Allied World Assurance 8K Allied World Reports Strong Growth Across U.s. Insurance Platform | SEC 22 Oct 14

Exhibit 99.3





Allied World Assurance Company Holdings, AG

Securities Listing as at September 30, 2014



Cusip	Security Description	Coupon	Maturity	Par	Market Value

U.S. Government Securities
912796CF4	UNITED STATES TREASURY	—	10/16/2014	3,907,000	3,906,925
912796CL1	UNITED STATES TREASURY	—	11/13/2014	700,000	699,962
912796DB2	UNITED STATES TREASURY	—	12/11/2014	8,767,000	8,766,315
912796DX4	UNITED STATES TREASURY	—	10/2/2014	1,000,000	1,000,000
912796EB1	UNITED STATES TREASURY	—	10/30/2014	1,700,000	1,699,938
912796EK1	UNITED STATES TREASURY	—	12/18/2014	1,100,000	1,099,833
912796EL9	UNITED STATES TREASURY	—	12/26/2014	500,000	499,935
912796EN5	UNITED STATES TREASURY	—	7/23/2015	14,400,000	14,388,494
912810EZ7	UNITED STATES TREASURY	6.63	2/15/2027	625,000	885,669
912828A34	UNITED STATES TREASURY	1.25	11/30/2018	500,000	493,125
912828A42	UNITED STATES TREASURY	2.00	11/30/2020	900,000	895,140
912828A59	UNITED STATES TREASURY	0.63	12/15/2016	500,000	498,975
912828A67	UNITED STATES TREASURY	0.25	12/31/2015	500,000	500,155
912828A75	UNITED STATES TREASURY	1.50	12/31/2018	500,000	497,480
912828B33	UNITED STATES TREASURY	1.50	1/31/2019	700,000	695,667
912828B41	UNITED STATES TREASURY	0.38	1/31/2016	1,000,000	1,001,450
912828B66	UNITED STATES TREASURY	2.75	2/15/2024	700,000	716,471
912828B74	UNITED STATES TREASURY	0.63	2/15/2017	400,000	398,284
912828B82	UNITED STATES TREASURY	0.25	2/29/2016	500,000	499,610
912828C24	UNITED STATES TREASURY	1.50	2/28/2019	750,000	744,690
912828C32	UNITED STATES TREASURY	0.75	3/15/2017	1,000,000	998,080
912828C65	UNITED STATES TREASURY	1.63	3/31/2019	500,000	498,580
912828C73	UNITED STATES TREASURY	0.88	4/15/2017	18,950,000	18,950,000
912828D23	UNITED STATES TREASURY	1.63	4/30/2019	500,000	498,120
912828D49	UNITED STATES TREASURY	0.88	8/15/2017	11,000,000	10,947,090
912828D64	UNITED STATES TREASURY	0.50	8/31/2016	27,700,000	27,669,807
912828D80	UNITED STATES TREASURY	1.63	8/31/2019	1,600,000	1,589,088
912828EN6	UNITED STATES TREASURY	4.50	11/15/2015	300,000	314,484
912828EW6	UNITED STATES TREASURY	4.50	2/15/2016	300,000	317,298
912828F39	UNITED STATES TREASURY	1.75	9/30/2019	9,800,000	9,785,790
912828F47	UNITED STATES TREASURY	0.50	9/30/2016	52,000,000	51,910,562
912828FY1	UNITED STATES TREASURY	4.63	11/15/2016	825,000	893,516
912828GX2	UNITED STATES TREASURY	2.63	7/15/2017	7,000,000	8,776,019
912828LJ7	UNITED STATES TREASURY	3.63	8/15/2019	37,125,000	40,357,845
912828LP3	UNITED STATES TREASURY	3.00	9/30/2016	500,000	523,720
912828MR8	UNITED STATES TREASURY	2.38	2/28/2015	80,000	80,766

Page 1



Cusip	Security Description	Coupon	Maturity	Par	Market Value
912828NA4	UNITED STATES TREASURY	3.13	4/30/2017	250,000	264,135
912828NV8	UNITED STATES TREASURY	1.25	8/31/2015	200,000	202,086
912828NW6	UNITED STATES TREASURY	1.88	8/31/2017	500,000	511,690
912828PE4	UNITED STATES TREASURY	1.25	10/31/2015	1,600,000	1,618,752
912828PJ3	UNITED STATES TREASURY	1.38	11/30/2015	1,000,000	1,013,590
912828PS3	UNITED STATES TREASURY	2.00	1/31/2016	3,000,000	3,068,910
912828PT1	UNITED STATES TREASURY	2.63	1/31/2018	500,000	522,050
912828QF0	UNITED STATES TREASURY	2.00	4/30/2016	250,000	256,268
912828QJ2	UNITED STATES TREASURY	2.13	2/29/2016	12,875,000	13,204,986
912828QP8	UNITED STATES TREASURY	1.75	5/31/2016	250,000	255,430
912828QQ6	UNITED STATES TREASURY	2.38	5/31/2018	4,480,000	4,633,977
912828QR4	UNITED STATES TREASURY	1.50	6/30/2016	350,000	356,199
912828QT0	UNITED STATES TREASURY	2.38	6/30/2018	250,000	258,473
912828QX1	UNITED STATES TREASURY	1.50	7/31/2016	175,000	178,108
912828RE2	UNITED STATES TREASURY	1.50	8/31/2018	750,000	749,670
912828RH5	UNITED STATES TREASURY	1.38	9/30/2018	1,900,000	1,888,163
912828RJ1	UNITED STATES TREASURY	1.00	9/30/2016	100,000	100,754
912828RM4	UNITED STATES TREASURY	1.00	10/31/2016	1,950,000	1,963,884
912828RV4	UNITED STATES TREASURY	0.25	12/15/2014	10,100,000	10,103,737
912828RX0	UNITED STATES TREASURY	0.88	12/31/2016	4,806,500	4,819,237
912828RY8	UNITED STATES TREASURY	1.38	12/31/2018	500,000	494,950
912828SC5	UNITED STATES TREASURY	0.88	1/31/2017	400,000	400,748
912828SH4	UNITED STATES TREASURY	1.38	2/28/2019	500,000	493,675
912828SJ0	UNITED STATES TREASURY	0.88	2/28/2017	1,520,000	1,521,581
912828SM3	UNITED STATES TREASURY	1.00	3/31/2017	1,000,000	1,003,010
912828SS0	UNITED STATES TREASURY	0.88	4/30/2017	1,000,000	998,960
912828SY7	UNITED STATES TREASURY	0.63	5/31/2017	1,000,000	991,280
912828TB6	UNITED STATES TREASURY	0.75	6/30/2017	750,000	745,012
912828TG5	UNITED STATES TREASURY	0.50	7/31/2017	1,000,000	984,840
912828TM2	UNITED STATES TREASURY	0.63	8/31/2017	4,800,000	4,736,400
912828TS9	UNITED STATES TREASURY	0.63	9/30/2017	1,000,000	985,320
912828TT7	UNITED STATES TREASURY	0.25	10/15/2015	750,000	750,818
912828TW0	UNITED STATES TREASURY	0.75	10/31/2017	25,985,000	25,656,550
912828TX8	UNITED STATES TREASURY	0.38	11/15/2015	43,160,000	43,245,457
912828UA6	UNITED STATES TREASURY	0.63	11/30/2017	3,770,000	3,702,027
912828UC2	UNITED STATES TREASURY	0.25	12/15/2015	500,000	500,175
912828UD0	UNITED STATES TREASURY	0.13	12/31/2014	7,940,000	7,941,270
912828UE8	UNITED STATES TREASURY	0.75	12/31/2017	750,000	738,067
912828UG3	UNITED STATES TREASURY	0.38	1/15/2016	4,585,000	4,591,648
912828UH1	UNITED STATES TREASURY	0.13	1/15/2023	12,000,000	11,983,610
912828UJ7	UNITED STATES TREASURY	0.88	1/31/2018	12,315,000	12,151,827
912828UM0	UNITED STATES TREASURY	0.38	2/15/2016	22,200,000	22,229,526
912828UP3	UNITED STATES TREASURY	0.25	2/28/2015	22,000,000	22,017,380
912828UR9	UNITED STATES TREASURY	0.75	2/28/2018	1,000,000	981,020
912828US7	UNITED STATES TREASURY	0.38	3/15/2016	600,000	600,312

Page 2



Cusip	Security Description	Coupon	Maturity	Par	Market Value
912828UT5	UNITED STATES TREASURY	0.25	3/31/2015	13,000,000	13,012,871
912828UU2	UNITED STATES TREASURY	0.75	3/31/2018	1,250,000	1,224,313
912828UW8	UNITED STATES TREASURY	0.25	4/15/2016	12,096,000	12,071,688
912828UZ1	UNITED STATES TREASURY	0.63	4/30/2018	750,000	730,208
912828VC1	UNITED STATES TREASURY	0.25	5/15/2016	22,500,000	22,438,350
912828VE7	UNITED STATES TREASURY	1.00	5/31/2018	650,000	640,328
912828VG2	UNITED STATES TREASURY	0.50	6/15/2016	550,000	550,495
912828VH0	UNITED STATES TREASURY	0.38	6/30/2015	12,209,000	12,236,837
912828VK3	UNITED STATES TREASURY	1.38	6/30/2018	750,000	747,885
912828VQ0	UNITED STATES TREASURY	1.38	7/31/2018	10,000,000	9,959,500
912828VR8	UNITED STATES TREASURY	0.63	8/15/2016	500,000	500,715
912828VW7	UNITED STATES TREASURY	0.88	9/15/2016	1,000,000	1,005,430
912828WA4	UNITED STATES TREASURY	0.63	10/15/2016	500,000	499,790
912828WB2	UNITED STATES TREASURY	0.25	10/31/2015	12,000,000	12,013,080
912828WD8	UNITED STATES TREASURY	1.25	10/31/2018	37,100,000	36,634,396
912828WL0	UNITED STATES TREASURY	1.50	5/31/2019	1,000,000	989,610
912828WM8	UNITED STATES TREASURY	0.38	5/31/2016	1,300,000	1,298,635
912828WP1	UNITED STATES TREASURY	0.88	6/15/2017	330,000,000	329,221,200
912828WQ9	UNITED STATES TREASURY	0.50	6/30/2016	46,119,000	46,148,055
912828WS5	UNITED STATES TREASURY	1.63	6/30/2019	39,400,000	39,191,574
912828WT3	UNITED STATES TREASURY	0.88	7/15/2017	300,000	298,968
912828WU0	UNITED STATES TREASURY	0.13	7/15/2024	5,000,000	4,808,366
912828WW6	UNITED STATES TREASURY	1.63	7/31/2019	500,000	496,855
912828WX4	UNITED STATES TREASURY	0.50	7/31/2016	21,350,000	21,353,416
				994,964,500	998,487,007
U.S. Government Agencies
3130A0SD3	FHLB	0.38	2/19/2016	300,000	299,922
313375RN9	FHLB	1.00	3/11/2016	800,000	806,792
313379DD8	FHLB	1.00	6/21/2017	250,000	249,833
3133802C0	FHLB	1.05	7/26/2017	50,000	49,793
3133812C8	FHLB	1.50	5/8/2020	4,990,000	4,796,673
313385K88	FHLB	—	10/17/2014	500,000	499,982
3133XVNU1	FHLB	2.75	12/12/2014	74,500,000	74,894,857
3134G3S50	FHLMC	0.63	11/1/2016	350,000	348,257
3134G3ZH6	FHLMC	1.00	7/25/2017	75,000	74,654
3134G5FK6	FHLMC	1.25	8/21/2017	200,000	199,718
3135G0ES8	FNMA	1.38	11/15/2016	300,000	304,032
3135G0PQ0	FNMA	0.88	10/26/2017	400,000	395,992
3135G0RK1	FNMA	0.90	11/7/2017	100,000	98,311
3135G0SY0	FNMA	1.60	12/24/2020	1,505,000	1,422,978
3135G0VX8	FNMA	0.63	9/26/2016	250,000	249,650
3135G0XG3	FNMA	1.00	5/21/2018	250,000	242,810
3135G0XH1	FNMA	0.50	5/20/2016	250,000	249,485
3135G0YE7	FNMA	0.63	8/26/2016	250,000	250,155
3135G0YM9	FNMA	1.88	9/18/2018	41,400,000	41,808,207

Page 3



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3135G0ZE6	FNMA	1.75	6/20/2019	200,000	198,936
3135G0ZG1	FNMA	1.75	9/12/2019	9,100,000	9,023,014
3135G0ZL0	FNMA	1.00	9/27/2017	100,000	99,537
3137EAAJ8	FHLMC	5.13	10/18/2016	250,000	272,547
3137EADF3	FHLMC	1.25	5/12/2017	6,000,000	6,041,401
3137EADL0	FHLMC	1.00	9/29/2017	200,000	199,070
3137EADN6	FHLMC	0.75	1/12/2018	600,000	588,654
3137EADP1	FHLMC	0.88	3/7/2018	20,300,000	19,948,809
3137EADT3	FHLMC	0.88	2/22/2017	200,000	199,940
31398A4M1	FNMA	1.63	10/26/2015	21,500,000	21,814,115
				185,170,000	185,628,124
Non U.S. Government Securities & Agencies
013051DA2	ALBERTA PROVINCE OF	2.75	12/1/2014	950,000	852,424
038461AC3	AID-EGYPT	4.45	9/15/2015	25,000,000	25,950,098
12591DAA9	CNOOC NEXEN FINANCE 2014 ULC	1.63	4/30/2017	3,500,000	3,492,790
135087A38	CANADA GOVERNMENT	1.50	8/1/2015	500,000	449,155
135087A46	CANADA GOVERNMENT	1.50	9/1/2017	3,650,000	3,274,231
135087A87	CANADA GOVERNMENT	1.25	3/1/2018	1,500,000	1,336,067
135087B37	CANADA GOVERNMENT	1.25	9/1/2018	10,000,000	8,870,852
135087B60	CANADA GOVERNMENT	1.50	2/1/2017	2,300,000	2,074,493
135087B86	CANADA GOVERNMENT	1.75	3/1/2019	300,000	270,712
135087C69	CANADA GOVERNMENT	1.00	5/1/2016	7,700,000	6,876,058
135087C77	CANADA GOVERNMENT	1.63	2/27/2019	6,800,000	6,781,640
135087C85	CANADA GOVERNMENT	1.75	9/1/2019	5,100,000	4,586,911
135087D27	CANADA GOVERNMENT	1.25	8/1/2017	4,915,000	4,392,879
135087YU2	CANADA GOVERNMENT	2.00	12/1/2014	3,000,000	2,688,929
135087ZC1	CANADA GOVERNMENT	2.50	6/1/2015	500,000	451,841
135087ZF4	CANADA GOVERNMENT	3.00	12/1/2015	1,100,000	1,006,550
135087ZQ0	CANADA GOVERNMENT	2.75	9/1/2016	5,450,000	5,026,852
135087ZV9	CANADA GOVERNMENT	1.50	3/1/2017	4,400,000	3,967,825
302154BJ7	EXPORT-IMPORT BANK OF KOREA	1.08	9/17/2016	1,400,000	1,408,312
500769BM5	KREDITANSTALT FUER WIEDERAUFBA	4.38	2/9/2016	900,000	838,167
642866FT9	NEW BRUNSWICK PROVINCE OF	4.50	2/4/2015	900,000	814,673
683234WM6	ONTARIO PROVINCE OF	4.50	3/8/2015	900,000	817,306
82937WAA3	SINOPEC GROUP OVERSEAS DEVELOP	1.75	4/10/2017	3,500,000	3,492,558
D20658P26	GERMANY (FEDERAL REPUBLIC OF)	4.00	7/4/2016	16,340,000	22,113,448
EK2483361	GERMANY (FEDERAL REPUBLIC OF)	0.50	4/12/2019	5,370,000	6,907,047
G924507Q5	UNITED KINGDOM GILT	2.75	1/22/2015	3,610,000	5,894,488
G92451GE0	UNITED KINGDOM GILT	1.75	1/22/2017	8,690,000	14,325,877
G9T44MEB4	UNITED KINGDOM GILT	1.00	9/7/2017	570,000	916,940
G9T44MHH8	UNITED KINGDOM GILT	1.75	7/22/2019	2,980,000	4,825,713
H7351MFG3	SWITZERLAND (CONFEDERATION OF)	4.25	6/5/2017	1,850,000	2,157,268
P14486AG2	BNDES-BRAZIL S DEVELOPMENT BAN	4.13	9/15/2017	2,500,000	3,332,075
P4R0C9EK5	MEXICAN BONOS	7.75	11/13/2042	987,558	8,068,072
P9767GWU1	MEXICAN BONOS	8.00	12/7/2023	1,900,000	16,081,945

Page 4



Cusip	Security Description	Coupon	Maturity	Par	Market Value
Q0819ACS7	AUSTRALIA COMMONWEALTH OF	6.00	2/15/2017	21,600,000	20,351,549
Y2836BAG9	HONG KONG SPECIAL ADMIN REGION	1.02	4/10/2017	190,000,000	24,590,797
				350,662,558	219,286,544
State and Municipal
011839BJ5	ALASKA ST HSG FIN CORP	5.00	6/1/2020	1,815,000	2,147,345
023362PG5	AMBRIDGE PA AREA SCH DIST	4.00	11/1/2023	1,750,000	1,935,395
05914FMY3	BALTIMORE CNTY MD	5.00	8/1/2022	5,000,000	6,116,350
07133AHD7	BATTERY PK CITY AUTH NY REV	5.00	11/1/2023	5,000,000	6,167,200
100853SH4	BOSTON MASS	5.00	3/1/2023	5,000,000	6,141,900
116475K45	BROWNSVILLE TEX UTIL SYS REV	5.00	9/1/2022	2,250,000	2,638,868
13062PHG0	CALIFORNIA ST	5.25	2/1/2023	3,000,000	3,687,480
13063BFV9	CALIFORNIA ST	7.95	3/1/2020	3,250,000	3,964,317
13068LJA4	CALIFORNIA ST PUB WKS BRD LEAS	5.00	9/1/2023	3,000,000	3,599,730
15504RFG9	CENTRAL PUGET SOUND REGIONAL T	5.00	11/1/2022	2,500,000	2,991,650
199492JR1	COLUMBUS OHIO	5.00	2/15/2024	4,750,000	5,844,495
249183WP5	DENVER COLO CITY & CNTY	5.00	12/1/2022	4,880,000	5,797,050
29270CWX9	ENERGY NORTHWEST WASH ELEC REV	5.00	7/1/2021	2,500,000	2,969,800
29270CXR1	ENERGY NORTHWEST WASH ELEC REV	5.00	7/1/2021	2,000,000	2,398,920
33840MCT1	FLAGLER CNTY FLA SCH BRD	5.00	8/1/2023	860,000	1,005,641
34153PS90	FLORIDA ST BRD ED	5.00	6/1/2022	5,000,000	6,085,000
419791S58	HAWAII ST- REF-EF	5.00	11/1/2022	5,000,000	6,005,100
45201YZG5	ILLINOIS HSG DEV AUTH	2.75	8/1/2020	1,115,000	1,126,239
4521518V8	ILLINOIS ST	4.42	1/1/2015	10,998,000	11,103,031
452152UZ2	ILLINOIS ST	4.00	2/1/2023	2,000,000	2,054,660
452152XS5	ILLINOIS ST	5.00	5/1/2023	1,900,000	2,098,398
45528ULS8	INDIANAPOLIS IND LOC PUB IMPT	5.00	1/1/2022	1,500,000	1,758,135
49151E5P4	KENTUCKY ST PRP & BLDG COM	5.00	8/1/2020	5,000,000	5,831,550
5168234T5	LAREDO TEX	5.00	2/15/2021	1,365,000	1,617,361
54811GLN8	LOWER COLORADO RIVER AUTHORITY	5.00	5/15/2022	5,405,000	6,435,734
57582NH99	MASSACHUSETTS ST	5.50	12/1/2023	3,610,000	4,603,400
576000MH3	MASSACHUSETTS ST SCH BLDG AUTH	5.00	8/15/2022	5,000,000	6,094,500
576000MS9	MASSACHUSETTS ST SCH BLDG AUTH	5.00	8/15/2021	2,000,000	2,414,900
5816462R6	MCKINNEY TEX	5.00	8/15/2024	2,000,000	2,454,760
59259YP78	METROPOLITAN TRANS AUTH N Y	5.00	11/15/2022	1,000,000	1,177,040
59333PH50	MIAMI DADE CNTY FLA	5.00	10/1/2022	1,500,000	1,759,485
59447PKS9	MICHIGAN STATE FINANCE AUTHORI	5.00	10/1/2021	2,000,000	2,413,840
645918U92	NJ ST EDA PENSION	5.00	3/1/2023	4,015,000	4,588,222
6461394W2	NJ ST TPK AUTH TPK REV	5.00	7/1/2024	2,000,000	2,352,620
64711RKE5	NEW MEXICO FIN AUTH	5.00	6/15/2022	3,700,000	4,495,648
64966B3L5	NEW YORK N Y	0.93	1/15/2016	5,250,000	5,256,930
64966KYW7	NEW YORK NY	5.00	8/1/2023	3,885,000	4,683,989
64971M5E8	NEW YORK NY CITY TRANSITIONAL	4.08	11/1/2020	3,000,000	3,256,620
64971Q8R7	NEW YORK NY CITY TRANSITIONAL	5.00	11/1/2021	3,000,000	3,610,050
6499026P3	NEW YORK ST DORM AUTH	4.00	8/15/2021	4,490,000	5,021,392
64990ABC8	NEW YORK ST DORM AUTH	5.00	3/15/2023	5,120,000	6,253,568

Page 5



Cusip	Security Description	Coupon	Maturity	Par	Market Value
64990EDE4	NEW YORK ST DORM AUTH	5.00	12/15/2022	3,000,000	3,666,270
678908ZU1	OKLAHOMA DEV FIN AUTH	2.38	12/1/2021	1,000,000	1,005,450
679110EF9	OKLAHOMA ST STUDENT LN AUTH	0.65	10/11/2023	704,093	702,396
684515QW2	ORANGE CNTY FLA TOURIST DEV TA	5.00	1/1/2023	5,025,000	6,039,397
686507GA6	ORLANDO FLA UTILS COMMN WTR &E	5.00	10/1/2024	4,500,000	5,539,455
74514LA80	PUERTO RICO COMWLTH	4.50	7/1/2025	1,100,000	821,821
74514LBM8	PUERTO RICO COMWLTH	5.13	7/1/2031	1,090,000	800,583
74514LE86	PUERTO RICO COMWLTH	8.00	7/1/2035	2,580,000	2,270,452
74514LQA8	PUERTO RICO COMWLTH	5.25	7/1/2027	3,860,000	2,936,341
74514LWA1	PUERTO RICO COMWLTH	6.00	7/1/2039	2,325,000	1,774,905
74514LWS2	PUERTO RICO COMWLTH	6.50	7/1/2040	2,325,000	1,803,224
745185BF4	PUERTO RICO COMWLTH HWY & TRAN	5.55	7/1/2018	155,000	116,380
745185BG2	PUERTO RICO COMWLTH HWY & TRAN	5.65	7/1/2020	325,000	242,294
745185BP2	PUERTO RICO COMWLTH HWY & TRAN	5.85	3/1/2027	670,000	475,821
745185BQ0	PUERTO RICO COMWLTH HWY & TRAN	5.85	7/1/2025	110,000	79,778
74526QXT4	PUERTO RICO ELEC PWR AUTH	6.13	7/1/2040	15,690,000	8,661,351
74526QZB1	PUERTO RICO ELEC PWR AUTH	5.40	7/1/2028	210,000	117,772
74526QZL9	PUERTO RICO ELEC PWR AUTH	5.00	7/1/2020	2,000,000	1,200,980
74526QZS4	PUERTO RICO ELEC PWR AUTH	6.05	7/1/2032	3,645,000	2,023,959
74526QZS6	PUERTO RICO ELEC PWR AUTH PWR	5.95	6/30/2030	715,000	398,884
74526QZT2	PUERTO RICO ELEC PWR AUTH	6.25	7/1/2040	1,445,000	802,177
759136RD8	REGIONAL TRANSN DIST COLO	5.00	11/1/2022	3,165,000	3,788,283
76541VMN4	RICHMOND VA	5.00	3/1/2023	5,000,000	6,014,600
785870UM6	SACRAMENTO CALIF CITY UNI SCH	5.00	7/1/2023	1,750,000	2,117,238
794665FJ3	NY ST STAR	4.00	10/15/2022	2,000,000	2,300,840
79642BVU4	SAN ANTONIO TX	5.00	5/15/2022	1,400,000	1,671,628
815626MK9	SEDGWICK CNTY KANS UNI SCH DIS	5.00	10/1/2021	1,500,000	1,782,720
867868FN6	SUNSHINE ST GOVERNMENTAL FING	5.00	9/1/2021	2,000,000	2,350,540
898735SQ9	TUCSON ARIZ CTFS PARTN	4.00	7/1/2024	2,750,000	3,024,918
914026MM8	UNIVERSITY ALA GEN REV	5.00	7/1/2022	4,000,000	4,827,520
914119VD1	UNIVERSITY CINCINNATI OHIO	5.00	6/1/2022	1,535,000	1,854,541
91412GSB2	UNIVERSITY CALIFORNIA	1.80	7/1/2019	7,500,000	7,330,050
927781Q56	VIRGINIA COLLEGE BLDG AUTH VA	5.00	2/1/2021	5,000,000	5,987,750
93974C8C7	WASHINGTON STATE	5.00	7/1/2023	5,000,000	6,051,400
97705L3G0	WISCONSIN ST	5.00	5/1/2021	5,000,000	5,996,600
98322QFW2	WYOMING CMNTY DEV AUTH	3.35	12/1/2023	2,115,000	2,153,620
				240,597,093	260,690,246
Agency MBS
01F0324A9	FNMA	3.50	9/3/2020	250,000	262,773
02R0224A5	FHLMC	2.50	8/23/2021	500,000	502,891
02R0406A5	FHLMC	4.00	1/6/2030	700,000	736,969
21H0326A3	GNMA	3.50	1/24/2031	300,000	310,266
21H0426A2	GNMA	4.50	8/10/2029	250,000	271,211
31283HVE2	FHLMC	6.00	9/2/2025	6,488	7,419
31283HWZ4	FHLMC	6.00	11/11/2025	4,498	5,144

Page 6



Cusip	Security Description	Coupon	Maturity	Par	Market Value
31283K4C9	FHLMC	5.00	10/9/2017	2,517,861	2,670,432
31283KJU3	FHLMC	6.50	11/15/2014	622	635
31288HRU6	FHLMC	6.00	10/18/2025	7,146	8,257
3128GNW87	FHLMC	5.00	11/8/2015	472	476
3128GNY77	FHLMC	5.00	11/8/2015	2,902	3,062
3128GP3U5	FHLMC	5.00	12/9/2015	389	404
3128GP3V3	FHLMC	5.00	12/9/2015	2,673	2,819
3128GP4U4	FHLMC	5.00	12/11/2015	1,780	1,813
3128GPSA2	FHLMC	5.00	11/23/2015	743	749
3128GQ3Q2	FHLMC	5.00	12/25/2015	904	940
3128GQ6E6	FHLMC	5.00	12/24/2015	669	706
3128GQGA3	FHLMC	5.00	12/9/2015	1,233	1,301
3128GQJT9	FHLMC	5.00	12/9/2015	1,338	1,360
3128GQK26	FHLMC	5.00	12/9/2015	1,389	1,465
3128GQK34	FHLMC	5.00	12/9/2015	109	110
3128GQKB6	FHLMC	5.00	12/9/2015	568	575
3128GQP54	FHLMC	5.00	12/9/2015	2,388	2,443
3128GQQQ7	FHLMC	5.00	12/25/2015	1,767	1,853
3128GQQZ7	FHLMC	5.00	12/25/2015	2,282	2,407
3128GQSG7	FHLMC	5.00	12/25/2015	558	561
3128GQU58	FHLMC	5.00	12/25/2015	914	964
3128GQU90	FHLMC	5.00	12/24/2015	240	242
3128GQVB4	FHLMC	5.00	12/25/2015	675	702
3128GQW49	FHLMC	5.00	12/25/2015	2,470	2,606
3128GR3Y3	FHLMC	5.00	12/25/2015	2,925	3,086
3128GR6N4	FHLMC	5.00	1/26/2016	1,928	2,034
3128GRBH1	FHLMC	5.00	12/25/2015	319	321
3128GRFT1	FHLMC	5.00	1/10/2016	1,822	1,923
3128GRJD2	FHLMC	5.00	1/10/2016	414	437
3128GRLA5	FHLMC	5.00	1/11/2016	3,557	3,753
3128GRM71	FHLMC	5.00	1/10/2016	536	541
3128GRQA0	FHLMC	5.00	1/10/2016	1,493	1,556
3128GRSP5	FHLMC	5.00	1/10/2016	1,112	1,170
3128GRSY6	FHLMC	5.00	1/10/2016	1,491	1,573
3128GRUF4	FHLMC	5.00	1/11/2016	525	528
3128GRUT4	FHLMC	5.00	1/11/2016	2,783	2,921
3128GRWQ8	FHLMC	5.00	12/25/2015	209	210
3128GRYD5	FHLMC	5.00	1/26/2016	864	872
3128GS5Y9	FHLMC	5.00	1/26/2016	1,638	1,664
3128GSDJ3	FHLMC	5.00	1/26/2016	2,997	3,162
3128GSGB7	FHLMC	5.00	1/26/2016	2,382	2,513
3128GSGU5	FHLMC	5.00	1/26/2016	4,203	4,435
3128GSKE6	FHLMC	5.00	1/26/2016	2,702	2,851
3128GSKV8	FHLMC	5.00	1/26/2016	2,413	2,471
3128GSLX3	FHLMC	5.00	1/26/2016	551	561

Page 7



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128GSLY1	FHLMC	5.00	1/26/2016	1,766	1,863
3128GSNL7	FHLMC	5.00	1/26/2016	892	901
3128GSQN0	FHLMC	5.00	1/26/2016	2,544	2,675
3128GSSN8	FHLMC	5.00	1/26/2016	4,886	5,155
3128GV2N9	FHLMC	5.00	4/30/2016	8,637	9,113
3128GV3C2	FHLMC	5.00	4/30/2016	3,522	3,716
3128GV3D0	FHLMC	5.00	5/1/2016	5,677	5,989
3128GV3Z1	FHLMC	5.00	5/1/2016	6,466	6,823
3128GV7G9	FHLMC	5.00	4/30/2016	1,768	1,874
3128GVBY5	FHLMC	5.00	3/30/2016	394	416
3128GVH94	FHLMC	5.00	4/14/2016	973	986
3128GVJA9	FHLMC	5.00	4/15/2016	2,276	2,401
3128GVJB7	FHLMC	5.00	4/15/2016	1,737	1,835
3128GVJQ4	FHLMC	5.00	4/15/2016	1,581	1,668
3128GVLF5	FHLMC	5.00	4/15/2016	1,091	1,112
3128GVLH1	FHLMC	5.00	4/15/2016	2,141	2,259
3128GVLJ7	FHLMC	5.00	4/15/2016	4,647	4,903
3128GVMM9	FHLMC	5.00	3/30/2016	535	538
3128GVNL0	FHLMC	5.00	4/15/2016	1,720	1,818
3128GVNM8	FHLMC	5.00	4/15/2016	1,895	1,999
3128GVNN6	FHLMC	5.00	4/16/2016	2,827	3,069
3128GVNV8	FHLMC	5.00	4/14/2016	845	853
3128GVNX4	FHLMC	5.00	4/15/2016	18,066	19,061
3128GVPM6	FHLMC	5.00	4/15/2016	2,155	2,274
3128GVPN4	FHLMC	5.00	4/16/2016	1,639	1,733
3128GVPP9	FHLMC	5.00	4/15/2016	2,759	2,911
3128GVQH6	FHLMC	5.00	4/15/2016	5,434	5,734
3128GVRA0	FHLMC	5.00	4/16/2016	799	810
3128GVRC6	FHLMC	5.00	4/16/2016	1,983	2,093
3128GVRE2	FHLMC	5.00	4/14/2016	2,492	2,544
3128GVRS1	FHLMC	5.00	4/15/2016	1,007	1,023
3128GVRT9	FHLMC	5.00	4/16/2016	3,083	3,253
3128GVRY8	FHLMC	5.00	4/16/2016	13,745	14,502
3128GVT83	FHLMC	5.00	4/15/2016	4,813	5,078
3128GVTN0	FHLMC	5.00	4/15/2016	1,743	1,770
3128GVTW0	FHLMC	5.00	4/16/2016	3,048	3,216
3128GVUD0	FHLMC	5.00	4/15/2016	312	320
3128GVUE8	FHLMC	5.00	4/16/2016	3,070	3,239
3128GVUX6	FHLMC	5.00	4/30/2016	1,439	1,465
3128GVVE7	FHLMC	5.00	5/1/2016	7,600	8,018
3128GVVF4	FHLMC	5.00	5/1/2016	3,343	3,527
3128GVVJ6	FHLMC	5.00	4/30/2016	6,763	7,135
3128GVVY3	FHLMC	5.00	5/1/2016	3,044	3,212
3128GVW22	FHLMC	5.00	4/16/2016	1,166	1,230
3128GVW89	FHLMC	5.00	5/1/2016	1,812	1,926

