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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 11-K
(Mark One)
x ANNUAL REPORT PURSUANT TO SECTION 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2015
OR
o TRANSITION REPORT PURSUANT TO SECTION 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission file number 1-2360
A. Full title of the plan and address of the plan, if different from that of the issuer named below:
IBM 401(k) Plus Plan
New Orchard Road, M/D 261
Armonk, New York 10504
B. Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:
INTERNATIONAL BUSINESS MACHINES CORPORATION
New Orchard Road
Armonk, New York 10504
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IBM 401(k) PLUS PLAN
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Exhibit:
Exhibit 23 - Consent of Independent Registered Public Accounting Firm
* Other schedules required by Section 2520.103-10 of the Department of Labor Rules and Regulations for Reporting and Disclosures under the Employee Retirement Income Security Act of 1974 are omitted because they are not applicable.
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SIGNATURE
The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned thereunto duly authorized.
| | | IBM 401(k) Plus Plan |
| | | |
| | | |
Date: | June 15, 2016 | | By: | /s/ Stanley J. Sutula III |
| | | Stanley J. Sutula III |
| | | Vice President and Controller |
| | | | |
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Report of Independent Registered Public Accounting Firm
To the Plan Administrator of the IBM 401(k) Plus Plan
In our opinion, the accompanying statements of net assets available for benefits and the related statement of changes in net assets available for benefits present fairly, in all material respects, the net assets available for benefits of the IBM 401(k) Plus Plan (the “Plan”) at December 31, 2015 and 2014, and the changes in net assets available for benefits for the year ended December 31, 2015 in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
The supplemental schedules of loans or fixed income obligations in default or classified as uncollectible, of assets (held at end of year) and of assets (acquired and disposed of within year) have been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The supplemental schedules are the responsibility of the Plan’s management. Our audit procedures included determining whether the supplemental schedules reconcile to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedules. In forming our opinion on the supplemental schedules, we evaluated whether the supplemental schedules, including their form and content, are presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the supplemental schedules of loans or fixed income obligations in default or classified as uncollectible, of assets (held at end of year) and of assets (acquired and disposed of within year) are fairly stated, in all material respects, in relation to the financial statements as a whole.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
New York, NY
June 15, 2016
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IBM 401(k) PLUS PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AT DECEMBER 31,
| | 2015 | | 2014* | |
| | (Dollars in thousands) | |
Assets: | | | | | |
Investments, at fair value (Note 3) | | $ | 36,972,487 | | $ | 38,805,401 | |
Investments in fully benefit-responsive investment contracts, at contract value (Note 5) | | 8,587,661 | | 8,636,389 | |
Total investments | | 45,560,148 | | 47,441,790 | |
| | | | | |
Receivables: | | | | | |
Notes receivable from participants | | 272,452 | | 302,031 | |
Income, sales proceeds and other receivables | | 90,840 | | 173,896 | |
Total receivables | | 363,292 | | 475,927 | |
| | | | | |
Total assets | | 45,923,440 | | 47,917,717 | |
| | | | | |
Liabilities: | | | | | |
Accrued expenses and other liabilities | | 255,968 | | 342,743 | |
Total liabilities | | 255,968 | | 342,743 | |
| | | | | |
Net assets available for benefits | | $ | 45,667,471 | | $ | 47,574,974 | |
*Reclassified to reflect adoption of the FASB guidance on FBRICs. Refer to note 2, “Summary of Significant Accounting Policies,” for additional information.
The accompanying notes are an integral part of these financial statements.
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IBM 401(k) PLUS PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
FOR THE YEAR ENDED DECEMBER 31,
| | 2015 | |
| | (Dollars in thousands) | |
Additions to net assets attributed to: | | | |
| | | |
Investment income: | | | |
Net depreciation in fair value of investments (Note 3) | | $ | (1,216,901 | ) |
Interest income from investments (Note 5) | | 346,581 | |
Dividends | | 566,606 | |
| | (303,714 | ) |
| | | |
Interest income on notes receivable from participants | | 11,688 | |
| | | |
Contributions: | | | |
Participants | | 1,135,701 | |
Employer | | 675,753 | |
| | 1,811,454 | |
| | | |
Total additions | | 1,519,428 | |
| | | |
Deductions from net assets attributed to: | | | |
| | | |
Distributions to participants | | 3,383,338 | |
| | | |
Administrative expenses, net | | 43,593 | |
| | | |
Total deductions | | 3,426,931 | |
| | | |
Net decrease in net assets during the year | | (1,907,504 | ) |
| | | |
Net assets available for benefits: | | | |
| | | |
Beginning of year | | 47,574,974 | |
| | | |
End of year | | $ | 45,667,471 | |
The accompanying notes are an integral part of these financial statements.
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IBM 401(k) PLUS PLAN
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - DESCRIPTION OF THE PLAN
The following description of the IBM 401(k) Plus Plan (the “Plan”) provides only general information. Participants should refer to the Plan prospectus (Summary Plan Description) for a complete description of the Plan’s provisions.
General
The Plan was established by resolution of International Business Machines Corporation’s Retirement Plans Committee (the “Committee”) effective July 1, 1983 and Plan assets are held in trust for the benefit of its participants. The Plan offers all eligible active, full-time and part-time regular and long-term supplemental United States (U.S.) employees of International Business Machines Corporation (“IBM”) and certain of its domestic related companies and partnerships an opportunity to defer from one to eighty percent of their eligible compensation for before-tax 401(k) and/or Roth 401(k) contributions to any of thirty-three primary investment funds and about 165 mutual funds in a “mutual fund window.” The investment objectives of the primary funds are described in Note 6, Description of Investment Funds. In addition, participants are able to contribute up to ten percent of their eligible compensation on an after-tax basis. Roth 401(k) and after-tax contributions are not available for employees working in Puerto Rico. Annual contributions are subject to the legal limits permitted by Internal Revenue Service (“IRS”) regulations.
Participants are provided the choice to enroll in a “disability protection program” under which a portion of the participant’s account is used to pay premiums to purchase term insurance (underwritten by Metropolitan Life Insurance Company), which will pay the amount of their before-tax 401(k) contributions, matching contributions, automatic contributions and/or Special Savings Awards into their accounts in the event the participant becomes disabled while insured.
Participants have the choice to enroll in Managed Accounts, an account management service provided by Financial Engines for a fee which is deducted from the participant’s account.
At December 31, 2015 and 2014, the number of participants with an account balance in the Plan was 187,937 and 191,921, respectively.
The Plan is dual qualified under Section 401(a) of the Internal Revenue Code of 1986, as amended, and Section 1081.01(a) of the Internal Revenue Code for a New Puerto Rico, as amended (the “PRIRC”). It is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”), as amended.
Administration
The Plan is administered by the Committee, which appointed certain officials of IBM to assist in administering the Plan. The Committee appointed State Street Bank and Trust Company (“SSBT”), as Trustee, to safeguard the assets of the funds and State Street Global Advisors (“SSGA”), the institutional investment management affiliate of SSBT, The Vanguard Group and other investment managers to direct investments in the various funds. Fidelity Workplace Services LLC (“Fidelity”) is the provider of record keeping and participant services, operator of the IBM Employee Services Center for the Plan in Raleigh, North Carolina as well as the provider of administrative services related to the mutual fund window. Communication services were provided by Fidelity as well as The Vanguard Group.
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Contributions
Generally, IBM employer contributions are based upon the IBM pension formula for which the employee was eligible on December 31, 2007, or on hire date on or after January 1, 2005. If a participant’s IBM Pension Plan eligibility as of December 31, 2007 was (1) the Pension Credit Formula, the participant is eligible to receive a 6% matching contribution and a 4% automatic contribution; or (2) the Personal Pension Account, the participant is eligible to receive a 6% matching contribution and a 2% automatic contribution. If the participant was hired or rehired on or after January 1, 2005, and is not in one of the job families described below, then the participant is eligible for a 5% employer matching contribution, and 1% automatic contribution (Note: Band 6 GBS Entry Professional Hires on or after April 1, 2015 shall become eligible for these benefits only upon promotion.). If a participant is in any one of the following categories (1) GBS Application Development Specialist Job Family hired or rehired on or after April 15, 2013; (2) Multi Vendor Service Representative hired or rehired on or after April 1, 2015; (3) Systems Services Representative hired or rehired on or after November 1, 2015; or (4) is in one of the following job families in IBM GTS Infrastructure Services on or after January 1, 2016 (a) IT Specialist; (b) Technical Services; (c) Project Management (excluding Project Executives and Delivery Project Executives); (d) Enterprise Operations; and (e) Product Services, then the participant is eligible for a 2% matching contribution and a 1% automatic contribution.
A contribution equal to five percent of eligible compensation (referred to as a “Special Savings Award”) will be added to the accounts of participants who are non-exempt employees at each year-end (effective January 1, 2013, the determination will be made on December 15 and the Special Savings Award will be contributed to eligible participants on the last business day of the year) and who participated in the Pension Credit Formula as of December 31, 2007 and have been continuously employed by IBM since that date.
Newly hired employees are automatically enrolled at five percent of eligible salary and performance pay after approximately thirty days of employment with IBM, unless they elect otherwise. New hires become eligible for the IBM automatic contribution and the IBM matching contribution after completing the applicable service requirement, which generally is one year. GBS Application Development Specialist Job Family hires, Multi Vendor Service Representative Hires on or after April 1, 2015 and Systems Services Representative Hires on or after November 1, 2015 have a service requirement of two years. GBS Entry Professional Hires on or after April 1, 2015 shall become eligible for these employer contributions only upon promotion.
Matching and automatic contributions are made once annually at the end of the year. In order to receive such IBM employer contributions each year, a participant must be employed on December 15 of the plan year, and meet all eligibility requirements. However, if a participant separates from service prior to December 15, and has completed certain service and/or age requirements, then the participant will be eligible to receive matching and automatic contributions for which they are eligible, following separation from service.
Eligible compensation under the Plan includes regular salary, commissions, overtime, shift premium and similar additional compensation payments for nonscheduled workdays, recurring payments under an employee variable compensation plan, regular IBM Short-Term Disability Income Plan payments, holiday pay and vacation pay, and payments made under any executive incentive compensation plan. Non-recurring compensation, such as awards, deal team payments and significant signing bonuses are not eligible compensation and cannot be deferred under the Plan.
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Participants are able to choose to have their contributions invested entirely in one of, or in any combination of, the following funds or in the mutual fund window funds, in multiples of one percent. If participants do not make an investment election, then contributions will be invested in the default Target Date fund that most closely corresponds to the year in which they will reach age 60.
These funds and their investment objectives are more fully described in Note 6, Description of Investment Funds.
Life Cycle Funds
Target Date 2005 Fund (Merged into the Income Plus Life Strategy Fund in 2015)
Target Date 2010 Fund
Target Date 2015 Fund
Target Date 2020 Fund
Target Date 2025 Fund
Target Date 2030 Fund
Target Date 2035 Fund
Target Date 2040 Fund
Target Date 2045 Fund
Target Date 2050 Fund
Target Date 2055 Fund (Added in 2015)
Income Plus Life Strategy Fund
Conservative Life Strategy Fund
Moderate Life Strategy Fund
Aggressive Life Strategy Fund
Core Funds
Interest Income Fund
Inflation Protected Bond Fund
Total Bond Market Fund
High Yield and Emerging Markets Bond Fund
Total Stock Market Index Fund
Total International Stock Market Index Fund
Real Estate Investment Trust (REIT) Index Fund (Effective June 30, 2016 moved to Expanded Choice Funds)
International Real Estate Index Fund (Effective June 30, 2016 moved to Expanded Choice Funds)
Global Real Estate Stock Index Fund (Effective March 30, 2016, 70% Real Estate Investment Trust (REIT) Index Fund and 30% International Real Estate Index Fund)
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Expanded Choice Funds
Long-Term Corporate Bond Fund
Large Company Index Fund
Large-Cap Value Index Fund
Large-Cap Growth Index Fund
Small/Mid-Cap Stock Index Fund
Small-Cap Value Index Fund
Small-Cap Growth Index Fund
European Stock Index Fund
Pacific Stock Index Fund
Emerging Markets Stock Index Fund
IBM Stock Fund
Real Estate Investment Trust (REIT) Index Fund (Effective June 30, 2016)
International Real Estate Index Fund (Effective June 30, 2016)
The Plan participants also have access to the “mutual fund window” investment options.
Participants may change their deferral percentage and investment selection for future contributions at any time. The changes will take effect for the next eligible pay cycle if the request is completed before the applicable cutoff date. Also, participants may transfer part or all of existing account balances among funds in the Plan once daily, subject to the Plan restrictions on trading.
The Committee is committed to preserving the integrity of the Plan as a long-term savings vehicle for its employees. Frequent, short-term trading that is intended to take advantage of pricing lags in funds can harm long-term investors, or increase trading expenses in general. Therefore, the Plan has implemented frequent trading transaction restrictions and reserves the right to take other appropriate action to curb short-term transactions (buying/selling).
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Participant Accounts
The Plan record keeper maintains an account in the name of each participant to which each participant’s contributions and share of the net earnings, losses and expenses, if any, of the various investment funds are recorded. The earnings on the assets held in each of the funds and all proceeds from the sale of such assets are held and reinvested in the respective funds.
Participants may transfer rollover contributions of before-tax and Roth 401(k) amounts from other qualified savings plans or Individual Retirement Accounts into their Plan account. Rollovers must be made in cash within the time limits specified by the IRS; stock or in-kind rollovers are not accepted. These rollovers are limited to active employees on the payroll of IBM (or affiliated companies) who have existing accounts in the Plan. Retirees are not eligible for such rollovers, except that a retiree or separated employee who has an existing account in the Plan may roll over a lump-sum distribution from an IBM-sponsored qualified retirement plan, including the IBM Personal Pension Plan. After-tax amounts may also be directly rolled over into the Plan from another qualified savings plan.
On each valuation date, the unit/share value of each fund is determined by dividing the current investment value of the assets in that fund on that date by the number of units/shares in the fund. The participant’s investment value of assets equals the market value of assets for all funds except the Interest Income Fund for which the participant’s investment value of assets equals the contract value of assets. In determining the unit/share value, new contributions that are to be allocated as of the valuation date are excluded from the calculation. On the next day, the cash related to new contributions is transferred into the fund and the number of additional units to be credited to a participant’s account for each fund, due to new contributions, is equal to the amount of the participant’s new contributions to the fund divided by the prior night’s unit value.
Contributions (with the exception of after-tax contributions and Roth 401(k) contributions) made to the Plan, as well as interest, dividends, or other earnings of the Plan are generally not included in the taxable income of the participant until withdrawal, at which time all earnings and contributions withdrawn generally are taxed as ordinary income to the participant. Additionally, withdrawals by the participant before attaining age 59 1/2 generally are subject to a penalty tax of 10 percent. After-tax contributions made to the Plan are not tax deferred, but are taxable income prior to the participant making the contribution. Any interest, dividends or other earnings on the after-tax contributions are generally not included in the taxable income of the participant until withdrawal, at which time all earnings withdrawn are generally taxed as ordinary income to the participant. Any distribution of earnings on after-tax contributions that are withdrawn by the participant before attaining age 59 1/2 generally are subject to a penalty tax of 10 percent. Roth 401(k) contributions are not tax deferred, but are taxable income prior to the participant making the contribution. Interest, dividends or other earnings on Roth 401(k) contributions may not be taxable at withdrawal provided the participant has met the applicable rules.
Consistent with provisions established by the IRS, the Plan’s 2015 limit on employee salary and performance pay deferrals was $18,000. Participants who were age 50 or older during 2015 could take advantage of a higher 401(k) contribution limit of $24,000. The 2015 maximum annual deferral amount for employees residing in Puerto Rico was limited by local government regulations to $18,000. Puerto Rico participants who were age 50 or older in 2015 could take advantage of a higher contribution limit of $19,500.
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Vesting
Participants in the Plan are at all times fully vested in their account balance, including employee contributions, employer contributions and earnings thereon, if any.
Distributions
Participants who have terminated employment or are eligible for in-service distributions (e.g. have reached age 59 ½) may request ad hoc distributions ($500 minimum) or a full distribution.
In addition, participants who (1) terminate employment with at least 30 years of IBM service, or (2) become eligible for benefits under the IBM Long-Term Disability Plan or the IBM Medical Disability Income Plan, or (3) are age 55 or older at the time installments begin, may also elect to receive the balance of their account in annual, quarterly or monthly installments. Eligible participants may request installments over a fixed period of time or at a flat dollar amount ($500 minimum per period for a flat dollar election). Distributions are subject to the required minimum distribution rules for participants who have reached age 70 ½.
Withdrawals for financial hardship are permitted provided they are for an immediate and significant financial need, and the distribution is necessary to satisfy that need. Employees are required to fully use the Plan loan program, described below, before requesting a hardship withdrawal. Only an employee’s contributions are eligible for hardship withdrawal; earnings on before-tax 401(k) and Roth 401(k), and IBM contributions (match, automatic, transition credits and Special Savings Award) are not eligible for withdrawal. Employees must submit evidence of hardship to the record keeper who will determine whether the situation qualifies for a hardship withdrawal based on guidance from the Plan administrator. A hardship withdrawal is taxed as ordinary income to the employee and may be subject to the 10 percent additional tax on early distributions.
If the participant dies and is married at the time of death, the participant’s spouse must be the beneficiary of the participant’s Plan account, unless the participant’s spouse has previously given written, notarized consent to designate another person as beneficiary. If the participant marries or remarries, any prior beneficiary designation is canceled and the spouse automatically becomes the beneficiary. If the participant is single, the beneficiary may be anyone previously designated by the participant under the Plan. In the absence of an effective designation under the Plan at the time of death, the proceeds normally will be paid in the following order: the participant’s spouse, the participant’s children in equal shares, or to surviving parents equally. If no spouse, child, or parent is living, payments will be made to the executors or administrators of the participant’s estate.
After the death of a participant, an account will be established for the participant’s beneficiary. If the beneficiary is a spouse or domestic partner, the beneficiary’s account may be maintained in the Plan, subject to IRS required minimum distributions. If the beneficiary is neither a spouse nor a domestic partner, the account will be paid to the beneficiary in a lump sum. Beneficiaries may roll over distributions from the Plan.
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Participant Loans
Participants may borrow up to one-half of the value of their account balance, not to exceed $50,000, within a twelve month period. Loans will be granted in $1 increments subject to a minimum loan amount of $500. Participants are limited to two simultaneous outstanding Plan loans. Repayment of a loan is made through semi-monthly payroll deductions. Loans originated under the Plan have a repayment term of one to four years for a general purpose loan or one to ten years for a primary residence loan. There are a limited number of outstanding loans originated under acquired company plans that were merged into the Plan having repayment terms greater than 10 years and up to a maximum term of 30 years. The loans originated under the Plan bear a fixed rate of interest, set quarterly, for the term of the loan, determined by the plan administrator to be 1.25 points above the prime rate. The interest is credited to the participant’s account as the semi-monthly repayments of principal and interest are made. Interest rates on outstanding loans at December 31, 2015 and 2014 ranged from 4.25 percent to 11.00 percent.
Participants may prepay the entire remaining loan principal at any time. Employees on an approved leave of absence may elect to make scheduled loan payments directly to the Plan. Participants may continue to contribute to the Plan while having an outstanding loan. A loan default is a taxable event to the participant and will be reported as such in the year of the loan default.
Participants who retire or separate from IBM and have outstanding Plan loans may make loan repayments via coupon payments or ACH deductions to continue monthly loan repayments according to their original amortization schedule.
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Termination of Service
If the value of a participant’s account is $1,000 or less, it will be distributed to the participant in a lump-sum payment following the termination of the participant’s employment with IBM. If the account balance is greater than $1,000 at the time of separation, the participant may defer distribution of the account until age 70 ½.
Termination of the Plan
IBM reserves the right to terminate this Plan at any time by action of the Board of Directors of IBM. In that event, each participant or beneficiary receiving or entitled to receive payments under the Plan would receive the balance of the account at such time and in accordance with applicable law and regulations. In the event of a full or partial termination of the Plan, or upon complete discontinuance of contributions under the Plan, the rights of all affected participants in the value of their accounts would be non-forfeitable.
Risks and Uncertainties
The Plan provides for various investment options in the form of mutual funds, commingled funds or separately-managed funds. These funds invest in equities, fixed income securities, synthetic guaranteed investment contracts (“synthetic GICs”), a separate account investment contract (“separate account GIC”) and derivative contracts. Investment securities are exposed to various risks, such as interest rate movements, credit quality changes and overall market volatility. Due to the level of risk associated with certain investment securities and the level of uncertainty related to changes in the value of investment securities, it is reasonably possible that changes in risks in the near term could materially affect participants’ account balances and the amounts reported in the statement of net assets available for benefits. The Plan is potentially exposed to credit loss in the event of non-performance by the companies with whom the Plan entered into the synthetic GICs and a separate account GIC. However, the Committee does not anticipate non-performance by these companies at this time.
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NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of Presentation
The accompanying financial statements are prepared under the accrual basis of accounting, except distributions, which are recorded when paid. Investments held by a defined contribution plan are required to be reported at fair value, except for fully benefit-responsive investment contracts. Contract value is the relevant measure for the portion of the net assets available for benefits of a defined contribution plan attributable to fully benefit-responsive investment contracts because contract value is the amount participants would receive if they were to initiate permitted transactions under the terms of the Plan. Notes receivable from participants are measured at their unpaid principal balance plus any accrued interest. Within the financial tables presented, certain columns and rows may not add due to the use of rounded numbers for disclosure purposes.
Use of Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities and changes therein, and disclosures of contingent assets and liabilities at the date of the financial statements. Actual results could differ from those estimates.
Valuation of Investments
Investments are stated at fair value (except for fully benefit-responsive investment contracts, which are stated at contract value). Accounting guidance defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Under this guidance, the Plan is required to classify certain assets and liabilities based on the following fair value hierarchy:
· Level 1 — Quoted prices (unadjusted) in active markets for identical assets or liabilities that can be accessed at the measurement date;
· Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and
· Level 3 —Unobservable inputs for the asset or liability.
The guidance requires the use of observable market data if such data is available without undue cost and effort.
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Assets are classified within the fair value hierarchy according to the lowest level input that is significant to the fair value measurement. Valuation techniques used maximize the use of observable inputs and minimize the use of unobservable inputs. A security that is categorized as Level 3 is valued using the last available market price or a price from an alternate pricing source. The valuation methodology is applied consistently from period to period.
Investments in mutual funds and commingled funds are valued at the net asset values per share using available inputs to measure fair value by such companies or funds as of the valuation date. Generally, mutual funds have a quoted market price in an active market and are classified as Level 1 and commingled funds which may include 103-12 investments, common collective trusts and pooled separate accounts are classified as Level 2 based upon observable data.
Common stocks and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange are stated at the last reported sale or settlement price on the day of valuation. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the New York Stock Exchange. These securities are valued using pricing service providers that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments.
Fixed income investments are valued on the basis of valuations furnished by Trustee-approved independent pricing services. These services determine valuations for normal institutional-size trading units of such securities using models or matrix pricing, which incorporates yield and/or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date and quotations from bond dealers to determine current value. If these valuations are deemed to be either not reliable or not readily available, the fair value will be determined in good faith by the Trustee.
Over-the-counter derivatives are typically valued using proprietary pricing models that use as their basis readily observable market parameters — that is, parameters that are actively quoted and can be validated to external sources, including industry pricing services. Depending on the types and contractual terms of derivatives, fair value can be modeled using a series of techniques, such as the Black-Scholes option pricing model, simulation models or a combination of various models, which are consistently applied. Where derivative products have been established for some time, the Plan uses models that are widely accepted in the financial services industry. These models reflect the contractual terms of the derivatives, including the period to maturity, and market-based parameters such as interest rates, volatility, and the credit quality of the counterparty. Further, many of these models do not contain a high level of subjectivity, as the methodologies used in the models do not require significant judgment, and inputs to the model are readily observable from actively quoted markets, as is the case for “plain vanilla” interest rate swaps, option contracts and credit default swaps.
Interest bearing cash securities are valued at amortized cost, which includes cost and accrued interest and approximates fair value.
The methods described above may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Plan believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a different fair value measurement at the reporting date.
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Security Transactions and Related Investment Income
Security transactions are recorded on a trade-date basis. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis.
The Plan presents in the Statement of Changes in Net Assets Available for Benefits the net change in the fair value of its investments, which consists of realized gains and losses and the unrealized appreciation and depreciation on those investments.
Administrative Expenses and Investment Management Fees
Participants pay for administrative expenses of the Plan which are included in each fund’s expense ratio. These costs include (a) investment management, custody and benefit responsive investment contract fees which are charged to the applicable funds and (b) operational expenses required for administration of the Plan including trustee and recordkeeping which are charged against the funds’ assets on a pro rata basis throughout the year. Operational expenses related to balances in the Mutual Fund Window are deducted from participant account balances. Brokerage fees, and commissions are included in the cost of investments and in determining net proceeds on sales of investments. Investment management, custody and administrative fees for commingled trusts and mutual funds are charged based on a percentage of net asset value and are paid from the assets of the respective funds.
Revenue Sharing
Certain fund families may pass a portion of their fees to Fidelity as provider of recordkeeping services for the Plan. In addition, Fidelity attributes a certain portion of Fidelity mutual fund expenses to recordkeeping. Participants invested in mutual funds that have such arrangements (currently Dodge & Cox and Fidelity) will receive a credit based on their investment in those funds, if the participant has an account balance in the Plan when the credit is calculated. Following each quarter-end (currently within 30 days of quarter-end), a pro rata share of the fees received from the mutual fund will be allocated to the participant’s account, based on the participant’s investment in the mutual fund. The amount allocated will be used to purchase additional shares of the mutual fund to which the credit relates. Any revenue sharing that is attributable to a participant who no longer has an account in the Plan will be used to reduce future Plan expenses.
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Standards to be Implemented
In May 2015, the Financial Accounting Standards Board (FASB) amended guidance for reporting investments in certain entities that calculate net asset value per share (or its equivalent) so that entities will no longer be required to categorize these investments in the fair value hierarchy or to provide the related fair value disclosures. The guidance is effective for the year ending December 31, 2016 with early adoption permitted and is not expected to have a material impact on the Plan’s Financial Statements.
Standards Implemented
In July 2015, the FASB issued a three-part standard that provides guidance on certain aspects of the accounting by employee benefit plans. Part I amended the guidance for fully benefit-responsive investment contracts (FBRICs) to report them only at contract value and to no longer present a reconciliation of a FBRIC’s fair value to its contract value on the face of the plan financial statements. In addition, FBRICs including the underlying investments of a synthetic guaranteed investment contract are not included in the fair value hierarchy table. The 2014 collateral associated with the underlying investments of the synthetic guaranteed investment contracts was reclassified from payable for collateral deposits to investments, at fair value on the 2014 Statement of Net Assets Available For Benefits. Part II amended certain plan investment disclosures, including the elimination of investments greater than 5 percent of net assets; reporting the net appreciation/depreciation only in the aggregate and investments in the fair value hierarchy table are segregated only by general type of investment. In addition, if an investment is measured using the net asset value per share (or its equivalent) practical expedient and that investment is in a fund that files a U.S. Department of Labor Form 5500, Annual Return/Report of Employee Benefit Plan, as a direct filing entity, a disclosure of that investment’s strategy is not required. The guidance is effective January 1, 2016 with early adoption permitted. The Plan adopted the guidance for 2015, on a retrospective basis.
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NOTE 3 — INVESTMENTS
The following tables set forth by level, within the fair value hierarchy, the Plan’s investments at fair value at December 31, 2015 and 2014.
Investments at Fair Value as of December 31, 2015
(Dollars in Thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | |
| | | | | | | | | |
Equity: | | | | | | | | | |
Equity commingled*/mutual funds | | $ | 3,586,614 | | $ | 14,361,234 | | $ | | | $ | 17,947,848 | |
IBM Corporation common stock | | 1,321,957 | | | | | | 1,321,957 | |
Equity securities | | 5,063,625 | | 3,196,596 | | 1,660 | | 8,261,881 | |
| | | | | | | | | |
Fixed income: | | | | | | | | | |
Government securities | | | | 4,246,733 | | | | 4,246,733 | |
Corporate bonds | | | | 1,211,075 | | 1,346 | | 1,212,421 | |
Mortgage and asset-backed securities | | | | 55,323 | | | | 55,323 | |
Fixed income commingled*/mutual funds | | 1,158,277 | | | | | | 1,158,277 | |
| | | | | | | | | |
Cash and cash equivalents | | 29,655 | | 881,422 | | | | 911,076 | |
| | | | | | | | | |
Derivatives | | 470 | | 115 | | | | 585 | |
| | | | | | | | | |
Other commingled*/mutual funds | | 737,793 | | 1,118,592 | | | | 1,856,385 | |
Total investments at fair value | | $ | 11,898,392 | | $ | 25,071,089 | | $ | 3,006 | | $ | 36,972,487 | |
*Commingled funds may include 103-12 investments, common collective trusts, and pooled separate accounts.
The balances of and changes in the fair values of the Plan’s level 3 assets for the period ending December 31, 2015 were not material.
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Investments at Fair Value as of December 31, 2014**
(Dollars in Thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | |
| | | | | | | | | |
Equity: | | | | | | | | | |
Equity commingled*/mutual funds | | $ | 3,820,468 | | $ | 14,856,322 | | $ | | | $ | 18,676,790 | |
IBM Corporation common stock | | 1,652,777 | | | | | | 1,652,777 | |
Equity securities | | 5,689,164 | | 3,125,971 | | 243 | | 8,815,378 | |
| | | | | | | | | |
Fixed income: | | | | | | | | | |
Government securities | | | | 4,197,456 | | | | 4,197,456 | |
Corporate bonds | | | | 1,144,601 | | 26 | | 1,144,626 | |
Mortgage and asset-backed securities | | | | 51,894 | | | | 51,894 | |
Fixed income commingled*/mutual funds | | 1,258,361 | | | | | | 1,258,361 | |
| | | | | | | | | |
Cash and cash equivalents | | 22,628 | | 1,082,353 | | | | 1,104,981 | |
| | | | | | | | | |
Derivatives | | 1,950 | | 47 | | | | 1,997 | |
| | | | | | | | | |
Other commingled*/mutual funds | | 723,964 | | 1,177,179 | | | | 1,901,143 | |
Total investments at fair value | | $ | 13,169,311 | | $ | 25,635,822 | | $ | 268 | | $ | 38,805,401 | |
* Commingled funds may include 103-12 investments, common collective trusts, and pooled separate accounts.
** Reclassified to reflect adoption of ASU 2015-12 and the 2015 presentation. Refer to note 2, “Summary of Significant Accounting Policies,” for additional information.
Transfers between Levels
The Plan’s policy is to recognize transfers in and transfers out at the beginning of the period. For the years ended December 31, 2015, and 2014, there were no transfers between Levels 1 and 2 and no transfers in or out of Level 3.
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Fair Value of Investments that Calculate Net Asset Value
The following table summarizes investments measured at fair value based on net asset value per share at December 31, 2015 and 2014, respectively:
Investments at fair value: | | 2015 | | 2014 | |
| | (Dollars in thousands) | |
| | | | | |
Equity funds | | $ | 14,361,234 | | $ | 14,856,322 | |
Other funds | | 1,118,592 | | 1,177,179 | |
| | | | | | | |
Generally, under ordinary market conditions, investments in the funds included in the table above provide daily market liquidity to Plan participants and the Plan, facilitating daily participant transactions (issuances and redemptions). Investment in some of these funds may be subject to redemption restrictions at the fund’s discretion in limited situations including, but not limited to, a major market event, closure of a market on which any significant portion of the assets of the fund are invested, a situation deemed to be an emergency by the fund, and a situation in which price or value of the assets cannot be promptly and accurately ascertained. At December 31, 2015 and 2014, no funds were subject to redemption restrictions.
NOTE 4 — DERIVATIVES
In accordance with the investment strategy of the separately-managed funds, investment managers execute transactions in various derivative instruments. These derivative instruments include swaps, options, bond and equity futures and forward contracts. The use of derivatives is permitted principally to gain or reduce exposure or execute an investment strategy more efficiently. The investment managers use these derivative instruments to manage duration and interest rate volatility and exposure to credit, currency, equity, and cash.
Derivative instruments are carried at fair value. The net fair value of derivative financial instruments was an asset of $0.6 million and $2 million as of December 31, 2015 and 2014, respectively. The notional amount of derivative financial instruments reported in Investments, at fair value within the Statement of Net Assets Available for Benefits was $478 million and $264 million as of December 31, 2015 and 2014, respectively.
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NOTE 5 — INVESTMENT CONTRACTS
The Plan entered into benefit-responsive synthetic investment contracts (“synthetic GICs”) and a separate account investment contract (“separate account GIC” and together with the synthetic GICs, “Investment Contracts”), for the Interest Income Fund (“the Fund”), with various third parties, i.e., insurance companies and banks.
A synthetic GIC provides for a fixed return on principal over a specified period of time, e.g., a quarterly crediting rate. These investment contracts, which are backed by underlying assets owned by the Plan, are issued by third parties. A separate account GIC also provides for a fixed return on principal and these investment contracts are funded by contributions which are held in separate accounts at the third party established for the sole benefit of the Fund participants. Both types of Investment Contracts are meant to be fully benefit-responsive. Participants transact at contract value, which represents contributions plus interest earned based on a formula called the “crediting rate.” The crediting rate formula smooths and decreases differences over time between the market value of the covered assets and the contract value. The crediting rate is most impacted by the change in the annual effective yield to maturity of the underlying securities, but is also affected by changes in general level of interest rates, administrative expenses and cash flows into or out of the contract. The difference between the contract value and the market value of the covered assets is amortized over time as determined by the terms of the contract, typically the Investment Contract’s actual or benchmark duration. A change in duration of the covered assets or benchmark from reset period to reset period can affect the speed with which any difference is amortized. Crediting rates are reset quarterly or more often if deemed appropriate. Investment Contracts provide a guarantee that the crediting rate will not fall below zero percent.
An Investment Contract crediting rate, and hence the Fund’s return, may be affected by many factors, including purchases and redemptions by participants. The precise impact on the Investment Contract depends on whether the market value of the covered assets is higher or lower than the contract value of those assets. If the market value of the covered assets is higher than the contract value, the crediting rate will ordinarily be higher than the yield of the covered assets. Under these circumstances, cash from new investors will tend to lower the crediting rate and the Fund’s return, and redemptions by existing participants will tend to increase the crediting rate and the Fund’s return. If the market value of the covered assets is less than the contract value, the crediting rate will ordinarily be lower than the yield of the covered assets. Under these circumstances, cash from new investors will tend to increase the crediting rate and the Fund’s return, and redemptions by existing participants will tend to decrease the crediting rate and the Fund’s return. If the Investment Contract experiences significant redemptions when the market value is below the contract value, the Investment Contract’s crediting rate may be reduced significantly, to a level that may not be competitive with other investment options. If redemptions continued, the crediting rate could be reduced to zero. If the Investment Contract has insufficient covered assets to meet redemption requests, the Fund would require payments from the investment contract issuer to pay further participant redemptions.
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The Fund and the Investment Contracts purchased for the Fund are designed to pay all participant-initiated transactions at contract value. Participant-initiated transactions are those transactions allowed by the provisions of the Plan (typically this would include withdrawals for benefits, loans, or transfers to non-competing funds within the Plan). However, the Investment Contracts may limit the ability of the Fund to transact at contract value upon the occurrence of certain events. At this time, the occurrence of any of these events is not probable. These events include:
· The Plan’s failure to qualify under Section 401(a) or Section 401(k) of the Internal Revenue Code.
· The establishment of a defined contribution plan that competes with the Plan for employee contributions.
· Any substantive modification of the Plan or the administration of the Plan that is not consented to by the investment contract issuer.
· Complete or partial termination of the Plan.
· Any change in law, regulation or administrative ruling applicable to the Plan that could have a material adverse effect on the Fund’s cash flow.
· Merger or consolidation of the Plan with another plan, the transfer of plan assets to another plan, or the sale, spin-off or merger of a subsidiary or division of the plan sponsor.
· Any communication given to participants by the Plan sponsor or any other plan fiduciary that is designed to induce or influence participants not to invest in the Fund or to transfer assets out of the Fund.
· Exclusion of a group of previously eligible employees from eligibility in the Plan.
· Any significant retirement program, group termination, group layoff, facility closing or similar program.
· Any transfer of assets from the Fund directly to a competing option, if such transfers are prohibited.
· Bankruptcy of the plan sponsor or other plan sponsor events which cause a significant withdrawal from the Plan.
An investment contract issuer may terminate a contract at any time. In the event that the market value of the covered assets is below the contract value at the time of such termination, the Plan may elect to keep a contract in place to allow for the convergence of the market value and the contract value. An investment contract issuer may also terminate a contract if certain terms of the Investment Contract fail to be met.
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Investment Contracts generally impose conditions on both the Plan and the issuer. If an event of default occurs and is not cured, the non-defaulting party may terminate the contract. The following may cause the Plan to be in default: a breach of material obligation under the contract; a material misrepresentation; or a material amendment to the Plan agreement. The issuer may be in default if it breaches a material obligation under the investment contract; makes a material misrepresentation; is acquired or reorganized. If, in the event of default of an issuer, the Fund were unable to obtain a replacement investment contract, the Fund may experience losses if the market value of the Plan’s assets no longer covered by the contract is below contract value. The Fund may seek to add additional issuers over time to diversify the Fund’s exposure to such risk, but there is no assurance the Fund will be able to do so. The combination of the default of an issuer and an inability to obtain a replacement agreement could render the Fund unable to maintain contract value. The terms of an Investment Contract generally provide for settlement of payments only upon termination of the contract or total liquidation of the covered investments. Generally, payments will be made pro-rata, based on the percentage of investments covered by each issuer. Contract termination occurs whenever the contract value or market value of the covered investments reaches zero or upon certain events of default. If the contract terminates when the market value equals zero, the issuer will pay the excess of contract value over market value to the Plan to the extent necessary for the Plan to satisfy outstanding contract value withdrawal requests. Contract termination also may occur by either party upon election and notice as agreed to under the terms of the contract.
The following table provides the disaggregation of contract value between types of Investment Contracts held by the Plan.
Investment Contracts at December 31, | | 2015 | | 2014 | |
| | (Dollars in thousands) | |
Contract value: | | | | | |
Synthetic GICs | | $ | 7,032,426 | | $ | 7,506,530 | |
Separate account GIC | | 1,555,235 | | 1,129,859 | |
Total Investment Contracts | | $ | 8,587,661 | | $ | 8,636,389 | |
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NOTE 6 - DESCRIPTION OF INVESTMENT FUNDS
The objectives of the thirty-three primary investment funds in which participants could invest in 2015 are described below:
Life Cycle Funds —
The Life Cycle funds reflect a portfolio of diversified investments — U.S. stocks, international stocks, real estate equity stocks, and fixed-income investments — from the existing core funds noted below, plus a balanced exposure fund and a commodities fund (not available to participants as standalone offerings). These funds offer a convenient low-cost way to achieve diversification, professional investment management and periodic rebalancing as needed. The funds are structured by the IBM Retirement Fund organization and managed by the underlying funds’ managers.
The Target Date Funds offer portfolios with asset allocations designed for varying retirement dates or the year in which one expects to start drawing on their retirement assets. The portfolios are offered in five year increments from 2005 to 2055, with the 2030 through 2055 funds providing a significantly higher allocation to stocks. As a fund draws closer to its associated target date, the fund will automatically shift toward a more conservative risk level by reducing its allocation to stocks. Each fund’s reduction to stocks continues through its “target date” for another 10 years, until the fund’s allocation and risk profile matches that of the Income Plus Fund and will subsequently be merged into the Income Plus Life Strategy Fund. The Target Date funds assume a retirement age of 60.
· | Target Date 2005 Fund - designed for investors who have retired or started to draw on their retirement assets on or around the year 2005; seeks returns that moderately outpace inflation over the long term. It was merged into the Income Plus Life Strategy Fund during 2015. |
| |
· | Target Date 2010 Fund - seeks relatively high returns at a moderate risk level. Target asset allocation between stocks and bonds is 36% stocks*, 64% bonds. |
| |
· | Target Date 2015 Fund - seeks relatively high returns at a moderate risk level. Target asset allocation between stocks and bonds is 49% stocks*, 51% bonds. |
| |
· | Target Date 2020 Fund - seeks high returns over the long term. Target asset allocation between stocks and bonds is 61% stocks*, 39% bonds. |
| |
· | Target Date 2025 Fund - seeks high returns over the long term. Target asset allocation between stocks and bonds is 73% stocks*, 27% bonds. |
| |
· | Target Date 2030 Fund - seeks high returns over the long term. Target asset allocation between stocks and bonds is 84% stocks*, 16% bonds. |
| |
· | Target Date 2035 Fund - seeks high returns over the long term. Target asset allocation between stocks and bonds is 90% stocks*, 10% bonds. |
| |
· | Target Date 2040 Fund - seeks high returns over the long term. Target asset allocation between stocks and bonds is 90% stocks*, 10% bonds. |
| |
· | Target Date 2045 Fund - seeks high returns over the long term. Target asset allocation between stocks and bonds is 90% stocks*, 10% bonds. |
| |
· | Target Date 2050 Fund - seeks high returns over the long term. Target asset allocation between stocks and bonds is 90% stocks*, 10% bonds. |
| |
· | Target Date 2055 Fund - seeks high returns over the long term. Target asset allocation between stocks and bonds is 90% stocks*, 10% bonds. |
* Exposure to the balanced exposure and commodities funds is considered part of the allocation to stocks.
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The Life Strategy Funds that have a preset mix of stock and fixed income investments in order to provide broad diversification at four given levels of exposure to equities. The preset mix of each Life Strategy Fund is not expected to change over time.
· | Income Plus Life Strategy Fund - target allocation: 25% stocks*, 75% bonds; seeks returns that modestly outpace inflation on a fairly consistent basis. |
| |
· | Conservative Life Strategy Fund - target allocation: 50% stocks*, 50% bonds; seeks returns that moderately outpace inflation over the long term. |
| |
· | Moderate Life Strategy Fund - target allocation: 65% stocks*, 35% bonds; seeks relatively high returns at a moderate risk level. |
| |
· | Aggressive Life Strategy Fund - target allocation: 90% stocks*, 10% bonds; seeks high returns over the long term. |
* Exposure to the balanced exposure and commodities funds is considered part of the allocation to stocks.
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Core Funds - funds that provide an opportunity to build a portfolio from a selection of broadly diversified U.S. and international stock funds and from funds that track the fixed-income markets.
· | Interest Income Fund - seeks to provide income similar to an intermediate bond fund with low volatility and to preserve principal. The fund is managed by multiple investment managers. |
| |
· | Inflation Protected Bond Fund - seeks over the long term to provide a rate of return similar to the Barclays U.S. Treasury Inflation Protected Securities - Series L Index (TIPS). The fund is managed by State Street Global Advisors. |
| |
· | Total Bond Market Fund - seeks to provide a rate of return similar to its benchmark index (Barclays Aggregate Bond Index), which consists of a diversified group of U.S. Treasury, federal agency, mortgage-backed, and corporate securities. The fund is managed by Neuberger Berman. |
| |
· | High Yield and Emerging Markets Bond Fund - seeks to modestly exceed the returns of a customized composite benchmark of 40% U.S. high yield, 40% emerging market bonds issued in local currencies and 20% emerging market bonds issued in U.S. dollars. The fund invests in “below investment grade” U.S. corporate and emerging market bonds. The fund is managed by multiple investment managers. |
| |
· | Total Stock Market Index Fund - seeks long-term growth of capital and income with a market rate of return for a diversified group of U.S. equities. It attempts to match the performance of the Dow Jones U.S. Total Stock Market Index. The fund is managed by The Vanguard Group. |
| |
· | Total International Stock Market Index Fund - seeks long-term capital growth with a market rate of return for a diversified group of non-U.S. equities in such major markets as Europe and Asia plus the emerging markets of the world. It attempts to match the performance of the MSCI All Country World Ex-USA Investable Market Index. The fund is managed by State Street Global Advisors. |
| |
· | Global Real Estate Index Fund was added March 30, 2016 — seeks to replicate the returns of a customized composite benchmark of 70% MSCI US REIT Index and 30% FTSE EPRA/NAREIT Developed ex-US Rental Index. The fund is managed by BlackRock Institutional Trust Company. |
| |
· | Real Estate Investment Trust (REIT) Index Fund - seeks a total rate of return approximating the returns of the MSCI U.S. REIT index. Investment consists of U.S. publicly traded real estate equity securities. The fund is managed by BlackRock Institutional Trust Company. Effective June 30, 2016, will be moved to Expanded Choice Funds. |
| |
· | International Real Estate Index Fund. - seeks to replicate the returns of the FTSE EPRA/NAREIT Developed ex US Rental Index. Investment consists of the international market for securities of companies principally engaged in the real estate industry that derive greater than or equal to 70% of their total revenue from rental revenue of investment properties. The fund is managed by BlackRock Institutional Trust Company. Effective June 30, 2016, will be moved to Expanded Choice Funds. |
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Expanded Choice Funds — funds that provide an opportunity to build an investment portfolio with funds that are less broadly diversified, focusing instead on discrete sectors of the stock and bond markets.
· | Long-Term Corporate Bond Fund - seeks to modestly outperform the return of the Barclays U.S. Long Credit Index. The fund invests in a diversified group of investment grade corporate and local U.S. and non-U.S. government fixed-rate debt issues with maturities of ten years or more. The fund is managed by Neuberger Berman. |
| |
· | Large Company Index Fund - seeks long-term growth of capital and income from dividends by holding all the stocks that make up the Standard & Poor’s 500 Index. The fund is managed by The Vanguard Group. |
| |
· | Large-Cap Value Index Fund - seeks long-term growth of capital and income from dividends. The fund holds all the stocks in the Russell 1000 Value Index in approximately the same proportion as those stocks represented in the index. The fund is managed by The Vanguard Group. |
| |
· | Large-Cap Growth Index Fund - seeks long-term growth of capital by holding all the stocks in the Russell 1000 Growth Index in approximately the same proportion as those stocks represented in the index. The fund is managed by The Vanguard Group. |
| |
· | Small/Mid-Cap Stock Index Fund - seeks long-term growth of capital with a market rate of return from a diversified group of medium- and small-company stocks. The fund holds stocks in the Russell 3000 index that are not part of the Standard and Poor’s 500 index and attempts to match the performance of the Russell SmallCap Completeness Index. The fund is managed by State Street Global Advisors. |
| |
· | Small-Cap Value Index Fund - seeks long-term growth of capital by attempting to match the performance of the Russell 2000 Value Index. The fund is managed by The Vanguard Group. |
| |
· | Small-Cap Growth Index Fund - seeks long-term growth of capital by attempting to match the performance of the Russell 2000 Growth Index. The fund is managed by The Vanguard Group. |
| |
· | European Stock Index Fund - seeks long-term growth of capital that corresponds to an index of European stocks. It attempts to match the investment results of the MSCI Europe Index. The fund is managed by The Vanguard Group. |
| |
· | Pacific Stock Index Fund - seeks long-term growth of capital by attempting to match the performance of the MSCI Pacific Index. The fund is managed by The Vanguard Group. |
| |
· | Emerging Markets Stock Index Fund - seeks long-term growth of capital by attempting to match the investment results of the FTSE Emerging Markets All Cap China A Transition Index. The fund is managed by The Vanguard Group. |
| |
· | IBM Stock Fund - invests in IBM common stock and holds a small interest-bearing cash balance of approximately 0.35% for liquidity purposes. The fund is managed by State Street Bank and Trust Company. |
IBM 401(k) participants also have access to the “mutual fund window” investments — which expands the Plan’s investment options to include about 165 mutual funds, most of which are actively managed. This feature gives more options to participants who are interested in investing in brand-name funds, or in simply having a broader range of investment options from which to choose.
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Securities Lending
The Plan does not currently engage in securities lending for the separate accounts. Securities lending may be permitted in certain commingled funds and in funds within the mutual fund window. The prospectus for each fund will disclose if lending is permitted and the risks involved.
NOTE 7 - TAX STATUS
The Trust established under the Plan is qualified under Section 401(a) of the Internal Revenue Code of 1986 and Section 1081.01 of the Internal Revenue Code for a New Puerto Rico (2011), and the Trustee intends for the Trust to remain dual-qualified in this manner. The Plan received a favorable determination letter from the IRS on January 8, 2015, and received a favorable determination letter from the Hacienda (Puerto Rico) on April 29, 1993. Subsequent to these determination letters by the IRS and the Hacienda, the Plan was amended. The Plan administrator and Counsel continue to believe the Plan is designed and is being operated in compliance with the applicable requirements of the Internal Revenue Code and the Internal Revenue Code for a New Puerto Rico (2011). The Plan submitted a request for a new determination letter to the Hacienda on April 15, 2014 and a request for a new determination letter to the IRS on January 21, 2016.
Accounting principles generally accepted in the United States of America require plan management to evaluate tax positions taken by the Plan and recognize a tax liability (or asset) if the Plan has taken an uncertain position that more likely than not would not be sustained upon examination by the Internal Revenue Service. The Plan administrator has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2015, there are no uncertain positions taken or expected to be taken that would require recognition of a liability (or asset) or disclosure in the financial statements and do not believe this position will change in the next twelve months. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits for any tax periods in progress.
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NOTE 8 - RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500
The following is a reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of:
| | 12/31
2015 | | 12/31
2014 | |
| | (Dollars in thousands) | |
Net assets available for benefits per the financial statements | | $ | 45,667,471 | | $ | 47,574,974 | |
Plus: | | | | | |
Adjustment from contract value to fair value for fully benefit-responsive investment contracts held by the Interest Income Fund | | 261,230 | | 442,161 | |
Net assets available for benefits per the Form 5500 | | $ | 45,928,701 | | $ | 48,017,136 | |
The following is a reconciliation of investment income per the financial statements to the Form 5500:
| | Year Ended
December 31,
2015 | |
| | (Dollars in thousands) | |
Total investment income and interest income on notes receivable from participants per the financial statements | | $ | (292,026 | ) |
Less: | | | |
Adjustment from fair value to contract value for fully benefit-responsive investment contracts at December 31, 2014 | | 442,161 | |
Plus: | | | |
Adjustment from fair value to contract value for fully benefit-responsive investment contracts at December 31, 2015 | | 261,230 | |
Total investment income per the Form 5500 | | $ | (472,957 | ) |
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NOTE 9 - RELATED-PARTY TRANSACTIONS
At December 31, 2015, a significant portion of the Plan’s assets were managed by SSGA, an affiliate of SSBT. SSBT also acts as the Trustee for the Plan and, therefore, these investments in addition to participant loans qualify as party-in-interest transactions. The Plan also pays a fee to the Trustee. These transactions qualify as party-in-interest transactions as well.
In addition, Fidelity is the provider of administrative services related to the mutual fund window as well as an affiliate of the investment manager of Fidelity funds within the mutual fund window. Fidelity is also the provider of record keeping and participant services, and the operator of the IBM Employee Services Center for the IBM 401(k) Plus Plan.
At December 31, 2015 and 2014, the Plan held 9,605,847 and 10,301,527 shares of IBM common stock valued at $1,321,956,664 and $1,652,776,992, respectively. During the year ended December 31, 2015, purchases of IBM common stock by the Plan totaled $123,670,075 and sales of IBM common stock by the Plan totaled $238,932,365.
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IBM 401(k) PLUS PLAN AT DECEMBER 31, 2015
Schedule G, Part I - Schedule of Loans or Fixed Income Obligations in Default or Classified as Uncollectible
| | | | (c) Detailed description of loan including dates of making and
maturity, interest rate, the type and value of collateral, any
renegotiation of the loan and the terms of the renegotiation,
and other material items | | | | Amount received during | | (g) Unpaid | | | |
| | | | | | | | Maturity | | Interest | | Capitalized | | (d) Original | | reporting year | | balance at end | | Amount Overdue | |
(a)* | | (b) Identity and address of Obligor | | Security ID | | Issue Date | | Date | | Rate | | Interest | | amount of loan | | (e) Principal | | (f) Interest | | of year | | (h) Principal | | (i) Interest | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | Glitnir Bank HF, Islandsbanki, Kirkjusandi 2-155 Reykjavik, Iceland | | 379308AA7 | | 6/15/2006 | | 6/15/2016 | | 6.693 | | | | $ | 2,100,000 | | | | | | $ | 1,054,148 | | | | $ | 1,054,148 | |
