Exhibit 99.3
Allied World Assurance Company Holdings, AG | |||||
Securities Listing as at March 31, 2015 |
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
U.S. Government Securities | ||||||||||||||||||
912796FQ7 | US912796FQ74 | BTC2WG6 | UNITED STATES TREASURY | 0.00 | 6/11/2015 | 5,883,000 | $ | 5,882,153 | ||||||||||
912810EZ7 | US912810EZ76 | UNITED STATES TREASURY | 6.63 | 2/15/2027 | 625,000 | 926,663 | ||||||||||||
912828A34 | US912828A347 | BGRGJG1 | UNITED STATES TREASURY | 1.25 | 11/30/2018 | 500,000 | 502,425 | |||||||||||
912828A42 | US912828A420 | BH13VK3 | UNITED STATES TREASURY | 2.00 | 11/30/2020 | 900,000 | 923,211 | |||||||||||
912828A59 | US912828A594 | BH58X19 | UNITED STATES TREASURY | 0.63 | 12/15/2016 | 500,000 | 501,135 | |||||||||||
912828A75 | US912828A750 | BHBPMP1 | UNITED STATES TREASURY | 1.50 | 12/31/2018 | 500,000 | 506,590 | |||||||||||
912828B33 | US912828B337 | UNITED STATES TREASURY | 1.50 | 1/31/2019 | 10,700,000 | 10,838,244 | ||||||||||||
912828B41 | US912828B410 | BJ8S194 | UNITED STATES TREASURY | 0.38 | 1/31/2016 | 3,000,000 | 3,003,390 | |||||||||||
912828B58 | US912828B584 | BJ8S161 | UNITED STATES TREASURY | 2.13 | 1/31/2021 | 13,495,000 | 13,921,982 | |||||||||||
912828B66 | US912828B667 | BJT0TY0 | UNITED STATES TREASURY | 2.75 | 2/15/2024 | 700,000 | 749,959 | |||||||||||
912828B74 | US912828B741 | BJT0V99 | UNITED STATES TREASURY | 0.63 | 2/15/2017 | 400,000 | 400,636 | |||||||||||
912828C24 | US912828C244 | BK01C51 | UNITED STATES TREASURY | 1.50 | 2/28/2019 | 250,000 | 253,087 | |||||||||||
912828C32 | US912828C327 | BKKNGY4 | UNITED STATES TREASURY | 0.75 | 3/15/2017 | 250,000 | 250,973 | |||||||||||
912828C65 | US912828C657 | BKXH1Y8 | UNITED STATES TREASURY | 1.63 | 3/31/2019 | 500,000 | 508,400 | |||||||||||
912828C73 | US912828C731 | BLDZ8P9 | UNITED STATES TREASURY | 0.88 | 4/15/2017 | 18,950,000 | 19,063,888 | |||||||||||
912828C81 | US912828C814 | BLT2LV1 | UNITED STATES TREASURY | 0.38 | 4/30/2016 | 1,750,000 | 1,751,103 | |||||||||||
912828D23 | US912828D234 | BLT2LQ6 | UNITED STATES TREASURY | 1.63 | 4/30/2019 | 500,000 | 508,145 | |||||||||||
912828D49 | US912828D499 | BPYD719 | UNITED STATES TREASURY | 0.88 | 8/15/2017 | 11,000,000 | 11,048,510 | |||||||||||
912828D64 | US912828D648 | BQ717C8 | UNITED STATES TREASURY | 0.50 | 8/31/2016 | 13,800,000 | 13,816,422 | |||||||||||
912828D80 | US912828D804 | BQ71784 | UNITED STATES TREASURY | 1.63 | 8/31/2019 | 500,000 | 507,220 | |||||||||||
912828F39 | US912828F395 | BQXKYM8 | UNITED STATES TREASURY | 1.75 | 9/30/2019 | 28,900,000 | 29,452,567 | |||||||||||
912828F47 | US912828F478 | BQXKZC5 | UNITED STATES TREASURY | 0.50 | 9/30/2016 | 11,000,000 | 11,009,791 | |||||||||||
912828F54 | US912828F544 | BRJ6VB5 | UNITED STATES TREASURY | 0.88 | 10/15/2017 | 36,900,000 | 37,016,973 | |||||||||||
912828F62 | US912828F627 | BRYG9R2 | UNITED STATES TREASURY | 1.50 | 10/31/2019 | 1,000,000 | 1,007,700 | |||||||||||
912828F88 | US912828F882 | UNITED STATES TREASURY | 0.38 | 10/31/2016 | 350,000 | 349,517 | ||||||||||||
912828FY1 | US912828FY19 | UNITED STATES TREASURY | 4.63 | 11/15/2016 | 825,000 | 880,778 | ||||||||||||
912828G20 | US912828G203 | BSJX083 | UNITED STATES TREASURY | 0.88 | 11/15/2017 | 18,710,000 | 18,756,401 | |||||||||||
912828G46 | US912828G468 | BSQXNR6 | UNITED STATES TREASURY | 0.50 | 11/30/2016 | 124,900,000 | 124,946,217 | |||||||||||
912828G61 | US912828G617 | UNITED STATES TREASURY | 1.50 | 11/30/2019 | 800,000 | 806,008 | ||||||||||||
912828G79 | US912828G799 | UNITED STATES TREASURY | 1.00 | 12/15/2017 | 4,100,000 | 4,121,361 | ||||||||||||
912828G87 | US912828G872 | BTL1KT3 | UNITED STATES TREASURY | 2.13 | 12/31/2021 | 8,380,000 | 8,613,970 | |||||||||||
912828G95 | US912828G955 | BTL1KM6 | UNITED STATES TREASURY | 1.63 | 12/31/2019 | 56,850,000 | 57,563,466 | |||||||||||
912828GX2 | US912828GX27 | B23C051 | UNITED STATES TREASURY | 2.63 | 7/15/2017 | 7,000,000 | 8,566,741 | |||||||||||
912828H29 | US912828H292 | BTL1KY8 | UNITED STATES TREASURY | 0.63 | 12/31/2016 | 24,900,000 | 24,957,768 | |||||||||||
912828H37 | US912828H375 | BV9HF03 | UNITED STATES TREASURY | 0.88 | 1/15/2018 | 7,250,000 | 7,256,453 | |||||||||||
912828H52 | US912828H524 | BVJF8C0 | UNITED STATES TREASURY | 1.25 | 1/31/2020 | 700,000 | 696,220 | |||||||||||
912828H78 | US912828H789 | UNITED STATES TREASURY | 0.50 | 1/31/2017 | 60,000,000 | 59,989,201 | ||||||||||||
912828H94 | US912828H946 | UNITED STATES TREASURY | 1.00 | 2/15/2018 | 19,850,000 | 19,926,422 | ||||||||||||
912828J35 | US912828J355 | BVYY673 | UNITED STATES TREASURY | 0.50 | 2/28/2017 | 7,020,000 | 7,014,805 | |||||||||||
912828J43 | US912828J439 | BVYY5G5 | UNITED STATES TREASURY | 1.75 | 2/28/2022 | 9,800,000 | 9,825,481 | |||||||||||
912828J50 | US912828J504 | BVYXJ26 | UNITED STATES TREASURY | 1.38 | 2/29/2020 | 21,800,000 | 21,803,270 | |||||||||||
912828J68 | US912828J686 | BVW2JQ9 | UNITED STATES TREASURY | 1.00 | 3/15/2018 | 36,850,000 | 36,976,672 |
Page 1
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
912828LJ7 | US912828LJ77 | B43JZT5 | UNITED STATES TREASURY | 3.63 | 8/15/2019 | 15,720,000 | 17,289,956 | |||||||||||
912828LP3 | US912828LP38 | B4L4JF6 | UNITED STATES TREASURY | 3.00 | 9/30/2016 | 500,000 | 519,185 | |||||||||||
912828NA4 | US912828NA41 | B65F012 | UNITED STATES TREASURY | 3.13 | 4/30/2017 | 250,000 | 263,043 | |||||||||||
912828NV8 | US912828NV87 | UNITED STATES TREASURY | 1.25 | 8/31/2015 | 200,000 | 200,936 | ||||||||||||
912828NW6 | US912828NW60 | UNITED STATES TREASURY | 1.88 | 8/31/2017 | 500,000 | 514,015 | ||||||||||||
912828PS3 | US912828PS31 | B45JBT5 | UNITED STATES TREASURY | 2.00 | 1/31/2016 | 200,000 | 202,906 | |||||||||||
912828PT1 | US912828PT14 | B3ZR1S1 | UNITED STATES TREASURY | 2.63 | 1/31/2018 | 500,000 | 524,795 | |||||||||||
912828QF0 | US912828QF01 | UNITED STATES TREASURY | 2.00 | 4/30/2016 | 250,000 | 254,483 | ||||||||||||
912828QJ2 | US912828QJ23 | B3TZD52 | UNITED STATES TREASURY | 2.13 | 2/29/2016 | 11,875,000 | 12,074,975 | |||||||||||
912828QP8 | US912828QP82 | B51BXC9 | UNITED STATES TREASURY | 1.75 | 5/31/2016 | 250,000 | 254,073 | |||||||||||
912828QQ6 | US912828QQ65 | B4KK3H5 | UNITED STATES TREASURY | 2.38 | 5/31/2018 | 4,480,000 | 4,677,837 | |||||||||||
912828QR4 | US912828QR49 | UNITED STATES TREASURY | 1.50 | 6/30/2016 | 350,000 | 354,869 | ||||||||||||
912828QT0 | US912828QT05 | UNITED STATES TREASURY | 2.38 | 6/30/2018 | 250,000 | 261,005 | ||||||||||||
912828QX1 | US912828QX17 | B6WCYH0 | UNITED STATES TREASURY | 1.50 | 7/31/2016 | 175,000 | 177,550 | |||||||||||
912828RE2 | US912828RE27 | B4KS6Q9 | UNITED STATES TREASURY | 1.50 | 8/31/2018 | 250,000 | 253,808 | |||||||||||
912828RH5 | US912828RH57 | B50PRM0 | UNITED STATES TREASURY | 1.38 | 9/30/2018 | 1,900,000 | 1,919,836 | |||||||||||
912828RJ1 | US912828RJ14 | B6Z64X5 | UNITED STATES TREASURY | 1.00 | 9/30/2016 | 100,000 | 100,851 | |||||||||||
912828RM4 | US912828RM43 | B75L6K8 | UNITED STATES TREASURY | 1.00 | 10/31/2016 | 1,100,000 | 1,109,438 | |||||||||||
912828RX0 | US912828RX08 | UNITED STATES TREASURY | 0.88 | 12/31/2016 | 140,806,500 | 141,755,551 | ||||||||||||
912828RY8 | US912828RY80 | UNITED STATES TREASURY | 1.38 | 12/31/2018 | 125,000 | 126,071 | ||||||||||||
912828SC5 | US912828SC51 | B7GQ390 | UNITED STATES TREASURY | 0.88 | 1/31/2017 | 400,000 | 402,552 | |||||||||||
912828SH4 | US912828SH49 | B7LM876 | UNITED STATES TREASURY | 1.38 | 2/28/2019 | 500,000 | 503,745 | |||||||||||
912828SJ0 | US912828SJ05 | B73T5C9 | UNITED STATES TREASURY | 0.88 | 2/28/2017 | 770,000 | 774,820 | |||||||||||
912828SM3 | US912828SM34 | B7ZN2G2 | UNITED STATES TREASURY | 1.00 | 3/31/2017 | 250,000 | 252,140 | |||||||||||
912828SS0 | US912828SS04 | B7Y24G4 | UNITED STATES TREASURY | 0.88 | 4/30/2017 | 250,000 | 251,445 | |||||||||||
912828SY7 | US912828SY71 | B82QXX5 | UNITED STATES TREASURY | 0.63 | 5/31/2017 | 1,000,000 | 1,000,190 | |||||||||||
912828TB6 | US912828TB69 | B74YJ65 | UNITED STATES TREASURY | 0.75 | 6/30/2017 | 750,000 | 751,628 | |||||||||||
912828TG5 | US912828TG56 | B6RMTL4 | UNITED STATES TREASURY | 0.50 | 7/31/2017 | 250,000 | 249,060 | |||||||||||
912828TM2 | US912828TM25 | B8GKMX6 | UNITED STATES TREASURY | 0.63 | 8/31/2017 | 2,230,000 | $ | 2,225,785 | ||||||||||
912828TS9 | US912828TS94 | B8MH2G4 | UNITED STATES TREASURY | 0.63 | 9/30/2017 | 200,000 | $ | 199,472 | ||||||||||
912828TW0 | US912828TW07 | B8BR7L5 | UNITED STATES TREASURY | 0.75 | 10/31/2017 | 25,985,000 | $ | 25,978,244 | ||||||||||
912828TX8 | US912828TX89 | B8RBQS1 | UNITED STATES TREASURY | 0.38 | 11/15/2015 | 25,360,000 | $ | 25,388,657 | ||||||||||
912828UA6 | US912828UA67 | B99CZJ3 | UNITED STATES TREASURY | 0.63 | 11/30/2017 | 3,985,000 | $ | 3,967,586 | ||||||||||
912828UE8 | US912828UE89 | UNITED STATES TREASURY | 0.75 | 12/31/2017 | 148,750,000 | $ | 148,455,478 | |||||||||||
912828UG3 | US912828UG38 | B9CJZS0 | UNITED STATES TREASURY | 0.38 | 1/15/2016 | 2,585,000 | $ | 2,587,973 | ||||||||||
912828UH1 | US912828UH11 | B96LV84 | UNITED STATES TREASURY | 0.13 | 1/15/2023 | 12,000,000 | $ | 12,208,852 | ||||||||||
912828UJ7 | US912828UJ76 | B8KQNF9 | UNITED STATES TREASURY | 0.88 | 1/31/2018 | 12,315,000 | $ | 12,324,852 | ||||||||||
912828UM0 | US912828UM06 | B9JMDZ5 | UNITED STATES TREASURY | 0.38 | 2/15/2016 | 11,200,000 | $ | 11,210,976 | ||||||||||
912828UR9 | US912828UR92 | B9CJS47 | UNITED STATES TREASURY | 0.75 | 2/28/2018 | 300,000 | $ | 298,953 | ||||||||||
912828UU2 | US912828UU22 | B9442X7 | UNITED STATES TREASURY | 0.75 | 3/31/2018 | 250,000 | $ | 248,843 | ||||||||||
912828UW8 | US912828UW87 | B7G9894 | UNITED STATES TREASURY | 0.25 | 4/15/2016 | 1,846,000 | $ | 1,844,911 | ||||||||||
912828UZ1 | US912828UZ19 | B9HJVV0 | UNITED STATES TREASURY | 0.63 | 4/30/2018 | 250,000 | $ | 247,675 | ||||||||||
912828VC1 | US912828VC15 | B8W8CH8 | UNITED STATES TREASURY | 0.25 | 5/15/2016 | 22,500,000 | $ | 22,479,750 | ||||||||||
912828VE7 | US912828VE70 | BB2D0B4 | UNITED STATES TREASURY | 1.00 | 5/31/2018 | 250,000 | $ | 250,270 | ||||||||||
912828VG2 | US912828VG29 | BBHXQ77 | UNITED STATES TREASURY | 0.50 | 6/15/2016 | 550,000 | $ | 550,952 | ||||||||||
912828VH0 | US912828VH02 | BBPM6Z4 | UNITED STATES TREASURY | 0.38 | 6/30/2015 | 12,209,000 | $ | 12,217,914 | ||||||||||
912828VK3 | US912828VK31 | BBPLX94 | UNITED STATES TREASURY | 1.38 | 6/30/2018 | 250,000 | $ | 253,065 | ||||||||||
912828VR8 | US912828VR83 | BCT5QH8 | UNITED STATES TREASURY | 0.63 | 8/15/2016 | 500,000 | $ | 501,445 | ||||||||||
912828VW7 | US912828VW78 | BDFW3H9 | UNITED STATES TREASURY | 0.88 | 9/15/2016 | 500,000 | $ | 503,170 | ||||||||||
912828WA4 | US912828WA40 | BFGTXF1 | UNITED STATES TREASURY | 0.63 | 10/15/2016 | 500,000 | $ | 501,295 | ||||||||||
912828WD8 | US912828WD88 | BG3KW24 | UNITED STATES TREASURY | 1.25 | 10/31/2018 | 500,000 | $ | 502,675 | ||||||||||
912828WL0 | US912828WL05 | BMTSDK9 | UNITED STATES TREASURY | 1.50 | 5/31/2019 | 250,000 | $ | 252,665 |
Page 2
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
912828WM8 | US912828WM87 | BMTSDH6 | UNITED STATES TREASURY | 0.38 | 5/31/2016 | 2,550,000 | $ | 2,550,893 | ||||||||||
912828WP1 | US912828WP19 | UNITED STATES TREASURY | 0.88 | 6/15/2017 | 324,660,000 | $ | 326,387,185 | |||||||||||
912828WQ9 | US912828WQ91 | BNGY5T0 | UNITED STATES TREASURY | 0.50 | 6/30/2016 | 43,219,000 | $ | 43,293,337 | ||||||||||
912828WS5 | US912828WS57 | BNGY4N7 | UNITED STATES TREASURY | 1.63 | 6/30/2019 | 18,100,000 | $ | 18,382,721 | ||||||||||
912828WT3 | US912828WT31 | BP0S8M6 | UNITED STATES TREASURY | 0.88 | 7/15/2017 | 300,000 | $ | 301,491 | ||||||||||
912828WU0 | US912828WU04 | BP8S7P4 | UNITED STATES TREASURY | 0.13 | 7/15/2024 | 5,000,000 | $ | 4,925,864 | ||||||||||
912828WW6 | US912828WW69 | BPFJXW9 | UNITED STATES TREASURY | 1.63 | 7/31/2019 | 500,000 | $ | 507,425 | ||||||||||
912828WX4 | US912828WX43 | BPFJY82 | UNITED STATES TREASURY | 0.50 | 7/31/2016 | 21,350,000 | $ | 21,383,306 | ||||||||||
1,457,483,500 | $ | 1,467,356,353 | ||||||||||||||||
U.S Government Agencies | ||||||||||||||||||
3130A3J70 | US3130A3J704 | BSP6417 | FHLB | 0.63 | 11/23/2016 | 2,400,000 | $ | 2,403,120 | ||||||||||
3130A46J6 | US3130A46J69 | FHLB | 1.35 | 5/13/2015 | 100,000 | $ | 100,105 | |||||||||||
313379DD8 | US313379DD85 | B7XBP14 | FHLB | 1.00 | 6/21/2017 | 250,000 | $ | 251,600 | ||||||||||
3133802C0 | US3133802C00 | FHLB | 1.05 | 7/26/2017 | 50,000 | $ | 50,008 | |||||||||||
3133812C8 | US3133812C81 | FHLB | 1.50 | 5/8/2020 | 4,990,000 | $ | 4,915,544 | |||||||||||
3133EDXA5 | US3133EDXA53 | FEDERAL FARM CREDIT BANKS | 1.15 | 10/10/2017 | 150,000 | $ | 150,960 | |||||||||||
3134G3ZH6 | US3134G3ZH62 | FHLMC | 1.00 | 7/25/2017 | 75,000 | $ | 75,391 | |||||||||||
3134G5Z99 | US3134G5Z994 | FHLMC | 1.00 | 4/28/2015 | 100,000 | $ | 100,038 | |||||||||||
3135G0PQ0 | US3135G0PQ06 | B8F8WJ7 | FNMA | 0.88 | 10/26/2017 | 400,000 | $ | 400,628 | ||||||||||
3135G0RK1 | US3135G0RK18 | FNMA | 0.90 | 11/7/2017 | 100,000 | $ | 99,347 | |||||||||||
3135G0SY0 | US3135G0SY03 | FNMA | 1.60 | 12/24/2020 | 1,505,000 | $ | 1,467,827 | |||||||||||
3135G0VX8 | US3135G0VX82 | B9M1RS0 | FNMA | 0.63 | 9/26/2016 | 250,000 | $ | 250,565 | ||||||||||
3135G0XG3 | US3135G0XG32 | B96TX60 | FNMA | 1.00 | 5/21/2018 | 250,000 | $ | 246,545 | ||||||||||
3135G0YE7 | US3135G0YE74 | FNMA | 0.63 | 8/26/2016 | 250,000 | $ | 250,408 | |||||||||||
3135G0YM9 | US3135G0YM90 | BD4V139 | FNMA | 1.88 | 9/18/2018 | 41,400,000 | $ | 42,461,911 | ||||||||||
3135G0ZE6 | US3135G0ZE65 | FNMA | 1.75 | 6/20/2019 | 200,000 | $ | 203,382 | |||||||||||
3135G0ZG1 | US3135G0ZG14 | BPGB9X7 | FNMA | 1.75 | 9/12/2019 | 1,275,000 | $ | 1,295,400 | ||||||||||
3135G0ZL0 | US3135G0ZL09 | FNMA | 1.00 | 9/27/2017 | 100,000 | $ | 100,490 | |||||||||||
3137EADF3 | US3137EADF36 | B3ZC5X9 | FHLMC | 1.25 | 5/12/2017 | 6,000,000 | $ | 6,071,219 | ||||||||||
3137EADG1 | US3137EADG19 | B810P09 | FHLMC | 1.75 | 5/30/2019 | 200,000 | $ | 203,440 | ||||||||||
3137EADL0 | US3137EADL04 | FHLMC | 1.00 | 9/29/2017 | 200,000 | $ | 200,952 | |||||||||||
3137EADN6 | US3137EADN69 | B92FLL3 | FHLMC | 0.75 | 1/12/2018 | 600,000 | $ | 597,648 | ||||||||||
3137EADP1 | US3137EADP18 | B9DKC47 | FHLMC | 0.88 | 3/7/2018 | 20,300,000 | $ | 20,267,113 | ||||||||||
31398A4M1 | US31398A4M10 | B4KVFZ0 | FNMA | 1.63 | 10/26/2015 | 21,500,000 | $ | 21,676,513 | ||||||||||
742651DS8 | US742651DS87 | PRIVATE EXPORT FUNDING CORPORA | 1.88 | 7/15/2018 | 100,000 | $ | 101,273 | |||||||||||
742651DT6 | US742651DT60 | PRIVATE EXPORT FUNDING CORPORA | 3.55 | 1/15/2024 | 6,000,000 | $ | 6,477,000 | |||||||||||
108,745,000 | $ | 110,418,426 | ||||||||||||||||
Non U.S Government Securities & Agencies | ||||||||||||||||||
038461AC3 | US038461AC32 | AID-EGYPT | 4.45 | 9/15/2015 | 25,000,000 | $ | 25,417,500 | |||||||||||
12591DAA9 | US12591DAA90 | BLY1SL2 | CNOOC NEXEN FINANCE 2014 ULC | 1.63 | 4/30/2017 | 3,500,000 | $ | 3,492,009 | ||||||||||
135087A46 | CA135087A461 | B87DNX1 | CANADA GOVERNMENT | 1.50 | 9/1/2017 | 1,300,000 | $ | 1,051,158 | ||||||||||
135087A87 | CA135087A875 | B84XPW7 | CANADA GOVERNMENT | 1.25 | 3/1/2018 | 1,550,000 | $ | 1,252,532 | ||||||||||
135087B37 | CA135087B378 | B984NL8 | CANADA GOVERNMENT | 1.25 | 9/1/2018 | 7,500,000 | $ | 6,071,654 | ||||||||||
135087B60 | CA135087B600 | BFRB3S9 | CANADA GOVERNMENT | 1.50 | 2/1/2017 | 8,275,000 | $ | 6,651,035 | ||||||||||
135087B86 | CA135087B865 | BH4H328 | CANADA GOVERNMENT | 1.75 | 3/1/2019 | 1,300,000 | $ | 1,072,385 | ||||||||||
135087C69 | CA135087C699 | BKJBDW6 | CANADA GOVERNMENT | 1.00 | 5/1/2016 | 3,150,000 | $ | 2,501,023 | ||||||||||
135087C77 | US135087C776 | CANADA GOVERNMENT | 1.63 | 2/27/2019 | 6,800,000 | $ | 6,904,176 |
Page 3
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
135087C85 | CA135087C855 | BLRLRD4 | CANADA GOVERNMENT | 1.75 | 9/1/2019 | 3,000,000 | $ | 2,477,623 | ||||||||||
135087D27 | CA135087D275 | BN8SX52 | CANADA GOVERNMENT | 1.25 | 8/1/2017 | 5,315,000 | $ | 4,272,563 | ||||||||||
135087D92 | CA135087D929 | BRJG7P1 | CANADA GOVERNMENT | 1.50 | 3/1/2020 | 600,000 | $ | 490,233 | ||||||||||
135087ZQ0 | CA135087ZQ03 | CANADA GOVERNMENT | 2.75 | 9/1/2016 | 1,400,000 | $ | 1,140,461 | |||||||||||
135087ZV9 | CA135087ZV97 | B73X5J8 | CANADA GOVERNMENT | 1.50 | 3/1/2017 | 5,200,000 | $ | 4,185,826 | ||||||||||
268317AB0 | US268317AB08 | B3L9B47 | ELECTRICITE DE FRANCE | 6.50 | 1/26/2019 | 1,025,000 | $ | 1,198,879 | ||||||||||
268317AG9 | US268317AG94 | BJ38YM3 | ELECTRICITE DE FRANCE SA | 1.15 | 1/20/2017 | 2,925,000 | $ | 2,927,230 | ||||||||||
268317AJ3 | US268317AJ34 | BJ38YL2 | ELECTRICITE DE FRANCE | 2.15 | 1/22/2019 | 5,200,000 | $ | 5,261,684 | ||||||||||
302154BJ7 | US302154BJ77 | BDWZ0T2 | EXPORT-IMPORT BANK OF KOREA | 1.12 | 9/17/2016 | 1,400,000 | $ | 1,406,197 | ||||||||||
500769BM5 | US500769BM52 | B0YBXZ4 | KREDITANSTALT FUER WIEDERAUFBA | 4.38 | 2/9/2016 | 900,000 | $ | 731,739 | ||||||||||
82937WAA3 | US82937WAA36 | SINOPEC GROUP OVERSEAS DEVELOP | 1.75 | 4/10/2017 | 1,265,000 | $ | 1,265,452 | |||||||||||
85771PAW2 | US85771PAW23 | STATOILHYDRO ASA | 2.25 | 11/8/2019 | 3,560,000 | $ | 3,618,448 | |||||||||||
Q08184MN2 | AU3TB0000176 | BH6XD68 | AUSTRALIA COMMONWEALTH OF | 3.25 | 10/21/2018 | 750,000 | $ | 602,751 | ||||||||||
D206593A0 | DE0001141695 | BMM1Z98 | GERMANY (FEDERAL REPUBLIC OF) | 0.50 | 4/12/2019 | 6,195,000 | $ | 6,833,272 | ||||||||||
D206588D1 | DE0001141646 | B8N1Y25 | GERMANY (FEDERAL REPUBLIC OF) | 0.50 | 10/13/2017 | 9,040,000 | $ | 9,892,168 | ||||||||||
D20658P26 | DE0001135309 | B15CBK4 | GERMANY (FEDERAL REPUBLIC OF) | 4.00 | 7/4/2016 | 7,355,000 | $ | 8,321,012 | ||||||||||
G9244PAB0 | GB00B4YRFP41 | B4YRFP4 | UNITED KINGDOM GILT | 3.75 | 9/7/2019 | 2,960,000 | $ | 4,919,657 | ||||||||||
G92451GE0 | GB00B3Z3K594 | B3Z3K59 | UNITED KINGDOM GILT | 1.75 | 1/22/2017 | 6,965,000 | $ | 10,588,725 | ||||||||||
G9T44MEB4 | GB00B7F9S958 | B7F9S95 | UNITED KINGDOM GILT | 1.00 | 9/7/2017 | 570,000 | $ | 855,304 | ||||||||||
G9T44MFU1 | GB00B8KP6M44 | B8KP6M4 | UNITED KINGDOM GILT | 1.25 | 7/22/2018 | 2,325,000 | $ | 3,503,925 | ||||||||||
G9T44MHH8 | GB00BDV0F150 | BDV0F15 | UNITED KINGDOM GILT | 1.75 | 7/22/2019 | 2,980,000 | $ | 4,560,948 | ||||||||||
H7351MFG3 | CH0006448424 | 5259733 | SWITZERLAND (CONFEDERATION OF) | 4.25 | 6/5/2017 | 1,850,000 | $ | 2,116,843 | ||||||||||
P14486AG2 | XS0540451407 | B67VDM0 | BNDES-BRAZIL S DEVELOPMENT BAN | 4.13 | 9/15/2017 | 2,500,000 | $ | 2,739,648 | ||||||||||
Q08198AF2 | AU3TB0000184 | BPCWWY6 | AUSTRALIA COMMONWEALTH OF | 2.75 | 10/21/2019 | 1,125,000 | $ | 894,698 | ||||||||||
Q0819ACS7 | AU300TB01208 | B01GVV4 | AUSTRALIA COMMONWEALTH OF | 6.00 | 2/15/2017 | 23,675,000 | $ | 19,504,499 | ||||||||||
Q0819AEU0 | AU3TB0000077 | B46ZSG8 | AUSTRALIA COMMONWEALTH OF | 4.75 | 6/15/2016 | 2,080,000 | $ | 1,644,806 | ||||||||||
Q0819AFF2 | AU3TB0000093 | B4L1GW3 | AUSTRALIA COMMONWEALTH OF | 5.50 | 1/21/2018 | 2,420,000 | $ | 2,040,216 | ||||||||||
Q0819AFU9 | AU3TB0000127 | B6T0T05 | AUSTRALIA COMMONWEALTH OF | 4.25 | 7/21/2017 | 1,275,000 | $ | 1,029,839 | ||||||||||
Q2694KDZ4 | AU300TB01224 | B0WRQ00 | AUSTRALIA COMMONWEALTH OF | 5.25 | 3/15/2019 | 1,425,000 | $ | 1,234,102 | ||||||||||
Y2836BAG9 | HK0000194412 | BLNML73 | HONG KONG SPECIAL ADMIN REGION | 1.02 | 4/10/2017 | 190,000,000 | $ | 24,776,056 | ||||||||||
355,655,000 | $ | 189,448,277 | ||||||||||||||||
State & Municipal | ||||||||||||||||||
100853SH4 | US100853SH49 | BOSTON MASS | 5.00 | 3/1/2023 | 5,000,000 | $ | 6,197,950 | |||||||||||
116475K45 | US116475K456 | BROWNSVILLE TEX UTIL SYS REV | 5.00 | 9/1/2022 | 2,250,000 | $ | 2,681,145 | |||||||||||
13062PHG0 | US13062PHG00 | CALIFORNIA STATE OF | 5.25 | 2/1/2023 | 3,000,000 | $ | 3,711,720 | |||||||||||
13063BFV9 | US13063BFV99 | CALIFORNIA ST | 7.95 | 3/1/2020 | 1,000,000 | $ | 1,232,020 | |||||||||||
15504RFG9 | US15504RFG92 | CENTRAL PUGET SOUND REGIONAL T | 5.00 | 11/1/2022 | 2,500,000 | $ | 3,010,575 | |||||||||||
158843WM0 | US158843WM05 | CHANDLER ARIZ | 4.00 | 7/1/2022 | 2,000,000 | $ | 2,307,360 | |||||||||||
29270CWX9 | US29270CWX90 | ENERGY NORTHWEST | 5.00 | 7/1/2021 | 2,500,000 | $ | 3,014,350 |
Page 4
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
29270CXR1 | US29270CXR14 | ENERGY NORTHWEST | 5.00 | 7/1/2021 | 2,000,000 | $ | 2,393,060 | |||||||||||
33840MCT1 | US33840MCT18 | FLAGLER CNTY FLA SCH BRD | 5.00 | 8/1/2023 | 860,000 | $ | 1,019,504 | |||||||||||
419791S58 | US419791S586 | HAWAII ST- REF-EF | 5.00 | 11/1/2022 | 5,000,000 | $ | 6,082,450 | |||||||||||
45201YZG5 | US45201YZG50 | ILLINOIS HSG DEV AUTH | 2.75 | 8/1/2020 | 1,115,000 | $ | 1,134,223 | |||||||||||
452152UZ2 | US452152UZ20 | ILLINOIS STATE OF | 4.00 | 2/1/2023 | 1,750,000 | $ | 1,862,578 | |||||||||||
45528ULS8 | US45528ULS86 | INDIANAPOLIS IND LOC PUB IMPT | 5.00 | 1/1/2022 | 1,500,000 | $ | 1,756,935 | |||||||||||
5168234T5 | US5168234T52 | LAREDO TEX | 5.00 | 2/15/2021 | 1,365,000 | $ | 1,613,102 | |||||||||||
57582NH99 | US57582NH999 | MASSACHUSETTS ST | 5.50 | 12/1/2023 | 3,610,000 | $ | 4,630,511 | |||||||||||
576000MH3 | US576000MH30 | MASSACHUSETTS ST SCH BLDG AUTH | 5.00 | 8/15/2022 | 5,000,000 | $ | 6,091,950 | |||||||||||
576000MS9 | US576000MS94 | MASSACHUSETTS ST SCH BLDG AUTH | 5.00 | 8/15/2021 | 2,000,000 | $ | 2,409,620 | |||||||||||
5816462R6 | US5816462R69 | MCKINNEY TEX | 5.00 | 8/15/2024 | 2,000,000 | $ | 2,481,700 | |||||||||||
59333PH50 | US59333PH503 | MIAMI DADE CNTY FLA | 5.00 | 10/1/2022 | 1,500,000 | $ | 1,771,590 | |||||||||||
59447PKS9 | US59447PKS91 | MICHIGAN STATE FINANCE AUTHORI | 5.00 | 10/1/2021 | 2,000,000 | $ | 2,411,700 | |||||||||||
6461394W2 | US6461394W28 | NJ ST TPK AUTH TPK REV | 5.00 | 7/1/2024 | 2,000,000 | $ | 2,376,020 | |||||||||||
64966B3L5 | US64966B3L55 | NEW YORK N Y | 0.95 | 1/15/2016 | 5,250,000 | $ | 5,254,358 | |||||||||||
64966KYW7 | US64966KYW79 | NEW YORK NY | 5.00 | 8/1/2023 | 3,885,000 | $ | 4,715,341 | |||||||||||
64971M5E8 | US64971M5E83 | NEW YORK NY CITY TRANSITIONAL | 4.08 | 11/1/2020 | 2,500,000 | $ | 2,721,650 | |||||||||||
64971Q8R7 | US64971Q8R78 | NEW YORK NY CITY TRANSITIONAL | 5.00 | 11/1/2021 | 3,000,000 | $ | 3,617,160 | |||||||||||
6499026P3 | US6499026P31 | NEW YORK ST DORM AUTH | 4.00 | 8/15/2021 | 4,490,000 | $ | 5,094,579 | |||||||||||
64990ABC8 | US64990ABC80 | NEW YORK ST DORM AUTH | 5.00 | 3/15/2023 | 5,120,000 | $ | 6,312,192 | |||||||||||
64990EDE4 | US64990EDE41 | NEW YORK ST DORM AUTH | 5.00 | 12/15/2022 | 3,000,000 | $ | 3,697,680 | |||||||||||
678908ZU1 | US678908ZU19 | OKLAHOMA DEV FIN AUTH | 2.38 | 12/1/2021 | 1,000,000 | $ | 1,016,220 | |||||||||||
679110EF9 | US679110EF98 | OKLAHOMA ST STUDENT LN AUTH | 0.67 | 1/8/2024 | 614,250 | $ | 613,015 | |||||||||||
686507GA6 | US686507GA63 | ORLANDO FLA UTILS COMMN WTR &E | 5.00 | 10/1/2024 | 4,500,000 | $ | 5,626,305 | |||||||||||
74514LA80 | US74514LA800 | PUERTO RICO COMWLTH | 4.50 | 7/1/2025 | 1,100,000 | $ | 770,748 | |||||||||||
74514LBM8 | US74514LBM81 | PUERTO RICO COMWLTH | 5.13 | 7/1/2031 | 1,090,000 | $ | 752,231 | |||||||||||
74514LC54 | US74514LC541 | PUERTO RICO COMWLTH | 5.00 | 7/1/2021 | 1,135,000 | $ | 852,487 | |||||||||||
74514LE86 | US74514LE869 | PUERTO RICO COMWLTH | 8.00 | 7/1/2035 | 6,115,000 | $ | 5,022,127 | |||||||||||
74514LQA8 | US74514LQA88 | PUERTO RICO COMWLTH | 5.25 | 7/1/2027 | 3,860,000 | $ | 2,751,215 | |||||||||||
74514LWA1 | US74514LWA15 | PUERTO RICO COMWLTH | 6.00 | 7/1/2039 | 2,325,000 | $ | 1,598,391 | |||||||||||
74514LWS2 | US74514LWS23 | PUERTO RICO COMWLTH | 6.50 | 7/1/2040 | 2,325,000 | $ | 1,662,515 | |||||||||||
74514LWZ6 | US74514LWZ65 | PUERTO RICO COMWLTH | 6.00 | 7/1/2035 | 655,000 | $ | 456,869 | |||||||||||
74514LYW1 | US74514LYW17 | BFWV577 | PUERTO RICO COMWLTH | 5.75 | 7/1/2041 | 1,760,000 | $ | 1,185,782 | ||||||||||
745185BF4 | US745185BF41 | PUERTO RICO COMWLTH HWY & TRAN | 5.55 | 7/1/2018 | 3,280,000 | $ | 2,841,464 | |||||||||||
745185BG2 | US745185BG24 | PUERTO RICO COMWLTH HWY & TRAN | 5.65 | 7/1/2020 | 14,305,000 | $ | 11,836,243 | |||||||||||
745185BP2 | US745185BP23 | PUERTO RICO COMWLTH HWY & TRAN | 5.85 | 3/1/2027 | 4,970,000 | $ | 3,754,835 | |||||||||||
745185BQ0 | US745185BQ06 | PUERTO RICO COMWLTH HWY & TRAN | 5.85 | 7/1/2025 | 1,295,000 | $ | 986,570 | |||||||||||
74526QA28 | US74526QA282 | PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2042 | 730,000 | $ | 426,211 | |||||||||||
74526QVX7 | US74526QVX77 | PUERTO RICO ELEC PWR AUTH | 5.25 | 7/1/2040 | 860,000 | $ | 502,154 | |||||||||||
74526QXH0 | US74526QXH00 | BQRX1Q6 | PUERTO RICO ELEC PWR AUTH | 5.25 | 7/1/2019 | 860,000 | $ | 509,421 | ||||||||||
74526QXT4 | US74526QXT48 | PUERTO RICO ELEC PWR AUTH | 6.13 | 7/1/2040 | 7,980,000 | $ | 4,509,179 |
Page 5
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
74526QZB1 | US74526QZB12 | PUERTO RICO ELEC PWR AUTH | 5.40 | 7/1/2028 | 210,000 | $ | 122,848 | |||||||||||
74526QZL9 | US74526QZL93 | PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2020 | 2,000,000 | $ | 1,182,920 | |||||||||||
74526QZR6 | US74526QZR63 | PUERTO RICO ELEC PWR AUTH PWR | 5.95 | 6/30/2030 | 715,000 | $ | 417,396 | |||||||||||
74526QZS4 | US74526QZS47 | PUERTO RICO ELEC PWR AUTH | 6.05 | 7/1/2032 | 3,610,000 | $ | 2,102,861 | |||||||||||
74527BTW4 | US74527BTW45 | PUERTO RICO INDL TOURIST EDL M | 7.25 | 4/1/2041 | 8,855,000 | $ | 5,613,804 | |||||||||||
74527BUA0 | US74527BUA06 | PUERTO RICO INDL TOURIST EDL M | 7.10 | 4/1/2038 | 1,720,000 | $ | 1,092,750 | |||||||||||
759136RD8 | US759136RD87 | REGIONAL TRANSN DIST COLO | 5.00 | 11/1/2022 | 3,165,000 | $ | 3,882,759 | |||||||||||
785870UM6 | US785870UM60 | SACRAMENTO CALIF CITY UNI SCH | 5.00 | 7/1/2023 | 1,750,000 | $ | 2,141,493 | |||||||||||
794665FJ3 | US794665FJ32 | NY ST STAR | 4.00 | 10/15/2022 | 2,000,000 | $ | 2,326,880 | |||||||||||
815626MK9 | US815626MK98 | SEDGWICK CNTY KANS UNI SCH DIS | 5.00 | 10/1/2022 | 1,500,000 | $ | 1,789,905 | |||||||||||
898735SQ9 | US898735SQ90 | TUCSON ARIZ CTFS PARTN | 4.00 | 7/1/2024 | 2,750,000 | $ | 3,092,348 | |||||||||||
914119VD1 | US914119VD18 | UNIVERSITY CINCINNATI OHIO | 5.00 | 6/1/2022 | 1,535,000 | $ | 1,857,457 | |||||||||||
91412GSB2 | US91412GSB22 | UNIVERSITY CALIFORNIA | 1.80 | 7/1/2019 | 7,500,000 | $ | 7,533,976 | |||||||||||
93974C8C7 | US93974C8C74 | WASHINGTON STATE | 5.00 | 7/1/2023 | 5,000,000 | $ | 6,116,300 | |||||||||||
180,264,250 | $ | 178,550,700 | ||||||||||||||||
AGENCY MBS | ||||||||||||||||||
01F030447 | FNMA | 3.00 | 9/6/2021 | 400,000 | $ | 419,313 | ||||||||||||
01F032641 | FNMA | 3.50 | 4/9/2030 | 350,000 | $ | 367,664 | ||||||||||||
01F040644 | FNMA | 4.00 | 3/19/2029 | 250,000 | $ | 267,305 | ||||||||||||
21H030641 | GNMA | 3.00 | 4/1/2031 | 250,000 | $ | 257,520 | ||||||||||||
21H040640 | US21H0406403 | GNMA | 4.00 | 11/16/2031 | 200,000 | $ | 213,000 | |||||||||||
31283HVE2 | FHLMC | 6.00 | 11/1/2025 | 5,733 | $ | 6,603 | ||||||||||||
31283HWZ4 | US31283HWZ45 | FHLMC | 6.00 | 1/7/2026 | 4,021 | $ | 4,631 | |||||||||||
31283K4C9 | US31283K4C98 | FHLMC | 5.00 | 12/30/2017 | 2,100,871 | $ | 2,219,166 | |||||||||||
31288HRU6 | US31288HRU67 | FHLMC | 6.00 | 12/15/2025 | 6,958 | $ | 8,095 | |||||||||||
3128GNW87 | FHLMC | 5.00 | 2/5/2016 | 335 | $ | 338 | ||||||||||||
3128GNY77 | FHLMC | 5.00 | 2/5/2016 | 1,652 | $ | 1,735 | ||||||||||||
3128GP3U5 | FHLMC | 5.00 | 3/6/2016 | 283 | $ | 291 | ||||||||||||
3128GP3V3 | FHLMC | 5.00 | 3/6/2016 | 1,227 | $ | 1,289 | ||||||||||||
3128GP4U4 | FHLMC | 5.00 | 3/7/2016 | 1,394 | $ | 1,416 | ||||||||||||
3128GPSA2 | FHLMC | 5.00 | 2/20/2016 | 586 | $ | 590 | ||||||||||||
3128GQ3Q2 | FHLMC | 5.00 | 3/21/2016 | 607 | $ | 625 | ||||||||||||
3128GQ6E6 | FHLMC | 5.00 | 3/21/2016 | 525 | $ | 551 | ||||||||||||
3128GQGA3 | FHLMC | 5.00 | 3/5/2016 | 802 | $ | 843 | ||||||||||||
3128GQJT9 | FHLMC | 5.00 | 3/6/2016 | 1,057 | $ | 1,072 | ||||||||||||
3128GQK26 | FHLMC | 5.00 | 3/6/2016 | 1,077 | $ | 1,131 | ||||||||||||
3128GQK34 | FHLMC | 5.00 | 3/6/2016 | 27 | $ | 27 | ||||||||||||
3128GQKB6 | FHLMC | 5.00 | 3/6/2016 | 327 | $ | 329 | ||||||||||||
3128GQP54 | FHLMC | 5.00 | 3/6/2016 | 1,839 | $ | 1,875 | ||||||||||||
3128GQQQ7 | FHLMC | 5.00 | 3/21/2016 | 1,240 | $ | 1,285 | ||||||||||||
3128GQQZ7 | FHLMC | 5.00 | 3/21/2016 | 1,191 | $ | 1,251 | ||||||||||||
3128GQSG7 | FHLMC | 5.00 | 3/21/2016 | 444 | $ | 447 | ||||||||||||
3128GQU58 | FHLMC | 5.00 | 3/21/2016 | 680 | $ | 714 | ||||||||||||
3128GQVB4 | FHLMC | 5.00 | 3/21/2016 | 492 | $ | 507 | ||||||||||||
3128GQW49 | FHLMC | 5.00 | 3/21/2016 | 1,854 | $ | 1,948 |
Page 6
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3128GR3Y3 | FHLMC | 5.00 | 3/21/2016 | 2,320 | $ | 2,438 | ||||||||||||
3128GR6N4 | FHLMC | 5.00 | 4/22/2016 | 1,426 | $ | 1,498 | ||||||||||||
3128GRBH1 | FHLMC | 5.00 | 3/21/2016 | 248 | $ | 249 | ||||||||||||
3128GRFT1 | FHLMC | 5.00 | 4/7/2016 | 1,464 | $ | 1,537 | ||||||||||||
3128GRJD2 | FHLMC | 5.00 | 4/7/2016 | 332 | $ | 349 | ||||||||||||
3128GRLA5 | FHLMC | 5.00 | 4/7/2016 | 2,528 | $ | 2,656 | ||||||||||||
3128GRM71 | FHLMC | 5.00 | 4/7/2016 | 401 | $ | 404 | ||||||||||||
3128GRQA0 | FHLMC | 5.00 | 4/7/2016 | 1,134 | $ | 1,168 | ||||||||||||
3128GRSP5 | FHLMC | 5.00 | 4/7/2016 | 588 | $ | 596 | ||||||||||||
3128GRSY6 | FHLMC | 5.00 | 4/7/2016 | 790 | $ | 830 | ||||||||||||
3128GRUF4 | FHLMC | 5.00 | 4/7/2016 | 410 | $ | 412 | ||||||||||||
3128GRUT4 | FHLMC | 5.00 | 4/7/2016 | 2,133 | $ | 2,211 | ||||||||||||
3128GRWQ8 | FHLMC | 5.00 | 3/21/2016 | 163 | $ | 163 | ||||||||||||
3128GRYD5 | FHLMC | 5.00 | 4/22/2016 | 47 | $ | 47 | ||||||||||||
3128GS5Y9 | FHLMC | 5.00 | 4/22/2016 | 827 | $ | 835 | ||||||||||||
3128GSDJ3 | FHLMC | 5.00 | 4/22/2016 | 2,084 | $ | 2,189 | ||||||||||||
3128GSGB7 | FHLMC | 5.00 | 4/22/2016 | 1,720 | $ | 1,807 | ||||||||||||
3128GSGU5 | FHLMC | 5.00 | 4/22/2016 | 2,834 | $ | 2,978 | ||||||||||||
3128GSKE6 | FHLMC | 5.00 | 4/22/2016 | 1,910 | $ | 2,006 | ||||||||||||
3128GSKV8 | FHLMC | 5.00 | 4/22/2016 | 1,909 | $ | 1,948 | ||||||||||||
3128GSLX3 | FHLMC | 5.00 | 4/22/2016 | 169 | $ | 171 | ||||||||||||
3128GSLY1 | FHLMC | 5.00 | 4/22/2016 | 1,258 | $ | 1,321 | ||||||||||||
3128GSNL7 | FHLMC | 5.00 | 4/22/2016 | 726 | $ | 733 | ||||||||||||
3128GSQN0 | FHLMC | 5.00 | 4/22/2016 | 2,018 | $ | 2,099 | ||||||||||||
3128GSSN8 | FHLMC | 5.00 | 4/22/2016 | 3,665 | $ | 3,850 | ||||||||||||
3128GV2N9 | FHLMC | 5.00 | 7/25/2016 | 6,238 | $ | 6,554 | ||||||||||||
3128GV3C2 | FHLMC | 5.00 | 7/26/2016 | 2,510 | $ | 2,637 | ||||||||||||
3128GV3D0 | FHLMC | 5.00 | 7/26/2016 | 4,090 | $ | 4,296 | ||||||||||||
3128GV3Z1 | FHLMC | 5.00 | 7/26/2016 | 5,119 | $ | 5,378 | ||||||||||||
3128GV7G9 | FHLMC | 5.00 | 7/26/2016 | 1,418 | $ | 1,483 | ||||||||||||
3128GVBY5 | FHLMC | 5.00 | 6/25/2016 | 297 | $ | 312 | ||||||||||||
3128GVH94 | FHLMC | 5.00 | 7/10/2016 | 813 | $ | 823 | ||||||||||||
3128GVJA9 | FHLMC | 5.00 | 7/10/2016 | 1,575 | $ | 1,654 | ||||||||||||
3128GVJB7 | FHLMC | 5.00 | 7/11/2016 | 1,252 | $ | 1,308 | ||||||||||||
3128GVJQ4 | FHLMC | 5.00 | 7/11/2016 | 1,331 | $ | 1,398 | ||||||||||||
3128GVLF5 | FHLMC | 5.00 | 7/10/2016 | 794 | $ | 808 | ||||||||||||
3128GVLH1 | FHLMC | 5.00 | 7/10/2016 | 1,532 | $ | 1,609 | ||||||||||||
3128GVLJ7 | FHLMC | 5.00 | 7/11/2016 | 3,373 | $ | 3,543 | ||||||||||||
3128GVMM9 | FHLMC | 5.00 | 6/25/2016 | 444 | $ | 446 | ||||||||||||
3128GVNL0 | FHLMC | 5.00 | 7/11/2016 | 1,242 | $ | 1,297 | ||||||||||||
3128GVNM8 | FHLMC | 5.00 | 7/11/2016 | 1,401 | $ | 1,472 | ||||||||||||
3128GVNN6 | FHLMC | 5.00 | 7/11/2016 | 2,210 | $ | 2,400 | ||||||||||||
3128GVNV8 | FHLMC | 5.00 | 7/10/2016 | 245 | $ | 246 | ||||||||||||
3128GVNX4 | FHLMC | 5.00 | 7/10/2016 | 13,725 | $ | 14,418 | ||||||||||||
3128GVPM6 | FHLMC | 5.00 | 7/11/2016 | 1,256 | $ | 1,320 | ||||||||||||
3128GVPN4 | FHLMC | 5.00 | 7/11/2016 | 1,013 | $ | 1,058 | ||||||||||||
3128GVPP9 | FHLMC | 5.00 | 7/11/2016 | 2,266 | $ | 2,381 | ||||||||||||
3128GVQH6 | FHLMC | 5.00 | 7/11/2016 | 4,302 | $ | 4,520 | ||||||||||||
3128GVRA0 | FHLMC | 5.00 | 7/11/2016 | 467 | $ | 471 | ||||||||||||
3128GVRC6 | FHLMC | 5.00 | 7/11/2016 | 1,247 | $ | 1,310 | ||||||||||||
3128GVRE2 | FHLMC | 5.00 | 7/10/2016 | 1,931 | $ | 1,965 | ||||||||||||
3128GVRS1 | FHLMC | 5.00 | 7/11/2016 | 782 | $ | 793 |
Page 7
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3128GVRT9 | FHLMC | 5.00 | 7/11/2016 | 2,275 | $ | 2,390 | ||||||||||||
3128GVRY8 | FHLMC | 5.00 | 7/11/2016 | 10,411 | $ | 10,937 | ||||||||||||
3128GVT83 | FHLMC | 5.00 | 7/11/2016 | 3,346 | $ | 3,515 | ||||||||||||
3128GVTN0 | FHLMC | 5.00 | 7/11/2016 | 1,467 | $ | 1,487 | ||||||||||||
3128GVTW0 | FHLMC | 5.00 | 7/11/2016 | 2,269 | $ | 2,384 | ||||||||||||
3128GVUD0 | FHLMC | 5.00 | 7/11/2016 | 195 | $ | 199 | ||||||||||||
3128GVUE8 | FHLMC | 5.00 | 7/11/2016 | 1,946 | $ | 2,044 | ||||||||||||
3128GVUX6 | FHLMC | 5.00 | 7/26/2016 | 1,195 | $ | 1,213 | ||||||||||||
3128GVVE7 | FHLMC | 5.00 | 7/26/2016 | 5,894 | $ | 6,192 | ||||||||||||
3128GVVF4 | FHLMC | 5.00 | 7/26/2016 | 2,341 | $ | 2,459 | ||||||||||||
3128GVVJ6 | FHLMC | 5.00 | 7/25/2016 | 5,058 | $ | 5,314 | ||||||||||||
3128GVVY3 | FHLMC | 5.00 | 7/26/2016 | 2,310 | $ | 2,427 | ||||||||||||
3128GVW22 | FHLMC | 5.00 | 7/11/2016 | 801 | $ | 842 | ||||||||||||
3128GVW89 | FHLMC | 5.00 | 7/26/2016 | 1,511 | $ | 1,588 | ||||||||||||
3128GVZV5 | FHLMC | 5.00 | 7/26/2016 | 2,627 | $ | 2,759 | ||||||||||||
3128GW5Q7 | FHLMC | 5.00 | 8/12/2016 | 2,813 | $ | 2,965 | ||||||||||||
3128GW6G8 | FHLMC | 5.00 | 8/11/2016 | 1,510 | $ | 1,586 | ||||||||||||
3128GWAQ1 | FHLMC | 5.00 | 7/25/2016 | 432 | $ | 435 | ||||||||||||
3128GWAT5 | FHLMC | 5.00 | 7/26/2016 | 4,232 | $ | 4,446 | ||||||||||||
3128GWAU2 | FHLMC | 5.00 | 7/26/2016 | 5,070 | $ | 5,326 | ||||||||||||
3128GWB49 | FHLMC | 5.00 | 7/26/2016 | 310 | $ | 325 | ||||||||||||
3128GWB80 | FHLMC | 5.00 | 7/26/2016 | 3,267 | $ | 3,432 | ||||||||||||
3128GWBH0 | FHLMC | 5.00 | 7/26/2016 | 3,118 | $ | 3,276 | ||||||||||||
3128GWC89 | FHLMC | 5.00 | 7/27/2016 | 1,602 | $ | 1,683 | ||||||||||||
3128GWCL0 | FHLMC | 5.00 | 7/27/2016 | 3,011 | $ | 3,163 | ||||||||||||
3128GWCW6 | FHLMC | 5.00 | 7/26/2016 | 1,436 | $ | 1,509 | ||||||||||||
3128GWDP0 | FHLMC | 5.00 | 7/27/2016 | 1,769 | $ | 1,858 | ||||||||||||
3128GWEG9 | FHLMC | 5.00 | 7/27/2016 | 8,122 | $ | 8,532 | ||||||||||||
3128GWEK0 | FHLMC | 5.00 | 7/26/2016 | 2,420 | $ | 2,543 | ||||||||||||
3128GWEP9 | FHLMC | 5.00 | 7/26/2016 | 685 | $ | 714 | ||||||||||||
3128GWF86 | FHLMC | 5.00 | 7/26/2016 | 2,316 | $ | 2,433 | ||||||||||||
3128GWFN3 | FHLMC | 5.00 | 7/27/2016 | 1,739 | $ | 1,813 | ||||||||||||
3128GWHH4 | FHLMC | 5.00 | 7/26/2016 | 1,255 | $ | 1,318 | ||||||||||||
3128GWJG4 | FHLMC | 5.00 | 8/12/2016 | 4,704 | $ | 4,942 | ||||||||||||
3128GWK31 | FHLMC | 5.00 | 7/26/2016 | 1,848 | $ | 1,942 | ||||||||||||
3128GWK56 | FHLMC | 5.00 | 8/12/2016 | 3,291 | $ | 3,457 | ||||||||||||
3128GWMS4 | FHLMC | 5.00 | 8/12/2016 | 1,434 | $ | 1,506 | ||||||||||||
3128GWP85 | FHLMC | 5.00 | 8/11/2016 | 1,557 | $ | 1,625 | ||||||||||||
3128GWQ27 | FHLMC | 5.00 | 8/12/2016 | 3,986 | $ | 4,188 | ||||||||||||
3128GWQ92 | FHLMC | 5.00 | 8/12/2016 | 2,612 | $ | 2,744 | ||||||||||||
3128GWQN1 | FHLMC | 5.00 | 8/11/2016 | 2,369 | $ | 2,488 | ||||||||||||
3128GWQY7 | FHLMC | 5.00 | 8/12/2016 | 891 | $ | 906 | ||||||||||||
3128GWR42 | FHLMC | 5.00 | 8/12/2016 | 3,559 | $ | 3,738 | ||||||||||||
3128GWV21 | FHLMC | 5.00 | 8/11/2016 | 3,305 | $ | 3,472 | ||||||||||||
3128GWVL9 | FHLMC | 5.00 | 8/11/2016 | 506 | $ | 532 | ||||||||||||
3128GWWM6 | FHLMC | 5.00 | 8/11/2016 | 372 | $ | 391 | ||||||||||||
3128GWXD5 | FHLMC | 5.00 | 8/11/2016 | 1,800 | $ | 1,889 | ||||||||||||
3128GWYS1 | FHLMC | 5.00 | 8/12/2016 | 226 | $ | 238 | ||||||||||||
3128GWZQ4 | FHLMC | 5.00 | 8/11/2016 | 2,142 | $ | 2,250 | ||||||||||||
3128GXAX4 | FHLMC | 5.00 | 8/12/2016 | 6,902 | $ | 7,251 | ||||||||||||
3128GXBC9 | FHLMC | 5.00 | 8/12/2016 | 1,133 | $ | 1,153 | ||||||||||||
3128GXEA0 | US3128GXEA08 | FHLMC | 5.00 | 8/27/2016 | 2,164 | $ | 2,273 |
Page 8
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3128GXEK8 | FHLMC | 5.00 | 8/27/2016 | 1,144 | $ | 1,202 | ||||||||||||
3128GXFT8 | FHLMC | 5.00 | 8/28/2016 | 3,877 | $ | 4,073 | ||||||||||||
