Allied World Assurance 8-K Allied World Reports Growth Across Insurance Platform

Exhibit 99.3

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2015

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
U.S. Government Securities
912796FB0	US912796FB06	BRJG6C1	UNITED STATES TREASURY	0.00	10/15/2015	5,000,000	$	4,999,971
912796FG9	US912796FG92	BSKS162	UNITED STATES TREASURY	0.00	11/12/2015	5,000,000	4,999,814
912796GQ6	US912796GQ65	BYMZX78	UNITED STATES TREASURY	0.00	11/27/2015	50,000,000	49,987,169
912796GR4	US912796GR49		UNITED STATES TREASURY	0.00	12/3/2015	5,883,000	5,881,227
912810EZ7	US912810EZ76		UNITED STATES TREASURY	6.63	2/15/2027	625,000	891,206
912828A34	US912828A347	BGRGJG1	UNITED STATES TREASURY	1.25	11/30/2018	500,000	501,220
912828A42	US912828A420	BH13VK3	UNITED STATES TREASURY	2.00	11/30/2020	900,000	911,322
912828A59	US912828A594	BH58X19	UNITED STATES TREASURY	0.63	12/15/2016	500,000	501,075
912828A75	US912828A750	BHBPMP1	UNITED STATES TREASURY	1.50	12/31/2018	500,000	504,915
912828B33	US912828B337		UNITED STATES TREASURY	1.50	1/31/2019	500,000	504,635
912828B41	US912828B410	BJ8S194	UNITED STATES TREASURY	0.38	1/31/2016	3,000,000	3,004,110
912828B58	US912828B584	BJ8S161	UNITED STATES TREASURY	2.13	1/31/2021	2,990,000	3,039,754
912828B66	US912828B667	BJT0TY0	UNITED STATES TREASURY	2.75	2/15/2024	700,000	726,810
912828B74	US912828B741	BJT0V99	UNITED STATES TREASURY	0.63	2/15/2017	400,000	400,592
912828C24	US912828C244	BK01C51	UNITED STATES TREASURY	1.50	2/28/2019	250,000	252,108
912828C32	US912828C327	BKKNGY4	UNITED STATES TREASURY	0.75	3/15/2017	250,000	250,903
912828C65	US912828C657	BKXH1Y8	UNITED STATES TREASURY	1.63	3/31/2019	10,500,000	10,626,315
912828C73	US912828C731	BLDZ8P9	UNITED STATES TREASURY	0.88	4/15/2017	18,950,000	19,050,623
912828D23	US912828D234	BLT2LQ6	UNITED STATES TREASURY	1.63	4/30/2019	500,000	505,550
912828D49	US912828D499	BPYD719	UNITED STATES TREASURY	0.88	8/15/2017	300,000	301,140
912828D64	US912828D648	BQ717C8	UNITED STATES TREASURY	0.50	8/31/2016	5,550,000	5,557,603
912828D80	US912828D804	BQ71784	UNITED STATES TREASURY	1.63	8/31/2019	500,000	504,095
912828F39	US912828F395	BQXKYM8	UNITED STATES TREASURY	1.75	9/30/2019	17,800,000	18,013,242
912828F47	US912828F478	BQXKZC5	UNITED STATES TREASURY	0.50	9/30/2016	350,000	350,466
912828F54	US912828F544	BRJ6VB5	UNITED STATES TREASURY	0.88	10/15/2017	36,900,000	36,985,609
912828F62	US912828F627	BRYG9R2	UNITED STATES TREASURY	1.50	10/31/2019	350,000	350,210
912828F88	US912828F882		UNITED STATES TREASURY	0.38	10/31/2016	350,000	349,738
912828FY1	US912828FY19		UNITED STATES TREASURY	4.63	11/15/2016	825,000	871,918
912828G20	US912828G203	BSJX083	UNITED STATES TREASURY	0.88	11/15/2017	18,710,000	18,744,426
912828G46	US912828G468	BSQXNR6	UNITED STATES TREASURY	0.50	11/30/2016	101,000,000	101,061,610
912828G61	US912828G617		UNITED STATES TREASURY	1.50	11/30/2019	550,000	550,138
912828G79	US912828G799		UNITED STATES TREASURY	1.00	12/15/2017	4,100,000	4,117,138
912828G87	US912828G872	BTL1KT3	UNITED STATES TREASURY	2.13	12/31/2021	4,990,000	5,027,475
912828G95	US912828G955	BTL1KM6	UNITED STATES TREASURY	1.63	12/31/2019	25,750,000	25,853,256
912828GX2	US912828GX27	B23C051	UNITED STATES TREASURY	2.63	7/15/2017	7,000,000	8,572,909
912828H29	US912828H292	BTL1KY8	UNITED STATES TREASURY	0.63	12/31/2016	11,900,000	11,925,704
912828H37	US912828H375	BV9HF03	UNITED STATES TREASURY	0.88	1/15/2018	7,250,000	7,253,117
912828H52	US912828H524	BVJF8C0	UNITED STATES TREASURY	1.25	1/31/2020	450,000	444,056
912828H78	US912828H789		UNITED STATES TREASURY	0.50	1/31/2017	60,000,000	59,985,599
912828H94	US912828H946		UNITED STATES TREASURY	1.00	2/15/2018	19,850,000	19,907,565
912828J50	US912828J504	BVYXJ26	UNITED STATES TREASURY	1.38	2/29/2020	1,500,000	1,487,280
912828J68	US912828J686	BVW2JQ9	UNITED STATES TREASURY	1.00	3/15/2018	36,850,000	36,929,597

Page 1

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
912828J84	US912828J843	BWFRBR3	UNITED STATES TREASURY	1.38	3/31/2020	350,000	346,605
912828K25	US912828K254	BWV0DB4	UNITED STATES TREASURY	0.75	4/15/2018	150,000	149,192
912828K58	US912828K585	BWSSM92	UNITED STATES TREASURY	1.38	4/30/2020	950,000	939,588
912828K66	US912828K668	BWSSMB4	UNITED STATES TREASURY	0.50	4/30/2017	5,150,000	5,141,348
912828LJ7	US912828LJ77	B43JZT5	UNITED STATES TREASURY	3.63	8/15/2019	16,915,000	18,415,192
912828LP3	US912828LP38	B4L4JF6	UNITED STATES TREASURY	3.00	9/30/2016	500,000	516,140
912828NA4	US912828NA41	B65F012	UNITED STATES TREASURY	3.13	4/30/2017	250,000	261,582
912828NV8	US912828NV87		UNITED STATES TREASURY	1.25	8/31/2015	200,000	200,400
912828NW6	US912828NW60		UNITED STATES TREASURY	1.88	8/31/2017	500,000	512,600
912828PS3	US912828PS31	B45JBT5	UNITED STATES TREASURY	2.00	1/31/2016	200,000	202,146
912828PT1	US912828PT14	B3ZR1S1	UNITED STATES TREASURY	2.63	1/31/2018	500,000	522,535
912828QJ2	US912828QJ23	B3TZD52	UNITED STATES TREASURY	2.13	2/29/2016	11,875,000	12,027,356
912828QQ6	US912828QQ65	B4KK3H5	UNITED STATES TREASURY	2.38	5/31/2018	4,480,000	4,659,424
912828QR4	US912828QR49		UNITED STATES TREASURY	1.50	6/30/2016	350,000	354,046
912828QT0	US912828QT05		UNITED STATES TREASURY	2.38	6/30/2018	250,000	260,003
912828QX1	US912828QX17	B6WCYH0	UNITED STATES TREASURY	1.50	7/31/2016	175,000	177,133
912828RE2	US912828RE27	B4KS6Q9	UNITED STATES TREASURY	1.50	8/31/2018	250,000	253,247
912828RH5	US912828RH57	B50PRM0	UNITED STATES TREASURY	1.38	9/30/2018	1,900,000	1,915,599
912828RJ1	US912828RJ14	B6Z64X5	UNITED STATES TREASURY	1.00	9/30/2016	100,000	100,763
912828RM4	US912828RM43	B75L6K8	UNITED STATES TREASURY	1.00	10/31/2016	1,100,000	1,108,173
912828RX0	US912828RX08		UNITED STATES TREASURY	0.88	12/31/2016	50,806,500	51,108,799
912828RY8	US912828RY80		UNITED STATES TREASURY	1.38	12/31/2018	125,000	125,711
912828SC5	US912828SC51	B7GQ390	UNITED STATES TREASURY	0.88	1/31/2017	400,000	402,264
912828SH4	US912828SH49	B7LM876	UNITED STATES TREASURY	1.38	2/28/2019	500,000	501,875
912828SJ0	US912828SJ05	B73T5C9	UNITED STATES TREASURY	0.88	2/28/2017	770,000	774,297
912828SM3	US912828SM34	B7ZN2G2	UNITED STATES TREASURY	1.00	3/31/2017	250,000	251,920
912828SS0	US912828SS04	B7Y24G4	UNITED STATES TREASURY	0.88	4/30/2017	250,000	251,270
912828SY7	US912828SY71	B82QXX5	UNITED STATES TREASURY	0.63	5/31/2017	200,000	199,996
912828TB6	US912828TB69	B74YJ65	UNITED STATES TREASURY	0.75	6/30/2017	400,000	400,828
912828TG5	US912828TG56	B6RMTL4	UNITED STATES TREASURY	0.50	7/31/2017	250,000	249,135
912828TM2	US912828TM25	B8GKMX6	UNITED STATES TREASURY	0.63	8/31/2017	2,230,000	2,226,075
912828TS9	US912828TS94	B8MH2G4	UNITED STATES TREASURY	0.63	9/30/2017	200,000	199,444
912828TW0	US912828TW07	B8BR7L5	UNITED STATES TREASURY	0.75	10/31/2017	25,985,000	25,963,952
912828TX8	US912828TX89	B8RBQS1	UNITED STATES TREASURY	0.38	11/15/2015	21,160,000	21,183,064
912828UA6	US912828UA67	B99CZJ3	UNITED STATES TREASURY	0.63	11/30/2017	250,000	248,913
912828UE8	US912828UE89		UNITED STATES TREASURY	0.75	12/31/2017	85,150,000	84,972,888
912828UG3	US912828UG38	B9CJZS0	UNITED STATES TREASURY	0.38	1/15/2016	2,585,000	2,588,516
912828UH1	US912828UH11	B96LV84	UNITED STATES TREASURY	0.13	1/15/2023	12,000,000	12,090,869
912828UJ7	US912828UJ76	B8KQNF9	UNITED STATES TREASURY	0.88	1/31/2018	11,965,000	11,967,753
912828UM0	US912828UM06	B9JMDZ5	UNITED STATES TREASURY	0.38	2/15/2016	11,200,000	11,214,448
912828UR9	US912828UR92	B9CJS47	UNITED STATES TREASURY	0.75	2/28/2018	300,000	298,806
912828UU2	US912828UU22	B9442X7	UNITED STATES TREASURY	0.75	3/31/2018	250,000	248,725
912828UV0	US912828UV05	B93NS15	UNITED STATES TREASURY	1.13	3/31/2020	100,000	97,844
912828UW8	US912828UW87	B7G9894	UNITED STATES TREASURY	0.25	4/15/2016	1,096,000	1,095,847
912828UZ1	US912828UZ19	B9HJVV0	UNITED STATES TREASURY	0.63	4/30/2018	250,000	247,698
912828VC1	US912828VC15	B8W8CH8	UNITED STATES TREASURY	0.25	5/15/2016	22,000,000	21,991,860
912828VE7	US912828VE70	BB2D0B4	UNITED STATES TREASURY	1.00	5/31/2018	250,000	250,068
912828VG2	US912828VG29	BBHXQ77	UNITED STATES TREASURY	0.50	6/15/2016	550,000	551,144
912828VK3	US912828VK31	BBPLX94	UNITED STATES TREASURY	1.38	6/30/2018	10,250,000	10,361,315
912828VR8	US912828VR83	BCT5QH8	UNITED STATES TREASURY	0.63	8/15/2016	500,000	501,410
912828VW7	US912828VW78	BDFW3H9	UNITED STATES TREASURY	0.88	9/15/2016	500,000	502,865
912828WA4	US912828WA40	BFGTXF1	UNITED STATES TREASURY	0.63	10/15/2016	500,000	501,340

Page 2

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
912828WD8	US912828WD88	BG3KW24	UNITED STATES TREASURY	1.25	10/31/2018	500,000	501,685
912828WL0	US912828WL05	BMTSDK9	UNITED STATES TREASURY	1.50	5/31/2019	250,000	251,392
912828WM8	US912828WM87	BMTSDH6	UNITED STATES TREASURY	0.38	5/31/2016	1,300,000	1,300,793
912828WP1	US912828WP19		UNITED STATES TREASURY	0.88	6/15/2017	315,660,000	317,137,295
912828WQ9	US912828WQ91	BNGY5T0	UNITED STATES TREASURY	0.50	6/30/2016	43,219,000	43,296,799
912828WS5	US912828WS57	BNGY4N7	UNITED STATES TREASURY	1.63	6/30/2019	19,400,000	19,583,135
912828WT3	US912828WT31	BP0S8M6	UNITED STATES TREASURY	0.88	7/15/2017	300,000	301,248
912828WU0	US912828WU04	BP8S7P4	UNITED STATES TREASURY	0.13	7/15/2024	5,000,000	4,862,267
912828WW6	US912828WW69	BPFJXW9	UNITED STATES TREASURY	1.63	7/31/2019	500,000	504,385
912828WX4	US912828WX43	BPFJY82	UNITED STATES TREASURY	0.50	7/31/2016	21,250,000	21,283,788
912828XA3	US912828XA31	BXC4G13	UNITED STATES TREASURY	1.00	5/15/2018	250,000	250,235
912828XB1	US912828XB14	BXC4FY9	UNITED STATES TREASURY	2.13	5/15/2025	5,900,000	5,791,676
912828XD7	US912828XD79	BY8L2B7	UNITED STATES TREASURY	1.88	5/31/2022	5,500,000	5,438,565
912828XE5	US912828XE52		UNITED STATES TREASURY	1.50	5/31/2020	200,000	198,906
912828XF2	US912828XF28	BZ0HC43	UNITED STATES TREASURY	1.13	6/15/2018	10,000,000	10,037,901
912828XH8	US912828XH83		UNITED STATES TREASURY	1.63	6/30/2020	7,500,000	7,498,800
						1,215,869,500	$	1,222,556,091
U.S Government Agencies
3130A3J70	US3130A3J704	BSP6417	FEDERAL HOME LOAN BANKS	0.63	11/23/2016	1,690,000	$	1,691,775
313379DD8	US313379DD85	B7XBP14	FEDERAL HOME LOAN BANKS	1.00	6/21/2017	250,000	251,360
3133812C8	US3133812C81		FEDERAL HOME LOAN BANKS	1.50	5/8/2020	3,030,000	2,966,779
3133EDXA5	US3133EDXA53		FFCB	1.15	10/10/2017	150,000	150,807
3134G3ZH6	US3134G3ZH62		FHLMC	1.00	7/25/2017	75,000	75,482
3134G62E2	US3134G62E22		FHLMC	1.25	5/25/2018	100,000	99,930
3135G0D75	US3135G0D751	BX3JGB7	FNMA	1.50	6/22/2020	700,000	691,768
3135G0PQ0	US3135G0PQ06	B8F8WJ7	FNMA	0.88	10/26/2017	400,000	400,192
3135G0RK1	US3135G0RK18		FNMA	0.90	11/7/2017	100,000	99,429
3135G0SY0	US3135G0SY03		FNMA	1.60	12/24/2020	925,000	897,195
3135G0VX8	US3135G0VX82	B9M1RS0	FNMA	0.63	9/26/2016	250,000	250,555
3135G0XG3	US3135G0XG32	B96TX60	FNMA	1.00	5/21/2018	250,000	246,670
3135G0YE7	US3135G0YE74		FNMA	0.63	8/26/2016	250,000	250,488
3135G0YM9	US3135G0YM90	BD4V139	FNMA	1.88	9/18/2018	21,000,000	21,447,090
3135G0ZE6	US3135G0ZE65		FNMA	1.75	6/20/2019	200,000	202,132
3135G0ZL0	US3135G0ZL09		FNMA	1.00	9/27/2017	100,000	100,378
3137EADF3	US3137EADF36	B3ZC5X9	FHLMC	1.25	5/12/2017	6,000,000	6,062,700
3137EADG1	US3137EADG19	B810P09	FHLMC	1.75	5/30/2019	200,000	202,292
3137EADL0	US3137EADL04		FHLMC	1.00	9/29/2017	200,000	200,782
3137EADN6	US3137EADN69	B92FLL3	FHLMC	0.75	1/12/2018	400,000	398,136
31398A4M1	US31398A4M10	B4KVFZ0	FNMA	1.63	10/26/2015	21,500,000	21,602,125
						57,770,000	$	58,288,065
Non U.S Government Securities & Agencies
135087E59	CA135087E596		CANADA GOVERNMENT	0.75	9/1/2020	2,300,000	$	1,827,178
038461AC3	US038461AC32		AID-EGYPT	4.45	9/15/2015	25,000,000	25,177,000
12591DAA9	US12591DAA90	BLY1SL2	CNOOC NEXEN FINANCE 2014 ULC	1.63	4/30/2017	3,500,000	3,501,007
135087A46	CA135087A461	B87DNX1	CANADA GOVERNMENT	1.50	9/1/2017	2,100,000	1,719,579
135087A87	CA135087A875	B84XPW7	CANADA GOVERNMENT	1.25	3/1/2018	1,550,000	1,268,022
135087B29	CA135087B295		CANADA GOVERNMENT	1.00	8/1/2016	1,500,000	1,208,555

Page 3

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
135087B37	CA135087B378	B984NL8	CANADA GOVERNMENT	1.25	9/1/2018	7,500,000	6,155,293
135087B60	CA135087B600	BFRB3S9	CANADA GOVERNMENT	1.50	2/1/2017	8,275,000	6,734,138
135087B86	CA135087B865	BH4H328	CANADA GOVERNMENT	1.75	3/1/2019	1,970,000	1,647,134
135087C69	CA135087C699	BKJBDW6	CANADA GOVERNMENT	1.00	5/1/2016	2,050,000	1,647,833
135087C77	US135087C776		CANADA GOVERNMENT	1.63	2/27/2019	9,800,000	9,894,766
135087C85	CA135087C855	BLRLRD4	CANADA GOVERNMENT	1.75	9/1/2019	3,000,000	2,508,422
135087D27	CA135087D275	BN8SX52	CANADA GOVERNMENT	1.25	8/1/2017	8,139,000	6,622,615
135087D92	CA135087D929	BRJG7P1	CANADA GOVERNMENT	1.50	3/1/2020	720,000	594,772
135087YL2	CA135087YL25	B28XMW0	CANADA GOVERNMENT	4.25	6/1/2018	2,600,000	2,309,834
135087ZQ0	CA135087ZQ03		CANADA GOVERNMENT	2.75	9/1/2016	1,000,000	822,212
135087ZV9	CA135087ZV97	B73X5J8	CANADA GOVERNMENT	1.50	3/1/2017	4,500,000	3,667,512
268317AB0	US268317AB08	B3L9B47	ELECTRICITE DE FRANCE SA	6.50	1/26/2019	1,025,000	1,178,216
268317AG9	US268317AG94	BJ38YM3	ELECTRICITE DE FRANCE SA	1.15	1/20/2017	2,295,000	2,295,399
268317AJ3	US268317AJ34	BJ38YL2	ELECTRICITE DE FRANCE SA	2.15	1/22/2019	5,200,000	5,230,499
302154BJ7	US302154BJ77	BDWZ0T2	EXPORT-IMPORT BANK OF KOREA	1.13	9/17/2016	1,400,000	1,405,201
427028AA3	US427028AA35		CANADA GOVERNMENT	0.88	2/14/2017	2,900,000	2,910,875
500769BM5	US500769BM52	B0YBXZ4	KREDITANSTALT FUER WIEDERAUFBA	4.38	2/9/2016	900,000	736,011
82937WAA3	US82937WAA36		SINOPEC GROUP OVERSEAS DEVELOP	1.75	4/10/2017	1,265,000	1,265,631
85771PAW2	US85771PAW23		STATOILHYDRO ASA	2.25	11/8/2019	3,560,000	3,577,872
B0A0EAGF0	SG5856905947	6685036	GOVERNMENT OF SINGAPORE	4.00	9/1/2018	29,750,000	23,906,053
	SG7E38927087	B1WG4B1	HOUSING AND DEVELOPMENT BOARD	3.20	10/12/2015	2,750,000	2,054,443
	HK0000034345	B14W9R8	AIRPORT AUTHORITY HONG KONG	5.10	4/13/2016	31,000,000	4,135,879
	SG7I45931144	B1VRRP0	HOUSING AND DEVELOPMENT BOARD	4.00	7/14/2016	2,500,000	1,909,877
	DE0001135390	B59K696	GERMANY (FEDERAL REPUBLIC OF)	3.25	1/4/2020	2,325,000	2,965,777
	XF0000AN0Z41		HONG KONG MORTGAGE CORP LTD	2.00	1/11/2016	11,000,000	1,431,076
		B68GWG1	CHINA DEVELOPMENT BANK CORP (H	2.70	1/25/2016	12,000,000	1,565,616
	SG6V27982549	B427XN0	SINGAPORE LABOUR FOUNDATION	1.30	6/8/2017	2,000,000	1,470,776
	HK0000114725	B7K30B8	HONG KONG SPECIAL ADMIN REGION	0.44	6/19/2017	30,000,000	3,875,886
	HK0000117736	B8GF4J1	URBAN RENEWAL AUTHORITY	1.50	7/13/2017	30,000,000	3,908,601
	SG6W24985072	B8S1743	HOUSING AND DEVELOPMENT BOARD	1.11	8/30/2017	5,500,000	4,039,324
	HK0000123585	B8DV469	HONG KONG SPECIAL ADMIN REGION	0.25	9/18/2017	40,000,000	5,138,696
	SG6X26986705	B8BQYW2	HOUSING AND DEVELOPMENT BOARD	0.76	11/2/2015	5,000,000	3,709,395
	HK0000132073	B96GCS6	HONG KONG SPECIAL ADMIN REGION	0.27	12/18/2017	58,000,000	7,438,391
	HK0000135639	B7X5S84	CHINA DEVELOPMENT BANK CORP (H	1.93	1/11/2018	50,000,000	6,467,492
	HK0000153863	BBT32R7	CHINA GLOBAL	2.87	6/27/2016	15,000,000	2,426,049
	HK0000164845	BDFM1W0	AIRPORT AUTHORITY HONG KONG	1.50	9/19/2016	10,000,000	1,301,159
	SG58H2998390	BGH13V9	HOUSING AND DEVELOPMENT BOARD	1.88	11/13/2017	2,500,000	1,863,906

Page 4

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
	AU3TB0000176	BH6XD68	AUSTRALIA COMMONWEALTH OF	3.25	10/21/2018	750,000	598,003
	DE0001141695	BMM1Z98	GERMANY (FEDERAL REPUBLIC OF)	0.50	4/12/2019	6,195,000	7,052,597
	HK0000198439	BMJ6C95	EXPORT-IMPORT BANK OF CHINA	3.00	5/14/2016	5,000,000	802,374
	HK0000203486	BNJZRZ0	HONG KONG SPECIAL ADMIN REGION	1.34	6/24/2019	25,000,000	3,280,211
	HK0000206034	BP7RBX8	HONG KONG SCIENCE AND TECHNOLO	2.12	7/11/2019	9,000,000	1,177,172
	HK0000228996	BTGQJT6	HONG KONG SPECIAL ADMIN REGION	1.32	12/23/2019	10,000,000	1,306,796
	HK0000237567	BVXVR83	HONG KONG MORTGAGE CORP LTD	1.00	2/12/2018	21,500,000	2,753,092
D206588D1	DE0001141646	B8N1Y25	GERMANY (FEDERAL REPUBLIC OF)	0.50	10/13/2017	9,040,000	10,240,476
D20658P26	DE0001135309	B15CBK4	GERMANY (FEDERAL REPUBLIC OF)	4.00	7/4/2016	4,880,000	5,670,828
G9244PAB0	GB00B4YRFP41	B4YRFP4	UNITED KINGDOM GILT	3.75	9/7/2019	2,960,000	5,123,970
G92450UG1	GB00B058DQ55	B058DQ5	UNITED KINGDOM GILT	4.75	3/7/2020	2,600,000	4,714,640
G92450YY8	GB00B0V3WX43	B0V3WX4	UNITED KINGDOM GILT	4.00	9/7/2016	1,300,000	2,128,948
G92451GE0	GB00B3Z3K594	B3Z3K59	UNITED KINGDOM GILT	1.75	1/22/2017	6,045,000	9,680,949
G9T44MEB4	GB00B7F9S958	B7F9S95	UNITED KINGDOM GILT	1.00	9/7/2017	2,720,000	4,302,127
G9T44MFU1	GB00B8KP6M44	B8KP6M4	UNITED KINGDOM GILT	1.25	7/22/2018	5,855,000	9,274,457
G9T44MHH8	GB00BDV0F150	BDV0F15	UNITED KINGDOM GILT	1.75	7/22/2019	2,980,000	4,769,600
H7351MFG3	CH0006448424	5259733	SWITZERLAND (CONFEDERATION OF)	4.25	6/5/2017	1,850,000	2,181,676
P14486AG2	XS0540451407	B67VDM0	BNDES-BRAZIL S DEVELOPMENT BAN	4.13	9/15/2017	2,500,000	2,895,806
Q08198AF2	AU3TB0000184	BPCWWY6	AUSTRALIA COMMONWEALTH OF	2.75	10/21/2019	2,525,000	1,982,984
Q0819ACS7	AU300TB01208	B01GVV4	AUSTRALIA COMMONWEALTH OF	6.00	2/15/2017	23,150,000	18,932,559
Q0819AEU0	AU3TB0000077	B46ZSG8	AUSTRALIA COMMONWEALTH OF	4.75	6/15/2016	1,330,000	1,049,358
Q0819AFF2	AU3TB0000093	B4L1GW3	AUSTRALIA COMMONWEALTH OF	5.50	1/21/2018	2,420,000	2,020,233
Q0819AFU9	AU3TB0000127	B6T0T05	AUSTRALIA COMMONWEALTH OF	4.25	7/21/2017	1,275,000	1,023,779
Q2694KDZ4	AU300TB01224	B0WRQ00	AUSTRALIA COMMONWEALTH OF	5.25	3/15/2019	1,425,000	1,217,069
V81778CX4	SG3259987679	B9DL6Q0	GOVERNMENT OF SINGAPORE	0.50	4/1/2018	20,000,000	14,585,964
Y13726SE8	HK0000086618		CHINA GLOBAL	1.40	8/18/2016	17,000,000	2,706,510
Y1R573BE6	HK0000106358	B7RB532	CHINA DEVELOPMENT BANK CORP (H	2.95	3/20/2017	3,000,000	395,767
Y23862GW2	HK0000198447	BMJ51T5	EXPORT-IMPORT BANK OF CHINA	3.65	5/14/2019	5,000,000	805,782
Y2836BAG9	HK0000194412	BLNML73	HONG KONG SPECIAL ADMIN REGION	1.02	4/10/2017	230,000,000	30,041,470
Y31714AH4	SG6Z13989819	B94WR36	HOUSING AND DEVELOPMENT BOARD	1.23	1/30/2018	3,000,000	2,196,138
Y322AUAG8	HK0000142569	B9MT0M9	HONG KONG SPECIAL ADMIN REGION	0.53	3/19/2018	40,000,000	5,152,627
Y322AUAJ2	HK0000152626	BBHX5B4	HONG KONG SPECIAL ADMIN REGION	0.79	6/18/2018	45,000,000	5,827,760
Y322AUAL7	HK0000164167	BF5T114	HONG KONG SPECIAL ADMIN REGION	1.52	9/25/2018	40,000,000	5,291,420
Y322AUAP8	HK0000176450	BHBX0H3	HONG KONG SPECIAL ADMIN REGION	1.17	12/19/2018	50,000,000	6,536,559
Y322AUAX1	HK0000223781	BSQXN21	HONG KONG SPECIAL ADMIN REGION	0.37	11/21/2016	5,000,000	646,561

Page 5

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
Y3502J8P6	HK4167038529	B1ZBGT5	HONG KONG SPECIAL ADMIN REGION	4.85	6/27/2017	20,000,000	2,808,624
Y3502KB87	HK0000191137	BKX3ZK0	HONG KONG SPECIAL ADMIN REGION	1.35	3/25/2019	40,000,000	5,259,173
Y3502KBU8	HK4172041799	B29VS92	HONG KONG SPECIAL ADMIN REGION	3.52	12/5/2017	35,000,000	4,843,761
Y3502KEU5	HK0000047131	B3B9CP5	HONG KONG SPECIAL ADMIN REGION	3.56	6/25/2018	50,000,000	7,001,245
Y3502KGZ2	HK0000050598	B3KJ0P2	HONG KONG SPECIAL ADMIN REGION	1.61	12/10/2018	73,000,000	9,684,620
Y3502KRY3	HK0000068566	B3WSFC9	HONG KONG SPECIAL ADMIN REGION	1.18	9/21/2015	10,000,000	1,293,239
Y3R02PFU9	HK0000232816	BVB2PT5	HONG KONG MORTGAGE CORP LTD	1.45	1/12/2018	8,500,000	1,102,465
Y4900EBG9	SG7Z53967468	B645Y66	HOUSING AND DEVELOPMENT BOARD	2.02	2/22/2016	7,000,000	5,227,724
Y4900EBJ3	SG6P70971280	B4NWVK7	HOUSING AND DEVELOPMENT BOARD	1.69	6/8/2016	2,500,000	1,862,607
Y5193PAB9	SG3201892316	6350862	LTA	4.17	5/10/2016	1,000,000	760,928
Y5325PAB0	HK0000116381	B7X4VR1	CHINA GLOBAL	2.56	6/29/2017	5,000,000	804,412
Y5325PAL8	HK0000171899	BGQYMW3	CHINA GLOBAL	2.60	11/22/2016	3,000,000	484,098
Y603A0AA0	HK0000072998	B4MWW50	CHINA GLOBAL	1.80	12/1/2015	15,000,000	2,405,260
Y7996CAJ6	SG7S29941612	B4YN9R2	GOVERNMENT OF SINGAPORE	2.50	6/1/2019	2,000,000	1,536,576
Y7996FRX0	SG7U33949433	B596MT6	GOVERNMENT OF SINGAPORE	2.38	4/1/2017	7,000,000	5,330,709
Y7996FUC2	SG7Y75964288	B50W420	GOVERNMENT OF SINGAPORE	1.13	4/1/2016	1,000,000	743,892
Y7996FVX5	SG5081889064	6404286	GOVERNMENT OF SINGAPORE	3.75	9/1/2016	8,500,000	6,520,980
						1,342,174,000	$	411,550,547
State & Municipal
03588HHJ8	US03588HHJ86		ANNE ARUNDEL CNTY MD	5.00	4/1/2025	5,385,000	$	6,533,297
05914FXR6	US05914FXR62		BALTIMORE CNTY MD	5.00	8/1/2025	7,595,000	9,288,533
100853SH4	US100853SH49		BOSTON MASS	5.00	3/1/2023	5,000,000	6,050,500
116475K45	US116475K456		BROWNSVILLE TEX UTIL SYS REV	5.00	9/1/2022	2,250,000	2,622,375
13062PHG0	US13062PHG00		CALIFORNIA STATE OF	5.25	2/1/2023	3,000,000	3,640,860
13063BFV9	US13063BFV99		CALIFORNIA ST	7.95	3/1/2020	1,000,000	1,210,260
15504RFG9	US15504RFG92		CENTRAL PUGET SOUND REGIONAL T	5.00	11/1/2022	2,500,000	2,931,975
158843WM0	US158843WM05		CHANDLER ARIZ	4.00	7/1/2022	2,000,000	2,260,220
2354166L3	US2354166L36		DALLAS TEX	5.00	10/1/2025	10,430,000	12,724,913
249002CX2	US249002CX26		DENTON TEX INDPT SCH DIST	5.00	2/15/2025	5,320,000	6,242,488
25476FQG6	US25476FQG62		DISTRICT OF COLUMBIA	5.00	6/1/2025	3,500,000	4,169,235
25476FQH4	US25476FQH46		DISTRICT OF COLUMBIA	5.00	6/1/2025	5,000,000	5,915,950
271014YV8	US271014YV89		EAST BAY CALIF MUN UTIL DIST	5.00	6/1/2025	4,160,000	4,987,341
280659TQ6	US280659TQ68		EDINA & MORNINGSIDE MINN INDPT	5.00	2/1/2025	7,015,000	8,478,189
29270CWX9	US29270CWX90		ENERGY NORTHWEST	5.00	7/1/2021	2,500,000	2,927,700
29270CXR1	US29270CXR14		ENERGY NORTHWEST	5.00	7/1/2021	2,000,000	2,353,940
33840MCT1	US33840MCT18		FLAGLER CNTY FLA SCH BRD	5.00	8/1/2023	860,000	995,768
346593GF7	US346593GF72		FORSYTH CNTY GA	5.00	3/1/2025	1,000,000	1,212,590
3531726B0	US3531726B09		FRANKLIN CNTY OHIO HOSP REV	5.00	12/1/2025	2,025,000	2,427,975
373384Z82			GEORGIA ST	5.00	2/1/2025	5,000,000	6,057,100

Page 6

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
4140185D9	US4140185D91		HARRIS CNTY TEX FLOOD CTL DIST	5.00	10/1/2024	3,930,000	4,631,112
419791S58	US419791S586		HAWAII ST- REF-EF	5.00	11/1/2022	5,000,000	5,954,650
4386702D2	US4386702D29		HONOLULU HAWAII CITY & CNTY	5.00	10/1/2025	2,000,000	2,356,500
438670W23	US438670W235		HONOLULU HAWAII CITY & CNTY	5.00	10/1/2025	3,000,000	3,534,750
438670Y54	US438670Y546		HONOLULU HAWAII CITY & CNTY	5.00	10/1/2025	2,500,000	3,011,250
447025UA3	US447025UA32		HUNTSVILLE ALA	5.00	5/1/2025	2,985,000	3,609,940
45201YZG5	US45201YZG50		ILLINOIS HSG DEV AUTH	2.75	8/1/2020	1,115,000	1,128,269
452152UZ2	US452152UZ20		ILLINOIS STATE OF	4.00	2/1/2023	1,750,000	1,773,958
45528ULS8	US45528ULS86		INDIANAPOLIS IND LOC PUB IMPT	5.00	1/1/2022	1,500,000	1,716,030
5168234T5	US5168234T52		LAREDO TEX	5.00	2/15/2021	1,365,000	1,589,529
54438CUU4	US54438CUU43		LOS ANGELES CALIF CMNTY COLLEG	5.00	6/1/2026	2,790,000	3,425,562
54589TEJ7	US54589TEJ79		LOUDOUN CNTY VA	4.00	12/1/2024	2,730,000	3,019,790
57582NH99	US57582NH999		MASSACHUSETTS ST	5.50	12/1/2023	3,610,000	4,535,676
57582P7C8	US57582P7C80		MASSACHUSETTS ST	5.00	8/1/2025	4,065,000	4,966,658
576000MH3	US576000MH30		MASSACHUSETTS ST SCH BLDG AUTH	5.00	8/15/2022	5,000,000	5,945,750
576000MS9	US576000MS94		MASSACHUSETTS ST SCH BLDG AUTH	5.00	8/15/2021	2,000,000	2,365,500
5816462R6	US5816462R69		MCKINNEY TEX	5.00	8/15/2024	2,000,000	2,410,180
59333PH50	US59333PH503		MIAMI DADE CNTY FLA	5.00	10/1/2022	1,500,000	1,725,000
59447PKS9	US59447PKS91		MICHIGAN STATE FINANCE AUTHORI	5.00	10/1/2021	2,000,000	2,370,980
6133404G0	US6133404G05		MONTGOMERY CNTY MD	5.00	11/1/2024	5,000,000	5,965,200
6461394W2	US6461394W28		NJ ST TPK AUTH TPK REV	5.00	7/1/2024	2,000,000	2,308,420
64966B3L5	US64966B3L55		NEW YORK N Y	0.98	1/15/2016	5,250,000	5,253,045
64966KYW7	US64966KYW79		NEW YORK NY	5.00	8/1/2023	3,885,000	4,633,057
64971M5E8	US64971M5E83		NEW YORK NY CITY TRANSITIONAL	4.08	11/1/2020	2,500,000	2,674,825
64971Q8R7	US64971Q8R78		NEW YORK NY CITY TRANSITIONAL	5.00	11/1/2021	3,000,000	3,553,890
64971WMV9	US64971WMV99		NEW YORK NY CITY TRANSITIONAL	5.00	8/1/2024	2,000,000	2,328,260
64986A6T3	US64986A6T39		NEW YORK ST ENVIRONMENTAL FACS	5.00	6/15/2025	3,000,000	3,580,800
6499026P3	US6499026P31		NEW YORK ST DORM AUTH	4.00	8/15/2021	4,490,000	5,005,991
64990ABC8	US64990ABC80		NEW YORK ST DORM AUTH	5.00	3/15/2023	5,120,000	6,175,488
64990EDE4	US64990EDE41		NEW YORK ST DORM AUTH	5.00	12/15/2022	3,000,000	3,588,930
678908ZU1	US678908ZU19		OKLAHOMA DEV FIN AUTH	2.38	12/1/2021	1,000,000	1,006,170
679110EF9	US679110EF98		OKLAHOMA ST STUDENT LN AUTH	0.69	5/5/2020	588,945	588,962
68607DSH9	US68607DSH97		OREGON ST DEPT TRANSN	5.00	11/15/2024	5,000,000	5,860,850
686507GA6	US686507GA63		ORLANDO FLA UTILS COMMN WTR &E	5.00	10/1/2024	4,500,000	5,473,800
74514LA80	US74514LA800		PUERTO RICO COMWLTH	4.50	7/1/2025	1,100,000	670,978
74514LBM8	US74514LBM81		PUERTO RICO COMWLTH	5.13	7/1/2031	1,090,000	667,614
74514LC47	US74514LC475		PUERTO RICO COMWLTH	5.00	7/1/2020	1,285,000	873,813
74514LC54	US74514LC541		PUERTO RICO COMWLTH	5.00	7/1/2021	1,820,000	1,219,418
74514LE86	US74514LE869		PUERTO RICO COMWLTH	8.00	7/1/2035	5,810,000	3,936,333
74514LHK6	US74514LHK61		PUERTO RICO COMWLTH	5.00	7/1/2024	810,000	510,292
74514LLW5	US74514LLW53		PUERTO RICO COMWLTH	5.00	7/1/2019	585,000	406,347
74514LMA2	US74514LMA25		PUERTO RICO COMWLTH	5.00	7/1/2023	715,000	457,600

Page 7

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
74514LMB0	US74514LMB08		PUERTO RICO COMWLTH	5.00	7/1/2024	815,000	513,442
74514LQA8	US74514LQA88		PUERTO RICO COMWLTH	5.25	7/1/2027	3,860,000	2,393,123
74514LTQ0	US74514LTQ04		PUERTO RICO COMWLTH	5.00	7/1/2021	975,000	653,260
74514LWS2	US74514LWS23		PUERTO RICO COMWLTH	6.50	7/1/2040	2,325,000	1,438,571
74514LWZ6	US74514LWZ65		PUERTO RICO COMWLTH	6.00	7/1/2035	655,000	402,832
74514LYW1	US74514LYW17	BFWV577	PUERTO RICO COMWLTH	5.75	7/1/2041	1,760,000	1,062,565
74514LZH3	US74514LZH31		PUERTO RICO COMWLTH	5.00	7/1/2019	965,000	670,299
745185BF4	US745185BF41		PUERTO RICO COMWLTH HWY & TRAN	5.55	7/1/2018	3,290,000	2,666,874
745185BG2	US745185BG24		PUERTO RICO COMWLTH HWY & TRAN	5.65	7/1/2020	14,345,000	11,308,594
745185BP2	US745185BP23		PUERTO RICO COMWLTH HWY & TRAN	5.85	3/1/2027	8,020,000	5,742,160
745185BQ0	US745185BQ06		PUERTO RICO COMWLTH HWY & TRAN	5.85	7/1/2025	3,225,000	2,330,998
74526QXH0	US74526QXH00	BQRX1Q6	PUERTO RICO ELEC PWR AUTH	5.25	7/1/2019	860,000	482,426
74526QXT4	US74526QXT48		PUERTO RICO ELEC PWR AUTH	6.13	7/1/2040	7,980,000	4,289,888
74526QZR6	US74526QZR63		PUERTO RICO ELEC PWR AUTH PWR	5.95	6/30/2030	715,000	381,588
74526QZL9	US74526QZL93		PUERTO RICO ELEC PWR AUTH	5.00	7/1/2020	2,000,000	1,121,520
74526QZS4	US74526QZS47		PUERTO RICO ELEC PWR AUTH	6.05	7/1/2032	3,610,000	1,924,347
74527BTW4	US74527BTW45		PUERTO RICO INDL TOURIST EDL M	7.25	4/1/2041	8,855,000	5,441,220
74527BUA0	US74527BUA06		PUERTO RICO INDL TOURIST EDL M	7.10	4/1/2038	1,720,000	1,059,709
759136RD8	US759136RD87		REGIONAL TRANSN DIST COLO	5.00	11/1/2022	3,165,000	3,779,960
785870UM6	US785870UM60		SACRAMENTO CALIF CITY UNI SCH	5.00	7/1/2023	1,750,000	2,083,060
794665FJ3	US794665FJ32		NY ST STAR	4.00	10/15/2022	2,000,000	2,275,860
796269VQ8	US796269VQ87		SAN ANTONIO TEX INDPT SCH DIST	5.00	2/15/2025	5,000,000	5,951,950
815626MK9	US815626MK98		SEDGWICK CNTY KANS UNI SCH DIS	5.00	10/1/2021	1,500,000	1,766,355
875124DV8	US875124DV89		TAMPA BAY WTR FLA	5.00	10/1/2025	3,450,000	4,133,307
876443LJ9	US876443LJ95		TARRANT REGL WTR DIST TEX	5.00	3/1/2025	5,000,000	5,954,900
88283LJY3	US88283LJY39		TEXAS TRANSN COMMN ST HWY FD	5.00	10/1/2026	5,000,000	6,098,800
898735SQ9	US898735SQ90		TUCSON ARIZ CTFS PARTN	4.00	7/1/2024	2,750,000	3,017,905
914119VD1	US914119VD18		UNIVERSITY CINCINNATI OHIO	5.00	6/1/2022	1,535,000	1,818,392
91412GSB2	US91412GSB22		UNIVERSITY CALIFORNIA	1.80	7/1/2019	7,000,000	6,912,430
917567AQ2	US917567AQ26		UTAH TRAN AUTH SALES TAX REV	5.00	6/15/2025	1,750,000	2,091,408
917567AS8	US917567AS81		UTAH TRAN AUTH SALES TAX REV	5.00	6/15/2025	4,250,000	5,013,088
92778VAS7	US92778VAS79		VIRGINIA COLLEGE BLDG AUTH VA	5.00	2/1/2025	5,000,000	5,949,500
928172J63	US928172J632		VIRGINIA ST PUB BLDG AUTH	5.00	8/1/2025	5,000,000	6,028,600
92817LRP0	US92817LRP03		VIRGINIA ST RES AUTH CLEAN WTR	5.00	10/1/2025	10,675,000	12,765,592
93974C8C7	US93974C8C74		WASHINGTON STATE	5.00	7/1/2023	5,000,000	5,965,550
93974DLV8	US93974DLV81		WASHINGTON STATE	5.00	1/1/2025	3,000,000	3,490,200
						330,728,945	$	348,822,649

