Exhibit 99.3
Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2014
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
U.S. Government Securities | ||||||||||||
912796BT5 | UNITED STATES TREASURY | - | 07/24/14 | 4,300,000 | 4,299,210 | |||||||
912796BX6 | UNITED STATES TREASURY | - | 08/21/14 | 300,000 | 299,911 | |||||||
912796DG1 | UNITED STATES TREASURY | - | 02/05/15 | 300,000 | 299,734 | |||||||
912796DP1 | UNITED STATES TREASURY | - | 03/05/15 | 107,000 | 106,875 | |||||||
912796DS5 | UNITED STATES TREASURY | - | 09/04/14 | 100,000 | 99,965 | |||||||
912796DV8 | UNITED STATES TREASURY | - | 09/11/14 | 200,000 | 199,932 | |||||||
912796DW6 | UNITED STATES TREASURY | - | 09/25/14 | 13,000 | 12,996 | |||||||
912810EZ7 | UNITED STATES TREASURY | 6.63 | 02/15/27 | 625,000 | 871,175 | |||||||
912828A34 | UNITED STATES TREASURY | 1.25 | 11/30/18 | 500,000 | 491,270 | |||||||
912828A42 | UNITED STATES TREASURY | 2.00 | 11/30/20 | 900,000 | 886,392 | |||||||
912828A59 | UNITED STATES TREASURY | 0.63 | 12/15/16 | 500,000 | 498,080 | |||||||
912828A67 | UNITED STATES TREASURY | 0.25 | 12/31/15 | 500,000 | 499,325 | |||||||
912828A75 | UNITED STATES TREASURY | 1.50 | 12/31/18 | 500,000 | 496,230 | |||||||
912828B33 | UNITED STATES TREASURY | 1.50 | 01/31/19 | 700,000 | 693,833 | |||||||
912828B74 | UNITED STATES TREASURY | 0.63 | 02/15/17 | 400,000 | 397,452 | |||||||
912828B82 | UNITED STATES TREASURY | 0.25 | 02/29/16 | 500,000 | 498,670 | |||||||
912828C24 | UNITED STATES TREASURY | 1.50 | 02/28/19 | 1,000,000 | 990,000 | |||||||
912828C32 | UNITED STATES TREASURY | 0.75 | 03/15/17 | 1,000,000 | 996,210 | |||||||
912828EW6 | UNITED STATES TREASURY | 4.50 | 02/15/16 | 300,000 | 323,178 | |||||||
912828FY1 | UNITED STATES TREASURY | 4.63 | 11/15/16 | 825,000 | 908,837 | |||||||
912828GX2 | UNITED STATES TREASURY | 2.63 | 07/15/17 | 7,000,000 | 8,849,694 | |||||||
912828KN9 | UNITED STATES TREASURY | 1.88 | 04/30/14 | 715,000 | 716,001 | |||||||
912828KY5 | UNITED STATES TREASURY | 2.63 | 06/30/14 | 495,000 | 498,153 | |||||||
912828KZ2 | UNITED STATES TREASURY | 3.25 | 06/30/16 | 500,000 | 530,285 | |||||||
912828LJ7 | UNITED STATES TREASURY | 3.63 | 08/15/19 | 2,280,000 | 2,489,714 | |||||||
912828LP3 | UNITED STATES TREASURY | 3.00 | 09/30/16 | 500,000 | 529,120 | |||||||
912828MR8 | UNITED STATES TREASURY | 2.38 | 02/28/15 | 80,000 | 81,625 | |||||||
912828MZ0 | UNITED STATES TREASURY | 2.50 | 04/30/15 | 750,000 | 768,900 | |||||||
912828NA4 | UNITED STATES TREASURY | 3.13 | 04/30/17 | 250,000 | 266,503 | |||||||
912828NF3 | UNITED STATES TREASURY | 2.13 | 05/31/15 | 1,500,000 | 1,534,155 | |||||||
912828NL0 | UNITED STATES TREASURY | 1.88 | 06/30/15 | 1,000,000 | 1,021,170 | |||||||
912828NP1 | UNITED STATES TREASURY | 1.75 | 07/31/15 | 1,000,000 | 1,020,820 | |||||||
912828NV8 | UNITED STATES TREASURY | 1.25 | 08/31/15 | 200,000 | 202,980 | |||||||
912828NW6 | UNITED STATES TREASURY | 1.88 | 08/31/17 | 500,000 | 512,690 | |||||||
912828NZ9 | UNITED STATES TREASURY | 1.25 | 09/30/15 | 1,000,000 | 1,015,220 | |||||||
912828PJ3 | UNITED STATES TREASURY | 1.38 | 11/30/15 | 1,000,000 | 1,017,850 | |||||||
912828PS3 | UNITED STATES TREASURY | 2.00 | 01/31/16 | 3,000,000 | 3,089,820 | |||||||
912828PT1 | UNITED STATES TREASURY | 2.63 | 01/31/18 | 500,000 | 524,895 | |||||||
912828QF0 | UNITED STATES TREASURY | 2.00 | 04/30/16 | 250,000 | 257,890 | |||||||
912828QJ2 | UNITED STATES TREASURY | 2.13 | 02/29/16 | 12,875,000 | 13,300,905 | |||||||
912828QP8 | UNITED STATES TREASURY | 1.75 | 05/31/16 | 500,000 | 513,305 | |||||||
912828QQ6 | UNITED STATES TREASURY | 2.38 | 05/31/18 | 4,480,000 | 4,652,256 | |||||||
912828QR4 | UNITED STATES TREASURY | 1.50 | 06/30/16 | 1,000,000 | 1,021,060 | |||||||
912828QT0 | UNITED STATES TREASURY | 2.38 | 06/30/18 | 250,000 | 259,418 | |||||||
912828QX1 | UNITED STATES TREASURY | 1.50 | 07/31/16 | 175,000 | 178,710 | |||||||
912828RE2 | UNITED STATES TREASURY | 1.50 | 08/31/18 | 750,000 | 748,643 | |||||||
912828RG7 | UNITED STATES TREASURY | 0.25 | 09/15/14 | 15,000,000 | 15,011,850 | |||||||
912828RH5 | UNITED STATES TREASURY | 1.38 | 09/30/18 | 42,300,000 | 41,922,685 | |||||||
912828RJ1 | UNITED STATES TREASURY | 1.00 | 09/30/16 | 100,000 | 100,829 | |||||||
912828RM4 | UNITED STATES TREASURY | 1.00 | 10/31/16 | 1,950,000 | 1,964,586 | |||||||
912828RV4 | UNITED STATES TREASURY | 0.25 | 12/15/14 | 30,100,000 | 30,132,812 | |||||||
912828RX0 | UNITED STATES TREASURY | 0.88 | 12/31/16 | 4,806,500 | 4,817,939 | |||||||
912828RY8 | UNITED STATES TREASURY | 1.38 | 12/31/18 | 500,000 | 493,615 |
Page 1
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
912828SC5 | UNITED STATES TREASURY | 0.88 | 01/31/17 | 1,000,000 | 1,001,280 | |||||||
912828SJ0 | UNITED STATES TREASURY | 0.88 | 02/28/17 | 1,520,000 | 1,520,228 | |||||||
912828SM3 | UNITED STATES TREASURY | 1.00 | 03/31/17 | 1,000,000 | 1,002,580 | |||||||
912828SP6 | UNITED STATES TREASURY | 0.38 | 04/15/15 | 250,000 | 250,573 | |||||||
912828SR2 | UNITED STATES TREASURY | 0.25 | 04/30/14 | 34,879,000 | 34,884,581 | |||||||
912828SS0 | UNITED STATES TREASURY | 0.88 | 04/30/17 | 1,000,000 | 997,810 | |||||||
912828SU5 | UNITED STATES TREASURY | 0.25 | 05/15/15 | 400,000 | 400,436 | |||||||
912828SY7 | UNITED STATES TREASURY | 0.63 | 05/31/17 | 1,000,000 | 988,440 | |||||||
912828SZ4 | UNITED STATES TREASURY | 0.38 | 06/15/15 | 1,000,000 | 1,002,580 | |||||||
912828TA8 | UNITED STATES TREASURY | 0.25 | 06/30/14 | 279,848,000 | 279,979,501 | |||||||
912828TB6 | UNITED STATES TREASURY | 0.75 | 06/30/17 | 750,000 | 743,032 | |||||||
912828TD2 | UNITED STATES TREASURY | 0.25 | 07/15/15 | 750,000 | 750,705 | |||||||
912828TF7 | UNITED STATES TREASURY | 0.13 | 07/31/14 | 16,505,000 | 16,507,641 | |||||||
912828TG5 | UNITED STATES TREASURY | 0.50 | 07/31/17 | 1,000,000 | 980,860 | |||||||
912828TM2 | UNITED STATES TREASURY | 0.63 | 08/31/17 | 4,800,000 | 4,718,928 | |||||||
912828TP5 | UNITED STATES TREASURY | 0.25 | 09/15/15 | 600,000 | 600,210 | |||||||
912828TS9 | UNITED STATES TREASURY | 0.63 | 09/30/17 | 1,000,000 | 981,420 | |||||||
912828TT7 | UNITED STATES TREASURY | 0.25 | 10/15/15 | 750,000 | 749,970 | |||||||
912828TU4 | UNITED STATES TREASURY | 0.25 | 10/31/14 | 125,440,000 | 125,567,949 | |||||||
912828TW0 | UNITED STATES TREASURY | 0.75 | 10/31/17 | 25,985,000 | 25,565,603 | |||||||
912828TX8 | UNITED STATES TREASURY | 0.38 | 11/15/15 | 9,960,000 | 9,975,139 | |||||||
912828TZ3 | UNITED STATES TREASURY | 0.25 | 11/30/14 | 49,975,000 | 50,029,473 | |||||||
912828UA6 | UNITED STATES TREASURY | 0.63 | 11/30/17 | 4,345,000 | 4,248,150 | |||||||
912828UC2 | UNITED STATES TREASURY | 0.25 | 12/15/15 | 500,000 | 499,475 | |||||||
912828UD0 | UNITED STATES TREASURY | 0.13 | 12/31/14 | 20,040,000 | 20,044,808 | |||||||
912828UE8 | UNITED STATES TREASURY | 0.75 | 12/31/17 | 750,000 | 735,405 | |||||||
912828UG3 | UNITED STATES TREASURY | 0.38 | 01/15/16 | 2,585,000 | 2,586,318 | |||||||
912828UH1 | UNITED STATES TREASURY | 0.13 | 01/15/23 | 24,000,000 | 23,531,148 | |||||||
912828UJ7 | UNITED STATES TREASURY | 0.88 | 01/31/18 | 12,315,000 | 12,114,389 | |||||||
912828UM0 | UNITED STATES TREASURY | 0.38 | 02/15/16 | 42,500,000 | 42,499,150 | |||||||
912828UP3 | UNITED STATES TREASURY | 0.25 | 02/28/15 | 23,600,000 | 23,624,072 | |||||||
912828UR9 | UNITED STATES TREASURY | 0.75 | 02/28/18 | 1,000,000 | 977,060 | |||||||
912828US7 | UNITED STATES TREASURY | 0.38 | 03/15/16 | 600,000 | 599,598 | |||||||
912828UT5 | UNITED STATES TREASURY | 0.25 | 03/31/15 | 23,000,000 | 23,025,072 | |||||||
912828UU2 | UNITED STATES TREASURY | 0.75 | 03/31/18 | 1,250,000 | 1,219,112 | |||||||
912828UW8 | UNITED STATES TREASURY | 0.25 | 04/15/16 | 12,096,000 | 12,046,164 | |||||||
912828UY4 | UNITED STATES TREASURY | 0.13 | 04/30/15 | 600,000 | 599,904 | |||||||
912828UZ1 | UNITED STATES TREASURY | 0.63 | 04/30/18 | 750,000 | 726,495 | |||||||
912828VC1 | UNITED STATES TREASURY | 0.25 | 05/15/16 | 52,500,000 | 52,232,249 | |||||||
912828VD9 | UNITED STATES TREASURY | 0.25 | 05/31/15 | 600,000 | 600,654 | |||||||
912828VE7 | UNITED STATES TREASURY | 1.00 | 05/31/18 | 650,000 | 638,138 | |||||||
912828VG2 | UNITED STATES TREASURY | 0.50 | 06/15/16 | 550,000 | 549,621 | |||||||
912828VH0 | UNITED STATES TREASURY | 0.38 | 06/30/15 | 12,809,000 | 12,842,560 | |||||||
912828VK3 | UNITED STATES TREASURY | 1.38 | 06/30/18 | 750,000 | 746,490 | |||||||
912828VQ0 | UNITED STATES TREASURY | 1.38 | 07/31/18 | 62,500,000 | 62,123,127 | |||||||
912828VR8 | UNITED STATES TREASURY | 0.63 | 08/15/16 | 500,000 | 500,190 | |||||||
912828VU1 | UNITED STATES TREASURY | 0.38 | 08/31/15 | 500,000 | 501,250 | |||||||
912828VW7 | UNITED STATES TREASURY | 0.88 | 09/15/16 | 1,000,000 | 1,005,630 | |||||||
912828VY3 | UNITED STATES TREASURY | 0.25 | 09/30/15 | 1,000,000 | 1,000,350 | |||||||
912828WA4 | UNITED STATES TREASURY | 0.63 | 10/15/16 | 500,000 | 499,160 | |||||||
912828WB2 | UNITED STATES TREASURY | 0.25 | 10/31/15 | 28,000,000 | 27,994,119 | |||||||
912828WD8 | UNITED STATES TREASURY | 1.25 | 10/31/18 | 92,600,000 | 91,118,402 | |||||||
912828WE6 | UNITED STATES TREASURY | 2.75 | 11/15/23 | 700,000 | 703,066 | |||||||
1,135,378,500 | 1,135,245,634 | |||||||||||
U.S. Government Agencies | ||||||||||||
3130A0SD3 | FHLB | 0.38 | 02/19/16 | 300,000 | 299,772 | |||||||
313375RN9 | FHLB | 1.00 | 03/11/16 | 800,000 | 807,152 | |||||||
313379DD8 | FHLB | 1.00 | 06/21/17 | 250,000 | 249,445 | |||||||
3133802C0 | FHLB | 1.05 | 07/26/17 | 50,000 | 49,561 | |||||||
3133802Q9 | FHLB | 1.65 | 07/18/19 | 5,000,000 | 4,893,300 | |||||||
3133812C8 | FHLB | 1.50 | 05/08/20 | 4,990,000 | 4,706,771 | |||||||
313383V81 | FHLB | 0.38 | 08/28/15 | 350,000 | 350,658 |
Page 2
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
313385WM4 | FHLB | - | 05/07/14 | 5,500,000 | 5,499,532 | |||||||
313385WW2 | FHLB | - | 05/16/14 | 600,000 | 599,939 | |||||||
313385YN0 | FHLB | - | 06/25/14 | 55,800,000 | 55,790,382 | |||||||
313397B75 | FHLMC | - | 08/13/14 | 7,400,000 | 7,397,796 | |||||||
3133XVNU1 | FHLB | 2.75 | 12/12/14 | 74,500,000 | 75,858,880 | |||||||
3134G3S50 | FHLMC | 0.63 | 11/01/16 | 350,000 | 348,380 | |||||||
3134G3ZH6 | FHLMC | 1.00 | 07/25/17 | 75,000 | 74,402 | |||||||
313589YD9 | FNMA | - | 06/16/14 | 300,000 | 299,943 | |||||||
3135G0ES8 | FNMA | 1.38 | 11/15/16 | 750,000 | 761,280 | |||||||
3135G0NZ2 | FNMA | 1.13 | 09/12/17 | 200,000 | 198,134 | |||||||
3135G0PQ0 | FNMA | 0.88 | 10/26/17 | 400,000 | 394,772 | |||||||
3135G0QM8 | FNMA | 1.50 | 10/23/19 | 9,925,000 | 9,503,188 | |||||||
3135G0RK1 | FNMA | 0.90 | 11/07/17 | 100,000 | 98,218 | |||||||
3135G0RL9 | FNMA | 1.55 | 10/29/19 | 12,625,000 | 12,113,309 | |||||||
3135G0SY0 | FNMA | 1.60 | 12/24/20 | 1,505,000 | 1,406,784 | |||||||
3135G0VX8 | FNMA | 0.63 | 09/26/16 | 250,000 | 249,050 | |||||||
3135G0XG3 | FNMA | 1.00 | 05/21/18 | 250,000 | 242,313 | |||||||
3135G0XH1 | FNMA | 0.50 | 02/20/16 | 250,000 | 249,950 | |||||||
3135G0XM0 | FNMA | 1.13 | 05/25/18 | 10,745,000 | 10,493,890 | |||||||
3135G0YE7 | FNMA | 0.63 | 08/26/16 | 250,000 | 249,800 | |||||||
3135G0YM9 | FNMA | 1.88 | 09/18/18 | 48,900,000 | 49,381,176 | |||||||
3135G0YT4 | FNMA | 1.63 | 11/27/18 | 28,450,000 | 28,365,504 | |||||||
3136G02M2 | FNMA | 1.18 | 10/30/18 | 3,690,000 | 3,577,235 | |||||||
3136G0M73 | FNMA | 1.13 | 10/03/18 | 8,000,000 | 7,807,452 | |||||||
3137EAAJ8 | FHLMC | 5.13 | 10/18/16 | 250,000 | 277,857 | |||||||
3137EADF3 | FHLMC | 1.25 | 05/12/17 | 6,000,000 | 6,045,480 | |||||||
3137EADL0 | FHLMC | 1.00 | 09/29/17 | 200,000 | 198,640 | |||||||
3137EADN6 | FHLMC | 0.75 | 01/12/18 | 600,000 | 586,716 | |||||||
3137EADP1 | FHLMC | 0.88 | 03/07/18 | 30,300,000 | 29,657,639 | |||||||
3137EADT3 | FHLMC | 0.88 | 02/22/17 | 200,000 | 199,824 | |||||||
31398A4M1 | FNMA | 1.63 | 10/26/15 | 21,500,000 | 21,933,223 | |||||||
341,605,000 | 341,217,347 | |||||||||||
Non U.S. Government Securities & Agencies | ||||||||||||
00254ELS9 | SVENSK EXPORTKREDIT AB | 1.13 | 04/05/18 | 6,000,000 | 5,885,820 | |||||||
013051DA2 | ALBERTA PROVINCE OF | 2.75 | 12/01/14 | 950,000 | 870,649 | |||||||
038461AC3 | AID-EGYPT | 4.45 | 09/15/15 | 25,000,000 | 25,911,109 | |||||||
135087A38 | CANADA GOVERNMENT | 1.50 | 08/01/15 | 500,000 | 455,899 | |||||||
135087A46 | CANADA GOVERNMENT | 1.50 | 09/01/17 | 2,450,000 | 2,229,249 | |||||||
135087A87 | CANADA GOVERNMENT | 1.25 | 03/01/18 | 1,500,000 | 1,347,031 | |||||||
135087B37 | CANADA GOVERNMENT | 1.25 | 09/01/18 | 10,000,000 | 8,921,345 | |||||||
135087B86 | CANADA GOVERNMENT | 1.75 | 03/01/19 | 2,700,000 | 2,451,384 | |||||||
135087C77 | CANADA GOVERNMENT | 1.63 | 02/27/19 | 6,800,000 | 6,758,044 | |||||||
135087YS7 | CANADA GOVERNMENT | 3.00 | 06/01/14 | 115,000 | 104,553 | |||||||
135087YU2 | CANADA GOVERNMENT | 2.00 | 12/01/14 | 8,860,000 | 8,082,136 | |||||||
135087ZC1 | CANADA GOVERNMENT | 2.50 | 06/01/15 | 2,500,000 | 2,304,587 | |||||||
135087ZF4 | CANADA GOVERNMENT | 3.00 | 12/01/15 | 1,100,000 | 1,028,597 | |||||||
135087ZQ0 | CANADA GOVERNMENT | 2.75 | 09/01/16 | 5,450,000 | 5,128,288 | |||||||
135087ZR8 | CANADA GOVERNMENT | 2.25 | 08/01/14 | 5,200,000 | 4,731,924 | |||||||
135087ZV9 | CANADA GOVERNMENT | 1.50 | 03/01/17 | 4,400,000 | 4,019,360 | |||||||
135087ZX5 | CANADA GOVERNMENT | 1.00 | 02/01/15 | 3,000,000 | 2,718,000 | |||||||
302154BL2 | EXPORT-IMPORT BANK OF KOREA | 0.99 | 01/14/17 | 4,850,000 | 4,874,493 | |||||||
500769BM5 | KREDITANSTALT FUER WIEDERAUFBA | 4.38 | 02/09/16 | 900,000 | 858,990 | |||||||
642866FT9 | NEW BRUNSWICK PROVINCE OF | 4.50 | 02/04/15 | 900,000 | 838,992 | |||||||
683234WM6 | ONTARIO PROVINCE OF | 4.50 | 03/08/15 | 900,000 | 841,291 | |||||||
68323ABJ2 | ONTARIO PROVINCE OF | 0.95 | 05/26/15 | 3,800,000 | 3,828,044 | |||||||
803854JF6 | SASKATCHEWAN PROVINCE | 5.25 | 06/03/14 | 900,000 | 821,236 | |||||||
D20658P26 | GERMANY (FEDERAL REPUBLIC OF) | 4.00 | 07/04/16 | 20,620,000 | 30,871,550 | |||||||
G924507Q5 | UNITED KINGDOM GILT | 2.75 | 01/22/15 | 5,510,000 | 9,357,775 | |||||||
G92451GE0 | UNITED KINGDOM GILT | 1.75 | 01/22/17 | 8,690,000 | 14,745,412 | |||||||
G9T44MEB4 | UNITED KINGDOM GILT | 1.00 | 09/07/17 | 570,000 | 938,587 | |||||||
G9T44MHH8 | UNITED KINGDOM GILT | 1.75 | 07/22/19 | 980,000 | 1,615,345 | |||||||
H7351MFG3 | SWITZERLAND (CONFEDERATION OF) | 4.25 | 06/05/17 | 1,850,000 | 2,374,099 |
Page 3
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
P14486AG2 | BNDES-BRAZIL S DEVELOPMENT BAN | 4.13 | 09/15/17 | 2,000,000 | 2,895,048 | |||||||
P4R0C9EK5 | MEXICAN BONOS | 7.75 | 11/13/42 | 987,558 | 8,095,064 | |||||||
P9767GWU1 | MEXICAN BONOS | 8.00 | 12/07/23 | 1,900,000 | 16,510,932 | |||||||
141,882,558 | 182,414,833 | |||||||||||
State and Municipal | ||||||||||||
011839BJ5 | ALASKA ST HSG FIN CORP | 5.00 | 06/01/20 | 1,815,000 | 2,110,791 | |||||||
05914FMY3 | BALTIMORE CNTY MD | 5.00 | 08/01/22 | 5,000,000 | 6,016,950 | |||||||
07133AHD7 | BATTERY PK CITY AUTH NY REV | 5.00 | 11/01/23 | 5,000,000 | 6,046,550 | |||||||
100853SH4 | BOSTON MASS | 5.00 | 03/01/23 | 5,000,000 | 6,060,450 | |||||||
116475K45 | BROWNSVILLE TEX UTIL SYS REV | 5.00 | 09/01/22 | 2,250,000 | 2,590,268 | |||||||
116475L69 | BROWNSVILLE TEX UTIL SYS REV | 5.00 | 09/01/20 | 1,295,000 | 1,497,396 | |||||||
13062PHG0 | CALIFORNIA ST | 5.25 | 02/01/23 | 3,000,000 | 3,607,470 | |||||||
13063BFV9 | CALIFORNIA ST | 7.95 | 03/01/20 | 3,250,000 | 3,824,697 | |||||||
13068LJA4 | CALIFORNIA ST PUB WKS BRD LEAS | 5.00 | 09/01/23 | 3,000,000 | 3,460,530 | |||||||
15504RFG9 | CENTRAL PUGET SOUND REGIONAL T | 5.00 | 11/01/22 | 2,500,000 | 2,911,450 | |||||||
199492DH9 | COLUMBUS OHIO | 5.00 | 07/01/23 | 5,000,000 | 5,971,750 | |||||||
20772JPU0 | CONNECTICUT (STATE OF) | 5.00 | 08/15/22 | 5,100,000 | 6,051,507 | |||||||
249183WP5 | DENVER COLO CITY & CNTY | 5.00 | 12/01/22 | 4,880,000 | 5,686,225 | |||||||
29270CWX9 | ENERGY NORTHWEST WASH ELEC REV | 5.00 | 07/01/21 | 2,500,000 | 2,888,725 | |||||||
29270CXR1 | ENERGY NORTHWEST WASH ELEC REV | 5.00 | 07/01/21 | 2,000,000 | 2,365,320 | |||||||
34153PS90 | FLORIDA ST BRD ED | 5.00 | 06/01/22 | 5,000,000 | 6,003,300 | |||||||
419791S58 | HAWAII ST- REF-EF | 5.00 | 11/01/22 | 5,000,000 | 5,905,000 | |||||||
4521518V8 | ILLINOIS ST | 4.42 | 01/01/15 | 10,998,000 | 11,293,406 | |||||||
452152UZ2 | ILLINOIS ST | 4.00 | 02/01/23 | 2,000,000 | 2,081,760 | |||||||
49151E5P4 | KENTUCKY ST PRP & BLDG COM | 5.00 | 08/01/20 | 5,000,000 | 5,709,250 | |||||||
5168234T5 | LAREDO TEX | 5.00 | 02/15/21 | 1,365,000 | 1,596,490 | |||||||
54811GLN8 | LOWER COLORADO RIVER AUTHORITY | 5.00 | 05/15/22 | 5,405,000 | 6,259,585 | |||||||
57582NH99 | MASSACHUSETTS ST | 5.50 | 12/01/23 | 3,610,000 | 4,516,543 | |||||||
576000MH3 | MASSACHUSETTS ST SCH BLDG AUTH | 5.00 | 08/15/22 | 5,000,000 | 5,895,600 | |||||||
576000MS9 | MASSACHUSETTS ST SCH BLDG AUTH | 5.00 | 08/15/21 | 2,000,000 | 2,373,100 | |||||||
59259YP78 | METROPOLITAN TRANS AUTH N Y | 5.00 | 11/15/22 | 1,000,000 | 1,129,140 | |||||||
59333PH50 | MIAMI DADE CNTY FLA | 5.00 | 10/01/22 | 1,500,000 | 1,695,675 | |||||||
59447PKS9 | MICHIGAN STATE FINANCE AUTHORI | 5.00 | 10/01/21 | 2,000,000 | 2,376,480 | |||||||
645918U68 | NJ ST EDA PENSION | 5.00 | 03/01/20 | 2,000,000 | 2,303,720 | |||||||
645918U92 | NJ ST EDA PENSION | 5.00 | 03/01/23 | 4,015,000 | 4,615,524 | |||||||
64711RKE5 | NEW MEXICO FIN AUTH | 5.00 | 06/15/22 | 3,700,000 | 4,423,905 | |||||||
64966B3L5 | NEW YORK N Y | 0.94 | 01/15/16 | 5,250,000 | 5,254,830 | |||||||
64966KYW7 | NEW YORK NY | 5.00 | 08/01/23 | 3,885,000 | 4,531,658 | |||||||
64971M5E8 | NEW YORK NY CITY TRANSITIONAL | 4.08 | 11/01/20 | 3,000,000 | 3,212,280 | |||||||
64971Q8R7 | NEW YORK NY CITY TRANSITIONAL | 5.00 | 11/01/21 | 3,000,000 | 3,544,170 | |||||||
6499026P3 | NEW YORK ST DORM AUTH | 4.00 | 08/15/21 | 4,490,000 | 4,916,864 | |||||||
64990ABC8 | NEW YORK ST DORM AUTH | 5.00 | 03/15/23 | 5,120,000 | 6,111,386 | |||||||
64990EDE4 | NEW YORK ST DORM AUTH | 5.00 | 12/15/22 | 3,000,000 | 3,537,990 | |||||||
679110EF9 | OKLAHOMA ST STUDENT LN AUTH | 0.65 | 05/12/21 | 797,491 | 794,142 | |||||||
684515QW2 | ORANGE CNTY FLA TOURIST DEV TA | 5.00 | 01/01/23 | 5,025,000 | 5,924,425 | |||||||
68607DQH1 | OREGON ST DEPT TRANSN | 5.00 | 11/15/23 | 2,000,000 | 2,411,000 | |||||||
686507GA6 | ORLANDO FLA UTILS COMMN WTR &E | 5.00 | 10/01/24 | 4,500,000 | 5,394,105 | |||||||
74526QZL9 | PUERTO RICO ELEC PWR AUTH | 5.00 | 07/01/20 | 2,000,000 | 1,430,500 | |||||||
759136RD8 | REGIONAL TRANSN DIST COLO | 5.00 | 11/01/22 | 3,165,000 | 3,708,684 | |||||||
76541VMN4 | RICHMOND VA | 5.00 | 03/01/23 | 5,000,000 | 5,887,200 | |||||||
785870UM6 | SACRAMENTO CALIF CITY UNI SCH | 5.00 | 07/01/23 | 1,750,000 | 2,043,948 | |||||||
79642BVU4 | SAN ANTONIO TX | 5.00 | 05/15/22 | 1,400,000 | 1,643,348 | |||||||
815626MK9 | SEDGWICK CNTY KANS UNI SCH DIS | 5.00 | 10/01/21 | 2,500,000 | 2,931,075 | |||||||
83714RBA0 | SOUTH CAROLINA STUDENT LN CORP | 0.33 | 12/02/19 | 2,351,938 | 2,340,319 | |||||||
867868FN6 | SUNSHINE ST GOVERNMENTAL FING | 5.00 | 09/01/21 | 2,000,000 | 2,272,200 | |||||||
882723DL0 | TEXAS ST | 0.56 | 06/01/17 | 1,850,000 | 1,850,019 | |||||||
914026MM8 | UNIVERSITY ALA GEN REV | 5.00 | 07/01/22 | 4,000,000 | 4,765,960 | |||||||
914119VD1 | UNIVERSITY CINCINNATI OHIO | 5.00 | 06/01/22 | 1,535,000 | 1,797,500 | |||||||
91412GSB2 | UNIVERSITY CALIFORNIA | 1.80 | 07/01/19 | 7,500,000 | 7,356,075 | |||||||
927781Q56 | VIRGINIA COLLEGE BLDG AUTH VA | 5.00 | 02/01/21 | 5,000,000 | 5,908,650 | |||||||
93974C8C7 | WASHINGTON STATE | 5.00 | 07/01/23 | 5,000,000 | 5,910,950 | |||||||
97705L3G0 | WISCONSIN ST | 5.00 | 05/01/21 | 5,000,000 | 5,921,000 | |||||||
201,302,429 | 230,668,832 |
Page 4
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
Agency MBS | ||||||||||||
01F030645 | FNMA | 3.00 | 04/06/30 | 34,000,000 | 32,820,625 | |||||||
01F030652 | FNMA | 3.00 | 04/25/30 | 6,000,000 | 5,775,000 | |||||||
01F040644 | FNMA | 4.00 | 11/16/28 | 350,000 | 363,781 | |||||||
01F050643 | FNMA TBA | 5.00 | 06/26/25 | 20,000,000 | 21,809,375 | |||||||
02R022449 | FHLMC | 2.50 | 04/05/22 | 500,000 | 499,609 | |||||||
31283HVE2 | FHLMC | 6.00 | 07/05/25 | 7,401 | 8,333 | |||||||
31283HWZ4 | FHLMC | 6.00 | 09/16/25 | 5,088 | 5,728 | |||||||
31283K4C9 | FHLMC | 5.00 | 07/18/17 | 2,981,977 | 3,187,238 | |||||||
31283KJU3 | FHLMC | 6.50 | 08/16/14 | 19,496 | 19,789 | |||||||
31283KN87 | FHLMC | 5.00 | 01/20/16 | 758 | 805 | |||||||
31288HRU6 | FHLMC | 6.00 | 08/22/25 | 8,298 | 9,445 | |||||||
3128GNW87 | FHLMC | 5.00 | 08/13/15 | 605 | 611 | |||||||
3128GNY77 | FHLMC | 5.00 | 08/12/15 | 4,088 | 4,331 | |||||||
3128GP3U5 | FHLMC | 5.00 | 09/13/15 | 595 | 625 | |||||||
3128GP3V3 | FHLMC | 5.00 | 09/13/15 | 4,282 | 4,536 | |||||||
3128GP4U4 | FHLMC | 5.00 | 09/16/15 | 2,153 | 2,197 | |||||||
3128GP7M9 | FHLMC | 5.00 | 09/13/15 | 592 | 596 | |||||||
3128GPSA2 | FHLMC | 5.00 | 08/27/15 | 897 | 905 | |||||||
3128GQ3Q2 | FHLMC | 5.00 | 09/29/15 | 1,359 | 1,427 | |||||||
3128GQ6E6 | FHLMC | 5.00 | 09/29/15 | 1,932 | 2,059 | |||||||
3128GQGA3 | FHLMC | 5.00 | 09/13/15 | 1,763 | 1,878 | |||||||
3128GQJT9 | FHLMC | 5.00 | 09/14/15 | 1,611 | 1,640 | |||||||
3128GQK26 | FHLMC | 5.00 | 09/13/15 | 2,506 | 2,671 | |||||||
3128GQK34 | FHLMC | 5.00 | 09/13/15 | 716 | 723 | |||||||
3128GQKB6 | FHLMC | 5.00 | 09/13/15 | 783 | 793 | |||||||
3128GQP54 | FHLMC | 5.00 | 09/13/15 | 2,920 | 2,997 | |||||||
3128GQQQ7 | FHLMC | 5.00 | 09/29/15 | 2,230 | 2,353 | |||||||
3128GQQZ7 | FHLMC | 5.00 | 09/29/15 | 2,890 | 3,079 | |||||||
3128GQSG7 | FHLMC | 5.00 | 09/29/15 | 740 | 747 | |||||||
3128GQU58 | FHLMC | 5.00 | 09/30/15 | 1,527 | 1,628 | |||||||
3128GQU90 | FHLMC | 5.00 | 09/29/15 | 488 | 491 | |||||||
3128GQVB4 | FHLMC | 5.00 | 09/30/15 | 1,024 | 1,076 | |||||||
3128GQW31 | FHLMC | 5.00 | 09/29/15 | 2,756 | 2,937 | |||||||
3128GQW49 | FHLMC | 5.00 | 09/29/15 | 3,215 | 3,426 | |||||||
3128GR3Y3 | FHLMC | 5.00 | 09/29/15 | 4,324 | 4,608 | |||||||
3128GR6N4 | FHLMC | 5.00 | 11/01/15 | 3,025 | 3,223 | |||||||
3128GRBH1 | FHLMC | 5.00 | 09/29/15 | 1,098 | 1,111 | |||||||
3128GRFT1 | FHLMC | 5.00 | 10/15/15 | 2,171 | 2,314 | |||||||
3128GRJD2 | FHLMC | 5.00 | 10/15/15 | 494 | 526 | |||||||
3128GRLA5 | FHLMC | 5.00 | 10/16/15 | 4,361 | 4,647 | |||||||
3128GRM71 | FHLMC | 5.00 | 10/15/15 | 667 | 675 | |||||||
3128GRP94 | FHLMC | 5.00 | 10/14/15 | 324 | 326 | |||||||
3128GRQA0 | FHLMC | 5.00 | 10/15/15 | 2,112 | 2,228 | |||||||
3128GRSP5 | FHLMC | 5.00 | 10/15/15 | 1,469 | 1,550 | |||||||
3128GRSY6 | FHLMC | 5.00 | 10/15/15 | 2,338 | 2,492 | |||||||
3128GRUF4 | FHLMC | 5.00 | 10/15/15 | 637 | 641 | |||||||
3128GRUT4 | FHLMC | 5.00 | 10/15/15 | 3,419 | 3,608 | |||||||
3128GRWQ8 | FHLMC | 5.00 | 09/29/15 | 254 | 256 | |||||||
3128GRYD5 | FHLMC | 5.00 | 11/01/15 | 1,128 | 1,141 | |||||||
3128GS5Y9 | FHLMC | 5.00 | 11/01/15 | 2,017 | 2,052 | |||||||
3128GSDJ3 | FHLMC | 5.00 | 11/01/15 | 3,712 | 3,956 | |||||||
3128GSGB7 | FHLMC | 5.00 | 11/01/15 | 2,999 | 3,196 | |||||||
3128GSGU5 | FHLMC | 5.00 | 11/01/15 | 5,400 | 5,754 | |||||||
3128GSKE6 | FHLMC | 5.00 | 11/01/15 | 3,543 | 3,776 | |||||||
3128GSKV8 | FHLMC | 5.00 | 11/01/15 | 2,897 | 2,974 | |||||||
3128GSLX3 | FHLMC | 5.00 | 11/01/15 | 903 | 923 | |||||||
3128GSLY1 | FHLMC | 5.00 | 11/01/15 | 3,586 | 3,821 | |||||||
3128GSNL7 | FHLMC | 5.00 | 11/01/15 | 1,397 | 1,418 | |||||||
3128GSQN0 | FHLMC | 5.00 | 11/01/15 | 3,434 | 3,640 | |||||||
3128GSSN8 | FHLMC | 5.00 | 11/01/15 | 5,994 | 6,388 |
Page 5
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3128GV2N9 | FHLMC | 5.00 | 02/05/16 | 10,625 | 11,323 | |||||||
3128GV3C2 | FHLMC | 5.00 | 02/06/16 | 4,588 | 4,890 | |||||||
3128GV3D0 | FHLMC | 5.00 | 02/06/16 | 7,201 | 7,674 | |||||||
3128GV3Z1 | FHLMC | 5.00 | 02/06/16 | 8,521 | 9,081 | |||||||
3128GV7G9 | FHLMC | 5.00 | 02/06/16 | 2,499 | 2,654 | |||||||
3128GVBY5 | FHLMC | 5.00 | 01/05/16 | 491 | 524 | |||||||
3128GVH94 | FHLMC | 5.00 | 01/19/16 | 1,372 | 1,400 | |||||||
3128GVJA9 | FHLMC | 5.00 | 01/20/16 | 3,205 | 3,416 | |||||||
3128GVJB7 | FHLMC | 5.00 | 01/21/16 | 2,531 | 2,684 | |||||||
3128GVJQ4 | FHLMC | 5.00 | 01/21/16 | 4,814 | 5,130 | |||||||
3128GVLF5 | FHLMC | 5.00 | 01/20/16 | 1,864 | 1,976 | |||||||
3128GVLH1 | FHLMC | 5.00 | 01/20/16 | 2,758 | 2,939 | |||||||
3128GVLJ7 | FHLMC | 5.00 | 01/21/16 | 6,090 | 6,490 | |||||||
3128GVMM9 | FHLMC | 5.00 | 01/05/16 | 623 | 628 | |||||||
3128GVNL0 | FHLMC | 5.00 | 01/21/16 | 2,153 | 2,283 | |||||||
3128GVNM8 | FHLMC | 5.00 | 01/21/16 | 2,534 | 2,700 | |||||||
3128GVNN6 | FHLMC | 5.00 | 01/22/16 | 3,931 | 4,268 | |||||||
3128GVNV8 | FHLMC | 5.00 | 01/19/16 | 1,116 | 1,135 | |||||||
3128GVNX4 | FHLMC | 5.00 | 01/20/16 | 22,654 | 24,142 | |||||||
3128GVPM6 | FHLMC | 5.00 | 01/21/16 | 2,950 | 3,144 | |||||||
3128GVPN4 | FHLMC | 5.00 | 01/22/16 | 2,006 | 2,127 | |||||||
3128GVPP9 | FHLMC | 5.00 | 01/21/16 | 5,383 | 5,736 | |||||||
3128GVQH6 | FHLMC | 5.00 | 01/21/16 | 6,413 | 6,834 | |||||||
3128GVRA0 | FHLMC | 5.00 | 01/22/16 | 1,079 | 1,101 | |||||||
3128GVRC6 | FHLMC | 5.00 | 01/22/16 | 2,475 | 2,637 | |||||||
3128GVRE2 | FHLMC | 5.00 | 01/20/16 | 3,097 | 3,177 | |||||||
3128GVRS1 | FHLMC | 5.00 | 01/21/16 | 1,318 | 1,349 | |||||||
3128GVRT9 | FHLMC | 5.00 | 01/22/16 | 4,347 | 4,632 | |||||||
3128GVRY8 | FHLMC | 5.00 | 01/22/16 | 18,402 | 19,611 | |||||||
3128GVT83 | FHLMC | 5.00 | 01/21/16 | 6,958 | 7,415 | |||||||
3128GVTN0 | FHLMC | 5.00 | 01/21/16 | 2,144 | 2,192 | |||||||
3128GVTW0 | FHLMC | 5.00 | 01/22/16 | 4,073 | 4,340 | |||||||
3128GVUD0 | FHLMC | 5.00 | 01/21/16 | 427 | 453 | |||||||
3128GVUE8 | FHLMC | 5.00 | 01/22/16 | 4,203 | 4,479 | |||||||
3128GVUX6 | FHLMC | 5.00 | 02/06/16 | 1,704 | 1,745 | |||||||
3128GVVE7 | FHLMC | 5.00 | 02/06/16 | 9,742 | 10,382 | |||||||
3128GVVF4 | FHLMC | 5.00 | 02/07/16 | 4,552 | 4,851 | |||||||
3128GVVJ6 | FHLMC | 5.00 | 02/05/16 | 9,007 | 9,599 | |||||||
3128GVVY3 | FHLMC | 5.00 | 02/06/16 | 3,710 | 3,954 | |||||||
3128GVW22 | FHLMC | 5.00 | 01/22/16 | 1,460 | 1,555 | |||||||
3128GVW89 | FHLMC | 5.00 | 02/07/16 | 2,107 | 2,237 | |||||||
3128GVZV5 | FHLMC | 5.00 | 02/07/16 | 3,818 | 4,069 | |||||||
3128GW5Q7 | FHLMC | 5.00 | 02/22/16 | 4,982 | 5,290 | |||||||
3128GW6G8 | FHLMC | 5.00 | 02/22/16 | 2,974 | 3,169 | |||||||
3128GWAQ1 | FHLMC | 5.00 | 02/05/16 | 1,207 | 1,231 | |||||||
3128GWAT5 | FHLMC | 5.00 | 02/06/16 | 7,321 | 7,802 | |||||||
3128GWAU2 | FHLMC | 5.00 | 02/06/16 | 9,032 | 9,626 | |||||||
3128GWB49 | FHLMC | 5.00 | 02/06/16 | 669 | 713 | |||||||
3128GWB80 | FHLMC | 5.00 | 02/06/16 | 5,854 | 6,239 | |||||||
3128GWBH0 | FHLMC | 5.00 | 02/06/16 | 6,012 | 6,407 | |||||||
3128GWC89 | FHLMC | 5.00 | 02/07/16 | 2,715 | 2,894 | |||||||
3128GWCL0 | FHLMC | 5.00 | 02/08/16 | 4,787 | 5,102 | |||||||
3128GWCW6 | FHLMC | 5.00 | 02/07/16 | 2,362 | 2,517 | |||||||
3128GWDP0 | FHLMC | 5.00 | 02/08/16 | 3,255 | 3,469 | |||||||
3128GWEG9 | FHLMC | 5.00 | 02/08/16 | 13,082 | 13,941 | |||||||
3128GWEK0 | FHLMC | 5.00 | 02/06/16 | 3,669 | 3,896 | |||||||
3128GWEP9 | FHLMC | 5.00 | 02/06/16 | 1,209 | 1,284 | |||||||
3128GWF86 | FHLMC | 5.00 | 02/06/16 | 4,074 | 4,342 | |||||||
3128GWFN3 | FHLMC | 5.00 | 02/08/16 | 3,357 | 3,564 | |||||||
3128GWHH4 | FHLMC | 5.00 | 02/07/16 | 2,662 | 2,836 | |||||||
3128GWJG4 | FHLMC | 5.00 | 02/23/16 | 8,430 | 8,983 | |||||||
3128GWK31 | FHLMC | 5.00 | 02/07/16 | 3,507 | 3,737 |
Page 6
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3128GWK56 | FHLMC | 5.00 | 02/23/16 | 4,589 | 4,890 | |||||||
3128GWMS4 | FHLMC | 5.00 | 02/23/16 | 2,606 | 2,767 | |||||||
3128GWP85 | FHLMC | 5.00 | 02/21/16 | 2,282 | 2,423 | |||||||
3128GWQ27 | FHLMC | 5.00 | 02/23/16 | 6,226 | 6,635 | |||||||
3128GWQ92 | FHLMC | 5.00 | 02/22/16 | 5,022 | 5,351 | |||||||
3128GWQN1 | FHLMC | 5.00 | 02/21/16 | 4,443 | 4,735 | |||||||
3128GWQY7 | FHLMC | 5.00 | 02/22/16 | 2,127 | 2,259 | |||||||