3128GXHA7 | FHLMC | 5.00 | 8/28/2016 | 3,268 | $ | 3,433 | ||||||||||||
3128GXHQ2 | FHLMC | 5.00 | 8/27/2016 | 4,590 | $ | 4,822 | ||||||||||||
3128GXN36 | FHLMC | 5.00 | 8/27/2016 | 4,116 | $ | 4,324 | ||||||||||||
3128GY2H6 | FHLMC | 5.00 | 9/29/2016 | 3,559 | $ | 3,740 | ||||||||||||
3128GYF66 | FHLMC | 5.00 | 9/13/2016 | 818 | $ | 826 | ||||||||||||
3128GYG73 | FHLMC | 5.00 | 9/13/2016 | 4,063 | $ | 4,270 | ||||||||||||
3128GYKK9 | FHLMC | 5.00 | 9/13/2016 | 270 | $ | 283 | ||||||||||||
3128GYNT7 | FHLMC | 5.00 | 9/29/2016 | 618 | $ | 623 | ||||||||||||
3128GYQC1 | FHLMC | 5.00 | 9/30/2016 | 3,273 | $ | 3,441 | ||||||||||||
3128GYS88 | FHLMC | 5.00 | 9/29/2016 | 33 | $ | 35 | ||||||||||||
3128GYTW4 | FHLMC | 5.00 | 9/29/2016 | 642 | $ | 648 | ||||||||||||
3128GYU44 | FHLMC | 5.00 | 9/29/2016 | 2,439 | $ | 2,563 | ||||||||||||
3128GYU51 | FHLMC | 5.00 | 9/29/2016 | 2,766 | $ | 2,907 | ||||||||||||
3128GYV35 | FHLMC | 5.00 | 9/29/2016 | 5,019 | $ | 5,275 | ||||||||||||
3128GYVB7 | FHLMC | 5.50 | 9/30/2016 | 22,084 | $ | 22,921 | ||||||||||||
3128GYVZ4 | FHLMC | 5.00 | 9/29/2016 | 3,397 | $ | 3,570 | ||||||||||||
3128GYZE7 | FHLMC | 5.00 | 9/29/2016 | 2,485 | $ | 2,611 | ||||||||||||
3128H22V4 | FHLMC | 5.00 | 11/1/2016 | 1,794 | $ | 1,886 | ||||||||||||
3128H25K5 | FHLMC | 5.00 | 10/30/2016 | 911 | $ | 920 | ||||||||||||
3128H26M0 | FHLMC | 5.50 | 10/16/2016 | 203,198 | $ | 210,898 | ||||||||||||
3128H26W8 | FHLMC | 5.50 | 9/30/2016 | 101,312 | $ | 105,152 | ||||||||||||
3128H27K3 | FHLMC | 5.00 | 10/30/2016 | 575 | $ | 580 | ||||||||||||
3128H2B69 | FHLMC | 5.00 | 9/28/2016 | 5,575 | $ | 5,859 | ||||||||||||
3128H2B77 | FHLMC | 5.00 | 9/30/2016 | 5,385 | $ | 5,660 | ||||||||||||
3128H2B85 | FHLMC | 5.00 | 9/29/2016 | 3,709 | $ | 3,898 | ||||||||||||
3128H2C84 | FHLMC | 5.00 | 9/29/2016 | 315 | $ | 319 | ||||||||||||
3128H2E41 | FHLMC | 5.00 | 10/15/2016 | 4,151 | $ | 4,362 | ||||||||||||
3128H2ED1 | FHLMC | 5.00 | 9/29/2016 | 7,679 | $ | 8,071 | ||||||||||||
3128H2EG4 | FHLMC | 5.00 | 9/30/2016 | 5,080 | $ | 5,339 | ||||||||||||
3128H2LV3 | FHLMC | 5.00 | 9/29/2016 | 3,653 | $ | 3,840 | ||||||||||||
3128H2LY7 | FHLMC | 5.00 | 10/15/2016 | 2,165 | $ | 2,276 | ||||||||||||
3128H2QV8 | FHLMC | 5.00 | 10/15/2016 | 5,537 | $ | 5,820 | ||||||||||||
3128H2T86 | FHLMC | 5.00 | 10/15/2016 | 130 | $ | 136 | ||||||||||||
3128H2TF0 | FHLMC | 5.00 | 10/15/2016 | 5,270 | $ | 5,539 | ||||||||||||
3128H2TJ2 | FHLMC | 5.00 | 10/15/2016 | 371 | $ | 373 | ||||||||||||
3128H2TW3 | FHLMC | 5.00 | 10/16/2016 | 4,338 | $ | 4,559 | ||||||||||||
3128H2VW0 | FHLMC | 5.00 | 10/15/2016 | 6,246 | $ | 6,564 | ||||||||||||
3128H2YM9 | FHLMC | 5.00 | 10/15/2016 | 801 | $ | 815 | ||||||||||||
3128H2YN7 | FHLMC | 5.00 | 10/14/2016 | 1,541 | $ | 1,626 | ||||||||||||
3128H2YS6 | FHLMC | 5.00 | 10/16/2016 | 1,528 | $ | 1,618 | ||||||||||||
3128H2ZJ5 | FHLMC | 5.00 | 10/15/2016 | 1,930 | $ | 2,034 | ||||||||||||
3128H2ZT3 | FHLMC | 5.00 | 10/30/2016 | 1,389 | $ | 1,458 | ||||||||||||
3128H2ZU0 | FHLMC | 5.00 | 11/1/2016 | 4,336 | $ | 4,558 | ||||||||||||
3128H32W0 | FHLMC | 5.00 | 11/1/2016 | 2,580 | $ | 2,710 | ||||||||||||
3128H3C25 | FHLMC | 5.00 | 11/1/2016 | 687 | $ | 694 | ||||||||||||
3128H3CD1 | FHLMC | 5.00 | 11/1/2016 | 1,629 | $ | 1,712 | ||||||||||||
3128H3FG1 | FHLMC | 5.00 | 11/1/2016 | 2,751 | $ | 2,892 | ||||||||||||
3128H3MN8 | FHLMC | 5.00 | 11/1/2016 | 5,377 | $ | 5,651 | ||||||||||||
3128H3N72 | FHLMC | 5.00 | 10/30/2016 | 1,774 | $ | 1,875 | ||||||||||||
3128H3RY9 | FHLMC | 5.00 | 11/16/2016 | 4,832 | $ | 5,079 |
Page 9
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3128H3S36 | FHLMC | 5.00 | 11/2/2016 | 2,863 | $ | 3,009 | ||||||||||||
3128H3SZ5 | FHLMC | 5.00 | 11/17/2016 | 3,524 | $ | 3,704 | ||||||||||||
3128H3V65 | FHLMC | 5.00 | 11/16/2016 | 1,227 | $ | 1,246 | ||||||||||||
3128H3WF4 | FHLMC | 5.00 | 11/1/2016 | 2,675 | $ | 2,812 | ||||||||||||
3128H3XU0 | FHLMC | 5.00 | 11/16/2016 | 3,125 | $ | 3,308 | ||||||||||||
3128H45V7 | FHLMC | 5.00 | 12/3/2016 | 3,827 | $ | 4,022 | ||||||||||||
3128H4J59 | FHLMC | 5.00 | 12/2/2016 | 2,496 | $ | 2,624 | ||||||||||||
3128H4JG5 | FHLMC | 5.00 | 11/17/2016 | 2,930 | $ | 3,097 | ||||||||||||
3128H4JT7 | FHLMC | 5.00 | 12/2/2016 | 6,271 | $ | 6,591 | ||||||||||||
3128H5JX5 | FHLMC | 5.00 | 12/18/2016 | 5,348 | $ | 5,620 | ||||||||||||
3128H5RP3 | FHLMC | 5.00 | 12/19/2016 | 3,351 | $ | 3,557 | ||||||||||||
3128H5TK2 | FHLMC | 5.00 | 12/18/2016 | 7,408 | $ | 7,786 | ||||||||||||
3128H6BG8 | FHLMC | 5.00 | 12/19/2016 | 5,904 | $ | 6,205 | ||||||||||||
3128H6CZ5 | FHLMC | 5.00 | 12/18/2016 | 4,510 | $ | 4,740 | ||||||||||||
3128H6FR0 | FHLMC | 5.00 | 1/3/2017 | 4,068 | $ | 4,275 | ||||||||||||
3128H6FU3 | FHLMC | 5.00 | 1/4/2017 | 2,050 | $ | 2,179 | ||||||||||||
3128H6WU4 | FHLMC | 5.50 | 1/6/2017 | 79,115 | $ | 83,174 | ||||||||||||
3128H6XM1 | FHLMC | 5.00 | 1/4/2017 | 1,413 | $ | 1,485 | ||||||||||||
3128H6ZC1 | FHLMC | 5.50 | 12/20/2016 | 26,474 | $ | 27,832 | ||||||||||||
3128H77K2 | FHLMC | 5.50 | 2/10/2017 | 86,886 | $ | 91,343 | ||||||||||||
3128JLDM8 | US3128JLDM89 | FHLMC | 2.28 | 3/23/2025 | 106,554 | $ | 113,213 | |||||||||||
3128JLEY1 | US3128JLEY19 | FHLMC | 2.28 | 3/23/2025 | 179,728 | $ | 191,960 | |||||||||||
3128JLHB8 | US3128JLHB88 | FHLMC | 2.25 | 3/20/2025 | 34,564 | $ | 36,987 | |||||||||||
3128JMW45 | US3128JMW456 | FHLMC | 2.40 | 12/7/2025 | 51,868 | $ | 55,932 | |||||||||||
3128JMY68 | US3128JMY684 | FHLMC | 2.49 | 12/17/2025 | 62,516 | $ | 67,776 | |||||||||||
3128JMZG5 | US3128JMZG56 | FHLMC | 2.41 | 12/8/2025 | 92,294 | $ | 99,512 | |||||||||||
3128JNAL9 | US3128JNAL99 | FHLMC | 2.49 | 2/9/2026 | 116,969 | $ | 126,190 | |||||||||||
3128JRP26 | US3128JRP269 | FHLMC | 2.32 | 5/18/2025 | 1,164,678 | $ | 1,236,129 | |||||||||||
3128K17K1 | FHLMC | 5.00 | 9/12/2027 | 330,774 | $ | 367,396 | ||||||||||||
3128KA4Z1 | US3128KA4Z14 | FHLMC | 6.00 | 3/14/2028 | 26,492 | $ | 30,280 | |||||||||||
3128KALC3 | FHLMC | 6.00 | 3/21/2028 | 1,822 | $ | 2,068 | ||||||||||||
3128KE5H2 | FHLMC | 6.50 | 8/19/2028 | 110,506 | $ | 127,113 | ||||||||||||
3128KLSB4 | FHLMC | 5.00 | 6/15/2028 | 239,910 | $ | 265,643 | ||||||||||||
3128KU3J4 | US3128KU3J47 | FHLMC | 6.00 | 1/13/2029 | 100,101 | $ | 113,717 | |||||||||||
3128KULK1 | US3128KULK12 | FHLMC | 6.00 | 1/11/2029 | 1,615 | $ | 1,834 | |||||||||||
3128KWH30 | FHLMC | 6.00 | 3/8/2029 | 16,342 | $ | 18,557 | ||||||||||||
3128KWMW0 | FHLMC | 6.00 | 4/12/2029 | 112,142 | $ | 127,601 | ||||||||||||
3128L0SP8 | US3128L0SP82 | FHLMC | 6.00 | 4/12/2029 | 3,013 | $ | 3,428 | |||||||||||
3128L0SR4 | FHLMC | 6.00 | 4/19/2029 | 152,223 | $ | 173,512 | ||||||||||||
3128L1WN6 | FHLMC | 5.50 | 4/3/2029 | 336,017 | $ | 376,913 | ||||||||||||
3128L1WP1 | US3128L1WP10 | FHLMC | 6.00 | 5/27/2029 | 22,106 | $ | 25,102 | |||||||||||
3128LAFP0 | FHLMC | 6.00 | 6/19/2029 | 58,616 | $ | 66,570 | ||||||||||||
3128LXUJ7 | FHLMC | 6.00 | 8/5/2028 | 81,801 | $ | 92,891 | ||||||||||||
3128M4GD9 | FHLMC | 6.00 | 9/19/2028 | 28,449 | $ | 32,306 | ||||||||||||
3128M4XA6 | US3128M4XA60 | FHLMC | 5.50 | 11/6/2028 | 902,367 | $ | 1,014,045 | |||||||||||
3128M4YR8 | FHLMC | 6.00 | 1/27/2029 | 73,705 | $ | 83,695 | ||||||||||||
3128M4ZP1 | FHLMC | 5.50 | 11/29/2028 | 369,611 | $ | 414,595 | ||||||||||||
3128M5GA2 | FHLMC | 6.00 | 3/10/2029 | 60,337 | $ | 68,515 | ||||||||||||
3128M5NP1 | FHLMC | 6.00 | 5/3/2029 | 1,425 | $ | 1,618 | ||||||||||||
3128M5RA0 | US3128M5RA00 | FHLMC | 6.00 | 6/5/2029 | 7,896 | $ | 8,967 | |||||||||||
3128M6JM1 | FHLMC | 5.00 | 5/23/2029 | 6,747,761 | $ | 7,472,967 | ||||||||||||
3128M6SA7 | FHLMC | 6.00 | 11/29/2029 | 96,801 | $ | 109,937 |
Page 10
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3128M6SN9 | US3128M6SN94 | FHLMC | 5.00 | 2/23/2028 | 909,316 | $ | 1,009,990 | |||||||||||
3128M75R3 | US3128M75R30 | FHLMC | 5.50 | 8/3/2029 | 375,345 | $ | 421,028 | |||||||||||
3128M76Q4 | US3128M76Q48 | FHLMC | 5.50 | 9/24/2029 | 613,617 | $ | 688,346 | |||||||||||
3128M7MQ6 | FHLMC | 6.00 | 10/24/2026 | 419,232 | $ | 482,837 | ||||||||||||
3128M7NR3 | US3128M7NR37 | FHLMC | 5.00 | 1/12/2030 | 767,883 | $ | 850,313 | |||||||||||
3128M7PN0 | FHLMC | 5.00 | 2/14/2030 | 459,573 | $ | 514,300 | ||||||||||||
3128M7QZ2 | FHLMC | 5.00 | 10/19/2029 | 700,701 | $ | 778,279 | ||||||||||||
3128M7SY3 | US3128M7SY33 | FHLMC | 6.00 | 2/3/2029 | 5,572,267 | $ | 6,414,567 | |||||||||||
3128M7YU4 | US3128M7YU47 | FHLMC | 6.00 | 12/2/2026 | 10,634,622 | $ | 12,294,758 | |||||||||||
3128M8AV6 | US3128M8AV68 | FHLMC | 5.50 | 7/22/2030 | 383,134 | $ | 429,794 | |||||||||||
3128M8CY8 | FHLMC | 5.00 | 12/13/2030 | 1,253,715 | $ | 1,388,456 | ||||||||||||
3128M8GV0 | US3128M8GV05 | FHLMC | 6.00 | 1/11/2028 | 3,474,094 | $ | 3,999,235 | |||||||||||
3128M8TX2 | FHLMC | 6.00 | 5/22/2029 | 717,724 | $ | 815,026 | ||||||||||||
3128M9CM2 | US3128M9CM25 | FHLMC | 4.00 | 6/28/2019 | 678,422 | $ | 726,355 | |||||||||||
3128M9RG9 | US3128M9RG91 | FHLMC | 4.00 | 6/21/2031 | 379,394 | $ | 408,536 | |||||||||||
3128MAFA2 | US3128MAFA22 | FHLMC | 3.50 | 4/8/2033 | 11,019,189 | $ | 11,600,891 | |||||||||||
3128MCUW3 | FHLMC | 4.00 | 1/15/2021 | 2,779,704 | $ | 2,953,135 | ||||||||||||
3128MD6C2 | FHLMC | 3.50 | 2/24/2023 | 954,351 | $ | 1,014,370 | ||||||||||||
3128MJH94 | FHLMC | 5.00 | 2/14/2029 | 534,264 | $ | 591,684 | ||||||||||||
3128MJS43 | US3128MJS439 | FHLMC | 3.50 | 12/20/2031 | 479,617 | $ | 503,024 | |||||||||||
3128MJU32 | FHLMC | 4.00 | 2/20/2033 | 2,533,316 | $ | 2,705,412 | ||||||||||||
3128MJUW8 | US3128MJUW85 | FHLMC | 4.50 | 6/9/2033 | 886,371 | $ | 965,440 | |||||||||||
3128MJUZ1 | US3128MJUZ17 | FHLMC | 3.50 | 11/29/2032 | 10,650,327 | $ | 11,166,908 | |||||||||||
3128MJVB3 | US3128MJVB30 | FHLMC | 3.50 | 1/11/2033 | 516,797 | $ | 541,863 | |||||||||||
3128MJVJ6 | US3128MJVJ65 | FHLMC | 4.00 | 4/25/2033 | 731,021 | $ | 780,682 | |||||||||||
3128MJVL1 | US3128MJVL12 | FHLMC | 4.00 | 6/5/2033 | 2,094,394 | $ | 2,236,673 | |||||||||||
3128MJVR8 | US3128MJVR81 | FHLMC | 3.50 | 3/4/2033 | 396,733 | $ | 415,976 | |||||||||||
3128MMAC7 | US3128MMAC70 | FHLMC | 5.00 | 6/28/2017 | 165,963 | $ | 175,308 | |||||||||||
3128MMM67 | US3128MMM675 | FHLMC | 3.50 | 2/20/2021 | 342,159 | $ | 364,403 | |||||||||||
3128MMNX7 | US3128MMNX70 | FHLMC | 3.50 | 6/21/2021 | 3,078,764 | $ | 3,278,924 | |||||||||||
3128MMST1 | US3128MMST14 | FHLMC | 2.50 | 2/7/2023 | 479,456 | $ | 492,083 | |||||||||||
3128NCBH6 | FHLMC | 1.98 | 11/23/2025 | 224,421 | $ | 230,861 | ||||||||||||
3128P7JE4 | FHLMC | 5.00 | 6/30/2022 | 3,640 | $ | 4,062 | ||||||||||||
3128P7JH7 | FHLMC | 5.00 | 7/7/2022 | 77,114 | $ | 86,053 | ||||||||||||
3128PR7G8 | FHLMC | 4.00 | 10/25/2020 | 689,344 | $ | 732,354 | ||||||||||||
3128PRVD8 | FHLMC | 4.00 | 10/3/2020 | 362,771 | $ | 385,406 | ||||||||||||
3128PRWU9 | FHLMC | 4.00 | 10/20/2020 | 554,169 | $ | 588,744 | ||||||||||||
3128PRZ85 | FHLMC | 4.00 | 10/21/2020 | 264,808 | $ | 281,330 | ||||||||||||
3128PSBA4 | FHLMC | 4.00 | 11/7/2020 | 500,961 | $ | 532,217 | ||||||||||||
3128PUGE6 | FHLMC | 3.50 | 2/1/2021 | 417,647 | $ | 444,799 | ||||||||||||
3128PUQT2 | FHLMC | 3.50 | 3/14/2021 | 510,652 | $ | 543,851 | ||||||||||||
3128PURZ7 | US3128PURZ71 | FHLMC | 3.50 | 3/12/2021 | 467,801 | $ | 498,214 | |||||||||||
3128PUVC3 | US3128PUVC31 | FHLMC | 3.50 | 3/9/2021 | 428,577 | $ | 456,440 | |||||||||||
3128PUVP4 | FHLMC | 3.50 | 3/12/2021 | 353,317 | $ | 376,287 | ||||||||||||
3128PUW73 | FHLMC | 3.50 | 3/26/2021 | 610,116 | $ | 649,781 | ||||||||||||
3128PUXF4 | FHLMC | 3.50 | 3/9/2021 | 368,429 | $ | 392,382 | ||||||||||||
3128PVBD1 | FHLMC | 4.00 | 4/19/2021 | 445,851 | $ | 474,539 | ||||||||||||
3128PVCG3 | FHLMC | 4.00 | 4/13/2021 | 437,955 | $ | 466,135 | ||||||||||||
3128PWV21 | US3128PWV215 | FHLMC | 3.00 | 6/7/2021 | 1,413,262 | $ | 1,480,770 | |||||||||||
3128PWWS3 | US3128PWWS30 | FHLMC | 3.00 | 5/27/2021 | 557,244 | $ | 583,862 | |||||||||||
312906J50 | FHLMC | 8.50 | 3/16/2017 | 21,866 | $ | 23,769 | ||||||||||||
31292G4T0 | US31292G4T07 | FHLMC | 6.00 | 7/13/2023 | 3,941 | $ | 4,282 |
Page 11
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
31292GZM1 | US31292GZM13 | FHLMC | 6.00 | 5/17/2023 | 373 | $ | 405 | |||||||||||
31292SAD2 | US31292SAD27 | FHLMC | 3.50 | 5/6/2031 | 467,947 | $ | 490,870 | |||||||||||
31292SCF5 | US31292SCF56 | FHLMC | 4.00 | 6/17/2033 | 2,072,919 | $ | 2,213,739 | |||||||||||
312931D62 | FHLMC | 4.00 | 6/21/2029 | 96,425 | $ | 102,987 | ||||||||||||
312931TJ7 | FHLMC | 5.00 | 11/10/2029 | 1,231,356 | $ | 1,364,724 | ||||||||||||
312932CX2 | FHLMC | 4.50 | 8/12/2029 | 530,970 | $ | 586,497 | ||||||||||||
312935KY4 | FHLMC | 4.50 | 11/5/2029 | 143,016 | $ | 159,148 | ||||||||||||
312935LV9 | FHLMC | 4.50 | 11/19/2029 | 109,248 | $ | 121,571 | ||||||||||||
312935MV8 | FHLMC | 4.50 | 11/27/2029 | 1,016,091 | $ | 1,132,593 | ||||||||||||
312936U88 | US312936U888 | FHLMC | 5.50 | 6/15/2030 | 30,811 | $ | 34,958 | |||||||||||
3129385D1 | US3129385D10 | FHLMC | 5.00 | 4/22/2030 | 45,404 | $ | 50,816 | |||||||||||
31293WH45 | US31293WH458 | FHLMC | 6.00 | 8/17/2023 | 9,687 | $ | 10,527 | |||||||||||
312942L52 | FHLMC | 4.50 | 8/5/2030 | 692,393 | $ | 755,233 | ||||||||||||
312943HT3 | FHLMC | 4.00 | 7/6/2030 | 5,845,709 | $ | 6,314,636 | ||||||||||||
312943Y31 | US312943Y316 | FHLMC | 4.00 | 8/1/2030 | 1,196,473 | $ | 1,292,451 | |||||||||||
312944BN0 | FHLMC | 4.00 | 6/27/2030 | 1,685,704 | $ | 1,822,185 | ||||||||||||
3129455Y0 | FHLMC | 4.50 | 6/10/2027 | 136,291 | $ | 148,672 | ||||||||||||
312945CK2 | US312945CK27 | FHLMC | 4.00 | 6/23/2030 | 141,162 | $ | 152,486 | |||||||||||
312946JE7 | FHLMC | 4.50 | 6/24/2027 | 411,029 | $ | 448,367 | ||||||||||||
312946PD2 | US312946PD20 | FHLMC | 4.50 | 11/25/2030 | 2,720,902 | $ | 2,968,070 | |||||||||||
312946X35 | FHLMC | 4.50 | 7/29/2027 | 1,271,193 | $ | 1,386,669 | ||||||||||||
31294KDZ5 | FHLMC | 5.00 | 1/4/2016 | 271 | $ | 285 | ||||||||||||
31294KFJ9 | FHLMC | 5.00 | 2/5/2016 | 251 | $ | 264 | ||||||||||||
31294KHD0 | FHLMC | 5.00 | 3/21/2016 | 904 | $ | 949 | ||||||||||||
31294KHL2 | FHLMC | 5.00 | 4/7/2016 | 1,454 | $ | 1,528 | ||||||||||||
31294KJT3 | FHLMC | 5.00 | 5/8/2016 | 667 | $ | 690 | ||||||||||||
31294MAK7 | US31294MAK71 | FHLMC | 4.00 | 11/15/2020 | 319,126 | $ | 339,037 | |||||||||||
312962CQ4 | FHLMC | 5.00 | 1/4/2017 | 906 | $ | 922 | ||||||||||||
312962CT8 | FHLMC | 5.00 | 1/4/2017 | 95 | $ | 95 | ||||||||||||
312962KT9 | FHLMC | 5.00 | 2/5/2017 | 3,872 | $ | 4,121 | ||||||||||||
312962MD2 | FHLMC | 5.00 | 2/21/2017 | 7,650 | $ | 8,041 | ||||||||||||
312962Q63 | FHLMC | 5.50 | 2/9/2017 | 5,630 | $ | 5,919 | ||||||||||||
312962UW1 | FHLMC | 5.50 | 2/23/2017 | 275,383 | $ | 289,509 | ||||||||||||
312963WH0 | FHLMC | 5.50 | 3/11/2017 | 5,791 | $ | 6,088 | ||||||||||||
3129642B4 | FHLMC | 5.50 | 4/28/2017 | 20,053 | $ | 21,092 | ||||||||||||
312964KG3 | FHLMC | 5.00 | 4/10/2017 | 584 | $ | 588 | ||||||||||||
312964WX3 | FHLMC | 5.50 | 2/8/2017 | 130,143 | $ | 136,819 | ||||||||||||
312965QA7 | FHLMC | 5.50 | 2/23/2017 | 62,408 | $ | 65,610 | ||||||||||||
312966WU4 | FHLMC | 5.50 | 5/30/2017 | 632,176 | $ | 664,940 | ||||||||||||
312968QL7 | FHLMC | 5.50 | 3/10/2017 | 389,949 | $ | 404,727 | ||||||||||||
31296KN58 | US31296KN587 | FHLMC | 6.00 | 4/2/2026 | 34,534 | $ | 40,180 | |||||||||||
31296NEK9 | FHLMC | 5.00 | 1/14/2026 | 830,232 | $ | 923,832 | ||||||||||||
31296SBH8 | FHLMC | 6.00 | 6/15/2026 | 4,379 | $ | 5,062 | ||||||||||||
31298HM47 | FHLMC | 6.00 | 8/15/2024 | 6,341 | $ | 7,303 | ||||||||||||
3132FCBT1 | US3132FCBT18 | FHLMC | 5.00 | 1/1/2028 | 638,298 | $ | 712,702 | |||||||||||
3132GD6M9 | US3132GD6M94 | FHLMC | 4.50 | 1/10/2031 | 520,506 | $ | 567,789 | |||||||||||
3132GDRC8 | FHLMC | 4.50 | 7/27/2027 | 1,979,464 | $ | 2,159,279 | ||||||||||||
3132GDS86 | FHLMC | 4.50 | 1/21/2031 | 2,713,153 | $ | 2,959,618 | ||||||||||||
3132GE6P0 | FHLMC | 5.00 | 5/21/2031 | 247,727 | $ | 274,828 | ||||||||||||
3132GJR27 | US3132GJR278 | FHLMC | 4.00 | 2/4/2031 | 45,590 | $ | 49,238 | |||||||||||
3132GLUA0 | US3132GLUA06 | FHLMC | 4.00 | 4/4/2031 | 624,990 | $ | 669,009 | |||||||||||
3132GMHA3 | FHLMC | 3.50 | 1/17/2031 | 421,031 | $ | 441,656 |
Page 12
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3132GRL66 | US3132GRL662 | FHLMC | 3.50 | 1/22/2031 | 1,004,016 | $ | 1,056,680 | |||||||||||
3132GRN80 | US3132GRN809 | FHLMC | 4.00 | 4/13/2031 | 510,529 | $ | 546,365 | |||||||||||
3132GUKK9 | FHLMC | 3.50 | 4/16/2031 | 1,067,550 | $ | 1,119,844 | ||||||||||||
3132GUX90 | FHLMC | 3.50 | 5/2/2031 | 814,801 | $ | 857,541 | ||||||||||||
3132HM5D9 | US3132HM5D95 | FHLMC | 3.50 | 7/4/2031 | 946,214 | $ | 992,564 | |||||||||||
3132HQEQ1 | FHLMC | 3.00 | 3/18/2031 | 439,671 | $ | 449,019 | ||||||||||||
3132HQFE7 | US3132HQFE70 | FHLMC | 4.00 | 11/6/2031 | 20,500 | $ | 22,183 | |||||||||||
3132J9AW8 | US3132J9AW80 | FHLMC | 4.00 | 2/18/2032 | 177,310 | $ | 191,541 | |||||||||||
3132J9GA0 | US3132J9GA07 | FHLMC | 4.00 | 2/22/2032 | 75,026 | $ | 81,048 | |||||||||||
3132J9JD1 | US3132J9JD19 | FHLMC | 3.00 | 9/10/2031 | 587,042 | $ | 599,534 | |||||||||||
3132J9NB0 | US3132J9NB07 | FHLMC | 4.00 | 2/22/2032 | 122,141 | $ | 132,766 | |||||||||||
3132J9WS3 | US3132J9WS31 | FHLMC | 4.00 | 2/22/2032 | 173,895 | $ | 189,022 | |||||||||||
3132JMR92 | US3132JMR920 | FHLMC | 4.00 | 3/27/2032 | 96,976 | $ | 104,760 | |||||||||||
3132JMVQ9 | US3132JMVQ94 | FHLMC | 4.00 | 6/24/2032 | 205,850 | $ | 223,757 | |||||||||||
3132JNND5 | US3132JNND56 | FHLMC | 4.00 | 7/13/2032 | 118,519 | $ | 128,829 | |||||||||||
3132JNNP8 | US3132JNNP86 | FHLMC | 4.00 | 6/27/2032 | 84,466 | $ | 91,246 | |||||||||||
3132JPJD5 | US3132JPJD50 | FHLMC | 4.00 | 6/13/2032 | 288,602 | $ | 311,766 | |||||||||||
3132JPJH6 | US3132JPJH64 | FHLMC | 4.00 | 6/7/2032 | 196,466 | $ | 213,556 | |||||||||||
3132L5R62 | US3132L5R624 | FHLMC | 4.00 | 7/14/2032 | 236,708 | $ | 252,706 | |||||||||||
3132M6VL1 | US3132M6VL10 | FHLMC | 4.00 | 1/23/2033 | 283,834 | $ | 304,397 | |||||||||||
31342A6F1 | US31342A6F15 | FHLMC | 2.36 | 4/1/2025 | 203,313 | $ | 216,756 | |||||||||||
31349UCW6 | US31349UCW62 | FHLMC | 2.23 | 11/1/2025 | 102,546 | $ | 108,604 | |||||||||||
31349UEJ3 | US31349UEJ34 | FHLMC | 2.38 | 12/4/2025 | 170,260 | $ | 181,358 | |||||||||||
31349ULB2 | US31349ULB25 | FHLMC | 2.46 | 2/7/2026 | 179,143 | $ | 190,956 | |||||||||||
31349UMF2 | US31349UMF20 | FHLMC | 2.45 | 2/22/2026 | 279,776 | $ | 298,263 | |||||||||||
313602YQ1 | FANNIE MAE FNMA_89-44 | 9.00 | 10/21/2016 | 20,243 | $ | 21,760 | ||||||||||||
31368HL35 | US31368HL352 | FNMA | 5.50 | 5/12/2026 | 25,392 | $ | 28,754 | |||||||||||
31368HMB6 | US31368HMB68 | FNMA | 5.50 | 1/13/2027 | 225,561 | $ | 255,406 | |||||||||||
31368HNM1 | US31368HNM15 | FNMA | 4.50 | 10/5/2029 | 12,172 | $ | 13,270 | |||||||||||
3136A77K2 | US3136A77K21 | FNMA | 2.80 | 2/27/2017 | 1,146,169 | $ | 1,185,068 | |||||||||||
31371LMH9 | US31371LMH95 | FNMA | 5.50 | 3/3/2020 | 66,257 | $ | 74,962 | |||||||||||
31371MEP8 | US31371MEP86 | FNMA | 5.00 | 6/4/2027 | 2,812 | $ | 3,129 | |||||||||||
31371N4F9 | FNMA | 6.00 | 1/20/2023 | 105,734 | $ | 121,121 | ||||||||||||
31371NVX0 | FNMA | 5.00 | 2/7/2029 | 618,655 | $ | 687,298 | ||||||||||||
31374CN36 | US31374CN365 | FNMA | 6.00 | 10/9/2030 | 10,936 | $ | 12,460 | |||||||||||
31374CNV4 | US31374CNV45 | FNMA | 5.50 | 11/22/2028 | 223,419 | $ | 252,981 | |||||||||||
3137A83K2 | US3137A83K22 | FHR_3820D DA | 4.00 | 1/9/2017 | 13,800,664 | $ | 14,586,336 | |||||||||||
3137AEH65 | US3137AEH652 | FHLMC_3917 | 0.67 | 9/12/2018 | 964,837 | $ | 969,268 | |||||||||||
3137AEV77 | US3137AEV778 | FHLMC | 2.70 | 9/27/2017 | 8,300,000 | $ | 8,651,488 | |||||||||||
3137ANMN2 | US3137ANMN26 | FHLMC MULTIFAMILY STRUCTURED P | 2.22 | 11/19/2018 | 500,000 | $ | 514,040 | |||||||||||
3137B4PT7 | US3137B4PT71 | FHLMC_4246 | 6.50 | 5/1/2019 | 5,455,154 | $ | 6,291,260 | |||||||||||
3137B4UY0 | US3137B4UY02 | FHLMC_4248 | 6.50 | 7/14/2019 | 10,199,379 | $ | 11,765,220 | |||||||||||
31381QFF8 | US31381QFF81 | FNMA | 3.75 | 10/30/2016 | 8,134,452 | $ | 8,628,433 | |||||||||||
31385RB58 | FNMA | 8.50 | 6/20/2024 | 535,247 | $ | 588,910 | ||||||||||||
31385XAZ0 | US31385XAZ06 | FNMA | 5.50 | 12/14/2025 | 358,428 | $ | 405,877 | |||||||||||
31385XEC7 | US31385XEC74 | FNMA | 5.50 | 1/5/2026 | 7,962 | $ | 9,016 | |||||||||||
31385XK48 | US31385XK488 | FNMA | 2.35 | 2/6/2025 | 112,398 | $ | 118,080 | |||||||||||
31388XVV3 | FNMA | 1.94 | 1/12/2025 | 3,479,684 | $ | 3,589,324 | ||||||||||||
31389EVA0 | FNMA | 6.50 | 3/1/2016 | 184,089 | $ | 191,776 | ||||||||||||
31389EVB8 | FNMA | 6.50 | 3/1/2016 | 337,322 | $ | 351,409 | ||||||||||||
3138A1CT6 | FNMA | 4.00 | 9/8/2026 | 50,488 | $ | 54,117 |
Page 13
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3138A1SK8 | US3138A1SK88 | FNMA | 4.00 | 7/20/2030 | 1,004,872 | $ | 1,077,632 | |||||||||||
3138A1SU6 | FNMA | 4.00 | 7/26/2030 | 187,780 | $ | 201,330 | ||||||||||||
3138A2CK3 | US3138A2CK36 | FNMA | 4.00 | 1/24/2021 | 1,226,590 | $ | 1,302,265 | |||||||||||
3138A2DD8 | FNMA | 4.00 | 7/12/2030 | 30,319 | $ | 32,499 | ||||||||||||
3138A2PD5 | FNMA | 3.50 | 1/23/2021 | 862,450 | $ | 916,624 | ||||||||||||
3138A2ZZ5 | US3138A2ZZ57 | FNMA | 4.00 | 1/3/2031 | 543,247 | $ | 582,298 | |||||||||||
3138A3VB0 | FNMA | 4.00 | 7/24/2030 | 3,080,807 | $ | 3,319,614 | ||||||||||||
3138A3WC7 | FNMA | 4.00 | 8/25/2030 | 158,728 | $ | 170,138 | ||||||||||||
3138A5D33 | US3138A5D332 | FNMA | 4.50 | 11/11/2030 | 3,811,825 | $ | 4,164,940 | |||||||||||
3138A5TQ5 | FNMA | 4.00 | 8/27/2030 | 934,809 | $ | 1,002,004 | ||||||||||||
3138A5YL0 | FNMA | 4.50 | 11/20/2030 | 250,434 | $ | 273,584 | ||||||||||||
3138A6LD0 | FNMA | 5.00 | 2/17/2031 | 174,376 | $ | 194,318 | ||||||||||||
3138A7HY7 | FNMA | 3.50 | 6/1/2030 | 796,327 | $ | 837,349 | ||||||||||||
3138A8A48 | FNMA | 4.00 | 9/7/2030 | 554,350 | $ | 594,198 | ||||||||||||
3138A8JY3 | US3138A8JY37 | FNMA | 4.50 | 11/19/2030 | 790,487 | $ | 863,715 | |||||||||||
3138A8N51 | FNMA | 4.50 | 12/6/2030 | 4,279,519 | $ | 4,675,960 | ||||||||||||
3138AA4M0 | FNMA | 4.50 | 12/16/2030 | 3,491,711 | $ | 3,858,462 | ||||||||||||
3138ADUG8 | US3138ADUG83 | FNMA | 5.00 | 4/26/2031 | 334,359 | $ | 372,598 | |||||||||||
3138AET45 | US3138AET457 | FNMA | 4.50 | 1/15/2031 | 1,509,734 | $ | 1,649,591 | |||||||||||
3138AEZG1 | FNMA | 4.00 | 1/10/2031 | 495,180 | $ | 530,776 | ||||||||||||
3138AHLW4 | FNMA | 4.00 | 3/14/2031 | 503,660 | $ | 539,865 | ||||||||||||
3138AHTD8 | US3138AHTD85 | FNMA | 5.00 | 5/5/2031 | 107,884 | $ | 120,300 | |||||||||||
3138AJNH1 | US3138AJNH10 | FNMA | 4.50 | 2/24/2031 | 1,993,750 | $ | 2,178,444 | |||||||||||
3138AJWD0 | US3138AJWD05 | FNMA | 4.50 | 3/11/2031 | 835,067 | $ | 912,425 | |||||||||||
3138AKEK1 | US3138AKEK13 | FNMA | 4.50 | 3/22/2031 | 5,155,356 | $ | 5,632,931 | |||||||||||
3138ANZG1 | US3138ANZG11 | FNMA | 4.50 | 4/9/2031 | 142,081 | $ | 155,243 | |||||||||||
3138AS4N9 | FNMA | 4.50 | 5/18/2031 | 1,784,443 | $ | 1,949,748 | ||||||||||||
3138AT4B3 | US3138AT4B38 | FNMA | 4.00 | 7/11/2031 | 604,619 | $ | 648,246 | |||||||||||
3138AUP84 | US3138AUP840 | FNMA | 4.50 | 6/18/2031 | 37,345 | $ | 40,804 | |||||||||||
3138E04T3 | US3138E04T32 | FNMA | 3.50 | 2/12/2031 | 335,427 | $ | 352,573 | |||||||||||
3138E0Q93 | US3138E0Q935 | FNMA | 3.50 | 12/28/2030 | 1,382,082 | $ | 1,463,666 | |||||||||||
3138E2GH2 | FNMA | 4.00 | 4/3/2031 | 539,811 | $ | 578,614 | ||||||||||||
3138E4EB3 | FNMA | 2.50 | 8/23/2021 | 697,258 | $ | 717,659 | ||||||||||||
3138E4F89 | FNMA | 4.00 | 4/21/2031 | 58,106 | $ | 62,299 | ||||||||||||
3138E4UV1 | FNMA | 4.00 | 3/24/2031 | 3,649,026 | $ | 3,911,330 | ||||||||||||
3138E7JB1 | FNMA | 2.50 | 9/6/2021 | 706,310 | $ | 726,976 | ||||||||||||
3138E7TW4 | FNMA | 3.00 | 8/18/2021 | 1,515,934 | $ | 1,590,398 | ||||||||||||
3138EBP66 | US3138EBP669 | FNMA | 4.00 | 5/25/2031 | 1,929,879 | $ | 2,069,131 | |||||||||||
3138EBRE7 | US3138EBRE70 | FNMA | 3.00 | 9/9/2021 | 3,631,240 | $ | 3,809,610 | |||||||||||
3138ECTY9 | FNMA | 2.50 | 8/28/2021 | 519,024 | $ | 534,210 | ||||||||||||
3138ECYM9 | FNMA | 2.50 | 8/26/2021 | 524,342 | $ | 539,683 | ||||||||||||
3138ECYV9 | FNMA | 2.50 | 9/10/2021 | 716,657 | $ | 737,626 | ||||||||||||
3138EGH72 | US3138EGH723 | FNMA | 4.00 | 3/17/2021 | 502,196 | $ | 533,179 | |||||||||||
3138EGHX5 | US3138EGHX58 | FNMA | 4.00 | 10/19/2030 | 5,103,681 | $ | 5,516,546 | |||||||||||
3138EGSP0 | US3138EGSP06 | FNMA | 5.50 | 9/10/2028 | 84,767 | $ | 95,983 | |||||||||||
3138EGTA2 | FNMA | 5.00 | 2/3/2029 | 271,260 | $ | 302,384 | ||||||||||||
3138EH6R8 | FNMA | 5.50 | 11/5/2029 | 84,608 | $ | 95,803 | ||||||||||||
3138EHGN6 | US3138EHGN68 | FNMA | 5.50 | 3/27/2029 | 41,941 | $ | 47,490 | |||||||||||
3138EHWE8 | US3138EHWE85 | FNMA | 5.50 | 11/16/2028 | 40,917 | $ | 46,334 | |||||||||||
3138EJCC0 | US3138EJCC06 | FNMA | 4.00 | 2/7/2031 | 1,541,879 | $ | 1,652,715 | |||||||||||
3138EJEW4 | US3138EJEW42 | FNMA | 4.00 | 4/20/2031 | 536,813 | $ | 580,239 | |||||||||||
3138EJQN1 | US3138EJQN15 | FNMA | 5.50 | 3/28/2029 | 62,290 | $ | 70,532 |
Page 14
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3138EJRB6 | FNMA | 3.50 | 8/21/2031 | 4,669,578 | $ | 4,908,274 | ||||||||||||
3138EJRP5 | US3138EJRP53 | FNMA | 4.38 | 8/2/2018 | 5,931,391 | $ | 6,637,136 | |||||||||||
3138EKKV6 | US3138EKKV67 | FNMA | 5.50 | 3/17/2029 | 130,214 | $ | 147,444 | |||||||||||
3138EKNB7 | US3138EKNB76 | FNMA | 5.50 | 11/27/2028 | 114,801 | $ | 129,998 | |||||||||||
3138EKNF8 | US3138EKNF80 | FNMA | 3.00 | 7/5/2031 | 341,019 | $ | 351,637 | |||||||||||
3138EKQ40 | US3138EKQ403 | FNMA | 2.50 | 2/24/2022 | 389,895 | $ | 401,196 | |||||||||||
3138EKRR8 | US3138EKRR82 | FNMA | 2.50 | 3/10/2022 | 200,398 | $ | 206,020 | |||||||||||
3138EKW35 | US3138EKW351 | FNMA | 6.00 | 8/22/2031 | 5,645,098 | $ | 6,430,645 | |||||||||||
3138EKZS7 | US3138EKZS73 | FNMA | 5.00 | 7/26/2031 | 165,254 | $ | 183,660 | |||||||||||
3138ELPP2 | US3138ELPP28 | FNMA | 4.50 | 9/23/2031 | 1,398,671 | $ | 1,528,240 | |||||||||||
3138ELX65 | US3138ELX654 | FNMA | 4.50 | 7/22/2031 | 1,273,078 | $ | 1,390,765 | |||||||||||
3138ENL23 | US3138ENL234 | FNMA | 3.50 | 4/2/2023 | 707,273 | $ | 751,042 | |||||||||||
3138LQES9 | US3138LQES99 | FNMA | 4.00 | 6/3/2031 | 614,309 | $ | 658,635 | |||||||||||
3138LSR85 | US3138LSR854 | FNMA | 3.00 | 5/8/2031 | 101,239 | $ | 104,392 | |||||||||||
3138LUZP3 | FNMA | 2.50 | 9/24/2021 | 950,217 | $ | 977,342 | ||||||||||||
3138LVEU3 | FNMA | 4.00 | 9/16/2031 | 645,764 | $ | 692,720 | ||||||||||||
3138LVH89 | US3138LVH891 | FNMA | 3.00 | 5/6/2031 | 91,878 | $ | 94,738 | |||||||||||
3138LXT41 | US3138LXT413 | FNMA | 3.00 | 3/10/2031 | 48,233 | $ | 49,734 | |||||||||||
3138M13D8 | US3138M13D88 | FNMA | 3.50 | 7/23/2031 | 3,194,595 | $ | 3,357,405 | |||||||||||
3138M13G1 | FNMA | 3.50 | 8/15/2031 | 5,355,039 | $ | 5,627,954 | ||||||||||||
3138M7GY5 | US3138M7GY51 | FNMA | 3.00 | 3/26/2031 | 116,333 | $ | 119,955 | |||||||||||
3138M7W27 | US3138M7W276 | FNMA | 3.00 | 3/3/2031 | 128,547 | $ | 132,390 | |||||||||||
3138M93L3 | US3138M93L32 | FNMA | 3.00 | 3/10/2031 | 68,854 | $ | 70,998 | |||||||||||
3138MBAT3 | US3138MBAT31 | FNMA | 3.00 | 5/27/2031 | 52,869 | $ | 54,515 | |||||||||||
3138MC2V5 | US3138MC2V52 | FNMA | 3.00 | 4/21/2031 | 112,163 | $ | 115,655 | |||||||||||
3138MCFB5 | US3138MCFB50 | FNMA | 3.00 | 4/16/2031 | 124,602 | $ | 128,482 | |||||||||||
3138MCT46 | US3138MCT464 | FNMA | 3.00 | 6/10/2031 | 55,276 | $ | 56,928 | |||||||||||
3138MDWE8 | US3138MDWE89 | FNMA | 3.00 | 3/27/2031 | 58,074 | $ | 59,882 | |||||||||||
3138MFNJ2 | US3138MFNJ26 | FNMA | 3.00 | 4/4/2031 | 85,823 | $ | 88,496 | |||||||||||
3138MFPE1 | US3138MFPE11 | FNMA | 2.50 | 12/16/2021 | 609,024 | $ | 626,649 | |||||||||||
3138MFSR9 | US3138MFSR96 | FNMA | 3.50 | 8/23/2031 | 1,383,984 | $ | 1,454,518 | |||||||||||
3138MFW37 | US3138MFW370 | FNMA | 3.00 | 7/10/2031 | 143,659 | $ | 148,132 | |||||||||||
3138MFW52 | US3138MFW529 | FNMA | 3.00 | 6/16/2031 | 80,147 | $ | 82,642 | |||||||||||
3138MGMC6 | US3138MGMC64 | FNMA | 3.00 | 5/26/2031 | 170,256 | $ | 175,344 | |||||||||||
3138MHKF9 | US3138MHKF96 | FNMA | 3.50 | 8/25/2031 | 43,314 | $ | 45,521 | |||||||||||
3138MHKP7 | US3138MHKP78 | FNMA | 3.00 | 5/26/2031 | 66,793 | $ | 68,873 | |||||||||||
3138MHKQ5 | US3138MHKQ51 | FNMA | 3.00 | 5/20/2031 | 116,188 | $ | 119,661 | |||||||||||
3138MHXJ7 | US3138MHXJ71 | FNMA | 3.00 | 6/29/2031 | 52,473 | $ | 54,107 | |||||||||||
3138MJ6T1 | US3138MJ6T16 | FNMA | 3.00 | 5/8/2031 | 100,757 | $ | 103,894 | |||||||||||
3138MJGD5 | US3138MJGD50 | FNMA | 3.00 | 5/15/2031 | 133,476 | $ | 137,632 | |||||||||||
3138MJQU6 | US3138MJQU65 | FNMA | 3.00 | 4/6/2031 | 136,971 | $ | 141,235 | |||||||||||
3138MJXK0 | US3138MJXK01 | FNMA | 3.00 | 7/4/2031 | 1,225,727 | $ | 1,256,634 | |||||||||||
3138MK4P8 | US3138MK4P85 | FNMA | 3.50 | 8/13/2031 | 9,930,404 | $ | 10,451,930 | |||||||||||
3138MKB70 | US3138MKB705 | FNMA | 3.00 | 5/23/2031 | 93,631 | $ | 96,546 | |||||||||||
3138MKQH2 | US3138MKQH28 | FNMA | 3.00 | 8/15/2031 | 296,372 | $ | 305,229 | |||||||||||
3138ML5B6 | US3138ML5B62 | FNMA | 3.00 | 7/9/2031 | 278,584 | $ | 287,258 | |||||||||||
3138MLE67 | US3138MLE673 | FNMA | 3.00 | 4/24/2031 | 410,811 | $ | 423,602 | |||||||||||
3138MLMY7 | US3138MLMY79 | FNMA | 3.00 | 5/18/2031 | 50,804 | $ | 52,386 | |||||||||||
3138MLTC8 | US3138MLTC86 | FNMA | 3.00 | 7/7/2031 | 222,608 | $ | 229,539 | |||||||||||
3138MMAB8 | US3138MMAB87 | FNMA | 3.00 | 7/25/2031 | 267,955 | $ | 276,298 | |||||||||||
3138MMCE0 | US3138MMCE09 | FNMA | 3.00 | 5/1/2031 | 59,243 | $ | 61,088 | |||||||||||
3138MMJ37 | US3138MMJ373 | FNMA | 3.00 | 5/11/2031 | 96,497 | $ | 99,501 |
Page 15
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3138MMKP6 | US3138MMKP63 | FNMA | 3.00 | 6/6/2031 | 49,547 | $ | 51,090 | |||||||||||
3138MMNW8 | US3138MMNW87 | FNMA | 3.00 | 4/26/2031 | 220,080 | $ | 226,932 | |||||||||||
3138MMY63 | US3138MMY638 | FNMA | 3.00 | 3/18/2031 | 146,696 | $ | 151,264 | |||||||||||
3138MN5G1 | US3138MN5G14 | FNMA | 3.00 | 6/1/2031 | 270,894 | $ | 278,989 | |||||||||||
3138MNAT7 | US3138MNAT78 | FNMA | 3.00 | 5/15/2031 | 70,967 | $ | 73,177 | |||||||||||
3138MNJQ4 | US3138MNJQ49 | FNMA | 3.00 | 5/26/2031 | 66,663 | $ | 68,738 | |||||||||||
3138MNQL7 | US3138MNQL78 | FNMA | 3.00 | 5/11/2031 | 527,374 | $ | 543,143 | |||||||||||
3138MNQP8 | US3138MNQP82 | FNMA | 3.00 | 5/13/2031 | 406,128 | $ | 418,773 | |||||||||||
3138MP2W4 | US3138MP2W46 | FNMA | 3.00 | 6/10/2031 | 52,486 | $ | 54,054 | |||||||||||
3138MPBU8 | US3138MPBU80 | FNMA | 3.00 | 5/15/2031 | 116,881 | $ | 120,520 | |||||||||||
3138MPDQ5 | US3138MPDQ50 | FNMA | 3.00 | 6/20/2031 | 211,743 | $ | 218,336 | |||||||||||
3138MPZC2 | US3138MPZC27 | FNMA | 3.00 | 5/1/2031 | 342,605 | $ | 353,273 | |||||||||||
3138MQHG1 | US3138MQHG16 | FNMA | 3.00 | 5/20/2031 | 114,107 | $ | 117,660 | |||||||||||
3138MQJZ7 | US3138MQJZ78 | FNMA | 3.00 | 7/19/2031 | 189,267 | $ | 195,160 | |||||||||||
3138MQM91 | US3138MQM915 | FNMA | 3.00 | 8/3/2031 | 296,117 | $ | 305,337 | |||||||||||
3138MQTN3 | US3138MQTN39 | FNMA | 3.00 | 5/15/2031 | 214,258 | $ | 220,929 | |||||||||||
3138MQWF6 | US3138MQWF67 | FNMA | 3.00 | 3/29/2031 | 50,085 | $ | 51,644 | |||||||||||
3138MR5R8 | US3138MR5R87 | FNMA | 3.00 | 7/2/2031 | 61,084 | $ | 62,909 | |||||||||||
3138MRD24 | US3138MRD243 | FNMA | 3.00 | 5/13/2031 | 55,004 | $ | 56,716 | |||||||||||
3138MRRX1 | US3138MRRX12 | FNMA | 3.00 | 5/11/2031 | 187,546 | $ | 193,385 | |||||||||||
3138MRTR2 | US3138MRTR26 | FNMA | 3.00 | 4/27/2031 | 61,916 | $ | 63,844 | |||||||||||
3138MRUJ8 | US3138MRUJ80 | FNMA | 3.00 | 5/11/2031 | 206,374 | $ | 212,800 | |||||||||||
3138MRXV8 | US3138MRXV81 | FNMA | 3.00 | 6/14/2031 | 120,161 | $ | 123,752 | |||||||||||
3138MTD79 | US3138MTD793 | FNMA | 4.50 | 9/26/2031 | 395,289 | $ | 437,359 | |||||||||||
3138NJAE8 | US3138NJAE88 | FNMA | 3.62 | 4/28/2018 | 2,040,115 | $ | 2,164,776 | |||||||||||
3138NJAK4 | US3138NJAK49 | FNMA | 3.42 | 3/17/2018 | 2,876,805 | $ | 3,066,496 | |||||||||||
3138NWVM8 | US3138NWVM86 | FNMA | 3.00 | 5/29/2031 | 44,300 | $ | 45,624 | |||||||||||
3138NXFU6 | US3138NXFU69 | FNMA | 3.00 | 6/24/2031 | 400,407 | $ | 412,374 | |||||||||||
3138NXRK5 | US3138NXRK59 | FNMA | 3.00 | 6/4/2031 | 105,027 | $ | 108,166 | |||||||||||
3138NYDM4 | US3138NYDM45 | FNMA | 3.00 | 6/14/2031 | 77,161 | $ | 79,466 | |||||||||||
3138NYEN1 | US3138NYEN19 | FNMA | 3.50 | 11/9/2031 | 243,492 | $ | 255,902 | |||||||||||
3138NYHT5 | US3138NYHT51 | FNMA | 3.00 | 5/27/2031 | 87,855 | $ | 90,590 | |||||||||||
3138NYQP3 | US3138NYQP39 | FNMA | 3.00 | 6/23/2031 | 66,305 | $ | 68,287 | |||||||||||
3138W02A6 | US3138W02A66 | FNMA | 3.00 | 6/13/2031 | 74,614 | $ | 76,844 | |||||||||||
3138W02X6 | US3138W02X69 | FNMA | 3.00 | 4/25/2031 | 98,241 | $ | 101,177 | |||||||||||
3138W0G60 | US3138W0G603 | FNMA | 3.00 | 6/2/2031 | 132,830 | $ | 136,800 | |||||||||||
3138W0XW4 | US3138W0XW41 | FNMA | 3.00 | 5/11/2031 | 294,076 | $ | 303,232 | |||||||||||
3138W0YR4 | US3138W0YR47 | FNMA | 3.00 | 6/11/2031 | 56,697 | $ | 58,462 | |||||||||||
3138W17M3 | US3138W17M32 | FNMA | 3.00 | 8/7/2031 | 179,257 | $ | 184,614 | |||||||||||
3138W1LY1 | US3138W1LY18 | FNMA | 3.00 | 6/23/2031 | 81,797 | $ | 84,241 | |||||||||||
3138W3W90 | US3138W3W901 | FNMA | 3.00 | 9/12/2031 | 329,358 | $ | 339,201 | |||||||||||
3138W4AP6 | US3138W4AP68 | FNMA | 3.00 | 10/26/2031 | 140,684 | $ | 144,888 | |||||||||||
3138W7WP5 | US3138W7WP51 | FNMA | 3.00 | 8/12/2031 | 165,407 | $ | 170,350 | |||||||||||
3138W9AS9 | US3138W9AS94 | FNMA | 3.00 | 10/6/2031 | 188,386 | $ | 192,788 | |||||||||||
3138W9GW4 | US3138W9GW43 | FNMA | 3.50 | 1/29/2032 | 1,146,008 | $ | 1,208,336 | |||||||||||
3138W9RL6 | US3138W9RL68 | FNMA | 2.50 | 6/21/2022 | 2,127,621 | $ | 2,187,316 | |||||||||||
3138WA6A0 | US3138WA6A07 | FNMA | 4.00 | 10/17/2032 | 1,576,923 | $ | 1,706,338 | |||||||||||
3138WASF5 | US3138WASF51 | FNMA | 3.00 | 9/27/2022 | 298,196 | $ | 312,812 | |||||||||||
3138WAXR3 | FNMA | 4.50 | 12/13/2032 | 1,179,356 | $ | 1,285,938 | ||||||||||||
3138WCPB3 | US3138WCPB31 | FNMA | 3.00 | 1/26/2023 | 226,020 | $ | 237,099 | |||||||||||
3138WCUS0 | US3138WCUS01 | FNMA | 4.00 | 2/14/2033 | 600,652 | $ | 642,093 | |||||||||||
3138WN7K9 | US3138WN7K98 | FNMA | 3.00 | 8/29/2031 | 96,718 | $ | 99,609 |
Page 16
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3138WNDF3 | US3138WNDF38 | FNMA | 3.50 | 12/28/2031 | 2,645,596 | $ | 2,799,490 | |||||||||||
3138WQM33 | US3138WQM336 | FNMA | 3.00 | 8/9/2031 | 47,051 | $ | 48,457 | |||||||||||
3138WQNS7 | US3138WQNS79 | FNMA | 3.50 | 3/24/2032 | 44,902 | $ | 47,202 | |||||||||||
3138WQNW8 | US3138WQNW81 | FNMA | 3.50 | 12/23/2031 | 549,838 | $ | 582,552 | |||||||||||
3138WQNX6 | US3138WQNX64 | FNMA | 3.50 | 1/29/2032 | 174,105 | $ | 183,161 | |||||||||||
3138X1ZV1 | US3138X1ZV13 | FNMA | 3.00 | 11/8/2031 | 760,904 | $ | 778,685 | |||||||||||
3138X3EQ1 | US3138X3EQ13 | FNMA | 3.50 | 2/11/2032 | 1,742,141 | $ | 1,836,891 | |||||||||||
3138X3XH0 | US3138X3XH03 | FNMA | 3.00 | 11/21/2031 | 12,561,772 | $ | 12,855,317 | |||||||||||
3138X6WT8 | US3138X6WT80 | FNMA | 2.50 | 7/8/2022 | 527,615 | $ | 542,418 | |||||||||||
3138X76Z1 | US3138X76Z18 | FNMA | 2.50 | 6/25/2022 | 1,336,229 | $ | 1,373,720 | |||||||||||
3138XBQN7 | US3138XBQN77 | FNMA | 3.00 | 9/7/2022 | 865,116 | $ | 907,520 | |||||||||||
3138XBW26 | US3138XBW269 | FNMA | 4.50 | 2/3/2033 | 3,369,839 | $ | 3,687,704 | |||||||||||
3138XBWY6 | US3138XBWY68 | FNMA | 4.00 | 10/13/2032 | 715,657 | $ | 767,388 | |||||||||||
3138XDJ35 | US3138XDJ353 | FNMA | 3.50 | 9/21/2022 | 35,440 | $ | 37,628 | |||||||||||
3138XDNY2 | US3138XDNY26 | FNMA | 3.00 | 9/16/2022 | 876,652 | $ | 919,622 | |||||||||||
3138XUTV4 | US3138XUTV48 | FNMA | 4.00 | 2/21/2033 | 1,645,290 | $ | 1,758,803 | |||||||||||
3138XUVB5 | US3138XUVB55 | FNMA | 4.00 | 4/5/2033 | 10,915,873 | $ | 11,710,151 | |||||||||||
3138XVR36 | US3138XVR366 | FNMA | 4.00 | 4/19/2033 | 462,053 | $ | 493,931 | |||||||||||
3138Y17A7 | US3138Y17A75 | FNMA | 4.00 | 5/17/2033 | 1,858,369 | $ | 1,991,660 | |||||||||||
3138Y47K9 | FNMA | 3.00 | 12/7/2021 | 1,203,589 | $ | 1,262,614 | ||||||||||||
3138Y4R92 | US3138Y4R923 | FNMA | 4.00 | 4/26/2033 | 1,942,613 | $ | 2,076,638 | |||||||||||
3138Y5DH6 | US3138Y5DH60 | FNMA | 4.00 | 12/5/2031 | 2,060,452 | $ | 2,208,766 | |||||||||||
3138Y6MX9 | US3138Y6MX92 | FNMA | 4.00 | 6/19/2033 | 2,068,498 | $ | 2,216,861 | |||||||||||