Page 8

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
Agency MBS
01F030678	US01F0306781		FNMA	3.00	10/18/2032	250,000	$	248,945
02R030673	US02R0306735		FHLMC	3.00	10/8/2032	150,000	149,051
02R032679			FHLMC	3.50	2/17/2033	200,000	205,641
31283HVE2			FHLMC	6.00	11/30/2025	5,308	6,101
31283HWZ4	US31283HWZ45		FHLMC	6.00	2/5/2026	3,748	4,307
31283K4C9	US31283K4C98		FHLMC	5.00	2/11/2018	1,895,986	1,996,919
31288HRU6	US31288HRU67		FHLMC	6.00	1/14/2026	6,873	7,982
3128GNW87			FHLMC	5.00	3/19/2016	46	46
3128GNY77			FHLMC	5.00	3/18/2016	1,292	1,349
3128GP3U5			FHLMC	5.00	4/19/2016	208	212
3128GP3V3			FHLMC	5.00	4/19/2016	983	1,026
3128GP4U4			FHLMC	5.00	4/20/2016	1,196	1,212
3128GPSA2			FHLMC	5.00	4/4/2016	505	508
3128GQ3Q2			FHLMC	5.00	5/5/2016	488	500
3128GQ6E6			FHLMC	5.00	5/4/2016	451	472
3128GQGA3			FHLMC	5.00	4/19/2016	620	647
3128GQJT9			FHLMC	5.00	4/19/2016	914	924
3128GQK26			FHLMC	5.00	4/19/2016	765	801
3128GQKB6			FHLMC	5.00	4/19/2016	283	285
3128GQP54			FHLMC	5.00	4/19/2016	1,558	1,584
3128GQQQ7			FHLMC	5.00	5/5/2016	890	903
3128GQQZ7			FHLMC	5.00	5/5/2016	965	1,011
3128GQSG7			FHLMC	5.00	5/5/2016	386	388
3128GQU58			FHLMC	5.00	5/5/2016	564	591
3128GQVB4			FHLMC	5.00	5/5/2016	409	418
3128GQW49			FHLMC	5.00	5/5/2016	1,558	1,632
3128GR3Y3			FHLMC	5.00	5/5/2016	1,788	1,873
3128GR6N4			FHLMC	5.00	6/6/2016	1,167	1,223
3128GRBH1			FHLMC	5.00	5/5/2016	215	216
3128GRFT1			FHLMC	5.00	5/20/2016	1,280	1,341
3128GRJD2			FHLMC	5.00	5/20/2016	290	304
3128GRLA5			FHLMC	5.00	5/20/2016	2,016	2,111
3128GRM71			FHLMC	5.00	5/20/2016	332	334
3128GRQA0			FHLMC	5.00	5/20/2016	958	979
3128GRSP5			FHLMC	5.00	5/20/2016	331	334
3128GRSY6			FHLMC	5.00	5/20/2016	682	714
3128GRUF4			FHLMC	5.00	5/20/2016	351	353
3128GRUT4			FHLMC	5.00	5/20/2016	1,803	1,856
3128GRWQ8			FHLMC	5.00	5/5/2016	139	139
3128GS5Y9			FHLMC	5.00	6/6/2016	696	702
3128GSDJ3			FHLMC	5.00	6/6/2016	1,840	1,927
3128GSGB7			FHLMC	5.00	6/6/2016	1,252	1,311
3128GSGU5			FHLMC	5.00	6/6/2016	2,347	2,458
3128GSKE6			FHLMC	5.00	6/6/2016	1,108	1,161
3128GSKV8			FHLMC	5.00	6/6/2016	1,650	1,679
3128GSLX3			FHLMC	5.00	6/6/2016	113	114
3128GSLY1			FHLMC	5.00	6/6/2016	1,022	1,070
3128GSNL7			FHLMC	5.00	6/6/2016	641	646
3128GSQN0			FHLMC	5.00	6/6/2016	1,778	1,834
3128GSSN8			FHLMC	5.00	6/6/2016	3,207	3,359
3128GV2N9			FHLMC	5.00	9/9/2016	5,106	5,347

Page 9

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3128GV3C2			FHLMC	5.00	9/9/2016	2,075	2,174
3128GV3D0			FHLMC	5.00	9/9/2016	3,600	3,771
3128GV3Z1			FHLMC	5.00	9/9/2016	4,227	4,427
3128GV7G9			FHLMC	5.00	9/9/2016	1,015	1,030
3128GVBY5			FHLMC	5.00	8/8/2016	263	276
3128GVH94			FHLMC	5.00	8/23/2016	469	472
3128GVJA9			FHLMC	5.00	8/23/2016	1,367	1,432
3128GVJB7			FHLMC	5.00	8/24/2016	1,092	1,133
3128GVJQ4			FHLMC	5.00	8/24/2016	1,203	1,260
3128GVLF5			FHLMC	5.00	8/23/2016	672	680
3128GVLH1			FHLMC	5.00	8/23/2016	1,238	1,297
3128GVLJ7			FHLMC	5.00	8/24/2016	2,925	3,063
3128GVMM9			FHLMC	5.00	8/8/2016	397	399
3128GVNL0			FHLMC	5.00	8/24/2016	914	928
3128GVNM8			FHLMC	5.00	8/24/2016	1,266	1,326
3128GVNN6			FHLMC	5.00	8/24/2016	1,726	1,874
3128GVNX4			FHLMC	5.00	8/23/2016	12,117	12,691
3128GVPM6			FHLMC	5.00	8/24/2016	1,103	1,155
3128GVPN4			FHLMC	5.00	8/24/2016	849	861
3128GVPP9			FHLMC	5.00	8/24/2016	2,014	2,109
3128GVQH6			FHLMC	5.00	8/24/2016	3,815	3,996
3128GVRA0			FHLMC	5.00	8/24/2016	280	282
3128GVRC6			FHLMC	5.00	8/24/2016	1,056	1,106
3128GVRE2			FHLMC	5.00	8/23/2016	1,636	1,660
3128GVRS1			FHLMC	5.00	8/24/2016	666	674
3128GVRT9			FHLMC	5.00	8/24/2016	1,815	1,901
3128GVRY8			FHLMC	5.00	8/24/2016	8,748	9,163
3128GVT83			FHLMC	5.00	8/24/2016	2,687	2,814
3128GVTN0			FHLMC	5.00	8/24/2016	1,326	1,341
3128GVTW0			FHLMC	5.00	8/24/2016	1,991	2,085
3128GVUD0			FHLMC	5.00	8/24/2016	155	157
3128GVUE8			FHLMC	5.00	8/24/2016	1,425	1,493
3128GVUX6			FHLMC	5.00	9/9/2016	1,070	1,084
3128GVVE7			FHLMC	5.00	9/9/2016	4,770	4,996
3128GVVF4			FHLMC	5.00	9/9/2016	1,891	1,980
3128GVVJ6			FHLMC	5.00	9/9/2016	4,501	4,714
3128GVVY3			FHLMC	5.00	9/9/2016	1,949	2,041
3128GVW22			FHLMC	5.00	8/24/2016	677	709
3128GVW89			FHLMC	5.00	9/9/2016	1,164	1,183
3128GVZV5			FHLMC	5.00	9/9/2016	2,338	2,449
3128GW5Q7			FHLMC	5.00	9/25/2016	2,557	2,675
3128GW6G8			FHLMC	5.00	9/24/2016	1,370	1,435
3128GWAQ1			FHLMC	5.00	9/9/2016	373	376
3128GWAT5			FHLMC	5.00	9/9/2016	3,395	3,556
3128GWAU2			FHLMC	5.00	9/9/2016	3,831	4,013
3128GWB49			FHLMC	5.00	9/9/2016	277	290
3128GWB80			FHLMC	5.00	9/9/2016	2,896	3,033
3128GWBH0			FHLMC	5.00	9/9/2016	2,670	2,797
3128GWC89			FHLMC	5.00	9/9/2016	1,390	1,456
3128GWCL0			FHLMC	5.00	9/10/2016	2,657	2,782
3128GWCW6			FHLMC	5.00	9/9/2016	1,299	1,361
3128GWDP0			FHLMC	5.00	9/10/2016	1,521	1,593

Page 10

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3128GWEG9			FHLMC	5.00	9/10/2016	6,832	7,155
3128GWEK0			FHLMC	5.00	9/9/2016	2,170	2,264
3128GWEP9			FHLMC	5.00	9/9/2016	583	602
3128GWF86			FHLMC	5.00	9/9/2016	1,788	1,873
3128GWFN3			FHLMC	5.00	9/10/2016	1,329	1,380
3128GWHH4			FHLMC	5.00	9/9/2016	1,013	1,061
3128GWJG4			FHLMC	5.00	9/25/2016	3,893	4,077
3128GWK31			FHLMC	5.00	9/9/2016	1,601	1,676
3128GWK56			FHLMC	5.00	9/25/2016	2,978	3,119
3128GWMS4			FHLMC	5.00	9/25/2016	1,282	1,339
3128GWP85			FHLMC	5.00	9/24/2016	1,354	1,402
3128GWQ27			FHLMC	5.00	9/25/2016	3,311	3,468
3128GWQ92			FHLMC	5.00	9/25/2016	2,325	2,435
3128GWQN1			FHLMC	5.00	9/24/2016	1,583	1,658
3128GWQY7			FHLMC	5.00	9/25/2016	764	776
3128GWR42			FHLMC	5.00	9/25/2016	2,628	2,753
3128GWV21			FHLMC	5.00	9/24/2016	2,896	3,033
3128GWVL9			FHLMC	5.00	9/24/2016	424	445
3128GWWM6			FHLMC	5.00	9/24/2016	276	289
3128GWXD5			FHLMC	5.00	9/24/2016	1,586	1,652
3128GWYS1			FHLMC	5.00	9/25/2016	206	215
3128GWZQ4			FHLMC	5.00	9/24/2016	1,882	1,971
3128GXAX4			FHLMC	5.00	9/25/2016	6,130	6,421
3128GXBC9			FHLMC	5.00	9/25/2016	1,004	1,020
3128GXEA0	US3128GXEA08		FHLMC	5.00	10/10/2016	1,749	1,832
3128GXEK8			FHLMC	5.00	10/10/2016	933	977
3128GXFT8			FHLMC	5.00	10/10/2016	3,293	3,449
3128GXHA7			FHLMC	5.00	10/11/2016	2,887	3,023
3128GXHQ2			FHLMC	5.00	10/10/2016	4,007	4,197
3128GXN36			FHLMC	5.00	10/10/2016	3,562	3,731
3128GY2H6			FHLMC	5.00	11/12/2016	3,158	3,309
3128GYF66			FHLMC	5.00	10/26/2016	745	751
3128GYG73			FHLMC	5.00	10/25/2016	3,595	3,767
3128GYKK9			FHLMC	5.00	10/26/2016	232	243
3128GYNT7			FHLMC	5.00	11/11/2016	560	564
3128GYQC1			FHLMC	5.00	11/12/2016	2,571	2,694
3128GYTW4			FHLMC	5.00	11/11/2016	540	544
3128GYU44			FHLMC	5.00	11/11/2016	2,183	2,288
3128GYU51			FHLMC	5.00	11/12/2016	2,436	2,553
3128GYV35			FHLMC	5.00	11/12/2016	4,542	4,760
3128GYVB7			FHLMC	5.50	11/13/2016	19,941	20,596
3128GYVZ4			FHLMC	5.00	11/11/2016	2,933	3,074
3128GYZE7			FHLMC	5.00	11/11/2016	1,719	1,801
3128H22V4			FHLMC	5.00	12/13/2016	1,574	1,649
3128H25K5			FHLMC	5.00	12/13/2016	842	849
3128H26M0			FHLMC	5.50	11/28/2016	152,355	157,358
3128H26W8			FHLMC	5.50	11/12/2016	87,735	90,616
3128H27K3			FHLMC	5.00	12/13/2016	499	503
3128H2B69			FHLMC	5.00	11/11/2016	4,398	4,609
3128H2B77			FHLMC	5.00	11/12/2016	4,803	5,033
3128H2B85			FHLMC	5.00	11/12/2016	3,316	3,475
3128H2C84			FHLMC	5.00	11/12/2016	253	255

Page 11

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3128H2E41			FHLMC	5.00	11/28/2016	3,529	3,697
3128H2ED1			FHLMC	5.00	11/11/2016	6,362	6,666
3128H2EG4			FHLMC	5.00	11/12/2016	4,518	4,734
3128H2LV3			FHLMC	5.00	11/11/2016	3,240	3,395
3128H2LY7			FHLMC	5.00	11/28/2016	1,870	1,959
3128H2QV8			FHLMC	5.00	11/27/2016	4,910	5,145
3128H2T86			FHLMC	5.00	11/27/2016	77	81
3128H2TF0			FHLMC	5.00	11/27/2016	4,186	4,386
3128H2TJ2			FHLMC	5.00	11/27/2016	342	343
3128H2TW3			FHLMC	5.00	11/28/2016	3,772	3,953
3128H2VW0			FHLMC	5.00	11/27/2016	5,610	5,878
3128H2YM9			FHLMC	5.00	11/28/2016	684	694
3128H2YN7			FHLMC	5.00	11/27/2016	1,380	1,448
3128H2YS6			FHLMC	5.00	11/28/2016	1,163	1,181
3128H2ZJ5			FHLMC	5.00	11/27/2016	1,733	1,814
3128H2ZT3			FHLMC	5.00	12/13/2016	1,203	1,255
3128H2ZU0			FHLMC	5.00	12/13/2016	3,658	3,833
3128H32W0			FHLMC	5.00	12/13/2016	2,369	2,482
3128H3C25			FHLMC	5.00	12/13/2016	608	613
3128H3CD1			FHLMC	5.00	12/13/2016	1,504	1,576
3128H3FG1			FHLMC	5.00	12/14/2016	2,395	2,510
3128H3MN8			FHLMC	5.00	12/14/2016	4,425	4,637
3128H3N72			FHLMC	5.00	12/13/2016	1,383	1,454
3128H3RY9			FHLMC	5.00	12/28/2016	4,052	4,246
3128H3S36			FHLMC	5.00	12/14/2016	2,612	2,737
3128H3SZ5			FHLMC	5.00	12/29/2016	3,223	3,377
3128H3V65			FHLMC	5.00	12/29/2016	1,112	1,127
3128H3WF4			FHLMC	5.00	12/14/2016	2,430	2,547
3128H3XU0			FHLMC	5.00	12/29/2016	2,530	2,660
3128H45V7			FHLMC	5.00	1/16/2017	3,224	3,379
3128H4J59			FHLMC	5.00	1/15/2017	2,113	2,214
3128H4JG5			FHLMC	5.00	12/29/2016	2,645	2,776
3128H4JT7			FHLMC	5.00	1/15/2017	5,694	5,966
3128H5JX5			FHLMC	5.00	2/1/2017	4,676	4,900
3128H5RP3			FHLMC	5.00	2/1/2017	2,783	2,940
3128H5TK2			FHLMC	5.00	2/1/2017	6,508	6,819
3128H6BG8			FHLMC	5.00	2/1/2017	5,443	5,703
3128H6CZ5			FHLMC	5.00	1/30/2017	4,009	4,201
3128H6FR0			FHLMC	5.00	2/16/2017	3,668	3,843
3128H6FU3			FHLMC	5.00	2/16/2017	1,884	1,990
3128H6WU4			FHLMC	5.50	2/18/2017	73,763	77,339
3128H6XM1			FHLMC	5.00	2/16/2017	1,270	1,331
3128H6ZC1			FHLMC	5.50	2/2/2017	24,123	25,292
3128H77K2			FHLMC	5.50	3/22/2017	78,908	82,733
3128JLDM8	US3128JLDM89		FHLMC	2.28	5/2/2025	99,363	105,517
3128JLEY1	US3128JLEY19		FHLMC	2.28	5/2/2025	172,534	184,236
3128JLHB8	US3128JLHB88		FHLMC	2.25	4/29/2025	29,083	30,426
3128JMW45	US3128JMW456		FHLMC	2.40	1/15/2026	51,290	54,484
3128JMY68	US3128JMY684		FHLMC	2.49	1/25/2026	60,908	65,988
3128JMZG5	US3128JMZG56		FHLMC	2.42	1/17/2026	85,226	89,126
3128JNAL9	US3128JNAL99		FHLMC	2.49	3/17/2026	109,892	117,375
3128JRP26	US3128JRP269		FHLMC	2.31	6/27/2025	1,119,256	1,196,972

Page 12

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par		Fair Value
3128K17K1			FHLMC	5.00	10/10/2027	297,443		327,713
3128KA4Z1	US3128KA4Z14		FHLMC	6.00	4/10/2028	26,311		30,009
3128KALC3			FHLMC	6.00	4/16/2028	1,641		1,859
3128KE5H2			FHLMC	6.50	9/13/2028	109,889		126,469
3128KLSB4			FHLMC	5.00	7/12/2028	212,726		233,689
3128KU3J4	US3128KU3J47		FHLMC	6.00	2/8/2029	99,555		112,982
3128KULK1	US3128KULK12		FHLMC	6.00	2/6/2029	1,216		1,378
3128KWH30			FHLMC	6.00	4/3/2029	12,279		13,911
3128KWMW0			FHLMC	6.00	5/6/2029	111,506		126,651
3128L0SP8	US3128L0SP82		FHLMC	6.00	5/6/2029	2,986		3,392
3128L0SR4			FHLMC	6.00	5/13/2029	151,330		172,108
3128L1WN6			FHLMC	5.50	4/28/2029	107,954		120,624
3128L1WP1	US3128L1WP10		FHLMC	6.00	6/21/2029	19,728		22,351
3128LAFP0			FHLMC	6.00	7/14/2029	49,060		55,592
3128LXUJ7			FHLMC	6.00	8/30/2028	74,986		84,968
3128M4GD9			FHLMC	6.00	10/14/2028	25,061		28,398
3128M4XA6	US3128M4XA60		FHLMC	5.50	12/2/2028	845,928		947,079
3128M4YR8			FHLMC	6.00	2/22/2029	68,005		77,046
3128M5GA2			FHLMC	6.00	4/5/2029	54,679		61,949
3128M5NP1			FHLMC	6.00	5/28/2029	1,297		1,469
3128M5RA0	US3128M5RA00		FHLMC	6.00	6/29/2029	7,097		8,040
3128M6JM1			FHLMC	5.00	6/20/2029	6,176,636		6,785,878
3128M6SA7			FHLMC	6.00	12/23/2029	87,862	��	99,559
3128M6SN9	US3128M6SN94		FHLMC	5.00	3/21/2028	856,303		943,448
3128M7MQ6			FHLMC	6.00	11/21/2026	363,482		417,749
3128M7NR3	US3128M7NR37		FHLMC	5.00	2/8/2030	709,638		779,562
3128M7PN0			FHLMC	5.00	3/9/2030	434,820		482,804
3128M7QZ2			FHLMC	5.00	11/15/2029	643,549		709,043
3128M7SY3	US3128M7SY33		FHLMC	6.00	2/22/2029	5,236,918		6,014,507
3128M7YU4	US3128M7YU47		FHLMC	6.00	12/29/2026	10,077,219		11,626,686
3128M8AV6	US3128M8AV68		FHLMC	5.50	8/17/2030	350,509		391,706
3128M8CY8			FHLMC	5.00	1/8/2031	1,160,609		1,275,088
3128M8GV0	US3128M8GV05		FHLMC	6.00	2/7/2028	3,050,222		3,503,125
3128M8TX2			FHLMC	6.00	6/17/2029	675,316		765,219
3128M9CM2	US3128M9CM25		FHLMC	4.00	6/12/2020	622,675		659,674
3128M9RG9	US3128M9RG91		FHLMC	4.00	7/19/2031	348,858		370,340
3128M9TQ5	US3128M9TQ55		FHLMC	3.50	2/25/2032	12,411,738		12,779,291
3128MCUW3			FHLMC	4.00	2/23/2021	2,523,428		2,664,784
3128MJH94			FHLMC	5.00	3/11/2029	482,558		530,156
3128MJU32			FHLMC	4.00	3/16/2033	2,337,785		2,472,003
3128MJUW8	US3128MJUW85		FHLMC	4.50	7/3/2033	818,974		884,351
3128MJUZ1	US3128MJUZ17		FHLMC	3.50	12/26/2032	9,984,638		10,273,782
3128MJVJ6	US3128MJVJ65		FHLMC	4.00	5/21/2033	679,691		718,713
3128MJVL1	US3128MJVL12		FHLMC	4.00	7/1/2033	1,999,211		2,113,991
3128MJVR8	US3128MJVR81		FHLMC	3.50	4/1/2033	385,234		396,511
3128MMAC7	US3128MMAC70		FHLMC	5.00	8/10/2017	150,785		158,812
3128MMM67	US3128MMM675		FHLMC	3.50	3/29/2021	320,785		338,936
3128MMNX7	US3128MMNX70		FHLMC	3.50	7/30/2021	2,870,945		3,033,388
3128MMST1	US3128MMST14		FHLMC	2.50	3/15/2023	457,968		463,378
3128NCBH6			FHLMC	1.98	1/2/2026	221,639		227,877
3128P7JE4			FHLMC	5.00	8/4/2022	3,369		3,731
3128P7JH7			FHLMC	5.00	8/12/2022	71,700		79,405

Page 13

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3128PR7G8			FHLMC	4.00	12/3/2020	674,686	712,480
3128PRVD8			FHLMC	4.00	11/11/2020	329,472	347,929
3128PRWU9			FHLMC	4.00	11/29/2020	517,014	545,975
3128PRZ85			FHLMC	4.00	11/29/2020	234,540	247,678
3128PSBA4			FHLMC	4.00	12/15/2020	460,472	486,266
3128PUGE6			FHLMC	3.50	3/10/2021	373,226	394,344
3128PUQT2			FHLMC	3.50	4/23/2021	500,829	529,166
3128PURZ7	US3128PURZ71		FHLMC	3.50	4/20/2021	459,291	485,278
3128PUVC3	US3128PUVC31		FHLMC	3.50	4/17/2021	419,602	443,343
3128PUVP4			FHLMC	3.50	4/20/2021	331,726	350,496
3128PUW73			FHLMC	3.50	5/5/2021	596,376	630,120
3128PUXF4			FHLMC	3.50	4/18/2021	346,491	366,096
3128PWV21	US3128PWV215		FHLMC	3.00	7/16/2021	1,339,029	1,386,456
3128PWWS3	US3128PWWS30		FHLMC	3.00	7/6/2021	517,210	535,529
312906J50			FHLMC	8.50	5/14/2017	19,310	20,920
31292G4T0	US31292G4T07		FHLMC	6.00	8/14/2023	3,649	3,952
31292GZM1	US31292GZM13		FHLMC	6.00	6/18/2023	350	379
31292SAD2	US31292SAD27		FHLMC	3.50	6/5/2031	206,386	212,755
31292SCF5	US31292SCF56		FHLMC	4.00	7/12/2033	1,972,397	2,085,637
312931D62			FHLMC	4.00	7/20/2029	85,440	90,310
312931TJ7			FHLMC	5.00	12/6/2029	726,522	798,671
312932CX2			FHLMC	4.50	9/10/2029	249,241	272,159
312935KY4			FHLMC	4.50	12/4/2029	132,977	145,772
312935LV9			FHLMC	4.50	12/17/2029	103,188	113,117
312935MV8			FHLMC	4.50	12/25/2029	977,039	1,072,394
312936U88	US312936U888		FHLMC	5.50	7/10/2030	30,624	34,618
3129385D1	US3129385D10		FHLMC	5.00	5/19/2030	39,862	44,245
31293WH45	US31293WH458		FHLMC	6.00	9/19/2023	9,316	10,087
312942L52			FHLMC	4.50	9/2/2030	612,539	662,278
312943HT3			FHLMC	4.00	8/4/2030	3,454,439	3,677,153
312944BN0			FHLMC	4.00	7/26/2030	1,619,437	1,724,186
3129455Y0			FHLMC	4.50	7/10/2027	135,287	146,288
312945CK2	US312945CK27		FHLMC	4.00	7/22/2030	136,238	145,021
312946JE7			FHLMC	4.50	7/25/2027	408,109	441,294
312946PD2	US312946PD20		FHLMC	4.50	12/22/2030	2,463,123	2,663,407
312946X35			FHLMC	4.50	8/29/2027	1,261,375	1,363,941
31294KDZ5			FHLMC	5.00	2/18/2016	220	230
31294KFJ9			FHLMC	5.00	3/18/2016	198	206
31294KHD0			FHLMC	5.00	5/5/2016	747	782
31294KHL2			FHLMC	5.00	5/20/2016	1,000	1,047
31294KJT3			FHLMC	5.00	6/21/2016	570	585
31294MAK7	US31294MAK71		FHLMC	4.00	12/23/2020	300,334	317,158
312962CQ4			FHLMC	5.00	2/16/2017	801	811
312962CT8			FHLMC	5.00	2/16/2017	81	82
312962KT9			FHLMC	5.00	3/17/2017	3,552	3,758
312962MD2			FHLMC	5.00	4/3/2017	6,107	6,400
312962Q63			FHLMC	5.50	3/20/2017	5,208	5,460
312962UW1			FHLMC	5.50	4/5/2017	253,864	266,171
312963WH0			FHLMC	5.50	4/22/2017	5,443	5,706
3129642B4			FHLMC	5.50	6/9/2017	17,248	18,114
312964KG3			FHLMC	5.00	5/22/2017	549	553
312964WX3			FHLMC	5.50	3/20/2017	99,564	104,391

Page 14

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
312965QA7			FHLMC	5.50	4/5/2017	55,300	57,981
312966WU4			FHLMC	5.50	7/12/2017	579,375	608,449
312968QL7			FHLMC	5.50	4/22/2017	354,752	366,402
31296KN58	US31296KN587		FHLMC	6.00	4/30/2026	32,216	37,416
31296NEK9			FHLMC	5.00	2/14/2026	772,238	852,467
31296SBH8			FHLMC	6.00	7/13/2026	3,913	4,515
31298HM47			FHLMC	6.00	9/15/2024	6,275	7,211
3132FCBT1	US3132FCBT18		FHLMC	5.00	1/28/2028	583,669	647,309
3132GD6M9	US3132GD6M94		FHLMC	4.50	2/7/2031	478,585	517,500
3132GDRC8			FHLMC	4.50	8/27/2027	1,857,109	2,008,115
3132GDS86			FHLMC	4.50	2/17/2031	2,433,964	2,631,877
3132GE6P0			FHLMC	5.00	6/16/2031	246,655	271,669
3132GJR27	US3132GJR278		FHLMC	4.00	3/2/2031	43,708	46,512
3132GLUA0	US3132GLUA06		FHLMC	4.00	5/2/2031	589,906	627,357
3132GRL66	US3132GRL662		FHLMC	3.50	2/22/2031	982,271	1,012,436
3132GRN80	US3132GRN809		FHLMC	4.00	5/12/2031	507,892	537,205
3132GUKK9			FHLMC	3.50	5/15/2031	392,747	404,865
3132GUX90			FHLMC	3.50	6/1/2031	810,273	835,156
3132HM5D9	US3132HM5D95		FHLMC	3.50	8/4/2031	876,665	903,716
3132HQEQ1			FHLMC	3.00	4/20/2031	430,414	428,546
3132HQFE7	US3132HQFE70		FHLMC	4.00	12/4/2031	20,136	21,471
3132J9AW8	US3132J9AW80		FHLMC	4.00	3/16/2032	176,292	187,699
3132J9GA0	US3132J9GA07		FHLMC	4.00	3/28/2032	74,667	79,499
3132J9JD1	US3132J9JD19		FHLMC	3.00	10/10/2031	571,496	568,837
3132J9NB0	US3132J9NB07		FHLMC	4.00	3/20/2032	119,760	127,932
3132J9WS3	US3132J9WS31		FHLMC	4.00	3/27/2032	172,802	184,593
3132JMR92	US3132JMR920		FHLMC	4.00	4/24/2032	96,325	102,558
3132JMVQ9	US3132JMVQ94		FHLMC	4.00	7/21/2032	204,936	218,920
3132JNND5	US3132JNND56		FHLMC	4.00	8/10/2032	117,486	125,503
3132JNNP8	US3132JNNP86		FHLMC	4.00	7/24/2032	84,056	89,496
3132JPJD5	US3132JPJD50		FHLMC	4.00	7/9/2032	287,240	305,827
3132JPJH6	US3132JPJH64		FHLMC	4.00	7/4/2032	195,546	208,890
3132L5R62	US3132L5R624		FHLMC	4.00	8/11/2032	218,487	230,988
3132M6VL1	US3132M6VL10		FHLMC	4.00	2/18/2033	263,642	279,154
31342A6F1	US31342A6F15		FHLMC	2.36	5/10/2025	197,970	211,057
31349UCW6	US31349UCW62		FHLMC	2.23	12/9/2025	94,312	99,185
31349UEJ3	US31349UEJ34		FHLMC	2.38	1/12/2026	167,969	178,920
31349ULB2	US31349ULB25		FHLMC	2.47	3/15/2026	171,365	182,634
31349UMF2	US31349UMF20		FHLMC	2.48	4/4/2026	268,611	286,302
313602YQ1			FANNIE MAE FNMA_89-44	9.00	12/13/2016	13,182	14,122
31368HNW9	US31368HNW96		FNMA	4.00	8/1/2030	870,290	923,955
3136A77K2	US3136A77K21		FNMA	2.80	5/17/2017	1,141,193	1,159,647
31371LMH9	US31371LMH95		FNMA	5.50	4/11/2020	62,534	70,517
31371MEP8	US31371MEP86		FNMA	5.00	7/2/2027	2,618	2,893
31371N4F9			FNMA	6.00	2/22/2023	100,490	114,577
31371NVX0			FNMA	5.00	3/5/2029	586,326	647,027
31374CN36	US31374CN365		FNMA	6.00	11/2/2030	10,079	11,437
3137A83K2	US3137A83K22		FHR_3820D DA	4.00	7/24/2017	13,151,235	13,941,138
3137AEH65	US3137AEH652		FHLMC_3917	0.69	3/5/2019	849,447	853,278
3137AEV77	US3137AEV778		FHLMC	2.70	5/29/2017	8,300,000	8,602,261
3137ANMN2	US3137ANMN26		FHLMC MULTIFAMILY STRUCTURED P	2.22	11/10/2018	500,000	511,415

Page 15

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3137B4PT7	US3137B4PT71		FHLMC_4246	6.50	1/5/2020	4,990,995	5,899,564
3137B4UY0	US3137B4UY02		FHLMC_4248	6.50	2/16/2020	9,379,488	11,078,381
31381QFF8	US31381QFF81		FNMA	3.75	12/13/2016	8,102,184	8,536,882
31385RB58			FNMA	8.50	7/16/2024	481,548	530,598
31385XK48	US31385XK488		FNMA	2.42	3/21/2025	108,115	113,552
31388XVV3			FNMA	1.94	2/21/2025	3,374,171	3,479,883
31389EVA0			FNMA	6.50	4/15/2016	141,697	146,669
31389EVB8			FNMA	6.50	4/15/2016	274,035	283,652
3138A1CT6			FNMA	4.00	10/10/2026	46,917	49,899
3138A1SU6			FNMA	4.00	8/25/2030	166,747	177,118
3138A2CK3	US3138A2CK36		FNMA	4.00	3/2/2021	1,132,527	1,195,838
3138A2DD8			FNMA	4.00	8/11/2030	28,874	30,654
3138A2PD5			FNMA	3.50	3/2/2021	814,616	860,082
3138A2ZZ5	US3138A2ZZ57		FNMA	4.00	2/1/2031	539,942	574,262
3138A3VB0			FNMA	4.00	8/23/2030	2,666,087	2,834,244
3138A3WC7			FNMA	4.00	9/24/2030	144,301	153,199
3138A5D33	US3138A5D332		FNMA	4.50	12/9/2030	3,791,351	4,104,505
3138A5TQ5			FNMA	4.00	9/25/2030	888,197	942,966
3138A5YL0			FNMA	4.50	12/18/2030	218,495	236,502
3138A7HY7			FNMA	3.50	7/1/2030	771,943	797,160
3138A8A48			FNMA	4.00	10/5/2030	530,359	564,070
3138A8N51			FNMA	4.50	1/3/2031	4,256,961	4,608,573
3138AA4M0			FNMA	4.50	1/13/2031	3,313,517	3,614,285
3138ADUG8	US3138ADUG83		FNMA	5.00	5/21/2031	265,523	293,885
3138AET45	US3138AET457		FNMA	4.50	2/12/2031	1,456,291	1,576,576
3138AEZG1			FNMA	4.00	2/8/2031	444,703	472,969
3138AHTD8	US3138AHTD85		FNMA	5.00	6/1/2031	99,831	110,648
3138AJNH1	US3138AJNH10		FNMA	4.50	3/20/2031	1,798,292	1,946,826
3138AJWD0	US3138AJWD05		FNMA	4.50	4/8/2031	784,210	848,984
3138AKEK1	US3138AKEK13		FNMA	4.50	4/18/2031	4,845,040	5,245,226
3138ANZG1	US3138ANZG11		FNMA	4.50	5/6/2031	136,457	147,728
3138AS4N9			FNMA	4.50	6/14/2031	1,744,965	1,889,094
3138AT4B3	US3138AT4B38		FNMA	4.00	8/8/2031	600,810	639,120
3138AUP84	US3138AUP840		FNMA	4.50	7/14/2031	33,327	36,079
3138E04T3	US3138E04T32		FNMA	3.50	3/12/2031	325,360	335,620
3138E0Q93	US3138E0Q935		FNMA	3.50	1/28/2031	1,335,770	1,383,491
3138E2GH2			FNMA	4.00	5/1/2031	490,986	522,194
3138E4EB3			FNMA	2.50	10/2/2021	651,807	660,754
3138E4F89			FNMA	4.00	5/19/2031	53,465	56,874
3138E4UV1			FNMA	4.00	4/22/2031	3,448,368	3,667,553
3138E7JB1			FNMA	2.50	10/16/2021	692,049	701,548
3138E7TW4			FNMA	3.00	9/27/2021	1,438,131	1,490,296
3138ECTY9			FNMA	2.50	10/7/2021	493,958	500,739
3138ECYM9			FNMA	2.50	10/5/2021	511,745	518,770
3138ECYV9			FNMA	2.50	10/20/2021	701,859	711,494
3138EGH72	US3138EGH723		FNMA	4.00	4/25/2021	465,792	491,831
3138EGHX5	US3138EGHX58		FNMA	4.00	11/17/2030	4,871,360	5,193,421
3138EGTA2			FNMA	5.00	2/24/2029	252,544	279,610
3138EJCC0	US3138EJCC06		FNMA	4.00	3/6/2031	1,470,247	1,563,699
3138EJEW4	US3138EJEW42		FNMA	4.00	5/18/2031	512,797	546,700
3138EJRB6			FNMA	3.50	9/19/2031	4,467,865	4,608,761
3138EJRP5	US3138EJRP53		FNMA	4.38	9/13/2018	5,912,529	6,486,196

Page 16

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3138EKNF8	US3138EKNF80		FNMA	3.00	8/5/2031	335,410	336,760
3138EKQ40	US3138EKQ403		FNMA	2.50	4/4/2022	374,619	379,448
3138EKW35	US3138EKW351		FNMA	6.00	9/15/2031	5,216,178	5,919,281
3138EKZS7	US3138EKZS73		FNMA	5.00	8/20/2031	151,176	166,877
3138ELPP2	US3138ELPP28		FNMA	4.50	10/20/2031	1,297,307	1,404,460
3138ELU35	US3138ELU353		FNMA	3.20	10/18/2031	3,770,452	3,903,928
3138ELX65	US3138ELX654		FNMA	4.50	8/18/2031	1,191,162	1,289,331
3138ENL23	US3138ENL234		FNMA	3.50	5/8/2023	684,303	721,919
3138LQES9	US3138LQES99		FNMA	4.00	7/1/2031	505,903	538,161
3138LSR85	US3138LSR854		FNMA	3.00	6/9/2031	97,680	98,073
3138LUZP3			FNMA	2.50	11/4/2021	912,100	924,356
3138LVEU3			FNMA	4.00	10/13/2031	642,322	680,712
3138LVH89	US3138LVH891		FNMA	3.00	6/7/2031	91,255	91,622
3138LXT41	US3138LXT413		FNMA	3.00	4/11/2031	47,909	48,102
3138M13D8	US3138M13D88		FNMA	3.50	8/21/2031	3,130,863	3,227,565
3138M13G1			FNMA	3.50	9/13/2031	4,972,593	5,126,180
3138M7GY5	US3138M7GY51		FNMA	3.00	4/27/2031	112,456	112,908
3138M7W27	US3138M7W276		FNMA	3.00	4/4/2031	124,883	125,231
3138M93L3	US3138M93L32		FNMA	3.00	4/11/2031	66,363	66,630
3138MBAT3	US3138MBAT31		FNMA	3.00	6/27/2031	51,577	51,785
3138MC2V5	US3138MC2V52		FNMA	3.00	5/22/2031	108,757	109,195
3138MCFB5	US3138MCFB50		FNMA	3.00	5/17/2031	120,875	121,362
3138MCT46	US3138MCT464		FNMA	3.00	7/10/2031	54,951	55,104
3138MDWE8	US3138MDWE89		FNMA	3.00	4/28/2031	57,672	57,904
3138MFNJ2	US3138MFNJ26		FNMA	3.00	5/5/2031	85,264	85,608
3138MFPE1	US3138MFPE11		FNMA	2.50	1/25/2022	578,888	586,335
3138MFSR9	US3138MFSR96		FNMA	3.50	9/22/2031	1,352,973	1,394,762
3138MFW37	US3138MFW370		FNMA	3.00	8/10/2031	138,197	138,754
3138MFW52	US3138MFW529		FNMA	3.00	7/16/2031	77,687	78,000
3138MGMC6	US3138MGMC64		FNMA	3.00	6/27/2031	165,960	166,422
3138MHKF9	US3138MHKF96		FNMA	3.50	9/24/2031	43,100	44,431
3138MHKP7	US3138MHKP78		FNMA	3.00	6/27/2031	59,150	59,388
3138MHKQ5	US3138MHKQ51		FNMA	3.00	6/21/2031	115,209	115,530
3138MHXJ7	US3138MHXJ71		FNMA	3.00	7/29/2031	52,162	52,372
3138MJ6T1	US3138MJ6T16		FNMA	3.00	6/9/2031	99,962	100,365
3138MJGD5	US3138MJGD50		FNMA	3.00	6/16/2031	129,680	130,202
3138MJQU6	US3138MJQU65		FNMA	3.00	5/7/2031	133,550	134,088
3138MJXK0	US3138MJXK01		FNMA	3.00	8/4/2031	1,184,585	1,183,752
3138MK4P8	US3138MK4P85		FNMA	3.50	9/12/2031	9,616,816	9,920,087
3138MKB70	US3138MKB705		FNMA	3.00	6/23/2031	89,357	89,717
3138MKQH2	US3138MKQH28		FNMA	3.00	9/15/2031	290,086	290,894
3138ML5B6	US3138ML5B62		FNMA	3.00	8/9/2031	274,396	275,501
3138MLE67	US3138MLE673		FNMA	3.00	5/25/2031	398,250	399,853
3138MLMY7	US3138MLMY79		FNMA	3.00	6/19/2031	50,485	50,688
3138MLTC8	US3138MLTC86		FNMA	3.00	8/7/2031	212,591	213,447
3138MMAB8	US3138MMAB87		FNMA	3.00	8/25/2031	265,122	266,189
3138MMCE0	US3138MMCE09		FNMA	3.00	6/2/2031	58,159	58,393
3138MMJ37	US3138MMJ373		FNMA	3.00	6/12/2031	92,838	93,211
3138MMKP6	US3138MMKP63		FNMA	3.00	7/7/2031	45,199	45,381
3138MMNW8	US3138MMNW87		FNMA	3.00	5/27/2031	218,502	219,382
3138MMY63	US3138MMY638		FNMA	3.00	4/20/2031	145,722	146,309
3138MN5G1	US3138MN5G14		FNMA	3.00	7/2/2031	264,487	265,223

