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 | 4,046 | 2,380,707 | ||||||
38259P706 | 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 | |||||||
Page 67