 | 1,287,479 | ||||||||
ROYAL BANK OF CANADA | 1.50 | 1/16/2018 | 170,000 | 169,102 | ||||||||
ROYAL BANK OF SCOTLAND PLC THE | 6.40 | 10/21/2019 | 125,000 | 138,742 | ||||||||
ROYAL BANK OF SCOTLAND PLC | 4.38 | 3/16/2016 | 8,590,000 | 8,646,007 | ||||||||
ROYAL BANK OF CANADA | 1.45 | 9/9/2016 | 2,085,000 | 2,091,985 | ||||||||
ROYAL BANK OF CANADA | 1.25 | 6/16/2017 | 1,000,000 | 995,945 | ||||||||
ROYAL BANK OF CANADA | 1.20 | 9/19/2017 | 7,700,000 | 7,658,728 | ||||||||
ROYAL BANK OF CANADA | 2.35 | 10/30/2020 | 5,000,000 | 4,950,124 | ||||||||
ROYAL BANK OF CANADA | 2.00 | 12/10/2018 | 3,000,000 | 3,002,169 | ||||||||
SBA TOWER TRUST | 5.10 | 4/15/2017 | 2,300,000 | 2,328,479 | ||||||||
SANTANDER UK GROUP HOLDINGS PL | 2.88 | 10/16/2020 | 7,875,000 | 7,830,976 | ||||||||
SANTDR ISSUANCES | 5.18 | 11/19/2025 | 3,600,000 | 3,532,533 | ||||||||
SANTANDER HOLDINGS USA INC | 3.45 | 8/27/2018 | 2,600,000 | 2,649,780 | ||||||||
SANTANDER HOLDINGS USA INC | 2.65 | 4/17/2020 | 7,460,000 | 7,281,585 | ||||||||
CHARLES SCHWAB CORPORATIO | 1.50 | 3/10/2018 | 950,000 | 945,021 | ||||||||
SELECT INCOME REIT | 2.85 | 2/1/2018 | 1,000,000 | 998,091 |
Page 33
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
SELECT INCOME REIT | 3.60 | 2/1/2020 | 825,000 | 829,568 | ||||||||
SENIOR HOUSING PROPERTIES TRUS | 3.25 | 5/1/2019 | 3,675,000 | 3,657,592 | ||||||||
SENIOR HOUSING PROPERTIES TRUS | 4.75 | 5/1/2024 | 3,475,000 | 3,405,573 | ||||||||
SIMON PROPERTY GROUP LP | 1.50 | 2/1/2018 | 14,000,000 | 13,873,502 | ||||||||
SIMON PROPERTY GROUP LP | 2.20 | 2/1/2019 | 168,000 | 168,458 | ||||||||
SOUND PT CLO VIII LTD / SOUND | 1.85 | 4/15/2027 | 19,050,000 | 18,758,726 | ||||||||
SOUND PT CLO VIII LTD / SOUND | 2.37 | 4/15/2027 | 3,750,000 | 3,547,084 | ||||||||
STANDARD CHARTERED PLC | 2.40 | 9/8/2019 | 2,000,000 | 1,972,090 | ||||||||
SUMITOMO MITSUI BANKING CORP | 1.50 | 1/18/2018 | 1,940,000 | 1,919,693 | ||||||||
SUMITOMO MITSUI BANKING CORP | 0.99 | 7/19/2016 | 40,000 | 40,042 | ||||||||
SUMITOMO MITSUI BANKING CORP | 2.45 | 1/16/2020 | 250,000 | 248,563 | ||||||||
SUMITOMO MITSUI BANKING CORP | 2.65 | 7/23/2020 | 2,950,000 | 2,944,871 | ||||||||
SUNTRUST BANKS INC | 1.35 | 2/15/2017 | 940,000 | 937,058 | ||||||||
SUNTRUST BANKS INC | 3.50 | 1/20/2017 | 170,000 | 172,960 | ||||||||
SVENSKA HANDELSBANKEN AB | 2.88 | 4/4/2017 | 5,000,000 | 5,089,585 | ||||||||
SVENSKA HANDELSBANKEN AB | 2.50 | 1/25/2019 | 250,000 | 251,466 | ||||||||
SWEDBANK AB | 2.13 | 9/29/2017 | 2,005,000 | 2,011,576 | ||||||||
SWEDBANK AB | 1.75 | 3/12/2018 | 5,025,000 | 4,984,764 | ||||||||
SYNCHRONY FINANCIAL | 3.00 | 8/15/2019 | 3,725,000 | 3,718,512 | ||||||||
SYNCHRONY FINANCIAL | 2.70 | 2/3/2020 | 4,055,000 | 3,977,723 | ||||||||
SYNCHRONY FINANCIAL | 2.60 | 1/15/2019 | 3,750,000 | 3,745,039 | ||||||||
TD AMERITRADE HLDG CORP | 2.95 | 4/1/2022 | 8,000,000 | 7,893,514 | ||||||||
TIAA ASSET MANAGEMENT FINANCE | 2.95 | 11/1/2019 | 2,005,000 | 2,008,526 | ||||||||
TORONTO-DOMINION BANK/THE | 1.40 | 4/30/2018 | 135,000 | 133,698 | ||||||||
TORONTO-DOMINION BANK/THE | 1.13 | 5/2/2017 | 8,000,000 | 7,962,303 | ||||||||
UBS AG (STAMFORD BRANCH) | 4.88 | 8/4/2020 | 5,500,000 | 6,063,065 | ||||||||
UBS AG (STAMFORD BRANCH) | 1.38 | 8/14/2017 | 5,425,000 | 5,389,866 | ||||||||
UBS AG (STAMFORD BRANCH) | 2.38 | 8/14/2019 | 250,000 | 249,777 | ||||||||
UBS AG (STAMFORD BRANCH) | 1.80 | 3/26/2018 | 6,000,000 | 5,957,641 | ||||||||
US BANK NATIONAL ASSOCIATION | 1.38 | 9/11/2017 | 6,000,000 | 6,000,258 | ||||||||
US BANK NA/CINCINNATI OH | 2.13 | 10/28/2019 | 3,000,000 | 2,997,162 | ||||||||
US BANK NATIONAL ASSOCIATION | 1.35 | 1/26/2018 | 3,365,000 | 3,351,716 | ||||||||
US BANK NA/CINCINNATI OH | 2.80 | 1/27/2025 | 6,600,000 | 6,405,802 | ||||||||
UBS GROUP FUNDING JERSEY LTD | 2.95 | 9/24/2020 | 3,450,000 | 3,416,720 | ||||||||
MUFG UNION BANK NA | 3.00 | 6/6/2016 | 7,800,000 | 7,863,024 | ||||||||
MUFG UNION BANK NA | 2.13 | 6/16/2017 | 3,400,000 | 3,416,695 | ||||||||
MUFG UNION BANK NA | 2.25 | 5/6/2019 | 7,585,000 | 7,512,192 | ||||||||
MUFG UNION BANK NA | 2.63 | 9/26/2018 | 7,000,000 | 7,062,771 | ||||||||
US BANCORP | 1.65 | 5/15/2017 | 2,000,000 | 2,006,817 | ||||||||
US BANCORP | 0.85 | 11/15/2018 | 8,625,000 | 8,626,380 | ||||||||
US BANCORP | 2.20 | 4/25/2019 | 1,780,000 | 1,788,272 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 1.90 | 7/16/2018 | 3,500,000 | 3,509,999 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 3.35 | 7/15/2022 | 1,670,000 | 1,705,849 | ||||||||
VISA INC | 1.20 | 12/14/2017 | 2,200,000 | 2,198,636 | ||||||||
VISA INC | 2.20 | 12/14/2020 | 10,000,000 | 9,999,697 |
Page 34
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
VISA INC | 2.80 | 12/14/2022 | 14,600,000 | 14,648,604 | ||||||||
VISA INC | 4.30 | 12/14/2045 | 1,125,000 | 1,143,884 | ||||||||
WEA FINANCE LLC /WESTFIELD UK | 2.70 | 9/17/2019 | 4,220,000 | 4,172,743 | ||||||||
WEA FINANCE LLC /WESTFIELD UK | 3.25 | 10/5/2020 | 1,075,000 | 1,078,669 | ||||||||
VORNADO REALTY LP | 2.50 | 6/30/2019 | 2,300,000 | 2,269,570 | ||||||||
WACHOVIA CORP | 5.75 | 6/15/2017 | 3,200,000 | 3,388,750 | ||||||||
WELLS FARGO & COMPANY | 4.60 | 4/1/2021 | 3,150,000 | 3,421,626 | ||||||||
WELLS FARGO & COMPANY | 2.10 | 5/8/2017 | 170,000 | 171,629 | ||||||||
WELLS FARGO & COMPANY | 2.15 | 1/15/2019 | 5,875,000 | 5,888,658 | ||||||||
WELLS FARGO & COMPANY | 2.13 | 4/22/2019 | 2,800,000 | 2,797,691 | ||||||||
WELLS FARGO & COMPANY | 3.30 | 9/9/2024 | 3,800,000 | 3,778,379 | ||||||||
WELLS FARGO & COMPANY | 2.15 | 1/30/2020 | 2,730,000 | 2,697,253 | ||||||||
WELLS FARGO & COMPANY | 4.30 | 7/22/2027 | 3,600,000 | 3,660,470 | ||||||||
WELLS FARGO & COMPANY | 2.60 | 7/22/2020 | 5,000,000 | 5,001,978 | ||||||||
WELLS FARGO & COMPANY | 2.55 | 12/7/2020 | 2,000,000 | 1,991,656 | ||||||||
WELLS FARGO BANK NA | 0.57 | 5/16/2016 | 1,350,000 | 1,349,122 | ||||||||
WESTPAC BANKING CORP | 2.00 | 8/14/2017 | 3,875,000 | 3,900,761 | ||||||||
WESTPAC BANKING CORP | 1.60 | 1/12/2018 | 170,000 | 169,478 | ||||||||
WESTPAC BANKING CORP | 1.05 | 11/25/2016 | 1,135,000 | 1,134,501 | ||||||||
WESTPAC BANKING CORP | 1.95 | 11/23/2018 | 2,355,000 | 2,348,105 | ||||||||
WESTPAC BANKING CORP | 2.00 | 5/21/2019 | 12,500,000 | 12,449,375 | ||||||||
ENDO LUXEMBOURG FINANCE I COMP | 0.00 | 9/26/2022 | 250,000 | 246,250 | ||||||||
MORGAN STANLEY | 4.00 | 10/23/2017 | 2,500,000 | 1,795,527 | ||||||||
HONGKONG LAND TR | 3.86 | 12/29/2017 | 2,500,000 | 1,811,423 | ||||||||
CMT MTN | 3.85 | 3/15/2017 | 500,000 | 359,313 | ||||||||
CMT MTN | 3.55 | 9/1/2017 | 1,750,000 | 1,257,659 | ||||||||
ROYAL BANK OF SCOTLAND PLC | 4.00 | 3/15/2016 | 36,300,000 | 39,736,519 | ||||||||
MACQUARIE BANK LTD | 3.30 | 4/8/2016 | 2,500,000 | 1,768,882 | ||||||||
BANK OF CHINA HK | 2.51 | 8/10/2016 | 20,000,000 | 2,595,563 | ||||||||
SUN HUNG KAI PROPERTIES CAPITA | 3.50 | 11/2/2016 | 1,000,000 | 1,015,140 | ||||||||
MTR CORPORATION CI LTD | 2.00 | 4/12/2017 | 3,500,000 | 3,510,049 | ||||||||
BOC AVIATION PTE LTD | 2.88 | 10/10/2017 | 500,000 | 503,445 | ||||||||
CUNNINGHAM LINDSEY GROUP INC | 0.00 | 12/10/2019 | 1,395,562 | 900,137 | ||||||||
CONFIE SEGUROS HOLDING II CO | 0.00 | 11/9/2018 | 1,965,955 | 1,941,381 | ||||||||
CONFIE SEGUROS HOLDING II CO | 0.00 | 5/8/2019 | 185,000 | 182,225 | ||||||||
ASURION LLC | 0.00 | 5/24/2019 | 1,190,397 | 1,119,717 | ||||||||
BANK OF COMMUNICATIONS CO LTD | 1.99 | 3/19/2018 | 10,000,000 | 1,288,736 | ||||||||
CGSC OF DELAWARE HOLDINGS CORP | 0.00 | 4/16/2020 | 833,625 | 796,112 | ||||||||
CGSC OF DELAWARE HOLDINGS CORP | 0.00 | 10/16/2020 | 250,000 | 232,500 | ||||||||
FLYING FORTRESS INC | 0.00 | 4/30/2020 | 450,000 | 447,938 | ||||||||
CAPITAL AUTOMOTIVE | 0.00 | 4/10/2019 | 158,734 | 158,304 | ||||||||
CAPITAL AUTOMOTIVE | 0.00 | 4/30/2020 | 1,180,000 | 1,162,300 | ||||||||
AMERICAN STOCK TRANSFER & TRUS | 0.00 | 6/26/2020 | 2,173,447 | 2,100,093 | ||||||||
LARCHMONT RESOURCES LLC | 0.00 | 7/31/2019 | 694,942 | 434,339 | ||||||||
WALTER INVESTMENT MANAGEMENT C | 0.00 | 12/18/2020 | 1,304,583 | 1,120,311 |
Page 35
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ASURION LLC | 0.00 | 3/3/2021 | 610,000 | 517,928 | ||||||||
ARDEN GRP, INC. | 0.00 | 2/19/2020 | 982,500 | 962,850 | ||||||||
WALL STREET SYSTEM HOLDINGS IN | 0.00 | 4/30/2021 | 1,704,545 | 1,678,266 | ||||||||
CONNOLLY CORP | 0.00 | 5/14/2021 | 1,863,883 | 1,804,084 | ||||||||
CONNOLLY CORP | 0.00 | 5/13/2022 | 314,764 | 313,190 | ||||||||
ASCENDAS REAL ESTATE INVESTMEN | 2.50 | 5/16/2019 | 2,500,000 | 1,739,964 | ||||||||
BANK OF COMMUNICATIONS CO LTD | 2.10 | 7/24/2017 | 500,000 | 349,283 | ||||||||
TRAVELPORT FINANCE LUXEMBOURG | 0.00 | 9/2/2021 | 1,485,000 | 1,450,968 | ||||||||
MIZUHO CORPORATE BANK LTD | 2.46 | 11/14/2019 | 1,500,000 | 1,046,675 | ||||||||
AMERICAN BEACON ADVISORS INC | 0.00 | 4/30/2022 | 666,650 | 657,484 | ||||||||
AMERICAN BEACON ADVISORS INC | 0.00 | 4/30/2023 | 450,000 | 441,000 | ||||||||
SUMITOMO BK SG | 2.03 | 5/28/2018 | 2,000,000 | 1,409,791 | ||||||||
MALAYAN BANKING BERHAD | 2.08 | 6/26/2018 | 3,000,000 | 2,078,716 | ||||||||
BANK OF CHINA LTD (SINGAPORE B | 2.75 | 6/30/2019 | 1,250,000 | 880,238 | ||||||||
CCT MTN | 2.96 | 8/13/2021 | 2,000,000 | 1,379,988 | ||||||||
DTZ US BORROWER LLC | 0.00 | 11/4/2021 | 1,671,600 | 1,628,418 | ||||||||
KOOKMIN BANK | 1.94 | 9/16/2016 | 1,500,000 | 1,056,445 | ||||||||
ASSUREDPARTNERS INC | 0.00 | 10/21/2022 | 1,200,000 | 1,192,500 | ||||||||
VISTRA GROUP LTD | 0.00 | 10/26/2023 | 200,000 | 199,500 | ||||||||
SUNTEC REIT MTN PTE LTD | 2.83 | 11/12/2018 | 5,000,000 | 3,516,935 | ||||||||
EDELMAN FINANCIAL CENTER LLC | 0.00 | 12/16/2022 | 750,000 | 741,563 | ||||||||
CREDIT MUTUEL-CIC HOME LOAN SF | 3.38 | 7/18/2016 | 7,000,000 | 7,744,776 | ||||||||
SOCIETE GENERALE SFH | 3.25 | 6/6/2016 | 10,500,000 | 11,565,038 | ||||||||
BARCLAYS BANK PLC | 3.63 | 4/13/2016 | 40,500,000 | 44,433,518 | ||||||||
LLOYDS BANK PLC | 4.13 | 4/6/2016 | 27,200,000 | 29,855,894 | ||||||||
ROYAL BANK OF SCOTLAND PLC | 9.50 | 3/16/2022 | 800,000 | 849,608 | ||||||||
ING BANK NV | 4.13 | 11/21/2023 | 12,500,000 | 12,722,999 | ||||||||
BANK NEDERLANDSE GEMEENTEN | 4.13 | 6/28/2016 | 9,000,000 | 9,975,167 | ||||||||
MORGAN STANLEY | 3.80 | 1/29/2016 | 2,500,000 | 1,763,120 | ||||||||
HANG SENG BANK LTD | 1.75 | 10/16/2017 | 30,000,000 | 3,881,478 | ||||||||
MTR CORPORATION CI LTD | 2.15 | 12/8/2016 | 9,000,000 | 1,175,098 | ||||||||
UNITED OVERSEAS BK LTD | 2.50 | 3/18/2020 | 3,000,000 | 3,016,530 | ||||||||
1,324,100,066 | $ | 1,275,409,130 | ||||||||||
Corporate Debt Securities - Industrials | ||||||||||||
AT&T INC | 1.60 | 2/15/2017 | 6,000,000 | $ | 6,014,476 | |||||||
AT&T INC | 1.40 | 12/1/2017 | 134,000 | 133,039 | ||||||||
AT&T INC | 2.38 | 11/27/2018 | 1,236,000 | 1,242,933 | ||||||||
AT&T INC | 3.00 | 6/30/2022 | 3,440,000 | 3,345,488 | ||||||||
AT&T INC | 3.40 | 5/15/2025 | 4,750,000 | 4,544,824 | ||||||||
ABBVIE INC | 1.75 | 11/6/2017 | 134,000 | 133,751 | ||||||||
ABBVIE INC | 2.50 | 5/14/2020 | 7,040,000 | 6,947,724 | ||||||||
ABENGOA SA CLASS B | 6.50 | 10/1/2019 | 650,000 | 97,500 | ||||||||
ACTAVIS FUNDING SCS | 1.30 | 6/15/2017 | 1,105,000 | 1,095,019 | ||||||||
ACTAVIS FUNDING SCS | 2.35 | 3/12/2018 | 735,000 | 735,859 |
Page 36
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ACTAVIS FUNDING SCS | 3.00 | 3/12/2020 | 3,220,000 | 3,223,632 | ||||||||
AETNA INC | 1.50 | 11/15/2017 | 1,725,000 | 1,712,918 | ||||||||
AGILENT TECH INC | 5.00 | 7/15/2020 | 1,140,000 | 1,198,923 | ||||||||