| | Glitnir Bank HF, Islandsbanki, Kirkjusandi 2-155 Reykjavik, Iceland | | 379308AB5 | | 9/14/2006 | | 9/14/2049 | | 7.451 | | | | 200,000 | | | | | | 104,314 | | | | 104,314 | |
| | Hipotecaria Su Casita, S.A. de C.V., AV San Geronimo 478 Col. Jardines del Pedregal Mexico, DF 01090 | | 433514AB2 | | 6/29/2011 | | 6/29/2018 | | 7.5 | | $ | 1,791 | | 87,022 | | | | | | 22,203 | | | | 22,203 | |
| | Kaupthing Bank hf., Borgartun 26 IS-105 Reykjavik, Iceland | | 48632HAA5 | | 5/19/2006 | | 5/19/2016 | | 7.125 | | | | 700,000 | | | | | | 349,125 | | | | 349,125 | |
| | Lehman Brothers Holdings Inc., 745 Seventh Avenue, New York, NY 10019 | | 524ESC7M6 | | 12/21/2007 | | 12/28/2017 | | 6.75 | | | | 9,850,000 | | | | | | 4,654,125 | | | | 4,654,125 | |
| | Lehman Brothers Holdings Inc., 745 Seventh Avenue, New York, NY 10019 | | 524ESCXA3 | | 5/17/2007 | | 11/30/2056 | | 5.857 | | | | 1,730,000 | | | | | | 2,056,749 | | | | 2,056,749 | |
| | Sigma Finance Corp., M&C Corp. Services LTD, Box 309GT, Ugland House, South Church St., George Town, Grand Cayman, Grand Cayman Islands | | 8265Q0XQ0 | | 6/4/2007 | | 6/4/2009 | | variable | | | | 10,000,000 | | $ | 90,052 | | $ | 536 | | 9,463,894 | | $ | 9,407,906 | | 55,988 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* Party-in-interest
Schedule G, Part I - Overdue Loan Explanation
Investment managers have responsibility for these securities as well as other securities in their portfolio and they have or will take appropriate actions taking into consideration the circumstances surrounding each security and the overall portfolio that they manage.
32
Table of Contents
IBM 401(k) PLUS PLAN
Schedule H, line 4i - Schedule of Assets (Held at End of Year)
AT DECEMBER 31, 2015
(a) | | (b) Identity of issue, borrower,
lessor, or similar
party | | (c) Description of investment
including maturity date, rate
of interest, collateral, par, or
maturity value | | (d) Cost | | (e) Fair value | |
| | | | | | (n/a) | | | |
| | IBM Stock Fund | | | | | | | |
| | | | | | | | | |
* | | International Business Machines Corporation | | IBM Common Stock 9,605,847 shares | | | | $ | 1,321,956,664 | |
| | Managed by State Street Global Advisors | | State Street Bank and Trust Company Government Short-Term Investment Fund | | | | 1,906,682 | |
| | | | | | | | | |
| | Mutual Funds | | | | | | | |
| | | | | | | | | |
| | Administered by Fidelity | | Mutual Fund Window (refer to Exhibit K - investments) | | | | 5,405,923,826 | |
| | Vanguard Emerging Markets Stock Index Fund | | Vanguard Emerging Markets Stock Index Fund Institutional Plus Shares 978,752 shares | | | | 67,661,142 | |
| | | | | | | | | |
| | Commingled Funds | | | | | | | |
| | | | | | | | | |
| | Vanguard Employee Benefit Index Fund | | Large Company Index | | | | 5,511,989,825 | |
| | Vanguard Total Stock Market Index Trust | | Total Stock Market Index | | | | 4,702,325,493 | |
| | Vanguard Russell 1000 Growth Index Trust | | Large Cap Growth Index | | | | 1,089,568,760 | |
| | Vanguard Russell 1000 Value Index Trust | | Large Cap Value Index | | | | 904,708,946 | |
| | Vanguard Russell 2000 Growth Index Trust | | Small Cap Growth Index | | | | 722,715,672 | |
| | Bridgewater All Weather Portfolio III, LTD. | | Balanced Fund | | | | 643,317,527 | |
| | Vanguard Russell 2000 Value Index Trust | | Small Cap Value Index | | | | 602,579,594 | |
| | Vanguard European Stock Index Trust | | European Stock Index | | | | 476,415,697 | |
| | Vanguard Pacific Stock Index Trust | | Pacific Stock Index | | | | 349,919,222 | |
| | PIMCO Commodities Plus Trust II | | Commodity | | | | 261,469,595 | |
| | AQR Global Risk Parity Enhanced Liquidity Fund | | Balanced Fund | | | | 213,805,162 | |
| | | | | | | | | | |
* Party-In-Interest
33
Table of Contents
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment
including maturity date, rate
of interest, collateral, par, or
maturity value | | (d) Cost | | (e) Fair value | |
| | | | | | (n/a) | | | |
| | Separately-Managed Funds | | | | | | | |
| | | | | | | | | |
| | Managed by State Street Global Advisors | | Small/Mid Cap Stock Index (refer to Exhibit A - investments) | | | | $ | 3,523,594,920 | |
| | Managed by State Street Global Advisors | | Total International Stock Market Index (refer to Exhibit B - investments) | | | | 3,274,934,720 | |
| | Managed by Neuberger Berman | | Total Bond Market (refer to Exhibit C - investments) | | | | 2,647,342,039 | |
| | Managed by State Street Global Advisors | | Inflation Protected Bond (refer to Exhibit D - investments) | | | | 1,654,342,026 | |
| | Managed by BlackRock Institutional Trust Company | | Real Estate Investment Trust (refer to Exhibit E - investments) | | | | 1,269,950,295 | |
| | Managed by Neuberger Berman | | Long-Term Corporate Bond (refer to Exhibit F - investments) | | | | 387,945,356 | |
| | Managed by BlackRock Institutional Trust Company | | International Real Estate Index (refer to Exhibit G -investments) | | | | 295,385,275 | |
| | Managed by Pacific Investment Management Company (PIMCO) | | High Yield and Emerging Markets Bond (refer to Exhibit H - investments) | | | | 228,957,600 | |
| | Managed by Lazard | | Emerging Markets Debt (Refer to Exhibit I - investments) | | | | 132,531,600 | |
| | Managed by JP Morgan | | High Yield Debt (Refer to Exhibit J - investments) | | | | 88,697,145 | |
| | | | | | | | | | |
* Party-In-Interest
34
Table of Contents
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment
including maturity date, rate
of interest, collateral, par, or
maturity value | | (d) Cost | | (e) Fair value | |
| | | | | | (n/a) | | | |
| | Separately-Managed Funds (continued) | | | | | | | |
| | Underlying assets managed by various investment companies | | Interest Income Fund (refer to Exhibit L - investments) | | | | $ | 10,069,221,414 | |
* | | Mass Mutual Life Insurance Company | | Synthetic GIC Wrapper Contract, Rate of Interest 3.17% | | | | | |
| | Royal Bank of Canada | | Synthetic GIC Wrapper Contract, Rate of Interest 3.84% | | | | | |
* | | State Street Bank and Trust Company | | Synthetic GIC Wrapper Contract, Rate of Interest 3.84% | | | | | |
* | | The Prudential Insurance Company of America | | Synthetic GIC Wrapper Contract, Rate of Interest 3.02% | | | | | |
* | | New York Life Insurance Company | | Synthetic GIC Wrapper Contract, Rate of Interest 2.85% | | | | | |
* | | Metropolitan Life Insurance Company | | Separate Account GIC Contract, Rate of Interest 2.61% | | | | | |
* | | Notes receivable from participants | | Interest rates range: 4.25% - 11.00% Terms: one to thirty years | | | | 272,452,196 | |
| | | | | | | | | |
| | Interest-Bearing Cash | | | | | | | |
| | | | | | | | | |
| | Managed by State Street Global Advisors | | State Street Bank and Trust Company Government Short-Term Investment Fund | | | | 686,019,591 | |
| | | | | | | | | | |
* Party-In-Interest
35
Table of Contents
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Acquired and Disposed of Within Year)
FOR THE YEAR ENDED DECEMBER 31, 2015
| | (b) Identity of issue, borrower, | | (c) Description of investment including maturity date, | | | | (e) Fair | |
(a) | | lessor, or similar party | | rate of interest, collateral, par, or maturity value | | (d) Cost | | value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | BARCLAYS CAPITAL INC | | INTEREST-BEARING CASH | | 830,000 | | | | $ | 830,000 | |
| | BARCLAYS CAPITAL INC | | INTEREST-BEARING CASH | | 300,000 | | | | 300,000 | |
| | BNP PARIBAS CASH BOC | | INTEREST-BEARING CASH | | 720,000 | | | | 720,000 | |
| | BNP PARIBUS CASH COLLATERAL | | INTEREST-BEARING CASH | | 262,000 | | | | 262,000 | |
| | CCSCXIUS6 STANDARD CHARTER BOC | | INTEREST-BEARING CASH | | 680,000 | | | | 680,000 | |
| | CCSCXIUS6 STANDARD CHARTER BOC | | INTEREST-BEARING CASH | | 4,820,000 | | | | 4,820,000 | |
| | CITIGROUP | | INTEREST-BEARING CASH | | 575,000 | | | | 575,000 | |
| | CREDIT SUISSE SEC (USD) LLC | | INTEREST-BEARING CASH | | 340,000 | | | | 340,000 | |
| | CREDIT SUISSE SEC (USD) LLC | | INTEREST-BEARING CASH | | 4,490,000 | | | | 4,050,000 | |
| | DEUTSCHE BANK | | INTEREST-BEARING CASH | | 290,000 | | | | 290,000 | |
| | FUTURES MORGAN STANLEY COC | | INTEREST-BEARING CASH | | 60,000 | | | | 60,000 | |
| | GOLDMAN SACH AND CO | | INTEREST-BEARING CASH | | 540,000 | | | | 540,000 | |
| | GOLDMAN SACHS BANK USA BOC | | INTEREST-BEARING CASH | | 15,290,000 | | | | 14,610,000 | |
| | GOLDMAN SACHS BANK USA COC | | INTEREST-BEARING CASH | | 1,160,000 | | | | 1,160,000 | |
| | MORGAN STANLEY | | INTEREST-BEARING CASH | | 530,000 | | | | 530,000 | |
| | MORGAN STANLEY CASH BOC | | INTEREST-BEARING CASH | | 5,380,000 | | | | 5,680,000 | |
| | NATIONAL AUSTRAILIAN BANK CASH | | INTEREST-BEARING CASH | | 790,000 | | | | 790,000 | |
| | ROYAL BANK OF CANADA COC | | INTEREST-BEARING CASH | | 290,000 | | | | 290,000 | |
| | SWAP BANK OF AMERICA BOC | | INTEREST-BEARING CASH | | 5,010,000 | | | | 5,010,000 | |
| | SWAP BANK OF AMERICA COC | | INTEREST-BEARING CASH | | 1,420,000 | | | | 1,420,000 | |
| | SWAP BARCLAYS BANK BOC | | INTEREST-BEARING CASH | | 300,000 | | | | 300,000 | |
| | SWAP BNP PARIBAS COC | | INTEREST-BEARING CASH | | 530,000 | | | | 530,000 | |
| | SWAP BNP PARIBAS COC | | INTEREST-BEARING CASH | | 1,750,000 | | | | 1,750,000 | |
| | SWAP CITIBANK BOC | | INTEREST-BEARING CASH | | 560,000 | | | | 560,000 | |
| | SWAP CITIBANK COC | | INTEREST-BEARING CASH | | 5,360,000 | | | | 5,360,000 | |
| | SWAP CREDIT SUISSE BOC | | INTEREST-BEARING CASH | | 2,160,000 | | | | 2,160,000 | |
| | SWAP CREDIT SUISSE COC | | INTEREST-BEARING CASH | | 2,120,000 | | | | 2,120,000 | |
| | SWAP DEUTSCHE BANK COC | | INTEREST-BEARING CASH | | 1,090,000 | | | | 1,090,000 | |
* | | SWAP JP MORGAN BOC | | INTEREST-BEARING CASH | | 850,000 | | | | 850,000 | |
| | SWAP UBS BOC | | INTEREST-BEARING CASH | | 5,320,000 | | | | 5,320,000 | |
| | SWAP UBS COC | | INTEREST-BEARING CASH | | 4,610,000 | | | | 4,610,000 | |
| | TBA MORGAN STANLEY BOC | | INTEREST-BEARING CASH | | 410,000 | | | | 410,000 | |
| | TBA WELLS FARGO BOC | | INTEREST-BEARING CASH | | 1,973,000 | | | | 1,973,000 | |
| | | | | | | | | | | |
| | | | Total | | | | | | $ | 69,990,000 | |
* Party-In-Interest
36
Table of Contents
EXHIBIT A - Small/Mid-Cap Stock Index Fund
(Managed by State Street Global Advisors)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
| | (b) Identity of issue, borrower, | | (c) Description of investment including maturity date, | | | | (e) Fair | |
(a) | | lessor, or similar party | | rate of interest, collateral, par, or maturity value | | (d) Cost | | value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 1 800 FLOWERS.COM INC CL A | | COMMON STOCK USD.01 | | 27,500 | | | | $ | 200,200 | |
| | 1ST SOURCE CORP | | COMMON STOCK | | 18,830 | | | | 581,282 | |
| | 2U INC | | COMMON STOCK USD.001 | | 18,700 | | | | 523,226 | |
| �� | 3D SYSTEMS CORP | | COMMON STOCK USD.001 | | 98,739 | | | | 858,042 | |
| | 8X8 INC | | COMMON STOCK USD.001 | | 89,100 | | | | 1,020,195 | |
| | A10 NETWORKS INC | | COMMON STOCK USD.00001 | | 21,100 | | | | 138,416 | |
| | AAC HOLDINGS INC | | COMMON STOCK USD.001 | | 6,900 | | | | 131,514 | |
| | AAON INC | | COMMON STOCK USD.004 | | 41,236 | | | | 957,500 | |
| | AAR CORP | | COMMON STOCK USD1. | | 28,400 | | | | 746,636 | |
| | AARON S INC | | COMMON STOCK USD.5 | | 60,062 | | | | 1,344,788 | |
| | ABAXIS INC | | COMMON STOCK | | 19,456 | | | | 1,083,310 | |
| | ABENGOA YIELD PLC | | COMMON STOCK | | 40,000 | | | | 771,600 | |
| | ABEONA THERAPEUTICS INC | | COMMON STOCK USD.01 | | 6,400 | | | | 21,504 | |
| | ABERCROMBIE + FITCH CO CL A | | COMMON STOCK USD.01 | | 60,100 | | | | 1,622,700 | |
| | ABIOMED INC | | COMMON STOCK USD.01 | | 36,600 | | | | 3,304,248 | |
| | ABM INDUSTRIES INC | | COMMON STOCK USD.01 | | 47,100 | | | | 1,340,937 | |
| | ABRAXAS PETROLEUM CORP | | COMMON STOCK USD.01 | | 85,900 | | | | 91,054 | |
| | ACACIA RESEARCH CORP | | COMMON STOCK USD.001 | | 44,300 | | | | 190,047 | |
| | ACADIA HEALTHCARE CO INC | | COMMON STOCK USD.01 | | 44,000 | | | | 2,748,240 | |
| | ACADIA PHARMACEUTICALS INC | | COMMON STOCK USD.0001 | | 68,800 | | | | 2,452,720 | |
| | ACADIA REALTY TRUST | | REIT USD.001 | | 64,507 | | | | 2,138,407 | |
| | ACCELERATE DIAGNOSTICS INC | | COMMON STOCK | | 19,600 | | | | 421,204 | |
| | ACCELERON PHARMA INC | | COMMON STOCK USD.001 | | 18,800 | | | | 916,688 | |
| | ACCO BRANDS CORP | | COMMON STOCK USD.01 | | 95,434 | | | | 680,444 | |
| | ACCURAY INC | | COMMON STOCK USD.001 | | 65,085 | | | | 439,324 | |
| | ACCURIDE CORP | | COMMON STOCK | | 36,100 | | | | 59,926 | |
| | ACETO CORP | | COMMON STOCK USD.01 | | 26,700 | | | | 720,366 | |
| | ACHILLION PHARMACEUTICALS | | COMMON STOCK USD.001 | | 94,900 | | | | 1,023,971 | |
| | ACI WORLDWIDE INC | | COMMON STOCK USD.005 | | 103,400 | | | | 2,212,760 | |
| | ACORDA THERAPEUTICS INC | | COMMON STOCK USD.001 | | 37,814 | | | | 1,617,683 | |
| | ACTUA CORP | | COMMON STOCK USD.001 | | 41,600 | | | | 476,320 | |
| | ACTUANT CORP A | | COMMON STOCK USD.2 | | 50,000 | | | | 1,198,000 | |
| | ACUITY BRANDS INC | | COMMON STOCK USD.01 | | 37,650 | | | | 8,802,570 | |
| | ACXIOM CORP | | COMMON STOCK USD.1 | | 69,700 | | | | 1,458,124 | |
| | ADAMAS PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 12,300 | | | | 348,336 | |
| | ADAMS RESOURCES + ENERGY INC | | COMMON STOCK USD.1 | | 2,700 | | | | 103,680 | |
| | ADDUS HOMECARE CORP | | COMMON STOCK USD.001 | | 1,400 | | | | 32,592 | |
| | ADEPTUS HEALTH INC CLASS A | | COMMON STOCK USD.01 | | 4,900 | | | | 267,148 | |
| | ADTRAN INC | | COMMON STOCK USD.01 | | 51,437 | | | | 885,745 | |
| | ADURO BIOTECH INC | | COMMON STOCK USD.0001 | | 8,700 | | | | 244,818 | |
| | ADVANCED DRAINAGE SYSTEMS IN | | COMMON STOCK USD.01 | | 26,900 | | | | 646,407 | |
| | ADVANCED ENERGY INDUSTRIES | | COMMON STOCK USD.001 | | 34,300 | | | | 968,289 | |
| | ADVANCED MICRO DEVICES | | COMMON STOCK USD.01 | | 577,000 | | | | 1,655,990 | |
| | ADVAXIS INC | | COMMON STOCK USD.001 | | 23,300 | | | | 234,398 | |
| | ADVISORY BOARD CO/THE | | COMMON STOCK USD.01 | | 37,904 | | | | 1,880,417 | |
| | AECOM | | COMMON STOCK USD.01 | | 135,128 | | | | 4,057,894 | |
| | AEGERION PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 27,937 | | | | 282,164 | |
| | AEGION CORP | | COMMON STOCK USD.01 | | 38,091 | | | | 735,537 | |
| | AEP INDUSTRIES INC | | COMMON STOCK USD.01 | | 4,100 | | | | 316,315 | |
| | AERIE PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 18,700 | | | | 455,345 | |
| | AEROJET ROCKETDYNE HOLDINGS | | COMMON STOCK USD.1 | | 55,000 | | | | 861,300 | |
| | AEROVIRONMENT INC | | COMMON STOCK USD.0001 | | 17,000 | | | | 500,990 | |
| | AFFIMED NV | | COMMON STOCK | | 18,500 | | | | 131,720 | |
| | AFFYMETRIX INC | | COMMON STOCK USD.01 | | 76,400 | | | | 770,876 | |
| | AG MORTGAGE INVESTMENT TRUST | | REIT USD.01 | | 23,400 | | | | 300,456 | |
| | AGCO CORP | | COMMON STOCK USD.01 | | 63,400 | | | | 2,877,726 | |
| | AGENUS INC | | COMMON STOCK USD.01 | | 58,900 | | | | 267,406 | |
| | AGILYSYS INC | | COMMON STOCK USD.3 | | 17,100 | | | | 170,829 | |
| | AGIOS PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 22,300 | | | | 1,447,716 | |
| | AGREE REALTY CORP | | REIT USD.0001 | | 13,240 | | | | 450,028 | |
| | AIR LEASE CORP | | COMMON STOCK USD.01 | | 89,100 | | | | 2,983,068 | |
| | AIR METHODS CORP | | COMMON STOCK USD.06 | | 38,100 | | | | 1,597,533 | |
| | AIR TRANSPORT SERVICES GROUP | | COMMON STOCK USD.01 | | 57,400 | | | | 578,592 | |
| | AIRCASTLE LTD | | COMMON STOCK USD.01 | | 52,600 | | | | 1,098,814 | |
| | AK STEEL HOLDING CORP | | COMMON STOCK USD.01 | | 147,800 | | | | 331,072 | |
| | AKEBIA THERAPEUTICS INC | | COMMON STOCK USD.0001 | | 6,400 | | | | 82,688 | |
| | AKORN INC | | COMMON STOCK | | 65,465 | | | | 2,442,499 | |
| | ALAMO GROUP INC | | COMMON STOCK USD.1 | | 7,800 | | | | 406,380 | |
| | ALASKA AIR GROUP INC | | COMMON STOCK USD.01 | | 113,000 | | | | 9,097,630 | |
| | ALBANY INTL CORP CL A | | COMMON STOCK USD.001 | | 23,660 | | | | 864,773 | |
| | ALBANY MOLECULAR RESEARCH | | COMMON STOCK USD.01 | | 21,300 | | | | 422,805 | |
| | ALBEMARLE CORP | | COMMON STOCK USD.01 | | 94,410 | | | | 5,287,904 | |
| | ALDER BIOPHARMACEUTICALS INC | | COMMON STOCK USD.0001 | | 17,500 | | | | 578,025 | |
| | ALERE INC | | COMMON STOCK USD.001 | | 72,096 | | | | 2,818,233 | |
| | ALEXANDER + BALDWIN INC | | COMMON STOCK | | 44,224 | | | | 1,561,549 | |
| | ALEXANDER S INC | | REIT USD1. | | 2,214 | | | | 850,420 | |
| | ALEXANDRIA REAL ESTATE EQUIT | | REIT USD.01 | | 63,793 | | | | 5,764,335 | |
| | | | | | | | | | | | |
37
Table of Contents
| | ALICO INC | | COMMON STOCK USD1. | | 4,280 | | | | 165,593 | |
| | ALIGN TECHNOLOGY INC | | COMMON STOCK USD.0001 | | 70,300 | | | | 4,629,255 | |
| | ALIMERA SCIENCES INC | | COMMON STOCK USD.01 | | 11,700 | | | | 28,314 | |
| | ALKERMES PLC | | COMMON STOCK USD.01 | | 126,700 | | | | 10,057,446 | |
| | ALLEGHANY CORP | | COMMON STOCK USD1. | | 13,561 | | | | 6,481,209 | |
| | ALLEGHENY TECHNOLOGIES INC | | COMMON STOCK USD.1 | | 94,600 | | | | 1,064,250 | |
| | ALLEGIANT TRAVEL CO | | COMMON STOCK USD.001 | | 11,100 | | | | 1,862,913 | |
| | ALLETE INC | | COMMON STOCK | | 41,100 | | | | 2,089,113 | |
| | ALLIANCE FIBER OPTIC PRODUCT | | COMMON STOCK USD.001 | | 13,300 | | | | 201,628 | |
| | ALLIANCE HEALTHCARE SERVICE | | COMMON STOCK USD.01 | | 2,200 | | | | 20,196 | |
| | ALLIANT ENERGY CORP | | COMMON STOCK USD.01 | | 99,100 | | | | 6,188,795 | |
| | ALLIED WORLD ASSURANCE CO | | COMMON STOCK USD12.98 | | 79,500 | | | | 2,956,605 | |
| | ALLISON TRANSMISSION HOLDING | | COMMON STOCK USD.01 | | 150,100 | | | | 3,886,089 | |
| | ALLSCRIPTS HEALTHCARE SOLUTI | | COMMON STOCK USD.01 | | 163,482 | | | | 2,514,353 | |
| | ALLY FINANCIAL INC | | COMMON STOCK USD.1 | | 406,800 | | | | 7,582,752 | |
| | ALMOST FAMILY INC | | COMMON STOCK USD.1 | | 8,100 | | | | 309,663 | |
| | ALNYLAM PHARMACEUTICALS INC | | COMMON STOCK USD.01 | | 64,100 | | | | 6,034,374 | |
| | ALON USA ENERGY INC | | COMMON STOCK USD.01 | | 15,500 | | | | 230,020 | |
| | ALPHA + OMEGA SEMICONDUCTOR | | COMMON STOCK | | 13,875 | | | | 127,511 | |
| | ALTISOURCE ASSET MANAGEMENT | | COMMON STOCK | | 1,500 | | | | 25,740 | |
| | ALTISOURCE PORTFOLIO SOL | | COMMON STOCK USD1. | | 12,900 | | | | 358,749 | |
| | ALTISOURCE RESIDENTIAL CORP | | REIT USD.01 | | 53,600 | | | | 665,176 | |
| | ALTRA INDUSTRIAL MOTION CORP | | COMMON STOCK USD.001 | | 25,581 | | | | 641,571 | |
| | AMAG PHARMACEUTICALS INC | | COMMON STOCK USD.01 | | 29,700 | | | | 896,643 | |
| | AMBAC FINANCIAL GROUP INC | | COMMON STOCK USD.01 | | 43,100 | | | | 607,279 | |
| | AMBARELLA INC | | COMMON STOCK USD.00045 | | 26,200 | | | | 1,460,388 | |
| | AMC ENTERTAINMENT HLDS CL A | | COMMON STOCK USD.01 | | 21,100 | | | | 506,400 | |
| | AMC NETWORKS INC A | | COMMON STOCK | | 50,000 | | | | 3,734,000 | |
| | AMDOCS LTD | | COMMON STOCK GBP.0001 | | 130,950 | | | | 7,145,942 | |
| | AMEDISYS INC | | COMMON STOCK USD.001 | | 24,879 | | | | 978,242 | |
| | AMER NATL BNKSHS/DANVILLE VA | | COMMON STOCK USD1. | | 2,000 | | | | 51,220 | |
| | AMERCO | | COMMON STOCK USD.25 | | 5,983 | | | | 2,330,379 | |
| | AMERESCO INC CL A | | COMMON STOCK USD.0001 | | 17,400 | | | | 108,750 | |
| | AMERICA S CAR MART INC | | COMMON STOCK USD.01 | | 7,800 | | | | 208,182 | |
| | AMERICAN ASSETS TRUST INC | | REIT USD.01 | | 33,848 | | | | 1,298,071 | |
| | AMERICAN AXLE + MFG HOLDINGS | | COMMON STOCK USD.01 | | 66,450 | | | | 1,258,563 | |
| | AMERICAN CAMPUS COMMUNITIES | | REIT USD.01 | | 94,183 | | | | 3,893,525 | |
| | AMERICAN CAPITAL AGENCY CORP | | REIT USD.01 | | 304,900 | | | | 5,286,966 | |
| | AMERICAN CAPITAL MORTGAGE IN | | REIT USD.01 | | 51,400 | | | | 717,544 | |
| | AMERICAN EAGLE OUTFITTERS | | COMMON STOCK USD.01 | | 168,864 | | | | 2,617,392 | |
| | AMERICAN EQUITY INVT LIFE HL | | COMMON STOCK USD1. | | 70,400 | | | | 1,691,712 | |
| | AMERICAN FINANCIAL GROUP INC | | COMMON STOCK | | 58,039 | | | | 4,183,451 | |
| | AMERICAN HOMES 4 RENT A | | REIT USD.01 | | 132,300 | | | | 2,204,118 | |
| | AMERICAN NATIONAL INSURANCE | | COMMON STOCK USD1. | | 7,700 | | | | 787,479 | |
| | AMERICAN PUBLIC EDUCATION | | COMMON STOCK USD.01 | | 18,700 | | | | 348,007 | |
| | AMERICAN RAILCAR INDUSTRIES | | COMMON STOCK USD.01 | | 8,200 | | | | 379,496 | |
| | AMERICAN RESIDENTIAL PROPERT | | REIT USD.01 | | 21,000 | | | | 396,900 | |
| | AMERICAN SCIENCE + ENGINEERI | | COMMON STOCK USD.667 | | 7,956 | | | | 329,219 | |
| | AMERICAN SOFTWARE INC CL A | | COMMON STOCK USD.1 | | 32,300 | | | | 328,814 | |
| | AMERICAN STATES WATER CO | | COMMON STOCK | | 36,482 | | | | 1,530,420 | |
| | AMERICAN VANGUARD CORP | | COMMON STOCK USD.1 | | 29,899 | | | | 418,885 | |
| | AMERICAN WATER WORKS CO INC | | COMMON STOCK USD.01 | | 156,999 | | | | 9,380,690 | |
| | AMERICAN WOODMARK CORP | | COMMON STOCK | | 10,300 | | | | 823,794 | |
| | AMERIS BANCORP | | COMMON STOCK USD1. | | 23,264 | | | | 790,743 | |
| | AMERISAFE INC | | COMMON STOCK USD.01 | | 16,924 | | | | 861,432 | |
| | AMES NATIONAL CORP | | COMMON STOCK USD2. | | 12,479 | | | | 303,115 | |
| | AMICUS THERAPEUTICS INC | | COMMON STOCK USD.01 | | 100,100 | | | | 970,970 | |
| | AMKOR TECHNOLOGY INC | | COMMON STOCK USD.001 | | 76,100 | | | | 462,688 | |
| | AMN HEALTHCARE SERVICES INC | | COMMON STOCK USD.01 | | 41,090 | | | | 1,275,845 | |
| | AMPHASTAR PHARMACEUTICALS IN | | COMMON STOCK USD.0001 | | 32,100 | | | | 456,783 | |
| | AMSURG CORP | | COMMON STOCK | | 46,525 | | | | 3,535,900 | |
| | AMTRUST FINANCIAL SERVICES | | COMMON STOCK USD.01 | | 33,888 | | | | 2,086,823 | |
| | ANACOR PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 35,200 | | | | 3,976,544 | |
| | ANALOGIC CORP | | COMMON STOCK USD.05 | | 12,000 | | | | 991,200 | |
| | ANCHOR BANCORP WISCONSIN INC | | COMMON STOCK USD.01 | | 2,400 | | | | 104,448 | |
| | ANDERSONS INC/THE | | COMMON STOCK | | 25,770 | | | | 815,105 | |
| | ANGIE S LIST INC | | COMMON STOCK USD.001 | | 31,000 | | | | 289,850 | |
| | ANGIODYNAMICS INC | | COMMON STOCK USD.01 | | 29,300 | | | | 355,702 | |
| | ANI PHARMACEUTICALS INC | | COMMON STOCK USD.0001 | | 7,800 | | | | 351,975 | |
| | ANIKA THERAPEUTICS INC | | COMMON STOCK USD.01 | | 10,000 | | | | 381,600 | |
| | ANIXTER INTERNATIONAL INC | | COMMON STOCK USD1. | | 26,350 | | | | 1,591,277 | |
| | ANNALY CAPITAL MANAGEMENT IN | | REIT USD.01 | | 808,670 | | | | 7,585,325 | |
| | ANSYS INC | | COMMON STOCK USD.01 | | 78,123 | | | | 7,226,378 | |
| | ANTARES PHARMA INC | | COMMON STOCK USD.01 | | 152,300 | | | | 184,283 | |
| | ANTERO RESOURCES CORP | | COMMON STOCK USD.01 | | 56,200 | | | | 1,225,160 | |
| | ANTHERA PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 31,000 | | | | 143,840 | |
| | ANWORTH MORTGAGE ASSET CORP | | REIT USD.01 | | 107,388 | | | | 467,138 | |
| | APOGEE ENTERPRISES INC | | COMMON STOCK USD.333 | | 25,177 | | | | 1,095,451 | |
| | APOLLO COMMERCIAL REAL ESTAT | | REIT USD.01 | | 42,000 | | | | 723,660 | |
| | APOLLO EDUCATION GROUP INC | | COMMON STOCK | | 85,600 | | | | 656,552 | |
| | APOLLO RESIDENTIAL MORTGAGE | | REIT USD.01 | | 28,000 | | | | 334,600 | |
| | APPLE HOSPITALITY REIT INC | | REIT | | 154,500 | | | | 3,085,365 | |
| | APPLIED INDUSTRIAL TECH INC | | COMMON STOCK | | 38,525 | | | | 1,559,877 | |
| | APPLIED MICRO CIRCUITS CORP | | COMMON STOCK USD.01 | | 76,999 | | | | 490,484 | |
| | APPLIED OPTOELECTRONICS INC | | COMMON STOCK USD.001 | | 14,500 | | | | 248,820 | |
| | APPROACH RESOURCES INC | | COMMON STOCK USD.01 | | 31,800 | | | | 58,512 | |
| | APTARGROUP INC | | COMMON STOCK USD.01 | | 52,144 | | | | 3,788,262 | |
| | AQUA AMERICA INC | | COMMON STOCK USD.5 | | 160,075 | | | | 4,770,235 | |
| | ARAMARK | | COMMON STOCK USD.01 | | 161,600 | | | | 5,211,600 | |
| | ARATANA THERAPEUTICS INC | | COMMON STOCK USD.001 | | 20,400 | | | | 113,832 | |
| | ARC DOCUMENT SOLUTIONS INC | | COMMON STOCK USD.001 | | 36,300 | | | | 160,446 | |
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Table of Contents
| | ARCBEST CORP | | COMMON STOCK USD.01 | | 25,000 | | | | 534,750 | |
| | ARCH CAPITAL GROUP LTD | | COMMON STOCK USD.01 | | 107,883 | | | | 7,524,839 | |
| | ARCHROCK INC | | COMMON STOCK USD.01 | | 56,436 | | | | 424,399 | |
| | ARCTIC CAT INC | | COMMON STOCK USD.01 | | 14,700 | | | | 240,786 | |
| | ARDELYX INC | | COMMON STOCK USD.000001 | | 14,300 | | | | 259,116 | |
| | ARENA PHARMACEUTICALS INC | | COMMON STOCK USD.0001 | | 212,980 | | | | 404,662 | |
| | ARES COMMERCIAL REAL ESTATE | | REIT USD.01 | | 24,600 | | | | 281,424 | |
| | ARGAN INC | | COMMON STOCK USD.15 | | 8,000 | | | | 259,200 | |
| | ARGO GROUP INTERNATIONAL | | COMMON STOCK USD1. | | 24,905 | | | | 1,490,315 | |
| | ARIAD PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 151,000 | | | | 943,750 | |
| | ARISTA NETWORKS INC | | COMMON STOCK USD.0001 | | 28,200 | | | | 2,195,088 | |
| | ARLINGTON ASSET INVESTMENT A | | COMMON STOCK USD.01 | | 18,800 | | | | 248,724 | |
| | ARMADA HOFFLER PROPERTIES IN | | REIT USD.01 | | 5,700 | | | | 59,736 | |
| | ARMOUR RESIDENTIAL REIT INC | | REIT USD.0001 | | 34,275 | | | | 745,824 | |
| | ARMSTRONG WORLD INDUSTRIES | | COMMON STOCK USD.01 | | 32,156 | | | | 1,470,494 | |
| | ARRAY BIOPHARMA INC | | COMMON STOCK USD.001 | | 132,504 | | | | 559,167 | |
| | ARRIS GROUP INC | | COMMON STOCK USD.01 | | 114,672 | | | | 3,505,523 | |
| | ARROW ELECTRONICS INC | | COMMON STOCK USD1. | | 79,950 | | | | 4,331,691 | |
| | ARROW FINANCIAL CORP | | COMMON STOCK USD1. | | 14,233 | | | | 386,711 | |
| | ARROWHEAD RESEARCH CORP | | COMMON STOCK USD.001 | | 51,400 | | | | 316,110 | |
| | ARTESIAN RESOURCES CORP CL A | | COMMON STOCK USD1. | | 9,341 | | | | 258,746 | |
| | ARTHUR J GALLAGHER + CO | | COMMON STOCK USD1. | | 140,816 | | | | 5,765,007 | |
| | ARTISAN PARTNERS ASSET MA A | | COMMON STOCK USD.01 | | 31,900 | | | | 1,150,314 | |
| | ASBURY AUTOMOTIVE GROUP | | COMMON STOCK USD.01 | | 24,700 | | | | 1,665,768 | |
| | ASCENA RETAIL GROUP INC | | COMMON STOCK USD.01 | | 154,148 | | | | 1,518,358 | |
| | ASCENT CAPITAL GROUP INC A | | COMMON STOCK USD.01 | | 14,019 | | | | 234,398 | |
| | ASHFORD HOSPITALITY PRIME IN | | REIT USD.01 | | 22,118 | | | | 320,711 | |
| | ASHFORD HOSPITALITY TRUST | | REIT USD.01 | | 67,400 | | | | 425,294 | |
| | ASHFORD INC | | COMMON STOCK USD.01 | | 774 | | | | 41,216 | |
| | ASHLAND INC | | COMMON STOCK USD.01 | | 56,700 | | | | 5,823,090 | |
| | ASPEN INSURANCE HOLDINGS LTD | | COMMON STOCK USD.001514456 | | 53,300 | | | | 2,574,390 | |
| | ASPEN TECHNOLOGY INC | | COMMON STOCK USD.1 | | 78,100 | | | | 2,949,056 | |
| | ASSEMBLY BIOSCIENCES INC | | COMMON STOCK USD.001 | | 2,100 | | | | 15,771 | |
| | ASSOCIATED BANC CORP | | COMMON STOCK USD.01 | | 141,677 | | | | 2,656,444 | |
| | ASSOCIATED CAPITAL GROUP A | | COMMON STOCK USD.001 | | 6,690 | | | | 204,045 | |
| | ASSURED GUARANTY LTD | | COMMON STOCK USD.01 | | 128,000 | | | | 3,383,040 | |
| | ASTEC INDUSTRIES INC | | COMMON STOCK USD.2 | | 16,400 | | | | 667,480 | |
| | ASTERIAS BIOTHERAPEUTICS | | COMMON STOCK USD.0001 | | 7,500 | | | | 29,475 | |
| | ASTORIA FINANCIAL CORP | | COMMON STOCK USD.01 | | 77,788 | | | | 1,232,940 | |
| | ASTRONICS CORP | | COMMON STOCK USD.01 | | 18,957 | | | | 771,739 | |
| | ATARA BIOTHERAPEUTICS INC | | COMMON STOCK USD.0001 | | 13,800 | | | | 364,458 | |
| | ATHENAHEALTH INC | | COMMON STOCK USD.01 | | 34,500 | | | | 5,553,465 | |
| | ATLANTIC POWER CORP | | COMMON STOCK | | 97,400 | | | | 191,878 | |
| | ATLANTIC TELE NETWORK INC | | COMMON STOCK USD.01 | | 9,000 | | | | 704,070 | |
| | ATLAS AIR WORLDWIDE HOLDINGS | | COMMON STOCK USD.01 | | 21,000 | | | | 868,140 | |
| | ATMEL CORP | | COMMON STOCK USD.001 | | 349,387 | | | | 3,008,222 | |
| | ATMOS ENERGY CORP | | COMMON STOCK | | 87,350 | | | | 5,506,544 | |
| | ATRICURE INC | | COMMON STOCK USD.001 | | 19,300 | | | | 433,092 | |
| | ATRION CORPORATION | | COMMON STOCK USD.1 | | 1,199 | | | | 457,059 | |
| | ATWOOD OCEANICS INC | | COMMON STOCK USD1. | | 58,770 | | | | 601,217 | |
| | ATYR PHARMA INC | | COMMON STOCK USD.001 | | 1,700 | | | | 16,711 | |
| | AV HOMES INC | | COMMON STOCK USD1. | | 8,600 | | | | 110,166 | |
| | AVALANCHE BIOTECHNOLOGIES IN | | COMMON STOCK USD.0001 | | 16,900 | | | | 160,888 | |
| | AVANGRID INC | | COMMON STOCK USD.01 | | 52,133 | | | | 2,001,907 | |
| | AVG TECHNOLOGIES | | COMMON STOCK EUR.01 | | 37,400 | | | | 749,870 | |
| | AVID TECHNOLOGY INC | | COMMON STOCK USD.01 | | 24,100 | | | | 175,689 | |
| | AVIS BUDGET GROUP INC | | COMMON STOCK USD.01 | | 86,420 | | | | 3,136,182 | |
| | AVISTA CORP | | COMMON STOCK | | 57,412 | | | | 2,030,662 | |
| | AVNET INC | | COMMON STOCK USD1. | | 115,079 | | | | 4,929,984 | |
| | AVON PRODUCTS INC | | COMMON STOCK USD.25 | | 397,100 | | | | 1,608,255 | |
| | AVX CORP | | COMMON STOCK USD.01 | | 50,526 | | | | 613,386 | |
| | AXALTA COATING SYSTEMS LTD | | COMMON STOCK USD1.0 | | 83,800 | | | | 2,233,270 | |
| | AXCELIS TECHNOLOGIES INC | | COMMON STOCK USD.001 | | 137,900 | | | | 357,161 | |
| | AXIALL CORP | | COMMON STOCK USD.01 | | 66,600 | | | | 1,025,640 | |
| | AXIS CAPITAL HOLDINGS LTD | | COMMON STOCK USD.0125 | | 84,300 | | | | 4,739,346 | |
| | AZZ INC | | COMMON STOCK USD1. | | 25,200 | | | | 1,400,364 | |
| | B+G FOODS INC | | COMMON STOCK USD.01 | | 48,800 | | | | 1,708,976 | |
| | B/E AEROSPACE INC | | COMMON STOCK USD.01 | | 88,800 | | | | 3,762,456 | |
| | BABCOCK + WILCOX ENTERPR | | COMMON STOCK USD.01 | | 44,399 | | | | 926,607 | |
| | BADGER METER INC | | COMMON STOCK USD1. | | 12,570 | | | | 736,476 | |
| | BALCHEM CORP | | COMMON STOCK USD.0667 | | 26,847 | | | | 1,632,298 | |
| | BALDWIN + LYONS INC CL B | | COMMON STOCK | | 9,250 | | | | 222,278 | |
| | BANC OF CALIFORNIA INC | | COMMON STOCK USD.01 | | 19,600 | | | | 286,552 | |
| | BANCFIRST CORP | | COMMON STOCK USD1. | | 7,800 | | | | 457,236 | |
| | BANCO LATINOAMERICANO COME E | | COMMON STOCK | | 30,293 | | | | 785,497 | |
| | BANCORP INC/THE | | COMMON STOCK USD1. | | 40,708 | | | | 259,310 | |
| | BANCORPSOUTH INC | | COMMON STOCK USD2.5 | | 83,481 | | | | 2,002,709 | |
| | BANK MUTUAL CORP | | COMMON STOCK USD.01 | | 52,892 | | | | 412,558 | |
| | BANK OF HAWAII CORP | | COMMON STOCK USD.01 | | 39,700 | | | | 2,497,130 | |
| | BANK OF MARIN BANCORP/CA | | COMMON STOCK | | 5,300 | | | | 283,020 | |
| | BANK OF THE OZARKS | | COMMON STOCK USD.01 | | 64,800 | | | | 3,205,008 | |
| | BANKFINANCIAL CORP | | COMMON STOCK USD.01 | | 24,955 | | | | 315,182 | |
| | BANKRATE INC | | COMMON STOCK USD.01 | | 58,300 | | | | 775,390 | |
| | BANKUNITED INC | | COMMON STOCK USD.01 | | 90,500 | | | | 3,263,430 | |
| | BANNER CORPORATION | | COMMON STOCK USD.01 | | 18,300 | | | | 839,238 | |
| | BARNES + NOBLE EDUCATION INC | | COMMON STOCK USD.01 | | 24,467 | | | | 243,447 | |
| | BARNES + NOBLE INC | | COMMON STOCK USD.001 | | 38,715 | | | | 337,208 | |
| | BARNES GROUP INC | | COMMON STOCK USD.01 | | 46,200 | | | | 1,635,018 | |
| | BARRETT BUSINESS SVCS INC | | COMMON STOCK USD.01 | | 6,200 | | | | 269,948 | |
| | BASIC ENERGY SERVICES INC | | COMMON STOCK USD.01 | | 29,400 | | | | 78,792 | |
| | BASSETT FURNITURE INDS | | COMMON STOCK USD5. | | 9,200 | | | | 230,736 | |
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Table of Contents
| | BAZAARVOICE INC | | COMMON STOCK USD.0001 | | 60,000 | | | | 262,800 | |
| | BBCN BANCORP INC | | COMMON STOCK USD.001 | | 68,754 | | | | 1,183,944 | |
| | BEACON ROOFING SUPPLY INC | | COMMON STOCK USD.01 | | 42,750 | | | | 1,760,445 | |
| | BEAZER HOMES USA INC | | COMMON STOCK USD.001 | | 22,037 | | | | 253,205 | |
| | BEBE STORES INC | | COMMON STOCK USD.001 | | 41,004 | | | | 23,167 | |
| | BEL FUSE INC CL B | | COMMON STOCK USD.1 | | 11,600 | | | | 200,564 | |
| | BELDEN INC | | COMMON STOCK USD.01 | | 39,250 | | | | 1,871,440 | |
| | BELLICUM PHARMACEUTICALS INC | | COMMON STOCK USD.01 | | 1,900 | | | | 38,513 | |
| | BELMOND LTD CLASS A | | COMMON STOCK USD.01 | | 95,860 | | | | 910,670 | |
| | BEMIS COMPANY | | COMMON STOCK USD.1 | | 81,200 | | | | 3,628,828 | |
| | BENCHMARK ELECTRONICS INC | | COMMON STOCK USD.1 | | 52,822 | | | | 1,091,831 | |
| | BENEFICIAL BANCORP INC | | COMMON STOCK USD.01 | | 66,026 | | | | 879,466 | |
| | BENEFITFOCUS INC | | COMMON STOCK USD.001 | | 4,900 | | | | 178,311 | |
| | BERKSHIRE HILLS BANCORP INC | | COMMON STOCK USD.01 | | 23,195 | | | | 675,206 | |
| | BERRY PLASTICS GROUP INC | | COMMON STOCK USD.01 | | 99,400 | | | | 3,596,292 | |
| | BGC PARTNERS INC CL A | | COMMON STOCK USD.01 | | 158,725 | | | | 1,557,092 | |
| | BIG 5 SPORTING GOODS CORP | | COMMON STOCK USD.01 | | 23,041 | | | | 230,180 | |
| | BIG LOTS INC | | COMMON STOCK USD.01 | | 46,600 | | | | 1,795,964 | |
| | BIGLARI HOLDINGS INC | | COMMON STOCK USD.5 | | 1,322 | | | | 430,734 | |
| | BILL BARRETT CORP | | COMMON STOCK USD.001 | | 47,480 | | | | 186,596 | |
| | BIO RAD LABORATORIES A | | COMMON STOCK USD.0001 | | 17,888 | | | | 2,480,350 | |
| | BIO TECHNE CORP | | COMMON STOCK USD.01 | | 32,300 | | | | 2,907,000 | |
| | BIOCRYST PHARMACEUTICALS INC | | COMMON STOCK USD.01 | | 64,700 | | | | 667,704 | |
| | BIODELIVERY SCIENCES INTL | | COMMON STOCK USD.001 | | 39,500 | | | | 189,205 | |
| | BIOMARIN PHARMACEUTICAL INC | | COMMON STOCK USD.001 | | 138,600 | | | | 14,519,736 | |
| | BIOMED REALTY TRUST INC | | REIT USD.01 | | 183,200 | | | | 4,340,008 | |
| | BIOSCRIP INC | | COMMON STOCK USD.0001 | | 53,200 | | | | 93,100 | |
| | BIOSPECIFICS TECHNOLOGIES | | COMMON STOCK USD.001 | | 4,300 | | | | 184,771 | |
| | BIOTELEMETRY INC | | COMMON STOCK USD.001 | | 8,300 | | | | 96,944 | |
| | BIOTIME INC | | COMMON STOCK | | 19,400 | | | | 79,540 | |
| | BJ S RESTAURANTS INC | | COMMON STOCK | | 22,000 | | | | 956,340 | |
| | BLACK BOX CORP | | COMMON STOCK USD.001 | | 19,500 | | | | 185,835 | |
| | BLACK DIAMOND INC | | COMMON STOCK USD.0001 | | 8,400 | | | | 37,128 | |
| | BLACK HILLS CORP | | COMMON STOCK USD1. | | 41,750 | | | | 1,938,453 | |
| | BLACK KNIGHT FINANCIAL CL A | | COMMON STOCK USD.0001 | | 16,400 | | | | 542,184 | |
| | BLACKBAUD INC | | COMMON STOCK USD.001 | | 43,400 | | | | 2,858,324 | |
| | BLACKHAWK NETWORK HOLDINGS I | | COMMON STOCK USD.001 | | 47,900 | | | | 2,117,659 | |
| | BLOOMIN BRANDS INC | | COMMON STOCK USD.01 | | 102,400 | | | | 1,729,536 | |
| | BLOUNT INTERNATIONAL INC | | COMMON STOCK USD.01 | | 42,200 | | | | 413,982 | |
| | BLUCORA INC | | COMMON STOCK USD.0001 | | 39,708 | | | | 389,138 | |
| | BLUE BUFFALO PET PRODUCTS IN | | COMMON STOCK USD.01 | | 33,400 | | | | 624,914 | |
| | BLUE HILLS BANCORP INC | | COMMON STOCK USD.01 | | 13,500 | | | | 206,685 | |
| | BLUE NILE INC | | COMMON STOCK USD.001 | | 15,410 | | | | 572,173 | |
| | BLUEBIRD BIO INC | | COMMON STOCK USD.01 | | 30,900 | | | | 1,984,398 | |
| | BLUEPRINT MEDICINES CORP | | COMMON STOCK USD.001 | | 9,300 | | | | 244,962 | |
| | BMC STOCK HOLDINGS INC | | COMMON STOCK USD.01 | | 32,300 | | | | 541,025 | |
| | BNC BANCORP | | COMMON STOCK | | 21,500 | | | | 545,670 | |
| | BOB EVANS FARMS | | COMMON STOCK USD.01 | | 20,400 | | | | 792,540 | |
| | BOFI HOLDING INC | | COMMON STOCK USD.01 | | 55,600 | | | | 1,170,380 | |
| | BOISE CASCADE CO | | COMMON STOCK USD.01 | | 35,600 | | | | 908,868 | |
| | BOK FINANCIAL CORPORATION | | COMMON STOCK USD.00006 | | 25,752 | | | | 1,539,712 | |
| | BONANZA CREEK ENERGY INC | | COMMON STOCK USD.001 | | 26,500 | | | | 139,655 | |
| | BOOZ ALLEN HAMILTON HOLDINGS | | COMMON STOCK USD.01 | | 84,000 | | | | 2,591,400 | |
| | BOSTON BEER COMPANY INC A | | COMMON STOCK USD.01 | | 8,100 | | | | 1,635,471 | |
| | BOSTON PRIVATE FINL HOLDING | | COMMON STOCK USD1. | | 82,155 | | | | 931,638 | |
| | BOTTOMLINE TECHNOLOGIES (DE) | | COMMON STOCK USD.001 | | 39,269 | | | | 1,167,467 | |
| | BOULDER BRANDS INC | | COMMON STOCK USD.0001 | | 59,800 | | | | 656,604 | |
| | BOYD GAMING CORP | | COMMON STOCK USD.01 | | 76,600 | | | | 1,522,042 | |
| | BRADY CORPORATION CL A | | COMMON STOCK USD.01 | | 44,900 | | | | 1,031,802 | |
| | BRANDYWINE REALTY TRUST | | REIT USD.01 | | 169,508 | | | | 2,315,479 | |
| | BRAVO BRIO RESTAURANT GROUP | | COMMON STOCK | | 17,400 | | | | 156,600 | |
| | BRIDGE BANCORP INC | | COMMON STOCK USD.01 | | 8,100 | | | | 246,483 | |
| | BRIDGEPOINT EDUCATION IN W/D | | COMMON STOCK USD.01 | | 12,878 | | | | 98,002 | |
| | BRIGGS + STRATTON | | COMMON STOCK USD.01 | | 38,700 | | | | 669,510 | |
| | BRIGHT HORIZONS FAMILY SOLUT | | COMMON STOCK USD.001 | | 29,900 | | | | 1,997,320 | |
| | BRIGHTCOVE | | COMMON STOCK USD.001 | | 20,700 | | | | 128,340 | |
| | BRINK S CO/THE | | COMMON STOCK USD1. | | 46,100 | | | | 1,330,446 | |
| | BRINKER INTERNATIONAL INC | | COMMON STOCK USD.1 | | 52,354 | | | | 2,510,374 | |
| | BRISTOW GROUP INC | | COMMON STOCK USD.01 | | 29,327 | | | | 759,569 | |
| | BRIXMOR PROPERTY GROUP INC | | REIT USD.01 | | 144,000 | | | | 3,718,080 | |
| | BROADRIDGE FINANCIAL SOLUTIO | | COMMON STOCK USD.01 | | 102,200 | | | | 5,491,206 | |
| | BROADSOFT INC | | COMMON STOCK | | 27,300 | | | | 965,328 | |
| | BROCADE COMMUNICATIONS SYS | | COMMON STOCK USD.001 | | 359,399 | | | | 3,299,283 | |
| | BROOKDALE SENIOR LIVING INC | | COMMON STOCK USD.01 | | 160,790 | | | | 2,968,183 | |
| | BROOKLINE BANCORP INC | | COMMON STOCK USD.01 | | 74,223 | | | | 853,565 | |
| | BROOKS AUTOMATION INC | | COMMON STOCK USD.01 | | 74,893 | | | | 799,857 | |
| | BROWN + BROWN INC | | COMMON STOCK USD.1 | | 96,400 | | | | 3,094,440 | |
| | BRUKER CORP | | COMMON STOCK USD.01 | | 103,107 | | | | 2,502,407 | |
| | BRUNSWICK CORP | | COMMON STOCK USD.75 | | 80,200 | | | | 4,050,902 | |
| | BRYN MAWR BANK CORP | | COMMON STOCK USD1. | | 13,900 | | | | 399,208 | |
| | BUCKLE INC/THE | | COMMON STOCK USD.01 | | 27,475 | | | | 845,681 | |
| | BUFFALO WILD WINGS INC | | COMMON STOCK | | 16,400 | | | | 2,618,260 | |
| | BUILDERS FIRSTSOURCE INC | | COMMON STOCK USD.01 | | 43,717 | | | | 484,384 | |
| | BUNGE LTD | | COMMON STOCK USD.01 | | 125,217 | | | | 8,549,817 | |
| | BURLINGTON STORES INC | | COMMON STOCK USD.0001 | | 62,700 | | | | 2,689,830 | |
| | BWX TECHNOLOGIES INC | | COMMON STOCK USD.01 | | 88,798 | | | | 2,821,112 | |
| | C+J ENERGY SERVICES LTD | | COMMON STOCK | | 40,800 | | | | 194,208 | |
| | CABELA S INC | | COMMON STOCK USD.01 | | 46,400 | | | | 2,168,272 | |
| | CABLE ONE INC | | COMMON STOCK USD.01 | | 3,200 | | | | 1,387,712 | |
| | CABOT CORP | | COMMON STOCK USD1. | | 54,800 | | | | 2,240,224 | |
| | CABOT MICROELECTRONICS CORP | | COMMON STOCK USD.001 | | 21,355 | | | | 934,922 | |
40
Table of Contents
| | CACI INTERNATIONAL INC CL A | | COMMON STOCK USD.1 | | 20,916 | | | | 1,940,586 | |
| | CADENCE DESIGN SYS INC | | COMMON STOCK USD.01 | | 258,155 | | | | 5,372,206 | |
| | CAESARS ACQUISITION CO CL A | | COMMON STOCK USD.001 | | 44,900 | | | | 305,769 | |
| | CAESARS ENTERTAINMENT CORP | | COMMON STOCK USD.01 | | 47,700 | | | | 376,353 | |
| | CAI INTERNATIONAL INC | | COMMON STOCK USD.0001 | | 20,100 | | | | 202,608 | |
| | CAL MAINE FOODS INC | | COMMON STOCK USD.01 | | 29,580 | | | | 1,370,737 | |
| | CALAMOS ASSET MANAGEMENT A | | COMMON STOCK USD.01 | | 22,380 | | | | 216,638 | |
| | CALAMP CORP | | COMMON STOCK USD.01 | | 34,500 | | | | 687,585 | |
| | CALATLANTIC GROUP INC | | COMMON STOCK USD.01 | | 67,907 | | | | 2,575,033 | |
| | CALAVO GROWERS INC | | COMMON STOCK USD.001 | | 12,600 | | | | 617,400 | |
| | CALERES INC | | COMMON STOCK USD.01 | | 41,425 | | | | 1,111,019 | |
| | CALGON CARBON CORP | | COMMON STOCK USD.01 | | 52,500 | | | | 905,625 | |
| | CALIFORNIA RESOURCES CORP | | COMMON STOCK USD.01 | | 287,000 | | | | 668,710 | |
| | CALIFORNIA WATER SERVICE GRP | | COMMON STOCK USD.01 | | 43,200 | | | | 1,005,264 | |
| | CALIX INC | | COMMON STOCK | | 39,800 | | | | 313,226 | |
| | CALLAWAY GOLF COMPANY | | COMMON STOCK USD.01 | | 73,773 | | | | 694,942 | |
| | CALLIDUS SOFTWARE INC | | COMMON STOCK USD.001 | | 43,400 | | | | 805,938 | |
| | CALLON PETROLEUM CO | | COMMON STOCK USD.01 | | 69,000 | | | | 575,460 | |
| | CALPINE CORP | | COMMON STOCK USD.001 | | 315,615 | | | | 4,566,949 | |
| | CAMBREX CORP | | COMMON STOCK USD.1 | | 27,100 | | | | 1,276,139 | |
| | CAMDEN NATIONAL CORP | | COMMON STOCK | | 9,900 | | | | 436,491 | |
| | CAMDEN PROPERTY TRUST | | REIT USD.01 | | 76,398 | | | | 5,864,310 | |
| | CAMPUS CREST COMMUNITIES INC | | REIT USD.01 | | 63,200 | | | | 429,760 | |
| | CANTEL MEDICAL CORP | | COMMON STOCK USD.1 | | 29,673 | | | | 1,843,880 | |
| | CAPELLA EDUCATION CO | | COMMON STOCK USD.01 | | 10,500 | | | | 485,310 | |
| | CAPITAL BANK FINANCIAL CL A | | COMMON STOCK | | 17,200 | | | | 550,056 | |
| | CAPITAL CITY BANK GROUP INC | | COMMON STOCK USD.01 | | 13,681 | | | | 210,003 | |
| | CAPITAL SENIOR LIVING CORP | | COMMON STOCK USD.01 | | 28,200 | | | | 588,252 | |
| | CAPITOL FEDERAL FINANCIAL IN | | COMMON STOCK USD.01 | | 130,565 | | | | 1,639,896 | |
| | CAPSTEAD MORTGAGE CORP | | REIT USD.01 | | 98,100 | | | | 857,394 | |
| | CARA THERAPEUTICS INC | | COMMON STOCK USD.001 | | 14,400 | | | | 242,784 | |
| | CARBO CERAMICS INC | | COMMON STOCK USD.01 | | 19,350 | | | | 332,820 | |
| | CARBONITE INC | | COMMON STOCK USD.01 | | 500 | | | | 4,900 | |
| | CARDINAL FINANCIAL CORP | | COMMON STOCK USD1. | | 32,500 | | | | 739,375 | |
| | CARDIOVASCULAR SYSTEMS INC | | COMMON STOCK | | 27,400 | | | | 414,288 | |
| | CARDTRONICS INC | | COMMON STOCK USD.0001 | | 43,808 | | | | 1,474,139 | |
| | CARE CAPITAL PROPERTIES INC | | REIT USD.01 | | 71,500 | | | | 2,185,755 | |
| | CAREER EDUCATION CORP | | COMMON STOCK USD.01 | | 62,600 | | | | 227,238 | |
| | CARETRUST REIT INC | | REIT USD.01 | | 29,671 | | | | 324,897 | |
| | CARLISLE COS INC | | COMMON STOCK USD1. | | 57,400 | | | | 5,090,806 | |
| | CARMIKE CINEMAS INC | | COMMON STOCK USD.03 | | 21,200 | | | | 486,328 | |
| | CARPENTER TECHNOLOGY | | COMMON STOCK USD5. | | 45,278 | | | | 1,370,565 | |
| | CARRIAGE SERVICES INC | | COMMON STOCK USD.01 | | 14,700 | | | | 354,270 | |
| | CARRIZO OIL + GAS INC | | COMMON STOCK USD.01 | | 48,340 | | | | 1,429,897 | |
| | CARROLS RESTAURANT GROUP INC | | COMMON STOCK USD.01 | | 18,800 | | | | 220,712 | |
| | CARTER S INC | | COMMON STOCK USD.01 | | 44,200 | | | | 3,935,126 | |
| | CASCADE BANCORP | | COMMON STOCK | | 28,847 | | | | 175,101 | |
| | CASELLA WASTE SYSTEMS INC A | | COMMON STOCK USD.01 | | 28,200 | | | | 168,636 | |
| | CASEY S GENERAL STORES INC | | COMMON STOCK NPV | | 35,050 | | | | 4,221,773 | |
| | CASH AMERICA INTL INC | | COMMON STOCK USD.1 | | 29,800 | | | | 892,510 | |
| | CASS INFORMATION SYSTEMS INC | | COMMON STOCK USD.5 | | 11,265 | | | | 579,697 | |
| | CASTLIGHT HEALTH INC B | | COMMON STOCK USD.0001 | | 31,000 | | | | 132,370 | |
| | CATALENT INC | | COMMON STOCK USD.01 | | 69,400 | | | | 1,737,082 | |
| | CATALYST PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 65,400 | | | | 160,230 | |
| | CATCHMARK TIMBER TRUST INC A | | REIT USD.01 | | 24,100 | | | | 272,571 | |
| | CATHAY GENERAL BANCORP | | COMMON STOCK USD.01 | | 65,982 | | | | 2,067,216 | |
| | CATO CORP CLASS A | | COMMON STOCK USD.033 | | 27,050 | | | | 995,981 | |
| | CAVCO INDUSTRIES INC | | COMMON STOCK USD.01 | | 7,100 | | | | 591,501 | |
| | CAVIUM INC | | COMMON STOCK USD.001 | | 49,300 | | | | 3,239,503 | |
| | CBIZ INC | | COMMON STOCK USD.01 | | 43,943 | | | | 433,278 | |
| | CBL + ASSOCIATES PROPERTIES | | REIT USD.01 | | 155,130 | | | | 1,918,958 | |
| | CBOE HOLDINGS INC | | COMMON STOCK | | 69,600 | | | | 4,517,040 | |
| | CDI CORP | | COMMON STOCK USD.1 | | 13,885 | | | | 93,863 | |
| | CDK GLOBAL INC | | COMMON STOCK USD.01 | | 135,700 | | | | 6,441,679 | |
| | CDW CORP/DE | | COMMON STOCK USD.01 | | 110,000 | | | | 4,624,400 | |
| | CEB INC | | COMMON STOCK USD.01 | | 28,246 | | | | 1,734,022 | |
| | CECO ENVIRONMENTAL CORP | | COMMON STOCK USD.01 | | 13,798 | | | | 105,969 | |
| | CEDAR REALTY TRUST INC | | REIT USD.06 | | 72,400 | | | | 512,592 | |
| | CELADON GROUP INC | | COMMON STOCK USD.033 | | 20,380 | | | | 201,558 | |
| | CELANESE CORP SERIES A | | COMMON STOCK USD.0001 | | 130,100 | | | | 8,759,633 | |
| | CELLDEX THERAPEUTICS INC | | COMMON STOCK USD.001 | | 85,100 | | | | 1,334,368 | |
| | CEMPRA INC | | COMMON STOCK USD.001 | | 27,500 | | | | 856,075 | |
| | CENTENE CORP | | COMMON STOCK USD.001 | | 100,100 | | | | 6,587,581 | |
| | CENTERSTATE BANKS INC | | COMMON STOCK USD.01 | | 28,200 | | | | 441,330 | |
| | CENTRAL EUROPEAN MEDIA ENT A | | COMMON STOCK USD.08 | | 62,014 | | | | 166,818 | |
| | CENTRAL GARDEN AND PET CO A | | COMMON STOCK USD.01 | | 42,200 | | | | 573,920 | |
| | CENTRAL PACIFIC FINANCIAL CO | | COMMON STOCK | | 20,700 | | | | 455,814 | |
| | CENTURY ALUMINUM COMPANY | | COMMON STOCK USD.01 | | 51,000 | | | | 225,420 | |
| | CENTURY BANCORP INC CL A | | COMMON STOCK USD1. | | 3,800 | | | | 165,148 | |
| | CENTURY COMMUNITIES INC | | COMMON STOCK USD.01 | | 11,200 | | | | 198,352 | |
| | CEPHEID INC | | COMMON STOCK | | 62,100 | | | | 2,268,513 | |
| | CERUS CORP | | COMMON STOCK USD.001 | | 76,500 | | | | 483,480 | |
| | CEVA INC | | COMMON STOCK USD.001 | | 26,200 | | | | 612,032 | |
| | CHANNELADVISOR CORP | | COMMON STOCK USD.001 | | 6,200 | | | | 85,870 | |
| | CHARLES RIVER LABORATORIES | | COMMON STOCK USD.01 | | 40,891 | | | | 3,287,227 | |
| | CHART INDUSTRIES INC | | COMMON STOCK USD.01 | | 29,970 | | | | 538,261 | |
| | CHARTER COMMUNICATION A | | COMMON STOCK | | 65,300 | | | | 11,956,430 | |
| | CHARTER FINANCIAL CORP | | COMMON STOCK USD.01 | | 8,106 | | | | 107,080 | |
| | CHASE CORP | | COMMON STOCK USD.1 | | 6,000 | | | | 244,380 | |
| | CHATHAM LODGING TRUST | | REIT | | 29,100 | | | | 595,968 | |
| | CHECKPOINT SYSTEMS INC | | COMMON STOCK USD.1 | | 46,400 | | | | 290,928 | |
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Table of Contents
| | CHEESECAKE FACTORY INC/THE | | COMMON STOCK USD.01 | | 40,250 | | | | 1,855,928 | |
| | CHEFS WAREHOUSE INC/THE | | COMMON STOCK USD.01 | | 15,200 | | | | 253,536 | |
| | CHEGG INC | | COMMON STOCK USD.001 | | 79,100 | | | | 532,343 | |
| | CHEMED CORP | | COMMON STOCK USD1. | | 15,000 | | | | 2,247,000 | |
| | CHEMICAL FINANCIAL CORP | | COMMON STOCK USD1. | | 32,656 | | | | 1,119,121 | |
| | CHEMOCENTRYX INC | | COMMON STOCK USD.001 | | 20,400 | | | | 165,240 | |
| | CHEMOURS CO/THE | | COMMON STOCK | | 156,800 | | | | 840,448 | |
| | CHEMTURA CORP | | COMMON STOCK USD.01 | | 61,860 | | | | 1,686,922 | |
| | CHENIERE ENERGY INC | | COMMON STOCK USD.003 | | 203,036 | | | | 7,563,091 | |
| | CHESAPEAKE LODGING TRUST | | REIT USD.01 | | 51,300 | | | | 1,290,708 | |
| | CHESAPEAKE UTILITIES CORP | | COMMON STOCK USD.4867 | | 14,103 | | | | 800,345 | |
| | CHICAGO BRIDGE + IRON CO NV | | COMMON STOCK EUR.01 | | 81,799 | | | | 3,189,343 | |
| | CHICO S FAS INC | | COMMON STOCK USD.01 | | 124,000 | | | | 1,323,080 | |
| | CHILDREN S PLACE INC/THE | | COMMON STOCK USD.1 | | 18,300 | | | | 1,010,160 | |
| | CHIMERA INVESTMENT CORP | | REIT USD.01 | | 162,780 | | | | 2,220,319 | |
| | CHIMERIX INC | | COMMON STOCK USD.001 | | 35,100 | | | | 314,145 | |
| | CHOICE HOTELS INTL INC | | COMMON STOCK USD.01 | | 27,097 | | | | 1,365,960 | |
| | CHRISTOPHER + BANKS CORP | | COMMON STOCK USD.01 | | 42,100 | | | | 69,465 | |
| | CHURCHILL DOWNS INC | | COMMON STOCK | | 11,608 | | | | 1,642,416 | |
| | CHUY S HOLDINGS INC | | COMMON STOCK USD.01 | | 14,300 | | | | 448,162 | |
| | CIBER INC | | COMMON STOCK USD.01 | | 78,100 | | | | 274,131 | |
| | CIDARA THERAPEUTICS INC | | COMMON STOCK USD.0001 | | 2,300 | | | | 39,468 | |
| | CIENA CORP | | COMMON STOCK USD.01 | | 103,400 | | | | 2,139,346 | |
| | CIFC LLC | | COMMON STOCK USD.001 | | 4,500 | | | | 25,110 | |
| | CIMPRESS NV | | COMMON STOCK USD.001 | | 28,500 | | | | 2,312,490 | |
| | CINCINNATI BELL INC | | COMMON STOCK USD.01 | | 200,587 | | | | 722,113 | |
| | CINEMARK HOLDINGS INC | | COMMON STOCK USD.001 | | 97,000 | | | | 3,242,710 | |
| | CIRCOR INTERNATIONAL INC | | COMMON STOCK USD.01 | | 16,872 | | | | 711,155 | |
| | CIRRUS LOGIC INC | | COMMON STOCK USD.001 | | 54,800 | | | | 1,618,244 | |
| | CIT GROUP INC | | COMMON STOCK USD.01 | | 145,900 | | | | 5,792,230 | |
| | CITI TRENDS INC | | COMMON STOCK USD.01 | | 15,247 | | | | 323,999 | |
| | CITIZENS + NORTHERN CORP | | COMMON STOCK USD1. | | 12,596 | | | | 264,516 | |
| | CITIZENS FINANCIAL GROUP | | COMMON STOCK USD.01 | | 271,500 | | | | 7,110,585 | |
| | CITIZENS INC | | COMMON STOCK | | 38,100 | | | | 283,083 | |
| | CITY HOLDING CO | | COMMON STOCK USD2.5 | | 15,200 | | | | 693,728 | |
| | CIVEO CORP | | COMMON STOCK USD.01 | | 83,300 | | | | 118,286 | |
| | CIVITAS SOLUTIONS INC | | COMMON STOCK USD.01 | | 3,500 | | | | 100,765 | |
| | CLARCOR INC | | COMMON STOCK USD1. | | 43,300 | | | | 2,151,144 | |
| | CLAYTON WILLIAMS ENERGY INC | | COMMON STOCK USD.1 | | 6,000 | | | | 177,420 | |
| | CLEAN ENERGY FUELS CORP | | COMMON STOCK USD.0001 | | 68,300 | | | | 245,880 | |
| | CLEAN HARBORS INC | | COMMON STOCK USD.01 | | 48,620 | | | | 2,025,023 | |
| | CLEAR CHANNEL OUTDOOR CL A | | COMMON STOCK USD.01 | | 44,300 | | | | 247,637 | |
| | CLEARWATER PAPER CORP | | COMMON STOCK USD.0001 | | 18,416 | | | | 838,480 | |
| | CLECO CORPORATION | | COMMON STOCK USD1. | | 51,008 | | | | 2,663,128 | |
| | CLIFFS NATURAL RESOURCES INC | | COMMON STOCK USD.125 | | 150,000 | | | | 237,000 | |
| | CLIFTON BANCORP INC | | COMMON STOCK USD.01 | | 16,046 | | | | 230,100 | |
| | CLOUD PEAK ENERGY INC | | COMMON STOCK USD.01 | | 62,300 | | | | 129,584 | |
| | CLOVIS ONCOLOGY INC | | COMMON STOCK USD.001 | | 22,200 | | | | 777,000 | |
| | CLUBCORP HOLDINGS INC | | COMMON STOCK USD.01 | | 35,100 | | | | 641,277 | |
| | CNA FINANCIAL CORP | | COMMON STOCK USD2.5 | | 25,624 | | | | 900,684 | |
| | CNB FINANCIAL CORP/PA | | COMMON STOCK | | 17,800 | | | | 320,934 | |
| | CNO FINANCIAL GROUP INC | | COMMON STOCK USD.01 | | 163,739 | | | | 3,125,778 | |
| | COBALT INTERNATIONAL ENERGY | | COMMON STOCK USD.01 | | 317,800 | | | | 1,716,120 | |
| | COBIZ FINANCIAL INC | | COMMON STOCK USD.01 | | 33,886 | | | | 454,750 | |
| | COCA COLA BOTTLING CO CONSOL | | COMMON STOCK USD1. | | 4,600 | | | | 839,546 | |
| | COEUR MINING INC | | COMMON STOCK USD.01 | | 92,717 | | | | 229,938 | |
| | COGENT COMMUNICATIONS HOLDIN | | COMMON STOCK USD.001 | | 45,294 | | | | 1,571,249 | |
| | COGNEX CORP | | COMMON STOCK USD.002 | | 77,200 | | | | 2,607,044 | |
| | COHEN + STEERS INC | | COMMON STOCK USD.01 | | 19,899 | | | | 606,522 | |
| | COHERENT INC | | COMMON STOCK USD.01 | | 19,414 | | | | 1,264,046 | |
| | COHERUS BIOSCIENCES INC | | COMMON STOCK USD.0001 | | 18,200 | | | | 417,872 | |
| | COHU INC | | COMMON STOCK USD1. | | 26,925 | | | | 324,985 | |
| | COLFAX CORP | | COMMON STOCK USD.001 | | 86,900 | | | | 2,029,115 | |
| | COLLEGIUM PHARMACEUTICAL INC | | COMMON STOCK USD.001 | | 1,900 | | | | 52,250 | |
| | COLONY CAPITAL INC A | | REIT USD.01 | | 102,800 | | | | 2,002,544 | |
| | COLONY STARWOOD HOMES | | REIT USD.01 | | 36,880 | | | | 834,963 | |
| | COLUMBIA BANKING SYSTEM INC | | COMMON STOCK | | 54,007 | | | | 1,755,768 | |
| | COLUMBIA PROPERTY TRUST INC | | REIT USD.01 | | 108,200 | | | | 2,540,536 | |
| | COLUMBIA SPORTSWEAR CO | | COMMON STOCK | | 26,900 | | | | 1,311,644 | |
| | COLUMBUS MCKINNON CORP/NY | | COMMON STOCK USD.01 | | 22,000 | | | | 415,800 | |
| | COMFORT SYSTEMS USA INC | | COMMON STOCK USD.01 | | 32,200 | | | | 915,124 | |
| | COMMERCE BANCSHARES INC | | COMMON STOCK USD5. | | 72,429 | | | | 3,081,130 | |
| | COMMERCIAL METALS CO | | COMMON STOCK USD.01 | | 99,772 | | | | 1,365,879 | |
| | COMMERCIAL VEHICLE GROUP INC | | COMMON STOCK USD.01 | | 32,000 | | | | 88,320 | |
| | COMMSCOPE HOLDING CO INC | | COMMON STOCK USD.01 | | 88,400 | | | | 2,288,676 | |
| | COMMUNICATIONS SALES + LE | | REIT USD.0001 | | 110,220 | | | | 2,060,012 | |
| | COMMUNITY BANK SYSTEM INC | | COMMON STOCK USD1. | | 38,740 | | | | 1,547,276 | |
| | COMMUNITY HEALTH SYSTEMS INC | | COMMON STOCK USD.01 | | 103,946 | | | | 2,757,687 | |
| | COMMUNITY TRUST BANCORP INC | | COMMON STOCK USD5. | | 15,682 | | | | 548,243 | |
| | COMMVAULT SYSTEMS INC | | COMMON STOCK USD.01 | | 39,100 | | | | 1,538,585 | |
| | COMPASS MINERALS INTERNATION | | COMMON STOCK USD.01 | | 30,600 | | | | 2,303,262 | |
| | COMPUTER PROGRAMS + SYSTEMS | | COMMON STOCK USD.001 | | 10,800 | | | | 537,300 | |
| | COMPUTER SCIENCES CORP | | COMMON STOCK USD1. | | 119,800 | | | | 3,915,064 | |
| | COMSCORE INC | | COMMON STOCK USD.001 | | 31,607 | | | | 1,300,628 | |
| | COMTECH TELECOMMUNICATIONS | | COMMON STOCK USD.1 | | 14,875 | | | | 298,839 | |
| | CONCERT PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 18,500 | | | | 350,945 | |
| | CONCHO RESOURCES INC | | COMMON STOCK USD.001 | | 111,000 | | | | 10,307,460 | |
| | CONMED CORP | | COMMON STOCK USD.01 | | 27,090 | | | | 1,193,315 | |
| | CONN S INC | | COMMON STOCK USD.01 | | 23,731 | | | | 556,967 | |
| | CONNECTICUT WATER SVC INC | | COMMON STOCK | | 10,300 | | | | 391,503 | |
| | CONNECTONE BANCORP INC | | COMMON STOCK | | 16,200 | | | | 302,778 | |
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Table of Contents
| | CONS TOMOKA LAND CO FLORIDA | | COMMON STOCK USD1. | | 6,600 | | | | 347,886 | |
| | CONSOLIDATED COMMUNICATIONS | | COMMON STOCK USD.01 | | 45,521 | | | | 953,665 | |
| | CONSTANT CONTACT INC | | COMMON STOCK USD.01 | | 29,829 | | | | 872,200 | |
| | CONTAINER STORE GROUP INC/TH | | COMMON STOCK USD.01 | | 16,700 | | | | 136,940 | |
| | CONTANGO OIL + GAS | | COMMON STOCK USD.04 | | 15,200 | | | | 97,432 | |
| | CONTINENTAL BUILDING PRODUCT | | COMMON STOCK USD.001 | | 29,500 | | | | 515,070 | |
| | CONTINENTAL RESOURCES INC/OK | | COMMON STOCK USD.01 | | 76,930 | | | | 1,767,851 | |
| | CONTRA FURIEX PHARMACEUTICALS | | COMMON STOCK | | 6,489 | | | | 0 | |
| | CONTRA LEAP WIRELESS | | COMMON STOCK | | 60,900 | | | | 609 | |
| | CONVERGYS CORP | | COMMON STOCK | | 81,600 | | | | 2,031,024 | |
| | COOPER COS INC/THE | | COMMON STOCK USD.1 | | 41,988 | | | | 5,634,790 | |
| | COOPER STANDARD HOLDING | | COMMON STOCK USD.001 | | 14,700 | | | | 1,140,573 | |
| | COOPER TIRE + RUBBER | | COMMON STOCK USD1. | | 49,750 | | | | 1,883,038 | |
| | COPA HOLDINGS SA CLASS A | | COMMON STOCK | | 30,433 | | | | 1,468,697 | |
| | COPART INC | | COMMON STOCK | | 103,312 | | | | 3,926,889 | |
| | CORCEPT THERAPEUTICS INC | | COMMON STOCK USD.001 | | 53,600 | | | | 266,928 | |
| | CORE MARK HOLDING CO INC | | COMMON STOCK USD.01 | | 20,000 | | | | 1,638,800 | |
| | CORELOGIC INC | | COMMON STOCK USD1. | | 75,643 | | | | 2,561,272 | |
| | CORENERGY INFRASTRUCTURE TRU | | REIT USD.001 | | 2,640 | | | | 39,178 | |
| | CORESITE REALTY CORP | | REIT USD.01 | | 20,100 | | | | 1,140,072 | |
| | CORIUM INTERNATIONAL INC | | COMMON STOCK USD.001 | | 2,200 | | | | 17,864 | |
| | CORMEDIX INC | | COMMON STOCK USD.001 | | 8,800 | | | | 17,864 | |
| | CORNERSTONE ONDEMAND INC | | COMMON STOCK USD.0001 | | 46,600 | | | | 1,609,098 | |
| | CORPORATE OFFICE PROPERTIES | | REIT USD.01 | | 85,173 | | | | 1,859,327 | |
| | CORRECTIONS CORP OF AMERICA | | REIT USD.01 | | 105,856 | | | | 2,804,125 | |
| | CORVEL CORP | | COMMON STOCK USD.0001 | | 10,800 | | | | 474,336 | |
| | COSTAR GROUP INC | | COMMON STOCK USD.01 | | 27,125 | | | | 5,606,466 | |
| | COTY INC CL A | | COMMON STOCK USD.01 | | 68,700 | | | | 1,760,781 | |
| | COUSINS PROPERTIES INC | | REIT USD1. | | 199,950 | | | | 1,885,529 | |
| | COVANTA HOLDING CORP | | COMMON STOCK USD.1 | | 106,310 | | | | 1,646,742 | |
| | COVENANT TRANSPORT GRP CL A | | COMMON STOCK USD.01 | | 4,900 | | | | 92,561 | |
| | COWEN GROUP INC CLASS A | | COMMON STOCK USD.01 | | 56,250 | | | | 215,438 | |
| | CRA INTERNATIONAL INC | | COMMON STOCK | | 11,600 | | | | 216,340 | |
| | CRACKER BARREL OLD COUNTRY | | COMMON STOCK USD.01 | | 16,593 | | | | 2,104,490 | |
| | CRAFT BREW ALLIANCE INC | | COMMON STOCK USD.005 | | 9,300 | | | | 77,841 | |
| | CRANE CO | | COMMON STOCK USD1. | | 40,087 | | | | 1,917,762 | |
| | CRAWFORD + CO CL B | | COMMON STOCK USD1. | | 34,733 | | | | 184,432 | |
| | CRAY INC | | COMMON STOCK USD.01 | | 40,330 | | | | 1,308,709 | |
| | CREDIT ACCEPTANCE CORP | | COMMON STOCK USD.01 | | 7,579 | | | | 1,622,058 | |
| | CREE INC | | COMMON STOCK USD.00125 | | 90,500 | | | | 2,413,635 | |
| | CROCS INC | | COMMON STOCK USD.001 | | 71,300 | | | | 730,112 | |
| | CROSS COUNTRY HEALTHCARE INC | | COMMON STOCK USD.0001 | | 39,071 | | | | 640,374 | |
| | CROWN HOLDINGS INC | | COMMON STOCK USD5. | | 120,050 | | | | 6,086,535 | |
| | CROWN MEDIA HOLDINGS CLASS A | | COMMON STOCK USD.01 | | 30,600 | | | | 171,666 | |
| | CRYOLIFE INC | | COMMON STOCK USD.01 | | 26,900 | | | | 289,982 | |
| | CSG SYSTEMS INTL INC | | COMMON STOCK USD.01 | | 28,400 | | | | 1,021,832 | |
| | CSS INDUSTRIES INC | | COMMON STOCK USD.1 | | 12,195 | | | | 346,094 | |
| | CST BRANDS INC | | COMMON STOCK USD.01 | | 66,300 | | | | 2,594,982 | |
| | CTI BIOPHARMA CORP | | COMMON STOCK | | 126,000 | | | | 154,980 | |
| | CTS CORP | | COMMON STOCK | | 32,530 | | | | 573,829 | |
| | CU BANCORP | | COMMON STOCK | | 7,800 | | | | 197,808 | |
| | CUBESMART | | REIT USD.01 | | 143,800 | | | | 4,403,156 | |
| | CUBIC CORP | | COMMON STOCK | | 17,913 | | | | 846,389 | |
| | CULLEN/FROST BANKERS INC | | COMMON STOCK USD.01 | | 48,225 | | | | 2,893,500 | |
| | CULP INC | | COMMON STOCK USD.05 | | 9,400 | | | | 239,418 | |
| | CUMULUS MEDIA INC CL A | | COMMON STOCK USD.01 | | 88,700 | | | | 29,280 | |
| | CURIS INC | | COMMON STOCK USD.01 | | 96,500 | | | | 280,815 | |
| | CURTISS WRIGHT CORP | | COMMON STOCK USD1. | | 39,461 | | | | 2,703,079 | |
| | CUSTOMERS BANCORP INC | | COMMON STOCK USD1.0 | | 18,370 | | | | 500,031 | |
| | CUTERA INC | | COMMON STOCK USD.001 | | 5,500 | | | | 70,345 | |
| | CVB FINANCIAL CORP | | COMMON STOCK | | 91,836 | | | | 1,553,865 | |
| | CVENT INC | | COMMON STOCK USD.001 | | 17,900 | | | | 624,889 | |
| | CVR ENERGY INC | | COMMON STOCK USD.01 | | 14,000 | | | | 550,900 | |
| | CYNOSURE INC A | | COMMON STOCK USD.001 | | 20,812 | | | | 929,672 | |
| | CYPRESS SEMICONDUCTOR CORP | | COMMON STOCK USD.01 | | 302,107 | | | | 2,963,670 | |
| | CYRUSONE INC | | REIT USD.01 | | 57,100 | | | | 2,138,395 | |
| | CYS INVESTMENTS INC | | REIT USD.01 | | 136,700 | | | | 974,671 | |
| | CYTOKINETICS INC | | COMMON STOCK USD.001 | | 20,516 | | | | 214,597 | |
| | CYTRX CORP | | COMMON STOCK USD.001 | | 23,900 | | | | 63,335 | |
| | DAILY JOURNAL CORP | | COMMON STOCK USD.01 | | 1,297 | | | | 261,994 | |
| | DAKTRONICS INC | | COMMON STOCK | | 35,900 | | | | 313,048 | |
| | DANA HOLDING CORP | | COMMON STOCK USD.01 | | 135,484 | | | | 1,869,679 | |
| | DARLING INGREDIENTS INC | | COMMON STOCK USD.01 | | 153,578 | | | | 1,615,641 | |
| | DATALINK CORP | | COMMON STOCK USD.001 | | 20,600 | | | | 140,080 | |
| | DAVE + BUSTER S ENTERTAINMEN | | COMMON STOCK USD.01 | | 17,900 | | | | 747,146 | |
| | DCT INDUSTRIAL TRUST INC | | REIT USD.01 | | 74,950 | | | | 2,800,882 | |
| | DDR CORP | | REIT USD.1 | | 261,711 | | | | 4,407,213 | |
| | DEAN FOODS CO | | COMMON STOCK USD.01 | | 91,000 | | | | 1,560,650 | |
| | DECKERS OUTDOOR CORP | | COMMON STOCK USD.01 | | 28,200 | | | | 1,331,040 | |
| | DEL FRISCO S RESTAURANT GROU | | COMMON STOCK USD.001 | | 10,400 | | | | 166,608 | |
| | DELEK US HOLDINGS INC | | COMMON STOCK USD.01 | | 49,700 | | | | 1,222,620 | |
| | DELTIC TIMBER CORP | | COMMON STOCK USD.01 | | 11,400 | | | | 671,118 | |
| | DELUXE CORP | | COMMON STOCK USD1. | | 45,050 | | | | 2,457,027 | |
| | DEMANDWARE INC | | COMMON STOCK USD.01 | | 26,600 | | | | 1,435,602 | |
| | DENBURY RESOURCES INC | | COMMON STOCK USD.001 | | 321,400 | | | | 649,228 | |
| | DENNY S CORP | | COMMON STOCK USD.01 | | 84,239 | | | | 828,069 | |
| | DEPOMED INC | | COMMON STOCK | | 54,900 | | | | 995,337 | |
| | DERMIRA INC | | COMMON STOCK USD.001 | | 11,100 | | | | 384,171 | |
| | DESTINATION XL GROUP INC | | COMMON STOCK USD.01 | | 47,900 | | | | 264,408 | |
| | DEVRY EDUCATION GROUP INC | | COMMON STOCK USD.01 | | 56,200 | | | | 1,422,422 | |
| | DEXCOM INC | | COMMON STOCK USD.001 | | 68,690 | | | | 5,625,711 | |
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Table of Contents
| | DHI GROUP INC | | COMMON STOCK USD.01 | | 43,826 | | | | 401,884 | |
| | DHT HOLDINGS INC | | COMMON STOCK USD.01 | | 58,900 | | | | 476,501 | |
| | DIAMOND FOODS INC | | COMMON STOCK USD.001 | | 21,500 | | | | 828,825 | |
| | DIAMOND HILL INVESTMENT GRP | | COMMON STOCK | | 2,900 | | | | 548,100 | |
| | DIAMOND RESORTS INTERNATIONA | | COMMON STOCK USD.01 | | 32,200 | | | | 821,422 | |
| | DIAMONDBACK ENERGY INC | | COMMON STOCK USD.01 | | 57,400 | | | | 3,840,060 | |
| | DIAMONDROCK HOSPITALITY CO | | REIT USD.01 | | 181,646 | | | | 1,752,884 | |
| | DICERNA PHARMACEUTICALS INC | | COMMON STOCK USD.0001 | | 1,500 | | | | 17,805 | |
| | DICK S SPORTING GOODS INC | | COMMON STOCK USD.01 | | 76,732 | | | | 2,712,476 | |
| | DIEBOLD INC | | COMMON STOCK USD1.25 | | 56,025 | | | | 1,685,792 | |
| | DIGI INTERNATIONAL INC | | COMMON STOCK USD.01 | | 25,379 | | | | 288,813 | |
| | DIGIMARC CORP | | COMMON STOCK USD.001 | | 6,400 | | | | 233,664 | |
| | DIGITAL REALTY TRUST INC | | REIT USD.01 | | 126,069 | | | | 9,533,338 | |
| | DIGITALGLOBE INC | | COMMON STOCK USD.001 | | 62,688 | | | | 981,694 | |
| | DILLARDS INC CL A | | COMMON STOCK | | 20,600 | | | | 1,353,626 | |
| | DIME COMMUNITY BANCSHARES | | COMMON STOCK USD.01 | | 31,966 | | | | 559,085 | |
| | DINEEQUITY INC | | COMMON STOCK USD.01 | | 15,554 | | | | 1,316,957 | |
| | DIODES INC | | COMMON STOCK USD.667 | | 37,249 | | | | 855,982 | |
| | DIPLOMAT PHARMACY INC | | COMMON STOCK | | 29,500 | | | | 1,009,490 | |
| | DISH NETWORK CORP A | | COMMON STOCK USD.01 | | 187,927 | | | | 10,745,666 | |
| | DOLBY LABORATORIES INC CL A | | COMMON STOCK USD.001 | | 43,740 | | | | 1,471,851 | |
| | DOMINO S PIZZA INC | | COMMON STOCK USD.01 | | 46,828 | | | | 5,209,615 | |
| | DOMTAR CORP | | COMMON STOCK USD.01 | | 55,000 | | | | 2,032,250 | |
| | DONALDSON CO INC | | COMMON STOCK USD5. | | 114,400 | | | | 3,278,704 | |
| | DONEGAL GROUP INC CL A | | COMMON STOCK USD.01 | | 13,366 | | | | 188,193 | |
| | DORIAN LPG LTD | | COMMON STOCK USD.01 | | 11,100 | | | | 130,647 | |
| | DORMAN PRODUCTS INC | | COMMON STOCK USD.01 | | 25,160 | | | | 1,194,345 | |
| | DOUGLAS DYNAMICS INC | | COMMON STOCK USD.01 | | 27,100 | | | | 570,997 | |
| | DOUGLAS EMMETT INC | | REIT USD.01 | | 129,087 | | | | 4,024,933 | |
| | DREAMWORKS ANIMATION SKG A | | COMMON STOCK USD.01 | | 72,300 | | | | 1,863,171 | |
| | DREW INDUSTRIES INC | | COMMON STOCK USD.01 | | 23,000 | | | | 1,400,470 | |
| | DRIL QUIP INC | | COMMON STOCK USD.01 | | 33,700 | | | | 1,996,051 | |
| | DSP GROUP INC | | COMMON STOCK USD.001 | | 33,100 | | | | 312,464 | |
| | DST SYSTEMS INC | | COMMON STOCK USD.01 | | 30,717 | | | | 3,503,581 | |
| | DSW INC CLASS A | | COMMON STOCK | | 63,428 | | | | 1,513,392 | |
| | DTS INC | | COMMON STOCK USD.0001 | | 19,478 | | | | 439,813 | |
| | DUCOMMUN INC | | COMMON STOCK USD.01 | | 7,600 | | | | 123,272 | |
| | DUKE REALTY CORP | | REIT USD.01 | | 300,100 | | | | 6,308,102 | |
| | DUNKIN BRANDS GROUP INC | | COMMON STOCK USD.001 | | 81,200 | | | | 3,458,308 | |
| | DUPONT FABROS TECHNOLOGY | | REIT USD.001 | | 58,200 | | | | 1,850,178 | |
| | DURECT CORPORATION | | COMMON STOCK USD.0001 | | 97,200 | | | | 214,812 | |
| | DXP ENTERPRISES INC | | COMMON STOCK USD.01 | | 10,005 | | | | 228,114 | |
| | DYAX CORP | | COMMON STOCK USD.01 | | 125,800 | | | | 4,732,596 | |
| | DYCOM INDUSTRIES INC | | COMMON STOCK USD.333 | | 28,600 | | | | 2,000,856 | |
| | DYNAVAX TECHNOLOGIES CORP | | COMMON STOCK USD.001 | | 28,970 | | | | 699,915 | |
| | DYNEGY INC | | COMMON STOCK USD.01 | | 110,600 | | | | 1,482,040 | |
| | DYNEX CAPITAL INC | | REIT USD.01 | | 57,600 | | | | 365,760 | |
| | EAGLE BANCORP INC | | COMMON STOCK USD.01 | | 25,840 | | | | 1,304,145 | |
| | EAGLE MATERIALS INC | | COMMON STOCK USD.01 | | 44,648 | | | | 2,698,079 | |
| | EAGLE PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 6,700 | | | | 594,089 | |
| | EARTHLINK HOLDINGS CORP | | COMMON STOCK USD.01 | | 89,122 | | | | 662,176 | |
| | EAST WEST BANCORP INC | | COMMON STOCK USD.001 | | 127,690 | | | | 5,306,796 | |
| | EASTERLY GOVERNMENT PROPERTI | | REIT USD.01 | | 3,200 | | | | 54,976 | |
| | EASTGROUP PROPERTIES INC | | REIT | | 29,900 | | | | 1,662,739 | |
| | EASTMAN KODAK CO | | COMMON STOCK USD.01 | | 15,000 | | | | 188,100 | |
| | EATON VANCE CORP | | COMMON STOCK USD.00390625 | | 98,329 | | | | 3,188,809 | |
| | EBIX INC | | COMMON STOCK USD.1 | | 23,131 | | | | 758,465 | |
| | ECHO GLOBAL LOGISTICS INC | | COMMON STOCK USD.0001 | | 19,400 | | | | 395,566 | |
| | ECHOSTAR CORP A | | COMMON STOCK USD.001 | | 40,725 | | | | 1,592,755 | |
| | ECLIPSE RESOURCES CORP | | COMMON STOCK USD.01 | | 27,400 | | | | 49,868 | |
| | EDGEWELL PERSONAL CARE CO | | COMMON STOCK USD.01 | | 52,181 | | | | 4,089,425 | |
| | EDUCATION REALTY TRUST INC | | REIT USD.01 | | 43,033 | | | | 1,630,090 | |
| | EHEALTH INC | | COMMON STOCK USD.001 | | 19,491 | | | | 194,520 | |
| | EL PASO ELECTRIC CO | | COMMON STOCK | | 34,920 | | | | 1,344,420 | |
| | ELDORADO RESORTS INC | | COMMON STOCK | | 6,500 | | | | 71,500 | |
| | ELECTRO RENT CORP | | COMMON STOCK | | 14,443 | | | | 132,876 | |
| | ELECTRONICS FOR IMAGING | | COMMON STOCK USD.01 | | 39,500 | �� | | | 1,846,230 | |
| | ELIZABETH ARDEN INC | | COMMON STOCK USD.01 | | 18,900 | | | | 187,110 | |
| | ELLIE MAE INC | | COMMON STOCK USD.0001 | | 25,900 | | | | 1,559,957 | |
| | EMC INS GROUP INC | | COMMON STOCK USD1. | | 10,800 | | | | 273,240 | |
| | EMCOR GROUP INC | | COMMON STOCK USD.01 | | 57,512 | | | | 2,762,876 | |
| | EMERGENT BIOSOLUTIONS INC | | COMMON STOCK USD.001 | | 29,300 | | | | 1,172,293 | |
| | EMPIRE DISTRICT ELECTRIC CO | | COMMON STOCK USD1. | | 42,470 | | | | 1,192,133 | |
| | EMPIRE RESORTS INC | | COMMON STOCK | | 460 | | | | 8,280 | |
| | EMPIRE STATE REALTY TRUST A | | REIT USD.01 | | 98,800 | | | | 1,785,316 | |
| | EMPLOYERS HOLDINGS INC | | COMMON STOCK USD.01 | | 31,104 | | | | 849,139 | |
| | ENANTA PHARMACEUTICALS INC | | COMMON STOCK USD.01 | | 15,700 | | | | 518,414 | |
| | ENCORE CAPITAL GROUP INC | | COMMON STOCK USD.01 | | 23,462 | | | | 682,275 | |
| | ENCORE WIRE CORP | | COMMON STOCK USD.01 | | 20,300 | | | | 752,927 | |
| | ENDOCYTE INC | | COMMON STOCK | | 29,200 | | | | 117,092 | |
| | ENDOLOGIX INC | | COMMON STOCK USD.001 | | 64,000 | | | | 633,600 | |
| | ENDURANCE INTERNATIONAL GROU | | COMMON STOCK USD.0001 | | 47,200 | | | | 515,896 | |
| | ENDURANCE SPECIALTY HOLDINGS | | COMMON STOCK USD1.0 | | 55,017 | | | | 3,520,538 | |
