Exhibit 99.3
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Allied World Assurance Company Holdings, AG | |||||
Securities Listing as at September 30, 2015 |
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
U.S Government Securities | ||||||||||||
UNITED STATES TREASURY | 0.00 | 11/27/2015 | 44,100,000 | $ | 44,095,670 | |||||||
UNITED STATES TREASURY | 0.00 | 12/3/2015 | 5,883,000 | 5,882,279 | ||||||||
UNITED STATES TREASURY | 0.00 | 6/23/2016 | 1,700,000 | 1,697,078 | ||||||||
UNITED STATES TREASURY | 0.00 | 8/18/2016 | 8,000,000 | 7,973,519 | ||||||||
UNITED STATES TREASURY | 0.00 | 9/15/2016 | 20,000,000 | 19,939,722 | ||||||||
UNITED STATES TREASURY | 6.63 | 2/15/2027 | 625,000 | 908,969 | ||||||||
UNITED STATES TREASURY | 3.63 | 2/15/2044 | 600,000 | 690,060 | ||||||||
UNITED STATES TREASURY | 2.00 | 11/30/2020 | 900,000 | 924,462 | ||||||||
UNITED STATES TREASURY | 0.38 | 1/31/2016 | 3,000,000 | 3,002,820 | ||||||||
UNITED STATES TREASURY | 2.13 | 1/31/2021 | 200,000 | 206,444 | ||||||||
UNITED STATES TREASURY | 2.75 | 2/15/2024 | 1,150,000 | 1,222,289 | ||||||||
UNITED STATES TREASURY | 1.63 | 3/31/2019 | 10,000,000 | 10,185,000 | ||||||||
UNITED STATES TREASURY | 0.88 | 4/15/2017 | 18,950,000 | 19,047,592 | ||||||||
UNITED STATES TREASURY | 0.50 | 8/31/2016 | 3,800,000 | 3,804,370 | ||||||||
UNITED STATES TREASURY | 1.75 | 9/30/2019 | 10,900,000 | 11,131,844 | ||||||||
UNITED STATES TREASURY | 0.88 | 10/15/2017 | 36,600,000 | 36,753,719 | ||||||||
UNITED STATES TREASURY | 4.63 | 11/15/2016 | 825,000 | 863,858 | ||||||||
UNITED STATES TREASURY | 0.88 | 11/15/2017 | 18,710,000 | 18,777,543 | ||||||||
UNITED STATES TREASURY | 2.25 | 11/15/2024 | 4,000,000 | 4,075,120 | ||||||||
UNITED STATES TREASURY | 0.50 | 11/30/2016 | 93,500,000 | 93,568,255 | ||||||||
UNITED STATES TREASURY | 1.00 | 12/15/2017 | 3,900,000 | 3,924,453 | ||||||||
UNITED STATES TREASURY | 2.13 | 12/31/2021 | 575,000 | 590,623 | ||||||||
UNITED STATES TREASURY | 1.63 | 12/31/2019 | 21,500,000 | 21,825,080 | ||||||||
UNITED STATES TREASURY | 2.63 | 7/15/2017 | 7,000,000 | 8,444,560 | ||||||||
UNITED STATES TREASURY | 0.63 | 12/31/2016 | 8,700,000 | 8,716,878 | ||||||||
UNITED STATES TREASURY | 0.88 | 1/15/2018 | 7,000,000 | 7,018,480 | ||||||||
UNITED STATES TREASURY | 0.50 | 1/31/2017 | 60,000,000 | 60,027,606 | ||||||||
UNITED STATES TREASURY | 1.00 | 2/15/2018 | 19,675,000 | 19,779,082 | ||||||||
UNITED STATES TREASURY | 1.75 | 2/28/2022 | 500,000 | 501,785 | ||||||||
UNITED STATES TREASURY | 1.38 | 2/29/2020 | 1,000,000 | 1,004,620 | ||||||||
UNITED STATES TREASURY | 1.00 | 3/15/2018 | 36,850,000 | 37,040,882 | ||||||||
UNITED STATES TREASURY | 1.38 | 4/30/2020 | 640,000 | 641,747 | ||||||||
UNITED STATES TREASURY | 0.50 | 4/30/2017 | 5,000,000 | 4,996,150 | ||||||||
UNITED STATES TREASURY | 2.00 | 8/15/2025 | 8,200,000 | 8,156,130 | ||||||||
UNITED STATES TREASURY | 1.00 | 8/15/2018 | 24,500,000 | 24,566,394 | ||||||||
UNITED STATES TREASURY | 1.00 | 9/15/2018 | 1,400,000 | 1,403,220 |
Page 1
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
UNITED STATES TREASURY | 3.63 | 8/15/2019 | 18,445,000 | 20,147,660 | ||||||||
UNITED STATES TREASURY | 1.13 | 1/15/2021 | 4,910,000 | 5,572,654 | ||||||||
UNITED STATES TREASURY | 2.38 | 5/31/2018 | 4,480,000 | 4,661,171 | ||||||||
UNITED STATES TREASURY | 1.50 | 7/31/2016 | 175,000 | 176,668 | ||||||||
UNITED STATES TREASURY | 1.38 | 9/30/2018 | 1,600,000 | 1,620,944 | ||||||||
UNITED STATES TREASURY | 1.00 | 9/30/2016 | 100,000 | 100,598 | ||||||||
UNITED STATES TREASURY | 1.00 | 10/31/2016 | 950,000 | 956,042 | ||||||||
UNITED STATES TREASURY | 0.88 | 12/31/2016 | 31,806,500 | 31,966,490 | ||||||||
UNITED STATES TREASURY | 0.88 | 2/28/2017 | 520,000 | 522,824 | ||||||||
UNITED STATES TREASURY | 0.63 | 8/31/2017 | 28,100,000 | 28,098,877 | ||||||||
UNITED STATES TREASURY | 0.75 | 10/31/2017 | 25,235,000 | 25,274,871 | ||||||||
UNITED STATES TREASURY | 0.38 | 11/15/2015 | 9,960,000 | 9,963,287 | ||||||||
UNITED STATES TREASURY | 1.00 | 11/30/2019 | 2,100,000 | 2,079,252 | ||||||||
UNITED STATES TREASURY | 0.75 | 12/31/2017 | 58,000,000 | 58,028,422 | ||||||||
UNITED STATES TREASURY | 0.38 | 1/15/2016 | 2,585,000 | 2,587,326 | ||||||||
UNITED STATES TREASURY | 0.13 | 1/15/2023 | 12,000,000 | 11,974,848 | ||||||||
UNITED STATES TREASURY | 0.88 | 1/31/2018 | 11,815,000 | 11,846,429 | ||||||||
UNITED STATES TREASURY | 0.38 | 2/15/2016 | 11,200,000 | 11,211,760 | ||||||||
UNITED STATES TREASURY | 1.13 | 3/31/2020 | 2,400,000 | 2,381,184 | ||||||||
UNITED STATES TREASURY | 0.25 | 4/15/2016 | 1,096,000 | 1,096,384 | ||||||||
UNITED STATES TREASURY | 0.25 | 5/15/2016 | 22,000,000 | 22,001,760 | ||||||||
UNITED STATES TREASURY | 1.38 | 6/30/2018 | 15,485,000 | 15,694,357 | ||||||||
UNITED STATES TREASURY | 0.63 | 11/15/2016 | 4,400,000 | 4,410,120 | ||||||||
UNITED STATES TREASURY | 0.38 | 5/31/2016 | 1,300,000 | 1,301,144 | ||||||||
UNITED STATES TREASURY | 0.88 | 6/15/2017 | 315,660,000 | 317,209,881 | ||||||||
UNITED STATES TREASURY | 0.50 | 6/30/2016 | 22,719,000 | 22,759,440 | ||||||||
UNITED STATES TREASURY | 1.63 | 6/30/2019 | 19,000,000 | 19,337,818 | ||||||||
UNITED STATES TREASURY | 0.88 | 7/15/2017 | 4,600,000 | 4,621,850 | ||||||||
UNITED STATES TREASURY | 0.13 | 7/15/2024 | 5,000,000 | 4,799,305 | ||||||||
UNITED STATES TREASURY | 0.50 | 7/31/2016 | 21,000,000 | 21,031,500 | ||||||||
UNITED STATES TREASURY | 1.00 | 5/15/2018 | 13,125,000 | 13,178,550 | ||||||||
UNITED STATES TREASURY | 2.13 | 5/15/2025 | 6,000,000 | 6,036,780 | ||||||||
UNITED STATES TREASURY | 1.88 | 5/31/2022 | 5,500,000 | 5,552,910 | ||||||||
UNITED STATES TREASURY | 1.13 | 6/15/2018 | 14,000,000 | 14,096,321 | ||||||||
UNITED STATES TREASURY | 1.63 | 6/30/2020 | 2,200,000 | 2,227,984 | ||||||||
UNITED STATES TREASURY | 0.63 | 6/30/2017 | 3,800,000 | 3,802,242 | ||||||||
UNITED STATES TREASURY | 0.88 | 7/15/2018 | 23,000,000 | 22,999,540 | ||||||||
UNITED STATES TREASURY | 0.63 | 7/31/2017 | 111,000 | 111,048 | ||||||||
UNITED STATES TREASURY | 2.00 | 7/31/2022 | 900,000 | 915,624 | ||||||||
1,217,160,500 | 1,225,744,168 | |||||||||||
U.S Government Agencies | ||||||||||||
FEDERAL HOME LOAN BANKS | 0.63 | 11/23/2016 | 1,690,000 | 1,691,910 | ||||||||
FEDERAL HOME LOAN BANKS | 1.50 | 5/8/2020 | 3,030,000 | 3,013,184 | ||||||||
FNMA | 1.50 | 6/22/2020 | 700,000 | 701,477 |
Page 2
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 1.60 | 12/24/2020 | 925,000 | 913,114 | ||||||||
FNMA | 1.88 | 9/18/2018 | 21,000,000 | 21,563,430 | ||||||||
FHLMC | 1.25 | 5/12/2017 | 6,000,000 | 6,061,140 | ||||||||
FNMA | 1.63 | 10/26/2015 | 21,500,000 | 21,522,790 | ||||||||
PRIVATE EXPORT FUNDING CORPORA | 1.88 | 7/15/2018 | 67,000 | 68,049 | ||||||||
PRIVATE EXPORT FUNDING CORPORA | 3.55 | 1/15/2024 | 6,000,000 | 6,468,479 | ||||||||
60,912,000 | 62,003,573 | |||||||||||
NON U.S Government Securities & Agencies | ||||||||||||
CNOOC NEXEN FINANCE 2014 ULC | 1.63 | 4/30/2017 | 3,500,000 | 3,490,659 | ||||||||
CANADA GOVERNMENT | 1.50 | 9/1/2017 | 2,100,000 | 1,594,916 | ||||||||
CANADA GOVERNMENT | 1.25 | 3/1/2018 | 1,550,000 | 1,176,113 | ||||||||
CANADA GOVERNMENT | 1.00 | 8/1/2016 | 760,000 | 569,096 | ||||||||
CANADA GOVERNMENT | 1.25 | 9/1/2018 | 8,300,000 | 6,316,283 | ||||||||
CANADA GOVERNMENT | 1.50 | 2/1/2017 | 8,275,000 | 6,251,338 | ||||||||
CANADA GOVERNMENT | 1.75 | 3/1/2019 | 1,970,000 | 1,525,968 | ||||||||
CANADA GOVERNMENT | 1.00 | 5/1/2016 | 650,000 | 486,184 | ||||||||
CANADA GOVERNMENT | 1.63 | 2/27/2019 | 9,800,000 | 9,951,802 | ||||||||
CANADA GOVERNMENT | 1.75 | 9/1/2019 | 3,000,000 | 2,331,014 | ||||||||
CANADA GOVERNMENT | 1.25 | 8/1/2017 | 7,439,000 | 5,621,170 | ||||||||
CANADA GOVERNMENT | 1.50 | 3/1/2020 | 720,000 | 555,711 | ||||||||
CANADA GOVERNMENT | 0.75 | 9/1/2020 | 4,160,000 | 3,092,866 | ||||||||
CANADA GOVERNMENT | 0.25 | 11/1/2017 | 95,000 | 70,447 | ||||||||
CANADA GOVERNMENT | 4.25 | 6/1/2018 | 6,160,000 | 5,043,784 | ||||||||
CANADA GOVERNMENT | 2.75 | 9/1/2016 | 1,000,000 | 760,991 | ||||||||
CANADA GOVERNMENT | 1.50 | 3/1/2017 | 4,500,000 | 3,402,204 | ||||||||
ELECTRICITE DE FRANCE SA | 6.50 | 1/26/2019 | 1,025,000 | 1,171,470 | ||||||||
ELECTRICITE DE FRANCE SA | 1.15 | 1/20/2017 | 2,295,000 | 2,295,089 | ||||||||
ELECTRICITE DE FRANCE SA | 2.15 | 1/22/2019 | 5,200,000 | 5,245,464 | ||||||||
EXPORT-IMPORT BANK OF KOREA | 1.18 | 9/17/2016 | 1,400,000 | 1,404,087 | ||||||||
CANADA GOVERNMENT | 0.88 | 2/14/2017 | 2,900,000 | 2,907,337 | ||||||||
KREDITANSTALT FUER WIEDERAUFBA | 4.38 | 2/9/2016 | 900,000 | 679,521 | ||||||||
SINOPEC GROUP OVERSEAS DEVELOP | 1.75 | 4/10/2017 | 1,265,000 | 1,268,214 | ||||||||
STATOILHYDRO ASA | 2.25 | 11/8/2019 | 3,560,000 | 3,581,436 | ||||||||
GOVERNMENT OF SINGAPORE | 4.00 | 9/1/2018 | 29,750,000 | 22,408,221 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 3.20 | 10/12/2015 | 2,750,000 | 1,934,960 | ||||||||
AIRPORT AUTHORITY HONG KONG | 5.10 | 4/13/2016 | 31,000,000 | 4,092,414 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 4.00 | 7/14/2016 | 2,500,000 | 1,788,751 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 3.25 | 1/4/2020 | 2,325,000 | 2,966,095 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 3.00 | 7/4/2020 | 1,300,000 | 1,662,147 | ||||||||
HONG KONG MORTGAGE CORP LTD | 2.00 | 1/11/2016 | 11,000,000 | 1,428,040 | ||||||||
CHINA DEVELOPMENT BANK CORP (H | 2.70 | 1/25/2016 | 12,000,000 | 1,557,853 | ||||||||
SINGAPORE LABOUR FOUNDATION | 1.30 | 6/8/2017 | 2,000,000 | 1,386,792 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.44 | 6/19/2017 | 30,000,000 | 3,880,620 | ||||||||
URBAN RENEWAL AUTHORITY | 1.50 | 7/13/2017 | 30,000,000 | 3,900,029 |
Page 3
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
HOUSING AND DEVELOPMENT BOARD | 1.11 | 8/30/2017 | 5,500,000 | 3,815,458 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.25 | 9/18/2017 | 40,000,000 | 5,149,902 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 0.76 | 11/2/2015 | 5,000,000 | 3,514,066 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.27 | 12/18/2017 | 58,000,000 | 7,458,378 | ||||||||
CHINA DEVELOPMENT BANK CORP (H | 1.93 | 1/11/2018 | 50,000,000 | 6,468,819 | ||||||||
CHINA GLOBAL | 2.87 | 6/27/2016 | 15,000,000 | 2,339,060 | ||||||||
AIRPORT AUTHORITY HONG KONG | 1.50 | 9/19/2016 | 10,000,000 | 1,298,921 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 1.88 | 11/13/2017 | 2,500,000 | 1,757,683 | ||||||||
AUSTRALIA COMMONWEALTH OF | 3.25 | 10/21/2018 | 1,630,000 | 1,192,709 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 0.50 | 4/12/2019 | 6,695,000 | 7,652,054 | ||||||||
EXPORT-IMPORT BANK OF CHINA | 3.00 | 5/14/2016 | 5,000,000 | 773,277 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.34 | 6/24/2019 | 25,000,000 | 3,296,753 | ||||||||
HONG KONG SCIENCE AND TECHNOLO | 2.12 | 7/11/2019 | 9,000,000 | 1,179,346 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.32 | 12/23/2019 | 10,000,000 | 1,316,766 | ||||||||
HONG KONG MORTGAGE CORP LTD | 1.00 | 2/12/2018 | 21,500,000 | 2,756,532 | ||||||||
NONGHYUP BANK | 2.25 | 7/16/2018 | 1,000,000 | 694,296 | ||||||||
MONETARY AUTHORITY OF SINGAPOR | 0.00 | 1/19/2016 | 6,000,000 | 4,207,863 | ||||||||
EXPORT-IMPORT BANK OF KOREA | 2.07 | 4/6/2017 | 2,000,000 | 1,406,569 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 0.50 | 10/13/2017 | 9,040,000 | 10,245,190 | ||||||||
GERMANY (FEDERAL REPUBLIC OF) | 4.00 | 7/4/2016 | 3,180,000 | 3,663,762 | ||||||||
UNITED KINGDOM GILT | 3.75 | 9/7/2019 | 3,790,000 | 6,357,475 | ||||||||
UNITED KINGDOM GILT | 4.50 | 3/7/2019 | 750,000 | 1,277,389 | ||||||||
UNITED KINGDOM GILT | 4.75 | 3/7/2020 | 2,600,000 | 4,568,880 | ||||||||
UNITED KINGDOM GILT | 4.00 | 9/7/2016 | 1,240,000 | 1,939,522 | ||||||||
UNITED KINGDOM GILT | 1.75 | 1/22/2017 | 6,005,000 | 9,247,978 | ||||||||
UNITED KINGDOM GILT | 1.00 | 9/7/2017 | 2,720,000 | 4,154,317 | ||||||||
UNITED KINGDOM GILT | 1.25 | 7/22/2018 | 5,855,000 | 8,988,591 | ||||||||
UNITED KINGDOM GILT | 1.75 | 7/22/2019 | 3,320,000 | 5,169,278 | ||||||||
UNITED KINGDOM GILT | 2.00 | 7/22/2020 | 2,140,000 | 3,362,800 | ||||||||
SWITZERLAND (CONFEDERATION OF) | 4.25 | 6/5/2017 | 1,850,000 | 2,055,429 | ||||||||
AUSTRALIA COMMONWEALTH OF | 3.25 | 10/21/2018 | 4,710,000 | 3,446,417 | ||||||||
AUSTRALIA COMMONWEALTH OF | 2.75 | 10/21/2019 | 6,405,000 | 4,641,215 | ||||||||
AUSTRALIA COMMONWEALTH OF | 6.00 | 2/15/2017 | 30,840,000 | 22,866,306 | ||||||||
AUSTRALIA COMMONWEALTH OF | 4.50 | 4/15/2020 | 8,810,000 | 6,858,093 | ||||||||
AUSTRALIA COMMONWEALTH OF | 5.50 | 1/21/2018 | 9,340,000 | 7,106,037 | ||||||||
AUSTRALIA COMMONWEALTH OF | 4.25 | 7/21/2017 | 8,390,000 | 6,143,696 | ||||||||
AUSTRALIA COMMONWEALTH OF | 5.25 | 3/15/2019 | 8,905,000 | 6,964,626 | ||||||||
GOVERNMENT OF SINGAPORE | 0.50 | 4/1/2018 | 20,000,000 | 13,714,045 | ||||||||
CHINA GLOBAL | 1.40 | 8/18/2016 | 17,000,000 | 2,612,903 | ||||||||
CIMB BANK BHD (SINGAPORE BRANC | 2.12 | 6/30/2018 | 1,000,000 | 692,053 | ||||||||
CHINA DEVELOPMENT BANK CORP (H | 2.95 | 3/20/2017 | 3,000,000 | 394,527 | ||||||||
EXPORT-IMPORT BANK OF CHINA | 3.65 | 5/14/2019 | 5,000,000 | 773,732 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.02 | 4/10/2017 | 230,000,000 | 30,033,355 | ||||||||
EXPORT-IMPORT BANK OF KOREA | 2.04 | 7/24/2018 | 3,000,000 | 2,084,408 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 1.23 | 1/30/2018 | 3,000,000 | 2,074,407 |
Page 4
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.53 | 3/19/2018 | 40,000,000 | 5,166,934 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.79 | 6/18/2018 | 45,000,000 | 5,844,737 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.52 | 9/25/2018 | 60,000,000 | 7,949,368 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.17 | 12/19/2018 | 50,000,000 | 6,557,700 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 0.37 | 11/21/2016 | 5,000,000 | 646,899 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 4.85 | 6/27/2017 | 20,000,000 | 2,783,982 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.35 | 3/25/2019 | 40,000,000 | 5,276,869 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 3.52 | 12/5/2017 | 35,000,000 | 4,820,033 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 3.56 | 6/25/2018 | 50,000,000 | 6,977,052 | ||||||||
HONG KONG SPECIAL ADMIN REGION | 1.61 | 12/10/2018 | 73,000,000 | 9,704,699 | ||||||||
HONG KONG MORTGAGE CORP LTD | 1.45 | 1/12/2018 | 8,500,000 | 1,101,910 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 2.02 | 2/22/2016 | 7,000,000 | 4,929,587 | ||||||||
HOUSING AND DEVELOPMENT BOARD | 1.69 | 6/8/2016 | 2,500,000 | 1,757,490 | ||||||||
KOREA DEVELOPMENT BANK (THE) | 2.05 | 7/23/2018 | 2,750,000 | 1,915,427 | ||||||||
LTA | 4.17 | 5/10/2016 | 1,000,000 | 713,299 | ||||||||
LTA | 2.73 | 9/18/2020 | 1,500,000 | 1,062,322 | ||||||||
CHINA GLOBAL | 2.56 | 6/29/2017 | 5,000,000 | 770,747 | ||||||||
CHINA GLOBAL | 3.10 | 6/29/2022 | 6,000,000 | 903,782 | ||||||||
CHINA GLOBAL | 2.60 | 11/22/2016 | 3,000,000 | 465,700 | ||||||||
CHINA GLOBAL | 2.74 | 11/21/2017 | 6,000,000 | 924,331 | ||||||||
CHINA GLOBAL | 1.80 | 12/1/2015 | 15,000,000 | 2,348,934 | ||||||||
GOVERNMENT OF SINGAPORE | 2.50 | 6/1/2019 | 2,000,000 | 1,444,546 | ||||||||
GOVERNMENT OF SINGAPORE | 2.38 | 4/1/2017 | 7,000,000 | 5,001,758 | ||||||||
GOVERNMENT OF SINGAPORE | 3.75 | 9/1/2016 | 3,500,000 | 2,514,171 | ||||||||
1,401,614,000 | 427,096,246 | |||||||||||
STATE & MUNICIPAL | ||||||||||||
ALABAMA FEDERAL AID HIGHWAY FI | 5.00 | 9/1/2028 | 7,000,000 | 8,333,850 | ||||||||
ANNE ARUNDEL CNTY MD | 5.00 | 4/1/2025 | 5,385,000 | 6,647,029 | ||||||||
AUSTIN TEX INDPT SCH DIST | 5.00 | 8/1/2029 | 1,975,000 | 2,375,886 | ||||||||
BALTIMORE CNTY MD | 5.00 | 8/1/2025 | 7,595,000 | 9,465,876 | ||||||||
BOSTON MASS | 5.00 | 3/1/2023 | 5,000,000 | 6,115,800 | ||||||||
BROWNSVILLE TEX UTIL SYS REV | 5.00 | 9/1/2022 | 2,250,000 | 2,645,933 | ||||||||
CALIFORNIA STATE OF | 5.25 | 2/1/2023 | 3,000,000 | 3,685,230 | ||||||||
CALIFORNIA ST | 7.95 | 3/1/2020 | 1,000,000 | 1,198,660 | ||||||||
CENTRAL PUGET SOUND REGIONAL T | 5.00 | 11/1/2022 | 2,500,000 | 2,973,450 | ||||||||
CHANDLER ARIZ | 4.00 | 7/1/2022 | 2,000,000 | 2,287,500 | ||||||||
CYPRESS-FAIRBANKS TEX INDPT SC | 5.00 | 2/15/2029 | 6,000,000 | 7,167,480 | ||||||||
DALLAS TEX | 5.00 | 10/1/2025 | 10,430,000 | 12,994,216 | ||||||||
DENTON TEX INDPT SCH DIST | 5.00 | 2/15/2025 | 5,320,000 | 6,371,179 | ||||||||
DISTRICT OF COLUMBIA | 5.00 | 6/1/2025 | 3,500,000 | 4,258,555 | ||||||||
DISTRICT OF COLUMBIA | 5.00 | 6/1/2025 | 5,000,000 | 6,046,150 | ||||||||
EAST BAY CALIF MUN UTIL DIST | 5.00 | 6/1/2025 | 4,160,000 | 5,109,770 | ||||||||
EDINA & MORNINGSIDE MINN INDPT | 5.00 | 2/1/2025 | 7,015,000 | 8,641,007 | ||||||||
ENERGY NORTHWEST | 5.00 | 7/1/2021 | 2,500,000 | 2,949,525 |
Page 5
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FLAGLER CNTY FLA SCH BRD | 5.00 | 8/1/2023 | 860,000 | 1,010,225 | ||||||||
FLORIDA ST | 5.00 | 7/1/2025 | 2,800,000 | 3,477,796 | ||||||||
FORSYTH CNTY GA | 5.00 | 3/1/2025 | 1,000,000 | 1,237,050 | ||||||||
FORT WORTH TEX INDPT SCH DIST | 5.00 | 2/15/2028 | 6,900,000 | 8,348,034 | ||||||||
FRANKLIN CNTY OHIO HOSP REV | 5.00 | 12/1/2025 | 2,025,000 | 2,483,845 | ||||||||
GEORGIA ST | 5.00 | 2/1/2025 | 5,000,000 | 6,177,900 | ||||||||
HARRIS CNTY TEX FLOOD CTL DIST | 5.00 | 10/1/2024 | 3,930,000 | 4,714,153 | ||||||||
HAWAII ST- REF-EF | 5.00 | 11/1/2022 | 5,000,000 | 6,015,350 | ||||||||
HONOLULU HAWAII CITY & CNTY | 5.00 | 10/1/2025 | 2,000,000 | 2,410,600 | ||||||||
HONOLULU HAWAII CITY & CNTY | 5.00 | 10/1/2025 | 3,000,000 | 3,615,900 | ||||||||
HONOLULU HAWAII CITY & CNTY | 5.00 | 10/1/2025 | 2,500,000 | 3,081,850 | ||||||||
HUNTSVILLE ALA | 5.00 | 5/1/2025 | 2,985,000 | 3,670,983 | ||||||||
ILLINOIS HSG DEV AUTH | 2.75 | 8/1/2020 | 1,115,000 | 1,142,842 | ||||||||
ILLINOIS STATE OF | 4.00 | 2/1/2023 | 1,750,000 | 1,784,598 | ||||||||
INDIANAPOLIS IND LOC PUB IMPT | 5.00 | 1/1/2022 | 1,500,000 | 1,747,860 | ||||||||
LOS ANGELES CALIF CMNTY COLLEG | 5.00 | 6/1/2026 | 2,790,000 | 3,519,167 | ||||||||
LOUDOUN CNTY VA | 4.00 | 12/1/2024 | 2,730,000 | 3,095,929 | ||||||||
MARYLAND ST | 4.00 | 8/1/2029 | 7,000,000 | 7,725,900 | ||||||||
MASSACHUSETTS ST | 5.50 | 12/1/2023 | 3,610,000 | 4,579,068 | ||||||||
MASSACHUSETTS ST | 5.00 | 8/1/2025 | 4,065,000 | 5,062,917 | ||||||||
MASSACHUSETTS ST SCH BLDG AUTH | 5.00 | 8/15/2022 | 5,000,000 | 6,048,300 | ||||||||
MASSACHUSETTS ST SCH BLDG AUTH | 5.00 | 8/15/2021 | 2,000,000 | 2,381,000 | ||||||||
MCKINNEY TEX | 5.00 | 8/15/2024 | 2,000,000 | 2,443,840 | ||||||||
MIAMI DADE CNTY FLA | 5.00 | 10/1/2022 | 1,500,000 | 1,752,645 | ||||||||
MICHIGAN STATE FINANCE AUTHORI | 5.00 | 10/1/2021 | 2,000,000 | 2,391,840 | ||||||||
MINNESOTA ST | 5.00 | 8/1/2025 | 5,000,000 | 6,093,600 | ||||||||
MONTGOMERY CNTY MD | 5.00 | 11/1/2024 | 5,000,000 | 6,085,850 | ||||||||
MULTNOMAH CNTY ORE SCH DIST NO | 5.00 | 6/15/2027 | 3,500,000 | 4,286,205 | ||||||||
MULTNOMAH CNTY ORE SCH DIST NO | 5.00 | 6/15/2028 | 2,250,000 | 2,735,843 | ||||||||
NJ ST TPK AUTH TPK REV | 5.00 | 7/1/2024 | 2,000,000 | 2,346,160 | ||||||||
NEW YORK N Y | 0.99 | 1/15/2016 | 5,250,000 | 5,256,143 | ||||||||
NEW YORK NY | 5.00 | 8/1/2023 | 3,885,000 | 4,692,186 | ||||||||
NEW YORK NY CITY TRANSITIONAL | 4.08 | 11/1/2020 | 2,500,000 | 2,699,325 | ||||||||
NEW YORK NY CITY TRANSITIONAL | 5.00 | 11/1/2021 | 3,000,000 | 3,576,360 | ||||||||
NEW YORK NY CITY TRANSITIONAL | 5.00 | 8/1/2024 | 2,000,000 | 2,389,340 | ||||||||
NEW YORK ST ENVIRONMENTAL FACS | 5.00 | 6/15/2025 | 3,000,000 | 3,670,770 | ||||||||
NEW YORK ST DORM AUTH | 4.00 | 8/15/2021 | 4,490,000 | 5,061,487 | ||||||||
NEW YORK ST DORM AUTH | 5.00 | 3/15/2023 | 5,120,000 | 6,251,469 | ||||||||
NEW YORK ST DORM AUTH | 5.00 | 12/15/2022 | 3,000,000 | 3,635,790 | ||||||||
NEW YORK ST DORM AUTH | 5.00 | 3/15/2025 | 3,000,000 | 3,701,580 | ||||||||
NORTH EAST INDPT SCH DIST TEX | 5.25 | 2/1/2028 | 2,085,000 | 2,663,754 | ||||||||
NORTH EAST INDPT SCH DIST TEX | 5.25 | 2/1/2030 | 1,000,000 | 1,275,360 | ||||||||
OKLAHOMA DEV FIN AUTH | 2.38 | 12/1/2021 | 1,000,000 | 1,014,700 | ||||||||
OKLAHOMA ST STUDENT LN AUTH | 0.69 | 8/21/2020 | 542,427 | 519,965 | ||||||||
OREGON ST DEPT TRANSN | 5.00 | 11/15/2024 | 5,000,000 | 5,951,200 |
Page 6
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ORLANDO FLA UTILS COMMN WTR &E | 5.00 | 10/1/2024 | 4,500,000 | 5,548,770 | ||||||||
PUERTO RICO COMWLTH | 4.50 | 7/1/2025 | 1,100,000 | 717,904 | ||||||||
PUERTO RICO COMWLTH | 5.13 | 7/1/2031 | 1,090,000 | 713,994 | ||||||||
PUERTO RICO COMWLTH | 5.00 | 7/1/2020 | 1,285,000 | 885,044 | ||||||||
PUERTO RICO COMWLTH | 5.00 | 7/1/2021 | 1,820,000 | 1,235,325 | ||||||||
PUERTO RICO COMWLTH | 8.00 | 7/1/2035 | 4,615,000 | 3,461,112 | ||||||||
PUERTO RICO COMWLTH | 5.00 | 7/1/2024 | 810,000 | 541,979 | ||||||||
PUERTO RICO COMWLTH | 5.00 | 7/1/2019 | 585,000 | 410,957 | ||||||||
PUERTO RICO COMWLTH | 5.00 | 7/1/2023 | 715,000 | 478,785 | ||||||||
PUERTO RICO COMWLTH | 5.00 | 7/1/2024 | 815,000 | 545,325 | ||||||||
PUERTO RICO COMWLTH | 5.25 | 7/1/2027 | 3,860,000 | 2,576,782 | ||||||||
PUERTO RICO COMWLTH | 5.00 | 7/1/2021 | 975,000 | 661,781 | ||||||||
PUERTO RICO COMWLTH | 6.00 | 7/1/2039 | 1,365,000 | 892,328 | ||||||||
PUERTO RICO COMWLTH | 6.50 | 7/1/2040 | 2,325,000 | 1,540,382 | ||||||||
PUERTO RICO COMWLTH | 6.00 | 7/1/2035 | 655,000 | 433,957 | ||||||||
PUERTO RICO COMWLTH | 5.75 | 7/1/2041 | 1,760,000 | 1,146,235 | ||||||||
PUERTO RICO COMWLTH | 5.00 | 7/1/2019 | 965,000 | 677,903 | ||||||||
PUERTO RICO COMWLTH HWY & TRAN | 5.55 | 7/1/2018 | 2,600,000 | 2,239,874 | ||||||||
PUERTO RICO COMWLTH HWY & TRAN | 5.65 | 7/1/2020 | 14,345,000 | 11,889,997 | ||||||||
PUERTO RICO COMWLTH HWY & TRAN | 5.85 | 3/1/2027 | 8,020,000 | 6,304,442 | ||||||||
PUERTO RICO COMWLTH HWY & TRAN | 5.85 | 7/1/2025 | 3,225,000 | 2,599,931 | ||||||||
PUERTO RICO ELEC PWR AUTH | 7.00 | 7/1/2033 | 310,000 | 201,144 | ||||||||
PUERTO RICO ELEC PWR AUTH | 7.00 | 7/1/2040 | 195,000 | 126,518 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2017 | 575,000 | 377,505 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2020 | 330,000 | 214,365 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.50 | 7/1/2018 | 125,000 | 81,444 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.50 | 7/1/2019 | 160,000 | 103,971 | ||||||||
PUERTO RICO ELEC PWR AUTH | 4.00 | 7/1/2016 | 435,000 | 292,616 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2019 | 235,000 | 152,715 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.25 | 7/1/2019 | 860,000 | 558,862 | ||||||||
PUERTO RICO ELEC PWR AUTH | 6.13 | 7/1/2040 | 7,980,000 | 5,147,100 | ||||||||
PUERTO RICO ELEC PWR AUTH PWR | 5.95 | 6/30/2030 | 715,000 | 457,729 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.00 | 7/1/2020 | 2,000,000 | 1,299,180 | ||||||||
PUERTO RICO ELEC PWR AUTH | 6.05 | 7/1/2032 | 4,970,000 | 3,181,446 | ||||||||
PUERTO RICO ELEC PWR AUTH | 5.05 | 7/1/2042 | 2,615,000 | 1,696,638 | ||||||||
PUERTO RICO INDL TOURIST EDL M | 7.25 | 4/1/2041 | 8,855,000 | 5,837,216 | ||||||||
PUERTO RICO INDL TOURIST EDL M | 0.00 | 4/1/2033 | 655,000 | 229,250 | ||||||||
PUERTO RICO INDL TOURIST EDL M | 7.10 | 4/1/2038 | 1,720,000 | 1,134,168 | ||||||||
REGIONAL TRANSN DIST COLO | 5.00 | 11/1/2022 | 3,165,000 | 3,843,703 | ||||||||
SACRAMENTO CALIF CITY UNI SCH | 5.00 | 7/1/2023 | 1,750,000 | 2,114,123 | ||||||||
NY ST STAR | 4.00 | 10/15/2022 | 2,000,000 | 2,298,580 | ||||||||
SAN ANTONIO TEX INDPT SCH DIST | 5.00 | 2/15/2025 | 5,000,000 | 6,092,500 | ||||||||
SEATTLE WASHINGTON | 5.00 | 6/1/2025 | 4,605,000 | 5,625,192 | ||||||||
SEDGWICK CNTY KANS UNI SCH DIS | 5.00 | 10/1/2021 | 1,500,000 | 1,782,990 | ||||||||
TAMPA BAY WTR FLA | 5.00 | 10/1/2025 | 3,450,000 | 4,216,004 |
Page 7
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
TARRANT REGL WTR DIST TEX | 5.00 | 3/1/2025 | 5,000,000 | 6,063,550 | ||||||||
TEXAS TRANSN COMMN ST HWY FD | 5.00 | 10/1/2026 | 5,000,000 | 6,265,650 | ||||||||