AHERN RENTALS | 7.38 | 5/15/2023 | 740,000 | 595,700 | ||||||||
AIR PRODUCTS AND CHEMICALS INC | 4.38 | 8/21/2019 | 5,250,000 | 5,599,552 | ||||||||
ALTERA CORPORATION | 2.50 | 11/15/2018 | 101,000 | 101,881 | ||||||||
ALTICE LUXEMBOURG SA | 7.75 | 5/15/2022 | 500,000 | 450,000 | ||||||||
AMAZON.COM INC | 1.20 | 11/29/2017 | 101,000 | 100,427 | ||||||||
AMAZON.COM INC | 3.30 | 12/5/2021 | 8,000,000 | 8,189,855 | ||||||||
AMERICAN HONDA FINANCE CORPORA | 2.13 | 10/10/2018 | 134,000 | 134,721 | ||||||||
AMERICAN HONDA FINANCE CORPORA | 2.25 | 8/15/2019 | 2,000,000 | 2,004,791 | ||||||||
AMERICAN HONDA FINANCE CORPORA | 7.63 | 10/1/2018 | 1,803,000 | 2,066,472 | ||||||||
AMERICAN HONDA FINANCE CORPORA | 1.60 | 2/16/2018 | 800,000 | 797,098 | ||||||||
AMERISOURCEBERGEN CORPORATION | 1.15 | 5/15/2017 | 13,282,000 | 13,177,536 | ||||||||
AMERISOURCEBERGEN CORPORATION | 3.25 | 3/1/2025 | 1,700,000 | 1,637,636 | ||||||||
AMGEN INC | 2.50 | 11/15/2016 | 2,335,000 | 2,358,817 | ||||||||
ANCESTRY.COM HOLDINGS LLC | 9.63 | 10/15/2018 | 1,000,000 | 985,000 | ||||||||
ANHEUSER-BUSCH INBEV WORLDWIDE | 2.88 | 2/15/2016 | 6,000,000 | 6,014,760 | ||||||||
ANHEUSER-BUSCH INBEV WORLDWIDE | 1.38 | 7/15/2017 | 4,885,000 | 4,865,977 | ||||||||
APACHE CORP | 3.25 | 4/15/2022 | 1,250,000 | 1,188,525 | ||||||||
APPLE INC | 0.45 | 5/3/2016 | 9,525,000 | 9,518,809 | ||||||||
APPLE INC | 1.00 | 5/3/2018 | 168,000 | 166,556 | ||||||||
APPLE INC | 2.10 | 5/6/2019 | 3,405,000 | 3,437,944 | ||||||||
APPLIED MAT INC | 2.63 | 10/1/2020 | 1,575,000 | 1,568,297 | ||||||||
APPROACH RESOURCES INC | 7.00 | 6/15/2021 | 750,000 | 262,500 | ||||||||
ARCHER-DANIELS-MIDLAND COMPANY | 5.45 | 3/15/2018 | 2,304,000 | 2,468,165 | ||||||||
ASTRAZENECA PLC | 5.90 | 9/15/2017 | 101,000 | 108,343 | ||||||||
ASTRAZENECA PLC | 1.75 | 11/16/2018 | 4,000,000 | 3,982,769 | ||||||||
AUTOMATIC DATA PROCESSING, INC | 2.25 | 9/15/2020 | 2,325,000 | 2,324,909 | ||||||||
AUTOPISTAS METROPOLITANAS DE P | 6.75 | 6/30/2035 | 29,035,000 | 24,131,889 | ||||||||
AUTOZONE INC | 2.50 | 4/15/2021 | 510,000 | 500,039 | ||||||||
BAT INTL FIN PLC | 2.75 | 6/15/2020 | 12,550,000 | 12,549,623 | ||||||||
BAT INTL FIN PLC | 1.85 | 6/15/2018 | 2,400,000 | 2,392,869 | ||||||||
B COMMUNICATIONS LTD | 7.38 | 2/15/2021 | 1,000,000 | 1,077,000 | ||||||||
BHP BILLITON FINANCE (USA) LTD | 1.63 | 2/24/2017 | 168,000 | 167,700 | ||||||||
BP CAPITAL MARKETS PLC | 1.85 | 5/5/2017 | 7,300,000 | 7,335,174 | ||||||||
BP CAPITAL MARKETS PLC | 2.24 | 9/26/2018 | 7,000,000 | 7,012,212 | ||||||||
BP CAPITAL MARKETS PLC | 2.24 | 5/10/2019 | 4,859,000 | 4,817,928 | ||||||||
BAIDU INC | 2.25 | 11/28/2017 | 1,000,000 | 1,000,708 | ||||||||
BARRICK GOLD CORPORATION | 6.95 | 4/1/2019 | 44,000 | 44,887 | ||||||||
BAXALTA INC | 2.00 | 6/22/2018 | 2,400,000 | 2,374,529 | ||||||||
BAYER US FINANCE LLC | 1.50 | 10/6/2017 | 1,395,000 | 1,393,729 | ||||||||
BAYER US FINANCE LLC | 2.38 | 10/8/2019 | 12,890,000 | 12,901,088 | ||||||||
BECTON DICKINSON AND COMPANY | 1.80 | 12/15/2017 | 2,021,000 | 2,017,820 | ||||||||
BECTON DICKINSON AND COMPANY | 2.67 | 12/15/2019 | 9,000,000 | 9,024,973 |
Page 37
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
BECTON DICKINSON AND COMPANY | 1.45 | 5/15/2017 | 1,415,000 | 1,407,697 | ||||||||
BLOCK COMMUNICATIONS INC. | 7.25 | 2/1/2020 | 650,000 | 650,000 | ||||||||
BOEING CO | 3.75 | 11/20/2016 | 101,000 | 103,405 | ||||||||
BOEING CO | 1.65 | 10/30/2020 | 552,000 | 538,140 | ||||||||
BOSTON SCIENTIFIC CORPORATION | 2.65 | 10/1/2018 | 2,134,000 | 2,143,859 | ||||||||
BRINKER INTERNATIONAL INC. | 2.60 | 5/15/2018 | 3,703,000 | 3,679,794 | ||||||||
BRITISH SKY BROADCASTING GRP P | 6.10 | 2/15/2018 | 7,500,000 | 8,050,497 | ||||||||
BRITISH SKY BROADCASTING GRP P | 2.63 | 9/16/2019 | 1,430,000 | 1,423,681 | ||||||||
BRITISH TELECOMMUNICATIONS PLC | 2.35 | 2/14/2019 | 200,000 | 199,397 | ||||||||
BUILDERS FIRSTSOURCE INC | 7.63 | 6/1/2021 | 750,000 | 788,438 | ||||||||
CDK GLOBAL INC | 3.30 | 10/15/2019 | 5,350,000 | 5,293,333 | ||||||||
CSX CORPORATION | 6.25 | 3/15/2018 | 101,000 | 109,928 | ||||||||
CVS CAREMARK CORP | 6.94 | 1/10/2030 | 1,752,506 | 1,996,508 | ||||||||
CVS HEALTH CORP | 2.25 | 12/5/2018 | 168,000 | 168,487 | ||||||||
CVS HEALTH CORP | 2.25 | 8/12/2019 | 9,000,000 | 8,953,261 | ||||||||
CVS HEALTH CORP | 2.80 | 7/20/2020 | 4,400,000 | 4,420,167 | ||||||||
CAISSE CENTRALE DESJARDINS | 1.60 | 3/6/2017 | 6,000,000 | 6,023,880 | ||||||||
CANADIAN NATURAL RESOURCES LTD | 1.75 | 1/15/2018 | 3,420,000 | 3,304,861 | ||||||||
CARGILL INC | 4.31 | 5/14/2021 | 1,250,000 | 1,333,591 | ||||||||
CARGILL INC | 1.90 | 3/1/2017 | 6,000,000 | 6,028,846 | ||||||||
CARGILL INC | 3.30 | 3/1/2022 | 4,000,000 | 4,033,084 | ||||||||
CATERPILLAR INC | 1.63 | 6/1/2017 | 6,000,000 | 6,017,827 | ||||||||
CATERPILLAR INC | 1.25 | 11/6/2017 | 101,000 | 100,355 | ||||||||
CATERPILLAR INC | 2.45 | 9/6/2018 | 101,000 | 102,512 | ||||||||
CATERPILLAR INC | 2.00 | 3/5/2020 | 6,475,000 | 6,402,920 | ||||||||
CATERPILLAR INC | 1.80 | 11/13/2018 | 7,000,000 | 7,001,035 | ||||||||
CC HLD V | 3.85 | 4/15/2023 | 1,000,000 | 979,604 | ||||||||
CELGENE CORPORATION | 1.90 | 8/15/2017 | 2,765,000 | 2,767,963 | ||||||||
CELGENE CORPORATION | 2.88 | 8/15/2020 | 720,000 | 714,574 | ||||||||
CCO SAFARI II LLC | 3.58 | 7/23/2020 | 6,575,000 | 6,541,627 | ||||||||
CCO SAFARI II LLC | 6.48 | 10/23/2045 | 1,040,000 | 1,044,500 | ||||||||
CHEVRON CORP | 1.10 | 12/5/2017 | 101,000 | 99,991 | ||||||||
CHEVRON CORP | 1.72 | 6/24/2018 | 201,000 | 199,758 | ||||||||
CHEVRON CORP | 2.19 | 11/15/2019 | 9,340,000 | 9,268,614 | ||||||||
CHEVRON CORP | 1.34 | 11/9/2017 | 2,800,000 | 2,787,844 | ||||||||
CISCO SYSTEMS INC | 3.15 | 3/14/2017 | 2,500,000 | 2,561,585 | ||||||||
CISCO SYSTEMS INC | 3.63 | 3/4/2024 | 4,050,000 | 4,233,477 | ||||||||
CISCO SYSTEMS INC | 2.13 | 3/1/2019 | 235,000 | 236,611 | ||||||||
CISCO SYSTEMS INC | 2.45 | 6/15/2020 | 6,330,000 | 6,372,488 | ||||||||
COCA-COLA COMPANY (THE) | 0.75 | 11/1/2016 | 825,000 | 823,655 | ||||||||
COCA-COLA COMPANY (THE) | 1.65 | 11/1/2018 | 168,000 | 169,141 | ||||||||
COCA-COLA COMPANY (THE) | 1.88 | 10/27/2020 | 9,865,000 | 9,763,358 | ||||||||
COMCAST CORPORATION | 5.88 | 2/15/2018 | 3,028,000 | 3,292,041 | ||||||||
COMPRESSCO PARTNERS LP / COMPR | 7.25 | 8/15/2022 | 515,000 | 381,100 | ||||||||
CONOCOPHILLIPS | 5.75 | 2/1/2019 | 295,000 | 319,614 |
Page 38
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CONOCOPHILLIPS CO | 1.05 | 12/15/2017 | 168,000 | 164,220 | ||||||||
CONOCOPHILLIPS CO | 2.88 | 11/15/2021 | 2,240,000 | 2,166,151 | ||||||||
CONTINENTAL AIRLINES 2009 2 PA | 7.25 | 5/10/2021 | 3,602,599 | 4,061,931 | ||||||||
COSTCO WHOLESALE CORPORATION | 1.13 | 12/15/2017 | 6,068,000 | 6,041,479 | ||||||||
CROWN CASTLE TOWERS LLC | 4.88 | 8/15/2040 | 5,250,000 | 5,612,363 | ||||||||
DAIMLER FINANCE NORTH AMERICA | 2.25 | 3/2/2020 | 9,600,000 | 9,356,224 | ||||||||
DANAHER CORPORATION | 3.90 | 6/23/2021 | 2,725,000 | 2,890,256 | ||||||||
DANAHER CORPORATION | 2.40 | 9/15/2020 | 1,075,000 | 1,073,530 | ||||||||
JOHN DEERE CAPITAL CORP | 5.50 | 4/13/2017 | 2,070,000 | 2,179,371 | ||||||||
JOHN DEERE CAPITAL CORP | 1.20 | 10/10/2017 | 134,000 | 133,386 | ||||||||
JOHN DEERE CAPITAL CORP | 1.95 | 12/13/2018 | 134,000 | 134,174 | ||||||||
JOHN DEERE CAPITAL CORP | 1.95 | 3/4/2019 | 6,500,000 | 6,485,895 | ||||||||
JOHN DEERE CAPITAL CORP | 1.13 | 6/12/2017 | 3,430,000 | 3,417,399 | ||||||||
JOHN DEERE CAPITAL CORP | 1.35 | 1/16/2018 | 2,500,000 | 2,486,273 | ||||||||
DELTA AIR LINES INC | 4.95 | 11/23/2020 | 87,351 | 91,719 | ||||||||
DELTA AIR LINES INC | 7.75 | 6/17/2021 | 943,868 | 1,059,492 | ||||||||
DEUTSCHE TELEKOM INTERNATIONAL | 6.00 | 7/8/2019 | 1,250,000 | 1,398,728 | ||||||||
DEVON ENERGY CORPORATION | 2.25 | 12/15/2018 | 3,200,000 | 2,975,554 | ||||||||
DIAGEO CAPITAL PLC | 1.50 | 5/11/2017 | 2,951,000 | 2,949,710 | ||||||||
DIAGEO CAPITAL PLC | 0.63 | 4/29/2016 | 1,140,000 | 1,138,484 | ||||||||
DIAMOND OFFSHORE DRILLING INC. | 5.70 | 10/15/2039 | 2,000,000 | 1,360,000 | ||||||||
DIRECTV HOLDINGS LLC | 2.40 | 3/15/2017 | 101,000 | 101,860 | ||||||||
DIRECTV HOLDINGS LLC | 3.80 | 3/15/2022 | 1,175,000 | 1,188,853 | ||||||||
WALT DISNEY COMPANY (THE) | 1.10 | 12/1/2017 | 6,100,000 | 6,073,275 | ||||||||
WALT DISNEY COMPANY (THE) | 0.88 | 5/30/2017 | 2,975,000 | 2,962,220 | ||||||||
WALT DISNEY COMPANY (THE) | 2.15 | 9/17/2020 | 4,700,000 | 4,689,358 | ||||||||
DOW CHEMICAL COMPANY (THE) | 8.55 | 5/15/2019 | 134,000 | 157,673 | ||||||||
EI DU PONT DE NEMOURS & CO | 6.00 | 7/15/2018 | 134,000 | 145,900 | ||||||||
EMC CORP/ MASSACHUSETTS | 1.88 | 6/1/2018 | 2,000,000 | 1,860,444 | ||||||||
EMD FINANCE LLC | 2.40 | 3/19/2020 | 8,975,000 | 8,728,065 | ||||||||
EOG RESOURCES INC | 5.63 | 6/1/2019 | 134,000 | 145,563 | ||||||||
ERAC USA FINANCE LLC | 5.25 | 10/1/2020 | 5,000,000 | 5,471,050 | ||||||||
ERAC USA FINANCE LLC | 2.80 | 11/1/2018 | 2,995,000 | 3,021,467 | ||||||||
EBAY INC. | 1.35 | 7/15/2017 | 6,625,000 | 6,566,785 | ||||||||
ECOLAB INC | 1.55 | 1/12/2018 | 2,490,000 | 2,469,062 | ||||||||
ECOLAB INC | 2.25 | 1/12/2020 | 5,000,000 | 4,923,898 | ||||||||
ENSCO PLC | 4.70 | 3/15/2021 | 1,525,000 | 1,242,875 | ||||||||
ENSCO PLC | 4.50 | 10/1/2024 | 1,500,000 | 1,016,250 | ||||||||
ENTERPRISE PRODUCTS OPERATING | 6.30 | 9/15/2017 | 134,000 | 140,875 | ||||||||
ENTERPRISE PRODUCTS OPERATING | 1.65 | 5/7/2018 | 2,205,000 | 2,129,429 | ||||||||
EXPRESS SCRIPTS HOLDING CO | 2.65 | 2/15/2017 | 134,000 | 135,285 | ||||||||
EXPRESS SCRIPTS HOLDING CO | 2.25 | 6/15/2019 | 134,000 | 132,675 | ||||||||
FIDELITY NATIONAL INFORMATION | 1.45 | 6/5/2017 | 1,880,000 | 1,855,533 | ||||||||
FIDELITY NATIONAL INFORMATION | 3.63 | 10/15/2020 | 9,700,000 | 9,814,876 | ||||||||
FISERV INC | 2.70 | 6/1/2020 | 1,300,000 | 1,286,587 |
Page 39
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 6.63 | 8/15/2017 | 200,000 | 213,087 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 5.00 | 5/15/2018 | 6,250,000 | 6,567,023 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 3.00 | 6/12/2017 | 200,000 | 201,888 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 2.60 | 11/4/2019 | 4,500,000 | 4,410,434 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 2.15 | 1/9/2018 | 800,000 | 794,050 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 3.16 | 8/4/2020 | 660,000 | 656,538 | ||||||||
FREEPORT-MCMORAN INC | 2.38 | 3/15/2018 | 134,000 | 104,520 | ||||||||
FREEPORT-MCMORAN INC | 2.30 | 11/14/2017 | 1,435,000 | 1,219,750 | ||||||||
GENERAL MILLS INC | 2.20 | 10/21/2019 | 3,600,000 | 3,509,683 | ||||||||
GENERAL MOTORS FINANCIAL CO IN | 3.20 | 7/13/2020 | 2,500,000 | 2,458,438 | ||||||||
GENERAL MOTORS FINANCIAL CO IN | 4.30 | 7/13/2025 | 2,500,000 | 2,437,767 | ||||||||
GILEAD SCIENCES INC | 4.50 | 4/1/2021 | 2,500,000 | 2,705,430 | ||||||||
GILEAD SCIENCES INC | 2.05 | 4/1/2019 | 3,725,000 | 3,719,066 | ||||||||
GILEAD SCIENCES INC | 2.35 | 2/1/2020 | 815,000 | 811,826 | ||||||||
GLAXOSMITHKLINE CAPITAL INC | 5.65 | 5/15/2018 | 134,000 | 146,238 | ||||||||
GLAXOSMITHKLINE CAPITAL PLC | 1.50 | 5/8/2017 | 7,250,000 | 7,271,079 | ||||||||
GLENCORE FUNDING LLC | 1.68 | 1/15/2019 | 1,550,000 | 1,282,393 | ||||||||
GLENCORE FUNDING LLC | 2.88 | 4/16/2020 | 4,925,000 | 3,841,500 | ||||||||
GLENCORE FUNDING LLC | 4.00 | 4/16/2025 | 860,000 | 597,700 | ||||||||
GOLDCORP INC | 3.63 | 6/9/2021 | 2,300,000 | 2,140,509 | ||||||||
HALLIBURTON COMPANY | 1.00 | 8/1/2016 | 2,185,000 | 2,182,531 | ||||||||