Page 17

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3138MNAT7	US3138MNAT78		FNMA	3.00	6/16/2031	70,542	70,826
3138MNJQ4	US3138MNJQ49		FNMA	3.00	6/27/2031	65,845	66,111
3138MNQL7	US3138MNQL78		FNMA	3.00	6/12/2031	509,509	510,929
3138MNQP8	US3138MNQP82		FNMA	3.00	6/14/2031	401,011	402,626
3138MP2W4	US3138MP2W46		FNMA	3.00	7/11/2031	52,125	52,270
3138MPBU8	US3138MPBU80		FNMA	3.00	6/16/2031	114,607	115,069
3138MPDQ5	US3138MPDQ50		FNMA	3.00	7/21/2031	203,421	204,240
3138MPZC2	US3138MPZC27		FNMA	3.00	6/2/2031	336,192	337,546
3138MQHG1	US3138MQHG16		FNMA	3.00	6/21/2031	113,193	113,649
3138MQJZ7	US3138MQJZ78		FNMA	3.00	8/19/2031	182,891	183,627
3138MQM91	US3138MQM915		FNMA	3.00	9/3/2031	289,063	290,227
3138MQTN3	US3138MQTN39		FNMA	3.00	6/16/2031	205,642	206,470
3138MQWF6	US3138MQWF67		FNMA	3.00	5/1/2031	46,110	46,295
3138MR5R8	US3138MR5R87		FNMA	3.00	8/3/2031	57,675	57,835
3138MRD24	US3138MRD243		FNMA	3.00	6/14/2031	54,452	54,671
3138MRRX1	US3138MRRX12		FNMA	3.00	6/12/2031	183,239	183,977
3138MRTR2	US3138MRTR26		FNMA	3.00	5/28/2031	61,481	61,729
3138MRUJ8	US3138MRUJ80		FNMA	3.00	6/12/2031	202,261	203,075
3138MRXV8	US3138MRXV81		FNMA	3.00	7/15/2031	119,428	119,761
3138MTD79	US3138MTD793		FNMA	4.50	10/22/2031	392,553	429,262
3138NJAE8	US3138NJAE88		FNMA	3.62	6/3/2018	2,030,635	2,157,488
3138NJAK4	US3138NJAK49		FNMA	3.42	4/28/2018	2,863,084	3,025,822
3138NWVM8	US3138NWVM86		FNMA	3.00	6/30/2031	40,657	40,771
3138NXFU6	US3138NXFU69		FNMA	3.00	7/24/2031	390,038	391,125
3138NXRK5	US3138NXRK59		FNMA	3.00	7/5/2031	103,989	104,279
3138NYDM4	US3138NYDM45		FNMA	3.00	7/15/2031	74,276	74,483
3138NYEN1	US3138NYEN19		FNMA	3.50	12/7/2031	235,838	243,122
3138NYHT5	US3138NYHT51		FNMA	3.00	6/28/2031	87,311	87,662
3138NYQP3	US3138NYQP39		FNMA	3.00	7/24/2031	65,871	66,055
3138W02A6	US3138W02A66		FNMA	3.00	7/13/2031	70,404	70,600
3138W02X6	US3138W02X69		FNMA	3.00	5/26/2031	97,599	97,870
3138W0G60	US3138W0G603		FNMA	3.00	7/3/2031	126,648	127,001
3138W0XW4	US3138W0XW41		FNMA	3.00	6/12/2031	284,719	285,865
3138W0YR4	US3138W0YR47		FNMA	3.00	7/12/2031	56,300	56,527
3138W17M3	US3138W17M32		FNMA	3.00	9/7/2031	171,938	172,417
3138W1LY1	US3138W1LY18		FNMA	3.00	7/24/2031	81,347	81,574
3138W3W90	US3138W3W901		FNMA	3.00	10/12/2031	320,014	320,906
3138W4AP6	US3138W4AP68		FNMA	3.00	11/25/2031	136,537	136,917
3138W7WP5	US3138W7WP51		FNMA	3.00	9/12/2031	161,610	162,061
3138W9AS9	US3138W9AS94		FNMA	3.00	11/7/2031	183,719	183,476
3138W9RL6	US3138W9RL68		FNMA	2.50	7/30/2022	2,077,824	2,103,828
3138WA6A0	US3138WA6A07		FNMA	4.00	11/14/2032	1,537,300	1,638,763
3138WAPT8			FNMA	4.50	12/26/2032	743,389	789,670
3138WASF5	US3138WASF51		FNMA	3.00	11/5/2022	279,816	289,969
3138WCPB3	US3138WCPB31		FNMA	3.00	3/4/2023	213,490	221,247
3138WCUS0	US3138WCUS01		FNMA	4.00	3/10/2033	545,121	577,488
3138WEJR1	US3138WEJR13		FNMA	3.50	5/28/2033	196,660	202,801
3138WEJU4	US3138WEJU42		FNMA	3.00	2/22/2033	198,365	197,731
3138WN7K9	US3138WN7K98		FNMA	3.00	9/29/2031	89,302	89,551
3138WNDF3	US3138WNDF38		FNMA	3.50	1/26/2032	2,610,951	2,701,899
3138WQM33	US3138WQM336		FNMA	3.00	9/9/2031	46,714	46,844
3138WQNS7	US3138WQNS79		FNMA	3.50	4/21/2032	44,690	46,078

Page 18

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3138WQNW8	US3138WQNW81		FNMA	3.50	1/21/2032	546,959	564,556
3138WQNX6	US3138WQNX64		FNMA	3.50	2/27/2032	173,156	178,580
3138X1ZV1	US3138X1ZV13		FNMA	3.00	12/8/2031	344,716	344,260
3138X3EQ1	US3138X3EQ13		FNMA	3.50	3/10/2032	1,693,748	1,748,522
3138X3XH0	US3138X3XH03		FNMA	3.00	12/22/2031	12,280,885	12,264,641
3138X6WT8	US3138X6WT80		FNMA	2.50	8/17/2022	511,252	517,650
3138X76Z1	US3138X76Z18		FNMA	2.50	8/4/2022	1,309,854	1,326,247
3138XBQN7	US3138XBQN77		FNMA	3.00	10/14/2022	842,194	872,753
3138XBW26	US3138XBW269		FNMA	4.50	2/27/2033	501,474	544,411
3138XBWY6	US3138XBWY68		FNMA	4.00	11/9/2032	679,848	720,370
3138XDJ35	US3138XDJ353		FNMA	3.50	10/29/2022	31,875	33,620
3138XDNY2	US3138XDNY26		FNMA	3.00	10/23/2022	835,687	866,011
3138XUVB5	US3138XUVB55		FNMA	4.00	5/1/2033	10,431,295	11,065,043
3138XVR36	US3138XVR366		FNMA	4.00	5/15/2033	396,155	419,677
3138XYRT3			FNMA	3.00	3/11/2023	1,366,020	1,415,653
3138Y4R92	US3138Y4R923		FNMA	4.00	5/21/2033	1,871,667	1,982,799
3138Y9EN4	US3138Y9EN42		FNMA	3.50	3/22/2033	308,679	318,216
3138YAMD4	US3138YAMD40		FNMA	4.00	6/23/2033	178,002	188,571
31394PP72	US31394PP725		FHLMC_27-55	5.00	2/5/2020	1,636,250	1,817,539
31400QJ87	US31400QJ879		FNMA	2.22	12/24/2024	14,502	15,476
31402QXK2			FNMA	8.50	2/27/2025	258,020	285,560
31402RF87	US31402RF871		FNMA	5.00	5/2/2027	866,954	959,867
31402RRN1	US31402RRN16		FNMA	5.00	8/1/2027	11,116,504	12,284,303
31402RSN0	US31402RSN07		FNMA	5.00	8/2/2027	498,459	550,823
31402YSV7	US31402YSV73		FNMA	2.63	5/16/2025	4,124	4,272
31403DC56	US31403DC561		FNMA	4.50	5/25/2018	595,314	622,166
31403DC72	US31403DC728		FNMA	4.50	5/9/2018	468,314	489,438
31403DPR4			FNMA	5.50	4/2/2028	67,331	75,554
31403KDB6	US31403KDB61		FNMA	2.20	5/25/2025	7,833	8,238
31404MAB4	US31404MAB46		FNMA	5.50	8/6/2026	2,938	3,315
31404NBP0	US31404NBP06		FNMA	2.22	1/26/2026	69,390	74,373
31405NQY4	US31405NQY49		FNMA	6.00	1/23/2027	7,178	8,245
31405QNR5			FNMA	5.50	12/23/2026	356	405
31405UMM8	US31405UMM89		FNMA	2.12	11/7/2025	84,963	91,006
31405UTZ2	US31405UTZ20		FNMA	2.00	11/11/2025	17,423	18,369
31406BB90	US31406BB909		FNMA	2.13	12/29/2025	113,295	120,351
31406BEZ9	US31406BEZ94		FNMA	2.14	12/13/2025	97,355	104,205
31406BJF8	US31406BJF85		FNMA	2.15	1/1/2026	109,052	116,304
31406BQQ6	US31406BQQ67		FNMA	2.18	1/5/2026	138,356	147,970
31406DG67	US31406DG672		FNMA	2.30	12/13/2025	425,780	454,150
31406EDN1			FNMA	5.00	1/20/2027	8,334	9,251
31406HLF2			FNMA	6.00	6/4/2027	64,827	73,726
31406MYP5	US31406MYP57		FNMA	1.98	1/15/2026	198,598	208,080
31406RNA9	US31406RNA94		FNMA	6.00	11/17/2027	2,654	3,018
31406TLC3	US31406TLC35		FNMA	2.44	3/26/2026	211,831	225,658
31406TWR8			FNMA	1.83	11/25/2025	773,795	813,311
31406VHE9	US31406VHE92		FNMA	2.27	3/24/2026	103,774	108,864
31406YZV5	US31406YZV54		FNMA	5.00	6/18/2027	12,559	13,878
31407ADE8	US31407ADE82		FNMA	5.50	2/13/2027	13,738	15,504
31407FUW8			FNMA	2.35	5/25/2026	2,394,660	2,557,932
31407LFM4	US31407LFM46		FNMA	4.50	4/17/2027	8,046	8,714
31407UEZ6	US31407UEZ66		FNMA	6.00	1/21/2028	24,293	27,574

Page 19

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
31407VS22	US31407VS222		FNMA	5.00	7/20/2027	18,559	20,509
31407YXM6	US31407YXM64		FNMA	5.50	7/19/2027	24,122	27,222
31408FYG8	US31408FYG89		FNMA	6.00	1/11/2028	1,294	1,469
31409CRY3	US31409CRY39		FNMA	6.00	1/24/2028	84,128	96,107
31409EJS1			FNMA	5.50	1/24/2028	19,628	22,025
31409GML7			FNMA	6.50	7/9/2028	178,833	205,564
31409JVL1	US31409JVL15		FNMA	6.00	5/3/2028	189,753	215,379
31409WAE1			FNMA	6.00	3/5/2028	182,327	206,921
31410CJV5			FNMA	6.00	3/29/2028	5,834	6,664
31410F3C7	US31410F3C72		FNMA	6.00	11/23/2028	663,391	752,995
31410F5Y7	US31410F5Y74		FNMA	6.00	1/24/2029	241,647	274,243
31410G2W2	US31410G2W28		FNMA	5.00	3/3/2029	54,337	60,045
31410GD83	US31410GD831		FNMA	2.48	10/20/2025	36,032	38,723
31410GDF7	US31410GDF72		FNMA	1.79	2/26/2025	143,555	152,885
31410GDL4	US31410GDL41		FNMA	2.32	4/12/2026	557,241	580,317
31410GDN0			FNMA	2.46	4/30/2025	107,304	114,648
31410GDP5			FNMA	2.51	7/8/2026	1,405,415	1,478,154
31410GDY6	US31410GDY61		FNMA	2.18	3/26/2026	39,332	42,026
31410KDC5	US31410KDC53		FNMA	5.00	5/26/2029	13,080	14,435
31410KEM2	US31410KEM27		FNMA	5.50	7/10/2029	1,210,810	1,358,367
31410KU36			FNMA	5.00	8/11/2029	7,291	8,046
31410KX74			FNMA	5.50	4/27/2028	929,201	1,048,837
31410LBU5	US31410LBU52		FNMA	4.00	1/16/2021	665,289	702,369
31410LC91			FNMA	5.50	7/6/2031	548,893	615,778
31410MJ76	US31410MJ760		FNMA	5.50	9/1/2027	8,636	9,720
31410NT24	US31410NT247		FNMA	6.00	5/15/2028	15,138	17,186
31410RDL0	US31410RDL06		FNMA	6.00	7/4/2028	17,710	20,102
31411A5M3			FNMA	5.50	8/10/2028	3,587,225	4,025,321
31411A7C3			FNMA	5.50	8/17/2028	812,640	911,885
31411EJW8	US31411EJW84		FNMA	5.50	8/11/2028	64,891	72,892
31411VMN6	US31411VMN63		FNMA	5.50	9/11/2028	2,368,505	2,657,147
31412NXE1			FNMA	5.00	12/29/2029	1,007,461	1,131,627
31412PBJ9			FNMA	4.50	3/16/2020	7,203,258	7,637,180
31412PRN3			FNMA	4.00	4/12/2020	1,049,957	1,108,478
31412Q2V0			FNMA	4.50	4/7/2030	1,909,433	2,103,218
31412QE70			FNMA	5.00	3/4/2030	2,336,925	2,617,571
31412QPN3			FNMA	5.50	5/6/2029	224,471	251,826
31412QPQ6	US31412QPQ63		FNMA	6.00	1/25/2028	284,438	323,486
31412RAP2			FNMA	4.00	3/27/2027	8,640	9,154
31412RG76	US31412RG761		FNMA	4.00	10/19/2020	777,005	827,048
31412RGG6	US31412RGG65		FNMA	5.00	8/21/2030	254,303	285,612
31412RNY9			FNMA	4.00	9/5/2030	52,224	55,421
31412S3D5	US31412S3D54		FNMA	5.50	7/30/2029	771,161	865,129
31412TM26			FNMA	5.50	8/9/2029	441,038	495,966
31412URR3	US31412URR31		FNMA	4.00	5/15/2020	1,112,799	1,174,822
31413BTW1	US31413BTW18		FNMA	5.50	11/28/2028	441,843	495,689
31413CLH0			FNMA	6.00	2/1/2029	462,699	527,972
31413HKW7			FNMA	6.00	3/20/2029	2,310	2,621
31413R2P0			FNMA	6.00	6/24/2029	279,911	319,398
31414GGE3	US31414GGE35		FNMA	4.50	1/13/2029	43,441	46,937
31414NCH5			FNMA	6.00	3/17/2030	67,123	76,581
31414NH31			FNMA	5.00	12/26/2029	1,009,063	1,130,243

Page 20

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
31414NH49			FNMA	5.00	12/25/2029	856,419	956,479
31414SL27	US31414SL278		FNMA	5.00	4/27/2029	129,740	143,172
31414SX81	US31414SX810		FNMA	5.50	7/23/2029	86,526	97,069
31414SZC0	US31414SZC06		FNMA	5.50	7/28/2029	136,579	153,108
31415AZ79			FNMA	5.00	5/27/2029	5,180	5,716
31415BCQ0	US31415BCQ05		FNMA	5.50	9/17/2029	73,434	82,604
31415P3Y2			FNMA	5.50	8/20/2026	4,878	5,506
31415SPY2			FNMA	6.00	3/20/2030	9,997	11,344
31415YLZ0			FNMA	4.00	5/16/2020	321,946	339,890
31416BK72			FNMA	5.50	2/1/2038	35,952	40,334
31416BMK1			FNMA	5.00	3/23/2029	131,358	145,157
31416BS90	US31416BS902		FNMA	4.50	7/7/2029	397,749	429,756
31416BTA6	US31416BTA60		FNMA	5.00	11/10/2029	1,714,178	1,891,644
31416BTB4	US31416BTB44		FNMA	5.00	9/15/2027	375,723	415,193
31416HY25			FNMA	5.00	10/26/2029	151,510	167,234
31416JZM6			FNMA	5.00	10/29/2029	765,692	850,635
31416LR57	US31416LR572		FNMA	4.50	9/2/2029	67,678	73,111
31416MTR5			FNMA	5.00	2/4/2030	13,977	15,428
31416MVP6	US31416MVP66		FNMA	4.50	9/22/2029	30,143	33,040
31416N5T5			FNMA	4.50	10/29/2029	106,655	116,904
31416WD66	US31416WD660		FNMA	5.00	9/12/2030	409,708	460,151
31416WT36			FNMA	4.50	8/29/2030	2,816,504	3,048,627
31416Y3T3	US31416Y3T30		FNMA	4.00	3/22/2031	1,322,234	1,409,135
31417ASD2	US31417ASD27		FNMA	4.00	4/6/2031	716,173	761,695
31417CDE2	US31417CDE21		FNMA	3.50	6/15/2031	1,266,801	1,307,709
31417CQQ1	US31417CQQ14		FNMA	3.00	4/8/2031	101,237	101,520
31417CQS7	US31417CQS79		FNMA	3.00	4/11/2031	51,156	51,362
31417CSH9	US31417CSH96		FNMA	3.00	4/7/2031	1,680,281	1,684,963
31417D4F7	US31417D4F78		FNMA	3.00	6/2/2031	727,021	729,046
31417DCK7	US31417DCK72		FNMA	3.00	2/14/2022	794,565	823,386
31417DRG0			FNMA	3.50	9/18/2031	728,457	751,429
31417ECE9	US31417ECE95		FNMA	3.00	6/2/2031	1,405,298	1,409,213
31417ECF6	US31417ECF60		FNMA	3.00	6/1/2031	1,472,142	1,476,244
31417ECT6	US31417ECT64		FNMA	3.00	6/11/2031	197,692	198,488
31417ENK3	US31417ENK37		FNMA	3.00	7/1/2031	292,888	294,067
31417GF35	US31417GF351		FNMA	3.00	10/2/2031	318,809	318,387
31417JSB7	US31417JSB79		FNMA	4.50	12/18/2029	17,821	19,533
31417KUM7			FNMA	4.00	10/15/2029	68,503	72,539
31417KXH5			FNMA	4.50	12/11/2029	2,001,965	2,201,128
31417MH71	US31417MH710		FNMA	4.50	1/4/2030	7,850,764	8,480,957
31417MYL1			FNMA	4.50	2/18/2030	941,209	1,016,761
31417VJS3			FNMA	4.50	3/3/2030	10,287	11,276
31417VQT3			FNMA	4.50	4/20/2030	1,073,701	1,180,517
31417Y3H8	US31417Y3H81		FNMA	4.00	6/22/2021	562,748	594,588
31417YF44			FNMA	4.00	10/20/2029	34,404	36,431
31417YXX0	US31417YXX02		FNMA	4.50	11/20/2030	966,282	1,046,094
31418A7G7	US31418A7G78		FNMA	3.50	12/23/2022	310,335	327,331
31418ALS5	US31418ALS59		FNMA	3.50	9/3/2031	2,248,507	2,319,414
31418AM96	US31418AM960		FNMA	3.50	10/13/2031	1,889,623	1,947,987
31418AQ35	US31418AQ359		FNMA	3.50	12/21/2031	40,281	41,577
31418AR26	US31418AR266		FNMA	3.50	1/20/2032	230,853	238,280
31418BPB6			FNMA	4.00	4/11/2033	1,946,695	2,063,847

Page 21

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
31418MRL8	US31418MRL80		FNMA	5.50	12/28/2028	8,143,818	9,165,514
31418MSR4	US31418MSR42		FNMA	5.50	5/1/2030	161,709	181,414
31418MT93	US31418MT937		FNMA	4.50	4/23/2030	876,245	946,583
31418MUL4	US31418MUL44		FNMA	4.50	3/11/2030	369,629	405,151
31418PCP8			FNMA	5.00	12/10/2030	183,887	203,226
31418QHC0	US31418QHC06		FNMA	4.50	5/12/2030	11,798	12,770
31418RX22	US31418RX227		FNMA	5.00	8/28/2030	1,095,737	1,210,974
31418UYE8			FNMA	4.00	8/13/2029	13,829	14,660
31418VQY1	US31418VQY10		FNMA	4.00	6/18/2030	54,073	57,407
31418W6Y1			FNMA	5.00	11/17/2030	259,374	288,095
31418W7J3			FNMA	5.00	11/20/2030	117,135	127,928
31419ARB5	US31419ARB51		FNMA	5.00	11/12/2030	429,070	474,194
31419ARE9			FNMA	5.50	12/2/2029	37,433	42,245
31419DJY8	US31419DJY85		FNMA	4.00	12/24/2020	1,482,428	1,565,300
31419EK40			FNMA	4.00	8/18/2030	76,144	80,748
31419EU80			FNMA	5.00	11/20/2030	225,131	250,949
31419G2T0			FNMA	4.00	7/21/2030	15,623	16,586
31419H6Y3			FNMA	4.00	7/19/2030	32,922	34,952
31419HBS0	US31419HBS04		FNMA	4.00	7/17/2030	77,383	82,154
31419HRZ7	US31419HRZ72		FNMA	4.00	8/9/2030	510,506	541,986
31419JLP1			FNMA	4.00	7/10/2030	93,814	99,599
31419KR49			FNMA	4.00	7/20/2030	38,111	40,461
31419LZ63			FNMA	4.00	7/30/2030	61,472	65,263
36176MA29	US36176MA290		GNMA	4.00	1/25/2031	269,778	287,685
36176QLG7			GNMA	2.50	12/27/2021	1,357,432	1,386,233
36176R7D8			GNMA	3.50	12/19/2030	640,086	665,984
36176WGG0			GNMA	3.50	1/30/2031	487,798	507,818
36176XCT4			GNMA	3.50	3/10/2031	850,386	885,286
36177R5R8			GNMA	3.50	3/30/2031	1,020,155	1,061,430
36177RXF3			GNMA	3.50	2/20/2031	2,021,869	2,104,847
36177S3E7			GNMA	3.50	3/10/2031	1,515,276	1,577,463
36177X2H0			GNMA	2.50	11/6/2021	1,114,896	1,138,533
36177YR32	US36177YR321		GNMA	2.50	11/23/2021	607,458	620,347
36178QYX4	US36178QYX41		GNMA	3.00	5/6/2031	170,758	172,767
36178TPE0	US36178TPE00		GNMA	4.00	2/9/2032	37,499	39,913
36179MC24	US36179MC241		GNMA	4.00	10/22/2031	360,369	382,504
36179MNG1	US36179MNG14		GNMA	3.00	4/7/2031	343,671	348,508
36179MQP8	US36179MQP85		GNMA	3.50	10/24/2031	693,163	721,535
36179MVQ0	US36179MVQ04		GNMA	2.50	3/15/2031	49,781	48,369
36179N2K3	US36179N2K32		GNMA	4.00	7/28/2032	200,453	212,379
36179NA99	US36179NA995		GNMA	2.50	7/18/2031	345,904	335,614
36179QRY9	US36179QRY97		GNMA	3.50	9/11/2032	262,234	272,263
36179QWE7	US36179QWE78		GNMA	3.50	10/16/2032	234,675	243,649
36179RBX6			GNMA	3.50	1/11/2033	3,131,664	3,254,001
36179RD71	US36179RD719		GNMA	3.50	6/7/2033	20,758,039	21,568,941
36179RF95			GNMA	3.50	6/27/2033	58,800,000	61,096,991
36180MYG6	US36180MYG67		GNMA	3.00	7/13/2031	849,515	859,916
36184SQY9	US36184SQY99		GNMA	3.50	4/15/2033	274,078	284,785
36202FXC5	US36202FXC57		GNMA	4.50	5/11/2031	226,044	245,842
36202FZY5	US36202FZY59		GNMA	4.00	4/8/2031	633,875	675,459
36202FZZ2	US36202FZZ25		GNMA	4.50	7/26/2031	612,996	666,686
36206XC43			GNMA	7.00	1/14/2025	796	889

Page 22

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
3620A9SW2			GNMA	4.50	10/26/2029	271,806	299,091
3620ARBK6	US3620ARBK63		GNMA	5.50	3/10/2029	186,745	210,973
3620C04Y1	US3620C04Y16		GNMA	4.50	8/17/2030	374,026	408,784
3620C1WV4			GNMA	3.50	2/20/2031	2,412,093	2,511,086
36212PPP1			GNMA	7.00	12/24/2024	7,885	8,806
36212U5G2			GNMA	7.00	1/14/2025	7,677	8,574
36213HGU7			GNMA	7.00	12/3/2024	1,457	1,627
36225DM43			GNMA	1.75	1/3/2026	6,735,365	7,015,124
36230PCQ1			GNMA	2.50	9/16/2021	943,494	959,959
36230RVV5			GNMA	3.50	5/10/2030	3,778,260	3,937,981
36241KWJ3			GNMA	6.00	12/22/2029	303,334	343,187
36241KZ68	US36241KZ681		GNMA	5.00	11/11/2029	191,973	213,745
36296QL49			GNMA	5.00	12/2/2029	521,878	581,342
36297FYL0			GNMA	4.50	11/16/2029	54,980	60,499
						540,680,283	$	574,975,805
Non Agency RMBS
00935WAA7	US00935WAA71		AIREM_06-1A	0.50	3/2/2021	1,342,398	$	1,295,415
02148HAW1	US02148HAW16		CWALT_06-31CB	0.69	7/23/2021	1,520,405	1,032,229
02148JAN7	US02148JAN72		CWALT_06-39CB	0.94	5/8/2021	1,223,542	915,580
05948X6X4	US05948X6X45		BANK OF AMERICA MTG SEC	4.75	10/16/2016	765,397	775,202
07384MWF5	US07384MWF57		BSARM_04-10	2.81	11/23/2021	15,772	15,512
12566UAG9	US12566UAG94		CMALT_07-A2	0.74	5/29/2021	2,505,888	1,722,595
12667FFN0	US12667FFN06		CWALT_04-J4	0.77	5/29/2019	5,041,988	4,856,432
12668ACG8	US12668ACG85		CWALT_05-73CB	0.51	5/2/2021	1	—
12668BXF5	US12668BXF56		COUNTRYWIDE ALTERNATIVE LOAN T	0.54	7/22/2021	6,033,324	3,923,941
22541QUJ9	US22541QUJ92		CS FIRST BOSTON MORTGAGE SECUR	3.44	5/2/2021	97,827	95,366
232434AE0	US232434AE09		CWALT_06-OC8	0.44	9/21/2021	17,218,211	10,181,214
23243AAD8	US23243AAD81		COUNTRYWIDE ALTERNATIVE LOAN T	0.40	7/12/2024	4,470,908	3,357,491
23245GAD3	US23245GAD34		CWALT_06-OC9	0.44	10/28/2025	4,569,374	3,027,156
25151AAG6	US25151AAG67		DBALT	0.47	3/7/2023	12,078,151	8,713,359
38741YCA5	US38741YCA55	B1FHC95	GRANITE MASTER ISSUER PLC GRAN	0.27	1/12/2017	963,378	954,970
40431HAJ6	US40431HAJ68		HALO	0.49	7/5/2021	3,727,633	1,280,244
40431KAB6	US40431KAB61	��	HALO_07-WF1	0.29	3/16/2024	3,378,117	1,415,330
466306AA5	US466306AA51		JPALT_08-R2	6.00	2/19/2022	2,637,082	2,338,311
62889EAA3	US62889EAA38		NGN_11-R3	0.58	6/22/2017	878,685	877,235
655378AB3	US655378AB36		NOMURA ASSET ACCEPTANCE CORPOR	6.02	6/30/2015	3,941,660	3,237,305
76110H2P3	US76110H2P35		RES ASSET SEC	2.95	10/17/2021	1,021,990	709,848
863579J90	US863579J908		SARM	2.46	11/5/2021	8,666,146	6,798,739
863579KY3	US863579KY34		SARM	2.53	3/17/2022	1,776,060	1,700,519
86359LQM4	US86359LQM45		STRUCTURED ASSET MORTGAGE INV	2.31	7/12/2023	2,236,149	1,758,040
86361WAA9	US86361WAA99		SAMI_06-AR8	0.39	6/29/2022	6,270,873	4,983,507
86361XAA7	US86361XAA72		SAMI_06-AR8	0.31	5/3/2026	18,339,068	14,533,712
92922F4P0	US92922F4P01		WAMU	0.97	8/30/2022	3,793,966	3,708,332
92922FB49	US92922FB498		WASHINGTON MUTUAL	0.91	3/5/2020	230,855	219,118
92922FZF8	US92922FZF88		WAMU_04-A12	0.58	8/14/2020	4,055,557	3,914,939
	XS0289307398	B1VGHC4	BRUNEL RESIDENTIAL MORTGAGE SE	0.48	3/4/2017	962,738	946,356
						119,763,143	$	89,287,997

Page 23

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
CMBS
05357HAA8	US05357HAA86		AVMT_13-AVM	3.74	12/7/2020	6,200,000	$	6,530,212
055236AA1	US055236AA16		BAMLL_11-07C1	5.38	3/3/2016	4,652,263	4,778,530
059500AD0	US059500AD06		BACM	5.89	10/22/2016	6,934,463	7,142,359
05950VAE0	US05950VAE02		BACM	5.36	5/26/2016	2,400,000	2,457,360
05950WAF5	US05950WAF59		BANC OF AMERICA	5.63	11/26/2015	3,049,756	3,129,416
05950XAJ5	US05950XAJ54	B1HM4Y7	BANC OF AMERICA	5.48	1/6/2018	17,940,000	16,572,075
059511AF2	US059511AF27		BACM_07-2	5.73	5/11/2016	1,198,717	1,266,445
07387BEB5	US07387BEB53		BSCMS	5.41	8/12/2015	1,486,397	1,494,944
07388PAE1	US07388PAE16		BSCMS	5.20	3/13/2016	500,000	521,540
07401DAE1	US07401DAE13		BSCMS_07-PW18	5.60	9/6/2016	9,482,229	10,173,484
12513XAH5	US12513XAH52	B142L61	CITIGROUP/DEUTSCHE BANK COMMER	5.57	3/1/2016	19,550,000	18,730,210
12513YAF7	US12513YAF79		CD_07-CD4	5.32	3/26/2016	2,800,000	2,917,432
12513YAJ9	US12513YAJ91	B1W6604	CD_07-CD4	5.40	2/13/2017	9,136,849	7,661,157
12591KAF2	US12591KAF21		COMM_13-CR12	1.58	7/28/2022	15,164,975	1,194,424
12591QAD4	US12591QAD43		COMM MORTGAGE TRUST COMM_14-UB	4.84	7/10/2024	24,766,000	22,009,643
12591VAF8	US12591VAF85		COMM_14-CR16	1.42	9/3/2022	19,766,737	1,380,884
12591YAG0	US12591YAG08		COMM_14-UBS3	4.97	6/26/2031	980,000	898,548
12591YBC8	US12591YBC84		COMM_14-UBS3	3.82	1/26/2024	200,000	208,422
12592PAJ2	US12592PAJ21		COMM_14-UBS6	4.12	12/10/2024	6,875,000	5,744,406
12593AAX3	US12593AAX37		COMM_15-CR23	2.85	3/10/2020	1,370,000	1,400,428
12593FBJ2			COMM_15-LC21	4.31	6/10/2025	7,350,000	6,231,110
126192AE3	US126192AE39		COMM_12-LC4	4.06	1/25/2022	200,000	212,736
12622DAA2	US12622DAA28		COMM_10-C1	3.16	8/10/2015	3,077,107	3,078,799
12624KAE6	US12624KAE64	B8K7M99	COMM	2.05	7/9/2021	36,070,535	3,327,074
12624XAC2	US12624XAC20		COMM_13-CR6	2.62	8/17/2020	500,000	504,470
12626GAF0	US12626GAF00		COMM_13-LC13	4.21	4/11/2023	400,000	432,000
17310MAE0	US17310MAE03		CITIGROUP	5.43	2/17/2016	2,026,000	2,108,539
17311QBL3	US17311QBL32	B241JD8	CGCMT_07-C6	5.71	7/11/2016	5,226,823	5,584,912
17318UAD6	US17318UAD63		CITIGROUP COMMERCIAL MORTGAGE	3.02	11/12/2020	500,000	505,310
17320DAG3	US17320DAG34		CGCMT_13-GC11	3.09	11/26/2022	8,200,000	8,217,056
17321JAJ3	US17321JAJ34		CGCMT_13-GC15	1.43	9/28/2021	10,460,751	636,422
17321RAD8	US17321RAD89		CITIGROUP COMMERCIAL MORTGAGE	4.13	7/11/2023	250,000	267,870
17322VAT3			CGCMT_14-GC23	3.62	4/10/2024	200,000	205,222
17323CAF4	US17323CAF41		CGCMT 2015-GC27	2.94	5/13/2022	1,940,000	1,942,115
17323CAN7	US17323CAN74		CGCMT_15_GC27	4.43	1/10/2025	11,750,000	10,128,665
190749AE1	US190749AE17		CWCAPITAL COBALT	5.22	2/17/2016	4,091,490	4,255,395
19075CAD5	US19075CAD56		CWCI	5.48	4/20/2016	3,026,854	3,197,720
19075DAF8	US19075DAF87		CWCI_07-C3	5.96	6/30/2016	3,886,084	4,126,750
20047QAE5	US20047QAE52		COMM	5.94	11/26/2015	3,575,625	3,659,866
20173QAE1	US20173QAE17		GCCFC	5.44	4/15/2016	4,034,099	4,241,209
20173QAH4	US20173QAH48	B1W66P9	GREENWICH COMMERCIAL FUNDING C	5.51	2/10/2017	32,560,000	31,624,356
20173WAE8	US20173WAE84		CMLT	6.04	8/4/2016	2,533,408	2,683,589
22545DAD9	US22545DAD93		CREDIT SUISSE MORTGAGE CAPITAL	5.62	11/15/2015	9,715,834	9,922,878
22545LAD1	US22545LAD10		CREDIT SUISSE MORTGAGE CAPITAL	5.31	2/18/2016	2,931,427	3,030,656
22545LAH2	US22545LAH24		CREDIT SUISSE MORTGAGE CAPITAL	5.37	1/1/2017	47,408,252	46,238,169
22545YAE1	US22545YAE14	B1Z4DK4	CSMC_07-C2	5.53	5/15/2017	4,205,254	4,402,690

Page 24

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
22546BAF7	US22546BAF76		CSMC	5.70	6/7/2018	3,212,000	3,408,221
233050AN3	US233050AN33		DBUBS_11-LC1	3.74	7/1/2016	827,646	836,725
3136A56W1	US3136A56W14		FNMA	2.98	11/11/2021	1,700,000	1,752,981
3136A7MJ8	US3136A7MJ85		FNMA_12-M8	1.52	11/14/2016	1,648,292	1,659,314
3136A7MK5	US3136A7MK58		FNMA_12-M8	1.80	1/27/2019	2,100,000	2,110,378
3136A9MN5	US3136A9MN53		FNMA_12-M14	2.30	8/25/2022	200,000	197,235
3136AHAG5	US3136AHAG51		FNMA_13-M14	3.33	9/25/2023	250,000	260,446
3136AHUV0	US3136AHUV09		FNMA	2.32	10/11/2018	750,000	767,594
3136AJ7G5	US3136AJ7G50		FNMA	2.68	2/11/2021	500,000	509,706
3136AJLC8	US3136AJLC84		FNMA	3.50	1/10/2024	350,000	367,288
3137A8PP7	US3137A8PP73		FHLMC	4.19	10/11/2020	750,000	824,475
3137ARPY6	US3137ARPY67		FHMS_19-K710	1.88	3/25/2019	10,700,000	10,795,658
3137ASNJ9	US3137ASNJ91		FHLMC-K019	2.27	12/26/2021	450,000	446,949
3137ATRW4	US3137ATRW40	B7SK5G1	FHLMC	2.37	3/25/2022	5,000,000	4,985,300
3137AUPF0	US3137AUPF08		FHLMC_K021	1.63	11/15/2021	34,151,174	2,846,432
3137B1AZ5	US3137B1AZ57		FHLMC	1.87	8/26/2019	250,000	250,730
3137B2HN3	US3137B2HN38		FHLMC_13-HN	3.11	1/11/2023	16,000,000	16,539,840
3137B3NA2	US3137B3NA26		FREMF MORTGAGE TRUST FREMF_13-	3.25	1/11/2023	550,000	572,715
3137BEVH4	US3137BEVH49		FHLMC	3.24	7/11/2024	200,000	205,532
3137BGK24	US3137BGK246		FHLMC	3.06	5/27/2024	250,000	252,555
3137BHXJ1	US3137BHXJ18		FHMS	3.02	7/19/2020	175,000	176,076
31398VJ80	US31398VJ800		FHLMC	3.40	8/12/2017	900,375	940,374
36159XAF7	US36159XAF78		GECMC_07-C1	5.48	5/26/2016	6,365,823	6,730,075
36192BAA5	US36192BAA52		GSMSCII_12-GC6	2.28	12/1/2020	14,330,965	1,413,807
36192PAJ5	US36192PAJ57	B73R589	GS MORTGAGE SECURITIES CORPORA	2.77	5/11/2022	500,000	496,120
36197XAK0	US36197XAK00		GS MORTGAGE SECURITIES TRUST G	3.14	1/25/2023	250,000	250,965
36198EAE5	US36198EAE59		GSMS_13-GC13	4.04	2/10/2023	600,000	645,384
36250HAS2	US36250HAS22		GSMS_14-GC26	4.51	11/11/2024	9,100,000	7,985,050
36251FAT3	US36251FAT30		GS MORTGAGE SECURITIES TRUST G	2.90	1/1/2021	2,180,000	2,239,710
36252RAT6	US36252RAT68		GSMS_14-GC18	1.44	8/20/2022	24,004,974	1,727,446
396789LL1	US396789LL19		GCCFC	5.22	7/28/2015	1,078,322	1,079,649
46186YAG9	US46186YAG98		IHSFR_15-SFR3	2.93	8/28/2017	1,102,000	1,099,355
46186YAJ3	US46186YAJ38		IHSFR_15-SFR3	3.93	8/28/2017	1,715,000	1,711,056
46625YXT5	US46625YXT53		JPMCC	5.45	10/15/2015	4,000,000	4,055,840
46629GAE8	US46629GAE89		JPMCC	5.55	12/27/2015	7,953,622	8,163,280
46629PAC2	US46629PAC23		JPMCC	5.34	3/30/2016	1,821,252	1,901,514
46629PAD0	US46629PAD06		JPMCC_06-LDP9	5.26	3/30/2016	1,261,635	1,305,148
46629YAH2	US46629YAH27		JP MORGAN CHASE COMMERICAL MOR	5.50	8/27/2022	22,841,932	22,627,309
46630EAC4	US46630EAC49		JPMCC	5.43	2/13/2016	1,271,653	1,321,019
46630JAC3	US46630JAC36		JP MORGAN CHASE COMMERCIAL MOR	5.42	5/20/2016	1,091,548	1,142,054
46630VAL6	US46630VAL62		JP MORGAN CHASE COMMERCIAL MOR	5.88	5/12/2023	41,471,000	38,699,161
46632HAD3	US46632HAD35		JPMCC	5.88	7/7/2016	2,100,000	2,233,035
46639EAB7	US46639EAB74		JPMCC_12-LC9	1.68	2/5/2018	500,000	502,185
46642NBD7	US46642NBD75		JPMBB_14-C22	3.80	4/30/2024	200,000	207,268
46643ABB8	US46643ABB89		JPMBB_14-C23	3.18	9/30/2019	6,000,000	6,259,440
46643GAB6	US46643GAB68		JPMBB_14-C24	2.94	10/17/2018	900,000	928,215
46643GAD2	US46643GAD25		JPMBB_14-C24	3.37	9/1/2024	250,000	252,377

Page 25

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
46643PBB5	US46643PBB58		JPMBB_14-C25	2.95	10/15/2020	5,470,000	5,650,674
46643TAL6	US46643TAL61		JPMBB_14-C26	4.07	10/1/2024	15,361,000	13,118,279
46643TAZ5	US46643TAZ57		JPMBB_14-C26	3.02	11/30/2019	4,320,000	4,472,107
46644AAN2	US46644AAN28		JPMBB_15-C27	3.98	2/17/2025	960,400	796,562
46644FAX9	US46644FAX96		JPMCCMSC_15-C28	3.88	4/1/2025	4,600,000	3,864,170
46644RAX3	US46644RAX35		JPMBB	2.92	5/30/2020	1,070,000	1,098,238
50179MAE1	US50179MAE12		LBUBS	5.37	1/15/2016	350,000	363,097
55312VAD0	US55312VAD01		MLCFC_06-4	5.17	2/15/2016	1,662,326	1,727,572
55312YAH5	US55312YAH53	B1W6767	MERRIL LYNCH COUNTRYWIDE	5.45	2/13/2017	43,696,578	42,604,076
55312YAR3	US55312YAR36		MERRIL LYNCH COUNTRYWIDE	5.45	2/13/2017	10,992,200	10,645,946
55312YBD3	US55312YBD31		MERRIL LYNCH COUNTRYWIDE	0.76	12/23/2016	66,347,884	535,162
60688CAJ5	US60688CAJ53	B2B3CN8	MLCFC_07-9	6.19	10/5/2018	1,060,000	1,032,440
61690FAB9	US61690FAB94		MSBAM_15-C22	4.24	4/15/2025	3,820,000	3,266,635
617458AC8	US617458AC87		MORGAN STANLEY CAPITAL	3.88	11/1/2015	2,407,202	2,426,074
61750CAF4	US61750CAF41		MSC_06-HQ9	5.73	11/13/2015	2,068,829	2,118,501
61750WAX1	US61750WAX11		MSC	5.33	2/2/2016	1,581,165	1,644,681
61753JAG4	US61753JAG40		MSC_07-IQ13	5.44	5/20/2023	6,294,500	6,351,774
61761DAB8	US61761DAB82		MSBAM_12-C6	1.87	1/13/2018	550,000	553,938
61763BAV6	US61763BAV62		MSBAM_13-C13	1.37	10/4/2022	19,170,278	1,330,341
61763UAE2	US61763UAE29		MSBAM_14-C17	4.86	7/15/2024	13,000,000	12,026,729
61763XAT3	US61763XAT37		MSBAM_14-C18	3.39	10/1/2024	18,414,440	15,437,543
61764RAN8	US61764RAN89		MSBAM_15-C20	3.07	1/15/2025	7,520,000	5,901,403
61764RBD9	US61764RBD98		MSBAM_15-C20	3.07	5/19/2022	1,470,000	1,485,082
74332KAJ8	US74332KAJ88		PROG_14-SFR1	4.34	10/23/2016	401,000	404,967
78487LAJ0	US78487LAJ08		SWAY_14-1	4.49	1/23/2017	3,395,000	3,444,194
90269CAD2	US90269CAD20	B5WCV49	UBS-BARCLAYS COMMERCIAL MORTGA	3.53	1/10/2022	350,000	362,646
90349DAJ1	US90349DAJ19		COMMERCIAL MORTGAGE PASS-THROU	2.28	4/27/2021	6,425,371	650,203
92890NAA7	US92890NAA72		WFRBSCMT_12-C10	1.93	11/3/2021	2,304,777	211,585
92890NAU3			WFRBS_12-C10	2.88	7/30/2022	500,000	501,150
92936TAB8	US92936TAB89		WF-RBS COMMERCIAL MORTGAGE TRU	3.43	1/15/2022	250,000	260,485
92937EAD6	US92937EAD67		WF-RBS COMMERCIAL MORTGAGE TRU	3.04	8/15/2022	319,000	322,040
92937FAJ0	US92937FAJ03		WFRBSCMT_13-C12	1.62	10/6/2021	3,023,080	225,739
92939FBA6	US92939FBA66		WFRBS_14-C21	1.19	3/27/2023	19,353,506	1,460,241
92976BDT6	US92976BDT61		WBCMT	5.42	9/1/2015	2,644,611	2,658,733
92978QBX4	US92978QBX43	B7VMSY3	WBCMT_07-C30	0.68	2/5/2017	29,351,118	214,116
92978YAD2	US92978YAD22		WBCMT	5.90	2/28/2017	1,000,000	1,057,360
94988HAC5	US94988HAC51		WFCM_12-LC5	2.92	2/27/2020	325,000	326,956
94988XAC0	US94988XAC02		WFCM_14-LC16	3.94	3/15/2024	2,012,000	1,762,759
94989CAW1			WFCM_15-C26	2.91	12/15/2024	3,900,000	3,780,621
						902,118,407	$	598,755,302
Corporate Debt Securities - Financials
00084DAG5	US00084DAG51	BFY4R45	ABN AMRO BANK NV	2.50	10/30/2018	7,000,000	$	7,102,046
001055AH5	US001055AH52		AFLAC INC	2.65	2/15/2017	250,000	255,445
002799AL8	US002799AL89	BD3ZL43	ABBEY NATIONAL TREASURY SERVIC	3.05	8/23/2018	4,230,000	4,365,355
002799AM6	US002799AM62		ABBEY NATIONAL TREASURY SERVIC	1.38	3/13/2017	2,055,000	2,051,083