| | ENERGEN CORP | | COMMON STOCK USD.01 | | 65,000 | | | | 2,664,350 | |
| | ENERGIZER HOLDINGS INC | | COMMON STOCK | | 52,181 | | | | 1,777,285 | |
| | ENERGY XXI LTD | | COMMON STOCK USD.005 | | 87,572 | | | | 88,448 | |
| | ENERNOC INC | | COMMON STOCK USD.001 | | 20,100 | | | | 77,385 | |
| | ENERSYS | | COMMON STOCK USD.01 | | 37,515 | | | | 2,098,214 | |
| | ENGILITY HOLDINGS INC | | COMMON STOCK USD.01 | | 15,552 | | | | 505,129 | |
| | ENNIS INC | | COMMON STOCK USD2.5 | | 26,765 | | | | 515,226 | |
| | ENOVA INTERNATIONAL INC | | COMMON STOCK USD.00001 | | 27,267 | | | | 180,235 | |
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Table of Contents
| | ENPRO INDUSTRIES INC | | COMMON STOCK USD.01 | | 20,600 | | | | 903,104 | |
| | ENSIGN GROUP INC/THE | | COMMON STOCK USD.001 | | 44,064 | | | | 997,168 | |
| | ENSTAR GROUP LTD | | COMMON STOCK USD1. | | 7,800 | | | | 1,170,312 | |
| | ENTEGRIS INC | | COMMON STOCK USD.01 | | 121,187 | | | | 1,608,151 | |
| | ENTERCOM COMMUNICATIONS CL A | | COMMON STOCK USD.01 | | 24,300 | | | | 272,889 | |
| | ENTERPRISE BANCORP INC | | COMMON STOCK USD.01 | | 8,300 | | | | 189,655 | |
| | ENTERPRISE FINANCIAL SERVICE | | COMMON STOCK USD.01 | | 12,158 | | | | 344,679 | |
| | ENTRAVISION COMMUNICATIONS A | | COMMON STOCK USD.0001 | | 50,800 | | | | 391,668 | |
| | ENVESTNET INC | | COMMON STOCK | | 35,362 | | | | 1,055,568 | |
| | ENVISION HEALTHCARE HOLDINGS | | COMMON STOCK USD.01 | | 156,000 | | | | 4,051,320 | |
| | EP ENERGY CORP CL A | | COMMON STOCK USD.01 | | 30,100 | | | | 131,838 | |
| | EPAM SYSTEMS INC | | COMMON STOCK USD.001 | | 40,600 | | | | 3,191,972 | |
| | EPIQ SYSTEMS INC | | COMMON STOCK USD.01 | | 35,299 | | | | 461,358 | |
| | EPIZYME INC | | COMMON STOCK USD.0001 | | 22,600 | | | | 362,052 | |
| | EPLUS INC | | COMMON STOCK USD.01 | | 4,100 | | | | 382,366 | |
| | EPR PROPERTIES | | REIT USD.01 | | 49,400 | | | | 2,887,430 | |
| | EQUITY COMMONWEALTH | | REIT USD.01 | | 114,660 | | | | 3,179,522 | |
| | EQUITY LIFESTYLE PROPERTIES | | REIT USD.01 | | 72,900 | | | | 4,860,243 | |
| | EQUITY ONE INC | | REIT USD.01 | | 60,300 | | | | 1,637,145 | |
| | ERA GROUP INC | | COMMON STOCK USD.01 | | 20,762 | | | | 231,496 | |
| | ERIE INDEMNITY COMPANY CL A | | COMMON STOCK | | 21,698 | | | | 2,075,197 | |
| | EROS INTERNATIONAL PLC | | COMMON STOCK GBP.3 | | 24,329 | | | | 222,610 | |
| | ESCO TECHNOLOGIES INC | | COMMON STOCK USD.01 | | 25,800 | | | | 932,412 | |
| | ESPERION THERAPEUTICS INC | | COMMON STOCK USD.001 | | 10,500 | | | | 233,730 | |
| | ESSENDANT INC | | COMMON STOCK USD.1 | | 32,218 | | | | 1,047,407 | |
| | ESSENT GROUP LTD | | COMMON STOCK USD.015 | | 45,200 | | | | 989,428 | |
| | ESTERLINE TECHNOLOGIES CORP | | COMMON STOCK USD.2 | | 25,740 | | | | 2,084,940 | |
| | ETHAN ALLEN INTERIORS INC | | COMMON STOCK USD.01 | | 27,200 | | | | 756,704 | |
| | EURONET WORLDWIDE INC | | COMMON STOCK USD.02 | | 44,900 | | | | 3,252,107 | |
| | EVERBANK FINANCIAL CORP | | COMMON STOCK USD.01 | | 83,700 | | | | 1,337,526 | |
| | EVERCORE PARTNERS INC CL A | | COMMON STOCK USD.01 | | 30,100 | | | | 1,627,507 | |
| | EVEREST RE GROUP LTD | | COMMON STOCK USD.01 | | 38,664 | | | | 7,078,992 | |
| | EVERI HOLDINGS INC | | COMMON STOCK USD.001 | | 67,400 | | | | 295,886 | |
| | EVERTEC INC | | COMMON STOCK USD.01 | | 65,500 | | | | 1,096,470 | |
| | EVERYDAY HEALTH INC | | COMMON STOCK USD.01 | | 1,400 | | | | 8,428 | |
| | EVINE LIVE INC | | COMMON STOCK USD.01 | | 38,100 | | | | 67,818 | |
| | EVOLUTION PETROLEUM CORP | | COMMON STOCK USD.001 | | 12,900 | | | | 62,049 | |
| | EW SCRIPPS CO/THE A | | COMMON STOCK USD.01 | | 47,048 | | | | 893,912 | |
| | EXACT SCIENCES CORP | | COMMON STOCK USD.01 | | 78,000 | | | | 719,940 | |
| | EXACTECH INC | | COMMON STOCK USD.01 | | 8,500 | | | | 154,275 | |
| | EXAMWORKS GROUP INC | | COMMON STOCK | | 33,300 | | | | 885,780 | |
| | EXAR CORP | | COMMON STOCK USD.0001 | | 37,701 | | | | 231,107 | |
| | EXCO RESOURCES INC | | COMMON STOCK USD.001 | | 165,980 | | | | 205,815 | |
| | EXELIXIS INC | | COMMON STOCK USD.001 | | 182,000 | | | | 1,026,480 | |
| | EXLSERVICE HOLDINGS INC | | COMMON STOCK USD.001 | | 28,886 | | | | 1,297,848 | |
| | EXONE CO/THE | | COMMON STOCK USD.01 | | 8,800 | | | | 88,352 | |
| | EXPEDIA INC | | COMMON STOCK USD.001 | | 1 | | | | 99 | |
| | EXPONENT INC | | COMMON STOCK USD.001 | | 25,100 | | | | 1,253,745 | |
| | EXPRESS INC | | COMMON STOCK | | 73,000 | | | | 1,261,440 | |
| | EXTENDED STAY AMERICA INC | | UNIT USD.01 | | 49,000 | | | | 779,100 | |
| | EXTERRAN CORP | | COMMON STOCK USD.01 | | 28,218 | | | | 452,899 | |
| | EXTRA SPACE STORAGE INC | | REIT USD.01 | | 105,691 | | | | 9,323,003 | |
| | EXTREME NETWORKS INC | | COMMON STOCK USD.001 | | 106,000 | | | | 432,480 | |
| | EZCORP INC CL A | | COMMON STOCK USD.01 | | 55,200 | | | | 275,448 | |
| | FABRINET | | COMMON STOCK USD.01 | | 30,700 | | | | 731,274 | |
| | FACTSET RESEARCH SYSTEMS INC | | COMMON STOCK USD.01 | | 36,370 | | | | 5,912,671 | |
| | FAIR ISAAC CORP | | COMMON STOCK USD.01 | | 25,704 | | | | 2,420,803 | |
| | FAIRCHILD SEMICONDUCTOR INTE | | COMMON STOCK USD.01 | | 100,620 | | | | 2,083,840 | |
| | FAIRMOUNT SANTROL HOLDINGS I | | COMMON STOCK USD.01 | | 48,600 | | | | 114,210 | |
| | FAIRPOINT COMMUNICATIONS INC | | COMMON STOCK USD.01 | | 19,400 | | | | 311,758 | |
| | FAIRWAY GROUP HOLDINGS CORP | | COMMON STOCK USD.001 | | 13,300 | | | | 8,779 | |
| | FARMER BROS CO | | COMMON STOCK USD1.0 | | 8,300 | | | | 267,841 | |
| | FARO TECHNOLOGIES INC | | COMMON STOCK USD.001 | | 18,900 | | | | 557,928 | |
| | FBL FINANCIAL GROUP INC CL A | | COMMON STOCK | | 8,677 | | | | 552,204 | |
| | FCB FINANCIAL HOLDINGS CL A | | COMMON STOCK USD.001 | | 22,100 | | | | 790,959 | |
| | FEDERAL AGRIC MTG CORP CL C | | COMMON STOCK USD1. | | 10,000 | | | | 315,700 | |
| | FEDERAL MOGUL HOLDINGS CORP | | COMMON STOCK USD.01 | | 18,449 | | | | 126,376 | |
| | FEDERAL REALTY INVS TRUST | | REIT USD.01 | | 60,380 | | | | 8,821,518 | |
| | FEDERAL SIGNAL CORP | | COMMON STOCK USD1. | | 66,550 | | | | 1,054,818 | |
| | FEDERATED INVESTORS INC CL B | | COMMON STOCK | | 81,000 | | | | 2,320,650 | |
| | FEDERATED NATIONAL HOLDING C | | COMMON STOCK USD.01 | | 10,400 | | | | 307,424 | |
| | FEI COMPANY | | COMMON STOCK | | 38,200 | | | | 3,047,978 | |
| | FELCOR LODGING TRUST INC | | REIT USD.01 | | 120,885 | | | | 882,461 | |
| | FERRO CORP | | COMMON STOCK USD1. | | 70,350 | | | | 782,292 | |
| | FERROGLOBE PLC | | COMMON STOCK USD7.5 | | 60,200 | | | | 647,150 | |
| | FIBROCELL SCIENCE INC | | COMMON STOCK USD.001 | | 4,500 | | | | 20,475 | |
| | FIBROGEN INC | | COMMON STOCK USD.01 | | 38,300 | | | | 1,167,001 | |
| | FIDELITY + GUARANTY LIFE | | COMMON STOCK USD.01 | | 3,500 | | | | 88,795 | |
| | FIDELITY SOUTHERN CORP | | COMMON STOCK | | 14,256 | | | | 318,051 | |
| | FIESTA RESTAURANT GROUP | | COMMON STOCK USD.01 | | 21,700 | | | | 729,120 | |
* | | FINANCIAL ENGINES INC | | COMMON STOCK USD.0001 | | 47,900 | | | | 1,612,793 | |
| | FINANCIAL INSTITUTIONS INC | | COMMON STOCK USD.01 | | 15,200 | | | | 425,600 | |
| | FINISAR CORPORATION | | COMMON STOCK USD.001 | | 100,000 | | | | 1,454,000 | |
| | FINISH LINE/THE CL A | | COMMON STOCK USD.01 | | 39,900 | | | | 721,392 | |
| | FIREEYE INC | | COMMON STOCK USD.0001 | | 117,200 | | | | 2,430,728 | |
| | FIRST AMERICAN FINANCIAL | | COMMON STOCK USD.00001 | | 97,543 | | | | 3,501,794 | |
| | FIRST BANCORP INC/ME | | COMMON STOCK USD.01 | | 9,600 | | | | 196,512 | |
| | FIRST BANCORP PUERTO RICO | | COMMON STOCK USD1. | | 78,300 | | | | 254,475 | |
| | FIRST BANCORP/NC | | COMMON STOCK | | 23,350 | | | | 437,579 | |
| | FIRST BUSEY CORP | | COMMON STOCK USD.001 | | 22,753 | | | | 469,394 | |
| | FIRST CASH FINL SVCS INC | | COMMON STOCK USD.01 | | 24,389 | | | | 912,880 | |
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Table of Contents
| | FIRST CITIZENS BCSHS CL A | | COMMON STOCK USD1. | | 6,300 | | | | 1,626,471 | |
| | FIRST COMMONWEALTH FINL CORP | | COMMON STOCK USD1. | | 95,661 | | | | 867,645 | |
| | FIRST COMMUNITY BANCSHARES | | COMMON STOCK USD1. | | 15,690 | | | | 292,305 | |
| | FIRST CONNECTICUT BANCORP | | COMMON STOCK USD.01 | | 15,000 | | | | 261,150 | |
| | FIRST DATA CORP CLASS A | | COMMON STOCK USD.01 | | 155,000 | | | | 2,483,100 | |
| | FIRST DEFIANCE FINL CORP | | COMMON STOCK USD.01 | | 10,200 | | | | 385,356 | |
| | FIRST FINANCIAL BANCORP | | COMMON STOCK | | 59,304 | | | | 1,071,623 | |
| | FIRST FINANCIAL CORP/INDIANA | | COMMON STOCK | | 14,014 | | | | 476,056 | |
| | FIRST FINL BANKSHARES INC | | COMMON STOCK USD.01 | | 55,448 | | | | 1,672,866 | |
| | FIRST HORIZON NATIONAL CORP | | COMMON STOCK USD.625 | | 201,817 | | | | 2,930,383 | |
| | FIRST INDUSTRIAL REALTY TR | | REIT USD.01 | | 95,700 | | | | 2,117,841 | |
| | FIRST INTERSTATE BANCSYS A | | COMMON STOCK | | 17,000 | | | | 494,190 | |
| | FIRST MERCHANTS CORP | | COMMON STOCK | | 32,566 | | | | 827,828 | |
| | FIRST MIDWEST BANCORP INC/IL | | COMMON STOCK USD.01 | | 74,138 | | | | 1,366,363 | |
| | FIRST NBC BANK HOLDING CO | | COMMON STOCK | | 15,400 | | | | 575,806 | |
| | FIRST NIAGARA FINANCIAL GRP | | COMMON STOCK USD.01 | | 324,465 | | | | 3,520,445 | |
| | FIRST OF LONG ISLAND CORP | | COMMON STOCK USD.1 | | 11,700 | | | | 351,000 | |
| | FIRST POTOMAC REALTY TRUST | | REIT USD.001 | | 59,590 | | | | 679,326 | |
| | FIRST REPUBLIC BANK/CA | | COMMON STOCK USD.01 | | 125,000 | | | | 8,257,500 | |
| | FIRSTMERIT CORP | | COMMON STOCK | | 146,701 | | | | 2,735,974 | |
| | FITBIT INC A | | COMMON STOCK USD.0001 | | 36,100 | | | | 1,068,199 | |
| | FIVE BELOW | | COMMON STOCK USD.01 | | 47,100 | | | | 1,511,910 | |
| | FIVE PRIME THERAPEUTICS INC | | COMMON STOCK USD.001 | | 18,900 | | | | 784,350 | |
| | FIVE STAR QUALITY CARE | | COMMON STOCK USD.01 | | 39,400 | | | | 125,292 | |
| | FLAGSTAR BANCORP INC | | COMMON STOCK USD.01 | | 17,800 | | | | 411,358 | |
| | FLEETCOR TECHNOLOGIES INC | | COMMON STOCK USD.001 | | 79,900 | | | | 11,420,107 | |
| | FLEETMATICS GROUP PLC | | COMMON STOCK EUR.015 | | 34,800 | | | | 1,767,492 | |
| | FLEXION THERAPEUTICS INC | | COMMON STOCK USD.001 | | 12,000 | | | | 231,240 | |
| | FLEXSTEEL INDS | | COMMON STOCK USD1. | | 5,800 | | | | 256,244 | |
| | FLOTEK INDUSTRIES INC | | COMMON STOCK USD.0001 | | 49,100 | | | | 561,704 | |
| | FLOWERS FOODS INC | | COMMON STOCK USD.01 | | 144,712 | | | | 3,109,861 | |
| | FLUIDIGM CORP | | COMMON STOCK USD.001 | | 23,900 | | | | 258,359 | |
| | FLUSHING FINANCIAL CORP | | COMMON STOCK USD.01 | | 31,041 | | | | 671,727 | |
| | FNB CORP | | COMMON STOCK USD.01 | | 151,102 | | | | 2,015,701 | |
| | FNF GROUP | | TRACKING STK USD.0001 | | 245,722 | | | | 8,519,182 | |
| | FNFV GROUP | | TRACKING STK USD.0001 | | 69,156 | | | | 776,622 | |
| | FOAMIX PHARMACEUTICALS LTD | | COMMON STOCK | | 19,300 | | | | 156,523 | |
| | FOOT LOCKER INC | | COMMON STOCK USD.01 | | 118,200 | | | | 7,693,638 | |
| | FOREST CITY ENTERPRISES CL A | | COMMON STOCK USD.333 | | 188,081 | | | | 4,124,616 | |
| | FOREST LABORATORIES INC CVR | | COMMON STOCK | | 11,600 | | | | — | |
| | FORESTAR GROUP INC | | COMMON STOCK USD1. | | 31,533 | | | | 344,971 | |
| | FORMFACTOR INC | | COMMON STOCK USD.001 | | 51,797 | | | | 466,173 | |
| | FORRESTER RESEARCH INC | | COMMON STOCK USD.01 | | 8,700 | | | | 247,776 | |
| | FORTINET INC | | COMMON STOCK USD.001 | | 123,400 | | | | 3,846,378 | |
| | FORTUNE BRANDS HOME + SECURI | | COMMON STOCK USD.01 | | 137,200 | | | | 7,614,600 | |
| | FORUM ENERGY TECHNOLOGIES IN | | COMMON STOCK USD.01 | | 60,000 | | | | 747,600 | |
| | FORWARD AIR CORP | | COMMON STOCK USD.01 | | 26,140 | | | | 1,124,281 | |
| | FOSTER (LB) CO A | | COMMON STOCK USD.01 | | 12,086 | | | | 165,095 | |
| | FOUNDATION MEDICINE INC | | COMMON STOCK USD.0001 | | 10,334 | | | | 217,634 | |
| | FOUR CORNERS PROPERTY TRUST | | REIT USD.0001 | | 36,100 | | | | 872,176 | |
| | FOX CHASE BANCORP INC | | COMMON STOCK USD.01 | | 11,590 | | | | 235,161 | |
| | FOX FACTORY HOLDING CORP | | COMMON STOCK USD.001 | | 4,700 | | | | 77,691 | |
| | FRANCESCAS HOLDINGS CORP | | COMMON STOCK USD.01 | | 45,300 | | | | 788,673 | |
| | FRANK S INTERNATIONAL NV | | COMMON STOCK EUR.01 | | 32,500 | | | | 542,425 | |
| | FRANKLIN COVEY CO | | COMMON STOCK USD.05 | | 13,800 | | | | 231,012 | |
| | FRANKLIN ELECTRIC CO INC | | COMMON STOCK USD.1 | | 45,900 | | | | 1,240,677 | |
| | FRANKLIN STREET PROPERTIES C | | REIT USD.0001 | | 88,700 | | | | 918,045 | |
| | FRED S INC CLASS A | | COMMON STOCK | | 36,015 | | | | 589,566 | |
| | FREIGHTCAR AMERICA INC | | COMMON STOCK USD.01 | | 10,750 | | | | 208,873 | |
| | FRESH DEL MONTE PRODUCE W/D | | COMMON STOCK USD.01 | | 28,900 | | | | 1,123,632 | |
| | FRESH MARKET INC/THE | | COMMON STOCK USD.01 | | 41,300 | | | | 967,246 | |
| | FRESHPET INC | | COMMON STOCK USD.001 | | 15,200 | | | | 129,048 | |
| | FRONTLINE LTD | | COMMON STOCK USD1. | | 205,600 | | | | 614,744 | |
| | FRP HOLDINGS INC | | COMMON STOCK USD.1 | | 9,200 | | | | 312,248 | |
| | FTD COS INC | | COMMON STOCK USD.0001 | | 18,322 | | | | 479,487 | |
| | FTI CONSULTING INC | | COMMON STOCK USD.01 | | 35,400 | | | | 1,226,964 | |
| | FUELCELL ENERGY INC | | COMMON STOCK USD.0001 | | 13,024 | | | | 64,599 | |
| | FULTON FINANCIAL CORP | | COMMON STOCK USD2.5 | | 152,761 | | | | 1,987,421 | |
| | FURMANITE CORP | | COMMON STOCK | | 43,100 | | | | 287,046 | |
| | FUTUREFUEL CORP | | COMMON STOCK USD.0001 | | 29,700 | | | | 400,950 | |
| | G + K SERVICES INC CL A | | COMMON STOCK USD.5 | | 17,300 | | | | 1,088,170 | |
| | G III APPAREL GROUP LTD | | COMMON STOCK USD.01 | | 35,070 | | | | 1,552,198 | |
| | GAIN CAPITAL HOLDINGS INC | | COMMON STOCK USD.00001 | | 7,500 | | | | 60,825 | |
| | GALENA BIOPHARMA INC | | COMMON STOCK USD.0001 | | 99,200 | | | | 145,824 | |
| | GAMCO INVESTORS INC A | | COMMON STOCK USD.001 | | 6,690 | | | | 207,658 | |
| | GAMING AND LEISURE PROPERTIE | | REIT | | 80,422 | | | | 2,235,732 | |
| | GANNETT CO INC | | COMMON STOCK USD.01 | | 96,000 | | | | 1,563,840 | |
| | GARTNER INC | | COMMON STOCK USD.0005 | | 72,400 | | | | 6,566,680 | |
| | GASLOG LTD | | COMMON STOCK USD.01 | | 40,400 | | | | 335,320 | |
| | GASTAR EXPLORATION LTD | | COMMON STOCK USD.001 | | 48,000 | | | | 62,880 | |
| | GATX CORP | | COMMON STOCK USD.625 | | 41,600 | | | | 1,770,080 | |
| | GENERAC HOLDINGS INC | | COMMON STOCK USD.01 | | 61,800 | | | | 1,839,786 | |
| | GENERAL CABLE CORP | | COMMON STOCK USD.01 | | 49,550 | | | | 665,457 | |
| | GENERAL COMMUNICATION INC A | | COMMON STOCK | | 36,795 | | | | 727,805 | |
| | GENESCO INC | | COMMON STOCK USD1. | | 23,700 | | | | 1,346,871 | |
| | GENESEE + WYOMING INC CL A | | COMMON STOCK USD.01 | | 46,450 | | | | 2,493,901 | |
| | GENESIS HEALTHCARE INC | | COMMON STOCK USD.001 | | 27,576 | | | | 95,689 | |
| | GENMARK DIAGNOSTICS INC | | COMMON STOCK USD.0001 | | 33,500 | | | | 259,960 | |
| | GENOCEA BIOSCIENCES INC | | COMMON STOCK USD.001 | | 14,400 | | | | 75,888 | |
| | GENOMIC HEALTH INC | | COMMON STOCK USD.0001 | | 14,568 | | | | 512,794 | |
| | GENPACT LTD W/D | | COMMON STOCK USD.01 | | 132,087 | | | | 3,299,533 | |
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Table of Contents
| | GENTEX CORP | | COMMON STOCK USD.06 | | 254,264 | | | | 4,070,767 | |
| | GENTHERM INC | | COMMON STOCK | | 32,824 | | | | 1,555,858 | |
| | GENWORTH FINANCIAL INC CL A | | COMMON STOCK USD.001 | | 427,300 | | | | 1,593,829 | |
| | GEO GROUP INC/THE | | REIT USD.01 | | 70,035 | | | | 2,024,712 | |
| | GEOSPACE TECHNOLOGIES CORP | | COMMON STOCK USD.01 | | 12,600 | | | | 177,282 | |
| | GERMAN AMERICAN BANCORP | | COMMON STOCK | | 13,100 | | | | 436,492 | |
| | GERON CORP | | COMMON STOCK USD.001 | | 154,936 | | | | 749,890 | |
| | GETTY REALTY CORP | | REIT USD.01 | | 27,300 | | | | 468,195 | |
| | GIBRALTAR INDUSTRIES INC | | COMMON STOCK USD.01 | | 26,700 | | | | 679,248 | |
| | GIGAMON INC | | COMMON STOCK USD.0001 | | 21,700 | | | | 576,569 | |
| | GLACIER BANCORP INC | | COMMON STOCK USD.01 | | 69,919 | | | | 1,854,951 | |
| | GLADSTONE COMMERCIAL CORP | | REIT USD.001 | | 8,800 | | | | 128,392 | |
| | GLATFELTER | | COMMON STOCK USD.01 | | 39,084 | | | | 720,709 | |
| | GLOBAL BRASS + COPPER HOLDIN | | COMMON STOCK USD.01 | | 20,000 | | | | 426,000 | |
| | GLOBAL EAGLE ENTERTAINMENT I | | COMMON STOCK USD.0001 | | 27,100 | | | | 267,477 | |
| | GLOBAL INDEMNITY PLC | | COMMON STOCK USD.0001 | | 8,104 | | | | 235,178 | |
| | GLOBAL PAYMENTS INC | | COMMON STOCK | | 113,248 | | | | 7,305,628 | |
| | GLOBALSTAR INC | | COMMON STOCK USD.0001 | | 305,500 | | | | 439,920 | |
| | GLOBANT SA | | COMMON STOCK USD1.2 | | 11,300 | | | | 423,863 | |
| | GLOBUS MEDICAL INC A | | COMMON STOCK USD.001 | | 56,900 | | | | 1,582,958 | |
| | GLU MOBILE INC | | COMMON STOCK USD.0001 | | 71,100 | | | | 172,773 | |
| | GNC HOLDINGS INC CL A | | COMMON STOCK USD.001 | | 72,600 | | | | 2,252,052 | |
| | GODADDY INC CLASS A | | COMMON STOCK USD.001 | | 18,400 | | | | 589,904 | |
| | GOGO INC | | COMMON STOCK USD.0001 | | 54,800 | | | | 975,440 | |
| | GOLAR LNG LTD | | COMMON STOCK USD1. | | 75,931 | | | | 1,198,950 | |
| | GOLDEN OCEAN GROUP LTD | | COMMON STOCK USD.01 | | 21,300 | | | | 22,791 | |
| | GOPRO INC CLASS A | | COMMON STOCK USD.0001 | | 74,500 | | | | 1,341,745 | |
| | GORMAN RUPP CO | | COMMON STOCK | | 21,608 | | | | 577,582 | |
| | GOVERNMENT PROPERTIES INCOME | | REIT USD.01 | | 57,440 | | | | 911,573 | |
| | GP STRATEGIES CORP W/D | | COMMON STOCK USD.01 | | 11,300 | | | | 283,743 | |
| | GRACO INC | | COMMON STOCK USD1. | | 48,812 | | | | 3,517,881 | |
| | GRAHAM CORP | | COMMON STOCK USD.1 | | 9,800 | | | | 164,836 | |
| | GRAHAM HOLDINGS CO CLASS B | | COMMON STOCK USD1.0 | | 3,200 | | | | 1,551,904 | |
| | GRAMERCY PROPERTY TRUST | | REIT USD.01 | | 363,785 | | | | 2,808,424 | |
| | GRAND CANYON EDUCATION INC | | COMMON STOCK USD.01 | | 45,300 | | | | 1,817,436 | |
| | GRANITE CONSTRUCTION INC | | COMMON STOCK USD.01 | | 33,000 | | | | 1,416,030 | |
| | GRAPHIC PACKAGING HOLDING CO | | COMMON STOCK USD.01 | | 275,300 | | | | 3,532,099 | |
| | GRAY TELEVISION INC | | COMMON STOCK | | 49,200 | | | | 801,960 | |
| | GREAT LAKES DREDGE + DOCK CO | | COMMON STOCK USD.0001 | | 63,100 | | | | 249,876 | |
| | GREAT PLAINS ENERGY INC | | COMMON STOCK | | 136,429 | | | | 3,725,876 | |
| | GREAT SOUTHERN BANCORP INC | | COMMON STOCK USD.01 | | 12,338 | | | | 558,418 | |
| | GREAT WESTERN BANCORP INC | | COMMON STOCK USD.01 | | 33,000 | | | | 957,660 | |
| | GREATBATCH INC | | COMMON STOCK USD.001 | | 22,931 | | | | 1,203,878 | |
| | GREEN DOT CORP CLASS A | | COMMON STOCK USD.001 | | 42,300 | | | | 694,566 | |
| | GREEN PLAINS INC | | COMMON STOCK USD.001 | | 29,900 | | | | 684,710 | |
| | GREENBRIER COMPANIES INC | | COMMON STOCK | | 22,097 | | | | 720,804 | |
| | GREENHILL + CO INC | | COMMON STOCK USD.01 | | 26,200 | | | | 749,582 | |
| | GREENLIGHT CAPITAL RE LTD A | | COMMON STOCK USD.01 | | 27,400 | | | | 512,654 | |
| | GREIF INC CL A | | COMMON STOCK | | 26,606 | | | | 819,731 | |
| | GRIFFON CORP | | COMMON STOCK USD.25 | | 29,461 | | | | 524,406 | |
| | GROUP 1 AUTOMOTIVE INC | | COMMON STOCK USD.01 | | 21,100 | | | | 1,597,270 | |
| | GROUPON INC | | COMMON STOCK USD.0001 | | 428,600 | | | | 1,315,802 | |
| | GRUBHUB INC | | COMMON STOCK USD.0001 | | 62,100 | | | | 1,502,820 | |
| | GSI GROUP INC | | COMMON STOCK | | 26,300 | | | | 358,206 | |
| | GTT COMMUNICATIONS INC | | COMMON STOCK USD.0001 | | 18,600 | | | | 317,316 | |
| | GUARANTY BANCORP | | COMMON STOCK USD.001 | | 15,400 | | | | 254,716 | |
| | GUESS? INC | | COMMON STOCK USD.01 | | 53,477 | | | | 1,009,646 | |
| | GUIDANCE SOFTWARE INC | | COMMON STOCK USD.001 | | 11,500 | | | | 69,230 | |
| | GUIDEWIRE SOFTWARE INC | | COMMON STOCK USD.0001 | | 63,000 | | | | 3,790,080 | |
| | GULFMARK OFFSHORE INC CL A | | COMMON STOCK USD.01 | | 26,596 | | | | 124,203 | |
| | GULFPORT ENERGY CORP | | COMMON STOCK USD.01 | | 93,119 | | | | 2,287,934 | |
| | H+E EQUIPMENT SERVICES INC | | COMMON STOCK USD.01 | | 29,500 | | | | 515,660 | |
| | H.B. FULLER CO. | | COMMON STOCK USD1. | | 43,500 | | | | 1,586,445 | |
| | HABIT RESTAURANTS INC/THE A | | COMMON STOCK USD.01 | | 11,600 | | | | 267,496 | |
| | HACKETT GROUP INC/THE | | COMMON STOCK USD.001 | | 20,774 | | | | 333,838 | |
| | HAEMONETICS CORP/MASS | | COMMON STOCK USD.01 | | 44,712 | | | | 1,441,515 | |
| | HAIN CELESTIAL GROUP INC | | COMMON STOCK USD.01 | | 90,294 | | | | 3,646,975 | |
| | HALCON RESOURCES CORP | | COMMON STOCK USD.0001 | | 47,528 | | | | 59,886 | |
| | HALLMARK FINL SERVICES INC | | COMMON STOCK USD.18 | | 15,800 | | | | 184,702 | |
| | HALOZYME THERAPEUTICS INC | | COMMON STOCK USD.001 | | 92,100 | | | | 1,596,093 | |
| | HALYARD HEALTH INC | | COMMON STOCK USD.01 | | 42,500 | | | | 1,419,925 | |
| | HAMPTON ROADS BANKSHARES INC | | COMMON STOCK USD.625 | | 1,000 | | | | 1,840 | |
| | HANCOCK HOLDING CO | | COMMON STOCK USD3.33 | | 67,362 | | | | 1,695,502 | |
| | HANGER INC | | COMMON STOCK USD.01 | | 33,600 | | | | 552,720 | |
| | HANMI FINANCIAL CORPORATION | | COMMON STOCK USD.001 | | 27,549 | | | | 653,462 | |
| | HANNON ARMSTRONG SUSTAINABLE | | REIT USD.01 | | 29,800 | | | | 563,816 | |
| | HANOVER INSURANCE GROUP INC/ | | COMMON STOCK USD.01 | | 36,700 | | | | 2,985,178 | |
| | HARMONIC INC | | COMMON STOCK USD.001 | | 102,014 | | | | 415,197 | |
| | HARSCO CORP | | COMMON STOCK USD1.25 | | 80,850 | | | | 637,098 | |
| | HARTE HANKS INC | | COMMON STOCK USD1. | | 43,050 | | | | 139,482 | |
| | HARVARD BIOSCIENCE INC | | COMMON STOCK USD.01 | | 6,600 | | | | 22,902 | |
| | HATTERAS FINANCIAL CORP | | REIT USD.001 | | 83,600 | | | | 1,099,340 | |
| | HAVERTY FURNITURE | | COMMON STOCK USD1. | | 20,400 | | | | 437,376 | |
| | HAWAIIAN ELECTRIC INDS | | COMMON STOCK | | 95,600 | | | | 2,767,620 | |
| | HAWAIIAN HOLDINGS INC | | COMMON STOCK USD.01 | | 39,000 | | | | 1,377,870 | |
| | HAWAIIAN TELCOM HOLDCO INC | | COMMON STOCK USD.01 | | 11,800 | | | | 293,348 | |
| | HAWKINS INC | | COMMON STOCK USD.05 | | 11,100 | | | | 397,047 | |
| | HAYNES INTERNATIONAL INC | | COMMON STOCK USD.001 | | 12,700 | | | | 465,963 | |
| | HCI GROUP INC | | COMMON STOCK | | 8,300 | | | | 289,255 | |
| | HD SUPPLY HOLDINGS INC | | COMMON STOCK USD.01 | | 143,700 | | | | 4,315,311 | |
| | HEADWATERS INC | | COMMON STOCK USD.001 | | 64,600 | | | | 1,089,802 | |
47
Table of Contents
| | HEALTH NET INC | | COMMON STOCK USD.001 | | 67,258 | | | | 4,604,483 | |
| | HEALTHCARE REALTY TRUST INC | | REIT USD.01 | | 89,900 | | | | 2,545,968 | |
| | HEALTHCARE SERVICES GROUP | | COMMON STOCK USD.01 | | 61,808 | | | | 2,155,245 | |
| | HEALTHCARE TRUST OF AME CL A | | REIT USD.01 | | 109,350 | | | | 2,949,170 | |
| | HEALTHEQUITY INC | | COMMON STOCK USD.0001 | | 29,100 | | | | 729,537 | |
| | HEALTHSOUTH CORP W/D | | COMMON STOCK USD.01 | | 79,100 | | | | 2,753,471 | |
| | HEALTHSTREAM INC | | COMMON STOCK | | 18,600 | | | | 409,200 | |
| | HEALTHWAYS INC | | COMMON STOCK USD.001 | | 36,100 | | | | 464,607 | |
| | HEARTLAND EXPRESS INC | | COMMON STOCK USD.01 | | 52,210 | | | | 888,614 | |
| | HEARTLAND FINANCIAL USA INC | | COMMON STOCK USD1. | | 17,506 | | | | 548,988 | |
| | HEARTLAND PAYMENT SYSTEMS IN | | COMMON STOCK USD.001 | | 32,900 | | | | 3,119,578 | |
| | HEARTWARE INTERNATIONAL INC | | COMMON STOCK USD.001 | | 16,200 | | | | 816,480 | |
| | HECLA MINING CO | | COMMON STOCK USD.25 | | 339,335 | | | | 641,343 | |
| | HEICO CORP | | COMMON STOCK USD.01 | | 15,441 | | | | 839,373 | |
| | HEICO CORP CLASS A | | COMMON STOCK USD.01 | | 32,700 | | | | 1,608,840 | |
| | HEIDRICK + STRUGGLES INTL | | COMMON STOCK USD.01 | | 18,300 | | | | 498,126 | |
| | HELEN OF TROY LTD | | COMMON STOCK USD.1 | | 24,600 | | | | 2,318,550 | |
| | HELIX ENERGY SOLUTIONS GROUP | | COMMON STOCK | | 96,294 | | | | 506,506 | |
| | HERBALIFE LTD | | COMMON STOCK USD.002 | | 61,600 | | | | 3,302,992 | |
| | HERITAGE COMMERCE CORP | | COMMON STOCK | | 19,500 | | | | 233,220 | |
| | HERITAGE CRYSTAL CLEAN INC | | COMMON STOCK USD.01 | | 200 | | | | 2,120 | |
| | HERITAGE FINANCIAL CORP | | COMMON STOCK | | 30,738 | | | | 579,104 | |
| | HERITAGE INSURANCE HOLDINGS | | COMMON STOCK USD.0001 | | 18,700 | | | | 408,034 | |
| | HERMAN MILLER INC | | COMMON STOCK USD.2 | | 56,505 | | | | 1,621,694 | |
| | HERON THERAPEUTICS INC | | COMMON STOCK USD.01 | | 22,900 | | | | 611,430 | |
| | HERSHA HOSPITALITY TRUST | | REIT USD.01 | | 47,426 | | | | 1,031,990 | |
| | HERTZ GLOBAL HOLDINGS INC | | COMMON STOCK USD.01 | | 359,000 | | | | 5,108,570 | |
| | HESKA CORP | | COMMON STOCK USD.001 | | 1,000 | | | | 38,680 | |
| | HEXCEL CORP | | COMMON STOCK USD.01 | | 80,400 | | | | 3,734,580 | |
| | HFF INC CLASS A | | COMMON STOCK USD.01 | | 32,100 | | | | 997,347 | |
| | HIBBETT SPORTS INC | | COMMON STOCK USD.01 | | 24,275 | | | | 734,076 | |
| | HIGHWOODS PROPERTIES INC | | REIT USD.01 | | 82,200 | | | | 3,583,920 | |
| | HILL ROM HOLDINGS INC | | COMMON STOCK | | 47,700 | | | | 2,292,462 | |
| | HILLENBRAND INC | | COMMON STOCK | | 58,276 | | | | 1,726,718 | |
| | HILLTOP HOLDINGS INC | | COMMON STOCK USD.01 | | 66,664 | | | | 1,281,282 | |
| | HILTON WORLDWIDE HOLDINGS IN | | COMMON STOCK USD.01 | | 452,400 | | | | 9,681,360 | |
| | HMS HOLDINGS CORP | | COMMON STOCK USD.01 | | 86,000 | | | | 1,061,240 | |
| | HNI CORP | | COMMON STOCK USD1. | | 36,600 | | | | 1,319,796 | |
| | HOLLYFRONTIER CORP | | COMMON STOCK USD.01 | | 157,606 | | | | 6,286,903 | |
| | HOLOGIC INC | | COMMON STOCK USD.01 | | 214,335 | | | | 8,292,621 | |
| | HOME BANCSHARES INC | | COMMON STOCK USD.01 | | 45,370 | | | | 1,838,392 | |
| | HOMESTREET INC | | COMMON STOCK | | 15,832 | | | | 343,713 | |
| | HOMETRUST BANCSHARES INC | | COMMON STOCK | | 19,400 | | | | 392,850 | |
| | HOOKER FURNITURE CORP | | COMMON STOCK | | 1,600 | | | | 40,384 | |
| | HORACE MANN EDUCATORS | | COMMON STOCK USD.001 | | 38,500 | | | | 1,277,430 | |
| | HORIZON BANCORP INDIANA | | COMMON STOCK | | 8,400 | | | | 234,864 | |
| | HORIZON GLOBAL CORP | | COMMON STOCK USD.01 | | 15,600 | | | | 161,772 | |
| | HORNBECK OFFSHORE SERVICES | | COMMON STOCK USD.01 | | 33,800 | | | | 335,972 | |
| | HORSEHEAD HOLDING CORP | | COMMON STOCK USD.01 | | 47,800 | | | | 97,990 | |
| | HOSPITALITY PROPERTIES TRUST | | REIT USD.01 | | 134,100 | | | | 3,506,715 | |
| | HOUGHTON MIFFLIN HARCOURT CO | | COMMON STOCK USD.01 | | 120,700 | | | | 2,628,846 | |
| | HOULIHAN LOKEY INC | | COMMON STOCK USD.001 | | 4,100 | | | | 107,461 | |
| | HOVNANIAN ENTERPRISES A | | COMMON STOCK USD.01 | | 125,200 | | | | 226,612 | |
| | HOWARD HUGHES CORP/THE | | COMMON STOCK | | 34,904 | | | | 3,949,737 | |
| | HRG GROUP INC | | COMMON STOCK USD.01 | | 67,970 | | | | 921,673 | |
| | HSN INC | | COMMON STOCK USD.01 | | 30,300 | | | | 1,535,301 | |
| | HUB GROUP INC CL A | | COMMON STOCK USD.01 | | 30,280 | | | | 997,726 | |
| | HUBBELL INC | | COMMON STOCK USD.01 | | 48,422 | | | | 4,892,559 | |
| | HUBSPOT INC | | COMMON STOCK USD.001 | | 14,900 | | | | 839,019 | |
| | HUDSON PACIFIC PROPERTIES IN | | REIT USD.01 | | 63,600 | | | | 1,789,704 | |
| | HUNTINGTON INGALLS INDUSTRIE | | COMMON STOCK USD.01 | | 42,027 | | | | 5,331,125 | |
| | HUNTSMAN CORP | | COMMON STOCK USD.01 | | 176,633 | | | | 2,008,317 | |
| | HURCO COMPANIES INC | | COMMON STOCK | | 9,000 | | | | 239,040 | |
| | HURON CONSULTING GROUP INC | | COMMON STOCK USD.01 | | 22,294 | | | | 1,324,264 | |
| | HYATT HOTELS CORP CL A | | COMMON STOCK USD.01 | | 27,900 | | | | 1,311,858 | |
| | HYSTER YALE MATERIALS | | COMMON STOCK USD.01 | | 10,240 | | | | 537,088 | |
| | IAC/INTERACTIVECORP | | COMMON STOCK USD.001 | | 61,400 | | | | 3,687,070 | |
| | IBERIABANK CORP | | COMMON STOCK USD1. | | 33,775 | | | | 1,859,989 | |
| | ICF INTERNATIONAL INC | | COMMON STOCK USD.001 | | 17,000 | | | | 604,520 | |
| | ICONIX BRAND GROUP INC | | COMMON STOCK USD.001 | | 44,300 | | | | 302,569 | |
| | ICU MEDICAL INC | | COMMON STOCK USD.1 | | 13,809 | | | | 1,557,379 | |
| | IDACORP INC | | COMMON STOCK | | 43,581 | | | | 2,963,508 | |
| | IDERA PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 77,500 | | | | 239,475 | |
| | IDEX CORP | | COMMON STOCK USD.01 | | 65,187 | | | | 4,993,976 | |
| | IDEXX LABORATORIES INC | | COMMON STOCK USD.1 | | 81,066 | | | | 5,911,333 | |
| | IDT CORP CLASS B | | COMMON STOCK USD.01 | | 17,100 | | | | 199,386 | |
| | IGNYTA INC | | COMMON STOCK | | 22,000 | | | | 294,800 | |
| | IHS INC CLASS A | | COMMON STOCK USD.01 | | 60,575 | | | | 7,173,897 | |
| | II VI INC | | COMMON STOCK | | 53,600 | | | | 994,816 | |
| | IMAX CORP | | COMMON STOCK | | 49,900 | | | | 1,773,446 | |
| | IMMERSION CORPORATION | | COMMON STOCK USD.001 | | 23,400 | | | | 272,844 | |
| | IMMUNE DESIGN CORP | | COMMON STOCK USD.001 | | 1,500 | | | | 30,120 | |
| | IMMUNOGEN INC | | COMMON STOCK USD.01 | | 74,504 | | | | 1,011,019 | |
| | IMMUNOMEDICS INC | | COMMON STOCK USD.01 | | 92,300 | | | | 283,361 | |
| | IMPAX LABORATORIES INC | | COMMON STOCK USD.01 | | 61,300 | | | | 2,621,188 | |
| | IMPERVA INC | | COMMON STOCK USD.0001 | | 22,600 | | | | 1,430,806 | |
| | IMS HEALTH HOLDINGS INC | | COMMON STOCK USD.01 | | 111,300 | | | | 2,834,811 | |
| | INC RESEARCH HOLDINGS INC A | | COMMON STOCK USD.01 | | 11,200 | | | | 543,312 | |
| | INCONTACT INC | | COMMON STOCK USD.0001 | | 48,200 | | | | 459,828 | |
| | INCYTE CORP | | COMMON STOCK USD.001 | | 135,339 | | | | 14,677,515 | |
| | INDEPENDENCE HOLDING CO | | COMMON STOCK USD1. | | 16,070 | | | | 222,570 | |
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Table of Contents
| | INDEPENDENCE REALTY TRUST IN | | REIT USD.01 | | 9,400 | | | | 70,594 | |
| | INDEPENDENT BANK CORP MICH | | COMMON STOCK USD1. | | 10,600 | | | | 161,438 | |
| | INDEPENDENT BANK CORP/MA | | COMMON STOCK USD.01 | | 23,300 | | | | 1,083,916 | |
| | INDEPENDENT BANK GROUP INC | | COMMON STOCK USD.01 | | 10,200 | | | | 326,400 | |
| | INFINERA CORP | | COMMON STOCK USD.001 | | 111,200 | | | | 2,014,944 | |
| | INFINITY PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 53,864 | | | | 422,832 | |
| | INFINITY PROPERTY + CASUALTY | | COMMON STOCK | | 12,080 | | | | 993,338 | |
| | INFOBLOX INC | | COMMON STOCK USD.0001 | | 46,200 | | | | 849,618 | |
| | INFRAREIT INC | | REIT USD.01 | | 21,000 | | | | 388,500 | |
| | INGLES MARKETS INC CLASS A | | COMMON STOCK USD.05 | | 11,931 | | | | 525,918 | |
| | INGRAM MICRO INC CL A | | COMMON STOCK USD.01 | | 141,444 | | | | 4,297,069 | |
| | INGREDION INC | | COMMON STOCK USD.01 | | 59,600 | | | | 5,712,064 | |
| | INLAND REAL ESTATE CORP | | REIT USD.01 | | 85,400 | | | | 906,948 | |
| | INNERWORKINGS INC | | COMMON STOCK USD.0001 | | 45,500 | | | | 341,250 | |
| | INNOPHOS HOLDINGS INC | | COMMON STOCK USD.001 | | 16,983 | | | | 492,167 | |
| | INNOSPEC INC | | COMMON STOCK USD.01 | | 23,204 | | | | 1,260,209 | |
| | INNOVIVA INC | | COMMON STOCK | | 68,200 | | | | 718,828 | |
| | INOGEN INC | | COMMON STOCK USD.001 | | 12,200 | | | | 489,098 | |
| | INOVALON HOLDINGS INC A | | COMMON STOCK USD.000005 | | 23,200 | | | | 394,400 | |
| | INOVIO PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 51,400 | | | | 345,408 | |
| | INPHI CORP | | COMMON STOCK | | 30,500 | | | | 824,110 | |
| | INSIGHT ENTERPRISES INC | | COMMON STOCK USD.01 | | 39,950 | | | | 1,003,544 | |
| | INSMED INC | | COMMON STOCK USD.01 | | 54,200 | | | | 983,730 | |
| | INSPERITY INC WD | | COMMON STOCK USD.01 | | 15,400 | | | | 741,510 | |
| | INSTALLED BUILDING PRODUCTS | | COMMON STOCK USD.01 | | 14,800 | | | | 367,484 | |
| | INSTEEL INDUSTRIES INC | | COMMON STOCK | | 17,950 | | | | 375,514 | |
| | INSULET CORP | | COMMON STOCK USD.001 | | 52,700 | | | | 1,992,587 | |
| | INSYS THERAPEUTICS INC | | COMMON STOCK USD.0002145 | | 19,900 | | | | 569,737 | |
| | INTEGRA LIFESCIENCES HOLDING | | COMMON STOCK USD.01 | | 23,600 | | | | 1,599,608 | |
| | INTEGRATED DEVICE TECH INC | | COMMON STOCK USD.001 | | 124,852 | | | | 3,289,850 | |
| | INTELIQUENT INC | | COMMON STOCK USD.001 | | 32,200 | | | | 572,194 | |
| | INTELSAT SA | | COMMON STOCK USD.01 | | 27,300 | | | | 113,568 | |
| | INTER PARFUMS INC | | COMMON STOCK USD.001 | | 17,262 | | | | 411,181 | |
| | INTERACTIVE BROKERS GRO CL A | | COMMON STOCK USD.01 | | 49,700 | | | | 2,166,920 | |
| | INTERACTIVE INTELLIGENCE GRO | | COMMON STOCK USD.01 | | 18,200 | | | | 571,844 | |
| | INTERCEPT PHARMACEUTICALS IN | | COMMON STOCK USD.001 | | 13,800 | | | | 2,061,030 | |
| | INTERDIGITAL INC | | COMMON STOCK USD.01 | | 34,400 | | | | 1,686,976 | |
| | INTERFACE INC | | COMMON STOCK USD.1 | | 57,900 | | | | 1,108,206 | |
| | INTERNAP CORP | | COMMON STOCK USD.001 | | 63,565 | | | | 406,816 | |
| | INTERNATIONAL BANCSHARES CRP | | COMMON STOCK USD1. | | 46,847 | | | | 1,203,968 | |
| | INTERNATIONAL GAME TECHNOLOG | | COMMON STOCK USD.1 | | 76,800 | | | | 1,242,624 | |
| | INTERSECT ENT INC | | COMMON STOCK USD.001 | | 14,400 | | | | 324,000 | |
| | INTERSIL CORP A | | COMMON STOCK USD.01 | | 120,684 | | | | 1,539,928 | |
| | INTERVAL LEISURE GROUP | | COMMON STOCK USD.01 | | 41,800 | | | | 652,498 | |
| | INTL FCSTONE INC | | COMMON STOCK USD.01 | | 10,677 | | | | 357,252 | |
| | INTL SPEEDWAY CORP CL A | | COMMON STOCK USD.01 | | 27,300 | | | | 920,556 | |
| | INTRA CELLULAR THERAPIES INC | | COMMON STOCK USD.0001 | | 21,700 | | | | 1,167,243 | |
| | INTRALINKS HOLDINGS INC | | COMMON STOCK USD.001 | | 40,000 | | | | 362,800 | |
| | INTRAWEST RESORTS HOLDINGS I | | COMMON STOCK USD.01 | | 23,400 | | | | 182,988 | |
| | INTREPID POTASH INC | | COMMON STOCK USD.001 | | 49,100 | | | | 144,845 | |
| | INTREXON CORP | | COMMON STOCK | | 40,200 | | | | 1,212,030 | |
| | INVACARE CORP | | COMMON STOCK USD.25 | | 36,700 | | | | 638,213 | |
| | INVENSENSE INC | | COMMON STOCK USD.001 | | 64,800 | | | | 662,904 | |
| | INVESCO MORTGAGE CAPITAL | | REIT USD.01 | | 106,500 | | | | 1,319,535 | |
| | INVESTMENT TECHNOLOGY GROUP | | COMMON STOCK USD.01 | | 29,600 | | | | 503,792 | |
| | INVESTORS BANCORP INC | | COMMON STOCK USD.01 | | 290,511 | | | | 3,613,957 | |
| | INVESTORS REAL ESTATE TRUST | | REIT | | 111,000 | | | | 771,450 | |
| | INVIVO THERAPEUTICS HOLDINGS | | COMMON STOCK USD.00001 | | 19,600 | | | | 141,120 | |
| | ION GEOPHYSICAL CORP | | COMMON STOCK USD.01 | | 129,100 | | | | 64,950 | |
| | IONIS PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 100,900 | | | | 6,248,737 | |
| | IPG PHOTONICS CORP | | COMMON STOCK USD.0001 | | 31,600 | | | | 2,817,456 | |
| | IRADIMED CORP | | COMMON STOCK USD.0001 | | 1,400 | | | | 39,242 | |
| | IRIDIUM COMMUNICATIONS INC | | COMMON STOCK USD.001 | | 71,900 | | | | 604,679 | |
| | IROBOT CORP | | COMMON STOCK USD.01 | | 26,925 | | | | 953,145 | |
| | IRONWOOD PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 97,500 | | | | 1,130,025 | |
| | ISLE OF CAPRI CASINOS | | COMMON STOCK USD.01 | | 26,400 | | | | 367,752 | |
| | ISRAMCO INC | | COMMON STOCK USD.01 | | 1,400 | | | | 125,034 | |
| | ISTAR INC | | REIT USD.001 | | 85,318 | | | | 1,000,780 | |
| | ITC HOLDINGS CORP | | COMMON STOCK | | 131,800 | | | | 5,173,150 | |
| | ITRON INC | | COMMON STOCK | | 39,300 | | | | 1,421,874 | |
| | ITT CORP | | COMMON STOCK USD1. | | 74,200 | | | | 2,694,944 | |
| | IXIA | | COMMON STOCK | | 62,500 | | | | 776,875 | |
| | IXYS CORPORATION | | COMMON STOCK USD.01 | | 23,580 | | | | 297,815 | |
| | J + J SNACK FOODS CORP | | COMMON STOCK | | 12,822 | | | | 1,495,943 | |
| | J ALEXANDER S HOLDINGS | | COMMON STOCK USD.001 | | 11,944 | | | | 130,428 | |
| | J.C. PENNEY CO INC | | COMMON STOCK USD.5 | | 263,834 | | | | 1,757,134 | |
| | J2 GLOBAL INC | | COMMON STOCK USD.01 | | 41,660 | | | | 3,429,451 | |
| | JABIL CIRCUIT INC | | COMMON STOCK USD.001 | | 161,400 | | | | 3,759,006 | |
| | JACK HENRY + ASSOCIATES INC | | COMMON STOCK USD.01 | | 68,300 | | | | 5,331,498 | |
| | JACK IN THE BOX INC | | COMMON STOCK USD.01 | | 31,022 | | | | 2,379,698 | |
| | JAKKS PACIFIC INC | | COMMON STOCK USD.001 | | 18,700 | | | | 148,852 | |
| | JAMBA INC | | COMMON STOCK USD.001 | | 15,700 | | | | 211,793 | |
| | JAMES RIVER GROUP HOLDINGS L | | COMMON STOCK USD.0002 | | 7,100 | | | | 238,134 | |
| | JANUS CAPITAL GROUP INC | | COMMON STOCK USD.01 | | 126,900 | | | | 1,788,021 | |
| | JARDEN CORP | | COMMON STOCK USD.01 | | 181,748 | | | | 10,381,446 | |
| | JAZZ PHARMACEUTICALS PLC | | COMMON STOCK USD.0001 | | 53,400 | | | | 7,505,904 | |
| | JETBLUE AIRWAYS CORP | | COMMON STOCK USD.01 | | 272,685 | | | | 6,176,315 | |
| | JG WENTWORTH CO CL A | | COMMON STOCK USD.00001 | | 3,700 | | | | 6,660 | |
| | JIVE SOFTWARE INC | | COMMON STOCK | | 44,500 | | | | 181,560 | |
| | JOHN B. SANFILIPPO + SON INC | | COMMON STOCK USD.01 | | 8,200 | | | | 443,046 | |
| | JOHN BEAN TECHNOLOGIES CORP | | COMMON STOCK USD.01 | | 29,465 | | | | 1,468,241 | |
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Table of Contents
| | JOHNSON OUTDOORS INC A | | COMMON STOCK USD.05 | | 9,200 | | | | 201,388 | |
| | JONES LANG LASALLE INC | | COMMON STOCK USD.01 | | 39,800 | | | | 6,362,428 | |
| | JOURNAL MEDIA GROUP INC | | COMMON STOCK USD.01 | | 14,556 | | | | 174,963 | |
| | JOY GLOBAL INC | | COMMON STOCK USD1. | | 83,800 | | | | 1,056,718 | |
| | JUNO THERAPEUTICS INC | | COMMON STOCK USD.0001 | | 9,400 | | | | 413,318 | |
| | K12 INC | | COMMON STOCK USD.0001 | | 28,100 | | | | 247,280 | |
| | K2M GROUP HOLDINGS INC | | COMMON STOCK USD.001 | | 15,300 | | | | 302,022 | |
| | KADANT INC | | COMMON STOCK USD.01 | | 11,344 | | | | 460,680 | |
| | KAISER ALUMINUM CORP | | COMMON STOCK USD.01 | | 14,800 | | | | 1,238,168 | |
| | KAMAN CORP | | COMMON STOCK USD1. | | 23,654 | | | | 965,320 | |
| | KANSAS CITY LIFE INS CO | | COMMON STOCK USD1.25 | | 5,940 | | | | 227,443 | |
| | KAPSTONE PAPER AND PACKAGING | | COMMON STOCK USD.0001 | | 75,900 | | | | 1,714,581 | |
| | KAR AUCTION SERVICES INC | | COMMON STOCK USD.01 | | 118,400 | | | | 4,384,352 | |
| | KARYOPHARM THERAPEUTICS INC | | COMMON STOCK USD.0001 | | 11,600 | | | | 153,700 | |
| | KATE SPADE + CO | | COMMON STOCK USD1.0 | | 118,071 | | | | 2,098,122 | |
| | KB HOME | | COMMON STOCK USD1. | | 81,300 | | | | 1,002,429 | |
| | KBR INC | | COMMON STOCK USD.001 | | 120,487 | | | | 2,038,640 | |
| | KCG HOLDINGS INC CL A | | COMMON STOCK USD.01 | | 30,463 | | | | 375,000 | |
| | KEARNY FINANCIAL CORP/MD | | COMMON STOCK USD.01 | | 74,653 | | | | 945,854 | |
| | KELLY SERVICES INC A | | COMMON STOCK USD1. | | 32,000 | | | | 516,800 | |
| | KEMPER CORP | | COMMON STOCK USD.1 | | 35,500 | | | | 1,322,375 | |
| | KENNAMETAL INC | | COMMON STOCK USD1.25 | | 72,110 | | | | 1,384,512 | |
| | KENNEDY WILSON HOLDINGS INC | | COMMON STOCK USD.0001 | | 81,800 | | | | 1,969,744 | |
| | KERYX BIOPHARMACEUTICALS | | COMMON STOCK USD.001 | | 87,100 | | | | 439,855 | |
| | KEY ENERGY SERVICES INC | | COMMON STOCK USD.1 | | 115,108 | | | | 55,494 | |
| | KEYSIGHT TECHNOLOGIES IN | | COMMON STOCK | | 143,800 | | | | 4,073,854 | |
| | KEYW HOLDING CORP/THE | | COMMON STOCK | | 24,500 | | | | 147,490 | |
| | KFORCE INC | | COMMON STOCK USD.01 | | 21,390 | | | | 540,739 | |
| | KILROY REALTY CORP | | REIT USD.01 | | 75,181 | | | | 4,757,454 | |
| | KIMBALL ELECTRONICS INC | | COMMON STOCK | | 28,800 | | | | 316,512 | |
| | KIMBALL INTERNATIONAL B | | COMMON STOCK USD.05 | | 38,400 | | | | 375,168 | |
| | KINDRED HEALTHCARE INC | | COMMON STOCK USD.25 | | 67,924 | | | | 808,975 | |
| | KING DIGITAL ENTERTAINMENT P | | COMMON STOCK USD.000149 | | 64,400 | | | | 1,151,472 | |
| | KIRBY CORP | | COMMON STOCK USD.1 | | 48,251 | | | | 2,538,968 | |
| | KIRKLAND S INC | | COMMON STOCK | | 17,800 | | | | 258,100 | |
| | KITE PHARMA INC | | COMMON STOCK USD.001 | | 23,600 | | | | 1,454,232 | |
| | KITE REALTY GROUP TRUST | | REIT USD.01 | | 68,700 | | | | 1,781,391 | |
| | KLX INC | | COMMON STOCK USD.01 | | 46,900 | | | | 1,444,051 | |
| | KMG CHEMICALS INC | | COMMON STOCK USD.01 | | 1,500 | | | | 34,530 | |
| | KNIGHT TRANSPORTATION INC | | COMMON STOCK USD.01 | | 55,887 | | | | 1,354,142 | |
| | KNOLL INC | | COMMON STOCK USD.01 | | 41,100 | | | | 772,680 | |
| | KNOWLES CORP | | COMMON STOCK USD.01 | | 83,500 | | | | 1,113,055 | |
| | KOPIN CORP | | COMMON STOCK USD.01 | | 75,929 | | | | 206,527 | |
| | KOPPERS HOLDINGS INC | | COMMON STOCK USD.01 | | 22,800 | | | | 416,100 | |
| | KORN/FERRY INTERNATIONAL | | COMMON STOCK USD.01 | | 46,400 | | | | 1,539,552 | |
| | KOSMOS ENERGY LTD | | COMMON STOCK USD.01 | | 127,500 | | | | 663,000 | |
| | KRATON PERFORMANCE POLYMERS | | COMMON STOCK USD.01 | | 31,800 | | | | 528,198 | |
| | KRATOS DEFENSE + SECURITY | | COMMON STOCK USD.001 | | 36,973 | | | | 151,589 | |
| | KRISPY KREME DOUGHNUTS INC | | COMMON STOCK | | 56,300 | | | | 848,441 | |
| | KRONOS WORLDWIDE INC | | COMMON STOCK USD.01 | | 26,800 | | | | 151,152 | |
| | KVH INDUSTRIES INC | | COMMON STOCK USD.01 | | 15,103 | | | | 142,270 | |
| | LA JOLLA PHARMACEUTICAL CO | | COMMON STOCK USD.01 | | 10,000 | | | | 270,000 | |
| | LA QUINTA HOLDINGS INC | | COMMON STOCK USD.01 | | 77,000 | | | | 1,047,970 | |
| | LA Z BOY INC | | COMMON STOCK USD1. | | 44,300 | | | | 1,081,806 | |
| | LACLEDE GROUP INC/THE | | COMMON STOCK USD1. | | 40,500 | | | | 2,406,105 | |
| | LADDER CAPITAL CORP REIT | | REIT USD.001 | | 31,000 | | | | 385,020 | |
| | LADENBURG THALMANN FINANCIAL | | COMMON STOCK USD.0001 | | 118,300 | | | | 326,508 | |
| | LAKELAND BANCORP INC | | COMMON STOCK | | 25,045 | | | | 295,281 | |
| | LAKELAND FINANCIAL CORP | | COMMON STOCK | | 17,100 | | | | 797,202 | |
| | LAMAR ADVERTISING CO A | | REIT USD.001 | | 71,954 | | | | 4,315,801 | |
| | LANCASTER COLONY CORP | | COMMON STOCK | | 16,050 | | | | 1,853,133 | |
| | LANDAUER INC | | COMMON STOCK USD.1 | | 10,000 | | | | 329,200 | |
| | LANDEC CORP | | COMMON STOCK USD.001 | | 26,549 | | | | 314,075 | |
| | LANDS END INC | | COMMON STOCK USD.01 | | 15,701 | | | | 368,031 | |
| | LANDSTAR SYSTEM INC | | COMMON STOCK USD.01 | | 39,600 | | | | 2,322,540 | |
| | LANNETT CO INC | | COMMON STOCK USD.001 | | 24,700 | | | | 990,964 | |
| | LAREDO PETROLEUM INC | | COMMON STOCK USD.01 | | 105,500 | | | | 842,945 | |
| | LAS VEGAS SANDS CORP | | COMMON STOCK USD.001 | | 316,150 | | | | 13,860,016 | |
| | LASALLE HOTEL PROPERTIES | | REIT USD.01 | | 95,400 | | | | 2,400,264 | |
| | LATTICE SEMICONDUCTOR CORP | | COMMON STOCK USD.01 | | 112,300 | | | | 726,581 | |
* | | LAZARD LTD CL A | | MLP USD.01 | | 105,500 | | | | 4,748,555 | |
| | LDR HOLDING CORP | | COMMON STOCK USD.001 | | 20,100 | | | | 504,711 | |
| | LEAR CORP | | COMMON STOCK USD.01 | | 65,800 | | | | 8,082,214 | |
| | LEGACYTEXAS FINANCIAL GROUP | | COMMON STOCK USD.01 | | 38,760 | | | | 969,775 | |
| | LEIDOS HOLDINGS INC | | COMMON STOCK USD.0001 | | 58,500 | | | | 3,291,210 | |
| | LEMAITRE VASCULAR INC | | COMMON STOCK USD.01 | | 9,100 | | | | 156,975 | |
| | LENDINGCLUB CORP | | COMMON STOCK USD.01 | | 60,900 | | | | 672,945 | |
| | LENDINGTREE INC | | COMMON STOCK USD.01 | | 5,400 | | | | 482,112 | |
| | LENNOX INTERNATIONAL INC | | COMMON STOCK USD.01 | | 33,733 | | | | 4,213,252 | |
| | LEXICON PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 35,242 | | | | 469,071 | |
| | LEXINGTON REALTY TRUST | | REIT USD.0001 | | 194,693 | | | | 1,557,544 | |
| | LEXMARK INTERNATIONAL INC A | | COMMON STOCK USD.01 | | 56,400 | | | | 1,830,180 | |
| | LGI HOMES INC | | COMMON STOCK USD.01 | | 10,200 | | | | 248,166 | |
| | LHC GROUP INC | | COMMON STOCK USD.01 | | 11,249 | | | | 509,467 | |
| | LIBBEY INC | | COMMON STOCK USD.01 | | 22,600 | | | | 481,832 | |
| | LIBERTY BROADBAND A | | COMMON STOCK USD.01 | | 21,442 | | | | 1,107,479 | |
| | LIBERTY BROADBAND C | | COMMON STOCK USD.01 | | 57,530 | | | | 2,983,506 | |
| | LIBERTY INTERACTIVE CORP Q A | | TRACKING STK USD.01 | | 427,772 | | | | 11,686,731 | |
| | LIBERTY MEDIA CORP A | | COMMON STOCK USD.01 | | 91,468 | | | | 3,590,119 | |
| | LIBERTY MEDIA CORP C | | COMMON STOCK USD.01 | | 171,536 | | | | 6,532,091 | |
| | LIBERTY PROPERTY TRUST | | REIT USD.001 | | 134,600 | | | | 4,179,330 | |
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Table of Contents
| | LIBERTY TAX INC | | COMMON STOCK USD.01 | | 200 | | | | 4,766 | |
| | LIBERTY TRIPADVISOR HDG A | | COMMON STOCK USD.01 | | 66,242 | | | | 2,009,782 | |
| | LIBERTY VENTURES SER A | | COMMON STOCK USD.01 | | 120,106 | | | | 5,417,982 | |
| | LIFELOCK INC | | COMMON STOCK USD.001 | | 75,700 | | | | 1,086,295 | |
| | LIFEPOINT HEALTH INC | | COMMON STOCK USD.01 | | 38,336 | | | | 2,813,862 | |
| | LIFETIME BRANDS INC | | COMMON STOCK USD.01 | | 12,800 | | | | 169,728 | |
| | LIFEWAY FOODS INC | | COMMON STOCK | | 12,200 | | | | 135,420 | |
| | LIGAND PHARMACEUTICALS | | COMMON STOCK USD.001 | | 15,133 | | | | 1,640,720 | |
| | LIMELIGHT NETWORKS INC | | COMMON STOCK USD.001 | | 57,600 | | | | 84,096 | |
| | LIMONEIRA CO | | COMMON STOCK USD.01 | | 9,400 | | | | 140,436 | |
| | LINCOLN ELECTRIC HOLDINGS | | COMMON STOCK | | 63,260 | | | | 3,282,561 | |
| | LINDSAY CORP | | COMMON STOCK USD1. | | 10,233 | | | | 740,869 | |
| | LINKEDIN CORP A | | COMMON STOCK USD.0001 | | 93,900 | | | | 21,135,012 | |
| | LION BIOTECHNOLOGIES INC | | COMMON STOCK USD.001 | | 33,000 | | | | 254,760 | |
| | LIONBRIDGE TECHNOLOGIES INC | | COMMON STOCK USD.01 | | 53,600 | | | | 263,176 | |
| | LIONS GATE ENTERTAINMENT COR | | COMMON STOCK NPV | | 83,200 | | | | 2,694,848 | |
| | LIQUIDITY SERVICES INC | | COMMON STOCK USD.001 | | 26,600 | | | | 172,900 | |
| | LITHIA MOTORS INC CL A | | COMMON STOCK | | 19,700 | | | | 2,101,399 | |
| | LITTELFUSE INC | | COMMON STOCK USD.01 | | 21,100 | | | | 2,257,911 | |
| | LIVANOVA PLC | | COMMON STOCK GBP1.0 | | 38,150 | | | | 2,264,966 | |
| | LIVE NATION ENTERTAINMENT IN | | COMMON STOCK USD.01 | | 125,862 | | | | 3,092,429 | |
| | LIVEPERSON INC | | COMMON STOCK USD.001 | | 54,800 | | | | 369,900 | |
| | LKQ CORP | | COMMON STOCK USD.01 | | 264,614 | | | | 7,840,513 | |
| | LOGMEIN INC | | COMMON STOCK USD.01 | | 22,700 | | | | 1,523,170 | |
| | LORAL SPACE + COMMUNICATIONS | | COMMON STOCK USD.01 | | 12,200 | | | | 496,662 | |
| | LOUISIANA PACIFIC CORP | | COMMON STOCK USD1. | | 122,751 | | | | 2,210,746 | |
| | LOXO ONCOLOGY INC | | COMMON STOCK USD.0001 | | 1,700 | | | | 48,365 | |
| | LPL FINANCIAL HOLDINGS INC | | COMMON STOCK | | 68,600 | | | | 2,925,790 | |
| | LSB INDUSTRIES INC | | COMMON STOCK USD.1 | | 20,600 | | | | 149,350 | |
| | LSI INDUSTRIES INC | | COMMON STOCK | | 21,387 | | | | 260,708 | |
| | LTC PROPERTIES INC | | REIT USD.01 | | 33,800 | | | | 1,458,132 | |
| | LULULEMON ATHLETICA INC | | COMMON STOCK USD.005 | | 93,500 | | | | 4,905,945 | |
| | LUMBER LIQUIDATORS HOLDINGS | | COMMON STOCK USD.001 | | 27,000 | | | | 468,720 | |
| | LUMENTUM HOLDINGS INC | | COMMON STOCK USD.001 | | 42,220 | | | | 929,684 | |
| | LUMINEX CORP | | COMMON STOCK USD.001 | | 38,905 | | | | 832,178 | |
| | LUMOS NETWORKS CORP | | COMMON STOCK USD.01 | | 16,476 | | | | 184,531 | |
| | LUXOFT HOLDING INC | | COMMON STOCK | | 14,600 | | | | 1,126,098 | |
| | LYDALL INC | | COMMON STOCK USD.1 | | 14,800 | | | | 525,104 | |
| | M/I HOMES INC | | COMMON STOCK USD.01 | | 24,300 | | | | 532,656 | |
| | MA COM TECHNOLOGY SOLUTIONS | | COMMON STOCK USD.001 | | 18,600 | | | | 760,554 | |
| | MACK CALI REALTY CORP | | REIT USD.01 | | 85,340 | | | | 1,992,689 | |
| | MACQUARIE INFRASTRUCTURE COR | | COMMON STOCK USD.001 | | 57,800 | | | | 4,196,280 | |
| | MACROGENICS INC | | COMMON STOCK USD.01 | | 25,700 | | | | 795,929 | |
| | MADISON SQUARE GARDEN CO A | | COMMON STOCK USD.01 | | 17,122 | | | | 2,770,340 | |
| | MAGELLAN HEALTH INC | | COMMON STOCK USD.01 | | 26,250 | | | | 1,618,575 | |
| | MAGNUM HUNTER RESOURCES CORP | | CALL EXP 15APR16 | | 14,630 | | | | 0 | |
| | MAIDEN HOLDINGS LTD | | COMMON STOCK USD.01 | | 55,800 | | | | 831,978 | |
| | MAINSOURCE FINANCIAL GROUP I | | COMMON STOCK | | 20,412 | | | | 467,027 | |
| | MALIBU BOATS INC A | | COMMON STOCK USD.01 | | 9,300 | | | | 152,241 | |
| | MANHATTAN ASSOCIATES INC | | COMMON STOCK USD.01 | | 61,476 | | | | 4,067,867 | |
| | MANITOWOC COMPANY INC | | COMMON STOCK USD.01 | | 123,400 | | | | 1,894,190 | |
| | MANNKIND CORP | | COMMON STOCK USD.01 | | 217,729 | | | | 315,707 | |
| | MANPOWERGROUP INC | | COMMON STOCK USD.01 | | 65,500 | | | | 5,520,995 | |
| | MANTECH INTERNATIONAL CORP A | | COMMON STOCK USD.01 | | 24,639 | | | | 745,083 | |
| | MARCHEX INC CLASS B | | COMMON STOCK USD.01 | | 27,900 | | | | 108,531 | |
| | MARCUS + MILLICHAP INC | | COMMON STOCK USD.0001 | | 10,400 | | | | 303,056 | |
| | MARCUS CORPORATION | | COMMON STOCK USD1. | | 23,600 | | | | 447,692 | |
| | MARINE PRODUCTS CORP | | COMMON STOCK USD.1 | | 15,125 | | | | 91,355 | |
| | MARINEMAX INC | | COMMON STOCK USD.001 | | 25,000 | | | | 460,500 | |
| | MARKEL CORP | | COMMON STOCK | | 12,120 | | | | 10,706,202 | |
| | MARKETAXESS HOLDINGS INC | | COMMON STOCK USD.003 | | 31,000 | | | | 3,459,290 | |
| | MARKETO INC | | COMMON STOCK USD.0001 | | 24,400 | | | | 700,524 | |
| | MARLIN BUSINESS SERVICES INC | | COMMON STOCK USD.01 | | 8,800 | | | | 141,328 | |
| | MARRIOTT VACATIONS WORLD | | COMMON STOCK USD.01 | | 21,300 | | | | 1,213,035 | |
| | MARTEN TRANSPORT LTD | | COMMON STOCK USD.01 | | 26,464 | | | | 468,413 | |
| | MARVELL TECHNOLOGY GROUP LTD | | COMMON STOCK USD.002 | | 374,955 | | | | 3,307,103 | |
| | MASIMO CORP | | COMMON STOCK USD.001 | | 36,300 | | | | 1,506,813 | |
| | MASONITE INTERNATIONAL CORP | | COMMON STOCK | | 25,500 | | | | 1,561,365 | |
| | MASTEC INC | | COMMON STOCK USD.1 | | 57,957 | | | | 1,007,293 | |
| | MATADOR RESOURCES CO | | COMMON STOCK USD.01 | | 63,185 | | | | 1,249,167 | |
| | MATCH GROUP INC | | COMMON STOCK USD.001 | | 30,700 | | | | 415,985 | |
| | MATERION CORP | | COMMON STOCK | | 19,899 | | | | 557,172 | |
| | MATRIX SERVICE CO | | COMMON STOCK USD.01 | | 25,500 | | | | 523,770 | |
| | MATSON INC | | COMMON STOCK | | 36,624 | | | | 1,561,281 | |
| | MATTHEWS INTL CORP CLASS A | | COMMON STOCK USD1.0 | | 26,986 | | | | 1,442,402 | |
| | MATTRESS FIRM HOLDING CORP | | COMMON STOCK USD.01 | | 18,500 | | | | 825,655 | |
| | MAXIM INTEGRATED PRODUCTS | | COMMON STOCK USD.001 | | 246,609 | | | | 9,371,142 | |
| | MAXIMUS INC | | COMMON STOCK | | 54,928 | | | | 3,089,700 | |
| | MAXLINEAR INC CLASS A | | COMMON STOCK | | 45,642 | | | | 672,307 | |
| | MB FINANCIAL INC | | COMMON STOCK USD.01 | | 62,953 | | | | 2,037,789 | |
| | MBIA INC | | COMMON STOCK USD1. | | 143,336 | | | | 928,817 | |
| | MCDERMOTT INTL INC | | COMMON STOCK USD1. | | 239,513 | | | | 802,369 | |
| | MCGRATH RENTCORP | | COMMON STOCK | | 22,748 | | | | 573,022 | |
| | MDC HOLDINGS INC | | COMMON STOCK USD.01 | | 33,715 | | | | 860,744 | |
| | MDC PARTNERS INC A | | COMMON STOCK | | 34,750 | | | | 754,770 | |
| | MDU RESOURCES GROUP INC | | COMMON STOCK USD1. | | 177,745 | | | | 3,256,288 | |
| | MEDASSETS INC | | COMMON STOCK USD.01 | | 56,800 | | | | 1,757,392 | |
| | MEDGENICS INC | | COMMON STOCK USD.0001 | | 5,200 | | | | 31,304 | |
| | MEDIA GENERAL INC | | COMMON STOCK | | 72,800 | | | | 1,175,720 | |
| | MEDICAL PROPERTIES TRUST INC | | REIT USD.001 | | 192,881 | | | | 2,220,060 | |
| | MEDICINES COMPANY | | COMMON STOCK USD.001 | | 59,600 | | | | 2,225,464 | |
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Table of Contents
| | MEDIDATA SOLUTIONS INC | | COMMON STOCK USD.01 | | 47,800 | | | | 2,356,062 | |
| | MEDIFAST INC | | COMMON STOCK USD.001 | | 13,400 | | | | 407,092 | |
| | MEDIVATION INC | | COMMON STOCK USD.01 | | 132,600 | | | | 6,409,884 | |
| | MEDNAX INC | | COMMON STOCK USD.01 | | 80,898 | | | | 5,797,151 | |
| | MEMORIAL RESOURCE DEVELOPMEN | | COMMON STOCK USD.01 | | 67,200 | | | | 1,085,280 | |
| | MEN S WEARHOUSE INC/THE | | COMMON STOCK USD.01 | | 40,060 | | | | 588,081 | |
| | MENTOR GRAPHICS CORP | | COMMON STOCK | | 91,000 | | | | 1,676,220 | |
| | MERCANTILE BANK CORP | | COMMON STOCK | | 8,100 | | | | 198,774 | |
| | MERCHANTS BANCSHARES INC | | COMMON STOCK USD.01 | | 8,476 | | | | 266,909 | |
| | MERCURY GENERAL CORP | | COMMON STOCK | | 26,100 | | | | 1,215,477 | |
| | MERCURY SYSTEMS INC | | COMMON STOCK USD.01 | | 30,700 | | | | 563,652 | |
| | MEREDITH CORP | | COMMON STOCK USD1. | | 32,200 | | | | 1,392,650 | |
| | MERIDIAN BANCORP INC | | COMMON STOCK | | 42,759 | | | | 602,902 | |
| | MERIDIAN BIOSCIENCE INC | | COMMON STOCK | | 43,140 | | | | 885,233 | |
| | MERIT MEDICAL SYSTEMS INC | | COMMON STOCK | | 39,620 | | | | 736,536 | |
| | MERITAGE HOMES CORP | | COMMON STOCK USD.01 | | 35,800 | | | | 1,216,842 | |
| | MERITOR INC | | COMMON STOCK USD1. | | 90,212 | | | | 753,270 | |
| | MERRIMACK PHARMACEUTICALS IN | | COMMON STOCK USD.01 | | 85,000 | | | | 671,500 | |
| | MESA LABORATORIES INC | | COMMON STOCK | | 2,600 | | | | 258,700 | |
| | META FINANCIAL GROUP INC | | COMMON STOCK USD.01 | | 6,000 | | | | 275,580 | |
| | METALDYNE PERFORMANCE GROUP | | COMMON STOCK USD.001 | | 5,300 | | | | 97,202 | |
| | METHODE ELECTRONICS INC | | COMMON STOCK USD.5 | | 36,260 | | | | 1,154,156 | |
| | METRO BANCORP INC | | COMMON STOCK USD1. | | 15,695 | | | | 492,509 | |
| | METTLER TOLEDO INTERNATIONAL | | COMMON STOCK USD.01 | | 24,300 | | | | 8,240,859 | |
| | MFA FINANCIAL INC | | REIT USD.01 | | 325,800 | | | | 2,150,280 | |
| | MGE ENERGY INC | | COMMON STOCK USD1. | | 31,450 | | | | 1,459,280 | |
| | MGIC INVESTMENT CORP | | COMMON STOCK USD1. | | 293,700 | | | | 2,593,371 | |
| | MGM RESORTS INTERNATIONAL | | COMMON STOCK USD.01 | | 386,950 | | | | 8,791,504 | |
| | MICHAELS COS INC/THE | | COMMON STOCK USD.06775 | | 51,100 | | | | 1,129,821 | |
| | MICROSEMI CORP | | COMMON STOCK USD.2 | | 79,000 | | | | 2,574,610 | |
| | MICROSTRATEGY INC CL A | | COMMON STOCK USD.001 | | 8,068 | | | | 1,446,512 | |
| | MID AMERICA APARTMENT COMM | | REIT USD.01 | | 67,197 | | | | 6,102,160 | |
| | MIDDLEBY CORP | | COMMON STOCK USD.01 | | 47,982 | | | | 5,175,818 | |
| | MIDDLESEX WATER CO | | COMMON STOCK | | 17,200 | | | | 456,488 | |
| | MIDWESTONE FINANCIAL GROUP I | | COMMON STOCK USD.01 | | 5,100 | | | | 155,091 | |
| | MILLER INDUSTRIES INC/TENN | | COMMON STOCK USD.01 | | 10,900 | | | | 237,402 | |
| | MIMEDX GROUP INC | | COMMON STOCK USD.001 | | 93,000 | | | | 871,410 | |
| | MINERALS TECHNOLOGIES INC | | COMMON STOCK USD.1 | | 30,500 | | | | 1,398,730 | |
| | MIRATI THERAPEUTICS INC | | COMMON STOCK | | 5,800 | | | | 183,280 | |
| | MISTRAS GROUP INC | | COMMON STOCK USD.01 | | 15,000 | | | | 286,350 | |
| | MKS INSTRUMENTS INC | | COMMON STOCK | | 46,152 | | | | 1,661,472 | |
| | MOBILE MINI INC | | COMMON STOCK USD.01 | | 42,831 | | | | 1,333,329 | |
| | MOBILEIRON INC | | COMMON STOCK USD.0001 | | 1,700 | | | | 6,137 | |
| | MODINE MANUFACTURING CO | | COMMON STOCK USD.625 | | 46,000 | | | | 416,300 | |
| | MODUSLINK GLOBAL SOLUTIONS I | | COMMON STOCK USD.01 | | 51,559 | | | | 127,866 | |
| | MOELIS + CO CLASS A | | COMMON STOCK USD.01 | | 13,200 | | | | 385,176 | |
| | MOLINA HEALTHCARE INC | | COMMON STOCK USD.001 | | 33,250 | | | | 1,999,323 | |
| | MOMENTA PHARMACEUTICALS INC | | COMMON STOCK USD.0001 | | 49,500 | | | | 734,580 | |
| | MONARCH CASINO + RESORT INC | | COMMON STOCK USD.01 | | 12,125 | | | | 275,480 | |
| | MONEYGRAM INTERNATIONAL INC | | COMMON STOCK USD.01 | | 18,150 | | | | 113,801 | |
| | MONMOUTH REAL ESTATE INV COR | | REIT USD.01 | | 39,200 | | | | 410,032 | |
| | MONOGRAM RESIDENTIAL TRUST I | | REIT | | 135,500 | | | | 1,322,480 | |
| | MONOLITHIC POWER SYSTEMS INC | | COMMON STOCK USD.001 | | 34,400 | | | | 2,191,624 | |
| | MONOTYPE IMAGING HOLDINGS IN | | COMMON STOCK USD.001 | | 39,900 | | | | 943,236 | |
| | MONRO MUFFLER BRAKE INC | | COMMON STOCK USD.01 | | 27,539 | | | | 1,823,633 | |
| | MONSTER WORLDWIDE INC | | COMMON STOCK USD.001 | | 93,700 | | | | 536,901 | |
| | MOOG INC CLASS A | | COMMON STOCK USD1. | | 31,599 | | | | 1,914,899 | |
| | MORGANS HOTEL GROUP CO | | COMMON STOCK USD.01 | | 27,060 | | | | 91,192 | |
| | MORNINGSTAR INC | | COMMON STOCK | | 16,517 | | | | 1,328,132 | |
| | MOTORCAR PARTS OF AMERICA IN | | COMMON STOCK USD.01 | | 14,600 | | | | 493,626 | |
| | MOVADO GROUP INC | | COMMON STOCK USD.01 | | 18,500 | | | | 475,635 | |
| | MRC GLOBAL INC | | COMMON STOCK USD.01 | | 92,200 | | | | 1,189,380 | |
| | MSA SAFETY INC | | COMMON STOCK | | 27,115 | | | | 1,178,689 | |
| | MSC INDUSTRIAL DIRECT CO A | | COMMON STOCK USD.001 | | 42,325 | | | | 2,381,628 | |
| | MSCI INC | | COMMON STOCK USD.01 | | 88,424 | | | | 6,378,023 | |
| | MSG NETWORKS INC A | | COMMON STOCK USD.01 | | 51,368 | | | | 1,068,454 | |
| | MTS SYSTEMS CORP | | COMMON STOCK USD.25 | | 15,340 | | | | 972,709 | |
| | MUELLER INDUSTRIES INC | | COMMON STOCK USD.01 | | 53,600 | | | | 1,452,560 | |
| | MUELLER WATER PRODUCTS INC A | | COMMON STOCK USD.01 | | 138,700 | | | | 1,192,820 | |
| | MULTI COLOR CORP | | COMMON STOCK | | 11,920 | | | | 712,935 | |
| | MULTI FINELINE ELECTRONIX IN | | COMMON STOCK USD.0001 | | 10,200 | | | | 210,936 | |
| | MULTI PACKAGING SOLUTIONS IN | | COMMON STOCK USD1.0 | | 16,300 | | | | 282,805 | |
| | MURPHY USA INC | | COMMON STOCK | | 37,400 | | | | 2,271,676 | |
| | MYERS INDUSTRIES INC | | COMMON STOCK | | 29,943 | | | | 398,841 | |
| | MYR GROUP INC/DELAWARE | | COMMON STOCK USD.01 | | 23,400 | | | | 482,274 | |
| | MYRIAD GENETICS INC | | COMMON STOCK USD.01 | | 60,000 | | | | 2,589,600 | |
| | N B T BANCORP INC | | COMMON STOCK USD.01 | | 42,485 | | | | 1,184,482 | |
| | NABORS INDUSTRIES LTD | | COMMON STOCK USD.001 | | 271,800 | | | | 2,313,018 | |
| | NACCO INDUSTRIES CL A | | COMMON STOCK USD1. | | 5,970 | | | | 251,934 | |
| | NANOMETRICS INC | | COMMON STOCK | | 28,500 | | | | 431,490 | |
| | NANOSTRING TECHNOLOGIES INC | | COMMON STOCK USD.0001 | | 1,500 | | | | 22,065 | |
| | NATIONAL BANK HOLD CL A | | COMMON STOCK | | 25,900 | | | | 553,483 | |
| | NATIONAL BANKSHARES INC/VA | | COMMON STOCK USD1.25 | | 8,300 | | | | 294,982 | |
| | NATIONAL BEVERAGE CORP | | COMMON STOCK USD.01 | | 11,260 | | | | 511,654 | |
| | NATIONAL CINEMEDIA INC | | COMMON STOCK USD.01 | | 57,400 | | | | 901,754 | |
| | NATIONAL FUEL GAS CO | | COMMON STOCK USD1. | | 72,984 | | | | 3,120,066 | |
| | NATIONAL GENERAL HLDGS | | COMMON STOCK USD.01 | | 34,200 | | | | 747,612 | |
| | NATIONAL HEALTHCARE CORP | | COMMON STOCK USD.01 | | 10,700 | | | | 660,190 | |
| | NATIONAL INSTRUMENTS CORP | | COMMON STOCK USD.01 | | 94,525 | | | | 2,711,922 | |
| | NATIONAL INTERSTATE CORP | | COMMON STOCK USD.01 | | 6,134 | | | | 163,778 | |
| | NATIONAL PRESTO INDS INC | | COMMON STOCK USD1. | | 4,900 | | | | 406,014 | |
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Table of Contents
| | NATIONAL RESEARCH CORP A | | COMMON STOCK USD.001 | | 7,921 | | | | 127,053 | |
| | NATIONAL RETAIL PROPERTIES | | REIT USD.01 | | 116,056 | | | | 4,648,043 | |
| | NATIONAL STORAGE AFFILIATES | | REIT USD.01 | | 7,400 | | | | 126,762 | |
| | NATIONAL WESTERN LIFE GROU A | | COMMON STOCK USD.01 | | 2,400 | | | | 604,656 | |
| | NATIONSTAR MORTGAGE HOLDINGS | | COMMON STOCK USD.01 | | 21,200 | | | | 283,444 | |
| | NATL HEALTH INVESTORS INC | | REIT USD.01 | | 30,116 | | | | 1,833,161 | |
| | NATL PENN BCSHS INC | | COMMON STOCK | | 116,412 | | | | 1,435,360 | |
| | NATURAL GAS SERVICES GROUP | | COMMON STOCK USD.01 | | 14,300 | | | | 318,890 | |
| | NATURAL GROCERS BY VITAMIN C | | COMMON STOCK USD.001 | | 12,100 | | | | 246,477 | |
| | NATURAL HEALTH TRENDS CORP | | COMMON STOCK USD.001 | | 6,800 | | | | 228,004 | |
| | NATURES SUNSHINE PRODS INC | | COMMON STOCK | | 16,500 | | | | 166,980 | |
| | NATUS MEDICAL INC | | COMMON STOCK USD.001 | | 29,700 | | | | 1,427,085 | |
| | NAUTILUS INC | | COMMON STOCK | | 36,900 | | | | 616,968 | |
| | NAVIDEA BIOPHARMACEUTICALS I | | COMMON STOCK USD.001 | | 92,800 | | | | 123,424 | |
| | NAVIGANT CONSULTING INC | | COMMON STOCK USD.001 | | 41,900 | | | | 672,914 | |
| | NAVIGATORS GROUP INC | | COMMON STOCK USD.1 | | 9,600 | | | | 823,584 | |
| | NAVIOS MARITIME ACQUISITION | | COMMON STOCK USD.0001 | | 18,200 | | | | 54,782 | |
| | NAVIOS MARITIME HOLDINGS INC | | COMMON STOCK USD.0001 | | 68,900 | | | | 120,575 | |
| | NAVISTAR INTERNATIONAL CORP | | COMMON STOCK USD.1 | | 42,600 | | | | 376,584 | |
| | NCI BUILDING SYSTEMS INC | | COMMON STOCK USD.01 | | 18,805 | | | | 233,370 | |
| | NCR CORPORATION | | COMMON STOCK USD.01 | | 148,200 | | | | 3,624,972 | |
| | NEENAH PAPER INC | | COMMON STOCK USD.01 | | 15,600 | | | | 973,908 | |
| | NEKTAR THERAPEUTICS | | COMMON STOCK USD.0001 | | 112,000 | | | | 1,887,200 | |
| | NELNET INC CL A | | COMMON STOCK USD.01 | | 22,300 | | | | 748,611 | |
| | NEOGEN CORP | | COMMON STOCK USD.16 | | 32,014 | | | | 1,809,431 | |
| | NEOGENOMICS INC | | COMMON STOCK USD.001 | | 46,400 | | | | 365,168 | |
| | NEOPHOTONICS CORP | | COMMON STOCK USD.0025 | | 25,400 | | | | 275,844 | |
| | NETGEAR INC | | COMMON STOCK USD.001 | | 27,800 | | | | 1,165,098 | |
| | NETSCOUT SYSTEMS INC | | COMMON STOCK USD.001 | | 79,300 | | | | 2,434,510 | |
| | NETSUITE INC | | COMMON STOCK USD.01 | | 33,200 | | | | 2,809,384 | |
| | NEUROCRINE BIOSCIENCES INC | | COMMON STOCK USD.001 | | 72,200 | | | | 4,084,354 | |
| | NEUSTAR INC CLASS A | | COMMON STOCK USD.001 | | 51,160 | | | | 1,226,305 | |
| | NEVRO CORP | | COMMON STOCK USD.001 | | 11,900 | | | | 803,369 | |
| | NEW JERSEY RESOURCES CORP | | COMMON STOCK USD2.5 | | 78,450 | | | | 2,585,712 | |
| | NEW MEDIA INVESTMENT GROUP | | COMMON STOCK USD.01 | | 30,000 | | | | 583,800 | |
| | NEW RESIDENTIAL INVESTMENT | | REIT USD.01 | | 203,000 | | | | 2,468,480 | |
| | NEW SENIOR INVESTMENT GROUP | | REIT | | 79,900 | | | | 787,814 | |
| | NEW YORK COMMUNITY BANCORP | | COMMON STOCK USD.01 | | 417,748 | | | | 6,817,647 | |
| | NEW YORK MORTGAGE TRUST INC | | REIT USD.02 | | 92,700 | | | | 494,091 | |
| | NEW YORK REIT INC W/D | | REIT USD.01 | | 143,300 | | | | 1,647,950 | |
| | NEW YORK TIMES CO A | | COMMON STOCK USD.1 | | 121,300 | | | | 1,627,846 | |
| | NEWBRIDGE BANCORP | | COMMON STOCK | | 15,200 | | | | 185,136 | |
| | NEWLINK GENETICS CORP | | COMMON STOCK USD.01 | | 16,600 | | | | 604,074 | |
| | NEWMARKET CORP | | COMMON STOCK | | 7,072 | | | | 2,692,523 | |
| | NEWPARK RESOURCES INC | | COMMON STOCK USD.01 | | 90,000 | | | | 475,200 | |
| | NEWPORT CORP | | COMMON STOCK USD.1167 | | 39,200 | | | | 622,104 | |
| | NEWSTAR FINANCIAL INC | | COMMON STOCK USD.01 | | 26,900 | | | | 241,562 | |
| | NEXPOINT RESIDENTIAL | | REIT USD.01 | | 3,000 | | | | 39,270 | |
| | NEXSTAR BROADCASTING GROUP A | | COMMON STOCK USD.01 | | 27,700 | | | | 1,625,990 | |
| | NIC INC | | COMMON STOCK | | 63,900 | | | | 1,257,552 | |
| | NIMBLE STORAGE INC | | COMMON STOCK USD.001 | | 41,200 | | | | 379,040 | |
| | NL INDUSTRIES | | COMMON STOCK USD.125 | | 12,400 | | | | 37,696 | |
| | NMI HOLDINGS INC CLASS A | | COMMON STOCK USD.01 | | 54,300 | | | | 367,611 | |
| | NN INC | | COMMON STOCK USD.01 | | 19,700 | | | | 314,018 | |
| | NOBILIS HEALTH CORP | | COMMON STOCK | | 5,300 | | | | 14,946 | |
| | NOBLE CORP PLC | | COMMON STOCK USD.01 | | 209,400 | | | | 2,209,170 | |
| | NOODLES + CO | | COMMON STOCK USD.01 | | 9,200 | | | | 89,148 | |
| | NORDIC AMERICAN TANKERS LTD | | COMMON STOCK USD.01 | | 79,900 | | | | 1,241,646 | |
| | NORDSON CORP | | COMMON STOCK | | 50,748 | | | | 3,255,484 | |
| | NORTEK INC | | COMMON STOCK USD.01 | | 9,800 | | | | 427,476 | |
| | NORTH ATLANTIC DRILLING LTD | | COMMON STOCK USD.1 | | 6,060 | | | | 14,908 | |
| | NORTHERN OIL AND GAS INC | | COMMON STOCK USD.001 | | 63,500 | | | | 245,110 | |
| | NORTHFIELD BANCORP INC | | COMMON STOCK USD.01 | | 51,353 | | | | 817,540 | |
| | NORTHSTAR ASSET MANAGEMENT | | COMMON STOCK USD.01 | | 163,939 | | | | 1,990,219 | |
| | NORTHSTAR REALTY EUROPE CORP | | REIT USD.01 | | 52,439 | | | | 619,305 | |
| | NORTHSTAR REALTY FINANCE | | REIT USD.01 | | 157,319 | | | | 2,679,143 | |
| | NORTHWEST BANCSHARES INC | | COMMON STOCK USD.01 | | 87,875 | | | | 1,176,646 | |
| | NORTHWEST BIOTHERAPEUTICS | | COMMON STOCK USD.001 | | 34,800 | | | | 111,360 | |
| | NORTHWEST NATURAL GAS CO | | COMMON STOCK USD3.167 | | 26,133 | | | | 1,322,591 | |
| | NORTHWEST PIPE CO | | COMMON STOCK USD.01 | | 9,800 | | | | 109,662 | |
| | NORTHWESTERN CORP | | COMMON STOCK USD.01 | | 42,195 | | | | 2,289,079 | |
| | NORWEGIAN CRUISE LINE HOLDIN | | COMMON STOCK USD.001 | | 114,500 | | | | 6,709,700 | |
| | NOVAVAX INC | | COMMON STOCK USD.01 | | 244,700 | | | | 2,053,033 | |
| | NOW INC | | COMMON STOCK USD.01 | | 102,300 | | | | 1,618,386 | |
| | NRG YIELD INC CLASS A | | COMMON STOCK USD.01 | | 21,200 | | | | 294,892 | |
| | NRG YIELD INC CLASS C | | COMMON STOCK | | 51,800 | | | | 764,568 | |
| | NTELOS HOLDINGS CORP | | COMMON STOCK USD.01 | | 16,476 | | | | 150,591 | |
| | NU SKIN ENTERPRISES INC A | | COMMON STOCK USD.001 | | 54,500 | | | | 2,065,005 | |
| | NUANCE COMMUNICATIONS INC | | COMMON STOCK USD.001 | | 212,004 | | | | 4,216,760 | |
| | NUTRACEUTICAL INTL CORP | | COMMON STOCK USD.01 | | 12,361 | | | | 319,161 | |
| | NUTRISYSTEM INC | | COMMON STOCK USD.001 | | 25,025 | | | | 541,541 | |
| | NUVASIVE INC | | COMMON STOCK USD.001 | | 44,399 | | | | 2,402,430 | |
| | NVE CORP | | COMMON STOCK USD.01 | | 4,717 | | | | 265,001 | |
| | NVR INC | | COMMON STOCK USD.01 | | 3,400 | | | | 5,586,200 | |
| | NXSTAGE MEDICAL INC | | COMMON STOCK USD.001 | | 56,900 | | | | 1,246,679 | |
| | OASIS PETROLEUM INC | | COMMON STOCK USD.01 | | 119,200 | | | | 878,504 | |
| | OCATA THERAPEUTICS INC | | COMMON STOCK USD.001 | | 40,200 | | | | 338,484 | |
| | OCEANEERING INTL INC | | COMMON STOCK USD.25 | | 82,632 | | | | 3,100,353 | |
| | OCEANFIRST FINANCIAL CORP | | COMMON STOCK USD.01 | | 14,192 | | | | 284,266 | |
| | OCLARO INC | | COMMON STOCK USD.01 | | 74,700 | | | | 259,956 | |
| | OCULAR THERAPEUTIX INC | | COMMON STOCK USD.0001 | | 11,300 | | | | 105,881 | |
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Table of Contents
| | OCWEN FINANCIAL CORP | | COMMON STOCK USD.01 | | 90,300 | | | | 629,391 | |
| | OFFICE DEPOT INC | | COMMON STOCK USD.01 | | 488,263 | | | | 2,753,803 | |
| | OFG BANCORP | | COMMON STOCK USD1. | | 48,718 | | | | 356,616 | |
| | OGE ENERGY CORP | | COMMON STOCK USD.01 | | 174,600 | | | | 4,590,234 | |
| | OIL DRI CORP OF AMERICA | | COMMON STOCK USD.1 | | 5,500 | | | | 202,565 | |
| | OIL STATES INTERNATIONAL INC | | COMMON STOCK USD.01 | | 41,700 | | | | 1,136,325 | |
| | OLD DOMINION FREIGHT LINE | | COMMON STOCK USD.1 | | 61,020 | | | | 3,604,451 | |
| | OLD NATIONAL BANCORP | | COMMON STOCK | | 112,021 | | | | 1,519,005 | |
| | OLD REPUBLIC INTL CORP | | COMMON STOCK USD1. | | 218,370 | | | | 4,068,233 | |
| | OLIN CORP W/I | | COMMON STOCK USD1.0 | | 141,932 | | | | 2,449,746 | |
| | OLYMPIC STEEL INC | | COMMON STOCK | | 7,089 | | | | 82,091 | |