3128GWR42 | FHLMC | 5.00 | 02/23/16 | 5,365 | 5,718 | |||||||
3128GWRF7 | FHLMC | 5.00 | 02/22/16 | 2,625 | 2,797 | |||||||
3128GWV21 | FHLMC | 5.00 | 02/22/16 | 5,228 | 5,571 | |||||||
3128GWVL9 | FHLMC | 5.00 | 02/21/16 | 734 | 782 | |||||||
3128GWWM6 | FHLMC | 5.00 | 02/22/16 | 664 | 708 | |||||||
3128GWXD5 | FHLMC | 5.00 | 02/21/16 | 2,928 | 3,109 | |||||||
3128GWXW3 | FHLMC | 5.00 | 02/22/16 | 4,478 | 4,773 | |||||||
3128GWYS1 | FHLMC | 5.00 | 02/23/16 | 305 | 325 | |||||||
3128GWZQ4 | FHLMC | 5.00 | 02/21/16 | 4,056 | 4,323 | |||||||
3128GX3H7 | FHLMC | 5.00 | 03/08/16 | 4,556 | 4,855 | |||||||
3128GX5V4 | FHLMC | 5.00 | 03/06/16 | 6,710 | 7,151 | |||||||
3128GXAX4 | FHLMC | 5.00 | 02/23/16 | 11,269 | 12,009 | |||||||
3128GXBC9 | FHLMC | 5.00 | 02/23/16 | 1,984 | 2,107 | |||||||
3128GXEA0 | FHLMC | 5.00 | 03/08/16 | 3,912 | 4,169 | |||||||
3128GXEK8 | FHLMC | 5.00 | 03/07/16 | 1,946 | 2,073 | |||||||
3128GXFT8 | FHLMC | 5.00 | 03/08/16 | 6,083 | 6,483 | |||||||
3128GXHA7 | FHLMC | 5.00 | 03/09/16 | 6,486 | 6,912 | |||||||
3128GXHQ2 | FHLMC | 5.00 | 03/07/16 | 7,598 | 8,097 | |||||||
3128GXN36 | FHLMC | 5.00 | 03/08/16 | 6,748 | 7,191 | |||||||
3128GY2H6 | FHLMC | 5.00 | 04/10/16 | 5,801 | 6,184 | |||||||
3128GYF66 | FHLMC | 5.00 | 03/24/16 | 1,103 | 1,118 | |||||||
3128GYG73 | FHLMC | 5.00 | 03/23/16 | 6,794 | 7,242 | |||||||
3128GYKK9 | FHLMC | 5.00 | 03/24/16 | 496 | 529 | |||||||
3128GYLX0 | FHLMC | 5.00 | 03/24/16 | 662 | 669 | |||||||
3128GYNT7 | FHLMC | 5.00 | 04/10/16 | 844 | 855 | |||||||
3128GYQC1 | FHLMC | 5.00 | 04/11/16 | 5,723 | 6,101 | |||||||
3128GYS88 | FHLMC | 5.00 | 04/09/16 | 188 | 189 | |||||||
3128GYTW4 | FHLMC | 5.00 | 04/10/16 | 1,019 | 1,032 | |||||||
3128GYU44 | FHLMC | 5.00 | 04/10/16 | 4,352 | 4,640 | |||||||
3128GYU51 | FHLMC | 5.00 | 04/11/16 | 4,397 | 4,687 | |||||||
3128GYV35 | FHLMC | 5.00 | 04/11/16 | 7,019 | 7,483 | |||||||
3128GYVB7 | FHLMC | 5.50 | 04/12/16 | 30,346 | 32,802 | |||||||
3128GYVZ4 | FHLMC | 5.00 | 04/09/16 | 5,868 | 6,255 | |||||||
3128GYZE7 | FHLMC | 5.00 | 04/10/16 | 4,316 | 4,601 | |||||||
3128H22V4 | FHLMC | 5.00 | 05/13/16 | 2,946 | 3,141 | |||||||
3128H25K5 | FHLMC | 5.00 | 05/11/16 | 1,497 | 1,523 | |||||||
3128H26F5 | FHLMC | 5.00 | 04/25/16 | 28 | 30 | |||||||
3128H26M0 | FHLMC | 5.50 | 04/28/16 | 325,571 | 351,923 | |||||||
3128H26W8 | FHLMC | 5.50 | 04/11/16 | 168,431 | 182,064 | |||||||
3128H27K3 | FHLMC | 5.00 | 05/12/16 | 1,211 | 1,232 | |||||||
3128H2B69 | FHLMC | 5.00 | 04/09/16 | 8,384 | 8,938 | |||||||
3128H2B77 | FHLMC | 5.00 | 04/12/16 | 8,586 | 9,153 | |||||||
3128H2B85 | FHLMC | 5.00 | 04/10/16 | 6,010 | 6,407 | |||||||
3128H2C84 | FHLMC | 5.00 | 04/10/16 | 1,086 | 1,107 | |||||||
3128H2E41 | FHLMC | 5.00 | 04/26/16 | 7,138 | 7,610 | |||||||
3128H2ED1 | FHLMC | 5.00 | 04/10/16 | 13,524 | 14,418 | |||||||
3128H2EG4 | FHLMC | 5.00 | 04/11/16 | 8,516 | 9,079 | |||||||
3128H2LV3 | FHLMC | 5.00 | 04/10/16 | 6,944 | 7,402 | |||||||
3128H2LY7 | FHLMC | 5.00 | 04/27/16 | 4,179 | 4,455 | |||||||
3128H2QV8 | FHLMC | 5.00 | 04/26/16 | 9,502 | 10,130 | |||||||
3128H2T86 | FHLMC | 5.00 | 04/26/16 | 338 | 360 | |||||||
3128H2TF0 | FHLMC | 5.00 | 04/26/16 | 8,685 | 9,258 | |||||||
3128H2TJ2 | FHLMC | 5.00 | 04/26/16 | 1,817 | 1,855 | |||||||
3128H2TW3 | FHLMC | 5.00 | 04/28/16 | 7,166 | 7,640 | |||||||
3128H2VW0 | FHLMC | 5.00 | 04/26/16 | 10,323 | 11,005 |
Page 7
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3128H2YM9 | FHLMC | 5.00 | 04/27/16 | 1,718 | 1,822 | |||||||
3128H2YN7 | FHLMC | 5.00 | 04/26/16 | 2,546 | 2,704 | |||||||
3128H2YS6 | FHLMC | 5.00 | 04/28/16 | 3,868 | 4,107 | |||||||
3128H2ZJ5 | FHLMC | 5.00 | 04/26/16 | 2,825 | 2,999 | |||||||
3128H2ZT3 | FHLMC | 5.00 | 05/12/16 | 2,944 | 3,121 | |||||||
3128H2ZU0 | FHLMC | 5.00 | 05/13/16 | 7,492 | 7,987 | |||||||
3128H32W0 | FHLMC | 5.00 | 05/12/16 | 3,822 | 4,074 | |||||||
3128H3C25 | FHLMC | 5.00 | 05/13/16 | 1,036 | 1,054 | |||||||
3128H3CD1 | FHLMC | 5.00 | 05/12/16 | 2,636 | 2,810 | |||||||
3128H3FG1 | FHLMC | 5.00 | 05/14/16 | 5,100 | 5,437 | |||||||
3128H3MN8 | FHLMC | 5.00 | 05/14/16 | 9,716 | 10,358 | |||||||
3128H3N72 | FHLMC | 5.00 | 05/12/16 | 2,469 | 2,621 | |||||||
3128H3RY9 | FHLMC | 5.00 | 05/27/16 | 8,799 | 9,380 | |||||||
3128H3S36 | FHLMC | 5.00 | 05/14/16 | 4,090 | 4,361 | |||||||
3128H3SZ5 | FHLMC | 5.00 | 05/29/16 | 4,931 | 5,256 | |||||||
3128H3V65 | FHLMC | 5.00 | 05/28/16 | 2,018 | 2,068 | |||||||
3128H3WF4 | FHLMC | 5.00 | 05/13/16 | 3,635 | 3,876 | |||||||
3128H3XU0 | FHLMC | 5.00 | 05/28/16 | 4,997 | 5,307 | |||||||
3128H45V7 | FHLMC | 5.00 | 06/16/16 | 5,765 | 6,146 | |||||||
3128H4J59 | FHLMC | 5.00 | 06/15/16 | 4,146 | 4,420 | |||||||
3128H4JG5 | FHLMC | 5.00 | 05/30/16 | 4,885 | 5,187 | |||||||
3128H4JT7 | FHLMC | 5.00 | 06/14/16 | 9,432 | 10,055 | |||||||
3128H5JX5 | FHLMC | 5.00 | 07/01/16 | 8,576 | 9,142 | |||||||
3128H5RP3 | FHLMC | 5.00 | 07/02/16 | 4,807 | 5,105 | |||||||
3128H5TK2 | FHLMC | 5.00 | 07/01/16 | 11,222 | 11,963 | |||||||
3128H6BG8 | FHLMC | 5.00 | 07/02/16 | 9,238 | 9,848 | |||||||
3128H6CZ5 | FHLMC | 5.00 | 06/30/16 | 7,231 | 7,708 | |||||||
3128H6FR0 | FHLMC | 5.00 | 07/16/16 | 6,454 | 6,881 | |||||||
3128H6FU3 | FHLMC | 5.00 | 07/16/16 | 3,770 | 4,011 | |||||||
3128H6WU4 | FHLMC | 5.50 | 07/19/16 | 99,744 | 108,962 | |||||||
3128H6XM1 | FHLMC | 5.00 | 07/17/16 | 1,989 | 2,121 | |||||||
3128H6ZC1 | FHLMC | 5.50 | 07/03/16 | 35,469 | 38,747 | |||||||
3128H77K2 | FHLMC | 5.50 | 08/26/16 | 116,223 | 126,965 | |||||||
3128JLDM8 | FHLMC | 2.45 | 11/08/24 | 138,068 | 146,041 | |||||||
3128JLEY1 | FHLMC | 2.43 | 11/06/24 | 213,697 | 228,886 | |||||||
3128JLHB8 | FHLMC | 2.38 | 10/30/24 | 41,937 | 44,005 | |||||||
3128JMW45 | FHLMC | 2.53 | 07/22/25 | 60,006 | 63,869 | |||||||
3128JMY68 | FHLMC | 2.53 | 07/22/25 | 69,949 | 76,055 | |||||||
3128JMZG5 | FHLMC | 2.53 | 07/22/25 | 108,383 | 115,358 | |||||||
3128JNAL9 | FHLMC | 2.53 | 09/15/25 | 133,938 | 142,623 | |||||||
3128JRP26 | FHLMC | 2.37 | 12/20/24 | 1,360,365 | 1,437,043 | |||||||
3128K17K1 | FHLMC | 5.00 | 05/22/27 | 955,008 | 1,040,293 | |||||||
3128K9KT0 | FHLMC | 5.50 | 05/28/27 | 40,961 | 44,967 | |||||||
3128KA4Z1 | FHLMC | 6.00 | 12/02/27 | 37,007 | 41,344 | |||||||
3128KALC3 | FHLMC | 6.00 | 12/10/27 | 2,939 | 3,261 | |||||||
3128KE5H2 | FHLMC | 6.50 | 05/16/28 | 112,888 | 126,716 | |||||||
3128KLSB4 | FHLMC | 5.00 | 02/20/28 | 407,101 | 442,124 | |||||||
3128KU3J4 | FHLMC | 6.00 | 10/04/28 | 128,528 | 142,743 | |||||||
3128KULK1 | FHLMC | 6.00 | 10/04/28 | 2,518 | 2,794 | |||||||
3128KVAR6 | FHLMC | 6.50 | 12/17/28 | 57,503 | 64,781 | |||||||
3128KWBZ5 | FHLMC | 6.00 | 10/26/28 | 7,951 | 9,068 | |||||||
3128KWFX6 | FHLMC | 6.00 | 12/03/28 | 16,362 | 18,660 | |||||||
3128KWFY4 | FHLMC | 6.00 | 12/21/28 | 17,768 | 20,263 | |||||||
3128KWH30 | FHLMC | 6.00 | 12/03/28 | 21,479 | 23,835 | |||||||
3128KWMW0 | FHLMC | 6.00 | 01/09/29 | 156,222 | 173,822 | |||||||
3128KWT29 | FHLMC | 6.00 | 12/03/28 | 11,572 | 13,197 | |||||||
3128KWTK9 | FHLMC | 6.00 | 01/09/29 | 19,298 | 22,009 | |||||||
3128KWTP8 | FHLMC | 6.00 | 12/21/28 | 14,063 | 16,038 | |||||||
3128KWTZ6 | FHLMC | 6.00 | 11/15/28 | 14,719 | 16,786 | |||||||
3128KYXE4 | FHLMC | 6.00 | 08/01/28 | 13,926 | 15,882 | |||||||
3128L0SP8 | FHLMC | 6.00 | 01/06/29 | 4,739 | 5,273 | |||||||
3128L0SR4 | FHLMC | 6.00 | 01/14/29 | 170,385 | 189,835 |
Page 8
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3128L1WP1 | FHLMC | 6.00 | 02/24/29 | 29,719 | 32,980 | |||||||
3128LAFP0 | FHLMC | 6.00 | 03/11/29 | 78,470 | 87,074 | |||||||
3128LXUJ7 | FHLMC | 6.00 | 04/28/28 | 119,132 | 132,195 | |||||||
3128M4GD9 | FHLMC | 6.00 | 06/12/28 | 39,487 | 43,817 | |||||||
3128M4XA6 | FHLMC | 5.50 | 07/24/28 | 1,245,550 | 1,370,002 | |||||||
3128M4YR8 | FHLMC | 6.00 | 10/20/28 | 103,354 | 114,692 | |||||||
3128M4ZG1 | FHLMC | 6.00 | 09/18/28 | 1,989 | 2,268 | |||||||
3128M5GA2 | FHLMC | 6.00 | 12/04/28 | 85,886 | 95,308 | |||||||
3128M5NP1 | FHLMC | 6.00 | 01/28/29 | 2,074 | 2,301 | |||||||
3128M5R93 | FHLMC | 5.50 | 01/22/29 | 20,527 | 22,537 | |||||||
3128M5RA0 | FHLMC | 6.00 | 02/22/29 | 11,241 | 12,474 | |||||||
3128M6AV0 | FHLMC | 5.50 | 02/02/29 | 45,515 | 49,977 | |||||||
3128M6JM1 | FHLMC | 5.00 | 02/09/29 | 8,856,467 | 9,618,750 | |||||||
3128M6SA7 | FHLMC | 6.00 | 08/25/29 | 130,095 | 144,360 | |||||||
3128M6SN9 | FHLMC | 5.00 | 11/03/27 | 1,122,651 | 1,222,907 | |||||||
3128M6UB2 | FHLMC | 6.00 | 06/13/29 | 47,486 | 54,160 | |||||||
3128M7AZ9 | FHLMC | 6.00 | 10/28/29 | 122,796 | 140,053 | |||||||
3128M7MQ6 | FHLMC | 6.00 | 07/07/26 | 523,452 | 589,384 | |||||||
3128M7NR3 | FHLMC | 5.00 | 10/02/29 | 1,049,323 | 1,139,745 | |||||||
3128M7PN0 | FHLMC | 5.00 | 11/03/29 | 583,961 | 640,450 | |||||||
3128M7QZ2 | FHLMC | 5.00 | 07/07/29 | 913,388 | 994,956 | |||||||
3128M7SY3 | FHLMC | 6.00 | 10/25/28 | 7,128,816 | 8,022,278 | |||||||
3128M7YU4 | FHLMC | 6.00 | 08/15/26 | 13,714,442 | 15,501,610 | |||||||
3128M8AV6 | FHLMC | 5.50 | 04/16/30 | 2,648,115 | 2,907,738 | |||||||
3128M8CY8 | FHLMC | 5.00 | 09/06/30 | 1,660,761 | 1,803,703 | |||||||
3128M8GV0 | FHLMC | 6.00 | 09/29/27 | 4,271,385 | 4,806,722 | |||||||
3128M8HQ0 | FHLMC | 4.00 | 04/16/30 | 398,743 | 414,031 | |||||||
3128M8TX2 | FHLMC | 6.00 | 02/17/29 | 985,469 | 1,093,524 | |||||||
3128M8VG6 | FHLMC | 4.00 | 07/13/30 | 4,017,888 | 4,181,851 | |||||||
3128M9CM2 | FHLMC | 4.00 | 12/30/18 | 761,638 | 790,858 | |||||||
3128M9H88 | FHLMC | 4.00 | 07/12/31 | 653,500 | 678,572 | |||||||
3128MCUW3 | FHLMC | 4.00 | 08/14/20 | 3,580,377 | 3,798,249 | |||||||
3128MJH94 | FHLMC | 5.00 | 10/28/28 | 706,681 | 767,506 | |||||||
3128MJRD4 | FHLMC | 4.00 | 02/08/31 | 172,703 | 179,329 | |||||||
3128MJS43 | FHLMC | 3.50 | 08/25/31 | 520,695 | 523,638 | |||||||
3128MMAC7 | FHLMC | 5.00 | 01/13/17 | 241,293 | 257,903 | |||||||
3128MMM67 | FHLMC | 3.50 | 09/16/20 | 438,774 | 459,250 | |||||||
3128MMNX7 | FHLMC | 3.50 | 01/19/21 | 5,793,632 | 6,064,003 | |||||||
3128MMQ55 | FHLMC | 2.50 | 12/18/21 | 478,219 | 478,309 | |||||||
3128NCBH6 | FHLMC | 1.98 | 06/17/25 | 232,642 | 240,071 | |||||||
3128P7JE4 | FHLMC | 5.00 | 02/15/22 | 5,065 | 5,488 | |||||||
3128P7JH7 | FHLMC | 5.00 | 02/21/22 | 100,026 | 108,384 | |||||||
3128PR7G8 | FHLMC | 4.00 | 05/21/20 | 921,030 | 977,077 | |||||||
3128PRVD8 | FHLMC | 4.00 | 05/01/20 | 537,476 | 570,183 | |||||||
3128PRWU9 | FHLMC | 4.00 | 05/19/20 | 718,400 | 762,116 | |||||||
3128PRZ85 | FHLMC | 4.00 | 05/20/20 | 356,352 | 378,037 | |||||||
3128PSBA4 | FHLMC | 4.00 | 06/05/20 | 642,485 | 681,581 | |||||||
3128PUGE6 | FHLMC | 3.50 | 08/27/20 | 550,564 | 576,257 | |||||||
3128PUQT2 | FHLMC | 3.50 | 10/12/20 | 634,248 | 663,846 | |||||||
3128PURZ7 | FHLMC | 3.50 | 10/09/20 | 581,825 | 608,977 | |||||||
3128PUVC3 | FHLMC | 3.50 | 10/06/20 | 543,414 | 568,774 | |||||||
3128PUVP4 | FHLMC | 3.50 | 10/09/20 | 441,635 | 462,245 | |||||||
3128PUW73 | FHLMC | 3.50 | 10/23/20 | 699,763 | 732,418 | |||||||
3128PUXF4 | FHLMC | 3.50 | 10/06/20 | 427,325 | 447,267 | |||||||
3128PVBD1 | FHLMC | 4.00 | 11/20/20 | 544,845 | 578,061 | |||||||
3128PVCG3 | FHLMC | 4.00 | 11/13/20 | 572,923 | 607,851 | |||||||
3128PWV21 | FHLMC | 3.00 | 01/02/21 | 2,611,985 | 2,682,441 | |||||||
3128PWWS3 | FHLMC | 3.00 | 12/21/20 | 2,318,132 | 2,380,662 | |||||||
312906J50 | FHLMC | 8.50 | 12/18/16 | 38,348 | 42,317 | |||||||
312929CM2 | FHLMC | 6.00 | 11/02/29 | 4,777 | 5,448 | |||||||
31292G4T0 | FHLMC | 6.00 | 03/10/23 | 5,370 | 6,067 | |||||||
31292GZM1 | FHLMC | 6.00 | 01/13/23 | 483 | 546 |
Page 9
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
31292K4D6 | FHLMC | 4.00 | 01/28/30 | 748,692 | 777,396 | |||||||
31292KJH1 | FHLMC | 6.00 | 09/23/28 | 1,040 | 1,187 | |||||||
31292LL60 | FHLMC | 3.50 | 12/15/30 | 565,313 | 568,497 | |||||||
31292SAD2 | FHLMC | 3.50 | 01/10/31 | 1,192,277 | 1,199,009 | |||||||
312930LH1 | FHLMC | 6.00 | 12/21/29 | 10,784 | 12,300 | |||||||
312930LQ1 | FHLMC | 6.00 | 01/18/30 | 24,281 | 27,693 | |||||||
312930RC6 | FHLMC | 6.00 | 11/18/29 | 12,845 | 14,646 | |||||||
312930RV4 | FHLMC | 6.00 | 11/10/29 | 6,230 | 7,105 | |||||||
312930TB6 | FHLMC | 6.00 | 12/06/29 | 6,453 | 7,358 | |||||||
312931D62 | FHLMC | 4.00 | 02/21/29 | 123,259 | 127,977 | |||||||
312931TJ7 | FHLMC | 5.00 | 07/27/29 | 1,346,519 | 1,463,803 | |||||||
312932CX2 | FHLMC | 4.50 | 04/22/29 | 1,267,272 | 1,356,665 | |||||||
312932ZE9 | FHLMC | 5.00 | 08/20/29 | 54,239 | 59,674 | |||||||
3129345K4 | FHLMC | 5.00 | 10/21/29 | 112,275 | 123,136 | |||||||
312934CX8 | FHLMC | 4.00 | 03/26/29 | 625,189 | 649,119 | |||||||
312934ML3 | FHLMC | 4.00 | 04/29/29 | 17,978 | 18,666 | |||||||
312934PJ5 | FHLMC | 5.00 | 09/27/29 | 65,384 | 71,937 | |||||||
312934R38 | FHLMC | 5.00 | 09/11/29 | 45,949 | 50,553 | |||||||
312934SQ6 | FHLMC | 4.00 | 05/11/29 | 37,957 | 39,409 | |||||||
312935AT6 | FHLMC | 5.00 | 10/09/29 | 114,902 | 126,017 | |||||||
312935KY4 | FHLMC | 4.50 | 07/14/29 | 167,544 | 179,883 | |||||||
312935LV9 | FHLMC | 4.50 | 07/29/29 | 128,373 | 137,827 | |||||||
312935MV8 | FHLMC | 4.50 | 08/07/29 | 1,162,840 | 1,249,889 | |||||||
312936LH8 | FHLMC | 5.00 | 11/27/29 | 210,544 | 232,567 | |||||||
312936LM7 | FHLMC | 5.00 | 11/24/29 | 337,892 | 370,578 | |||||||
3129385D1 | FHLMC | 5.00 | 01/08/30 | 54,069 | 59,360 | |||||||
31293WH45 | FHLMC | 6.00 | 04/14/23 | 11,009 | 12,440 | |||||||
312941TK3 | FHLMC | 4.00 | 03/03/30 | 800,048 | 832,235 | |||||||
312942F83 | FHLMC | 4.00 | 02/01/30 | 1,063,332 | 1,106,111 | |||||||
312942L52 | FHLMC | 4.50 | 04/17/30 | 892,794 | 952,751 | |||||||
312943HT3 | FHLMC | 4.00 | 03/14/30 | 6,756,455 | 7,017,485 | |||||||
312943LY7 | FHLMC | 4.00 | 02/23/30 | 305,106 | 317,381 | |||||||
312943Y31 | FHLMC | 4.00 | 04/10/30 | 1,332,315 | 1,383,788 | |||||||
312944BJ9 | FHLMC | 4.00 | 02/13/30 | 2,851,849 | 2,963,944 | |||||||
312944BN0 | FHLMC | 4.00 | 03/03/30 | 1,826,279 | 1,897,223 | |||||||
3129455Y0 | FHLMC | 4.50 | 02/10/27 | 181,764 | 194,090 | |||||||
3129456C7 | FHLMC | 4.00 | 05/17/30 | 955,395 | 992,024 | |||||||
312945CK2 | FHLMC | 4.00 | 02/27/30 | 2,041,478 | 2,120,349 | |||||||
312945ZD3 | FHLMC | 4.00 | 04/16/30 | 240,649 | 249,875 | |||||||
312946FN1 | FHLMC | 4.50 | 07/28/30 | 1,174,440 | 1,254,082 | |||||||
312946GL4 | FHLMC | 4.00 | 05/21/30 | 285,791 | 296,748 | |||||||
312946JE7 | FHLMC | 4.50 | 02/24/27 | 422,413 | 451,058 | |||||||
312946PD2 | FHLMC | 4.50 | 08/08/30 | 3,294,478 | 3,517,885 | |||||||
312946X35 | FHLMC | 4.50 | 03/30/27 | 1,578,010 | 1,685,019 | |||||||
31294KDZ5 | FHLMC | 5.00 | 07/11/15 | 499 | 529 | |||||||
31294KFJ9 | FHLMC | 5.00 | 08/12/15 | 482 | 511 | |||||||
31294KHD0 | FHLMC | 5.00 | 09/29/15 | 1,837 | 1,958 | |||||||
31294KHL2 | FHLMC | 5.00 | 10/15/15 | 2,521 | 2,687 | |||||||
31294KJT3 | FHLMC | 5.00 | 11/16/15 | 1,171 | 1,241 | |||||||
31294KKU8 | FHLMC | 5.00 | 01/21/16 | 1,573 | 1,676 | |||||||
31294MAK7 | FHLMC | 4.00 | 06/16/20 | 408,733 | 433,605 | |||||||
31294MJP7 | FHLMC | 3.50 | 01/22/21 | 1,737,312 | 1,818,387 | |||||||
312962CQ4 | FHLMC | 5.00 | 07/16/16 | 1,679 | 1,783 | |||||||
312962CT8 | FHLMC | 5.00 | 07/17/16 | 148 | 149 | |||||||
312962KD4 | FHLMC | 5.50 | 08/22/16 | 45,500 | 49,706 | |||||||
312962KT9 | FHLMC | 5.00 | 08/18/16 | 5,123 | 5,450 | |||||||
312962MD2 | FHLMC | 5.00 | 09/04/16 | 10,867 | 11,584 | |||||||
312962Q63 | FHLMC | 5.50 | 08/23/16 | 7,330 | 8,007 | |||||||
312962UW1 | FHLMC | 5.50 | 09/08/16 | 440,049 | 480,718 | |||||||
312963VY4 | FHLMC | 5.50 | 09/27/16 | 139,006 | 151,853 | |||||||
312963WH0 | FHLMC | 5.50 | 09/26/16 | 12,680 | 13,852 | |||||||
312963ZG9 | FHLMC | 5.50 | 09/08/16 | 9,111 | 9,953 |
Page 10
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3129642B4 | FHLMC | 5.50 | 11/13/16 | 30,907 | 33,852 | |||||||
312964KG3 | FHLMC | 5.00 | 10/24/16 | 718 | 725 | |||||||
312964WX3 | FHLMC | 5.50 | 08/23/16 | 181,658 | 198,447 | |||||||
312965QA7 | FHLMC | 5.50 | 09/08/16 | 89,385 | 97,646 | |||||||
312966WU4 | FHLMC | 5.50 | 12/17/16 | 826,035 | 904,736 | |||||||
312968QL7 | FHLMC | 5.50 | 09/25/16 | 731,749 | 790,976 | |||||||
31296KN58 | FHLMC | 6.00 | 12/14/25 | 35,717 | 40,655 | |||||||
31296NEK9 | FHLMC | 5.00 | 09/14/25 | 1,009,267 | 1,100,258 | |||||||
31296SBH8 | FHLMC | 6.00 | 02/26/26 | 6,009 | 6,792 | |||||||
31297SFC4 | FHLMC | 5.50 | 03/02/27 | 45,414 | 50,108 | |||||||
31297US50 | FHLMC | 5.50 | 03/17/27 | 58,907 | 64,995 | |||||||
31298HM47 | FHLMC | 6.00 | 04/18/24 | 7,713 | 8,686 | |||||||
3132FCBT1 | FHLMC | 5.00 | 09/11/27 | 849,980 | 930,386 | |||||||
3132GDC67 | FHLMC | 4.00 | 05/30/30 | 362,553 | 376,453 | |||||||
3132GDRC8 | FHLMC | 4.50 | 03/28/27 | 2,042,180 | 2,180,666 | |||||||
3132GDS86 | FHLMC | 4.50 | 10/05/30 | 3,223,537 | 3,442,134 | |||||||
3132GE6P0 | FHLMC | 5.00 | 02/13/31 | 399,352 | 437,977 | |||||||
3132GJ3K3 | FHLMC | 4.00 | 10/12/30 | 1,106,787 | 1,149,220 | |||||||
3132GJR27 | FHLMC | 4.00 | 10/14/30 | 51,537 | 53,578 | |||||||
3132GLCK8 | FHLMC | 4.00 | 11/21/30 | 886,136 | 920,110 | |||||||
3132GLUA0 | FHLMC | 4.00 | 12/13/30 | 1,674,847 | 1,739,059 | |||||||
3132GMHA3 | FHLMC | 3.50 | 09/20/30 | 464,176 | 466,797 | |||||||
3132GRL66 | FHLMC | 3.50 | 09/25/30 | 3,821,971 | 3,844,737 | |||||||
3132GRN80 | FHLMC | 4.00 | 12/22/30 | 614,226 | 637,730 | |||||||
3132GUKK9 | FHLMC | 3.50 | 12/20/30 | 3,181,624 | 3,199,589 | |||||||
3132GUX90 | FHLMC | 3.50 | 01/06/31 | 942,481 | 948,095 | |||||||
3132HM5D9 | FHLMC | 3.50 | 03/09/31 | 1,010,848 | 1,016,556 | |||||||
3132HQEQ1 | FHLMC | 3.00 | 11/14/30 | 466,083 | 449,514 | |||||||
3132HQFE7 | FHLMC | 4.00 | 07/17/31 | 22,771 | 23,703 | |||||||
3132HQRK0 | FHLMC | 3.00 | 02/16/31 | 230,456 | 222,263 | |||||||
3132J9AW8 | FHLMC | 4.00 | 11/01/31 | 185,799 | 193,348 | |||||||
3132J9GA0 | FHLMC | 4.00 | 11/12/31 | 86,320 | 89,828 | |||||||
3132J9JD1 | FHLMC | 3.00 | 05/11/31 | 1,469,916 | 1,417,647 | |||||||
3132J9NB0 | FHLMC | 4.00 | 11/05/31 | 1,213,024 | 1,264,205 | |||||||
3132J9WS3 | FHLMC | 4.00 | 11/12/31 | 1,695,090 | 1,766,611 | |||||||
3132JMR92 | FHLMC | 4.00 | 12/08/31 | 101,140 | 105,250 | |||||||
3132JMVQ9 | FHLMC | 4.00 | 03/10/32 | 2,201,016 | 2,293,884 | |||||||
3132JNND5 | FHLMC | 4.00 | 03/29/32 | 1,164,471 | 1,213,603 | |||||||
3132JNNP8 | FHLMC | 4.00 | 03/12/32 | 96,802 | 100,735 | |||||||
3132JPJD5 | FHLMC | 4.00 | 02/26/32 | 304,899 | 317,287 | |||||||
3132JPJH6 | FHLMC | 4.00 | 02/20/32 | 2,104,235 | 2,193,019 | |||||||
3132JPU26 | FHLMC | 3.00 | 07/23/31 | 1,467,426 | 1,415,245 | |||||||
31342A6F1 | FHLMC | 2.36 | 10/28/24 | 249,624 | 262,946 | |||||||
31349UCW6 | FHLMC | 2.23 | 05/27/25 | 121,940 | 128,948 | |||||||
31349UEJ3 | FHLMC | 2.38 | 07/03/25 | 210,056 | 223,483 | |||||||
31349ULB2 | FHLMC | 2.38 | 08/25/25 | 219,604 | 234,134 | |||||||
31349UMF2 | FHLMC | 2.38 | 09/13/25 | 324,507 | 343,220 | |||||||
313602YQ1 | FANNIE MAE FNMA_89-44 | 9.00 | 06/04/16 | 31,640 | 34,570 | |||||||
31368HL35 | FNMA | 5.50 | 01/18/26 | 32,245 | 35,905 | |||||||
31368HMB6 | FNMA | 5.50 | 09/21/26 | 294,241 | 327,588 | |||||||
31368HNM1 | FNMA | 4.50 | 06/15/29 | 15,000 | 16,008 | |||||||
3136A77K2 | FNMA | 2.71 | 04/05/16 | 1,176,865 | 1,157,391 | |||||||
31371LNH8 | FNMA | 4.00 | 04/25/14 | 15 | 15 | |||||||
31371LZJ1 | FNMA | 4.00 | 09/11/14 | 30,125 | 30,568 | |||||||
31371M5M5 | FNMA | 5.50 | 04/16/28 | 83,553 | 92,149 | |||||||
31371MEP8 | FNMA | 5.00 | 02/10/27 | 3,607 | 3,943 | |||||||
31371MG92 | FNMA | 4.00 | 01/13/15 | 17,050 | 17,568 | |||||||
31371N4F9 | FNMA | 6.00 | 09/13/22 | 148,500 | 166,107 | |||||||
31371NP25 | FNMA | 5.50 | 12/30/28 | 309,497 | 341,268 | |||||||
31371NVX0 | FNMA | 5.00 | 10/14/28 | 756,199 | 824,026 | |||||||
31374CN36 | FNMA | 6.00 | 07/09/30 | 15,159 | 16,871 | |||||||
31374CNV4 | FNMA | 5.50 | 08/09/28 | 287,443 | 320,020 |
Page 11
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3137A83K2 | FHR_3820D DA | 4.00 | 11/23/16 | 16,519,526 | 17,424,350 | |||||||
3137AEH65 | FHLMC_3917 | 0.66 | 07/13/16 | 1,562,835 | 1,569,297 | |||||||
3137AEV77 | FHLMC | 2.70 | 03/26/18 | 8,300,000 | 8,603,448 | |||||||
3137ANMN2 | FHLMC MULTIFAMILY STRUCTURED P | 2.22 | 11/19/18 | 500,000 | 505,484 | |||||||
3137B4PT7 | FHLMC_4246 | 6.50 | 11/26/16 | 7,166,541 | 8,217,865 | |||||||
3137B4UY0 | FHLMC_4248 | 6.50 | 05/20/17 | 13,201,831 | 15,129,356 | |||||||
31381QFF8 | FNMA | 3.75 | 05/16/16 | 8,262,715 | 8,827,265 | |||||||
31385RB58 | FNMA | 8.50 | 03/09/24 | 574,346 | 627,443 | |||||||
31385XAZ0 | FNMA | 5.50 | 08/18/25 | 460,821 | 513,131 | |||||||
31385XEC7 | FNMA | 5.50 | 09/09/25 | 10,324 | 11,495 | |||||||
31385XK48 | FNMA | 2.35 | 09/02/24 | 150,260 | 158,179 | |||||||
31385XM87 | FNMA | 4.50 | 08/22/25 | 4,694,323 | 5,032,135 | |||||||
31388XVV3 | FNMA | 2.03 | 08/14/24 | 4,180,723 | 4,315,677 | |||||||
31389EVA0 | FNMA | 6.50 | 09/10/15 | 394,001 | 418,214 | |||||||
31389EVB8 | FNMA | 6.50 | 09/11/15 | 617,721 | 655,682 | |||||||
3138A1CT6 | FNMA | 4.00 | 05/01/26 | 60,229 | 62,641 | |||||||
3138A1SU6 | FNMA | 4.00 | 04/04/30 | 212,970 | 221,496 | |||||||
3138A2CK3 | FNMA | 4.00 | 08/23/20 | 1,535,967 | 1,629,495 | |||||||
3138A2DD8 | FNMA | 4.00 | 03/18/30 | 35,086 | 36,491 | |||||||
3138A2FJ3 | FNMA | 4.00 | 08/25/20 | 91,153 | 96,703 | |||||||
3138A2PD5 | FNMA | 3.50 | 08/19/20 | 1,680,924 | 1,763,266 | |||||||
3138A2ZZ5 | FNMA | 4.00 | 09/13/30 | 639,315 | 664,916 | |||||||
3138A3DJ3 | FNMA | 4.00 | 10/16/20 | 120,656 | 128,092 | |||||||
3138A3VB0 | FNMA | 4.00 | 03/30/30 | 3,290,461 | 3,422,519 | |||||||
3138A3WC7 | FNMA | 4.00 | 05/04/30 | 209,050 | 217,424 | |||||||
3138A4CC7 | FNMA | 4.00 | 09/12/30 | 106,719 | 110,992 | |||||||
3138A4KH7 | FNMA | 4.00 | 03/29/30 | 56,906 | 59,184 | |||||||
3138A5RN4 | FNMA | 4.00 | 09/29/20 | 40,368 | 42,856 | |||||||
3138A5YL0 | FNMA | 4.50 | 08/04/30 | 305,894 | 326,670 | |||||||
3138A6E97 | FNMA | 4.00 | 04/23/30 | 463,000 | 481,540 | |||||||
3138A6LD0 | FNMA | 5.00 | 11/07/30 | 198,894 | 217,783 | |||||||
3138A6RH5 | FNMA | 4.00 | 04/11/30 | 18,065 | 18,789 | |||||||
3138A7G69 | FNMA | 4.00 | 09/28/20 | 48,755 | 51,760 | |||||||
3138A7HY7 | FNMA | 3.50 | 02/01/30 | 867,246 | 873,077 | |||||||
3138A8A48 | FNMA | 4.00 | 05/15/30 | 587,157 | 610,669 | |||||||
3138A9N26 | FNMA | 4.00 | 05/10/30 | 99,167 | 103,138 | |||||||
3138AA4M0 | FNMA | 4.50 | 08/30/30 | 4,150,194 | 4,442,519 | |||||||
3138AAKX8 | FNMA | 4.00 | 06/23/30 | 101,393 | 105,546 | |||||||
3138AB2D0 | FNMA | 4.00 | 05/10/30 | 85,198 | 88,610 | |||||||
3138ADUG8 | FNMA | 5.00 | 01/16/31 | 499,251 | 546,666 | |||||||
3138AET45 | FNMA | 4.50 | 09/30/30 | 1,759,863 | 1,880,557 | |||||||
3138AEZG1 | FNMA | 4.00 | 09/21/30 | 566,595 | 589,283 | |||||||
3138AFKH2 | FNMA | 4.00 | 11/19/20 | 46,503 | 49,369 | |||||||
3138AFXZ8 | FNMA | 4.00 | 12/01/20 | 154,558 | 164,083 | |||||||
3138AG6Q6 | FNMA | 4.00 | 12/08/20 | 171,354 | 181,915 | |||||||
3138AGQQ4 | FNMA | 4.00 | 11/28/20 | 40,910 | 43,431 | |||||||
3138AHTD8 | FNMA | 5.00 | 01/25/31 | 130,285 | 142,593 | |||||||
3138AJK50 | FNMA | 4.50 | 11/10/30 | 1,888,839 | 2,018,379 | |||||||
3138AJNH1 | FNMA | 4.50 | 11/08/30 | 2,416,594 | 2,582,328 | |||||||
3138AJWD0 | FNMA | 4.50 | 11/26/30 | 959,576 | 1,025,386 | |||||||
3138AKEL9 | FNMA | 4.00 | 12/01/20 | 121,352 | 128,831 | |||||||
3138ANBY8 | FNMA | 4.00 | 10/04/30 | 113,716 | 118,269 | |||||||
3138ANZG1 | FNMA | 4.50 | 12/24/30 | 164,582 | 175,869 | |||||||
3138AS4N9 | FNMA | 4.50 | 02/04/31 | 1,994,838 | 2,131,648 | |||||||
3138AT4B3 | FNMA | 4.00 | 03/21/31 | 755,937 | 786,217 | |||||||
3138AUMZ7 | FNMA | 4.00 | 11/21/30 | 32,743 | 34,054 | |||||||
3138AUP84 | FNMA | 4.50 | 03/06/31 | 43,061 | 46,014 | |||||||
3138AVH24 | FNMA | 4.00 | 11/16/30 | 96,996 | 100,880 | |||||||
3138AVWL5 | FNMA | 4.00 | 10/17/30 | 106,403 | 110,664 | |||||||
3138AW3N1 | FNMA | 4.00 | 11/03/30 | 40,776 | 42,409 | |||||||
3138AX5G2 | FNMA | 4.00 | 01/28/31 | 184,114 | 191,489 | |||||||
3138AXRL7 | FNMA | 4.00 | 11/30/30 | 515,678 | 536,327 |
Page 12
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3138AXST9 | FNMA | 4.50 | 02/02/31 | 685,767 | 732,798 | |||||||
3138E04T3 | FNMA | 3.50 | 10/16/30 | 383,436 | 386,017 | |||||||
3138E0Q93 | FNMA | 3.50 | 09/01/30 | 1,543,479 | 1,554,333 | |||||||
3138E2GH2 | FNMA | 4.00 | 12/12/30 | 2,011,228 | 2,091,766 | |||||||
3138E2JY2 | FNMA | 3.50 | 08/24/30 | 487,693 | 490,975 | |||||||
3138E47K1 | FNMA | 4.00 | 12/26/30 | 219,886 | 228,691 | |||||||
3138E4AC5 | FNMA | 4.00 | 12/20/30 | 219,933 | 228,740 | |||||||
3138E4EB3 | FNMA | 2.50 | 03/16/21 | 776,246 | 776,393 | |||||||
3138E4F89 | FNMA | 4.00 | 12/29/30 | 67,782 | 70,498 | |||||||
3138E4UV1 | FNMA | 4.00 | 12/02/30 | 4,242,684 | 4,412,577 | |||||||
3138E6KZ8 | FNMA | 4.00 | 12/26/30 | 408,049 | 424,394 | |||||||
3138E7JB1 | FNMA | 2.50 | 03/29/21 | 837,351 | 837,509 | |||||||
3138EBLJ2 | FNMA | 4.00 | 04/18/31 | 125,959 | 131,004 | |||||||
3138ECLK7 | FNMA | 4.00 | 04/23/31 | 399,552 | 415,557 | |||||||
3138ECLU5 | FNMA | 4.00 | 04/17/31 | 379,888 | 395,105 | |||||||
3138ECTY9 | FNMA | 2.50 | 03/21/21 | 604,357 | 604,471 | |||||||
3138ECYM9 | FNMA | 2.50 | 03/19/21 | 625,164 | 625,283 | |||||||
3138ECYV9 | FNMA | 2.50 | 04/03/21 | 806,415 | 806,567 | |||||||
3138EGH72 | FNMA | 4.00 | 10/17/20 | 635,395 | 674,085 | |||||||
3138EGHV9 | FNMA | 4.00 | 09/14/20 | 91,937 | 97,535 | |||||||
3138EGHX5 | FNMA | 4.00 | 06/27/30 | 5,765,490 | 6,001,897 | |||||||
3138EGSP0 | FNMA | 5.50 | 05/27/28 | 112,045 | 124,743 | |||||||
3138EGTA2 | FNMA | 5.00 | 10/17/28 | 348,595 | 381,487 | |||||||
3138EH6R8 | FNMA | 5.50 | 07/25/29 | 107,497 | 119,680 | |||||||
3138EHCM2 | FNMA | 5.00 | 06/14/28 | 485,260 | 531,047 | |||||||
3138EHGN6 | FNMA | 5.50 | 12/15/28 | 54,566 | 60,750 | |||||||
3138EHWE8 | FNMA | 5.50 | 08/02/28 | 52,479 | 58,436 | |||||||
3138EJCC0 | FNMA | 4.00 | 10/10/30 | 1,819,471 | 1,892,330 | |||||||
3138EJEW4 | FNMA | 4.00 | 12/30/30 | 602,881 | 627,601 | |||||||
3138EJQN1 | FNMA | 5.50 | 12/16/28 | 80,586 | 89,719 | |||||||
3138EJRB6 | FNMA | 3.50 | 04/27/31 | 5,229,100 | 5,264,305 | |||||||
3138EJRP5 | FNMA | 4.38 | 02/20/18 | 6,283,796 | 6,770,463 | |||||||
3138EKKV6 | FNMA | 5.50 | 12/05/28 | 164,052 | 182,644 | |||||||
3138EKNB7 | FNMA | 5.50 | 08/14/28 | 146,313 | 162,922 | |||||||
3138EKNF8 | FNMA | 3.00 | 03/05/31 | 372,244 | 360,823 | |||||||
3138EKW35 | FNMA | 6.00 | 05/20/31 | 8,005,365 | 8,908,085 | |||||||
3138EKZS7 | FNMA | 5.00 | 04/20/31 | 227,476 | 247,871 | |||||||
3138ELPP2 | FNMA | 4.50 | 06/10/31 | 1,678,491 | 1,793,605 | |||||||
3138ELX65 | FNMA | 4.50 | 04/08/31 | 1,519,792 | 1,623,013 | |||||||
3138LQES9 | FNMA | 4.00 | 02/12/31 | 726,029 | 755,111 | |||||||
3138LSR85 | FNMA | 3.00 | 01/06/31 | 105,646 | 102,405 | |||||||
3138LTLA4 | FNMA | 3.00 | 05/06/21 | 1,061,384 | 1,091,193 | |||||||
3138LUZP3 | FNMA | 2.50 | 04/17/21 | 1,058,247 | 1,058,946 | |||||||
3138LVEU3 | FNMA | 4.00 | 05/30/31 | 711,143 | 739,841 | |||||||
3138LVH89 | FNMA | 3.00 | 01/05/31 | 94,224 | 91,333 | |||||||
3138LVJ87 | FNMA | 3.00 | 05/25/21 | 2,257,839 | 2,321,252 | |||||||
3138LX5F2 | FNMA | 4.00 | 06/13/31 | 205,096 | 213,312 | |||||||
3138LXT41 | FNMA | 3.00 | 11/08/30 | 52,834 | 51,213 | |||||||
3138M13D8 | FNMA | 3.50 | 04/01/31 | 3,478,947 | 3,502,369 | |||||||
3138M13G1 | FNMA | 3.50 | 04/24/31 | 6,259,973 | 6,302,117 | |||||||
3138M3MH4 | FNMA | 4.00 | 05/29/31 | 267,179 | 277,881 | |||||||
3138M5LM9 | FNMA | 3.50 | 01/29/31 | 184,204 | 185,444 | |||||||
3138M7GY5 | FNMA | 3.00 | 11/24/30 | 131,089 | 127,068 | |||||||
3138M7W27 | FNMA | 3.00 | 11/01/30 | 136,660 | 132,337 | |||||||
3138M93L3 | FNMA | 3.00 | 11/07/30 | 75,321 | 73,011 | |||||||
3138M9BU4 | FNMA | 3.00 | 12/06/30 | 803,279 | 776,101 | |||||||
3138MBAT3 | FNMA | 3.00 | 01/28/31 | 59,825 | 57,990 | |||||||
3138MC2V5 | FNMA | 3.00 | 12/20/30 | 119,109 | 115,455 | |||||||
3138MCFB5 | FNMA | 3.00 | 12/14/30 | 132,410 | 128,347 | |||||||
3138MCT46 | FNMA | 3.00 | 02/08/31 | 60,310 | 58,459 | |||||||