Page 8



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128GVZV5	FHLMC	5.00	5/1/2016	3,192	3,368
3128GW5Q7	FHLMC	5.00	5/17/2016	3,675	3,913
3128GW6G8	FHLMC	5.00	5/16/2016	2,115	2,232
3128GWAQ1	FHLMC	5.00	4/30/2016	830	840
3128GWAT5	FHLMC	5.00	4/30/2016	5,573	5,880
3128GWAU2	FHLMC	5.00	5/1/2016	6,983	7,367
3128GWB49	FHLMC	5.00	5/1/2016	484	511
3128GWB80	FHLMC	5.00	5/1/2016	4,576	4,828
3128GWBH0	FHLMC	5.00	4/30/2016	4,777	5,040
3128GWC89	FHLMC	5.00	5/2/2016	2,129	2,247
3128GWCL0	FHLMC	5.00	5/2/2016	3,749	3,955
3128GWCW6	FHLMC	5.00	5/1/2016	2,051	2,164
3128GWDP0	FHLMC	5.00	5/2/2016	2,467	2,603
3128GWEG9	FHLMC	5.00	5/2/2016	10,320	10,888
3128GWEK0	FHLMC	5.00	4/30/2016	3,154	3,357
3128GWEP9	FHLMC	5.00	5/1/2016	916	965
3128GWF86	FHLMC	5.00	5/1/2016	2,875	3,033
3128GWFN3	FHLMC	5.00	5/2/2016	2,359	2,493
3128GWHH4	FHLMC	5.00	5/1/2016	1,605	1,694
3128GWJG4	FHLMC	5.00	5/17/2016	6,500	6,858
3128GWK31	FHLMC	5.00	5/1/2016	2,663	2,810
3128GWK56	FHLMC	5.00	5/17/2016	3,923	4,139
3128GWMS4	FHLMC	5.00	5/17/2016	1,734	1,846
3128GWP85	FHLMC	5.00	5/16/2016	1,912	2,018
3128GWQ27	FHLMC	5.00	5/17/2016	5,265	5,555
3128GWQ92	FHLMC	5.00	5/16/2016	3,836	4,048
3128GWQN1	FHLMC	5.00	5/16/2016	3,033	3,200
3128GWQY7	FHLMC	5.00	5/16/2016	1,431	1,519
3128GWR42	FHLMC	5.00	5/17/2016	4,362	4,602
3128GWV21	FHLMC	5.00	5/16/2016	4,138	4,366
3128GWVL9	FHLMC	5.00	5/16/2016	617	651
3128GWWM6	FHLMC	5.00	5/16/2016	493	520
3128GWXD5	FHLMC	5.00	5/16/2016	2,211	2,347
3128GWYS1	FHLMC	5.00	5/17/2016	266	281
3128GWZQ4	FHLMC	5.00	5/16/2016	2,970	3,134
3128GXAX4	FHLMC	5.00	5/17/2016	9,180	9,686
3128GXBC9	FHLMC	5.00	5/17/2016	1,691	1,797
3128GXEA0	FHLMC	5.00	6/2/2016	3,002	3,168
3128GXEK8	FHLMC	5.00	6/2/2016	1,463	1,543
3128GXFT8	FHLMC	5.00	6/3/2016	4,894	5,164
3128GXHA7	FHLMC	5.00	6/3/2016	5,423	5,721
3128GXHQ2	FHLMC	5.00	6/2/2016	5,869	6,192
3128GXN36	FHLMC	5.00	6/2/2016	4,992	5,267
3128GY2H6	FHLMC	5.00	7/4/2016	4,708	4,969
3128GYF66	FHLMC	5.00	6/18/2016	966	976

Page 9



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128GYG73	FHLMC	5.00	6/17/2016	5,291	5,584
3128GYKK9	FHLMC	5.00	6/18/2016	335	353
3128GYLX0	FHLMC	5.00	6/18/2016	550	553
3128GYNT7	FHLMC	5.00	7/4/2016	734	741
3128GYQC1	FHLMC	5.00	7/5/2016	4,237	4,472
3128GYS88	FHLMC	5.00	7/4/2016	111	112
3128GYTW4	FHLMC	5.00	7/4/2016	835	846
3128GYU44	FHLMC	5.00	7/4/2016	3,223	3,402
3128GYU51	FHLMC	5.00	7/4/2016	3,601	3,801
3128GYV35	FHLMC	5.00	7/5/2016	6,012	6,345
3128GYVB7	FHLMC	5.50	7/6/2016	26,276	27,620
3128GYVZ4	FHLMC	5.00	7/4/2016	4,198	4,430
3128GYZE7	FHLMC	5.00	7/4/2016	2,954	3,117
3128H22V4	FHLMC	5.00	8/6/2016	2,278	2,404
3128H25K5	FHLMC	5.00	8/5/2016	1,329	1,350
3128H26M0	FHLMC	5.50	7/21/2016	264,235	277,748
3128H26W8	FHLMC	5.50	7/5/2016	128,725	135,308
3128H27K3	FHLMC	5.00	8/6/2016	937	951
3128H2B69	FHLMC	5.00	7/4/2016	6,815	7,193
3128H2B77	FHLMC	5.00	7/5/2016	6,560	6,923
3128H2B85	FHLMC	5.00	7/4/2016	4,492	4,741
3128H2C84	FHLMC	5.00	7/4/2016	484	491
3128H2E41	FHLMC	5.00	7/20/2016	5,071	5,352
3128H2ED1	FHLMC	5.00	7/4/2016	10,151	10,713
3128H2EG4	FHLMC	5.00	7/5/2016	6,887	7,268
3128H2LV3	FHLMC	5.00	7/4/2016	5,360	5,657
3128H2LY7	FHLMC	5.00	7/20/2016	2,805	2,960
3128H2QV8	FHLMC	5.00	7/20/2016	7,205	7,604
3128H2T86	FHLMC	5.00	7/20/2016	230	243
3128H2TF0	FHLMC	5.00	7/20/2016	6,677	7,047
3128H2TJ2	FHLMC	5.00	7/20/2016	885	895
3128H2TW3	FHLMC	5.00	7/21/2016	6,229	6,574
3128H2VW0	FHLMC	5.00	7/20/2016	8,397	8,862
3128H2YM9	FHLMC	5.00	7/21/2016	1,419	1,499
3128H2YN7	FHLMC	5.00	7/20/2016	2,004	2,142
3128H2YS6	FHLMC	5.00	7/22/2016	2,121	2,270
3128H2ZJ5	FHLMC	5.00	7/20/2016	2,331	2,489
3128H2ZT3	FHLMC	5.00	8/6/2016	2,092	2,221
3128H2ZU0	FHLMC	5.00	8/6/2016	5,960	6,290
3128H32W0	FHLMC	5.00	8/6/2016	3,044	3,211
3128H3C25	FHLMC	5.00	8/7/2016	835	844
3128H3CD1	FHLMC	5.00	8/6/2016	1,874	1,978
3128H3FG1	FHLMC	5.00	8/7/2016	3,747	3,954
3128H3MN8	FHLMC	5.00	8/7/2016	7,689	8,115
3128H3N72	FHLMC	5.00	8/6/2016	2,127	2,277

Page 10



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128H3RY9	FHLMC	5.00	8/21/2016	7,304	7,708
3128H3S36	FHLMC	5.00	8/8/2016	3,563	3,760
3128H3SZ5	FHLMC	5.00	8/23/2016	4,194	4,426
3128H3V65	FHLMC	5.00	8/22/2016	1,452	1,480
3128H3WF4	FHLMC	5.00	8/7/2016	3,162	3,337
3128H3XU0	FHLMC	5.00	8/21/2016	4,055	4,340
3128H45V7	FHLMC	5.00	9/9/2016	4,811	5,078
3128H4J59	FHLMC	5.00	9/8/2016	3,270	3,451
3128H4JG5	FHLMC	5.00	8/23/2016	4,248	4,547
3128H4JT7	FHLMC	5.00	9/8/2016	7,922	8,361
3128H5JX5	FHLMC	5.00	9/24/2016	7,112	7,505
3128H5RP3	FHLMC	5.00	9/25/2016	4,081	4,368
3128H5TK2	FHLMC	5.00	9/24/2016	9,054	9,556
3128H6BG8	FHLMC	5.00	9/25/2016	7,260	7,662
3128H6CZ5	FHLMC	5.00	9/24/2016	5,440	5,741
3128H6FR0	FHLMC	5.00	10/9/2016	5,536	5,842
3128H6FU3	FHLMC	5.00	10/10/2016	2,896	3,099
3128H6WU4	FHLMC	5.50	10/12/2016	89,583	94,987
3128H6XM1	FHLMC	5.00	10/10/2016	1,691	1,784
3128H6ZC1	FHLMC	5.50	9/26/2016	31,051	32,924
3128H77K2	FHLMC	5.50	11/17/2016	101,632	107,763
3128JLDM8	FHLMC	2.30	1/8/2025	118,817	124,776
3128JLEY1	FHLMC	2.33	1/11/2025	190,972	204,290
3128JLHB8	FHLMC	2.31	1/9/2025	38,331	40,569
3128JMW45	FHLMC	2.53	10/6/2025	54,905	58,876
3128JMY68	FHLMC	2.52	10/6/2025	66,982	72,748
3128JMZG5	FHLMC	2.51	10/5/2025	99,484	106,704
3128JNAL9	FHLMC	2.53	11/29/2025	124,327	132,252
3128JRP26	FHLMC	2.37	3/7/2025	1,224,814	1,290,618
3128K17K1	FHLMC	5.00	7/16/2027	370,752	409,555
3128K9KT0	FHLMC	5.50	7/24/2027	35,911	39,909
3128KA4Z1	FHLMC	6.00	1/23/2028	26,846	30,462
3128KALC3	FHLMC	6.00	1/30/2028	2,572	2,899
3128KE5H2	FHLMC	6.50	7/2/2028	111,697	127,378
3128KLSB4	FHLMC	5.00	4/21/2028	308,837	340,050
3128KU3J4	FHLMC	6.00	11/23/2028	111,482	125,775
3128KULK1	FHLMC	6.00	11/22/2028	1,835	2,068
3128KWH30	FHLMC	6.00	1/20/2029	16,557	18,665
3128KWMW0	FHLMC	6.00	2/25/2029	134,095	151,545
3128L0SP8	FHLMC	6.00	2/24/2029	4,108	4,642
3128L0SR4	FHLMC	6.00	3/1/2029	153,854	174,085
3128L1WP1	FHLMC	6.00	4/10/2029	25,230	28,443
3128LAFP0	FHLMC	6.00	4/29/2029	59,208	66,744
3128LXUJ7	FHLMC	6.00	6/16/2028	98,283	110,798
3128M4GD9	FHLMC	6.00	7/30/2028	34,589	38,993

Page 11



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128M4XA6	FHLMC	5.50	9/15/2028	1,059,004	1,178,968
3128M4YR8	FHLMC	6.00	12/8/2028	86,063	97,023
3128M5GA2	FHLMC	6.00	1/22/2029	71,755	80,892
3128M5NP1	FHLMC	6.00	3/15/2029	1,702	1,919
3128M5R93	FHLMC	5.50	3/11/2029	17,337	19,263
3128M5RA0	FHLMC	6.00	4/17/2029	9,808	11,057
3128M6AV0	FHLMC	5.50	3/21/2029	37,059	41,186
3128M6JM1	FHLMC	5.00	4/1/2029	7,716,212	8,496,774
3128M6SA7	FHLMC	6.00	10/11/2029	111,788	126,017
3128M6SN9	FHLMC	5.00	12/28/2027	999,023	1,103,582
3128M7MQ6	FHLMC	6.00	8/30/2026	489,529	559,821
3128M7NR3	FHLMC	5.00	11/22/2029	918,735	1,012,196
3128M7PN0	FHLMC	5.00	12/23/2029	524,293	583,022
3128M7QZ2	FHLMC	5.00	8/28/2029	801,988	885,925
3128M7SY3	FHLMC	6.00	12/14/2028	6,300,858	7,202,610
3128M7YU4	FHLMC	6.00	10/8/2026	12,087,518	13,876,012
3128M8AV6	FHLMC	5.50	6/4/2030	2,233,028	2,481,663
3128M8CY8	FHLMC	5.00	10/24/2030	1,428,448	1,572,948
3128M8GV0	FHLMC	6.00	11/19/2027	3,848,267	4,399,015
3128M8HQ0	FHLMC	4.00	6/13/2030	371,342	391,204
3128M8TX2	FHLMC	6.00	4/4/2029	839,827	946,766
3128M9CM2	FHLMC	4.00	3/14/2021	712,904	751,150
3128MCUW3	FHLMC	4.00	10/29/2020	3,168,945	3,370,525
3128MJH94	FHLMC	5.00	12/21/2028	607,245	668,673
3128MJS43	FHLMC	3.50	10/22/2031	499,924	510,712
3128MJUW8	FHLMC	4.50	4/21/2033	966,685	1,043,414
3128MJUZ1	FHLMC	3.50	10/4/2032	11,475,072	11,723,600
3128MMAC7	FHLMC	5.00	4/5/2017	199,943	212,059
3128MMM67	FHLMC	3.50	12/3/2020	396,750	417,584
3128MMNX7	FHLMC	3.50	4/5/2021	5,107,651	5,375,867
3128MMQ55	FHLMC	2.50	3/6/2022	454,041	457,185
3128NCBH6	FHLMC	1.98	9/5/2025	228,157	235,076
3128P7JE4	FHLMC	5.00	4/22/2022	4,446	4,932
3128P7JH7	FHLMC	5.00	4/29/2022	87,441	96,987
3128PR7G8	FHLMC	4.00	8/7/2020	762,322	810,814
3128PRVD8	FHLMC	4.00	7/17/2020	427,460	454,651
3128PRWU9	FHLMC	4.00	8/4/2020	617,469	656,747
3128PRZ85	FHLMC	4.00	8/5/2020	326,838	347,628
3128PSBA4	FHLMC	4.00	8/21/2020	559,679	595,281
3128PUGE6	FHLMC	3.50	11/14/2020	474,175	499,075
3128PUQT2	FHLMC	3.50	12/28/2020	612,402	644,561
3128PURZ7	FHLMC	3.50	12/25/2020	484,565	510,011
3128PUVC3	FHLMC	3.50	12/22/2020	469,098	493,732
3128PUVP4	FHLMC	3.50	12/25/2020	392,460	413,069
3128PUW73	FHLMC	3.50	1/9/2021	639,354	672,928

Page 12



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128PUXF4	FHLMC	3.50	12/22/2020	397,634	418,515
3128PVBD1	FHLMC	4.00	2/4/2021	485,039	516,804
3128PVCG3	FHLMC	4.00	1/28/2021	474,410	505,478
3128PWV21	FHLMC	3.00	3/19/2021	2,395,888	2,465,730
3128PWWS3	FHLMC	3.00	3/9/2021	598,748	616,201
312906J50	FHLMC	8.50	11/6/2016	25,942	28,354
31292G4T0	FHLMC	6.00	5/11/2023	4,516	4,889
31292GZM1	FHLMC	6.00	3/14/2023	427	462
31292K4D6	FHLMC	4.00	3/24/2030	697,162	734,461
31292LL60	FHLMC	3.50	2/13/2031	536,059	548,670
31292SAD2	FHLMC	3.50	3/8/2031	1,136,445	1,160,931
312931D62	FHLMC	4.00	4/25/2029	110,036	115,910
312931TJ7	FHLMC	5.00	9/18/2029	1,315,412	1,450,155
312932CX2	FHLMC	4.50	6/17/2029	568,762	618,835
312935KY4	FHLMC	4.50	9/10/2029	156,037	170,169
312935LV9	FHLMC	4.50	9/24/2029	118,035	128,726
312935MV8	FHLMC	4.50	10/2/2029	1,098,941	1,200,746
3129385D1	FHLMC	5.00	2/22/2030	48,669	54,172
31293WH45	FHLMC	6.00	6/15/2023	10,358	11,214
312942L52	FHLMC	4.50	6/11/2030	792,518	855,528
312943HT3	FHLMC	4.00	5/10/2030	6,260,763	6,620,054
312943Y31	FHLMC	4.00	6/5/2030	1,278,766	1,352,152
312944BN0	FHLMC	4.00	4/30/2030	1,707,109	1,799,372
3129455Y0	FHLMC	4.50	4/9/2027	179,388	193,773
312945CK2	FHLMC	4.00	4/25/2030	150,440	159,073
312945ZD3	FHLMC	4.00	6/13/2030	224,112	236,098
312946GL4	FHLMC	4.00	7/17/2030	282,578	297,692
312946JE7	FHLMC	4.50	4/24/2027	416,779	450,199
312946PD2	FHLMC	4.50	10/1/2030	3,034,673	3,278,013
312946X35	FHLMC	4.50	5/29/2027	1,555,602	1,680,341
31294KDZ5	FHLMC	5.00	10/7/2015	371	392
31294KFJ9	FHLMC	5.00	11/8/2015	351	370
31294KHD0	FHLMC	5.00	12/25/2015	1,348	1,422
31294KHL2	FHLMC	5.00	1/10/2016	1,959	2,067
31294KJT3	FHLMC	5.00	2/12/2016	875	915
31294MAK7	FHLMC	4.00	8/30/2020	365,762	389,028
31294MJP7	FHLMC	3.50	4/8/2021	1,607,937	1,692,374
312962CQ4	FHLMC	5.00	10/10/2016	1,111	1,134
312962CT8	FHLMC	5.00	10/10/2016	122	122
312962KT9	FHLMC	5.00	11/11/2016	4,502	4,818
312962MD2	FHLMC	5.00	11/27/2016	8,948	9,444
312962Q63	FHLMC	5.50	11/16/2016	6,493	6,885
312962UW1	FHLMC	5.50	11/30/2016	317,957	337,136
312963WH0	FHLMC	5.50	12/18/2016	6,470	6,861
3129642B4	FHLMC	5.50	2/5/2017	25,584	27,131

Page 13



Cusip	Security Description	Coupon	Maturity	Par	Market Value
312964KG3	FHLMC	5.00	1/17/2017	652	657
312964WX3	FHLMC	5.50	11/15/2016	151,445	160,580
312965QA7	FHLMC	5.50	11/30/2016	76,053	80,640
312966WU4	FHLMC	5.50	3/8/2017	730,027	774,162
312968QL7	FHLMC	5.50	12/17/2016	550,080	578,211
31296KN58	FHLMC	6.00	2/8/2026	35,140	40,604
31296NEK9	FHLMC	5.00	11/14/2025	938,789	1,037,774
31296SBH8	FHLMC	6.00	4/20/2026	5,344	6,134
31297SFC4	FHLMC	5.50	4/26/2027	33,282	37,166
31297US50	FHLMC	5.50	5/12/2027	47,057	52,548
31298HM47	FHLMC	6.00	6/16/2024	7,564	8,650
3132FCBT1	FHLMC	5.00	11/5/2027	740,462	821,583
3132GD6M9	FHLMC	4.50	11/17/2030	573,119	619,076
3132GDRC8	FHLMC	4.50	5/27/2027	2,011,407	2,172,694
3132GDS86	FHLMC	4.50	11/27/2030	2,950,607	3,187,205
3132GE6P0	FHLMC	5.00	4/2/2031	396,095	440,677
3132GJ3K3	FHLMC	4.00	12/8/2030	908,378	956,964
3132GJR27	FHLMC	4.00	12/9/2030	48,287	51,045
3132GLUA0	FHLMC	4.00	2/8/2031	695,815	733,031
3132GMHA3	FHLMC	3.50	11/18/2030	437,238	446,659
3132GRL66	FHLMC	3.50	11/23/2030	1,062,401	1,086,063
3132GRN80	FHLMC	4.00	2/17/2031	550,103	579,448
3132GUKK9	FHLMC	3.50	2/18/2031	1,133,966	1,158,399
3132GUX90	FHLMC	3.50	3/4/2031	932,888	953,665
3132HM5D9	FHLMC	3.50	5/6/2031	987,977	1,009,265
3132HQEQ1	FHLMC	3.00	1/16/2031	456,038	450,553
3132HQFE7	FHLMC	4.00	9/11/2031	21,496	22,752
3132J9AW8	FHLMC	4.00	12/24/2031	180,774	191,189
3132J9GA0	FHLMC	4.00	1/6/2032	85,513	90,440
3132J9JD1	FHLMC	3.00	7/10/2031	1,415,564	1,398,522
3132J9NB0	FHLMC	4.00	12/28/2031	125,345	132,884
3132J9WS3	FHLMC	4.00	1/5/2032	175,979	186,563
3132JMR92	FHLMC	4.00	2/2/2032	99,374	105,099
3132JMVQ9	FHLMC	4.00	5/2/2032	228,967	242,739
3132JNND5	FHLMC	4.00	5/21/2032	120,450	127,695
3132JNNP8	FHLMC	4.00	5/4/2032	85,232	90,142
3132JPJD5	FHLMC	4.00	4/19/2032	302,156	319,564
3132JPJH6	FHLMC	4.00	4/13/2032	218,914	232,081
31342A6F1	FHLMC	2.36	1/15/2025	224,422	239,679
31349UCW6	FHLMC	2.23	8/14/2025	108,555	114,862
31349UEJ3	FHLMC	2.38	9/18/2025	187,504	201,198
31349ULB2	FHLMC	2.38	11/11/2025	194,418	206,863
31349UMF2	FHLMC	2.38	11/28/2025	297,793	319,653
313602YQ1	FANNIE MAE FNMA_89-44	9.00	6/22/2016	25,718	27,883
31368HL35	FNMA	5.50	3/14/2026	28,644	32,182

Page 14



Cusip	Security Description	Coupon	Maturity	Par	Market Value
31368HMB6	FNMA	5.50	11/17/2026	257,787	289,602
31368HNM1	FNMA	4.50	8/9/2029	13,648	14,728
3136A77K2	FNMA	2.80	9/17/2016	1,168,439	1,167,039
31371MEP8	FNMA	5.00	4/7/2027	3,197	3,530
31371N4F9	FNMA	6.00	11/16/2022	125,773	142,734
31371NVX0	FNMA	5.00	12/10/2028	677,327	746,958
31374CN36	FNMA	6.00	8/24/2030	12,722	14,359
31374CNV4	FNMA	5.50	9/30/2028	252,800	284,000
3137A83K2	FHR_3820D DA	4.00	10/4/2017	15,122,276	16,074,919
3137AEH65	FHLMC_3917	0.65	5/25/2018	1,246,225	1,252,129
3137AEV77	FHLMC	2.70	9/27/2017	8,300,000	8,572,912
3137ANMN2	FHLMC MULTIFAMILY STRUCTURED P	2.22	11/19/2018	500,000	505,190
3137B4PT7	FHLMC_4246	6.50	12/19/2019	6,258,025	7,157,473
3137B4UY0	FHLMC_4248	6.50	2/22/2020	11,645,437	13,308,785
31381QFF8	FNMA	3.75	8/5/2016	8,201,163	8,681,907
31385RB58	FNMA	8.50	4/29/2024	555,239	606,603
31385XAZ0	FNMA	5.50	10/16/2025	405,524	455,617
31385XEC7	FNMA	5.50	11/6/2025	9,008	10,120
31385XK48	FNMA	2.35	11/19/2024	131,384	138,235
31385XM87	FNMA	4.50	10/24/2025	4,230,934	4,586,448
31388XVV3	FNMA	1.92	10/20/2024	3,852,866	3,975,846
31389EVA0	FNMA	6.50	12/5/2015	279,921	293,937
31389EVB8	FNMA	6.50	12/5/2015	485,625	508,929
3138A1CT6	FNMA	4.00	7/5/2026	57,792	60,958
3138A1SK8	FNMA	4.00	5/23/2030	1,082,475	1,142,292
3138A1SU6	FNMA	4.00	5/30/2030	189,901	200,351
3138A2CK3	FNMA	4.00	11/8/2020	1,382,470	1,468,998
3138A2DD8	FNMA	4.00	5/15/2030	32,629	34,415
3138A2PD5	FNMA	3.50	11/6/2020	949,375	999,803
3138A2ZZ5	FNMA	4.00	11/8/2030	549,607	579,713
3138A3VB0	FNMA	4.00	5/26/2030	3,213,338	3,392,871
3138A3WC7	FNMA	4.00	6/29/2030	164,401	173,400
3138A5D33	FNMA	4.50	9/17/2030	4,506,305	4,867,030
3138A5TQ5	FNMA	4.00	7/1/2030	1,018,427	1,074,172
3138A5YL0	FNMA	4.50	9/27/2030	284,667	307,421
3138A6LD0	FNMA	5.00	12/27/2030	184,165	203,500
3138A7HY7	FNMA	3.50	4/1/2030	831,593	850,945
3138A8A48	FNMA	4.00	7/10/2030	569,514	600,710
3138A8N51	FNMA	4.50	10/12/2030	4,324,151	4,670,294
3138AA4M0	FNMA	4.50	10/22/2030	3,788,327	4,123,499
3138ADUG8	FNMA	5.00	3/6/2031	416,408	460,125
3138AET45	FNMA	4.50	11/22/2030	1,613,447	1,742,601
3138AEZG1	FNMA	4.00	11/15/2030	547,834	577,843
3138AHTD8	FNMA	5.00	3/15/2031	129,152	143,047
3138AJK50	FNMA	4.50	1/2/2031	185,578	200,433

Page 15



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3138AJNH1	FNMA	4.50	12/30/2030	2,227,578	2,405,893
3138AJWD0	FNMA	4.50	1/18/2031	881,830	952,420
3138AKEK1	FNMA	4.50	1/30/2031	5,556,987	6,001,817
3138ANZG1	FNMA	4.50	2/16/2031	154,608	166,984
3138AS4N9	FNMA	4.50	3/26/2031	1,805,545	1,950,077
3138AT4B3	FNMA	4.00	5/15/2031	698,390	736,662
3138AUP84	FNMA	4.50	4/27/2031	39,972	43,172
3138E04T3	FNMA	3.50	12/14/2030	355,264	363,549
3138E0Q93	FNMA	3.50	10/29/2030	1,451,225	1,490,183
3138E2GH2	FNMA	4.00	2/7/2031	1,919,723	2,024,879
3138E4EB3	FNMA	2.50	6/4/2021	724,208	729,887
3138E4F89	FNMA	4.00	2/25/2031	62,154	65,560
3138E4UV1	FNMA	4.00	1/27/2031	3,948,223	4,164,492
3138E7JB1	FNMA	2.50	6/18/2021	780,059	786,177
3138ECTY9	FNMA	2.50	6/9/2021	562,568	566,980
3138ECYM9	FNMA	2.50	6/7/2021	563,423	567,841
3138ECYV9	FNMA	2.50	6/22/2021	746,145	751,997
3138EGH72	FNMA	4.00	1/2/2021	562,003	597,179
3138EGHX5	FNMA	4.00	8/23/2030	5,457,238	5,773,965
3138EGSP0	FNMA	5.50	7/18/2028	96,811	108,759
3138EGTA2	FNMA	5.00	12/10/2028	307,708	339,853
3138EH6R8	FNMA	5.50	9/15/2029	94,955	106,674
3138EHGN6	FNMA	5.50	2/6/2029	47,531	53,397
3138EHWE8	FNMA	5.50	9/24/2028	46,127	51,825
3138EJCC0	FNMA	4.00	12/8/2030	1,694,525	1,787,345
3138EJEW4	FNMA	4.00	2/25/2031	572,669	605,906
3138EJQN1	FNMA	5.50	2/7/2029	70,499	79,200
3138EJRB6	FNMA	3.50	6/24/2031	4,965,055	5,080,843
3138EJRP5	FNMA	4.38	5/11/2018	6,246,347	6,836,407
3138EKKV6	FNMA	5.50	1/26/2029	145,807	163,802
3138EKNB7	FNMA	5.50	10/5/2028	128,167	143,998
3138EKNF8	FNMA	3.00	5/5/2031	354,539	352,730
3138EKW35	FNMA	6.00	7/6/2031	6,594,706	7,442,760
3138EKZS7	FNMA	5.00	6/8/2031	193,879	213,818
3138ELPP2	FNMA	4.50	8/1/2031	1,539,255	1,662,470
3138ELX65	FNMA	4.50	5/30/2031	1,398,804	1,510,612
3138LQES9	FNMA	4.00	4/7/2031	695,789	733,918
3138LSR85	FNMA	3.00	3/7/2031	102,622	102,098
3138LTLA4	FNMA	3.00	7/23/2021	981,937	1,012,279
3138LUZP3	FNMA	2.50	7/5/2021	990,277	997,709
3138LVEU3	FNMA	4.00	7/23/2031	689,200	727,461
3138LVH89	FNMA	3.00	3/5/2031	93,059	92,584
3138LVJ87	FNMA	3.00	8/12/2021	2,001,003	2,062,834
3138LXT41	FNMA	3.00	1/9/2031	48,813	48,564
3138M13D8	FNMA	3.50	5/27/2031	3,397,808	3,477,264

Page 16



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3138M13G1	FNMA	3.50	6/19/2031	5,825,962	5,962,198
3138M7GY5	FNMA	3.00	1/25/2031	123,512	122,881
3138M7W27	FNMA	3.00	1/2/2031	130,554	129,725
3138M93L3	FNMA	3.00	1/8/2031	70,070	69,712
3138M9BU4	FNMA	3.00	2/7/2031	782,417	773,736
3138MBAT3	FNMA	3.00	3/27/2031	54,035	53,759
3138MC2V5	FNMA	3.00	2/20/2031	116,609	116,013
3138MCFB5	FNMA	3.00	2/15/2031	127,302	126,653
3138MCT46	FNMA	3.00	4/9/2031	55,918	55,563
3138MDWE8	FNMA	3.00	1/25/2031	59,127	58,825
3138MFNJ2	FNMA	3.00	2/3/2031	86,870	86,426
3138MFPE1	FNMA	2.50	9/27/2021	651,021	655,574
3138MFSR9	FNMA	3.50	6/25/2031	1,436,283	1,469,869
3138MFW37	FNMA	3.00	5/11/2031	157,802	156,997
3138MFW52	FNMA	3.00	4/16/2031	82,892	82,469
3138MGMC6	FNMA	3.00	3/25/2031	182,623	181,463
3138MHKF9	FNMA	3.50	6/28/2031	43,736	44,759
3138MHKP7	FNMA	3.00	3/25/2031	68,866	68,515
3138MHKQ5	FNMA	3.00	3/19/2031	118,107	117,357
3138MHXJ7	FNMA	3.00	4/30/2031	53,073	52,802
3138MJ6T1	FNMA	3.00	3/7/2031	102,828	102,303
3138MJGD5	FNMA	3.00	3/14/2031	138,352	137,646
3138MJQU6	FNMA	3.00	2/5/2031	138,691	137,983
3138MJXK0	FNMA	3.00	5/5/2031	1,280,923	1,266,710
3138MKB70	FNMA	3.00	3/22/2031	94,925	94,440
3138MKQH2	FNMA	3.00	6/14/2031	307,459	305,506
3138ML5B6	FNMA	3.00	5/10/2031	298,278	296,755
3138MLE67	FNMA	3.00	2/23/2031	429,208	427,018
3138MLMY7	FNMA	3.00	3/17/2031	51,420	51,157
3138MLTC8	FNMA	3.00	5/8/2031	244,462	243,214
3138MMAB8	FNMA	3.00	5/26/2031	278,554	277,132
3138MMCE0	FNMA	3.00	2/22/2031	60,108	59,801
3138MMJ37	FNMA	3.00	3/10/2031	98,386	97,884
3138MMKP6	FNMA	3.00	4/5/2031	50,188	49,932
3138MMNW8	FNMA	3.00	2/24/2031	230,583	229,406
3138MMY63	FNMA	3.00	1/15/2031	155,561	154,767
3138MN5G1	FNMA	3.00	3/30/2031	282,146	280,354
3138MNAT7	FNMA	3.00	3/13/2031	79,148	78,744
3138MNJQ4	FNMA	3.00	3/24/2031	71,383	71,018
3138MNQL7	FNMA	3.00	3/10/2031	543,140	539,694
3138MNQP8	FNMA	3.00	3/12/2031	424,496	422,330
3138MP2W4	FNMA	3.00	4/9/2031	53,651	53,310
3138MPBU8	FNMA	3.00	3/13/2031	124,322	123,688
3138MPDQ5	FNMA	3.00	4/19/2031	219,040	217,922
3138MPZC2	FNMA	3.00	2/21/2031	353,126	351,324

Page 17



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3138MQHG1	FNMA	3.00	3/19/2031	116,854	116,258
3138MQJZ7	FNMA	3.00	5/20/2031	195,669	194,671
3138MQM91	FNMA	3.00	6/3/2031	302,402	300,858
3138MQTN3	FNMA	3.00	3/14/2031	231,970	230,786
3138MQWF6	FNMA	3.00	1/26/2031	51,049	50,788
3138MR5R8	FNMA	3.00	5/2/2031	64,450	64,041
3138MRD24	FNMA	3.00	3/11/2031	56,068	55,782
3138MRRX1	FNMA	3.00	3/9/2031	196,566	195,563
3138MRTR2	FNMA	3.00	2/25/2031	62,741	62,421
3138MRUJ8	FNMA	3.00	3/10/2031	219,400	218,280
3138MRXV8	FNMA	3.00	4/13/2031	128,064	127,250
3138MTD79	FNMA	4.50	8/4/2031	399,317	434,625
3138NJAE8	FNMA	3.61	2/7/2018	2,059,533	2,135,879
3138NJAK4	FNMA	3.42	12/30/2017	2,924,472	3,050,889
3138NWVM8	FNMA	3.00	3/28/2031	44,959	44,673
3138NXFU6	FNMA	3.00	4/23/2031	418,287	415,630
3138NXRK5	FNMA	3.00	4/3/2031	110,675	109,972
3138NYDM4	FNMA	3.00	4/13/2031	78,142	77,646
3138NYEN1	FNMA	3.50	9/13/2031	249,701	255,540
3138NYHT5	FNMA	3.00	3/26/2031	91,146	90,681
3138NYQP3	FNMA	3.00	4/22/2031	67,104	66,678
3138W02A6	FNMA	3.00	4/12/2031	75,841	75,360
3138W02X6	FNMA	3.00	2/22/2031	99,492	98,860
3138W0G60	FNMA	3.00	4/1/2031	134,630	133,775
3138W0XW4	FNMA	3.00	3/9/2031	307,417	305,848
3138W0YR4	FNMA	3.00	4/10/2031	57,712	57,418
3138W17M3	FNMA	3.00	6/6/2031	192,092	190,872
3138W1LY1	FNMA	3.00	4/21/2031	82,684	82,159
3138W3W90	FNMA	3.00	7/12/2031	345,163	342,971
3138W4AP6	FNMA	3.00	8/28/2031	150,750	149,793
3138W7WP5	FNMA	3.00	6/11/2031	171,215	170,128
3138W9AS9	FNMA	3.00	8/6/2031	193,367	190,860
3138W9GW4	FNMA	3.50	12/1/2031	1,193,315	1,222,406
3138W9RL6	FNMA	2.50	4/3/2022	2,254,079	2,268,994
3138WA6A0	FNMA	4.00	8/24/2032	1,647,707	1,743,475
3138WASF5	FNMA	3.00	7/11/2022	320,806	330,742
3138WCPB3	FNMA	3.00	11/11/2022	245,517	253,135
3138WCUS0	FNMA	4.00	12/21/2032	648,241	683,927
3138WMZ20	FNMA	2.50	3/1/2028	602,914	606,903
3138WN7K9	FNMA	3.00	6/29/2031	101,501	100,856
3138WNDF3	FNMA	3.50	11/1/2031	2,775,731	2,850,323
3138WQM33	FNMA	3.00	6/8/2031	47,716	47,412
3138WQNS7	FNMA	3.50	2/1/2032	45,319	46,382
3138WQNW8	FNMA	3.50	10/26/2031	567,178	578,939
3138WQNX6	FNMA	3.50	12/4/2031	187,234	191,675