| | OM ASSET MANAGEMENT PLC | | COMMON STOCK USD.001 | | 15,700 | | | | 240,681 | |
| | OMEGA FLEX INC | | COMMON STOCK USD.01 | | 600 | | | | 19,806 | |
| | OMEGA HEALTHCARE INVESTORS | | REIT USD.1 | | 152,872 | | | | 5,347,463 | |
| | OMEGA PROTEIN CORP | | COMMON STOCK USD.01 | | 21,900 | | | | 486,180 | |
| | OMEROS CORP | | COMMON STOCK USD.01 | | 27,000 | | | | 424,710 | |
| | OMNICELL INC | | COMMON STOCK USD.001 | | 35,300 | | | | 1,097,124 | |
| �� | OMNIVISION TECHNOLOGIES INC | | COMMON STOCK USD.001 | | 52,500 | | | | 1,523,550 | |
| | OMNOVA SOLUTIONS INC | | COMMON STOCK USD.1 | | 49,800 | | | | 305,274 | |
| | ON ASSIGNMENT INC | | COMMON STOCK USD.01 | | 43,152 | | | | 1,939,682 | |
| | ON SEMICONDUCTOR CORP | | COMMON STOCK USD.01 | | 358,421 | | | | 3,512,526 | |
| | ONCOMED PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 7,400 | | | | 166,796 | |
| | ONCOTHYREON INC | | COMMON STOCK | | 88,800 | | | | 197,136 | |
| | ONE GAS INC | | COMMON STOCK | | 45,500 | | | | 2,282,735 | |
| | ONE LIBERTY PROPERTIES INC | | REIT USD1. | | 14,985 | | | | 321,578 | |
| | ONEBEACON INSURANCE GROUP A | | COMMON STOCK USD.01 | | 25,600 | | | | 317,696 | |
| | ONEMAIN HOLDINGS INC | | COMMON STOCK USD.01 | | 43,000 | | | | 1,786,220 | |
| | OPHTHOTECH CORP | | COMMON STOCK USD.001 | | 20,900 | | | | 1,641,277 | |
| | OPKO HEALTH INC | | COMMON STOCK USD.01 | | 262,722 | | | | 2,640,356 | |
| | OPOWER INC | | COMMON STOCK USD.000005 | | 1,400 | | | | 14,784 | |
| | OPPENHEIMER HOLDINGS CL A | | COMMON STOCK USD.001 | | 14,200 | | | | 246,796 | |
| | OPUS BANK | | COMMON STOCK | | 6,100 | | | | 225,517 | |
| | ORASURE TECHNOLOGIES INC | | COMMON STOCK USD.000001 | | 67,110 | | | | 432,188 | |
| | ORBCOMM INC | | COMMON STOCK USD.001 | | 20,600 | | | | 149,144 | |
| | ORBITAL ATK INC | | COMMON STOCK USD.01 | | 52,549 | | | | 4,694,728 | |
| | ORCHIDS PAPER PRODUCTS CO | | COMMON STOCK USD.001 | | 4,700 | | | | 145,324 | |
| | OREXIGEN THERAPEUTICS INC | | COMMON STOCK USD.001 | | 88,000 | | | | 151,360 | |
| | ORGANOVO HOLDINGS INC | | COMMON STOCK USD.0001 | | 52,900 | | | | 131,721 | |
| | ORION MARINE GROUP INC | | COMMON STOCK USD.01 | | 24,300 | | | | 101,331 | |
| | ORITANI FINANCIAL CORP | | COMMON STOCK USD.01 | | 38,000 | | | | 627,000 | |
| | ORMAT TECHNOLOGIES INC | | COMMON STOCK USD.001 | | 31,700 | | | | 1,156,099 | |
| | ORTHOFIX INTERNATIONAL NV | | COMMON STOCK USD.1 | | 17,700 | | | | 694,017 | |
| | OSHKOSH CORP | | COMMON STOCK USD.01 | | 67,839 | | | | 2,648,435 | |
| | OSI SYSTEMS INC | | COMMON STOCK | | 17,100 | | | | 1,516,086 | |
| | OSIRIS THERAPEUTICS INC | | COMMON STOCK USD.001 | | 19,800 | | | | 205,524 | |
| | OTONOMY INC | | COMMON STOCK USD.001 | | 12,800 | | | | 355,200 | |
| | OTTER TAIL CORP | | COMMON STOCK USD5. | | 32,600 | | | | 868,138 | |
| | OUTERWALL INC W/I | | COMMON STOCK USD.001 | | 18,700 | | | | 683,298 | |
| | OUTFRONT MEDIA INC | | REIT USD.01 | | 120,122 | | | | 2,622,263 | |
| | OVASCIENCE INC | | COMMON STOCK | | 20,300 | | | | 198,331 | |
| | OVERSTOCK.COM INC | | COMMON STOCK USD.0001 | | 14,200 | | | | 174,376 | |
| | OWENS + MINOR INC | | COMMON STOCK USD2. | | 58,850 | | | | 2,117,423 | |
| | OWENS CORNING | | COMMON STOCK USD.001 | | 101,700 | | | | 4,782,951 | |
| | OXFORD IMMUNOTEC GLOBAL PLC | | COMMON STOCK GBP.006705 | | 6,100 | | | | 70,150 | |
| | OXFORD INDUSTRIES INC | | COMMON STOCK USD1. | | 13,294 | | | | 848,423 | |
| | PACIFIC BIOSCIENCES OF CALIF | | COMMON STOCK USD.0001 | | 29,700 | | | | 389,961 | |
| | PACIFIC CONTINENTAL CORP | | COMMON STOCK | | 19,793 | | | | 294,520 | |
| | PACIFIC ETHANOL INC | | COMMON STOCK USD.001 | | 18,500 | | | | 88,430 | |
| | PACIFIC PREMIER BANCORP INC | | COMMON STOCK USD.01 | | 19,900 | | | | 422,875 | |
| | PACIRA PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 32,800 | | | | 2,518,712 | |
| | PACKAGING CORP OF AMERICA | | COMMON STOCK USD.01 | | 81,900 | | | | 5,163,795 | |
| | PACWEST BANCORP | | COMMON STOCK | | 97,091 | | | | 4,184,622 | |
| | PALO ALTO NETWORKS INC | | COMMON STOCK USD.0001 | | 63,200 | | | | 11,132,048 | |
| | PANDORA MEDIA INC | | COMMON STOCK USD.0001 | | 180,800 | | | | 2,424,528 | |
| | PANERA BREAD COMPANY CLASS A | | COMMON STOCK USD.0001 | | 22,800 | | | | 4,440,984 | |
| | PANHANDLE OIL AND GAS INC A | | COMMON STOCK USD.01666 | | 13,682 | | | | 221,101 | |
| | PAPA JOHN S INTL INC | | COMMON STOCK USD.01 | | 23,800 | | | | 1,329,706 | |
| | PAR PACIFIC HOLDINGS INC | | COMMON STOCK USD.01 | | 8,600 | | | | 202,444 | |
| | PARAMOUNT GROUP INC | | REIT USD.01 | | 143,800 | | | | 2,602,780 | |
| | PARATEK PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 7,000 | | | | 132,790 | |
| | PAREXEL INTERNATIONAL CORP | | COMMON STOCK USD.01 | | 46,470 | | | | 3,165,536 | |
| | PARK CITY GROUP INC | | COMMON STOCK USD.01 | | 3,000 | | | | 35,730 | |
| | PARK ELECTROCHEMICAL CORP | | COMMON STOCK USD.1 | | 22,850 | | | | 344,121 | |
| | PARK NATIONAL CORP | | COMMON STOCK | | 11,217 | | | | 1,014,914 | |
| | PARK OHIO HOLDINGS CORP | | COMMON STOCK USD1. | | 8,500 | | | | 312,630 | |
| | PARK STERLING CORP | | COMMON STOCK USD.01 | | 51,300 | | | | 375,516 | |
| | PARKER DRILLING CO | | COMMON STOCK USD.167 | | 132,880 | | | | 241,842 | |
| | PARKWAY PROPERTIES INC | | REIT USD.001 | | 73,544 | | | | 1,149,493 | |
| | PARSLEY ENERGY INC CLASS A | | COMMON STOCK USD.01 | | 75,100 | | | | 1,385,595 | |
| | PARTNERRE LTD | | COMMON STOCK USD1. | | 39,950 | | | | 5,582,613 | |
| | PARTY CITY HOLDCO INC | | COMMON STOCK USD.01 | | 19,000 | | | | 245,290 | |
| | PATRICK INDUSTRIES INC | | COMMON STOCK | | 13,500 | | | | 587,250 | |
| | PATTERN ENERGY GROUP INC | | COMMON STOCK USD.01 | | 50,300 | | | | 1,051,773 | |
| | PATTERSON UTI ENERGY INC | | COMMON STOCK USD.01 | | 133,500 | | | | 2,013,180 | |
| | PAYCOM SOFTWARE INC | | COMMON STOCK USD.01 | | 25,400 | | | | 955,802 | |
| | PAYLOCITY HOLDING CORP | | PRIVATE COMP USD.001 | | 11,700 | | | | 474,435 | |
| | PBF ENERGY INC CLASS A | | COMMON STOCK USD.001 | | 82,200 | | | | 3,025,782 | |
| | PC CONNECTION INC | | COMMON STOCK USD.01 | | 7,900 | | | | 178,856 | |
| | PDC ENERGY INC | | COMMON STOCK USD.01 | | 34,594 | | | | 1,846,628 | |
| | PDF SOLUTIONS INC | | COMMON STOCK USD.00015 | | 25,000 | | | | 271,000 | |
| | PDL BIOPHARMA INC | | COMMON STOCK USD.01 | | 144,610 | | | | 511,919 | |
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Table of Contents
| | PDVWIRELESS INC | | COMMON STOCK USD.0001 | | 9,800 | | | | 269,500 | |
| | PEABODY ENERGY CORP | | COMMON STOCK USD.01 | | 16,433 | | | | 126,205 | |
| | PEAPACK GLADSTONE FINL CORP | | COMMON STOCK | | 10,305 | | | | 212,489 | |
| | PEBBLEBROOK HOTEL TRUST | | REIT USD.01 | | 66,800 | | | | 1,871,736 | |
| | PEGASYSTEMS INC | | COMMON STOCK USD.01 | | 35,662 | | | | 980,705 | |
| | PENDRELL CORP | | COMMON STOCK USD.01 | | 162,800 | | | | 81,579 | |
| | PENN NATIONAL GAMING INC | | COMMON STOCK USD.01 | | 72,300 | | | | 1,158,246 | |
| | PENN REAL ESTATE INVEST TST | | REIT USD1. | | 67,648 | | | | 1,479,462 | |
| | PENN VIRGINIA CORP | | COMMON STOCK USD.01 | | 68,700 | | | | 20,637 | |
| | PENNS WOODS BANCORP INC | | COMMON STOCK USD8.33 | | 5,200 | | | | 220,792 | |
| | PENNYMAC FINANCIAL SERVICE A | | COMMON STOCK USD.0001 | | 15,000 | | | | 230,400 | |
| | PENNYMAC MORTGAGE INVESTMENT | | REIT USD.01 | | 68,400 | | | | 1,043,784 | |
| | PENSKE AUTOMOTIVE GROUP INC | | COMMON STOCK USD.0001 | | 36,800 | | | | 1,558,112 | |
| | PENUMBRA INC | | COMMON STOCK USD.001 | | 4,000 | | | | 215,240 | |
| | PEOPLES BANCORP INC | | COMMON STOCK | | 12,495 | | | | 235,406 | |
| | PEOPLES FINANCIAL SERVICES | | COMMON STOCK USD2.0 | | 6,300 | | | | 239,904 | |
| | PEP BOYS MANNY MOE + JACK | | COMMON STOCK USD1. | | 58,880 | | | | 1,083,981 | |
| | PEREGRINE PHARMACEUTICALS | | COMMON STOCK USD.001 | | 86,300 | | | | 100,971 | |
| | PERFICIENT INC | | COMMON STOCK USD.001 | | 34,200 | | | | 585,504 | |
| | PERFORMANCE FOOD GROUP CO | | COMMON STOCK USD.01 | | 14,400 | | | | 333,216 | |
| | PERFORMANCE SPORTS GROUP LTD | | COMMON STOCK | | 35,700 | | | | 343,791 | |
| | PERRY ELLIS INTERNATIONAL | | COMMON STOCK USD.01 | | 12,150 | | | | 223,803 | |
| | PETMED EXPRESS INC | | COMMON STOCK USD.001 | | 26,700 | | | | 457,638 | |
| | PFENEX INC | | COMMON STOCK USD.001 | | 11,800 | | | | 146,084 | |
| | PGT INC | | COMMON STOCK USD.01 | | 33,800 | | | | 384,982 | |
| | PHARMERICA CORP | | COMMON STOCK USD.01 | | 28,779 | | | | 1,007,265 | |
| | PHH CORP | | COMMON STOCK USD.01 | | 43,100 | | | | 698,220 | |
| | PHI INC NON VOTING | | COMMON STOCK USD.1 | | 13,300 | | | | 218,253 | |
| | PHIBRO ANIMAL HEALTH CORP A | | COMMON STOCK USD.001 | | 13,200 | | | | 397,716 | |
| | PHOTRONICS INC | | COMMON STOCK USD.01 | | 59,242 | | | | 737,563 | |
| | PHYSICIANS REALTY TRUST | | REIT USD.01 | | 63,200 | | | | 1,065,552 | |
| | PICO HOLDINGS INC | | COMMON STOCK USD.001 | | 24,084 | | | | 248,547 | |
| | PIEDMONT NATURAL GAS CO | | COMMON STOCK | | 66,400 | | | | 3,786,128 | |
| | PIEDMONT OFFICE REALTY TRU A | | REIT USD.01 | | 125,300 | | | | 2,365,664 | |
| | PIER 1 IMPORTS INC | | COMMON STOCK USD.001 | | 95,550 | | | | 486,350 | |
| | PILGRIM S PRIDE CORP | | COMMON STOCK USD.01 | | 50,230 | | | | 1,109,581 | |
| | PINNACLE ENTERTAINMENT INC | | COMMON STOCK USD.1 | | 52,300 | | | | 1,627,576 | |
| | PINNACLE FINANCIAL PARTNERS | | COMMON STOCK USD1. | | 29,360 | | | | 1,507,930 | |
| | PINNACLE FOODS INC | | COMMON STOCK USD.01 | | 97,400 | | | | 4,135,604 | |
| | PIONEER ENERGY SERVICES CORP | | COMMON STOCK USD.1 | | 61,505 | | | | 133,466 | |
| | PIPER JAFFRAY COS | | COMMON STOCK USD.01 | | 17,241 | | | | 696,536 | |
| | PLANET FITNESS INC CL A | | COMMON STOCK USD.0001 | | 14,300 | | | | 223,509 | |
| | PLANTRONICS INC | | COMMON STOCK USD.01 | | 30,400 | | | | 1,441,568 | |
| | PLATFORM SPECIALTY PRODUCTS | | COMMON STOCK USD.01 | | 116,900 | | | | 1,499,827 | |
| | PLEXUS CORP | | COMMON STOCK USD.01 | | 29,000 | | | | 1,012,680 | |
| | PLUG POWER INC | | COMMON STOCK USD.01 | | 144,900 | | | | 305,739 | |
| | PLY GEM HOLDINGS INC | | COMMON STOCK USD.01 | | 13,200 | | | | 165,528 | |
| | PMC SIERRA INC | | COMMON STOCK USD.001 | | 165,900 | | | | 1,927,758 | |
| | PNM RESOURCES INC | | COMMON STOCK | | 73,332 | | | | 2,241,759 | |
| | POLARIS INDUSTRIES INC | | COMMON STOCK USD.01 | | 55,768 | | | | 4,793,260 | |
| | POLYCOM INC | | COMMON STOCK USD.0005 | | 133,584 | | | | 1,681,823 | |
| | POLYONE CORPORATION | | COMMON STOCK USD.01 | | 74,072 | | | | 2,352,527 | |
| | POOL CORP | | COMMON STOCK USD.001 | | 36,074 | | | | 2,914,058 | |
| | POPEYES LOUISIANA KITCHEN IN | | COMMON STOCK USD.01 | | 22,375 | | | | 1,308,938 | |
| | POPULAR INC | | COMMON STOCK USD.01 | | 89,484 | | | | 2,535,977 | |
| | PORTLAND GENERAL ELECTRIC CO | | COMMON STOCK | | 71,800 | | | | 2,611,366 | |
| | PORTOLA PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 43,000 | | | | 2,212,350 | |
| | POST HOLDINGS INC | | COMMON STOCK USD.01 | | 53,101 | | | | 3,276,332 | |
| | POST PROPERTIES INC | | REIT USD.01 | | 48,610 | | | | 2,875,768 | |
| | POTBELLY CORP | | COMMON STOCK USD.01 | | 8,400 | | | | 98,364 | |
| | POTLATCH CORP | | REIT USD1. | | 40,005 | | | | 1,209,751 | |
| | POWELL INDUSTRIES INC | | COMMON STOCK USD.01 | | 9,600 | | | | 249,888 | |
| | POWER INTEGRATIONS INC | | COMMON STOCK USD.001 | | 28,900 | | | | 1,405,407 | |
| | POWER SOLUTIONS INTERNATIONA | | COMMON STOCK USD.001 | | 100 | | | | 1,825 | |
| | POWERSECURE INTERNATIONAL IN | | COMMON STOCK USD.01 | | 24,000 | | | | 361,200 | |
| | POZEN INC | | COMMON STOCK USD.001 | | 28,200 | | | | 192,606 | |
| | PRA GROUP INC | | COMMON STOCK USD.01 | | 40,000 | | | | 1,387,600 | |
| | PRA HEALTH SCIENCES INC | | COMMON STOCK USD.01 | | 17,600 | | | | 796,752 | |
| | PREFERRED APARTMENT COMMUN A | | REIT USD.01 | | 6,500 | | | | 85,020 | |
| | PREFERRED BANK/LOS ANGELES | | COMMON STOCK | | 9,800 | | | | 323,596 | |
| | PREFORMED LINE PRODUCTS CO | | COMMON STOCK USD2. | | 3,500 | | | | 147,350 | |
| | PREMIER INC CLASS A | | COMMON STOCK USD.01 | | 31,400 | | | | 1,107,478 | |
| | PRESS GANEY HOLDINGS INC | | COMMON STOCK USD.01 | | 8,900 | | | | 280,795 | |
| | PRESTIGE BRANDS HOLDINGS INC | | COMMON STOCK USD.01 | | 45,233 | | | | 2,328,595 | |
| | PRICESMART INC | | COMMON STOCK USD.0001 | | 18,500 | | | | 1,535,315 | |
| | PRIMERICA INC | | COMMON STOCK | | 41,700 | | | | 1,969,491 | |
| | PRIMORIS SERVICES CORP | | COMMON STOCK USD.0001 | | 35,500 | | | | 782,065 | |
| | PRIVATEBANCORP INC | | COMMON STOCK | | 68,900 | | | | 2,826,278 | |
| | PROASSURANCE CORP | | COMMON STOCK USD.01 | | 46,840 | | | | 2,273,145 | |
| | PROGENICS PHARMACEUTICALS | | COMMON STOCK USD.0013 | | 60,205 | | | | 369,057 | |
| | PROGRESS SOFTWARE CORP | | COMMON STOCK USD.01 | | 46,500 | | | | 1,116,000 | |
| | PROOFPOINT INC | | COMMON STOCK USD.0001 | | 32,500 | | | | 2,112,825 | |
| | PROS HOLDINGS INC | | COMMON STOCK USD.001 | | 22,900 | | | | 527,616 | |
| | PROSPERITY BANCSHARES INC | | COMMON STOCK USD1. | | 63,500 | | | | 3,039,110 | |
| | PROTEON THERAPEUTICS INC | | COMMON STOCK USD.001 | | 2,100 | | | | 32,571 | |
| | PROTHENA CORP PLC | | COMMON STOCK USD.01 | | 27,100 | | | | 1,845,781 | |
| | PROTO LABS INC | | COMMON STOCK USD.001 | | 19,800 | | | | 1,261,062 | |
| | PROVIDENCE SERVICE CORP | | COMMON STOCK USD.001 | | 10,355 | | | | 485,857 | |
| | PROVIDENT FINANCIAL SERVICES | | COMMON STOCK USD.01 | | 61,201 | | | | 1,233,200 | |
| | PS BUSINESS PARKS INC/CA | | REIT USD.01 | | 19,040 | | | | 1,664,667 | |
| | PTC INC | | COMMON STOCK USD.01 | | 95,900 | | | | 3,321,017 | |
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Table of Contents
| | PTC THERAPEUTICS INC | | COMMON STOCK USD.001 | | 27,700 | | | | 897,480 | |
| | PUMA BIOTECHNOLOGY INC | | COMMON STOCK USD.0001 | | 21,900 | | | | 1,716,960 | |
| | PURE STORAGE INC CLASS A | | COMMON STOCK USD.0001 | | 24,800 | | | | 386,136 | |
| | PZENA INVESTMENT MANAGM CL A | | COMMON STOCK USD.01 | | 14,100 | | | | 121,260 | |
| | Q2 HOLDINGS INC | | COMMON STOCK USD.0001 | | 14,600 | | | | 385,002 | |
| | QAD INC A | | COMMON STOCK | | 5,948 | | | | 122,053 | |
| | QCR HOLDINGS INC | | COMMON STOCK USD1. | | 1,700 | | | | 41,293 | |
| | QEP RESOURCES INC | | COMMON STOCK USD.01 | | 153,000 | | | | 2,050,200 | |
| | QIAGEN N.V. | | COMMON STOCK EUR.01 | | 200,200 | | | | 5,535,530 | |
| | QLIK TECHNOLOGIES INC | | COMMON STOCK USD.0001 | | 78,900 | | | | 2,497,974 | |
| | QLOGIC CORP | | COMMON STOCK USD.001 | | 87,000 | | | | 1,061,400 | |
| | QTS REALTY TRUST INC CL A | | REIT USD.01 | | 24,100 | | | | 1,087,151 | |
| | QUAD GRAPHICS INC | | COMMON STOCK USD.025 | | 28,000 | | | | 260,400 | |
| | QUAKER CHEMICAL CORP | | COMMON STOCK USD1. | | 12,800 | | | | 988,928 | |
| | QUALITY SYSTEMS INC | | COMMON STOCK USD.01 | | 47,500 | | | | 765,700 | |
| | QUALYS INC | | COMMON STOCK USD.001 | | 18,100 | | | | 598,929 | |
| | QUANEX BUILDING PRODUCTS | | COMMON STOCK USD.01 | | 29,255 | | | | 609,967 | |
| | QUANTUM CORP | | COMMON STOCK USD.01 | | 212,680 | | | | 197,792 | |
| | QUESTAR CORP | | COMMON STOCK | | 157,700 | | | | 3,071,996 | |
| | QUIDEL CORP | | COMMON STOCK USD.001 | | 27,738 | | | | 588,046 | |
| | QUINSTREET INC | | COMMON STOCK USD.001 | | 29,900 | | | | 128,271 | |
| | QUINTILES TRANSNATIONAL HOLD | | COMMON STOCK USD.01 | | 66,200 | | | | 4,545,292 | |
| | QUOTIENT TECHNOLOGY INC | | COMMON STOCK USD.00001 | | 47,500 | | | | 323,950 | |
| | RACKSPACE HOSTING INC | | COMMON STOCK USD.001 | | 105,400 | | | | 2,668,728 | |
| | RADIAN GROUP INC | | COMMON STOCK USD.001 | | 158,980 | | | | 2,128,742 | |
| | RADIUS HEALTH INC | | COMMON STOCK USD.0001 | | 28,500 | | | | 1,753,890 | |
| | RAIT FINANCIAL TRUST | | REIT USD.01 | | 77,900 | | | | 210,330 | |
| | RAMBUS INC | | COMMON STOCK USD.001 | | 108,364 | | | | 1,255,939 | |
| | RAMCO GERSHENSON PROPERTIES | | REIT USD.01 | | 68,227 | | | | 1,133,250 | |
| | RAPTOR PHARMACEUTICAL CORP | | COMMON STOCK USD.001 | | 57,600 | | | | 299,520 | |
| | RAVEN INDUSTRIES INC | | COMMON STOCK USD1. | | 38,082 | | | | 594,079 | |
| | RAYMOND JAMES FINANCIAL INC | | COMMON STOCK USD.01 | | 111,312 | | | | 6,452,757 | |
| | RAYONIER ADVANCED MATERIALS | | COMMON STOCK USD.01 | | 37,627 | | | | 368,368 | |
| | RAYONIER INC | | REIT | | 113,682 | | | | 2,523,740 | |
| | RBC BEARINGS INC | | COMMON STOCK USD.01 | | 19,740 | | | | 1,275,007 | |
| | RE/MAX HOLDINGS INC CL A | | COMMON STOCK USD.0001 | | 11,300 | | | | 421,490 | |
| | READING INTERNATIONAL INC A | | COMMON STOCK USD.01 | | 4,900 | | | | 64,239 | |
| | REAL INDUSTRY INC | | COMMON STOCK | | 4,000 | | | | 32,120 | |
| | REALD INC | | COMMON STOCK USD.0001 | | 35,800 | | | | 377,690 | |
| | REALNETWORKS INC | | COMMON STOCK USD.001 | | 24,775 | | | | 105,294 | |
| | REALOGY HOLDINGS CORP | | COMMON STOCK USD.01 | | 123,900 | | | | 4,543,413 | |
| | REALPAGE INC | | COMMON STOCK USD.001 | | 46,100 | | | | 1,034,945 | |
| | RED ROBIN GOURMET BURGERS | | COMMON STOCK USD.001 | | 14,400 | | | | 889,056 | |
| | REDWOOD TRUST INC | | REIT USD.01 | | 85,200 | | | | 1,124,640 | |
| | REGAL BELOIT CORP | | COMMON STOCK USD.01 | | 38,904 | | | | 2,276,662 | |
| | REGAL ENTERTAINMENT GROUP A | | COMMON STOCK USD.001 | | 79,765 | | | | 1,505,166 | |
| | REGENCY CENTERS CORP | | REIT USD.01 | | 82,380 | | | | 5,611,726 | |
| | REGIS CORP | | COMMON STOCK USD.05 | | 41,240 | | | | 583,546 | |
| | REGULUS THERAPEUTICS INC | | COMMON STOCK USD.001 | | 34,300 | | | | 299,096 | |
| | REINSURANCE GROUP OF AMERICA | | COMMON STOCK USD.01 | | 55,375 | | | | 4,737,331 | |
| | REIS INC | | COMMON STOCK USD.01 | | 4,100 | | | | 97,293 | |
| | RELIANCE STEEL + ALUMINUM | | COMMON STOCK | | 61,986 | | | | 3,589,609 | |
| | RELYPSA INC | | COMMON STOCK USD.001 | | 28,200 | | | | 799,188 | |
| | RENAISSANCERE HOLDINGS LTD | | COMMON STOCK USD1. | | 39,775 | | | | 4,502,132 | |
| | RENASANT CORP | | COMMON STOCK USD5. | | 30,275 | | | | 1,041,763 | |
| | RENEWABLE ENERGY GROUP INC | | COMMON STOCK USD.0001 | | 19,800 | | | | 183,942 | |
| | RENT A CENTER INC | | COMMON STOCK USD.01 | | 45,850 | | | | 686,375 | |
| | RENTECH INC | | COMMON STOCK USD.01 | | 26,590 | | | | 93,597 | |
| | RENTRAK CORP | | COMMON STOCK USD.001 | | 10,200 | | | | 484,806 | |
| | REPLIGEN CORP | | COMMON STOCK USD.01 | | 28,200 | | | | 797,778 | |
| | REPUBLIC AIRWAYS HOLDINGS IN | | COMMON STOCK USD.001 | | 46,923 | | | | 184,407 | |
| | REPUBLIC BANCORP INC CLASS A | | COMMON STOCK | | 9,490 | | | | 250,631 | |
| | RESMED INC | | COMMON STOCK USD.004 | | 120,364 | | | | 6,462,343 | |
| | RESOURCE AMERICA INC CL A | | COMMON STOCK USD.01 | | 21,200 | | | | 129,956 | |
| | RESOURCE CAPITAL CORP | | REIT USD.001 | | 30,917 | | | | 394,501 | |
| | RESOURCES CONNECTION INC | | COMMON STOCK USD.01 | | 32,600 | | | | 532,684 | |
| | RESTORATION HARDWARE HOLDING | | COMMON STOCK USD.0001 | | 28,500 | | | | 2,264,325 | |
| | RETAIL OPPORTUNITY INVESTMEN | | REIT USD.0001 | | 88,400 | | | | 1,582,360 | |
| | RETAIL PROPERTIES OF AME A | | REIT USD.001 | | 210,600 | | | | 3,110,562 | |
| | RETAILMENOT INC | | COMMON STOCK USD.001 | | 26,700 | | | | 264,864 | |
| | RETROPHIN INC | | COMMON STOCK USD.0001 | | 25,100 | | | | 484,179 | |
| | REVANCE THERAPEUTICS INC | | COMMON STOCK USD.001 | | 13,100 | | | | 447,496 | |
| | REVLON INC CLASS A | | COMMON STOCK USD.01 | | 11,400 | | | | 317,376 | |
| | REX AMERICAN RESOURCES CORP | | COMMON STOCK USD.01 | | 6,900 | | | | 373,083 | |
| | REX ENERGY CORP | | COMMON STOCK USD.001 | | 42,830 | | | | 44,972 | |
| | REXFORD INDUSTRIAL REALTY IN | | REIT USD.01 | | 51,800 | | | | 847,448 | |
| | REXNORD CORP | | COMMON STOCK USD.01 | | 90,500 | | | | 1,639,860 | |
| | RICE ENERGY INC | | COMMON STOCK USD.01 | | 65,500 | | | | 713,950 | |
| | RIGEL PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 86,763 | | | | 262,892 | |
| | RIGNET INC | | COMMON STOCK USD.001 | | 11,700 | | | | 242,073 | |
| | RING ENERGY INC | | COMMON STOCK USD.001 | | 17,000 | | | | 119,850 | |
| | RINGCENTRAL INC CLASS A | | COMMON STOCK USD.0001 | | 42,700 | | | | 1,006,866 | |
| | RITE AID CORP | | COMMON STOCK USD1. | | 864,500 | | | | 6,777,680 | |
| | RLI CORP | | COMMON STOCK USD1. | | 37,400 | | | | 2,309,450 | |
| | RLJ LODGING TRUST | | REIT | | 120,400 | | | | 2,604,252 | |
| | RMR GROUP INC/THE A | | COMMON STOCK | | 6,094 | | | | 87,808 | |
| | ROADRUNNER TRANSPORTATION SY | | COMMON STOCK USD.01 | | 19,200 | | | | 181,056 | |
| | ROCKET FUEL INC | | COMMON STOCK USD.001 | | 15,700 | | | | 54,793 | |
| | ROCKWELL MEDICAL INC | | COMMON STOCK | | 38,100 | | | | 390,144 | |
| | ROFIN SINAR TECHNOLOGIES INC | | COMMON STOCK USD.01 | | 24,340 | | | | 651,825 | |
| | ROGERS CORP | | COMMON STOCK USD1. | | 17,900 | | | | 923,103 | |
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Table of Contents
| | ROLLINS INC | | COMMON STOCK USD1. | | 78,305 | | | | 2,028,100 | |
| | ROUSE PROPERTIES INC | | REIT | | 27,312 | | | | 397,663 | |
| | ROVI CORP | | COMMON STOCK USD.001 | | 76,372 | | | | 1,272,358 | |
| | ROWAN COMPANIES PLC A | | COMMON STOCK USD.125 | | 110,200 | | | | 1,867,890 | |
| | ROYAL GOLD INC | | COMMON STOCK USD.01 | | 57,500 | | | | 2,097,025 | |
| | RPC INC | | COMMON STOCK USD.1 | | 60,993 | | | | 728,866 | |
| | RPM INTERNATIONAL INC | | COMMON STOCK USD.01 | | 114,847 | | | | 5,060,159 | |
| | RPX CORP | | COMMON STOCK USD.0001 | | 45,300 | | | | 498,300 | |
| | RR DONNELLEY + SONS CO | | COMMON STOCK USD1.25 | | 180,245 | | | | 2,653,206 | |
| | RSP PERMIAN INC | | COMMON STOCK USD.01 | | 53,800 | | | | 1,312,182 | |
| | RTI SURGICAL INC | | COMMON STOCK USD.001 | | 55,300 | | | | 219,541 | |
| | RUBICON PROJECT INC/THE | | COMMON STOCK USD.00001 | | 25,200 | | | | 414,540 | |
| | RUBY TUESDAY INC | | COMMON STOCK USD.01 | | 64,300 | | | | 354,293 | |
| | RUCKUS WIRELESS INC | | COMMON STOCK USD.001 | | 69,200 | | | | 741,132 | |
| | RUDOLPH TECHNOLOGIES INC | | COMMON STOCK USD.001 | | 34,006 | | | | 483,565 | |
| | RUSH ENTERPRISES INC CL A | | COMMON STOCK USD.01 | | 36,322 | | | | 795,089 | |
| | RUSSELL 2000 MINI MAR16 | | IFUS 20160318 | | 13,600 | | | | 89,760 | |
| | RUTH S HOSPITALITY GROUP INC | | COMMON STOCK USD.01 | | 31,764 | | | | 505,683 | |
| | RYMAN HOSPITALITY PROPERTIES | | REIT USD.01 | | 40,078 | | | | 2,069,628 | |
| | S + T BANCORP INC | | COMMON STOCK USD2.5 | | 29,200 | | | | 899,944 | |
| | S+P MID 400 EMINI MAR16 | | XCME 20160318 | | 15,700 | | | | 6,758 | |
| | SABRA HEALTH CARE REIT INC | | REIT USD.01 | | 49,809 | | | | 1,007,636 | |
| | SABRE CORP | | COMMON STOCK USD.01 | | 94,000 | | | | 2,629,180 | |
| | SAFE BULKERS INC | | COMMON STOCK USD.001 | | 32,500 | | | | 26,325 | |
| | SAFEGUARD SCIENTIFICS INC | | COMMON STOCK USD.1 | | 25,306 | | | | 367,190 | |
| | SAFETY INSURANCE GROUP INC | | COMMON STOCK USD.01 | | 13,900 | | | | 783,682 | |
| | SAGA COMMUNICATIONS INC CL A | | COMMON STOCK USD.01 | | 3,400 | | | | 130,730 | |
| | SAGE THERAPEUTICS INC | | COMMON STOCK USD.0001 | | 11,000 | | | | 641,300 | |
| | SAGENT PHARMACEUTICALS INC | | COMMON STOCK USD.01 | | 18,300 | | | | 291,153 | |
| | SAIA INC | | COMMON STOCK USD.001 | | 24,375 | | | | 542,344 | |
| | SALLY BEAUTY HOLDINGS INC | | COMMON STOCK USD.01 | | 133,217 | | | | 3,715,422 | |
| | SANCHEZ ENERGY CORP | | COMMON STOCK USD.01 | | 42,300 | | | | 182,313 | |
| | SANDERSON FARMS INC | | COMMON STOCK USD1. | | 20,850 | | | | 1,616,292 | |
| | SANDRIDGE ENERGY INC | | COMMON STOCK USD.001 | | 526,778 | | | | 105,356 | |
| | SANDY SPRING BANCORP INC | | COMMON STOCK USD1. | | 25,150 | | | | 678,044 | |
| | SANGAMO BIOSCIENCES INC | | COMMON STOCK USD.01 | | 62,900 | | | | 574,277 | |
| | SANMINA CORP | | COMMON STOCK USD.01 | | 67,500 | | | | 1,389,150 | |
| | SANTANDER CONSUMER USA HOLDI | | COMMON STOCK USD.01 | | 80,800 | | | | 1,280,680 | |
| | SAPIENS INTERNATIONAL CORP | | COMMON STOCK USD.01 | | 3,500 | | | | 35,700 | |
| | SAREPTA THERAPEUTICS INC | | COMMON STOCK USD.0001 | | 33,700 | | | | 1,300,146 | |
| | SAUL CENTERS INC | | REIT USD.01 | | 8,835 | | | | 452,970 | |
| | SBA COMMUNICATIONS CORP CL A | | COMMON STOCK USD.01 | | 112,671 | | | | 11,838,342 | |
| | SCANSOURCE INC | | COMMON STOCK | | 29,400 | | | | 947,268 | |
| | SCHNITZER STEEL INDS INC A | | COMMON STOCK USD1. | | 27,534 | | | | 395,664 | |
| | SCHOLASTIC CORP | | COMMON STOCK USD.01 | | 26,600 | | | | 1,025,696 | |
| | SCHULMAN (A.) INC | | COMMON STOCK USD1. | | 28,836 | | | | 883,535 | |
| | SCHWEITZER MAUDUIT INTL INC | | COMMON STOCK USD.1 | | 26,310 | | | | 1,104,757 | |
| | SCICLONE PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 42,925 | | | | 394,910 | |
| | SCIENCE APPLICATIONS INTE | | COMMON STOCK USD.0001 | | 37,542 | | | | 1,718,673 | |
| | SCIENTIFIC GAMES CORP A | | COMMON STOCK USD.01 | | 51,187 | | | | 459,147 | |
| | SCIQUEST INC | | COMMON STOCK USD.001 | | 23,800 | | | | 308,686 | |
| | SCORE BRD INC | | COM NEW | | 137 | | | | — | |
| | SCORPIO BULKERS INC | | COMMON STOCK USD.01 | | 26,483 | | | | 261,917 | |
| | SCORPIO TANKERS INC | | COMMON STOCK USD.01 | | 168,500 | | | | 1,351,370 | |
| | SCOTTS MIRACLE GRO CO CL A | | COMMON STOCK USD.01 | | 39,020 | | | | 2,517,180 | |
| | SEABOARD CORP W/D | | COMMON STOCK USD1.0 | | 227 | | | | 657,106 | |
| | SEACHANGE INTERNATIONAL INC | | COMMON STOCK USD.01 | | 34,700 | | | | 233,878 | |
| | SEACOAST BANKING CORP/FL | | COMMON STOCK USD.1 | | 17,440 | | | | 261,251 | |
| | SEACOR HOLDINGS INC | | COMMON STOCK USD.01 | | 16,962 | | | | 891,523 | |
| | SEADRILL LTD | | COMMON STOCK USD2. | | 327,000 | | | | 1,108,530 | |
| | SEARS HOLDINGS CORP | | COMMON STOCK USD.01 | | 9,500 | | | | 195,320 | |
| | SEASPINE HOLDINGS CORP | | COMMON STOCK USD.01 | | 7,866 | | | | 135,138 | |
| | SEATTLE GENETICS INC | | COMMON STOCK USD.001 | | 90,624 | | | | 4,067,205 | |
| | SEAWORLD ENTERTAINMENT INC | | COMMON STOCK USD.01 | | 60,200 | | | | 1,185,338 | |
| | SECOND SIGHT MEDICAL PRODUCT | | COMMON STOCK | | 2,300 | | | | 13,547 | |
| | SEI INVESTMENTS COMPANY | | COMMON STOCK USD.01 | | 118,444 | | | | 6,206,466 | |
| | SELECT COMFORT CORPORATION | | COMMON STOCK USD.01 | | 45,300 | | | | 969,873 | |
| | SELECT INCOME REIT | | REIT USD.01 | | 50,700 | | | | 1,004,874 | |
| | SELECT MEDICAL HOLDINGS CORP | | COMMON STOCK USD.001 | | 78,200 | | | | 931,362 | |
| | SELECTIVE INSURANCE GROUP | | COMMON STOCK USD2. | | 49,258 | | | | 1,654,084 | |
| | SEMGROUP CORP CLASS A | | COMMON STOCK | | 38,849 | | | | 1,121,182 | |
| | SEMTECH CORP | | COMMON STOCK USD.01 | | 63,700 | | | | 1,205,204 | |
| | SENECA FOODS CORP CL A | | COMMON STOCK USD.25 | | 10,100 | | | | 292,698 | |
| | SENIOR HOUSING PROP TRUST | | REIT USD.01 | | 211,690 | | | | 3,141,480 | |
| | SENOMYX INC | | COMMON STOCK USD.001 | | 35,600 | | | | 134,212 | |
| | SENSIENT TECHNOLOGIES CORP | | COMMON STOCK USD.1 | | 40,300 | | | | 2,531,646 | |
| | SEQUENOM INC | | COMMON STOCK USD.001 | | 96,222 | | | | 157,804 | |
| | SEQUENTIAL BRANDS GROUP INC | | COMMON STOCK USD.01 | | 18,543 | | | | 146,675 | |
| | SERES THERAPEUTICS INC | | COMMON STOCK USD.001 | | 4,900 | | | | 171,941 | |
| | SERVICE CORP INTERNATIONAL | | COMMON STOCK USD1. | | 170,869 | | | | 4,446,011 | |
| | SERVICEMASTER GLOBAL HOLDING | | COMMON STOCK USD.01 | | 85,400 | | | | 3,351,096 | |
| | SERVICENOW INC | | COMMON STOCK USD.001 | | 134,100 | | | | 11,607,696 | |
| | SERVICESOURCE INTERNATIONAL | | COMMON STOCK USD.0001 | | 44,300 | | | | 204,223 | |
| | SERVISFIRST BANCSHARES INC | | COMMON STOCK USD.001 | | 17,500 | | | | 831,775 | |
| | SEVENTY SEVEN ENERGY INC | | COMMON STOCK USD.01 | | 40,000 | | | | 42,000 | |
| | SFX ENTERTAINMENT INC | | COMMON STOCK USD.001 | | 19,400 | | | | 3,688 | |
| | SHAKE SHACK INC CLASS A | | COMMON STOCK USD.01 | | 5,900 | | | | 233,640 | |
| | SHENANDOAH TELECOMMUNICATION | | COMMON STOCK | | 20,900 | | | | 899,745 | |
| | SHIP FINANCE INTL LTD | | COMMON STOCK USD1. | | 53,029 | | | | 878,691 | |
| | SHOE CARNIVAL INC | | COMMON STOCK USD.01 | | 16,200 | | | | 375,840 | |
| | SHORETEL INC | | COMMON STOCK USD.001 | | 54,600 | | | | 483,210 | |
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Table of Contents
| | SHUTTERFLY INC | | COMMON STOCK USD.0001 | | 32,493 | | | | 1,447,888 | |
| | SHUTTERSTOCK INC | | COMMON STOCK USD.01 | | 14,700 | | | | 475,398 | |
| | SIERRA BANCORP | | COMMON STOCK | | 12,800 | | | | 225,920 | |
| | SIGMA DESIGNS INC | | COMMON STOCK | | 35,200 | | | | 222,464 | |
| | SIGNATURE BANK | | COMMON STOCK USD.01 | | 43,900 | | | | 6,732,943 | |
| | SILGAN HOLDINGS INC | | COMMON STOCK USD.01 | | 35,159 | | | | 1,888,741 | |
| | SILICON GRAPHICS INTERNATION | | COMMON STOCK USD.001 | | 30,400 | | | | 179,360 | |
| | SILICON LABORATORIES INC | | COMMON STOCK USD.0001 | | 35,200 | | | | 1,708,608 | |
| | SILVER BAY REALTY TRUST CORP | | REIT USD.01 | | 33,058 | | | | 517,688 | |
| | SILVER SPRING NETWORKS INC | | COMMON STOCK USD.001 | | 29,700 | | | | 427,977 | |
| | SIMMONS FIRST NATL CORP CL A | | COMMON STOCK USD.01 | | 24,200 | | | | 1,242,912 | |
| | SIMPSON MANUFACTURING CO INC | | COMMON STOCK USD.01 | | 39,400 | | | | 1,345,510 | |
| | SINCLAIR BROADCAST GROUP A | | COMMON STOCK USD.01 | | 57,296 | | | | 1,864,412 | |
| | SIRIUS XM HOLDINGS INC | | COMMON STOCK USD.001 | | 1,947,896 | | | | 7,927,937 | |
| | SIRONA DENTAL SYSTEMS INC | | COMMON STOCK USD.01 | | 47,700 | | | | 5,226,489 | |
| | SIX FLAGS ENTERTAINMENT CORP | | COMMON STOCK | | 60,500 | | | | 3,323,870 | |
| | SIZMEK INC | | COMMON STOCK | | 25,000 | | | | 91,250 | |
| | SJW CORP | | COMMON STOCK USD1.042 | | 15,067 | | | | 446,737 | |
| | SKECHERS USA INC CL A | | COMMON STOCK USD.001 | | 104,400 | | | | 3,153,924 | |
| | SKYWEST INC | | COMMON STOCK | | 48,666 | | | | 925,627 | |
| | SLM CORP | | COMMON STOCK USD.2 | | 376,300 | | | | 2,453,476 | |
| | SM ENERGY CO | | COMMON STOCK USD.01 | | 59,900 | | | | 1,177,634 | |
| | SMART + FINAL STORES INC | | COMMON STOCK USD.001 | | 17,900 | | | | 325,959 | |
| | SMITH (A.O.) CORP | | COMMON STOCK USD1. | | 61,984 | | | | 4,748,594 | |
| | SMITH + WESSON HOLDING CORP | | COMMON STOCK USD.001 | | 54,300 | | | | 1,193,514 | |
| | SNYDERS LANCE INC | | COMMON STOCK USD.833 | | 43,600 | | | | 1,495,480 | |
| | SOLARCITY CORP | | COMMON STOCK USD.0001 | | 49,300 | | | | 2,515,286 | |
| | SOLARWINDS INC | | COMMON STOCK USD.001 | | 53,879 | | | | 3,173,473 | |
| | SOLAZYME INC | | COMMON STOCK USD.001 | | 66,100 | | | | 163,928 | |
| | SOLERA HOLDINGS INC | | COMMON STOCK USD.01 | | 55,600 | | | | 3,048,548 | |
| | SONIC AUTOMOTIVE INC CLASS A | | COMMON STOCK USD.01 | | 28,500 | | | | 648,660 | |
| | SONIC CORP | | COMMON STOCK USD.01 | | 44,933 | | | | 1,451,785 | |
| | SONOCO PRODUCTS CO | | COMMON STOCK | | 84,120 | | | | 3,437,984 | |
| | SONUS NETWORKS INC | | COMMON STOCK USD.001 | | 42,563 | | | | 303,474 | |
| | SORRENTO THERAPEUTICS INC | | COMMON STOCK USD.0001 | | 26,800 | | | | 233,428 | |
| | SOTHEBY S | | COMMON STOCK USD.01 | | 58,600 | | | | 1,509,536 | |
| | SOUTH JERSEY INDUSTRIES | | COMMON STOCK USD1.25 | | 61,100 | | | | 1,437,072 | |
| | SOUTH STATE CORP | | COMMON STOCK USD2.5 | | 20,939 | | | | 1,506,561 | |
| | SOUTHERN COPPER CORP | | COMMON STOCK USD.01 | | 94,703 | | | | 2,473,642 | |
| | SOUTHSIDE BANCSHARES INC | | COMMON STOCK USD1.25 | | 24,222 | | | | 581,812 | |
| | SOUTHWEST BANCORP INC/OKLA | | COMMON STOCK USD1. | | 21,400 | | | | 374,072 | |
| | SOUTHWEST GAS CORP | | COMMON STOCK USD1. | | 39,400 | | | | 2,173,304 | |
| | SOVRAN SELF STORAGE INC | | REIT USD.01 | | 30,602 | | | | 3,283,901 | |
| | SP PLUS CORP | | COMMON STOCK USD.001 | | 13,700 | | | | 327,430 | |
| | SPARK THERAPEUTICS INC | | COMMON STOCK USD.001 | | 7,400 | | | | 335,294 | |
| | SPARTANNASH CO | | COMMON STOCK | | 35,558 | | | | 769,475 | |
| | SPARTON CORP | | COMMON STOCK USD1.25 | | 9,600 | | | | 191,904 | |
| | SPECTRANETICS CORP | | COMMON STOCK USD.001 | | 39,434 | | | | 593,876 | |
| | SPECTRUM BRANDS HOLDINGS INC | | COMMON STOCK USD.01 | | 20,900 | | | | 2,127,620 | |
| | SPECTRUM PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 67,339 | | | | 406,054 | |
| | SPEEDWAY MOTORSPORTS INC | | COMMON STOCK USD.01 | | 14,400 | | | | 298,368 | |
| | SPIRIT AEROSYSTEMS HOLD CL A | | COMMON STOCK USD.01 | | 119,330 | | | | 5,974,853 | |
| | SPIRIT AIRLINES INC | | COMMON STOCK USD.0001 | | 64,900 | | | | 2,586,265 | |
| | SPIRIT REALTY CAPITAL INC | | REIT USD.01 | | 381,778 | | | | 3,825,416 | |
| | SPLUNK INC | | COMMON STOCK USD.001 | | 105,900 | | | | 6,227,979 | |
| | SPOK HOLDINGS INC | | COMMON STOCK USD.0001 | | 25,260 | | | | 462,763 | |
| | SPORTSMAN S WAREHOUSE HOLDIN | | COMMON STOCK USD.01 | | 8,500 | | | | 109,650 | |
| | SPRINT CORP | | COMMON STOCK USD.01 | | 653,128 | | | | 2,364,323 | |
| | SPROUTS FARMERS MARKET INC | | COMMON STOCK USD.001 | | 128,900 | | | | 3,427,451 | |
| | SPS COMMERCE INC | | COMMON STOCK USD.001 | | 14,600 | | | | 1,025,066 | |
| | SPX CORP | | COMMON STOCK USD.01 | | 35,586 | | | | 332,017 | |
| | SPX FLOW INC | | COMMON STOCK USD.01 | | 35,586 | | | | 993,205 | |
| | SQUARE INC A | | COMMON STOCK USD.000001 | | 26,700 | | | | 349,503 | |
| | SS+C TECHNOLOGIES HOLDINGS | | COMMON STOCK USD.01 | | 70,000 | | | | 4,778,900 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 32,402,770 | | | | 32,402,770 | |
| | ST JOE CO/THE | | COMMON STOCK | | 39,200 | | | | 725,592 | |
| | STAAR SURGICAL CO | | COMMON STOCK USD.01 | | 35,900 | | | | 256,326 | |
| | STAG INDUSTRIAL INC | | REIT USD.01 | | 58,400 | | | | 1,077,480 | |
| | STAGE STORES INC | | COMMON STOCK USD.01 | | 35,248 | | | | 321,109 | |
| | STAMPS.COM INC | | COMMON STOCK USD.001 | | 12,750 | | | | 1,397,528 | |
| | STANCORP FINANCIAL GROUP | | COMMON STOCK | | 36,500 | | | | 4,156,620 | |
| | STANDARD MOTOR PRODS | | COMMON STOCK USD2. | | 19,200 | | | | 730,560 | |
| | STANDEX INTERNATIONAL CORP | | COMMON STOCK USD1.5 | | 12,400 | | | | 1,031,060 | |
| | STARWOOD PROPERTY TRUST INC | | REIT USD.01 | | 198,900 | | | | 4,089,384 | |
| | STARZ A | | COMMON STOCK USD.01 | | 71,668 | | | | 2,400,878 | |
| | STATE AUTO FINANCIAL CORP | | COMMON STOCK | | 15,800 | | | | 325,322 | |
| | STATE BANK FINANCIAL CORP | | COMMON STOCK USD.01 | | 30,700 | | | | 645,621 | |
| | STATE NATIONAL COS INC | | COMMON STOCK USD.001 | | 3,500 | | | | 34,335 | |
| | STEEL DYNAMICS INC | | COMMON STOCK USD.005 | | 203,500 | | | | 3,636,545 | |
| | STEELCASE INC CL A | | COMMON STOCK | | 70,090 | | | | 1,044,341 | |
| | STEIN MART INC | | COMMON STOCK USD.01 | | 27,600 | | | | 185,748 | |
| | STEMLINE THERAPEUTICS INC | | COMMON STOCK USD.0001 | | 8,600 | | | | 54,266 | |
| | STEPAN CO | | COMMON STOCK USD1. | | 18,832 | | | | 935,762 | |
| | STERIS PLC | | COMMON STOCK | | 74,300 | | | | 5,597,762 | |
| | STERLING BANCORP/DE | | COMMON STOCK USD.01 | | 103,694 | | | | 1,681,917 | |
| | STEVEN MADDEN LTD | | COMMON STOCK USD.0001 | | 46,312 | | | | 1,399,549 | |
| | STEWART INFORMATION SERVICES | | COMMON STOCK USD1. | | 21,500 | | | | 802,595 | |
| | STIFEL FINANCIAL CORP | | COMMON STOCK USD.15 | | 58,666 | | | | 2,485,092 | |
| | STILLWATER MINING CO | | COMMON STOCK USD.01 | | 114,543 | | | | 981,634 | |
| | STOCK YARDS BANCORP INC | | COMMON STOCK | | 15,710 | | | | 593,681 | |
| | STONE ENERGY CORP | | COMMON STOCK USD.01 | | 50,472 | | | | 216,525 | |
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Table of Contents
| | STONEGATE BANK | | COMMON STOCK USD.01 | | 4,200 | | | | 138,012 | |
| | STONERIDGE INC | | COMMON STOCK | | 36,000 | | | | 532,800 | |
| | STORE CAPITAL CORP | | REIT USD.01 | | 34,900 | | | | 809,680 | |
| | STRAIGHT PATH COMM B | | COMMON STOCK USD.01 | | 8,000 | | | | 137,120 | |
| | STRATASYS LTD | | COMMON STOCK ILS.01 | | 44,100 | | | | 1,035,468 | |
| | STRAYER EDUCATION INC | | COMMON STOCK USD.01 | | 12,500 | | | | 751,500 | |
| | STURM RUGER + CO INC | | COMMON STOCK USD1. | | 16,200 | | | | 965,682 | |
| | SUCAMPO PHARMACEUTICALS CL A | | COMMON STOCK USD.01 | | 21,500 | | | | 371,735 | |
| | SUFFOLK BANCORP | | COMMON STOCK USD2.5 | | 16,400 | | | | 464,940 | |
| | SUMMIT HOTEL PROPERTIES INC | | REIT | | 77,400 | | | | 924,930 | |
| | SUMMIT MATERIALS INC CL A | | COMMON STOCK USD.01 | | 20,097 | | | | 402,744 | |
| | SUN BANCORP INC NJ | | COMMON STOCK USD5.0 | | 6,180 | | | | 127,555 | |
| | SUN COMMUNITIES INC | | REIT USD.01 | | 43,600 | | | | 2,987,908 | |
| | SUN HYDRAULICS CORP | | COMMON STOCK USD.001 | | 19,700 | | | | 625,081 | |
| | SUNCOKE ENERGY INC | | COMMON STOCK USD.01 | | 70,660 | | | | 245,190 | |
| | SUNEDISON INC | | COMMON STOCK USD.01 | | 240,600 | | | | 1,224,654 | |
| | SUNPOWER CORP | | COMMON STOCK USD.001 | | 42,985 | | | | 1,289,980 | |
| | SUNSTONE HOTEL INVESTORS INC | | REIT USD.01 | | 180,304 | | | | 2,251,997 | |
| | SUPER MICRO COMPUTER INC | | COMMON STOCK USD.001 | | 27,900 | | | | 683,829 | |
| | SUPERIOR ENERGY SERVICES INC | | COMMON STOCK USD.001 | | 139,770 | | | | 1,882,702 | |
| | SUPERIOR INDUSTRIES INTL | | COMMON STOCK | | 27,900 | | | | 513,918 | |
| | SUPERNUS PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 28,500 | | | | 383,040 | |
| | SUPERVALU INC W/D | | COMMON STOCK USD.01 | | 232,400 | | | | 1,575,672 | |
| | SURGERY PARTNERS INC | | COMMON STOCK USD.01 | | 13,600 | | | | 278,664 | |
| | SURGICAL CARE AFFILIATES INC | | COMMON STOCK USD.01 | | 18,700 | | | | 744,447 | |
| | SURMODICS INC | | COMMON STOCK USD.05 | | 16,825 | | | | 341,043 | |
| | SVB FINANCIAL GROUP | | COMMON STOCK USD.001 | | 45,000 | | | | 5,350,500 | |
| | SWIFT TRANSPORTATION CO | | COMMON STOCK USD.001 | | 75,816 | | | | 1,047,777 | |
| | SYKES ENTERPRISES INC | | COMMON STOCK USD.01 | | 37,043 | | | | 1,140,184 | |
| | SYMETRA FINANCIAL CORP | | COMMON STOCK USD.01 | | 65,000 | | | | 2,065,050 | |
| | SYNAPTICS INC | | COMMON STOCK USD.001 | | 32,300 | | | | 2,594,982 | |
| | SYNCHRONOSS TECHNOLOGIES INC | | COMMON STOCK USD.0001 | | 32,300 | | | | 1,137,929 | |
| | SYNERGY PHARMACEUTICALS INC | | COMMON STOCK USD.0001 | | 97,100 | | | | 550,557 | |
| | SYNERGY RESOURCES CORP | | COMMON STOCK USD.001 | | 73,060 | | | | 622,471 | |
| | SYNNEX CORP | | COMMON STOCK USD.001 | | 26,000 | | | | 2,338,180 | |
| | SYNOPSYS INC | | COMMON STOCK USD.01 | | 134,947 | | | | 6,154,933 | |
| | SYNOVUS FINANCIAL CORP | | COMMON STOCK USD1.0 | | 115,203 | | | | 3,730,273 | |
| | SYNTA PHARMACEUTICALS CORP | | COMMON STOCK USD.0001 | | 27,600 | | | | 9,715 | |
| | SYNTEL INC | | COMMON STOCK | | 30,700 | | | | 1,389,175 | |
| | SYNUTRA INTERNATIONAL INC | | COMMON STOCK USD.0001 | | 19,399 | | | | 91,369 | |
| | SYSTEMAX INC | | COMMON STOCK USD.01 | | 10,600 | | | | 91,160 | |
| | T MOBILE US INC | | COMMON STOCK USD.0001 | | 232,600 | | | | 9,099,312 | |
| | TABLEAU SOFTWARE INC CL A | | COMMON STOCK USD.0001 | | 41,600 | | | | 3,919,552 | |
| | TAHOE RESOURCES INC | | COMMON STOCK | | 125,800 | | | | 1,090,686 | |
| | TAKE TWO INTERACTIVE SOFTWRE | | COMMON STOCK USD.01 | | 75,850 | | | | 2,642,614 | |
| | TAL INTERNATIONAL GROUP INC | | COMMON STOCK USD.001 | | 32,785 | | | | 521,282 | |
| | TALEN ENERGY CORP | | COMMON STOCK USD.001 | | 73,700 | | | | 459,151 | |
| | TALMER BANCORP INC CL A | | COMMON STOCK USD1.0 | | 43,300 | | | | 784,163 | |
| | TANDEM DIABETES CARE INC | | COMMON STOCK | | 11,500 | | | | 135,815 | |
| | TANGER FACTORY OUTLET CENTER | | REIT USD.01 | | 83,892 | | | | 2,743,268 | |
| | TANGOE INC/CT | | COMMON STOCK USD.0001 | | 27,800 | | | | 233,242 | |
| | TARGA RESOURCES CORP | | COMMON STOCK USD.001 | | 49,100 | | | | 1,328,646 | |
| | TASER INTERNATIONAL INC | | COMMON STOCK USD.00001 | | 50,000 | | | | 864,500 | |
| | TAUBMAN CENTERS INC | | REIT USD.01 | | 53,500 | | | | 4,104,520 | |
| | TAYLOR MORRISON HOME CORP A | | COMMON STOCK USD.00001 | | 28,200 | | | | 451,200 | |
| | TCF FINANCIAL CORP | | COMMON STOCK USD.01 | | 146,075 | | | | 2,062,579 | |
| | TD AMERITRADE HOLDING CORP | | COMMON STOCK USD.01 | | 232,076 | | | | 8,055,358 | |
| | TEAM HEALTH HOLDINGS INC | | COMMON STOCK USD.01 | | 62,400 | | | | 2,738,736 | |
| | TEAM INC | | COMMON STOCK USD.3 | | 19,880 | | | | 635,365 | |
| | TECH DATA CORP | | COMMON STOCK USD.0015 | | 30,175 | | | | 2,003,017 | |
| | TECHTARGET | | COMMON STOCK USD.001 | | 10,300 | | | | 82,709 | |
| | TEEKAY CORP | | COMMON STOCK USD.001 | | 44,200 | | | | 436,254 | |
| | TEEKAY TANKERS LTD CLASS A | | COMMON STOCK USD.01 | | 72,800 | | | | 500,864 | |
| | TEJON RANCH CO | | COMMON STOCK USD.5 | | 15,384 | | | | 294,604 | |
| | TEJON RANCH CO | | TEJON RANCH CO CW16 W/I | | 2,272 | | | | 15 | |
| | TELEDYNE TECHNOLOGIES INC | | COMMON STOCK USD.01 | | 31,537 | | | | 2,797,332 | |
| | TELEFLEX INC | | COMMON STOCK USD1. | | 35,876 | | | | 4,715,900 | |
| | TELENAV INC | | COMMON STOCK USD.001 | | 23,400 | | | | 133,146 | |
| | TELEPHONE AND DATA SYSTEMS | | COMMON STOCK USD.01 | | 78,495 | | | | 2,032,236 | |
| | TELETECH HOLDINGS INC | | COMMON STOCK USD.01 | | 19,400 | | | | 541,454 | |
| | TELIGENT INC | | COMMON STOCK USD.01 | | 35,800 | | | | 318,620 | |
| | TEMPUR SEALY INTERNATIONAL I | | COMMON STOCK USD.01 | | 52,729 | | | | 3,715,285 | |
| | TENNANT CO | | COMMON STOCK USD.375 | | 16,100 | | | | 905,786 | |
| | TENNECO INC | | COMMON STOCK USD.01 | | 52,982 | | | | 2,432,404 | |
| | TERADYNE INC | | COMMON STOCK USD.125 | | 187,900 | | | | 3,883,893 | |
| | TEREX CORP | | COMMON STOCK USD.01 | | 98,300 | | | | 1,816,584 | |
| | TERRAFORM GLOBAL INC CL A | | COMMON STOCK USD.01 | | 29,500 | | | | 164,905 | |
| | TERRAFORM POWER INC A | | COMMON STOCK USD.01 | | 41,900 | | | | 527,102 | |
| | TERRENO REALTY CORP | | REIT USD.01 | | 34,000 | | | | 769,080 | |
| | TERRITORIAL BANCORP INC | | COMMON STOCK USD.01 | | 11,200 | | | | 310,688 | |
| | TESARO INC | | COMMON STOCK USD.0001 | | 20,200 | | | | 1,056,864 | |
| | TESCO CORP | | COMMON STOCK | | 29,000 | | | | 209,960 | |
| | TESLA MOTORS INC | | COMMON STOCK USD.001 | | 84,200 | | | | 20,208,842 | |
| | TESSERA TECHNOLOGIES INC | | COMMON STOCK USD.001 | | 45,509 | | | | 1,365,725 | |
| | TETRA TECH INC | | COMMON STOCK USD.01 | | 52,283 | | | | 1,360,404 | |
| | TETRA TECHNOLOGIES INC | | COMMON STOCK USD.01 | | 81,605 | | | | 613,670 | |
| | TETRAPHASE PHARMACEUTICALS I | | COMMON STOCK USD.001 | | 31,200 | | | | 312,936 | |
| | TEXAS CAPITAL BANCSHARES INC | | COMMON STOCK USD.01 | | 37,825 | | | | 1,869,312 | |
| | TEXAS ROADHOUSE INC | | COMMON STOCK USD.001 | | 60,515 | | | | 2,164,622 | |
| | TEXTAINER GROUP HOLDINGS LTD | | COMMON STOCK USD.01 | | 20,500 | | | | 289,255 | |
| | TEXTURA CORP | | COMMON STOCK USD.001 | | 8,900 | | | | 192,062 | |
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Table of Contents
| | TFS FINANCIAL CORP | | COMMON STOCK USD.01 | | 52,700 | | | | 992,341 | |
| | TG THERAPEUTICS INC | | COMMON STOCK USD.001 | | 25,100 | | | | 299,443 | |
| | THERAPEUTICSMD INC | | COMMON STOCK USD.001 | | 85,700 | | | | 888,709 | |
| | THERAVANCE BIOPHARMA INC | | COMMON STOCK | | 21,628 | | | | 354,483 | |
| | THERMON GROUP HOLDINGS INC | | COMMON STOCK USD.001 | | 27,000 | | | | 456,840 | |
| | THIRD POINT REINSURANCE LTD | | COMMON STOCK USD.1 | | 60,600 | | | | 812,646 | |
| | THOMSON REUTERS CORP | | COMMON STOCK | | 287,100 | | | | 10,866,735 | |
| | THOR INDUSTRIES INC | | COMMON STOCK USD.1 | | 41,700 | | | | 2,341,455 | |
| | THRESHOLD PHARMACEUTICALS | | COMMON STOCK USD.001 | | 35,400 | | | | 16,988 | |
| | TIDEWATER INC | | COMMON STOCK USD.1 | | 48,535 | | | | 337,804 | |
| | TILE SHOP HLDGS INC | | COMMON STOCK USD.0001 | | 21,900 | | | | 359,160 | |
| | TILLY S INC CLASS A SHRS | | COMMON STOCK USD.001 | | 2,000 | | | | 13,260 | |
| | TIME INC | | COMMON STOCK USD.01 | | 94,800 | | | | 1,485,516 | |
| | TIMKEN CO | | COMMON STOCK | | 66,975 | | | | 1,914,815 | |
| | TIMKENSTEEL CORP | | COMMON STOCK | | 38,887 | | | | 325,873 | |
| | TITAN INTERNATIONAL INC | | COMMON STOCK | | 53,100 | | | | 209,214 | |
| | TITAN MACHINERY INC | | COMMON STOCK USD.00001 | | 16,681 | | | | 182,323 | |
| | TIVO INC | | COMMON STOCK USD.001 | | 87,500 | | | | 755,125 | |
| | TOBIRA THERAPEUTICS INC | | COMMON STOCK USD.001 | | 1,500 | | | | 15,075 | |
| | TOKAI PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 8,200 | | | | 71,504 | |
| | TOLL BROTHERS INC | | COMMON STOCK USD.01 | | 147,000 | | | | 4,895,100 | |
| | TOMPKINS FINANCIAL CORP | | COMMON STOCK USD.1 | | 15,087 | | | | 847,286 | |
| | TOOTSIE ROLL INDS | | COMMON STOCK USD.694 | | 16,094 | | | | 508,409 | |
| | TOPBUILD CORP | | COMMON STOCK | | 33,500 | | | | 1,030,795 | |
| | TORO CO | | COMMON STOCK USD1. | | 50,256 | | | | 3,672,206 | |
| | TOWER INTERNATIONAL INC | | COMMON STOCK USD.01 | | 17,800 | | | | 508,546 | |
| | TOWERS WATSON + CO CL A | | COMMON STOCK USD.01 | | 60,300 | | | | 7,746,138 | |
| | TOWNE BANK | | COMMON STOCK USD1.667 | | 46,990 | | | | 980,681 | |
| | TOWNSQUARE MEDIA INC CL A | | COMMON STOCK USD.01 | | 1,200 | | | | 14,352 | |
| | TRANSDIGM GROUP INC | | COMMON STOCK USD.01 | | 46,400 | | | | 10,600,080 | |
| | TRANSENTERIX INC | | COMMON STOCK USD.001 | | 12,700 | | | | 31,496 | |
| | TRANSUNION | | COMMON STOCK USD.01 | | 27,900 | | | | 769,203 | |
| | TRAVELPORT WORLDWIDE LTD | | COMMON STOCK USD.0025 | | 85,800 | | | | 1,106,820 | |
| | TRAVELZOO INC | | COMMON STOCK USD.01 | | 6,000 | | | | 50,220 | |
| | TREASURY BILL | | 0.01% 16 Jun 2016 | | 90,000 | | | | 88,890 | |
| | TREASURY BILL | | 0.01% 10 Mar 2016 | | 2,157,000 | | | | 2,156,917 | |
| | TRECORA RESOURCES | | COMMON STOCK USD.1 | | 21,400 | | | | 265,146 | |
| | TREDEGAR CORP | | COMMON STOCK | | 27,946 | | | | 380,625 | |
| | TREEHOUSE FOODS INC | | COMMON STOCK USD.01 | | 37,084 | | | | 2,909,611 | |
| | TREVENA INC | | COMMON STOCK USD.001 | | 20,400 | | | | 214,200 | |
| | TREX COMPANY INC | | COMMON STOCK USD.01 | | 26,182 | | | | 995,963 | |
| | TRI POINTE GROUP INC | | COMMON STOCK USD.01 | | 133,700 | | | | 1,693,979 | |
| | TRIANGLE PETROLEUM CORP | | COMMON STOCK USD.00001 | | 66,000 | | | | 50,820 | |
| | TRIBUNE MEDIA CO A | | COMMON STOCK | | 67,200 | | | | 2,272,032 | |
| | TRIBUNE PUBLISHING CO | | COMMON STOCK USD.01 | | 7,700 | | | | 70,994 | |
| | TRICO BANCSHARES | | COMMON STOCK | | 15,800 | | | | 433,552 | |
| | TRIMAS CORP | | COMMON STOCK USD.01 | | 39,000 | | | | 727,350 | |
| | TRIMBLE NAVIGATION LTD | | COMMON STOCK | | 218,470 | | | | 4,686,182 | |
| | TRINET GROUP INC | | COMMON STOCK USD.000025 | | 32,900 | | | | 636,615 | |
| | TRINITY INDUSTRIES INC | | COMMON STOCK USD.01 | | 130,100 | | | | 3,125,002 | |
| | TRINSEO SA | | COMMON STOCK USD.01 | | 11,500 | | | | 324,300 | |
| | TRIPLE S MANAGEMENT CORP B | | COMMON STOCK USD1. | | 22,800 | | | | 545,148 | |
| | TRISTATE CAPITAL HLDGS INC | | COMMON STOCK | | 2,400 | | | | 33,576 | |
| | TRIUMPH BANCORP INC | | COMMON STOCK USD.01 | | 1,700 | | | | 28,050 | |
| | TRIUMPH GROUP INC | | COMMON STOCK USD.001 | | 45,100 | | | | 1,792,725 | |
| | TRIUS THERAPEUTICS INC | | COMMON STOCK | | 30,500 | | | | 0 | |
| | TRONOX LTD CL A | | COMMON STOCK USD.01 | | 61,600 | | | | 240,856 | |
| | TRUEBLUE INC | | COMMON STOCK | | 36,428 | | | | 938,385 | |
| | TRUECAR INC | | COMMON STOCK USD.0001 | | 37,600 | | | | 358,704 | |
| | TRUSTCO BANK CORP NY | | COMMON STOCK USD1. | | 86,733 | | | | 532,541 | |
| | TRUSTMARK CORP | | COMMON STOCK | | 64,982 | | | | 1,497,185 | |
| | TTM TECHNOLOGIES | | COMMON STOCK USD.001 | | 52,768 | | | | 343,520 | |
| | TUESDAY MORNING CORP | | COMMON STOCK USD.01 | | 44,850 | | | | 291,525 | |
| | TUMI HOLDINGS INC | | COMMON STOCK USD.01 | | 49,800 | | | | 828,174 | |
| | TUPPERWARE BRANDS CORP | | COMMON STOCK USD.01 | | 45,000 | | | | 2,504,250 | |
| | TUTOR PERINI CORP | | COMMON STOCK USD1. | | 32,549 | | | | 544,870 | |
| | TWIN DISC INC | | COMMON STOCK | | 7,300 | | | | 76,796 | |
| | TWITTER INC | | COMMON STOCK USD.000005 | | 488,100 | | | | 11,294,634 | |
| | TWO HARBORS INVESTMENT CORP | | REIT | | 322,500 | | | | 2,612,250 | |
| | TYLER TECHNOLOGIES INC | | COMMON STOCK USD.01 | | 29,114 | | | | 5,075,152 | |
| | U.S. PHYSICAL THERAPY INC | | COMMON STOCK USD.01 | | 12,000 | | | | 644,160 | |
| | UBIQUITI NETWORKS INC | | COMMON STOCK USD.001 | | 31,100 | | | | 985,559 | |
| | UDR INC | | REIT USD.01 | | 225,294 | | | | 8,464,296 | |
| | UGI CORP | | COMMON STOCK | | 145,600 | | | | 4,915,456 | |
| | ULTA SALON COSMETICS + FRAGR | | COMMON STOCK USD.01 | | 55,700 | | | | 10,304,500 | |
| | ULTIMATE SOFTWARE GROUP INC | | COMMON STOCK USD.01 | | 24,720 | | | | 4,833,007 | |
| | ULTRA CLEAN HOLDINGS INC | | COMMON STOCK USD.001 | | 19,500 | | | | 99,840 | |
| | ULTRA PETROLEUM CORP | | COMMON STOCK | | 140,200 | | | | 350,500 | |
| | ULTRAGENYX PHARMACEUTICAL IN | | COMMON STOCK USD.001 | | 32,700 | | | | 3,668,286 | |
| | ULTRAPETROL (BAHAMAS) LTD | | COMMON STOCK USD.01 | | 14,400 | | | | 1,512 | |
| | ULTRATECH INC | | COMMON STOCK USD.001 | | 28,800 | | | | 570,816 | |
| | UMB FINANCIAL CORP | | COMMON STOCK USD1. | | 34,684 | | | | 1,614,540 | |
| | UMH PROPERTIES INC | | REIT USD.1 | | 12,400 | | | | 125,488 | |
| | UMPQUA HOLDINGS CORP | | COMMON STOCK | | 183,635 | | | | 2,919,797 | |
| | UNIFI INC | | COMMON STOCK USD.1 | | 16,200 | | | | 456,030 | |
| | UNIFIRST CORP/MA | | COMMON STOCK USD.1 | | 13,800 | | | | 1,437,960 | |
| | UNILIFE CORP | | COMMON STOCK USD.01 | | 100,100 | | | | 49,560 | |
| | UNION BANKSHARES CORP | | COMMON STOCK USD1.33 | | 40,471 | | | | 1,021,488 | |
| | UNISYS CORP | | COMMON STOCK USD.01 | | 47,140 | | | | 520,897 | |
| | UNIT CORP | | COMMON STOCK USD.2 | | 48,650 | | | | 593,530 | |
| | UNITED BANKSHARES INC | | COMMON STOCK USD2.5 | | 64,793 | | | | 2,396,693 | |
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Table of Contents
| | UNITED COMMUNITY BANKS/GA | | COMMON STOCK USD1. | | 44,362 | | | | 864,615 | |
| | UNITED COMMUNITY FINANCIAL | | COMMON STOCK | | 7,100 | | | | 41,890 | |
| | UNITED DEVELOPMENT FUNDING I | | REIT USD.01 | | 23,200 | | | | 255,200 | |
| | UNITED FINANCIAL BANCORP INC | | COMMON STOCK | | 52,757 | | | | 679,510 | |
| | UNITED FIRE GROUP INC | | COMMON STOCK USD.001 | | 17,500 | | | | 670,425 | |
| | UNITED INSURANCE HOLDINGS CO | | COMMON STOCK USD.0001 | | 3,600 | | | | 61,560 | |
| | UNITED NATURAL FOODS INC | | COMMON STOCK USD.01 | | 45,300 | | | | 1,783,008 | |
| | UNITED STATES LIME + MINERAL | | COMMON STOCK USD.1 | | 2,700 | | | | 148,392 | |
| | UNITED STATES STEEL CORP | | COMMON STOCK USD1. | | 131,600 | | | | 1,050,168 | |
| | UNITED THERAPEUTICS CORP | | COMMON STOCK USD.01 | | 39,710 | | | | 6,218,983 | |
| | UNITIL CORP | | COMMON STOCK | | 12,900 | | | | 462,852 | |
| | UNIVAR INC | | COMMON STOCK USD.01 | | 34,600 | | | | 588,546 | |
| | UNIVERSAL AMERICAN CORP | | COMMON STOCK USD.01 | | 37,161 | | | | 260,127 | |
| | UNIVERSAL CORP/VA | | COMMON STOCK | | 19,566 | | | | 1,097,261 | |
| | UNIVERSAL DISPLAY CORP | | COMMON STOCK USD.01 | | 34,800 | | | | 1,894,512 | |
| | UNIVERSAL ELECTRONICS INC | | COMMON STOCK USD.01 | | 16,300 | | | | 837,005 | |
| | UNIVERSAL FOREST PRODUCTS | | COMMON STOCK | | 16,900 | | | | 1,155,453 | |
| | UNIVERSAL HEALTH RLTY INCOME | | REIT USD.01 | | 11,100 | | | | 555,111 | |
| | UNIVERSAL INSURANCE HOLDINGS | | COMMON STOCK USD.01 | | 21,800 | | | | 505,324 | |
| | UNIVERSAL TECHNICAL INSTITUT | | COMMON STOCK USD.0001 | | 22,300 | | | | 103,918 | |
| | UNIVERSAL TRUCKLOAD SERVICES | | COMMON STOCK | | 8,000 | | | | 112,320 | |
| | UNIVEST CORP OF PENNSYLVANIA | | COMMON STOCK USD5. | | 18,149 | | | | 378,588 | |
| | URBAN EDGE PROPERTIES | | REIT USD.01 | | 84,300 | | | | 1,976,835 | |
| | URSTADT BIDDLE CLASS A | | REIT USD.01 | | 26,600 | | | | 511,784 | |
| | US CELLULAR CORP | | COMMON STOCK USD1. | | 12,350 | | | | 504,004 | |
| | US CONCRETE INC | | COMMON STOCK USD.001 | | 11,900 | | | | 626,654 | |
| | US DOLLAR | | | | (463,263 | ) | | | (463,263 | ) |
| | US ECOLOGY INC | | COMMON STOCK USD.01 | | 18,800 | | | | 685,072 | |
| | US SILICA HOLDINGS INC | | COMMON STOCK USD.01 | | 46,300 | | | | 867,199 | |
| | USANA HEALTH SCIENCES INC | | COMMON STOCK USD.001 | | 4,890 | | | | 624,698 | |
| | USG CORP | | COMMON STOCK USD.1 | | 74,225 | | | | 1,802,925 | |
| | UTAH MEDICAL PRODUCTS INC | | COMMON STOCK USD.01 | | 1,500 | | | | 87,810 | |
| | UTI WORLDWIDE INC | | COMMON STOCK | | 92,600 | | | | 650,978 | |
| | VAIL RESORTS INC | | COMMON STOCK USD.01 | | 33,000 | | | | 4,223,670 | |
| | VALIDUS HOLDINGS LTD | | COMMON STOCK USD.175 | | 70,279 | | | | 3,253,215 | |
| | VALLEY NATIONAL BANCORP | | COMMON STOCK | | 200,917 | | | | 1,979,032 | |
| | VALMONT INDUSTRIES | | COMMON STOCK USD1. | | 19,900 | | | | 2,109,798 | |
| | VALSPAR CORP/THE | | COMMON STOCK USD.5 | | 68,958 | | | | 5,720,066 | |
| | VANDA PHARMACEUTICALS INC | | COMMON STOCK USD.001 | | 41,500 | | | | 386,365 | |
| | VANTIV INC CL A | | COMMON STOCK USD.00001 | | 122,000 | | | | 5,785,240 | |
| | VARONIS SYSTEMS INC | | COMMON STOCK USD.001 | | 3,300 | | | | 62,040 | |
| | VASCO DATA SECURITY INTL | | COMMON STOCK USD.001 | | 32,897 | | | | 550,367 | |
| | VASCULAR SOLUTIONS INC | | COMMON STOCK USD.01 | | 16,700 | | | | 574,313 | |
| | VCA INC | | COMMON STOCK USD.001 | | 72,800 | | | | 4,004,000 | |
| | VECTOR GROUP LTD | | COMMON STOCK USD.1 | | 72,337 | | | | 1,706,430 | |
| | VECTREN CORP | | COMMON STOCK | | 75,288 | | | | 3,193,717 | |
| | VECTRUS INC | | COMMON STOCK USD.01 | | 10,072 | | | | 210,404 | |
| | VEECO INSTRUMENTS INC | | COMMON STOCK USD.01 | | 41,600 | | | | 855,296 | |
| | VEEVA SYSTEMS INC CLASS A | | COMMON STOCK USD.00001 | | 58,200 | | | | 1,679,070 | |
| | VERA BRADLEY INC | | COMMON STOCK | | 19,200 | | | | 302,592 | |
| | VERASTEM INC | | COMMON STOCK USD.0001 | | 20,300 | | | | 37,758 | |
| | VEREIT INC | | REIT USD.01 | | 788,700 | | | | 6,246,504 | |
| | VERIFONE SYSTEMS INC | | COMMON STOCK USD.01 | | 103,761 | | | | 2,907,383 | |
| | VERINT SYSTEMS INC | | COMMON STOCK USD.001 | | 56,648 | | | | 2,297,643 | |
| | VERITIV CORP | | COMMON STOCK USD.01 | | 7,500 | | | | 271,650 | |
| | VERSARTIS INC | | COMMON STOCK USD.0001 | | 19,500 | | | | 241,605 | |
| | VIAD CORP | | COMMON STOCK USD1.5 | | 21,094 | | | | 595,484 | |
| | VIASAT INC | | COMMON STOCK USD.0001 | | 38,880 | | | | 2,372,069 | |
| | VIAVI SOLUTIONS INC | | COMMON STOCK USD.001 | | 211,100 | | | | 1,285,599 | |
| | VICOR CORP | | COMMON STOCK USD.01 | | 20,000 | | | | 182,400 | |
| | VILLAGE SUPER MARKET CLASS A | | COMMON STOCK | | 6,800 | | | | 179,180 | |
| | VINCE HOLDING CORP | | COMMON STOCK USD.001 | | 11,200 | | | | 51,296 | |
| | VIOLIN MEMORY INC | | COMMON STOCK USD.0001 | | 66,500 | | | | 59,857 | |
| | VIRGIN AMERICA INC | | COMMON STOCK USD.01 | | 19,600 | | | | 705,796 | |
| | VIRNETX HOLDING CORP | | COMMON STOCK USD.0001 | | 41,600 | | | | 106,912 | |
| | VIRTU FINANCIAL INC CLASS A | | COMMON STOCK USD.00001 | | 14,000 | | | | 316,960 | |
| | VIRTUS INVESTMENT PARTNERS | | COMMON STOCK USD.01 | | 6,689 | | | | 785,690 | |
| | VIRTUSA CORP | | COMMON STOCK USD.01 | | 26,444 | | | | 1,093,195 | |
| | VISHAY INTERTECHNOLOGY INC | | COMMON STOCK USD.1 | | 129,758 | | | | 1,563,584 | |
| | VISHAY PRECISION GROUP | | COMMON STOCK | | 11,477 | | | | 129,920 | |
| | VISTA OUTDOOR INC | | COMMON STOCK USD.01 | | 58,968 | | | | 2,624,666 | |
| | VISTEON CORP | | COMMON STOCK | | 34,900 | | | | 3,996,050 | |
| | VITAL THERAPIES INC | | COMMON STOCK USD.0001 | | 7,300 | | | | 84,096 | |
| | VITAMIN SHOPPE INC | | COMMON STOCK USD.01 | | 26,975 | | | | 882,083 | |
| | VIVUS INC | | COMMON STOCK USD.001 | | 100,200 | | | | 102,204 | |
| | VMWARE INC CLASS A | | COMMON STOCK USD.01 | | 68,636 | | | | 3,882,739 | |
| | VOCERA COMMUNICATIONS INC | | COMMON STOCK USD.0003 | | 17,500 | | | | 213,500 | |
| | VONAGE HOLDINGS CORP | | COMMON STOCK USD.001 | | 150,000 | | | | 861,000 | |
| | VOXX INTERNATIONAL CORP | | COMMON STOCK USD.01 | | 17,500 | | | | 92,050 | |
| | VOYA FINANCIAL INC | | COMMON STOCK USD.01 | | 185,500 | | | | 6,846,805 | |
| | VSE CORP | | COMMON STOCK USD.05 | | 4,500 | | | | 279,810 | |
| | VWR CORP | | COMMON STOCK USD.01 | | 28,100 | | | | 795,511 | |
| | W+T OFFSHORE INC | | COMMON STOCK USD.00001 | | 37,200 | | | | 85,932 | |
| | WABASH NATIONAL CORP | | COMMON STOCK USD.01 | | 58,657 | | | | 693,912 | |
| | WABCO HOLDINGS INC | | COMMON STOCK USD.01 | | 46,515 | | | | 4,756,624 | |
| | WABTEC CORP | | COMMON STOCK USD.01 | | 81,904 | | | | 5,825,012 | |
| | WADDELL + REED FINANCIAL A | | COMMON STOCK USD.01 | | 77,008 | | | | 2,207,049 | |
| | WAGEWORKS INC | | COMMON STOCK USD.001 | | 32,600 | | | | 1,479,062 | |
| | WALKER + DUNLOP INC | | COMMON STOCK | | 20,400 | | | | 587,724 | |
| | WALTER INVESTMENT MANAGEMENT | | COMMON STOCK USD.01 | | 34,982 | | | | 497,444 | |
| | WASHINGTON FEDERAL INC | | COMMON STOCK USD1. | | 82,022 | | | | 1,954,584 | |
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| | WASHINGTON REIT | | REIT USD.01 | | 58,900 | | | | 1,593,834 | |
| | WASHINGTON TRUST BANCORP | | COMMON STOCK USD.0625 | | 15,400 | | | | 608,608 | |
| | WASTE CONNECTIONS INC | | COMMON STOCK USD.01 | | 110,637 | | | | 6,231,076 | |
| | WATERSTONE FINANCIAL INC | | COMMON STOCK USD.01 | | 10,042 | | | | 141,592 | |
| | WATSCO INC | | COMMON STOCK USD.5 | | 22,500 | | | | 2,635,425 | |
| | WATTS WATER TECHNOLOGIES A | | COMMON STOCK USD.1 | | 23,700 | | | | 1,177,179 | |
| | WAUSAU PAPER CORP | | COMMON STOCK | | 47,000 | | | | 480,810 | |
| | WAYFAIR INC CLASS A | | COMMON STOCK USD.001 | | 15,700 | | | | 747,634 | |
| | WCI COMMUNITIES INC | | COMMON STOCK USD.01 | | 15,100 | | | | 336,428 | |
| | WD 40 CO | | COMMON STOCK USD.001 | | 12,600 | | | | 1,242,990 | |
| | WEATHERFORD INTERNATIONAL PL | | COMMON STOCK USD.001 | | 666,500 | | | | 5,591,935 | |
| | WEB.COM GROUP INC | | COMMON STOCK USD.001 | | 34,900 | | | | 698,349 | |
| | WEBMD HEALTH CORP | | COMMON STOCK USD.01 | | 35,312 | | | | 1,705,570 | |
| | WEBSTER FINANCIAL CORP | | COMMON STOCK USD.01 | | 75,462 | | | | 2,806,432 | |
| | WEIGHT WATCHERS INTL INC | | COMMON STOCK | | 27,700 | | | | 631,560 | |
| | WEINGARTEN REALTY INVESTORS | | REIT USD.03 | | 111,450 | | | | 3,853,941 | |
| | WEIS MARKETS INC | | COMMON STOCK | | 12,500 | | | | 553,750 | |
| | WELLCARE HEALTH PLANS INC | | COMMON STOCK USD.01 | | 37,300 | | | | 2,917,233 | |
| | WENDY S CO/THE | | COMMON STOCK USD.1 | | 186,577 | | | | 2,009,434 | |
| | WERNER ENTERPRISES INC | | COMMON STOCK USD.01 | | 44,532 | | | | 1,041,603 | |
| | WESBANCO INC | | COMMON STOCK USD2.0833 | | 34,641 | | | | 1,039,923 | |
| | WESCO AIRCRAFT HOLDINGS INC | | COMMON STOCK USD.001 | | 37,500 | | | | 448,875 | |
| | WESCO INTERNATIONAL INC | | COMMON STOCK USD.01 | | 40,565 | | | | 1,771,879 | |
| | WEST BANCORPORATION | | COMMON STOCK | | 19,400 | | | | 383,150 | |
| | WEST CORP | | COMMON STOCK USD.001 | | 45,500 | | | | 981,435 | |
| | WEST MARINE INC | | COMMON STOCK USD.001 | | 22,400 | | | | 190,176 | |
| | WEST PHARMACEUTICAL SERVICES | | COMMON STOCK USD.25 | | 61,900 | | | | 3,727,618 | |
| | WESTAMERICA BANCORPORATION | | COMMON STOCK | | 22,038 | | | | 1,030,277 | |
| | WESTAR ENERGY INC | | COMMON STOCK USD5. | | 123,800 | | | | 5,250,358 | |
| | WESTERN ALLIANCE BANCORP | | COMMON STOCK USD.0001 | | 79,982 | | | | 2,868,155 | |
| | WESTERN ASSET MORTGAGE CAPIT | | REIT USD.01 | | 25,475 | | | | 260,355 | |
| | WESTERN REFINING INC | | COMMON STOCK USD.01 | | 58,900 | | | | 2,098,018 | |
| | WESTLAKE CHEMICAL CORP | | COMMON STOCK USD.01 | | 34,800 | | | | 1,890,336 | |
| | WESTMORELAND COAL CO | | COMMON STOCK USD2.5 | | 14,500 | | | | 85,260 | |
| | WESTWOOD HOLDINGS GROUP INC | | COMMON STOCK USD.01 | | 6,929 | | | | 360,932 | |
| | WEX INC | | COMMON STOCK USD.01 | | 32,181 | | | | 2,844,800 | |
| | WEYCO GROUP INC | | COMMON STOCK USD1. | | 8,386 | | | | 224,409 | |
| | WGL HOLDINGS INC | | COMMON STOCK | | 41,108 | | | | 2,589,393 | |
| | WHITE MOUNTAINS INSURANCE GP | | COMMON STOCK USD1. | | 5,200 | | | | 3,779,412 | |
| | WHITESTONE REIT | | REIT USD.001 | | 20,700 | | | | 248,607 | |
| | WHITEWAVE FOODS CO | | COMMON STOCK USD.01 | | 146,890 | | | | 5,715,490 | |
| | WHITING PETROLEUM CORP | | COMMON STOCK USD.001 | | 172,357 | | | | 1,627,050 | |
| | WILEY (JOHN) + SONS CLASS A | | COMMON STOCK USD1. | | 40,233 | | | | 1,811,692 | |
| | WILLIAM LYON HOMES CL A | | COMMON STOCK USD.01 | | 11,400 | | | | 188,100 | |
| | WILLIAMS SONOMA INC | | COMMON STOCK USD.01 | | 77,338 | | | | 4,517,313 | |
| | WILSHIRE BANCORP INC | | COMMON STOCK | | 74,874 | | | | 864,795 | |
| | WINDSTREAM HOLDINGS INC | | COMMON STOCK USD.0001 | | 91,850 | | | | 591,514 | |
| | WINMARK CORP | | COMMON STOCK | | 2,200 | | | | 204,622 | |
| | WINNEBAGO INDUSTRIES | | COMMON STOCK USD.5 | | 27,400 | | | | 545,260 | |
| | WINTRUST FINANCIAL CORP | | COMMON STOCK | | 40,624 | | | | 1,971,076 | |
| | WISDOMTREE INVESTMENTS INC | | COMMON STOCK USD.01 | | 102,700 | | | | 1,610,336 | |
| | WIX.COM LTD | | COMMON STOCK ILS.01 | | 8,100 | | | | 184,275 | |
| | WOLVERINE WORLD WIDE INC | | COMMON STOCK USD1. | | 89,158 | | | | 1,489,830 | |
| | WOODWARD INC | | COMMON STOCK USD.00292 | | 55,300 | | | | 2,746,198 | |
| | WORKDAY INC CLASS A | | COMMON STOCK USD.001 | | 91,300 | | | | 7,274,784 | |
| | WORLD ACCEPTANCE CORP | | COMMON STOCK | | 7,500 | | | | 278,250 | |
| | WORLD FUEL SERVICES CORP | | COMMON STOCK USD.01 | | 65,400 | | | | 2,515,284 | |
| | WORLD WRESTLING ENTERTAIN A | | COMMON STOCK USD.01 | | 26,500 | | | | 472,760 | |
| | WORTHINGTON INDUSTRIES | | COMMON STOCK | | 41,500 | | | | 1,250,810 | |
| | WP CAREY INC | | REIT USD.001 | | 90,200 | | | | 5,321,800 | |
| | WP GLIMCHER INC | | REIT USD.0001 | | 160,218 | | | | 1,699,913 | |
| | WPX ENERGY INC | | COMMON STOCK | | 180,300 | | | | 1,034,922 | |
| | WR BERKLEY CORP | | COMMON STOCK USD.2 | | 81,171 | | | | 4,444,112 | |
| | WR GRACE + CO | | COMMON STOCK USD.01 | | 60,985 | | | | 6,073,496 | |
| | WRIGHT MEDICAL GROUP NV | | COMMON STOCK | | 76,423 | | | | 1,847,908 | |
| | WSFS FINANCIAL CORP | | COMMON STOCK USD.01 | | 27,600 | | | | 893,136 | |
| | XCERRA CORP | | COMMON STOCK USD.05 | | 58,533 | | | | 354,125 | |
| | XENCOR INC | | COMMON STOCK USD.01 | | 21,800 | | | | 318,716 | |
| | XENIA HOTELS + RESORTS INC | | REIT USD.01 | | 92,200 | | | | 1,413,426 | |
| | XENOPORT INC | | COMMON STOCK USD.001 | | 50,700 | | | | 278,343 | |
| | XO GROUP INC | | COMMON STOCK USD.01 | | 32,300 | | | | 518,738 | |
| | XOMA CORP | | COMMON STOCK USD.0005 | | 80,900 | | | | 107,597 | |
| | XPO LOGISTICS INC | | COMMON STOCK USD.001 | | 59,349 | | | | 1,617,260 | |
| | XURA INC | | COMMON STOCK USD.01 | | 20,850 | | | | 512,493 | |
| | YADKIN FINANCIAL CORP | | COMMON STOCK USD1.0 | | 17,000 | | | | 427,890 | |
| | YELP INC | | COMMON STOCK USD.000001 | | 54,700 | | | | 1,575,360 | |
| | YORK RESH CORP | | WT CL B EXP 01DEC02 | | 70 | | | | 0 | |
| | YORK WATER CO | | COMMON STOCK | | 13,500 | | | | 336,690 | |
| | YRC WORLDWIDE INC | | COMMON STOCK USD1. | | 26,200 | | | | 371,516 | |
| | ZAFGEN INC | | COMMON STOCK USD.001 | | 12,700 | | | | 79,883 | |
| | ZAGG INC | | COMMON STOCK USD.001 | | 16,600 | | | | 181,604 | |
| | ZAYO GROUP HOLDINGS INC | | COMMON STOCK USD.001 | | 119,500 | | | | 3,177,505 | |
| | ZEBRA TECHNOLOGIES CORP CL A | | COMMON STOCK USD.01 | | 43,925 | | | | 3,059,376 | |
| | ZELTIQ AESTHETICS INC | | COMMON STOCK USD.001 | | 27,400 | | | | 781,722 | |
| | ZENDESK INC | | COMMON STOCK USD.01 | | 43,400 | | | | 1,147,496 | |
| | ZILLOW GROUP INC A | | COMMON STOCK USD.0001 | | 37,261 | | | | 970,276 | |
| | ZILLOW GROUP INC C | | COMMON STOCK | | 74,522 | | | | 1,749,777 | |
| | ZIOPHARM ONCOLOGY INC | | COMMON STOCK USD.001 | | 94,428 | | | | 784,697 | |
| | ZIX CORP | | COMMON STOCK USD.01 | | 65,800 | | | | 334,264 | |
| | ZOE S KITCHEN INC | | COMMON STOCK USD.01 | | 15,100 | | | | 422,498 | |
| | ZOGENIX INC | | COMMON STOCK USD.001 | | 15,137 | | | | 223,119 | |
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| | ZUMIEZ INC | | COMMON STOCK | | 21,862 | | | | 330,553 | |
| | ZYNGA INC CL A | | COMMON STOCK USD.00000625 | | 658,300 | | | | 1,764,244 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT A - Small/Mid-Cap Stock Index Fund | | | | $ | 3,523,594,920 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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Table of Contents
EXHIBIT B - Total International Stock Market Index Fund
(Managed by State Street Global Advisors)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
| | (b) Identity of issue, borrower, | | (c) Description of investment including maturity date, | | | | (e) Fair | |
(a) | | lessor, or similar party | | rate of interest, collateral, par, or maturity value | | (d) Cost | | value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 1 PAGE LTD | | COMMON STOCK | | 56,031 | | | | $ | 142,567 | |
| | 3I GROUP PLC | | COMMON STOCK GBP.738636 | | 160,294 | | | | 1,129,582 | |
| | 58.COM INC ADR | | ADR | | 800 | | | | 52,768 | |
| | 77 BANK LTD/THE | | COMMON STOCK | | 67,000 | | | | 359,873 | |
| | 888 HOLDINGS PLC | | COMMON STOCK GBP.005 | | 68,760 | | | | 184,564 | |
| | A2A SPA | | COMMON STOCK EUR.52 | | 306,853 | | | | 416,188 | |
| | AA PLC | | COMMON STOCK GBP.01 | | 96,890 | | | | 446,006 | |
| | AAC TECHNOLOGIES HOLDINGS IN | | COMMON STOCK USD.01 | | 141,000 | | | | 913,047 | |
| | AAK AB | | COMMON STOCK | | 6,344 | | | | 468,597 | |
| | AALBERTS INDUSTRIES NV | | COMMON STOCK EUR.25 | | 19,538 | | | | 671,657 | |
| | ABACUS PROPERTY GROUP | | REIT | | 197,367 | | | | 456,344 | |
| | ABB LTD REG | | COMMON STOCK CHF.86 | | 369,962 | | | | 6,570,777 | |
| | ABC ARBITRAGE | | COMMON STOCK EUR.016 | | 18,763 | | | | 104,529 | |
| | ABERDEEN ASSET MGMT PLC | | COMMON STOCK GBP.1 | | 167,170 | | | | 712,026 | |
| | ABERTIS INFRAESTRUCTURAS SA | | COMMON STOCK EUR3.0 | | 80,032 | | | | 1,246,951 | |
| | ABU DHABI COMMERCIAL BANK | | COMMON STOCK AED1. | | 288,115 | | | | 516,310 | |
| | ACBEL POLYTECH INC | | COMMON STOCK TWD10. | | 198,095 | | | | 138,837 | |
| | ACC LTD | | COMMON STOCK INR10. | | 11,580 | | | | 238,504 | |
| | ACCELL GROUP | | COMMON STOCK EUR.01 | | 8,670 | | | | 197,968 | |
| | ACCIONA SA | | COMMON STOCK EUR1. | | 5,018 | | | | 426,791 | |
| | ACCOR SA | | COMMON STOCK EUR3. | | 35,575 | | | | 1,533,891 | |
| | ACCTON TECHNOLOGY CORP | | COMMON STOCK TWD10. | | 385,685 | | | | 372,533 | |
| | ACEA SPA | | COMMON STOCK EUR5.16 | | 16,800 | | | | 259,019 | |
| | ACER INC | | COMMON STOCK TWD10. | | 418,953 | | | | 152,778 | |
| | ACERINOX SA | | COMMON STOCK EUR.25 | | 29,670 | | | | 300,777 | |
| | ACKERMANS + VAN HAAREN | | COMMON STOCK | | 5,040 | | | | 740,035 | |
| | ACOM CO LTD | | COMMON STOCK | | 118,600 | | | | 557,936 | |