HALLIBURTON COMPANY | 3.38 | 11/15/2022 | 3,525,000 | 3,469,376 | ||||||||
HARLEY-DAVIDSON FINANCIAL | 2.15 | 2/26/2020 | 7,400,000 | 7,240,857 | ||||||||
HARRIS CORPORATION | 2.00 | 4/27/2018 | 1,240,000 | 1,225,377 | ||||||||
HARRIS CORPORATION | 2.70 | 4/27/2020 | 2,375,000 | 2,322,612 | ||||||||
HEINZ H. J. COMPANY | 2.80 | 7/2/2020 | 4,800,000 | 4,769,737 | ||||||||
HELMERICH & PAYNE INTERNATIONA | 4.65 | 3/15/2025 | 7,345,000 | 7,357,802 | ||||||||
HEWLETT PACKARD ENTERPRISE CO | 2.85 | 10/5/2018 | 2,335,000 | 2,330,984 | ||||||||
HEWLETT PACKARD ENTERPRISE CO | 3.60 | 10/15/2020 | 2,300,000 | 2,301,850 | ||||||||
HEWLETT PACKARD ENTERPRISE CO | 4.40 | 10/15/2022 | 4,800,000 | 4,789,625 | ||||||||
HONEYWELL INTERNATIONAL INC | 5.00 | 2/15/2019 | 101,000 | 110,347 | ||||||||
HORIZON PHARMA FINANCING INC | 6.63 | 5/1/2023 | 640,000 | 568,000 | ||||||||
HUMANA INC | 2.63 | 10/1/2019 | 2,875,000 | 2,862,159 | ||||||||
HYUNDAI CAPITAL AMERICA | 2.40 | 10/30/2018 | 1,360,000 | 1,354,258 | ||||||||
IMPERIAL TOBACCO FIN PLC | 2.95 | 7/21/2020 | 2,400,000 | 2,399,920 | ||||||||
INGERSOLL-RAND GLOBAL HOLDING | 2.88 | 1/15/2019 | 101,000 | 101,657 | ||||||||
INTEL CORPORATION | 1.95 | 10/1/2016 | 6,000,000 | 6,043,860 | ||||||||
INTEL CORPORATION | 1.35 | 12/15/2017 | 9,275,000 | 9,278,171 | ||||||||
INTEL CORPORATION | 2.45 | 7/29/2020 | 9,260,000 | 9,339,833 | ||||||||
INTERNATIONAL BUSINESS MACHINE | 1.88 | 8/1/2022 | 4,000,000 | 3,770,672 | ||||||||
INTERNATIONAL BUSINESS MACHINE | 1.63 | 5/15/2020 | 6,000,000 | 5,842,046 | ||||||||
INTERNATIONAL BUSINESS MACHINE | 1.13 | 2/6/2018 | 930,000 | 921,408 | ||||||||
INTERNATIONAL PAPER CO | 7.95 | 6/15/2018 | 101,000 | 113,966 | ||||||||
INTREPID AVIATION GROUP HOLDIN | 6.88 | 2/15/2019 | 1,000,000 | 820,000 | ||||||||
ITHACA ENERGY INC | 8.13 | 7/1/2019 | 450,000 | 333,000 |
Page 40
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
JOHNSON & JOHNSON | 1.65 | 12/5/2018 | 134,000 | 133,906 | ||||||||
KRAFT FOODS GROUP INC | 3.50 | 6/6/2022 | 5,000,000 | 5,058,685 | ||||||||
KROGER CO (THE) | 2.30 | 1/15/2019 | 117,000 | 116,827 | ||||||||
KROGER CO (THE) | 2.95 | 11/1/2021 | 945,000 | 927,528 | ||||||||
L-3 COMMUNICATIONS CORP | 3.95 | 11/15/2016 | 101,000 | 102,449 | ||||||||
L-3 COMMUNICATIONS CORP | 1.50 | 5/28/2017 | 1,685,000 | 1,661,075 | ||||||||
ELI LILLY AND COMPANY | 1.25 | 3/1/2018 | 4,230,000 | 4,216,987 | ||||||||
LOCKHEED MARTIN CORPORATION | 2.90 | 3/1/2025 | 5,850,000 | 5,623,066 | ||||||||
LOCKHEED MARTIN CORPORATION | 2.50 | 11/23/2020 | 4,330,000 | 4,294,305 | ||||||||
LOCKHEED MARTIN CORPORATION | 3.10 | 1/15/2023 | 3,775,000 | 3,773,437 | ||||||||
LONESTAR RESOURCES AMERICA INC | 8.75 | 4/15/2019 | 1,000,000 | 612,500 | ||||||||
LYONDELLBASELL INDUSTRIES NV | 6.00 | 11/15/2021 | 5,000,000 | 5,606,282 | ||||||||
LYONDELLBASELL INDUSTRIES NV | 5.00 | 4/15/2019 | 4,000,000 | 4,254,583 | ||||||||
MARATHON OIL CORP | 2.70 | 6/1/2020 | 1,275,000 | 1,125,145 | ||||||||
MARATHON PETROLEUM CORP | 3.40 | 12/15/2020 | 3,000,000 | 2,952,801 | ||||||||
MARRIOTT INTERNATIONAL INC | 2.88 | 3/1/2021 | 6,700,000 | 6,644,046 | ||||||||
MCDONALDS CORP | 2.20 | 5/26/2020 | 2,000,000 | 1,958,683 | ||||||||
MCDONALDS CORP | 2.10 | 12/7/2018 | 415,000 | 415,064 | ||||||||
MCDONALDS CORP | 2.75 | 12/9/2020 | 875,000 | 875,773 | ||||||||
MCDONALDS CORP | 3.70 | 1/30/2026 | 4,745,000 | 4,754,281 | ||||||||
MCKESSON CORP | 3.80 | 3/15/2024 | 4,000,000 | 4,019,177 | ||||||||
MCKESSON CORP | 1.40 | 3/15/2018 | 2,251,000 | 2,223,210 | ||||||||
MEAD JOHNSON NUTRITION CO | 4.13 | 11/15/2025 | 2,500,000 | 2,509,674 | ||||||||
MEAD JOHNSON NUTRITION CO | 3.00 | 11/15/2020 | 1,800,000 | 1,795,851 | ||||||||
MEDTRONIC INC | 1.38 | 4/1/2018 | 1,400,000 | 1,393,843 | ||||||||
MEDTRONIC INC | 2.50 | 3/15/2020 | 7,450,000 | 7,464,503 | ||||||||
MEDTRONIC INC | 1.50 | 3/15/2018 | 2,110,000 | 2,106,595 | ||||||||
MERCK & CO INC | 1.30 | 5/18/2018 | 751,000 | 747,944 | ||||||||
MICHAEL BAKER INTERNATIONAL LL | 8.25 | 10/15/2018 | 1,000,000 | 900,000 | ||||||||
MICROSOFT CORP | 2.00 | 11/3/2020 | 3,500,000 | 3,491,852 | ||||||||
MICROSOFT CORP | 2.65 | 11/3/2022 | 12,375,000 | 12,362,422 | ||||||||
MIDAS INTERMEDIATE HOLDCO II L | 7.88 | 10/1/2022 | 500,000 | 447,500 | ||||||||
MONSANTO COMPANY | 2.13 | 7/15/2019 | 2,010,000 | 1,974,531 | ||||||||
MYLAN NV | 3.00 | 12/15/2018 | 2,500,000 | 2,501,759 | ||||||||
NBCUNIVERSAL MEDIA LLC | 5.15 | 4/30/2020 | 3,000,000 | 3,343,782 | ||||||||
NBCUNIVERSAL MEDIA LLC | 4.38 | 4/1/2021 | 3,250,000 | 3,514,597 | ||||||||
NBCUNIVERSAL MEDIA LLC | 2.88 | 1/15/2023 | 5,000,000 | 4,968,209 | ||||||||
NBCUNIVERSAL ENTERPRISE INC | 1.01 | 4/15/2018 | 2,250,000 | 2,246,243 | ||||||||
NBCUNIVERSAL ENTERPRISE INC | 1.97 | 4/15/2019 | 1,630,000 | 1,623,458 | ||||||||
NETAPP INC | 2.00 | 12/15/2017 | 3,000,000 | 2,975,373 | ||||||||
NEXTEER AUTOMOTIVE GROUP LTD | 5.88 | 11/15/2021 | 1,000,000 | 1,020,000 | ||||||||
NORTHERN BLIZZARD RESOURCES IN | 7.25 | 2/1/2022 | 500,000 | 370,000 | ||||||||
OCCIDENTAL PETROLEUM CORPORATI | 1.50 | 2/15/2018 | 101,000 | 99,594 | ||||||||
OCCIDENTAL PETROLEUM CORPORATI | 3.50 | 6/15/2025 | 5,175,000 | 5,022,246 | ||||||||
ONEOK PARTNERS LP | 3.80 | 3/15/2020 | 750,000 | 712,907 |
Page 41
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ORACLE CORPORATION | 5.75 | 4/15/2018 | 1,140,000 | 1,241,721 | ||||||||
ORACLE CORPORATION | 1.20 | 10/15/2017 | 2,500,000 | 2,494,167 | ||||||||
ORACLE CORPORATION | 2.38 | 1/15/2019 | 235,000 | 238,207 | ||||||||
ORACLE CORPORATION | 2.25 | 10/8/2019 | 6,575,000 | 6,622,245 | ||||||||
ORACLE CORPORATION | 2.80 | 7/8/2021 | 13,500,000 | 13,568,378 | ||||||||
ORACLE CORPORATION | 2.50 | 5/15/2022 | 3,000,000 | 2,936,405 | ||||||||
PACCAR FINANCIAL CORP | 2.20 | 9/15/2019 | 6,000,000 | 5,978,599 | ||||||||
PEARSON DOLLAR FINANCE TWO PLC | 6.25 | 5/6/2018 | 2,000,000 | 2,159,188 | ||||||||
PENSKE TRUCK LEASING CO | 4.88 | 7/11/2022 | 1,500,000 | 1,570,680 | ||||||||
PENSKE TRUCK LEASING CO | 2.50 | 3/15/2016 | 6,775,000 | 6,789,241 | ||||||||
PENSKE TRUCK LEASING CO | 3.05 | 1/9/2020 | 3,000,000 | 2,966,319 | ||||||||
PENTAIR FINANCE SA | 2.90 | 9/15/2018 | 2,000,000 | 1,990,958 | ||||||||
PEPSICO INC | 7.90 | 11/1/2018 | 101,000 | 117,927 | ||||||||
PEPSICO INC | 2.25 | 1/7/2019 | 151,000 | 152,629 | ||||||||
PEPSICO INC | 1.00 | 10/13/2017 | 1,700,000 | 1,690,670 | ||||||||
PEPSICO INC | 2.15 | 10/14/2020 | 565,000 | 561,919 | ||||||||
PERNOD-RICARD SA | 4.45 | 1/15/2022 | 7,000,000 | 7,256,499 | ||||||||
PERRIGO CO LTD | 1.30 | 11/8/2016 | 3,450,000 | 3,422,883 | ||||||||
PETROBRAS INT BRASPETRO BV | 3.25 | 3/17/2017 | 1,400,000 | 1,302,000 | ||||||||
PFIZER INC | 6.20 | 3/15/2019 | 218,000 | 244,690 | ||||||||
PFIZER INC | 0.90 | 1/15/2017 | 2,250,000 | 2,244,619 | ||||||||
PFIZER INC | 1.10 | 5/15/2017 | 101,000 | 100,819 | ||||||||
PHILIP MORRIS INTERNATIONAL IN | 5.65 | 5/16/2018 | 10,268,000 | 11,201,803 | ||||||||
PHILIP MORRIS INTERNATIONAL IN | 2.50 | 5/16/2016 | 6,000,000 | 6,035,581 | ||||||||
PHILIP MORRIS INTERNATIONAL IN | 1.13 | 8/21/2017 | 7,553,000 | 7,533,785 | ||||||||
PHILIP MORRIS INTERNATIONAL IN | 1.25 | 11/9/2017 | 155,000 | 154,908 | ||||||||
PHILLIPS 66 | 4.88 | 11/15/2044 | 2,250,000 | 2,011,787 | ||||||||
PHILLIPS 66 PARTNETS LP | 2.65 | 2/15/2020 | 2,060,000 | 1,936,162 | ||||||||
PIONEER NAT RES CO | 6.65 | 3/15/2017 | 1,220,000 | 1,268,100 | ||||||||
PIONEER NAT RES CO | 3.45 | 1/15/2021 | 7,250,000 | 6,723,559 | ||||||||
PLAINS EXPORATION & PRODUCTION | 6.88 | 2/15/2023 | 2,979,000 | 1,846,980 | ||||||||
POST HOLDINGS INC | 6.75 | 12/1/2021 | 500,000 | 510,000 | ||||||||
PRECISION CASTPARTS CORP | 1.25 | 1/15/2018 | 101,000 | 100,144 | ||||||||
PROCTER & GAMBLE COMPANY | 0.75 | 11/4/2016 | 910,000 | 908,499 | ||||||||
PROCTER & GAMBLE COMPANY | 1.60 | 11/15/2018 | 168,000 | 168,638 | ||||||||
QUALCOMM INCORPORATED | 2.25 | 5/20/2020 | 4,625,000 | 4,580,889 | ||||||||
RALPH LAUREN CORP | 2.13 | 9/26/2018 | 5,325,000 | 5,366,238 | ||||||||
REYNOLDS AMERICAN INC | 3.25 | 6/12/2020 | 6,520,000 | 6,600,745 | ||||||||
REYNOLDS AMERICAN INC | 4.00 | 6/12/2022 | 5,000,000 | 5,191,077 | ||||||||
REYNOLDS AMERICAN INC | 4.45 | 6/12/2025 | 500,000 | 523,231 | ||||||||
RIO TINTO FINANCE (USA) LTD | 6.50 | 7/15/2018 | 84,000 | 90,442 | ||||||||
RIO TINTO FINANCE (USA) PLC | 2.25 | 12/14/2018 | 101,000 | 97,833 | ||||||||
ROCHE HOLDINGS INC | 2.25 | 9/30/2019 | 6,000,000 | 6,025,091 | ||||||||
ROCKWELL AUTOMATION INC | 2.05 | 3/1/2020 | 3,475,000 | 3,422,852 | ||||||||
ROCKWELL COLLINS INC. | 0.86 | 12/15/2016 | 4,950,000 | 4,940,892 |
Page 42
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ROLLS ROYCE GROUP PLC | 2.38 | 10/14/2020 | 776,000 | 757,881 | ||||||||
ROPER IND, INC. | 3.00 | 12/15/2020 | 3,200,000 | 3,192,555 | ||||||||
RYDER SYSTEM INC. | 3.50 | 6/1/2017 | 5,875,000 | 5,986,483 | ||||||||
RYDER SYSTEM INC. | 2.65 | 3/2/2020 | 2,800,000 | 2,734,859 | ||||||||
SBA TOWER TRUST | 2.90 | 10/15/2044 | 3,005,000 | 2,936,512 | ||||||||
ST JUDE MEDICAL INC | 2.50 | 1/15/2016 | 5,000,000 | 5,002,001 | ||||||||
ST JUDE MEDICAL INC | 2.00 | 9/15/2018 | 2,500,000 | 2,476,877 | ||||||||
SANOFI | 1.25 | 4/10/2018 | 5,225,000 | 5,198,832 | ||||||||
SCHLUMBERGER GER INV | 1.95 | 9/14/2016 | 1,950,000 | 1,960,238 | ||||||||
SCHLUMBERGER NORGE AS | 1.95 | 9/14/2016 | 2,700,000 | 2,733,002 | ||||||||
SCRIPPS NETWORKS INTERACTIVE I | 2.80 | 6/15/2020 | 2,050,000 | 1,991,208 | ||||||||
SEAGATE HDD CAYMAN | 3.75 | 11/15/2018 | 101,000 | 99,990 | ||||||||
SEMICONDUCTOR MANUFACTURING IN | 4.13 | 10/7/2019 | 200,000 | 199,836 | ||||||||
SHELL INTERNATIONAL FINANCE BV | 0.90 | 11/15/2016 | 101,000 | 100,879 | ||||||||
SHELL INTERNATIONAL FINANCE BV | 2.13 | 5/11/2020 | 3,727,000 | 3,654,322 | ||||||||
JM SMUCKER CO/THE | 1.75 | 3/15/2018 | 1,530,000 | 1,512,817 | ||||||||
JM SMUCKER CO/THE | 2.50 | 3/15/2020 | 9,000,000 | 8,910,840 | ||||||||
SOLVAY FINANCE AMERICA LLC | 3.40 | 12/3/2020 | 980,000 | 975,561 | ||||||||
SOLVAY FINANCE AMERICA LLC | 4.45 | 12/3/2025 | 8,200,000 | 8,163,534 | ||||||||
SOUTHWEST AIRLINES CO. | 5.13 | 3/1/2017 | 168,000 | 174,949 | ||||||||
SOUTHWEST AIRLINES CO. | 2.65 | 11/5/2020 | 2,500,000 | 2,471,831 | ||||||||
SPRING INDUSTRIES INC | 6.25 | 6/1/2021 | 750,000 | 743,438 | ||||||||
STARBUCKS CORP | 3.85 | 10/1/2023 | 6,000,000 | 6,371,015 | ||||||||
STRYKER CORP | 3.38 | 11/1/2025 | 2,725,000 | 2,691,036 | ||||||||
SUNCOR ENERGY INC | 6.10 | 6/1/2018 | 310,000 | 332,799 | ||||||||
SUNTORY HOLDINGS LTD | 2.55 | 9/29/2019 | 5,775,000 | 5,673,305 | ||||||||
SYSCO CORP | 2.60 | 10/1/2020 | 2,425,000 | 2,424,914 | ||||||||
TARGET CORPORATION | 6.00 | 1/15/2018 | 100,000 | 109,056 | ||||||||
TENCENT HOLDINGS LIMITED | 3.38 | 5/2/2019 | 1,400,000 | 1,422,394 | ||||||||
THERMO FISHER SCIENTIFIC INC | 1.30 | 2/1/2017 | 3,725,000 | 3,711,755 | ||||||||
THERMO FISHER SCIENTIFIC INC | 2.15 | 12/14/2018 | 2,435,000 | 2,436,756 | ||||||||
TIME WARNER CABLE INC | 6.75 | 7/1/2018 | 1,550,000 | 1,691,955 | ||||||||
TIME WARNER CABLE INC | 8.25 | 4/1/2019 | 1,134,000 | 1,303,646 | ||||||||
TIME WARNER CABLE INC | 5.00 | 2/1/2020 | 775,000 | 818,837 | ||||||||
TIME WARNER CABLE INC | 4.13 | 2/15/2021 | 475,000 | 486,044 | ||||||||
TOPS HOLDING LLC / TOPS MARKET | 8.00 | 6/15/2022 | 800,000 | 792,000 | ||||||||
TOTAL CAPITAL S.A. | 2.13 | 8/10/2018 | 168,000 | 168,511 | ||||||||
TOTAL CAPITAL INTERNATIONAL SA | 1.55 | 6/28/2017 | 6,000,000 | 5,997,166 | ||||||||
TOYOTA MOTOR CREDIT CORP | 1.75 | 5/22/2017 | 315,000 | 317,243 | ||||||||