3138Y9EN4 | US3138Y9EN42 | FNMA | 3.50 | 2/25/2033 | 329,169 | $ | 345,871 | |||||||||||
3138YAMD4 | US3138YAMD40 | FNMA | 4.00 | 5/27/2033 | 194,604 | $ | 208,031 | |||||||||||
31394PP72 | US31394PP725 | FHLMC_27-55 | 5.00 | 7/3/2019 | 1,723,415 | $ | 1,900,853 | |||||||||||
31400QJ87 | US31400QJ879 | FNMA | 2.22 | 11/15/2024 | 14,688 | $ | 15,688 | |||||||||||
31400RFH9 | US31400RFH93 | FNMA | 5.50 | 11/19/2025 | 9,755 | $ | 11,046 | |||||||||||
31400YAL0 | US31400YAL02 | FNMA | 5.50 | 12/10/2025 | 42,823 | $ | 48,491 | |||||||||||
31402C4H2 | US31402C4H21 | FNMA | 5.50 | 7/30/2026 | 2,108,453 | $ | 2,387,567 | |||||||||||
31402CVP4 | US31402CVP49 | FNMA | 5.50 | 6/20/2026 | 95,514 | $ | 108,158 | |||||||||||
31402DC73 | US31402DC738 | FNMA | 5.50 | 9/27/2026 | 3,430,942 | $ | 3,884,907 | |||||||||||
31402DCV0 | FNMA | 5.00 | 8/12/2026 | 14,286 | $ | 15,926 | ||||||||||||
31402DJS0 | US31402DJS09 | FNMA | 5.50 | 11/11/2026 | 1,926,744 | $ | 2,181,681 | |||||||||||
31402DP79 | US31402DP797 | FNMA | 5.50 | 12/24/2026 | 49,736 | $ | 56,317 | |||||||||||
31402QSK8 | US31402QSK84 | FNMA | 5.50 | 1/15/2027 | 4,318 | $ | 4,889 | |||||||||||
31402QSZ5 | US31402QSZ53 | FNMA | 5.50 | 1/12/2027 | 16,237 | $ | 18,386 | |||||||||||
31402QWA5 | US31402QWA56 | FNMA | 5.50 | 2/3/2027 | 5,982 | $ | 6,774 | |||||||||||
31402QXK2 | FNMA | 8.50 | 2/2/2025 | 263,847 | $ | 290,378 | ||||||||||||
31402QY39 | US31402QY395 | FNMA | 5.50 | 2/27/2027 | 173,273 | $ | 196,200 | |||||||||||
31402RDD8 | US31402RDD89 | FNMA | 5.50 | 4/25/2027 | 61,130 | $ | 69,013 | |||||||||||
31402RF87 | US31402RF871 | FNMA | 5.00 | 4/3/2027 | 931,112 | $ | 1,037,948 | |||||||||||
31402RRN1 | US31402RRN16 | FNMA | 5.00 | 7/2/2027 | 11,953,272 | $ | 13,300,628 | |||||||||||
31402RSA8 | US31402RSA85 | FNMA | 5.50 | 8/13/2027 | 6,136 | $ | 6,927 | |||||||||||
31402RSN0 | US31402RSN07 | FNMA | 5.00 | 7/4/2027 | 535,650 | $ | 596,028 | |||||||||||
31402YSV7 | US31402YSV73 | FNMA | 2.63 | 4/8/2025 | 7,237 | $ | 7,509 | |||||||||||
31403DC56 | US31403DC561 | FNMA | 4.50 | 4/15/2018 | 658,344 | $ | 690,825 | |||||||||||
31403DC72 | US31403DC728 | FNMA | 4.50 | 3/28/2018 | 521,493 | $ | 547,222 | |||||||||||
31403DD97 | US31403DD973 | FNMA | 5.50 | 10/24/2027 | 9,907 | $ | 11,185 | |||||||||||
31403DPP8 | US31403DPP86 | FNMA | 5.50 | 5/28/2027 | 35,946 | $ | 40,702 | |||||||||||
31403DPR4 | FNMA | 5.50 | 3/6/2028 | 73,239 | $ | 82,457 | ||||||||||||
31403KDB6 | US31403KDB61 | FNMA | 2.20 | 4/16/2025 | 7,911 | $ | 8,325 |
Page 17
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
31403TTL8 | US31403TTL88 | FNMA | 5.50 | 5/20/2026 | 5,712 | $ | 6,468 | |||||||||||
31404MAB4 | US31404MAB46 | FNMA | 5.50 | 7/7/2026 | 2,984 | $ | 3,379 | |||||||||||
31404NBP0 | US31404NBP06 | FNMA | 2.22 | 12/18/2025 | 72,347 | $ | 77,589 | |||||||||||
31405NQY4 | US31405NQY49 | FNMA | 6.00 | 12/25/2026 | 7,226 | $ | 8,332 | |||||||||||
31405QNR5 | FNMA | 5.50 | 11/25/2026 | 396 | $ | 452 | ||||||||||||
31405UMM8 | US31405UMM89 | FNMA | 2.12 | 9/28/2025 | 85,906 | $ | 92,039 | |||||||||||
31405UTZ2 | US31405UTZ20 | FNMA | 2.00 | 10/2/2025 | 17,656 | $ | 18,618 | |||||||||||
31406BB90 | US31406BB909 | FNMA | 2.12 | 11/20/2025 | 119,094 | $ | 127,620 | |||||||||||
31406BEZ9 | US31406BEZ94 | FNMA | 2.14 | 11/4/2025 | 100,884 | $ | 108,025 | |||||||||||
31406BJF8 | US31406BJF85 | FNMA | 2.15 | 11/23/2025 | 112,680 | $ | 120,233 | |||||||||||
31406BQQ6 | US31406BQQ67 | FNMA | 2.18 | 11/26/2025 | 142,163 | $ | 150,873 | |||||||||||
31406DG67 | US31406DG672 | FNMA | 2.30 | 11/5/2025 | 448,628 | $ | 478,728 | |||||||||||
31406EDN1 | FNMA | 5.00 | 12/21/2026 | 11,577 | $ | 12,948 | ||||||||||||
31406HLF2 | FNMA | 6.00 | 5/7/2027 | 65,385 | $ | 74,654 | ||||||||||||
31406MYP5 | US31406MYP57 | FNMA | 1.98 | 12/6/2025 | 200,689 | $ | 210,395 | |||||||||||
31406RNA9 | US31406RNA94 | FNMA | 6.00 | 10/21/2027 | 2,670 | $ | 3,049 | |||||||||||
31406TLC3 | US31406TLC35 | FNMA | 2.44 | 2/18/2026 | 226,314 | $ | 243,430 | |||||||||||
31406TWR8 | FNMA | 1.83 | 10/15/2025 | 782,053 | $ | 822,251 | ||||||||||||
31406VHE9 | US31406VHE92 | FNMA | 2.20 | 2/8/2026 | 114,053 | $ | 121,648 | |||||||||||
31406YZV5 | US31406YZV54 | FNMA | 5.00 | 5/19/2027 | 15,551 | $ | 17,304 | |||||||||||
31407ADE8 | US31407ADE82 | FNMA | 5.50 | 1/15/2027 | 14,919 | $ | 16,893 | |||||||||||
31407FUW8 | FNMA | 2.35 | 4/17/2026 | 2,488,722 | $ | 2,574,993 | ||||||||||||
31407LFM4 | US31407LFM46 | FNMA | 4.50 | 3/16/2027 | 8,925 | $ | 9,755 | |||||||||||
31407UEZ6 | US31407UEZ66 | FNMA | 6.00 | 12/26/2027 | 24,438 | $ | 27,845 | |||||||||||
31407VS22 | US31407VS222 | FNMA | 5.00 | 6/21/2027 | 18,685 | $ | 20,791 | |||||||||||
31407YXM6 | US31407YXM64 | FNMA | 5.50 | 6/22/2027 | 26,182 | $ | 29,646 | |||||||||||
31408FYG8 | US31408FYG89 | FNMA | 6.00 | 12/14/2027 | 1,302 | $ | 1,483 | |||||||||||
31409CRY3 | US31409CRY39 | FNMA | 6.00 | 12/28/2027 | 84,654 | $ | 96,978 | |||||||||||
31409EJS1 | FNMA | 5.50 | 12/27/2027 | 22,069 | $ | 24,847 | ||||||||||||
31409GML7 | FNMA | 6.50 | 6/14/2028 | 179,902 | $ | 206,810 | ||||||||||||
31409JVL1 | US31409JVL15 | FNMA | 6.00 | 4/7/2028 | 203,014 | $ | 231,316 | |||||||||||
31409WAE1 | FNMA | 6.00 | 2/9/2028 | 183,676 | $ | 209,260 | ||||||||||||
31410CJV5 | FNMA | 6.00 | 3/3/2028 | 5,866 | $ | 6,720 | ||||||||||||
31410F3C7 | US31410F3C72 | FNMA | 6.00 | 10/28/2028 | 690,705 | $ | 786,992 | |||||||||||
31410F5Y7 | US31410F5Y74 | FNMA | 6.00 | 12/30/2028 | 274,007 | $ | 312,172 | |||||||||||
31410FUZ6 | US31410FUZ60 | FNMA | 5.50 | 3/27/2028 | 25,664 | $ | 29,060 | |||||||||||
31410FYU3 | US31410FYU38 | FNMA | 5.50 | 10/19/2027 | 3,477,184 | $ | 3,925,569 | |||||||||||
31410G2F9 | US31410G2F94 | FNMA | 5.50 | 11/30/2028 | 57,692 | $ | 65,131 | |||||||||||
31410G2W2 | US31410G2W28 | FNMA | 5.00 | 2/6/2029 | 58,457 | $ | 65,046 | |||||||||||
31410GBT9 | US31410GBT94 | FNMA | 5.50 | 7/1/2027 | 135,784 | $ | 153,759 | |||||||||||
31410GCS0 | US31410GCS03 | FNMA | 5.50 | 9/26/2027 | 57,113 | $ | 64,478 | |||||||||||
31410GD83 | US31410GD831 | FNMA | 2.44 | 9/9/2025 | 37,144 | $ | 39,928 | |||||||||||
31410GDF7 | US31410GDF72 | FNMA | 1.79 | 1/21/2025 | 154,576 | $ | 164,712 | |||||||||||
31410GDL4 | US31410GDL41 | FNMA | 2.32 | 3/5/2026 | 602,559 | $ | 627,432 | |||||||||||
31410GDN0 | FNMA | 2.37 | 3/15/2025 | 112,216 | $ | 119,900 | ||||||||||||
31410GDP5 | FNMA | 2.45 | 5/24/2026 | 1,419,737 | $ | 1,493,208 | ||||||||||||
31410GDY6 | US31410GDY61 | FNMA | 2.18 | 2/19/2026 | 39,853 | $ | 42,602 | |||||||||||
31410KDC5 | US31410KDC53 | FNMA | 5.00 | 4/30/2029 | 14,649 | $ | 16,274 | |||||||||||
31410KEM2 | US31410KEM27 | FNMA | 5.50 | 6/15/2029 | 1,312,516 | $ | 1,477,226 | |||||||||||
31410KT95 | US31410KT953 | FNMA | 5.50 | 11/28/2028 | 113,144 | $ | 128,122 | |||||||||||
31410KU36 | FNMA | 5.00 | 7/15/2029 | 7,965 | $ | 8,849 | ||||||||||||
31410KVW1 | FNMA | 5.50 | 11/22/2028 | 12,483 | $ | 14,136 |
Page 18
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
31410KX74 | FNMA | 5.50 | 3/30/2028 | 1,000,238 | $ | 1,132,648 | ||||||||||||
31410LBU5 | US31410LBU52 | FNMA | 4.00 | 12/8/2020 | 730,177 | $ | 775,106 | |||||||||||
31410LC91 | FNMA | 5.50 | 6/13/2031 | 610,184 | $ | 686,841 | ||||||||||||
31410LGW6 | US31410LGW63 | FNMA | 5.50 | 11/15/2029 | 17,252 | $ | 19,534 | |||||||||||
31410MJ76 | US31410MJ760 | FNMA | 5.50 | 8/3/2027 | 9,377 | $ | 10,586 | |||||||||||
31410NT24 | US31410NT247 | FNMA | 6.00 | 4/19/2028 | 15,223 | $ | 17,316 | |||||||||||
31410RDL0 | US31410RDL06 | FNMA | 6.00 | 6/9/2028 | 17,809 | $ | 20,292 | |||||||||||
31411A5M3 | FNMA | 5.50 | 7/14/2028 | 3,757,280 | $ | 4,230,183 | ||||||||||||
31411A7C3 | FNMA | 5.50 | 7/21/2028 | 872,544 | $ | 982,366 | ||||||||||||
31411EJW8 | US31411EJW84 | FNMA | 5.50 | 7/16/2028 | 71,629 | $ | 80,693 | |||||||||||
31411VMN6 | US31411VMN63 | FNMA | 5.50 | 8/15/2028 | 2,477,988 | $ | 2,788,956 | |||||||||||
31412NXE1 | FNMA | 5.00 | 12/4/2029 | 1,054,590 | $ | 1,192,034 | ||||||||||||
31412PBJ9 | FNMA | 4.50 | 2/7/2020 | 7,820,704 | $ | 8,326,074 | ||||||||||||
31412PRN3 | FNMA | 4.00 | 3/3/2020 | 1,162,003 | $ | 1,233,502 | ||||||||||||
31412Q2V0 | FNMA | 4.50 | 3/9/2030 | 2,018,954 | $ | 2,259,590 | ||||||||||||
31412QE70 | FNMA | 5.00 | 2/8/2030 | 2,445,204 | $ | 2,757,795 | ||||||||||||
31412QPN3 | FNMA | 5.50 | 4/11/2029 | 246,224 | $ | 277,123 | ||||||||||||
31412QPQ6 | US31412QPQ63 | FNMA | 6.00 | 12/29/2027 | 317,682 | $ | 362,716 | |||||||||||
31412QW70 | FNMA | 4.50 | 2/18/2030 | 291,758 | $ | 324,854 | ||||||||||||
31412RAP2 | FNMA | 4.00 | 2/26/2027 | 8,725 | $ | 9,332 | ||||||||||||
31412RG76 | US31412RG761 | FNMA | 4.00 | 9/11/2020 | 1,341,613 | $ | 1,435,713 | |||||||||||
31412RGG6 | US31412RGG65 | FNMA | 5.00 | 7/25/2030 | 274,145 | $ | 309,802 | |||||||||||
31412RNY9 | FNMA | 4.00 | 8/7/2030 | 55,483 | $ | 59,453 | ||||||||||||
31412S3D5 | US31412S3D54 | FNMA | 5.50 | 7/5/2029 | 813,151 | $ | 915,305 | |||||||||||
31412TM26 | FNMA | 5.50 | 7/13/2029 | 454,388 | $ | 512,450 | ||||||||||||
31412URR3 | US31412URR31 | FNMA | 4.00 | 4/6/2020 | 1,172,752 | $ | 1,244,913 | |||||||||||
31413BTW1 | US31413BTW18 | FNMA | 5.50 | 11/2/2028 | 469,761 | $ | 528,713 | |||||||||||
31413CLH0 | FNMA | 6.00 | 1/6/2029 | 500,239 | $ | 572,891 | ||||||||||||
31413HKW7 | FNMA | 6.00 | 2/26/2029 | 2,322 | $ | 2,646 | ||||||||||||
31413R2P0 | FNMA | 6.00 | 5/30/2029 | 293,150 | $ | 335,725 | ||||||||||||
31414GGE3 | US31414GGE35 | FNMA | 4.50 | 12/15/2028 | 43,704 | $ | 47,640 | |||||||||||
31414NCH5 | FNMA | 6.00 | 2/24/2030 | 70,495 | $ | 80,763 | ||||||||||||
31414NH31 | FNMA | 5.00 | 12/1/2029 | 1,074,177 | $ | 1,211,498 | ||||||||||||
31414NH49 | FNMA | 5.00 | 11/30/2029 | 954,862 | $ | 1,073,608 | ||||||||||||
31414SL27 | US31414SL278 | FNMA | 5.00 | 3/30/2029 | 144,282 | $ | 160,291 | |||||||||||
31414SX81 | US31414SX810 | FNMA | 5.50 | 6/28/2029 | 96,945 | $ | 109,124 | |||||||||||
31414SZC0 | US31414SZC06 | FNMA | 5.50 | 7/3/2029 | 166,267 | $ | 187,335 | |||||||||||
31415AZ79 | FNMA | 5.00 | 5/1/2029 | 6,202 | $ | 6,891 | ||||||||||||
31415BCQ0 | US31415BCQ05 | FNMA | 5.50 | 8/22/2029 | 73,812 | $ | 83,329 | |||||||||||
31415P3Y2 | FNMA | 5.50 | 7/21/2026 | 5,323 | $ | 6,027 | ||||||||||||
31415P3Z9 | US31415P3Z99 | FNMA | 5.50 | 7/25/2026 | 11,291 | $ | 12,785 | |||||||||||
31415SPY2 | FNMA | 6.00 | 2/27/2030 | 10,059 | $ | 11,461 | ||||||||||||
31415YLZ0 | FNMA | 4.00 | 4/7/2020 | 406,293 | $ | 431,292 | ||||||||||||
31416BK72 | FNMA | 5.50 | 2/1/2038 | 39,037 | $ | 43,936 | ||||||||||||
31416BLD8 | US31416BLD81 | FNMA | 5.50 | 11/26/2028 | 32,969 | $ | 37,220 | |||||||||||
31416BM70 | US31416BM707 | FNMA | 5.50 | 11/22/2028 | 6,318,088 | $ | 7,154,066 | |||||||||||
31416BMK1 | FNMA | 5.00 | 2/27/2029 | 141,871 | $ | 157,863 | ||||||||||||
31416BN61 | US31416BN614 | FNMA | 5.50 | 3/26/2028 | 41,670 | $ | 47,183 | |||||||||||
31416BNB0 | US31416BNB08 | FNMA | 5.50 | 6/25/2027 | 37,879 | $ | 42,893 | |||||||||||
31416BNG9 | US31416BNG94 | FNMA | 5.50 | 2/24/2027 | 130,663 | $ | 147,960 | |||||||||||
31416BS90 | US31416BS902 | FNMA | 4.50 | 6/10/2029 | 443,167 | $ | 483,078 | |||||||||||
31416BTA6 | US31416BTA60 | FNMA | 5.00 | 10/14/2029 | 1,867,741 | $ | 2,074,977 |
Page 19
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
31416BTB4 | US31416BTB44 | FNMA | 5.00 | 8/17/2027 | 408,981 | $ | 455,081 | |||||||||||
31416HY25 | FNMA | 5.00 | 9/30/2029 | 171,906 | $ | 191,092 | ||||||||||||
31416JZM6 | FNMA | 5.00 | 10/2/2029 | 806,449 | $ | 902,131 | ||||||||||||
31416LR57 | US31416LR572 | FNMA | 4.50 | 8/3/2029 | 68,204 | $ | 74,356 | |||||||||||
31416MTR5 | FNMA | 5.00 | 1/7/2030 | 15,348 | $ | 17,061 | ||||||||||||
31416MVP6 | US31416MVP66 | FNMA | 4.50 | 8/24/2029 | 31,887 | $ | 35,504 | |||||||||||
31416N5T5 | FNMA | 4.50 | 10/1/2029 | 113,011 | $ | 125,830 | ||||||||||||
31416WD66 | US31416WD660 | FNMA | 5.00 | 8/16/2030 | 446,862 | $ | 504,983 | |||||||||||
31416XAH3 | US31416XAH35 | FNMA | 4.00 | 7/8/2030 | 1,700,803 | $ | 1,823,535 | |||||||||||
31416XXR6 | US31416XXR69 | FNMA | 5.00 | 3/12/2031 | 395,982 | $ | 442,236 | |||||||||||
31416Y3T3 | US31416Y3T30 | FNMA | 4.00 | 2/24/2031 | 1,424,284 | $ | 1,540,576 | |||||||||||
31417AC49 | US31417AC492 | FNMA | 4.00 | 3/10/2031 | 1,613,341 | $ | 1,729,313 | |||||||||||
31417ARL5 | US31417ARL51 | FNMA | 3.00 | 7/14/2021 | 1,083,921 | $ | 1,137,076 | |||||||||||
31417ASD2 | US31417ASD27 | FNMA | 4.00 | 3/8/2031 | 778,192 | $ | 834,130 | |||||||||||
31417CDE2 | US31417CDE21 | FNMA | 3.50 | 5/16/2031 | 1,302,424 | $ | 1,372,795 | |||||||||||
31417CQQ1 | US31417CQQ14 | FNMA | 3.00 | 3/7/2031 | 102,001 | $ | 105,050 | |||||||||||
31417CQS7 | US31417CQS79 | FNMA | 3.00 | 3/10/2031 | 51,519 | $ | 53,123 | |||||||||||
31417CSH9 | US31417CSH96 | FNMA | 3.00 | 3/6/2031 | 1,720,431 | $ | 1,771,871 | |||||||||||
31417D4F7 | US31417D4F78 | FNMA | 3.00 | 5/1/2031 | 751,640 | $ | 774,114 | |||||||||||
31417DCK7 | US31417DCK72 | FNMA | 3.00 | 1/5/2022 | 831,784 | $ | 872,642 | |||||||||||
31417DRG0 | FNMA | 3.50 | 8/19/2031 | 761,794 | $ | 800,735 | ||||||||||||
31417ECE9 | US31417ECE95 | FNMA | 3.00 | 5/1/2031 | 1,447,347 | $ | 1,490,622 | |||||||||||
31417ECF6 | US31417ECF60 | FNMA | 3.00 | 4/30/2031 | 1,505,938 | $ | 1,550,964 | |||||||||||
31417ECT6 | US31417ECT64 | FNMA | 3.00 | 5/10/2031 | 204,057 | $ | 210,411 | |||||||||||
31417ENK3 | US31417ENK37 | FNMA | 3.00 | 5/30/2031 | 300,956 | $ | 310,327 | |||||||||||
31417FL55 | US31417FL559 | FNMA | 2.50 | 2/18/2022 | 135,936 | $ | 139,750 | |||||||||||
31417GF35 | US31417GF351 | FNMA | 3.00 | 9/1/2031 | 327,718 | $ | 335,376 | |||||||||||
31417JSB7 | US31417JSB79 | FNMA | 4.50 | 11/21/2029 | 17,926 | $ | 19,959 | |||||||||||
31417KUM7 | FNMA | 4.00 | 9/16/2029 | 73,236 | $ | 78,285 | ||||||||||||
31417KXH5 | FNMA | 4.50 | 11/13/2029 | 2,088,311 | $ | 2,333,173 | ||||||||||||
31417MH71 | US31417MH710 | FNMA | 4.50 | 12/6/2029 | 8,545,964 | $ | 9,316,782 | |||||||||||
31417MYL1 | FNMA | 4.50 | 1/20/2030 | 1,033,291 | $ | 1,126,490 | ||||||||||||
31417VJS3 | FNMA | 4.50 | 2/5/2030 | 10,401 | $ | 11,581 | ||||||||||||
31417VQT3 | FNMA | 4.50 | 3/23/2030 | 1,098,100 | $ | 1,226,856 | ||||||||||||
31417Y3H8 | US31417Y3H81 | FNMA | 4.00 | 5/13/2021 | 581,471 | $ | 617,802 | |||||||||||
31417YF44 | FNMA | 4.00 | 9/21/2029 | 35,746 | $ | 38,210 | ||||||||||||
31417YXX0 | US31417YXX02 | FNMA | 4.50 | 10/21/2030 | 1,033,356 | $ | 1,129,083 | |||||||||||
31418A7G7 | US31418A7G78 | FNMA | 3.50 | 11/17/2022 | 334,702 | $ | 355,363 | |||||||||||
31418ALS5 | US31418ALS59 | FNMA | 3.50 | 8/4/2031 | 2,321,250 | $ | 2,439,906 | |||||||||||
31418AM96 | US31418AM960 | FNMA | 3.50 | 9/14/2031 | 1,924,749 | $ | 2,022,842 | |||||||||||
31418AQ35 | US31418AQ359 | FNMA | 3.50 | 11/22/2031 | 40,976 | $ | 43,413 | |||||||||||
31418AR26 | US31418AR266 | FNMA | 3.50 | 12/21/2031 | 234,947 | $ | 248,926 | |||||||||||
31418BPB6 | FNMA | 4.00 | 3/13/2033 | 1,972,286 | $ | 2,115,623 | ||||||||||||
31418MRL8 | US31418MRL80 | FNMA | 5.50 | 12/2/2028 | 8,818,886 | $ | 9,956,088 | |||||||||||
31418MRR5 | US31418MRR50 | FNMA | 5.50 | 2/22/2027 | 169,374 | $ | 191,796 | |||||||||||
31418MSR4 | US31418MSR42 | FNMA | 5.50 | 4/7/2030 | 175,877 | $ | 197,972 | |||||||||||
31418MT44 | US31418MT440 | FNMA | 5.50 | 11/26/2028 | 60,331 | $ | 68,313 | |||||||||||
31418MT93 | US31418MT937 | FNMA | 4.50 | 3/26/2030 | 912,007 | $ | 994,267 | |||||||||||
31418MUL4 | US31418MUL44 | FNMA | 4.50 | 2/13/2030 | 394,688 | $ | 439,460 | |||||||||||
31418PCP8 | FNMA | 5.00 | 11/14/2030 | 184,747 | $ | 205,618 | ||||||||||||
31418QHC0 | US31418QHC06 | FNMA | 4.50 | 4/15/2030 | 11,858 | $ | 12,954 | |||||||||||
31418RX22 | US31418RX227 | FNMA | 5.00 | 8/2/2030 | 1,177,911 | $ | 1,310,984 |
Page 20
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
31418UYE8 | FNMA | 4.00 | 7/14/2029 | 13,957 | $ | 14,927 | ||||||||||||
31418VQY1 | US31418VQY10 | FNMA | 4.00 | 5/19/2030 | 55,820 | $ | 59,832 | |||||||||||
31418W6Y1 | FNMA | 5.00 | 10/21/2030 | 260,864 | $ | 291,655 | ||||||||||||
31418W7J3 | FNMA | 5.00 | 10/24/2030 | 117,701 | $ | 129,295 | ||||||||||||
31419ARB5 | US31419ARB51 | FNMA | 5.00 | 10/16/2030 | 461,305 | $ | 513,421 | |||||||||||
31419ARE9 | FNMA | 5.50 | 11/6/2029 | 40,792 | $ | 46,189 | ||||||||||||
31419DJY8 | US31419DJY85 | FNMA | 4.00 | 11/15/2020 | 1,612,345 | $ | 1,711,819 | |||||||||||
31419EK40 | FNMA | 4.00 | 7/19/2030 | 80,123 | $ | 85,925 | ||||||||||||
31419EU80 | FNMA | 5.00 | 10/24/2030 | 226,189 | $ | 253,700 | ||||||||||||
31419G2T0 | FNMA | 4.00 | 6/22/2030 | 20,540 | $ | 22,017 | ||||||||||||
31419H4A7 | US31419H4A70 | FNMA | 4.00 | 7/15/2030 | 1,660,047 | $ | 1,779,374 | |||||||||||
31419H6Y3 | FNMA | 4.00 | 6/20/2030 | 33,691 | $ | 36,112 | ||||||||||||
31419HBS0 | US31419HBS04 | FNMA | 4.00 | 6/18/2030 | 85,033 | $ | 91,145 | |||||||||||
31419HRZ7 | US31419HRZ72 | FNMA | 4.00 | 7/10/2030 | 543,243 | $ | 582,292 | |||||||||||
31419JLP1 | FNMA | 4.00 | 6/11/2030 | 99,757 | $ | 106,928 | ||||||||||||
31419KR49 | FNMA | 4.00 | 6/21/2030 | 41,308 | $ | 44,277 | ||||||||||||
31419KVG7 | US31419KVG74 | FNMA | 3.50 | 1/2/2030 | 1,584,685 | $ | 1,666,318 | |||||||||||
31419LZ63 | FNMA | 4.00 | 7/1/2030 | 61,857 | $ | 66,303 | ||||||||||||
36176MA29 | US36176MA290 | GNMA | 4.00 | 12/27/2030 | 271,306 | $ | 291,330 | |||||||||||
36176QLG7 | GNMA | 2.50 | 11/17/2021 | 1,392,243 | $ | 1,441,040 | ||||||||||||
36176R7D8 | GNMA | 3.50 | 11/17/2030 | 732,838 | $ | 774,729 | ||||||||||||
36176WGG0 | GNMA | 3.50 | 12/30/2030 | 530,324 | $ | 560,589 | ||||||||||||
36176XCT4 | GNMA | 3.50 | 2/11/2031 | 920,648 | $ | 973,189 | ||||||||||||
36177R5R8 | GNMA | 3.50 | 3/1/2031 | 1,047,758 | $ | 1,107,651 | ||||||||||||
36177RXF3 | GNMA | 3.50 | 1/21/2031 | 2,032,574 | $ | 2,148,571 | ||||||||||||
36177S3E7 | GNMA | 3.50 | 2/11/2031 | 1,572,440 | $ | 1,662,178 | ||||||||||||
36177X2H0 | GNMA | 2.50 | 9/27/2021 | 1,134,892 | $ | 1,176,442 | ||||||||||||
36177YR32 | US36177YR321 | GNMA | 2.50 | 10/14/2021 | 618,082 | $ | 639,745 | |||||||||||
36178QYX4 | US36178QYX41 | GNMA | 3.00 | 4/5/2031 | 171,802 | $ | 177,508 | |||||||||||
36178TPE0 | US36178TPE00 | GNMA | 4.00 | 1/12/2032 | 57,178 | $ | 61,330 | |||||||||||
36179MC24 | US36179MC241 | GNMA | 4.00 | 9/26/2031 | 390,615 | $ | 416,391 | |||||||||||
36179MNG1 | US36179MNG14 | GNMA | 3.00 | 3/5/2031 | 359,780 | $ | 372,618 | |||||||||||
36179MQP8 | US36179MQP85 | GNMA | 3.50 | 9/26/2031 | 735,233 | $ | 775,450 | |||||||||||
36179MVQ0 | US36179MVQ04 | GNMA | 2.50 | 2/12/2031 | 51,720 | $ | 51,790 | |||||||||||
36179N2K3 | US36179N2K32 | GNMA | 4.00 | 6/29/2032 | 233,171 | $ | 248,286 | |||||||||||
36179NA99 | US36179NA995 | GNMA | 2.50 | 6/16/2031 | 357,950 | $ | 357,768 | |||||||||||
36179NX78 | US36179NX781 | GNMA | 4.50 | 12/17/2032 | 217,166 | $ | 235,651 | |||||||||||
36179QRY9 | US36179QRY97 | GNMA | 3.50 | 8/6/2032 | 288,356 | $ | 303,691 | |||||||||||
36179QWE7 | US36179QWE78 | GNMA | 3.50 | 9/16/2032 | 246,412 | $ | 259,516 | |||||||||||
36180MYG6 | US36180MYG67 | GNMA | 3.00 | 6/11/2031 | 875,941 | $ | 905,482 | |||||||||||
36202FXC5 | US36202FXC57 | GNMA | 4.50 | 4/14/2031 | 242,297 | $ | 263,878 | |||||||||||
36202FZY5 | US36202FZY59 | GNMA | 4.00 | 3/9/2031 | 684,471 | $ | 730,463 | |||||||||||
36202FZZ2 | US36202FZZ25 | GNMA | 4.50 | 6/29/2031 | 661,777 | $ | 720,720 | |||||||||||
36206XC43 | GNMA | 7.00 | 12/16/2024 | 808 | $ | 893 | ||||||||||||
3620A9SW2 | GNMA | 4.50 | 9/27/2029 | 283,357 | $ | 319,517 | ||||||||||||
3620ARBK6 | US3620ARBK63 | GNMA | 5.50 | 2/14/2029 | 210,699 | $ | 234,366 | |||||||||||
3620C04Y1 | US3620C04Y16 | GNMA | 4.50 | 7/20/2030 | 411,528 | $ | 454,624 | |||||||||||
3620C1WV4 | GNMA | 3.50 | 1/21/2031 | 2,426,192 | $ | 2,564,654 | ||||||||||||
36212PPP1 | GNMA | 7.00 | 11/26/2024 | 7,995 | $ | 8,841 | ||||||||||||
36212U5G2 | GNMA | 7.00 | 12/16/2024 | 7,742 | $ | 8,562 | ||||||||||||
36213HGU7 | GNMA | 7.00 | 11/5/2024 | 1,473 | $ | 1,629 | ||||||||||||
36225DM43 | GNMA | 1.63 | 11/9/2025 | 6,946,833 | $ | 7,234,553 |
Page 21
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
36230PCQ1 | GNMA | 2.50 | 8/6/2021 | 962,772 | $ | 994,410 | ||||||||||||
36230RVV5 | GNMA | 3.50 | 4/10/2030 | 4,314,074 | $ | 4,569,646 | ||||||||||||
36241KWJ3 | GNMA | 6.00 | 11/29/2029 | 323,501 | $ | 367,732 | ||||||||||||
36241KZ68 | US36241KZ681 | GNMA | 5.00 | 10/15/2029 | 205,159 | $ | 230,138 | |||||||||||
36296QL49 | GNMA | 5.00 | 11/6/2029 | 564,630 | $ | 632,785 | ||||||||||||
36297FYL0 | GNMA | 4.50 | 10/17/2029 | 57,886 | $ | 65,273 | ||||||||||||
532,990,002 | $ | 575,675,862 | ||||||||||||||||
Non Agency RMBS | ||||||||||||||||||
00935WAA7 | US00935WAA71 | AIREM_06-1A | 0.49 | 10/23/2021 | 1,385,276 | $ | 1,343,718 | |||||||||||
02148HAW1 | US02148HAW16 | CWALT_06-31CB | 0.67 | 5/7/2021 | 1,572,716 | $ | 1,074,961 | |||||||||||
02148JAN7 | US02148JAN72 | CWALT_06-39CB | 0.92 | 2/10/2021 | 1,257,927 | $ | 941,302 | |||||||||||
02151NBV3 | US02151NBV38 | CWALT_07-18CB | 0.64 | 5/23/2021 | 1,983,897 | $ | 1,334,125 | |||||||||||
05948X6X4 | US05948X6X45 | BANK OF AMERICA MTG SEC | 4.75 | 8/14/2016 | 862,167 | $ | 873,652 | |||||||||||
07384MWF5 | US07384MWF57 | BSARM_04-10 | 2.70 | 2/1/2019 | 17,725 | $ | 17,398 | |||||||||||
12566UAG9 | US12566UAG94 | CMALT_07-A2 | 0.72 | 3/26/2021 | 2,588,189 | $ | 1,799,676 | |||||||||||
12667FFN0 | US12667FFN06 | CWALT_04-J4 | 0.75 | 9/19/2018 | 5,041,988 | $ | 4,853,473 | |||||||||||
12668ACG8 | US12668ACG85 | CWALT_05-73CB | 0.50 | 3/8/2021 | 2,912,710 | $ | 2,402,465 | |||||||||||
12668BXF5 | US12668BXF56 | COUNTRYWIDE ALTERNATIVE LOAN T | 0.52 | 4/27/2021 | 6,197,772 | $ | 4,059,045 | |||||||||||
22541QUJ9 | US22541QUJ92 | CS FIRST BOSTON MORTGAGE SECUR | 3.44 | 9/2/2019 | 98,762 | $ | 96,490 | |||||||||||
232434AE0 | US232434AE09 | CWALT_06-OC8 | 0.42 | 8/23/2021 | 17,451,795 | $ | 10,196,421 | |||||||||||
23245GAD3 | US23245GAD34 | CWALT_06-OC9 | 0.42 | 9/20/2024 | 4,576,791 | $ | 3,027,620 | |||||||||||
25151AAG6 | US25151AAG67 | DBALT | 0.45 | 2/13/2022 | 12,109,469 | $ | 8,704,771 | |||||||||||
38741YCA5 | US38741YCA55 | B1FHC95 | GRANITE MASTER ISSUER PLC GRAN | 0.26 | 12/12/2016 | 1,171,360 | $ | 1,163,746 | ||||||||||
40431HAJ6 | US40431HAJ68 | HALO | 0.47 | 4/10/2021 | 3,803,157 | $ | 1,323,289 | |||||||||||
40431KAB6 | US40431KAB61 | HALO_07-WF1 | 0.27 | 2/18/2024 | 3,403,351 | $ | 1,464,741 | |||||||||||
466306AA5 | US466306AA51 | JPALT_08-R2 | 6.00 | 9/24/2021 | 2,806,138 | $ | 2,509,975 | |||||||||||
525221HA8 | US525221HA83 | LXS | 0.43 | 2/12/2023 | 3,182,639 | $ | 2,308,664 | |||||||||||
52524HAJ9 | US52524HAJ95 | LXS | 0.87 | 6/9/2018 | 2,105,112 | $ | 1,749,315 | |||||||||||
61749LAA9 | US61749LAA98 | MSM_06-8AR | 0.33 | 3/4/2023 | 7,038,392 | $ | 3,768,024 | |||||||||||
61749LAC5 | US61749LAC54 | B19G555 | MSM_06-8AR | 0.33 | 10/2/2023 | 11,511,934 | $ | 6,162,948 | ||||||||||
62889EAA3 | US62889EAA38 | NGN_11-R3 | 0.58 | 5/12/2017 | 914,912 | $ | 914,066 | |||||||||||
655378AB3 | US655378AB36 | NOMURA ASSET ACCEPTANCE CORPOR | 6.02 | 5/26/2015 | 3,874,699 | $ | 3,199,056 | |||||||||||
76110H2P3 | US76110H2P35 | RES ASSET SEC | 2.95 | 6/1/2021 | 1,028,406 | $ | 714,738 | |||||||||||
863579J90 | US863579J908 | SARM | 2.46 | 11/17/2020 | 8,658,500 | $ | 6,644,775 | |||||||||||
863579KY3 | US863579KY34 | SARM | 2.53 | 11/28/2020 | 1,835,091 | $ | 1,744,261 | |||||||||||
86359LQM4 | US86359LQM45 | STRUCTURED ASSET MORTGAGE INV | 2.28 | 6/1/2022 | 2,608,795 | $ | 2,008,347 | |||||||||||
86361WAA9 | US86361WAA99 | SAMI_06-AR8 | 0.37 | 3/13/2022 | 6,393,528 | $ | 5,126,414 | |||||||||||
86361XAA7 | US86361XAA72 | SAMI_06-AR8 | 0.29 | 3/19/2026 | 18,697,770 | $ | 15,266,365 | |||||||||||
92922F4P0 | US92922F4P01 | WAMU | 0.95 | 1/1/2021 | 3,898,919 | $ | 3,754,195 | |||||||||||
92922FB49 | US92922FB498 | WASHINGTON MUTUAL | 0.91 | 11/15/2019 | 238,181 | $ | 226,055 | |||||||||||
92922FZF8 | US92922FZF88 | WAMU_04-A12 | 0.58 | 1/17/2020 | 4,225,597 | $ | 4,076,607 | |||||||||||
BRS56RKM3 | XS0289307398 | B1VGHC4 | BRUNEL RESIDENTIAL MORTGAGE SE | 0.45 | 1/19/2017 | 1,062,752 | $ | 1,052,211 | ||||||||||
146,516,419 | $ | 105,902,909 | ||||||||||||||||
CMBS | ||||||||||||||||||
05357HAA8 | US05357HAA86 | AVMT_13-AVM | 3.87 | 12/7/2020 | 6,200,000 | $ | 6,688,312 |
Page 22
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
055236AA1 | US055236AA16 | BAMLL_11-07C1 | 5.38 | 2/4/2016 | 4,652,263 | $ | 4,826,234 | |||||||||||
059500AD0 | US059500AD06 | BACM | 5.89 | 11/13/2015 | 6,964,113 | $ | 7,262,246 | |||||||||||
05950VAE0 | US05950VAE02 | BACM | 5.36 | 8/10/2016 | 2,400,000 | $ | 2,468,040 | |||||||||||
05950WAF5 | US05950WAF59 | BANC OF AMERICA | 5.63 | 10/12/2015 | 4,139,261 | $ | 4,292,207 | |||||||||||
059511AF2 | US059511AF27 | BACM_07-2 | 5.73 | 3/26/2016 | 1,202,650 | $ | 1,280,437 | |||||||||||
07387BEB5 | US07387BEB53 | BSCMS | 5.41 | 6/27/2015 | 1,926,409 | $ | 1,957,135 | |||||||||||
07388NAG1 | US07388NAG16 | B1HM674 | BEAR STEARNS COMMERCIAL MORTGA | 5.60 | 10/12/2016 | 26,238,000 | $ | 26,630,179 | ||||||||||
07388PAE1 | US07388PAE16 | BSCMS | 5.20 | 1/29/2016 | 500,000 | $ | 526,360 | |||||||||||
07401DAE1 | US07401DAE13 | BSCMS_07-PW18 | 5.60 | 8/9/2016 | 9,524,994 | $ | 10,229,558 | |||||||||||
12513XAH5 | US12513XAH52 | B142L61 | CITIGROUP/DEUTSCHE BANK COMMER | 5.38 | 3/1/2016 | 19,550,000 | $ | 18,472,619 | ||||||||||
12513YAF7 | US12513YAF79 | CD_07-CD4 | 5.32 | 2/11/2016 | 2,800,000 | $ | 2,947,840 | |||||||||||
12591KAF2 | US12591KAF21 | COMM_13-CR12 | 1.58 | 7/23/2022 | 15,204,823 | $ | 1,252,376 | |||||||||||
12591QAD4 | US12591QAD43 | COMM MORTGAGE TRUST COMM_14-UB | 4.84 | 7/10/2024 | 10,826,000 | $ | 10,182,438 | |||||||||||
12591VAF8 | US12591VAF85 | COMM_14-CR16 | 1.43 | 8/26/2022 | 19,818,428 | $ | 1,456,000 | |||||||||||
12591YAG0 | US12591YAG08 | SHELL | 4.98 | 5/11/2031 | 2,300,000 | $ | 2,220,402 | |||||||||||
12591YBC8 | US12591YBC84 | COMM_14-UBS3 | 3.82 | 1/26/2024 | 200,000 | $ | 216,368 | |||||||||||
12592PAJ2 | US12592PAJ21 | COMM_14-UBS6 | 4.12 | 12/10/2024 | 1,175,000 | $ | 1,039,252 | |||||||||||
12592RAL3 | US12592RAL33 | COMM_14-CR21 | 4.07 | 12/10/2024 | 4,750,000 | $ | 4,264,692 | |||||||||||
126192AE3 | US126192AE39 | COMM_12-LC4 | 4.06 | 1/25/2022 | 200,000 | $ | 217,656 | |||||||||||
12622DAA2 | US12622DAA28 | COMM_10-C1 | 3.16 | 6/25/2015 | 5,456,371 | $ | 5,485,781 | |||||||||||
12624KAE6 | US12624KAE64 | B8K7M99 | COMM | 1.90 | 6/30/2021 | 36,224,543 | $ | 3,499,617 | ||||||||||
12624XAC2 | US12624XAC20 | COMM_13-CR6 | 2.62 | 8/17/2020 | 750,000 | $ | 764,092 | |||||||||||
12626GAF0 | US12626GAF00 | COMM_13-LC13 | 4.21 | 4/11/2023 | 400,000 | $ | 446,440 | |||||||||||
17310MAE0 | US17310MAE03 | CITIGROUP | 5.43 | 5/30/2016 | 2,026,000 | $ | 2,130,461 | |||||||||||
17311QBL3 | US17311QBL32 | B241JD8 | CGCMT_07-C6 | 5.90 | 6/9/2016 | 5,332,447 | $ | 5,742,192 | ||||||||||
17318UAD6 | US17318UAD63 | CITIGROUP COMMERCIAL MORTGAGE | 3.02 | 11/12/2020 | 500,000 | $ | 519,180 | |||||||||||
17320DAG3 | US17320DAG34 | CGCMT_13-GC11 | 3.09 | 11/26/2022 | 8,200,000 | $ | 8,497,086 | |||||||||||
17321JAJ3 | US17321JAJ34 | CGCMT_13-GC15 | 1.27 | 9/20/2021 | 23,439,615 | $ | 1,498,424 | |||||||||||
17321RAD8 | US17321RAD89 | CITIGROUP COMMERCIAL MORTGAGE | 4.13 | 7/11/2023 | 250,000 | $ | 277,280 | |||||||||||
17322VAT3 | CGCMT_14-GC23 | 3.62 | 4/10/2024 | 200,000 | $ | 214,266 | ||||||||||||
17323CAF4 | US17323CAF41 | CGCMT 2015-GC27 | 2.94 | 5/27/2022 | 1,940,000 | $ | 1,995,542 | |||||||||||
17323CAN7 | US17323CAN74 | CGCMT_15_GC27 | 4.43 | 1/10/2025 | 11,750,000 | $ | 10,747,831 | |||||||||||
190749AE1 | US190749AE17 | CWCAPITAL COBALT | 5.22 | 1/4/2016 | 4,337,712 | $ | 4,551,345 | |||||||||||
19075CAD5 | US19075CAD56 | CWCI | 5.48 | 2/20/2016 | 3,080,311 | $ | 3,286,815 | |||||||||||
19075DAF8 | US19075DAF87 | CWCI_07-C3 | 5.76 | 5/15/2016 | 3,889,750 | $ | 4,140,016 | |||||||||||
20047EAJ1 | US20047EAJ10 | COMM | 5.38 | 12/12/2016 | 19,985,000 | $ | 20,366,334 | |||||||||||
20047QAE5 | US20047QAE52 | COMM | 5.94 | 10/12/2015 | 3,682,415 | $ | 3,816,345 | |||||||||||
20173QAE1 | US20173QAE17 | GCCFC | 5.44 | 1/26/2017 | 6,000,000 | $ | 6,331,200 | |||||||||||
20173WAE8 | US20173WAE84 | CMLT | 6.24 | 6/5/2016 | 2,554,598 | $ | 2,731,631 | |||||||||||
22545DAD9 | US22545DAD93 | CREDIT SUISSE MORTGAGE CAPITAL | 5.81 | 11/13/2015 | 9,756,929 | $ | 10,077,346 | |||||||||||
22545LAD1 | US22545LAD10 | CREDIT SUISSE MORTGAGE CAPITAL | 5.31 | 1/4/2016 | 2,945,525 | $ | 3,075,246 | |||||||||||
22545LAH2 | US22545LAH24 | CREDIT SUISSE MORTGAGE CAPITAL | 5.37 | 1/6/2017 | 43,638,252 | $ | 42,753,006 | |||||||||||
22545YAE1 | US22545YAE14 | B1Z4DK4 | CSMC_07-C2 | 5.53 | 3/30/2016 | 4,244,568 | $ | 4,477,637 | ||||||||||
22546BAF7 | US22546BAF76 | CSMC | 5.70 | 11/20/2016 | 3,212,000 | $ | 3,449,592 | |||||||||||
233050AN3 | US233050AN33 | DBUBS_11-LC1 | 3.74 | 5/17/2016 | 884,583 | $ | 900,134 | |||||||||||
3136A56W1 | US3136A56W14 | FNMA | 2.98 | 11/11/2021 | 1,700,000 | $ | 1,783,130 | |||||||||||
3136A7MJ8 | US3136A7MJ85 | FNMA_12-M8 | 1.52 | 7/27/2017 | 1,957,640 | $ | 1,972,356 |
Page 23
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
3136A7MK5 | US3136A7MK58 | FNMA_12-M8 | 1.80 | 2/26/2019 | 2,100,000 | $ | 2,116,542 | |||||||||||
3136A9MN5 | US3136A9MN53 | FNMA | 2.30 | 8/25/2022 | 200,000 | $ | 201,068 | |||||||||||
3136AHAG5 | US3136AHAG51 | FNMA_13-M14 | 3.33 | 10/3/2023 | 250,000 | $ | 267,579 | |||||||||||
3136AHUV0 | US3136AHUV09 | FNMA | 2.32 | 10/11/2018 | 750,000 | $ | 770,860 | |||||||||||
3136AJ7G5 | US3136AJ7G50 | FNMA | 2.68 | 3/7/2021 | 500,000 | $ | 517,721 | |||||||||||
3136AJLC8 | US3136AJLC84 | FNMA | 3.48 | 1/10/2024 | 350,000 | $ | 379,260 | |||||||||||
3137A8PP7 | US3137A8PP73 | FHLMC | 4.19 | 10/11/2020 | 750,000 | $ | 837,455 | |||||||||||
3137ARPY6 | US3137ARPY67 | FHMS_19-K710 | 1.88 | 3/25/2019 | 10,700,000 | $ | 10,853,866 | |||||||||||
3137ASNJ9 | US3137ASNJ91 | FHLMC | 2.27 | 12/26/2021 | 750,000 | $ | 758,677 | |||||||||||
3137ATRW4 | US3137ATRW40 | B7SK5G1 | FHLMC | 2.37 | 4/5/2022 | 5,000,000 | $ | 5,066,050 | ||||||||||
3137AUPF0 | US3137AUPF08 | FHLMC_K021 | 1.50 | 12/19/2018 | 34,275,454 | $ | 2,979,462 | |||||||||||
3137B1AZ5 | US3137B1AZ57 | FHLMC | 1.87 | 8/26/2019 | 250,000 | $ | 252,700 | |||||||||||
3137B2HN3 | US3137B2HN38 | FHLMC_13-HN | 3.11 | 1/11/2023 | 16,000,000 | $ | 16,964,960 | |||||||||||
3137B3NA2 | US3137B3NA26 | FREMF MORTGAGE TRUST FREMF_13- | 3.25 | 1/22/2023 | 850,000 | $ | 909,755 | |||||||||||
3137BEVH4 | US3137BEVH49 | FHLMC | 3.24 | 7/21/2024 | 200,000 | $ | 212,832 | |||||||||||
3137BGK24 | US3137BGK246 | FHLMC | 3.06 | 6/12/2024 | 250,000 | $ | 262,284 | |||||||||||
31398VJ80 | US31398VJ800 | FHLMC | 3.40 | 6/30/2017 | 933,450 | $ | 978,983 | |||||||||||
36159XAF7 | US36159XAF78 | GECMC_07-C1 | 5.48 | 4/24/2016 | 6,653,383 | $ | 7,113,731 | |||||||||||
36192BAA5 | US36192BAA52 | GSMSCII_12-GC6 | 2.30 | 11/13/2020 | 14,484,672 | $ | 1,493,167 | |||||||||||
36192PAJ5 | US36192PAJ57 | B73R589 | GS MORTGAGE SECURITIES CORPORA | 2.77 | 5/11/2022 | 500,000 | $ | 510,195 | ||||||||||
36197XAK0 | US36197XAK00 | GS MORTGAGE SECURITIES TRUST G | 3.14 | 1/25/2023 | 250,000 | $ | 259,743 | |||||||||||
36198EAE5 | US36198EAE59 | GSMS_13-GC13 | 4.17 | 2/10/2023 | 600,000 | $ | 668,958 | |||||||||||
36251FAT3 | US36251FAT30 | GS MORTGAGE SECURITIES TRUST G | 2.90 | 1/25/2020 | 2,180,000 | $ | 2,265,151 | |||||||||||
36252RAT6 | US36252RAT68 | GSMS_14-GC18 | 1.45 | 8/13/2022 | 24,072,351 | $ | 1,811,396 | |||||||||||
396789LL1 | US396789LL19 | GCCFC | 5.22 | 5/10/2015 | 2,044,038 | $ | 2,059,123 | |||||||||||
46186JAE7 | US46186JAE73 | IHSFR_15-SRF2 | 3.33 | 1/15/2024 | 1,610,000 | $ | 1,610,000 | |||||||||||
46625YXT5 | US46625YXT53 | JPMCC | 5.27 | 10/15/2015 | 4,000,000 | $ | 4,089,240 | |||||||||||
46629GAE8 | US46629GAE89 | JPMCC | 5.55 | 11/12/2015 | 9,117,567 | $ | 9,451,544 | |||||||||||
46629PAC2 | US46629PAC23 | JPMCC | 5.34 | 2/15/2016 | 1,862,986 | $ | 1,962,153 | |||||||||||
46629PAD0 | US46629PAD06 | JPMCC_06-LDP9 | 5.26 | 2/15/2016 | 2,884,675 | $ | 3,005,110 | |||||||||||
46629YAH2 | US46629YAH27 | JP MORGAN CHASE COMMERICAL MOR | 5.50 | 2/28/2017 | 22,841,932 | $ | 22,925,145 | |||||||||||
46630EAC4 | US46630EAC49 | JPMCC | 5.43 | 1/26/2016 | 1,282,106 | $ | 1,345,314 | |||||||||||
46630JAC3 | US46630JAC36 | JP MORGAN CHASE COMMERCIAL MOR | 5.42 | 4/7/2016 | 1,096,329 | $ | 1,162,361 | |||||||||||
46630VAL6 | US46630VAL62 | JP MORGAN CHASE COMMERCIAL MOR | 5.89 | 3/27/2023 | 43,621,000 | $ | 40,625,415 | |||||||||||
46632HAD3 | US46632HAD35 | JPMCC | 5.88 | 5/24/2016 | 2,100,000 | $ | 2,251,578 | |||||||||||
46639EAB7 | US46639EAB74 | JPMCC_12-LC9 | 1.68 | 2/5/2018 | 500,000 | $ | 503,880 | |||||||||||
46642NBD7 | US46642NBD75 | JPMBB_14-C22 | 3.80 | 4/30/2024 | 200,000 | $ | 215,740 | |||||||||||
46643ABB8 | US46643ABB89 | JPMBB_14-C23 | 3.18 | 9/30/2019 | 6,000,000 | $ | 6,323,700 | |||||||||||
46643GAB6 | US46643GAB68 | JPMBB_14-C24 | 2.94 | 11/4/2018 | 900,000 | $ | 939,231 | |||||||||||
46643PBB5 | US46643PBB58 | JPMBB_14-C25 | 2.95 | 11/15/2019 | 5,470,000 | $ | 5,708,383 | |||||||||||
46643TAL6 | US46643TAL61 | JPMBB_14-C26 | 3.93 | 12/15/2024 | 15,361,000 | $ | 13,729,462 | |||||||||||
46643TAZ5 | US46643TAZ57 | JPMBB_14-C26 | 3.02 | 12/15/2019 | 4,320,000 | $ | 4,519,800 | |||||||||||
46644AAN2 | US46644AAN28 | JPMBB_15-C27 | 3.85 | 2/15/2025 | 960,400 | $ | 842,533 | |||||||||||
50179MAE1 | US50179MAE12 | LBUBS | 5.37 | 2/2/2016 | 350,000 | $ | 367,490 | |||||||||||
55312VAD0 | US55312VAD01 | MLCFC_06-4 | 5.17 | 1/1/2016 | 1,785,441 | $ | 1,876,285 | |||||||||||
55312YAH5 | US55312YAH53 | B1W6767 | MERRIL LYNCH COUNTRYWIDE | 5.45 | 7/12/2019 | 43,696,578 | $ | 43,047,159 |
Page 24
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
55312YAR3 | US55312YAR36 | MERRIL LYNCH COUNTRYWIDE | 5.45 | 7/12/2019 | 10,992,200 | $ | 10,719,044 | |||||||||||
55312YBD3 | US55312YBD31 | MERRIL LYNCH COUNTRYWIDE | 0.55 | 12/24/2016 | 66,799,508 | $ | 635,531 | |||||||||||
55313KAE1 | US55313KAE10 | B8LFH97 | MLCFC_07-7 | 5.74 | 5/11/2016 | 2,000,000 | $ | 2,156,740 | ||||||||||
60688CAJ5 | US60688CAJ53 | B2B3CN8 | MLCFC_07-9 | 6.19 | 11/13/2017 | 913,000 | $ | 883,291 | ||||||||||
617458AC8 | US617458AC87 | MORGAN STANLEY CAPITAL | 3.88 | 10/1/2015 | 3,500,000 | $ | 3,552,850 | |||||||||||
61750CAF4 | US61750CAF41 | MSC_06-HQ9 | 5.73 | 9/29/2015 | 2,097,214 | $ | 2,173,133 | |||||||||||
61750WAX1 | US61750WAX11 | MSC | 5.33 | 12/18/2015 | 1,618,088 | $ | 1,699,867 | |||||||||||
61753JAG4 | US61753JAG40 | MSC_07-IQ13 | 5.44 | 4/17/2017 | 12,067,500 | $ | 12,265,902 | |||||||||||
61761DAB8 | US61761DAB82 | MSBAM_12-C6 | 1.87 | 1/15/2018 | 550,000 | $ | 556,842 | |||||||||||
61763BAV6 | US61763BAV62 | MSBAM_13-C13 | 1.23 | 9/27/2022 | 19,261,615 | $ | 1,401,128 | |||||||||||
61763UAE2 | US61763UAE29 | MSBAM_14-C17 | 4.70 | 8/1/2015 | 26,822,000 | $ | 25,899,565 | |||||||||||
61763XAT3 | US61763XAT37 | MSBAM_14-C18 | 3.39 | 10/15/2024 | 18,414,440 | $ | 15,837,597 | |||||||||||
61764PAN2 | US61764PAN24 | MSBAM_14-C19 | 3.25 | 9/15/2024 | 2,350,000 | $ | 1,989,430 | |||||||||||
61764RAN8 | US61764RAN89 | MSBAM_15-C20 | 3.07 | 1/15/2025 | 7,520,000 | $ | 6,253,700 | |||||||||||
61764RBD9 | US61764RBD98 | MSBAM_15-C20 | 3.07 | 6/3/2022 | 1,470,000 | $ | 1,519,510 | |||||||||||
62888XAC8 | US62888XAC83 | NCUA | 2.65 | 12/12/2015 | 8,097,241 | $ | 8,257,242 | |||||||||||
90269CAD2 | US90269CAD20 | B5WCV49 | UBS-BARCLAYS COMMERCIAL MORTGA | 3.53 | 1/10/2022 | 350,000 | $ | 373,268 | ||||||||||
90349DAJ1 | US90349DAJ19 | COMMERCIAL MORTGAGE PASS-THROU | 2.28 | 4/17/2021 | 6,456,687 | $ | 691,679 | |||||||||||
92890NAA7 | US92890NAA72 | WFRBSCMT_12-C10 | 1.79 | 10/23/2021 | 2,314,769 | $ | 221,257 | |||||||||||
92890NAU3 | WFRBS_12-C10 | 2.88 | 7/30/2022 | 500,000 | $ | 513,895 | ||||||||||||
92930RAF9 | US92930RAF91 | WFRBS_12-C9 | 2.20 | 5/7/2021 | 6,289,068 | $ | 682,056 | |||||||||||
92936TAB8 | US92936TAB89 | WF-RBS COMMERCIAL MORTGAGE TRU | 3.43 | 1/15/2022 | 500,000 | $ | 532,595 | |||||||||||
92937EAD6 | US92937EAD67 | WF-RBS COMMERCIAL MORTGAGE TRU | 3.04 | 8/15/2022 | 319,000 | $ | 330,966 | |||||||||||