3138MDWE8 | FNMA | 3.00 | 11/25/30 | 59,912 | 58,074 | |||||||
3138MFNJ2 | FNMA | 3.00 | 12/03/30 | 88,874 | 86,148 |
Page 13
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3138MFPE1 | FNMA | 2.50 | 07/09/21 | 695,965 | 696,314 | |||||||
3138MFSR9 | FNMA | 3.50 | 04/28/31 | 1,480,368 | 1,490,334 | |||||||
3138MFTC1 | FNMA | 3.50 | 04/26/31 | 220,791 | 222,278 | |||||||
3138MFW37 | FNMA | 3.00 | 03/13/31 | 167,376 | 162,241 | |||||||
3138MFW52 | FNMA | 3.00 | 02/17/31 | 88,214 | 85,508 | |||||||
3138MGMC6 | FNMA | 3.00 | 01/24/31 | 187,754 | 181,992 | |||||||
3138MHKF9 | FNMA | 3.50 | 05/01/31 | 44,164 | 44,461 | |||||||
3138MHKP7 | FNMA | 3.00 | 01/25/31 | 73,084 | 70,841 | |||||||
3138MHKQ5 | FNMA | 3.00 | 01/18/31 | 127,453 | 123,421 | |||||||
3138MHXJ7 | FNMA | 3.00 | 03/02/31 | 53,702 | 52,054 | |||||||
3138MJ6T1 | FNMA | 3.00 | 01/06/31 | 104,261 | 101,062 | |||||||
3138MJGD5 | FNMA | 3.00 | 01/13/31 | 145,940 | 141,462 | |||||||
3138MJQU6 | FNMA | 3.00 | 12/04/30 | 140,307 | 136,003 | |||||||
3138MJXK0 | FNMA | 3.00 | 03/07/31 | 1,329,931 | 1,284,933 | |||||||
3138MKB70 | FNMA | 3.00 | 01/22/31 | 99,043 | 96,004 | |||||||
3138MKQH2 | FNMA | 3.00 | 04/14/31 | 317,509 | 307,764 | |||||||
3138ML5B6 | FNMA | 3.00 | 03/11/31 | 313,856 | 304,227 | |||||||
3138MLE67 | FNMA | 3.00 | 12/22/30 | 442,713 | 429,131 | |||||||
3138MLMY7 | FNMA | 3.00 | 01/16/31 | 55,664 | 53,956 | |||||||
3138MLTC8 | FNMA | 3.00 | 03/09/31 | 265,017 | 256,886 | |||||||
3138MMAB8 | FNMA | 3.00 | 03/27/31 | 288,422 | 279,573 | |||||||
3138MMCE0 | FNMA | 3.00 | 12/29/30 | 60,863 | 58,996 | |||||||
3138MMJ37 | FNMA | 3.00 | 01/09/31 | 102,686 | 99,536 | |||||||
3138MMKP6 | FNMA | 3.00 | 02/04/31 | 53,761 | 52,112 | |||||||
3138MMNW8 | FNMA | 3.00 | 12/23/30 | 244,069 | 236,581 | |||||||
3138MMY63 | FNMA | 3.00 | 11/13/30 | 162,594 | 157,605 | |||||||
3138MN5G1 | FNMA | 3.00 | 01/29/31 | 294,649 | 285,606 | |||||||
3138MNAT7 | FNMA | 3.00 | 01/13/31 | 83,937 | 81,362 | |||||||
3138MNJQ4 | FNMA | 3.00 | 01/23/31 | 75,906 | 73,577 | |||||||
3138MNQL7 | FNMA | 3.00 | 01/09/31 | 563,000 | 545,191 | |||||||
3138MNQP8 | FNMA | 3.00 | 01/11/31 | 440,418 | 426,906 | |||||||
3138MP2W4 | FNMA | 3.00 | 02/09/31 | 57,689 | 55,918 | |||||||
3138MPBU8 | FNMA | 3.00 | 01/13/31 | 128,839 | 124,886 | |||||||
3138MPDQ5 | FNMA | 3.00 | 02/19/31 | 225,914 | 218,983 | |||||||
3138MPZC2 | FNMA | 3.00 | 12/28/30 | 380,545 | 368,870 | |||||||
3138MQHG1 | FNMA | 3.00 | 01/18/31 | 119,779 | 116,104 | |||||||
3138MQJZ7 | FNMA | 3.00 | 03/21/31 | 211,127 | 204,650 | |||||||
3138MQM91 | FNMA | 3.00 | 04/05/31 | 306,603 | 297,197 | |||||||
3138MQTN3 | FNMA | 3.00 | 01/13/31 | 238,284 | 230,974 | |||||||
3138MQWF6 | FNMA | 3.00 | 11/24/30 | 51,775 | 50,187 | |||||||
3138MR5R8 | FNMA | 3.00 | 03/02/31 | 69,438 | 67,306 | |||||||
3138MRD24 | FNMA | 3.00 | 01/10/31 | 65,321 | 63,317 | |||||||
3138MRRX1 | FNMA | 3.00 | 01/08/31 | 207,714 | 201,341 | |||||||
3138MRTR2 | FNMA | 3.00 | 12/24/30 | 63,564 | 61,614 | |||||||
3138MRUJ8 | FNMA | 3.00 | 01/09/31 | 233,585 | 226,418 | |||||||
3138MRXV8 | FNMA | 3.00 | 02/13/31 | 131,969 | 127,918 | |||||||
3138MTD79 | FNMA | 4.50 | 06/14/31 | 403,258 | 432,495 | |||||||
3138NJAE8 | FNMA | 3.61 | 11/16/17 | 2,077,686 | 2,152,457 | |||||||
3138NJAK4 | FNMA | 3.42 | 10/09/17 | 2,950,946 | 3,078,194 | |||||||
3138NWVM8 | FNMA | 3.00 | 01/27/31 | 50,005 | 48,470 | |||||||
3138NXFU6 | FNMA | 3.00 | 02/23/31 | 437,833 | 424,395 | |||||||
3138NXRK5 | FNMA | 3.00 | 02/02/31 | 116,207 | 112,641 | |||||||
3138NYDM4 | FNMA | 3.00 | 02/13/31 | 80,114 | 77,656 | |||||||
3138NYEN1 | FNMA | 3.50 | 07/17/31 | 271,579 | 273,408 | |||||||
3138NYHT5 | FNMA | 3.00 | 01/25/31 | 92,278 | 89,447 | |||||||
3138NYQP3 | FNMA | 3.00 | 02/21/31 | 67,917 | 65,832 | |||||||
3138W02A6 | FNMA | 3.00 | 02/11/31 | 82,902 | 80,357 | |||||||
3138W02X6 | FNMA | 3.00 | 12/20/30 | 107,708 | 104,402 | |||||||
3138W0G60 | FNMA | 3.00 | 01/30/31 | 136,489 | 132,299 | |||||||
3138W0XW4 | FNMA | 3.00 | 01/07/31 | 322,987 | 313,078 | |||||||
3138W0YR4 | FNMA | 3.00 | 02/10/31 | 58,455 | 56,662 | |||||||
3138W17M3 | FNMA | 3.00 | 04/05/31 | 201,414 | 195,232 |
Page 14
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
3138W1LY1 | FNMA | 3.00 | 02/19/31 | 83,732 | 81,162 | |||||||
3138W3W90 | FNMA | 3.00 | 05/13/31 | 373,508 | 362,044 | |||||||
3138W4AP6 | FNMA | 3.00 | 06/30/31 | 161,980 | 157,009 | |||||||
3138W7WP5 | FNMA | 3.00 | 04/10/31 | 178,341 | 172,868 | |||||||
3138W9AS9 | FNMA | 3.00 | 06/06/31 | 199,999 | 193,228 | |||||||
3138W9GW4 | FNMA | 3.50 | 10/04/31 | 3,739,750 | 3,766,114 | |||||||
3138W9RL6 | FNMA | 2.50 | 01/16/22 | 2,385,103 | 2,385,555 | |||||||
3138WA6A0 | FNMA | 4.00 | 07/02/32 | 1,700,618 | 1,768,902 | |||||||
3138WASF5 | FNMA | 3.00 | 04/26/22 | 342,614 | 352,260 | |||||||
3138WMZ20 | FNMA | 2.50 | 03/01/28 | 4,638,232 | 4,639,111 | |||||||
3138WN7K9 | FNMA | 3.00 | 04/29/31 | 107,476 | 104,177 | |||||||
3138WNDF3 | FNMA | 3.50 | 09/06/31 | 2,824,611 | 2,847,159 | |||||||
3138WQA28 | FNMA | 3.00 | 06/02/31 | 999,390 | 965,556 | |||||||
3138WQA36 | FNMA | 3.00 | 06/03/31 | 1,290,492 | 1,246,802 | |||||||
3138WQM33 | FNMA | 3.00 | 04/07/31 | 48,531 | 47,042 | |||||||
3138WQNS7 | FNMA | 3.50 | 12/08/31 | 45,727 | 46,035 | |||||||
3138WQNW8 | FNMA | 3.50 | 08/30/31 | 572,856 | 570,121 | |||||||
3138WQNX6 | FNMA | 3.50 | 10/09/31 | 194,881 | 196,194 | |||||||
3138X0QR2 | FNMA | 2.50 | 12/15/21 | 943,987 | 944,165 | |||||||
3138X1ZV1 | FNMA | 3.00 | 07/09/31 | 826,690 | 798,702 | |||||||
3138X3EQ1 | FNMA | 3.50 | 10/17/31 | 1,877,187 | 1,890,421 | |||||||
3138X3X56 | FNMA | 4.50 | 08/13/32 | 401,065 | 428,905 | |||||||
3138X6WL5 | FNMA | 3.50 | 04/16/22 | 637,488 | 668,965 | |||||||
3138X6WT8 | FNMA | 2.50 | 02/02/22 | 584,476 | 584,586 | |||||||
3138X76Z1 | FNMA | 2.50 | 01/21/22 | 1,438,055 | 1,438,327 | |||||||
3138XBJ54 | FNMA | 3.50 | 04/29/22 | 199,834 | 209,674 | |||||||
3138XBQN7 | FNMA | 3.00 | 04/08/22 | 986,749 | 1,014,529 | |||||||
3138XDJ35 | FNMA | 3.50 | 04/25/22 | 39,341 | 41,279 | |||||||
3138XDNY2 | FNMA | 3.00 | 04/16/22 | 989,943 | 1,017,813 | |||||||
31391YV87 | FNMA | 6.00 | 07/16/25 | 1,258 | 1,419 | |||||||
31394PP72 | FHLMC_27-55 | 5.00 | 01/21/17 | 2,117,894 | 2,287,199 | |||||||
31400JM55 | FNMA | 5.50 | 08/26/25 | 672 | 752 | |||||||
31400QJ87 | FNMA | 2.23 | 06/10/24 | 16,671 | 17,860 | |||||||
31400RFH9 | FNMA | 5.50 | 07/22/25 | 11,548 | 12,858 | |||||||
31400YAL0 | FNMA | 5.50 | 08/14/25 | 61,227 | 68,177 | |||||||
31402C4H2 | FNMA | 5.50 | 04/07/26 | 2,711,724 | 3,019,544 | |||||||
31402CVP4 | FNMA | 5.50 | 02/26/26 | 121,656 | 135,466 | |||||||
31402DC73 | FNMA | 5.50 | 06/04/26 | 4,415,132 | 4,915,505 | |||||||
31402DCV0 | FNMA | 5.00 | 04/15/26 | 18,279 | 20,004 | |||||||
31402DJS0 | FNMA | 5.50 | 07/19/26 | 2,471,607 | 2,751,718 | |||||||
31402DP79 | FNMA | 5.50 | 09/03/26 | 64,501 | 71,811 | |||||||
31402EQ35 | FNMA | 4.50 | 06/20/25 | 10,850 | 11,630 | |||||||
31402GP98 | FNMA | 5.00 | 08/24/25 | 3,982 | 4,398 | |||||||
31402LQU9 | FNMA | 5.00 | 08/25/25 | 27,473 | 30,051 | |||||||
31402QSK8 | FNMA | 5.50 | 09/24/26 | 5,631 | 6,270 | |||||||
31402QSZ5 | FNMA | 5.50 | 09/21/26 | 20,950 | 23,324 | |||||||
31402QWA5 | FNMA | 5.50 | 10/12/26 | 7,729 | 8,605 | |||||||
31402QXK2 | FNMA | 8.50 | 10/25/24 | 350,226 | 382,949 | |||||||
31402QY39 | FNMA | 5.50 | 11/07/26 | 224,150 | 249,553 | |||||||
31402RDD8 | FNMA | 5.50 | 01/05/27 | 78,253 | 86,723 | |||||||
31402RF87 | FNMA | 5.00 | 12/09/26 | 1,197,541 | 1,310,537 | |||||||
31402RSA8 | FNMA | 5.50 | 04/24/27 | 7,989 | 8,854 | |||||||
31402RSN0 | FNMA | 5.00 | 03/12/27 | 693,630 | 758,135 | |||||||
31402UR87 | FNMA | 4.50 | 08/23/25 | 4,477,168 | 4,799,353 | |||||||
31402YSV7 | FNMA | 2.63 | 11/08/24 | 14,239 | 15,261 | |||||||
31403DC56 | FNMA | 4.50 | 11/03/17 | 939,341 | 996,173 | |||||||
31403DC72 | FNMA | 4.50 | 10/17/17 | 760,624 | 806,643 | |||||||
31403DD97 | FNMA | 5.50 | 07/07/27 | 12,929 | 14,328 | |||||||
31403DJG5 | FNMA | 5.50 | 06/29/26 | 10,969 | 12,212 | |||||||
31403DPP8 | FNMA | 5.50 | 02/14/27 | 47,135 | 52,477 | |||||||
31403DPR4 | FNMA | 5.50 | 11/21/27 | 95,570 | 105,402 | |||||||
31403FPC2 | FNMA | 4.50 | 08/16/25 | 2,159,369 | 2,314,760 |
Page 15
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
31403KDB6 | FNMA | 2.20 | 11/11/24 | 8,221 | 8,542 | |||||||
31403TTL8 | FNMA | 5.50 | 01/27/26 | 7,227 | 8,047 | |||||||
31404BPJ5 | FNMA | 4.00 | 08/25/25 | 158,335 | 164,827 | |||||||
31404DG28 | FNMA | 5.00 | 02/08/26 | 6,167 | 6,749 | |||||||
31404MAB4 | FNMA | 5.50 | 03/13/26 | 5,422 | 6,037 | |||||||
31404NBP0 | FNMA | 2.25 | 07/19/25 | 82,956 | 87,456 | |||||||
31404NHA7 | FNMA | 5.00 | 03/24/26 | 30,577 | 33,462 | |||||||
31404SFP5 | FNMA | 5.50 | 03/24/26 | 3,424 | 3,826 | |||||||
31405NQY4 | FNMA | 6.00 | 09/07/26 | 9,550 | 10,761 | |||||||
31405QNR5 | FNMA | 5.50 | 08/02/26 | 545 | 609 | |||||||
31405UMM8 | FNMA | 2.19 | 05/03/25 | 100,505 | 106,444 | |||||||
31405UTZ2 | FNMA | 2.11 | 05/10/25 | 23,683 | 25,020 | |||||||
31406BB90 | FNMA | 2.24 | 06/30/25 | 136,128 | 144,497 | |||||||
31406BEZ9 | FNMA | 2.22 | 06/10/25 | 126,126 | 133,733 | |||||||
31406BJF8 | FNMA | 2.21 | 06/26/25 | 128,295 | 137,179 | |||||||
31406BQQ6 | FNMA | 2.21 | 06/26/25 | 174,631 | 183,793 | |||||||
31406DG67 | FNMA | 2.42 | 06/18/25 | 541,854 | 569,792 | |||||||
31406EDN1 | FNMA | 5.00 | 08/25/26 | 12,053 | 13,203 | |||||||
31406HLF2 | FNMA | 6.00 | 01/22/27 | 80,472 | 89,753 | |||||||
31406MYP5 | FNMA | 2.00 | 07/03/25 | 218,994 | 230,218 | |||||||
31406RNA9 | FNMA | 6.00 | 07/07/27 | 2,733 | 3,048 | |||||||
31406TLC3 | FNMA | 2.44 | 09/18/25 | 263,423 | 279,628 | |||||||
31406TWR8 | FNMA | 1.83 | 05/08/25 | 813,588 | 847,767 | |||||||
31406VHE9 | FNMA | 2.36 | 09/26/25 | 148,945 | 156,570 | |||||||
31406YZV5 | FNMA | 5.00 | 01/26/27 | 19,926 | 21,779 | |||||||
31407ADE8 | FNMA | 5.50 | 09/24/26 | 19,549 | 21,765 | |||||||
31407CE29 | FNMA | 5.50 | 04/08/27 | 664 | 741 | |||||||
31407FG53 | FNMA | 5.50 | 03/05/27 | 1,054 | 1,177 | |||||||
31407FUW8 | FNMA | 2.35 | 11/16/25 | 2,676,781 | 2,772,111 | |||||||
31407LFM4 | FNMA | 4.50 | 11/18/26 | 11,976 | 12,807 | |||||||
31407RVX9 | FNMA | 4.50 | 01/28/27 | 12,973 | 13,873 | |||||||
31407UEZ6 | FNMA | 6.00 | 09/14/27 | 34,294 | 38,167 | |||||||
31407VS22 | FNMA | 5.00 | 02/22/27 | 19,201 | 20,987 | |||||||
31407YXM6 | FNMA | 5.50 | 03/08/27 | 32,774 | 36,488 | |||||||
31408AG53 | FNMA | 6.00 | 09/22/27 | 14,157 | 15,846 | |||||||
31408FYG8 | FNMA | 6.00 | 09/02/27 | 1,734 | 1,930 | |||||||
31408GFA0 | FNMA | 6.00 | 07/26/27 | 209,528 | 233,695 | |||||||
31409A5P0 | FNMA | 6.00 | 10/10/27 | 54,083 | 60,535 | |||||||
31409AYE3 | FNMA | 6.00 | 10/27/27 | 128,074 | 143,352 | |||||||
31409CRY3 | FNMA | 6.00 | 09/15/27 | 107,521 | 120,347 | |||||||
31409EJS1 | FNMA | 5.50 | 09/11/27 | 30,667 | 33,822 | |||||||
31409GML7 | FNMA | 6.50 | 03/08/28 | 333,966 | 373,555 | |||||||
31409JVL1 | FNMA | 6.00 | 12/27/27 | 272,536 | 303,317 | |||||||
31409UB38 | FNMA | 6.00 | 10/24/27 | 14,493 | 16,130 | |||||||
31409VYW7 | FNMA | 6.00 | 11/04/27 | 30,687 | 34,348 | |||||||
31409WAE1 | FNMA | 6.00 | 10/27/27 | 249,025 | 277,112 | |||||||
31410CJV5 | FNMA | 6.00 | 11/21/27 | 10,022 | 11,218 | |||||||
31410F3C7 | FNMA | 6.00 | 07/22/28 | 950,547 | 1,057,699 | |||||||
31410F5Y7 | FNMA | 6.00 | 09/24/28 | 400,000 | 445,177 | |||||||
31410FUS2 | FNMA | 5.50 | 03/27/28 | 31,856 | 35,134 | |||||||
31410FUZ6 | FNMA | 5.50 | 12/10/27 | 33,100 | 36,852 | |||||||
31410FVW2 | FNMA | 5.50 | 05/07/28 | 2,221 | 2,449 | |||||||
31410FYU3 | FNMA | 5.50 | 07/01/27 | 4,392,532 | 4,867,960 | |||||||
31410G2F9 | FNMA | 5.50 | 08/17/28 | 72,052 | 79,851 | |||||||
31410G2W2 | FNMA | 5.00 | 10/20/28 | 74,934 | 81,903 | |||||||
31410GBT9 | FNMA | 5.50 | 03/12/27 | 173,385 | 193,066 | |||||||
31410GCS0 | FNMA | 5.50 | 06/08/27 | 75,837 | 84,045 | |||||||
31410GD83 | FNMA | 2.42 | 04/10/25 | 44,168 | 47,587 | |||||||
31410GDF7 | FNMA | 1.79 | 08/18/24 | 190,584 | 203,423 | |||||||
31410GDL4 | FNMA | 2.32 | 10/10/25 | 720,947 | 752,143 | |||||||
31410GDN0 | FNMA | 2.34 | 10/13/24 | 132,649 | 140,181 | |||||||
31410GDP5 | FNMA | 2.38 | 12/22/25 | 1,716,282 | 1,807,859 |
Page 16
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
31410GDY6 | FNMA | 2.24 | 10/02/25 | 47,058 | 50,408 | |||||||
31410KDC5 | FNMA | 5.00 | 01/16/29 | 20,603 | 22,451 | |||||||
31410KEM2 | FNMA | 5.50 | 03/06/29 | 1,824,127 | 2,011,378 | |||||||
31410KLD4 | FNMA | 5.50 | 03/09/29 | 307,135 | 338,688 | |||||||
31410KME1 | FNMA | 4.50 | 04/14/28 | 1,872,647 | 2,007,406 | |||||||
31410KMQ4 | FNMA | 5.50 | 03/26/29 | 156,508 | 172,587 | |||||||
31410KNA8 | FNMA | 5.50 | 05/01/29 | 64,717 | 71,366 | |||||||
31410KS47 | FNMA | 5.50 | 06/12/27 | 4,943 | 5,503 | |||||||
31410KT95 | FNMA | 5.50 | 08/15/28 | 149,710 | 166,704 | |||||||
31410KU36 | FNMA | 5.00 | 04/01/29 | 11,605 | 12,646 | |||||||
31410KVW1 | FNMA | 5.50 | 08/09/28 | 16,125 | 17,956 | |||||||
31410KX74 | FNMA | 5.50 | 12/14/27 | 2,568,824 | 2,860,423 | |||||||
31410LBU5 | FNMA | 4.00 | 07/07/20 | 976,975 | 1,035,755 | |||||||
31410LC91 | FNMA | 5.50 | 03/10/31 | 841,966 | 928,464 | |||||||
31410LGW6 | FNMA | 5.50 | 08/07/29 | 22,146 | 24,656 | |||||||
31410MJ76 | FNMA | 5.50 | 04/14/27 | 12,959 | 14,361 | |||||||
31410MMX5 | FNMA | 6.00 | 11/10/27 | 205,434 | 229,940 | |||||||
31410NT24 | FNMA | 6.00 | 01/08/28 | 17,822 | 19,805 | |||||||
31410QR86 | FNMA | 5.50 | 03/15/28 | 81,592 | 89,986 | |||||||
31410RDL0 | FNMA | 6.00 | 02/22/28 | 24,159 | 26,887 | |||||||
31411A5M3 | FNMA | 5.50 | 04/02/28 | 5,163,052 | 5,694,219 | |||||||
31411A7C3 | FNMA | 5.50 | 04/10/28 | 1,317,032 | 1,452,526 | |||||||
31411E2F3 | FNMA | 5.50 | 05/05/28 | 8,521 | 9,398 | |||||||
31411EFN2 | FNMA | 5.50 | 04/06/28 | 140,277 | 154,708 | |||||||
31411KLN1 | FNMA | 5.50 | 06/03/28 | 113,233 | 124,857 | |||||||
31411NUT2 | FNMA | 5.50 | 03/15/28 | 129,701 | 143,015 | |||||||
31411VMN6 | FNMA | 5.50 | 05/01/28 | 3,366,316 | 3,711,876 | |||||||
31412DXY9 | FNMA | 5.50 | 04/23/28 | 15,818 | 17,446 | |||||||
31412ESY3 | FNMA | 6.00 | 06/14/28 | 26,799 | 29,996 | |||||||
31412MYZ5 | FNMA | 5.50 | 03/11/29 | 160,121 | 176,570 | |||||||
31412N6G6 | FNMA | 4.50 | 04/06/29 | 38,591 | 41,438 | |||||||
31412NXE1 | FNMA | 5.00 | 08/25/29 | 1,229,279 | 1,356,978 | |||||||
31412NZ33 | FNMA | 5.00 | 06/26/29 | 42,491 | 46,793 | |||||||
31412PBJ9 | FNMA | 4.50 | 09/05/19 | 10,375,427 | 11,086,074 | |||||||
31412PBN0 | FNMA | 4.00 | 01/29/29 | 234,819 | 244,207 | |||||||
31412PP88 | FNMA | 5.00 | 08/07/29 | 119,403 | 131,515 | |||||||
31412PRN3 | FNMA | 4.00 | 09/29/19 | 1,538,510 | 1,631,074 | |||||||
31412PXF3 | FNMA | 4.50 | 06/10/29 | 68,301 | 73,499 | |||||||
31412Q2V0 | FNMA | 4.50 | 11/21/29 | 2,331,766 | 2,509,207 | |||||||
31412QE70 | FNMA | 5.00 | 10/25/29 | 2,882,381 | 3,184,283 | |||||||
31412QKA6 | FNMA | 4.00 | 12/09/19 | 27,757 | 29,427 | |||||||
31412QPN3 | FNMA | 5.50 | 01/01/29 | 344,840 | 380,239 | |||||||
31412QPQ6 | FNMA | 6.00 | 09/18/27 | 397,970 | 443,871 | |||||||
31412QW70 | FNMA | 4.50 | 10/29/29 | 350,000 | 375,821 | |||||||
31412RAP2 | FNMA | 4.00 | 10/24/26 | 9,149 | 9,504 | |||||||
31412RG76 | FNMA | 4.00 | 04/09/20 | 1,692,632 | 1,797,298 | |||||||
31412RGG6 | FNMA | 5.00 | 04/13/30 | 297,232 | 328,109 | |||||||
31412RNY9 | FNMA | 4.00 | 04/13/30 | 64,088 | 66,682 | |||||||
31412TM26 | FNMA | 5.50 | 04/04/29 | 1,488,606 | 1,645,670 | |||||||
31412UEQ9 | FNMA | 4.50 | 08/17/29 | 336,154 | 361,484 | |||||||
31412URR3 | FNMA | 4.00 | 11/02/19 | 1,630,531 | 1,728,632 | |||||||
31413BTW1 | FNMA | 5.50 | 07/20/28 | 652,584 | 719,573 | |||||||
31413CLH0 | FNMA | 6.00 | 09/27/28 | 646,178 | 723,325 | |||||||
31413HKW7 | FNMA | 6.00 | 11/20/28 | 5,567 | 6,195 | |||||||
31413NY66 | FNMA | 6.00 | 12/19/28 | 666,341 | 744,192 | |||||||
31413R2P0 | FNMA | 6.00 | 02/26/29 | 379,694 | 425,025 | |||||||
31413TWV0 | FNMA | 5.50 | 12/22/28 | 97,525 | 107,536 | |||||||
31414ANH1 | FNMA | 5.50 | 12/19/28 | 155,661 | 171,640 | |||||||
31414GGE3 | FNMA | 4.50 | 08/23/28 | 53,178 | 56,731 | |||||||
31414HZ67 | FNMA | 5.50 | 11/20/28 | 52,221 | 57,582 | |||||||
31414NCH5 | FNMA | 6.00 | 11/23/29 | 103,904 | 116,302 | |||||||
31414NH31 | FNMA | 5.00 | 08/20/29 | 1,301,468 | 1,437,784 |
Page 17
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
31414NH49 | FNMA | 5.00 | 08/20/29 | 1,244,832 | 1,371,109 | |||||||
31414SL27 | FNMA | 5.00 | 12/15/28 | 204,640 | 222,995 | |||||||
31414SX81 | FNMA | 5.50 | 03/17/29 | 148,688 | 163,963 | |||||||
31414SZC0 | FNMA | 5.50 | 03/22/29 | 244,935 | 270,337 | |||||||
31415AZ79 | FNMA | 5.00 | 01/17/29 | 10,003 | 10,901 | |||||||
31415BCQ0 | FNMA | 5.50 | 05/15/29 | 78,734 | 86,977 | |||||||
31415P3Y2 | FNMA | 5.50 | 03/27/26 | 6,812 | 7,585 | |||||||
31415P3Z9 | FNMA | 5.50 | 04/01/26 | 14,257 | 15,875 | |||||||
31415SPY2 | FNMA | 6.00 | 11/26/29 | 10,301 | 11,464 | |||||||
31415SRP9 | FNMA | 5.50 | 07/17/29 | 73,151 | 80,666 | |||||||
31415WA60 | FNMA | 4.50 | 05/04/29 | 31,612 | 33,994 | |||||||
31415YLZ0 | FNMA | 4.00 | 11/04/19 | 634,192 | 672,348 | |||||||
31416AQ29 | FNMA | 4.00 | 11/03/19 | 127,999 | 135,700 | |||||||
31416BLD8 | FNMA | 5.50 | 08/13/28 | 42,835 | 47,471 | |||||||
31416BM70 | FNMA | 5.50 | 08/09/28 | 8,246,140 | 9,180,687 | |||||||
31416BMK1 | FNMA | 5.00 | 11/12/28 | 183,879 | 200,407 | |||||||
31416BN61 | FNMA | 5.50 | 12/10/27 | 53,163 | 59,188 | |||||||
31416BNB0 | FNMA | 5.50 | 03/05/27 | 47,954 | 53,397 | |||||||
31416BNG9 | FNMA | 5.50 | 11/08/26 | 171,036 | 190,451 | |||||||
31416BS90 | FNMA | 4.50 | 02/20/29 | 564,233 | 601,933 | |||||||
31416BTA6 | FNMA | 5.00 | 07/02/29 | 2,578,276 | 2,809,534 | |||||||
31416BTB4 | FNMA | 5.00 | 04/26/27 | 522,866 | 571,491 | |||||||
31416HY25 | FNMA | 5.00 | 06/15/29 | 261,138 | 284,749 | |||||||
31416JZM6 | FNMA | 5.00 | 06/18/29 | 1,009,200 | 1,106,175 | |||||||
31416LR57 | FNMA | 4.50 | 04/13/29 | 70,182 | 74,897 | |||||||
31416M5A8 | FNMA | 5.00 | 07/03/29 | 667,509 | 728,017 | |||||||
31416MLA0 | FNMA | 4.50 | 07/13/29 | 11,362 | 12,200 | |||||||
31416MTR5 | FNMA | 5.00 | 09/21/29 | 17,251 | 18,810 | |||||||
31416MVP6 | FNMA | 4.50 | 05/04/29 | 43,189 | 46,376 | |||||||
31416N5T5 | FNMA | 4.50 | 06/14/29 | 128,979 | 138,494 | |||||||
31416NRD6 | FNMA | 4.50 | 06/17/29 | 12,875 | 13,825 | |||||||
31416QJZ9 | FNMA | 5.00 | 08/25/29 | 58,307 | 64,414 | |||||||
31416QMS1 | FNMA | 4.00 | 10/15/19 | 398,931 | 422,933 | |||||||
31416RSJ3 | FNMA | 4.00 | 05/16/29 | 98,656 | 102,600 | |||||||
31416S6B2 | FNMA | 4.50 | 07/02/29 | 78,469 | 84,440 | |||||||
31416SD40 | FNMA | 4.50 | 07/08/29 | 70,593 | 75,965 | |||||||
31416SED9 | FNMA | 5.00 | 10/10/29 | 54,601 | 60,273 | |||||||
31416SLC3 | FNMA | 4.50 | 07/17/29 | 74,370 | 80,030 | |||||||
31416T5T2 | FNMA | 4.50 | 07/27/29 | 724,721 | 773,409 | |||||||
31416TAG4 | FNMA | 4.50 | 07/08/29 | 120,297 | 129,451 | |||||||
31416TAL3 | FNMA | 5.00 | 10/05/29 | 58,080 | 64,164 | |||||||
31416TE47 | FNMA | 4.50 | 07/27/29 | 76,305 | 81,935 | |||||||
31416TEE5 | FNMA | 4.50 | 07/28/29 | 105,189 | 113,193 | |||||||
31416TEF2 | FNMA | 4.50 | 07/23/29 | 67,727 | 72,724 | |||||||
31416TKG3 | FNMA | 5.00 | 09/02/29 | 72,306 | 79,817 | |||||||
31416WD66 | FNMA | 5.00 | 05/05/30 | 528,063 | 582,919 | |||||||
31416WFG2 | FNMA | 4.00 | 04/24/20 | 10,649 | 11,298 | |||||||
31416XKB5 | FNMA | 4.00 | 04/05/30 | 112,276 | 116,770 | |||||||
31416XXR6 | FNMA | 5.00 | 12/01/30 | 493,411 | 540,046 | |||||||
31416Y3T3 | FNMA | 4.00 | 11/05/30 | 1,529,215 | 1,591,126 | |||||||
31416YDN5 | FNMA | 4.00 | 06/26/30 | 22,714 | 23,623 | |||||||
31417ASC4 | FNMA | 4.00 | 11/16/30 | 179,069 | 186,239 | |||||||
31417ASD2 | FNMA | 4.00 | 11/16/30 | 875,579 | 910,640 | |||||||
31417CDE2 | FNMA | 3.50 | 01/20/31 | 1,408,128 | 1,417,609 | |||||||
31417CQQ1 | FNMA | 3.00 | 11/05/30 | 114,889 | 111,255 | |||||||
31417CQS7 | FNMA | 3.00 | 11/08/30 | 60,971 | 59,101 | |||||||
31417CS30 | FNMA | 3.50 | 03/24/31 | 345,823 | 348,153 | |||||||
31417CSH9 | FNMA | 3.00 | 11/04/30 | 1,898,299 | 1,838,249 | |||||||
31417CVV4 | FNMA | 4.00 | 08/15/31 | 239,488 | 249,081 | |||||||
31417D4F7 | FNMA | 3.00 | 12/28/30 | 803,888 | 778,458 | |||||||
31417DRG0 | FNMA | 3.50 | 04/24/31 | 2,127,352 | 2,141,675 | |||||||
31417ECE9 | FNMA | 3.00 | 12/27/30 | 1,619,401 | 1,568,173 |
Page 18
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
31417ECF6 | FNMA | 3.00 | 12/26/30 | 1,623,936 | 1,572,564 | |||||||
31417ECT6 | FNMA | 3.00 | 01/07/31 | 216,327 | 209,690 | |||||||
31417ENK3 | FNMA | 3.00 | 01/28/31 | 321,135 | 311,283 | |||||||
31417ESX0 | FNMA | 3.00 | 01/23/31 | 1,552,320 | 1,499,798 | |||||||
31417F4R6 | FNMA | 3.00 | 04/07/31 | 560,904 | 541,915 | |||||||
31417FL55 | FNMA | 2.50 | 09/11/21 | 153,355 | 153,384 | |||||||
31417GF35 | FNMA | 3.00 | 05/02/31 | 958,937 | 926,472 | |||||||
31417J2B5 | FNMA | 5.00 | 11/24/29 | 34,011 | 37,545 | |||||||
31417JSB7 | FNMA | 4.50 | 08/02/29 | 26,633 | 28,598 | |||||||
31417KUM7 | FNMA | 4.00 | 05/22/29 | 85,843 | 89,275 | |||||||
31417KXH5 | FNMA | 4.50 | 07/23/29 | 2,367,100 | 2,545,468 | |||||||
31417LLX1 | FNMA | 5.00 | 10/07/29 | 82,441 | 91,076 | |||||||
31417LUG8 | FNMA | 4.50 | 03/10/26 | 2,488,954 | 2,668,063 | |||||||
31417M2V4 | FNMA | 4.50 | 09/17/29 | 43,280 | 46,541 | |||||||
31417M2W2 | FNMA | 4.50 | 09/18/29 | 9,141 | 9,816 | |||||||
31417MFB4 | FNMA | 4.50 | 07/29/29 | 150,694 | 161,811 | |||||||
31417MPN7 | FNMA | 5.00 | 11/13/29 | 59,720 | 65,924 | |||||||
31417MQT3 | FNMA | 5.00 | 12/05/29 | 45,786 | 50,542 | |||||||
31417MTC7 | FNMA | 4.50 | 08/16/29 | 348,331 | 374,578 | |||||||
31417MVC4 | FNMA | 4.50 | 09/08/29 | 308,212 | 331,437 | |||||||
31417MYL1 | FNMA | 4.50 | 10/01/29 | 1,279,404 | 1,365,356 | |||||||
31417QS62 | FNMA | 4.00 | 12/24/19 | 8,773 | 9,301 | |||||||
31417SYT1 | FNMA | 4.50 | 09/27/29 | 64,719 | 69,494 | |||||||
31417UXN0 | FNMA | 4.00 | 03/02/20 | 43,139 | 45,765 | |||||||
31417VJS3 | FNMA | 4.50 | 10/16/29 | 10,842 | 11,641 | |||||||
31417VQR7 | FNMA | 4.00 | 08/16/29 | 372,110 | 387,007 | |||||||
31417VQT3 | FNMA | 4.50 | 12/06/29 | 1,247,785 | 1,341,809 | |||||||
31417VYY3 | FNMA | 4.00 | 03/03/20 | 127,428 | 135,187 | |||||||
31417Y3H8 | FNMA | 4.00 | 12/11/20 | 753,922 | 800,387 | |||||||
31417Y6F9 | FNMA | 4.00 | 11/16/30 | 42,730 | 44,441 | |||||||
31417YF44 | FNMA | 4.00 | 05/26/29 | 41,243 | 42,892 | |||||||
31417YXX0 | FNMA | 4.50 | 06/30/30 | 1,238,349 | 1,323,277 | |||||||
31418A7G7 | FNMA | 3.50 | 06/21/22 | 386,656 | 405,696 | |||||||
31418AEA2 | FNMA | 4.00 | 02/26/31 | 305,330 | 317,561 | |||||||
31418AKQ0 | FNMA | 4.00 | 08/20/31 | 390,637 | 406,285 | |||||||
31418ALS5 | FNMA | 3.50 | 04/08/31 | 2,536,632 | 2,553,710 | |||||||
31418AM96 | FNMA | 3.50 | 05/20/31 | 2,055,560 | 2,069,399 | |||||||
31418AQ35 | FNMA | 3.50 | 07/29/31 | 43,259 | 43,052 | |||||||
31418AR26 | FNMA | 3.50 | 08/29/31 | 249,302 | 248,112 | |||||||
31418MFF4 | FNMA | 4.50 | 12/05/26 | 2,535,382 | 2,717,833 | |||||||
31418MRL8 | FNMA | 5.50 | 08/19/28 | 11,533,038 | 12,781,323 | |||||||
31418MRR5 | FNMA | 5.50 | 11/01/26 | 219,781 | 244,730 | |||||||
31418MSR4 | FNMA | 5.50 | 12/30/29 | 241,412 | 266,213 | |||||||
31418MT44 | FNMA | 5.50 | 08/12/28 | 77,814 | 86,633 | |||||||
31418MT93 | FNMA | 4.50 | 12/09/29 | 1,028,592 | 1,097,695 | |||||||
31418MUL4 | FNMA | 4.50 | 10/25/29 | 473,913 | 508,875 | |||||||
31418PCP8 | FNMA | 5.00 | 08/03/30 | 188,072 | 205,507 | |||||||
31418QHC0 | FNMA | 4.50 | 12/27/29 | 12,092 | 12,913 | |||||||
31418RHE4 | FNMA | 4.00 | 04/06/20 | 159,924 | 169,662 | |||||||
31418RX22 | FNMA | 5.00 | 04/21/30 | 1,405,318 | 1,535,596 | |||||||
31418SJB6 | FNMA | 4.00 | 04/07/20 | 12,229 | 12,973 | |||||||
31418UCZ5 | FNMA | 4.00 | 04/23/20 | 68,048 | 72,192 | |||||||
31418UEE0 | FNMA | 4.50 | 02/24/30 | 980,793 | 1,047,406 | |||||||
31418UVY7 | FNMA | 4.00 | 05/11/20 | 135,451 | 143,699 | |||||||
31418UYE8 | FNMA | 4.00 | 03/19/29 | 19,851 | 20,620 | |||||||
31418VQY1 | FNMA | 4.00 | 01/27/30 | 66,219 | 68,870 | |||||||
31418VTJ1 | FNMA | 4.50 | 03/10/30 | 2,599,695 | 2,776,261 | |||||||
31418VYQ9 | FNMA | 4.50 | 04/11/30 | 4,207 | 4,493 | |||||||
31418W6Y1 | FNMA | 5.00 | 07/08/30 | 265,669 | 290,530 | |||||||
31418W7J3 | FNMA | 5.00 | 07/12/30 | 158,890 | 173,037 | |||||||
31419AG27 | FNMA | 4.00 | 01/29/30 | 18,991 | 19,752 | |||||||
31419ANB9 | FNMA | 4.00 | 02/21/30 | 99,746 | 103,739 |
Page 19
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
31419ANK9 | FNMA | 5.50 | 03/26/30 | 345,476 | 380,968 | |||||||
31419ARB5 | FNMA | 5.00 | 07/03/30 | 577,752 | 631,312 | |||||||
31419ARE9 | FNMA | 5.50 | 07/27/29 | 52,418 | 58,358 | |||||||
31419BW68 | FNMA | 4.00 | 01/30/30 | 92,979 | 96,702 | |||||||
31419DJY8 | FNMA | 4.00 | 06/13/20 | 2,107,400 | 2,235,723 | |||||||
31419DLW9 | FNMA | 4.00 | 02/11/30 | 101,407 | 105,466 | |||||||
31419EK40 | FNMA | 4.00 | 03/28/30 | 96,553 | 100,451 | |||||||
31419EU80 | FNMA | 5.00 | 07/12/30 | 230,303 | 252,716 | |||||||
31419EW70 | FNMA | 4.00 | 03/08/30 | 146,265 | 152,120 | |||||||
31419FCP9 | FNMA | 4.00 | 12/09/20 | 303,710 | 322,428 | |||||||
31419FEM4 | FNMA | 4.50 | 05/24/30 | 1,447,276 | 1,545,572 | |||||||
31419FFW1 | FNMA | 4.00 | 03/11/30 | 49,522 | 51,504 | |||||||
31419FSH0 | FNMA | 4.00 | 08/22/20 | 28,581 | 30,321 | |||||||
31419G2T0 | FNMA | 4.00 | 02/20/30 | 22,677 | 23,585 | |||||||
31419H6Y3 | FNMA | 4.00 | 02/26/30 | 36,713 | 38,183 | |||||||
31419HBS0 | FNMA | 4.00 | 02/24/30 | 99,203 | 103,174 | |||||||
31419HVP4 | FNMA | 4.00 | 03/10/30 | 135,714 | 141,147 | |||||||
31419JLP1 | FNMA | 4.00 | 02/16/30 | 111,572 | 116,039 | |||||||
31419KR49 | FNMA | 4.00 | 02/27/30 | 47,033 | 48,916 | |||||||
31419L5A7 | FNMA | 4.00 | 03/02/30 | 212,465 | 220,968 | |||||||
31419LZ63 | FNMA | 4.00 | 03/06/30 | 67,901 | 70,619 | |||||||
36176ABB4 | GNMA | 3.50 | 07/13/30 | 227,845 | 232,887 | |||||||
36176FUE6 | GNMA | 3.50 | 10/14/30 | 97,832 | 99,997 | |||||||
36176MA29 | GNMA | 4.00 | 09/06/30 | 286,854 | 301,860 | |||||||
36176QLG7 | GNMA | 2.50 | 06/10/21 | 1,634,541 | 1,647,842 | |||||||
36176QPR9 | GNMA | 3.50 | 07/13/30 | 445,775 | 455,640 | |||||||
36176R7D8 | GNMA | 3.50 | 07/13/30 | 835,479 | 853,980 | |||||||
36176V5Q2 | GNMA | 3.50 | 11/04/30 | 37,205 | 38,028 | |||||||
36176WGG0 | GNMA | 3.50 | 09/03/30 | 956,026 | 977,183 | |||||||
36176XCT4 | GNMA | 3.50 | 10/14/30 | 1,105,118 | 1,129,575 | |||||||
36176XEZ8 | GNMA | 2.50 | 03/16/21 | 504,645 | 508,751 | |||||||
36177NXQ8 | GNMA | 3.50 | 11/04/30 | 297,928 | 304,522 | |||||||
36177R5R8 | GNMA | 3.50 | 11/04/30 | 1,210,115 | 1,236,912 | |||||||
36177RXF3 | GNMA | 3.50 | 09/24/30 | 2,950,688 | 3,015,989 | |||||||
36177S3E7 | GNMA | 3.50 | 10/14/30 | 1,838,098 | 1,878,776 | |||||||
36177X2H0 | GNMA | 2.50 | 04/19/21 | 1,219,236 | 1,229,157 | |||||||
36177YR32 | GNMA | 2.50 | 05/06/21 | 733,101 | 739,066 | |||||||
36178CHK2 | GNMA | 3.00 | 11/30/30 | 4,249,170 | 4,189,407 | |||||||
36178GHC1 | GNMA | 2.50 | 05/23/21 | 405,591 | 408,891 | |||||||
36178QYX4 | GNMA | 3.00 | 12/02/30 | 175,656 | 163,241 | |||||||
36178TPE0 | GNMA | 4.00 | 09/24/31 | 74,964 | 78,890 | |||||||
36179A3K0 | GNMA | 3.00 | 11/30/30 | 9,276,051 | 9,145,586 | |||||||
36179MC24 | GNMA | 4.00 | 06/10/31 | 485,966 | 511,409 | |||||||
36179ME48 | GNMA | 4.00 | 07/01/31 | 369,560 | 388,908 | |||||||
36179MNG1 | GNMA | 3.00 | 11/01/30 | 407,652 | 402,181 | |||||||
36179MQP8 | GNMA | 3.50 | 06/04/31 | 861,405 | 880,694 | |||||||
36179MVQ0 | GNMA | 2.50 | 10/03/30 | 57,010 | 53,933 | |||||||
36179MVR8 | GNMA | 3.00 | 03/20/31 | 926,182 | 913,750 | |||||||
36179N2K3 | GNMA | 4.00 | 03/07/32 | 299,408 | 315,200 | |||||||
36179NA99 | GNMA | 2.50 | 02/11/31 | 386,846 | 365,577 | |||||||
36180MYG6 | GNMA | 3.00 | 02/06/31 | 956,962 | 943,214 | |||||||
36202F4S2 | GNMA | 4.50 | 08/14/31 | 747,446 | 808,031 | |||||||