Page 18



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3138X0QR2	FNMA	2.50	3/3/2022	888,574	894,454
3138X1ZV1	FNMA	3.00	9/8/2031	792,531	782,255
3138X3EQ1	FNMA	3.50	12/14/2031	1,812,184	1,856,361
3138X3XH0	FNMA	3.00	9/21/2031	12,935,576	12,767,848
3138X6WL5	FNMA	3.50	6/28/2022	590,362	621,239
3138X6WT8	FNMA	2.50	4/20/2022	552,849	556,507
3138X76Z1	FNMA	2.50	4/8/2022	1,385,638	1,394,807
3138XBJ54	FNMA	3.50	7/11/2022	175,572	184,724
3138XBQN7	FNMA	3.00	6/22/2022	901,985	929,923
3138XBW26	FNMA	4.50	12/14/2032	3,846,653	4,159,076
3138XBWY6	FNMA	4.00	8/21/2032	787,886	831,578
3138XDJ35	FNMA	3.50	7/8/2022	37,958	39,937
3138XDNY2	FNMA	3.00	6/30/2022	936,075	965,069
3138XUVB5	FNMA	4.00	2/14/2033	11,470,949	12,112,924
31394PP72	FHLMC_27-55	5.00	11/23/2019	1,944,949	2,134,246
31400QJ87	FNMA	2.23	8/28/2024	16,289	17,431
31400RFH9	FNMA	5.50	9/20/2025	10,649	11,965
31400YAL0	FNMA	5.50	10/12/2025	50,507	56,746
31402C4H2	FNMA	5.50	6/3/2026	2,376,200	2,669,720
31402CVP4	FNMA	5.50	4/23/2026	107,297	120,550
31402DC73	FNMA	5.50	7/30/2026	3,852,978	4,328,504
31402DCV0	FNMA	5.00	6/13/2026	16,248	17,946
31402DJS0	FNMA	5.50	9/14/2026	2,168,354	2,435,967
31402DP79	FNMA	5.50	10/28/2026	56,794	63,804
31402EQ35	FNMA	4.50	8/22/2025	10,657	11,552
31402QSK8	FNMA	5.50	11/19/2026	4,911	5,517
31402QSZ5	FNMA	5.50	11/16/2026	18,396	20,667
31402QWA5	FNMA	5.50	12/7/2026	6,788	7,626
31402QXK2	FNMA	8.50	12/13/2024	317,339	346,284
31402QY39	FNMA	5.50	1/1/2027	197,017	221,333
31402RDD8	FNMA	5.50	2/24/2027	68,934	77,083
31402RF87	FNMA	5.00	2/6/2027	1,055,297	1,165,542
31402RRN1	FNMA	5.00	5/6/2027	13,526,225	14,936,027
31402RSA8	FNMA	5.50	6/18/2027	6,919	7,737
31402RSN0	FNMA	5.00	5/7/2027	608,382	671,792
31402UR87	FNMA	4.50	10/25/2025	3,983,529	4,318,254
31402YSV7	FNMA	2.63	1/23/2025	10,763	11,421
31403DC56	FNMA	4.50	1/24/2018	787,551	831,226
31403DC72	FNMA	4.50	1/7/2018	626,863	661,627
31403DD97	FNMA	5.50	8/30/2027	11,238	12,567
31403DPP8	FNMA	5.50	4/5/2027	41,466	46,584
31403DPR4	FNMA	5.50	1/13/2028	82,106	91,362
31403FPC2	FNMA	4.50	10/19/2025	1,969,821	2,135,340
31403KDB6	FNMA	2.20	1/29/2025	8,067	8,444
31403TTL8	FNMA	5.50	3/23/2026	6,083	6,835

Page 19



Cusip	Security Description	Coupon	Maturity	Par	Market Value
31404MAB4	FNMA	5.50	5/10/2026	5,303	5,957
31404NBP0	FNMA	2.25	10/6/2025	77,492	82,911
31405NQY4	FNMA	6.00	11/1/2026	9,432	10,777
31405QNR5	FNMA	5.50	9/28/2026	455	513
31405UMM8	FNMA	2.20	7/20/2025	89,817	94,406
31405UTZ2	FNMA	2.12	7/28/2025	18,102	19,120
31406BB90	FNMA	2.25	9/17/2025	124,708	132,270
31406BEZ9	FNMA	2.21	8/26/2025	109,342	115,835
31406BJF8	FNMA	2.22	9/14/2025	119,749	127,989
31406BQQ6	FNMA	2.21	9/13/2025	158,560	167,975
31406DG67	FNMA	2.40	9/2/2025	494,533	521,335
31406EDN1	FNMA	5.00	10/23/2026	11,817	13,102
31406HLF2	FNMA	6.00	3/14/2027	66,477	75,204
31406MYP5	FNMA	1.98	9/19/2025	204,967	215,169
31406RNA9	FNMA	6.00	8/28/2027	2,702	3,057
31406TLC3	FNMA	2.44	12/3/2025	236,066	250,911
31406TWR8	FNMA	1.83	7/26/2025	798,027	842,964
31406VHE9	FNMA	2.21	11/22/2025	125,453	129,987
31406YZV5	FNMA	5.00	3/22/2027	17,269	19,069
31407ADE8	FNMA	5.50	11/19/2026	16,428	18,456
31407FUW8	FNMA	2.35	2/2/2026	2,557,695	2,648,277
31407LFM4	FNMA	4.50	1/17/2027	10,618	11,483
31407RVX9	FNMA	4.50	3/25/2027	11,910	12,881
31407UEZ6	FNMA	6.00	11/4/2027	30,895	34,877
31407VS22	FNMA	5.00	4/24/2027	18,931	20,904
31407YXM6	FNMA	5.50	4/30/2027	29,054	32,640
31408FYG8	FNMA	6.00	10/23/2027	1,317	1,486
31409CRY3	FNMA	6.00	11/6/2027	94,611	107,401
31409EJS1	FNMA	5.50	11/4/2027	25,336	28,192
31409GML7	FNMA	6.50	4/26/2028	218,228	248,175
31409JVL1	FNMA	6.00	2/17/2028	221,859	250,454
31409WAE1	FNMA	6.00	12/18/2027	205,309	231,754
31410CJV5	FNMA	6.00	1/12/2028	5,928	6,730
31410F3C7	FNMA	6.00	9/10/2028	765,899	865,401
31410F5Y7	FNMA	6.00	11/11/2028	331,755	374,488
31410FUZ6	FNMA	5.50	2/3/2028	28,925	32,495
31410FYU3	FNMA	5.50	8/25/2027	3,892,853	4,353,069
31410G2F9	FNMA	5.50	10/8/2028	64,597	72,234
31410G2W2	FNMA	5.00	12/13/2028	65,883	72,750
31410GBT9	FNMA	5.50	5/6/2027	153,034	171,937
31410GCS0	FNMA	5.50	8/2/2027	66,110	73,926
31410GD83	FNMA	2.42	6/24/2025	40,212	43,300
31410GDF7	FNMA	1.79	11/5/2024	167,336	178,487
31410GDL4	FNMA	2.32	12/22/2025	657,974	686,158
31410GDN0	FNMA	2.34	12/27/2024	119,695	126,730

Page 20



Cusip	Security Description	Coupon	Maturity	Par	Market Value
31410GDP5	FNMA	2.38	3/4/2026	1,528,083	1,608,998
31410GDY6	FNMA	2.25	12/16/2025	41,796	44,762
31410KDC5	FNMA	5.00	3/7/2029	17,645	19,459
31410KEM2	FNMA	5.50	4/25/2029	1,526,318	1,698,404
31410KME1	FNMA	4.50	6/10/2028	1,698,680	1,841,415
31410KT95	FNMA	5.50	10/6/2028	127,325	143,053
31410KU36	FNMA	5.00	5/23/2029	9,603	10,590
31410KVW1	FNMA	5.50	9/30/2028	14,195	15,949
31410KX74	FNMA	5.50	2/6/2028	2,268,812	2,549,066
31410LBU5	FNMA	4.00	9/22/2020	828,093	879,812
31410LC91	FNMA	5.50	4/26/2031	713,149	793,539
31410LGW6	FNMA	5.50	9/26/2029	19,693	22,123
31410MJ76	FNMA	5.50	6/8/2027	10,786	12,061
31410NT24	FNMA	6.00	2/20/2028	15,390	17,391
31410RDL0	FNMA	6.00	4/19/2028	23,913	26,996
31411A5M3	FNMA	5.50	5/23/2028	4,343,376	4,832,983
31411A7C3	FNMA	5.50	5/30/2028	1,090,534	1,213,465
31411VMN6	FNMA	5.50	6/23/2028	3,040,807	3,383,645
31412NXE1	FNMA	5.00	10/14/2029	1,117,661	1,253,400
31412PBJ9	FNMA	4.50	11/21/2019	8,957,398	9,590,370
31412PRN3	FNMA	4.00	12/16/2019	1,342,448	1,426,292
31412Q2V0	FNMA	4.50	1/15/2030	2,178,204	2,384,395
31412QE70	FNMA	5.00	12/16/2029	2,650,058	2,963,011
31412QPN3	FNMA	5.50	2/21/2029	290,923	323,723
31412QPQ6	FNMA	6.00	11/8/2027	352,545	398,827
31412QW70	FNMA	4.50	12/23/2029	318,139	346,612
31412RAP2	FNMA	4.00	12/25/2026	8,908	9,394
31412RG76	FNMA	4.00	6/24/2020	1,519,648	1,620,747
31412RGG6	FNMA	5.00	6/3/2030	293,613	329,621
31412RNY9	FNMA	4.00	6/10/2030	59,229	62,489
31412TM26	FNMA	5.50	5/23/2029	1,315,197	1,467,509
31412URR3	FNMA	4.00	1/19/2020	1,455,072	1,545,951
31413BTW1	FNMA	5.50	9/10/2028	544,252	605,614
31413CLH0	FNMA	6.00	11/16/2028	586,574	665,739
31413HKW7	FNMA	6.00	1/8/2029	3,647	4,116
31413NY66	FNMA	6.00	2/7/2029	546,056	618,606
31413R2P0	FNMA	6.00	4/13/2029	318,999	362,052
31414GGE3	FNMA	4.50	10/18/2028	52,576	56,721
31414NCH5	FNMA	6.00	1/8/2030	85,468	97,004
31414NH31	FNMA	5.00	10/10/2029	1,169,540	1,307,655
31414NH49	FNMA	5.00	10/9/2029	1,173,384	1,308,157
31414SL27	FNMA	5.00	2/7/2029	168,544	185,871
31414SX81	FNMA	5.50	5/7/2029	116,777	129,941
31414SZC0	FNMA	5.50	5/12/2029	185,663	206,529
31415AZ79	FNMA	5.00	3/9/2029	8,074	8,904

Page 21



Cusip	Security Description	Coupon	Maturity	Par	Market Value
31415BCQ0	FNMA	5.50	7/3/2029	75,378	84,088
31415P3Y2	FNMA	5.50	5/23/2026	5,945	6,680
31415P3Z9	FNMA	5.50	5/27/2026	12,720	14,292
31415SPY2	FNMA	6.00	1/11/2030	10,182	11,492
31415YLZ0	FNMA	4.00	1/20/2020	522,229	554,845
31416BLD8	FNMA	5.50	10/4/2028	37,246	41,649
31416BM70	FNMA	5.50	9/30/2028	7,185,970	8,072,845
31416BMK1	FNMA	5.00	1/4/2029	160,952	177,509
31416BN61	FNMA	5.50	2/3/2028	46,774	52,547
31416BNB0	FNMA	5.50	4/30/2027	42,221	47,437
31416BNG9	FNMA	5.50	1/3/2027	149,893	168,410
31416BS90	FNMA	4.50	4/14/2029	501,827	541,387
31416BTA6	FNMA	5.00	8/23/2029	2,165,377	2,387,985
31416BTB4	FNMA	5.00	6/21/2027	461,824	509,959
31416HY25	FNMA	5.00	8/7/2029	203,773	224,835
31416JZM6	FNMA	5.00	8/10/2029	873,513	968,480
31416LR57	FNMA	4.50	6/8/2029	69,230	74,709
31416M5A8	FNMA	5.00	8/25/2029	594,401	655,935
31416MTR5	FNMA	5.00	11/14/2029	16,389	18,082
31416MVP6	FNMA	4.50	6/29/2029	36,759	40,048
31416N5T5	FNMA	4.50	8/7/2029	121,823	132,726
31416WD66	FNMA	5.00	6/25/2030	472,140	530,042
31416WRK0	FNMA	4.50	5/24/2030	960,157	1,036,903
31416XXR6	FNMA	5.00	1/21/2031	438,686	485,784
31416Y3T3	FNMA	4.00	12/29/2030	1,480,427	1,566,180
31417ASD2	FNMA	4.00	1/11/2031	822,936	868,013
31417CDE2	FNMA	3.50	3/17/2031	1,361,322	1,394,047
31417CQQ1	FNMA	3.00	1/5/2031	108,428	107,740
31417CQS7	FNMA	3.00	1/9/2031	60,155	59,848
31417CSH9	FNMA	3.00	1/5/2031	1,800,467	1,789,043
31417D4F7	FNMA	3.00	2/21/2031	774,471	769,556
31417DRG0	FNMA	3.50	6/21/2031	2,006,286	2,053,074
31417ECE9	FNMA	3.00	2/21/2031	1,525,161	1,515,484
31417ECF6	FNMA	3.00	2/20/2031	1,565,549	1,555,616
31417ECT6	FNMA	3.00	3/8/2031	208,932	207,866
31417ENK3	FNMA	3.00	3/29/2031	312,989	311,392
31417FL55	FNMA	2.50	11/30/2021	144,276	145,231
31417GF35	FNMA	3.00	7/1/2031	341,882	337,449
31417JSB7	FNMA	4.50	9/26/2029	19,837	21,613
31417KUM7	FNMA	4.00	7/19/2029	77,859	82,111
31417KXH5	FNMA	4.50	9/18/2029	2,237,295	2,444,621
31417LUG8	FNMA	4.50	5/9/2026	2,115,262	2,293,002
31417MH71	FNMA	4.50	10/11/2029	9,563,618	10,320,426
31417MYL1	FNMA	4.50	11/26/2029	1,146,852	1,237,607
31417VJS3	FNMA	4.50	12/10/2029	10,624	11,574

Page 22



Cusip	Security Description	Coupon	Maturity	Par	Market Value
31417VQT3	FNMA	4.50	1/29/2030	1,172,723	1,281,397
31417Y3H8	FNMA	4.00	2/27/2021	660,010	701,782
31417YF44	FNMA	4.00	7/23/2029	39,226	41,368
31417YXX0	FNMA	4.50	8/25/2030	1,126,649	1,216,836
31418A7G7	FNMA	3.50	9/3/2022	372,642	392,065
31418ALS5	FNMA	3.50	6/6/2031	2,427,957	2,484,578
31418AM96	FNMA	3.50	7/17/2031	1,990,947	2,037,504
31418AQ35	FNMA	3.50	9/25/2031	41,965	42,836
31418AR26	FNMA	3.50	10/25/2031	241,948	246,965
31418MFF4	FNMA	4.50	2/4/2027	2,275,051	2,466,217
31418MRL8	FNMA	5.50	10/10/2028	9,995,064	11,176,688
31418MRR5	FNMA	5.50	12/26/2026	191,077	214,680
31418MSR4	FNMA	5.50	2/18/2030	205,178	228,307
31418MT44	FNMA	5.50	10/4/2028	68,103	76,508
31418MT93	FNMA	4.50	2/2/2030	968,836	1,045,504
31418MUL4	FNMA	4.50	12/19/2029	431,559	470,183
31418PCP8	FNMA	5.00	9/23/2030	186,432	205,987
31418QHC0	FNMA	4.50	2/20/2030	11,976	12,934
31418RX22	FNMA	5.00	6/11/2030	1,293,032	1,428,663
31418UYE8	FNMA	4.00	5/16/2029	17,165	18,114
31418VQY1	FNMA	4.00	3/23/2030	59,579	62,840
31418W6Y1	FNMA	5.00	8/29/2030	263,296	291,389
31418W7J3	FNMA	5.00	9/3/2030	118,812	129,358
31419ARB5	FNMA	5.00	8/24/2030	515,741	569,839
31419ARE9	FNMA	5.50	9/16/2029	45,572	51,196
31419DJY8	FNMA	4.00	8/29/2020	1,835,486	1,950,368
31419EK40	FNMA	4.00	5/23/2030	90,058	95,034
31419EU80	FNMA	5.00	9/3/2030	228,280	254,064
31419FEM4	FNMA	4.50	7/17/2030	1,072,274	1,157,982
31419G2T0	FNMA	4.00	4/25/2030	20,973	22,121
31419H6Y3	FNMA	4.00	4/22/2030	34,440	36,325
31419HBS0	FNMA	4.00	4/21/2030	93,695	98,824
31419HRZ7	FNMA	4.00	5/14/2030	585,353	617,393
31419JLP1	FNMA	4.00	4/13/2030	107,608	113,499
31419KR49	FNMA	4.00	4/23/2030	45,385	47,870
31419LZ63	FNMA	4.00	5/3/2030	64,139	67,650
36176MA29	GNMA	4.00	11/2/2030	283,895	301,928
36176QLG7	GNMA	2.50	8/29/2021	1,581,372	1,605,539
36176R7D8	GNMA	3.50	9/15/2030	782,426	810,176
36176WGG0	GNMA	3.50	11/2/2030	839,748	869,529
36176XCT4	GNMA	3.50	12/12/2030	1,008,732	1,044,506
36177R5R8	GNMA	3.50	1/2/2031	1,127,659	1,167,653
36177RXF3	GNMA	3.50	11/22/2030	2,443,336	2,529,987
36177S3E7	GNMA	3.50	12/12/2030	1,818,295	1,882,779
36177X2H0	GNMA	2.50	7/8/2021	1,177,294	1,195,286

Page 23



Cusip	Security Description	Coupon	Maturity	Par	Market Value
36177YR32	GNMA	2.50	7/25/2021	640,507	650,295
36178QYX4	GNMA	3.00	2/3/2031	173,738	175,401
36178TPE0	GNMA	4.00	11/18/2031	74,307	78,978
36179MC24	GNMA	4.00	8/3/2031	438,161	465,384
36179ME48	GNMA	4.00	8/24/2031	333,749	354,485
36179MNG1	GNMA	3.00	1/3/2031	384,505	388,011
36179MQP8	GNMA	3.50	7/30/2031	800,906	830,514
36179MVQ0	GNMA	2.50	12/7/2030	54,477	52,818
36179MVR8	GNMA	3.00	5/19/2031	876,913	884,908
36179N2K3	GNMA	4.00	5/3/2032	278,509	295,940
36179NA99	GNMA	2.50	4/13/2031	373,341	361,575
36179QDZ1	GNMA	4.00	9/28/2032	678,939	721,432
36180MYG6	GNMA	3.00	4/8/2031	911,844	919,610
36202F4S2	GNMA	4.50	10/3/2031	652,150	709,172
36202FXC5	GNMA	4.50	2/20/2031	270,800	294,478
36202FZY5	GNMA	4.00	1/12/2031	762,271	810,594
36202FZZ2	GNMA	4.50	5/6/2031	747,509	812,869
36206XC43	GNMA	7.00	10/21/2024	831	915
3620A9SW2	GNMA	4.50	7/29/2029	315,102	346,083
3620ARBK6	GNMA	5.50	12/22/2028	248,973	277,314
3620C04Y1	GNMA	4.50	5/26/2030	472,382	515,459
3620C1WV4	GNMA	3.50	11/22/2030	2,551,653	2,642,145
36210B5G6	GNMA	5.00	10/5/2029	380,952	421,992
36212PPP1	GNMA	7.00	10/1/2024	8,212	9,042
36212U5G2	GNMA	7.00	10/21/2024	7,889	8,686
36213HGU7	GNMA	7.00	9/10/2024	1,505	1,658
36225DM43	GNMA	1.63	8/18/2025	7,343,394	7,655,887
36230PCQ1	GNMA	2.50	5/17/2021	1,001,613	1,017,546
36230RVV5	GNMA	3.50	2/10/2030	5,723,552	5,929,387
36241KL71	GNMA	5.50	7/18/2028	68,593	76,855
36241KWJ3	GNMA	6.00	10/11/2029	385,022	434,522
36241KZ68	GNMA	5.00	8/22/2029	230,201	255,187
36291YJZ1	GNMA	6.00	3/11/2028	2,580	2,919
36296QL49	GNMA	5.00	9/14/2029	683,839	757,509
36297FYL0	GNMA	4.50	8/19/2029	63,914	70,198
				554,853,260	593,177,304
Non Agency RMBS
00935WAA7	AIREM_06-1A	0.45	4/23/2021	1,470,366	1,440,959
02660UAE0	AHMA_06-3	1.06	4/28/2027	8,760,516	6,352,399
05948X6X4	BANK OF AMERICA MTG SEC	4.75	8/4/2016	1,060,412	1,090,083
07384MWF5	BSARM_04-10	2.71	1/26/2021	18,150	17,937
12627HAU4	CSAB_06-2	0.40	5/14/2022	6,401,015	3,376,657
12667FFN0	CWALT_04-J4	0.73	12/10/2018	5,161,545	5,019,303
12667GN58	CWALT_05-27	1.68	10/17/2021	3,319,834	2,961,093
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR	3.43	1/6/2023	100,665	101,125

Page 24



Cusip	Security Description	Coupon	Maturity	Par	Market Value
232434AE0	CWALT_06-OC8	0.40	5/13/2021	17,804,563	9,315,561
23245GAD3	CWALT_06-OC9	0.40	10/26/2025	4,600,558	2,383,126
25150UAA6	DBALT_07-OA2	0.89	12/28/2022	16,447,177	14,622,774
25151AAG6	DBALT	0.43	12/1/2022	12,119,793	8,627,451
362631AD5	GSR_06-OA1	0.44	5/5/2031	6,097,704	1,958,808
38741YCA5	GRANITE MASTER ISSUER PLC GRAN	0.23	10/22/2016	1,460,058	1,452,320
40431HAJ6	HALO	0.45	12/30/2020	3,991,816	1,454,777
449670EQ7	IMC HOME EQUITY LOAN TRUST	6.84	5/16/2023	46,592	46,200
456687AC6	INDX_07-FL4	0.33	4/14/2020	2,322,753	2,007,973
466306AA5	JPALT_08-R2	6.00	8/4/2021	2,962,114	2,513,289
525221HA8	LXS	0.41	8/13/2025	3,263,315	2,441,084
52524HAJ9	LXS	0.87	2/18/2018	2,196,972	1,879,925
55027WAA0	LUM_07-2	0.38	8/6/2022	3,081,861	2,147,860
576433QQ2	MARM_04-8	1.67	6/20/2021	1,170,902	1,086,508
589929W53	MLMI	2.37	12/6/2020	125,562	126,514
62889EAA3	NGN_11-R3	0.56	1/24/2017	991,303	993,087
65538DAD7	NAA_06-AR4	0.32	8/15/2022	3,658,094	2,522,830
76110H2P3	RES ASSET SEC	2.95	1/10/2022	1,038,301	693,964
863579J90	SARM	2.43	5/5/2021	8,666,661	6,529,159
863579KY3	SARM	2.52	6/13/2021	1,991,499	1,886,718
86359BGD7	SASC_04-15	2.52	2/16/2020	90,791	91,762
86359LQM4	STRUCTURED ASSET MORTGAGE INV	2.27	7/19/2024	2,751,179	2,185,801
86361WAA9	SAMI_06-AR8	0.35	7/6/2022	6,507,748	5,152,809
86361XAA7	SAMI_06-AR8	0.28	12/24/2025	19,332,100	15,188,864
92922F4P0	WAMU	0.93	8/25/2022	4,188,094	4,195,880
92922FB49	WASHINGTON MUTUAL	0.91	11/17/2019	251,681	243,601
92922FZF8	WAMU_04-A12	0.58	5/12/2020	4,587,412	4,459,506
93936RAA2	WAL	0.96	12/9/2025	6,836,803	5,648,559
94982BAG5	WFMBS	2.60	4/7/2019	2,491,388	2,532,486
BCC0W6QX1	BRUNEL RESIDENTIAL MORTGAGE SE	0.43	12/9/2016	1,252,529	1,241,660
				168,619,827	125,990,411
CMBS
05357HAA8	AVMT_13-AVM	3.74	12/7/2020	6,200,000	6,516,882
055236AA1	BAMLL_11-07C1	5.38	11/7/2015	4,727,688	5,092,807
059500AD0	BACM	5.89	9/1/2015	14,152,029	15,077,289
05950VAE0	BACM	5.36	8/10/2016	2,400,000	2,526,624
05950WAF5	BANC OF AMERICA	5.63	7/15/2015	4,202,084	4,443,956
059511AF2	BACM_07-2	5.73	12/25/2015	1,209,633	1,301,916
059511AH8	BACM	5.79	10/10/2017	2,550,000	2,782,713
07387BEB5	BSCMS	5.41	3/28/2015	2,221,023	2,298,492
07388NAE6	BEAR STEARNS COMMERCIAL MORTGA	5.54	9/19/2015	1,217,428	1,303,950
07388NAG1	BEAR STEARNS COMMERCIAL MORTGA	5.60	10/12/2016	24,608,000	24,805,824
07388PAE1	BSCMS	5.20	11/3/2015	500,000	536,315
07401DAE1	BSCMS_07-PW18	5.60	5/14/2016	10,046,364	11,065,467
12513XAH5	CITIGROUP/DEUTSCHE BANK COMMER	5.57	3/1/2016	14,836,000	13,896,807

Page 25



Cusip	Security Description	Coupon	Maturity	Par	Market Value
12513YAF7	CD_07-CD4	5.32	11/26/2015	2,800,000	2,991,184
12513YAG5	CD_07-CD4	5.29	12/11/2015	6,548,872	6,958,963
12527EAB4	CFCRE COMMERCIAL MORTAGE TRUST	3.76	8/15/2015	535,000	552,569
12591KAF2	COMM_13-CR12	1.59	7/9/2022	15,285,513	1,330,757
12591QAD4	COMM MORTGAGE TRUST COMM_14-UB	4.84	7/10/2024	11,326,000	10,156,942
12591VAF8	COMM_14-CR16	1.44	8/13/2022	19,924,207	1,537,332
126192AE3	COMM_12-LC4	4.06	10/26/2021	1,000,000	1,047,470
12622DAA2	COMM_10-C1	3.16	2/2/2016	8,739,610	8,875,249
12624KAE6	COMM	2.08	6/10/2021	36,541,163	3,745,323
12624XAC2	COMM_13-CR6	2.62	8/17/2020	750,000	739,627
12626GAF0	COMM_13-LC13	4.21	4/11/2023	400,000	426,660
17310MAE0	CITIGROUP	5.43	3/2/2016	2,026,000	2,172,905
17311QBL3	CGCMT_07-C6	5.71	2/10/2016	5,611,519	6,120,259
17318UAD6	CITIGROUP COMMERCIAL MORTGAGE	3.02	11/12/2020	500,000	497,525
17320DAG3	CGCMT_13-GC11	3.09	2/10/2023	8,200,000	8,101,682
17321JAJ3	CGCMT_13-GC15	1.46	9/5/2021	23,593,026	1,614,990
17321RAD8	CITIGROUP COMMERCIAL MORTGAGE	4.13	7/11/2023	250,000	264,352
17322VAY2	CGCMT_14-GC23	1.30	5/6/2019	15,586,528	1,257,085
190749AE1	CWCAPITAL COBALT	5.22	10/6/2015	4,525,620	4,811,186
19075CAD5	CWCI	5.48	11/23/2015	3,108,711	3,354,890
19075DAF8	CWCI_07-C3	5.97	2/15/2016	3,899,648	4,242,817
20047EAJ1	COMM	5.38	2/9/2019	13,465,000	13,449,717
20047QAE5	COMM	5.95	7/14/2015	3,741,163	3,965,670
20173QAE1	GCCFC	5.44	5/30/2017	6,000,000	6,463,020
20173WAE8	CMLT	6.04	3/26/2016	2,340,396	2,533,759
22545DAD9	CREDIT SUISSE MORTGAGE CAPITAL	6.00	7/1/2015	9,870,330	10,453,962
22545LAD1	CREDIT SUISSE MORTGAGE CAPITAL	5.31	10/7/2015	2,995,634	3,197,869
22545LAH2	CREDIT SUISSE MORTGAGE CAPITAL	5.37	3/27/2018	34,558,000	33,256,615
22545YAE1	CSMC_07-C2	5.53	1/30/2016	4,290,475	4,584,116
22546BAF7	CSMC	5.70	11/5/2016	3,212,000	3,488,907
233050AN3	DBUBS_11-LC1	3.74	5/8/2016	1,371,980	1,416,776
3136A56W1	FNMA	2.98	11/11/2021	1,700,000	1,734,413
3136A7MJ8	FNMA_12-M8	1.52	9/11/2017	2,000,000	1,996,460
3136A7MK5	FNMA_12-M8	1.80	2/26/2019	2,100,000	2,083,681
3136A96F0	FNMA_12-M17	2.18	10/10/2022	400,000	381,084
3136A9MN5	FNMA	2.30	8/25/2022	200,000	192,500
3136AHAG5	FNMA_13-M14	3.33	10/3/2023	250,000	256,907
3136AHUV0	FNMA	2.32	10/11/2018	1,500,000	1,502,709
3136AJ7G5	FNMA	2.68	11/3/2017	500,000	501,129
3136AJLC8	FNMA	3.50	6/11/2019	350,000	363,509
3137A8PP7	FHLMC	4.19	11/25/2020	750,000	820,229
3137ARPY6	FHMS_19-K710	1.88	3/25/2019	10,700,000	10,622,104
3137ASNJ9	FHLMC	2.27	12/26/2021	750,000	729,075
3137ATRW4	FHLMC	2.37	4/5/2022	5,000,000	4,880,850
3137AUPF0	FHLMC_K021	1.64	10/21/2021	34,582,017	3,168,404