TUCSON ARIZ CTFS PARTN | 4.00 | 7/1/2024 | 2,750,000 | 3,077,003 | ||||||||
UNIVERSITY CINCINNATI OHIO | 5.00 | 6/1/2022 | 1,535,000 | 1,836,075 | ||||||||
UNIVERSITY CALIFORNIA | 1.80 | 7/1/2019 | 7,000,000 | 7,032,550 | ||||||||
UTAH TRAN AUTH SALES TAX REV | 5.00 | 6/15/2025 | 1,750,000 | 2,133,880 | ||||||||
UTAH TRAN AUTH SALES TAX REV | 5.00 | 6/15/2025 | 4,250,000 | 5,095,793 | ||||||||
VIRGINIA COLLEGE BLDG AUTH VA | 5.00 | 2/1/2025 | 5,000,000 | 6,056,500 | ||||||||
VIRGINIA ST PUB BLDG AUTH | 5.00 | 8/1/2025 | 5,000,000 | 6,152,100 | ||||||||
VIRGINIA ST RES AUTH CLEAN WTR | 5.00 | 10/1/2025 | 10,675,000 | 13,023,927 | ||||||||
WASHINGTON STATE | 5.00 | 7/1/2023 | 5,000,000 | 6,044,250 | ||||||||
WASHINGTON STATE | 5.00 | 1/1/2025 | 3,000,000 | 3,564,180 | ||||||||
386,907,427 | 422,006,999 | |||||||||||
AGENCY MBS | ||||||||||||
FHLMC | 6.00 | 12/30/2025 | 4,854 | 5,539 | ||||||||
FHLMC | 6.00 | 3/4/2026 | 3,496 | 3,989 | ||||||||
FHLMC | 5.00 | 3/22/2018 | 1,708,423 | 1,782,903 | ||||||||
FHLMC | 6.00 | 2/13/2026 | 6,783 | 7,823 | ||||||||
FHLMC | 5.00 | 5/2/2016 | 12 | 12 | ||||||||
FHLMC | 5.00 | 5/2/2016 | 998 | 1,038 | ||||||||
FHLMC | 5.00 | 6/3/2016 | 119 | 121 | ||||||||
FHLMC | 5.00 | 6/3/2016 | 620 | 644 | ||||||||
FHLMC | 5.00 | 6/4/2016 | 995 | 1,006 | ||||||||
FHLMC | 5.00 | 5/17/2016 | 424 | 426 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 388 | 395 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 116 | 120 | ||||||||
FHLMC | 5.00 | 6/3/2016 | 472 | 491 | ||||||||
FHLMC | 5.00 | 6/3/2016 | 768 | 775 | ||||||||
FHLMC | 5.00 | 6/3/2016 | 642 | 660 | ||||||||
FHLMC | 5.00 | 6/3/2016 | 238 | 239 | ||||||||
FHLMC | 5.00 | 6/3/2016 | 1,275 | 1,293 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 731 | 740 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 762 | 784 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 327 | 329 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 455 | 468 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 306 | 311 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 1,235 | 1,271 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 1,199 | 1,234 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 907 | 934 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 183 | 183 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 1,095 | 1,126 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 248 | 255 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 1,648 | 1,696 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 262 | 264 |
Page 8
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 7/4/2016 | 494 | 501 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 263 | 264 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 571 | 588 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 291 | 293 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 1,356 | 1,388 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 115 | 115 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 564 | 567 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 1,592 | 1,638 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 1,070 | 1,101 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 1,926 | 1,982 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 950 | 977 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 1,391 | 1,411 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 64 | 64 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 493 | 507 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 244 | 245 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 1,535 | 1,573 | ||||||||
FHLMC | 5.00 | 7/19/2016 | 2,741 | 2,820 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 4,455 | 4,585 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 1,748 | 1,799 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 3,146 | 3,237 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 3,073 | 3,162 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 856 | 867 | ||||||||
FHLMC | 5.00 | 9/21/2016 | 220 | 226 | ||||||||
FHLMC | 5.00 | 10/6/2016 | 415 | 417 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 1,132 | 1,164 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 929 | 958 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 1,073 | 1,105 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 544 | 549 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 989 | 1,017 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 2,289 | 2,355 | ||||||||
FHLMC | 5.00 | 9/21/2016 | 350 | 352 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 770 | 780 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 947 | 975 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 1,335 | 1,450 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 10,498 | 10,802 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 986 | 1,015 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 715 | 723 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 1,089 | 1,121 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 2,067 | 2,127 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 251 | 252 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 810 | 834 | ||||||||
FHLMC | 5.00 | 10/6/2016 | 1,336 | 1,352 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 484 | 488 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 1,599 | 1,646 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 7,318 | 7,530 |
Page 9
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 10/7/2016 | 2,094 | 2,155 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 1,183 | 1,195 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 1,588 | 1,635 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 129 | 133 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 1,213 | 1,249 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 943 | 954 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 3,985 | 4,101 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 1,598 | 1,644 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 3,952 | 4,066 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 1,667 | 1,715 | ||||||||
FHLMC | 5.00 | 10/7/2016 | 545 | 561 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 1,036 | 1,051 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 2,046 | 2,105 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 2,297 | 2,385 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 1,228 | 1,264 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 311 | 313 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 2,726 | 2,805 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 3,177 | 3,269 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 248 | 255 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 2,533 | 2,607 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 2,136 | 2,198 | ||||||||
FHLMC | 5.00 | 10/23/2016 | 1,130 | 1,163 | ||||||||
FHLMC | 5.00 | 10/23/2016 | 2,282 | 2,349 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 1,160 | 1,194 | ||||||||
FHLMC | 5.00 | 10/23/2016 | 1,220 | 1,255 | ||||||||
FHLMC | 5.00 | 10/23/2016 | 5,691 | 5,856 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 1,911 | 1,979 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 470 | 482 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 1,393 | 1,434 | ||||||||
FHLMC | 5.00 | 10/23/2016 | 1,124 | 1,158 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 628 | 647 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 3,417 | 3,516 | ||||||||
FHLMC | 5.00 | 10/22/2016 | 1,346 | 1,385 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 2,661 | 2,738 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 1,127 | 1,168 | ||||||||
FHLMC | 5.00 | 11/7/2016 | 1,119 | 1,151 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 2,906 | 2,990 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 1,874 | 1,929 | ||||||||
FHLMC | 5.00 | 11/7/2016 | 1,410 | 1,450 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 465 | 469 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 2,257 | 2,323 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 2,322 | 2,389 | ||||||||
FHLMC | 5.00 | 11/7/2016 | 162 | 167 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 237 | 244 | ||||||||
FHLMC | 5.00 | 11/7/2016 | 1,371 | 1,420 |
Page 10
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 11/8/2016 | 185 | 190 | ||||||||
FHLMC | 5.00 | 11/7/2016 | 1,621 | 1,668 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 5,332 | 5,486 | ||||||||
FHLMC | 5.00 | 11/8/2016 | 888 | 900 | ||||||||
FHLMC | 5.00 | 11/23/2016 | 1,501 | 1,544 | ||||||||
FHLMC | 5.00 | 11/23/2016 | 802 | 825 | ||||||||
FHLMC | 5.00 | 11/23/2016 | 2,901 | 2,985 | ||||||||
FHLMC | 5.00 | 11/24/2016 | 2,356 | 2,425 | ||||||||
FHLMC | 5.00 | 11/23/2016 | 3,202 | 3,295 | ||||||||
FHLMC | 5.00 | 11/23/2016 | 3,117 | 3,208 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 2,844 | 2,967 | ||||||||
FHLMC | 5.00 | 12/9/2016 | 671 | 676 | ||||||||
FHLMC | 5.00 | 12/9/2016 | 2,923 | 3,050 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 501 | 504 | ||||||||
FHLMC | 5.00 | 12/25/2016 | 2,280 | 2,379 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 458 | 460 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 1,635 | 1,707 | ||||||||
FHLMC | 5.00 | 12/25/2016 | 2,150 | 2,243 | ||||||||
FHLMC | 5.00 | 12/25/2016 | 3,804 | 3,969 | ||||||||
FHLMC | 5.50 | 12/25/2016 | 17,766 | 18,284 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 2,656 | 2,771 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 1,525 | 1,591 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 1,361 | 1,420 | ||||||||
FHLMC | 5.00 | 1/25/2017 | 771 | 777 | ||||||||
FHLMC | 5.50 | 1/11/2017 | 120,248 | 123,750 | ||||||||
FHLMC | 5.50 | 12/25/2016 | 68,363 | 70,354 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 420 | 422 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 3,409 | 3,557 | ||||||||
FHLMC | 5.00 | 12/25/2016 | 4,227 | 4,410 | ||||||||
FHLMC | 5.00 | 12/25/2016 | 2,968 | 3,097 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 201 | 202 | ||||||||
FHLMC | 5.00 | 1/10/2017 | 3,153 | 3,290 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 5,074 | 5,295 | ||||||||
FHLMC | 5.00 | 12/25/2016 | 3,851 | 4,018 | ||||||||
FHLMC | 5.00 | 12/24/2016 | 2,864 | 2,988 | ||||||||
FHLMC | 5.00 | 1/10/2017 | 1,670 | 1,743 | ||||||||
FHLMC | 5.00 | 1/10/2017 | 4,163 | 4,344 | ||||||||
FHLMC | 5.00 | 1/10/2017 | 15 | 16 | ||||||||
FHLMC | 5.00 | 1/10/2017 | 3,502 | 3,654 | ||||||||
FHLMC | 5.00 | 1/10/2017 | 312 | 313 | ||||||||
FHLMC | 5.00 | 1/11/2017 | 3,288 | 3,431 | ||||||||
FHLMC | 5.00 | 1/10/2017 | 4,428 | 4,620 | ||||||||
FHLMC | 5.00 | 1/11/2017 | 556 | 562 | ||||||||
FHLMC | 5.00 | 1/10/2017 | 1,230 | 1,281 | ||||||||
FHLMC | 5.00 | 1/11/2017 | 1,063 | 1,077 |
Page 11
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 5.00 | 1/10/2017 | 1,530 | 1,589 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 1,014 | 1,052 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 3,170 | 3,308 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 2,156 | 2,219 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 527 | 531 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 1,377 | 1,437 | ||||||||
FHLMC | 5.00 | 1/27/2017 | 1,903 | 1,986 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 3,580 | 3,736 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 1,029 | 1,043 | ||||||||
FHLMC | 5.00 | 2/11/2017 | 3,607 | 3,764 | ||||||||
FHLMC | 5.00 | 1/27/2017 | 1,536 | 1,603 | ||||||||
FHLMC | 5.00 | 2/12/2017 | 2,753 | 2,873 | ||||||||
FHLMC | 5.00 | 2/11/2017 | 995 | 1,007 | ||||||||
FHLMC | 5.00 | 1/26/2017 | 2,174 | 2,269 | ||||||||
FHLMC | 5.00 | 2/11/2017 | 2,097 | 2,191 | ||||||||
FHLMC | 5.00 | 2/28/2017 | 2,898 | 3,024 | ||||||||
FHLMC | 5.00 | 2/27/2017 | 1,802 | 1,880 | ||||||||
FHLMC | 5.00 | 2/12/2017 | 2,356 | 2,457 | ||||||||
FHLMC | 5.00 | 2/27/2017 | 4,995 | 5,212 | ||||||||
FHLMC | 5.00 | 3/13/2017 | 4,258 | 4,443 | ||||||||
FHLMC | 5.00 | 3/13/2017 | 2,391 | 2,508 | ||||||||
FHLMC | 5.00 | 3/13/2017 | 5,828 | 6,081 | ||||||||
FHLMC | 5.00 | 3/14/2017 | 4,787 | 4,995 | ||||||||
FHLMC | 5.00 | 3/13/2017 | 3,467 | 3,617 | ||||||||
FHLMC | 5.00 | 3/28/2017 | 2,833 | 2,956 | ||||||||
FHLMC | 5.00 | 3/29/2017 | 1,507 | 1,581 | ||||||||
FHLMC | 5.50 | 3/30/2017 | 68,331 | 71,507 | ||||||||
FHLMC | 5.00 | 3/29/2017 | 1,116 | 1,165 | ||||||||
FHLMC | 5.50 | 3/14/2017 | 21,747 | 22,758 | ||||||||
FHLMC | 5.50 | 5/3/2017 | 71,177 | 74,486 | ||||||||
FHLMC | 2.49 | 7/1/2025 | 88,422 | 92,507 | ||||||||
FHLMC | 2.43 | 6/26/2025 | 160,556 | 171,245 | ||||||||
FHLMC | 2.38 | 6/20/2025 | 28,685 | 30,405 | ||||||||
FHLMC | 2.40 | 2/23/2026 | 48,443 | 51,091 | ||||||||
FHLMC | 2.49 | 3/4/2026 | 60,322 | 65,331 | ||||||||
FHLMC | 2.42 | 2/26/2026 | 75,240 | 77,981 | ||||||||
FHLMC | 2.49 | 4/25/2026 | 103,884 | 109,499 | ||||||||
FHLMC | 2.32 | 8/6/2025 | 1,034,332 | 1,096,694 | ||||||||
FHLMC | 5.00 | 11/8/2027 | 273,175 | 300,145 | ||||||||
FHLMC | 6.00 | 5/6/2028 | 12,659 | 14,337 | ||||||||
FHLMC | 6.00 | 5/12/2028 | 1,502 | 1,690 | ||||||||
FHLMC | 6.50 | 10/7/2028 | 109,266 | 124,643 | ||||||||
FHLMC | 5.00 | 8/9/2028 | 185,407 | 203,034 | ||||||||
FHLMC | 6.00 | 3/3/2029 | 86,518 | 97,490 | ||||||||
FHLMC | 6.00 | 2/24/2029 | 1,038 | 1,168 |
Page 12
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 6.00 | 4/27/2029 | 9,970 | 11,218 | ||||||||
FHLMC | 6.00 | 5/30/2029 | 110,846 | 125,086 | ||||||||
FHLMC | 6.00 | 6/1/2029 | 2,751 | 3,104 | ||||||||
FHLMC | 6.00 | 6/8/2029 | 134,472 | 151,857 | ||||||||
FHLMC | 5.50 | 5/23/2029 | 93,836 | 104,133 | ||||||||
FHLMC | 6.00 | 7/15/2029 | 18,279 | 20,568 | ||||||||
FHLMC | 6.00 | 8/9/2029 | 48,798 | 54,918 | ||||||||
FHLMC | 6.00 | 9/25/2028 | 66,934 | 75,314 | ||||||||
FHLMC | 6.00 | 11/9/2028 | 23,140 | 26,038 | ||||||||
FHLMC | 5.50 | 12/29/2028 | 522,421 | 580,695 | ||||||||
FHLMC | 6.00 | 3/17/2029 | 61,707 | 69,437 | ||||||||
FHLMC | 6.00 | 4/30/2029 | 49,111 | 55,263 | ||||||||
FHLMC | 6.00 | 6/22/2029 | 1,180 | 1,328 | ||||||||
FHLMC | 6.00 | 7/23/2029 | 6,578 | 7,402 | ||||||||
FHLMC | 5.00 | 7/16/2029 | 5,633,693 | 6,172,231 | ||||||||
FHLMC | 6.00 | 1/17/2030 | 77,338 | 87,036 | ||||||||
FHLMC | 5.00 | 4/19/2028 | 788,883 | 866,769 | ||||||||
FHLMC | 6.00 | 12/19/2026 | 356,311 | 406,615 | ||||||||
FHLMC | 5.00 | 3/4/2030 | 664,111 | 727,577 | ||||||||
FHLMC | 5.00 | 4/5/2030 | 408,795 | 452,552 | ||||||||
FHLMC | 5.00 | 12/12/2029 | 591,455 | 649,849 | ||||||||
FHLMC | 6.00 | 3/23/2029 | 4,836,642 | 5,518,096 | ||||||||
FHLMC | 6.00 | 1/27/2027 | 9,336,658 | 10,697,575 | ||||||||
FHLMC | 5.50 | 9/11/2030 | 319,865 | 355,019 | ||||||||
FHLMC | 4.50 | 7/11/2030 | 430,426 | 466,623 | ||||||||
FHLMC | 5.00 | 2/3/2031 | 1,067,000 | 1,168,997 | ||||||||
FHLMC | 6.00 | 3/3/2028 | 2,812,193 | 3,208,415 | ||||||||
FHLMC | 6.00 | 7/11/2029 | 607,537 | 683,605 | ||||||||
FHLMC | 4.00 | 7/13/2021 | 394,795 | 421,911 | ||||||||
FHLMC | 4.00 | 8/17/2031 | 221,862 | 237,625 | ||||||||
FHLMC | 4.00 | 4/1/2021 | 2,364,081 | 2,488,257 | ||||||||
FHLMC | 5.00 | 4/8/2029 | 444,000 | 486,443 | ||||||||
FHLMC | 4.00 | 4/12/2033 | 2,236,201 | 2,381,692 | ||||||||
FHLMC | 4.50 | 7/28/2033 | 783,982 | 848,761 | ||||||||
FHLMC | 3.50 | 1/24/2033 | 9,698,320 | 10,099,051 | ||||||||
FHLMC | 3.50 | 6/18/2033 | 2,152,779 | 2,242,058 | ||||||||
FHLMC | 4.50 | 10/8/2033 | 829,328 | 897,854 | ||||||||
FHLMC | 4.00 | 6/17/2033 | 648,123 | 690,290 | ||||||||
FHLMC | 4.00 | 7/26/2033 | 1,896,437 | 2,019,822 | ||||||||
FHLMC | 3.50 | 4/29/2033 | 250,874 | 261,278 | ||||||||
FHLMC | 4.00 | 11/11/2033 | 525,194 | 559,936 | ||||||||
FHLMC | 4.00 | 1/17/2034 | 955,275 | 1,018,467 | ||||||||
FHLMC | 5.00 | 9/22/2017 | 135,112 | 141,003 | ||||||||
FHLMC | 3.50 | 5/8/2021 | 304,895 | 322,367 | ||||||||
FHLMC | 3.50 | 9/8/2021 | 2,720,206 | 2,876,088 |
Page 13
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 2.50 | 4/24/2023 | 295,164 | 301,177 | ||||||||
FHLMC | 1.98 | 2/12/2026 | 219,536 | 225,671 | ||||||||
FHLMC | 5.00 | 9/8/2022 | 3,156 | 3,477 | ||||||||
FHLMC | 5.00 | 9/17/2022 | 66,236 | 72,981 | ||||||||
FHLMC | 4.00 | 1/12/2021 | 658,619 | 693,214 | ||||||||
FHLMC | 4.00 | 12/20/2020 | 314,067 | 330,564 | ||||||||
FHLMC | 4.00 | 1/7/2021 | 480,969 | 506,232 | ||||||||
FHLMC | 4.00 | 1/8/2021 | 198,513 | 208,940 | ||||||||
FHLMC | 4.00 | 1/24/2021 | 442,969 | 466,236 | ||||||||
FHLMC | 3.50 | 4/19/2021 | 355,420 | 375,788 | ||||||||
FHLMC | 3.50 | 6/1/2021 | 490,232 | 518,324 | ||||||||
FHLMC | 3.50 | 5/29/2021 | 450,449 | 476,262 | ||||||||
FHLMC | 3.50 | 5/26/2021 | 394,030 | 416,610 | ||||||||
FHLMC | 3.50 | 5/29/2021 | 310,629 | 328,429 | ||||||||
FHLMC | 3.50 | 6/13/2021 | 578,618 | 611,776 | ||||||||
FHLMC | 3.50 | 5/26/2021 | 319,740 | 338,063 | ||||||||
FHLMC | 3.00 | 8/25/2021 | 850,236 | 885,721 | ||||||||
FHLMC | 3.00 | 8/16/2021 | 474,595 | 494,403 | ||||||||
FHLMC | 8.50 | 6/29/2017 | 17,522 | 18,906 | ||||||||
FHLMC | 6.00 | 9/16/2023 | 3,270 | 3,524 | ||||||||
FHLMC | 6.00 | 7/20/2023 | 331 | 357 | ||||||||
FHLMC | 3.50 | 7/5/2031 | 132,150 | 137,838 | ||||||||
FHLMC | 4.00 | 8/8/2033 | 1,873,700 | 1,995,606 | ||||||||
FHLMC | 4.00 | 8/18/2029 | 52,843 | 56,262 | ||||||||
FHLMC | 5.00 | 1/2/2030 | 565,535 | 619,868 | ||||||||
FHLMC | 4.50 | 10/9/2029 | 151,564 | 166,424 | ||||||||
FHLMC | 4.50 | 1/2/2030 | 128,444 | 141,978 | ||||||||
FHLMC | 4.50 | 1/15/2030 | 97,873 | 108,186 | ||||||||
FHLMC | 4.50 | 1/23/2030 | 934,512 | 1,031,876 | ||||||||
FHLMC | 5.50 | 8/5/2030 | 30,454 | 34,193 | ||||||||
FHLMC | 5.00 | 6/15/2030 | 35,145 | 38,909 | ||||||||
FHLMC | 6.00 | 10/20/2023 | 8,907 | 9,601 | ||||||||
FHLMC | 4.50 | 9/29/2030 | 361,507 | 391,908 | ||||||||
FHLMC | 4.00 | 9/3/2030 | 3,247,823 | 3,493,601 | ||||||||
FHLMC | 4.00 | 8/25/2030 | 1,554,711 | 1,667,485 | ||||||||
FHLMC | 4.50 | 8/11/2027 | 134,272 | 145,570 | ||||||||
FHLMC | 4.00 | 8/22/2030 | 127,137 | 136,758 | ||||||||
FHLMC | 4.50 | 8/25/2027 | 318,040 | 344,799 | ||||||||
FHLMC | 4.50 | 1/20/2031 | 2,318,306 | 2,513,366 | ||||||||
FHLMC | 4.50 | 9/29/2027 | 1,251,166 | 1,356,438 | ||||||||
FHLMC | 5.00 | 4/2/2016 | 130 | 135 | ||||||||
FHLMC | 5.00 | 5/2/2016 | 140 | 145 | ||||||||
FHLMC | 5.00 | 6/18/2016 | 588 | 605 | ||||||||
FHLMC | 5.00 | 7/4/2016 | 736 | 757 | ||||||||
FHLMC | 5.00 | 8/5/2016 | 438 | 447 |
Page 14
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 4.00 | 2/1/2021 | 270,969 | 285,201 | ||||||||
FHLMC | 5.00 | 3/29/2017 | 736 | 744 | ||||||||
FHLMC | 5.00 | 3/29/2017 | 67 | 68 | ||||||||
FHLMC | 5.00 | 4/30/2017 | 2,964 | 3,115 | ||||||||
FHLMC | 5.00 | 5/16/2017 | 5,530 | 5,771 | ||||||||
FHLMC | 5.50 | 5/2/2017 | 4,804 | 5,027 | ||||||||
FHLMC | 5.50 | 5/18/2017 | 221,230 | 231,514 | ||||||||
FHLMC | 5.50 | 6/4/2017 | 5,088 | 5,325 | ||||||||
FHLMC | 5.50 | 7/21/2017 | 14,407 | 15,124 | ||||||||
FHLMC | 5.00 | 7/4/2017 | 514 | 517 | ||||||||
FHLMC | 5.50 | 5/2/2017 | 84,412 | 88,336 | ||||||||
FHLMC | 5.50 | 5/17/2017 | 48,062 | 50,296 | ||||||||
FHLMC | 5.50 | 8/24/2017 | 530,175 | 556,557 | ||||||||
FHLMC | 5.50 | 6/4/2017 | 319,043 | 328,336 | ||||||||
FHLMC | 6.00 | 5/27/2026 | 30,574 | 35,259 | ||||||||
FHLMC | 5.00 | 3/15/2026 | 718,811 | 791,238 | ||||||||
FHLMC | 6.00 | 8/11/2026 | 3,866 | 4,430 | ||||||||
FHLMC | 6.00 | 10/15/2024 | 6,198 | 6,906 | ||||||||
FHLMC | 5.00 | 2/27/2028 | 546,773 | 603,315 | ||||||||
FHLMC | 4.50 | 3/4/2031 | 441,723 | 478,889 | ||||||||
FHLMC | 4.50 | 9/28/2027 | 1,842,463 | 1,997,486 | ||||||||
FHLMC | 4.50 | 3/14/2031 | 2,269,376 | 2,460,320 | ||||||||
FHLMC | 5.00 | 7/11/2031 | 245,567 | 269,581 | ||||||||
FHLMC | 4.00 | 3/30/2031 | 41,962 | 45,133 | ||||||||
FHLMC | 4.00 | 5/30/2031 | 541,507 | 579,324 | ||||||||
FHLMC | 3.50 | 3/22/2031 | 940,860 | 982,580 | ||||||||
FHLMC | 4.00 | 6/10/2031 | 455,118 | 484,802 | ||||||||
FHLMC | 3.50 | 6/15/2031 | 377,069 | 393,299 | ||||||||
FHLMC | 3.50 | 7/1/2031 | 540,134 | 564,085 | ||||||||
FHLMC | 3.50 | 9/3/2031 | 838,565 | 874,658 | ||||||||
FHLMC | 3.00 | 5/21/2031 | 282,213 | 285,925 | ||||||||
FHLMC | 4.00 | 1/2/2032 | 20,015 | 21,559 | ||||||||
FHLMC | 4.00 | 4/13/2032 | 175,262 | 188,596 | ||||||||
FHLMC | 4.00 | 4/25/2032 | 74,316 | 79,970 | ||||||||
FHLMC | 3.00 | 11/10/2031 | 417,122 | 422,482 | ||||||||
FHLMC | 4.00 | 4/17/2032 | 110,971 | 119,826 | ||||||||
FHLMC | 4.00 | 4/25/2032 | 171,723 | 185,427 | ||||||||
FHLMC | 4.00 | 5/22/2032 | 87,176 | 93,808 | ||||||||
FHLMC | 4.00 | 8/17/2032 | 204,009 | 220,289 | ||||||||
FHLMC | 4.00 | 9/6/2032 | 106,461 | 114,956 | ||||||||
FHLMC | 4.00 | 8/20/2032 | 83,634 | 89,997 | ||||||||
FHLMC | 4.00 | 8/7/2032 | 285,864 | 307,612 | ||||||||
FHLMC | 4.00 | 8/1/2032 | 194,644 | 210,177 | ||||||||
FHLMC | 4.00 | 9/8/2032 | 208,494 | 222,031 | ||||||||
FHLMC | 4.00 | 3/14/2033 | 169,340 | 180,577 |
Page 15
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FHLMC | 2.44 | 6/26/2025 | 187,974 | 198,711 | ||||||||
FHLMC | 2.24 | 1/19/2026 | 91,454 | 97,514 | ||||||||
FHLMC | 2.38 | 2/21/2026 | 156,731 | 165,638 | ||||||||
FHLMC | 2.47 | 4/23/2026 | 156,632 | 166,534 | ||||||||
FHLMC | 2.48 | 5/12/2026 | 251,035 | 265,346 | ||||||||
FANNIE MAE FNMA_89-44 | 9.00 | 1/30/2017 | 11,261 | 12,004 | ||||||||
FNMA | 4.00 | 8/30/2030 | 815,784 | 872,733 | ||||||||
FNMA | 2.80 | 8/6/2017 | 1,136,013 | 1,179,927 | ||||||||
FNMA | 5.50 | 5/18/2020 | 58,634 | 65,751 | ||||||||
FNMA | 5.00 | 8/1/2027 | 2,443 | 2,693 | ||||||||
FNMA | 6.00 | 3/24/2023 | 93,300 | 105,765 | ||||||||
FNMA | 5.00 | 4/4/2029 | 527,897 | 581,204 | ||||||||
FNMA | 6.00 | 11/25/2030 | 9,357 | 10,562 | ||||||||
FHR_3820D DA | 4.00 | 1/23/2018 | 12,509,276 | 13,144,835 | ||||||||
FHLMC_3917 | 0.71 | 9/6/2019 | 785,531 | 789,119 | ||||||||
FHLMC | 2.70 | 5/29/2017 | 8,300,000 | 8,586,607 | ||||||||
FHLMC MULTIFAMILY STRUCTURED P | 2.22 | 11/10/2018 | 500,000 | 512,123 | ||||||||
FHLMC_4246 | 6.50 | 9/18/2020 | 4,589,271 | 5,323,669 | ||||||||
FHLMC_4248 | 6.50 | 10/6/2020 | 8,660,593 | 10,053,005 | ||||||||
FNMA | 3.75 | 1/26/2017 | 8,069,480 | 8,508,638 | ||||||||
FNMA | 8.50 | 8/12/2024 | 471,741 | 520,763 | ||||||||
FNMA | 2.44 | 5/2/2025 | 100,113 | 105,088 | ||||||||
FNMA | 1.91 | 3/28/2025 | 3,170,390 | 3,268,963 | ||||||||
FNMA | 6.50 | 5/28/2016 | 97,966 | 100,736 | ||||||||
FNMA | 6.50 | 5/28/2016 | 203,049 | 209,282 | ||||||||
FNMA | 4.00 | 11/13/2026 | 43,843 | 46,932 | ||||||||
FNMA | 4.00 | 9/23/2030 | 142,191 | 151,890 | ||||||||
FNMA | 4.00 | 4/10/2021 | 1,066,223 | 1,123,072 | ||||||||
FNMA | 4.00 | 9/10/2030 | 25,957 | 27,769 | ||||||||
FNMA | 3.50 | 4/11/2021 | 508,948 | 538,363 | ||||||||
FNMA | 4.00 | 2/23/2031 | 519,595 | 556,206 | ||||||||
FNMA | 4.00 | 9/22/2030 | 2,650,560 | 2,841,841 | ||||||||
FNMA | 4.00 | 10/22/2030 | 131,591 | 140,777 | ||||||||
FNMA | 4.50 | 1/6/2031 | 3,654,139 | 3,970,373 | ||||||||
FNMA | 4.00 | 10/24/2030 | 837,415 | 895,874 | ||||||||
FNMA | 4.50 | 1/15/2031 | 195,441 | 212,212 | ||||||||
FNMA | 3.50 | 8/1/2030 | 753,751 | 788,118 | ||||||||
FNMA | 4.00 | 11/4/2030 | 492,211 | 526,892 | ||||||||
FNMA | 4.50 | 2/1/2031 | 4,233,843 | 4,600,244 | ||||||||
FNMA | 4.50 | 2/10/2031 | 3,071,023 | 3,362,819 | ||||||||
FNMA | 5.00 | 6/17/2031 | 221,761 | 244,571 | ||||||||
FNMA | 4.50 | 3/9/2031 | 1,271,691 | 1,381,745 | ||||||||
FNMA | 4.00 | 3/6/2031 | 418,875 | 448,389 | ||||||||
FNMA | 5.00 | 6/26/2031 | 99,357 | 109,827 | ||||||||
FNMA | 4.50 | 4/17/2031 | 1,674,445 | 1,819,353 |
Page 16
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 4.50 | 5/5/2031 | 750,312 | 815,245 | ||||||||
FNMA | 4.50 | 5/15/2031 | 4,644,844 | 5,046,815 | ||||||||
FNMA | 4.50 | 6/2/2031 | 127,875 | 138,942 | ||||||||
FNMA | 4.50 | 7/10/2031 | 1,652,041 | 1,795,010 | ||||||||
FNMA | 4.00 | 9/6/2031 | 596,959 | 639,071 | ||||||||
FNMA | 4.50 | 8/10/2031 | 31,645 | 34,384 | ||||||||
FNMA | 3.50 | 4/11/2031 | 312,663 | 326,741 | ||||||||