92937FAJ0 | US92937FAJ03 | WFRBSCMT_13-C12 | 1.49 | 9/27/2021 | 3,034,352 | $ | 239,210 | |||||||||||
92939FBA6 | US92939FBA66 | WFRBS_14-C21 | 1.20 | 3/20/2023 | 19,401,437 | $ | 1,510,926 | |||||||||||
92976BDT6 | US92976BDT61 | WBCMT | 5.42 | 7/15/2015 | 2,710,298 | $ | 2,755,587 | |||||||||||
92977RAD8 | US92977RAD89 | WACHOVIA BANK COMMERCIAL MORTG | 6.01 | 11/2/2015 | 450,000 | $ | 469,413 | |||||||||||
92978QBX4 | US92978QBX43 | B7VMSY3 | WBCMT_07-C30 | 0.48 | 2/4/2017 | 29,503,140 | $ | 249,685 | ||||||||||
92978YAD2 | US92978YAD22 | WBCMT | 5.71 | 12/18/2017 | 2,000,000 | $ | 2,138,760 | |||||||||||
94988HAC5 | US94988HAC51 | WFCM_12-LC5 | 2.92 | 2/27/2020 | 325,000 | $ | 335,436 | |||||||||||
94988XAC0 | US94988XAC02 | WFCM_14-LC16 | 3.94 | 6/20/2024 | 2,012,000 | $ | 1,795,857 | |||||||||||
94989CAG6 | US94989CAG69 | WFCM_15-C26 | 3.59 | 2/26/2025 | 1,280,000 | $ | 1,095,398 | |||||||||||
94989CAW1 | WFCM_15-C26 | 2.91 | 1/1/2025 | 3,900,000 | $ | 3,920,358 | ||||||||||||
909,582,119 | $ | 604,631,430 | ||||||||||||||||
CORPORATE DEBT SECURITIES - FINANCIALS | ||||||||||||||||||
00084DAG5 | US00084DAG51 | BFY4R45 | ABN AMRO BANK NV | 2.50 | 10/30/2018 | 7,000,000 | $ | 7,124,410 | ||||||||||
001055AH5 | US001055AH52 | AFLAC INC | 2.65 | 2/15/2017 | 250,000 | $ | 257,362 | |||||||||||
002799AL8 | US002799AL89 | BD3ZL43 | ABBEY NATIONAL TREASURY SERVIC | 3.05 | 8/23/2018 | 7,900,000 | $ | 8,228,149 | ||||||||||
002799AM6 | US002799AM62 | ABBEY NATIONAL TREASURY SERVIC | 1.38 | 3/13/2017 | 2,465,000 | $ | 2,465,847 | |||||||||||
002799AR5 | US002799AR59 | ABBEY NATIONAL TREASURY SERVIC | 1.65 | 9/29/2017 | 100,000 | $ | 100,202 | |||||||||||
00912XAP9 | US00912XAP96 | AIR LEASE CORPORATION | 2.13 | 1/15/2018 | 200,000 | $ | 198,612 | |||||||||||
025816AW9 | US025816AW94 | AMERICAN EXPRESS COMPANY | 5.50 | 9/12/2016 | 4,000,000 | $ | 4,248,578 |
Page 25
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
025816BG3 | US025816BG36 | B9D69T9 | AMERICAN EXPRESS COMPANY | 1.55 | 5/22/2018 | 7,795,000 | $ | 7,794,214 | ||||||||||
0258M0DA4 | US0258M0DA41 | AMERICAN EXPRESS CREDIT CORPOR | 2.75 | 9/15/2015 | 11,000,000 | $ | 11,104,170 | |||||||||||
0258M0DC0 | US0258M0DC07 | AMERICAN EXPRESS CREDIT CORPOR | 2.80 | 9/19/2016 | 250,000 | $ | 256,805 | |||||||||||
0258M0DK2 | US0258M0DK23 | AMERICAN EXPRESS CREDIT CORPOR | 2.13 | 3/18/2019 | 9,000,000 | $ | 9,085,253 | |||||||||||
0258M0DP1 | US0258M0DP10 | AMERICAN EXPRESS CREDIT CORPOR | 2.25 | 8/15/2019 | 3,300,000 | $ | 3,344,618 | |||||||||||
026874CZ8 | US026874CZ88 | BP4GRJ6 | AMERICAN INTERNATIONAL GROUP I | 2.30 | 6/16/2019 | 100,000 | $ | 101,100 | ||||||||||
02687QBC1 | US02687QBC15 | B1G6W13 | AMERICAN INTERNATIONAL GROUP I | 5.60 | 10/18/2016 | 100,000 | $ | 106,793 | ||||||||||
02687QDG0 | US02687QDG01 | AMERICAN INTERNATIONAL GROUP I | 5.85 | 1/16/2018 | 250,000 | $ | 279,595 | |||||||||||
029912BD3 | US029912BD34 | AMERICAN TOWER CORPORATION | 4.50 | 1/15/2018 | 250,000 | $ | 267,335 | |||||||||||
03761UAG1 | US03761UAG13 | BW1YYW4 | APOLLO INVSTMNT | 5.25 | 3/3/2025 | 2,500,000 | $ | 2,512,739 | ||||||||||
03879QAB0 | US03879QAB05 | ARC PROPERTIES OPERATING PARTN | 2.00 | 2/6/2017 | 8,000,000 | $ | 7,761,568 | |||||||||||
046265AF1 | US046265AF14 | ASTORIA FINANCIAL CORPORATION | 5.00 | 5/19/2017 | 100,000 | $ | 106,003 | |||||||||||
05253JAC5 | US05253JAC53 | B976R57 | AUSTRALIA & NEW ZEALAND BANKIN | 1.45 | 5/15/2018 | 250,000 | $ | 248,384 | ||||||||||
05253JAE1 | US05253JAE10 | BHZFZZ8 | AUSTRALIA & NEW ZEALAND BANKIN | 1.25 | 1/10/2017 | 2,855,000 | $ | 2,864,654 | ||||||||||
05253JAG6 | US05253JAG67 | AUSTRALIA & NEW ZEALAND BANKIN | 2.25 | 6/13/2019 | 3,700,000 | $ | 3,758,620 | |||||||||||
05531FAL7 | US05531FAL76 | BB&T CORP | 1.60 | 7/15/2017 | 12,440,000 | $ | 12,414,865 | |||||||||||
05531FAS2 | US05531FAS20 | BT9Z2J1 | BB&T CORP | 2.45 | 12/15/2019 | 2,750,000 | $ | 2,789,655 | ||||||||||
05567LT31 | US05567LT315 | BNP PARIBAS SA | 5.00 | 1/15/2021 | 1,500,000 | $ | 1,711,666 | |||||||||||
05567LU54 | US05567LU545 | B3TJ495 | BNP PARIBAS SA | 3.60 | 2/23/2016 | 645,000 | $ | 660,525 | ||||||||||
05574LPT9 | US05574LPT97 | BD02QW0 | BNP PARIBAS SA | 2.70 | 8/20/2018 | 160,000 | $ | 164,798 | ||||||||||
05574LTX6 | US05574LTX63 | BH5GL20 | BNP PARIBAS SA | 2.40 | 12/12/2018 | 9,375,000 | $ | 9,547,162 | ||||||||||
05574LXG8 | US05574LXG84 | BKR3FR3 | BNP PARIBAS SA | 1.38 | 3/17/2017 | 7,185,000 | $ | 7,197,198 | ||||||||||
05578BAB2 | US05578BAB27 | BH4HMP4 | BPCE SA | 2.50 | 12/10/2018 | 7,425,000 | $ | 7,574,174 | ||||||||||
05578DAG7 | US05578DAG79 | BLM80T7 | BPCE SA | 4.00 | 4/15/2024 | 4,825,000 | $ | 5,128,542 | ||||||||||
05578DAJ1 | US05578DAJ19 | BPCE SA | 0.83 | 11/18/2016 | 6,300,000 | $ | 6,311,718 | |||||||||||
05967PAE4 | US05967PAE43 | BANCO SANTANDER CHILE | 1.15 | 4/11/2017 | 4,500,000 | $ | 4,443,750 | |||||||||||
060505DH4 | US060505DH44 | BANK OF AMERICA CORP | 6.00 | 9/1/2017 | 10,775,000 | $ | 11,865,400 | |||||||||||
06050TKN1 | US06050TKN18 | BANK OF AMERICA CORP | 5.30 | 3/15/2017 | 250,000 | $ | 267,202 | |||||||||||
06050TLR1 | US06050TLR13 | BGDRY96 | BANK OF AMERICA CORP | 1.13 | 11/14/2016 | 1,500,000 | $ | 1,500,429 | ||||||||||
06051GDX4 | US06051GDX43 | BANK OF AMERICA CORP | 5.65 | 5/1/2018 | 2,750,000 | $ | 3,045,759 | |||||||||||
06051GDZ9 | US06051GDZ90 | BANK OF AMERICA CORP | 7.63 | 6/1/2019 | 2,700,000 | $ | 3,264,926 | |||||||||||
06051GEC9 | US06051GEC96 | BANK OF AMERICA CORP | 5.63 | 7/1/2020 | 4,500,000 | $ | 5,174,331 | |||||||||||
06051GED7 | US06051GED79 | BANK OF AMERICA CORP | 3.70 | 9/1/2015 | 6,500,000 | $ | 6,574,295 | |||||||||||
06051GET2 | US06051GET22 | B9BPJ21 | BANK OF AMERICA CORP | 2.00 | 1/11/2018 | 1,405,000 | $ | 1,413,208 | ||||||||||
06051GEX3 | US06051GEX34 | BANK OF AMERICA CORP | 2.60 | 1/15/2019 | 6,725,000 | $ | 6,852,697 | |||||||||||
06051GFD6 | US06051GFD60 | BL2FPW6 | BANK OF AMERICA CORP | 2.65 | 4/1/2019 | 8,485,000 | $ | 8,638,333 | ||||||||||
06051GFH7 | US06051GFH74 | BANK OF AMERICA CORP | 4.20 | 8/26/2024 | 2,535,000 | $ | 2,611,815 | |||||||||||
06366QW86 | US06366QW868 | BANK OF MONTREAL | 2.50 | 1/11/2017 | 1,750,000 | $ | 1,797,474 | |||||||||||
06366RHA6 | US06366RHA68 | B80R266 | BANK OF MONTREAL | 1.40 | 9/11/2017 | 300,000 | $ | 301,029 | ||||||||||
063679JJ4 | US063679JJ40 | BANK OF MONTREAL | 2.63 | 1/25/2016 | 6,000,000 | $ | 6,104,184 | |||||||||||
063679ZT4 | US063679ZT48 | BANK OF MONTREAL | 1.95 | 1/30/2017 | 2,600,000 | $ | 2,652,312 | |||||||||||
06406HCA5 | US06406HCA59 | BANK OF NEW YORK MELLON CORP/T | 2.40 | 12/17/2016 | 3,983,000 | $ | 4,055,169 |
Page 26
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
06406HCP2 | US06406HCP29 | BGKK391 | BANK OF NEW YORK MELLON CORP/T | 2.10 | 12/15/2018 | 250,000 | $ | 252,354 | ||||||||||
06406HCU1 | US06406HCU14 | BANK OF NEW YORK MELLON/THE | 2.20 | 4/15/2019 | 200,000 | $ | 203,841 | |||||||||||
06406HCW7 | US06406HCW79 | BQRB159 | BANK OF NEW YORK MELLON CORP/T | 2.30 | 3/11/2019 | 4,170,000 | $ | 4,234,975 | ||||||||||
064159AM8 | US064159AM82 | BANK OF NOVA SCOTIA | 2.55 | 1/12/2017 | 250,000 | $ | 256,699 | |||||||||||
064159BE5 | US064159BE57 | BANK OF NOVA SCOTIA | 1.38 | 11/18/2017 | 150,000 | $ | 149,753 | |||||||||||
064159CU8 | US064159CU80 | BG05073 | BANK OF NOVA SCOTIA | 2.05 | 10/30/2018 | 140,000 | $ | 141,630 | ||||||||||
064159EK8 | US064159EK80 | BANK OF NOVA SCOTIA | 1.25 | 4/11/2017 | 4,615,000 | $ | 4,623,576 | |||||||||||
064159EX0 | US064159EX02 | BN5H620 | BANK OF NOVA SCOTIA | 2.05 | 6/5/2019 | 4,300,000 | $ | 4,324,734 | ||||||||||
06415CAE9 | US06415CAE93 | B6Z6DZ0 | BANK OF NOVA SCOTIA | 1.75 | 3/22/2017 | 6,000,000 | $ | 6,099,480 | ||||||||||
064255AN2 | US064255AN27 | BDDFC95 | BANK OF TOKYO-MITSUBISHI UFJ L | 1.55 | 9/9/2016 | 3,235,000 | $ | 3,254,008 | ||||||||||
064255AW2 | US064255AW26 | BKJ9BZ9 | BANK OF TOKYO MITSUBISHI UFJ L | 3.75 | 3/10/2024 | 3,625,000 | $ | 3,850,513 | ||||||||||
064255BC5 | US064255BC52 | BQQFH98 | BANK OF TOKYO-MITSUBISHI UFJ L | 2.35 | 9/8/2019 | 4,000,000 | $ | 4,036,048 | ||||||||||
06739FGF2 | US06739FGF27 | BARCLAYS BANK PLC | 5.00 | 9/22/2016 | 100,000 | $ | 105,725 | |||||||||||
06739FHT1 | US06739FHT12 | BARCLAYS BANK PLC | 2.50 | 2/20/2019 | 12,150,000 | $ | 12,386,976 | |||||||||||
07330NAG0 | US07330NAG07 | BGMTTJ8 | BRANCH BKG & TR CO | 1.05 | 12/1/2016 | 2,645,000 | $ | 2,642,510 | ||||||||||
07330NAK1 | US07330NAK19 | BB&T CORP | 1.35 | 10/1/2017 | 4,570,000 | $ | 4,555,810 | |||||||||||
073902RU4 | US073902RU43 | BEAR STEARNS COMPANIES LLC/THE | 7.25 | 2/1/2018 | 8,200,000 | $ | 9,428,029 | |||||||||||
10112RAQ7 | US10112RAQ74 | B3N3RQ1 | BOSTON PROPERTIES LP | 5.88 | 10/15/2019 | 100,000 | $ | 115,811 | ||||||||||
12505JAA1 | US12505JAA16 | BGR6PQ3 | CBL & ASSOCIATES LP | 5.25 | 9/1/2023 | 825,000 | $ | 880,864 | ||||||||||
12505JAB9 | US12505JAB98 | CBL & ASSOCIATES LP | 4.60 | 7/15/2024 | 1,160,000 | $ | 1,179,057 | |||||||||||
136069DM0 | US136069DM01 | CANADIAN IMPERIAL BANK OF COMM | 2.60 | 7/2/2015 | 10,500,000 | $ | 10,560,281 | |||||||||||
136069FA4 | US136069FA45 | B94FBG6 | CANADIAN IMPERIAL BANK OF COMM | 1.55 | 12/23/2017 | 300,000 | $ | 300,454 | ||||||||||
14040HAX3 | US14040HAX35 | CAPITAL ONE FINANCIAL CORP | 3.15 | 7/15/2016 | 100,000 | $ | 102,541 | |||||||||||
140420NE6 | US140420NE62 | BG6LCP7 | CAPITAL ONE BANK USA NA | 2.15 | 10/21/2018 | 1,950,000 | $ | 1,961,113 | ||||||||||
14042E3V0 | US14042E3V09 | CAPITAL ONE FIN CORP | 1.50 | 3/22/2018 | 100,000 | $ | 99,040 | |||||||||||
14042E4A5 | US14042E4A52 | CAPITAL ONE BANK USA NA | 2.40 | 8/15/2019 | 5,950,000 | $ | 5,968,232 | |||||||||||
14912L6D8 | US14912L6D80 | CATERPILLAR INC | 1.25 | 8/18/2017 | 8,530,000 | $ | 8,556,557 | |||||||||||
172967ES6 | US172967ES69 | CITIGROUP INC | 6.13 | 5/15/2018 | 8,500,000 | $ | 9,574,315 | |||||||||||
172967EV9 | US172967EV98 | B4R2N29 | CITIGROUP INC | 8.50 | 5/22/2019 | 4,000,000 | $ | 4,983,926 | ||||||||||
172967FS5 | US172967FS50 | CITIGROUP INC | 3.95 | 6/15/2016 | 150,000 | $ | 155,096 | |||||||||||
172967GL9 | US172967GL98 | B9C6VB6 | CITIGROUP INC | 3.38 | 3/1/2023 | 5,000,000 | $ | 5,119,428 | ||||||||||
172967HC8 | US172967HC80 | BF2DHT9 | CITIGROUP INC | 2.50 | 9/26/2018 | 3,890,000 | $ | 3,961,354 | ||||||||||
172967HH7 | US172967HH77 | BGDXJR7 | CITIGROUP INC | 0.94 | 11/15/2016 | 800,000 | $ | 801,456 | ||||||||||
172967HK0 | US172967HK07 | BKH0M06 | CITIGROUP INC | 1.35 | 3/10/2017 | 4,440,000 | $ | 4,430,929 | ||||||||||
172967HL8 | US172967HL89 | BK1KRN0 | CITIGROUP INC | 0.80 | 3/10/2017 | 900,000 | $ | 899,262 | ||||||||||
172967HM6 | US172967HM62 | CITIGROUP INC | 2.55 | 4/8/2019 | 200,000 | $ | 203,639 | |||||||||||
172967HY0 | US172967HY01 | CITIGROUP INC | 1.55 | 8/14/2017 | 150,000 | $ | 149,801 | |||||||||||
172967JH5 | US172967JH59 | CITIGROUP INC | 1.80 | 2/5/2018 | 3,500,000 | $ | 3,501,604 | |||||||||||
17401QAA9 | US17401QAA94 | CITIZENS BANK NA | 1.60 | 11/4/2017 | 2,985,000 | $ | 2,976,662 | |||||||||||
20271RAH3 | US20271RAH30 | COMMONWEALTH BANK AUSTRALIA | 2.30 | 9/6/2019 | 250,000 | $ | 253,101 | |||||||||||
20451PKM7 | US20451PKM76 | BR23ZR7 | COMPASS BANK | 1.85 | 8/29/2017 | 1,570,000 | $ | 1,572,702 | ||||||||||
20451PKN5 | US20451PKN59 | COMPASS BANK | 2.75 | 8/29/2019 | 2,300,000 | $ | 2,324,298 | |||||||||||
21685WBL0 | US21685WBL00 | RABOBANK NEDERLAND NV | 2.13 | 10/13/2015 | 5,000,000 | $ | 5,042,100 |
Page 27
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
21685WBT3 | US21685WBT36 | B3N4LW8 | RABOBANK NEDERLAND NV | 4.50 | 1/11/2021 | 5,000,000 | $ | 5,572,937 | ||||||||||
21686CAD2 | US21686CAD20 | B5MKX70 | RABOBANK NEDERLAND NV | 3.38 | 1/19/2017 | 3,610,000 | $ | 3,748,901 | ||||||||||
21688AAA0 | US21688AAA07 | BHZLVT2 | RABOBANK NEDERLAND NV | 2.25 | 1/14/2019 | 5,250,000 | $ | 5,307,946 | ||||||||||
21688AAD4 | US21688AAD46 | RABOBANK NEDERLAND NV | 2.25 | 1/14/2020 | 3,250,000 | $ | 3,262,326 | |||||||||||
21987AAB6 | US21987AAB61 | B840KG7 | CORPBANCA | 3.13 | 1/15/2018 | 200,000 | $ | 198,250 | ||||||||||
22532LAJ3 | US22532LAJ35 | BF7ZP41 | CREDIT AGRICOLE SA | 2.63 | 10/3/2018 | 3,000,000 | $ | 3,075,160 | ||||||||||
22532LAL8 | US22532LAL80 | BLNN671 | CREDIT AGRICOLE SA/LONDON | 2.50 | 4/15/2019 | 3,400,000 | $ | 3,474,163 | ||||||||||
22541HCC4 | US22541HCC43 | CREDIT SUISSE NEW YORK NY | 6.00 | 2/15/2018 | 200,000 | $ | 221,902 | |||||||||||
22546QAN7 | US22546QAN79 | BMW3FD8 | CREDIT SUISSE NEW YORK NY | 2.30 | 5/28/2019 | 14,300,000 | $ | 14,449,713 | ||||||||||
22546QAT4 | US22546QAT40 | BVRZCD1 | CREDIT SUISSE NEW YORK NY | 1.75 | 1/29/2018 | 10,000,000 | $ | 10,010,059 | ||||||||||
22966RAA4 | US22966RAA41 | B7K4WZ9 | CUBESMART | 4.80 | 4/15/2022 | 4,025,000 | $ | 4,459,244 | ||||||||||
22966RAB2 | US22966RAB24 | BH6Y491 | CUBESMART LP | 4.38 | 9/15/2023 | 1,200,000 | $ | 1,291,458 | ||||||||||
23329PAA8 | US23329PAA84 | B7V06S7 | DNB BANK ASA | 3.20 | 4/3/2017 | 8,825,000 | $ | 9,145,722 | ||||||||||
25152RVR1 | US25152RVR10 | BJT80S5 | DEUTSCHE BK LDN | 1.40 | 2/13/2017 | 150,000 | $ | 150,256 | ||||||||||
25152RWY5 | US25152RWY51 | DEUTSCHE BK LDN | 1.35 | 5/30/2017 | 100,000 | $ | 99,815 | |||||||||||
25152RYD9 | US25152RYD96 | BVXC6H8 | DEUTSCHE BK LDN | 1.88 | 2/13/2018 | 150,000 | $ | 150,592 | ||||||||||
25215BAA1 | US25215BAA17 | DEXIA CREDIT LOCAL/NEW YORK | 1.25 | 10/18/2016 | 11,350,000 | $ | 11,429,108 | |||||||||||
25466AAC5 | US25466AAC53 | DISCOVER BANK/GREENWOOD DE | 2.00 | 2/21/2018 | 3,975,000 | $ | 3,976,843 | |||||||||||
25466AAD3 | US25466AAD37 | BCZM4H9 | DISCOVER BANK/GREENWOOD DE | 4.20 | 8/8/2023 | 4,750,000 | $ | 5,005,358 | ||||||||||
26249QAC2 | DRYDEN 38 SR LN FD DRYDEN | 1.73 | 3/27/2027 | 1,600,000 | $ | 1,600,000 | ||||||||||||
26884AAX1 | US26884AAX19 | ERP OPER LP | 5.75 | 6/15/2017 | 150,000 | $ | 164,269 | |||||||||||
31677QAY5 | US31677QAY52 | BGM1BZ4 | FIFTH THIRD BANK | 1.15 | 10/18/2016 | 1,335,000 | $ | 1,334,856 | ||||||||||
31677QAZ2 | US31677QAZ28 | BG6LNX2 | FIFTH THIRD BANK | 0.77 | 10/18/2016 | 2,000,000 | $ | 2,006,880 | ||||||||||
31677QBA6 | US31677QBA67 | BLTW6F0 | FIFTH THIRD BANK | 1.35 | 6/1/2017 | 2,000,000 | $ | 1,996,292 | ||||||||||
31677QBB4 | US31677QBB41 | BLTW6D8 | FIFTH THIRD BANK | 2.38 | 3/25/2019 | 2,445,000 | $ | 2,482,211 | ||||||||||
31677QBC2 | US31677QBC24 | FIFTH THIRD BANK | 2.88 | 9/1/2021 | 6,000,000 | $ | 6,077,181 | |||||||||||
354613AH4 | US354613AH43 | FRANKLIN RESOURCES INC | 1.38 | 9/15/2017 | 4,000,000 | $ | 4,011,374 | |||||||||||
36962G2T0 | US36962G2T02 | B1WWZR2 | GENERAL ELECTRIC CAPITAL CORP | 5.55 | 5/4/2020 | 5,000,000 | $ | 5,821,976 | ||||||||||
36962G3H5 | US36962G3H54 | GENERAL ELECTRIC CAPITAL CORP | 5.63 | 9/15/2017 | 4,000,000 | $ | 4,421,154 | |||||||||||
36962G3U6 | US36962G3U65 | B2R0M22 | GENERAL ELECTRIC CAPITAL CORP | 5.63 | 5/1/2018 | 400,000 | $ | 448,717 | ||||||||||
36962G4D3 | US36962G4D32 | GENERAL ELECTRIC CAPITAL CORP | 6.00 | 8/7/2019 | 300,000 | $ | 350,759 | |||||||||||
36962G4J0 | US36962G4J02 | GENERAL ELECTRIC CAPITAL CORP | 5.50 | 1/8/2020 | 150,000 | $ | 173,351 | |||||||||||
36962G5W0 | US36962G5W04 | B8CM946 | GENERAL ELECTRIC CAPITAL CORP | 2.30 | 4/27/2017 | 5,000,000 | $ | 5,127,041 | ||||||||||
36962G6K5 | US36962G6K56 | B92RSQ3 | GENERAL ELECTRIC CAPITAL CORP | 1.60 | 11/20/2017 | 6,000,000 | $ | 6,060,976 | ||||||||||
36962G7J7 | US36962G7J74 | GENERAL ELECTRIC CAPITAL CORP | 1.25 | 4/13/2017 | 3,600,000 | $ | 3,615,389 | |||||||||||
36962G7M0 | US36962G7M04 | GENERAL ELECTRIC CAPITAL CORP | 2.20 | 12/9/2019 | 11,560,000 | $ | 11,680,615 | |||||||||||
36962GW75 | US36962GW752 | GENERAL ELECTRIC CAPITAL CORP | 0.64 | 5/5/2026 | 4,000,000 | $ | 3,752,040 | |||||||||||
369668AA6 | US369668AA67 | B8CY7W6 | GENERAL ELECTRIC CAP CORP | 3.80 | 6/18/2019 | 4,000,000 | $ | 4,251,834 |
Page 28
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
38141EA25 | US38141EA257 | GOLDMAN SACHS GROUP INC/THE | 7.50 | 2/15/2019 | 8,600,000 | $ | 10,273,556 | |||||||||||
38141EC49 | US38141EC493 | GOLDMAN SACHS GROUP INC/THE | 1.07 | 12/15/2017 | 1,100,000 | $ | 1,104,598 | |||||||||||
38141GRC0 | US38141GRC05 | B9DL5D0 | GOLDMAN SACHS GROUP INC/THE | 2.38 | 1/22/2018 | 400,000 | $ | 407,777 | ||||||||||
38143USC6 | US38143USC61 | GOLDMAN SACHS GROUP INC/THE | 3.63 | 2/7/2016 | 2,685,000 | $ | 2,742,378 | |||||||||||
38145XAA1 | US38145XAA19 | BJHHNN0 | GOLDMAN SACHS GROUP INC/THE | 2.63 | 1/31/2019 | 4,715,000 | $ | 4,792,358 | ||||||||||
38147MAA3 | US38147MAA36 | BCDL3R1 | GOLDMAN SACHS GROUP INC/THE | 2.90 | 7/19/2018 | 785,000 | $ | 810,412 | ||||||||||
38148FAB5 | US38148FAB58 | GOLDMAN SACHS GROUP INC/THE | 2.55 | 10/23/2019 | 2,200,000 | $ | 2,225,975 | |||||||||||
38148LAA4 | US38148LAA44 | GOLDMAN SACHS GROUP INC/THE | 2.60 | 3/23/2020 | 2,575,000 | $ | 2,595,939 | |||||||||||
384780AA0 | US384780AA02 | GRAIN SPECTRUM FUNDING II LLC | 3.29 | 12/30/2032 | 935,000 | $ | 942,147 | |||||||||||
40411EAB4 | US40411EAB48 | BANK OF SCOTLAND PLC | 5.25 | 2/21/2017 | 5,300,000 | $ | 5,707,199 | |||||||||||
40414LAF6 | US40414LAF67 | B4ZKW73 | HCP INC | 3.75 | 11/1/2018 | 300,000 | $ | 315,665 | ||||||||||
40428HPH9 | US40428HPH92 | HSBC USA INC | 1.63 | 1/16/2018 | 6,360,000 | $ | 6,370,664 | |||||||||||
40428HPL0 | US40428HPL05 | HSBC USA INC | 1.50 | 11/13/2017 | 1,000,000 | $ | 1,002,634 | |||||||||||
40428HPR7 | US40428HPR74 | HSBC USA INC | 2.35 | 3/5/2020 | 9,625,000 | $ | 9,658,023 | |||||||||||
40429CFN7 | US40429CFN74 | HSBC FINANCE CORP | 5.50 | 1/19/2016 | 1,750,000 | $ | 1,811,478 | |||||||||||
40429CGD8 | US40429CGD83 | B55NY95 | HSBC FINANCE CORP | 6.68 | 1/15/2021 | 11,000,000 | $ | 13,020,666 | ||||||||||
4042Q1AC1 | US4042Q1AC12 | B23YJS3 | HSBC BANK USA NA/NEW YORK NY | 6.00 | 8/9/2017 | 500,000 | $ | 547,514 | ||||||||||
42217KAZ9 | US42217KAZ93 | B83ZCP6 | HEALTH CARE REIT INC | 2.25 | 3/15/2018 | 2,410,000 | $ | 2,440,854 | ||||||||||
42225UAC8 | US42225UAC80 | HEALTHCARE TRUST OF AMERICA HO | 3.38 | 5/15/2021 | 1,325,000 | $ | 1,339,568 | |||||||||||
44106MAH5 | US44106MAH51 | B172LK2 | HOSPITALITY PROPERTIES TRUST | 6.30 | 12/15/2015 | 100,000 | $ | 103,348 | ||||||||||
446438RF2 | US446438RF27 | BGLPHL5 | HUNTINGTON NATIONAL BANK THE | 1.30 | 10/20/2016 | 2,670,000 | $ | 2,670,939 | ||||||||||
446438RG0 | US446438RG00 | BK5GXV4 | HUNTINGTON NATIONAL BANK THE | 2.20 | 3/1/2019 | 136,000 | $ | 136,633 | ||||||||||
446438RH8 | US446438RH82 | HUNTINGTON NATIONAL BANK THE | 1.38 | 3/25/2017 | 7,705,000 | $ | 7,687,507 | |||||||||||
44841DAA0 | US44841DAA00 | BS9VG23 | HUTCHISON WHAMPOA FIN (CI) LTD | 1.63 | 10/31/2017 | 440,000 | $ | 437,988 | ||||||||||
449786AQ5 | US449786AQ58 | B7D85L5 | ING BANK NV | 3.75 | 3/7/2017 | 3,000,000 | $ | 3,133,578 | ||||||||||
45580KAB4 | US45580KAB44 | INDUSTRIAL & COMMERCIAL BANK O | 2.35 | 11/13/2017 | 420,000 | $ | 420,479 | |||||||||||
45685EAE6 | US45685EAE68 | BCZQ5K1 | VOYA FINANCIAL INC | 2.90 | 2/15/2018 | 250,000 | $ | 257,639 | ||||||||||
46115HAJ6 | US46115HAJ68 | B88WZ86 | INTESA SANPAOLO SPA | 3.88 | 1/16/2018 | 250,000 | $ | 261,043 | ||||||||||
46625HHS2 | US46625HHS22 | JPMORGAN CHASE & CO | 4.40 | 7/22/2020 | 3,925,000 | $ | 4,308,642 | |||||||||||
46625HJA9 | US46625HJA95 | JPMORGAN CHASE & CO | 3.15 | 7/5/2016 | 300,000 | $ | 307,652 | |||||||||||
46625HJL5 | US46625HJL50 | B96WDW5 | JPMORGAN CHASE & CO | 1.63 | 5/15/2018 | 1,685,000 | $ | 1,676,933 | ||||||||||
46625HJR2 | US46625HJR21 | BJ62ZH4 | JPMORGAN CHASE & CO | 2.35 | 1/28/2019 | 2,185,000 | $ | 2,218,991 | ||||||||||
46625HJS0 | US46625HJS04 | BJ62ZF2 | JPMORGAN CHASE & CO | 0.89 | 1/28/2019 | 10,525,000 | $ | 10,544,471 | ||||||||||
46625HKA7 | US46625HKA76 | BVFJP03 | JPMORGAN CHASE & CO | 2.25 | 12/23/2019 | 10,370,000 | $ | 10,367,232 | ||||||||||
472319AK8 | US472319AK86 | JEFFERIES GROUP LLC | 5.13 | 4/13/2018 | 300,000 | $ | 315,384 | |||||||||||
47232MAA0 | US47232MAA09 | JEFFERIES FINANC | 7.38 | 4/1/2020 | 1,000,000 | $ | 970,000 | |||||||||||
48121CYK6 | US48121CYK60 | B27ZBZ3 | JPMORGAN CHASE BANK NA | 6.00 | 10/1/2017 | 5,000,000 | $ | 5,529,643 | ||||||||||
48126EAA5 | US48126EAA55 | JPMORGAN CHASE & CO | 2.00 | 8/15/2017 | 9,775,000 | $ | 9,914,300 | |||||||||||
48127HAA7 | US48127HAA77 | BRK9HM6 | JPMORGAN CHASE & CO | 2.20 | 10/22/2019 | 1,100,000 | $ | 1,101,141 | ||||||||||
49327M2A1 | US49327M2A10 | KEY BANK NATIONAL ASSOCIATION | 1.65 | 2/1/2018 | 6,900,000 | $ | 6,918,414 |
Page 29
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
49327M2F0 | US49327M2F07 | BSPCB25 | KEY BANK NATIONAL ASSOCIATION | 2.50 | 12/15/2019 | 3,445,000 | $ | 3,502,354 | ||||||||||
49327M2G8 | US49327M2G89 | BVG7DY6 | KEYBANK NA/CLEVELAND OH | 2.25 | 3/16/2020 | 8,370,000 | $ | 8,418,456 | ||||||||||
49427RAH5 | US49427RAH57 | B3MWLM3 | KILROY REALTY LP | 4.80 | 4/15/2018 | 200,000 | $ | 215,713 | ||||||||||
49427RAK8 | US49427RAK86 | BPRW702 | KILROY REALTY LP | 4.25 | 5/15/2029 | 5,725,000 | $ | 6,015,329 | ||||||||||
52206AAB6 | US52206AAB61 | LEASEPLAN CORPORATION NV | 2.50 | 5/16/2018 | 1,500,000 | $ | 1,507,483 | |||||||||||
534187AX7 | US534187AX79 | LINCOLN NATIONAL CORPORATION | 8.75 | 7/1/2019 | 100,000 | $ | 125,848 | |||||||||||
53944VAA7 | US53944VAA70 | BGPGP65 | LLOYDS BANK PLC | 2.30 | 11/27/2018 | 1,000,000 | $ | 1,014,294 | ||||||||||
53944VAE9 | US53944VAE92 | BWCN5T4 | LLOYDS BANK PLC | 2.40 | 3/17/2020 | 6,150,000 | $ | 6,200,116 | ||||||||||
539473AQ1 | US539473AQ13 | B77GZ60 | LLOYDS BANK PLC | 4.20 | 3/28/2017 | 100,000 | $ | 105,669 | ||||||||||
55608PAE4 | US55608PAE43 | MACQUARIE BANK LTD | 1.65 | 3/24/2017 | 1,800,000 | $ | 1,803,251 | |||||||||||
55608PAH7 | US55608PAH73 | MACQUARIE BANK LTD | 2.60 | 6/24/2019 | 4,000,000 | $ | 4,051,945 | |||||||||||
55608PAM6 | US55608PAM68 | BVFCT99 | MACQUARIE BANK LTD | 2.40 | 1/21/2020 | 2,500,000 | $ | 2,516,288 | ||||||||||
564759QB7 | US564759QB72 | MANUFACTURERS AND TRADERS TRUS | 5.63 | 12/1/2016 | 250,000 | $ | 258,297 | |||||||||||
585515AE9 | US585515AE93 | MELLON FUNDING CORPORATION | 5.50 | 11/15/2018 | 4,050,000 | $ | 4,542,350 | |||||||||||
59018YJ69 | US59018YJ698 | MERRILL LYNCH & CO. INC. | 6.40 | 8/28/2017 | 5,000,000 | $ | 5,552,508 | |||||||||||
59156RAR9 | US59156RAR93 | B3CNV37 | METLIFE INC | 6.82 | 8/15/2018 | 300,000 | $ | 350,063 | ||||||||||
59217GBH1 | US59217GBH11 | METLIFE GLOBAL FUNDING INC I | 1.30 | 4/10/2017 | 2,620,000 | $ | 2,631,672 | |||||||||||
60682VAA8 | US60682VAA89 | BRJL0J1 | MITSUBISHI UFJ TRUST AND BANKI | 1.60 | 10/16/2017 | 3,600,000 | $ | 3,595,799 | ||||||||||
60688XAA8 | US60688XAA81 | MIZUHO CORPORATE BANK LTD | 1.30 | 4/16/2017 | 2,820,000 | $ | 2,811,686 | |||||||||||
60688XAJ9 | US60688XAJ90 | BQXX223 | MIZUHO BANK LTD | 1.70 | 9/25/2017 | 2,155,000 | $ | 2,157,767 | ||||||||||
60688XAQ3 | US60688XAQ34 | MIZUHO CORPORATE BANK LTD | 1.80 | 3/26/2018 | 6,000,000 | $ | 6,011,790 | |||||||||||
6174466Q7 | US6174466Q77 | MORGAN STANLEY | 6.63 | 4/1/2018 | 10,850,000 | $ | 12,309,858 | |||||||||||
6174467U7 | US6174467U70 | B9NSB44 | MORGAN STANLEY | 2.13 | 4/25/2018 | 1,150,000 | $ | 1,159,960 | ||||||||||
6174467Y9 | US6174467Y92 | MORGAN STANLEY | 4.35 | 9/8/2026 | 925,000 | $ | 965,427 | |||||||||||
61746BDM5 | US61746BDM54 | BJ62YY4 | MORGAN STANLEY | 2.50 | 1/24/2019 | 4,720,000 | $ | 4,810,394 | ||||||||||
61746BDR4 | US61746BDR42 | MORGAN STANLEY | 2.38 | 7/23/2019 | 2,400,000 | $ | 2,414,602 | |||||||||||
61746SBR9 | US61746SBR94 | B0MTBG7 | MORGAN STANLEY | 5.38 | 10/15/2015 | 500,000 | $ | 511,825 | ||||||||||
61747YCG8 | US61747YCG89 | B4KXLQ9 | MORGAN STANLEY | 7.30 | 5/13/2019 | 4,500,000 | $ | 5,373,724 | ||||||||||
61747YDD4 | US61747YDD40 | MORGAN STANLEY | 3.80 | 4/29/2016 | 3,565,000 | $ | 3,665,608 | |||||||||||
61747YDW2 | US61747YDW21 | MORGAN STANLEY | 2.65 | 1/27/2020 | 3,200,000 | $ | 3,247,006 | |||||||||||
61761JVL0 | US61761JVL06 | MORGAN STANLEY | 3.70 | 10/23/2024 | 15,350,000 | $ | 15,948,005 | |||||||||||
629491AB7 | US629491AB74 | B88FHQ7 | NYSE EURONEXT | 2.00 | 10/5/2017 | 3,000,000 | $ | 3,041,510 | ||||||||||
63254AAB4 | US63254AAB44 | B5NXWR1 | NATIONAL AUSTRALIA BANK LIMITE | 2.75 | 3/9/2017 | 150,000 | $ | 154,509 | ||||||||||
6325C0CU3 | US6325C0CU32 | BKRHFG4 | NATIONAL AUSTRALIA BNK LIMITED | 1.25 | 3/17/2017 | 3,850,000 | $ | 3,854,685 | ||||||||||
63307AAA3 | US63307AAA34 | B3TKSW9 | NATIONAL BK OF CANADA | 1.45 | 10/7/2017 | 1,885,000 | $ | 1,877,486 | ||||||||||
637432MW2 | US637432MW21 | NATIONAL RURAL UTILITIES COOP | 1.10 | 1/27/2017 | 200,000 | $ | 199,794 | |||||||||||
637432NC5 | US637432NC57 | BVGCLW5 | NATIONAL RURAL UTILITIES COOP | 2.00 | 1/27/2020 | 1,250,000 | $ | 1,245,657 | ||||||||||
65535HAD1 | US65535HAD17 | B9659D7 | NOMURA HOLDINGS INC | 2.00 | 9/13/2016 | 250,000 | $ | 252,300 | ||||||||||
65557CAH6 | US65557CAH60 | BL9FKK2 | NORDEA BANK AB | 1.25 | 4/4/2017 | 1,890,000 | $ | 1,885,634 | ||||||||||
681936BC3 | US681936BC35 | OMEGA HEALTHCARE INVESTORS INC | 4.50 | 10/15/2024 | 2,500,000 | $ | 2,522,056 | |||||||||||
686330AG6 | US686330AG66 | B7RRT05 | ORIX CORP | 3.75 | 3/9/2017 | 100,000 | $ | 103,938 | ||||||||||
693476BJ1 | US693476BJ13 | PNC FUNDING CORP | 5.13 | 2/8/2020 | 3,000,000 | $ | 3,405,287 |
Page 30
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
693476BL6 | US693476BL68 | PNC FUNDING CORP | 4.38 | 8/11/2020 | 2,950,000 | $ | 3,260,803 | |||||||||||
69349LAA6 | US69349LAA61 | B04V3P4 | PNC BANK NATIONAL ASSOCIATION | 5.25 | 1/15/2017 | 3,000,000 | $ | 3,201,794 | ||||||||||
69349LAC2 | US69349LAC28 | B0LCWK8 | PNC BANK NATIONAL ASSOCIATION | 4.88 | 9/21/2017 | 250,000 | $ | 269,092 | ||||||||||
69349LAP3 | US69349LAP31 | BFVQ197 | PNC BANK NATIONAL ASSOCIATION | 1.15 | 10/1/2016 | 9,890,000 | $ | 9,902,209 | ||||||||||
69353RDD7 | US69353RDD70 | PNC BANK NATIONAL ASSOCIATION | 2.25 | 6/2/2019 | 7,650,000 | $ | 7,739,635 | |||||||||||
74341DAA2 | US74341DAA28 | B8B3CR4 | PROLOGIS INTERNATIONAL FUNDING | 4.88 | 2/15/2020 | 1,400,000 | $ | 1,506,549 | ||||||||||
74387UAG6 | US74387UAG67 | BB1J541 | PROVIDENT FUNDING ASSOCIATES L | 6.75 | 6/15/2021 | 500,000 | $ | 477,500 | ||||||||||
74432QAY1 | US74432QAY17 | B3BNL94 | PRUDENTIAL FINANCIAL INC | 6.10 | 6/15/2017 | 100,000 | $ | 110,108 | ||||||||||
74432QBW4 | US74432QBW42 | BCZYK33 | PRUDENTIAL FINANCIAL INC | 2.30 | 8/15/2018 | 200,000 | $ | 203,696 | ||||||||||
74977EPZ0 | US74977EPZ06 | RABOBANK NEDERLAND NV | 1.70 | 3/19/2018 | 2,375,000 | $ | 2,379,578 | |||||||||||
756109AJ3 | US756109AJ30 | B1DWW70 | REALTY INCOME CORP | 5.95 | 9/15/2016 | 150,000 | $ | 160,346 | ||||||||||
78008SVD5 | US78008SVD51 | ROYAL BANK OF CANADA | 1.50 | 1/16/2018 | 250,000 | $ | 251,207 | |||||||||||
78008TLB8 | US78008TLB88 | ROYAL BANK OF CANADA | 2.30 | 7/20/2016 | 300,000 | $ | 305,792 | |||||||||||
780097AW1 | US780097AW11 | ROYAL BANK OF SCOTLAND PLC THE | 6.40 | 10/21/2019 | 125,000 | $ | 144,258 | |||||||||||
78009PCC3 | US78009PCC32 | ROYAL BANK OF SCOTLAND PLC | 4.38 | 3/16/2016 | 9,120,000 | $ | 9,409,514 | |||||||||||
78010U4A2 | US78010U4A25 | BRJGGL0 | ROYAL BANK OF CANADA | 1.40 | 10/13/2017 | 5,000,000 | $ | 5,014,035 | ||||||||||
78010UBY2 | US78010UBY29 | BDFMH00 | ROYAL BANK OF CANADA | 1.45 | 9/9/2016 | 3,110,000 | $ | 3,135,421 | ||||||||||
78010UD20 | US78010UD206 | ROYAL BANK OF CANADA | 1.25 | 6/16/2017 | 1,100,000 | $ | 1,102,460 | |||||||||||
78011DAC8 | US78011DAC83 | B6W2NM8 | ROYAL BANK OF CANADA | 1.20 | 9/19/2017 | 9,500,000 | $ | 9,503,420 | ||||||||||
78403DAB6 | US78403DAB64 | B5B2Z48 | SBA TOWER TRUST | 5.10 | 4/17/2017 | 2,300,000 | $ | 2,405,524 | ||||||||||
78469BAA3 | US78469BAA35 | B92KXG7 | SPENCER SPIRIT HOLDINGS INC | 9.00 | 5/1/2015 | 614,000 | $ | 622,443 | ||||||||||
80280JDB4 | US80280JDB44 | BV9CM85 | SOVEREIGN BANK | 2.00 | 10/12/2017 | 1,500,000 | $ | 1,501,831 | ||||||||||
80282KAC0 | US80282KAC09 | BD5M3L3 | SANTANDER HOLDINGS USA INC | 3.45 | 7/27/2018 | 2,650,000 | $ | 2,754,426 | ||||||||||
808513AK1 | US808513AK10 | CHARLES SCHWAB CORPORATIO | 1.50 | 2/10/2018 | 950,000 | $ | 954,570 | |||||||||||
81618TAA8 | US81618TAA88 | SELECT INCOME REIT | 2.85 | 1/1/2018 | 1,000,000 | $ | 1,007,034 | |||||||||||
81618TAB6 | US81618TAB61 | SELECT INCOME REIT | 3.60 | 1/1/2020 | 825,000 | $ | 843,233 | |||||||||||
81721MAJ8 | US81721MAJ80 | SENIOR HOUSING PROPERTIES TRUS | 3.25 | 2/1/2019 | 3,675,000 | $ | 3,731,293 | |||||||||||
81721MAK5 | US81721MAK53 | SENIOR HOUSING PROPERTIES TRUS | 4.75 | 11/1/2023 | 3,475,000 | $ | 3,603,033 | |||||||||||
828807CM7 | US828807CM76 | B951F05 | SIMON PROPERTY GROUP LP | 1.50 | 11/1/2017 | 14,000,000 | $ | 14,013,056 | ||||||||||
828807CQ8 | US828807CQ80 | BJ33B16 | SIMON PROPERTY GROUP LP | 2.20 | 11/1/2018 | 250,000 | $ | 253,840 | ||||||||||
83368RAC6 | US83368RAC60 | B87M8N3 | SOCIETE GENERALE SA | 2.75 | 10/12/2017 | 250,000 | $ | 256,681 | ||||||||||
83609EAC4 | US83609EAC49 | SOUND PT CLO VIII LTD / SOUND | 1.98 | 4/15/2027 | 19,050,000 | $ | 19,002,375 | |||||||||||
83609EAE0 | US83609EAE05 | SOUND PT CLO VIII LTD / SOUND | 2.80 | 4/15/2027 | 3,750,000 | $ | 3,667,875 | |||||||||||
853254AS9 | US853254AS94 | BQQP710 | STANDARD CHARTERED PLC | 2.40 | 9/8/2019 | 4,100,000 | $ | 4,168,241 | ||||||||||
865622AV6 | US865622AV64 | B7C18V6 | SUMITOMO MITSUI BANKING CORP | 1.80 | 7/18/2017 | 250,000 | $ | 251,082 | ||||||||||
865622AY0 | US865622AY04 | B995ML3 | SUMITOMO MITSUI BANKING CORP | 1.50 | 1/18/2018 | 2,205,000 | $ | 2,199,390 | ||||||||||
865622BB9 | US865622BB91 | BCBRJH3 | SUMITOMO MITSUI BANKING CORP | 0.93 | 7/19/2016 | 2,000,000 | $ | 2,007,420 |
Page 31
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
865622BR4 | US865622BR44 | SUMITOMO MITSUI BANKING CORP | 2.45 | 1/16/2020 | 250,000 | $ | 252,871 | |||||||||||
86787EAP2 | US86787EAP25 | BJ62ZN0 | SUNTRUST BANKS INC | 1.35 | 1/15/2017 | 1,240,000 | $ | 1,241,595 | ||||||||||
867914BE2 | US867914BE26 | SUNTRUST BANKS INC | 3.50 | 12/20/2016 | 250,000 | $ | 259,812 | |||||||||||
86960BAB8 | US86960BAB80 | SVENSKA HANDELSBANKEN AB | 2.88 | 4/4/2017 | 5,000,000 | $ | 5,167,009 | |||||||||||
86960BAE2 | US86960BAE20 | BF2DR99 | SVENSKA HANDELSBANKEN AB | 2.50 | 1/25/2019 | 250,000 | $ | 256,463 | ||||||||||
87020PAA5 | US87020PAA57 | B7VQS78 | SWEDBANK AB | 2.13 | 9/29/2017 | 2,240,000 | $ | 2,273,766 | ||||||||||
87020PAC1 | US87020PAC14 | B7T9Y60 | SWEDBANK AB | 1.75 | 3/12/2018 | 8,025,000 | $ | 8,040,346 | ||||||||||
87165BAA1 | US87165BAA17 | SYNCHRONY FINANCIAL | 1.88 | 7/15/2017 | 20,000 | $ | 20,008 | |||||||||||
87165BAB9 | US87165BAB99 | BPYKS40 | SYNCHRONY FINANCIAL | 3.00 | 7/15/2019 | 3,850,000 | $ | 3,920,597 | ||||||||||
87165BAE3 | US87165BAE39 | BVRZ930 | SYNCHRONY FINANCIAL | 2.70 | 1/3/2020 | 6,600,000 | $ | 6,627,572 | ||||||||||
87236YAE8 | US87236YAE86 | TD AMERITRADE HLDG CORP | 2.95 | 2/1/2022 | 8,000,000 | $ | 8,119,424 | |||||||||||
87246YAA4 | US87246YAA47 | BRTL9V6 | TIAA ASSET MANAGEMENT FINANCE | 2.95 | 11/1/2019 | 2,365,000 | $ | 2,421,540 | ||||||||||
89114QAE8 | US89114QAE89 | TORONTO-DOMINION BANK/THE | 2.38 | 10/19/2016 | 100,000 | $ | 102,363 | |||||||||||
89114QAG3 | US89114QAG38 | TORONTO-DOMINION BANK/THE | 1.40 | 4/30/2018 | 200,000 | $ | 199,921 | |||||||||||
89114QAQ1 | US89114QAQ10 | TORONTO-DOMINION BANK/THE | 1.13 | 5/2/2017 | 8,000,000 | $ | 7,998,013 | |||||||||||
89114QAS7 | US89114QAS75 | BNNVP49 | TORONTO-DOMINION BANK/THE | 2.13 | 7/2/2019 | 250,000 | $ | 253,352 | ||||||||||
90261XBY7 | US90261XBY76 | B19JTF2 | UBS AG (STAMFORD BRANCH) | 5.88 | 7/15/2016 | 150,000 | $ | 158,527 | ||||||||||
90261XGD8 | US90261XGD84 | UBS AG (STAMFORD BRANCH) | 4.88 | 8/4/2020 | 5,500,000 | $ | 6,229,838 | |||||||||||
90261XHC9 | US90261XHC92 | UBS AG (STAMFORD BRANCH) | 1.38 | 8/14/2017 | 5,675,000 | $ | 5,657,604 | |||||||||||
90261XHE5 | US90261XHE58 | BQ16S93 | UBS AG (STAMFORD BRANCH) | 2.38 | 8/14/2019 | 250,000 | $ | 253,630 | ||||||||||
90261XHH8 | US90261XHH89 | BWGQRB5 | UBS AG (STAMFORD BRANCH) | 1.80 | 3/26/2018 | 6,000,000 | $ | 6,015,258 | ||||||||||
90331HMH3 | US90331HMH39 | US BANK NA/CINCINNATI OH | 1.38 | 8/11/2017 | 6,000,000 | $ | 6,023,403 | |||||||||||
90331HML4 | US90331HML41 | US BANK NATIONAL ASSOCIATION | 2.13 | 9/28/2019 | 3,000,000 | $ | 3,032,057 | |||||||||||
90331HMQ3 | US90331HMQ38 | US BANK NA/CINCINNATI OH | 1.35 | 12/26/2017 | 3,365,000 | $ | 3,367,418 | |||||||||||
90331HMS9 | US90331HMS93 | US BANK NA/CINCINNATI OH | 2.80 | 12/27/2024 | 6,600,000 | $ | 6,581,239 | |||||||||||
90520EAC5 | US90520EAC57 | B4P8R05 | MUFG UNION BANK NA | 3.00 | 6/6/2016 | 7,800,000 | $ | 7,981,919 | ||||||||||
90520EAE1 | US90520EAE14 | B838PZ6 | MUFG UNION BANK NA | 2.13 | 6/16/2017 | 3,400,000 | $ | 3,445,439 | ||||||||||
90520EAF8 | US90520EAF88 | MUFG UNION BANK NA | 2.25 | 4/6/2019 | 7,585,000 | $ | 7,635,614 | |||||||||||
90520GAA4 | US90520GAA40 | MUFG UNION BANK NA | 5.95 | 5/11/2016 | 250,000 | $ | 263,187 | |||||||||||
90521APH5 | US90521APH58 | BF26334 | MUFG UNION BANK NA | 1.50 | 8/26/2016 | 5,915,000 | $ | 5,947,285 | ||||||||||
90521APJ1 | US90521APJ15 | BF2DHX3 | MUFG UNION BANK NA | 2.63 | 8/26/2018 | 6,700,000 | $ | 6,863,137 | ||||||||||
91159HHB9 | US91159HHB96 | B79WKR2 | US BANCORP | 2.20 | 10/14/2016 | 150,000 | $ | 153,068 | ||||||||||
91159HHD5 | US91159HHD52 | B83W785 | US BANCORP | 1.65 | 4/15/2017 | 2,600,000 | $ | 2,633,654 | ||||||||||
91159HHE3 | US91159HHE36 | US BANCORP | 1.95 | 10/15/2018 | 100,000 | $ | 101,223 | |||||||||||
91159HHF0 | US91159HHF01 | US BANCORP | 0.75 | 10/15/2018 | 8,625,000 | $ | 8,686,237 | |||||||||||
91159HHH6 | US91159HHH66 | US BANCORP | 2.20 | 3/25/2019 | 2,155,000 | $ | 2,188,340 | |||||||||||
91529YAG1 | US91529YAG17 | UNUM GROUP | 7.13 | 9/30/2016 | 250,000 | $ | 271,106 | |||||||||||
92277GAA5 | US92277GAA58 | BF32591 | VENTAS REALTY LP/CAP CRP | 1.55 | 9/26/2016 | 117,000 | $ | 117,762 | ||||||||||
92890HAB8 | US92890HAB87 | BQSNVJ8 | WEA FINANCE LLC /WESTFIELD UK | 2.70 | 8/17/2019 | 4,645,000 | $ | 4,697,613 |
Page 32
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
929043AH0 | US929043AH00 | BN8MKD1 | VORNADO REALTY LP | 2.50 | 5/30/2019 | 2,300,000 | $ | 2,314,879 | ||||||||||
929903DT6 | US929903DT69 | B1YLRV5 | WACHOVIA CORP | 5.75 | 6/15/2017 | 3,200,000 | $ | 3,515,401 | ||||||||||
94974BEV8 | US94974BEV80 | WELLS FARGO & COMPANY | 4.60 | 4/1/2021 | 3,150,000 | $ | 3,534,015 | |||||||||||
94974BFD7 | US94974BFD73 | B7WNCM1 | WELLS FARGO & COMPANY | 2.10 | 5/8/2017 | 250,000 | $ | 255,145 | ||||||||||
94974BFG0 | US94974BFG05 | WELLS FARGO & COMPANY | 1.50 | 1/16/2018 | 3,405,000 | $ | 3,415,842 | |||||||||||
94974BFQ8 | US94974BFQ86 | BFVQ1R5 | WELLS FARGO & COMPANY | 2.15 | 1/15/2019 | 5,875,000 | $ | 5,944,345 | ||||||||||
94974BFU9 | US94974BFU98 | BLRVT27 | WELLS FARGO & COMPANY | 2.13 | 4/22/2019 | 4,955,000 | $ | 5,006,883 | ||||||||||
94974BGA2 | US94974BGA26 | BQQCMZ0 | WELLS FARGO & COMPANY | 3.30 | 9/9/2024 | 7,300,000 | $ | 7,507,193 | ||||||||||
94974BGF1 | US94974BGF13 | BVRYSR4 | WELLS FARGO & COMPANY | 2.15 | 1/30/2020 | 2,730,000 | $ | 2,739,230 | ||||||||||
94980VAF5 | US94980VAF58 | WELLS FARGO BANK NA | 0.47 | 5/16/2016 | 2,550,000 | $ | 2,544,314 | |||||||||||
959802AR0 | US959802AR06 | B83RFP3 | WESTERN UNION CO/THE | 2.88 | 12/10/2017 | 250,000 | $ | 255,324 | ||||||||||
961214BV4 | US961214BV49 | B8K0YH0 | WESTPAC BANKING CORP | 2.00 | 8/14/2017 | 3,875,000 | $ | 3,932,883 | ||||||||||
961214BZ5 | US961214BZ52 | WESTPAC BANKING CORP | 1.60 | 1/12/2018 | 250,000 | $ | 250,655 | |||||||||||
961214CD3 | US961214CD32 | BGM96T7 | WESTPAC BANKING CORP | 1.05 | 11/25/2016 | 1,135,000 | $ | 1,136,350 | ||||||||||
961214CF8 | US961214CF89 | BJ38KL4 | WESTPAC BANKING CORP | 2.25 | 1/17/2019 | 150,000 | $ | 152,930 | ||||||||||
96122WAG5 | US96122WAG50 | WESTPAC BANKING CORP | 2.00 | 5/21/2019 | 12,500,000 | $ | 12,659,125 | |||||||||||
G63255AA4 | USG63255AA42 | MUFG CAP FIN 1 | 6.35 | 150,000 | $ | 157,500 | ||||||||||||
G7S86ZBZ9 | XS0753308559 | B7J8070 | ROYAL BANK OF SCOTLAND PLC | 9.50 | 3/16/2017 | 800,000 | $ | 903,600 | ||||||||||
N4R205LL4 | XS0995102778 | BGM17S9 | ING BANK NV | 4.13 | 11/21/2018 | 12,500,000 | $ | 12,971,001 | ||||||||||
US03976GAB41 | ARDEN GRP, INC. | 5.25 | 2/19/2020 | 990,000 | $ | 988,763 | ||||||||||||
US04225YAB20 | AMERICAN STOCK TRANSFER & TRUS | 5.75 | 6/26/2020 | 2,693,037 | $ | 2,686,304 | ||||||||||||