| | ACS ACTIVIDADES CONS Y SERV | | COMMON STOCK EUR.5 | | 33,566 | | | | 977,497 | |
| | ACTELION LTD REG | | COMMON STOCK | | 18,644 | | | | 2,566,922 | |
| | ADANI ENTERPRISES LTD | | COMMON STOCK INR1. | | 107,398 | | | | 134,907 | |
| | ADANI PORTS AND SPECIAL ECON | | COMMON STOCK INR2.0 | | 147,715 | | | | 578,212 | |
| | ADANI POWER LTD | | COMMON STOCK INR10. | | 303,751 | | | | 147,846 | |
| | ADANI TRANSMISSIONS LTD | | COMMON STOCK INR10.0 | | 157,577 | | | | 87,156 | |
| | ADARO ENERGY TBK PT | | COMMON STOCK IDR100. | | 4,647,500 | | | | 171,263 | |
| | ADASTRIA CO LTD | | COMMON STOCK | | 4,960 | | | | 277,501 | |
| | ADCOCK INGRAM HOLDINGS LTD | | COMMON STOCK ZAR.001 | | 26,730 | | | | 85,429 | |
| | ADCORP HOLDINGS LTD | | COMMON STOCK ZAR.025 | | 46,972 | | | | 59,408 | |
| | ADECCO SA REG | | COMMON STOCK CHF1.0 | | 29,463 | | | | 2,024,253 | |
| | ADELAIDE BRIGHTON LTD | | COMMON STOCK | | 96,394 | | | | 330,754 | |
| | ADERANS CO LTD | | COMMON STOCK | | 12,700 | | | | 87,277 | |
| | ADIDAS AG | | COMMON STOCK | | 36,015 | | | | 3,507,926 | |
| | ADITYA BIRLA NUVO LTD | | COMMON STOCK INR10. | | 10,015 | | | | 325,744 | |
| | ADMIRAL GROUP PLC | | COMMON STOCK GBP.001 | | 37,060 | | | | 901,238 | |
| | ADP | | COMMON STOCK EUR3. | | 5,489 | | | | 636,157 | |
| | ADVANCE RESIDENCE INVESTMENT | | REIT | | 210 | | | | 461,845 | |
| | ADVANCED INFO SERVICE FOR RG | | FOREIGN SH. THB1.0 A | | 185,798 | | | | 784,807 | |
| | ADVANCED SEMICONDUCTOR ENGR | | COMMON STOCK TWD10. | | 1,033,147 | | | | 1,180,912 | |
| | ADVANTAGE OIL + GAS LTD | | COMMON STOCK | | 49,400 | | | | 250,005 | |
| | ADVANTECH CO LTD | | COMMON STOCK TWD10. | | 71,927 | | | | 459,460 | |
| | ADVANTEST CORP | | COMMON STOCK | | 26,600 | | | | 220,725 | |
| | AECI LTD | | COMMON STOCK ZAR1. | | 28,493 | | | | 162,261 | |
| | AEGON NV | | COMMON STOCK EUR.12 | | 314,443 | | | | 1,774,132 | |
| | AENA SA | | COMMON STOCK | | 11,606 | | | | 1,321,754 | |
| | AEON CO LTD | | COMMON STOCK | | 111,300 | | | | 1,710,023 | |
| | AEON DELIGHT CO LTD | | COMMON STOCK | | 3,700 | | | | 118,578 | |
| | AEON FINANCIAL SERVICE CO LT | | COMMON STOCK | | 21,900 | | | | 489,538 | |
| | | | | | | | | | | | |
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| | AEON MALL CO LTD | | COMMON STOCK | | 19,800 | | | | 339,603 | |
| | AERCAP HOLDINGS NV | | COMMON STOCK EUR.01 | | 14,599 | | | | 630,093 | |
| | AET AND D HLDGS NO 1 PTY LTD | | COMMON STOCK | | 36,515 | | | | 0 | |
| | AF AB B SHS | | COMMON STOCK SEK5.0 | | 31,136 | | | | 527,664 | |
| | AFRICA ISRAEL INV LTD | | COMMON STOCK ILS.1 | | 0 | | | | 0 | |
| | AFRICA ISRAEL PROPERTIES LTD | | COMMON STOCK ILS1. | | 13,103 | | | | 138,658 | |
| | AFRICAN BANK INVESTMENTS LTD | | COMMON STOCK ZAR.025 | | 246,737 | | | | 0 | |
| | AFRICAN RAINBOW MINERALS LTD | | COMMON STOCK ZAR.05 | | 29,725 | | | | 82,462 | |
| | AGEAS | | COMMON STOCK | | 42,633 | | | | 1,975,273 | |
| | AGFA GEVAERT NV | | COMMON STOCK | | 76,870 | | | | 437,062 | |
| | AGFA GEVAERT NV STRIP VVPR | | MISC. | | 6,022 | | | | 7 | |
| | AGGREKO PLC | | COMMON STOCK GBP.04832911 | | 43,131 | | | | 580,032 | |
| | AGILE PROPERTY HOLDINGS LTD | | COMMON STOCK HKD.1 | | 351,000 | | | | 194,886 | |
| | AGL ENERGY LTD | | COMMON STOCK | | 115,638 | | | | 1,509,707 | |
| | AGNICO EAGLE MINES LTD | | COMMON STOCK | | 40,293 | | | | 1,054,968 | |
| | AGRICULTURAL BANK OF CHINA H | | COMMON STOCK CNY1.0 | | 3,647,000 | | | | 1,480,052 | |
| | AGRIUM INC | | COMMON STOCK | | 24,887 | | | | 2,215,661 | |
| | AIA GROUP LTD | | COMMON STOCK | | 1,982,600 | | | | 11,811,302 | |
| | AICA KOGYO CO LTD | | COMMON STOCK | | 9,800 | | | | 191,972 | |
| | AIDA ENGINEERING LTD | | COMMON STOCK | | 18,100 | | | | 186,692 | |
| | AIFUL CORP | | COMMON STOCK | | 73,000 | | | | 239,848 | |
| | AIMIA INC | | COMMON STOCK | | 42,272 | | | | 286,358 | |
| | AIR CHINA LTD H | | COMMON STOCK CNY1.0 | | 438,000 | | | | 343,719 | |
| | AIR LIQUIDE SA | | COMMON STOCK EUR5.5 | | 57,869 | | | | 6,496,799 | |
| | AIR WATER INC | | COMMON STOCK | | 33,000 | | | | 529,017 | |
| | AIRASIA BHD | | COMMON STOCK MYR.1 | | 360,400 | | | | 108,009 | |
| | AIRBUS GROUP SE | | COMMON STOCK EUR1.0 | | 99,492 | | | | 6,677,473 | |
| | AIRPORT CITY LTD | | RIGHT | | 1,681 | | | | 5,733 | |
| | AIRPORT CITY LTD | | COMMON STOCK ILS.01 | | 13,449 | | | | 120,882 | |
| | AISIN SEIKI CO LTD | | COMMON STOCK | | 36,600 | | | | 1,572,339 | |
| | AIXTRON SE | | COMMON STOCK | | 29,650 | | | | 132,362 | |
| | AJINOMOTO CO INC | | COMMON STOCK | | 99,000 | | | | 2,341,206 | |
| | AKASTOR ASA | | COMMON STOCK NOK.592 | | 66,959 | | | | 91,404 | |
| | AKBANK T.A.S. | | COMMON STOCK TRY1. | | 332,476 | | | | 763,035 | |
| | AKER SOLUTIONS ASA | | COMMON STOCK NOK1.08 | | 39,298 | | | | 134,391 | |
| | AKSA AKRILIK KIMYA SANAYII | | COMMON STOCK TRY1. | | 77,634 | | | | 278,071 | |
| | AKZO NOBEL | | COMMON STOCK EUR2. | | 40,631 | | | | 2,712,764 | |
| | ALACER GOLD CORP | | COMMON STOCK | | 76,500 | | | | 136,027 | |
| | ALAMOS GOLD INC CLASS A | | COMMON STOCK | | 68,146 | | | | 223,212 | |
| | ALBIOMA SA | | COMMON STOCK EUR.0385 | | 11,999 | | | | 194,500 | |
| | ALCATEL LUCENT SA | | COMMON STOCK EUR.05 | | 474,614 | | | | 1,881,842 | |
| | ALDAR PROPERTIES PJSC | | COMMON STOCK AED1. | | 1,119,028 | | | | 702,294 | |
| | ALFA LAVAL AB | | COMMON STOCK SEK2.84 | | 57,841 | | | | 1,051,576 | |
| | ALFA S.A.B. A | | COMMON STOCK | | 596,700 | | | | 1,179,155 | |
| | ALFRESA HOLDINGS CORP | | COMMON STOCK | | 30,000 | | | | 592,978 | |
| | ALIBABA GROUP HOLDING SP ADR | | ADR USD.000025 | | 82,600 | | | | 6,712,902 | |
| | ALIBABA HEALTH INFORMATION T | | COMMON STOCK HKD.01 | | 694,200 | | | | 477,063 | |
| | ALIBABA PICTURES GROUP LTD | | COMMON STOCK HKD.25 | | 840,000 | | | | 206,112 | |
| | ALIMENTATION COUCHE TARD B | | COMMON STOCK | | 71,700 | | | | 3,143,940 | |
| | ALLIANCE FINANCIAL GROUP BHD | | COMMON STOCK MYR1. | | 315,700 | | | | 261,529 | |
* | | ALLIANZ SE REG | | COMMON STOCK | | 76,435 | | | | 13,535,289 | |
| | ALLIED MINDS PLC | | COMMON STOCK GBP.01 | | 23,154 | | | | 136,359 | |
| | ALMIRALL SA | | COMMON STOCK EUR.12 | | 13,095 | | | | 264,352 | |
| | ALONY HETZ PROPERTIES + INV | | REIT ILS1. | | 52,720 | | | | 381,612 | |
| | ALPHA BANK AE | | COMMON STOCK EUR.3 | | 13,844 | | | | 37,256 | |
| | ALPS ELECTRIC CO LTD | | COMMON STOCK | | 39,100 | | | | 1,056,578 | |
| | ALS LTD | | COMMON STOCK | | 84,127 | | | | 229,139 | |
| | ALSTOM | | COMMON STOCK EUR7.0 | | 38,956 | | | | 1,190,027 | |
| | ALTAGAS LTD | | COMMON STOCK | | 25,700 | | | | 571,687 | |
| | ALTEN SA | | COMMON STOCK | | 6,428 | | | | 372,555 | |
| | ALTICE NV A | | COMMON STOCK EUR.01 | | 48,796 | | | | 697,484 | |
| | ALTICE NV B | | COMMON STOCK EUR.25 | | 15,629 | | | | 226,031 | |
| | ALTRAN TECHNOLOGIES SA | | COMMON STOCK EUR.5 | | 32,884 | | | | 440,241 | |
| | ALTRI SGPS SA | | COMMON STOCK EUR.125 | | 76,954 | | | | 398,566 | |
| | ALUMINA LTD | | COMMON STOCK | | 471,310 | | | | 392,015 | |
| | ALUMINUM CORP OF CHINA LTD H | | COMMON STOCK CNY1.0 | | 860,000 | | | | 283,726 | |
| | AMADA HOLDINGS CO LTD | | COMMON STOCK | | 70,000 | | | | 667,455 | |
| | AMADEUS IT HOLDING SA A SHS | | COMMON STOCK EUR.01 | | 74,611 | | | | 3,284,006 | |
| | AMAGERBANKEN A/S | | COMMON STOCK DKK3. | | 59,280 | | | | 0 | |
| | AMATA CORP PUBLIC CO LTD FOR | | FOREIGN SH. THB1.0 A | | 508,228 | | | | 173,717 | |
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Table of Contents
| | AMAYA INC | | COMMON STOCK | | 22,500 | | | | 282,323 | |
| | AMBEV SA | | COMMON STOCK | | 753,261 | | | | 3,372,909 | |
| | AMBUJA CEMENTS LTD | | COMMON STOCK INR2. | | 134,760 | | | | 412,643 | |
| | AMCOR LIMITED | | COMMON STOCK | | 211,509 | | | | 2,054,534 | |
| | AMEC FOSTER WHEELER PLC | | COMMON STOCK GBP.5 | | 65,390 | | | | 412,819 | |
| | AMER SPORTS OYJ | | COMMON STOCK | | 33,770 | | | | 980,046 | |
| | AMERICA MOVIL SAB DE C SER L | | COMMON STOCK | | 5,539,062 | | | | 3,880,613 | |
| | AMLIN PLC | | COMMON STOCK GBP.28125 | | 90,458 | | | | 884,260 | |
| | AMMB HOLDINGS BHD | | COMMON STOCK MYR1.0 | | 285,025 | | | | 300,232 | |
| | AMOREPACIFIC CORP | | COMMON STOCK KRW500.0 | | 6,270 | | | | 2,202,028 | |
| | AMOREPACIFIC GROUP | | COMMON STOCK KRW500.0 | | 5,101 | | | | 636,175 | |
| | AMOT INVESTMENTS LTD | | COMMON STOCK ILS1. | | 38,533 | | | | 123,837 | |
| | AMP LTD | | COMMON STOCK | | 497,103 | | | | 2,092,236 | |
| | AMS AG | | COMMON STOCK | | 14,700 | | | | 490,088 | |
| | ANA HOLDINGS INC | | COMMON STOCK | | 212,000 | | | | 611,292 | |
| | ANADOLU ANONIM TURK SIGORTA | | COMMON STOCK TRY1. | | 144,414 | | | | 78,665 | |
| | ANADOLU EFES BIRACILIK VE | | COMMON STOCK TRY1. | | 40,762 | | | | 263,775 | |
| | ANDRITZ AG | | COMMON STOCK | | 12,976 | | | | 629,132 | |
| | ANEKA TAMBANG PERSERO TBK PT | | COMMON STOCK IDR100. | | 5,714,526 | | | | 130,171 | |
| | ANGLO AMERICAN PLATINUM LTD | | COMMON STOCK ZAR.1 | | 11,485 | | | | 135,937 | |
| | ANGLO AMERICAN PLC | | COMMON STOCK USD.54945 | | 235,859 | | | | 1,038,952 | |
| | ANGLOGOLD ASHANTI LTD | | COMMON STOCK ZAR.25 | | 74,298 | | | | 519,234 | |
| | ANHEUSER BUSCH INBEV SA/NV | | COMMON STOCK | | 132,175 | | | | 16,320,162 | |
| | ANHEUSER BUSCH INBEV ST VVPR | | MISC. NPV | | 58,432 | | | | 63 | |
| | ANHUI CONCH CEMENT CO LTD H | | COMMON STOCK CNY1.0 | | 228,000 | | | | 607,129 | |
| | ANHUI EXPRESSWAY CO LTD H | | COMMON STOCK CNY1.0 | | 416,000 | | | | 353,061 | |
| | ANHUI GUJING DISTILLERY CO B | | COMMON STOCK CNY1. | | 65,480 | | | | 231,883 | |
| | ANRITSU CORP | | COMMON STOCK | | 24,000 | | | | 157,424 | |
| | ANSELL LTD | | COMMON STOCK | | 28,939 | | | | 448,277 | |
| | ANTA SPORTS PRODUCTS LTD | | COMMON STOCK HKD.1 | | 203,000 | | | | 555,726 | |
| | ANTOFAGASTA PLC | | COMMON STOCK GBP.05 | | 71,895 | | | | 492,563 | |
| | AOKI HOLDINGS INC | | COMMON STOCK | | 9,000 | | | | 117,442 | |
| | AOZORA BANK LTD | | COMMON STOCK | | 207,000 | | | | 721,251 | |
| | AP MOELLER MAERSK A/S A | | COMMON STOCK DKK1000. | | 667 | | | | 857,038 | |
| | AP MOELLER MAERSK A/S B | | COMMON STOCK DKK1000. | | 1,159 | | | | 1,504,401 | |
| | APA GROUP | | STAPLED SECURITY | | 192,288 | | | | 1,206,112 | |
| | APERAM | | COMMON STOCK | | 10,968 | | | | 388,257 | |
| | APOLLO HOSPITALS ENTERPRISE | | COMMON STOCK INR5. | | 25,146 | | | | 554,408 | |
| | APOLLO TYRES LTD | | COMMON STOCK INR1. | | 74,809 | | | | 175,273 | |
| | ARA ASSET MANAGEMENT | | COMMON STOCK | | 279,848 | | | | 231,552 | |
| | ARC RESOURCES LTD | | COMMON STOCK | | 63,400 | | | | 762,206 | |
| | ARCA CONTINENTAL SAB DE CV | | COMMON STOCK | | 74,800 | | | | 453,404 | |
| | ARCELORMITTAL | | COMMON STOCK | | 170,653 | | | | 712,760 | |
| | ARCLAND SAKAMOTO CO LTD | | COMMON STOCK | | 4,900 | | | | 112,923 | |
| | ARCS CO LTD | | COMMON STOCK | | 7,200 | | | | 158,248 | |
| | ARGENTINE PESO | | FOREIGN CURRENCY | | 1,169 | | | | 90 | |
| | ARIAKE JAPAN CO LTD | | COMMON STOCK | | 7,600 | | | | 420,105 | |
| | ARISTOCRAT LEISURE LTD | | COMMON STOCK | | 130,071 | | | | 959,754 | |
| | ARKEMA | | COMMON STOCK EUR10. | | 14,140 | | | | 988,565 | |
| | ARM HOLDINGS PLC | | COMMON STOCK GBP.0005 | | 236,260 | | | | 3,566,950 | |
| | ARVIND LTD | | COMMON STOCK INR10. | | 100,898 | | | | 545,088 | |
| | ARYZTA AG | | COMMON STOCK CHF.02 | | 16,284 | | | | 824,399 | |
| | ASAHI DIAMOND INDUSTRIAL CO | | COMMON STOCK | | 21,000 | | | | 225,131 | |
| | ASAHI GLASS CO LTD | | COMMON STOCK | | 167,000 | | | | 951,501 | |
| | ASAHI GROUP HOLDINGS LTD | | COMMON STOCK | | 67,300 | | | | 2,102,187 | |
| | ASAHI HOLDINGS INC | | COMMON STOCK | | 11,600 | | | | 180,669 | |
| | ASAHI KASEI CORP | | COMMON STOCK | | 224,000 | | | | 1,514,774 | |
| | ASCENDAS REAL ESTATE INV TRT | | REIT | | 519,800 | | | | 832,045 | |
| | ASCENDAS REAL ESTATE INVT RTS | | RTS EXP. 13JAN2016 | | 19,492 | | | | 852 | |
| | ASCIANO LTD | | COMMON STOCK | | 174,887 | | | | 1,110,926 | |
| | ASCOM HOLDING AG REG | | COMMON STOCK CHF.5 | | 10,106 | | | | 160,871 | |
| | ASCOPIAVE SPA | | COMMON STOCK EUR1. | | 76,626 | | | | 181,669 | |
| | ASCOTT RESIDENCE TRUST 100 | | REIT | | 210,865 | | | | 175,919 | |
| | ASHTEAD GROUP PLC | | COMMON STOCK GBP.1 | | 86,664 | | | | 1,425,732 | |
| | ASIA CEMENT CORP | | COMMON STOCK TWD10. | | 318,924 | | | | 265,029 | |
| | ASIA OPTICAL CO INC | | COMMON STOCK TWD10.0 | | 113,931 | | | | 100,422 | |
| | ASIAN PAINTS LTD | | COMMON STOCK INR1. | | 53,922 | | | | 716,966 | |
| | ASIANA AIRLINES | | COMMON STOCK KRW5000. | | 32,524 | | | | 127,858 | |
| | ASICS CORP | | COMMON STOCK | | 31,000 | | | | 641,065 | |
| | ASM PACIFIC TECHNOLOGY | | COMMON STOCK HKD.1 | | 50,200 | | | | 393,052 | |
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Table of Contents
| | ASML HOLDING NV | | COMMON STOCK EUR.09 | | 57,740 | | | | 5,143,452 | |
| | ASOS PLC | | COMMON STOCK GBP.035 | | 9,889 | | | | 499,540 | |
| | ASPEN PHARMACARE HOLDINGS LT | | COMMON STOCK ZAR.1390607 | | 58,601 | | | | 1,167,703 | |
| | ASSA ABLOY AB B | | COMMON STOCK SEK1.0 | | 178,962 | | | | 3,753,126 | |
| | ASSECO POLAND SA | | COMMON STOCK PLN1. | | 23,956 | | | | 343,515 | |
| | ASSICURAZIONI GENERALI | | COMMON STOCK EUR1.0 | | 199,213 | | | | 3,640,901 | |
| | ASSOCIATED BRITISH FOODS PLC | | COMMON STOCK GBP.0568 | | 59,014 | | | | 2,904,266 | |
| | ASSYSTEM | | COMMON STOCK EUR1.0 | | 4,180 | | | | 109,114 | |
| | ASTALDI SPA | | COMMON STOCK EUR2. | | 18,867 | | | | 114,026 | |
| | ASTELLAS PHARMA INC | | COMMON STOCK | | 354,700 | | | | 5,034,044 | |
| | ASTRA AGRO LESTARI TBK PT | | COMMON STOCK IDR500. | | 126,500 | | | | 144,296 | |
| | ASTRA INTERNATIONAL TBK PT | | COMMON STOCK IDR50. | | 3,696,380 | | | | 1,588,497 | |
| | ASTRAL FOODS LTD | | COMMON STOCK ZAR.01 | | 16,039 | | | | 119,903 | |
| | ASTRAZENECA PLC | | COMMON STOCK USD.25 | | 211,142 | | | | 14,272,190 | |
| | ASUSTEK COMPUTER INC | | COMMON STOCK TWD10. | | 111,172 | | | | 917,196 | |
| | ASX LTD | | COMMON STOCK | | 36,639 | | | | 1,122,308 | |
| | ATCO LTD CLASS I | | COMMON STOCK NPV | | 14,800 | | | | 380,361 | |
| | ATEA ASA | | COMMON STOCK NOK10. | | 20,172 | | | | 166,540 | |
| | ATHABASCA OIL CORP | | COMMON STOCK | | 78,600 | | | | 87,138 | |
| | ATLANTIA SPA | | COMMON STOCK EUR1.0 | | 70,175 | | | | 1,857,909 | |
| | ATLAS COPCO AB A SHS | | COMMON STOCK SEK.64 | | 112,117 | | | | 2,734,870 | |
| | ATLAS COPCO AB B SHS | | COMMON STOCK SEK.64 | | 66,514 | | | | 1,531,253 | |
| | ATOS SE | | COMMON STOCK EUR1.0 | | 14,920 | | | | 1,252,598 | |
| | ATS AUTOMATION TOOLING SYS | | COMMON STOCK | | 18,300 | | | | 149,920 | |
| | AU OPTRONICS CORP | | COMMON STOCK TWD10.0 | | 1,232,552 | | | | 361,718 | |
| | AUCKLAND INTL AIRPORT LTD | | COMMON STOCK | | 209,636 | | | | 824,240 | |
| | AURIZON HOLDINGS LTD | | COMMON STOCK | | 364,136 | | | | 1,156,233 | |
| | AUROBINDO PHARMA LTD | | COMMON STOCK INR1. | | 80,706 | | | | 1,062,194 | |
| | AUST AND NZ BANKING GROUP | | COMMON STOCK | | 458,871 | | | | 9,245,860 | |
| | AUSTRALIAN AGRICULTURAL CO | | COMMON STOCK | | 144,858 | | | | 141,011 | |
| | AUSTRALIAN DOLLAR | | FOREIGN CURRENCY | | 2,027,638 | | | | 1,475,208 | |
| | AUTO TRADER GROUP PLC | | COMMON STOCK GBP.01 | | 123,382 | | | | 806,113 | |
| | AUTOBACS SEVEN CO LTD | | COMMON STOCK | | 8,700 | | | | 158,739 | |
| | AUTOGRILL SPA | | COMMON STOCK | | 41,650 | | | | 396,715 | |
| | AVANZA BANK HOLDING AB | | COMMON STOCK SEK2.5 | | 11,755 | | | | 510,873 | |
| | AVEO GROUP | | STAPLED SECURITY | | 94,918 | | | | 215,952 | |
| | AVEVA GROUP PLC | | COMMON STOCK GBP.03555556 | | 12,711 | | | | 301,422 | |
| | AVEX GROUP HOLDINGS INC | | COMMON STOCK | | 8,800 | | | | 104,491 | |
| | AVI LTD | | COMMON STOCK ZAR.05 | | 64,450 | | | | 321,660 | |
| | AVICHINA INDUSTRY + TECH H | | COMMON STOCK CNY1. | | 600,000 | | | | 467,272 | |
| | AVIVA PLC | | COMMON STOCK GBP.25 | | 673,107 | | | | 5,084,996 | |
| | AWA BANK LTD/THE | | COMMON STOCK | | 43,000 | | | | 249,771 | |
| | AXA SA | | COMMON STOCK EUR2.29 | | 329,407 | | | | 9,001,810 | |
| | AXEL SPRINGER SE | | COMMON STOCK EUR1.0 | | 8,215 | | | | 456,653 | |
| | AXIATA GROUP BERHAD | | COMMON STOCK MYR1. | | 436,413 | | | | 650,651 | |
| | AXWAY SOFTWARE SA | | COMMON STOCK | | 4,944 | | | | 131,176 | |
| | AYALA CORPORATION | | COMMON STOCK PHP50. | | 54,812 | | | | 878,746 | |
| | AYALA LAND INC | | COMMON STOCK PHP1. | | 1,639,190 | | | | 1,196,825 | |
| | AZ. BGP HOLDINGS | | COMMON STOCK | | 818,748 | | | | 12 | |
| | AZBIL CORP | | COMMON STOCK | | 13,200 | | | | 337,770 | |
| | AZIMUT HOLDING SPA | | COMMON STOCK | | 24,388 | | | | 601,822 | |
| | B2W CIA DIGITAL | | COMMON STOCK | | 38,232 | | | | 146,271 | |
| | BABCOCK INTL GROUP PLC | | COMMON STOCK GBP.6 | | 48,095 | | | | 716,046 | |
| | BAE SYSTEMS PLC | | COMMON STOCK GBP.025 | | 538,947 | | | | 3,965,723 | |
| | BAIDU INC SPON ADR | | ADR USD.00005 | | 22,700 | | | | 4,291,208 | |
| | BAJAJ AUTO LTD | | COMMON STOCK INR10. | | 16,020 | | | | 612,614 | |
| | BALFOUR BEATTY PLC | | COMMON STOCK GBP.5 | | 128,476 | | | | 509,102 | |
| | BALOISE HOLDING AG REG | | COMMON STOCK CHF.1 | | 10,016 | | | | 1,270,907 | |
| | BANCA CARIGE SPA | | COMMON STOCK | | 149,434 | | | | 203,717 | |
| | BANCA IFIS SPA | | COMMON STOCK EUR1. | | 15,840 | | | | 492,920 | |
| | BANCA MEDIOLANUM SPA | | COMMON STOCK EUR.1 | | 49,250 | | | | 391,087 | |
| | BANCA MONTE DEI PASCHI SIENA | | COMMON STOCK | | 458,905 | | | | 605,832 | |
| | BANCA POPOL EMILIA ROMAGNA | | COMMON STOCK EUR3. | | 88,650 | | | | 673,684 | |
| | BANCA POPOLARE DI MILANO | | COMMON STOCK | | 800,883 | | | | 788,559 | |
| | BANCA POPOLARE DI SONDRIO | | COMMON STOCK EUR3. | | 94,002 | | | | 420,801 | |
| | BANCO ABC BRASIL SA | | PREFERENCE | | 30,920 | | | | 67,854 | |
| | BANCO BILBAO VIZCAYA ARGENTA | | COMMON STOCK EUR.49 | | 1,048,182 | | | | 7,640,791 | |
| | BANCO BRADESCO S.A. | | COMMON STOCK | | 124,500 | | | | 639,963 | |
| | BANCO BRADESCO SA | | RIGHT | | 17,547 | | | | 9,181 | |
| | BANCO BRADESCO SA | | RIGHT | | 4,078 | | | | 1,340 | |
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Table of Contents
| | BANCO BRADESCO SA PREF | | PREFERENCE | | 535,686 | | | | 2,580,243 | |
| | BANCO COMERCIAL PORTUGUES R | | COMMON STOCK | | 5,998,623 | | | | 315,715 | |
| | BANCO DE SABADELL SA | | COMMON STOCK EUR.125 | | 836,326 | | | | 1,480,675 | |
| | BANCO DO BRASIL S.A. | | COMMON STOCK | | 142,489 | | | | 527,121 | |
| | BANCO ESTADO RIO GRAN PREF B | | PREFERENCE | | 42,932 | | | | 62,963 | |
| | BANCO POPOLARE SC | | COMMON STOCK | | 64,030 | | | | 877,648 | |
| | BANCO POPULAR ESPANOL | | COMMON STOCK EUR.5 | | 295,442 | | | | 972,477 | |
| | BANCO SANTANDER CHILE ADR | | ADR | | 29,884 | | | | 527,154 | |
| | BANCO SANTANDER SA | | COMMON STOCK EUR.5 | | 2,447,472 | | | | 12,010,970 | |
| | BANDAI NAMCO HOLDINGS INC | | COMMON STOCK | | 36,900 | | | | 774,699 | |
| | BANG + OLUFSEN A/S | | COMMON STOCK DKK10. | | 12,429 | | | | 148,289 | |
| | BANGKOK BANK PCL FOREIGN REG | | FOREIGN SH. THB10.0 A | | 27,900 | | | | 118,237 | |
| | BANGKOK BANK PUBLIC CO LTD | | COMMON STOCK THB10. L | | 77,500 | | | | 328,435 | |
| | BANGKOK EXPRESSWAY PUB FORGN | | FOREIGN SH. THB10.0 A | | 297,500 | | | | 374,097 | |
| | BANK CENTRAL ASIA TBK PT | | COMMON STOCK IDR62.5 | | 1,923,500 | | | | 1,838,870 | |
| | BANK DANAMON INDONESIA TBK | | COMMON STOCK | | 1,043,431 | | | | 241,439 | |
| | BANK HANDLOWY W WARSZAWIE SA | | COMMON STOCK PLN4. | | 9,352 | | | | 169,625 | |
| | BANK HAPOALIM BM | | COMMON STOCK ILS1. | | 174,315 | | | | 900,268 | |
| | BANK LEUMI LE ISRAEL | | COMMON STOCK ILS.1 | | 202,755 | | | | 703,297 | |
| | BANK MANDIRI PERSERO TBK PT | | COMMON STOCK IDR500. | | 1,970,249 | | | | 1,307,906 | |
| | BANK NEGARA INDONESIA PERSER | | COMMON STOCK IDR7500. | | 1,090,000 | | | | 389,866 | |
| | BANK OF CHINA LTD H | | COMMON STOCK CNY1.0 | | 12,842,400 | | | | 5,684,080 | |
| | BANK OF COMMUNICATIONS CO H | | COMMON STOCK CNY1.0 | | 1,425,140 | | | | 996,092 | |
| | BANK OF EAST ASIA | | COMMON STOCK | | 310,313 | | | | 1,148,843 | |
| | BANK OF IRELAND | | COMMON STOCK EUR.05 | | 4,440,630 | | | | 1,626,812 | |
| | BANK OF KYOTO LTD/THE | | COMMON STOCK | | 55,000 | | | | 509,065 | |
| | BANK OF MONTREAL | | COMMON STOCK | | 109,244 | | | | 6,140,502 | |
| | BANK OF NAGOYA LTD/THE | | COMMON STOCK | | 22,000 | | | | 80,471 | |
| | BANK OF NOVA SCOTIA | | COMMON STOCK | | 203,800 | | | | 8,211,566 | |
| | BANK OF QUEENSLAND LTD | | COMMON STOCK | | 78,578 | | | | 790,428 | |
| | BANK OF THE PHILIPPINE ISLAN | | COMMON STOCK PHP10. | | 278,654 | | | | 495,899 | |
| | BANK OF THE RYUKYUS LTD | | COMMON STOCK | | 9,800 | | | | 138,052 | |
| | BANK OF YOKOHAMA LTD/THE | | COMMON STOCK | | 211,000 | | | | 1,290,438 | |
| | BANK PEKAO SA | | COMMON STOCK PLN1. | | 21,578 | | | | 781,580 | |
| | BANK RAKYAT INDONESIA PERSER | | COMMON STOCK IDR250. | | 2,120,000 | | | | 1,732,839 | |
| | BANK ZACHODNI WBK SA | | COMMON STOCK PLN10. | | 5,012 | | | | 359,178 | |
| | BANKERS PETROLEUM LTD | | COMMON STOCK | | 94,200 | | | | 69,170 | |
| | BANKIA SA | | COMMON STOCK EUR.8 | | 800,769 | | | | 930,859 | |
| | BANKINTER SA | | COMMON STOCK EUR.3 | | 118,710 | | | | 841,112 | |
| | BANPU PUBLIC CO LTD FOR REG | | FOREIGN SH. THB1.0 A | | 296,000 | | | | 129,965 | |
| | BANQUE CANTONALE VAUDOIS REG | | COMMON STOCK CHF10.0 | | 609 | | | | 384,950 | |
| | BARCLAYS AFRICA GROUP LTD | | COMMON STOCK ZAR2.0 | | 60,478 | | | | 558,686 | |
| | BARCLAYS PLC | | COMMON STOCK GBP.25 | | 2,803,574 | | | | 9,072,422 | |
| | BARLOWORLD LTD | | COMMON STOCK ZAR.05 | | 45,954 | | | | 183,633 | |
| | BARRATT DEVELOPMENTS PLC | | COMMON STOCK GBP.1 | | 171,745 | | | | 1,573,513 | |
| | BARRICK GOLD CORP | | COMMON STOCK | | 208,625 | | | | 1,537,917 | |
| | BARRY CALLEBAUT AG REG | | COMMON STOCK | | 453 | | | | 494,351 | |
| | BASF SE | | COMMON STOCK | | 153,621 | | | | 11,739,429 | |
| | BASILEA PHARMACEUTICA REG | | COMMON STOCK CHF1.0 | | 2,763 | | | | 264,795 | |
| | BAUER AG | | COMMON STOCK | | 4,885 | | | | 92,344 | |
| | BAVARIAN NORDIC A/S | | COMMON STOCK DKK10. | | 10,926 | | | | 564,550 | |
| | BAYER AG REG | | COMMON STOCK | | 137,933 | | | | 17,298,090 | |
| | BAYERISCHE MOTOREN WERKE AG | | COMMON STOCK EUR1.0 | | 55,946 | | | | 5,889,710 | |
| | BAYERISCHE MOTOREN WERKE PRF | | PREFERENCE | | 10,310 | | | | 863,255 | |
| | BAYTEX ENERGY CORP | | COMMON STOCK | | 53,950 | | | | 173,995 | |
| | BB SEGURIDADE PARTICIPACOES | | COMMON STOCK | | 109,900 | | | | 672,083 | |
| | BBA AVIATION PLC | | COMMON STOCK GBP.2976 | | 171,687 | | | | 478,273 | |
| | BCE INC | | COMMON STOCK | | 26,267 | | | | 1,010,895 | |
| | BDO UNIBANK INC | | COMMON STOCK PHP10.0 | | 463,260 | | | | 1,030,328 | |
| | BEACH ENERGY LTD | | COMMON STOCK | | 311,626 | | | | 111,577 | |
| | BEC WORLD PCL FOREIGN | | FOREIGN SH. THB1.0 A | | 219,600 | | | | 186,128 | |
| | BECHTLE AG | | COMMON STOCK | | 4,197 | | | | 401,306 | |
| | BEIERSDORF AG | | COMMON STOCK | | 17,893 | | | | 1,627,056 | |
| | BEIJING CAPITAL INTL AIRPO H | | COMMON STOCK CNY1. | | 468,000 | | | | 502,754 | |
| | BEIJING ENTERPRISES HLDGS | | COMMON STOCK | | 96,500 | | | | 581,567 | |
| | BEIJING ENTERPRISES WATER GR | | COMMON STOCK HKD.1 | | 968,000 | | | | 676,319 | |
| | BELLE INTERNATIONAL HOLDINGS | | COMMON STOCK HKD.01 | | 835,736 | | | | 619,902 | |
| | BELLWAY PLC | | COMMON STOCK GBP.125 | | 21,722 | | | | 905,610 | |
| | BENDIGO AND ADELAIDE BANK | | COMMON STOCK | | 84,871 | | | | 732,262 | |
| | BENESSE HOLDINGS INC | | COMMON STOCK | | 11,100 | | | | 319,350 | |
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Table of Contents
| | BERENDSEN PLC | | COMMON STOCK GBP.3 | | 32,278 | | | | 510,355 | |
| | BERJAYA SPORTS TOTO BHD | | COMMON STOCK MYR.1 | | 246,772 | | | | 175,351 | |
| | BERKELEY GROUP HOLDINGS | | COMMON STOCK | | 21,248 | | | | 1,154,357 | |
| | BETFAIR GROUP PLC | | COMMON STOCK GBP.00095 | | 11,837 | | | | 679,122 | |
| | BETSSON AB | | COMMON STOCK SEK.67 | | 27,594 | | | | 505,842 | |
| | BEZEQ THE ISRAELI TELECOM CO | | COMMON STOCK ILS1. | | 340,696 | | | | 749,769 | |
| | BG GROUP PLC | | COMMON STOCK GBP.1 | | 572,942 | | | | 8,306,720 | |
| | BHARAT FORGE LTD | | COMMON STOCK INR2. | | 22,636 | | | | 303,131 | |
| | BHARAT HEAVY ELECTRICALS | | COMMON STOCK INR2. | | 120,610 | | | | 307,117 | |
| | BHARAT PETROLEUM CORP LTD | | COMMON STOCK INR10. | | 41,192 | | | | 553,796 | |
| | BHARTI AIRTEL LTD | | COMMON STOCK INR5. | | 208,634 | | | | 1,061,485 | |
| | BHARTI INFRATEL LTD | | COMMON STOCK INR10. | | 90,216 | | | | 577,907 | |
| | BHP BILLITON LIMITED | | COMMON STOCK | | 527,747 | | | | 6,844,778 | |
| | BHP BILLITON PLC | | COMMON STOCK USD.5 | | 356,013 | | | | 3,996,193 | |
| | BIDVEST GROUP LTD | | COMMON STOCK ZAR.05 | | 54,871 | | | | 1,161,241 | |
| | BIG YELLOW GROUP PLC | | REIT GBP.1 | | 43,675 | | | | 517,972 | |
| | BILFINGER SE | | COMMON STOCK | | 8,628 | | | | 406,614 | |
| | BILLERUDKORSNAS AB | | COMMON STOCK SEK7.38 | | 33,200 | | | | 614,520 | |
| | BIM BIRLESIK MAGAZALAR AS | | COMMON STOCK TRY1. | | 37,519 | | | | 660,006 | |
| | BINCKBANK NV | | COMMON STOCK EUR.1 | | 23,546 | | | | 202,864 | |
| | BINGGRAE CO LTD | | COMMON STOCK KRW5000. | | 3,510 | | | | 203,883 | |
| | BIOCON LTD | | COMMON STOCK INR5. | | 29,198 | | | | 228,065 | |
| | BIOSENSORS INTERNATIONAL GRO | | COMMON STOCK USD.00006667 | | 184,000 | | | | 105,058 | |
| | BIOTEST AG VORZUGSAKTIEN | | PREFERENCE | | 8,517 | | | | 141,778 | |
| | BITAUTO HOLDINGS LTD ADR | | ADR USD.0001 | | 4,000 | | | | 113,120 | |
| | BLACKBERRY LTD | | COMMON STOCK | | 90,700 | | | | 838,376 | |
| | BLUESCOPE STEEL LTD | | COMMON STOCK | | 119,607 | | | | 380,203 | |
| | BM+FBOVESPA SA | | COMMON STOCK | | 321,908 | | | | 880,682 | |
| | BNK FINANCIAL GROUP INC | | RIGHT | | 9,470 | | | | 10,742 | |
| | BNK FINANCIAL GROUP INC | | COMMON STOCK KRW5000.0 | | 43,281 | | | | 308,404 | |
| | BNP PARIBAS | | COMMON STOCK EUR2. | | 177,261 | | | | 10,029,529 | |
| | BOC HONG KONG HOLDINGS LTD | | COMMON STOCK | | 576,000 | | | | 1,744,036 | |
| | BODYCOTE PLC | | COMMON STOCK GBP.17273 | | 30,693 | | | | 256,066 | |
| | BOIRON SA | | COMMON STOCK EUR1. | | 2,931 | | | | 237,124 | |
| | BOLIDEN AB | | COMMON STOCK SEK2.11 | | 54,500 | | | | 904,804 | |
| | BOLIVAR FUERTE | | FOREIGN CURRENCY | | 55,012 | | | | 4,075 | |
| | BOLLORE | | COMMON STOCK EUR.16 | | 162,145 | | | | 755,350 | |
| | BOLLORE NEW | | COMMON STOCK | | 644 | | | | 3,006 | |
| | BOLSAS Y MERCADOS ESPANOLES | | COMMON STOCK EUR3. | | 13,881 | | | | 467,066 | |
| | BOMBARDIER INC B | | COMMON STOCK | | 363,299 | | | | 350,458 | |
| | BOMBAY DYEING + MFG CO LTD | | COMMON STOCK INR2.0 | | 138,378 | | | | 133,207 | |
| | BONAVISTA ENERGY CORP | | COMMON STOCK | | 53,200 | | | | 69,703 | |
| | BOOKER GROUP PLC | | COMMON STOCK GBP.01 | | 281,517 | | | | 752,096 | |
| | BORAL LTD | | COMMON STOCK | | 141,729 | | | | 605,337 | |
| | BOSCH LTD | | COMMON STOCK INR10. | | 1,481 | | | | 414,907 | |
| | BOSKALIS WESTMINSTER | | COMMON STOCK EUR.8 | | 15,724 | | | | 640,289 | |
| | BOUYGUES SA | | COMMON STOCK EUR1. | | 35,994 | | | | 1,426,026 | |
| | BOVIS HOMES GROUP PLC | | COMMON STOCK GBP.5 | | 26,714 | | | | 398,850 | |
| | BP PLC | | COMMON STOCK USD.25 | | 3,048,080 | | | | 15,880,141 | |
| | BR MALLS PARTICIPACOES SA | | COMMON STOCK | | 76,241 | | | | 212,635 | |
| | BRADESPAR SA PREF | | PREFERENCE | | 49,700 | | | | 62,119 | |
| | BRAIT SE | | COMMON STOCK | | 103,701 | | | | 1,113,430 | |
| | BRAMBLES LTD | | COMMON STOCK | | 268,012 | | | | 2,239,204 | |
| | BRASKEM SA PREF A | | PREFERENCE | | 41,460 | | | | 281,587 | |
| | BRAZILIAN REAL | | FOREIGN CURRENCY | | 1,802,258 | | | | 455,547 | |
| | BRENNTAG AG | | COMMON STOCK | | 27,350 | | | | 1,426,869 | |
| | BREWIN DOLPHIN HOLDINGS PLC | | COMMON STOCK GBP.01 | | 51,834 | | | | 236,826 | |
| | BRF SA | | COMMON STOCK | | 115,432 | | | | 1,612,309 | |
| | BRIDGESTONE CORP | | COMMON STOCK | | 113,300 | | | | 3,876,379 | |
| | BRILLIANCE CHINA AUTOMOTIVE | | COMMON STOCK USD.01 | | 560,000 | | | | 701,325 | |
| | BRITISH AMERICAN TOBACCO BHD | | COMMON STOCK MYR.5 | | 29,219 | | | | 381,372 | |
| | BRITISH AMERICAN TOBACCO PLC | | COMMON STOCK GBP.25 | | 311,134 | | | | 17,276,571 | |
| | BRITISH LAND CO PLC | | REIT GBP.25 | | 172,877 | | | | 1,989,445 | |
| | BRITVIC PLC | | COMMON STOCK GBP.2 | | 50,718 | | | | 542,861 | |
| | BROAD GREENSTATE INTERNATION | | COMMON STOCK HKD.025 | | 288,000 | | | | 62,155 | |
| | BROADSPECTRUM LTD | | COMMON STOCK | | 126,578 | | | | 128,052 | |
| | BROOKFIELD ASSET MANAGE CL A | | COMMON STOCK | | 146,475 | | | | 4,602,717 | |
| | BROTHER INDUSTRIES LTD | | COMMON STOCK | | 44,200 | | | | 506,421 | |
| | BROWN (N) GROUP PLC | | COMMON STOCK GBP.1105263 | | 50,429 | | | | 229,765 | |
| | BRUNEL INTERNATIONAL | | COMMON STOCK EUR.03 | | 7,794 | | | | 141,489 | |
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Table of Contents
| | BT GROUP PLC | | COMMON STOCK GBP.05 | | 1,402,696 | | | | 9,692,353 | |
| | BT INVESTMENT MANAGEMENT LTD | | COMMON STOCK | | 55,573 | | | | 515,939 | |
| | BTG PLC | | COMMON STOCK GBP.1 | | 72,135 | | | | 729,966 | |
| | BUCHER INDUSTRIES AG REG | | COMMON STOCK CHF.2 | | 1,551 | | | | 349,347 | |
| | BUMRUNGRAD HOSPITAL FOREIGN | | FOREIGN SH. THB1.0 A | | 156,600 | | | | 918,233 | |
| | BUNKA SHUTTER CO LTD | | COMMON STOCK | | 26,000 | | | | 219,606 | |
| | BUNZL PLC | | COMMON STOCK GBP.3214286 | | 57,418 | | | | 1,585,781 | |
| | BURBERRY GROUP PLC | | COMMON STOCK GBP.0005 | | 77,562 | | | | 1,363,952 | |
| | BURCKHARDT COMPRESSION HOLDI | | COMMON STOCK CHF2.5 | | 750 | | | | 230,138 | |
| | BURE EQUITY AB | | COMMON STOCK SEK6.6 | | 31,536 | | | | 256,626 | |
| | BUREAU VERITAS SA | | COMMON STOCK EUR.12 | | 46,200 | | | | 919,018 | |
| | BURSA MALAYSIA BHD | | COMMON STOCK MYR.5 | | 133,200 | | | | 258,992 | |
| | BUWOG AG | | COMMON STOCK | | 10,359 | | | | 224,080 | |
| | BWIN PARTY DIGITAL ENTERTAIN | | COMMON STOCK GBP.00015 | | 135,144 | | | | 257,973 | |
| | BWP TRUST | | REIT | | 210,341 | | | | 481,059 | |
| | BYD CO LTD H | | COMMON STOCK CNY1. | | 127,700 | | | | 695,521 | |
| | C C LAND HOLDINGS LTD | | COMMON STOCK HKD.1 | | 491,974 | | | | 153,260 | |
| | C+C GROUP PLC | | COMMON STOCK EUR.01 | | 114,107 | | | | 459,176 | |
| | CA IMMOBILIEN ANLAGEN AG | | COMMON STOCK | | 12,270 | | | | 223,623 | |
| | CABLE + WIRELESS COMMUNICATI | | COMMON STOCK USD.05 | | 458,947 | | | | 498,336 | |
| | CAE INC | | COMMON STOCK | | 50,151 | | | | 554,185 | |
| | CAIRN ENERGY PLC | | COMMON STOCK GBP.013669 | | 101,001 | | | | 234,464 | |
| | CAIRN INDIA LTD | | COMMON STOCK INR10. | | 102,226 | | | | 211,487 | |
| | CAIXABANK S.A | | COMMON STOCK EUR1. | | 442,608 | | | | 1,539,047 | |
| | CAJA DE AHORROS DEL MEDITERR | | COMMON STOCK EUR2. | | 23,863 | | | | 34,736 | |
| | CAL COMP ELECTRONICS THAI F | | COMMON STOCK A | | 1,165,014 | | | | 108,780 | |
| | CALBEE INC | | COMMON STOCK | | 13,700 | | | | 574,486 | |
| | CALSONIC KANSEI CORP | | COMMON STOCK | | 55,000 | | | | 484,739 | |
| | CALTEX AUSTRALIA LTD | | COMMON STOCK | | 46,790 | | | | 1,271,974 | |
| | CAMBRIDGE INDUSTRIAL TRUST | | REIT | | 452,187 | | | | 179,974 | |
| | CAMECO CORP | | COMMON STOCK | | 77,868 | | | | 956,883 | |
| | CAN IMPERIAL BK OF COMMERCE | | COMMON STOCK | | 67,215 | | | | 4,412,451 | |
| | CANADIAN DOLLAR | | FOREIGN CURRENCY | | 1,902,802 | | | | 1,369,809 | |
| | CANADIAN NATL RAILWAY CO | | COMMON STOCK | | 134,984 | | | | 7,516,386 | |
| | CANADIAN NATURAL RESOURCES | | COMMON STOCK | | 186,240 | | | | 4,051,669 | |
| | CANADIAN OIL SANDS LTD | | COMMON STOCK | | 100,400 | | | | 597,731 | |
| | CANADIAN PACIFIC RAILWAY LTD | | COMMON STOCK | | 28,452 | | | | 3,619,842 | |
| | CANADIAN TIRE CORP CLASS A | | COMMON STOCK | | 13,762 | | | | 1,170,627 | |
| | CANADIAN UTILITIES LTD A | | COMMON STOCK | | 24,100 | | | | 554,139 | |
| | CANADIAN WESTERN BANK | | COMMON STOCK | | 18,600 | | | | 313,057 | |
| | CANFOR CORP | | COMMON STOCK | | 19,900 | | | | 289,238 | |
| | CANON INC | | COMMON STOCK | | 186,900 | | | | 5,660,101 | |
| | CANON MARKETING JAPAN INC | | COMMON STOCK | | 13,000 | | | | 202,412 | |
| | CAP GEMINI | | COMMON STOCK EUR8. | | 26,063 | | | | 2,410,562 | |
| | CAPCOM CO LTD | | COMMON STOCK | | 10,600 | | | | 256,149 | |
| | CAPE PLC | | COMMON STOCK GBP.25 | | 47,327 | | | | 163,994 | |
| | CAPITA PLC | | COMMON STOCK GBP.020667 | | 112,488 | | | | 2,001,008 | |
| | CAPITAL + COUNTIES PROPERTIE | | COMMON STOCK GBP.25 | | 133,058 | | | | 863,488 | |
| | CAPITALAND COMMERCIAL TRUST | | REIT | | 396,000 | | | | 375,743 | |
| | CAPITALAND LTD | | COMMON STOCK | | 472,499 | | | | 1,108,357 | |
| | CAPITALAND MALL TRUST | | REIT | | 394,249 | | | | 533,993 | |
| | CAPITALAND RETAIL CHINA TRUS | | REIT | | 208,786 | | | | 218,917 | |
| | CARGOTEC OYJ B SHARE | | COMMON STOCK | | 7,004 | | | | 259,431 | |
| | CARILLION PLC | | COMMON STOCK GBP.5 | | 90,521 | | | | 401,739 | |
| | CARL ZEISS MEDITEC AG BR | | COMMON STOCK | | 7,755 | | | | 240,131 | |
| | CARLSBERG AS B | | COMMON STOCK DKK20. | | 16,952 | | | | 1,498,243 | |
| | CARNIVAL PLC | | COMMON STOCK USD1.66 | | 32,398 | | | | 1,839,105 | |
| | CARREFOUR SA | | COMMON STOCK EUR2.5 | | 94,471 | | | | 2,719,293 | |
| | CASCADES INC | | COMMON STOCK | | 32,200 | | | | 294,624 | |
| | CASINO GUICHARD PERRACHON | | COMMON STOCK EUR1.53 | | 10,960 | | | | 503,243 | |
| | CASIO COMPUTER CO LTD | | COMMON STOCK | | 36,300 | | | | 846,655 | |
| | CASTELLUM AB | | COMMON STOCK SEK.5 | | 29,924 | | | | 424,627 | |
| | CATCHER TECHNOLOGY CO LTD | | COMMON STOCK TWD10. | | 118,134 | | | | 989,104 | |
| | CATHAY FINANCIAL HOLDING CO | | COMMON STOCK TWD10.0 | | 1,380,459 | | | | 1,932,086 | |
| | CATHAY PACIFIC AIRWAYS | | COMMON STOCK | | 217,000 | | | | 373,674 | |
| | CATHAY REAL ESTATE DEVELOPME | | COMMON STOCK TWD10. | | 208,192 | | | | 84,735 | |
| | CAVERION CORP | | COMMON STOCK | | 24,095 | | | | 235,390 | |
| | CAWACHI LTD | | COMMON STOCK | | 6,800 | | | | 132,337 | |
| | CCL INDUSTRIES INC CL B | | COMMON STOCK | | 5,000 | | | | 807,609 | |
| | CCR SA | | COMMON STOCK | | 169,300 | | | | 533,377 | |
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Table of Contents
| | CELESTICA INC | | COMMON STOCK | | 25,416 | | | | 279,940 | |
| | CELLCOM ISRAEL LTD | | COMMON STOCK ILS.01 | | 24,673 | | | | 152,973 | |
| | CELLTRION INC | | COMMON STOCK KRW1000. | | 12,081 | | | | 863,961 | |
| | CEMBRA MONEY BANK AG | | COMMON STOCK CHF1.0 | | 4,523 | | | | 290,440 | |
| | CEMEX SAB CPO | | UNIT | | 2,139,095 | | | | 1,164,224 | |
| | CENCOSUD SA | | COMMON STOCK | | 204,232 | | | | 406,891 | |
| | CENOVUS ENERGY INC | | COMMON STOCK | | 144,592 | | | | 1,821,582 | |
| | CENTERRA GOLD INC | | COMMON STOCK | | 40,000 | | | | 189,763 | |
| | CENTRAIS ELETRICAS BRAS PR B | | PREFERENCE | | 37,705 | | | | 97,223 | |
| | CENTRAL EUROPEAN MEDIA ENT A | | COMMON STOCK USD.08 | | 29,432 | | | | 79,090 | |
| | CENTRAL JAPAN RAILWAY CO | | COMMON STOCK | | 24,200 | | | | 4,283,219 | |
| | CENTRICA PLC | | COMMON STOCK GBP.061728 | | 834,211 | | | | 2,678,956 | |
| | CENTURY TOKYO LEASING CORP | | COMMON STOCK | | 12,200 | | | | 434,418 | |
| | CETIP SA MERCADOS ORGANIZADO | | COMMON STOCK | | 53,139 | | | | 501,847 | |
| | CEZ AS | | COMMON STOCK CZK100. | | 28,874 | | | | 514,988 | |
| | CGG SA | | COMMON STOCK EUR.4 | | 30,241 | | | | 88,546 | |
| | CGI GROUP INC CLASS A | | COMMON STOCK | | 39,930 | | | | 1,592,486 | |
| | CGN POWER CO LTD H | | COMMON STOCK CNY1.0 | | 1,487,000 | | | | 550,619 | |
| | CHAILEASE HOLDING CO LTD | | COMMON STOCK TWD10. | | 186,920 | | | | 321,053 | |
| | CHALLENGER LTD | | COMMON STOCK | | 113,755 | | | | 715,984 | |
| | CHANG HWA COMMERCIAL BANK | | COMMON STOCK TWD10. | | 849,867 | | | | 403,347 | |
| | CHAROEN POKPHAND INDONESI PT | | COMMON STOCK IDR10. | | 328,500 | | | | 60,994 | |
| | CHARTER HALL GROUP | | REIT | | 111,440 | | | | 365,012 | |
| | CHARTER HALL RETAIL REIT | | REIT | | 144,015 | | | | 434,010 | |
| | CHECK POINT SOFTWARE TECH | | COMMON STOCK USD.01 | | 11,145 | | | | 906,980 | |
| | CHEIL WORLDWIDE INC | | COMMON STOCK KRW200. | | 20,740 | | | | 362,548 | |
| | CHEMRING GROUP PLC | | COMMON STOCK GBP.01 | | 41,337 | | | | 115,314 | |
| | CHENG SHIN RUBBER IND CO LTD | | COMMON STOCK TWD10. | | 336,088 | | | | 542,820 | |
| | CHENG UEI PRECISION INDUSTRY | | COMMON STOCK TWD10. | | 192,919 | | | | 266,574 | |
| | CHESNARA PLC | | COMMON STOCK GBP.05 | | 40,395 | | | | 199,412 | |
| | CHEUNG KONG INFRASTRUCTURE | | COMMON STOCK HKD1.0 | | 110,000 | | | | 1,012,551 | |
| | CHEUNG KONG PROPERTY HOLDING | | COMMON STOCK HKD1.0 | | 441,236 | | | | 2,866,208 | |
| | CHIBA BANK LTD/THE | | COMMON STOCK | | 141,000 | | | | 998,849 | |
| | CHIBA KOGYO BANK LTD/THE | | COMMON STOCK | | 10,700 | | | | 59,462 | |
| | CHILEAN PESO | | FOREIGN CURRENCY | | 42,669,233 | | | | 60,216 | |
| | CHINA AGRI INDUSTRIES HLDGS | | COMMON STOCK | | 534,300 | | | | 181,841 | |
| | CHINA AIRLINES LTD | | COMMON STOCK TWD10. | | 846,278 | | | | 307,947 | |
| | CHINA AOYUAN PROPERTY GROUP | | COMMON STOCK HKD.01 | | 1,126,884 | | | | 236,113 | |
| | CHINA BLUECHEMICAL LTD H | | COMMON STOCK HKD1. | | 712,000 | | | | 193,381 | |
| | CHINA CINDA ASSET MANAGEME H | | COMMON STOCK CNY1.0 | | 1,382,908 | | | | 508,751 | |
| | CHINA CITIC BANK CORP LTD H | | COMMON STOCK CNY1.0 | | 1,397,200 | | | | 898,179 | |
| | CHINA COAL ENERGY CO H | | COMMON STOCK CNY1.0 | | 691,169 | | | | 262,830 | |
| | CHINA COMMUNICATIONS CONST H | | COMMON STOCK CNY1.0 | | 785,000 | | | | 791,735 | |
| | CHINA COMMUNICATIONS SERVI H | | COMMON STOCK CNY1.0 | | 518,352 | | | | 194,086 | |
| | CHINA CONCH VENTURE HOLDINGS | | COMMON STOCK HKD.01 | | 250,900 | | | | 517,644 | |
| | CHINA CONSTRUCTION BANK H | | COMMON STOCK CNY1.0 | | 14,014,400 | | | | 9,513,897 | |
| | CHINA COSCO HOLDINGS H | | COMMON STOCK CNY1.0 | | 740,850 | | | | 355,601 | |
| | CHINA DEVELOPMENT FINANCIAL | | COMMON STOCK TWD10. | | 2,114,020 | | | | 526,827 | |
| | CHINA DONGXIANG GROUP CO | | COMMON STOCK HKD.01 | | 865,000 | | | | 206,052 | |
| | CHINA EVERBRIGHT INTL LTD | | COMMON STOCK | | 622,000 | | | | 792,597 | |
| | CHINA EVERBRIGHT LTD | | COMMON STOCK | | 194,000 | | | | 442,372 | |
| | CHINA GALAXY SECURITIES CO H | | COMMON STOCK CNY1. | | 626,000 | | | | 567,746 | |
| | CHINA GAS HOLDINGS LTD | | COMMON STOCK HKD.01 | | 592,000 | | | | 853,326 | |
| | CHINA HIGH SPEED TRANSMISSIO | | COMMON STOCK USD.01 | | 415,000 | | | | 331,697 | |
| | CHINA HUISHAN DAIRY HOLDINGS | | COMMON STOCK HKD.1 | | 1,481,500 | | | | 567,117 | |
| | CHINA HUIYUAN JUICE GROUP | | COMMON STOCK USD.00001 | | 462,000 | | | | 211,061 | |
| | CHINA INTERNATIONAL MARINE H | | COMMON STOCK CNY1. | | 151,388 | | | | 276,373 | |
| | CHINA JINMAO HOLDINGS GROUP | | COMMON STOCK | | 718,000 | | | | 243,923 | |
| | CHINA LIFE INSURANCE CO H | | COMMON STOCK CNY1.0 | | 1,239,000 | | | | 3,993,804 | |
| | CHINA LONGYUAN POWER GROUP H | | COMMON STOCK CNY1.0 | | 596,000 | | | | 447,021 | |
| | CHINA MENGNIU DAIRY CO | | COMMON STOCK HKD.1 | | 492,000 | | | | 795,622 | |
| | CHINA MERCHANTS BANK H | | COMMON STOCK CNY1.0 | | 771,505 | | | | 1,806,447 | |
| | CHINA MERCHANTS HLDGS INTL | | COMMON STOCK | | 258,782 | | | | 817,473 | |
| | CHINA METAL RECYCLING | | COMMON STOCK HKD.0001 | | 190,245 | | | | 245 | |
| | CHINA MINSHENG BANKING H | | COMMON STOCK CNY1.0 | | 1,124,880 | | | | 1,113,511 | |
| | CHINA MOBILE LTD | | COMMON STOCK | | 1,012,500 | | | | 11,347,382 | |
| | CHINA MOTOR CORP | | COMMON STOCK TWD10. | | 191,899 | | | | 126,092 | |
| | CHINA NATIONAL BUILDING MA H | | COMMON STOCK CNY1.0 | | 508,608 | | | | 242,105 | |
| | CHINA NEW CITY COMMERCIAL DE | | COMMON STOCK HKD.1 | | 194,000 | | | | 243,252 | |
| | CHINA OCEANWIDE HOLDINGS LTD | | COMMON STOCK HKD.1 | | 1,038,500 | | | | 138,968 | |
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| | CHINA OILFIELD SERVICES H | | COMMON STOCK CNY1.0 | | 366,000 | | | | 312,783 | |
| | CHINA OVERSEAS LAND + INVEST | | COMMON STOCK | | 698,880 | | | | 2,417,588 | |
| | CHINA PACIFIC INSURANCE GR H | | COMMON STOCK CNY1.0 | | 445,200 | | | | 1,823,312 | |
| | CHINA PETROCHEMICAL DEV CORP | | COMMON STOCK TWD10. | | 395,975 | | | | 95,147 | |
| | CHINA PETROLEUM + CHEMICAL H | | COMMON STOCK CNY1.0 | | 4,005,500 | | | | 2,409,155 | |
| | CHINA POWER NEW ENERGY DEVEL | | COMMON STOCK HKD.1 | | 3,420,000 | | | | 333,475 | |
| | CHINA RAILWAY CONSTRUCTION H | | COMMON STOCK CNY1.0 | | 388,000 | | | | 478,000 | |
| | CHINA RAILWAY GROUP LTD H | | COMMON STOCK CNY1.0 | | 785,000 | | | | 592,135 | |
| | CHINA RESOURCES BEER HOLDIN | | COMMON STOCK | | 243,670 | | | | 519,882 | |
| | CHINA RESOURCES GAS GROUP LT | | COMMON STOCK HKD.1 | | 178,000 | | | | 528,513 | |
| | CHINA RESOURCES LAND LTD | | COMMON STOCK HKD.1 | | 479,777 | | | | 1,383,756 | |
| | CHINA RESOURCES POWER HOLDIN | | COMMON STOCK | | 373,465 | | | | 717,920 | |
| | CHINA SHANSHUI CEMENT GROUP | | COMMON STOCK USD.01 | | 539,000 | | | | 218,725 | |
| | CHINA SHENHUA ENERGY CO H | | COMMON STOCK CNY1.0 | | 595,000 | | | | 925,877 | |
| | CHINA SHINEWAY PHARMACEUTICA | | COMMON STOCK HKD.1 | | 241,000 | | | | 304,994 | |
| | CHINA SHIPPING CONTAINER H | | COMMON STOCK CNY1.0 | | 781,000 | | | | 217,668 | |
| | CHINA SOUTHERN AIRLINES CO H | | COMMON STOCK CNY1.0 | | 408,000 | | | | 312,533 | |
| | CHINA STATE CONSTRUCTION INT | | COMMON STOCK HKD.025 | | 390,320 | | | | 673,968 | |
| | CHINA STEEL CORP | | COMMON STOCK TWD10. | | 1,910,895 | | | | 1,040,612 | |
| | CHINA TAIPING INSURANCE HOLD | | COMMON STOCK | | 290,366 | | | | 891,752 | |
| | CHINA TELECOM CORP LTD H | | COMMON STOCK CNY1.0 | | 2,196,000 | | | | 1,022,773 | |
| | CHINA TRAVEL INTL INV HK | | COMMON STOCK | | 1,184,000 | | | | 494,748 | |
| | CHINA UNICOM HONG KONG LTD | | COMMON STOCK | | 1,029,250 | | | | 1,249,407 | |
| | CHINA VANKE CO LTD H | | COMMON STOCK CNY1.0 | | 253,800 | | | | 749,924 | |
| | CHINA WATER AFFAIRS GROUP | | COMMON STOCK HKD.01 | | 804,000 | | | | 385,335 | |
| | CHINA YURUN FOOD GROUP LTD | | COMMON STOCK HKD.1 | | 515,600 | | | | 109,414 | |
| | CHINA ZHENGTONG AUTO SERVICE | | COMMON STOCK HKD.1 | | 265,500 | | | | 121,317 | |
| | CHIPBOND TECHNOLOGY CORP | | COMMON STOCK TWD10. | | 165,000 | | | | 237,020 | |
| | CHIYODA CO LTD | | COMMON STOCK | | 6,600 | | | | 205,520 | |
| | CHIYODA CORP | | COMMON STOCK | | 25,000 | | | | 189,454 | |
| | CHIYODA INTEGRE CO LTD | | COMMON STOCK | | 6,800 | | | | 158,855 | |
| | CHOCOLADEFABRIKEN LINDT PC | | COMMON STOCK CHF10.0 | | 178 | | | | 1,109,486 | |
| | CHOCOLADEFABRIKEN LINDT REG | | COMMON STOCK CHF100.0 | | 19 | | | | 1,414,991 | |
| | CHOFU SEISAKUSHO CO LTD | | COMMON STOCK | | 3,600 | | | | 85,204 | |
| | CHONG KUN DANG PHARMACEUTICA | | COMMON STOCK KRW2500.0 | | 3,431 | | | | 276,789 | |
| | CHONGQING CHANGAN AUTOMOBI B | | COMMON STOCK CNY1. | | 181,800 | | | | 398,994 | |
| | CHONGQING RURAL COMMERCIAL H | | COMMON STOCK CNY1.0 | | 570,000 | | | | 343,226 | |
| | CHORUS LTD | | COMMON STOCK | | 85,370 | | | | 227,648 | |
| | CHOW SANG SANG HLDG | | COMMON STOCK HKD.25 | | 112,000 | | | | 183,717 | |
| | CHR HANSEN HOLDING A/S | | COMMON STOCK DKK10. | | 19,090 | | | | 1,193,589 | |
| | CHRISTIAN DIOR SE | | COMMON STOCK EUR2.0 | | 9,232 | | | | 1,567,575 | |
| | CHUBU ELECTRIC POWER CO INC | | COMMON STOCK | | 109,600 | | | | 1,497,907 | |
| | CHUGAI PHARMACEUTICAL CO LTD | | COMMON STOCK | | 37,500 | | | | 1,305,884 | |
| | CHUGOKU BANK LTD/THE | | COMMON STOCK | | 30,000 | | | | 399,549 | |
| | CHUGOKU ELECTRIC POWER CO | | COMMON STOCK | | 50,200 | | | | 660,186 | |
| | CHUNGHWA TELECOM CO LTD | | COMMON STOCK TWD10. | | 661,473 | | | | 1,992,224 | |
| | CI FINANCIAL CORP | | COMMON STOCK | | 43,819 | | | | 965,273 | |
| | CI Z HOLDINGS CO LTD | | COMMON STOCK | | 10,800 | | | | 186,255 | |
| | CIA BRASILEIRA DE DIS PREF | | PREFERENCE | | 24,524 | | | | 258,123 | |
| | CIA CERVECERIAS UNI SPON ADR | | ADR | | 16,633 | | | | 360,271 | |
| | CIA DE MINAS BUENAVENTUR ADR | | ADR | | 31,300 | | | | 133,964 | |
| | CIA DE MINAS BUENAVENTUR COM | | COMMON STOCK PEN10. | | 8,119 | | | | 33,319 | |
| | CIA ENERGETICA DE SP PREF B | | PREFERENCE | | 36,866 | | | | 123,756 | |
| | CIA ENERGETICA DO CEARA PR A | | PREFERENCE | | 7,118 | | | | 64,613 | |
| | CIA ENERGETICA MINAS GER PRF | | PREFERENCE | | 126,842 | | | | 192,173 | |
| | CIA PARANAENSE DE ENERGI PFB | | PREFERENCE | | 22,107 | | | | 130,555 | |
| | CIA SANEAMENTO BASICO DE SP | | COMMON STOCK | | 64,720 | | | | 300,259 | |
| | CIA SIDERURGICA NACIONAL SA | | COMMON STOCK | | 136,988 | | | | 133,994 | |
| | CIE FINANCIERE RICHEMONT REG | | COMMON STOCK CHF1.0 | | 87,915 | | | | 6,319,016 | |
| | CIELO SA | | COMMON STOCK | | 149,390 | | | | 1,264,404 | |
| | CIMB GROUP HOLDINGS BHD | | COMMON STOCK MYR1. | | 966,419 | | | | 1,018,681 | |
| | CIMC ENRIC HOLDINGS LTD | | COMMON STOCK HKD.01 | | 222,000 | | | | 129,327 | |
| | CIMIC GROUP LTD | | COMMON STOCK | | 20,968 | | | | 367,453 | |
| | CINEPLEX INC | | COMMON STOCK | | 13,000 | | | | 445,000 | |
| | CIPLA LTD | | COMMON STOCK INR2. | | 96,774 | | | | 950,951 | |
| | CIPUTRA DEVELOPMENT TBK PT | | COMMON STOCK IDR250. | | 3,153,000 | | | | 330,132 | |
| | CITIC LTD | | COMMON STOCK | | 750,000 | | | | 1,321,618 | |
| | CITIC RESOURCES HOLDINGS LTD | | COMMON STOCK HKD.05 | | 763,110 | | | | 79,203 | |
| | CITIC SECURITIES CO LTD H | | COMMON STOCK CNY1.0 | | 380,000 | | | | 878,439 | |
| | CITIC TELECOM INTERNATIONAL | | COMMON STOCK | | 702,625 | | | | 265,723 | |
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| | CITIZEN HOLDINGS CO LTD | | COMMON STOCK | | 56,900 | | | | 408,349 | |
| | CITY DEVELOPMENTS LTD | | COMMON STOCK | | 89,000 | | | | 478,442 | |
| | CITY LODGE HOTELS LTD | | COMMON STOCK ZAR.1 | | 12,222 | | | | 118,321 | |
| | CITYCON OYJ | | COMMON STOCK | | 105,583 | | | | 273,494 | |
| | CJ CGV CO LTD | | COMMON STOCK KRW500. | | 6,610 | | | | 701,451 | |
| | CJ CHEILJEDANG CORP | | COMMON STOCK KRW5000. | | 1,532 | | | | 489,190 | |
| | CJ CORP | | COMMON STOCK KRW5000. | | 3,084 | | | | 657,230 | |
| | CJ KOREA EXPRESS CORP | | COMMON STOCK KRW5000. | | 1,717 | | | | 278,944 | |
| | CK HUTCHISON HOLDINGS LTD | | COMMON STOCK HKD1.0 | | 437,736 | | | | 5,863,976 | |
| | CK LIFE SCIENCES INTL HLDGS | | COMMON STOCK HKD.1 | | 2,886,000 | | | | 258,924 | |
| | CLARIANT AG REG | | COMMON STOCK CHF3.7 | | 54,789 | | | | 1,036,556 | |
| | CLARION CO LTD | | COMMON STOCK | | 94,000 | | | | 338,020 | |
| | CLICKS GROUP LTD | | COMMON STOCK ZAR.01 | | 58,516 | | | | 335,610 | |
| | CLOSE BROTHERS GROUP PLC | | COMMON STOCK GBP.25 | | 24,650 | | | | 484,938 | |
| | CLP HOLDINGS LTD | | COMMON STOCK | | 308,000 | | | | 2,617,763 | |
| | CMC MAGNETICS CORP | | COMMON STOCK TWD10. | | 533,712 | | | | 56,029 | |
| | CMIC HOLDINGS CO LTD | | COMMON STOCK | | 9,500 | | | | 120,903 | |
| | CNH INDUSTRIAL NV | | COMMON STOCK EUR.01 | | 162,549 | | | | 1,107,578 | |
| | CNOOC LTD | | COMMON STOCK | | 2,980,500 | | | | 3,063,511 | |
| | CNP ASSURANCES | | COMMON STOCK EUR1. | | 34,771 | | | | 468,136 | |
| | COAL INDIA LTD | | COMMON STOCK INR10. | | 126,120 | | | | 623,175 | |
| | COBHAM PLC | | COMMON STOCK GBP.025 | | 208,283 | | | | 864,399 | |
| | COCA COLA AMATIL LTD | | COMMON STOCK | | 103,660 | | | | 697,537 | |
| | COCA COLA EAST JAPAN CO LTD | | COMMON STOCK | | 22,000 | | | | 353,414 | |
| | COCA COLA FEMSA SAB SER L | | COMMON STOCK | | 95,000 | | | | 678,212 | |
| | COCA COLA HBC AG DI | | COMMON STOCK CHF6.7 | | 33,607 | | | | 716,392 | |
| | COCA COLA WEST CO LTD | | COMMON STOCK | | 12,800 | | | | 258,525 | |
| | COCHLEAR LTD | | COMMON STOCK | | 10,322 | | | | 713,704 | |
| | COCOKARA FINE INC | | COMMON STOCK | | 3,300 | | | | 147,765 | |
| | COFINIMMO | | REIT | | 4,063 | | | | 433,760 | |
| | COLLIERS INTERNATIONAL GROUP | | COMMON STOCK NPV | | 9,300 | | | | 413,281 | |
| | COLOPLAST B | | COMMON STOCK DKK1. | | 20,275 | | | | 1,635,909 | |
| | COLOWIDE CO LTD | | COMMON STOCK | | 15,300 | | | | 231,977 | |
| | COLRUYT SA | | COMMON STOCK | | 15,324 | | | | 786,742 | |
| | COMBA TELECOM SYSTEMS HOLDIN | | COMMON STOCK HKD.1 | | 518,881 | | | | 94,155 | |
| | COMDIRECT BANK AG | | COMMON STOCK NPV | | 13,621 | | | | 161,320 | |
| | COMFORTDELGRO CORP LTD | | COMMON STOCK | | 382,000 | | | | 816,653 | |
| | COMINAR REAL ESTATE INV TR U | | REIT | | 20,300 | | | | 214,969 | |
| | COMMERCIAL INTERNATIONAL BAN | | COMMON STOCK EGP10. | | 319,826 | | | | 1,552,147 | |
| | COMMERZBANK AG | | COMMON STOCK | | 185,039 | | | | 1,915,010 | |
| | COMMONWEALTH BANK OF AUSTRAL | | COMMON STOCK | | 289,610 | | | | 17,864,117 | |
| | COMPAGNIE DE SAINT GOBAIN | | COMMON STOCK EUR4.0 | | 81,318 | | | | 3,496,738 | |
| | COMPAL ELECTRONICS | | COMMON STOCK TWD10. | | 626,092 | | | | 350,422 | |
| | COMPASS GROUP PLC | | COMMON STOCK GBP.10625 | | 275,811 | | | | 4,772,711 | |
| | COMPUTERSHARE LTD | | COMMON STOCK | | 87,297 | | | | 734,660 | |
| | COMSYS HOLDINGS CORP | | COMMON STOCK | | 17,400 | | | | 244,196 | |
| | CONCORD NEW ENERGY GROUP LTD | | COMMON STOCK HKD.01 | | 1,910,000 | | | | 113,749 | |
| | CONCORDIA HEALTHCARE CORP | | COMMON STOCK | | 6,300 | | | | 256,426 | |
| | CONSTELLATION SOFTWARE INC | | COMMON STOCK | | 3,300 | | | | 1,370,459 | |
| | CONSTRUCC Y AUX DE FERROCARR | | COMMON STOCK EUR3.01 | | 541 | | | | 149,950 | |
| | CONTACT ENERGY LTD | | COMMON STOCK | | 89,226 | | | | 288,895 | |
| | CONTINENTAL AG | | COMMON STOCK | | 18,696 | | | | 4,535,932 | |
| | CONTROLADORA VUELA CIA DE A | | COMMON STOCK | | 23,300 | | | | 39,986 | |
| | CONWERT IMMOBILIEN INVEST SE | | COMMON STOCK | | 9,814 | | | | 149,478 | |
| | CORBION NV | | COMMON STOCK EUR.25 | | 13,530 | | | | 327,394 | |
| | CORONATION FUND MANAGERS LTD | | COMMON STOCK ZAR.0001 | | 48,730 | | | | 166,099 | |
| | CORPBANCA SA ADR | | ADR | | 24,273 | | | | 283,994 | |
| | CORPORACION FINANCIERA ALBA | | COMMON STOCK EUR1. | | 3,823 | | | | 165,211 | |
| | COSAN SA INDUSTRIA COMERCIO | | COMMON STOCK | | 38,149 | | | | 241,651 | |
| | COSCO CORP SINGAPORE LTD | | COMMON STOCK | | 160,000 | | | | 51,880 | |
| | COSCO PACIFIC LTD | | COMMON STOCK HKD.1 | | 368,719 | | | | 406,297 | |
| | COSEL CO LTD | | COMMON STOCK | | 8,300 | | | | 74,455 | |
| | COSMO ENERGY HOLDINGS CO LTD | | COMMON STOCK | | 12,400 | | | | 166,682 | |
| | COSMO PHARMACEUTICALS SA | | COMMON STOCK EUR.26 | | 1,426 | | | | 230,796 | |
| | COSTAIN GROUP PLC | | COMMON STOCK GBP.5 | | 32,411 | | | | 178,167 | |
| | COUNTRY GARDEN HOLDINGS CO | | COMMON STOCK HKD.1 | | 1,007,127 | | | | 410,039 | |
| | COWAY CO LTD | | COMMON STOCK KRW500.0 | | 10,890 | | | | 776,747 | |
| | CP ALL PCL FOREIGN | | FOREIGN SH. THB1.0 A | | 821,700 | | | | 896,255 | |
| | CPFL ENERGIA SA | | COMMON STOCK | | 57,582 | | | | 213,848 | |
| | CRAMO OYJ | | COMMON STOCK | | 16,352 | | | | 336,499 | |
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| | CREATE SD HOLDINGS CO | | COMMON STOCK | | 15,900 | | | | 385,834 | |
| | CREDICORP LTD | | COMMON STOCK USD5. | | 3,996 | | | | 391,208 | |
| | CREDICORP LTD | | COMMON STOCK USD5. | | 7,468 | | | | 726,786 | |
| | CREDIT AGRICOLE SA | | COMMON STOCK EUR3. | | 178,257 | | | | 2,099,118 | |
| | CREDIT SAISON CO LTD | | COMMON STOCK | | 33,100 | | | | 651,765 | |
| | CREDIT SUISSE GROUP AG REG | | COMMON STOCK CHF.04 | | 302,147 | | | | 6,534,320 | |
| | CRESCENT POINT ENERGY CORP | | COMMON STOCK | | 89,950 | | | | 1,043,837 | |
| | CRESUD S.A.C.I.F.Y A. | | COMMON STOCK ARS1. | | 4 | | | | 5 | |
| | CREW ENERGY INC | | COMMON STOCK | | 38,200 | | | | 111,374 | |
| | CRH PLC | | COMMON STOCK EUR.32 | | 132,757 | | | | 3,835,776 | |
| | CRODA INTERNATIONAL PLC | | COMMON STOCK GBP.1 | | 26,433 | | | | 1,177,931 | |
| | CROWN RESORTS LTD | | COMMON STOCK | | 83,131 | | | | 749,810 | |
| | CRRC CORP LTD H | | COMMON STOCK CNY1.0 | | 774,000 | | | | 949,418 | |
| | CSL LTD | | COMMON STOCK | | 79,181 | | | | 6,027,473 | |
| | CSPC PHARMACEUTICAL GROUP LT | | COMMON STOCK | | 1,030,000 | | | | 1,047,939 | |
| | CSR LTD | | COMMON STOCK | | 115,145 | | | | 240,152 | |
| | CTBC FINANCIAL HOLDING CO LT | | COMMON STOCK TWD10. | | 2,342,604 | | | | 1,197,740 | |
| | CTRIP.COM INTERNATIONAL ADR | | ADR USD.01 | | 24,000 | | | | 1,111,920 | |
| | CTS EVENTIM AG + CO KGAA | | COMMON STOCK | | 13,785 | | | | 549,704 | |
| | CYBERAGENT INC | | COMMON STOCK | | 9,800 | | | | 404,444 | |
| | CYBERARK SOFTWARE LTD/ISRAEL | | COMMON STOCK ILS.01 | | 3,342 | | | | 150,858 | |
| | CYFROWY POLSAT SA | | COMMON STOCK PLN.04 | | 56,616 | | | | 298,522 | |
| | CYRELA BRAZIL REALTY SA EMP | | COMMON STOCK | | 57,800 | | | | 109,082 | |
| | CZECH KORUNA | | FOREIGN CURRENCY | | 819,764 | | | | 32,955 | |
| | D IETEREN SA/NV | | COMMON STOCK | | 5,489 | | | | 204,756 | |
| | D LINK CORP | | COMMON STOCK TWD10. | | 116,094 | | | | 36,125 | |
| | DABUR INDIA LTD | | COMMON STOCK INR1. | | 101,948 | | | | 424,166 | |
| | DAEHWA PHARM CO LTD | | COMMON STOCK KRW500. | | 1,920 | | | | 60,334 | |
| | DAELIM INDUSTRIAL CO LTD | | COMMON STOCK KRW5000. | | 5,815 | | | | 327,895 | |
| | DAETWYLER HOLDING AG BR | | COMMON STOCK CHF.05 | | 1,793 | | | | 256,324 | |
| | DAEWOO ENGINEERING + CONSTR | | COMMON STOCK KRW5000. | | 33,894 | | | | 160,205 | |
| | DAEWOO INDUSTRIAL DEVELOPMEN | | COMMON STOCK KRW5000.0 | | 393 | | | | 0 | |
| | DAEWOO INTERNATIONAL CORP | | COMMON STOCK KRW5000. | | 11,657 | | | | 160,630 | |
| | DAEWOO SECURITIES CO LTD | | COMMON STOCK KRW5000. | | 37,710 | | | | 298,759 | |
| | DAEWOO SHIPBUILDING + MARINE | | COMMON STOCK KRW5000. | | 26,150 | | | | 110,975 | |
| | DAH CHONG HONG | | COMMON STOCK | | 455,000 | | | | 228,087 | |
| | DAH SING FINANCIAL HOLDINGS | | COMMON STOCK | | 45,250 | | | | 224,624 | |
| | DAI ICHI LIFE INSURANCE | | COMMON STOCK | | 189,300 | | | | 3,138,399 | |
| | DAI NIPPON PRINTING CO LTD | | COMMON STOCK | | 101,000 | | | | 997,689 | |
| | DAICEL CORP | | COMMON STOCK | | 55,000 | | | | 817,771 | |
| | DAIDO STEEL CO LTD | | COMMON STOCK | | 59,000 | | | | 235,593 | |
| | DAIHATSU MOTOR CO LTD | | COMMON STOCK | | 31,000 | | | | 417,234 | |
| | DAIICHI SANKYO CO LTD | | COMMON STOCK | | 109,600 | | | | 2,250,486 | |
| | DAIICHIKOSHO CO LTD | | COMMON STOCK | | 7,700 | | | | 304,528 | |
| | DAIKEN CORP | | COMMON STOCK | | 55,000 | | | | 161,685 | |
| | DAIKIN INDUSTRIES LTD | | COMMON STOCK | | 40,500 | | | | 2,945,045 | |
| | DAIKYO INC | | COMMON STOCK | | 84,000 | | | | 136,180 | |
| | DAILY MAIL+GENERAL TST A NV | | COMMON STOCK GBP.125 | | 53,120 | | | | 545,480 | |
| | DAIMLER AG REGISTERED SHARES | | COMMON STOCK | | 160,931 | | | | 13,427,389 | |
| | DAIO PAPER CORP | | COMMON STOCK | | 22,600 | | | | 193,647 | |
| | DAIRY CREST GROUP PLC | | COMMON STOCK GBP.25 | | 28,285 | | | | 283,395 | |
| | DAISHI BANK LTD/THE | | COMMON STOCK | | 51,000 | | | | 224,777 | |
| | DAITO TRUST CONSTRUCT CO LTD | | COMMON STOCK | | 12,500 | | | | 1,445,980 | |
| | DAIWA HOUSE INDUSTRY CO LTD | | COMMON STOCK | | 107,400 | | | | 3,076,662 | |
| | DAIWA SECURITIES GROUP INC | | COMMON STOCK | | 290,000 | | | | 1,771,594 | |
| | DAIWABO HOLDINGS CO LTD | | COMMON STOCK | | 65,000 | | | | 129,677 | |
| | DALIAN WANDA COMMERCIAL PR H | | COMMON STOCK CNY1.0 | | 107,700 | | | | 624,197 | |
| | DANIELI + CO | | COMMON STOCK EUR1. | | 6,866 | | | | 130,852 | |
| | DANISH KRONE | | FOREIGN CURRENCY | | 342,456 | | | | 49,850 | |
| | DANONE | | COMMON STOCK EUR.25 | | 99,675 | | | | 6,724,020 | |
| | DANSKE BANK A/S | | COMMON STOCK DKK10. | | 117,617 | | | | 3,141,048 | |
| | DARWIN PRECISIONS CORP | | COMMON STOCK TWD10.0 | | 311,006 | | | | 96,720 | |
| | DASSAULT SYSTEMES SA | | COMMON STOCK EUR.5 | | 25,221 | | | | 2,017,063 | |
| | DATANG INTL POWER GEN CO H | | COMMON STOCK CNY1.0 | | 896,000 | | | | 272,083 | |
| | DATATEC LTD | | COMMON STOCK ZAR.01 | | 44,271 | | | | 147,073 | |
| | DAVIDE CAMPARI MILANO SPA | | COMMON STOCK EUR.1 | | 59,542 | | | | 512,466 | |
| | DBS GROUP HOLDINGS LTD | | COMMON STOCK | | 286,192 | | | | 3,348,820 | |
| | DCC PLC | | COMMON STOCK EUR.25 | | 14,929 | | | | 1,239,407 | |
| | DE LONGHI SPA | | COMMON STOCK EUR1.5 | | 15,505 | | | | 463,933 | |
| | DEA CAPITAL SPA | | COMMON STOCK EUR1.0 | | 80,348 | | | | 122,871 | |
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| | DEBENHAMS PLC | | COMMON STOCK GBP.0001 | | 210,378 | | | | 225,889 | |
| | DELHAIZE GROUP | | COMMON STOCK | | 19,460 | | | | 1,894,772 | |
| | DELTA ELECTRONICS INC | | COMMON STOCK TWD10. | | 312,794 | | | | 1,468,024 | |
| | DELTA LLOYD NV | | COMMON STOCK EUR.2 | | 35,721 | | | | 209,750 | |
| | DENA CO LTD | | COMMON STOCK | | 17,600 | | | | 275,171 | |
| | DENISON MINES CORP | | COMMON STOCK | | 153,548 | | | | 77,376 | |
| | DENKA CO LTD | | COMMON STOCK | | 92,000 | | | | 407,056 | |
| | DENKI KOGYO CO LTD | | COMMON STOCK | | 24,000 | | | | 106,891 | |
| | DENSO CORP | | COMMON STOCK | | 86,500 | | | | 4,120,838 | |
| | DENTSU INC | | COMMON STOCK | | 37,900 | | | | 2,072,820 | |
| | DERICHEBOURG | | COMMON STOCK EUR.25 | | 40,413 | | | | 144,882 | |
| | DERWENT LONDON PLC | | REIT GBP.05 | | 18,397 | | | | 993,658 | |
| | DESCENTE LTD | | COMMON STOCK | | 23,000 | | | | 291,581 | |
| | DETOUR GOLD CORP | | COMMON STOCK | | 38,000 | | | | 394,198 | |
| | DEUTSCHE BANK AG REGISTERED | | COMMON STOCK | | 232,145 | | | | 5,695,438 | |
| | DEUTSCHE BETEILIGUNGS AG | | COMMON STOCK | | 5,888 | | | | 189,969 | |
| | DEUTSCHE BOERSE AG | | COMMON STOCK | | 33,551 | | | | 2,966,869 | |
| | DEUTSCHE LUFTHANSA REG | | COMMON STOCK | | 43,459 | | | | 686,008 | |
| | DEUTSCHE POST AG REG | | COMMON STOCK | | 164,324 | | | | 4,625,707 | |
| | DEUTSCHE TELEKOM AG REG | | COMMON STOCK | | 532,200 | | | | 9,625,533 | |
| | DEUTSCHE WOHNEN AG BR | | COMMON STOCK | | 58,403 | | | | 1,625,011 | |
| | DEVRO PLC | | COMMON STOCK GBP.1 | | 41,772 | | | | 178,560 | |
| | DEXUS PROPERTY GROUP | | REIT | | 183,927 | | | | 995,767 | |
| | DFDS A/S | | COMMON STOCK DKK20.0 | | 8,295 | | | | 320,975 | |
| | DGB FINANCIAL GROUP INC | | COMMON STOCK KRW5000. | | 37,354 | | | | 318,118 | |
| | DH CORP | | COMMON STOCK | | 20,600 | | | | 468,917 | |
| | DIAGEO PLC | | COMMON STOCK GBP.2893518 | | 420,861 | | | | 11,474,751 | |
| | DIALOG SEMICONDUCTOR PLC | | COMMON STOCK GBP.001 | | 14,220 | | | | 478,682 | |
| | DIASORIN SPA | | COMMON STOCK EUR1.0 | | 5,805 | | | | 303,435 | |
| | DIC ASSET AG | | COMMON STOCK | | 23,908 | | | | 242,471 | |
| | DIC CORP | | COMMON STOCK | | 155,000 | | | | 419,068 | |
| | DIGI.COM BHD | | COMMON STOCK MYR.01 | | 619,200 | | | | 776,243 | |
| | DIGITAL CHINA HOLDINGS LTD | | COMMON STOCK HKD.1 | | 319,000 | | | | 364,451 | |
| | DIGNITY PLC | | COMMON STOCK GBP.123357 | | 11,086 | | | | 415,405 | |
| | DIP CORP | | COMMON STOCK | | 11,500 | | | | 234,341 | |
| | DIRECT LINE INSURANCE GROUP | | COMMON STOCK GBP.1090909 | | 237,600 | | | | 1,418,967 | |
| | DISCO CORP | | COMMON STOCK | | 4,500 | | | | 424,902 | |
| | DISCOVERY LTD | | COMMON STOCK ZAR.001 | | 64,706 | | | | 553,621 | |
| | DISHMAN PHARMACEUTICALS + CH | | COMMON STOCK INR2. | | 35,463 | | | | 181,792 | |
| | DISTRIBUIDORA INTERNACIONAL | | COMMON STOCK EUR.1 | | 110,807 | | | | 650,728 | |
| | DIVI S LABORATORIES LTD | | COMMON STOCK INR2. | | 16,644 | | | | 288,361 | |
| | DIXONS CARPHONE PLC | | COMMON STOCK GBP.001 | | 178,073 | | | | 1,308,447 | |
| | DMG MORI AG | | COMMON STOCK | | 12,843 | | | | 529,201 | |
| | DMG MORI CO LTD | | COMMON STOCK | | 23,300 | | | | 270,367 | |
| | DNB ASA | | COMMON STOCK NOK10.0 | | 162,246 | | | | 1,996,802 | |
| | DNO ASA | | COMMON STOCK NOK.25 | | 166,621 | | | | 113,231 | |
| | DOGUS OTOMOTIV SERVIS VE TIC | | COMMON STOCK TRY1. | | 50,608 | | | | 191,048 | |
| | DOLLARAMA INC | | COMMON STOCK | | 21,300 | | | | 1,225,774 | |
| | DOMINO S PIZZA GROUP PLC | | COMMON STOCK GBP.015625 | | 32,975 | | | | 510,575 | |
| | DON QUIJOTE HOLDINGS CO LTD | | COMMON STOCK | | 20,600 | | | | 723,133 | |
| | DONG A SOCIO HOLDINGS CO LTD | | COMMON STOCK KRW5000. | | 1,125 | | | | 161,442 | |
| | DONG A ST CO LTD | | COMMON STOCK KRW5000.0 | | 1,511 | | | | 187,511 | |
| | DONG AH CONST IND | | EDR REPR 1/2 COM KRW5000 | | 434 | | | | 0 | |
| | DONGBU HITEK CO LTD | | COMMON STOCK KRW5000. | | 15,500 | | | | 186,258 | |
| | DONGBU INSURANCE CO LTD | | COMMON STOCK KRW500. | | 8,920 | | | | 533,855 | |
| | DONGFENG MOTOR GRP CO LTD H | | COMMON STOCK CNY1.0 | | 516,000 | | | | 685,942 | |
| | DONGJIANG ENVIRONMENTAL H | | COMMON STOCK CNY1. | | 80,000 | | | | 135,291 | |
| | DONGKUK STEEL MILL CO LTD | | COMMON STOCK KRW5000. | | 26,814 | | | | 130,262 | |
| | DONGWON INDUSTRIES CO LTD | | COMMON STOCK KRW5000. | | 566 | | | | 127,475 | |
| | DOOSAN CORP | | COMMON STOCK KRW5000. | | 2,501 | | | | 187,905 | |
| | DOOSAN HEAVY INDUSTRIES | | COMMON STOCK KRW5000.0 | | 13,159 | | | | 229,436 | |
| | DOOSAN INFRACORE CO LTD | | COMMON STOCK KRW5000. | | 33,720 | | | | 133,781 | |
| | DORMA KABA HOLDING AG REG B | | COMMON STOCK CHF.1 | | 625 | | | | 424,314 | |
| | DOSHISHA CO LTD | | COMMON STOCK | | 3,700 | | | | 74,394 | |
| | DOUBLEDRAGON PROPERTIES CORP | | COMMON STOCK PHP.1 | | 288,200 | | | | 149,042 | |
| | DOWA HOLDINGS CO LTD | | COMMON STOCK | | 54,150 | | | | 388,453 | |
| | DOWNER EDI LTD | | COMMON STOCK | | 94,197 | | | | 244,537 | |
| | DP WORLD LTD | | COMMON STOCK USD2.0 | | 37,652 | | | | 762,962 | |
| | DR. REDDY S LABORATORIES | | COMMON STOCK INR5. | | 21,051 | | | | 984,219 | |
| | DRAEGERWERK AG | | COMMON STOCK | | 1,327 | | | | 86,525 | |
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Table of Contents
| | DRAEGERWERK AG PREF | | PREFERENCE | | 2,292 | | | | 169,810 | |
| | DRAX GROUP PLC | | COMMON STOCK GBP.1155172 | | 67,750 | | | | 243,724 | |
| | DS SMITH PLC | | COMMON STOCK GBP.1 | | 172,177 | | | | 1,004,234 | |
| | DSV A/S | | COMMON STOCK DKK1. | | 37,890 | | | | 1,487,940 | |
| | DTS CORP | | COMMON STOCK | | 10,600 | | | | 240,604 | |
| | DUERR AG | | COMMON STOCK | | 5,029 | | | | 401,083 | |
| | DUET GROUP | | STAPLED SECURITY | | 377,264 | | | | 624,172 | |
| | DUFRY AG REG | | COMMON STOCK CHF5.0 | | 8,286 | | | | 983,371 | |
| | DULUXGROUP LTD | | COMMON STOCK | | 79,253 | | | | 380,826 | |
| | DUNELM GROUP PLC | | COMMON STOCK GBP.01 | | 26,264 | | | | 363,843 | |
| | DUNLOP SPORTS CO LTD | | COMMON STOCK | | 19,200 | | | | 148,253 | |
| | DURATEX SA | | COMMON STOCK | | 78,821 | | | | 116,973 | |
| | DYNASTY FINE WINES GROUP LTD | | COMMON STOCK HKD.1 | | 376,000 | | | | 69,862 | |
| | E MART INC | | COMMON STOCK KRW5000.0 | | 3,834 | | | | 615,215 | |
| | E.ON SE | | COMMON STOCK | | 340,934 | | | | 3,298,129 | |
| | E.SUN FINANCIAL HOLDING CO | | COMMON STOCK TWD10. | | 1,278,891 | | | | 742,493 | |
| | EAST JAPAN RAILWAY CO | | COMMON STOCK | | 55,600 | | | | 5,221,067 | |
| | EASYJET PLC | | COMMON STOCK GBP.2728571 | | 25,452 | | | | 651,381 | |
| | EBARA CORP | | COMMON STOCK | | 77,000 | | | | 365,884 | |
| | ECLAT TEXTILE COMPANY LTD | | COMMON STOCK TWD10. | | 49,000 | | | | 674,801 | |
| | ECOPETROL SA SPONSORED ADR | | ADR | | 57,800 | | | | 405,178 | |
| | EDENRED | | COMMON STOCK EUR2. | | 37,145 | | | | 699,560 | |
| | EDF | | COMMON STOCK EUR.5 | | 44,867 | | | | 658,841 | |
| | EDION CORP | | COMMON STOCK | | 8,700 | | | | 65,454 | |
| | EDP ENERGIAS DO BRASIL SA | | COMMON STOCK | | 84,900 | | | | 256,763 | |
| | EDP ENERGIAS DE PORTUGAL SA | | COMMON STOCK EUR1. | | 351,412 | | | | 1,262,425 | |
| | EFG INTERNATIONAL AG | | COMMON STOCK CHF.5 | | 20,267 | | | | 213,009 | |
| | EGYPTIAN POUND | | FOREIGN CURRENCY | | 1,940,128 | | | | 247,780 | |
| | EI TOWERS SPA | | COMMON STOCK EUR.1 | | 4,955 | | | | 319,159 | |
| | EICHER MOTORS LTD | | COMMON STOCK INR10. | | 2,226 | | | | 564,292 | |
| | EID PARRY INDIA LTD | | COMMON STOCK INR1. | | 57,586 | | | | 171,858 | |
| | EIFFAGE | | COMMON STOCK EUR4. | | 7,398 | | | | 476,898 | |
| | EISAI CO LTD | | COMMON STOCK | | 43,300 | | | | 2,859,877 | |
| | EIZO CORP | | COMMON STOCK | | 4,700 | | | | 112,464 | |
| | ELAN MICROELECTRONICS CORP | | COMMON STOCK TWD10. | | 247,220 | | | | 342,061 | |
| | ELBIT SYSTEMS LTD | | COMMON STOCK ILS1. | | 4,740 | | | | 417,133 | |
| | ELDORADO GOLD CORP | | COMMON STOCK | | 153,895 | | | | 454,229 | |
| | ELECTRIC POWER DEVELOPMENT C | | COMMON STOCK | | 25,400 | | | | 903,148 | |
| | ELECTROCOMPONENTS PLC | | COMMON STOCK GBP.1 | | 72,433 | | | | 253,289 | |
| | ELECTROLUX AB SER B | | COMMON STOCK SEK5.0 | | 41,605 | | | | 999,922 | |
| | ELEKTA AB B SHS | | COMMON STOCK SEK.5 | | 70,253 | | | | 598,810 | |
| | ELEMENT FINANCIAL CORP | | COMMON STOCK | | 56,600 | | | | 680,455 | |
| | ELEMENTIS PLC | | COMMON STOCK GBP.05 | | 112,315 | | | | 378,508 | |
| | ELETROPAULO METROPOLI PREF | | PREFERENCE | | 77,677 | | | | 163,448 | |
| | ELIA SYSTEM OPERATOR SA/NV | | COMMON STOCK | | 6,678 | | | | 310,440 | |
| | ELISA OYJ | | COMMON STOCK | | 26,646 | | | | 1,001,694 | |
| | ELITE SEMICONDUCTOR MEMORY | | COMMON STOCK TWD10. | | 168,000 | | | | 154,499 | |
| | EMAAR PROPERTIES PJSC | | COMMON STOCK AED1. | | 431,660 | | | | 665,205 | |
| | EMBRAER SA | | COMMON STOCK | | 113,370 | | | | 838,923 | |
| | EMMI AG REG | | COMMON STOCK CHF10.0 | | 560 | | | | 251,596 | |
| | EMPEROR INTL HLDG LTD | | COMMON STOCK HKD.01 | | 630,000 | | | | 115,778 | |
| | EMPIRE CO LTD A | | COMMON STOCK | | 32,400 | | | | 600,371 | |
| | EMPRESA NAC ELEC CHIL SP ADR | | ADR | | 21,246 | | | | 787,377 | |
| | EMPRESAS CMPC SA | | COMMON STOCK | | 198,577 | | | | 421,255 | |
| | EMPRESAS COPEC SA | | COMMON STOCK | | 87,230 | | | | 738,546 | |
| | EMPRESAS ICA S.A.B | | COMMON STOCK | | 503,500 | | | | 103,200 | |
| | EMS CHEMIE HOLDING AG REG | | COMMON STOCK CHF.01 | | 1,584 | | | | 694,008 | |
| | ENAGAS SA | | COMMON STOCK EUR1.5 | | 37,461 | | | | 1,053,636 | |
| | ENBRIDGE INC | | COMMON STOCK | | 144,540 | | | | 4,786,437 | |
| | ENCANA CORP | | COMMON STOCK | | 153,292 | | | | 775,785 | |
| | ENCE ENERGIA Y CELULOSA SA | | COMMON STOCK EUR.9 | | 51,736 | | | | 194,510 | |
| | ENDESA SA | | COMMON STOCK EUR1.2 | | 55,067 | | | | 1,102,790 | |
| | ENEL GREEN POWER SPA | | COMMON STOCK EUR.2 | | 330,638 | | | | 669,760 | |
| | ENEL SPA | | COMMON STOCK EUR1. | | 1,150,986 | | | | 4,812,327 | |
| | ENERFLEX LTD | | COMMON STOCK | | 26,804 | | | | 256,443 | |
| | ENERGY WORLD CORP LTD | | COMMON STOCK | | 399,398 | | | | 66,805 | |
| | ENERPLUS CORP | | COMMON STOCK | | 46,800 | | | | 160,032 | |
| | ENERSIS S.A. SPONS ADR | | ADR | | 65,638 | | | | 797,502 | |
| | ENEX CO LTD | | COMMON STOCK KRW500. | | 26,870 | | | | 80,563 | |
| | ENGIE | | COMMON STOCK EUR1.0 | | 247,932 | | | | 4,386,012 | |