FNMA | 3.50 | 2/27/2031 | 1,293,736 | 1,363,679 | ||||||||
FNMA | 4.00 | 5/30/2031 | 298,558 | 319,595 | ||||||||
FNMA | 2.50 | 11/12/2021 | 639,037 | 653,540 | ||||||||
FNMA | 4.00 | 6/18/2031 | 51,019 | 54,618 | ||||||||
FNMA | 4.00 | 5/21/2031 | 3,259,791 | 3,489,476 | ||||||||
FNMA | 2.50 | 11/26/2021 | 676,983 | 692,347 | ||||||||
FNMA | 3.00 | 11/6/2021 | 1,362,964 | 1,421,212 | ||||||||
FNMA | 2.50 | 11/16/2021 | 469,910 | 480,574 | ||||||||
FNMA | 2.50 | 11/15/2021 | 482,282 | 493,227 | ||||||||
FNMA | 2.50 | 11/29/2021 | 686,889 | 702,478 | ||||||||
FNMA | 4.00 | 6/3/2021 | 435,235 | 458,440 | ||||||||
FNMA | 4.00 | 12/16/2030 | 4,669,729 | 5,034,293 | ||||||||
FNMA | 5.00 | 3/27/2029 | 235,317 | 259,942 | ||||||||
FNMA | 4.00 | 4/6/2031 | 1,390,045 | 1,487,988 | ||||||||
FNMA | 4.00 | 6/16/2031 | 495,634 | 534,328 | ||||||||
FNMA | 3.50 | 10/18/2031 | 4,261,381 | 4,453,251 | ||||||||
FNMA | 4.38 | 10/24/2018 | 5,893,303 | 6,553,417 | ||||||||
FNMA | 3.50 | 12/15/2031 | 1,009,471 | 1,079,702 | ||||||||
FNMA | 3.00 | 9/6/2031 | 327,534 | 335,590 | ||||||||
FNMA | 2.50 | 5/13/2022 | 359,602 | 367,124 | ||||||||
FNMA | 6.00 | 10/9/2031 | 4,796,538 | 5,414,324 | ||||||||
FNMA | 5.00 | 9/15/2031 | 140,331 | 154,531 | ||||||||
FNMA | 4.50 | 11/16/2031 | 1,215,318 | 1,320,493 | ||||||||
FNMA | 3.19 | 11/19/2031 | 3,622,906 | 3,765,998 | ||||||||
FNMA | 4.50 | 9/15/2031 | 1,115,640 | 1,211,370 | ||||||||
FNMA | 3.50 | 6/14/2023 | 657,634 | 695,061 | ||||||||
FNMA | 4.00 | 8/13/2033 | 1,111,062 | 1,185,732 | ||||||||
FNMA | 4.00 | 7/29/2031 | 427,331 | 457,476 | ||||||||
FNMA | 3.00 | 7/11/2031 | 95,381 | 97,727 | ||||||||
FNMA | 2.50 | 12/13/2021 | 873,480 | 891,870 | ||||||||
FNMA | 4.00 | 11/10/2031 | 519,495 | 554,539 | ||||||||
FNMA | 3.00 | 7/8/2031 | 87,628 | 89,783 | ||||||||
FNMA | 3.00 | 5/12/2031 | 43,815 | 44,892 | ||||||||
FNMA | 3.50 | 9/19/2031 | 3,006,180 | 3,137,831 | ||||||||
FNMA | 3.50 | 10/12/2031 | 4,724,402 | 4,931,300 | ||||||||
FNMA | 3.00 | 5/28/2031 | 105,672 | 108,271 | ||||||||
FNMA | 3.00 | 5/5/2031 | 117,535 | 120,244 | ||||||||
FNMA | 3.00 | 5/12/2031 | 65,807 | 67,426 |
Page 17
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.00 | 7/27/2031 | 47,716 | 48,890 | ||||||||
FNMA | 3.00 | 6/23/2031 | 105,650 | 108,249 | ||||||||
FNMA | 3.00 | 6/17/2031 | 117,152 | 120,033 | ||||||||
FNMA | 3.00 | 8/11/2031 | 54,608 | 55,834 | ||||||||
FNMA | 3.00 | 5/28/2031 | 53,644 | 54,964 | ||||||||
FNMA | 3.00 | 6/6/2031 | 81,050 | 83,043 | ||||||||
FNMA | 2.50 | 3/5/2022 | 371,114 | 378,874 | ||||||||
FNMA | 3.50 | 10/21/2031 | 1,312,830 | 1,370,324 | ||||||||
FNMA | 3.00 | 9/10/2031 | 130,537 | 133,747 | ||||||||
FNMA | 3.00 | 8/16/2031 | 70,205 | 71,932 | ||||||||
FNMA | 3.00 | 7/28/2031 | 164,540 | 168,235 | ||||||||
FNMA | 3.50 | 10/23/2031 | 42,883 | 44,761 | ||||||||
FNMA | 3.00 | 7/28/2031 | 58,725 | 60,169 | ||||||||
FNMA | 3.00 | 7/22/2031 | 114,151 | 116,782 | ||||||||
FNMA | 3.00 | 8/28/2031 | 51,853 | 53,128 | ||||||||
FNMA | 3.00 | 7/9/2031 | 98,243 | 100,659 | ||||||||
FNMA | 3.00 | 7/17/2031 | 117,034 | 119,913 | ||||||||
FNMA | 3.00 | 6/8/2031 | 132,703 | 135,967 | ||||||||
FNMA | 3.00 | 9/4/2031 | 1,073,924 | 1,091,626 | ||||||||
FNMA | 3.50 | 10/11/2031 | 9,448,725 | 9,874,157 | ||||||||
FNMA | 3.00 | 7/24/2031 | 87,253 | 89,398 | ||||||||
FNMA | 3.00 | 10/16/2031 | 279,738 | 286,020 | ||||||||
FNMA | 3.00 | 9/9/2031 | 266,519 | 273,074 | ||||||||
FNMA | 3.00 | 6/26/2031 | 384,726 | 394,188 | ||||||||
FNMA | 3.00 | 7/20/2031 | 50,162 | 51,396 | ||||||||
FNMA | 3.00 | 9/7/2031 | 211,071 | 216,262 | ||||||||
FNMA | 3.00 | 9/24/2031 | 256,931 | 263,250 | ||||||||
FNMA | 3.00 | 7/3/2031 | 57,698 | 59,117 | ||||||||
FNMA | 3.00 | 7/13/2031 | 92,138 | 94,404 | ||||||||
FNMA | 3.00 | 8/8/2031 | 42,695 | 43,745 | ||||||||
FNMA | 3.00 | 6/28/2031 | 205,524 | 210,578 | ||||||||
FNMA | 3.00 | 5/21/2031 | 139,470 | 142,900 | ||||||||
FNMA | 3.00 | 8/3/2031 | 257,329 | 263,108 | ||||||||
FNMA | 3.00 | 7/17/2031 | 70,110 | 71,835 | ||||||||
FNMA | 3.00 | 7/28/2031 | 65,139 | 66,741 | ||||||||
FNMA | 3.00 | 7/13/2031 | 502,377 | 513,956 | ||||||||
FNMA | 3.00 | 7/15/2031 | 395,235 | 404,956 | ||||||||
FNMA | 3.00 | 8/12/2031 | 51,712 | 52,873 | ||||||||
FNMA | 3.00 | 7/17/2031 | 110,351 | 113,065 | ||||||||
FNMA | 3.00 | 8/21/2031 | 199,825 | 204,739 | ||||||||
FNMA | 3.00 | 7/3/2031 | 328,955 | 337,046 | ||||||||
FNMA | 3.00 | 7/22/2031 | 108,990 | 111,670 | ||||||||
FNMA | 3.00 | 9/19/2031 | 179,295 | 183,704 | ||||||||
FNMA | 3.00 | 10/3/2031 | 273,880 | 280,616 | ||||||||
FNMA | 3.00 | 7/17/2031 | 203,743 | 208,753 |
Page 18
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.00 | 6/3/2031 | 45,735 | 46,860 | ||||||||
FNMA | 3.00 | 9/3/2031 | 53,332 | 54,530 | ||||||||
FNMA | 3.00 | 7/15/2031 | 50,200 | 51,435 | ||||||||
FNMA | 3.00 | 7/13/2031 | 180,196 | 184,628 | ||||||||
FNMA | 3.00 | 6/30/2031 | 57,819 | 59,241 | ||||||||
FNMA | 3.00 | 7/13/2031 | 198,674 | 203,560 | ||||||||
FNMA | 3.00 | 8/16/2031 | 116,123 | 118,731 | ||||||||
FNMA | 4.50 | 11/18/2031 | 390,493 | 429,128 | ||||||||
FNMA | 3.62 | 7/14/2018 | 1,968,087 | 2,120,025 | ||||||||
FNMA | 3.42 | 6/9/2018 | 2,754,874 | 2,948,559 | ||||||||
FNMA | 3.00 | 8/1/2031 | 40,364 | 41,270 | ||||||||
FNMA | 3.00 | 8/25/2031 | 381,315 | 389,878 | ||||||||
FNMA | 3.00 | 8/6/2031 | 98,957 | 101,179 | ||||||||
FNMA | 3.00 | 8/16/2031 | 70,354 | 71,934 | ||||||||
FNMA | 3.50 | 1/5/2032 | 230,378 | 240,467 | ||||||||
FNMA | 3.00 | 7/30/2031 | 86,744 | 88,877 | ||||||||
FNMA | 3.00 | 8/25/2031 | 65,476 | 66,946 | ||||||||
FNMA | 3.00 | 8/14/2031 | 69,863 | 71,432 | ||||||||
FNMA | 3.00 | 6/28/2031 | 90,062 | 92,084 | ||||||||
FNMA | 3.00 | 8/4/2031 | 125,804 | 128,629 | ||||||||
FNMA | 3.00 | 7/13/2031 | 278,545 | 285,395 | ||||||||
FNMA | 3.00 | 8/13/2031 | 53,367 | 54,679 | ||||||||
FNMA | 3.00 | 10/8/2031 | 170,827 | 174,663 | ||||||||
FNMA | 3.00 | 8/25/2031 | 77,408 | 79,146 | ||||||||
FNMA | 3.00 | 11/12/2031 | 314,760 | 321,829 | ||||||||
FNMA | 3.00 | 12/25/2031 | 134,646 | 137,670 | ||||||||
FNMA | 3.00 | 10/13/2031 | 160,325 | 163,926 | ||||||||
FNMA | 3.00 | 12/8/2031 | 119,707 | 121,606 | ||||||||
FNMA | 2.50 | 9/9/2022 | 1,999,466 | 2,042,448 | ||||||||
FNMA | 4.00 | 12/10/2032 | 1,488,699 | 1,601,265 | ||||||||
FNMA | 4.50 | 1/21/2033 | 886,269 | 961,369 | ||||||||
FNMA | 3.00 | 12/13/2022 | 265,879 | 277,175 | ||||||||
FNMA | 4.50 | 4/24/2033 | 668,065 | 724,377 | ||||||||
FNMA | 4.50 | 4/18/2033 | 356,828 | 388,525 | ||||||||
FNMA | 4.00 | 2/17/2033 | 1,722,781 | 1,840,727 | ||||||||
FNMA | 4.00 | 4/30/2033 | 1,260,002 | 1,344,682 | ||||||||
FNMA | 3.00 | 4/12/2023 | 103,031 | 107,355 | ||||||||
FNMA | 4.00 | 4/7/2033 | 346,589 | 369,882 | ||||||||
FNMA | 4.50 | 10/30/2033 | 930,549 | 1,010,703 | ||||||||
FNMA | 3.50 | 6/25/2033 | 128,361 | 134,023 | ||||||||
FNMA | 3.00 | 3/29/2033 | 131,067 | 132,952 | ||||||||
FNMA | 3.00 | 10/30/2031 | 88,629 | 90,620 | ||||||||
FNMA | 3.50 | 2/24/2032 | 2,531,747 | 2,660,984 | ||||||||
FNMA | 3.00 | 10/10/2031 | 42,615 | 43,572 | ||||||||
FNMA | 3.50 | 5/18/2032 | 44,475 | 46,445 |
Page 19
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.50 | 2/20/2032 | 535,006 | 560,922 | ||||||||
FNMA | 3.50 | 3/25/2032 | 172,213 | 179,819 | ||||||||
FNMA | 3.00 | 1/8/2032 | 224,761 | 228,327 | ||||||||
FNMA | 3.50 | 4/9/2032 | 1,644,666 | 1,720,945 | ||||||||
FNMA | 3.00 | 1/22/2032 | 11,923,335 | 12,112,524 | ||||||||
FNMA | 4.50 | 12/17/2032 | 461,817 | 500,950 | ||||||||
FNMA | 2.50 | 9/26/2022 | 332,446 | 339,593 | ||||||||
FNMA | 2.50 | 9/13/2022 | 1,280,216 | 1,307,736 | ||||||||
FNMA | 3.00 | 11/22/2022 | 790,182 | 823,752 | ||||||||
FNMA | 4.50 | 3/21/2033 | 473,107 | 515,139 | ||||||||
FNMA | 4.00 | 12/5/2032 | 420,940 | 449,276 | ||||||||
FNMA | 3.50 | 12/6/2022 | 31,269 | 33,047 | ||||||||
FNMA | 3.00 | 12/1/2022 | 811,687 | 846,170 | ||||||||
FNMA | 4.50 | 5/26/2033 | 19,452 | 21,127 | ||||||||
FNMA | 4.00 | 5/26/2033 | 9,995,674 | 10,680,004 | ||||||||
FNMA | 4.50 | 9/14/2033 | 445,636 | 483,794 | ||||||||
FNMA | 3.00 | 4/19/2023 | 3,233,373 | 3,369,076 | ||||||||
FNMA | 4.00 | 6/18/2033 | 1,734,287 | 1,850,842 | ||||||||
FNMA | 3.50 | 4/19/2033 | 202,210 | 211,094 | ||||||||
FNMA | 4.00 | 7/19/2033 | 169,928 | 181,348 | ||||||||
FNMA | 4.00 | 11/26/2033 | 398,520 | 426,060 | ||||||||
FHLMC_27-55 | 5.00 | 9/9/2020 | 1,575,597 | 1,742,369 | ||||||||
FNMA | 2.23 | 2/4/2025 | 12,155 | 12,966 | ||||||||
FNMA | 8.50 | 3/22/2025 | 249,636 | 276,313 | ||||||||
FNMA | 5.00 | 6/1/2027 | 806,242 | 890,613 | ||||||||
FNMA | 5.00 | 8/30/2027 | 10,228,390 | 11,276,930 | ||||||||
FNMA | 5.00 | 9/1/2027 | 459,181 | 506,253 | ||||||||
FNMA | 2.75 | 7/6/2025 | 3,992 | 4,267 | ||||||||
FNMA | 4.50 | 7/6/2018 | 534,806 | 557,610 | ||||||||
FNMA | 4.50 | 6/20/2018 | 419,426 | 437,311 | ||||||||
FNMA | 5.50 | 4/29/2028 | 60,165 | 67,177 | ||||||||
FNMA | 2.20 | 7/4/2025 | 7,753 | 8,270 | ||||||||
FNMA | 5.50 | 9/5/2026 | 2,890 | 3,246 | ||||||||
FNMA | 2.22 | 3/5/2026 | 65,163 | 69,376 | ||||||||
FNMA | 6.00 | 2/20/2027 | 4,397 | 5,024 | ||||||||
FNMA | 5.50 | 1/22/2027 | 329 | 372 | ||||||||
FNMA | 2.20 | 12/25/2025 | 78,840 | 83,726 | ||||||||
FNMA | 2.02 | 12/21/2025 | 17,182 | 18,118 | ||||||||
FNMA | 2.13 | 2/8/2026 | 110,641 | 118,546 | ||||||||
FNMA | 2.15 | 1/23/2026 | 83,349 | 86,841 | ||||||||
FNMA | 2.15 | 2/10/2026 | 99,537 | 106,150 | ||||||||
FNMA | 2.18 | 2/14/2026 | 135,275 | 144,614 | ||||||||
FNMA | 2.33 | 1/26/2026 | 403,266 | 433,768 | ||||||||
FNMA | 5.00 | 2/19/2027 | 8,221 | 9,108 | ||||||||
FNMA | 6.00 | 7/1/2027 | 64,257 | 72,696 |
Page 20
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 1.98 | 2/25/2026 | 187,879 | 196,841 | ||||||||
FNMA | 6.00 | 12/14/2027 | 2,637 | 2,984 | ||||||||
FNMA | 2.44 | 5/4/2026 | 205,370 | 220,612 | ||||||||
FNMA | 1.83 | 1/5/2026 | 765,827 | 804,450 | ||||||||
FNMA | 2.26 | 5/1/2026 | 88,745 | 92,474 | ||||||||
FNMA | 5.00 | 7/17/2027 | 12,449 | 13,726 | ||||||||
FNMA | 5.50 | 3/11/2027 | 12,998 | 14,599 | ||||||||
FNMA | 2.47 | 7/18/2026 | 2,043,561 | 2,181,375 | ||||||||
FNMA | 4.50 | 5/17/2027 | 7,487 | 8,131 | ||||||||
FNMA | 6.00 | 2/17/2028 | 24,126 | 27,238 | ||||||||
FNMA | 5.00 | 8/19/2027 | 18,432 | 20,321 | ||||||||
FNMA | 5.50 | 8/16/2027 | 22,943 | 25,768 | ||||||||
FNMA | 6.00 | 2/7/2028 | 1,286 | 1,452 | ||||||||
FNMA | 6.00 | 2/21/2028 | 75,870 | 86,221 | ||||||||
FNMA | 5.50 | 2/22/2028 | 19,145 | 21,376 | ||||||||
FNMA | 6.50 | 8/4/2028 | 134,538 | 153,927 | ||||||||
FNMA | 6.00 | 5/29/2028 | 173,483 | 195,864 | ||||||||
FNMA | 6.00 | 4/2/2028 | 168,810 | 190,632 | ||||||||
FNMA | 6.00 | 4/25/2028 | 5,801 | 6,593 | ||||||||
FNMA | 6.00 | 12/18/2028 | 597,838 | 674,944 | ||||||||
FNMA | 6.00 | 2/19/2029 | 225,748 | 254,929 | ||||||||
FNMA | 5.00 | 3/30/2029 | 49,467 | 54,538 | ||||||||
FNMA | 2.52 | 12/1/2025 | 32,416 | 34,814 | ||||||||
FNMA | 1.84 | 4/14/2025 | 135,936 | 144,679 | ||||||||
FNMA | 2.32 | 5/18/2026 | 540,686 | 563,056 | ||||||||
FNMA | 2.46 | 6/7/2025 | 106,023 | 114,182 | ||||||||
FNMA | 2.51 | 8/14/2026 | 1,274,649 | 1,339,869 | ||||||||
FNMA | 2.18 | 5/3/2026 | 37,621 | 40,193 | ||||||||
FNMA | 5.00 | 6/23/2029 | 11,915 | 13,118 | ||||||||
FNMA | 5.50 | 8/5/2029 | 1,119,652 | 1,249,957 | ||||||||
FNMA | 5.00 | 9/8/2029 | 6,741 | 7,421 | ||||||||
FNMA | 5.50 | 5/24/2028 | 859,786 | 965,612 | ||||||||
FNMA | 4.00 | 2/24/2021 | 619,117 | 652,062 | ||||||||
FNMA | 5.50 | 7/30/2031 | 515,601 | 575,593 | ||||||||
FNMA | 5.50 | 9/29/2027 | 7,785 | 8,718 | ||||||||
FNMA | 6.00 | 6/11/2028 | 13,544 | 15,283 | ||||||||
FNMA | 6.00 | 7/29/2028 | 17,608 | 19,880 | ||||||||
FNMA | 5.50 | 9/6/2028 | 3,278,615 | 3,660,751 | ||||||||
FNMA | 5.50 | 9/13/2028 | 745,742 | 832,661 | ||||||||
FNMA | 5.50 | 9/7/2028 | 64,476 | 72,122 | ||||||||
FNMA | 5.50 | 10/8/2028 | 1,950,043 | 2,176,988 | ||||||||
FNMA | 5.00 | 1/24/2030 | 960,439 | 1,076,282 | ||||||||
FNMA | 4.50 | 4/25/2020 | 6,603,722 | 6,986,133 | ||||||||
FNMA | 4.00 | 5/21/2020 | 946,376 | 996,734 | ||||||||
FNMA | 4.50 | 5/4/2030 | 1,837,956 | 2,038,730 |
Page 21
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 5.00 | 4/1/2030 | 2,234,798 | 2,497,778 | ||||||||
FNMA | 5.50 | 6/2/2029 | 211,488 | 236,101 | ||||||||
FNMA | 6.00 | 2/21/2028 | 282,733 | 319,862 | ||||||||
FNMA | 4.00 | 4/28/2027 | 7,194 | 7,675 | ||||||||
FNMA | 4.00 | 11/27/2020 | 488,022 | 518,161 | ||||||||
FNMA | 5.00 | 9/17/2030 | 252,577 | 282,823 | ||||||||
FNMA | 4.00 | 10/4/2030 | 44,866 | 47,930 | ||||||||
FNMA | 5.50 | 8/25/2029 | 720,712 | 804,570 | ||||||||
FNMA | 5.50 | 9/4/2029 | 373,242 | 417,451 | ||||||||
FNMA | 4.00 | 6/24/2020 | 1,038,842 | 1,094,121 | ||||||||
FNMA | 5.50 | 12/24/2028 | 389,057 | 434,336 | ||||||||
FNMA | 6.00 | 2/26/2029 | 346,533 | 393,330 | ||||||||
FNMA | 6.00 | 4/15/2029 | 2,036 | 2,299 | ||||||||
FNMA | 6.00 | 7/19/2029 | 176,034 | 199,806 | ||||||||
FNMA | 4.50 | 2/12/2029 | 41,747 | 45,245 | ||||||||
FNMA | 6.00 | 4/10/2030 | 63,159 | 71,715 | ||||||||
FNMA | 5.00 | 1/22/2030 | 947,170 | 1,058,628 | ||||||||
FNMA | 5.00 | 1/21/2030 | 836,737 | 932,274 | ||||||||
FNMA | 5.00 | 5/23/2029 | 115,006 | 126,620 | ||||||||
FNMA | 5.50 | 8/19/2029 | 74,860 | 83,570 | ||||||||
FNMA | 5.50 | 8/24/2029 | 119,495 | 133,300 | ||||||||
FNMA | 5.00 | 6/24/2029 | 4,686 | 5,159 | ||||||||
FNMA | 5.50 | 10/12/2029 | 73,045 | 81,805 | ||||||||
FNMA | 5.50 | 9/19/2026 | 4,494 | 5,047 | ||||||||
FNMA | 6.00 | 4/13/2030 | 9,933 | 11,212 | ||||||||
FNMA | 4.00 | 6/25/2020 | 285,055 | 300,223 | ||||||||
FNMA | 5.50 | 2/1/2038 | 33,109 | 36,962 | ||||||||
FNMA | 5.00 | 4/20/2029 | 121,159 | 133,579 | ||||||||
FNMA | 4.50 | 8/5/2029 | 369,044 | 399,962 | ||||||||
FNMA | 5.00 | 12/7/2029 | 1,563,066 | 1,720,904 | ||||||||
FNMA | 5.00 | 10/14/2027 | 349,493 | 385,321 | ||||||||
FNMA | 5.00 | 11/23/2029 | 131,773 | 145,131 | ||||||||
FNMA | 5.00 | 11/26/2029 | 510,130 | 565,494 | ||||||||
FNMA | 4.50 | 9/30/2029 | 67,143 | 72,767 | ||||||||
FNMA | 5.00 | 3/1/2030 | 12,851 | 14,153 | ||||||||
FNMA | 4.50 | 10/21/2029 | 25,797 | 28,495 | ||||||||
FNMA | 4.50 | 11/26/2029 | 105,922 | 117,001 | ||||||||
FNMA | 5.00 | 10/8/2030 | 377,115 | 422,274 | ||||||||
FNMA | 4.50 | 9/27/2030 | 2,633,755 | 2,859,751 | ||||||||
FNMA | 4.00 | 4/20/2031 | 1,281,911 | 1,378,354 | ||||||||
FNMA | 4.00 | 5/5/2031 | 462,498 | 495,085 | ||||||||
FNMA | 3.50 | 7/14/2031 | 822,343 | 860,439 | ||||||||
FNMA | 4.00 | 11/1/2031 | 3,512,633 | 3,749,592 | ||||||||
FNMA | 3.00 | 5/9/2031 | 99,328 | 101,618 | ||||||||
FNMA | 3.00 | 5/12/2031 | 50,794 | 52,043 |
Page 22
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 3.00 | 5/8/2031 | 1,623,173 | 1,660,586 | ||||||||
FNMA | 3.00 | 7/4/2031 | 708,310 | 724,636 | ||||||||
FNMA | 3.00 | 3/22/2022 | 753,926 | 786,147 | ||||||||
FNMA | 3.50 | 10/17/2031 | 460,045 | 480,759 | ||||||||
FNMA | 3.00 | 7/3/2031 | 1,368,246 | 1,399,783 | ||||||||
FNMA | 3.00 | 7/2/2031 | 1,437,092 | 1,470,216 | ||||||||
FNMA | 3.00 | 7/12/2031 | 189,054 | 193,704 | ||||||||
FNMA | 3.00 | 8/2/2031 | 283,138 | 290,102 | ||||||||
FNMA | 3.00 | 11/2/2031 | 207,513 | 210,805 | ||||||||
FNMA | 4.50 | 1/16/2030 | 17,715 | 19,567 | ||||||||
FNMA | 4.00 | 11/15/2029 | 64,955 | 69,301 | ||||||||
FNMA | 4.50 | 1/9/2030 | 1,914,827 | 2,121,380 | ||||||||
FNMA | 4.50 | 2/2/2030 | 7,214,104 | 7,818,350 | ||||||||
FNMA | 4.50 | 3/16/2030 | 542,459 | 587,895 | ||||||||
FNMA | 4.50 | 4/1/2030 | 10,170 | 11,234 | ||||||||
FNMA | 4.50 | 5/18/2030 | 1,047,213 | 1,160,177 | ||||||||
FNMA | 4.00 | 7/30/2021 | 520,603 | 548,750 | ||||||||
FNMA | 4.00 | 11/20/2029 | 31,968 | 34,107 | ||||||||
FNMA | 4.50 | 12/18/2030 | 905,399 | 983,753 | ||||||||
FNMA | 3.50 | 1/30/2023 | 295,404 | 312,206 | ||||||||
FNMA | 3.50 | 10/2/2031 | 2,142,743 | 2,239,220 | ||||||||
FNMA | 3.50 | 11/12/2031 | 1,850,490 | 1,931,529 | ||||||||
FNMA | 3.50 | 1/19/2032 | 39,436 | 41,346 | ||||||||
FNMA | 3.50 | 2/18/2032 | 226,108 | 237,060 | ||||||||
FNMA | 4.00 | 5/9/2033 | 1,876,861 | 2,004,000 | ||||||||
FNMA | 5.50 | 1/24/2029 | 7,521,757 | 8,423,058 | ||||||||
FNMA | 5.50 | 5/26/2030 | 150,303 | 167,792 | ||||||||
FNMA | 4.50 | 5/20/2030 | 827,728 | 897,057 | ||||||||
FNMA | 4.50 | 4/9/2030 | 349,093 | 385,604 | ||||||||
FNMA | 5.00 | 1/6/2031 | 183,002 | 201,817 | ||||||||
FNMA | 4.50 | 6/10/2030 | 11,737 | 12,744 | ||||||||
FNMA | 5.00 | 9/24/2030 | 1,015,923 | 1,120,375 | ||||||||
FNMA | 4.00 | 9/12/2029 | 13,697 | 14,620 | ||||||||
FNMA | 4.00 | 7/16/2030 | 49,688 | 53,157 | ||||||||
FNMA | 5.00 | 12/13/2030 | 258,128 | 285,783 | ||||||||
FNMA | 5.00 | 12/16/2030 | 116,561 | 126,931 | ||||||||
FNMA | 5.00 | 12/8/2030 | 396,761 | 437,553 | ||||||||
FNMA | 5.50 | 12/27/2029 | 34,854 | 39,146 | ||||||||
FNMA | 4.00 | 2/2/2021 | 1,368,168 | 1,441,116 | ||||||||
FNMA | 4.00 | 9/16/2030 | 69,654 | 74,416 | ||||||||
FNMA | 5.00 | 12/16/2030 | 224,058 | 248,998 | ||||||||
FNMA | 4.00 | 8/20/2030 | 15,508 | 16,590 | ||||||||
FNMA | 4.00 | 8/18/2030 | 30,646 | 32,785 | ||||||||
FNMA | 4.00 | 8/16/2030 | 72,758 | 77,837 | ||||||||
FNMA | 4.00 | 9/7/2030 | 485,206 | 519,078 |
Page 23
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA | 4.00 | 8/9/2030 | 89,080 | 95,298 | ||||||||
FNMA | 4.00 | 8/19/2030 | 34,502 | 36,910 | ||||||||
FNMA | 4.00 | 8/29/2030 | 59,598 | 63,758 | ||||||||
GNMA | 4.00 | 2/24/2031 | 158,780 | 169,848 | ||||||||
GNMA | 2.50 | 2/6/2022 | 1,162,716 | 1,190,079 | ||||||||
GNMA | 3.50 | 1/20/2031 | 549,417 | 576,777 | ||||||||
GNMA | 3.50 | 2/24/2031 | 460,429 | 484,185 | ||||||||
GNMA | 3.50 | 4/10/2031 | 781,884 | 822,225 | ||||||||
GNMA | 3.50 | 4/30/2031 | 1,014,210 | 1,064,717 | ||||||||
GNMA | 3.50 | 3/20/2031 | 2,011,057 | 2,114,816 | ||||||||
GNMA | 3.50 | 4/10/2031 | 1,503,705 | 1,581,288 | ||||||||
GNMA | 2.50 | 12/16/2021 | 1,094,750 | 1,123,935 | ||||||||
GNMA | 2.50 | 1/3/2022 | 530,991 | 545,147 | ||||||||
GNMA | 3.00 | 6/7/2031 | 107,426 | 110,124 | ||||||||
GNMA | 4.00 | 3/6/2032 | 25,167 | 26,852 | ||||||||
GNMA | 4.00 | 11/19/2031 | 225,012 | 240,304 | ||||||||
GNMA | 3.00 | 5/8/2031 | 218,880 | 224,441 | ||||||||
GNMA | 3.50 | 11/23/2031 | 438,998 | 461,666 | ||||||||
GNMA | 2.50 | 4/18/2031 | 47,853 | 47,425 | ||||||||
GNMA | 4.00 | 8/26/2032 | 123,467 | 131,565 | ||||||||
GNMA | 2.50 | 8/20/2031 | 332,126 | 328,646 | ||||||||
GNMA | 4.00 | 10/21/2032 | 46,065,993 | 49,133,968 | ||||||||
GNMA | 3.50 | 10/11/2032 | 164,654 | 172,752 | ||||||||
GNMA | 3.50 | 11/16/2032 | 146,969 | 154,197 | ||||||||
GNMA | 3.50 | 2/11/2033 | 3,020,333 | 3,168,847 | ||||||||
GNMA | 3.50 | 7/25/2033 | 35,252,175 | 36,985,570 | ||||||||
GNMA | 4.00 | 10/26/2033 | 98,754 | 105,546 | ||||||||
GNMA | 3.50 | 4/11/2033 | 43,989,601 | 46,152,627 | ||||||||
GNMA | 3.50 | 4/26/2033 | 33,930,457 | 35,598,862 | ||||||||
GNMA | 3.00 | 8/14/2031 | 478,391 | 489,751 | ||||||||
GNMA | 3.50 | 5/14/2033 | 179,707 | 188,543 | ||||||||
GNMA | 4.50 | 6/8/2031 | 209,575 | 227,298 | ||||||||
GNMA | 4.00 | 5/6/2031 | 395,225 | 423,905 | ||||||||
GNMA | 4.50 | 8/23/2031 | 380,527 | 412,707 | ||||||||
GNMA | 7.00 | 2/12/2025 | 778 | 865 | ||||||||
GNMA | 4.50 | 11/26/2029 | 256,525 | 281,692 | ||||||||
GNMA | 5.50 | 4/6/2029 | 115,280 | 129,070 | ||||||||
GNMA | 4.50 | 9/14/2030 | 221,761 | 242,295 | ||||||||
GNMA | 3.50 | 3/20/2031 | 2,271,213 | 2,388,395 | ||||||||
GNMA | 7.00 | 1/22/2025 | 6,941 | 7,724 | ||||||||
GNMA | 7.00 | 2/12/2025 | 7,610 | 8,467 | ||||||||
GNMA | 7.00 | 1/1/2025 | 1,440 | 1,602 | ||||||||
GNMA | 1.75 | 2/13/2026 | 6,485,934 | 6,751,926 | ||||||||
GNMA | 2.50 | 10/26/2021 | 923,666 | 944,826 | ||||||||
GNMA | 3.50 | 6/10/2030 | 3,368,139 | 3,543,783 |
Page 24
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
GNMA | 6.00 | 1/17/2030 | 187,979 | 211,339 | ||||||||
GNMA | 5.00 | 12/8/2029 | 178,386 | 197,273 | ||||||||
GNMA | 5.00 | 12/29/2029 | 335,973 | 373,667 | ||||||||
GNMA | 4.50 | 12/16/2029 | 52,037 | 57,142 | ||||||||
594,027,936 | 633,882,083 | |||||||||||
NON AGENCY RMBS | ||||||||||||
COUNTRYWIDE ALTERNATIVE LOAN T | 0.54 | 9/1/2021 | 5,852,414 | 3,773,004 | ||||||||
AIREM_06-1A | 0.57 | 4/16/2021 | 1,292,227 | 1,232,849 | ||||||||
CWALT_06-18CB | 0.54 | 2/11/2021 | 2,910,257 | 1,989,431 | ||||||||
CWALT_06-31CB | 0.69 | 8/4/2021 | 1,467,153 | 1,001,090 | ||||||||
CWALT_06-39CB | 0.94 | 5/30/2021 | 1,166,575 | 872,275 | ||||||||
BANK OF AMERICA MTG SEC | 4.75 | 4/11/2017 | 653,677 | 661,726 | ||||||||
BAFC_07-4 | 0.48 | 9/12/2020 | 5,924,350 | 4,360,233 | ||||||||
BSARM_04-10 | 2.68 | 1/16/2022 | 15,602 | 15,357 | ||||||||
CWALT_04-J4 | 0.77 | 8/16/2019 | 5,019,343 | 4,841,678 | ||||||||
CS FIRST BOSTON MORTGAGE SECUR | 3.57 | 6/3/2021 | 96,897 | 94,619 | ||||||||
CWALT_06-OC8 | 0.44 | 1/16/2022 | 16,996,043 | 10,574,088 | ||||||||
COUNTRYWIDE ALTERNATIVE LOAN T | 0.43 | 7/25/2024 | 4,282,716 | 3,126,382 | ||||||||
CWALT_06-OC9 | 0.44 | 3/1/2026 | 4,576,402 | 3,041,363 | ||||||||
DBALT | 0.47 | 6/3/2023 | 12,038,512 | 8,957,869 | ||||||||
GRANITE MASTER ISSUER PLC GRAN | 0.30 | 1/12/2017 | 816,501 | 811,857 | ||||||||
HALO | 0.49 | 8/18/2021 | 3,693,379 | 1,236,687 | ||||||||
HALO_07-WF1 | 0.29 | 5/7/2024 | 3,331,795 | 1,387,976 | ||||||||
JPALT_08-R2 | 6.00 | 5/27/2022 | 2,494,749 | 2,189,417 | ||||||||
NGN_11-R3 | 0.60 | 9/5/2017 | 835,322 | 834,027 | ||||||||
NOMURA ASSET ACCEPTANCE CORPOR | 6.02 | 9/16/2026 | 3,758,730 | 3,069,473 | ||||||||
RES ASSET SEC | 2.98 | 12/1/2022 | 1,015,602 | 704,438 | ||||||||
SARM | 2.49 | 2/17/2022 | 8,649,577 | 6,830,614 | ||||||||
SARM | 2.56 | 8/21/2022 | 1,661,392 | 1,590,532 | ||||||||
STRUCTURED ASSET MORTGAGE INV | 2.35 | 5/14/2022 | 2,171,336 | 1,796,551 | ||||||||
SAMI_06-AR8 | 0.39 | 9/11/2022 | 6,042,109 | 4,872,779 | ||||||||
SAMI_06-AR8 | 0.31 | 6/18/2026 | 17,670,049 | 14,113,068 | ||||||||
WAMU | 0.97 | 4/5/2022 | 3,666,725 | 3,565,446 | ||||||||
WASHINGTON MUTUAL | 0.97 | 5/9/2020 | 224,525 | 213,524 | ||||||||
WAMU_04-A12 | 0.64 | 1/21/2020 | 3,892,662 | 3,767,171 | ||||||||
BRUNEL RESIDENTIAL MORTGAGE SE | 0.49 | 6/3/2017 | 867,968 | 851,884 | ||||||||
123,084,589 | 92,377,408 | |||||||||||
CMBS | ||||||||||||
AVMT_13-AVM | 3.74 | 6/5/2020 | 6,200,000 | 6,619,517 | ||||||||
BAMLL_11-07C1 | 5.38 | 4/17/2016 | 4,340,547 | 4,431,886 | ||||||||
BACM | 5.89 | 1/6/2017 | 6,822,383 | 6,934,182 | ||||||||
BACM | 5.36 | 6/11/2016 | 2,400,000 | 2,446,337 | ||||||||
BANC OF AMERICA | 5.63 | 1/11/2016 | 3,009,461 | 3,058,988 |
Page 25
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
BANC OF AMERICA | 5.48 | 9/27/2016 | 24,990,000 | 23,185,722 | ||||||||
BACM_07-2 | 5.73 | 6/26/2016 | 1,195,251 | 1,253,769 | ||||||||
BSCMS | 5.41 | 11/27/2015 | 742,720 | 742,740 | ||||||||
BSCMS | 5.20 | 4/11/2016 | 483,754 | 499,393 | ||||||||
BSCMS_07-PW18 | 5.60 | 10/19/2016 | 9,438,748 | 10,074,797 | ||||||||
CITIGROUP/DEUTSCHE BANK COMMER | 5.57 | 3/1/2016 | 19,550,000 | 18,146,154 | ||||||||
CD_07-CD4 | 5.32 | 4/26/2016 | 2,800,000 | 2,891,073 | ||||||||
CD_07-CD4 | 5.40 | 2/26/2022 | 15,521,849 | 13,482,992 | ||||||||
COMM_13-CR12 | 1.57 | 8/5/2022 | 15,123,941 | 1,143,294 | ||||||||
COMM MORTGAGE TRUST COMM_14-UB | 4.84 | 4/10/2024 | 24,766,000 | 21,592,584 | ||||||||
COMM_14-CR16 | 1.42 | 9/10/2022 | 19,714,277 | 1,341,911 | ||||||||
COMM_14-UBS3 | 3.82 | 1/26/2024 | 134,000 | 142,209 | ||||||||
COMM_14-UBS6 | 4.12 | 12/10/2024 | 7,111,000 | 5,830,643 | ||||||||
COMM_15-CR23 | 2.85 | 1/11/2020 | 1,370,000 | 1,413,103 | ||||||||
COMM_15-LC21 | 4.46 | 6/10/2025 | 1,520,000 | 1,264,100 | ||||||||
COMM_15-PC1 | 1.67 | 11/16/2017 | 8,762,976 | 8,780,309 | ||||||||
COMM_12-LC4 | 4.06 | 1/25/2022 | 134,000 | 144,163 | ||||||||
COMM_10-C1 | 3.16 | 11/26/2015 | 713,928 | 713,455 | ||||||||
COMM | 2.04 | 7/18/2021 | 35,273,095 | 3,198,247 | ||||||||
COMM_13-CR6 | 2.62 | 8/17/2020 | 335,000 | 339,394 | ||||||||
COMM_13-LC13 | 4.21 | 4/11/2023 | 268,000 | 294,002 | ||||||||
CITIGROUP | 5.43 | 3/16/2016 | 2,024,204 | 2,078,313 | ||||||||
CGCMT_07-C6 | 5.90 | 8/26/2016 | 5,153,564 | 5,444,153 | ||||||||