US04649VAG59 | ASURION LLC | 5.00 | 5/24/2019 | 2,474,770 | $ | 2,481,399 | ||||||||||||
US04649VAM28 | ASURION LLC | 8.50 | 3/3/2017 | 550,000 | $ | 552,177 | ||||||||||||
US12535KAB08 | CGSC OF DELAWARE HOLDINGS CORP | 8.25 | 10/16/2020 | 250,000 | $ | 216,250 | ||||||||||||
US20822VAB18 | CONNOLLY CORP | 5.00 | 4/29/2015 | 2,430,484 | $ | 2,441,118 | ||||||||||||
US20822VAE56 | CONNOLLY CORP | 8.00 | 5/13/2022 | 380,000 | $ | 377,150 | ||||||||||||
US51676UAB52 | LARCHMONT RESOURCES LLC | 6.75 | 7/31/2019 | 787,975 | $ | 707,207 | ||||||||||||
US67574UAB44 | OCWEN LOAN SERVICING LLC | 5.00 | 2/15/2018 | 2,287,059 | $ | 2,225,119 | ||||||||||||
US93208PAG46 | WALL STREET SYSTEM HOLDINGS IN | 4.50 | 4/30/2021 | 1,795,455 | $ | 1,780,493 | ||||||||||||
US93317CAL00 | WALTER INVESTMENT MANAGEMENT C | 4.75 | 12/18/2020 | 2,845,240 | $ | 2,606,951 | ||||||||||||
XAG2412KAB26 | CGSC OF DELAWARE HOLDINGS CORP | 5.00 | 4/16/2020 | 840,038 | $ | 782,285 | ||||||||||||
XAL9308UAC44 | TRAVELPORT FINANCE LUXEMBOURG | 5.75 | 8/11/2015 | 1,496,250 | $ | 1,508,594 | ||||||||||||
PRIVATE | SHIP LUXCO 3 SARL | 5.25 | 11/29/2019 | 1,000,000 | $ | 1,002,500 | ||||||||||||
PRIVATE | CUNNINGHAM LINDSEY GROUP INC | 5.00 | 12/10/2019 | 1,506,972 | $ | 1,473,065 | ||||||||||||
PRIVATE | CONFIE SEGUROS HOLDING II CO | 5.75 | 11/9/2018 | 1,980,824 | $ | 1,980,843 | ||||||||||||
PRIVATE | CONFIE SEGUROS HOLDING II CO | 10.25 | 5/8/2019 | 185,000 | $ | 183,844 | ||||||||||||
PRIVATE | CAPITAL AUTOMOTIVE | 6.00 | 4/18/2015 | 1,180,000 | $ | 1,197,700 | ||||||||||||
PRIVATE | ASCENSUS INC | 9.00 | 12/11/2020 | 750,000 | $ | 747,656 | ||||||||||||
PRIVATE | AMERICAN BEACON ADVISORS INC | 4.75 | 11/20/2019 | 310,378 | $ | 312,706 | ||||||||||||
PRIVATE | ASSUREDPARTNERS CAPITAL INC | 7.75 | 4/2/2022 | 748,125 | $ | 721,941 | ||||||||||||
PRIVATE | REDTOP ACQUISITION LTD | 4.50 | 12/3/2020 | 1,534,500 | $ | 1,522,991 | ||||||||||||
1,077,401,105 | $ | 1,107,107,531 |
Page 33
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
CORPORATE DEBT SECURITIES - INDUSTRIAL | ||||||||||||||||||
00206RAW2 | US00206RAW25 | AT&T INC | 2.95 | 5/15/2016 | 250,000 | $ | 255,264 | |||||||||||
00206RBC5 | US00206RBC51 | AT&T INC | 1.60 | 2/15/2017 | 6,000,000 | $ | 6,017,973 | |||||||||||
00206RBM3 | US00206RBM34 | B6Z5108 | AT&T INC | 1.40 | 12/1/2017 | 3,450,000 | $ | 3,424,267 | ||||||||||
00206RCA8 | US00206RCA86 | BGPGPF4 | AT&T INC | 2.38 | 11/27/2018 | 1,685,000 | $ | 1,706,366 | ||||||||||
00287YAJ8 | US00287YAJ82 | BCZM112 | ABBVIE INC | 1.75 | 11/6/2017 | 200,000 | $ | 200,673 | ||||||||||
00289WAA9 | US00289WAA99 | BR23ZT9 | ABENGOA SA CLASS B | 6.50 | 10/1/2019 | 1,000,000 | $ | 940,000 | ||||||||||
00507UAB7 | US00507UAB70 | ACTAVIS FUNDING SCS | 1.30 | 6/15/2017 | 1,555,000 | $ | 1,544,019 | |||||||||||
00507UAM3 | US00507UAM36 | BW9RTQ4 | ACTAVIS FUNDING SCS | 2.35 | 3/12/2018 | 1,000,000 | $ | 1,012,722 | ||||||||||
00507UAP6 | US00507UAP66 | BW9PQ89 | ACTAVIS FUNDING SCS | 3.00 | 2/12/2020 | 3,470,000 | $ | 3,541,111 | ||||||||||
00507UAU5 | US00507UAU51 | BW9PQB2 | ACTAVIS FUNDING SCS | 4.75 | 9/15/2044 | 905,000 | $ | 958,546 | ||||||||||
00724FAC5 | US00724FAC59 | ADOBE SYSTEMS INC | 3.25 | 11/1/2024 | 870,000 | $ | 878,356 | |||||||||||
00766TAA8 | US00766TAA88 | BQX6MW2 | AECOM | 5.75 | 10/15/2020 | 75,000 | $ | 77,571 | ||||||||||
00817YAL2 | US00817YAL20 | B7NB8Z9 | AETNA INC | 1.50 | 10/15/2017 | 1,875,000 | $ | 1,881,668 | ||||||||||
00817YAN8 | US00817YAN85 | BK1KRR4 | AETNA INC | 2.20 | 2/15/2019 | 150,000 | $ | 151,528 | ||||||||||
00846UAG6 | US00846UAG67 | B4JZ3R1 | AGILENT TECH INC | 5.00 | 7/15/2020 | 1,140,000 | $ | 1,246,266 | ||||||||||
008916AQ1 | US008916AQ14 | BW2V4T1 | AGRIUM INC. | 4.13 | 3/15/2035 | 590,000 | $ | 585,712 | ||||||||||
009158AP1 | US009158AP10 | B3WD0J6 | AIR PRODUCTS AND CHEMICALS INC | 4.38 | 8/21/2019 | 5,250,000 | $ | 5,795,553 | ||||||||||
009363AN2 | US009363AN21 | B8DSGQ4 | AIRGAS INC | 1.65 | 2/15/2018 | 100,000 | $ | 99,767 | ||||||||||
01609WAB8 | US01609WAB81 | ALIBABA GROUP HOLDING LTD | 2.50 | 11/28/2019 | 2,254,000 | $ | 2,251,418 | |||||||||||
02076XAG7 | US02076XAG79 | BMN2GV9 | ALPHA NATURAL RESOURCES INC | 7.50 | 8/1/2020 | 500,000 | $ | 207,500 | ||||||||||
021441AE0 | US021441AE07 | BG4KTR7 | ALTERA CORPORATION | 2.50 | 11/15/2018 | 150,000 | $ | 153,754 | ||||||||||
02154VAA9 | US02154VAA98 | BLWF9X5 | ALTICE SA | 7.75 | 5/15/2022 | 750,000 | $ | 763,125 | ||||||||||
02209SAT0 | US02209SAT06 | BSM9044 | ALTRIA GROUP INC | 2.63 | 12/14/2019 | 75,000 | $ | 75,991 | ||||||||||
023135AH9 | US023135AH92 | B90JT57 | AMAZON.COM INC | 1.20 | 11/29/2017 | 150,000 | $ | 149,581 | ||||||||||
02364WAX3 | US02364WAX39 | AMERICA MOVIL SAB DE CV | 5.00 | 10/16/2019 | 100,000 | $ | 112,273 | |||||||||||
02665WAC5 | US02665WAC55 | BFGMH69 | AMERICAN HONDA FINANCE CORPORA | 2.13 | 10/10/2018 | 200,000 | $ | 203,563 | ||||||||||
02665WAH4 | US02665WAH43 | BQR9QZ8 | AMERICAN HONDA FINANCE CORPORA | 2.25 | 8/15/2019 | 2,000,000 | $ | 2,032,941 | ||||||||||
02666QD75 | US02666QD758 | B3DDVN6 | AMERICAN HONDA FINANCE CORPORA | 7.63 | 10/1/2018 | 1,803,000 | $ | 2,158,850 | ||||||||||
02666QM26 | US02666QM262 | B8JH6H6 | AMERICAN HONDA FINANCE CORPORA | 1.60 | 2/16/2018 | 800,000 | $ | 805,321 | ||||||||||
03073EAK1 | US03073EAK10 | AMERISOURCEBERGEN CORPORATION | 1.15 | 5/15/2017 | 13,895,000 | $ | 13,846,553 | |||||||||||
03073EAM7 | US03073EAM75 | BVYQ9C5 | AMERISOURCEBERGEN CORPORATION | 3.25 | 12/1/2024 | 1,700,000 | $ | 1,723,552 | ||||||||||
031162BF6 | US031162BF68 | B6SFQZ5 | AMGEN INC | 2.30 | 6/15/2016 | 150,000 | $ | 152,227 | ||||||||||
031162BL3 | US031162BL37 | AMGEN INC | 2.50 | 11/15/2016 | 2,335,000 | $ | 2,389,039 | |||||||||||
031162BR0 | US031162BR07 | AMGEN INC | 1.25 | 5/22/2017 | 100,000 | $ | 99,985 | |||||||||||
031162BU3 | US031162BU36 | BMPQNQ3 | AMGEN INC | 2.20 | 4/22/2019 | 125,000 | $ | 126,331 | ||||||||||
032095AD3 | US032095AD38 | AMPHENOL CORPORATION | 1.55 | 9/15/2017 | 50,000 | $ | 49,932 | |||||||||||
032511AX5 | US032511AX55 | B1FGZH1 | ANADARKO PETROLEUM CORPORATION | 5.95 | 9/15/2016 | 250,000 | $ | 266,492 | ||||||||||
032801AA0 | US032801AA02 | BDV82V8 | ANCESTRY.COM HOLDINGS LLC | 9.63 | 10/15/2017 | 1,000,000 | $ | 1,012,500 | ||||||||||
03523TAN8 | US03523TAN81 | ANHEUSER-BUSCH INBEV WORLDWIDE | 5.38 | 1/15/2020 | 125,000 | $ | 143,703 |
Page 34
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
03523TBA5 | US03523TBA51 | ANHEUSER-BUSCH INBEV WORLDWIDE | 2.88 | 2/15/2016 | 6,000,000 | $ | 6,116,640 | |||||||||||
03523TBN7 | US03523TBN72 | B6ZN7X7 | ANHEUSER-BUSCH INBEV WORLDWIDE | 1.38 | 7/15/2017 | 5,000,000 | $ | 5,030,184 | ||||||||||
035242AE6 | US035242AE65 | BJ7WD79 | ANHEUSER-BUSCH INBEV FINANCE I | 2.15 | 2/1/2019 | 200,000 | $ | 203,057 | ||||||||||
037411AS4 | US037411AS45 | APACHE CORP | 5.63 | 1/15/2017 | 200,000 | $ | 215,216 | |||||||||||
037411BB0 | US037411BB01 | APACHE CORP | 1.75 | 4/15/2017 | 2,000,000 | $ | 2,013,737 | |||||||||||
037833AH3 | US037833AH30 | B8HTMZ4 | APPLE INC | 0.45 | 5/3/2016 | 9,625,000 | $ | 9,613,834 | ||||||||||
037833AJ9 | US037833AJ95 | APPLE INC | 1.00 | 5/3/2018 | 450,000 | $ | 446,559 | |||||||||||
037833AM2 | US037833AM25 | APPLE INC | 1.05 | 5/5/2017 | 100,000 | $ | 100,379 | |||||||||||
037833AQ3 | US037833AQ39 | BM6NV70 | APPLE INC | 2.10 | 5/6/2019 | 3,995,000 | $ | 4,074,552 | ||||||||||
03834AAA1 | US03834AAA16 | BBH4357 | APPROACH RESOURCES INC | 7.00 | 6/15/2021 | 1,000,000 | $ | 900,000 | ||||||||||
039483AY8 | US039483AY87 | ARCHER-DANIELS-MIDLAND COMPANY | 5.45 | 3/15/2018 | 2,884,000 | $ | 3,209,177 | |||||||||||
042735BB5 | US042735BB59 | B9927N1 | ARROW ELECTRONICS INC | 3.00 | 3/1/2018 | 75,000 | $ | 77,043 | ||||||||||
046353AB4 | US046353AB45 | B24DFK3 | ASTRAZENECA PLC | 5.90 | 9/15/2017 | 150,000 | $ | 167,097 | ||||||||||
05330KAA3 | US05330KAA34 | BCZNKB8 | AUTOPISTAS METROPOLITANAS DE P | 6.75 | 6/30/2035 | 860,000 | $ | 699,638 | ||||||||||
05351LAA5 | US05351LAA52 | BF7ZP52 | AVANTI COMMUNICATIONS GROUP PL | 10.00 | 10/1/2019 | 480,000 | $ | 463,200 | ||||||||||
054303AY8 | US054303AY84 | B7ZB9W1 | AVON PRODUCTS INC | 2.63 | 3/15/2016 | 5,600,000 | $ | 5,600,000 | ||||||||||
05542HAA4 | US05542HAA41 | B974FB3 | BC MOUNTAIN LLC / BC MOUNTAIN | 7.00 | 2/1/2021 | 500,000 | $ | 471,250 | ||||||||||
05542YAA7 | IL0011312266 | BJTNTK5 | B COMMUNICATIONS LTD | 7.38 | 2/15/2020 | 1,000,000 | $ | 1,068,000 | ||||||||||
055451AP3 | US055451AP33 | B760314 | BHP BILLITON FINANCE (USA) LTD | 1.63 | 2/24/2017 | 250,000 | $ | 253,274 | ||||||||||
05565QBY3 | US05565QBY35 | B87XBN7 | BP CAPITAL MARKETS PLC | 1.85 | 5/5/2017 | 7,300,000 | $ | 7,388,577 | ||||||||||
05565QCE6 | US05565QCE61 | B93PQL7 | BP CAPITAL MARKETS PLC | 1.38 | 5/10/2018 | 200,000 | $ | 198,742 | ||||||||||
05565QCG1 | US05565QCG10 | BDGTRS8 | BP CAPITAL MARKETS PLC | 2.24 | 9/26/2018 | 7,000,000 | $ | 7,112,618 | ||||||||||
05565QCR7 | US05565QCR74 | BJT16G4 | BP CAPITAL MARKETS PLC | 2.24 | 5/10/2019 | 5,760,000 | $ | 5,803,124 | ||||||||||
05565QCX4 | US05565QCX43 | BP CAPITAL MARKETS PLC | 2.32 | 2/13/2020 | 200,000 | $ | 201,461 | |||||||||||
056752AC2 | US056752AC24 | BCSMS63 | BAIDU INC | 3.25 | 8/6/2018 | 200,000 | $ | 207,019 | ||||||||||
067901AB4 | US067901AB48 | BARRICK GOLD CORPORATION | 6.95 | 4/1/2019 | 150,000 | $ | 175,409 | |||||||||||
071813BH1 | US071813BH16 | BBG80C6 | BAXTER INTERNATIONAL INC. | 0.95 | 6/1/2016 | 200,000 | $ | 200,099 | ||||||||||
07274EAB9 | US07274EAB92 | BAYER US FINANCE LLC | 1.50 | 10/6/2017 | 1,395,000 | $ | 1,404,054 | |||||||||||
07274EAD5 | US07274EAD58 | BRG9JQ8 | BAYER US FINANCE LLC | 2.38 | 10/8/2019 | 13,720,000 | $ | 13,955,644 | ||||||||||
075887BD0 | US075887BD04 | BTDFSY4 | BECTON DICKINSON AND COMPANY | 1.80 | 12/15/2017 | 2,484,000 | $ | 2,502,547 | ||||||||||
075887BE8 | US075887BE86 | BECTON DICKINSON AND COMPANY | 2.67 | 12/15/2019 | 100,000 | $ | 102,219 | |||||||||||
075896AB6 | US075896AB63 | BP81YH4 | BED BATH & BEYOND INC. | 4.92 | 2/1/2034 | 625,000 | $ | 675,189 | ||||||||||
093645AG4 | US093645AG40 | BLOCK COMMUNICATIONS INC. | 7.25 | 2/1/2018 | 900,000 | $ | 922,500 | |||||||||||
097023BC8 | US097023BC87 | B436SX1 | BOEING CO | 3.75 | 11/20/2016 | 150,000 | $ | 157,336 | ||||||||||
101137AM9 | US101137AM97 | BOSTON SCIENTIFIC CORPORATION | 2.65 | 10/1/2018 | 3,200,000 | $ | 3,250,083 | |||||||||||
109641AF7 | US109641AF72 | B96WDJ2 | BRINKER INTERNATIONAL INC. | 2.60 | 5/15/2018 | 3,703,000 | $ | 3,729,202 | ||||||||||
110122AS7 | US110122AS73 | B7QNDS0 | BRISTOL-MYERS SQUIBB CO | 0.88 | 8/1/2017 | 100,000 | $ | 99,559 | ||||||||||
111013AM0 | US111013AM04 | BQS8386 | BRITISH SKY BROADCASTING GRP P | 2.63 | 9/16/2019 | 1,790,000 | $ | 1,808,752 | ||||||||||
111021AK7 | US111021AK71 | BJVSF55 | BRITISH TELECOMMUNICATIONS PLC | 2.35 | 2/14/2019 | 200,000 | $ | 203,371 |
Page 35
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
12008RAG2 | US12008RAG20 | B9W6HS5 | BUILDERS FIRSTSOURCE INC | 7.63 | 6/1/2019 | 1,000,000 | $ | 1,015,000 | ||||||||||
12189TBC7 | US12189TBC71 | BURLINGTON NORTHERN SANTA FE R | 4.70 | 10/1/2019 | 100,000 | $ | 111,583 | |||||||||||
12508EAA9 | US12508EAA91 | CDK GLOBAL INC | 3.30 | 9/15/2019 | 5,350,000 | $ | 5,348,643 | |||||||||||
12516UAD7 | US12516UAD72 | BKZQ303 | CEMEX FINANCE LLC | 6.00 | 4/1/2024 | 2,000,000 | $ | 1,997,500 | ||||||||||
12626PAG8 | US12626PAG81 | B1DYPH7 | CRH AMERICA INC. | 6.00 | 9/30/2016 | 250,000 | $ | 267,146 | ||||||||||
126408GM9 | US126408GM90 | CSX CORPORATION | 6.25 | 3/15/2018 | 300,000 | $ | 339,803 | |||||||||||
126650BQ2 | US126650BQ21 | B3TDF49 | CVS CAREMARK CORP | 6.94 | 11/22/2023 | 1,806,275 | $ | 2,247,972 | ||||||||||
126650CB4 | US126650CB43 | BH459S0 | CVS HEALTH CORP | 2.25 | 11/5/2018 | 250,000 | $ | 255,362 | ||||||||||
127055AJ0 | US127055AJ04 | B8779P7 | CABOT CORP | 2.55 | 1/15/2018 | 150,000 | $ | 153,526 | ||||||||||
12800UAL4 | US12800UAL44 | B76MM79 | CAISSE CENTRALE DESJARDINS | 1.60 | 3/6/2017 | 6,000,000 | $ | 6,080,160 | ||||||||||
13342BAK1 | US13342BAK17 | BH7KDJ1 | CAMERON INTERNATIONAL CORP | 1.15 | 12/15/2016 | 63,000 | $ | 62,412 | ||||||||||
134429AV1 | US134429AV11 | CAMPBELL SOUP COMPANY | 3.05 | 7/15/2017 | 200,000 | $ | 206,915 | |||||||||||
136375BY7 | US136375BY73 | CANADIAN NTL RAIL CO | 0.46 | 11/6/2015 | 2,525,000 | $ | 2,525,657 | |||||||||||
136385AK7 | US136385AK78 | B1VHPP6 | CANADIAN NATURAL RESOURCES LTD | 5.70 | 5/15/2017 | 250,000 | $ | 270,714 | ||||||||||
136385AU5 | US136385AU50 | BSN4Q51 | CANADIAN NATURAL RESOURCES LTD | 1.75 | 1/15/2018 | 4,800,000 | $ | 4,769,737 | ||||||||||
14170TAL5 | US14170TAL52 | CAREFUSION CORP | 1.45 | 5/15/2017 | 1,645,000 | $ | 1,643,042 | |||||||||||
141781AY0 | US141781AY07 | CARGILL INC | 4.31 | 5/14/2021 | 1,250,000 | $ | 1,385,200 | |||||||||||
141781BA1 | US141781BA12 | B743KV4 | CARGILL INC | 1.90 | 3/1/2017 | 6,000,000 | $ | 6,088,824 | ||||||||||
141781BB9 | US141781BB94 | B6ZM9T4 | CARGILL INC | 3.30 | 12/1/2021 | 4,000,000 | $ | 4,152,230 | ||||||||||
143658AY8 | US143658AY86 | CARNIVAL CORP | 1.88 | 12/15/2017 | 250,000 | $ | 250,738 | |||||||||||
14912L5E7 | US14912L5E72 | B8CQWX8 | CATERPILLAR INC | 1.63 | 6/1/2017 | 6,000,000 | $ | 6,052,161 | ||||||||||
14912L5J6 | US14912L5J69 | B8W8YS3 | CATERPILLAR INC | 1.25 | 11/6/2017 | 150,000 | $ | 149,973 | ||||||||||
14912L5T4 | US14912L5T42 | BCZRWZ8 | CATERPILLAR INC | 2.45 | 9/6/2018 | 150,000 | $ | 154,324 | ||||||||||
14912L5Z0 | US14912L5Z02 | BK5GXT2 | CATERPILLAR INC | 1.00 | 3/3/2017 | 200,000 | $ | 200,392 | ||||||||||
14912L6B2 | US14912L6B25 | CATERPILLAR INC | 2.10 | 6/9/2019 | 150,000 | $ | 151,832 | |||||||||||
14912L6J5 | US14912L6J50 | CATERPILLAR INC | 2.00 | 3/5/2020 | 6,475,000 | $ | 6,491,368 | |||||||||||
14987BAD5 | US14987BAD55 | BBPL0L5 | CC HLD V | 2.38 | 12/15/2017 | 100,000 | $ | 100,847 | ||||||||||
14987BAE3 | US14987BAE39 | BBPL2W0 | CC HLD V | 3.85 | 4/15/2023 | 1,000,000 | $ | 1,016,320 | ||||||||||
151020AG9 | US151020AG90 | B86M511 | CELGENE CORPORATION | 1.90 | 8/15/2017 | 2,865,000 | $ | 2,897,824 | ||||||||||
151191AQ6 | US151191AQ67 | CELULOSA ARAUCO Y CONSTITUCION | 7.25 | 7/29/2019 | 75,000 | $ | 88,031 | |||||||||||
166764AA8 | US166764AA86 | B848TY2 | CHEVRON CORP | 1.10 | 11/5/2017 | 150,000 | $ | 149,791 | ||||||||||
166764AE0 | US166764AE09 | BBN5Z69 | CHEVRON CORP | 1.72 | 5/24/2018 | 300,000 | $ | 303,546 | ||||||||||
166764AN0 | US166764AN08 | BSM5SY8 | CHEVRON CORP | 2.19 | 10/15/2019 | 7,655,000 | $ | 7,793,652 | ||||||||||
17275RAC6 | US17275RAC60 | B0Z4772 | CISCO SYSTEMS INC | 5.50 | 2/22/2016 | 1,780,000 | $ | 1,857,839 | ||||||||||
17275RAK8 | US17275RAK86 | CISCO SYSTEMS INC | 3.15 | 3/14/2017 | 2,500,000 | $ | 2,612,261 | |||||||||||
17275RAN2 | US17275RAN26 | BK27RQ3 | CISCO SYSTEMS INC | 3.63 | 3/4/2024 | 4,050,000 | $ | 4,360,928 | ||||||||||
17275RAR3 | US17275RAR30 | BK1YXP6 | CISCO SYSTEMS INC | 2.13 | 3/1/2019 | 5,350,000 | $ | 5,446,821 | ||||||||||
17302XAJ5 | US17302XAJ54 | BPCX7L1 | CITGO PETROLEUM CORPORATION | 6.25 | 8/15/2022 | 450,000 | $ | 436,500 | ||||||||||
191216AU4 | US191216AU43 | B43W442 | COCA-COLA COMPANY (THE) | 1.80 | 9/1/2016 | 100,000 | $ | 101,609 | ||||||||||
191216BD1 | US191216BD19 | BG5GY80 | COCA-COLA COMPANY (THE) | 0.75 | 11/1/2016 | 1,180,000 | $ | 1,181,725 | ||||||||||
191216BF6 | US191216BF66 | BG5GSJ9 | COCA-COLA COMPANY (THE) | 1.65 | 11/1/2018 | 250,000 | $ | 252,762 | ||||||||||
20030NAL5 | US20030NAL55 | COMCAST CORPORATION | 5.90 | 3/15/2016 | 7,500,000 | $ | 7,870,230 | |||||||||||
20030NAR2 | US20030NAR26 | B1HKW25 | COMCAST CORPORATION | 5.88 | 2/15/2018 | 3,635,000 | $ | 4,087,683 | ||||||||||
20030NBA8 | US20030NBA81 | COMCAST CORPORATION | 5.15 | 3/1/2020 | 150,000 | $ | 171,823 |
Page 36
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
20467BAA7 | US20467BAA70 | BPQN8H0 | COMPRESSCO PARTNERS LP / COMPR | 7.25 | 8/15/2022 | 515,000 | $ | 448,050 | ||||||||||
205887BQ4 | US205887BQ44 | B9CSG84 | CONAGRA FOODS INC | 1.90 | 1/25/2018 | 225,000 | $ | 224,794 | ||||||||||
20825CAR5 | US20825CAR51 | B4T43W3 | CONOCOPHILLIPS | 5.75 | 2/1/2019 | 2,000,000 | $ | 2,290,834 | ||||||||||
20826FAB2 | US20826FAB22 | CONOCOPHILLIPS CO | 1.05 | 12/15/2017 | 250,000 | $ | 248,759 | |||||||||||
20826FAE6 | US20826FAE60 | BSL6VD2 | CONOCOPHILLIPS CO | 2.88 | 9/15/2021 | 2,240,000 | $ | 2,286,321 | ||||||||||
21079UAA3 | US21079UAA34 | CONTINENTAL AIRLINES 2009 2 PA | 7.25 | 4/2/2020 | 3,873,258 | $ | 4,473,613 | |||||||||||
22160KAE5 | US22160KAE55 | B90HQH2 | COSTCO WHOLESALE CORPORATION | 1.13 | 12/15/2017 | 6,150,000 | $ | 6,151,289 | ||||||||||
22822RAZ3 | US22822RAZ38 | CROWN CASTLE TOWERS LLC | 4.88 | 8/15/2040 | 5,250,000 | $ | 5,831,666 | |||||||||||
233851BR4 | US233851BR47 | DAIMLER FINANCE NORTH AMERICA | 2.25 | 3/2/2020 | 9,600,000 | $ | 9,659,802 | |||||||||||
235851AL6 | US235851AL64 | DANAHER CORPORATION | 2.30 | 6/23/2016 | 200,000 | $ | 203,961 | |||||||||||
235851AM4 | US235851AM48 | DANAHER CORPORATION | 3.90 | 3/23/2021 | 2,725,000 | $ | 2,979,021 | |||||||||||
24422EQF9 | US24422EQF96 | JOHN DEERE CAPITAL CORP | 5.50 | 4/13/2017 | 2,070,000 | $ | 2,257,593 | |||||||||||
24422ERN1 | US24422ERN12 | B440100 | JOHN DEERE CAPITAL CORP | 1.40 | 3/15/2017 | 100,000 | $ | 100,604 | ||||||||||
24422ERW1 | US24422ERW11 | B87FQ72 | JOHN DEERE CAPITAL CORP | 1.20 | 10/10/2017 | 200,000 | $ | 200,064 | ||||||||||
24422ESF7 | US24422ESF78 | BH6Y468 | JOHN DEERE CAPITAL CORP | 1.95 | 12/13/2018 | 200,000 | $ | 203,131 | ||||||||||
24422ESN0 | US24422ESN03 | JOHN DEERE CAPITAL CORP | 1.13 | 6/12/2017 | 4,120,000 | $ | 4,130,527 | |||||||||||
24422ESR1 | US24422ESR17 | JOHN DEERE CAPITAL CORP | 1.55 | 12/15/2017 | 6,400,000 | $ | 6,461,587 | |||||||||||
24422EST7 | US24422EST72 | JOHN DEERE CAPITAL CORP | 1.35 | 1/16/2018 | 2,500,000 | $ | 2,506,613 | |||||||||||
247361ZH4 | US247361ZH44 | DELTA AIR LINES INC | 4.95 | 2/24/2018 | 101,741 | $ | 109,117 | |||||||||||
24736TAA5 | US24736TAA51 | DELTA AIR LINES INC | 7.75 | 6/17/2021 | 1,129,021 | $ | 1,304,020 | |||||||||||
25156PAN3 | US25156PAN33 | DEUTSCHE TELEKOM INTERNATIONAL | 6.00 | 7/8/2019 | 1,350,000 | $ | 1,571,334 | |||||||||||
25179MAT0 | US25179MAT09 | BH7QXD3 | DEVON ENERGY CORPORATION | 2.25 | 11/15/2018 | 3,200,000 | $ | 3,224,099 | ||||||||||
25243YAR0 | US25243YAR09 | B84THD0 | DIAGEO CAPITAL PLC | 1.50 | 5/11/2017 | 3,000,000 | $ | 3,028,922 | ||||||||||
25243YAS8 | US25243YAS81 | B8NXVK8 | DIAGEO CAPITAL PLC | 0.63 | 4/29/2016 | 1,580,000 | $ | 1,578,611 | ||||||||||
25271CAL6 | US25271CAL63 | DIAMOND OFFSHORE DRILLING INC. | 5.70 | 10/15/2039 | 2,000,000 | $ | 1,841,989 | |||||||||||
25459HAV7 | US25459HAV78 | B3NP6J3 | DIRECTV HOLDINGS LLC | 3.13 | 2/15/2016 | 860,000 | $ | 875,205 | ||||||||||
25459HBE4 | US25459HBE45 | B799170 | DIRECTV HOLDINGS LLC | 2.40 | 3/15/2017 | 150,000 | $ | 152,717 | ||||||||||
25468PCG9 | US25468PCG90 | B23CFL2 | WALT DISNEY COMPANY (THE) | 6.00 | 7/17/2017 | 150,000 | $ | 166,942 | ||||||||||
25468PCV6 | US25468PCV67 | B8FYN25 | WALT DISNEY COMPANY (THE) | 1.10 | 12/1/2017 | 6,100,000 | $ | 6,106,864 | ||||||||||
25468PCZ7 | US25468PCZ71 | WALT DISNEY COMPANY (THE) | 0.88 | 5/30/2017 | 4,970,000 | $ | 4,966,592 | |||||||||||
25468PDA1 | US25468PDA12 | BN459F9 | WALT DISNEY COMPANY (THE) | 1.85 | 5/30/2019 | 100,000 | $ | 100,697 | ||||||||||
260543BX0 | US260543BX04 | B4JNXP3 | DOW CHEMICAL COMPANY (THE) | 8.55 | 5/15/2019 | 200,000 | $ | 249,547 | ||||||||||
263534BT5 | US263534BT54 | EI DU PONT DE NEMOURS & CO | 6.00 | 7/15/2018 | 200,000 | $ | 228,196 | |||||||||||
268648AP7 | US268648AP77 | BBDY0Y9 | EMC CORP/ MASSACHUSETTS | 1.88 | 6/1/2018 | 150,000 | $ | 151,532 | ||||||||||
26867LAE0 | US26867LAE02 | BWDH391 | EMD FINANCE LLC | 2.40 | 2/19/2020 | 8,975,000 | $ | 9,070,700 | ||||||||||
26875PAD3 | US26875PAD33 | EOG RESOURCES INC | 5.63 | 6/1/2019 | 200,000 | $ | 229,048 | |||||||||||
26884TAK8 | US26884TAK88 | BCF1BV9 | ERAC USA FINANCE LLC | 2.80 | 11/1/2018 | 2,995,000 | $ | 3,079,197 | ||||||||||
278062AB0 | US278062AB04 | BG6LV27 | EATON CORPORATION | 1.50 | 11/2/2017 | 250,000 | $ | 250,398 | ||||||||||
278642AG8 | US278642AG81 | B51K9P1 | EBAY INC. | 1.35 | 7/15/2017 | 6,625,000 | $ | 6,601,648 | ||||||||||
278642AH6 | US278642AH64 | BPFK1N9 | EBAY INC. | 2.20 | 7/1/2019 | 100,000 | $ | 99,893 | ||||||||||
278865AQ3 | US278865AQ30 | ECOLAB INC | 1.55 | 1/12/2018 | 3,000,000 | $ | 3,001,355 | |||||||||||
278865AR1 | US278865AR13 | ECOLAB INC | 2.25 | 1/12/2020 | 200,000 | $ | 200,486 |
Page 37
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
29276KAT8 | US29276KAT88 | BMMB316 | ENERGY XXI GULF | 6.88 | 3/15/2024 | 2,000,000 | $ | 720,000 | ||||||||||
29358QAA7 | US29358QAA76 | ENSCO PLC | 4.70 | 3/15/2021 | 1,525,000 | $ | 1,538,699 | |||||||||||
29358QAC3 | US29358QAC33 | BR23ZQ6 | ENSCO PLC | 4.50 | 10/1/2024 | 1,500,000 | $ | 1,443,490 | ||||||||||
29379VAA1 | US29379VAA17 | ENTERPRISE PRODUCTS OPERATING | 6.30 | 9/15/2017 | 200,000 | $ | 221,997 | |||||||||||
29379VBD4 | US29379VBD47 | ENTERPRISE PRODUCTS OPERATING | 2.55 | 9/15/2019 | 100,000 | $ | 100,944 | |||||||||||
29414DAA8 | US29414DAA81 | BNC0785 | ENVISION HEALTHCARE CORP | 5.13 | 7/1/2020 | 2,000,000 | $ | 2,045,000 | ||||||||||
30219GAD0 | US30219GAD07 | B992WJ2 | EXPRESS SCRIPTS HOLDING CO | 2.65 | 2/15/2017 | 300,000 | $ | 307,369 | ||||||||||
30219GAH1 | US30219GAH11 | BN6FQR8 | EXPRESS SCRIPTS HOLDING CO | 2.25 | 6/15/2019 | 200,000 | $ | 200,831 | ||||||||||
30227CAB3 | US30227CAB37 | BJ0XG36 | EXTERRAN PTNRS LP / EXLP FIN C | 6.00 | 4/1/2021 | 1,500,000 | $ | 1,395,000 | ||||||||||
30231GAA0 | US30231GAA04 | BKWHBW7 | EXXON MOBIL CORP | 0.92 | 3/15/2017 | 125,000 | $ | 125,155 | ||||||||||
30231GAD4 | US30231GAD43 | BKWHBT4 | EXXON MOBIL CORP | 1.82 | 2/15/2019 | 100,000 | $ | 101,023 | ||||||||||
30231GAG7 | US30231GAG73 | EXXON MOBIL CORP | 1.91 | 2/6/2020 | 150,000 | $ | 151,458 | |||||||||||
30249UAA9 | US30249UAA97 | B83HBT9 | FMC TECHNOLOGIES INC | 2.00 | 10/1/2017 | 150,000 | $ | 150,705 | ||||||||||
30706VAA3 | US30706VAA35 | BVWVSX6 | FAMILY TREE ESCROW LLC | 5.75 | 3/1/2021 | 125,000 | $ | 131,563 | ||||||||||
31428XAZ9 | US31428XAZ96 | FEDERAL EXPRESS CORP | 2.30 | 2/1/2020 | 2,055,000 | $ | 2,077,928 | |||||||||||
31620MAL0 | US31620MAL00 | BN3BCC6 | FIDELITY NATIONAL INFORMATION | 1.45 | 6/5/2017 | 2,035,000 | $ | 2,030,343 | ||||||||||
337738AG3 | US337738AG31 | FISERV INC | 6.80 | 11/20/2017 | 50,000 | $ | 56,259 | |||||||||||
337738AK4 | US337738AK43 | FISERV INC | 3.13 | 6/15/2016 | 200,000 | $ | 204,818 | |||||||||||
345397VP5 | US345397VP55 | FORD MOTOR CREDIT COMPANY LLC | 6.63 | 8/15/2017 | 200,000 | $ | 222,272 | |||||||||||
345397VT7 | US345397VT77 | FORD MOTOR CREDIT COMPANY LLC | 5.00 | 5/15/2018 | 6,250,000 | $ | 6,817,990 | |||||||||||
345397WD1 | US345397WD17 | B7XKPG6 | FORD MOTOR CREDIT COMPANY LLC | 3.00 | 6/12/2017 | 200,000 | $ | 205,901 | ||||||||||
345397WJ8 | US345397WJ86 | B8DJJ46 | FORD MOTOR CREDIT COMPANY LLC | 1.70 | 5/9/2016 | 1,795,000 | $ | 1,803,696 | ||||||||||
345397WL3 | US345397WL33 | BF7LS17 | FORD MOTOR CREDIT COMPANY LLC | 2.88 | 10/1/2018 | 200,000 | $ | 205,798 | ||||||||||
345397WZ2 | US345397WZ29 | FORD MOTOR CREDIT COMPANY LLC | 2.15 | 1/9/2018 | 1,500,000 | $ | 1,515,415 | |||||||||||
35671DBD6 | US35671DBD66 | BFNYF31 | FREEPORT-MCMORAN INC | 2.38 | 3/15/2018 | 200,000 | $ | 199,104 | ||||||||||
35671DBK0 | US35671DBK00 | FREEPORT-MCMORAN INC | 2.30 | 11/14/2017 | 2,570,000 | $ | 2,559,793 | |||||||||||
361448AP8 | US361448AP80 | B9042F3 | GATX CORP | 2.38 | 7/30/2018 | 93,000 | $ | 94,108 | ||||||||||
362251AA8 | US362251AA81 | B8528D5 | GRD HOLDING III CORP | 10.75 | 6/1/2015 | 1,000,000 | $ | 1,092,500 | ||||||||||
369604BE2 | US369604BE28 | B87RV28 | GENERAL ELECTRIC CO | 0.85 | 10/9/2015 | 2,405,000 | $ | 2,410,483 | ||||||||||
370334BH6 | US370334BH61 | B4SYWL6 | GENERAL MILLS INC | 5.65 | 2/15/2019 | 200,000 | $ | 226,460 | ||||||||||
370334BV5 | US370334BV55 | BRK2BC3 | GENERAL MILLS INC | 2.20 | 10/21/2019 | 3,725,000 | $ | 3,748,220 | ||||||||||
375558AQ6 | US375558AQ69 | B5TYM89 | GILEAD SCIENCES INC | 4.50 | 1/1/2021 | 2,500,000 | $ | 2,795,315 | ||||||||||
375558AV5 | US375558AV54 | BKJ9NW0 | GILEAD SCIENCES INC | 2.05 | 4/1/2019 | 3,725,000 | $ | 3,778,707 | ||||||||||
375558AY9 | US375558AY93 | BSN4Q62 | GILEAD SCIENCES INC | 2.35 | 2/1/2020 | 815,000 | $ | 831,984 | ||||||||||
377372AD9 | US377372AD98 | B2RFK89 | GLAXOSMITHKLINE CAPITAL INC | 5.65 | 5/15/2018 | 200,000 | $ | 225,986 | ||||||||||
377373AC9 | US377373AC98 | B7SC5T0 | GLAXOSMITHKLINE CAPITAL PLC | 1.50 | 5/8/2017 | 7,250,000 | $ | 7,325,681 | ||||||||||
378272AE8 | US378272AE88 | GLENCORE FUNDING LLC | 1.61 | 1/15/2019 | 1,550,000 | $ | 1,550,558 | |||||||||||
380956AF9 | US380956AF94 | GOLDCORP INC | 3.63 | 4/9/2021 | 2,300,000 | $ | 2,337,255 | |||||||||||
406216BB6 | US406216BB62 | BCR5XV3 | HALLIBURTON COMPANY | 1.00 | 8/1/2016 | 2,185,000 | $ | 2,184,793 | ||||||||||
406216BC4 | US406216BC46 | BCR5XR9 | HALLIBURTON COMPANY | 2.00 | 7/1/2018 | 150,000 | $ | 151,259 | ||||||||||
41283LAF2 | US41283LAF22 | HARLEY-DAVIDSON FINANCIAL | 2.15 | 1/26/2020 | 7,400,000 | $ | 7,425,036 |
Page 38
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
423457AA8 | US423457AA83 | HELMERICH & PAYNE INTERNATIONA | 4.65 | 12/15/2024 | 4,500,000 | $ | 4,654,409 | |||||||||||
427093AH2 | US427093AH20 | BDZTWZ1 | HERCULES OFFSHORE INC | 7.50 | 10/1/2021 | 500,000 | $ | 140,000 | ||||||||||
42809HAE7 | US42809HAE71 | BNH5729 | AMERADA HESS CORP | 1.30 | 6/15/2017 | 67,000 | $ | 66,340 | ||||||||||
428236AS2 | US428236AS23 | B2Q0DD1 | HEWLETT-PACKARD COMPANY | 5.50 | 3/1/2018 | 150,000 | $ | 165,324 | ||||||||||
428236BW2 | US428236BW26 | B7N5SB7 | HEWLETT-PACKARD COMPANY | 2.60 | 9/15/2017 | 250,000 | $ | 255,953 | ||||||||||
437076BE1 | US437076BE14 | HOME DEPOT INC | 2.00 | 5/15/2019 | 150,000 | $ | 152,409 | |||||||||||
438516AZ9 | US438516AZ99 | HONEYWELL INTERNATIONAL INC | 5.00 | 2/15/2019 | 150,000 | $ | 168,616 | |||||||||||
444859BC5 | US444859BC56 | HUMANA INC | 2.63 | 10/1/2019 | 3,025,000 | $ | 3,056,989 | |||||||||||
448055AC7 | US448055AC76 | B24FDW7 | HUSKY ENERGY INC. | 6.20 | 9/15/2017 | 100,000 | $ | 109,870 | ||||||||||
452308AU3 | US452308AU30 | BJZ7ZJ2 | ILLINOIS TOOL WORKS INC | 1.95 | 3/1/2019 | 150,000 | $ | 151,324 | ||||||||||
45687AAL6 | US45687AAL61 | BNB7LM9 | INGERSOLL-RAND GLOBAL HOLDING | 2.88 | 1/15/2019 | 150,000 | $ | 153,792 | ||||||||||
458140AH3 | US458140AH36 | INTEL CORPORATION | 1.95 | 10/1/2016 | 6,100,000 | $ | 6,212,938 | |||||||||||
458140AL4 | US458140AL48 | INTEL CORPORATION | 1.35 | 12/15/2017 | 9,275,000 | $ | 9,297,834 | |||||||||||
459200GM7 | US459200GM79 | B3DT811 | INTERNATIONAL BUSINESS MACHINE | 7.63 | 10/15/2018 | 200,000 | $ | 241,042 | ||||||||||
459200GX3 | US459200GX35 | INTERNATIONAL BUSINESS MACHINE | 1.95 | 7/22/2016 | 350,000 | $ | 355,655 | |||||||||||
459200HG9 | US459200HG92 | INTERNATIONAL BUSINESS MACHINE | 1.88 | 8/1/2022 | 4,000,000 | $ | 3,804,078 | |||||||||||
459200HM6 | US459200HM60 | INTERNATIONAL BUSINESS MACHINE | 1.63 | 5/15/2020 | 6,000,000 | $ | 5,941,291 | |||||||||||
459200HT1 | US459200HT14 | BJT80Z2 | INTERNATIONAL BUSINESS MACHINE | 1.95 | 2/12/2019 | 100,000 | $ | 101,284 | ||||||||||
459200HZ7 | US459200HZ73 | BVVSZS2 | INTERNATIONAL BUSINESS MACHINE | 1.13 | 2/6/2018 | 6,000,000 | $ | 5,981,886 | ||||||||||
460146CA9 | US460146CA98 | B39NZD8 | INTERNATIONAL PAPER CO | 7.95 | 6/15/2018 | 150,000 | $ | 176,225 | ||||||||||
460690BJ8 | US460690BJ82 | B8Y5MH7 | INTERPUBLIC GRP OF CO INC | 2.25 | 11/15/2017 | 100,000 | $ | 100,744 | ||||||||||
46122XAA1 | US46122XAA19 | BJC7379 | INTREPID AVIATION GROUP HOLDIN | 6.88 | 2/15/2019 | 1,000,000 | $ | 915,000 | ||||||||||
465676AA2 | US465676AA22 | BNXCFB9 | ITHACA ENERGY INC | 8.13 | 7/1/2019 | 450,000 | $ | 355,590 | ||||||||||
478160BG8 | US478160BG88 | BH459X5 | JOHNSON & JOHNSON | 1.65 | 12/5/2018 | 200,000 | $ | 202,266 | ||||||||||
478160BL7 | US478160BL73 | JOHNSON & JOHNSON | 1.13 | 11/21/2017 | 100,000 | $ | 100,358 | |||||||||||
482480AF7 | US482480AF77 | BSDRZ19 | KLA-TENCOR CORP | 5.65 | 7/1/2034 | 1,400,000 | $ | 1,537,493 | ||||||||||
487836BE7 | US487836BE77 | KELLOGG COMPANY | 3.25 | 5/21/2018 | 250,000 | $ | 261,377 | |||||||||||
494368BN2 | US494368BN29 | KIMBERLY-CLARK CORPORATION | 1.90 | 5/22/2019 | �� | 200,000 | $ | 201,785 | ||||||||||
50075NBA1 | US50075NBA19 | B3M2Q17 | MONDELEZ INTERNATIONAL INC | 5.38 | 2/10/2020 | 100,000 | $ | 113,829 | ||||||||||
50076QAU0 | US50076QAU04 | B82XL65 | KRAFT FOODS GROUP INC | 5.38 | 2/10/2020 | 150,000 | $ | 169,420 | ||||||||||
501044CU3 | US501044CU31 | BHB92S6 | KROGER CO (THE) | 1.20 | 10/17/2016 | 100,000 | $ | 100,142 | ||||||||||
501044CW9 | US501044CW96 | BHB92V9 | KROGER CO (THE) | 2.30 | 12/15/2018 | 175,000 | $ | 177,016 | ||||||||||
501044CZ2 | US501044CZ28 | BRVDCC2 | KROGER CO (THE) | 2.95 | 10/1/2021 | 945,000 | $ | 959,231 | ||||||||||
502413BB2 | US502413BB28 | L-3 COMMUNICATIONS CORP | 3.95 | 11/15/2016 | 150,000 | $ | 155,530 | |||||||||||
502413BC0 | US502413BC01 | BMN2GX1 | L-3 COMMUNICATIONS CORP | 1.50 | 5/28/2017 | 2,035,000 | $ | 2,019,685 | ||||||||||
50540RAK8 | US50540RAK86 | B8J62J7 | LABORATORY CORP OF AMER HLDGS | 2.20 | 8/23/2017 | 150,000 | $ | 151,903 | ||||||||||
523768AF6 | US523768AF63 | BKXPXQ8 | LEE ENTERPRISES, INC | 9.50 | 3/15/2020 | 1,000,000 | $ | 1,031,250 | ||||||||||
532457BF4 | US532457BF44 | BK0SGJ4 | ELI LILLY AND COMPANY | 1.95 | 3/15/2019 | 100,000 | $ | 101,622 | ||||||||||
532457BK3 | US532457BK39 | ELI LILLY AND COMPANY | 1.25 | 3/1/2018 | 6,585,000 | $ | 6,601,350 | |||||||||||
539830BE8 | US539830BE89 | LOCKHEED MARTIN CORPORATION | 2.90 | 12/1/2024 | 5,850,000 | $ | 5,892,740 |
Page 39
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
54238XAA6 | US54238XAA63 | LONESTAR RESOURCES AMERICA INC | 8.75 | 4/15/2019 | 1,000,000 | $ | 780,000 | |||||||||||
544152AF8 | US544152AF89 | B42GZY2 | LORILLARD TOBACCO CO | 2.30 | 8/21/2017 | 150,000 | $ | 151,019 | ||||||||||
552081AG6 | US552081AG61 | B6XKSR1 | LYONDELLBASELL INDUSTRIES NV | 5.00 | 1/15/2019 | 4,000,000 | $ | 4,408,808 | ||||||||||
571903AJ2 | US571903AJ23 | MARRIOTT INTERNATIONAL INC | 3.00 | 12/1/2018 | 200,000 | $ | 206,495 | |||||||||||
577081AX0 | US577081AX00 | MATTEL INC | 1.70 | 3/15/2018 | 100,000 | $ | 99,191 | |||||||||||
58013MEB6 | US58013MEB63 | MCDONALDS CORP | 5.80 | 10/15/2017 | 100,000 | $ | 111,370 | |||||||||||
581557AY1 | US581557AY14 | MCKESSON CORP | 0.95 | 12/4/2015 | 340,000 | $ | 340,615 | |||||||||||
581557BB0 | US581557BB02 | BKJV4J0 | MCKESSON CORP | 1.29 | 3/10/2017 | 100,000 | $ | 100,220 | ||||||||||
581557BD6 | US581557BD67 | BKKMWT8 | MCKESSON CORP | 2.28 | 3/15/2019 | 100,000 | $ | 100,976 | ||||||||||
58155QAF0 | US58155QAF00 | B9BMVD7 | MCKESSON CORP | 1.40 | 3/15/2018 | 2,300,000 | $ | 2,291,182 | ||||||||||
585055BA3 | US585055BA35 | B8XYF09 | MEDTRONIC INC | 1.38 | 4/1/2018 | 1,400,000 | $ | 1,400,078 | ||||||||||
585055BF2 | US585055BF22 | MEDTRONIC INC | 2.50 | 3/15/2020 | 7,800,000 | $ | 7,969,804 | |||||||||||
585055BK1 | US585055BK17 | BT78FB5 | MEDTRONIC INC | 1.50 | 3/15/2018 | 3,245,000 | $ | 3,259,698 | ||||||||||
58933YAG0 | US58933YAG08 | B9DM9F3 | MERCK & CO INC | 1.30 | 5/18/2018 | 800,000 | $ | 800,410 | ||||||||||
58933YAS4 | US58933YAS46 | MERCK & CO INC | 1.85 | 2/10/2020 | 3,600,000 | $ | 3,612,347 | |||||||||||
594064AA5 | US594064AA52 | BFMFNS6 | MICHAEL BAKER INTERNATIONAL LL | 8.25 | 10/15/2018 | 1,000,000 | $ | 982,500 | ||||||||||
594918AP9 | US594918AP95 | MICROSOFT CORP | 0.88 | 11/15/2017 | 200,000 | $ | 199,061 | |||||||||||
594918AY0 | US594918AY03 | BVG6Y73 | MICROSOFT CORP | 1.85 | 1/12/2020 | 100,000 | �� | $ | 100,521 | |||||||||
59563KAA8 | US59563KAA88 | BQXZP75 | MIDAS INTERMEDIATE HOLDCO II L | 7.88 | 10/1/2022 | 500,000 | $ | 492,500 | ||||||||||
61166WAR2 | US61166WAR25 | BNNVNX4 | MONSANTO COMPANY | 1.15 | 6/30/2017 | 150,000 | $ | 150,242 | ||||||||||
61166WAS0 | US61166WAS08 | BNNVMV5 | MONSANTO COMPANY | 2.13 | 7/15/2019 | 2,520,000 | $ | 2,554,065 | ||||||||||
626717AE2 | US626717AE26 | MURPHY OIL CORP | 2.50 | 12/1/2017 | 100,000 | $ | 97,954 | |||||||||||
628530AW7 | US628530AW74 | BKF2D12 | MYLAN INC/PA | 1.80 | 6/24/2016 | 1,500,000 | $ | 1,509,905 | ||||||||||
628530AX5 | US628530AX57 | MYLAN INC/PA | 2.60 | 6/24/2018 | 150,000 | $ | 152,879 | |||||||||||
63946BAD2 | US63946BAD29 | NBCUNIVERSAL MEDIA LLC | 5.15 | 4/30/2020 | 3,000,000 | $ | 3,450,276 | |||||||||||
63946BAE0 | US63946BAE02 | B447W08 | NBCUNIVERSAL MEDIA LLC | 4.38 | 4/1/2021 | 6,250,000 | $ | 6,963,374 | ||||||||||
63946BAH3 | US63946BAH33 | B86PMS6 | NBCUNIVERSAL MEDIA LLC | 2.88 | 1/15/2023 | 5,000,000 | $ | 5,070,446 | ||||||||||
63946CAB4 | US63946CAB46 | NBCUNIVERSAL ENTERPRISE INC | 0.94 | 4/15/2018 | 2,250,000 | $ | 2,266,538 | |||||||||||
63946CAD0 | US63946CAD02 | B94SHL2 | NBCUNIVERSAL ENTERPRISE INC | 1.97 | 4/15/2019 | 1,780,000 | $ | 1,790,219 | ||||||||||
64110DAC8 | US64110DAC83 | B84RZ52 | NETAPP INC | 2.00 | 12/15/2017 | 3,000,000 | $ | 3,015,191 | ||||||||||
652482BT6 | US652482BT68 | 21ST CENTURY FOX AMERICA INC | 6.90 | 3/1/2019 | 150,000 | $ | 176,772 | |||||||||||
65341EAA8 | US65341EAA82 | BSKLJP6 | NEXTEER AUTOMOTIVE GROUP LTD | 5.88 | 11/15/2020 | 1,000,000 | $ | 1,022,500 | ||||||||||
664784AA3 | US664784AA37 | BJCH164 | NORTHERN BLIZZARD RESOURCES IN | 7.25 | 2/1/2022 | 500,000 | $ | 457,500 | ||||||||||
666807BA9 | US666807BA91 | B3VGCF6 | NORTHROP GRUMMAN CORP | 5.05 | 8/1/2019 | 150,000 | $ | 167,732 | ||||||||||
66989GAA8 | US66989GAA85 | NOVARTIS SECURITIES INVEST LTD | 5.13 | 2/10/2019 | 250,000 | $ | 282,282 | |||||||||||
67054LAA5 | US67054LAA52 | BLWP4M9 | NUMERICABLE GROUP SA | 4.88 | 5/15/2018 | 2,000,000 | $ | 2,000,000 | ||||||||||
674599CD5 | US674599CD51 | B4YC3X3 | OCCIDENTAL PETROLEUM CORPORATI | 1.50 | 2/15/2018 | 250,000 | $ | 249,417 | ||||||||||
68268NAN3 | US68268NAN30 | BWF4SR3 | ONEOK PARTNERS LP | 3.80 | 2/15/2020 | 750,000 | $ | 767,480 | ||||||||||
68389XAC9 | US68389XAC92 | B2QR202 | ORACLE CORPORATION | 5.75 | 4/15/2018 | 1,155,000 | $ | 1,303,847 | ||||||||||
68389XAN5 | US68389XAN57 | B8447W4 | ORACLE CORPORATION | 1.20 | 10/15/2017 | 2,500,000 | $ | 2,502,681 | ||||||||||
68389XAQ8 | US68389XAQ88 | BC9XYK1 | ORACLE CORPORATION | 2.38 | 1/15/2019 | 350,000 | $ | 358,683 |
Page 40
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
68389XAX3 | US68389XAX30 | BNXJBJ0 | ORACLE CORPORATION | 2.25 | 10/8/2019 | 6,725,000 | $ | 6,827,683 | ||||||||||
68389XBA2 | US68389XBA28 | BNXJBG7 | ORACLE CORPORATION | 2.80 | 7/8/2021 | 13,500,000 | $ | 13,871,165 | ||||||||||
685218AA7 | US685218AA79 | BJLP9S7 | ORANGE SA | 2.75 | 2/6/2019 | 100,000 | $ | 103,417 | ||||||||||
69371RM29 | US69371RM291 | PACCAR FINANCIAL CORP | 2.20 | 9/15/2019 | 6,000,000 | $ | 6,095,625 | |||||||||||
705010AB2 | US705010AB25 | B2R8SY0 | PEARSON DOLLAR FINANCE TWO PLC | 6.25 | 5/6/2018 | 2,000,000 | $ | 2,235,887 | ||||||||||
709599AJ3 | US709599AJ36 | B8FT9G6 | PENSKE TRUCK LEASING CO | 2.50 | 3/15/2016 | 6,775,000 | $ | 6,864,444 | ||||||||||
709599AR5 | US709599AR51 | PENSKE TRUCK LEASING CO | 3.05 | 1/1/2020 | 3,000,000 | $ | 3,049,827 | |||||||||||
713448BJ6 | US713448BJ63 | PEPSICO INC | 7.90 | 11/1/2018 | 150,000 | $ | 181,884 | |||||||||||
713448CK2 | US713448CK28 | BCL2ND2 | PEPSICO INC | 2.25 | 12/7/2018 | 225,000 | $ | 230,406 | ||||||||||
714264AD0 | US714264AD02 | PERNOD-RICARD SA | 4.45 | 1/15/2022 | 7,000,000 | $ | 7,581,794 | |||||||||||
714294AB1 | US714294AB16 | BRHY9J5 | PERRIGO CO LTD | 1.30 | 11/8/2016 | 3,450,000 | $ | 3,446,882 | ||||||||||
71647NAG4 | US71647NAG43 | BKQVMN3 | PETROBRAS INT BRASPETRO BV | 3.25 | 3/17/2017 | 1,400,000 | $ | 1,300,252 | ||||||||||
717081DB6 | US717081DB62 | B65HZ24 | PFIZER INC | 6.20 | 3/15/2019 | 325,000 | $ | 379,686 | ||||||||||
717081DD2 | US717081DD29 | BBBTQS2 | PFIZER INC | 0.90 | 1/15/2017 | 2,945,000 | $ | 2,949,850 | ||||||||||
717081DJ9 | US717081DJ98 | BMMB3F0 | PFIZER INC | 1.10 | 5/15/2017 | 150,000 | $ | 150,607 | ||||||||||
