Allied World Assurance 8K/A Results of Operations and Financial Condition | SEC 19 Feb 16

Exhibit 99.1





Allied World Assurance Company Holdings, AG

Securities Listing as at December 31, 2015



Security Description	Coupon	Maturity	Par	Fair Value

U.S Government Securities
UNITED STATES TREASURY	0.00	6/23/2016	1,700,000	$	1,698,089
UNITED STATES TREASURY	0.00	9/15/2016	20,000,000	19,955,544
UNITED STATES TREASURY	0.00	6/2/2016	5,883,000	5,872,370
UNITED STATES TREASURY	6.63	2/15/2027	625,000	886,325
UNITED STATES TREASURY	3.63	2/15/2044	300,000	337,620
UNITED STATES TREASURY	2.00	11/30/2020	900,000	909,288
UNITED STATES TREASURY	2.13	1/31/2021	10,185,000	10,336,960
UNITED STATES TREASURY	2.75	2/15/2024	4,575,000	4,765,183
UNITED STATES TREASURY	1.63	3/31/2019	10,000,000	10,064,800
UNITED STATES TREASURY	0.88	4/15/2017	18,950,000	18,947,726
UNITED STATES TREASURY	1.75	9/30/2019	10,900,000	10,975,537
UNITED STATES TREASURY	0.88	10/15/2017	36,600,000	36,489,833
UNITED STATES TREASURY	4.63	11/15/2016	825,000	852,192
UNITED STATES TREASURY	0.88	11/15/2017	18,710,000	18,648,070
UNITED STATES TREASURY	2.25	11/15/2024	4,000,000	3,997,840
UNITED STATES TREASURY	0.50	11/30/2016	93,500,000	93,284,950
UNITED STATES TREASURY	1.00	12/15/2017	4,600,000	4,593,882
UNITED STATES TREASURY	2.13	12/31/2021	905,000	913,154
UNITED STATES TREASURY	1.63	12/31/2019	19,400,000	19,403,492
UNITED STATES TREASURY	2.63	7/15/2017	7,000,000	8,385,542
UNITED STATES TREASURY	0.63	12/31/2016	4,000,000	3,994,360
UNITED STATES TREASURY	0.88	1/15/2018	2,000,000	1,991,060
UNITED STATES TREASURY	0.25	1/15/2025	2,880,000	2,762,718
UNITED STATES TREASURY	0.50	1/31/2017	60,000,000	59,797,800
UNITED STATES TREASURY	1.00	2/15/2018	19,675,000	19,617,352
UNITED STATES TREASURY	0.50	2/28/2017	4,400,000	4,383,104
UNITED STATES TREASURY	1.38	2/29/2020	3,000,000	2,965,950
UNITED STATES TREASURY	1.00	3/15/2018	36,850,000	36,729,870
UNITED STATES TREASURY	1.38	4/30/2020	2,075,000	2,048,419
UNITED STATES TREASURY	2.00	8/15/2025	7,400,000	7,215,296
UNITED STATES TREASURY	1.00	8/15/2018	24,500,000	24,342,710
UNITED STATES TREASURY	1.00	9/15/2018	1,400,000	1,390,088
UNITED STATES TREASURY	1.38	9/30/2020	11,700,000	11,498,643
UNITED STATES TREASURY	3.63	8/15/2019	18,955,000	20,349,899
UNITED STATES TREASURY	1.25	11/15/2018	1,700,000	1,697,348
UNITED STATES TREASURY	0.88	11/30/2017	10,000,000	9,970,300

Page 1



Security Description	Coupon	Maturity	Par	Fair Value
UNITED STATES TREASURY	1.13	1/15/2021	5,795,000	6,499,477
UNITED STATES TREASURY	2.38	5/31/2018	4,480,000	4,606,963
UNITED STATES TREASURY	1.50	7/31/2016	175,000	175,899
UNITED STATES TREASURY	1.38	9/30/2018	22,600,000	22,670,963
UNITED STATES TREASURY	1.00	9/30/2016	100,000	100,215
UNITED STATES TREASURY	1.00	10/31/2016	950,000	952,081
UNITED STATES TREASURY	0.88	12/31/2016	21,806,500	21,825,908
UNITED STATES TREASURY	0.88	1/31/2017	18,260,000	18,269,860
UNITED STATES TREASURY	0.88	2/28/2017	520,000	520,218
UNITED STATES TREASURY	0.63	8/31/2017	28,100,000	27,922,690
UNITED STATES TREASURY	0.63	9/30/2017	30,300,000	30,092,446
UNITED STATES TREASURY	0.75	10/31/2017	35,285,000	35,097,637
UNITED STATES TREASURY	1.00	11/30/2019	2,100,000	2,052,960
UNITED STATES TREASURY	0.75	12/31/2017	83,000,000	82,442,242
UNITED STATES TREASURY	0.38	1/15/2016	2,585,000	2,585,103
UNITED STATES TREASURY	0.13	1/15/2023	12,000,000	11,864,412
UNITED STATES TREASURY	0.88	1/31/2018	11,815,000	11,757,579
UNITED STATES TREASURY	0.38	2/15/2016	10,300,000	10,301,751
UNITED STATES TREASURY	1.13	3/31/2020	1,735,000	1,696,535
UNITED STATES TREASURY	0.25	4/15/2016	1,096,000	1,095,847
UNITED STATES TREASURY	0.25	5/15/2016	22,000,000	21,988,340
UNITED STATES TREASURY	1.38	6/30/2018	18,460,000	18,537,163
UNITED STATES TREASURY	0.38	5/31/2016	1,300,000	1,299,662
UNITED STATES TREASURY	0.88	6/15/2017	315,660,000	315,366,430
UNITED STATES TREASURY	0.50	6/30/2016	22,719,000	22,718,773
UNITED STATES TREASURY	1.63	6/30/2019	19,000,000	19,087,588
UNITED STATES TREASURY	0.88	7/15/2017	21,905,000	21,868,419
UNITED STATES TREASURY	0.13	7/15/2024	5,000,000	4,761,750
UNITED STATES TREASURY	0.50	7/31/2016	21,000,000	20,987,820
UNITED STATES TREASURY	1.00	5/15/2018	2,805,000	2,791,676
UNITED STATES TREASURY	2.13	5/15/2025	6,000,000	5,921,160
UNITED STATES TREASURY	1.88	5/31/2022	5,500,000	5,448,190
UNITED STATES TREASURY	1.50	5/31/2020	119,000,000	117,983,745
UNITED STATES TREASURY	1.13	6/15/2018	14,000,000	13,969,620
UNITED STATES TREASURY	1.63	6/30/2020	2,200,000	2,190,870
UNITED STATES TREASURY	0.63	6/30/2017	3,800,000	3,781,190
UNITED STATES TREASURY	0.88	7/15/2018	23,000,000	22,795,530
UNITED STATES TREASURY	0.63	7/31/2017	111,000	110,388
UNITED STATES TREASURY	2.00	7/31/2022	200,000	199,484
			1,396,755,500	$	1,396,411,897

U.S Government Agencies
FEDERAL HOME LOAN BANKS	1.50	5/8/2020	3,030,000	$	2,984,805
FNMA	1.60	12/24/2020	925,000	906,232
FNMA	1.88	9/18/2018	21,000,000	21,298,200

Page 2



Security Description	Coupon	Maturity	Par	Fair Value
FHLMC	1.25	5/12/2017	6,000,000	6,016,561
PRIVATE EXPORT FUNDING CORPORA	1.88	7/15/2018	67,000	67,328
PRIVATE EXPORT FUNDING CORPORA	3.55	1/15/2024	6,000,000	6,363,599
			37,022,000	$	37,636,724

Non U.S Government Securities & Agencies
CANADA GOVERNMENT	0.75	9/1/2020	4,160,000	$	2,998,009
CANADA GOVERNMENT	0.25	11/1/2017	95,000	68,106
CANADA GOVERNMENT	1.50	9/1/2017	2,100,000	1,536,926
CANADA GOVERNMENT	1.25	3/1/2018	2,660,000	1,946,160
CANADA GOVERNMENT	1.00	8/1/2016	760,000	548,791
CANADA GOVERNMENT	1.25	9/1/2018	8,300,000	6,091,905
CANADA GOVERNMENT	1.50	2/1/2017	8,275,000	6,022,146
CANADA GOVERNMENT	1.75	3/1/2019	1,970,000	1,471,040
CANADA GOVERNMENT	1.00	5/1/2016	650,000	468,738
CANADA GOVERNMENT	1.63	2/27/2019	10,500,000	10,540,216
CANADA GOVERNMENT	1.75	9/1/2019	3,000,000	2,248,823
CANADA GOVERNMENT	1.25	8/1/2017	7,439,000	5,419,958
CANADA GOVERNMENT	1.50	3/1/2020	720,000	536,634
CANADA GOVERNMENT	0.75	3/1/2021	110,000	78,805
CANADA GOVERNMENT	4.25	6/1/2018	6,160,000	4,830,662
CANADA GOVERNMENT	3.25	6/1/2021	250,000	202,667
CANADA GOVERNMENT	2.75	9/1/2016	1,000,000	730,646
CANADA GOVERNMENT	1.50	3/1/2017	4,500,000	3,277,539
ELECTRICITE DE FRANCE SA	6.50	1/26/2019	1,025,000	1,145,375
ELECTRICITE DE FRANCE SA	1.15	1/20/2017	2,295,000	2,285,871
ELECTRICITE DE FRANCE SA	2.35	10/13/2020	3,500,000	3,445,224
EXPORT-IMPORT BANK OF KOREA	1.38	9/17/2016	1,400,000	1,401,945
CANADA GOVERNMENT	0.88	2/14/2017	1,700,000	1,696,124
KREDITANSTALT FUER WIEDERAUFBA	4.38	2/9/2016	900,000	649,929
ONTARIO PROVINCE OF	2.50	9/10/2021	240,000	240,031
QUEBEC PROVINCE	2.75	8/25/2021	240,000	243,293
SINOPEC GROUP OVERSEAS DEVELOP	1.75	4/10/2017	1,265,000	1,261,287
STATOILHYDRO ASA	2.25	11/8/2019	3,560,000	3,540,341
GOVERNMENT OF SINGAPORE	4.00	9/1/2018	29,750,000	22,444,877
AIRPORT AUTHORITY HONG KONG	5.10	4/13/2016	31,000,000	4,022,642
HOUSING AND DEVELOPMENT BOARD	4.00	7/14/2016	2,500,000	1,784,249
GERMANY (FEDERAL REPUBLIC OF)	3.25	1/4/2020	2,325,000	2,871,080
GERMANY (FEDERAL REPUBLIC OF)	3.00	7/4/2020	1,300,000	1,608,866
HONG KONG MORTGAGE CORP LTD	2.00	1/11/2016	11,000,000	1,419,690
CHINA DEVELOPMENT BANK CORP (H	2.70	1/25/2016	12,000,000	1,549,596
SINGAPORE LABOUR FOUNDATION	1.30	6/8/2017	2,000,000	1,393,818
HONG KONG SPECIAL ADMIN REGION	0.44	6/19/2017	30,000,000	3,876,699
URBAN RENEWAL AUTHORITY	1.50	7/13/2017	30,000,000	3,896,763
KREDITANSTALT FUER WIEDERAUFBA	0.50	7/25/2016	10,000,000	10,907,430

Page 3



Security Description	Coupon	Maturity	Par	Fair Value
HOUSING AND DEVELOPMENT BOARD	1.11	8/30/2017	5,500,000	3,840,870
HONG KONG SPECIAL ADMIN REGION	0.25	9/18/2017	40,000,000	5,144,675
HONG KONG SPECIAL ADMIN REGION	0.27	12/18/2017	58,000,000	7,446,308
CHINA DEVELOPMENT BANK CORP (H	1.93	1/11/2018	50,000,000	6,452,295
HOUSING AND DEVELOPMENT BOARD	0.94	3/21/2016	5,000,000	3,518,063
CHINA GLOBAL	2.87	6/27/2016	15,000,000	2,271,116
AIRPORT AUTHORITY HONG KONG	1.50	9/19/2016	10,000,000	1,283,433
HOUSING AND DEVELOPMENT BOARD	1.88	11/13/2017	2,500,000	1,766,821
AUSTRALIA COMMONWEALTH OF	3.25	10/21/2018	1,630,000	1,225,350
GERMANY (FEDERAL REPUBLIC OF)	0.50	4/12/2019	6,695,000	7,453,507
EXPORT-IMPORT BANK OF CHINA	3.00	5/14/2016	5,000,000	754,497
HONG KONG SPECIAL ADMIN REGION	1.34	6/24/2019	25,000,000	3,281,549
HONG KONG SCIENCE AND TECHNOLO	2.12	7/11/2019	9,000,000	1,173,999
HONG KONG SPECIAL ADMIN REGION	1.32	12/23/2019	10,000,000	1,310,684
HONG KONG MORTGAGE CORP LTD	1.00	2/12/2018	21,500,000	2,755,636
GERMANY (FEDERAL REPUBLIC OF)	0.25	10/16/2020	1,320,000	1,453,905
NONGHYUP BANK	2.25	7/16/2018	1,000,000	695,866
MONETARY AUTHORITY OF SINGAPOR	0.00	1/19/2016	6,000,000	4,227,426
EXPORT-IMPORT BANK OF KOREA	2.07	4/6/2017	2,000,000	1,406,323
HOUSING AND DEVELOPMENT BOARD	2.10	11/3/2020	1,000,000	696,507
JAPAN (GOVERNMENT OF)	0.00	3/28/2016	6,100,000,000	50,710,809
JAPAN (GOVERNMENT OF)	0.00	4/7/2016	4,800,000,000	39,906,121
GERMANY (FEDERAL REPUBLIC OF)	0.50	10/13/2017	9,040,000	9,968,338
GERMANY (FEDERAL REPUBLIC OF)	4.00	7/4/2016	1,970,000	2,186,663
FMS WERTMANAGEMENT LT GTD	2.75	6/3/2016	22,200,000	24,408,868
UNITED KINGDOM GILT	3.75	9/7/2019	3,790,000	6,118,993
UNITED KINGDOM GILT	4.50	3/7/2019	750,000	1,228,017
UNITED KINGDOM GILT	4.75	3/7/2020	2,600,000	4,389,333
UNITED KINGDOM GILT	3.75	9/7/2020	2,400,000	3,934,252
UNITED KINGDOM GILT	1.75	1/22/2017	3,175,000	4,742,808
UNITED KINGDOM GILT	1.00	9/7/2017	4,230,000	6,271,381
UNITED KINGDOM GILT	1.25	7/22/2018	5,855,000	8,711,667
UNITED KINGDOM GILT	1.75	7/22/2019	3,320,000	4,996,598
UNITED KINGDOM GILT	2.00	7/22/2020	2,140,000	3,245,301
SWITZERLAND (CONFEDERATION OF)	4.25	6/5/2017	1,850,000	1,982,882
EUROPEAN INVESTMENT BANK	3.50	4/15/2016	9,100,000	9,987,841
AUSTRALIA COMMONWEALTH OF	3.25	10/21/2018	4,710,000	3,540,735
AUSTRALIA COMMONWEALTH OF	2.75	10/21/2019	6,405,000	4,770,725
AUSTRALIA COMMONWEALTH OF	1.75	11/21/2020	2,230,000	1,585,120
AUSTRALIA COMMONWEALTH OF	6.00	2/15/2017	28,460,000	21,617,761
AUSTRALIA COMMONWEALTH OF	4.50	4/15/2020	10,130,000	8,081,073
AUSTRALIA COMMONWEALTH OF	5.50	1/21/2018	9,340,000	7,269,494
AUSTRALIA COMMONWEALTH OF	4.25	7/21/2017	8,390,000	6,311,441
AUSTRALIA COMMONWEALTH OF	5.25	3/15/2019	8,905,000	7,119,848
GOVERNMENT OF SINGAPORE	0.50	4/1/2018	20,000,000	13,887,851

Page 4



Security Description	Coupon	Maturity	Par	Fair Value
CHINA GLOBAL	1.40	8/18/2016	17,000,000	2,558,922
CIMB BANK BHD (SINGAPORE BRANC	2.12	6/30/2018	1,000,000	691,524
CHINA DEVELOPMENT BANK CORP (H	2.95	3/20/2017	3,000,000	393,001
EXPORT-IMPORT BANK OF CHINA	3.65	5/14/2019	5,000,000	754,589
HONG KONG SPECIAL ADMIN REGION	1.02	4/10/2017	230,000,000	29,940,969
EXPORT-IMPORT BANK OF KOREA	2.04	7/24/2018	3,000,000	2,086,434
HOUSING AND DEVELOPMENT BOARD	1.23	1/30/2018	3,000,000	2,089,522
HONG KONG SPECIAL ADMIN REGION	0.53	3/19/2018	40,000,000	5,154,997
HONG KONG SPECIAL ADMIN REGION	0.79	6/18/2018	45,000,000	5,827,532
HONG KONG SPECIAL ADMIN REGION	1.52	9/25/2018	60,000,000	7,913,653
HONG KONG SPECIAL ADMIN REGION	1.17	12/19/2018	50,000,000	6,530,841
HONG KONG SPECIAL ADMIN REGION	0.37	11/21/2016	5,000,000	646,233
HONG KONG SPECIAL ADMIN REGION	4.85	6/27/2017	20,000,000	2,751,818
HONG KONG SPECIAL ADMIN REGION	1.35	3/25/2019	40,000,000	5,252,544
HONG KONG SPECIAL ADMIN REGION	3.52	12/5/2017	35,000,000	4,774,133
HONG KONG SPECIAL ADMIN REGION	3.56	6/25/2018	50,000,000	6,912,447
HONG KONG SPECIAL ADMIN REGION	1.61	12/10/2018	73,000,000	9,655,594
HONG KONG MORTGAGE CORP LTD	1.45	1/12/2018	8,500,000	1,100,363
HOUSING AND DEVELOPMENT BOARD	2.02	2/22/2016	7,000,000	4,938,216
HOUSING AND DEVELOPMENT BOARD	1.69	6/8/2016	2,500,000	1,763,631
KOREA DEVELOPMENT BANK (THE)	2.05	7/23/2018	2,750,000	1,913,088
LTA	4.17	5/10/2016	1,000,000	710,993
LTA	2.73	9/18/2020	1,500,000	1,063,476
CHINA GLOBAL	2.56	6/29/2017	5,000,000	745,553
CHINA GLOBAL	3.10	6/29/2022	6,000,000	884,616
CHINA GLOBAL	2.60	11/22/2016	3,000,000	453,990
CHINA GLOBAL	2.74	11/21/2017	6,000,000	892,745
GOVERNMENT OF SINGAPORE	2.50	6/1/2019	2,000,000	1,454,340
GOVERNMENT OF SINGAPORE	2.38	4/1/2017	7,000,000	5,026,539
GOVERNMENT OF SINGAPORE	1.13	4/1/2016	5,000,000	3,526,240
GOVERNMENT OF SINGAPORE	3.75	9/1/2016	3,500,000	2,513,368
			12,328,534,000	$	556,757,565

State & Municipal
ALABAMA FEDERAL AID HIGHWAY FI	5.00	9/1/2028	7,000,000	$	8,464,890
ANNE ARUNDEL CNTY MD	5.00	4/1/2026	5,385,000	6,728,827
AUSTIN TEX INDPT SCH DIST	5.00	8/1/2029	1,975,000	2,413,825
BALTIMORE CNTY MD	5.00	8/1/2026	7,595,000	9,534,687
BOSTON MASS	5.00	3/1/2023	5,000,000	6,146,850
BROWNSVILLE TEX UTIL SYS REV	5.00	9/1/2022	2,250,000	2,666,160
CALIFORNIA STATE OF	5.25	2/1/2023	3,000,000	3,714,180
CALIFORNIA STATE OF	7.95	3/1/2036	1,000,000	1,196,310
CENTRAL PUGET SOUND REGIONAL T	5.00	11/1/2025	2,500,000	2,983,750
CHANDLER ARIZ	4.00	7/1/2022	2,000,000	2,298,580
CYPRESS-FAIRBANKS TEX INDPT SC	5.00	2/15/2029	6,000,000	7,297,140

Page 5



Security Description	Coupon	Maturity	Par	Fair Value
DALLAS TEX	5.00	10/1/2025	10,430,000	13,131,057
DENTON TEX INDPT SCH DIST	5.00	8/15/2029	5,320,000	6,450,713
DISTRICT OF COLUMBIA	5.00	6/1/2027	3,500,000	4,317,075
DISTRICT OF COLUMBIA	5.00	6/1/2028	5,000,000	6,134,700
EAST BAY CALIF MUN UTIL DIST	5.00	6/1/2028	4,160,000	5,167,760
EDINA & MORNINGSIDE MINN INDPT	5.00	2/1/2027	7,015,000	8,692,427
FLAGLER CNTY FLA SCH BRD	5.00	8/1/2023	860,000	1,017,449
FLORIDA ST	5.00	7/1/2026	2,800,000	3,509,800
FORSYTH CNTY GA	5.00	3/1/2027	1,000,000	1,246,330
FORT WORTH TEX INDPT SCH DIST	5.00	2/15/2028	6,900,000	8,451,327
FRANKLIN CNTY OHIO HOSP REV	5.00	12/1/2028	2,025,000	2,510,332
GEORGIA ST	5.00	2/1/2027	5,000,000	6,223,700
HARRIS CNTY TEX FLOOD CTL DIST	5.00	10/1/2027	3,930,000	4,794,364
HAWAII ST- REF-EF	5.00	11/1/2023	5,000,000	6,035,600
HONOLULU HAWAII CITY & CNTY	5.00	10/1/2029	2,000,000	2,444,720
HONOLULU HAWAII CITY & CNTY	5.00	10/1/2029	3,000,000	3,667,080
HONOLULU HAWAII CITY & CNTY	5.00	10/1/2026	2,500,000	3,111,175
HUNTSVILLE ALA	5.00	5/1/2026	2,985,000	3,702,833
ILLINOIS STATE OF	4.00	2/1/2023	1,750,000	1,822,153
INDIANAPOLIS IND LOC PUB IMPT	5.00	1/1/2022	1,500,000	1,752,315
KING CNTY WASH	5.00	12/1/2027	5,000,000	6,212,550
LOS ANGELES CALIF CMNTY COLLEG	5.00	6/1/2026	2,790,000	3,559,203
LOUDOUN CNTY VA	4.00	12/1/2027	2,730,000	3,124,649
MARYLAND ST	4.00	8/1/2029	7,000,000	7,819,770
MASSACHUSETTS ST	5.50	12/1/2023	3,610,000	4,608,454
MASSACHUSETTS ST	5.00	8/1/2025	4,065,000	5,119,949
MASSACHUSETTS ST SCH BLDG AUTH	5.00	8/15/2023	5,000,000	6,090,950
MCKINNEY TEX	5.00	8/15/2024	2,000,000	2,461,240
MIAMI DADE CNTY FLA	5.00	10/1/2022	1,500,000	1,777,305
MINNESOTA ST	5.00	8/1/2029	5,000,000	6,175,650
MONTGOMERY CNTY MD	5.00	11/1/2028	5,000,000	6,140,650
MULTNOMAH CNTY ORE SCH DIST NO	5.00	6/15/2027	3,500,000	4,333,105
MULTNOMAH CNTY ORE SCH DIST NO	5.00	6/15/2028	2,250,000	2,772,788
NJ ST TPK AUTH TPK REV	5.00	1/1/2027	2,000,000	2,394,280
NEW YORK NY	1.02	1/15/2016	5,250,000	5,250,788
NEW YORK NY	5.00	8/1/2023	3,885,000	4,760,757
NEW YORK NY CITY TRANSITIONAL	4.08	11/1/2020	2,500,000	2,657,050
NEW YORK NY CITY TRANSITIONAL	5.00	8/1/2028	2,000,000	2,428,960
NEW YORK ST ENVIRONMENTAL FACS	5.00	6/15/2028	3,000,000	3,715,650
NEW YORK ST DORM AUTH	5.00	3/15/2023	5,120,000	6,262,682
NEW YORK ST DORM AUTH	5.00	12/15/2023	3,000,000	3,650,280
NEW YORK ST DORM AUTH	5.00	3/15/2026	3,000,000	3,739,890
NORTH EAST INDPT SCH DIST TEX	5.25	2/1/2028	2,085,000	2,688,753
NORTH EAST INDPT SCH DIST TEX	5.25	2/1/2030	1,000,000	1,302,550
OKLAHOMA DEV FIN AUTH	2.38	12/1/2021	1,000,000	1,024,420

Page 6



Security Description	Coupon	Maturity	Par	Fair Value
OKLAHOMA ST STUDENT LN AUTH	0.92	2/25/2032	516,750	496,767
OREGON ST DEPT TRANSN	5.00	11/15/2030	5,000,000	6,077,750
ORLANDO FLA UTILS COMMN WTR &E	5.00	10/1/2024	4,500,000	5,587,740
PUERTO RICO COMWLTH HWY & TRAN	5.55	7/1/2018	2,600,000	2,250,976
PUERTO RICO COMWLTH HWY & TRAN	5.65	7/1/2020	14,345,000	11,923,564
PUERTO RICO COMWLTH HWY & TRAN	5.85	3/1/2027	8,020,000	6,292,652
PUERTO RICO COMWLTH HWY & TRAN	5.85	7/1/2025	3,225,000	2,597,609
PUERTO RICO ELEC PWR AUTH	7.00	7/1/2033	310,000	201,116
PUERTO RICO ELEC PWR AUTH	7.00	7/1/2040	195,000	126,512
PUERTO RICO ELEC PWR AUTH	5.00	7/1/2017	575,000	371,094
PUERTO RICO ELEC PWR AUTH	5.00	7/1/2020	330,000	212,401
PUERTO RICO ELEC PWR AUTH	5.50	7/1/2018	125,000	80,580
PUERTO RICO ELEC PWR AUTH	5.50	7/1/2019	160,000	103,038
PUERTO RICO ELEC PWR AUTH	5.25	7/1/2033	2,400,000	1,542,480
PUERTO RICO ELEC PWR AUTH	4.00	7/1/2016	435,000	287,492
PUERTO RICO ELEC PWR AUTH	5.00	7/1/2019	235,000	151,335
PUERTO RICO ELEC PWR AUTH	5.25	7/1/2019	860,000	553,831
PUERTO RICO ELEC PWR AUTH	6.13	7/1/2040	7,980,000	5,115,180
PUERTO RICO ELEC PWR AUTH PWR	5.95	7/1/2030	715,000	459,445
PUERTO RICO ELEC PWR AUTH	5.00	7/1/2020	2,000,000	1,287,280
PUERTO RICO ELEC PWR AUTH	6.05	7/1/2032	4,970,000	3,193,623
PUERTO RICO ELEC PWR AUTH	5.05	7/1/2042	2,615,000	1,680,373
PUERTO RICO INDL TOURIST EDL M	7.25	4/1/2041	8,855,000	6,170,961
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	1,197,567
REGIONAL TRANSN DIST COLO	5.00	11/1/2023	3,165,000	3,837,151
SACRAMENTO CALIF CITY UNI SCH	5.00	7/1/2023	1,750,000	2,131,010
NY ST STAR	4.00	10/15/2022	2,000,000	2,311,420
SAN ANTONIO TEX INDPT SCH DIST	5.00	2/15/2027	5,000,000	6,167,600
SEATTLE WASHINGTON	5.00	6/1/2027	4,605,000	5,693,300
SEDGWICK CNTY KANS UNI SCH DIS	5.00	10/1/2022	1,500,000	1,788,375
TAMPA BAY WTR FLA	5.00	10/1/2027	3,450,000	4,266,098
TARRANT REGL WTR DIST TEX	5.00	3/1/2027	5,000,000	6,144,000
TEXAS ST	1.78	10/1/2020	1,000,000	987,910
TEXAS ST	2.08	10/1/2021	965,000	951,818
TEXAS ST	4.00	8/1/2028	7,735,000	8,593,353
TEXAS TRANSN COMMN ST HWY FD	5.00	10/1/2026	5,000,000	6,350,050
TUCSON ARIZ CTFS PARTN	4.00	7/1/2024	2,750,000	3,102,303
UNIVERSITY CINCINNATI OHIO	5.00	6/1/2022	1,535,000	1,842,982
UNIVERSITY CALIFORNIA	1.80	7/1/2019	7,000,000	7,004,690
UTAH TRAN AUTH SALES TAX REV	5.00	6/15/2028	1,750,000	2,166,693
UTAH TRAN AUTH SALES TAX REV	5.00	6/15/2030	4,250,000	5,210,160
UTILITY DEBT SECURITIZATION AU	5.00	12/15/2028	3,000,000	3,742,050
VIRGINIA COLLEGE BLDG AUTH VA	5.00	2/1/2027	5,000,000	6,122,250
VIRGINIA ST PUB BLDG AUTH	5.00	8/1/2026	5,000,000	6,210,200