TOYOTA MOTOR CREDIT CORP | 1.38 | 1/10/2018 | 134,000 | 133,469 | ||||||||
TOYOTA MOTOR CREDIT CORP | 1.13 | 5/16/2017 | 101,000 | 100,853 | ||||||||
TRANSNET LTD | 4.50 | 2/10/2016 | 5,950,000 | 5,890,476 | ||||||||
21ST CENTURY FOX AMERICA INC | 6.90 | 3/1/2019 | 101,000 | 114,443 | ||||||||
21ST CENTURY FOX AMERICA INC | 3.70 | 10/15/2025 | 5,775,000 | 5,716,000 | ||||||||
TYCO ELECTRONICS GROUP SA | 2.35 | 8/1/2019 | 8,000,000 | 7,958,886 |
Page 43
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
TYCO ELECTRONICS GROUP SA | 3.45 | 8/1/2024 | 2,500,000 | 2,500,748 | ||||||||
US AIRWAYS GROUP INC | 7.13 | 4/22/2025 | 2,225,475 | 2,564,860 | ||||||||
US AIRWAYS P-T TR | 4.63 | 12/3/2026 | 1,202,266 | 1,247,351 | ||||||||
UNILEVER CAPITAL CORP | 0.85 | 8/2/2017 | 6,175,000 | 6,138,037 | ||||||||
UNITED TECHNOLOGIES CORPORATN | 6.13 | 2/1/2019 | 134,000 | 149,167 | ||||||||
UNITED TECHNOLOGIES CORPORATN | 1.80 | 6/1/2017 | 14,675,000 | 14,750,372 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 1.40 | 10/15/2017 | 5,425,000 | 5,402,848 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 2.30 | 12/15/2019 | 8,000,000 | 7,984,769 | ||||||||
VTR FINANCE BV | 6.88 | 1/15/2024 | 890,000 | 823,250 | ||||||||
VALE OVERSEAS LIMITED | 5.63 | 9/15/2019 | 67,000 | 60,468 | ||||||||
VALERO ENERGY CORPORATION | 6.13 | 6/15/2017 | 134,000 | 140,737 | ||||||||
VALERO ENERGY CORPORATION | 4.90 | 3/15/2045 | 2,000,000 | 1,669,675 | ||||||||
VERIZON COMMUNICATIONS INC | 2.50 | 9/15/2016 | 2,742,000 | 2,766,459 | ||||||||
VERIZON COMMUNICATIONS INC | 3.65 | 9/14/2018 | 1,435,000 | 1,496,023 | ||||||||
VERIZON COMMUNICATIONS INC | 2.63 | 2/21/2020 | 8,700,000 | 8,725,147 | ||||||||
VERIZON COMMUNICATIONS INC | 3.00 | 11/1/2021 | 980,000 | 977,347 | ||||||||
VERIZON COMMUNICATIONS INC | 3.50 | 11/1/2024 | 3,000,000 | 2,949,331 | ||||||||
VIACOM INC | 2.75 | 12/15/2019 | 2,500,000 | 2,453,880 | ||||||||
VIKING CRUISES LTD | 6.25 | 5/15/2025 | 750,000 | 615,000 | ||||||||
VODAFONE GROUP PLC | 1.50 | 2/19/2018 | 1,184,000 | 1,171,580 | ||||||||
VOLKSWAGEN GROUP OF AMERICA FI | 2.13 | 5/23/2019 | 3,250,000 | 3,088,010 | ||||||||
VOLKSWAGEN GROUP OF AMERICA FI | 2.45 | 11/20/2019 | 5,050,000 | 4,805,646 | ||||||||
VOLKSWAGEN GROUP OF AMERICA FI | 1.65 | 5/22/2018 | 650,000 | 623,722 | ||||||||
VOLKSWAGEN GROUP OF AMERICA FI | 2.40 | 5/22/2020 | 4,000,000 | 3,775,286 | ||||||||
WAL-MART STORES INC | 0.60 | 4/11/2016 | 4,375,000 | 4,375,569 | ||||||||
WAL-MART STORES INC | 1.13 | 4/11/2018 | 1,568,000 | 1,559,252 | ||||||||
WALGREENS BOOTS ALLIANCE INC | 3.30 | 11/18/2021 | 13,115,000 | 12,805,396 | ||||||||
ACTAVIS INC | 1.88 | 10/1/2017 | 8,450,000 | 8,419,971 | ||||||||
WESFARMERS LTD | 1.87 | 3/20/2018 | 825,000 | 816,467 | ||||||||
WESTERN GAS PARTNERS LP | 5.38 | 6/1/2021 | 1,000,000 | 1,012,347 | ||||||||
WESTERN GAS PARTNERS LP | 2.60 | 8/15/2018 | 3,650,000 | 3,512,953 | ||||||||
WHOLE FOODS MARKET INC. | 5.20 | 12/3/2025 | 3,050,000 | 3,055,570 | ||||||||
WM WRIGLEY JR CO | 1.40 | 10/21/2016 | 910,000 | 909,118 | ||||||||
WM WRIGLEY JR CO | 2.90 | 10/21/2019 | 8,650,000 | 8,581,815 | ||||||||
WYNDHAM WORLDWIDE CORP | 2.50 | 3/1/2018 | 3,500,000 | 3,479,872 | ||||||||
XEROX CORPORATION | 6.75 | 2/1/2017 | 1,630,000 | 1,702,965 | ||||||||
XEROX CORPORATION | 2.95 | 3/15/2017 | 168,000 | 169,024 | ||||||||
XSTRATA FINANCE (CANADA) LTD | 2.95 | 10/25/2017 | 8,705,000 | 7,965,075 | ||||||||
XYLEM INC/NY | 3.55 | 9/20/2016 | 4,475,000 | 4,532,728 | ||||||||
YALE UNIVERSITY | 2.09 | 4/15/2019 | 67,000 | 67,394 | ||||||||
SS&C TECHNOLOGIES INC | 0.00 | 7/8/2022 | 1,311,906 | 1,300,895 | ||||||||
PSA INTL | 4.63 | 9/11/2019 | 1,000,000 | 1,076,450 | ||||||||
AFFINION GROUP | 0.00 | 4/30/2018 | 985,973 | 907,096 | ||||||||
PSA CORP | 3.39 | 4/28/2020 | 1,000,000 | 725,337 | ||||||||
ASPECT SOFTWARE INC | 0.00 | 5/7/2016 | 1,778,404 | 1,627,240 |
Page 44
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
SENSUS METERING | 0.00 | 5/11/2018 | 1,000,000 | 970,000 | ||||||||
BARBRI INC | 0.00 | 7/17/2019 | 1,116,501 | 947,173 | ||||||||
ARCH COAL INC. | 0.00 | 5/16/2018 | 461,077 | 209,021 | ||||||||
MISYS PLC | 0.00 | 12/12/2018 | 2,463,068 | 2,455,063 | ||||||||
TANK HOLDING CORP | 0.00 | 3/16/2022 | 784,601 | 770,217 | ||||||||
CENTERPLATE INC | 0.00 | 11/26/2019 | 989,924 | 977,550 | ||||||||
TRANSTAR HOLDING COMPANY | 0.00 | 10/9/2018 | 1,496,982 | 1,272,435 | ||||||||
CUNNINGHAM LINDSEY INTERMEDIAT | 0.00 | 6/10/2020 | 1,000,000 | 520,000 | ||||||||
SEQUA CORP | 0.00 | 6/19/2017 | 229,223 | 156,788 | ||||||||
ATI HOLDINGS LLC | 0.00 | 12/20/2019 | 2,232,628 | 2,210,302 | ||||||||
CROSSMARK HOLDINGS INC | 0.00 | 12/21/2020 | 750,000 | 367,500 | ||||||||
VESTCOM INTL INC. | 0.00 | 9/30/2021 | 146,625 | 145,709 | ||||||||
TOTAL SAFETY US INC | 0.00 | 3/13/2020 | 1,966,918 | 1,603,038 | ||||||||
TOTAL SAFETY US INC | 0.00 | 9/13/2020 | 324,188 | 179,924 | ||||||||
PANDA TEMPLE POWER II LLC | 0.00 | 4/3/2019 | 1,790,000 | 1,575,200 | ||||||||
LTS BUYER LLC | 0.00 | 4/13/2020 | 497,449 | 483,894 | ||||||||
ALG BV | 0.00 | 2/28/2020 | 735,689 | 735,689 | ||||||||
SECURUS TECHNOLOGIES HOLDINGS | 0.00 | 4/30/2020 | 1,221,879 | 873,643 | ||||||||
SECURUS TECHNOLOGIES HOLDINGS | 0.00 | 4/30/2021 | 540,000 | 280,800 | ||||||||
JC PENNEY CORPORATION INC | 0.00 | 5/22/2018 | 1,863,302 | 1,827,200 | ||||||||
CLEAR CHANNEL COMMUN, INC. | 0.00 | 1/30/2019 | 1,250,000 | 875,000 | ||||||||
ONEX CARESTREAM FINANCE LP | 0.00 | 6/7/2019 | 1,250,259 | 1,141,382 | ||||||||
ONEX CARESTREAM FINANCE LP | 0.00 | 12/7/2019 | 354,549 | 310,230 | ||||||||
QUICKSILVER RESOURCES INC | 0.00 | 6/21/2019 | 500,000 | 120,000 | ||||||||
CTI FOODS HOLDING CO LLC | 0.00 | 6/29/2020 | 412,539 | 388,818 | ||||||||
EMERALD EXPOSITIONS HOLDING IN | 0.00 | 6/17/2020 | 1,908,252 | 1,874,857 | ||||||||
FOUR SEASONS HOLDINGS INC | 0.00 | 12/28/2020 | 728,152 | 723,297 | ||||||||
TRIPLE POINT TECHNOLOGY INC | 0.00 | 7/10/2020 | 1,539,727 | 1,097,055 | ||||||||
ALTICE FINANCING SA | 0.00 | 7/2/2019 | 2,405,980 | 2,390,442 | ||||||||
BMC SOFTWARE FINANCE INC | 0.00 | 9/10/2020 | 1,577,095 | 1,304,257 | ||||||||
CPG INTERNATIONAL INC | 0.00 | 9/30/2020 | 1,496,173 | 1,398,922 | ||||||||
FIELDWOOD ENERGY LLC | 0.00 | 9/30/2020 | 1,515,000 | 224,725 | ||||||||
P2 LOWER ACQUISITION LLC | 0.00 | 10/22/2020 | 2,401,045 | 2,396,044 | ||||||||
P2 LOWER ACQUISITION LLC | 0.00 | 10/22/2021 | 785,000 | 773,225 | ||||||||
OMNITRACS INC | 0.00 | 5/25/2021 | 1,000,000 | 973,333 | ||||||||
OMNITRACS INC | 0.00 | 11/25/2020 | 2,032,567 | 1,985,141 | ||||||||
P2 ENERGY SOLUTIONS INC | 0.00 | 10/30/2020 | 2,391,200 | 2,152,080 | ||||||||
BJS WHOLESALE CLUB, INC. | 0.00 | 3/26/2020 | 925,000 | 823,250 | ||||||||
BJS WHOLESALE CLUB, INC. | 0.00 | 9/26/2019 | 1,672,103 | 1,594,768 | ||||||||
ACTIVE NETWORK INC (THE) | 0.00 | 11/13/2020 | 1,523,584 | 1,484,226 | ||||||||
ACTIVE NETWORK INC (THE) | 0.00 | 11/15/2021 | 500,000 | 457,500 | ||||||||
MCJUNKIN RED MAN CORP | 0.00 | 11/8/2019 | 1,873,568 | 1,714,315 | ||||||||
FILTRATION GROUP CORP | 0.00 | 11/22/2021 | 252,660 | 245,185 | ||||||||
BULLSEYE MERGERSUB INC | 0.00 | 11/26/2020 | 1,304,428 | 1,228,337 | ||||||||
OFFSHORE GROUP INVESTMENT LTD | 0.00 | 10/25/2017 | 753,376 | 148,792 |
Page 45
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
THE BRICKMAN GROUP LTD LLC | 0.00 | 12/17/2021 | 880,000 | 792,000 | ||||||||
BRICKMAN GROUP HOLDINGS INC | 0.00 | 12/18/2020 | 277,828 | 268,756 | ||||||||
CLEAR CHANNEL COMMUN, INC. | 0.00 | 7/30/2019 | 239,250 | 167,674 | ||||||||
HEARTLAND DENTAL CARE INC | 0.00 | 12/21/2018 | 2,690,694 | 2,556,160 | ||||||||
NTNL MNTR HLDGS | 0.00 | 1/31/2021 | 1,312,054 | 1,273,785 | ||||||||
ALLIED SECURITY HOLDINGS LLC | 0.00 | 8/13/2021 | 680,651 | 646,618 | ||||||||
PHILLIPS PET FOOD & SUPPLIES | 0.00 | 1/31/2022 | 750,000 | 525,000 | ||||||||
NATIONAL UNIVERSITY OF SINGAPO | 1.71 | 2/13/2019 | 1,000,000 | 687,442 | ||||||||
OPENLINK INTERNATIONAL INTERME | 0.00 | 10/30/2017 | 1,322,183 | 1,312,267 | ||||||||
VISTA EYECARE, INC. | 0.00 | 3/12/2021 | 109,721 | 105,401 | ||||||||
COLLECTIVE BRANDS INC | 0.00 | 3/11/2021 | 2,066,510 | 1,167,578 | ||||||||
WME IMG LLC | 0.00 | 5/6/2022 | 1,360,000 | 1,230,800 | ||||||||
WME IMG LLC | 0.00 | 5/6/2021 | 1,477,463 | 1,453,916 | ||||||||
GYP HOLDINGS III CORP | 0.00 | 4/1/2021 | 1,866,503 | 1,759,179 | ||||||||
GYP HOLDINGS III CORP | 0.00 | 4/1/2022 | 615,000 | 591,169 | ||||||||
AVAGO TECHNOLOGIES CAYMAN LTD | 0.00 | 5/6/2021 | 248,548 | 248,082 | ||||||||
MEDPACE INC | 0.00 | 4/1/2021 | 1,331,878 | 1,320,779 | ||||||||
CHECKOUT HOLDING | 0.00 | 4/11/2022 | 2,620,000 | 1,454,100 | ||||||||
CHECKOUT HOLDING | 0.00 | 4/9/2021 | 997,468 | 796,312 | ||||||||
HUDSON PRODUCTS | 0.00 | 3/15/2019 | 943,333 | 787,683 | ||||||||
MILLENNIUM LABORATORIES INC | 0.00 | 4/16/2021 | 2,803,214 | 1,166,838 | ||||||||
TIME INC (USA) | 0.00 | 4/26/2021 | 598,481 | 586,511 | ||||||||
MUNTERS AB | 0.00 | 5/5/2021 | 1,674,500 | 1,645,196 | ||||||||
SKILLSOFT CORP | 0.00 | 4/28/2022 | 1,340,000 | 893,334 | ||||||||
US JOINER HOLDING COMPANY | 0.00 | 4/16/2020 | 982,500 | 967,763 | ||||||||
DOOSAN INFRACORE INTERNATIONAL | 0.00 | 5/28/2021 | 598,353 | 587,882 | ||||||||
TASC INC | 0.00 | 5/22/2020 | 1,284,350 | 1,268,296 | ||||||||
LEARNING CARE GROUP US NO 2 IN | 0.00 | 5/5/2021 | 2,261,608 | 2,236,165 | ||||||||
CHIEF EXPLORATION & DEVELOPMEN | 0.00 | 5/16/2021 | 500,000 | 327,500 | ||||||||
SI ORGANIZATION INC | 0.00 | 11/23/2019 | 1,880,241 | 1,870,253 | ||||||||
UTEX IND | 0.00 | 5/21/2021 | 2,213,886 | 1,494,373 | ||||||||
SUNEDISON SEMICO | 0.00 | 5/27/2019 | 775,131 | 763,504 | ||||||||
WP MUSTANG HOLDINGS LLC | 0.00 | 5/29/2021 | 2,711,836 | 2,699,408 | ||||||||
UTEX IND | 0.00 | 5/20/2022 | 650,000 | 416,000 | ||||||||
SI ORGANIZATION INC | 0.00 | 5/23/2020 | 700,000 | 679,875 | ||||||||
GREEN PLAINS REN | 0.00 | 6/30/2020 | 723,120 | 708,658 | ||||||||
ENCOMPASS DIGITAL MEDIA INC | 0.00 | 6/5/2022 | 500,000 | 482,500 | ||||||||
OTTER PRODUCTS LLC | 0.00 | 6/3/2020 | 920,443 | 884,392 | ||||||||
ENCOMPASS DIGITAL MEDIA INC | 0.00 | 6/6/2021 | 1,511,490 | 1,466,146 | ||||||||
AZ CHEM US | 0.00 | 6/10/2022 | 580,000 | 581,933 | ||||||||
WORLD TRIATHLON CORP | 0.00 | 6/25/2021 | 492,500 | 485,113 | ||||||||
SOLENIS INTERNATIONAL LP | 0.00 | 7/31/2022 | 500,000 | 393,750 | ||||||||
WINEBOW GROUP LLC | 0.00 | 1/2/2022 | 1,000,000 | 930,000 | ||||||||
HEALOGICS INC | 0.00 | 7/1/2021 | 1,321,654 | 1,034,194 | ||||||||
BIRCH COMMUNICATIONS HOLDINGS | 0.00 | 7/17/2020 | 2,656,965 | 2,431,123 |
Page 46
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
TRIBUNE PUBLISHING CO | 0.00 | 8/4/2021 | 875,358 | 802,047 | ||||||||
EMERALD PERFORMANCE MATERIALS | 0.00 | 7/30/2021 | 862,693 | 844,361 | ||||||||
SURGERY CENTER HOLDINGS INC | 0.00 | 11/3/2020 | 891,000 | 883,946 | ||||||||
ENERGY & EXPLORATION PARTNERS | 0.00 | 1/22/2019 | 3,546,000 | 780,120 | ||||||||
CCS INTERMEDIATE HOLDINGS LLC | 0.00 | 7/23/2021 | 1,501,000 | 1,103,235 | ||||||||
EMERALD PERFORMANCE MATERIALS | 0.00 | 8/1/2022 | 620,000 | 584,350 | ||||||||
CITGO PETROLEUM CORPORATION | 0.00 | 7/29/2021 | 437,783 | 422,096 | ||||||||
ALM MEDIA HOLDGS | 0.00 | 7/30/2021 | 500,000 | 482,500 | ||||||||
IBC CAPITAL LTD | 0.00 | 9/9/2021 | 2,064,400 | 1,868,282 | ||||||||
AP NMT ACQUISITION BV | 0.00 | 8/13/2021 | 1,384,981 | 1,232,633 | ||||||||
NATIONAL VETERINARY ASSOCIATES | 0.00 | 8/14/2021 | 1,798,699 | 1,784,458 | ||||||||