CITIGROUP COMMERCIAL MORTGAGE | 3.02 | 11/17/2020 | 335,000 | 344,646 | ||||||||
CGCMT_13-GC11 | 3.09 | 11/26/2022 | 8,200,000 | 8,359,367 | ||||||||
CGCMT_13-GC15 | 1.42 | 10/5/2021 | 10,426,671 | 603,923 | ||||||||
CITIGROUP COMMERCIAL MORTGAGE | 4.13 | 7/11/2023 | 168,000 | 182,238 | ||||||||
CGCMT_14-GC23 | 3.62 | 4/10/2024 | 134,000 | 140,144 | ||||||||
CGCMT 2015-GC27 | 2.94 | 5/13/2022 | 1,940,000 | 1,966,275 | ||||||||
CGCMT_15_GC27 | 4.58 | 1/10/2025 | 11,750,000 | 9,884,946 | ||||||||
CWCAPITAL COBALT | 5.22 | 4/2/2016 | 4,057,113 | 4,171,049 | ||||||||
CWCI | 5.48 | 6/3/2016 | 3,013,881 | 3,160,105 | ||||||||
CWCI_07-C3 | 5.96 | 8/15/2016 | 3,882,363 | 4,110,918 | ||||||||
COMMERCIAL MORTGAGE PASS-THROU | 5.95 | 12/25/2015 | 2,600,322 | 2,638,674 | ||||||||
GCCFC | 5.44 | 5/13/2016 | 3,763,613 | 3,906,788 | ||||||||
GREENWICH COMMERCIAL FUNDING C | 5.51 | 2/10/2017 | 42,985,000 | 41,431,522 | ||||||||
CMLT | 6.03 | 9/17/2016 | 2,330,774 | 2,423,369 | ||||||||
CREDIT SUISSE MORTGAGE CAPITAL | 6.00 | 12/30/2015 | 8,974,521 | 9,076,229 | ||||||||
CREDIT SUISSE MORTGAGE CAPITAL | 5.31 | 4/2/2016 | 2,908,470 | 2,970,725 | ||||||||
CREDIT SUISSE MORTGAGE CAPITAL | 5.37 | 2/10/2018 | 47,408,252 | 45,907,876 | ||||||||
CSMC_07-C2 | 5.53 | 7/15/2016 | 4,189,462 | 4,360,610 | ||||||||
CSMC | 5.70 | 2/4/2018 | 3,212,000 | 3,384,227 | ||||||||
DBUBS_11-LC1 | 3.74 | 8/15/2016 | 553,136 | 555,756 | ||||||||
FNMA | 2.98 | 11/11/2021 | 1,700,000 | 1,789,626 | ||||||||
FNMA_12-M8 | 1.52 | 12/28/2016 | 1,569,576 | 1,584,388 |
Page 26
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
FNMA_12-M8 | 1.80 | 1/27/2019 | 2,100,000 | 2,130,263 | ||||||||
FNMA_12-M14 | 2.30 | 8/25/2022 | 200,000 | 202,110 | ||||||||
FHMS_19-K710 | 1.88 | 3/25/2019 | 10,700,000 | 10,841,326 | ||||||||
FHLMC | 2.37 | 3/25/2022 | 5,000,000 | 5,029,900 | ||||||||
FHLMC_K021 | 1.63 | 11/24/2021 | 34,010,016 | 2,773,211 | ||||||||
FHLMC_13-HN | 3.11 | 1/11/2023 | 16,000,000 | 16,782,144 | ||||||||
GECMC_07-C1 | 5.48 | 7/11/2016 | 6,355,742 | 6,658,568 | ||||||||
GSMSCII_12-GC6 | 2.26 | 12/10/2020 | 14,262,136 | 1,345,262 | ||||||||
GS MORTGAGE SECURITIES CORPORA | 2.77 | 3/19/2020 | 335,000 | 336,856 | ||||||||
GS MORTGAGE SECURITIES TRUST G | 3.14 | 1/25/2023 | 168,000 | 171,619 | ||||||||
GSMS_13-GC13 | 4.04 | 2/25/2023 | 402,000 | 438,897 | ||||||||
GSMS_14-GC26 | 4.51 | 11/11/2024 | 11,300,000 | 9,753,719 | ||||||||
GS MORTGAGE SECURITIES TRUST G | 2.90 | 1/1/2021 | 2,180,000 | 2,251,648 | ||||||||
GSMS_14-GC18 | 1.43 | 8/27/2022 | 23,936,210 | 1,679,412 | ||||||||
GSMS_14-GC24 | 4.66 | 6/10/2024 | 870,000 | 748,083 | ||||||||
JPMCC | 5.45 | 12/30/2015 | 3,951,344 | 3,949,317 | ||||||||
JPMCC | 5.55 | 2/12/2016 | 5,972,969 | 6,101,358 | ||||||||
JPMCC | 5.34 | 5/15/2016 | 1,815,617 | 1,876,246 | ||||||||
JPMCC_06-LDP9 | 5.26 | 5/15/2016 | 1,232,725 | 1,266,983 | ||||||||
JP MORGAN CHASE COMMERICAL MOR | 5.50 | 9/27/2022 | 22,841,932 | 22,579,387 | ||||||||
JPMCC | 5.43 | 3/28/2016 | 1,271,653 | 1,308,539 | ||||||||
JP MORGAN CHASE COMMERCIAL MOR | 5.42 | 7/4/2016 | 868,690 | 901,627 | ||||||||
JP MORGAN CHASE COMMERCIAL MOR | 5.88 | 5/27/2023 | 41,471,000 | 38,742,955 | ||||||||
JPMCC | 5.88 | 8/20/2016 | 2,100,000 | 2,208,536 | ||||||||
JPMCC_12-LC9 | 1.68 | 3/1/2017 | 335,000 | 336,670 | ||||||||
JPMBB_14-C22 | 3.80 | 4/30/2024 | 134,000 | 141,283 | ||||||||
JPMBB_14-C23 | 3.18 | 9/15/2019 | 6,000,000 | 6,278,406 | ||||||||
JPMBB_14-C24 | 2.94 | 10/15/2018 | 900,000 | 933,785 | ||||||||
JPMBB_14-C24 | 3.37 | 8/15/2024 | 168,000 | 172,053 | ||||||||
JPMBB_14-C25 | 2.95 | 10/15/2020 | 5,470,000 | 5,675,502 | ||||||||
JPMBB_14-C26 | 4.07 | 12/16/2024 | 15,361,000 | 12,864,592 | ||||||||
JPMBB_14-C26 | 3.02 | 11/30/2019 | 4,320,000 | 4,494,571 | ||||||||
JPMBB_15-C27 | 3.98 | 2/17/2025 | 960,400 | 776,727 | ||||||||
JPMCCMSC_15-C28 | 3.88 | 4/1/2025 | 4,600,000 | 3,624,915 | ||||||||
JPMBB | 2.92 | 5/15/2020 | 1,070,000 | 1,108,812 | ||||||||
LBUBS | 5.37 | 2/29/2016 | 234,382 | 240,528 | ||||||||
MLCFC_06-4 | 5.17 | 3/29/2016 | 1,573,986 | 1,620,160 | ||||||||
MERRIL LYNCH COUNTRYWIDE | 2.00 | 2/13/2017 | 43,696,578 | 42,989,698 | ||||||||
MERRIL LYNCH COUNTRYWIDE | 5.45 | 2/13/2017 | 10,992,200 | 10,537,453 | ||||||||
MLCFC_07-9 | 6.19 | 8/18/2018 | 1,060,000 | 1,053,195 | ||||||||
MSBAM_15-C22 | 4.38 | 4/15/2025 | 3,889,000 | 3,259,709 | ||||||||
MORGAN STANLEY CAPITAL | 3.88 | 12/15/2015 | 1,305,845 | 1,310,921 | ||||||||
MSC_06-HQ9 | 5.73 | 12/27/2015 | 1,670,571 | 1,692,116 | ||||||||
MSC | 5.33 | 3/16/2016 | 1,350,429 | 1,390,797 | ||||||||
MSC_07-IQ13 | 5.44 | 5/20/2023 | 6,294,500 | 6,310,073 |
Page 27
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
MSBAM_12-C6 | 1.87 | 6/12/2017 | 300,000 | 302,345 | ||||||||
MSBAM_13-C13 | 1.37 | 10/11/2022 | 19,115,482 | 1,268,962 | ||||||||
MSBAM_14-C18 | 3.39 | 10/1/2024 | 4,454,440 | 3,658,668 | ||||||||
MSBAM_15-C20 | 3.07 | 10/30/2024 | 9,231,500 | 7,053,143 | ||||||||
MSBAM_15-C20 | 3.07 | 5/19/2022 | 1,470,000 | 1,503,013 | ||||||||
PROG_14-SFR1 | 4.36 | 10/23/2016 | 401,000 | 399,812 | ||||||||
SWAY_14-1 | 4.51 | 1/23/2017 | 3,395,000 | 3,394,990 | ||||||||
UBS-BARCLAYS COMMERCIAL MORTGA | 3.53 | 1/10/2022 | 235,000 | 247,697 | ||||||||
UBSBB_12-C3 | 2.27 | 5/7/2021 | 6,393,646 | 626,923 | ||||||||
WFRBSCMT_12-C10 | 1.92 | 11/13/2021 | 2,294,664 | 201,561 | ||||||||
WFRBS_12-C10 | 2.88 | 7/30/2022 | 335,000 | 339,169 | ||||||||
WF-RBS COMMERCIAL MORTGAGE TRU | 3.43 | 1/15/2022 | 168,000 | 176,151 | ||||||||
WF-RBS COMMERCIAL MORTGAGE TRU | 3.04 | 8/15/2022 | 214,000 | 217,622 | ||||||||
WFRBSCMT_13-C12 | 1.61 | 10/14/2021 | 3,011,674 | 217,250 | ||||||||
WFRBS_14-C21 | 1.34 | 4/4/2023 | 19,303,551 | 1,397,963 | ||||||||
WBCMT | 5.42 | 11/1/2015 | 1,062,886 | 1,063,456 | ||||||||
WBCMT_07-C30 | 0.68 | 2/6/2017 | 29,203,259 | 174,694 | ||||||||
WBCMT | 5.90 | 2/15/2017 | 1,000,000 | 1,048,193 | ||||||||
WFCM_12-LC5 | 2.92 | 2/27/2020 | 218,000 | 221,833 | ||||||||
WFCM_14-LC16 | 3.94 | 6/17/2024 | 2,096,000 | 1,745,151 | ||||||||
WFCM_15-C26 | 2.91 | 12/15/2024 | 3,900,000 | 3,828,915 | ||||||||
814,534,879 | 576,418,274 | |||||||||||
CORPORATE DEBT SECURITIES - FINANCIALS | ||||||||||||
ABN AMRO BANK NV | 2.50 | 10/30/2018 | 7,000,000 | 7,089,130 | ||||||||
AFLAC INC | 2.65 | 2/15/2017 | 170,000 | 173,118 | ||||||||
ABBEY NATIONAL TREASURY SERVIC | 3.05 | 8/23/2018 | 4,155,000 | 4,286,419 | ||||||||
ABBEY NATIONAL TREASURY SERVIC | 1.38 | 3/13/2017 | 2,055,000 | 2,054,946 | ||||||||
AIR LEASE CORPORATION | 2.13 | 1/15/2018 | 135,000 | 133,372 | ||||||||
AMERICAN CAMPUS COMMUNITIES OP | 3.35 | 9/1/2020 | 2,000,000 | 2,024,940 | ||||||||
AMERICAN EXPRESS COMPANY | 5.50 | 9/12/2016 | 4,000,000 | 4,166,656 | ||||||||
AMERICAN EXPRESS COMPANY | 1.55 | 5/22/2018 | 6,175,000 | 6,144,649 | ||||||||
AMERICAN EXPRESS CREDIT CORPOR | 2.80 | 9/19/2016 | 170,000 | 173,024 | ||||||||
AMERICAN EXPRESS CREDIT CORPOR | 2.13 | 3/18/2019 | 9,000,000 | 9,029,680 | ||||||||
AMERICAN EXPRESS CREDIT CORPOR | 2.25 | 8/15/2019 | 3,100,000 | 3,108,459 | ||||||||
AMERICAN INTERNATIONAL GROUP I | 5.60 | 10/18/2016 | 65,000 | 68,004 | ||||||||
APOLLO INVSTMNT | 5.25 | 3/3/2025 | 2,250,000 | 2,239,982 | ||||||||
ARC PROPERTIES OPERATING PARTN | 2.00 | 2/6/2017 | 8,000,000 | 7,847,088 | ||||||||
AUSTRALIA & NEW ZEALAND BANKIN | 1.45 | 5/15/2018 | 250,000 | 248,906 | ||||||||
AUSTRALIA & NEW ZEALAND BANKIN | 1.25 | 1/10/2017 | 2,385,000 | 2,386,593 | ||||||||
AUSTRALIA & NEW ZEALAND BANKIN | 2.25 | 6/13/2019 | 3,700,000 | 3,722,786 | ||||||||
BB&T CORP | 1.60 | 7/15/2017 | 10,400,000 | 10,438,986 | ||||||||
BB&T CORP | 2.45 | 12/15/2019 | 2,600,000 | 2,618,043 | ||||||||
BB&T CORP | 2.63 | 5/29/2020 | 3,000,000 | 3,035,421 | ||||||||
BNP PARIBAS SA | 5.00 | 1/15/2021 | 1,500,000 | 1,686,559 |
Page 28
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
BNP PARIBAS SA | 3.60 | 2/23/2016 | 255,000 | 257,675 | ||||||||
BNP PARIBAS SA | 2.40 | 12/12/2018 | 9,275,000 | 9,383,198 | ||||||||
BNP PARIBAS SA | 1.38 | 3/17/2017 | 5,045,000 | 5,028,900 | ||||||||
BPCE SA | 2.50 | 12/10/2018 | 3,965,000 | 4,035,696 | ||||||||
BPCE SA | 0.89 | 11/18/2016 | 3,280,000 | 3,282,854 | ||||||||
BANCO SANTANDER CHILE | 1.19 | 4/11/2017 | 4,500,000 | 4,443,750 | ||||||||
BANK OF AMERICA CORP | 6.00 | 9/1/2017 | 10,695,000 | 11,531,720 | ||||||||
BANK OF AMERICA CORP | 1.13 | 11/14/2016 | 1,500,000 | 1,499,635 | ||||||||
BANK OF AMERICA CORP | 5.65 | 5/1/2018 | 2,750,000 | 2,996,287 | ||||||||
BANK OF AMERICA CORP | 7.63 | 6/1/2019 | 2,700,000 | 3,179,121 | ||||||||
BANK OF AMERICA CORP | 5.63 | 7/1/2020 | 4,500,000 | 5,070,950 | ||||||||
BANK OF AMERICA CORP | 2.00 | 1/11/2018 | 3,370,000 | 3,383,368 | ||||||||
BANK OF AMERICA CORP | 2.60 | 1/15/2019 | 6,575,000 | 6,650,403 | ||||||||
BANK OF AMERICA CORP | 2.65 | 4/1/2019 | 4,960,000 | 5,017,085 | ||||||||
BANK OF AMERICA CORP | 4.20 | 8/26/2024 | 2,535,000 | 2,533,037 | ||||||||
BANK OF AMERICA CORP | 3.95 | 4/21/2025 | 6,000,000 | 5,818,399 | ||||||||
BANK OF MONTREAL | 2.50 | 1/11/2017 | 1,505,000 | 1,529,786 | ||||||||
BANK OF MONTREAL | 1.40 | 9/11/2017 | 200,000 | 199,630 | ||||||||
BANK OF MONTREAL | 2.63 | 1/25/2016 | 6,000,000 | 6,035,184 | ||||||||
BANK OF MONTREAL | 1.95 | 1/30/2017 | 2,600,000 | 2,634,996 | ||||||||
BANK OF NEW YORK MELLON | 2.40 | 12/17/2016 | 2,948,000 | 2,992,403 | ||||||||
BANK OF NEW YORK MELLON CORP/T | 2.10 | 12/15/2018 | 168,000 | 169,322 | ||||||||
BANK OF NEW YORK MELLON CORP/T | 2.20 | 4/15/2019 | 135,000 | 136,168 | ||||||||
BANK OF NEW YORK MELLON CORP/T | 2.30 | 3/11/2019 | 4,170,000 | 4,207,616 | ||||||||
BANK OF NOVA SCOTIA | 2.55 | 1/12/2017 | 170,000 | 172,913 | ||||||||
BANK OF NOVA SCOTIA | 1.38 | 12/18/2017 | 100,000 | 99,627 | ||||||||
BANK OF NOVA SCOTIA | 2.05 | 10/30/2018 | 100,000 | 100,683 | ||||||||
BANK OF NOVA SCOTIA | 1.25 | 4/11/2017 | 3,930,000 | 3,924,268 | ||||||||
BANK OF NOVA SCOTIA | 2.05 | 6/5/2019 | 4,300,000 | 4,318,822 | ||||||||
BANK OF NOVA SCOTIA | 1.75 | 3/22/2017 | 6,000,000 | 6,050,880 | ||||||||
BANK OF TOKYO-MITSUBISHI UFJ L | 1.55 | 9/9/2016 | 3,095,000 | 3,108,062 | ||||||||
BANK OF TOKYO MITSUBISHI UFJ L | 3.75 | 3/10/2024 | 3,625,000 | 3,720,034 | ||||||||
BANK OF TOKYO MITSUBISHI UFJ L | 2.35 | 9/8/2019 | 1,900,000 | 1,903,838 | ||||||||
BANK OF TOKYO-MITSUBISHI UFJ L | 2.75 | 9/14/2020 | 1,500,000 | 1,519,748 | ||||||||
BARCLAYS BANK PLC | 5.00 | 9/22/2016 | 100,000 | 103,725 | ||||||||
BARCLAYS BANK PLC | 2.50 | 2/20/2019 | 10,950,000 | 11,136,983 | ||||||||
BRANCH BKG & TR CO | 1.05 | 12/1/2016 | 2,645,000 | 2,642,035 | ||||||||
BB&T CORP | 1.35 | 10/1/2017 | 4,570,000 | 4,555,048 | ||||||||
BEAR STEARNS COMPANIES LLC/THE | 7.25 | 2/1/2018 | 4,800,000 | 5,380,771 | ||||||||
CBL & ASSOCIATES LP | 5.25 | 9/1/2023 | 625,000 | 643,000 | ||||||||
CBL & ASSOCIATES LP | 4.60 | 10/15/2024 | 1,160,000 | 1,130,072 | ||||||||
CANADIAN IMPERIAL BANK OF COMM | 1.55 | 12/23/2017 | 100,000 | 99,952 | ||||||||
CAPITAL ONE BANK USA NA | 2.15 | 11/21/2018 | 1,950,000 | 1,942,872 | ||||||||
CAPITAL ONE BANK USA NA | 2.40 | 9/5/2019 | 5,250,000 | 5,211,794 | ||||||||
CATERPILLAR INC | 1.25 | 8/18/2017 | 8,530,000 | 8,522,591 |
Page 29
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CITIGROUP INC | 6.13 | 5/15/2018 | 8,500,000 | 9,397,839 | ||||||||
CITIGROUP INC | 8.50 | 5/22/2019 | 4,000,000 | 4,833,988 | ||||||||
CITIGROUP INC | 2.50 | 9/26/2018 | 3,890,000 | 3,936,956 | ||||||||
CITIGROUP INC | 1.35 | 3/10/2017 | 3,620,000 | 3,615,529 | ||||||||
CITIGROUP INC | 0.87 | 3/10/2017 | 400,000 | 399,316 | ||||||||
CITIGROUP INC | 2.55 | 4/8/2019 | 135,000 | 136,108 | ||||||||
CITIGROUP INC | 1.55 | 8/14/2017 | 100,000 | 99,914 | ||||||||
CITIGROUP INC | 1.80 | 2/5/2018 | 3,500,000 | 3,495,899 | ||||||||
COMPASS BANK | 1.85 | 9/29/2017 | 785,000 | 782,759 | ||||||||
COMPASS BANK | 2.75 | 9/29/2019 | 2,300,000 | 2,289,150 | ||||||||
COMPASS BANK | 3.88 | 4/10/2025 | 725,000 | 676,308 | ||||||||
RABOBANK NEDERLAND, UTRECHT | 2.13 | 10/13/2015 | 5,000,000 | 5,001,850 | ||||||||
RABOBANK NEDERLAND NV | 4.50 | 1/11/2021 | 2,000,000 | 2,193,880 | ||||||||
RABOBANK NEDERLAND UTREC | 3.38 | 1/19/2017 | 2,455,000 | 2,518,923 | ||||||||
RABOBANK NEDERLAND NV | 2.25 | 1/14/2019 | 5,000,000 | 5,043,342 | ||||||||
RABOBANK NEDERLAND NV | 2.25 | 1/14/2020 | 3,250,000 | 3,249,180 | ||||||||
CREDIT AGRICOLE SA | 2.63 | 10/3/2018 | 3,000,000 | 3,056,990 | ||||||||
CREDIT AGRICOLE SA/LONDON | 2.50 | 4/15/2019 | 3,400,000 | 3,431,538 | ||||||||
CREDIT SUISSE NEW YORK NY | 6.00 | 2/15/2018 | 200,000 | 217,123 | ||||||||
CREDIT SUISSE NEW YORK NY | 5.40 | 1/14/2020 | 8,975,000 | 9,958,478 | ||||||||
CREDIT SUISSE NEW YORK NY | 2.30 | 5/28/2019 | 14,050,000 | 14,135,508 | ||||||||
CREDIT SUISSE NEW YORK NY | 1.75 | 1/29/2018 | 5,770,000 | 5,767,209 | ||||||||
CUBESMART | 4.80 | 4/15/2022 | 4,025,000 | 4,362,697 | ||||||||
CUBESMART LP | 4.38 | 9/15/2023 | 1,200,000 | 1,254,600 | ||||||||
DNB BANK ASA | 3.20 | 4/3/2017 | 6,425,000 | 6,582,474 | ||||||||
DBS GROUP HOLDINGS LTD | 2.25 | 7/16/2019 | 1,000,000 | 1,009,156 | ||||||||
DEUTSCHE BK LDN | 1.40 | 2/13/2017 | 100,000 | 99,735 | ||||||||
DEUTSCHE BK LDN | 1.88 | 2/13/2018 | 100,000 | 99,893 | ||||||||
DEXIA CREDIT LOCAL/NEW YORK | 1.25 | 10/18/2016 | 11,350,000 | 11,408,453 | ||||||||
DISCOVER BANK | 2.00 | 2/21/2018 | 3,725,000 | 3,699,911 | ||||||||
DISCOVER BANK/GREENWOOD DE | 4.20 | 8/8/2023 | 4,750,000 | 4,884,250 | ||||||||
ERP OPERATING LIMITED PARTNERS | 5.75 | 6/15/2017 | 100,000 | 106,959 | ||||||||
EPR PROPERTIES | 5.75 | 5/15/2022 | 3,000,000 | 3,141,000 | ||||||||
FEDERAL REALTY INVESTMENT TRUS | 2.55 | 12/15/2020 | 2,600,000 | 2,615,592 | ||||||||
FIFTH THIRD BANK | 1.15 | 11/18/2016 | 1,335,000 | 1,332,804 | ||||||||
FIFTH THIRD BANK | 0.83 | 11/18/2016 | 2,000,000 | 1,998,080 | ||||||||
FIFTH THIRD BANK | 1.35 | 6/1/2017 | 315,000 | 314,602 | ||||||||
FIFTH THIRD BANK | 2.38 | 3/25/2019 | 2,105,000 | 2,119,698 | ||||||||
FIFTH THIRD BANK | 2.88 | 10/1/2021 | 6,000,000 | 5,993,163 | ||||||||
FRANKLIN RESOURCES INC | 1.38 | 9/15/2017 | 4,000,000 | 3,998,323 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 5.55 | 5/4/2020 | 5,000,000 | 5,816,486 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 5.63 | 9/15/2017 | 4,000,000 | 4,357,626 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 5.63 | 5/1/2018 | 300,000 | 332,280 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 6.00 | 8/7/2019 | 300,000 | 346,344 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 2.30 | 4/27/2017 | 5,000,000 | 5,097,446 |
Page 30
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 1.60 | 11/20/2017 | 6,000,000 | 6,063,558 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 2.20 | 12/9/2019 | 11,560,000 | 11,780,527 | ||||||||
GENERAL ELECTRIC CAPITAL CORP | 0.68 | 5/5/2026 | 4,000,000 | 3,740,040 | ||||||||
GENERAL ELECTRIC CAP CORP | 3.80 | 6/18/2019 | 4,000,000 | 4,237,832 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 7.50 | 2/15/2019 | 8,100,000 | 9,451,446 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.38 | 1/22/2018 | 268,000 | 271,278 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.63 | 1/31/2019 | 1,800,000 | 1,825,231 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.90 | 7/19/2018 | 785,000 | 804,328 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.55 | 10/23/2019 | 135,000 | 135,748 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 2.60 | 3/23/2020 | 5,500,000 | 5,507,911 | ||||||||
GOLDMAN SACHS GROUP INC/THE | 1.45 | 4/23/2020 | 4,500,000 | 4,511,700 | ||||||||
GRAIN SPECTRUM FUNDING II LLC | 3.29 | 3/13/2033 | 924,439 | 933,701 | ||||||||
HCP INC | 3.75 | 11/1/2018 | 200,000 | 208,428 | ||||||||
HSBC USA INC | 1.63 | 1/16/2018 | 5,080,000 | 5,057,715 | ||||||||
HSBC USA INC | 1.50 | 11/13/2017 | 155,000 | 154,368 | ||||||||
HSBC USA INC | 2.35 | 3/5/2020 | 9,425,000 | 9,336,383 | ||||||||
HSBC FINANCE CORP | 5.50 | 1/19/2016 | 1,750,000 | 1,773,398 | ||||||||
HSBC FINANCE CORP | 6.68 | 1/15/2021 | 11,000,000 | 12,802,051 | ||||||||
HSBC BANK USA NA | 6.00 | 8/9/2017 | 500,000 | 537,220 | ||||||||
HEALTH CARE REIT INC | 2.25 | 3/15/2018 | 1,580,000 | 1,586,733 | ||||||||
HEALTHCARE TRUST OF AMERICA HO | 3.38 | 5/15/2021 | 1,325,000 | 1,318,110 | ||||||||
HUNTINGTON NATIONAL BANK THE | 1.30 | 11/20/2016 | 2,180,000 | 2,176,888 | ||||||||
HUNTINGTON NATIONAL BANK THE | 1.38 | 4/24/2017 | 5,955,000 | 5,922,802 | ||||||||
HUTCHISON WHAMPOA FIN (CI) LTD | 1.63 | 10/31/2017 | 440,000 | 439,177 | ||||||||
ING BANK NV | 3.75 | 3/7/2017 | 3,000,000 | 3,091,155 | ||||||||
INDUSTRIAL & COMMERCIAL BANK O | 2.35 | 11/13/2017 | 420,000 | 423,205 | ||||||||
VOYA FINANCIAL INC | 2.90 | 2/15/2018 | 168,000 | 171,402 | ||||||||
JPMORGAN CHASE & CO | 4.40 | 7/22/2020 | 3,925,000 | 4,231,979 | ||||||||
JPMORGAN CHASE & CO | 1.63 | 5/15/2018 | 1,605,000 | 1,594,527 | ||||||||
JPMORGAN CHASE & CO | 2.35 | 1/28/2019 | 1,710,000 | 1,719,479 | ||||||||
JPMORGAN CHASE & CO | 0.92 | 1/28/2019 | 10,525,000 | 10,483,321 | ||||||||
JPMORGAN CHASE & CO | 2.25 | 1/23/2020 | 6,725,000 | 6,663,153 | ||||||||
JPMORGAN CHASE & CO | 2.75 | 5/23/2020 | 1,150,000 | 1,160,211 | ||||||||
JPMORGAN CHASE & CO | 3.90 | 4/15/2025 | 3,500,000 | 3,572,751 | ||||||||
JEFFERIES FINANC | 7.38 | 4/1/2020 | 750,000 | 722,813 | ||||||||
JPMORGAN CHASE BANK NA | 6.00 | 10/1/2017 | 4,700,000 | 5,086,393 | ||||||||
JPMORGAN CHASE & CO | 2.00 | 8/15/2017 | 9,775,000 | 9,860,002 | ||||||||
JPMORGAN CHASE & CO | 2.20 | 10/22/2019 | 1,000,000 | 991,697 | ||||||||
KEY BANK NATIONAL ASSOCIATION | 3.18 | 10/15/2027 | 2,650,000 | 2,653,726 | ||||||||
KEY BANK NATIONAL ASSOCIATION | 1.65 | 2/1/2018 | 6,900,000 | 6,885,662 | ||||||||
KEY BANK NATIONAL ASSOCIATION | 2.50 | 12/15/2019 | 2,970,000 | 2,996,508 | ||||||||
KEY BANK NATIONAL ASSOCIATION | 2.25 | 3/16/2020 | 8,370,000 | 8,325,654 | ||||||||
KILROY REALTY LP | 4.25 | 8/15/2029 | 5,725,000 | 5,543,732 | ||||||||
LEASEPLAN CORPORATION NV | 2.50 | 5/16/2018 | 1,500,000 | 1,499,250 | ||||||||
LLOYDS BANK PLC | 2.30 | 11/27/2018 | 1,000,000 | 1,010,621 |
Page 31
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
LLOYDS BANK PLC | 2.40 | 3/17/2020 | 5,950,000 | 5,968,569 | ||||||||
LLOYDS BANK PLC | 4.20 | 3/28/2017 | 100,000 | 103,898 | ||||||||
MACQUARIE BANK LTD | 1.65 | 3/24/2017 | 1,800,000 | 1,796,156 | ||||||||
MACQUARIE BANK LTD | 2.60 | 6/24/2019 | 4,000,000 | 4,038,896 | ||||||||
MACQUARIE BANK LTD | 2.40 | 1/21/2020 | 2,500,000 | 2,497,332 | ||||||||
MANUFACTURERS AND TRADERS TRUS | 5.63 | 12/1/2016 | 250,000 | 253,000 | ||||||||
MELLON FUNDING CORPORATION | 5.50 | 11/15/2018 | 4,050,000 | 4,484,539 | ||||||||
MERRILL LYNCH & CO. INC. | 6.40 | 8/28/2017 | 5,000,000 | 5,429,785 | ||||||||
METLIFE INC | 6.82 | 8/15/2018 | 200,000 | 228,317 | ||||||||
METLIFE GLOBAL FUNDING INC I | 1.30 | 4/10/2017 | 2,220,000 | 2,225,128 | ||||||||
MITSUBISHI UFJ TRUST AND BANKI | 1.60 | 10/16/2017 | 3,600,000 | 3,588,725 | ||||||||
MIZUHO CORPORATE BANK LTD | 1.30 | 4/16/2017 | 2,265,000 | 2,254,802 | ||||||||
MIZUHO BANK LTD | 1.70 | 9/25/2017 | 630,000 | 629,428 | ||||||||
MIZUHO CORPORATE BANK LTD | 1.80 | 3/26/2018 | 6,000,000 | 5,985,358 | ||||||||
MORGAN STANLEY | 6.63 | 4/1/2018 | 8,400,000 | 9,338,225 | ||||||||
MORGAN STANLEY | 2.13 | 4/25/2018 | 985,000 | 989,021 | ||||||||
MORGAN STANLEY | 4.35 | 9/8/2026 | 925,000 | 928,171 | ||||||||
MORGAN STANLEY | 2.50 | 1/24/2019 | 1,805,000 | 1,823,005 | ||||||||
MORGAN STANLEY | 2.38 | 7/23/2019 | 2,400,000 | 2,398,150 | ||||||||
MORGAN STANLEY | 7.30 | 5/13/2019 | 4,500,000 | 5,234,549 | ||||||||
MORGAN STANLEY | 3.80 | 4/29/2016 | 2,025,000 | 2,058,109 | ||||||||
MORGAN STANLEY | 2.65 | 1/27/2020 | 3,200,000 | 3,212,196 | ||||||||
MORGAN STANLEY | 2.80 | 6/16/2020 | 6,000,000 | 6,037,913 | ||||||||
MORGAN STANLEY | 3.70 | 10/23/2024 | 15,350,000 | 15,514,857 | ||||||||
NYSE EURONEXT | 2.00 | 10/5/2017 | 3,000,000 | 3,031,589 | ||||||||
NATIONAL AUSTRALIA BANK LIMITE | 2.75 | 3/9/2017 | 150,000 | 153,205 | ||||||||
NATIONAL AUSTRALIA BANK LTD | 1.25 | 3/17/2017 | 3,595,000 | 3,595,166 | ||||||||
NATIONAL BK OF CANADA | 1.45 | 11/7/2017 | 1,885,000 | 1,867,735 | ||||||||
NATIONAL RURAL UTILITIES COOP | 1.10 | 1/27/2017 | 134,000 | 134,181 | ||||||||
NATIONAL RURAL UTILITIES COOP | 2.00 | 1/27/2020 | 1,250,000 | 1,236,000 | ||||||||
NATIONWIDE BUILDING SOCIETY | 3.90 | 7/21/2025 | 2,950,000 | 3,015,085 | ||||||||
NOMURA HOLDINGS INC | 2.00 | 9/13/2016 | 170,000 | 170,804 | ||||||||
NORDEA BANK AB | 1.25 | 4/4/2017 | 1,515,000 | 1,511,694 | ||||||||
OMEGA HEALTHCARE INVESTORS INC | 4.50 | 1/15/2025 | 2,500,000 | 2,442,750 | ||||||||
PNC FUNDING CORP | 5.13 | 2/8/2020 | 3,000,000 | 3,329,871 | ||||||||
PNC FUNDING CORP | 4.38 | 8/11/2020 | 2,950,000 | 3,181,169 | ||||||||
PNC BANK NATIONAL ASSOCIATION | 5.25 | 1/15/2017 | 3,000,000 | 3,145,110 | ||||||||
PNC BANKCORP INC | 4.88 | 9/21/2017 | 250,000 | 265,396 | ||||||||
PNC BANK NATIONAL ASSOCIATION | 1.15 | 10/1/2016 | 7,050,000 | 7,051,632 | ||||||||
PNC BANK NATIONAL ASSOCIATION | 2.25 | 6/2/2019 | 7,350,000 | 7,382,000 | ||||||||
PNC BANK NATIONAL ASSOCIATION | 2.60 | 6/21/2020 | 3,500,000 | 3,528,574 | ||||||||
PROLOGIS LP | 3.35 | 11/1/2020 | 4,500,000 | 4,551,297 | ||||||||
PROLOGIS INTERNATIONAL FUNDING | 4.88 | 2/15/2020 | 1,400,000 | 1,490,300 | ||||||||
PROVIDENT FUNDING ASSOCIATES L | 6.75 | 6/15/2021 | 500,000 | 475,000 | ||||||||
PRUDENTIAL FINANCIAL INC | 2.30 | 8/15/2018 | 135,000 | 136,990 |
Page 32
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
RABOBANK NEDERLAND NV | 1.70 | 3/19/2018 | 2,375,000 | 2,376,657 | ||||||||
REALTY INCOME CORP | 5.95 | 9/15/2016 | 100,000 | 104,306 | ||||||||
REGIONS BANK | 2.25 | 8/14/2018 | 1,290,000 | 1,292,827 | ||||||||
ROYAL BANK OF CANADA | 1.50 | 1/16/2018 | 170,000 | 169,728 | ||||||||
ROYAL BANK OF SCOTLAND PLC THE | 6.40 | 10/21/2019 | 125,000 | 140,727 | ||||||||
ROYAL BANK OF SCOTLAND PLC | 4.38 | 3/16/2016 | 8,590,000 | 8,720,912 | ||||||||
ROYAL BANK OF CANADA | 1.40 | 10/13/2017 | 5,000,000 | 4,985,365 | ||||||||
ROYAL BANK OF CANADA | 1.45 | 9/9/2016 | 2,085,000 | 2,098,299 | ||||||||
ROYAL BANK OF CANADA | 1.25 | 6/16/2017 | 1,000,000 | 996,687 | ||||||||
ROYAL BANK OF CANADA | 1.20 | 9/19/2017 | 7,700,000 | 7,699,615 | ||||||||
SBA TOWER TRUST | 5.10 | 4/17/2017 | 2,300,000 | 2,352,619 | ||||||||
SANTANDER HOLDINGS USA INC | 3.45 | 7/27/2018 | 2,600,000 | 2,661,831 | ||||||||
SANTANDER HOLDINGS USA INC | 2.65 | 4/17/2020 | 7,460,000 | 7,310,642 | ||||||||
CHARLES SCHWAB CORPORATIO | 1.50 | 2/10/2018 | 950,000 | 951,737 | ||||||||
SELECT INCOME REIT | 2.85 | 1/1/2018 | 1,000,000 | 1,005,000 | ||||||||
SELECT INCOME REIT | 3.60 | 1/1/2020 | 825,000 | 840,428 | ||||||||
SENIOR HOUSING PROPERTIES TRUS | 3.25 | 2/1/2019 | 3,675,000 | 3,695,213 | ||||||||
SENIOR HOUSING PROPERTIES TRUS | 4.75 | 5/1/2024 | 3,475,000 | 3,472,915 | ||||||||
SIMON PROPERTY GROUP LP | 1.50 | 2/1/2018 | 14,000,000 | 13,945,367 | ||||||||
SIMON PROPERTY GROUP LP | 2.20 | 11/1/2018 | 168,000 | 169,776 | ||||||||
SOUND PT CLO VIII LTD / SOUND | 1.82 | 4/21/2022 | 19,050,000 | 18,858,643 | ||||||||
SOUND PT CLO VIII LTD / SOUND | 2.34 | 4/15/2027 | 3,750,000 | 3,606,101 | ||||||||
STANDARD CHARTERED PLC | 2.40 | 9/8/2019 | 2,000,000 | 2,009,285 | ||||||||
SUMITOMO MITSUI BANKING CORP | 1.50 | 1/18/2018 | 1,940,000 | 1,928,204 | ||||||||
SUMITOMO MITSUI BANKING CORP | 0.96 | 7/19/2016 | 40,000 | 40,084 | ||||||||
SUMITOMO MITSUI BANKING CORP | 2.45 | 1/16/2020 | 250,000 | 250,646 | ||||||||
SUMITOMO MITSUI BANKING CORP | 2.65 | 7/23/2020 | 2,950,000 | 2,974,450 | ||||||||
SUNTRUST BANKS INC | 1.35 | 2/15/2017 | 940,000 | 936,522 | ||||||||
SUNTRUST BANKS INC | 3.50 | 12/20/2016 | 170,000 | 174,099 | ||||||||
SVENSKA HANDELSBANKEN AB | 2.88 | 4/4/2017 | 5,000,000 | 5,113,714 | ||||||||
SVENSKA HANDELSBANKEN AB | 2.50 | 1/25/2019 | 250,000 | 254,992 | ||||||||
SWEDBANK AB | 2.13 | 9/29/2017 | 2,005,000 | 2,025,711 | ||||||||