Page 26

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
002799AR5	US002799AR59		ABBEY NATIONAL TREASURY SERVIC	1.65	9/29/2017	100,000	99,914
00912XAP9	US00912XAP96		AIR LEASE CORPORATION	2.13	1/15/2018	200,000	198,435
025816AW9	US025816AW94		AMERICAN EXPRESS COMPANY	5.50	9/12/2016	4,000,000	4,211,716
025816BG3	US025816BG36	B9D69T9	AMERICAN EXPRESS COMPANY	1.55	5/22/2018	6,225,000	6,178,775
0258M0DA4	US0258M0DA41		AMERICAN EXPRESS CREDIT CORPOR	2.75	9/15/2015	11,000,000	11,045,101
0258M0DC0	US0258M0DC07		AMERICAN EXPRESS CREDIT CORPOR	2.80	9/19/2016	250,000	255,461
0258M0DK2	US0258M0DK23		AMERICAN EXPRESS CREDIT CORPOR	2.13	3/18/2019	9,000,000	8,992,418
0258M0DP1	US0258M0DP10		AMERICAN EXPRESS CREDIT CORPOR	2.25	8/15/2019	3,300,000	3,293,722
026874CZ8	US026874CZ88	BP4GRJ6	AMERICAN INTERNATIONAL GROUP I	2.30	6/16/2019	100,000	99,891
02687QBC1	US02687QBC15	B1G6W13	AMERICAN INTERNATIONAL GROUP I	5.60	10/18/2016	100,000	105,593
029912BD3	US029912BD34		AMERICAN TOWER CORPORATION	4.50	1/15/2018	75,000	79,342
03761UAG1	US03761UAG13	BW1YYW4	APOLLO INVSTMNT	5.25	3/3/2025	2,250,000	2,202,424
03879QAB0	US03879QAB05		ARC PROPERTIES OPERATING PARTN	2.00	2/6/2017	8,000,000	7,760,240
046265AF1	US046265AF14		ASTORIA FINANCIAL CORPORATION	5.00	5/19/2017	100,000	104,971
05253JAC5	US05253JAC53	B976R57	AUSTRALIA & NEW ZEALAND BANKIN	1.45	5/15/2018	250,000	247,944
05253JAE1	US05253JAE10	BHZFZZ8	AUSTRALIA & NEW ZEALAND BANKIN	1.25	1/10/2017	2,385,000	2,385,408
05253JAG6	US05253JAG67		AUSTRALIA & NEW ZEALAND BANKIN	2.25	6/13/2019	3,700,000	3,696,041
05531FAL7	US05531FAL76		BB&T CORP	1.60	7/15/2017	10,500,000	10,523,361
05531FAS2	US05531FAS20	BT9Z2J1	BB&T CORP	2.45	12/15/2019	2,750,000	2,746,737
05531FAU7	US05531FAU75		BB&T CORP	2.63	5/29/2020	3,000,000	3,009,204
05567LT31	US05567LT315		BNP PARIBAS SA	5.00	1/15/2021	1,500,000	1,665,907
05567LU54	US05567LU545	B3TJ495	BNP PARIBAS SA	3.60	2/23/2016	500,000	508,625
05574LPT9	US05574LPT97	BD02QW0	BNP PARIBAS SA	2.70	8/20/2018	160,000	163,168
05574LTX6	US05574LTX63	BH5GL20	BNP PARIBAS SA	2.40	12/12/2018	9,375,000	9,485,322
05574LXG8	US05574LXG84	BKR3FR3	BNP PARIBAS SA	1.38	3/17/2017	5,045,000	5,031,083
05578BAB2	US05578BAB27	BH4HMP4	BPCE SA	2.50	12/10/2018	4,215,000	4,278,460
05578DAJ1	US05578DAJ19		BPCE SA	0.85	11/18/2016	3,280,000	3,284,658
05967PAE4	US05967PAE43		BANCO SANTANDER CHILE	1.18	4/11/2017	4,500,000	4,455,000
060505DH4	US060505DH44		BANK OF AMERICA CORP	6.00	9/1/2017	10,775,000	11,710,809
06050TLR1	US06050TLR13	BGDRY96	BANK OF AMERICA CORP	1.13	11/14/2016	1,500,000	1,500,329
06051GDX4	US06051GDX43		BANK OF AMERICA CORP	5.65	5/1/2018	2,750,000	3,015,132
06051GDZ9	US06051GDZ90		BANK OF AMERICA CORP	7.63	6/1/2019	2,700,000	3,202,231
06051GEC9	US06051GEC96		BANK OF AMERICA CORP	5.63	7/1/2020	4,500,000	5,067,309
06051GED7	US06051GED79		BANK OF AMERICA CORP	3.70	9/1/2015	6,500,000	6,529,705
06051GET2	US06051GET22	B9BPJ21	BANK OF AMERICA CORP	2.00	1/11/2018	1,405,000	1,408,637
06051GEX3	US06051GEX34		BANK OF AMERICA CORP	2.60	1/15/2019	6,725,000	6,786,682
06051GFD6	US06051GFD60	BL2FPW6	BANK OF AMERICA CORP	2.65	4/1/2019	4,960,000	4,999,083
06051GFH7	US06051GFH74		BANK OF AMERICA CORP	4.20	8/26/2024	2,535,000	2,509,406
06051GFN4	US06051GFN43		BANK OF AMERICA CORP	2.25	4/21/2020	100,000	98,123
06051GFP9	US06051GFP90		BANK OF AMERICA CORP	3.95	4/21/2025	6,000,000	5,779,960
06366QW86	US06366QW868		BANK OF MONTREAL	2.50	1/11/2017	1,505,000	1,535,942
06366RHA6	US06366RHA68	B80R266	BANK OF MONTREAL	1.40	9/11/2017	300,000	299,749

Page 27

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
063679JJ4	US063679JJ40		BANK OF MONTREAL	2.63	1/25/2016	6,000,000	6,077,292
063679ZT4	US063679ZT48		BANK OF MONTREAL	1.95	1/30/2017	2,600,000	2,642,588
06406HCA5	US06406HCA59		BANK OF NEW YORK MELLON	2.40	12/17/2016	2,948,000	2,988,918
06406HCP2	US06406HCP29	BGKK391	BANK OF NEW YORK MELLON CORP/T	2.10	12/15/2018	250,000	250,181
06406HCU1	US06406HCU14		BANK OF NEW YORK MELLON/THE	2.20	5/15/2019	200,000	199,794
06406HCW7	US06406HCW79	BQRB159	BANK OF NEW YORK MELLON CORP/T	2.30	3/11/2019	4,170,000	4,173,497
064159AM8	US064159AM82		BANK OF NOVA SCOTIA	2.55	1/12/2017	250,000	255,338
064159BE5	US064159BE57		BANK OF NOVA SCOTIA	1.38	11/18/2017	150,000	149,770
064159CU8	US064159CU80	BG05073	BANK OF NOVA SCOTIA	2.05	10/30/2018	100,000	100,821
064159EK8	US064159EK80		BANK OF NOVA SCOTIA	1.25	4/11/2017	3,930,000	3,930,767
064159EX0	US064159EX02	BN5H620	BANK OF NOVA SCOTIA	2.05	6/5/2019	4,300,000	4,271,284
06415CAE9	US06415CAE93	B6Z6DZ0	BANK OF NOVA SCOTIA	1.75	3/22/2017	6,000,000	6,082,620
064255AN2	US064255AN27	BDDFC95	BANK OF TOKYO-MITSUBISHI UFJ L	1.55	9/9/2016	3,095,000	3,111,442
064255AW2	US064255AW26	BKJ9BZ9	BANK OF TOKYO MITSUBISHI UFJ L	3.75	3/10/2024	3,625,000	3,704,790
064255BC5	US064255BC52	BQQFH98	BANK OF TOKYO MITSUBISHI UFJ L	2.35	9/8/2019	1,900,000	1,894,079
06739FGF2	US06739FGF27		BARCLAYS BANK PLC	5.00	9/22/2016	100,000	104,620
06739FHT1	US06739FHT12		BARCLAYS BANK PLC	2.50	2/20/2019	11,150,000	11,196,826
07330NAG0	US07330NAG07	BGMTTJ8	BRANCH BKG & TR CO	1.05	12/1/2016	2,645,000	2,638,011
07330NAK1	US07330NAK19		BB&T CORP	1.35	10/1/2017	4,570,000	4,556,008
073902RU4	US073902RU43		BEAR STEARNS COMPANIES LLC/THE	7.25	2/1/2018	4,800,000	5,441,090
09247XAE1	US09247XAE13	B4XM4V9	BLACKROCK INC.	5.00	12/10/2019	200,000	222,689
10112RAQ7	US10112RAQ74	B3N3RQ1	BOSTON PROPERTIES LP	5.88	7/17/2019	100,000	113,954
12505JAA1	US12505JAA16	BGR6PQ3	CBL & ASSOCIATES LP	5.25	9/1/2023	625,000	638,143
12505JAB9	US12505JAB98		CBL & ASSOCIATES LP	4.60	10/15/2024	1,160,000	1,122,916
136069DM0	US136069DM01		CANADIAN IMPERIAL BANK OF COMM	2.60	7/2/2015	10,500,000	10,500,735
136069FA4	US136069FA45	B94FBG6	CANADIAN IMPERIAL BANK OF COMM	1.55	12/23/2017	100,000	99,888
14040HAX3	US14040HAX35		CAPITAL ONE FINANCIAL CORP	3.15	7/15/2016	100,000	102,071
140420NE6	US140420NE62	BG6LCP7	CAPITAL ONE BANK USA NA	2.15	10/21/2018	1,950,000	1,947,158
14042E3V0	US14042E3V09		CAPITAL ONE FINANCIAL CORP	1.50	3/22/2018	100,000	98,563
14042E4A5	US14042E4A52		CAPITAL ONE BANK USA NA	2.40	9/5/2019	5,250,000	5,198,663
14912L6D8	US14912L6D80		CATERPILLAR INC	1.25	8/18/2017	8,530,000	8,532,010
172967ES6	US172967ES69		CITIGROUP INC	6.13	5/15/2018	8,500,000	9,462,489
172967EV9	US172967EV98	B4R2N29	CITIGROUP INC	8.50	5/22/2019	4,000,000	4,879,857
172967FS5	US172967FS50		CITIGROUP INC	3.95	6/15/2016	150,000	154,073
172967HC8	US172967HC80	BF2DHT9	CITIGROUP INC	2.50	9/26/2018	3,890,000	3,935,379
172967HK0	US172967HK07	BKH0M06	CITIGROUP INC	1.35	3/10/2017	3,670,000	3,658,464
172967HL8	US172967HL89	BK1KRN0	CITIGROUP INC	0.82	3/10/2017	400,000	398,900
172967HM6	US172967HM62		CITIGROUP INC	2.55	4/8/2019	200,000	201,227
172967HY0	US172967HY01		CITIGROUP INC	1.55	8/14/2017	150,000	149,568
172967JH5	US172967JH59		CITIGROUP INC	1.80	2/5/2018	3,500,000	3,482,843
20271RAH3	US20271RAH30		COMMONWEALTH BANK AUSTRALIA	2.30	9/6/2019	250,000	249,221
20451PKM7	US20451PKM76	BR23ZR7	COMPASS BANK	1.85	9/29/2017	785,000	783,471

Page 28

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
20451PKN5	US20451PKN59		COMPASS BANK	2.75	9/29/2019	2,300,000	2,283,684
20453KAA3	US20453KAA34		COMPASS BANK	3.88	4/10/2025	725,000	684,817
21685WBL0	US21685WBL00		RABOBANK NEDERLAND, UTRECHT	2.13	10/13/2015	5,000,000	5,021,850
21685WBT3	US21685WBT36	B3N4LW8	RABOBANK NEDERLAND NV	4.50	1/11/2021	2,000,000	2,180,658
21686CAD2	US21686CAD20	B5MKX70	RABOBANK NEDERLAND UTREC	3.38	1/19/2017	2,455,000	2,533,344
21688AAA0	US21688AAA07	BHZLVT2	RABOBANK NEDERLAND NV	2.25	1/14/2019	5,000,000	5,003,644
21688AAD4	US21688AAD46		RABOBANK NEDERLAND NV	2.25	1/14/2020	3,250,000	3,232,152
22532LAJ3	US22532LAJ35	BF7ZP41	CREDIT AGRICOLE SA	2.63	10/3/2018	3,000,000	3,054,526
22532LAL8	US22532LAL80	BLNN671	CREDIT AGRICOLE SA/LONDON	2.50	4/15/2019	3,400,000	3,420,991
22541HCC4	US22541HCC43		CREDIT SUISSE NEW YORK NY	6.00	2/15/2018	200,000	219,017
22546QAD9	US22546QAD97	B5PGKF2	CREDIT SUISSE FIRST BOSTON	5.40	1/14/2020	8,975,000	9,910,779
22546QAN7	US22546QAN79	BMW3FD8	CREDIT SUISSE NEW YORK NY	2.30	5/28/2019	14,300,000	14,258,285
22546QAT4	US22546QAT40	BVRZCD1	CREDIT SUISSE NEW YORK NY	1.75	1/29/2018	5,770,000	5,756,297
22966RAA4	US22966RAA41	B7K4WZ9	CUBESMART	4.80	4/15/2022	4,025,000	4,330,253
22966RAB2	US22966RAB24	BH6Y491	CUBESMART LP	4.38	9/15/2023	1,200,000	1,245,347
23329PAA8	US23329PAA84	B7V06S7	DNB BANK ASA	3.20	4/3/2017	6,425,000	6,609,093
24023LAA4	US24023LAA44	BP4JXY2	DBS GROUP HOLDINGS LTD	2.25	7/16/2019	1,000,000	1,003,067
25152RVR1	US25152RVR10	BJT80S5	DEUTSCHE BK LDN	1.40	2/13/2017	150,000	149,907
25152RWY5	US25152RWY51		DEUTSCHE BK LDN	1.35	5/30/2017	100,000	99,458
25152RYD9	US25152RYD96	BVXC6H8	DEUTSCHE BK LDN	1.88	2/13/2018	150,000	149,354
25215BAA1	US25215BAA17		DEXIA CREDIT LOCAL/NEW YORK	1.25	10/18/2016	11,350,000	11,415,148
25466AAC5	US25466AAC53		DISCOVER BANK	2.00	2/21/2018	3,725,000	3,711,217
25466AAD3	US25466AAD37	BCZM4H9	DISCOVER BANK/GREENWOOD DE	4.20	8/8/2023	4,750,000	4,771,178
26884AAX1	US26884AAX19		ERP OPERATING LIMITED PARTNERS	5.75	6/15/2017	150,000	162,276
29380TAT2	US29380TAT25	B7FG6G9	EPR PROPERTIES	5.75	5/15/2022	3,000,000	3,213,315
31677QAY5	US31677QAY52	BGM1BZ4	FIFTH THIRD BANK	1.15	11/18/2016	1,335,000	1,334,293
31677QAZ2	US31677QAZ28	BG6LNX2	FIFTH THIRD BANK	0.79	10/18/2016	2,000,000	2,002,840
31677QBA6	US31677QBA67	BLTW6F0	FIFTH THIRD BANK	1.35	6/1/2017	315,000	314,177
31677QBB4	US31677QBB41	BLTW6D8	FIFTH THIRD BANK	2.38	4/25/2019	2,105,000	2,104,711
31677QBC2	US31677QBC24		FIFTH THIRD BANK	2.88	10/1/2021	6,000,000	5,964,722
354613AH4	US354613AH43		FRANKLIN RESOURCES INC	1.38	9/15/2017	4,000,000	4,005,735
36962G2T0	US36962G2T02	B1WWZR2	GENERAL ELECTRIC CAPITAL CORP	5.55	5/4/2020	5,000,000	5,684,250
36962G3H5	US36962G3H54		GENERAL ELECTRIC CAPITAL CORP	5.63	9/15/2017	4,000,000	4,362,158
36962G3U6	US36962G3U65	B2R0M22	GENERAL ELECTRIC CAPITAL CORP	5.63	5/1/2018	400,000	442,131
36962G4D3	US36962G4D32		GENERAL ELECTRIC CAPITAL CORP	6.00	8/7/2019	300,000	343,713
36962G4J0	US36962G4J02		GENERAL ELECTRIC CAPITAL CORP	5.50	1/8/2020	150,000	169,814
36962G5W0	US36962G5W04	B8CM946	GENERAL ELECTRIC CAPITAL CORP	2.30	4/27/2017	5,000,000	5,099,841
36962G6K5	US36962G6K56	B92RSQ3	GENERAL ELECTRIC CAPITAL CORP	1.60	11/20/2017	6,000,000	6,022,606
36962G7M0	US36962G7M04		GENERAL ELECTRIC CAPITAL CORP	2.20	1/9/2020	11,560,000	11,536,073

Page 29

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
36962GW75	US36962GW752		GENERAL ELECTRIC CAPITAL CORP	0.66	5/5/2026	4,000,000	3,816,400
369668AA6	US369668AA67	B8CY7W6	GENERAL ELECTRIC CAPITAL CORP	3.80	6/18/2019	4,000,000	4,206,126
38141EA25	US38141EA257		GOLDMAN SACHS GROUP INC/THE	7.50	2/15/2019	8,100,000	9,500,536
38141GRC0	US38141GRC05	B9DL5D0	GOLDMAN SACHS GROUP INC/THE	2.38	1/22/2018	400,000	405,276
38143USC6	US38143USC61		GOLDMAN SACHS GROUP INC/THE	3.63	2/7/2016	1,955,000	1,985,478
38145XAA1	US38145XAA19	BJHHNN0	GOLDMAN SACHS GROUP INC/THE	2.63	1/31/2019	1,800,000	1,818,225
38147MAA3	US38147MAA36	BCDL3R1	GOLDMAN SACHS GROUP INC/THE	2.90	7/19/2018	785,000	804,285
38148FAB5	US38148FAB58		GOLDMAN SACHS GROUP INC/THE	2.55	10/23/2019	200,000	199,766
38148LAB2	US38148LAB27		GOLDMAN SACHS GROUP INC/THE	1.44	3/23/2020	4,500,000	4,543,965
384780AA0	US384780AA02		GRAIN SPECTRUM FUNDING II LLC	3.29	3/13/2033	924,439	926,357
40414LAF6	US40414LAF67	B4ZKW73	HCP INC	3.75	11/1/2018	300,000	311,162
40428HPH9	US40428HPH92		HSBC BANK USA INC	1.63	1/16/2018	5,080,000	5,058,680
40428HPL0	US40428HPL05		HSBC USA INC	1.50	11/13/2017	155,000	154,502
40428HPR7	US40428HPR74		HSBC USA INC	2.35	3/5/2020	9,625,000	9,524,380
40429CFN7	US40429CFN74		HSBC FINANCE CORP	5.50	1/19/2016	1,750,000	1,792,473
40429CGD8	US40429CGD83	B55NY95	HSBC FINANCE CORP	6.68	1/15/2021	11,000,000	12,698,143
4042Q1AC1	US4042Q1AC12	B23YJS3	HSBC BANK USA NA	6.00	8/9/2017	500,000	543,311
42217KAZ9	US42217KAZ93	B83ZCP6	HEALTH CARE REIT INC	2.25	3/15/2018	1,580,000	1,588,480
42225UAC8	US42225UAC80		HEALTHCARE TRUST OF AMERICA HO	3.38	5/15/2021	1,325,000	1,321,161
44106MAH5	US44106MAH51	B172LK2	HOSPITALITY PROPERTIES TRUST	6.30	12/15/2015	100,000	102,175
446438RF2	US446438RF27	BGLPHL5	HUNTINGTON NATIONAL BANK THE	1.30	11/20/2016	2,180,000	2,178,915
446438RG0	US446438RG00	BK5GXV4	HUNTINGTON NATIONAL BANK THE	2.20	4/1/2019	136,000	134,410
446438RH8	US446438RH82		HUNTINGTON NATIONAL BANK THE	1.38	4/24/2017	5,955,000	5,921,738
44841DAA0	US44841DAA00	BS9VG23	HUTCHISON WHAMPOA FIN (CI) LTD	1.63	10/31/2017	440,000	438,161
449786AQ5	US449786AQ58	B7D85L5	ING BANK NV	3.75	3/7/2017	3,000,000	3,112,322
45580KAB4	US45580KAB44		INDUSTRIAL & COMMERCIAL BANK O	2.35	11/13/2017	420,000	423,649
45685EAE6	US45685EAE68	BCZQ5K1	VOYA FINANCIAL INC	2.90	2/15/2018	250,000	256,398
46115HAJ6	US46115HAJ68	B88WZ86	INTESA SANPAOLO SPA	3.88	1/16/2018	250,000	259,072
46625HHS2	US46625HHS22		JPMORGAN CHASE & CO	4.40	7/22/2020	3,925,000	4,232,994
46625HJA9	US46625HJA95		JPMORGAN CHASE & CO	3.15	7/5/2016	300,000	306,354
46625HJL5	US46625HJL50	B96WDW5	JPMORGAN CHASE & CO	1.63	5/15/2018	1,685,000	1,670,017
46625HJR2	US46625HJR21	BJ62ZH4	JPMORGAN CHASE & CO	2.35	1/28/2019	1,710,000	1,713,001
46625HJS0	US46625HJS04	BJ62ZF2	JPMORGAN CHASE & CO	0.91	1/28/2019	10,525,000	10,506,265
46625HKA7	US46625HKA76	BVFJP03	JPMORGAN CHASE & CO	2.25	1/23/2020	7,825,000	7,681,930
46625HLW8	US46625HLW87		JPMORGAN CHASE & CO	2.75	5/23/2020	1,150,000	1,152,191
472319AK8	US472319AK86		JEFFERIES GROUP LLC	5.13	4/13/2018	150,000	158,056
47232MAA0	US47232MAA09		JEFFERIES FINANC	7.38	4/1/2020	1,000,000	985,000
48121CYK6	US48121CYK60	B27ZBZ3	JP MORGAN CHASE BANK, NA	6.00	10/1/2017	5,000,000	5,462,187
48126EAA5	US48126EAA55		JPMORGAN CHASE & CO	2.00	8/15/2017	9,775,000	9,868,750
48127HAA7	US48127HAA77	BRK9HM6	JPMORGAN CHASE & CO	2.20	10/22/2019	1,100,000	1,086,657

Page 30

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
49306SAA4	US49306SAA42		KEY BANK NATIONAL ASSOCIATION	3.18	10/15/2027	2,650,000	2,636,764
49327M2A1	US49327M2A10		KEY BANK NATIONAL ASSOCIATION	1.65	2/1/2018	6,900,000	6,883,557
49327M2F0	US49327M2F07	BSPCB25	KEY BANK NATIONAL ASSOCIATION	2.50	12/15/2019	2,970,000	2,972,681
49327M2G8	US49327M2G89	BVG7DY6	KEYBANK NA/CLEVELAND OH	2.25	3/16/2020	8,370,000	8,285,330
49427RAH5	US49427RAH57	B3MWLM3	KILROY REALTY LP	4.80	4/15/2018	200,000	213,855
49427RAK8	US49427RAK86	BPRW702	KILROY REALTY LP	4.25	8/15/2029	5,725,000	5,704,194
52206AAB6	US52206AAB61		LEASEPLAN CORPORATION NV	2.50	5/16/2018	1,500,000	1,502,275
534187AX7	US534187AX79		LINCOLN NATIONAL CORPORATION	8.75	7/1/2019	100,000	122,248
53944VAA7	US53944VAA70	BGPGP65	LLOYDS BANK PLC	2.30	11/27/2018	1,000,000	1,005,070
53944VAE9	US53944VAE92	BWCN5T4	LLOYDS BANK PLC	2.40	3/17/2020	5,950,000	5,916,178
53944VAG4	US53944VAG41		LLOYDS BANK PLC	1.75	5/14/2018	200,000	199,195
539473AQ1	US539473AQ13	B77GZ60	LLOYDS BANK PLC	4.20	3/28/2017	100,000	104,731
55608PAE4	US55608PAE43		MACQUARIE BANK LTD	1.65	3/24/2017	1,800,000	1,797,277
55608PAH7	US55608PAH73		MACQUARIE BANK LTD	2.60	6/24/2019	4,000,000	3,995,731
55608PAM6	US55608PAM68	BVFCT99	MACQUARIE BANK LTD	2.40	1/21/2020	2,500,000	2,480,934
564759QB7	US564759QB72		MANUFACTURERS AND TRADERS TRUS	5.63	12/1/2016	250,000	257,151
585515AE9	US585515AE93		MELLON FUNDING CORPORATION	5.50	11/15/2018	4,050,000	4,496,690
59018YJ69	US59018YJ698		MERRILL LYNCH & CO. INC.	6.40	8/28/2017	5,000,000	5,475,906
59156RAR9	US59156RAR93	B3CNV37	METLIFE INC	6.82	8/15/2018	300,000	345,049
59217GBH1	US59217GBH11		METLIFE GLOBAL FUNDING INC I	1.30	4/10/2017	2,220,000	2,221,597
60682VAA8	US60682VAA89	BRJL0J1	MITSUBISHI UFJ TRUST AND BANKI	1.60	10/16/2017	3,600,000	3,593,636
60688XAA8	US60688XAA81		MIZUHO CORPORATE BANK LTD	1.30	4/16/2017	2,265,000	2,256,666
60688XAJ9	US60688XAJ90	BQXX223	MIZUHO BANK LTD	1.70	9/25/2017	630,000	630,426
60688XAQ3	US60688XAQ34		MIZUHO CORPORATE BANK LTD	1.80	3/26/2018	6,000,000	5,984,880
6174466Q7	US6174466Q77		MORGAN STANLEY	6.63	4/1/2018	8,400,000	9,423,456
6174467U7	US6174467U70	B9NSB44	MORGAN STANLEY	2.13	4/25/2018	1,150,000	1,156,277
6174467Y9	US6174467Y92		MORGAN STANLEY	4.35	9/8/2026	925,000	910,129
6174468B8	US6174468B80	BYZPK07	MORGAN STANLEY	2.20	12/7/2018	100,000	100,413
61746BDM5	US61746BDM54	BJ62YY4	MORGAN STANLEY	2.50	1/24/2019	1,805,000	1,815,524
61746BDR4	US61746BDR42		MORGAN STANLEY	2.38	7/23/2019	2,400,000	2,385,862
61747YCG8	US61747YCG89	B4KXLQ9	MORGAN STANLEY	7.30	5/13/2019	4,500,000	5,267,935
61747YDD4	US61747YDD40		MORGAN STANLEY	3.80	4/29/2016	2,025,000	2,071,656
61747YDW2	US61747YDW21		MORGAN STANLEY	2.65	1/27/2020	3,200,000	3,193,354
61761JB32	US61761JB325		MORGAN STANLEY	2.80	6/16/2020	2,500,000	2,509,393
61761JVL0	US61761JVL06		MORGAN STANLEY	3.70	10/23/2024	15,350,000	15,272,614
629491AB7	US629491AB74	B88FHQ7	NYSE EURONEXT	2.00	10/5/2017	3,000,000	3,027,276
63254AAB4	US63254AAB44	B5NXWR1	NATIONAL AUSTRALIA BANK LIMITE	2.75	3/9/2017	150,000	153,903
6325C0CU3	US6325C0CU32	BKRHFG4	NATIONAL AUSTRALIA BANK LTD	1.25	3/17/2017	3,595,000	3,598,712
63307AAA3	US63307AAA34	B3TKSW9	NATIONAL BK OF CANADA	1.45	11/7/2017	1,885,000	1,872,515
637432MW2	US637432MW21		NATIONAL RURAL UTILITIES COOP	1.10	1/27/2017	200,000	200,253
637432NC5	US637432NC57	BVGCLW5	NATIONAL RURAL UTILITIES COOP	2.00	1/27/2020	1,250,000	1,230,684
65535HAD1	US65535HAD17	B9659D7	NOMURA HOLDINGS INC	2.00	9/13/2016	250,000	251,305

Page 31

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
65557CAH6	US65557CAH60	BL9FKK2	NORDEA BANK AB	1.25	4/4/2017	1,515,000	1,508,741
681936BC3	US681936BC35		OMEGA HEALTHCARE INVESTORS INC	4.50	1/15/2025	2,500,000	2,455,362
686330AG6	US686330AG66	B7RRT05	ORIX CORP	3.75	3/9/2017	100,000	103,518
693476BJ1	US693476BJ13		PNC FUNDING CORP	5.13	2/8/2020	3,000,000	3,343,305
693476BL6	US693476BL68		PNC FUNDING CORP	4.38	8/11/2020	2,950,000	3,202,217
69349LAA6	US69349LAA61	B04V3P4	PNC BANK NATIONAL ASSOCIATION	5.25	1/15/2017	3,000,000	3,166,312
69349LAC2	US69349LAC28	B0LCWK8	PNC BANKCORP INC	4.88	9/21/2017	250,000	266,730
69349LAP3	US69349LAP31	BFVQ197	PNC BANK NATIONAL ASSOCIATION	1.15	10/1/2016	7,050,000	7,064,124
69353RDD7	US69353RDD70		PNC BANK NATIONAL ASSOCIATION	2.25	7/2/2019	7,650,000	7,627,221
742651DS8	US742651DS87		PRIVATE EXPORT FUNDING CORPORA	1.88	7/15/2018	100,000	101,430
742651DT6	US742651DT60		PRIVATE EXPORT FUNDING CORPORA	3.55	1/15/2024	6,000,000	6,351,660
74341DAA2	US74341DAA28	B8B3CR4	PROLOGIS INTERNATIONAL FUNDING	4.88	2/15/2020	1,400,000	1,488,923
74387UAG6	US74387UAG67	BB1J541	PROVIDENT FUNDING ASSOCIATES L	6.75	6/15/2021	500,000	475,000
74432QAY1	US74432QAY17	B3BNL94	PRUDENTIAL FINANCIAL INC	6.10	6/15/2017	100,000	108,551
74432QBW4	US74432QBW42	BCZYK33	PRUDENTIAL FINANCIAL INC	2.30	8/15/2018	200,000	201,838
74977EPZ0	US74977EPZ06		RABOBANK NEDERLAND NV	1.70	3/19/2018	2,375,000	2,375,322
756109AJ3	US756109AJ30	B1DWW70	REALTY INCOME CORP	5.95	9/15/2016	150,000	158,520
78008SVD5	US78008SVD51		ROYAL BANK OF CANADA	1.50	1/16/2018	250,000	249,723
78008TLB8	US78008TLB88		ROYAL BANK OF CANADA	2.30	7/20/2016	150,000	152,451
780097AW1	US780097AW11		ROYAL BANK OF SCOTLAND PLC THE	6.40	10/21/2019	125,000	138,950
78009PCC3	US78009PCC32		ROYAL BANK OF SCOTLAND PLC	4.38	3/16/2016	8,590,000	8,786,969
78010U4A2	US78010U4A25	BRJGGL0	ROYAL BANK OF CANADA	1.40	10/13/2017	5,000,000	4,995,651
78010UBY2	US78010UBY29	BDFMH00	ROYAL BANK OF CANADA	1.45	9/9/2016	2,085,000	2,100,042
78010UD20	US78010UD206		ROYAL BANK OF CANADA	1.25	6/16/2017	1,100,000	1,098,121
78011DAC8	US78011DAC83	B6W2NM8	ROYAL BANK OF CANADA	1.20	9/19/2017	7,700,000	7,701,463
78403DAB6	US78403DAB64	B5B2Z48	SBA TOWER TRUST	5.10	4/17/2017	2,300,000	2,381,558
78469BAA3	US78469BAA35	B92KXG7	SPENCER SPIRIT HOLDINGS INC	9.00	5/1/2016	614,000	622,443
80282KAC0	US80282KAC09	BD5M3L3	SANTANDER HOLDINGS USA INC	3.45	7/27/2018	2,650,000	2,724,411
80282KAD8	US80282KAD81		SANTANDER HOLDINGS USA INC	2.65	4/17/2020	7,460,000	7,318,395
808513AK1	US808513AK10		CHARLES SCHWAB CORPORATIO	1.50	2/10/2018	950,000	950,129
81618TAA8	US81618TAA88		SELECT INCOME REIT	2.85	1/1/2018	1,000,000	1,009,775
81618TAB6	US81618TAB61		SELECT INCOME REIT	3.60	1/1/2020	825,000	837,746
81721MAJ8	US81721MAJ80		SENIOR HOUSING PROPERTIES TRUS	3.25	2/1/2019	3,675,000	3,677,675
81721MAK5	US81721MAK53		SENIOR HOUSING PROPERTIES TRUS	4.75	5/1/2024	3,475,000	3,441,650
828807CM7	US828807CM76	B951F05	SIMON PROPERTY GROUP LP	1.50	2/1/2018	14,000,000	13,966,572
828807CQ8	US828807CQ80	BJ33B16	SIMON PROPERTY GROUP LP	2.20	11/1/2018	250,000	251,780
83609EAC4	US83609EAC49		SOUND PT CLO VIII LTD / SOUND	1.98	4/15/2027	19,050,000	19,050,000
83609EAE0	US83609EAE05		SOUND PT CLO VIII LTD / SOUND	2.80	4/15/2027	3,750,000	3,714,938

Page 32

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
853254AS9	US853254AS94	BQQP710	STANDARD CHARTERED PLC	2.40	9/8/2019	2,000,000	1,993,773
865622AV6	US865622AV64	B7C18V6	SUMITOMO MITSUI BANKING CORP	1.80	7/18/2017	250,000	250,959
865622AY0	US865622AY04	B995ML3	SUMITOMO MITSUI BANKING CORP	1.50	1/18/2018	1,940,000	1,929,664
865622BB9	US865622BB91	BCBRJH3	SUMITOMO MITSUI BANKING CORP	0.95	7/19/2016	40,000	40,070
865622BR4	US865622BR44		SUMITOMO MITSUI BANKING CORP	2.45	1/16/2020	250,000	249,589
86787EAP2	US86787EAP25	BJ62ZN0	SUNTRUST BANKS INC	1.35	1/15/2017	940,000	938,665
867914BE2	US867914BE26		SUNTRUST BANKS INC	3.50	12/20/2016	250,000	257,467
86960BAB8	US86960BAB80		SVENSKA HANDELSBANKEN AB	2.88	4/4/2017	5,000,000	5,133,000
86960BAE2	US86960BAE20	BF2DR99	SVENSKA HANDELSBANKEN AB	2.50	1/25/2019	250,000	253,173
87020PAA5	US87020PAA57	B7VQS78	SWEDBANK AB	2.13	9/29/2017	2,005,000	2,024,170
87020PAC1	US87020PAC14	B7T9Y60	SWEDBANK AB	1.75	3/12/2018	5,025,000	5,012,507
87165BAA1	US87165BAA17		SYNCHRONY FINANCIAL	1.88	8/15/2017	20,000	19,945
87165BAB9	US87165BAB99	BPYKS40	SYNCHRONY FINANCIAL	3.00	7/15/2019	3,850,000	3,864,793
87165BAE3	US87165BAE39	BVRZ930	SYNCHRONY FINANCIAL	2.70	2/3/2020	4,055,000	3,994,876
87236YAE8	US87236YAE86		TD AMERITRADE HLDG CORP	2.95	4/1/2022	8,000,000	7,912,095
87246YAA4	US87246YAA47	BRTL9V6	TIAA ASSET MANAGEMENT FINANCE	2.95	11/1/2019	2,005,000	2,014,837
89114QAE8	US89114QAE89		TORONTO-DOMINION BANK/THE	2.38	10/19/2016	100,000	101,982
89114QAG3	US89114QAG38		TORONTO-DOMINION BANK/THE	1.40	4/30/2018	200,000	198,651
89114QAQ1	US89114QAQ10		TORONTO-DOMINION BANK/THE	1.13	5/2/2017	8,000,000	7,990,759
89114QAS7	US89114QAS75	BNNVP49	TORONTO-DOMINION BANK/THE	2.13	7/2/2019	250,000	249,492
90261XBY7	US90261XBY76	B19JTF2	UBS AG (STAMFORD BRANCH)	5.88	7/15/2016	150,000	156,916
90261XGD8	US90261XGD84		UBS AG (STAMFORD BRANCH)	4.88	8/4/2020	5,500,000	6,071,360
90261XHC9	US90261XHC92		UBS AG (STAMFORD BRANCH)	1.38	8/14/2017	5,675,000	5,655,687
90261XHE5	US90261XHE58	BQ16S93	UBS AG (STAMFORD BRANCH)	2.38	8/14/2019	250,000	248,991
90261XHH8	US90261XHH89	BWGQRB5	UBS AG (STAMFORD BRANCH)	1.80	3/26/2018	6,000,000	5,976,934
90331HMH3	US90331HMH39		US BANK NA/CINCINNATI OH	1.38	8/11/2017	6,000,000	6,004,518
90331HML4	US90331HML41		US BANK NATIONAL ASSOCIATION	2.13	9/28/2019	3,000,000	2,999,551
90331HMQ3	US90331HMQ38		US BANK NA/CINCINNATI OH	1.35	1/26/2018	3,365,000	3,352,774
90331HMS9	US90331HMS93		US BANK NA/CINCINNATI OH	2.80	1/27/2025	6,600,000	6,313,012
90520EAC5	US90520EAC57	B4P8R05	MUFG UNION BANK NA	3.00	6/6/2016	7,800,000	7,944,932
90520EAE1	US90520EAE14	B838PZ6	MUFG UNION BANK NA	2.13	6/16/2017	3,400,000	3,438,307
90520EAF8	US90520EAF88		MUFG UNION BANK NA	2.25	4/6/2019	7,585,000	7,549,309
90521APH5	US90521APH58	BF26334	MUFG UNION BANK NA	1.50	8/26/2016	5,075,000	5,101,753
90521APJ1	US90521APJ15	BF2DHX3	MUFG UNION BANK NA	2.63	8/26/2018	7,000,000	7,134,152
91159HHB9	US91159HHB96	B79WKR2	US BANCORP	2.20	10/14/2016	150,000	152,607
91159HHD5	US91159HHD52	B83W785	US BANCORP	1.65	4/15/2017	2,000,000	2,014,510
91159HHE3	US91159HHE36		US BANCORP	1.95	10/15/2018	100,000	100,654
91159HHF0	US91159HHF01		US BANCORP	0.76	10/15/2018	8,625,000	8,650,357

Page 33

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
91159HHH6	US91159HHH66		US BANCORP	2.20	3/25/2019	1,815,000	1,822,883
92277GAA5	US92277GAA58	BF32591	VENTAS REALTY LP/CAP CRP	1.55	9/26/2016	117,000	117,589
92890HAB8	US92890HAB87	BQSNVJ8	WEA FINANCE LLC /WESTFIELD UK	2.70	8/17/2019	4,220,000	4,218,590
929043AH0	US929043AH00	BN8MKD1	VORNADO REALTY LP	2.50	6/30/2019	2,300,000	2,293,198
929903DT6	US929903DT69	B1YLRV5	WACHOVIA CORP	5.75	6/15/2017	3,200,000	3,471,554
94974BEV8	US94974BEV80		WELLS FARGO & COMPANY	4.60	4/1/2021	3,150,000	3,449,374
94974BFD7	US94974BFD73	B7WNCM1	WELLS FARGO & COMPANY	2.10	5/8/2017	250,000	253,931
94974BFG0	US94974BFG05		WELLS FARGO & COMPANY	1.50	1/16/2018	2,840,000	2,836,852
94974BFQ8	US94974BFQ86	BFVQ1R5	WELLS FARGO & COMPANY	2.15	1/15/2019	5,875,000	5,899,269
94974BFU9	US94974BFU98	BLRVT27	WELLS FARGO & COMPANY	2.13	4/22/2019	2,800,000	2,799,623
94974BGA2	US94974BGA26	BQQCMZ0	WELLS FARGO & COMPANY	3.30	9/9/2024	7,300,000	7,217,461
94974BGF1	US94974BGF13	BVRYSR4	WELLS FARGO & COMPANY	2.15	1/30/2020	2,730,000	2,703,076
94980VAF5	US94980VAF58		WELLS FARGO BANK NA	0.49	5/16/2016	1,350,000	1,346,328
961214BV4	US961214BV49	B8K0YH0	WESTPAC BANKING CORP	2.00	8/14/2017	3,875,000	3,924,290
961214BZ5	US961214BZ52		WESTPAC BANKING CORP	1.60	1/12/2018	250,000	249,416
961214CD3	US961214CD32	BGM96T7	WESTPAC BANKING CORP	1.05	11/25/2016	1,135,000	1,138,015
961214CF8	US961214CF89	BJ38KL4	WESTPAC BANKING CORP	2.25	1/17/2019	150,000	150,364
96122WAG5	US96122WAG50		WESTPAC BANKING CORP	2.00	5/21/2019	12,500,000	12,587,500
G63255AA4	USG63255AA42		MUFG CAP FIN 1	6.35	1/0/1900	150,000	155,813
G7S86ZBZ9	XS0753308559	B7J8070	ROYAL BANK OF SCOTLAND PLC	9.50	3/16/2017	800,000	886,000
L7916MAB2	XAL7916MAB27		REDTOP ACQUISITION LTD	0.00	12/3/2020	1,530,625	1,524,885
N4R205LL4	XS0995102778	BGM17S9	ING BANK NV	4.13	11/21/2018	12,500,000	12,927,000
U6178YDP7	XS0585780884	B3PKW65	MORGAN STANLEY	3.80	1/29/2016	2,500,000	1,875,789
Y3R13HAA3	HK0000219706	BRKD8Q9	HANG SENG BANK LTD	1.75	10/16/2017	30,000,000	3,887,445
Y6S3CFAA5	XS1137238157	B4T1XR9	MTR CORPORATION CI LTD	2.15	12/8/2016	9,000,000	1,183,165
Y9T10PP66	XS1111112782	BQT4BS9	UNITED OVERSEAS BK LTD	2.50	3/18/2020	3,000,000	3,031,650
	SG7E22926939	B0LHRL9	HONGKONG LAND HLDGS LTD	3.65	10/5/2015	2,500,000	1,868,771
	XS0326742912	B28RXC9	MORGAN STANLEY	4.00	10/23/2017	2,500,000	1,914,315
	XS0476054233	B635N60	HONGKONG LAND TR	3.86	12/29/2017	2,500,000	1,939,250
	SG7V48954815		CMT MTN	3.85	3/15/2017	500,000	384,174
	XS0527229347	B4Z3C50	ANZ NATIONAL INTERNATIONAL LTD	2.95	7/27/2015	6,500,000	4,830,951
	SG7X39961488	B646XT5	CMT MTN	3.55	9/1/2017	1,750,000	1,344,075
	XS0615152591	B6472N5	MACQUARIE BANK LTD	3.30	4/8/2016	2,500,000	1,884,126
	HK0000086360	B4ZGRV0	BANK OF CHINA HK	2.51	8/10/2016	20,000,000	2,613,153
	XS0681928114	B693P95	SUN HUNG KAI PROPERTIES CAPITA	3.50	11/2/2016	1,000,000	1,025,156
	XS0838771466	B83WSP9	BOC AVIATION PTE LTD	2.88	10/10/2017	500,000	505,950
	HK0000143203	B92DV40	BANK OF COMMUNICATIONS CO LTD	1.99	3/19/2018	10,000,000	1,291,975
	SG6QC8000009		ASCENDAS REAL ESTATE INVESTMEN	2.50	5/16/2019	2,500,000	1,843,242
	XS1090618833	BPBC247	BANK OF COMMUNICATIONS CO LTD	2.10	7/24/2017	500,000	370,141
	XS1137238157	BSLVCG7	MIZUHO CORPORATE BANK LTD	2.46	11/14/2019	1,500,000	1,107,482
	XS1240161262	BYY5BS3	SUMITOMO BK SG	2.03	5/28/2018	2,000,000	1,485,332
	XS1252646036		MALAYAN BANKING BERHAD	2.08	6/26/2018	3,000,000	2,227,999
	XS1253908971	BYX4FS9	BANK OF CHINA LTD (SINGAPORE B	2.75	6/30/2019	1,250,000	930,125
PRIVATE			ASURION LLC	0.00	5/24/2019	2,468,283	2,469,996