ALBERTSONS INC | 0.00 | 8/25/2021 | 2,505,534 | 2,481,871 | ||||||||
PACKAGING COORDINATORS INC | 0.00 | 8/1/2022 | 1,000,000 | 980,000 | ||||||||
IMC OP LP | 0.00 | 8/15/2020 | 1,837,753 | 1,794,106 | ||||||||
ZEST ANCHORS LLC | 0.00 | 8/16/2020 | 1,778,515 | 1,769,623 | ||||||||
SCINTFIC GMS INT INC | 0.00 | 10/1/2021 | 1,455,648 | 1,325,940 | ||||||||
WAND INTERMEDIATE I LP | 0.00 | 9/17/2022 | 500,000 | 475,000 | ||||||||
TPF II POWER LLC | 0.00 | 10/2/2021 | 2,478,012 | 2,411,931 | ||||||||
BERLIN PACKAGING LLC | 0.00 | 10/1/2021 | 989,624 | 980,346 | ||||||||
CROWNE GROUP LLC | 0.00 | 9/30/2020 | 395,000 | 381,175 | ||||||||
ZEBRA TECHNOLOGIES CORPORATION | 0.00 | 10/27/2021 | 2,680,244 | 2,680,244 | ||||||||
CROWNE GROUP LLC | 0.00 | 9/30/2021 | 600,000 | 567,000 | ||||||||
FHC HEALTH SYSTEMS INC | 0.00 | 10/23/2021 | 1,540,856 | 1,463,813 | ||||||||
SMRT CAPITAL PTE LTD | 1.39 | 10/16/2017 | 2,000,000 | 1,392,239 | ||||||||
AVG TECHNOLOGIES NV | 0.00 | 10/15/2020 | 653,052 | 648,154 | ||||||||
ECO SERVICES OPERATIONS LLC | 0.00 | 12/1/2021 | 792,000 | 780,120 | ||||||||
VESTCOM INTL INC. | 0.00 | 9/30/2022 | 425,000 | 395,250 | ||||||||
PRO MACH INC TL B | 0.00 | 10/22/2021 | 1,296,726 | 1,288,622 | ||||||||
SOURCEHOV LLC | 0.00 | 10/31/2019 | 678,125 | 596,750 | ||||||||
ALLIANCE TIRE GROUP BV | 10.50 | 6/26/2021 | 1,000,000 | 1,000,000 | ||||||||
PACKERS HOLDINGS LLC | 0.00 | 12/2/2021 | 891,000 | 889,886 | ||||||||
CREGANNA-TACTX MEDICAL | 0.00 | 6/1/2022 | 500,000 | 491,875 | ||||||||
US TELEPACI | 0.00 | 11/25/2020 | 1,509,829 | 1,451,323 | ||||||||
HLX PLY HOLDINGS INC | 0.00 | 12/5/2021 | 1,524,047 | 1,517,696 | ||||||||
VARSITY BRANDS HOLDING CO INC | 0.00 | 12/10/2021 | 746,858 | 738,456 | ||||||||
PRIMEDIA INC. | 0.00 | 12/17/2021 | 1,816,985 | 1,585,319 | ||||||||
COMPUWARE CORPORATION | 0.00 | 12/15/2021 | 990,000 | 907,500 | ||||||||
SURVEY SAMPLING INTERNATIONAL | 0.00 | 12/16/2020 | 650,088 | 637,086 | ||||||||
SURVEY SAMPLING INTERNATIONAL | 0.00 | 12/16/2021 | 375,000 | 363,750 | ||||||||
CH SERVICES ACQUISITION INC | 0.00 | 2/7/2022 | 994,987 | 983,379 | ||||||||
IG INVESTMENTS HOLDINGS LLC | 0.00 | 10/31/2021 | 2,954,858 | 2,925,309 | ||||||||
KAUFMAN HALL & ASSOCIATES INC | 0.00 | 12/31/2020 | 735,938 | 724,898 | ||||||||
GLOBAL KNOWLEDGE TRAINING LLC | 0.00 | 1/29/2021 | 396,000 | 392,040 | ||||||||
ACADIA HEALTHCARE CO INC | 0.00 | 2/11/2022 | 584,100 | 583,735 | ||||||||
GLOBAL KNOWLEDGE TRAINING LLC | 0.00 | 1/28/2022 | 175,000 | 171,500 |
Page 47
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
RIVERBED TECHNOLOGY INC | 0.00 | 4/25/2022 | 1,520,195 | 1,514,178 | ||||||||
VALEANT PHARMACEUTICALS INTERN | 0.00 | 4/1/2022 | 603,204 | 580,332 | ||||||||
INEOS US FINANCE LLC | 0.00 | 3/31/2022 | 570,685 | 549,692 | ||||||||
AMERICAN TIRE DISTRIBUTORS INC | 0.00 | 9/1/2021 | 1,642,096 | 1,617,465 | ||||||||
MURRAY ENERGY CORP | 0.00 | 4/16/2020 | 1,507,290 | 960,521 | ||||||||
REGAL CINEMAS CORP | 0.00 | 4/1/2022 | 716,400 | 713,813 | ||||||||
MURRAY ENERGY CORP | 0.00 | 4/17/2017 | 89,498 | 70,815 | ||||||||
ASP ASPEN ACQUISITION SUB INC | 0.00 | 4/29/2022 | 587,050 | 584,604 | ||||||||
DJO FINANCE LLC | 0.00 | 6/8/2020 | 487,577 | 473,559 | ||||||||
ACOSTA HOLDCO INC | 0.00 | 9/26/2021 | 1,700,000 | 1,617,550 | ||||||||
CHEMOURS COMPANY LLC | 0.00 | 5/12/2022 | 646,750 | 590,968 | ||||||||
ITALICS MERGER SUB INC | 0.00 | 8/5/2022 | 1,157,100 | 1,111,299 | ||||||||
BURGER KING NEWCO | 0.00 | 12/10/2021 | 468,626 | 465,404 | ||||||||
PETSMART INC. | 0.00 | 3/11/2022 | 1,109,425 | 1,079,263 | ||||||||
EPICOR SOFTWARE CORP | 0.00 | 6/1/2022 | 1,363,150 | 1,327,936 | ||||||||
WIDEOPENWEST FINANCE LLC | 0.00 | 4/1/2019 | 1,218,992 | 1,172,366 | ||||||||
NATIONAL UNIVERSITY OF SINGAPO | 2.20 | 5/27/2020 | 1,250,000 | 869,665 | ||||||||
MERRILL COMMUNICATIONS LLC | 0.00 | 5/27/2022 | 1,665,342 | 1,498,808 | ||||||||
SPECTRUM BRANDS HOLDINGS INC | 0.00 | 6/23/2022 | 743,956 | 740,103 | ||||||||
PARADIGM ACQUISITION CORP | 0.00 | 6/2/2022 | 572,125 | 560,683 | ||||||||
ALERE INC | 0.00 | 6/20/2022 | 702,062 | 694,289 | ||||||||
ACADEMY SPORTS & OUTDOORS INC | 0.00 | 7/1/2022 | 1,530,621 | 1,471,947 | ||||||||
DOLLAR TREE INC | 0.00 | 7/6/2022 | 818,350 | 814,843 | ||||||||
UNIVAR USA INC | 0.00 | 7/1/2022 | 947,625 | 916,319 | ||||||||
PROTECTION ONE ALARM MONITORIN | 0.00 | 7/1/2021 | 1,850,363 | 1,815,668 | ||||||||
PLAYPOWER INC | 0.00 | 6/23/2021 | 597,000 | 594,015 | ||||||||
SS&C EUROPEAN HOLDINGS SARL | 0.00 | 7/8/2022 | 193,068 | 191,447 | ||||||||
TRIBUNE COMPANY | 0.00 | 12/27/2020 | 1,502,450 | 1,482,418 | ||||||||
ANCHOR GLASS CONTAINERS CORP | 0.00 | 7/1/2022 | 1,000,000 | 996,667 | ||||||||
AMERICAN BATH GROUP LLC | 0.00 | 6/10/2020 | 560,625 | 556,420 | ||||||||
USAGM HOLDCO LLC | 0.00 | 7/28/2022 | 2,880,000 | 2,728,800 | ||||||||
CHARTER COMMUNICATION OPER LLC | 0.00 | 1/24/2023 | 1,000,000 | 996,250 | ||||||||
HILLENBRAND INDUSTRIES INC | 0.00 | 9/8/2022 | 573,775 | 572,879 | ||||||||
BUILDERS FIRSTSOURCE INC | 0.00 | 7/31/2022 | 907,915 | 895,052 | ||||||||
ASURION LLC | 0.00 | 8/4/2022 | 522,375 | 480,150 | ||||||||
PHARMACEUTICAL PRODUCT DEV, IN | 0.00 | 8/18/2022 | 597,000 | 579,090 | ||||||||
PROLAMPAC INTERMEDIATE INC | 0.00 | 8/18/2022 | 249,375 | 245,219 | ||||||||
LINXENS FRANCE SA | 0.00 | 10/16/2023 | 120,000 | 117,400 | ||||||||
HD SUPPLY INC | 0.00 | 8/13/2021 | 114,713 | 112,476 | ||||||||
OWENS-BROCKWAY GLASS CONTAINER | 0.00 | 9/1/2022 | 288,550 | 287,179 | ||||||||
VISTAGE WORLDWIDE INC | 0.00 | 8/19/2021 | 745,313 | 747,176 | ||||||||
DELTA AIR LINES INC | 0.00 | 8/24/2022 | 872,813 | 870,812 | ||||||||
RAVN AIR GROUP | 0.00 | 7/30/2021 | 347,813 | 344,334 | ||||||||
JBS USA LLC | 0.00 | 9/19/2022 | 1,200,000 | 1,180,500 | ||||||||
BERRY PLASTICS CORP | 0.00 | 10/3/2022 | 705,926 | 699,043 |
Page 48
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
SOPHIA LP | 0.00 | 9/30/2022 | 249,375 | 246,133 | ||||||||
OPTUS FINANCE PTY LTD | 3.24 | 9/29/2022 | 1,000,000 | 707,546 | ||||||||
BIOCLINICA INC | 0.00 | 3/10/2021 | 750,000 | 750,000 | ||||||||
NEPTUNE FINCO CORP | 0.00 | 10/9/2022 | 725,000 | 722,929 | ||||||||
B&G FOODS INC | 0.00 | 11/2/2022 | 1,150,000 | 1,147,485 | ||||||||
XPO LOGISTICS INC | 0.00 | 11/1/2021 | 725,000 | 721,375 | ||||||||
MIDAS INTERMEDIATE HOLDCO II L | 0.00 | 8/18/2021 | 1,092,361 | 1,083,261 | ||||||||
MIDAS INTERMEDIATE HOLDCO II L | 0.00 | 8/18/2021 | 29,333 | 29,089 | ||||||||
ALLIEDBARTON | 0.00 | 2/12/2021 | 548,604 | 536,946 | ||||||||
AFFORDABLE CARE INC | 0.00 | 10/21/2022 | 1,025,000 | 1,004,500 | ||||||||
T-MOBILE USA INC | 0.00 | 11/9/2022 | 595,000 | 594,256 | ||||||||
PLATFORM SPECIALTY PRODUCTS CO | 0.00 | 6/7/2020 | 548,625 | 529,972 | ||||||||
SHOES FOR CREWS LLC | 0.00 | 11/18/2022 | 750,000 | 744,375 | ||||||||
HIGGINBOTHAM INSURANCE AGENCY | 6.25 | 11/10/2021 | 500,000 | 497,500 | ||||||||
RSC ACQUISITION INC | 0.00 | 11/30/2022 | 658,537 | 654,421 | ||||||||
AIR CANADA | 0.00 | 9/26/2019 | 2,727,963 | 2,721,143 | ||||||||
HUDSONS BAY CO | 0.00 | 9/30/2022 | 587,558 | 584,436 | ||||||||
LI & FUNG LTD | 5.50 | 5/16/2017 | 2,000,000 | 2,082,714 | ||||||||
OFFSHORE GROUP INVESTMENT LTD/ | 0.00 | 3/28/2019 | 618,348 | 122,124 | ||||||||
EVERGREEN SKILLS LUX SARL | 0.00 | 4/28/2021 | 1,700,000 | 1,304,750 | ||||||||
ION TRADING TECHNOLOGIES SARL | 0.00 | 6/10/2021 | 399,000 | 387,030 | ||||||||
ORTHO-CLINICAL DIAGNOSTICS INC | 0.00 | 6/30/2021 | 2,018,691 | 1,703,270 | ||||||||
NXP BV AND NXP FUNDING LLC | 0.00 | 12/7/2020 | 550,000 | 546,563 | ||||||||
FMG RESOURCES (AUGUST 2006) PT | 0.00 | 6/30/2019 | 869,739 | 646,506 | ||||||||
1,343,235,030 | $ | 1,308,092,884 | ||||||||||
Corporate Debt Securities - Utilities | ||||||||||||
AMEREN CORPORATION | 2.70 | 11/15/2020 | 2,500,000 | $ | 2,488,599 | |||||||
AMERICAN ELECTRIC POWER COMPAN | 1.65 | 12/15/2017 | 1,250,000 | 1,240,171 | ||||||||
CMS ENERGY CO | 8.75 | 6/15/2019 | 3,024,000 | 3,607,060 | ||||||||
COLUMBIA PIPELINE GROUP INC | 2.45 | 6/1/2018 | 390,000 | 384,812 | ||||||||
COLUMBIA PIPELINE GROUP INC | 3.30 | 6/1/2020 | 1,725,000 | 1,690,160 | ||||||||
COMMONWEALTH EDISON COMPANY | 6.15 | 9/15/2017 | 5,748,000 | 6,174,795 | ||||||||
COMMONWEALTH EDISON COMPANY | 2.15 | 1/15/2019 | 1,200,000 | 1,194,722 | ||||||||
CONSOLIDATED EDISON INC | 5.85 | 4/1/2018 | 168,000 | 182,061 | ||||||||
DCP MIDSTREAM PARTNERS LP | 2.70 | 4/1/2019 | 1,500,000 | 1,215,135 | ||||||||
DUKE ENERGY CORP | 1.63 | 8/15/2017 | 168,000 | 167,445 | ||||||||
DUKE ENERGY CORP | 2.10 | 6/15/2018 | 1,550,000 | 1,550,204 | ||||||||
EL PASO NATURAL GAS COMPANY | 5.95 | 4/15/2017 | 101,000 | 102,639 | ||||||||
ENABLE MIDSTREAM PARTNERS LP | 2.40 | 5/15/2019 | 1,595,000 | 1,378,310 | ||||||||
ENERGY TRANSFER PARTNERS LP | 4.15 | 10/1/2020 | 2,400,000 | 2,204,615 | ||||||||
ENERGY TRANSFER PARTNERS LP | 4.05 | 3/15/2025 | 680,000 | 560,670 | ||||||||
CROSSTEX ENERGY L.P. | 2.70 | 4/1/2019 | 3,700,000 | 3,369,533 | ||||||||
EXELON GENERATION CO LLC | 2.95 | 1/15/2020 | 3,780,000 | 3,744,354 | ||||||||
EXELON CORPORATION | 2.85 | 6/15/2020 | 2,250,000 | 2,240,601 |
Page 49
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
NEXTERA ENERGY CAPITAL HOLDING | 6.00 | 3/1/2019 | 3,250,000 | 3,550,467 | ||||||||
FL GAS TSMN CO | 7.90 | 5/15/2019 | 3,200,000 | 3,600,530 | ||||||||
GENERAL ELEC CAP CORP | 6.38 | 11/15/2067 | 1,575,000 | 1,645,875 | ||||||||
INDIANA MICHIGAN POWER COMPANY | 7.00 | 3/15/2019 | 101,000 | 114,376 | ||||||||
KINDER MORGAN ENERGY PARTNERS | 6.00 | 2/1/2017 | 1,193,000 | 1,217,594 | ||||||||
KINDER MORGAN ENERGY PARTNERS | 2.65 | 2/1/2019 | 3,850,000 | 3,583,852 | ||||||||
KINDER MORGAN HOLDCO LLC | 3.05 | 12/1/2019 | 2,875,000 | 2,648,761 | ||||||||
LG&E AND KU ENERGY LLC | 4.38 | 10/1/2021 | 4,850,000 | 5,198,356 | ||||||||
MPLX LP | 4.00 | 2/15/2025 | 325,000 | 279,296 | ||||||||
BERKSHIRE HATHAWAY ENERGY CO | 1.10 | 5/15/2017 | 4,375,000 | 4,337,637 | ||||||||
BERKSHIRE HATHAWAY ENERGY CO | 2.00 | 11/15/2018 | 134,000 | 132,908 | ||||||||
PECO ENERGY CO | 5.35 | 3/1/2018 | 134,000 | 143,840 | ||||||||
PECO ENERGY CO | 1.20 | 10/15/2016 | 74,000 | 74,057 | ||||||||
PG&E CORP | 2.40 | 3/1/2019 | 101,000 | 100,691 | ||||||||
PPL WEM HOLDINGS PLC | 3.90 | 5/1/2016 | 2,500,000 | 2,509,853 | ||||||||
PANHANDLE EAST PIPE LINE | 7.00 | 6/15/2018 | 104,000 | 112,940 | ||||||||
PETROLEOS MEXICANOS | 3.50 | 7/23/2020 | 1,667,000 | 1,587,471 | ||||||||
PLAINS ALL AMERICAN PIPELINE L | 2.60 | 12/15/2019 | 1,800,000 | 1,607,749 | ||||||||
PLAINS ALL AMERICAN PIPELINE L | 4.65 | 10/15/2025 | 2,000,000 | 1,731,314 | ||||||||
PUBLIC SERVICE ELECTRIC AND GA | 1.80 | 6/1/2019 | 134,000 | 132,242 | ||||||||
SEMPRA ENERGY | 2.30 | 4/1/2017 | 67,000 | 67,343 | ||||||||
SEMPRA ENERGY | 2.40 | 3/15/2020 | 3,225,000 | 3,170,246 | ||||||||
SOUTHERN CALIFORNIA EDISON CO. | 1.13 | 5/1/2017 | 2,215,000 | 2,197,338 | ||||||||
SOUTHERN CALIFORNIA EDISON CO. | 2.40 | 2/1/2022 | 3,500,000 | 3,388,595 | ||||||||
SOUTHERN COMPANY (THE) | 1.30 | 8/15/2017 | 1,830,000 | 1,810,157 | ||||||||
SOUTHERN COMPANY (THE) | 2.15 | 9/1/2019 | 4,569,000 | 4,469,154 | ||||||||
SOUTHERN POWER COMPANY | 1.85 | 12/1/2017 | 875,000 | 873,316 | ||||||||
SPECTRA ENERGY PARTNERS LP | 2.95 | 9/25/2018 | 5,000,000 | 4,874,706 | ||||||||
TRANSCANADA PIPELINES LIMITED | 1.63 | 11/9/2017 | 3,000,000 | 2,977,843 | ||||||||
VIRGINIA ELECTRIC AND POWER CO | 1.20 | 1/15/2018 | 101,000 | 99,803 | ||||||||
WESTAR ENERGY INC | 5.10 | 7/15/2020 | 5,000,000 | 5,493,505 | ||||||||