Page 7



Security Description	Coupon	Maturity	Par	Fair Value
VIRGINIA ST RES AUTH CLEAN WTR	5.00	10/1/2029	10,675,000	13,197,609
WASHINGTON STATE	5.00	7/1/2024	5,000,000	6,143,450
WASHINGTON STATE	5.00	7/1/2029	3,000,000	3,617,220
			367,136,750	$	413,472,735

Agency MBS
FNMA	3.00	10/1/2027	716,823	$	740,786
FNMA	2.47	8/1/2035	1,722,415	1,834,459
FNMA	6.00	4/1/2036	161,035	181,817
FNMA	4.00	11/1/2040	63,470	67,261
FHLMC	5.00	10/1/2017	2,217	2,267
FNMA	4.00	8/1/2040	47,219	50,120
FHLMC	5.50	12/1/2039	294,456	325,276
FHLMC	5.00	1/1/2017	517	528
FHLMC	5.00	3/1/2018	3,404	3,545
FHLMC	5.00	4/1/2018	1,249	1,300
FHLMC	5.00	9/1/2017	894	914
FNMA	3.00	8/1/2042	579,790	585,173
FNMA	3.50	3/1/2043	38,779	40,043
FHLMC	5.00	9/1/2017	1,377	1,408
GNMA	3.50	4/20/2045	175,948	183,726
FHLMC	3.50	10/1/2042	788,997	813,901
FHLMC	4.00	4/1/2042	213,466	226,246
FNMA	4.00	11/1/2040	15,408	16,354
FNMA	4.00	12/1/2040	55,569	58,982
FHLMC	2.49	3/1/2035	232,453	246,851
FNMA	4.00	3/1/2045	1,776,364	1,881,318
FNMA	4.00	11/1/2040	30,322	32,184
FHLMC	4.00	8/1/2045	938,100	992,502
GNMA	3.50	12/20/2044	138,601	144,755
FHLMC	5.50	12/1/2018	267,682	274,035
FHLMC	5.00	10/1/2017	1,241	1,269
FHLMC	6.00	9/1/2037	110,193	124,405
FNMA	4.00	12/1/2043	390,479	413,399
FNMA	6.00	2/1/2037	549,747	621,022
FNMA	3.00	12/1/2042	1,321,974	1,334,249
FNMA	3.50	7/1/2042	2,863,743	2,956,472
FNMA	5.00	9/1/2040	256,833	284,064
FHLMC_4246	6.50	2/15/2036	4,248,986	4,932,863
GNMA	6.00	9/15/2038	176,902	199,274
FHLMC	6.00	1/1/2038	5,959	6,710
FNMA	3.00	12/1/2042	85,096	86,019
GNMA	5.50	11/20/2037	108,791	121,813
FNMA	5.00	2/1/2039	106,691	117,389
FHLMC	5.00	10/1/2017	967	989

Page 8



Security Description	Coupon	Maturity	Par	Fair Value
FHLMC	5.00	10/1/2017	219	223
FHLMC	5.00	10/1/2017	1,368	1,399
FNMA	3.00	11/1/2042	129,741	131,148
FHLMC	4.00	8/1/2025	431,934	453,550
FHLMC	5.00	10/1/2017	967	989
FHLMC	5.00	9/1/2017	1,348	1,379
GNMA	3.50	3/15/2042	983,018	1,026,819
FNMA	3.00	11/1/2042	80,832	81,708
FNMA	3.00	12/1/2042	209,549	211,821
FNMA	5.00	5/1/2038	10,908	12,000
FHLMC	5.00	9/1/2017	868	887
FHLMC	2.53	9/1/2033	80,821	83,972
FNMA	5.00	2/1/2038	221,174	244,038
FNMA	3.50	4/1/2043	171,258	176,920
GNMA	7.00	5/15/2031	765	852
FHLMC	5.50	7/1/2037	477,844	528,767
FHLMC	5.00	11/1/2017	164	167
FHLMC	5.00	3/1/2028	60,869	66,756
FNMA	4.00	1/1/2041	44,424	47,094
FHLMC	5.50	11/1/2039	27,822	31,078
FHLMC	5.00	7/1/2038	5,239,483	5,720,455
FNMA	3.19	10/1/2043	3,549,101	3,641,356
FNMA	3.75	3/1/2018	8,035,191	8,361,146
FHLMC	4.00	5/1/2044	161,090	170,468
FHLMC	5.00	3/1/2018	1,470	1,531
FNMA	3.00	8/1/2042	93,841	94,712
FNMA	4.00	7/1/2026	506,826	532,429
FHLMC	4.50	9/1/2039	95,467	104,611
FNMA	4.50	12/1/2043	832,867	899,713
FNMA	5.00	9/1/2040	195,630	216,708
FNMA	3.00	1/1/2043	69,278	69,879
GNMA	3.50	10/20/2044	156,462	163,409
GNMA	7.00	3/15/2031	1,423	1,585
FNMA	4.50	8/1/2039	1,864,730	2,046,121
FHLMC	5.00	10/1/2017	1,020	1,043
FHLMC	3.50	6/1/2042	361,190	372,591
FHLMC	5.00	4/1/2018	2,994	3,118
FNMA	4.50	9/1/2041	1,604,872	1,737,349
FNMA	2.50	4/1/2027	662,376	671,521
GNMA	4.00	12/20/2041	373,368	398,853
FNMA	4.00	1/1/2041	114,617	121,656
GNMA	3.50	11/15/2040	3,197,848	3,348,160
FNMA	4.00	2/1/2042	48,392	51,370
FHLMC	2.48	9/1/2033	179,577	190,716
FHLMC	5.00	2/1/2017	337	344

Page 9



Security Description	Coupon	Maturity	Par	Fair Value
FHLMC	5.00	3/1/2017	459	470
FNMA	4.00	10/1/2044	835,593	884,586
FNMA	4.00	8/1/2025	1,267,124	1,330,248
GNMA	3.50	3/15/2042	517,892	540,968
FHLMC	5.00	7/1/2018	3,106	3,235
FNMA	3.00	1/1/2043	124,784	125,866
FHLMC	5.00	10/1/2017	1,180	1,207
GNMA	3.50	2/15/2042	735,874	769,997
FHLMC	5.00	3/1/2017	1,317	1,346
FHLMC	5.00	7/1/2039	380,745	419,955
FNMA	3.50	12/1/2025	277,517	291,128
GNMA	2.50	8/15/2027	1,139,575	1,154,408
FNMA	6.00	10/1/2028	90,831	102,977
FNMA	4.00	4/1/2025	464,753	491,112
FHLMC	5.00	12/1/2017	2,637	2,696
FHLMC	5.00	6/1/2018	1,555	1,620
FHLMC	5.00	11/1/2017	1,880	1,922
FNMA	6.00	1/1/2036	268,214	303,575
FNMA	4.50	3/1/2041	2,902,088	3,158,227
GNMA	3.00	10/20/2045	3,175,982	3,222,619
FHLMC	5.00	11/1/2017	98	100
FHLMC	4.00	11/1/2044	1,343,089	1,421,277
FNMA	3.00	7/1/2043	219,540	219,944
FNMA	6.00	12/1/2038	57,184	64,978
FHLMC	4.50	9/1/2039	901,728	988,607
FHLMC	4.00	1/1/2041	122,596	130,391
FHLMC	5.00	8/1/2018	963	1,003
FNMA	3.00	12/1/2042	108,071	109,242
FNMA	3.00	8/1/2042	116,630	117,713
FHLMC	4.50	4/1/2036	1,828,367	1,973,412
FNMA	2.15	1/1/2035	93,207	99,150
FNMA	5.50	6/1/2038	109,457	121,991
FHLMC	5.00	11/1/2017	1,085	1,109
FHLMC	5.00	9/1/2017	1,008	1,031
FHLMC	1.98	1/1/2035	218,125	224,007
FNMA	3.50	9/1/2029	617,237	647,453
FHLMC	5.00	3/1/2017	205	210
FNMA	4.50	12/1/2020	483,152	502,100
FNMA	6.00	1/1/2036	23,963	27,068
FHLMC	5.00	5/1/2039	632,604	692,230
FNMA	2.22	2/1/2035	61,175	65,036
FNMA	2.13	1/1/2035	105,308	111,797
FNMA	3.00	1/1/2043	42,382	42,842
FHLMC	2.50	2/1/2035	96,982	102,107
FNMA	2.46	6/1/2033	101,592	109,224

Page 10



Security Description	Coupon	Maturity	Par	Fair Value
FHLMC	5.00	4/1/2018	1,351	1,407
FNMA	4.00	8/1/2039	60,493	64,034
FNMA	5.00	9/1/2038	6,096	6,705
FHLMC	4.50	7/1/2044	741,692	799,227
FHLMC	6.00	11/1/2037	2,643	2,984
FNMA	4.50	3/1/2044	19,376	20,958
FNMA	2.80	9/25/2022	1,119,781	1,127,210
FNMA	4.00	11/1/2040	70,531	74,863
FHLMC	6.00	4/1/2033	6,691	7,705
FHLMC	4.00	5/1/2043	73,962	78,668
FHLMC	5.00	2/1/2017	85	87
FHLMC	4.00	4/1/2043	110,162	117,589
FHLMC	5.00	3/1/2018	2,711	2,823
FHLMC	5.00	10/1/2017	1,338	1,368
FNMA	5.50	12/1/2038	32,845	36,815
GNMA	5.00	3/15/2039	310,500	342,932
FNMA	3.00	1/1/2043	40,064	40,412
FHLMC	4.00	4/1/2043	163,985	174,420
FNMA	5.50	12/1/2034	12,007	13,458
FHLMC	6.00	1/1/2038	562,743	633,743
FNMA	4.50	3/1/2039	66,600	71,919
FNMA	4.50	10/1/2041	31,476	34,074
FHLMC	5.00	11/1/2017	2,034	2,096
FNMA	4.50	1/1/2042	1,046,706	1,132,382
FHLMC	3.50	2/1/2026	346,488	363,270
FHLMC	5.00	10/1/2017	2,194	2,243
GNMA	3.00	3/20/2043	466,597	474,710
FNMA	4.00	9/1/2039	31,367	33,203
FNMA	3.00	11/1/2042	1,059,325	1,061,933
FHLMC	5.00	3/1/2018	461	465
FHLMC	5.00	11/1/2017	205	210
FNMA	4.00	7/1/2024	265,888	279,102
GNMA	4.00	1/20/2044	43,055,552	45,788,275
FHLMC	5.00	6/1/2018	2,418	2,518
GNMA	3.50	12/15/2041	457,792	479,020
FHLMC	6.00	7/1/2037	888	1,000
FNMA	4.00	7/1/2045	394,977	418,840
GNMA	4.00	7/15/2041	157,809	168,105
FHLMC	5.00	11/1/2017	1,378	1,409
FNMA	1.84	1/1/2035	757,958	795,348
FHLMC	5.50	5/1/2019	486,103	509,085
FNMA	4.00	2/1/2035	40,703	43,204
FNMA	3.50	1/1/2026	478,244	501,699
FNMA	3.00	11/1/2042	69,817	70,574
FNMA	5.50	1/1/2038	205,408	228,884

Page 11



Security Description	Coupon	Maturity	Par	Fair Value
FNMA	3.50	2/1/2042	276,115	285,336
FNMA	1.89	8/1/2033	3,024,389	3,117,640
FNMA	4.00	11/1/2040	83,150	88,257
FHLMC	5.00	10/1/2017	1,124	1,149
FNMA	4.00	1/1/2042	477,695	508,305
FNMA	3.00	1/1/2043	248,304	250,457
FNMA	4.00	1/1/2042	3,193,080	3,389,259
FHLMC	5.00	9/1/2017	914	934
FNMA	5.50	4/1/2036	18,632	20,763
FHLMC	5.00	7/1/2018	2,180	2,268
FHLMC	5.00	9/1/2017	421	423
FNMA	3.00	1/1/2043	376,588	379,853
FHLMC	5.00	9/1/2017	473	477
FNMA	6.00	11/1/2039	8,619	9,736
FHLMC	5.00	1/1/2036	253,178	277,223
FHLMC_3917	0.83	6/15/2038	752,996	754,666
FNMA	3.00	12/1/2042	109,421	110,607
FNMA	3.00	12/1/2028	779,638	804,533
FNMA	4.50	4/1/2044	306,256	331,194
FHLMC	5.00	2/1/2018	2,372	2,470
FNMA	3.00	11/1/2042	378,414	382,515
FNMA	4.00	5/1/2042	573,632	608,929
GNMA	4.00	9/20/2044	6,504,353	6,912,717
FHLMC	3.50	5/1/2026	565,002	592,367
FNMA	3.00	8/1/2029	99,396	102,479
FNMA	3.50	8/1/2043	1,594,113	1,647,922
FHLMC	6.00	4/1/2029	311	335
FNMA	4.50	3/1/2041	4,134,016	4,475,265
FNMA	3.00	4/1/2043	274,599	276,980
FHLMC	5.00	9/1/2017	631	638
FNMA	3.00	12/1/2042	116,109	117,368
FNMA	3.00	1/1/2043	163,018	164,431
FNMA	4.00	11/1/2040	451,002	478,703
FHLMC	5.00	2/1/2017	268	269
FNMA	5.00	2/1/2039	506,860	560,681
FHLMC	5.00	11/1/2017	1,980	2,025
FHLMC	5.00	9/1/2040	996,003	1,087,434
FHLMC	6.00	6/1/2034	347,280	396,621
FNMA	3.00	10/1/2042	131,865	133,295
FNMA	4.50	7/1/2039	12,263	13,432
FHLMC	5.50	11/1/2018	195,459	203,044
FHLMC	5.00	9/1/2017	360	362
FNMA	5.00	8/1/2035	9,614	10,589
FHLMC	5.00	3/1/2038	411,981	449,800
FHLMC	5.00	9/1/2017	615	621

Page 12



Security Description	Coupon	Maturity	Par		Fair Value
FNMA	3.00	9/1/2042	53,250		53,828
FNMA	2.75	9/1/2033	3,930		4,195
FHLMC	5.00	4/1/2018	1,679		1,748
FHLMC	6.00	4/1/2033	3,283		3,749
FHLMC	5.00	4/1/2017	111		114
FNMA	4.00	9/1/2045	1,792,254		1,898,147
FNMA	3.00	10/1/2030	1,469,705		1,515,491
FHLMC	2.50	10/1/2029	285,627		288,382
FHLMC	5.50	12/1/2037	88,077		97,280
FNMA	6.00	12/1/2037	160,688		182,474
FHLMC	6.50	9/1/2036	86,150		98,150
FNMA	3.00	12/1/2042	323,956		327,467
FHLMC	5.00	2/1/2018	1,047		1,090
FNMA	4.50	11/1/2020	377,978		392,802
FHLMC	5.00	9/1/2017	942		963
FNMA	4.50	12/1/2039	8,833		9,675
FNMA	5.50	7/1/2038	72,660		81,148
FHLMC	5.00	4/1/2018	920		931
FHLMC	5.00	4/1/2017	426		428
FHLMC	5.00	2/1/2018	413		415
FHLMC	5.00	6/1/2018	4,154		4,326
FNMA	3.00	12/1/2042	57,388		58,010
FHLMC	5.00	12/1/2017	2,023		2,069
FNMA	3.50	1/1/2046	17,495,000		18,051,286
FNMA	3.50	1/1/2046	(2,745,000	)	(2,832,282	)
FHLMC	6.00	3/1/2033	4,611		5,266
FHLMC	5.00	5/1/2018	2,905		3,025
FNMA	5.00	9/1/2040	115,980		126,243
FHLMC	5.50	11/1/2018	40,242		41,803
FHLMC	4.00	9/1/2041	40,148		42,690
FHLMC	5.00	11/1/2017	2,810		2,873
FHLMC	5.00	5/1/2017	334		339
FHLMC	3.50	1/1/2045	242,998		250,397
FNMA	4.50	4/1/2044	598,372		646,312
FHLMC	5.00	1/1/2040	34,895		38,421
FHLMC	5.00	7/1/2036	510,678		561,383
FNMA	4.00	9/1/2041	1,227,524		1,306,124
FHLMC	3.50	1/1/2046	1,260,000		1,297,308
FHLMC	3.50	1/1/2046	(760,000	)	(782,503	)
GNMA	4.00	11/20/2045	1,896,093		2,018,548
FHLMC	2.70	5/25/2018	8,300,000		8,480,479
FNMA	2.50	9/1/2028	1,915,456		1,940,746
FNMA	3.00	1/1/2043	83,607		84,332
FHLMC	6.00	1/1/2037	21,716		24,456
FHLMC	5.00	10/1/2017	445		455

Page 13



Security Description	Coupon	Maturity	Par		Fair Value
FNMA	3.62	12/1/2020	1,958,370		2,077,082
FNMA	3.00	9/1/2042	104,570		105,704
FHLMC	5.00	10/1/2018	2,692		2,804
FHLMC	6.00	9/1/2037	4,598,753		5,250,336
FHLMC	5.50	12/1/2018	4,730		4,914
FNMA	4.00	1/1/2046	20,005,000		21,170,916
FNMA	4.00	1/1/2046	(5,255,000	)	(5,561,268	)
FHLMC	5.00	9/1/2017	647		662
FNMA	3.00	10/1/2042	101,167		102,264
FHLMC	3.50	8/1/2044	9,414,218		9,699,277
FHLMC	5.50	10/1/2018	73,759		76,621
FHLMC	5.00	8/1/2018	53		53
FHLMC	5.00	9/1/2017	8,779		8,976
FNMA	5.50	9/1/2036	805,464		902,917
FHLMC	5.00	8/1/2017	302		303
FHLMC	5.00	11/1/2017	952		973
FHLMC	5.00	11/1/2017	2,337		2,390
FHLMC	5.00	2/1/2018	3,585		3,734
FNMA	4.50	12/1/2039	332,897		364,615
FNMA	5.00	6/1/2038	452,125		497,349
FHLMC	4.00	9/1/2045	1,036,056		1,096,139
FNMA	3.50	11/1/2042	440,149		454,849
GNMA	3.50	12/20/2045	192,111		200,603
FHLMC	5.00	10/1/2017	933		956
FNMA	4.50	11/1/2044	896,767		969,990
FNMA	5.00	4/1/2038	109,369		120,309
FHLMC	6.00	7/1/2033	30,316		34,913
FNMA	4.50	8/1/2040	619,790		670,521
FHLMC	5.00	1/1/2018	596		599
FHLMC	5.00	2/1/2017	459		469
FHLMC	5.00	10/1/2017	3,781		3,866
FNMA	3.50	4/1/2043	2,437,904		2,527,762
FHLMC	6.00	12/1/2033	3,029		3,473
FNMA	3.00	4/1/2043	169,668		171,139
FNMA	4.50	2/1/2041	194,233		210,131
FHLMC	4.50	5/1/2041	422,849		456,393
FHLMC	5.00	11/1/2016	736		761
FHLMC	4.50	2/1/2036	133,261		143,832
FNMA	5.50	2/1/2041	480,918		535,953
FNMA	4.50	9/1/2040	254,692		275,539
FHLMC	4.00	8/1/2043	193,870		206,939
FNMA	6.00	6/1/2036	157,406		177,807
FHLMC	5.00	4/1/2018	2,812		2,929
FHLMC	5.00	2/1/2019	478		480
FNMA	4.50	11/1/2038	340,839		368,050

Page 14



Security Description	Coupon	Maturity	Par	Fair Value
FNMA	4.00	7/1/2042	947,770	1,004,327
FHLMC	2.53	9/1/2033	156,355	166,303
FHLMC	3.50	3/1/2026	289,092	303,094
FHLMC	3.00	4/1/2043	406,024	406,394
FNMA	3.00	11/1/2042	57,298	57,919
FNMA	5.50	8/1/2037	7,030,244	7,857,557
FNMA	4.00	1/1/2041	799,289	848,381
GNMA	4.50	9/15/2039	247,314	269,807
FHLMC	6.00	6/1/2036	1,368	1,541
FNMA	3.00	1/1/2043	195,639	197,760
FNMA	4.00	1/1/2041	2,556,915	2,711,496
FHLMC	5.00	2/1/2018	442	444
FHLMC	5.00	12/1/2017	2,322	2,374
FNMA	4.00	2/1/2041	456,749	484,811
FHLMC	4.00	5/1/2045	503,644	532,851
FHLMC	5.00	9/1/2017	1,771	1,811
FNMA	4.00	9/1/2025	580,965	609,837
FNMA	6.00	5/1/2036	5,768	6,560
FHLMC	5.00	3/1/2018	3,741	3,896
FNMA	4.00	5/1/2024	874,605	918,070
GNMA	4.50	7/15/2040	199,185	216,852
FHLMC	5.00	4/1/2017	1,289	1,312
FNMA	5.00	6/1/2035	756,705	834,930
FNMA	3.00	9/1/2042	65,307	66,015
FHLMC	5.50	10/1/2018	62,983	65,427
FNMA	3.00	11/1/2042	97,454	98,511
FNMA	3.50	10/1/2044	194,403	200,707
FNMA	3.50	11/1/2042	2,075,017	2,144,319
FHLMC	5.00	9/1/2017	472	483
FHLMC	4.00	6/1/2025	296,753	311,604
FHLMC	4.00	8/1/2025	254,470	267,206
FNMA	4.00	9/1/2035	7,130	7,546
FNMA	4.50	3/1/2038	36,983	39,935
FHLMC	2.77	11/1/2034	59,705	64,438
FHLMC	3.50	4/1/2045	2,109,224	2,173,445
FNMA	3.00	12/1/2042	49,319	49,854
FHLMC	3.50	7/1/2042	536,567	554,179
FNMA	3.00	12/1/2042	94,667	95,693
FNMA	3.00	10/1/2042	116,278	117,538
FNMA	3.00	10/1/2042	51,526	52,085
FHLMC	5.00	2/1/2018	1,905	1,983
FHLMC	5.00	4/1/2017	788	806
FHLMC	6.00	9/1/2029	8,491	9,123
FHLMC	3.50	2/1/2042	916,367	946,445
FNMA	4.50	4/1/2041	859,367	930,305

Page 15



Security Description	Coupon	Maturity	Par	Fair Value
FHLMC	5.00	3/1/2017	231	231
FNMA	5.50	5/1/2038	655,122	730,091
FNMA	4.00	6/1/2042	516,792	547,283
FHLMC	5.00	4/1/2017	40	41
FHLMC_4248	6.50	5/15/2041	8,123,435	9,324,857
FHLMC	3.50	4/1/2026	441,385	462,764
FNMA	6.00	9/1/2034	4,362	4,986
FNMA	2.54	4/1/2034	29,457	31,578
FHLMC	2.48	2/1/2035	141,284	148,264
FNMA	5.50	12/1/2036	3,048,382	3,397,073
FNMA	6.50	12/1/2016	72,422	73,918
FHLMC	5.00	3/1/2018	2,958	3,080
FHLMC	5.00	10/1/2017	1,661	1,709
FNMA	3.50	4/1/2045	123,711	127,747
FNMA	3.00	1/1/2043	64,529	65,228
FNMA	3.00	1/1/2043	52,969	53,428
FNMA	4.00	11/1/2045	833,886	883,155
FHLMC	5.00	4/1/2018	1,940	1,984
FNMA	6.00	5/1/2037	209,252	236,257
FNMA	6.00	8/1/2036	16,690	18,853
FNMA	4.50	3/1/2040	11,669	12,624
FNMA	4.50	1/1/2045	378,710	409,045
FHLMC	5.00	2/1/2018	2,330	2,426
FNMA	3.50	4/1/2043	221,507	228,729
FNMA	3.00	1/1/2043	86,151	87,084
FNMA	5.00	2/1/2038	46,024	50,690
GNMA	4.50	9/20/2041	196,774	213,284
FHLMC	4.00	1/1/2042	504,668	535,607
FNMA	3.00	7/1/2043	117,688	117,904
FNMA	2.50	4/1/2027	671,216	680,483
FNMA	4.00	1/1/2045	2,909,452	3,083,282
FNMA	4.00	8/1/2044	9,511,831	10,080,131
FHLMC	3.50	4/1/2026	371,964	389,980
FHLMC	5.00	9/1/2017	221	222
FNMA	4.00	4/1/2042	377,516	400,746
FHLMC	5.00	10/1/2017	815	823
FHLMC	5.00	10/1/2017	249	251
FHLMC	5.00	9/1/2017	986	995
FHLMC	4.50	10/1/2044	754,631	813,169
FHLMC	5.00	2/1/2017	241	244
FNMA	4.50	9/1/2043	390,733	422,093
FHLMC	4.00	12/1/2042	19,893	21,183
FNMA	4.50	9/1/2039	6,753,283	7,292,639
FNMA	4.50	8/1/2035	6,594	7,136
FNMA	4.00	12/1/2041	433,512	460,147