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Table of Contents
| | ENGINEERING INGEGNERIA INFO | | COMMON STOCK EUR2.55 | | 2,292 | | | | 149,084 | |
| | ENI SPA | | COMMON STOCK | | 413,194 | | | | 6,118,585 | |
| | ENKA INSAAT VE SANAYI AS | | COMMON STOCK TRY1. | | 111,944 | | | | 173,272 | |
| | ENN ENERGY HOLDINGS LTD | | COMMON STOCK HKD.1 | | 142,000 | | | | 749,089 | |
| | ENPLAS CORP | | COMMON STOCK | | 3,600 | | | | 129,114 | |
| | ENQUEST PLC | | COMMON STOCK GBP.05 | | 285,496 | | | | 79,843 | |
| | ENSIGN ENERGY SERVICES INC | | COMMON STOCK | | 29,200 | | | | 155,134 | |
| | ENTERPRISE INNS PLC | | COMMON STOCK GBP.025 | | 98,416 | | | | 161,207 | |
| | EO TECHNICS CO LTD | | COMMON STOCK KRW500. | | 2,377 | | | | 250,394 | |
| | EPISTAR CORP | | COMMON STOCK TWD10. | | 166,524 | | | | 127,236 | |
| | EPS HOLDINGS INC | | COMMON STOCK | | 10,400 | | | | 114,213 | |
| | EQUATORIAL ENERGIA SA ORD | | COMMON STOCK | | 64,000 | | | | 551,596 | |
| | EREGLI DEMIR VE CELIK FABRIK | | COMMON STOCK TRY1. | | 335,700 | | | | 349,230 | |
| | ERG SPA | | COMMON STOCK EUR.1 | | 16,830 | | | | 226,139 | |
| | ERICSSON LM B SHS | | COMMON STOCK SEK5.0 | | 503,006 | | | | 4,878,741 | |
| | ERSTE GROUP BANK AG | | COMMON STOCK | | 47,832 | | | | 1,494,282 | |
| | ESPRIT HOLDINGS LTD | | COMMON STOCK HKD.1 | | 316,529 | | | | 347,319 | |
| | ESSENTRA PLC | | COMMON STOCK GBP.25 | | 42,110 | | | | 511,299 | |
| | ESSILOR INTERNATIONAL | | COMMON STOCK EUR.18 | | 34,812 | | | | 4,337,728 | |
| | ESTACIO PARTICIPACOES SA | | COMMON STOCK | | 46,400 | | | | 162,363 | |
| | ETERNAL MATERIALS CO LTD | | COMMON STOCK TWD10.0 | | 178,364 | | | | 171,623 | |
| | EURAZEO | | COMMON STOCK | | 7,429 | | | | 511,058 | |
| | EURO CURRENCY | | FOREIGN CURRENCY | | 2,633,576 | | | | 2,860,854 | |
| | EUROBANK ERGASIAS SA | | COMMON STOCK EUR.3 | | 14,364 | | | | 16,142 | |
| | EUROFINS SCIENTIFIC | | COMMON STOCK EUR.1 | | 1,769 | | | | 616,917 | |
| | EURONAV NV | | COMMON STOCK | | 15,182 | | | | 208,072 | |
| | EUTELSAT COMMUNICATIONS | | COMMON STOCK EUR1. | | 31,266 | | | | 933,324 | |
| | EVA AIRWAYS CORP | | COMMON STOCK TWD10. | | 496,152 | | | | 279,999 | |
| | EVERGRANDE HEALTH INDUSTRY G | | COMMON STOCK | | 660,000 | | | | 199,752 | |
| | EVERGRANDE REAL ESTATE GROUP | | COMMON STOCK USD.01 | | 1,056,000 | | | | 922,992 | |
| | EVERGREEN MARINE CORP LTD | | COMMON STOCK TWD10. | | 335,484 | | | | 134,812 | |
| | EVERLIGHT ELECTRONICS CO LTD | | COMMON STOCK TWD10.0 | | 146,845 | | | | 212,916 | |
| | EVOLUTION GAMING GROUP | | COMMON STOCK EUR.015 | | 2,096 | | | | 75,608 | |
| | EVOLUTION MINING LTD | | COMMON STOCK | | 242,185 | | | | 245,660 | |
| | EVONIK INDUSTRIES AG | | COMMON STOCK | | 25,898 | | | | 859,047 | |
| | EVS BROADCAST EQUIPMENT S.A. | | COMMON STOCK | | 3,061 | | | | 96,394 | |
| | EXOR SPA | | COMMON STOCK EUR1. | | 17,850 | | | | 807,492 | |
| | EXPERIAN PLC | | COMMON STOCK USD.1 | | 165,215 | | | | 2,918,837 | |
| | EXXARO RESOURCES LTD | | COMMON STOCK ZAR.01 | | 35,952 | | | | 101,462 | |
| | EZAKI GLICO CO LTD | | COMMON STOCK | | 8,200 | | | | 442,374 | |
| | F SECURE OYJ | | COMMON STOCK | | 48,898 | | | | 136,712 | |
| | FABEGE AB | | COMMON STOCK SEK30.82 | | 26,409 | | | | 434,790 | |
| | FAES FARMA SA | | COMMON STOCK EUR.1 | | 85,445 | | | | 255,814 | |
| | FAES FARMA SA | | RIGHT | | 85,445 | | | | 7,797 | |
| | FAGRON | | COMMON STOCK | | 6,662 | | | | 50,629 | |
| | FAIRFAX FINANCIAL HLDGS LTD | | COMMON STOCK | | 3,800 | | | | 1,797,033 | |
| | FAIRFAX MEDIA LTD | | COMMON STOCK | | 417,707 | | | | 277,700 | |
| | FAIVELEY TRANSPORT | | COMMON STOCK EUR1. | | 1,896 | | | | 196,734 | |
| | FAMILYMART CO LTD | | COMMON STOCK | | 11,000 | | | | 510,691 | |
| | FANUC CORP | | COMMON STOCK | | 34,300 | | | | 5,908,104 | |
| | FAR EAST HORIZON LTD | | COMMON STOCK | | 334,000 | | | | 310,981 | |
| | FAR EASTERN DEPARTMENT STORE | | COMMON STOCK TWD10. | | 296,670 | | | | 164,120 | |
| | FAR EASTERN NEW CENTURY CORP | | COMMON STOCK TWD10. | | 554,461 | | | | 433,636 | |
| | FAR EASTONE TELECOMM CO LTD | | COMMON STOCK TWD10. | | 315,000 | | | | 646,964 | |
| | FARADAY TECHNOLOGY CORP | | COMMON STOCK TWD10. | | 117,396 | | | | 158,939 | |
| | FAST RETAILING CO LTD | | COMMON STOCK | | 9,000 | | | | 3,149,024 | |
| | FEDERAL BANK LTD | | COMMON STOCK INR2.0 | | 280,159 | | | | 236,253 | |
| | FEDERAL CORPORATION | | COMMON STOCK TWD10. | | 219,999 | | | | 100,982 | |
| | FEDERAL GRID CO UNIFIED PJSC | | COMMON STOCK RUB.5 | | 48,188,087 | | | | 38,695 | |
| | FENG TAY ENTERPRISE CO LTD | | COMMON STOCK TWD10. | | 124,000 | | | | 627,188 | |
| | FENNER PLC | | COMMON STOCK GBP.25 | | 43,264 | | | | 91,110 | |
| | FERROVIAL SA | | COMMON STOCK EUR.2 | | 80,247 | | | | 1,810,354 | |
| | FFRI INC | | COMMON STOCK | | 1,000 | | | | 78,178 | |
| | FIAT CHRYSLER AUTOMOBILES NV | | COMMON STOCK EUR.01 | | 151,026 | | | | 2,078,713 | |
| | FIBRA UNO ADMINISTRACION SA | | REIT | | 532,500 | | | | 1,171,299 | |
| | FIBRIA CELULOSE SA | | COMMON STOCK | | 21,478 | | | | 274,682 | |
| | FIBRIA CELULOSE SA SPON ADR | | ADR | | 17,346 | | | | 220,121 | |
| | FIELDS CORP | | COMMON STOCK | | 5,500 | | | | 94,577 | |
| | FIH MOBILE LTD | | COMMON STOCK USD.04 | | 531,000 | | | | 202,388 | |
| | FILA KOREA LTD | | COMMON STOCK KRW5000. | | 2,620 | | | | 209,924 | |
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Table of Contents
| | FINANCIAL PRODUCTS GROUP CO | | COMMON STOCK | | 36,000 | | | | 280,271 | |
| | FINGERPRINT CARDS AB B | | COMMON STOCK SEK.2 | | 10,000 | | | | 690,792 | |
| | FINMECCANICA SPA | | COMMON STOCK EUR4.4 | | 72,491 | | | | 1,001,595 | |
| | FINNING INTERNATIONAL INC | | COMMON STOCK | | 32,600 | | | | 438,390 | |
| | FIRICH ENTERPRISES CO LTD | | COMMON STOCK TWD10. | | 99,352 | | | | 273,478 | |
| | FIRST FINANCIAL HOLDING CO | | COMMON STOCK TWD10. | | 1,461,962 | | | | 679,082 | |
| | FIRST GEN CORPORATION | | COMMON STOCK PHP1. | | 803,291 | | | | 385,190 | |
| | FIRST HOTEL | | COMMON STOCK TWD10. | | 153,362 | | | | 87,550 | |
| | FIRST MAJESTIC SILVER CORP | | COMMON STOCK | | 40,700 | | | | 132,141 | |
| | FIRST PACIFIC CO | | COMMON STOCK USD.01 | | 447,000 | | | | 296,081 | |
| | FIRST QUANTUM MINERALS LTD | | COMMON STOCK | | 132,976 | | | | 495,872 | |
| | FIRST TRACTOR CO H | | COMMON STOCK CNY1.0 | | 192,000 | | | | 122,306 | |
| | FIRSTGROUP PLC | | COMMON STOCK GBP.05 | | 226,222 | | | | 355,525 | |
| | FIRSTRAND LTD | | COMMON STOCK ZAR.01 | | 567,973 | | | | 1,546,428 | |
| | FISCHER (GEORG) REG | | COMMON STOCK CHF1.0 | | 847 | | | | 571,608 | |
| | FISHER + PAYKEL HEALTHCARE C | | COMMON STOCK | | 152,674 | | | | 927,635 | |
| | FLETCHER BUILDING LTD | | COMMON STOCK | | 119,169 | | | | 596,456 | |
| | FLSMIDTH + CO A/S | | COMMON STOCK DKK20. | | 10,327 | | | | 357,580 | |
| | FLUGHAFEN ZUERICH AG REG | | COMMON STOCK CHF50.0 | | 847 | | | | 635,707 | |
| | FOMENTO DE CONSTRUC Y CONTRA | | COMMON STOCK EUR1. | | 27,779 | | | | 210,366 | |
| | FOMENTO ECONOMICO MEXICA UBD | | UNIT | | 338,300 | | | | 3,149,291 | |
| | FONCIERE DES REGIONS | | REIT EUR3. | | 6,916 | | | | 618,876 | |
| | FORBO HOLDING AG REG | | COMMON STOCK CHF.1 | | 287 | | | | 336,590 | |
| | FORCE MOTORS LTD | | COMMON STOCK INR10.0 | | 3,209 | | | | 149,876 | |
| | FORMOSA CHEMICALS + FIBRE | | COMMON STOCK TWD10.0 | | 504,582 | | | | 1,133,013 | |
| | FORMOSA PETROCHEMICAL CORP | | COMMON STOCK TWD10.0 | | 271,920 | | | | 648,801 | |
| | FORMOSA PLASTICS CORP | | COMMON STOCK TWD10.0 | | 634,528 | | | | 1,482,474 | |
| | FORMOSA TAFFETA CO. | | COMMON STOCK TWD10. | | 209,319 | | | | 190,493 | |
| | FORTESCUE METALS GROUP LTD | | COMMON STOCK | | 306,773 | | | | 413,109 | |
| | FORTIS INC | | COMMON STOCK | | 49,700 | | | | 1,338,476 | |
| | FORTRESS INCOME FUND LTD | | COMMON STOCK | | 110,535 | | | | 248,248 | |
| | FORTRESS INCOME FUND LTD A | | REIT | | 110,535 | | | | 114,235 | |
| | FORTUM OYJ | | COMMON STOCK EUR3.4 | | 71,235 | | | | 1,067,362 | |
| | FOSTER ELECTRIC CO LTD | | COMMON STOCK | | 10,200 | | | | 221,509 | |
| | FOSUN INTERNATIONAL LTD | | COMMON STOCK | | 375,198 | | | | 583,366 | |
| | FOXCONN TECHNOLOGY CO LTD | | COMMON STOCK TWD10. | | 161,878 | | | | 341,507 | |
| | FRANCE BED HOLDINGS CO LTD | | COMMON STOCK | | 8,600 | | | | 71,353 | |
| | FRANCO NEVADA CORP | | COMMON STOCK | | 28,400 | | | | 1,294,162 | |
| | FRAPORT AG FRANKFURT AIRPORT | | COMMON STOCK | | 8,536 | | | | 544,421 | |
| | FRASERS COMMERCIAL TRUST | | REIT | | 341,121 | | | | 304,323 | |
| | FRED OLSEN ENERGY ASA | | COMMON STOCK NOK20. | | 18,656 | | | | 72,204 | |
| | FREEMAN FINANCIAL CORP LTD | | COMMON STOCK HKD.001 | | 1,480,000 | | | | 90,467 | |
| | FREENET AG | | COMMON STOCK | | 22,862 | | | | 774,841 | |
| | FRESENIUS MEDICAL CARE AG + | | COMMON STOCK | | 37,436 | | | | 3,152,743 | |
| | FRESENIUS SE + CO KGAA | | COMMON STOCK | | 64,419 | | | | 4,604,622 | |
| | FRESNILLO PLC | | COMMON STOCK USD.5 | | 39,814 | | | | 416,626 | |
| | FRONTIER REAL ESTATE INVEST | | REIT | | 83 | | | | 332,893 | |
| | FTSE 100 IDX FUT MAR16 | | IFLL 20160318 | | 790 | | | | 322,679 | |
| | FUBON FINANCIAL HOLDING CO | | COMMON STOCK TWD10. | | 1,037,938 | | | | 1,410,761 | |
| | FUCHS PETROLUB SE PREF | | PREFERENCE | | 13,808 | | | | 652,129 | |
| | FUGRO NV CVA | | DUTCH CERT EUR.05 | | 14,150 | | | | 230,122 | |
| | FUJI CO LTD | | COMMON STOCK | | 10,000 | | | | 202,252 | |
| | FUJI ELECTRIC CO LTD | | COMMON STOCK | | 109,000 | | | | 456,701 | |
| | FUJI HEAVY INDUSTRIES LTD | | COMMON STOCK | | 100,400 | | | | 4,123,847 | |
| | FUJI OIL HOLDINGS INC | | COMMON STOCK | | 13,700 | | | | 222,202 | |
| | FUJI SOFT INC | | COMMON STOCK | | 7,300 | | | | 160,228 | |
| | FUJICCO CO LTD | | COMMON STOCK | | 15,000 | | | | 260,804 | |
| | FUJIFILM HOLDINGS CORP | | COMMON STOCK | | 76,500 | | | | 3,183,628 | |
| | FUJIKURA LTD | | COMMON STOCK | | 84,000 | | | | 453,507 | |
| | FUJITEC CO LTD | | COMMON STOCK | | 25,000 | | | | 255,822 | |
| | FUJITSU GENERAL LTD | | COMMON STOCK | | 16,000 | | | | 203,095 | |
| | FUJITSU LTD | | COMMON STOCK | | 303,000 | | | | 1,506,889 | |
| | FUJIYA CO LTD | | COMMON STOCK | | 75,000 | | | | 119,450 | |
| | FUKUOKA FINANCIAL GROUP INC | | COMMON STOCK | | 143,000 | | | | 708,664 | |
| | FUKUYAMA TRANSPORTING CO LTD | | COMMON STOCK | | 22,000 | | | | 109,322 | |
| | FURUKAWA ELECTRIC CO LTD | | COMMON STOCK | | 119,000 | | | | 251,776 | |
| | FUTABA INDUSTRIAL CO LTD | | COMMON STOCK | | 38,800 | | | | 184,651 | |
| | FUTURE ARCHITECT INC | | COMMON STOCK | | 12,300 | | | | 79,857 | |
| | G RESOURCES GROUP LTD | | COMMON STOCK HKD.01 | | 5,907,600 | | | | 139,641 | |
| | G STEEL PCL FOREIGN | | FOREIGN SH. THB5.0 A | | 202,800 | | | | 1,240 | |
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Table of Contents
| | G.U.D. HOLDINGS LTD | | COMMON STOCK | | 43,205 | | | | 265,425 | |
| | G4S PLC | | COMMON STOCK GBP.25 | | 271,031 | | | | 900,013 | |
| | GAEC EDUCACAO SA | | COMMON STOCK | | 40,503 | | | | 140,167 | |
| | GAFISA SA | | COMMON STOCK | | 96,754 | | | | 56,684 | |
| | GAIL INDIA LTD | | COMMON STOCK INR10. | | 78,319 | | | | 443,371 | |
| | GALAPAGOS NV | | COMMON STOCK | | 2,158 | | | | 131,372 | |
| | GALAXY ENTERTAINMENT GROUP L | | COMMON STOCK | | 400,000 | | | | 1,247,161 | |
| | GALENICA AG REG | | COMMON STOCK CHF.1 | | 866 | | | | 1,351,015 | |
| | GALP ENERGIA SGPS SA | | COMMON STOCK EUR1. | | 65,729 | | | | 761,608 | |
| | GAM HOLDING AG | | COMMON STOCK CHF.05 | | 40,542 | | | | 673,578 | |
| | GAMELOFT SE | | COMMON STOCK EUR.05 | | 33,599 | | | | 219,608 | |
| | GAMESA CORP TECNOLOGICA SA | | COMMON STOCK EUR.17 | | 46,936 | | | | 804,661 | |
| | GAMUDA BHD | | COMMON STOCK MYR1. | | 348,644 | | | | 378,164 | |
| | GAS NATURAL SDG SA | | COMMON STOCK EUR1. | | 60,127 | | | | 1,220,947 | |
| | GATEGROUP HOLDING AG | | COMMON STOCK CHF5.0 | | 7,467 | | | | 328,570 | |
| | GATEWAY DISTRIPARKS LTD | | COMMON STOCK INR10. | | 39,811 | | | | 195,984 | |
| | GAZPROM PAO SPON ADR | | ADR | | 983,994 | | | | 3,611,258 | |
| | GCL POLY ENERGY HOLDINGS LTD | | EXP 20JAN16 | | 403,400 | | | | 2,603 | |
| | GCL POLY ENERGY HOLDINGS LTD | | COMMON STOCK HKD.1 | | 2,017,000 | | | | 301,245 | |
| | GEA GROUP AG | | COMMON STOCK | | 32,833 | | | | 1,322,503 | |
| | GEBERIT AG REG | | COMMON STOCK CHF.1 | | 6,683 | | | | 2,249,161 | |
| | GECINA SA | | REIT EUR7.5 | | 6,188 | | | | 750,437 | |
| | GEELY AUTOMOBILE HOLDINGS LT | | COMMON STOCK HKD.02 | | 980,000 | | | | 518,658 | |
| | GEMALTO | | COMMON STOCK EUR1.0 | | 14,264 | | | | 856,408 | |
| | GENIUS ELECTRONIC OPTICAL CO | | COMMON STOCK TWD10.0 | | 27,613 | | | | 49,466 | |
| | GENMAB A/S | | COMMON STOCK DKK1. | | 10,741 | | | | 1,407,894 | |
| | GENTING BHD | | COMMON STOCK MYR.1 | | 345,500 | | | | 588,688 | |
| | GENTING MALAYSIA BHD | | COMMON STOCK MYR.1 | | 558,250 | | | | 568,592 | |
| | GENTING PLANTATIONS BHD | | COMMON STOCK MYR.5 | | 160,100 | | | | 394,859 | |
| | GENTING SINGAPORE PLC | | COMMON STOCK USD.1 | | 981,399 | | | | 528,681 | |
| | GENUS PLC | | COMMON STOCK GBP.1 | | 15,281 | | | | 349,191 | |
| | GEO HOLDINGS CORP | | COMMON STOCK | | 14,900 | | | | 233,452 | |
| | GERDAU SA PREF | | PREFERENCE | | 149,704 | | | | 179,634 | |
| | GERRESHEIMER AG | | COMMON STOCK | | 10,722 | | | | 838,263 | |
| | GERRY WEBER INTL AG | | COMMON STOCK | | 9,002 | | | | 124,629 | |
| | GETAC TECHNOLOGY CORP | | COMMON STOCK TWD10. | | 269,000 | | | | 163,373 | |
| | GETIN HOLDING SA | | COMMON STOCK PLN1. | | 154,580 | | | | 47,628 | |
| | GETINGE AB B SHS | | COMMON STOCK SEK.5 | | 37,645 | | | | 980,969 | |
| | GF SECURITIES CO LTD H | | COMMON STOCK CNY1.0 | | 201,400 | | | | 503,377 | |
| | GIANT MANUFACTURING | | COMMON STOCK TWD10. | | 64,000 | | | | 420,626 | |
| | GIBSON ENERGY INC | | COMMON STOCK | | 24,900 | | | | 247,727 | |
| | GILDAN ACTIVEWEAR INC | | COMMON STOCK | | 43,000 | | | | 1,217,781 | |
| | GIORDANO INTERNATIONAL LTD | | COMMON STOCK HKD.05 | | 436,000 | | | | 203,393 | |
| | GIVAUDAN REG | | COMMON STOCK CHF10.0 | | 1,588 | | | | 2,859,071 | |
| | GJENSIDIGE FORSIKRING ASA | | COMMON STOCK NOK2. | | 37,126 | | | | 591,216 | |
| | GKN PLC | | COMMON STOCK GBP.1 | | 281,894 | | | | 1,279,513 | |
| | GLANBIA PLC | | COMMON STOCK EUR.06 | | 32,689 | | | | 600,873 | |
| | GLAXOSMITHKLINE CONSUMER HEA | | COMMON STOCK INR10. | | 2,348 | | | | 226,994 | |
| | GLAXOSMITHKLINE PLC | | COMMON STOCK GBP.25 | | 812,254 | | | | 16,402,567 | |
| | GLENCORE PLC | | COMMON STOCK USD.01 | | 2,031,857 | | | | 2,702,981 | |
| | GLENMARK PHARMACEUTICALS LTD | | COMMON STOCK INR1. | | 26,342 | | | | 364,251 | |
| | GLOBAL LOGISTIC PROPERTIES L | | COMMON STOCK | | 494,000 | | | | 743,411 | |
| | GLOBAL UNICHIP CORP | | COMMON STOCK TWD10. | | 104,079 | | | | 207,205 | |
| | GLOBE TELECOM INC | | COMMON STOCK PHP50. | | 15,121 | | | | 594,087 | |
| | GLOBE TRADE CENTRE SA | | COMMON STOCK PLN.1 | | 84,787 | | | | 153,359 | |
| | GLORY LTD | | COMMON STOCK | | 13,300 | | | | 407,395 | |
| | GLOW ENERGY PCL FOREIGN | | FOREIGN SH. THB10.0 A | | 86,600 | | | | 178,085 | |
| | GLP J REIT | | REIT | | 397 | | | | 383,759 | |
| | GMO INTERNET INC | | COMMON STOCK | | 23,400 | | | | 307,143 | |
| | GMO PAYMENT GATEWAY INC | | COMMON STOCK | | 8,100 | | | | 382,929 | |
| | GMR INFRASTRUCTURE LTD | | COMMON STOCK INR1. | | 580,597 | | | | 143,816 | |
| | GN STORE NORD A/S | | COMMON STOCK DKK4. | | 37,046 | | | | 671,690 | |
| | GO AHEAD GROUP PLC | | COMMON STOCK GBP.1 | | 8,330 | | | | 327,548 | |
| | GODREJ CONSUMER PRODUCTS LTD | | COMMON STOCK INR1. | | 22,721 | | | | 453,878 | |
| | GOLD FIELDS LTD | | COMMON STOCK ZAR.5 | | 147,439 | | | | 407,508 | |
| | GOLDCORP INC | | COMMON STOCK | | 145,268 | | | | 1,672,187 | |
| | GOLDCREST CO LTD | | COMMON STOCK | | 5,980 | | | | 108,786 | |
| | GOLDEN AGRI RESOURCES LTD | | COMMON STOCK USD.025 | | 1,124,287 | | | | 267,698 | |
| | GOLDEN EAGLE RETAIL GROUP | | COMMON STOCK HKD.1 | | 183,000 | | | | 220,849 | |
| | GOLDEN MEDITECH HOLDINGS LTD | | COMMON STOCK | | 534,113 | | | | 86,305 | |
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Table of Contents
| | GOLDIN PROPERTIES HOLDINGS | | COMMON STOCK | | 326,000 | | | | 369,694 | |
| | GOLDLION HOLDINGS LTD | | COMMON STOCK | | 424,000 | | | | 172,157 | |
| | GOLDWIN INC | | COMMON STOCK | | 3,000 | | | | 154,770 | |
| | GOME ELECTRICAL APPLIANCES | | COMMON STOCK HKD.025 | | 1,877,944 | | | | 310,299 | |
| | GOOD RESOURCES HOLDINGS LTD | | COMMON STOCK HKD.1 | | 470,000 | | | | 87,478 | |
| | GOODMAN GROUP | | REIT | | 340,039 | | | | 1,537,075 | |
| | GOODMAN PROPERTY TRUST | | REIT | | 429,903 | | | | 364,459 | |
| | GPT GROUP | | REIT NPV | | 330,772 | | | | 1,141,508 | |
| | GRAFTON GROUP PLC UTS | | UNIT EUR.05 | | 38,155 | | | | 415,143 | |
| | GRAINCORP LTD A | | COMMON STOCK | | 43,477 | | | | 271,153 | |
| | GRAINGER PLC | | COMMON STOCK GBP.05 | | 112,235 | | | | 384,448 | |
| | GREAT PORTLAND ESTATES PLC | | REIT GBP.125 | | 69,635 | | | | 848,655 | |
| | GREAT WALL MOTOR COMPANY H | | COMMON STOCK CNY1.0 | | 571,500 | | | | 662,982 | |
| | GREAT WEST LIFECO INC | | COMMON STOCK | | 53,518 | | | | 1,330,341 | |
| | GREE INC | | COMMON STOCK | | 20,200 | | | | 95,726 | |
| | GREENCORE GROUP PLC | | COMMON STOCK GBP.01 | | 103,247 | | | | 538,070 | |
| | GREENE KING PLC | | COMMON STOCK GBP.125 | | 56,168 | | | | 766,338 | |
| | GREENLAND HONG KONG HOLDINGS | | COMMON STOCK HKD.5 | | 427,150 | | | | 165,220 | |
| | GRIFOLS SA | | COMMON STOCK EUR.5 | | 26,762 | | | | 1,231,501 | |
| | GRIVALIA PROPERTIES REIC | | REIT EUR2.13 | | 21,072 | | | | 168,857 | |
| | GROUPE BRUXELLES LAMBERT SA | | COMMON STOCK | | 13,143 | | | | 1,123,249 | |
| | GROUPE EUROTUNNEL SE REGR | | COMMON STOCK EUR.4 | | 84,398 | | | | 1,046,964 | |
| | GROUPE FNAC | | COMMON STOCK EUR50.0 | | 4,074 | | | | 240,137 | |
| | GROWTHPOINT PROPERTIES LTD | | REIT | | 454,072 | | | | 678,737 | |
| | GRUPO AEROPORT DEL PACIFIC B | | COMMON STOCK | | 98,500 | | | | 868,248 | |
| | GRUPO AEROPORT DEL SURESTE B | | COMMON STOCK | | 41,800 | | | | 590,921 | |
| | GRUPO BIMBO SAB SERIES A | | COMMON STOCK | | 317,400 | | | | 841,137 | |
| | GRUPO CARSO SAB DE CV SER A1 | | COMMON STOCK | | 129,461 | | | | 539,697 | |
| | GRUPO CATALANA OCCIDENTE SA | | COMMON STOCK EUR.3 | | 13,661 | | | | 474,237 | |
| | GRUPO FIN SANTANDER B | | COMMON STOCK MXN3.780783 | | 347,000 | | | | 606,356 | |
| | GRUPO FINANCIERO BANORTE O | | COMMON STOCK MXN3.5 | | 418,136 | | | | 2,295,116 | |
| | GRUPO FINANCIERO GALICIA B | | COMMON STOCK ARS1. | | 8 | | | | 22 | |
| | GRUPO FINANCIERO INBURSA O | | COMMON STOCK MXN.4137108 | | 428,100 | | | | 773,602 | |
| | GRUPO MEXICO SAB DE CV SER B | | COMMON STOCK | | 778,909 | | | | 1,659,187 | |
| | GRUPO TELEVISA SAB SER CPO | | UNIT | | 478,600 | | | | 2,615,082 | |
| | GS ENGINEERING + CONSTRUCT | | COMMON STOCK KRW5000. | | 12,042 | | | | 199,618 | |
| | GS HOLDINGS | | COMMON STOCK KRW5000. | | 10,571 | | | | 452,423 | |
| | GS HOME SHOPPING INC | | COMMON STOCK KRW5000. | | 1,575 | | | | 223,784 | |
| | GS YUASA CORP | | COMMON STOCK | | 58,000 | | | | 215,045 | |
| | GUANGDONG INVESTMENT LTD | | COMMON STOCK | | 638,000 | | | | 898,873 | |
| | GUANGDONG LAND HOLDINGS LTD | | COMMON STOCK HKD.1 | | 724,000 | | | | 199,869 | |
| | GUANGZHOU AUTOMOBILE GROUP H | | COMMON STOCK CNY1.0 | | 496,722 | | | | 439,742 | |
| | GUANGZHOU R+F PROPERTIES H | | COMMON STOCK CNY.25 | | 246,000 | | | | 300,590 | |
| | GUDANG GARAM TBK PT | | COMMON STOCK IDR500. | | 132,000 | | | | 523,963 | |
| | GULLIVER INTERNATIONAL CO | | COMMON STOCK | | 33,000 | | | | 327,108 | |
| | GUNMA BANK LTD/THE | | COMMON STOCK | | 68,000 | | | | 395,003 | |
| | GUNNEBO AB | | COMMON STOCK SEK5.0 | | 28,698 | | | | 153,083 | |
| | GUOTAI JUNAN INTERNATIONAL | | COMMON STOCK | | 752,000 | | | | 260,223 | |
| | GURUNAVI INC | | COMMON STOCK | | 14,800 | | | | 306,236 | |
| | GUYANA GOLDFIELDS INC | | COMMON STOCK | | 57,400 | | | | 127,271 | |
| | GVK POWER + INFRASTRUCTURE | | COMMON STOCK INR1.0 | | 679,694 | | | | 83,504 | |
| | GWANGJUSHINSEGAE CO LTD | | COMMON STOCK KRW5000. | | 510 | | | | 122,970 | |
| | H I S CO LTD | | COMMON STOCK | | 9,800 | | | | 326,851 | |
| | H+R REAL ESTATE INV REIT UTS | | REIT | | 26,000 | | | | 375,279 | |
| | H2O RETAILING CORP | | COMMON STOCK | | 17,300 | | | | 337,195 | |
| | HACHIJUNI BANK LTD/THE | | COMMON STOCK | | 76,000 | | | | 466,007 | |
| | HACI OMER SABANCI HOLDING | | COMMON STOCK TRY1. | | 173,281 | | | | 491,490 | |
| | HAIER ELECTRONICS GROUP CO | | COMMON STOCK HKD.1 | | 234,000 | | | | 471,179 | |
| | HAITIAN INTERNATIONAL HLDGS | | COMMON STOCK HKD.1 | | 172,000 | | | | 254,541 | |
| | HAITONG SECURITIES CO LTD H | | COMMON STOCK CNY1.0 | | 575,200 | | | | 1,011,357 | |
| | HAKUHODO DY HOLDINGS INC | | COMMON STOCK | | 44,500 | | | | 480,497 | |
| | HALFORDS GROUP PLC | | COMMON STOCK GBP.01 | | 37,786 | | | | 185,784 | |
| | HALLA HOLDINGS CORP | | COMMON STOCK KRW5000.0 | | 3,739 | | | | 202,865 | |
| | HALMA PLC | | COMMON STOCK GBP.1 | | 64,195 | | | | 813,459 | |
| | HAMAMATSU PHOTONICS KK | | COMMON STOCK | | 25,800 | | | | 706,568 | |
| | HAMBURGER HAFEN UND LOGISTIK | | COMMON STOCK | | 12,504 | | | | 190,209 | |
| | HAMMERSON PLC | | REIT GBP.25 | | 140,156 | | | | 1,238,447 | |
| | HANA FINANCIAL GROUP | | COMMON STOCK KRW5000. | | 50,190 | | | | 1,005,146 | |
| | HANERGY THIN FILM POWER GROU | | COMMON STOCK HKD.0025 | | 2,242,000 | | | | 22,420 | |
| | HANG LUNG PROPERTIES LTD | | COMMON STOCK | | 397,500 | | | | 901,548 | |
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Table of Contents
| | HANG SENG BANK LTD | | COMMON STOCK | | 123,700 | | | | 2,353,879 | |
| | HANG SENG IDX FUT JAN16 | | XHKF 20160128 | | 600 | | | | (11,221 | ) |
| | HANJIN HEAVY INDUS + CONST | | COMMON STOCK KRW5000. | | 30,036 | | | | 98,538 | |
| | HANJIN KAL CORP | | COMMON STOCK KRW2500.0 | | 10,236 | | | | 168,939 | |
| | HANKOOK TIRE CO LTD | | COMMON STOCK KRW500.0 | | 15,481 | | | | 617,978 | |
| | HANKOOK TIRE WORLDWIDE CO LT | | COMMON STOCK KRW500. | | 11,008 | | | | 163,502 | |
| | HANKYU HANSHIN HOLDINGS INC | | COMMON STOCK | | 205,000 | | | | 1,330,500 | |
| | HANKYU REIT INC | | REIT | | 238 | | | | 251,998 | |
| | HANMI PHARM CO LTD | | COMMON STOCK KRW2500. | | 1,287 | | | | 791,686 | |
| | HANMI SCIENCE CO LTD | | COMMON STOCK KRW500. | | 2,101 | | | | 228,792 | |
| | HANNOVER RUECK SE | | COMMON STOCK | | 11,718 | | | | 1,342,551 | |
| | HANNSTAR DISPLAY CORP | | COMMON STOCK TWD10. | | 685,703 | | | | 80,535 | |
| | HANON SYSTEMS | | COMMON STOCK KRW500.0 | | 9,200 | | | | 404,368 | |
| | HANSSEM CO LTD | | COMMON STOCK KRW1000. | | 3,420 | | | | 667,556 | |
| | HANWHA CHEMICAL CORP | | COMMON STOCK KRW5000. | | 22,445 | | | | 515,338 | |
| | HANWHA CORPORATION | | COMMON STOCK KRW5000.0 | | 9,450 | | | | 312,979 | |
| | HANWHA LIFE INSURANCE CO LTD | | COMMON STOCK KRW5000. | | 48,840 | | | | 306,263 | |
| | HANWHA TECHWIN CO LTD | | COMMON STOCK KRW5000.0 | | 8,849 | | | | 265,249 | |
| | HARBIN ELECTRIC CO LTD H | | COMMON STOCK CNY1. | | 224,000 | | | | 105,618 | |
| | HARGREAVES LANSDOWN PLC | | COMMON STOCK GBP.004 | | 46,321 | | | | 1,025,430 | |
| | HARMONY GOLD MINING CO LTD | | COMMON STOCK ZAR.5 | | 139,287 | | | | 140,734 | |
| | HARVEY NORMAN HOLDINGS LTD | | COMMON STOCK | | 155,317 | | | | 468,629 | |
| | HASEKO CORP | | COMMON STOCK | | 59,300 | | | | 654,108 | |
| | HAVAS SA | | COMMON STOCK EUR.4 | | 34,961 | | | | 293,670 | |
| | HAVELLS INDIA LTD | | COMMON STOCK INR1.0 | | 112,630 | | | | 516,851 | |
| | HAYS PLC | | COMMON STOCK GBP.01 | | 272,835 | | | | 583,465 | |
| | HCL TECHNOLOGIES LTD | | COMMON STOCK INR2.0 | | 96,778 | | | | 1,252,386 | |
| | HEALTHSCOPE LTD | | COMMON STOCK | | 232,173 | | | | 446,926 | |
| | HEIDELBERGCEMENT AG | | COMMON STOCK | | 24,694 | | | | 2,013,744 | |
| | HEIDELBERGER DRUCKMASCHINEN | | COMMON STOCK | | 105,019 | | | | 258,497 | |
| | HEINEKEN HOLDING NV | | COMMON STOCK EUR1.6 | | 20,847 | | | | 1,597,484 | |
| | HEINEKEN NV | | COMMON STOCK EUR1.6 | | 38,157 | | | | 3,255,293 | |
| | HELICAL BAR PLC | | COMMON STOCK GBP.01 | | 39,088 | | | | 273,340 | |
| | HELIOPOLIS HOUSING | | COMMON STOCK EGP1. | | 44,362 | | | | 281,014 | |
| | HELLENIC TELECOMMUN ORGANIZA | | COMMON STOCK EUR2.83 | | 53,479 | | | | 535,714 | |
| | HELVETIA HOLDING AG REG | | COMMON STOCK CHF.1 | | 1,256 | | | | 707,663 | |
| | HENDERSON GROUP PLC | | COMMON STOCK GBP.125 | | 212,879 | | | | 962,109 | |
| | HENDERSON LAND DEVELOPMENT | | COMMON STOCK | | 204,060 | | | | 1,242,185 | |
| | HENGAN INTL GROUP CO LTD | | COMMON STOCK HKD.1 | | 130,500 | | | | 1,224,352 | |
| | HENGDELI HOLDINGS LTD | | COMMON STOCK HKD.005 | | 1,055,400 | | | | 153,072 | |
| | HENKEL AG + CO KGAA | | COMMON STOCK | | 18,296 | | | | 1,754,996 | |
| | HENKEL AG + CO KGAA VORZUG | | PREFERENCE | | 30,570 | | | | 3,406,290 | |
| | HENNES + MAURITZ AB B SHS | | COMMON STOCK | | 156,656 | | | | 5,585,599 | |
| | HERMES INTERNATIONAL | | COMMON STOCK | | 4,653 | | | | 1,568,165 | |
| | HERMES MICROVISION INC | | COMMON STOCK TWD10. | | 9,000 | | | | 325,659 | |
| | HERO MOTOCORP LTD | | COMMON STOCK INR2. | | 13,452 | | | | 544,672 | |
| | HEXAGON AB B SHS | | COMMON STOCK EUR.22 | | 43,894 | | | | 1,628,254 | |
| | HEXPOL AB | | COMMON STOCK SEK.2 | | 79,890 | | | | 857,506 | |
| | HEY SONG CORP | | COMMON STOCK TWD10. | | 186,000 | | | | 177,384 | |
| | HIBIYA ENGINEERING LTD | | COMMON STOCK | | 7,900 | | | | 107,532 | |
| | HIGASHI NIPPON BANK LTD/THE | | COMMON STOCK | | 31,000 | | | | 102,164 | |
| | HIKMA PHARMACEUTICALS PLC | | COMMON STOCK GBP.1 | | 26,533 | | | | 898,335 | |
| | HINDALCO INDUSTRIES LTD | | COMMON STOCK INR1. | | 240,245 | | | | 305,036 | |
| | HINDUSTAN UNILEVER LTD | | COMMON STOCK INR1. | | 129,128 | | | | 1,679,258 | |
| | HINO MOTORS LTD | | COMMON STOCK | | 49,000 | | | | 564,875 | |
| | HIROSE ELECTRIC CO LTD | | COMMON STOCK | | 6,000 | | | | 724,536 | |
| | HIROSHIMA BANK LTD/THE | | COMMON STOCK | | 93,000 | | | | 527,680 | |
| | HISAMITSU PHARMACEUTICAL CO | | COMMON STOCK | | 12,200 | | | | 511,307 | |
| | HISCOX LTD | | COMMON STOCK GBP.065 | | 55,771 | | | | 865,921 | |
| | HITACHI CHEMICAL CO LTD | | COMMON STOCK | | 19,500 | | | | 308,727 | |
| | HITACHI CONSTRUCTION MACHINE | | COMMON STOCK | | 20,200 | | | | 314,233 | |
| | HITACHI HIGH TECHNOLOGIES CO | | COMMON STOCK | | 12,900 | | | | 348,315 | |
| | HITACHI LTD | | COMMON STOCK | | 823,000 | | | | 4,652,393 | |
| | HITACHI METALS LTD | | COMMON STOCK | | 38,000 | | | | 468,205 | |
| | HITACHI ZOSEN CORP | | COMMON STOCK | | 33,100 | | | | 181,577 | |
| | HITEJINRO HOLDINGS CO LTD | | COMMON STOCK KRW5000. | | 8,532 | | | | 98,368 | |
| | HIWIN TECHNOLOGIES CORP | | COMMON STOCK TWD10. | | 31,930 | | | | 125,106 | |
| | HKC HOLDINGS LTD | | COMMON STOCK HKD.01 | | 4,004,274 | | | | 84,710 | |
| | HKT TRUST AND HKT LTD SS | | STAPLED SECURITY HKD.0005 | | 465,000 | | | | 593,049 | |
| | HLB INC | | COMMON STOCK KRW500. | | 9,820 | | | | 176,580 | |
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| | HM SAMPOERNA TBK PT | | COMMON STOCK IDR100. | | 22,500 | | | | 153,108 | |
| | HMC INVESTMENT SECURITIES CO | | COMMON STOCK KRW5000. | | 12,150 | | | | 102,573 | |
| | HO BEE LAND LTD | | COMMON STOCK | | 150,000 | | | | 213,461 | |
| | HOKKAIDO ELECTRIC POWER CO | | COMMON STOCK | | 31,300 | | | | 320,393 | |
| | HOKUETSU BANK LTD/THE | | COMMON STOCK | | 50,000 | | | | 105,201 | |
| | HOKUHOKU FINANCIAL GROUP INC | | COMMON STOCK | | 226,000 | | | | 460,056 | |
| | HOKURIKU ELECTRIC POWER CO | | COMMON STOCK | | 32,800 | | | | 484,050 | |
| | HOKUTO CORP | | COMMON STOCK | | 3,600 | | | | 69,075 | |
| | HOLMEN AB B SHARES | | COMMON STOCK | | 10,444 | | | | 321,812 | |
| | HOME CAPITAL GROUP INC | | COMMON STOCK | | 15,400 | | | | 298,444 | |
| | HOME RETAIL GROUP | | COMMON STOCK GBP.1 | | 171,446 | | | | 250,057 | |
| | HON HAI PRECISION INDUSTRY | | COMMON STOCK TWD10. | | 2,381,553 | | | | 5,824,836 | |
| | HONDA MOTOR CO LTD | | COMMON STOCK | | 273,500 | | | | 8,756,076 | |
| | HONG KONG + CHINA GAS | | COMMON STOCK | | 1,106,549 | | | | 2,170,489 | |
| | HONG KONG DOLLAR | | FOREIGN CURRENCY | | 10,856,568 | | | | 1,400,820 | |
| | HONG KONG EXCHANGES + CLEAR | | COMMON STOCK HKD1.0 | | 184,048 | | | | 4,676,804 | |
| | HONG LEONG BANK BERHAD | | COMMON STOCK MYR1. | | 120,686 | | | | 377,033 | |
| | HONG LEONG FINANCIAL GROUP | | COMMON STOCK MYR1. | | 65,291 | | | | 211,610 | |
| | HONGKONG LAND HOLDINGS LTD | | COMMON STOCK USD.1 | | 97,000 | | | | 676,438 | |
| | HOPEWELL HIGHWAY INFRASTRUCT | | COMMON STOCK HKD.1 | | 266,650 | | | | 127,810 | |
| | HOPEWELL HOLDINGS LTD | | COMMON STOCK | | 113,000 | | | | 405,103 | |
| | HOPSON DEVELOPMENT HOLDINGS | | COMMON STOCK HKD.1 | | 176,000 | | | | 174,107 | |
| | HOTAI MOTOR COMPANY LTD | | COMMON STOCK TWD10. | | 47,000 | | | | 540,017 | |
| | HOTEL SHILLA CO LTD | | COMMON STOCK KRW5000.0 | | 6,450 | | | | 422,025 | |
| | HOUSING DEVELOPMENT + INFRAS | | COMMON STOCK INR10. | | 121,088 | | | | 141,114 | |
| | HOUSING DEVELOPMENT FINANCE | | COMMON STOCK INR2. | | 249,057 | | | | 4,730,795 | |
| | HOWDEN JOINERY GROUP PLC | | COMMON STOCK GBP.1 | | 121,094 | | | | 939,351 | |
| | HOYA CORP | | COMMON STOCK | | 71,200 | | | | 2,900,318 | |
| | HSBC HOLDINGS PLC | | COMMON STOCK USD.5 | | 3,291,889 | | | | 25,972,446 | |
| | HTC CORP | | COMMON STOCK TWD10.0 | | 122,077 | | | | 288,804 | |
| | HUA NAN FINANCIAL HOLDINGS C | | COMMON STOCK TWD10. | | 906,514 | | | | 419,461 | |
| | HUABAO INTERNATIONAL HOLDING | | COMMON STOCK HKD.1 | | 525,000 | | | | 190,769 | |
| | HUADIAN ENERGY CO LTD B | | COMMON STOCK CNY1. | | 1,044,100 | | | | 623,491 | |
| | HUANENG POWER INTL INC H | | COMMON STOCK CNY1.0 | | 650,000 | | | | 558,128 | |
| | HUATAI SECURITIES CO LTD H | | COMMON STOCK | | 187,100 | | | | 434,274 | |
| | HUBER + SUHNER AG REG | | COMMON STOCK CHF.25 | | 4,170 | | | | 192,293 | |
| | HUDACO INDUSTRIES LTD | | COMMON STOCK ZAR.1 | | 12,518 | | | | 76,340 | |
| | HUDBAY MINERALS INC | | COMMON STOCK | | 59,100 | | | | 225,917 | |
| | HUGO BOSS AG ORD | | COMMON STOCK | | 11,947 | | | | 994,502 | |
| | HUHTAMAKI OYJ | | COMMON STOCK | | 19,400 | | | | 700,300 | |
| | HULIC CO LTD | | COMMON STOCK | | 55,300 | | | | 484,634 | |
| | HUNG SHENG CONSTRUCTION LTD | | COMMON STOCK TWD10.0 | | 399,100 | | | | 224,438 | |
| | HUNGARIAN FORINT | | FOREIGN CURRENCY | | 66,440,409 | | | | 228,396 | |
| | HUSKY ENERGY INC | | COMMON STOCK | | 64,012 | | | | 659,424 | |
| | HUSQVARNA AB B SHS | | COMMON STOCK SEK2.0 | | 76,685 | | | | 506,603 | |
| | HUTCHISON PORT HOLDINGS TR U | | UNIT | | 888,000 | | | | 469,112 | |
| | HUTCHISON TELECOMM HONG KONG | | COMMON STOCK HKD.25 | | 650,000 | | | | 225,667 | |
| | HYAKUGO BANK LTD/THE | | COMMON STOCK | | 38,000 | | | | 184,213 | |
| | HYBRID KINETIC GROUP LTD | | COMMON STOCK HKD.1 | | 1,998,000 | | | | 100,340 | |
| | HYOSUNG CORPORATION | | COMMON STOCK KRW5000. | | 4,463 | | | | 440,777 | |
| | HYPERMARCAS SA | | COMMON STOCK | | 90,511 | | | | 494,482 | |
| | HYPROP INVESTMENTS LTD UTS | | REIT | | 46,710 | | | | 311,345 | |
| | HYSAN DEVELOPMENT CO | | COMMON STOCK | | 123,173 | | | | 504,153 | |
| | HYUNDAI DEPT STORE CO | | COMMON STOCK KRW5000. | | 3,293 | | | | 353,226 | |
| | HYUNDAI DEVELOPMENT CO ENGIN | | COMMON STOCK KRW5000. | | 12,280 | | | | 400,724 | |
| | HYUNDAI ENGINEERING + CONST | | COMMON STOCK KRW5000. | | 15,435 | | | | 370,299 | |
| | HYUNDAI GLOVIS CO LTD | | COMMON STOCK KRW500. | | 3,609 | | | | 590,070 | |
| | HYUNDAI GREENFOOD CO LTD | | COMMON STOCK KRW500.0 | | 12,830 | | | | 269,255 | |
| | HYUNDAI HEAVY INDUSTRIES | | COMMON STOCK KRW5000. | | 7,704 | | | | 570,031 | |
| | HYUNDAI MARINE + FIRE INS CO | | COMMON STOCK KRW500. | | 14,250 | | | | 437,218 | |
| | HYUNDAI MIPO DOCKYARD | | COMMON STOCK KRW5000. | | 3,549 | | | | 155,405 | |
| | HYUNDAI MOBIS CO LTD | | COMMON STOCK KRW5000. | | 11,501 | | | | 2,400,266 | |
| | HYUNDAI MOTOR CO | | COMMON STOCK KRW5000. | | 25,911 | | | | 3,264,926 | |
| | HYUNDAI MOTOR CO LTD 2ND PRF | | PREFERENCE | | 7,360 | | | | 654,108 | |
| | HYUNDAI MOTOR CO LTD PRF | | PREFERENCE | | 4,745 | | | | 414,929 | |
| | HYUNDAI SECURITIES CO | | COMMON STOCK KRW5000. | | 35,815 | | | | 195,203 | |
| | HYUNDAI STEEL CO | | COMMON STOCK KRW5000. | | 14,560 | | | | 613,063 | |
| | HYUNDAI WIA CORP | | COMMON STOCK KRW5000. | | 3,840 | | | | 362,719 | |
| | IAMGOLD CORP | | COMMON STOCK | | 86,450 | | | | 122,602 | |
| | IBERDROLA SA | | COMMON STOCK EUR.75 | | 912,133 | | | | 6,463,724 | |
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Table of Contents
| | IBIDEN CO LTD | | COMMON STOCK | | 21,900 | | | | 313,364 | |
| | IC GROUP A/S | | COMMON STOCK DKK10.0 | | 3,296 | | | | 120,518 | |
| | ICA GRUPPEN AB | | COMMON STOCK SEK2.5 | | 14,508 | | | | 526,023 | |
| | ICADE | | REIT | | 7,641 | | | | 512,770 | |
| | ICAP PLC | | COMMON STOCK GBP.1 | | 96,024 | | | | 720,699 | |
| | ICHIA TECHNOLOGIES INC | | COMMON STOCK TWD10.0 | | 211,000 | | | | 98,246 | |
| | ICHIBANYA CO LTD | | COMMON STOCK | | 5,600 | | | | 276,108 | |
| | ICHIYOSHI SECURITIES CO LTD | | COMMON STOCK | | 19,800 | | | | 180,422 | |
| | ICICI BANK LTD | | COMMON STOCK INR2.0 | | 196,900 | | | | 771,379 | |
| | ICOM INC | | COMMON STOCK | | 5,900 | | | | 122,489 | |
| | IDEA CELLULAR LTD | | COMMON STOCK INR10. | | 209,566 | | | | 452,710 | |
| | IDEC CORP | | COMMON STOCK | | 14,800 | | | | 133,512 | |
| | IDEMITSU KOSAN CO LTD | | COMMON STOCK | | 19,200 | | | | 305,229 | |
| | IDEX AS | | COMMON STOCK NOK.15 | | 170,968 | | | | 203,350 | |
| | IEI INTEGRATION CORP | | COMMON STOCK TWD10. | | 149,097 | | | | 177,349 | |
| | IFCI LTD | | COMMON STOCK INR10. | | 324,382 | | | | 134,627 | |
| | IG GROUP HOLDINGS PLC | | COMMON STOCK GBP.00005 | | 59,328 | | | | 698,395 | |
| | IGM FINANCIAL INC | | COMMON STOCK | | 19,400 | | | | 493,554 | |
| | IHH HEALTHCARE BHD | | COMMON STOCK MYR1.0 | | 427,200 | | | | 654,840 | |
| | IHI CORP | | COMMON STOCK | | 245,000 | | | | 673,058 | |
| | IIDA GROUP HOLDINGS CO LTD | | COMMON STOCK | | 36,000 | | | | 666,261 | |
| | IJM CORP BHD | | COMMON STOCK MYR1. | | 444,480 | | | | 349,795 | |
| | ILIAD SA | | COMMON STOCK | | 4,902 | | | | 1,169,036 | |
| | ILUKA RESOURCES LTD | | COMMON STOCK | | 87,615 | | | | 387,077 | |
| | IMAGINATION TECH GROUP PLC | | COMMON STOCK GBP.1 | | 52,734 | | | | 103,503 | |
| | IMERYS SA | | COMMON STOCK EUR2. | | 6,276 | | | | 437,623 | |
| | IMI PLC | | COMMON STOCK GBP.2857 | | 53,478 | | | | 674,508 | |
| | IMMOBILIARE GRANDE DISTRIBUZ | | REIT | | 168,224 | | | | 161,654 | |
| | IMMOEAST ANSPR NACHB | | COMMON STOCK | | 143,040 | | | | 0 | |
| | IMMOFINANZ AG | | COMMON STOCK | | 207,187 | | | | 471,243 | |
| | IMMOFINANZ ANSPR NACHB | | COMMON STOCK | | 89,821 | | | | 0 | |
| | IMPALA PLATINUM HOLDINGS LTD | | COMMON STOCK ZAR.025 | | 105,197 | | | | 168,697 | |
| | IMPERIAL HOLDINGS LTD | | COMMON STOCK ZAR.04 | | 35,255 | | | | 269,134 | |
| | IMPERIAL OIL LTD | | COMMON STOCK | | 52,140 | | | | 1,692,082 | |
| | IMPERIAL PACIFIC INTERNATION | | COMMON STOCK HKD.0005 | | 5,320,000 | | | | 116,857 | |
| | IMPERIAL TOBACCO GROUP PLC | | COMMON STOCK GBP.1 | | 160,730 | | | | 8,451,964 | |
| | IMPLENIA AG REG | | COMMON STOCK CHF1.02 | | 4,282 | | | | 217,324 | |
| | INCHCAPE PLC | | COMMON STOCK GBP.1 | | 80,242 | | | | 922,401 | |
| | INCITEC PIVOT LTD | | COMMON STOCK | | 298,851 | | | | 853,171 | |
| | IND + COMM BK OF CHINA H | | COMMON STOCK CNY1.0 | | 11,810,160 | | | | 7,073,507 | |
| | INDIABULLS HOUSING FINANCE L | | COMMON STOCK INR2.0 | | 45,105 | | | | 496,182 | |
| | INDIABULLS REAL ESTATE LTD | | COMMON STOCK INR2. | | 112,077 | | | | 106,987 | |
| | INDIAN HOTELS CO LTD | | COMMON STOCK INR1. | | 108,634 | | | | 190,860 | |
| | INDIAN RUPEE | | FOREIGN CURRENCY | | 71,647,972 | | | | 1,083,011 | |
| | INDIVIOR PLC | | COMMON STOCK USD.1 | | 104,185 | | | | 288,283 | |
| | INDOCEMENT TUNGGAL PRAKARSA | | COMMON STOCK IDR500. | | 357,500 | | | | 570,359 | |
| | INDOFOOD SUKSES MAKMUR TBK P | | COMMON STOCK IDR100. | | 1,160,500 | | | | 431,393 | |
| | INDONESIAN RUPIAH | | FOREIGN CURRENCY | | 10,728,504,883 | | | | 778,274 | |
| | INDRA SISTEMAS SA | | COMMON STOCK EUR.2 | | 24,396 | | | | 229,169 | |
| | INDRAPRASTHA GAS LTD | | COMMON STOCK INR10. | | 48,093 | | | | 382,519 | |
| | INDUS HOLDING AG | | COMMON STOCK | | 8,236 | | | | 397,476 | |
| | INDUSTRIA DE DISENO TEXTIL | | COMMON STOCK EUR.03 | | 180,019 | | | | 6,175,021 | |
| | INDUSTRIA MACCHINE AUTOMATIC | | COMMON STOCK EUR.52 | | 10,102 | | | | 524,340 | |
| | INDUSTRIAL + INFRASTRUCTURE | | REIT | | 86 | | | | 410,061 | |
| | INDUSTRIAL ALLIANCE INSURANC | | COMMON STOCK | | 20,100 | | | | 638,552 | |
| | INDUSTRIAL BANK OF KOREA | | COMMON STOCK KRW5000. | | 52,910 | | | | 553,927 | |
| | INDUSTRIAS CH S.A.B. SER B | | COMMON STOCK | | 52,400 | | | | 170,812 | |
| | INDUSTRIAS PENOLES SAB DE CV | | COMMON STOCK | | 29,270 | | | | 300,442 | |
| | INDUSTRIES QATAR | | COMMON STOCK QAR10. | | 14,084 | | | | 429,187 | |
| | INDUSTRIVARDEN AB C SHS | | COMMON STOCK SEK2.5 | | 30,377 | | | | 519,884 | |
| | INDUTRADE AB | | COMMON STOCK | | 6,639 | | | | 374,590 | |
| | INES CORP | | COMMON STOCK | | 16,800 | | | | 156,410 | |
| | INFICON HOLDING AG REG | | COMMON STOCK CHF5.0 | | 494 | | | | 157,672 | |
| | INFINEON TECHNOLOGIES AG | | COMMON STOCK | | 196,085 | | | | 2,868,284 | |
| | INFO SERVICES INTL DENTSU | | COMMON STOCK | | 7,800 | | | | 149,703 | |
| | INFORMA PLC | | COMMON STOCK GBP.001 | | 112,960 | | | | 1,019,833 | |
| | INFOSYS LTD | | COMMON STOCK INR5. | | 306,896 | | | | 5,108,596 | |
| | INFRATIL LTD | | COMMON STOCK | | 147,868 | | | | 330,426 | |
| | ING GROEP NV CVA | | DUTCH CERT EUR.24 | | 635,607 | | | | 8,552,393 | |
| | INGENICO GROUP | | COMMON STOCK EUR1.0 | | 9,409 | | | | 1,188,808 | |
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| | INMARSAT PLC | | COMMON STOCK EUR.0005 | | 80,709 | | | | 1,344,462 | |
| | INMOBILIARIA COLONIAL SA | | COMMON STOCK EUR.25 | | 403,987 | | | | 280,486 | |
| | INNER MONGOLIA YITAI COAL B | | COMMON STOCK CNY1. | | 329,200 | | | | 299,700 | |
| | INNERGEX RENEWABLE ENERGY | | COMMON STOCK | | 24,688 | | | | 201,364 | |
| | INNOLUX CORP | | COMMON STOCK TWD10. | | 1,254,604 | | | | 376,164 | |
| | INOTERA MEMORIES INC | | COMMON STOCK TWD10. | | 403,000 | | | | 338,080 | |
| | INPEX CORP | | COMMON STOCK | | 161,500 | | | | 1,592,458 | |
| | INSURANCE AUSTRALIA GROUP | | COMMON STOCK | | 404,509 | | | | 1,622,599 | |
| | INTACT FINANCIAL CORP | | COMMON STOCK | | 22,800 | | | | 1,455,550 | |
| | INTER PIPELINE LTD | | COMMON STOCK | | 60,400 | | | | 965,722 | |
| | INTERCONTINENTAL HOTELS GROU | | COMMON STOCK GBP.158055 | | 40,473 | | | | 1,570,180 | |
| | INTERMEDIATE CAPITAL GROUP | | COMMON STOCK GBP.2333333 | | 52,080 | | | | 480,859 | |
| | INTERNATIONAL PERSONAL FINAN | | COMMON STOCK GBP.1 | | 56,812 | | | | 241,587 | |
| | INTERNET INITIATIVE JAPAN | | COMMON STOCK | | 10,700 | | | | 212,030 | |
| | INTERPARFUMS SA | | COMMON STOCK EUR3. | | 7,647 | | | | 188,507 | |
| | INTERPARK HOLDINGS CORP | | COMMON STOCK KRW500.0 | | 26,570 | | | | 246,895 | |
| | INTERPUMP GROUP SPA | | COMMON STOCK EUR.52 | | 23,473 | | | | 363,664 | |
| | INTERTEK GROUP PLC | | COMMON STOCK GBP.01 | | 27,439 | | | | 1,121,941 | |
| | INTERVEST OFFICES+WAREHOUSES | | REIT | | 7,818 | | | | 206,756 | |
| | INTESA SANPAOLO | | COMMON STOCK EUR.52 | | 2,057,033 | | | | 6,852,424 | |
| | INTESA SANPAOLO RSP | | PREFERRED STOCK | | 180,939 | | | | 550,189 | |
| | INTIME RETAIL GROUP CO LTD | | COMMON STOCK USD.00001 | | 260,500 | | | | 255,340 | |
| | INTL CONSOLIDATED AIRLINE DI | | COMMON STOCK EUR.5 | | 170,860 | | | | 1,522,489 | |
| | INTRUM JUSTITIA AB | | COMMON STOCK SEK.02 | | 17,549 | | | | 597,771 | |
| | INTU PROPERTIES PLC | | REIT GBP.5 | | 168,683 | | | | 788,132 | |
| | INVENTEC CO LTD | | COMMON STOCK TWD10. | | 418,445 | | | | 272,022 | |
| | INVERSIONES AGUAS METROPOL | | COMMON STOCK | | 185,318 | | | | 260,716 | |
| | INVESTA OFFICE FUND | | REIT | | 156,358 | | | | 452,131 | |
| | INVESTEC LTD | | COMMON STOCK ZAR.0002 | | 47,664 | | | | 335,715 | |
| | INVESTEC PLC | | COMMON STOCK GBP.0002 | | 98,851 | | | | 697,458 | |
| | INVESTMENT AB KINNEVIK B SHS | | COMMON STOCK SEK.1 | | 40,545 | | | | 1,244,511 | |
| | INVESTOR AB B SHS | | COMMON STOCK SEK6.25 | | 76,097 | | | | 2,803,378 | |
| | INVINCIBLE INVESTMENT CORP | | REIT | | 832 | | | | 482,553 | |
| | IOI CORP BHD | | COMMON STOCK MYR.1 | | 638,932 | | | | 660,519 | |
| | IOI PROPERTIES GROUP BHD | | COMMON STOCK MYR1.0 | | 372,709 | | | | 195,171 | |
| | ION BEAM APPLICATIONS | | COMMON STOCK | | 11,482 | | | | 422,022 | |
| | IOOF HOLDINGS LTD | | COMMON STOCK | | 55,302 | | | | 380,297 | |
| | IPSEN | | COMMON STOCK EUR1. | | 7,075 | | | | 468,392 | |
| | IPSOS | | COMMON STOCK EUR.25 | | 7,997 | | | | 184,086 | |
| | IRISH BANK RESOLUTION CORP | | EUR0.16 | | 6,915 | | | | 0 | |
| | IRISH CONTINENTAL GROUP PLC | | UNIT EUR.065 | | 41,870 | | | | 247,333 | |
| | IRPC PCL FOREIGN | | FOREIGN SH. THB1.0 A | | 3,539,700 | | | | 422,974 | |
| | ISEKI + CO LTD | | COMMON STOCK | | 57,000 | | | | 88,505 | |
| | ISETAN MITSUKOSHI HOLDINGS L | | COMMON STOCK | | 61,660 | | | | 801,587 | |
| | ISRAEL CHEMICALS LTD | | COMMON STOCK ILS1. | | 79,810 | | | | 323,602 | |
| | ISRAEL CORP LIMITED/THE | | COMMON STOCK ILS1. | | 471 | | | | 85,252 | |
| | ISRAEL DISCOUNT BANK A | | COMMON STOCK ILS.1 | | 136,938 | | | | 248,193 | |
| | ISS A/S | | COMMON STOCK DKK1.0 | | 23,547 | | | | 848,970 | |
| | ISUZU MOTORS LTD | | COMMON STOCK | | 99,000 | | | | 1,064,487 | |
| | IT HOLDINGS CORP | | COMMON STOCK | | 14,000 | | | | 319,642 | |
| | ITALCEMENTI SPA | | COMMON STOCK EUR1. | | 45,589 | | | | 507,378 | |
| | ITALIAN THAI DEVELOP FOREIGN | | FOREIGN SH. THB1.0 A | | 1,456,746 | | | | 303,615 | |
| | ITAU UNIBANCO HOLDING S PREF | | PREFERENCE | | 489,299 | | | | 3,197,353 | |
| | ITAUSA INVESTIMENTOS ITAU PR | | PREFERENCE | | 653,958 | | | | 1,134,161 | |
| | ITAUSA INVESTIMENTOS ITAU SA | | COMMON STOCK | | 1 | | | | 2 | |
| | ITC LTD | | COMMON STOCK INR1. | | 381,116 | | | | 1,887,105 | |
| | ITE GROUP PLC | | COMMON STOCK GBP.01 | | 81,625 | | | | 189,676 | |
| | ITF FIN + SECS | | THB10(ALIEN MKT) | | 2,750 | | | | 0 | |
| | ITO EN LTD | | COMMON STOCK | | 10,500 | | | | 269,727 | |
| | ITOCHU CORP | | COMMON STOCK | | 274,100 | | | | 3,228,421 | |
| | ITOCHU ENEX CO LTD | | COMMON STOCK | | 13,200 | | | | 100,672 | |
| | ITOCHU SHOKUHIN CO LTD | | COMMON STOCK | | 6,900 | | | | 238,354 | |
| | ITOCHU TECHNO SOLUTIONS CORP | | COMMON STOCK | | 9,200 | | | | 183,671 | |
| | ITV PLC | | COMMON STOCK GBP.1 | | 636,559 | | | | 2,593,260 | |
| | IYO BANK LTD/THE | | COMMON STOCK | | 44,000 | | | | 426,774 | |
| | J FRONT RETAILING CO LTD | | COMMON STOCK | | 48,500 | | | | 702,096 | |
| | J OIL MILLS INC | | COMMON STOCK | | 32,000 | | | | 92,774 | |
| | JACCS CO LTD | | COMMON STOCK | | 42,000 | | | | 153,019 | |
| | JAFCO CO LTD | | COMMON STOCK | | 10,300 | | | | 401,406 | |
| | JAIN IRRIGATION SYSTEMS LTD | | COMMON STOCK INR2. | | 131,313 | | | | 137,056 | |
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| | JAIPRAKASH ASSOCIATES LTD | | COMMON STOCK INR2. | | 618,310 | | | | 111,667 | |
| | JAMCO CORP | | COMMON STOCK | | 7,000 | | | | 233,961 | |
| | JAMES HARDIE INDUSTRIES CDI | | CDI EUR.59 | | 80,013 | | | | 1,007,775 | |
| | JAMMU + KASHMIR BANK LTD | | COMMON STOCK INR1.0 | | 79,725 | | | | 98,795 | |
| | JAPAN AIRLINES CO LTD | | COMMON STOCK | | 21,000 | | | | 751,416 | |
| | JAPAN AIRPORT TERMINAL CO | | COMMON STOCK | | 7,900 | | | | 350,056 | |
| | JAPAN EXCHANGE GROUP INC | | COMMON STOCK | | 97,600 | | | | 1,523,065 | |
| | JAPAN LOGISTICS FUND INC | | REIT | | 175 | | | | 339,012 | |
| | JAPAN PETROLEUM EXPLORATION | | COMMON STOCK | | 7,300 | | | | 195,331 | |
| | JAPAN POST BANK CO LTD | | COMMON STOCK | | 67,000 | | | | 974,687 | |
| | JAPAN POST HOLDINGS CO LTD | | COMMON STOCK | | 75,000 | | | | 1,162,767 | |
| | JAPAN PRIME REALTY INVESTMEN | | REIT | | 140 | | | | 478,674 | |
| | JAPAN PULP + PAPER CO LTD | | COMMON STOCK | | 28,000 | | | | 77,681 | |
| | JAPAN REAL ESTATE INVESTMENT | | REIT | | 240 | | | | 1,166,250 | |
| | JAPAN RETAIL FUND INVESTMENT | | REIT | | 431 | | | | 826,967 | |
| | JAPAN STEEL WORKS LTD | | COMMON STOCK | | 60,000 | | | | 209,929 | |
| | JAPAN TOBACCO INC | | COMMON STOCK | | 185,500 | | | | 6,805,368 | |
| | JAPANESE YEN | | FOREIGN CURRENCY | | 559,152,158 | | | | 4,648,175 | |
| | JARDINE CYCLE + CARRIAGE LTD | | COMMON STOCK | | 20,360 | | | | 496,529 | |
| | JB HI FI LTD | | COMMON STOCK | | 23,931 | | | | 337,816 | |
| | JBS SA | | COMMON STOCK | | 150,197 | | | | 468,715 | |
| | JC DECAUX SA | | COMMON STOCK | | 13,459 | | | | 514,966 | |
| | JD.COM INC ADR | | ADR USD.00002 | | 28,200 | | | | 909,873 | |
| | JEAN COUTU GROUP INC CLASS A | | COMMON STOCK | | 17,400 | | | | 224,342 | |
| | JENOPTIK AG | | COMMON STOCK | | 15,450 | | | | 240,122 | |
| | JEOL LTD | | COMMON STOCK | | 21,000 | | | | 136,479 | |
| | JERONIMO MARTINS | | COMMON STOCK EUR1. | | 39,225 | | | | 509,435 | |
| | JET AIRWAYS INDIA LTD | | COMMON STOCK INR10. | | 43,737 | | | | 467,983 | |
| | JFE HOLDINGS INC | | COMMON STOCK | | 84,100 | | | | 1,320,759 | |
| | JG SUMMIT HOLDINGS INC | | COMMON STOCK PHP1. | | 398,300 | | | | 617,856 | |
| | JGC CORP | | COMMON STOCK | | 35,000 | | | | 535,126 | |
| | JIANGSU EXPRESS CO LTD H | | COMMON STOCK CNY1.0 | | 310,000 | | | | 417,497 | |
| | JIANGXI COPPER CO LTD H | | COMMON STOCK CNY1.0 | | 284,000 | | | | 335,214 | |
| | JINDAL STEEL + POWER LTD | | COMMON STOCK INR1. | | 136,530 | | | | 197,648 | |
| | JINKOSOLAR HOLDING CO ADR | | ADR USD.00002 | | 5,700 | | | | 157,719 | |
| | JM AB | | COMMON STOCK SEK1.0 | | 15,180 | | | | 451,039 | |
| | JOHNSON MATTHEY PLC | | COMMON STOCK GBP1.047619 | | 35,615 | | | | 1,382,718 | |
| | JOLLIBEE FOODS CORP | | COMMON STOCK PHP1.0 | | 139,010 | | | | 646,160 | |
| | JOSHIN DENKI CO LTD | | COMMON STOCK | | 14,000 | | | | 124,368 | |
| | JOYO BANK LTD/THE | | COMMON STOCK | | 125,000 | | | | 590,333 | |
| | JSE LTD | | COMMON STOCK ZAR.1 | | 19,674 | | | | 162,121 | |
| | JSR CORP | | COMMON STOCK | | 33,500 | | | | 522,414 | |
| | JSW STEEL LTD | | COMMON STOCK INR10. | | 21,312 | | | | 330,026 | |
| | JTEKT CORP | | COMMON STOCK | | 37,700 | | | | 616,512 | |
| | JU TENG INTERNATIONAL HLDGS | | COMMON STOCK HKD.1 | | 355,500 | | | | 168,880 | |
| | JUKI CORP | | COMMON STOCK | | 19,400 | | | | 172,876 | |
| | JULIUS BAER GROUP LTD | | COMMON STOCK CHF.02 | | 39,174 | | | | 1,879,272 | |
| | JUMBO SA | | COMMON STOCK EUR1.19 | | 26,107 | | | | 274,801 | |
| | JUMEI INTERNATIONAL ADR | | ADR USD.00025 | | 14,700 | | | | 133,182 | |
| | JUPITER FUND MANAGEMENT | | COMMON STOCK GBP.02 | | 62,209 | | | | 411,227 | |
| | JUROKU BANK LTD/THE | | COMMON STOCK | | 48,000 | | | | 189,435 | |
| | JUST ENERGY GROUP INC | | COMMON STOCK | | 53,100 | | | | 377,675 | |
| | JUVENTUS FOOTBALL CLUB SPA | | COMMON STOCK | | 401,612 | | | | 112,884 | |
| | JX HOLDINGS INC | | COMMON STOCK | | 383,200 | | | | 1,601,206 | |
| | JYSKE BANK REG | | COMMON STOCK DKK10. | | 11,985 | | | | 541,589 | |
| | K S AG REG | | COMMON STOCK | | 34,169 | | | | 888,020 | |
| | K S HOLDINGS CORP | | COMMON STOCK | | 8,200 | | | | 278,842 | |
| | K+O ENERGY GROUP INC | | COMMON STOCK | | 11,500 | | | | 163,237 | |
| | K1 VENTURES LTD | | COMMON STOCK | | 204,000 | | | | 133,120 | |
| | KABEL DEUTSCHLAND HOLDING AG | | COMMON STOCK | | 5,025 | | | | 620,752 | |
| | KABU.COM SECURITIES CO LTD | | COMMON STOCK | | 43,000 | | | | 133,863 | |
| | KADOKAWA DWANGO CORP | | COMMON STOCK | | 11,900 | | | | 178,654 | |
| | KAGA ELECTRONICS CO LTD | | COMMON STOCK | | 9,600 | | | | 142,895 | |
| | KAGOME CO LTD | | COMMON STOCK | | 11,300 | | | | 197,534 | |
| | KAJIMA CORP | | COMMON STOCK | | 156,000 | | | | 927,504 | |
| | KAKAKU.COM INC | | COMMON STOCK | | 28,200 | | | | 556,252 | |
| | KAKAO CORP | | COMMON STOCK KRW500.0 | | 5,126 | | | | 501,851 | |
| | KAKEN PHARMACEUTICAL CO LTD | | COMMON STOCK | | 7,700 | | | | 524,442 | |
| | KALBE FARMA TBK PT | | COMMON STOCK IDR10. | | 4,858,000 | | | | 460,808 | |
| | KAMIGUMI CO LTD | | COMMON STOCK | | 47,000 | | | | 404,231 | |
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Table of Contents
| | KANEKA CORP | | COMMON STOCK | | 57,000 | | | | 592,176 | |
| | KANGWON LAND INC | | COMMON STOCK KRW500. | | 21,760 | | | | 708,333 | |
| | KANSAI ELECTRIC POWER CO INC | | COMMON STOCK | | 132,500 | | | | 1,584,067 | |
| | KANSAI PAINT CO LTD | | COMMON STOCK | | 40,000 | | | | 604,245 | |
| | KAO CORP | | COMMON STOCK | | 86,700 | | | | 4,445,433 | |
| | KAPPA CREATE CO LTD | | COMMON STOCK | | 10,900 | | | | 108,386 | |
| | KAPSCH TRAFFICCOM AG | | COMMON STOCK | | 5,077 | | | | 204,985 | |
| | KARDEMIR KARABUK DEMIR CL D | | COMMON STOCK TRY1. | | 454,208 | | | | 169,607 | |
| | KARNATAKA BANK LTD | | COMMON STOCK INR10. | | 88,732 | | | | 163,222 | |
| | KAROON GAS AUSTRALIA LTD | | COMMON STOCK | | 76,324 | | | | 96,737 | |
| | KASIKORNBANK PCL FOREIGN | | FOREIGN SH. THB10.0 A | | 337,300 | | | | 1,410,689 | |
| | KATAKURA INDUSTRIES CO LTD | | COMMON STOCK | | 10,500 | | | | 112,571 | |
| | KATO SANGYO CO LTD | | COMMON STOCK | | 5,300 | | | | 122,455 | |
| | KAWASAKI HEAVY INDUSTRIES | | COMMON STOCK | | 263,000 | | | | 971,774 | |
| | KAWASAKI KISEN KAISHA LTD | | COMMON STOCK | | 153,000 | | | | 326,751 | |
| | KAZ MINERALS PLC | | COMMON STOCK GBP.2 | | 48,696 | | | | 73,161 | |
| | KB FINANCIAL GROUP INC | | COMMON STOCK KRW5000. | | 65,339 | | | | 1,835,769 | |
| | KB INSURANCE CO LTD | | COMMON STOCK KRW500.0 | | 10,310 | | | | 255,230 | |
| | KBC ANCORA | | COMMON STOCK | | 8,786 | | | | 370,724 | |
| | KBC GROEP NV | | COMMON STOCK | | 40,649 | | | | 2,540,558 | |
| | KCC CORP | | COMMON STOCK KRW5000. | | 1,147 | | | | 404,792 | |
| | KDDI CORP | | COMMON STOCK | | 293,900 | | | | 7,601,855 | |
| | KEIHAN ELECTRIC RAILWAY CO | | COMMON STOCK | | 93,000 | | | | 621,617 | |
| | KEIKYU CORP | | COMMON STOCK | | 77,000 | | | | 635,288 | |
| | KEIO CORP | | COMMON STOCK | | 103,000 | | | | 888,962 | |
| | KEISEI ELECTRIC RAILWAY CO | | COMMON STOCK | | 53,000 | | | | 673,956 | |
| | KEIYO BANK LTD/THE | | COMMON STOCK | | 54,000 | | | | 255,806 | |
| | KEIYO CO LTD | | COMMON STOCK | | 16,500 | | | | 69,354 | |
| | KELLER GROUP PLC | | COMMON STOCK GBP.1 | | 14,024 | | | | 171,894 | |
| | KEMIRA OYJ | | COMMON STOCK | | 10,836 | | | | 127,589 | |
| | KENON HOLDINGS LTD | | COMMON STOCK | | 1 | | | | 6 | |
| | KEPCO PLANT SERVICE + ENGINE | | COMMON STOCK KRW200. | | 4,540 | | | | 343,112 | |
| | KEPPEL CORP LTD | | COMMON STOCK | | 247,500 | | | | 1,128,819 | |
| | KEPPEL REIT 1 | | REIT | | 237,300 | | | | 155,233 | |
| | KERING | | COMMON STOCK EUR4. | | 12,717 | | | | 2,166,764 | |
| | KERRY GROUP PLC A | | COMMON STOCK EUR.125 | | 24,436 | | | | 2,021,360 | |
| | KERRY LOGISTICS NETWORK LTD | | COMMON STOCK HKD.5 | | 176,659 | | | | 257,385 | |
| | KERRY PROPERTIES LTD | | COMMON STOCK HKD1.0 | | 117,318 | | | | 320,131 | |
| | KERRY TJ LOGISTICS CO LTD | | COMMON STOCK TWD10. | | 179,000 | | | | 210,362 | |
| | KESKO OYJ B SHS | | COMMON STOCK | | 12,500 | | | | 436,221 | |
| | KEWPIE CORP | | COMMON STOCK | | 16,400 | | | | 403,679 | |
| | KEY COFFEE INC | | COMMON STOCK | | 15,300 | | | | 244,103 | |
| | KEYENCE CORP | | COMMON STOCK | | 7,800 | | | | 4,277,436 | |
| | KEYERA CORP | | COMMON STOCK | | 33,200 | | | | 962,229 | |
| | KGHM POLSKA MIEDZ SA | | COMMON STOCK PLN10. | | 24,430 | | | | 390,195 | |
| | KIA MOTORS CORP | | COMMON STOCK KRW5000.0 | | 45,050 | | | | 2,006,792 | |
| | KIATNAKIN BANK PCL FOR | | FOREIGN SH. A | | 136,300 | | | | 137,304 | |
| | KIER GROUP PLC | | COMMON STOCK GBP.01 | | 15,375 | | | | 314,865 | |
| | KIKKOMAN CORP | | COMMON STOCK | | 30,000 | | | | 1,037,450 | |
| | KIMBERLY CLARK DE MEXICO A | | COMMON STOCK | | 312,400 | | | | 727,317 | |
| | KINDEN CORP | | COMMON STOCK | | 26,000 | | | | 331,222 | |
| | KINDOM CONSTRUCTION CORP | | COMMON STOCK TWD10.0 | | 321,000 | | | | 160,230 | |
| | KINGBOARD CHEMICAL HOLDINGS | | COMMON STOCK HKD.1 | | 167,900 | | | | 266,487 | |
| | KINGDEE INTERNATIONAL SFTWR | | COMMON STOCK HKD.025 | | 858,000 | | | | 389,671 | |
| | KINGFISHER PLC | | COMMON STOCK GBP.157143 | | 383,739 | | | | 1,857,738 | |
| | KINGSOFT CORP LTD | | COMMON STOCK USD.0005 | | 171,000 | | | | 413,353 | |
| | KINGSPAN GROUP PLC | | COMMON STOCK EUR.13 | | 29,826 | | | | 784,814 | |
| | KINROSS GOLD CORP | | COMMON STOCK | | 199,029 | | | | 359,631 | |
| | KINSUS INTERCONNECT TECH | | COMMON STOCK TWD10. | | 63,180 | | | | 127,021 | |
| | KINTETSU GROUP HOLDINGS CO L | | COMMON STOCK | | 315,000 | | | | 1,280,342 | |
| | KION GROUP AG | | COMMON STOCK | | 11,977 | | | | 595,217 | |
| | KIRIN HOLDINGS CO LTD | | COMMON STOCK | | 141,000 | | | | 1,906,342 | |
| | KITZ CORP | | COMMON STOCK | | 15,300 | | | | 68,586 | |
| | KIYO BANK LTD/THE | | COMMON STOCK | | 9,700 | | | | 140,104 | |
| | KLEPIERRE | | REIT EUR1.4 | | 33,463 | | | | 1,483,343 | |
| | KLOECKNER + CO SE | | COMMON STOCK | | 23,843 | | | | 207,094 | |
| | KLOVERN AB B SHS | | COMMON STOCK | | 274,865 | | | | 308,283 | |
| | KNM GROUP BHD | | COMMON STOCK MYR.5 | | 735,152 | | | | 87,839 | |
| | KO YO CHEMICAL GROUP LTD | | COMMON STOCK HKD.1 | | 1,716,000 | | | | 110,264 | |
| | KOBAYASHI PHARMACEUTICAL CO | | COMMON STOCK | | 5,600 | | | | 459,847 | |
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Table of Contents
| | KOBE STEEL LTD | | COMMON STOCK | | 550,000 | | | | 597,053 | |
| | KOC HOLDING AS | | COMMON STOCK TRY1. | | 110,065 | | | | 412,097 | |
| | KOHNAN SHOJI CO LTD | | COMMON STOCK | | 7,800 | | | | 108,823 | |
| | KOITO MANUFACTURING CO LTD | | COMMON STOCK | | 25,900 | | | | 1,058,540 | |
| | KOLON LIFE SCIENCE INC | | COMMON STOCK KRW500. | | 310 | | | | 51,858 | |
| | KOMATSU LTD | | COMMON STOCK | | 156,300 | | | | 2,544,608 | |
| | KOMERCNI BANKA AS | | COMMON STOCK CZK500. | | 1,457 | | | | 288,583 | |
| | KOMERCNI BANKA AS GDR | | GDR CZK500. | | 3,590 | | | | 238,128 | |
| | KOMIPHARM INTERNATIONAL CO | | COMMON STOCK KRW100. | | 19,350 | | | | 631,868 | |
| | KONAMI HOLDINGS CORP | | COMMON STOCK | | 19,200 | | | | 457,514 | |
| | KONE OYJ B | | COMMON STOCK | | 56,758 | | | | 2,385,424 | |
| | KONECRANES OYJ | | COMMON STOCK EUR.5 | | 7,883 | | | | 194,125 | |
| | KONICA MINOLTA INC | | COMMON STOCK | | 87,500 | | | | 876,898 | |
| | KONINKLIJKE AHOLD NV | | COMMON STOCK EUR.01 | | 162,959 | | | | 3,439,147 | |
| | KONINKLIJKE BAM GROEP NV | | COMMON STOCK EUR.1 | | 53,240 | | | | 295,721 | |
| | KONINKLIJKE DSM NV | | COMMON STOCK EUR1.5 | | 29,010 | | | | 1,451,125 | |
| | KONINKLIJKE KPN NV | | COMMON STOCK EUR.04 | | 520,520 | | | | 1,964,686 | |
| | KONINKLIJKE PHILIPS NV | | COMMON STOCK EUR.2 | | 164,867 | | | | 4,190,077 | |
| | KONKA GROUP CO LTD B | | COMMON STOCK CNY1. | | 84,100 | | | | 41,999 | |
| | KOREA AEROSPACE INDUSTRIES | | COMMON STOCK KRW5000. | | 9,600 | | | | 634,332 | |
| | KOREA ELECTRIC POWER CORP | | COMMON STOCK KRW5000. | | 43,550 | | | | 1,849,186 | |
| | KOREA GAS CORPORATION | | COMMON STOCK KRW5000. | | 6,958 | | | | 216,971 | |
| | KOREA INFORMATION CERTIFICAT | | COMMON STOCK KRW500.0 | | 7,700 | | | | 69,830 | |
| | KOREA INVESTMENT HOLDINGS CO | | COMMON STOCK KRW5000. | | 8,840 | | | | 369,402 | |
| | KOREA ZINC CO LTD | | COMMON STOCK KRW5000. | | 1,910 | | | | 757,768 | |
| | KOREAN AIR LINES CO LTD | | COMMON STOCK KRW5000. | | 8,533 | | | | 200,579 | |
| | KOREAN REINSURANCE CO | | COMMON STOCK KRW500. | | 22,819 | | | | 274,033 | |
| | KOSE CORP | | COMMON STOCK | | 8,700 | | | | 800,243 | |
| | KOWLOON DEVELOPMENT CO LTD | | COMMON STOCK | | 110,000 | | | | 108,511 | |
| | KROTON EDUCACIONAL SA | | COMMON STOCK | | 254,676 | | | | 607,998 | |
| | KRUNG THAI BANK PUB CO FOREI | | FOREIGN SH. THB5.15 A | | 831,250 | | | | 385,768 | |
| | KT CORP | | COMMON STOCK KRW5000. | | 9,524 | | | | 228,861 | |
| | KT+G CORP | | COMMON STOCK KRW5000. | | 18,770 | | | | 1,665,729 | |
| | KTHITEL CO LTD | | COMMON STOCK KRW1000. | | 24,689 | | | | 189,237 | |
| | KUALA LUMPUR KEPONG BHD | | COMMON STOCK MYR1. | | 99,296 | | | | 528,521 | |
| | KUBOTA CORP | | COMMON STOCK | | 191,000 | | | | 2,941,832 | |
| | KUDELSKI SA BR | | COMMON STOCK CHF10.0 | | 10,853 | | | | 156,128 | |
| | KUEHNE + NAGEL INTL AG REG | | COMMON STOCK CHF1.0 | | 10,321 | | | | 1,416,009 | |
| | KUKA AG | | COMMON STOCK | | 7,601 | | | | 683,514 | |
| | KUMHO INDUSTRIAL CO LTD | | COMMON STOCK KRW5000. | | 11,011 | | | | 138,423 | |
| | KUMHO PETRO CHEMICAL CO LTD | | COMMON STOCK KRW5000. | | 3,811 | | | | 167,047 | |
| | KUNGSLEDEN AB | | COMMON STOCK SEK.42 | | 42,800 | | | | 304,526 | |
| | KUNLUN ENERGY CO LTD | | COMMON STOCK HKD.01 | | 572,000 | | | | 504,519 | |
| | KUONI REISEN HLDG REG(CAT B) | | COMMON STOCK CHF1.0 | | 929 | | | | 258,627 | |
| | KUOYANG CONSTRUCTION | | COMMON STOCK TWD10. | | 708,075 | | | | 231,514 | |
| | KURABO INDUSTRIES LTD | | COMMON STOCK | | 42,000 | | | | 71,277 | |
| | KURARAY CO LTD | | COMMON STOCK | | 61,500 | | | | 743,048 | |
| | KURITA WATER INDUSTRIES LTD | | COMMON STOCK | | 21,100 | | | | 441,372 | |
| | KWANGJU BANK | | COMMON STOCK KRW5000.0 | | 18,785 | | | | 122,500 | |
| | KWS SAAT SE | | COMMON STOCK EUR3.0 | | 630 | | | | 188,905 | |
| | KYOCERA CORP | | COMMON STOCK | | 53,700 | | | | 2,486,883 | |
| | KYODO PRINTING CO LTD | | COMMON STOCK | | 53,000 | | | | 146,387 | |
| | KYORIN HOLDINGS INC | | COMMON STOCK | | 9,000 | | | | 187,290 | |
| | KYORITSU MAINTENANCE CO LTD | | COMMON STOCK | | 2,800 | | | | 239,556 | |
| | KYOWA EXEO CORP | | COMMON STOCK | | 11,700 | | | | 119,710 | |
| | KYOWA HAKKO KIRIN CO LTD | | COMMON STOCK | | 54,537 | | | | 857,036 | |
| | KYUDENKO CORP | | COMMON STOCK | | 14,000 | | | | 250,332 | |
| | KYUSHU ELECTRIC POWER CO INC | | COMMON STOCK | | 79,000 | | | | 862,523 | |
| | KYUSHU FINANCIAL GROUP INC | | COMMON STOCK | | 58,200 | | | | 406,348 | |
| | L OREAL | | COMMON STOCK EUR.2 | | 42,373 | | | | 7,125,909 | |
| | LABORATORIOS FARMACEUTICOS R | | COMMON STOCK EUR.06 | | 15,159 | | | | 236,059 | |
| | LADBROKES PLC | | COMMON STOCK GBP.2833333 | | 202,947 | | | | 357,263 | |
| | LAFARGE MALAYSIA BHD | | COMMON STOCK MYR1. | | 97,080 | | | | 200,823 | |
| | LAFARGEHOLCIM LTD REG | | COMMON STOCK | | 30,467 | | | | 1,541,249 | |
| | LAFARGEHOLCIM LTD REG | | COMMON STOCK CHF2.0 | | 43,536 | | | | 2,182,795 | |
| | LAGARDERE SCA | | COMMON STOCK EUR6.1 | | 22,537 | | | | 670,268 | |
| | LANCASHIRE HOLDINGS LTD | | COMMON STOCK USD.5 | | 38,899 | | | | 359,881 | |
| | LAND SECURITIES GROUP PLC | | REIT GBP.1 | | 132,360 | | | | 2,294,266 | |
| | LANXESS AG | | COMMON STOCK | | 17,116 | | | | 787,718 | |
| | LAO FENG XIANG CO LTD B | | COMMON STOCK CNY1. | | 95,200 | | | | 406,881 | |
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Table of Contents
| | LAOX CO LTD | | COMMON STOCK | | 96,000 | | | | 182,797 | |
| | LARGAN PRECISION CO LTD | | COMMON STOCK TWD10. | | 18,799 | | | | 1,284,435 | |
| | LARSEN + TOUBRO GDR REG S | | GDR | | 11,222 | | | | 217,707 | |
| | LARSEN + TOUBRO LTD | | COMMON STOCK INR2. | | 43,282 | | | | 831,100 | |
| | LATAM AIRLINES GROUP SP ADR | | ADR | | 56,244 | | | | 303,155 | |
| | LAURENTIAN BANK OF CANADA | | COMMON STOCK | | 8,300 | | | | 288,597 | |
| | LAWSON INC | | COMMON STOCK | | 11,600 | | | | 939,941 | |
| | LEALEA ENTERPRISE | | COMMON STOCK TWD10. | | 592,202 | | | | 169,524 | |
| | LEE + MAN PAPER MANUFACTURIN | | COMMON STOCK HKD.025 | | 346,000 | | | | 192,345 | |
| | LEG IMMOBILIEN AG | | COMMON STOCK | | 10,245 | | | | 840,528 | |
| | LEGAL + GENERAL GROUP PLC | | COMMON STOCK GBP.025 | | 992,551 | | | | 3,913,639 | |
| | LEGRAND SA | | COMMON STOCK EUR4. | | 44,406 | | | | 2,505,275 | |
| | LENDLEASE GROUP | | STAPLED SECURITY | | 111,460 | | | | 1,147,868 | |
| | LENOVO GROUP LTD | | COMMON STOCK | | 1,154,000 | | | | 1,162,850 | |
| | LEONTEQ AG | | COMMON STOCK CHF1.0 | | 1,606 | | | | 231,533 | |
| | LEOPALACE21 CORP | | COMMON STOCK | | 44,400 | | | | 239,704 | |
| | LEWIS GROUP LTD | | COMMON STOCK ZAR.0001 | | 27,982 | | | | 98,772 | |
| | LF CORP | | COMMON STOCK KRW5000.0 | | 6,559 | | | | 149,974 | |
| | LG CHEM LTD | | COMMON STOCK KRW5000. | | 8,398 | | | | 2,319,473 | |
| | LG CORP | | COMMON STOCK KRW5000. | | 17,990 | | | | 1,077,635 | |
| | LG DISPLAY CO LTD | | COMMON STOCK KRW5000. | | 41,960 | | | | 879,325 | |
| | LG ELECTRONICS INC | | COMMON STOCK KRW5000. | | 19,698 | | | | 897,373 | |
| | LG HAUSYS LTD | | COMMON STOCK KRW5000. | | 2,270 | | | | 281,307 | |
| | LG HOUSEHOLD + HEALTH CARE | | COMMON STOCK KRW5000. | | 1,927 | | | | 1,708,459 | |
| | LG INNOTEK CO LTD | | COMMON STOCK KRW5000. | | 3,489 | | | | 290,888 | |
| | LG INTERNATIONAL CORP | | COMMON STOCK KRW5000. | | 7,840 | | | | 223,728 | |
| | LG UPLUS CORP | | COMMON STOCK KRW5000. | | 45,537 | | | | 401,799 | |
| | LI + FUNG LTD | | COMMON STOCK HKD.0125 | | 978,000 | | | | 661,213 | |
| | LI NING CO LTD | | COMMON STOCK HKD.1 | | 379,541 | | | | 204,989 | |
| | LI PENG ENTERPRISE CO LTD | | COMMON STOCK TWD10. | | 507,111 | | | | 128,037 | |
| | LIBERTY HOLDINGS LTD | | COMMON STOCK ZAR.0833 | | 25,336 | | | | 188,223 | |
| | LIC HOUSING FINANCE LTD | | COMMON STOCK INR2. | | 73,066 | | | | 559,104 | |
| | LIFE HEALTHCARE GROUP HOLDIN | | COMMON STOCK | | 180,154 | | | | 405,938 | |
| | LINAMAR CORP | | COMMON STOCK | | 10,700 | | | | 575,632 | |
| | LINDE AG | | COMMON STOCK | | 31,383 | | | | 4,553,461 | |
| | LINK REIT | | REIT | | 399,552 | | | | 2,391,326 | |
| | LION CORP | | COMMON STOCK | | 42,000 | | | | 394,501 | |
| | LIPPO MALLS INDONESIA RETAIL | | REIT | | 510,000 | | | | 114,863 | |
| | LIQUEFIED NATURAL GAS LTD | | COMMON STOCK | | 172,378 | | | | 98,477 | |
| | LITE ON TECHNOLOGY CORP | | COMMON STOCK TWD10. | | 379,336 | | | | 363,348 | |
| | LIXIL GROUP CORP | | COMMON STOCK | | 46,400 | | | | 1,028,943 | |
| | LLOYDS BANKING GROUP PLC | | COMMON STOCK | | 9,555,938 | | | | 10,283,149 | |
| | LOBLAW COMPANIES LTD | | COMMON STOCK | | 39,496 | | | | 1,857,799 | |
| | LOCALIZA RENT A CAR | | COMMON STOCK | | 33,244 | | | | 207,651 | |
| | LOGITECH INTERNATIONAL REG | | COMMON STOCK CHF.25 | | 32,951 | | | | 504,702 | |
| | LOJAS AMERICANAS SA PREF | | PREFERENCE | | 137,726 | | | | 672,756 | |
| | LOJAS RENNER S.A. | | COMMON STOCK | | 122,500 | | | | 527,125 | |
| | LONDON STOCK EXCHANGE GROUP | | COMMON STOCK GBP.06918605 | | 52,990 | | | | 2,140,964 | |
| | LONG CHEN PAPER | | COMMON STOCK TWD10. | | 403,428 | | | | 130,392 | |
| | LONGFOR PROPERTIES | | COMMON STOCK HKD.1 | | 290,500 | | | | 430,905 | |
| | LONMIN PLC | | COMMON STOCK USD.0001 | | 48,929 | | | | 60,434 | |
| | LONZA GROUP AG REG | | COMMON STOCK | | 9,487 | | | | 1,543,263 | |
| | LOOKERS PLC | | COMMON STOCK GBP.05 | | 53,023 | | | | 144,059 | |
| | LOOMIS AB B | | COMMON STOCK SEK5.0 | | 16,415 | | | | 511,582 | |
| | LOTTE CHEMICAL CORP | | COMMON STOCK KRW5000.0 | | 2,940 | | | | 600,572 | |
| | LOTTE CONFECTIONERY CO LTD | | COMMON STOCK KRW5000. | | 190 | | | | 368,521 | |
| | LOTTE SHOPPING CO | | COMMON STOCK KRW5000. | | 2,269 | | | | 445,485 | |
| | LPN DEVELOPMENT PCL FOREIGN | | FOREIGN SH. THB1.0 A | | 313,800 | | | | 139,525 | |
| | LPP SA | | COMMON STOCK PLN2. | | 179 | | | | 251,266 | |
| | LS CORP | | COMMON STOCK KRW5000.0 | | 5,495 | | | | 186,673 | |
| | LS INDUSTRIAL SYSTEMS | | COMMON STOCK KRW5000. | | 4,707 | | | | 182,604 | |
| | LSR GROUP PJSC GDR REGS | | GDR RUB.25 | | 56,148 | | | | 111,856 | |
| | LUK FOOK HOLDINGS INTL LTD | | COMMON STOCK HKD.1 | | 98,000 | | | | 207,215 | |
| | LUKOIL PJSC SPON ADR | | ADR RUB.025 | | 86,014 | | | | 2,794,165 | |
| | LUNDIN MINING CORP | | COMMON STOCK | | 131,700 | | | | 360,276 | |
| | LUNDIN PETROLEUM AB | | COMMON STOCK SEK.01 | | 46,737 | | | | 670,791 | |
| | LUOYANG GLASS COMPANY LTD H | | COMMON STOCK CNY1.0 | | 300,000 | | | | 196,684 | |
| | LUPIN LTD | | COMMON STOCK INR2.0 | | 47,857 | | | | 1,317,987 | |
| | LUXOTTICA GROUP SPA | | COMMON STOCK EUR.06 | | 28,492 | | | | 1,856,608 | |
| | LVMH MOET HENNESSY LOUIS VUI | | COMMON STOCK EUR.3 | | 46,928 | | | | 7,333,061 | |
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| | M3 INC | | COMMON STOCK | | 33,700 | | | | 697,870 | |
| | M6 METROPOLE TELEVISION | | COMMON STOCK EUR.4 | | 13,370 | | | | 229,772 | |
| | MABUCHI MOTOR CO LTD | | COMMON STOCK | | 11,500 | | | | 620,814 | |
| | MACDONALD DETTWILER + ASSOC | | COMMON STOCK | | 7,904 | | | | 473,751 | |
| | MACQUARIE ATLAS ROADS GROUP | | STAPLED SECURITY | | 149,958 | | | | 440,628 | |
| | MACQUARIE GROUP LTD | | COMMON STOCK | | 48,763 | | | | 2,909,306 | |
| | MACRONIX INTERNATIONAL | | COMMON STOCK TWD10. | | 540,050 | | | | 78,077 | |
| | MAEDA CORP | | COMMON STOCK | | 21,000 | | | | 141,497 | |
| | MAGNA INTERNATIONAL INC | | COMMON STOCK | | 70,112 | | | | 2,832,543 | |
| | MAGNIT PJSC SPON GDR REGS | | GDR | | 44,931 | | | | 1,797,455 | |
| | MAHINDRA + MAHINDRA FIN SECS | | COMMON STOCK INR2.0 | | 75,753 | | | | 274,849 | |
| | MAHINDRA + MAHINDRA LTD | | COMMON STOCK INR5. | | 49,723 | | | | 946,553 | |
| | MAHINDRA + MAHINDRA SPON GDR | | GDR | | 15,031 | | | | 288,595 | |
| | MAJESTIC WINE PLC | | COMMON STOCK GBP.075 | | 30,114 | | | | 133,268 | |
| | MAKITA CORP | | COMMON STOCK | | 21,400 | | | | 1,228,821 | |
| | MALAYAN BANKING BHD | | COMMON STOCK MYR1. | | 885,988 | | | | 1,729,915 | |
| | MALAYSIAN RESOURCES CORP BHD | | COMMON STOCK MYR1. | | 757,400 | | | | 224,598 | |
| | MALAYSIAN RINGGIT | | FOREIGN CURRENCY | | 2,237,637 | | | | 521,169 | |
| | MAN GROUP PLC | | COMMON STOCK USD.03428571 | | 317,704 | | | | 814,751 | |
| | MANDO CORP | | COMMON STOCK KRW5000.0 | | 2,189 | | | | 306,985 | |
| | MANDOM CORP | | COMMON STOCK | | 6,500 | | | | 261,729 | |
| | MANI INC | | COMMON STOCK | | 7,200 | | | | 138,208 | |
| | MANULIFE FINANCIAL CORP | | COMMON STOCK | | 333,091 | | | | 4,973,225 | |
| | MAPFRE SA | | COMMON STOCK EUR.1 | | 196,388 | | | | 489,623 | |
| | MAPLE LEAF FOODS INC | | COMMON STOCK | | 26,800 | | | | 458,403 | |
| | MAPLETREE INDUSTRIAL TRUST | | REIT | | 327,393 | | | | 350,591 | |
| | MAPLETREE LOGISTICS TRUST 20 | | REIT | | 404,851 | | | | 281,684 | |
| | MARFRIG GLOBAL FOODS SA | | COMMON STOCK | | 61,800 | | | | 98,694 | |
| | MARICO LTD | | COMMON STOCK | | 47,471 | | | | 162,276 | |
| | MARICO LTD | | COMMON STOCK INR1. | | 47,471 | | | | 161,852 | |
| | MARIELLA BURANI SPA | | COMMON STOCK EUR.52 | | 4,399 | | | | 0 | |