SWEDBANK AB | 1.75 | 3/12/2018 | 5,025,000 | 5,022,475 | ||||||||
SYNCHRONY FINANCIAL | 3.00 | 7/15/2019 | 3,725,000 | 3,752,138 | ||||||||
SYNCHRONY FINANCIAL | 2.70 | 2/3/2020 | 4,055,000 | 4,009,699 | ||||||||
TD AMERITRADE HLDG CORP | 2.95 | 2/1/2022 | 8,000,000 | 8,034,237 | ||||||||
TIAA ASSET MANAGEMENT FINANCE | 2.95 | 11/1/2019 | 2,005,000 | 2,032,318 | ||||||||
TORONTO-DOMINION BANK/THE | 1.40 | 4/30/2018 | 135,000 | 134,079 | ||||||||
TORONTO-DOMINION BANK/THE | 1.13 | 5/2/2017 | 8,000,000 | 7,978,484 | ||||||||
UBS AG (STAMFORD BRANCH) | 4.88 | 8/4/2020 | 5,500,000 | 6,124,990 | ||||||||
UBS AG (STAMFORD BRANCH) | 1.38 | 8/14/2017 | 5,425,000 | 5,397,945 | ||||||||
UBS AG (STAMFORD BRANCH) | 2.38 | 8/14/2019 | 250,000 | 251,372 | ||||||||
UBS AG (STAMFORD BRANCH) | 1.80 | 3/26/2018 | 6,000,000 | 5,996,956 | ||||||||
US BANK NA/CINCINNATI OH | 1.38 | 8/11/2017 | 6,000,000 | 6,014,123 | ||||||||
US BANK NA/CINCINNATI OH | 2.13 | 9/28/2019 | 3,000,000 | 3,017,096 |
Page 33
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
US BANK NA/CINCINNATI OH | 1.35 | 1/26/2018 | 3,365,000 | 3,361,850 | ||||||||
US BANK NA/CINCINNATI OH | 2.80 | 1/27/2025 | 6,600,000 | 6,409,243 | ||||||||
UBS GROUP FUNDING JERSEY LTD | 2.95 | 9/24/2020 | 3,450,000 | 3,460,189 | ||||||||
MUFG UNION BANK NA | 3.00 | 6/6/2016 | 7,800,000 | 7,903,740 | ||||||||
MUFG UNION BANK NA | 2.13 | 6/16/2017 | 3,400,000 | 3,434,140 | ||||||||
MUFG UNION BANK NA | 2.25 | 4/6/2019 | 7,585,000 | 7,578,195 | ||||||||
MUFG UNION BANK NA | 1.50 | 8/26/2016 | 5,075,000 | 5,094,716 | ||||||||
MUFG UNION BANK NA | 2.63 | 8/26/2018 | 7,000,000 | 7,114,717 | ||||||||
US BANCORP | 1.65 | 4/15/2017 | 2,000,000 | 2,016,226 | ||||||||
US BANCORP | 0.81 | 11/15/2018 | 8,625,000 | 8,616,289 | ||||||||
US BANCORP | 2.20 | 3/25/2019 | 1,780,000 | 1,802,983 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 1.90 | 7/16/2018 | 3,500,000 | 3,533,229 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 3.35 | 7/15/2022 | 1,670,000 | 1,728,910 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 4.75 | 7/15/2045 | 1,650,000 | 1,741,940 | ||||||||
WEA FINANCE LLC /WESTFIELD UK | 2.70 | 8/17/2019 | 4,220,000 | 4,200,204 | ||||||||
WEA FINANCE LLC | 3.25 | 9/5/2020 | 1,075,000 | 1,082,095 | ||||||||
VORNADO REALTY LP | 2.50 | 6/30/2019 | 2,300,000 | 2,297,844 | ||||||||
WACHOVIA CORP | 5.75 | 6/15/2017 | 3,200,000 | 3,433,902 | ||||||||
WELLS FARGO & COMPANY | 4.60 | 4/1/2021 | 3,150,000 | 3,458,084 | ||||||||
WELLS FARGO & COMPANY | 2.10 | 5/8/2017 | 170,000 | 172,240 | ||||||||
WELLS FARGO & COMPANY | 2.15 | 1/15/2019 | 5,875,000 | 5,918,576 | ||||||||
WELLS FARGO & COMPANY | 2.13 | 4/22/2019 | 2,800,000 | 2,818,114 | ||||||||
WELLS FARGO & COMPANY | 3.30 | 9/9/2024 | 3,800,000 | 3,797,008 | ||||||||
WELLS FARGO & COMPANY | 2.15 | 1/30/2020 | 2,730,000 | 2,720,344 | ||||||||
WELLS FARGO & COMPANY | 4.30 | 7/22/2027 | 3,600,000 | 3,663,280 | ||||||||
WELLS FARGO & COMPANY | 2.60 | 7/22/2020 | 5,000,000 | 5,048,284 | ||||||||
WELLS FARGO BANK NA | 0.53 | 5/16/2016 | 1,350,000 | 1,348,569 | ||||||||
WESTPAC BANKING CORP | 2.00 | 8/14/2017 | 3,875,000 | 3,925,150 | ||||||||
WESTPAC BANKING CORP | 1.60 | 1/12/2018 | 170,000 | 169,541 | ||||||||
WESTPAC BANKING CORP | 1.05 | 11/25/2016 | 1,135,000 | 1,136,983 | ||||||||
WESTPAC BANKING CORP | 2.00 | 5/21/2019 | 12,500,000 | 12,623,376 | ||||||||
HONGKONG LAND HLDGS LTD | 3.65 | 10/5/2015 | 2,500,000 | 1,758,281 | ||||||||
MORGAN STANLEY | 4.00 | 10/23/2017 | 2,500,000 | 1,789,278 | ||||||||
HONGKONG LAND TR | 3.86 | 12/29/2017 | 2,500,000 | 1,812,416 | ||||||||
CMT MTN | 3.85 | 3/15/2017 | 500,000 | 361,488 | ||||||||
CMT MTN | 3.55 | 9/1/2017 | 1,750,000 | 1,263,116 | ||||||||
MACQUARIE BANK LTD | 3.30 | 4/8/2016 | 2,500,000 | 1,768,901 | ||||||||
BANK OF CHINA HK | 2.51 | 8/10/2016 | 20,000,000 | 2,605,583 | ||||||||
SUN HUNG KAI PROPERTIES CAPITA | 3.50 | 11/2/2016 | 1,000,000 | 1,021,275 | ||||||||
MTR CORPORATION CI LTD | 2.00 | 4/12/2017 | 3,500,000 | 3,536,645 | ||||||||
BOC AVIATION PTE LTD | 2.88 | 10/10/2017 | 500,000 | 504,270 | ||||||||
ASURION LLC | 0.00 | 5/24/2019 | 1,221,042 | 1,161,135 | ||||||||
BANK OF COMMUNICATIONS CO LTD | 1.99 | 3/19/2018 | 10,000,000 | 1,291,540 | ||||||||
CGSC OF DELAWARE HOLDINGS CORP | 0.00 | 4/16/2020 | 835,763 | 752,186 | ||||||||
CGSC OF DELAWARE HOLDINGS CORP | 0.00 | 10/16/2020 | 250,000 | 210,000 |
Page 34
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
AMERICAN STOCK TRANSFER & TRUS | 0.00 | 6/26/2020 | 2,679,111 | 2,653,437 | ||||||||
LARCHMONT RESOURCES LLC | 0.00 | 7/31/2019 | 696,947 | 592,405 | ||||||||
WALTER INVESTMENT MANAGEMENT C | 0.00 | 12/18/2020 | 2,233,709 | 2,068,042 | ||||||||
ASURION LLC | 0.00 | 3/3/2021 | 610,000 | 548,848 | ||||||||
ARDEN GRP, INC. | 0.00 | 2/19/2020 | 985,000 | 980,075 | ||||||||
WALL STREET SYSTEM HOLDINGS IN | 0.00 | 4/30/2021 | 1,745,581 | 1,736,125 | ||||||||
CONNOLLY CORP | 0.00 | 5/14/2021 | 2,124,621 | 2,119,310 | ||||||||
CONNOLLY CORP | 0.00 | 5/13/2022 | 380,000 | 378,100 | ||||||||
ASCENDAS REAL ESTATE INVESTMEN | 2.50 | 5/16/2019 | 2,500,000 | 1,730,519 | ||||||||
BANK OF COMMUNICATIONS CO LTD | 2.10 | 7/24/2017 | 500,000 | 349,121 | ||||||||
TRAVELPORT FINANCE LUXEMBOURG | 0.00 | 9/2/2021 | 1,488,750 | 1,483,399 | ||||||||
MIZUHO CORPORATE BANK LTD | 2.46 | 11/14/2019 | 1,500,000 | 1,034,957 | ||||||||
SUMITOMO BK SG | 2.03 | 5/28/2018 | 2,000,000 | 1,406,569 | ||||||||
MALAYAN BANKING BERHAD | 2.08 | 6/26/2018 | 3,000,000 | 2,079,070 | ||||||||
BANK OF CHINA LTD (SINGAPORE B | 2.75 | 6/30/2019 | 1,250,000 | 875,589 | ||||||||
CAST & CREW PAYROLL LLC | 0.00 | 8/12/2022 | 475,000 | 469,656 | ||||||||
CCT MTN | 2.96 | 8/13/2021 | 2,000,000 | 1,380,266 | ||||||||
KOOKMIN BANK | 1.94 | 9/16/2016 | 1,500,000 | 1,055,338 | ||||||||
ROYAL BANK OF SCOTLAND PLC | 9.50 | 3/16/2017 | 800,000 | 872,000 | ||||||||
ING BANK NV | 4.13 | 11/21/2018 | 12,500,000 | 12,843,625 | ||||||||
MORGAN STANLEY | 3.80 | 1/29/2016 | 2,500,000 | 1,763,626 | ||||||||
HANG SENG BANK LTD | 1.75 | 10/16/2017 | 30,000,000 | 3,887,379 | ||||||||
MTR CORPORATION CI LTD | 2.15 | 12/8/2016 | 9,000,000 | 1,178,401 | ||||||||
UNITED OVERSEAS BK LTD | 2.50 | 3/18/2020 | 3,000,000 | 3,059,850 | ||||||||
SHIP LUXCO 3 SARL | 0.00 | 11/29/2019 | 1,325,000 | 1,326,656 | ||||||||
CUNNINGHAM LINDSEY GROUP INC | 0.00 | 12/10/2019 | 1,469,050 | 1,197,275 | ||||||||
CONFIE SEGUROS HOLDING II CO | 0.00 | 11/9/2018 | 1,971,035 | 1,975,962 | ||||||||
CONFIE SEGUROS HOLDING II CO | 0.00 | 5/8/2019 | 185,000 | 183,150 | ||||||||
FLYING FORTRESS INC | 0.00 | 4/30/2020 | 150,000 | 149,578 | ||||||||
CAPITAL AUTOMOTIVE | 0.00 | 4/18/2016 | 1,180,000 | 1,185,900 | ||||||||
ASCENSUS INC | 0.00 | 12/11/2020 | 750,000 | 748,594 | ||||||||
ASSUREDPARTNERS CAPITAL INC | 0.00 | 4/2/2021 | 586,165 | 583,234 | ||||||||
AMERICAN BEACON ADVISORS INC | 0.00 | 4/30/2022 | 668,325 | 669,996 | ||||||||
AMERICAN BEACON ADVISORS INC | 0.00 | 4/30/2023 | 450,000 | 447,750 | ||||||||
MJ ACQUISITION CORP | 0.00 | 6/1/2022 | 140,000 | 139,592 | ||||||||
ROYAL ACQUISITION FINANCING SU | 0.00 | 6/20/2022 | 299,250 | 297,604 | ||||||||
CPI ACQUISITION INC | 0.00 | 8/17/2022 | 650,000 | 641,875 | ||||||||
1,102,747,788 | 1,052,636,474 | |||||||||||
CORPORATE DEBT SECURITIES - INDUSTRIALS | ||||||||||||
AT&T INC | 1.60 | 2/15/2017 | 6,000,000 | 6,008,353 | ||||||||
AT&T INC | 1.40 | 12/1/2017 | 134,000 | 133,016 | ||||||||
AT&T INC | 2.38 | 11/27/2018 | 1,236,000 | 1,247,407 | ||||||||
AT&T INC | 3.00 | 6/30/2022 | 3,440,000 | 3,356,752 | ||||||||
AT&T INC | 3.40 | 5/15/2025 | 4,750,000 | 4,531,350 |
Page 35
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ABBVIE INC | 1.75 | 11/6/2017 | 134,000 | 134,366 | ||||||||
ABBVIE INC | 2.50 | 5/14/2020 | 7,040,000 | 7,001,596 | ||||||||
ABENGOA SA CLASS B | 6.50 | 10/1/2019 | 650,000 | 247,000 | ||||||||
ACTAVIS FUNDING SCS | 1.30 | 6/15/2017 | 1,105,000 | 1,094,528 | ||||||||
ACTAVIS FUNDING SCS | 2.35 | 3/12/2018 | 735,000 | 737,592 | ||||||||
ACTAVIS FUNDING SCS | 3.00 | 2/12/2020 | 3,220,000 | 3,225,794 | ||||||||
AECOM | 5.75 | 10/15/2020 | 1,075,000 | 1,081,164 | ||||||||
AETNA INC | 1.50 | 11/15/2017 | 1,725,000 | 1,721,523 | ||||||||
AGILENT TECH INC | 5.00 | 7/15/2020 | 1,140,000 | 1,244,897 | ||||||||
AHERN RENTALS | 7.38 | 5/15/2023 | 740,000 | 644,725 | ||||||||
AIR PRODUCTS AND CHEMICALS INC | 4.38 | 8/21/2019 | 5,250,000 | 5,708,886 | ||||||||
ALIBABA GROUP HOLDING LTD | 2.50 | 11/28/2019 | 2,054,000 | 2,027,083 | ||||||||
ALTERA CORPORATION | 2.50 | 11/15/2018 | 101,000 | 102,763 | ||||||||
ALTICE LUXEMBOURG SA | 7.75 | 5/15/2022 | 750,000 | 684,375 | ||||||||
AMAZON.COM INC | 1.20 | 11/29/2017 | 101,000 | 100,535 | ||||||||
AMAZON.COM INC | 3.30 | 11/5/2021 | 8,000,000 | 8,257,548 | ||||||||
AMERICAN HONDA FINANCE CORPORA | 2.13 | 10/10/2018 | 134,000 | 134,918 | ||||||||
AMERICAN HONDA FINANCE CORPORA | 2.25 | 8/15/2019 | 2,000,000 | 2,001,761 | ||||||||
AMERICAN HONDA FINANCE CORPORA | 7.63 | 10/1/2018 | 1,803,000 | 2,092,827 | ||||||||
AMERICAN HONDA FINANCE CORPORA | 1.60 | 2/16/2018 | 800,000 | 795,905 | ||||||||
AMERISOURCEBERGEN CORPORATION | 1.15 | 5/15/2017 | 13,282,000 | 13,225,339 | ||||||||
AMERISOURCEBERGEN CORPORATION | 3.25 | 3/1/2025 | 1,700,000 | 1,651,468 | ||||||||
AMGEN INC | 2.50 | 11/15/2016 | 2,335,000 | 2,370,118 | ||||||||
ANCESTRY.COM HOLDINGS LLC | 9.63 | 10/15/2018 | 1,000,000 | 985,000 | ||||||||
ANHEUSER-BUSCH INBEV WORLDWIDE | 2.88 | 2/15/2016 | 6,000,000 | 6,050,219 | ||||||||
ANHEUSER-BUSCH INBEV WORLDWIDE | 1.38 | 7/15/2017 | 4,885,000 | 4,883,105 | ||||||||
APACHE CORP | 3.25 | 4/15/2022 | 1,250,000 | 1,216,868 | ||||||||
APPLE INC | 0.45 | 5/3/2016 | 9,525,000 | 9,522,238 | ||||||||
APPLE INC | 1.00 | 5/3/2018 | 168,000 | 167,057 | ||||||||
APPLE INC | 2.10 | 5/6/2019 | 3,405,000 | 3,464,761 | ||||||||
APPLIED MAT INC | 2.63 | 9/1/2020 | 1,575,000 | 1,585,819 | ||||||||
APPROACH RESOURCES INC | 7.00 | 6/15/2021 | 750,000 | 450,000 | ||||||||
ARCHER-DANIELS-MIDLAND COMPANY | 5.45 | 3/15/2018 | 2,304,000 | 2,515,520 | ||||||||
ASTRAZENECA PLC | 5.90 | 9/15/2017 | 101,000 | 109,907 | ||||||||
AUTOMATIC DATA PROCESSING, INC | 2.25 | 8/15/2020 | 2,325,000 | 2,337,083 | ||||||||
AUTOPISTAS METROPOLITANAS DE P | 6.75 | 6/30/2035 | 29,035,000 | 24,555,654 | ||||||||
AUTOZONE INC | 2.50 | 4/15/2021 | 510,000 | 501,533 | ||||||||
BAT INTL FIN PLC | 2.75 | 6/15/2020 | 12,550,000 | 12,768,876 | ||||||||
BAT INTL FIN PLC | 1.85 | 6/15/2018 | 2,400,000 | 2,404,969 | ||||||||
B COMMUNICATIONS LTD | 7.38 | 2/15/2020 | 1,000,000 | 1,072,000 | ||||||||
BHP BILLITON FINANCE (USA) LTD | 1.63 | 2/24/2017 | 168,000 | 168,412 | ||||||||
BP CAPITAL MARKETS PLC | 1.85 | 5/5/2017 | 7,300,000 | 7,354,964 | ||||||||
BP CAPITAL MARKETS PLC | 2.24 | 9/26/2018 | 7,000,000 | 7,081,000 | ||||||||
BP CAPITAL MARKETS PLC | 2.24 | 5/10/2019 | 4,859,000 | 4,894,484 | ||||||||
BAIDU INC | 2.25 | 11/28/2017 | 1,000,000 | 999,846 |
Page 36
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
BARRICK GOLD CORPORATION | 6.95 | 4/1/2019 | 101,000 | 113,890 | ||||||||
BAXALTA INC | 2.00 | 6/22/2018 | 2,400,000 | 2,391,063 | ||||||||
BAYER US FINANCE LLC | 1.50 | 10/6/2017 | 1,395,000 | 1,400,619 | ||||||||
BAYER US FINANCE LLC | 2.38 | 10/8/2019 | 12,890,000 | 13,062,871 | ||||||||
BECTON DICKINSON AND COMPANY | 1.80 | 12/15/2017 | 2,021,000 | 2,031,165 | ||||||||
BECTON DICKINSON AND COMPANY | 2.67 | 12/15/2019 | 9,000,000 | 9,099,776 | ||||||||
BECTON DICKINSON AND COMPANY | 1.45 | 5/15/2017 | 1,415,000 | 1,414,616 | ||||||||
BLOCK COMMUNICATIONS INC. | 7.25 | 2/1/2020 | 650,000 | 643,500 | ||||||||
BOEING CO | 3.75 | 11/20/2016 | 101,000 | 104,249 | ||||||||
BOSTON SCIENTIFIC CORPORATION | 2.65 | 10/1/2018 | 2,134,000 | 2,157,333 | ||||||||
BRINKER INTERNATIONAL INC. | 2.60 | 5/15/2018 | 3,703,000 | 3,720,034 | ||||||||
BRITISH SKY BROADCASTING GRP P | 6.10 | 2/15/2018 | 7,500,000 | 8,204,925 | ||||||||
BRITISH SKY BROADCASTING GRP P | 2.63 | 9/16/2019 | 1,430,000 | 1,440,679 | ||||||||
BRITISH TELECOMMUNICATIONS PLC | 2.35 | 2/14/2019 | 200,000 | 200,799 | ||||||||
BUILDERS FIRSTSOURCE INC | 7.63 | 6/1/2019 | 750,000 | 779,063 | ||||||||
CDK GLOBAL INC | 3.30 | 9/15/2019 | 5,350,000 | 5,378,890 | ||||||||
CEMEX FINANCE LLC | 6.00 | 4/1/2024 | 2,000,000 | 1,855,000 | ||||||||
CSX CORPORATION | 6.25 | 3/15/2018 | 101,000 | 111,823 | ||||||||
CVS CAREMARK CORP | 6.94 | 1/23/2024 | 1,770,740 | 2,109,195 | ||||||||
CVS HEALTH CORP | 2.25 | 11/5/2018 | 168,000 | 170,412 | ||||||||
CVS HEALTH CORP | 2.25 | 7/12/2019 | 9,000,000 | 9,040,353 | ||||||||
CVS HEALTH CORP | 2.80 | 6/20/2020 | 4,400,000 | 4,469,020 | ||||||||
CAISSE CENTRALE DESJARDINS | 1.60 | 3/6/2017 | 6,000,000 | 6,052,381 | ||||||||
CANADIAN NTL RAIL CO | 0.50 | 11/6/2015 | 2,525,000 | 2,524,672 | ||||||||
CANADIAN NATURAL RESOURCES LTD | 1.75 | 1/15/2018 | 3,420,000 | 3,354,199 | ||||||||
CARGILL INC | 4.31 | 5/14/2021 | 1,250,000 | 1,353,657 | ||||||||
CARGILL INC | 1.90 | 3/1/2017 | 6,000,000 | 6,039,658 | ||||||||
CARGILL INC | 3.30 | 12/1/2021 | 4,000,000 | 4,092,048 | ||||||||
CATERPILLAR INC | 1.63 | 6/1/2017 | 6,000,000 | 6,045,225 | ||||||||
CATERPILLAR INC | 1.25 | 11/6/2017 | 101,000 | 100,757 | ||||||||
CATERPILLAR INC | 2.45 | 9/6/2018 | 101,000 | 103,008 | ||||||||
CATERPILLAR INC | 2.00 | 3/5/2020 | 6,475,000 | 6,413,624 | ||||||||
CC HLD V | 3.85 | 4/15/2023 | 1,000,000 | 992,809 | ||||||||
CELGENE CORPORATION | 1.90 | 8/15/2017 | 2,765,000 | 2,784,472 | ||||||||
CELGENE CORPORATION | 2.88 | 8/15/2020 | 720,000 | 728,800 | ||||||||
CELGENE CORPORATION | 5.00 | 8/15/2045 | 750,000 | 746,289 | ||||||||
CCO SAFARI II LLC | 3.58 | 7/23/2020 | 6,575,000 | 6,561,270 | ||||||||
CHARTER COMMUNICATION OPER LLC | 6.48 | 4/23/2045 | 1,040,000 | 1,045,780 | ||||||||
CHEVRON CORP | 1.10 | 12/5/2017 | 101,000 | 100,475 | ||||||||
CHEVRON CORP | 1.72 | 5/24/2018 | 201,000 | 202,023 | ||||||||
CHEVRON CORP | 2.19 | 10/15/2019 | 9,340,000 | 9,400,230 | ||||||||
CISCO SYSTEMS INC | 3.15 | 3/14/2017 | 2,500,000 | 2,579,281 | ||||||||
CISCO SYSTEMS INC | 3.63 | 3/4/2024 | 4,050,000 | 4,243,277 | ||||||||
CISCO SYSTEMS INC | 2.13 | 3/1/2019 | 235,000 | 238,098 | ||||||||
CISCO SYSTEMS INC | 2.45 | 6/15/2020 | 6,330,000 | 6,429,868 |
Page 37
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CITGO PETROLEUM CORPORATION | 6.25 | 8/15/2022 | 450,000 | 429,750 | ||||||||
COCA-COLA COMPANY (THE) | 0.75 | 11/1/2016 | 825,000 | 824,584 | ||||||||
COCA-COLA COMPANY (THE) | 1.65 | 11/1/2018 | 168,000 | 169,410 | ||||||||
COMCAST CORPORATION | 5.88 | 2/15/2018 | 3,028,000 | 3,337,714 | ||||||||
COMPRESSCO PARTNERS LP / COMPR | 7.25 | 8/15/2022 | 515,000 | 419,725 | ||||||||
CONAGRA FOODS INC | 3.25 | 9/15/2022 | 7,250,000 | 7,025,425 | ||||||||
CONOCOPHILLIPS | 5.75 | 2/1/2019 | 295,000 | 330,737 | ||||||||
CONOCOPHILLIPS CO | 1.05 | 12/15/2017 | 168,000 | 166,197 | ||||||||
CONOCOPHILLIPS CO | 2.88 | 11/15/2021 | 2,240,000 | 2,227,400 | ||||||||
CONTINENTAL AIRLINES 2009 2 PA | 7.25 | 6/5/2020 | 3,739,252 | 4,234,703 | ||||||||
COSTCO WHOLESALE CORPORATION | 1.13 | 12/15/2017 | 6,068,000 | 6,062,482 | ||||||||
CROWN CASTLE TOWERS LLC | 4.88 | 2/15/2020 | 5,250,000 | 5,781,420 | ||||||||
DAIMLER FINANCE NORTH AMERICA | 2.25 | 3/2/2020 | 9,600,000 | 9,293,950 | ||||||||
DANAHER CORPORATION | 3.90 | 3/23/2021 | 2,725,000 | 2,925,543 | ||||||||
DANAHER CORPORATION | 2.40 | 8/15/2020 | 1,075,000 | 1,085,105 | ||||||||
JOHN DEERE CAPITAL CORP | 5.50 | 4/13/2017 | 2,070,000 | 2,203,515 | ||||||||
JOHN DEERE CAPITAL CORP | 1.20 | 10/10/2017 | 134,000 | 133,822 | ||||||||
JOHN DEERE CAPITAL CORP | 1.95 | 12/13/2018 | 134,000 | 135,243 | ||||||||
JOHN DEERE CAPITAL CORP | 1.95 | 3/4/2019 | 6,500,000 | 6,526,643 | ||||||||
JOHN DEERE CAPITAL CORP | 1.13 | 6/12/2017 | 3,430,000 | 3,428,739 | ||||||||
JOHN DEERE CAPITAL CORP | 1.35 | 1/16/2018 | 2,500,000 | 2,497,686 | ||||||||
DELTA AIR LINES INC | 4.95 | 5/9/2018 | 94,597 | 99,563 | ||||||||
DELTA AIR LINES INC | 7.75 | 6/17/2021 | 1,035,222 | 1,169,801 | ||||||||
DEUTSCHE TELEKOM INTERNATIONAL | 6.00 | 7/8/2019 | 1,250,000 | 1,419,621 | ||||||||
DEVON ENERGY CORPORATION | 2.25 | 12/15/2018 | 3,200,000 | 3,188,073 | ||||||||
DIAGEO CAPITAL PLC | 1.50 | 5/11/2017 | 2,951,000 | 2,959,113 | ||||||||
DIAGEO CAPITAL PLC | 0.63 | 4/29/2016 | 1,140,000 | 1,138,552 | ||||||||
DIAMOND OFFSHORE DRILLING INC. | 5.70 | 10/15/2039 | 2,000,000 | 1,402,062 | ||||||||
DIRECTV HOLDINGS LLC | 2.40 | 3/15/2017 | 101,000 | 102,235 | ||||||||
DIRECTV HOLDINGS LLC | 3.80 | 3/15/2022 | 2,425,000 | 2,430,471 | ||||||||
WALT DISNEY COMPANY (THE) | 1.10 | 12/1/2017 | 6,100,000 | 6,087,399 | ||||||||
WALT DISNEY COMPANY (THE) | 0.88 | 5/30/2017 | 2,975,000 | 2,969,033 | ||||||||
WALT DISNEY COMPANY (THE) | 2.15 | 9/17/2020 | 5,450,000 | 5,476,633 | ||||||||
DOW CHEMICAL COMPANY (THE) | 8.55 | 5/15/2019 | 134,000 | 161,510 | ||||||||
EI DU PONT DE NEMOURS & CO | 6.00 | 7/15/2018 | 134,000 | 148,963 | ||||||||
EMD FINANCE LLC | 2.40 | 3/19/2020 | 8,975,000 | 8,965,203 | ||||||||
EOG RESOURCES INC | 5.63 | 6/1/2019 | 134,000 | 150,451 | ||||||||
EP ENERGY LLC/EVEREST ACQUISIT | 6.38 | 6/15/2023 | 325,000 | 243,750 | ||||||||
ERAC USA FINANCE LLC | 5.25 | 10/1/2020 | 5,000,000 | 5,573,834 | ||||||||
ERAC USA FINANCE LLC | 2.80 | 11/1/2018 | 2,995,000 | 3,062,575 | ||||||||
EBAY INC. | 1.35 | 7/15/2017 | 6,625,000 | 6,576,549 | ||||||||
ECOLAB INC | 1.55 | 1/12/2018 | 2,490,000 | 2,480,502 | ||||||||
ECOLAB INC | 2.25 | 1/12/2020 | 5,000,000 | 4,964,377 | ||||||||
ENSCO PLC | 4.70 | 3/15/2021 | 1,525,000 | 1,265,750 | ||||||||
ENSCO PLC | 4.50 | 10/1/2024 | 1,500,000 | 1,105,455 |
Page 38
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ENTERPRISE PRODUCTS OPERATING | 6.30 | 9/15/2017 | 134,000 | 145,273 | ||||||||
ENTERPRISE PRODUCTS OPERATING | 1.65 | 5/7/2018 | 2,205,000 | 2,181,610 | ||||||||
ENVISION HEALTHCARE CORP | 5.13 | 7/1/2022 | 2,000,000 | 2,000,000 | ||||||||
EXPRESS SCRIPTS HOLDING CO | 2.65 | 2/15/2017 | 134,000 | 136,182 | ||||||||
EXPRESS SCRIPTS HOLDING CO | 2.25 | 6/15/2019 | 134,000 | 132,698 | ||||||||
EXTERRAN PTNRS LP / EXLP FIN C | 6.00 | 4/1/2021 | 1,500,000 | 1,260,000 | ||||||||
FAMILY TREE ESCROW LLC | 5.75 | 3/1/2021 | 125,000 | 129,531 | ||||||||
FIDELITY NATIONAL INFORMATION | 1.45 | 6/5/2017 | 1,880,000 | 1,860,962 | ||||||||
FISERV INC | 2.70 | 5/1/2020 | 1,300,000 | 1,309,727 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 6.63 | 8/15/2017 | 200,000 | 216,267 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 5.00 | 5/15/2018 | 6,250,000 | 6,648,788 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 3.00 | 6/12/2017 | 200,000 | 203,262 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 1.70 | 5/9/2016 | 970,000 | 971,717 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 2.60 | 11/4/2019 | 4,500,000 | 4,451,829 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 2.15 | 1/9/2018 | 800,000 | 797,769 | ||||||||
FORD MOTOR CREDIT COMPANY LLC | 3.16 | 8/4/2020 | 660,000 | 662,671 | ||||||||
FREEPORT-MCMORAN INC | 2.38 | 3/15/2018 | 134,000 | 116,580 | ||||||||
FREEPORT-MCMORAN INC | 2.30 | 11/14/2017 | 1,435,000 | 1,291,500 | ||||||||
GENERAL ELECTRIC CO | 0.85 | 10/9/2015 | 1,975,000 | 1,975,119 | ||||||||
GENERAL MILLS INC | 2.20 | 10/21/2019 | 3,600,000 | 3,603,339 | ||||||||
GENERAL MOTORS FINANCIAL CO IN | 3.20 | 6/13/2020 | 2,500,000 | 2,476,291 | ||||||||
GENERAL MOTORS FINANCIAL CO IN | 4.30 | 7/13/2025 | 2,500,000 | 2,420,221 | ||||||||
GILEAD SCIENCES INC | 4.50 | 1/1/2021 | 2,500,000 | 2,722,067 | ||||||||
GILEAD SCIENCES INC | 2.05 | 4/1/2019 | 3,725,000 | 3,746,880 | ||||||||
GILEAD SCIENCES INC | 2.35 | 2/1/2020 | 815,000 | 818,140 | ||||||||
GLAXOSMITHKLINE CAPITAL INC | 5.65 | 5/15/2018 | 134,000 | 148,351 | ||||||||
GLAXOSMITHKLINE CAPITAL PLC | 1.50 | 5/8/2017 | 7,250,000 | 7,296,304 | ||||||||
GLENCORE FUNDING LLC | 1.65 | 1/15/2019 | 1,550,000 | 1,267,218 | ||||||||
GLENCORE FUNDING LLC | 2.88 | 4/16/2020 | 4,925,000 | 3,989,250 | ||||||||
GLENCORE FUNDING LLC | 4.00 | 4/16/2025 | 860,000 | 653,600 | ||||||||
GOLDCORP INC | 3.63 | 6/9/2021 | 2,300,000 | 2,208,149 | ||||||||
HALLIBURTON COMPANY | 1.00 | 8/1/2016 | 2,185,000 | 2,185,896 | ||||||||
HARLEY-DAVIDSON FINANCIAL | 2.15 | 2/26/2020 | 7,400,000 | 7,345,777 | ||||||||
HARRIS CORPORATION | 2.00 | 4/27/2018 | 1,240,000 | 1,234,379 | ||||||||
HARRIS CORPORATION | 2.70 | 4/27/2020 | 2,375,000 | 2,347,160 | ||||||||
HARRIS CORPORATION | 3.83 | 4/27/2025 | 270,000 | 264,311 | ||||||||
HEINZ H. J. COMPANY | 2.80 | 6/2/2020 | 4,800,000 | 4,836,459 | ||||||||
HELMERICH & PAYNE INTERNATIONA | 4.65 | 12/15/2024 | 7,345,000 | 7,533,767 | ||||||||
HEWLETT-PACKARD COMPANY | 5.50 | 3/1/2018 | 101,000 | 111,006 | ||||||||
HEWLETT PACKARD ENTERPRISE CO | 2.85 | 9/5/2018 | 2,335,000 | 2,335,000 | ||||||||
HEWLETT PACKARD ENTERPRISE CO | 3.60 | 10/15/2020 | 2,300,000 | 2,300,000 | ||||||||
HEWLETT PACKARD ENTERPRISE CO | 4.40 | 10/15/2022 | 4,800,000 | 4,800,000 | ||||||||
HONEYWELL INTERNATIONAL INC | 5.00 | 2/15/2019 | 101,000 | 112,137 | ||||||||
HORIZON PHARMA FINANCING INC | 6.63 | 5/1/2023 | 750,000 | 661,875 | ||||||||
HUMANA INC | 2.63 | 10/1/2019 | 2,875,000 | 2,896,704 |
Page 39
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
IMPERIAL TOBACCO FIN PLC | 2.95 | 7/21/2020 | 2,400,000 | 2,413,245 | ||||||||
INGERSOLL-RAND GLOBAL HOLDING | 2.88 | 1/15/2019 | 101,000 | 102,584 | ||||||||
INTEL CORPORATION | 1.95 | 10/1/2016 | 6,000,000 | 6,074,808 | ||||||||
INTEL CORPORATION | 1.35 | 12/15/2017 | 9,275,000 | 9,299,763 | ||||||||
INTEL CORPORATION | 2.45 | 7/29/2020 | 9,260,000 | 9,379,871 | ||||||||
INTEL CORPORATION | 4.90 | 1/29/2045 | 800,000 | 830,250 | ||||||||
INTERNATIONAL BUSINESS MACHINE | 1.95 | 7/22/2016 | 350,000 | 353,892 | ||||||||
INTERNATIONAL BUSINESS MACHINE | 1.88 | 8/1/2022 | 4,000,000 | 3,734,000 | ||||||||
INTERNATIONAL BUSINESS MACHINE | 1.63 | 5/15/2020 | 6,000,000 | 5,912,639 | ||||||||
INTERNATIONAL BUSINESS MACHINE | 1.13 | 2/6/2018 | 930,000 | 926,868 | ||||||||
INTERNATIONAL PAPER CO | 7.95 | 6/15/2018 | 101,000 | 115,677 | ||||||||
INTREPID AVIATION GROUP HOLDIN | 6.88 | 2/15/2019 | 1,000,000 | 900,000 | ||||||||
ITHACA ENERGY INC | 8.13 | 7/1/2019 | 450,000 | 330,750 | ||||||||
JOHNSON & JOHNSON | 1.65 | 12/5/2018 | 134,000 | 135,283 | ||||||||
KRAFT FOODS GROUP INC | 3.50 | 6/6/2022 | 5,000,000 | 5,086,386 | ||||||||
KROGER CO (THE) | 2.30 | 12/15/2018 | 117,000 | 117,664 | ||||||||
KROGER CO (THE) | 2.95 | 11/1/2021 | 945,000 | 943,637 | ||||||||
L-3 COMMUNICATIONS CORP | 3.95 | 11/15/2016 | 101,000 | 103,518 | ||||||||
L-3 COMMUNICATIONS CORP | 1.50 | 5/28/2017 | 1,685,000 | 1,661,912 | ||||||||
LEE ENTERPRISES, INC | 9.50 | 3/15/2022 | 935,000 | 860,200 | ||||||||
ELI LILLY AND COMPANY | 1.25 | 3/1/2018 | 4,230,000 | 4,222,876 | ||||||||
LOCKHEED MARTIN CORPORATION | 2.90 | 3/1/2025 | 5,850,000 | 5,657,184 | ||||||||
LONESTAR RESOURCES AMERICA INC | 8.75 | 4/15/2019 | 1,000,000 | 655,000 | ||||||||
LYONDELLBASELL INDUSTRIES NV | 5.00 | 1/15/2019 | 4,000,000 | 4,304,008 | ||||||||
MARATHON OIL CORP | 2.70 | 6/1/2020 | 2,925,000 | 2,761,425 | ||||||||
MARRIOTT INTERNATIONAL INC | 2.88 | 2/1/2021 | 6,700,000 | 6,742,880 | ||||||||
MCDONALDS CORP | 2.20 | 4/26/2020 | 2,000,000 | 1,997,703 | ||||||||
MCGRAW-HILL COMPANIES INC (THE | 2.50 | 7/15/2018 | 300,000 | 302,314 | ||||||||
MCKESSON CORP | 0.95 | 12/4/2015 | 340,000 | 339,997 | ||||||||
MCKESSON CORP | 1.40 | 3/15/2018 | 2,251,000 | 2,228,341 | ||||||||
MEDTRONIC INC | 1.38 | 4/1/2018 | 1,400,000 | 1,398,427 | ||||||||
MEDTRONIC INC | 2.50 | 3/15/2020 | 7,450,000 | 7,536,420 | ||||||||
MEDTRONIC INC | 1.50 | 3/15/2018 | 2,110,000 | 2,110,633 | ||||||||
MERCK & CO INC | 1.30 | 5/18/2018 | 751,000 | 750,205 | ||||||||
MICHAEL BAKER INTERNATIONAL LL | 8.25 | 10/15/2018 | 1,000,000 | 952,500 | ||||||||
MIDAS INTERMEDIATE HOLDCO II L | 7.88 | 10/1/2022 | 500,000 | 486,250 | ||||||||