Page 16



Security Description	Coupon	Maturity	Par	Fair Value
FNMA	3.50	12/1/2042	1,813,420	1,872,140
FHLMC	5.00	3/1/2017	220	221
FNMA	5.50	3/1/2034	2,841	3,185
FHLMC	4.00	8/1/2025	606,968	637,344
FNMA	3.00	12/1/2042	244,755	247,409
MSC_15-UBS8	3.81	12/15/2048	5,000,000	5,086,252
FNMA	8.50	2/1/2031	243,715	270,713
FHLMC	5.00	8/1/2018	671	677
FHLMC	4.00	12/1/2044	1,757,312	1,857,361
FHLMC	4.50	4/1/2039	140,067	152,522
FNMA	3.50	11/1/2042	42,664	44,045
FNMA	4.50	1/1/2040	801,524	865,538
FNMA	3.00	12/1/2042	174,134	176,022
FHLMC	5.00	5/1/2018	1,630	1,688
FHLMC	5.00	1/1/2017	730	736
FHLMC	5.00	2/1/2017	978	1,001
FHLMC	4.00	12/1/2025	2,273,782	2,387,577
FHLMC	5.00	7/1/2019	121,116	125,664
FHLMC	6.00	10/1/2037	45,834	51,614
FNMA	5.00	1/1/2039	1,457,208	1,602,966
FHLMC	5.00	9/1/2017	5,710	5,839
FHLMC	4.00	8/1/2044	2,127,340	2,248,455
FNMA	5.00	9/1/2040	365,952	403,088
FHLMC	4.00	7/1/2025	193,771	203,468
GNMA	2.50	12/20/2042	46,480	45,514
FNMA	3.50	7/1/2042	798,699	825,646
JPMCC_15-JP1	3.65	1/15/2049	4,000,000	4,039,988
FHLMC	4.00	7/1/2043	86,652	92,166
FNMA	4.50	8/1/2040	211,281	228,575
FHLMC	5.00	10/1/2017	690	697
FHLMC	5.00	2/1/2037	172,387	188,206
FHLMC	2.50	9/1/2033	28,295	30,138
FNMA	4.00	9/1/2044	330,471	349,847
FHLMC	5.00	9/1/2017	1,922	1,965
FNMA	4.50	1/1/2040	1,003,847	1,101,495
FHLMC	5.00	5/1/2018	2,475	2,578
FHLMC	5.00	3/1/2039	561,517	613,115
GNMA	4.00	8/20/2044	24,267,211	25,790,783
FNMA	5.00	8/1/2039	2,173,468	2,432,800
FNMA	5.00	10/1/2035	18,302	20,158
FHLMC	4.50	9/1/2040	335,270	361,832
FHLMC	5.50	3/1/2019	11,463	12,005
FHLMC	5.00	12/1/2017	1,216	1,244
GNMA	3.50	1/15/2042	2,208,197	2,310,592
FNMA	5.00	10/1/2035	9,594,743	10,567,525

Page 17



Security Description	Coupon	Maturity	Par	Fair Value
FHLMC	3.00	11/1/2042	274,119	274,453
FNMA	5.00	5/1/2041	212,839	234,472
FHLMC	4.00	11/1/2044	616,526	651,626
FNMA	4.00	12/1/2025	994,476	1,044,017
FHLMC	3.00	10/1/2026	800,778	826,513
FNMA	5.50	3/1/2037	1,936,000	2,157,271
FNMA	2.51	6/1/2035	1,261,181	1,323,966
FHLMC	2.10	5/1/2042	5,130,268	5,334,890
FNMA	6.00	1/1/2036	1,278	1,444
FHLMC	5.00	10/1/2017	1,938	1,982
FNMA	2.41	2/1/2035	520,756	541,236
FHLMC	5.00	12/1/2016	341	343
FNMA	4.00	7/1/2024	1,005,551	1,055,523
FNMA	4.00	10/1/2044	1,217,939	1,289,351
GNMA	4.50	10/15/2039	50,405	54,989
FHLMC	5.00	10/1/2017	2,546	2,603
FHLMC_27-55	5.00	2/15/2034	1,514,463	1,671,947
FNMA	4.50	9/1/2041	139,842	151,386
FHLMC	6.00	4/1/2038	44,510	50,127
FHLMC	4.00	12/1/2044	1,816,675	1,920,103
FNMA	2.50	10/1/2027	359,323	362,624
FNMA	5.50	6/1/2038	359,771	401,598
FNMA	5.50	4/1/2038	1,033,432	1,151,546
GNMA	4.50	12/20/2041	359,223	389,363
FHLMC	5.00	11/1/2017	4,547	4,650
FNMA	3.00	8/1/2042	39,355	39,782
FNMA	4.00	5/1/2039	13,565	14,360
FNMA	2.24	12/1/2034	76,625	80,025
FHLMC	5.00	4/1/2018	1,457	1,517
FHLMC	4.00	9/1/2043	83,197	88,491
FHLMC	4.00	9/1/2043	105,457	112,566
FNMA	3.00	8/1/2042	48,039	48,560
FHLMC	5.00	4/1/2017	1,430	1,462
FHLMC	5.00	3/1/2018	1,322	1,362
FHLMC	5.50	1/1/2046	895,000	989,115
GNMA	4.00	1/15/2043	19,174	20,369
FNMA	3.00	8/1/2029	3,112,106	3,208,645
FNMA	4.50	4/1/2039	24,177	26,480
FNMA	2.50	5/1/2027	854,513	862,510
FNMA	4.00	4/1/2041	4,480,012	4,767,086
FHLMC	3.00	10/1/2026	441,025	455,199
FNMA	5.50	4/1/2034	4,309	4,830
FNMA	4.00	8/1/2043	580,725	614,727
GNMA	4.00	7/20/2044	6,565,320	6,977,512
FNMA	3.00	4/1/2043	39,652	39,995

Page 18



Security Description	Coupon	Maturity	Par	Fair Value
FHLMC	5.00	11/1/2017	2,393	2,447
FNMA	4.50	12/1/2043	450,869	489,070
FNMA	4.50	3/1/2040	461,832	499,634
FHLMC	5.00	4/1/2017	643	658
FNMA	3.00	4/1/2043	156,580	157,937
FNMA	5.50	10/1/2035	6,972	7,792
FHLMC	2.42	10/1/2034	86,653	92,113
FNMA	3.50	1/1/2043	225,021	232,307
FNMA	4.50	2/1/2041	3,459,607	3,745,187
GNMA	3.50	10/20/2042	419,847	439,692
FHLMC	5.00	2/1/2017	541	546
FNMA	6.00	11/1/2035	2,620	2,966
FHLMC	4.00	9/1/2043	193,702	206,760
MERRIL LYNCH COUNTRYWIDE	5.38	8/12/2048	1,761,752	1,803,433
FHLMC	4.50	5/1/2040	402,591	434,487
FHLMC	6.00	8/1/2037	56,972	64,157
FNMA	3.00	12/1/2042	700,041	706,541
FHLMC	2.62	11/1/2034	149,900	160,281
FHLMC	5.50	2/1/2018	15,559	15,928
FNMA	3.00	10/1/2042	43,935	44,412
FHLMC	2.47	12/1/2033	994,084	1,059,384
FNMA	3.50	11/1/2042	1,281,798	1,323,304
FNMA	4.50	1/1/2040	1,752,662	1,929,431
FNMA	3.50	4/1/2043	44,258	45,710
FHLMC	5.00	7/1/2018	4,967	5,173
FNMA	4.50	4/1/2042	1,143,492	1,237,883
FNMA	4.00	7/1/2042	3,281,150	3,474,743
FNMA	3.00	11/1/2042	87,038	87,981
FHLMC	5.00	4/1/2018	323	325
GNMA	4.00	8/20/2045	2,244,910	2,389,893
FNMA	3.00	12/1/2042	65,735	66,448
FNMA	3.00	12/1/2042	201,923	204,112
FNMA	5.00	1/1/2035	8,138	8,997
FNMA	3.00	3/1/2043	76,865	77,532
FNMA	3.00	4/1/2043	304,236	306,874
FHLMC	4.00	9/1/2043	284,521	302,625
FHR_3820D DA	4.00	11/15/2035	11,874,701	12,390,384
FNMA	5.50	6/1/2037	353,158	393,521
FHLMC	5.00	10/1/2017	3,391	3,467
FHLMC	6.00	11/1/2036	61,405	69,152
GNMA	3.50	4/20/2045	2,924,475	3,053,746
FNMA	3.00	1/1/2029	254,437	262,561
FNMA	4.00	12/1/2044	161,461	170,928
FNMA	3.00	9/1/2043	11,639,612	11,661,047
FHLMC	6.00	8/1/2037	73,592	82,937

Page 19



Security Description	Coupon	Maturity	Par	Fair Value
FNMA	3.00	1/1/2043	42,761	43,132
FHLMC	5.00	3/1/2017	191	192
FHLMC	6.00	10/1/2038	71,889	80,961
FNMA	5.00	2/1/2039	767,055	854,458
FHLMC	5.00	2/1/2018	3,149	3,280
FNMA	3.00	4/1/2043	201,379	201,750
GNMA	7.00	4/15/2031	6,838	7,616
FANNIE MAE FNMA_89-44	9.00	7/25/2019	8,694	9,215
FHLMC	5.00	3/1/2017	1,098	1,117
FHLMC	5.00	4/1/2018	837	847
FHLMC	4.50	3/1/2036	315,682	340,725
FNMA	5.00	2/1/2039	875,667	980,149
FHLMC	2.69	11/1/2034	46,594	50,031
FHLMC	5.00	12/1/2017	2,578	2,636
FNMA	3.50	5/1/2042	2,748,086	2,839,868
FNMA	3.00	12/1/2042	387,422	391,622
FHLMC	3.50	4/1/2026	295,554	309,869
FNMA	2.50	10/1/2028	322,129	326,382
FNMA	2.37	11/1/2034	16,948	17,820
GNMA	2.50	6/15/2027	521,400	529,640
FNMA	3.00	12/1/2042	109,419	110,435
FHLMC	5.00	1/1/2017	620	625
FNMA	3.00	11/1/2042	199,681	201,846
FHLMC	5.00	2/1/2039	556,957	609,853
FNMA	8.50	4/1/2030	461,506	509,902
FHLMC	5.00	10/1/2017	379	387
FHLMC	5.00	10/1/2017	3,241	3,314
FNMA	4.00	5/1/2044	1,651,089	1,749,736
FNMA	3.00	12/1/2042	51,130	51,685
FNMA	4.00	12/1/2040	25,760	27,342
FHLMC	5.00	8/1/2018	1,359	1,414
FNMA	3.00	2/1/2027	1,297,922	1,341,311
FHLMC	2.75	11/1/2034	69,702	73,066
FNMA	5.50	3/1/2024	54,648	61,048
FNMA	4.50	9/1/2040	2,490,340	2,694,180
FHLMC	5.00	2/1/2018	1,329	1,384
FHLMC	4.00	12/1/2040	1,545,023	1,641,764
FNMA	2.32	12/1/2033	7,674	8,170
FHLMC	3.50	7/1/2042	127,739	131,771
FNMA	3.50	10/1/2045	2,200,476	2,272,263
FHLMC	5.50	10/1/2018	3,594	3,733
FHLMC	5.00	9/1/2017	946	953
FHLMC	6.00	7/1/2029	3,205	3,444
FHLMC	5.00	9/1/2033	657,109	720,749
FHLMC	5.00	11/1/2016	102	106

Page 20



Security Description	Coupon	Maturity	Par	Fair Value
FNMA	6.00	3/1/2035	45,876	51,924
FHLMC	6.00	12/1/2037	1,089	1,227
FNMA	3.00	1/1/2043	276,355	279,351
FHLMC	5.00	6/1/2020	1,539,795	1,597,616
FNMA	6.00	12/1/2038	9,872	11,150
FNMA	4.50	6/1/2041	4,351,039	4,710,204
FHLMC	4.00	2/1/2042	403,590	426,480
FHLMC	5.00	5/1/2018	877	886
FNMA	3.00	12/1/2042	49,838	50,378
FHLMC	4.50	9/1/2039	118,938	130,330
FHLMC	6.00	8/1/2034	8,730,275	10,010,022
GNMA	2.50	2/15/2027	903,595	914,578
FNMA	4.00	1/1/2042	286,261	303,848
FHLMC	5.00	10/1/2017	2,676	2,736
FHLMC	5.00	2/1/2018	1,627	1,694
FHLMC	5.00	8/1/2018	2,450	2,552
FNMA	4.50	11/1/2039	515,376	556,537
GNMA	2.50	5/15/2027	1,074,432	1,091,490
GNMA	5.00	2/15/2039	168,024	185,170
FNMA	4.00	11/1/2044	3,472,115	3,675,697
FHLMC	5.00	10/1/2017	1,316	1,346
FNMA	4.50	7/1/2041	707,696	766,114
GNMA	3.00	9/20/2042	210,435	214,416
FNMA	3.00	12/1/2042	1,402,336	1,415,358
FHLMC	6.00	11/1/2037	133,651	151,168
FNMA	2.45	10/1/2034	73,563	77,552
FHLMC	5.00	12/1/2017	651	665
FHLMC	4.50	3/1/2041	2,197,874	2,372,232
FNMA	3.00	12/1/2042	496,444	501,053
FHLMC	5.00	2/1/2018	2,274	2,368
FNMA	3.41	10/1/2020	2,740,920	2,886,856
FNMA	2.55	11/1/2034	384,548	412,442
FHLMC	5.00	2/1/2017	149	150
FNMA	4.50	6/1/2041	1,586,040	1,716,963
FHLMC	5.00	6/1/2041	244,465	267,371
FHLMC	5.00	11/1/2017	761	770
FNMA	4.50	8/1/2044	408,578	441,848
FHLMC	3.50	11/1/2045	758,419	781,511
FNMA	6.00	7/1/2037	342,348	388,765
FHLMC	4.00	11/1/2040	3,141,234	3,340,953
FHLMC	5.00	4/1/2017	2,269	2,320
FNMA	5.50	5/1/2035	21,826	24,464
FNMA	3.00	1/1/2043	278,687	281,708
FHLMC	5.00	8/1/2017	187	192
GNMA	1.75	3/20/2035	6,172,853	6,418,475

Page 21



Security Description	Coupon	Maturity	Par	Fair Value
FNMA	4.00	12/1/2040	126,426	134,035
FHLMC	4.00	2/1/2039	49,637	52,459
FHLMC	3.50	4/1/2026	304,011	318,736
FNMA	2.50	3/1/2027	625,624	634,262
FHLMC	5.00	2/1/2018	2,922	3,043
FHLMC	4.00	3/1/2042	391,070	414,826
FHLMC	5.50	3/1/2018	106,768	109,303
FNMA	5.50	12/1/2036	700,637	780,780
FHLMC	5.00	2/1/2028	3,063	3,359
FHLMC	5.00	4/1/2018	1,172	1,221
FNMA	6.00	2/1/2036	75,387	85,739
FHLMC	5.00	9/1/2017	662	668
FHLMC	3.00	11/1/2045	5,886,956	5,883,188
FNMA	4.50	8/1/2041	118,512	128,295
GNMA	4.00	6/20/2045	94,526	100,631
FNMA	5.50	12/1/2036	52,504	58,478
FNMA	2.50	3/1/2027	449,526	455,732
FNMA	6.00	5/1/2041	4,444,414	5,019,733
FHLMC	5.00	1/1/2017	411	425
FHLMC	5.00	9/1/2017	1,100	1,188
FNMA	4.50	4/1/2039	98,179	107,533
FNMA	4.50	3/1/2044	598,933	646,918
FNMA	2.44	4/1/2035	199,893	214,491
FNMA	4.00	10/1/2040	775,860	823,513
FHLMC	5.00	1/1/2017	199	205
FHLMC	5.00	1/1/2017	91	92
FNMA	3.50	11/1/2042	9,265,772	9,575,233
FHLMC	5.00	10/1/2017	908	919
FNMA	5.00	12/1/2035	324,602	357,512
GNMA	4.00	2/20/2044	3,441,373	3,657,433
FNMA	4.00	7/1/2041	416,566	442,159
FNMA	4.50	4/1/2044	347,308	376,758
FNMA	5.00	4/1/2040	937,327	1,032,445
FNMA	5.00	9/1/2040	182,109	200,589
FNMA	5.50	6/1/2038	69,260	77,186
FHLMC	5.00	9/1/2017	829	847
FHLMC	5.00	4/1/2017	207	208
FNMA	4.38	6/1/2021	5,872,982	6,393,704
FHLMC	4.50	4/1/2036	1,240,430	1,338,833
FNMA	4.50	6/1/2040	524,466	567,394
FNMA	2.47	7/1/2033	92,996	97,870
FHLMC	5.00	11/1/2017	1,444	1,477
FHLMC	5.00	4/1/2017	1,341	1,371
FNMA	3.00	1/1/2043	54,260	54,731
FHLMC	3.50	4/1/2026	480,386	503,653

Page 22



Security Description	Coupon	Maturity		Par	Fair Value
FHLMC	5.00	11/1/2017		1,156	1,188
FHLMC	6.00	9/1/2037		9,907	11,156
FHLMC	5.00	2/1/2018		4,386	4,567
FNMA	4.50	3/1/2042		388,408	423,593
FNMA	5.00	8/1/2039		10,597	11,659
FNMA	5.00	5/1/2040		345,267	387,158
FHLMC	5.00	1/1/2018		2,511	2,615
FNMA	3.00	12/1/2042		191,277	193,350
FHLMC	5.00	10/1/2017		1,723	1,762
FHLMC	5.00	1/1/2017		193	193
FNMA	3.00	4/1/2043		84,985	85,722
FNMA	5.00	2/1/2038		113,416	124,915
FNMA	4.00	3/1/2026		410,558	431,011
FHLMC	5.00	2/1/2018		3,378	3,517
FHLMC	5.00	4/1/2017		1,127	1,139
FNMA	5.00	9/1/2035		2,247	2,475
FHLMC	5.50	8/1/2018		62,817	65,254
FHLMC	5.00	5/1/2018		1,960	2,030
FNMA	3.00	1/1/2043		52,998	53,573
FNMA	3.50	12/1/2041		1,271,486	1,319,984
FNMA	3.00	12/1/2042		45,415	45,908
FHLMC	5.00	2/1/2017		90	91
FNMA	4.50	2/1/2041		482,359	521,842
FNMA	4.00	2/1/2044		1,436,795	1,529,186
FHLMC	4.00	10/1/2043		202,011	213,505
FHLMC	8.50	9/15/2022		14,918	15,974
FNMA	3.00	12/1/2042		254,151	256,905
FHLMC	6.00	3/1/2036		2,587,142	2,953,706
FNMA	5.50	6/1/2038		30,687	34,195
FHLMC	5.00	3/1/2018		1,045	1,080
FNMA	3.00	1/1/2043		320,521	323,995
FHLMC	3.50	10/1/2026		2,607,329	2,733,613
FHLMC	5.00	11/1/2017	��	407	410
FNMA	3.00	9/1/2042		80,531	81,404
FHLMC MULTIFAMILY STRUCTURED P	2.22	12/25/2018		500,000	504,211
FHLMC	5.00	3/1/2018		961	972
FNMA	3.00	4/1/2043		128,862	129,979
FNMA	2.50	3/1/2027		453,671	459,935
FNMA	3.00	1/1/2043		115,380	116,380
FNMA	4.50	3/1/2024		6,229,350	6,569,179
FNMA	2.23	3/1/2033		11,973	12,759
FNMA	3.00	2/1/2043		65,075	65,640
FHLMC	4.00	5/1/2043		165,478	176,634
FNMA	4.00	11/1/2040		32,840	34,857
FHLMC	5.00	2/1/2017		303	307

Page 23



Security Description	Coupon	Maturity	Par	Fair Value
GNMA	2.50	4/20/2043	324,255	317,108
FNMA	2.25	5/1/2035	78,374	81,350
FHLMC	5.00	3/1/2018	2,857	2,975
FHLMC	4.00	7/1/2025	457,757	480,667
FHLMC	5.00	4/1/2018	700	704
FHLMC	5.00	9/1/2017	758	775
FNMA	3.00	4/1/2045	128,719	128,836
GNMA	4.00	10/20/2045	24,823,814	26,427,010
GNMA	4.00	5/20/2042	211,011	224,731
FNMA	3.50	8/1/2042	4,563,662	4,711,435
FHLMC	5.00	3/1/2017	333	337
FHLMC	5.50	2/1/2018	59,788	61,207
FHLMC	5.00	3/1/2018	281	282
FNMA	4.50	2/1/2044	400,000	432,047
FHLMC	5.00	3/1/2017	578	591
FNMA	5.00	6/1/2041	92,338	101,988
FHLMC	5.00	4/1/2017	885	905
FHLMC	5.00	11/1/2018	4,958	5,163
FNMA	1.88	6/1/2033	130,393	138,590
FHLMC	5.00	10/1/2017	4,620	4,724
FNMA	4.00	1/1/2045	1,092,409	1,156,461
FHLMC	5.00	9/1/2017	107	109
FNMA	5.00	4/1/2040	237,984	267,044
FHLMC	5.00	1/1/2017	416	418
FNMA	3.50	2/1/2041	725,134	749,652
FHLMC	5.00	9/1/2016	94	97
FNMA	5.00	10/1/2035	430,855	474,538
FNMA	5.50	7/1/2036	55,184	61,497
FHLMC	6.00	6/1/2036	12,558	14,241
FNMA	3.00	1/1/2043	94,586	95,407
GNMA	3.00	10/15/2042	96,635	98,344
FHLMC	6.00	3/1/2031	6,127	6,796
FNMA	3.00	12/1/2042	171,164	173,020
FHLMC	5.00	10/1/2017	2,540	2,597
FNMA	3.00	1/1/2043	265,381	268,257
FHLMC	5.00	2/1/2017	833	852
FNMA	4.00	2/1/2042	1,330,490	1,412,234
FHLMC	5.00	9/1/2017	1,721	1,760
GNMA	7.00	5/15/2031	7,541	8,399
GNMA	4.00	3/20/2045	17,398,244	18,490,560
FNMA	5.00	1/1/2039	902,343	1,012,861
FNMA	6.50	12/1/2016	144,804	148,086
FNMA	2.18	1/1/2035	132,208	141,237
FNMA	6.50	7/1/2036	133,686	152,871
FNMA	3.50	4/1/2043	530,291	547,581

Page 24



Security Description	Coupon	Maturity	Par		Fair Value
FHLMC	5.00	2/1/2018	2,605		2,712
GNMA	3.50	1/15/2042	1,866,080		1,952,611
FNMA	1.99	3/1/2035	178,261		186,647
FNMA	5.50	10/1/2034	322		363
FNMA	3.00	12/1/2042	183,335		185,322
FNMA	2.50	9/1/2028	1,245,903		1,262,352
FHLMC	5.00	7/1/2018	4,314		4,492
FNMA	3.50	11/1/2028	29,670		31,121
FNMA	4.50	1/1/2041	427,647		462,651
GNMA	3.50	2/15/2042	1,495,214		1,564,547
FNMA	2.50	2/1/2028	344,273		347,437
FNMA	3.00	1/1/2031	1,650,000		1,701,384
FNMA	5.00	7/1/2041	129,140		142,085
FNMA	2.26	1/1/2035	36,910		39,315
FNMA	3.00	1/1/2043	69,888		70,494
FNMA	3.00	11/1/2028	739,202		762,805
FHLMC	5.00	4/1/2018	448		451
FHLMC	5.00	3/1/2017	906		927
FNMA	3.50	10/1/2042	4,132,816		4,270,845
FHLMC	4.50	5/1/2041	2,145,506		2,315,709
FNMA	5.50	6/1/2039	140,460		156,534
FNMA	6.00	7/1/2036	13,465		15,191
FNMA	4.50	8/1/2039	25,210		27,223
FNMA	5.00	5/1/2038	4,349		4,784
FHLMC	5.00	2/1/2017	452		462
GNMA	3.50	8/20/2045	2,962,891		3,093,860
FHLMC	5.00	11/1/2017	971		999
GNMA	4.00	9/20/2045	80,139,051		85,314,669
FHLMC	5.00	11/1/2017	1,233		1,261
FNMA	3.00	11/1/2042	135,593		137,063
FNMA	4.50	4/1/2041	1,234,458		1,336,359
FHLMC	6.00	12/1/2037	17,034		19,183
FNMA	6.00	8/1/2037	2,026		2,288
FNMA	4.00	7/1/2041	490,124		520,237
FHLMC	5.00	10/1/2036	733,016		802,633
FHLMC	5.00	7/1/2018	3,777		3,933
			708,511,746		$	751,838,881

Non Agency RMBS
AIREM_06-1A	0.79	9/20/2066	1,242,115	��	$	1,186,941
CWALT_06-18CB	0.77	7/25/2036	2,776,796		1,740,242
CWALT_06-31CB	0.92	11/25/2036	1,415,453		959,717
CWALT_06-39CB	1.17	1/25/2037	1,130,213		844,050
BANK OF AMERICA MTG SEC	4.75	6/25/2019	551,572		557,744
BANC OF AMERICA FUNDING CORPOR	0.71	5/25/2037	5,685,346		4,183,375

Page 25



Security Description	Coupon	Maturity	Par	Fair Value
BSARM_04-10	2.73	8/25/2033	15,432	15,188
CWALT_04-J4	1.00	6/25/2034	4,533,016	4,370,474
COUNTRYWIDE ALTERNATIVE LOAN T	0.72	11/20/2035	1	—
CS FIRST BOSTON MORTGAGE SECUR	3.57	10/25/2033	95,963	93,415
GNMA	3.50	3/15/2045	4,810,055	5,019,656
HALO_07-WF1	0.52	12/25/2036	3,296,064	1,348,258
NGN_11-R3	0.59	3/11/2020	793,036	791,807
NOMURA ASSET ACCEPTANCE CORPOR	6.02	4/25/2047	3,579,658	2,912,590
RES ASSET SEC	2.53	3/25/2035	682,243	451,805
SARM	2.58	2/25/2035	1,591,377	1,522,208
WAMU	1.20	10/25/2045	3,554,693	3,445,230
WASHINGTON MUTUAL	1.16	11/25/2034	217,149	206,486
WAMU_04-A12	0.83	10/25/2044	3,720,959	3,603,080
BRUNEL RESIDENTIAL MORTGAGE SE	0.52	1/13/2039	769,384	762,700
			40,460,524	$	34,014,964

CMBS
AVMT_13-AVM	3.87	12/5/2032	6,200,000	$	6,469,916
BAMLL_11-07C1	5.38	11/15/2016	4,340,547	4,395,759
BACM	5.89	7/10/2044	6,684,667	6,719,957
BACM	5.36	10/10/2045	2,400,000	2,429,885
BANC OF AMERICA	5.63	7/10/2046	2,806,575	2,829,368
BANC OF AMERICA	5.41	9/10/2047	3,026,613	3,061,659
BANC OF AMERICA	5.48	9/10/2047	28,090,000	25,847,699
BACM_07-2	5.74	4/10/2049	1,191,635	1,226,189
BSCMS	5.20	12/11/2038	475,016	484,189
BSCMS_07-PW18	5.60	6/11/2050	9,392,499	9,853,918
CITIGROUP/DEUTSCHE BANK COMMER	5.45	1/15/2046	19,550,000	19,037,596
CD_07-CD4	5.32	12/11/2049	2,500,141	2,542,227
CD_07-CD4	5.40	12/11/2049	15,521,849	12,972,385
COMM_13-CR12	1.56	10/10/2046	15,076,052	1,085,225
COMM MORTGAGE TRUST COMM_14-UB	4.84	8/10/2047	24,766,000	20,921,262
COMM_14-CR16	1.41	4/10/2047	19,659,404	1,248,809
COMM_14-UBS3	3.82	6/10/2047	134,000	137,910
COMM_14-UBS6	4.11	12/10/2047	7,111,000	5,570,221
COMM_15-CR23	2.85	5/10/2048	1,370,000	1,388,136
COMM_15-PC1	1.67	7/10/2050	8,495,146	8,423,491
COMM_12-LC4	4.06	12/10/2044	134,000	140,702
COMM	1.83	8/15/2045	35,111,461	3,021,738
COMM_13-CR6	2.62	3/10/2046	335,000	333,533
COMM_13-LC13	4.21	8/10/2046	268,000	286,371
CSAIL_15-C4	3.81	11/18/2048	4,000,000	4,077,811
CITIGROUP	5.43	10/15/2049	2,005,895	2,032,754
CGCMT_07-C6	5.90	12/10/2049	5,149,798	5,334,127
CITIGROUP COMMERCIAL MORTGAGE	3.02	9/10/2045	335,000	335,612