Page 26



Cusip	Security Description	Coupon	Maturity	Par	Market Value
3137B1AZ5	FREDDIE MAC FHLMC_K712	1.87	9/10/2019	750,000	738,705
3137B2HN3	FHLMC_13-HN	3.11	1/11/2023	16,000,000	16,306,080
3137B3NA2	FREMF MORTGAGE TRUST FREMF_13-	3.25	2/10/2019	1,500,000	1,543,035
31398VJ80	FHLMC_K006	3.40	4/4/2017	1,358,131	1,423,378
36159XAF7	GECMC_07-C1	5.48	5/25/2016	6,675,898	7,238,943
36192BAA5	GSMSCII_12-GC6	2.33	10/21/2020	14,647,565	1,618,087
36192PAJ5	GS MORTGAGE SECURITIES CORPORA	2.77	5/11/2022	500,000	486,655
36197XAK0	GS MORTGAGE SECURITIES TRUST G	3.14	1/25/2023	250,000	247,298
36198EAE5	GSMS_13-GC13	4.04	2/10/2023	600,000	638,412
362332AH1	GS MORTGAGE SECURITIES CORPORA	5.62	4/23/2019	8,261,000	8,476,430
36252RAT6	GSMS_14-GC18	1.46	7/29/2022	24,191,950	1,913,583
36828QSB3	GECMC_06-C1	5.27	3/25/2016	420,000	421,071
396789LL1	GCCFC	5.22	2/25/2015	2,400,000	2,457,864
46625YA37	JPMCC	5.67	1/27/2016	7,490,000	7,423,294
46625YXT5	JPMCC	5.45	10/15/2016	4,000,000	4,193,280
46629GAE8	JPMCC	5.55	8/12/2015	13,482,360	14,275,797
46629PAC2	JPMCC	5.34	12/7/2015	1,874,649	2,008,574
46629PAD0	JPMCC_06-LDP9	5.26	11/23/2015	2,893,586	3,038,410
46629YAH2	JP MORGAN CHASE COMMERICAL MOR	5.50	2/26/2017	34,746,154	34,408,491
46630EAC4	JPMCC	5.43	9/27/2015	1,334,510	1,422,294
46630JAC3	JP MORGAN CHASE COMMERCIAL MOR	5.42	1/11/2016	5,913,368	6,371,063
46630VAL6	JP MORGAN CHASE COMMERCIAL MOR	5.89	5/27/2017	25,100,000	22,815,323
46632HAD3	JPMCC	5.88	2/2/2017	2,100,000	2,286,144
46639EAB7	JPMCC_12-LC9	1.68	1/21/2018	500,000	498,825
46643ABB8	JPMBB_14-C23	3.18	10/15/2019	6,000,000	6,189,300
52108MFS7	LBUBS	5.66	5/30/2015	693,488	726,574
55312VAD0	MLCFC_06-4	5.17	10/18/2015	1,900,000	2,021,467
55312YAH5	MERRIL LYNCH COUNTRYWIDE	5.45	2/13/2017	31,470,000	30,282,763
55312YAR3	MERRIL LYNCH COUNTRYWIDE	5.45	6/27/2019	6,350,000	6,061,062
55312YBD3	MERRIL LYNCH COUNTRYWIDE	0.76	12/17/2016	67,866,562	840,120
617458AC8	MORGAN STANLEY CAPITAL	3.88	12/30/2015	3,500,000	3,614,555
617459AD4	MORGAN STANLEY CAPITAL I	4.66	11/1/2020	800,000	879,192
61750CAF4	MSC_06-HQ9	5.73	7/1/2015	2,138,568	2,268,679
61750WAX1	MSC	5.33	9/21/2015	1,670,422	1,788,604
61753JAG4	MSC_07-IQ13	5.44	4/17/2017	21,500,000	21,695,220
61761DAB8	MSBAM_12-C6	1.87	1/15/2018	550,000	551,139
61763BAV6	MSBAM_13-C13	1.40	9/11/2022	19,371,694	1,486,138
62888XAC8	NCUA	2.65	9/13/2015	8,517,169	8,644,671
78408XAF8	SCGT_13-SRP1	3.40	11/26/2016	6,382,500	6,405,611
90269CAD2	UBS-BARCLAYS COMMERCIAL MORTGA	3.53	1/10/2022	350,000	357,536
90270YBF5	UBSBCMT_13-C5	3.18	9/5/2022	500,000	496,870
90349DAJ1	COMMERCIAL MORTGAGE PASS-THROU	2.31	3/24/2021	6,520,945	747,763
92890NAA7	WFRBSCMT_12-C10	1.95	10/2/2021	2,335,086	235,981
92890NAU3	WFRBS_12-C10	2.88	7/30/2022	500,000	489,185
92930RAF9	WFRBS_12-C9	2.38	4/11/2021	6,362,632	734,630

Page 27



Cusip	Security Description	Coupon	Maturity	Par	Market Value
92935JBC8	WF-RBS_11-C2	4.87	12/15/2020	750,000	830,318
92936TAB8	WF-RBS COMMERCIAL MORTGAGE TRU	3.43	1/16/2022	500,000	510,480
92937EAD6	WF-RBS COMMERCIAL MORTGAGE TRU	3.04	8/15/2022	319,000	315,931
92937FAJ0	WFRBSCMT_13-C12	1.64	9/13/2021	3,052,473	255,877
92939FBA6	WFRBS_14-C21	1.36	12/30/2018	19,515,000	1,587,018
92976BDT6	WBCMT	5.42	4/16/2015	2,835,660	2,941,402
92976BLJ9	WBCMT	0.23	9/30/2014	377,647	375,793
92977RAD8	WACHOVIA BANK COMMERCIAL MORTG	6.01	8/4/2015	450,000	480,357
92978QBX4	WBCMT_07-C30	0.68	1/30/2017	29,676,786	316,058
94988HAC5	WFCM_12-LC5	2.92	2/25/2020	325,000	320,362
				832,718,464	521,193,966
Corporate Debt Securities - Financials
00084DAG5	ABN AMRO BANK NV	2.50	10/30/2018	7,000,000	7,040,437
001055AH5	AFLAC INC	2.65	2/15/2017	250,000	257,455
00163MAL8	PROLOGIS LP	4.50	8/15/2017	250,000	268,751
002799AL8	ABBEY NATIONAL TREASURY SERVIC	3.05	8/23/2018	7,900,000	8,176,003
002799AM6	ABBEY NATIONAL TREASURY SERVIC	1.38	3/13/2017	3,495,000	3,493,076
002799AR5	ABBEY NATIONAL TREASURY SERVIC	1.65	9/29/2017	100,000	99,977
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT	3.20	11/3/2014	34,000,000	34,075,247
00912XAP9	AIR LEASE CORPORATION	2.13	1/15/2018	200,000	199,479
025816AW9	AMERICAN EXPRESS COMPANY	5.50	9/12/2016	4,000,000	4,337,573
025816BG3	AMERICAN EXPRESS COMPANY	1.55	5/22/2018	6,645,000	6,533,423
0258M0DA4	AMERICAN EXPRESS CREDIT CORPOR	2.75	9/15/2015	11,000,000	11,224,268
0258M0DD8	AMERICAN EXPRESS CREDIT CORPOR	2.38	3/24/2017	500,000	512,981
0258M0DK2	AMERICAN EXPRESS CREDIT CORPOR	2.13	3/18/2019	9,000,000	8,922,002
0258M0DP1	AMERICAN EXPRESS CREDIT CORPOR	2.25	8/15/2019	5,200,000	5,164,163
026874CZ8	AMERICAN INTERNATIONAL GROUP I	2.30	7/16/2019	300,000	297,563
02687QBC1	AMERICAN INTERNATIONAL GROUP I	5.60	10/18/2016	100,000	108,750
02687QDG0	AMERICAN INTERNATIONAL GROUP I	5.85	1/16/2018	250,000	281,098
029912BD3	AMERICAN TOWER CORPORATION	4.50	1/15/2018	250,000	266,251
03027XAB6	AMERICAN TOWER CORPORATION	3.50	1/31/2023	3,525,000	3,386,833
03879QAA2	ARC PROPERTIES OPERATING PARTN	2.00	2/6/2017	8,125,000	8,114,196
03879QAC8	ARC PROPERTIES OPERATING PARTN	3.00	2/6/2019	100,000	99,270
046265AF1	ASTORIA FINANCIAL CORPORATION	5.00	5/19/2017	100,000	106,838
052528AH9	AUSTRALIA & NEW ZEALAND BANKIN	4.50	3/19/2024	4,875,000	4,916,597
05253JAB7	AUSTRALIA & NEW ZEALAND BANKIN	0.90	2/12/2016	250,000	250,654
05253JAC5	AUSTRALIA & NEW ZEALAND BANKIN	1.45	5/15/2018	300,000	295,082
05253JAE1	AUSTRALIA & NEW ZEALAND BANKIN	1.25	1/10/2017	9,070,000	9,066,337
05253JAG6	AUSTRALIA & NEW ZEALAND BANKIN	2.25	6/13/2019	3,700,000	3,685,129
055299AL5	BBVA US SENIOR SA UNIPERSONAL	4.66	10/9/2015	284,000	294,299
05531FAG8	BB&T CORP	3.20	2/16/2016	425,000	437,344
05531FAL7	BB&T CORP	1.60	8/15/2017	10,905,000	10,866,027
05567L7E1	BNP PARIBAS SA	2.38	9/14/2017	250,000	254,130
05567LT31	BNP PARIBAS SA	5.00	1/15/2021	1,500,000	1,660,857
05567LU54	BNP PARIBAS SA	3.60	2/23/2016	1,515,000	1,567,327

Page 28



Cusip	Security Description	Coupon	Maturity	Par	Market Value
05572FAA1	BNP PARIBAS COVERED BONDS SA	2.20	11/2/2015	10,400,000	10,583,352
05574LPT9	BNP PARIBAS SA	2.70	8/20/2018	160,000	162,540
05574LTX6	BNP PARIBAS SA	2.40	12/12/2018	9,375,000	9,363,512
05574LXG8	BNP PARIBAS SA	1.38	3/17/2017	6,450,000	6,424,716
05578BAB2	BPCE SA	2.50	12/10/2018	7,425,000	7,474,870
05578DAG7	BPCE SA	4.00	4/15/2024	4,825,000	4,863,566
05578DAJ1	BPCE SA	0.80	11/18/2016	6,300,000	6,322,492
05578DAL6	BPCE SA	0.86	6/17/2017	2,500,000	2,509,350
05967PAE4	BANCO SANTANDER CHILE	1.13	4/11/2017	6,000,000	6,000,000
060505DH4	BANK OF AMERICA CORP	6.00	9/1/2017	10,775,000	11,993,950
06050TKN1	BANK OF AMERICA CORP	5.30	3/15/2017	250,000	270,749
06050TLR1	BANK OF AMERICA CORP	1.13	11/14/2016	1,500,000	1,494,938
06051GDX4	BANK OF AMERICA CORP	5.65	5/1/2018	2,750,000	3,052,019
06051GDZ9	BANK OF AMERICA CORP	7.63	6/1/2019	2,700,000	3,258,104
06051GEC9	BANK OF AMERICA CORP	5.63	7/1/2020	4,500,000	5,081,230
06051GED7	BANK OF AMERICA CORP	3.70	9/1/2015	11,100,000	11,397,824
06051GER6	BANK OF AMERICA CORP	1.50	10/9/2015	200,000	201,409
06051GET2	BANK OF AMERICA CORP	2.00	1/11/2018	2,100,000	2,088,047
06051GEX3	BANK OF AMERICA CORP	2.60	1/15/2019	150,000	149,210
06051GFD6	BANK OF AMERICA CORP	2.65	4/1/2019	7,355,000	7,330,103
06051GFH7	BANK OF AMERICA CORP	4.20	8/26/2024	2,535,000	2,506,853
06366QW86	BANK OF MONTREAL	2.50	1/11/2017	2,050,000	2,110,722
06366RHA6	BANK OF MONTREAL	1.40	9/11/2017	300,000	298,470
063679JJ4	BANK OF MONTREAL	2.63	1/25/2016	6,000,000	6,161,939
063679ZT4	BANK OF MONTREAL	1.95	1/30/2017	2,600,000	2,652,832
06406HBX6	BANK OF NEW YORK MELLON CORP/T	2.30	7/28/2016	250,000	255,922
06406HCA5	BANK OF NEW YORK MELLON CORP/T	2.40	12/17/2016	1,478,000	1,511,801
06406HCP2	BANK OF NEW YORK MELLON CORP/T	2.10	1/15/2019	250,000	247,254
06406HCU1	BANK OF NEW YORK MELLON/THE	2.20	5/15/2019	200,000	199,309
06406HCW7	BANK OF NEW YORK MELLON CORP/T	2.30	9/11/2019	4,170,000	4,144,772
064149C47	BANK OF NOVA SCOTIA TORONTO BR	2.05	10/7/2015	200,000	203,064
064159AM8	BANK OF NOVA SCOTIA TORONTO BR	2.55	1/12/2017	250,000	257,523
064159BA3	BANK OF NOVA SCOTIA TORONTO BR	0.75	10/9/2015	250,000	250,543
064159BE5	BANK OF NOVA SCOTIA TORONTO BR	1.38	12/18/2017	150,000	148,537
064159BV7	BANK OF NOVA SCOTIA TORONTO BR	0.95	3/15/2016	100,000	100,236
064159CU8	BANK OF NOVA SCOTIA TORONTO BR	2.05	10/30/2018	140,000	139,561
064159EK8	BANK OF NOVA SCOTIA TORONTO BR	1.25	4/11/2017	5,825,000	5,815,200
064159EX0	BANK OF NOVA SCOTIA TORONTO BR	2.05	6/5/2019	4,300,000	4,248,672
06415CAD1	BANK OF NOVA SCOTIA TORONTO BR	1.05	3/20/2015	1,200,000	1,203,685
06415CAE9	BANK OF NOVA SCOTIA TORONTO BR	1.75	3/22/2017	6,000,000	6,100,259
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L	3.85	1/22/2015	8,000,000	8,079,087
064255AN2	BANK OF TOKYO-MITSUBISHI UFJ L	1.55	9/9/2016	4,455,000	4,483,352
064255AW2	BANK OF TOKYO MITSUBISHI UFJ L	3.75	3/10/2024	3,625,000	3,730,021
064255BC5	BANK OF TOKYO MITSUBISHI UFJ L	2.35	9/8/2019	4,000,000	3,974,025
06739FGF2	BARCLAYS BANK PLC	5.00	9/22/2016	100,000	107,422

Page 29



Cusip	Security Description	Coupon	Maturity	Par	Market Value
06739FHT1	BARCLAYS BANK PLC	2.50	2/20/2019	11,150,000	11,177,312
07330NAG0	BRANCH BKG & TR CO	1.05	11/1/2016	3,000,000	3,000,600
07330NAK1	BB&T CORP	1.35	10/1/2017	4,570,000	4,542,203
073902RU4	BEAR STEARNS CO INC	7.25	2/1/2018	9,800,000	11,405,727
12505JAA1	CBL & ASSOCIATES LP	5.25	9/1/2023	3,500,000	3,741,742
136069DM0	CANADIAN IMPERIAL BANK OF COMM	2.60	7/2/2015	10,500,000	10,677,590
136069FA4	CANADIAN IMPERIAL BANK OF COMM	1.55	1/23/2018	300,000	298,071
14040HAX3	CAPITAL ONE FINANCIAL CORP	3.15	7/15/2016	200,000	206,747
14040HAY1	CAPITAL ONE FINANCIAL CORP	4.75	7/15/2021	7,050,000	7,676,424
14040HBE4	CAPITAL ONE FINANCIAL CORP	2.45	4/24/2019	2,915,000	2,898,701
140420NE6	CAPITAL ONE BANK USA NA	2.15	11/21/2018	1,950,000	1,938,457
140420NH9	CAPITAL ONE BANK USA NA	2.25	2/13/2019	250,000	248,138
14042E3V0	CAPITAL ONE FIN CORP	1.50	3/22/2018	100,000	98,328
14042E4A5	CAPITAL ONE BANK USA NA	2.40	9/5/2019	250,000	247,808
14912L6D8	CATERPILLAR INC	1.25	8/18/2017	8,530,000	8,480,133
172967DY4	CITIGROUP INC	5.50	2/15/2017	250,000	270,969
172967ES6	CITIGROUP INC	6.13	5/15/2018	8,500,000	9,613,860
172967EV9	CITIGROUP INC	8.50	5/22/2019	4,000,000	4,993,547
172967FS5	CITIGROUP INC	3.95	6/15/2016	150,000	156,853
172967GL9	CITIGROUP INC	3.38	3/1/2023	5,000,000	4,915,733
172967HC8	CITIGROUP INC	2.50	9/26/2018	5,000,000	5,022,594
172967HH7	CITIGROUP INC	0.91	11/15/2016	800,000	804,512
172967HK0	CITIGROUP INC	1.35	3/10/2017	1,900,000	1,890,570
172967HL8	CITIGROUP INC	0.77	3/10/2017	900,000	901,530
172967HM6	CITIGROUP INC	2.55	4/8/2019	350,000	349,102
172967HY0	CITIGROUP INC	1.55	8/14/2017	150,000	149,130
20035CAB6	COMERICA BANK	5.20	8/22/2017	250,000	270,837
20271RAA8	COMMONWEALTH BANK OF AUSTRALIA	1.95	3/16/2015	4,800,000	4,833,600
20271RAC4	COMMONWEALTH BANK OF AUSTRALIA	1.90	9/18/2017	250,000	252,323
20451PKM7	COMPASS BANK	1.85	9/29/2017	1,570,000	1,569,642
20451PKN5	COMPASS BANK	2.75	9/29/2019	3,950,000	3,944,423
21685WBL0	RABOBANK NEDERLAND NV	2.13	10/13/2015	5,000,000	5,081,720
21685WBT3	RABOBANK NEDERLAND NV	4.50	1/11/2021	5,000,000	5,465,356
21686CAD2	RABOBANK NEDERLAND NV	3.38	1/19/2017	4,710,000	4,932,021
21688AAA0	RABOBANK NEDERLAND NV	2.25	1/14/2019	5,250,000	5,281,946
21987AAB6	CORPBANCA	3.13	1/15/2018	200,000	200,440
22532LAJ3	CREDIT AGRICOLE SA	2.63	10/3/2018	3,000,000	3,039,352
22532LAK0	CREDIT AGRICOLE SA	1.08	10/3/2016	8,000,000	8,065,121
22532LAL8	CREDIT AGRICOLE SA/LONDON	2.50	4/15/2019	3,400,000	3,392,673
22541HCC4	CREDIT SUISSE NEW YORK NY	6.00	2/15/2018	200,000	224,285
22546QAL1	CREDIT SUISSE NEW YORK NY	1.38	5/26/2017	250,000	249,074
22546QAN7	CREDIT SUISSE NEW YORK NY	2.30	5/28/2019	14,300,000	14,168,252
22966RAA4	CUBESMART	4.80	4/15/2022	4,025,000	4,297,894
22966RAB2	CUBESMART LP	4.38	9/15/2023	1,200,000	1,237,345
23317HAA0	DDR CORP	4.63	4/15/2022	2,500,000	2,624,259

Page 30



Cusip	Security Description	Coupon	Maturity	Par	Market Value
23329PAA8	DNB BANK ASA	3.20	4/3/2017	8,825,000	9,195,258
25152RVR1	DEUTSCHE BK LDN	1.40	2/13/2017	150,000	149,729
25152RVS9	DEUTSCHE BK LDN	2.50	2/13/2019	300,000	301,599
25152RWY5	DEUTSCHE BK LDN	1.35	5/30/2017	100,000	99,252
251591AU7	DDR CORP	7.50	4/1/2017	150,000	170,384
2515A14E8	DEUTSCHE BK LDN	3.25	1/11/2016	3,000,000	3,088,689
25215BAA1	DEXIA CREDIT LOCAL/NEW YORK	1.25	10/18/2016	11,350,000	11,424,910
25466AAC5	DISCOVER BANK/GREENWOOD DE	2.00	2/21/2018	3,975,000	3,951,653
25466AAD3	DISCOVER BANK/GREENWOOD DE	4.20	8/8/2023	4,750,000	4,899,202
25600WAA8	DNB BOLIGKREDITT AS	2.10	10/14/2015	1,200,000	1,220,112
25600WAB6	DNB BOLIGKREDITT AS	2.90	3/29/2016	6,200,000	6,404,414
25600WAD2	DNB BOLIGKREDITT AS	1.45	3/21/2018	900,000	893,466
26884AAX1	ERP OPER LP	5.75	6/15/2017	300,000	332,599
316773CK4	FIFTH THIRD BANK	3.63	1/25/2016	250,000	259,107
31677QAY5	FIFTH THIRD BANK	1.15	10/18/2016	1,940,000	1,940,517
31677QAZ2	FIFTH THIRD BANK	0.74	10/18/2016	2,000,000	2,012,460
31677QBA6	FIFTH THIRD BANK	1.35	6/1/2017	200,000	199,280
31677QBB4	FIFTH THIRD BANK	2.38	3/25/2019	2,915,000	2,920,500
31677QBC2	FIFTH THIRD BANK	2.88	10/1/2021	6,000,000	5,936,128
354613AH4	FRANKLIN RESOURCES INC	1.38	9/15/2017	4,250,000	4,227,629
36962G2T0	GENERAL ELECTRIC CAP CORP	5.55	5/4/2020	5,000,000	5,729,140
36962G3H5	GENERAL ELECTRIC CAP CORP	5.63	9/15/2017	4,000,000	4,464,421
36962G3U6	GENERAL ELECTRIC CAP CORP	5.63	5/1/2018	400,000	450,921
36962G4D3	GENERAL ELECTRIC CAP CORP	6.00	8/7/2019	4,000,000	4,663,320
36962G5M2	GENERAL ELECTRIC CAP CORP	2.15	1/9/2015	6,725,000	6,758,490
36962G5N0	GENERAL ELECTRIC CAP CORP	2.90	1/9/2017	750,000	778,696
36962G5W0	GENERAL ELECTRIC CAP CORP	2.30	4/27/2017	5,000,000	5,122,496
36962G6K5	GENERAL ELECTRIC CAP CORP	1.60	11/20/2017	6,000,000	6,015,006
36962G6M1	GENERAL ELECTRIC CAP CORP	1.00	12/11/2015	5,725,000	5,746,285
36962G6R0	GENERAL ELECTRIC CAP CORP	1.00	1/8/2016	3,645,000	3,659,400
36962GW75	GENERAL ELECTRIC CAP CORP	0.62	5/5/2026	4,000,000	3,812,600
369668AA6	GENERAL ELECTRIC CAP CORP	3.80	6/18/2019	4,000,000	4,227,855
38141EA25	GOLDMAN SACHS GROUP INC	7.50	2/15/2019	12,500,000	14,895,352
38141GEE0	GOLDMAN SACHS GROUP INC	5.35	1/15/2016	250,000	263,999
38141GEG5	GOLDMAN SACHS GROUP INC	0.68	3/22/2016	2,000,000	2,004,320
38141GEU4	GOLDMAN SACHS GROUP INC	5.63	1/15/2017	250,000	271,001
38141GRC0	GOLDMAN SACHS GROUP INC	2.38	1/22/2018	300,000	301,849
38143USC6	GOLDMAN SACHS GROUP INC	3.63	2/7/2016	5,290,000	5,470,855
38145XAA1	GOLDMAN SACHS GROUP INC	2.63	1/31/2019	2,755,000	2,749,858
38147MAA3	GOLDMAN SACHS GROUP INC	2.90	7/19/2018	1,200,000	1,220,310
384780AA0	GRAIN SPECTRUM FUNDING II LLC	3.29	12/30/2032	935,000	931,605
40411EAB4	BANK OF SCOTLAND PLC	5.25	2/21/2017	17,805,000	19,423,474
40414LAF6	HCP	3.75	11/1/2018	300,000	315,300
40414LAJ8	HCP	4.25	11/15/2023	5,000,000	5,126,906
40428HPH9	HSBC BANK USA INC	1.63	1/16/2018	250,000	249,237

Page 31



Cusip	Security Description	Coupon	Maturity	Par	Market Value
40429CFN7	HSBC FINANCE CORPORATION	5.50	1/19/2016	2,050,000	2,165,612
40429CGD8	HSBC FINANCE CORPORATION	6.68	1/15/2021	11,000,000	12,916,254
4042Q1AC1	HSBC BANK USA NA/NEW YORK NY	6.00	8/9/2017	1,000,000	1,114,357
40430LAA7	HSBC FINANCE CAPITAL TRUST IX	5.91	11/30/2015	200,000	205,000
416518AA6	HARTFORD FINANCIAL SERVICES GR	4.00	10/15/2017	300,000	320,554
42217KAZ9	HEALTH CARE REIT INC	2.25	3/15/2018	3,400,000	3,424,774
42225UAC8	HEALTHCARE TRUST OF AMERICA HO	3.38	7/15/2021	1,325,000	1,313,850
44106MAH5	HOSPITALITY PROPERTIES TRUST	6.30	12/15/2015	250,000	264,318
44107TAU0	HOST HOTELS & RESORTS LP	3.75	10/15/2023	4,500,000	4,446,006
446438RF2	HUNTINGTON NATIONAL BANK THE	1.30	11/20/2016	3,880,000	3,874,549
446438RG0	HUNTINGTON NATIONAL BANK THE	2.20	4/1/2019	136,000	135,016
446438RH8	HUNTINGTON NATIONAL BANK THE	1.38	4/24/2017	6,430,000	6,398,939
449786AL6	ING BANK NV	4.00	3/15/2016	5,600,000	5,833,279
449786AQ5	ING BANK NV	3.75	3/7/2017	3,000,000	3,156,410
449786AR3	ING BANK NV	2.00	9/25/2015	6,500,000	6,580,301
449786AT9	ING BANK NV	1.87	9/25/2015	4,000,000	4,059,760
45685EAE6	ING US INC	2.90	2/15/2018	250,000	256,471
46115HAG2	INTESA SANPAOLO SPA	3.13	1/15/2016	250,000	255,626
46115HAJ6	INTESA SANPAOLO SPA	3.88	1/16/2018	250,000	260,143
46625HHS2	JPMORGAN CHASE & CO	4.40	7/22/2020	3,925,000	4,220,001
46625HHX1	JPMORGAN CHASE & CO	3.45	3/1/2016	3,900,000	4,034,795
46625HJA9	JPMORGAN CHASE & CO	3.15	7/5/2016	300,000	310,391
46625HJL5	JPMORGAN CHASE & CO	1.63	5/15/2018	2,450,000	2,407,031
46625HJR2	JPMORGAN CHASE & CO	2.35	1/28/2019	3,380,000	3,372,981
46625HJS0	JPMORGAN CHASE & CO	0.87	1/28/2019	10,525,000	10,601,096
472319AK8	JEFFERIES GROUP INC	5.13	4/13/2018	300,000	325,619
47232MAA0	JEFFERIES FINANC	7.38	4/1/2019	1,000,000	1,027,500
48121CYK6	JPMORGAN CHS BNK	6.00	10/1/2017	5,000,000	5,595,393
48126EAA5	JPMORGAN CHASE & CO	2.00	8/15/2017	9,775,000	9,854,636
49327M2A1	KEY BANK NATIONAL ASSOCIATION	1.65	2/1/2018	6,900,000	6,835,552
49427RAH5	KILROY RELTY	4.80	4/15/2018	200,000	214,897
49427RAK8	KILROY RELTY	4.25	8/15/2029	5,725,000	5,626,320
49446RAH2	KIMCO REALTY CORPORATION	5.70	5/1/2017	250,000	275,314
52206AAB6	LEASEPLAN CORPORATION NV	2.50	5/16/2018	1,500,000	1,477,922
534187AX7	LINCOLN NATIONAL CORPORATION	8.75	7/1/2019	100,000	126,895
53944VAA7	LLOYDS TSB BANK PLC	2.30	11/27/2018	1,000,000	1,003,919
539473AG3	LLOYDS TSB BANK PLC	4.88	1/21/2016	150,000	157,847
539473AQ1	LLOYDS TSB BANK PLC	4.20	3/28/2017	100,000	106,787
55608PAE4	MACQUARIE BANK LTD	1.65	3/24/2017	2,725,000	2,718,551
55608PAH7	MACQUARIE BANK LTD	2.60	6/24/2019	4,000,000	4,001,607
564759QB7	MANUFACTURERS AND TRADERS TRUS	5.63	12/1/2016	250,000	259,321
585515AE9	MELLON FUNDING CORPORATION	5.50	11/15/2018	4,750,000	5,352,288
59018YJ69	MERRILL LYNCH & CO. INC.	6.40	8/28/2017	5,000,000	5,621,809
59156RAR9	METLIFE INC	6.82	8/15/2018	300,000	352,715
59217GBH1	METLIFE GLOBAL FUNDING INC I	1.30	4/10/2017	3,400,000	3,389,254

Page 32



Cusip	Security Description	Coupon	Maturity	Par	Market Value
60688QAA3	MIZUHO CORPORATE BANK LTD	2.55	3/17/2017	3,225,000	3,304,315
60688XAA8	MIZUHO CORPORATE BANK LTD	1.30	4/16/2017	4,000,000	3,972,410
60688XAJ9	MIZUHO BANK LTD	1.70	9/25/2017	2,155,000	2,152,013
6174466Q7	MORGAN STANLEY	6.63	4/1/2018	12,650,000	14,465,800
6174467U7	MORGAN STANLEY	2.13	4/25/2018	1,500,000	1,494,596
6174467Y9	MORGAN STANLEY	4.35	9/8/2026	1,540,000	1,518,989
617446V71	MORGAN STANLEY	6.25	8/28/2017	10,500,000	11,767,838
61746BDM5	MORGAN STANLEY	2.50	1/24/2019	2,655,000	2,662,473
61746SBR9	MORGAN STANLEY	5.38	10/15/2015	1,000,000	1,047,376
61747YCG8	MORGAN STANLEY	7.30	5/13/2019	4,500,000	5,375,278
61747YDD4	MORGAN STANLEY	3.80	4/29/2016	5,880,000	6,124,147
61747YDT9	MORGAN STANLEY	4.75	3/22/2017	8,050,000	8,655,196
629491AB7	NYSE EURONEXT	2.00	10/5/2017	3,000,000	3,023,853
631103AE8	NASDAQ OMX GROUP INC /THE	5.25	1/16/2018	250,000	272,160
63254AAB4	NATIONAL AUSTRALIA BANK LIMITE	2.75	3/9/2017	150,000	155,102
6325C0CU3	NATIONAL AUSTRALIA BNK LIMITED	1.25	3/17/2017	4,855,000	4,843,531
63307AAA3	NATIONAL BK OF CANADA	1.45	11/7/2017	2,945,000	2,921,271
637432HT5	NATIONAL RURAL UTILITIES COOP	5.45	4/10/2017	250,000	275,374
637432ML6	NATIONAL RURAL UTILITIES COOP	1.90	11/1/2015	4,335,000	4,386,946
637432MW2	NATIONAL RURAL UTILITIES COOP	1.10	1/27/2017	200,000	198,733
65535HAD1	NOMURA HOLDINGS INC	2.00	9/13/2016	250,000	252,312
65535HAG4	NOMURA HOLDINGS INC	2.75	3/19/2019	1,940,000	1,944,008
65557CAH6	NORDEA BANK AB	1.25	4/4/2017	2,680,000	2,667,640
65557FAF3	NORDEA BANK AB	0.69	5/13/2016	5,000,000	5,025,950
681936BC3	OMEGA HEALTHCARE INVESTORS INC	4.50	1/15/2025	2,500,000	2,437,120
686330AG6	ORIX CORP	3.75	3/9/2017	100,000	104,613
693476AT0	PNC FUNDING CORP - GTD	5.25	11/15/2015	350,000	366,406
693476BJ1	PNC FUNDING CORP - GTD	5.13	2/8/2020	3,000,000	3,380,868
693476BL6	PNC FUNDING CORP - GTD	4.38	8/11/2020	2,950,000	3,221,060
69349LAA6	PNC BANK NA	5.25	1/15/2017	3,000,000	3,255,115
69349LAC2	PNC BANK NA	4.88	9/21/2017	250,000	272,546
69349LAP3	PNC BANK NA	1.15	10/1/2016	9,890,000	9,914,102
69353RDD7	PNC BANK NA	2.25	6/2/2019	9,650,000	9,636,936
742651DS8	PRIVATE EXPORT FUNDING CORPORA	1.88	7/15/2018	100,000	100,862
74341DAA2	PROLOGIS INTERNATIONAL FUNDING	4.88	2/15/2020	2,000,000	2,135,513
74432QAY1	PRUDENTIAL FINANCIAL INC	6.10	6/15/2017	100,000	111,562
74432QBW4	PRUDENTIAL FINANCIAL INC	2.30	8/15/2018	200,000	201,252
74977EPZ0	RABOBANK NEDERLAND NV	1.70	3/19/2018	2,625,000	2,609,168
756109AJ3	REALTY INCOME CORP	5.95	9/15/2016	200,000	217,140
78008S7D2	ROYAL BANK OF CANADA	2.20	7/27/2018	300,000	303,073
78008SVD5	ROYAL BANK OF CANADA	1.50	1/16/2018	250,000	248,242
78008TLB8	ROYAL BANK OF CANADA	2.30	7/20/2016	300,000	307,184
78009PCC3	ROYAL BANK OF SCOTLAND PLC	4.38	3/16/2016	13,360,000	13,983,900
78010UBY2	ROYAL BANK OF CANADA	1.45	9/9/2016	4,100,000	4,136,379
78010UD20	ROYAL BANK OF CANADA	1.25	6/16/2017	6,100,000	6,072,858