| | MARINE HARVEST | | COMMON STOCK NOK7.5 | | 54,881 | | | | 738,905 | |
| | MARKS + SPENCER GROUP PLC | | COMMON STOCK GBP.25 | | 285,887 | | | | 1,899,429 | |
| | MARR SPA | | COMMON STOCK EUR.5 | | 15,390 | | | | 317,562 | |
| | MARS ENGINEERING CORP | | COMMON STOCK | | 6,200 | | | | 104,616 | |
| | MARTINREA INTERNATIONAL INC | | COMMON STOCK | | 32,000 | | | | 242,114 | |
| | MARUBENI CORP | | COMMON STOCK | | 282,000 | | | | 1,446,432 | |
| | MARUDAI FOOD CO LTD | | COMMON STOCK | | 25,000 | | | | 96,040 | |
| | MARUHA NICHIRO CORP | | COMMON STOCK | | 8,400 | | | | 147,790 | |
| | MARUI GROUP CO LTD | | COMMON STOCK | | 44,200 | | | | 717,543 | |
| | MARUICHI STEEL TUBE LTD | | COMMON STOCK | | 9,500 | | | | 280,129 | |
| | MARUSAN SECURITIES CO LTD | | COMMON STOCK | | 17,200 | | | | 180,082 | |
| | MARUTI SUZUKI INDIA LTD | | COMMON STOCK INR5. | | 17,375 | | | | 1,209,780 | |
| | MARUZEN SHOWA UNYU CO LTD | | COMMON STOCK | | 71,000 | | | | 252,684 | |
| | MASRAF AL RAYAN | | COMMON STOCK QAR10. | | 68,685 | | | | 707,709 | |
| | MASSMART HOLDINGS LTD | | COMMON STOCK ZAR.01 | | 25,179 | | | | 161,847 | |
| | MATAHARI DEPARTMENT STORE TB | | COMMON STOCK | | 769,000 | | | �� | 970,941 | |
| | MATSUI SECURITIES CO LTD | | COMMON STOCK | | 20,800 | | | | 190,405 | |
| | MATSUYA CO LTD | | COMMON STOCK | | 11,900 | | | | 121,745 | |
| | MAUREL ET PROM | | COMMON STOCK EUR.77 | | 57,611 | | | | 185,335 | |
| | MAX CO LTD | | COMMON STOCK | | 12,000 | | | | 123,547 | |
| | MAXIS BHD | | COMMON STOCK MYR.1 | | 360,600 | | | | 570,411 | |
| | MAZDA MOTOR CORP | | COMMON STOCK | | 93,400 | | | | 1,919,812 | |
| | MBANK SA | | COMMON STOCK PLN4.0 | | 3,010 | | | | 238,264 | |
| | MCDONALD S HOLDINGS CO JAPAN | | COMMON STOCK | | 10,800 | | | | 234,762 | |
| | MCUBS MIDCITY INVESTMENT COR | | REIT | | 80 | | | | 243,824 | |
| | MECHEL SPONSORED ADR | | ADR | | 204,538 | | | | 167,271 | |
| | MEDA AB A SHS | | COMMON STOCK SEK1.0 | | 45,904 | | | | 576,437 | |
| | MEDIA NUSANTARA CITRA TBK PT | | COMMON STOCK IDR100. | | 1,071,000 | | | | 142,102 | |
| | MEDIASET ESPANA COMUNICACION | | COMMON STOCK EUR.5 | | 34,696 | | | | 375,634 | |
| | MEDIASET SPA | | COMMON STOCK EUR.52 | | 142,669 | | | | 590,621 | |
| | MEDIATEK INC | | COMMON STOCK TWD10. | | 236,165 | | | | 1,784,783 | |
| | MEDIBANK PRIVATE LTD | | COMMON STOCK | | 494,195 | | | | 769,079 | |
| | MEDICLINIC INTERNATIONAL LTD | | COMMON STOCK | | 88,218 | | | | 677,353 | |
| | MEDINET NASR HOUSING | | COMMON STOCK EGP1. | | 90,232 | | | | 313,563 | |
| | MEDIOBANCA SPA | | COMMON STOCK EUR.5 | | 100,349 | | | | 961,731 | |
| | MEDIPAL HOLDINGS CORP | | COMMON STOCK | | 28,000 | | | | 476,384 | |
| | MEDY TOX INC | | COMMON STOCK KRW500. | | 1,720 | | | | 740,582 | |
| | MEG ENERGY CORP | | COMMON STOCK | | 40,500 | | | | 233,828 | |
| | MEGA FINANCIAL HOLDING CO LT | | COMMON STOCK TWD10. | | 1,727,361 | | | | 1,111,630 | |
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Table of Contents
| | MEGGITT PLC | | COMMON STOCK GBP.05 | | 134,015 | | | | 739,044 | |
| | MEGMILK SNOW BRAND CO LTD | | COMMON STOCK | | 7,500 | | | | 192,568 | |
| | MEIDENSHA CORP | | COMMON STOCK | | 42,000 | | | | 168,961 | |
| | MEIJI HOLDINGS CO LTD | | COMMON STOCK | | 22,000 | | | | 1,812,527 | |
| | MEKONOMEN AB | | COMMON STOCK SEK2.5 | | 6,910 | | | | 141,305 | |
| | MELCO CROWN ENTERTAINME ADR | | ADR USD.01 | | 15,156 | | | | 254,621 | |
| | MELCO HOLDINGS INC | | COMMON STOCK | | 8,400 | | | | 154,086 | |
| | MELCO INTERNATIONAL DEVELOP. | | COMMON STOCK | | 197,000 | | | | 293,223 | |
| | MELISRON | | COMMON STOCK ILS1. | | 5,873 | | | | 187,912 | |
| | MELROSE INDUSTRIES PLC | | COMMON STOCK GBP.01 | | 179,750 | | | | 766,835 | |
| | MERCK KGAA | | COMMON STOCK | | 23,044 | | | | 2,237,396 | |
| | MERCURIES + ASSOCIATES HOLDI | | COMMON STOCK TWD10.0 | | 650,775 | | | | 415,371 | |
| | MERITZ SECURITIES CO LTD | | COMMON STOCK KRW1000.0 | | 32,690 | | | | 109,523 | |
| | MERLIN ENTERTAINMENT | | COMMON STOCK GBP.01 | | 126,742 | | | | 849,181 | |
| | MERLIN PROPERTIES SOCIMI SA | | REIT EUR1.0 | | 55,691 | | | | 694,703 | |
| | MERSEN (EX CARBON LORRAINE) | | COMMON STOCK EUR2. | | 4,345 | | | | 80,244 | |
| | METALURGICA GERDAU SA PREF | | PREFERENCE | | 137,159 | | | | 57,317 | |
| | METCASH LTD | | COMMON STOCK | | 177,737 | | | | 207,074 | |
| | METHANEX CORP | | COMMON STOCK | | 17,600 | | | | 579,022 | |
| | METKA SA | | COMMON STOCK EUR.32 | | 9,568 | | | | 74,542 | |
| | METRO AG | | COMMON STOCK | | 32,888 | | | | 1,049,259 | |
| | METRO INC | | COMMON STOCK | | 44,100 | | | | 1,229,886 | |
| | METROPOLITAN BANK + TRUST | | COMMON STOCK PHP20. | | 297,104 | | | | 508,238 | |
| | METSA BOARD OYJ | | COMMON STOCK EUR1.7 | | 37,243 | | | | 274,796 | |
| | METSO OYJ | | COMMON STOCK | | 17,557 | | | | 390,773 | |
| | MEXICAN PESO (NEW) | | FOREIGN CURRENCY | | 4,923,752 | | | | 285,085 | |
| | MEXICHEM SAB DE CV | | COMMON STOCK | | 210,001 | | | | 470,434 | |
| | MEYER BURGER TECHNOLOGY AG | | COMMON STOCK CHF.05 | | 24,860 | | | | 147,615 | |
| | MGM CHINA HOLDINGS LTD | | COMMON STOCK HKD1.0 | | 196,800 | | | | 244,115 | |
| | MICHAEL PAGE INTERNATIONAL | | COMMON STOCK GBP.01 | | 51,028 | | | | 363,994 | |
| | MICHELIN (CGDE) | | COMMON STOCK EUR2. | | 31,909 | | | | 3,028,434 | |
| | MICRO FOCUS INTERNATIONAL | | COMMON STOCK GBP.1 | | 27,296 | | | | 640,701 | |
| | MIDLAND HOLDINGS LTD | | COMMON STOCK HKD.1 | | 450,000 | | | | 181,279 | |
| | MILBON CO LTD | | COMMON STOCK | | 5,400 | | | | 220,215 | |
| | MILLICOM INTL CELLULAR SDR | | SDR USD1.5 | | 11,720 | | | | 668,403 | |
| | MIMASU SEMICONDUCTOR INDUST | | COMMON STOCK | | 18,200 | | | | 173,000 | |
| | MIN AIK TECHNOLOGY CO LTD | | COMMON STOCK TWD10. | | 47,450 | | | | 81,630 | |
| | MINDTREE LTD | | COMMON STOCK INR10. | | 11,276 | | | | 244,207 | |
| | MINEBEA CO LTD | | COMMON STOCK | | 57,000 | | | | 489,049 | |
| | MINERA FRISCO SAB DE CV A1 | | COMMON STOCK | | 181,061 | | | | 85,964 | |
| | MINERAL RESOURCES LTD | | COMMON STOCK | | 41,279 | | | | 119,104 | |
| | MINI MSCI EAFE MAR16 | | IFUS 20160318 | | 13,750 | | | | 127,650 | |
| | MINI MSCI EMG MKT MAR16 | | IFUS 20160318 | | 4,400 | | | | 93,215 | |
| | MINISTOP CO LTD | | COMMON STOCK | | 12,700 | | | | 245,960 | |
| | MINTH GROUP LTD | | COMMON STOCK HKD.1 | | 194,000 | | | | 384,728 | |
| | MIRACA HOLDINGS INC | | COMMON STOCK | | 10,600 | | | | 467,077 | |
| | MIRAE ASSET SECURITIES CO LT | | COMMON STOCK KRW5000. | | 15,243 | | | | 280,018 | |
| | MIRAIT HOLDINGS CORP | | COMMON STOCK | | 13,500 | | | | 111,277 | |
| | MIRVAC GROUP | | REIT | | 718,072 | | | | 1,025,929 | |
| | MISC BHD | | COMMON STOCK MYR1. | | 209,640 | | | | 456,723 | |
| | MISUMI GROUP INC | | COMMON STOCK | | 51,500 | | | | 708,615 | |
| | MITAC HOLDINGS CORP | | COMMON STOCK TWD10.0 | | 182,465 | | | | 137,006 | |
| | MITCHELLS + BUTLERS PLC | | COMMON STOCK GBP.0854167 | | 33,045 | | | | 168,050 | |
| | MITSUBISHI CHEMICAL HOLDINGS | | COMMON STOCK | | 241,500 | | | | 1,529,883 | |
| | MITSUBISHI CORP | | COMMON STOCK | | 231,100 | | | | 3,836,173 | |
| | MITSUBISHI ELECTRIC CORP | | COMMON STOCK | | 326,000 | | | | 3,415,113 | |
| | MITSUBISHI ESTATE CO LTD | | COMMON STOCK | | 207,000 | | | | 4,286,911 | |
| | MITSUBISHI GAS CHEMICAL CO | | COMMON STOCK | | 72,000 | | | | 367,561 | |
| | MITSUBISHI HEAVY INDUSTRIES | | COMMON STOCK | | 508,000 | | | | 2,217,114 | |
| | MITSUBISHI LOGISTICS CORP | | COMMON STOCK | | 25,000 | | | | 329,465 | |
| | MITSUBISHI MATERIALS CORP | | COMMON STOCK | | 217,000 | | | | 681,928 | |
| | MITSUBISHI MOTORS CORP | | COMMON STOCK | | 106,700 | | | | 901,359 | |
| | MITSUBISHI PENCIL CO LTD | | COMMON STOCK | | 4,300 | | | | 198,136 | |
| | MITSUBISHI TANABE PHARMA | | COMMON STOCK | | 38,000 | | | | 654,109 | |
| | MITSUBISHI UFJ FINANCIAL GRO | | COMMON STOCK | | 2,209,200 | | | | 13,661,141 | |
| | MITSUBISHI UFJ LEASE + FINAN | | COMMON STOCK | | 138,200 | | | | 711,328 | |
| | MITSUBOSHI BELTING LTD | | COMMON STOCK | | 28,000 | | | | 223,480 | |
| | MITSUI + CO LTD | | COMMON STOCK | | 283,100 | | | | 3,359,528 | |
| | MITSUI CHEMICALS INC | | COMMON STOCK | | 127,000 | | | | 562,828 | |
| | MITSUI ENGINEER + SHIPBUILD | | COMMON STOCK | | 140,000 | | | | 229,765 | |
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Table of Contents
| | MITSUI FUDOSAN CO LTD | | COMMON STOCK | | 156,000 | | | | 3,905,716 | |
| | MITSUI HOME CO LTD | | COMMON STOCK | | 14,000 | | | | 64,185 | |
| | MITSUI MINING + SMELTING CO | | COMMON STOCK | | 123,000 | | | | 228,100 | |
| | MITSUI OSK LINES LTD | | COMMON STOCK | | 209,000 | | | | 526,052 | |
| | MITSUI SOKO HOLDINGS CO LTD | | COMMON STOCK | | 35,000 | | | | 99,011 | |
| | MITSUI SUGAR CO LTD | | COMMON STOCK | | 30,000 | | | | 134,356 | |
| | MITSUMI ELECTRIC CO LTD | | COMMON STOCK | | 28,100 | | | | 158,608 | |
| | MIXI INC | | COMMON STOCK | | 8,400 | | | | 313,361 | |
| | MIYAZAKI BANK LTD/THE | | COMMON STOCK | | 36,000 | | | | 115,013 | |
| | MIZRAHI TEFAHOT BANK LTD | | COMMON STOCK ILS.1 | | 24,472 | | | | 292,202 | |
| | MIZUHO FINANCIAL GROUP INC | | COMMON STOCK | | 3,929,700 | | | | 7,838,080 | |
| | MIZUNO CORP | | COMMON STOCK | | 32,000 | | | | 152,624 | |
| | MLP AG | | COMMON STOCK | | 28,398 | | | | 113,189 | |
| | MMC NORILSK NICKEL PJSC ADR | | DEPOSITORY RECEIPT | | 96,021 | | | | 1,218,987 | |
| | MMI HOLDINGS LTD | | COMMON STOCK ZAR.000001 | | 210,527 | | | | 298,129 | |
| | MOBILE TELESYSTEMS SP ADR | | ADR | | 98,657 | | | | 609,700 | |
| | MOBILEYE NV | | COMMON STOCK EUR.01 | | 7,434 | | | | 314,310 | |
| | MOBIMO HOLDING AG REG | | COMMON STOCK CHF29.0 | | 1,507 | | | | 334,019 | |
| | MOBISTAR SA | | COMMON STOCK | | 9,120 | | | | 221,059 | |
| | MOCHIDA PHARMACEUTICAL CO | | COMMON STOCK | | 2,700 | | | | 190,710 | |
| | MODERN TIMES GROUP B SHS | | COMMON STOCK SEK5.0 | | 12,724 | | | | 325,070 | |
| | MODETOUR NETWORK INC | | COMMON STOCK KRW500. | | 15,059 | | | | 429,078 | |
| | MOL HUNGARIAN OIL AND GAS PL | | COMMON STOCK HUF1000. | | 7,652 | | | | 374,855 | |
| | MONADELPHOUS GROUP LTD | | COMMON STOCK | | 25,130 | | | | 119,008 | |
| | MONCLER SPA | | COMMON STOCK | | 23,594 | | | | 326,607 | |
| | MONDI LTD | | COMMON STOCK | | 22,152 | | | | 438,462 | |
| | MONDI PLC | | COMMON STOCK EUR.2 | | 67,332 | | | | 1,312,864 | |
| | MONEYSUPERMARKET.COM | | COMMON STOCK GBP.0002 | | 100,102 | | | | 540,589 | |
| | MONOTARO CO LTD | | COMMON STOCK | | 17,700 | | | | 487,859 | |
| | MORGAN ADVANCED MATERIALS PL | | COMMON STOCK GBP.25 | | 48,354 | | | | 174,727 | |
| | MORINAGA + CO LTD | | COMMON STOCK | | 48,000 | | | | 251,904 | |
| | MORINAGA MILK INDUSTRY CO | | COMMON STOCK | | 25,000 | | | | 113,603 | |
| | MORNEAU SHEPELL INC | | COMMON STOCK | | 12,900 | | | | 134,470 | |
| | MOROCCAN DIRHAM | | FOREIGN CURRENCY | | 19,944 | | | | 2,011 | |
| | MORPHOSYS AG | | COMMON STOCK | | 5,294 | | | | 330,723 | |
| | MOS FOOD SERVICES INC | | COMMON STOCK | | 4,200 | | | | 112,968 | |
| | MOTA ENGIL SGPS SA | | COMMON STOCK EUR1. | | 45,385 | | | | 94,712 | |
| | MOTECH INDUSTRIES INC | | COMMON STOCK TWD10. | | 84,348 | | | | 114,945 | |
| | MOTHERCARE PLC | | COMMON STOCK GBP.5 | | 53,819 | | | | 174,473 | |
| | MOTHERSON SUMI SYSTEMS LTD | | COMMON STOCK INR1. | | 69,318 | | | | 305,723 | |
| | MR PRICE GROUP LTD | | COMMON STOCK ZAR.00025 | | 43,472 | | | | 559,423 | |
| | MRV ENGENHARIA | | COMMON STOCK | | 64,084 | | | | 140,175 | |
| | MS+AD INSURANCE GROUP HOLDIN | | COMMON STOCK | | 92,200 | | | | 2,694,091 | |
| | MSCI TAIWAN INDEX JAN16 | | XSIM 20160128 | | 24,900 | | | | (80,310 | ) |
| | MTN GROUP LTD | | COMMON STOCK ZAR.0001 | | 277,467 | | | | 2,373,990 | |
| | MTR CORP | | COMMON STOCK | | 205,915 | | | | 1,017,244 | |
| | MTU AERO ENGINES AG | | COMMON STOCK | | 9,233 | | | | 899,662 | |
| | MUENCHENER RUECKVER AG REG | | COMMON STOCK | | 28,585 | | | | 5,722,471 | |
| | MULLEN GROUP LTD | | COMMON STOCK | | 19,300 | | | | 194,653 | |
| | MURATA MANUFACTURING CO LTD | | COMMON STOCK | | 36,000 | | | | 5,162,666 | |
| | MURRAY + ROBERTS HOLDINGS | | COMMON STOCK ZAR.1 | | 132,969 | | | | 68,596 | |
| | NABTESCO CORP | | COMMON STOCK | | 22,900 | | | | 464,970 | |
| | NAGAILEBEN CO LTD | | COMMON STOCK | | 7,200 | | | | 122,905 | |
| | NAGASE + CO LTD | | COMMON STOCK | | 18,000 | | | | 226,666 | |
| | NAGOYA RAILROAD CO LTD | | COMMON STOCK | | 149,000 | | | | 619,729 | |
| | NAMCHOW CHEMICAL INDUSTRIAL | | COMMON STOCK TWD10. | | 308,000 | | | | 634,623 | |
| | NAMPAK LTD | | COMMON STOCK ZAR.05 | | 125,309 | | | | 200,518 | |
| | NAN YA PLASTICS CORP | | COMMON STOCK TWD10.0 | | 730,986 | | | | 1,348,416 | |
| | NAN YA PRINTED CIRCUIT BOARD | | COMMON STOCK TWD10. | | 27,988 | | | | 28,446 | |
| | NANJING PANDA ELECTRONICS H | | COMMON STOCK CNY1.0 | | 144,000 | | | | 140,352 | |
| | NANKAI ELECTRIC RAILWAY CO | | COMMON STOCK | | 100,000 | | | | 590,609 | |
| | NANTO BANK LTD/THE | | COMMON STOCK | | 30,000 | | | | 93,956 | |
| | NASPERS LTD N SHS | | COMMON STOCK ZAR.02 | | 65,807 | | | | 8,979,770 | |
| | NATIONAL AUSTRALIA BANK LTD | | COMMON STOCK | | 429,427 | | | | 9,346,710 | |
| | NATIONAL BANK OF CANADA | | COMMON STOCK | | 57,870 | | | | 1,679,317 | |
| | NATIONAL BANK OF GREECE | | COMMON STOCK EUR.3 | | 16,631 | | | | 6,180 | |
| | NATIONAL EXPRESS GROUP PLC | | COMMON STOCK GBP.05 | | 82,610 | | | | 405,061 | |
| | NATIONAL GRID PLC | | COMMON STOCK GBP.1139535 | | 628,067 | | | | 8,636,813 | |
| | NATIONAL PETROLEUM CO LTD | | COMMON STOCK TWD10. | | 167,000 | | | | 182,473 | |
* | | NATIXIS | | COMMON STOCK | | 161,709 | | | | 913,679 | |
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| | NATURA COSMETICOS SA | | COMMON STOCK | | 36,900 | | | | 217,610 | |
| | NAVER CORP | | COMMON STOCK KRW500. | | 4,676 | | | | 2,604,107 | |
| | NCC AB B SHS | | COMMON STOCK SEK8.0 | | 15,845 | | | | 490,557 | |
| | NCSOFT CORP | | COMMON STOCK KRW500.0 | | 2,989 | | | | 539,897 | |
| | NEC CORP | | COMMON STOCK | | 463,000 | | | | 1,469,399 | |
| | NEC NETWORKS + SYSTEM INTEGR | | COMMON STOCK | | 4,900 | | | | 86,702 | |
| | NEDBANK GROUP LTD | | COMMON STOCK ZAR1. | | 36,016 | | | | 437,244 | |
| | NEO TELEMEDIA LTD | | COMMON STOCK HKD.01 | | 1,700,000 | | | | 129,183 | |
| | NEOPOST SA | | COMMON STOCK EUR1.0 | | 7,071 | | | | 172,494 | |
| | NEPTUNE ORIENT LINES LTD | | COMMON STOCK | | 157,500 | | | | 136,263 | |
| | NESTE OYJ | | COMMON STOCK | | 23,823 | | | | 710,042 | |
| | NESTLE INDIA LTD | | COMMON STOCK INR10. | | 4,789 | | | | 420,599 | |
| | NESTLE SA REG | | COMMON STOCK CHF.1 | | 536,407 | | | | 39,784,282 | |
| | NET ONE SYSTEMS CO LTD | | COMMON STOCK | | 11,600 | | | | 74,089 | |
| | NETCARE LTD | | COMMON STOCK ZAR.01 | | 226,837 | | | | 494,876 | |
| | NETDRAGON WEBSOFT INC | | COMMON STOCK USD.01 | | 181,000 | | | | 497,254 | |
| | NETEASE INC ADR | | ADR USD.0001 | | 6,500 | | | | 1,178,060 | |
| | NEW CHINA LIFE INSURANCE C H | | COMMON STOCK CNY1.0 | | 144,500 | | | | 606,066 | |
| | NEW GOLD INC | | COMMON STOCK | | 101,800 | | | | 235,977 | |
| | NEW ISRAELI SHEQEL | | FOREIGN CURRENCY | | 1,769,245 | | | | 454,696 | |
| | NEW TAIWAN DOLLAR | | FOREIGN CURRENCY | | 158,382,306 | | | | 4,821,820 | |
| | NEW WORLD DEVELOPMENT | | COMMON STOCK | | 972,614 | | | | 955,587 | |
| | NEW ZEALAND DOLLAR | | FOREIGN CURRENCY | | 524,273 | | | | 358,917 | |
| | NEWALTA CORP | | COMMON STOCK | | 17,200 | | | | 43,214 | |
| | NEWCREST MINING LTD | | COMMON STOCK | | 133,078 | | | | 1,256,011 | |
| | NEXANS SA | | COMMON STOCK EUR1. | | 5,184 | | | | 189,214 | |
| | NEXITY | | COMMON STOCK EUR5.0 | | 6,804 | | | | 301,357 | |
| | NEXT PLC | | COMMON STOCK GBP.1 | | 24,508 | | | | 2,626,701 | |
| | NGK INSULATORS LTD | | COMMON STOCK | | 47,000 | | | | 1,059,303 | |
| | NGK SPARK PLUG CO LTD | | COMMON STOCK | | 34,600 | | | | 910,698 | |
| | NH FOODS LTD | | COMMON STOCK | | 34,000 | | | | 666,272 | |
| | NH INVESTMENT + SECURITIES C | | COMMON STOCK KRW5000.0 | | 35,706 | | | | 302,462 | |
| | NHK SPRING CO LTD | | COMMON STOCK | | 31,000 | | | | 310,255 | |
| | NHN ENTERTAINMENT CORP | | COMMON STOCK KRW500. | | 4,386 | | | | 211,001 | |
| | NIBE INDUSTRIER AB B SHS | | COMMON STOCK SEK.625 | | 17,035 | | | | 572,670 | |
| | NICE SYSTEMS LTD | | COMMON STOCK ILS1. | | 8,269 | | | | 474,426 | |
| | NICE SYSTEMS LTD SPONS ADR | | ADR | | 4,220 | | | | 241,890 | |
| | NICHI IKO PHARMACEUTICAL CO | | COMMON STOCK | | 17,000 | | | | 403,590 | |
| | NICHIAS CORP | | COMMON STOCK | | 31,000 | | | | 203,778 | |
| | NICHIHA CORP | | COMMON STOCK | | 9,200 | | | | 138,096 | |
| | NICHII GAKKAN CO | | COMMON STOCK | | 12,500 | | | | 90,764 | |
| | NIDEC CORP | | COMMON STOCK | | 39,100 | | | | 2,827,798 | |
| | NIFCO INC | | COMMON STOCK | | 8,600 | | | | 397,208 | |
| | NIHON NOHYAKU CO LTD | | COMMON STOCK | | 17,000 | | | | 105,963 | |
| | NIKKISO CO LTD | | COMMON STOCK | | 12,000 | | | | 94,922 | |
| | NIKON CORP | | COMMON STOCK | | 54,900 | | | | 732,800 | |
| | NINE DRAGONS PAPER HOLDINGS | | COMMON STOCK HKD.1 | | 318,000 | | | | 186,534 | |
| | NINTENDO CO LTD | | COMMON STOCK | | 19,100 | | | | 2,627,156 | |
| | NIPPON ACCOMMODATIONS FUND | | REIT | | 90 | | | | 313,501 | |
| | NIPPON BEET SUGAR MFG CO LTD | | COMMON STOCK | | 41,000 | | | | 68,891 | |
| | NIPPON BUILDING FUND INC | | REIT | | 230 | | | | 1,097,682 | |
| | NIPPON CERAMIC CO LTD | | COMMON STOCK | | 5,600 | | | | 88,518 | |
| | NIPPON DENSETSU KOGYO CO LTD | | COMMON STOCK | | 13,000 | | | | 283,028 | |
| | NIPPON ELECTRIC GLASS CO LTD | | COMMON STOCK | | 63,000 | | | | 317,397 | |
| | NIPPON EXPRESS CO LTD | | COMMON STOCK | | 150,000 | | | | 703,202 | |
| | NIPPON FLOUR MILLS CO LTD | | COMMON STOCK | | 17,000 | | | | 121,683 | |
| | NIPPON KANZAI CO LTD | | COMMON STOCK | | 12,400 | | | | 194,903 | |
| | NIPPON KAYAKU CO LTD | | COMMON STOCK | | 31,000 | | | | 325,344 | |
| | NIPPON PAINT HOLDINGS CO LTD | | COMMON STOCK | | 30,800 | | | | 744,405 | |
| | NIPPON PAPER INDUSTRIES CO L | | COMMON STOCK | | 27,400 | | | | 443,147 | |
| | NIPPON PROLOGIS REIT INC | | REIT | | 258 | | | | 465,838 | |
| | NIPPON SHARYO LTD | | COMMON STOCK | | 38,000 | | | | 91,160 | |
| | NIPPON SHEET GLASS CO LTD | | COMMON STOCK | | 142,000 | | | | 114,410 | |
| | NIPPON SHINYAKU CO LTD | | COMMON STOCK | | 13,000 | | | | 479,615 | |
| | NIPPON SIGNAL COMPANY LTD | | COMMON STOCK | | 11,900 | | | | 129,156 | |
| | NIPPON SODA CO LTD | | COMMON STOCK | | 40,000 | | | | 237,413 | |
| | NIPPON STEEL + SUMITOMO META | | COMMON STOCK | | 124,900 | | | | 2,471,078 | |
| | NIPPON SUISAN KAISHA LTD | | COMMON STOCK | | 57,500 | | | | 319,163 | |
| | NIPPON TELEGRAPH + TELEPHONE | | COMMON STOCK | | 125,000 | | | | 4,958,604 | |
| | NIPPON YUSEN KK | | COMMON STOCK | | 333,000 | | | | 806,455 | |
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| | NISHI NIPPON CITY BANK LTD | | COMMON STOCK | | 120,000 | | | | 315,295 | |
| | NISHIMATSUYA CHAIN CO LTD | | COMMON STOCK | | 8,900 | | | | 77,200 | |
| | NISSAN CHEMICAL INDUSTRIES | | COMMON STOCK | | 27,000 | | | | 612,543 | |
| | NISSAN MOTOR CO LTD | | COMMON STOCK | | 412,800 | | | | 4,319,601 | |
| | NISSHA PRINTING CO LTD | | COMMON STOCK | | 8,600 | | | | 167,394 | |
| | NISSHIN SEIFUN GROUP INC | | COMMON STOCK | | 37,500 | | | | 611,765 | |
| | NISSHIN STEEL CO LTD | | COMMON STOCK | | 16,400 | | | | 172,932 | |
| | NISSHINBO HOLDINGS INC | | COMMON STOCK | | 33,000 | | | | 346,055 | |
| | NISSIN CORP | | COMMON STOCK | | 42,000 | | | | 120,288 | |
| | NISSIN FOODS HOLDINGS CO LTD | | COMMON STOCK | | 12,000 | | | | 635,334 | |
| | NITORI HOLDINGS CO LTD | | COMMON STOCK | | 12,900 | | | | 1,083,315 | |
| | NITTA CORP | | COMMON STOCK | | 7,300 | | | | 199,028 | |
| | NITTO BOSEKI CO LTD | | COMMON STOCK | | 44,000 | | | | 117,983 | |
| | NITTO DENKO CORP | | COMMON STOCK | | 28,900 | | | | 2,106,352 | |
| | NITTO KOGYO CORP | | COMMON STOCK | | 12,900 | | | | 224,438 | |
| | NITTO KOHKI CO LTD | | COMMON STOCK | | 6,500 | | | | 138,643 | |
| | NKT HOLDING A/S | | COMMON STOCK DKK20. | | 6,401 | | | | 329,387 | |
| | NN GROUP NV | | COMMON STOCK | | 34,055 | | | | 1,197,065 | |
| | NOBIA AB | | COMMON STOCK SEK.33 | | 40,512 | | | | 506,927 | |
| | NOBLE GROUP LTD | | COMMON STOCK HKD.25 | | 845,517 | | | | 235,077 | |
| | NOHMI BOSAI LTD | | COMMON STOCK | | 16,000 | | | | 199,590 | |
| | NOK CORP | | COMMON STOCK | | 27,500 | | | | 642,228 | |
| | NOKIA OYJ | | COMMON STOCK | | 586,572 | | | | 4,174,096 | |
| | NOKIAN RENKAAT OYJ | | COMMON STOCK | | 18,286 | | | | 649,253 | |
| | NOMURA HOLDINGS INC | | COMMON STOCK | | 674,500 | | | | 3,745,548 | |
| | NOMURA REAL ESTATE HOLDINGS | | COMMON STOCK | | 26,500 | | | | 490,470 | |
| | NOMURA REAL ESTATE MASTER FU | | REIT | | 591 | | | | 730,917 | |
| | NOMURA RESEARCH INSTITUTE LT | | COMMON STOCK | | 23,500 | | | | 902,470 | |
| | NONG SHIM HOLDINGS CO | | COMMON STOCK KRW5000. | | 1,463 | | | | 190,978 | |
| | NONGSHIM CO LTD | | COMMON STOCK KRW5000. | | 853 | | | | 317,916 | |
| | NORBORD INC | | COMMON STOCK | | 13,350 | | | | 259,004 | |
| | NORDEA BANK AB | | COMMON STOCK SEK1.0 | | 501,122 | | | | 5,475,105 | |
| | NORDEX SE | | COMMON STOCK | | 18,175 | | | | 645,797 | |
| | NORDNET AB B SHARES | | COMMON STOCK SEK1.0 | | 46,813 | | | | 225,410 | |
| | NORITZ CORP | | COMMON STOCK | | 6,100 | | | | 93,086 | |
| | NORSK HYDRO ASA | | COMMON STOCK NOK1.098 | | 233,266 | | | | 867,598 | |
| | NORSTAR HOLDINGS INC | | COMMON STOCK USD1.0 | | 10,014 | | | | 163,403 | |
| | NORTH PACIFIC BANK LTD | | COMMON STOCK | | 56,800 | | | | 195,707 | |
| | NORTH WEST CO INC/THE | | COMMON STOCK | | 14,500 | | | | 299,269 | |
| | NORTHAM PLATINUM LTD | | COMMON STOCK ZAR.0001 | | 80,931 | | | | 138,940 | |
| | NORTHERN STAR RESOURCES LTD | | COMMON STOCK | | 85,219 | | | | 172,382 | |
| | NORTHGATE PLC | | COMMON STOCK GBP.5 | | 32,658 | | | | 189,349 | |
| | NORTHVIEW APARTMENT REAL EST | | REIT | | 6,600 | | | | 83,432 | |
| | NORWEGIAN AIR SHUTTLE AS | | COMMON STOCK NOK.1 | | 7,652 | | | | 278,479 | |
| | NORWEGIAN KRONE | | FOREIGN CURRENCY | | 2,597,003 | | | | 293,402 | |
| | NOS SGPS | | COMMON STOCK EUR.01 | | 42,139 | | | | 331,276 | |
| | NOVAGOLD RESOURCES INC | | COMMON STOCK | | 68,400 | | | | 286,087 | |
| | NOVARTIS AG REG | | COMMON STOCK CHF.5 | | 378,569 | | | | 32,378,185 | |
| | NOVATEK MICROELECTRONICS COR | | COMMON STOCK TWD10. | | 97,822 | | | | 379,952 | |
| | NOVATEK OAO SPONS GDR REG S | | GDR | | 15,758 | | | | 1,291,755 | |
| | NOVO NORDISK A/S B | | COMMON STOCK DKK.2 | | 321,857 | | | | 18,493,462 | |
| | NOVOZYMES A/S B SHARES | | COMMON STOCK DKK2.0 | | 43,007 | | | | 2,058,599 | |
| | NSD CO LTD | | COMMON STOCK | | 19,200 | | | | 276,301 | |
| | NSI NV | | REIT EUR.46 | | 39,560 | | | | 170,629 | |
| | NSK LTD | | COMMON STOCK | | 84,000 | | | | 910,308 | |
| | NTN CORP | | COMMON STOCK | | 89,000 | | | | 374,983 | |
| | NTPC LTD | | COMMON STOCK INR10. | | 242,576 | | | | 530,100 | |
| | NTT DATA CORP | | COMMON STOCK | | 21,300 | | | | 1,028,093 | |
| | NTT DOCOMO INC | | COMMON STOCK | | 252,700 | | | | 5,174,919 | |
| | NTT URBAN DEVELOPMENT CORP | | COMMON STOCK | | 25,000 | | | | 240,041 | |
| | NUFARM LTD | | COMMON STOCK | | 44,406 | | | | 268,532 | |
| | NUMERICABLE SFR | | COMMON STOCK EUR1.0 | | 17,644 | | | | 640,353 | |
| | NUVISTA ENERGY LTD | | COMMON STOCK | | 38,100 | | | | 111,631 | |
| | NWS HOLDINGS LTD | | COMMON STOCK HKD1.0 | | 336,437 | | | | 498,253 | |
| | NXP SEMICONDUCTORS NV | | COMMON STOCK | | 19,652 | | | | 1,655,681 | |
| | NYRSTAR NV | | COMMON STOCK | | 71,062 | | | | 122,940 | |
| | OBAYASHI CORP | | COMMON STOCK | | 135,000 | | | | 1,244,433 | |
| | OBIC CO LTD | | COMMON STOCK | | 13,300 | | | | 704,467 | |
| | OBRASCON HUARTE LAIN S.A. | | COMMON STOCK EUR.6 | | 32,136 | | | | 182,750 | |
| | OC OERLIKON CORP AG REG | | COMMON STOCK CHF1.0 | | 42,769 | | | | 379,297 | |
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| | OCADO GROUP PLC | | COMMON STOCK GBP.02 | | 93,773 | | | | 417,649 | |
| | OCI CO LTD | | COMMON STOCK KRW5000. | | 3,630 | | | | 229,413 | |
| | OCI NV | | COMMON STOCK EUR20.0 | | 15,131 | | | | 372,348 | |
| | ODAKYU ELECTRIC RAILWAY CO | | COMMON STOCK | | 106,000 | | | | 1,140,138 | |
| | ODONTOPREV S.A. | | COMMON STOCK | | 150,712 | | | | 359,118 | |
| | OIL + NATURAL GAS CORP LTD | | COMMON STOCK INR5. | | 159,271 | | | | 574,449 | |
| | OIL SEARCH LTD | | COMMON STOCK | | 225,211 | | | | 1,100,864 | |
| | OILES CORP | | COMMON STOCK | | 7,200 | | | | 124,582 | |
| | OITA BANK LTD/THE | | COMMON STOCK | | 27,000 | | | | 104,988 | |
| | OJI HOLDINGS CORP | | COMMON STOCK | | 181,000 | | | | 728,909 | |
| | OKAMOTO INDUSTRIES INC | | COMMON STOCK | | 30,000 | | | | 271,584 | |
| | OKI ELECTRIC INDUSTRY CO LTD | | COMMON STOCK | | 158,000 | | | | 197,862 | |
| | OKINAWA ELECTRIC POWER CO | | COMMON STOCK | | 2,700 | | | | 69,830 | |
| | OKUMA CORP | | COMMON STOCK | | 36,000 | | | | 290,674 | |
| | OLD MUTUAL PLC | | COMMON STOCK GBP.1142857 | | 824,450 | | | | 2,170,252 | |
| | OLYMPUS CORP | | COMMON STOCK | | 48,200 | | | | 1,896,850 | |
| | OMRON CORP | | COMMON STOCK | | 36,600 | | | | 1,218,086 | |
| | OMV AG | | COMMON STOCK | | 26,382 | | | | 740,305 | |
| | ONEX CORPORATION | | COMMON STOCK | | 15,355 | | | | 937,593 | |
| | ONO PHARMACEUTICAL CO LTD | | COMMON STOCK | | 15,000 | | | | 2,663,808 | |
| | ONWARD HOLDINGS CO LTD | | COMMON STOCK | | 24,000 | | | | 147,126 | |
| | OOREDOO QSC | | COMMON STOCK QAR10. | | 17,362 | | | | 357,066 | |
| | OPAP SA | | COMMON STOCK EUR.3 | | 37,643 | | | | 330,830 | |
| | OPEN HOUSE CO LTD | | COMMON STOCK | | 14,000 | | | | 269,364 | |
| | OPEN TEXT CORP | | COMMON STOCK | | 22,100 | | | | 1,055,442 | |
| | OPERA SOFTWARE ASA | | COMMON STOCK NOK.02 | | 28,642 | | | | 162,107 | |
| | OPHIR ENERGY PLC | | COMMON STOCK GBP.0025 | | 147,560 | | | | 212,958 | |
| | ORACLE CORP JAPAN | | COMMON STOCK | | 6,700 | | | | 312,193 | |
| | ORANGE | | COMMON STOCK EUR4. | | 335,616 | | | | 5,628,077 | |
| | ORICA LTD | | COMMON STOCK | | 65,644 | | | | 733,144 | |
| | ORIENT CORP | | COMMON STOCK | | 68,000 | | | | 142,303 | |
| | ORIENT OVERSEAS INTL LTD | | COMMON STOCK USD.1 | | 58,400 | | | | 279,381 | |
| | ORIENTAL LAND CO LTD | | COMMON STOCK | | 35,000 | | | | 2,105,480 | |
| | ORIENTAL WEAVERS | | COMMON STOCK EGP1.0 | | 361,259 | | | | 362,179 | |
| | ORIFLAME HOLDING AG | | COMMON STOCK CHF1.5 | | 11,021 | | | | 177,788 | |
| | ORIGIN ENERGY LTD | | COMMON STOCK | | 296,810 | | | | 998,252 | |
| | ORIOLA KD OYJ B SHARES | | COMMON STOCK | | 57,766 | | | | 270,396 | |
| | ORION CORP | | COMMON STOCK KRW5000. | | 710 | | | | 701,782 | |
| | ORION OYJ CLASS B | | COMMON STOCK EUR.65 | | 18,047 | | | | 621,864 | |
| | ORIX CORP | | COMMON STOCK | | 226,400 | | | | 3,173,333 | |
| | ORIX JREIT INC | | REIT | | 413 | | | | 533,978 | |
| | ORKLA ASA | | COMMON STOCK NOK1.25 | | 139,022 | | | | 1,097,186 | |
| | ORORA LTD | | COMMON STOCK | | 278,496 | | | | 452,037 | |
| | ORPEA | | COMMON STOCK EUR1.25 | | 6,017 | | | | 480,627 | |
| | OSAKA GAS CO LTD | | COMMON STOCK | | 336,000 | | | | 1,210,527 | |
| | OSAKA TITANIUM TECHNOLOGIES | | COMMON STOCK | | 6,500 | | | | 133,067 | |
| | OSISKO GOLD ROYALTIES LTD | | COMMON STOCK | | 24,426 | | | | 240,374 | |
| | OSRAM LICHT AG | | COMMON STOCK | | 15,769 | | | | 663,248 | |
| | OTOKAR OTOMOTIV VE SAVUNMA | | COMMON STOCK TRY1. | | 4,958 | | | | 152,522 | |
| | OTP BANK PLC | | COMMON STOCK HUF100. | | 38,984 | | | | 801,954 | |
| | OTSUKA CORP | | COMMON STOCK | | 13,100 | | | | 641,888 | |
| | OTSUKA HOLDINGS CO LTD | | COMMON STOCK | | 65,800 | | | | 2,325,849 | |
| | OUTOKUMPU OYJ | | COMMON STOCK | | 35,447 | | | | 103,544 | |
| | OUTOTEC OYJ | | COMMON STOCK | | 28,508 | | | | 103,837 | |
| | OVERSEA CHINESE BANKING CORP | | COMMON STOCK | | 492,302 | | | | 3,041,048 | |
| | OYO CORP | | COMMON STOCK | | 8,900 | | | | 100,134 | |
| | OZ MINERALS LTD | | COMMON STOCK | | 73,233 | | | | 212,694 | |
| | PACE PLC | | COMMON STOCK GBP.05 | | 55,735 | | | | 341,242 | |
| | PACIFIC BASIN SHIPPING LTD | | COMMON STOCK USD.1 | | 566,000 | | | | 123,304 | |
| | PACIFIC BRANDS LTD | | COMMON STOCK | | 262,308 | | | | 149,611 | |
| | PACIFIC EXPLORATION + PROD | | COMMON STOCK | | 65,700 | | | | 80,878 | |
| | PACIFIC METALS CO LTD | | COMMON STOCK | | 32,000 | | | | 89,204 | |
| | PADDY POWER PLC | | COMMON STOCK EUR.09 | | 9,266 | | | | 1,239,630 | |
| | PAGE INDUSTRIES LTD | | COMMON STOCK INR10. | | 1,195 | | | | 240,869 | |
| | PAKISTAN RUPEE | | FOREIGN CURRENCY | | 9,593,653 | | | | 91,599 | |
| | PALFINGER AG | | COMMON STOCK | | 5,682 | | | | 162,691 | |
| | PAN AMERICAN SILVER CORP | | COMMON STOCK | | 41,796 | | | | 271,098 | |
| | PAN INTERNATIONAL INDUSTRIAL | | COMMON STOCK TWD10. | | 126,678 | | | | 49,732 | |
| | PANALPINA WELTTRANSPORT REG | | COMMON STOCK CHF.1 | | 2,602 | | | | 289,165 | |
| | PANASONIC CORP | | COMMON STOCK | | 385,400 | | | | 3,908,134 | |
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| | PANDORA A/S | | COMMON STOCK DKK1. | | 17,357 | | | | 2,189,351 | |
| | PAPELES Y CARTONES DE EUROPA | | COMMON STOCK EUR2.0 | | 27,907 | | | | 157,270 | |
| | PARADISE CO LTD | | COMMON STOCK KRW500. | | 13,634 | | | | 202,864 | |
| | PARAGON GROUP COMPANIES PLC | | COMMON STOCK GBP1.0 | | 60,142 | | | | 312,055 | |
| | PARAMOUNT BED HOLDINGS CO LT | | COMMON STOCK | | 7,500 | | | | 265,306 | |
| | PARAMOUNT RESOURCES LTD A | | COMMON STOCK | | 22,600 | | | | 99,570 | |
| | PARGESA HOLDING SA BR | | COMMON STOCK CHF20.0 | | 6,680 | | | | 421,087 | |
| | PARK24 CO LTD | | COMMON STOCK | | 16,100 | | | | 390,333 | |
| | PARKWAYLIFE REAL ESTATE | | REIT | | 146,000 | | | | 239,680 | |
| | PARQUE ARAUCO S.A. | | COMMON STOCK | | 322,985 | | | | 509,928 | |
| | PARTNER COMMUNICATIONS CO | | COMMON STOCK ILS.01 | | 33,599 | | | | 148,346 | |
| | PARTNERS GROUP HOLDING AG | | COMMON STOCK CHF.01 | | 3,041 | | | | 1,092,481 | |
| | PASON SYSTEMS INC | | COMMON STOCK | | 17,800 | | | | 248,464 | |
| | PAX GLOBAL TECHNOLOGY LTD | | COMMON STOCK HKD.1 | | 192,000 | | | | 196,431 | |
| | PEAB AB | | COMMON STOCK SEK5.35 | | 38,172 | | | | 292,696 | |
| | PEARSON PLC | | COMMON STOCK GBP.25 | | 137,542 | | | | 1,486,125 | |
| | PEGATRON CORP | | COMMON STOCK TWD10. | | 435,853 | | | | 947,491 | |
| | PEMBINA PIPELINE CORP | | COMMON STOCK | | 60,132 | | | | 1,305,147 | |
| | PENGROWTH ENERGY CORP | | COMMON STOCK | | 112,200 | | | | 82,387 | |
| | PENN WEST PETROLEUM LTD | | COMMON STOCK | | 124,085 | | | | 104,513 | |
| | PENNON GROUP PLC | | COMMON STOCK GBP.407 | | 66,221 | | | | 839,824 | |
| | PENTA OCEAN CONSTRUCTION CO | | COMMON STOCK | | 63,200 | | | | 263,757 | |
| | PEOPLE S INSURANCE CO GROU H | | COMMON STOCK CNY1.0 | | 1,181,000 | | | | 573,657 | |
| | PERNOD RICARD SA | | COMMON STOCK EUR1.55 | | 35,641 | | | | 4,050,384 | |
| | PERPETUAL LTD | | COMMON STOCK | | 10,102 | | | | 340,108 | |
| | PERSIMMON PLC | | COMMON STOCK GBP.1 | | 56,670 | | | | 1,692,043 | |
| | PERUSAHAAN GAS NEGARA PERSER | | COMMON STOCK IDR100. | | 2,371,000 | | | | 468,950 | |
| | PERUVIAN NOUVEAU SOL | | FOREIGN CURRENCY | | 640,507 | | | | 187,752 | |
| | PESCANOVA SA | | COMMON STOCK EUR6. | | 7,948 | | | | 86 | |
| | PETROBRAS PETROLEO BRAS | | COMMON STOCK | | 487,303 | | | | 1,049,406 | |
| | PETROBRAS PETROLEO BRAS PR | | PREFERENCE | | 711,517 | | | | 1,207,191 | |
| | PETROBRAS ARGENTINA SA B | | COMMON STOCK ARS1. | | 6 | | | | 4 | |
| | PETROCHINA CO LTD H | | COMMON STOCK CNY1.0 | | 3,476,000 | | | | 2,290,822 | |
| | PETROFAC LTD | | COMMON STOCK USD.02 | | 43,595 | | | | 510,680 | |
| | PETROLEUM GEO SERVICES | | COMMON STOCK NOK3. | | 46,998 | | | | 191,903 | |
| | PETRONAS CHEMICALS GROUP BHD | | COMMON STOCK MYR.1 | | 519,500 | | | | 879,143 | |
| | PETRONAS DAGANGAN BHD | | COMMON STOCK MYR1. | | 67,000 | | | | 387,892 | |
| | PETRONAS GAS BHD | | COMMON STOCK MYR1. | | 107,100 | | | | 566,104 | |
| | PEUGEOT SA | | COMMON STOCK EUR1. | | 77,233 | | | | 1,353,629 | |
| | PEYTO EXPLORATION + DEV CORP | | COMMON STOCK | | 27,900 | | | | 499,513 | |
| | PFEIFFER VACUUM TECHNOLOGY | | COMMON STOCK | | 3,406 | | | | 346,895 | |
| | PGE SA | | COMMON STOCK PLN10. | | 145,687 | | | | 469,721 | |
| | PHARMA MAR SA | | COMMON STOCK EUR.05 | | 97,725 | | | | 266,458 | |
| | PHILIP MORRIS CR AS | | COMMON STOCK CZK1000.0 | | 154 | | | | 74,185 | |
| | PHILIPPINE LONG DISTANCE TEL | | COMMON STOCK PHP5. | | 14,867 | | | | 645,590 | |
| | PHILIPPINE PESO | | FOREIGN CURRENCY | | 22,641,347 | | | | 481,168 | |
| | PHISON ELECTRONICS CORP | | COMMON STOCK TWD10. | | 54,229 | | | | 381,062 | |
| | PHOENIX GROUP HOLDINGS | | COMMON STOCK EUR.0001 | | 32,394 | | | | 437,544 | |
| | PIAGGIO + C. S.P.A. | | COMMON STOCK | | 57,589 | | | | 144,756 | |
| | PICC PROPERTY + CASUALTY H | | COMMON STOCK CNY1.0 | | 600,873 | | | | 1,184,357 | |
| | PICCOLO CREDITO VALTELLINESE | | COMMON STOCK | | 254,803 | | | | 300,910 | |
| | PICK N PAY STORES LTD | | COMMON STOCK ZAR.0125 | | 53,459 | | | | 223,719 | |
| | PIGEON CORP | | COMMON STOCK | | 19,000 | | | | 460,966 | |
| | PIHSIANG MACHINERY MFG CO | | COMMON STOCK TWD10. | | 190,000 | | | | 410,842 | |
| | PILOT CORP | | COMMON STOCK | | 12,800 | | | | 523,172 | |
| | PING AN INSURANCE GROUP CO H | | COMMON STOCK CNY1.0 | | 868,000 | | | | 4,757,909 | |
| | PIONEER CORP | | COMMON STOCK | | 108,300 | | | | 297,445 | |
| | PIONEER FOODS GROUP LTD | | COMMON STOCK ZAR.1 | | 25,220 | | | | 258,442 | |
| | PIRAEUS BANK S.A | | COMMON STOCK EUR.3 | | 3,773 | | | | 1,137 | |
| | PIRAMAL ENTERPRISES LTD | | COMMON STOCK INR2. | | 17,100 | | | | 259,608 | |
| | PIXART IMAGING INC | | COMMON STOCK TWD10. | | 105,509 | | | | 255,196 | |
| | PKO BANK POLSKI SA | | COMMON STOCK PLN1. | | 141,881 | | | | 980,962 | |
| | PLASSON INDUSTRIES LTD | | COMMON STOCK ILS1. | | 5,820 | | | | 147,359 | |
| | PLAYTECH PLC | | COMMON STOCK | | 36,107 | | | | 442,081 | |
| | PLENUS CO LTD | | COMMON STOCK | | 10,100 | | | | 168,434 | |
| | POLISH ZLOTY | | FOREIGN CURRENCY | | 4,152,515 | | | | 1,051,549 | |
| | POLSKI KONCERN NAFTOWY ORLEN | | COMMON STOCK PLN1.25 | | 61,326 | | | | 1,046,640 | |
| | POLSKIE GORNICTWO NAFTOWE I | | COMMON STOCK PLN1. | | 349,361 | | | | 453,851 | |
| | POLY PROPERTY GROUP CO LTD | | COMMON STOCK | | 379,000 | | | | 122,041 | |
| | POLYTEC ASSET HOLDINGS LTD | | COMMON STOCK HKD.1 | | 645,000 | | | | 58,867 | |
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| | PORSCHE AUTOMOBIL HLDG PRF | | PREFERENCE | | 26,787 | | | | 1,450,943 | |
| | PORTUCEL SA | | COMMON STOCK EUR1. | | 74,345 | | | | 289,072 | |
| | POSCO | | COMMON STOCK KRW5000. | | 10,236 | | | | 1,456,162 | |
| | POSCO SPON ADR | | ADR | | 5,870 | | | | 207,563 | |
| | POSTNL NV | | COMMON STOCK EUR.08 | | 79,308 | | | | 299,743 | |
| | POTASH CORP OF SASKATCHEWAN | | COMMON STOCK | | 142,196 | | | | 2,426,064 | |
| | POU CHEN | | COMMON STOCK TWD10. | | 513,520 | | | | 668,863 | |
| | POUND STERLING | | FOREIGN CURRENCY | | 1,368,340 | | | | 2,016,796 | |
| | POWER ASSETS HOLDINGS LTD | | COMMON STOCK | | 229,500 | | | | 2,112,935 | |
| | POWER CORP OF CANADA | | COMMON STOCK | | 64,922 | | | | 1,352,561 | |
| | POWER FINANCIAL CORP | | COMMON STOCK | | 45,500 | | | | 1,041,937 | |
| | POWERTECH TECHNOLOGY INC | | COMMON STOCK TWD10. | | 168,897 | | | | 332,856 | |
| | POWSZECHNY ZAKLAD UBEZPIECZE | | COMMON STOCK PLN.1 | | 63,697 | | | | 545,739 | |
| | PPB GROUP BERHAD | | COMMON STOCK MYR1. | | 112,500 | | | | 415,712 | |
| | PPC LTD | | COMMON STOCK | | 128,294 | | | | 127,407 | |
| | PRAIRIESKY ROYALTY LTD | | COMMON STOCK | | 28,700 | | | | 452,886 | |
| | PRECINCT PROPERTIES NEW ZEAL | | COMMON STOCK | | 428,022 | | | | 365,739 | |
| | PRECISION DRILLING CORP | | COMMON STOCK | | 62,700 | | | | 246,900 | |
| | PREMIER FARNELL PLC | | COMMON STOCK GBP.05 | | 71,099 | | | | 102,685 | |
| | PREMIER FOODS PLC | | COMMON STOCK GBP.1 | | 180,949 | | | | 104,617 | |
| | PREMIER OIL PLC | | COMMON STOCK GBP.125 | | 130,313 | | | | 92,922 | |
| | PRESIDENT CHAIN STORE CORP | | COMMON STOCK TWD10. | | 97,608 | | | | 608,665 | |
| | PRESS KOGYO CO LTD | | COMMON STOCK | | 46,500 | | | | 201,612 | |
| | PRIMARY HEALTH CARE LTD | | COMMON STOCK | | 103,845 | | | | 175,563 | |
| | PROGRESSIVE WASTE SOLUTIONS | | COMMON STOCK | | 23,000 | | | | 539,774 | |
| | PROMOS TECHNOLOGIES INC | | COMMON STOCK TWD10. | | 602,750 | | | | — | |
| | PROMOTORA DE INFORMACIONES A | | COMMON STOCK EUR3.0 | | 14,486 | | | | 81,462 | |
| | PROMOTORA Y OPERADORA DE INF | | COMMON STOCK | | 71,500 | | | | 840,059 | |
| | PROSAFE SE | | COMMON STOCK EUR.25 | | 59,154 | | | | 140,197 | |
| | PROSEGUR COMP SEGURIDAD | | COMMON STOCK EUR.06 | | 57,620 | | | | 265,917 | |
| | PROSIEBENSAT.1 MEDIA SE | | COMMON STOCK | | 38,230 | | | | 1,933,026 | |
| | PROVIDENT FINANCIAL PLC | | COMMON STOCK GBP.2072727 | | 26,021 | | | | 1,288,519 | |
| | PROXIMUS | | COMMON STOCK | | 26,584 | | | | 862,103 | |
| | PRUDENTIAL PLC | | COMMON STOCK GBP.05 | | 431,006 | | | | 9,647,359 | |
| | PRYSMIAN SPA | | COMMON STOCK EUR.1 | | 35,837 | | | | 783,569 | |
| | PSG GROUP LTD | | COMMON STOCK ZAR.01 | | 18,817 | | | | 270,859 | |
| | PSP SWISS PROPERTY AG REG | | COMMON STOCK CHF.1 | | 8,009 | | | | 701,880 | |
| | PTC INDIA LTD | | COMMON STOCK INR10. | | 163,911 | | | | 163,654 | |
| | PTG ENERGY PCL FOREIGN | | FOREIGN SH. THB1.0 A | | 1,459,800 | | | | 527,370 | |
| | PTT EXPLORATION + PROD FOR | | FOREIGN SH. THB1.0 A | | 265,912 | | | | 423,050 | |
| | PTT GLOBAL CHEMICAL PCL FOR | | FOREIGN SH. THB10.0 A | | 454,442 | | | | 631,433 | |
| | PTT PCL/FOREIGN | | FOREIGN SH. THB10.0 A | | 154,624 | | | | 1,048,444 | |
| | PUBLIC BANK BERHAD | | COMMON STOCK MYR1. | | 426,281 | | | | 1,836,855 | |
| | PUBLIC POWER CORP | | COMMON STOCK EUR4.6 | | 25,040 | | | | 105,515 | |
| | PUBLICIS GROUPE | | COMMON STOCK EUR.4 | | 31,576 | | | | 2,093,393 | |
| | QANTAS AIRWAYS LTD | | COMMON STOCK | | 179,530 | | | | 531,556 | |
| | QATAR NATIONAL BANK | | COMMON STOCK QAR10. | | 15,427 | | | | 739,318 | |
| | QATARI RIAL | | FOREIGN CURRENCY | | 369,024 | | | | 101,316 | |
| | QBE INSURANCE GROUP LTD | | COMMON STOCK | | 229,022 | | | | 2,080,262 | |
| | QIAGEN N.V. | | COMMON STOCK EUR.01 | | 40,200 | | | | 1,087,152 | |
| | QIHOO 360 TECHNOLOGY CO ADR | | ADR USD.001 | | 2,200 | | | | 160,182 | |
| | QISDA CORP | | COMMON STOCK TWD10. | | 551,955 | | | | 182,097 | |
| | QSC AG | | COMMON STOCK | | 58,754 | | | | 96,263 | |
| | QUALITY HOUSE PCL FOREIGN | | FOREIGN SH. THB1.0 A | | 2,184,438 | | | | 139,619 | |
| | QUANTA COMPUTER INC | | COMMON STOCK TWD10. | | 393,511 | | | | 628,669 | |
| | QUIMICA Y MINERA CHIL SP ADR | | ADR USD1. | | 20,355 | | | | 386,949 | |
| | QUNAR CAYMAN ISLANDS LTD ADR | | ADR USD.001 | | 9,300 | | | | 490,482 | |
| | RADIANT OPTO ELECTRONICS COR | | COMMON STOCK TWD10. | | 90,000 | | | | 204,303 | |
| | RADIUM LIFE TECH CO LTD | | COMMON STOCK TWD10. | | 134,022 | | | | 47,932 | |
| | RAIFFEISEN BANK INTERNATIONA | | COMMON STOCK | | 17,020 | | | | 248,918 | |
| | RAJESH EXPORTS LTD | | COMMON STOCK INR1. | | 7,306 | | | | 74,836 | |
| | RAKUTEN INC | | COMMON STOCK | | 177,800 | | | | 2,047,297 | |
| | RAMIRENT OYJ | | COMMON STOCK | | 9,512 | | | | 66,420 | |
| | RAMSAY HEALTH CARE LTD | | COMMON STOCK | | 24,502 | | | | 1,203,002 | |
| | RANDGOLD RESOURCES LTD | | COMMON STOCK USD.05 | | 16,238 | | | | 1,001,727 | |
| | RANDSTAD HOLDING NV | | COMMON STOCK EUR.1 | | 20,791 | | | | 1,292,763 | |
| | RATOS AB B SHS | | COMMON STOCK | | 45,969 | | | | 265,416 | |
| | RAYMOND LTD | | COMMON STOCK INR10. | | 29,378 | | | | 189,549 | |
| | REALTEK SEMICONDUCTOR CORP | | COMMON STOCK TWD10. | | 104,329 | | | | 247,364 | |
| | REC SILICON ASA | | COMMON STOCK NOK1.0 | | 657,493 | | | | 131,687 | |
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Table of Contents
| | RECALL HOLDINGS LTD | | COMMON STOCK | | 69,664 | | | | 349,440 | |
| | RECKITT BENCKISER GROUP PLC | | COMMON STOCK GBP.1 | | 107,682 | | | | 9,909,997 | |
| | RECORDATI SPA | | COMMON STOCK EUR.125 | | 19,664 | | | | 513,081 | |
| | RECRUIT HOLDINGS CO LTD | | COMMON STOCK | | 25,000 | | | | 734,497 | |
| | RED ELECTRICA CORPORACION SA | | COMMON STOCK EUR2. | | 19,980 | | | | 1,664,649 | |
| | REDEFINE PROPERTIES LTD | | REIT | | 792,809 | | | | 495,406 | |
| | REDES ENERGETICAS NACIONAIS | | COMMON STOCK EUR1. | | 52,607 | | | | 158,853 | |
| | REDROW PLC | | COMMON STOCK GBP.1 | | 66,896 | | | | 461,487 | |
| | REGUS PLC | | COMMON STOCK GBP.01 | | 149,238 | | | | 728,711 | |
| | RELIANCE CAPITAL LTD | | COMMON STOCK INR10. | | 33,074 | | | | 217,334 | |
| | RELIANCE COMMUNICATIONS LTD | | COMMON STOCK INR5. | | 235,514 | | | | 312,806 | |
| | RELIANCE INDUSTRIES LTD | | COMMON STOCK INR10. | | 225,511 | | | | 3,428,685 | |
| | RELIANCE INFRAST SP GDR 144A | | GDR | | 1,652 | | | | 40,749 | |
| | RELIANCE INFRASTRUCTURE LTD | | COMMON STOCK INR10. | | 27,667 | | | | 227,253 | |
| | RELX NV | | COMMON STOCK EUR.07 | | 175,184 | | | | 2,944,656 | |
| | RELX PLC | | COMMON STOCK GBP.144397 | | 188,453 | | | | 3,303,370 | |
| | REMGRO LTD | | COMMON STOCK | | 87,517 | | | | 1,383,712 | |
| | REMY COINTREAU | | COMMON STOCK EUR1.6 | | 4,426 | | | | 316,797 | |
| | RENAULT SA | | COMMON STOCK EUR3.81 | | 33,025 | | | | 3,309,223 | |
| | RENGO CO LTD | | COMMON STOCK | | 47,000 | | | | 200,844 | |
| | RENHE COMMERCIAL HOLDINGS | | COMMON STOCK HKD.01 | | 2,997,000 | | | | 138,920 | |
| | RENTOKIL INITIAL PLC | | COMMON STOCK GBP.01 | | 346,240 | | | | 811,614 | |
| | REPSOL SA | | COMMON STOCK EUR1. | | 177,077 | | | | 1,927,042 | |
| | REPSOL SA | | RIGHT | | 177,077 | | | | 88,293 | |
| | RESILIENT REIT LTD | | REIT | | 60,974 | | | | 453,174 | |
| | RESONA HOLDINGS INC | | COMMON STOCK | | 372,800 | | | | 1,808,015 | |
| | RESTAURANT BRANDS INTERN | | COMMON STOCK | | 36,094 | | | | 1,344,658 | |
| | RESTAURANT GROUP PLC | | COMMON STOCK GBP.28125 | | 43,260 | | | | 435,256 | |
| | REUNERT LTD | | COMMON STOCK ZAR.1 | | 40,163 | | | | 177,174 | |
| | REXAM PLC | | COMMON STOCK GBP.8035714 | | 128,648 | | | | 1,140,953 | |
| | REXEL SA | | COMMON STOCK EUR5. | | 54,219 | | | | 719,501 | |
| | REXLOT HOLDINGS LTD | | COMMON STOCK HKD.01 | | 2,052,943 | | | | 87,414 | |
| | REZIDOR HOTEL GROUP AB | | COMMON STOCK EUR.067 | | 39,128 | | | | 144,871 | |
| | RHB CAPITAL BHD | | COMMON STOCK MYR1. | | 122,931 | | | | 162,272 | |
| | RHEINMETALL AG | | COMMON STOCK | | 9,320 | | | | 620,418 | |
| | RHI AG | | COMMON STOCK | | 6,372 | | | | 123,446 | |
| | RICH DEVELOPMENT CO LTD | | COMMON STOCK TWD10. | | 443,155 | | | | 125,207 | |
| | RICHTEK TECHNOLOGY CORP | | COMMON STOCK TWD10. | | 42,251 | | | | 244,331 | |
| | RICOH CO LTD | | COMMON STOCK | | 126,600 | | | | 1,299,262 | |
| | RIGHTMOVE PLC | | COMMON STOCK GBP.01 | | 17,314 | | | | 1,046,260 | |
| | RINNAI CORP | | COMMON STOCK | | 6,200 | | | | 548,447 | |
| | RIO TINTO LTD | | COMMON STOCK | | 72,909 | | | | 2,348,625 | |
| | RIO TINTO PLC | | COMMON STOCK GBP.1 | | 209,443 | | | | 6,102,484 | |
| | RIOCAN REAL ESTATE INVST TR | | REIT | | 31,000 | | | | 528,680 | |
| | RITCHIE BROS AUCTIONEERS | | COMMON STOCK | | 20,300 | | | | 487,223 | |
| | RMB HOLDINGS LTD | | COMMON STOCK ZAR.01 | | 157,743 | | | | 563,865 | |
| | RMI HOLDINGS | | COMMON STOCK ZAR.0001 | | 129,776 | | | | 323,570 | |
| | ROAD KING INFRASTRUCTURE LTD | | COMMON STOCK HKD.1 | | 239,000 | | | | 207,832 | |
| | ROCHE HOLDING AG GENUSSCHEIN | | COMMON STOCK | | 116,939 | | | | 32,246,317 | |
| | ROCKWOOL INTL A/S B SHS | | COMMON STOCK DKK10. | | 1,500 | | | | 211,035 | |
| | ROGERS COMMUNICATIONS INC B | | COMMON STOCK | | 62,942 | | | | 2,162,258 | |
| | ROHM CO LTD | | COMMON STOCK | | 17,000 | | | | 858,414 | |
| | ROHTO PHARMACEUTICAL CO LTD | | COMMON STOCK | | 21,000 | | | | 417,010 | |
| | ROLAND DG CORP | | COMMON STOCK | | 5,400 | | | | 114,898 | |
| | ROLLS ROYCE HOLDINGS PLC | | COMMON STOCK GBP.2 | | 303,045 | | | | 2,564,593 | |
| | RONA INC | | COMMON STOCK | | 25,300 | | | | 224,933 | |
| | ROSNEFT OJSC REG S GDR | | GDR | | 91,546 | | | | 317,389 | |
| | ROSNEFT OJSC REG S GDR | | GDR | | 96,285 | | | | 334,687 | |
| | ROSSI RESIDENCIAL SA | | COMMON STOCK | | 1 | | | | 0 | |
| | ROSTELECOM PJSC | | COMMON STOCK RUB.0025 | | 214,139 | | | | 266,724 | |
| | ROTORK PLC | | COMMON STOCK GBP.005 | | 140,040 | | | | 376,469 | |
| | ROUND ONE CORP | | COMMON STOCK | | 35,100 | | | | 157,970 | |
| | ROYAL BANK OF CANADA | | COMMON STOCK | | 241,160 | | | | 12,873,093 | |
| | ROYAL BANK OF SCOTLAND GROUP | | COMMON STOCK GBP1.0 | | 541,952 | | | | 2,397,207 | |
| | ROYAL DUTCH SHELL PLC A SHS | | COMMON STOCK EUR.07 | | 670,353 | | | | 15,057,427 | |
| | ROYAL DUTCH SHELL PLC B SHS | | COMMON STOCK EUR.07 | | 408,742 | | | | 9,331,429 | |
| | ROYAL HOLDINGS CO LTD | | COMMON STOCK | | 14,700 | | | | 272,641 | |
| | ROYAL MAIL PLC | | COMMON STOCK GBP.01 | | 139,433 | | | | 907,132 | |
| | RPC GROUP PLC | | COMMON STOCK GBP.05 | | 40,090 | | | | 491,647 | |
| | RPS GROUP PLC | | COMMON STOCK GBP.03 | | 57,251 | | | | 199,833 | |
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Table of Contents
| | RSA INSURANCE GROUP PLC | | COMMON STOCK GBP1.0 | | 174,087 | | | | 1,093,725 | |
| | RTL GROUP | | COMMON STOCK | | 7,508 | | | | 626,839 | |
| | RUBIS | | COMMON STOCK EUR2.5 | | 7,472 | | | | 565,482 | |
| | RURAL ELECTRIFICATION CORP | | COMMON STOCK INR10. | | 65,305 | | | | 222,347 | |
| | RUSHYDRO PJSC | | COMMON STOCK RUB1.0 | | 29,926,600 | | | | 274,756 | |
| | RWE AG | | COMMON STOCK | | 87,805 | | | | 1,118,757 | |
| | RYANAIR HOLDINGS PLC | | COMMON STOCK EUR.006 | | 54,545 | | | | 889,376 | |
| | RYANAIR HOLDINGS PLC SP ADR | | ADR | | 290 | | | | 25,073 | |
| | RYMAN HEALTHCARE LTD | | COMMON STOCK | | 77,082 | | | | 448,074 | |
| | RYOHIN KEIKAKU CO LTD | | COMMON STOCK | | 4,400 | | | | 891,277 | |
| | S 1 CORPORATION | | COMMON STOCK KRW500. | | 4,547 | | | | 383,830 | |
| | S IMMO AG | | COMMON STOCK | | 54,496 | | | | 484,014 | |
| | S OIL CORP | | COMMON STOCK KRW2500.0 | | 9,000 | | | | 601,720 | |
| | S+P/TSX 60 IX FUT MAR16 | | XMOD 20160317 | | 13,600 | | | | 137,459 | |
| | S.A.C.I. FALABELLA | | COMMON STOCK | | 122,008 | | | | 775,914 | |
| | SA SA INTERNATIONAL HLDGS | | COMMON STOCK HKD.1 | | 421,037 | | | | 142,756 | |
| | SABMILLER PLC | | COMMON STOCK USD.1 | | 163,032 | | | | 9,763,572 | |
| | SAFRAN SA | | COMMON STOCK EUR.2 | | 49,716 | | | | 3,403,466 | |
| | SAFT GROUPE SA | | COMMON STOCK EUR1. | | 7,975 | | | | 242,919 | |
| | SAGE GROUP PLC/THE | | COMMON STOCK GBP.01051948 | | 176,345 | | | | 1,567,628 | |
| | SAI GLOBAL LTD | | COMMON STOCK | | 64,489 | | | | 195,556 | |
| | SAINSBURY (J) PLC | | COMMON STOCK GBP.285714 | | 237,958 | | | | 906,572 | |
| | SAINT MARC HOLDINGS CO LTD | | COMMON STOCK | | 7,800 | | | | 215,850 | |
| | SAIPEM SPA | | COMMON STOCK NPV | | 53,257 | | | | 427,932 | |
| | SAIZERIYA CO LTD | | COMMON STOCK | | 3,900 | | | | 97,842 | |
| | SAKATA SEED CORP | | COMMON STOCK | | 5,300 | | | | 124,654 | |
| | SALZGITTER AG | | COMMON STOCK | | 9,551 | | | | 235,724 | |
| | SAM YOUNG ELECTRONICS CO LTD | | COMMON STOCK KRW500. | | 17,460 | | | | 188,770 | |
| | SAMPO CORP | | COMMON STOCK TWD10. | | 581,316 | | | | 210,357 | |
| | SAMPO OYJ A SHS | | COMMON STOCK | | 72,180 | | | | 3,657,012 | |
| | SAMSUNG C+T CORP | | COMMON STOCK KRW100.0 | | 13,448 | | | | 1,588,126 | |
| | SAMSUNG CARD CO | | COMMON STOCK KRW5000. | | 8,611 | | | | 225,312 | |
| | SAMSUNG ELECTRO MECHANICS CO | | COMMON STOCK KRW5000. | | 11,892 | | | | 631,905 | |
| | SAMSUNG ELECTRONICS CO LTD | | COMMON STOCK KRW5000.0 | | 18,150 | | | | 19,381,144 | |
| | SAMSUNG ELECTRONICS PREF | | PREFERENCE | | 3,417 | | | | 3,162,401 | |
| | SAMSUNG ENGINEERING CO LTD | | RIGHT | | 28,506 | | | | 156,564 | |
| | SAMSUNG ENGINEERING CO LTD | | COMMON STOCK KRW5000. | | 8,446 | | | | 103,486 | |
| | SAMSUNG FINE CHEMICALS CO | | COMMON STOCK KRW5000. | | 6,024 | | | | 181,739 | |
| | SAMSUNG FIRE + MARINE INS | | COMMON STOCK KRW500. | | 6,170 | | | | 1,602,633 | |
| | SAMSUNG HEAVY INDUSTRIES | | COMMON STOCK KRW5000. | | 30,710 | | | | 280,160 | |
| | SAMSUNG LIFE INSURANCE CO LT | | COMMON STOCK KRW500. | | 13,922 | | | | 1,295,735 | |
| | SAMSUNG SDI CO LTD PFD | | COMMON STOCK KRW5000. | | 10,064 | | | | 966,395 | |
| | SAMSUNG SDS CO LTD | | COMMON STOCK KRW500.0 | | 5,400 | | | | 1,164,262 | |
| | SAMSUNG SECURITIES CO LTD | | COMMON STOCK KRW5000. | | 11,487 | | | | 402,656 | |
| | SAN A CO LTD | | COMMON STOCK | | 8,000 | | | | 359,238 | |
| | SAN AI OIL CO LTD | | COMMON STOCK | | 23,000 | | | | 187,096 | |
| | SAN IN GODO BANK LTD/THE | | COMMON STOCK | | 25,000 | | | | 202,600 | |
| | SANDS CHINA LTD | | COMMON STOCK USD.01 | | 408,400 | | | | 1,376,089 | |
| | SANDVIK AB | | COMMON STOCK SEK1.2 | | 180,791 | | | | 1,567,881 | |
| | SANKEN ELECTRIC CO LTD | | COMMON STOCK | | 34,000 | | | | 119,236 | |
| | SANKI ENGINEERING CO LTD | | COMMON STOCK | | 28,500 | | | | 244,384 | |
| | SANKYO CO LTD | | COMMON STOCK | | 9,800 | | | | 365,226 | |
| | SANKYO TATEYAMA INC | | COMMON STOCK | | 7,500 | | | | 95,306 | |
| | SANKYU INC | | COMMON STOCK | | 52,000 | | | | 264,539 | |
| | SANLAM LTD | | COMMON STOCK ZAR.01 | | 325,430 | | | | 1,260,063 | |
| | SANOFI | | COMMON STOCK EUR2. | | 196,260 | | | | 16,739,105 | |
| | SANOMA OYJ | | COMMON STOCK | | 16,040 | | | | 67,781 | |
| | SANRIO CO LTD | | COMMON STOCK | | 9,700 | | | | 226,909 | |
| | SANTEN PHARMACEUTICAL CO LTD | | COMMON STOCK | | 65,500 | | | | 1,076,281 | |
| | SANTOS LTD | | COMMON STOCK | | 313,536 | | | | 828,516 | |
| | SANYANG MOTOR CO LTD | | COMMON STOCK TWD10.0 | | 206,140 | | | | 137,423 | |
| | SAP SE | | COMMON STOCK | | 164,540 | | | | 13,100,384 | |
| | SAPPI LIMITED | | COMMON STOCK ZAR1. | | 108,677 | | | | 454,462 | |
| | SAPPORO HOLDINGS LTD | | COMMON STOCK | | 83,000 | | | | 363,563 | |
| | SAPURAKENCANA PETROLEUM BHD | | COMMON STOCK MYR1. | | 642,700 | | | | 302,960 | |
| | SAPUTO INC | | COMMON STOCK | | 45,800 | | | | 1,091,340 | |
| | SARTORIUS STEDIM BIOTECH | | COMMON STOCK EUR1.0 | | 1,145 | | | | 439,241 | |
| | SAS AB | | COMMON STOCK | | 49,434 | | | | 142,961 | |
| | SASOL LTD | | COMMON STOCK | | 92,742 | | | | 2,493,377 | |
| | SATO CORP | | COMMON STOCK | | 9,700 | | | | 190,902 | |
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| | SATS LTD | | COMMON STOCK | | 136,358 | | | | 368,996 | |
| | SAVILLS PLC | | COMMON STOCK GBP.025 | | 29,994 | | | | 389,578 | |
| | SAWAI PHARMACEUTICAL CO LTD | | COMMON STOCK | | 5,500 | | | | 376,243 | |
| | SBERBANK OF RUSSIA PJSC | | COMMON STOCK RUB3.0 | | 1,435,137 | | | | 1,995,063 | |
| | SBI HOLDINGS INC | | COMMON STOCK | | 41,523 | | | | 447,852 | |
| | SBM OFFSHORE NV | | COMMON STOCK EUR.25 | | 34,059 | | | | 432,825 | |
| | SCENTRE GROUP | | REIT | | 892,155 | | | | 2,699,469 | |
| | SCHIBSTED ASA B SHS | | COMMON STOCK NOK.5 | | 14,183 | | | | 450,232 | |
| | SCHIBSTED ASA CL A | | COMMON STOCK NOK.5 | | 14,086 | | | | 462,345 | |
| | SCHINDLER HOLDING AG REG | | COMMON STOCK CHF.1 | | 3,265 | | | | 548,178 | |
| | SCHINDLER HOLDING PART CERT | | COMMON STOCK CHF.1 | | 8,781 | | | | 1,471,230 | |
| | SCHNEIDER ELECTRIC SE | | COMMON STOCK EUR4.0 | | 90,776 | | | | 5,166,272 | |
| | SCHNEIDER ELECTRIC SE | | COMMON STOCK EUR4.0 | | 2,893 | | | | 166,027 | |
| | SCHOELLER BLECKMANN OILFIELD | | COMMON STOCK EUR1. | | 4,014 | | | | 219,639 | |
| | SCHRODERS PLC | | COMMON STOCK GBP1.0 | | 20,097 | | | | 875,074 | |
| | SCHWEITER TECHNOLOGIES AG BR | | COMMON STOCK CHF1.0 | | 308 | | | | 260,326 | |
| | SCOR SE | | COMMON STOCK EUR7.876972 | | 34,455 | | | | 1,288,398 | |
| | SCREEN HOLDINGS CO LTD | | COMMON STOCK | | 38,000 | | | | 279,809 | |
| | SCSK CORP | | COMMON STOCK | | 10,800 | | | | 435,463 | |
| | SEADRILL LTD | | COMMON STOCK USD2. | | 66,769 | | | | 229,847 | |
| | SEBANG CO LTD | | COMMON STOCK KRW500. | | 7,590 | | | | 108,613 | |
| | SECOM CO LTD | | COMMON STOCK | | 35,900 | | | | 2,427,319 | |
| | SECURE ENERGY SERVICES INC | | COMMON STOCK | | 35,900 | | | | 216,056 | |
| | SECURITAS AB B SHS | | COMMON STOCK SEK1. | | 59,760 | | | | 911,451 | |
| | SEEK LTD | | COMMON STOCK | | 69,959 | | | | 776,641 | |
| | SEGA SAMMY HOLDINGS INC | | COMMON STOCK | | 33,600 | | | | 313,516 | |
| | SEGRO PLC | | REIT GBP.1 | | 133,888 | | | | 845,005 | |
| | SEIKAGAKU CORP | | COMMON STOCK | | 12,600 | | | | 187,297 | |
| | SEIKO EPSON CORP | | COMMON STOCK | | 48,200 | | | | 740,180 | |
| | SEIKO HOLDINGS CORP | | COMMON STOCK | | 34,000 | | | | 191,671 | |
| | SEIREN CO LTD | | COMMON STOCK | | 17,400 | | | | 187,598 | |
| | SEKISUI CHEMICAL CO LTD | | COMMON STOCK | | 76,000 | | | | 990,517 | |
| | SEKISUI HOUSE LTD | | COMMON STOCK | | 105,600 | | | | 1,773,052 | |
| | SEKISUI JUSHI CORP | | COMMON STOCK | | 19,000 | | | | 261,492 | |
| | SEMAFO INC | | COMMON STOCK | | 71,600 | | | | 180,920 | |
| | SEMBCORP INDUSTRIES LTD | | COMMON STOCK | | 181,200 | | | | 387,536 | |
| | SEMBCORP MARINE LTD | | COMMON STOCK | | 120,200 | | | | 147,443 | |
| | SEMEN INDONESIA PERSERO TBK | | COMMON STOCK IDR100. | | 643,700 | | | | 525,059 | |
| | SEMICONDUCTOR MANUFACTURING | | COMMON STOCK USD.0004 | | 4,557,000 | | | | 462,508 | |
| | SEMPERIT AG HOLDING | | COMMON STOCK | | 3,423 | | | | 114,862 | |
| | SENIOR PLC | | COMMON STOCK GBP.1 | | 92,976 | | | | 314,515 | |
| | SENKO CO LTD | | COMMON STOCK | | 25,000 | | | | 168,604 | |
| | SENSHU IKEDA HOLDINGS INC | | COMMON STOCK | | 55,720 | | | | 229,956 | |
| | SENSHUKAI CO LTD | | COMMON STOCK | | 31,500 | | | | 207,938 | |
| | SEOBU T+D | | COMMON STOCK KRW500. | | 8,641 | | | | 159,534 | |
| | SEOUL SEMICONDUCTOR CO LTD | | COMMON STOCK KRW500. | | 13,517 | | | | 178,160 | |
| | SEPTENI HOLDINGS CO LTD | | COMMON STOCK | | 9,500 | | | | 209,618 | |
| | SERCO GROUP PLC | | COMMON STOCK GBP.02 | | 193,514 | | | | 269,292 | |
| | SES | | RECEIPT | | 54,573 | | | | 1,512,109 | |
| | SEVEN + I HOLDINGS CO LTD | | COMMON STOCK | | 124,600 | | | | 5,676,467 | |
| | SEVEN BANK LTD | | COMMON STOCK | | 96,600 | | | | 422,488 | |
| | SEVERN TRENT PLC | | COMMON STOCK GBP.9789 | | 43,609 | | | | 1,398,273 | |
| | SEVERSTAL GDR REG S | | GDR | | 49,935 | | | | 416,213 | |
| | SFA ENGINEERING CORP | | COMMON STOCK KRW500. | | 4,277 | | | | 179,832 | |
| | SFS GROUP AG | | COMMON STOCK CHF.1 | | 4,291 | | | | 297,833 | |
| | SGL CARBON SE | | COMMON STOCK | | 10,876 | | | | 152,583 | |
| | SGS SA REG | | COMMON STOCK CHF1.0 | | 962 | | | | 1,833,796 | |
| | SHAFTESBURY PLC | | REIT GBP.25 | | 48,014 | | | | 643,284 | |
| | SHANDONG WEIGAO GP MEDICAL H | | COMMON STOCK CNY.1 | | 356,000 | | | | 244,529 | |
| | SHANG GONG GROUP CO LTD B | | COMMON STOCK CNY1.0 | | 462,245 | | | | 594,910 | |
| | SHANGHAI ELECTRIC GRP CO L H | | COMMON STOCK CNY1.0 | | 626,000 | | | | 331,976 | |
| | SHANGHAI FOSUN PHARMACEUTI H | | COMMON STOCK CNY1.0 | | 108,500 | | | | 312,040 | |
| | SHANGHAI INDUSTRIAL HLDG LTD | | COMMON STOCK | | 111,000 | | | | 290,222 | |
| | SHANGHAI JIN JIANG INTL HO H | | COMMON STOCK CNY1. | | 572,000 | | | | 239,094 | |
| | SHANGHAI JINJIANG INTL B | | COMMON STOCK CNY1. | | 70,300 | | | | 166,579 | |
| | SHANGHAI LUJIAZUI FIN+TRAD B | | COMMON STOCK CNY1. | | 5,100 | | | | 20,683 | |
| | SHANGHAI PHARMACEUTICALS H | | COMMON STOCK CNY1.0 | | 197,400 | | | | 424,186 | |
| | SHANGHAI POTEVIO CO LTD B | | COMMON STOCK CNY1. | | 88,100 | | | | 201,532 | |
| | SHANGHAI SHIBEI HI TECH CO B | | COMMON STOCK CNY1. | | 55,900 | | | | 84,617 | |
| | SHANGRI LA ASIA LTD | | COMMON STOCK HKD1.0 | | 257,595 | | | | 252,467 | |
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| | SHANKS GROUP PLC | | COMMON STOCK GBP.1 | | 75,251 | | | | 106,474 | |
| | SHARP CORP | | COMMON STOCK | | 307,000 | | | | 315,930 | |
| | SHAW COMMUNICATIONS INC B | | COMMON STOCK | | 71,532 | | | | 1,225,586 | |
| | SHAWCOR LTD | | COMMON STOCK | | 15,100 | | | | 305,131 | |
| | SHENZHEN CHIWAN PETROLEUM B | | COMMON STOCK CNY1.0 | | 165,400 | | | | 423,157 | |
| | SHENZHOU INTERNATIONAL GROUP | | COMMON STOCK HKD.1 | | 121,000 | | | | 692,178 | |
| | SHIGA BANK LTD/THE | | COMMON STOCK | | 37,000 | | | | 184,958 | |
| | SHIKOKU ELECTRIC POWER CO | | COMMON STOCK | | 29,600 | | | | 461,546 | |
| | SHIMADZU CORP | | COMMON STOCK | | 47,000 | | | | 786,818 | |
| | SHIMAMURA CO LTD | | COMMON STOCK | | 3,900 | | | | 455,452 | |
| | SHIMANO INC | | COMMON STOCK | | 13,800 | | | | 2,111,872 | |
| | SHIMAO PROPERTY HOLDINGS LTD | | COMMON STOCK HKD.1 | | 303,000 | | | | 534,554 | |
| | SHIMIZU CORP | | COMMON STOCK | | 114,000 | | | | 928,155 | |
| | SHIN ETSU CHEMICAL CO LTD | | COMMON STOCK | | 67,900 | | | | 3,684,990 | |
| | SHIN KONG FINANCIAL HOLDING | | COMMON STOCK TWD10. | | 1,575,755 | | | | 341,009 | |
| | SHINHAN FINANCIAL GROUP LTD | | COMMON STOCK KRW5000. | | 71,334 | | | | 2,400,916 | |
| | SHINING BUILDING BUSINESS CO | | COMMON STOCK TWD10. | | 284,157 | | | | 92,707 | |
| | SHINKO ELECTRIC INDUSTRIES | | COMMON STOCK | | 22,700 | | | | 145,405 | |
| | SHINKO PLANTECH CO LTD | | COMMON STOCK | | 20,900 | | | | 170,916 | |
| | SHINSEGAE CO LTD | | COMMON STOCK KRW5000. | | 1,645 | | | | 321,001 | |
| | SHINSEI BANK LTD | | COMMON STOCK | | 342,000 | | | | 628,604 | |
| | SHIONOGI + CO LTD | | COMMON STOCK | | 54,000 | | | | 2,439,241 | |
| | SHIP HEALTHCARE HOLDINGS INC | | COMMON STOCK | | 11,000 | | | | 271,565 | |
| | SHIRE PLC | | COMMON STOCK GBP.05 | | 99,472 | | | | 6,815,810 | |
| | SHISEIDO CO LTD | | COMMON STOCK | | 70,800 | | | | 1,463,856 | |
| | SHIZUOKA BANK LTD/THE | | COMMON STOCK | | 100,000 | | | | 968,492 | |
| | SHIZUOKA GAS CO LTD | | COMMON STOCK | | 10,000 | | | | 63,864 | |
| | SHO BOND HOLDINGS CO LTD | | COMMON STOCK | | 6,600 | | | | 239,736 | |
| | SHOPPING CENTRES AUSTRALASIA | | REIT | | 321,940 | | | | 495,812 | |
| | SHOPRITE HOLDINGS LTD | | COMMON STOCK ZAR1.134 | | 80,369 | | | | 741,393 | |
| | SHOUGANG CONCORD INTL ENT CO | | COMMON STOCK | | 1,802,000 | | | | 64,612 | |
| | SHOUGANG FUSHAN RESOURCES GR | | COMMON STOCK | | 676,000 | | | | 86,948 | |
| | SHOWA DENKO K K | | COMMON STOCK | | 235,000 | | | | 274,548 | |
| | SHOWA SANGYO CO LTD | | COMMON STOCK | | 30,000 | | | | 114,393 | |
| | SHOWA SHELL SEKIYU KK | | COMMON STOCK | | 51,300 | | | | 416,644 | |
| | SHREE CEMENT LTD | | COMMON STOCK INR10. | | 1,764 | | | | 310,309 | |
| | SHRIRAM TRANSPORT FINANCE | | COMMON STOCK INR10. | | 35,153 | | | | 455,351 | |
| | SHUI ON LAND LTD | | COMMON STOCK USD.0025 | | 718,828 | | | | 196,652 | |
| | SHUN TAK HOLDINGS LTD | | COMMON STOCK | | 288,750 | | | | 108,278 | |
| | SHUNFENG INTERNATIONAL CLEAN | | COMMON STOCK HKD.01 | | 432,000 | | | | 108,825 | |
| | SIAM CEMENT PUB CO FOR REG | | FOREIGN SH. THB1.0 A | | 76,900 | | | | 983,021 | |
| | SIAM COMMERCIAL BANK FOREIGN | | FOREIGN SH. THB10.0 A | | 304,225 | | | | 1,010,279 | |
| | SIBANYE GOLD LTD | | COMMON STOCK | | 175,499 | | | | 263,974 | |
| | SIEGFRIED HOLDING AG REG | | COMMON STOCK CHF2.0 | | 949 | | | | 185,454 | |
| | SIEMENS AG REG | | COMMON STOCK | | 132,560 | | | | 12,855,790 | |
| | SIEMENS LTD | | COMMON STOCK INR2. | | 20,600 | | | | 373,080 | |
| | SIERRA WIRELESS INC | | COMMON STOCK | | 7,900 | | | | 123,809 | |
| | SIG PLC | | COMMON STOCK GBP.1 | | 124,772 | | | | 262,089 | |
| | SIGMA PHARMACEUTICALS LTD | | COMMON STOCK | | 635,166 | | | | 397,063 | |
| | SIKA AG BR | | COMMON STOCK CHF.6 | | 386 | | | | 1,384,582 | |
| | SILICONWARE PRECISION INDS | | COMMON STOCK TWD10. | | 377,355 | | | | 581,134 | |
| | SILVER STANDARD RESOURCES | | COMMON STOCK | | 26,200 | | | | 135,046 | |
| | SILVER WHEATON CORP | | COMMON STOCK | | 75,400 | | | | 933,612 | |
| | SIMCORP A/S | | COMMON STOCK DKK1. | | 7,291 | | | | 411,032 | |
| | SIME DARBY BERHAD | | COMMON STOCK MYR.5 | | 519,700 | | | | 937,348 | |
| | SIMS METAL MANAGEMENT LTD | | COMMON STOCK | | 38,548 | | | | 200,617 | |
| | SINANEN HOLDINGS CO LTD | | COMMON STOCK | | 59,000 | | | | 230,922 | |
| | SINGAPORE AIRLINES LTD | | COMMON STOCK | | 105,340 | | | | 828,562 | |
| | SINGAPORE DOLLAR | | FOREIGN CURRENCY | | 199,504 | | | | 140,630 | |
| | SINGAPORE EXCHANGE LTD | | COMMON STOCK | | 162,000 | | | | 875,901 | |
| | SINGAPORE POST LTD | | COMMON STOCK | | 320,000 | | | | 369,594 | |
| | SINGAPORE PRESS HOLDINGS LTD | | COMMON STOCK | | 306,750 | | | | 849,974 | |
| | SINGAPORE TECH ENGINEERING | | COMMON STOCK | | 273,000 | | | | 576,124 | |
| | SINGAPORE TELECOMMUNICATIONS | | COMMON STOCK NPV | | 1,278,090 | | | | 3,287,522 | |
| | SINO AMERICAN SILICON PRODUC | | COMMON STOCK TWD10. | | 77,013 | | | | 108,366 | |
| | SINO BIOPHARMACEUTICAL | | COMMON STOCK HKD.025 | | 1,121,998 | | | | 1,011,357 | |
| | SINO LAND CO | | COMMON STOCK | | 515,459 | | | | 752,419 | |
| | SINO OCEAN LAND HOLDINGS | | COMMON STOCK | | 869,074 | | | | 552,304 | |
| | SINOFERT HOLDINGS LTD | | COMMON STOCK HKD.1 | | 562,000 | | | | 95,020 | |
| | SINOLINK WORLDWIDE HOLDINGS | | COMMON STOCK HKD.1 | | 1,104,000 | | | | 142,940 | |
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Table of Contents
| | SINOPAC FINANCIAL HOLDINGS | | COMMON STOCK TWD10. | | 1,476,920 | | | | 419,082 | |
| | SINOPEC SHANGHAI PETROCHEM H | | COMMON STOCK CNY1.0 | | 742,500 | | | | 293,221 | |
| | SINOPHARM GROUP CO H | | COMMON STOCK CNY1.0 | | 220,800 | | | | 880,664 | |
| | SINOTRANS LIMITED H | | COMMON STOCK CNY1. | | 705,000 | | | | 375,109 | |
| | SIRTEX MEDICAL LTD | | COMMON STOCK | | 22,381 | | | | 648,266 | |
| | SISTEMA JSFC REG S SPONS GDR | | GDR | | 36,788 | | | | 216,950 | |
| | SIX OF OCTOBER DEVELOPMENT | | COMMON STOCK EGP4. | | 161,414 | | | | 193,778 | |
| | SIXT SE | | COMMON STOCK | | 8,854 | | | | 453,006 | |
| | SIXT SE PRFD | | PREFERENCE | | 11,774 | | | | 483,339 | |
| | SJM HOLDINGS LTD | | COMMON STOCK | | 395,000 | | | | 281,746 | |
| | SK HOLDINGS CO LTD | | COMMON STOCK KRW200.0 | | 7,220 | | | | 1,467,582 | |
| | SK HYNIX INC | | COMMON STOCK KRW5000. | | 96,330 | | | | 2,486,923 | |
| | SK INNOVATION CO LTD | | COMMON STOCK KRW5000. | | 11,450 | | | | 1,250,688 | |
| | SK NETWORKS CO LTD | | COMMON STOCK KRW2500. | | 32,780 | | | | 152,524 | |
| | SK TELECOM | | COMMON STOCK KRW500. | | 2,648 | | | | 485,395 | |
| | SK TELECOM CO LTD SPON ADR | | ADR | | 1,278 | | | | 25,752 | |
| | SKANDINAVISKA ENSKILDA BAN A | | COMMON STOCK SEK10.0 | | 254,037 | | | | 2,659,495 | |
| | SKANSKA AB B SHS | | COMMON STOCK | | 70,852 | | | | 1,368,942 | |
| | SKF AB B SHARES | | COMMON STOCK SEK2.5 | | 68,503 | | | | 1,105,812 | |
| | SKF INDIA LTD | | COMMON STOCK INR10. | | 8,554 | | | | 159,676 | |
| | SKY NETWORK TELEVISION LTD | | COMMON STOCK | | 96,553 | | | | 302,469 | |
| | SKY PLC | | COMMON STOCK GBP.5 | | 173,571 | | | | 2,839,207 | |
| | SKYCITY ENTERTAINMENT GROUP | | COMMON STOCK | | 155,034 | | | | 469,417 | |
| | SKYWORTH DIGITAL HLDGS LTD | | COMMON STOCK HKD.1 | | 575,087 | | | | 371,935 | |
| | SM INVESTMENTS CORP | | COMMON STOCK PHP10. | | 36,130 | | | | 661,767 | |
| | SM PRIME HOLDINGS INC | | COMMON STOCK PHP1. | | 1,970,989 | | | | 907,944 | |
| | SMARTONE TELECOMMUNICATIONS | | COMMON STOCK HKD.1 | | 305,355 | | | | 463,680 | |
| | SMC CORP | | COMMON STOCK | | 8,900 | | | | 2,306,112 | |
| | SMITH + NEPHEW PLC | | COMMON STOCK USD.2 | | 148,201 | | | | 2,622,588 | |
| | SMITHS GROUP PLC | | COMMON STOCK GBP.375 | | 71,487 | | | | 988,760 | |
| | SMRT CORP LTD | | COMMON STOCK | | 188,000 | | | | 198,633 | |
| | SMS CO LTD | | COMMON STOCK | | 9,200 | | | | 191,895 | |
| | SMURFIT KAPPA GROUP PLC | | COMMON STOCK EUR.001 | | 38,401 | | | | 979,632 | |
| | SNAM SPA | | COMMON STOCK | | 356,414 | | | | 1,863,137 | |
| | SNC LAVALIN GROUP INC | | COMMON STOCK | | 28,200 | | | | 834,774 | |
| | SNS REAAL | | COMMON STOCK EUR1.63 | | 23,861 | | | | 0 | |
| | SOCIETE BIC SA | | COMMON STOCK EUR3.82 | | 5,115 | | | | 841,279 | |
| | SOCIETE GENERALE SA | | COMMON STOCK EUR1.25 | | 121,941 | | | | 5,622,503 | |
| | SOCO INTERNATIONAL PLC | | COMMON STOCK GBP.05 | | 83,498 | | | | 181,020 | |
| | SODEXO | | COMMON STOCK EUR4. | | 16,742 | | | | 1,627,969 | |
| | SOFTBANK GROUP CORP | | COMMON STOCK | | 161,100 | | | | 8,111,781 | |
| | SOFTWARE AG | | COMMON STOCK | | 12,658 | | | | 362,351 | |
| | SOHO CHINA LTD | | COMMON STOCK HKD.02 | | 472,500 | | | | 228,585 | |
| | SOJITZ CORP | | COMMON STOCK | | 234,700 | | | | 491,562 | |
| | SOLVAY SA | | COMMON STOCK EUR15.0 | | 12,487 | | | | 1,326,428 | |
| | SOMPO JAPAN NIPPONKOA HOLDIN | | COMMON STOCK | | 60,800 | | | | 1,987,072 | |
| | SONAE | | COMMON STOCK EUR1.0 | | 168,952 | | | | 191,915 | |
| | SONDA SA | | COMMON STOCK | | 184,856 | | | | 337,824 | |
| | SONIC HEALTHCARE LTD | | COMMON STOCK | | 68,240 | | | | 882,814 | |
| | SONOVA HOLDING AG REG | | COMMON STOCK CHF.05 | | 9,650 | | | | 1,225,766 | |
| | SONY CORP | | COMMON STOCK | | 212,800 | | | | 5,208,923 | |
| | SONY FINANCIAL HOLDINGS INC | | COMMON STOCK | | 30,800 | | | | 549,721 | |
| | SOPRA STERIA GROUP | | COMMON STOCK EUR1.0 | | 2,719 | | | | 319,222 | |
| | SOTETSU HOLDINGS INC | | COMMON STOCK | | 76,000 | | | | 441,672 | |
| | SOUTH AFRICAN RAND | | FOREIGN CURRENCY | | 5,905,663 | | | | 381,121 | |
| | SOUTH KOREAN WON | | FOREIGN CURRENCY | | 62,747,914 | | | | 53,514 | |
| | SOUTH32 LTD | | COMMON STOCK | | 584,999 | | | | 448,077 | |
| | SOUTH32 LTD | | COMMON STOCK | | 336,786 | | | | 260,262 | |
| | SOUTHERN COPPER CORP | | COMMON STOCK USD.01 | | 21,295 | | | | 556,225 | |
| | SOUTHERN COPPER CORP | | COMMON STOCK USD.01 | | 10,372 | | | | 274,858 | |
| | SPAR GROUP LIMITED/THE | | COMMON STOCK | | 31,440 | | | | 372,848 | |
| | SPARK INFRASTRUCTURE GROUP | | STAPLED SECURITY | | 330,758 | | | | 459,664 | |
| | SPARK NEW ZEALAND LTD | | COMMON STOCK | | 403,910 | | | | 911,233 | |
| | SPECTRIS PLC | | COMMON STOCK GBP.05 | | 19,025 | | | | 504,115 | |
| | SPI 200 FUTURES MAR16 | | XSFE 20160317 | | 425 | | | | 111,771 | |
| | SPIRAX SARCO ENGINEERING PLC | | COMMON STOCK GBP.269231 | | 13,320 | | | | 641,534 | |
| | SPIRENT COMMUNICATIONS PLC | | COMMON STOCK GBP.03333333 | | 161,724 | | | | 170,357 | |
| | SPONDA OYJ | | COMMON STOCK | | 48,881 | | | | 206,554 | |
| | SPORTS DIRECT INTERNATIONAL | | COMMON STOCK GBP.1 | | 48,638 | | | | 412,305 | |
| | SPROTT INC | | COMMON STOCK | | 65,100 | | | | 111,538 | |
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| | SQUARE ENIX HOLDINGS CO LTD | | COMMON STOCK | | 13,100 | | | | 315,696 | |
| | SRI LANKA RUPEE | | FOREIGN CURRENCY | | 2,414 | | | | 17 | |
| | SRI REJEKI ISMAN TBK PT | | COMMON STOCK IDR100. | | 2,553,000 | | | | 71,538 | |
| | SSAB AB A SHARES | | COMMON STOCK | | 48,973 | | | | 129,368 | |