Page 26



Security Description	Coupon	Maturity	Par	Fair Value
CGCMT_13-GC11	3.09	4/10/2046	8,200,000	8,171,042
CGCMT_13-GC15	1.25	9/10/2046	10,389,868	566,077
CITIGROUP COMMERCIAL MORTGAGE	4.13	11/10/2046	168,000	177,894
CGCMT_14-GC23	3.62	7/10/2047	134,000	136,785
CGCMT 2015-GC27	2.94	2/10/2048	1,940,000	1,915,001
CGCMT_15_GC27	4.43	2/10/2048	11,750,000	9,159,501
CWCAPITAL COBALT	5.22	8/15/2048	3,880,651	3,942,515
CWCI	5.48	4/15/2047	3,000,711	3,084,040
CWCI_07-C3	5.77	5/15/2046	3,878,434	4,055,003
COMMERCIAL MORTGAGE PASS-THROU	5.96	6/10/2046	2,419,131	2,439,059
COMM	5.99	12/10/2049	3,897,940	4,043,228
GCCFC	5.44	3/10/2039	3,755,595	3,839,268
GREENWICH COMMERCIAL FUNDING C	5.51	3/10/2039	42,985,000	40,522,450
CMLT	6.25	12/10/2049	2,145,311	2,211,549
CREDIT SUISSE MORTGAGE CAPITAL	5.82	6/15/2038	8,662,191	8,678,630
CREDIT SUISSE MORTGAGE CAPITAL	5.31	12/15/2039	2,822,163	2,851,704
CREDIT SUISSE MORTGAGE CAPITAL	5.37	12/15/2039	47,408,252	46,081,281
CSMC_07-C2	5.53	1/15/2049	4,171,393	4,296,417
CSMC	5.70	9/15/2040	3,086,248	3,188,568
DBUBS_11-LC1	3.74	11/10/2046	226,170	226,577
FNMA	2.98	4/25/2022	1,700,000	1,762,684
FNMA_12-M8	1.52	12/25/2019	1,500,352	1,504,500
FNMA_12-M8	1.80	12/25/2019	2,100,000	2,106,157
FNMA_12-M14	2.30	9/25/2022	200,000	199,299
FHMS_19-K710	1.88	5/25/2019	10,700,000	10,696,004
FHLMC	2.37	5/25/2022	5,000,000	4,960,013
FHLMC_K021	1.49	6/25/2022	33,863,823	2,563,180
FHLMC_13-HN	3.11	2/25/2023	16,000,000	16,440,547
GECMC_07-C1	5.48	12/10/2049	6,315,707	6,541,338
GSMSCII_12-GC6	2.24	1/10/2045	14,153,072	1,241,374
GS MORTGAGE SECURITIES CORPORA	2.77	11/10/2045	335,000	329,538
GS MORTGAGE SECURITIES TRUST G	3.14	6/10/2046	168,000	167,624
GSMS_13-GC13	4.17	7/10/2046	402,000	428,437
GSMS_14-GC26	4.66	11/10/2047	9,294,000	7,771,052
GS MORTGAGE SECURITIES TRUST G	2.90	2/10/2048	2,180,000	2,211,927
GSMS_14-GC18	1.42	1/10/2047	23,863,716	1,565,369
GSMS_14-GC24	4.66	9/10/2047	1,090,000	859,705
JPMBB COMMERCIAL MORTGAGE SECU	2.82	11/15/2048	2,630,000	2,654,349
JPMCC	5.55	5/12/2045	5,919,378	5,988,844
JPMCC	5.34	5/15/2047	1,809,945	1,843,403
JPMCC_06-LDP9	5.26	5/15/2047	1,228,275	1,246,553
JPMCC	5.44	6/12/2047	2,773,192	2,839,751
JP MORGAN CHASE COMMERICAL MOR	5.50	6/12/2047	26,156,932	24,361,334
JPMCC	5.43	12/12/2043	1,271,653	1,292,967
JP MORGAN CHASE COMMERCIAL MOR	5.42	1/15/2049	844,792	862,199

Page 27



Security Description	Coupon	Maturity	Par	Fair Value
JP MORGAN CHASE COMMERCIAL MOR	5.89	2/12/2049	42,621,000	39,754,580
JPMCC	5.79	2/12/2051	2,597,913	2,700,514
JPMCC	5.88	2/15/2051	2,100,000	2,177,932
JPMCC_12-LC9	1.68	12/15/2047	335,000	333,399
JPMBB_14-C22	3.80	9/15/2047	134,000	137,190
JPMBB_14-C23	3.18	9/15/2047	6,000,000	6,152,128
JPMBB_14-C24	2.94	11/15/2047	900,000	915,152
JPMBB_14-C24	3.37	11/15/2047	168,000	168,089
JPMBB_14-C25	2.95	11/15/2047	5,470,000	5,563,384
JPMBB_14-C26	3.93	1/15/2048	21,911,000	16,424,810
JPMBB_14-C26	3.02	1/15/2048	4,320,000	4,403,951
JPMBB_15-C27	3.85	2/15/2048	1,460,400	1,070,197
JPMCCMSC_15-C28	3.74	10/15/2048	4,600,000	3,349,029
JPMBB	2.92	5/15/2048	1,070,000	1,085,888
LBUBS	5.37	9/15/2039	232,406	235,773
MLCFC_06-4	5.17	12/12/2049	1,550,076	1,575,093
MERRIL LYNCH COUNTRYWIDE	2.34	8/12/2048	43,718,578	41,185,703
MERRIL LYNCH COUNTRYWIDE	5.45	8/12/2048	11,150,200	10,504,203
MLCFC_07-9	6.19	9/12/2049	1,060,000	1,055,859
MSBAM_15-C22	4.24	5/15/2046	3,889,000	3,157,125
MORGAN STANLEY CAPITAL	3.88	9/15/2047	540,670	540,612
MSC_06-HQ9	5.73	7/12/2044	1,569,042	1,578,629
MSC	5.33	12/15/2043	1,310,967	1,334,229
MSC_07-IQ13	5.44	3/15/2044	7,469,500	7,408,457
MSBAM_12-C6	1.87	11/15/2045	300,000	299,985
MSBAM_13-C13	1.20	11/15/2046	19,057,472	1,204,213
MSBAM_14-C18	3.39	10/15/2047	1,814,440	1,398,700
MSBAM_15-C20	3.07	2/15/2048	9,231,500	6,830,090
MSBAM_15-C20	3.07	2/15/2048	1,470,000	1,472,617
SWAY_14-1	4.63	1/17/2032	1,651,000	1,639,929
UBS-BARCLAYS COMMERCIAL MORTGA	3.53	5/10/2063	235,000	240,425
UBSBB_12-C3	2.25	8/10/2049	6,360,573	584,145
WFRBS_12-C10	1.75	12/15/2045	2,272,023	186,775
WFRBS_12-C10	2.88	12/15/2045	335,000	330,859
WF-RBS COMMERCIAL MORTGAGE TRU	3.43	6/15/2045	168,000	172,166
WF-RBS COMMERCIAL MORTGAGE TRU	3.04	3/15/2045	214,000	213,187
WFRBS_13-C12	1.44	3/15/2048	2,969,311	198,676
WFRBS_14-C21	1.18	8/15/2047	19,250,716	1,321,718
WBCMT_07-C30	0.49	12/15/2043	29,005,914	133,827
WBCMT	5.71	6/15/2049	2,000,000	2,048,632
WFCM_12-LC5	2.92	10/15/2045	218,000	216,696
WFCM_14-LC16	3.94	8/15/2050	2,096,000	1,678,874
WFCM_15-C26	2.91	2/15/2048	3,900,000	3,741,269
WFCM_15-C31	3.49	11/15/2048	1,800,000	1,826,752
			833,077,897	$	582,784,643

Page 28



Security Description	Coupon	Maturity	Par		Fair Value

Corporate Debt Securities - Financials
ABN AMRO BANK NV	2.50	10/30/2018	7,000,000		$	7,071,753
ABN AMRO BANK NV	2.45	6/4/2020	5,750,000		5,711,601
AFLAC INC	2.65	2/15/2017	170,000		172,295
ABBEY NATIONAL TREASURY SERVIC	3.05	8/23/2018	4,155,000		4,253,321
ABBEY NATIONAL TREASURY SERVIC	1.38	3/13/2017	2,055,000		2,046,306
AIR LEASE CORPORATION	2.13	1/15/2018	135,000		132,878
AMERICAN CAMPUS COMMUNITIES OP	3.35	10/1/2020	2,000,000		1,999,870
AMERICAN EXPRESS COMPANY	5.50	9/12/2016	4,000,000		4,119,400
AMERICAN EXPRESS COMPANY	1.55	5/22/2018	6,175,000		6,125,462
AMERICAN EXPRESS CREDIT CORPOR	2.80	9/19/2016	170,000		172,016
AMERICAN EXPRESS CREDIT CORPOR	2.13	3/18/2019	9,000,000		8,978,888
AMERICAN EXPRESS CREDIT CORPOR	2.25	8/15/2019	3,100,000		3,087,065
AMERICAN INTERNATIONAL GROUP I	5.60	10/18/2016	65,000		67,144
APOLLO INVSTMNT	5.25	3/3/2025	2,250,000		2,197,756
ARC PROPERTIES OPERATING PARTN	2.00	2/6/2017	8,000,000		7,840,776
AUSTRALIA & NEW ZEALAND BANKIN	1.45	5/15/2018	250,000		247,548
AUSTRALIA & NEW ZEALAND BANKIN	1.25	1/10/2017	2,385,000		2,384,220
AUSTRALIA & NEW ZEALAND BANKIN	2.25	6/13/2019	3,700,000		3,698,692
AUSTRALIA & NEW ZEALAND BANKIN	2.00	11/16/2018	10,925,000		10,902,321
BB&T CORP	1.60	8/15/2017	10,400,000		10,410,659
BB&T CORP	2.45	1/15/2020	2,600,000		2,603,859
BB&T CORP	2.63	6/29/2020	3,000,000		3,011,786
BNP PARIBAS SA	5.00	1/15/2021	1,500,000		1,654,025
BNP PARIBAS SA	2.40	12/12/2018	9,275,000		9,321,154
BNP PARIBAS SA	1.38	3/17/2017	5,045,000		5,036,696
BPCE SA	2.50	12/10/2018	3,965,000		4,007,224
BPCE SA	0.93	11/18/2016	3,280,000		3,280,722
BANCO SANTANDER CHILE	1.22	4/11/2017	4,500,000		4,443,750
BANK OF AMERICA CORP	6.00	9/1/2017	10,695,000		11,377,523
BANK OF AMERICA CORP	1.13	11/14/2016	1,500,000		1,497,135
BANK OF AMERICA CORP	5.65	5/1/2018	2,750,000		2,956,443
BANK OF AMERICA CORP	7.63	6/1/2019	2,700,000		3,111,993
BANK OF AMERICA CORP	5.63	7/1/2020	4,500,000		4,987,688
BANK OF AMERICA CORP	2.00	1/11/2018	3,370,000		3,362,377
BANK OF AMERICA CORP	2.60	1/15/2019	6,575,000		6,597,818
BANK OF AMERICA CORP	2.65	4/1/2019	4,960,000		4,972,109
BANK OF AMERICA CORP	4.20	8/26/2024	2,535,000		2,524,755
BANK OF AMERICA CORP	3.95	4/21/2025	6,000,000		5,841,986
BANK OF MONTREAL	2.50	1/11/2017	1,505,000		1,523,651
BANK OF MONTREAL	1.40	9/11/2017	200,000		199,226
BANK OF MONTREAL	2.63	1/25/2016	6,000,000		6,003,474
BANK OF MONTREAL	1.95	1/30/2017	2,600,000		2,620,410
BANK OF NEW YORK MELLON	2.40	1/17/2017	2,948,000	��	2,983,736

Page 29



Security Description	Coupon	Maturity	Par	Fair Value
BANK OF NEW YORK MELLON CORP/T	2.10	1/15/2019	168,000	168,430
BANK OF NEW YORK MELLON CORP/T	2.20	5/15/2019	135,000	135,210
BANK OF NEW YORK MELLON CORP/T	2.30	9/11/2019	4,170,000	4,179,967
BANK OF NOVA SCOTIA	2.55	1/12/2017	170,000	172,199
BANK OF NOVA SCOTIA	1.38	12/18/2017	100,000	99,371
BANK OF NOVA SCOTIA	2.05	10/30/2018	100,000	100,069
BANK OF NOVA SCOTIA	1.25	4/11/2017	3,930,000	3,920,947
BANK OF NOVA SCOTIA	2.05	6/5/2019	4,300,000	4,271,675
BANK OF NOVA SCOTIA	2.35	10/21/2020	3,000,000	2,970,217
BANK OF NOVA SCOTIA	1.75	3/22/2017	6,000,000	6,035,700
BANK OF TOKYO-MITSUBISHI UFJ L	1.55	9/9/2016	2,860,000	2,863,935
BANK OF TOKYO MITSUBISHI UFJ L	3.75	3/10/2024	3,625,000	3,708,224
BANK OF TOKYO MITSUBISHI UFJ L	2.35	9/8/2019	1,900,000	1,882,017
BANK OF TOKYO-MITSUBISHI UFJ L	2.75	9/14/2020	1,500,000	1,499,931
BANQUE FEDERATIVE DU CREDIT MU	2.75	10/15/2020	12,725,000	12,707,393
BARCLAYS BANK PLC	5.00	9/22/2016	100,000	102,681
BARCLAYS BANK PLC	2.50	2/20/2019	10,950,000	11,032,115
BRANCH BKG & TR CO	1.05	12/1/2016	2,645,000	2,640,616
BB&T CORP	1.35	10/1/2017	4,570,000	4,551,730
BEAR STEARNS COMPANIES LLC/THE	7.25	2/1/2018	4,800,000	5,288,310
CBL & ASSOCIATES LP	5.25	12/1/2023	625,000	596,688
CBL & ASSOCIATES LP	4.60	10/15/2024	1,160,000	1,093,660
CANADIAN IMPERIAL BANK OF COMM	1.55	1/23/2018	100,000	99,247
CAPITAL ONE FINANCIAL CORP	4.20	10/29/2025	5,725,000	5,645,070
CAPITAL ONE BANK USA NA	2.15	11/21/2018	1,950,000	1,932,445
CAPITAL ONE BANK USA NA	2.40	9/5/2019	5,250,000	5,185,946
CATERPILLAR INC	1.25	8/18/2017	8,530,000	8,495,446
CITIGROUP INC	8.50	5/22/2019	1,800,000	2,139,298
CITIGROUP INC	2.50	9/26/2018	3,890,000	3,914,114
CITIGROUP INC	1.35	3/10/2017	3,620,000	3,610,096
CITIGROUP INC	1.03	3/10/2017	400,000	399,036
CITIGROUP INC	2.55	4/8/2019	135,000	135,544
CITIGROUP INC	1.55	8/14/2017	100,000	99,551
CITIGROUP INC	1.80	2/5/2018	3,500,000	3,481,101
CITIGROUP INC	2.05	12/7/2018	2,286,000	2,273,437
COMMONWEALTH BANK AUSTRALIA	4.50	12/9/2025	2,105,000	2,100,657
COMPASS BANK	1.85	9/29/2017	785,000	776,568
COMPASS BANK	2.75	9/29/2019	2,300,000	2,263,643
COMPASS BANK	3.88	4/10/2025	725,000	666,245
RABOBANK NEDERLAND NV	4.50	1/11/2021	2,000,000	2,177,946
RABOBANK NEDERLAND NV	3.38	1/19/2017	2,455,000	2,505,814
RABOBANK NEDERLAND NV	2.25	1/14/2019	5,000,000	5,014,521
RABOBANK NEDERLAND NV	2.25	1/14/2020	3,250,000	3,231,272
CREDIT AGRICOLE SA	2.63	10/3/2018	3,000,000	3,035,913
CREDIT AGRICOLE SA/LONDON	2.50	4/15/2019	3,400,000	3,410,571

Page 30



Security Description	Coupon	Maturity	Par	Fair Value
CREDIT SUISSE NEW YORK NY	6.00	2/15/2018	200,000	214,915
CREDIT SUISSE NEW YORK NY	5.40	1/14/2020	8,975,000	9,841,445
CREDIT SUISSE NEW YORK NY	2.30	5/28/2019	14,050,000	14,049,614
CREDIT SUISSE NEW YORK NY	1.75	1/29/2018	5,770,000	5,726,281
CUBESMART	4.80	7/15/2022	4,025,000	4,300,460
CUBESMART LP	4.38	12/15/2023	1,200,000	1,235,581
DNB BANK ASA	3.20	4/3/2017	6,425,000	6,553,622
DBS GROUP HOLDINGS LTD	2.25	7/16/2019	1,000,000	1,001,178
DEUTSCHE BK LDN	1.40	2/13/2017	100,000	99,414
DEUTSCHE BK LDN	1.88	2/13/2018	100,000	99,178
DEXIA CREDIT LOCAL/NEW YORK	1.25	10/18/2016	11,350,000	11,360,170
DISCOVER BANK/GREENWOOD DE	2.00	2/21/2018	3,725,000	3,692,196
DISCOVER BANK/GREENWOOD DE	4.20	8/8/2023	4,750,000	4,844,179
ERP OPERATING LIMITED PARTNERS	5.75	6/15/2017	100,000	105,603
EPR PROPERTIES	5.75	8/15/2022	3,000,000	3,142,197
FEDERAL REALTY INVESTMENT TRUS	2.55	1/15/2021	2,600,000	2,581,674
FIFTH THIRD BANK	1.15	11/18/2016	1,335,000	1,332,410
FIFTH THIRD BANK	0.87	11/18/2016	2,000,000	1,999,720
FIFTH THIRD BANK	1.35	6/1/2017	315,000	313,234
FIFTH THIRD BANK	2.38	4/25/2019	2,105,000	2,106,600
FIFTH THIRD BANK	2.88	10/1/2021	6,000,000	5,929,064
FRANKLIN RESOURCES INC	1.38	9/15/2017	4,000,000	3,991,443
GE CAPITAL INTERNATIONAL FUNDI	0.96	4/15/2016	16,183,000	16,188,616
GE CAPITAL INTERNATIONAL FUNDI	2.34	11/15/2020	12,918,000	12,800,829
GENERAL ELECTRIC CAPITAL CORP	5.55	5/4/2020	1,433,000	1,621,139
GENERAL ELECTRIC CAPITAL CORP	6.00	8/7/2019	86,000	97,407
GENERAL ELECTRIC CAPITAL CORP	2.20	1/9/2020	3,311,000	3,317,169
GENERAL ELECTRIC CAPITAL CORP	0.71	5/5/2026	4,000,000	3,708,680
GENERAL ELECTRIC CAP CORP	3.80	6/18/2019	3,500,000	3,673,750
GOLDMAN SACHS GROUP INC/THE	7.50	2/15/2019	8,100,000	9,256,177
GOLDMAN SACHS GROUP INC/THE	2.38	1/22/2018	268,000	269,883
GOLDMAN SACHS GROUP INC/THE	2.75	9/15/2020	775,000	774,624
GOLDMAN SACHS GROUP INC/THE	2.63	1/31/2019	1,800,000	1,814,045
GOLDMAN SACHS GROUP INC/THE	2.90	7/19/2018	785,000	799,050
GOLDMAN SACHS GROUP INC/THE	2.55	10/23/2019	135,000	134,849
GOLDMAN SACHS GROUP INC/THE	2.60	4/23/2020	5,500,000	5,481,967
GOLDMAN SACHS GROUP INC/THE	1.48	4/23/2020	4,500,000	4,506,660
GRAIN SPECTRUM FUNDING II LLC	3.29	10/10/2034	913,878	905,408
HCP INC	3.75	2/1/2019	200,000	206,243
HCP INC	4.00	12/1/2022	12,450,000	12,356,376
HSBC USA INC	1.63	1/16/2018	5,080,000	5,049,676
HSBC USA INC	1.50	11/13/2017	155,000	154,341
HSBC USA INC	2.35	3/5/2020	9,425,000	9,313,507
HSBC FINANCE CORP	5.50	1/19/2016	1,750,000	1,752,958
HSBC FINANCE CORP	6.68	1/15/2021	11,000,000	12,600,594

Page 31



Security Description	Coupon	Maturity	Par	Fair Value
HSBC BANK USA NA	6.00	8/9/2017	500,000	530,353
HEALTH CARE REIT INC	2.25	3/15/2018	1,580,000	1,577,462
HEALTHCARE TRUST OF AMERICA HO	3.38	7/15/2021	1,325,000	1,300,306
HUNTINGTON NATIONAL BANK THE	1.38	4/24/2017	5,955,000	5,919,775
HUTCHISON WHAMPOA FIN (CI) LTD	1.63	10/31/2017	440,000	436,955
ING BANK NV	3.75	3/7/2017	3,000,000	3,072,327
INDUSTRIAL & COMMERCIAL BANK O	2.35	11/13/2017	420,000	421,492
VOYA FINANCIAL INC	2.90	2/15/2018	168,000	170,093
JPMORGAN CHASE & CO	4.40	7/22/2020	3,925,000	4,179,725
JPMORGAN CHASE & CO	1.63	5/15/2018	1,605,000	1,588,742
JPMORGAN CHASE & CO	2.35	1/28/2019	1,710,000	1,712,482
JPMORGAN CHASE & CO	0.95	1/28/2019	10,525,000	10,447,115
JPMORGAN CHASE & CO	2.25	1/23/2020	6,725,000	6,642,323
JPMORGAN CHASE & CO	2.75	6/23/2020	1,150,000	1,152,825
JPMORGAN CHASE & CO	3.90	7/15/2025	3,500,000	3,600,285
JPMORGAN CHASE BANK NA	6.00	10/1/2017	4,700,000	5,023,900
JPMORGAN CHASE & CO	2.00	8/15/2017	9,775,000	9,805,703
JPMORGAN CHASE & CO	2.20	10/22/2019	1,000,000	990,927
KEY BANK NATIONAL ASSOCIATION	3.18	5/22/2022	2,650,000	2,618,793
KEY BANK NATIONAL ASSOCIATION	1.65	2/1/2018	6,900,000	6,865,673
KEY BANK NATIONAL ASSOCIATION	2.50	12/15/2019	2,970,000	2,958,825
KEY BANK NATIONAL ASSOCIATION	2.25	3/16/2020	8,370,000	8,220,784
KILROY REALTY LP	4.25	8/15/2029	5,725,000	5,594,042
LEASEPLAN CORPORATION NV	2.50	5/16/2018	1,500,000	1,487,851
LLOYDS BANK PLC	2.30	11/27/2018	1,000,000	1,003,508
LLOYDS BANK PLC	2.40	3/17/2020	5,950,000	5,909,634
LLOYDS BANK PLC	4.20	3/28/2017	100,000	103,142
MACQUARIE BANK LTD	1.65	3/24/2017	1,800,000	1,796,012
MACQUARIE BANK LTD	2.60	6/24/2019	4,000,000	3,980,130
MACQUARIE BANK LTD	2.40	1/21/2020	2,500,000	2,480,802
MANUFACTURERS AND TRADERS TRUS	5.63	12/1/2021	250,000	247,500
MELLON FUNDING CORPORATION	5.50	11/15/2018	4,050,000	4,431,238
MERRILL LYNCH & CO. INC.	6.40	8/28/2017	5,000,000	5,349,945
METLIFE INC	6.82	8/15/2018	200,000	224,353
METLIFE GLOBAL FUNDING INC I	1.30	4/10/2017	2,220,000	2,219,089
MITSUBISHI UFJ TRUST AND BANKI	1.60	10/16/2017	3,600,000	3,573,356
MIZUHO CORPORATE BANK LTD	1.30	4/16/2017	2,265,000	2,251,962
MIZUHO BANK LTD	1.70	9/25/2017	630,000	625,384
MIZUHO CORPORATE BANK LTD	1.80	3/26/2018	6,000,000	5,944,677
MORGAN STANLEY	6.63	4/1/2018	8,400,000	9,210,379
MORGAN STANLEY	2.13	4/25/2018	985,000	985,887
MORGAN STANLEY	4.35	9/8/2026	925,000	926,859
MORGAN STANLEY	2.50	1/24/2019	1,805,000	1,810,258
MORGAN STANLEY	2.38	7/23/2019	2,400,000	2,384,108
MORGAN STANLEY	7.30	5/13/2019	4,500,000	5,156,916

Page 32



Security Description	Coupon	Maturity	Par	Fair Value
MORGAN STANLEY	2.65	1/27/2020	3,200,000	3,186,428
MORGAN STANLEY	2.80	6/16/2020	6,000,000	6,004,820
MORGAN STANLEY	3.70	10/23/2024	15,350,000	15,411,769
NYSE EURONEXT	2.00	10/5/2017	3,000,000	3,011,249
NATIONAL AUSTRALIA BANK LIMITE	2.75	3/9/2017	150,000	152,409
NATIONAL AUSTRALIA BANK LTD	1.25	3/17/2017	3,595,000	3,587,146
NATIONAL BK OF CANADA	2.10	12/14/2018	2,634,000	2,633,556
NATIONAL BK OF CANADA	1.45	11/7/2017	1,885,000	1,871,943
NATIONAL RETAIL PROPERTIES INC	4.00	11/15/2025	2,700,000	2,661,731
NATIONAL RURAL UTILITIES COOP	1.10	1/27/2017	134,000	133,883
NATIONAL RURAL UTILITIES COOP	2.00	1/27/2020	1,250,000	1,217,378
NATIONAL RURAL UTILITIES COOP	2.30	11/1/2020	5,000,000	4,909,726
NATIONWIDE BUILDING SOCIETY	3.90	7/21/2025	2,950,000	3,038,877
NOMURA HOLDINGS INC	2.00	9/13/2016	170,000	170,519
NORDEA BANK AB	1.25	4/4/2017	1,515,000	1,511,563
OMEGA HEALTHCARE INVESTORS INC	4.50	1/15/2025	2,500,000	2,442,666
PNC FUNDING CORP	5.13	2/8/2020	3,000,000	3,280,601
PNC FUNDING CORP	4.38	8/11/2020	2,950,000	3,149,534
PNC BANK NATIONAL ASSOCIATION	5.25	1/15/2017	3,000,000	3,117,672
PNC BANKCORP INC	4.88	9/21/2017	250,000	261,744
PNC BANK NATIONAL ASSOCIATION	1.15	11/1/2016	7,050,000	7,050,000
PNC BANK NATIONAL ASSOCIATION	2.25	7/2/2019	7,350,000	7,337,565
PNC BANK NATIONAL ASSOCIATION	2.60	7/21/2020	3,500,000	3,499,890
PROLOGIS LP	3.35	2/1/2021	4,500,000	4,550,074
PROLOGIS INTERNATIONAL FUNDING	4.88	2/15/2020	1,400,000	1,475,966
PROVIDENT FUNDING ASSOCIATES L	6.75	6/15/2021	500,000	483,750
PRUDENTIAL FINANCIAL INC	2.30	8/15/2018	135,000	135,600
RABOBANK NEDERLAND NV	1.70	3/19/2018	2,375,000	2,368,587
REALTY INCOME CORP	5.95	9/15/2016	100,000	103,048
REGIONS BANK	2.25	9/14/2018	1,290,000	1,287,479
ROYAL BANK OF CANADA	1.50	1/16/2018	170,000	169,102
ROYAL BANK OF SCOTLAND PLC THE	6.40	10/21/2019	125,000	138,742
ROYAL BANK OF SCOTLAND PLC	4.38	3/16/2016	8,590,000	8,646,007
ROYAL BANK OF CANADA	1.45	9/9/2016	2,085,000	2,091,985
ROYAL BANK OF CANADA	1.25	6/16/2017	1,000,000	995,945
ROYAL BANK OF CANADA	1.20	9/19/2017	7,700,000	7,658,728
ROYAL BANK OF CANADA	2.35	10/30/2020	5,000,000	4,950,124
ROYAL BANK OF CANADA	2.00	12/10/2018	3,000,000	3,002,169
SBA TOWER TRUST	5.10	4/15/2017	2,300,000	2,328,479
SANTANDER UK GROUP HOLDINGS PL	2.88	10/16/2020	7,875,000	7,830,976
SANTDR ISSUANCES	5.18	11/19/2025	3,600,000	3,532,533
SANTANDER HOLDINGS USA INC	3.45	8/27/2018	2,600,000	2,649,780
SANTANDER HOLDINGS USA INC	2.65	4/17/2020	7,460,000	7,281,585
CHARLES SCHWAB CORPORATIO	1.50	3/10/2018	950,000	945,021
SELECT INCOME REIT	2.85	2/1/2018	1,000,000	998,091