36202FXC5 | GNMA | 4.50 | 12/27/30 | 300,435 | 324,786 | |||||||
36202FZY5 | GNMA | 4.00 | 11/16/30 | 839,427 | 883,557 | |||||||
36202FZZ2 | GNMA | 4.50 | 03/14/31 | 841,647 | 909,867 | |||||||
36206XC43 | GNMA | 7.00 | 08/28/24 | 854 | 993 | |||||||
3620A9SW2 | GNMA | 4.50 | 06/02/29 | 336,642 | 365,183 | |||||||
3620ARBK6 | GNMA | 5.50 | 11/02/28 | 339,114 | 376,001 | |||||||
3620C04Y1 | GNMA | 4.50 | 04/03/30 | 1,087,719 | 1,175,923 | |||||||
3620C1WV4 | GNMA | 3.50 | 09/24/30 | 2,742,772 | 2,803,472 | |||||||
36210B5G6 | GNMA | 5.00 | 08/13/29 | 503,844 | 554,225 | |||||||
36212PPP1 | GNMA | 7.00 | 08/06/24 | 8,399 | 9,768 |
Page 20
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
36212U5G2 | GNMA | 7.00 | 08/28/24 | 8,013 | 9,319 | |||||||
36213HGU7 | GNMA | 7.00 | 07/15/24 | 1,536 | 1,787 | |||||||
36225DM43 | GNMA | 1.63 | 05/28/25 | 7,841,031 | 8,176,472 | |||||||
36230PCQ1 | GNMA | 2.50 | 02/25/21 | 1,042,570 | 1,051,054 | |||||||
36230PCY4 | GNMA | 3.50 | 06/04/30 | 218,275 | 223,106 | |||||||
36230RVV5 | GNMA | 3.50 | 12/10/29 | 8,744,070 | 8,944,411 | |||||||
36241KL71 | GNMA | 5.50 | 05/27/28 | 80,184 | 88,967 | |||||||
36241KWJ3 | GNMA | 6.00 | 08/25/29 | 485,999 | 546,674 | |||||||
36241KZ68 | GNMA | 5.00 | 07/01/29 | 268,062 | 294,771 | |||||||
36241LG59 | GNMA | 5.50 | 07/11/30 | 383,931 | 425,627 | |||||||
36241LY91 | GNMA | 3.50 | 07/23/30 | 307,307 | 314,108 | |||||||
36291YJZ1 | GNMA | 6.00 | 01/22/28 | 2,607 | 2,942 | |||||||
36296QL49 | GNMA | 5.00 | 07/22/29 | 776,402 | 854,036 | |||||||
36296QRY7 | GNMA | 5.00 | 08/13/29 | 301,621 | 331,780 | |||||||
36297FYL0 | GNMA | 4.50 | 06/22/29 | 69,350 | 75,229 | |||||||
666,845,604 | 701,997,227 | |||||||||||
Non Agency RMBS | ||||||||||||
00935WAA7 | AIREM_06-1A | 0.45 | 10/23/20 | 1,556,196 | 1,503,752 | |||||||
02660UAE0 | AHMA_06-3 | 1.07 | 06/14/26 | 9,057,207 | 6,530,309 | |||||||
05948X6X4 | BANK OF AMERICA MTG SEC | 4.75 | 08/07/16 | 1,310,709 | 1,346,021 | |||||||
07384MWF5 | BSARM_04-10 | 2.76 | 11/18/20 | 18,512 | 18,524 | |||||||
12627HAU4 | CSAB_06-2 | 0.40 | 07/05/21 | 6,713,133 | 3,599,387 | |||||||
12667FFN0 | CWALT_04-J4 | 0.73 | 07/30/17 | 5,704,383 | 5,468,273 | |||||||
12667GN58 | CWALT_05-27 | 1.69 | 11/26/20 | 3,476,837 | 2,929,530 | |||||||
22541QUJ9 | CS FIRST BOSTON MORTGAGE SECUR | 2.80 | 10/09/23 | 102,454 | 102,524 | |||||||
2254582H0 | CSFB_05-8 | 7.00 | 09/09/22 | 3,245,617 | 2,235,795 | |||||||
232434AE0 | CWALT_06-OC8 | 0.40 | 07/16/28 | 18,182,594 | 7,588,287 | |||||||
23245GAD3 | CWALT_06-OC9 | 0.40 | 06/24/23 | 4,612,904 | 1,970,753 | |||||||
25151AAG6 | DBALT | 0.43 | 06/07/21 | 12,270,708 | 8,030,638 | |||||||
38741YCA5 | GRANITE MASTER ISSUER PLC GRAN | 0.24 | 10/19/16 | 1,759,744 | 1,737,483 | |||||||
40431HAJ6 | HALO | 0.45 | 04/07/20 | 4,132,078 | 1,376,676 | |||||||
449670EQ7 | IMC HOME EQUITY LOAN TRUST | 6.84 | 03/14/23 | 53,507 | 52,968 | |||||||
456687AC6 | INDX_07-FL4 | 0.33 | 06/07/19 | 2,422,356 | 2,197,929 | |||||||
45668WAC1 | INX | 0.40 | 10/14/24 | 5,000,000 | 2,813,525 | |||||||
466306AA5 | JPALT_08-R2 | 6.00 | 10/22/20 | 3,162,709 | 2,648,398 | |||||||
525221HA8 | LXS | 0.41 | 09/02/24 | 3,323,502 | 2,462,888 | |||||||
52524HAJ9 | LXS | 0.88 | 07/29/17 | 2,275,838 | 1,989,888 | |||||||
55027WAA0 | LUM_07-2 | 0.38 | 07/12/21 | 3,179,611 | 2,162,921 | |||||||
576433QQ2 | MARM_04-8 | 1.67 | 07/01/20 | 1,179,444 | 1,079,686 | |||||||
589929W53 | MLMI | 2.49 | 03/19/21 | 127,503 | 128,407 | |||||||
62889EAA3 | NGN_11-R3 | 0.56 | 10/14/16 | 1,090,624 | 1,094,769 | |||||||
76110H2P3 | RES ASSET SEC | 3.02 | 01/01/20 | 1,048,170 | 689,863 | |||||||
761118QM3 | RALI | 1.13 | 07/15/22 | 3,493,791 | 2,481,262 | |||||||
863579J90 | SARM | 2.38 | 11/15/19 | 8,679,724 | 6,413,440 | |||||||
863579KY3 | SARM | 2.52 | 05/01/20 | 2,123,561 | 2,010,760 | |||||||
86359BGD7 | SASC_04-15 | 2.50 | 06/09/19 | 91,796 | 92,930 | |||||||
86359LQM4 | STRUCTURED ASSET MORTGAGE INV | 2.28 | 08/13/22 | 2,869,575 | 2,307,646 | |||||||
86359LT$4 | STRUCTURED ASSET MORTGAGE INV | 0.38 | 01/22/22 | 11,765,795 | 9,256,257 | |||||||
86361XA$7 | SAMI_06-AR8 | 0.28 | 09/16/21 | 4,494,702 | 3,432,721 | |||||||
92922F4P0 | WAMU | 0.93 | 10/05/20 | 4,416,517 | 4,251,458 | |||||||
92922FB49 | WASHINGTON MUTUAL | 0.55 | 02/11/19 | 270,240 | 258,430 | |||||||
92922FZF8 | WAMU_04-A12 | 0.58 | 11/21/18 | 4,912,839 | 4,673,628 | |||||||
93934FMA7 | WASHINGTON MUTUAL MORTGAGE PAS | 0.75 | 06/19/19 | 4,562,095 | 3,327,492 | |||||||
93936RAA2 | WAL | 0.97 | 06/08/24 | 7,016,984 | 5,455,312 | |||||||
94982BAG5 | WFMBS | 2.64 | 11/15/18 | 2,646,469 | 2,690,832 | |||||||
Z914HKQ87 | GFUND_11-1 | 1.97 | 06/10/17 | 3,413,081 | 5,761,814 | |||||||
Z91884AW8 | ALBA_12-1 | 2.77 | 03/18/18 | 175,019 | 298,133 | |||||||
Z918LYN78 | LEOFR 12-1 | 2.22 | 08/27/15 | 260,931 | 442,093 | |||||||
Z918R3ZX0 | DARROWBY NO 1 PLC | 2.22 | 10/06/15 | 290,425 | 492,358 | |||||||
156,489,882 | 115,405,762 | |||||||||||
CMBS | ||||||||||||
05357HAA8 | AVMT_13-AVM | 3.87 | 12/07/20 | 6,200,000 | 6,452,278 |
Page 21
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
055236AA1 | BAMLL_11-07C1 | 5.38 | 08/12/15 | 5,737,513 | 5,989,103 | |||||||
059500AD0 | BACM | 5.89 | 05/19/15 | 14,269,943 | 15,432,658 | |||||||
05950VAE0 | BACM | 5.36 | 10/26/16 | 2,400,000 | 2,551,776 | |||||||
05950WAF5 | BANC OF AMERICA | 5.63 | 05/02/15 | 4,500,000 | 4,868,235 | |||||||
059511AF2 | BACM_07-2 | 5.55 | 09/25/15 | 1,246,159 | 1,367,921 | |||||||
059511AH8 | BACM | 5.61 | 05/10/18 | 2,550,000 | 2,817,725 | |||||||
07387BEB5 | BSCMS | 5.41 | 03/15/15 | 2,500,000 | 2,623,025 | |||||||
07388NAE6 | BEAR STEARNS COMMERCIAL MORTGA | 5.54 | 06/22/15 | 2,493,042 | 2,722,652 | |||||||
07388NAG1 | BEAR STEARNS COMMERCIAL MORTGA | 5.60 | 06/09/31 | 8,025,000 | 7,619,521 | |||||||
07388PAE1 | BSCMS | 5.20 | 12/02/15 | 2,380,000 | 2,597,127 | |||||||
07401DAE1 | BSCMS_07-PW18 | 5.60 | 02/19/16 | 10,118,288 | 11,312,145 | |||||||
12513EAG9 | CD_07-CD4 | 5.22 | 11/30/14 | 797,904 | 837,735 | |||||||
12513XAH5 | CITIGROUP/DEUTSCHE BANK COMMER | 5.39 | 02/16/16 | 19,800,000 | 18,167,094 | |||||||
12513YAF7 | CD_07-CD4 | 5.32 | 05/11/16 | 2,800,000 | 3,064,348 | |||||||
12513YAG5 | CD_07-CD4 | 5.29 | 09/11/15 | 6,564,730 | 7,146,825 | |||||||
12527EAB4 | CFCRE COMMERCIAL MORTAGE TRUST | 3.76 | 08/15/15 | 535,000 | 559,487 | |||||||
12591KAF2 | COMM_13-CR12 | 1.44 | 01/25/19 | 15,352,855 | 1,393,149 | |||||||
12591TAQ9 | COMM_14-LC15 | 5.11 | 03/11/24 | 1,080,000 | 959,321 | |||||||
12591VAF8 | COMM_14-CR16 | - | 05/09/19 | 20,000,000 | 1,622,806 | |||||||
126192AE3 | COMM_12-LC4 | 4.06 | 10/26/21 | 1,000,000 | 1,038,630 | |||||||
12622DAA2 | COMM_10-C1 | 3.16 | 11/04/15 | 8,863,663 | 9,086,673 | |||||||
12624KAE6 | COMM | 1.93 | 05/09/18 | 36,833,820 | 3,963,687 | |||||||
12624XAC2 | COMM_13-CR6 | 2.62 | 08/17/20 | 750,000 | 735,720 | |||||||
12626GAF0 | COMM_13-LC13 | 4.21 | 04/11/23 | 400,000 | 418,328 | |||||||
14986DAJ9 | CITIGROUP/DEUTSCHE BANK COMMER | 5.69 | 11/18/20 | 3,150,000 | 3,024,819 | |||||||
17310MAE0 | CITIGROUP | 5.43 | 02/17/16 | 2,026,000 | 2,209,859 | |||||||
17311QBL3 | CGCMT_07-C6 | 5.69 | 11/10/15 | 5,805,624 | 6,441,049 | |||||||
17318UAD6 | CITIGROUP COMMERCIAL MORTGAGE | 3.02 | 11/12/20 | 500,000 | 488,015 | |||||||
17320DAG3 | CGCMT_13-GC11 | 3.09 | 11/26/22 | 8,200,000 | 7,936,042 | |||||||
17321JAJ3 | CGCMT_13-GC15 | 1.30 | 02/26/19 | 23,723,326 | 1,714,485 | |||||||
17321RAD8 | CITIGROUP COMMERCIAL MORTGAGE | 4.13 | 07/25/23 | 250,000 | 260,485 | |||||||
190749AE1 | CWCAPITAL COBALT | 5.22 | 07/10/15 | 4,959,306 | 5,320,293 | |||||||
19075CAD5 | CWCI | 5.48 | 09/13/15 | 3,149,265 | 3,457,011 | |||||||
19075DAF8 | CWCI_07-C3 | 5.77 | 11/15/15 | 4,318,379 | 4,740,328 | |||||||
20047EAJ1 | COMM | 5.38 | 12/12/16 | 16,890,000 | 16,725,238 | |||||||
20047QAE5 | COMM | 5.77 | 04/18/15 | 3,823,923 | 4,151,289 | |||||||
20173QAE1 | GCCFC | 5.44 | 02/12/17 | 6,000,000 | 6,573,240 | |||||||
20173WAE8 | CMLT | 6.21 | 12/30/15 | 2,500,000 | 2,769,475 | |||||||
22545BAD3 | CSMC_06-C2 | 5.64 | 03/30/15 | 3,521,201 | 3,799,587 | |||||||
22545DAD9 | CREDIT SUISSE MORTGAGE CAPITAL | 5.79 | 03/30/15 | 13,420,575 | 14,543,206 | |||||||
22545LAD1 | CREDIT SUISSE MORTGAGE CAPITAL | 5.31 | 07/25/15 | 3,000,000 | 3,250,050 | |||||||
22545LAH2 | CREDIT SUISSE MORTGAGE CAPITAL | 5.37 | 12/15/16 | 25,178,000 | 23,416,295 | |||||||
22545RAB2 | CSMC | 0.33 | 07/01/14 | 479,256 | 477,248 | |||||||
22545YAE1 | CSMC_07-C2 | 5.53 | 09/30/15 | 4,566,922 | 4,916,063 | |||||||
22546BAF7 | CSMC | 5.70 | 12/05/18 | 3,212,000 | 3,544,538 | |||||||
225470AR4 | CSFB | 5.10 | 09/01/15 | 750,000 | 791,820 | |||||||
233050AN3 | DBUBS_11-LC1 | 3.74 | 02/13/16 | 1,393,131 | 1,457,884 | |||||||
23306AAA8 | DBRR_12-EZ1 | 0.95 | 06/03/14 | 1,069,036 | 1,069,089 | |||||||
3136A56W1 | FNMA | 2.98 | 12/18/17 | 1,700,000 | 1,688,024 | |||||||
3136A7MJ8 | FNMA_12-M8 | 1.52 | 09/23/15 | 2,000,000 | 1,995,090 | |||||||
3136A7MK5 | FNMA_12-M8 | 1.80 | 06/14/18 | 2,100,000 | 2,063,090 | |||||||
3136A9MN5 | FNMA | 2.30 | 02/22/18 | 200,000 | 188,259 | |||||||
3137ARPY6 | FHMS_19-K710 | 1.88 | 03/25/19 | 10,700,000 | 10,586,773 | |||||||
3137ATRW4 | FHLMC | 2.37 | 04/05/22 | 5,000,000 | 4,793,790 | |||||||
3137AUPF0 | FHLMC_K021 | 1.51 | 06/26/18 | 34,756,110 | 3,337,629 | |||||||
3137B2HN3 | FHLMC_13-HN | 3.11 | 01/11/23 | 16,000,000 | 15,976,640 | |||||||
36192BAA5 | GSMSCII_12-GC6 | 2.16 | 03/20/18 | 14,776,819 | 1,720,598 | |||||||
36192KAW7 | GNMA | 2.59 | 08/16/18 | 18,342,791 | 2,309,651 | |||||||
36192PAJ5 | GS MORTGAGE SECURITIES CORPORA | 2.77 | 05/11/22 | 500,000 | 477,380 | |||||||
36197XAK0 | GS MORTGAGE SECURITIES TRUST G | 3.14 | 01/25/23 | 250,000 | 242,295 | |||||||
36198EAE5 | GSMS_13-GC13 | 4.04 | 02/25/23 | 600,000 | 628,548 | |||||||
36252RAT6 | GSMS_14-GC18 | 1.31 | 04/03/19 | 24,300,044 | 2,008,593 |
Page 22
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
396789LL1 | GCCFC | 5.22 | 11/25/14 | 2,400,000 | 2,515,728 | |||||||
46625YA37 | JPMCC | 5.50 | 01/27/16 | 5,100,000 | 4,958,669 | |||||||
46625YXT5 | JPMCC | 5.28 | 10/15/15 | 4,000,000 | 4,279,000 | |||||||
46629GAE8 | JPMCC | 5.55 | 05/12/15 | 13,525,288 | 14,606,364 | |||||||
46629PAC2 | JPMCC | 5.34 | 09/11/15 | 1,900,000 | 2,074,363 | |||||||
46629PAD0 | JPMCC_06-LDP9 | 5.26 | 08/27/15 | 2,901,780 | 3,086,739 | |||||||
46629YAH2 | JP MORGAN CHASE COMMERICAL MOR | 5.50 | 02/26/17 | 22,975,154 | 22,762,381 | |||||||
46630EAC4 | JPMCC | 5.43 | 08/11/15 | 1,334,510 | 1,442,285 | |||||||
46630JAC3 | JP MORGAN CHASE COMMERCIAL MOR | 5.42 | 05/06/16 | 6,250,000 | 6,854,500 | |||||||
46632HAD3 | JPMCC | 5.88 | 02/02/17 | 2,100,000 | 2,341,521 | |||||||
46635GAA8 | JPMCC_2010-C2 | 2.75 | 12/12/15 | 529,467 | 544,345 | |||||||
46636VAC0 | JPMCC_11-C5 | 4.17 | 03/09/19 | 1,000,000 | 1,060,880 | |||||||
46637WAD5 | JPMCC_12-CBX | 3.48 | 10/16/21 | 750,000 | 756,743 | |||||||
52108MFS7 | LBUBS | 5.66 | 03/15/15 | 705,905 | 756,038 | |||||||
52108MFT5 | LBUBS_06-C3 | 5.64 | 03/15/15 | 4,283,186 | 4,629,481 | |||||||
55312VAD0 | MLCFC_06-4 | 5.17 | 07/22/15 | 1,900,000 | 2,045,597 | |||||||
55312YAH5 | MERRIL LYNCH COUNTRYWIDE | 5.45 | 02/13/17 | 21,050,000 | 18,825,520 | |||||||
55312YAR3 | MERRIL LYNCH COUNTRYWIDE | 5.45 | 02/12/17 | 4,600,000 | 4,163,060 | |||||||
55312YBD3 | MERRIL LYNCH COUNTRYWIDE | 0.58 | 01/27/18 | 69,076,313 | 1,056,177 | |||||||
617451AF6 | MORGAN STANLEY CAPITAL I MSCI_ | 5.23 | 11/18/14 | 284,545 | 296,920 | |||||||
617458AC8 | MORGAN STANLEY CAPITAL | 3.88 | 12/30/15 | 3,500,000 | 3,653,545 | |||||||
617459AD4 | MORGAN STANLEY CAPITAL I | 4.66 | 11/01/20 | 800,000 | 869,960 | |||||||
61745M5G4 | MSC | 4.89 | 11/14/14 | 497,369 | 517,432 | |||||||
61745ML43 | MSC | 5.27 | 05/28/14 | 1,179,839 | 1,186,753 | |||||||
61750CAF4 | MSC_06-HQ9 | 5.73 | 04/04/15 | 2,208,163 | 2,396,453 | |||||||
61750WAX1 | MSC | 5.33 | 06/24/15 | 1,715,906 | 1,859,459 | |||||||
61753JAG4 | MSC_07-IQ13 | 5.44 | 11/16/15 | 14,160,000 | 13,852,162 | |||||||
61761DAB8 | MSBAM_12-C6 | 1.87 | 07/27/17 | 550,000 | 549,918 | |||||||
61763BAV6 | MSBAM_13-C13 | 1.25 | 01/12/19 | 19,465,524 | 1,542,643 | |||||||
62888XAC8 | NCUA | 2.65 | 06/15/15 | 8,957,331 | 9,184,937 | |||||||
78408XAF8 | SCGT_13-SRP1 | 3.41 | 11/26/16 | 6,500,000 | 6,500,566 | |||||||
90269CAD2 | UBS-BARCLAYS COMMERCIAL MORTGA | 3.53 | 01/10/22 | 350,000 | 351,656 | |||||||
90270YBF5 | UBSBCMT_13-C5 | 3.18 | 09/05/22 | 500,000 | 486,540 | |||||||
90349DAJ1 | COMMERCIAL MORTGAGE PASS-THROU | 2.16 | 06/25/18 | 6,580,442 | 787,705 | |||||||
90349GAS4 | UBSBB_13-C6 | 4.35 | 04/10/23 | 9,330,000 | 8,151,994 | |||||||
92890NAU3 | WFRBS_12-C10 | 2.88 | 07/30/22 | 500,000 | 479,325 | |||||||
92930RAF9 | WFRBS_12-C9 | 2.25 | 07/21/18 | 6,430,039 | 779,706 | |||||||
92935JBC8 | WF-RBS_11-C2 | 4.87 | 12/15/20 | 750,000 | 825,300 | |||||||
92936TAB8 | WF-RBS COMMERCIAL MORTGAGE TRU | 3.43 | 01/16/22 | 500,000 | 502,090 | |||||||
92937EAD6 | WF-RBS COMMERCIAL MORTGAGE TRU | 3.04 | 08/15/22 | 319,000 | 309,079 | |||||||
92976BDT6 | WBCMT | 5.42 | 01/15/15 | 3,051,708 | 3,227,242 | |||||||
92976BLJ9 | WBCMT | 0.24 | 03/31/14 | 690,628 | 684,382 | |||||||
92976VAF5 | WBCMT | 5.72 | 01/01/16 | 1,500,000 | 1,634,685 | |||||||
92977QAH1 | WBCMT | 5.83 | 07/30/16 | 14,939,886 | 14,865,261 | |||||||
92977RAD8 | WACHOVIA BANK COMMERCIAL MORTG | 6.01 | 05/07/15 | 1,250,000 | 1,364,137 | |||||||
92978MAJ5 | WBCMT_06-C28 | 5.63 | 10/17/16 | 10,250,000 | 10,285,486 | |||||||
92978QAJ6 | WBCMT | 5.41 | 02/16/29 | 13,564,000 | 13,665,933 | |||||||
92978QBX4 | WBCMT_07-C30 | 0.16 | 02/16/29 | 29,757,187 | 401,186 | |||||||
94988HAC5 | WFCM_12-LC5 | 2.92 | 02/25/20 | 325,000 | 313,489 | |||||||
777,097,792 | 486,727,071 | |||||||||||
Corporate Debt Securities - Financials | ||||||||||||
00084DAG5 | ABN AMRO BANK NV | 2.50 | 10/30/18 | 7,000,000 | 6,980,980 | |||||||
001055AH5 | AFLAC INC | 2.65 | 02/15/17 | 250,000 | 259,985 | |||||||
00163MAL8 | PROLOGIS LP | 4.50 | 08/15/17 | 250,000 | 268,920 | |||||||
002799AL8 | ABBEY NATIONAL TREASURY SERVIC | 3.05 | 08/23/18 | 7,900,000 | 8,125,157 | |||||||
002799AM6 | ABBEY NATIONAL TREASURY SERVIC | 1.38 | 03/13/17 | 3,600,000 | 3,600,486 | |||||||
00448MAA9 | ACHMEA HYPOTHEEKBANK N.V. - LT | 3.20 | 11/03/14 | 34,000,000 | 34,551,381 | |||||||
025816AW9 | AMERICAN EXPRESS COMPANY | 5.50 | 09/12/16 | 4,000,000 | 4,409,494 | |||||||
025816BG3 | AMERICAN EXPRESS COMPANY | 1.55 | 05/22/18 | 6,650,000 | 6,509,998 | |||||||
0258M0DA4 | AMERICAN EXPRESS CREDIT CORPOR | 2.75 | 09/15/15 | 11,500,000 | 11,843,863 | |||||||
0258M0DD8 | AMERICAN EXPRESS CREDIT CORPOR | 2.38 | 03/24/17 | 500,000 | 515,215 | |||||||
0258M0DK2 | AMERICAN EXPRESS CREDIT CORPOR | 2.13 | 03/18/19 | 9,000,000 | 8,996,594 |
Page 23
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
02687QBC1 | AMERICAN INTERNATIONAL GROUP I | 5.60 | 10/18/16 | 950,000 | 1,052,277 | |||||||
02687QDG0 | AMERICAN INTERNATIONAL GROUP I | 5.85 | 01/16/18 | 5,250,000 | 5,991,978 | |||||||
029912BD3 | AMERICAN TOWER CORPORATION | 4.50 | 01/15/18 | 250,000 | 270,189 | |||||||
03879QAA2 | ARC PROPERTIES OPERATING PARTN | 2.00 | 02/06/17 | 3,125,000 | 3,120,645 | |||||||
03879QAC8 | ARC PROPERTIES OPERATING PARTN | 3.00 | 01/06/19 | 100,000 | 99,582 | |||||||
046265AF1 | ASTORIA FINANCIAL CORPORATION | 5.00 | 05/19/17 | 100,000 | 107,237 | |||||||
052528AH9 | AUST & NZ BANK GROUP | 4.50 | 03/19/24 | 4,875,000 | 4,876,755 | |||||||
05253JAC5 | AUSTRALIA & NEW ZEALAND BANKIN | 1.45 | 05/15/18 | 300,000 | 293,349 | |||||||
05253JAE1 | AUSTRALIA & NEW ZEALAND BANKIN | 1.25 | 01/10/17 | 9,175,000 | 9,179,887 | |||||||
055299AK7 | BBVA US SENIOR SA UNIPERSONAL | 2.36 | 05/16/14 | 1,500,000 | 1,502,385 | |||||||
055299AL5 | BBVA US SENIOR SA UNIPERSONAL | 4.66 | 10/09/15 | 284,000 | 297,958 | |||||||
05531FAG8 | BB&T CORP | 3.20 | 02/16/16 | 425,000 | 443,119 | |||||||
05531FAL7 | BB&T CORP | 1.60 | 07/15/17 | 10,950,000 | 10,956,883 | |||||||
05567L7E1 | BNP PARIBAS SA | 2.38 | 09/14/17 | 500,000 | 510,251 | |||||||
05567LU54 | BNP PARIBAS SA | 3.60 | 02/23/16 | 1,580,000 | 1,659,647 | |||||||
05572FAA1 | BNP PARIBAS COVERED BONDS SA | 2.20 | 11/02/15 | 10,400,000 | 10,648,976 | |||||||
05574LPT9 | BNP PARIBAS SA | 2.70 | 08/20/18 | 2,660,000 | 2,713,831 | |||||||
05574LTX6 | BNP PARIBAS SA | 2.40 | 12/12/18 | 9,375,000 | 9,369,459 | |||||||
05574LXG8 | BNP PARIBAS SA | 1.38 | 03/17/17 | 8,950,000 | 8,943,454 | |||||||
05578BAB2 | BPCE SA | 2.50 | 12/10/18 | 7,425,000 | 7,420,617 | |||||||
05947KAK6 | BANCO BRADESCO S.A. | 2.34 | 05/16/14 | 1,600,000 | 1,600,519 | |||||||
060505DH4 | BANK OF AMERICA CORP | 6.00 | 09/01/17 | 8,775,000 | 9,950,147 | |||||||
060505DP6 | BANK OF AMERICA CORP | 5.75 | 12/01/17 | 4,000,000 | 4,523,070 | |||||||
06050TKN1 | BANK OF AMERICA CORP | 5.30 | 03/15/17 | 2,050,000 | 2,254,962 | |||||||
06050TLR1 | BANK OF AMERICA CORP | 1.13 | 11/14/16 | 1,500,000 | 1,493,952 | |||||||
06051GDX4 | BANK OF AMERICA CORP | 5.65 | 05/01/18 | 2,750,000 | 3,105,548 | |||||||
06051GDZ9 | BANK OF AMERICA CORP | 7.63 | 06/01/19 | 2,700,000 | 3,320,567 | |||||||
06051GEA3 | BANK OF AMERICA CORP | 6.50 | 08/01/16 | 6,200,000 | 6,933,605 | |||||||
06051GEB1 | BANK OF AMERICA CORP | 4.50 | 04/01/15 | 400,000 | 414,868 | |||||||
06051GEC9 | BANK OF AMERICA CORP | 5.63 | 07/01/20 | 4,500,000 | 5,104,535 | |||||||
06051GED7 | BANK OF AMERICA CORP | 3.70 | 09/01/15 | 11,100,000 | 11,532,963 | |||||||
06051GET2 | BANK OF AMERICA CORP | 2.00 | 01/11/18 | 2,100,000 | 2,092,171 | |||||||
06051GEX3 | BANK OF AMERICA CORP | 2.60 | 01/15/19 | 150,000 | 150,448 | |||||||
06051GFD6 | BANK OF AMERICA CORP | 2.65 | 04/01/19 | 4,000,000 | 4,018,139 | |||||||
06366QW86 | BANK OF MONTREAL | 2.50 | 01/11/17 | 2,050,000 | 2,120,851 | |||||||
06366RHA6 | BANK OF MONTREAL | 1.40 | 09/11/17 | 300,000 | 298,193 | |||||||
063679JJ4 | BANK OF MONTREAL | 2.63 | 01/25/16 | 6,000,000 | 6,224,220 | |||||||
063679ZT4 | BANK OF MONTREAL | 1.95 | 01/30/17 | 2,600,000 | 2,664,038 | |||||||
06406HBQ1 | BANK OF NEW YORK MELLON CORP/T | 2.95 | 06/18/15 | 250,000 | 257,304 | |||||||
06406HBX6 | BANK OF NEW YORK MELLON CORP/T | 2.30 | 07/28/16 | 250,000 | 257,906 | |||||||
06406HCA5 | BANK OF NEW YORK MELLON CORP/T | 2.40 | 12/17/16 | 1,523,000 | 1,573,708 | |||||||
06406HCP2 | BANK OF NEW YORK MELLON CORP/T | 2.10 | 12/15/18 | 250,000 | 247,598 | |||||||
064149C47 | BANK OF NOVA SCOTIA TORONTO BR | 2.05 | 10/07/15 | 200,000 | 204,556 | |||||||
064159AM8 | BANK OF NOVA SCOTIA TORONTO BR | 2.55 | 01/12/17 | 250,000 | 259,198 | |||||||
064159BA3 | BANK OF NOVA SCOTIA TORONTO BR | 0.75 | 10/09/15 | 250,000 | 250,796 | |||||||
064159BE5 | BANK OF NOVA SCOTIA TORONTO BR | 1.38 | 12/18/17 | 150,000 | 148,304 | |||||||
064159BV7 | BANK OF NOVA SCOTIA TORONTO BR | 0.95 | 03/15/16 | 100,000 | 100,485 | |||||||
064159CU8 | BANK OF NOVA SCOTIA TORONTO BR | 2.05 | 10/30/18 | 140,000 | 139,252 | |||||||
06415CAD1 | BANK OF NOVA SCOTIA TORONTO BR | 1.05 | 03/20/15 | 1,200,000 | 1,208,160 | |||||||
06415CAE9 | BANK OF NOVA SCOTIA TORONTO BR | 1.75 | 03/22/17 | 6,000,000 | 6,106,140 | |||||||
064255AB8 | BANK OF TOKYO-MITSUBISHI UFJ L | 3.85 | 01/22/15 | 8,000,000 | 8,194,717 | |||||||
064255AN2 | BANK OF TOKYO-MITSUBISHI UFJ L | 1.55 | 09/09/16 | 4,600,000 | 4,650,815 | |||||||
064255AQ5 | BANK OF TOKYO-MITSUBISHI UFJ L | 2.70 | 09/09/18 | 4,000,000 | 4,087,007 | |||||||
064255AW2 | BANK OF TOKYO MITSUBISHI UFJ L | 3.75 | 03/10/24 | 3,625,000 | 3,659,373 | |||||||
06675EAA8 | BANQUE PSA FINANCE | 3.38 | 04/04/14 | 850,000 | 850,003 | |||||||
06739FGF2 | BARCLAYS BANK PLC | 5.00 | 09/22/16 | 100,000 | 109,652 | |||||||
06739FHT1 | BARCLAYS BANK PLC | 2.50 | 02/20/19 | 10,950,000 | 10,968,398 | |||||||
06739GBB4 | BARCLAYS BANK PLC | 3.90 | 04/07/15 | 3,265,000 | 3,374,315 | |||||||
07330NAG0 | BRANCH BKG & TR CO | 1.05 | 12/01/16 | 3,000,000 | 2,993,554 | |||||||
073902PR3 | BEAR STEARNS CO INC | 6.40 | 10/02/17 | 4,500,000 | 5,189,661 | |||||||
073902RU4 | BEAR STEARNS CO INC | 7.25 | 02/01/18 | 13,800,000 | 16,435,919 | |||||||
12505JAA1 | CBL & ASSOCIATES LP | 5.25 | 09/01/23 | 3,500,000 | 3,624,447 |
Page 24
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
136069DM0 | CANADIAN IMPERIAL BANK OF COMM | 2.60 | 07/02/15 | 10,500,000 | 10,787,595 | |||||||
136069ET4 | CANADIAN IMPERIAL BANK OF COMM | 0.90 | 10/01/15 | 300,000 | 301,568 | |||||||
136069FA4 | CANADIAN IMPERIAL BANK OF COMM | 1.55 | 01/23/18 | 150,000 | 148,388 | |||||||
14040HAX3 | CAPITAL ONE FINANCIAL CORP | 3.15 | 07/15/16 | 200,000 | 208,963 | |||||||
14040HAY1 | CAPITAL ONE FINANCIAL CORP | 4.75 | 07/15/21 | 7,050,000 | 7,661,779 | |||||||
140420NE6 | CAPITAL ONE BANK USA NA | 2.15 | 11/21/18 | 1,950,000 | 1,931,828 | |||||||
140420NH9 | CAPITAL ONE BANK USA NA | 2.25 | 01/13/19 | 250,000 | 248,136 | |||||||
14042E3V0 | CAPITAL ONE FIN CORP | 1.50 | 03/22/18 | 100,000 | 97,862 | |||||||
172967BW0 | CITIGROUP INC | 4.88 | 05/07/15 | 500,000 | 520,959 | |||||||
172967DY4 | CITIGROUP INC | 5.50 | 02/15/17 | 250,000 | 276,217 | |||||||
172967ES6 | CITIGROUP INC | 6.13 | 05/15/18 | 13,500,000 | 15,529,091 | |||||||
172967EV9 | CITIGROUP INC | 8.50 | 05/22/19 | 4,000,000 | 5,086,078 | |||||||
172967EY3 | CITIGROUP INC | 6.38 | 08/12/14 | 471,000 | 480,891 | |||||||
172967GB1 | CITIGROUP INC | 2.25 | 08/07/15 | 250,000 | 254,511 | |||||||
172967GL9 | CITIGROUP INC | 3.38 | 03/01/23 | 5,000,000 | 4,801,853 | |||||||
172967HC8 | CITIGROUP INC | 2.50 | 09/26/18 | 5,000,000 | 5,031,110 | |||||||
172967HK0 | CITIGROUP INC | 1.35 | 03/10/17 | 1,950,000 | 1,944,386 | |||||||
20035CAB6 | COMERICA BANK | 5.20 | 08/22/17 | 250,000 | 273,860 | |||||||
20271RAA8 | COMMONWEALTH BANK OF AUSTRALIA | 1.95 | 03/16/15 | 4,800,000 | 4,868,683 | |||||||
20271RAB6 | COMMONWEALTH BANK OF AUSTRALIA | 1.25 | 09/18/15 | 250,000 | 252,696 | |||||||
20271RAC4 | COMMONWEALTH BANK OF AUSTRALIA | 1.90 | 09/18/17 | 250,000 | 252,599 | |||||||
20272BAF1 | COMMONWEALTH BANK OF AUSTRALIA | 3.63 | 06/25/14 | 40,000,000 | 40,303,346 | |||||||
21685WBL0 | RABOBANK NEDERLAND NV | 2.13 | 10/13/15 | 5,000,000 | 5,120,872 | |||||||
21685WBT3 | RABOBANK NEDERLAND NV | 4.50 | 01/11/21 | 5,000,000 | 5,385,036 | |||||||
21686CAD2 | RABOBANK NEDERLAND NV | 3.38 | 01/19/17 | 4,850,000 | 5,135,376 | |||||||
21688AAA0 | RABOBANK NEDERLAND NV | 2.25 | 01/14/19 | 5,250,000 | 5,235,014 | |||||||
21987AAB6 | CORPBANCA | 3.13 | 01/15/18 | 200,000 | 196,000 | |||||||
22532LAJ3 | CREDIT AGRICOLE SA | 2.63 | 10/03/18 | 3,000,000 | 3,020,604 | |||||||
22532LAK0 | CREDIT AGRICOLE SA | �� | 1.10 | 10/03/16 | 8,000,000 | 8,065,280 | ||||||
22541HCC4 | CREDIT SUISSE NEW YORK NY | 6.00 | 02/15/18 | 200,000 | 230,039 | |||||||
22966RAA4 | CUBESMART | 4.80 | 04/15/22 | 4,025,000 | 4,239,791 | |||||||
23317HAA0 | DDR CORP | 4.63 | 04/15/22 | 2,500,000 | 2,597,492 | |||||||
23329PAA8 | DNB BANK ASA | 3.20 | 04/03/17 | 5,275,000 | 5,532,767 | |||||||
24422EQF9 | JOHN DEERE CAPITAL CORP | 5.50 | 04/13/17 | 2,070,000 | 2,308,728 | |||||||
24422ERQ4 | JOHN DEERE CAPITAL CORP | 0.88 | 04/17/15 | 4,510,000 | 4,530,802 | |||||||
24422ERW1 | JOHN DEERE CAPITAL CORP | 1.20 | 10/10/17 | 200,000 | 198,082 | |||||||
24422ESF7 | JOHN DEERE CAPITAL CORP | 1.95 | 12/13/18 | 200,000 | 199,435 | |||||||
25152RVR1 | DEUTSCHE BK LDN | 1.40 | 02/13/17 | 150,000 | 149,872 | |||||||
25152RVS9 | DEUTSCHE BK LDN | 2.50 | 02/13/19 | 150,000 | 150,319 | |||||||
25155FAA4 | DEUTSCHE ANNINGTON FINANCE BV | 3.20 | 10/02/17 | 4,325,000 | 4,407,002 | |||||||
251591AU7 | DDR CORP | 7.50 | 04/01/17 | 150,000 | 171,640 | |||||||
2515A14E8 | DEUTSCHE BK LDN | 3.25 | 01/11/16 | 3,725,000 | 3,883,070 | |||||||
25215BAA1 | DEXIA CREDIT LOCAL/NEW YORK | 1.25 | 10/18/16 | 11,350,000 | 11,367,706 | |||||||
25466AAC5 | DISCOVER BANK/GREENWOOD DE | 2.00 | 02/21/18 | 250,000 | 248,024 | |||||||
25466AAD3 | DISCOVER BANK/GREENWOOD DE | 4.20 | 08/08/23 | 4,750,000 | 4,851,127 | |||||||
25600WAA8 | DNB BOLIGKREDITT AS | 2.10 | 10/14/15 | 1,200,000 | 1,227,672 | |||||||
25600WAB6 | DNB BOLIGKREDITT AS | 2.90 | 03/29/16 | 6,200,000 | 6,462,260 | |||||||
25600WAD2 | DNB BOLIGKREDITT AS | 1.45 | 03/21/18 | 900,000 | 890,802 | |||||||
26441YAM9 | DUKE REALTY LP | 5.95 | 02/15/17 | 300,000 | 330,079 | |||||||
26884AAX1 | ERP OPER LP | 5.75 | 06/15/17 | 300,000 | 338,043 | |||||||
316773CK4 | FIFTH THIRD BANK | 3.63 | 01/25/16 | 250,000 | 261,727 | |||||||
31677QAY5 | FIFTH THIRD BANK | 1.15 | 11/18/16 | 2,000,000 | 1,997,315 | |||||||
31677QAZ2 | FIFTH THIRD BANK | 0.75 | 10/18/16 | 2,000,000 | 2,007,500 | |||||||
345397VC4 | FORD MOTOR CREDIT COMPANY LLC | 8.00 | 12/15/16 | 5,510,000 | 6,452,410 | |||||||
345397VT7 | FORD MOTOR CREDIT COMPANY LLC | 5.00 | 05/15/18 | 8,250,000 | 9,109,764 | |||||||
345397VU4 | FORD MOTOR CREDIT COMPANY LLC | 5.88 | 08/02/21 | 3,000,000 | 3,447,841 | |||||||
345397WJ8 | FORD MOTOR CREDIT COMPANY LLC | 1.70 | 05/09/16 | 2,800,000 | 2,832,409 | |||||||
345397WL3 | FORD MOTOR CREDIT COMPANY LLC | 2.88 | 10/01/18 | 200,000 | 204,175 | |||||||
354613AH4 | FRANKLIN RESOURCES INC | 1.38 | 09/15/17 | 3,250,000 | 3,211,428 | |||||||
36962G2T0 | GENERAL ELECTRIC CAP CORP | 5.55 | 05/04/20 | 5,000,000 | 5,755,046 | |||||||
36962G3H5 | GENERAL ELECTRIC CAP CORP | 5.63 | 09/15/17 | 5,368,000 | 6,091,443 | |||||||
36962G3U6 | GENERAL ELECTRIC CAP CORP | 5.63 | 05/01/18 | 400,000 | 457,202 |
Page 25
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
36962G4C5 | GENERAL ELECTRIC CAP CORP | 5.90 | 05/13/14 | 700,000 | 704,431 | |||||||
36962G4D3 | GENERAL ELECTRIC CAP CORP | 6.00 | 08/07/19 | 4,000,000 | 4,694,007 | |||||||
36962G5M2 | GENERAL ELECTRIC CAP CORP | 2.15 | 01/09/15 | 6,725,000 | 6,820,159 | |||||||
36962G5N0 | GENERAL ELECTRIC CAP CORP | 2.90 | 01/09/17 | 750,000 | 783,811 | |||||||
36962G5W0 | GENERAL ELECTRIC CAP CORP | 2.30 | 04/27/17 | 5,000,000 | 5,145,466 | |||||||
36962G6K5 | GENERAL ELECTRIC CAP CORP | 1.60 | 11/20/17 | 6,000,000 | 6,010,479 | |||||||
36962G6M1 | GENERAL ELECTRIC CAP CORP | 1.00 | 12/11/15 | 5,725,000 | 5,766,262 | |||||||
36962G6R0 | GENERAL ELECTRIC CAP CORP | 1.00 | 01/08/16 | 3,780,000 | 3,804,439 | |||||||
369668AA6 | GENERAL ELECTRIC CAP CORP | 3.80 | 06/18/19 | 4,000,000 | 4,198,022 | |||||||
38141EA25 | GOLDMAN SACHS GROUP INC | 7.50 | 02/15/19 | 12,500,000 | 15,117,889 | |||||||
38141GEE0 | GOLDMAN SACHS GROUP INC | 5.35 | 01/15/16 | 450,000 | 483,762 | |||||||
38141GEG5 | GOLDMAN SACHS GROUP INC | 0.68 | 03/22/16 | 4,150,000 | 4,138,297 | |||||||
38141GEU4 | GOLDMAN SACHS GROUP INC | 5.63 | 01/15/17 | 250,000 | 276,031 | |||||||
38141GRC0 | GOLDMAN SACHS GROUP INC | 2.38 | 01/22/18 | 300,000 | 301,870 | |||||||
38143USC6 | GOLDMAN SACHS GROUP INC | 3.63 | 02/07/16 | 5,500,000 | 5,753,380 | |||||||
38145XAA1 | GOLDMAN SACHS GROUP INC | 2.63 | 01/31/19 | 100,000 | 99,827 | |||||||
38147MAA3 | GOLDMAN SACHS GROUP INC | 2.90 | 07/19/18 | 1,200,000 | 1,225,189 | |||||||
40411EAB4 | BANK OF SCOTLAND PLC | 5.25 | 02/21/17 | 21,805,000 | 24,186,979 | |||||||
40414LAJ8 | HCP | 4.25 | 11/15/23 | 5,000,000 | 5,096,706 | |||||||
40428HPG1 | HSBC BANK USA INC | 2.38 | 02/13/15 | 5,510,000 | 5,603,576 | |||||||
40428HPH9 | HSBC BANK USA INC | 1.63 | 01/16/18 | 250,000 | 247,648 | |||||||
40429CFN7 | HSBC FINANCE CORPORATION | 5.50 | 01/19/16 | 2,050,000 | 2,203,040 | |||||||
40429CGD8 | HSBC FINANCE CORPORATION | 6.68 | 01/15/21 | 7,500,000 | 8,742,784 | |||||||
40430LAA7 | HSBC FINANCE CAPITAL TRUST IX | 5.91 | 11/30/15 | 200,000 | 207,500 | |||||||
416518AA6 | HARTFORD FINANCIAL SERVICES GR | 4.00 | 10/15/17 | 300,000 | 322,205 | |||||||
42217KAZ9 | HEALTH CARE REIT INC | 2.25 | 03/15/18 | 3,500,000 | 3,491,693 | |||||||
44106MAH5 | HOSPITALITY PROPERTIES TRUST | 6.30 | 12/15/15 | 250,000 | 266,075 | |||||||
44107TAU0 | HOST HOTELS & RESORTS LP | 3.75 | 10/15/23 | 4,500,000 | 4,299,343 | |||||||