WESTERN GAS PARTNERS LP | 4.00 | 7/1/2022 | 6,650,000 | 6,034,395 | ||||||||
WILLIAMS PARTNERS LP | 3.60 | 3/15/2022 | 8,275,000 | 6,559,881 | ||||||||
XCEL ENERGY INC | 5.61 | 4/1/2017 | 134,000 | 140,485 | ||||||||
SP POWERASSETS | 4.84 | 10/22/2018 | 1,500,000 | 1,131,357 | ||||||||
HONGKONG ELECTRIC FINANCE LTD | 4.55 | 11/7/2016 | 30,000,000 | 3,977,149 | ||||||||
HKCG FINANCE LTD | 1.40 | 4/11/2016 | 2,000,000 | 300,471 | ||||||||
ESSENTIAL POWER LLC | 0.00 | 8/8/2019 | 933,803 | 918,239 | ||||||||
PANDA SHERMAN POWER LLC | 0.00 | 9/13/2018 | 1,289,603 | 1,147,747 | ||||||||
FR DIXIE ACQUISITION CORP | 0.00 | 12/18/2020 | 2,318,916 | 1,507,295 | ||||||||
150,454,322 | $ | 118,944,719 | ||||||||||
Asset Backed Securities | ||||||||||||
AMERICAN EXPRESS CREDIT ACCOUN | 1.49 | 4/15/2020 | 3,000,000 | $ | 3,000,300 | |||||||
CAPITAL ONE MULTI-ASSET EXE TR | 0.41 | 12/16/2019 | 5,230,000 | 5,214,310 |
Page 50
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CAPITAL ONE MULTI-ASSET EXE TR | 0.71 | 1/18/2022 | 2,200,000 | 2,188,419 | ||||||||
CAPITAL ONE MULTI-ASSET EXECUT | 1.45 | 8/16/2021 | 3,000,000 | 2,973,641 | ||||||||
DROCK_15-1 | 2.20 | 12/15/2022 | 12,400,000 | 12,329,320 | ||||||||
CHAIT_13-A9 | 0.75 | 11/15/2020 | 5,000,000 | 4,995,500 | ||||||||
CHAIT_14-A4 | 0.45 | 4/16/2018 | 6,665,000 | 6,662,063 | ||||||||
CCCIT | 0.72 | 9/10/2020 | 1,215,000 | 1,214,392 | ||||||||
CCCIT_13-A1 | 1.57 | 1/23/2020 | 4,385,000 | 4,452,529 | ||||||||
CCCIT_13-A4 | 0.84 | 7/24/2020 | 10,000,000 | 9,992,000 | ||||||||
CCCIT_14-A8 | 1.73 | 4/9/2020 | 4,630,000 | 4,640,186 | ||||||||
CHASE ISSUANCE TRUST | 0.65 | 2/15/2020 | 2,600,000 | 2,595,074 | ||||||||
DISCOVER CARD MASTER TRUST | 1.45 | 3/15/2021 | 3,500,000 | 3,465,350 | ||||||||
GE CAPITAL CREDIT CARD MASTER | 1.74 | 9/15/2021 | 2,520,000 | 2,499,971 | ||||||||
MBNA CREDIT CARD MASTER NOTE T | 0.59 | 8/16/2021 | 10,000,000 | 9,924,000 | ||||||||
BACCT_14-A2 | 0.60 | 9/16/2019 | 4,000,000 | 3,993,200 | ||||||||
CHAIT_15-A2 | 1.59 | 2/18/2020 | 16,500,000 | 16,481,850 | ||||||||
CHAIT_15-A5 | 1.36 | 4/15/2020 | 2,500,000 | 2,482,000 | ||||||||
SYNCT_15-1 | 2.37 | 3/15/2023 | 1,530,000 | 1,524,798 | ||||||||
AMCAR_14-3 | 0.64 | 4/9/2018 | 3,301,203 | 3,296,286 | ||||||||
AMCAR_15-1 | 0.77 | 4/9/2018 | 1,137,188 | 1,135,496 | ||||||||
AMCAR_15-4 | 1.26 | 4/8/2019 | 2,250,000 | 2,245,946 | ||||||||
CARMAX AUTO OWNER TRUST CARMX_ | 1.16 | 6/17/2019 | 4,500,000 | 4,483,800 | ||||||||
CARMX_14-4 | 1.25 | 11/15/2019 | 2,850,000 | 2,833,755 | ||||||||
FORDO_15C | 1.41 | 2/15/2020 | 1,800,000 | 1,790,460 | ||||||||
WOART 2014-B | 1.14 | 1/15/2020 | 5,670,000 | 5,639,949 | ||||||||
WOART_15-B | 1.49 | 12/15/2020 | 1,090,000 | 1,076,811 | ||||||||
HAROT_15-1 | 1.05 | 10/15/2018 | 2,950,000 | 2,936,135 | ||||||||
HAROT_15-4 | 1.23 | 9/23/2019 | 2,220,000 | 2,197,578 | ||||||||
FORDR_15-1 | 2.12 | 7/15/2026 | 2,430,000 | 2,399,352 | ||||||||
MOTOR_15-1 | 1.02 | 6/25/2022 | 2,557,675 | 2,558,953 | ||||||||
SDART_14-4 | 0.67 | 1/16/2018 | 1,381,824 | 1,381,390 | ||||||||
ALLYA_15-1 | 1.39 | 9/16/2019 | 480,000 | 476,976 | ||||||||
ALLYL_15-SN1 | 1.21 | 3/20/2017 | 400,000 | 398,680 | ||||||||
GMALT_15-1 | 1.53 | 9/20/2018 | 3,100,000 | 3,084,500 | ||||||||
ALFT_13-1A | 1.22 | 12/26/2044 | 11,285,948 | 11,109,818 | ||||||||
AGSL_03-1 | 1.91 | 12/26/2035 | 4,100,000 | 3,606,934 | ||||||||
AGSL_03-1 | 1.57 | 12/26/2035 | 3,600,000 | 3,159,864 | ||||||||
AGSL_03-1 | 1.79 | 12/27/2032 | 5,350,000 | 4,394,437 | ||||||||
ALLSL_13-I | 1.22 | 2/25/2041 | 13,133,030 | 12,742,846 | ||||||||
BRAZOS HIGHER EDUCATION AUTHOR | 0.72 | 12/26/2019 | 281,275 | 279,386 | ||||||||
EFS VOLUNTEER NO 2 LLC EFSV2_1 | 1.30 | 7/26/2027 | 2,318,275 | 2,285,267 | ||||||||
EDUSA_15-1 | 1.22 | 10/25/2056 | 3,113,434 | 3,050,264 | ||||||||
EDUSA_10-1 | 1.17 | 7/25/2023 | 715,629 | 702,879 | ||||||||
EDUCATIONAL SERVICES OF AMERIC | 1.12 | 2/25/2039 | 10,076,949 | 9,957,958 | ||||||||
EDUSA_14-3 | 1.02 | 2/25/2036 | 10,355,236 | 9,738,709 | ||||||||
ELAB_13-1A | 1.22 | 6/25/2026 | 3,180,970 | 3,155,768 |
Page 51
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
GCO EDUCATION LOAN FUNDING TRU | 0.46 | 5/25/2023 | 281,747 | 278,908 | ||||||||
GCFT_06-1 | 0.51 | 11/25/2026 | 812,274 | 806,628 | ||||||||
MEFA | 1.27 | 4/25/2038 | 1,644,312 | 1,646,795 | ||||||||
MHEAC_14-1 | 1.10 | 10/25/2035 | 8,051,499 | 7,868,956 | ||||||||
MISSOURI HIGHER ED LN AUTH STU | 1.24 | 8/27/2029 | 2,073,705 | 2,034,802 | ||||||||
MHESA_12-1 | 1.40 | 5/20/2030 | 25,839,233 | 25,988,222 | ||||||||
NELS_05-2 | 0.67 | 12/23/2019 | 939,915 | 936,911 | ||||||||
NSLT_05-4 | 0.72 | 6/22/2026 | 4,038,000 | 3,978,511 | ||||||||
NSLT_13-5A | 1.05 | 1/25/2037 | 3,340,580 | 3,253,487 | ||||||||
NEF_12-1 | 1.12 | 12/26/2031 | 1,349,273 | 1,303,993 | ||||||||
PHEAA_14-2A | 0.99 | 2/25/2043 | 3,536,291 | 3,392,455 | ||||||||
PANHANDLE-PLAINS HIGHER EDUCAT | 1.46 | 10/1/2035 | 3,688,911 | 3,686,624 | ||||||||
PHEAA_04-1 | 1.70 | 4/25/2044 | 2,000,000 | 1,978,580 | ||||||||
PHEAA_04-1 | 1.83 | 4/25/2044 | 6,000,000 | 5,901,180 | ||||||||
SLMA_03-14 | 0.55 | 1/25/2023 | 1,977,599 | 1,953,868 | ||||||||
SLMA_05-9 | 0.44 | 1/27/2025 | 1,271,794 | 1,267,995 | ||||||||
SLM STUDENT LOAN TRUST SLMA_06 | 0.40 | 7/25/2019 | 1,180,297 | 1,169,274 | ||||||||
SLM STUDENT LOAN TRUST SLMA_06 | 0.39 | 10/25/2022 | 673,858 | 671,604 | ||||||||
SLMA | 2.02 | 7/25/2023 | 2,950,000 | 2,962,390 | ||||||||
SLM STUDENT LOAN TRUST SLMA_08 | 1.82 | 4/25/2023 | 2,000,000 | 2,000,000 | ||||||||
SCHOL_10-A | 1.07 | 10/28/2041 | 2,672,801 | 2,608,289 | ||||||||
SCHOL_12-B | 0.82 | 10/28/2025 | 835,316 | 834,645 | ||||||||
SCHOL_13-A | 1.07 | 1/30/2045 | 606,265 | 565,058 | ||||||||
STUDENT LOAN CON | 1.64 | 10/25/2027 | 12,708,115 | 12,735,658 | ||||||||
WACHOVIA STUDENT LOAN TRUST WS | 0.45 | 1/26/2026 | 1,507,997 | 1,478,519 | ||||||||
SLMA_03-5 | 0.14 | 6/17/2024 | 815,758 | 832,546 | ||||||||
SLMA | 0.42 | 12/15/2027 | 2,670,000 | 2,726,657 | ||||||||
ACASC_07-1 | 0.55 | 4/20/2021 | 2,236,075 | 2,210,856 | ||||||||
ACIS_13 | 1.19 | 4/18/2024 | 12,211,343 | 11,784,960 | ||||||||
ACIS_13-1 | 0.82 | 10/14/2022 | 13,070,536 | 12,903,795 | ||||||||
ACIS CLO LTD ACIS_14-4A | 2.10 | 5/1/2026 | 1,113,736 | 1,038,392 | ||||||||
ACIS_14-4A | 1.81 | 5/1/2026 | 8,650,000 | 8,348,980 | ||||||||
SAPPH 2006-1A E | 0.98 | 11/1/2018 | 7,922,014 | 7,853,766 | ||||||||
ALM_12-5A | 1.74 | 10/18/2027 | 3,000,000 | 2,985,828 | ||||||||
ALM_15-17A | 0.00 | 1/15/2028 | 4,250,000 | 3,748,075 | ||||||||
ANCHC_14-4A | 1.77 | 7/28/2026 | 12,450,000 | 12,300,612 | ||||||||
ANCHC_14-4A | 2.48 | 7/28/2026 | 3,600,000 | 3,501,612 | ||||||||
APID_06-QA | 0.57 | 1/20/2019 | 31,102 | 31,089 | ||||||||
APID_15-21A | 1.71 | 7/18/2027 | 2,020,000 | 1,993,134 | ||||||||
ARES | 1.02 | 11/25/2020 | 3,441,618 | 3,404,913 | ||||||||
ARES CLO LTD ARES_14-1A | 1.84 | 4/17/2026 | 5,000,000 | 4,956,675 | ||||||||
ARES_15-2A | 2.49 | 7/29/2026 | 1,500,000 | 1,486,445 | ||||||||
ATLAS SENIOR LOAN FUND LTD ATC | 0.00 | 2/17/2026 | 15,300,000 | 6,003,766 | ||||||||
ATRM_14-11A | 1.76 | 10/23/2025 | 6,000,000 | 5,937,222 | ||||||||
ATRM_11A | 2.47 | 10/23/2025 | 1,000,000 | 991,829 |
Page 52
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
BENEFIT STREET PARTNERS CLO IV | 1.81 | 7/20/2026 | 14,100,000 | 13,994,250 | ||||||||
BLACK DIAMOND CLO LTD BLACK_06 | 0.57 | 4/29/2019 | 2,832,289 | 2,772,556 | ||||||||
BLUEM _15-4A | 0.00 | 1/20/2027 | 2,000,000 | 1,764,000 | ||||||||
BLUEM_15-1A | 2.57 | 4/13/2027 | 1,790,000 | 1,774,944 | ||||||||
BLUE MOUNTAIN CLO LTD BLUEM_15 | 1.71 | 7/18/2027 | 2,730,000 | 2,692,695 | ||||||||
BRENT_06-1A | 0.60 | 2/1/2022 | 4,995,630 | 4,911,174 | ||||||||
CIFC_14-2A | 1.86 | 5/26/2026 | 2,500,000 | 2,470,195 | ||||||||
CGMS_14-3A | 5.42 | 7/27/2026 | 3,500,000 | 2,930,698 | ||||||||
CGCMT_07-C6 | 6.59 | 1/20/2028 | 1,000,000 | 886,500 | ||||||||
CGMS_15-5A | 3.38 | 1/20/2028 | 4,000,000 | 3,992,656 | ||||||||
CENT_23 | 5.72 | 4/17/2026 | 4,500,000 | 3,656,250 | ||||||||
CRNPT_15-3A | 1.86 | 12/31/2027 | 19,600,000 | 19,117,840 | ||||||||
DRYDEN SENIOR LOAN FUND DRSLF_ | 1.70 | 7/15/2027 | 1,600,000 | 1,584,738 | ||||||||
DRSLF_11-22A | 1.49 | 1/15/2022 | 4,001,222 | 3,992,099 | ||||||||
GALXY_15-19A | 1.87 | 1/24/2027 | 4,000,000 | 3,965,852 | ||||||||
GALE | 0.56 | 4/19/2021 | 4,188,119 | 4,116,108 | ||||||||
GALLATIN FUNDING LTD GALL_13-1 | 1.47 | 7/15/2024 | 12,000,000 | 11,796,000 | ||||||||
GALL_14-1A | 0.00 | 7/15/2023 | 5,150,000 | 2,003,350 | ||||||||
GOLDS_07-5A | 1.01 | 10/18/2021 | 3,475,892 | 3,455,704 | ||||||||
CECLO_15-23A | 5.87 | 4/18/2027 | 2,000,000 | 1,709,050 | ||||||||
HLA_14-2A | 2.32 | 4/28/2025 | 4,500,000 | 4,294,953 | ||||||||
HICDO_07-1RA | 0.76 | 11/12/2019 | 2,854,704 | 2,827,367 | ||||||||
ICG_14-1A | 1.47 | 4/20/2026 | 9,900,000 | 9,670,884 | ||||||||
KKR FINANCIAL CLO LTD KKR_07-1 | 0.71 | 5/15/2021 | 8,677,053 | 8,607,637 | ||||||||
LCM_14-X | 1.58 | 4/15/2022 | 5,743,024 | 5,721,580 | ||||||||
MDPK_14-13A | 5.32 | 1/19/2025 | 250,000 | 214,373 | ||||||||
MDPK_15-19A | 6.86 | 1/22/2028 | 4,000,000 | 3,662,000 | ||||||||
MANGE_15-16A | 6.96 | 1/18/2028 | 3,000,000 | 2,732,400 | ||||||||
MCBSL_15-1A | 2.58 | 5/22/2027 | 550,000 | 518,679 | ||||||||
MCBSL_15-1A | 1.93 | 5/22/2027 | 8,900,000 | 8,562,690 | ||||||||
NAUTIQUE FUNDING LTD NAUTQ_06- | 0.57 | 4/15/2020 | 1,296,601 | 1,285,570 | ||||||||
NEUB_14-16A | 4.52 | 4/15/2026 | 750,000 | 578,453 | ||||||||
OCP_12-2A | 1.20 | 11/22/2023 | 10,171,481 | 9,998,851 | ||||||||
OCP_14-5A | 1.30 | 4/26/2026 | 11,000,000 | 10,688,944 | ||||||||
OFSBS_13-5A | 1.25 | 4/17/2025 | 9,500,000 | 9,251,765 | ||||||||
OFSBS_14-6A | 1.35 | 3/20/2025 | 11,000,000 | 10,607,168 | ||||||||
OFSBS_14-7A | 1.66 | 10/18/2026 | 1,200,000 | 1,173,530 | ||||||||
OZLM _14-8A | 5.27 | 10/17/2026 | 3,500,000 | 2,800,000 | ||||||||
OAKC_15-12A | 0.00 | 1/23/2027 | 4,000,000 | 3,770,000 | ||||||||
OCTR_06-1A | 0.57 | 10/12/2020 | 673,099 | 668,017 | ||||||||
OCT12_12-1AR | 1.60 | 5/5/2023 | 6,876,249 | 6,813,764 | ||||||||
OCT24_15-1A | 1.73 | 5/21/2027 | 2,115,000 | 2,086,560 | ||||||||
OCT21_14-1A | 1.83 | 11/14/2026 | 8,000,000 | 7,907,368 | ||||||||
OCT21_14-1A | 2.76 | 11/14/2026 | 1,000,000 | 998,663 | ||||||||
RACEP_11-5AR | 1.81 | 12/15/2022 | 4,710,548 | 4,678,733 |
Page 53
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
SCOF_15-2A | 0.00 | 1/15/2028 | 4,000,000 | 3,535,600 | ||||||||
SAPPH_06-1A | 0.59 | 12/15/2022 | 1,695,280 | 1,671,408 | ||||||||
SMORE 2014-1A | 1.81 | 5/15/2026 | 5,950,000 | 5,836,950 | ||||||||
SILVERMORE CLO LTD SMORE_14-1A | 2.41 | 5/15/2026 | 1,150,000 | 1,086,575 | ||||||||
STCLO_07 6A | 0.55 | 4/17/2021 | 707,414 | 697,935 | ||||||||
SYMPH_5 | 1.07 | 1/15/2024 | 9,646,187 | 9,394,084 | ||||||||
VENT_8 | 0.60 | 7/22/2021 | 952,592 | 935,466 | ||||||||
VENTURE CDO LTD VENTR_07-8A | 0.54 | 7/22/2021 | 1,069,229 | 1,052,295 | ||||||||
VOYA_14-2A | 1.77 | 7/17/2026 | 8,000,000 | 7,919,928 | ||||||||
VOYA CLO LTD VOYA_15-1A | 1.80 | 4/18/2027 | 1,670,000 | 1,651,633 | ||||||||
VOYA_14-4A | 2.72 | 10/14/2026 | 2,000,000 | 1,997,632 | ||||||||
WGH_06-1A | 0.67 | 5/24/2019 | 446,380 | 443,327 | ||||||||
WASAT_06-1A | 0.60 | 11/14/2022 | 7,870,624 | 7,549,959 | ||||||||
ZAIS_14-1A | 1.72 | 4/15/2026 | 8,000,000 | 7,892,856 | ||||||||
ZAIS2_14-2A | 2.42 | 7/25/2026 | 4,020,000 | 3,831,780 | ||||||||
GALATTIN FUNDS LTD GALL_13-1X | 0.00 | 7/15/2024 | 7,350,000 | 2,697,450 | ||||||||