Page 33



Security Description	Coupon	Maturity	Par	Fair Value
SELECT INCOME REIT	3.60	2/1/2020	825,000	829,568
SENIOR HOUSING PROPERTIES TRUS	3.25	5/1/2019	3,675,000	3,657,592
SENIOR HOUSING PROPERTIES TRUS	4.75	5/1/2024	3,475,000	3,405,573
SIMON PROPERTY GROUP LP	1.50	2/1/2018	14,000,000	13,873,502
SIMON PROPERTY GROUP LP	2.20	2/1/2019	168,000	168,458
SOUND PT CLO VIII LTD / SOUND	1.85	4/15/2027	19,050,000	18,758,726
SOUND PT CLO VIII LTD / SOUND	2.37	4/15/2027	3,750,000	3,547,084
STANDARD CHARTERED PLC	2.40	9/8/2019	2,000,000	1,972,090
SUMITOMO MITSUI BANKING CORP	1.50	1/18/2018	1,940,000	1,919,693
SUMITOMO MITSUI BANKING CORP	0.99	7/19/2016	40,000	40,042
SUMITOMO MITSUI BANKING CORP	2.45	1/16/2020	250,000	248,563
SUMITOMO MITSUI BANKING CORP	2.65	7/23/2020	2,950,000	2,944,871
SUNTRUST BANKS INC	1.35	2/15/2017	940,000	937,058
SUNTRUST BANKS INC	3.50	1/20/2017	170,000	172,960
SVENSKA HANDELSBANKEN AB	2.88	4/4/2017	5,000,000	5,089,585
SVENSKA HANDELSBANKEN AB	2.50	1/25/2019	250,000	251,466
SWEDBANK AB	2.13	9/29/2017	2,005,000	2,011,576
SWEDBANK AB	1.75	3/12/2018	5,025,000	4,984,764
SYNCHRONY FINANCIAL	3.00	8/15/2019	3,725,000	3,718,512
SYNCHRONY FINANCIAL	2.70	2/3/2020	4,055,000	3,977,723
SYNCHRONY FINANCIAL	2.60	1/15/2019	3,750,000	3,745,039
TD AMERITRADE HLDG CORP	2.95	4/1/2022	8,000,000	7,893,514
TIAA ASSET MANAGEMENT FINANCE	2.95	11/1/2019	2,005,000	2,008,526
TORONTO-DOMINION BANK/THE	1.40	4/30/2018	135,000	133,698
TORONTO-DOMINION BANK/THE	1.13	5/2/2017	8,000,000	7,962,303
UBS AG (STAMFORD BRANCH)	4.88	8/4/2020	5,500,000	6,063,065
UBS AG (STAMFORD BRANCH)	1.38	8/14/2017	5,425,000	5,389,866
UBS AG (STAMFORD BRANCH)	2.38	8/14/2019	250,000	249,777
UBS AG (STAMFORD BRANCH)	1.80	3/26/2018	6,000,000	5,957,641
US BANK NATIONAL ASSOCIATION	1.38	9/11/2017	6,000,000	6,000,258
US BANK NA/CINCINNATI OH	2.13	10/28/2019	3,000,000	2,997,162
US BANK NATIONAL ASSOCIATION	1.35	1/26/2018	3,365,000	3,351,716
US BANK NA/CINCINNATI OH	2.80	1/27/2025	6,600,000	6,405,802
UBS GROUP FUNDING JERSEY LTD	2.95	9/24/2020	3,450,000	3,416,720
MUFG UNION BANK NA	3.00	6/6/2016	7,800,000	7,863,024
MUFG UNION BANK NA	2.13	6/16/2017	3,400,000	3,416,695
MUFG UNION BANK NA	2.25	5/6/2019	7,585,000	7,512,192
MUFG UNION BANK NA	2.63	9/26/2018	7,000,000	7,062,771
US BANCORP	1.65	5/15/2017	2,000,000	2,006,817
US BANCORP	0.85	11/15/2018	8,625,000	8,626,380
US BANCORP	2.20	4/25/2019	1,780,000	1,788,272
UNITEDHEALTH GROUP INCORPORATE	1.90	7/16/2018	3,500,000	3,509,999
UNITEDHEALTH GROUP INCORPORATE	3.35	7/15/2022	1,670,000	1,705,849
VISA INC	1.20	12/14/2017	2,200,000	2,198,636
VISA INC	2.20	12/14/2020	10,000,000	9,999,697

Page 34



Security Description	Coupon	Maturity	Par	Fair Value
VISA INC	2.80	12/14/2022	14,600,000	14,648,604
VISA INC	4.30	12/14/2045	1,125,000	1,143,884
WEA FINANCE LLC /WESTFIELD UK	2.70	9/17/2019	4,220,000	4,172,743
WEA FINANCE LLC /WESTFIELD UK	3.25	10/5/2020	1,075,000	1,078,669
VORNADO REALTY LP	2.50	6/30/2019	2,300,000	2,269,570
WACHOVIA CORP	5.75	6/15/2017	3,200,000	3,388,750
WELLS FARGO & COMPANY	4.60	4/1/2021	3,150,000	3,421,626
WELLS FARGO & COMPANY	2.10	5/8/2017	170,000	171,629
WELLS FARGO & COMPANY	2.15	1/15/2019	5,875,000	5,888,658
WELLS FARGO & COMPANY	2.13	4/22/2019	2,800,000	2,797,691
WELLS FARGO & COMPANY	3.30	9/9/2024	3,800,000	3,778,379
WELLS FARGO & COMPANY	2.15	1/30/2020	2,730,000	2,697,253
WELLS FARGO & COMPANY	4.30	7/22/2027	3,600,000	3,660,470
WELLS FARGO & COMPANY	2.60	7/22/2020	5,000,000	5,001,978
WELLS FARGO & COMPANY	2.55	12/7/2020	2,000,000	1,991,656
WELLS FARGO BANK NA	0.57	5/16/2016	1,350,000	1,349,122
WESTPAC BANKING CORP	2.00	8/14/2017	3,875,000	3,900,761
WESTPAC BANKING CORP	1.60	1/12/2018	170,000	169,478
WESTPAC BANKING CORP	1.05	11/25/2016	1,135,000	1,134,501
WESTPAC BANKING CORP	1.95	11/23/2018	2,355,000	2,348,105
WESTPAC BANKING CORP	2.00	5/21/2019	12,500,000	12,449,375
ENDO LUXEMBOURG FINANCE I COMP	0.00	9/26/2022	250,000	246,250
MORGAN STANLEY	4.00	10/23/2017	2,500,000	1,795,527
HONGKONG LAND TR	3.86	12/29/2017	2,500,000	1,811,423
CMT MTN	3.85	3/15/2017	500,000	359,313
CMT MTN	3.55	9/1/2017	1,750,000	1,257,659
ROYAL BANK OF SCOTLAND PLC	4.00	3/15/2016	36,300,000	39,736,519
MACQUARIE BANK LTD	3.30	4/8/2016	2,500,000	1,768,882
BANK OF CHINA HK	2.51	8/10/2016	20,000,000	2,595,563
SUN HUNG KAI PROPERTIES CAPITA	3.50	11/2/2016	1,000,000	1,015,140
MTR CORPORATION CI LTD	2.00	4/12/2017	3,500,000	3,510,049
BOC AVIATION PTE LTD	2.88	10/10/2017	500,000	503,445
CUNNINGHAM LINDSEY GROUP INC	0.00	12/10/2019	1,395,562	900,137
CONFIE SEGUROS HOLDING II CO	0.00	11/9/2018	1,965,955	1,941,381
CONFIE SEGUROS HOLDING II CO	0.00	5/8/2019	185,000	182,225
ASURION LLC	0.00	5/24/2019	1,190,397	1,119,717
BANK OF COMMUNICATIONS CO LTD	1.99	3/19/2018	10,000,000	1,288,736
CGSC OF DELAWARE HOLDINGS CORP	0.00	4/16/2020	833,625	796,112
CGSC OF DELAWARE HOLDINGS CORP	0.00	10/16/2020	250,000	232,500
FLYING FORTRESS INC	0.00	4/30/2020	450,000	447,938
CAPITAL AUTOMOTIVE	0.00	4/10/2019	158,734	158,304
CAPITAL AUTOMOTIVE	0.00	4/30/2020	1,180,000	1,162,300
AMERICAN STOCK TRANSFER & TRUS	0.00	6/26/2020	2,173,447	2,100,093
LARCHMONT RESOURCES LLC	0.00	7/31/2019	694,942	434,339
WALTER INVESTMENT MANAGEMENT C	0.00	12/18/2020	1,304,583	1,120,311

Page 35



Security Description	Coupon	Maturity	Par	Fair Value
ASURION LLC	0.00	3/3/2021	610,000	517,928
ARDEN GRP, INC.	0.00	2/19/2020	982,500	962,850
WALL STREET SYSTEM HOLDINGS IN	0.00	4/30/2021	1,704,545	1,678,266
CONNOLLY CORP	0.00	5/14/2021	1,863,883	1,804,084
CONNOLLY CORP	0.00	5/13/2022	314,764	313,190
ASCENDAS REAL ESTATE INVESTMEN	2.50	5/16/2019	2,500,000	1,739,964
BANK OF COMMUNICATIONS CO LTD	2.10	7/24/2017	500,000	349,283
TRAVELPORT FINANCE LUXEMBOURG	0.00	9/2/2021	1,485,000	1,450,968
MIZUHO CORPORATE BANK LTD	2.46	11/14/2019	1,500,000	1,046,675
AMERICAN BEACON ADVISORS INC	0.00	4/30/2022	666,650	657,484
AMERICAN BEACON ADVISORS INC	0.00	4/30/2023	450,000	441,000
SUMITOMO BK SG	2.03	5/28/2018	2,000,000	1,409,791
MALAYAN BANKING BERHAD	2.08	6/26/2018	3,000,000	2,078,716
BANK OF CHINA LTD (SINGAPORE B	2.75	6/30/2019	1,250,000	880,238
CCT MTN	2.96	8/13/2021	2,000,000	1,379,988
DTZ US BORROWER LLC	0.00	11/4/2021	1,671,600	1,628,418
KOOKMIN BANK	1.94	9/16/2016	1,500,000	1,056,445
ASSUREDPARTNERS INC	0.00	10/21/2022	1,200,000	1,192,500
VISTRA GROUP LTD	0.00	10/26/2023	200,000	199,500
SUNTEC REIT MTN PTE LTD	2.83	11/12/2018	5,000,000	3,516,935
EDELMAN FINANCIAL CENTER LLC	0.00	12/16/2022	750,000	741,563
CREDIT MUTUEL-CIC HOME LOAN SF	3.38	7/18/2016	7,000,000	7,744,776
SOCIETE GENERALE SFH	3.25	6/6/2016	10,500,000	11,565,038
BARCLAYS BANK PLC	3.63	4/13/2016	40,500,000	44,433,518
LLOYDS BANK PLC	4.13	4/6/2016	27,200,000	29,855,894
ROYAL BANK OF SCOTLAND PLC	9.50	3/16/2022	800,000	849,608
ING BANK NV	4.13	11/21/2023	12,500,000	12,722,999
BANK NEDERLANDSE GEMEENTEN	4.13	6/28/2016	9,000,000	9,975,167
MORGAN STANLEY	3.80	1/29/2016	2,500,000	1,763,120
HANG SENG BANK LTD	1.75	10/16/2017	30,000,000	3,881,478
MTR CORPORATION CI LTD	2.15	12/8/2016	9,000,000	1,175,098
UNITED OVERSEAS BK LTD	2.50	3/18/2020	3,000,000	3,016,530
			1,324,100,066	$	1,275,409,130

Corporate Debt Securities - Industrials
AT&T INC	1.60	2/15/2017	6,000,000	$	6,014,476
AT&T INC	1.40	12/1/2017	134,000	133,039
AT&T INC	2.38	11/27/2018	1,236,000	1,242,933
AT&T INC	3.00	6/30/2022	3,440,000	3,345,488
AT&T INC	3.40	5/15/2025	4,750,000	4,544,824
ABBVIE INC	1.75	11/6/2017	134,000	133,751
ABBVIE INC	2.50	5/14/2020	7,040,000	6,947,724
ABENGOA SA CLASS B	6.50	10/1/2019	650,000	97,500
ACTAVIS FUNDING SCS	1.30	6/15/2017	1,105,000	1,095,019
ACTAVIS FUNDING SCS	2.35	3/12/2018	735,000	735,859

Page 36



Security Description	Coupon	Maturity	Par	Fair Value
ACTAVIS FUNDING SCS	3.00	3/12/2020	3,220,000	3,223,632
AETNA INC	1.50	11/15/2017	1,725,000	1,712,918
AGILENT TECH INC	5.00	7/15/2020	1,140,000	1,198,923
AHERN RENTALS	7.38	5/15/2023	740,000	595,700
AIR PRODUCTS AND CHEMICALS INC	4.38	8/21/2019	5,250,000	5,599,552
ALTERA CORPORATION	2.50	11/15/2018	101,000	101,881
ALTICE LUXEMBOURG SA	7.75	5/15/2022	500,000	450,000
AMAZON.COM INC	1.20	11/29/2017	101,000	100,427
AMAZON.COM INC	3.30	12/5/2021	8,000,000	8,189,855
AMERICAN HONDA FINANCE CORPORA	2.13	10/10/2018	134,000	134,721
AMERICAN HONDA FINANCE CORPORA	2.25	8/15/2019	2,000,000	2,004,791
AMERICAN HONDA FINANCE CORPORA	7.63	10/1/2018	1,803,000	2,066,472
AMERICAN HONDA FINANCE CORPORA	1.60	2/16/2018	800,000	797,098
AMERISOURCEBERGEN CORPORATION	1.15	5/15/2017	13,282,000	13,177,536
AMERISOURCEBERGEN CORPORATION	3.25	3/1/2025	1,700,000	1,637,636
AMGEN INC	2.50	11/15/2016	2,335,000	2,358,817
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	6,014,760
ANHEUSER-BUSCH INBEV WORLDWIDE	1.38	7/15/2017	4,885,000	4,865,977
APACHE CORP	3.25	4/15/2022	1,250,000	1,188,525
APPLE INC	0.45	5/3/2016	9,525,000	9,518,809
APPLE INC	1.00	5/3/2018	168,000	166,556
APPLE INC	2.10	5/6/2019	3,405,000	3,437,944
APPLIED MAT INC	2.63	10/1/2020	1,575,000	1,568,297
APPROACH RESOURCES INC	7.00	6/15/2021	750,000	262,500
ARCHER-DANIELS-MIDLAND COMPANY	5.45	3/15/2018	2,304,000	2,468,165
ASTRAZENECA PLC	5.90	9/15/2017	101,000	108,343
ASTRAZENECA PLC	1.75	11/16/2018	4,000,000	3,982,769
AUTOMATIC DATA PROCESSING, INC	2.25	9/15/2020	2,325,000	2,324,909
AUTOPISTAS METROPOLITANAS DE P	6.75	6/30/2035	29,035,000	24,131,889
AUTOZONE INC	2.50	4/15/2021	510,000	500,039
BAT INTL FIN PLC	2.75	6/15/2020	12,550,000	12,549,623
BAT INTL FIN PLC	1.85	6/15/2018	2,400,000	2,392,869
B COMMUNICATIONS LTD	7.38	2/15/2021	1,000,000	1,077,000
BHP BILLITON FINANCE (USA) LTD	1.63	2/24/2017	168,000	167,700
BP CAPITAL MARKETS PLC	1.85	5/5/2017	7,300,000	7,335,174
BP CAPITAL MARKETS PLC	2.24	9/26/2018	7,000,000	7,012,212
BP CAPITAL MARKETS PLC	2.24	5/10/2019	4,859,000	4,817,928
BAIDU INC	2.25	11/28/2017	1,000,000	1,000,708
BARRICK GOLD CORPORATION	6.95	4/1/2019	44,000	44,887
BAXALTA INC	2.00	6/22/2018	2,400,000	2,374,529
BAYER US FINANCE LLC	1.50	10/6/2017	1,395,000	1,393,729
BAYER US FINANCE LLC	2.38	10/8/2019	12,890,000	12,901,088
BECTON DICKINSON AND COMPANY	1.80	12/15/2017	2,021,000	2,017,820
BECTON DICKINSON AND COMPANY	2.67	12/15/2019	9,000,000	9,024,973

Page 37



Security Description	Coupon	Maturity	Par	Fair Value
BECTON DICKINSON AND COMPANY	1.45	5/15/2017	1,415,000	1,407,697
BLOCK COMMUNICATIONS INC.	7.25	2/1/2020	650,000	650,000
BOEING CO	3.75	11/20/2016	101,000	103,405
BOEING CO	1.65	10/30/2020	552,000	538,140
BOSTON SCIENTIFIC CORPORATION	2.65	10/1/2018	2,134,000	2,143,859
BRINKER INTERNATIONAL INC.	2.60	5/15/2018	3,703,000	3,679,794
BRITISH SKY BROADCASTING GRP P	6.10	2/15/2018	7,500,000	8,050,497
BRITISH SKY BROADCASTING GRP P	2.63	9/16/2019	1,430,000	1,423,681
BRITISH TELECOMMUNICATIONS PLC	2.35	2/14/2019	200,000	199,397
BUILDERS FIRSTSOURCE INC	7.63	6/1/2021	750,000	788,438
CDK GLOBAL INC	3.30	10/15/2019	5,350,000	5,293,333
CSX CORPORATION	6.25	3/15/2018	101,000	109,928
CVS CAREMARK CORP	6.94	1/10/2030	1,752,506	1,996,508
CVS HEALTH CORP	2.25	12/5/2018	168,000	168,487
CVS HEALTH CORP	2.25	8/12/2019	9,000,000	8,953,261
CVS HEALTH CORP	2.80	7/20/2020	4,400,000	4,420,167
CAISSE CENTRALE DESJARDINS	1.60	3/6/2017	6,000,000	6,023,880
CANADIAN NATURAL RESOURCES LTD	1.75	1/15/2018	3,420,000	3,304,861
CARGILL INC	4.31	5/14/2021	1,250,000	1,333,591
CARGILL INC	1.90	3/1/2017	6,000,000	6,028,846
CARGILL INC	3.30	3/1/2022	4,000,000	4,033,084
CATERPILLAR INC	1.63	6/1/2017	6,000,000	6,017,827
CATERPILLAR INC	1.25	11/6/2017	101,000	100,355
CATERPILLAR INC	2.45	9/6/2018	101,000	102,512
CATERPILLAR INC	2.00	3/5/2020	6,475,000	6,402,920
CATERPILLAR INC	1.80	11/13/2018	7,000,000	7,001,035
CC HLD V	3.85	4/15/2023	1,000,000	979,604
CELGENE CORPORATION	1.90	8/15/2017	2,765,000	2,767,963
CELGENE CORPORATION	2.88	8/15/2020	720,000	714,574
CCO SAFARI II LLC	3.58	7/23/2020	6,575,000	6,541,627
CCO SAFARI II LLC	6.48	10/23/2045	1,040,000	1,044,500
CHEVRON CORP	1.10	12/5/2017	101,000	99,991
CHEVRON CORP	1.72	6/24/2018	201,000	199,758
CHEVRON CORP	2.19	11/15/2019	9,340,000	9,268,614
CHEVRON CORP	1.34	11/9/2017	2,800,000	2,787,844
CISCO SYSTEMS INC	3.15	3/14/2017	2,500,000	2,561,585
CISCO SYSTEMS INC	3.63	3/4/2024	4,050,000	4,233,477
CISCO SYSTEMS INC	2.13	3/1/2019	235,000	236,611
CISCO SYSTEMS INC	2.45	6/15/2020	6,330,000	6,372,488
COCA-COLA COMPANY (THE)	0.75	11/1/2016	825,000	823,655
COCA-COLA COMPANY (THE)	1.65	11/1/2018	168,000	169,141
COCA-COLA COMPANY (THE)	1.88	10/27/2020	9,865,000	9,763,358
COMCAST CORPORATION	5.88	2/15/2018	3,028,000	3,292,041
COMPRESSCO PARTNERS LP / COMPR	7.25	8/15/2022	515,000	381,100
CONOCOPHILLIPS	5.75	2/1/2019	295,000	319,614

Page 38



Security Description	Coupon	Maturity	Par	Fair Value
CONOCOPHILLIPS CO	1.05	12/15/2017	168,000	164,220
CONOCOPHILLIPS CO	2.88	11/15/2021	2,240,000	2,166,151
CONTINENTAL AIRLINES 2009 2 PA	7.25	5/10/2021	3,602,599	4,061,931
COSTCO WHOLESALE CORPORATION	1.13	12/15/2017	6,068,000	6,041,479
CROWN CASTLE TOWERS LLC	4.88	8/15/2040	5,250,000	5,612,363
DAIMLER FINANCE NORTH AMERICA	2.25	3/2/2020	9,600,000	9,356,224
DANAHER CORPORATION	3.90	6/23/2021	2,725,000	2,890,256
DANAHER CORPORATION	2.40	9/15/2020	1,075,000	1,073,530
JOHN DEERE CAPITAL CORP	5.50	4/13/2017	2,070,000	2,179,371
JOHN DEERE CAPITAL CORP	1.20	10/10/2017	134,000	133,386
JOHN DEERE CAPITAL CORP	1.95	12/13/2018	134,000	134,174
JOHN DEERE CAPITAL CORP	1.95	3/4/2019	6,500,000	6,485,895
JOHN DEERE CAPITAL CORP	1.13	6/12/2017	3,430,000	3,417,399
JOHN DEERE CAPITAL CORP	1.35	1/16/2018	2,500,000	2,486,273
DELTA AIR LINES INC	4.95	11/23/2020	87,351	91,719
DELTA AIR LINES INC	7.75	6/17/2021	943,868	1,059,492
DEUTSCHE TELEKOM INTERNATIONAL	6.00	7/8/2019	1,250,000	1,398,728
DEVON ENERGY CORPORATION	2.25	12/15/2018	3,200,000	2,975,554
DIAGEO CAPITAL PLC	1.50	5/11/2017	2,951,000	2,949,710
DIAGEO CAPITAL PLC	0.63	4/29/2016	1,140,000	1,138,484
DIAMOND OFFSHORE DRILLING INC.	5.70	10/15/2039	2,000,000	1,360,000
DIRECTV HOLDINGS LLC	2.40	3/15/2017	101,000	101,860
DIRECTV HOLDINGS LLC	3.80	3/15/2022	1,175,000	1,188,853
WALT DISNEY COMPANY (THE)	1.10	12/1/2017	6,100,000	6,073,275
WALT DISNEY COMPANY (THE)	0.88	5/30/2017	2,975,000	2,962,220
WALT DISNEY COMPANY (THE)	2.15	9/17/2020	4,700,000	4,689,358
DOW CHEMICAL COMPANY (THE)	8.55	5/15/2019	134,000	157,673
EI DU PONT DE NEMOURS & CO	6.00	7/15/2018	134,000	145,900
EMC CORP/ MASSACHUSETTS	1.88	6/1/2018	2,000,000	1,860,444
EMD FINANCE LLC	2.40	3/19/2020	8,975,000	8,728,065
EOG RESOURCES INC	5.63	6/1/2019	134,000	145,563
ERAC USA FINANCE LLC	5.25	10/1/2020	5,000,000	5,471,050
ERAC USA FINANCE LLC	2.80	11/1/2018	2,995,000	3,021,467
EBAY INC.	1.35	7/15/2017	6,625,000	6,566,785
ECOLAB INC	1.55	1/12/2018	2,490,000	2,469,062
ECOLAB INC	2.25	1/12/2020	5,000,000	4,923,898
ENSCO PLC	4.70	3/15/2021	1,525,000	1,242,875
ENSCO PLC	4.50	10/1/2024	1,500,000	1,016,250
ENTERPRISE PRODUCTS OPERATING	6.30	9/15/2017	134,000	140,875
ENTERPRISE PRODUCTS OPERATING	1.65	5/7/2018	2,205,000	2,129,429
EXPRESS SCRIPTS HOLDING CO	2.65	2/15/2017	134,000	135,285
EXPRESS SCRIPTS HOLDING CO	2.25	6/15/2019	134,000	132,675
FIDELITY NATIONAL INFORMATION	1.45	6/5/2017	1,880,000	1,855,533
FIDELITY NATIONAL INFORMATION	3.63	10/15/2020	9,700,000	9,814,876
FISERV INC	2.70	6/1/2020	1,300,000	1,286,587