446438RF2 | HUNTINGTON NATIONAL BANK THE | 1.30 | 10/20/16 | 4,000,000 | 4,002,811 | |||||||
449786AL6 | ING BANK NV | 4.00 | 03/15/16 | 5,600,000 | 5,914,468 | |||||||
449786AQ5 | ING BANK NV | 3.75 | 03/07/17 | 3,000,000 | 3,187,616 | |||||||
449786AR3 | ING BANK NV | 2.00 | 09/25/15 | 6,500,000 | 6,606,110 | |||||||
45685EAE6 | ING US INC | 2.90 | 02/15/18 | 250,000 | 255,868 | |||||||
46115HAG2 | INTESA SANPAOLO SPA | 3.13 | 01/15/16 | 250,000 | 255,403 | |||||||
46115HAJ6 | INTESA SANPAOLO SPA | 3.88 | 01/16/18 | 250,000 | 256,755 | |||||||
46625HHS2 | JPMORGAN CHASE & CO | 4.40 | 07/22/20 | 3,925,000 | 4,228,472 | |||||||
46625HHX1 | JPMORGAN CHASE & CO | 3.45 | 03/01/16 | 4,075,000 | 4,260,714 | |||||||
46625HJA9 | JPMORGAN CHASE & CO | 3.15 | 07/05/16 | 600,000 | 626,264 | |||||||
46625HJL5 | JPMORGAN CHASE & CO | 1.63 | 05/15/18 | 2,450,000 | 2,406,829 | |||||||
46625HJS0 | JPMORGAN CHASE & CO | 0.87 | 01/28/19 | 10,525,000 | 10,515,106 | |||||||
472319AK8 | JEFFERIES GROUP INC | 5.13 | 04/13/18 | 300,000 | 325,673 | |||||||
47232MAA0 | JEFFERIES FINANC | 7.38 | 04/01/19 | 1,000,000 | 1,050,000 | |||||||
48121CYK6 | JPMORGAN CHS BNK | 6.00 | 10/01/17 | 5,000,000 | 5,692,771 | |||||||
48126EAA5 | JPMORGAN CHASE & CO | 2.00 | 08/15/17 | 9,775,000 | 9,860,936 | |||||||
49327M2A1 | KEY BANK NATIONAL ASSOCIATION | 1.65 | 02/01/18 | 7,150,000 | 7,010,517 | |||||||
49427RAH5 | KILROY RELTY | 4.80 | 04/15/18 | 200,000 | 214,937 | |||||||
49446RAH2 | KIMCO REALTY CORPORATION | 5.70 | 05/01/17 | 250,000 | 276,255 | |||||||
50050GAB4 | KOOKMIN BANK | 1.11 | 01/27/17 | 3,550,000 | 3,571,554 | |||||||
52206AAB6 | LEASEPLAN CORPORATION NV | 2.50 | 05/16/18 | 1,500,000 | 1,479,507 | |||||||
53944VAA7 | LLOYDS TSB BANK PLC | 2.30 | 11/27/18 | 1,000,000 | 999,415 | |||||||
539473AG3 | LLOYDS TSB BANK PLC | 4.88 | 01/21/16 | 150,000 | 160,822 | |||||||
539473AQ1 | LLOYDS TSB BANK PLC | 4.20 | 03/28/17 | 100,000 | 108,083 | |||||||
55608PAE4 | MACQUARIE BANK LTD | 1.65 | 03/24/17 | 2,725,000 | 2,725,767 | |||||||
564759QB7 | MANUFACTURERS AND TRADERS TRUS | 5.63 | 12/01/16 | 250,000 | 258,768 | |||||||
56501RAA4 | MANULIFE FINANCIAL CORP | 3.40 | 09/17/15 | 100,000 | 103,573 | |||||||
59018YJ69 | MERRILL LYNCH & CO. INC. | 6.40 | 08/28/17 | 5,000,000 | 5,734,833 | |||||||
59156RAR9 | METLIFE INC | 6.82 | 08/15/18 | 300,000 | 357,939 | |||||||
60688QAA3 | MIZUHO CORPORATE BANK LTD | 2.55 | 03/17/17 | 3,225,000 | 3,319,844 | |||||||
6174466Q7 | MORGAN STANLEY | 6.63 | 04/01/18 | 12,650,000 | 14,733,093 | |||||||
6174467U7 | MORGAN STANLEY | 2.13 | 04/25/18 | 1,500,000 | 1,496,042 | |||||||
617446V71 | MORGAN STANLEY | 6.25 | 08/28/17 | 10,500,000 | 12,010,081 | |||||||
61746SBR9 | MORGAN STANLEY | 5.38 | 10/15/15 | 7,000,000 | 7,466,277 |
Page 26
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
61747YCG8 | MORGAN STANLEY | 7.30 | 05/13/19 | 4,500,000 | 5,448,617 | |||||||
61747YDD4 | MORGAN STANLEY | 3.80 | 04/29/16 | 6,200,000 | 6,528,216 | |||||||
61747YDT9 | MORGAN STANLEY | 4.75 | 03/22/17 | 8,050,000 | 8,776,393 | |||||||
631103AE8 | NASDAQ OMX GROUP INC /THE | 5.25 | 01/16/18 | 250,000 | 273,168 | |||||||
63254AAA6 | NATIONAL AUSTRALIA BANK LIMITE | 2.00 | 03/09/15 | 2,845,000 | 2,887,831 | |||||||
63254AAB4 | NATIONAL AUSTRALIA BANK LIMITE | 2.75 | 03/09/17 | 400,000 | 416,313 | |||||||
6325C0CU3 | NATIONAL AUSTRALIA BNK LIMITED | 1.25 | 03/17/17 | 5,000,000 | 4,994,165 | |||||||
63307A2A2 | NATIONAL BK OF CANADA | 1.50 | 06/26/15 | 250,000 | 252,667 | |||||||
63307AAA3 | NATIONAL BK OF CANADA | 1.45 | 11/07/17 | 3,075,000 | 3,029,140 | |||||||
637432HT5 | NATIONAL RURAL UTILITIES COOP | 5.45 | 04/10/17 | 250,000 | 276,901 | |||||||
637432ML6 | NATIONAL RURAL UTILITIES COOP | 1.90 | 11/01/15 | 4,500,000 | 4,574,879 | |||||||
637432MW2 | NATIONAL RURAL UTILITIES COOP | 1.10 | 01/27/17 | 200,000 | 199,500 | |||||||
64952WBR3 | NY LIFE GLOBAL FUNDING | 1.13 | 03/01/17 | 5,500,000 | 5,483,421 | |||||||
65535HAD1 | NOMURA HOLDINGS INC | 2.00 | 09/13/16 | 250,000 | 252,454 | |||||||
65535HAG4 | NOMURA HOLDINGS INC | 2.75 | 03/19/19 | 3,000,000 | 2,977,522 | |||||||
65557CAH6 | NORDEA BANK AB | 1.25 | 04/04/17 | 2,780,000 | 2,772,272 | |||||||
65557FAF3 | NORDEA BANK AB | 0.70 | 05/13/16 | 5,000,000 | 5,018,100 | |||||||
686330AG6 | ORIX CORP | 3.75 | 03/09/17 | 100,000 | 105,350 | |||||||
693476AT0 | PNC FUNDING CORP - GTD | 5.25 | 11/15/15 | 350,000 | 372,865 | |||||||
693476BJ1 | PNC FUNDING CORP - GTD | 5.13 | 02/08/20 | 3,000,000 | 3,390,791 | |||||||
693476BL6 | PNC FUNDING CORP - GTD | 4.38 | 08/11/20 | 2,950,000 | 3,220,181 | |||||||
69349LAA6 | PNC BANK NA | 5.25 | 01/15/17 | 3,000,000 | 3,305,196 | |||||||
69349LAC2 | PNC BANK NA | 4.88 | 09/21/17 | 250,000 | 275,494 | |||||||
69349LAP3 | PNC BANK NA | 1.15 | 10/01/16 | 9,890,000 | 9,896,841 | |||||||
69371RK88 | PACCAR FINANCIAL CORP | 0.75 | 08/14/15 | 300,000 | 300,687 | |||||||
74153WCB3 | PRICOA GLOBAL FUND | 1.15 | 11/25/16 | 1,300,000 | 1,298,653 | |||||||
742651DS8 | PRIVATE EXPORT FUNDING CORPORA | 1.88 | 07/15/18 | 100,000 | 100,612 | |||||||
74432QAY1 | PRUDENTIAL FINANCIAL INC | 6.10 | 06/15/17 | 100,000 | 113,566 | |||||||
74432QBW4 | PRUDENTIAL FINANCIAL INC | 2.30 | 08/15/18 | 200,000 | 200,304 | |||||||
74977EPZ0 | RABOBANK NEDERLAND NV | 1.70 | 03/19/18 | 2,625,000 | 2,603,733 | |||||||
756109AJ3 | REALTY INCOME CORP | 5.95 | 09/15/16 | 200,000 | 219,697 | |||||||
78008S7D2 | ROYAL BANK OF CANADA | 2.20 | 07/27/18 | 300,000 | 302,059 | |||||||
78008SVD5 | ROYAL BANK OF CANADA | 1.50 | 01/16/18 | 250,000 | 247,143 | |||||||
78008TLB8 | ROYAL BANK OF CANADA | 2.30 | 07/20/16 | 600,000 | 619,799 | |||||||
780099CG0 | ROYAL BANK OF SCOTLAND PLC THE | 1.88 | 03/31/17 | 1,500,000 | 1,501,950 | |||||||
78009PCC3 | ROYAL BANK OF SCOTLAND PLC | 4.38 | 03/16/16 | 1,400,000 | 1,488,872 | |||||||
78010UBY2 | ROYAL BANK OF CANADA | 1.45 | 09/09/16 | 4,200,000 | 4,251,552 | |||||||
78010XAG6 | ROYAL BANK OF SCOTLAND PLC | 3.95 | 09/21/15 | 400,000 | 416,963 | |||||||
78011DAC8 | ROYAL BANK OF CANADA | 1.20 | 09/19/17 | 9,500,000 | 9,416,115 | |||||||
78403DAB6 | SBA TOWER TRUST | 5.10 | 04/15/42 | 5,300,000 | 5,672,484 | |||||||
78469BAA3 | SPENCER SPIRIT HOLDINGS INC | 9.00 | 05/01/14 | 750,000 | 766,875 | |||||||
80282KAB2 | SANTANDER HOLDINGS USA INC | 3.00 | 08/24/15 | 240,000 | 245,499 | |||||||
828807BM8 | SIMON PROPERTY GROUP LP | 5.10 | 06/15/15 | 400,000 | 420,929 | |||||||
828807CM7 | SIMON PROPERTY GROUP LP | 1.50 | 02/01/18 | 14,000,000 | 13,776,950 | |||||||
83368RAC6 | SOCIETE GENERALE | 2.75 | 10/12/17 | 350,000 | 360,350 | |||||||
84603MXU5 | SOVEREIGN BANK | 8.75 | 05/30/18 | 2,475,000 | 2,941,140 | |||||||
84650WAB2 | SPAREBNK 1 BOLIG | 2.63 | 05/27/16 | 200,000 | 207,402 | |||||||
84650WAD8 | SPAREBNK 1 BOLIG | 2.30 | 06/30/17 | 6,500,000 | 6,668,545 | |||||||
865622AU8 | SUMITOMO MITSUI BANKING CORP | 1.35 | 07/18/15 | 300,000 | 302,311 | |||||||
865622AV6 | SUMITOMO MITSUI BANKING CORP | 1.80 | 07/18/17 | 250,000 | 251,114 | |||||||
865622AY0 | SUMITOMO MITSUI BANKING CORP | 1.50 | 01/18/18 | 3,400,000 | 3,346,320 | |||||||
86787EAP2 | SUNTRUST BANKS INC | 1.35 | 01/15/17 | 2,500,000 | 2,500,653 | |||||||
86787GAG7 | SUNTRUST BANK/ATLANTA GA | 5.00 | 09/01/15 | 100,000 | 105,624 | |||||||
867914BE2 | SUNTRUST BANKS INC | 3.50 | 12/20/16 | 250,000 | 263,272 | |||||||
86960BAB8 | SVENSKA HANDELSBANKEN AB | 2.88 | 04/04/17 | 5,000,000 | 5,196,949 | |||||||
86960BAC6 | SVENSKA HANDELSBANKEN AB | 1.63 | 03/21/18 | 250,000 | 246,220 | |||||||
86960BAD4 | SVENSKA HANDELSBANKEN AB | 0.68 | 03/21/16 | 2,500,000 | 2,510,025 | |||||||
86960BAE2 | SVENSKA HANDELSBANKEN AB | 2.50 | 01/25/19 | 250,000 | 251,319 | |||||||
87020LAA4 | SWEDBANK HYPOTEK AB | 2.95 | 03/28/16 | 8,100,000 | 8,462,394 | |||||||
87020PAA5 | SWEDBANK AB | 2.13 | 09/29/17 | 3,525,000 | 3,563,601 | |||||||
87020PAC1 | SWEDBANK AB | 1.75 | 03/12/18 | 8,025,000 | 7,915,201 | |||||||
891145LV4 | TORONTO-DOMINION BANK/THE | 2.20 | 07/29/15 | 1,250,000 | 1,279,325 |
Page 27
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
89114QAE8 | TORONTO-DOMINION BANK/THE | 2.38 | 10/19/16 | 2,050,000 | 2,126,597 | |||||||
89114QAG3 | TORONTO-DOMINION BANK/THE | 1.40 | 04/30/18 | 200,000 | 196,377 | |||||||
89114QAM0 | TORONTO-DOMINION BANK/THE | 2.63 | 09/10/18 | 150,000 | 153,881 | |||||||
90261XBY7 | UBS AG | 5.88 | 07/15/16 | 185,000 | 204,068 | |||||||
90261XEM0 | UBS AG | 5.88 | 12/20/17 | 291,000 | 332,337 | |||||||
90261XGD8 | UBS AG | 4.88 | 08/04/20 | 5,500,000 | 6,070,250 | |||||||
90264AAA7 | UBS PD FD TST IV | 6.24 | 250,000 | 265,000 | ||||||||
90520EAC5 | UNION BANK NA | 3.00 | 06/06/16 | 7,800,000 | 8,138,712 | |||||||
90520EAE1 | UNION BANK NA | 2.13 | 06/16/17 | 3,400,000 | 3,452,340 | |||||||
90520GAA4 | UNION BANK NA | 5.95 | 05/11/16 | 250,000 | 275,165 | |||||||
90521APH5 | UNION BANK NA | 1.50 | 08/26/16 | 4,070,000 | 4,115,110 | |||||||
90521APJ1 | UNION BANK NA | 2.63 | 08/26/18 | 6,700,000 | 6,820,894 | |||||||
91159HHB9 | US BANCORP | 2.20 | 10/14/16 | 150,000 | 154,565 | |||||||
91159HHD5 | US BANCORP | 1.65 | 04/15/17 | 4,000,000 | 4,041,548 | |||||||
91159HHF0 | US BANCORP | 0.73 | 10/15/18 | 8,625,000 | 8,640,697 | |||||||
91529YAG1 | UNUM GROUP | 7.13 | 09/30/16 | 250,000 | 284,079 | |||||||
92277GAA5 | VENTAS REALTY LP/CAP CRP | 1.55 | 09/26/16 | 3,017,000 | 3,036,152 | |||||||
92928QAB4 | WEA FINANCE LLC | 4.63 | 02/10/21 | 4,000,000 | 4,370,353 | |||||||
929903DT6 | WACHOVIA CORP | 5.75 | 06/15/17 | 17,300,000 | 19,632,912 | |||||||
949746NX5 | WELLS FARGO & COMPANY | 5.63 | 12/11/17 | 5,000,000 | 5,703,527 | |||||||
949746QU8 | WELLS FARGO & COMPANY | 3.68 | 06/15/16 | 350,000 | 371,158 | |||||||
94974BEV8 | WELLS FARGO & COMPANY | 4.60 | 04/01/21 | 3,150,000 | 3,467,079 | |||||||
94974BFD7 | WELLS FARGO & COMPANY | 2.10 | 05/08/17 | 250,000 | 256,213 | |||||||
94974BFE5 | WELLS FARGO & COMPANY | 1.50 | 07/01/15 | 5,020,000 | 5,077,308 | |||||||
94974BFG0 | WELLS FARGO & COMPANY | 1.50 | 01/16/18 | 350,000 | 346,635 | |||||||
959802AR0 | WESTERN UNION CO/THE | 2.88 | 12/10/17 | 250,000 | 253,456 | |||||||
961214BV4 | WESTPAC BANKING CORP | 2.00 | 08/14/17 | 4,125,000 | 4,188,370 | |||||||
961214BY8 | WESTPAC BANKING CORP | 0.95 | 01/12/16 | 3,000,000 | 3,016,450 | |||||||
961214BZ5 | WESTPAC BANKING CORP | 1.60 | 01/12/18 | 250,000 | 248,061 | |||||||
961214CD3 | WESTPAC BANKING CORP | 1.05 | 11/25/16 | 2,000,000 | 1,997,926 | |||||||
BRSAC4WT8 | WAHA AEROSPACE BV | 3.93 | 07/28/20 | 682,500 | 721,061 | |||||||
LX119765 | RBS WORLDPAY | 0.00 | 11/29/19 | 1,000,000 | 1,007,000 | |||||||
LX118061 | SI ORGANIZATION INC | 5.50 | 11/22/16 | 95,921 | 93,603 | |||||||
LX123354 | DJO FINANCE LLC/DJO FINANCE CO | 4.75 | 09/15/17 | 2,082,959 | 2,086,865 | |||||||
LX126290 | CUNNINGHAM LINDSEY GROUP INC | 5.00 | 12/10/19 | 1,222,261 | 1,226,845 | |||||||
LX126463 | WALL STREET SYSTEM HOLDINGS IN | 5.75 | 10/24/19 | 1,372,625 | 1,379,488 | |||||||
LX126492 | CONFIE SEGUROS HOLDING II CO | 6.50 | 11/09/18 | 1,816,122 | 1,811,581 | |||||||
LX126494 | CONFIE SEGUROS HOLDING II CO | 10.25 | 05/08/19 | 250,000 | 251,250 | |||||||
LX127072 | ALLIANT INSURANCE SERVICES INC | 4.25 | 12/20/19 | 1,613,384 | 1,619,434 | |||||||
LX128186 | OCWEN LOAN SERVICING LLC | 5.00 | 02/15/18 | 1,772,125 | 1,778,740 | |||||||
LX128305 | TRANS UNION LLC/ TRANS UNION F | 4.25 | 02/10/19 | 2,123,983 | 2,125,975 | |||||||
LX128480 | ASURION LLC | 5.00 | 05/24/19 | 1,805,947 | 1,808,707 | |||||||
LX128959 | CGSC OF DELAWARE HOLDINGS CORP | 5.00 | 04/16/20 | 848,588 | 840,102 | |||||||
LX128960 | CGSC OF DELAWARE HOLDINGS CORP | 8.25 | 10/16/20 | 400,000 | 389,000 | |||||||
LX129005 | CAPITAL AUTOMOTIVE | 4.00 | 04/10/19 | 1,486,181 | 1,489,897 | |||||||
LX129269 | CAPITAL AUTOMOTIVE | 6.00 | 04/30/20 | 1,000,000 | 1,028,750 | |||||||
LX129282 | NUVEEN INVESTMENTS INC | 4.15 | 05/13/17 | 466,202 | 467,222 | |||||||
LX129283 | NUVEEN INVESTMENTS INC | 6.50 | 02/28/19 | 1,136,000 | 1,137,420 | |||||||
LX130505 | AMERICAN STOCK TRANSFER & TRUS | 5.75 | 06/26/20 | 2,477,721 | 2,481,852 | |||||||
LX131403 | LARCHMONT RESOURCES LLC | 8.25 | 07/31/19 | 183,000 | 186,660 | |||||||
LX132571 | HUB INTERNATIONAL LIMITED | 4.75 | 10/02/20 | 1,990,000 | 1,993,980 | |||||||
LX132856 | SEARS ROEBUCK ACCEPTANCE CORP/ | 5.50 | 06/30/18 | 239,400 | 240,296 | |||||||
LX133463 | ASCENSUS INC | 9.00 | 12/11/20 | 750,000 | 765,938 | |||||||
LX133991 | AMERICAN BEACON ADVISORS INC | 4.75 | 11/20/19 | 758,100 | 761,891 | |||||||
LX134289 | WALTER INVESTMENT MANAGEMENT C | 4.75 | 12/18/20 | 3,990,000 | 3,963,818 | |||||||
LX134044 | WALKER & DUNLOP LLC | 5.50 | 12/11/20 | 897,750 | 906,728 | |||||||
LX134433 | IPREO HOLDINGS LLC | 5.00 | 08/07/17 | 1,104,165 | 1,111,066 | |||||||
LX134763 | ABG INTERMEDIATE HOLDINGS 2 LL | 6.00 | 06/20/19 | 1,246,875 | 1,262,461 | |||||||
LX134946 | CONNOLLY HOLDINGS INC | 5.00 | 01/29/21 | 1,995,000 | 2,012,456 | |||||||
LX134879 | ARDEN GRP, INC. | 5.25 | 02/19/20 | 1,000,000 | 995,000 | |||||||
LX135848 | REALOGY CORP | 3.75 | 03/05/20 | 3,081,985 | 3,094,184 | |||||||
G63255AA4 | MUFG CAPITAL FINANCE 1 LTD | 6.35 | 07/25/16 | 350,000 | 381,500 |
Page 28
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
G7302VAN4 | QNB FINANCE LTD | 1.49 | 10/31/16 | 7,000,000 | 7,054,040 | |||||||
G7S86ZBZ9 | ROYAL BANK OF SCOTLAND PLC | 9.50 | 03/16/17 | 800,000 | 937,616 | |||||||
LX133725 | REDTOP ACQUISITION LTD | 4.50 | 12/03/20 | 1,550,000 | 1,563,563 | |||||||
N4R205LL4 | ING BANK NV | 4.13 | 11/21/18 | 3,000,000 | 3,007,950 | |||||||
Y4864WAG4 | KOREA EXCHANGE BANK | 4.88 | 01/14/16 | 2,000,000 | 2,121,480 | |||||||
1,050,027,795 | 1,097,649,304 | |||||||||||
Corporate Debt Securities - Industrials | ||||||||||||
00037BAA0 | ABB FINANCE USA INC | 1.63 | 05/08/17 | 250,000 | 251,092 | |||||||
00206RAV4 | AT&T INC | 2.50 | 08/15/15 | 4,925,000 | 5,042,294 | |||||||
00206RBC5 | AT&T INC | 1.60 | 02/15/17 | 6,000,000 | 6,043,740 | |||||||
00206RBM3 | AT&T INC | 1.40 | 12/01/17 | 8,450,000 | 8,345,278 | |||||||
00206RCA8 | AT&T INC | 2.38 | 11/27/18 | 250,000 | 251,117 | |||||||
002447AA8 | AWAS AVIATION CAPITAL LTD | 7.00 | 10/18/14 | 20,506 | 21,223 | |||||||
00287YAG4 | ABBVIE INC | 1.20 | 11/06/15 | 200,000 | 201,650 | |||||||
00287YAJ8 | ABBVIE INC | 1.75 | 11/06/17 | 550,000 | 551,714 | |||||||
00287YAK5 | ABBVIE INC | 2.00 | 11/06/18 | 3,400,000 | 3,371,424 | |||||||
00289VAB9 | ABENGOA FINANCE SAU | 7.75 | 02/01/20 | 1,000,000 | 1,057,363 | |||||||
00817YAK4 | AETNA INC | 1.75 | 04/15/17 | 500,000 | 503,250 | |||||||
00817YAL2 | AETNA INC | 1.50 | 11/15/17 | 3,000,000 | 2,986,612 | |||||||
00846UAC5 | AGILENT TECH INC | 6.50 | 11/01/17 | 100,000 | 115,558 | |||||||
009363AN2 | AIRGAS INC | 1.65 | 02/15/18 | 100,000 | 97,667 | |||||||
013817AL5 | ALCOA INC | 5.55 | 02/01/17 | 250,000 | 271,938 | |||||||
018490AP7 | ALLERGAN INC/UNITED STATES | 1.35 | 03/15/18 | 950,000 | 919,110 | |||||||
02154CAC7 | ALTICE FINANCING SA | 6.50 | 12/15/19 | 325,000 | 343,958 | |||||||
02154EAB5 | ALTICE FINANCING SA | 8.13 | 12/15/21 | 675,000 | 729,281 | |||||||
02209SAD5 | ALTRIA GROUP INC | 9.70 | 11/10/18 | 300,000 | 394,485 | |||||||
023135AH9 | AMAZON.COM INC | 1.20 | 11/29/17 | 150,000 | 148,242 | |||||||
02364WBC8 | AMERICA MOVIL SA DE CV | 2.38 | 09/08/16 | 300,000 | 309,010 | |||||||
02665WAC5 | AMERICAN HONDA FINANCE CORPORA | 2.13 | 10/10/18 | 200,000 | 200,793 | |||||||
02666QD75 | AMERICAN HONDA FINANCE CORPORA | 7.63 | 10/01/18 | 1,803,000 | 2,217,041 | |||||||
02666QM26 | AMERICAN HONDA FINANCE CORPORA | 1.60 | 02/16/18 | 1,690,000 | 1,675,335 | |||||||
03027XAD2 | AMERICAN TOWER CORPORATION | 5.00 | 02/15/24 | 6,500,000 | 6,806,445 | |||||||
031162AX8 | AMGEN INC | 6.15 | 06/01/18 | 3,500,000 | 4,060,603 | |||||||
031162AZ3 | AMGEN INC | 5.70 | 02/01/19 | 250,000 | 289,743 | |||||||
031162BF6 | AMGEN INC | 2.30 | 06/15/16 | 150,000 | 153,746 | |||||||
031162BL3 | AMGEN INC | 2.50 | 11/15/16 | 3,000,000 | 3,113,810 | |||||||
031162BQ2 | AMGEN INC | 2.13 | 05/15/17 | 100,000 | 102,206 | |||||||
032095AC5 | AMPHENOL CORPORATION | 2.55 | 01/30/19 | 6,725,000 | 6,714,860 | |||||||
032511AX5 | ANADARKO PETROLEUM CORP | 5.95 | 09/15/16 | 2,350,000 | 2,615,068 | |||||||
032511BH9 | ANADARKO PETROLEUM CORP | 6.38 | 09/15/17 | 200,000 | 228,854 | |||||||
034863AA8 | ANGLO AMERICAN CAPITAL PLC | 9.38 | 04/08/14 | 5,480,000 | 5,487,288 | |||||||
03523TAM0 | ANHEUSER-BUSCH INBEV WORLDWIDE | 4.13 | 01/15/15 | 4,055,000 | 4,169,594 | |||||||
03523TBA5 | ANHEUSER-BUSCH INBEV WORLDWIDE | 2.88 | 02/15/16 | 6,000,000 | 6,242,066 | |||||||
03523TBM9 | ANHEUSER-BUSCH INBEV WORLDWIDE | 0.80 | 07/15/15 | 100,000 | 100,280 | |||||||
03523TBN7 | ANHEUSER-BUSCH INBEV WORLDWIDE | 1.38 | 07/15/17 | 5,000,000 | 5,008,756 | |||||||
035242AC0 | ANHEUSER-BUSCH INBEV FINANCE I | 1.25 | 01/17/18 | 500,000 | 491,712 | |||||||
035242AE6 | ANHEUSER-BUSCH INBEV FINANCE I | 2.15 | 02/01/19 | 200,000 | 199,880 | |||||||
037411AS4 | APACHE CORP | 5.63 | 01/15/17 | 5,900,000 | 6,539,886 | |||||||
037833AH3 | APPLE INC | 0.45 | 05/03/16 | 9,625,000 | 9,605,095 | |||||||
037833AJ9 | APPLE INC | 1.00 | 05/03/18 | 450,000 | 437,555 | |||||||
039483AY8 | ARCHER-DANIELS-MIDLAND COMPANY | 5.45 | 03/15/18 | 2,884,000 | 3,273,156 | |||||||
042735BB5 | ARROW ELECTRONICS INC | 3.00 | 03/01/18 | 75,000 | 76,129 | |||||||
046353AB4 | ASTRAZENECA PLC | 5.90 | 09/15/17 | 300,000 | 344,503 | |||||||
05351LAA5 | AVANTI COMMUNICATIONS GROUP PL | 10.00 | 10/01/18 | 750,000 | 778,253 | |||||||
054303AU6 | AVON PRODUCTS INC | 5.75 | 03/01/18 | 150,000 | 162,459 | |||||||
054303AY8 | AVON PRODUCTS INC | 2.38 | 03/15/16 | 5,600,000 | 5,700,622 | |||||||
05530QAD2 | BAT INTL FIN PLC | 1.40 | 06/05/15 | 3,510,000 | 3,533,312 | |||||||
05542YAA7 | B COMMUNICATIONS LTD | 7.38 | 02/15/20 | 750,000 | 787,500 | |||||||
055451AP3 | BHP BILLITON FINANCE LTD | 1.63 | 02/24/17 | 250,000 | 252,799 | |||||||
05565QBH0 | BP CAPITAL MARKETS PLC | 3.88 | 03/10/15 | 3,490,000 | 3,604,475 | |||||||
05565QBN7 | BP CAPITAL MARKETS PLC | 3.13 | 10/01/15 | 175,000 | 181,503 | |||||||
05565QBY3 | BP CAPITAL MARKETS PLC | 1.85 | 05/05/17 | 7,300,000 | 7,402,614 |
Page 29
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
05565QCE6 | BP CAPITAL MARKETS PLC | 1.38 | 05/10/18 | 500,000 | 489,227 | |||||||
05565QCG1 | BP CAPITAL MARKETS PLC | 2.24 | 09/26/18 | 16,000,000 | 16,121,410 | |||||||
056752AC2 | BAIDU INC | 3.25 | 08/06/18 | 200,000 | 203,632 | |||||||
071813BH1 | BAXTER INTERNATIONAL INC. | 0.95 | 06/01/16 | 200,000 | 200,558 | |||||||
071813BJ7 | BAXTER INTERNATIONAL INC. | 1.85 | 06/15/18 | 250,000 | 248,662 | |||||||
093645AG4 | BLOCK COMMUNICATIONS INC. | 7.25 | 02/01/17 | 750,000 | 798,750 | |||||||
09664PAC6 | BOART LONGYEAR MANAGEMENT PTY | 10.00 | 10/01/18 | 500,000 | 518,750 | |||||||
097023BC8 | BOEING CO | 3.75 | 11/20/16 | 150,000 | 160,138 | |||||||
101137AM9 | BOSTON SCIENTIFIC CORP | 2.65 | 10/01/18 | 6,200,000 | 6,241,195 | |||||||
110122AS7 | BRISTOL-MYERS SQUIBB CO | 0.88 | 08/01/17 | 100,000 | 98,908 | |||||||
111021AJ0 | BRITISH TELECOMMUNICATIONS PLC | 1.25 | 02/14/17 | 250,000 | 249,436 | |||||||
111021AK7 | BRITISH TELECOMMUNICATIONS PLC | 2.35 | 02/14/19 | 200,000 | 199,148 | |||||||
111320AD9 | BROADCOM CORP | 2.38 | 11/01/15 | 200,000 | 204,978 | |||||||
118230AL5 | BUCKEYE PARTNERS | 2.65 | 11/15/18 | 250,000 | 248,778 | |||||||
120568AV2 | BUNGE LIMITED FINANCE CORP | 3.20 | 06/15/17 | 300,000 | 310,832 | |||||||
124857AH6 | CBS CORP | 1.95 | 07/01/17 | 200,000 | 202,332 | |||||||
12623TAC2 | CNPC GENERAL CAPITAL LTD | 1.45 | 04/16/16 | 950,000 | 948,843 | |||||||
12626PAG8 | CRH AMERICA INC. | 6.00 | 09/30/16 | 250,000 | 278,243 | |||||||
126408GM9 | CSX CORPORATION | 6.25 | 03/15/18 | 300,000 | 347,846 | |||||||
126650BE9 | CVS CAREMARK CORP | 6.13 | 08/15/16 | 250,000 | 278,335 | |||||||
126650BQ2 | CVS CAREMARK CORP | 6.94 | 07/24/23 | 1,873,758 | 2,222,465 | |||||||
126650CA6 | CVS CAREMARK CORP | 1.20 | 12/05/16 | 2,500,000 | 2,514,513 | |||||||
126650CB4 | CVS CAREMARK CORP | 2.25 | 11/05/18 | 250,000 | 250,405 | |||||||
127055AJ0 | CABOT CORP | 2.55 | 01/15/18 | 150,000 | 150,737 | |||||||
12800UAL4 | LA CAISSE CENTRALE DESJARDINS | 1.60 | 03/06/17 | 6,000,000 | 6,084,780 | |||||||
13342BAK1 | CAMERON INTERNATIONAL CORP | 1.15 | 12/15/16 | 63,000 | 63,017 | |||||||
134429AV1 | CAMPBELL SOUP COMPANY | 3.05 | 07/15/17 | 200,000 | 209,382 | |||||||
136375BY7 | CANADIAN NTL RAIL CO | 0.44 | 11/06/15 | 2,525,000 | 2,525,025 | |||||||
136385AK7 | CANADIAN NATURAL RESOURCES LTD | 5.70 | 05/15/17 | 250,000 | 281,251 | |||||||
14149YAG3 | CARDINAL HEALTH INC | 4.00 | 06/15/15 | 200,000 | 207,583 | |||||||
141781AY0 | CARGILL INC | 4.31 | 05/14/21 | 1,250,000 | 1,328,002 | |||||||
141781BA1 | CARGILL INC | 1.90 | 03/01/17 | 6,000,000 | 6,088,824 | |||||||
141781BB9 | CARGILL INC | 3.30 | 03/01/22 | 4,000,000 | 3,940,860 | |||||||
143658AY8 | CARNIVAL CORP | 1.88 | 12/15/17 | 250,000 | 249,963 | |||||||
14912L5D9 | CATERPILLAR INC | 1.10 | 05/29/15 | 250,000 | 251,845 | |||||||
14912L5E7 | CATERPILLAR INC | 1.63 | 06/01/17 | 6,200,000 | 6,256,448 | |||||||
14912L5H0 | CATERPILLAR INC | 0.70 | 11/06/15 | 5,550,000 | 5,562,362 | |||||||
14912L5J6 | CATERPILLAR INC | 1.25 | 11/06/17 | 150,000 | 148,274 | |||||||
14912L5T4 | CATERPILLAR INC | 2.45 | 09/06/18 | 150,000 | 152,764 | |||||||
14912L5Z0 | CATERPILLAR INC | 1.00 | 03/03/17 | 200,000 | 198,910 | |||||||
14987BAD5 | CC HLD V | 2.38 | 12/15/17 | 100,000 | 100,532 | |||||||
14987BAE3 | CC HLD V | 3.85 | 04/15/23 | 1,000,000 | 966,117 | |||||||
151020AG9 | CELGENE CORPORATION | 1.90 | 08/15/17 | 300,000 | 301,757 | |||||||
166764AA8 | CHEVRON CORP | 1.10 | 12/05/17 | 350,000 | 345,922 | |||||||
166764AE0 | CHEVRON CORP | 1.72 | 05/24/18 | 300,000 | 299,693 | |||||||
17275RAC6 | CISCO SYSTEMS INC | 5.50 | 02/22/16 | 3,125,000 | 3,413,214 | |||||||
17275RAK8 | CISCO SYSTEMS INC | 3.15 | 03/14/17 | 2,500,000 | 2,638,744 | |||||||
17275RAN2 | CISCO SYSTEMS INC | 3.63 | 03/04/24 | 4,050,000 | 4,090,260 | |||||||
17275RAR3 | CISCO SYSTEMS INC | 2.13 | 03/01/19 | 2,300,000 | 2,295,929 | |||||||
17275RAT9 | CISCO SYSTEMS INC | 1.10 | 03/03/17 | 200,000 | 199,998 | |||||||
18683KAF8 | CLIFFS NATURAL RESOURCES INC | 3.95 | 01/15/18 | 250,000 | 252,331 | |||||||
191216AU4 | COCA-COLA COMPANY (THE) | 1.80 | 09/01/16 | 400,000 | 410,139 | |||||||
191216BD1 | COCA-COLA COMPANY (THE) | 0.75 | 11/01/16 | 2,000,000 | 1,996,952 | |||||||
191216BF6 | COCA-COLA COMPANY (THE) | 1.65 | 11/01/18 | 250,000 | 246,910 | |||||||
19416QDN7 | COLGATE-PALMOLIVE CO | 3.15 | 08/05/15 | 150,000 | 155,253 | |||||||
20030NAL5 | COMCAST CORP | 5.90 | 03/15/16 | 7,500,000 | 8,251,535 | |||||||
20030NAP6 | COMCAST CORP | 6.50 | 01/15/17 | 400,000 | 457,369 | |||||||
20030NAR2 | COMCAST CORP | 5.88 | 02/15/18 | 4,900,000 | 5,640,928 | |||||||
205363AM6 | COMPUTER SCIENCES CORP | 2.50 | 09/15/15 | 111,000 | 113,384 | |||||||
205887BP6 | CONAGRA FOODS INC. | 1.30 | 01/25/16 | 66,000 | 66,487 | |||||||
205887BQ4 | CONAGRA FOODS INC. | 1.90 | 01/25/18 | 225,000 | 223,004 | |||||||
20825CAR5 | CONOCOPHILLIPS | 5.75 | 02/01/19 | 250,000 | 291,561 |
Page 30
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
20825TAA5 | CONOCO INC | 5.63 | 10/15/16 | 100,000 | 112,049 | |||||||
20826FAB2 | CONOCOPHILLIPS CO | 1.05 | 12/15/17 | 250,000 | 246,848 | |||||||
21079UAA3 | CONTINENTAL AIRLINES 2009 2 PA | 7.25 | 05/10/21 | 4,130,383 | 4,791,245 | |||||||
21079VAA1 | UAL_12-2A | 4.75 | 07/12/22 | 2,065,208 | 2,209,773 | |||||||
22160KAD7 | COSTCO WHSLE CORP | 0.65 | 12/07/15 | 200,000 | 200,637 | |||||||
22160KAE5 | COSTCO WHSLE CORP | 1.13 | 12/15/17 | 6,150,000 | 6,078,060 | |||||||
22303QAG5 | COVIDIEN INTERNATIONAL FINANCE | 6.00 | 10/15/17 | 250,000 | 287,137 | |||||||
22303QAK6 | COVIDIEN INTERNATIONAL FINANCE | 2.80 | 06/15/15 | 10,800,000 | 11,054,362 | |||||||
22822RAZ3 | CROWN CASTLE TOWERS LLC | 4.88 | 08/15/40 | 5,250,000 | 5,692,523 | |||||||
233851AT1 | DAIMLER FINANCE NORTH AMERICA | 1.25 | 01/11/16 | 5,590,000 | 5,633,122 | |||||||
235851AL6 | DANAHER CORPORATION | 2.30 | 06/23/16 | 200,000 | 206,881 | |||||||
237194AG0 | DARDEN RESTAURANTS INC | 6.20 | 10/15/17 | 150,000 | 168,249 | |||||||
24422ERN1 | JOHN DEERE CAPITAL CORP | 1.40 | 03/15/17 | 500,000 | 499,419 | |||||||
247361ZH4 | DELTA AIR LINES INC | 4.95 | 09/18/17 | 116,140 | 126,012 | |||||||
24736TAA5 | DELTA AIR LINES INC | 7.75 | 06/17/21 | 1,326,228 | 1,545,055 | |||||||
249030AB3 | DENTSPLY INTL INC. | 2.75 | 08/15/16 | 1,475,000 | 1,526,906 | |||||||
25156PAN3 | DEUTSCHE TELEKOM INTERNATIONAL | 6.00 | 07/08/19 | 4,250,000 | 4,976,961 | |||||||
25179MAJ2 | DEVON ENERGY CORPORATION | 2.40 | 06/15/16 | 2,000,000 | 2,059,163 | |||||||
25179MAM5 | DEVON ENERGY CORPORATION | 1.88 | 04/15/17 | 300,000 | 303,059 | |||||||
25179MAT0 | DEVON ENERGY CORPORATION | 2.25 | 11/15/18 | 3,200,000 | 3,193,850 | |||||||
25243YAM1 | DIAGEO CAPITAL PLC | 5.75 | 10/23/17 | 250,000 | 285,956 | |||||||
25243YAR0 | DIAGEO CAPITAL PLC | 1.50 | 05/11/17 | 3,000,000 | 3,015,457 | |||||||
25243YAS8 | DIAGEO CAPITAL PLC | 0.63 | 04/29/16 | 3,190,000 | 3,178,394 | |||||||
25459HAV7 | DIRECTV HOLDINGS LLC | 3.13 | 02/15/16 | 1,840,000 | 1,912,690 | |||||||
25459HBE4 | DIRECTV HOLDINGS LLC | 2.40 | 03/15/17 | 550,000 | 561,685 | |||||||
25468PCG9 | WALT DISNEY COMPANY (THE) | 6.00 | 07/17/17 | 150,000 | 170,989 | |||||||
25468PCS3 | WALT DISNEY COMPANY (THE) | 1.13 | 02/15/17 | 250,000 | 250,456 | |||||||
25468PCV6 | WALT DISNEY COMPANY (THE) | 1.10 | 12/01/17 | 6,100,000 | 6,030,420 | |||||||
256677AB1 | DOLLAR GENERAL CORP | 1.88 | 04/15/18 | 200,000 | 196,944 | |||||||
263534BT5 | EI DU PONT DE NEMOURS & CO | 6.00 | 07/15/18 | 200,000 | 232,601 | |||||||
268648AP7 | EMC CORP | 1.88 | 06/01/18 | 250,000 | 248,824 | |||||||
26882PAX0 | ERAC USA FINANCE LLC | 6.20 | 11/01/16 | 2,810,000 | 3,163,250 | |||||||
26882PBB7 | ERAC USA FINANCE LLC | 6.38 | 10/15/17 | 750,000 | 863,496 | |||||||
26884TAK8 | ERAC USA FINANCE LLC | 2.80 | 11/01/18 | 3,000,000 | 3,060,531 | |||||||
277432AM2 | EASTMAN CHEMICAL COMPANY | 2.40 | 06/01/17 | 300,000 | 306,162 | |||||||
278062AA2 | EATON CORPORATION | 0.95 | 11/02/15 | 100,000 | 100,647 | |||||||
278062AB0 | EATON CORPORATION | 1.50 | 11/02/17 | 250,000 | 248,956 | |||||||
278642AD5 | EBAY INC. | 0.70 | 07/15/15 | 250,000 | 250,539 | |||||||
278642AG8 | EBAY INC. | 1.35 | 07/15/17 | 2,900,000 | 2,898,102 | |||||||
278865AK6 | ECOLAB INC | 3.00 | 12/08/16 | 300,000 | 315,028 | |||||||
291011AZ7 | EMERSON ELECTRIC CO | 4.13 | 04/15/15 | 100,000 | 103,771 | |||||||
29379VAA1 | ENTERPRISE PRODUCTS OPERATING | 6.30 | 09/15/17 | 910,000 | 1,046,581 | |||||||
29379VAR4 | ENTERPRISE PRODUCTS OPERATING | 3.70 | 06/01/15 | 1,860,000 | 1,921,793 | |||||||
29379VAX1 | ENTERPRISE PRODUCTS OPERATING | 1.25 | 08/13/15 | 622,000 | 625,949 | |||||||
302182AF7 | ARISTOTLE HOLDING INC | 3.13 | 05/15/16 | 1,865,000 | 1,949,621 | |||||||
30219GAC2 | ARISTOTLE HOLDING INC | 3.50 | 11/15/16 | 450,000 | 477,118 | |||||||
30231GAA0 | EXXON MOBIL CORP | 0.92 | 03/15/17 | 125,000 | 124,712 | |||||||
30231GAD4 | EXXON MOBIL CORP | 1.82 | 03/15/19 | 300,000 | 299,095 | |||||||
30249UAA9 | FMC TECHNOLOGIES INC | 2.00 | 10/01/17 | 1,650,000 | 1,648,322 | |||||||
31620MAJ5 | FIDELITY NATIONAL INFORMATION | 2.00 | 04/15/18 | 293,000 | 286,928 | |||||||
337738AG3 | FISERV INC | 6.80 | 11/20/17 | 50,000 | 58,221 | |||||||
337738AK4 | FISERV INC | 3.13 | 06/15/16 | 200,000 | 208,979 | |||||||
345397VP5 | FORD MOTOR CREDIT COMPANY LLC | 6.63 | 08/15/17 | 200,000 | 230,365 | |||||||
345397WB5 | FORD MOTOR CREDIT COMPANY LLC | 4.21 | 04/15/16 | 200,000 | 212,152 | |||||||
345397WC3 | FORD MOTOR CREDIT COMPANY LLC | 2.75 | 05/15/15 | 250,000 | 255,203 | |||||||