MONSANTO COMPANY | 2.13 | 7/15/2019 | 2,010,000 | 1,991,804 | ||||||||
MYLAN INC/PA | 1.80 | 6/24/2016 | 925,000 | 922,364 | ||||||||
NBCUNIVERSAL MEDIA LLC | 5.15 | 4/30/2020 | 3,000,000 | 3,379,962 | ||||||||
NBCUNIVERSAL MEDIA LLC | 4.38 | 4/1/2021 | 3,250,000 | 3,548,077 | ||||||||
NBCUNIVERSAL MEDIA LLC | 2.88 | 1/15/2023 | 5,000,000 | 4,955,968 | ||||||||
NBCUNIVERSAL ENTERPRISE INC | 0.97 | 4/15/2018 | 2,250,000 | 2,247,862 | ||||||||
NBCUNIVERSAL ENTERPRISE INC | 1.97 | 4/15/2019 | 1,630,000 | 1,632,668 | ||||||||
NETAPP INC | 2.00 | 12/15/2017 | 3,000,000 | 3,003,400 | ||||||||
NEXTEER AUTOMOTIVE GROUP LTD | 5.88 | 11/15/2021 | 1,000,000 | 975,000 |
Page 40
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
NORTHERN BLIZZARD RESOURCES IN | 7.25 | 2/1/2022 | 500,000 | 400,000 | ||||||||
OCCIDENTAL PETROLEUM CORPORATI | 1.50 | 2/15/2018 | 101,000 | 100,483 | ||||||||
OCCIDENTAL PETROLEUM CORPORATI | 3.50 | 3/15/2025 | 5,175,000 | 5,170,588 | ||||||||
ONEOK PARTNERS LP | 3.80 | 2/15/2020 | 750,000 | 746,166 | ||||||||
ORACLE CORPORATION | 5.75 | 4/15/2018 | 1,140,000 | 1,259,917 | ||||||||
ORACLE CORPORATION | 1.20 | 10/15/2017 | 2,500,000 | 2,501,167 | ||||||||
ORACLE CORPORATION | 2.38 | 1/15/2019 | 235,000 | 239,400 | ||||||||
ORACLE CORPORATION | 2.25 | 10/8/2019 | 6,575,000 | 6,641,770 | ||||||||
ORACLE CORPORATION | 2.80 | 7/8/2021 | 13,500,000 | 13,675,486 | ||||||||
ORACLE CORPORATION | 2.50 | 5/15/2022 | 3,000,000 | 2,956,200 | ||||||||
PACCAR FINANCIAL CORP | 2.20 | 9/15/2019 | 6,000,000 | 6,039,506 | ||||||||
PEARSON DOLLAR FINANCE TWO PLC | 6.25 | 5/6/2018 | 2,000,000 | 2,196,901 | ||||||||
PENSKE TRUCK LEASING CO | 4.88 | 7/11/2022 | 1,500,000 | 1,592,610 | ||||||||
PENSKE TRUCK LEASING CO | 2.50 | 3/15/2016 | 6,775,000 | 6,816,768 | ||||||||
PENSKE TRUCK LEASING CO | 3.05 | 1/1/2020 | 3,000,000 | 3,014,544 | ||||||||
PENTAIR FINANCE SA | 2.90 | 9/15/2018 | 2,000,000 | 2,006,192 | ||||||||
PEPSICO INC | 7.90 | 11/1/2018 | 101,000 | 119,093 | ||||||||
PEPSICO INC | 2.25 | 12/7/2018 | 151,000 | 153,959 | ||||||||
PERNOD-RICARD SA | 4.45 | 1/15/2022 | 7,000,000 | 7,347,921 | ||||||||
PERRIGO CO LTD | 1.30 | 11/8/2016 | 3,450,000 | 3,435,095 | ||||||||
PETROBRAS INT BRASPETRO BV | 3.25 | 3/17/2017 | 1,400,000 | 1,230,803 | ||||||||
PFIZER INC | 6.20 | 3/15/2019 | 218,000 | 248,611 | ||||||||
PFIZER INC | 0.90 | 1/15/2017 | 2,250,000 | 2,251,529 | ||||||||
PFIZER INC | 1.10 | 5/15/2017 | 101,000 | 101,135 | ||||||||
PHILIP MORRIS INTERNATIONAL IN | 5.65 | 5/16/2018 | 10,268,000 | 11,326,784 | ||||||||
PHILIP MORRIS INTERNATIONAL IN | 2.50 | 5/16/2016 | 6,000,000 | 6,066,000 | ||||||||
PHILIP MORRIS INTERNATIONAL IN | 1.13 | 8/21/2017 | 7,553,000 | 7,542,893 | ||||||||
PHILIP MORRIS INTERNATIONAL IN | 1.25 | 11/9/2017 | 155,000 | 154,689 | ||||||||
PHILLIPS 66 | 4.88 | 11/15/2044 | 2,250,000 | 2,153,208 | ||||||||
PHILLIPS 66 PARTNETS LP | 2.65 | 2/15/2020 | 2,060,000 | 2,003,406 | ||||||||
PIONEER NAT RES CO | 6.65 | 3/15/2017 | 1,220,000 | 1,288,369 | ||||||||
PLAINS EXPORATION & PRODUCTION | 6.88 | 2/15/2023 | 2,979,000 | 2,576,835 | ||||||||
POST HOLDINGS INC | 6.75 | 12/1/2019 | 500,000 | 501,250 | ||||||||
PRECISION CASTPARTS CORP | 1.25 | 1/15/2018 | 101,000 | 100,499 | ||||||||
PRICELINE GROUP INC | 0.90 | 9/15/2021 | 700,000 | 691,258 | ||||||||
PROCTER & GAMBLE COMPANY | 0.75 | 11/4/2016 | 910,000 | 909,538 | ||||||||
PROCTER & GAMBLE COMPANY | 1.60 | 11/15/2018 | 168,000 | 169,790 | ||||||||
QUALCOMM INCORPORATED | 2.25 | 5/20/2020 | 4,625,000 | 4,609,612 | ||||||||
RALPH LAUREN CORP | 2.13 | 8/26/2018 | 5,325,000 | 5,352,689 | ||||||||
REYNOLDS AMERICAN INC | 3.25 | 6/12/2020 | 6,520,000 | 6,698,575 | ||||||||
REYNOLDS AMERICAN INC | 4.00 | 6/12/2022 | 5,000,000 | 5,222,054 | ||||||||
REYNOLDS AMERICAN INC | 4.45 | 3/12/2025 | 500,000 | 523,967 | ||||||||
RIO TINTO FINANCE (USA) LTD | 6.50 | 7/15/2018 | 84,000 | 93,303 | ||||||||
RIO TINTO FINANCE (USA) PLC | 2.25 | 12/14/2018 | 101,000 | 100,469 | ||||||||
ROCHE HOLDINGS INC | 2.25 | 8/30/2019 | 6,000,000 | 6,075,298 |
Page 41
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ROCKWELL AUTOMATION INC | 2.05 | 2/1/2020 | 3,475,000 | 3,478,823 | ||||||||
ROCKWELL COLLINS INC. | 0.69 | 12/15/2016 | 4,950,000 | 4,941,536 | ||||||||
RYDER SYSTEM INC. | 3.50 | 6/1/2017 | 5,875,000 | 6,048,279 | ||||||||
RYDER SYSTEM INC. | 2.65 | 3/2/2020 | 2,800,000 | 2,796,971 | ||||||||
SBA TOWER TRUST | 2.90 | 10/15/2018 | 3,005,000 | 3,014,586 | ||||||||
ST JUDE MEDICAL INC | 2.50 | 1/15/2016 | 5,000,000 | 5,021,400 | ||||||||
ST JUDE MEDICAL INC | 2.00 | 9/15/2018 | 2,500,000 | 2,502,250 | ||||||||
SANOFI | 1.25 | 4/10/2018 | 5,225,000 | 5,202,922 | ||||||||
SCHLUMBERGER GER INV | 1.95 | 9/14/2016 | 1,950,000 | 1,969,439 | ||||||||
SCHLUMBERGER NORGE AS | 1.95 | 9/14/2016 | 2,700,000 | 2,726,915 | ||||||||
SCRIPPS NETWORKS INTERACTIVE I | 2.80 | 6/15/2020 | 2,050,000 | 2,020,915 | ||||||||
SEAGATE HDD CAYMAN | 3.75 | 11/15/2018 | 101,000 | 103,327 | ||||||||
SEMICONDUCTOR MANUFACTURING IN | 4.13 | 10/7/2019 | 200,000 | 200,272 | ||||||||
SHELL INTERNATIONAL FINANCE BV | 0.90 | 11/15/2016 | 101,000 | 101,060 | ||||||||
SHELL INTERNATIONAL FINANCE BV | 2.13 | 5/11/2020 | 3,727,000 | 3,725,201 | ||||||||
JM SMUCKER CO/THE | 1.75 | 3/15/2018 | 1,530,000 | 1,531,061 | ||||||||
JM SMUCKER CO/THE | 2.50 | 3/15/2020 | 9,000,000 | 9,009,068 | ||||||||
SOPHIA LP/SOPHIA FINANCE INC | 9.63 | 12/1/2015 | 285,000 | 290,700 | ||||||||
SOUTHWEST AIRLINES CO. | 5.13 | 3/1/2017 | 168,000 | 176,365 | ||||||||
SPRING INDUSTRIES INC | 6.25 | 6/1/2021 | 750,000 | 743,438 | ||||||||
STARBUCKS CORP | 3.85 | 7/1/2023 | 6,000,000 | 6,367,544 | ||||||||
SUNCOR ENERGY INC | 6.10 | 6/1/2018 | 310,000 | 341,382 | ||||||||
SUNTORY HOLDINGS LTD | 2.55 | 9/29/2019 | 5,775,000 | 5,791,191 | ||||||||
SYSCO CORP | 2.60 | 9/1/2020 | 2,425,000 | 2,432,258 | ||||||||
TARGET CORPORATION | 6.00 | 1/15/2018 | 100,000 | 110,753 | ||||||||
TENCENT HOLDINGS LIMITED | 3.38 | 5/2/2019 | 1,400,000 | 1,426,944 | ||||||||
THERMO FISHER SCIENTIFIC INC | 1.30 | 2/1/2017 | 3,725,000 | 3,711,590 | ||||||||
TIME WARNER CABLE INC | 6.75 | 7/1/2018 | 1,550,000 | 1,720,841 | ||||||||
TIME WARNER CABLE INC | 8.25 | 4/1/2019 | 1,134,000 | 1,327,291 | ||||||||
TIME WARNER CABLE INC | 5.00 | 2/1/2020 | 775,000 | 830,158 | ||||||||
TIME WARNER CABLE INC | 4.13 | 11/15/2020 | 475,000 | 487,113 | ||||||||
TOPS HOLDING LLC / TOPS MARKET | 8.00 | 6/15/2021 | 800,000 | 804,000 | ||||||||
TOTAL CAPITAL S.A. | 2.13 | 8/10/2018 | 168,000 | 170,496 | ||||||||
TOTAL CAPITAL INTERNATIONAL SA | 1.55 | 6/28/2017 | 6,000,000 | 6,039,503 | ||||||||
TOYOTA MOTOR CREDIT CORP | 1.75 | 5/22/2017 | 315,000 | 317,823 | ||||||||
TOYOTA MOTOR CREDIT CORP | 1.38 | 1/10/2018 | 134,000 | 133,802 | ||||||||
TOYOTA MOTOR CREDIT CORP | 1.13 | 5/16/2017 | 101,000 | 100,883 | ||||||||
TRANSNET LTD | 4.50 | 2/10/2016 | 5,950,000 | 5,994,720 | ||||||||
21ST CENTURY FOX AMERICA INC | 6.90 | 3/1/2019 | 101,000 | 115,908 | ||||||||
TYCO ELECTRONICS GROUP SA | 2.35 | 7/1/2019 | 8,000,000 | 8,021,163 | ||||||||
TYCO ELECTRONICS GROUP SA | 3.45 | 5/1/2024 | 2,500,000 | 2,526,250 | ||||||||
US AIRWAYS GROUP INC | 7.13 | 1/28/2021 | 2,314,156 | 2,684,421 | ||||||||
US AIRWAYS P-T TR | 4.63 | 10/11/2022 | 1,255,153 | 1,311,634 | ||||||||
UNILEVER CAPITAL CORP | 0.85 | 8/2/2017 | 6,175,000 | 6,164,143 | ||||||||
UNITED TECHNOLOGIES CORPORATN | 6.13 | 2/1/2019 | 134,000 | 152,171 |
Page 42
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
UNITED TECHNOLOGIES CORPORATN | 1.80 | 6/1/2017 | 14,675,000 | 14,847,347 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 1.40 | 10/15/2017 | 5,425,000 | 5,423,176 | ||||||||
UNITEDHEALTH GROUP INCORPORATE | 2.30 | 12/15/2019 | 8,000,000 | 8,081,428 | ||||||||
VTR FINANCE BV | 6.88 | 1/15/2024 | 1,000,000 | 912,500 | ||||||||
VALEANT PHARMACEUTICALS INTERN | 5.63 | 12/1/2021 | 1,000,000 | 960,000 | ||||||||
VALEANT PHARMACEUTICALS INTERN | 5.50 | 3/1/2023 | 600,000 | 570,000 | ||||||||
VALE OVERSEAS LIMITED | 5.63 | 9/15/2019 | 67,000 | 67,467 | ||||||||
VALERO ENERGY CORPORATION | 6.13 | 6/15/2017 | 134,000 | 143,460 | ||||||||
VALERO ENERGY CORPORATION | 4.90 | 3/15/2045 | 2,000,000 | 1,795,968 | ||||||||
VERIZON COMMUNICATIONS INC | 2.50 | 9/15/2016 | 2,742,000 | 2,780,572 | ||||||||
VERIZON COMMUNICATIONS INC | 3.65 | 9/14/2018 | 1,435,000 | 1,510,113 | ||||||||
VERIZON COMMUNICATIONS INC | 2.63 | 2/21/2020 | 8,700,000 | 8,742,716 | ||||||||
VERIZON COMMUNICATIONS INC | 3.00 | 11/1/2021 | 980,000 | 973,201 | ||||||||
VERIZON COMMUNICATIONS INC | 3.50 | 11/1/2024 | 3,000,000 | 2,951,714 | ||||||||
VIACOM INC | 2.75 | 12/15/2019 | 2,500,000 | 2,472,898 | ||||||||
VIKING CRUISES LTD | 6.25 | 5/15/2025 | 750,000 | 742,500 | ||||||||
VODAFONE GROUP PLC | 1.50 | 2/19/2018 | 1,184,000 | 1,173,802 | ||||||||
VOLKSWAGEN GROUP OF AMERICA FI | 2.13 | 5/23/2019 | 3,250,000 | 3,026,748 | ||||||||
VOLKSWAGEN GROUP OF AMERICA FI | 2.45 | 11/20/2019 | 5,050,000 | 4,703,694 | ||||||||
VOLKSWAGEN GROUP OF AMERICA FI | 1.65 | 5/22/2018 | 650,000 | 616,419 | ||||||||
VOLKSWAGEN GROUP OF AMERICA FI | 2.40 | 5/22/2020 | 500,000 | 461,873 | ||||||||
WAL-MART STORES INC | 0.60 | 4/11/2016 | 4,375,000 | 4,377,275 | ||||||||
WAL-MART STORES INC | 1.13 | 4/11/2018 | 1,568,000 | 1,566,989 | ||||||||
WALGREENS BOOTS ALLIANCE INC | 3.30 | 9/18/2021 | 13,115,000 | 13,238,398 | ||||||||
ACTAVIS INC | 1.88 | 10/1/2017 | 8,450,000 | 8,429,935 | ||||||||
WEATHERFORD INTL INC | 6.35 | 6/15/2017 | 134,000 | 134,000 | ||||||||
WEBMD HEALTH CORP | 2.50 | 1/31/2018 | 940,000 | 942,914 | ||||||||
WEBMD HEALTH CORP | 2.25 | 3/31/2016 | 830,000 | 831,021 | ||||||||
WESFARMERS LTD | 1.87 | 3/20/2018 | 825,000 | 821,106 | ||||||||
WESTERN GAS PARTNERS LP | 5.38 | 3/1/2021 | 1,000,000 | 1,060,079 | ||||||||
WESTERN GAS PARTNERS LP | 2.60 | 8/15/2018 | 3,650,000 | 3,612,924 | ||||||||
WM WRIGLEY JR CO | 1.40 | 10/21/2016 | 910,000 | 911,933 | ||||||||
WM WRIGLEY JR CO | 2.90 | 9/21/2019 | 8,650,000 | 8,870,547 | ||||||||
WYNDHAM WORLDWIDE CORP | 2.50 | 2/1/2018 | 3,500,000 | 3,506,300 | ||||||||
XEROX CORPORATION | 6.75 | 2/1/2017 | 1,630,000 | 1,733,614 | ||||||||
XEROX CORPORATION | 2.95 | 3/15/2017 | 168,000 | 170,503 | ||||||||
XSTRATA FINANCE (CANADA) LTD | 2.70 | 10/25/2017 | 8,705,000 | 7,790,975 | ||||||||
XYLEM INC/NY | 3.55 | 9/20/2016 | 4,475,000 | 4,569,633 | ||||||||
YALE UNIVERSITY | 2.09 | 4/15/2019 | 67,000 | 68,056 | ||||||||
SS&C TECHNOLOGIES INC | 0.00 | 7/8/2022 | 1,267,976 | 1,269,334 | ||||||||
PSA INTL | 4.63 | 9/11/2019 | 1,000,000 | 1,096,490 | ||||||||
AFFINION GROUP | 0.00 | 4/30/2018 | 988,482 | 927,114 | ||||||||
PSA CORP | 3.39 | 4/28/2020 | 1,000,000 | 724,383 | ||||||||
SBS TRANSIT LTD | 1.95 | 10/26/2015 | 1,000,000 | 703,249 | ||||||||
CDR DB SUB INC | 0.00 | 10/11/2019 | 715,678 | 628,902 |
Page 43
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
SEQUA CORP | 0.00 | 6/19/2017 | 1,691,863 | 1,428,778 | ||||||||
PINACLE FOOD FIN | 0.00 | 4/29/2020 | 310,000 | 309,322 | ||||||||
BJS WHOLESALE CLUB, INC. | 0.00 | 3/26/2020 | 925,000 | 914,825 | ||||||||
BJS WHOLESALE CLUB, INC. | 0.00 | 9/26/2019 | 2,176,368 | 2,162,518 | ||||||||
BULLSEYE MERGERSUB INC | 0.00 | 11/26/2020 | 2,467,349 | 2,256,391 | ||||||||
THE BRICKMAN GROUP LTD LLC | 0.00 | 12/17/2021 | 880,000 | 851,400 | ||||||||
NATIONAL UNIVERSITY OF SINGAPO | 1.71 | 2/13/2019 | 1,000,000 | 685,716 | ||||||||
WME IMG LLC | 0.00 | 5/6/2021 | 1,481,213 | 1,473,436 | ||||||||
CAESARS GROWTH PROPERTIES PARE | 0.00 | 5/8/2021 | 833,233 | 726,996 | ||||||||
MILLENNIUM LABORATORIES INC | 0.00 | 4/16/2021 | 2,969,925 | 883,553 | ||||||||
TASC INC | 0.00 | 5/2/2016 | 1,347,037 | 1,352,088 | ||||||||
POST HOLDINGS INC | 0.00 | 6/2/2021 | 403,782 | 403,404 | ||||||||
NEW ALBERTSONS | 0.00 | 6/27/2021 | 997,481 | 995,237 | ||||||||
WAND INTERMEDIATE I LP | 0.00 | 9/17/2022 | 500,000 | 486,250 | ||||||||
MIDAS INTERMEDIATE HOLDCO II L | 0.00 | 8/18/2021 | 891,957 | 891,214 | ||||||||
SMRT CAPITAL PTE LTD | 1.39 | 10/16/2017 | 2,000,000 | 1,386,272 | ||||||||
ACADIA HEALTHCARE CO INC | 0.00 | 2/3/2016 | 585,575 | 587,326 | ||||||||
MURRAY ENERGY CORP | 0.00 | 4/16/2020 | 1,211,963 | 937,251 | ||||||||
MURRAY ENERGY CORP | 0.00 | 4/17/2017 | 89,775 | 81,134 | ||||||||
ACOSTA HOLDCO INC | 0.00 | 9/26/2021 | 2,229,409 | 2,203,771 | ||||||||
NATIONAL UNIVERSITY OF SINGAPO | 2.20 | 5/27/2020 | 1,250,000 | 856,249 | ||||||||
DOLLAR TREE INC | 0.00 | 7/6/2022 | 660,000 | 659,995 | ||||||||
TRIBUNE COMPANY | 0.00 | 12/28/2020 | 1,506,225 | 1,497,752 | ||||||||
OPTUS FINANCE PTY LTD | 3.24 | 9/29/2022 | 1,000,000 | 704,016 | ||||||||
AIR CANADA | 0.00 | 9/26/2019 | 2,984,887 | 2,986,752 | ||||||||
LI & FUNG LTD | 5.50 | 5/16/2017 | 2,000,000 | 2,111,762 | ||||||||
OFFSHORE GROUP INVESTMENT LTD/ | 0.00 | 3/28/2019 | 1,574,625 | 489,445 | ||||||||
EVERGREEN SKILLS LUX SARL | 0.00 | 4/28/2021 | 2,425,500 | 2,170,823 | ||||||||
ION TRADING TECHNOLOGIES SARL | 0.00 | 6/10/2021 | 400,000 | 397,000 | ||||||||
ORTHO-CLINICAL DIAGNOSTICS INC | 0.00 | 6/30/2021 | 2,643,511 | 2,603,859 | ||||||||
FMG RESOURCES (AUGUST 2006) PT | 0.00 | 6/30/2019 | 871,963 | 713,266 | ||||||||
ARAMARK CORPORATION | 0.00 | 7/26/2016 | 3,797 | 3,768 | ||||||||
ASPECT SOFTWARE INC | 0.00 | 5/7/2016 | 2,274,397 | 2,250,232 | ||||||||
BROCK HOLDINGS III INC | 0.00 | 3/16/2017 | 1,182,186 | 1,144,750 | ||||||||
SENSUS METERING | 0.00 | 5/11/2018 | 1,000,000 | 990,000 | ||||||||
BARBRI INC | 0.00 | 7/17/2019 | 1,187,363 | 1,112,167 | ||||||||
ARCH COAL INC. | 0.00 | 5/16/2018 | 462,268 | 257,330 | ||||||||
MISYS PLC | 0.00 | 12/12/2018 | 2,969,425 | 2,968,499 | ||||||||
TANK HOLDING CORP | 0.00 | 3/16/2022 | 788,225 | 781,985 | ||||||||
CENTERPLATE INC | 0.00 | 11/26/2019 | 992,443 | 985,000 | ||||||||
TRANSTAR HOLDING COMPANY | 0.00 | 10/9/2018 | 1,500,801 | 1,448,273 | ||||||||
CUNNINGHAM LINDSEY INTERMEDIAT | 0.00 | 6/10/2020 | 1,000,000 | 750,000 | ||||||||
ATI HOLDINGS LLC | 0.00 | 12/20/2019 | 2,738,333 | 2,741,756 | ||||||||
CROSSMARK HOLDINGS INC | 0.00 | 12/21/2020 | 750,000 | 570,000 | ||||||||
VESTCOM INTL INC. | 0.00 | 9/30/2021 | 147,000 | 147,093 |
Page 44
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
TOTAL SAFETY US INC | 0.00 | 3/13/2020 | 1,971,974 | 1,656,458 | ||||||||
TOTAL SAFETY US INC | 0.00 | 9/13/2020 | 324,188 | 252,866 | ||||||||
PANDA TEMPLE POWER II LLC | 0.00 | 3/25/2019 | 1,790,000 | 1,682,600 | ||||||||
LTS BUYER LLC | 0.00 | 4/13/2020 | 498,724 | 488,750 | ||||||||
ALG BV | 0.00 | 2/28/2020 | 735,689 | 741,207 | ||||||||
RBS WORLDPAY | 0.00 | 11/29/2019 | 475,000 | 474,988 | ||||||||
SECURUS TECHNOLOGIES HOLDINGS | 0.00 | 4/30/2020 | 1,225,003 | 1,185,191 | ||||||||
SECURUS TECHNOLOGIES HOLDINGS | 0.00 | 4/30/2021 | 540,000 | 486,000 | ||||||||
JC PENNEY CORPORATION INC | 0.00 | 5/22/2018 | 2,581,729 | 2,564,788 | ||||||||
CLEAR CHANNEL COMMUN, INC. | 0.00 | 1/30/2019 | 2,000,000 | 1,653,750 | ||||||||
ONEX CARESTREAM FINANCE LP | 0.00 | 6/7/2019 | 2,314,087 | 2,218,631 | ||||||||
ONEX CARESTREAM FINANCE LP | 0.00 | 12/7/2019 | 448,278 | 416,899 | ||||||||
QUICKSILVER RESOURCES INC | 0.00 | 6/21/2019 | 500,000 | 215,000 | ||||||||
CTI FOODS HOLDING CO LLC | 0.00 | 6/29/2020 | 496,203 | 487,519 | ||||||||
EMERALD EXPOSITIONS HOLDING IN | 0.00 | 6/17/2020 | 1,913,714 | 1,899,361 | ||||||||
FOUR SEASONS HOLDINGS INC | 0.00 | 12/28/2020 | 1,335,000 | 1,331,663 | ||||||||
TRIPLE POINT TECHNOLOGY INC | 0.00 | 7/10/2020 | 1,734,817 | 1,353,158 | ||||||||
ALTICE FINANCING SA | 0.00 | 7/2/2016 | 3,552,118 | 3,563,218 | ||||||||
BMC SOFTWARE FINANCE INC | 0.00 | 9/10/2020 | 2,770,766 | 2,505,811 | ||||||||
FORESIGHT ENERGY LLC | 0.00 | 8/21/2020 | 1,575,095 | 1,429,399 | ||||||||
ACTIVISION BLIZZARD INC | 0.00 | 10/13/2020 | 120,000 | 119,900 | ||||||||
CPG INTERNATIONAL INC | 0.00 | 9/30/2020 | 1,770,864 | 1,750,203 | ||||||||
FIELDWOOD ENERGY LLC | 0.00 | 9/30/2020 | 1,515,000 | 424,200 | ||||||||
P2 LOWER ACQUISITION LLC | 0.00 | 10/22/2020 | 2,491,084 | 2,495,755 | ||||||||
P2 LOWER ACQUISITION LLC | 0.00 | 10/28/2021 | 785,000 | 778,131 | ||||||||
OMNITRACS INC | 0.00 | 5/25/2021 | 1,000,000 | 981,250 | ||||||||
OMNITRACS INC | 0.00 | 11/25/2020 | 2,037,744 | 2,003,781 | ||||||||
P2 ENERGY SOLUTIONS INC | 0.00 | 10/30/2020 | 2,397,300 | 2,349,354 | ||||||||
ACTIVE NETWORK INC (THE) | 0.00 | 11/13/2020 | 2,276,835 | 2,249,798 | ||||||||
ACTIVE NETWORK INC (THE) | 0.00 | 11/15/2021 | 500,000 | 471,250 | ||||||||
MCJUNKIN RED MAN CORP | 0.00 | 11/8/2019 | 1,880,639 | 1,830,802 | ||||||||
FILTRATION GROUP CORP | 0.00 | 11/22/2021 | 252,660 | 253,708 | ||||||||
DEL MONTE FOODS CONSUMER PRODU | 0.00 | 2/18/2021 | 987,469 | 933,158 | ||||||||
DEL MONTE FOODS CONSUMER PRODU | 0.00 | 8/18/2021 | 712,500 | 632,937 | ||||||||
OFFSHORE GROUP INVESTMENT LTD | 0.00 | 10/25/2017 | 783,623 | 264,963 | ||||||||
BRICKMAN GROUP HOLDINGS INC | 0.00 | 12/18/2020 | 278,535 | 274,241 | ||||||||
CLEAR CHANNEL COMMUN, INC. | 0.00 | 7/30/2019 | 239,250 | 199,474 | ||||||||
HEARTLAND DENTAL CARE INC | 0.00 | 12/21/2018 | 2,947,489 | 2,936,436 | ||||||||
NTNL MNTR HLDGS | 0.00 | 1/31/2021 | 1,815,392 | 1,807,450 | ||||||||
PHARMEDIUM HLTH | 0.00 | 1/28/2022 | 750,000 | 738,750 | ||||||||
ALLIED SECURITY HOLDINGS LLC | 0.00 | 8/13/2021 | 680,651 | 672,143 | ||||||||
PHILLIPS PET FOOD & SUPPLIES | 0.00 | 1/31/2022 | 750,000 | 577,500 | ||||||||
OPENLINK INTERNATIONAL INTERME | 0.00 | 10/30/2017 | 1,325,627 | 1,315,684 | ||||||||
COLLECTIVE BRANDS INC | 0.00 | 3/11/2021 | 2,071,755 | 1,615,969 | ||||||||
AMERICAN PACIFIC CORP | 0.00 | 2/27/2019 | 985,000 | 982,948 |
Page 45
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
WME IMG LLC | 0.00 | 5/6/2022 | 1,360,000 | 1,303,900 | ||||||||
GYP HOLDINGS III CORP | 0.00 | 4/1/2021 | 2,121,875 | 2,066,176 | ||||||||
GYP HOLDINGS III CORP | 0.00 | 4/1/2022 | 615,000 | 601,547 | ||||||||
AVAGO TECHNOLOGIES CAYMAN LTD | 0.00 | 5/6/2021 | 249,274 | 248,963 | ||||||||
MEDPACE INC | 0.00 | 4/1/2021 | 1,502,632 | 1,493,867 | ||||||||
FAIRMOUNT MINERALS LTD | 0.00 | 9/5/2019 | 752,323 | 603,739 | ||||||||
CHECKOUT HOLDING | 0.00 | 4/11/2022 | 2,620,000 | 1,716,100 | ||||||||
CHECKOUT HOLDING | 0.00 | 4/9/2021 | 1,728,125 | 1,468,906 | ||||||||
HUDSON PRODUCTS | 0.00 | 3/15/2019 | 943,333 | 896,167 | ||||||||
MEN'S WEARHOUSE INC | 0.00 | 6/18/2021 | 629,756 | 629,363 | ||||||||
MUNTERS AB | 0.00 | 5/5/2021 | 1,678,750 | 1,649,372 | ||||||||
SKILLSOFT CORP | 0.00 | 4/28/2022 | 1,850,000 | 1,566,334 | ||||||||
US JOINER HOLDING COMPANY | 0.00 | 4/16/2020 | 985,000 | 970,225 | ||||||||
DOOSAN INFRACORE INTERNATIONAL | 0.00 | 5/28/2021 | 1,012,585 | 1,013,429 | ||||||||
LEARNING CARE GROUP US NO 2 IN | 0.00 | 5/5/2021 | 2,267,349 | 2,264,514 | ||||||||
CHIEF EXPLORATION & DEVELOPMEN | 0.00 | 5/16/2021 | 500,000 | 411,250 | ||||||||
SI ORGANIZATION INC | 0.00 | 11/23/2019 | 2,385,093 | 2,379,877 | ||||||||
UTEX IND | 0.00 | 5/21/2021 | 2,219,505 | 1,897,677 | ||||||||
SUNEDISON SEMICO | 0.00 | 5/27/2019 | 962,813 | 964,016 | ||||||||
WP MUSTANG HOLDINGS LLC | 0.00 | 5/29/2021 | 2,718,719 | 2,657,548 | ||||||||
UTEX IND | 0.00 | 5/20/2022 | 750,000 | 598,125 | ||||||||
SI ORGANIZATION INC | 0.00 | 5/23/2020 | 700,000 | 683,083 | ||||||||
GREEN PLAINS REN | 0.00 | 6/30/2020 | 725,098 | 721,473 | ||||||||
ENCOMPASS DIGITAL MEDIA INC | 0.00 | 6/5/2022 | 500,000 | 490,000 | ||||||||
OTTER PRODUCTS LLC | 0.00 | 6/3/2020 | 1,158,064 | 1,129,112 | ||||||||
ENCOMPASS DIGITAL MEDIA INC | 0.00 | 6/6/2021 | 2,015,327 | 2,005,250 | ||||||||
AZ CHEM US | 0.00 | 6/10/2022 | 580,000 | 584,350 | ||||||||
AZ CHEM US | 0.00 | 6/11/2021 | 1,525,127 | 1,522,505 | ||||||||
WORLD TRIATHLON CORP | 0.00 | 6/25/2021 | 493,750 | 491,281 | ||||||||
SOLENIS INTERNATIONAL LP | 0.00 | 7/31/2022 | 500,000 | 476,875 | ||||||||
WINEBOW GROUP LLC | 0.00 | 1/2/2022 | 1,000,000 | 955,000 | ||||||||
HEALOGICS INC | 0.00 | 7/1/2021 | 2,059,399 | 2,050,389 | ||||||||
BIRCH COMMUNICATIONS HOLDINGS | 0.00 | 7/17/2020 | 2,664,583 | 2,657,922 | ||||||||
TRIBUNE PUBLISHING CO | 0.00 | 8/4/2021 | 1,913,455 | 1,803,431 | ||||||||
EMERALD PERFORMANCE MATERIALS | 0.00 | 7/30/2021 | 881,100 | 876,878 | ||||||||
SURGERY CENTER HOLDINGS INC | 0.00 | 11/3/2020 | 893,250 | 892,692 | ||||||||
ENERGY & EXPLORATION PARTNERS | 0.00 | 1/22/2019 | 3,555,000 | 2,630,700 | ||||||||
CCS INTERMEDIATE HOLDINGS LLC | 0.00 | 7/23/2021 | 1,504,800 | 1,376,892 | ||||||||
EMERALD PERFORMANCE MATERIALS | 0.00 | 8/1/2022 | 620,000 | 612,250 | ||||||||
CITGO PETROLEUM CORPORATION | 0.00 | 7/29/2021 | 438,892 | 434,366 | ||||||||
ALM MEDIA HOLDGS | 0.00 | 7/30/2021 | 500,000 | 485,000 | ||||||||
IBC CAPITAL LTD | 0.00 | 9/9/2021 | 2,069,600 | 1,998,888 | ||||||||
AP NMT ACQUISITION BV | 0.00 | 8/13/2021 | 1,388,487 | 1,348,568 | ||||||||
NATIONAL VETERINARY ASSOCIATES | 0.00 | 8/14/2021 | 2,301,987 | 2,298,149 | ||||||||
ALBERTSONS INC | 0.00 | 8/25/2021 | 3,255,980 | 3,256,352 |
Page 46
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
PACKAGING COORDINATORS INC | 0.00 | 8/1/2022 | 1,000,000 | 980,000 | ||||||||
IMC OP LP | 0.00 | 8/15/2020 | 1,842,393 | 1,836,645 | ||||||||
ZEST ANCHORS LLC | 0.00 | 8/16/2020 | 1,783,235 | 1,787,693 | ||||||||
AP NMT ACQUISITION BV | 0.00 | 8/13/2022 | 230,000 | 207,000 | ||||||||
SCINTFIC GMS INT INC | 0.00 | 10/1/2021 | 1,389,500 | 1,370,915 | ||||||||
MIDAS INTERMEDIATE HOLDCO II L | 0.00 | 8/18/2021 | 100,502 | 100,419 | ||||||||
TPF II POWER LLC | 0.00 | 10/2/2021 | 2,984,269 | 2,977,429 | ||||||||
BERLIN PACKAGING LLC | 0.00 | 10/1/2021 | 891,737 | 888,616 | ||||||||
CROWNE GROUP LLC | 0.00 | 9/30/2020 | 396,000 | 394,020 | ||||||||
ZEBRA TECHNOLOGIES CORPORATION | 0.00 | 10/27/2015 | 2,942,857 | 2,956,633 | ||||||||
CROWNE GROUP LLC | 0.00 | 9/30/2021 | 600,000 | 588,000 | ||||||||
FHC HEALTH SYSTEMS INC | 0.00 | 10/8/2021 | 1,544,738 | 1,522,725 | ||||||||
AVG TECHNOLOGIES NV | 0.00 | 10/15/2015 | 654,701 | 655,519 | ||||||||
ECO SERVICES OPERATIONS LLC | 0.00 | 12/1/2021 | 794,000 | 788,045 | ||||||||
VESTCOM INTL INC. | 0.00 | 9/30/2022 | 425,000 | 418,625 | ||||||||
PRO MACH INC TL B | 0.00 | 10/22/2021 | 1,303,275 | 1,304,905 | ||||||||
SOURCEHOV LLC | 0.00 | 10/31/2019 | 686,875 | 619,333 | ||||||||
ALLIANCE TIRE GROUP BV | 10.50 | 6/26/2021 | 1,000,000 | 1,000,000 | ||||||||
PACKERS HOLDINGS LLC | 0.00 | 12/2/2021 | 893,250 | 893,808 | ||||||||
CREGANNA-TACTX MEDICAL | 0.00 | 12/1/2021 | 77,919 | 77,595 | ||||||||
CREGANNA-TACTX MEDICAL | 0.00 | 6/1/2022 | 500,000 | 498,750 | ||||||||
TIBCO SOFTWARE INC | 0.00 | 12/4/2020 | 641,775 | 639,101 | ||||||||
US TELEPACI | 0.00 | 11/25/2020 | 1,836,125 | 1,828,092 | ||||||||
HLX PLY HOLDINGS INC | 0.00 | 12/5/2021 | 1,527,886 | 1,523,111 | ||||||||
VARSITY BRANDS HOLDING CO INC | 0.00 | 12/14/2015 | 645,374 | 648,331 | ||||||||
PRIMEDIA INC. | 0.00 | 12/17/2021 | 1,821,573 | 1,804,496 | ||||||||
COMPUWARE CORPORATION | 0.00 | 12/15/2021 | 992,500 | 947,217 | ||||||||
SURVEY SAMPLING INTERNATIONAL | 0.00 | 12/16/2020 | 651,725 | 647,652 | ||||||||
SURVEY SAMPLING INTERNATIONAL | 0.00 | 12/16/2021 | 375,000 | 371,250 | ||||||||
CH SERVICES ACQUISITION INC | 0.00 | 2/7/2022 | 1,094,500 | 1,090,852 | ||||||||
IG INVESTMENTS HOLDINGS LLC | 0.00 | 10/31/2021 | 3,462,473 | 3,440,833 | ||||||||
ONEX WIZARD US ACQUISITION INC | 0.00 | 3/11/2022 | 587,274 | 586,377 | ||||||||
KAUFMAN HALL & ASSOCIATES INC | 0.00 | 12/31/2020 | 740,625 | 729,516 | ||||||||
GLOBAL KNOWLEDGE TRAINING LLC | 0.00 | 1/29/2021 | 397,000 | 395,511 | ||||||||
GLOBAL KNOWLEDGE TRAINING LLC | 0.00 | 1/28/2022 | 175,000 | 172,375 | ||||||||
RIVERBED TECHNOLOGY INC | 0.00 | 10/25/2015 | 1,224,025 | 1,224,681 | ||||||||
VALEANT PHARMACEUTICALS INTERN | 0.00 | 4/1/2022 | 746,250 | 737,482 | ||||||||
INEOS US FINANCE LLC | 0.00 | 3/31/2022 | 572,124 | 554,960 | ||||||||
AMERICAN TIRE DISTRIBUTORS INC | 0.00 | 9/1/2021 | 1,646,232 | 1,642,803 | ||||||||
REGAL CINEMAS CORP | 0.00 | 10/2/2015 | 718,200 | 718,451 | ||||||||