Page 39



Security Description	Coupon	Maturity	Par	Fair Value
FORD MOTOR CREDIT COMPANY LLC	6.63	8/15/2017	200,000	213,087
FORD MOTOR CREDIT COMPANY LLC	5.00	5/15/2018	6,250,000	6,567,023
FORD MOTOR CREDIT COMPANY LLC	3.00	6/12/2017	200,000	201,888
FORD MOTOR CREDIT COMPANY LLC	2.60	11/4/2019	4,500,000	4,410,434
FORD MOTOR CREDIT COMPANY LLC	2.15	1/9/2018	800,000	794,050
FORD MOTOR CREDIT COMPANY LLC	3.16	8/4/2020	660,000	656,538
FREEPORT-MCMORAN INC	2.38	3/15/2018	134,000	104,520
FREEPORT-MCMORAN INC	2.30	11/14/2017	1,435,000	1,219,750
GENERAL MILLS INC	2.20	10/21/2019	3,600,000	3,509,683
GENERAL MOTORS FINANCIAL CO IN	3.20	7/13/2020	2,500,000	2,458,438
GENERAL MOTORS FINANCIAL CO IN	4.30	7/13/2025	2,500,000	2,437,767
GILEAD SCIENCES INC	4.50	4/1/2021	2,500,000	2,705,430
GILEAD SCIENCES INC	2.05	4/1/2019	3,725,000	3,719,066
GILEAD SCIENCES INC	2.35	2/1/2020	815,000	811,826
GLAXOSMITHKLINE CAPITAL INC	5.65	5/15/2018	134,000	146,238
GLAXOSMITHKLINE CAPITAL PLC	1.50	5/8/2017	7,250,000	7,271,079
GLENCORE FUNDING LLC	1.68	1/15/2019	1,550,000	1,282,393
GLENCORE FUNDING LLC	2.88	4/16/2020	4,925,000	3,841,500
GLENCORE FUNDING LLC	4.00	4/16/2025	860,000	597,700
GOLDCORP INC	3.63	6/9/2021	2,300,000	2,140,509
HALLIBURTON COMPANY	1.00	8/1/2016	2,185,000	2,182,531
HALLIBURTON COMPANY	3.38	11/15/2022	3,525,000	3,469,376
HARLEY-DAVIDSON FINANCIAL	2.15	2/26/2020	7,400,000	7,240,857
HARRIS CORPORATION	2.00	4/27/2018	1,240,000	1,225,377
HARRIS CORPORATION	2.70	4/27/2020	2,375,000	2,322,612
HEINZ H. J. COMPANY	2.80	7/2/2020	4,800,000	4,769,737
HELMERICH & PAYNE INTERNATIONA	4.65	3/15/2025	7,345,000	7,357,802
HEWLETT PACKARD ENTERPRISE CO	2.85	10/5/2018	2,335,000	2,330,984
HEWLETT PACKARD ENTERPRISE CO	3.60	10/15/2020	2,300,000	2,301,850
HEWLETT PACKARD ENTERPRISE CO	4.40	10/15/2022	4,800,000	4,789,625
HONEYWELL INTERNATIONAL INC	5.00	2/15/2019	101,000	110,347
HORIZON PHARMA FINANCING INC	6.63	5/1/2023	640,000	568,000
HUMANA INC	2.63	10/1/2019	2,875,000	2,862,159
HYUNDAI CAPITAL AMERICA	2.40	10/30/2018	1,360,000	1,354,258
IMPERIAL TOBACCO FIN PLC	2.95	7/21/2020	2,400,000	2,399,920
INGERSOLL-RAND GLOBAL HOLDING	2.88	1/15/2019	101,000	101,657
INTEL CORPORATION	1.95	10/1/2016	6,000,000	6,043,860
INTEL CORPORATION	1.35	12/15/2017	9,275,000	9,278,171
INTEL CORPORATION	2.45	7/29/2020	9,260,000	9,339,833
INTERNATIONAL BUSINESS MACHINE	1.88	8/1/2022	4,000,000	3,770,672
INTERNATIONAL BUSINESS MACHINE	1.63	5/15/2020	6,000,000	5,842,046
INTERNATIONAL BUSINESS MACHINE	1.13	2/6/2018	930,000	921,408
INTERNATIONAL PAPER CO	7.95	6/15/2018	101,000	113,966
INTREPID AVIATION GROUP HOLDIN	6.88	2/15/2019	1,000,000	820,000
ITHACA ENERGY INC	8.13	7/1/2019	450,000	333,000

Page 40



Security Description	Coupon	Maturity	Par	Fair Value
JOHNSON & JOHNSON	1.65	12/5/2018	134,000	133,906
KRAFT FOODS GROUP INC	3.50	6/6/2022	5,000,000	5,058,685
KROGER CO (THE)	2.30	1/15/2019	117,000	116,827
KROGER CO (THE)	2.95	11/1/2021	945,000	927,528
L-3 COMMUNICATIONS CORP	3.95	11/15/2016	101,000	102,449
L-3 COMMUNICATIONS CORP	1.50	5/28/2017	1,685,000	1,661,075
ELI LILLY AND COMPANY	1.25	3/1/2018	4,230,000	4,216,987
LOCKHEED MARTIN CORPORATION	2.90	3/1/2025	5,850,000	5,623,066
LOCKHEED MARTIN CORPORATION	2.50	11/23/2020	4,330,000	4,294,305
LOCKHEED MARTIN CORPORATION	3.10	1/15/2023	3,775,000	3,773,437
LONESTAR RESOURCES AMERICA INC	8.75	4/15/2019	1,000,000	612,500
LYONDELLBASELL INDUSTRIES NV	6.00	11/15/2021	5,000,000	5,606,282
LYONDELLBASELL INDUSTRIES NV	5.00	4/15/2019	4,000,000	4,254,583
MARATHON OIL CORP	2.70	6/1/2020	1,275,000	1,125,145
MARATHON PETROLEUM CORP	3.40	12/15/2020	3,000,000	2,952,801
MARRIOTT INTERNATIONAL INC	2.88	3/1/2021	6,700,000	6,644,046
MCDONALDS CORP	2.20	5/26/2020	2,000,000	1,958,683
MCDONALDS CORP	2.10	12/7/2018	415,000	415,064
MCDONALDS CORP	2.75	12/9/2020	875,000	875,773
MCDONALDS CORP	3.70	1/30/2026	4,745,000	4,754,281
MCKESSON CORP	3.80	3/15/2024	4,000,000	4,019,177
MCKESSON CORP	1.40	3/15/2018	2,251,000	2,223,210
MEAD JOHNSON NUTRITION CO	4.13	11/15/2025	2,500,000	2,509,674
MEAD JOHNSON NUTRITION CO	3.00	11/15/2020	1,800,000	1,795,851
MEDTRONIC INC	1.38	4/1/2018	1,400,000	1,393,843
MEDTRONIC INC	2.50	3/15/2020	7,450,000	7,464,503
MEDTRONIC INC	1.50	3/15/2018	2,110,000	2,106,595
MERCK & CO INC	1.30	5/18/2018	751,000	747,944
MICHAEL BAKER INTERNATIONAL LL	8.25	10/15/2018	1,000,000	900,000
MICROSOFT CORP	2.00	11/3/2020	3,500,000	3,491,852
MICROSOFT CORP	2.65	11/3/2022	12,375,000	12,362,422
MIDAS INTERMEDIATE HOLDCO II L	7.88	10/1/2022	500,000	447,500
MONSANTO COMPANY	2.13	7/15/2019	2,010,000	1,974,531
MYLAN NV	3.00	12/15/2018	2,500,000	2,501,759
NBCUNIVERSAL MEDIA LLC	5.15	4/30/2020	3,000,000	3,343,782
NBCUNIVERSAL MEDIA LLC	4.38	4/1/2021	3,250,000	3,514,597
NBCUNIVERSAL MEDIA LLC	2.88	1/15/2023	5,000,000	4,968,209
NBCUNIVERSAL ENTERPRISE INC	1.01	4/15/2018	2,250,000	2,246,243
NBCUNIVERSAL ENTERPRISE INC	1.97	4/15/2019	1,630,000	1,623,458
NETAPP INC	2.00	12/15/2017	3,000,000	2,975,373
NEXTEER AUTOMOTIVE GROUP LTD	5.88	11/15/2021	1,000,000	1,020,000
NORTHERN BLIZZARD RESOURCES IN	7.25	2/1/2022	500,000	370,000
OCCIDENTAL PETROLEUM CORPORATI	1.50	2/15/2018	101,000	99,594
OCCIDENTAL PETROLEUM CORPORATI	3.50	6/15/2025	5,175,000	5,022,246
ONEOK PARTNERS LP	3.80	3/15/2020	750,000	712,907

Page 41



Security Description	Coupon	Maturity	Par	Fair Value
ORACLE CORPORATION	5.75	4/15/2018	1,140,000	1,241,721
ORACLE CORPORATION	1.20	10/15/2017	2,500,000	2,494,167
ORACLE CORPORATION	2.38	1/15/2019	235,000	238,207
ORACLE CORPORATION	2.25	10/8/2019	6,575,000	6,622,245
ORACLE CORPORATION	2.80	7/8/2021	13,500,000	13,568,378
ORACLE CORPORATION	2.50	5/15/2022	3,000,000	2,936,405
PACCAR FINANCIAL CORP	2.20	9/15/2019	6,000,000	5,978,599
PEARSON DOLLAR FINANCE TWO PLC	6.25	5/6/2018	2,000,000	2,159,188
PENSKE TRUCK LEASING CO	4.88	7/11/2022	1,500,000	1,570,680
PENSKE TRUCK LEASING CO	2.50	3/15/2016	6,775,000	6,789,241
PENSKE TRUCK LEASING CO	3.05	1/9/2020	3,000,000	2,966,319
PENTAIR FINANCE SA	2.90	9/15/2018	2,000,000	1,990,958
PEPSICO INC	7.90	11/1/2018	101,000	117,927
PEPSICO INC	2.25	1/7/2019	151,000	152,629
PEPSICO INC	1.00	10/13/2017	1,700,000	1,690,670
PEPSICO INC	2.15	10/14/2020	565,000	561,919
PERNOD-RICARD SA	4.45	1/15/2022	7,000,000	7,256,499
PERRIGO CO LTD	1.30	11/8/2016	3,450,000	3,422,883
PETROBRAS INT BRASPETRO BV	3.25	3/17/2017	1,400,000	1,302,000
PFIZER INC	6.20	3/15/2019	218,000	244,690
PFIZER INC	0.90	1/15/2017	2,250,000	2,244,619
PFIZER INC	1.10	5/15/2017	101,000	100,819
PHILIP MORRIS INTERNATIONAL IN	5.65	5/16/2018	10,268,000	11,201,803
PHILIP MORRIS INTERNATIONAL IN	2.50	5/16/2016	6,000,000	6,035,581
PHILIP MORRIS INTERNATIONAL IN	1.13	8/21/2017	7,553,000	7,533,785
PHILIP MORRIS INTERNATIONAL IN	1.25	11/9/2017	155,000	154,908
PHILLIPS 66	4.88	11/15/2044	2,250,000	2,011,787
PHILLIPS 66 PARTNETS LP	2.65	2/15/2020	2,060,000	1,936,162
PIONEER NAT RES CO	6.65	3/15/2017	1,220,000	1,268,100
PIONEER NAT RES CO	3.45	1/15/2021	7,250,000	6,723,559
PLAINS EXPORATION & PRODUCTION	6.88	2/15/2023	2,979,000	1,846,980
POST HOLDINGS INC	6.75	12/1/2021	500,000	510,000
PRECISION CASTPARTS CORP	1.25	1/15/2018	101,000	100,144
PROCTER & GAMBLE COMPANY	0.75	11/4/2016	910,000	908,499
PROCTER & GAMBLE COMPANY	1.60	11/15/2018	168,000	168,638
QUALCOMM INCORPORATED	2.25	5/20/2020	4,625,000	4,580,889
RALPH LAUREN CORP	2.13	9/26/2018	5,325,000	5,366,238
REYNOLDS AMERICAN INC	3.25	6/12/2020	6,520,000	6,600,745
REYNOLDS AMERICAN INC	4.00	6/12/2022	5,000,000	5,191,077
REYNOLDS AMERICAN INC	4.45	6/12/2025	500,000	523,231
RIO TINTO FINANCE (USA) LTD	6.50	7/15/2018	84,000	90,442
RIO TINTO FINANCE (USA) PLC	2.25	12/14/2018	101,000	97,833
ROCHE HOLDINGS INC	2.25	9/30/2019	6,000,000	6,025,091
ROCKWELL AUTOMATION INC	2.05	3/1/2020	3,475,000	3,422,852
ROCKWELL COLLINS INC.	0.86	12/15/2016	4,950,000	4,940,892

Page 42



Security Description	Coupon	Maturity	Par	Fair Value
ROLLS ROYCE GROUP PLC	2.38	10/14/2020	776,000	757,881
ROPER IND, INC.	3.00	12/15/2020	3,200,000	3,192,555
RYDER SYSTEM INC.	3.50	6/1/2017	5,875,000	5,986,483
RYDER SYSTEM INC.	2.65	3/2/2020	2,800,000	2,734,859
SBA TOWER TRUST	2.90	10/15/2044	3,005,000	2,936,512
ST JUDE MEDICAL INC	2.50	1/15/2016	5,000,000	5,002,001
ST JUDE MEDICAL INC	2.00	9/15/2018	2,500,000	2,476,877
SANOFI	1.25	4/10/2018	5,225,000	5,198,832
SCHLUMBERGER GER INV	1.95	9/14/2016	1,950,000	1,960,238
SCHLUMBERGER NORGE AS	1.95	9/14/2016	2,700,000	2,733,002
SCRIPPS NETWORKS INTERACTIVE I	2.80	6/15/2020	2,050,000	1,991,208
SEAGATE HDD CAYMAN	3.75	11/15/2018	101,000	99,990
SEMICONDUCTOR MANUFACTURING IN	4.13	10/7/2019	200,000	199,836
SHELL INTERNATIONAL FINANCE BV	0.90	11/15/2016	101,000	100,879
SHELL INTERNATIONAL FINANCE BV	2.13	5/11/2020	3,727,000	3,654,322
JM SMUCKER CO/THE	1.75	3/15/2018	1,530,000	1,512,817
JM SMUCKER CO/THE	2.50	3/15/2020	9,000,000	8,910,840
SOLVAY FINANCE AMERICA LLC	3.40	12/3/2020	980,000	975,561
SOLVAY FINANCE AMERICA LLC	4.45	12/3/2025	8,200,000	8,163,534
SOUTHWEST AIRLINES CO.	5.13	3/1/2017	168,000	174,949
SOUTHWEST AIRLINES CO.	2.65	11/5/2020	2,500,000	2,471,831
SPRING INDUSTRIES INC	6.25	6/1/2021	750,000	743,438
STARBUCKS CORP	3.85	10/1/2023	6,000,000	6,371,015
STRYKER CORP	3.38	11/1/2025	2,725,000	2,691,036
SUNCOR ENERGY INC	6.10	6/1/2018	310,000	332,799
SUNTORY HOLDINGS LTD	2.55	9/29/2019	5,775,000	5,673,305
SYSCO CORP	2.60	10/1/2020	2,425,000	2,424,914
TARGET CORPORATION	6.00	1/15/2018	100,000	109,056
TENCENT HOLDINGS LIMITED	3.38	5/2/2019	1,400,000	1,422,394
THERMO FISHER SCIENTIFIC INC	1.30	2/1/2017	3,725,000	3,711,755
THERMO FISHER SCIENTIFIC INC	2.15	12/14/2018	2,435,000	2,436,756
TIME WARNER CABLE INC	6.75	7/1/2018	1,550,000	1,691,955
TIME WARNER CABLE INC	8.25	4/1/2019	1,134,000	1,303,646
TIME WARNER CABLE INC	5.00	2/1/2020	775,000	818,837
TIME WARNER CABLE INC	4.13	2/15/2021	475,000	486,044
TOPS HOLDING LLC / TOPS MARKET	8.00	6/15/2022	800,000	792,000
TOTAL CAPITAL S.A.	2.13	8/10/2018	168,000	168,511
TOTAL CAPITAL INTERNATIONAL SA	1.55	6/28/2017	6,000,000	5,997,166
TOYOTA MOTOR CREDIT CORP	1.75	5/22/2017	315,000	317,243
TOYOTA MOTOR CREDIT CORP	1.38	1/10/2018	134,000	133,469
TOYOTA MOTOR CREDIT CORP	1.13	5/16/2017	101,000	100,853
TRANSNET LTD	4.50	2/10/2016	5,950,000	5,890,476
21ST CENTURY FOX AMERICA INC	6.90	3/1/2019	101,000	114,443
21ST CENTURY FOX AMERICA INC	3.70	10/15/2025	5,775,000	5,716,000
TYCO ELECTRONICS GROUP SA	2.35	8/1/2019	8,000,000	7,958,886

Page 43



Security Description	Coupon	Maturity	Par	Fair Value
TYCO ELECTRONICS GROUP SA	3.45	8/1/2024	2,500,000	2,500,748
US AIRWAYS GROUP INC	7.13	4/22/2025	2,225,475	2,564,860
US AIRWAYS P-T TR	4.63	12/3/2026	1,202,266	1,247,351
UNILEVER CAPITAL CORP	0.85	8/2/2017	6,175,000	6,138,037
UNITED TECHNOLOGIES CORPORATN	6.13	2/1/2019	134,000	149,167
UNITED TECHNOLOGIES CORPORATN	1.80	6/1/2017	14,675,000	14,750,372
UNITEDHEALTH GROUP INCORPORATE	1.40	10/15/2017	5,425,000	5,402,848
UNITEDHEALTH GROUP INCORPORATE	2.30	12/15/2019	8,000,000	7,984,769
VTR FINANCE BV	6.88	1/15/2024	890,000	823,250
VALE OVERSEAS LIMITED	5.63	9/15/2019	67,000	60,468
VALERO ENERGY CORPORATION	6.13	6/15/2017	134,000	140,737
VALERO ENERGY CORPORATION	4.90	3/15/2045	2,000,000	1,669,675
VERIZON COMMUNICATIONS INC	2.50	9/15/2016	2,742,000	2,766,459
VERIZON COMMUNICATIONS INC	3.65	9/14/2018	1,435,000	1,496,023
VERIZON COMMUNICATIONS INC	2.63	2/21/2020	8,700,000	8,725,147
VERIZON COMMUNICATIONS INC	3.00	11/1/2021	980,000	977,347
VERIZON COMMUNICATIONS INC	3.50	11/1/2024	3,000,000	2,949,331
VIACOM INC	2.75	12/15/2019	2,500,000	2,453,880
VIKING CRUISES LTD	6.25	5/15/2025	750,000	615,000
VODAFONE GROUP PLC	1.50	2/19/2018	1,184,000	1,171,580
VOLKSWAGEN GROUP OF AMERICA FI	2.13	5/23/2019	3,250,000	3,088,010
VOLKSWAGEN GROUP OF AMERICA FI	2.45	11/20/2019	5,050,000	4,805,646
VOLKSWAGEN GROUP OF AMERICA FI	1.65	5/22/2018	650,000	623,722
VOLKSWAGEN GROUP OF AMERICA FI	2.40	5/22/2020	4,000,000	3,775,286
WAL-MART STORES INC	0.60	4/11/2016	4,375,000	4,375,569
WAL-MART STORES INC	1.13	4/11/2018	1,568,000	1,559,252
WALGREENS BOOTS ALLIANCE INC	3.30	11/18/2021	13,115,000	12,805,396
ACTAVIS INC	1.88	10/1/2017	8,450,000	8,419,971
WESFARMERS LTD	1.87	3/20/2018	825,000	816,467
WESTERN GAS PARTNERS LP	5.38	6/1/2021	1,000,000	1,012,347
WESTERN GAS PARTNERS LP	2.60	8/15/2018	3,650,000	3,512,953
WHOLE FOODS MARKET INC.	5.20	12/3/2025	3,050,000	3,055,570
WM WRIGLEY JR CO	1.40	10/21/2016	910,000	909,118
WM WRIGLEY JR CO	2.90	10/21/2019	8,650,000	8,581,815
WYNDHAM WORLDWIDE CORP	2.50	3/1/2018	3,500,000	3,479,872
XEROX CORPORATION	6.75	2/1/2017	1,630,000	1,702,965
XEROX CORPORATION	2.95	3/15/2017	168,000	169,024
XSTRATA FINANCE (CANADA) LTD	2.95	10/25/2017	8,705,000	7,965,075
XYLEM INC/NY	3.55	9/20/2016	4,475,000	4,532,728
YALE UNIVERSITY	2.09	4/15/2019	67,000	67,394
SS&C TECHNOLOGIES INC	0.00	7/8/2022	1,311,906	1,300,895
PSA INTL	4.63	9/11/2019	1,000,000	1,076,450
AFFINION GROUP	0.00	4/30/2018	985,973	907,096
PSA CORP	3.39	4/28/2020	1,000,000	725,337
ASPECT SOFTWARE INC	0.00	5/7/2016	1,778,404	1,627,240

Page 44



Security Description	Coupon	Maturity	Par	Fair Value
SENSUS METERING	0.00	5/11/2018	1,000,000	970,000
BARBRI INC	0.00	7/17/2019	1,116,501	947,173
ARCH COAL INC.	0.00	5/16/2018	461,077	209,021
MISYS PLC	0.00	12/12/2018	2,463,068	2,455,063
TANK HOLDING CORP	0.00	3/16/2022	784,601	770,217
CENTERPLATE INC	0.00	11/26/2019	989,924	977,550
TRANSTAR HOLDING COMPANY	0.00	10/9/2018	1,496,982	1,272,435
CUNNINGHAM LINDSEY INTERMEDIAT	0.00	6/10/2020	1,000,000	520,000
SEQUA CORP	0.00	6/19/2017	229,223	156,788
ATI HOLDINGS LLC	0.00	12/20/2019	2,232,628	2,210,302
CROSSMARK HOLDINGS INC	0.00	12/21/2020	750,000	367,500
VESTCOM INTL INC.	0.00	9/30/2021	146,625	145,709
TOTAL SAFETY US INC	0.00	3/13/2020	1,966,918	1,603,038
TOTAL SAFETY US INC	0.00	9/13/2020	324,188	179,924
PANDA TEMPLE POWER II LLC	0.00	4/3/2019	1,790,000	1,575,200
LTS BUYER LLC	0.00	4/13/2020	497,449	483,894
ALG BV	0.00	2/28/2020	735,689	735,689
SECURUS TECHNOLOGIES HOLDINGS	0.00	4/30/2020	1,221,879	873,643
SECURUS TECHNOLOGIES HOLDINGS	0.00	4/30/2021	540,000	280,800
JC PENNEY CORPORATION INC	0.00	5/22/2018	1,863,302	1,827,200
CLEAR CHANNEL COMMUN, INC.	0.00	1/30/2019	1,250,000	875,000
ONEX CARESTREAM FINANCE LP	0.00	6/7/2019	1,250,259	1,141,382
ONEX CARESTREAM FINANCE LP	0.00	12/7/2019	354,549	310,230
QUICKSILVER RESOURCES INC	0.00	6/21/2019	500,000	120,000
CTI FOODS HOLDING CO LLC	0.00	6/29/2020	412,539	388,818
EMERALD EXPOSITIONS HOLDING IN	0.00	6/17/2020	1,908,252	1,874,857
FOUR SEASONS HOLDINGS INC	0.00	12/28/2020	728,152	723,297
TRIPLE POINT TECHNOLOGY INC	0.00	7/10/2020	1,539,727	1,097,055
ALTICE FINANCING SA	0.00	7/2/2019	2,405,980	2,390,442
BMC SOFTWARE FINANCE INC	0.00	9/10/2020	1,577,095	1,304,257
CPG INTERNATIONAL INC	0.00	9/30/2020	1,496,173	1,398,922
FIELDWOOD ENERGY LLC	0.00	9/30/2020	1,515,000	224,725
P2 LOWER ACQUISITION LLC	0.00	10/22/2020	2,401,045	2,396,044
P2 LOWER ACQUISITION LLC	0.00	10/22/2021	785,000	773,225
OMNITRACS INC	0.00	5/25/2021	1,000,000	973,333
OMNITRACS INC	0.00	11/25/2020	2,032,567	1,985,141
P2 ENERGY SOLUTIONS INC	0.00	10/30/2020	2,391,200	2,152,080
BJS WHOLESALE CLUB, INC.	0.00	3/26/2020	925,000	823,250
BJS WHOLESALE CLUB, INC.	0.00	9/26/2019	1,672,103	1,594,768
ACTIVE NETWORK INC (THE)	0.00	11/13/2020	1,523,584	1,484,226
ACTIVE NETWORK INC (THE)	0.00	11/15/2021	500,000	457,500
MCJUNKIN RED MAN CORP	0.00	11/8/2019	1,873,568	1,714,315
FILTRATION GROUP CORP	0.00	11/22/2021	252,660	245,185
BULLSEYE MERGERSUB INC	0.00	11/26/2020	1,304,428	1,228,337
OFFSHORE GROUP INVESTMENT LTD	0.00	10/25/2017	753,376	148,792

Page 45



Security Description	Coupon	Maturity	Par	Fair Value
THE BRICKMAN GROUP LTD LLC	0.00	12/17/2021	880,000	792,000
BRICKMAN GROUP HOLDINGS INC	0.00	12/18/2020	277,828	268,756
CLEAR CHANNEL COMMUN, INC.	0.00	7/30/2019	239,250	167,674
HEARTLAND DENTAL CARE INC	0.00	12/21/2018	2,690,694	2,556,160
NTNL MNTR HLDGS	0.00	1/31/2021	1,312,054	1,273,785
ALLIED SECURITY HOLDINGS LLC	0.00	8/13/2021	680,651	646,618
PHILLIPS PET FOOD & SUPPLIES	0.00	1/31/2022	750,000	525,000
NATIONAL UNIVERSITY OF SINGAPO	1.71	2/13/2019	1,000,000	687,442
OPENLINK INTERNATIONAL INTERME	0.00	10/30/2017	1,322,183	1,312,267
VISTA EYECARE, INC.	0.00	3/12/2021	109,721	105,401
COLLECTIVE BRANDS INC	0.00	3/11/2021	2,066,510	1,167,578
WME IMG LLC	0.00	5/6/2022	1,360,000	1,230,800
WME IMG LLC	0.00	5/6/2021	1,477,463	1,453,916
GYP HOLDINGS III CORP	0.00	4/1/2021	1,866,503	1,759,179
GYP HOLDINGS III CORP	0.00	4/1/2022	615,000	591,169
AVAGO TECHNOLOGIES CAYMAN LTD	0.00	5/6/2021	248,548	248,082
MEDPACE INC	0.00	4/1/2021	1,331,878	1,320,779
CHECKOUT HOLDING	0.00	4/11/2022	2,620,000	1,454,100
CHECKOUT HOLDING	0.00	4/9/2021	997,468	796,312
HUDSON PRODUCTS	0.00	3/15/2019	943,333	787,683
MILLENNIUM LABORATORIES INC	0.00	4/16/2021	2,803,214	1,166,838
TIME INC (USA)	0.00	4/26/2021	598,481	586,511
MUNTERS AB	0.00	5/5/2021	1,674,500	1,645,196
SKILLSOFT CORP	0.00	4/28/2022	1,340,000	893,334
US JOINER HOLDING COMPANY	0.00	4/16/2020	982,500	967,763
DOOSAN INFRACORE INTERNATIONAL	0.00	5/28/2021	598,353	587,882
TASC INC	0.00	5/22/2020	1,284,350	1,268,296
LEARNING CARE GROUP US NO 2 IN	0.00	5/5/2021	2,261,608	2,236,165
CHIEF EXPLORATION & DEVELOPMEN	0.00	5/16/2021	500,000	327,500
SI ORGANIZATION INC	0.00	11/23/2019	1,880,241	1,870,253
UTEX IND	0.00	5/21/2021	2,213,886	1,494,373
SUNEDISON SEMICO	0.00	5/27/2019	775,131	763,504
WP MUSTANG HOLDINGS LLC	0.00	5/29/2021	2,711,836	2,699,408
UTEX IND	0.00	5/20/2022	650,000	416,000
SI ORGANIZATION INC	0.00	5/23/2020	700,000	679,875
GREEN PLAINS REN	0.00	6/30/2020	723,120	708,658
ENCOMPASS DIGITAL MEDIA INC	0.00	6/5/2022	500,000	482,500
OTTER PRODUCTS LLC	0.00	6/3/2020	920,443	884,392
ENCOMPASS DIGITAL MEDIA INC	0.00	6/6/2021	1,511,490	1,466,146
AZ CHEM US	0.00	6/10/2022	580,000	581,933
WORLD TRIATHLON CORP	0.00	6/25/2021	492,500	485,113
SOLENIS INTERNATIONAL LP	0.00	7/31/2022	500,000	393,750
WINEBOW GROUP LLC	0.00	1/2/2022	1,000,000	930,000
HEALOGICS INC	0.00	7/1/2021	1,321,654	1,034,194
BIRCH COMMUNICATIONS HOLDINGS	0.00	7/17/2020	2,656,965	2,431,123