Page 33



Cusip	Security Description	Coupon	Maturity	Par	Market Value
78011DAC8	ROYAL BANK OF CANADA	1.20	9/19/2017	9,500,000	9,438,155
78403DAB6	SBA TOWER TRUST	5.10	4/15/2017	5,300,000	5,607,506
78469BAA3	SPENCER SPIRIT HOLDINGS INC	9.00	5/1/2016	614,000	620,140
80282KAC0	SANTANDER HOLDINGS USA INC	3.45	7/27/2018	150,000	155,550
81721MAJ8	SENIOR HOUSING PROPERTIES TRUS	3.25	2/1/2019	3,675,000	3,692,709
81721MAK5	SENIOR HOUSING PROPERTIES TRUS	4.75	11/1/2023	3,475,000	3,516,125
828807CM7	SIMON PROPERTY GROUP LP	1.50	2/1/2018	14,000,000	13,819,638
828807CQ8	SIMON PROPERTY GROUP LP	2.20	2/1/2019	250,000	249,996
83368RAD4	SOCIETE GENERALE	2.63	10/1/2018	250,000	253,659
84603MXU5	SOVEREIGN BANK	8.75	5/30/2018	2,475,000	2,979,418
84650WAB2	SPAREBNK 1 BOLIG	2.63	5/27/2016	200,000	205,994
84650WAD8	SPAREBNK 1 BOLIG	2.30	6/30/2017	6,500,000	6,660,940
853254AS9	STANDARD CHARTERED PLC	2.40	9/8/2019	4,100,000	4,064,002
865622AV6	SUMITOMO MITSUI BANKING CORP	1.80	7/18/2017	250,000	250,624
865622AY0	SUMITOMO MITSUI BANKING CORP	1.50	1/18/2018	3,270,000	3,223,154
865622BB9	SUMITOMO MITSUI BANKING CORP	0.90	7/19/2016	2,000,000	2,014,680
865622BM5	SUMITOMO MITSUI BANKING CORP	2.25	7/11/2019	250,000	247,861
86787EAP2	SUNTRUST BANKS INC	1.35	2/15/2017	1,970,000	1,964,141
867914BE2	SUNTRUST BANKS INC	3.50	12/20/2016	250,000	260,104
86960BAB8	SVENSKA HANDELSBANKEN AB	2.88	4/4/2017	5,000,000	5,183,934
86960BAC6	SVENSKA HANDELSBANKEN AB	1.63	3/21/2018	250,000	247,696
86960BAD4	SVENSKA HANDELSBANKEN AB	0.68	3/21/2016	2,500,000	2,510,475
86960BAE2	SVENSKA HANDELSBANKEN AB	2.50	1/25/2019	250,000	252,755
87020LAA4	SWEDBANK HYPOTEK AB	2.95	3/28/2016	8,100,000	8,373,780
87020PAA5	SWEDBANK AB	2.13	9/29/2017	3,395,000	3,425,256
87020PAC1	SWEDBANK AB	1.75	3/12/2018	8,025,000	7,958,339
87165BAA1	SYNCHRONY FINANCIAL	1.88	7/15/2017	20,000	20,036
87165BAB9	SYNCHRONY FINANCIAL	3.00	7/15/2019	3,850,000	3,858,419
87165BAD5	SYNCHRONY FINANCIAL	4.25	8/15/2024	1,154,000	1,153,201
89114QAE8	TORONTO-DOMINION BANK/THE	2.38	10/19/2016	300,000	308,431
89114QAG3	TORONTO-DOMINION BANK/THE	1.40	4/30/2018	200,000	196,687
89114QAM0	TORONTO-DOMINION BANK/THE	2.63	9/10/2018	150,000	153,132
89114QAQ1	TORONTO-DOMINION BANK/THE	1.13	5/2/2017	8,000,000	7,948,762
89114QAS7	TORONTO-DOMINION BANK/THE	2.13	7/2/2019	100,000	99,124
90261XEM0	UBS AG (STAMFORD BRANCH)	5.88	12/20/2017	291,000	327,650
90261XGD8	UBS AG (STAMFORD BRANCH)	4.88	8/4/2020	5,500,000	6,091,983
90261XHC9	UBS AG (STAMFORD BRANCH)	1.38	8/14/2017	5,425,000	5,386,668
90261XHE5	UBS AG (STAMFORD BRANCH)	2.38	8/14/2019	250,000	247,547
90264AAA7	UBS PD FD TST IV	6.24		250,000	261,250
90331HMH3	US BANK NA/CINCINNATI OH	1.38	9/11/2017	6,000,000	5,994,321
90520EAC5	UNION BANK NA	3.00	6/6/2016	7,800,000	8,062,350
90520EAE1	UNION BANK NA	2.13	6/16/2017	3,400,000	3,450,911
90520EAF8	UNION BANK NA	2.25	4/6/2019	8,585,000	8,559,205
90520GAA4	UNION BANK NA	5.95	5/11/2016	250,000	268,902
90521APH5	UNION BANK NA	1.50	8/26/2016	3,955,000	3,993,928

Page 34



Cusip	Security Description	Coupon	Maturity	Par	Market Value
90521APJ1	UNION BANK NA	2.63	8/26/2018	6,700,000	6,818,462
91159HHB9	US BANCORP	2.20	10/14/2016	150,000	153,690
91159HHD5	US BANCORP	1.65	4/15/2017	3,600,000	3,628,855
91159HHE3	US BANCORP	1.95	11/15/2018	100,000	99,643
91159HHF0	US BANCORP	0.72	10/15/2018	8,625,000	8,691,758
91159HHH6	US BANCORP	2.20	4/25/2019	3,015,000	3,013,664
91529YAG1	UNUM GROUP	7.13	9/30/2016	250,000	278,952
92277GAA5	VENTAS REALTY LP/CAP CRP	1.55	9/26/2016	117,000	117,717
92890HAB8	WEA FINANCE LLC /WESTFIELD UK	2.70	8/17/2019	5,550,000	5,572,650
929043AH0	VORNADO REALTY LP	2.50	6/30/2019	3,600,000	3,579,074
929903DT6	WACHOVIA CORP	5.75	6/15/2017	17,300,000	19,238,029
949746QU8	WELLS FARGO & COMPANY	3.68	6/15/2016	350,000	366,369
94974BEV8	WELLS FARGO & COMPANY	4.60	4/1/2021	3,150,000	3,453,689
94974BFD7	WELLS FARGO & COMPANY	2.10	5/8/2017	250,000	254,406
94974BFG0	WELLS FARGO & COMPANY	1.50	1/16/2018	350,000	346,873
94974BFU9	WELLS FARGO & COMPANY	2.13	4/22/2019	4,100,000	4,056,735
94974BFW5	WELLS FARGO & COMPANY	1.15	6/2/2017	100,000	99,196
94974BGA2	WELLS FARGO & COMPANY	3.30	9/9/2024	10,000,000	9,842,522
94980VAF5	WELLS FARGO BANK NA	0.44	5/16/2016	2,550,000	2,547,833
959802AR0	WESTERN UNION CO/THE	2.88	12/10/2017	250,000	256,744
961214BV4	WESTPAC BANKING CORP	2.00	8/14/2017	4,125,000	4,179,446
961214BY8	WESTPAC BANKING CORP	0.95	1/12/2016	100,000	100,335
961214BZ5	WESTPAC BANKING CORP	1.60	1/12/2018	250,000	248,804
961214CD3	WESTPAC BANKING CORP	1.05	11/25/2016	1,270,000	1,266,588
961214CF8	WESTPAC BANKING CORP	2.25	1/17/2019	150,000	150,607
96122WAG5	WESTPAC BANKING CORP	2.00	5/21/2019	12,500,000	12,437,500
G63255AA4	MUFG CAPITAL FINANCE 1 LTD	6.35		150,000	159,750
L7916MAB2	REDTOP ACQUISITION LTD	4.50	12/4/2014	1,542,250	1,542,250
LX119275	WALL STREET SYSTEM HOLDINGS IN	5.25	4/30/2021	2,528,446	2,506,322
LX119765	RBS WORLDPAY	5.25	11/29/2019	1,000,000	1,000,000
LX123555	CONNOLLY CORP	5.25	5/14/2021	3,172,050	3,150,242
LX123690	CONNOLLY CORP	4.75	5/13/2022	730,000	730,000
LX126290	CUNNINGHAM LINDSEY GROUP INC	5.00	12/10/2019	1,514,680	1,486,280
LX126492	CONFIE SEGUROS HOLDING II CO	6.50	11/9/2018	1,991,022	2,005,955
LX126494	CONFIE SEGUROS HOLDING II CO	10.25	5/8/2019	450,000	452,531
LX128186	OCWEN LOAN SERVICING LLC	5.00	2/15/2018	3,355,976	3,295,568
LX128480	ASURION LLC	5.00	5/24/2019	2,938,170	2,921,032
LX128959	CGSC OF DELAWARE HOLDINGS CORP	5.00	4/16/2020	844,313	776,768
LX128960	CGSC OF DELAWARE HOLDINGS CORP	8.25	10/16/2020	250,000	217,500
LX129269	CAPITAL AUTOMOTIVE	6.00	4/29/2016	1,000,000	1,010,000
LX129282	NUVEEN INVESTMENTS INC	4.16	5/13/2017	466,202	464,454
LX130505	AMERICAN STOCK TRANSFER & TRUS	5.75	6/26/2020	2,954,919	2,933,989
LX131403	LARCHMONT RESOURCES LLC	8.25	8/7/2015	791,985	795,945
LX131877	ROYAL BANK OF SCOTLAND PLC	5.50	3/16/2017	800,000	920,000
LX133144	ROYAL BANK OF SCOTLAND NV	9.50	3/9/2015	600,000	598,575

Page 35



Cusip	Security Description	Coupon	Maturity	Par	Market Value
LX133463	ASCENSUS INC	9.00	12/11/2020	750,000	757,500
LX133991	AMERICAN BEACON ADVISORS INC	4.75	11/20/2019	725,280	721,654
LX134289	WALTER INVESTMENT MANAGEMENT C	4.75	12/18/2020	3,970,000	3,812,856
LX134879	ARDEN GRP, INC.	5.25	2/19/2020	995,000	990,025
LX135662	ASURION LLC	8.50	3/3/2017	550,000	555,729
LX136119	ASSUREDPARTNERS CAPITAL INC	7.75	4/2/2022	750,000	729,375
N4R205LL4	ING BANK NV	4.13	11/21/2018	13,500,000	13,951,304
				1,160,724,292	1,194,948,737
Corporate Debt Securities - Industrials
00206RAV4	AT&T INC	2.50	8/15/2015	1,984,000	2,017,391
00206RAY8	AT&T INC	2.40	8/15/2016	350,000	358,888
00206RBC5	AT&T INC	1.60	2/15/2017	6,000,000	6,047,804
00206RBM3	AT&T INC	1.40	12/1/2017	8,450,000	8,383,001
00206RCA8	AT&T INC	2.38	11/27/2018	2,200,000	2,220,383
00287YAG4	ABBVIE INC	1.20	11/6/2015	200,000	200,857
00287YAJ8	ABBVIE INC	1.75	11/6/2017	550,000	548,219
00289WAA9	ABENGOA SA CLASS B	6.50	10/1/2019	1,000,000	1,000,000
00507UAA9	ACTAVIS FUNDING SCS	1.30	6/15/2017	3,015,000	2,965,310
00766TAA8	AECOM	5.75	10/15/2020	75,000	75,200
00817YAK4	AETNA INC	1.75	4/15/2017	400,000	403,501
00817YAL2	AETNA INC	1.50	11/15/2017	2,885,000	2,858,138
00817YAN8	AETNA INC	2.20	3/15/2019	150,000	148,548
00846UAC5	AGILENT TECH INC	6.50	11/1/2017	100,000	113,364
00846UAG6	AGILENT TECH INC	5.00	7/15/2020	1,140,000	1,242,536
009158AP1	AIR PRODUCTS AND CHEMICALS INC	4.38	8/21/2019	5,250,000	5,717,798
009363AN2	AIRGAS INC	1.65	2/15/2018	100,000	98,604
02076XAG7	ALPHA NATURAL RESOURCES INC	7.50	8/1/2020	1,000,000	892,500
021441AE0	ALTERA CORPORATION	2.50	11/15/2018	150,000	150,757
02154VAA9	ALTICE SA	7.75	5/15/2022	750,000	763,125
02209SAD5	ALTRIA GROUP INC	9.70	11/10/2018	300,000	384,765
023135AH9	AMAZON.COM INC	1.20	11/29/2017	150,000	148,396
02364WBC8	AMERICA MOVIL SA DE CV	2.38	9/8/2016	300,000	306,411
02364WBF1	AMERICA MOVIL SA DE CV	1.23	9/12/2016	4,000,000	4,040,000
02665WAC5	AMERICAN HONDA FINANCE CORPORA	2.13	10/10/2018	200,000	201,190
02666QD75	AMERICAN HONDA FINANCE CORPORA	7.63	10/1/2018	1,803,000	2,179,386
02666QM26	AMERICAN HONDA FINANCE CORPORA	1.60	2/16/2018	1,590,000	1,583,218
03027XAD2	AMERICAN TOWER CORPORATION	5.00	2/15/2024	3,300,000	3,463,836
03073EAK1	AMERISOURCEBERGEN CORP	1.15	5/15/2017	14,955,000	14,825,483
031162AZ3	AMGEN INC	5.70	2/1/2019	250,000	283,197
031162BF6	AMGEN INC	2.30	6/15/2016	150,000	153,245
031162BL3	AMGEN INC	2.50	11/15/2016	3,000,000	3,081,029
031162BQ2	AMGEN INC	2.13	5/15/2017	100,000	101,451
031162BR0	AMGEN INC	1.25	5/22/2017	100,000	99,334
032095AC5	AMPHENOL CORPORATION	2.55	12/30/2018	6,725,000	6,776,178
032095AD3	AMPHENOL CORPORATION	1.55	9/15/2017	50,000	50,003

Page 36



Cusip	Security Description	Coupon	Maturity	Par	Market Value
032511AX5	ANADARKO PETROLEUM CORP	5.95	9/15/2016	250,000	272,746
032511BH9	ANADARKO PETROLEUM CORP	6.38	9/15/2017	200,000	226,171
032801AA0	ANCESTRY.COM HOLDINGS LLC	9.63	10/15/2017	1,000,000	1,010,000
03523TBA5	ANHEUSER-BUSCH INBEV WORLDWIDE	2.88	2/15/2016	6,000,000	6,183,162
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE	1.38	7/15/2017	5,000,000	4,984,612
035242AC0	ANHEUSER-BUSCH INBEV FINANCE I	1.25	1/17/2018	500,000	490,287
035242AE6	ANHEUSER-BUSCH INBEV FINANCE I	2.15	2/1/2019	200,000	198,927
037411AS4	APACHE CORP	5.63	1/15/2017	5,900,000	6,468,178
037833AH3	APPLE INC	0.45	5/3/2016	9,625,000	9,598,141
037833AJ9	APPLE INC	1.00	5/3/2018	450,000	438,916
037833AM2	APPLE INC	1.05	5/5/2017	100,000	99,674
037833AQ3	APPLE INC	2.10	5/6/2019	5,030,000	5,027,665
03834AAA1	APPROACH RESOURCES INC	7.00	6/15/2021	1,000,000	987,500
039483AY8	ARCHER-DANIELS-MIDLAND COMPANY	5.45	3/15/2018	2,884,000	3,226,836
042735BB5	ARROW ELECTRONICS INC	3.00	3/1/2018	75,000	76,838
046353AB4	ASTRAZENECA PLC	5.90	9/15/2017	150,000	168,880
046353AF5	ASTRAZENECA PLC	1.95	9/18/2019	100,000	98,596
05351LAA5	AVANTI COMMUNICATIONS GROUP PL	10.00	10/1/2019	1,000,000	995,000
054303AU6	AVON PRODUCTS INC	5.75	3/1/2018	150,000	159,381
054303AY8	AVON PRODUCTS INC	2.38	3/15/2016	5,600,000	5,639,049
05530QAD2	BAT INTL FIN PLC	1.40	6/5/2015	3,510,000	3,526,281
05542HAA4	BC MOUNTAIN LLC / BC MOUNTAIN	7.00	2/1/2021	500,000	460,000
05542YAA7	B COMMUNICATIONS LTD	7.38	2/15/2020	1,000,000	1,063,750
055451AH1	BHP BILLITON FINANCE LTD	6.50	4/1/2019	200,000	235,805
055451AP3	BHP BILLITON FINANCE LTD	1.63	2/24/2017	250,000	252,752
05565QBN7	BP CAPITAL MARKETS PLC	3.13	10/1/2015	175,000	179,369
05565QBY3	BP CAPITAL MARKETS PLC	1.85	5/5/2017	7,300,000	7,383,037
05565QCE6	BP CAPITAL MARKETS PLC	1.38	5/10/2018	500,000	489,848
05565QCG1	BP CAPITAL MARKETS PLC	2.24	9/26/2018	7,000,000	7,021,413
05565QCR7	BP CAPITAL MARKETS PLC	2.24	5/10/2019	200,000	198,580
056752AC2	BAIDU INC	3.25	8/6/2018	200,000	205,610
067901AB4	BARRICK GOLD CORP	6.95	4/1/2019	150,000	174,217
071813BH1	BAXTER INTERNATIONAL INC.	0.95	6/1/2016	200,000	200,241
071813BJ7	BAXTER INTERNATIONAL INC.	1.85	6/15/2018	250,000	248,483
075896AB6	BED BATH & BEYOND INC.	4.92	8/1/2034	625,000	621,846
093645AG4	BLOCK COMMUNICATIONS INC.	7.25	2/1/2018	750,000	781,875
09664PAC6	BOART LONGYEAR MANAGEMENT PTY	10.00	10/1/2018	500,000	525,000
097023BC8	BOEING CO	3.75	11/20/2016	150,000	157,922
101137AM9	BOSTON SCIENTIFIC CORP	2.65	10/1/2018	5,200,000	5,227,453
110122AS7	BRISTOL-MYERS SQUIBB CO	0.88	8/1/2017	100,000	98,470
111013AM0	BRITISH SKY BROADCASTING GRP P	2.63	9/16/2019	3,000,000	3,006,164
111021AK7	BRITISH TELECOMMUNICATIONS PLC	2.35	2/14/2019	200,000	199,746
118230AL5	BUCKEYE PARTNERS	2.65	11/15/2018	250,000	248,541
12008RAG2	BUILDERS FIRSTSOURCE INC	7.63	6/1/2021	750,000	750,000
120568AV2	BUNGE LIMITED FINANCE CORP	3.20	6/15/2017	300,000	310,330

Page 37



Cusip	Security Description	Coupon	Maturity	Par	Market Value
124857AH6	CBS CORP	1.95	7/1/2017	200,000	202,209
12516UAD7	CEMEX FINANCE LLC	6.00	4/1/2024	1,500,000	1,485,000
12626PAG8	CRH AMERICA INC.	6.00	9/30/2016	250,000	272,641
126408GM9	CSX CORPORATION	6.25	3/15/2018	300,000	343,330
126650BE9	CVS CAREMARK CORP	6.13	8/15/2016	250,000	273,571
126650BQ2	CVS CAREMARK CORP	6.94	9/23/2023	1,840,600	2,239,827
126650CB4	CVS CAREMARK CORP	2.25	11/5/2018	250,000	250,383
127055AJ0	CABOT CORP	2.55	1/15/2018	150,000	151,272
12800UAL4	CAISSE CENTRALE DESJARDINS	1.60	3/6/2017	6,000,000	6,069,720
13342BAK1	CAMERON INTERNATIONAL CORP	1.15	12/15/2016	63,000	62,840
134429AV1	CAMPBELL SOUP COMPANY	3.05	7/15/2017	200,000	207,721
136375BY7	CANADIAN NTL RAIL CO	0.44	11/6/2015	2,525,000	2,527,752
136385AK7	CANADIAN NATURAL RESOURCES LTD	5.70	5/15/2017	250,000	275,889
14170TAL5	CAREFUSION CORP	1.45	5/15/2017	1,940,000	1,919,830
141781AY0	CARGILL INC	4.31	5/14/2021	1,250,000	1,354,521
141781BA1	CARGILL INC	1.90	3/1/2017	6,000,000	6,069,893
141781BB9	CARGILL INC	3.30	12/1/2021	4,000,000	4,063,550
143658AY8	CARNIVAL CORP	1.88	12/15/2017	250,000	250,316
14912L5E7	CATERPILLAR INC	1.63	6/1/2017	6,200,000	6,248,077
14912L5H0	CATERPILLAR INC	0.70	11/6/2015	3,410,000	3,411,607
14912L5J6	CATERPILLAR INC	1.25	11/6/2017	150,000	148,294
14912L5T4	CATERPILLAR INC	2.45	9/6/2018	150,000	152,650
14912L5Z0	CATERPILLAR INC	1.00	3/3/2017	200,000	199,105
14912L6B2	CATERPILLAR INC	2.10	6/9/2019	150,000	148,669
14987BAD5	CC HLD V	2.38	12/15/2017	100,000	101,307
14987BAE3	CC HLD V	3.85	4/15/2023	1,000,000	999,288
151020AG9	CELGENE CORPORATION	1.90	8/15/2017	3,065,000	3,085,712
151020AN4	CELGENE CORPORATION	2.25	5/15/2019	2,670,000	2,643,251
151191AQ6	CELULOSA ARAUCO Y CONSTITUCION	7.25	7/29/2019	75,000	87,844
166764AA8	CHEVRON CORP	1.10	12/5/2017	350,000	345,629
166764AE0	CHEVRON CORP	1.72	5/24/2018	300,000	300,290
17275RAC6	CISCO SYSTEMS INC	5.50	2/22/2016	3,665,000	3,911,002
17275RAK8	CISCO SYSTEMS INC	3.15	3/14/2017	2,500,000	2,620,088
17275RAN2	CISCO SYSTEMS INC	3.63	3/4/2024	4,050,000	4,149,626
17275RAR3	CISCO SYSTEMS INC	2.13	3/1/2019	5,300,000	5,294,304
17275RAT9	CISCO SYSTEMS INC	1.10	3/3/2017	200,000	199,962
17302XAJ5	CITGO PETROLEUM CORPORATION	6.25	8/15/2020	450,000	468,000
191216AU4	COCA-COLA COMPANY (THE)	1.80	9/1/2016	400,000	407,925
191216BD1	COCA-COLA COMPANY (THE)	0.75	11/1/2016	1,945,000	1,941,521
191216BF6	COCA-COLA COMPANY (THE)	1.65	11/1/2018	250,000	248,329
20030NAL5	COMCAST CORP	5.90	3/15/2016	7,500,000	8,053,895
20030NAP6	COMCAST CORP	6.50	1/15/2017	400,000	447,638
20030NAR2	COMCAST CORP	5.88	2/15/2018	4,705,000	5,342,643
20467BAA7	COMPRESSCO PARTNERS LP / COMPR	7.25	8/4/2020	515,000	515,000
205887BP6	CONAGRA FOODS INC.	1.30	1/25/2016	66,000	66,244

Page 38



Cusip	Security Description	Coupon	Maturity	Par	Market Value
205887BQ4	CONAGRA FOODS INC.	1.90	1/25/2018	225,000	223,560
20825CAR5	CONOCOPHILLIPS	5.75	2/1/2019	250,000	286,700
20826FAB2	CONOCOPHILLIPS CO	1.05	12/15/2017	250,000	246,430
21079UAA3	CONTINENTAL AIRLINES 2009 2 PA	7.25	1/29/2020	4,003,443	4,664,012
22160KAE5	COSTCO WHSLE CORP	1.13	12/15/2017	6,150,000	6,080,369
22303QAG5	COVIDIEN INTERNATIONAL FINANCE	6.00	10/15/2017	250,000	280,457
22303QAK6	COVIDIEN INTERNATIONAL FINANCE	2.80	6/15/2015	10,800,000	10,969,452
22822RAZ3	CROWN CASTLE TOWERS LLC	4.88	8/15/2040	5,250,000	5,786,807
233851AT1	DAIMLER FINANCE NORTH AMERICA	1.25	1/11/2016	5,145,000	5,172,606
235851AL6	DANAHER CORPORATION	2.30	6/23/2016	200,000	204,834
237194AG0	DARDEN RESTAURANTS INC	6.20	10/15/2017	150,000	167,834
24422EQF9	JOHN DEERE CAPITAL CORP	5.50	4/13/2017	2,070,000	2,279,528
24422ERN1	JOHN DEERE CAPITAL CORP	1.40	3/15/2017	200,000	200,685
24422ERW1	JOHN DEERE CAPITAL CORP	1.20	10/10/2017	200,000	198,127
24422ESF7	JOHN DEERE CAPITAL CORP	1.95	12/13/2018	200,000	198,953
24422ESN0	JOHN DEERE CAPITAL CORP	1.13	6/12/2017	4,855,000	4,836,647
24422ESR1	JOHN DEERE CAPITAL CORP	1.55	12/15/2017	6,400,000	6,424,265
247361ZH4	DELTA AIR LINES INC	4.95	12/9/2017	108,765	115,563
24736TAA5	DELTA AIR LINES INC	7.75	6/17/2021	1,226,474	1,413,511
249030AB3	DENTSPLY INTL INC.	2.75	8/15/2016	1,475,000	1,511,194
25156PAH6	DEUTSCHE TELEKOM INTERNATIONAL	5.75	3/23/2016	250,000	267,273
25156PAN3	DEUTSCHE TELEKOM INTERNATIONAL	6.00	7/8/2019	1,250,000	1,437,579
25179MAM5	DEVON ENERGY CORPORATION	1.88	4/15/2017	300,000	302,583
25179MAT0	DEVON ENERGY CORPORATION	2.25	12/15/2018	3,200,000	3,189,693
25243YAM1	DIAGEO CAPITAL PLC	5.75	10/23/2017	250,000	280,808
25243YAR0	DIAGEO CAPITAL PLC	1.50	5/11/2017	3,000,000	3,014,738
25243YAS8	DIAGEO CAPITAL PLC	0.63	4/29/2016	3,085,000	3,074,780
25459HAV7	DIRECTV HOLDINGS LLC	3.13	2/15/2016	1,755,000	1,806,741
25459HBE4	DIRECTV HOLDINGS LLC	2.40	3/15/2017	350,000	357,754
25468PCG9	WALT DISNEY COMPANY (THE)	6.00	7/17/2017	150,000	169,248
25468PCS3	WALT DISNEY COMPANY (THE)	1.13	2/15/2017	250,000	250,099
25468PCV6	WALT DISNEY COMPANY (THE)	1.10	12/1/2017	6,100,000	6,028,923
25468PCZ7	WALT DISNEY COMPANY (THE)	0.88	5/30/2017	7,235,000	7,172,924
25468PDA1	WALT DISNEY COMPANY (THE)	1.85	5/30/2019	250,000	246,681
256677AB1	DOLLAR GENERAL CORP	1.88	4/15/2018	200,000	191,002
260543BX0	CORTS TRUST DOW	8.55	5/15/2019	200,000	251,499
263534BT5	EI DU PONT DE NEMOURS & CO	6.00	7/15/2018	200,000	229,672
268648AP7	EMC CORP	1.88	6/1/2018	250,000	248,193
26875PAD3	EOG RESOURCES INC	5.63	6/1/2019	200,000	228,019
26884TAK8	ERAC USA FINANCE LLC	2.80	11/1/2018	5,995,000	6,115,720
278062AA2	EATON CORPORATION	0.95	11/2/2015	100,000	100,176
278062AB0	EATON CORPORATION	1.50	11/2/2017	250,000	248,443
278642AG8	EBAY INC.	1.35	7/15/2017	6,625,000	6,607,305
278642AH6	EBAY INC.	2.20	8/1/2019	5,275,000	5,200,810
278642AL7	EBAY INC.	3.45	8/1/2024	1,250,000	1,232,637

Page 39



Cusip	Security Description	Coupon	Maturity	Par	Market Value
278865AK6	ECOLAB INC	3.00	12/8/2016	300,000	311,173
29276KAT8	ENERGY XXI GULF	6.88	3/15/2024	2,000,000	1,880,000
29358QAA7	ENSCO PLC	4.70	3/15/2021	1,825,000	1,909,844
29358QAC3	ENSCO PLC	4.50	7/1/2024	3,000,000	3,012,177
29379VAA1	ENTERPRISE PRODUCTS OPERATING	6.30	9/15/2017	300,000	339,911
29414DAA8	EMERGENCY MED(ENVISION HEALTH)	5.13	7/1/2022	2,000,000	1,970,000
30219GAD0	ARISTOTLE HOLDING INC	2.65	2/15/2017	300,000	308,307
30219GAH1	ARISTOTLE HOLDING INC	2.25	6/15/2019	200,000	197,085
30227CAB3	EXTERRAN PTNRS LP / EXLP FIN C	6.00	4/1/2021	1,500,000	1,458,750
30231GAA0	EXXON MOBIL CORP	0.92	3/15/2017	125,000	124,165
30231GAD4	EXXON MOBIL CORP	1.82	3/15/2019	300,000	299,597
30249UAA9	FMC TECHNOLOGIES INC	2.00	10/1/2017	1,650,000	1,654,413
31620MAJ5	FIDELITY NATIONAL INFORMATION	2.00	4/15/2018	293,000	287,964
31620MAL0	FIDELITY NATIONAL INFORMATION	1.45	6/5/2017	2,915,000	2,896,144
337738AG3	FISERV INC	6.80	11/20/2017	50,000	57,065
337738AK4	FISERV INC	3.13	6/15/2016	200,000	206,593
345397VP5	FORD MOTOR CREDIT COMPANY LLC	6.63	8/15/2017	200,000	225,761
345397VT7	FORD MOTOR CREDIT COMPANY LLC	5.00	5/15/2018	8,250,000	9,025,581
345397VU4	FORD MOTOR CREDIT COMPANY LLC	5.88	8/2/2021	3,000,000	3,441,739
345397WD1	FORD MOTOR CREDIT COMPANY LLC	3.00	6/12/2017	200,000	206,513
345397WJ8	FORD MOTOR CREDIT COMPANY LLC	1.70	5/9/2016	2,710,000	2,732,909
345397WL3	FORD MOTOR CREDIT COMPANY LLC	2.88	10/1/2018	200,000	203,753
345397WR0	FORD MOTOR CREDIT COMPANY LLC	1.72	12/6/2017	350,000	347,485
35671DBD6	FREEPORT-MCMORAN COPPER & GOLD	2.38	3/15/2018	5,720,000	5,724,603
361448AP8	GATX CORP	2.38	7/30/2018	93,000	92,980
362251AA8	GRD HOLDING III CORP	10.75	6/1/2015	1,000,000	1,102,500
36467WAA7	GAMESTOP CORP	5.50	10/1/2019	750,000	736,539
369550AV0	GENERAL DYNAMICS CORP	1.00	11/15/2017	200,000	196,372
369604BE2	GENERAL ELECTRIC CO	0.85	10/9/2015	4,575,000	4,589,589
370334BH6	GENERAL MILLS INC	5.65	2/15/2019	200,000	227,708
375558AQ6	GILEAD SCIENCES INC	4.50	1/1/2021	2,500,000	2,733,416
375558AV5	GILEAD SCIENCES INC	2.05	4/1/2019	3,725,000	3,688,484
377372AD9	GLAXOSK CAP INC	5.65	5/15/2018	200,000	226,500
377373AC9	GLAXOSMITHKLINE CAPITAL PLC	1.50	5/8/2017	7,500,000	7,544,412
378272AE8	GLENCORE FUNDING LLC	1.59	1/15/2019	2,250,000	2,266,830
378272AG3	GLENCORE FUNDING LLC	3.13	4/29/2019	2,910,000	2,909,282
380956AC6	GOLDCORP INC.	2.13	3/15/2018	150,000	149,724
380956AF9	GOLDCORP INC.	3.63	4/9/2021	3,400,000	3,415,781
381131AA9	GOLDEN NUGGET ESCROW INC	8.50	12/1/2019	1,000,000	1,015,000
406216BB6	HALLIBURTON COMPANY	1.00	8/1/2016	3,025,000	3,032,859
406216BC4	HALLIBURTON COMPANY	2.00	7/1/2018	150,000	150,537
41283LAD7	HARLEY-DAVIDSON FINANCIAL	2.40	9/15/2019	3,000,000	2,999,922
427093AH2	HERCULES OFFSHORE INC	7.50	10/1/2021	850,000	684,250
42809HAE7	AMERADA HESS CORP	1.30	6/15/2017	67,000	66,755
428236AS2	HEWLETT-PACKARD CO	5.50	3/1/2018	150,000	167,619

Page 40



Cusip	Security Description	Coupon	Maturity	Par	Market Value
428236BP7	HEWLETT-PACKARD CO	3.00	9/15/2016	5,950,000	6,159,094
428236BW2	HEWLETT-PACKARD CO	2.60	9/15/2017	250,000	256,765
437076AP7	HOME DEPOT INC	5.40	3/1/2016	350,000	372,803
438516AS5	HONEYWELL INTERNATIONAL INC	5.30	3/15/2017	150,000	164,730
438516AZ9	HONEYWELL INTERNATIONAL INC	5.00	2/15/2019	150,000	167,211
444859BC5	HUMANA INC	2.63	10/1/2019	2,875,000	2,880,940
448055AC7	HUSKY ENERGY INC.	6.20	9/15/2017	100,000	112,523
452308AU3	ILLINOIS TOOL WORKS INC	1.95	3/1/2019	150,000	148,864
452892AA0	IMPERIAL METALS CORP	7.00	3/15/2019	1,000,000	942,500
45687AAL6	INGERSOLL-RAND GLOBAL HOLDING	2.88	1/15/2019	150,000	152,391
458140AH3	INTEL CORP	1.95	10/1/2016	6,100,000	6,228,291
458140AL4	INTEL CORP	1.35	12/15/2017	9,625,000	9,580,566
459200GM7	INTERNATIONAL BUSINESS MACHINE	7.63	10/15/2018	200,000	243,089
459200GX3	INTERNATIONAL BUSINESS MACHINE	1.95	7/22/2016	350,000	357,167
459200HG9	INTERNATIONAL BUSINESS MACHINE	1.88	8/1/2022	4,000,000	3,677,628
459200HK0	INTERNATIONAL BUSINESS MACHINE	1.25	2/8/2018	300,000	296,871
459200HM6	INTERNATIONAL BUSINESS MACHINE	1.63	5/15/2020	6,000,000	5,744,356
459200HT1	INTERNATIONAL BUSINESS MACHINE	1.95	2/12/2019	100,000	99,748
460146CA9	INTERNATIONAL PAPER COMPANY	7.95	6/15/2018	150,000	179,161
460690BJ8	INTERPUBLIC GRP OF CO INC	2.25	11/15/2017	100,000	100,306
46122XAA1	INTREPID AVIATION GROUP HOLDIN	6.88	2/15/2018	1,000,000	1,017,500
462651AA8	IRACORE INTERNATIONAL HOLDINGS	9.50	6/1/2018	880,000	856,900
465676AA2	ITHACA ENERGY INC	8.13	7/1/2019	1,000,000	990,300
478160BF0	JOHNSON & JOHNSON	0.70	11/28/2016	190,000	189,648
478160BG8	JOHNSON & JOHNSON	1.65	12/5/2018	200,000	198,952
478366AZ0	JOHNSON CONTROLS INC.	2.60	12/1/2016	200,000	205,723
481165AF5	JOY GLOBAL INC.	6.00	11/15/2016	150,000	163,494
487836BE7	KELLOGG COMPANY	3.25	5/21/2018	250,000	260,013
487836BH0	KELLOGG COMPANY	1.75	5/17/2017	150,000	150,854
494368BN2	KIMBERLY-CLARK CORPORATION	1.90	5/22/2019	200,000	197,535
494550BG0	KINDER MORGAN ENERGY PARTNERS	3.50	3/1/2016	1,955,000	2,017,492
500472AB1	ROYAL PHILIPS ELECTRONICS N.V.	5.75	3/11/2018	200,000	224,980
50075NAV6	MONDELEZ INTERNATIONAL INC	6.13	8/23/2018	185,000	211,356
50075NBB9	MONDELEZ INTERNATIONAL INC	4.13	2/9/2016	150,000	156,218
501044CM1	KROGER CO (THE)	3.90	10/1/2015	300,000	309,285
502413BB2	L-3 COMMUNICATIONS CORP	3.95	11/15/2016	150,000	157,303
502413BC0	L-3 COMMUNICATIONS CORP	1.50	5/28/2017	2,915,000	2,882,810
50540RAK8	LABORATORY CORP OF AMER HLDGS	2.20	8/23/2017	150,000	150,595
523768AF6	LEE ENTERPRISES, INC	9.50	3/15/2020	1,000,000	1,012,500
53225CAA9	LIGHT TOWER RENTALS INC	8.13	8/1/2018	1,000,000	1,011,250
532457BF4	ELI LILLY AND COMPANY	1.95	3/15/2019	100,000	99,236
54238XAA6	LONESTAR RESOURCES AMERICA INC	8.75	4/15/2019	1,000,000	997,500
544152AF8	LORILLARD TOBACCO CO	2.30	8/21/2017	150,000	151,138
548661CY1	LOWE'S COS INC	1.63	3/15/2017	300,000	302,075
552081AG6	LYONDELLBASELL INDUSTRIES NV	5.00	1/15/2019	7,425,000	8,162,836