GALLATIN FUNDING LTD GALL_12-1 | 0.00 | 10/15/2023 | 3,445,000 | 1,023,165 | ||||||||
AMSI_03-10 | 1.18 | 12/25/2033 | 5,499,507 | 5,345,267 | ||||||||
AEPWV_13-1 | 2.01 | 2/1/2024 | 3,933,315 | 3,918,021 | ||||||||
ABFC_03-OPT1 | 1.10 | 4/25/2033 | 2,534,894 | 2,412,484 | ||||||||
AESOP_15-2A | 2.63 | 12/20/2021 | 10,950,000 | 10,812,504 | ||||||||
CNH_15-C | 1.10 | 12/15/2018 | 1,650,000 | 1,647,546 | ||||||||
BLUEMT_13-3A | 3.33 | 7/17/2032 | 4,275,000 | 4,083,967 | ||||||||
FORDF_14-1 | 0.73 | 2/15/2019 | 16,000,000 | 15,964,800 | ||||||||
JDOT_14-B | 1.07 | 11/15/2018 | 3,460,000 | 3,443,881 | ||||||||
OCT19_14-1A | 5.17 | 4/15/2026 | 250,000 | 195,665 | ||||||||
SOUNDVIEW HOME EQUITY LOAN TRU | 1.72 | 11/25/2033 | 1,591,283 | 1,572,274 | ||||||||
SAIL_03-B2 | 1.10 | 4/25/2033 | 5,877,726 | 5,685,839 | ||||||||
SAIL_04-6 | 1.22 | 7/25/2034 | 4,650,011 | 4,381,612 | ||||||||
SAIL_04-7 | 1.26 | 8/25/2034 | 4,788,491 | 4,691,967 | ||||||||
762,329,444 | $ | 726,174,081 | ||||||||||
Total Fixed Income Securities | 19,291,617,279 | $ | 7,201,538,224 | |||||||||
Other Invested Assets - High Yield Fund | ||||||||||||
CRESCENT CAPITAL HIGH YIELD FUND | $ | 13,773,606 | ||||||||||
Equities | ||||||||||||
AMERICAN EXPRESS COMPANY | 74,000 | $ | 5,146,700 | |||||||||
APPLE INC | 29,000 | 3,052,540 | ||||||||||
BAIDU INC | 2,764 | 522,507 | ||||||||||
BERKSHIRE HATHAWAY INC | 48,000 | 6,337,920 | ||||||||||
BOEING CO | 33,000 | 4,771,470 | ||||||||||
CSX CORPORATION | 86,000 | 2,231,700 | ||||||||||
CENTERRA GOLD INC | 49,700 | 235,781 |
Page 54
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CHEMOURS COMPANY LLC | 1 | 4 | ||||||||||
EMC CORP/ MASSACHUSETTS | 135,000 | 3,466,800 | ||||||||||
EBAY INC. | 145,000 | 3,984,600 | ||||||||||
ELDORADO GOLD CORP | 58,165 | 172,750 | ||||||||||
FOMENTO ECONOMICO MEXICANO SAB | 10,610 | 979,834 | ||||||||||
HILLENBRAND INDUSTRIES INC | 49,000 | 2,354,940 | ||||||||||
HYATT HOTELS CORP | 52,000 | 2,445,040 | ||||||||||
KINROSS GOLD CORP | 124,927 | 227,367 | ||||||||||
MICROSOFT CORP | 54,000 | 2,995,920 | ||||||||||
MONDELEZ INTERNATIONAL INC | 61,000 | 2,735,240 | ||||||||||
MOTOROLA SOLUTIONS INC | 83,000 | 5,681,350 | ||||||||||
NATIONAL FUEL GAS CO | 39,000 | 1,667,250 | ||||||||||
NIKON CORP. | 32,900 | 444,428 | ||||||||||
OMNICOM GROUP INC | 26,000 | 1,967,160 | ||||||||||
PAINTED PONY PETROLEUM LTD | 20,200 | 50,605 | ||||||||||
PFIZER INC | 170,000 | 5,487,600 | ||||||||||
PITNEY BOWES INC. | 200,000 | 4,130,000 | ||||||||||
PROCTER & GAMBLE COMPANY | 25,000 | 1,985,250 | ||||||||||
RAYTHEON COMPANY | 26,500 | 3,300,045 | ||||||||||
ROCKWELL AUTOMATION INC | 13,000 | 1,333,930 | ||||||||||
HENRY SCHEIN INC | 16,500 | 2,610,135 | ||||||||||
SCHLUMBERGER LTD | 45,000 | 3,138,750 | ||||||||||
CHARLES SCHWAB CORPORATIO | 70,000 | 2,305,100 | ||||||||||
SCOTTS COMPANY THE | 25,000 | 1,612,750 | ||||||||||
SHINHAN FINANC | 5,230 | 175,676 | ||||||||||
STANLEY BLACK & DECKER INC | 49,000 | 5,229,770 | ||||||||||
STATE STREET CORP | 138,500 | 3,833,680 | ||||||||||
TAIWAN SEMICONDUCTOR MANUFACTU | 43,460 | 988,715 | ||||||||||
URANIUM PARTICIPATION CORP | 50,600 | 186,868 | ||||||||||
WELLS FARGO & COMPANY | 95,000 | 5,164,200 | ||||||||||
NCR CORP | 120,000 | 2,935,200 | ||||||||||
ACTIVISION BLIZZARD INC | 87,000 | 3,367,770 | ||||||||||
AETNA INC | 26,000 | 2,811,120 | ||||||||||
ALIBABA GROUP HOLDING LTD | 7,330 | 595,709 | ||||||||||
CARDINAL HEALTH INC | 63,000 | 5,624,010 | ||||||||||
CISCO SYSTEMS INC | 155,000 | 4,209,025 | ||||||||||
GOLDMAN SACHS GROUP INC/THE | 39,000 | 7,028,970 | ||||||||||
HCA HOLDINGS INC | 72,000 | 4,869,360 | ||||||||||
ICICI BANK LTD | 235,898 | 1,847,081 | ||||||||||
INTERCONTINENTALEXCHANGE INC | 25,600 | 6,560,256 | ||||||||||
JPMORGAN CHASE & CO | 107,000 | 7,065,210 | ||||||||||
KB FINANCIAL GROUP INC | 9,917 | 276,387 | ||||||||||
KT CORPORATION | 41,525 | 494,563 | ||||||||||
METHANEX CORPORATION | 70,000 | 2,310,700 | ||||||||||
PAYPAL HOLDINGS INC | 114,000 | 4,126,800 |
Page 55
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
PETROLEO BRASILEIRO SA | 46,501 | 199,954 | ||||||||||
SEALED AIR CORP | 103,000 | 4,593,800 | ||||||||||
3M CO | 30,500 | 4,594,520 | ||||||||||
NEWS CORP-CL A | 153,000 | 4,155,480 | ||||||||||
VIPSHOP HOLDINGS LTD | 53,270 | 813,433 | ||||||||||
CHINA LIFE INSURANCE CO LTD (C | 204,000 | 659,368 | ||||||||||
PARAMOUNT BED HOLDINGS CO LTD | 4,930 | 176,225 | ||||||||||
CRH PLC | 33,177 | 963,811 | ||||||||||
UNICREDITO ITALIANO S.P.A. | 176,679 | 985,542 | ||||||||||
LEG IMMOBILIEN AG | 7,742 | 634,965 | ||||||||||
BANCHE POPOLARI UNITE SCRL | 102,201 | 1 | ||||||||||
INFINEON TECHNOLOGIES AG | 47,842 | 701,865 | ||||||||||
TELEFONICA SA | 42,987 | 477,942 | ||||||||||
SAFRAN SA | 11,265 | 775,469 | ||||||||||
THALES SA | 4,832 | 362,706 | ||||||||||
ANGLO AMERICAN PLC | 36,917 | 162,937 | ||||||||||
AQUARIUS PLATINUM LTD | 385,342 | 63,895 | ||||||||||
HOME RETAIL GROUP | 117,931 | 173,036 | ||||||||||
BERENDSEN PLC | 19,403 | 308,573 | ||||||||||
DAPHNE INTERNATIONAL HOLDINGS | 854,000 | 143,249 | ||||||||||
HOLLYSYS AUTOMATION TECHNOLOGI | 23,620 | 523,892 | ||||||||||
KINGBOARD LAMINATES HOLDINGS L | 530,000 | 240,718 | ||||||||||
MARKIT LTD | 27,230 | 821,529 | ||||||||||
NEW WORLD DEPARTMENT STORE CHI | 544,000 | 82,827 | ||||||||||
SANDS CHINA LTD | 321,200 | 1,100,348 | ||||||||||
SMURFIT KAPPA GROUP PLC | 24,668 | 630,798 | ||||||||||
HOLCIM LTD | 21,108 | 1,060,672 | ||||||||||
GREE INC | 50,300 | 240,848 | ||||||||||
ISUZU MOTORS LTD | 31,480 | 343,861 | ||||||||||
ITOCHU CORP | 29,740 | 356,499 | ||||||||||
JGC CORP | 14,600 | 226,109 | ||||||||||
KINDEN CORP | 33,480 | 431,389 | ||||||||||
NEC CORP | 213,000 | 681,699 | ||||||||||
NIDEC CORP | 10,200 | 749,303 | ||||||||||
NISHIMATSUYA CHAIN CO., LTD. | 29,200 | 255,116 | ||||||||||
NITTO DENKO CORP | 4,100 | 303,747 | ||||||||||
SUMITOMO BAKELITE CO., LTD. | 75,000 | 314,851 | ||||||||||
MOBILEYE NV | 24,948 | 1,054,801 | ||||||||||
ROYAL PHILIPS ELECTRONICS N.V. | 12,610 | 322,731 | ||||||||||
WOLTERS KLUWER NV | 24,464 | 822,902 | ||||||||||
SINOVAC BIOTECH LTD | 36,358 | 207,968 | ||||||||||
ARM HOLDINGS PLC | 80,835 | 1,237,893 | ||||||||||
BALFOUR BEATTY PLC | 189,137 | 753,234 | ||||||||||
BRITISH SKY BROADCASTING GRP P | 131,776 | 2,159,778 | ||||||||||
DIPLOMA PLC | 8,329 | 93,421 |
Page 56
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
DIAGEO PLC | 37,192 | 1,017,683 | ||||||||||
BRITISH AMER TOBACCO PLC | 29,374 | 1,632,630 | ||||||||||
SPECTRIS PLC | 23,183 | 615,733 | ||||||||||
HALMA PLC | 24,408 | 311,183 | ||||||||||
STANDARD CHARTERED PLC | 67,591 | 561,573 | ||||||||||
HAYS PLC | 139,792 | 300,612 | ||||||||||
JARDINE LLOYD THOMPSON GROUP P | 16,029 | 218,533 | ||||||||||
HSBC HOLDINGS PLC | 166,267 | 1,314,017 | ||||||||||
INTU PROPERTIES PLC | 216,651 | 1,013,208 | ||||||||||
PRUDENTIAL PLC | 44,862 | 1,012,329 | ||||||||||
BP PLC | 208,094 | 1,085,753 | ||||||||||
SIG PLC | 107,674 | 227,894 | ||||||||||
ULTRA ELECTRONICS HOLDINGS | 10,628 | 309,533 | ||||||||||
SMITH & NEPHEW PLC | 136,084 | 2,422,936 | ||||||||||
VICTREX PLC | 7,686 | 204,364 | ||||||||||
ASTRAZENECA PLC | 61,349 | 4,174,345 | ||||||||||
BARRICK GOLD CORPORATION | 23,100 | 170,286 | ||||||||||
CANADIAN NATURAL RESOURCES LTD | 35,200 | 765,779 | ||||||||||
COMPANHIA PARANAENSE DE ENERGI | 14,100 | 86,605 | ||||||||||
NORTHERN DYNASTY MINERALS | 16,100 | 4,868 | ||||||||||
ENCANA CORP | 16,400 | 82,998 | ||||||||||
IMPALA PLATINUM HOLDINGS LTD | 80,618 | 130,275 | ||||||||||
LOREAL SA | 9,590 | 1,617,856 | ||||||||||
GFI INFORMATIQUE | 6,940 | 62,724 | ||||||||||
INTESA SANPAOLO SPA | 238,133 | 798,816 | ||||||||||
HELLENIC EXCHANGES SA | 89,032 | 512,592 | ||||||||||
BANCA EMILIA | 31,206 | 238,650 | ||||||||||
BELIMO HOLDING AG | 85 | 208,042 | ||||||||||
CRH PLC | 43,106 | 1,250,255 | ||||||||||
ELLAKTOR SA | 50,498 | 79,541 | ||||||||||
UNITED INTERNET | 9,984 | 552,150 | ||||||||||
MAGYAR TELEKOM TELECOMMUNICATI | 192,695 | 268,938 | ||||||||||
INFICON HLDG AG | 506 | 161,885 | ||||||||||
PERNOD-RICARD SA | 8,125 | 928,515 | ||||||||||
RENAULT S.A. | 3,563 | 358,523 | ||||||||||
ANHEUSER-BUSCH INBEV NV | 19,462 | 2,418,596 | ||||||||||
RWE AG | 12,886 | 163,917 | ||||||||||
LUXOTTICA GRP SPA | 12,251 | 803,819 | ||||||||||
SCHNEIDER ELECTRIC SE | 24,354 | 1,390,514 | ||||||||||
STOREBRAND ASA | 98,389 | 388,494 | ||||||||||
TRELLEBORG AB | 35,172 | 687,537 | ||||||||||
VALEO SA | 5,439 | 842,240 | ||||||||||
E.ON SE | 25,533 | 247,715 | ||||||||||
METRO AG | 10,101 | 324,353 | ||||||||||
HELLENIC TELECOM ORG S.A. | 177,235 | 1,778,981 |
Page 57
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
BAYER AG | 7,498 | 943,200 | ||||||||||
BEIERSDORF AG | 17,840 | 1,630,986 | ||||||||||
ORANGE SA | 31,973 | 537,829 | ||||||||||
SAMPO OYJ | 11,380 | 581,018 | ||||||||||
DEUTSCHE LUFTHANSA AG | 38,956 | 616,360 | ||||||||||
RHEINMETALL AG | 18,906 | 1,262,651 | ||||||||||
NORDEA BANK AB | 76,435 | 845,893 | ||||||||||
AKZO NOBEL NV | 7,935 | 531,669 | ||||||||||
SALZGITTER AG | 9,818 | 242,369 | ||||||||||
POSTNL NV | 140,720 | 535,025 | ||||||||||
MOBISTAR SA | 15,607 | 378,580 | ||||||||||
UCB SA | 19,361 | 1,750,481 | ||||||||||
ALTEN SA | 4,333 | 251,398 | ||||||||||
SOPRA GROUP SA | 4,086 | 480,703 | ||||||||||
VISCOFAN SA | 3,347 | 202,298 | ||||||||||
TUI AG | 36,922 | 673,219 | ||||||||||
AGFA-GEVAERT NV | 49,693 | 282,863 | ||||||||||
WIENERBERGER AG | 52,188 | 968,863 | ||||||||||
VICAT SA | 4,404 | 264,750 | ||||||||||
BUZZI UNICEM SPA | 24,614 | 443,854 | ||||||||||
SUEDZUCKER AG | 15,797 | 314,720 | ||||||||||
DEVOTEAM SA | 2,646 | 96,291 | ||||||||||
BEKAERT SA NV | 9,048 | 278,992 | ||||||||||
KONINKLIJKE KPN NV | 167,999 | 637,281 | ||||||||||
LINDT & SPRUENGLI AG | 31 | 193,711 | ||||||||||
SOCIETE GENERALE-A | 12,671 | 585,955 | ||||||||||
GIVAUDAN S.A. | 119 | 216,720 | ||||||||||
METROPOLE TELEVISION SA | 15,882 | 273,281 | ||||||||||
AICHI STEEL CORP | 17,000 | 80,552 | ||||||||||
AISAN INDUSTRY CO LTD | 18,800 | 195,509 | ||||||||||
AMANO CORP | 18,400 | 251,921 | ||||||||||
NET ONE SYSTEMS | 43,800 | 282,181 | ||||||||||
ASAHI BREWERIES, LTD. | 9,300 | 293,700 | ||||||||||
NISSIN KOGYO | 41,600 | 608,637 | ||||||||||
BENESSE HOLDINGS INC | 4,400 | 127,653 | ||||||||||
AVEX GROUP HOLDINGS INC | 12,300 | 147,340 | ||||||||||
MOSHI MOSHI HOTLINE INC | 10,600 | 91,641 | ||||||||||
FUNAI ELE CO., LTD. | 49,180 | 417,005 | ||||||||||
ALPHA SYSTEMS INC | 2,800 | 45,342 | ||||||||||
CANON INC | 26,600 | 812,627 | ||||||||||
CHUBU STEEL PLATE CO. LTD. | 16,000 | 70,094 | ||||||||||
ITOCHU TECHNO-SOLUTIONS CORP | 17,000 | 342,275 | ||||||||||
KDDI CORP | 43,120 | 1,130,558 | ||||||||||
DAH SING FINANCIAL | 25,200 | 125,998 | ||||||||||
EXEDY CORP | 14,000 | 342,275 |
Page 58
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
DAITO TR CONSTR CO., LTD. | 4,550 | 529,910 | ||||||||||
DAINIPPON SCREEN MANUFACTURING | 60,000 | 447,899 | ||||||||||
DAIICHIKOSHO CO LTD | 6,610 | 264,026 | ||||||||||
WESTERN AREAS NL | 76,267 | 124,293 | ||||||||||
MITSUBISHI UFJ LEASE & FINANCE | 132,200 | 690,150 | ||||||||||
TV ASAHI CORP | 21,840 | 381,263 | ||||||||||
CAWACHI LTD. | 11,800 | 231,694 | ||||||||||
ADASTRIA HOLDINGS CO LTD | 4,800 | 271,333 | ||||||||||
EIGHTEENTH BANK LIMITED | 15,000 | 44,141 | ||||||||||
EISAI CO LTD | 44,900 | 3,009,507 | ||||||||||
ENN ENERGY HOLDINGS LTD | 115,000 | 613,569 | ||||||||||
MITSUBISHI TOKYO FINANCIAL GRP | 360,640 | 2,269,758 | ||||||||||
EN-JAPAN INC. | 8,200 | 304,019 | ||||||||||