718172AA7 | US718172AA72 | PHILIP MORRIS INTERNATIONAL IN | 5.65 | 5/16/2018 | 10,850,000 | $ | 12,253,838 | |||||||||||
718172AJ8 | US718172AJ81 | PHILIP MORRIS INTERNATIONAL IN | 2.50 | 5/16/2016 | 6,000,000 | $ | 6,123,720 | |||||||||||
718172AN9 | US718172AN93 | PHILIP MORRIS INTERNATIONAL IN | 1.63 | 3/20/2017 | 3,000,000 | $ | 3,040,771 | |||||||||||
718172AS8 | US718172AS80 | B7XYRV7 | PHILIP MORRIS INTERNATIONAL IN | 1.13 | 8/21/2017 | 7,753,000 | $ | 7,761,738 | ||||||||||
718172BN8 | US718172BN84 | PHILIP MORRIS INTERNATIONAL IN | 1.25 | 11/9/2017 | 1,000,000 | $ | 1,002,378 | |||||||||||
718546AL8 | US718546AL86 | BSN4Q40 | PHILLIPS 66 | 4.88 | 5/15/2044 | 2,250,000 | $ | 2,401,801 | ||||||||||
718549AA6 | US718549AA60 | BVYVG52 | PHILLIPS 66 PARTNETS LP | 2.65 | 1/15/2020 | 3,000,000 | $ | 2,995,905 | ||||||||||
723787AG2 | US723787AG24 | B1TYBH3 | PIONEER NAT RES CO | 6.65 | 3/15/2017 | 1,220,000 | $ | 1,325,623 | ||||||||||
72447XAC1 | US72447XAC11 | PITNEY BOWES INC. | 5.75 | 9/15/2017 | 53,000 | $ | 57,730 | |||||||||||
726505AP5 | US726505AP50 | B6Y1MK4 | PLAINS EXPORATION & PRODUCTION | 6.88 | 2/15/2020 | 2,979,000 | $ | 3,161,464 | ||||||||||
737446AE4 | US737446AE45 | BGKDMX7 | POST HOLDINGS INC | 6.75 | 12/1/2019 | 750,000 | $ | 757,500 | ||||||||||
73755LAJ6 | US73755LAJ61 | POTASH CORPORATION OF SASKETCH | 3.25 | 12/1/2017 | 100,000 | $ | 104,725 | |||||||||||
740189AK1 | US740189AK18 | PRECISION CASTPARTS CORP | 1.25 | 1/15/2018 | 150,000 | $ | 149,251 | |||||||||||
741503AT3 | US741503AT32 | BQ1Y5R4 | PRICELINE GROUP INC | 0.90 | 9/15/2021 | 700,000 | $ | 677,124 | ||||||||||
742718ED7 | US742718ED76 | PROCTER & GAMBLE COMPANY | 0.75 | 11/4/2016 | 2,080,000 | $ | 2,083,057 | |||||||||||
742718EE5 | US742718EE59 | BFRSHK0 | PROCTER & GAMBLE COMPANY | 1.60 | 11/15/2018 | 250,000 | $ | 252,351 | ||||||||||
74913GAT2 | US74913GAT22 | QWEST CORP | 6.50 | 6/1/2017 | 200,000 | $ | 216,500 | |||||||||||
751212AA9 | US751212AA91 | BF32568 | RALPH LAUREN CORP | 2.13 | 8/26/2018 | 5,325,000 | $ | 5,381,354 | ||||||||||
767201AC0 | US767201AC07 | RIO TINTO FINANCE (USA) LTD | 6.50 | 7/15/2018 | 125,000 | $ | 143,749 | |||||||||||
76720AAL0 | US76720AAL08 | RIO TINTO FINANCE (USA) PLC | 1.38 | 6/17/2016 | 100,000 | $ | 100,562 | |||||||||||
76720AAM8 | US76720AAM80 | RIO TINTO FINANCE (USA) PLC | 2.25 | 11/14/2018 | 150,000 | $ | 152,179 | |||||||||||
771196BA9 | US771196BA98 | ROCHE HOLDINGS INC | 2.25 | 8/30/2019 | 6,000,000 | $ | 6,089,612 | |||||||||||
773903AF6 | US773903AF60 | BVXLDX0 | ROCKWELL AUTOMATION INC | 2.05 | 2/1/2020 | 3,475,000 | $ | 3,498,005 | ||||||||||
774341AD3 | US774341AD37 | BH7QX55 | ROCKWELL COLLINS INC. | 0.62 | 12/15/2016 | 4,950,000 | $ | 4,954,653 | ||||||||||
776696AD8 | US776696AD82 | ROPER IND, INC. | 1.85 | 11/15/2017 | 100,000 | $ | 100,621 |
Page 41
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
78355HJR1 | US78355HJR12 | RYDER SYSTEM INC. | 3.50 | 6/1/2017 | 5,875,000 | $ | 6,132,569 | |||||||||||
78355HJS9 | US78355HJS94 | RYDER SYSTEM INC. | 2.50 | 2/1/2017 | 150,000 | $ | 153,231 | |||||||||||
78355HJY6 | US78355HJY62 | RYDER SYSTEM INC. | 2.65 | 2/20/2020 | 2,800,000 | $ | 2,819,706 | |||||||||||
78403DAG5 | US78403DAG51 | BRJ6JC2 | SBA TOWER TRUST | 2.90 | 10/15/2018 | 3,005,000 | $ | 3,041,511 | ||||||||||
790849AH6 | US790849AH69 | ST JUDE MEDICAL INC | 2.50 | 1/15/2016 | 5,000,000 | $ | 5,067,450 | |||||||||||
801060AB0 | US801060AB05 | SANOFI | 1.25 | 4/10/2018 | 5,225,000 | $ | 5,227,609 | |||||||||||
806854AA3 | US806854AA39 | B5VGD91 | SCHLUMBERGER GER INV | 1.95 | 9/14/2016 | 1,950,000 | $ | 1,983,546 | ||||||||||
80685PAC2 | US80685PAC23 | B4LKGG4 | SCHLUMBERGER NORGE AS | 1.95 | 9/14/2016 | 2,700,000 | $ | 2,746,449 | ||||||||||
81180WAP6 | US81180WAP68 | SEAGATE HDD CAYMAN | 3.75 | 11/15/2018 | 150,000 | $ | 156,276 | |||||||||||
81663NAA5 | US81663NAA54 | BR4P5T3 | SEMICONDUCTOR MANUFACTURING IN | 4.13 | 10/7/2019 | 200,000 | $ | 199,516 | ||||||||||
822582AJ1 | US822582AJ10 | SHELL INTERNATIONAL FINANCE BV | 4.30 | 9/22/2019 | 150,000 | $ | 166,014 | |||||||||||
822582AW2 | US822582AW21 | SHELL INTERNATIONAL FINANCE BV | 1.90 | 8/10/2018 | 100,000 | $ | 101,591 | |||||||||||
822582AZ5 | US822582AZ51 | BGJ4WJ7 | SHELL INTERNATIONAL FINANCE BV | 0.90 | 11/15/2016 | 150,000 | $ | 150,224 | ||||||||||
824348AP1 | US824348AP13 | B93PQP1 | SHERWIN-WILLIAMS COMPANY (THE) | 1.35 | 12/15/2017 | 100,000 | $ | 99,849 | ||||||||||
832696AC2 | US832696AC27 | BWCN602 | JM SMUCKER CO/THE | 1.75 | 3/15/2018 | 3,000,000 | $ | 3,014,802 | ||||||||||
83577UAA0 | US83577UAA07 | BGLKMK4 | SOPHIA LP/SOPHIA FINANCE INC | 9.63 | 12/1/2015 | 285,000 | $ | 289,988 | ||||||||||
844741AX6 | US844741AX63 | SOUTHWEST AIRLINES CO. | 5.13 | 3/1/2017 | 250,000 | $ | 267,366 | |||||||||||
845467AK5 | US845467AK59 | BVGCLZ8 | SOUTHWESTERN ENERGY COMPANY | 4.05 | 12/23/2019 | 200,000 | $ | 205,843 | ||||||||||
851783AB6 | US851783AB63 | BN897G4 | SPRINGS IND INC | 6.25 | 6/1/2021 | 1,000,000 | $ | 990,000 | ||||||||||
855244AD1 | US855244AD16 | BDD54P5 | STARBUCKS CORP | 3.85 | 7/1/2023 | 6,000,000 | $ | 6,515,232 | ||||||||||
855244AE9 | US855244AE98 | BH458C7 | STARBUCKS CORP | 0.88 | 12/5/2016 | 107,000 | $ | 106,801 | ||||||||||
86722TAA0 | US86722TAA07 | SUNCOR ENERGY INC | 6.10 | 6/1/2018 | 2,000,000 | $ | 2,254,731 | |||||||||||
86803UAB7 | US86803UAB70 | BR30VW4 | SUNTORY HOLDINGS LTD | 2.55 | 9/29/2019 | 5,775,000 | $ | 5,847,219 | ||||||||||
871503AJ7 | US871503AJ70 | SYMANTEC CORP | 2.75 | 5/15/2017 | 100,000 | $ | 101,223 | |||||||||||
871829AR8 | US871829AR85 | BR17MH9 | SYSCO CORP | 1.45 | 10/2/2017 | 2,775,000 | $ | 2,791,577 | ||||||||||
871829AS6 | US871829AS68 | SYSCO CORP | 2.35 | 9/2/2019 | 5,050,000 | $ | 5,138,219 | |||||||||||
87612EAS5 | US87612EAS54 | B2NPTM0 | TARGET CORPORATION | 6.00 | 1/15/2018 | 200,000 | $ | 225,877 | ||||||||||
878742AX3 | US878742AX37 | TECK RESOURCES LTD | 2.50 | 2/1/2018 | 150,000 | $ | 148,848 | |||||||||||
87938WAQ6 | US87938WAQ69 | B9FQJ42 | TELEFONICA EMISIONES SAU | 3.19 | 4/27/2018 | 150,000 | $ | 156,061 | ||||||||||
87938WAS2 | US87938WAS26 | TELEFONICA EMISIONES SAU | 0.91 | 6/23/2017 | 4,550,000 | $ | 4,538,625 | |||||||||||
88032WAB2 | US88032WAB28 | BLTW5W0 | TENCENT HOLDINGS LIMITED | 3.38 | 5/2/2019 | 1,400,000 | $ | 1,450,158 | ||||||||||
882508AR5 | US882508AR56 | TEXAS INSTRUMENTS INCORPORATED | 2.38 | 5/16/2016 | 100,000 | $ | 101,922 | |||||||||||
883556BA9 | US883556BA95 | THERMO FISHER SCIENTIFIC INC | 2.25 | 8/15/2016 | 100,000 | $ | 101,593 | |||||||||||
883556BD3 | US883556BD35 | BH55183 | THERMO FISHER SCIENTIFIC INC | 1.30 | 2/1/2017 | 3,725,000 | $ | 3,724,514 | ||||||||||
884903BN4 | US884903BN49 | THOMSON REUTERS CORPORATION | 1.30 | 2/23/2017 | 107,000 | $ | 106,986 | |||||||||||
884903BU8 | US884903BU81 | THOMSON REUTERS CORPORATION | 1.65 | 9/29/2017 | 100,000 | $ | 100,227 | |||||||||||
887317AT2 | US887317AT21 | TIME WARNER INC | 2.10 | 6/1/2019 | 150,000 | $ | 149,844 | |||||||||||
88732JAL2 | US88732JAL26 | TIME WARNER CABLE INC | 6.75 | 7/1/2018 | 150,000 | $ | 172,392 | |||||||||||
88732JAS7 | US88732JAS78 | TIME WARNER CABLE INC | 8.25 | 4/1/2019 | 1,200,000 | $ | 1,467,466 | |||||||||||
89152UAG7 | US89152UAG76 | BCZM4W4 | TOTAL CAPITAL S.A. | 2.13 | 8/10/2018 | 250,000 | $ | 255,236 | ||||||||||
89153VAC3 | US89153VAC37 | TOTAL CAPITAL INTERNATIONAL SA | 1.55 | 6/28/2017 | 6,150,000 | $ | 6,216,965 |
Page 42
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
89233P5E2 | US89233P5E25 | TOYOTA MOTOR CREDIT CORP | 2.00 | 9/15/2016 | 150,000 | $ | 152,913 | |||||||||||
89233P6D3 | US89233P6D33 | B893J53 | TOYOTA MOTOR CREDIT CORP | 1.75 | 5/22/2017 | 2,000,000 | $ | 2,030,972 | ||||||||||
89233P7E0 | US89233P7E07 | B98Y3T6 | TOYOTA MOTOR CREDIT CORP | 1.38 | 1/10/2018 | 200,000 | $ | 200,771 | ||||||||||
89236TBH7 | US89236TBH77 | TOYOTA MOTOR CREDIT CORP | 1.13 | 5/16/2017 | 150,000 | $ | 150,339 | |||||||||||
89236TBP9 | US89236TBP93 | BP8G402 | TOYOTA MOTOR CREDIT CORP | 2.13 | 7/18/2019 | 150,000 | $ | 152,281 | ||||||||||
89378TAB9 | US89378TAB98 | B3QQGH1 | TRANSNET LTD | 4.50 | 2/10/2016 | 5,950,000 | $ | 6,076,438 | ||||||||||
902133AQ0 | US902133AQ07 | TYCO ELECTRONICS GROUP SA | 2.35 | 7/1/2019 | 8,705,000 | $ | 8,794,470 | |||||||||||
902133AR8 | US902133AR89 | BPNNZ72 | TYCO ELECTRONICS GROUP SA | 3.45 | 5/1/2024 | 2,500,000 | $ | 2,582,200 | ||||||||||
903436AA1 | US903436AA15 | US AIRWAYS GROUP INC | 7.13 | 11/10/2020 | 2,404,552 | $ | 2,858,411 | |||||||||||
90345WAD6 | US90345WAD65 | B92P6C9 | US AIRWAYS P-T TR | 4.63 | 6/14/2022 | 1,313,241 | $ | 1,403,526 | ||||||||||
904764AP2 | US904764AP26 | B87VZ62 | UNILEVER CAPITAL CORP | 0.85 | 8/2/2017 | 6,275,000 | $ | 6,256,628 | ||||||||||
911312AK2 | US911312AK23 | UNITED PARCEL SERVICE INC | 5.13 | 4/1/2019 | 150,000 | $ | 170,060 | |||||||||||
913017BQ1 | US913017BQ12 | B3KTNC0 | UNITED TECHNOLOGIES CORPORATN | 6.13 | 2/1/2019 | 200,000 | $ | 232,252 | ||||||||||
913017BU2 | US913017BU24 | B8DTGD4 | UNITED TECHNOLOGIES CORPORATN | 1.80 | 6/1/2017 | 14,675,000 | $ | 14,945,944 | ||||||||||
91324PBJ0 | US91324PBJ03 | UNITEDHEALTH GROUP INCORPORATE | 6.00 | 2/15/2018 | 300,000 | $ | 339,046 | |||||||||||
91324PBY7 | US91324PBY79 | B8890J3 | UNITEDHEALTH GROUP INCORPORATE | 1.40 | 10/15/2017 | 5,425,000 | $ | 5,468,766 | ||||||||||
91324PCG5 | US91324PCG54 | UNITEDHEALTH GROUP INCORPORATE | 2.30 | 12/15/2019 | 8,000,000 | $ | 8,133,925 | |||||||||||
918370AB3 | US918370AB36 | BJ4XKT6 | VTR FINANCE BV | 6.88 | 1/15/2022 | 1,000,000 | $ | 1,041,250 | ||||||||||
91911KAD4 | US91911KAD46 | BGLVXJ3 | VALEANT PHARMACEUTICALS INTERN | 5.63 | 12/1/2018 | 1,000,000 | $ | 1,015,000 | ||||||||||
91911KAE2 | US91911KAE29 | BVFJNT8 | VALEANT PHARMACEUTICALS INTERN | 5.50 | 3/1/2020 | 600,000 | $ | 606,750 | ||||||||||
91911TAJ2 | US91911TAJ25 | B41RLY8 | VALE OVERSEAS LIMITED | 5.63 | 9/15/2019 | 100,000 | $ | 106,461 | ||||||||||
91913YAM2 | US91913YAM21 | B1YLVD5 | VALERO ENERGY CORPORATION | 6.13 | 6/15/2017 | 200,000 | $ | 219,498 | ||||||||||
91913YAT7 | US91913YAT73 | VALERO ENERGY CORPORATION | 4.90 | 3/15/2045 | 2,000,000 | $ | 2,067,098 | |||||||||||
92343VBF0 | US92343VBF04 | B7YN3N7 | VERIZON COMMUNICATIONS INC | 1.10 | 11/1/2017 | 100,000 | $ | 98,922 | ||||||||||
92343VBN3 | US92343VBN38 | BDV82W9 | VERIZON COMMUNICATIONS INC | 2.50 | 9/15/2016 | 2,817,000 | $ | 2,877,614 | ||||||||||
92343VBP8 | US92343VBP85 | BDV82S5 | VERIZON COMMUNICATIONS INC | 3.65 | 9/14/2018 | 2,850,000 | $ | 3,024,432 | ||||||||||
92343VCE2 | US92343VCE20 | BN7N7M3 | VERIZON COMMUNICATIONS INC | 1.35 | 6/9/2017 | 50,000 | $ | 49,971 | ||||||||||
92343VCH5 | US92343VCH50 | BVZ6DF5 | VERIZON COMMUNICATIONS INC | 2.63 | 2/21/2020 | 2,300,000 | $ | 2,333,723 | ||||||||||
92343VCN2 | US92343VCN29 | VERIZON COMMUNICATIONS INC | 3.00 | 9/1/2021 | 980,000 | $ | 995,724 | |||||||||||
92553PAG7 | US92553PAG72 | VIACOM INC | 3.50 | 4/1/2017 | 250,000 | $ | 259,529 | |||||||||||
92553PAS1 | US92553PAS11 | BCZYK11 | VIACOM INC | 2.50 | 9/1/2018 | 40,000 | $ | 40,613 | ||||||||||
92857WAP5 | US92857WAP59 | VODAFONE GROUP PLC | 5.63 | 2/27/2017 | 175,000 | $ | 189,001 | |||||||||||
92857WBE9 | US92857WBE93 | B3PQ0W5 | VODAFONE GROUP PLC | 1.50 | 2/19/2018 | 2,235,000 | $ | 2,223,517 | ||||||||||
928668AB8 | US928668AB85 | BMNS9X0 | VOLKSWAGEN GROUP OF AMERICA FI | 2.13 | 5/23/2019 | 3,830,000 | $ | 3,852,587 | ||||||||||
928668AH5 | US928668AH55 | BSN4Q73 | VOLKSWAGEN GROUP OF AMERICA FI | 2.45 | 11/20/2019 | 5,050,000 | $ | 5,133,046 |
Page 43
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
931142DE0 | US931142DE06 | B9HKFD3 | WAL-MART STORES INC | 0.60 | 4/11/2016 | 4,375,000 | $ | 4,383,652 | ||||||||||
931142DF7 | US931142DF70 | WAL-MART STORES INC | 1.13 | 4/11/2018 | 1,700,000 | $ | 1,701,609 | |||||||||||
931422AJ8 | US931422AJ88 | B8QB7C3 | WALGREEN CO | 1.80 | 9/15/2017 | 250,000 | $ | 252,544 | ||||||||||
931427AF5 | US931427AF53 | BSL6VH6 | WALGREENS BOOTS ALLIANCE INC | 3.30 | 9/18/2021 | 2,115,000 | $ | 2,177,656 | ||||||||||
94106LAX7 | US94106LAX73 | WASTE MANAGEMENT INC | 2.60 | 9/1/2016 | 150,000 | $ | 153,352 | |||||||||||
942683AG8 | US942683AG82 | B848C87 | ACTAVIS INC | 1.88 | 10/1/2017 | 8,650,000 | $ | 8,668,536 | ||||||||||
947074AJ9 | US947074AJ93 | B2NJDK8 | WEATHERFORD INTL INC | 6.35 | 6/15/2017 | 300,000 | $ | 318,000 | ||||||||||
947075AD9 | US947075AD98 | WEATHERFORD INTERNATIONAL LTD | 6.00 | 3/15/2018 | 1,347,000 | $ | 1,414,350 | |||||||||||
94770VAF9 | US94770VAF94 | B67THY4 | WEBMD HEALTH CORP | 2.50 | 1/31/2018 | 940,000 | $ | 952,004 | ||||||||||
94770VAH5 | US94770VAH50 | B5BV5Z6 | WEBMD HEALTH CORP | 2.25 | 3/31/2016 | 830,000 | $ | 833,984 | ||||||||||
94973VBC0 | US94973VBC00 | B8DR8L0 | ANTHEM INC | 1.88 | 1/15/2018 | 250,000 | $ | 251,504 | ||||||||||
950840AC2 | US950840AC22 | B8KDXR2 | WESFARMERS LTD | 1.87 | 3/20/2018 | 825,000 | $ | 828,348 | ||||||||||
958254AC8 | US958254AC81 | WESTERN GAS PARTNERS LP | 2.60 | 7/15/2018 | 3,650,000 | $ | 3,674,883 | |||||||||||
963320AP1 | US963320AP11 | BK0NS37 | WHIRLPOOL CORPORATION | 1.35 | 3/1/2017 | 20,000 | $ | 20,054 | ||||||||||
96950FAD6 | US96950FAD69 | WILLIAMS PARTNERS LP | 5.25 | 3/15/2020 | 150,000 | $ | 164,882 | |||||||||||
982526AR6 | US982526AR60 | BFT6553 | WM WRIGLEY JR CO | 1.40 | 10/21/2016 | 910,000 | $ | 913,959 | ||||||||||
982526AV7 | US982526AV72 | BFT6575 | WM WRIGLEY JR CO | 2.90 | 9/21/2019 | 8,650,000 | $ | 8,896,956 | ||||||||||
98310WAK4 | US98310WAK45 | B7LCGW7 | WYNDHAM WORLDWIDE CORP | 2.50 | 2/1/2018 | 3,500,000 | $ | 3,525,507 | ||||||||||
984121BQ5 | US984121BQ57 | B1BY4F0 | XEROX CORPORATION | 6.75 | 2/1/2017 | 1,630,000 | $ | 1,783,917 | ||||||||||
984121CF8 | US984121CF83 | B7RF040 | XEROX CORPORATION | 2.95 | 3/15/2017 | 250,000 | $ | 256,925 | ||||||||||
98417EAU4 | US98417EAU47 | B8H6CF5 | XSTRATA FINANCE (CANADA) LTD | 2.70 | 10/25/2017 | 8,705,000 | $ | 8,844,178 | ||||||||||
98419MAA8 | US98419MAA80 | B8GGKP2 | XYLEM INC/NY | 3.55 | 9/20/2016 | 4,475,000 | $ | 4,622,595 | ||||||||||
98458PAC9 | US98458PAC95 | YALE UNIVERSITY | 2.09 | 4/15/2019 | 100,000 | $ | 101,595 | |||||||||||
98956PAE2 | US98956PAE25 | BWC4YQ7 | ZIMMER HOLDINGS INC | 2.00 | 4/1/2018 | 840,000 | $ | 845,648 | ||||||||||
98956PAF9 | US98956PAF99 | BWC4ZB9 | ZIMMER HOLDINGS INC | 3.55 | 1/1/2025 | 1,085,000 | $ | 1,106,635 | ||||||||||
US00404DAD57 | ACADIA HEALTHCARE CO INC | 4.25 | 2/3/2016 | 359,100 | $ | 362,467 | ||||||||||||
US00828KAF21 | AFFINION GROUP | 6.75 | 4/30/2018 | 643,500 | $ | 608,912 | ||||||||||||
US09179FAR38 | BJS WHOLESALE CLUB, INC. | 4.50 | 9/26/2019 | 2,686,398 | $ | 2,685,138 | ||||||||||||
US09179FAS11 | BJS WHOLESALE CLUB, INC. | 8.50 | 3/26/2020 | 925,000 | $ | 922,688 | ||||||||||||
US10524MAK36 | BULLSEYE MERGERSUB INC | 4.75 | 11/26/2020 | 2,479,906 | $ | 2,408,609 | ||||||||||||
US12768QAB59 | CAESARS GROWTH PROPERTIES PARE | 6.25 | 5/8/2021 | 2,984,963 | $ | 2,638,707 | ||||||||||||
US23857KAD37 | CDR DB SUB INC | 5.25 | 10/11/2019 | 1,881,055 | $ | 1,824,623 | ||||||||||||
US36540TAB35 | THE BRICKMAN GROUP LTD LLC | 7.50 | 12/18/2015 | 1,130,000 | $ | 1,131,413 | ||||||||||||
US60038CAF05 | MILLENNIUM LABORATORIES INC | 5.25 | 4/9/2015 | 2,984,962 | $ | 3,003,618 | ||||||||||||
US64184JAB89 | NEW ALBERTSONS | 4.75 | 6/27/2021 | 1,492,500 | $ | 1,494,833 | ||||||||||||
US81732LAL27 | SEQUA CORP | 5.25 | 6/19/2017 | 1,989,822 | $ | 1,851,778 | ||||||||||||
US82773WAD48 | SILVER II BORROWER SCA | 4.00 | 12/13/2019 | 175,000 | $ | 165,758 | ||||||||||||
US87650QAJ13 | TASC INC | 7.00 | 5/2/2016 | 1,396,335 | $ | 1,410,299 | ||||||||||||
US93368VAE20 | WAND INTERMEDIATE I LP | 8.25 | 9/17/2022 | 500,000 | $ | 500,000 | ||||||||||||
US96925HAB87 | WME IMG LLC | 5.25 | 5/6/2021 | 1,989,975 | $ | 1,968,583 | ||||||||||||
XAC0102MAC91 | AIR CANADA | 5.50 | 9/26/2015 | 3,682,722 | $ | 3,721,085 | ||||||||||||
XAG6740DAD84 | OFFSHORE GROUP INVESTMENT LTD/ | 5.75 | 3/28/2019 | 1,582,700 | $ | 891,964 |
Page 44
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
XAL3434LAC45 | EVERGREEN SKILLS LUX SARL | 5.75 | 4/28/2021 | 2,437,750 | $ | 2,404,840 | ||||||||||||
XAL7300KAB07 | ORTHO-CLINICAL DIAGNOSTICS INC | 4.75 | 6/30/2021 | 2,536,593 | $ | 2,510,831 | ||||||||||||
XAQ3930AAC26 | FORTESCUE METALS | 3.75 | 6/30/2019 | 387,652 | $ | 350,133 | ||||||||||||
PRIVATE | ALLIANCE TIRE GROUP BV | 10.50 | 6/26/2021 | 1,000,000 | $ | 1,000,000 | ||||||||||||
PRIVATE | ARAMARK CORPORATION | 3.65 | 7/26/2016 | 8,639 | $ | 8,596 | ||||||||||||
PRIVATE | ASPECT SOFTWARE INC | 7.25 | 5/7/2016 | 2,572,470 | $ | 2,559,608 | ||||||||||||
PRIVATE | BROCK HOLDINGS III INC | 6.00 | 3/16/2017 | 1,188,746 | $ | 1,168,933 | ||||||||||||
PRIVATE | BROCK HOLDINGS III INC | 10.00 | 3/14/2018 | 480,000 | $ | 454,800 | ||||||||||||
PRIVATE | SENSUS METERING | 8.50 | 5/11/2018 | 1,000,000 | $ | 981,250 | ||||||||||||
PRIVATE | BARBRI INC | 4.50 | 7/17/2019 | 1,248,483 | $ | 1,217,271 | ||||||||||||
PRIVATE | INEOS US FINANCE LLC | 0.00 | 5/4/2018 | 358,184 | $ | 356,009 | ||||||||||||
PRIVATE | ARCH COAL INC. | 0.00 | 5/16/2018 | 464,652 | $ | 358,363 | ||||||||||||
PRIVATE | MISYS PLC | 5.00 | 12/12/2018 | 2,984,713 | $ | 2,986,951 | ||||||||||||
PRIVATE | TANK HOLDING CORP | 5.25 | 7/9/2019 | 500,000 | $ | 501,042 | ||||||||||||
PRIVATE | CENTERPLATE INC | 4.75 | 11/26/2019 | 997,481 | $ | 985,013 | ||||||||||||
PRIVATE | TRANSTAR HOLDING COMPANY | 5.75 | 10/9/2018 | 1,502,846 | $ | 1,480,303 | ||||||||||||
PRIVATE | HARVARD DRUG GROUP LLC /THE | 5.00 | 8/16/2020 | 2,493,671 | $ | 2,474,968 | ||||||||||||
PRIVATE | CUNNINGHAM LINDSEY INTERMEDIAT | 9.25 | 6/10/2020 | 1,000,000 | $ | 967,500 | ||||||||||||
PRIVATE | ARDENT MEDICAL | 6.75 | 7/2/2018 | 3,297,964 | $ | 3,303,119 | ||||||||||||
PRIVATE | RENFRO CORP | 5.75 | 1/30/2019 | 820,732 | $ | 805,001 | ||||||||||||
PRIVATE | ATI HOLDINGS LLC | 5.25 | 12/20/2019 | 2,352,293 | $ | 2,358,174 | ||||||||||||
PRIVATE | CROSSMARK HOLDINGS INC | 8.75 | 12/21/2020 | 750,000 | $ | 675,000 | ||||||||||||
PRIVATE | SAGE PRODUCTS HOLDINGS III LLC | 5.00 | 12/13/2019 | 692,350 | $ | 698,840 | ||||||||||||
PRIVATE | VESTCOM INTL INC. | 6.50 | 9/30/2021 | 147,750 | $ | 145,534 | ||||||||||||
PRIVATE | TOTAL SAFETY US INC | 5.75 | 3/13/2020 | 1,982,087 | $ | 1,684,774 | ||||||||||||
PRIVATE | TOTAL SAFETY US INC | 5.75 | 9/13/2020 | 324,188 | $ | 295,011 | ||||||||||||
PRIVATE | MERRILL COMMUNICATIONS LLC | 5.75 | 3/5/2017 | 3,231,778 | $ | 3,247,937 | ||||||||||||
PRIVATE | PANDA TEMPLE POWER II LLC | 7.25 | 3/25/2019 | 1,360,000 | $ | 1,332,800 | ||||||||||||
PRIVATE | WIDEOPENWEST FINANCE LLC | 4.75 | 4/1/2019 | 1,555,719 | $ | 1,557,109 | ||||||||||||
PRIVATE | ALG BV | 10.25 | 2/28/2020 | 750,000 | $ | 742,500 | ||||||||||||
PRIVATE | SECURUS TECHNOLOGIES HOLDINGS | 4.75 | 4/30/2020 | 1,231,252 | $ | 1,211,758 | ||||||||||||
PRIVATE | SECURUS TECHNOLOGIES HOLDINGS | 9.00 | 4/30/2021 | 540,000 | $ | 531,000 | ||||||||||||
PRIVATE | JC PENNEY CORPORATION INC | 6.00 | 5/22/2018 | 2,244,935 | $ | 2,234,833 | ||||||||||||
PRIVATE | CLEAR CHANNEL COMMUN, INC. | 6.92 | 1/30/2019 | 2,000,000 | $ | 1,899,500 | ||||||||||||
PRIVATE | ONEX CARESTREAM FINANCE LP | 6.25 | 6/7/2019 | 2,379,273 | $ | 2,385,716 | ||||||||||||
PRIVATE | ONEX CARESTREAM FINANCE LP | 9.50 | 12/7/2019 | 448,278 | $ | 446,877 | ||||||||||||
PRIVATE | QUICKSILVER RESOURCES INC | 7.00 | 6/21/2019 | 500,000 | $ | 280,000 | ||||||||||||
PRIVATE | CTI FOODS HOLDING CO LLC | 4.50 | 6/29/2020 | 498,734 | $ | 497,176 | ||||||||||||
PRIVATE | EMERALD EXPOSITIONS HOLDING IN | 4.75 | 6/17/2020 | 1,993,997 | $ | 2,003,967 |
Page 45
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
PRIVATE | FOUR SEASONS HOLDINGS INC | 6.25 | 6/19/2015 | 1,335,000 | $ | 1,341,675 | ||||||||||||
PRIVATE | TRIPLE POINT TECHNOLOGY INC | 5.25 | 7/10/2020 | 1,768,292 | $ | 1,591,463 | ||||||||||||
PRIVATE | ALTICE FINANCING SA | 5.50 | 7/2/2015 | 3,570,195 | $ | 3,615,715 | ||||||||||||
PRIVATE | BMC SOFTWARE FINANCE INC | 5.00 | 9/10/2020 | 2,785,383 | $ | 2,723,408 | ||||||||||||
PRIVATE | FORESIGHT ENERGY LLC | 5.50 | 8/21/2020 | 1,575,095 | $ | 1,545,562 | ||||||||||||
PRIVATE | CPG INTERNATIONAL INC | 4.75 | 9/30/2020 | 1,989,899 | $ | 1,956,733 | ||||||||||||
PRIVATE | FIELDWOOD ENERGY LLC | 8.38 | 9/30/2020 | 1,515,000 | $ | 1,102,163 | ||||||||||||
PRIVATE | DELL INC | 4.50 | 4/29/2020 | 2,000,000 | $ | 2,010,556 | ||||||||||||
PRIVATE | HUDSONS BAY CO | 4.75 | 11/4/2020 | 1,054,054 | $ | 1,055,702 | ||||||||||||
PRIVATE | P2 LOWER ACQUISITION LLC | 5.50 | 10/22/2020 | 2,576,121 | $ | 2,569,681 | ||||||||||||
PRIVATE | P2 LOWER ACQUISITION LLC | 9.50 | 10/28/2021 | 785,000 | $ | 767,338 | ||||||||||||
PRIVATE | OMNITRACS INC | 8.75 | 5/25/2021 | 1,000,000 | $ | 976,875 | ||||||||||||
PRIVATE | OMNITRACS INC | 4.75 | 11/25/2020 | 2,984,909 | $ | 2,987,709 | ||||||||||||
PRIVATE | P2 ENERGY SOLUTIONS INC | 5.00 | 10/30/2020 | 2,409,500 | $ | 2,331,191 | ||||||||||||
PRIVATE | ACTIVE NETWORK INC (THE) | 5.50 | 11/13/2020 | 2,288,418 | $ | 2,275,545 | ||||||||||||
PRIVATE | ACTIVE NETWORK INC (THE) | 9.50 | 11/15/2021 | 500,000 | $ | 477,500 | ||||||||||||
PRIVATE | MCJUNKIN RED MAN CORP | 5.00 | 11/8/2019 | 2,785,859 | $ | 2,677,907 | ||||||||||||
PRIVATE | FILTRATION GROUP CORP | 8.25 | 11/22/2021 | 1,000,000 | $ | 1,001,667 | ||||||||||||
PRIVATE | DEL MONTE FOODS CONSUMER PRODU | 5.50 | 2/18/2021 | 992,481 | $ | 941,203 | ||||||||||||
PRIVATE | DEL MONTE FOODS CO | 8.25 | 8/18/2021 | 750,000 | $ | 675,000 | ||||||||||||
PRIVATE | OFFSHORE GROUP INVESTMENT LTD | 5.00 | 10/25/2017 | 845,117 | $ | 526,689 | ||||||||||||
PRIVATE | MURRAY ENERGY CORP | 5.25 | 12/5/2019 | 2,686,432 | $ | 2,636,733 | ||||||||||||
PRIVATE | CLEAR CHANNEL COMMUN, INC. | 7.67 | 7/30/2019 | 239,250 | $ | 230,457 | ||||||||||||
PRIVATE | HEARTLAND DENTAL CARE INC | 5.50 | 12/21/2018 | 2,962,338 | $ | 2,953,081 | ||||||||||||
PRIVATE | NTNL MNTR HLDGS | 4.25 | 1/31/2021 | 2,785,930 | $ | 2,782,447 | ||||||||||||
PRIVATE | IKARIA INC | 5.00 | 2/12/2021 | 2,606,713 | $ | 2,607,800 | ||||||||||||
PRIVATE | IKARIA INC | 8.75 | 2/12/2016 | 130,000 | $ | 131,463 | ||||||||||||
PRIVATE | PHARMEDIUM HLTH | 7.75 | 1/28/2022 | 750,000 | $ | 747,188 | ||||||||||||
PRIVATE | ALLIED SECURITY HOLDINGS LLC | 8.00 | 8/13/2021 | 680,651 | $ | 678,382 | ||||||||||||
PRIVATE | PHILLIPS PET FOOD & SUPPLIES | 8.25 | 1/31/2022 | 750,000 | $ | 543,750 | ||||||||||||
PRIVATE | OPENLINK INTERNATIONAL INTERME | 6.25 | 10/30/2017 | 1,332,513 | $ | 1,325,850 | ||||||||||||
PRIVATE | COLLECTIVE BRANDS INC | 5.00 | 3/11/2021 | 2,282,750 | $ | 2,174,890 | ||||||||||||
PRIVATE | AMERICAN PACIFIC CORP | 7.00 | 2/27/2019 | 990,000 | $ | 992,475 | ||||||||||||
PRIVATE | WME IMG LLC | 8.25 | 5/6/2022 | 1,360,000 | $ | 1,288,600 | ||||||||||||
PRIVATE | AMERICAN TIRE DISTRIBUTORS INC | 5.75 | 6/1/2018 | 1,560,564 | $ | 1,560,564 | ||||||||||||
PRIVATE | GYP HOLDINGS III CORP | 4.75 | 4/1/2021 | 2,233,125 | $ | 2,173,110 | ||||||||||||
PRIVATE | GYP HOLDINGS III CORP | 7.75 | 4/1/2022 | 615,000 | $ | 601,163 | ||||||||||||
PRIVATE | MEDPACE INC | 4.75 | 4/1/2021 | 2,000,000 | $ | 2,005,834 | ||||||||||||
PRIVATE | FAIRMOUNT MINERALS LTD | 4.50 | 9/5/2019 | 756,162 | $ | 662,587 | ||||||||||||
PRIVATE | CHECKOUT HOLDING | 7.75 | 4/11/2022 | 2,620,000 | $ | 2,056,700 | ||||||||||||
PRIVATE | CHECKOUT HOLDING | 4.50 | 4/9/2021 | 1,736,875 | $ | 1,511,081 | ||||||||||||
PRIVATE | HUDSON PRODUCTS | 5.00 | 3/15/2019 | 990,000 | $ | 947,925 |
Page 46
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
PRIVATE | MEN'S WEARHOUSE INC | 4.50 | 6/18/2021 | 997,494 | $ | 999,987 | ||||||||||||
PRIVATE | MUNTERS AB | 6.25 | 5/5/2021 | 1,687,250 | $ | 1,647,178 | ||||||||||||
PRIVATE | SKILLSOFT CORP | 9.25 | 4/28/2022 | 1,850,000 | $ | 1,734,375 | ||||||||||||
PRIVATE | US JOINER HOLDING COMPANY | 7.00 | 4/16/2020 | 990,000 | $ | 985,050 | ||||||||||||
PRIVATE | DOOSAN INFRACORE INTERNATIONAL | 4.50 | 5/1/2015 | 917,872 | $ | 927,050 | ||||||||||||
PRIVATE | LEARNING CARE GROUP US NO 2 IN | 5.50 | 5/5/2021 | 2,479,384 | $ | 2,485,583 | ||||||||||||
PRIVATE | AFFINION GROUP | 8.50 | 10/31/2018 | 350,000 | $ | 306,469 | ||||||||||||
PRIVATE | CHIEF EXPLORATION & DEVELOPMEN | 7.50 | 5/16/2021 | 500,000 | $ | 460,250 | ||||||||||||
PRIVATE | SI ORGANIZATION INC | 5.75 | 11/23/2019 | 2,375,461 | $ | 2,384,369 | ||||||||||||
PRIVATE | SI ORGANIZATION INC | 5.75 | 11/23/2019 | 158,294 | $ | 158,888 | ||||||||||||
PRIVATE | UTEX IND | 5.00 | 5/21/2021 | 2,686,466 | $ | 2,404,387 | ||||||||||||
PRIVATE | SUNEDISON SEMICO | 6.50 | 5/27/2019 | 967,688 | $ | 955,591 | ||||||||||||
PRIVATE | WP MUSTANG HOLDINGS LLC | 5.50 | 5/29/2021 | 2,739,367 | $ | 2,742,791 | ||||||||||||
PRIVATE | UTEX IND | 8.25 | 5/20/2022 | 750,000 | $ | 600,000 | ||||||||||||
PRIVATE | SI ORGANIZATION INC | 9.00 | 5/23/2020 | 700,000 | $ | 704,375 | ||||||||||||
PRIVATE | GREEN PLAINS REN | 6.50 | 6/30/2020 | 947,611 | $ | 900,231 | ||||||||||||
PRIVATE | ENCOMPASS DIGITAL MEDIA INC | 8.75 | 6/5/2022 | 500,000 | $ | 497,500 | ||||||||||||
PRIVATE | OTTER PRODUCTS LLC | 5.75 | 6/3/2020 | 2,430,006 | $ | 2,414,818 | ||||||||||||
PRIVATE | ENCOMPASS DIGITAL MEDIA INC | 5.50 | 6/6/2021 | 2,025,531 | $ | 2,022,999 | ||||||||||||
PRIVATE | AZ CHEM US | 7.50 | 6/10/2022 | 580,000 | $ | 571,300 | ||||||||||||
PRIVATE | AZ CHEM US | 4.50 | 6/12/2015 | 1,578,356 | $ | 1,580,083 | ||||||||||||
PRIVATE | WORLD TRIATHLON CORP | 5.25 | 6/25/2021 | 496,250 | $ | 497,491 | ||||||||||||
PRIVATE | SOLENIS INTERNATIONAL LP | 0.00 | 7/31/2022 | 175,000 | $ | 169,203 | ||||||||||||
PRIVATE | WINEBOW GROUP LLC | 8.50 | 1/2/2022 | 1,000,000 | $ | 922,500 | ||||||||||||
PRIVATE | HEALOGICS INC | 5.25 | 9/2/2015 | 2,075,000 | $ | 2,080,188 | ||||||||||||
PRIVATE | BIRCH COMMUNICATIONS HOLDINGS | 7.75 | 7/17/2020 | 2,914,583 | $ | 2,878,151 | ||||||||||||
PRIVATE | TRIBUNE PUBLISHING CO | 5.75 | 8/4/2021 | 2,628,797 | $ | 2,602,510 | ||||||||||||
PRIVATE | EMERALD PERFORMANCE MATERIALS | 4.50 | 7/30/2021 | 885,550 | $ | 885,550 | ||||||||||||
PRIVATE | SURGERY CENTER HOLDINGS INC | 5.25 | 7/16/2015 | 897,750 | $ | 897,750 | ||||||||||||
PRIVATE | ENERGY & EXPLORATION PARTNERS | 7.75 | 1/22/2019 | 3,573,000 | $ | 2,940,068 | ||||||||||||
PRIVATE | CCS INTERMEDIATE HOLDINGS LLC | 5.00 | 7/23/2021 | 1,512,400 | $ | 1,493,495 | ||||||||||||
PRIVATE | EMERALD PERFORMANCE MATERIALS | 7.75 | 8/1/2022 | 620,000 | $ | 606,566 | ||||||||||||
PRIVATE | CITGO PETROLEUM CORPORATION | 4.50 | 7/29/2021 | 1,014,900 | $ | 1,001,791 | ||||||||||||
PRIVATE | ALM MEDIA HOLDGS | 9.00 | 7/30/2021 | 500,000 | $ | 491,250 | ||||||||||||
PRIVATE | IBC CAPITAL LTD | 4.75 | 9/9/2021 | 2,080,000 | $ | 2,079,351 | ||||||||||||
PRIVATE | AP NMT ACQUISITION BV | 6.75 | 8/13/2021 | 895,500 | $ | 888,784 | ||||||||||||
PRIVATE | NATIONAL VETERINARY ASSOCIATES | 4.75 | 8/14/2021 | 2,244,375 | $ | 2,244,375 | ||||||||||||
PRIVATE | ACOSTA HOLDCO INC | 5.00 | 8/11/2015 | 2,743,125 | $ | 2,763,698 | ||||||||||||
PRIVATE | ALBERTSONS INC | 5.50 | 8/8/2015 | 3,280,000 | $ | 3,305,056 | ||||||||||||
PRIVATE | PACKAGING COORDINATORS INC | 9.00 | 8/1/2022 | 1,000,000 | $ | 980,000 | ||||||||||||
PRIVATE | IMC OP LP | 5.25 | 8/15/2020 | 1,326,675 | $ | 1,328,333 |
Page 47
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
PRIVATE | ZEST ANCHORS LLC | 5.25 | 8/16/2020 | 1,792,673 | $ | 1,797,155 | ||||||||||||
PRIVATE | AP NMT ACQUISITION BV | 10.00 | 8/13/2022 | 450,000 | $ | 431,438 | ||||||||||||
PRIVATE | SCINTFIC GMS INT INC | 6.00 | 4/1/2015 | 1,396,500 | $ | 1,398,634 | ||||||||||||
PRIVATE | MIDAS INTERMEDIATE HOLDCO II L | 4.75 | 9/19/2015 | 101,010 | $ | 101,452 | ||||||||||||
PRIVATE | TPF II POWER LLC | 5.50 | 9/29/2015 | 2,528,663 | $ | 2,559,216 | ||||||||||||
PRIVATE | MIDAS INTERMEDIATE HOLDCO II L | 4.75 | 9/19/2015 | 896,462 | $ | 900,384 | ||||||||||||
PRIVATE | BURGER KING NEWCO | 4.50 | 9/23/2015 | 991,170 | $ | 1,000,374 | ||||||||||||
PRIVATE | BERLIN PACKAGING LLC | 4.50 | 10/1/2021 | 1,990,000 | $ | 1,992,488 | ||||||||||||
PRIVATE | CROWNE GROUP LLC | 6.00 | 9/30/2020 | 398,000 | $ | 396,010 | ||||||||||||
PRIVATE | ZEBRA TECHNOLOGIES CORPORATION | 4.75 | 10/27/2015 | 1,866,591 | $ | 1,886,812 | ||||||||||||
PRIVATE | CROWNE GROUP LLC | 9.00 | 9/30/2021 | 600,000 | $ | 585,000 | ||||||||||||
PRIVATE | FHC HEALTH SYSTEMS INC | 5.00 | 4/8/2015 | 1,170,000 | $ | 1,173,413 | ||||||||||||
PRIVATE | AVG TECHNOLOGIES NV | 5.75 | 10/15/2020 | 728,175 | $ | 724,534 | ||||||||||||
PRIVATE | ECO SERVICES OPERATIONS LLC | 4.75 | 12/1/2021 | 798,000 | $ | 799,995 | ||||||||||||
PRIVATE | METALDYNE PERFORMANCE GROUP IN | 4.25 | 4/20/2015 | 742,514 | $ | 745,293 | ||||||||||||
PRIVATE | VESTCOM INTL INC. | 8.75 | 9/30/2022 | 425,000 | $ | 418,625 | ||||||||||||
PRIVATE | PRO MACH INC TL B | 5.50 | 10/22/2021 | 1,380,000 | $ | 1,387,763 | ||||||||||||
PRIVATE | SOURCEHOV LLC | 7.75 | 10/31/2019 | 700,000 | $ | 675,938 | ||||||||||||
PRIVATE | PACKERS HOLDINGS LLC | 5.00 | 5/21/2015 | 897,750 | $ | 901,655 | ||||||||||||
PRIVATE | CREGANNA-TACTX MEDICAL | 9.00 | 6/1/2022 | 500,000 | $ | 503,125 | ||||||||||||
PRIVATE | BALBOA MERGER SUB INC | 6.50 | 12/4/2020 | 485,000 | $ | 484,849 | ||||||||||||
PRIVATE | US TELEPACI | 6.00 | 11/25/2020 | 1,845,375 | $ | 1,838,455 | ||||||||||||
PRIVATE | HLX PLY HOLDINGS INC | 6.00 | 12/4/2015 | 1,240,000 | $ | 1,247,729 | ||||||||||||
PRIVATE | VARSITY BRANDS HOLDING CO INC | 6.00 | 12/10/2021 | 548,625 | $ | 552,740 | ||||||||||||
PRIVATE | PRIMEDIA INC. | 6.25 | 12/17/2021 | 1,695,750 | $ | 1,693,630 | ||||||||||||
PRIVATE | PRIMEDIA INC. | 10.00 | 12/17/2022 | 250,000 | $ | 231,250 | ||||||||||||
PRIVATE | COMPUWARE CORPORATION | 6.25 | 12/15/2021 | 997,500 | $ | 965,912 | ||||||||||||
PRIVATE | SURVEY SAMPLING INTERNATIONAL | 6.00 | 12/16/2020 | 375,000 | $ | 372,188 | ||||||||||||
PRIVATE | SURVEY SAMPLING INTERNATIONAL | 10.00 | 12/16/2021 | 375,000 | $ | 367,500 | ||||||||||||
PRIVATE | CH SERVICES ACQUISITION INC | 6.50 | 2/7/2022 | 1,100,000 | $ | 1,097,250 | ||||||||||||
PRIVATE | IG INVESTMENTS HOLDINGS LLC | 6.00 | 1/23/2016 | 3,730,916 | $ | 3,730,916 | ||||||||||||
PRIVATE | DOLLAR TREE INC | 4.25 | 9/9/2015 | 1,050,000 | $ | 1,060,664 | ||||||||||||
PRIVATE | KAUFMAN HALL & ASSOCIATES INC | 6.00 | 12/31/2020 | 750,000 | $ | 738,750 | ||||||||||||
PRIVATE | DYNACAST INTERNATIONAL LLC | 5.25 | 1/29/2016 | 690,000 | $ | 693,002 | ||||||||||||
PRIVATE | GLOBAL KNOWLEDGE TRAINING LLC | 6.50 | 1/29/2021 | 399,000 | $ | 399,998 | ||||||||||||
PRIVATE | GLOBAL KNOWLEDGE TRAINING LLC | 10.50 | 1/28/2022 | 175,000 | $ | 175,438 | ||||||||||||
PRIVATE | PETSMART INC. | 5.00 | 2/9/2016 | 625,000 | $ | 629,403 | ||||||||||||
1,096,546,222 | $ | 1,107,548,398 | ||||||||||||||||
Page 48
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
CORPORATE DEBT SECURITIES - UTILITIES | ||||||||||||||||||
025537AF8 | US025537AF85 | B90G862 | AMERICAN ELECTRIC POWER COMPAN | 1.65 | 11/15/2017 | 1,250,000 | $ | 1,254,576 | ||||||||||
03040WAB1 | US03040WAB19 | AMERICAN WATER CAPITAL CORP. | 6.09 | 10/15/2017 | 150,000 | $ | 166,644 | |||||||||||
125896BC3 | US125896BC31 | B5BLWP5 | CMS ENERGY CO | 8.75 | 6/15/2019 | 2,957,000 | $ | 3,713,708 | ||||||||||
131347CE4 | US131347CE49 | BP45760 | CALPINE CORP | 5.38 | 10/15/2020 | 2,000,000 | $ | 2,005,000 | ||||||||||
202795HS2 | US202795HS28 | COMMONWEALTH EDISON COMPANY | 6.15 | 9/15/2017 | 5,748,000 | $ | 6,418,519 | |||||||||||
202795JC5 | US202795JC57 | BHZ7X61 | COMMONWEALTH EDISON COMPANY | 2.15 | 12/15/2018 | 1,200,000 | $ | 1,213,009 | ||||||||||
209111ET6 | US209111ET63 | CONSOLIDATED EDISON INC | 5.85 | 4/1/2018 | 250,000 | $ | 282,076 | |||||||||||
23311VAE7 | US23311VAE74 | BKR3FW8 | DCP MIDSTREAM PARTNERS LP | 2.70 | 4/1/2019 | 1,500,000 | $ | 1,365,000 | ||||||||||
26441CAH8 | US26441CAH88 | B88CR57 | DUKE ENERGY CORP | 1.63 | 8/15/2017 | 250,000 | $ | 252,377 | ||||||||||
26441CAK1 | US26441CAK18 | BBHV693 | DUKE ENERGY CORP | 2.10 | 5/15/2018 | 1,740,000 | $ | 1,771,021 | ||||||||||
283695BP8 | US283695BP85 | EL PASO NATURAL GAS COMPANY | 5.95 | 4/15/2017 | 150,000 | $ | 161,444 | |||||||||||
292480AA8 | US292480AA83 | BMPQNV8 | ENABLE MIDSTREAM PARTNERS LP | 2.40 | 5/15/2019 | 1,750,000 | $ | 1,711,149 | ||||||||||
29250RAK2 | US29250RAK23 | ENBRIDGE ENERGY PRTNRS LP | 8.05 | 10/1/2017 | 100,000 | $ | 106,000 | |||||||||||
29273RBD0 | US29273RBD08 | BWB92G9 | ENERGY TRANSFER PARTNERS LP | 4.05 | 12/15/2024 | 680,000 | $ | 685,887 | ||||||||||
29336UAA5 | US29336UAA51 | ENLINK MIDSTREAM PARTNERS LP | 2.70 | 4/1/2019 | 3,700,000 | $ | 3,696,402 | |||||||||||
29364GAG8 | US29364GAG82 | ENTERGY CORP | 4.70 | 12/15/2016 | 100,000 | $ | 104,716 | |||||||||||
30161MAP8 | US30161MAP86 | BV9R161 | EXELON GENERATION CO LLC | 2.95 | 12/15/2019 | 4,295,000 | $ | 4,365,737 | ||||||||||
302570AX4 | US302570AX43 | FPL GROUP CAPITAL INC | 6.65 | 6/15/2067 | 200,000 | $ | 199,000 | |||||||||||
302570AY2 | US302570AY26 | B24FG84 | NEXTERA ENERGY CAPITAL HOLDING | 7.30 | 9/1/2017 | 100,000 | $ | 106,000 | ||||||||||
302570BD7 | US302570BD79 | NEXTERA ENERGY CAPITAL HOLDING | 6.00 | 3/1/2019 | 3,250,000 | $ | 3,710,192 | |||||||||||
340711AQ3 | US340711AQ34 | FL GAS TSMN CO | 7.90 | 5/15/2019 | 3,200,000 | $ | 3,820,607 | |||||||||||
36962G3M4 | US36962G3M40 | GENERAL ELEC CAP CORP | 6.38 | 11/15/2017 | 1,575,000 | $ | 1,704,938 | |||||||||||
454889AN6 | US454889AN65 | INDIANA MICHIGAN POWER COMPANY | 7.00 | 3/15/2019 | 150,000 | $ | 177,595 | |||||||||||
494550AU0 | US494550AU03 | KINDER MORGAN ENERGY PARTNERS | 6.00 | 2/1/2017 | 1,193,000 | $ | 1,279,407 | |||||||||||
494550BR6 | US494550BR64 | BCR4BZ0 | KINDER MORGAN ENERGY PARTNERS | 2.65 | 2/1/2019 | 4,900,000 | $ | 4,886,465 | ||||||||||
49456BAD3 | US49456BAD38 | BST7881 | KINDER MORGAN HOLDCO LLC | 2.00 | 12/1/2017 | 30,000 | $ | 29,917 | ||||||||||
49456BAE1 | US49456BAE11 | BST7892 | KINDER MORGAN HOLDCO LLC | 3.05 | 11/1/2019 | 2,875,000 | $ | 2,902,488 | ||||||||||
55336VAA8 | US55336VAA89 | BVWXT73 | MPLX LP | 4.00 | 11/15/2024 | 325,000 | $ | 328,024 | ||||||||||
595620AG0 | US595620AG01 | B1ZC0N0 | MIDAMERICAN ENERGY CO | 5.95 | 7/15/2017 | 200,000 | $ | 221,492 | ||||||||||
59562VAW7 | US59562VAW72 | BM4QJT9 | BERKSHIRE HATHAWAY ENERGY CO | 1.10 | 5/15/2017 | 4,375,000 | $ | 4,361,561 | ||||||||||
59562VAX5 | US59562VAX55 | BERKSHIRE HATHAWAY ENERGY CO | 2.00 | 10/15/2018 | 200,000 | $ | 201,481 | |||||||||||
65473QAS2 | US65473QAS21 | NISOURCE FINANCE CORPORATION | 6.40 | 3/15/2018 | 150,000 | $ | 170,548 | |||||||||||
68235PAD0 | US68235PAD06 | ONE GAS INC | 2.07 | 1/1/2019 | 100,000 | $ | 100,881 | |||||||||||
693304AL1 | US693304AL18 | B2QQVC4 | PECO ENERGY CO | 5.35 | 3/1/2018 | 200,000 | $ | 222,418 | ||||||||||
693304AQ0 | US693304AQ05 | PECO ENERGY CO | 1.20 | 10/15/2016 | 111,000 | $ | 111,191 | |||||||||||
69331CAF5 | US69331CAF59 | BK1Q329 | PG&E CORP | 2.40 | 2/1/2019 | 150,000 | $ | 151,396 |
Page 49
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
69353UAB7 | US69353UAB70 | PPL WEM HOLDINGS PLC | 3.90 | 5/1/2016 | 2,500,000 | $ | 2,569,485 | |||||||||||
698455AB8 | US698455AB81 | PANHANDLE EAST PIPE LINE | 7.00 | 6/15/2018 | 155,000 | $ | 175,924 | |||||||||||
71656LBC4 | US71656LBC46 | BVFJP36 | PETROLEOS MEXICANOS | 3.50 | 7/23/2020 | 1,667,000 | $ | 1,711,252 | ||||||||||
72650RBG6 | US72650RBG65 | PLAINS ALL AMERICAN PIPELINE L | 2.60 | 11/15/2019 | 1,925,000 | $ | 1,935,357 | |||||||||||
74456QBG0 | US74456QBG01 | PUBLIC SERVICE ELECTRIC AND GA | 1.80 | 6/1/2019 | 200,000 | $ | 198,995 | |||||||||||
74966NAA4 | US74966NAA46 | BNJZDL8 | RJS POWER HOLDINGS LLC | 5.13 | 7/15/2019 | 1,500,000 | $ | 1,481,250 | ||||||||||
816851AS8 | US816851AS80 | B6X1N13 | SEMPRA ENERGY | 2.30 | 4/1/2017 | 100,000 | $ | 101,934 | ||||||||||
816851AW9 | US816851AW92 | SEMPRA ENERGY | 2.40 | 2/15/2020 | 3,225,000 | $ | 3,259,308 | |||||||||||
842400GB3 | US842400GB36 | SOUTHERN CALIFORNIA EDISON CO. | 1.13 | 5/1/2017 | 2,790,000 | $ | 2,793,895 | |||||||||||
842400GD9 | US842400GD91 | SOUTHERN CALIFORNIA EDISON CO. | 2.40 | 2/1/2022 | 3,500,000 | $ | 3,486,104 | |||||||||||
842587CK1 | US842587CK18 | SOUTHERN COMPANY (THE) | 1.30 | 8/15/2017 | 4,145,000 | $ | 4,144,311 | |||||||||||