Page 41



Cusip	Security Description	Coupon	Maturity	Par	Market Value
552676AR9	MDC HOLDINGS INC	5.50	1/15/2024	4,675,000	4,616,563
559417AA8	MAGNETATION LLC / MAGNETATION	11.00	5/15/2018	1,000,000	1,007,500
565849AJ5	MARATHON OIL CORP	0.90	11/1/2015	150,000	149,860
571903AJ2	MARRIOTT INTERNATIONAL INC	3.00	12/1/2018	200,000	204,490
577081AX0	MATTEL INC	1.70	3/15/2018	100,000	98,147
58013MEB6	MCDONALDS CORP	5.80	10/15/2017	100,000	112,479
58013MEE0	MCDONALDS CORP	5.35	3/1/2018	150,000	167,564
581557AY1	MCKESSON CORP	0.95	12/4/2015	1,970,000	1,971,449
581557BB0	MCKESSON CORP	1.29	3/10/2017	100,000	99,651
581557BD6	MCKESSON CORP	2.28	3/15/2019	200,000	198,351
58155QAC7	MCKESSON CORP	3.25	3/1/2016	6,750,000	6,951,786
58155QAF0	MCKESSON CORP	1.40	3/15/2018	2,300,000	2,250,331
585055AU0	MEDTRONIC INC	2.63	3/15/2016	200,000	205,163
585055BA3	MEDTRONIC INC	1.38	4/1/2018	1,400,000	1,378,010
58933YAB1	MERCK & CO INC	2.25	1/15/2016	150,000	153,101
58933YAD7	MERCK & CO INC	0.70	5/18/2016	150,000	149,935
58933YAG0	MERCK & CO INC	1.30	5/18/2018	800,000	785,986
594064AA5	MICHAEL BAKER INTERNATIONAL LL	8.25	10/15/2017	1,000,000	1,021,250
594918AP9	MICROSOFT CORP	0.88	11/15/2017	200,000	197,481
594918AV6	MICROSOFT CORP	1.63	12/6/2018	250,000	248,040
59563KAA8	MIDAS INTERMEDIATE HOLDCO II L	7.88	10/1/2022	800,000	794,000
61166WAR2	MONSANTO COMPANY	1.15	6/30/2017	150,000	148,880
61166WAS0	MONSANTO COMPANY	2.13	7/15/2019	4,225,000	4,191,483
626717AE2	MURPHY OIL CORP	2.50	12/1/2017	100,000	101,040
628530AW7	MYLAN INC/PA	1.80	6/24/2016	2,365,000	2,385,691
628530AX5	MYLAN INC/PA	2.60	6/24/2018	1,500,000	1,513,802
63946BAD2	NBCUNIVERSAL MEDIA LLC	5.15	4/30/2020	3,000,000	3,401,532
63946BAE0	NBCUNIVERSAL MEDIA LLC	4.38	4/1/2021	10,000,000	10,881,278
63946BAH3	NBCUNIVERSAL MEDIA LLC	2.88	1/15/2023	5,000,000	4,889,980
63946CAB4	NBCUNIVERSAL ENTERPRISE INC	0.92	4/15/2018	2,250,000	2,272,612
63946CAD0	NBCUNIVERSAL ENTERPRISE INC	1.97	4/15/2019	2,115,000	2,085,395
64110DAC8	NETAPP INC	2.00	12/15/2017	3,000,000	3,016,909
652482BT6	NEWS AMERICA HOLDINGS	6.90	3/1/2019	150,000	177,360
655844BB3	NORFOLK SOUTHERN CORPORATION	5.75	1/15/2016	350,000	371,293
664784AA3	NORTHERN BLIZZARD RESOURCES IN	7.25	2/1/2020	650,000	666,250
66989GAA8	NOVARTIS SECURITIES INVEST LTD	5.13	2/10/2019	250,000	280,662
67054LAA5	NUMERICABLE GROUP SA	4.88	5/15/2019	2,000,000	1,975,000
674599CD5	OCCIDENTAL PETROLEUM CORPORATI	1.50	2/15/2018	250,000	247,632
68268NAF0	ONEOK PARTNERS LP	3.25	1/1/2016	250,000	256,822
68389XAC9	ORACLE CORP	5.75	4/15/2018	1,870,000	2,117,977
68389XAN5	ORACLE CORP	1.20	10/15/2017	2,800,000	2,775,311
68389XAQ8	ORACLE CORP	2.38	1/15/2019	350,000	353,629
68389XBA2	ORACLE CORP	2.80	7/8/2021	14,000,000	13,884,792
68402LAC8	ORACLE CORP	5.25	1/15/2016	100,000	105,938
685218AA7	ORANGE SA	2.75	2/6/2019	100,000	101,640

Page 42



Cusip	Security Description	Coupon	Maturity	Par	Market Value
69371RM29	PACCAR FINANCIAL CORP	2.20	9/15/2019	6,000,000	6,005,453
705010AB2	PEARSON DOLLAR FINANCE TWO PLC	6.25	5/6/2018	2,000,000	2,257,865
709599AC8	PENSKE TRUCK LEASING CO	3.13	5/11/2015	1,825,000	1,850,051
709599AJ3	PENSKE TRUCK LEASING CO	2.50	3/15/2016	6,775,000	6,900,035
709629AC3	PENTAIR FINANCE SA	1.35	12/1/2015	150,000	150,595
713448BJ6	PEPSICO INC	7.90	11/1/2018	150,000	183,867
713448CB2	PEPSICO INC	1.25	8/13/2017	250,000	248,894
713448CE6	PEPSICO INC	0.70	2/26/2016	150,000	150,048
713448CK2	PEPSICO INC	2.25	12/7/2018	125,000	126,044
714264AD0	PERNOD-RICARD SA	4.45	1/15/2022	7,000,000	7,360,406
714294AA3	PERRIGO CO LTD	1.30	11/8/2016	3,450,000	3,442,383
71647NAG4	PETROBRAS INT BRASPETRO BV	3.25	3/17/2017	6,900,000	7,009,862
717081DB6	PFIZER INC	6.20	3/15/2019	325,000	378,974
717081DD2	PFIZER INC	0.90	1/15/2017	4,040,000	4,020,154
717081DJ9	PFIZER INC	1.10	5/15/2017	150,000	149,545
718172AA7	PHILIP MORRIS INTERNATIONAL IN	5.65	5/16/2018	12,750,000	14,392,790
718172AJ8	PHILIP MORRIS INTERNATIONAL IN	2.50	5/16/2016	6,000,000	6,167,598
718172AS8	PHILIP MORRIS INTERNATIONAL IN	1.13	8/21/2017	7,753,000	7,691,108
718546AC8	PHILLIPS 66	4.30	4/1/2022	5,500,000	5,814,568
723787AG2	PIONEER NAT RES CO	6.65	3/15/2017	2,720,000	3,034,916
72447XAC1	PITNEY BOWES INC.	5.75	9/15/2017	53,000	58,663
737446AE4	POST HOLDINGS INC	6.75	12/1/2021	475,000	456,000
73755LAG2	POTASH CORP OF SASKATCHEWAN IN	3.75	9/30/2015	2,195,000	2,261,708
73755LAJ6	POTASH CORPORATION OF SASKETCH	3.25	12/1/2017	100,000	104,891
74005PBE3	PRAXAIR INC	0.75	2/21/2016	300,000	300,469
740189AK1	PRECISION CASTPARTS CORP	1.25	1/15/2018	150,000	147,799
742718DQ9	PROCTER & GAMBLE COMPANY	3.15	9/1/2015	795,000	815,451
742718DS5	PROCTER & GAMBLE COMPANY	1.80	11/15/2015	200,000	202,597
742718ED7	PROCTER & GAMBLE COMPANY	0.75	11/4/2016	2,935,000	2,921,855
742718EE5	PROCTER & GAMBLE COMPANY	1.60	11/15/2018	250,000	247,426
747262AQ6	QVC INC	3.13	4/1/2019	990,000	989,775
74837RAH7	QUICKSILVER RESOURCES INC	7.00	6/21/2019	500,000	456,250
74913GAT2	QWEST CORP	6.50	6/1/2017	200,000	221,250
75040PAQ1	RADIO ONE, INC.	9.25	2/15/2020	1,000,000	997,500
751212AA9	RALPH LAUREN CORP	2.13	8/26/2018	5,325,000	5,327,918
761713AV8	REYNOLDS AMERICAN INC	1.05	10/30/2015	83,000	83,101
767201AC0	RIO TINTO FINANCE (USA) LTD	6.50	7/15/2018	125,000	144,676
767201AJ5	RIO TINTO FINANCE (USA) LTD	1.88	11/2/2015	3,080,000	3,111,145
76720AAE6	RIO TINTO FINANCE (USA) PLC	1.63	7/21/2017	200,000	200,751
76720AAL0	RIO TINTO FINANCE (USA) PLC	1.38	6/17/2016	200,000	201,280
76720AAM8	RIO TINTO FINANCE (USA) PLC	2.25	11/14/2018	150,000	150,290
771196BA9	ROCHE HOLDINGS INC	2.25	9/30/2019	6,000,000	5,988,595
774341AD3	ROCKWELL COLLINS INC.	0.58	12/15/2016	4,950,000	4,946,782
776696AD8	ROPER IND, INC.	1.85	11/15/2017	100,000	100,096
78355HJR1	RYDER SYSTEM INC.	3.50	6/1/2017	5,875,000	6,160,800

Page 43



Cusip	Security Description	Coupon	Maturity	Par	Market Value
78355HJS9	RYDER SYSTEM INC.	2.50	2/1/2017	350,000	358,628
78413KAA0	SES GLOBAL AMERICAS HOLDING GP	2.50	3/25/2019	5,675,000	5,631,995
78572MAD7	SABMILLER PLC	6.50	7/1/2016	6,250,000	6,809,595
790849AH6	ST JUDE MEDICAL INC	2.50	1/15/2016	5,000,000	5,109,610
801060AB0	SANOFI SA	1.25	4/10/2018	5,538,000	5,445,517
806854AA3	SCHLUMBERGER GER INV	1.95	9/14/2016	1,950,000	1,988,903
80685PAC2	SCHLUMBERGER NORGE AS	1.95	9/14/2016	2,700,000	2,753,866
811065AA9	SCRIPPS NETWORKS INTERACTIVE I	2.70	12/15/2016	150,000	154,693
81180WAJ0	SEAGATE HDD CAYMAN	3.75	11/15/2018	150,000	153,000
822582AJ1	SHELL INTERNATIONAL FINANCE BV	4.30	9/22/2019	150,000	164,318
822582AZ5	SHELL INTERNATIONAL FINANCE BV	0.90	11/15/2016	150,000	149,978
824348AP1	SHERWIN-WILLIAMS COMPANY (THE)	1.35	12/15/2017	100,000	99,042
83577UAA0	SOPHIA LP/SOPHIA FINANCE INC	9.63	12/1/2016	285,000	289,275
844741AX6	SOUTHWEST AIRLINES CO.	5.13	3/1/2017	250,000	269,519
851783AB6	SPRINGS IND INC	6.25	6/1/2021	1,000,000	982,500
855244AE9	STARBUCKS CORP	0.88	12/5/2016	107,000	106,973
86803UAB7	SUNTORY HOLDINGS LTD	2.55	9/29/2019	5,775,000	5,777,577
871503AJ7	SYMANTEC CORP	2.75	5/15/2017	100,000	102,247
871829AR8	SYSCO CORP	1.45	10/2/2017	2,775,000	2,781,679
871829AS6	SYSCO CORP	2.35	9/2/2019	4,845,000	4,849,446
872882AC9	TSMC GLOBAL LTD	1.63	4/3/2018	3,100,000	3,043,394
87612EAS5	TARGET CORPORATION	6.00	1/15/2018	200,000	227,179
878742AX3	TECK RESOURCES LIMITED	2.50	2/1/2018	150,000	149,377
87938WAJ2	TELEFONICA EMISIONES SAU	4.95	1/15/2015	8,500,000	8,603,190
87938WAN3	TELEFONICA EMISIONES SAU	3.99	2/16/2016	100,000	104,023
87938WAQ6	TELEFONICA EMISIONES SAU	3.19	4/27/2018	350,000	361,247
87938WAS2	TELEFONICA EMISIONES SAU	0.88	6/23/2017	4,550,000	4,546,269
88032WAB2	TENCENT HOLDINGS LIMITED	3.38	5/2/2019	2,500,000	2,533,983
882508AR5	TEXAS INSTRUMENTS INCORPORATED	2.38	5/16/2016	250,000	256,562
883556BA9	THERMO FISHER SCIENTIFIC INC	2.25	8/15/2016	3,250,000	3,311,345
883556BD3	THERMO FISHER SCIENTIFIC INC	1.30	2/1/2017	5,000,000	4,977,373
884903BN4	THOMSON REUTERS CORP	1.30	2/23/2017	107,000	106,729
884903BU8	THOMSON REUTERS CORP	1.65	9/29/2017	100,000	99,977
88579YAE1	3M CO	1.00	6/26/2017	300,000	298,326
887317AT2	TIME WARNER INC	2.10	6/1/2019	150,000	147,628
88732JAH1	TIME WARNER CABLE INC	5.85	5/1/2017	250,000	277,197
88732JAL2	TIME WARNER CABLE INC	6.75	7/1/2018	300,000	349,092
88732JAS7	TIME WARNER CABLE INC	8.25	4/1/2019	1,000,000	1,241,344
89152UAG7	TOTAL CAPITAL S.A.	2.13	8/10/2018	250,000	252,170
89153VAA7	TOTAL CAPITAL INTERNATIONAL SA	1.50	2/17/2017	250,000	251,941
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA	1.55	6/28/2017	6,150,000	6,188,283
89153VAD1	TOTAL CAPITAL INTERNATIONAL SA	0.75	1/25/2016	4,550,000	4,555,547
89233P4B9	TOYOTA MOTOR CREDIT CORP	3.20	6/17/2015	2,059,000	2,100,612
89233P4R4	TOYOTA MOTOR CREDIT CORP	2.80	1/11/2016	100,000	102,787
89233P6D3	TOYOTA MOTOR CREDIT CORP	1.75	5/22/2017	250,000	252,990

Page 44



Cusip	Security Description	Coupon	Maturity	Par	Market Value
89233P7E0	TOYOTA MOTOR CREDIT CORP	1.38	1/10/2018	200,000	198,376
89236TBH7	TOYOTA MOTOR CREDIT CORP	1.13	5/16/2017	150,000	149,371
89236TBP9	TOYOTA MOTOR CREDIT CORP	2.13	7/18/2019	150,000	149,485
89378TAB9	TRANSNET LTD	4.50	2/10/2016	5,950,000	6,158,250
893830AS8	TRANSOCEAN INC	6.00	3/15/2018	250,000	269,071
893830BA6	TRANSOCEAN INC	5.05	12/15/2016	250,000	265,880
90131HAA3	NEWS AMERICA HOLDINGS	4.00	10/1/2023	5,600,000	5,788,900
902133AQ0	TYCO ELECTRONICS GROUP SA	2.35	8/1/2019	6,500,000	6,476,183
902494AY9	TYSON FOODS INC	5.15	2/15/2044	1,830,000	1,884,749
903436AA1	US AIRWAYS GROUP INC	7.13	8/19/2020	2,496,663	2,896,129
90345WAD6	US AIRWAYS P-T TR	4.63	1/21/2022	1,386,068	1,444,976
904764AP2	UNILEVER CAPITAL CORP	0.85	8/2/2017	6,275,000	6,191,793
911312AK2	UNITED PARCEL SERVICE INC	5.13	4/1/2019	150,000	168,971
913017BQ1	UNITED TECH CORP	6.13	2/1/2019	200,000	232,535
913017BU2	UNITED TECH CORP	1.80	6/1/2017	14,875,000	15,089,667
91324PBJ0	UNITEDHEALTH GROUP INCORPORATE	6.00	2/15/2018	300,000	339,561
91324PBY7	UNITEDHEALTH GROUP INCORPORATE	1.40	10/15/2017	2,725,000	2,715,493
918370AB3	VTR FINANCE BV	6.88	1/15/2022	1,000,000	1,036,390
91911KAD4	VALEANT PHARMACEUTICALS INTERN	5.63	12/1/2021	1,000,000	996,250
91911TAG8	VALE OVERSEAS LIMITED	6.25	1/23/2017	100,000	110,007
91913YAM2	VALERO ENERGY CORPORATION	6.13	6/15/2017	350,000	390,203
92343VAY0	VERIZON COMMUNICATIONS INC	3.00	4/1/2016	13,795,000	14,203,336
92343VBD5	VERIZON COMMUNICATIONS INC	2.00	11/1/2016	250,000	253,912
92343VBF0	VERIZON COMMUNICATIONS INC	1.10	11/1/2017	250,000	245,676
92343VBN3	VERIZON COMMUNICATIONS INC	2.50	9/15/2016	4,109,000	4,214,603
92343VBP8	VERIZON COMMUNICATIONS INC	3.65	9/14/2018	350,000	368,967
92343VCE2	VERIZON COMMUNICATIONS INC	1.35	6/9/2017	50,000	49,746
92343VCG7	VERIZON COMMUNICATIONS INC	2.63	2/21/2020	4,500,000	4,440,713
92344SAK6	CELLCO PARTNERSHIP/VERIZON WIR	8.50	11/15/2018	4,000,000	4,964,428
92553PAG7	VIACOM INC	3.50	4/1/2017	250,000	262,174
92553PAS1	VIACOM INC	2.50	9/1/2018	40,000	40,417
92857WAP5	VODAFONE GROUP PLC	5.63	2/27/2017	9,475,000	10,369,450
92857WBE9	VODAFONE GROUP PLC	1.50	2/19/2018	3,125,000	3,071,042
928668AB8	VOLKSWAGEN GROUP OF AMERICA FI	2.13	5/23/2019	4,855,000	4,802,821
931142CX9	WAL-MART STORES INC	1.50	10/25/2015	8,515,000	8,611,237
931142DE0	WAL-MART STORES INC	0.60	4/11/2016	4,375,000	4,369,241
931142DF7	WAL-MART STORES INC	1.13	4/11/2018	1,800,000	1,765,891
931422AH2	WALGREEN CO	3.10	9/15/2022	4,925,000	4,753,030
931422AJ8	WALGREEN CO	1.80	9/15/2017	250,000	250,373
94106LAX7	WASTE MANAGEMENT INC	2.60	9/1/2016	150,000	154,005
942683AG8	ACTAVIS PLC	1.88	10/1/2017	8,650,000	8,579,296
947074AJ9	WEATHERFORD INTL INC	6.35	6/15/2017	300,000	335,812
947075AD9	WEATHERFORD INTERNATIONAL LTD	6.00	3/15/2018	1,347,000	1,510,177
94770VAF9	WEBMD HEALTH CORP	2.50	1/31/2018	940,000	946,439
94770VAH5	WEBMD HEALTH CORP	2.25	3/31/2016	830,000	835,113

Page 45



Cusip	Security Description	Coupon	Maturity	Par	Market Value
94973VBC0	WELLPOINT INC	1.88	1/15/2018	250,000	249,162
950840AC2	WESFARMERS LTD	1.87	3/20/2018	825,000	816,866
958254AC8	WESTERN GAS PARTNERS LP	2.60	7/15/2018	3,650,000	3,700,060
963320AP1	WHIRLPOOL CORP	1.35	3/1/2017	20,000	19,812
96950HAD2	WILLIAMS PARTNERS LP	7.25	2/1/2017	250,000	281,430
977255AD0	WISE METALS GROUP LLC/WISE ALL	8.75	6/15/2018	950,000	1,014,125
982526AR6	WM WRIGLEY JR CO	1.40	10/21/2016	1,735,000	1,742,488
982526AV7	WM WRIGLEY JR CO	2.90	9/21/2019	11,050,000	11,203,479
983024AJ9	WYETH	5.50	2/15/2016	300,000	320,456
98310WAK4	WYNDHAM WORLDWIDE CORP	2.50	2/1/2018	3,500,000	3,535,768
984121BQ5	XEROX CORPORATION	6.75	2/1/2017	2,500,000	2,793,172
984121CF8	XEROX CORPORATION	2.95	3/15/2017	250,000	258,781
98417EAU4	XSTRATA FINANCE CANADA LTD	2.70	10/25/2017	8,705,000	8,852,034
98419MAA8	XYLEM INC/NY	3.55	9/20/2016	4,475,000	4,675,783
98458PAC9	YALE UNIVERSITY	2.09	4/15/2019	100,000	100,024
98978VAG8	ZOETIS INC	1.88	2/1/2018	2,550,000	2,525,060
EK3100220	AMERICA MOVIL SA DE CV	6.00	6/9/2019	27,500,000	2,058,346
LX098754	CLEAR CHANNEL COMMUN, INC.	3.88	1/29/2016	698	687
LX113966	ARAMARK CORPORATION	3.49	7/26/2016	8,639	8,574
LX114037	AFFINION GROUP	6.75	4/12/2018	646,750	629,234
LX114499	ASPECT SOFTWARE INC	7.25	5/7/2016	2,616,071	2,610,350
LX118104	US TELEPACI	5.75	2/23/2017	1,839,851	1,838,702
LX118449	BROCK HOLDINGS III INC	10.00	3/14/2018	480,000	472,800
LX118451	BROCK HOLDINGS III INC	6.00	3/16/2017	1,195,306	1,192,317
LX118921	SENSUS METERING	8.50	5/11/2018	750,000	746,250
LX119275	TOYS R US DELAWR	5.25	5/25/2018	358,695	331,793
LX119943	BARBRI INC	6.00	7/17/2019	1,248,483	1,235,998
LX123462	TELESAT CANADA	3.00	3/28/2017	1,378,125	1,220,835
LX123555	TOYS R US DELAWR	5.25	5/25/2018	153,351	141,849
LX123690	GOODYEAR TIRE & RUBBER CO	4.75	4/30/2019	1,930,000	1,929,398
LX124057	ARCH COAL INC.	6.25	5/16/2018	717,675	654,699
LX124065	NOVELL, INC.	7.25	11/24/2017	2,558,823	2,561,625
LX124101	MISYS PLC	7.25	12/12/2018	3,566,250	3,561,792
LX126037	TRANSTAR HOLDING COMPANY	5.75	10/9/2018	1,502,846	1,499,089
LX126084	HARVARD DRUG GROUP LLC /THE	4.24	8/16/2020	3,050,639	3,035,386
LX126129	GETTY IMAGES INC.	4.75	10/18/2019	440,217	401,698
LX126142	CENTERPLATE INC	4.75	11/26/2019	1,810,900	1,799,582
LX126185	CDR DB SUB INC	5.00	10/11/2019	1,881,055	1,823,448
LX126292	CUNNINGHAM LINDSEY INTERMEDIAT	9.25	6/10/2020	1,000,000	999,375
LX126298	EVERGREEN ACQCO 1 LP	5.00	7/9/2019	2,234,214	2,205,355
LX126444	INSIGHT GLOBAL INC	5.25	10/31/2019	4,535,304	4,518,296
LX126714	CHG HEALTHCARE SERVICES INC	9.00	11/19/2015	173,804	175,542
LX126919	ARDENT MEDICAL	6.75	7/2/2018	3,316,114	3,318,187
LX127048	SAGE PRODUCTS HOLDINGS III LLC	9.25	12/13/2014	100,000	101,250
LX127081	HEARTLAND DENTAL CARE INC	9.75	6/20/2019	200,000	200,750

Page 46



Cusip	Security Description	Coupon	Maturity	Par	Market Value
LX127395	SEQUA CORP	5.25	6/19/2017	2,359,049	2,243,062
LX127861	ATI HOLDINGS LLC	5.25	12/20/2019	1,732,368	1,738,864
LX128049	CROSSMARK HOLDINGS INC	7.74	12/21/2020	750,000	741,250
LX128124	RENFRO CORP	5.75	1/30/2019	1,808,440	1,774,532
LX128317	WASH MULTI-FAMILY LAUNDRY SYST	4.50	2/21/2019	2,977,387	2,962,500
LX128323	RITE AID CORP	5.75	2/22/2016	520,000	526,175
LX128482	ALG BV	10.25	2/28/2020	750,000	750,000
LX128601	TOTAL SAFETY US INC	5.75	3/13/2020	1,992,200	1,982,239
LX128623	MERRILL COMMUNICATIONS LLC	7.50	3/5/2017	3,356,088	3,385,454
LX128751	TOTAL SAFETY US INC	9.25	9/13/2020	324,188	314,462
LX128933	WIDEOPENWEST FINANCE LLC	4.75	4/1/2019	1,563,657	1,554,861
LX128935	OFFSHORE GROUP INVESTMENT LTD/	5.75	3/28/2019	1,590,775	1,509,911
LX128973	LTS BUYER LLC	8.00	4/12/2021	368,368	366,680
LX128985	PANDA TEMPLE POWER II LLC	7.25	4/1/2019	1,360,000	1,377,850
LX129228	SECURUS TECHNOLOGIES HOLDINGS	4.75	4/30/2020	1,237,501	1,222,032
LX129276	SECURUS TECHNOLOGIES HOLDINGS	9.00	4/30/2021	540,000	537,750
LX129608	PRIMEDIA INC.	6.25	11/18/2014	2,295,913	2,307,392
LX129621	JC PENNEY CORPORATION INC	6.00	5/22/2018	2,230,544	2,224,967
LX129627	SUPERVALU INC.	4.50	3/21/2019	2,143,304	2,104,011
LX129823	ARYSTA LIFESCIENCE SPC LLC	4.50	5/29/2020	1,773,434	1,766,784
LX129824	ARYSTA LIFESCIENCE SPC LLC	8.25	11/30/2020	680,000	684,534
LX130123	ONEX CARESTREAM FINANCE LP	5.00	6/7/2019	3,149,467	3,142,249
LX130126	ONEX CARESTREAM FINANCE LP	9.50	6/4/2016	213,981	214,784
LX130210	CLEAR CHANNEL COMMUN, INC.	6.90	1/30/2019	2,158,288	2,054,757
LX130228	QUICKSILVER RESOURCES INC	7.00	6/21/2019	1,045,000	941,806
LX130250	CTI FOODS HOLDING CO LLC	4.50	6/29/2020	2,291,850	2,277,526
LX130254	BMC SOFTWARE FINANCE INC	5.00	9/10/2020	3,343,298	3,284,791
LX130495	EMERALD EXPOSITIONS HOLDING IN	5.25	6/17/2020	2,952,712	2,945,330
LX130765	FOUR SEASONS HOLDINGS INC	6.25	12/28/2020	925,000	920,375
LX130780	TRIPLE POINT TECHNOLOGY INC	5.25	7/10/2020	1,675,255	1,516,106
LX131184	ALTICE FINANCING SA	4.73	7/2/2019	2,958,272	2,980,459
LX131877	FORESIGHT ENERGY LLC	5.50	8/21/2020	1,575,095	1,571,158
LX132457	FIELDWOOD ENERGY LLC	8.38	9/20/2015	1,515,000	1,516,894
LX132463	CPG INTERNATIONAL INC	4.75	9/30/2020	3,712,500	3,692,389
LX132653	AIR CANADA	5.50	9/26/2015	3,481,275	3,505,209
LX132784	DELL INC	4.50	4/29/2020	3,523,375	3,493,867
LX132924	HUDSONS BAY CO	4.75	11/4/2020	3,575,500	3,574,009
LX133102	AMNEAL PHARMACEUTICALS LLC	4.75	11/1/2019	1,627,700	1,621,596
LX133115	P2 LOWER ACQUISITION LLC	5.50	10/22/2020	3,018,485	3,007,166
LX133117	P2 LOWER ACQUISITION LLC	9.50	10/28/2021	925,000	919,219
LX133143	ACTIVE NETWORK INC (THE)	5.50	11/13/2020	2,581,998	2,568,011
LX133144	ACTIVE NETWORK INC (THE)	9.50	11/15/2021	710,000	711,331
LX133212	OMNITRACS INC	4.75	11/25/2020	2,992,462	2,981,241
LX133214	OMNITRACS INC	8.75	5/25/2021	1,000,000	997,500
LX133343	P2 ENERGY SOLUTIONS INC	5.00	10/30/2020	2,421,700	2,406,564

Page 47



Cusip	Security Description	Coupon	Maturity	Par	Market Value
LX133352	SHIP LUXCO 3 SARL	4.50	10/14/2019	1,496,231	1,488,750
LX133581	BJS WHOLESALE CLUB, INC.	4.50	9/26/2019	3,473,750	3,415,440
LX133583	BJS WHOLESALE CLUB, INC.	8.50	3/26/2020	675,000	679,725
LX133608	FILTRATION GROUP CORP	8.25	11/22/2021	1,000,000	1,006,563
LX133625	MURRAY ENERGY CORP	5.25	12/5/2019	3,154,898	3,144,645
LX133744	CHG HEALTHCARE SERVICES INC	4.25	11/19/2019	1,000,000	993,438
LX133756	AP NMT ACQUISITION BV	6.75	8/11/2021	900,000	876,938
LX133771	MCJUNKIN RED MAN CORP	5.00	11/8/2019	3,268,244	3,260,753
LX133785	DEL MONTE FOODS CONSUMER PRODU	4.26	2/18/2021	997,494	929,332
LX133786	DEL MONTE FOODS CO	8.25	8/18/2021	750,000	675,000
LX133815	BULLSEYE MERGERSUB INC	4.75	11/26/2020	3,478,316	3,463,968
LX133875	OFFSHORE GROUP INVESTMENT LTD	5.00	10/25/2017	904,134	867,215
LX134066	THE BRICKMAN GROUP LTD LLC	7.50	12/17/2021	1,130,000	1,112,109
LX134432	HEARTLAND DENTAL CARE INC	5.50	12/21/2018	2,977,322	2,972,359
LX134609	CLEAR CHANNEL COMMUN, INC.	7.50	7/30/2019	239,250	233,268
LX134849	PHARMEDIUM HLTH	7.75	1/28/2022	750,000	743,438
LX134875	NTNL MNTR HLDGS	4.75	1/31/2021	3,244,199	3,225,275
LX134883	PHILLIPS PET FOOD & SUPPLIES	8.25	1/28/2022	750,000	581,250
LX135137	IKARIA INC	5.00	2/12/2021	2,823,961	2,809,841
LX135139	IKARIA INC	8.75	2/12/2016	130,000	131,056
LX135268	AMERICAN PACIFIC CORP	7.00	2/27/2019	995,000	997,488
LX135333	ALLIED SECURITY HOLDINGS LLC	8.00	8/13/2021	680,651	669,874
LX135382	SURVEY SAMPLING INTERNATIONAL	8.50	6/12/2020	725,000	725,000
LX135441	ZIGGO BV	3.25	1/15/2022	743,272	721,107
LX135442	ZIGGO BV	3.25	1/15/2022	478,979	464,695
LX135524	OPENLINK INTERNATIONAL INTERME	6.25	10/30/2017	1,339,399	1,334,377
LX135658	COLLECTIVE BRANDS INC	5.00	3/11/2021	2,294,250	2,202,480
LX135748	WME IMG LLC	5.25	5/6/2021	2,992,500	2,922,676
LX135762	WME IMG LLC	8.25	5/6/2022	1,860,000	1,794,900
LX135785	HUDSON PRODUCTS	5.00	3/15/2019	995,000	990,854
LX135944	CAESARS GROWTH PROPERTIES PARE	6.25	5/8/2021	3,561,075	3,368,777
LX135951	AMERICAN TIRE DISTRIBUTORS INC	5.75	3/14/2015	1,698,446	1,702,692
LX136041	GYP HOLDINGS III CORP	4.75	4/1/2021	2,244,375	2,210,709
LX136042	GYP HOLDINGS III CORP	7.75	4/1/2022	625,000	625,000
LX136043	MEDPACE INC	4.75	4/1/2021	3,364,169	3,354,356
LX136121	FAIRMOUNT MINERALS LTD	4.50	9/5/2019	2,984,925	2,977,462
LX136181	CAPITAL SAFETY NORTH AMERICA H	4.00	3/29/2021	281,357	273,268
LX136210	CHECKOUT HOLDING	3.73	4/9/2021	1,745,625	1,693,256
LX136212	CHECKOUT HOLDING	7.75	4/11/2022	2,620,000	2,498,825
LX136255	TELX GROUP INC	4.50	4/9/2020	3,421,425	3,361,550
LX136368	MEN'S WEARHOUSE INC	4.50	6/18/2021	2,500,000	2,485,938
LX136428	MILLENNIUM LABORATORIES INC	5.25	4/16/2021	3,740,625	3,731,273
LX136477	MUNTERS AB	6.25	5/5/2021	1,695,750	1,687,271
LX136501	EVERGREEN SKILLS LUX SARL	4.50	4/28/2021	2,450,000	2,412,228
LX136503	SKILLSOFT CORP	6.98	4/28/2022	1,850,000	1,806,834