AIR MEDICAL GROUP HOLDINGS INC | 0.00 | 4/28/2022 | 852,863 | 840,603 | ||||||||
CONCORDIA HEALTHCARE CORP | 0.00 | 4/21/2022 | 937,650 | 935,697 | ||||||||
ASP ASPEN ACQUISITION SUB INC | 0.00 | 4/16/2016 | 588,525 | 591,222 | ||||||||
DJO FINANCE LLC | 0.00 | 6/8/2020 | 600,000 | 596,813 | ||||||||
CHEMOURS COMPANY LLC | 0.00 | 5/12/2022 | 648,375 | 563,005 |
Page 47
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
WASH MULTIFAMILY LAUNDRY SYSTE | 0.00 | 5/16/2022 | 9,432 | 9,290 | ||||||||
ITALICS MERGER SUB INC | 0.00 | 8/5/2022 | 1,160,000 | 1,149,850 | ||||||||
PETSMART INC. | 0.00 | 3/11/2022 | 1,112,213 | 1,109,780 | ||||||||
EPICOR SOFTWARE CORP | 0.00 | 6/1/2022 | 1,366,575 | 1,357,546 | ||||||||
WIDEOPENWEST FINANCE LLC | 0.00 | 4/1/2019 | 1,222,062 | 1,212,133 | ||||||||
WASH MULTIFAMILY LAUNDRY SYSTE | 0.00 | 5/13/2022 | 1,614 | 1,590 | ||||||||
MERRILL COMMUNICATIONS LLC | 0.00 | 5/27/2022 | 1,605,342 | 1,589,288 | ||||||||
SPECTRUM BRANDS HOLDINGS INC | 0.00 | 12/3/2015 | 253,847 | 254,561 | ||||||||
PARADIGM ACQUISITION CORP | 0.00 | 6/2/2022 | 573,563 | 565,676 | ||||||||
ALERE INC | 0.00 | 6/20/2022 | 314,213 | 313,994 | ||||||||
ACADEMY SPORTS & OUTDOORS INC | 0.00 | 7/1/2022 | 1,470,621 | 1,461,634 | ||||||||
UNIVAR USA INC | 0.00 | 7/1/2022 | 550,000 | 540,719 | ||||||||
PROTECTION ONE ALARM MONITORIN | 0.00 | 7/1/2021 | 2,005,000 | 2,002,494 | ||||||||
PLAYPOWER INC | 0.00 | 6/23/2021 | 598,500 | 595,508 | ||||||||
SS&C EUROPEAN HOLDINGS SARL | 0.00 | 12/24/2015 | 200,584 | 200,799 | ||||||||
ANCHOR GLASS CONTAINERS CORP | 0.00 | 7/1/2022 | 1,069,419 | 1,069,141 | ||||||||
AMERICAN BATH GROUP LLC | 0.00 | 6/10/2020 | 567,813 | 567,103 | ||||||||
USAGM HOLDCO LLC | 0.00 | 7/28/2022 | 2,690,299 | 2,654,989 | ||||||||
USAGM HOLDCO LLC | 0.00 | 7/28/2022 | 20,695 | 20,423 | ||||||||
CHARTER COMMUNICATION OPER LLC | 0.00 | 1/24/2023 | 335,000 | 332,697 | ||||||||
JARDEN CORP | 0.00 | 7/30/2022 | 330,000 | 329,588 | ||||||||
HILLENBRAND INDUSTRIES INC | 0.00 | 1/21/2016 | 350,000 | 350,438 | ||||||||
BUILDERS FIRSTSOURCE INC | 0.00 | 7/31/2022 | 600,000 | 595,125 | ||||||||
ASURION LLC | 0.00 | 8/4/2022 | 523,688 | 495,376 | ||||||||
PHARMACEUTICAL PRODUCT DEV, IN | 0.00 | 8/18/2022 | 598,500 | 593,139 | ||||||||
PROLAMPAC INTERMEDIATE INC | 0.00 | 8/18/2022 | 250,000 | 247,969 | ||||||||
AMAG PHARMACEUTICALS INC | 0.00 | 8/17/2021 | 70,000 | 69,300 | ||||||||
OWENS-BROCKWAY GLASS CONTAINER | 0.00 | 2/25/2016 | 384,038 | 384,914 | ||||||||
VISTAGE WORLDWIDE INC | 0.00 | 8/19/2021 | 750,000 | 748,125 | ||||||||
DELTA AIR LINES INC | 0.00 | 8/24/2022 | 875,000 | 873,469 | ||||||||
RAVN AIR GROUP | 0.00 | 7/30/2021 | 350,000 | 346,500 | ||||||||
BIOCLINICA INC | 0.00 | 3/10/2021 | 750,000 | 731,250 | ||||||||
1,273,828,311 | 1,256,975,150 | |||||||||||
CORPORATE DEBT SECURITIES - UTILITIES | ||||||||||||
AMERICAN ELECTRIC POWER COMPAN | 1.65 | 12/15/2017 | 1,250,000 | 1,244,162 | ||||||||
CMS ENERGY CO | 8.75 | 6/15/2019 | 3,024,000 | 3,676,050 | ||||||||
CALPINE CORP | 5.38 | 1/15/2023 | 1,500,000 | 1,383,750 | ||||||||
COLUMBIA PIPELINE GROUP INC | 2.45 | 6/1/2018 | 390,000 | 390,785 | ||||||||
COLUMBIA PIPELINE GROUP INC | 3.30 | 6/1/2020 | 1,725,000 | 1,723,029 | ||||||||
COMMONWEALTH EDISON COMPANY | 6.15 | 9/15/2017 | 5,748,000 | 6,258,032 | ||||||||
COMMONWEALTH EDISON COMPANY | 2.15 | 12/15/2018 | 1,200,000 | 1,208,317 | ||||||||
CONSOLIDATED EDISON INC | 5.85 | 4/1/2018 | 168,000 | 185,270 | ||||||||
DCP MIDSTREAM PARTNERS LP | 2.70 | 4/1/2019 | 1,500,000 | 1,342,620 | ||||||||
DUKE ENERGY CORP | 1.63 | 8/15/2017 | 168,000 | 168,457 |
Page 48
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
DUKE ENERGY CORP | 2.10 | 5/15/2018 | 1,550,000 | 1,565,791 | ||||||||
EL PASO NATURAL GAS COMPANY | 5.95 | 4/15/2017 | 101,000 | 106,311 | ||||||||
ENABLE MIDSTREAM PARTNERS LP | 2.40 | 5/15/2019 | 1,595,000 | 1,503,222 | ||||||||
ENERGY TRANSFER PARTNERS LP | 4.15 | 8/1/2020 | 2,400,000 | 2,428,839 | ||||||||
ENERGY TRANSFER PARTNERS LP | 4.05 | 3/15/2025 | 680,000 | 596,109 | ||||||||
ENLINK MIDSTREAM PARTNERS LP | 2.70 | 4/1/2019 | 3,700,000 | 3,606,166 | ||||||||
EXELON GENERATION CO LLC | 2.95 | 12/15/2019 | 3,780,000 | 3,790,984 | ||||||||
EXELON CORPORATION | 2.85 | 5/15/2020 | 2,250,000 | 2,262,027 | ||||||||
NEXTERA ENERGY CAPITAL HOLDING | 6.00 | 3/1/2019 | 3,250,000 | 3,620,685 | ||||||||
FL GAS TSMN CO | 7.90 | 5/15/2019 | 3,200,000 | 3,719,197 | ||||||||
GENERAL ELEC CAP CORP | 6.38 | 11/15/2017 | 1,575,000 | 1,704,938 | ||||||||
INDIANA MICHIGAN POWER COMPANY | 7.00 | 3/15/2019 | 101,000 | 116,726 | ||||||||
KINDER MORGAN ENERGY PARTNERS | 6.00 | 2/1/2017 | 1,193,000 | 1,248,229 | ||||||||
KINDER MORGAN ENERGY PARTNERS | 2.65 | 2/1/2019 | 3,850,000 | 3,768,449 | ||||||||
KINDER MORGAN HOLDCO LLC | 3.05 | 12/1/2019 | 2,875,000 | 2,822,333 | ||||||||
LG&E AND KU ENERGY LLC | 4.38 | 7/1/2021 | 4,850,000 | 5,286,500 | ||||||||
MPLX LP | 4.00 | 2/15/2025 | 325,000 | 296,113 | ||||||||
BERKSHIRE HATHAWAY ENERGY CO | 1.10 | 5/15/2017 | 4,375,000 | 4,350,751 | ||||||||
BERKSHIRE HATHAWAY ENERGY CO | 2.00 | 11/15/2018 | 134,000 | 133,995 | ||||||||
PECO ENERGY CO | 5.35 | 3/1/2018 | 134,000 | 145,627 | ||||||||
PECO ENERGY CO | 1.20 | 10/15/2016 | 74,000 | 74,117 | ||||||||
PG&E CORP | 2.40 | 3/1/2019 | 101,000 | 100,980 | ||||||||
PPL WEM HOLDINGS PLC | 3.90 | 5/1/2016 | 2,500,000 | 2,532,330 | ||||||||
PANHANDLE EAST PIPE LINE | 7.00 | 6/15/2018 | 104,000 | 116,191 | ||||||||
PETROLEOS MEXICANOS | 3.50 | 7/23/2020 | 1,667,000 | 1,614,913 | ||||||||
PLAINS ALL AMERICAN PIPELINE L | 2.60 | 12/15/2019 | 1,800,000 | 1,766,410 | ||||||||
PUBLIC SERVICE ELECTRIC AND GA | 1.80 | 6/1/2019 | 134,000 | 132,941 | ||||||||
RJS POWER HOLDINGS LLC | 4.63 | 7/15/2019 | 1,500,000 | 1,361,250 | ||||||||
SEMPRA ENERGY | 2.30 | 4/1/2017 | 67,000 | 67,696 | ||||||||
SEMPRA ENERGY | 2.40 | 2/15/2020 | 3,225,000 | 3,207,982 | ||||||||
SOUTHERN CALIFORNIA EDISON CO. | 1.13 | 5/1/2017 | 2,215,000 | 2,209,241 | ||||||||
SOUTHERN CALIFORNIA EDISON CO. | 2.40 | 2/1/2022 | 3,500,000 | 3,391,428 | ||||||||
SOUTHERN COMPANY (THE) | 1.30 | 8/15/2017 | 1,830,000 | 1,814,997 | ||||||||
SOUTHERN COMPANY (THE) | 2.15 | 9/1/2019 | 4,569,000 | 4,480,182 | ||||||||
SPECTRA ENERGY PARTNERS LP | 2.95 | 8/25/2018 | 5,000,000 | 5,038,739 | ||||||||
VIRGINIA ELECTRIC AND POWER CO | 1.20 | 1/15/2018 | 101,000 | 100,386 | ||||||||
WESTAR ENERGY INC | 5.10 | 7/15/2020 | 5,000,000 | 5,612,934 | ||||||||
WESTERN GAS PARTNERS LP | 4.00 | 7/1/2022 | 6,650,000 | 6,424,063 | ||||||||
WILLIAMS PARTNERS LP | 3.60 | 3/15/2022 | 8,275,000 | 7,596,796 | ||||||||
XCEL ENERGY INC | 5.61 | 4/1/2017 | 134,000 | 141,946 | ||||||||
SP POWERASSETS | 4.84 | 10/22/2018 | 1,500,000 | 1,123,497 | ||||||||
HONGKONG ELECTRIC FINANCE LTD | 4.55 | 11/7/2016 | 30,000,000 | 4,008,400 | ||||||||
HKCG FINANCE LTD | 1.40 | 4/11/2016 | 2,000,000 | 307,843 | ||||||||
POWER BUYER LLC | 0.00 | 5/6/2020 | 403,748 | 398,701 | ||||||||
ESSENTIAL POWER LLC | 0.00 | 8/8/2019 | 936,275 | 936,275 |
Page 49
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
PANDA SHERMAN POWER LLC | 0.00 | 9/13/2018 | 1,292,867 | 1,163,581 | ||||||||
FR DIXIE ACQUISITION CORP | 0.00 | 12/18/2020 | 2,324,831 | 1,790,120 | ||||||||
145,494,721 | 118,167,403 | |||||||||||
ASSET BACKED SECURITIES - CREDIT CARDS | ||||||||||||
AMERICAN EXPRESS CREDIT ACCOUN | 1.49 | 9/15/2017 | 3,000,000 | 3,021,840 | ||||||||
BACCT_14-A2 | 0.48 | 4/22/2017 | 4,000,000 | 3,995,680 | ||||||||
DROCK_15-1 | 2.20 | 2/17/2020 | 12,400,000 | 12,623,200 | ||||||||
CAPITAL ONE MULTI-ASSET EXE TR | 0.29 | 2/21/2017 | 5,230,000 | 5,211,697 | ||||||||
CHAIT_14-A4 | 0.42 | 4/15/2016 | 6,665,000 | 6,660,501 | ||||||||
CHAIT_15-A2 | 1.59 | 2/15/2018 | 16,500,000 | 16,664,176 | ||||||||
CHAIT_15-A5 | 1.36 | 4/16/2018 | 2,500,000 | 2,507,950 | ||||||||
CCCIT_14-A8 | 1.73 | 4/9/2018 | 4,630,000 | 4,683,476 | ||||||||
DISCOVER CARD MASTER TRUST | 1.45 | 8/13/2018 | 3,500,000 | 3,499,538 | ||||||||
SYNCT_15-1 | 2.37 | 3/16/2020 | 1,530,000 | 1,544,076 | ||||||||
GE CAPITAL CREDIT CARD MASTER | 1.74 | 11/4/2018 | 2,520,000 | 2,524,536 | ||||||||
62,475,000 | 62,936,670 | |||||||||||
ASSET BACKED SECURITIES - AUTO RECEIVABLES | ||||||||||||
ALLYL_15-SN1 | 1.21 | 1/20/2017 | 700,000 | 700,371 | ||||||||
ALLYA_15-1 | 1.39 | 9/16/2017 | 480,000 | 479,856 | ||||||||
AMCAR_14-3 | 0.64 | 2/9/2016 | 4,938,382 | 4,938,397 | ||||||||
AMCAR_15-1 | 0.77 | 2/23/2016 | 1,653,762 | 1,653,187 | ||||||||
CARMAX AUTO OWNER TRUST CARMX_ | 1.16 | 3/3/2017 | 4,500,000 | 4,504,635 | ||||||||
CARMX_14-4 | 1.25 | 6/17/2017 | 2,850,000 | 2,852,736 | ||||||||
FORDR_15-1 | 2.12 | 2/16/2016 | 2,430,000 | 2,441,992 | ||||||||
FORDO_15C | 1.41 | 2/16/2019 | 1,800,000 | 1,804,946 | ||||||||
GMALT_15-1 | 1.53 | 9/21/2017 | 3,100,000 | 3,107,316 | ||||||||
HAROT_15-1 | 1.05 | 5/16/2017 | 2,950,000 | 2,949,351 | ||||||||
MOTOR_15-1 | 0.79 | 3/14/2017 | 2,560,000 | 2,552,320 | ||||||||
SDART_14-4 | 0.67 | 12/30/2015 | 3,104,976 | 3,102,256 | ||||||||
WOART 2014-B | 1.14 | 7/3/2017 | 5,670,000 | 5,674,479 | ||||||||
36,737,120 | 36,761,842 | |||||||||||
ASSET BACKED SECURITIES - STUDENT LOANS | ||||||||||||
ALFT_13-1A | 0.99 | 9/2/2024 | 11,905,734 | 11,763,925 | ||||||||
AGSL_03-1 | 1.70 | 11/21/2021 | 4,100,000 | 3,860,421 | ||||||||
AGSL_03-1 | 1.67 | 12/5/2023 | 3,600,000 | 3,389,486 | ||||||||
AGSL_03-1 | 1.63 | 10/28/2023 | 5,350,000 | 5,039,775 | ||||||||
ACCESS TO LOANS FOR LEARNING S | 0.99 | 2/23/2024 | 13,528,292 | 13,279,967 | ||||||||
BRAZOS HIGHER EDUCATION AUTHOR | 0.45 | 5/12/2016 | 372,536 | 371,082 | ||||||||
EFSV2_ 2012-1 | 1.07 | 10/27/2017 | 2,507,417 | 2,501,384 | ||||||||
EDUSA_15-1 | 0.99 | 2/23/2024 | 3,273,767 | 3,226,170 | ||||||||
EDUSA_10-1 | 1.15 | 5/14/2018 | 772,202 | 769,149 | ||||||||
EDUCATIONAL SERVICES OF AMERIC | 0.89 | 4/23/2022 | 10,712,585 | 10,576,793 |
Page 50
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
EDUSA_14-3 | 0.79 | 8/2/2023 | 10,824,261 | 10,594,938 | ||||||||
ELAB_13-1A | 0.99 | 8/20/2018 | 3,392,724 | 3,369,053 | ||||||||
GCO EDUCATION LOAN FUNDING TRU | 0.40 | 7/11/2016 | 359,612 | 357,293 | ||||||||
GCFT_06-1 | 0.45 | 5/25/2016 | 1,081,972 | 1,074,296 | ||||||||
MEFA | 1.25 | 6/18/2028 | 1,733,083 | 1,735,717 | ||||||||
MHEAC_14-1 | 0.87 | 6/24/2021 | 8,351,524 | 8,213,632 | ||||||||
MISSOURI HIGHER ED LN AUTH STU | 1.18 | 2/1/2020 | 2,166,840 | 2,123,330 | ||||||||
MHESA_12-1 | 1.22 | 2/1/2018 | 26,615,558 | 26,770,807 | ||||||||
NELS_05-2 | 0.40 | 5/7/2016 | 1,207,277 | 1,202,318 | ||||||||
NSLT_05-4 | 0.45 | 6/29/2017 | 4,441,294 | 4,380,905 | ||||||||
NSLT_13-5A | 0.82 | 1/13/2022 | 3,501,800 | 3,441,051 | ||||||||
NEF_12-1 | 0.89 | 8/11/2020 | 1,422,896 | 1,407,234 | ||||||||
PHEAA_14-2A | 0.76 | 8/10/2024 | 3,682,249 | 3,546,381 | ||||||||
PANHANDLE-PLAINS HIGHER EDUCAT | 1.41 | 11/19/2019 | 3,838,290 | 3,885,148 | ||||||||
PHEAA_04-1 | 0.59 | 11/20/2018 | 2,000,000 | 1,977,194 | ||||||||
PHEAA_04-1 | 0.72 | 10/12/2020 | 6,000,000 | 5,932,176 | ||||||||
SLMA_03-14 | 0.53 | 5/1/2017 | 2,162,688 | 2,136,461 | ||||||||
SLMA_05-9 | 0.42 | 4/25/2016 | 1,613,707 | 1,607,143 | ||||||||
SLM STUDENT LOAN TRUST SLMA_06 | 0.38 | 6/10/2016 | 1,367,529 | 1,361,549 | ||||||||
SLM STUDENT LOAN TRUST SLMA_06 | 0.37 | 4/25/2016 | 885,318 | 881,212 | ||||||||
SLMA | 2.00 | 11/16/2019 | 2,000,000 | 2,008,800 | ||||||||
SLM STUDENT LOAN TRUST SLMA_08 | 1.80 | 10/1/2020 | 2,000,000 | 2,011,460 | ||||||||
SCHOL_10-A | 1.04 | 8/11/2029 | 2,791,924 | 2,706,553 | ||||||||
SCHOL_12-B | 0.59 | 5/28/2016 | 1,044,029 | 1,040,533 | ||||||||
SCHOL_13-A | 0.84 | 11/16/2021 | 638,711 | 626,869 | ||||||||
STUDENT LOAN CON | 1.41 | 7/28/2021 | 13,122,388 | 13,149,407 | ||||||||
WACHOVIA STUDENT LOAN TRUST WS | 0.43 | 11/6/2017 | 1,630,641 | 1,598,914 | ||||||||
SLMA_03-5 | 0.23 | 8/21/2018 | 853,640 | 912,379 | ||||||||
SLMA | 0.51 | 9/29/2019 | 2,670,000 | 2,836,751 | ||||||||
169,522,488 | 167,667,656 | |||||||||||
ASSET BACKED SECURITIES - CLO | ||||||||||||
ACASC_07-1 | 0.52 | 9/6/2016 | 2,914,962 | 2,884,112 | ||||||||
ACIS_13 | 1.16 | 1/28/2019 | 12,211,343 | 11,882,785 | ||||||||
ACIS_13-1 | 0.79 | 4/25/2018 | 14,260,679 | 14,085,172 | ||||||||
ACIS CLO LTD ACIS_14-4A | 2.07 | 4/17/2022 | 1,113,736 | 1,054,330 | ||||||||
ACIS_14-4A | 1.79 | 2/28/2021 | 8,650,000 | 8,434,615 | ||||||||
ABERD_08-1A | 0.95 | 2/11/2017 | 8,264,856 | 8,205,357 | ||||||||
ALM_12-5A | 0.00 | 3/30/2021 | 3,000,000 | 2,988,372 | ||||||||
ANCHC_14-4A | 1.74 | 2/19/2020 | 12,450,000 | 12,297,649 | ||||||||
ANCHC_14-4A | 2.45 | 8/24/2021 | 3,600,000 | 3,503,340 | ||||||||
APID_06-QA | 0.54 | 6/5/2016 | 1,232,720 | 1,232,148 | ||||||||
APID_15-21A | 1.71 | 2/21/2022 | 2,020,000 | 2,004,042 | ||||||||
ARES | 0.96 | 6/4/2017 | 3,624,046 | 3,585,384 | ||||||||
ARES CLO LTD ARES_14-1A | 1.81 | 2/2/2020 | 5,000,000 | 4,977,095 |
Page 51
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ARES_15-2A | 2.49 | 5/30/2022 | 1,500,000 | 1,483,268 | ||||||||
ATLAS SENIOR LOAN FUND LTD ATC | 0.00 | 8/12/2024 | 15,300,000 | 8,898,847 | ||||||||
ATRM_14-11A | 1.73 | 3/29/2020 | 6,000,000 | 5,963,724 | ||||||||
ATRM_11A | 2.44 | 9/13/2021 | 1,000,000 | 997,147 | ||||||||
BSP_14-IVA | 1.78 | 2/21/2020 | 14,100,000 | 14,029,500 | ||||||||
BLACK DIAMOND CLO LTD BLACK_06 | 0.54 | 3/20/2017 | 3,152,064 | 3,065,190 | ||||||||
BLUEM_15-1A | 2.51 | 1/5/2023 | 1,790,000 | 1,773,935 | ||||||||
BLUE MOUNTAIN CLO LTD BLUEM_15 | 1.71 | 2/21/2022 | 2,730,000 | 2,709,738 | ||||||||
BRENTWOOD CLO LTD BRENT_06-1A | 0.57 | 8/6/2017 | 5,601,609 | 5,507,496 | ||||||||
CIFC_06-1BA | 4.32 | 7/3/2018 | 750,000 | 738,173 | ||||||||
CRNPT_15-3A | 1.80 | 3/27/2021 | 19,600,000 | 19,209,960 | ||||||||
DRYDEN SENIOR LOAN FUND DRSLF_ | 1.70 | 11/17/2021 | 1,600,000 | 1,588,302 | ||||||||
DRSLF_11-22A | 1.46 | 7/21/2017 | 4,057,984 | 4,048,657 | ||||||||
DUANE STREET CLO DUANE_06-3A | 0.54 | 1/12/2016 | 11,783 | 11,780 | ||||||||
FCLO_5 | 0.60 | 3/15/2016 | 470,036 | 468,461 | ||||||||
GALXY_15-19A | 1.84 | 7/1/2020 | 4,000,000 | 3,985,576 | ||||||||
GALE | 0.53 | 4/19/2016 | 4,497,393 | 4,429,694 | ||||||||
GALLATIN FUNDING LTD GALL_13-1 | 1.44 | 3/16/2019 | 12,000,000 | 11,808,000 | ||||||||
GALL_14-1A | 0.00 | 8/26/2022 | 5,150,000 | 3,280,550 | ||||||||
GOLDS_07-5A | 0.98 | 7/19/2016 | 3,875,286 | 3,855,472 | ||||||||
HLA_14-2A | 2.29 | 8/25/2021 | 4,500,000 | 4,354,929 | ||||||||
HICDO_07-1RA | 0.71 | 8/13/2016 | 3,506,086 | 3,475,215 | ||||||||
ICG_14-1A | 1.44 | 2/17/2021 | 9,900,000 | 9,702,931 | ||||||||
KKR FINANCIAL CLO LTD KKR_07-1 | 0.67 | 4/2/2016 | 10,121,761 | 10,101,518 | ||||||||
LCM_14-X | 1.55 | 4/21/2017 | 6,023,166 | 6,017,448 | ||||||||
MDPK_07-6A | 5.55 | 2/23/2021 | 650,000 | 650,345 | ||||||||
MDPK_14-13A | 5.29 | 7/5/2022 | 500,000 | 458,545 | ||||||||
MCBSL_15-1A | 2.48 | 2/15/2023 | 550,000 | 526,926 | ||||||||
MCBSL_15-1A | 0.00 | 8/4/2021 | 8,900,000 | 8,694,410 | ||||||||
NAUTIQUE FUNDING LTD NAUTQ_06- | 0.54 | 6/6/2017 | 1,572,891 | 1,556,691 | ||||||||
NEUB_14-16A | 4.49 | 8/17/2022 | 750,000 | 630,083 | ||||||||
OCP_12-2A | 1.15 | 10/24/2017 | 10,171,481 | 10,001,424 | ||||||||
OCP_14-5A | 1.28 | 4/30/2021 | 11,000,000 | 10,685,147 | ||||||||
OFSBS_13-5A | 1.22 | 2/3/2019 | 9,500,000 | 9,264,505 | ||||||||
OFSBS_14-6A | 1.32 | 8/6/2020 | 11,000,000 | 10,696,862 | ||||||||
OFSBS_14-7A | 1.63 | 3/29/2020 | 1,200,000 | 1,178,268 | ||||||||
OCTR_06-1A | 0.54 | 7/17/2017 | 845,027 | 838,056 | ||||||||
OCT12_12-1AR | 1.55 | 5/4/2017 | 7,121,320 | 7,090,577 | ||||||||
OCT24_15-1A | 1.73 | 11/6/2020 | 2,115,000 | 2,099,649 | ||||||||
OCT18_13-1A | 5.57 | 5/2/2022 | 750,000 | 679,538 | ||||||||
OCT21_14-1A | 1.78 | 6/5/2020 | 8,000,000 | 7,943,504 | ||||||||
OCT21_14-1A | 2.71 | 12/17/2021 | 1,000,000 | 1,001,538 | ||||||||
RACEP_11-5AR | 1.64 | 3/20/2017 | 5,156,628 | 5,156,128 | ||||||||
SAPPH_06-1A | 0.56 | 7/22/2017 | 1,901,412 | 1,879,879 | ||||||||
SMORE 2014-1A | 1.77 | 1/22/2020 | 5,950,000 | 5,878,481 |
Page 52
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
SMORE_14-1A | 2.37 | 7/28/2021 | 1,150,000 | 1,121,374 | ||||||||
STCLO_07 6A | 0.52 | 10/24/2016 | 835,923 | 824,136 | ||||||||
SYMPH_5 | 1.04 | 6/22/2018 | 9,687,374 | 9,591,673 | ||||||||
VENT_8 | 0.58 | 11/4/2017 | 1,075,187 | 1,057,864 | ||||||||
VENTURE CDO LTD VENTR_07-8A | 0.52 | 11/4/2017 | 1,221,692 | 1,204,402 | ||||||||
VOYA_14-2A | 1.74 | 3/24/2020 | 8,000,000 | 7,960,016 | ||||||||
VOYA CLO LTD VOYA_15-1A | 1.74 | 9/25/2020 | 1,670,000 | 1,661,269 | ||||||||
VOYA_14-4A | 2.69 | 4/1/2022 | 2,000,000 | 1,997,652 | ||||||||
WGH_06-1A | 0.59 | 5/28/2016 | 529,080 | 523,237 | ||||||||
WASAT_06-1A | 0.55 | 8/24/2018 | 8,407,213 | 8,211,872 | ||||||||
ZAIS_14-1A | 1.69 | 8/6/2020 | 8,000,000 | 7,921,440 | ||||||||
ZAIS2_14-2A | 2.40 | 4/6/2021 | 4,020,000 | 3,891,219 | ||||||||
GALATTIN FUNDS LTD GALL_13-1X | 0.00 | 1/13/2024 | 7,350,000 | 3,998,400 | ||||||||
GALLATIN FUNDING LTD GALL_12-1 | 0.00 | 11/30/2022 | 3,445,000 | 1,612,260 | ||||||||
365,604,738 | 347,127,282 | |||||||||||
ASSET BACKED SECURITIES - OTHER | ||||||||||||
AMSI_03-10 | 0.95 | 9/23/2023 | 5,629,962 | 5,474,198 | ||||||||
AEPWV_13-1 | 2.01 | 10/4/2019 | 3,933,315 | 3,996,504 | ||||||||
ABFC_03-OPT1 | 0.87 | 3/3/2023 | 2,566,379 | 2,445,380 | ||||||||
AESOP_15-2A | 2.63 | 10/6/2020 | 10,950,000 | 11,072,651 | ||||||||
CNH_15-C | 1.10 | 10/22/2016 | 1,650,000 | 1,652,277 | ||||||||
BLUEMT_13-3A | 3.21 | 7/22/2017 | 4,275,000 | 4,092,351 | ||||||||
FORDF_14-1 | 0.61 | 2/21/2017 | 16,000,000 | 15,969,120 | ||||||||
JDOT_14-B | 1.07 | 1/1/2017 | 3,460,000 | 3,462,737 | ||||||||
OCT19_14-1A | 5.14 | 10/1/2022 | 250,000 | 219,278 | ||||||||
SOUNDVIEW HOME EQUITY LOAN TRU | 1.49 | 4/12/2021 | 1,736,539 | 1,717,468 | ||||||||
SAIL_03-B2 | 0.87 | 2/12/2018 | 5,877,726 | 5,685,495 | ||||||||
STRUCTURED ASSET INVESTMENT LO | 0.99 | 3/11/2023 | 4,816,544 | 4,538,172 | ||||||||
STRUCTURED ASSET INVESTMENT LO | 1.03 | 9/20/2018 | 4,968,616 | 4,866,258 | ||||||||
66,114,081 | 65,191,889 | |||||||||||
Total Fixed Income Securities | 7,820,765,586 | 6,546,993,061 | ||||||||||
Other Invested Assets - High Yield Fund | ||||||||||||
CRESCENT CAPITAL HIGH YIELD FUND | 28,199,749 | |||||||||||
Equities | ||||||||||||
ABBOTT LABORATORIES | 9,341 | 375,695 | ||||||||||
ABBVIE INC | 12,192 | 663,367 | ||||||||||
ACTIVISION BLIZZARD INC | 120,000 | 3,706,800 | ||||||||||
AETNA INC | 29,112 | 3,185,144 | ||||||||||
AIR PRODUCTS AND CHEMICALS INC | 3,705 | 472,684 | ||||||||||
ALIBABA GROUP HOLDING LTD | 10,030 | 591,469 | ||||||||||
AMAZON.COM INC | 2,559 | 1,309,927 |
Page 53
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
AMERICAN EXPRESS COMPANY | 84,590 | 6,270,657 | ||||||||||
AMERIPRISE FINANCIAL INC | 4,950 | 540,194 | ||||||||||
AMGEN INC | 10,394 | 1,437,698 | ||||||||||
ANTHEM INC | 3,210 | 449,400 | ||||||||||
APPLE INC | 57,826 | 6,378,208 | ||||||||||
ARCHER-DANIELS-MIDLAND COMPANY | 10,838 | 449,235 | ||||||||||
AUTOMATIC DATA PROCESSING, INC | 5,649 | 453,954 | ||||||||||
AVALONBAY COMMUNITIES INC | 11,400 | 1,992,948 | ||||||||||
BB&T CORP | 6,841 | 243,540 | ||||||||||
BAIDU INC | 4,754 | 653,247 | ||||||||||
BAKER HUGHES INC | 4,699 | 244,536 | ||||||||||
BANK OF AMERICA | 56,630 | 882,295 | ||||||||||
BANK OF NEW YORK MELLON CORP/T | 4,784 | 187,294 | ||||||||||
CR BARD INC | 2,012 | 374,856 | ||||||||||
BERKSHIRE HATHAWAY INC | 54,294 | 7,079,938 | ||||||||||
BLACKROCK INC. | 3,453 | 1,027,164 | ||||||||||
BLACKSTONE GROUP L.P. | 37,700 | 1,193,959 | ||||||||||
BLACKSTONE MORTGAGE TRUST INC | 59,000 | 1,618,960 | ||||||||||
BOEING CO | 39,180 | 5,130,621 | ||||||||||
BRISTOL-MYERS SQUIBB CO | 33,903 | 2,007,058 | ||||||||||
BROADCOM CORP | 10,039 | 516,306 | ||||||||||
BROWN-FORMAN CORPORATION | 4,398 | 426,166 | ||||||||||
CIGNA CORP | 3,341 | 451,102 | ||||||||||
CME GROUP INC | 34,585 | 3,207,413 | ||||||||||
CSX CORPORATION | 101,000 | 2,716,900 | ||||||||||
CABOT OIL & GAS CORP | 122,000 | 2,666,920 | ||||||||||
CARDINAL HEALTH INC | 72,000 | 5,531,040 | ||||||||||
CARLYLE GROUP/THE | 37,300 | 626,640 | ||||||||||
CARPENTER TECH CORP | 64,000 | 1,905,280 | ||||||||||
CATERPILLAR INC | 3,828 | 250,198 | ||||||||||
CENTERPOINT ENERGY INC. | 66,200 | 1,194,248 | ||||||||||
CENTERRA GOLD INC | 49,700 | 279,509 | ||||||||||
CHEMOURS COMPANY LLC | 1 | 5 | ||||||||||
CHEVRON CORP | 19,166 | 1,511,814 | ||||||||||
CHIPOTLE MEXICAN GRILL INC | 695 | 500,574 | ||||||||||
CISCO SYSTEMS INC | 277,104 | 7,273,980 | ||||||||||
CITIGROUP INC | 15,927 | 790,138 | ||||||||||
COCA-COLA COMPANY (THE) | 45,569 | 1,828,228 | ||||||||||
COLGATE-PALMOLIVE CO | 701 | 44,485 | ||||||||||
COLUMBIA PIPELINE GROUP INC | 62,600 | 1,144,954 | ||||||||||
COMERICA INCORPORATED | 7,861 | 323,087 | ||||||||||
CONOCOPHILLIPS | 39,718 | 1,904,875 | ||||||||||
COSTCO WHOLESALE CORPORATION | 4,680 | 676,588 | ||||||||||
COVANTA HOLDING CORP | 84,000 | 1,465,800 | ||||||||||
CROWN CASTLE INTL CORP | 31,400 | 2,476,518 |
Page 54
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
CUMMINS INC | 2,302 | 249,951 | ||||||||||
DTE ENERGY COMPANY | 24,000 | 1,928,880 | ||||||||||
DANAHER CORPORATION | 4,973 | 423,749 | ||||||||||
GOLAR LNG LTD | 44,400 | 1,237,872 | ||||||||||
DEERE & CO | 505 | 37,370 | ||||||||||
WALT DISNEY COMPANY (THE) | 16,740 | 1,710,828 | ||||||||||
DOMINION RESOURCES INC | 36,900 | 2,597,022 | ||||||||||
DOVER CORP | 4,088 | 233,752 | ||||||||||
EI DU PONT DE NEMOURS & CO | 34,189 | 1,647,910 | ||||||||||
EMC CORP/ MASSACHUSETTS | 168,090 | 4,061,054 | ||||||||||
EBAY INC. | 132,000 | 3,226,080 | ||||||||||
EDISON INTERNATIONAL INC | 19,800 | 1,248,786 | ||||||||||
ELDORADO GOLD CORP | 58,165 | 187,291 | ||||||||||
EMERSON ELECTRIC CO | 2,959 | 130,699 | ||||||||||
EQUINIX, INC. | 7,000 | 1,913,800 | ||||||||||
EQUITY RESIDENTIAL | 35,300 | 2,651,736 | ||||||||||
EVERSOURCE ENERGY | 12,113 | 613,160 | ||||||||||
EXELON CORPORATION | 45,500 | 1,351,350 | ||||||||||
EXPEDITORS INTL OF WASHINGTON, | 4,585 | 215,724 | ||||||||||
EXTRA SPACE STORAGE INC | 24,000 | 1,851,840 | ||||||||||
EXXON MOBIL CORP | 21,634 | 1,608,488 | ||||||||||
FS INVESTMENT CORP | 66,000 | 615,120 | ||||||||||
F5 NETWORKS INC | 2,138 | 247,580 | ||||||||||
FIFTH THIRD BANK | 27,328 | 516,772 | ||||||||||
FOMENTO ECONOMICO MEXICANO SAB | 10,610 | 946,943 | ||||||||||
FRANKLIN RESOURCES INC | 4,957 | 184,698 | ||||||||||
FRONTIER COMMUNICATIONS CORP | 230,000 | 1,092,500 | ||||||||||
GENERAL DYNAMICS CORP | 3,944 | 544,075 | ||||||||||
GENERAL ELECTRIC CO | 122,743 | 3,095,578 | ||||||||||
GLAXOSMITHKLINE PLC | 43,600 | 1,676,420 | ||||||||||
GOLDMAN SACHS GROUP INC/THE | 45,674 | 7,936,314 | ||||||||||
1,788 | 1,141,406 | |||||||||||
11,793 | 7,175,097 | |||||||||||
GRAINGER W.W. INC | 1,138 | 244,681 | ||||||||||
HCA HOLDINGS INC | 48,000 | 3,713,280 | ||||||||||
HALLIBURTON COMPANY | 9,886 | 349,470 | ||||||||||
HARLEY-DAVIDSON INC | 8,438 | 463,246 | ||||||||||
HASBRO INC | 24,000 | 1,731,360 | ||||||||||
HERSHEY COMPANY THE | 4,000 | 367,520 | ||||||||||
HILLENBRAND INDUSTRIES INC | 57,000 | 2,963,430 | ||||||||||
HOME DEPOT INC | 9,466 | 1,093,228 | ||||||||||
HONEYWELL INTERNATIONAL INC | 21,871 | 2,070,965 | ||||||||||
HORMEL FOODS CORP | 6,524 | 413,034 | ||||||||||
HYATT HOTELS CORP | 64,000 | 3,014,400 | ||||||||||
ICICI BANK LTD | 211,056 | 1,768,649 |
Page 55
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
ILLINOIS TOOL WORKS INC | 5,763 | 474,353 | ||||||||||
INTEL CORPORATION | 26,324 | 793,405 | ||||||||||
INTERCONTINENTALEXCHANGE INC | 36,111 | 8,485,724 | ||||||||||
INTERNATIONAL BUSINESS MACHINE | 3,628 | 525,951 | ||||||||||
INTUITIVE SRGCAL | 280 | 128,682 | ||||||||||
JPMORGAN CHASE & CO | 173,833 | 10,598,598 | ||||||||||
JOHNSON & JOHNSON | 34,330 | 3,204,706 | ||||||||||
KB FINANCIAL GROUP INC | 9,917 | 291,461 | ||||||||||
KT CORPORATION | 41,525 | 542,732 | ||||||||||
KIMBERLY-CLARK CORPORATION | 20,716 | 2,258,873 | ||||||||||
KINDER MORGAN HOLDCO LLC | 28,000 | 775,040 | ||||||||||