345397WD1 | FORD MOTOR CREDIT COMPANY LLC | 3.00 | 06/12/17 | 200,000 | 207,609 | |||||||
35177PAU1 | ORANGE SA | 2.13 | 09/16/15 | 200,000 | 203,156 | |||||||
35671DBD6 | FREEPORT-MCMORAN COPPER & GOLD | 2.38 | 03/15/18 | 9,120,000 | 9,117,211 | |||||||
361448AP8 | GATX CORP | 2.38 | 07/30/18 | 93,000 | 91,535 | |||||||
362251AA8 | GRD HOLDING III CORP | 10.75 | 06/01/17 | 1,000,000 | 1,100,000 | |||||||
369550AV0 | GENERAL DYNAMICS CORP | 1.00 | 11/15/17 | 200,000 | 194,205 | |||||||
369604BE2 | GENERAL ELECTRIC CO | 0.85 | 10/09/15 | 4,675,000 | 4,696,806 |
Page 31
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
37476RAA5 | GIBSON BRANDS INC | 8.88 | 08/01/17 | 1,000,000 | 1,063,750 | |||||||
375558AQ6 | GILEAD SCIENCES INC | 4.50 | 01/01/21 | 2,500,000 | 2,731,639 | |||||||
377372AD9 | GLAXOSK CAP INC | 5.65 | 05/15/18 | 350,000 | 401,600 | |||||||
377373AB1 | GLAXOSMITHKLINE CAPITAL PLC | 0.75 | 05/08/15 | 250,000 | 250,874 | |||||||
377373AC9 | GLAXOSMITHKLINE CAPITAL PLC | 1.50 | 05/08/17 | 7,500,000 | 7,545,387 | |||||||
378272AE8 | GLENCORE FUNDING LLC | 1.60 | 01/15/19 | 2,250,000 | 2,242,800 | |||||||
380956AC6 | GOLDCORP INC. | 2.13 | 03/15/18 | 150,000 | 148,771 | |||||||
381131AA9 | GOLDEN NUGGET ESCROW INC | 8.50 | 12/01/19 | 500,000 | 508,125 | |||||||
406216BB6 | HALLIBURTON COMPANY | 1.00 | 08/01/16 | 3,135,000 | 3,146,581 | |||||||
406216BC4 | HALLIBURTON COMPANY | 2.00 | 07/01/18 | 150,000 | 150,042 | |||||||
41283LAC9 | HARLEY-DAVIDSON FINANCIAL | 1.15 | 09/15/15 | 3,560,000 | 3,568,625 | |||||||
427093AH2 | HERCULES OFFSHORE INC | 7.50 | 10/01/19 | 365,000 | 371,388 | |||||||
428236AS2 | HEWLETT-PACKARD CO | 5.50 | 03/01/18 | 150,000 | 168,038 | |||||||
428236BC6 | HEWLETT-PACKARD CO | 2.13 | 09/13/15 | 300,000 | 306,201 | |||||||
428236BP7 | HEWLETT-PACKARD CO | 3.00 | 09/15/16 | 5,950,000 | 6,214,312 | |||||||
428236BW2 | HEWLETT-PACKARD CO | 2.60 | 09/15/17 | 250,000 | 257,262 | |||||||
428236BY8 | HEWLETT-PACKARD CO | 2.75 | 01/14/19 | 1,000,000 | 1,008,351 | |||||||
437076AP7 | HOME DEPOT INC | 5.40 | 03/01/16 | 350,000 | 381,898 | |||||||
438516AS5 | HONEYWELL INTERNATIONAL INC | 5.30 | 03/15/17 | 150,000 | 167,804 | |||||||
448055AC7 | HUSKY ENERGY INC. | 6.20 | 09/15/17 | 100,000 | 114,386 | |||||||
452308AU3 | ILLINOIS TOOL WORKS INC | 1.95 | 03/01/19 | 3,500,000 | 3,466,986 | |||||||
456866AS1 | INGERSOLL-RAND COMPANY | 4.75 | 05/15/15 | 30,000 | 31,258 | |||||||
45687AAK8 | INGERSOLL-RAND GLOBAL HOLDING | 2.88 | 01/15/19 | 150,000 | 151,755 | |||||||
458140AH3 | INTEL CORP | 1.95 | 10/01/16 | 6,100,000 | 6,277,938 | |||||||
458140AL4 | INTEL CORP | 1.35 | 12/15/17 | 9,625,000 | 9,573,007 | |||||||
459200GM7 | INTERNATIONAL BUSINESS MACHINE | 7.63 | 10/15/18 | 200,000 | 247,667 | |||||||
459200GX3 | INTERNATIONAL BUSINESS MACHINE | 1.95 | 07/22/16 | 350,000 | 360,002 | |||||||
459200HD6 | INTERNATIONAL BUSINESS MACHINE | 0.75 | 05/11/15 | 6,700,000 | 6,723,595 | |||||||
459200HK0 | INTERNATIONAL BUSINESS MACHINE | 1.25 | 02/08/18 | 300,000 | 296,501 | |||||||
459200HT1 | INTERNATIONAL BUSINESS MACHINE | 1.95 | 02/12/19 | 100,000 | 99,341 | |||||||
460146CA9 | INTERNATIONAL PAPER COMPANY | 7.95 | 06/15/18 | 300,000 | 366,036 | |||||||
460690BJ8 | INTERPUBLIC GRP OF CO INC | 2.25 | 11/15/17 | 100,000 | 100,937 | |||||||
46122XAA1 | INTREPID AVIATION GROUP HOLDIN | 6.88 | 02/15/18 | 1,000,000 | 1,030,383 | |||||||
462651AA8 | IRACORE INTERNATIONAL HOLDINGS | 9.50 | 06/01/17 | 1,000,000 | 1,066,250 | |||||||
478160BF0 | JOHNSON & JOHNSON | 0.70 | 11/28/16 | 190,000 | 190,151 | |||||||
478160BG8 | JOHNSON & JOHNSON | 1.65 | 12/05/18 | 200,000 | 199,166 | |||||||
478366AZ0 | JOHNSON CONTROLS INC. | 2.60 | 12/01/16 | 200,000 | 206,621 | |||||||
481165AF5 | JOY GLOBAL INC. | 6.00 | 11/15/16 | 150,000 | 163,281 | |||||||
487836BE7 | KELLOGG COMPANY | 3.25 | 05/21/18 | 250,000 | 261,103 | |||||||
487836BH0 | KELLOGG COMPANY | 1.75 | 05/17/17 | 150,000 | 151,002 | |||||||
494368BB8 | KIMBERLY-CLARK CORPORATION | 6.13 | 08/01/17 | 250,000 | 287,978 | |||||||
494550BG0 | KINDER MORGAN ENERGY PARTNERS | 3.50 | 03/01/16 | 5,955,000 | 6,226,483 | |||||||
500472AB1 | ROYAL PHILIPS ELECTRONICS N.V. | 5.75 | 03/11/18 | 200,000 | 228,202 | |||||||
50075NAV6 | MONDELEZ INTERNATIONAL INC | 6.13 | 08/23/18 | 185,000 | 214,469 | |||||||
50075NBB9 | MONDELEZ INTERNATIONAL INC | 4.13 | 02/09/16 | 150,000 | 158,910 | |||||||
50076QAK2 | KRAFT FOODS GROUP INC | 1.63 | 06/04/15 | 500,000 | 505,214 | |||||||
50076QAX4 | KRAFT FOODS GROUP INC | 6.13 | 08/23/18 | 5,000,000 | 5,830,628 | |||||||
501044CM1 | KROGER CO (THE) | 3.90 | 10/01/15 | 300,000 | 314,071 | |||||||
502413BB2 | L-3 COMMUNICATIONS CORP | 3.95 | 11/15/16 | 150,000 | 160,054 | |||||||
50540RAK8 | LABORATORY CORP OF AMER HLDGS | 2.20 | 08/23/17 | 150,000 | 151,371 | |||||||
539830AX7 | LOCKHEED MARTIN CORPORATION | 2.13 | 09/15/16 | 150,000 | 154,306 | |||||||
544152AF8 | LORILLARD TOBACCO CO | 2.30 | 08/21/17 | 150,000 | 153,049 | |||||||
548661CY1 | LOWE’S COS INC | 1.63 | 03/15/17 | 300,000 | 303,865 | |||||||
552081AG6 | LYONDELLBASELL INDUSTRIES NV | 5.00 | 01/15/19 | 4,000,000 | 4,432,976 | |||||||
552081AK7 | LYONDELLBASELL INDUSTRIES NV | 5.75 | 01/15/24 | 3,000,000 | 3,441,461 | |||||||
552676AR9 | MDC HOLDINGS INC | 5.50 | 10/15/23 | 4,675,000 | 4,768,500 | |||||||
559417AA8 | MAGNETATION LLC / MAGNETATION | 11.00 | 05/15/18 | 1,000,000 | 1,117,500 | |||||||
565849AJ5 | MARATHON OIL CORP | 0.90 | 11/01/15 | 150,000 | 150,354 | |||||||
577081AX0 | MATTEL INC | 1.70 | 03/15/18 | 100,000 | 98,141 | |||||||
58013MEB6 | MCDONALDS CORP | 5.80 | 10/15/17 | 100,000 | 114,616 | |||||||
58013MEE0 | MCDONALDS CORP | 5.35 | 03/01/18 | 150,000 | 170,579 | |||||||
58013MEP5 | MCDONALDS CORP | 0.75 | 05/29/15 | 100,000 | 100,368 |
Page 32
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
581557AY1 | MCKESSON CORP | 0.95 | 12/04/15 | 2,100,000 | 2,100,353 | |||||||
581557BB0 | MCKESSON CORP | 1.29 | 03/10/17 | 100,000 | 99,919 | |||||||
581557BD6 | MCKESSON CORP | 2.28 | 03/15/19 | 200,000 | 199,263 | |||||||
58155QAC7 | MCKESSON CORP | 3.25 | 03/01/16 | 6,750,000 | 7,021,878 | |||||||
58155QAF0 | MCKESSON CORP | 1.40 | 03/15/18 | 2,300,000 | 2,235,513 | |||||||
585055AU0 | MEDTRONIC INC | 2.63 | 03/15/16 | 200,000 | 207,386 | |||||||
585055BA3 | MEDTRONIC INC | 1.38 | 04/01/18 | 1,400,000 | 1,379,109 | |||||||
586053AA8 | MEMORIAL RESOURCE DEVELOPMENT | 10.00 | 12/15/14 | 450,000 | 463,500 | |||||||
58933YAB1 | MERCK & CO INC | 2.25 | 01/15/16 | 400,000 | 410,353 | |||||||
58933YAD7 | MERCK & CO INC | 0.70 | 05/18/16 | 150,000 | 150,286 | |||||||
58933YAG0 | MERCK & CO INC | 1.30 | 05/18/18 | 150,000 | 147,185 | |||||||
594064AA5 | MICHAEL BAKER INTERNATIONAL LL | 8.25 | 10/15/17 | 1,000,000 | 1,067,500 | |||||||
594918AG9 | MICROSOFT CORP | 1.63 | 09/25/15 | 300,000 | 304,849 | |||||||
594918AP9 | MICROSOFT CORP | 0.88 | 11/15/17 | 200,000 | 196,581 | |||||||
626717AE2 | MURPHY OIL CORP | 2.50 | 12/01/17 | 100,000 | 101,473 | |||||||
628530AW7 | MYLAN INC/PA | 1.80 | 06/24/16 | 2,455,000 | 2,491,131 | |||||||
628530AX5 | MYLAN INC/PA | 2.60 | 06/24/18 | 1,500,000 | 1,512,997 | |||||||
63946BAD2 | NBCUNIVERSAL MEDIA LLC | 5.15 | 04/30/20 | 3,000,000 | 3,380,332 | |||||||
63946BAH3 | NBCUNIVERSAL MEDIA LLC | 2.88 | 01/15/23 | 5,000,000 | 4,822,076 | |||||||
654740AF6 | NISSAN MOTOR ACCEPTANCE CORP | 2.65 | 09/26/18 | 4,550,000 | 4,605,266 | |||||||
655844BB3 | NORFOLK SOUTHERN CORPORATION | 5.75 | 01/15/16 | 350,000 | 380,118 | |||||||
664784AA3 | NORTHERN BLIZZARD RESOURCES IN | 7.25 | 02/01/20 | 1,000,000 | 1,027,500 | |||||||
66989HAC2 | NOVARTIS CAPITAL CORP | 2.90 | 04/24/15 | 300,000 | 307,980 | |||||||
674599CD5 | OCCIDENTAL PETROLEUM CORPORATI | 1.50 | 02/15/18 | 250,000 | 247,270 | |||||||
675757AA6 | ODEBRECHT DRILL VIII/IX | 6.35 | 06/30/20 | 1,800,000 | 1,865,250 | |||||||
68268NAF0 | ONEOK PARTNERS LP | 3.25 | 01/01/16 | 975,000 | 1,013,138 | |||||||
68268NAH6 | ONEOK PARTNERS LP | 2.00 | 07/01/17 | 3,070,000 | 3,086,404 | |||||||
68389XAC9 | ORACLE CORP | 5.75 | 04/15/18 | 1,370,000 | 1,577,980 | |||||||
68389XAN5 | ORACLE CORP | 1.20 | 10/15/17 | 3,300,000 | 3,274,996 | |||||||
68402LAC8 | ORACLE CORP | 5.25 | 01/15/16 | 100,000 | 108,280 | |||||||
685218AA7 | ORANGE SA | 2.75 | 02/06/19 | 2,850,000 | 2,887,107 | |||||||
705010AB2 | PEARSON DOLLAR FINANCE TWO PLC | 6.25 | 05/06/18 | 2,000,000 | 2,280,835 | |||||||
709599AC8 | PENSKE TRUCK LEASING CO | 3.13 | 05/11/15 | 1,825,000 | 1,867,081 | |||||||
709599AJ3 | PENSKE TRUCK LEASING CO | 2.50 | 03/15/16 | 9,225,000 | 9,503,241 | |||||||
709629AC3 | PENTAIR FINANCE SA | 1.35 | 12/01/15 | 150,000 | 151,264 | |||||||
713448CA4 | PEPSICO INC | 0.70 | 08/13/15 | 500,000 | 500,734 | |||||||
713448CB2 | PEPSICO INC | 1.25 | 08/13/17 | 500,000 | 499,009 | |||||||
714264AD0 | PERNOD-RICARD SA | 4.45 | 01/15/22 | 7,000,000 | 7,310,995 | |||||||
714294AA3 | PERRIGO CO LTD | 1.30 | 11/08/16 | 3,450,000 | 3,453,539 | |||||||
716473AC7 | PETROFAC LTD | 3.40 | 10/10/18 | 5,500,000 | 5,605,731 | |||||||
71647NAC3 | PETROBRAS INT BRASPETRO BV | 2.00 | 05/20/16 | 2,900,000 | 2,880,024 | |||||||
71647NAG4 | PETROBRAS INT BRASPETRO BV | 3.25 | 03/17/17 | 5,600,000 | 5,626,658 | |||||||
716495AL0 | PETROHAWK ENERGY | 7.25 | 08/15/14 | 175,000 | 185,500 | |||||||
717081DD2 | PFIZER INC | 0.90 | 01/15/17 | 3,500,000 | 3,475,064 | |||||||
718172AA7 | PHILIP MORRIS INTERNATIONAL IN | 5.65 | 05/16/18 | 12,750,000 | 14,614,554 | |||||||
718172AJ8 | PHILIP MORRIS INTERNATIONAL IN | 2.50 | 05/16/16 | 6,000,000 | 6,228,433 | |||||||
718172AS8 | PHILIP MORRIS INTERNATIONAL IN | 1.13 | 08/21/17 | 7,753,000 | 7,674,958 | |||||||
718546AC8 | PHILLIPS 66 | 4.30 | 04/01/22 | 5,500,000 | 5,814,435 | |||||||
718546AE4 | PHILLIPS 66 | 1.95 | 03/05/15 | 2,600,000 | 2,631,647 | |||||||
723787AE7 | PIONEER NAT RES CO | 5.88 | 07/15/16 | 250,000 | 275,767 | |||||||
723787AG2 | PIONEER NAT RES CO | 6.65 | 03/15/17 | 2,720,000 | 3,095,469 | |||||||
72447XAC1 | PITNEY BOWES INC. | 5.75 | 09/15/17 | 53,000 | 59,546 | |||||||
72650RAX0 | PLAINS ALL AMERICAN PIPELINE L | 3.95 | 09/15/15 | 250,000 | 261,262 | |||||||
73755LAG2 | POTASH CORP OF SASKATCHEWAN IN | 3.75 | 09/30/15 | 2,275,000 | 2,371,839 | |||||||
73755LAJ6 | POTASH CORPORATION OF SASKETCH | 3.25 | 12/01/17 | 100,000 | 105,011 | |||||||
74005PBE3 | PRAXAIR INC | 0.75 | 02/21/16 | 300,000 | 300,101 | |||||||
740189AK1 | PRECISION CASTPARTS CORP | 1.25 | 01/15/18 | 150,000 | 147,407 | |||||||
742718DQ9 | PROCTER & GAMBLE COMPANY | 3.15 | 09/01/15 | 1,315,000 | 1,360,527 | |||||||
742718DS5 | PROCTER & GAMBLE COMPANY | 1.80 | 11/15/15 | 200,000 | 203,902 | |||||||
742718ED7 | PROCTER & GAMBLE COMPANY | 0.75 | 11/04/16 | 3,000,000 | 2,996,948 | |||||||
742718EE5 | PROCTER & GAMBLE COMPANY | 1.60 | 11/15/18 | 250,000 | 248,417 | |||||||
747262AN3 | QVC INC | 3.13 | 04/01/19 | 3,000,000 | 3,020,993 |
Page 33
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
74837RAH7 | QUICKSILVER RESOURCES INC | 5.98 | 06/21/19 | 500,000 | 494,375 | |||||||
74913GAT2 | QWEST CORP | 6.50 | 06/01/17 | 200,000 | 226,000 | |||||||
75040PAQ1 | RADIO ONE, INC. | 9.25 | 02/15/19 | 750,000 | 795,000 | |||||||
751212AA9 | RALPH LAUREN CORP | 2.13 | 08/26/18 | 5,325,000 | 5,291,560 | |||||||
75405UAB2 | RAS LAFFAN LNG 3 | 5.83 | 09/30/16 | 224,000 | 239,616 | |||||||
761713AV8 | REYNOLDS AMERICAN INC | 1.05 | 10/30/15 | 83,000 | 83,218 | |||||||
767201AC0 | RIO TINTO FINANCE (USA) LTD | 6.50 | 07/15/18 | 125,000 | 146,918 | |||||||
767201AF3 | RIO TINTO FINANCE (USA) LTD | 8.95 | 05/01/14 | 7,075,000 | 7,121,695 | |||||||
767201AJ5 | RIO TINTO FINANCE (USA) LTD | 1.88 | 11/02/15 | 3,200,000 | 3,255,024 | |||||||
76720AAE6 | RIO TINTO FINANCE (USA) PLC | 1.63 | 07/21/17 | 200,000 | 200,425 | |||||||
76720AAL0 | RIO TINTO FINANCE (USA) PLC | 1.38 | 06/17/16 | 100,000 | 100,879 | |||||||
76720AAM8 | RIO TINTO FINANCE (USA) PLC | 2.25 | 12/14/18 | 150,000 | 149,978 | |||||||
774341AD3 | ROCKWELL COLLINS INC. | 0.58 | 12/15/16 | 4,950,000 | 4,952,723 | |||||||
776696AD8 | ROPER IND, INC. | 1.85 | 11/15/17 | 100,000 | 99,027 | |||||||
78355HJR1 | RYDER SYSTEM INC. | 3.50 | 06/01/17 | 5,875,000 | 6,166,114 | |||||||
78355HJS9 | RYDER SYSTEM INC. | 2.50 | 02/01/17 | 350,000 | 356,930 | |||||||
78387GAL7 | AT&T INC | 5.63 | 06/15/16 | 600,000 | 660,240 | |||||||
78413KAA0 | SES GLOBAL AMERICAS HOLDING GP | 2.50 | 03/25/19 | 8,675,000 | 8,645,538 | |||||||
78572MAD7 | SABMILLER PLC | 6.50 | 07/01/16 | 6,250,000 | 6,997,606 | |||||||
790849AH6 | ST JUDE MEDICAL INC | 2.50 | 01/15/16 | 5,000,000 | 5,140,741 | |||||||
801060AB0 | SANOFI SA | 1.25 | 04/10/18 | 5,538,000 | 5,417,493 | |||||||
806854AA3 | SCHLUMBERGER GER INV | 1.95 | 09/14/16 | 1,950,000 | 1,990,862 | |||||||
80685PAC2 | SCHLUMBERGER NORGE AS | 1.95 | 09/14/16 | 2,700,000 | 2,749,986 | |||||||
811065AA9 | SCRIPPS NETWORKS INTERACTIVE I | 2.70 | 12/15/16 | 150,000 | 156,217 | |||||||
822582AH5 | SHELL INTERNATIONAL FINANCE BV | 3.25 | 09/22/15 | 750,000 | 779,346 | |||||||
824348AP1 | SHERWIN-WILLIAMS COMPANY (THE) | 1.35 | 12/15/17 | 100,000 | 98,818 | |||||||
844741AX6 | SOUTHWEST AIRLINES CO. | 5.13 | 03/01/17 | 250,000 | 273,660 | |||||||
855244AE9 | STARBUCKS CORP | 0.88 | 12/05/16 | 107,000 | 106,536 | |||||||
871503AG3 | SYMANTEC CORP | 2.75 | 09/15/15 | 100,000 | 102,758 | |||||||
871503AJ7 | SYMANTEC CORP | 2.75 | 05/15/17 | 100,000 | 102,472 | |||||||
871829AL1 | SYSCO CORP | 5.25 | 02/12/18 | 250,000 | 281,122 | |||||||
872882AC9 | TSMC GLOBAL LTD | 1.63 | 04/03/18 | 3,100,000 | 3,008,519 | |||||||
87612EAS5 | TARGET CORPORATION | 6.00 | 01/15/18 | 200,000 | 229,731 | |||||||
878742AX3 | TECK RESOURCES LIMITED | 2.50 | 02/01/18 | 150,000 | 150,199 | |||||||
87938WAJ2 | TELEFONICA EMISIONES SAU | 4.95 | 01/15/15 | 8,500,000 | 8,764,520 | |||||||
87938WAN3 | TELEFONICA EMISIONES SAU | 3.99 | 02/16/16 | 100,000 | 104,871 | |||||||
87938WAQ6 | TELEFONICA EMISIONES SAU | 3.19 | 04/27/18 | 350,000 | 358,457 | |||||||
88165FAC6 | TEVA PHARMAC FIN | 2.40 | 11/10/16 | 300,000 | 309,383 | |||||||
882508AR5 | TEXAS INSTRUMENTS INCORPORATED | 2.38 | 05/16/16 | 250,000 | 259,033 | |||||||
883556BA9 | THERMO FISHER SCIENTIFIC INC | 2.25 | 08/15/16 | 3,250,000 | 3,341,917 | |||||||
883556BD3 | THERMO FISHER SCIENTIFIC INC | 1.30 | 02/01/17 | 1,275,000 | 1,268,628 | |||||||
884903BN4 | THOMSON REUTERS CORP | 1.30 | 02/23/17 | 107,000 | 106,455 | |||||||
88579YAE1 | 3M CO | 1.00 | 06/26/17 | 300,000 | 297,814 | |||||||
887317AJ4 | TIME WARNER INC | 3.15 | 07/15/15 | 2,850,000 | 2,938,227 | |||||||
88732JAH1 | TIME WARNER CABLE INC | 5.85 | 05/01/17 | 250,000 | 281,594 | |||||||
88732JAL2 | TIME WARNER CABLE INC | 6.75 | 07/01/18 | 300,000 | 351,580 | |||||||
88732JAS7 | TIME WARNER CABLE INC | 8.25 | 04/01/19 | 1,000,000 | 1,249,304 | |||||||
89152UAG7 | TOTAL CAPITAL S.A. | 2.13 | 08/10/18 | 250,000 | 252,622 | |||||||
89153VAA7 | TOTAL CAPITAL INTERNATIONAL SA | 1.50 | 02/17/17 | 250,000 | 252,965 | |||||||
89153VAC3 | TOTAL CAPITAL INTERNATIONAL SA | 1.55 | 06/28/17 | 6,500,000 | 6,551,328 | |||||||
89153VAD1 | TOTAL CAPITAL INTERNATIONAL SA | 0.75 | 01/25/16 | 4,550,000 | 4,560,508 | |||||||
89233P4B9 | TOYOTA MOTOR CREDIT CORP | 3.20 | 06/17/15 | 2,409,000 | 2,486,478 | |||||||
89233P6D3 | TOYOTA MOTOR CREDIT CORP | 1.75 | 05/22/17 | 500,000 | 506,743 | |||||||
89233P6J0 | TOYOTA MOTOR CREDIT CORP | 0.88 | 07/17/15 | 150,000 | 150,663 | |||||||
89233P7E0 | TOYOTA MOTOR CREDIT CORP | 1.38 | 01/10/18 | 200,000 | 197,538 | |||||||
89378TAB9 | TRANSNET LTD | 4.50 | 02/10/16 | 5,950,000 | 6,232,670 | |||||||
893830AS8 | TRANSOCEAN INC | 6.00 | 03/15/18 | 250,000 | 277,843 | |||||||
893830BA6 | TRANSOCEAN INC | 5.05 | 12/15/16 | 250,000 | 272,328 | |||||||
90131HAA3 | NEWS AMERICA HOLDINGS | 4.00 | 10/01/23 | 5,600,000 | 5,699,679 | |||||||
902133AF4 | TYCO ELECTRONICS GROUP SA | 6.55 | 10/01/17 | 250,000 | 287,077 | |||||||
90333LAJ1 | US CONCRETE INC | 8.50 | 12/01/15 | 750,000 | 810,000 | |||||||
903436AA1 | US AIRWAYS GROUP INC | 7.13 | 05/27/20 | 2,590,489 | 3,014,682 |
Page 34
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
90345WAD6 | US AIRWAYS P-T TR | 4.63 | 09/29/21 | 1,445,023 | 1,513,662 | |||||||
904764AP2 | UNILEVER CAPITAL CORP | 0.85 | 08/02/17 | 6,275,000 | 6,156,775 | |||||||
913017BU2 | UNITED TECH CORP | 1.80 | 06/01/17 | 15,175,000 | 15,433,135 | |||||||
91324PBJ0 | UNITEDHEALTH GROUP INCORPORATE | 6.00 | 02/15/18 | 300,000 | 344,334 | |||||||
91324PBY7 | UNITEDHEALTH GROUP INCORPORATE | 1.40 | 10/15/17 | 2,725,000 | 2,710,017 | |||||||
918370AB3 | VTR FINANCE BV | 6.88 | 01/15/22 | 1,000,000 | 1,036,250 | |||||||
91911TAF0 | VALE OVERSEAS LIMITED | 6.25 | 01/11/16 | 300,000 | 325,684 | |||||||
91913YAM2 | VALERO ENERGY CORPORATION | 6.13 | 06/15/17 | 350,000 | 398,340 | |||||||
92343VAY0 | VERIZON COMMUNICATIONS INC | 3.00 | 04/01/16 | 13,900,000 | 14,497,139 | |||||||
92343VBD5 | VERIZON COMMUNICATIONS INC | 2.00 | 11/01/16 | 250,000 | 255,974 | |||||||
92343VBF0 | VERIZON COMMUNICATIONS INC | 1.10 | 11/01/17 | 250,000 | 245,575 | |||||||
92343VBN3 | VERIZON COMMUNICATIONS INC | 2.50 | 09/15/16 | 17,109,000 | 17,730,061 | |||||||
92343VBP8 | VERIZON COMMUNICATIONS INC | 3.65 | 09/14/18 | 1,350,000 | 1,437,727 | |||||||
92344SAK6 | CELLCO PARTNERSHIP/VERIZON WIR | 8.50 | 11/15/18 | 4,000,000 | 5,072,764 | |||||||
92553PAB8 | VIACOM INC | 6.13 | 10/05/17 | 1,326,000 | 1,518,806 | |||||||
92553PAG7 | VIACOM INC | 3.50 | 04/01/17 | 250,000 | 265,294 | |||||||
92553PAS1 | VIACOM INC | 2.50 | 09/01/18 | 40,000 | 40,598 | |||||||
92857WAP5 | VODAFONE GROUP PLC | 5.63 | 02/27/17 | 9,675,000 | 10,855,292 | |||||||
92857WBE9 | VODAFONE GROUP PLC | 1.50 | 02/19/18 | 3,200,000 | 3,148,382 | |||||||
928670AJ7 | VOLKSWAGEN INTERNATIONAL FINAN | 1.63 | 03/22/15 | 5,510,000 | 5,565,794 | |||||||
931142BY8 | WAL-MART STORES INC | 4.50 | 07/01/15 | 250,000 | 262,664 | |||||||
931142CX9 | WAL-MART STORES INC | 1.50 | 10/25/15 | 9,000,000 | 9,148,819 | |||||||
931142DE0 | WAL-MART STORES INC | 0.60 | 04/11/16 | 5,400,000 | 5,409,825 | |||||||
931142DF7 | WAL-MART STORES INC | 1.13 | 04/11/18 | 500,000 | 489,945 | |||||||
931422AH2 | WALGREEN CO | 3.10 | 09/15/22 | 4,925,000 | 4,734,510 | |||||||
931422AJ8 | WALGREEN CO | 1.80 | 09/15/17 | 250,000 | 252,008 | |||||||
94106LAX7 | WASTE MANAGEMENT INC | 2.60 | 09/01/16 | 150,000 | 155,936 | |||||||
942683AG8 | ACTAVIS PLC | 1.88 | 10/01/17 | 4,950,000 | 4,932,468 | |||||||
947074AJ9 | WEATHERFORD INTL INC | 6.35 | 06/15/17 | 300,000 | 339,511 | |||||||
947075AD9 | WEATHERFORD INTERNATIONAL LTD | 6.00 | 03/15/18 | 1,347,000 | 1,518,456 | |||||||
94770VAF9 | WEBMD HEALTH CORP | 2.50 | 01/31/18 | 1,450,000 | 1,456,235 | |||||||
94770VAH5 | WEBMD HEALTH CORP | 2.25 | 03/31/16 | 1,280,000 | 1,292,109 | |||||||
94973VAK3 | WELLPOINT INC | 5.25 | 01/15/16 | 250,000 | 269,207 | |||||||
94973VBC0 | WELLPOINT INC | 1.88 | 01/15/18 | 250,000 | 249,198 | |||||||
950840AC2 | WESFARMERS LTD | 1.87 | 03/20/18 | 825,000 | 817,839 | |||||||
958254AC8 | WESTERN GAS PARTNERS LP | 2.60 | 07/15/18 | 3,750,000 | 3,769,565 | |||||||
963320AP1 | WHIRLPOOL CORP | 1.35 | 03/01/17 | 2,585,000 | 2,573,211 | |||||||
96950HAD2 | WILLIAMS PARTNERS LP | 7.25 | 02/01/17 | 250,000 | 287,987 | |||||||
977255AD0 | WISE METALS GROUP LLC/WISE ALL | 8.75 | 06/15/18 | 700,000 | 750,750 | |||||||
982526AR6 | WM WRIGLEY JR CO | 1.40 | 10/21/16 | 1,800,000 | 1,814,036 | |||||||
982526AV7 | WM WRIGLEY JR CO | 2.90 | 09/21/19 | 5,000,000 | 5,057,436 | |||||||
983024AJ9 | WYETH | 5.50 | 02/15/16 | 300,000 | 325,269 | |||||||
983919AG6 | XILINX, INC. | 2.13 | 03/15/19 | 5,000,000 | 4,958,511 | |||||||
984121BQ5 | XEROX CORPORATION | 6.75 | 02/01/17 | 2,500,000 | 2,819,507 | |||||||
984121CF8 | XEROX CORPORATION | 2.95 | 03/15/17 | 250,000 | 259,996 | |||||||
98417EAU4 | XSTRATA FINANCE CANADA LTD | 2.70 | 10/25/17 | 8,705,000 | 8,829,410 | |||||||
98419MAA8 | XYLEM INC/NY | 3.55 | 09/20/16 | 4,475,000 | 4,720,054 | |||||||
98978VAG8 | ZOETIS INC | 1.88 | 02/01/18 | 2,550,000 | 2,541,727 | |||||||
LX091129 | FEDERAL MOGUL CORP | 2.07 | 12/29/14 | 531,070 | 528,415 | |||||||
LX091130 | FEDERAL MOGUL CORP | 2.16 | 12/28/15 | 1,115,863 | 1,110,284 | |||||||
LX098754 | CLEAR CHANNEL COMMUN, INC. | 3.88 | 01/29/16 | 1,521 | 1,489 | |||||||
LX113966 | ARAMARK CORPORATION | 3.49 | 07/26/16 | 8,639 | 8,628 | |||||||
LX114037 | AFFINION GROUP | 6.75 | 10/09/16 | 994,828 | 979,905 | |||||||
LX114499 | ASPECT SOFTWARE INC | 7.25 | 05/07/16 | 1,462,025 | 1,482,128 | |||||||
LX114885 | CITGO PETROLEUM CORPORATION | 9.00 | 06/30/17 | 1,000,500 | 1,009,254 | |||||||
LX115668 | ENERGY SOLUTIONS LLC (DURATEK | 6.75 | 08/15/16 | 504,610 | 507,133 | |||||||
LX116781 | COMMUNITY HLTH SYST INC | 3.47 | 01/25/17 | 4 | 4 | |||||||
LX118104 | US TELEPACI | 5.75 | 02/23/17 | 1,848,370 | 1,862,232 | |||||||
LX118296 | CALPINE CORP | 4.00 | 04/01/18 | 1,734,906 | 1,739,002 | |||||||
LX118451 | BROCK HOLDINGS III INC | 6.00 | 03/16/17 | 1,201,866 | 1,208,376 | |||||||
LX118449 | BROCK HOLDINGS III INC | 10.00 | 03/14/18 | 750,000 | 759,060 | |||||||
LX118573 | FIRST DATA CORP | 4.15 | 03/23/18 | 3,661,168 | 3,667,681 |
Page 35
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
LX118921 | SENSUS METERING | 8.50 | 05/11/18 | 750,000 | 752,813 | |||||||
LX119275 | TOYS R US DELAWR | 5.25 | 05/25/18 | 360,624 | 299,769 | |||||||
LX119943 | BARBRI INC | 6.00 | 07/17/19 | 1,303,899 | 1,303,899 | |||||||
LX121943 | AZ CHEM US | 4.23 | 12/22/17 | 1,298,384 | 1,306,499 | |||||||
LX123218 | EMI MUSIC PUBLISHING LTD | 3.75 | 06/29/18 | 220,558 | 220,788 | |||||||
LX122827 | CAESARS ENTERTAINMENT OPERATIN | 5.49 | 01/28/18 | 260,000 | 245,172 | |||||||
LX123371 | PROTECTION ONE, INC. | 4.25 | 03/21/19 | 906,516 | 905,949 | |||||||
LX123555 | TOYS R US DELAWR | 5.25 | 05/25/18 | 154,167 | 128,151 | |||||||
LX123690 | GOODYEAR TIRE & RUBBER CO | 4.75 | 04/30/19 | 1,930,000 | 1,936,031 | |||||||
LX123462 | TELESAT CANADA | 3.00 | 03/28/17 | 1,496,250 | 1,350,522 | |||||||
LX123563 | CONTAINER STORE/THE | 5.50 | 04/06/19 | 1,727,449 | 1,729,609 | |||||||
LX124057 | ARCH COAL INC. | 6.25 | 05/16/18 | 721,337 | 710,405 | |||||||
LX124065 | NOVELL, INC. | 7.25 | 11/24/17 | 2,042,869 | 2,055,126 | |||||||
LX124101 | MISYS PLC | 7.25 | 12/12/18 | 2,983,533 | 3,010,573 | |||||||
LX123772 | THERMASYS CORP | 5.25 | 05/03/19 | 760,375 | 757,207 | |||||||
LX126129 | GETTY IMAGES INC. | 4.75 | 10/18/19 | 442,457 | 423,791 | |||||||
LX126142 | CENTERPLATE INC | 4.75 | 11/26/19 | 2,000,000 | 2,010,000 | |||||||
LX126037 | TRANSTAR HOLDING COMPANY | 5.75 | 10/09/18 | 1,523,714 | 1,506,572 | |||||||
LX126185 | CDR DB SUB INC | 5.03 | 10/11/19 | 1,944,162 | 1,948,416 | |||||||
LX126084 | HARVARD DRUG GROUP LLC /THE | 4.24 | 08/16/20 | 3,066,046 | 3,088,085 | |||||||
LX126298 | EVERGREEN ACQCO 1 LP | 5.00 | 07/09/19 | 1,994,950 | 1,999,937 | |||||||
LX126385 | TRUVEN HEALTH ANALYTICS INC | 4.50 | 06/06/19 | 879,405 | 870,611 | |||||||
LX126444 | INSIGHT GLOBAL INC | 5.25 | 10/31/19 | 4,558,384 | 4,586,874 | |||||||
LX126292 | CUNNINGHAM LINDSEY INTERMEDIAT | 9.25 | 06/10/20 | 500,000 | 500,000 | |||||||
LX126872 | CHESAPEAKE ENERGY CORP | 5.75 | 12/02/17 | 2,110,000 | 2,155,827 | |||||||
LX126821 | ACADEMY SPORTS & OUTDOORS INC | 4.50 | 08/03/18 | 1,492,424 | 1,496,388 | |||||||
LX126919 | ARDENT MEDICAL | 6.75 | 07/02/18 | 3,584,608 | 3,584,608 | |||||||
LX126714 | CHG HEALTHCARE SERVICES INC | 9.00 | 11/19/20 | 173,804 | 175,977 | |||||||
LX127395 | SEQUA CORP | 5.25 | 06/19/17 | 2,371,054 | 2,314,742 | |||||||
LX127406 | SUNGARD DATA SYST INC. | 4.50 | 01/31/20 | 544,500 | 544,330 | |||||||
LX127048 | SAGE PRODUCTS HOLDINGS III LLC | 9.25 | 06/13/20 | 100,000 | 102,250 | |||||||
LX127540 | ALCATEL-LUCENT USA INC | 4.50 | 01/30/19 | 3,695,362 | 3,709,881 | |||||||
LX127081 | HEARTLAND DENTAL CARE INC | 9.75 | 06/20/19 | 200,000 | 203,500 | |||||||
LX128124 | RENFRO CORP | 5.75 | 01/30/19 | 1,817,620 | 1,813,076 | |||||||
LX128279 | UNIFRAX I LLC | 4.25 | 11/28/18 | 452,668 | 453,908 | |||||||
LX128258 | PHARMACEUTICAL PRODUCT DEV, IN | 4.00 | 12/05/18 | 2,067,914 | 2,071,362 | |||||||
LX127861 | ATI HOLDINGS LLC | 5.25 | 12/20/19 | 1,741,184 | 1,760,772 | |||||||
LX128323 | RITE AID CORP | 5.75 | 08/21/20 | 520,000 | 531,180 | |||||||
LX128350 | FREESCALE SEMICONDUCTOR INC | 5.00 | 02/28/20 | 1,712,063 | 1,715,987 | |||||||
LX128049 | CROSSMARK HOLDINGS INC | 7.73 | 12/21/20 | 750,000 | 748,125 | |||||||
LX128407 | SABRE INC | 3.48 | 02/19/19 | 2,514,713 | 2,514,167 | |||||||
LX128317 | WASH MULTI-FAMILY LAUNDRY SYST | 4.50 | 02/21/19 | 2,984,925 | 2,992,387 | |||||||
LX128438 | SHERIDAN HLDGS | 4.50 | 06/29/18 | 994,966 | 1,000,563 | |||||||
LX128346 | ADVANTAGE SALES & MARKETING IN | 4.25 | 12/12/17 | 994,969 | 998,286 | |||||||
LX128560 | STATION CASINOS LLC | 4.25 | 03/02/20 | 2,737,350 | 2,740,772 | |||||||
LX128601 | TOTAL SAFETY US INC | 5.75 | 03/13/20 | 2,002,312 | 2,004,815 | |||||||
LX128751 | TOTAL SAFETY US INC | 9.25 | 09/13/20 | 324,188 | 324,188 | |||||||
LX128623 | MERRILL COMMUNICATIONS LLC | 7.50 | 03/08/18 | 2,238,282 | 2,256,468 | |||||||
LX128825 | PHILADELPHIA ENERGY SOLUTIONS | 6.25 | 04/04/18 | 1,192,975 | 1,047,829 | |||||||
LX128704 | ENCOMPASS DIGITAL MEDIA INC | 6.75 | 08/10/17 | 2,040,837 | 2,053,592 | |||||||
LX129011 | UTEX IND | 4.50 | 04/10/20 | 1,243,734 | 1,245,808 | |||||||
LX128870 | HEINZ H. J. COMPANY | 3.50 | 06/05/20 | 1,994,975 | 2,005,199 | |||||||
LX128985 | PANDA TEMPLE POWER II LLC | 7.25 | 04/03/19 | 1,060,000 | 1,089,150 | |||||||
LX128933 | WIDEOPENWEST FINANCE LLC | 4.75 | 04/01/19 | 1,571,594 | 1,573,559 | |||||||
LX128970 | LTS BUYER LLC | 4.00 | 04/13/20 | 2,235,612 | 2,231,421 | |||||||
LX128973 | LTS BUYER LLC | 8.00 | 04/12/21 | 368,368 | 373,587 | |||||||
LX128482 | ALG BV | 10.25 | 02/28/20 | 750,000 | 757,500 | |||||||
LX129162 | AFFINIA GROUP | 4.75 | 04/25/20 | 729,488 | 731,311 | |||||||
LX129151 | FIRST DATA CORP | 4.15 | 09/24/18 | 1,000,000 | 1,001,250 | |||||||
LX129228 | SECURUS TECHNOLOGIES HOLDINGS | 4.75 | 04/30/20 | 1,243,750 | 1,239,086 | |||||||
LX129276 | SECURUS TECHNOLOGIES HOLDINGS | 9.00 | 04/30/21 | 500,000 | 500,625 | |||||||
LX129663 | COINMACH SERVICE CORP | 4.25 | 11/14/19 | 3,089,756 | 3,085,894 |
Page 36
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
LX129587 | LEARNING CARE GROUP US NO 2 IN | 6.00 | 05/08/19 | 1,763,379 | 1,768,890 | |||||||
LX129569 | TEINE ENERGY LTD | 7.50 | 05/17/19 | 1,393,341 | 1,410,758 | |||||||
LX129621 | JC PENNEY CORPORATION INC | 6.00 | 05/22/18 | 1,741,838 | 1,731,604 | |||||||
LX129627 | SUPERVALU INC. | 3.73 | 03/21/19 | 2,146,084 | 2,147,760 | |||||||
LX129608 | PRIMEDIA INC. | 6.25 | 05/29/20 | 2,307,538 | 2,267,156 | |||||||
LX129823 | ARYSTA LIFESCIENCE SPC LLC | 4.50 | 05/29/20 | 2,109,400 | 2,112,916 | |||||||
LX129824 | ARYSTA LIFESCIENCE SPC LLC | 8.25 | 11/30/20 | 680,000 | 692,750 | |||||||
LX130210 | CLEAR CHANNEL COMMUN, INC. | 6.90 | 01/30/19 | 2,158,288 | 2,110,806 | |||||||
LX129836 | AUGUST US HOLDING CO INC | 5.00 | 04/27/18 | 1,246,306 | 1,251,758 | |||||||
LX130123 | ONEX CARESTREAM FINANCE LP | 5.00 | 06/07/19 | 2,668,229 | 2,689,194 | |||||||
LX130126 | ONEX CARESTREAM FINANCE LP | 9.50 | 12/07/19 | 213,981 | 218,439 | |||||||
LX130228 | QUICKSILVER RESOURCES INC | 7.00 | 06/21/19 | 1,945,000 | 1,935,275 | |||||||
LX130470 | TWCC HOLDING CORP | 7.00 | 06/26/20 | 460,000 | 446,200 | |||||||
LX130250 | CTI FOODS HOLDING CO LLC | 4.50 | 06/29/20 | 2,303,425 | 2,303,425 | |||||||
LX130462 | TRAVELPORT | 6.25 | 06/26/19 | 2,037,461 | 2,082,454 | |||||||
LX130495 | EMERALD EXPOSITIONS HOLDING IN | 5.25 | 06/17/20 | 2,705,599 | 2,724,763 | |||||||
LX130765 | FOUR SEASONS HOLDINGS INC | 6.25 | 12/28/20 | 675,000 | 684,281 | |||||||
LX130583 | AMR CORPORATION | 3.75 | 06/27/19 | 1,037,156 | 1,039,749 | |||||||