Page 48



Cusip	Security Description	Coupon	Maturity	Par	Market Value
LX136648	LEARNING CARE GROUP US NO 2 IN	5.50	5/5/2021	2,443,875	2,443,875
LX136944	US JOINER HOLDING COMPANY	7.00	4/16/2020	995,000	987,538
LX136971	TASC INC	6.50	5/22/2020	2,234,400	2,149,913
LX136974	CHIEF EXPLORATION & DEVELOPMEN	7.50	11/12/2016	500,000	500,938
LX137065	ORTHO-CLINICAL DIAGNOSTICS INC	4.75	6/30/2021	3,211,950	3,171,801
LX137075	GO DADDY OPERATING CO LLC	4.75	5/13/2021	1,147,125	1,129,918
LX137112	24 HOUR FITNESS WORLDWIDE INC	4.75	5/28/2021	1,695,750	1,688,862
LX137115	AFFINION GROUP	8.50	10/31/2018	350,000	337,896
LX137126	DOOSAN INFRACORE INTERNATIONAL	4.50	5/28/2021	1,476,300	1,475,684
LX137131	SI ORGANIZATION INC	5.75	11/23/2019	2,387,428	2,395,385
LX137133	SI ORGANIZATION INC	5.75	11/23/2019	316,589	317,644
LX137137	UTEX IND	5.00	5/21/2021	3,241,875	3,231,744
LX137138	UTEX IND	7.48	5/20/2022	1,000,000	1,010,000
LX137220	GREEN PLAINS REN	6.50	6/30/2020	1,000,000	993,750
LX137249	GREDE HOLDINGS LLC	4.75	6/2/2021	1,180,000	1,173,363
LX137276	SI ORGANIZATION INC	9.00	5/23/2020	700,000	705,250
LX137281	CURO HEALTH SERVICES LLC	5.75	6/8/2020	997,500	983,784
LX137326	SUNEDISON SEMICO	6.50	5/27/2019	972,563	967,092
LX137376	ENCOMPASS DIGITAL MEDIA INC	5.50	6/6/2021	2,035,735	2,025,556
LX137379	ENCOMPASS DIGITAL MEDIA INC	8.75	6/5/2022	500,000	505,000
LX137381	OTTER PRODUCTS LLC	5.75	6/3/2020	2,892,750	2,863,823
LX137528	WP MUSTANG HOLDINGS LLC	5.50	5/28/2021	1,496,250	1,485,028
LX137644	AZ CHEM US	4.50	6/12/2021	1,822,123	1,816,657
LX137645	AZ CHEM US	7.50	6/10/2022	550,000	551,833
LX137740	SHEARERS FOODS LLC	4.50	6/30/2021	1,420,000	1,408,463
LX137741	SHEARERS FOODS LLC	7.75	6/30/2022	200,000	197,750
LX137923	BIRCH COMMUNICATIONS HOLDINGS	7.75	7/17/2020	3,600,000	3,510,000
LX137951	HEALOGICS INC	5.25	7/1/2021	2,000,000	1,978,334
LX138034	WORLD TRIATHLON CORP	5.25	6/25/2021	498,750	496,568
LX138051	NEW ALBERTSONS	4.75	6/27/2021	1,500,000	1,474,500
LX138055	AUGUST LUXUK HOLDING CO(SCHRAD	5.00	4/27/2018	1,588,468	1,584,497
LX138056	AUGUST US HOLDING CO INC	5.00	4/27/2018	1,243,190	1,240,082
LX138102	WINEBOW GROUP LLC	4.75	7/1/2021	1,955,100	1,942,881
LX138103	WINEBOW GROUP LLC	8.50	1/2/2022	1,000,000	990,000
LX138119	SOLENIS INTERNATIONAL LP	4.25	7/31/2021	660,000	646,182
LX138121	SOLENIS INTERNATIONAL LP	7.75	7/31/2022	650,000	634,834
LX138177	TRIBUNE PUBLISHING CO	5.75	8/4/2021	3,000,000	2,947,500
LX138508	KARMAN BUYER CORP	4.25	7/23/2021	1,258,065	1,235,000
LX138509	KARMAN BUYER CORP	7.50	7/25/2022	1,000,000	983,500
LX138602	ENERGY & EXPLORATION PARTNERS	7.75	1/22/2019	3,591,000	3,510,203
LX138933	CCS INTERMEDIATE HOLDINGS LLC	5.00	7/23/2021	1,050,000	1,034,250
LX139053	EMERALD PERFORMANCE MATERIALS	4.50	8/1/2021	740,000	730,750
LX139054	EMERALD PERFORMANCE MATERIALS	7.75	8/1/2022	450,000	446,437
LX139061	ADVANTAGE SALES & MARKETING IN	3.75	7/23/2021	41,935	41,167
LX139175	ALM MEDIA HOLDGS	8.00	7/30/2021	500,000	497,500

Page 49



Cusip	Security Description	Coupon	Maturity	Par	Market Value
LX139562	AP NMT ACQUISITION BV	10.00	8/13/2022	450,000	414,000
LX139582	DELTA 2 (LUX) SARL	4.75	7/30/2021	1,050,000	1,034,250
LX139813	PACKAGING COORDINATORS INC	9.00	8/1/2022	1,000,000	990,000
LX139892	ALBERTSONS INC	5.50	8/25/2021	1,550,000	1,540,313
LX140041	ZEST ANCHORS LLC	5.25	9/14/2020	1,883,026	1,883,026
LX140119	IMC OP LP	5.25	8/15/2020	1,000,000	998,750
LX140861	WAND INTERMEDIATE I LP	8.25	9/19/2022	500,000	500,625
				1,211,327,620	1,202,906,055
Corporate Debt Securities - Utilities
010392FH6	ALABAMA POWER COMPANY	0.55	10/15/2015	78,000	77,930
025537AF8	AMERICAN ELECTRIC POWER COMPAN	1.65	12/15/2017	2,155,000	2,152,447
03040WAB1	AMERICAN WATER CAPITAL CORP.	6.09	10/15/2017	150,000	167,189
125896BA7	CMS ENERGY CO	6.55	7/17/2017	250,000	282,668
131347CE4	CALPINE CORP	5.38	1/15/2023	2,000,000	1,950,000
202795HS2	COMMONWEALTH EDISON COMPANY	6.15	9/15/2017	5,748,000	6,507,510
202795JC5	COMMONWEALTH EDISON COMPANY	2.15	12/15/2018	1,200,000	1,199,490
207597ED3	CONNECTICUT LIGHT & PWR CO	5.65	5/1/2018	250,000	282,133
209111ET6	CONSOLIDATED EDISON INC	5.85	4/1/2018	250,000	283,009
23311VAE7	DCP MIDSTREAM PARTNERS LP	2.70	3/1/2019	1,800,000	1,804,461
26441CAG0	DUKE ENERGY CORP	2.15	11/15/2016	300,000	306,418
26441CAH8	DUKE ENERGY CORP	1.63	8/15/2017	250,000	250,819
26441CAK1	DUKE ENERGY CORP	2.10	5/15/2018	2,610,000	2,623,572
268317AG9	ELECTRICITE DE FRANCE SA	1.15	1/20/2017	4,855,000	4,837,650
268317AJ3	ELECTRICITE DE FRANCE SA	2.15	1/22/2019	5,200,000	5,176,474
283695BP8	EL PASO NATURAL GAS COMPANY	5.95	4/15/2017	150,000	165,152
292480AA8	ENABLE MIDSTREAM PARTNERS LP	2.40	5/15/2019	1,945,000	1,918,909
29273RAH2	ENERGY TRANSFER PARTNERS LP	6.70	7/1/2018	250,000	287,733
29336UAA5	ENLINK MIDSTREAM PARTNERS LP	2.70	4/1/2019	5,700,000	5,716,491
29364GAG8	ENTERGY CORP	4.70	12/15/2016	100,000	106,225
302570AX4	FPL GROUP CAPITAL INC	6.65	6/15/2017	200,000	204,000
302570AY2	NEXTERA ENERGY CAPITAL HOLDING	7.30	9/1/2017	100,000	110,000
302570BD7	NEXTERA ENERGY CAPITAL HOLDING	6.00	3/1/2019	5,375,000	6,154,374
340711AQ3	FL GAS TSMN CO	7.90	5/15/2019	3,400,000	4,141,715
36962G3M4	GENERAL ELEC CAP CORP	6.38	11/15/2017	1,575,000	1,722,656
373334JZ5	GEORGIA POWER COMPANY	0.63	11/15/2015	100,000	99,764
454889AN6	INDIANA MICHIGAN POWER COMPANY	7.00	3/15/2019	150,000	178,777
494550AU0	KINDER MORGAN ENERGY PARTNERS	6.00	2/1/2017	1,193,000	1,308,744
494550BR6	KINDER MORGAN ENERGY PARTNERS	2.65	2/1/2019	10,400,000	10,365,817
595620AG0	MIDAMERICAN ENERGY CO	5.95	7/15/2017	200,000	224,461
59562VAW7	MIDAMERICAN ENERGY HOLDINGS CO	1.10	5/15/2017	4,375,000	4,338,197
59562VAX5	MIDAMERICAN ENERGY HOLDINGS CO	2.00	11/15/2018	200,000	198,583
59562VAY3	MIDAMERICAN ENERGY HOLDINGS CO	3.75	8/15/2023	4,750,000	4,836,745
636274AC6	NATIONAL GRID PLC	6.30	8/1/2016	150,000	163,722
65473QAS2	NISOURCE FINANCE CORP	6.40	3/15/2018	150,000	170,795
693304AL1	PECO ENERGY CO	5.35	3/1/2018	200,000	223,208

Page 50



Cusip	Security Description	Coupon	Maturity	Par	Market Value
693304AQ0	PECO ENERGY CO	1.20	10/15/2016	111,000	111,365
69331CAF5	PG&E CORP	2.40	3/1/2019	150,000	149,808
69352PAG8	PPL CAPITAL FUNDING LLC	1.90	6/1/2018	400,000	394,810
69353UAB7	PPL WEM HOLDINGS PLC	3.90	5/1/2016	2,500,000	2,599,241
698455AB8	PANHANDLE EAST PIPE LINE	7.00	6/15/2018	155,000	176,578
743263AL9	PROGRESS ENERGY INC	5.63	1/15/2016	150,000	159,106
74456QBG0	PUBLIC SERVICE ELECTRIC AND GA	1.80	6/1/2019	200,000	197,077
74966NAA4	RJS POWER HOLDINGS LLC	5.13	7/15/2019	1,500,000	1,473,750
816851AS8	SEMPRA ENERGY	2.30	4/1/2017	300,000	305,958
842400GB3	SOUTHERN CAL EDISON	1.13	5/1/2017	3,960,000	3,946,661
842587CK1	SOUTHERN COMPANY (THE)	1.30	8/15/2017	4,145,000	4,126,648
842587CL9	SOUTHERN COMPANY (THE)	2.15	9/1/2019	8,125,000	8,034,767
84755TAA5	SPECTRA ENERGY CAPITAL	6.20	4/15/2018	200,000	225,053
84756NAC3	SPECTRA ENERGY PARTNERS LP	2.95	8/25/2018	6,500,000	6,661,576
89346DAG2	TRANSALTA CORP	1.90	6/3/2017	31,000	30,969
893526DL4	TRANS-CANADA PIPELINES	0.88	3/2/2015	7,000,000	7,009,940
89352HAF6	TRANS-CANADA PIPELINES	6.50	8/15/2018	200,000	231,745
927804FM1	VIRGINIA ELECTRIC AND POWER CO	1.20	1/15/2018	450,000	442,682
95709TAD2	WESTAR ENERGY INC	5.10	7/15/2020	5,000,000	5,658,829
958254AB0	WESTERN GAS PARTNERS LP	4.00	4/1/2022	6,650,000	6,832,805
976656CF3	WISCONSIN ELECTRIC POWER COMPA	1.70	6/15/2018	150,000	149,354
98389BAK6	XCEL ENERGY INC	5.61	4/1/2017	200,000	219,966
LX125098	ESSENTIAL POWER LLC	3.98	8/8/2019	1,235,805	1,241,984
LX126010	PANDA SHERMAN POWER LLC	9.00	9/13/2018	1,067,659	1,087,677
LX129413	POWER BUYER LLC	4.25	5/6/2020	386,222	377,532
LX129682	POWERTEAM SERVICES LLC	4.25	5/6/2020	20,570	20,056
LX134871	FR DIXIE ACQUISITION CORP	5.75	12/18/2020	2,348,494	2,344,971
LX135443	ZIGGO BV	3.25	1/15/2022	787,749	764,257
				121,682,499	125,513,003
Asset Backed Securities - Credit Cards
02582JGU8	AMERICAN EXPRESS CREDIT ACCOUN	1.49	9/15/2017	3,000,000	2,996,121
05522RCR7	BACCT_14-A2	0.42	4/28/2017	7,500,000	7,503,842
14041NDL2	CAPITAL ONE MULTI-ASSET EXECUT	0.23	2/26/2017	14,530,000	14,467,410
14041NDX6	CAPITAL ONE MULTI-ASSET EXECUT	5.75	9/15/2017	1,350,000	1,512,673
161571BC7	CHASE ISSUANCE TRUST	5.16	2/15/2016	750,000	795,427
161571FQ2	CHASE ISSUANCE TRUST CHAIT_12-	2.16	9/15/2022	500,000	473,469
161571GJ7	CHASE ISSUANCE TRUST CHAIT_14-	1.15	1/17/2017	700,000	700,247
161571GM0	CHAIT_14-A4	0.36	4/21/2016	13,795,000	13,784,309
17305EDE2	CITIBANK CREDIT CARD ISSUANCE	5.30	3/15/2016	400,000	426,291
17305EDT9	CCCIT_13-A1	6.15	6/15/2037	350,000	442,302
17305EDY8	CCCIT_13-A1	5.65	9/20/2017	1,700,000	1,900,645
17305EEE1	CITIBANK CREDIT CARD ISSUANCE	5.35	2/7/2018	686,000	766,826
17305EEK7	CITIBANK CREDIT CARD ISSUANCE	1.35	5/20/2015	12,300,000	12,380,688
17305EFD2	CITIBANK CREDIT CARD MASTER TR	0.30	12/9/2014	4,000,000	4,000,240
17305EFE0	CCCIT_13-A6	1.32	9/7/2016	500,000	503,036

Page 51



Cusip	Security Description	Coupon	Maturity	Par	Market Value
17305EFM2	CCCIT_14-A1	2.88	1/21/2021	750,000	762,655
17305EFU4	CCCIT_14-A8	1.73	4/9/2020	4,630,000	4,620,972
254683AC9	DCENT_07-A1	5.65	9/15/2017	900,000	1,006,676
254683AY1	DISCOVER CARD MASTER TRUST DCE	1.67	7/15/2019	600,000	584,838
254683BA2	DISCOVER CARD MASTER TRUST DCE	0.69	2/16/2016	1,250,000	1,249,654
36159JDH1	GEMNT_12-6	1.36	8/15/2017	900,000	891,547
36159JDL2	GE CAPITAL CREDIT CARD MASTER	1.76	9/16/2019	500,000	482,592
36159JDQ1	GE CAPTIAL CREDIT CARD MASTER	1.35	3/15/2018	500,000	488,881
				72,091,000	72,741,341
Asset Backed Securities - Auto Receivables
02006MAC5	ALLYA_13-2	0.79	2/14/2016	750,000	749,960
03062AAB2	AMCAR_14-3	0.64	9/14/2016	9,640,000	9,638,650
13975DAD7	AFIN_13-3	1.68	1/1/2017	1,600,000	1,609,835
14313MAC8	CARMX_13-2	0.64	12/1/2015	1,500,000	1,499,282
31679JAC7	FIFTH THIRD AUTO TRUST FITAT_1	0.68	2/27/2016	750,000	749,283
34530GAE2	FORDO_13-D	1.11	7/1/2017	800,000	798,737
43814CAD1	HONDA AUTO RECEIVABLES OWNER T	0.62	3/6/2016	615,000	614,072
43814GAD2	HAROT_14-2	1.18	8/3/2017	220,000	219,032
44890QAD5	HYUNDAI AUTO RECEIVABLES TRUST	1.55	4/16/2017	600,000	603,933
65476GAD4	NISSAN AUTO RECEIVABLES OWNER	0.66	2/28/2016	1,300,000	1,299,216
80283NAD1	SDART_14-1	0.87	12/11/2015	500,000	500,792
80283YAB1	SDART_14-4	0.67	6/3/2016	7,820,000	7,821,799
89231MAC9	TAOT_14-A	0.67	6/1/2016	650,000	648,321
98158QAD8	WOART_12-B	0.81	3/30/2016	500,000	500,441
				27,245,000	27,253,353
Asset Backed Securities - Student Loans
00389VAA0	ALFT_13-1A	0.96	11/9/2030	15,033,310	15,087,054
00432CAZ4	AGSL_03-1	1.63	10/13/2021	4,100,000	3,947,997
00432CBB6	AGSL_03-1	1.63	12/4/2023	3,600,000	3,522,600
00432CBP5	AGSL_03-1	1.63	3/5/2024	5,350,000	5,225,345
00434MAC1	ACCESS TO LOANS FOR LEARNING S	0.95	10/18/2025	15,182,587	15,282,185
10620NAC2	BRAZOS HIGHER EDUCATION AUTHOR	0.35	11/16/2015	751,224	749,451
26845BAA7	EFSV2_ 2012-1	1.03	12/9/2017	3,420,854	3,447,092
281379AA5	EDUSA_10-1	1.08	10/23/2018	1,065,968	1,077,598
28137RAA5	EDUSA_14-1	0.85	7/23/2025	14,177,142	14,211,167
281381AA1	EDUSA_14-3	0.55	9/8/2023	14,172,679	14,050,879
28140DAB9	ELAB_13-1A	0.95	6/12/2018	3,951,908	3,966,806
28140VAB9	EFCT_04-1	0.39	12/15/2014	22,953	22,949
36156YAN1	GCO EDUCATION LOAN FUNDING TRU	0.30	1/16/2016	713,845	711,774
57563NAA6	MEFA	1.18	2/3/2028	2,168,970	2,176,387
60535YAA1	MHEAC_14-1	0.83	10/16/2025	9,851,163	9,851,754
606072KS4	MISSOURI HIGHER ED LN AUTH STU	1.08	11/12/2020	2,585,148	2,605,415
61205PAK5	MHESA_12-1	1.15	1/6/2018	8,658,811	8,801,812
64031QBW0	NELS_05-2	0.31	11/12/2015	3,903,587	3,889,355
64033GAA9	NSLT_13-5A	0.78	1/22/2023	4,502,317	4,519,291

Page 52



Cusip	Security Description	Coupon	Maturity	Par	Market Value
66705EAA6	NEF_12-1	0.85	10/14/2023	1,724,421	1,731,629
69339QAA7	PHEAA_14-2A	0.72	4/23/2030	4,320,499	4,321,968
698475AM2	PANHANDLE-PLAINS HIGHER EDUCAT	1.36	8/23/2024	4,506,546	4,571,098
71722TAF1	PHEAA_04-1	1.65	7/27/2018	2,000,000	1,928,198
71722TAG9	PHEAA_04-1	—	4/17/2020	6,000,000	5,874,828
78442GHY5	SLMA	0.30	12/15/2016	100,000	100,253
78442GHZ2	SLMA	0.31	11/16/2014	100,000	100,253
78442GJD9	SLM STUDENT LOAN TR 2003-10A	0.30	11/19/2014	200,000	200,506
78442GQY5	SLMA_05-9	0.35	11/1/2015	5,518,648	5,501,244
78442GSC1	SLM STUDENT LOAN TRUST SLMA_06	0.31	11/1/2015	3,442,605	3,437,304
78444CAB9	SLM STUDENT LOAN TRUST SLMA_07	0.48	12/12/2014	777,334	777,334
80705WAA7	SCHOL_12-B	0.55	11/19/2015	1,920,223	1,921,736
80705XAA5	SCHOL_13-A	0.80	10/11/2023	821,240	817,908
86386MAY0	STUDENT LOAN CON	1.37	11/22/2021	14,785,531	15,053,149
B0A0BSZC0	SLMA_03-5	0.35	4/17/2018	1,034,911	1,290,952
U8280TAR8	SLMA	0.63	8/16/2019	2,670,000	3,331,391
				163,134,424	164,106,661
Asset Backed Securities - CLO
00083VAA9	ACASC_07-1	0.46	7/28/2016	5,936,551	5,885,182
00089KAB5	ACIS_13	1.10	2/9/2019	12,211,343	11,888,231
00089RAA2	ACIS_13-1	0.73	5/1/2018	17,400,000	17,043,474
00100VAE0	ACIS CLO LTD ACIS_14-4A	1.99	1/25/2022	1,113,736	1,048,437
00100VAL4	ACIS_14-4A	1.71	3/5/2021	8,650,000	8,478,730
00306LAA2	ABERD_08-1A	0.89	8/15/2016	17,868,911	17,735,251
020056AJ6	ALM_12-5A	1.46	4/10/2017	9,600,000	9,599,270
033287AA1	ANCHC_14-4A	1.73	1/9/2020	12,450,000	12,355,517
033287AJ2	ANCHC_14-4A	2.38	5/30/2021	3,600,000	3,537,101
03761QAA3	APID_06-QA	0.48	3/12/2016	4,229,906	4,219,399
04012VAA7	ARES	0.86	4/19/2016	6,180,833	6,146,925
04941LAE7	ATLAS SENIOR LOAN FUND LTD ATC	—	9/27/2024	15,300,000	13,923,000
04964WAA3	ATRM_14-11A	—	8/21/2020	6,000,000	6,000,000
04964WAC9	ATRM_11A	—	9/17/2025	1,000,000	990,282
08180FAA9	BSP_14-IVA	1.72	4/14/2020	14,100,000	14,022,016
09202XAA2	BLACK DIAMOND CLO LTD BLACK_06	0.48	9/21/2016	3,693,056	3,630,769
09624QAC3	BLUEM_05-1A	0.47	9/21/2015	19,123	19,111
107265AL4	BRENTWOOD CLO LTD BRENT_06-1A	0.51	12/27/2016	9,000,718	8,898,758
125478AA5	CIFC_06-2	0.49	1/21/2016	480,264	476,042
15136DAA4	CECLO_13-20A	4.83	9/2/2022	550,000	494,082
17178TAA4	CIFC_06-1BA	4.23	10/9/2018	750,000	739,163
219239AA8	CORNR_07-1A	0.45	4/22/2016	5,050,000	5,007,291
26250AAL3	DRSLF_11-22A	1.40	3/12/2017	4,200,000	4,194,582
26358BAA6	DUANE STREET CLO DUANE_06-3A	0.48	8/27/2015	103,312	102,923
352569AB3	FCLO_5	0.49	12/21/2015	1,878,437	1,865,551
355524AB5	FRASR_06-1A	0.49	4/30/2015	489,977	489,154
363206AF0	GALE	0.47	10/25/2015	6,544,270	6,511,968

Page 53



Cusip	Security Description	Coupon	Maturity	Par	Market Value
36361PAE1	GALLATIN FUNDING LTD GALL_12-1	—	10/17/2022	3,445,000	2,373,605
36361RAB3	GALLATIN FUNDING LTD GALL_13-1	1.38	3/21/2019	12,000,000	11,844,000
36361TAE3	GALATTIN FUNDS LTD GALL_13-1X	—	1/18/2024	7,350,000	5,887,350
363639AE5	GALL_14-1A	—	8/4/2022	5,150,000	5,196,350
378663AA6	GLEAG_05-1A	0.51	9/18/2015	1,348,666	1,347,049
38136TAA1	GOLDS_07-5A	0.93	1/26/2016	5,363,161	5,356,838
40538BAE2	HLA_14-2A	2.23	4/16/2021	4,500,000	4,338,293
42822XAA3	HICDO_07-1RA	0.64	4/6/2016	7,582,529	7,596,117
44928XAA2	ICG_14-1A	1.39	8/17/2020	9,900,000	9,668,429
476759AA3	JERSEY STREET CLO LTD JERSY_06	0.48	6/5/2015	934,906	933,339
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1	0.51	2/3/2016	8,473	8,462
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1	0.58	11/30/2015	26,132,040	25,870,720
50183UAF4	LCM_14-X	1.49	3/12/2017	6,500,000	6,499,896
530361AE4	LIBERTY CLO	0.49	11/18/2014	560,466	560,272
55817LAA8	MDPK_07-6A	5.49	4/9/2020	650,000	656,955
55818NAA3	MDPK_14-13A	5.23	5/26/2022	500,000	465,680
64090AAA2	NEUB_14-16A	4.43	8/23/2022	750,000	652,290
67089NAE2	OCP_12-2A	1.05	10/29/2017	10,171,481	9,969,953
67102SAA2	OCP_14-5A	1.24	11/19/2020	11,000,000	10,740,136
67103QAA5	OFSBS_13-5A	1.16	12/23/2018	9,500,000	9,370,572
67106AAA7	OFSBS_14-6A	1.26	2/11/2020	11,000,000	10,734,031
67106MAB9	OFSBS_14-7A	1.72	4/28/2021	1,200,000	1,190,352
675150AA4	OCTR_06-1A	0.48	3/8/2017	1,341,414	1,334,808
67572NAU0	OCT12_12-1AR	1.51	4/2/2017	7,500,000	7,499,970
67590KAA8	OCT18_13-1A	5.48	3/23/2022	750,000	703,890
67590MAA4	OCT19_14-1A	5.08	10/29/2022	250,000	228,423
67590QAA5	OCT21_14-1A	—	3/17/2021	8,000,000	8,000,000
67590QAE7	OCT21_14-1A	—	2/14/2021	1,000,000	1,000,000
74982NAA4	RACEP_11-5AR	1.53	11/11/2016	6,000,000	5,999,982
828428AA0	SMORE 2014-1A	1.68	1/29/2020	7,750,000	7,710,615
828428AC6	SMORE_14-1A	2.28	9/18/2021	1,400,000	1,359,786
86176YAA0	STCLO_07 6A	0.46	7/24/2016	1,752,561	1,714,881
87155MAA9	SYMPH_5	0.98	2/14/2018	10,000,000	9,893,760
89622HAA1	TRMN_06-2A	0.49	8/2/2015	624,991	624,356
92327JAA9	VENT_8	0.51	6/18/2017	1,500,000	1,480,818
92327JAC5	VENTURE CDO LTD VENTR_07-8A	0.45	9/14/2016	1,750,000	1,715,672
92912VAA3	VOYA_14-2A	1.68	4/3/2020	8,000,000	8,001,928
929260AA5	WGH_06-1A	0.50	1/19/2016	1,319,350	1,304,078
93677PAB7	WASAT_06-1A	0.47	12/1/2017	9,457,819	9,138,902
98886MAA2	ZAIS_14-1A	1.63	8/12/2020	8,000,000	7,956,520
				380,343,296	372,231,286
Asset Backed Securities - Other
00104UAC2	AEPTC TEXAS CENTRAL TRANSITION	2.84	12/9/2022	700,000	691,895
02005ACC0	AMOT 2013-2	1.44	2/16/2015	4,300,000	4,314,620
03072SKH7	AMSI_03-10	0.91	9/24/2022	6,551,213	6,369,927

Page 54



Cusip	Security Description	Coupon	Maturity	Par	Market Value
037680AA3	AEPWV_13-1	2.01	4/22/2019	4,423,888	4,365,936
04542BDG4	ABFC_03-OPT1	0.83	5/3/2022	2,593,208	2,442,281
15200NAB1	CNP	3.46	12/5/2016	850,000	889,540
29365KAB9	ETI	3.65	11/1/2016	300,000	314,288
34528QDF8	FORDF_14-1	0.55	2/26/2017	16,000,000	16,034,438
477877AD6	JDOT_14-B	1.07	9/16/2017	3,460,000	3,452,423
83611MAQ1	SOUNDVIEW HOME EQUITY LOAN TRU	1.45	10/7/2020	2,084,754	2,064,770
86358EAJ5	SAIL_03-B2	0.83	9/15/2017	8,124,850	7,863,498
86358EJS6	STRUCTURED ASSET INVESTMENT LO	0.95	7/11/2022	7,351,409	6,961,652
86358EKH8	STRUCTURED ASSET INVESTMENT LO	0.99	2/10/2018	8,464,475	8,318,125
				65,203,797	64,083,391

Total Fixed income Securities				6,529,337,628	6,128,237,429

Other Invested Assets - High Yield Fund
	CRESCENT CAPITAL HIGH YIELD FUND				31,544,189

Equities
375204	ABB TREASURY CENTER USA INC.			120,000	2,689,200
2367963	GOLAR LNG LTD			44,400	2,948,160
2824100	ABBOTT LABORATORIES			21,050	875,470
9158106	AIR PRODUCTS AND CHEMICALS INC			8,100	1,054,458
18490102	ALLERGAN INC/UNITED STATES			7,034	1,253,388
18802108	ALLIANT ENERGY CORP			27,500	1,523,775
23135106	AMAZON.COM INC			6,690	2,157,124
23608102	AMEREN CORPORATION			22,000	843,260
25816109	AMERICAN EXPRESS COMPANY			17,045	1,492,119
31162100	AMGEN INC			18,444	2,590,644
37411105	APACHE CORP			35,000	3,285,450
37833100	APPLE INC			98,666	9,940,600
39483102	ARCHER-DANIELS-MIDLAND COMPANY			23,643	1,208,157
53015103	AUTOMATIC DATA PROCESSING, INC			12,736	1,058,107
53484101	AVALONBAY COMMUNITIES INC			4,400	620,268
54937107	BB&T CORP			15,432	574,225
57224107	BAKER HUGHES INC			12,826	834,460
60505104	BANK OF AMERICA			127,095	2,166,970
64058100	BANK OF NEW YORK MELLON CORP/T			10,549	408,563
67383109	CR BARD INC			6,772	966,432
71813109	BAXTER INTERNATIONAL INC.			5,038	361,577
75887109	BECTON DICKINSON			6,554	745,911
75896100	BED BATH & BEYOND INC.			38,000	2,501,540
84670702	BERK HATH FIN			64,162	8,863,339
88606108	BHP BILLITON LTD			18,000	1,059,840
97023105	BOEING CO			60,871	7,753,748
110122108	BRISTOL-MYERS SQUIBB CO			25,824	1,321,672

Page 55



Cusip	Security Description	Coupon	Maturity	Par	Market Value
111320107	BROADCOM CORP			26,060	1,053,345
115637209	BROWN-FORMAN CORPORATION			9,934	896,245
125509109	CIGNA CORP			4,801	435,403
126408103	CSX CORPORATION			180,000	5,770,800
127097103	CABOT OIL & GAS CORP			55,000	1,797,950
134429109	CAMPBELL SOUP COMPANY			13,708	585,743
144285103	CARPENTER TECH CORP			105,000	4,740,750
149123101	CATERPILLAR INC			8,618	853,441
152006102	CENTERRA GOLD INC			33,800	151,829
166764100	CHEVRON CORP			40,632	4,848,210
169656105	CHIPOTLE MEXICAN GRILL INC			1,869	1,245,857
172967424	CITIGROUP INC			36,279	1,879,978
177376100	CITRIX SYSTEMS INC.			6,267	447,088
191216100	COCA-COLA COMPANY (THE)			26,345	1,123,878
192446102	COGNIZANT TECH SOLUTIONS CORP			12,497	559,491
194162103	COLGATE-PALMOLIVE CO			1,243	81,068
200340107	COMERICA INCORPORATED			23,166	1,155,057
205887102	CONAGRA FOODS INC.			80,000	2,643,200
231021106	CUMMINS INC			7,384	974,540
233331107	DTE ENERGY COMPANY			16,000	1,217,280
235851102	DANAHER CORPORATION			11,219	852,420
244199105	DEERE & CO			901	73,873
254687106	WALT DISNEY COMPANY (THE)			37,195	3,311,471
260003108	DOVER CORP			9,240	742,249
263534109	EI DU PONT DE NEMOURS & CO			53,881	3,866,501
268648102	EMC CORP			40,761	1,192,667
278642103	EBAY INC.			156,146	8,842,548
284902103	ELDORADO GOLD CORP			32,818	221,193
291011104	EMERSON ELECTRIC CO			6,652	416,282
302635107	FS INVESTMENT CORP			66,000	710,820
315616102	F5 NETWORKS INC			4,795	569,358
316773100	FIFTH THIRD BANK			61,302	1,227,266
354613101	FRANKLIN RESOURCES INC			11,164	609,666
369550108	GENERAL DYNAMICS CORP			24,373	3,097,565
369604103	GENERAL ELECTRIC CO			94,667	2,425,369
384802104	GRAINGER W.W. INC			2,558	643,721
391164100	GREAT PLAINS ENERGY INCORPORAT			31,000	749,270
406216101	HALLIBURTON COMPANY			28,575	1,843,373
410345102	HANESBRANDS INC			20,000	2,148,800
412822108	HARLEY-DAVIDSON INC			20,750	1,207,650
418056107	HASBRO INC			49,000	2,694,755
427866108	HERSHEY COMPANY THE			9,024	861,160
431475102	HILL-ROM HOLDINGS INC.			70,000	2,900,100
437076102	HOME DEPOT INC			30,726	2,818,803
438516106	HONEYWELL INTERNATIONAL INC			33,023	3,075,102