Page 34

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
PRIVATE			CGSC OF DELAWARE HOLDINGS CORP	0.00	4/16/2020	837,900	762,489
PRIVATE			CGSC OF DELAWARE HOLDINGS CORP	0.00	10/16/2020	250,000	210,000
PRIVATE			AMERICAN STOCK TRANSFER & TRUS	0.00	6/26/2020	2,686,074	2,670,965
PRIVATE			LARCHMONT RESOURCES LLC	0.00	7/31/2019	787,975	671,749
PRIVATE			WALTER INVESTMENT MANAGEMENT C	0.00	12/18/2020	2,838,037	2,679,581
PRIVATE			ASURION LLC	0.00	3/3/2017	550,000	557,700
PRIVATE			ARDEN GRP, INC.	0.00	2/19/2020	987,500	988,734
PRIVATE			WALL STREET SYSTEM HOLDINGS IN	0.00	4/30/2021	1,750,000	1,746,355
PRIVATE			CONNOLLY CORP	0.00	5/14/2021	2,430,484	2,441,130
PRIVATE			CONNOLLY CORP	0.00	5/15/2016	380,000	381,900
PRIVATE			TRAVELPORT FINANCE LUXEMBOURG	0.00	8/11/2015	1,492,500	1,495,298
PRIVATE			SHIP LUXCO 3 SARL	0.00	11/29/2019	1,325,000	1,329,969
PRIVATE			CUNNINGHAM LINDSEY GROUP INC	0.00	12/10/2019	1,472,904	1,436,081
PRIVATE			CONFIE SEGUROS HOLDING II CO	0.00	11/9/2018	1,976,114	1,981,055
PRIVATE			CONFIE SEGUROS HOLDING II CO	0.00	5/8/2019	185,000	183,458
PRIVATE			FLYING FORTRESS INC	0.00	6/30/2016	500,000	500,157
PRIVATE			CAPITAL AUTOMOTIVE	0.00	4/18/2016	1,180,000	1,197,208
PRIVATE			ASCENSUS INC	0.00	12/11/2020	750,000	748,594
PRIVATE			ASSUREDPARTNERS CAPITAL INC	0.00	4/2/2021	587,644	586,175
PRIVATE			ASSUREDPARTNERS CAPITAL INC	0.00	4/2/2022	748,125	733,163
PRIVATE			AMERICAN BEACON ADVISORS INC	0.00	4/30/2022	670,000	675,863
PRIVATE			AMERICAN BEACON ADVISORS INC	0.00	4/30/2023	450,000	448,875
PRIVATE			MJ ACQUISITION CORP	0.00	5/9/2022	200,000	199,500
PRIVATE			ROYAL ACQUISITION FINANCING SU	0.00	12/2/2015	550,000	550,172
						1,105,863,604	$	1,055,836,367
Corporate Debt Securities - Industrial
00206RBC5	US00206RBC51		AT&T INC	1.60	2/15/2017	6,000,000	$	6,010,642
00206RBM3	US00206RBM34	B6Z5108	AT&T INC	1.40	12/1/2017	200,000	198,310
00206RCA8	US00206RCA86	BGPGPF4	AT&T INC	2.38	11/27/2018	1,335,000	1,344,163
00206RCM2	US00206RCM25	BX2KBC7	AT&T INC	3.00	6/30/2022	3,440,000	3,319,014
00206RCN0	US00206RCN08	BX2KBD8	AT&T INC	3.40	5/15/2025	4,750,000	4,513,914
00287YAJ8	US00287YAJ82	BCZM112	ABBVIE INC	1.75	11/6/2017	200,000	200,418
00287YAT6	US00287YAT64	BXC32F6	ABBVIE INC	2.50	5/14/2020	7,240,000	7,161,719
00289WAA9	US00289WAA99	BR23ZT9	ABENGOA SA CLASS B	6.50	10/1/2019	1,000,000	917,500
00507UAB7	US00507UAB70		ACTAVIS FUNDING SCS	1.30	6/15/2017	1,205,000	1,193,503
00507UAM3	US00507UAM36	BW9RTQ4	ACTAVIS FUNDING SCS	2.35	3/12/2018	735,000	739,311
00507UAP6	US00507UAP66	BW9PQ89	ACTAVIS FUNDING SCS	3.00	2/12/2020	3,470,000	3,474,661
00766TAA8	US00766TAA88	BQX6MW2	AECOM	5.75	10/15/2020	75,000	76,270
00817YAL2	US00817YAL20	B7NB8Z9	AETNA INC	1.50	11/15/2017	1,725,000	1,716,261
00817YAN8	US00817YAN85	BK1KRR4	AETNA INC	2.20	3/15/2019	150,000	149,054
00846UAG6	US00846UAG67	B4JZ3R1	AGILENT TECH INC	5.00	7/15/2020	1,140,000	1,247,085
008674AH6	US008674AH66	BX9K090	AHERN RENTALS	7.38	5/15/2023	990,000	981,338

Page 35

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
009158AP1	US009158AP10	B3WD0J6	AIR PRODUCTS AND CHEMICALS INC	4.38	8/21/2019	5,250,000	5,671,501
009363AN2	US009363AN21	B8DSGQ4	AIRGAS INC	1.65	2/15/2018	100,000	99,123
01609WAB8	US01609WAB81		ALIBABA GROUP HOLDING LTD	2.50	11/28/2019	2,254,000	2,238,291
02076XAG7	US02076XAG79	BMN2GV9	ALPHA NATURAL RESOURCES INC	7.50	8/1/2020	500,000	122,500
021441AE0	US021441AE07	BG4KTR7	ALTERA CORPORATION	2.50	11/15/2018	150,000	152,459
02154VAA9	US02154VAA98	BLWF9X5	ALTICE SA	7.75	5/15/2022	750,000	726,563
02209SAT0	US02209SAT06	BSM9044	ALTRIA GROUP INC	2.63	12/14/2019	75,000	74,512
023135AH9	US023135AH92	B90JT57	AMAZON.COM INC	1.20	11/29/2017	150,000	149,084
023135AM8	US023135AM87	BT9QDH9	AMAZON.COM INC	3.30	11/5/2021	8,000,000	8,077,603
02364WAV7	US02364WAV72	B5ZVH67	AMERICA MOVIL SAB DE CV	5.00	3/30/2020	150,000	166,043
02364WAX3	US02364WAX39		AMERICA MOVIL SAB DE CV	5.00	10/16/2019	100,000	109,877
02665WAC5	US02665WAC55	BFGMH69	AMERICAN HONDA FINANCE CORPORA	2.13	10/10/2018	200,000	201,963
02665WAH4	US02665WAH43	BQR9QZ8	AMERICAN HONDA FINANCE CORPORA	2.25	8/15/2019	2,000,000	2,007,172
02666QD75	US02666QD758	B3DDVN6	AMERICAN HONDA FINANCE CORPORA	7.63	10/1/2018	1,803,000	2,127,094
02666QM26	US02666QM262	B8JH6H6	AMERICAN HONDA FINANCE CORPORA	1.60	2/16/2018	800,000	800,722
03073EAK1	US03073EAK10		AMERISOURCEBERGEN CORPORATION	1.15	5/15/2017	13,315,000	13,232,011
03073EAM7	US03073EAM75	BVYQ9C5	AMERISOURCEBERGEN CORPORATION	3.25	3/1/2025	1,700,000	1,626,984
031162BF6	US031162BF68	B6SFQZ5	AMGEN INC	2.30	6/15/2016	150,000	151,794
031162BL3	US031162BL37		AMGEN INC	2.50	11/15/2016	2,335,000	2,379,108
031162BR0	US031162BR07		AMGEN INC	1.25	5/22/2017	100,000	99,742
031162BU3	US031162BU36	BMPQNQ3	AMGEN INC	2.20	5/22/2019	125,000	124,267
032095AD3	US032095AD38		AMPHENOL CORPORATION	1.55	9/15/2017	50,000	49,743
032511AX5	US032511AX55	B1FGZH1	ANADARKO PETROLEUM CORPORATION	5.95	9/15/2016	250,000	263,890
032801AA0	US032801AA02	BDV82V8	ANCESTRY.COM HOLDINGS LLC	9.63	10/15/2015	1,000,000	1,025,000
03523TAN8	US03523TAN81		ANHEUSER-BUSCH INBEV WORLDWIDE	5.38	1/15/2020	125,000	141,025
03523TBA5	US03523TBA51		ANHEUSER-BUSCH INBEV WORLDWIDE	2.88	2/15/2016	6,000,000	6,084,600
03523TBN7	US03523TBN72	B6ZN7X7	ANHEUSER-BUSCH INBEV WORLDWIDE	1.38	7/15/2017	5,000,000	5,011,672
035242AE6	US035242AE65	BJ7WD79	ANHEUSER-BUSCH INBEV FINANCE I	2.15	2/1/2019	200,000	200,629
037411AS4	US037411AS45		APACHE CORP	5.63	1/15/2017	200,000	212,223
037411AZ8	US037411AZ87		APACHE CORP	3.25	4/15/2022	1,250,000	1,224,982
037411BB0	US037411BB01		APACHE CORP	1.75	4/15/2017	310,000	310,331
037833AH3	US037833AH30	B8HTMZ4	APPLE INC	0.45	5/3/2016	9,525,000	9,518,714
037833AJ9	US037833AJ95		APPLE INC	1.00	5/3/2018	250,000	247,263
037833AQ3	US037833AQ39	BM6NV70	APPLE INC	2.10	5/6/2019	3,405,000	3,436,647
037833BD1	US037833BD17	BXC5WS5	APPLE INC	2.00	5/6/2020	150,000	148,775
03834AAA1	US03834AAA16	BBH4357	APPROACH RESOURCES INC	7.00	6/15/2021	1,000,000	905,000
039483AY8	US039483AY87		ARCHER-DANIELS-MIDLAND COMPANY	5.45	3/15/2018	2,884,000	3,171,572
042735BB5	US042735BB59	B9927N1	ARROW ELECTRONICS INC	3.00	3/1/2018	75,000	76,262
046353AB4	US046353AB45	B24DFK3	ASTRAZENECA PLC	5.90	9/15/2017	150,000	164,921

Page 36

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
05330KAA3	US05330KAA34	BCZNKB8	AUTOPISTAS METROPOLITANAS DE P	6.75	6/30/2035	18,370,000	15,522,650
053332AS1	US053332AS14	BWY4YH6	AUTOZONE INC	2.50	4/15/2021	510,000	495,254
054303AY8	US054303AY84	B7ZB9W1	AVON PRODUCTS INC	2.63	3/15/2016	5,600,000	5,621,000
05530QAG5	US05530QAG55	BZ0Y8W4	BAT INTL FIN PLC	2.75	6/15/2020	12,550,000	12,649,536
05542HAA4	US05542HAA41	B974FB3	BC MOUNTAIN LLC / BC MOUNTAIN	7.00	2/1/2021	500,000	447,500
05542YAA7	IL0011312266	BJTNTK5	B COMMUNICATIONS LTD	7.38	2/15/2020	1,000,000	1,072,500
055451AP3	US055451AP33	B760314	BHP BILLITON FINANCE (USA) LTD	1.63	2/24/2017	250,000	252,182
05565QBY3	US05565QBY35	B87XBN7	BP CAPITAL MARKETS PLC	1.85	5/5/2017	7,300,000	7,371,216
05565QCE6	US05565QCE61	B93PQL7	BP CAPITAL MARKETS PLC	1.38	5/10/2018	100,000	99,111
05565QCG1	US05565QCG10	BDGTRS8	BP CAPITAL MARKETS PLC	2.24	9/26/2018	7,000,000	7,086,703
05565QCR7	US05565QCR74	BJT16G4	BP CAPITAL MARKETS PLC	2.24	5/10/2019	4,925,000	4,944,665
05565QCX4	US05565QCX43		BP CAPITAL MARKETS PLC	2.32	2/13/2020	200,000	199,013
056752AC2	US056752AC24	BCSMS63	BAIDU INC	3.25	8/6/2018	200,000	205,715
067901AB4	US067901AB48		BARRICK GOLD CORPORATION	6.95	4/1/2019	150,000	172,708
07177MAE3	US07177MAE30		BAXALTA INC	5.25	12/23/2044	580,000	582,271
071813BH1	US071813BH16	BBG80C6	BAXTER INTERNATIONAL INC.	0.95	6/1/2016	200,000	199,929
07274EAB9	US07274EAB92		BAYER US FINANCE LLC	1.50	10/6/2017	1,395,000	1,398,443
07274EAD5	US07274EAD58	BRG9JQ8	BAYER US FINANCE LLC	2.38	10/8/2019	12,890,000	12,924,532
075887BD0	US075887BD04	BTDFSY4	BECTON DICKINSON AND COMPANY	1.80	12/15/2017	2,034,000	2,032,117
075887BE8	US075887BE86		BECTON DICKINSON AND COMPANY	2.67	12/15/2019	9,100,000	9,091,077
075887BH1	US075887BH18		BECTON DICKINSON AND COMPANY	1.45	5/15/2017	1,415,000	1,411,389
075896AB6	US075896AB63	BP81YH4	BED BATH & BEYOND INC.	4.92	8/1/2034	625,000	601,956
093645AG4	US093645AG40		BLOCK COMMUNICATIONS INC.	7.25	2/1/2018	900,000	913,500
097023BC8	US097023BC87	B436SX1	BOEING CO	3.75	11/20/2016	150,000	156,111
101137AM9	US101137AM97		BOSTON SCIENTIFIC CORPORATION	2.65	10/1/2018	2,200,000	2,220,868
109641AF7	US109641AF72	B96WDJ2	BRINKER INTERNATIONAL INC.	2.60	5/15/2018	3,703,000	3,713,702
110122AS7	US110122AS73	B7QNDS0	BRISTOL-MYERS SQUIBB CO	0.88	8/1/2017	100,000	99,459
111013AG3	US111013AG36	B2PKRV8	BRITISH SKY BROADCASTING GRP P	6.10	2/15/2018	7,500,000	8,242,210
111013AM0	US111013AM04	BQS8386	BRITISH SKY BROADCASTING GRP P	2.63	9/16/2019	1,430,000	1,421,317
111021AK7	US111021AK71	BJVSF55	BRITISH TELECOMMUNICATIONS PLC	2.35	2/14/2019	200,000	200,493
12008RAG2	US12008RAG20	B9W6HS5	BUILDERS FIRSTSOURCE INC	7.63	6/1/2019	1,000,000	1,032,500
12189TBC7	US12189TBC71		BURLINGTON NORTHERN SANTA FE R	4.70	10/1/2019	100,000	109,117
12508EAB7	US12508EAB74	BYQ2WP6	CDK GLOBAL INC	3.30	9/15/2019	5,350,000	5,381,244
12516UAD7	US12516UAD72	BKZQ303	CEMEX FINANCE LLC	6.00	4/1/2024	2,000,000	1,975,000
126408GM9	US126408GM90		CSX CORPORATION	6.25	3/15/2018	150,000	167,695
126650BQ2	US126650BQ21	B3TDF49	CVS CAREMARK CORP	6.94	12/23/2023	1,788,661	2,143,410
126650CB4	US126650CB43	BH459S0	CVS HEALTH CORP	2.25	11/5/2018	250,000	252,056
126650CE8	US126650CE81		CVS HEALTH CORP	2.25	8/12/2019	9,000,000	8,954,885
12800UAL4	US12800UAL44	B76MM79	CAISSE CENTRALE DESJARDINS	1.60	3/6/2017	6,000,000	6,066,540

Page 37

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
13342BAK1	US13342BAK17	BH7KDJ1	CAMERON INTERNATIONAL CORP	1.15	12/15/2016	63,000	62,514
136375BY7	US136375BY73		CANADIAN NTL RAIL CO	0.48	11/6/2015	2,525,000	2,525,404
136385AK7	US136385AK78	B1VHPP6	CANADIAN NATURAL RESOURCES LTD	5.70	5/15/2017	75,000	80,160
136385AU5	US136385AU50	BSN4Q51	CANADIAN NATURAL RESOURCES LTD	1.75	1/15/2018	3,420,000	3,378,473
141781AY0	US141781AY07		CARGILL INC	4.31	5/14/2021	1,250,000	1,357,737
141781BA1	US141781BA12	B743KV4	CARGILL INC	1.90	3/1/2017	6,000,000	6,058,271
141781BB9	US141781BB94	B6ZM9T4	CARGILL INC	3.30	12/1/2021	4,000,000	4,049,904
143658AY8	US143658AY86		CARNIVAL CORP	1.88	12/15/2017	75,000	75,347
14912L5E7	US14912L5E72	B8CQWX8	CATERPILLAR INC	1.63	6/1/2017	6,000,000	6,052,875
14912L5J6	US14912L5J69	B8W8YS3	CATERPILLAR INC	1.25	11/6/2017	150,000	149,693
14912L5T4	US14912L5T42	BCZRWZ8	CATERPILLAR INC	2.45	9/6/2018	150,000	153,258
14912L5Z0	US14912L5Z02	BK5GXT2	CATERPILLAR INC	1.00	3/3/2017	100,000	100,019
14912L6B2	US14912L6B25		CATERPILLAR INC	2.10	6/9/2019	150,000	150,234
14912L6J5	US14912L6J50		CATERPILLAR INC	2.00	3/5/2020	6,475,000	6,395,379
14987BAD5	US14987BAD55	BBPL0L5	CC HLD V	2.38	12/15/2017	100,000	100,457
14987BAE3	US14987BAE39	BBPL2W0	CC HLD V	3.85	4/15/2023	1,000,000	969,453
151020AG9	US151020AG90	B86M511	CELGENE CORPORATION	1.90	8/15/2017	2,865,000	2,885,322
151191AQ6	US151191AQ67		CELULOSA ARAUCO Y CONSTITUCION	7.25	7/29/2019	75,000	87,094
166764AA8	US166764AA86	B848TY2	CHEVRON CORP	1.10	12/5/2017	150,000	149,340
166764AE0	US166764AE09	BBN5Z69	CHEVRON CORP	1.72	5/24/2018	300,000	301,640
166764AN0	US166764AN08	BSM5SY8	CHEVRON CORP	2.19	10/15/2019	6,340,000	6,364,473
17275RAK8	US17275RAK86		CISCO SYSTEMS INC	3.15	3/14/2017	2,500,000	2,586,685
17275RAN2	US17275RAN26	BK27RQ3	CISCO SYSTEMS INC	3.63	3/4/2024	4,050,000	4,178,063
17275RAR3	US17275RAR30	BK1YXP6	CISCO SYSTEMS INC	2.13	3/1/2019	350,000	351,556
17275RAX0	US17275RAX08	BZ0XCP2	CISCO SYSTEMS INC	2.45	6/15/2020	3,330,000	3,348,845
17302XAJ5	US17302XAJ54	BPCX7L1	CITGO PETROLEUM CORPORATION	6.25	8/15/2022	450,000	443,250
191216AU4	US191216AU43	B43W442	COCA-COLA COMPANY (THE)	1.80	9/1/2016	100,000	101,289
191216BD1	US191216BD19	BG5GY80	COCA-COLA COMPANY (THE)	0.75	11/1/2016	825,000	824,796
191216BF6	US191216BF66	BG5GSJ9	COCA-COLA COMPANY (THE)	1.65	11/1/2018	250,000	250,285
20030NAR2	US20030NAR26	B1HKW25	COMCAST CORPORATION	5.88	2/15/2018	3,110,000	3,446,245
20030NBA8	US20030NBA81		COMCAST CORPORATION	5.15	3/1/2020	150,000	168,256
20467BAA7	US20467BAA70	BPQN8H0	COMPRESSCO PARTNERS LP / COMPR	7.25	8/15/2022	515,000	494,400
205887BJ0	US205887BJ01	B8FDL73	CONAGRA FOODS INC	3.25	9/15/2022	7,250,000	6,941,121
205887BQ4	US205887BQ44	B9CSG84	CONAGRA FOODS INC	1.90	1/25/2018	225,000	221,968
20825CAR5	US20825CAR51	B4T43W3	CONOCOPHILLIPS	5.75	2/1/2019	295,000	333,083
20826FAB2	US20826FAB22		CONOCOPHILLIPS CO	1.05	12/15/2017	250,000	247,963
20826FAE6	US20826FAE60	BSL6VD2	CONOCOPHILLIPS CO	2.88	11/15/2021	2,240,000	2,239,525
20826FAL0	US20826FAL04	BXS2QC2	CONOCOPHILLIPS CO	1.50	5/15/2018	100,000	99,735
21079UAA3	US21079UAA34		CONTINENTAL AIRLINES 2009 2 PA	7.25	6/5/2020	3,739,252	4,262,748
22160KAE5	US22160KAE55	B90HQH2	COSTCO WHOLESALE CORPORATION	1.13	12/15/2017	6,150,000	6,118,364
22822RAZ3	US22822RAZ38		CROWN CASTLE TOWERS LLC	4.88	2/15/2020	5,250,000	5,698,103
233851BR4	US233851BR47		DAIMLER FINANCE NORTH AMERICA	2.25	3/2/2020	9,600,000	9,470,347
235851AL6	US235851AL64		DANAHER CORPORATION	2.30	6/23/2016	200,000	202,840
235851AM4	US235851AM48		DANAHER CORPORATION	3.90	3/23/2021	2,725,000	2,900,750

Page 38

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
24422EQF9	US24422EQF96		JOHN DEERE CAPITAL CORP	5.50	4/13/2017	2,070,000	2,227,743
24422ERN1	US24422ERN12	B440100	JOHN DEERE CAPITAL CORP	1.40	3/15/2017	100,000	100,187
24422ERW1	US24422ERW11	B87FQ72	JOHN DEERE CAPITAL CORP	1.20	10/10/2017	200,000	199,335
24422ESF7	US24422ESF78	BH6Y468	JOHN DEERE CAPITAL CORP	1.95	12/13/2018	200,000	200,834
24422ESK6	US24422ESK63	BK3NZK0	JOHN DEERE CAPITAL CORP	1.95	3/4/2019	6,500,000	6,481,984
24422ESN0	US24422ESN03		JOHN DEERE CAPITAL CORP	1.13	6/12/2017	3,430,000	3,429,100
24422EST7	US24422EST72		JOHN DEERE CAPITAL CORP	1.35	1/16/2018	2,500,000	2,495,981
247361ZH4	US247361ZH44		DELTA AIR LINES INC	4.95	5/9/2018	94,597	100,272
24736TAA5	US24736TAA51		DELTA AIR LINES INC	7.75	6/17/2021	1,035,222	1,180,154
25156PAN3	US25156PAN33		DEUTSCHE TELEKOM INTERNATIONAL	6.00	7/8/2019	1,350,000	1,533,582
25179MAT0	US25179MAT09	BH7QXD3	DEVON ENERGY CORPORATION	2.25	11/15/2018	3,200,000	3,203,677
25243YAR0	US25243YAR09	B84THD0	DIAGEO CAPITAL PLC	1.50	5/11/2017	3,000,000	3,005,004
25243YAS8	US25243YAS81	B8NXVK8	DIAGEO CAPITAL PLC	0.63	4/29/2016	1,140,000	1,140,228
25271CAL6	US25271CAL63		DIAMOND OFFSHORE DRILLING INC.	5.70	10/15/2039	2,000,000	1,724,730
25459HAV7	US25459HAV78	B3NP6J3	DIRECTV HOLDINGS LL/DIR TV FIN	3.13	2/15/2016	665,000	673,339
25459HBE4	US25459HBE45	B799170	DIRECTV HOLDINGS LLC	2.40	3/15/2017	150,000	151,785
25459HBF1	US25459HBF10	B7QHG94	DIRECTV HOLDINGS LLC	3.80	3/15/2022	7,000,000	7,039,214
25468PCG9	US25468PCG90	B23CFL2	WALT DISNEY COMPANY (THE)	6.00	7/17/2017	150,000	164,533
25468PCV6	US25468PCV67	B8FYN25	WALT DISNEY COMPANY (THE)	1.10	12/1/2017	6,100,000	6,072,699
25468PCZ7	US25468PCZ71		WALT DISNEY COMPANY (THE)	0.88	5/30/2017	2,975,000	2,962,992
25468PDA1	US25468PDA12	BN459F9	WALT DISNEY COMPANY (THE)	1.85	5/30/2019	100,000	99,518
260543BX0	US260543BX04	B4JNXP3	DOW CHEMICAL COMPANY (THE)	8.55	5/15/2019	200,000	243,736
263534BT5	US263534BT54		EI DU PONT DE NEMOURS & CO	6.00	7/15/2018	200,000	224,134
268648AP7	US268648AP77	BBDY0Y9	EMC CORP/ MASSACHUSETTS	1.88	6/1/2018	150,000	150,128
26867LAE0	US26867LAE02	BWDH391	EMD FINANCE LLC	2.40	3/19/2020	8,975,000	8,904,177
26875PAD3	US26875PAD33		EOG RESOURCES INC	5.63	6/1/2019	200,000	224,940
268787AC2	US268787AC24	BY58YQ0	EP ENERGY LLC/EVEREST ACQUISIT	6.38	6/15/2021	325,000	325,813
26884TAA0	US26884TAA07	B3S7CQ3	ERAC USA FINANCE LLC	5.25	10/1/2020	5,000,000	5,522,436
26884TAK8	US26884TAK88	BCF1BV9	ERAC USA FINANCE LLC	2.80	11/1/2018	2,995,000	3,038,439
278062AB0	US278062AB04	BG6LV27	EATON CORPORATION	1.50	11/2/2017	100,000	99,683
278642AG8	US278642AG81	B51K9P1	EBAY INC.	1.35	7/15/2017	6,625,000	6,600,004
278642AH6	US278642AH64	BPFK1N9	EBAY INC.	2.20	8/1/2019	100,000	99,117
278865AQ3	US278865AQ30		ECOLAB INC	1.55	1/12/2018	2,490,000	2,476,831
278865AR1	US278865AR13		ECOLAB INC	2.25	1/12/2020	5,200,000	5,138,391
29276KAU5			ENERGY XXI GULF	6.88	3/15/2024	2,000,000	630,000
29358QAA7	US29358QAA76		ENSCO INTL INC	4.70	3/15/2021	1,525,000	1,549,437
29358QAC3	US29358QAC33	BR23ZQ6	ENSCO PLC	4.50	10/1/2024	1,500,000	1,419,954
29379VAA1	US29379VAA17		ENTERPRISE PRODUCTS OPERATING	6.30	9/15/2017	200,000	220,337
29379VBD4	US29379VBD47		ENTERPRISE PRODUCTS OPERATING	2.55	9/15/2019	100,000	100,085
29379VBG7	US29379VBG77	BWWC4Z0	ENTERPRISE PRODUCTS OPERATING	1.65	5/7/2018	2,205,000	2,196,166
29414DAA8	US29414DAA81	BNC0785	ENVISION HEALTHCARE CORP	5.13	7/1/2020	2,000,000	2,015,000

Page 39

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
30219GAD0	US30219GAD07	B992WJ2	EXPRESS SCRIPTS HOLDING CO	2.65	2/15/2017	200,000	203,449
30219GAH1	US30219GAH11	BN6FQR8	EXPRESS SCRIPTS HOLDING CO	2.25	6/15/2019	200,000	198,512
30227CAB3	US30227CAB37	BJ0XG36	EXTERRAN PTNRS LP / EXLP FIN C	6.00	4/1/2021	1,500,000	1,447,500
30231GAA0	US30231GAA04	BKWHBW7	EXXON MOBIL CORP	0.92	3/15/2017	125,000	124,857
30231GAD4	US30231GAD43	BKWHBT4	EXXON MOBIL CORP	1.82	3/15/2019	100,000	99,967
30231GAG7	US30231GAG73		EXXON MOBIL CORP	1.91	3/6/2020	150,000	148,891
30249UAA9	US30249UAA97	B83HBT9	FMC TECHNOLOGIES INC	2.00	10/1/2017	150,000	150,365
30706VAA3	US30706VAA35	BVWVSX6	FAMILY TREE ESCROW LLC	5.75	3/1/2021	125,000	130,938
31428XAZ9	US31428XAZ96		FEDERAL EXPRESS CORP	2.30	2/1/2020	1,650,000	1,633,771
31620MAL0	US31620MAL00	BN3BCC6	FIDELITY NATIONAL INFORMATION	1.45	6/5/2017	1,880,000	1,869,751
337738AN8	US337738AN81	BY58YH1	FISERV INC	2.70	6/1/2020	1,300,000	1,295,324
345397VP5	US345397VP55		FORD MOTOR CREDIT COMPANY LLC	6.63	8/15/2017	200,000	219,170
345397VT7	US345397VT77		FORD MOTOR CREDIT COMPANY LLC	5.00	5/15/2018	6,250,000	6,713,640
345397WD1	US345397WD17	B7XKPG6	FORD MOTOR CREDIT COMPANY LLC	3.00	6/12/2017	200,000	204,422
345397WJ8	US345397WJ86	B8DJJ46	FORD MOTOR CREDIT COMPANY LLC	1.70	5/9/2016	1,580,000	1,585,925
345397WL3	US345397WL33	BF7LS17	FORD MOTOR CREDIT COMPANY LLC	2.88	10/1/2018	200,000	203,486
345397WY5	US345397WY53	BS9VG01	FORD MOTOR CREDIT COMPANY LLC	2.60	11/4/2019	4,500,000	4,475,871
345397WZ2	US345397WZ29		FORD MOTOR CREDIT COMPANY LLC	2.15	1/9/2018	800,000	802,552
35671DBD6	US35671DBD66	BFNYF31	FREEPORT-MCMORAN INC	2.38	3/15/2018	200,000	198,081
35671DBK0	US35671DBK00		FREEPORT-MCMORAN INC	2.30	11/14/2017	1,435,000	1,427,155
361448AP8	US361448AP80	B9042F3	GATX CORP	2.38	7/30/2018	93,000	93,083
369604BE2	US369604BE28	B87RV28	GENERAL ELECTRIC CO	0.85	10/9/2015	2,405,000	2,407,622
370334BH6	US370334BH61	B4SYWL6	GENERAL MILLS INC	5.65	2/15/2019	100,000	111,287
370334BV5	US370334BV55	BRK2BC3	GENERAL MILLS INC	2.20	10/21/2019	3,725,000	3,682,847
37045VAD2	US37045VAD29	BP9DLY5	GENERAL MOTORS CO	3.50	10/2/2018	100,000	103,057
375558AQ6	US375558AQ69	B5TYM89	GILEAD SCIENCES INC	4.50	1/1/2021	2,500,000	2,728,782
375558AV5	US375558AV54	BKJ9NW0	GILEAD SCIENCES INC	2.05	4/1/2019	3,725,000	3,734,557
375558AY9	US375558AY93	BSN4Q62	GILEAD SCIENCES INC	2.35	2/1/2020	815,000	816,807
377372AD9	US377372AD98	B2RFK89	GLAXOSMITHKLINE CAPITAL INC	5.65	5/15/2018	200,000	223,217
377373AC9	US377373AC98	B7SC5T0	GLAXOSMITHKLINE CAPITAL PLC	1.50	5/8/2017	7,250,000	7,304,533
378272AE8	US378272AE88		GLENCORE FUNDING LLC	1.64	1/15/2019	1,550,000	1,548,388
378272AK4	US378272AK49	BVYP881	GLENCORE FUNDING LLC	2.88	4/16/2020	2,425,000	2,376,610
378272AL2	US378272AL22	BVYP892	GLENCORE FUNDING LLC	4.00	4/16/2025	860,000	798,154
380956AF9	US380956AF94		GOLDCORP INC	3.63	6/9/2021	2,300,000	2,287,402
406216BB6	US406216BB62	BCR5XV3	HALLIBURTON COMPANY	1.00	8/1/2016	2,185,000	2,187,615
406216BC4	US406216BC46	BCR5XR9	HALLIBURTON COMPANY	2.00	7/1/2018	150,000	150,677
41283LAF2	US41283LAF22		HARLEY-DAVIDSON FINANCIAL	2.15	2/26/2020	7,400,000	7,293,744
413875AP0	US413875AP08		HARRIS CORPORATION	2.00	4/27/2018	1,250,000	1,246,729
413875AQ8	US413875AQ80		HARRIS CORPORATION	2.70	4/27/2020	2,375,000	2,345,456
413875AR6	US413875AR63		HARRIS CORPORATION	3.83	4/27/2025	270,000	262,393
423074AV5	US423074AV57		HEINZ H. J. COMPANY	5.20	1/15/2045	390,000	398,745
423074AZ6	US423074AZ61		HEINZ H. J. COMPANY	2.80	6/2/2020	4,800,000	4,806,999
423074BH5	US423074BH54	BYSLBG5	HEINZ H. J. COMPANY	2.00	7/2/2018	1,015,000	1,015,749

Page 40

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
423457AA8	US423457AA83		HELMERICH & PAYNE INTERNATIONA	4.65	12/15/2024	7,345,000	7,466,251
427093AH2	US427093AH20	BDZTWZ1	HERCULES OFFSHORE INC	7.50	10/1/2021	500,000	172,500
42809HAE7	US42809HAE71	BNH5729	AMERADA HESS CORP	1.30	6/15/2017	67,000	66,437
428236AS2	US428236AS23	B2Q0DD1	HEWLETT-PACKARD COMPANY	5.50	3/1/2018	150,000	163,585
437076BE1	US437076BE14		HOME DEPOT INC	2.00	5/15/2019	150,000	150,511
438516AZ9	US438516AZ99		HONEYWELL INTERNATIONAL INC	5.00	2/15/2019	150,000	166,487
44052RAA3	US44052RAA32	BX3JYD5	HORIZON PHARMA FINANCING INC	6.63	5/1/2021	1,000,000	1,042,500
444859BC5	US444859BC56		HUMANA INC	2.63	10/1/2019	3,025,000	3,030,585
448055AC7	US448055AC76	B24FDW7	HUSKY ENERGY INC.	6.20	9/15/2017	100,000	108,475
452308AU3	US452308AU30	BJZ7ZJ2	ILLINOIS TOOL WORKS INC	1.95	3/1/2019	150,000	149,743
45687AAL6	US45687AAL61	BNB7LM9	INGERSOLL-RAND GLOBAL HOLDING	2.88	1/15/2019	150,000	152,003
458140AH3	US458140AH36		INTEL CORPORATION	1.95	10/1/2016	6,100,000	6,191,750
458140AL4	US458140AL48		INTEL CORPORATION	1.35	12/15/2017	9,275,000	9,255,228
459200GM7	US459200GM79	B3DT811	INTERNATIONAL BUSINESS MACHINE	7.63	10/15/2018	200,000	236,720
459200GX3	US459200GX35		INTERNATIONAL BUSINESS MACHINE	1.95	7/22/2016	350,000	355,019
459200HG9	US459200HG92		INTERNATIONAL BUSINESS MACHINE	1.88	8/1/2022	4,000,000	3,718,570
459200HM6	US459200HM60		INTERNATIONAL BUSINESS MACHINE	1.63	5/15/2020	6,000,000	5,820,143
459200HT1	US459200HT14	BJT80Z2	INTERNATIONAL BUSINESS MACHINE	1.95	2/12/2019	100,000	100,248
459200HZ7	US459200HZ73	BVVSZS2	INTERNATIONAL BUSINESS MACHINE	1.13	2/6/2018	930,000	923,625
460146CA9	US460146CA98	B39NZD8	INTERNATIONAL PAPER CO	7.95	6/15/2018	150,000	173,872
460690BJ8	US460690BJ82	B8Y5MH7	INTERPUBLIC GRP OF CO INC	2.25	11/15/2017	100,000	100,834
46122XAA1	US46122XAA19	BJC7379	INTREPID AVIATION GROUP HOLDIN	6.88	2/15/2019	1,000,000	937,500
465676AA2	US465676AA22	BNXCFB9	ITHACA ENERGY INC	8.13	7/1/2019	450,000	403,830
478160BG8	US478160BG88	BH459X5	JOHNSON & JOHNSON	1.65	12/5/2018	200,000	200,501
478160BL7	US478160BL73		JOHNSON & JOHNSON	1.13	11/21/2017	100,000	99,874
487836BE7	US487836BE77		KELLOGG COMPANY	3.25	5/21/2018	50,000	51,682
494368BN2	US494368BN29		KIMBERLY-CLARK CORPORATION	1.90	5/22/2019	200,000	199,191
50075NBA1	US50075NBA19	B3M2Q17	MONDELEZ INTERNATIONAL INC	5.38	2/10/2020	100,000	111,385
50076QAU0	US50076QAU04	B82XL65	KRAFT FOODS GROUP INC	5.38	2/10/2020	150,000	166,050
50076QAZ9	US50076QAZ90	B41RF24	KRAFT FOODS GROUP INC	3.50	6/6/2022	5,000,000	4,989,487
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	175,009
501044CZ2	US501044CZ28	BRVDCC2	KROGER CO (THE)	2.95	11/1/2021	945,000	932,686
502413BB2	US502413BB28		L-3 COMMUNICATIONS CORP	3.95	11/15/2016	150,000	154,683
502413BC0	US502413BC01	BMN2GX1	L-3 COMMUNICATIONS CORP	1.50	5/28/2017	1,685,000	1,664,352
50540RAK8	US50540RAK86	B8J62J7	LABORATORY CORP OF AMER HLDGS	2.20	8/23/2017	150,000	151,449
523768AF6	US523768AF63	BKXPXQ8	LEE ENTERPRISES, INC	9.50	3/15/2020	1,000,000	1,023,750
532457BF4	US532457BF44	BK0SGJ4	ELI LILLY AND COMPANY	1.95	3/15/2019	100,000	100,254
532457BK3	US532457BK39		ELI LILLY AND COMPANY	1.25	3/1/2018	4,230,000	4,216,233
539830BE8	US539830BE89		LOCKHEED MARTIN CORPORATION	2.90	3/1/2025	5,850,000	5,603,926

Page 41

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
54238XAA6	US54238XAA63		LONESTAR RESOURCES AMERICA INC	8.75	4/15/2019	1,000,000	822,500
544152AF8	US544152AF89	B42GZY2	LORILLARD TOBACCO CO	2.30	8/21/2017	150,000	150,189
552081AG6	US552081AG61	B6XKSR1	LYONDELLBASELL INDUSTRIES NV	5.00	1/15/2019	4,000,000	4,325,616
565849AN6	US565849AN67	BYYT7J8	MARATHON OIL CORP	2.70	6/1/2020	2,925,000	2,903,940
571903AJ2	US571903AJ23		MARRIOTT INTERNATIONAL INC	3.00	12/1/2018	200,000	204,388
577081AX0	US577081AX00		MATTEL INC	1.70	3/15/2018	100,000	99,097
58013MEB6	US58013MEB63		MCDONALDS CORP	5.80	10/15/2017	100,000	109,664
581557AY1	US581557AY14		MCKESSON CORP	0.95	12/4/2015	340,000	340,068
581557BB0	US581557BB02	BKJV4J0	MCKESSON CORP	1.29	3/10/2017	100,000	99,672
581557BD6	US581557BD67	BKKMWT8	MCKESSON CORP	2.28	3/15/2019	100,000	99,666
58155QAF0	US58155QAF00	B9BMVD7	MCKESSON CORP	1.40	3/15/2018	2,300,000	2,270,120
585055BA3	US585055BA35	B8XYF09	MEDTRONIC INC	1.38	4/1/2018	1,400,000	1,388,765
585055BF2	US585055BF22		MEDTRONIC INC	2.50	3/15/2020	7,725,000	7,732,248
585055BK1	US585055BK17	BT78FB5	MEDTRONIC INC	1.50	3/15/2018	2,110,000	2,101,946
58933YAG0	US58933YAG08	B9DM9F3	MERCK & CO INC	1.30	5/18/2018	800,000	797,419
58933YAS4	US58933YAS46		MERCK & CO INC	1.85	2/10/2020	100,000	99,001
594064AA5	US594064AA52	BFMFNS6	MICHAEL BAKER INTERNATIONAL LL	8.25	10/15/2018	1,000,000	967,500
594918AY0	US594918AY03	BVG6Y73	MICROSOFT CORP	1.85	2/12/2020	100,000	99,436
59563KAA8	US59563KAA88	BQXZP75	MIDAS INTERMEDIATE HOLDCO II L	7.88	10/1/2022	500,000	500,000
61166WAR2	US61166WAR25	BNNVNX4	MONSANTO COMPANY	1.15	6/30/2017	150,000	148,624
61166WAS0	US61166WAS08	BNNVMV5	MONSANTO COMPANY	2.13	7/15/2019	2,010,000	1,986,669
626717AE2	US626717AE26		MURPHY OIL CORP	2.50	12/1/2017	100,000	97,953
628530AW7	US628530AW74	BKF2D12	MYLAN INC/PA	1.80	6/24/2016	1,500,000	1,500,890
628530AX5	US628530AX57		MYLAN INC/PA	2.60	6/24/2018	150,000	150,881
63946BAD2	US63946BAD29		NBCUNIVERSAL MEDIA LLC	5.15	4/30/2020	3,000,000	3,362,674
63946BAE0	US63946BAE02	B447W08	NBCUNIVERSAL MEDIA LLC	4.38	4/1/2021	3,250,000	3,514,909
63946BAH3	US63946BAH33	B86PMS6	NBCUNIVERSAL MEDIA LLC	2.88	1/15/2023	5,000,000	4,841,529
63946CAB4	US63946CAB46		NBCUNIVERSAL ENTERPRISE INC	0.96	4/15/2018	2,250,000	2,260,215
63946CAD0	US63946CAD02	B94SHL2	NBCUNIVERSAL ENTERPRISE INC	1.97	4/15/2019	1,630,000	1,614,996
64110DAC8	US64110DAC83	B84RZ52	NETAPP INC	2.00	12/15/2017	3,000,000	3,004,386
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	476,250
666807BA9	US666807BA91	B3VGCF6	NORTHROP GRUMMAN CORP	5.05	8/1/2019	150,000	164,584
66989GAA8	US66989GAA85		NOVARTIS SECURITIES INVEST LTD	5.13	2/10/2019	100,000	111,089
67054LAA5	US67054LAA52	BLWP4M9	NUMERICABLE GROUP SA	4.88	5/15/2019	2,000,000	1,975,000
674599CD5	US674599CD51	B4YC3X3	OCCIDENTAL PETROLEUM CORPORATI	1.50	2/15/2018	150,000	149,063
674599CG8	US674599CG82	BYQ2814	OCCIDENTAL PETROLEUM CORPORATI	3.50	3/15/2025	5,175,000	5,160,268
68268NAN3	US68268NAN30	BWF4SR3	ONEOK PARTNERS LP	3.80	2/15/2020	910,000	922,384
68389XAC9	US68389XAC92	B2QR202	ORACLE CORPORATION	5.75	4/15/2018	1,140,000	1,267,035
68389XAN5	US68389XAN57	B8447W4	ORACLE CORPORATION	1.20	10/15/2017	2,500,000	2,495,009
68389XAQ8	US68389XAQ88	BC9XYK1	ORACLE CORPORATION	2.38	1/15/2019	350,000	354,961
68389XAX3	US68389XAX30	BNXJBJ0	ORACLE CORPORATION	2.25	10/8/2019	6,725,000	6,744,447