LX130609 | VALEANT PHARMACEUTICALS INTERN | 3.75 | 08/05/20 | 1,558,672 | 1,564,673 | |||||||
LX130780 | TRIPLE POINT TECHNOLOGY INC | 5.25 | 07/10/20 | 1,900,450 | 1,786,423 | |||||||
LX131184 | ALTICE FINANCING SA | 4.73 | 07/02/19 | 2,723,175 | 2,775,937 | |||||||
LX131356 | USIC HOLDINGS INC | 4.00 | 07/10/20 | 2,033,394 | 2,035,935 | |||||||
LX131812 | CONTINENTAL BUILDING PRODUCTS | 4.75 | 08/28/20 | 3,009,875 | 3,011,756 | |||||||
LX130254 | BMC SOFTWARE FINANCE INC | 5.00 | 09/10/20 | 2,962,575 | 2,962,931 | |||||||
LX131658 | BOYD GAMING CORP | 4.00 | 08/14/20 | 1,994,987 | 1,995,486 | |||||||
LX131877 | FORESIGHT ENERGY LLC | 5.50 | 08/21/20 | 2,966,347 | 2,984,887 | |||||||
LX131482 | BALLY TECHNOLOGIES INC | 4.25 | 11/25/20 | 2,656,650 | 2,667,409 | |||||||
LX131913 | LEVEL 3 FINANCING INC | 4.00 | 01/15/20 | 2,000,000 | 2,002,500 | |||||||
LX131918 | ZEST ANCHORS LLC | 6.50 | 08/16/20 | 1,492,500 | 1,492,500 | |||||||
LX131914 | ACTIVISION BLIZZARD INC | 3.25 | 10/12/20 | 1,856,025 | 1,854,854 | |||||||
LX132463 | CPG INTERNATIONAL INC | 4.75 | 09/30/20 | 3,731,250 | 3,733,582 | |||||||
LX132660 | VALEANT PHARMACEUTICALS INTERN | 3.75 | 02/13/19 | 1,352,020 | 1,355,883 | |||||||
LX132801 | HILTON WORLDWIDE FINANCE LLC | 3.50 | 10/26/20 | 2,900,000 | 2,903,625 | |||||||
LX132456 | FIELDWOOD ENERGY LLC | 3.88 | 09/28/18 | 1,596,977 | 1,597,833 | |||||||
LX132457 | FIELDWOOD ENERGY LLC | 8.38 | 09/30/20 | 1,515,000 | 1,573,165 | |||||||
LX132564 | PACIFIC IND SRVCS BIDCO/SPOTLE | 8.75 | 04/02/19 | 475,000 | 486,281 | |||||||
LX132784 | DELL INC | 4.50 | 04/29/20 | 3,541,125 | 3,513,239 | |||||||
LX133060 | CITYCENTER HOLDINGS LLC | 5.00 | 10/16/20 | 3,970,050 | 3,995,689 | |||||||
LX132924 | HUDSONS BAY CO | 4.75 | 11/04/20 | 2,275,500 | 2,304,797 | |||||||
LX133352 | SHIP LUXCO 3 SARL | 4.50 | 10/14/19 | 1,995,000 | 1,999,988 | |||||||
LX133115 | P2 LOWER ACQUISITION LLC | 5.50 | 10/22/20 | 2,230,102 | 2,242,646 | |||||||
LX133117 | P2 LOWER ACQUISITION LLC | 9.50 | 10/28/21 | 800,000 | 808,000 | |||||||
LX133102 | AMNEAL PHARMACEUTICALS LLC | 5.75 | 11/01/19 | 1,631,798 | 1,640,977 | |||||||
LX133214 | OMNITRACS INC | 8.75 | 05/25/21 | 1,000,000 | 1,013,333 | |||||||
LX133212 | OMNITRACS INC | 4.75 | 11/25/20 | 3,496,827 | 3,530,337 | |||||||
LX133343 | P2 ENERGY SOLUTIONS INC | 5.00 | 10/30/20 | 2,433,900 | 2,447,591 | |||||||
LX133583 | BJS WHOLESALE CLUB, INC. | 8.50 | 03/26/20 | 875,000 | 894,323 | |||||||
LX133554 | TRIBUNE COMPANY | 4.00 | 12/27/20 | 2,992,500 | 2,991,004 | |||||||
LX133581 | BJS WHOLESALE CLUB, INC. | 4.50 | 09/26/19 | 3,491,250 | 3,501,270 | |||||||
LX133415 | GOLDEN NUGGET INC | 5.50 | 11/21/19 | 348,750 | 356,161 | |||||||
LX133417 | GOLDEN NUGGET INC | 5.50 | 11/21/19 | 149,625 | 152,805 | |||||||
LX133143 | ACTIVE NETWORK INC (THE) | 5.50 | 11/13/20 | 1,995,000 | 2,002,481 | |||||||
LX133144 | ACTIVE NETWORK INC (THE) | 9.50 | 11/15/21 | 710,000 | 717,100 | |||||||
LX133573 | FORTESCUE METALS | 4.25 | 06/28/19 | 2,985,000 | 3,006,456 | |||||||
LX133771 | MCJUNKIN RED MAN CORP | 4.75 | 11/08/19 | 3,034,750 | 3,068,891 | |||||||
LX133608 | FILTRATION GROUP CORP | 8.25 | 11/22/21 | 1,000,000 | 1,022,188 | |||||||
LX133756 | SOUTHERN GRAPHIC SYSTEMS INC | 4.25 | 10/17/19 | 2,916,877 | 2,922,346 | |||||||
LX133815 | BULLSEYE MERGERSUB INC | 4.75 | 11/26/20 | 1,993,884 | 1,998,247 | |||||||
LX133785 | DEL MONTE FOODS CONSUMER PRODU | 4.25 | 02/18/21 | 1,730,000 | 1,727,388 | |||||||
LX133786 | DEL MONTE FOODS CO | 8.25 | 08/18/21 | 350,000 | 347,813 | |||||||
LX133744 | CHG HEALTHCARE SERVICES INC | 4.25 | 11/19/19 | 2,355,599 | 2,360,506 | |||||||
LX133875 | OFFSHORE GROUP INVESTMENT LTD | 5.00 | 10/25/17 | 1,062,298 | 1,062,962 |
Page 37
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
LX133905 | REYNOLDS GROUP HOLDINGS INC | 4.00 | 12/01/18 | 997,500 | 1,000,462 | |||||||
LX133625 | MURRAY ENERGY CORP | 5.25 | 12/05/19 | 1,470,000 | 1,481,813 | |||||||
LX133871 | TALLGRASS OPERATIONS LLC | 4.25 | 11/13/18 | 3,000,000 | 3,019,287 | |||||||
LX134084 | SALIX PHARMACEUTICALS LTD. | 4.25 | 01/02/20 | 661,625 | 666,587 | |||||||
LX133926 | GO DADDY OPERATING CO LLC | 4.00 | 12/17/18 | 1,591,856 | 1,595,040 | |||||||
LX134066 | THE BRICKMAN GROUP LTD LLC | 7.50 | 12/17/21 | 280,000 | 285,600 | |||||||
LX134481 | SHERIDAN HLDGS | - | 12/20/21 | 300,000 | 306,750 | |||||||
LX134065 | BRICKMAN GROUP HOLDINGS INC | 4.00 | 12/18/20 | 1,346,625 | 1,348,308 | |||||||
LX134252 | CUMULUS MED INC. | 4.25 | 12/23/20 | 1,954,254 | 1,967,674 | |||||||
LX134609 | CLEAR CHANNEL COMMUN, INC. | 7.50 | 07/30/19 | 239,250 | 238,689 | |||||||
LX134432 | HEARTLAND DENTAL CARE INC | 5.50 | 12/21/18 | 2,992,441 | 3,005,533 | |||||||
LX134901 | CHS/COMMUNITY HEALTH SYSTEMS I | 4.25 | 01/27/21 | 1,818,188 | 1,832,381 | |||||||
LX134996 | MIRROR BIDCO CORP | 4.25 | 12/28/19 | 2,781,217 | 2,781,217 | |||||||
LX134875 | NTNL MNTR HLDGS | 4.75 | 01/31/21 | 1,560,000 | 1,569,750 | |||||||
LX135137 | IKARIA INC | 5.00 | 02/12/21 | 2,000,000 | 2,013,500 | |||||||
LX135139 | IKARIA INC | 8.75 | 02/14/22 | 130,000 | 131,463 | |||||||
LX134849 | PHARMEDIUM HLTH | 7.75 | 01/28/22 | 750,000 | 758,438 | |||||||
LX135021 | ATRIUM INNOVATIONS INC | 4.25 | 02/16/21 | 420,000 | 418,425 | |||||||
LX134951 | FLASH DUTCH 2 BV AND US COATIN | 4.00 | 02/01/20 | 3,000,339 | 3,001,948 | |||||||
LX135270 | SEDGWICK CLAIMS MANAGEMENT SER | 6.75 | 02/28/22 | 200,000 | 198,875 | |||||||
LX135382 | SURVEY SAMPLING INTERNATIONAL | 8.50 | 06/12/20 | 725,000 | 725,000 | |||||||
LX135333 | ALLIED SECURITY HOLDINGS LLC | 8.00 | 08/13/21 | 544,521 | 544,521 | |||||||
LX135334 | ALLIED SECURITY HOLDINGS LLC | 3.50 | 08/13/21 | 205,479 | 205,479 | |||||||
LX135356 | ADS WASTE ESCROW | 3.75 | 10/09/19 | 748,106 | 746,236 | |||||||
LX135023 | ATRIUM INNOVATIONS INC | 7.25 | 08/10/21 | 330,000 | 334,125 | |||||||
LX135524 | OPENLINK INTERNATIONAL INTERME | 6.25 | 10/30/17 | 846,286 | 849,104 | |||||||
LX135501 | DELUXE ENTERTAINMENT SERVICES | 6.50 | 02/28/20 | 1,000,000 | 1,001,667 | |||||||
LX135846 | IMS HEALTH INCORPORATED | 3.75 | 03/17/21 | 2,253,207 | 2,247,574 | |||||||
LX135658 | COLLECTIVE BRANDS INC | 5.00 | 03/11/21 | 2,050,000 | 2,050,000 | |||||||
LX135908 | NEIMAN MARCUS GROUP INC. THE | 4.25 | 10/25/20 | 3,990,000 | 4,003,091 | |||||||
LX135926 | SOPHIA LP | 4.00 | 07/19/18 | 1,047,154 | 1,047,154 | |||||||
LX132653 | AIR CANADA | 5.50 | 09/26/19 | 2,990,000 | 3,042,325 | |||||||
LX128935 | OFFSHORE GROUP INVESTMENT LTD/ | 5.75 | 03/28/19 | 1,598,850 | 1,608,843 | |||||||
LX130156 | SCHRADER INTERNATIONAL INC | 5.00 | 04/27/18 | 1,592,449 | 1,599,416 | |||||||
LX129590 | ION TRADING TECHNOLOGIES SARL | 4.50 | 05/22/20 | 801,563 | 803,566 | |||||||
LX129947 | OXEA FINANCE & CY SCA | 8.25 | 07/15/20 | 915,000 | 936,159 | |||||||
Q8700RAB4 | PACIFIC IND SRVCS BIDCO/SPOTLE | 5.00 | 04/27/18 | 2,776,050 | 2,813,063 | |||||||
1,087,938,894 | 1,116,004,136 | |||||||||||
Corporate Debt Securities - Utilities | ||||||||||||
010392FH6 | ALABAMA POWER COMPANY | 0.55 | 10/15/15 | 78,000 | 77,560 | |||||||
025537AF8 | AMERICAN ELECTRIC POWER COMPAN | 1.65 | 12/15/17 | 2,240,000 | 2,208,143 | |||||||
03040WAB1 | AMERICAN WATER CAPITAL CORP. | 6.09 | 10/15/17 | 150,000 | 168,861 | |||||||
125896BA7 | CMS ENERGY CO | 6.55 | 07/17/17 | 250,000 | 287,722 | |||||||
202795JC5 | COMMONWEALTH EDISON COMPANY | 2.15 | 12/15/18 | 1,200,000 | 1,194,409 | |||||||
207597ED3 | CONNECTICUT LIGHT & PWR CO | 5.65 | 05/01/18 | 250,000 | 283,890 | |||||||
209111ET6 | CONSOLIDATED EDISON INC | 5.85 | 04/01/18 | 250,000 | 285,448 | |||||||
23311VAE7 | DCP MIDSTREAM PARTNERS LP | 2.70 | 03/01/19 | 3,300,000 | 3,301,015 | |||||||
25746UBR9 | DOMINION RESOURCES INC | 1.40 | 09/15/17 | 300,000 | 295,895 | |||||||
26441CAB1 | DUKE ENERGY CORP | 6.25 | 06/15/18 | 2,800,000 | 3,250,210 | |||||||
26441CAG0 | DUKE ENERGY CORP | 2.15 | 11/15/16 | 300,000 | 308,593 | |||||||
26441CAH8 | DUKE ENERGY CORP | 1.63 | 08/15/17 | 250,000 | 250,774 | |||||||
26441CAK1 | DUKE ENERGY CORP | 2.10 | 05/15/18 | 6,200,000 | 6,211,468 | |||||||
268317AG9 | ELECTRICITE DE FRANCE SA | 1.15 | 01/20/17 | 5,000,000 | 4,982,107 | |||||||
268317AJ3 | ELECTRICITE DE FRANCE SA | 2.15 | 01/22/19 | 5,200,000 | 5,161,563 | |||||||
26875PAF8 | EOG RESOURCES INC | 2.95 | 06/01/15 | 2,900,000 | 2,979,721 | |||||||
281020AF4 | EDISON INTERNATIONAL INC | 3.75 | 09/15/17 | 250,000 | 265,998 | |||||||
283695BP8 | EL PASO NATURAL GAS COMPANY | 5.95 | 04/15/17 | 150,000 | 167,476 | |||||||
29273RAH2 | ENERGY TRANSFER PARTNERS LP | 6.70 | 07/01/18 | 250,000 | 289,199 | |||||||
29336UAA5 | ENLINK MIDSTREAM PARTNERS LP | 2.72 | 04/01/19 | 2,000,000 | 2,009,952 | |||||||
29364GAG8 | ENTERGY CORP | 4.70 | 12/15/16 | 100,000 | 105,859 | |||||||
30161MAE3 | EXELON GENERATION CO LLC | 6.20 | 10/01/17 | 300,000 | 333,568 | |||||||
30161NAD3 | EXELON CORPORATION | 4.90 | 06/15/15 | 2,325,000 | 2,431,001 |
Page 38
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
302570AX4 | FPL GROUP CAPITAL INC | 6.65 | 06/15/67 | 200,000 | 200,000 | |||||||
302570AY2 | NEXTERA ENERGY CAPITAL HOLDING | 7.30 | 09/01/17 | 100,000 | 110,250 | |||||||
340711AQ3 | FL GAS TSMN CO | 7.90 | 05/15/19 | 3,400,000 | 4,164,942 | |||||||
373334JY8 | GEORGIA POWER COMPANY | 0.75 | 08/10/15 | 300,000 | 300,275 | |||||||
373334JZ5 | GEORGIA POWER COMPANY | 0.63 | 11/15/15 | 100,000 | 99,446 | |||||||
494550AU0 | KINDER MORGAN ENERGY PARTNERS | 6.00 | 02/01/17 | 1,193,000 | 1,334,979 | |||||||
494550BR6 | KINDER MORGAN ENERGY PARTNERS | 2.65 | 02/01/19 | 6,700,000 | 6,705,010 | |||||||
50064YAB9 | KOREA HYDRO & NUCLEAR POWER CO | 3.13 | 09/16/15 | 3,100,000 | 3,188,422 | |||||||
595620AG0 | MIDAMERICAN ENERGY CO | 5.95 | 07/15/17 | 200,000 | 228,104 | |||||||
59562VAZ0 | MIDAMERICAN ENERGY HOLDINGS CO | 1.10 | 05/15/17 | 4,375,000 | 4,346,935 | |||||||
59562VBA4 | MIDAMERICAN ENERGY HOLDINGS CO | 2.00 | 11/15/18 | 200,000 | 197,095 | |||||||
59562VBB2 | MIDAMERICAN ENERGY HOLDINGS CO | 3.75 | 11/15/23 | 4,750,000 | 4,728,835 | |||||||
636274AC6 | NATIONAL GRID PLC | 6.30 | 08/01/16 | 150,000 | 167,430 | |||||||
65339KAF7 | NEXTERA ENERGY CAPITAL HOLDING | 1.20 | 06/01/15 | 2,600,000 | 2,611,083 | |||||||
65473QAS2 | NISOURCE FINANCE CORP | 6.40 | 03/15/18 | 150,000 | 173,044 | |||||||
693304AL1 | PECO ENERGY CO | 5.35 | 03/01/18 | 200,000 | 225,656 | |||||||
693304AQ0 | PECO ENERGY CO | 1.20 | 10/15/16 | 111,000 | 111,001 | |||||||
69331CAF5 | PG&E CORP | 2.40 | 03/01/19 | 2,000,000 | 1,978,614 | |||||||
69352PAG8 | PPL CAPITAL FUNDING LLC | 1.90 | 06/01/18 | 400,000 | 393,000 | |||||||
69353UAB7 | PPL WEM HOLDINGS PLC | 3.90 | 05/01/16 | 2,500,000 | 2,631,051 | |||||||
698455AB8 | PANHANDLE EAST PIPE LINE | 7.00 | 06/15/18 | 155,000 | 179,296 | |||||||
743263AL9 | PROGRESS ENERGY INC | 5.63 | 01/15/16 | 150,000 | 161,822 | |||||||
74456QAW6 | PUBLIC SERVICE ELECTRIC AND GA | 2.70 | 05/01/15 | 175,000 | 178,997 | |||||||
816851AS8 | SEMPRA ENERGY | 2.30 | 04/01/17 | 300,000 | 306,568 | |||||||
84755TAA5 | SPECTRA ENERGY CAPITAL | 6.20 | 04/15/18 | 200,000 | 224,876 | |||||||
84756NAC3 | SPECTRA ENERGY PARTNERS LP | 2.95 | 08/25/18 | 6,500,000 | 6,650,405 | |||||||
893526DH3 | TRANS-CANADA PIPELINES | 3.40 | 06/01/15 | 250,000 | 257,882 | |||||||
893526DL4 | TRANS-CANADA PIPELINES | 0.88 | 03/02/15 | 7,000,000 | 7,018,782 | |||||||
927804FM1 | VIRGINIA ELECTRIC AND POWER CO | 1.20 | 01/15/18 | 450,000 | 438,970 | |||||||
958254AB0 | WESTERN GAS PARTNERS LP | 4.00 | 04/01/22 | 6,650,000 | 6,628,721 | |||||||
976656CF3 | WISCONSIN ELECTRIC POWER COMPA | 1.70 | 06/15/18 | 150,000 | 147,458 | |||||||
98389BAK6 | XCEL ENERGY INC | 5.61 | 04/01/17 | 200,000 | 223,354 | |||||||
LX119741 | CALPINE CORP | 4.00 | 04/01/18 | 979,849 | 981,890 | |||||||
LX124490 | LSP MADISON FUNDING LLC | 4.48 | 06/28/19 | 402,252 | 401,749 | |||||||
LX125098 | ESSENTIAL POWER LLC | 3.49 | 08/08/19 | 992,263 | 997,224 | |||||||
LX126010 | PANDA SHERMAN POWER LLC | 9.00 | 09/13/18 | 630,000 | 644,175 | |||||||
LX129413 | POWER BUYER LLC | 4.25 | 05/06/20 | 388,178 | 386,237 | |||||||
LX129414 | POWER BUYER LLC | 8.25 | 11/06/20 | 215,000 | 212,581 | |||||||
LX129682 | POWERTEAM SERVICES LLC | 3.68 | 05/06/20 | 20,778 | 20,674 | |||||||
94,580,319 | 96,807,265 | |||||||||||
Asset Backed Securities - Credit Cards | ||||||||||||
161571FJ8 | CHASE ISSUANCE TRUST CHAIT_12- | 0.79 | 06/15/15 | 1,300,000 | 1,305,216 | |||||||
161571FL3 | CHAIT_12-A5 | 0.59 | 08/17/15 | 750,000 | 750,463 | |||||||
161571FQ2 | CHASE ISSUANCE TRUST CHAIT_12- | 2.16 | 09/15/22 | 500,000 | 461,310 | |||||||
36159JDE8 | GE CAPITAL CREDIT CARD MASTER | 0.95 | 06/15/15 | 275,000 | 275,971 | |||||||
36159JDH1 | GEMNT_12-6 | 1.36 | 08/15/17 | 900,000 | 887,602 | |||||||
36159JDL2 | GE CAPITAL CREDIT CARD MASTER | 1.76 | 09/16/19 | 500,000 | 480,219 | |||||||
36159JDQ1 | GE CAPTIAL CREDIT CARD MASTER | 1.35 | 03/15/18 | 500,000 | 486,469 | |||||||
14041NDX6 | CAPITAL ONE MULTI-ASSET EXECUT | 5.75 | 09/15/17 | 1,350,000 | 1,540,259 | |||||||
17305EDE2 | CITIBANK CREDIT CARD ISSUANCE | 5.30 | 03/15/16 | 400,000 | 434,436 | |||||||
17305EDT9 | CCCIT_13-A1 | 6.15 | 06/15/37 | 350,000 | 405,878 | |||||||
17305EDY8 | CCCIT_13-A1 | 5.65 | 09/20/17 | 2,300,000 | 2,618,139 | |||||||
17305EEE1 | CITIBANK CREDIT CARD ISSUANCE | 5.35 | 02/07/18 | 436,000 | 494,427 | |||||||
254683AC9 | DCENT_07-A1 | 5.65 | 09/15/17 | 1,500,000 | 1,707,917 | |||||||
254683BA2 | DISCOVER CARD MASTER TRUST DCE | 0.69 | 02/16/16 | 1,250,000 | 1,248,820 | |||||||
12,311,000 | 13,097,125 | |||||||||||
Asset Backed Securities - Auto Receivables | ||||||||||||
13975DAD7 | AFIN_13-3 | 1.68 | 02/20/17 | 1,600,000 | 1,606,784 | |||||||
13975EAC7 | AFIN_13-1 | 0.79 | 02/06/16 | 1,178,000 | 1,175,997 | |||||||
14313KAC2 | CARMX_12-3 | 0.52 | 04/15/15 | 275,000 | 275,120 | |||||||
14313MAC8 | CARMX_13-2 | 0.64 | 11/01/15 | 1,500,000 | 1,498,955 | |||||||
43813UAD2 | HONDA AUTO RECEIVABLES OWNER T | 0.97 | 04/30/15 | 500,000 | 502,760 |
Page 39
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||
43814CAD1 | HONDA AUTO RECEIVABLES OWNER T | 0.62 | 03/06/16 | 615,000 | 613,495 | |||||
44890JAC3 | HYUNDAI AUTO RECEIVABLES TRUST | 0.56 | 12/02/15 | 1,000,000 | 1,000,168 | |||||
44890LAC8 | HYUNDAI AUTO RECEIVABLES TRUST | 0.71 | 10/01/15 | 300,000 | 300,306 | |||||
44924CAA2 | HCAF_10-8A | 1.16 | 07/13/15 | 599,204 | 595,909 | |||||
65475QAD3 | NISSAN AUTO RECEIVABLES OWNER | 1.24 | 07/01/15 | 1,600,000 | 1,615,024 | |||||
65476GAD4 | NISSAN AUTO RECEIVABLES OWNER | 0.66 | 02/28/16 | 1,300,000 | 1,298,986 | |||||
98158QAD8 | WOART_12-B | 0.81 | 06/13/16 | 500,000 | 498,111 | |||||
80283GAC8 | SDART_13-3 | 0.70 | 03/01/15 | 500,000 | 499,908 | |||||
L2R424AA3 | ECAR_12-1 | 1.48 | 06/19/17 | 1,079,011 | 1,496,007 | |||||
Z9195VUA5 | CAR_12-F1F | 1.38 | 09/25/14 | 1,042,712 | 1,442,148 | |||||
13,588,928 | 14,419,676 | |||||||||
Asset Backed Securities - Student Loans | ||||||||||
00389VAA0 | ALFT_13-1A | 0.95 | 06/04/25 | 19,285,667 | 19,285,898 | |||||
00432CAZ4 | AGSL_03-1 | 1.66 | 09/08/24 | 4,100,000 | 3,788,425 | |||||
00432CBB6 | AGSL_03-1 | 1.65 | 11/25/26 | 3,600,000 | 3,326,659 | |||||
00432CBP5 | AGSL_03-1 | 1.65 | 12/05/26 | 5,350,000 | 4,936,659 | |||||
00434MAC1 | ACCESS TO LOANS FOR LEARNING S | 0.95 | 01/08/23 | 15,954,742 | 15,902,570 | |||||
041150DJ9 | ASLA_10-1 | 1.13 | 01/17/19 | 4,758,139 | 4,790,875 | |||||
10620NAC2 | BRAZOS HIGHER EDUCATION AUTHOR | 0.35 | 08/16/15 | 944,974 | 941,839 | |||||
10620NAH1 | BRHEA_05-3A | 0.34 | 08/26/16 | 63,175 | 63,157 | |||||
12556PAC1 | CITEL_05-1 | 0.35 | 02/17/17 | 5,735,481 | 5,696,618 | |||||
19458LBA7 | COELT_05-A | 0.32 | 08/15/14 | 41,194 | 41,056 | |||||
26845BAA7 | EFSV2_ 2012-1 | 1.03 | 08/14/16 | 3,980,824 | 4,017,129 | |||||
28137RAA5 | EDUSA_14-1 | 0.86 | 02/25/39 | 16,250,000 | 16,093,490 | |||||
28140DAB9 | ELAB_13-1A | 0.95 | 04/27/17 | 3,963,679 | 3,980,287 | |||||
28140VAB9 | EFCT_04-1 | 0.39 | 12/16/14 | 300,286 | 300,151 | |||||
36156YAN1 | GCO EDUCATION LOAN FUNDING TRU | 0.30 | 10/17/15 | 881,356 | 873,338 | |||||
429827AE8 | HIGHER EDUCATION FUNDING HEF_0 | 1.09 | 05/18/25 | 2,100,000 | 1,932,674 | |||||
429827AK4 | HIGHER EDUCATION FUNDING HEF_0 | 0.04 | 04/03/21 | 2,300,000 | 2,100,636 | |||||
429827AN8 | HEF_04-1 | 0.17 | 01/22/22 | 2,100,000 | 1,918,340 | |||||
429827AQ1 | HEF_04-1 | 1.44 | 01/01/44 | 2,950,000 | 2,720,511 | |||||
57563NAA6 | MEFA | 1.19 | 11/23/27 | 2,398,755 | 2,398,875 | |||||
61205PAK5 | MHESA_12-1 | 1.16 | 10/21/17 | 9,100,000 | 9,181,454 | |||||
64033GAA9 | NSLT_13-5A | 0.78 | 10/28/20 | 5,006,193 | 5,000,837 | |||||
66704JAZ1 | NORTHSTAR GUARANTEE INC DIV B | 0.36 | 04/28/14 | 129,767 | 129,752 | |||||
66705EAA6 | NEF_12-1 | 0.85 | 06/19/19 | 1,875,682 | 1,876,338 | |||||
698475AM2 | PANHANDLE-PLAINS HIGHER EDUCAT | 1.38 | 05/19/18 | 4,873,818 | 4,944,269 | |||||
71722TAF1 | PHEAA_04-1 | 1.66 | 09/27/18 | 2,000,000 | 1,917,126 | |||||
71722TAG9 | PHEAA_04-1 | 1.66 | 09/07/20 | 6,000,000 | 5,752,494 | |||||
78442GHY5 | SLMA | 1.64 | 12/15/16 | 200,000 | 199,938 | |||||
78442GHZ2 | SLMA | 1.65 | 08/19/14 | 1,600,000 | 1,600,000 | |||||
78442GJA5 | SLM STUDENT LOAN TR 2003-10A | 1.65 | 08/14/14 | 500,000 | 500,000 | |||||
78442GJD9 | SLM STUDENT LOAN TR 2003-10A | 1.65 | 08/20/14 | 1,800,000 | 1,800,000 | |||||
78442GQR0 | SLMA | 0.99 | 09/10/19 | 2,150,000 | 2,114,437 | |||||
80705WAA7 | SCHOL_12-B | 0.55 | 03/29/15 | 1,731,666 | 1,720,981 | |||||
80705XAA5 | SCHOL_13-A | 0.80 | 10/11/22 | 1,002,405 | 996,391 | |||||
83715AAK5 | SOUTH CAROLINA STUDENT LN CORP | 0.69 | 04/25/14 | 301,612 | 301,681 | |||||
86386MAY0 | STUDENT LOAN CON | 1.37 | 04/15/22 | 16,165,422 | 16,416,309 | |||||
B0A0BSZC0 | SLMA_03-5 | 0.57 | 04/27/18 | 1,129,630 | 1,527,733 | |||||
U8280TAR8 | SLMA | 0.85 | 12/10/21 | 2,670,000 | 3,625,470 | |||||
155,294,467 | 154,714,397 | |||||||||
Asset Backed Securities - CLO | ||||||||||
00083VAA9 | ACASC_07-1 | 0.47 | 06/19/16 | 6,750,000 | 6,650,384 | |||||
00089KAB5 | ACIS_13 | 1.11 | 12/24/18 | 12,211,343 | 11,856,054 | |||||
00089RAA2 | ACIS_13-1 | 0.74 | 05/06/18 | 17,400,000 | 16,972,430 | |||||
00306LAA2 | ABERD_08-1A | 0.89 | 06/27/16 | 19,890,489 | 19,536,916 | |||||
020056AJ6 | ALM_12-5A | 1.44 | 10/15/17 | 9,600,000 | 9,598,193 | |||||
03761QAA3 | APID_06-QA | 0.49 | 12/12/15 | 5,244,410 | 5,238,811 | |||||
04012VAA7 | ARES | 0.86 | 01/19/16 | 7,639,769 | 7,505,131 | |||||
04941LAE7 | ATLAS SENIOR LOAN FUND LTD ATC | - | 07/03/24 | 15,300,000 | 13,098,275 | |||||
04963VAC2 | ATR_4C-DO | 0.49 | 02/01/16 | 1,204,123 | 1,198,162 | |||||
05615MAA5 | BABSN_05-3A | 0.49 | 11/18/15 | 1,427,102 | 1,417,500 |
Page 40
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
09202XAA2 | BLACK DIAMOND CLO LTD BLACK_06 | 0.49 | 06/25/16 | 3,802,292 | 3,729,915 | |||||||
09624QAC3 | BLUEM_05-1A | 0.47 | 06/28/15 | 67,655 | 67,671 | |||||||
107265AL4 | BRENTWOOD CLO LTD BRENT_06-1A | 0.51 | 06/27/16 | 9,881,575 | 9,724,063 | |||||||
125478AA5 | CIFC_06-2 | 0.50 | 06/03/14 | 813,897 | 805,531 | |||||||
12627UAA9 | COAS_14-1A | 1.59 | 12/27/18 | 8,200,000 | 8,172,954 | |||||||
15136DAA4 | CECLO_13-20A | 4.84 | 07/02/18 | 550,000 | 500,500 | |||||||
17178TAA4 | CIFC_06-1BA | 4.23 | 05/23/17 | 750,000 | 731,625 | |||||||
219239AA8 | CORNR_07-1A | 0.46 | 04/27/16 | 5,050,000 | 4,940,046 | |||||||
26250AAL3 | DRSLF_11-22A | 1.41 | 05/01/17 | 4,200,000 | 4,200,036 | |||||||
26358BAA6 | DUANE STREET CLO DUANE_06-3A | 0.49 | 12/02/15 | 157,263 | 155,711 | |||||||
26828RAA3 | ECP_08-1A | 1.08 | 05/19/17 | 3,500,000 | 3,460,044 | |||||||
33842RAA1 | FLAGSHIP CLO FLAGS_06-1A | 0.46 | 02/16/17 | 2,819,115 | 2,799,932 | |||||||
345447AA4 | FORE_07-1A | 0.48 | 06/16/16 | 3,926,572 | 3,900,924 | |||||||
352569AB3 | FCLO_5 | 0.49 | 06/30/16 | 3,121,781 | 3,094,466 | |||||||
355524AB5 | FRASR_06-1A | 0.49 | 11/07/15 | 1,256,853 | 1,249,914 | |||||||
363206AF0 | GALE | 0.48 | 07/26/15 | 7,381,303 | 7,250,536 | |||||||
36361RAB3 | GALLATIN FUNDING LTD GALL_13-1 | 1.39 | 02/06/19 | 12,000,000 | 11,820,000 | |||||||
378663AA6 | GLEAG_05-1A | 0.51 | 08/08/15 | 3,192,866 | 3,178,919 | |||||||
38136TAA1 | GOLDS_07-5A | 0.93 | 06/22/16 | 6,599,849 | 6,582,457 | |||||||
42822XAA3 | HICDO_07-1RA | 0.63 | 05/28/16 | 10,329,183 | 10,228,009 | |||||||
448647AA5 | HYDEP_1A | 0.62 | 06/25/16 | 632,769 | 863,882 | |||||||
44928XAA2 | ICG_14-1A | 1.39 | 08/22/20 | 9,900,000 | 9,635,116 | |||||||
476759AA3 | JERSEY STREET CLO LTD JERSY_06 | 0.49 | 12/12/15 | 2,056,849 | 2,047,750 | |||||||
482474AA1 | KKR FINANCIAL CLO LTD KKR_05-1 | 0.51 | 11/04/15 | 76,729 | 76,537 | |||||||
48248CAA2 | KKR FINANCIAL CLO LTD KKR_07-1 | 0.59 | 09/04/15 | 27,005,316 | 26,532,723 | |||||||
506828AA0 | LAFC_12-1A | 1.64 | 01/27/16 | 665,174 | 664,786 | |||||||
530361AE4 | LIBERTY CLO | 0.49 | 09/17/14 | 3,850,859 | 3,837,847 | |||||||
55817LAA8 | MDPK_07-6A | 5.49 | 03/24/17 | 650,000 | 650,000 | |||||||
55818NAA3 | MDPK_14-13A | 5.24 | 05/26/21 | 500,000 | 475,000 | |||||||
64090AAA2 | NEUB_14-16A | - | 07/02/20 | 750,000 | 665,625 | |||||||
67089NAE2 | OCP_12-2A | 1.06 | 03/17/18 | 10,171,481 | 9,933,031 | |||||||
67102SAA2 | OCP_14-5A | 1.24 | 11/19/20 | 11,000,000 | 10,673,476 | |||||||
67103QAA5 | OFSBS_13-5A | 1.17 | 11/08/18 | 9,500,000 | 9,359,562 | |||||||
67106AAA7 | OFSBS_14-6A | 1.26 | 05/10/20 | 11,000,000 | 10,712,834 | |||||||
67590KAA8 | OCT18_13-1A | 5.49 | 08/13/22 | 750,000 | 710,625 | |||||||
67590MAA4 | OCT19_14-1A | - | 07/02/20 | 250,000 | 232,020 | |||||||
74981TAA2 | RACEP_06-3 | 0.50 | 04/29/16 | 5,552,934 | 5,521,113 | |||||||
74982NAA4 | RACEP_11-5AR | 1.53 | 10/06/18 | 6,000,000 | 6,005,855 | |||||||
804075AA7 | SATURN CLO LTD STRN_07-1A | 0.46 | 07/12/16 | 4,278,728 | 4,192,725 | |||||||
87155MAA9 | SYMPH_5 | 0.99 | 12/28/17 | 10,000,000 | 9,814,480 | |||||||
89622HAA1 | TRMN_06-2A | 0.49 | 11/07/15 | 1,215,112 | 1,208,834 | |||||||
92327JAA9 | VENT_8 | 0.52 | 05/08/17 | 1,500,000 | 1,466,578 | |||||||
929260AA5 | WGH_06-1A | 0.49 | 12/05/15 | 2,406,792 | 2,375,113 | |||||||
98886MAA2 | ZAIS_14-1A | 1.63 | 08/17/20 | 8,000,000 | 7,921,112 | |||||||
BRS6DUE27 | STANFIELD VEYRON | 0.46 | 04/15/14 | 597,243 | 597,107 | |||||||
BRS89G5B9 | DRYD_05-10EX | 0.66 | 05/11/16 | 620,095 | 842,732 | |||||||
BRSJRCWG3 | GALATTIN FUNDS LTD GALL_13-1X | - | 12/03/23 | 7,350,000 | 5,924,100 | |||||||
G0684GAA8 | AVOVA_III-X | 0.66 | 10/01/16 | 608,915 | 828,560 | |||||||
G37116AC7 | GALLATIN FUNDING LTD GALL_12-1 | - | 07/13/19 | 3,445,000 | 2,425,280 | |||||||
324,601,434 | 315,859,511 | |||||||||||
Asset Backed Securities - Other | ||||||||||||
00104UAC2 | AEPTC TEXAS CENTRAL TRANSITION | 2.84 | 12/09/22 | 700,000 | 675,179 | |||||||
02005ACC0 | AMOT 2013-2 | 1.44 | 02/16/15 | 4,300,000 | 4,332,207 | |||||||
03072SKH7 | AMSI_03-10 | 0.91 | 01/06/22 | 6,954,875 | 6,686,639 | |||||||
037680AA3 | AEPWV_13-1 | 2.01 | 02/02/19 | 4,700,000 | 4,657,747 | |||||||
04542BDG4 | ABFC_03-OPT1 | 0.83 | 04/13/21 | 2,691,685 | 2,519,711 | |||||||
14453MAD6 | CARR_06-NC4 | 0.39 | 06/19/27 | 4,600,000 | 2,735,040 | |||||||
15200NAB1 | CNP | 3.46 | 12/05/16 | 850,000 | 898,793 | |||||||
29365KAB9 | ETI | 3.65 | 11/01/16 | 1,000,000 | 1,060,345 | |||||||
34528QDF8 | FORDF_14-1 | 0.56 | 04/18/17 | 16,000,000 | 16,002,240 | |||||||
83611MAQ1 | SOUNDVIEW HOME EQUITY LOAN TRU | 1.45 | 03/20/20 | 2,405,632 | 2,384,931 | |||||||
86358EAJ5 | SAIL_03-B2 | 0.83 | 10/28/16 | 8,459,899 | 8,163,566 |
Page 41
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||||
86358EJS6 | STRUCTURED ASSET INVESTMENT LO | 0.95 | 07/11/21 | 7,690,767 | 7,233,766 | |||||||||
86358EKH8 | STRUCTURED ASSET INVESTMENT LO | 0.99 | 05/23/17 | 9,264,788 | 9,087,942 | |||||||||
69,617,645 | 66,438,107 | |||||||||||||
Total Fixed income Securities | 6,228,562,248 | 6,068,666,227 | ||||||||||||
Other Invested Assets - High Yield Fund | ||||||||||||||
CRESCENT CAPITAL HIGH YIELD FUND | 32,919,988 | |||||||||||||
Equities | ||||||||||||||
5176177 | FRANCE TELECOM SA | 22,403 | 331,001 | |||||||||||
8911703 | AIR CANADA | 92,400 | 462,942 | |||||||||||
9158106 | AIR PRODUCTS AND CHEMICALS INC | 7,960 | 947,558 | |||||||||||
18490102 | ALLERGAN INC/UNITED STATES | 6,904 | 856,786 | |||||||||||
18802108 | ALLIANT ENERGY CORP | 50,000 | 2,840,500 | |||||||||||
23135106 | AMAZON.COM INC | 6,560 | 2,207,571 | |||||||||||
23608102 | AMEREN CORPORATION | 60,350 | 2,486,420 | |||||||||||
25537101 | AMERICAN ELECTRIC POWER COMPAN | 62,225 | 3,152,319 | |||||||||||
25816109 | AMERICAN EXPRESS COMPANY | 16,705 | 1,503,951 | |||||||||||
31162100 | AMGEN INC | 18,104 | 2,232,947 | |||||||||||
37833100 | APPLE INC | 17,184 | 9,223,340 | |||||||||||
39483102 | ARCHER-DANIELS-MIDLAND COMPANY | 23,243 | 1,008,514 | |||||||||||
53015103 | AUTOMATIC DATA PROCESSING, INC | 12,536 | 968,531 | |||||||||||
54937107 | BB&T CORP | 15,152 | 608,656 | |||||||||||
57224107 | BAKER HUGHES INC | 12,626 | 820,943 | |||||||||||
60505104 | BANK OF AMERICA | 124,695 | 2,144,754 | |||||||||||
64058100 | BANK OF NEW YORK MELLON CORP/T | 10,549 | 372,274 | |||||||||||
67383109 | CR BARD INC | 6,652 | 984,363 | |||||||||||
71813109 | BAXTER INTERNATIONAL INC. | 5,038 | 370,696 | |||||||||||
75887109 | BECTON DICKINSON | 6,434 | 753,293 | |||||||||||
75896100 | BED BATH & BEYOND INC. | 70,000 | 4,816,000 | |||||||||||
84670702 | BERK HATH FIN | 63,865 | 7,981,209 | |||||||||||
97023105 | BOEING CO | 60,661 | 7,612,349 | |||||||||||
110122108 | BRISTOL-MYERS SQUIBB CO | 25,344 | 1,316,621 | |||||||||||
111320107 | BROADCOM CORP | 25,560 | 804,629 | |||||||||||
115637209 | BROWN-FORMAN CORPORATION | 9,734 | 873,042 | |||||||||||
126408103 | CSX CORPORATION | 180,000 | 5,214,600 | |||||||||||
134429109 | CAMPBELL SOUP COMPANY | 13,467 | 604,399 | |||||||||||
144285103 | CARPENTER TECH CORP | 68,000 | 4,490,720 | |||||||||||
149123101 | CATERPILLAR INC | 8,468 | 841,465 | |||||||||||
152006102 | CENTERRA GOLD INC | 24,800 | 115,715 | |||||||||||
166764100 | CHEVRON CORP | 71,392 | 8,489,223 | |||||||||||
172967424 | CITIGROUP INC | 35,579 | 1,693,560 | |||||||||||
191216100 | COCA-COLA COMPANY (THE) | 25,845 | 999,168 | |||||||||||
194162103 | COLGATE-PALMOLIVE CO | 1,243 | 80,633 | |||||||||||
200340107 | COMERICA INCORPORATED | 22,766 | 1,179,279 | |||||||||||
205887102 | CONAGRA FOODS INC. | 155,000 | 4,809,650 | |||||||||||
231021106 | CUMMINS INC | 7,254 | 1,080,773 | |||||||||||
235851102 | DANAHER CORPORATION | 11,019 | 826,425 | |||||||||||
244199105 | DEERE & CO | 901 | 81,811 | |||||||||||
254687106 | WALT DISNEY COMPANY (THE) | 36,515 | 2,923,756 | |||||||||||
260003108 | DOVER CORP | 9,040 | 739,020 | |||||||||||
263534109 | EI DU PONT DE NEMOURS & CO | 45,821 | 3,074,589 | |||||||||||
268648102 | EMC CORP | 40,061 | 1,098,072 | |||||||||||
278642103 | EBAY INC. | 105,746 | 5,841,409 | |||||||||||
291011104 | EMERSON ELECTRIC CO | 7,301 | 487,707 | |||||||||||
316773100 | FIFTH THIRD BANK | 60,122 | 1,379,800 | |||||||||||
354613101 | FRANKLIN RESOURCES INC | 10,965 | 594,084 | |||||||||||
369550108 | GENERAL DYNAMICS CORP | 28,443 | 3,098,012 | |||||||||||
369604103 | GENERAL ELECTRIC CO | 92,967 | 2,406,916 | |||||||||||
384802104 | GRAINGER W.W. INC | 2,511 | 634,429 | |||||||||||
391164100 | GREAT PLAINS ENERGY INCORPORAT | 186,400 | 5,040,256 |
Page 42
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
406216101 | HALLIBURTON COMPANY | 27,955 | 1,646,270 | |||||||||
410345102 | HANESBRANDS INC | 40,000 | 3,059,200 | |||||||||
412822108 | HARLEY-DAVIDSON INC | 20,690 | 1,378,161 | |||||||||
418056107 | HASBRO INC | 59,725 | 3,321,905 | |||||||||
427866108 | HERSHEY COMPANY THE | 8,864 | 925,402 | |||||||||
431475102 | HILL-ROM HOLDINGS INC. | 75,000 | 2,890,500 | |||||||||
437076102 | HOME DEPOT INC | 20,905 | 1,654,213 | |||||||||