FUJIMI INC | 7,000 | 98,109 | ||||||||||
FUJI HEAVY IND LTD | 10,710 | 447,559 | ||||||||||
FUJI MACHINE MFG. CO., LTD. | 6,700 | 71,347 | ||||||||||
FUJITSU LTD | 132,000 | 665,953 | ||||||||||
PROTO CORP | 4,800 | 66,397 | ||||||||||
HIS | 6,100 | 206,131 | ||||||||||
RESOLUTE MINING LTD | 580,247 | 105,540 | ||||||||||
PAL CO LTD | 15,850 | 384,079 | ||||||||||
HISAKA WORKS LTD | 14,800 | 118,971 | ||||||||||
HITACHI CHEM CO LTD | 13,300 | 214,047 | ||||||||||
HONDA MOTOR CO LTD | 22,900 | 744,328 | ||||||||||
HOSIDEN CORP | 85,800 | 487,861 | ||||||||||
INABA DENKISANGYO CO LTD | 7,490 | 241,894 | ||||||||||
JAPAN DIGITAL LABORATORY CO LT | 10,500 | 143,846 | ||||||||||
JAPAN STEEL WORKS LTD/THE | 85,000 | 301,717 | ||||||||||
JSR CORP | 30,400 | 479,900 | ||||||||||
JAPAN TOBACCO INC. | 9,730 | 361,635 | ||||||||||
AEON DELIGHT CO. LTD. | 11,250 | 363,326 | ||||||||||
KEIHIN CORP | 24,000 | 426,551 | ||||||||||
KURODA ELEC CO. LTD. | 32,000 | 597,199 | ||||||||||
TOKIO MARINE HOLDINGS INC | 9,800 | 383,870 | ||||||||||
CMIC HOLDINGS CO LTD | 10,400 | 133,226 | ||||||||||
SUMITOMO MITSUI FIN GRP INC | 32,820 | 1,256,652 | ||||||||||
MARUICHI STEEL TUBE LTD. | 7,500 | 223,825 | ||||||||||
MIZUHO FINANCIAL GROUP | 319,100 | 645,919 | ||||||||||
MIMASU SEMICONDUCTOR IND CO., | 11,700 | 112,823 | ||||||||||
MITSUI CHEMICALS INC | 61,000 | 274,841 | ||||||||||
MITSUMI ELEC CO., LTD. | 10,100 | 57,849 | ||||||||||
NAMURA SHIPBUILDING CO LTD | 23,100 | 192,604 | ||||||||||
PANAHOME CORP | 33,040 | 252,136 | ||||||||||
NETUREN CO LTD | 18,500 | 145,945 | ||||||||||
NICHICON CORP | 62,000 | 490,660 |
Page 59
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
NINTENDO CO LTD | 12,379 | 1,724,179 | ||||||||||
NSD CO LTD | 17,370 | 253,269 | ||||||||||
NIPPO CORP | 17,400 | 285,239 | ||||||||||
NTT CORP | 15,190 | 610,656 | ||||||||||
HITACHI HIGH-TECHNOLOGIES CORP | 8,140 | 222,624 | ||||||||||
NIPPON TELEVISION HOLDINGS INC | 22,300 | 410,797 | ||||||||||
OITA BANK LTD | 24,000 | 94,168 | ||||||||||
ONO PHARM CO., LTD. | 17,910 | 3,229,294 | ||||||||||
PACIFIC MTLS CO., LTD. | 47,000 | 132,449 | ||||||||||
HAZAMA ANDO CORP | 29,100 | 158,448 | ||||||||||
MELCO HOLDINGS INC | 12,800 | 237,283 | ||||||||||
PIONEER CORP | 124,900 | 347,824 | ||||||||||
QANTAS AIRWAYS LTD | 54,036 | 160,794 | ||||||||||
JAPAN PETROLEUM EXPLORATION CO | 24,100 | 654,113 | ||||||||||
HONEYS CO LTD | 19,970 | 173,147 | ||||||||||
T&D HOLDINGS INC | 120,500 | 1,611,742 | ||||||||||
ROHM CO LTD. | 5,800 | 297,967 | ||||||||||
ANGLO PLATINUM LTD | 11,015 | 131,749 | ||||||||||
SAN-IN GODO BK, LTD. | 29,000 | 238,663 | ||||||||||
SANKYO CO LTD | 7,300 | 274,596 | ||||||||||
SHIMAMURA CO., LTD. | 5,100 | 604,564 | ||||||||||
SHINKAWA LTD | 24,310 | 126,506 | ||||||||||
SHINKO ELEC INDUS CO., LTD. | 53,500 | 347,787 | ||||||||||
SONY CORP | 42,700 | 1,065,592 | ||||||||||
STAR MICRONICS CO., LTD. | 15,810 | 208,574 | ||||||||||
SUMITOMO HEAVY IND, LTD. | 55,000 | 250,551 | ||||||||||
SUZUKEN CO LTD | 1,650 | 63,438 | ||||||||||
TACHI-S CO., LTD. | 14,000 | 225,429 | ||||||||||
TAKEDA PHARMACEUTICAL CO LTD | 38,500 | 1,941,082 | ||||||||||
TAKUMA CO LTD | 35,000 | 288,915 | ||||||||||
TOCHIGI BANK LTD/THE | 26,000 | 149,998 | ||||||||||
TOKAI RUBBER INDUSTRIES INC | 28,200 | 237,471 | ||||||||||
TOKAI RIKA CO., LTD. | 22,350 | 559,238 | ||||||||||
TOKYO SEIMITSU CO., LTD. | 24,500 | 550,102 | ||||||||||
TOKYO OHKA KOGYO CO LTD | 5,650 | 181,531 | ||||||||||
TOKYO STEEL MANU CO., LTD. | 41,100 | 258,295 | ||||||||||
TOSHIBA MACH | 132,000 | 452,089 | ||||||||||
TOYO ENGR CORP | 106,000 | 274,924 | ||||||||||
TOYOTA INDUSTRIES CORPORATION | 9,230 | 501,034 | ||||||||||
TOYODA GOSEI CO LTD | 18,700 | 430,289 | ||||||||||
USHIO INC | 39,000 | 544,013 | ||||||||||
XEBIO CO., LTD. | 15,600 | 297,100 | ||||||||||
YAMANASHI CHUO BANK LTD/THE | 20,000 | 103,080 | ||||||||||
YAMATO KOGYO CO LTD | 22,100 | 569,517 | ||||||||||
YAMAZEN CORP | 20,200 | 187,063 |
Page 60
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
YODOGAWA STEEL WORKS LTD. | 8,800 | 178,275 | ||||||||||
H LUNDBECK A/S | 50,324 | 1,724,398 | ||||||||||
NOVARTIS AG | 20,411 | 1,769,905 | ||||||||||
PEUGEOT SA | 6,712 | 118,155 | ||||||||||
GREEK ORGANISATION OF FOOTBALL | 72,756 | 640,182 | ||||||||||
ROCHE HOLDING AG | 7,857 | 2,169,505 | ||||||||||
ADECCO SA | 5,799 | 399,152 | ||||||||||
TECAN GROUP AG | 2,448 | 398,381 | ||||||||||
MICRONAS SEMICONDUCTOR HOLD | 24,941 | 183,881 | ||||||||||
STATOILHYDRO ASA | 10,045 | 140,382 | ||||||||||
ENI SPA | 43,654 | 654,415 | ||||||||||
ING GROEP NV | 103,280 | 1,396,804 | ||||||||||
ESSILOR INTL | 5,843 | 730,251 | ||||||||||
BNP PARIBAS SA | 39,879 | 2,262,633 | ||||||||||
ORSZAGPS TAKAREKPENZTAR ES KER | 13,397 | 276,321 | ||||||||||
SAINT GOBAIN | 46,662 | 2,019,954 | ||||||||||
KONTRON | 23,299 | 76,309 | ||||||||||
BANCHE POPOLARI UNITE SCRL | 114,199 | 769,137 | ||||||||||
HEINEKEN N.V. | 19,739 | 1,689,024 | ||||||||||
AMVIG HOLDINGS LTD | 370,000 | 153,726 | ||||||||||
C&C GROUP PLC | 110,217 | 444,553 | ||||||||||
J SAINSBURY PLC | 145,228 | 553,965 | ||||||||||
BIOMERIEUX SA | 2,220 | 265,033 | ||||||||||
PACIFIC BASIN SHIPPING LTD | 833,000 | 182,719 | ||||||||||
BOOKER GROUP PLC | 266,763 | 713,625 | ||||||||||
GENDAI AGENCY INC | 7,400 | 38,324 | ||||||||||
ROYAL DUTCH SHELL PLC | 30,498 | 693,594 | ||||||||||
WELLNET CORP | 8,000 | 206,492 | ||||||||||
DENA | 36,410 | 574,775 | ||||||||||
DOLPHIN CAPITAL INVESTORS LTD | 1,332,852 | 284,851 | ||||||||||
CST MINING GROUP LTD | 2,416,000 | 28,368 | ||||||||||
KYOKUTO SEC | 16,700 | 212,403 | ||||||||||
ESSENTRA PLC | 28,753 | 350,899 | ||||||||||
COBHAM PLC | 148,461 | 619,689 | ||||||||||
NATIONAL GRID PLC | 106,808 | 1,475,853 | ||||||||||
KONE OYJ | 51,024 | 2,171,090 | ||||||||||
GDF SUEZ | 31,023 | 550,157 | ||||||||||
MIRAIAL CO LTD | 11,400 | 100,927 | ||||||||||
FINMECCANICA SPA | 41,554 | 582,307 | ||||||||||
SEVEN & I HLDG | 24,800 | 1,144,187 | ||||||||||
DAIICHI SANKYO | 16,900 | 352,695 | ||||||||||
NAMCO BANDAI HOLDINGS INC | 15,790 | 336,552 | ||||||||||
HIKMA PHARMACEUTICALS PLC | 10,147 | 344,130 | ||||||||||
LEM HLDGS AG | 147 | 110,874 | ||||||||||
EFG INTERNATIONAL | 55,502 | 584,961 |
Page 61
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
QINETIQ GROUP PLC | 114,238 | 456,129 | ||||||||||
AIZAWA SECURITIES CO LTD | 27,400 | 157,847 | ||||||||||
DEUTSCHE WOHNEN AG | 21,162 | 588,845 | ||||||||||
INPEX CORP | 33,100 | 326,199 | ||||||||||
SCHINDLER HOLDING AG | 2,974 | 499,133 | ||||||||||
G-RESOURCES GROUP LTD | 6,957,000 | 165,169 | ||||||||||
LEGRAND S.A. | 18,543 | 1,051,478 | ||||||||||
EUROBANK PROPERTIES REAL ESTAT | 55,753 | 446,360 | ||||||||||
ZUMTOBEL | 2,334 | 59,025 | ||||||||||
KUEHNE & NAGEL INTERNATIONAL A | 4,158 | 572,400 | ||||||||||
SPAR NORD BANK A/S | 17,689 | 157,068 | ||||||||||
TOTAL SA | 23,348 | 1,046,601 | ||||||||||
USG PEOPLE | 16,990 | 317,078 | ||||||||||
TAKATA CORP | 17,600 | 118,070 | ||||||||||
GALP ENERGIA SA | 155,709 | 1,813,252 | ||||||||||
KYOEI STEEL LTD | 15,400 | 278,440 | ||||||||||
BANCA GENERALI | 11,313 | 358,602 | ||||||||||
ELECTROLUX AB | 22,528 | 548,329 | ||||||||||
TS TECH CO LTD | 8,370 | 219,522 | ||||||||||
RAUBEX | 96,392 | 104,818 | ||||||||||
REXEL SA | 18,050 | 240,783 | ||||||||||
GEBERIT AG | 2,532 | 860,526 | ||||||||||
DAMPSKIBSSELSKABET NORDEN A/S | 12,786 | 227,251 | ||||||||||
DSV DE SAMMENSLUT VOGN | 28,711 | 1,135,518 | ||||||||||
VINCI S.A. | 15,389 | 988,648 | ||||||||||
ALMIRALL SA | 17,376 | 351,651 | ||||||||||
DAETWYLER HLDG AG | 1,009 | 144,546 | ||||||||||
DIASORIN SPA | 6,895 | 362,892 | ||||||||||
SONY FINANCIAL | 23,000 | 416,617 | ||||||||||
RECKITT BENCKISER GROUP PLC | 24,588 | 2,276,250 | ||||||||||
CAIXABANK SA | 165,254 | 576,963 | ||||||||||
IBERDROLA SA | 31,516 | 224,245 | ||||||||||
HAMBURGER HAFEN UND LOGISTIK A | 9,132 | 139,476 | ||||||||||
GROUPE EUROTUNNEL SA | 46,841 | 583,124 | ||||||||||
WH SMITH PLC | 17,197 | 448,382 | ||||||||||
SUEZ ENVIRONNEMENT SAS | 37,538 | 703,820 | ||||||||||
HENDERSON GROUP PLC | 223,442 | 1,019,609 | ||||||||||
TONGYANG LIFE INSURANCE | 16,242 | 161,374 | ||||||||||
CLOETTA AB | 35,056 | 116,429 | ||||||||||
TELEFONICA BRASIL SA | 9,300 | 84,038 | ||||||||||
GATEGROUP HOLDING AG | 15,006 | 661,104 | ||||||||||
HARUM ENERGY TBK PT | 722,500 | 35,378 | ||||||||||
GRIFOLS INC | 74,410 | 3,617,173 | ||||||||||
NORMA GROUP AG | 3,743 | 207,977 | ||||||||||
NXP SEMICONDUCTORS NV | 20,438 | 1,721,902 |
Page 62
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
DELTA LLOYD NV | 22,125 | 130,867 | ||||||||||
CDON GROUP AB | 77,177 | 110,768 | ||||||||||
BRITISH AIRWAYS PLC | 71,156 | 640,273 | ||||||||||
SBERBANK OF RUSSIAN FEDERATION | 111,400 | 655,032 | ||||||||||
SALVATORE FERRAGAMO ITALIA SPA | 16,069 | 379,663 | ||||||||||
DAI-ICHI LIFE INSURANCE CO. LT | 27,800 | 470,286 | ||||||||||
SUPERGROUP PLC | 10,174 | 246,825 | ||||||||||
FORTIS | 15,291 | 710,934 | ||||||||||
JAPAN AIRLINES CO LTD | 9,700 | 351,247 | ||||||||||
WPP GROUP PLC | 46,187 | 1,064,013 | ||||||||||
BANCO POPULAR ESPANOL SA | 89,715 | 296,563 | ||||||||||
DEUTSCHE ANNINGTON IMMOBILIEN | 41,168 | 1,276,779 | ||||||||||
COM FN RICHEMONT | 29,615 | 2,133,108 | ||||||||||
PROSIEBENSAT1 MEDIA AG | 11,621 | 590,356 | ||||||||||
IVANHOE MINES LTD | 174,800 | 76,761 | ||||||||||
HIBERNIA REIT PLC | 586,343 | 896,818 | ||||||||||
IRISH RESIDENTIAL PROPERTIES R | 1,013,757 | 1,288,456 | ||||||||||
COMPASS GROUP | 54,320 | 940,731 | ||||||||||
IRISH CONTINENTAL GROUP PLC | 80,004 | 470,522 | ||||||||||
SAGA PLC | 148,715 | 441,670 | ||||||||||
TENCENT HOLDINGS LIMITED | 64,300 | 1,265,234 | ||||||||||
BRAAS MONIER BUILDING GROUP SA | 40,713 | 1,174,436 | ||||||||||
COFACE SA | 19,823 | 201,039 | ||||||||||
SSP GROUP | 44,422 | 212,789 | ||||||||||
RECRUIT HOLDINGS CO LTD | 9,540 | 282,326 | ||||||||||
UBS GROUP AG | 207,722 | 4,050,683 | ||||||||||
OVS SPA | 45,570 | 317,807 | ||||||||||
SPIRAX-SARCO ENGINEERING PLC | 10,786 | 521,914 | ||||||||||
NIELSEN HOLDINGS PLC | 38,000 | 1,770,800 | ||||||||||
CAIRN HOMES PLC | 746,139 | 968,584 | ||||||||||
ROYAL UNIBREW | 3,515 | 143,316 | ||||||||||
ATLAS COPCO AB | 50,162 | 1,239,978 | ||||||||||
ORIFLAME HOLDING AG | 15,886 | 256,268 | ||||||||||
ASSA ABLOY AB | 136,727 | 2,886,794 | ||||||||||
LONMIN PLC | 24,217 | 29,804 | ||||||||||
JAPAN POST BANK CO LTD | 16,500 | 240,035 | ||||||||||
HRT PARTICIPACOES EM PETROLEO | 3,600 | 2,229 | ||||||||||
ALPHABET INC CLASS A | 7,800 | 5,919,264 | ||||||||||
WORLDPAY GROUP PLC | 206,224 | 934,049 | ||||||||||
EUROBANK ERGASIAS SA | 142,495 | 160,984 | ||||||||||
LUKOIL | 12,310 | 396,382 | ||||||||||
ALPHA BK A.E. | 82,132 | 222,158 | ||||||||||
HORNBACH HOLDING AG & CO KGAA | 9,668 | 643,269 | ||||||||||
COMPAL ELECTRONICS INC | 549,000 | 309,206 | ||||||||||
HONG KONG EXCHANGES AND CLEARI | 22,000 | 563,473 |
Page 63
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
HYNIX SEMICONDUCTOR INC | 28,435 | 745,705 | ||||||||||
KOREA ELECTRIC POWER CORPORATI | 12,511 | 533,495 | ||||||||||
ZALANDO SE | 37,944 | 1,500,356 | ||||||||||
INDO TAMBANGRAYA MEGAH PT | 153,100 | 63,584 | ||||||||||
ASML HOLDING NV | 4,260 | 382,012 | ||||||||||
GLP J-REIT | 557 | 540,817 | ||||||||||
AEGEAN MARINE PETROLEUM | 29,133 | 216,150 | ||||||||||
ELIOR SCA | 4,575 | 95,918 | ||||||||||
CRESCENT SHORT DURATION HIGH INCOME FUND | 2,639,843 | 24,075,369 | ||||||||||
40,045,399 | $ | 403,021,535 | ||||||||||
Page 64