Page 42

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
68389XBA2	US68389XBA28	BNXJBG7	ORACLE CORPORATION	2.80	7/8/2021	13,500,000	13,553,329
68389XBB0	US68389XBB01		ORACLE CORPORATION	2.50	5/15/2022	3,000,000	2,909,005
685218AA7	US685218AA79	BJLP9S7	ORANGE SA	2.75	2/6/2019	100,000	100,928
69371RM29	US69371RM291		PACCAR FINANCIAL CORP	2.20	9/15/2019	6,000,000	6,000,313
69371RM52	US69371RM523	BXPB5T2	PACCAR FINANCIAL CORP	1.40	5/18/2018	150,000	149,097
705010AB2	US705010AB25	B2R8SY0	PEARSON DOLLAR FINANCE TWO PLC	6.25	5/6/2018	2,000,000	2,210,933
709599AH7	US709599AH79	B7X3XH2	PENSKE TRUCK LEASING CO	4.88	7/11/2022	1,500,000	1,584,900
709599AJ3	US709599AJ36	B8FT9G6	PENSKE TRUCK LEASING CO	2.50	3/15/2016	6,775,000	6,827,418
709599AR5	US709599AR51		PENSKE TRUCK LEASING CO	3.05	1/9/2020	3,000,000	2,990,142
713448BJ6	US713448BJ63		PEPSICO INC	7.90	11/1/2018	150,000	179,067
713448CK2	US713448CK28	BCL2ND2	PEPSICO INC	2.25	12/7/2018	225,000	227,394
714264AD0	US714264AD02		PERNOD-RICARD SA	4.45	1/15/2022	7,000,000	7,354,583
714294AB1	US714294AB16	BRHY9J5	PERRIGO CO LTD	1.30	11/8/2016	3,450,000	3,443,601
71647NAG4	US71647NAG43	BKQVMN3	PETROBRAS INT BRASPETRO BV	3.25	3/17/2017	1,400,000	1,379,595
717081DB6	US717081DB62	B65HZ24	PFIZER INC	6.20	3/15/2019	325,000	371,151
717081DD2	US717081DD29	BBBTQS2	PFIZER INC	0.90	1/15/2017	2,250,000	2,248,675
717081DJ9	US717081DJ98	BMMB3F0	PFIZER INC	1.10	5/15/2017	150,000	149,976
718172AA7	US718172AA72		PHILIP MORRIS INTERNATIONAL IN	5.65	5/16/2018	10,350,000	11,463,042
718172AJ8	US718172AJ81		PHILIP MORRIS INTERNATIONAL IN	2.50	5/16/2016	6,000,000	6,095,160
718172AS8	US718172AS80	B7XYRV7	PHILIP MORRIS INTERNATIONAL IN	1.13	8/21/2017	7,553,000	7,531,746
718172BN8	US718172BN84		PHILIP MORRIS INTERNATIONAL IN	1.25	11/9/2017	155,000	154,610
718546AL8	US718546AL86	BSN4Q40	PHILLIPS 66	4.88	11/15/2044	2,250,000	2,152,715
718549AA6	US718549AA60	BVYVG52	PHILLIPS 66 PARTNETS LP	2.65	2/15/2020	2,205,000	2,164,183
723787AG2	US723787AG24	B1TYBH3	PIONEER NAT RES CO	6.65	3/15/2017	1,220,000	1,318,073
72447XAC1	US72447XAC11		PITNEY BOWES INC.	5.75	9/15/2017	53,000	56,981
726505AP5	US726505AP50	B6Y1MK4	PLAINS EXPORATION & PRODUCTION	6.88	2/15/2021	2,979,000	3,142,845
737446AE4	US737446AE45	BGKDMX7	POST HOLDINGS INC	6.75	12/1/2021	750,000	748,125
73755LAJ6	US73755LAJ61		POTASH CORPORATION OF SASKETCH	3.25	12/1/2017	100,000	103,609
740189AK1	US740189AK18		PRECISION CASTPARTS CORP	1.25	1/15/2018	150,000	148,904
741503AT3	US741503AT32	BQ1Y5R4	PRICELINE GROUP INC	0.90	9/15/2021	700,000	667,732
742718ED7	US742718ED76		PROCTER & GAMBLE COMPANY	0.75	11/4/2016	910,000	910,137
742718EE5	US742718EE59	BFRSHK0	PROCTER & GAMBLE COMPANY	1.60	11/15/2018	250,000	250,043
747525AD5	US747525AD56	BWX4CW8	QUALCOMM INCORPORATED	2.25	5/20/2020	9,655,000	9,576,007
747525AG8	US747525AG87	BWX4KC4	QUALCOMM INCORPORATED	1.40	5/18/2018	65,000	64,645
74913GAT2	US74913GAT22		QWEST CORP	6.50	6/1/2017	100,000	106,870
751212AA9	US751212AA91	BF32568	RALPH LAUREN CORP	2.13	8/26/2018	5,325,000	5,346,092
760759AH3	US760759AH37		REPUBLIC SERVICES INC	5.00	3/1/2020	100,000	109,657
761713BE5	US761713BE57	BZ0HGT6	REYNOLDS AMERICAN INC	3.25	6/12/2020	2,020,000	2,047,839
761713BF2	US761713BF23	BZ0HGV8	REYNOLDS AMERICAN INC	4.00	6/12/2022	5,000,000	5,112,260
761713BG0	US761713BG06	BZ0PJX5	REYNOLDS AMERICAN INC	4.45	3/12/2025	500,000	509,316
767201AC0	US767201AC07		RIO TINTO FINANCE (USA) LTD	6.50	7/15/2018	125,000	141,327

Page 43

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
76720AAL0	US76720AAL08		RIO TINTO FINANCE (USA) PLC	1.38	6/17/2016	100,000	100,321
76720AAM8	US76720AAM80		RIO TINTO FINANCE (USA) PLC	2.25	11/14/2018	150,000	150,755
771196BA9	US771196BA98		ROCHE HOLDINGS INC	2.25	8/30/2019	6,000,000	6,038,449
773903AF6	US773903AF60	BVXLDX0	ROCKWELL AUTOMATION INC	2.05	3/1/2020	3,475,000	3,444,574
774341AD3	US774341AD37	BH7QX55	ROCKWELL COLLINS INC.	0.64	12/15/2016	4,950,000	4,948,119
776696AD8	US776696AD82		ROPER IND, INC.	1.85	11/15/2017	100,000	100,141
78355HJR1	US78355HJR12		RYDER SYSTEM INC.	3.50	6/1/2017	5,875,000	6,080,460
78355HJS9	US78355HJS94		RYDER SYSTEM INC.	2.50	2/1/2017	150,000	152,483
78355HJY6	US78355HJY62		RYDER SYSTEM INC.	2.65	3/2/2020	2,800,000	2,784,301
78403DAG5	US78403DAG51	BRJ6JC2	SBA TOWER TRUST	2.90	10/15/2018	3,005,000	3,020,025
790849AH6	US790849AH69		ST JUDE MEDICAL INC	2.50	1/15/2016	5,000,000	5,043,100
801060AB0	US801060AB05		SANOFI	1.25	4/10/2018	5,225,000	5,200,243
806854AA3	US806854AA39	B5VGD91	SCHLUMBERGER GER INV	1.95	9/14/2016	1,950,000	1,975,873
80685PAC2	US80685PAC23	B4LKGG4	SCHLUMBERGER NORGE AS	1.95	9/14/2016	2,700,000	2,735,824
811065AE1	US811065AE14	BY3R4M5	SCRIPPS NETWORKS INTERACTIVE I	2.80	6/15/2020	2,050,000	2,042,590
81180WAP6	US81180WAP68		SEAGATE HDD CAYMAN	3.75	11/15/2018	150,000	156,051
81663NAA5	US81663NAA54	BR4P5T3	SEMICONDUCTOR MANUFACTURING IN	4.13	10/7/2019	200,000	200,304
822582AJ1	US822582AJ10		SHELL INTL FINAN	4.30	9/22/2019	150,000	162,775
822582AW2	US822582AW21		SHELL INTERNATIONAL FINANCE BV	1.90	8/10/2018	100,000	100,922
822582AZ5	US822582AZ51	BGJ4WJ7	SHELL INTERNATIONAL FINANCE BV	0.90	11/15/2016	150,000	150,125
822582BG6	US822582BG61	BXC5WB8	SHELL INTERNATIONAL FINANCE BV	2.13	5/11/2020	3,760,000	3,742,150
824348AP1	US824348AP13	B93PQP1	SHERWIN-WILLIAMS COMPANY (THE)	1.35	12/15/2017	100,000	99,189
832696AC2	US832696AC27	BWCN602	JM SMUCKER CO/THE	1.75	3/15/2018	1,530,000	1,526,186
832696AE8	US832696AE82		JM SMUCKER CO/THE	2.50	3/15/2020	9,000,000	8,937,199
83577UAA0	US83577UAA07	BGLKMK4	SOPHIA LP/SOPHIA FINANCE INC	9.63	12/1/2016	285,000	287,138
844741AX6	US844741AX63		SOUTHWEST AIRLINES CO.	5.13	3/1/2017	250,000	264,607
845467AK5	US845467AK59	BVGCLZ8	SOUTHWESTERN ENERGY COMPANY	4.05	12/23/2019	200,000	205,121
851783AB6	US851783AB63	BN897G4	SPRING INDUSTRIES INC	6.25	6/1/2021	1,000,000	991,250
855244AD1	US855244AD16	BDD54P5	STARBUCKS CORP	3.85	7/1/2023	6,000,000	6,301,783
855244AE9	US855244AE98	BH458C7	STARBUCKS CORP	0.88	12/5/2016	107,000	106,707
86722TAA0	US86722TAA07		SUNCOR ENERGY INC	6.10	6/1/2018	310,000	344,482
86803UAB7	US86803UAB70	BR30VW4	SUNTORY HOLDINGS LTD	2.55	9/29/2019	5,775,000	5,756,824
871503AJ7	US871503AJ70		SYMANTEC CORP	2.75	5/15/2017	100,000	100,933
871829AR8	US871829AR85	BR17MH9	SYSCO CORP	1.45	10/2/2017	2,775,000	2,797,245
871829AS6	US871829AS68		SYSCO CORP	2.35	9/2/2019	5,050,000	5,084,335
87612EAS5	US87612EAS54	B2NPTM0	TARGET CORPORATION	6.00	1/15/2018	200,000	223,056
87938WAM5	US87938WAM55		TELEFONICA EMISIONES SAU	5.13	4/27/2020	100,000	109,143
87938WAQ6	US87938WAQ69	B9FQJ42	TELEFONICA EMISIONES SAU	3.19	4/27/2018	150,000	153,862
88032WAB2	US88032WAB28	BLTW5W0	TENCENT HOLDINGS LIMITED	3.38	5/2/2019	1,400,000	1,433,128
883556BA9	US883556BA95		THERMO FISHER SCIENTIFIC	2.25	8/15/2016	100,000	101,235
883556BD3	US883556BD35	BH55183	THERMO FISHER SCIENTIFIC INC	1.30	2/1/2017	3,725,000	3,711,138

Page 44

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
884903BN4	US884903BN49		THOMSON REUTERS CORPORATION	1.30	2/23/2017	107,000	106,673
884903BU8	US884903BU81		THOMSON REUTERS CORPORATION	1.65	9/29/2017	100,000	99,805
887317AT2	US887317AT21		TIME WARNER INC	2.10	6/1/2019	150,000	147,617
88732JAL2	US88732JAL26		TIME WARNER CABLE INC	6.75	7/1/2018	1,700,000	1,902,629
88732JAS7	US88732JAS78		TIME WARNER CABLE INC	8.25	4/1/2019	1,200,000	1,415,787
88732JAW8	US88732JAW80	B543Y52	TIME WARNER CABLE INC	5.00	2/1/2020	775,000	833,042
88732JAX6	US88732JAX63		TIME WARNER CABLE INC	4.13	11/15/2020	475,000	489,936
89078YAA3	US89078YAA38	BYRZZL1	TOPS HOLDINGS COR/TOPS MARKETS	8.00	6/15/2021	800,000	804,000
89152UAG7	US89152UAG76	BCZM4W4	TOTAL CAPITAL S.A.	2.13	8/10/2018	250,000	253,395
89153VAC3	US89153VAC37		TOTAL CAPITAL INTERNATIONAL SA	1.55	6/28/2017	6,000,000	6,042,555
89233P5E2	US89233P5E25		TOYOTA MOTOR CREDIT CORP	2.00	9/15/2016	150,000	152,266
89233P6D3	US89233P6D33	B893J53	TOYOTA MOTOR CREDIT CORP	1.75	5/22/2017	315,000	318,297
89233P7E0	US89233P7E07	B98Y3T6	TOYOTA MOTOR CREDIT CORP	1.38	1/10/2018	200,000	199,656
89236TBH7	US89236TBH77		TOYOTA MOTOR CREDIT CORP	1.13	5/16/2017	150,000	149,851
89236TBP9	US89236TBP93	BP8G402	TOYOTA MOTOR CREDIT CORP	2.13	7/18/2019	150,000	149,980
89378TAB9	US89378TAB98	B3QQGH1	TRANSNET LTD	4.50	2/10/2016	5,950,000	6,009,500
90131HAN5	US90131HAN52	BVGGZP8	21ST CENTURY FOX AMERICA INC	6.90	3/1/2019	150,000	173,674
902133AQ0	US902133AQ07		TYCO ELECTRONICS GROUP SA	2.35	8/1/2019	8,000,000	7,960,283
902133AR8	US902133AR89	BPNNZ72	TYCO ELECTRONICS GROUP SA	3.45	8/1/2024	2,500,000	2,501,078
903436AA1	US903436AA15		US AIRWAYS GROUP INC	7.13	1/28/2021	2,314,156	2,678,636
90345WAD6	US90345WAD65	B92P6C9	US AIRWAYS P-T TR	4.63	10/11/2022	1,255,153	1,295,945
904764AP2	US904764AP26	B87VZ62	UNILEVER CAPITAL CORP	0.85	8/2/2017	6,175,000	6,134,562
911312AK2	US911312AK23		UNITED PARCEL SERVICE INC	5.13	4/1/2019	150,000	167,262
913017BQ1	US913017BQ12	B3KTNC0	UNITED TECHNOLOGIES CORPORATN	6.13	2/1/2019	200,000	228,176
913017BU2	US913017BU24	B8DTGD4	UNITED TECHNOLOGIES CORPORATN	1.80	6/1/2017	14,675,000	14,889,259
91324PBJ0	US91324PBJ03		UNITEDHEALTH GROUP INCORPORATE	6.00	2/15/2018	150,000	166,288
91324PBY7	US91324PBY79	B8890J3	UNITEDHEALTH GROUP INCORPORATE	1.40	10/15/2017	5,425,000	5,414,190
91324PCG5	US91324PCG54		UNITEDHEALTH GROUP INCORPORATE	2.30	12/15/2019	8,000,000	7,956,848
918370AB3	US918370AB36	BJ4XKT6	VTR FINANCE BV	6.88	1/15/2022	1,000,000	1,022,500
91911KAD4	US91911KAD46	BGLVXJ3	VALEANT PHARMACEUTICALS INTERN	5.63	12/1/2018	1,000,000	1,022,500
91911KAE2	US91911KAE29	BVFJNT8	VALEANT PHARMACEUTICALS INTERN	5.50	3/1/2020	600,000	604,500
91911TAJ2	US91911TAJ25	B41RLY8	VALE OVERSEAS LIMITED	5.63	9/15/2019	100,000	108,285
91913YAM2	US91913YAM21	B1YLVD5	VALERO ENERGY CORPORATION	6.13	6/15/2017	200,000	216,794
91913YAT7	US91913YAT73		VALERO ENERGY CORPORATION	4.90	3/15/2045	2,000,000	1,880,194
92343VBF0	US92343VBF04	B7YN3N7	VERIZON COMMUNICATIONS INC	1.10	11/1/2017	100,000	98,658
92343VBN3	US92343VBN38	BDV82W9	VERIZON COMMUNICATIONS INC	2.50	9/15/2016	2,817,000	2,866,171

Page 45

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
92343VBP8	US92343VBP85	BDV82S5	VERIZON COMMUNICATIONS INC	3.65	9/14/2018	1,550,000	1,626,733
92343VCE2	US92343VCE20	BN7N7M3	VERIZON COMMUNICATIONS INC	1.35	6/9/2017	50,000	49,773
92343VCH5	US92343VCH50	BVZ6DF5	VERIZON COMMUNICATIONS INC	2.63	2/21/2020	7,050,000	7,024,426
92343VCN2	US92343VCN29		VERIZON COMMUNICATIONS INC	3.00	11/1/2021	980,000	964,488
92553PAS1	US92553PAS11	BCZYK11	VIACOM INC	2.50	9/1/2018	40,000	40,371
92553PAY8	US92553PAY88	BT9Z0W0	VIACOM INC	2.75	12/15/2019	100,000	99,673
92676XAC1	US92676XAC11	BXC2TT6	VIKING CRUISES LTD	6.25	5/15/2025	750,000	743,438
92857WBE9	US92857WBE93	B3PQ0W5	VODAFONE GROUP PLC	1.50	2/19/2018	1,250,000	1,229,469
928668AB8	US928668AB85	BMNS9X0	VOLKSWAGEN GROUP OF AMERICA FI	2.13	5/23/2019	3,250,000	3,236,304
928668AH5	US928668AH55	BSN4Q73	VOLKSWAGEN GROUP OF AMERICA FI	2.45	11/20/2019	5,050,000	5,069,119
928668AK8	US928668AK84		VOLKSWAGEN GROUP OF AMERICA FI	1.65	5/22/2018	650,000	647,178
931142DE0	US931142DE06	B9HKFD3	WAL-MART STORES INC	0.60	4/11/2016	4,375,000	4,378,325
931142DF7	US931142DF70		WAL-MART STORES INC	1.13	4/11/2018	1,700,000	1,691,692
931422AJ8	US931422AJ88	B8QB7C3	WALGREEN CO	1.80	9/15/2017	250,000	250,868
931427AF5	US931427AF53	BSL6VH6	WALGREENS BOOTS ALLIANCE INC	3.30	11/18/2021	13,115,000	12,944,899
94106LAX7	US94106LAX73		WASTE MANAGEMENT INC	2.60	9/1/2016	150,000	152,708
942683AG8	US942683AG82	B848C87	ALLERGAN PLC	1.88	10/1/2017	8,450,000	8,436,280
947074AJ9	US947074AJ93	B2NJDK8	WEATHERFORD INTL INC	6.35	6/15/2017	200,000	212,740
947075AD9	US947075AD98		WEATHERFORD INTERNATIONAL LTD	6.00	3/15/2018	1,347,000	1,429,167
94770VAF9	US94770VAF94	B67THY4	WEBMD HEALTH CORP	2.50	1/31/2018	940,000	958,067
94770VAH5	US94770VAH50	B5BV5Z6	WEBMD HEALTH CORP	2.25	3/31/2016	830,000	833,295
94973VBC0	US94973VBC00	B8DR8L0	ANTHEM INC	1.88	1/15/2018	100,000	99,582
950840AC2	US950840AC22	B8KDXR2	WESFARMERS LTD	1.87	3/20/2018	825,000	825,197
958254AA2	US958254AA26		WESTERN GAS PARTNERS LP	5.38	3/1/2021	1,000,000	1,083,433
958254AC8	US958254AC81		WESTERN GAS PARTNERS LP	2.60	7/15/2018	3,650,000	3,661,181
963320AP1	US963320AP11	BK0NS37	WHIRLPOOL CORPORATION	1.35	3/1/2017	20,000	19,954
96950FAD6	US96950FAD69		WILLIAMS PARTNERS LP	5.25	3/15/2020	150,000	163,475
982526AR6	US982526AR60	BFT6553	WM WRIGLEY JR CO	1.40	10/21/2016	910,000	913,070
982526AV7	US982526AV72	BFT6575	WM WRIGLEY JR CO	2.90	9/21/2019	8,650,000	8,784,844
98310WAK4	US98310WAK45	B7LCGW7	WYNDHAM WORLDWIDE CORP	2.50	2/1/2018	3,500,000	3,517,914
984121BQ5	US984121BQ57	B1BY4F0	XEROX CORPORATION	6.75	2/1/2017	1,630,000	1,758,330
984121CF8	US984121CF83	B7RF040	XEROX CORPORATION	2.95	3/15/2017	250,000	255,276
98417EAU4	US98417EAU47	B8H6CF5	XSTRATA FINANCE (CANADA) LTD	2.70	10/25/2017	8,705,000	8,785,205
98419MAA8	US98419MAA80	B8GGKP2	XYLEM INC/NY	3.55	9/20/2016	4,475,000	4,594,236
98458PAC9	US98458PAC95		YALE UNIVERSITY	2.09	4/15/2019	100,000	100,938
98956PAK8	US98956PAK84		ZIMMER HOLDINGS INC	2.70	4/1/2020	100,000	99,430
C0102MAD7			AIR CANADA	0.00	9/26/2015	2,992,500	2,996,241
G6740DAD8	XAG6740DAD84		OFFSHORE GROUP INVESTMENT LTD/	0.00	3/28/2019	1,578,663	962,984
L3434LAC4	XAL3434LAC45		EVERGREEN SKILLS LUX SARL	0.00	4/28/2021	2,431,625	2,372,571
L7300KAB0	XAL7300KAB07		ORTHO-CLINICAL DIAGNOSTICS INC	0.00	6/30/2021	2,530,204	2,475,733
Q3930AAC2	XAQ3930AAC26		FMG RESOURCES (AUGUST 2006) PT	0.00	6/30/2019	874,188	774,476

Page 46

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
	SG6TF1000003	BRK0MN5	SMRT CAPITAL PTE LTD	1.39	10/16/2017	2,000,000	1,474,846
	SG6XA6000001	BYJQZT0	NATIONAL UNIVERSITY OF SINGAPO	2.20	5/27/2020	1,250,000	923,691
	SG7D00925946	B0LMBN4	PSA CORP	2.83	7/6/2015	5,000,000	3,714,259
	XS0450933873	B41H8S1	PSA INTL	4.63	9/11/2019	1,000,000	1,092,110
	SG7W14957023	B3N13X4	PSA CORP	3.39	4/28/2020	1,000,000	764,709
	SG3248962544	B4PRDY8	SINGAPORE AIRLINES LTD	2.15	9/30/2015	1,500,000	1,115,147
	SG7Y16963639	B5SLCZ8	SBS TRANSIT LTD	1.95	10/26/2015	1,000,000	743,030
	SG6OH2000009		NATIONAL UNIVERSITY OF SINGAPO	1.71	2/13/2019	1,000,000	733,598
PRIVATE			ARAMARK CORPORATION	0.00	7/26/2016	8,639	8,596
PRIVATE			AFFINION GROUP	0.00	4/30/2018	990,991	950,938
PRIVATE			ASPECT SOFTWARE INC	0.00	5/7/2016	2,563,750	2,554,136
PRIVATE			BROCK HOLDINGS III INC	0.00	3/16/2017	1,185,466	1,173,611
PRIVATE			BROCK HOLDINGS III INC	0.00	3/14/2018	480,000	467,400
PRIVATE			SENSUS METERING	0.00	5/11/2018	1,000,000	990,000
PRIVATE			BARBRI INC	0.00	7/17/2019	1,238,297	1,163,999
PRIVATE			ARCH COAL INC.	0.00	5/16/2018	463,460	316,891
PRIVATE			MISYS PLC	0.00	12/12/2018	2,977,069	2,976,140
PRIVATE			TANK HOLDING CORP	0.00	3/16/2022	582,707	583,920
PRIVATE			CENTERPLATE INC	0.00	11/26/2019	994,962	991,231
PRIVATE			TRANSTAR HOLDING COMPANY	0.00	10/9/2018	1,502,846	1,491,575
PRIVATE			CDR DB SUB INC	0.00	10/11/2019	1,435,678	1,376,456
PRIVATE			HARVARD DRUG GROUP LLC /THE	0.00	8/16/2020	2,467,887	2,457,603
PRIVATE			CUNNINGHAM LINDSEY INTERMEDIAT	0.00	6/10/2020	1,000,000	935,000
PRIVATE			ARDENT MEDICAL	0.00	7/2/2018	3,288,889	3,287,518
PRIVATE			SEQUA CORP	0.00	6/19/2017	1,696,212	1,481,358
PRIVATE			ATI HOLDINGS LLC	0.00	12/20/2019	2,745,313	2,748,745
PRIVATE			CROSSMARK HOLDINGS INC	0.00	12/21/2020	750,000	600,000
PRIVATE			SAGE PRODUCTS HOLDINGS III LLC	0.00	12/13/2019	786,145	786,473
PRIVATE			VESTCOM INTL INC.	0.00	9/30/2021	147,375	145,165
PRIVATE			TOTAL SAFETY US INC	0.00	3/13/2020	1,977,031	1,789,213
PRIVATE			TOTAL SAFETY US INC	0.00	9/13/2020	324,188	259,350
PRIVATE			PANDA TEMPLE POWER II LLC	0.00	3/25/2019	1,440,000	1,353,600
PRIVATE			ALG BV	0.00	2/28/2020	735,689	735,689
PRIVATE			SECURUS TECHNOLOGIES HOLDINGS	0.00	4/30/2020	1,228,128	1,189,749
PRIVATE			SECURUS TECHNOLOGIES HOLDINGS	0.00	4/30/2021	540,000	512,325
PRIVATE			JC PENNEY CORPORATION INC	0.00	5/22/2018	2,588,332	2,580,782
PRIVATE			CLEAR CHANNEL COMMUN, INC.	0.00	1/30/2019	2,000,000	1,842,916
PRIVATE			ONEX CARESTREAM FINANCE LP	0.00	6/7/2019	2,346,680	2,344,585
PRIVATE			ONEX CARESTREAM FINANCE LP	0.00	12/7/2019	448,278	445,028
PRIVATE			QUICKSILVER RESOURCES INC	0.00	6/21/2019	500,000	298,750
PRIVATE			CTI FOODS HOLDING CO LLC	0.00	6/29/2020	497,468	488,452

Page 47

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
PRIVATE			EMERALD EXPOSITIONS HOLDING IN	0.00	6/17/2020	1,919,176	1,914,378
PRIVATE			FOUR SEASONS HOLDINGS INC	0.00	12/28/2020	1,335,000	1,335,000
PRIVATE			TRIPLE POINT TECHNOLOGY INC	0.00	7/10/2020	1,762,591	1,568,706
PRIVATE			ALTICE FINANCING SA	0.00	7/2/2016	3,561,156	3,586,380
PRIVATE			BMC SOFTWARE FINANCE INC	0.00	9/10/2020	2,778,074	2,609,845
PRIVATE			FORESIGHT ENERGY LLC	0.00	8/21/2020	1,575,095	1,555,407
PRIVATE			CPG INTERNATIONAL INC	0.00	9/30/2020	1,775,381	1,757,628
PRIVATE			FIELDWOOD ENERGY LLC	0.00	9/30/2020	1,515,000	1,153,294
PRIVATE			HUDSONS BAY CO	0.00	11/4/2020	1,054,054	1,055,937
PRIVATE			P2 LOWER ACQUISITION LLC	0.00	10/22/2020	2,551,111	2,554,299
PRIVATE			P2 LOWER ACQUISITION LLC	0.00	10/28/2021	785,000	781,075
PRIVATE			OMNITRACS INC	0.00	5/25/2021	1,000,000	978,333
PRIVATE			OMNITRACS INC	0.00	11/25/2020	2,977,363	2,973,642
PRIVATE			P2 ENERGY SOLUTIONS INC	0.00	10/30/2020	2,403,400	2,355,332
PRIVATE			BJS WHOLESALE CLUB, INC.	0.00	11/18/2015	925,000	930,781
PRIVATE			BJS WHOLESALE CLUB, INC.	0.00	9/26/2019	2,681,906	2,680,214
PRIVATE			ACTIVE NETWORK INC (THE)	0.00	11/13/2020	2,282,626	2,248,387
PRIVATE			ACTIVE NETWORK INC (THE)	0.00	11/15/2021	500,000	474,375
PRIVATE			MCJUNKIN RED MAN CORP	0.00	11/8/2019	1,887,709	1,871,192
PRIVATE			FILTRATION GROUP CORP	0.00	11/22/2021	252,660	253,182
PRIVATE			BULLSEYE MERGERSUB INC	0.00	11/26/2020	2,473,628	2,414,493
PRIVATE			DEL MONTE FOODS CONSUMER PRODU	0.00	2/18/2021	989,975	942,126
PRIVATE			DEL MONTE FOODS CONSUMER PRODU	0.00	8/18/2021	750,000	680,156
PRIVATE			OFFSHORE GROUP INVESTMENT LTD	0.00	10/25/2017	815,609	570,926
PRIVATE			THE BRICKMAN GROUP LTD LLC	0.00	12/18/2015	1,130,000	1,130,565
PRIVATE			BRICKMAN GROUP HOLDINGS INC	0.00	12/18/2020	299,242	297,497
PRIVATE			CLEAR CHANNEL COMMUN, INC.	0.00	7/30/2019	239,250	223,649
PRIVATE			HEARTLAND DENTAL CARE INC	0.00	12/21/2018	2,954,914	2,954,914
PRIVATE			NTNL MNTR HLDGS	0.00	1/31/2021	2,509,576	2,502,675
PRIVATE			PHARMEDIUM HLTH	0.00	1/28/2022	750,000	750,000
PRIVATE			ALLIED SECURITY HOLDINGS LLC	0.00	8/13/2021	680,651	680,651
PRIVATE			PHILLIPS PET FOOD & SUPPLIES	0.00	1/31/2022	750,000	553,125
PRIVATE			OPENLINK INTERNATIONAL INTERME	0.00	10/30/2017	1,329,070	1,326,578
PRIVATE			COLLECTIVE BRANDS INC	0.00	3/11/2021	2,077,000	1,974,448
PRIVATE			AMERICAN PACIFIC CORP	0.00	2/27/2019	987,500	994,084
PRIVATE			WME IMG LLC	0.00	5/6/2022	1,360,000	1,317,500
PRIVATE			WME IMG LLC	0.00	5/6/2021	1,984,962	1,980,000
PRIVATE			GYP HOLDINGS III CORP	0.00	4/1/2021	2,227,500	2,143,969
PRIVATE			GYP HOLDINGS III CORP	0.00	4/1/2022	615,000	593,475

Page 48

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
PRIVATE			MEDPACE INC	0.00	4/1/2021	1,852,632	1,855,720
PRIVATE			CAESARS GROWTH PROPERTIES PARE	0.00	5/8/2021	1,570,996	1,327,492
PRIVATE			FAIRMOUNT MINERALS LTD	0.00	9/5/2019	754,242	714,016
PRIVATE			CHECKOUT HOLDING	0.00	4/11/2022	2,620,000	1,955,175
PRIVATE			CHECKOUT HOLDING	0.00	4/9/2021	1,732,500	1,552,031
PRIVATE			HUDSON PRODUCTS	0.00	3/15/2019	943,333	933,900
PRIVATE			MILLENNIUM LABORATORIES INC	0.00	4/16/2021	2,977,444	1,202,143
PRIVATE			MEN'S WEARHOUSE INC	0.00	6/18/2021	631,351	632,140
PRIVATE			MUNTERS AB	0.00	5/5/2021	1,683,000	1,674,585
PRIVATE			SKILLSOFT CORP	0.00	4/28/2022	1,850,000	1,732,525
PRIVATE			US JOINER HOLDING COMPANY	0.00	4/16/2020	987,500	977,625
PRIVATE			DOOSAN INFRACORE INTERNATIONAL	0.00	5/28/2021	915,365	922,231
PRIVATE			TASC INC	0.00	5/2/2016	1,392,818	1,408,501
PRIVATE			LEARNING CARE GROUP US NO 2 IN	0.00	5/5/2021	2,493,089	2,489,972
PRIVATE			CHIEF EXPLORATION & DEVELOPMEN	0.00	5/16/2021	500,000	471,875
PRIVATE			POST HOLDINGS INC	0.00	6/2/2021	1,990,000	1,979,340
PRIVATE			SI ORGANIZATION INC	0.00	11/23/2019	2,336,484	2,340,865
PRIVATE			SI ORGANIZATION INC	0.00	11/23/2019	60,888	61,002
PRIVATE			UTEX IND	0.00	5/21/2021	2,435,124	2,250,462
PRIVATE			SUNEDISON SEMICO	0.00	5/27/2019	965,250	965,250
PRIVATE			WP MUSTANG HOLDINGS LLC	0.00	5/29/2021	2,725,602	2,705,160
PRIVATE			UTEX IND	0.00	5/20/2022	750,000	633,750
PRIVATE			SI ORGANIZATION INC	0.00	5/23/2020	700,000	700,000
PRIVATE			GREEN PLAINS REN	0.00	6/30/2020	897,997	900,242
PRIVATE			ENCOMPASS DIGITAL MEDIA INC	0.00	6/5/2022	500,000	496,250
PRIVATE			OTTER PRODUCTS LLC	0.00	6/3/2020	1,315,215	1,315,215
PRIVATE			ENCOMPASS DIGITAL MEDIA INC	0.00	6/6/2021	2,020,429	2,022,954
PRIVATE			AZ CHEM US	0.00	6/10/2022	580,000	576,375
PRIVATE			AZ CHEM US	0.00	6/11/2021	1,525,127	1,523,936
PRIVATE			NEW ALBERTSONS	0.00	6/27/2021	1,488,750	1,489,494
PRIVATE			WORLD TRIATHLON CORP	0.00	6/25/2021	495,000	494,381
PRIVATE			SOLENIS INTERNATIONAL LP	0.00	7/31/2022	500,000	483,125
PRIVATE			WINEBOW GROUP LLC	0.00	1/2/2022	1,000,000	955,000
PRIVATE			HEALOGICS INC	0.00	7/1/2021	2,064,599	2,052,986
PRIVATE			BIRCH COMMUNICATIONS HOLDINGS	0.00	7/17/2020	2,914,583	2,914,583
PRIVATE			TRIBUNE PUBLISHING CO	0.00	8/4/2021	2,288,632	2,287,678
PRIVATE			EMERALD PERFORMANCE MATERIALS	0.00	7/30/2021	883,325	881,853
PRIVATE			SURGERY CENTER HOLDINGS INC	0.00	11/3/2020	895,500	891,023
PRIVATE			ENERGY & EXPLORATION PARTNERS	0.00	1/22/2019	3,564,000	2,995,542
PRIVATE			CCS INTERMEDIATE HOLDINGS LLC	0.00	7/23/2021	1,508,600	1,448,256
PRIVATE			EMERALD PERFORMANCE MATERIALS	0.00	8/1/2022	620,000	615,091

Page 49

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
PRIVATE			CITGO PETROLEUM CORPORATION	0.00	7/29/2021	1,012,350	1,011,507
PRIVATE			ALM MEDIA HOLDGS	0.00	7/30/2021	500,000	490,000
PRIVATE			IBC CAPITAL LTD	0.00	9/9/2021	2,074,800	2,026,389
PRIVATE			AP NMT ACQUISITION BV	0.00	8/13/2021	893,250	882,828
PRIVATE			NATIONAL VETERINARY ASSOCIATES	0.00	8/14/2021	2,307,793	2,308,755
PRIVATE			ALBERTSONS INC	0.00	8/8/2015	3,271,800	3,285,928
PRIVATE			PACKAGING COORDINATORS INC	0.00	8/1/2022	1,000,000	985,000
PRIVATE			IMC OP LP	0.00	8/15/2020	1,448,037	1,451,657
PRIVATE			ZEST ANCHORS LLC	0.00	8/16/2020	1,787,954	1,792,424
PRIVATE			AP NMT ACQUISITION BV	0.00	8/13/2022	450,000	434,250
PRIVATE			WAND INTERMEDIATE I LP	0.00	9/17/2015	125,000	125,000
PRIVATE			SCINTFIC GMS INT INC	0.00	10/1/2021	1,393,000	1,391,100
PRIVATE			WAND INTERMEDIATE I LP	0.00	9/17/2022	500,000	501,250
PRIVATE			MIDAS INTERMEDIATE HOLDCO II L	0.00	9/19/2015	100,756	101,386
PRIVATE			TPF II POWER LLC	0.00	9/29/2015	2,602,125	2,620,339
PRIVATE			MIDAS INTERMEDIATE HOLDCO II L	0.00	9/19/2015	894,210	899,799
PRIVATE			BERLIN PACKAGING LLC	0.00	10/1/2021	1,492,481	1,493,104
PRIVATE			CROWNE GROUP LLC	0.00	9/30/2020	397,000	396,008
PRIVATE			ZEBRA TECHNOLOGIES CORPORATION	0.00	10/27/2015	2,027,894	2,049,581
PRIVATE			CROWNE GROUP LLC	0.00	9/30/2021	600,000	588,000
PRIVATE			FHC HEALTH SYSTEMS INC	0.00	10/8/2021	1,167,075	1,153,945
PRIVATE			AVG TECHNOLOGIES NV	0.00	10/15/2015	726,350	727,258
PRIVATE			ECO SERVICES OPERATIONS LLC	0.00	12/1/2021	796,000	790,030
PRIVATE			METALDYNE PERFORMANCE GROUP IN	0.00	10/20/2021	244,549	244,038
PRIVATE			VESTCOM INTL INC.	0.00	9/30/2022	425,000	418,625
PRIVATE			PRO MACH INC TL B	0.00	10/22/2021	1,373,100	1,376,533
PRIVATE			SOURCEHOV LLC	0.00	10/31/2019	691,250	637,678
PRIVATE			ALLIANCE TIRE GROUP BV	10.50	6/26/2021	1,000,000	1,000,000
PRIVATE			PACKERS HOLDINGS LLC	0.00	12/2/2021	895,500	899,978
PRIVATE			CREGANNA-TACTX MEDICAL	0.00	12/1/2021	148,065	148,127
PRIVATE			CREGANNA-TACTX MEDICAL	0.00	10/31/2016	500,000	503,125
PRIVATE			TIBCO SOFTWARE INC	0.00	12/4/2020	643,388	642,181
PRIVATE			US TELEPACI	0.00	11/25/2020	1,840,750	1,837,681
PRIVATE			HLX PLY HOLDINGS INC	0.00	12/4/2015	1,531,725	1,540,341
PRIVATE			VARSITY BRANDS HOLDING CO INC	0.00	12/14/2015	547,250	550,328
PRIVATE			PRIMEDIA INC.	0.00	12/17/2015	2,095,485	2,105,962
PRIVATE			COMPUWARE CORPORATION	0.00	12/15/2021	995,000	968,881
PRIVATE			SURVEY SAMPLING INTERNATIONAL	0.00	12/16/2020	375,000	374,531
PRIVATE			SURVEY SAMPLING INTERNATIONAL	0.00	12/16/2021	375,000	371,250
PRIVATE			CH SERVICES ACQUISITION INC	0.00	7/20/2015	1,097,250	1,099,993
PRIVATE			IG INVESTMENTS HOLDINGS LLC	0.00	1/23/2016	3,721,374	3,726,026

Page 50

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
PRIVATE			ONEX WIZARD US ACQUISITION INC	0.00	3/11/2022	673,313	671,870
PRIVATE			KAUFMAN HALL & ASSOCIATES INC	6.00	12/31/2020	745,313	730,406
PRIVATE			GLOBAL KNOWLEDGE TRAINING LLC	0.00	1/29/2021	398,000	398,000
PRIVATE			ACADIA HEALTHCARE CO INC	0.00	2/3/2016	587,050	589,496
PRIVATE			GLOBAL KNOWLEDGE TRAINING LLC	0.00	1/28/2022	175,000	175,000
PRIVATE			RIVERBED TECHNOLOGY INC	0.00	8/12/2015	1,157,100	1,166,501
PRIVATE			VALEANT PHARMACEUTICALS INTERN	0.00	4/1/2022	997,500	996,593
PRIVATE			CHS/COMMUNITY HEALTH SYSTEMS I	0.00	12/31/2018	1,197,000	1,195,289
PRIVATE			AMERICAN TIRE DISTRIBUTORS INC	0.00	3/23/2016	1,650,369	1,663,778
PRIVATE			MURRAY ENERGY CORP	0.00	4/16/2020	1,211,963	1,120,560
PRIVATE			REGAL CINEMAS CORP	0.00	10/2/2015	550,000	550,295
PRIVATE			AIR MEDICAL GROUP HOLDINGS INC	0.00	4/28/2022	830,000	823,429
PRIVATE			CONCORDIA HEALTHCARE CORP	0.00	4/6/2016	740,000	742,159
PRIVATE			MURRAY ENERGY CORP	0.00	4/17/2017	90,000	89,175
PRIVATE			AMNEAL PHARMACEUTICALS LLC	0.00	10/9/2015	300,000	300,000
PRIVATE			ASP ASPEN ACQUISITION SUB INC	0.00	4/16/2016	500,000	500,834
PRIVATE			DJO FINANCE LLC	0.00	10/17/2015	750,000	750,000
PRIVATE			ACOSTA HOLDCO INC	0.00	9/26/2021	2,736,250	2,726,558
PRIVATE			CHEMOURS COMPANY LLC	0.00	5/12/2022	750,000	745,313
PRIVATE			WASH MULTIFAMILY LAUNDRY SYSTE	0.00	5/13/2022	170,194	169,130
PRIVATE			BURGER KING NEWCO	0.00	12/10/2021	758,978	758,029
PRIVATE			PETSMART INC.	0.00	3/11/2022	1,115,000	1,113,226
PRIVATE			EPICOR SOFTWARE CORP	0.00	6/1/2022	1,370,000	1,364,578
PRIVATE			WIDEOPENWEST FINANCE LLC	0.00	4/1/2019	994,962	993,469
PRIVATE			WASH MULTIFAMILY LAUNDRY SYSTE	0.00	5/13/2022	29,806	29,620
PRIVATE			DYNACAST INTERNATIONAL LLC	0.00	11/21/2015	837,900	841,042
PRIVATE			MERRILL COMMUNICATIONS LLC	0.00	5/27/2022	1,575,000	1,571,063
PRIVATE			PARADIGM ACQUISITION CORP	0.00	6/2/2022	575,000	569,250
PRIVATE			DELL INTERNATIONAL LLC	0.00	4/29/2020	1,900,000	1,897,625
PRIVATE			DOLLAR TREE INC	0.00	3/9/2022	700,000	699,708
PRIVATE			TRIBUNE COMPANY	0.00	12/27/2020	1,510,000	1,509,370
PRIVATE			AMERICAN BATH GROUP LLC	0.00	6/10/2020	575,000	575,719
						1,234,008,514	$	1,226,826,556
Corporate Debt Securities - Utilities
025537AF8	US025537AF85	B90G862	AMERICAN ELECTRIC POWER COMPAN	1.65	12/15/2017	1,250,000	$	1,246,450
03040WAB1	US03040WAB19		AMERICAN WATER CAPITAL CORP.	6.09	10/15/2017	150,000	165,097
125896BC3	US125896BC31	B5BLWP5	CMS ENERGY CO	8.75	6/15/2019	3,057,000	3,749,185