KINROSS GOLD CORP | 124,927 | 214,874 | ||||||||||
ESTEE LAUDER INC | 2,470 | 199,280 | ||||||||||
ELI LILLY AND COMPANY | 41,128 | 3,442,002 | ||||||||||
MASTERCARD INC | 9,022 | 813,063 | ||||||||||
MAXIM INTEG PROD INC | 16,000 | 534,400 | ||||||||||
MCCORMICK & COMPANY INCORPORAT | 4,236 | 348,114 | ||||||||||
MERCK & CO INC | 16,200 | 800,118 | ||||||||||
METHANEX CORPORATION | 65,000 | 2,155,400 | ||||||||||
METLIFE INC | 52,000 | 2,451,800 | ||||||||||
MICROSOFT CORP | 148,296 | 6,563,581 | ||||||||||
MONDELEZ INTERNATIONAL INC | 70,000 | 2,930,900 | ||||||||||
MORGAN STANLEY | 13,546 | 426,699 | ||||||||||
MOTOROLA SOLUTIONS INC | 74,000 | 5,060,120 | ||||||||||
NCR CORP | 120,000 | 2,730,000 | ||||||||||
NATIONAL FUEL GAS CO | 50,000 | 2,499,000 | ||||||||||
NATIONAL OILWELL VARCO INC | 3,351 | 126,165 | ||||||||||
NEWS CORP | 24,548 | 309,796 | ||||||||||
NEWS CORP | 8,100 | 103,842 | ||||||||||
NEXTERA ENERGY INC | 24,000 | 2,341,200 | ||||||||||
NIKE INC | 5,907 | 726,384 | ||||||||||
NIKON CORP. | 32,900 | 396,124 | ||||||||||
NORTHERN TRUST COMPANY | 3,533 | 240,809 | ||||||||||
NUCOR CORP | 6,996 | 262,700 | ||||||||||
OCCIDENTAL PETROLEUM CORPORATI | 12,652 | 836,930 | ||||||||||
LUKOIL | 9,670 | 328,393 | ||||||||||
OMNICOM GROUP INC | 44,000 | 2,899,600 | ||||||||||
ONEOK INC | 18,000 | 579,600 | ||||||||||
ORACLE CORPORATION | 24,386 | 880,822 | ||||||||||
CBS OUTDOOR AMERICAS INC | 43,654 | 908,003 | ||||||||||
PNC FINANCIAL SERVICES GROUP I | 30,943 | 2,760,116 | ||||||||||
PACCAR INC | 6,052 | 315,733 | ||||||||||
PAINTED PONY PETROLEUM LTD | 20,200 | 82,264 | ||||||||||
PARKER HANNIFIN CORP | 3,854 | 374,994 | ||||||||||
PAYPAL HOLDINGS INC | 132,000 | 4,097,280 |
Page 56
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
PEPSICO INC | 6,362 | 599,937 | ||||||||||
PETROLEO BRASILEIRO SA | 46,501 | 202,279 | ||||||||||
PFIZER INC | 226,263 | 7,106,921 | ||||||||||
PHILIP MORRIS INTERNATIONAL IN | 8,592 | 681,603 | ||||||||||
PITNEY BOWES INC. | 202,000 | 4,009,700 | ||||||||||
PLAINS GP | 48,500 | 848,750 | ||||||||||
PRAXAIR INC | 5,495 | 559,721 | ||||||||||
PRECISION CASTPARTS CORP | 837 | 192,267 | ||||||||||
PROCTER & GAMBLE COMPANY | 54,646 | 3,931,233 | ||||||||||
PROLOGIS INC | 69,700 | 2,711,330 | ||||||||||
PUBLIC STORAGE, INC. | 3,782 | 800,385 | ||||||||||
QORVO INC | 1,780 | 80,189 | ||||||||||
QUALCOMM INCORPORATED | 6,730 | 361,603 | ||||||||||
RALPH LAUREN CORP | 2,573 | 304,026 | ||||||||||
RAYTHEON COMPANY | 35,324 | 3,859,500 | ||||||||||
REGAL ENTERTAINMENT GROUP | 62,000 | 1,158,780 | ||||||||||
ROCKWELL AUTOMATION INC | 19,218 | 1,950,050 | ||||||||||
ROCKWELL COLLINS INC. | 4,554 | 372,699 | ||||||||||
ROYAL DUTCH SHELL PLC | 21,000 | 995,190 | ||||||||||
ST JUDE MEDICAL INC | 7,054 | 445,037 | ||||||||||
SANOFI | 11,500 | 545,905 | ||||||||||
HENRY SCHEIN INC | 18,000 | 2,388,960 | ||||||||||
SCHLUMBERGER LTD | 73,962 | 5,101,159 | ||||||||||
CHARLES SCHWAB CORPORATIO | 72,575 | 2,072,742 | ||||||||||
SCOTTS COMPANY THE | 49,000 | 2,980,180 | ||||||||||
SEALED AIR CORP | 113,000 | 5,297,440 | ||||||||||
SEMPRA ENERGY | 19,300 | 1,866,696 | ||||||||||
SHERWIN-WILLIAMS COMPANY (THE) | 1,535 | 341,967 | ||||||||||
SHINHAN FINANC | 5,230 | 182,004 | ||||||||||
SIEMENS AG | 11,200 | 1,000,160 | ||||||||||
SIGMA-ALDRICH CORPORATION | 86 | 11,947 | ||||||||||
SIMON PROP GRP INC | 19,073 | 3,504,092 | ||||||||||
SKYWORKS SOLUTIONS INC | 4,100 | 345,261 | ||||||||||
SOUTHERN COMPANY (THE) | 31,163 | 1,392,986 | ||||||||||
STANLEY BLACK & DECKER INC | 60,348 | 5,852,549 | ||||||||||
STARBUCKS CORP | 12,400 | 704,816 | ||||||||||
STARWOOD PROPERTY TRUST INC | 110,000 | 2,257,200 | ||||||||||
STERICYCLE, INC. | 4,130 | 575,350 | ||||||||||
STRYKER CORP | 6,878 | 647,220 | ||||||||||
SYSCO CORP | 13,528 | 527,186 | ||||||||||
TJX COS INC | 7,920 | 565,646 | ||||||||||
TAIWAN SEMICONDUCTOR MANUFACTU | 41,960 | 870,670 | ||||||||||
TARGET CORPORATION | 7,442 | 585,388 | ||||||||||
TERRAFORM POWER INC | 40,900 | 581,598 | ||||||||||
TEXAS INSTRUMENTS INCORPORATED | 27,516 | 1,362,592 |
Page 57
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
3M CO | 36,684 | 5,200,691 | ||||||||||
NEWS CORP-CL A | 173,000 | 4,667,540 | ||||||||||
US BANCORP | 2,259 | 92,642 | ||||||||||
UNION PACIFIC CORPORATION | 7,024 | 620,992 | ||||||||||
UNITED PARCEL SERVICE INC | 5,570 | 549,703 | ||||||||||
UNITED TECHNOLOGIES CORPORATN | 3,496 | 311,109 | ||||||||||
UNITEDHEALTH GROUP INCORPORATE | 6,803 | 789,216 | ||||||||||
URANIUM PARTICIPATION CORP | 50,600 | 186,820 | ||||||||||
URBAN OUTFITTERS, INC. | 4,205 | 123,543 | ||||||||||
VF CORPORATION | 5,265 | 359,126 | ||||||||||
VENTAS, INC. | 20,001 | 1,121,228 | ||||||||||
VIPSHOP HOLDINGS LTD | 60,770 | 1,020,936 | ||||||||||
VISA INC | 14,638 | 1,019,683 | ||||||||||
WISCONSIN ENERGY CORPORATION | 42,100 | 2,198,462 | ||||||||||
WAL-MART STORES INC | 8,572 | 555,808 | ||||||||||
WELLS FARGO & COMPANY | 150,104 | 7,707,840 | ||||||||||
WEYERHAEUSER COMPANY | 66,900 | 1,829,046 | ||||||||||
WISDOMTREE JAPAN DIVIDEND FUND | 509,946 | 24,813,972 | ||||||||||
WISDOMTREE INTERNATIONAL HEDGE | 477,550 | 26,098,108 | ||||||||||
CHINA LIFE INSURANCE CO LTD (C | 186,000 | 643,196 | ||||||||||
ACCENTURE LTD | 5,462 | 536,696 | ||||||||||
INDO TAMBANGRAYA MEGAH PT | 153,100 | 103,198 | ||||||||||
PARAMOUNT BED HOLDINGS CO LTD | 9,100 | 269,737 | ||||||||||
CRH PLC | 31,880 | 840,733 | ||||||||||
UNICREDITO ITALIANO S.P.A. | 63,655 | 395,776 | ||||||||||
ASML HOLDING NV | 4,058 | 354,045 | ||||||||||
GLP J-REIT | 557 | 532,514 | ||||||||||
LEG IMMOBILIEN AG | 6,223 | 512,716 | ||||||||||
ZALANDO SE | 37,944 | 1,253,708 | ||||||||||
INFINEON TECHNOLOGIES AG | 65,894 | 739,587 | ||||||||||
TELEFONICA SA | 42,987 | 519,669 | ||||||||||
SAFRAN SA | 12,291 | 923,344 | ||||||||||
LAGARDERE S.C.A. | 79,000 | 2,181,666 | ||||||||||
THALES SA | 6,152 | 426,932 | ||||||||||
ANGLO AMERICAN PLC | 36,917 | 308,063 | ||||||||||
AQUARIUS PLATINUM LTD | 385,342 | 38,232 | ||||||||||
HOME RETAIL GROUP | 79,652 | 164,088 | ||||||||||
BERENDSEN PLC | 20,289 | 308,250 | ||||||||||
DAPHNE INTERNATIONAL HOLDINGS | 854,000 | 193,939 | ||||||||||
HOLLYSYS AUTOMATION TECHNOLOGI | 27,630 | 482,972 | ||||||||||
KINGBOARD LAMINATES HOLDINGS L | 530,000 | 214,734 | ||||||||||
LONMIN PLC | 99,281 | 24,438 | ||||||||||
MARKIT LTD | 27,230 | 789,670 | ||||||||||
MEDTRONIC PLC | 10,970 | 734,332 | ||||||||||
MICHAEL KORS HOLDINGS LTD | 2,903 | 122,623 |
Page 58
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
NEW WORLD DEPARTMENT STORE CHI | 544,000 | 91,953 | ||||||||||
SANDS CHINA LTD | 321,200 | 965,666 | ||||||||||
SMURFIT KAPPA GROUP PLC | 20,461 | 548,150 | ||||||||||
GARMIN LTD. | 4,637 | 166,376 | ||||||||||
HOLCIM LTD | 10,645 | 556,163 | ||||||||||
GREE INC | 50,300 | 224,694 | ||||||||||
ISUZU MOTORS LTD | 31,480 | 314,103 | ||||||||||
ITOCHU CORP | 26,200 | 275,093 | ||||||||||
JGC CORP | 11,250 | 148,744 | ||||||||||
KINDEN CORP | 30,480 | 385,311 | ||||||||||
NEC CORP | 213,000 | 652,703 | ||||||||||
NISHIMATSUYA CHAIN CO., LTD. | 29,200 | 269,899 | ||||||||||
NITTO DENKO CORP | 4,100 | 243,915 | ||||||||||
SUMITOMO BAKELITE CO., LTD. | 75,000 | 274,287 | ||||||||||
MOBILEYE NV | 19,348 | 879,947 | ||||||||||
ROYAL PHILIPS ELECTRONICS N.V. | 98,610 | 2,316,495 | ||||||||||
WOLTERS KLUWER NV | 19,751 | 606,514 | ||||||||||
SINOVAC BIOTECH LTD | 36,358 | 184,699 | ||||||||||
ARM HOLDINGS PLC | 80,835 | 1,160,165 | ||||||||||
BALFOUR BEATTY PLC | 203,137 | 773,870 | ||||||||||
BRITISH SKY BROADCASTING GRP P | 131,776 | 2,083,904 | ||||||||||
DIAGEO PLC | 37,192 | 997,439 | ||||||||||
BRITISH AMER TOBACCO PLC | 41,068 | 2,266,228 | ||||||||||
SPECTRIS PLC | 25,909 | 663,644 | ||||||||||
HALMA PLC | 34,677 | 378,982 | ||||||||||
STANDARD CHARTERED PLC | 50,177 | 487,046 | ||||||||||
HAYS PLC | 139,792 | 324,613 | ||||||||||
IMPERIAL TOBACCO GRP PLC | 28,000 | 1,447,556 | ||||||||||
JARDINE LLOYD THOMPSON GROUP P | 21,278 | 328,432 | ||||||||||
HSBC HOLDINGS PLC | 166,267 | 1,255,991 | ||||||||||
INTU PROPERTIES PLC | 154,637 | 772,043 | ||||||||||
PRUDENTIAL PLC | 54,282 | 1,145,787 | ||||||||||
BP PLC | 208,094 | 1,052,803 | ||||||||||
SIG PLC | 79,179 | 208,210 | ||||||||||
ULTRA ELECTRONICS HOLDINGS | 10,112 | 262,383 | ||||||||||
SMITH & NEPHEW PLC | 114,359 | 1,997,288 | ||||||||||
VICTREX PLC | 8,329 | 223,562 | ||||||||||
ASTRAZENECA PLC | 56,475 | 3,577,085 | ||||||||||
BARRICK GOLD CORPORATION | 23,100 | 146,281 | ||||||||||
CANADIAN NATURAL RESOURCES LTD | 34,900 | 676,550 | ||||||||||
NORTHERN DYNASTY MINERALS | 16,100 | 4,803 | ||||||||||
ENCANA CORP | 16,400 | 105,076 | ||||||||||
BANK OF IRELAND | 1,393,294 | 541,232 | ||||||||||
BRITISH TELECOM PLC | 155,000 | 985,163 | ||||||||||
IMPALA PLATINUM HOLDINGS LTD | 56,585 | 157,228 |
Page 59
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
LOREAL SA | 11,666 | 2,019,088 | ||||||||||
GFI INFORMATIQUE | 6,940 | 45,164 | ||||||||||
INTESA SANPAOLO SPA | 193,706 | 682,404 | ||||||||||
HELLENIC EXCHANGES SA | 45,668 | 252,336 | ||||||||||
BANCA EMILIA | 31,206 | 256,724 | ||||||||||
BELIMO HOLDING AG | 101 | 211,903 | ||||||||||
CAP GEMINI SA | 3,600 | 319,953 | ||||||||||
CRH PLC | 33,447 | 877,378 | ||||||||||
ELLAKTOR SA | 52,734 | 90,062 | ||||||||||
UNITED INTERNET | 12,086 | 610,670 | ||||||||||
MAGYAR TELEKOM TELECOMMUNICATI | 192,695 | 267,822 | ||||||||||
INFICON HLDG AG | 452 | 125,825 | ||||||||||
PERNOD-RICARD SA | 9,622 | 968,583 | ||||||||||
HORNBACH HOLDING | 6,698 | 538,318 | ||||||||||
RENAULT S.A. | 3,563 | 254,541 | ||||||||||
ANHEUSER-BUSCH INBEV NV | 20,194 | 2,139,644 | ||||||||||
RWE AG | 12,886 | 145,998 | ||||||||||
LUXOTTICA GRP SPA | 12,251 | 847,861 | ||||||||||
SCHNEIDER ELECTRIC SE | 19,611 | 1,094,758 | ||||||||||
STOREBRAND ASA | 98,389 | 321,812 | ||||||||||
TRELLEBORG AB | 40,313 | 636,391 | ||||||||||
VALEO SA | 6,151 | 829,076 | ||||||||||
E.ON SE | 25,533 | 218,804 | ||||||||||
METRO AG | 10,101 | 278,386 | ||||||||||
HELLENIC TELECOM ORG S.A. | 164,769 | 1,434,603 | ||||||||||
BAYER AG | 8,050 | 1,028,426 | ||||||||||
BEIERSDORF AG | 15,764 | 1,393,120 | ||||||||||
ORANGE SA | 85,998 | 1,297,856 | ||||||||||
SAMPO OYJ | 13,338 | 644,376 | ||||||||||
DEUTSCHE LUFTHANSA AG | 38,956 | 540,297 | ||||||||||
RHEINMETALL AG | 19,788 | 1,210,000 | ||||||||||
NORDEA BANK AB | 55,143 | 612,769 | ||||||||||
AKZO NOBEL NV | 6,173 | 399,587 | ||||||||||
SALZGITTER AG | 9,818 | 243,188 | ||||||||||
POSTNL NV | 128,700 | 468,049 | ||||||||||
BANCO BILBAO VIZCAYA ARGENTARI | 84,915 | 718,481 | ||||||||||
MOBISTAR SA | 15,607 | 335,535 | ||||||||||
UCB SA | 21,884 | 1,706,297 | ||||||||||
ALTEN SA | 5,813 | 297,867 | ||||||||||
SOPRA GROUP SA | 4,796 | 530,964 | ||||||||||
VISCOFAN SA | 3,575 | 215,013 | ||||||||||
TUI AG | 28,722 | 524,196 | ||||||||||
SANOFI | 21,396 | 2,027,452 | ||||||||||
AGFA-GEVAERT NV | 57,262 | 206,202 | ||||||||||
WIENERBERGER AG | 44,061 | 773,404 |
Page 60
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
VICAT SA | 3,638 | 226,883 | ||||||||||
BUZZI UNICEM SPA | 24,614 | 410,482 | ||||||||||
SUEDZUCKER AG | 21,574 | 391,091 | ||||||||||
FOMENTO DE | 28,121 | 207,488 | ||||||||||
DEVOTEAM SA | 2,646 | 86,540 | ||||||||||
BEKAERT SA NV | 9,048 | 237,599 | ||||||||||
KONINKLIJKE KPN NV | 151,999 | 567,373 | ||||||||||
LINDT & SPRUENGLI AG | 38 | 222,260 | ||||||||||
SOCIETE GENERALE-A | 12,671 | 563,639 | ||||||||||
GIVAUDAN S.A. | 141 | 228,723 | ||||||||||
METROPOLE TELEVISION SA | 15,882 | 303,154 | ||||||||||
AICHI STEEL CORP | 17,000 | 63,875 | ||||||||||
AISAN INDUSTRY CO LTD | 22,700 | 207,165 | ||||||||||
AMANO CORP | 18,400 | 211,401 | ||||||||||
NET ONE SYSTEMS | 33,600 | 189,651 | ||||||||||
ASAHI BREWERIES, LTD. | 9,300 | 300,514 | ||||||||||
NISSIN KOGYO | 41,600 | 621,056 | ||||||||||
BENESSE HOLDINGS INC | 4,400 | 117,380 | ||||||||||
AVEX GROUP HOLDINGS INC | 12,300 | 139,571 | ||||||||||
MOSHI MOSHI HOTLINE INC | 10,600 | 109,306 | ||||||||||
FUNAI ELE CO., LTD. | 49,180 | 452,112 | ||||||||||
ALPHA SYSTEMS INC | 2,800 | 42,994 | ||||||||||
CANON INC | 26,600 | 767,139 | ||||||||||
CHUBU STEEL PLATE CO. LTD. | 16,000 | 64,794 | ||||||||||
ITOCHU TECHNO-SOLUTIONS CORP | 17,000 | 361,249 | ||||||||||
KDDI CORP | 39,200 | 872,930 | ||||||||||
DAH SING FINANCIAL | 25,200 | 137,542 | ||||||||||
EXEDY CORP | 12,000 | 264,919 | ||||||||||
DAITO TR CONSTR CO., LTD. | 4,550 | 460,642 | ||||||||||
DAINIPPON SCREEN MANUFACTURING | 60,000 | 291,571 | ||||||||||
DAIICHIKOSHO CO LTD | 7,700 | 272,279 | ||||||||||
MITSUBISHI UFJ LEASE & FINANCE | 132,200 | 578,406 | ||||||||||
TV ASAHI CORP | 23,140 | 352,418 | ||||||||||
CAWACHI LTD. | 11,800 | 193,407 | ||||||||||
ADASTRIA HOLDINGS CO LTD | 5,200 | 310,441 | ||||||||||
EIGHTEENTH BANK LIMITED | 15,000 | 46,216 | ||||||||||
EISAI CO LTD | 42,800 | 2,512,287 | ||||||||||
ENN ENERGY HOLDINGS LTD | 107,000 | 512,906 | ||||||||||
MITSUBISHI TOKYO FINANCIAL GRP | 514,200 | 3,075,798 | ||||||||||
EN-JAPAN INC. | 10,100 | 269,019 | ||||||||||
FUJIMI INC | 7,000 | 94,159 | ||||||||||
FUJI HEAVY IND LTD | 8,300 | 296,822 | ||||||||||
FUJI MACHINE MFG. CO., LTD. | 6,700 | 58,628 | ||||||||||
FUJITSU LTD | 124,000 | 536,835 | ||||||||||
PROTO CORP | 4,800 | 59,997 |
Page 61
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
HIS | 6,100 | 198,384 | ||||||||||
RESOLUTE MINING LTD | 580,247 | 126,318 | ||||||||||
PAL CO LTD | 15,850 | 457,905 | ||||||||||
HISAKA WORKS LTD | 14,800 | 110,229 | ||||||||||
HITACHI CHEM CO LTD | 13,300 | 182,234 | ||||||||||
HONDA MOTOR CO LTD | 22,900 | 676,684 | ||||||||||
HOSIDEN CORP | 85,800 | 452,050 | ||||||||||
INABA DENKISANGYO CO LTD | 8,800 | 264,518 | ||||||||||
JAPAN DIGITAL LABORATORY CO LT | 19,700 | 270,913 | ||||||||||
JAPAN STEEL WORKS LTD/THE | 85,000 | 268,275 | ||||||||||
JSR CORP | 25,500 | 365,791 | ||||||||||
JAPAN TOBACCO INC. | 9,730 | 300,191 | ||||||||||
AEON DELIGHT CO. LTD. | 11,250 | 324,072 | ||||||||||
KEIHIN CORP | 27,100 | 381,502 | ||||||||||
KURODA ELEC CO. LTD. | 37,700 | 696,930 | ||||||||||
TOKIO MARINE HOLDINGS INC | 9,800 | 363,475 | ||||||||||
CMIC HOLDINGS CO LTD | 10,400 | 147,622 | ||||||||||
SUMITOMO MITSUI FIN GRP INC | 32,820 | 1,236,453 | ||||||||||
MARUICHI STEEL TUBE LTD. | 16,100 | 362,961 | ||||||||||
MIZUHO FINANCIAL GROUP | 362,800 | 675,223 | ||||||||||
MIMASU SEMICONDUCTOR IND CO., | 11,700 | 106,581 | ||||||||||
MITSUI CHEMICALS INC | 86,000 | 273,586 | ||||||||||
MITSUMI ELEC CO., LTD. | 10,100 | 55,659 | ||||||||||
NAMURA SHIPBUILDING CO LTD | 23,100 | 167,418 | ||||||||||
PANAHOME CORP | 33,040 | 213,526 | ||||||||||
NETUREN CO LTD | 18,500 | 132,226 | ||||||||||
NICHICON CORP | 55,110 | 394,350 | ||||||||||
NINTENDO CO LTD | 11,190 | 1,874,265 | ||||||||||
NSD CO LTD | 21,270 | 260,358 | ||||||||||
NIPPO CORP | 17,400 | 295,654 | ||||||||||
NTT CORP | 15,190 | 529,903 | ||||||||||
HITACHI HIGH-TECHNOLOGIES CORP | 6,800 | 146,317 | ||||||||||
NIPPON TELEVISION HOLDINGS INC | 25,300 | 406,862 | ||||||||||
OITA BANK LTD | 24,000 | 99,395 | ||||||||||
ONO PHARM CO., LTD. | 19,090 | 2,252,258 | ||||||||||
MELCO HOLDINGS INC | 12,800 | 208,836 | ||||||||||
PIONEER CORP | 162,200 | 350,769 | ||||||||||
QANTAS AIRWAYS LTD | 74,637 | 194,979 | ||||||||||
JAPAN PETROLEUM EXPLORATION CO | 24,100 | 632,860 | ||||||||||
HONEYS CO LTD | 19,970 | 167,910 | ||||||||||
T&D HOLDINGS INC | 114,100 | 1,338,066 | ||||||||||
ROHM CO LTD. | 5,800 | 256,185 | ||||||||||
ANGLO PLATINUM LTD | 11,015 | 182,492 | ||||||||||
SAN-IN GODO BK, LTD. | 19,900 | 193,907 | ||||||||||
SANKYO CO LTD | 8,350 | 296,309 |
Page 62
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
SHIMAMURA CO., LTD. | 5,500 | 590,573 | ||||||||||
SHINKAWA LTD | 24,310 | 132,952 | ||||||||||
SHINKO ELEC INDUS CO., LTD. | 53,500 | 299,741 | ||||||||||
SONY CORP | 42,700 | 1,033,407 | ||||||||||
STAR MICRONICS CO., LTD. | 13,200 | 179,211 | ||||||||||
SUZUKEN CO LTD | 4,950 | 164,291 | ||||||||||
TACHI-S CO., LTD. | 17,900 | 232,260 | ||||||||||
TAIKISHA LTD | 7,480 | 168,630 | ||||||||||
TAKEDA PHARMACEUTICAL CO LTD | 38,700 | 1,692,247 | ||||||||||
TAKUMA CO LTD | 31,000 | 233,215 | ||||||||||
TOCHIGI BANK LTD/THE | 26,000 | 142,195 | ||||||||||
TOKAI RUBBER INDUSTRIES INC | 28,200 | 244,880 | ||||||||||
TOKAI RIKA CO., LTD. | 24,550 | 503,648 | ||||||||||
TOKYO SEIMITSU CO., LTD. | 24,500 | 452,298 | ||||||||||
TOKYO OHKA KOGYO CO LTD | 5,650 | 149,075 | ||||||||||
TOKYO STEEL MANU CO., LTD. | 41,100 | 223,405 | ||||||||||
TOSHIBA MACH | 132,000 | 412,207 | ||||||||||
TOYO ENGR CORP | 106,000 | 254,899 | ||||||||||
TOYOTA INDUSTRIES CORPORATION | 9,230 | 436,203 | ||||||||||
TOYODA GOSEI CO LTD | 18,700 | 365,834 | ||||||||||
TOYOTA BOSHOKU CORP | 19,000 | 320,620 | ||||||||||
USHIO INC | 42,800 | 512,106 | ||||||||||
XEBIO CO., LTD. | 26,900 | 482,006 | ||||||||||
YAMANASHI CHUO BANK LTD/THE | 25,000 | 130,046 | ||||||||||
YAMATO KOGYO CO LTD | 22,100 | 441,022 | ||||||||||
YAMAZEN CORP | 25,200 | 207,256 | ||||||||||
YODOGAWA STEEL WORKS LTD. | 8,800 | 163,707 | ||||||||||
H LUNDBECK A/S | 59,898 | 1,595,308 | ||||||||||
NOVARTIS AG | 31,712 | 2,901,497 | ||||||||||
PEUGEOT SA | 15,047 | 225,993 | ||||||||||
GREEK ORGANISATION OF FOOTBALL | 51,700 | 466,298 | ||||||||||
ROCHE HOLDING AG | 16,121 | 4,240,198 | ||||||||||
ADECCO SA | 5,799 | 422,862 | ||||||||||
TECAN GROUP AG | 3,029 | 425,319 | ||||||||||
MICRONAS SEMICONDUCTOR HOLD | 24,941 | 95,721 | ||||||||||
STATOILHYDRO ASA | 10,045 | 146,141 | ||||||||||
ENI SPA | 43,654 | 684,639 | ||||||||||
ING GROEP NV | 103,280 | 1,458,372 | ||||||||||
ESSILOR INTL | 5,843 | 710,273 | ||||||||||
BNP PARIBAS SA | 34,337 | 2,010,722 | ||||||||||
ORSZAGPS TAKAREKPENZTAR ES KER | 15,411 | 296,851 | ||||||||||
SAINT GOBAIN | 39,897 | 1,723,951 | ||||||||||
KONTRON | 23,299 | 65,851 | ||||||||||
BANCHE POPOLARI UNITE SCRL | 95,013 | 672,409 | ||||||||||
HEINEKEN N.V. | 21,913 | 1,767,018 |
Page 63
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
AMVIG HOLDINGS LTD | 370,000 | 153,728 | ||||||||||
C&C GROUP PLC | 89,834 | 355,182 | ||||||||||
J SAINSBURY PLC | 145,228 | 574,159 | ||||||||||
BIOMERIEUX SA | 1,902 | 205,368 | ||||||||||
PACIFIC BASIN SHIPPING LTD | 736,000 | 223,173 | ||||||||||
BOOKER GROUP PLC | 338,258 | 947,384 | ||||||||||
GENDAI AGENCY INC | 7,400 | 38,803 | ||||||||||
ROYAL DUTCH SHELL PLC | 14,689 | 347,770 | ||||||||||
WELLNET CORP | 10,300 | 202,362 | ||||||||||
DENA | 35,000 | 648,478 | ||||||||||
DOLPHIN CAPITAL INVESTORS LTD | 984,899 | 223,781 | ||||||||||
CST MINING GROUP LTD | 2,416,000 | 24,939 | ||||||||||
KYOKUTO SEC | 20,150 | 268,689 | ||||||||||
ESSENTRA PLC | 30,576 | 364,036 | ||||||||||
COBHAM PLC | 93,681 | 405,418 | ||||||||||
NATIONAL GRID PLC | 103,065 | 1,434,566 | ||||||||||
KONE OYJ | 58,650 | 2,225,914 | ||||||||||
GDF SUEZ | 31,023 | 500,049 | ||||||||||
MIRAIAL CO LTD | 11,400 | 103,277 | ||||||||||
FINMECCANICA SPA | 36,655 | 457,852 | ||||||||||
SEVEN & I HLDG | 24,800 | 1,127,301 | ||||||||||
DAIICHI SANKYO | 16,900 | 292,097 | ||||||||||
NAMCO BANDAI HOLDINGS INC | 7,900 | 182,716 | ||||||||||
HIKMA PHARMACEUTICALS PLC | 9,992 | 345,087 | ||||||||||
LEM HLDGS AG | 179 | 127,687 | ||||||||||
EFG INTERNATIONAL | 43,411 | 462,055 | ||||||||||
QINETIQ GROUP PLC | 98,084 | 335,032 | ||||||||||
AIZAWA SECURITIES CO LTD | 27,400 | 165,409 | ||||||||||
DEUTSCHE WOHNEN AG | 18,242 | 486,361 | ||||||||||
INPEX CORP | 33,100 | 293,924 | ||||||||||
SCHINDLER HOLDING AG | 3,522 | 504,636 | ||||||||||
G-RESOURCES GROUP LTD | 6,957,000 | 180,432 | ||||||||||
LEGRAND S.A. | 22,305 | 1,181,035 | ||||||||||
EUROBANK PROPERTIES REAL ESTAT | 36,199 | 321,641 | ||||||||||
UNILEVER N.V. | 44,000 | 1,762,737 | ||||||||||
ZUMTOBEL | 2,334 | 51,234 | ||||||||||
KUEHNE & NAGEL INTERNATIONAL A | 4,929 | 631,574 | ||||||||||
SPAR NORD BANK A/S | 17,689 | 201,154 | ||||||||||
TOTAL SA | 23,072 | 1,035,316 | ||||||||||
USG PEOPLE | 16,990 | 231,090 | ||||||||||
TAKATA CORP | 17,600 | 192,657 | ||||||||||
GALP ENERGIA SA | 148,276 | 1,456,350 | ||||||||||
KYOEI STEEL LTD | 15,400 | 240,969 | ||||||||||
BANCA GENERALI | 13,414 | 377,479 | ||||||||||
ELECTROLUX AB | 34,357 | 966,759 |
Page 64
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
TS TECH CO LTD | 8,370 | 227,132 | ||||||||||
RAUBEX | 96,392 | 121,928 | ||||||||||
GEBERIT AG | 2,938 | 895,141 | ||||||||||
DAMPSKIBSSELSKABET NORDEN A/S | 12,786 | 281,614 | ||||||||||
DSV DE SAMMENSLUT VOGN | 37,803 | 1,410,135 | ||||||||||
VINCI S.A. | 12,713 | 804,765 | ||||||||||
ALMIRALL SA | 19,666 | 350,137 | ||||||||||
DAETWYLER HLDG AG | 1,195 | 161,682 | ||||||||||
DIASORIN SPA | 8,178 | 357,114 | ||||||||||
SONY FINANCIAL | 23,000 | 376,020 | ||||||||||
RECKITT BENCKISER GROUP PLC | 27,585 | 2,501,631 | ||||||||||
CAIXABANK SA | 148,790 | 572,169 | ||||||||||
IBERDROLA SA | 54,147 | 359,446 | ||||||||||
HAMBURGER HAFEN UND LOGISTIK A | 9,132 | 148,470 | ||||||||||
INVESCO LTD | 11,347 | 354,367 | ||||||||||
GROUPE EUROTUNNEL SA | 36,438 | 495,002 | ||||||||||
WH SMITH PLC | 21,942 | 519,821 | ||||||||||
SUEZ ENVIRONNEMENT SAS | 29,201 | 522,508 | ||||||||||
HENDERSON GROUP PLC | 223,442 | 880,670 | ||||||||||
TONGYANG LIFE INSURANCE | 16,242 | 194,581 | ||||||||||
CLOETTA AB | 41,577 | 118,479 | ||||||||||
LYONDELLBASELL INDUSTRIES NV | 13,700 | 1,142,032 | ||||||||||
GREATVIEW ASEPTIC PACKAGING CO | 1,324,440 | 616,929 | ||||||||||
GATEGROUP HOLDING AG | 13,870 | 466,308 | ||||||||||
HARUM ENERGY TBK PT | 722,500 | 41,673 | ||||||||||
GRIFOLS INC | 53,165 | 2,406,055 | ||||||||||
NORMA GROUP AG | 4,838 | 237,213 | ||||||||||
NXP SEMICONDUCTORS NV | 20,438 | 1,779,537 | ||||||||||
DELTA LLOYD NV | 52,189 | 437,095 | ||||||||||
CDON GROUP AB | 77,177 | 96,620 | ||||||||||
BRITISH AIRWAYS PLC | 71,156 | 633,767 | ||||||||||
SALVATORE FERRAGAMO ITALIA SPA | 16,299 | 433,557 | ||||||||||
DAI-ICHI LIFE INSURANCE CO. LT | 27,800 | 439,522 | ||||||||||
SUPERGROUP PLC | 15,645 | 322,770 | ||||||||||
FORTIS | 15,291 | 626,502 | ||||||||||
JAPAN AIRLINES CO LTD | 9,700 | 341,381 | ||||||||||
WPP GROUP PLC | 46,187 | 960,575 | ||||||||||
OSRAM LICHT AG | 2,033 | 104,877 | ||||||||||
PIRAEUS BANK SA | 681,587 | 59,344 | ||||||||||
DEUTSCHE ANNINGTON IMMOBILIEN | 37,806 | 1,213,066 | ||||||||||
COM FN RICHEMONT | 31,832 | 2,466,157 | ||||||||||
PROSIEBENSAT1 MEDIA AG | 15,775 | 771,972 | ||||||||||
IVANHOE MINES LTD | 174,800 | 84,747 | ||||||||||
HIBERNIA REIT PLC | 431,041 | 610,098 | ||||||||||
IRISH RESIDENTIAL PROPERTIES R | 729,902 | 895,414 |
Page 65
Security Description | Coupon | Maturity | Par | Fair Value | ||||||||
COMPASS GROUP | 63,103 | 1,006,513 | ||||||||||
IRISH CONTINENTAL GROUP PLC | 62,236 | 302,893 | ||||||||||
SAGA PLC | 92,822 | 288,937 | ||||||||||
TENCENT HOLDINGS LIMITED | 64,300 | 1,072,766 | ||||||||||
BRAAS MONIER BUILDING GROUP SA | 30,368 | 811,016 | ||||||||||
SSP GROUP | 38,566 | 178,350 | ||||||||||
UBS GROUP AG | 314,725 | 5,801,041 | ||||||||||
OVS SPA | 44,718 | 304,990 | ||||||||||
SPIRAX-SARCO ENGINEERING PLC | 12,882 | 546,559 | ||||||||||
NIELSEN HOLDINGS NV | 58,000 | 2,579,260 | ||||||||||
CAIRN HOMES PLC | 366,073 | 427,017 | ||||||||||
ROYAL UNIBREW | 5,648 | 211,105 | ||||||||||
ATLAS COPCO AB | 51,882 | 1,243,998 | ||||||||||
ORIFLAME HOLDING AG | 15,886 | 196,609 | ||||||||||
ASSA ABLOY AB | 145,741 | 2,604,799 | ||||||||||
HRT PARTICIPACOES EM PETROLEO | 3,600 | 1,582 | ||||||||||
ALPHA BK A.E. | 771,589 | 92,158 | ||||||||||
COMPAL ELECTRONICS INC | 428,000 | 241,768 | ||||||||||
HONG KONG EXCHANGES AND CLEARI | 22,000 | 501,881 | ||||||||||
HYNIX SEMICONDUCTOR INC | 22,541 | 638,024 | ||||||||||
KOREA ELECTRIC POWER CORPORATI | 12,511 | 517,201 | ||||||||||
STATE STREET CORP | 138,500 | 3,595,460 | ||||||||||
ALLERGAN PLC | 2,015 | 1,901,072 | ||||||||||
NEUBERGER BERMAN GREATER CHINA EQUITY FUND LTD | 19,485 | 26,814,473 | ||||||||||
CRESCENT SHORT DURATION HIGH INCOME FUND | 2,607,356 | 24,222,335 | ||||||||||
47,172,246 | 663,389,758 |
Page 66