Page 46



Security Description	Coupon	Maturity	Par	Fair Value
TRIBUNE PUBLISHING CO	0.00	8/4/2021	875,358	802,047
EMERALD PERFORMANCE MATERIALS	0.00	7/30/2021	862,693	844,361
SURGERY CENTER HOLDINGS INC	0.00	11/3/2020	891,000	883,946
ENERGY & EXPLORATION PARTNERS	0.00	1/22/2019	3,546,000	780,120
CCS INTERMEDIATE HOLDINGS LLC	0.00	7/23/2021	1,501,000	1,103,235
EMERALD PERFORMANCE MATERIALS	0.00	8/1/2022	620,000	584,350
CITGO PETROLEUM CORPORATION	0.00	7/29/2021	437,783	422,096
ALM MEDIA HOLDGS	0.00	7/30/2021	500,000	482,500
IBC CAPITAL LTD	0.00	9/9/2021	2,064,400	1,868,282
AP NMT ACQUISITION BV	0.00	8/13/2021	1,384,981	1,232,633
NATIONAL VETERINARY ASSOCIATES	0.00	8/14/2021	1,798,699	1,784,458
ALBERTSONS INC	0.00	8/25/2021	2,505,534	2,481,871
PACKAGING COORDINATORS INC	0.00	8/1/2022	1,000,000	980,000
IMC OP LP	0.00	8/15/2020	1,837,753	1,794,106
ZEST ANCHORS LLC	0.00	8/16/2020	1,778,515	1,769,623
SCINTFIC GMS INT INC	0.00	10/1/2021	1,455,648	1,325,940
WAND INTERMEDIATE I LP	0.00	9/17/2022	500,000	475,000
TPF II POWER LLC	0.00	10/2/2021	2,478,012	2,411,931
BERLIN PACKAGING LLC	0.00	10/1/2021	989,624	980,346
CROWNE GROUP LLC	0.00	9/30/2020	395,000	381,175
ZEBRA TECHNOLOGIES CORPORATION	0.00	10/27/2021	2,680,244	2,680,244
CROWNE GROUP LLC	0.00	9/30/2021	600,000	567,000
FHC HEALTH SYSTEMS INC	0.00	10/23/2021	1,540,856	1,463,813
SMRT CAPITAL PTE LTD	1.39	10/16/2017	2,000,000	1,392,239
AVG TECHNOLOGIES NV	0.00	10/15/2020	653,052	648,154
ECO SERVICES OPERATIONS LLC	0.00	12/1/2021	792,000	780,120
VESTCOM INTL INC.	0.00	9/30/2022	425,000	395,250
PRO MACH INC TL B	0.00	10/22/2021	1,296,726	1,288,622
SOURCEHOV LLC	0.00	10/31/2019	678,125	596,750
ALLIANCE TIRE GROUP BV	10.50	6/26/2021	1,000,000	1,000,000
PACKERS HOLDINGS LLC	0.00	12/2/2021	891,000	889,886
CREGANNA-TACTX MEDICAL	0.00	6/1/2022	500,000	491,875
US TELEPACI	0.00	11/25/2020	1,509,829	1,451,323
HLX PLY HOLDINGS INC	0.00	12/5/2021	1,524,047	1,517,696
VARSITY BRANDS HOLDING CO INC	0.00	12/10/2021	746,858	738,456
PRIMEDIA INC.	0.00	12/17/2021	1,816,985	1,585,319
COMPUWARE CORPORATION	0.00	12/15/2021	990,000	907,500
SURVEY SAMPLING INTERNATIONAL	0.00	12/16/2020	650,088	637,086
SURVEY SAMPLING INTERNATIONAL	0.00	12/16/2021	375,000	363,750
CH SERVICES ACQUISITION INC	0.00	2/7/2022	994,987	983,379
IG INVESTMENTS HOLDINGS LLC	0.00	10/31/2021	2,954,858	2,925,309
KAUFMAN HALL & ASSOCIATES INC	0.00	12/31/2020	735,938	724,898
GLOBAL KNOWLEDGE TRAINING LLC	0.00	1/29/2021	396,000	392,040
ACADIA HEALTHCARE CO INC	0.00	2/11/2022	584,100	583,735
GLOBAL KNOWLEDGE TRAINING LLC	0.00	1/28/2022	175,000	171,500

Page 47



Security Description	Coupon	Maturity	Par	Fair Value
RIVERBED TECHNOLOGY INC	0.00	4/25/2022	1,520,195	1,514,178
VALEANT PHARMACEUTICALS INTERN	0.00	4/1/2022	603,204	580,332
INEOS US FINANCE LLC	0.00	3/31/2022	570,685	549,692
AMERICAN TIRE DISTRIBUTORS INC	0.00	9/1/2021	1,642,096	1,617,465
MURRAY ENERGY CORP	0.00	4/16/2020	1,507,290	960,521
REGAL CINEMAS CORP	0.00	4/1/2022	716,400	713,813
MURRAY ENERGY CORP	0.00	4/17/2017	89,498	70,815
ASP ASPEN ACQUISITION SUB INC	0.00	4/29/2022	587,050	584,604
DJO FINANCE LLC	0.00	6/8/2020	487,577	473,559
ACOSTA HOLDCO INC	0.00	9/26/2021	1,700,000	1,617,550
CHEMOURS COMPANY LLC	0.00	5/12/2022	646,750	590,968
ITALICS MERGER SUB INC	0.00	8/5/2022	1,157,100	1,111,299
BURGER KING NEWCO	0.00	12/10/2021	468,626	465,404
PETSMART INC.	0.00	3/11/2022	1,109,425	1,079,263
EPICOR SOFTWARE CORP	0.00	6/1/2022	1,363,150	1,327,936
WIDEOPENWEST FINANCE LLC	0.00	4/1/2019	1,218,992	1,172,366
NATIONAL UNIVERSITY OF SINGAPO	2.20	5/27/2020	1,250,000	869,665
MERRILL COMMUNICATIONS LLC	0.00	5/27/2022	1,665,342	1,498,808
SPECTRUM BRANDS HOLDINGS INC	0.00	6/23/2022	743,956	740,103
PARADIGM ACQUISITION CORP	0.00	6/2/2022	572,125	560,683
ALERE INC	0.00	6/20/2022	702,062	694,289
ACADEMY SPORTS & OUTDOORS INC	0.00	7/1/2022	1,530,621	1,471,947
DOLLAR TREE INC	0.00	7/6/2022	818,350	814,843
UNIVAR USA INC	0.00	7/1/2022	947,625	916,319
PROTECTION ONE ALARM MONITORIN	0.00	7/1/2021	1,850,363	1,815,668
PLAYPOWER INC	0.00	6/23/2021	597,000	594,015
SS&C EUROPEAN HOLDINGS SARL	0.00	7/8/2022	193,068	191,447
TRIBUNE COMPANY	0.00	12/27/2020	1,502,450	1,482,418
ANCHOR GLASS CONTAINERS CORP	0.00	7/1/2022	1,000,000	996,667
AMERICAN BATH GROUP LLC	0.00	6/10/2020	560,625	556,420
USAGM HOLDCO LLC	0.00	7/28/2022	2,880,000	2,728,800
CHARTER COMMUNICATION OPER LLC	0.00	1/24/2023	1,000,000	996,250
HILLENBRAND INDUSTRIES INC	0.00	9/8/2022	573,775	572,879
BUILDERS FIRSTSOURCE INC	0.00	7/31/2022	907,915	895,052
ASURION LLC	0.00	8/4/2022	522,375	480,150
PHARMACEUTICAL PRODUCT DEV, IN	0.00	8/18/2022	597,000	579,090
PROLAMPAC INTERMEDIATE INC	0.00	8/18/2022	249,375	245,219
LINXENS FRANCE SA	0.00	10/16/2023	120,000	117,400
HD SUPPLY INC	0.00	8/13/2021	114,713	112,476
OWENS-BROCKWAY GLASS CONTAINER	0.00	9/1/2022	288,550	287,179
VISTAGE WORLDWIDE INC	0.00	8/19/2021	745,313	747,176
DELTA AIR LINES INC	0.00	8/24/2022	872,813	870,812
RAVN AIR GROUP	0.00	7/30/2021	347,813	344,334
JBS USA LLC	0.00	9/19/2022	1,200,000	1,180,500
BERRY PLASTICS CORP	0.00	10/3/2022	705,926	699,043

Page 48



Security Description	Coupon	Maturity	Par	Fair Value
SOPHIA LP	0.00	9/30/2022	249,375	246,133
OPTUS FINANCE PTY LTD	3.24	9/29/2022	1,000,000	707,546
BIOCLINICA INC	0.00	3/10/2021	750,000	750,000
NEPTUNE FINCO CORP	0.00	10/9/2022	725,000	722,929
B&G FOODS INC	0.00	11/2/2022	1,150,000	1,147,485
XPO LOGISTICS INC	0.00	11/1/2021	725,000	721,375
MIDAS INTERMEDIATE HOLDCO II L	0.00	8/18/2021	1,092,361	1,083,261
MIDAS INTERMEDIATE HOLDCO II L	0.00	8/18/2021	29,333	29,089
ALLIEDBARTON	0.00	2/12/2021	548,604	536,946
AFFORDABLE CARE INC	0.00	10/21/2022	1,025,000	1,004,500
T-MOBILE USA INC	0.00	11/9/2022	595,000	594,256
PLATFORM SPECIALTY PRODUCTS CO	0.00	6/7/2020	548,625	529,972
SHOES FOR CREWS LLC	0.00	11/18/2022	750,000	744,375
HIGGINBOTHAM INSURANCE AGENCY	6.25	11/10/2021	500,000	497,500
RSC ACQUISITION INC	0.00	11/30/2022	658,537	654,421
AIR CANADA	0.00	9/26/2019	2,727,963	2,721,143
HUDSONS BAY CO	0.00	9/30/2022	587,558	584,436
LI & FUNG LTD	5.50	5/16/2017	2,000,000	2,082,714
OFFSHORE GROUP INVESTMENT LTD/	0.00	3/28/2019	618,348	122,124
EVERGREEN SKILLS LUX SARL	0.00	4/28/2021	1,700,000	1,304,750
ION TRADING TECHNOLOGIES SARL	0.00	6/10/2021	399,000	387,030
ORTHO-CLINICAL DIAGNOSTICS INC	0.00	6/30/2021	2,018,691	1,703,270
NXP BV AND NXP FUNDING LLC	0.00	12/7/2020	550,000	546,563
FMG RESOURCES (AUGUST 2006) PT	0.00	6/30/2019	869,739	646,506
			1,343,235,030	$	1,308,092,884

Corporate Debt Securities - Utilities
AMEREN CORPORATION	2.70	11/15/2020	2,500,000	$	2,488,599
AMERICAN ELECTRIC POWER COMPAN	1.65	12/15/2017	1,250,000	1,240,171
CMS ENERGY CO	8.75	6/15/2019	3,024,000	3,607,060
COLUMBIA PIPELINE GROUP INC	2.45	6/1/2018	390,000	384,812
COLUMBIA PIPELINE GROUP INC	3.30	6/1/2020	1,725,000	1,690,160
COMMONWEALTH EDISON COMPANY	6.15	9/15/2017	5,748,000	6,174,795
COMMONWEALTH EDISON COMPANY	2.15	1/15/2019	1,200,000	1,194,722
CONSOLIDATED EDISON INC	5.85	4/1/2018	168,000	182,061
DCP MIDSTREAM PARTNERS LP	2.70	4/1/2019	1,500,000	1,215,135
DUKE ENERGY CORP	1.63	8/15/2017	168,000	167,445
DUKE ENERGY CORP	2.10	6/15/2018	1,550,000	1,550,204
EL PASO NATURAL GAS COMPANY	5.95	4/15/2017	101,000	102,639
ENABLE MIDSTREAM PARTNERS LP	2.40	5/15/2019	1,595,000	1,378,310
ENERGY TRANSFER PARTNERS LP	4.15	10/1/2020	2,400,000	2,204,615
ENERGY TRANSFER PARTNERS LP	4.05	3/15/2025	680,000	560,670
CROSSTEX ENERGY L.P.	2.70	4/1/2019	3,700,000	3,369,533
EXELON GENERATION CO LLC	2.95	1/15/2020	3,780,000	3,744,354
EXELON CORPORATION	2.85	6/15/2020	2,250,000	2,240,601

Page 49



Security Description	Coupon	Maturity	Par	Fair Value
NEXTERA ENERGY CAPITAL HOLDING	6.00	3/1/2019	3,250,000	3,550,467
FL GAS TSMN CO	7.90	5/15/2019	3,200,000	3,600,530
GENERAL ELEC CAP CORP	6.38	11/15/2067	1,575,000	1,645,875
INDIANA MICHIGAN POWER COMPANY	7.00	3/15/2019	101,000	114,376
KINDER MORGAN ENERGY PARTNERS	6.00	2/1/2017	1,193,000	1,217,594
KINDER MORGAN ENERGY PARTNERS	2.65	2/1/2019	3,850,000	3,583,852
KINDER MORGAN HOLDCO LLC	3.05	12/1/2019	2,875,000	2,648,761
LG&E AND KU ENERGY LLC	4.38	10/1/2021	4,850,000	5,198,356
MPLX LP	4.00	2/15/2025	325,000	279,296
BERKSHIRE HATHAWAY ENERGY CO	1.10	5/15/2017	4,375,000	4,337,637
BERKSHIRE HATHAWAY ENERGY CO	2.00	11/15/2018	134,000	132,908
PECO ENERGY CO	5.35	3/1/2018	134,000	143,840
PECO ENERGY CO	1.20	10/15/2016	74,000	74,057
PG&E CORP	2.40	3/1/2019	101,000	100,691
PPL WEM HOLDINGS PLC	3.90	5/1/2016	2,500,000	2,509,853
PANHANDLE EAST PIPE LINE	7.00	6/15/2018	104,000	112,940
PETROLEOS MEXICANOS	3.50	7/23/2020	1,667,000	1,587,471
PLAINS ALL AMERICAN PIPELINE L	2.60	12/15/2019	1,800,000	1,607,749
PLAINS ALL AMERICAN PIPELINE L	4.65	10/15/2025	2,000,000	1,731,314
PUBLIC SERVICE ELECTRIC AND GA	1.80	6/1/2019	134,000	132,242
SEMPRA ENERGY	2.30	4/1/2017	67,000	67,343
SEMPRA ENERGY	2.40	3/15/2020	3,225,000	3,170,246
SOUTHERN CALIFORNIA EDISON CO.	1.13	5/1/2017	2,215,000	2,197,338
SOUTHERN CALIFORNIA EDISON CO.	2.40	2/1/2022	3,500,000	3,388,595
SOUTHERN COMPANY (THE)	1.30	8/15/2017	1,830,000	1,810,157
SOUTHERN COMPANY (THE)	2.15	9/1/2019	4,569,000	4,469,154
SOUTHERN POWER COMPANY	1.85	12/1/2017	875,000	873,316
SPECTRA ENERGY PARTNERS LP	2.95	9/25/2018	5,000,000	4,874,706
TRANSCANADA PIPELINES LIMITED	1.63	11/9/2017	3,000,000	2,977,843
VIRGINIA ELECTRIC AND POWER CO	1.20	1/15/2018	101,000	99,803
WESTAR ENERGY INC	5.10	7/15/2020	5,000,000	5,493,505
WESTERN GAS PARTNERS LP	4.00	7/1/2022	6,650,000	6,034,395
WILLIAMS PARTNERS LP	3.60	3/15/2022	8,275,000	6,559,881
XCEL ENERGY INC	5.61	4/1/2017	134,000	140,485
SP POWERASSETS	4.84	10/22/2018	1,500,000	1,131,357
HONGKONG ELECTRIC FINANCE LTD	4.55	11/7/2016	30,000,000	3,977,149
HKCG FINANCE LTD	1.40	4/11/2016	2,000,000	300,471
ESSENTIAL POWER LLC	0.00	8/8/2019	933,803	918,239
PANDA SHERMAN POWER LLC	0.00	9/13/2018	1,289,603	1,147,747
FR DIXIE ACQUISITION CORP	0.00	12/18/2020	2,318,916	1,507,295
			150,454,322	$	118,944,719

Asset Backed Securities
AMERICAN EXPRESS CREDIT ACCOUN	1.49	4/15/2020	3,000,000	$	3,000,300
CAPITAL ONE MULTI-ASSET EXE TR	0.41	12/16/2019	5,230,000	5,214,310

Page 50



Security Description	Coupon	Maturity	Par	Fair Value
CAPITAL ONE MULTI-ASSET EXE TR	0.71	1/18/2022	2,200,000	2,188,419
CAPITAL ONE MULTI-ASSET EXECUT	1.45	8/16/2021	3,000,000	2,973,641
DROCK_15-1	2.20	12/15/2022	12,400,000	12,329,320
CHAIT_13-A9	0.75	11/15/2020	5,000,000	4,995,500
CHAIT_14-A4	0.45	4/16/2018	6,665,000	6,662,063
CCCIT	0.72	9/10/2020	1,215,000	1,214,392
CCCIT_13-A1	1.57	1/23/2020	4,385,000	4,452,529
CCCIT_13-A4	0.84	7/24/2020	10,000,000	9,992,000
CCCIT_14-A8	1.73	4/9/2020	4,630,000	4,640,186
CHASE ISSUANCE TRUST	0.65	2/15/2020	2,600,000	2,595,074
DISCOVER CARD MASTER TRUST	1.45	3/15/2021	3,500,000	3,465,350
GE CAPITAL CREDIT CARD MASTER	1.74	9/15/2021	2,520,000	2,499,971
MBNA CREDIT CARD MASTER NOTE T	0.59	8/16/2021	10,000,000	9,924,000
BACCT_14-A2	0.60	9/16/2019	4,000,000	3,993,200
CHAIT_15-A2	1.59	2/18/2020	16,500,000	16,481,850
CHAIT_15-A5	1.36	4/15/2020	2,500,000	2,482,000
SYNCT_15-1	2.37	3/15/2023	1,530,000	1,524,798
AMCAR_14-3	0.64	4/9/2018	3,301,203	3,296,286
AMCAR_15-1	0.77	4/9/2018	1,137,188	1,135,496
AMCAR_15-4	1.26	4/8/2019	2,250,000	2,245,946
CARMAX AUTO OWNER TRUST CARMX_	1.16	6/17/2019	4,500,000	4,483,800
CARMX_14-4	1.25	11/15/2019	2,850,000	2,833,755
FORDO_15C	1.41	2/15/2020	1,800,000	1,790,460
WOART 2014-B	1.14	1/15/2020	5,670,000	5,639,949
WOART_15-B	1.49	12/15/2020	1,090,000	1,076,811
HAROT_15-1	1.05	10/15/2018	2,950,000	2,936,135
HAROT_15-4	1.23	9/23/2019	2,220,000	2,197,578
FORDR_15-1	2.12	7/15/2026	2,430,000	2,399,352
MOTOR_15-1	1.02	6/25/2022	2,557,675	2,558,953
SDART_14-4	0.67	1/16/2018	1,381,824	1,381,390
ALLYA_15-1	1.39	9/16/2019	480,000	476,976
ALLYL_15-SN1	1.21	3/20/2017	400,000	398,680
GMALT_15-1	1.53	9/20/2018	3,100,000	3,084,500
ALFT_13-1A	1.22	12/26/2044	11,285,948	11,109,818
AGSL_03-1	1.91	12/26/2035	4,100,000	3,606,934
AGSL_03-1	1.57	12/26/2035	3,600,000	3,159,864
AGSL_03-1	1.79	12/27/2032	5,350,000	4,394,437
ALLSL_13-I	1.22	2/25/2041	13,133,030	12,742,846
BRAZOS HIGHER EDUCATION AUTHOR	0.72	12/26/2019	281,275	279,386
EFS VOLUNTEER NO 2 LLC EFSV2_1	1.30	7/26/2027	2,318,275	2,285,267
EDUSA_15-1	1.22	10/25/2056	3,113,434	3,050,264
EDUSA_10-1	1.17	7/25/2023	715,629	702,879
EDUCATIONAL SERVICES OF AMERIC	1.12	2/25/2039	10,076,949	9,957,958
EDUSA_14-3	1.02	2/25/2036	10,355,236	9,738,709
ELAB_13-1A	1.22	6/25/2026	3,180,970	3,155,768

Page 51



Security Description	Coupon	Maturity	Par	Fair Value
GCO EDUCATION LOAN FUNDING TRU	0.46	5/25/2023	281,747	278,908
GCFT_06-1	0.51	11/25/2026	812,274	806,628
MEFA	1.27	4/25/2038	1,644,312	1,646,795
MHEAC_14-1	1.10	10/25/2035	8,051,499	7,868,956
MISSOURI HIGHER ED LN AUTH STU	1.24	8/27/2029	2,073,705	2,034,802
MHESA_12-1	1.40	5/20/2030	25,839,233	25,988,222
NELS_05-2	0.67	12/23/2019	939,915	936,911
NSLT_05-4	0.72	6/22/2026	4,038,000	3,978,511
NSLT_13-5A	1.05	1/25/2037	3,340,580	3,253,487
NEF_12-1	1.12	12/26/2031	1,349,273	1,303,993
PHEAA_14-2A	0.99	2/25/2043	3,536,291	3,392,455
PANHANDLE-PLAINS HIGHER EDUCAT	1.46	10/1/2035	3,688,911	3,686,624
PHEAA_04-1	1.70	4/25/2044	2,000,000	1,978,580
PHEAA_04-1	1.83	4/25/2044	6,000,000	5,901,180
SLMA_03-14	0.55	1/25/2023	1,977,599	1,953,868
SLMA_05-9	0.44	1/27/2025	1,271,794	1,267,995
SLM STUDENT LOAN TRUST SLMA_06	0.40	7/25/2019	1,180,297	1,169,274
SLM STUDENT LOAN TRUST SLMA_06	0.39	10/25/2022	673,858	671,604
SLMA	2.02	7/25/2023	2,950,000	2,962,390
SLM STUDENT LOAN TRUST SLMA_08	1.82	4/25/2023	2,000,000	2,000,000
SCHOL_10-A	1.07	10/28/2041	2,672,801	2,608,289
SCHOL_12-B	0.82	10/28/2025	835,316	834,645
SCHOL_13-A	1.07	1/30/2045	606,265	565,058
STUDENT LOAN CON	1.64	10/25/2027	12,708,115	12,735,658
WACHOVIA STUDENT LOAN TRUST WS	0.45	1/26/2026	1,507,997	1,478,519
SLMA_03-5	0.14	6/17/2024	815,758	832,546
SLMA	0.42	12/15/2027	2,670,000	2,726,657
ACASC_07-1	0.55	4/20/2021	2,236,075	2,210,856
ACIS_13	1.19	4/18/2024	12,211,343	11,784,960
ACIS_13-1	0.82	10/14/2022	13,070,536	12,903,795
ACIS CLO LTD ACIS_14-4A	2.10	5/1/2026	1,113,736	1,038,392
ACIS_14-4A	1.81	5/1/2026	8,650,000	8,348,980
SAPPH 2006-1A E	0.98	11/1/2018	7,922,014	7,853,766
ALM_12-5A	1.74	10/18/2027	3,000,000	2,985,828
ALM_15-17A	0.00	1/15/2028	4,250,000	3,748,075
ANCHC_14-4A	1.77	7/28/2026	12,450,000	12,300,612
ANCHC_14-4A	2.48	7/28/2026	3,600,000	3,501,612
APID_06-QA	0.57	1/20/2019	31,102	31,089
APID_15-21A	1.71	7/18/2027	2,020,000	1,993,134
ARES	1.02	11/25/2020	3,441,618	3,404,913
ARES CLO LTD ARES_14-1A	1.84	4/17/2026	5,000,000	4,956,675
ARES_15-2A	2.49	7/29/2026	1,500,000	1,486,445
ATLAS SENIOR LOAN FUND LTD ATC	0.00	2/17/2026	15,300,000	6,003,766
ATRM_14-11A	1.76	10/23/2025	6,000,000	5,937,222
ATRM_11A	2.47	10/23/2025	1,000,000	991,829

Page 52



Security Description	Coupon	Maturity	Par	Fair Value
BENEFIT STREET PARTNERS CLO IV	1.81	7/20/2026	14,100,000	13,994,250
BLACK DIAMOND CLO LTD BLACK_06	0.57	4/29/2019	2,832,289	2,772,556
BLUEM _15-4A	0.00	1/20/2027	2,000,000	1,764,000
BLUEM_15-1A	2.57	4/13/2027	1,790,000	1,774,944
BLUE MOUNTAIN CLO LTD BLUEM_15	1.71	7/18/2027	2,730,000	2,692,695
BRENT_06-1A	0.60	2/1/2022	4,995,630	4,911,174
CIFC_14-2A	1.86	5/26/2026	2,500,000	2,470,195
CGMS_14-3A	5.42	7/27/2026	3,500,000	2,930,698
CGCMT_07-C6	6.59	1/20/2028	1,000,000	886,500
CGMS_15-5A	3.38	1/20/2028	4,000,000	3,992,656
CENT_23	5.72	4/17/2026	4,500,000	3,656,250
CRNPT_15-3A	1.86	12/31/2027	19,600,000	19,117,840
DRYDEN SENIOR LOAN FUND DRSLF_	1.70	7/15/2027	1,600,000	1,584,738
DRSLF_11-22A	1.49	1/15/2022	4,001,222	3,992,099
GALXY_15-19A	1.87	1/24/2027	4,000,000	3,965,852
GALE	0.56	4/19/2021	4,188,119	4,116,108
GALLATIN FUNDING LTD GALL_13-1	1.47	7/15/2024	12,000,000	11,796,000
GALL_14-1A	0.00	7/15/2023	5,150,000	2,003,350
GOLDS_07-5A	1.01	10/18/2021	3,475,892	3,455,704
CECLO_15-23A	5.87	4/18/2027	2,000,000	1,709,050
HLA_14-2A	2.32	4/28/2025	4,500,000	4,294,953
HICDO_07-1RA	0.76	11/12/2019	2,854,704	2,827,367
ICG_14-1A	1.47	4/20/2026	9,900,000	9,670,884
KKR FINANCIAL CLO LTD KKR_07-1	0.71	5/15/2021	8,677,053	8,607,637
LCM_14-X	1.58	4/15/2022	5,743,024	5,721,580
MDPK_14-13A	5.32	1/19/2025	250,000	214,373
MDPK_15-19A	6.86	1/22/2028	4,000,000	3,662,000
MANGE_15-16A	6.96	1/18/2028	3,000,000	2,732,400
MCBSL_15-1A	2.58	5/22/2027	550,000	518,679
MCBSL_15-1A	1.93	5/22/2027	8,900,000	8,562,690
NAUTIQUE FUNDING LTD NAUTQ_06-	0.57	4/15/2020	1,296,601	1,285,570
NEUB_14-16A	4.52	4/15/2026	750,000	578,453
OCP_12-2A	1.20	11/22/2023	10,171,481	9,998,851
OCP_14-5A	1.30	4/26/2026	11,000,000	10,688,944
OFSBS_13-5A	1.25	4/17/2025	9,500,000	9,251,765
OFSBS_14-6A	1.35	3/20/2025	11,000,000	10,607,168
OFSBS_14-7A	1.66	10/18/2026	1,200,000	1,173,530
OZLM _14-8A	5.27	10/17/2026	3,500,000	2,800,000
OAKC_15-12A	0.00	1/23/2027	4,000,000	3,770,000
OCTR_06-1A	0.57	10/12/2020	673,099	668,017
OCT12_12-1AR	1.60	5/5/2023	6,876,249	6,813,764
OCT24_15-1A	1.73	5/21/2027	2,115,000	2,086,560
OCT21_14-1A	1.83	11/14/2026	8,000,000	7,907,368
OCT21_14-1A	2.76	11/14/2026	1,000,000	998,663
RACEP_11-5AR	1.81	12/15/2022	4,710,548	4,678,733