Page 51

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
131347CE4	US131347CE49	BP45760	CALPINE CORP	5.38	1/15/2023	2,000,000	1,947,500
198280AA7	US198280AA76	BY58Y93	COLUMBIA PIPELINE GROUP INC	2.45	6/1/2018	390,000	392,244
198280AC3	US198280AC33	BY58YD7	COLUMBIA PIPELINE GROUP INC	3.30	5/1/2020	1,725,000	1,726,635
202795HS2	US202795HS28		COMMONWEALTH EDISON COMPANY	6.15	9/15/2017	5,748,000	6,336,337
202795JC5	US202795JC57	BHZ7X61	COMMONWEALTH EDISON COMPANY	2.15	12/15/2018	1,200,000	1,196,813
209111ET6	US209111ET63		CONSOLIDATED EDISON INC	5.85	4/1/2018	250,000	278,506
23311VAE7	US23311VAE74	BKR3FW8	DCP MIDSTREAM PARTNERS LP	2.70	4/1/2019	1,500,000	1,413,135
25746UCA5	US25746UCA51		DOMINION RESOURCES INC	2.50	12/1/2019	100,000	99,881
26441CAH8	US26441CAH88	B88CR57	DUKE ENERGY CORP	1.63	8/15/2017	250,000	250,708
26441CAK1	US26441CAK18	BBHV693	DUKE ENERGY CORP	2.10	5/15/2018	1,550,000	1,561,031
283695BP8	US283695BP85		EL PASO NATURAL GAS COMPANY	5.95	4/15/2017	150,000	159,567
292480AA8	US292480AA83	BMPQNV8	ENABLE MIDSTREAM PARTNERS LP	2.40	5/15/2019	1,595,000	1,530,362
29250RAK2	US29250RAK23		ENBRIDGE ENERGY PRTNRS LP	8.05	10/1/2017	100,000	102,750
29273RBD0	US29273RBD08	BWB92G9	ENERGY TRANSFER PARTNERS LP	4.05	3/15/2025	680,000	640,547
29336UAA5	US29336UAA51		ENLINK MIDSTREAM PARTNERS LP	2.70	4/1/2019	3,700,000	3,624,967
29364GAG8	US29364GAG82		ENTERGY CORP	4.70	12/15/2016	100,000	103,726
30161MAP8	US30161MAP86	BV9R161	EXELON GENERATION CO LLC	2.95	12/15/2019	3,780,000	3,778,642
30161NAH4	US30161NAH44	BZ0C8V7	EXELON CORPORATION	2.85	5/15/2020	2,250,000	2,263,434
302570AX4	US302570AX43		FPL GROUP CAPITAL INC	6.65	6/15/2067	200,000	180,000
302570BD7	US302570BD79		NEXTERA ENERGY CAPITAL HOLDING	6.00	3/1/2019	3,250,000	3,628,106
340711AQ3	US340711AQ34		FL GAS TSMN CO	7.90	5/15/2019	3,200,000	3,758,999
36962G3M4	US36962G3M40		GENERAL ELEC CAP CORP	6.38	11/15/2017	1,575,000	1,689,188
454889AN6	US454889AN65		INDIANA MICHIGAN POWER COMPANY	7.00	3/15/2019	150,000	174,385
494550AU0	US494550AU03		KINDER MORGAN ENERGY PARTNERS	6.00	2/1/2017	1,193,000	1,267,205
494550BR6	US494550BR64	BCR4BZ0	KINDER MORGAN ENERGY PARTNERS	2.65	2/1/2019	4,050,000	4,005,066
49456BAD3	US49456BAD38	BST7881	KINDER MORGAN HOLDCO LLC	2.00	12/1/2017	30,000	29,832
49456BAE1	US49456BAE11	BST7892	KINDER MORGAN HOLDCO LLC	3.05	12/1/2019	2,875,000	2,859,860
50188FAE5	US50188FAE51	B8G11Q5	LG&E AND KU ENERGY LLC	4.38	7/1/2021	4,850,000	5,178,404
55336VAA8	US55336VAA89	BVWXT73	MPLX LP	4.00	2/15/2025	325,000	312,797
59562VAW7	US59562VAW72	BM4QJT9	BERKSHIRE HATHAWAY ENERGY CO	1.10	5/15/2017	4,375,000	4,351,730
59562VAX5	US59562VAX55		BERKSHIRE HATHAWAY ENERGY CO	2.00	10/15/2018	200,000	200,224
65473QAS2	US65473QAS21		NISOURCE FINANCE CORPORATION	6.40	3/15/2018	105,000	117,712
68235PAD0	US68235PAD06		ONE GAS INC	2.07	2/1/2019	100,000	99,799
693304AL1	US693304AL18	B2QQVC4	PECO ENERGY CO	5.35	3/1/2018	200,000	219,253
693304AQ0	US693304AQ05		PECO ENERGY CO	1.20	10/15/2016	111,000	111,442
69331CAF5	US69331CAF59	BK1Q329	PG&E CORP	2.40	3/1/2019	150,000	149,693
69353UAB7	US69353UAB70		PPL WEM HOLDINGS PLC	3.90	5/1/2016	2,500,000	2,556,073
698455AB8	US698455AB81		PANHANDLE EAST PIPE LINE	7.00	6/15/2018	155,000	174,540

Page 52

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
71656LBC4	US71656LBC46	BVFJP36	PETROLEOS MEXICANOS	3.50	7/23/2020	1,667,000	1,687,016
72650RBG6	US72650RBG65		PLAINS ALL AMERICAN PIPELINE L	2.60	12/15/2019	1,925,000	1,910,693
74456QBG0	US74456QBG01		PUBLIC SERVICE ELECTRIC AND GA	1.80	6/1/2019	200,000	199,035
74966NAA4	US74966NAA46	BNJZDL8	RJS POWER HOLDINGS LLC	5.13	7/15/2019	1,500,000	1,470,000
816851AS8	US816851AS80	B6X1N13	SEMPRA ENERGY	2.30	4/1/2017	100,000	101,395
816851AW9	US816851AW92		SEMPRA ENERGY	2.40	3/15/2020	3,225,000	3,189,723
842400GB3	US842400GB36		SOUTHERN CALIFORNIA EDISON CO.	1.13	5/1/2017	2,240,000	2,235,393
842400GD9	US842400GD91		SOUTHERN CALIFORNIA EDISON CO.	2.40	2/1/2022	3,500,000	3,388,763
842587CK1	US842587CK18		SOUTHERN COMPANY (THE)	1.30	8/15/2017	4,145,000	4,128,711
842587CL9	US842587CL90		SOUTHERN COMPANY (THE)	2.15	9/1/2019	4,610,000	4,544,963
84756NAC3	US84756NAC39	BDZMNZ7	SPECTRA ENERGY PARTNERS LP	2.95	8/25/2018	5,000,000	5,098,994
89346DAG2	US89346DAG25	BMQNJP4	TRANSALTA CORP	1.90	6/3/2017	31,000	30,746
89352HAF6	US89352HAF64		TRANSCANADA PIPELINES LIMITED	6.50	8/15/2018	100,000	113,407
927804FM1	US927804FM19		VIRGINIA ELECTRIC AND POWER CO	1.20	1/15/2018	150,000	148,607
95709TAD2	US95709TAD28		WESTAR ENERGY INC	5.10	7/15/2020	5,000,000	5,574,635
958254AB0	US958254AB09	B8HN8P8	WESTERN GAS PARTNERS LP	4.00	7/1/2022	6,650,000	6,644,299
96949LAA3	US96949LAA35		WILLIAMS PARTNERS LP	3.60	3/15/2022	8,275,000	8,028,840
976656CF3	US976656CF33		WISCONSIN ELECTRIC POWER COMPA	1.70	6/15/2018	150,000	149,165
98389BAK6	US98389BAK61		XCEL ENERGY INC	5.61	4/1/2017	200,000	214,192
	SG7396914140	6709044	SP POWERASSETS	4.84	10/22/2018	1,500,000	1,214,259
	SG7R76941003	B3CZM41	SP POWERASSETS	4.19	8/18/2015	3,000,000	2,236,621
	HK0000078540		HKCG FINANCE LTD	1.40	4/11/2016	2,000,000	316,063
	US73919WAC01		POWER BUYER LLC	0.00	5/6/2020	383,289	382,331
	US73919WAD83		POWERTEAM SERVICES LLC	0.00	5/6/2020	20,570	20,468
PRIVATE			ESSENTIAL POWER LLC	0.00	8/8/2019	938,747	942,267
PRIVATE			PANDA SHERMAN POWER LLC	0.00	9/13/2018	1,296,131	1,276,689
PRIVATE			FR DIXIE ACQUISITION CORP	0.00	12/18/2020	2,330,747	1,998,616
PRIVATE			CALPINE CORP	0.00	5/27/2022	700,000	692,891
						121,956,484	$	121,570,607
Asset Backed Securities - Credit Cards
02582JGU8	US02582JGU88		AMERICAN EXPRESS CREDIT ACCOUN	1.49	9/15/2017	3,000,000	$	3,018,815
05522RCR7	US05522RCR75		BACCT_14-A2	0.46	4/22/2017	4,000,000	4,005,045
06742LAH6	US06742LAH69		DROCK_15-1	2.20	2/17/2020	12,400,000	12,443,180
14041NDL2	US14041NDL29		CAPITAL ONE MULTI-ASSET EXE TR	0.27	2/21/2017	5,230,000	5,219,748
14041NDX6	US14041NDX66		CAPITAL ONE MULTI-ASSET EXECUT	5.75	9/15/2017	850,000	933,618
161571FQ2	US161571FQ20		CHASE ISSUANCE TRUST CHAIT_12-	2.16	9/15/2022	500,000	485,760
161571GJ7	US161571GJ77		CHASE ISSUANCE TRUST CHAIT_14-	1.15	1/17/2017	700,000	702,545
161571GM0	US161571GM07		CHAIT_14-A4	0.41	4/15/2016	6,665,000	6,664,000
161571GT5	US161571GT59		CHAIT_15-A2	1.59	2/15/2018	16,500,000	16,604,365
161571GY4	US161571GY45		CHAIT_15-A5	1.36	4/16/2018	2,500,000	2,497,153

Page 53

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
17305EDT9	US17305EDT91		CCCIT_13-A1	6.15	6/15/2037	100,000	128,340
17305EDY8	US17305EDY86		CCCIT_13-A1	5.65	9/20/2017	400,000	438,460
17305EEE1	US17305EEE14		CITIBANK CREDIT CARD ISSUANCE	5.35	2/7/2018	686,000	754,947
17305EFE0	US17305EFE05		CCCIT_13-A6	1.32	9/7/2016	500,000	503,226
17305EFM2	US17305EFM21		CCCIT_14-A1	2.88	1/21/2021	750,000	771,600
17305EFR1	US17305EFR18		CCCIT_14-A5	2.68	6/7/2021	125,000	127,079
17305EFU4	US17305EFU47		CCCIT_14-A8	1.73	4/9/2018	4,630,000	4,664,905
254683AC9	US254683AC94		DCENT_07-A1	5.65	9/15/2017	900,000	986,591
254683AY1	US254683AY15		DISCOVER CARD MASTER TRUST DCE	1.67	7/15/2019	1,000,000	992,569
36159JDH1	US36159JDH14		GEMNT_12-6	1.36	8/15/2017	500,000	499,784
36159JDQ1	US36159JDQ13		GE CAPTIAL CREDIT CARD MASTER	1.35	3/15/2018	500,000	495,637
87165LAF8	US87165LAF85		SYNCT_15-1	2.37	3/16/2020	1,530,000	1,536,963
						63,966,000	$	64,474,330
Asset Backed Securities - Auto Receivables
02006TAC0	US02006TAC09		ALLY AUTO RECEIVABLES TRUST AL	1.53	10/1/2017	450,000	$	451,643
02006XAD9	US02006XAD93		ALLYL_15-SN1	1.21	1/20/2017	700,000	700,378
03062AAB2	US03062AAB26		AMCAR_14-3	0.64	12/24/2015	6,778,582	6,778,786
03065KAB7	US03065KAB70		AMCAR_15-1	0.77	1/24/2016	2,170,000	2,169,024
13975DAD7	US13975DAD75		AFIN_13-3	1.68	11/20/2016	400,000	403,019
14313TAC3	US14313TAC36		CARMX_14-3	1.16	3/3/2017	5,150,000	5,158,397
14313UAC0	US14313UAC09		CARMX_14-4	1.25	6/17/2017	2,850,000	2,851,174
34530GAE2	US34530GAE26		FORDO_13-D	1.11	6/16/2017	800,000	801,308
34530RAA6	US34530RAA68		FORDR_15-1	2.12	2/16/2016	2,430,000	2,431,239
38013PAC3	US38013PAC32		GMALT_15-1	1.53	9/21/2017	3,100,000	3,103,493
43814GAD2	US43814GAD25		HAROT_14-2	1.18	8/3/2017	220,000	219,994
43814KAC5	US43814KAC53		HAROT_15-1	1.05	5/16/2017	2,950,000	2,949,315
44890UAD6	US44890UAD63		HART_14-B	1.46	1/15/2018	750,000	753,137
58768LAD5	US58768LAD55		MERCEDES-BENZ AUTO LEASE TRUST	1.10	11/1/2016	350,000	350,875
62005QAA5	US62005QAA58		MOTOR_15-1	0.79	3/14/2017	2,560,000	2,554,880
65477PAC5	US65477PAC59		NAROT_14-A	0.72	8/1/2016	750,000	749,070
80283YAB1	US80283YAB11		SDART_14-4	0.67	12/1/2015	5,090,532	5,086,358
89231MAC9	US89231MAC91		TAOT_14-A	0.67	7/1/2016	650,000	649,427
98158QAD8	US98158QAD88		WOART_12-B	0.81	4/15/2016	500,000	500,075
98160QAD4	US98160QAD43		WOART 2014-B	1.14	7/18/2017	5,670,000	5,664,395
						44,319,114	$	44,325,987
Asset Backed Securities - Student Loans
00389VAA0	US00389VAA08		ALFT_13-1A	0.99	9/29/2024	12,624,648	$	12,596,824
00432CAZ4	US00432CAZ41		AGSL_03-1	0.70	10/14/2021	4,100,000	4,009,136
00432CBB6	US00432CBB63		AGSL_03-1	0.38	9/28/2023	3,600,000	3,509,060
00432CBP5	US00432CBP59		AGSL_03-1	0.00	10/28/2023	5,350,000	5,226,987
00434MAC1	US00434MAC10		ACCESS TO LOANS FOR LEARNING S	0.99	12/22/2023	13,947,029	14,049,679
10620NAC2	US10620NAC20	B0X9R79	BRAZOS HIGHER EDUCATION AUTHOR	0.40	3/26/2016	462,937	462,106
26845BAA7	US26845BAA70		EFSV2_ 2012-1	1.07	9/13/2017	2,700,044	2,714,274
281378AA7	US281378AA73		EDUSA_15-1	0.93	6/26/2036	3,500,000	3,500,280
281379AA5	US281379AA56		EDUSA_10-1	1.13	3/30/2018	830,013	830,413
28137RAA5	US28137RAA59		EDUSA_14-1	0.88	3/26/2022	11,392,679	11,361,760
281381AA1	US281381AA11		EDUSA_14-3	0.79	6/17/2023	11,637,831	11,474,715

Page 54

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
28140DAB9	US28140DAB91		ELAB_13-1A	0.99	7/6/2018	3,568,498	3,581,381
36156YAN1	US36156YAN13		GCO EDUCATION LOAN FUNDING TRU	0.35	5/26/2016	470,262	469,240
57563NAA6	US57563NAA63		MEFA	1.23	5/13/2028	1,841,618	1,836,995
60535YAA1	US60535YAA10		MHEAC_14-1	0.86	3/9/2021	8,692,093	8,655,934
606072KS4	US606072KS45		MISSOURI HIGHER ED LN AUTH STU	1.13	12/16/2019	2,254,476	2,273,211
61205PAK5	US61205PAK57		MHESA_12-1	1.19	11/16/2017	27,479,091	27,771,111
64031QBW0	US64031QBW06	B09G860	NELS_05-2	0.36	3/22/2016	1,507,832	1,503,477
64033GAA9	US64033GAA94		NSLT_13-5A	0.82	1/13/2022	3,694,631	3,673,534
66705EAA6	US66705EAA64		NEF_12-1	0.89	8/4/2020	1,512,521	1,518,980
69339QAA7	US69339QAA76		PHEAA_14-2A	0.76	8/2/2024	3,830,754	3,823,629
698475AM2	US698475AM27		PANHANDLE-PLAINS HIGHER EDUCAT	1.40	10/5/2019	4,005,776	4,069,576
71722TAF1			PHEAA_04-1	1.01	9/14/2018	2,000,000	1,985,540
71722TAG9	US71722TAG94		PHEAA_04-1	1.63	8/15/2020	6,000,000	5,842,908
78442GQY5	US78442GQY51	B0QBRH2	SLMA_05-9	0.40	3/11/2016	1,973,628	1,969,497
78442GSC1	US78442GSC14		SLM STUDENT LOAN TRUST SLMA_06	0.36	3/11/2016	1,568,281	1,563,842
80705WAA7	US80705WAA71		SCHOL_12-B	0.59	3/13/2016	1,254,640	1,256,195
80705XAA5	US80705XAA54		SCHOL_13-A	0.84	9/1/2021	672,024	665,959
86386MAY0	US86386MAY03		STUDENT LOAN CON	1.41	7/24/2021	13,910,721	14,259,464
B0A0BSZC0	XS0168279080		SLMA_03-5	0.26	7/7/2018	899,827	981,941
U8280TAR8	XS0177125860	7687581	SLMA	0.54	10/5/2019	2,670,000	2,917,406
						159,951,854	$	160,355,054
Asset Backed Securities - CLO
00083VAA9	US00083VAA98		ACASC_07-1	0.51	7/27/2016	4,163,243	$	4,133,659
00089KAB5	US00089KAB52		ACIS_13	1.15	1/28/2019	12,211,343	11,924,157
00089RAA2	US00089RAA23		ACIS_13-1	0.78	4/25/2018	17,400,000	17,174,044
00100VAE0	US00100VAE02		ACIS CLO LTD ACIS_14-4A	2.05	4/17/2022	1,113,736	1,079,672
00100VAL4	US00100VAL45		ACIS_14-4A	1.76	1/14/2021	8,650,000	8,517,655
00306LAA2	US00306LAA26		ABERD_08-1A	0.93	12/27/2016	12,516,287	12,421,289
020056AJ6	US020056AJ67		ALM_12-5A	1.51	4/4/2017	9,600,000	9,590,489
033287AA1	US033287AA11		ANCHC_14-4A	1.73	1/4/2020	12,450,000	12,369,536
033287AJ2	US033287AJ20		ANCHC_14-4A	2.44	7/9/2021	3,600,000	3,581,521
03761QAA3	US03761QAA31		APID_06-QA	0.53	7/27/2016	2,636,709	2,629,186
03765PAA1	US03765PAA12		APID_15-21A	1.71	11/21/2021	2,020,000	2,016,364
04012VAA7	US04012VAA70		ARES	0.91	6/5/2017	4,788,179	4,733,589
04014WAA3	US04014WAA36		ARES CLO LTD ARES_14-1A	1.79	12/16/2019	5,000,000	5,000,545
04941LAE7	US04941LAE74		ATLAS SENIOR LOAN FUND LTD ATC	0.00	8/18/2024	15,300,000	11,078,822
04964WAA3	US04964WAA36		ATRM_14-11A	1.72	3/29/2020	6,000,000	5,999,010
04964WAC9	US04964WAC91		ATRM_11A	2.43	9/19/2021	1,000,000	1,000,600
08180FAA9	US08180FAA93		BSP_14-IVA	1.77	2/21/2020	14,100,000	14,064,750
09202XAA2	US09202XAA28		BLACK DIAMOND CLO LTD BLACK_06	0.53	2/6/2017	3,531,816	3,465,506
09628BAA6	US09628BAA61		BLUE MOUNTAIN CLO LTD BLUEM_15	0.00	11/21/2021	2,730,000	2,728,403
107265AL4	US107265AL40		BRENTWOOD CLO LTD BRENT_06-1A	0.55	6/21/2017	7,086,797	7,016,355
17178TAA4	US17178TAA43	B9HJWN9	CIFC_06-1BA	4.28	8/24/2018	750,000	738,435
22845TAL3	US22845TAL35		CRNPT_15-3A	1.80	2/12/2021	19,600,000	19,341,280
26249QAC2	US26249QAC24		DRYDEN SENIOR LOAN FUND DRSLF_	1.70	11/17/2021	1,600,000	1,599,502
26250AAL3	US26250AAL35		DRSLF_11-22A	1.45	6/6/2017	4,159,036	4,151,793

Page 55

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
26358BAA6	US26358BAA61		DUANE STREET CLO DUANE_06-3A	0.53	5/27/2016	55,645	55,466
352569AB3	US352569AB39		FCLO_5	0.55	3/15/2016	875,235	871,181
36319QAA0	US36319QAA04		GALXY_15-19A	1.81	7/1/2020	4,000,000	3,999,368
363206AF0	US363206AF07		GALE	0.52	3/4/2016	5,411,783	5,339,102
36361RAB3	US36361RAB33		GALLATIN FUNDING LTD GALL_13-1	1.43	3/16/2019	12,000,000	11,868,000
363639AE5	US363639AE54		GALL_14-1A	0.00	9/2/2022	5,150,000	4,253,900
378663AA6	US378663AA63		GLEAG_05-1A	0.55	6/30/2015	83,489	83,418
38136TAA1	US38136TAA16		GOLDS_07-5A	0.97	6/5/2016	4,909,773	4,881,301
40538BAE2	US40538BAE20		HLA_14-2A	2.28	9/1/2021	4,500,000	4,446,365
42822XAA3	US42822XAA37		HICDO_07-1RA	0.68	6/28/2016	4,820,500	4,768,844
44928XAA2	US44928XAA28		ICG_14-1A	1.43	1/2/2021	9,900,000	9,751,540
476759AA3	US476759AA37	B59SGM3	JERSEY STREET CLO LTD JERSY_06	0.53	9/5/2015	242,229	242,118
48248CAA2	US48248CAA27		KKR FINANCIAL CLO LTD KKR_07-1	0.62	4/5/2016	16,563,195	16,492,801
50183UAF4	US50183UAF49		LCM_14-X	1.53	3/7/2017	6,500,000	6,494,168
55817LAA8	US55817LAA89		MDPK_07-6A	5.53	8/24/2020	650,000	650,670
55818NAA3	US55818NAA37		MDPK_14-13A	5.28	5/20/2022	500,000	474,625
610332AE8	US610332AE82		MCBSL_15-1A	2.48	2/15/2023	550,000	538,756
610332AS7	US610332AS78		MCBSL_15-1A	0.00	8/10/2021	8,900,000	8,772,730
639107AA9	US639107AA96		NAUTIQUE FUNDING LTD NAUTQ_06-	0.53	4/21/2017	1,904,355	1,881,425
64090AAA2	US64090AAA25		NEUB_14-16A	4.48	8/23/2022	750,000	664,388
67089NAE2	US67089NAE22		OCP_12-2A	1.10	9/8/2017	10,171,481	10,012,338
67102SAA2	US67102SAA24		OCP_14-5A	1.28	3/19/2021	11,000,000	10,733,712
67103QAA5	US67103QAA58		OFSBS_13-5A	1.20	2/3/2019	9,500,000	9,291,010
67106AAA7	US67106AAA79		OFSBS_14-6A	1.30	6/21/2020	11,000,000	10,746,274
67106MAB9	US67106MAB90		OFSBS_14-7A	1.62	3/29/2020	1,200,000	1,185,215
675150AA4	US675150AA47		OCTR_06-1A	0.53	6/2/2017	1,037,401	1,026,508
67572NAU0	US67572NAU00		OCT12_12-1AR	1.55	3/19/2017	7,500,000	7,480,838
67573AAA1	US67573AAA16		OCT24_15-1A	1.73	11/6/2020	2,115,000	2,110,749
67590KAA8	US67590KAA88		OCT18_13-1A	5.53	5/2/2022	750,000	724,005
67590MAA4	US67590MAA45		OCT19_14-1A	5.13	10/30/2022	250,000	231,245
67590QAA5	US67590QAA58		OCT21_14-1A	1.75	6/5/2020	8,000,000	7,988,864
67590QAE7	US67590QAE70		OCT21_14-1A	2.68	11/3/2021	1,000,000	1,006,154
74982NAA4	US74982NAA46		RACEP_11-5AR	1.59	2/6/2017	5,384,293	5,384,508
803066AA7	US803066AA71		SAPPH_06-1A	0.55	6/7/2017	2,444,695	2,416,706
828428AA0	US828428AA06		SMORE 2014-1A	1.72	1/22/2020	5,950,000	5,925,534
828428AC6	US828428AC61		SMORE_14-1A	2.32	8/4/2021	1,150,000	1,140,877
86176YAA0	US86176YAA01		STCLO_07 6A	0.50	12/9/2016	1,323,242	1,305,378
87155MAA9	US87155MAA99		SYMPH_5	1.03	5/8/2018	9,803,199	9,717,431
92327JAA9	US92327JAA97		VENT_8	0.56	9/19/2017	1,259,350	1,238,617
92327JAC5	US92327JAC53		VENTURE CDO LTD VENTR_07-8A	0.50	9/19/2017	1,450,721	1,431,446
92912VAA3	US92912VAA35		VOYA_14-2A	1.72	3/27/2020	8,000,000	8,001,216
92914NAA9	US92914NAA90		VOYA CLO LTD VOYA_15-1A	1.74	1/1/2021	1,670,000	1,669,866
92914RAC6	US92914RAC60		VOYA_14-4A	2.68	2/16/2022	2,000,000	2,003,492
929260AA5	US929260AA52		WGH_06-1A	0.54	5/28/2016	839,292	832,561
93677PAB7	US93677PAB76		WASAT_06-1A	0.52	7/9/2018	8,750,962	8,549,445
98886MAA2	US98886MAA27		ZAIS_14-1A	1.68	8/12/2020	8,000,000	7,966,320
98886YAJ7	US98886YAJ73		ZAIS2_14-2A	2.38	2/23/2021	4,020,000	3,974,148

Page 56

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
G37116AC7	USG37116AC76		GALLATIN FUNDING LTD GALL_12-1	0.00	11/30/2022	3,445,000	2,084,225
G37130AC8	USG37130AC86		GALATTIN FUNDS LTD GALL_13-1X	0.00	1/13/2024	7,350,000	4,939,200
						396,637,986	$	384,004,210
Asset Backed Securities - Other
00104UAC2	US00104UAC27		AEPTC TEXAS CENTRAL TRANSITION	2.84	9/22/2022	200,000	$	202,479
02005AER5	US02005AER59		AMOT_14-5	1.60	10/16/2017	675,000	677,902
03072SKH7	US03072SKH75		AMSI_03-10	0.95	6/23/2023	5,903,770	5,740,844
037680AA3			AEPWV_13-1	2.01	7/13/2019	4,183,506	4,202,081
04542BDG4	US04542BDG41		ABFC_03-OPT1	0.87	1/18/2023	2,593,208	2,469,012
05377RCA0				2.63	10/6/2020	10,950,000	10,921,858
15200NAB1	US15200NAB10			3.46	2/28/2017	389,205	401,992
19625JAE3	US19625JAE38		BLUEMT_13-3A	3.19	7/28/2017	4,275,000	4,125,281
29365KAB9	US29365KAB98		ETI	3.65	2/1/2017	281,451	290,607
34528QDF8	US34528QDF81		FORDF_14-1	0.59	2/21/2017	16,000,000	16,020,886
477877AD6	US477877AD62		JDOT_14-B	1.07	9/1/2016	3,460,000	3,462,284
74332MAG0	US74332MAG06		PRG_15-SFR2	3.68	6/24/2020	4,165,000	4,135,724
83611MAQ1	US83611MAQ15		SOUNDVIEW HOME EQUITY LOAN TRU	1.49	2/14/2021	1,874,878	1,855,880
86358EAJ5	US86358EAJ55		SAIL_03-B2	0.87	11/12/2017	5,877,727	5,687,371
86358EJS6	US86358EJS63		STRUCTURED ASSET INVESTMENT LO	0.99	11/26/2022	4,885,926	4,601,887
86358EKH8	US86358EKH89		STRUCTURED ASSET INVESTMENT LO	1.03	7/26/2018	5,226,070	5,117,436
						70,940,741	$	69,913,524
Total Fixed Income Securities						7,706,748,554	$	6,431,543,064
Other Invested Assets - High Yield Fund
			CRESCENT CAPITAL HIGH YIELD FUND				$	29,880,743
Equities
2367963	BMG9456A1009	2367963	GOLAR LNG LTD			44,400	$	2,077,920
2824100	US0028241000	2002305	ABBOTT LABORATORIES			9,341	458,456
9158106	US0091581068	2011602	AIR PRODUCTS AND CHEMICALS INC			3,705	506,955
23135106		2000019	AMAZON.COM INC			2,549	1,106,495
25816109	US0258161092		AMERICAN EXPRESS COMPANY			84,590	6,574,335
31162100	US0311621009	2023607	AMGEN INC			8,674	1,331,632
36752103	US0367521038	BSPHGL4	ANTHEM INC			3,210	526,889
37411105	US0374111054		APACHE CORP			47,000	2,708,610
37833100	US0378331005		APPLE INC			57,826	7,252,826
39483102			ARCHER-DANIELS-MIDLAND COMPANY			10,838	522,608
53015103	US0530151036	2065308	AUTOMATIC DATA PROCESSING, INC			5,749	461,242
53484101		2131179	AVALONBAY COMMUNITIES INC			7,800	1,246,986
54937107	US0549371070	2830904	BB&T CORP			6,841	275,761
56752108	US0567521085	B0FXT17	BAIDU INC			3,477	692,201
57224107	US0572241075		BAKER HUGHES INC			4,699	289,928

Page 57

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
60505104	US0605051046		BANK OF AMERICA			56,630	963,843
64058100	US0640581007	B1Z77F6	BANK OF NEW YORK MELLON CORP/T			4,784	200,784
67383109	US0673831097	2077905	CR BARD INC			2,012	343,448
84670702	US0846707026	2073390	BERKSHIRE HATHAWAY INC			54,294	7,389,956
97023105	US0970231058		BOEING CO			39,180	5,435,050
110122108	US1101221083	2126335	BRISTOL-MYERS SQUIBB CO			43,903	2,921,306
111320107	US1113201073		BROADCOM CORP			10,039	516,908
115637209	US1156372096		BROWN-FORMAN CORPORATION			4,398	440,592
125509109	US1255091092		CIGNA CORP			4,261	690,282
126408103	US1264081035		CSX CORPORATION			131,000	4,277,150
127097103	US1270971039		CABOT OIL & GAS CORP			122,000	3,847,880
144285103	US1442851036	2177504	CARPENTER TECH CORP			105,000	4,061,400
149123101	US1491231015		CATERPILLAR INC			3,828	324,691
152006102	CA1520061021	B01NXQ4	CENTERRA GOLD INC			49,700	282,647
166764100	US1667641005	2838555	CHEVRON CORP			22,866	2,205,883
169656105	US1696561059	B0X7DZ3	CHIPOTLE MEXICAN GRILL INC			695	420,468
172967424	US1729674242	2297907	CITIGROUP INC			16,027	885,331
191216100	US1912161007	2206657	COCA-COLA COMPANY (THE)			45,569	1,787,672
194162103	US1941621039	2209106	COLGATE-PALMOLIVE CO			701	45,852
200340107	US2003401070		COMERICA INCORPORATED			7,861	403,427
231021106	US2310211063		CUMMINS INC			2,302	301,999
233331107			DTE ENERGY COMPANY			24,000	1,791,360
235851102	US2358511028		DANAHER CORPORATION			4,973	425,639
244199105	US2441991054		DEERE & CO			505	49,010
254687106	US2546871060		WALT DISNEY COMPANY (THE)			16,740	1,910,704
260003108	US2600031080		DOVER CORP			4,088	286,896
263534109	US2635341090		EI DU PONT DE NEMOURS & CO			34,189	2,186,387
268648102	US2686481027		EMC CORP/ MASSACHUSETTS			18,090	477,395
278642103	US2786421030	2293819	EBAY INC.			141,671	8,534,261
281020107	US2810201077		EDISON INTERNATIONAL INC			19,800	1,100,484
282539105	US2825391053	BZ0XXJ3	8POINT3 ENERGY PARTNERS LP			4,300	80,066
284902103	CA2849021035	2304625	ELDORADO GOLD CORP			58,165	240,803
291011104	US2910111044		EMERSON ELECTRIC CO			2,959	164,017
302130109	US3021301094		EXPEDITORS INTL OF WASHINGTON,			4,585	211,391
302635107	US3026351078	BLRVST7	FS INVESTMENT CORP			66,000	649,440
315616102	US3156161024	2427599	F5 NETWORKS INC			2,138	257,308
316773100			FIFTH THIRD BANK			27,328	568,969
354613101	US3546131018		FRANKLIN RESOURCES INC			4,957	243,042
369550108	US3695501086		GENERAL DYNAMICS CORP			3,944	558,825
369604103	US3696041033		GENERAL ELECTRIC CO			122,443	3,253,311
380956409		2676636	GOLDCORP INC			31,500	510,300
384802104			GRAINGER W.W. INC			1,138	269,308
406216101	US4062161017		HALLIBURTON COMPANY			9,886	425,790
412822108			HARLEY-DAVIDSON INC			8,438	475,481
418056107	US4180561072		HASBRO INC			28,000	2,094,120

Page 58

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
427866108	US4278661081	2422806	HERSHEY COMPANY THE			4,000	355,320
431475102	US4314751029		HILLENBRAND INDUSTRIES INC			70,000	3,803,100
437076102	US4370761029		HOME DEPOT INC			21,466	2,385,517
438516106	US4385161066		HONEYWELL INTERNATIONAL INC			21,871	2,230,186
440452100	US4404521001	2437264	HORMEL FOODS CORP			6,524	367,758
448579102	US4485791028	B5B82X4	HYATT HOTELS CORP			69,000	3,911,610
452308109	US4523081093		ILLINOIS TOOL WORKS INC			5,763	528,986
458140100	US4581401001		INTEL CORPORATION			26,324	800,644
459200101	US4592001014	2005973	INTERNATIONAL BUSINESS MACHINE			3,628	590,130
478160104	US4781601046	2475833	JOHNSON & JOHNSON			34,230	3,336,056
494368103	US4943681035	2491839	KIMBERLY-CLARK CORPORATION			20,716	2,195,275
496902404	CA4969024047	B04NVW3	KINROSS GOLD CORP			124,927	289,831
517834107	US5178341070	B02T2J7	LAS VEGAS SANDS			22,000	1,156,540
518439104	US5184391044		ESTEE LAUDER INC			5,070	439,366
532457108	US5324571083	2516152	ELI LILLY AND COMPANY			50,628	4,226,932
579780206	US5797802064	2550161	MCCORMICK & COMPANY INCORPORAT			4,236	342,904
594918104	US5949181045	2588173	MICROSOFT CORP			148,096	6,538,438
609207105	US6092071058	B8CKK03	MONDELEZ INTERNATIONAL INC			75,000	3,085,500
617446448	US6174464486		MORGAN STANLEY			13,746	533,207
620076307		B5BKPQ4	MOTOROLA SOLUTIONS INC			39,000	2,236,260
636180101			NATIONAL FUEL GAS CO			50,000	2,944,500
637071101		2624486	NATIONAL OILWELL VARCO INC			3,351	161,786
654106103	US6541061031		NIKE INC			5,907	638,074
654111103	JP3657400002		NIKON CORP.			32,900	380,717
665859104	US6658591044		NORTHERN TRUST COMPANY			1,033	78,983
670346105	US6703461052		NUCOR CORP			6,996	308,314
674599105	US6745991058		OCCIDENTAL PETROLEUM CORPORATI			9,552	742,859
677862104	US6778621044	2537432	LUKOIL			9,670	425,528
681919106	US6819191064		OMNICOM GROUP INC			55,000	3,821,950
682680103			ONEOK INC			32,500	1,283,100
693475105	US6934751057		PNC FINANCIAL SERVICES GROUP I			30,943	2,959,698
693718108	US6937181088		PACCAR INC			6,052	386,178
695781104	CA6957811046	B1XQQN6	PAINTED PONY PETROLEUM LTD			20,200	128,793
701094104	US7010941042		PARKER HANNIFIN CORP			3,914	455,316
713448108	US7134481081	2681511	PEPSICO INC			6,362	593,829
717081103	US7170811035	2684703	PFIZER INC			243,063	8,149,902
718172109	US7181721090	B2PKRQ3	PHILIP MORRIS INTERNATIONAL IN			8,592	688,821
723787107			PIONEER NAT RES CO			22,000	3,051,180
724479100			PITNEY BOWES INC.			200,000	4,162,000
740189105			PRECISION CASTPARTS CORP			1,777	355,169
742718109	US7427181091	2704407	PROCTER & GAMBLE COMPANY			65,646	5,136,143
747525103	US7475251036	2714923	QUALCOMM INCORPORATED			6,730	421,500

Page 59

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
751212101	US7512121010	B4V9661	RALPH LAUREN CORP			2,573	340,562
755111507	US7551115071	2758051	RAYTHEON COMPANY			32,324	3,092,760
773903109			ROCKWELL AUTOMATION INC			19,218	2,395,332
774341101		2767228	ROCKWELL COLLINS INC.			4,554	420,562
780259206	US7802578044		ROYAL DUTCH SHELL PLC			21,000	1,197,210
790849103	US7908491035		ST JUDE MEDICAL INC			7,054	515,436
806407102			HENRY SCHEIN INC			18,000	2,558,160
806857108	AN8068571086		SCHLUMBERGER LTD			75,962	6,547,165
808513105	US8085131055		CHARLES SCHWAB CORPORATIO			12,575	410,574
810186106			SCOTTS COMPANY THE			49,000	2,901,290
816851109			SEMPRA ENERGY			23,000	2,275,620
824348106	US8243481061	2804211	SHERWIN-WILLIAMS COMPANY (THE)			1,535	422,156
824596100	US8245961003	2730800	SHINHAN FINANC			5,230	193,824
826197501	US8261975010	2742689	SIEMENS AG			11,200	1,137,136
826552101			SIGMA-ALDRICH CORPORATION			86	11,984
828806109	US8288061091		SIMON PROP GRP INC			19,033	3,293,090
842587107	US8425871071	2829601	SOUTHERN COMPANY (THE)			31,163	1,305,730
847560109	US8475601097	B1L60G9	SPECTRA ENERGY CORP			43,000	1,401,800
854502101	US8545021011		STANLEY BLACK & DECKER INC			63,348	6,666,744
857477608	US8574776089	BK4Z903	STATE STREET CORP			138,500	3,555,295
858912108		2860826	STERICYCLE, INC.			4,130	553,048
863667101			STRYKER CORP			4,078	389,734
871829107	US8718291078		SYSCO CORP			13,528	488,361
872540109	US8725401090	2989301	TJX COS INC			8,020	530,683
874039100	US8740391003	2113382	TAIWAN SEMICONDUCTOR MANUFACTU			36,890	837,772
882508104	US8825081040		TEXAS INSTRUMENTS INCORPORATED			15,516	799,229
902973304	US9029733048		US BANCORP			2,359	102,381
907818108	US9078181081		UNION PACIFIC CORPORATION			7,024	669,879
911312106	US9113121068	2517382	UNITED PARCEL SERVICE INC			5,670	549,480
913017109	US9130171096		UNITED TECHNOLOGIES CORPORATN			3,496	387,811
917017105	CA9170171057	B085ST1	URANIUM PARTICIPATION CORP			50,600	211,973
917047102			URBAN OUTFITTERS, INC.			4,205	147,175
918204108			VF CORPORATION			5,265	367,181
929352102	US9293521020	B23PW87	WUXI PHARMATECH CAYMAN INC			29,924	1,264,588
931142103	US9311421039	2936921	WAL-MART STORES INC			8,572	608,012
949746101	US9497461015		WELLS FARGO & COMPANY			150,204	8,447,473
962166104	US9621661043		WEYERHAEUSER COMPANY			66,900	2,107,350
976657106		2973995	WISCONSIN ENERGY CORPORATION			26,500	1,191,705
00287Y109	US00287Y1091	B92SR70	ABBVIE INC			12,192	819,180
00507V109	US00507V1098	2575818	ACTIVISION BLIZZARD INC			169,000	4,091,490
00817Y108		2695921	AETNA INC			42,112	5,367,596
01609W102	US01609W1027	BP41ZD1	ALIBABA GROUP HOLDING LTD			8,210	675,437