842587CL9 | US842587CL90 | SOUTHERN COMPANY (THE) | 2.15 | 8/1/2019 | 5,570,000 | $ | 5,591,638 | |||||||||||
84755TAA5 | US84755TAA51 | B2QVCH1 | SPECTRA ENERGY CAPITAL | 6.20 | 4/15/2018 | 200,000 | $ | 222,248 | ||||||||||
84756NAC3 | US84756NAC39 | BDZMNZ7 | SPECTRA ENERGY PARTNERS LP | 2.95 | 8/25/2018 | 5,000,000 | $ | 5,141,602 | ||||||||||
89346DAG2 | US89346DAG25 | BMQNJP4 | TRANSALTA CORP | 1.90 | 6/3/2017 | 31,000 | $ | 30,766 | ||||||||||
89352HAF6 | US89352HAF64 | TRANSCANADA PIPELINES LIMITED | 6.50 | 8/15/2018 | 200,000 | $ | 228,617 | |||||||||||
927804FM1 | US927804FM19 | VIRGINIA ELECTRIC AND POWER CO | 1.20 | 1/15/2018 | 450,000 | $ | 447,018 | |||||||||||
95709TAD2 | US95709TAD28 | WESTAR ENERGY INC | 5.10 | 7/15/2020 | 5,000,000 | $ | 5,694,376 | |||||||||||
958254AB0 | US958254AB09 | B8HN8P8 | WESTERN GAS PARTNERS LP | 4.00 | 4/1/2022 | 6,650,000 | $ | 6,750,187 | ||||||||||
96949LAA3 | US96949LAA35 | WILLIAMS PARTNERS LP | 3.60 | 1/15/2022 | 8,675,000 | $ | 8,613,827 | |||||||||||
976656CF3 | US976656CF33 | WISCONSIN ELECTRIC POWER COMPA | 1.70 | 5/15/2018 | 150,000 | $ | 150,076 | |||||||||||
98389BAK6 | US98389BAK61 | XCEL ENERGY INC | 5.61 | 4/1/2017 | 200,000 | $ | 216,905 | |||||||||||
US73919WAC01 | POWER BUYER LLC | 4.25 | 5/6/2020 | 384,267 | $ | 380,424 | ||||||||||||
US73919WAD83 | POWERTEAM SERVICES LLC | 4.25 | 5/6/2020 | 20,570 | $ | 20,365 | ||||||||||||
PRIVATE | ESSENTIAL POWER LLC | 4.75 | 8/8/2019 | 941,219 | $ | 941,808 | ||||||||||||
PRIVATE | PANDA SHERMAN POWER LLC | 9.00 | 9/13/2018 | 1,244,533 | $ | 1,225,865 | ||||||||||||
PRIVATE | FR DIXIE ACQUISITION CORP | 5.75 | 12/18/2020 | 2,336,663 | $ | 1,910,222 | ||||||||||||
109,864,252 | $ | 113,382,620 | ||||||||||||||||
ASSET BACKED SECURITIES - CREDIT CARDS | ||||||||||||||||||
02582JGU8 | US02582JGU88 | AMERICAN EXPRESS CREDIT ACCOUN | 1.49 | 9/15/2017 | 3,000,000 | $ | 3,019,620 | |||||||||||
05522RCR7 | US05522RCR75 | BACCT_14-A2 | 0.44 | 4/28/2017 | 5,000,000 | $ | 5,004,100 | |||||||||||
06742LAH6 | US06742LAH69 | DROCK_15-1 | 2.20 | 2/17/2020 | 12,400,000 | $ | 12,515,320 | |||||||||||
14041NDL2 | US14041NDL29 | CAPITAL ONE MULTI-ASSET EXE TR | 0.25 | 2/21/2017 | 7,190,000 | $ | 7,173,751 | |||||||||||
14041NDX6 | US14041NDX66 | CAPITAL ONE MULTI-ASSET EXECUT | 5.75 | 9/15/2017 | 1,350,000 | $ | 1,498,473 | |||||||||||
161571FQ2 | US161571FQ20 | CHASE ISSUANCE TRUST CHAIT_12- | 2.16 | 9/15/2022 | 500,000 | $ | 491,875 | |||||||||||
161571GJ7 | US161571GJ77 | CHASE ISSUANCE TRUST CHAIT_14- | 1.15 | 1/17/2017 | 700,000 | $ | 702,772 |
Page 50
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
161571GM0 | US161571GM07 | CHAIT_14-A4 | 0.38 | 4/21/2016 | 8,795,000 | $ | 8,791,306 | |||||||||||
161571GT5 | US161571GT59 | CHAIT_15-A2 | 1.59 | 2/15/2018 | 16,500,000 | $ | 16,616,589 | |||||||||||
17305EDT9 | US17305EDT91 | CCCIT_13-A1 | 6.15 | 6/15/2037 | 100,000 | $ | 139,665 | |||||||||||
17305EDY8 | US17305EDY86 | CCCIT_13-A1 | 5.65 | 9/20/2017 | 400,000 | $ | 442,988 | |||||||||||
17305EEE1 | US17305EEE14 | CITIBANK CREDIT CARD ISSUANCE | 5.35 | 2/7/2018 | 686,000 | $ | 762,235 | |||||||||||
17305EEK7 | US17305EEK73 | CITIBANK CREDIT CARD ISSUANCE | 1.38 | 6/5/2015 | 7,950,000 | $ | 7,961,051 | |||||||||||
17305EFE0 | US17305EFE05 | CCCIT_13-A6 | 1.32 | 9/7/2016 | 500,000 | $ | 503,705 | |||||||||||
17305EFM2 | US17305EFM21 | CCCIT_14-A1 | 2.88 | 1/21/2021 | 750,000 | $ | 779,138 | |||||||||||
17305EFU4 | US17305EFU47 | CCCIT_14-A8 | 1.73 | 4/9/2018 | 4,630,000 | $ | 4,674,124 | |||||||||||
254683AC9 | US254683AC94 | DCENT_07-A1 | 5.65 | 9/15/2017 | 900,000 | $ | 996,822 | |||||||||||
254683AY1 | US254683AY15 | DISCOVER CARD MASTER TRUST DCE | 1.67 | 7/15/2019 | 1,000,000 | $ | 997,590 | |||||||||||
36159JDH1 | US36159JDH14 | GEMNT_12-6 | 1.36 | 8/15/2017 | 500,000 | $ | 499,980 | |||||||||||
36159JDQ1 | US36159JDQ13 | GE CAPTIAL CREDIT CARD MASTER | 1.35 | 3/15/2018 | 500,000 | $ | 495,845 | |||||||||||
87165LAF8 | US87165LAF85 | SYNCT_15-1 | 2.37 | 3/16/2020 | 1,530,000 | $ | 1,549,818 | |||||||||||
74,881,000 | $ | 75,616,766 | ||||||||||||||||
ASSET BACKED SECURITIES - AUTO RECEIVABLES | ||||||||||||||||||
02006TAC0 | US02006TAC09 | ALLY AUTO RECEIVABLES TRUST AL | 1.53 | 10/1/2017 | 450,000 | $ | 452,160 | |||||||||||
02006XAD9 | US02006XAD93 | ALLYL_15-SN1 | 1.21 | 4/22/2016 | 700,000 | $ | 699,930 | |||||||||||
03062AAB2 | US03062AAB26 | AMCAR_14-3 | 0.64 | 11/9/2015 | 9,016,911 | $ | 9,016,911 | |||||||||||
03065KAB7 | US03065KAB70 | AMCAR_15-1 | 0.77 | 1/24/2016 | 2,170,000 | $ | 2,170,347 | |||||||||||
03065KAD3 | US03065KAD37 | AMCAR_15-1 | 1.26 | 5/28/2017 | 500,000 | $ | 499,385 | |||||||||||
13975DAD7 | US13975DAD75 | AFIN_13-3 | 1.68 | 12/5/2016 | 400,000 | $ | 402,564 | |||||||||||
13975EAD5 | US13975EAD58 | AFIN_13-1 | 0.97 | 5/6/2016 | 500,000 | $ | 500,455 | |||||||||||
14313TAC3 | US14313TAC36 | CARMX_14-3 | 1.16 | 3/3/2017 | 5,150,000 | $ | 5,149,176 | |||||||||||
14313UAC0 | US14313UAC09 | CARMX_14-4 | 1.25 | 6/17/2017 | 2,850,000 | $ | 2,854,930 | |||||||||||
34530GAE2 | US34530GAE26 | FORDO_13-D | 1.11 | 6/28/2017 | 800,000 | $ | 800,616 | |||||||||||
34530RAA6 | US34530RAA68 | FORDR_15-1 | 2.12 | 7/16/2021 | 2,430,000 | $ | 2,450,412 | |||||||||||
38013PAC3 | US38013PAC32 | GMALT_15-1 | 1.53 | 9/21/2017 | 3,100,000 | $ | 3,118,327 | |||||||||||
43814CAD1 | US43814CAD11 | HONDA AUTO RECEIVABLES OWNER T | 0.62 | 3/6/2016 | 615,000 | $ | 614,440 | |||||||||||
43814GAD2 | US43814GAD25 | HAROT_14-2 | 1.18 | 8/3/2017 | 220,000 | $ | 219,998 | |||||||||||
43814KAC5 | US43814KAC53 | HAROT_15-1 | 1.05 | 12/19/2016 | 2,950,000 | $ | 2,947,315 | |||||||||||
44890UAD6 | US44890UAD63 | HART_14-B | 1.46 | 1/15/2018 | 750,000 | $ | 753,203 | |||||||||||
62005QAA5 | US62005QAA58 | MOTOR_15-1 | 0.80 | 3/16/2017 | 4,540,000 | $ | 4,540,000 | |||||||||||
80283YAB1 | US80283YAB11 | SDART_14-4 | 0.67 | 10/16/2015 | 7,067,826 | $ | 7,062,737 | |||||||||||
89231MAC9 | US89231MAC91 | TAOT_14-A | 0.67 | 6/16/2016 | 650,000 | $ | 649,025 | |||||||||||
98158QAD8 | US98158QAD88 | WOART_12-B | 0.81 | 5/28/2016 | 500,000 | $ | 499,925 | |||||||||||
98160QAD4 | US98160QAD43 | WOART 2014-B | 1.14 | 7/16/2017 | 5,670,000 | $ | 5,668,980 | |||||||||||
51,029,737 | $ | 51,070,837 | ||||||||||||||||
ASSET BACKED SECURITIES - STUDENT LOANS | ||||||||||||||||||
00389VAA0 | US00389VAA08 | ALFT_13-1A | 0.97 | 2/1/2031 | 13,305,805 | $ | 13,267,111 | |||||||||||
00432CAZ4 | US00432CAZ41 | AGSL_03-1 | 1.65 | 1/20/2022 | 4,100,000 | $ | 3,985,905 | |||||||||||
00432CBB6 | US00432CBB63 | AGSL_03-1 | 1.62 | 2/14/2024 | 3,600,000 | $ | 3,547,444 | |||||||||||
00432CBP5 | US00432CBP59 | AGSL_03-1 | 1.62 | 4/4/2024 | 5,350,000 | $ | 5,139,429 |
Page 51
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
00434MAC1 | US00434MAC10 | ACCESS TO LOANS FOR LEARNING S | 0.97 | 10/4/2025 | 14,367,529 | $ | 14,469,825 | |||||||||||
10620NAC2 | US10620NAC20 | B0X9R79 | BRAZOS HIGHER EDUCATION AUTHOR | 0.39 | 2/11/2016 | 554,452 | $ | 553,291 | ||||||||||
26845BAA7 | US26845BAA70 | EFSV2_ 2012-1 | 1.05 | 3/2/2018 | 3,037,233 | $ | 3,052,146 | |||||||||||
281379AA5 | US281379AA56 | EDUSA_10-1 | 1.11 | 11/29/2018 | 904,763 | $ | 904,853 | |||||||||||
28137RAA5 | US28137RAA59 | EDUSA_14-1 | 0.87 | 10/26/2027 | 12,092,615 | $ | 12,049,831 | |||||||||||
281381AA1 | US281381AA11 | EDUSA_14-3 | 0.77 | 11/19/2025 | 12,707,318 | $ | 12,523,760 | |||||||||||
28140DAB9 | US28140DAB91 | ELAB_13-1A | 0.97 | 8/12/2018 | 3,788,962 | $ | 3,802,867 | |||||||||||
36156YAN1 | US36156YAN13 | GCO EDUCATION LOAN FUNDING TRU | 0.33 | 4/17/2016 | 548,895 | $ | 547,753 | |||||||||||
57563NAA6 | US57563NAA63 | MEFA | 1.21 | 4/8/2028 | 1,938,002 | $ | 1,954,591 | |||||||||||
60535YAA1 | US60535YAA10 | MHEAC_14-1 | 0.85 | 11/20/2023 | 9,057,855 | $ | 9,059,395 | |||||||||||
606072KS4 | US606072KS45 | MISSOURI HIGHER ED LN AUTH STU | 1.11 | 6/27/2021 | 2,367,307 | $ | 2,382,789 | |||||||||||
61205PAK5 | US61205PAK57 | MHESA_12-1 | 1.18 | 5/6/2018 | 28,439,351 | $ | 28,746,553 | |||||||||||
64031QBW0 | US64031QBW06 | B09G860 | NELS_05-2 | 0.34 | 2/7/2016 | 2,927,291 | $ | 2,918,266 | ||||||||||
64033GAA9 | US64033GAA94 | NSLT_13-5A | 0.80 | 7/7/2023 | 3,894,312 | $ | 3,875,775 | |||||||||||
66705EAA6 | US66705EAA64 | NEF_12-1 | 0.87 | 1/9/2024 | 1,571,981 | $ | 1,578,678 | |||||||||||
69339QAA7 | US69339QAA76 | PHEAA_14-2A | 0.74 | 7/9/2030 | 4,019,867 | $ | 4,011,103 | |||||||||||
698475AM2 | US698475AM27 | PANHANDLE-PLAINS HIGHER EDUCAT | 1.39 | 11/16/2024 | 4,176,446 | $ | 4,244,318 | |||||||||||
71722TAF1 | PHEAA_04-1 | 1.62 | 2/26/2019 | 2,000,000 | $ | 1,988,512 | ||||||||||||
71722TAG9 | US71722TAG94 | PHEAA_04-1 | 1.65 | 5/7/2021 | 6,000,000 | $ | 5,970,168 | |||||||||||
78442GQY5 | US78442GQY51 | B0QBRH2 | SLMA_05-9 | 0.38 | 1/26/2016 | 3,365,548 | $ | 3,357,336 | ||||||||||
78442GSC1 | US78442GSC14 | SLM STUDENT LOAN TRUST SLMA_06 | 0.34 | 3/11/2016 | 2,779,172 | $ | 2,774,947 | |||||||||||
80705WAA7 | US80705WAA71 | SCHOL_12-B | 0.58 | 2/28/2016 | 1,468,272 | $ | 1,470,170 | |||||||||||
80705XAA5 | US80705XAA54 | SCHOL_13-A | 0.83 | 5/27/2030 | 720,132 | $ | 713,606 | |||||||||||
86386MAY0 | US86386MAY03 | STUDENT LOAN CON | 1.39 | 12/21/2021 | 14,397,436 | $ | 14,765,867 | |||||||||||
B0A0BSZC0 | XS0168279080 | SLMA_03-5 | 0.30 | 7/15/2018 | 945,548 | $ | 995,581 | |||||||||||
U8280TAR8 | XS0177125860 | 7687581 | SLMA | 0.58 | 10/5/2019 | 2,670,000 | $ | 2,812,253 | ||||||||||
167,096,089 | $ | 167,464,124 | ||||||||||||||||
ASSET BACKED SECURITIES - CLO | ||||||||||||||||||
00083VAA9 | US00083VAA98 | ACASC_07-1 | 0.49 | 6/12/2016 | 4,985,264 | $ | 4,937,574 | |||||||||||
00089KAB5 | US00089KAB52 | ACIS_13 | 1.13 | 12/19/2018 | 12,211,343 | $ | 11,915,654 | |||||||||||
00089RAA2 | US00089RAA23 | ACIS_13-1 | 0.75 | 5/1/2018 | 17,400,000 | $ | 17,087,837 | |||||||||||
00100VAE0 | US00100VAE02 | ACIS CLO LTD ACIS_14-4A | 2.02 | 3/3/2022 | 1,113,736 | $ | 1,072,077 | |||||||||||
00100VAL4 | US00100VAL45 | ACIS_14-4A | 1.74 | 6/4/2021 | 8,650,000 | $ | 8,521,878 | |||||||||||
00306LAA2 | US00306LAA26 | ABERD_08-1A | 0.90 | 11/13/2016 | 13,946,427 | $ | 13,836,669 | |||||||||||
020056AJ6 | US020056AJ67 | ALM_12-5A | 1.49 | 4/4/2017 | 9,600,000 | $ | 9,587,686 | |||||||||||
033287AA1 | US033287AA11 | ANCHC_14-4A | 1.71 | 1/4/2020 | 12,450,000 | $ | 12,336,817 | |||||||||||
033287AJ2 | US033287AJ20 | ANCHC_14-4A | 2.42 | 7/15/2021 | 3,600,000 | $ | 3,570,211 | |||||||||||
03761QAA3 | US03761QAA31 | APID_06-QA | 0.50 | 6/12/2016 | 3,321,318 | $ | 3,308,503 | |||||||||||
04012VAA7 | US04012VAA70 | ARES | 0.89 | 4/27/2017 | 5,620,441 | $ | 5,590,184 | |||||||||||
04014WAA3 | US04014WAA36 | ARES CLO LTD ARES_14-1A | 1.78 | 12/16/2019 | 5,000,000 | $ | 4,993,346 | |||||||||||
04941LAE7 | US04941LAE74 | ATLAS SENIOR LOAN FUND LTD ATC | 0.00 | 9/27/2024 | 15,300,000 | $ | 12,027,376 | |||||||||||
04964WAA3 | US04964WAA36 | ATRM_14-11A | 1.67 | 3/29/2020 | 6,000,000 | $ | 5,988,485 | |||||||||||
04964WAC9 | US04964WAC91 | ATRM_11A | 2.38 | 8/26/2021 | 1,000,000 | $ | 1,002,891 | |||||||||||
08180FAA9 | US08180FAA93 | BSP_14-IVA | 1.75 | 2/21/2020 | 14,100,000 | $ | 13,994,250 | |||||||||||
09202XAA2 | US09202XAA28 | BLACK DIAMOND CLO LTD BLACK_06 | 0.50 | 12/21/2016 | 3,616,507 | $ | 3,572,929 |
Page 52
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
107265AL4 | US107265AL40 | BRENTWOOD CLO LTD BRENT_06-1A | 0.52 | 5/12/2017 | 7,786,462 | $ | 7,696,840 | |||||||||||
17178TAA4 | US17178TAA43 | B9HJWN9 | CIFC_06-1BA | 4.26 | 7/9/2018 | 750,000 | $ | 743,980 | ||||||||||
22845TAL3 | US22845TAL35 | CRNPT_15-3A | 1.80 | 1/2/2022 | 19,600,000 | $ | 19,187,853 | |||||||||||
26250AAL3 | US26250AAL35 | DRSLF_11-22A | 1.42 | 3/7/2017 | 4,200,000 | $ | 4,192,296 | |||||||||||
26358BAA6 | US26358BAA61 | DUANE STREET CLO DUANE_06-3A | 0.50 | 11/27/2015 | 67,001 | $ | 66,615 | |||||||||||
352569AB3 | US352569AB39 | FCLO_5 | 0.53 | 1/30/2016 | 1,321,457 | $ | 1,313,035 | |||||||||||
355524AB5 | US355524AB51 | FRASR_06-1A | 0.53 | 6/15/2015 | 61,067 | $ | 60,975 | |||||||||||
36319QAA0 | US36319QAA04 | GALXY_15-19A | 1.81 | 5/26/2021 | 4,000,000 | $ | 4,005,894 | |||||||||||
363206AF0 | US363206AF07 | GALE | 0.50 | 1/19/2016 | 5,989,921 | $ | 5,899,218 | |||||||||||
36361RAB3 | US36361RAB33 | GALLATIN FUNDING LTD GALL_13-1 | 1.40 | 3/16/2019 | 12,000,000 | $ | 11,832,000 | |||||||||||
363639AE5 | US363639AE54 | GALL_14-1A | 0.00 | 9/2/2022 | 5,150,000 | $ | 4,465,050 | |||||||||||
378663AA6 | US378663AA63 | GLEAG_05-1A | 0.53 | 5/17/2015 | 550,212 | $ | 548,918 | |||||||||||
38136TAA1 | US38136TAA16 | GOLDS_07-5A | 0.95 | 4/26/2016 | 5,116,415 | $ | 5,098,595 | |||||||||||
40538BAE2 | US40538BAE20 | HLA_14-2A | 2.23 | 5/30/2021 | 4,500,000 | $ | 4,435,200 | |||||||||||
42822XAA3 | US42822XAA37 | HICDO_07-1RA | 0.66 | 7/5/2016 | 5,450,990 | $ | 5,418,142 | |||||||||||
44928XAA2 | US44928XAA28 | ICG_14-1A | 1.41 | 11/17/2020 | 9,900,000 | $ | 9,716,751 | |||||||||||
476759AA3 | US476759AA37 | B59SGM3 | JERSEY STREET CLO LTD JERSY_06 | 0.51 | 7/20/2015 | 309,976 | $ | 309,518 | ||||||||||
48248CAA2 | US48248CAA27 | KKR FINANCIAL CLO LTD KKR_07-1 | 0.61 | 4/14/2016 | 21,623,837 | $ | 21,529,124 | |||||||||||
50183UAF4 | US50183UAF49 | LCM_14-X | 1.51 | 3/7/2017 | 6,500,000 | $ | 6,492,945 | |||||||||||
55817LAA8 | US55817LAA89 | MDPK_07-6A | 5.51 | 4/3/2020 | 650,000 | $ | 652,434 | |||||||||||
55818NAA3 | US55818NAA37 | MDPK_14-13A | 5.26 | 5/26/2022 | 500,000 | $ | 457,723 | |||||||||||
64090AAA2 | US64090AAA25 | NEUB_14-16A | 4.45 | 8/23/2022 | 750,000 | $ | 633,750 | |||||||||||
67089NAE2 | US67089NAE22 | OCP_12-2A | 1.08 | 9/8/2017 | 10,171,481 | $ | 10,016,495 | |||||||||||
67102SAA2 | US67102SAA24 | OCP_14-5A | 1.26 | 2/7/2021 | 11,000,000 | $ | 10,740,574 | |||||||||||
67103QAA5 | US67103QAA58 | OFSBS_13-5A | 1.18 | 2/3/2019 | 9,500,000 | $ | 9,242,508 | |||||||||||
67106AAA7 | US67106AAA79 | OFSBS_14-6A | 1.28 | 5/12/2020 | 11,000,000 | $ | 10,730,372 | |||||||||||
67106MAB9 | US67106MAB90 | OFSBS_14-7A | 1.72 | 3/29/2020 | 1,200,000 | $ | 1,180,468 | |||||||||||
675150AA4 | US675150AA47 | OCTR_06-1A | 0.50 | 6/8/2017 | 1,115,662 | $ | 1,108,276 | |||||||||||
67572NAU0 | US67572NAU00 | OCT12_12-1AR | 1.53 | 2/12/2017 | 7,500,000 | $ | 7,495,886 | |||||||||||
67590KAA8 | US67590KAA88 | OCT18_13-1A | 5.51 | 3/18/2022 | 750,000 | $ | 687,445 | |||||||||||
67590MAA4 | US67590MAA45 | OCT19_14-1A | 5.10 | 10/30/2022 | 250,000 | $ | 221,627 | |||||||||||
67590QAA5 | US67590QAA58 | OCT21_14-1A | 1.70 | 4/27/2020 | 8,000,000 | $ | 7,967,965 | |||||||||||
67590QAE7 | US67590QAE70 | OCT21_14-1A | 2.63 | 8/15/2021 | 1,000,000 | $ | 1,002,899 | |||||||||||
74982NAA4 | US74982NAA46 | RACEP_11-5AR | 1.57 | 11/6/2016 | 5,555,064 | $ | 5,545,690 | |||||||||||
828428AA0 | US828428AA06 | SMORE 2014-1A | 1.71 | 1/24/2020 | 5,950,000 | $ | 5,897,462 | |||||||||||
828428AC6 | US828428AC61 | SMORE_14-1A | 2.31 | 6/19/2021 | 1,150,000 | $ | 1,133,179 | |||||||||||
86176YAA0 | US86176YAA01 | STCLO_07 6A | 0.49 | 10/23/2016 | 1,434,176 | $ | 1,406,783 | |||||||||||
87155MAA9 | US87155MAA99 | SYMPH_5 | 1.00 | 3/25/2018 | 10,000,000 | $ | 9,952,223 | |||||||||||
92327JAA9 | US92327JAA97 | VENT_8 | 0.54 | 8/4/2017 | 1,395,585 | $ | 1,375,497 | |||||||||||
92327JAC5 | US92327JAC53 | VENTURE CDO LTD VENTR_07-8A | 0.48 | 12/14/2016 | 1,620,147 | $ | 1,597,064 | |||||||||||
92912VAA3 | US92912VAA35 | VOYA_14-2A | 1.71 | 3/27/2020 | 8,000,000 | $ | 7,977,887 | |||||||||||
92914NAA9 | US92914NAA90 | VOYA CLO LTD VOYA_15-1A | 1.74 | 8/21/2021 | 1,670,000 | $ | 1,665,881 | |||||||||||
92914RAC6 | US92914RAC60 | VOYA_14-4A | 2.63 | 2/16/2022 | 2,000,000 | $ | 2,006,008 | |||||||||||
929260AA5 | US929260AA52 | WGH_06-1A | 0.52 | 4/19/2016 | 1,012,261 | $ | 1,003,319 | |||||||||||
93677PAB7 | US93677PAB76 | WASAT_06-1A | 0.50 | 7/10/2017 | 8,985,747 | $ | 8,654,858 | |||||||||||
98886MAA2 | US98886MAA27 | ZAIS_14-1A | 1.65 | 8/12/2020 | 8,000,000 | $ | 8,002,668 | |||||||||||
98886YAJ7 | US98886YAJ73 | ZAIS2_14-2A | 2.33 | 4/19/2021 | 4,020,000 | $ | 3,971,457 |
Page 53
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
G37130AC8 | USG37130AC86 | GALATTIN FUNDS LTD GALL_13-1X | 0.00 | 1/13/2024 | 7,350,000 | $ | 5,247,900 | |||||||||||
G37116AC7 | USG37116AC76 | GALLATIN FUNDING LTD GALL_12-1 | 0.00 | 11/30/2022 | 3,445,000 | $ | 2,173,795 | |||||||||||
387,767,499 | $ | 376,107,410 | ||||||||||||||||
ASSET BACKED SECURITIES - OTHER | ||||||||||||||||||
00104UAC2 | US00104UAC27 | AEPTC TEXAS CENTRAL TRANSITION | 2.84 | 12/9/2022 | 200,000 | $ | 203,884 | |||||||||||
02005AER5 | US02005AER59 | AMOT_14-5 | 1.60 | 7/25/2017 | 1,000,000 | $ | 1,005,370 | |||||||||||
03072SKH7 | US03072SKH75 | AMSI_03-10 | 0.93 | 3/9/2023 | 6,079,464 | $ | 5,911,981 | |||||||||||
037680AA3 | US037680AA31 | AEPWV_13-1 | 2.01 | 7/13/2019 | 4,183,506 | $ | 4,219,652 | |||||||||||
04542BDG4 | US04542BDG41 | ABFC_03-OPT1 | 0.85 | 9/3/2022 | 2,593,208 | $ | 2,449,988 | |||||||||||
15200NAB1 | US15200NAB10 | CNP | 3.46 | 2/28/2017 | 827,060 | $ | 859,464 | |||||||||||
29365KAB9 | US29365KAB98 | ETI | 3.65 | 2/1/2017 | 281,451 | $ | 292,385 | |||||||||||
34528QDF8 | US34528QDF81 | FORDF_14-1 | 0.57 | 2/21/2017 | 16,000,000 | $ | 16,006,080 | |||||||||||
477877AD6 | US477877AD62 | JDOT_14-B | 1.07 | 12/16/2016 | 3,460,000 | $ | 3,466,505 | |||||||||||
83611MAQ1 | US83611MAQ15 | SOUNDVIEW HOME EQUITY LOAN TRU | 1.47 | 10/29/2020 | 2,000,078 | $ | 1,980,582 | |||||||||||
86358EAJ5 | US86358EAJ55 | SAIL_03-B2 | 0.85 | 9/27/2017 | 8,077,324 | $ | 7,846,151 | |||||||||||
86358EJS6 | US86358EJS63 | STRUCTURED ASSET INVESTMENT LO | 0.97 | 7/10/2022 | 7,053,177 | $ | 6,674,577 | |||||||||||
86358EKH8 | US86358EKH89 | STRUCTURED ASSET INVESTMENT LO | 1.01 | 12/15/2017 | 7,839,106 | $ | 7,698,676 | |||||||||||
59,594,375 | $ | 58,615,295 | ||||||||||||||||
Total Fixed income Securities | 6,715,416,569 | $ | 6,288,896,936 | |||||||||||||||
Other Invested Assets - High Yield Fund | ||||||||||||||||||
CRESCENT CAPITAL HIGH YIELD FUND | $ | 30,354,917 | ||||||||||||||||
Equities | ||||||||||||||||||
375204 | US0003752047 | 2748472 | ABB TREASURY CENTER USA INC. | 103,000 | $ | 2,180,510 | ||||||||||||
2367963 | BMG9456A1009 | 2367963 | GOLAR LNG LTD | 44,400 | $ | 1,477,632 | ||||||||||||
2824100 | US0028241000 | 2002305 | ABBOTT LABORATORIES | 18,250 | $ | 845,523 | ||||||||||||
9158106 | US0091581068 | 2011602 | AIR PRODUCTS AND CHEMICALS INC | 7,150 | $ | 1,081,652 | ||||||||||||
23135106 | 2000019 | AMAZON.COM INC | 4,850 | $ | 1,804,685 | |||||||||||||
25537101 | US0255371017 | AMERICAN ELECTRIC POWER COMPAN | 22,500 | $ | 1,265,625 | |||||||||||||
25816109 | US0258161092 | AMERICAN EXPRESS COMPANY | 75,505 | $ | 5,898,451 | |||||||||||||
31162100 | US0311621009 | 2023607 | AMGEN INC | 16,634 | $ | 2,658,945 | ||||||||||||
37411105 | US0374111054 | APACHE CORP | 47,000 | $ | 2,835,510 | |||||||||||||
37833100 | US0378331005 | APPLE INC | 82,776 | $ | 10,299,818 | |||||||||||||
039483102 | ARCHER-DANIELS-MIDLAND COMPANY | 20,883 | $ | 989,854 | ||||||||||||||
53015103 | US0530151036 | 2065308 | AUTOMATIC DATA PROCESSING, INC | 11,146 | $ | 954,543 | ||||||||||||
53484101 | 2131179 | AVALONBAY COMMUNITIES INC | 7,800 | $ | 1,359,150 | |||||||||||||
54937107 | US0549371070 | 2830904 | BB&T CORP | 13,372 | $ | 521,374 | ||||||||||||
56752108 | US0567521085 | B0FXT17 | BAIDU INC | 3,477 | $ | 724,607 | ||||||||||||
57224107 | US0572241075 | BAKER HUGHES INC | 9,066 | $ | 576,416 |
Page 54
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
60505104 | US0605051046 | BANK OF AMERICA | 108,615 | $ | 1,671,585 | |||||||||||||
64058100 | US0640581007 | B1Z77F6 | BANK OF NEW YORK MELLON CORP/T | 9,329 | $ | 375,399 | ||||||||||||
67383109 | US0673831097 | 2077905 | CR BARD INC | 3,932 | $ | 658,020 | ||||||||||||
71813109 | US0718131099 | BAXTER INTERNATIONAL INC. | 4,458 | $ | 305,373 | |||||||||||||
75896100 | 2085878 | BED BATH & BEYOND INC. | 7,530 | $ | 578,116 | |||||||||||||
84670702 | US0846707026 | 2073390 | BERKSHIRE HATHAWAY INC | 60,082 | $ | 8,671,034 | ||||||||||||
97023105 | US0970231058 | BOEING CO | 42,601 | $ | 6,393,558 | |||||||||||||
110122108 | US1101221083 | 2126335 | BRISTOL-MYERS SQUIBB CO | 54,414 | $ | 3,509,703 | ||||||||||||
111320107 | US1113201073 | BROADCOM CORP | 22,580 | $ | 977,601 | |||||||||||||
115637209 | US1156372096 | BROWN-FORMAN CORPORATION | 8,594 | $ | 776,468 | |||||||||||||
125509109 | US1255091092 | CIGNA CORP | 8,221 | $ | 1,064,126 | |||||||||||||
126408103 | US1264081035 | CSX CORPORATION | 155,000 | $ | 5,133,600 | |||||||||||||
127097103 | US1270971039 | CABOT OIL & GAS CORP | 104,000 | $ | 3,071,120 | |||||||||||||
144285103 | US1442851036 | 2177504 | CARPENTER TECH CORP | 120,000 | $ | 4,665,600 | ||||||||||||
149123101 | US1491231015 | CATERPILLAR INC | 7,478 | $ | 598,464 | |||||||||||||
152006102 | CA1520061021 | B01NXQ4 | CENTERRA GOLD INC | 49,700 | $ | 242,516 | ||||||||||||
166764100 | US1667641005 | 2838555 | CHEVRON CORP | 33,852 | $ | 3,553,783 | ||||||||||||
169656105 | US1696561059 | B0X7DZ3 | CHIPOTLE MEXICAN GRILL INC | 1,339 | $ | 871,073 | ||||||||||||
172967424 | US1729674242 | 2297907 | CITIGROUP INC | 30,809 | $ | 1,587,280 | ||||||||||||
191216100 | US1912161007 | 2206657 | COCA-COLA COMPANY (THE) | 27,905 | $ | 1,131,548 | ||||||||||||
194162103 | US1941621039 | 2209106 | COLGATE-PALMOLIVE CO | 1,243 | $ | 86,190 | ||||||||||||
200340107 | US2003401070 | COMERICA INCORPORATED | 20,106 | $ | 907,384 | |||||||||||||
231021106 | US2310211063 | CUMMINS INC | 4,444 | $ | 616,116 | |||||||||||||
233331107 | DTE ENERGY COMPANY | 24,000 | $ | 1,936,560 | ||||||||||||||
235851102 | US2358511028 | DANAHER CORPORATION | 9,719 | $ | 825,143 | |||||||||||||
244199105 | US2441991054 | DEERE & CO | 901 | $ | 79,009 | |||||||||||||
254687106 | US2546871060 | WALT DISNEY COMPANY (THE) | 31,895 | $ | 3,345,467 | |||||||||||||
260003108 | US2600031080 | DOVER CORP | 7,980 | $ | 551,578 | |||||||||||||
263534109 | US2635341090 | EI DU PONT DE NEMOURS & CO | 41,661 | $ | 2,977,512 | |||||||||||||
268648102 | US2686481027 | EMC CORP/ MASSACHUSETTS | 35,361 | $ | 903,827 | |||||||||||||
278642103 | US2786421030 | 2293819 | EBAY INC. | 150,646 | $ | 8,689,261 | ||||||||||||
281020107 | US2810201077 | EDISON INTERNATIONAL INC | 19,800 | $ | 1,236,906 | |||||||||||||
284902103 | CA2849021035 | 2304625 | ELDORADO GOLD CORP | 58,165 | $ | 266,977 | ||||||||||||
291011104 | US2910111044 | EMERSON ELECTRIC CO | 5,772 | $ | 326,811 | |||||||||||||
302130109 | US3021301094 | EXPEDITORS INTL OF WASHINGTON, | 8,840 | $ | 425,911 | |||||||||||||
302635107 | US3026351078 | BLRVST7 | FS INVESTMENT CORP | 66,000 | $ | 669,240 | ||||||||||||
315616102 | US3156161024 | 2427599 | F5 NETWORKS INC | 4,175 | $ | 479,875 | ||||||||||||
316773100 | FIFTH THIRD BANK | 52,342 | $ | 986,647 | ||||||||||||||
354613101 | US3546131018 | FRANKLIN RESOURCES INC | 9,684 | $ | 496,983 | |||||||||||||
369550108 | US3695501086 | GENERAL DYNAMICS CORP | 10,293 | $ | 1,397,069 | |||||||||||||
369604103 | US3696041033 | GENERAL ELECTRIC CO | 163,987 | $ | 4,068,517 | |||||||||||||
384802104 | GRAINGER W.W. INC | 2,218 | $ | 523,027 | ||||||||||||||
406216101 | US4062161017 | HALLIBURTON COMPANY | 19,315 | $ | 847,542 | |||||||||||||
410345102 | US4103451021 | HANESBRANDS INC | 35,000 | $ | 1,172,850 | |||||||||||||
412822108 | HARLEY-DAVIDSON INC | 16,280 | $ | 988,847 |
Page 55
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
418056107 | US4180561072 | HASBRO INC | 49,000 | $ | 3,098,760 | |||||||||||||
427866108 | US4278661081 | 2422806 | HERSHEY COMPANY THE | 7,824 | $ | 789,520 | ||||||||||||
431475102 | US4314751029 | HILL-ROM HOLDINGS INC. | 70,000 | $ | 3,430,000 | |||||||||||||
437076102 | US4370761029 | HOME DEPOT INC | 26,726 | $ | 3,036,341 | |||||||||||||
438516106 | US4385161066 | HONEYWELL INTERNATIONAL INC | 21,623 | $ | 2,255,495 | |||||||||||||
440452100 | US4404521001 | 2437264 | HORMEL FOODS CORP | 12,745 | $ | 724,553 | ||||||||||||
448579102 | US4485791028 | B5B82X4 | HYATT HOTELS CORP | 69,000 | $ | 4,086,180 | ||||||||||||
452308109 | US4523081093 | ILLINOIS TOOL WORKS INC | 11,112 | $ | 1,079,420 | |||||||||||||
458140100 | US4581401001 | INTEL CORPORATION | 50,467 | $ | 1,578,103 | |||||||||||||
459200101 | US4592001014 | 2005973 | INTERNATIONAL BUSINESS MACHINE | 6,997 | $ | 1,123,019 | ||||||||||||
478160104 | US4781601046 | 2475833 | JOHNSON & JOHNSON | 47,663 | $ | 4,794,898 | ||||||||||||
494368103 | US4943681035 | 2491839 | KIMBERLY-CLARK CORPORATION | 23,694 | $ | 2,537,864 | ||||||||||||
496902404 | CA4969024047 | B04NVW3 | KINROSS GOLD CORP | 124,927 | $ | 279,836 | ||||||||||||
518439104 | US5184391044 | ESTEE LAUDER INC | 9,909 | $ | 824,032 | |||||||||||||
532457108 | US5324571083 | 2516152 | ELI LILLY AND COMPANY | 64,712 | $ | 4,701,327 | ||||||||||||
579780206 | US5797802064 | 2550161 | MCCORMICK & COMPANY INCORPORAT | 8,272 | $ | 637,854 | ||||||||||||
580135101 | US5801351017 | 2550707 | MCDONALDS CORP | 10,622 | $ | 1,035,008 | ||||||||||||
594918104 | US5949181045 | 2588173 | MICROSOFT CORP | 198,515 | $ | 8,070,627 | ||||||||||||
609207105 | US6092071058 | B8CKK03 | MONDELEZ INTERNATIONAL INC | 75,000 | $ | 2,706,750 | ||||||||||||
611740101 | B6X2H81 | HANSEN NATURAL CORP | 5,290 | $ | 732,110 | |||||||||||||
617446448 | US6174464486 | MORGAN STANLEY | 26,665 | $ | 951,674 | |||||||||||||
636180101 | NATIONAL FUEL GAS CO | 50,000 | $ | 3,016,500 | ||||||||||||||
637071101 | 2624486 | NATIONAL OILWELL VARCO INC | 6,551 | $ | 327,484 | |||||||||||||
654106103 | US6541061031 | NIKE INC | 11,377 | $ | 1,141,454 | |||||||||||||
654111103 | JP3657400002 | NIKON CORP. | 32,900 | $ | 441,684 | |||||||||||||
655844108 | US6558441084 | NORFOLK SOUTHERN CORPORATION | 12,800 | $ | 1,317,376 | |||||||||||||
665859104 | US6658591044 | NORTHERN TRUST COMPANY | 1,932 | $ | 134,564 | |||||||||||||
670346105 | US6703461052 | NUCOR CORP | 13,680 | $ | 650,210 | |||||||||||||
670837103 | OGE ENERGY CORPORATION | 33,000 | $ | 1,043,130 | ||||||||||||||
674599105 | US6745991058 | OCCIDENTAL PETROLEUM CORPORATI | 18,302 | $ | 1,336,046 | |||||||||||||
677862104 | US6778621044 | 2537432 | LUKOIL | 8,570 | $ | 396,962 | ||||||||||||
681919106 | US6819191064 | OMNICOM GROUP INC | 69,000 | $ | 5,380,620 | |||||||||||||
682680103 | ONEOK INC | 32,500 | $ | 1,567,800 | ||||||||||||||
693475105 | US6934751057 | PNC FINANCIAL SERVICES GROUP I | 33,070 | $ | 3,083,447 | |||||||||||||
693718108 | US6937181088 | PACCAR INC | 11,678 | $ | 737,349 | |||||||||||||
695781104 | CA6957811046 | B1XQQN6 | PAINTED PONY PETROLEUM LTD | 20,200 | $ | 94,421 | ||||||||||||
701094104 | US7010941042 | PARKER HANNIFIN CORP | 7,584 | $ | 900,828 | |||||||||||||
713448108 | US7134481081 | 2681511 | PEPSICO INC | 12,176 | $ | 1,164,269 | ||||||||||||
717081103 | US7170811035 | 2684703 | PFIZER INC | 274,287 | $ | 9,542,445 | ||||||||||||
718172109 | US7181721090 | B2PKRQ3 | PHILIP MORRIS INTERNATIONAL IN | 16,451 | $ | 1,239,254 | ||||||||||||
723787107 | PIONEER NAT RES CO | 18,500 | $ | 3,024,935 | ||||||||||||||
724479100 | PITNEY BOWES INC. | 166,000 | $ | 3,871,120 | ||||||||||||||
740189105 | PRECISION CASTPARTS CORP | 3,459 | $ | 726,390 |
Page 56
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
742718109 | US7427181091 | 2704407 | PROCTER & GAMBLE COMPANY | 63,371 | $ | 5,192,620 | ||||||||||||
747525103 | US7475251036 | 2714923 | QUALCOMM INCORPORATED | 13,140 | $ | 911,128 | ||||||||||||
751212101 | US7512121010 | B4V9661 | RALPH LAUREN CORP | 3,065 | $ | 403,048 | ||||||||||||
755111507 | US7551115071 | 2758051 | RAYTHEON COMPANY | 31,040 | $ | 3,391,120 | ||||||||||||
756109104 | US7561091049 | 2724193 | REALTY INCOME CORP | 20,000 | $ | 1,032,000 | ||||||||||||
756577102 | US7565771026 | 2447218 | RED HAT, INC. | 12,234 | $ | 926,726 | ||||||||||||
773903109 | ROCKWELL AUTOMATION INC | 22,289 | $ | 2,585,301 | ||||||||||||||
774341101 | 2767228 | ROCKWELL COLLINS INC. | 8,895 | $ | 858,812 | |||||||||||||
780259206 | US7802578044 | ROYAL DUTCH SHELL PLC | 21,000 | $ | 1,252,650 | |||||||||||||
790849103 | US7908491035 | ST JUDE MEDICAL INC | 15,911 | $ | 1,040,579 | |||||||||||||
806407102 | HENRY SCHEIN INC | 18,000 | $ | 2,513,160 | ||||||||||||||
806857108 | AN8068571086 | SCHLUMBERGER LTD | 81,090 | $ | 6,766,150 | |||||||||||||
808513105 | US8085131055 | CHARLES SCHWAB CORPORATIO | 24,577 | $ | 748,124 | |||||||||||||
810186106 | SCOTTS COMPANY | 49,000 | $ | 3,291,330 | ||||||||||||||
816851109 | SEMPRA ENERGY | 28,000 | $ | 3,052,560 | ||||||||||||||
824348106 | US8243481061 | 2804211 | SHERWIN-WILLIAMS COMPANY (THE) | 2,994 | $ | 851,793 | ||||||||||||
824596100 | US8245961003 | 2730800 | SHINHAN FINANC | 5,230 | $ | 195,079 | ||||||||||||
826552101 | SIGMA-ALDRICH CORPORATION | 2,998 | $ | 414,474 | ||||||||||||||
828806109 | US8288061091 | SIMON PROP GRP INC | 28,766 | $ | 5,627,780 | |||||||||||||
842587107 | US8425871071 | 2829601 | SOUTHERN COMPANY (THE) | 38,019 | $ | 1,683,481 | ||||||||||||
847560109 | US8475601097 | B1L60G9 | SPECTRA ENERGY CORP | 43,000 | $ | 1,555,310 | ||||||||||||
854502101 | US8545021011 | STANLEY BLACK & DECKER INC | 66,525 | $ | 6,343,824 | |||||||||||||
857477608 | US8574776089 | BK4Z903 | STATE STREET CORP | 138,500 | $ | 3,779,665 | ||||||||||||
858912108 | 2860826 | STERICYCLE, INC. | 2,110 | $ | 296,307 | |||||||||||||
863667101 | STRYKER CORP | 7,960 | $ | 734,310 | ||||||||||||||
871829107 | US8718291078 | SYSCO CORP | 26,415 | $ | 996,638 | |||||||||||||
872540109 | US8725401090 | 2989301 | TJX COS INC | 15,544 | $ | 1,088,857 | ||||||||||||
874039100 | US8740391003 | 2113382 | TAIWAN SEMICONDUCTOR MANUFACTU | 36,890 | $ | 866,177 | ||||||||||||
882508104 | US8825081040 | TEXAS INSTRUMENTS INCORPORATED | 29,752 | $ | 1,701,368 | |||||||||||||
902973304 | US9029733048 | US BANCORP | 4,028 | $ | 175,903 | |||||||||||||
907818108 | US9078181081 | UNION PACIFIC CORPORATION | 13,552 | $ | 1,467,817 | |||||||||||||
911312106 | US9113121068 | 2517382 | UNITED PARCEL SERVICE INC | 10,986 | $ | 1,064,983 | ||||||||||||
913017109 | US9130171096 | UNITED TECHNOLOGIES CORPORATN | 6,848 | $ | 802,586 | |||||||||||||
917017105 | CA9170171057 | B085ST1 | URANIUM PARTICIPATION CORP | 50,600 | $ | 224,933 | ||||||||||||
917047102 | URBAN OUTFITTERS, INC. | 8,220 | $ | 375,243 | ||||||||||||||
918204108 | VF CORPORATION | 5,660 | $ | 426,255 | ||||||||||||||
929352102 | US9293521020 | B23PW87 | WUXI PHARMATECH CAYMAN INC | 30,286 | $ | 1,174,491 | ||||||||||||
931142103 | US9311421039 | 2936921 | WAL-MART STORES INC | 9,561 | $ | 786,392 | ||||||||||||
949746101 | US9497461015 | WELLS FARGO & COMPANY | 171,533 | $ | 9,331,395 | |||||||||||||
962166104 | US9621661043 | WEYERHAEUSER COMPANY | 66,900 | $ | 2,217,735 | |||||||||||||
976657106 | 2973995 | WISCONSIN ENERGY CORPORATION | 50,640 | $ | 2,506,680 |
Page 57
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
00287Y109 | US00287Y1091 | B92SR70 | ABBVIE INC | 23,528 | $ | 1,377,329 | ||||||||||||
00507V109 | US00507V1098 | 2575818 | ACTIVISION BLIZZARD INC | 169,000 | $ | 3,840,525 | ||||||||||||
00817Y108 | 2695921 | AETNA INC | 59,675 | $ | 6,357,178 | |||||||||||||
01609W102 | US01609W1027 | BP41ZD1 | ALIBABA GROUP HOLDING LTD | 7,170 | $ | 596,831 | ||||||||||||
01626P403 | CA01626P4033 | 2011646 | COUCHE-TARD U.S. L.P. | 22,040 | $ | 878,294 | ||||||||||||
03076C106 | US03076C1062 | AMERIPRISE FINANCIAL INC | 9,465 | $ | 1,238,401 | |||||||||||||
03761U106 | US03761U1060 | APOLLO INVSTMNT | 80,000 | $ | 614,000 | |||||||||||||
09247X101 | US09247X1019 | 2494504 | BLACKROCK INC. | 6,263 | $ | 2,291,256 | ||||||||||||
09253U108 | US09253U1088 | BLACKSTONE GROUP L.P. | 58,700 | $ | 2,282,843 | |||||||||||||
09257W100 | US09257W1009 | B94QHZ0 | BLACKSTONE MORTGAGE TRUST INC | 59,000 | $ | 1,673,830 | ||||||||||||
12572Q105 | US12572Q1058 | 2965839 | CME GROUP INC | 38,018 | $ | 3,600,685 | ||||||||||||
14149Y108 | US14149Y1082 | CARDINAL HEALTH INC | 79,500 | $ | 7,176,465 | |||||||||||||
14309L102 | US14309L1026 | B7NGS09 | CARLYLE GROUP/THE | 24,000 | $ | 650,400 | ||||||||||||
15189T107 | US15189T1079 | CENTERPOINT ENERGY INC. | 69,200 | $ | 1,412,372 | |||||||||||||
17275R102 | US17275R1023 | CISCO SYSTEMS INC | 139,516 | $ | 3,840,178 | |||||||||||||
20825C104 | US20825C1045 | CONOCOPHILLIPS | 59,912 | $ | 3,730,121 | |||||||||||||
22160K105 | US22160K1051 | 2701271 | COSTCO WHOLESALE CORPORATION | 8,966 | $ | 1,358,304 | ||||||||||||
22282E102 | US22282E1029 | 2255778 | COVANTA HOLDING CORP | 87,000 | $ | 1,951,410 | ||||||||||||
25746U109 | US25746U1097 | 2542049 | DOMINION RESOURCES INC | 36,900 | $ | 2,615,103 | ||||||||||||
29250N105 | CA29250N1050 | 2478906 | ENBRIDGE INC | 26,000 | $ | 1,261,000 | ||||||||||||
29476L107 | EQUITY RESIDENTIAL | 35,300 | $ | 2,748,458 | ||||||||||||||
30161N101 | US30161N1019 | 2670519 | EXELON CORPORATION | 38,000 | $ | 1,277,180 | ||||||||||||
30225T102 | US30225T1025 | B02HWR9 | EXTRA SPACE STORAGE INC | 40,700 | $ | 2,750,099 | ||||||||||||
30231G102 | US30231G1022 | 2326618 | EXXON MOBIL CORP | 41,286 | $ | 3,509,310 | ||||||||||||
37733W105 | US37733W1053 | 2374112 | GLAXOSMITHKLINE PLC | 28,500 | $ | 1,315,275 | ||||||||||||
38141G104 | US38141G1040 | GOLDMAN SACHS GROUP INC/THE | 43,147 | $ | 8,110,342 | |||||||||||||
38259P508 | US38259P5089 | B020QX2 | 3,446 | $ | 1,911,496 | |||||||||||||
38259P706 | US38259P7069 | BKM4JZ7 | 12,646 | $ | 6,930,008 | |||||||||||||
40412C101 | US40412C1018 | B4MGBG6 | HCA HOLDINGS INC | 54,500 | $ | 4,100,035 | ||||||||||||
42805T105 | US42805T1051 | B1HHJP8 | HERTZ GLOBAL | 158,000 | $ | 3,425,440 | ||||||||||||
45104G104 | US45104G1040 | 2569286 | ICICI BANK LTD | 78,060 | $ | 808,702 | ||||||||||||
45866F104 | US45866F1049 | BFSSDS9 | INTERCONTINENTALEXCHANGE GROUP | 36,073 | $ | 8,414,749 | ||||||||||||
46120E602 | US46120E6023 | 2871301 | INTUITIVE SRGCAL | 550 | $ | 277,767 | ||||||||||||
46625H100 | US46625H1005 | JPMORGAN CHASE & CO | 188,254 | $ | 11,404,427 | |||||||||||||
48241A105 | US48241A1051 | B3DG2Y3 | KB FINANCIAL GROUP INC | 9,327 | $ | 327,751 | ||||||||||||
48248M102 | US48248M1027 | B432K33 | KKR & CO LP | 93,000 | $ | 2,121,330 | ||||||||||||
48268K101 | US48268K1016 | 2419875 | KT CORPORATION | 37,445 | $ | 489,781 | ||||||||||||
57636Q104 | US57636Q1040 | MASTERCARD INC | 17,530 | $ | 1,514,417 | |||||||||||||
58933Y105 | US58933Y1055 | 2778844 | MERCK & CO INC | 31,254 | $ | 1,796,480 | ||||||||||||
59156R108 | 2573209 | METLIFE INC | 52,000 | $ | 2,628,600 | |||||||||||||
62942X108 | US62942X1081 | BC9S161 | NRG YIELD INC | 13,000 | $ | 659,490 | ||||||||||||
65249B109 | US65249B1098 | BBGVT40 | NEWS CORP | 47,350 | $ | 758,074 | ||||||||||||
65339F101 | US65339F1012 | 2328915 | NEXTERA ENERGY INC | 24,000 | $ | 2,497,200 | ||||||||||||
65473P105 | US65473P1057 | 2645409 | NISOURCE INC | 45,900 | $ | 2,026,944 | ||||||||||||
68389X105 | US68389X1054 | ORACLE CORPORATION | 46,115 | $ | 1,989,862 | |||||||||||||
69007J106 | US69007J1060 | BSP6611 | CBS OUTDOOR AMERICAS INC | 45,425 | $ | 1,359,116 |
Page 58
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
71654V408 | US71654V4086 | 2616580 | PETROLEO BRASILEIRO SA | 40,913 | $ | 245,887 | ||||||||||||
72651A108 | US72651A1088 | BFMXX57 | PLAINS GP | 48,500 | $ | 1,375,945 | ||||||||||||
74005P104 | US74005P1049 | PRAXAIR INC | 10,498 | $ | 1,267,529 | |||||||||||||
74340W103 | US74340W1036 | PROLOGIS INC | 72,900 | $ | 3,175,524 | |||||||||||||
74460D109 | 2852533 | PUBLIC STORAGE, INC. | 7,268 | $ | 1,432,814 | |||||||||||||
75281A109 | US75281A1097 | 2523334 | RANGE RESOURCES CORP | 76,000 | $ | 3,955,040 | ||||||||||||
80105N105 | US80105N1054 | 2964557 | SANOFI | 16,000 | $ | 791,040 | ||||||||||||
81211K100 | SEALED AIR CORP | 126,000 | $ | 5,740,560 | ||||||||||||||
83088M102 | US83088M1027 | SKYWORKS SOLUTIONS INC | 7,920 | $ | 778,457 | |||||||||||||
85571B105 | US85571B1052 | B3PQ520 | STARWOOD PROPERTY TRUST INC | 110,000 | $ | 2,673,000 | ||||||||||||
87612E106 | US87612E1064 | 2259101 | TARGET CORPORATION | 14,470 | $ | 1,187,553 | ||||||||||||