Page 53



Security Description	Coupon	Maturity	Par	Fair Value
SCOF_15-2A	0.00	1/15/2028	4,000,000	3,535,600
SAPPH_06-1A	0.59	12/15/2022	1,695,280	1,671,408
SMORE 2014-1A	1.81	5/15/2026	5,950,000	5,836,950
SILVERMORE CLO LTD SMORE_14-1A	2.41	5/15/2026	1,150,000	1,086,575
STCLO_07 6A	0.55	4/17/2021	707,414	697,935
SYMPH_5	1.07	1/15/2024	9,646,187	9,394,084
VENT_8	0.60	7/22/2021	952,592	935,466
VENTURE CDO LTD VENTR_07-8A	0.54	7/22/2021	1,069,229	1,052,295
VOYA_14-2A	1.77	7/17/2026	8,000,000	7,919,928
VOYA CLO LTD VOYA_15-1A	1.80	4/18/2027	1,670,000	1,651,633
VOYA_14-4A	2.72	10/14/2026	2,000,000	1,997,632
WGH_06-1A	0.67	5/24/2019	446,380	443,327
WASAT_06-1A	0.60	11/14/2022	7,870,624	7,549,959
ZAIS_14-1A	1.72	4/15/2026	8,000,000	7,892,856
ZAIS2_14-2A	2.42	7/25/2026	4,020,000	3,831,780
GALATTIN FUNDS LTD GALL_13-1X	0.00	7/15/2024	7,350,000	2,697,450
GALLATIN FUNDING LTD GALL_12-1	0.00	10/15/2023	3,445,000	1,023,165
AMSI_03-10	1.18	12/25/2033	5,499,507	5,345,267
AEPWV_13-1	2.01	2/1/2024	3,933,315	3,918,021
ABFC_03-OPT1	1.10	4/25/2033	2,534,894	2,412,484
AESOP_15-2A	2.63	12/20/2021	10,950,000	10,812,504
CNH_15-C	1.10	12/15/2018	1,650,000	1,647,546
BLUEMT_13-3A	3.33	7/17/2032	4,275,000	4,083,967
FORDF_14-1	0.73	2/15/2019	16,000,000	15,964,800
JDOT_14-B	1.07	11/15/2018	3,460,000	3,443,881
OCT19_14-1A	5.17	4/15/2026	250,000	195,665
SOUNDVIEW HOME EQUITY LOAN TRU	1.72	11/25/2033	1,591,283	1,572,274
SAIL_03-B2	1.10	4/25/2033	5,877,726	5,685,839
SAIL_04-6	1.22	7/25/2034	4,650,011	4,381,612
SAIL_04-7	1.26	8/25/2034	4,788,491	4,691,967
			762,329,444	$	726,174,081

Total Fixed Income Securities			19,291,617,279	$	7,201,538,224

Other Invested Assets - High Yield Fund
CRESCENT CAPITAL HIGH YIELD FUND				$	13,773,606

Equities
AMERICAN EXPRESS COMPANY			74,000	$	5,146,700
APPLE INC			29,000	3,052,540
BAIDU INC			2,764	522,507
BERKSHIRE HATHAWAY INC			48,000	6,337,920
BOEING CO			33,000	4,771,470
CSX CORPORATION			86,000	2,231,700
CENTERRA GOLD INC			49,700	235,781

Page 54



Security Description	Coupon	Maturity	Par	Fair Value
CHEMOURS COMPANY LLC			1	4
EMC CORP/ MASSACHUSETTS			135,000	3,466,800
EBAY INC.			145,000	3,984,600
ELDORADO GOLD CORP			58,165	172,750
FOMENTO ECONOMICO MEXICANO SAB			10,610	979,834
HILLENBRAND INDUSTRIES INC			49,000	2,354,940
HYATT HOTELS CORP			52,000	2,445,040
KINROSS GOLD CORP			124,927	227,367
MICROSOFT CORP			54,000	2,995,920
MONDELEZ INTERNATIONAL INC			61,000	2,735,240
MOTOROLA SOLUTIONS INC			83,000	5,681,350
NATIONAL FUEL GAS CO			39,000	1,667,250
NIKON CORP.			32,900	444,428
OMNICOM GROUP INC			26,000	1,967,160
PAINTED PONY PETROLEUM LTD			20,200	50,605
PFIZER INC			170,000	5,487,600
PITNEY BOWES INC.			200,000	4,130,000
PROCTER & GAMBLE COMPANY			25,000	1,985,250
RAYTHEON COMPANY			26,500	3,300,045
ROCKWELL AUTOMATION INC			13,000	1,333,930
HENRY SCHEIN INC			16,500	2,610,135
SCHLUMBERGER LTD			45,000	3,138,750
CHARLES SCHWAB CORPORATIO			70,000	2,305,100
SCOTTS COMPANY THE			25,000	1,612,750
SHINHAN FINANC			5,230	175,676
STANLEY BLACK & DECKER INC			49,000	5,229,770
STATE STREET CORP			138,500	3,833,680
TAIWAN SEMICONDUCTOR MANUFACTU			43,460	988,715
URANIUM PARTICIPATION CORP			50,600	186,868
WELLS FARGO & COMPANY			95,000	5,164,200
NCR CORP			120,000	2,935,200
ACTIVISION BLIZZARD INC			87,000	3,367,770
AETNA INC			26,000	2,811,120
ALIBABA GROUP HOLDING LTD			7,330	595,709
CARDINAL HEALTH INC			63,000	5,624,010
CISCO SYSTEMS INC			155,000	4,209,025
GOLDMAN SACHS GROUP INC/THE			39,000	7,028,970
HCA HOLDINGS INC			72,000	4,869,360
ICICI BANK LTD			235,898	1,847,081
INTERCONTINENTALEXCHANGE INC			25,600	6,560,256
JPMORGAN CHASE & CO			107,000	7,065,210
KB FINANCIAL GROUP INC			9,917	276,387
KT CORPORATION			41,525	494,563
METHANEX CORPORATION			70,000	2,310,700
PAYPAL HOLDINGS INC			114,000	4,126,800

Page 55



Security Description	Coupon	Maturity	Par	Fair Value
PETROLEO BRASILEIRO SA			46,501	199,954
SEALED AIR CORP			103,000	4,593,800
3M CO			30,500	4,594,520
NEWS CORP-CL A			153,000	4,155,480
VIPSHOP HOLDINGS LTD			53,270	813,433
CHINA LIFE INSURANCE CO LTD (C			204,000	659,368
PARAMOUNT BED HOLDINGS CO LTD			4,930	176,225
CRH PLC			33,177	963,811
UNICREDITO ITALIANO S.P.A.			176,679	985,542
LEG IMMOBILIEN AG			7,742	634,965
BANCHE POPOLARI UNITE SCRL			102,201	1
INFINEON TECHNOLOGIES AG			47,842	701,865
TELEFONICA SA			42,987	477,942
SAFRAN SA			11,265	775,469
THALES SA			4,832	362,706
ANGLO AMERICAN PLC			36,917	162,937
AQUARIUS PLATINUM LTD			385,342	63,895
HOME RETAIL GROUP			117,931	173,036
BERENDSEN PLC			19,403	308,573
DAPHNE INTERNATIONAL HOLDINGS			854,000	143,249
HOLLYSYS AUTOMATION TECHNOLOGI			23,620	523,892
KINGBOARD LAMINATES HOLDINGS L			530,000	240,718
MARKIT LTD			27,230	821,529
NEW WORLD DEPARTMENT STORE CHI			544,000	82,827
SANDS CHINA LTD			321,200	1,100,348
SMURFIT KAPPA GROUP PLC			24,668	630,798
HOLCIM LTD			21,108	1,060,672
GREE INC			50,300	240,848
ISUZU MOTORS LTD			31,480	343,861
ITOCHU CORP			29,740	356,499
JGC CORP			14,600	226,109
KINDEN CORP			33,480	431,389
NEC CORP			213,000	681,699
NIDEC CORP			10,200	749,303
NISHIMATSUYA CHAIN CO., LTD.			29,200	255,116
NITTO DENKO CORP			4,100	303,747
SUMITOMO BAKELITE CO., LTD.			75,000	314,851
MOBILEYE NV			24,948	1,054,801
ROYAL PHILIPS ELECTRONICS N.V.			12,610	322,731
WOLTERS KLUWER NV			24,464	822,902
SINOVAC BIOTECH LTD			36,358	207,968
ARM HOLDINGS PLC			80,835	1,237,893
BALFOUR BEATTY PLC			189,137	753,234
BRITISH SKY BROADCASTING GRP P			131,776	2,159,778
DIPLOMA PLC			8,329	93,421

Page 56



Security Description	Coupon	Maturity	Par	Fair Value
DIAGEO PLC			37,192	1,017,683
BRITISH AMER TOBACCO PLC			29,374	1,632,630
SPECTRIS PLC			23,183	615,733
HALMA PLC			24,408	311,183
STANDARD CHARTERED PLC			67,591	561,573
HAYS PLC			139,792	300,612
JARDINE LLOYD THOMPSON GROUP P			16,029	218,533
HSBC HOLDINGS PLC			166,267	1,314,017
INTU PROPERTIES PLC			216,651	1,013,208
PRUDENTIAL PLC			44,862	1,012,329
BP PLC			208,094	1,085,753
SIG PLC			107,674	227,894
ULTRA ELECTRONICS HOLDINGS			10,628	309,533
SMITH & NEPHEW PLC			136,084	2,422,936
VICTREX PLC			7,686	204,364
ASTRAZENECA PLC			61,349	4,174,345
BARRICK GOLD CORPORATION			23,100	170,286
CANADIAN NATURAL RESOURCES LTD			35,200	765,779
COMPANHIA PARANAENSE DE ENERGI			14,100	86,605
NORTHERN DYNASTY MINERALS			16,100	4,868
ENCANA CORP			16,400	82,998
IMPALA PLATINUM HOLDINGS LTD			80,618	130,275
LOREAL SA			9,590	1,617,856
GFI INFORMATIQUE			6,940	62,724
INTESA SANPAOLO SPA			238,133	798,816
HELLENIC EXCHANGES SA			89,032	512,592
BANCA EMILIA			31,206	238,650
BELIMO HOLDING AG			85	208,042
CRH PLC			43,106	1,250,255
ELLAKTOR SA			50,498	79,541
UNITED INTERNET			9,984	552,150
MAGYAR TELEKOM TELECOMMUNICATI			192,695	268,938
INFICON HLDG AG			506	161,885
PERNOD-RICARD SA			8,125	928,515
RENAULT S.A.			3,563	358,523
ANHEUSER-BUSCH INBEV NV			19,462	2,418,596
RWE AG			12,886	163,917
LUXOTTICA GRP SPA			12,251	803,819
SCHNEIDER ELECTRIC SE			24,354	1,390,514
STOREBRAND ASA			98,389	388,494
TRELLEBORG AB			35,172	687,537
VALEO SA			5,439	842,240
E.ON SE			25,533	247,715
METRO AG			10,101	324,353
HELLENIC TELECOM ORG S.A.			177,235	1,778,981

Page 57



Security Description	Coupon	Maturity	Par	Fair Value
BAYER AG			7,498	943,200
BEIERSDORF AG			17,840	1,630,986
ORANGE SA			31,973	537,829
SAMPO OYJ			11,380	581,018
DEUTSCHE LUFTHANSA AG			38,956	616,360
RHEINMETALL AG			18,906	1,262,651
NORDEA BANK AB			76,435	845,893
AKZO NOBEL NV			7,935	531,669
SALZGITTER AG			9,818	242,369
POSTNL NV			140,720	535,025
MOBISTAR SA			15,607	378,580
UCB SA			19,361	1,750,481
ALTEN SA			4,333	251,398
SOPRA GROUP SA			4,086	480,703
VISCOFAN SA			3,347	202,298
TUI AG			36,922	673,219
AGFA-GEVAERT NV			49,693	282,863
WIENERBERGER AG			52,188	968,863
VICAT SA			4,404	264,750
BUZZI UNICEM SPA			24,614	443,854
SUEDZUCKER AG			15,797	314,720
DEVOTEAM SA			2,646	96,291
BEKAERT SA NV			9,048	278,992
KONINKLIJKE KPN NV			167,999	637,281
LINDT & SPRUENGLI AG			31	193,711
SOCIETE GENERALE-A			12,671	585,955
GIVAUDAN S.A.			119	216,720
METROPOLE TELEVISION SA			15,882	273,281
AICHI STEEL CORP			17,000	80,552
AISAN INDUSTRY CO LTD			18,800	195,509
AMANO CORP			18,400	251,921
NET ONE SYSTEMS			43,800	282,181
ASAHI BREWERIES, LTD.			9,300	293,700
NISSIN KOGYO			41,600	608,637
BENESSE HOLDINGS INC			4,400	127,653
AVEX GROUP HOLDINGS INC			12,300	147,340
MOSHI MOSHI HOTLINE INC			10,600	91,641
FUNAI ELE CO., LTD.			49,180	417,005
ALPHA SYSTEMS INC			2,800	45,342
CANON INC			26,600	812,627
CHUBU STEEL PLATE CO. LTD.			16,000	70,094
ITOCHU TECHNO-SOLUTIONS CORP			17,000	342,275
KDDI CORP			43,120	1,130,558
DAH SING FINANCIAL			25,200	125,998
EXEDY CORP			14,000	342,275

Page 58



Security Description	Coupon	Maturity	Par	Fair Value
DAITO TR CONSTR CO., LTD.			4,550	529,910
DAINIPPON SCREEN MANUFACTURING			60,000	447,899
DAIICHIKOSHO CO LTD			6,610	264,026
WESTERN AREAS NL			76,267	124,293
MITSUBISHI UFJ LEASE & FINANCE			132,200	690,150
TV ASAHI CORP			21,840	381,263
CAWACHI LTD.			11,800	231,694
ADASTRIA HOLDINGS CO LTD			4,800	271,333
EIGHTEENTH BANK LIMITED			15,000	44,141
EISAI CO LTD			44,900	3,009,507
ENN ENERGY HOLDINGS LTD			115,000	613,569
MITSUBISHI TOKYO FINANCIAL GRP			360,640	2,269,758
EN-JAPAN INC.			8,200	304,019
FUJIMI INC			7,000	98,109
FUJI HEAVY IND LTD			10,710	447,559
FUJI MACHINE MFG. CO., LTD.			6,700	71,347
FUJITSU LTD			132,000	665,953
PROTO CORP			4,800	66,397
HIS			6,100	206,131
RESOLUTE MINING LTD			580,247	105,540
PAL CO LTD			15,850	384,079
HISAKA WORKS LTD			14,800	118,971
HITACHI CHEM CO LTD			13,300	214,047
HONDA MOTOR CO LTD			22,900	744,328
HOSIDEN CORP			85,800	487,861
INABA DENKISANGYO CO LTD			7,490	241,894
JAPAN DIGITAL LABORATORY CO LT			10,500	143,846
JAPAN STEEL WORKS LTD/THE			85,000	301,717
JSR CORP			30,400	479,900
JAPAN TOBACCO INC.			9,730	361,635
AEON DELIGHT CO. LTD.			11,250	363,326
KEIHIN CORP			24,000	426,551
KURODA ELEC CO. LTD.			32,000	597,199
TOKIO MARINE HOLDINGS INC			9,800	383,870
CMIC HOLDINGS CO LTD			10,400	133,226
SUMITOMO MITSUI FIN GRP INC			32,820	1,256,652
MARUICHI STEEL TUBE LTD.			7,500	223,825
MIZUHO FINANCIAL GROUP			319,100	645,919
MIMASU SEMICONDUCTOR IND CO.,			11,700	112,823
MITSUI CHEMICALS INC			61,000	274,841
MITSUMI ELEC CO., LTD.			10,100	57,849
NAMURA SHIPBUILDING CO LTD			23,100	192,604
PANAHOME CORP			33,040	252,136
NETUREN CO LTD			18,500	145,945
NICHICON CORP			62,000	490,660

Page 59



Security Description	Coupon	Maturity	Par	Fair Value
NINTENDO CO LTD			12,379	1,724,179
NSD CO LTD			17,370	253,269
NIPPO CORP			17,400	285,239
NTT CORP			15,190	610,656
HITACHI HIGH-TECHNOLOGIES CORP			8,140	222,624
NIPPON TELEVISION HOLDINGS INC			22,300	410,797
OITA BANK LTD			24,000	94,168
ONO PHARM CO., LTD.			17,910	3,229,294
PACIFIC MTLS CO., LTD.			47,000	132,449
HAZAMA ANDO CORP			29,100	158,448
MELCO HOLDINGS INC			12,800	237,283
PIONEER CORP			124,900	347,824
QANTAS AIRWAYS LTD			54,036	160,794
JAPAN PETROLEUM EXPLORATION CO			24,100	654,113
HONEYS CO LTD			19,970	173,147
T&D HOLDINGS INC			120,500	1,611,742
ROHM CO LTD.			5,800	297,967
ANGLO PLATINUM LTD			11,015	131,749
SAN-IN GODO BK, LTD.			29,000	238,663
SANKYO CO LTD			7,300	274,596
SHIMAMURA CO., LTD.			5,100	604,564
SHINKAWA LTD			24,310	126,506
SHINKO ELEC INDUS CO., LTD.			53,500	347,787
SONY CORP			42,700	1,065,592
STAR MICRONICS CO., LTD.			15,810	208,574
SUMITOMO HEAVY IND, LTD.			55,000	250,551
SUZUKEN CO LTD			1,650	63,438
TACHI-S CO., LTD.			14,000	225,429
TAKEDA PHARMACEUTICAL CO LTD			38,500	1,941,082
TAKUMA CO LTD			35,000	288,915
TOCHIGI BANK LTD/THE			26,000	149,998
TOKAI RUBBER INDUSTRIES INC			28,200	237,471
TOKAI RIKA CO., LTD.			22,350	559,238
TOKYO SEIMITSU CO., LTD.			24,500	550,102
TOKYO OHKA KOGYO CO LTD			5,650	181,531
TOKYO STEEL MANU CO., LTD.			41,100	258,295
TOSHIBA MACH			132,000	452,089
TOYO ENGR CORP			106,000	274,924
TOYOTA INDUSTRIES CORPORATION			9,230	501,034
TOYODA GOSEI CO LTD			18,700	430,289
USHIO INC			39,000	544,013
XEBIO CO., LTD.			15,600	297,100
YAMANASHI CHUO BANK LTD/THE			20,000	103,080
YAMATO KOGYO CO LTD			22,100	569,517
YAMAZEN CORP			20,200	187,063

Page 60



Security Description	Coupon	Maturity	Par	Fair Value
YODOGAWA STEEL WORKS LTD.			8,800	178,275
H LUNDBECK A/S			50,324	1,724,398
NOVARTIS AG			20,411	1,769,905
PEUGEOT SA			6,712	118,155
GREEK ORGANISATION OF FOOTBALL			72,756	640,182
ROCHE HOLDING AG			7,857	2,169,505
ADECCO SA			5,799	399,152
TECAN GROUP AG			2,448	398,381
MICRONAS SEMICONDUCTOR HOLD			24,941	183,881
STATOILHYDRO ASA			10,045	140,382
ENI SPA			43,654	654,415
ING GROEP NV			103,280	1,396,804
ESSILOR INTL			5,843	730,251
BNP PARIBAS SA			39,879	2,262,633
ORSZAGPS TAKAREKPENZTAR ES KER			13,397	276,321
SAINT GOBAIN			46,662	2,019,954
KONTRON			23,299	76,309
BANCHE POPOLARI UNITE SCRL			114,199	769,137
HEINEKEN N.V.			19,739	1,689,024
AMVIG HOLDINGS LTD			370,000	153,726
C&C GROUP PLC			110,217	444,553
J SAINSBURY PLC			145,228	553,965
BIOMERIEUX SA			2,220	265,033
PACIFIC BASIN SHIPPING LTD			833,000	182,719
BOOKER GROUP PLC			266,763	713,625
GENDAI AGENCY INC			7,400	38,324
ROYAL DUTCH SHELL PLC			30,498	693,594
WELLNET CORP			8,000	206,492
DENA			36,410	574,775
DOLPHIN CAPITAL INVESTORS LTD			1,332,852	284,851
CST MINING GROUP LTD			2,416,000	28,368
KYOKUTO SEC			16,700	212,403
ESSENTRA PLC			28,753	350,899
COBHAM PLC			148,461	619,689
NATIONAL GRID PLC			106,808	1,475,853
KONE OYJ			51,024	2,171,090
GDF SUEZ			31,023	550,157
MIRAIAL CO LTD			11,400	100,927
FINMECCANICA SPA			41,554	582,307
SEVEN & I HLDG			24,800	1,144,187
DAIICHI SANKYO			16,900	352,695
NAMCO BANDAI HOLDINGS INC			15,790	336,552
HIKMA PHARMACEUTICALS PLC			10,147	344,130
LEM HLDGS AG			147	110,874
EFG INTERNATIONAL			55,502	584,961

Page 61



Security Description	Coupon	Maturity	Par	Fair Value
QINETIQ GROUP PLC			114,238	456,129
AIZAWA SECURITIES CO LTD			27,400	157,847
DEUTSCHE WOHNEN AG			21,162	588,845
INPEX CORP			33,100	326,199
SCHINDLER HOLDING AG			2,974	499,133
G-RESOURCES GROUP LTD			6,957,000	165,169
LEGRAND S.A.			18,543	1,051,478
EUROBANK PROPERTIES REAL ESTAT			55,753	446,360
ZUMTOBEL			2,334	59,025
KUEHNE & NAGEL INTERNATIONAL A			4,158	572,400
SPAR NORD BANK A/S			17,689	157,068
TOTAL SA			23,348	1,046,601
USG PEOPLE			16,990	317,078
TAKATA CORP			17,600	118,070
GALP ENERGIA SA			155,709	1,813,252
KYOEI STEEL LTD			15,400	278,440
BANCA GENERALI			11,313	358,602
ELECTROLUX AB			22,528	548,329
TS TECH CO LTD			8,370	219,522
RAUBEX			96,392	104,818
REXEL SA			18,050	240,783
GEBERIT AG			2,532	860,526
DAMPSKIBSSELSKABET NORDEN A/S			12,786	227,251
DSV DE SAMMENSLUT VOGN			28,711	1,135,518
VINCI S.A.			15,389	988,648
ALMIRALL SA			17,376	351,651
DAETWYLER HLDG AG			1,009	144,546
DIASORIN SPA			6,895	362,892
SONY FINANCIAL			23,000	416,617
RECKITT BENCKISER GROUP PLC			24,588	2,276,250
CAIXABANK SA			165,254	576,963
IBERDROLA SA			31,516	224,245
HAMBURGER HAFEN UND LOGISTIK A			9,132	139,476
GROUPE EUROTUNNEL SA			46,841	583,124
WH SMITH PLC			17,197	448,382
SUEZ ENVIRONNEMENT SAS			37,538	703,820
HENDERSON GROUP PLC			223,442	1,019,609
TONGYANG LIFE INSURANCE			16,242	161,374
CLOETTA AB			35,056	116,429
TELEFONICA BRASIL SA			9,300	84,038
GATEGROUP HOLDING AG			15,006	661,104
HARUM ENERGY TBK PT			722,500	35,378
GRIFOLS INC			74,410	3,617,173
NORMA GROUP AG			3,743	207,977
NXP SEMICONDUCTORS NV			20,438	1,721,902

Page 62



Security Description	Coupon	Maturity	Par	Fair Value
DELTA LLOYD NV			22,125	130,867
CDON GROUP AB			77,177	110,768
BRITISH AIRWAYS PLC			71,156	640,273
SBERBANK OF RUSSIAN FEDERATION			111,400	655,032
SALVATORE FERRAGAMO ITALIA SPA			16,069	379,663
DAI-ICHI LIFE INSURANCE CO. LT			27,800	470,286
SUPERGROUP PLC			10,174	246,825
FORTIS			15,291	710,934
JAPAN AIRLINES CO LTD			9,700	351,247
WPP GROUP PLC			46,187	1,064,013
BANCO POPULAR ESPANOL SA			89,715	296,563
DEUTSCHE ANNINGTON IMMOBILIEN			41,168	1,276,779
COM FN RICHEMONT			29,615	2,133,108
PROSIEBENSAT1 MEDIA AG			11,621	590,356
IVANHOE MINES LTD			174,800	76,761
HIBERNIA REIT PLC			586,343	896,818
IRISH RESIDENTIAL PROPERTIES R			1,013,757	1,288,456
COMPASS GROUP			54,320	940,731
IRISH CONTINENTAL GROUP PLC			80,004	470,522
SAGA PLC			148,715	441,670
TENCENT HOLDINGS LIMITED			64,300	1,265,234
BRAAS MONIER BUILDING GROUP SA			40,713	1,174,436
COFACE SA			19,823	201,039
SSP GROUP			44,422	212,789
RECRUIT HOLDINGS CO LTD			9,540	282,326
UBS GROUP AG			207,722	4,050,683
OVS SPA			45,570	317,807
SPIRAX-SARCO ENGINEERING PLC			10,786	521,914
NIELSEN HOLDINGS PLC			38,000	1,770,800
CAIRN HOMES PLC			746,139	968,584
ROYAL UNIBREW			3,515	143,316
ATLAS COPCO AB			50,162	1,239,978
ORIFLAME HOLDING AG			15,886	256,268
ASSA ABLOY AB			136,727	2,886,794
LONMIN PLC			24,217	29,804
JAPAN POST BANK CO LTD			16,500	240,035
HRT PARTICIPACOES EM PETROLEO			3,600	2,229
ALPHABET INC CLASS A			7,800	5,919,264
WORLDPAY GROUP PLC			206,224	934,049
EUROBANK ERGASIAS SA			142,495	160,984
LUKOIL			12,310	396,382
ALPHA BK A.E.			82,132	222,158
HORNBACH HOLDING AG & CO KGAA			9,668	643,269
COMPAL ELECTRONICS INC			549,000	309,206
HONG KONG EXCHANGES AND CLEARI			22,000	563,473

Page 63



Security Description	Coupon	Maturity	Par	Fair Value
HYNIX SEMICONDUCTOR INC			28,435	745,705
KOREA ELECTRIC POWER CORPORATI			12,511	533,495
ZALANDO SE			37,944	1,500,356
INDO TAMBANGRAYA MEGAH PT			153,100	63,584
ASML HOLDING NV			4,260	382,012
GLP J-REIT			557	540,817
AEGEAN MARINE PETROLEUM			29,133	216,150
ELIOR SCA			4,575	95,918
CRESCENT SHORT DURATION HIGH INCOME FUND			2,639,843	24,075,369
			40,045,399	$	403,021,535

Page 64

Allied World Assurance 8-K/AResults of Operations and Financial Condition