Page 60

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
01626P403	CA01626P4033	2011646	COUCHE-TARD U.S. L.P.			21,730	929,980
03076C106	US03076C1062		AMERIPRISE FINANCIAL INC			4,950	618,404
03761U106	US03761U1060		APOLLO INVSTMNT			80,000	566,400
09247X101	US09247X1019	2494504	BLACKROCK INC.			5,253	1,817,433
09253U108	US09253U1088		BLACKSTONE GROUP L.P.			58,700	2,399,069
09257W100	US09257W1009	B94QHZ0	BLACKSTONE MORTGAGE TRUST INC			59,000	1,641,380
12572Q105	US12572Q1058	2965839	CME GROUP INC			34,585	3,218,480
14149Y108	US14149Y1082		CARDINAL HEALTH INC			79,500	6,650,175
14309L102	US14309L1026	B7NGS09	CARLYLE GROUP/THE			53,000	1,491,950
15189T107	US15189T1079		CENTERPOINT ENERGY INC.			69,200	1,316,876
17275R102	US17275R1023		CISCO SYSTEMS INC			185,304	5,088,448
20825C104	US20825C1045		CONOCOPHILLIPS			44,118	2,709,286
22160K105	US22160K1051	2701271	COSTCO WHOLESALE CORPORATION			4,680	632,081
22282E102	US22282E1029	2255778	COVANTA HOLDING CORP			87,000	1,843,530
22822V101	US22822V1017		CROWN CASTLE INTL CORP			15,000	1,204,500
25746U109	US25746U1097	2542049	DOMINION RESOURCES INC			36,900	2,467,503
29444U700	US29444U7000	BVLZX12	EQUINIX, INC.			6,100	1,549,400
29476L107			EQUITY RESIDENTIAL			35,300	2,477,001
30040W108			EVERSOURCE ENERGY			13,200	599,412
30161N101	US30161N1019	2670519	EXELON CORPORATION			38,000	1,193,960
30225T102	US30225T1025	B02HWR9	EXTRA SPACE STORAGE INC			28,000	1,826,160
30231G102	US30231G1022	2326618	EXXON MOBIL CORP			21,634	1,799,949
37733W105	US37733W1053	2374112	GLAXOSMITHKLINE PLC			37,000	1,541,050
38141G104	US38141G1040		GOLDMAN SACHS GROUP INC/THE			42,674	8,909,904
38259P508	US38259P5089	B020QX2	GOOGLE			1,788	965,592
38259P706	US38259P7069	BKM4JZ7	GOOGLE			12,993	6,762,986
40412C101	US40412C1018	B4MGBG6	HCA HOLDINGS INC			48,000	4,354,560
42805T105	US42805T1051	B1HHJP8	HERTZ GLOBAL			158,000	2,862,960
45104G104	US45104G1040	2569286	ICICI BANK LTD			93,530	974,583
45866F104	US45866F1049	BFSSDS9	INTERCONTINENTALEXCHANGE INC			36,111	8,074,781
46120E602	US46120E6023	2871301	INTUITIVE SRGCAL			280	135,660
46625H100	US46625H1005		JPMORGAN CHASE & CO			173,733	11,772,148
48241A105	US48241A1051	B3DG2Y3	KB FINANCIAL GROUP INC			9,327	306,578
48268K101	US48268K1016	2419875	KT CORPORATION			37,445	474,428
49456B101	US49456B1017	B3NQ4P8	KINDER MORGAN HOLDCO LLC			28,000	1,074,920
57636Q104	US57636Q1040		MASTERCARD INC			9,122	852,725
58933Y105	US58933Y1055	2778844	MERCK & CO INC			16,200	922,266
59156R108		2573209	METLIFE INC			52,000	2,911,480
61174X109	US61174X1090	BZ07BW4	HANSEN NATURAL CORP			2,741	367,349
62942X306			NRG YIELD INC			10,843	238,438
62942X405			NRG YIELD INC			10,509	230,042
65249B109	US65249B1098	BBGVT40	NEWS CORP			24,548	358,155
65339F101	US65339F1012	2328915	NEXTERA ENERGY INC			24,000	2,352,720
65473P105	US65473P1057	2645409	NISOURCE INC			41,600	1,896,544
68389X105	US68389X1054		ORACLE CORPORATION			24,186	974,696
69007J106	US69007J1060	BSP6611	CBS OUTDOOR AMERICAS INC			58,500	1,476,540

Page 61

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
71654V408	US71654V4086	2616580	PETROLEO BRASILEIRO SA			40,913	370,263
72651A108	US72651A1088	BFMXX57	PLAINS GP			48,500	1,253,240
74005P104	US74005P1049		PRAXAIR INC			5,495	656,927
74340W103	US74340W1036		PROLOGIS INC			69,700	2,585,870
74460D109		2852533	PUBLIC STORAGE, INC.			3,782	697,287
74736K101	US74736K1016	BR9YYP4	QORVO INC			1,780	142,881
75281A109	US75281A1097	2523334	RANGE RESOURCES CORP			76,000	3,752,880
80105N105	US80105N1054	2964557	SANOFI			16,000	792,480
81211K100			SEALED AIR CORP			125,500	6,448,190
83088M102	US83088M1027		SKYWORKS SOLUTIONS INC			4,100	426,810
85571B105	US85571B1052	B3PQ520	STARWOOD PROPERTY TRUST INC			110,000	2,372,700
87612E106	US87612E1064	2259101	TARGET CORPORATION			7,542	615,653
88104R100	US88104R1005	BP46HS5	TERRAFORM POWER INC			47,600	1,807,848
88579Y101	US88579Y1010	2595708	3M CO			36,684	5,660,341
90130A101	US90130A1016	BBM4S68	NEWS CORP-CL A			173,000	5,630,285
91324P102			UNITEDHEALTH GROUP INCORPORATE			6,843	834,846
92276F100	US92276F1003	2927925	VENTAS, INC.			20,001	1,241,831
92343V104	US92343V1044	2090571	VERIZON COMMUNICATIONS INC			25,000	1,165,250
92826C839	US92826C8394	B2PZN04	VISA INC			14,638	982,942
97717W851	US97717W8516	B17FKC6	WISDOMTREE JAPAN DIVIDEND FUND			1,010,031	57,773,773
97717X701	US97717X7012	B5M0VP4	WISDOMTREE INTERNATIONAL HEDGE			912,550	56,203,955
B4BNMY3	IE00B4BNMY34	B4BNMY3	ACCENTURE LTD			2,662	257,628
D35415104	DE0006231004	5889505	INFINEON TECHNOLOGIES AG			65,894	817,155
E90183182	ES0178430E18	5732524	TELEFONICA SA			85,490	1,214,475
F54432111	FR0000120537	4502706	LAFARGE S.A.			4,783	315,703
F5485U100	FR0000130213	4547213	LAGARDERE S.C.A.			82,000	2,390,093
F91816102	FR0000121329	4162791	THALES S. A.			8,337	503,097
F95922104	FR0000120354	B030R61	VALLOUREC			46,190	942,837
G03764134	GB00B1XZS820	B1XZS82	ANGLO AMERICAN PLC			31,172	450,287
G0440M128	BMG0440M1284	845580	AQUARIUS PLATINUM LTD			385,342	41,513
G0537K100	GB00B19NKB76	B19NKB7	HOME RETAIL GROUP			79,652	211,704
G26796147	GB00B0F99717	B0F9971	BERENDSEN PLC			20,289	325,148
G2830J103	KYG2830J1031	6704351	DAPHINE INTERNATIONAL HOLDINGS			632,000	158,152
G32655105	GB00B19NLV48	B19NLV4	EXPERIAN PLC			37,393	681,584
G45667105		B0JCH50	HOLLYSYS AUTOMATION TECHNOLOGI			25,300	607,959
G5257K107	KYG5257K1076	B1HHFV6	KINGBOARD LAMINATES HOLDINGS L			530,000	252,265
G56350112	GB0031192486	3119248	LONMIN PLC			99,281	174,720
G58249106	BMG582491061	BN7PJF6	MARKIT LTD			27,230	696,271
G5960L103	IE00BTN1Y115	BTN1Y11	MEDTRONIC PLC			10,970	812,877
G60754101	VGG607541015	B7341C6	MICHAEL KORS HOLDINGS LTD			2,903	122,187
G65007109	KYG650071098	B1Z69H9	NEW WORLD DEPARTMENT STORE CHI			303,000	80,513
G8248F104	IE00B1RR8406	B1RR828	SMURFIT KAPPA GROUP PLC			21,713	597,800
H2906T109			GARMIN LTD.			4,637	203,703
H36940130		7110753	HOLCIM LTD			4,802	354,543

Page 62

Cusip		ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
J18807107		JP3274070006	B3FJNX6	GREE INC			50,300	293,912
J24994105		JP3137200006	6467104	ISUZU MOTORS LTD			79,400	1,043,072
J2501P104		JP3143600009	6467803	ITOCHU CORP			26,200	346,222
J26945105		JP3667600005	6473468	JGC CORP			11,250	212,561
J33093105		JP3263000006	6492924	KINDEN CORP			24,520	324,422
J38468104		JP3246400000		KYUSHU ELECTRIC POWER CO .INC			64,500	748,498
J4189T101		JP3268950007	6782090	MEDICEO PALTAC HOLDING CO			12,200	199,104
J48818124		JP3733000008	6640400	NEC CORP			213,000	645,797
J56741101		JP3659300002		NISHIMATSUYA CHAIN CO., LTD.			29,200	293,993
J58472119		JP3684000007	6641801	NITTO DENKO CORP			4,100	337,073
J77024115		JP3409400003	6858504	SUMITOMO BAKELITE CO., LTD.			75,000	340,171
L80308106		LU0633102719	B4Q1532	SAMSONITE INTERNATIONAL SA			222,140	767,922
N63218106		NL0009538479	B4NTRF5	NIELSEN HOLDINGS NV			85,000	3,805,450
N6983Q147		NL0000009538		ROYAL PHILIPS ELECTRONICS N.V.			98,610	2,507,262
N9643A114		NL0000395887	5671519	WOLTERS KLUWER NV			18,527	550,027
P1908S102		BRBRMLACNOR9	B1RYG58	BR MALLS PARTICIPACOES SA			107,100	501,988
P31076105		PAP310761054	B0TNJH9	COPA HOLDINGS SA			9,918	819,128
P8696W104		AGP8696W1045	2384520	SINOVAC BIOTECH LTD			36,358	190,880
S00595850		GB0000595859	59585	ARM HOLDINGS PLC			71,370	1,163,966
S00961623		GB0000961622	96162	BALFOUR BEATTY PLC			203,137	772,807
S01411925		GB0001411924	141192	BRITISH SKY BROADCASTING GRP P			58,703	957,381
S02374007		GB0002374006	237400	DIAGEO PLC			44,937	1,301,079
S02875805		GB0002875804	287580	BRITISH AMER TOBACCO PLC			42,861	2,301,966
S03308608		GB0003308607	330860	SPECTRIS PLC			25,193	836,004
S04052072		GB0004052071	405207	HALMA PLC			34,677	415,568
S04082848		GB0004082847	408284	STANDARD CHARTERED PLC			45,523	729,546
S04161022		GB0004161021	416102	HAYS PLC			139,792	359,236
S04544920		GB0004544929	454492	IMPERIAL TOBACCO GRP PLC			28,000	1,350,572
S05203377		GB0005203376	520337	JARDINE LLOYD THOMPSON GROUP P			21,278	349,363
S05405287		GB0005405286	540528	HSBC HOLDINGS PLC			156,267	1,401,084
S06731236		GB0006731235	673123	ASSOCIATED BRITISH FOODS PLC			13,080	590,591
S06834345		GB0006834344	683434	INTU PROPERTIES PLC			149,803	724,691
S07099542		GB0007099541	709954	PRUDENTIAL PLC			54,282	1,308,285
S07980592		GB0007980591	798059	BP PLC			189,451	1,251,835
S08025413		GB0008025412	802541	SIG PLC			79,179	249,672
S08762890		GB0008762899	876289	BG GROUP			48,379	806,128
S09223207	��	GB0009223206	922320	SMITH & NEPHEW PLC			69,655	1,176,529
S09292244		GB0009292243	929224	VICTREX PLC			7,586	230,259
S09895293		GB0009895292	989529	ASTRAZENECA PLC			53,880	3,405,583
S20246443		CA0679011084	2024644	BARRICK GOLD CORPORATION			23,100	247,014
S21627609		CA1247651088	2162760	CAE INC			51,190	609,712
S22546451		CA3759161035	2254645	GILDAN ACTIVEWEAR INC.			29,390	976,724
S24542417		CA4530384086	2454241	IMPERIAL OIL LTD			13,710	529,863

Page 63

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
S26378489	CA66510M2040	2637848	NORTHERN DYNASTY MINERALS			16,100	5,481
S26544163	CA59151K1084	2654416	METHANEX CORPORATION			7,370	411,579
S27931930	CA2925051047	2793193	ENCANA CORP			16,400	180,887
S30707327	IE0030606259	3070732	BANK OF IRELAND			1,393,294	561,972
S31743008	GB0031743007	3174300	BURBERRY GROUP PLC			25,314	625,436
S37840113	ZAE000083648	B1FFT76	IMPALA PLATINUM HOLDINGS LTD			56,585	253,141
S40578080	FR0000120321	4057808	LOREAL SA			6,388	1,138,802
S40743916	FR0004038099	4074391	GFI INFORMATIQUE			6,940	45,622
S40768368	IT0000072618	4076836	INTESA SANPAOLO SPA			252,658	915,476
S41082785	GRS395363005	4108278	HELLENIC EXCHANGES SA			38,404	168,763
S41160995	IT0000066123	4116099	BANCA EMILIA			158,238	1,410,470
S41529520	CH0001503199	4152952	BELIMO HOLDING AG			101	241,004
S41634379	FR0000125338	4163437	CAP GEMINI SA			4,238	374,784
S41822495	IE0001827041	4182249	CRH PLC			34,295	967,515
S42053512	GRS191213008	4205351	ELLAKTOR SA			52,734	93,393
S43541341	DE0005089031	4354134	UNITED INTERNET			9,384	416,919
S45774692	HU0000073507	4577469	MAGYAR TELEKOM TELECOMMUNICATI			192,695	268,997
S46817243	CH0011029946	4681724	INFICON HLDG AG			452	154,528
S46823290	FR0000120693	4682329	PERNOD-RICARD SA			8,834	1,019,719
S46938155	DE0006083439	4693815	HORNBACH HOLDING			6,406	528,251
S47127980	FR0000131906	4712798	RENAULT S.A.			15,677	1,631,796
S47553177	BE0003793107	4755317	ANHEUSER-BUSCH INBEV NV			19,900	2,383,552
S47689625	DE0007037129	4768962	RWE AG			12,886	276,886
S48006597	IT0001479374	4800659	LUXOTTICA GRP SPA			14,734	979,252
S48341085	FR0000121972	4834108	SCHNEIDER ELECTRIC SE			11,300	779,727
S48528327	NO0003053605	4852832	STOREBRAND ASA			98,389	404,436
S49023849	SE0000114837	4902384	TRELLEBORG AB			40,313	744,801
S49375793	FR0000130338	4937579	VALEO SA			7,593	1,195,838
S49429046	DE000ENAG999	4942904	E.ON SE			25,533	339,964
S50516053	GRS260333000	5051605	HELLENIC TELECOM ORG S.A.			160,320	1,245,041
S50692110	DE000BAY0017	5069211	BAYER AG			8,050	1,126,097
S51074011	DE0005200000	5107401	BEIERSDORF AG			11,724	981,545
S51761773	FR0000133308		ORANGE SA			80,759	1,242,647
S52260387	FI0009003305	5226038	SAMPO OYJ			13,338	627,886
S52874880	DE0008232125	5287488	DEUTSCHE LUFTHANSA AG			37,432	482,338
S53345880	DE0007030009	5334588	RHEINMETALL AG			23,092	1,170,288
S53800314	SE0000427361	5380031	NORDEA BANK AB			50,053	623,740
S54583141	NL0000009132	5458314	AKZO NOBEL NV			6,173	448,924
S54653589	DE0006202005	5465358	SALZGITTER AG			9,818	350,711
S54815584	NL0009739416	5481558	POSTNL NV			121,938	541,687
S54971684	DE0007664039	5497168	VOLKSWAGEN AG			5,959	1,381,020
S55419790	BE0003735496	5541979	MOBISTAR SA			15,607	295,271
S55969919	BE0003739530	5596991	UCB SA			9,413	675,320
S56089154	FR0000071946	5608915	ALTEN SA			5,813	269,858
S56336167	FR0000050809	5633616	SOPRA GROUP SA			5,684	510,766
S56369275	DE0007500001	5636927	THYSSENKRUPP AG			5,411	140,685
S56382807	ES0184262212	5638280	VISCOFAN SA			3,575	216,092
S56662927	DE000TUAG000	5666292	TUI AG			27,357	441,977
S56717358	FR0000120578	5671735	SANOFI			10,396	1,022,104

Page 64

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
S56890510	BE0003755692	5689051	AGFA-GEVAERT NV			57,262	159,503
S56993736	AT0000831706	5699373	WIENERBERGER AG			48,419	760,943
S57822066	IT0001347308	5782206	BUZZI UNICEM SPA			30,656	436,184
S57844623	DE0007297004	5784462	SUEDZUCKER AG			21,574	358,763
S58051038	FR0000073793	5805103	DEVOTEAM SA			2,646	74,530
S58274317	BE0974258874	5827431	BEKAERT SA NV			9,048	255,157
S59560789	NL0000009082	5956078	KONINKLIJKE KPN NV			231,185	883,521
S59622803	CH0010570767	5962280	LINDT & SPRUENGLI AG			38	201,029
S59665166	FR0000130809	5966516	SOCIETE GENERALE-A			12,671	591,122
S59726430	FR0000038259	5972643	EUROFINS SCIENTIFIC SE			2,573	782,933
S59806133	CH0010645932	5980613	GIVAUDAN S.A.			141	244,115
S59939017	FR0000053225	5993901	METROPOLE TELEVISION SA			15,882	308,436
S60102076	JP3103600007	6010207	AICHI STEEL CORP			17,000	75,994
S60106499	JP3101600009	6010649	AISAN INDUSTRY CO LTD			22,700	213,152
S60273042	JP3124400007	6027304	AMANO CORP			18,400	240,592
S60365483	JP3758200004	6036548	NET ONE SYSTEMS			33,600	235,871
S60544095	JP3116000005	6054409	ASAHI BREWERIES, LTD.			9,300	295,838
S60714755	JP3675300002	6071475	NISSIN KOGYO			29,700	490,530
S61219275	JP3835620000	6121927	BENESSE HOLDINGS INC			2,600	65,231
S61290730	JP3160950006	6129073	AVEX GROUP HOLDINGS INC			12,300	216,116
S61291589	JP3922200005	6129158	MOSHI MOSHI HOTLINE INC			10,600	118,764
S61321014	JP3830800003	6132101	BRIDGESTONE CORP			27,180	1,005,659
S61415501	JP3825850005	6141550	FUNAI ELE CO., LTD.			48,600	540,949
S61499851	JP3126330004	6149985	ALPHA SYSTEMS INC			2,800	44,895
S61723235	JP3242800005	6172323	CANON INC			26,600	865,725
S61957395	JP3524600008	6195739	CHUBU STEEL PLATE CO. LTD.			16,000	70,608
S62001946	JP3143900003	6200194	ITOCHU TECHNO-SOLUTIONS CORP			17,000	423,732
S62008826	AU000000TCL6	6200882	TRANSURBAN GROUP			129,101	922,811
S62489901	JP3496400007	6248990	KDDI CORP			39,900	963,221
S62497995	HK0440001847	6249799	DAH SING FINANCIAL			25,200	165,290
S62504121	JP3161160001	6250412	EXEDY CORP			12,000	300,086
S62505086	JP3486800000	6250508	DAITO TR CONSTR CO., LTD.			4,250	440,404
S62510284	JP3494600004	6251028	DAINIPPON SCREEN MANUFACTURING			60,000	378,049
S62531322	JP3475200006	6253132	DAIICHIKOSHO CO LTD			9,000	317,002
S62689765	JP3499800005	6268976	MITSUBISHI UFJ LEASE & FINANCE			132,200	723,851
S62874102	JP3429000007	6287410	TV ASAHI CORP			23,140	388,803
S62897848	JP3226450009	6289784	CAWACHI LTD.			11,800	177,533
S63000160	JP3856000009	6300016	ADASTRIA HOLDINGS CO LTD			10,500	375,843
S63071690	JP3392200006	6307169	EIGHTEENTH BANK LIMITED			15,000	45,969
S63072003		6307200	EISAI CO LTD			29,900	2,007,587
S63092621	JP3164630000	6309262	SQUARE ENIX HOLDINGS CO LTD			22,900	506,976
S63339378	KYG3066L1014	6333937	ENN ENERGY HOLDINGS LTD			99,000	596,997
S63351712	JP3902900004	6335171	MITSUBISHI TOKYO FINANCIAL GRP			374,800	2,694,799
S63454607	KYG8972T1067	6345460	TOWNGAS CHINA CO LTD			585,980	535,901

Page 65

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
S63527501	JP3168700007	6352750	EN-JAPAN INC.			13,000	233,408
S63552764	JP3820900003	6355276	FUJIMI INC			7,000	105,373
S63564066	JP3814800003	6356406	FUJI HEAVY IND LTD			8,300	305,777
S63565923	JP3809200003	6356592	FUJI MACHINE MFG. CO., LTD.			6,700	72,330
S63569453	JP3818000006	6356945	FUJITSU LTD			120,000	671,172
S63844856	JP3833740008	6384485	PROTO CORP			4,800	77,434
S64004336	JP3160740001	6400433	HIS			6,100	207,878
S64106362	AU000000RSG6	6410636	RESOLUTE MINING LTD			380,213	89,131
S64218985	JP3781650001	6421898	PAL CO LTD			16,350	537,139
S64288665	JP3784200002	6428866	HISAKA WORKS LTD			14,800	134,617
S64291263	JP3785000005	6429126	HITACHI CHEM CO LTD			13,300	239,990
S64351455	JP3854600008	6435145	HONDA MOTOR CO LTD			22,900	741,375
S64398134	JP3845800006	6439813	HOSIDEN CORP			85,800	525,184
S64592199	JP3146200005	6459219	INABA DENKISANGYO CO LTD			8,800	306,362
S64685050	JP3732950005	6468505	JAPAN DIGITAL LABORATORY CO LT			19,700	275,299
S64706856	JP3721400004	6470685	JAPAN STEEL WORKS LTD/THE			85,000	351,489
S64709868	JP3385980002	6470986	JSR CORP			25,500	450,962
S64745359	JP3726800000	6474535	JAPAN TOBACCO INC.			12,400	441,876
S64762180	JP3389700000	6476218	AEON DELIGHT CO. LTD.			14,950	458,158
S64873284	JP3277230003	6487328	KEIHIN CORP			22,900	328,627
S65045841	JP3273000004	6504584	KURODA ELEC CO. LTD.			37,700	701,531
S65131260	JP3910660004	6513126	TOKIO MARINE HOLDINGS INC			9,800	407,970
S65295545	JP3359000001	6529554	CMIC HOLDINGS CO LTD			10,400	145,166
S65342024	JP3131430005	6534202	AEON MALL CO LTD			34,100	639,279
S65630246	JP3890350006	6563024	SUMITOMO MITSUI FIN GRP INC			32,620	1,455,257
S65695058	JP3871200006	6569505	MARUICHI STEEL TUBE LTD.			20,600	511,780
S65910143	JP3885780001	6591014	MIZUHO FINANCIAL GROUP			362,800	785,698
S65946048	JP3907200004	6594604	MIMASU SEMICONDUCTOR IND CO.,			11,700	117,798
S65973687	JP3888300005	6597368	MITSUI CHEMICALS INC			86,000	319,781
S65974099	JP3904400003	6597409	MITSUMI ELEC CO., LTD.			10,100	68,508
S66226911	ZAE000015889	6622691	NASPERS LIMITED			4,829	753,925
S66257205	JP3650600004	6625720	PANAHOME CORP			33,040	235,180
S66295403	JP3288200003	6629540	NETUREN CO LTD			9,100	65,592
S66385469	JP3661800007	6638546	NICHICON CORP			55,110	448,572
S66395500	JP3756600007	6639550	NINTENDO CO LTD			4,690	784,573
S66396029	JP3712600000	6639602	NSD CO LTD			17,370	229,821
S66407891	JP3750200002	6640789	NIPPO CORP			17,400	298,330
S66413733	JP3735400008	6641373	NTT CORP			22,800	826,084
S66428046	JP3678800008	6642804	HITACHI HIGH-TECHNOLOGIES CORP			6,800	191,444
S66440603	JP3732200005	6644060	NIPPON TELEVISION HOLDINGS INC			25,300	447,632
S66575416	JP3175200009	6657541	OITA BANK LTD			24,000	102,382
S66601071	JP3197600004	6660107	ONO PHARM CO., LTD.			18,290	1,998,425
S66602046	JP3449020001	6660204	TAIHEIYO CEMENT CORP			247,510	724,133
S66881434	JP3921080002	6688143	MELCO HOLDINGS INC			12,800	241,742
S66887456	JP3780200006	6688745	PIONEER CORP			162,200	295,596
S67103473	AU000000QAN2	6710347	QANTAS AIRWAYS LTD			118,005	286,608

Page 66

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
S67116962	JP3421100003	6711696	JAPAN PETROLEUM EXPLORATION CO			24,100	767,127
S67132050	JP3770080004	6713205	HONEYS CO LTD			19,970	169,728
S67442947	JP3539220008	6744294	T&D HOLDINGS INC			114,100	1,701,732
S67472043	JP3982800009	6747204	ROHM CO LTD.			5,800	389,147
S67610006	ZAE000013181	6761000	ANGLO PLATINUM LTD			11,015	248,854
S67728535	JP3324000003	6772853	SAN-IN GODO BK, LTD.			28,000	270,241
S67754325	JP3326410002	6775432	SANKYO CO LTD			9,050	320,613
S68040351	JP3358200008	6804035	SHIMAMURA CO., LTD.			5,500	578,025
S68047455	JP3371700000	6804745	SHINKAWA LTD			24,310	215,952
S68049279	JP3375800004	6804927	SHINKO ELEC INDUS CO., LTD.			53,500	386,062
S68415264	JP3399000003	6841526	STAR MICRONICS CO., LTD.			13,200	225,241
S68655604		6865560	SUZUKEN CO LTD			4,950	158,575
S68694983	JP3465400004	6869498	TACHI-S CO., LTD.			17,900	255,704
S68699594	JP3441200007	6869959	TAIKISHA LTD			9,050	218,475
S68704451	JP3463000004	6870445	TAKEDA PHARMACEUTICAL CO LTD			36,800	1,777,672
S68935501	JP3627800000	6893550	TOCHIGI BANK LTD/THE			26,000	148,310
S68939149	JP3564200008	6893914	TOKAI RUBBER INDUSTRIES INC			28,200	225,158
S68940253	JP3566600007	6894025	TOKAI RIKA CO., LTD.			24,550	613,926
S68943042	JP3580200008	6894304	TOKYO SEIMITSU CO., LTD.			24,500	537,592
S68948983	JP3571800006	6894898	TOKYO OHKA KOGYO CO LTD			5,650	160,452
S68958792	JP3579800008	6895879	TOKYO STEEL MANU CO., LTD.			41,100	301,956
S68972629	JP3592600005	6897262	TOSHIBA MACH			132,000	605,173
S68997188	JP3607800004	6899718	TOYO ENGR CORP			83,000	197,385
S69005460	JP3634600005	6900546	TOYOTA INDUSTRIES CORPORATION			7,600	433,523
S69005577	JP3634200004	6900557	TOYODA GOSEI CO LTD			18,700	451,282
S69005916	JP3635400009	6900591	TOYOTA BOSHOKU CORP			25,300	426,749
S69189819	JP3156400008	6918981	USHIO INC			42,800	557,538
S69849487	JP3428800001	6984948	XEBIO CO., LTD.			26,900	525,403
S69853612	JP3942000005	6985361	YAMANASHI CHUO BANK LTD/THE			29,000	137,221
S69854461	JP3940400009	6985446	YAMATO KOGYO CO LTD			20,600	481,309
S69855872	JP3936800006	6985587	YAMAZEN CORP			25,200	230,036
S69863645	JP3959400007	6986364	YODOGAWA STEEL WORKS LTD.			44,000	192,375
S70852595	DK0010287234	7085259	H LUNDBECK A/S			107,459	2,070,439
S71030654	CH0012005267	7103065	NOVARTIS AG			38,312	3,777,701
S71035265	FR0000121501	7103526	PEUGEOT SA			18,019	370,316
S71072508	GRS419003009	7107250	GREEK ORGANISATION OF FOOTBALL			47,266	349,608
S71103881	CH0012032048	7110388	ROCHE HOLDING AG			15,076	4,226,539
S71107205	CH0012138605	7110720	ADECCO SA			6,695	543,738
S71109029	CH0012100191	7110902	TECAN GROUP AG			3,126	374,632
S71263412	CH0012337421	7126341	MICRONAS SEMICONDUCTOR HOLD			24,941	144,114
S71336085	NO0010096985	7133608	STATOILHYDRO ASA			5,567	99,134
S71366637	FR0000077919	7136663	JC DECAUX SA			29,582	1,233,703
S71450563	IT0003132476	7145056	ENI SPA			43,654	774,337
S71541825	NL0000303600	7154182	ING GROEP NV			103,280	1,704,254
S72124779	FR0000121667	7212477	ESSILOR INTL			17,764	2,117,813

Page 67

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
S72626104	FR0000045072	7262610	CREDIT AGRICOLE SA			65,528	973,971
S73092835	FR0000035164	7309283	BENETEAU SA			46,858	797,756
S73096810	FR0000131104	7309681	BNP PARIBAS SA			19,692	1,188,096
S73201543	HU0000061726	7320154	ORSZAGPS TAKAREKPENZTAR ES KER			15,411	305,000
S73804825	FR0000125007	7380482	SAINT GOBAIN			38,903	1,745,532
S74167636	DE0006053952	7416763	KONTRON			23,299	102,671
S77925592	NL0000009165	7792559	HEINEKEN N.V.			21,162	1,605,002
SB00GWP69	KYG0420V1068	B00GWP6	AMVIG HOLDINGS LTD			370,000	190,905
SB011Y090	IE00B010DT83	B011Y09	C&C GROUP PLC			92,732	363,280
SB019KW71	GB00B019KW72	B019KW7	J SAINSBURY PLC			124,229	518,330
SB01RQM38	BMG684371393	B01RQM3	PACIFIC BASIN SHIPPING LTD			611,000	205,701
SB01TND90	GB00B01TND91	B01TND9	BOOKER GROUP PLC			338,258	895,852
SB02JV897	JP3282850001	B02JV89	GENDAI AGENCY INC			7,400	41,183
SB03J9L73	MYL5099OO006	B03J9L7	AIRASIA			1,427,410	582,616
SB045FZ02	JP3155370004	B045FZ0	WELLNET CORP			11,100	264,880
SB05L3642	JP3548610009	B05L364	DENA			35,000	688,187
SB06GJ377		B06GJ37	DOLPHIN CAPITAL INVESTORS LTD			749,537	235,759
SB06GQX60	KYG2586H1112	B06GQX6	CST MINING GROUP LTD			2,416,000	31,787
SB06MW587	JP3256970009	B06MW58	KYOKUTO SEC			20,150	292,291
SB0744355	GB00B0744359	B074435	ESSENTRA PLC			25,773	402,495
SB07KD365	GB00B07KD360	B07KD36	COBHAM PLC			44,307	183,263
SB08SNH35	GB00B08SNH34	B08SNH3	NATIONAL GRID PLC			103,065	1,324,602
SB08V9H40	FR0000124570	B08V9H4	COMPAGNIE PLASTIC OMNIUM			25,465	648,467
SB09M9D26	FI0009013403	B09M9D2	KONE OYJ			33,059	1,340,770
SB0C2CQ38	FR0010208488	B0C2CQ3	GDF SUEZ			30,271	561,233
SB0C3TN25	JP3910570005	B0C3TN2	MIRAIAL CO LTD			11,400	128,753
SB0DJNG01	IT0003856405	B0DJNG0	FINMECCANICA SPA			39,257	493,389
SB0J7D919	JP3475350009	B0J7D91	DAIICHI SANKYO			16,900	312,684
SB0LDD867	CH0022427626	B0LDD86	LEM HLDGS AG			179	137,619
SB0LF1887	CH0022268228	B0LF188	EFG INTERNATIONAL			43,411	615,479
SB0WMWD08	GB00B0WMWD03	B0WMWD0	QINETIQ GROUP PLC			81,112	286,128
SB0X6W867	JP3101850000	B0X6W86	AIZAWA SECURITIES CO LTD			27,400	180,928
SB0YZ0Z55	DE000A0HN5C6	B0YZ0Z5	DEUTSCHE WOHNEN AG			18,242	417,785
SB10RB150	JP3294460005	B10RB15	INPEX CORP			33,100	376,404
SB10RZP77	GB00B10RZP78	B10RZP7	UNILEVER PLC			20,473	879,002
SB11TCY09	CH0024638196	B11TCY0	SCHINDLER HOLDING AG			2,966	485,262
SB11Z2266	BMG4111M1029	B11Z226	G-RESOURCES GROUP LTD			6,957,000	224,346
SB11ZRK95	FR0010307819	B11ZRK9	LEGRAND S.A.			22,643	1,270,524
SB1296H01	GRS491003000	B1296H0	EUROBANK PROPERTIES REAL ESTAT			32,293	225,096
SB12T3J12	NL0000009355	B12T3J1	UNILEVER N.V.			30,000	1,248,628
SB13WZ262	AT0000837307	B13WZ26	ZUMTOBEL			2,334	69,317
SB142S608	CH0025238863	B142S60	KUEHNE & NAGEL INTERNATIONAL A			4,929	654,528
SB14LS011	DK0060036564	B14LS01	SPAR NORD BANK A/S			21,346	235,927
SB15C5570	FR0000120271	4905413	TOTAL SA			22,656	1,099,851
SB16FTB92	ES0178165017	B16FTB9	TECNICAS REUNIDAS SA			8,698	446,769
SB1FRPV87	NL0000354488	B1FRPV8	USG PEOPLE			16,990	251,962
SB1FSLW43	JP3457000002	B1FSLW4	TAKATA CORP			17,600	191,728

Page 68

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
SB1FW7515	PTGAL0AM0009	B1FW751	GALP ENERGIA SA			44,357	519,925
SB1HHF494	JP3247400009	B1HHF49	KYOEI STEEL LTD			15,400	285,057
SB1HKSV68	IT0001031084	B1HKSV6	BANCA GENERALI			14,227	500,597
SB1KJJ406	GB00B1KJJ408	B1KJJ40	WHITBREAD			2,062	160,394
SB1KKBX66	SE0000103814	B1KKBX6	ELECTROLUX AB			38,749	1,213,256
SB1P1JR41	JP3539230007	B1P1JR4	TS TECH CO LTD			12,010	321,438
SB1SK0S69	DE000A0Z2ZZ5	B1SK0S6	FREENET AG			8,817	296,829
SB1TQ2V06	ZAE000093183	B1TQ2V0	RAUBEX			96,392	160,815
SB1WGG938	CH0030170408	B1WGG93	GEBERIT AG			3,452	1,151,344
SB1WP6567		B1WP656	DAMPSKIBSSELSKABET NORDEN A/S			12,786	321,784
SB1WT5G22	DK0060079531	B1WT5G2	DSV DE SAMMENSLUT VOGN			77,267	2,501,977
SB1XH0260	FR0000125486	B1XH026	VINCI S.A.			12,713	734,871
SB1YY6621	ES0157097017	B1YY662	ALMIRALL SA			19,666	388,497
SB1Z4WD00	CH0030486770	B1Z4WD0	DAETWYLER HLDG AG			999	118,762
SB234WN90	IT0003492391	B234WN9	DIASORIN SPA			8,178	373,133
SB249SN50	JP3435350008	B249SN5	SONY FINANCIAL			23,000	403,367
SB24CGK71	GB00B24CGK77	B24CGK7	RECKITT BENCKISER GROUP PLC			16,430	1,418,070
SB283W970	ES0140609019	B283W97	CAIXABANK SA			112,293	519,986
SB288C920	ES0144580Y14	B288C92	IBERDROLA SA			68,515	461,243
SB28SK094	DE000A0S8488	B28SK09	HAMBURGER HAFEN UND LOGISTIK A			9,132	184,674
SB28XP766	BMG491BT1088	B28XP76	INVESCO LTD			11,347	425,399
SB292JQ95	FR0010533075	B292JQ9	GROUPE EUROTUNNEL SA			104,305	1,509,654
SB2PDGW13	GB00B2PDGW16	B2PDGW1	WH SMITH PLC			22,889	550,042
SB3B8D045	FR0010613471	B3B8D04	SUEZ ENVIRONNEMENT SAS			30,536	567,677
SB3D0VR16	KR7082640004	B3D0VR1	TONGYANG LIFE INSURANCE			16,242	222,054
SB3K5QQ33	SE0002626861	B3K5QQ3	CLOETTA AB			41,577	125,771
SB3SPXZ39	NL0009434992	B3SPXZ3	LYONDELLBASELL INDUSTRIES NV			13,700	1,418,224
SB3ZNGT54	KYG407691040	B3ZNGT5	GREATVIEW ASEPTIC PACKAGING CO			1,515,440	864,005
SB4JPM527	CH0100185955	B4JPM52	GATEGROUP HOLDING AG			15,578	491,735
SB4KDQG42		B4KDQG4	HARUM ENERGY TBK PT			722,500	59,881
SB4R2R507	CH0102484968	B4R2R50	GRIFOLS INC			52,127	2,925,538
SB4RLNR19	DE000A1H8BV3	B4RLNR1	NORMA GROUP AG			4,838	244,432
SB4TX8S14	HK0000069689	B4TX8S1	AIA GROUP LTD			126,090	825,415
SB505PN71	NL0009538784	B505PN7	NXP SEMICONDUCTORS NV			5,662	556,008
SB574ZG08	NL0009294552	B574ZG0	DELTA LLOYD NV			52,567	862,445
SB58DQJ60	SE0003652163	B58DQJ6	CDON GROUP AB			77,177	113,940
SB5LRLL23	IE00B5LRLL25	B5LRLL2	XL GROUP PLC			7,609	283,055
SB5M6XQ72	ES0177542018	B5M6XQ7	BRITISH AIRWAYS PLC			71,156	553,604
SB5VZ0534		B5VZ053	SALVATORE FERRAGAMO ITALIA SPA			14,084	422,753
SB601QS44	JP3476480003	B601QS4	DAI-ICHI LIFE INSURANCE CO. LT			27,800	546,731
SB60BD273	GB00B60BD277	B60BD27	SUPERGROUP PLC			17,232	333,068
SB62G1B54	FR0010908533	B62G1B5	EDENRED			18,410	454,658
SB7FNMQ21	CA2861812014	B7FNMQ2	ELEMENT FINANCIAL CORP			60,480	956,770
SB86S2N06	BE0974264930	B86S2N0	FORTIS			15,291	588,722
SB88MHC49	DE000A1PHFF7	B88MHC4	HUGO BOSS AG			1,049	117,172
SB8BRV460	JP3705200008	B8BRV46	JAPAN AIRLINES CO LTD			9,700	338,487

Page 69

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
SB8KF9B49	JE00B8KF9B49	B8KF9B4	WPP GROUP PLC			42,198	946,362
SB9239357	DE000LED4000	B923935	OSRAM LICHT AG			4,144	198,334
SBBFL4S00	GRS014003008	BBFL4S0	PIRAEUS BANK SA			484,818	183,663
SBBJPFY14	DE000A1ML7J1	BBJPFY1	DEUTSCHE ANNINGTON IMMOBILIEN			36,537	1,029,951
SBCRWZ184	CH0210483332	BCRWZ18	COM FN RICHEMONT			12,197	992,544
SBCZM1B24	DE000PSM7770	BCZM1B2	PROSIEBENSAT1 MEDIA AG			16,519	815,362
SBD73C404	CA46579R1047	BD73C40	IVANHOE MINES LTD			174,800	126,012
SBGHQ1986	IE00BGHQ1986	BGHQ198	HIBERNIA REIT PLC			379,240	532,412
SBJ34P514	IE00BJ34P519	BJ34P51	IRISH RESIDENTIAL PROPERTIES R			680,021	841,024
SBLNN3L41	GB00BLNN3L44	BLNN3L4	COMPASS GROUP			103,848	1,719,778
SBLT1Y088	GB00BLT1Y088	BLT1Y08	SAGA PLC			81,538	281,988
SBNB4VH56	LU1075065190	BNB4VH5	BRAAS MONIER BUILDING GROUP SA			31,634	863,542
SBNGWY429	GB00BNGWY422	BNGWY42	SSP GROUP			24,625	111,071
SBRJL1761	CH0244767585	BRJL176	UBS GROUP AG			218,948	4,645,807
SBWFGQN17	GB00BWFGQN14	BWZN1S2	SPIRAX-SARCO ENGINEERING PLC			12,882	687,406
SBWY4ZF18	IE00BWY4ZF18	BWY4ZF1	CAIRN HOMES PLC			152,605	185,760
SBX8ZX201	DK0060634707	BX8ZX20	ROYAL UNIBREW			4,999	170,832
SBXC8BS77	SE0006886750	BXC8BS7	ATLAS COPCO AB			41,589	1,162,838
SBYL6RK30			ORIFLAME HOLDING AG			15,886	256,550
SBYPC1T40	SE0007100581	BYPC1T4	ASSA ABLOY AB			87,471	1,645,583
SBYY01441			HRT PARTICIPACOES EM PETROLEO			3,600	4,751
X1687N119	GRS015013006	4235864	ALPHA BK A.E.			728,559	222,179
Y1148A101	TW0002474004	6186669	CATCHER TECH			71,970	900,369
Y16907100	TW0002324001	6225744	COMPAL ELECTRONICS INC			226,000	172,130
Y3506N121	HK0388034859	6267359	HONG KONG EXCHANGES AND CLEARI			22,000	776,415
Y3817W109	KR7000660001	6450267	HYNIX SEMICONDUCTOR INC			17,090	648,085
Y48406105	KR7015760002	6495730	KOREA ELECTRIC POWER CORPORATI			12,511	513,697
Y4964V118	SG1T22929874		K-REIT ASIA			671,000	570,587
Y84629107	TW0002330008	6889106	TAIWAN SEMICONDUCTOR MANUFACTU			183,680	836,411
	ID1000108509	B29SK75	INDO TAMBANGRAYA MEGAH PT			97,200	93,683
	JP3781620004	B5W8JJ8	PARAMOUNT BED HOLDINGS CO LTD			9,100	268,839
	IE0001827041	182704	CRH PLC			36,334	1,020,565
	IT0004781412	B5M1SM3	UNICREDITO ITALIANO S.P.A.			63,655	427,320
	NL0010273215	B929F46	ASML HOLDING NV			5,886	607,943
	JP3047510007	B8RBZV7	GLP J-REIT			498	475,759
	DE000LEG1110	B9G6L89	LEG IMMOBILIEN AG			5,554	385,653
	DE000ZAL1111	BQV0SV7	ZALANDO SE			12,223	407,953
	IE00BY9D6T89	BY9D6T8	ALLERGAN PLC			2,015	2,096,628
		BMJJMM7	SPOTLESS GROUP HOLDINGS LIMITE			608,800	977,960
			NEUBERGER BERMAN GREATER CHINA EQUITY FUND LTD			31,277	57,806,893
			CRESCENT SHORT DURATION HIGH INCOME FUND			2,576,441	24,914,188

Page 70

Cusip	ISIN	SEDOL	Security Description	Coupon	Maturity	Par	Fair Value
						49,484,615	$	815,640,554

Page 71