88104R100 | US88104R1005 | BP46HS5 | TERRAFORM POWER INC | 36,600 | $ | 1,336,266 | ||||||||||||
88579Y101 | US88579Y1010 | 2595708 | 3M CO | 38,764 | $ | 6,394,122 | ||||||||||||
90130A101 | US90130A1016 | BBM4S68 | NEWS CORP-CL A | 154,000 | $ | 5,211,360 | ||||||||||||
91324P102 | UNITEDHEALTH GROUP INCORPORATE | 13,154 | $ | 1,555,987 | ||||||||||||||
92276F100 | US92276F1003 | 2927925 | VENTAS, INC. | 20,001 | $ | 1,460,437 | ||||||||||||
92343V104 | US92343V1044 | 2090571 | VERIZON COMMUNICATIONS INC | 25,500 | $ | 1,240,065 | ||||||||||||
92826C839 | US92826C8394 | B2PZN04 | VISA INC | 28,160 | $ | 1,841,946 | ||||||||||||
97717W851 | US97717W8516 | B17FKC6 | WISDOMTREE JAPAN DIVIDEND FUND | 1,010,031 | $ | 55,672,909 | ||||||||||||
97717X701 | US97717X7012 | B5M0VP4 | WISDOMTREE INTERNATIONAL HEDGE | 623,800 | $ | 41,258,132 | ||||||||||||
B4BNMY3 | IE00B4BNMY34 | B4BNMY3 | ACCENTURE LTD | 5,202 | $ | 487,375 | ||||||||||||
067629094 | JP3781620004 | B5W8JJ8 | PARAMOUNT BED HOLDINGS CO LTD | 9,100 | $ | 240,921 | ||||||||||||
010299942 | IE0001827041 | 182704 | CRH PLC | 43,435 | $ | 1,128,387 | ||||||||||||
072678621 | IT0004781412 | B5M1SM3 | UNICREDITO ITALIANO S.P.A. | 62,407 | $ | 424,269 | ||||||||||||
032375936 | NL0010273215 | B929F46 | ASML HOLDING NV | 8,720 | $ | 887,735 | ||||||||||||
085335979 | JP3047510007 | B8RBZV7 | GLP J-REIT | 441 | $ | 457,088 | ||||||||||||
087625001 | DE000LEG1110 | B9G6L89 | LEG IMMOBILIEN AG | 6,437 | $ | 510,688 | ||||||||||||
AU000000SP04 | BMJJMM7 | SPOTLESS GROUP HOLDINGS LIMITE | 544,958 | $ | 945,048 | |||||||||||||
IE00BVYJ1Y03 | BVYJ1Y0 | ACTAVIS PLC | 2,015 | $ | 2,092,436 | |||||||||||||
ES0678430994 | BWNGSN7 | TELEFONICA SA | 80,462 | $ | 12,962 | |||||||||||||
D35415104 | DE0006231004 | 5889505 | INFINEON TECHNOLOGIES AG | 78,244 | $ | 935,299 | ||||||||||||
E90183182 | ES0178430E18 | 5732524 | TELEFONICA | 80,462 | $ | 1,145,879 | ||||||||||||
F54432111 | FR0000120537 | 4502706 | LAFARGE S.A. | 4,783 | $ | 310,014 | ||||||||||||
F5485U100 | FR0000130213 | 4547213 | LAGARDERE S.C.A. | 47,000 | $ | 1,410,355 | ||||||||||||
F9156M108 | FR0000121329 | 4162791 | THALES S. A. | 8,337 | $ | 462,919 | ||||||||||||
F95922104 | FR0000120354 | B030R61 | VALLOUREC | 36,204 | $ | 883,618 | ||||||||||||
G03764134 | GB00B1XZS820 | B1XZS82 | ANGLO AMERICAN PLC | 31,172 | $ | 468,301 | ||||||||||||
G0440M128 | BMG0440M1284 | 845580 | AQUARIUS PLATINUM LTD | 385,342 | $ | 50,969 | ||||||||||||
G0537K100 | GB00B19NKB76 | B19NKB7 | HOME RETAIL GROUP | 79,652 | $ | 195,102 | ||||||||||||
G26796147 | GB00B0F99717 | B0F9971 | BERENDSEN PLC | 20,289 | $ | 336,429 | ||||||||||||
G2830J103 | KYG2830J1031 | 6704351 | DAPHINE INTERNATIONAL HOLDINGS | 632,000 | $ | 211,942 | ||||||||||||
G32655105 | GB00B19NLV48 | B19NLV4 | EXPERIAN PLC | 37,657 | $ | 624,423 | ||||||||||||
G5257K107 | KYG5257K1076 | B1HHFV6 | KINGBOARD LAMINATES HOLDINGS L | 530,000 | $ | 215,335 | ||||||||||||
G56350112 | GB0031192486 | 3119248 | LONMIN PLC | 99,281 | $ | 173,175 |
Page 59
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
G58249106 | BMG582491061 | BN7PJF6 | MARKIT LTD | 23,230 | $ | 624,887 | ||||||||||||
G5960L103 | IE00BTN1Y115 | BTN1Y11 | MEDTRONIC INC | 21,160 | $ | 1,650,268 | ||||||||||||
G60754101 | VGG607541015 | B7341C6 | MICHAEL KORS HOLDINGS LTD | 5,685 | $ | 373,789 | ||||||||||||
G65007109 | KYG650071098 | B1Z69H9 | NEW WORLD DEPARTMENT STORE CHI | 303,000 | $ | 75,427 | ||||||||||||
G8248F104 | IE00B1RR8406 | B1RR828 | SMURFIT KAPPA PLC | 25,174 | $ | 706,744 | ||||||||||||
H2906T109 | GARMIN LTD. | 8,948 | $ | 425,209 | ||||||||||||||
H36940130 | 7110753 | HOLCIM LTD | 4,802 | $ | 359,174 | |||||||||||||
J18807107 | JP3274070006 | B3FJNX6 | GREE INC | 39,100 | $ | 272,241 | ||||||||||||
J24994105 | JP3137200006 | 6467104 | ISUZU MOTORS LTD | 79,800 | $ | 1,063,002 | ||||||||||||
J2501P104 | JP3143600009 | 6467803 | ITOCHU CORP | 26,200 | $ | 284,339 | ||||||||||||
J26945105 | JP3667600005 | 6473468 | JGC CORP | 11,250 | $ | 224,062 | ||||||||||||
J33093105 | JP3263000006 | 6492924 | KINDEN CORP | 24,520 | $ | 307,101 | ||||||||||||
J37039120 | JP3268950007 | 6782090 | MEDICEO PALTAC HOLDING CO | 18,700 | $ | 244,032 | ||||||||||||
J38468104 | JP3246400000 | 6499806 JP | KYUSHU ELECTRIC POWER CO .INC | 64,500 | $ | 626,579 | ||||||||||||
J48818124 | JP3733000008 | 6640400 | NEC CORP | 213,000 | $ | 626,967 | ||||||||||||
J56741101 | JP3659300002 | 6016926 JP | NISHIMATSUYA CHAIN CO., LTD. | 29,200 | $ | 257,851 | ||||||||||||
J58472119 | JP3684000007 | 6641801 | NITTO DENKO CORP | 4,900 | $ | 328,097 | ||||||||||||
J77024115 | JP3409400003 | 6858504 | SUMITOMO BAKELITE CO., LTD. | 75,000 | $ | 334,584 | ||||||||||||
L80308106 | LU0633102719 | B4Q1532 | SAMSONITE INTERNATIONAL SA | 224,770 | $ | 781,312 | ||||||||||||
N63218106 | NL0009538479 | B4NTRF5 | NIELSEN HOLDINGS NV | 91,000 | $ | 4,055,870 | ||||||||||||
N6983Q147 | NL0000009538 | ROYAL PHILIPS ELECTRONICS N.V. | 98,610 | $ | 2,798,596 | |||||||||||||
N9643A114 | NL0000395887 | 5671519 | WOLTERS KLUWER NV | 18,527 | $ | 604,899 | ||||||||||||
P31076105 | PAP310761054 | B0TNJH9 | COPA HOLDINGS | 9,388 | $ | 947,906 | ||||||||||||
P8696W104 | AGP8696W1045 | 2384520 | SINOVAC BIOTECH LTD | 36,358 | $ | 180,336 | ||||||||||||
S00595850 | GB0000595859 | 59585 | ARM HOLDINGS PLC | 72,235 | $ | 1,184,923 | ||||||||||||
S00961623 | GB0000961622 | 96162 | BALFOUR BEATTY PLC | 203,137 | $ | 724,038 | ||||||||||||
S01411925 | GB0001411924 | 141192 | BRITISH SKY BROADCASTING GRP P | 58,703 | $ | 865,346 | ||||||||||||
S02374007 | GB0002374006 | 237400 | DIAGEO PLC | 46,458 | $ | 1,282,440 | ||||||||||||
S02875805 | GB0002875804 | 287580 | BRITISH AMER TOBACCO PLC | 35,398 | $ | 1,833,149 | ||||||||||||
S03308608 | GB0003308607 | 330860 | SPECTRIS PLC | 23,334 | $ | 748,209 | ||||||||||||
S04052072 | GB0004052071 | 405207 | HALMA PLC | 34,677 | $ | 359,574 | ||||||||||||
S04082848 | GB0004082847 | 408284 | STANDARD CHARTERED PLC | 44,193 | $ | 717,385 | ||||||||||||
S04161022 | GB0004161021 | 416102 | HAYS PLC | 139,792 | $ | 316,677 | ||||||||||||
S04544920 | GB0004544929 | 454492 | IMPERIAL TOBACCO GRP PLC | 13,000 | $ | 572,918 | ||||||||||||
S05203377 | GB0005203376 | 0520337 | JARDINE LLOYD THOMPSON GROUP P | 21,278 | $ | 330,718 | ||||||||||||
S05405287 | GB0005405286 | 540528 | HSBC HOLDINGS PLC | 152,462 | $ | 1,299,133 | ||||||||||||
S06834345 | GB0006834344 | 683434 | INTU PROPERTIES PLC | 137,271 | $ | 709,150 | ||||||||||||
S07099542 | GB0007099541 | 709954 | PRUDENTIAL PLC | 54,282 | $ | 1,347,325 | ||||||||||||
S07980592 | GB0007980591 | 798059 | BP PLC | 185,147 | $ | 1,200,273 | ||||||||||||
S08025413 | GB0008025412 | 802541 | SIG PLC | 79,179 | $ | 238,609 | ||||||||||||
S08762890 | GB0008762899 | 876289 | BG GROUP | 78,050 | $ | 960,523 | ||||||||||||
S09223207 | GB0009223206 | 922320 | SMITH & NEPHEW PLC | 55,746 | $ | 946,716 | ||||||||||||
S09292244 | GB0009292243 | 0929224 | VICTREX PLC | 7,586 | $ | 211,152 | ||||||||||||
S09895293 | GB0009895292 | 989529 | ASTRAZENECA PLC | 52,937 | $ | 3,635,734 |
Page 60
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
S20246443 | CA0679011084 | 2024644 | BARRICK GOLD CORPORATION | 23,100 | $ | 252,613 | ||||||||||||
S21627609 | CA1247651088 | 2162760 | CAE INC | 51,590 | $ | 602,053 | ||||||||||||
S22546451 | CA3759161035 | 2254645 | GILDAN ACTIVEWEAR INC. | 22,880 | $ | 674,567 | ||||||||||||
S24542417 | CA4530384086 | 2454241 | IMPERIAL OIL LTD | 7,940 | $ | 316,910 | ||||||||||||
S26378489 | CA66510M2040 | 2637848 | NORTHERN DYNASTY MINERALS | 16,100 | $ | 6,293 | ||||||||||||
S26544163 | CA59151K1084 | 2654416 | METHANEX CORPORATION | 15,800 | $ | 845,952 | ||||||||||||
S27931930 | CA2925051047 | 2793193 | ENCANA CORP | 16,400 | $ | 183,100 | ||||||||||||
S30707327 | IE0030606259 | 3070732 | BANK OF IRELAND | 1,393,294 | $ | 529,725 | ||||||||||||
S31743008 | GB0031743007 | 3174300 | BURBERRY GROUP PLC | 25,493 | $ | 655,843 | ||||||||||||
S37840113 | ZAE000083648 | B1FFT76 | IMPALA PLATINUM HOLDINGS LTD | 50,259 | $ | 244,031 | ||||||||||||
S40578080 | FR0000120321 | 4057808 | LOREAL SA | 6,628 | $ | 1,219,750 | ||||||||||||
S40743916 | FR0004038099 | 4074391 | GFI INFORMATIQUE | 6,940 | $ | 44,200 | ||||||||||||
S40768368 | IT0000072618 | 4076836 | INTESA SANPAOLO SPA | 252,658 | $ | 859,109 | ||||||||||||
S41082785 | GRS395363005 | 4108278 | HELLENIC EXCHANGES SA | 33,316 | $ | 167,099 | ||||||||||||
S41160995 | IT0000066123 | 4116099 | BANCA EMILIA | 92,012 | $ | 803,908 | ||||||||||||
S41529520 | CH0001503199 | 4152952 | BELIMO HOLDING AG | 91 | $ | 197,684 | ||||||||||||
S41634379 | FR0000125338 | 4163437 | CAP GEMINI SA | 6,477 | $ | 531,252 | ||||||||||||
S41822495 | IE0001827041 | 4182249 | CRH PLC | 33,932 | $ | 883,013 | ||||||||||||
S42053512 | GRS191213008 | 4205351 | ELLAKTOR SA | 52,734 | $ | 100,813 | ||||||||||||
S43541341 | DE0005089031 | 4354134 | UNITED INTERNET | 9,384 | $ | 427,375 | ||||||||||||
S45774692 | HU0000073507 | 4577469 | MAGYAR TELEKOM TELECOMMUNICATI | 192,695 | $ | 284,360 | ||||||||||||
S46817243 | CH0011029946 | 4681724 | INFICON HLDG AG | 452 | $ | 161,595 | ||||||||||||
S46823290 | FR0000120693 | 4682329 | PERNOD-RICARD SA | 9,027 | $ | 1,067,904 | ||||||||||||
S46898037 | IT0004623051 | 4689803 | PIRELLI & C SPA | 24,911 | $ | 413,623 | ||||||||||||
S46938155 | DE0006083439 | 4693815 | HORNBACH HOLDING | 5,686 | $ | 447,504 | ||||||||||||
S47127980 | FR0000131906 | 4712798 | RENAULT S.A. | 18,413 | $ | 1,676,374 | ||||||||||||
S47553177 | BE0003793107 | 4755317 | ANHEUSER-BUSCH INBEV NV | 23,041 | $ | 2,816,099 | ||||||||||||
S47689625 | DE0007037129 | 4768962 | RWE AG | 12,886 | $ | 329,105 | ||||||||||||
S48006597 | IT0001479374 | 4800659 | LUXOTTICA GRP SPA | 14,734 | $ | 935,217 | ||||||||||||
S48341085 | FR0000121972 | 4834108 | SCHNEIDER ELECTRIC SE | 11,300 | $ | 878,054 | ||||||||||||
S48528327 | NO0003053605 | 4852832 | STOREBRAND ASA | 83,962 | $ | 305,672 | ||||||||||||
S49023849 | SE0000114837 | 4902384 | TRELLEBORG AB | 43,706 | $ | 864,587 | ||||||||||||
S49375793 | FR0000130338 | 4937579 | VALEO SA | 7,687 | $ | 1,147,974 | ||||||||||||
S49429046 | DE000ENAG999 | 4942904 | E.ON SE | 25,533 | $ | 380,761 | ||||||||||||
S50516053 | GRS260333000 | 5051605 | HELLENIC TELECOM ORG S.A. | 107,655 | $ | 953,877 | ||||||||||||
S50692110 | DE000BAY0017 | 5069211 | BAYER AG | 8,202 | $ | 1,232,812 | ||||||||||||
S51074011 | DE0005200000 | 5107401 | BEIERSDORF AG | 10,604 | $ | 921,346 | ||||||||||||
S51761773 | FR0000133308 | ORANGE SA | 80,759 | $ | 1,297,992 | |||||||||||||
S52260387 | FI0009003305 | 5226038 | SAMPO OYJ | 13,338 | $ | 673,562 | ||||||||||||
S52874880 | DE0008232125 | 5287488 | DEUTSCHE LUFTHANSA AG | 34,382 | $ | 482,996 | ||||||||||||
S53345880 | DE0007030009 | 5334588 | RHEINMETALL AG | 21,895 | $ | 1,058,303 | ||||||||||||
S53800314 | SE0000427361 | 5380031 | NORDEA BANK AB | 50,053 | $ | 611,149 | ||||||||||||
S54495676 | DK0010242999 | 5449567 | ROYAL UNIBREW | 767 | $ | 128,568 | ||||||||||||
S54583141 | NL0000009132 | 5458314 | AKZO NOBEL NV | 6,338 | $ | 479,350 | ||||||||||||
S54653589 | DE0006202005 | 5465358 | SALZGITTER AG | 9,818 | $ | 285,599 | ||||||||||||
S54815584 | NL0009739416 | 5481558 | POSTNL NV | 135,713 | $ | 577,484 | ||||||||||||
S54971684 | DE0007664039 | 5497168 | VOLKSWAGEN AG | 5,959 | $ | 1,586,232 | ||||||||||||
S55969919 | BE0003739530 | 5596991 | UCB SA | 9,127 | $ | 660,192 |
Page 61
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
S56089154 | FR0000071946 | 5608915 | ALTEN SA | 5,813 | $ | 266,677 | ||||||||||||
S56336167 | FR0000050809 | 5633616 | SOPRA GROUP SA | 5,684 | $ | 422,623 | ||||||||||||
S56369275 | DE0007500001 | 5636927 | THYSSENKRUPP AG | 10,792 | $ | 283,217 | ||||||||||||
S56382807 | ES0184262212 | 5638280 | VISCOFAN SA | 3,575 | $ | 218,470 | ||||||||||||
S56662927 | DE000TUAG000 | 5666292 | TUI AG | 27,357 | $ | 480,680 | ||||||||||||
S56717358 | FR0000120578 | 5671735 | SANOFI | 11,474 | $ | 1,132,860 | ||||||||||||
S56874316 | SE0000106270 | 5687431 | H & M HENNES & MAURITZ AB | 9,554 | $ | 387,187 | ||||||||||||
S56890510 | BE0003755692 | 5689051 | AGFA-GEVAERT NV | 57,262 | $ | 131,916 | ||||||||||||
S56987894 | SE0000255648 | 5698789 | ASSA ABLOY AB | 29,157 | $ | 1,737,780 | ||||||||||||
S56993736 | AT0000831706 | 5699373 | WIENERBERGER AG | 48,419 | $ | 773,270 | ||||||||||||
S57822066 | IT0001347308 | 5782206 | BUZZI UNICEM SPA | 30,656 | $ | 459,297 | ||||||||||||
S57844623 | DE0007297004 | 5784462 | SUEDZUCKER AG | 21,574 | $ | 264,143 | ||||||||||||
S58051038 | FR0000073793 | 5805103 | DEVOTEAM SA | 3,351 | $ | 77,918 | ||||||||||||
S59560789 | NL0000009082 | 5956078 | KONINKLIJKE KPN NV | 231,185 | $ | 784,357 | ||||||||||||
S59622803 | CH0010570767 | 5962280 | LINDT & SPRUENGLI AG | 38 | $ | 204,026 | ||||||||||||
S59665166 | FR0000130809 | 5966516 | SOCIETE GENERALE-A | 12,671 | $ | 611,981 | ||||||||||||
S59726430 | FR0000038259 | 5972643 | EUROFINS SCIENTIFIC SE | 1,761 | $ | 474,247 | ||||||||||||
S59806133 | CH0010645932 | 5980613 | GIVAUDAN S.A. | 141 | $ | 255,783 | ||||||||||||
S59939017 | FR0000053225 | 5993901 | METROPOLE TELEVISION SA | 15,882 | $ | 318,118 | ||||||||||||
S60102076 | JP3103600007 | 6010207 | AICHI STEEL CORP | 33,000 | $ | 157,123 | ||||||||||||
S60106499 | JP3101600009 | 6010649 | AISAN INDUSTRY CO LTD | 22,700 | $ | 195,910 | ||||||||||||
S60273042 | JP3124400007 | 6027304 | AMANO CORP | 18,400 | $ | 220,478 | ||||||||||||
S60365483 | JP3758200004 | 6036548 | NET ONE SYSTEMS | 33,600 | $ | 229,744 | ||||||||||||
S60544095 | JP3116000005 | 6054409 | ASAHI BREWERIES, LTD. | 9,300 | $ | 295,731 | ||||||||||||
S60714755 | JP3675300002 | 6071475 | NISSIN KOGYO | 25,400 | $ | 404,113 | ||||||||||||
S61290730 | JP3160950006 | 6129073 | AVEX GROUP HOLDINGS INC | 12,300 | $ | 196,615 | ||||||||||||
S61291589 | JP3922200005 | 6129158 | MOSHI MOSHI HOTLINE INC | 15,900 | $ | 173,816 | ||||||||||||
S61321014 | JP3830800003 | 6132101 | BRIDGESTONE CORP | 27,520 | $ | 1,105,160 | ||||||||||||
S61415501 | JP3825850005 | 6141550 | FUNAI ELE CO., LTD. | 39,000 | $ | 450,081 | ||||||||||||
S61499851 | JP3126330004 | 6149985 | ALPHA SYSTEMS INC | 2,800 | $ | 39,808 | ||||||||||||
S61723235 | JP3242800005 | 6172323 | CANON INC | 26,600 | $ | 942,229 | ||||||||||||
S61957395 | JP3524600008 | 6195739 | CHUBU STEEL PLATE CO. LTD. | 16,000 | $ | 67,776 | ||||||||||||
S62001946 | JP3143900003 | 6200194 | ITOCHU TECHNO-SOLUTIONS CORP | 17,000 | $ | 353,679 | ||||||||||||
S62008826 | AU000000TCL6 | 6200882 | TRANSURBAN GROUP | 130,674 | $ | 951,365 | ||||||||||||
S62489901 | JP3496400007 | 6248990 | KDDI CORP | 49,200 | $ | 1,116,103 | ||||||||||||
S62497995 | HK0440001847 | 6249799 | DAH SING FINANCIAL | 25,200 | $ | 149,190 | ||||||||||||
S62504121 | JP3161160001 | 6250412 | EXEDY CORP | 12,000 | $ | 286,479 | ||||||||||||
S62505086 | JP3486800000 | 6250508 | DAITO TR CONSTR CO., LTD. | 3,100 | $ | 347,029 | ||||||||||||
S62510284 | JP3494600004 | 6251028 | DAINIPPON SCREEN MANUFACTURING | 60,000 | $ | 455,285 | ||||||||||||
S62531322 | JP3475200006 | 6253132 | DAIICHIKOSHO CO LTD | 9,000 | $ | 279,925 | ||||||||||||
S62689765 | JP3499800005 | 6268976 | MITSUBISHI UFJ LEASE & FINANCE | 132,200 | $ | 655,902 | ||||||||||||
S62874102 | JP3429000007 | 6287410 | TV ASAHI CORP | 27,840 | $ | 465,451 | ||||||||||||
S62897848 | JP3226450009 | 6289784 | CAWACHI LTD. | 11,800 | $ | 205,842 | ||||||||||||
S63000160 | JP3856000009 | 6300016 | ADASTRIA HOLDINGS CO LTD | 14,400 | $ | 398,649 | ||||||||||||
S63038665 | SG1J26887955 | 6303866 | SINGAPORE EXCHANGE LIMITED | 166,600 | $ | 988,645 |
Page 62
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
S63071690 | JP3392200006 | 6307169 | EIGHTEENTH BANK LIMITED | 30,000 | $ | 91,307 | ||||||||||||
S63072003 | 6307200 | EISAI CO LTD | 18,900 | $ | 1,345,103 | |||||||||||||
S63177158 | AU000000ERA9 | 6317715 | ENERGY RSC AUST | 79,948 | $ | 76,345 | ||||||||||||
S63339378 | KYG3066L1014 | 6333937 | ENN ENERGY HOLDINGS LTD | 106,000 | $ | 650,105 | ||||||||||||
S63351712 | JP3902900004 | 6335171 | MITSUBISHI TOKYO FINANCIAL GRP | 404,400 | $ | 2,507,836 | ||||||||||||
S63454607 | KYG8972T1067 | 6345460 | TOWNGAS CHINA CO LTD | 899,240 | $ | 822,336 | ||||||||||||
S63527501 | JP3168700007 | 6352750 | EN-JAPAN INC. | 13,000 | $ | 178,970 | ||||||||||||
S63552764 | JP3820900003 | 6355276 | FUJIMI INC | 7,000 | $ | 120,884 | ||||||||||||
S63564066 | JP3814800003 | 6356406 | FUJI HEAVY IND LTD | 8,300 | $ | 276,217 | ||||||||||||
S63565923 | JP3809200003 | 6356592 | FUJI MACHINE MFG. CO., LTD. | 6,700 | $ | 78,718 | ||||||||||||
S63569453 | JP3818000006 | 6356945 | FUJITSU LTD | 110,000 | $ | 751,311 | ||||||||||||
S63577332 | JP3824400000 | 6357733 | FUTABA CORP | 3,800 | $ | 61,313 | ||||||||||||
S63844856 | JP3833740008 | 6384485 | PROTO CORP | 8,900 | $ | 144,344 | ||||||||||||
S64004336 | JP3160740001 | 6400433 | HIS | 6,100 | $ | 215,159 | ||||||||||||
S64106362 | AU000000RSG6 | 6410636 | RESOLUTE MINING LTD | 335,240 | $ | 79,393 | ||||||||||||
S64218985 | JP3781650001 | 6421898 | PAL CO LTD | 18,900 | $ | 538,987 | ||||||||||||
S64288665 | JP3784200002 | 6428866 | HISAKA WORKS LTD | 14,800 | $ | 129,581 | ||||||||||||
S64291040 | JP3788600009 | 6429104 | HITACHI LTD | 105,000 | $ | 720,750 | ||||||||||||
S64291263 | JP3785000005 | 6429126 | HITACHI CHEM CO LTD | 13,300 | $ | 285,242 | ||||||||||||
S64351455 | JP3854600008 | 6435145 | HONDA MOTOR CO LTD | 22,900 | $ | 745,288 | ||||||||||||
S64398134 | JP3845800006 | 6439813 | HOSIDEN CORP | 85,800 | $ | 474,341 | ||||||||||||
S64592199 | JP3146200005 | 6459219 | INABA DENKISANGYO CO LTD | 7,700 | $ | 279,300 | ||||||||||||
S64685050 | JP3732950005 | 6468505 | JAPAN DIGITAL LABORATORY CO LT | 24,000 | $ | 316,598 | ||||||||||||
S64706856 | JP3721400004 | 6470685 | JAPAN STEEL WORKS LTD/THE | 85,000 | $ | 357,932 | ||||||||||||
S64709868 | JP3385980002 | 6470986 | JSR CORP | 22,300 | $ | 387,333 | ||||||||||||
S64745359 | JP3726800000 | 6474535 | JAPAN TOBACCO INC. | 33,390 | $ | 1,058,150 | ||||||||||||
S64762180 | JP3389700000 | 6476218 | AEON DELIGHT CO. LTD. | 7,500 | $ | 179,675 | ||||||||||||
S64873284 | JP3277230003 | 6487328 | KEIHIN CORP | 22,900 | $ | 351,544 | ||||||||||||
S65045841 | JP3273000004 | 6504584 | KURODA ELEC CO. LTD. | 39,100 | $ | 626,643 | ||||||||||||
S65131260 | JP3910660004 | 6513126 | TOKIO MARINE HOLDINGS INC | 33,230 | $ | 1,257,572 | ||||||||||||
S65295545 | JP3359000001 | 6529554 | CMIC HOLDINGS CO LTD | 10,400 | $ | 168,412 | ||||||||||||
S65342024 | JP3131430005 | 6534202 | AEON MALL CO LTD | 34,100 | $ | 676,740 | ||||||||||||
S65630246 | JP3890350006 | 6563024 | SUMITOMO MITSUI FIN GRP INC | 32,620 | $ | 1,251,623 | ||||||||||||
S65695058 | JP3871200006 | 6569505 | MARUICHI STEEL TUBE LTD. | 20,600 | $ | 488,869 | ||||||||||||
S65910143 | JP3885780001 | 6591014 | MIZUHO FINANCIAL GROUP | 362,800 | $ | 638,625 | ||||||||||||
S65946048 | JP3907200004 | 6594604 | MIMASU SEMICONDUCTOR IND CO., | 11,700 | $ | 127,317 | ||||||||||||
S65973687 | JP3888300005 | 6597368 | MITSUI CHEMICALS INC | 147,000 | $ | 473,146 | ||||||||||||
S65974099 | JP3904400003 | 6597409 | MITSUMI ELEC CO., LTD. | 10,100 | $ | 75,208 | ||||||||||||
S66226911 | ZAE000015889 | 6622691 | NASPERS LIMITED | 2,673 | $ | 412,546 | ||||||||||||
S66257205 | JP3650600004 | 6625720 | PANAHOME CORP | 39,200 | $ | 271,957 | ||||||||||||
S66295403 | JP3288200003 | 6629540 | NETUREN CO LTD | 9,100 | $ | 67,534 | ||||||||||||
S66385469 | JP3661800007 | 6638546 | NICHICON CORP | 59,400 | $ | 556,233 | ||||||||||||
S66395500 | JP3756600007 | 6639550 | NINTENDO CO LTD | 4,990 | $ | 735,445 | ||||||||||||
S66396029 | JP3712600000 | 6639602 | NSD CO LTD | 17,370 | $ | 256,513 | ||||||||||||
S66407891 | JP3750200002 | 6640789 | NIPPO CORP | 3,000 | $ | 49,681 |
Page 63
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
S66413733 | JP3735400008 | 6641373 | NTT CORP | 11,400 | $ | 703,154 | ||||||||||||
S66428046 | JP3678800008 | 6642804 | HITACHI HIGH-TECHNOLOGIES CORP | 6,800 | $ | 207,813 | ||||||||||||
S66440603 | JP3732200005 | 6644060 | NIPPON TELEVISION HOLDINGS INC | 28,000 | $ | 467,192 | ||||||||||||
S66575416 | JP3175200009 | 6657541 | OITA BANK LTD | 24,000 | $ | 93,458 | ||||||||||||
S66601071 | JP3197600004 | 6660107 | ONO PHARM CO., LTD. | 18,440 | $ | 2,088,098 | ||||||||||||
S66602046 | JP3449020001 | 6660204 | TAIHEIYO CEMENT CORP | 249,510 | $ | 763,562 | ||||||||||||
S66881434 | JP3921080002 | 6688143 | MELCO HOLDINGS INC | 12,800 | $ | 241,111 | ||||||||||||
S67103473 | AU000000QAN2 | 6710347 | QANTAS AIRWAYS LTD | 118,005 | $ | 281,268 | ||||||||||||
S67116962 | JP3421100003 | 6711696 | JAPAN PETROLEUM EXPLORATION CO | 23,500 | $ | 798,520 | ||||||||||||
S67132050 | JP3770080004 | 6713205 | HONEYS CO LTD | 19,970 | $ | 174,847 | ||||||||||||
S67442947 | JP3539220008 | 6744294 | T&D HOLDINGS INC | 110,000 | $ | 1,517,573 | ||||||||||||
S67472043 | JP3982800009 | 6747204 | ROHM CO LTD. | 6,900 | $ | 473,521 | ||||||||||||
S67610006 | ZAE000013181 | 6761000 | ANGLO PLATINUM LTD | 8,355 | $ | 205,161 | ||||||||||||
S67728535 | JP3324000003 | 6772853 | SAN-IN GODO BK, LTD. | 28,000 | $ | 231,378 | ||||||||||||
S67754325 | JP3326410002 | 6775432 | SANKYO CO LTD | 9,050 | $ | 322,608 | ||||||||||||
S68040351 | JP3358200008 | 6804035 | SHIMAMURA CO., LTD. | 5,900 | $ | 547,075 | ||||||||||||
S68046820 | JP3347200002 | 6804682 | SHIONOGI & CO., LTD. | 17,490 | $ | 584,094 | ||||||||||||
S68047455 | JP3371700000 | 6804745 | SHINKAWA LTD | 24,310 | $ | 154,668 | ||||||||||||
S68049279 | JP3375800004 | 6804927 | SHINKO ELEC INDUS CO., LTD. | 53,500 | $ | 381,872 | ||||||||||||
S68415264 | JP3399000003 | 6841526 | STAR MICRONICS CO., LTD. | 18,100 | $ | 254,162 | ||||||||||||
S68655604 | 6865560 | SUZUKEN CO LTD | 4,950 | $ | 151,276 | |||||||||||||
S68694983 | JP3465400004 | 6869498 | TACHI-S CO., LTD. | 15,600 | $ | 219,057 | ||||||||||||
S68699594 | JP3441200007 | 6869959 | TAIKISHA LTD | 12,200 | $ | 304,173 | ||||||||||||
S68704451 | JP3463000004 | 6870445 | TAKEDA PHARMACEUTICAL CO LTD | 36,800 | $ | 1,840,844 | ||||||||||||
S68935501 | JP3627800000 | 6893550 | TOCHIGI BANK LTD/THE | 26,000 | $ | 133,984 | ||||||||||||
S68939149 | JP3564200008 | 6893914 | TOKAI RUBBER INDUSTRIES INC | 28,200 | $ | 247,610 | ||||||||||||
S68940253 | JP3566600007 | 6894025 | TOKAI RIKA CO., LTD. | 28,450 | $ | 661,639 | ||||||||||||
S68943042 | JP3580200008 | 6894304 | TOKYO SEIMITSU CO., LTD. | 24,500 | $ | 562,627 | ||||||||||||
S68948983 | JP3571800006 | 6894898 | TOKYO OHKA KOGYO CO LTD | 5,650 | $ | 183,033 | ||||||||||||
S68949288 | JP3598200008 | 6894928 | TOPRE CORPORATION | 3,700 | $ | 57,972 | ||||||||||||
S68958792 | JP3579800008 | 6895879 | TOKYO STEEL MANU CO., LTD. | 41,100 | $ | 276,570 | ||||||||||||
S68972629 | JP3592600005 | 6897262 | TOSHIBA MACH | 132,000 | $ | 556,948 | ||||||||||||
S69005460 | JP3634600005 | 6900546 | TOYOTA INDUSTRIES CORPORATION | 7,600 | $ | 436,006 | ||||||||||||
S69005577 | JP3634200004 | 6900557 | TOYODA GOSEI CO LTD | 21,000 | $ | 470,344 | ||||||||||||
S69005916 | JP3635400009 | 6900591 | TOYOTA BOSHOKU CORP | 29,100 | $ | 364,948 | ||||||||||||
S69189819 | JP3156400008 | 6918981 | USHIO INC | 53,400 | $ | 666,136 | ||||||||||||
S69849487 | JP3428800001 | 6984948 | XEBIO CO., LTD. | 26,900 | $ | 467,680 | ||||||||||||
S69853612 | JP3942000005 | 6985361 | YAMANASHI CHUO BANK LTD/THE | 29,000 | $ | 127,196 | ||||||||||||
S69854461 | JP3940400009 | 6985446 | YAMATO KOGYO CO LTD | 18,500 | $ | 447,980 | ||||||||||||
S69855872 | JP3936800006 | 6985587 | YAMAZEN CORP | 25,200 | $ | 207,400 | ||||||||||||
S69863645 | JP3959400007 | 6986364 | YODOGAWA STEEL WORKS LTD. | 44,000 | $ | 174,642 | ||||||||||||
S70852595 | DK0010287234 | 7085259 | H LUNDBECK A/S | 89,857 | $ | 1,892,474 | ||||||||||||
S71030654 | CH0012005267 | 7103065 | NOVARTIS AG | 38,312 | $ | 3,792,545 | ||||||||||||
S71035265 | FR0000121501 | 7103526 | PEUGEOT SA | 28,003 | $ | 468,873 |
Page 64
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
S71072508 | GRS419003009 | 7107250 | GREEK ORGANISATION OF FOOTBALL | 47,266 | $ | 443,167 | ||||||||||||
S71103881 | CH0012032048 | 7110388 | ROCHE HOLDING AG | 15,807 | $ | 4,363,077 | ||||||||||||
S71107205 | CH0012138605 | 7110720 | ADECCO SA-REG | 6,695 | $ | 558,319 | ||||||||||||
S71109029 | CH0012100191 | 7110902 | TECAN GROUP AG | 3,126 | $ | 410,342 | ||||||||||||
S71263412 | CH0012337421 | 7126341 | MICRONAS SEMICONDUCTOR HOLD | 24,941 | $ | 157,406 | ||||||||||||
S71366637 | FR0000077919 | 7136663 | JC DECAUX SA | 21,821 | $ | 735,766 | ||||||||||||
S71450563 | IT0003132476 | 7145056 | ENI SPA | 43,654 | $ | 756,245 | ||||||||||||
S71541825 | NL0000303600 | 7154182 | ING GROEP NV | 108,704 | $ | 1,593,028 | ||||||||||||
S71695175 | IT0003115950 | 7169517 | DE LONGHI SPA | 9,169 | $ | 198,821 | ||||||||||||
S72124779 | FR0000121667 | 7212477 | ESSILOR INTL | 15,403 | $ | 1,766,773 | ||||||||||||
S72626104 | FR0000045072 | 7262610 | CREDIT AGRICOLE SA | 38,356 | $ | 563,333 | ||||||||||||
S73092835 | FR0000035164 | 7309283 | BENETEAU SA | 34,358 | $ | 485,057 | ||||||||||||
S73096810 | FR0000131104 | 7309681 | BNP PARIBAS SA | 18,979 | $ | 1,153,092 | ||||||||||||
S73201543 | HU0000061726 | 7320154 | ORSZAGPS TAKAREKPENZTAR ES KER | 15,411 | $ | 292,775 | ||||||||||||
S73804825 | FR0000125007 | 7380482 | SAINT GOBAIN | 38,903 | $ | 1,708,668 | ||||||||||||
S74167636 | DE0006053952 | 7416763 | KONTRON | 23,299 | $ | 148,888 | ||||||||||||
S77925592 | NL0000009165 | 7792559 | HEINEKEN N.V. | 17,970 | $ | 1,370,863 | ||||||||||||
SB00G2567 | SE0001174889 | B00G256 | ORIFLAME COSMETICS SA | 15,886 | $ | 212,758 | ||||||||||||
SB00GWP69 | KYG0420V1068 | B00GWP6 | AMVIG HOLDINGS LTD | 370,000 | $ | 165,122 | ||||||||||||
SB011Y090 | IE00B010DT83 | B011Y09 | C&C GROUP PLC | 116,972 | $ | 479,271 | ||||||||||||
SB019KW71 | GB00B019KW72 | B019KW7 | J SAINSBURY PLC | 91,753 | $ | 353,049 | ||||||||||||
SB01RQM38 | BMG684371393 | B01RQM3 | PACIFIC BASIN SHIPPING LTD | 515,000 | $ | 170,049 | ||||||||||||
SB01TND90 | GB00B01TND91 | B01TND9 | BOOKER GROUP PLC | 221,026 | $ | 478,061 | ||||||||||||
SB02JV897 | JP3282850001 | B02JV89 | GENDAI AGENCY INC | 7,400 | $ | 42,885 | ||||||||||||
SB03J9L73 | MYL5099OO006 | B03J9L7 | AIRASIA | 1,427,410 | $ | 917,304 | ||||||||||||
SB045FZ02 | JP3155370004 | B045FZ0 | WELLNET CORP | 14,000 | $ | 316,014 | ||||||||||||
SB05L3642 | JP3548610009 | B05L364 | DENA | 40,400 | $ | 791,998 | ||||||||||||
SB06MW587 | JP3256970009 | B06MW58 | KYOKUTO SEC | 20,150 | $ | 297,566 | ||||||||||||
SB0744355 | GB00B0744359 | B074435 | ESSENTRA PLC | 24,375 | $ | 359,495 | ||||||||||||
SB08SNH35 | GB00B08SNH34 | B08SNH3 | NATIONAL GRID PLC | 103,065 | $ | 1,322,991 | ||||||||||||
SB08V9H40 | FR0000124570 | B08V9H4 | COMPAGNIE PLASTIC OMNIUM | 25,645 | $ | 677,138 | ||||||||||||
SB09M9D26 | FI0009013403 | B09M9D2 | KONE OYJ | 46,046 | $ | 2,041,437 | ||||||||||||
SB09YFD03 | FR0010208165 | B09YFD0 | SAFT GROUPE S.A. | 6,394 | $ | 235,131 | ||||||||||||
SB0C2CQ38 | FR0010208488 | B0C2CQ3 | GDF SUEZ | 30,271 | $ | 598,366 | ||||||||||||
SB0C3TN25 | JP3910570005 | B0C3TN2 | MIRAIAL CO LTD | 11,400 | $ | 139,262 | ||||||||||||
SB0DJNG01 | IT0003856405 | B0DJNG0 | FINMECCANICA SPA | 39,257 | $ | 467,155 | ||||||||||||
SB0J7D919 | JP3475350009 | B0J7D91 | DAIICHI SANKYO | 16,900 | $ | 268,737 | ||||||||||||
SB0LDD867 | CH0022427626 | B0LDD86 | LEM HLDGS AG | 179 | $ | 147,155 | ||||||||||||
SB0LF1887 | CH0022268228 | B0LF188 | EFG INTERNATIONAL | 39,672 | $ | 490,131 | ||||||||||||
SB0WMWD08 | GB00B0WMWD03 | B0WMWD0 | QINETIQ GROUP PLC | 81,112 | $ | 229,864 | ||||||||||||
SB0X6W867 | JP3101850000 | B0X6W86 | AIZAWA SECURITIES CO LTD | 27,400 | $ | 181,867 | ||||||||||||
SB0YZ0Z55 | DE000A0HN5C6 | B0YZ0Z5 | DEUTSCHE WOHNEN AG | 18,311 | $ | 468,838 | ||||||||||||
SB10RB150 | JP3294460005 | B10RB15 | INPEX CORP | 33,100 | $ | 365,846 | ||||||||||||
SB10RZP77 | GB00B10RZP78 | B10RZP7 | UNILEVER PLC | 23,465 | $ | 980,571 | ||||||||||||
SB11TCY09 | CH0024638196 | B11TCY0 | SCHINDLER HOLDING AG | 2,564 | $ | 427,113 | ||||||||||||
SB11Z2266 | BMG4111M1029 | B11Z226 | G-RESOURCES GROUP LTD | 6,957,000 | $ | 203,693 | ||||||||||||
SB11ZRK95 | FR0010307819 | B11ZRK9 | LEGRAND S.A. | 23,060 | $ | 1,246,743 |
Page 65
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
SB1296H01 | GRS491003000 | B1296H0 | EUROBANK PROPERTIES REAL ESTAT | 32,293 | $ | 263,588 | ||||||||||||
SB12T3J12 | NL0000009355 | B12T3J1 | UNILEVER N.V. | 30,000 | $ | 1,253,841 | ||||||||||||
SB13WZ262 | AT0000837307 | B13WZ26 | ZUMTOBEL | 4,568 | $ | 113,354 | ||||||||||||
SB1429899 | B142989 | LEGACY OIL + GAS INC | 50,760 | $ | 61,722 | |||||||||||||
SB142S608 | CH0025238863 | B142S60 | KUEHNE & NAGEL INTERNATIONAL A | 4,929 | $ | 733,286 | ||||||||||||
SB14LS011 | DK0060036564 | B14LS01 | SPAR NORD BANK A/S | 21,346 | $ | 205,604 | ||||||||||||
SB15C5570 | FR0000120271 | 4905413 | TOTAL SA | 20,924 | $ | 1,039,909 | ||||||||||||
SB16FTB92 | ES0178165017 | B16FTB9 | TECNICAS REUNIDAS SA | 8,943 | $ | 375,547 | ||||||||||||
SB1DWS050 | IE00B1CMPN86 | B1DWS05 | AER LINGUS PLC | 28,500 | $ | 71,319 | ||||||||||||
SB1FRPV87 | NL0000354488 | B1FRPV8 | USG PEOPLE | 16,990 | $ | 235,207 | ||||||||||||
SB1FSLW43 | JP3457000002 | B1FSLW4 | TAKATA CORP | 17,600 | $ | 193,134 | ||||||||||||
SB1FW7515 | PTGAL0AM0009 | B1FW751 | GALP ENERGIA SA | 44,357 | $ | 479,491 | ||||||||||||
SB1HHF494 | JP3247400009 | B1HHF49 | KYOEI STEEL LTD | 1,400 | $ | 23,686 | ||||||||||||
SB1HKSV68 | IT0001031084 | B1HKSV6 | BANCA GENERALI | 12,897 | $ | 404,045 | ||||||||||||
SB1KJJ406 | GB00B1KJJ408 | B1KJJ40 | WHITBREAD | 4,298 | $ | 334,651 | ||||||||||||
SB1KKBX66 | SE0000103814 | B1KKBX6 | ELECTROLUX AB | 32,043 | $ | 918,481 | ||||||||||||
SB1P1JR41 | JP3539230007 | B1P1JR4 | TS TECH CO LTD | 12,010 | $ | 324,974 | ||||||||||||
SB1SK0S69 | DE000A0Z2ZZ5 | B1SK0S6 | FREENET AG | 11,467 | $ | 345,759 | ||||||||||||
SB1TQ2V06 | ZAE000093183 | B1TQ2V0 | RAUBEX | 96,392 | $ | 143,996 | ||||||||||||
SB1VQF428 | NO0003733800 | B1VQF42 | ORKLA ASA | 55,837 | $ | 422,288 | ||||||||||||
SB1WGG938 | CH0030170408 | B1WGG93 | GEBERIT AG | 3,148 | $ | 1,182,971 | ||||||||||||
SB1WP6567 | B1WP656 | DAMPSKIBSSELSKABET NORDEN A/S | 9,020 | $ | 192,563 | |||||||||||||
SB1WT5G22 | DK0060079531 | B1WT5G2 | DSV, DE SAMMENSLUT VOGN | 78,463 | $ | 2,439,843 | ||||||||||||
SB1XH0260 | FR0000125486 | B1XH026 | VINCI S.A. | 10,683 | $ | 610,737 | ||||||||||||
SB1YY6621 | ES0157097017 | B1YY662 | ALMIRALL SA | 19,666 | $ | 361,596 | ||||||||||||
SB1Z4WD00 | CH0030486770 | B1Z4WD0 | DAETWYLER HLDG AG | 970 | $ | 135,618 | ||||||||||||
SB234WN90 | IT0003492391 | B234WN9 | DIASORIN SPA | 7,237 | $ | 318,130 | ||||||||||||
SB249SN50 | JP3435350008 | B249SN5 | SONY FINANCIAL | 23,000 | $ | 370,532 | ||||||||||||
SB24CGK71 | GB00B24CGK77 | B24CGK7 | RECKITT BENCKISER GROUP PLC | 16,430 | $ | 1,414,639 | ||||||||||||
SB288C920 | ES0144580Y14 | B288C92 | IBERDROLA SA | 68,515 | $ | 441,658 | ||||||||||||
SB28SK094 | DE000A0S8488 | B28SK09 | HAMBURGER HAFEN UND LOGISTIK A | 9,132 | $ | 191,693 | ||||||||||||
SB28XP766 | BMG491BT1088 | B28XP76 | INVESCO LTD | 21,880 | $ | 868,417 | ||||||||||||
SB292JQ95 | FR0010533075 | B292JQ9 | GROUPE EUROTUNNEL SA | 93,190 | $ | 1,335,148 | ||||||||||||
SB2PDGW13 | GB00B2PDGW16 | B2PDGW1 | WH SMITH PLC | 20,780 | $ | 400,714 | ||||||||||||
SB3B8D045 | FR0010613471 | B3B8D04 | SUEZ ENVIRONNEMENT SAS | 30,536 | $ | 525,551 | ||||||||||||
SB3D0VR16 | KR7082640004 | B3D0VR1 | TONGYANG LIFE INSURANCE | 16,242 | $ | 169,820 | ||||||||||||
SB3SPXZ39 | NL0009434992 | B3SPXZ3 | LYONDELLBASELL INDUSTRIES NV | 7,300 | $ | 640,940 | ||||||||||||
SB3Y0JD20 | NL0009739424 | B3Y0JD2 | TNT EXPRESS NV | 66,726 | $ | 424,321 | ||||||||||||
SB3ZNGT54 | KYG407691040 | B3ZNGT5 | GREATVIEW ASEPTIC PACKAGING CO | 1,534,150 | $ | 795,465 | ||||||||||||
SB4JPM527 | CH0100185955 | B4JPM52 | GATEGROUP HOLDING AG | 15,578 | $ | 526,858 | ||||||||||||
SB4LW4N32 | BRHRTPACNOR2 | B4LW4N3 | HRT PARTICIPACOES EM PETROLEO | 3,600 | $ | 5,080 | ||||||||||||
SB4R2R507 | CH0102484968 | B4R2R50 | GRIFOLS INC | 51,201 | $ | 2,570,329 | ||||||||||||
SB4RLNR19 | DE000A1H8BV3 | B4RLNR1 | NORMA GROUP AG | 5,085 | $ | 255,943 | ||||||||||||
SB4TX8S14 | HK0000069689 | B4TX8S1 | AIA GROUP LTD | 126,890 | $ | 798,683 |
Page 66
Cusip | ISIN | SEDOL | Security Description | Coupon | Maturity | Par | Fair Value | |||||||||||
SB505PN71 | NL0009538784 | B505PN7 | NXP SEMICONDUCTORS NV | 6,342 | $ | 636,483 | ||||||||||||
SB574ZG08 | NL0009294552 | B574ZG0 | DELTA LLOYD NV | 50,523 | $ | 951,750 | ||||||||||||
SB5LRLL23 | IE00B5LRLL25 | B5LRLL2 | XL GROUP PLC | 7,663 | $ | 281,998 | ||||||||||||
SB5M6XQ72 | ES0177542018 | B5M6XQ7 | BRITISH AIRWAYS PLC | 71,156 | $ | 636,955 | ||||||||||||
SB601QS44 | JP3476480003 | B601QS4 | DAI-ICHI LIFE INSURANCE CO. LT | 27,800 | $ | 404,627 | ||||||||||||
SB60BD273 | GB00B60BD277 | B60BD27 | SUPERGROUP PLC | 17,232 | $ | 244,170 | ||||||||||||
SB62G1B54 | FR0010908533 | B62G1B5 | EDENRED | 22,600 | $ | 563,484 | ||||||||||||
SB671GT81 | MXCFFU000001 | B671GT8 | FIBRA UNO ADMINISTRACION SA | 145,000 | $ | 384,623 | ||||||||||||
SB7FNMQ21 | CA2861812014 | B7FNMQ2 | ELEMENT FINANCIAL CORP | 46,880 | $ | 633,704 | ||||||||||||
SB86S2N06 | BE0974264930 | B86S2N0 | FORTIS | 15,291 | $ | 548,595 | ||||||||||||
SB88MHC49 | DE000A1PHFF7 | B88MHC4 | HUGO BOSS AG | 2,882 | $ | 350,539 | ||||||||||||
SB8BRV460 | JP3705200008 | B8BRV46 | JAPAN AIRLINES CO LTD | 9,700 | $ | 302,506 | ||||||||||||
SB8KF9B49 | JE00B8KF9B49 | B8KF9B4 | WPP GROUP PLC | 42,198 | $ | 959,063 | ||||||||||||
SB9239357 | DE000LED4000 | B923935 | OSRAM LICHT AG | 4,144 | $ | 206,065 | ||||||||||||
SB946ZZ65 | GB00B946ZZ62 | B946ZZ6 | SPIRAX-SARCO ENGINEERING PLC | 13,360 | $ | 676,303 | ||||||||||||
SBBFL4S00 | GRS014003008 | BBFL4S0 | PIRAEUS BANK SA | 429,734 | $ | 165,691 | ||||||||||||
SBBJPFY14 | DE000A1ML7J1 | BBJPFY1 | DEUTSCHE ANNINGTON IMMOBILIEN | 28,106 | $ | 947,836 | ||||||||||||
SBCRWZ184 | CH0210483332 | BCRWZ18 | COM FN RICHEMONT | 10,636 | $ | 857,406 | ||||||||||||
SBCZM1B24 | DE000PSM7770 | BCZM1B2 | PROSIEBENSAT1 MEDIA AG | 16,948 | $ | 831,929 | ||||||||||||
SBD73C404 | CA46579R1047 | BD73C40 | IVANHOE MINES LTD | 157,800 | $ | 114,628 | ||||||||||||
SBGHQ1986 | IE00BGHQ1986 | BGHQ198 | HIBERNIA REIT PLC | 379,240 | $ | 476,545 | ||||||||||||
SBJ34P514 | IE00BJ34P519 | BJ34P51 | IRISH RESIDENTIAL PROPERTIES R | 680,021 | $ | 733,994 | ||||||||||||
SBLNN3L41 | GB00BLNN3L44 | BLNN3L4 | COMPASS GROUP | 107,795 | $ | 1,875,454 | ||||||||||||
SBNB4VH56 | LU1075065190 | BNB4VH5 | BRAAS MONIER BUILDING GROUP SA | 32,523 | $ | 829,580 | ||||||||||||
SBNGWY429 | GB00BNGWY422 | BNGWY42 | SSP GROUP | 15,069 | $ | 66,439 | ||||||||||||
SBRJL1761 | CH0244767585 | BRJL176 | UBS GROUP AG | 218,300 | $ | 4,117,426 | ||||||||||||
W04008152 | SE0000695876 | 7332687 | ALFA LAVAL AB | 38,015 | $ | 747,160 | ||||||||||||
W10020118 | SE0000101032 | B1QGR41 | ATLAS COPCO AB | 40,851 | $ | 1,323,008 | ||||||||||||
X1687N119 | GRS015013006 | 4235864 | ALPHA BK A.E. | 768,796 | $ | 227,064 | ||||||||||||
Y1148A101 | TW0002474004 | 6186669 | CATCHER TECH | 73,340 | $ | 768,793 | ||||||||||||
Y16907100 | TW0002324001 | 6225744 | COMPAL ELECTRONICS | 226,000 | $ | 188,153 | ||||||||||||
Y3506N121 | HK0388034859 | 6267359 | HONG KONG EXCHANGES & CLEAR | 28,900 | $ | 708,237 | ||||||||||||
Y3817W109 | KR7000660001 | 6450267 | HYNIX SEMICONDUCTOR INC | 17,090 | $ | 701,654 | ||||||||||||
Y48406105 | KR7015760002 | 6495730 | KOREAN ELEC POWER CO | 12,511 | $ | 518,731 | ||||||||||||
Y4964V118 | SG1T22929874 | K-REIT ASIA | 671,000 | $ | 587,009 | |||||||||||||
Y594BL106 | TH1074010014 | B736PF3 | PTT GLOBAL CHEMICAL PCL | 314,990 | $ | 505,784 | ||||||||||||
Y84629107 | TW0002330008 | 6889106 | TAIWAN SEMICONDUCTOR | 185,610 | $ | 863,095 | ||||||||||||
NEUBERGER BERMAN GREATER CHINA EQUITY FUND LTD | 31,277 | $ | 48,767,460 | |||||||||||||||
CRESCENT SHORT DURATION HIGH INCOME FUND | 2,544,964 | $ | 24,940,651 | |||||||||||||||
46,306,753 | $ | 856,651,742 | ||||||||||||||||
Page 67