438516106 | HONEYWELL INTERNATIONAL INC | 47,602 | 4,415,562 | |||||||||
440452100 | HORMEL FOODS CORP | 14,435 | 711,212 | |||||||||
448579102 | HYATT HOTELS CORP | 35,000 | 1,883,350 | |||||||||
452308109 | ILLINOIS TOOL WORKS INC | 12,382 | 1,007,028 | |||||||||
458140100 | INTEL CORP | 57,907 | 1,494,580 | |||||||||
459200101 | INTERNATIONAL BUSINESS MACHINE | 7,747 | 1,491,220 | |||||||||
478160104 | JOHNSON & JOHNSON | 61,773 | 6,067,962 | |||||||||
494368103 | KIMBERLY-CLARK CORPORATION | 46,315 | 5,106,229 | |||||||||
496902404 | KINROSS GOLD CORP | 43,647 | 199,467 | |||||||||
497350108 | KIRIN BREWERY CO LTD | 18,000 | 246,600 | |||||||||
518439104 | ESTEE LAUDER INC | 11,234 | 751,330 | |||||||||
532457108 | ELI LILLY AND COMPANY | 74,652 | 4,394,017 | |||||||||
577081102 | MATTEL INC | 120,000 | 4,813,200 | |||||||||
579780206 | MCCORMICK & COMPANY INCORPORAT | 9,366 | 671,917 | |||||||||
580135101 | MCDONALDS CORP | 12,211 | 1,197,044 | |||||||||
585055106 | MEDTRONIC INC | 14,562 | 896,145 | |||||||||
594918104 | MICROSOFT CORP | 265,285 | 10,874,032 | |||||||||
609207105 | MONDELEZ INTERNATIONAL INC | 95,000 | 3,282,250 | |||||||||
617446448 | MORGAN STANLEY | 29,985 | 934,632 | |||||||||
636180101 | NATIONAL FUEL GAS CO | 55,000 | 3,852,200 | |||||||||
637071101 | NATIONAL OILWELL VARCO INC | 7,431 | 578,652 | |||||||||
654106103 | NIKE INC | 18,662 | 1,378,375 | |||||||||
655844108 | NORFOLK SOUTHERN CORPORATION | 48,700 | 4,732,179 | |||||||||
665859104 | NORTHERN TRUST COMPANY | 2,052 | 134,529 | |||||||||
670346105 | NUCOR CORP | 15,500 | 783,370 | |||||||||
674599105 | OCCIDENTAL PETROLEUM CORPORATI | 20,999 | 2,000,995 | |||||||||
681919106 | OMNICOM GROUP INC | 65,000 | 4,719,000 | |||||||||
693475105 | PNC FINANCIAL SERVICES GROUP I | 50,650 | 4,406,550 | |||||||||
693718108 | PACCAR INC | 16,328 | 1,101,160 | |||||||||
695781104 | PAINTED PONY PETROLEUM LTD | 24,000 | 194,392 | |||||||||
701094104 | PARKER HANNIFIN CORP | 8,524 | 1,020,408 | |||||||||
713448108 | PEPSICO INC | 14,096 | 1,177,016 | |||||||||
717081103 | PFIZER INC | 247,107 | 7,937,077 | |||||||||
718172109 | PHILIP MORRIS INTERNATIONAL IN | 18,911 | 1,548,244 | |||||||||
740189105 | PRECISION CASTPARTS CORP | 3,919 | 990,566 | |||||||||
742718109 | PROCTER & GAMBLE COMPANY | 70,359 | 5,670,935 | |||||||||
751212101 | RALPH LAUREN CORP | 5,691 | 915,853 | |||||||||
755111507 | RAYTHEON COMPANY | 20,000 | 1,975,800 | |||||||||
756109104 | REALTY INCOME CORP | 25,675 | 1,049,081 | |||||||||
773903109 | ROCKWELL AUTOMATION INC | 23,129 | 2,880,717 | |||||||||
774341101 | ROCKWELL COLLINS INC. | 10,075 | 802,675 | |||||||||
790849103 | ST JUDE MEDICAL INC | 17,701 | 1,157,468 | |||||||||
806407102 | HENRY SCHEIN INC | 25,000 | 2,984,250 | |||||||||
806857108 | SCHLUMBERGER LTD | 75,770 | 7,387,575 | |||||||||
808513105 | CHARLES SCHWAB CORPORATIO | 27,837 | 760,785 | |||||||||
810186106 | SCOTTS COMPANY | 45,000 | 2,757,600 | |||||||||
816851109 | SEMPRA ENERGY | 42,800 | 4,141,328 | |||||||||
824348106 | SHERWIN-WILLIAMS COMPANY (THE) | 3,391 | 668,468 | |||||||||
826552101 | SIGMA-ALDRICH CORPORATION | 5,648 | 527,410 | |||||||||
828806109 | SIMON PROP GRP INC | 41,176 | 6,752,864 | |||||||||
842587107 | SOUTHERN COMPANY (THE) | 30,609 | 1,344,959 | |||||||||
847560109 | SPECTRA ENERGY CORP | 63,900 | 2,360,466 | |||||||||
854502101 | STANLEY BLACK & DECKER INC | 67,372 | 5,473,301 | |||||||||
857477608 | STATE STREET BOSTON CORP | 157,000 | 4,064,730 | |||||||||
863667101 | STRYKER CORP | 9,017 | 734,615 |
Page 43
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
871829107 | SYSCO CORP | 29,895 | 1,080,106 | |||||||||
872540109 | TJX COS INC | 21,964 | 1,332,117 | |||||||||
874039100 | TAIWAN SEMICONDUCTOR MANUFACTU | 32,200 | 644,644 | |||||||||
882508104 | TEXAS INSTRUMENTS INCORPORATED | 34,152 | 1,610,267 | |||||||||
895945103 | TRICAN WELL SERVICE LTD | 80,200 | 1,016,533 | |||||||||
902973304 | US BANCORP | 4,328 | 185,498 | |||||||||
904784709 | UNILEVER N.V. | 17,150 | 705,208 | |||||||||
907818108 | UNION PACIFIC CORP | 6,431 | 1,206,841 | |||||||||
911312106 | UNITED PARCEL SERVICE INC | 12,346 | 1,202,253 | |||||||||
913017109 | UNITED TECH CORP | 7,768 | 907,613 | |||||||||
929352102 | WUXI PHARMATECH CAYMAN INC | 20,298 | 748,184 | |||||||||
931142103 | WAL-MART STORES INC | 10,821 | 827,049 | |||||||||
949746101 | WELLS FARGO & COMPANY | 109,973 | 5,470,057 | |||||||||
962166104 | WEYERHAEUSER COMPANY | 14,925 | 438,049 | |||||||||
969457100 | WILLIAMS COS INC | 106,100 | 4,305,538 | |||||||||
976657106 | WISCONSIN ENERGY CORPORATION | 58,040 | 2,701,762 | |||||||||
000375204 | ABB TREASURY CENTER USA INC. | 165,000 | 4,255,350 | |||||||||
00206R102 | AT&T INC | 60,927 | 2,136,710 | |||||||||
002824100 | ABBOTT LABORATORIES | 20,650 | 795,232 | |||||||||
00287Y109 | ABBVIE INC | 25,718 | 1,321,905 | |||||||||
00507V109 | ACTIVISION BLIZZARD INC | 210,000 | 4,292,400 | |||||||||
00817Y108 | AETNA INC | 78,535 | 5,887,769 | |||||||||
01626P403 | COUCHE-TARD U.S. L.P. | 6,500 | 526,537 | |||||||||
03076C106 | AMERIPRISE FINANCIAL INC | 17,549 | 1,931,618 | |||||||||
05967A107 | BANCO SANTANDER BRASIL SA | 31,899 | 177,677 | |||||||||
09247X101 | BLACKROCK INC. | 11,572 | 3,639,163 | |||||||||
12572Q105 | CME GROUP INC | 71,658 | 5,303,409 | |||||||||
13321L108 | CAMECO CORP | 21,100 | 483,190 | |||||||||
14149Y108 | CARDINAL HEALTH INC | 75,000 | 5,248,500 | |||||||||
15135U109 | CENOVUS ENERGY INC | 140,000 | 4,054,400 | |||||||||
15189T107 | CENTERPOINT ENERGY INC. | 129,550 | 3,069,040 | |||||||||
17275R102 | CISCO SYSTEMS INC | 119,536 | 2,678,802 | |||||||||
20825C104 | CONOCOPHILLIPS | 36,202 | 2,546,811 | |||||||||
22160K105 | COSTCO WHSLE CORP | 12,901 | 1,440,784 | |||||||||
22282E102 | COVANTA HOLDING CORP | 105,000 | 1,895,250 | |||||||||
25271C102 | DIAMOND OFFSHORE DRILLING INC. | 6,370 | 310,601 | |||||||||
25746U109 | DOMINION RESOURCES INC | 82,200 | 5,835,378 | |||||||||
29476L107 | EQUITY RESIDENTIAL | 69,000 | 4,001,310 | |||||||||
30225T102 | EXTRA SPACE STORAGE INC | 102,858 | 4,989,642 | |||||||||
30231G102 | EXXON MOBIL CORP | 47,506 | 4,640,386 | |||||||||
37045V100 | GENERAL MOTORS CO | 79,000 | 2,719,180 | |||||||||
38141G104 | GOLDMAN SACHS GROUP INC | 5,737 | 940,007 | |||||||||
38259P508 | 3,951 | 4,403,429 | ||||||||||
40412C101 | HCA HOLDINGS INC | 110,000 | 5,775,000 | |||||||||
42805T105 | HERTZ GLOBAL | 215,000 | 5,727,600 | |||||||||
45866F104 | INTERCONTINENTALEXCHANGE GROUP | 4,533 | 896,763 | |||||||||
46625H100 | JPMORGAN CHASE & CO | 171,324 | 10,401,080 | |||||||||
50076Q106 | KRAFT FOODS GROUP INC | 65,000 | 3,646,500 | |||||||||
55261F104 | M&T BANK CORPORATION | 26,750 | 3,244,775 | |||||||||
57636Q104 | MASTERCARD INC | 20,250 | 1,512,675 | |||||||||
58933Y105 | MERCK & CO INC | 34,284 | 1,946,303 | |||||||||
61166W101 | MONSANTO COMPANY | 7,428 | 845,084 | |||||||||
65339F101 | FPL GROUP INC. | 33,850 | 3,236,737 | |||||||||
65473P105 | NISOURCE INC | 62,825 | 2,232,172 | |||||||||
68389X105 | ORACLE CORP | 52,915 | 2,164,753 | |||||||||
70336T500 | PATRIOT COAL CORP | 144 | 1,987 | |||||||||
71654V408 | PETROLEO BRASILEIRO SA | 19,327 | 254,150 | |||||||||
74005P104 | PRAXAIR INC | 6,228 | 815,681 | |||||||||
74340W103 | PROLOGIS INC | 155,300 | �� | 6,340,899 | ||||||||
74460D109 | PUBLIC STORAGE, INC. | 26,818 | 4,518,565 | |||||||||
75281A109 | RANGE RESOURCES CORP | 55,000 | 4,563,350 | |||||||||
78462F103 | SPDR TRUST SERIES 1 | 429,169 | 80,271,770 |
Page 44
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
80105N105 | SANOFI SA | 51,375 | 2,685,885 | |||||||||
81211K100 | SEALED AIR CORP | 145,000 | 4,766,150 | |||||||||
81282V100 | SEAWORLD PARKS & ENTERTAINMENT | 150,000 | 4,534,500 | |||||||||
85571B105 | STARWOOD PROPERTY TRUST INC | 36,000 | 849,240 | |||||||||
85571W109 | STARWOOD PROPERTY TRUST INC | 7,200 | 207,288 | |||||||||
87612E106 | TARGET CORPORATION | 16,900 | 1,022,619 | |||||||||
88579Y101 | 3M CO | 40,807 | 5,535,878 | |||||||||
91324P102 | UNITEDHEALTH GROUP INCORPORATE | 15,274 | 1,252,315 | |||||||||
92276F100 | VENTAS, INC. | 38,700 | 2,344,070 | |||||||||
92826C839 | VISA INC | 8,090 | 1,746,307 | |||||||||
97717W851 | WISDOMTREE JAPAN DIVIDEND FUND | 1,010,000 | 47,813,400 | |||||||||
97717X701 | WISDOMTREE INTERNATIONAL HEDGE | 921,895 | 52,133,162 | |||||||||
B4BNMY3 | ACCENTURE LTD | 9,738 | 776,313 | |||||||||
BRSBXVK41 | ROLLS ROYCE GROUP PLC | 70,941 | 1,270,212 | |||||||||
BRSC1ALQ0 | SWISS REINSURANCE COMPANY | 1,088 | 100,936 | |||||||||
BRSCU9H37 | PARAMOUNT BED HOLDINGS CO LTD | 5,900 | 184,760 | |||||||||
BRSDDTH06 | CRH PLC | 11,997 | 335,013 | |||||||||
BRSDNJ8W7 | UNICREDITO ITALIANO S.P.A. | 192,818 | 1,761,932 | |||||||||
BRSELZSU3 | RTL GROUP SA | 1,510 | 172,008 | |||||||||
BRSGBFS74 | ASML HOLDING NV | 4,059 | 376,106 | |||||||||
BRSGCE0T8 | GLP J-REIT | 396 | 399,518 | |||||||||
D35415104 | INFINEON TECHNOLOGIES AG | 82,798 | 988,476 | |||||||||
D5032B102 | LANXESS | 8,597 | 648,723 | |||||||||
E90183182 | TELEFONICA | 28,073 | 444,373 | |||||||||
F00189120 | ACCOR SA | 10,099 | 517,298 | |||||||||
F03381138 | SAFRAN SA | 8,101 | 561,498 | |||||||||
F54432111 | LAFARGE S.A. | 3,515 | 274,686 | |||||||||
F5485U100 | LAGARDERE S.C.A. | 8,647 | 343,469 | |||||||||
F80343100 | SAINT GOBAIN | 9,470 | 572,331 | |||||||||
F9156M108 | THALES S. A. | 6,616 | 438,874 | |||||||||
F95922104 | VALLOUREC | 23,268 | 1,263,684 | |||||||||
G03764134 | ANGLO AMERICAN PLC | 15,069 | 383,492 | |||||||||
G0537K100 | HOME RETAIL GROUP | 36,965 | 133,482 | |||||||||
G2830J103 | DAPHINE INTERNATIONAL HOLDINGS | 338,000 | 137,692 | |||||||||
G32655105 | EXPERIAN PLC | 43,834 | 789,972 | |||||||||
G4634U169 | HSBC HOLDINGS PLC | 97,200 | 983,625 | |||||||||
G5257K107 | KINGBOARD LAMINATES HOLDINGS L | 371,500 | 136,013 | |||||||||
G56350112 | LONMIN PLC | 61,465 | 293,068 | |||||||||
G60744102 | MGM CHINA HOLDINGS | 107,600 | 379,379 | |||||||||
G65007109 | NEW WORLD DEPARTMENT STORE CHI | 191,000 | 91,104 | |||||||||
H36940130 | HOLCIM LTD | 2,566 | 212,635 | |||||||||
J24994105 | ISUZU MOTORS LTD | 73,000 | 420,343 | |||||||||
J2501P104 | ITOCHU CORP | 20,100 | 235,380 | |||||||||
J37479110 | KYOCERA CORP | 5,400 | 243,979 | |||||||||
J56741101 | NISHIMATSUYA CHAIN CO., LTD. | 17,900 | 130,185 | |||||||||
J58472119 | NITTO DENKO CORP | 6,200 | 297,523 | |||||||||
J77024115 | SUMITOMO BAKELITE CO., LTD. | 63,000 | 242,861 | |||||||||
J86957115 | TOKYO ELECTRON LTD | 4,300 | 264,092 | |||||||||
L80308106 | SAMSONITE INTERNATIONAL SA | 299,700 | 927,260 | |||||||||
M75253100 | ORBOTECH LTD. | 12,714 | 195,668 | |||||||||
N63218106 | NIELSEN HOLDINGS NV | 95,000 | 4,239,850 | |||||||||
N6983Q147 | ROYAL PHILIPS ELECTRONICS N.V. | 12,796 | 449,808 | |||||||||
N9643A114 | WOLTERS KLUWER NV | 3,118 | 88,010 | |||||||||
P31076105 | COPA HOLDINGS | 10,476 | 1,521,010 | |||||||||
P8696W104 | SINOVAC BIOTECH LTD | 25,477 | 183,434 | |||||||||
S00536730 | ASHTEAD GROUP PLC | 70,653 | 1,120,175 | |||||||||
S00595850 | ARM HOLDINGS PLC | 77,954 | 1,297,011 | |||||||||
S02335271 | CRODA INTERNATIONAL PLC | 12,053 | 511,597 | |||||||||
S02374007 | DIAGEO PLC | 64,572 | 2,003,389 | |||||||||
S02875805 | BRITISH AMER TOBACCO PLC | 30,575 | 1,700,208 | |||||||||
S03308608 | SPECTRIS PLC | 12,858 | 496,891 | |||||||||
S04052072 | HALMA PLC | 22,765 | 218,607 |
Page 45
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
S04082848 | STANDARD CHARTERED PLC | 23,534 | 491,807 | |||||||||
S04161022 | HAYS PLC | 97,950 | 236,781 | |||||||||
S05203377 | JARDINE LLOYD THOMPSON GROUP P | 15,038 | 266,751 | |||||||||
S05331533 | COMPASS GROUP | 115,490 | 1,761,733 | |||||||||
S07099542 | PRUDENTIAL PLC | 39,799 | 841,661 | |||||||||
S07980592 | BP PLC | 121,851 | 975,091 | |||||||||
S08025413 | SIG PLC | 62,763 | 210,422 | |||||||||
S08706129 | LLOYDS TSB GROUP PLC | 450,931 | 561,196 | |||||||||
S08762890 | BG GROUP | 76,398 | 1,423,325 | |||||||||
S09067448 | MOTHERCARE PLC | 23,500 | 73,655 | |||||||||
S09223207 | SMITH & NEPHEW PLC | 39,224 | 594,416 | |||||||||
S09292244 | VICTREX PLC | 4,100 | 137,321 | |||||||||
S09895293 | ASTRAZENECA PLC | 29,973 | 1,937,067 | |||||||||
S20246443 | BARRICK GOLD CORP | 9,100 | 162,254 | |||||||||
S20682993 | TALISMAN ENERGY INC. | 21,400 | 213,661 | |||||||||
S21627609 | CAE INC | 40,800 | 537,839 | |||||||||
S21806328 | CANADIAN NTL RAIL CO | 21,100 | 1,187,335 | |||||||||
S26378489 | NORTHERN DYNASTY MINERALS | 14,600 | 14,418 | |||||||||
S26544163 | METHANEX CORP | 16,400 | 1,051,086 | |||||||||
S27931930 | ENCANA CORP | 15,700 | 335,834 | |||||||||
S31348659 | BARCLAYS PLC | 57,908 | 225,327 | |||||||||
S31638364 | INTERTEK GROUP PLC | 9,752 | 499,447 | |||||||||
S31743008 | BURBERRY GROUP PLC | 34,270 | 797,009 | |||||||||
S33195215 | KINGFISHER PLC | 92,636 | 650,802 | |||||||||
S37840113 | IMPALA PLATINUM HOLDINGS LTD | 20,592 | 234,937 | |||||||||
S40567190 | ASSICURAZIONI GENERALI SPA | 53,363 | 1,189,999 | |||||||||
S40580615 | BANCO ESPIRITO SANTO SA | 71,667 | 134,235 | |||||||||
S40743916 | GFI INFORMATIQUE | 4,799 | 33,336 | |||||||||
S40768368 | INTESA SANPAOLO SPA | 204,003 | 691,671 | |||||||||
S41160995 | BANCA EMILIA | 12,916 | 162,884 | |||||||||
S41529520 | BELIMO HOLDING AG | 69 | 191,296 | |||||||||
S41634379 | CAP GEMINI SA | 14,353 | 1,087,022 | |||||||||
S41995408 | CIMENTS FRANCAIS SA | 1,061 | 115,085 | |||||||||
S42621185 | DELHAIZE GROUP SA | 2,595 | 189,736 | |||||||||
S46429585 | GERRY WEBER INTERNATIONAL | 3,718 | 183,912 | |||||||||
S46817243 | INFICON HLDG AG | 329 | 121,976 | |||||||||
S46823290 | PERNOD-RICARD SA | 7,286 | 848,543 | |||||||||
S47127980 | RENAULT S.A. | 20,353 | 1,978,754 | |||||||||
S47553177 | ANHEUSER-BUSCH INBEV NV | 19,237 | 2,017,669 | |||||||||
S47689625 | RWE AG | 6,381 | 259,089 | |||||||||
S48247787 | SGS SA | 155 | 382,346 | |||||||||
S48341085 | SCHNEIDER ELECTRIC SA | 11,109 | 985,262 | |||||||||
S48528327 | STOREBRAND ASA | 43,302 | 249,887 | |||||||||
S49023849 | TRELLEBORG AB | 33,195 | 668,656 | |||||||||
S49160393 | AIR FRANCE-KLM | 58,900 | 885,662 | |||||||||
S49375793 | VALEO SA | 9,758 | 1,375,157 | |||||||||
S49429046 | E.ON SE | 12,500 | 244,467 | |||||||||
S50779461 | MEDIASET SPA | 82,245 | 459,991 | |||||||||
S51308617 | BERTRANDT AG | 1,262 | 193,416 | |||||||||
S52260387 | SAMPO OYJ | 9,597 | 497,999 | |||||||||
S53345880 | RHEINMETALL AG | 4,623 | 325,273 | |||||||||
S54653589 | SALZGITTER AG | 6,879 | 272,009 | |||||||||
S54815584 | POSTNL NV | 30,446 | 138,979 | |||||||||
S55969919 | UCB SA | 6,599 | 528,606 | |||||||||
S56089154 | ALTEN SA | 4,073 | 218,819 | |||||||||
S56336167 | SOPRA GROUP SA | 1,023 | 122,073 | |||||||||
S56547813 | ATOS | 7,489 | 677,414 | |||||||||
S56717358 | SANOFI SA | 10,493 | 1,094,482 | |||||||||
S56874316 | H & M HENNES & MAURITZ AB | 12,127 | 516,238 | |||||||||
S56890510 | AGFA-GEVAERT NV | 43,312 | 146,849 | |||||||||
S56954233 | ELMOS SEMICONDUCTOR | 3,152 | 59,038 | |||||||||
S56987894 | ASSA ABLOY AB | 29,487 | 1,567,231 |
Page 46
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
S57822066 | BUZZI UNICEM SPA | 14,241 | 265,758 | |||||||||
S58051038 | DEVOTEAM SA | 2,240 | 56,960 | |||||||||
S59560789 | KONINKLIJKE KPN NV | 140,135 | 495,407 | |||||||||
S59622803 | LINDT & SPRUENGLI AG | 29 | 143,859 | |||||||||
S59665166 | SOCIETE GENERALE-A | 19,280 | 1,187,931 | |||||||||
S59806133 | GIVAUDAN S.A. | 154 | 238,318 | |||||||||
S59930206 | AXIS COMMUNICATIONS AB | 6,366 | 217,582 | |||||||||
S59939017 | METROPOLE TELEVISION SA | 8,139 | 177,126 | |||||||||
S60107026 | AISIN SEIKI CO LTD | 18,100 | 654,683 | |||||||||
S60214814 | ALPINE ELECTRONICS INC. | 35,500 | 466,393 | |||||||||
S60273042 | AMANO CORP | 40,200 | 416,111 | |||||||||
S60365483 | NET ONE SYSTEMS | 28,100 | 191,272 | |||||||||
S60544095 | ASAHI BREWERIES, LTD. | 14,000 | 392,737 | |||||||||
S60714755 | NISSIN KOGYO | 18,200 | 340,195 | |||||||||
S61177333 | OBARA GROUP INCORPORATED | 7,500 | 281,473 | |||||||||
S61321014 | BRIDGESTONE CORP | 36,800 | 1,307,841 | |||||||||
S61367496 | OBIC | 9,200 | 291,227 | |||||||||
S61415501 | FUNAI ELE CO., LTD. | 18,800 | 186,567 | |||||||||
S61499851 | ALPHA SYSTEMS INC | 1,200 | 18,026 | |||||||||
S61723235 | CANON INC | 27,100 | 839,696 | |||||||||
S62001946 | ITOCHU TECHNO-SOLUTIONS CORP | 6,000 | 253,726 | |||||||||
S62008826 | TRANSURBAN GROUP | 136,393 | 917,779 | |||||||||
S62359922 | DOSHISHA CO LTD | 6,300 | 97,267 | |||||||||
S62489901 | KDDI CORP | 14,300 | 829,799 | |||||||||
S62497995 | DAH SING FINANCIAL | 30,000 | 141,162 | |||||||||
S62503040 | DAIHATSU MOTOR CO LTD | 10,300 | 182,327 | |||||||||
S62504121 | EXEDY CORP | 7,300 | 204,713 | |||||||||
S62505086 | DAITO TR CONSTR CO., LTD. | 3,300 | 306,047 | |||||||||
S62510284 | DAINIPPON SCREEN MANUFACTURING | 58,000 | 268,641 | |||||||||
S62556998 | DTS CORP | 5,800 | 101,712 | |||||||||
S62689765 | MITSUBISHI UFJ LEASE & FINANCE | 104,000 | 510,987 | |||||||||
S62874102 | TV ASAHI CORP | 13,300 | 241,501 | |||||||||
S62897848 | CAWACHI LTD. | 8,200 | 156,221 | |||||||||
S63000160 | ADASTRIA HOLDINGS CO LTD | 9,400 | 234,943 | |||||||||
S63071690 | EIGHTEENTH BANK LIMITED | 42,000 | 92,169 | |||||||||
S63072003 | EISAI CO LTD | 7,500 | 292,615 | |||||||||
S63177158 | ENERGY RSC AUST | 37,202 | 46,032 | |||||||||
S63339378 | ENN ENERGY HOLDINGS LTD | 86,000 | 599,236 | |||||||||
S63351712 | MITSUBISHI TOKYO FINANCIAL GRP | 337,000 | 1,855,406 | |||||||||
S63527501 | EN-JAPAN INC. | 2,900 | 51,673 | |||||||||
S63552764 | FUJIMI INC | 10,600 | 132,468 | |||||||||
S63564066 | FUJI HEAVY IND LTD | 12,000 | 325,329 | |||||||||
S63565923 | FUJI MACHINE MFG. CO., LTD. | 19,900 | 175,261 | |||||||||
S63569453 | FUJITSU LTD | 99,000 | 599,854 | |||||||||
S63577332 | FUTABA CORP | 5,300 | 91,606 | |||||||||
S63844856 | PROTO CORP | 2,800 | 39,015 | |||||||||
S64004336 | HIS | 3,000 | 171,287 | |||||||||
S64106362 | RESOLUTE MINING LTD | 141,941 | 78,277 | |||||||||
S64162811 | DENTSU INC | 15,600 | 593,038 | |||||||||
S64218985 | PAL CO LTD | 4,800 | 92,425 | |||||||||
S64243033 | CLEAR MEDIA LTD | 81,000 | 73,199 | |||||||||
S64288665 | HISAKA WORKS LTD | 3,000 | 29,101 | |||||||||
S64291263 | HITACHI CHEM CO LTD | 18,000 | 245,570 | |||||||||
S64398134 | HOSIDEN CORP | 31,200 | 153,296 | |||||||||
S64592199 | INABA DENKISANGYO CO LTD | 11,600 | 373,957 | |||||||||
S64685050 | JAPAN DIGITAL LABORATORY CO LT | 35,800 | 517,264 | |||||||||
S64709868 | JSR CORP | 14,000 | 260,057 | |||||||||
S64745359 | JAPAN TOBACCO INC. | 66,800 | 2,101,588 | |||||||||
S64762180 | AEON DELIGHT CO. LTD. | 5,200 | 98,107 | |||||||||
S64873284 | KEIHIN CORP | 15,800 | 230,744 | |||||||||
S65131260 | TOKIO MARINE HOLDINGS INC | 45,400 | 1,365,725 | |||||||||
S65295545 | CMIC HOLDINGS CO LTD | 4,300 | 72,067 |
Page 47
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
S65342024 | AEON MALL CO LTD | 19,000 | 486,323 | |||||||||
S65630246 | SUMITOMO MITSUI FIN GRP INC | 21,300 | 911,897 | |||||||||
S65695058 | MARUICHI STEEL TUBE LTD. | 8,600 | 222,881 | |||||||||
S65946048 | MIMASU SEMICONDUCTOR IND CO., | 13,800 | 123,146 | |||||||||
S65970451 | MITSUBISHI ELEC CORP | 59,000 | 665,709 | |||||||||
S65973687 | MITSUI CHEMICALS INC | 101,000 | 248,124 | |||||||||
S65974099 | MITSUMI ELEC CO., LTD. | 14,200 | 102,999 | |||||||||
S66257205 | PANAHOME CORP | 49,000 | 337,340 | |||||||||
S66385469 | NICHICON CORP | 14,100 | 111,858 | |||||||||
S66395500 | NINTENDO CO LTD | 2,200 | 261,902 | |||||||||
S66396029 | NSD CO LTD | 25,000 | 313,881 | |||||||||
S66413733 | NTT CORP | 11,100 | 605,631 | |||||||||
S66424284 | NOK CORP | 17,200 | 281,420 | |||||||||
S66428046 | HITACHI HIGH-TECHNOLOGIES CORP | 13,700 | 319,802 | |||||||||
S66431081 | NOMURA HOLDINGS INC | 80,400 | 516,821 | |||||||||
S66575416 | OITA BANK LTD | 24,000 | 93,451 | |||||||||
S66601071 | ONO PHARM CO., LTD. | 13,800 | 1,197,961 | |||||||||
S66602046 | TAIHEIYO CEMENT CORP | 353,000 | 1,275,098 | |||||||||
S66881434 | MELCO HOLDINGS INC | 8,500 | 125,125 | |||||||||
S67103473 | QANTAS AIRWAYS LTD | 284,725 | 291,607 | |||||||||
S67116962 | JAPAN PETROLEUM EXPLORATION CO | 17,600 | 587,037 | |||||||||
S67132050 | HONEYS CO LTD | 11,870 | 115,144 | |||||||||
S67442947 | T&D HOLDINGS INC | 76,400 | 910,257 | |||||||||
S67472043 | ROHM CO LTD. | 20,300 | 907,720 | |||||||||
S67475160 | ROLAND CORP | 27,500 | 381,585 | |||||||||
S67728535 | SAN-IN GODO BK, LTD. | 30,000 | 203,331 | |||||||||
S67754325 | SANKYO CO LTD | 6,600 | 278,458 | |||||||||
S68040351 | SHIMAMURA CO., LTD. | 2,000 | 173,423 | |||||||||
S68047455 | SHINKAWA LTD | 2,800 | 16,041 | |||||||||
S68049279 | SHINKO ELEC INDUS CO., LTD. | 37,600 | 272,001 | |||||||||
S68057041 | SHIN-ETSU POLYMER CO LTD | 31,900 | 119,565 | |||||||||
S68415264 | STAR MICRONICS CO., LTD. | 36,200 | 437,275 | |||||||||
S68655042 | SUZUKI MOTOR CORP | 11,200 | 292,982 | |||||||||
S68694983 | TACHI-S CO., LTD. | 700 | 11,555 | |||||||||
S68699594 | TAIKISHA LTD | 15,900 | 345,528 | |||||||||
S68935501 | TOCHIGI BANK LTD/THE | 16,000 | 68,049 | |||||||||
S68939149 | TOKAI RUBBER INDUSTRIES INC | 14,700 | 150,875 | |||||||||
S68939479 | HIGASHI-NIPPON BK LTD | 30,000 | 73,991 | |||||||||
S68940253 | TOKAI RIKA CO., LTD. | 12,700 | 213,835 | |||||||||
S68943042 | TOKYO SEIMITSU CO., LTD. | 13,400 | 236,421 | |||||||||
S68948983 | TOKYO OHKA KOGYO CO LTD | 16,500 | 365,456 | |||||||||
S68972629 | TOSHIBA MACH | 70,000 | 331,699 | |||||||||
S69005460 | TOYOTA INDUSTRIES CORPORATION | 10,800 | 520,153 | |||||||||
S69005577 | TOYODA GOSEI CO LTD | 14,700 | 282,481 | |||||||||
S69005916 | TOYOTA BOSHOKU CORP | 23,500 | 238,001 | |||||||||
S69189819 | USHIO INC | 18,800 | 243,158 | |||||||||
S69549855 | ALUMINA LTD | 464,530 | 514,507 | |||||||||
S69849487 | XEBIO CO., LTD. | 10,900 | 189,984 | |||||||||
S69853612 | YAMANASHI CHUO BANK LTD/THE | 21,000 | 95,024 | |||||||||
S69854461 | YAMATO KOGYO CO LTD | 13,200 | 414,643 | |||||||||
S69855872 | YAMAZEN CORP | 26,200 | 173,250 | |||||||||
S69899763 | ZUKEN INC | 6,800 | 54,210 | |||||||||
S70852595 | H LUNDBECK A/S | 8,707 | 268,427 | |||||||||
S71030654 | NOVARTIS AG | 14,684 | 1,246,731 | |||||||||
S71035265 | PEUGEOT SA | 20,661 | 389,979 | |||||||||
S71103881 | ROCHE HOLDING AG | 9,526 | 2,857,746 | |||||||||
S71107205 | ADECCO SA-REG | 4,692 | 390,668 | |||||||||
S71109029 | TECAN GROUP AG | 2,571 | 308,514 | |||||||||
S71235469 | GROUPE STERIA | 11,841 | 239,086 | |||||||||
S71263412 | MICRONAS SEMICONDUCTOR HOLD | 14,238 | 112,827 | |||||||||
S71267942 | BOSSARD AG | 61 | 17,506 | |||||||||
S71366637 | JC DECAUX SA | 22,078 | 967,490 |
Page 48
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||||
S71450563 | ENI SPA | 24,093 | 604,684 | |||||||||
S71541825 | ING GROEP NV | 33,676 | 476,903 | |||||||||
S71847255 | SWATCH GROUP AG | 981 | 615,242 | |||||||||
S72124779 | ESSILOR INTL | 17,253 | 1,740,619 | |||||||||
S72943343 | ZODIAC AEROSPACE SA | 11,827 | 418,109 | |||||||||
S73096810 | PARSW | 14,464 | 1,116,161 | |||||||||
S74167636 | KONTRON | 16,326 | 111,854 | |||||||||
S76222256 | BANCHE POPOLARI UNITE SCRL | 14,973 | 141,154 | |||||||||
S77925592 | HEINEKEN N.V. | 17,510 | 1,219,207 | |||||||||
SB00GWP69 | AMVIG HOLDINGS LTD | 196,000 | 75,044 | |||||||||
SB00LBS74 | CATLIN GROUP LTD | 15,200 | 136,333 | |||||||||
SB00MZ443 | GRAFTON GROUP PLC | 9,208 | 99,322 | |||||||||
SB02RK082 | SEGA SAMMY HOLDINGS INC | 7,100 | 159,394 | |||||||||
SB03J9L73 | AIRASIA | 1,314,000 | 1,026,091 | |||||||||
SB044JP55 | GEOX S.P.A. | 29,589 | 133,354 | |||||||||
SB05L3642 | DENA | 10,200 | 184,617 | |||||||||
SB06MW587 | KYOKUTO SEC | 18,400 | 308,379 | |||||||||
SB08SNH35 | NATIONAL GRID PLC | 164,403 | 2,252,974 | |||||||||
SB09M9D26 | KONE OYJ | 14,401 | 604,179 | |||||||||
SB09YFD03 | SAFT GROUPE S.A. | 4,373 | 152,907 | |||||||||
SB0C2CQ38 | GDF SUEZ | 19,176 | 524,886 | |||||||||
SB0C3TN25 | MIRAIAL CO LTD | 8,400 | 118,514 | |||||||||
SB0J7D919 | DAIICHI SANKYO | 26,400 | 445,533 | |||||||||
SB0KJTG51 | PANALPINA WELTTRANSPORT HOLDIN | 3,239 | 497,941 | |||||||||
SB0LDD867 | LEM HLDGS AG | 112 | 89,133 | |||||||||
SB0MKZN53 | TSURUHA HOLDINGS INC | 3,900 | 384,376 | |||||||||
SB0X6W867 | AIZAWA SECURITIES CO LTD | 35,000 | 250,813 | |||||||||
SB10RB150 | INPEX CORP | 26,800 | 348,451 | |||||||||
SB10RZP77 | UNILEVER PLC | 29,895 | 1,276,388 | |||||||||
SB11ZRK95 | LEGRAND S.A. | 16,195 | 1,006,555 | |||||||||
SB13WZ262 | ZUMTOBEL | 5,367 | 133,147 | |||||||||
SB142S608 | KUEHNE & NAGEL INTERNATIONAL A | 1,389 | 194,509 | |||||||||
SB15C5570 | TOTAL SA | 13,005 | 853,189 | |||||||||
SB18YFJ40 | UBS AG | 138,660 | 2,866,284 | |||||||||
SB1DWS050 | AER LINGUS PLC | 46,200 | 104,109 | |||||||||
SB1FRPV87 | USG PEOPLE | 7,441 | 120,195 | |||||||||
SB1FW7515 | GALP ENERGIA SA | 30,357 | 524,459 | |||||||||
SB1G2RD88 | DAI-ICHI SEIKO CO LTD | 9,500 | 113,740 | |||||||||
SB1KJJ406 | WHITBREAD | 4,096 | 284,208 | |||||||||
SB1KKBX66 | ELECTROLUX AB | 40,864 | 889,944 | |||||||||
SB1TQ2V06 | RAUBEX | 52,686 | 111,154 | |||||||||
SB1VP0K08 | REXEL SA | 19,291 | 506,365 | |||||||||
SB1VQF428 | ORKLA ASA | 71,199 | 607,095 | |||||||||
SB1WGG938 | GEBERIT AG | 2,211 | 724,610 | |||||||||
SB1WT5G22 | DSV, DE SAMMENSLUT VOGN | 53,843 | 1,738,442 | |||||||||
SB1Y1SQ76 | JERONIMO MARTINS SGPS SA | 36,947 | 620,232 | |||||||||
SB1YXBJ76 | AIR LIQUIDE SA | 8,318 | 1,127,168 | |||||||||
SB1YY4B38 | UNIBAIL-RODAMCO SE | 3,614 | 938,918 | |||||||||
SB1YY6621 | ALMIRALL SA | 13,779 | 235,297 | |||||||||
SB1Z4WD00 | DAETWYLER HLDG AG | 101 | 15,893 | |||||||||
SB234WN90 | DIASORIN SPA | 4,408 | 189,246 | |||||||||
SB23K0M28 | CAPITA GROUP | 22,072 | 403,299 | |||||||||
SB24CGK71 | RECKITT BENCKISER GROUP PLC | 12,011 | 978,580 | |||||||||
SB28DTJ67 | BUREAU VERITAS SA | 14,172 | 434,697 | |||||||||
SB28SK094 | HAMBURGER HAFEN UND LOGISTIK A | 4,954 | 119,112 | |||||||||
SB292JQ95 | GROUPE EUROTUNNEL SA | 31,812 | 406,311 | |||||||||
SB2PDGW13 | WH SMITH PLC | 14,455 | 289,907 | |||||||||
SB3BLR569 | TRI-STAGE INC | 3,600 | 37,998 | |||||||||
SB3ZNGT54 | GREATVIEW ASEPTIC PACKAGING CO | 927,000 | 492,357 | |||||||||
SB4K90R18 | LIFE HEALTHCARE GROUP HOLDINGS | 112,567 | 412,150 | |||||||||
SB4LW4N32 | HRT PARTICIPACOES EM PETROLEO | 33,000 | 13,601 | |||||||||
SB4R2R507 | GRIFOLS INC | 7,125 | 316,425 |
Page 49
Cusip | Security Description | Coupon | Maturity | Par | Market Value | |||||
SB4RLNR19 | NORMA GROUP AG | 3,262 | 172,933 | |||||||
SB4YVF563 | BRENNTAG AG | 4,622 | 857,757 | |||||||
SB505PN71 | NXP SEMICONDUCTORS NV | 10,900 | 641,029 | |||||||
SB574ZG08 | DELTA LLOYD NV | 14,378 | 398,807 | |||||||
SB601QS44 | DAI-ICHI LIFE INSURANCE CO. LT | 18,400 | 268,000 | |||||||
SB60BD273 | SUPERGROUP PLC | 5,948 | 169,270 | |||||||
SB62G1B54 | EDENRED | 17,045 | 535,036 | |||||||
SB671GT81 | FIBRA UNO ADMINISTRACION SA | 139,900 | 452,762 | |||||||
SB68SQD28 | COVIDIEN PLC | 8,124 | 598,414 | |||||||
SB7FNMQ21 | ELEMENT FINANCIAL CORP | 36,900 | 497,795 | |||||||
SB7VQL460 | GROUPE FNAC | 1,030 | 53,221 | |||||||
SB86S2N06 | FORTIS | 9,016 | 401,929 | |||||||
SB88MHC49 | HUGO BOSS AG | 4,518 | 601,397 | |||||||
SB8BRV460 | JAPAN AIRLINES CO LTD | 7,800 | 384,755 | |||||||
SB946ZZ65 | SPIRAX-SARCO ENGINEERING PLC | 8,695 | 418,931 | |||||||
SBBHXPN68 | BANCO POPULAR ESPANOL SA | 22,092 | 166,857 | |||||||
SBCRWZ184 | COM FN RICHEMONT | 8,208 | 784,236 | |||||||
SBCZM1B24 | PROSIEBENSAT1 MEDIA AG | 12,365 | 566,137 | |||||||
W04008152 | ALFA LAVAL AB | 25,188 | 680,248 | |||||||
W10020118 | ATLAS COPCO AB | 36,030 | 1,037,518 | |||||||
W84237143 | SKF AB | 67,059 | 1,713,826 | |||||||
Y594BL106 | PTT GLOBAL CHEMICAL PCL | 237,800 | 529,625 | |||||||
NEUBERGER BERMAN GREATER CHINA EQUITY FUND LTD | 40,483 | 34,786,367 | ||||||||
24,892,188 | 834,893,297 |
Page 50