Page 56



Cusip	Security Description	Coupon	Maturity	Par	Market Value
440452100	HORMEL FOODS CORP			14,685	754,662
448579102	HYATT HOTELS CORP			35,000	2,118,200
452308109	ILLINOIS TOOL WORKS INC			12,582	1,062,172
458140100	INTEL CORP			59,067	2,056,713
459200101	INTERNATIONAL BUSINESS MACHINE			7,907	1,500,986
478160104	JOHNSON & JOHNSON			52,833	5,631,469
494368103	KIMBERLY-CLARK CORPORATION			31,034	3,338,327
496902404	KINROSS GOLD CORP			84,410	278,553
518439104	ESTEE LAUDER INC			11,429	853,975
532457108	ELI LILLY AND COMPANY			61,652	3,998,132
577081102	MATTEL INC			70,000	2,145,500
579780206	MCCORMICK & COMPANY INCORPORAT			9,532	637,691
580135101	MCDONALDS CORP			12,112	1,148,339
585055106	MEDTRONIC INC			14,862	920,701
594918104	MICROSOFT CORP			232,145	10,762,242
609207105	MONDELEZ INTERNATIONAL INC			95,000	3,255,175
617446448	MORGAN STANLEY			30,485	1,053,866
636180101	NATIONAL FUEL GAS CO			50,000	3,499,500
637071101	NATIONAL OILWELL VARCO INC			7,431	565,499
654106103	NIKE INC			18,417	1,642,796
655844108	NORFOLK SOUTHERN CORPORATION			14,300	1,595,880
665859104	NORTHERN TRUST COMPANY			2,052	139,598
670346105	NUCOR CORP			15,800	857,624
670837103	OGE ENERGY CORPORATION			35,000	1,298,850
674599105	OCCIDENTAL PETROLEUM CORPORATI			21,442	2,061,648
681919106	OMNICOM GROUP INC			70,000	4,820,200
682680103	ONEOK INC			32,200	2,110,710
693475105	PNC FINANCIAL SERVICES GROUP I			50,650	4,334,627
693718108	PACCAR INC			16,628	945,718
695781104	PAINTED PONY PETROLEUM LTD			13,800	154,973
701094104	PARKER HANNIFIN CORP			8,674	990,137
713448108	PEPSICO INC			14,296	1,330,815
717081103	PFIZER INC			268,467	7,938,569
718172109	PHILIP MORRIS INTERNATIONAL IN			19,271	1,607,201
740189105	PRECISION CASTPARTS CORP			3,979	942,546
742718109	PROCTER & GAMBLE COMPANY			51,731	4,331,954
751212101	RALPH LAUREN CORP			3,525	580,673
755111507	RAYTHEON COMPANY			20,000	2,032,400
756109104	REALTY INCOME CORP			20,000	815,800
756577102	RED HAT, INC.			7,104	398,890
773903109	ROCKWELL AUTOMATION INC			23,249	2,554,600
774341101	ROCKWELL COLLINS INC.			10,275	806,588
790849103	ST JUDE MEDICAL INC			18,001	1,082,400
806407102	HENRY SCHEIN INC			25,000	2,911,750
806857108	SCHLUMBERGER LTD			74,070	7,532,178

Page 57



Cusip	Security Description	Coupon	Maturity	Par	Market Value
808513105	CHARLES SCHWAB CORPORATIO			28,337	832,824
810186106	SCOTTS COMPANY			45,000	2,475,000
816851109	SEMPRA ENERGY			28,000	2,950,640
824348106	SHERWIN-WILLIAMS COMPANY (THE)			3,454	756,391
824596100	SHINHAN FINANC			3,739	169,975
826552101	SIGMA-ALDRICH CORPORATION			5,648	768,184
828806109	SIMON PROP GRP INC			41,446	6,814,551
842587107	SOUTHERN COMPANY (THE)			30,689	1,339,575
847560109	SPECTRA ENERGY CORP			43,000	1,688,180
854502101	STANLEY BLACK & DECKER INC			67,505	5,993,769
857477608	STATE STREET BOSTON CORP			157,000	4,027,050
863667101	STRYKER CORP			9,180	741,285
871829107	SYSCO CORP			30,395	1,153,490
872540109	TJX COS INC			22,424	1,326,828
874039100	TAIWAN SEMICONDUCTOR MANUFACTU			34,600	698,228
882508104	TEXAS INSTRUMENTS INCORPORATED			34,832	1,661,138
895945103	TRICAN WELL SERVICE LTD			78,900	924,871
902973304	US BANCORP			4,328	181,040
907818108	UNION PACIFIC CORP			13,082	1,418,350
911312106	UNITED PARCEL SERVICE INC			12,556	1,234,129
913017109	UNITED TECH CORP			7,908	835,085
917017105	URANIUM PARTICIPATION CORP			32,700	147,473
929352102	WUXI PHARMATECH CAYMAN INC			32,993	1,155,415
931142103	WAL-MART STORES INC			11,021	842,776
949746101	WELLS FARGO & COMPANY			168,373	8,733,508
962166104	WEYERHAEUSER COMPANY			66,900	2,131,434
976657106	WISCONSIN ENERGY CORPORATION			59,160	2,543,880
00206R102	AT&T INC			62,067	2,187,241
00287Y109	ABBVIE INC			26,198	1,513,196
00507V109	ACTIVISION BLIZZARD INC			170,000	3,534,300
00817Y108	AETNA INC			76,735	6,215,535
00971T101	AKAMAI TECHNOLOGIES INC.			12,485	746,603
01609W102	ALIBABA GROUP HOLDING LTD			6,430	571,306
01626P403	COUCHE-TARD U.S. L.P.			35,500	1,137,537
03076C106	AMERIPRISE FINANCIAL INC			17,905	2,209,119
09247X101	BLACKROCK INC.			7,223	2,371,455
09253U108	BLACKSTONE GROUP L.P.			48,700	1,533,076
09257W100	BLACKSTONE MORTGAGE TRUST INC			59,000	1,598,900
12572Q105	CME GROUP INC			39,658	3,170,855
14149Y108	CARDINAL HEALTH INC			85,000	6,368,200
15135U109	CENOVUS ENERGY INC			133,000	3,575,040
15189T107	CENTERPOINT ENERGY INC.			103,000	2,520,410
17275R102	CISCO SYSTEMS INC			121,036	3,046,476
20825C104	CONOCOPHILLIPS			63,582	4,865,295
22160K105	COSTCO WHSLE CORP			13,186	1,652,470

Page 58



Cusip	Security Description	Coupon	Maturity	Par	Market Value
22282E102	COVANTA HOLDING CORP			100,000	2,122,000
25271C102	DIAMOND OFFSHORE DRILLING INC.		��	6,370	218,300
25746U109	DOMINION RESOURCES INC			56,000	3,869,040
29250N105	ENBRIDGE INC			26,000	1,244,880
29476L107	EQUITY RESIDENTIAL			56,000	3,448,480
30225T102	EXTRA SPACE STORAGE INC			53,000	2,733,210
30231G102	EXXON MOBIL CORP			48,126	4,526,250
37733W105	GLAXOSMITHKLINE PLC			14,500	666,565
38141G104	GOLDMAN SACHS GROUP INC			41,837	7,680,018
38259P508	GOOGLE			4,046	2,380,707
38259P706	GOOGLE			4,046	2,335,999
40412C101	HCA HOLDINGS INC			105,000	7,404,600
42805T105	HERTZ GLOBAL			170,000	4,316,300
44107P104	HOST HOTELS & RESORTS INC			63,000	1,343,790
45104G104	ICICI BANK LTD			13,400	657,940
45866F104	INTERCONTINENTALEXCHANGE GROUP			34,613	6,751,266
46120E602	INTUITIVE SRGCAL			630	290,947
46625H100	JPMORGAN CHASE & CO			187,454	11,292,229
48241A105	KB FINANCIAL GROUP INC			6,616	239,632
48248M102	KKR & CO LP			88,000	1,962,400
48268K101	KT CORPORATION			19,304	312,918
50076Q106	KRAFT FOODS GROUP INC			20,000	1,128,000
55261F104	M&T BANK CORPORATION			21,600	2,663,064
57636Q104	MASTERCARD INC			20,610	1,523,491
58933Y105	MERCK & CO INC			34,964	2,072,666
59156R108	METLIFE INC			24,000	1,289,280
65339F101	FPL GROUP INC.			24,000	2,253,120
65341B106	NEXTERA ENERGY PARTNERS LP			2,400	83,256
65473P105	NISOURCE INC			47,500	1,946,550
68389X105	ORACLE CORP			53,935	2,064,632
71654V408	PETROLEO BRASILEIRO SA			49,302	699,595
74005P104	PRAXAIR INC			6,338	817,602
74340W103	PROLOGIS INC			98,300	3,705,910
74460D109	PUBLIC STORAGE, INC.			19,728	3,271,692
75281A109	RANGE RESOURCES CORP			55,000	3,729,550
78462F103	SPDR TRUST SERIES 1			503,169	99,134,356
80105N105	SANOFI SA			41,000	2,313,630
81211K100	SEALED AIR CORP			138,000	4,813,440
85571B105	STARWOOD PROPERTY TRUST INC			110,000	2,415,600
87612E106	TARGET CORPORATION			17,200	1,078,096
88104R100	TERRAFORM POWER INC			21,600	623,376
88579Y101	3M CO			36,364	5,152,052
90130A101	NEWS CORP-CL A			135,000	4,629,150
91324P102	UNITEDHEALTH GROUP INCORPORATE			15,574	1,343,258
92276F100	VENTAS, INC.			30,243	1,873,541

Page 59



Cusip	Security Description	Coupon	Maturity	Par	Market Value
92826C839	VISA INC			8,240	1,758,169
97717W851	WISDOMTREE JAPAN DIVIDEND FUND			1,373,749	71,874,548
97717X701	WISDOMTREE INTERNATIONAL HEDGE			1,485,697	85,843,573
B4BNMY3	ACCENTURE LTD			5,982	486,456
D35415104	INFINEON TECHNOLOGIES AG			72,311	748,405
E90183182	TELEFONICA			28,658	443,658
EIB5M1SM9	UNICREDITO ITALIANO S.P.A.			120,188	950,440
ENB929F49	ASML HOLDING NV			7,255	722,376
EX0182702	CRH PLC			40,442	924,432
F54432111	LAFARGE S.A.			3,339	240,510
F5485U100	LAGARDERE S.C.A.			97,000	2,596,522
F9156M108	THALES S. A.			6,746	359,410
F95922104	VALLOUREC			25,699	1,182,024
FJB5W8JJ7	PARAMOUNT BED HOLDINGS CO LTD			10,200	292,438
FJB8RBZV5	GLP J-REIT			425	490,884
G00349103	ABENGOA YIELD PLC			34,700	1,234,626
G03764134	ANGLO AMERICAN PLC			17,699	397,107
G0537K100	HOME RETAIL GROUP			38,365	103,804
G2830J103	DAPHINE INTERNATIONAL HOLDINGS			434,000	219,652
G32655105	EXPERIAN PLC			47,194	752,462
G5257K107	KINGBOARD LAMINATES HOLDINGS L			371,500	156,923
G56350112	LONMIN PLC			67,518	203,371
G58249106	MARKIT LTD			18,300	427,305
G60744102	MGM CHINA HOLDINGS			152,200	438,072
G60754101	MICHAEL KORS HOLDINGS LTD			8,945	638,584
G65007109	NEW WORLD DEPARTMENT STORE CHI			223,000	77,539
H2906T109	GARMIN LTD.			7,928	412,177
H36940130	HOLCIM LTD			2,063	150,380
J18807107	GREE INC			19,600	133,651
J24994105	ISUZU MOTORS LTD			96,350	1,361,434
J2501P104	ITOCHU CORP			29,400	359,141
J33093105	KINDEN CORP			27,600	283,812
J38468104	KYUSHU ELECTRIC POWER CO .INC			48,600	523,681
J48818124	NEC CORP			243,000	839,573
J56741101	NISHIMATSUYA CHAIN CO., LTD.			19,100	149,046
J58472119	NITTO DENKO CORP			6,200	339,970
J77024115	SUMITOMO BAKELITE CO., LTD.			63,000	246,957
L80308106	SAMSONITE INTERNATIONAL SA			294,600	948,475
N63218106	NIELSEN HOLDINGS NV			70,000	3,103,100
N6983Q147	ROYAL PHILIPS ELECTRONICS N.V.			88,796	2,834,014
P31076105	COPA HOLDINGS			10,262	1,101,010
P8696W104	SINOVAC BIOTECH LTD			25,477	122,544
S00536730	ASHTEAD GROUP PLC			69,440	1,174,133
S00595850	ARM HOLDINGS PLC			90,517	1,329,479
S02374007	DIAGEO PLC			65,817	1,904,581

Page 60



Cusip	Security Description	Coupon	Maturity	Par	Market Value
S02875805	BRITISH AMER TOBACCO PLC			32,380	1,827,801
S03308608	SPECTRIS PLC			16,832	493,353
S04052072	HALMA PLC			30,217	299,796
S04082848	STANDARD CHARTERED PLC			25,012	462,452
S04161022	HAYS PLC			97,950	184,675
S05203377	JARDINE LLOYD THOMPSON GROUP P			16,560	261,214
S05405287	HSBC HOLDINGS PLC			101,062	1,025,781
S07099542	PRUDENTIAL PLC			43,317	966,273
S07980592	BP PLC			123,258	906,082
S08025413	SIG PLC			55,081	148,765
S08762890	BG GROUP			82,565	1,525,893
S09067448	MOTHERCARE PLC			25,351	110,039
S09223207	SMITH & NEPHEW PLC			48,683	820,793
S09292244	VICTREX PLC			5,113	133,120
S09895293	ASTRAZENECA PLC			30,536	2,198,695
S20246443	BARRICK GOLD CORP			15,600	229,907
S20682993	TALISMAN ENERGY INC.			22,100	191,624
S21627609	CAE INC			67,700	822,662
S22546451	GILDAN ACTIVEWEAR INC.			15,000	822,379
S24542417	IMPERIAL OIL LTD			10,000	473,446
S26378489	NORTHERN DYNASTY MINERALS			14,600	8,361
S26544163	METHANEX CORP			16,200	1,083,721
S27931930	ENCANA CORP			11,200	238,321
S31348659	BARCLAYS PLC			97,986	361,304
S31638364	INTERTEK GROUP PLC			8,982	381,648
S31743008	BURBERRY GROUP PLC			33,645	824,154
S33195215	KINGFISHER PLC			113,293	594,891
S37840113	IMPALA PLATINUM HOLDINGS LTD			34,168	263,104
S40567190	ASSICURAZIONI GENERALI SPA			57,307	1,206,069
S40743916	GFI INFORMATIQUE			4,722	34,001
S40768368	INTESA SANPAOLO SPA			168,655	512,607
S41160995	BANCA EMILIA			12,916	102,792
S41529520	BELIMO HOLDING AG			79	196,777
S41634379	CAP GEMINI SA			6,783	486,955
S42621185	DELHAIZE GROUP SA			2,763	192,249
S43541341	UNITED INTERNET			7,126	303,320
S45774692	MAGYAR TELEKOM TELECOMMUNICATI			107,364	158,059
S46429585	GERRY WEBER INTERNATIONAL			4,094	161,695
S46817243	INFICON HLDG AG			397	120,907
S46823290	PERNOD-RICARD SA			7,781	881,103
S47127980	RENAULT S.A.			20,058	1,453,150
S47553177	ANHEUSER-BUSCH INBEV NV			21,332	2,374,627
S47689625	RWE AG			7,686	299,582
S48247787	SGS SA			163	337,941
S48341085	SCHNEIDER ELECTRIC SA			10,601	814,216

Page 61



Cusip	Security Description	Coupon	Maturity	Par	Market Value
S48528327	STOREBRAND ASA			45,738	254,656
S49023849	TRELLEBORG AB			37,648	653,372
S49375793	VALEO SA			3,325	370,089
S49429046	E.ON SE			14,957	273,875
S50692110	BAYER AG			8,379	1,173,851
S51308617	BERTRANDT AG			1,157	148,058
S51761773	ORANGE SA			67,780	1,019,343
S52260387	SAMPO OYJ			10,610	514,678
S52874880	DEUTSCHE LUFTHANSA AG			12,438	196,482
S53345880	RHEINMETALL AG			5,321	256,099
S53800314	NORDEA BANK AB			26,544	345,775
S54653589	SALZGITTER AG			7,098	244,832
S54815584	POSTNL NV			74,400	321,525
S55582035	KOENIG UND BAUER ALBERT			2,668	37,411
S55969919	UCB SA			7,049	640,066
S56089154	ALTEN SA			4,253	182,427
S56336167	SOPRA GROUP SA			3,993	362,524
S56547813	ATOS			8,042	582,825
S56717358	SANOFI SA			9,883	1,118,130
S56874316	H & M HENNES & MAURITZ AB			11,966	497,172
S56890510	AGFA-GEVAERT NV			43,312	114,188
S56987894	ASSA ABLOY AB			26,886	1,389,729
S57822066	BUZZI UNICEM SPA			18,196	248,480
S57844623	SUEDZUCKER AG			7,745	121,711
S58051038	DEVOTEAM SA			2,535	51,878
S59560789	KONINKLIJKE KPN NV			216,881	695,074
S59622803	LINDT & SPRUENGLI AG			32	159,782
S59665166	SOCIETE GENERALE-A			19,401	990,626
S59806133	GIVAUDAN S.A.			170	271,858
S59930206	AXIS COMMUNICATIONS AB			7,011	191,022
S59939017	METROPOLE TELEVISION SA			10,796	174,431
S60102076	AICHI STEEL CORP			12,000	44,086
S60106499	AISAN INDUSTRY CO LTD			15,400	121,156
S60107026	AISIN SEIKI CO LTD			7,700	277,620
S60214814	ALPINE ELECTRONICS INC.			13,500	222,385
S60273042	AMANO CORP			24,000	256,420
S60365483	NET ONE SYSTEMS			24,600	141,955
S60544095	ASAHI BREWERIES, LTD.			10,500	303,719
S60714755	NISSIN KOGYO			19,500	320,511
S61177333	OBARA GROUP INCORPORATED			5,900	216,218
S61290730	AVEX GROUP HOLDINGS INC			7,000	106,122
S61291589	MOSHI MOSHI HOTLINE INC			9,300	88,172
S61321014	BRIDGESTONE CORP			36,200	1,195,281
S61367496	OBIC			5,400	192,971
S61415501	FUNAI ELE CO., LTD.			18,800	192,465

Page 62



Cusip	Security Description	Coupon	Maturity	Par	Market Value
S61499851	ALPHA SYSTEMS INC			1,700	24,843
S61723235	CANON INC			25,400	826,753
S61957395	CHUBU STEEL PLATE CO. LTD.			10,500	58,868
S62001946	ITOCHU TECHNO-SOLUTIONS CORP			6,000	252,154
S62008826	TRANSURBAN GROUP			165,310	1,116,733
S62359922	DOSHISHA CO LTD			1,100	18,882
S62489901	KDDI CORP			15,400	925,586
S62497995	DAH SING FINANCIAL			17,200	104,550
S62503040	DAIHATSU MOTOR CO LTD			11,000	174,584
S62504121	EXEDY CORP			7,500	189,867
S62505086	DAITO TR CONSTR CO., LTD.			3,500	413,351
S62510284	DAINIPPON SCREEN MANUFACTURING			58,000	295,036
S62556998	DTS CORP			2,000	41,862
S62689765	MITSUBISHI UFJ LEASE & FINANCE			111,700	583,473
S62874102	TV ASAHI CORP			28,540	450,104
S62897848	CAWACHI LTD.			8,200	140,386
S63000160	ADASTRIA HOLDINGS CO LTD			9,800	191,185
S63071690	EIGHTEENTH BANK LIMITED			45,000	124,709
S63072003	EISAI CO LTD			7,400	299,184
S63177158	ENERGY RSC AUST			38,369	41,968
S63339378	ENN ENERGY HOLDINGS LTD			92,000	601,872
S63351712	MITSUBISHI TOKYO FINANCIAL GRP			384,900	2,176,170
S63454607	TOWNGAS CHINA CO LTD			1,182,000	1,266,467
S63527501	EN-JAPAN INC.			7,300	141,814
S63552764	FUJIMI INC			11,200	158,665
S63564066	FUJI HEAVY IND LTD			12,100	399,969
S63565923	FUJI MACHINE MFG. CO., LTD.			16,500	158,540
S63569453	FUJITSU LTD			74,000	455,354
S63577332	FUTABA CORP			5,900	88,639
S63844856	PROTO CORP			7,500	109,326
S64004336	HIS			9,800	261,137
S64106362	RESOLUTE MINING LTD			257,095	100,112
S64162811	DENTSU INC			16,800	639,409
S64218985	PAL CO LTD			17,200	467,259
S64243033	CLEAR MEDIA LTD			42,000	43,703
S64288665	HISAKA WORKS LTD			11,000	103,487
S64291040	HITACHI LTD			84,000	641,324
S64291263	HITACHI CHEM CO LTD			18,000	319,978
S64351455	HONDA MOTOR CO LTD			15,400	533,479
S64398134	HOSIDEN CORP			32,800	177,612
S64592199	INABA DENKISANGYO CO LTD			12,400	417,120
S64685050	JAPAN DIGITAL LABORATORY CO LT			26,400	488,073
S64706856	JAPAN STEEL WORKS LTD/THE			48,000	192,534
S64709868	JSR CORP			15,400	268,565
S64745359	JAPAN TOBACCO INC.			37,400	1,216,152

Page 63



Cusip	Security Description	Coupon	Maturity	Par	Market Value
S64762180	AEON DELIGHT CO. LTD.			5,400	131,388
S64873284	KEIHIN CORP			16,200	213,992
S64937451	KIRIN BREWERY CO LTD			19,300	256,260
S65045841	KURODA ELEC CO. LTD.			19,600	287,134
S65131260	TOKIO MARINE HOLDINGS INC			46,200	1,433,023
S65295545	CMIC HOLDINGS CO LTD			7,400	132,963
S65342024	AEON MALL CO LTD			28,700	547,601
S65630246	SUMITOMO MITSUI FIN GRP INC			25,720	1,048,308
S65695058	MARUICHI STEEL TUBE LTD.			12,700	311,784
S65946048	MIMASU SEMICONDUCTOR IND CO.,			13,800	123,665
S65970451	MITSUBISHI ELEC CORP			58,000	772,223
S65973687	MITSUI CHEMICALS INC			101,000	280,824
S65974099	MITSUMI ELEC CO., LTD.			16,200	116,964
S66257205	PANAHOME CORP			68,000	472,364
S66295403	NETUREN CO LTD			6,200	45,951
S66385469	NICHICON CORP			60,300	433,168
S66395500	NINTENDO CO LTD			2,200	239,263
S66396029	NSD CO LTD			19,300	303,149
S66413733	NTT CORP			9,800	609,379
S66428046	HITACHI HIGH-TECHNOLOGIES CORP			10,000	287,160
S66440603	NIPPON TELEVISION HOLDINGS INC			25,100	383,038
S66575416	OITA BANK LTD			26,000	97,890
S66601071	ONO PHARM CO., LTD.			19,650	1,744,756
S66602046	TAIHEIYO CEMENT CORP			314,000	1,185,068
S66881434	MELCO HOLDINGS INC			7,200	137,574
S67103473	QANTAS AIRWAYS LTD			224,353	272,885
S67116962	JAPAN PETROLEUM EXPLORATION CO			21,700	832,827
S67132050	HONEYS CO LTD			13,470	142,074
S67442947	T&D HOLDINGS INC			80,500	1,033,632
S67472043	ROHM CO LTD.			4,700	295,638
S67728535	SAN-IN GODO BK, LTD.			32,000	225,790
S67754325	SANKYO CO LTD			7,100	254,369
S68040351	SHIMAMURA CO., LTD.			5,100	468,645
S68046820	SHIONOGI & CO., LTD.			34,300	786,716
S68047455	SHINKAWA LTD			16,710	82,564
S68049279	SHINKO ELEC INDUS CO., LTD.			39,300	286,971
S68415264	STAR MICRONICS CO., LTD.			38,900	572,001
S68655042	SUZUKI MOTOR CORP			6,050	200,508
S68694983	TACHI-S CO., LTD.			14,200	205,307
S68699594	TAIKISHA LTD			13,700	306,359
S68704451	TAKEDA PHARMACEUTICAL CO LTD			30,400	1,321,366
S68935501	TOCHIGI BANK LTD/THE			24,000	94,079
S68939149	TOKAI RUBBER INDUSTRIES INC			15,800	139,427
S68939479	HIGASHI-NIPPON BK LTD			30,000	76,029
S68940253	TOKAI RIKA CO., LTD.			26,850	567,376

Page 64



Cusip	Security Description	Coupon	Maturity	Par	Market Value
S68943042	TOKYO SEIMITSU CO., LTD.			24,800	416,668
S68948983	TOKYO OHKA KOGYO CO LTD			12,400	327,931
S68949288	TOPRE CORPORATION			4,600	65,376
S68958792	TOKYO STEEL MANU CO., LTD.			23,600	124,567
S68972629	TOSHIBA MACH			114,000	519,623
S69005460	TOYOTA INDUSTRIES CORPORATION			14,200	686,084
S69005577	TOYODA GOSEI CO LTD			15,900	310,187
S69005916	TOYOTA BOSHOKU CORP			23,500	246,365
S69189819	USHIO INC			19,800	209,020
S69549855	ALUMINA LTD			456,857	677,615
S69849487	XEBIO CO., LTD.			10,900	165,246
S69853612	YAMANASHI CHUO BANK LTD/THE			22,000	96,467
S69854461	YAMATO KOGYO CO LTD			13,600	453,767
S69855872	YAMAZEN CORP			55,200	432,260
S69863645	YODOGAWA STEEL WORKS LTD.			11,000	45,025
S69899763	ZUKEN INC			7,000	70,514
S70852595	H LUNDBECK A/S			24,092	538,040
S71030654	NOVARTIS AG			49,501	4,670,346
S71035265	PEUGEOT SA			32,934	422,487
S71103881	ROCHE HOLDING AG			18,219	5,398,010
S71107205	ADECCO SA-REG			4,700	318,990
S71109029	TECAN GROUP AG			2,860	300,816
S71235469	GROUPE STERIA			1	22
S71263412	MICRONAS SEMICONDUCTOR HOLD			18,040	135,748
S71366637	JC DECAUX SA			11,893	375,521
S71450563	ENI SPA			25,738	613,530
S71541825	ING GROEP NV			140,349	2,005,216
S72124779	ESSILOR INTL			17,468	1,918,457
S73096810	BNP PARIBAS SA			6,725	446,176
S73201543	ORSZAGPS TAKAREKPENZTAR ES KER			9,435	160,388
S73804825	SAINT GOBAIN			7,944	363,628
S74167636	KONTRON			16,326	102,232
S77925592	HEINEKEN N.V.			10,527	787,787
SB00G2567	ORIFLAME COSMETICS SA			7,068	121,977
SB00GWP69	AMVIG HOLDINGS LTD			256,000	116,707
SB00LBS74	CATLIN GROUP LTD			16,164	136,786
SB01TND90	BOOKER GROUP PLC			87,287	172,919
SB02JV897	GENDAI AGENCY INC			5,100	31,475
SB02PY225	SINGAPORE TELECOMMUNICATIONS L			650,000	1,936,799
SB03J9L73	AIRASIA			1,754,200	1,352,881
SB03MLX20	ROYAL DUTCH SHELL PLC			30,593	1,169,718
SB045FZ02	WELLNET CORP			15,700	249,036
SB05L3642	DENA			14,000	178,039
SB06MW587	KYOKUTO SEC			19,700	322,362
SB08SNH35	NATIONAL GRID PLC			93,610	1,347,592

Page 65



Cusip	Security Description	Coupon	Maturity	Par	Market Value
SB08V9H40	COMPAGNIE PLASTIC OMNIUM			22,649	541,899
SB09M9D26	KONE OYJ			25,549	1,026,983
SB09YFD03	SAFT GROUPE S.A.			4,556	155,050
SB0C2CQ38	GDF SUEZ			20,825	522,461
SB0C3TN25	MIRAIAL CO LTD			7,700	126,772
SB0J7D919	DAIICHI SANKYO			17,800	279,263
SB0LDD867	LEM HLDGS AG			150	111,931
SB0MKZN53	TSURUHA HOLDINGS INC			7,100	394,822
SB0X6W867	AIZAWA SECURITIES CO LTD			45,500	221,911
SB10RB150	INPEX CORP			24,200	341,838
SB10RZP77	UNILEVER PLC			29,402	1,232,142
SB11Z2266	G-RESOURCES GROUP LTD			4,701,000	119,264
SB11ZRK95	LEGRAND S.A.			17,813	926,981
SB13WZ262	ZUMTOBEL			5,367	100,444
SB142S608	KUEHNE & NAGEL INTERNATIONAL A			1,662	209,772
SB15C5570	TOTAL SA			13,062	848,954
SB18YFJ40	UBS AG			116,280	2,027,446
SB1DWS050	AER LINGUS PLC			48,400	86,821
SB1FRPV87	USG PEOPLE			8,047	95,656
SB1FW7515	GALP ENERGIA SA			34,920	567,730
SB1G2RD88	DAI-ICHI SEIKO CO LTD			5,900	112,035
SB1KJJ406	WHITBREAD			4,123	277,653
SB1KKBX66	ELECTROLUX AB			40,142	1,063,080
SB1P1JR41	TS TECH CO LTD			12,760	310,116
SB1TQ2V06	RAUBEX			67,820	133,080
SB1VP0K08	REXEL SA			25,159	469,581
SB1VQF428	ORKLA ASA			69,970	632,946
SB1WGG938	GEBERIT AG			2,297	742,348
SB1WT5G22	DSV, DE SAMMENSLUT VOGN			63,039	1,775,837
SB1XCBX91	BOLIDEN AB			44,133	716,938
SB1YXBJ76	AIR LIQUIDE SA			10,585	1,291,286
SB1YY4B38	UNIBAIL-RODAMCO SE			3,881	998,675
SB1YY6621	ALMIRALL SA			13,936	204,566
SB1Z4WD00	DAETWYLER HLDG AG			258	33,995
SB234WN90	DIASORIN SPA			6,300	236,526
SB249SN50	SONY FINANCIAL			24,500	396,217
SB24CGK71	RECKITT BENCKISER GROUP PLC			12,828	1,112,592
SB28DTJ67	BUREAU VERITAS SA			15,136	334,514
SB28SK094	HAMBURGER HAFEN UND LOGISTIK A			6,493	155,146
SB292JQ95	GROUPE EUROTUNNEL SA			32,958	402,686
SB2PDGW13	WH SMITH PLC			15,922	279,543
SB3BLR569	TRI-STAGE INC			2,600	30,196
SB3D0VR16	TONGYANG LIFE INSURANCE			11,130	120,766
SB3ZNGT54	GREATVIEW ASEPTIC PACKAGING CO			1,211,000	795,366
SB4LW4N32	HRT PARTICIPACOES EM PETROLEO			3,300	14,751

Page 66



Cusip	Security Description	Coupon	Maturity	Par	Market Value
SB4R2R507	GRIFOLS INC			39,388	1,766,380
SB4RLNR19	NORMA GROUP AG			4,014	167,941
SB4T3BW64	GLENCORE INTERNATIONAL PLC			148,668	827,157
SB4YVF563	BRENNTAG AG			17,832	876,497
SB505PN71	NXP SEMICONDUCTORS NV			8,400	574,812
SB574ZG08	DELTA LLOYD NV			15,660	377,747
SB5M6XQ72	BRITISH AIRWAYS PLC			80,653	479,986
SB601QS44	DAI-ICHI LIFE INSURANCE CO. LT			19,000	281,982
SB60BD273	SUPERGROUP PLC			14,238	261,518
SB62G1B54	EDENRED			21,078	520,154
SB671GT81	FIBRA UNO ADMINISTRACION SA			145,000	477,314
SB68SQD28	COVIDIEN PLC			8,262	714,746
SB7FNMQ21	ELEMENT FINANCIAL CORP			58,800	714,513
SB86S2N06	FORTIS			10,274	341,143
SB88MHC49	HUGO BOSS AG			4,955	619,431
SB8BRV460	JAPAN AIRLINES CO LTD			11,000	300,834
SB9239357	OSRAM LICHT AG			3,355	125,006
SB946ZZ65	SPIRAX-SARCO ENGINEERING PLC			10,617	486,404
SBBFL4S00	PIRAEUS BANK SA			15,429	26,118
SBCRWZ184	COM FN RICHEMONT			7,378	604,988
SBCZM1B24	PROSIEBENSAT1 MEDIA AG			16,183	644,982
SBLNN3L41	COMPASS GROUP			110,388	1,783,292
W04008152	ALFA LAVAL AB			27,153	581,602
W10020118	ATLAS COPCO AB			39,279	1,127,955
W84237143	SKF AB			32,439	678,175
X1687N119	ALPHA BK A.E.			657,582	510,044
Y1091F107	CAPITACOMMERCIAL TRUST			511,000	639,101
Y16907100	COMPAL ELECTRONICS			97,000	72,544
Y48406105	KOREAN ELEC POWER CO			11,737	536,104
Y4964V118	K-REIT ASIA			671,000	626,119
Y594BL106	PTT GLOBAL CHEMICAL PCL			533,390	1,003,448
Y70334100	POSCO			1,445	449,830
Y84629107	TAIWAN SEMICONDUCTOR			243,000	958,596
	NEUBERGER BERMAN GREATER CHINA EQUITY FUND LTD			31,277	38,035,282
				36,805,653	945,075,696

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Allied World Assurance 8-KAllied World Reports Strong Growth Across U.s. Insurance Platform