| | SSE PLC | | COMMON STOCK GBP.5 | | 170,226 | | | | 3,811,024 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 29,491,935 | | | | 29,491,935 | |
| | ST BARBARA LTD | | COMMON STOCK | | 221,607 | | | | 230,485 | |
| | ST GALLER KANTONALBANK A REG | | COMMON STOCK CHF70.0 | | 590 | | | | 212,034 | |
| | ST JAMES S PLACE PLC | | COMMON STOCK GBP.15 | | 89,718 | | | | 1,323,021 | |
| | ST SHINE OPTICAL CO LTD | | COMMON STOCK TWD10. | | 16,008 | | | | 319,776 | |
| | ST. MODWEN PROPERTIES PLC | | COMMON STOCK GBP.1 | | 51,078 | | | | 311,489 | |
| | STADA ARZNEIMITTEL AG | | COMMON STOCK | | 13,380 | | | | 538,844 | |
| | STAGECOACH GROUP PLC | | COMMON STOCK GBP.005482 | | 83,026 | | | | 361,395 | |
| | STALLERGENES GREER PLC | | COMMON STOCK EUR1.0 | | 2,563 | | | | 89,084 | |
| | STANDARD BANK GROUP LTD | | COMMON STOCK ZAR.1 | | 204,788 | | | | 1,493,592 | |
| | STANDARD CHARTERED PLC | | COMMON STOCK USD.5 | | 544,645 | | | | 4,517,635 | |
| | STANDARD LIFE PLC | | COMMON STOCK GBP.122222 | | 333,426 | | | | 1,912,723 | |
| | STANLEY ELECTRIC CO LTD | | COMMON STOCK | | 29,000 | | | | 638,239 | |
| | STANTEC INC | | COMMON STOCK | | 21,800 | | | | 538,605 | |
| | STAR ENTERTAINMENT GRP LTD/T | | COMMON STOCK | | 170,524 | | | | 626,629 | |
| | STARHUB LTD | | COMMON STOCK | | 139,000 | | | | 361,353 | |
| | START TODAY CO LTD | | COMMON STOCK | | 21,600 | | | | 693,731 | |
| | STATE BANK OF INDI GDR REG S | | GDR | | 13,079 | | | | 439,676 | |
| | STATE BANK OF INDIA | | COMMON STOCK INR1.0 | | 132,742 | | | | 448,014 | |
| | STATOIL ASA | | COMMON STOCK NOK2.5 | | 182,981 | | | | 2,559,313 | |
| | STEINHOFF INTERNATIONAL H NV | | COMMON STOCK EUR.5 | | 388,168 | | | | 1,966,705 | |
| | STERIS PLC | | COMMON STOCK | | 4,569 | | | | 344,228 | |
| | STMICROELECTRONICS NV | | COMMON STOCK EUR1.04 | | 115,150 | | | | 767,823 | |
| | STO SE + CO. KGAA PREF SHRS | | PREFERENCE | | 1,351 | | | | 167,828 | |
| | STOCKLAND | | REIT | | 465,894 | | | | 1,380,938 | |
| | STORA ENSO OYJ R SHS | | COMMON STOCK | | 88,270 | | | | 793,485 | |
| | STOREBRAND ASA | | COMMON STOCK NOK5. | | 88,010 | | | | 343,618 | |
| | STRATEC BIOMEDICAL AG | | COMMON STOCK EUR1.0 | | 2,450 | | | | 161,760 | |
| | STRAUMANN HOLDING AG REG | | COMMON STOCK CHF.1 | | 1,913 | | | | 577,957 | |
| | SUBSEA 7 SA | | COMMON STOCK USD2. | | 50,432 | | | | 354,719 | |
| | SUEDZUCKER AG | | COMMON STOCK | | 17,337 | | | | 342,954 | |
| | SUEZ ENVIRONNEMENT CO | | COMMON STOCK EUR4. | | 52,235 | | | | 976,967 | |
| | SULZER AG REG | | COMMON STOCK CHF.01 | | 4,594 | | | | 432,267 | |
| | SUMCO CORP | | COMMON STOCK | | 42,500 | | | | 319,028 | |
| | SUMITOMO BAKELITE CO LTD | | COMMON STOCK | | 30,000 | | | | 124,786 | |
| | SUMITOMO CHEMICAL CO LTD | | COMMON STOCK | | 273,000 | | | | 1,565,504 | |
| | SUMITOMO CORP | | COMMON STOCK | | 189,900 | | | | 1,932,536 | |
| | SUMITOMO DAINIPPON PHARMA CO | | COMMON STOCK | | 31,000 | | | | 364,460 | |
| | SUMITOMO ELECTRIC INDUSTRIES | | COMMON STOCK | | 153,600 | | | | 2,162,484 | |
| | SUMITOMO FORESTRY CO LTD | | COMMON STOCK | | 21,600 | | | | 290,617 | |
| | SUMITOMO HEAVY INDUSTRIES | | COMMON STOCK | | 104,000 | | | | 465,481 | |
| | SUMITOMO METAL MINING CO LTD | | COMMON STOCK | | 97,000 | | | | 1,171,435 | |
| | SUMITOMO MITSUI FINANCIAL GR | | COMMON STOCK | | 213,554 | | | | 8,049,050 | |
| | SUMITOMO MITSUI TRUST HOLDIN | | COMMON STOCK | | 575,000 | | | | 2,169,016 | |
| | SUMITOMO OSAKA CEMENT CO LTD | | COMMON STOCK | | 61,000 | | | | 223,942 | |
| | SUMITOMO REALTY + DEVELOPMEN | | COMMON STOCK | | 62,000 | | | | 1,765,094 | |
| | SUMITOMO RUBBER INDUSTRIES | | COMMON STOCK | | 33,600 | | | | 436,416 | |
| | SUMMARECON AGUNG TBK PT | | COMMON STOCK IDR100. | | 2,910,000 | | | | 344,448 | |
| | SUN ART RETAIL GROUP LTD | | COMMON STOCK | | 390,000 | | | | 294,311 | |
| | SUN HUNG KAI PROPERTIES | | COMMON STOCK | | 276,302 | | | | 3,321,405 | |
| | SUN INTERNATIONAL LTD | | COMMON STOCK ZAR.08 | | 24,690 | | | | 147,809 | |
| | SUN LIFE FINANCIAL INC | | COMMON STOCK | | 104,697 | | | | 3,252,232 | |
| | SUN PHARMA ADVANCED RESEARCH | | COMMON STOCK INR1. | | 37,503 | | | | 190,694 | |
| | SUN PHARMACEUTICAL INDUS | | COMMON STOCK INR1. | | 162,576 | | | | 2,001,361 | |
| | SUNCOR ENERGY INC | | COMMON STOCK | | 243,511 | | | | 6,261,762 | |
| | SUNCORP GROUP LTD | | COMMON STOCK | | 224,655 | | | | 1,963,869 | |
| | SUNLIGHT REAL ESTATE INVEST | | REIT | | 574,000 | | | | 282,901 | |
| | SUNNY OPTICAL TECH | | COMMON STOCK HKD.1 | | 184,000 | | | | 420,379 | |
| | SUNRISE COMMUNICATIONS GROUP | | COMMON STOCK | | 7,230 | | | | 425,862 | |
| | SUNTEC REIT | | REIT | | 432,000 | | | | 469,259 | |
| | SUNTORY BEVERAGE + FOOD LTD | | COMMON STOCK | | 26,000 | | | | 1,139,022 | |
| | SUPERIOR PLUS CORP | | COMMON STOCK | | 33,800 | | | | 261,816 | |
| | SURGUTNEFTEGAS SP ADR | | ADR | | 173,423 | | | | 790,809 | |
| | SURGUTNEFTEGAZ SP ADR PREF | | ADR | | 95,560 | | | | 568,582 | |
| | SURUGA BANK LTD | | COMMON STOCK | | 32,700 | | | | 673,215 | |
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| | SURYA CITRA MEDIA PT TBK | | COMMON STOCK IDR50.0 | | 1,118,500 | | | | 250,597 | |
| | SUZUKEN CO LTD | | COMMON STOCK | | 13,600 | | | | 517,958 | |
| | SUZUKI MOTOR CORP | | COMMON STOCK | | 61,500 | | | | 1,865,490 | |
| | SVENSKA CELLULOSA AB SCA B | | COMMON STOCK SEK3.33 | | 100,373 | | | | 2,918,675 | |
| | SVENSKA HANDELSBANKEN A SHS | | COMMON STOCK | | 248,775 | | | | 3,288,045 | |
| | SWATCH GROUP AG/THE BR | | COMMON STOCK CHF2.25 | | 5,365 | | | | 1,873,378 | |
| | SWATCH GROUP AG/THE REG | | COMMON STOCK CHF.45 | | 9,517 | | | | 643,283 | |
| | SWEDBANK AB A SHARES | | COMMON STOCK SEK22.0 | | 150,668 | | | | 3,313,261 | |
| | SWEDISH KRONA | | FOREIGN CURRENCY | | 435,358 | | | | 51,640 | |
| | SWEDISH MATCH AB | | COMMON STOCK SEK1.9 | | 35,374 | | | | 1,253,126 | |
| | SWEDISH ORPHAN BIOVITRUM AB | | COMMON STOCK SEK.55 | | 29,457 | | | | 464,360 | |
| | SWIRE PACIFIC LTD CL A | | COMMON STOCK HKD.6 | | 93,500 | | | | 1,049,948 | |
| | SWIRE PROPERTIES LTD | | COMMON STOCK | | 195,200 | | | | 559,794 | |
| | SWISS FRANC | | FOREIGN CURRENCY | | 5,014 | | | | 5,009 | |
| | SWISS LIFE HOLDING AG REG | | COMMON STOCK CHF5.1 | | 5,737 | | | | 1,540,618 | |
| | SWISS PRIME SITE REG | | COMMON STOCK | | 12,230 | | | | 955,581 | |
| | SWISS RE AG | | COMMON STOCK CHF.1 | | 59,551 | | | | 5,796,484 | |
| | SWISSCOM AG REG | | COMMON STOCK CHF1.0 | | 4,478 | | | | 2,228,310 | |
| | SWISSQUOTE GROUP HOLDING REG | | COMMON STOCK CHF.2 | | 5,508 | | | | 139,039 | |
| | SYDBANK A/S | | COMMON STOCK DKK10. | | 12,710 | | | | 407,109 | |
| | SYDNEY AIRPORT | | STAPLED SECURITY | | 201,990 | | | | 927,837 | |
| | SYMRISE AG | | COMMON STOCK | | 26,056 | | | | 1,727,747 | |
| | SYNGENTA AG REG | | COMMON STOCK CHF.1 | | 15,700 | | | | 6,166,007 | |
| | SYNNEX TECHNOLOGY INTL CORP | | COMMON STOCK TWD10. | | 208,715 | | | | 202,196 | |
| | SYNTHOS SA | | COMMON STOCK PLN.03 | | 165,231 | | | | 158,606 | |
| | SYSMEX CORP | | COMMON STOCK | | 23,800 | | | | 1,520,890 | |
| | T GAIA CORP | | COMMON STOCK | | 16,600 | | | | 188,146 | |
| | T+D HOLDINGS INC | | COMMON STOCK | | 112,400 | | | | 1,476,310 | |
| | TABCORP HOLDINGS LTD | | COMMON STOCK | | 191,654 | | | | 652,537 | |
| | TACHI S CO LTD | | COMMON STOCK | | 12,400 | | | | 197,221 | |
| | TAHOE RESOURCES INC | | COMMON STOCK | | 35,700 | | | | 307,630 | |
| | TAIFLEX SCIENTIFIC CO LTD | | COMMON STOCK TWD10. | | 190,317 | | | | 218,625 | |
| | TAIHAN ELECTRIC WIRE CO LTD | | COMMON STOCK KRW500.0 | | 7,127 | | | | 13,919 | |
| | TAIHEI DENGYO KAISHA LTD | | COMMON STOCK | | 18,000 | | | | 186,416 | |
| | TAIHEIYO CEMENT CORP | | COMMON STOCK | | 198,000 | | | | 576,814 | |
| | TAIKISHA LTD | | COMMON STOCK | | 5,800 | | | | 138,689 | |
| | TAISEI CORP | | COMMON STOCK | | 184,000 | | | | 1,211,226 | |
| | TAISHIN FINANCIAL HOLDING | | COMMON STOCK TWD10. | | 1,310,258 | | | | 452,196 | |
| | TAISHO PHARMACEUTICAL HOLDIN | | COMMON STOCK | | 6,600 | | | | 465,659 | |
| | TAIWAN CEMENT | | COMMON STOCK TWD10. | | 560,615 | | | | 460,723 | |
| | TAIWAN COOPERATIVE FINANCIAL | | COMMON STOCK TWD10. | | 1,067,881 | | | | 445,527 | |
| | TAIWAN FERTILIZER CO LTD | | COMMON STOCK TWD10. | | 110,000 | | | | 143,144 | |
| | TAIWAN GLASS IND CORP | | COMMON STOCK TWD10. | | 207,905 | | | | 80,681 | |
| | TAIWAN MOBILE CO LTD | | COMMON STOCK TWD10. | | 277,528 | | | | 843,240 | |
| | TAIWAN PAIHO LIMITED | | COMMON STOCK TWD10. | | 175,389 | | | | 386,389 | |
| | TAIWAN SECOM | | COMMON STOCK TWD10. | | 84,261 | | | | 249,850 | |
| | TAIWAN SEMICONDUCTOR MANUFAC | | COMMON STOCK TWD10. | | 3,979,363 | | | | 17,171,255 | |
| | TAIWAN SURFACE MOUNTING TECH | | COMMON STOCK TWD10. | | 80,964 | | | | 71,598 | |
| | TAIWAN TEA CORP | | COMMON STOCK TWD10. | | 340,607 | | | | 152,425 | |
| | TAIYO YUDEN CO LTD | | COMMON STOCK | | 25,200 | | | | 348,030 | |
| | TAKARA BIO INC | | COMMON STOCK | | 23,400 | | | | 231,995 | |
| | TAKARA HOLDINGS INC | | COMMON STOCK | | 36,000 | | | | 273,266 | |
| | TAKASHIMAYA CO LTD | | COMMON STOCK | | 53,000 | | | | 476,520 | |
| | TAKEDA PHARMACEUTICAL CO LTD | | COMMON STOCK | | 133,000 | | | | 6,615,689 | |
| | TAKIRON CO LTD | | COMMON STOCK | | 16,000 | | | | 82,874 | |
| | TALKTALK TELECOM GROUP | | COMMON STOCK GBP.001 | | 96,131 | | | | 306,266 | |
| | TAMRON CO LTD | | COMMON STOCK | | 4,800 | | | | 88,298 | |
| | TAT HONG HOLDINGS LTD | | COMMON STOCK | | 130,000 | | | | 44,770 | |
| | TATA CONSULTANCY SVCS LTD | | COMMON STOCK INR1. | | 83,834 | | | | 3,068,086 | |
| | TATA MOTORS LTD | | COMMON STOCK INR2. | | 186,645 | | | | 1,098,398 | |
| | TATA POWER CO LTD | | COMMON STOCK INR1. | | 251,799 | | | | 257,019 | |
| | TATA STEEL LTD | | COMMON STOCK INR10. | | 71,161 | | | | 276,451 | |
| | TATE + LYLE PLC | | COMMON STOCK GBP.25 | | 92,048 | | | | 811,029 | |
| | TATNEFT PAO CLS | | COMMON STOCK RUB1.0 | | 265,606 | | | | 1,147,923 | |
| | TATNEFT PAO SPONSORED ADR | | ADR | | 3,175 | | | | 83,947 | |
| | TATTS GROUP LTD | | COMMON STOCK | | 326,344 | | | | 1,034,824 | |
| | TATUNG CO LTD | | COMMON STOCK TWD10. | | 412,828 | | | | 69,791 | |
| | TAURON POLSKA ENERGIA SA | | COMMON STOCK PLN5. | | 260,209 | | | | 189,083 | |
| | TAYLOR WIMPEY PLC | | COMMON STOCK GBP.01 | | 555,009 | | | | 1,657,013 | |
| | TCL MULTIMEDIA TECHNOLOGY | | COMMON STOCK HKD1. | | 441,400 | | | | 278,773 | |
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| | TDC A/S | | COMMON STOCK DKK1. | | 143,100 | | | | 709,605 | |
| | TDK CORP | | COMMON STOCK | | 23,600 | | | | 1,508,316 | |
| | TECAN GROUP AG REG | | COMMON STOCK CHF.1 | | 2,878 | | | | 466,969 | |
| | TECH MAHINDRA LTD | | COMMON STOCK INR5.0 | | 67,652 | | | | 532,385 | |
| | TECHNIP SA | | COMMON STOCK EUR.7625 | | 19,251 | | | | 950,530 | |
| | TECHNOPOLIS OYJ | | COMMON STOCK | | 58,404 | | | | 236,267 | |
| | TECHTRONIC INDUSTRIES CO LTD | | COMMON STOCK | | 274,500 | | | | 1,115,079 | |
| | TECK RESOURCES LTD CLS B | | COMMON STOCK | | 101,761 | | | | 391,191 | |
| | TECNICAS REUNIDAS SA | | COMMON STOCK EUR.1 | | 6,830 | | | | 256,796 | |
| | TECO ELECTRIC + MACHINERY | | COMMON STOCK TWD10. | | 373,775 | | | | 297,378 | |
| | TEIJIN LTD | | COMMON STOCK | | 166,000 | | | | 564,949 | |
| | TELE2 AB B SHS | | COMMON STOCK SEK1.25 | | 58,610 | | | | 582,941 | |
| | TELECITY GROUP PLC | | COMMON STOCK | | 32,518 | | | | 599,024 | |
| | TELECOM ARGENTINA S.A. B | | COMMON STOCK ARS1. | | 6 | | | | 21 | |
| | TELECOM ITALIA RSP | | COMMON STOCK | | 1,062,950 | | | | 1,086,763 | |
| | TELECOM ITALIA SPA | | COMMON STOCK | | 1,695,513 | | | | 2,136,169 | |
| | TELECOM PLUS PLC | | COMMON STOCK | | 24,917 | | | | 393,143 | |
| | TELEFONICA BRASIL S.A. PREF | | PREFERENCE | | 75,648 | | | | 683,207 | |
| | TELEFONICA DEUTSCHLAND HOLDI | | COMMON STOCK | | 108,131 | | | | 577,038 | |
| | TELEFONICA SA | | COMMON STOCK EUR1. | | 754,859 | | | | 8,328,421 | |
| | TELEKOM MALAYSIA BHD | | COMMON STOCK MYR.7 | | 205,634 | | | | 324,178 | |
| | TELEKOMUNIKASI INDONESIA PER | | COMMON STOCK IDR50. | | 9,795,000 | | | | 2,199,434 | |
| | TELENET GROUP HOLDING NV | | COMMON STOCK | | 9,109 | | | | 490,706 | |
| | TELENOR ASA | | COMMON STOCK NOK6. | | 123,487 | | | | 2,054,429 | |
| | TELEPERFORMANCE | | COMMON STOCK EUR2.5 | | 10,476 | | | | 881,490 | |
| | TELESITES SAB DE CV | | COMMON STOCK | | 276,953 | | | | 180,240 | |
| | TELEVISION BROADCASTS LTD | | COMMON STOCK | | 122,600 | | | | 503,825 | |
| | TELEVISION FRANCAISE (T.F.1) | | COMMON STOCK EUR.2 | | 23,223 | | | | 258,151 | |
| | TELIASONERA AB | | COMMON STOCK SEK3.2 | | 435,162 | | | | 2,166,748 | |
| | TELKOM SA SOC LTD | | COMMON STOCK ZAR10. | | 56,670 | | | | 233,344 | |
| | TELSTRA CORP LTD | | COMMON STOCK | | 712,714 | | | | 2,887,295 | |
| | TELUS CORP | | COM (NON CANADIAN | | 35,648 | | | | 981,853 | |
| | TEMENOS GROUP AG REG | | COMMON STOCK CHF5.0 | | 14,218 | | | | 734,914 | |
| | TEMP HOLDINGS CO LTD | | COMMON STOCK | | 29,500 | | | | 457,213 | |
| | TENAGA NASIONAL BHD | | COMMON STOCK MYR1. | | 489,005 | | | | 1,514,042 | |
| | TENARIS SA | | COMMON STOCK USD1. | | 74,046 | | | | 881,131 | |
| | TENCENT HOLDINGS LTD | | COMMON STOCK HKD.00002 | | 849,400 | | | | 16,591,653 | |
| | TERNA ENERGY SA | | COMMON STOCK EUR.3 | | 44,788 | | | | 119,760 | |
| | TERNA SPA | | COMMON STOCK EUR.22 | | 263,241 | | | | 1,355,749 | |
| | TERUMO CORP | | COMMON STOCK | | 53,600 | | | | 1,657,668 | |
| | TESCO PLC | | COMMON STOCK GBP.05 | | 1,345,932 | | | | 2,961,676 | |
| | TEST RESEARCH INC | | COMMON STOCK TWD10. | | 178,812 | | | | 265,522 | |
| | TEVA PHARMACEUTICAL IND LTD | | COMMON STOCK ILS.1 | | 134,715 | | | | 8,842,245 | |
| | TEVA PHARMACEUTICAL SP ADR | | ADR | | 4,478 | | | | 293,936 | |
| | TGS NOPEC GEOPHYSICAL CO ASA | | COMMON STOCK NOK.25 | | 25,339 | | | | 400,832 | |
| | THAI VEGETABLE OIL PCL FOR | | FOREIGN SH. THB1.0 A | | 343,480 | | | | 213,810 | |
| | THAICOM PCL FOREIGN | | FOREIGN SH. A | | 259,700 | | | | 209,290 | |
| | THAILAND BAHT | | | | 2,046,773 | | | | 56,879 | |
| | THALES SA | | COMMON STOCK EUR3. | | 17,881 | | | | 1,339,299 | |
| | THANACHART CAPITAL FOREIGN | | FOREIGN SH. THB10.0 A | | 379,600 | | | | 385,033 | |
| | THE FOSCHINI GROUP LTD | | COMMON STOCK ZAR.0125 | | 40,961 | | | | 321,000 | |
| | THE UNITED LABORATORIES INTE | | COMMON STOCK HKD.01 | | 423,000 | | | | 232,034 | |
| | THK CO LTD | | COMMON STOCK | | 20,800 | | | | 384,587 | |
| | THOMAS COOK GROUP PLC | | COMMON STOCK EUR.01 | | 266,863 | | | | 474,271 | |
| | THOMSON REUTERS CORP | | COMMON STOCK | | 61,030 | | | | 2,302,629 | |
| | THYSSENKRUPP AG | | COMMON STOCK | | 72,828 | | | | 1,443,661 | |
| | TIANJIN PORT DVLP HLDS LTD | | COMMON STOCK HKD.1 | | 1,004,000 | | | | 165,794 | |
| | TIANNENG POWER INTL LTD | | COMMON STOCK HKD.1 | | 234,000 | | | | 195,767 | |
| | TIETO OYJ | | COMMON STOCK | | 12,646 | | | | 338,211 | |
| | TIGER BRANDS LTD | | COMMON STOCK ZAR.1 | | 31,447 | | | | 641,018 | |
| | TIM PARTICIPACOES SA | | COMMON STOCK | | 152,872 | | | | 260,295 | |
| | TIME DOTCOM BHD | | COMMON STOCK MYR.5 | | 281,120 | | | | 497,551 | |
| | TINGYI (CAYMAN ISLN) HLDG CO | | COMMON STOCK USD.005 | | 364,000 | | | | 519,473 | |
| | TIPCO FOODS PCL FOREIGN | | FOREIGN SH. THB1.0 A | | 149,200 | | | | 72,558 | |
| | TISCO FINANCIAL FOREIGN | | FOREIGN SH. THB10.0 A | | 129,890 | | | | 153,406 | |
| | TITAN CEMENT CO. S.A. | | COMMON STOCK EUR4. | | 7,436 | | | | 141,865 | |
| | TKH GROUP NV DUTCH CERT | | DUTCH CERT EUR.25 | | 12,276 | | | | 498,731 | |
| | TMX GROUP LTD | | COMMON STOCK | | 8,472 | | | | 218,280 | |
| | TNT EXPRESS NV | | COMMON STOCK EUR.08 | | 69,395 | | | | 586,976 | |
| | TOA CORP | | COMMON STOCK | | 92,000 | | | | 240,008 | |
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| | TOBU RAILWAY CO LTD | | COMMON STOCK | | 181,000 | | | | 891,543 | |
| | TOCALO CO LTD | | COMMON STOCK | | 9,700 | | | | 199,818 | |
| | TOCHIGI BANK LTD/THE | | COMMON STOCK | | 21,000 | | | | 119,624 | |
| | TOD S SPA | | COMMON STOCK EUR2.0 | | 3,032 | | | | 239,356 | |
| | TOENEC CORP | | COMMON STOCK | | 26,000 | | | | 171,570 | |
| | TOHO CO LTD | | COMMON STOCK | | 19,900 | | | | 550,923 | |
| | TOHO GAS CO LTD | | COMMON STOCK | | 88,000 | | | | 567,818 | |
| | TOHO HOLDINGS CO LTD | | COMMON STOCK | | 20,300 | | | | 493,078 | |
| | TOHO TITANIUM CO LTD | | COMMON STOCK | | 12,700 | | | | 103,409 | |
| | TOHO ZINC CO LTD | | COMMON STOCK | | 58,000 | | | | 132,527 | |
| | TOHOKU ELECTRIC POWER CO INC | | COMMON STOCK | | 89,000 | | | | 1,111,669 | |
| | TOHOKUSHINSHA FILM CORP | | COMMON STOCK | | 10,900 | | | | 75,345 | |
| | TOKAI HOLDINGS CORP | | COMMON STOCK | | 23,400 | | | | 109,209 | |
| | TOKAI RIKA CO LTD | | COMMON STOCK | | 13,000 | | | | 319,615 | |
| | TOKEN CORP | | COMMON STOCK | | 2,240 | | | | 172,235 | |
| | TOKIO MARINE HOLDINGS INC | | COMMON STOCK | | 118,500 | | | | 4,562,066 | |
| | TOKUYAMA CORP | | COMMON STOCK | | 64,000 | | | | 138,642 | |
| | TOKYO ELECTRIC POWER CO INC | | COMMON STOCK | | 263,000 | | | | 1,511,418 | |
| | TOKYO ELECTRON LTD | | COMMON STOCK | | 28,700 | | | | 1,720,943 | |
| | TOKYO GAS CO LTD | | COMMON STOCK | | 381,000 | | | | 1,788,198 | |
| | TOKYO ROPE MFG CO LTD | | COMMON STOCK | | 90,000 | | | | 149,437 | |
| | TOKYO SEIMITSU CO LTD | | COMMON STOCK | | 10,800 | | | | 238,723 | |
| | TOKYO STEEL MFG CO LTD | | COMMON STOCK | | 26,400 | | | | 163,551 | |
| | TOKYO TATEMONO CO LTD | | COMMON STOCK | | 38,300 | | | | 416,073 | |
| | TOKYO TY FINANCIAL GROUP INC | | COMMON STOCK | | 6,900 | | | | 229,971 | |
| | TOKYOTOKEIBA CO LTD | | COMMON STOCK | | 46,000 | | | | 102,518 | |
| | TOKYU CONSTRUCTION CO LTD | | COMMON STOCK | | 22,160 | | | | 166,063 | |
| | TOKYU CORP | | COMMON STOCK | | 206,000 | | | | 1,628,122 | |
| | TOKYU FUDOSAN HOLDINGS CORP | | COMMON STOCK | | 89,400 | | | | 558,938 | |
| | TOMONY HOLDINGS INC | | COMMON STOCK | | 29,000 | | | | 110,012 | |
| | TOMTOM | | COMMON STOCK EUR.2 | | 27,840 | | | | 349,913 | |
| | TOMY COMPANY LTD | | COMMON STOCK | | 37,500 | | | | 244,925 | |
| | TONENGENERAL SEKIYU KK | | COMMON STOCK | | 59,000 | | | | 495,395 | |
| | TONG HSING ELECTRONIC INDUST | | COMMON STOCK TWD10. | | 54,871 | | | | 127,518 | |
| | TONGAAT HULETT LTD | | COMMON STOCK ZAR1. | | 25,076 | | | | 149,758 | |
| | TOP REIT INC | | REIT | | 41 | | | | 154,884 | |
| | TOPCON CORP | | COMMON STOCK | | 20,100 | | | | 339,858 | |
| | TOPDANMARK A/S | | COMMON STOCK DKK1.0 | | 11,775 | | | | 334,863 | |
| | TOPIX INDX FUTR MAR16 | | XOSE 20160310 | | 770,000 | | | | (254,333 | ) |
| | TOPPAN PRINTING CO LTD | | COMMON STOCK | | 94,000 | | | | 864,823 | |
| | TORAY INDUSTRIES INC | | COMMON STOCK | | 250,000 | | | | 2,318,196 | |
| | TORII PHARMACEUTICAL CO LTD | | COMMON STOCK | | 6,400 | | | | 146,367 | |
| | TOROMONT INDUSTRIES LTD | | COMMON STOCK | | 21,104 | | | | 479,326 | |
| | TORONTO DOMINION BANK | | COMMON STOCK | | 309,300 | | | | 12,077,195 | |
| | TOSHIBA CORP | | COMMON STOCK | | 702,000 | | | | 1,439,369 | |
| | TOSOH CORP | | COMMON STOCK | | 113,000 | | | | 579,817 | |
| | TOTAL SA | | COMMON STOCK EUR2.5 | | 366,061 | | | | 16,296,086 | |
| | TOTO LTD | | COMMON STOCK | | 29,700 | | | | 1,040,459 | |
| | TOURMALINE OIL CORP | | COMMON STOCK | | 33,800 | | | | 543,827 | |
| | TOWA PHARMACEUTICAL CO LTD | | COMMON STOCK | | 3,300 | | | | 205,133 | |
| | TOWER SEMICONDUCTOR LTD | | COMMON STOCK ILS1. | | 4,764 | | | | 67,891 | |
| | TOYO CORP | | COMMON STOCK | | 10,500 | | | | 95,135 | |
| | TOYO KANETSU K K | | COMMON STOCK | | 56,000 | | | | 120,694 | |
| | TOYO KOHAN CO LTD | | COMMON STOCK | | 28,000 | | | | 97,946 | |
| | TOYO SEIKAN GROUP HOLDINGS L | | COMMON STOCK | | 44,500 | | | | 822,458 | |
| | TOYO SUISAN KAISHA LTD | | COMMON STOCK | | 17,000 | | | | 591,253 | |
| | TOYOBO CO LTD | | COMMON STOCK | | 157,000 | | | | 219,396 | |
| | TOYODA GOSEI CO LTD | | COMMON STOCK | | 12,500 | | | | 283,643 | |
| | TOYOTA BOSHOKU CORP | | COMMON STOCK | | 22,000 | | | | 441,463 | |
| | TOYOTA INDUSTRIES CORP | | COMMON STOCK | | 35,400 | | | | 1,890,271 | |
| | TOYOTA MOTOR CORP | | COMMON STOCK | | 456,100 | | | | 27,972,166 | |
| | TOYOTA TSUSHO CORP | | COMMON STOCK | | 39,100 | | | | 913,769 | |
| | TPG TELECOM LTD | | COMMON STOCK | | 55,310 | | | | 394,794 | |
| | TPK HOLDING CO LTD | | COMMON STOCK TWD10. | | 39,000 | | | | 97,352 | |
| | TRACTEBEL ENERGIA SA | | COMMON STOCK | | 38,300 | | | | 321,864 | |
| | TRAKYA CAM SANAYII AS | | COMMON STOCK TRY1. | | 174,325 | | | | 108,025 | |
| | TRANSALTA CORP | | COMMON STOCK | | 63,696 | | | | 225,144 | |
| | TRANSCANADA CORP | | COMMON STOCK | | 120,565 | | | | 3,922,203 | |
| | TRANSCEND INFORMATION INC | | COMMON STOCK TWD10. | | 72,566 | | | | 188,795 | |
| | TRANSCOSMOS INC | | COMMON STOCK | | 10,500 | | | | 268,626 | |
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| | TRANSOCEAN LTD | | COMMON STOCK CHF.1 | | 66,896 | | | | 832,351 | |
| | TRANSPACIFIC INDUSTRIES GROU | | COMMON STOCK | | 295,359 | | | | 168,558 | |
| | TRANSPORTADORA DE GAS SUR B | | COMMON STOCK ARS1.0 | | 3 | | | | 4 | |
| | TRANSURBAN GROUP | | COMMON STOCK | | 17,878 | | | | 136,185 | |
| | TRANSURBAN GROUP | | STAPLED SECURITY | | 321,801 | | | | 2,439,531 | |
| | TRAVIS PERKINS PLC | | COMMON STOCK GBP.1 | | 40,590 | | | | 1,172,550 | |
| | TREASURY WINE ESTATES LTD | | COMMON STOCK | | 148,540 | | | | 890,299 | |
| | TRELLEBORG AB B SHS | | COMMON STOCK SEK25. | | 43,468 | | | | 842,413 | |
| | TREND MICRO INC | | COMMON STOCK | | 19,500 | | | | 790,365 | |
| | TREVI FINANZIARIA INDUSTRIAL | | COMMON STOCK EUR.5 | | 59,221 | | | | 116,399 | |
| | TRIPOD TECHNOLOGY CORP | | COMMON STOCK TWD10. | | 105,366 | | | | 179,217 | |
| | TRUSCO NAKAYAMA CORP | | COMMON STOCK | | 4,800 | | | | 185,963 | |
| | TRUWORTHS INTERNATIONAL LTD | | COMMON STOCK ZAR.00015 | | 83,764 | | | | 491,725 | |
| | TRYG A/S | | COMMON STOCK DKK5.0 | | 26,975 | | | | 535,526 | |
| | TS TECH CO LTD | | COMMON STOCK | | 11,000 | | | | 284,176 | |
| | TSINGTAO BREWERY CO LTD H | | COMMON STOCK CNY1.0 | | 74,000 | | | | 333,173 | |
| | TSUGAMI CORP | | COMMON STOCK | | 38,000 | | | | 164,011 | |
| | TSUKISHIMA KIKAI CO LTD | | COMMON STOCK | | 11,400 | | | | 103,264 | |
| | TSUKUBA BANK LTD | | COMMON STOCK | | 31,200 | | | | 103,739 | |
| | TSUMURA + CO | | COMMON STOCK | | 10,000 | | | | 277,060 | |
| | TSURUHA HOLDINGS INC | | COMMON STOCK | | 5,800 | | | | 503,577 | |
| | TSUTSUMI JEWELRY CO LTD | | COMMON STOCK | | 5,100 | | | | 104,892 | |
| | TT ELECTRONICS PLC | | COMMON STOCK GBP.25 | | 106,285 | | | | 245,427 | |
| | TTY BIOPHARM CO LTD | | COMMON STOCK TWD10. | | 230,000 | | | | 818,612 | |
| | TUBACEX SA | | COMMON STOCK EUR.45 | | 54,249 | | | | 102,334 | |
| | TUI AG DI | | COMMON STOCK | | 39,820 | | | | 724,147 | |
| | TUI AG DI | | COMMON STOCK NPV | | 41,838 | | | | 742,112 | |
| | TULLETT PREBON PLC | | COMMON STOCK GBP.25 | | 41,200 | | | | 225,505 | |
| | TULLOW OIL PLC | | COMMON STOCK GBP.1 | | 161,675 | | | | 393,966 | |
| | TUNG HO STEEL ENTERPRISE COR | | COMMON STOCK TWD10. | | 127,419 | | | | 65,756 | |
| | TUPRAS TURKIYE PETROL RAFINE | | COMMON STOCK TRY1. | | 24,577 | | | | 586,084 | |
| | TURK SISE VE CAM FABRIKALARI | | COMMON STOCK TRY1. | | 181,266 | | | | 197,964 | |
| | TURK TELEKOMUNIKASYON AS | | COMMON STOCK TRY1. | | 91,879 | | | | 171,717 | |
| | TURKCELL ILETISIM HIZMET AS | | COMMON STOCK TRY1. | | 141,862 | | | | 480,768 | |
| | TURKISH LIRA | | FOREIGN CURRENCY | | 380,038 | | | | 130,201 | |
| | TURKIYE GARANTI BANKASI | | COMMON STOCK TRY1. | | 397,563 | | | | 969,615 | |
| | TURKIYE HALK BANKASI | | COMMON STOCK TRY1. | | 110,902 | | | | 394,687 | |
| | TURKIYE IS BANKASI C | | COMMON STOCK TRY1. | | 274,958 | | | | 433,257 | |
| | TURKIYE SINAI KALKINMA BANK | | COMMON STOCK TRY1. | | 412,398 | | | | 214,752 | |
| | TURKIYE VAKIFLAR BANKASI T D | | COMMON STOCK TRY1. | | 176,491 | | | | 231,543 | |
| | TURQUOISE HILL RESOURCES LTD | | COMMON STOCK | | 183,930 | | | | 464,757 | |
| | U BLOX AG | | COMMON STOCK CHF.9 | | 1,306 | | | | 278,607 | |
| | U MING MARINE TRANSPORT CORP | | COMMON STOCK TWD10. | | 65,000 | | | | 52,545 | |
| | UAE DIRHAM | | FOREIGN CURRENCY | | 860,838 | | | | 234,369 | |
| | UBE INDUSTRIES LTD | | COMMON STOCK | | 183,000 | | | | 385,902 | |
| | UBI BANCA | | RIGHTS | | 156,865 | | | | 0 | |
| | UBI BANCA SPA | | COMMON STOCK EUR2.5 | | 156,865 | | | | 1,041,390 | |
| | UBISOFT ENTERTAINMENT | | COMMON STOCK EUR.0775 | | 22,649 | | | | 654,994 | |
| | UBM PLC | | COMMON STOCK GBP.1 | | 74,676 | | | | 578,960 | |
| | UBS GROUP AG REG | | COMMON STOCK CHF.1 | | 610,612 | | | | 11,757,601 | |
| | UCB SA | | COMMON STOCK | | 20,478 | | | | 1,842,496 | |
| | UEM SUNRISE BHD | | COMMON STOCK MYR.5 | | 522,833 | | | | 135,617 | |
| | ULTRA ELECTRONICS HLDGS PLC | | COMMON STOCK GBP.05 | | 11,061 | | | | 321,602 | |
| | ULTRAPAR PARTICIPACOES SA | | COMMON STOCK | | 59,600 | | | | 910,038 | |
| | ULTRATECH CEMENT LTD | | COMMON STOCK INR10. | | 7,316 | | | | 305,819 | |
| | ULVAC INC | | COMMON STOCK | | 9,700 | | | | 273,772 | |
| | UMICORE | | COMMON STOCK | | 20,132 | | | | 841,196 | |
| | UMW HOLDINGS BHD | | COMMON STOCK MYR.5 | | 170,800 | | | | 311,707 | |
| | UNI PRESIDENT ENTERPRISES CO | | COMMON STOCK TWD10. | | 843,507 | | | | 1,405,428 | |
| | UNIBAIL RODAMCO SE | | REIT EUR5. | | 561 | | | | 142,185 | |
| | UNIBAIL RODAMCO SE | | REIT EUR5. | | 16,153 | | | | 4,113,018 | |
| | UNICHARM CORP | | COMMON STOCK | | 63,500 | | | | 1,293,529 | |
| | UNICREDIT SPA | | COMMON STOCK | | 781,119 | | | | 4,300,595 | |
| | UNILEVER INDONESIA TBK PT | | COMMON STOCK IDR10. | | 374,500 | | | | 999,010 | |
| | UNILEVER NV CVA | | DUTCH CERT EUR.16 | | 269,813 | | | | 11,684,973 | |
| | UNILEVER PLC | | COMMON STOCK GBP.0311 | | 215,352 | | | | 9,219,017 | |
| | UNIMICRON TECHNOLOGY CORP | | COMMON STOCK TWD10. | | 181,805 | | | | 76,581 | |
| | UNIPOL GRUPPO FINANZIARIO SP | | COMMON STOCK | | 89,515 | | | | 457,854 | |
| | UNIPOLSAI SPA | | COMMON STOCK | | 168,630 | | | | 427,031 | |
| | UNIPRES CORP | | COMMON STOCK | | 8,700 | | | | 196,170 | |
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| | UNISEM (M) BERHAD | | COMMON STOCK MYR.5 | | 386,100 | | | | 213,288 | |
| | UNITE GROUP PLC | | COMMON STOCK GBP.25 | | 48,010 | | | | 463,452 | |
| | UNITECH LTD | | COMMON STOCK INR2. | | 914,292 | | | | 91,384 | |
| | UNITED ARROWS LTD | | COMMON STOCK | | 7,400 | | | | 318,680 | |
| | UNITED INTEGRATED SERVICES | | COMMON STOCK TWD10. | | 110,000 | | | | 141,314 | |
| | UNITED INTERNET AG REG SHARE | | COMMON STOCK | | 24,132 | | | | 1,326,499 | |
| | UNITED MICROELECTRONICS CORP | | COMMON STOCK TWD10. | | 2,141,021 | | | | 785,665 | |
| | UNITED OVERSEAS BANK LTD | | COMMON STOCK | | 208,381 | | | | 2,867,198 | |
| | UNITED SPIRITS LTD | | COMMON STOCK INR10. | | 12,192 | | | | 551,156 | |
| | UNITED SUPER MARKETS HOLDING | | COMMON STOCK | | 15,500 | | | | 131,980 | |
| | UNITED TRACTORS TBK PT | | COMMON STOCK IDR250. | | 372,519 | | | | 452,675 | |
| | UNITED URBAN INVESTMENT CORP | | REIT | | 450 | | | | 609,858 | |
| | UNITED UTILITIES GROUP PLC | | COMMON STOCK GBP.05 | | 116,203 | | | | 1,601,102 | |
| | UNITIKA LTD | | COMMON STOCK | | 216,000 | | | | 101,370 | |
| | UNIVERSAL ENTERTAINMENT CORP | | COMMON STOCK | | 4,800 | | | | 87,034 | |
| | UNY GROUP HOLDINGS CO LTD | | COMMON STOCK | | 32,000 | | | | 200,813 | |
| | UOL GROUP LTD | | COMMON STOCK | | 111,634 | | | | 489,285 | |
| | UPL LTD | | COMMON STOCK INR2.0 | | 54,117 | | | | 354,758 | |
| | UPM KYMMENE OYJ | | COMMON STOCK | | 91,043 | | | | 1,685,490 | |
| | UPONOR OYJ | | COMMON STOCK | | 5,119 | | | | 75,256 | |
| | URANIUM PARTICIPATION CORP | | COMMON STOCK | | 20,900 | | | | 78,308 | |
| | URANIUM PARTICIPATION CORP | | COMMON STOCK | | 13,100 | | | | 48,379 | |
| | URBI DESARROLLOS URBANOS SAB | | COMMON STOCK | | 119,200 | | | | 69 | |
| | US DOLLAR | | | | 3,288,151 | | | | 3,288,151 | |
| | USEN CORP | | COMMON STOCK | | 72,730 | | | | 208,668 | |
| | USG PEOPLE NV | | COMMON STOCK EUR.5 | | 18,327 | | | | 340,256 | |
| | USHIO INC | | COMMON STOCK | | 23,000 | | | | 316,970 | |
| | USS CO LTD | | COMMON STOCK | | 47,800 | | | | 718,585 | |
| | VALE SA | | COMMON STOCK | | 180,948 | | | | 594,295 | |
| | VALE SA PREF | | PREFERENCE | | 332,416 | | | | 852,518 | |
| | VALEANT PHARMACEUTICALS INTE | | COMMON STOCK | | 55,077 | | | | 5,573,122 | |
| | VALEO SA | | COMMON STOCK EUR3. | | 14,142 | | | | 2,182,407 | |
| | VALIANT HOLDING AG REG | | COMMON STOCK CHF.5 | | 3,256 | | | | 382,528 | |
| | VALID SOLUCOES SA | | COMMON STOCK | | 25,317 | | | | 271,156 | |
| | VALLOUREC SA | | COMMON STOCK EUR2.0 | | 27,276 | | | | 253,116 | |
| | VALMET OYJ | | COMMON STOCK | | 17,557 | | | | 169,013 | |
| | VALOR HOLDINGS CO LTD | | COMMON STOCK | | 8,600 | | | | 201,830 | |
| | VALORA HOLDING AG REG | | COMMON STOCK CHF1.0 | | 791 | | | | 164,937 | |
| | VALUE PARTNERS GROUP LTD | | COMMON STOCK HKD.1 | | 436,000 | | | | 503,691 | |
| | VANGUARD INTERNATIONAL SEMI | | COMMON STOCK TWD10. | | 228,691 | | | | 293,977 | |
| | VECTURA GROUP PLC | | COMMON STOCK GBP.00025 | | 96,808 | | | | 251,218 | |
| | VEDANTA LTD | | COMMON STOCK INR1.0 | | 204,093 | | | | 276,710 | |
| | VEDANTA RESOURCES PLC | | COMMON STOCK USD.1 | | 27,251 | | | | 109,826 | |
| | VENTURE CORP LTD | | COMMON STOCK | | 47,000 | | | | 271,672 | |
| | VEOLIA ENVIRONNEMENT | | COMMON STOCK EUR5. | | 76,425 | | | | 1,810,770 | |
| | VERESEN INC | | COMMON STOCK | | 58,100 | | | | 370,575 | |
| | VERMILION ENERGY INC | | COMMON STOCK | | 20,100 | | | | 544,209 | |
| | VESTAS WIND SYSTEMS A/S | | COMMON STOCK DKK1. | | 35,610 | | | | 2,485,270 | |
| | VESTEL ELEKTRONIK SANAYI | | COMMON STOCK TRY1. | | 137,367 | | | | 240,439 | |
| | VESUVIUS PLC | | COMMON STOCK GBP.1 | | 34,784 | | | | 170,520 | |
| | VICINITY CENTRES | | REIT | | 660,198 | | | | 1,335,802 | |
| | VICTREX PLC | | COMMON STOCK GBP.01 | | 13,636 | | | | 359,780 | |
| | VIJAYA BANK | | COMMON STOCK INR10. | | 252,501 | | | | 130,106 | |
| | VINA CONCHA Y TORO S.A. | | COMMON STOCK | | 142,191 | | | | 214,232 | |
| | VINCI SA | | COMMON STOCK EUR2.5 | | 80,720 | | | | 5,174,360 | |
| | VINDA INTERNATIONAL HOLDINGS | | COMMON STOCK HKD.1 | | 112,000 | | | | 221,186 | |
| | VIPSHOP HOLDINGS LTD ADR | | ADR USD.0001 | | 38,100 | | | | 581,787 | |
| | VIRBAC SA | | COMMON STOCK EUR1.25 | | 1,397 | | | | 332,782 | |
| | VIROMED CO LTD | | COMMON STOCK KRW500. | | 3,880 | | | | 600,569 | |
| | VISCOFAN SA | | COMMON STOCK EUR.7 | | 12,056 | | | | 727,069 | |
| | VISTA LAND + LIFESCAPES INC | | COMMON STOCK PHP1. | | 2,646,600 | | | | 290,241 | |
| | VITTORIA ASSICURAZIONI SPA | | COMMON STOCK EUR1. | | 36,814 | | | | 401,473 | |
| | VIVENDI | | COMMON STOCK EUR5.5 | | 196,155 | | | | 4,222,124 | |
| | VODACOM GROUP LTD | | COMMON STOCK | | 66,981 | | | | 657,960 | |
| | VODAFONE GROUP PLC | | COMMON STOCK USD.2095 | | 4,426,850 | | | | 14,315,843 | |
| | VODAFONE QATAR | | COMMON STOCK QAR10. | | 100,138 | | | | 348,902 | |
| | VOESTALPINE AG | | COMMON STOCK | | 22,522 | | | | 688,991 | |
| | VOLKSWAGEN AG | | COMMON STOCK | | 6,383 | | | | 983,022 | |
| | VOLKSWAGEN AG PREF | | PREFERRED STOCK | | 27,484 | | | | 3,979,949 | |
| | VOLVO AB B SHS | | COMMON STOCK SEK1.2 | | 256,125 | | | | 2,367,603 | |
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| | VONOVIA SE | | COMMON STOCK | | 90,225 | | | | 2,793,536 | |
| | VONTOBEL HOLDING AG REG | | COMMON STOCK CHF1.0 | | 5,967 | | | | 282,108 | |
| | VOPAK | | COMMON STOCK EUR.5 | | 12,948 | | | | 556,591 | |
| | VOSSLOH AG | | COMMON STOCK | | 2,952 | | | | 189,886 | |
| | VOSTOK NEW VENTURES LTD SDR | | SDR USD.32 | | 46,531 | | | | 300,936 | |
| | VTB BANK JSC GDR REG S | | GDR | | 381,435 | | | | 800,828 | |
| | VTB BANK SPON GDR 144A | | GDR | | 136,000 | | | | 286,824 | |
| | VTECH HOLDINGS LTD | | COMMON STOCK USD.05 | | 45,700 | | | | 471,223 | |
| | VUKILE PROPERTY FUND LTD | | REIT | | 134,528 | | | | 146,774 | |
| | WACKER CHEMIE AG | | COMMON STOCK | | 3,705 | | | | 309,807 | |
| | WACOAL HOLDINGS CORP | | COMMON STOCK | | 23,000 | | | | 274,453 | |
| | WACOM CO LTD | | COMMON STOCK | | 37,100 | | | | 147,444 | |
| | WAH SEONG CORP BHD | | COMMON STOCK MYR.5 | | 276,650 | | | | 61,527 | |
| | WALLENSTAM AB B SHS | | COMMON STOCK SEK1.0 | | 39,221 | | | | 314,127 | |
| | WALMART DE MEXICO SAB DE CV | | COMMON STOCK | | 952,264 | | | | 2,398,421 | |
| | WALSIN LIHWA CORP | | COMMON STOCK TWD10. | | 629,696 | | | | 140,031 | |
| | WANT WANT CHINA HOLDINGS LTD | | COMMON STOCK USD.02 | | 1,046,000 | | | | 773,697 | |
| | WARTSILA OYJ ABP | | COMMON STOCK | | 24,579 | | | | 1,114,099 | |
| | WEG SA | | COMMON STOCK | | 88,600 | | | | 333,722 | |
| | WEICHAI POWER CO LTD H | | COMMON STOCK CNY1. | | 210,600 | | | | 231,416 | |
| | WEIR GROUP PLC/THE | | COMMON STOCK GBP.125 | | 36,711 | | | | 539,874 | |
| | WELCIA HOLDINGS CO LTD | | COMMON STOCK | | 5,900 | | | | 325,516 | |
| | WENDEL | | COMMON STOCK EUR4. | | 5,406 | | | | 641,867 | |
| | WESFARMERS LTD | | COMMON STOCK | | 185,612 | | | | 5,575,651 | |
| | WEST FRASER TIMBER CO LTD | | COMMON STOCK | | 14,000 | | | | 529,422 | |
| | WEST JAPAN RAILWAY CO | | COMMON STOCK | | 27,800 | | | | 1,916,004 | |
| | WESTFIELD CORP | | MISC. | | 331,460 | | | | 2,276,681 | |
| | WESTON (GEORGE) LTD | | COMMON STOCK | | 9,715 | | | | 747,910 | |
| | WESTPAC BANKING CORP | | COMMON STOCK | | 564,525 | | | | 13,662,168 | |
| | WETHERSPOON (J.D.) PLC | | COMMON STOCK GBP.02 | | 21,337 | | | | 235,111 | |
| | WH GROUP LTD | | COMMON STOCK USD.0001 | | 928,500 | | | | 513,437 | |
| | WH SMITH PLC | | COMMON STOCK GBP.22 | | 24,284 | | | | 632,880 | |
| | WHARF HOLDINGS LTD | | COMMON STOCK | | 243,650 | | | | 1,349,547 | |
| | WHEELOCK + CO LTD | | COMMON STOCK | | 142,000 | | | | 598,501 | |
| | WHITBREAD PLC | | COMMON STOCK GBP.767974 | | 30,515 | | | | 1,971,610 | |
| | WHITECAP RESOURCES INC | | COMMON STOCK | | 55,900 | | | | 364,994 | |
| | WIENERBERGER AG | | COMMON STOCK | | 21,849 | | | | 404,959 | |
| | WIHLBORGS FASTIGHETER AB | | COMMON STOCK SEK2.5 | | 15,766 | | | | 318,506 | |
| | WILLIAM DEMANT HOLDING | | COMMON STOCK DKK1. | | 4,517 | | | | 428,811 | |
| | WILLIAM HILL PLC | | COMMON STOCK GBP.1 | | 173,341 | | | | 1,011,329 | |
| | WILMAR INTERNATIONAL LTD | | COMMON STOCK | | 307,000 | | | | 632,046 | |
| | WINBOND ELECTRONICS CORP | | COMMON STOCK TWD10. | | 588,843 | | | | 140,839 | |
| | WINCOR NIXDORF AG | | COMMON STOCK | | 7,879 | | | | 394,645 | |
| | WINSHINE ENT + MEDIA HOLDING | | COMMON STOCK HKD.1 | | 2,360,000 | | | | 175,894 | |
| | WIPRO LTD | | COMMON STOCK INR2. | | 110,251 | | | | 936,618 | |
| | WIRECARD AG | | COMMON STOCK | | 21,799 | | | | 1,099,619 | |
| | WISTRON CORP | | COMMON STOCK TWD10. | | 354,582 | | | | 199,561 | |
| | WM MORRISON SUPERMARKETS | | COMMON STOCK GBP.1 | | 386,076 | | | | 837,678 | |
| | WOLSELEY PLC | | COMMON STOCK GBP.1080303 | | 44,489 | | | | 2,417,879 | |
| | WOLTERS KLUWER | | COMMON STOCK EUR.12 | | 62,192 | | | | 2,082,926 | |
| | WOOD GROUP (JOHN) PLC | | COMMON STOCK GBP.042857 | | 63,824 | | | | 572,213 | |
| | WOODSIDE PETROLEUM LTD | | COMMON STOCK | | 123,686 | | | | 2,590,007 | |
| | WOOLWORTHS HOLDINGS LTD | | COMMON STOCK | | 166,870 | | | | 1,076,206 | |
| | WOOLWORTHS LTD | | COMMON STOCK | | 209,454 | | | | 3,700,795 | |
| | WOONGJIN THINKBIG CO LTD | | COMMON STOCK KRW500. | | 15,718 | | | | 136,182 | |
| | WOORI BANK | | COMMON STOCK KRW5000.0 | | 66,444 | | | | 497,409 | |
| | WORKSPACE GROUP PLC | | REIT GBP1.0 | | 24,269 | | | | 342,478 | |
| | WORLEYPARSONS LTD | | COMMON STOCK | | 43,914 | | | | 145,885 | |
| | WPG HOLDINGS CO LTD | | COMMON STOCK TWD10. | | 236,795 | | | | 225,190 | |
| | WPP PLC | | COMMON STOCK GBP.1 | | 220,691 | | | | 5,078,769 | |
| | WSP GLOBAL INC | | COMMON STOCK | | 13,900 | | | | 425,375 | |
| | WT MICROELECTRONICS CO LTD | | COMMON STOCK TWD10. | | 11,184 | | | | 12,018 | |
| | WUMART STORES INC H | | COMMON STOCK HKD1.0 | | 147,000 | | | | 116,969 | |
| | WYNN MACAU LTD | | COMMON STOCK HKD.001 | | 277,200 | | | | 321,288 | |
| | XCHANGING PLC | | COMMON STOCK GBP.05 | | 47,814 | | | | 135,891 | |
| | XINCHENG HLDG GROUP CO LTD | | COMMON STOCK CNY1.0 | | 279,360 | | | | 873,753 | |
| | XINGDA INT L HOLDINGS | | COMMON STOCK HKD.1 | | 431,000 | | | | 87,628 | |
| | XINHUA WINSHARE PUBLISHING H | | COMMON STOCK CNY1. | | 435,000 | | | | 393,676 | |
| | XINYI GLASS HOLDINGS LTD | | COMMON STOCK HKD.1 | | 439,580 | | | | 257,138 | |
| | XINYI SOLAR HOLDINGS LTD | | COMMON STOCK HKD.1 | | 835,580 | | | | 337,468 | |
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| | YAGEO CORPORATION | | COMMON STOCK TWD10. | | 165,868 | | | | 267,470 | |
| | YAHOO JAPAN CORP | | COMMON STOCK | | 264,000 | | | | 1,072,021 | |
| | YAKULT HONSHA CO LTD | | COMMON STOCK | | 15,400 | | | | 752,618 | |
| | YAMADA DENKI CO LTD | | COMMON STOCK | | 148,300 | | | | 640,802 | |
| | YAMAGUCHI FINANCIAL GROUP IN | | COMMON STOCK | | 39,000 | | | | 461,760 | |
| | YAMAHA CORP | | COMMON STOCK | | 32,000 | | | | 772,518 | |
| | YAMAHA MOTOR CO LTD | | COMMON STOCK | | 49,800 | | | | 1,115,029 | |
| | YAMANA GOLD INC | | COMMON STOCK | | 186,881 | | | | 345,752 | |
| | YAMATO HOLDINGS CO LTD | | COMMON STOCK | | 63,600 | | | | 1,346,850 | |
| | YAMATO KOGYO CO LTD | | COMMON STOCK | | 10,200 | | | | 259,970 | |
| | YAMAZAKI BAKING CO LTD | | COMMON STOCK | | 24,000 | | | | 538,322 | |
| | YANCHANG PETROLEUM INTERNATI | | COMMON STOCK HKD.02 | | 1,680,000 | | | | 32,308 | |
| | YANG MING MARINE TRANSPORT | | COMMON STOCK TWD10. | | 375,161 | | | | 98,611 | |
| | YANGZIJIANG SHIPBUILDING | | COMMON STOCK | | 312,000 | | | | 240,771 | |
| | YANZHOU COAL MINING CO H | | COMMON STOCK CNY1.0 | | 400,800 | | | | 185,939 | |
| | YAOKO CO LTD | | COMMON STOCK | | 4,800 | | | | 200,643 | |
| | YAPI VE KREDI BANKASI | | COMMON STOCK TRY1. | | 189,143 | | | | 212,949 | |
| | YARA INTERNATIONAL ASA | | COMMON STOCK NOK1.7 | | 30,805 | | | | 1,326,831 | |
| | YASKAWA ELECTRIC CORP | | COMMON STOCK | | 42,000 | | | | 571,172 | |
| | YINGDE GASES GROUP CO LTD | | COMMON STOCK USD.000001 | | 445,500 | | | | 204,653 | |
| | YIT OYJ | | COMMON STOCK | | 22,193 | | | | 124,914 | |
| | YOKOGAWA ELECTRIC CORP | | COMMON STOCK | | 49,200 | | | | 591,029 | |
| | YOKOHAMA REITO CO LTD | | COMMON STOCK | | 21,000 | | | | 183,879 | |
| | YOKOHAMA RUBBER CO LTD | | COMMON STOCK | | 21,000 | | | | 321,501 | |
| | YOMIURI LAND CO LTD | | COMMON STOCK | | 28,000 | | | | 92,824 | |
| | YONEX CO LTD | | COMMON STOCK | | 4,200 | | | | 107,331 | |
| | YOUNGONE CORP | | COMMON STOCK KRW500. | | 8,486 | | | | 302,652 | |
| | YTL CORP BHD | | COMMON STOCK MYR.1 | | 1,044,885 | | | | 381,190 | |
| | YTL POWER INTERNATIONAL BHD | | COMMON STOCK MYR.5 | | 868,753 | | | | 299,217 | |
| | YUANTA FINANCIAL HOLDING CO | | COMMON STOCK TWD10. | | 1,350,409 | | | | 496,824 | |
| | YUANTA SECURITIES KOREA | | COMMON STOCK KRW5000.0 | | 34,702 | | | | 106,804 | |
| | YUE YUEN INDUSTRIAL HLDG | | COMMON STOCK HKD.25 | | 150,738 | | | | 511,124 | |
| | YUEXIU PROPERTY CO LTD10 | | COMMON STOCK | | 1,812,000 | | | | 311,108 | |
| | YUEXIU TRANSPORT INFRASTRUCT | | COMMON STOCK HKD.1 | | 472,799 | | | | 295,813 | |
| | YUHAN CORP | | COMMON STOCK KRW5000.0 | | 1,757 | | | | 406,291 | |
| | YULON MOTOR COMPANY | | COMMON STOCK TWD10. | | 147,492 | | | | 134,571 | |
| | YURTEC CORP | | COMMON STOCK | | 39,000 | | | | 367,527 | |
| | YUSEN LOGISTICS CO LTD | | COMMON STOCK | | 7,800 | | | | 104,617 | |
| | YUSHIN PRECISION EQUIPMENT | | COMMON STOCK | | 7,800 | | | | 145,708 | |
| | ZALL DEVELOPMENT GR PARALLEL | | COMMON STOCK HKD.00334 | | 1,035,000 | | | | 261,504 | |
| | ZARDOYA OTIS SA | | COMMON STOCK EUR.1 | | 35,736 | | | | 416,212 | |
| | ZEE ENTERTAINMENT ENTERPRISE | | COMMON STOCK INR1. | | 109,507 | | | | 722,653 | |
| | ZENRIN CO LTD | | COMMON STOCK | | 13,700 | | | | 278,536 | |
| | ZENSHO HOLDINGS CO LTD | | COMMON STOCK | | 26,800 | | | | 336,948 | |
| | ZERIA PHARMACEUTICAL CO LTD | | COMMON STOCK | | 5,200 | | | | 68,682 | |
| | ZHEJIANG EXPRESSWAY CO H | | COMMON STOCK CNY1. | | 336,000 | | | | 402,709 | |
| | ZHEJIANG SHIBAO CO LTD H | | COMMON STOCK CNY1. | | 232,000 | | | | 269,618 | |
| | ZHONGSHENG GROUP HOLDINGS | | COMMON STOCK HKD.0001 | | 185,500 | | | | 111,466 | |
| | ZHUZHOU CSR TIMES ELECTRIC H | | COMMON STOCK CNY1. | | 111,000 | | | | 640,226 | |
| | ZIJIN MINING GROUP CO LTD H | | COMMON STOCK CNY.1 | | 1,227,000 | | | | 323,313 | |
| | ZINWELL CORPORATION | | COMMON STOCK TWD10. | | 327,690 | | | | 506,905 | |
| | ZODIAC AEROSPACE | | COMMON STOCK | | 37,195 | | | | 886,189 | |
| | ZORLU ENERJI ELEKTRIK URETIM | | COMMON STOCK TRY1. | | 293,829 | | | | 168,037 | |
| | ZTE CORP H | | COMMON STOCK CNY1. | | 262,390 | | | | 595,869 | |
| | ZURICH INSURANCE GROUP AG | | COMMON STOCK CHF.1 | | 25,297 | | | | 6,458,637 | |
| | ZYLE DAEWOO MOTOR SALES CORP | | COMMON STOCK KRW5000.0 | | 549 | | | | 0 | |
| | Currency Contract | | EUR/USD | | | | | | (252 | ) |
| | Currency Contract | | JPY/USD | | | | | | 16,990 | |
| | Currency Contract | | JPY/USD | | | | | | 147,168 | |
| | Currency Contract | | GBP/USD | | | | | | (225,555 | ) |
| | | | | | | | | | | |
| | | | Total: EXHIBIT B - Total International Stock Market Index Fund | | | | $ | 3,274,934,720 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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EXHIBIT C - Total Bond Market Fund
(Managed by Neuberger Berman)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 21ST CENTURY FOX AMERICA | | 6.15% 01 Mar 2037 | | 1,850,000.00 | | | | $ | 2,062,360 | |
| | ABBVIE INC | | 2.9% 06 Nov 2022 | | 2,000,000.00 | | | | 1,934,876.00 | |
| | ABBVIE INC | | 4.7% 14 May 2045 | | 2,760,000.00 | | | | 2,697,806.16 | |
| | ACE INA HOLDINGS | | 2.3% 03 Nov 2020 | | 5,330,000.00 | | | | 5,291,671.97 | |
| | ACTAVIS FUNDING SCS | | 2.45% 15 Jun 2019 | | 2,460,000.00 | | | | 2,433,402.48 | |
| | ACTAVIS FUNDING SCS | | 4.75% 15 Mar 2045 | | 1,800,000.00 | | | | 1,755,081.00 | |
| | AETNA INC | | 2.75% 15 Nov 2022 | | 1,650,000.00 | | | | 1,602,884.25 | |
| | ALABAMA POWER CO | | 2.8% 01 Apr 2025 | | 2,775,000.00 | | | | 2,677,553.10 | |
| | ALEXANDRIA REAL ESTATE E | | 3.9% 15 Jun 2023 | | 1,000,000.00 | | | | 987,644.00 | |
| | ALTRIA GROUP INC | | 9.95% 10 Nov 2038 | | 333,000.00 | | | | 533,754.71 | |
| | ALTRIA GROUP INC | | 5.375% 31 Jan 2044 | | 2,800,000.00 | | | | 3,011,792.00 | |
| | AMAZON.COM INC | | 4.8% 05 Dec 2034 | | 1,500,000.00 | | | | 1,579,312.50 | |
| | AMEREN ILLINOIS CO | | 4.15% 15 Mar 2046 | | 3,090,000.00 | | | | 3,083,968.32 | |
| | AMERICA MOVIL SAB DE CV | | 5% 30 Mar 2020 | | 1,800,000.00 | | | | 1,953,235.80 | |
| | AMERICAN EXPRESS CREDIT | | 2.375% 24 Mar 2017 | | 2,500,000.00 | | | | 2,527,150.00 | |
| | AMERICAN MUNI PWR OHIO INC OH | | 7.834% 15 Feb 2041 | | 930,000.00 | | | | 1,279,847.40 | |
| | AMERICAN TOWER CORP | | 3.5% 31 Jan 2023 | | 2,000,000.00 | | | | 1,954,828.00 | |
| | AMGEN INC | | 2.2% 22 May 2019 | | 1,800,000.00 | | | | 1,797,728.40 | |
| | AMGEN INC | | 3.875% 15 Nov 2021 | | 2,225,000.00 | | | | 2,318,171.88 | |
| | ANADARKO PETROLEUM CORP | | 3.45% 15 Jul 2024 | | 3,000,000.00 | | | | 2,665,032.00 | |
| | ANADARKO PETROLEUM CORP | | 6.2% 15 Mar 2040 | | 665,000.00 | | | | 611,830.59 | |
| | ANHEUSER BUSCH INBEV WOR | | 5.375% 15 Jan 2020 | | 4,990,000.00 | | | | 5,521,714.44 | |
| | ANTHEM INC | | 3.3% 15 Jan 2023 | | 1,400,000.00 | | | | 1,360,548.00 | |
| | APACHE CORP | | 4.75% 15 Apr 2043 | | 1,400,000.00 | | | | 1,169,966.00 | |
| | APACHE CORP | | 5.25% 01 Feb 2042 | | 500,000.00 | | | | 443,211.00 | |
| | APPLE INC | | 2.1% 06 May 2019 | | 5,785,000.00 | | | | 5,852,644.01 | |
| | AT+T INC | | 5.55% 15 Aug 2041 | | 7,820,000.00 | | | | 7,858,091.22 | |
| | AT+T INC | | 2.375% 27 Nov 2018 | | 5,000,000.00 | | | | 5,034,065.00 | |
| | AUST + NZ BANKING GRP NY | | 1.25% 10 Jan 2017 | | 3,635,000.00 | | | | 3,639,689.15 | |
| | AVALONBAY COMMUNITIES | | 5.7% 15 Mar 2017 | | 875,000.00 | | | | 914,897.38 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 1% 10 Apr 2049 | | 88,939.13 | | | | 88,936.87 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 5.356% 10 Oct 2045 | | 935,000.00 | | | | 946,642.71 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 1% 10 Jul 2044 | | 2,228,221.53 | | | | 2,239,984.76 | |
| | BANK OF AMERICA CORP | | 3.875% 01 Aug 2025 | | 8,250,000.00 | | | | 8,374,806.00 | |
| | BANK OF AMERICA CORP | | 2% 11 Jan 2018 | | 11,720,000.00 | | | | 11,705,057.00 | |
| | BANK OF AMERICA CORP | | 4.875% 01 Apr 2044 | | 1,700,000.00 | | | | 1,760,271.80 | |
| | BANK OF AMERICA CORP | | 3.3% 11 Jan 2023 | | 3,525,000.00 | | | | 3,469,745.63 | |
| | BARCLAYS BANK PLC | | 3.75% 15 May 2024 | | 5,000,000.00 | | | | 5,096,365.00 | |
| | BARRICK PD AU FIN PTY LT | | 5.95% 15 Oct 2039 | | 1,055,000.00 | | | | 720,019.57 | |
| | BAY AREA CA TOLL AUTH TOLL BRI | | 7.043% 01 Apr 2050 | | 500,000.00 | | | | 689,185.00 | |
| | BB+T CORPORATION | | 1.6% 15 Aug 2017 | | 500,000.00 | | | | 500,577.00 | |
| | BECTON DICKINSON AND CO | | 3.125% 08 Nov 2021 | | 1,100,000.00 | | | | 1,109,244.40 | |
| | BERKSHIRE HATHAWAY ENERG | | 6.125% 01 Apr 2036 | | 4,035,000.00 | | | | 4,705,391.04 | |
| | BERKSHIRE HATHAWAY FIN | | 5.75% 15 Jan 2040 | | 1,275,000.00 | | | | 1,488,009.15 | |
| | BHP BILLITON FIN USA LTD | | 3.25% 21 Nov 2021 | | 1,700,000.00 | | | | 1,596,813.40 | |
| | BIOGEN INC | | 4.05% 15 Sep 2025 | | 5,000,000.00 | | | | 5,022,690.00 | |
| | BOSTON PROPERTIES LP | | 5.625% 15 Nov 2020 | | 1,400,000.00 | | | | 1,558,226.60 | |
| | BP CAPITAL MARKETS PLC | | 2.521% 15 Jan 2020 | | 6,275,000.00 | | | | 6,254,593.70 | |
| | BP CAPITAL MARKETS PLC | | 3.994% 26 Sep 2023 | | 2,000,000.00 | | | | 2,045,318.00 | |
| | | | | | | | | | | | |
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| | BRITISH TELECOM PLC | | 9.625% 15 Dec 2030 | | 400,000.00 | | | | 583,662.00 | |
| | BURLINGTN NORTH SANTA FE | | 4.375% 01 Sep 2042 | | 1,800,000.00 | | | | 1,701,873.00 | |
| | BURLINGTN NORTH SANTA FE | | 4.9% 01 Apr 2044 | | 1,000,000.00 | | | | 1,026,174.00 | |
| | CALIFORNIA ST | | 7.55% 01 Apr 2039 | | 1,210,000.00 | | | | 1,757,537.10 | |
| | CARRINGTON MORTGAGE LOAN TRUST | | 1% 25 Jun 2036 | | 384,139.74 | | | | 4,069.50 | |
| | CATERPILLAR FINANCIAL SE | | 2.1% 09 Jun 2019 | | 2,600,000.00 | | | | 2,608,442.20 | |
| | CATERPILLAR FINL SERVICE | | 1.8% 13 Nov 2018 | | 5,000,000.00 | | | | 5,003,710.00 | |
| | CATERPILLAR INC | | 3.803% 15 Aug 2042 | | 938,000.00 | | | | 839,572.85 | |
| | CBS CORP | | 4.3% 15 Feb 2021 | | 2,100,000.00 | | | | 2,205,384.30 | |
| | CCO SAFARI II LLC | | 4.908% 23 Jul 2025 | | 3,000,000.00 | | | | 2,997,081.00 | |
| | CCO SAFARI II LLC | | 3.579% 23 Jul 2020 | | 2,000,000.00 | | | | 1,988,018.00 | |
| | CELGENE CORP | | 3.95% 15 Oct 2020 | | 795,000.00 | | | | 834,306.39 | |
| | CELGENE CORP | | 2.25% 15 May 2019 | | 1,750,000.00 | | | | 1,734,626.25 | |
| | CF INDUSTRIES INC | | 5.375% 15 Mar 2044 | | 2,410,000.00 | | | | 2,096,017.97 | |
| | CF INDUSTRIES INC | | 4.95% 01 Jun 2043 | | 1,000,000.00 | | | | 850,273.00 | |
| | CHEVRON CORP | | 2.411% 03 Mar 2022 | | 6,500,000.00 | | | | 6,326,508.50 | |
| | CISCO SYSTEMS INC | | 5.5% 15 Jan 2040 | | 765,000.00 | | | | 897,145.34 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 3.371% 10 Oct 2047 | | 7,075,000.00 | | | | 7,202,952.79 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 3.717% 15 Sep 2048 | | 3,400,000.00 | | | | 3,465,197.38 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 4.023% 10 Mar 2047 | | 3,530,000.00 | | | | 3,703,974.99 | |
| | CITIGROUP INC | | 2.5% 26 Sep 2018 | | 1,500,000.00 | | | | 1,513,027.50 | |
| | CITIGROUP INC | | 4.65% 30 Jul 2045 | | 3,000,000.00 | | | | 3,044,394.00 | |
| | CITIGROUP INC | | 3.875% 25 Oct 2023 | | 4,900,000.00 | | | | 5,063,758.00 | |
| | CITIGROUP INC | | 1.35% 10 Mar 2017 | | 4,505,000.00 | | | | 4,488,327.00 | |
| | COCA COLA CO/THE | | 3.15% 15 Nov 2020 | | 750,000.00 | | | | 785,082.75 | |
| | COCA COLA CO/THE | | 1.875% 27 Oct 2020 | | 2,000,000.00 | | | | 1,979,516.00 | |
| | COMCAST CORP | | 3.375% 15 Aug 2025 | | 5,000,000.00 | | | | 5,061,860.00 | |
| | COMCAST CORP | | 6.3% 15 Nov 2017 | | 1,565,000.00 | | | | 1,702,694.96 | |
| | COMCAST CORP | | 4.65% 15 Jul 2042 | | 760,000.00 | | | | 773,376.00 | |
| | COMM MORTGAGE TRUST | | 4.046% 10 Oct 2046 | | 4,000,000.00 | | | | 4,220,648.00 | |
| | COMM MORTGAGE TRUST | | 3.796% 10 Aug 2047 | | 1,640,000.00 | | | | 1,690,050.34 | |
| | COMM MORTGAGE TRUST | | 3.644% 10 Dec 2047 | | 2,535,000.00 | | | | 2,563,758.05 | |
| | COMMONWEALTH EDISON CO | | 2.15% 15 Jan 2019 | | 2,030,000.00 | | | | 2,020,558.47 | |
| | CONNECTICUT ST | | 5.85% 15 Mar 2032 | | 1,045,000.00 | | | | 1,231,783.30 | |
| | CONOCOPHILLIPS | | 6% 15 Jan 2020 | | 930,000.00 | | | | 1,036,118.58 | |
| | CONOCOPHILLIPS COMPANY | | 4.3% 15 Nov 2044 | | 600,000.00 | | | | 498,613.80 | |
| | CONSOLIDATED EDISON CO O | | 3.95% 01 Mar 2043 | | 2,500,000.00 | | | | 2,309,080.00 | |
| | COOPERATIEVE RABOBANK UA | | 4.625% 01 Dec 2023 | | 2,000,000.00 | | | | 2,084,290.00 | |
| | CORP ANDINA DE FOMENTO | | 8.125% 04 Jun 2019 | | 655,000.00 | | | | 777,812.50 | |
| | CORPORATE OFFICE PROP LP | | 3.6% 15 May 2023 | | 1,000,000.00 | | | | 921,394.00 | |
| | COVIDIEN INTL FINANCE SA | | 3.2% 15 Jun 2022 | | 650,000.00 | | | | 651,570.40 | |
| | CRED SUIS GP FUN LTD | | 3.75% 26 Mar 2025 | | 5,000,000.00 | | | | 4,836,420.00 | |
| | CREDIT SUISSE NEW YORK | | 1.75% 29 Jan 2018 | | 3,100,000.00 | | | | 3,091,292.10 | |
| | CSX CORP | | 4.75% 30 May 2042 | | 850,000.00 | | | | 846,943.40 | |
| | CVS HEALTH CORP | | 5.125% 20 Jul 2045 | | 1,450,000.00 | | | | 1,527,474.95 | |
| | CVS HEALTH CORP | | 2.8% 20 Jul 2020 | | 4,760,000.00 | | | | 4,781,381.92 | |
| | CVS HEALTH CORP | | 5.3% 05 Dec 2043 | | 750,000.00 | | | | 805,562.25 | |
| | DEUTSCHE BANK AG LONDON | | 1.35% 30 May 2017 | | 3,930,000.00 | | | | 3,904,671.15 | |
| | DEVON FINANCING CORP LLC | | 7.875% 30 Sep 2031 | | 1,200,000.00 | | | | 1,230,794.40 | |
| | DIRECTV HOLDINGS/FING | | 2.4% 15 Mar 2017 | | 1,500,000.00 | | | | 1,512,070.50 | |
| | DIRECTV HOLDINGS/FING | | 6% 15 Aug 2040 | | 1,730,000.00 | | | | 1,770,355.71 | |
| | DISCOVERY COMMUNICATIONS | | 4.375% 15 Jun 2021 | | 1,180,000.00 | | | | 1,209,255.74 | |
| | DOMINION RESOURCES INC | | 4.45% 15 Mar 2021 | | 4,600,000.00 | | | | 4,867,683.20 | |
| | DOMINION RESOURCES INC | | 1.25% 15 Mar 2017 | | 1,930,000.00 | | | | 1,918,045.58 | |
| | DOVER CORP | | 4.3% 01 Mar 2021 | | 960,000.00 | | | | 1,034,311.68 | |
| | DOW CHEMICAL CO/THE | | 3% 15 Nov 2022 | | 2,100,000.00 | | | | 2,010,363.60 | |
| | DUKE ENERGY CORP | | 2.1% 15 Jun 2018 | | 2,490,000.00 | | | | 2,493,408.81 | |
| | DUKE REALTY LP | | 5.95% 15 Feb 2017 | | 67,000.00 | | | | 69,953.90 | |
| | ECOLAB INC | | 5.5% 08 Dec 2041 | | 700,000.00 | | | | 761,607.00 | |
| | ECOPETROL SA | | 5.875% 28 May 2045 | | 1,275,000.00 | | | | 905,250.00 | |
| | EMC CORP/MA | | 1.875% 01 Jun 2018 | | 2,340,000.00 | | | | 2,183,402.52 | |
| | ENABLE MIDSTREAM PARTNER | | 2.4% 15 May 2019 | | 1,755,000.00 | | | | 1,559,271.87 | |
| | ENCANA CORP | | 6.5% 01 Feb 2038 | | 475,000.00 | | | | 380,097.38 | |
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| | ENERGY TRANSFER PARTNERS | | 6.5% 01 Feb 2042 | | 1,925,000.00 | | | | 1,565,592.88 | |
| | ENTERPRISE PRODUCTS OPER | | 3.35% 15 Mar 2023 | | 1,800,000.00 | | | | 1,627,666.20 | |
| | ENTERPRISE PRODUCTS OPER | | 7.55% 15 Apr 2038 | | 800,000.00 | | | | 855,550.40 | |
| | ENTERPRISE PRODUCTS OPER | | 1.65% 07 May 2018 | | 4,445,000.00 | | | | 4,336,315.31 | |
| | ERICSSON LM | | 4.125% 15 May 2022 | | 1,905,000.00 | | | | 1,953,047.91 | |
| | EUROPEAN INVESTMENT BANK | | 4% 16 Feb 2021 | | 2,250,000.00 | | | | 2,461,254.75 | |
| | EUROPEAN INVESTMENT BANK | | 0.875% 18 Apr 2017 | | 10,445,000.00 | | | | 10,421,759.88 | |
| | EXELON CORP | | 2.85% 15 Jun 2020 | | 4,380,000.00 | | | | 4,356,054.54 | |
| | EXELON GENERATION CO LLC | | 4% 01 Oct 2020 | | 2,300,000.00 | | | | 2,370,396.10 | |
| | EXELON GENERATION CO LLC | | 5.2% 01 Oct 2019 | | 2,000,000.00 | | | | 2,154,572.00 | |
| | FANNIE MAE | | 1.875% 28 Dec 2020 | | 3,500,000.00 | | | | 3,498,103.00 | |
| | FANNIE MAE | | 6% 18 Apr 2036 | | 195,000.00 | | | | 197,987.99 | |
| | FANNIE MAE | | 1.125% 14 Dec 2018 | | 10,000,000.00 | | | | 9,916,690.00 | |
| | FANNIE MAE | | 1.5% 22 Jun 2020 | | 4,500,000.00 | | | | 4,443,966.00 | |
| | FANNIE MAE | | 2.625% 06 Sep 2024 | | 3,135,000.00 | | | | 3,168,102.47 | |
| | FANNIE MAE | | 2% 26 Sep 2017 | | 1,770,000.00 | | | | 1,783,508.64 | |
| | FANNIE MAE | | 1.625% 21 Jan 2020 | | 3,090,000.00 | | | | 3,078,347.61 | |
| | FANNIE MAE | | 1.75% 20 Jun 2019 | | 4,000,000.00 | | | | 4,030,644.00 | |
| | FANNIE MAE | | 1.6% 24 Dec 2020 | | 3,180,000.00 | | | | 3,121,990.44 | |
| | FANNIE MAE | | 0.01% 09 Oct 2019 | | 250,000.00 | | | | 231,504.00 | |
| | FANNIE MAE | | 7.125% 15 Jan 2030 | | 865,000.00 | | | | 1,267,418.76 | |
| | FANNIE MAE | | 7.25% 15 May 2030 | | 330,000.00 | | | | 487,817.22 | |
| | FANNIE MAE | | 5% 13 Feb 2017 | | 6,500,000.00 | | | | 6,793,852.00 | |
| | FANNIE MAE | | 6.625% 15 Nov 2030 | | 535,000.00 | | | | 757,632.23 | |
| | FANNIE MAE | | 1.125% 19 Oct 2018 | | 6,250,000.00 | | | | 6,210,156.25 | |
| | FED HM LN PC POOL A17554 | | 5.5% 01 Jan 2034 | | 149,348.26 | | | | 167,635.06 | |
| | FED HM LN PC POOL A23137 | | 5% 01 Jun 2034 | | 1,668,110.40 | | | | 1,837,527.78 | |
| | FED HM LN PC POOL A31788 | | 5% 01 Mar 2035 | | 204,465.25 | | | | 224,467.39 | |
| | FED HM LN PC POOL A35945 | | 5% 01 Jul 2035 | | 73,248.84 | | | | 80,408.65 | |
| | FED HM LN PC POOL A46663 | | 5% 01 Aug 2035 | | 80,019.93 | | | | 87,844.96 | |
| | FED HM LN PC POOL A48972 | | 5.5% 01 May 2036 | | 114,911.09 | | | | 126,874.35 | |
| | FED HM LN PC POOL A51249 | | 6% 01 Aug 2036 | | 42,976.75 | | | | 48,888.68 | |
| | FED HM LN PC POOL A54174 | | 6% 01 Nov 2036 | | 8,963.73 | | | | 10,227.28 | |
| | FED HM LN PC POOL A55275 | | 5.5% 01 Dec 2036 | | 40,350.75 | | | | 44,551.62 | |
| | FED HM LN PC POOL A56733 | | 6% 01 Jan 2037 | | 24,768.91 | | | | 27,818.23 | |
| | FED HM LN PC POOL A56988 | | 5.5% 01 Feb 2037 | | 171,184.93 | | | | 189,859.84 | |
| | FED HM LN PC POOL A57943 | | 5% 01 Mar 2037 | | 79,461.34 | | | | 86,868.05 | |
| | FED HM LN PC POOL A60311 | | 5% 01 May 2037 | | 110,535.17 | | | | 120,602.91 | |
| | FED HM LN PC POOL A61985 | | 6% 01 Jun 2037 | | 49,298.33 | | | | 55,669.93 | |
| | FED HM LN PC POOL A63820 | | 6% 01 Aug 2037 | | 18,345.82 | | | | 20,678.90 | |
| | FED HM LN PC POOL A65647 | | 5.5% 01 Sep 2037 | | 941.81 | | | | 1,042.60 | |
| | FED HM LN PC POOL A65895 | | 6% 01 Sep 2037 | | 2,188.09 | | | | 2,457.41 | |
| | FED HM LN PC POOL A66380 | | 6% 01 Sep 2037 | | 37,725.53 | | | | 42,543.30 | |
| | FED HM LN PC POOL A66777 | | 6% 01 Oct 2037 | | 51,789.93 | | | | 58,487.82 | |
| | FED HM LN PC POOL A68547 | | 5.5% 01 Nov 2037 | | 5,055.46 | | | | 5,581.86 | |
| | FED HM LN PC POOL A71925 | | 5% 01 Jan 2038 | | 206,370.97 | | | | 225,349.00 | |
| | FED HM LN PC POOL A72047 | | 5% 01 Jan 2038 | | 1,883.47 | | | | 2,054.74 | |
| | FED HM LN PC POOL A72232 | | 6% 01 Feb 2038 | | 9,698.81 | | | | 10,885.84 | |
| | FED HM LN PC POOL A74128 | | 5.5% 01 Feb 2038 | | 139,385.96 | | | | 154,570.91 | |
| | FED HM LN PC POOL A74793 | | 5% 01 Mar 2038 | | 269,315.02 | | | | 294,197.94 | |
| | FED HM LN PC POOL A75230 | | 5% 01 Apr 2038 | | 110,091.62 | | | | 120,156.48 | |
| | FED HM LN PC POOL A76467 | | 6% 01 Apr 2038 | | 21,728.82 | | | | 24,526.81 | |
| | FED HM LN PC POOL A77766 | | 6% 01 Jun 2038 | | 115,184.86 | | | | 129,990.81 | |
| | FED HM LN PC POOL A77961 | | 5.5% 01 Jun 2038 | | 30,468.36 | | | | 33,793.43 | |
| | FED HM LN PC POOL A77976 | | 6% 01 Jun 2038 | | 49,656.20 | | | | 55,760.03 | |
| | FED HM LN PC POOL A78147 | | 5.5% 01 Jun 2038 | | 2,819.13 | | | | 3,125.34 | |
| | FED HM LN PC POOL A80388 | | 6% 01 Dec 2036 | | 541.02 | | | | 613.47 | |
| | FED HM LN PC POOL A80970 | | 5.5% 01 Aug 2038 | | 14,881.79 | | | | 16,501.03 | |
| | FED HM LN PC POOL A81327 | | 6% 01 Aug 2038 | | 13,371.92 | | | | 15,015.66 | |
| | FED HM LN PC POOL A81426 | | 6% 01 Sep 2038 | | 6,219.12 | | | | 6,979.91 | |
| | FED HM LN PC POOL A81569 | | 6% 01 Aug 2038 | | 86,068.09 | | | | 97,261.02 | |
| | FED HM LN PC POOL A82880 | | 5.5% 01 Nov 2038 | | 57,627.48 | | | | 63,627.01 | |
| | FED HM LN PC POOL A83435 | | 6% 01 Dec 2038 | | 55,443.39 | | | | 62,321.74 | |
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| | FED HM LN PC POOL A84660 | | 5.5% 01 Feb 2039 | | 5,771.22 | | | | 6,374.78 | |
| | FED HM LN PC POOL A85013 | | 5.5% 01 Jan 2039 | | 112,193.49 | | | | 123,918.96 | |
| | FED HM LN PC POOL A86521 | | 4.5% 01 May 2039 | | 365,785.04 | | | | 394,586.22 | |
| | FED HM LN PC POOL A87250 | | 5% 01 Jun 2039 | | 216,446.64 | | | | 236,731.48 | |
| | FED HM LN PC POOL A88235 | | 5.5% 01 Aug 2039 | | 77,420.70 | | | | 85,684.15 | |
| | FED HM LN PC POOL A90575 | | 5.5% 01 Jan 2040 | | 15,738.18 | | | | 17,402.66 | |
| | FED HM LN PC POOL A91538 | | 4.5% 01 Mar 2040 | | 324,797.85 | | | | 350,357.41 | |
| | FED HM LN PC POOL A91695 | | 4.5% 01 Apr 2040 | | 70,299.81 | | | | 75,842.86 | |
| | FED HM LN PC POOL A92458 | | 5% 01 Jun 2040 | | 39,749.61 | | | | 43,650.39 | |
| | FED HM LN PC POOL A92939 | | 5% 01 Jul 2040 | | 725,646.29 | | | | 796,856.36 | |
| | FED HM LN PC POOL A93010 | | 4.5% 01 Jul 2040 | | 239,016.15 | | | | 257,705.55 | |
| | FED HM LN PC POOL A93505 | | 4.5% 01 Aug 2040 | | 279,302.46 | | | | 301,276.89 | |
| | FED HM LN PC POOL A93520 | | 4.5% 01 Aug 2040 | | 365,673.94 | | | | 394,445.39 | |
| | FED HM LN PC POOL A93548 | | 4.5% 01 Aug 2040 | | 44,879.74 | | | | 48,410.97 | |
| | FED HM LN PC POOL A95258 | | 4% 01 Nov 2040 | | 387,307.40 | | | | 410,391.76 | |
| | FED HM LN PC POOL A95582 | | 4% 01 Dec 2040 | | 744,086.49 | | | | 788,467.00 | |
| | FED HM LN PC POOL A96174 | | 4% 01 Jan 2041 | | 280,543.78 | | | | 297,309.60 | |
| | FED HM LN PC POOL A96687 | | 4% 01 Jan 2041 | | 606,850.88 | | | | 643,113.82 | |
| | FED HM LN PC POOL A96807 | | 4% 01 Feb 2041 | | 296,537.11 | | | | 314,253.33 | |
| | FED HM LN PC POOL A97473 | | 4.5% 01 Mar 2041 | | 237,218.83 | | | | 255,913.66 | |
| | FED HM LN PC POOL A97479 | | 4.5% 01 Mar 2041 | | 355,752.87 | | | | 383,721.41 | |
| | FED HM LN PC POOL A97620 | | 4.5% 01 Mar 2041 | | 1,176,508.88 | | | | 1,269,182.24 | |
| | FED HM LN PC POOL A97673 | | 4.5% 01 Mar 2041 | | 23,035.49 | | | | 24,849.17 | |
| | FED HM LN PC POOL A97759 | | 5% 01 Mar 2041 | | 530,655.61 | | | | 582,469.16 | |
| | FED HM LN PC POOL B14973 | | 5% 01 Jun 2019 | | 186,229.04 | | | | 195,958.74 | |
| | FED HM LN PC POOL B15314 | | 5% 01 Jul 2019 | | 120,229.99 | | | | 126,510.64 | |
| | FED HM LN PC POOL C01846 | | 5% 01 Jun 2034 | | 400,307.41 | | | | 440,452.33 | |
| | FED HM LN PC POOL C02551 | | 6% 01 Jun 2036 | | 56,985.14 | | | | 64,936.39 | |
| | FED HM LN PC POOL C03478 | | 4.5% 01 Jun 2040 | | 193,782.88 | | | | 209,029.13 | |
| | FED HM LN PC POOL C03479 | | 5% 01 Jun 2040 | | 202,018.88 | | | | 221,842.97 | |
| | FED HM LN PC POOL C03531 | | 4% 01 Oct 2040 | | 344,037.56 | | | | 364,576.18 | |
| | FED HM LN PC POOL C04244 | | 3.5% 01 Sep 2042 | | 1,597,867.48 | | | | 1,646,863.99 | |
| | FED HM LN PC POOL C09008 | | 3% 01 Aug 2042 | | 455,277.71 | | | | 455,585.11 | |
| | FED HM LN PC POOL C09035 | | 3% 01 Apr 2043 | | 532,674.56 | | | | 533,034.74 | |
| | FED HM LN PC POOL C09042 | | 3.5% 01 May 2043 | | 537,160.46 | | | | 553,524.80 | |
| | FED HM LN PC POOL E01279 | | 5.5% 01 Jan 2018 | | 89,778.86 | | | | 92,644.42 | |
| | FED HM LN PC POOL E93873 | | 5.5% 01 Jan 2018 | | 38,559.87 | | | | 39,530.91 | |
| | FED HM LN PC POOL E94294 | | 5.5% 01 Feb 2018 | | 39,802.39 | | | | 40,762.05 | |
| | FED HM LN PC POOL G01781 | | 6.5% 01 Dec 2034 | | 1,614,488.47 | | | | 1,898,823.64 | |
| | FED HM LN PC POOL G01840 | | 5% 01 Jul 2035 | | 4,758.67 | | | | 5,251.74 | |
| | FED HM LN PC POOL G01879 | | 4.5% 01 Aug 2035 | | 119,260.73 | | | | 128,751.53 | |
| | FED HM LN PC POOL G01883 | | 5% 01 Aug 2035 | | 44,027.58 | | | | 48,489.74 | |
| | FED HM LN PC POOL G01974 | | 5% 01 Dec 2035 | | 24,879.14 | | | | 27,359.96 | |
| | FED HM LN PC POOL G02391 | | 6% 01 Nov 2036 | | 7,316.25 | | | | 8,314.57 | |
| | FED HM LN PC POOL G02469 | | 5.5% 01 Dec 2036 | | 87,351.68 | | | | 97,084.42 | |
| | FED HM LN PC POOL G02478 | | 5.5% 01 Dec 2036 | | 46,713.13 | | | | 51,901.44 | |
| | FED HM LN PC POOL G02680 | | 6% 01 Mar 2037 | | 228,112.11 | | | | 257,749.78 | |
| | FED HM LN PC POOL G02793 | | 5% 01 May 2037 | | 120,077.55 | | | | 131,411.62 | |
| | FED HM LN PC POOL G02939 | | 5.5% 01 May 2037 | | 201,443.12 | | | | 224,085.75 | |
| | FED HM LN PC POOL G03238 | | 6% 01 Aug 2037 | | 53,051.37 | | | | 59,962.07 | |
| | FED HM LN PC POOL G03350 | | 5.5% 01 Sep 2037 | | 99,807.27 | | | | 111,010.74 | |
| | FED HM LN PC POOL G03432 | | 5.5% 01 Nov 2037 | | 19,289.55 | | | | 21,456.83 | |
| | FED HM LN PC POOL G03698 | | 6% 01 Dec 2037 | | 34,837.52 | | | | 39,289.77 | |
| | FED HM LN PC POOL G03776 | | 6% 01 Jan 2038 | | 14,452.76 | | | | 16,314.70 | |
| | FED HM LN PC POOL G03781 | | 6% 01 Jan 2038 | | 88,124.40 | | | | 99,095.79 | |
| | FED HM LN PC POOL G03819 | | 6% 01 Jan 2038 | | 77,075.47 | | | | 86,792.63 | |
| | FED HM LN PC POOL G04316 | | 6% 01 May 2038 | | 59,094.79 | | | | 66,473.35 | |
| | FED HM LN PC POOL G04725 | | 5% 01 Oct 2036 | | 87,070.90 | | | | 95,834.27 | |
| | FED HM LN PC POOL G04776 | | 5.5% 01 Jul 2038 | | 240,985.44 | | | | 268,190.44 | |
| | FED HM LN PC POOL G04891 | | 5.5% 01 Jan 2038 | | 53,266.04 | | | | 59,149.07 | |
| | FED HM LN PC POOL G04913 | | 5% 01 Mar 2038 | | 194,867.01 | | | | 213,214.80 | |
| | FED HM LN PC POOL G04916 | | 5% 01 Dec 2035 | | 113,557.64 | | | | 124,598.92 | |
| | FED HM LN PC POOL G04920 | | 6% 01 Nov 2038 | | 27,274.37 | | | | 30,811.52 | |
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| | FED HM LN PC POOL G04924 | | 6% 01 Nov 2038 | | 37,723.19 | | | | 42,570.41 | |
| | FED HM LN PC POOL G04986 | | 5.5% 01 Nov 2037 | | 279,545.43 | | | | 310,265.63 | |
| | FED HM LN PC POOL G05120 | | 5.5% 01 Dec 2038 | | 49,182.84 | | | | 54,578.30 | |
| | FED HM LN PC POOL G05132 | | 5% 01 Dec 2038 | | 2,310.61 | | | | 2,523.31 | |
| | FED HM LN PC POOL G05179 | | 5.5% 01 Jan 2039 | | 28,537.06 | | | | 31,754.56 | |
| | FED HM LN PC POOL G05299 | | 4.5% 01 Jun 2038 | | 266,127.21 | | | | 287,802.12 | |
| | FED HM LN PC POOL G05397 | | 4.5% 01 Apr 2039 | | 394,707.22 | | | | 425,719.37 | |
| | FED HM LN PC POOL G05432 | | 6% 01 Apr 2039 | | 286,101.32 | | | | 321,688.18 | |
| | FED HM LN PC POOL G05666 | | 6% 01 Apr 2038 | | 19,199.63 | | | | 21,583.80 | |
| | FED HM LN PC POOL G05922 | | 5.5% 01 Jul 2039 | | 50,811.86 | | | | 56,548.20 | |
| | FED HM LN PC POOL G05958 | | 5% 01 Aug 2040 | | 162,221.96 | | | | 178,141.14 | |
| | FED HM LN PC POOL G06012 | | 4% 01 Sep 2040 | | 101,470.85 | | | | 108,461.64 | |
| | FED HM LN PC POOL G06021 | | 5.5% 01 Jan 2040 | | 183,601.41 | | | | 204,281.58 | |
| | FED HM LN PC POOL G06193 | | 5.5% 01 May 2040 | | 27,221.43 | | | | 30,277.30 | |
| | FED HM LN PC POOL G06800 | | 4% 01 Oct 2041 | | 620,605.01 | | | | 657,741.35 | |
| | FED HM LN PC POOL G06892 | | 4% 01 Jan 2042 | | 392,193.08 | | | | 414,917.90 | |
| | FED HM LN PC POOL G06970 | | 4% 01 Jun 2041 | | 318,742.10 | | | | 338,206.52 | |
| | FED HM LN PC POOL G07068 | | 5% 01 Jul 2041 | | 212,753.46 | | | | 232,243.49 | |
| | FED HM LN PC POOL G07083 | | 4% 01 Jul 2042 | | 268,417.66 | | | | 284,993.80 | |
| | FED HM LN PC POOL G07216 | | 4% 01 Jul 2042 | | 339,946.03 | | | | 359,336.06 | |
| | FED HM LN PC POOL G07266 | | 4% 01 Dec 2042 | | 1,293,889.46 | | | | 1,369,427.66 | |
| | FED HM LN PC POOL G07459 | | 3.5% 01 Aug 2043 | | 1,509,239.39 | | | | 1,555,274.69 | |
| | FED HM LN PC POOL G07508 | | 4.5% 01 Oct 2043 | | 340,141.50 | | | | 367,452.89 | |
| | FED HM LN PC POOL G07519 | | 5.5% 01 Apr 2039 | | 193,315.30 | | | | 215,067.83 | |
| | FED HM LN PC POOL G07574 | | 6% 01 May 2040 | | 90,894.77 | | | | 103,669.40 | |
| | FED HM LN PC POOL G07642 | | 5% 01 Oct 2041 | | 1,298,505.82 | | | | 1,425,784.70 | |
| | FED HM LN PC POOL G07842 | | 4.5% 01 Jul 2044 | | 500,592.02 | | | | 540,894.16 | |
| | FED HM LN PC POOL G07903 | | 4.5% 01 Jul 2044 | | 261,839.53 | | | | 283,213.78 | |
| | FED HM LN PC POOL G07961 | | 3.5% 01 Mar 2045 | | 2,734,720.71 | | | | 2,821,265.87 | |
| | FED HM LN PC POOL G08160 | | 5.5% 01 Nov 2036 | | 646,296.07 | | | | 718,276.79 | |
| | FED HM LN PC POOL G08210 | | 6% 01 Jul 2037 | | 196,717.69 | | | | 221,823.96 | |
| | FED HM LN PC POOL G08255 | | 5% 01 Mar 2038 | | 177,017.29 | | | | 193,222.07 | |
| | FED HM LN PC POOL G08271 | | 6% 01 May 2038 | | 40,008.69 | | | | 45,057.68 | |
| | FED HM LN PC POOL G08273 | | 5.5% 01 Jun 2038 | | 35,399.08 | | | | 39,312.04 | |
| | FED HM LN PC POOL G08323 | | 5% 01 Feb 2039 | | 190,763.37 | | | | 208,273.71 | |
| | FED HM LN PC POOL G08368 | | 4.5% 01 Oct 2039 | | 47,941.57 | | | | 51,713.04 | |
| | FED HM LN PC POOL G08372 | | 4.5% 01 Nov 2039 | | 193,104.35 | | | | 208,281.31 | |
| | FED HM LN PC POOL G08447 | | 4.5% 01 May 2041 | | 135,403.64 | | | | 146,382.86 | |
| | FED HM LN PC POOL G08479 | | 3.5% 01 Mar 2042 | | 510,989.56 | | | | 526,709.38 | |
| | FED HM LN PC POOL G08524 | | 3% 01 Mar 2043 | | 2,440,464.67 | | | | 2,441,955.40 | |
| | FED HM LN PC POOL G08525 | | 3% 01 May 2043 | | 1,233,033.92 | | | | 1,233,548.70 | |
| | FED HM LN PC POOL G08528 | | 3% 01 Apr 2043 | | 1,636,618.69 | | | | 1,637,513.38 | |
| | FED HM LN PC POOL G08534 | | 3% 01 Jun 2043 | | 147,689.55 | | | | 147,751.19 | |
| | FED HM LN PC POOL G08537 | | 3% 01 Jul 2043 | | 3,312,079.99 | | | | 3,313,034.37 | |
| | FED HM LN PC POOL G08540 | | 3% 01 Aug 2043 | | 667,139.40 | | | | 667,331.57 | |
| | FED HM LN PC POOL G08549 | | 4.5% 01 Sep 2043 | | 179,696.39 | | | | 194,100.78 | |
| | FED HM LN PC POOL G08558 | | 4% 01 Nov 2043 | | 299,902.20 | | | | 317,108.31 | |
| | FED HM LN PC POOL G08559 | | 4.5% 01 Nov 2043 | | 668,984.55 | | | | 722,563.05 | |
| | FED HM LN PC POOL G08577 | | 4% 01 Mar 2044 | | 507,072.31 | | | | 536,271.80 | |
| | FED HM LN PC POOL G08578 | | 4.5% 01 Mar 2044 | | 1,006,945.20 | | | | 1,087,143.13 | |
| | FED HM LN PC POOL G08587 | | 4.5% 01 May 2044 | | 38,796.03 | | | | 41,888.49 | |
| | FED HM LN PC POOL G08592 | | 4% 01 Jun 2044 | | 558,867.67 | | | | 590,811.58 | |
| | FED HM LN PC POOL G08593 | | 4.5% 01 Jun 2044 | | 437,886.83 | | | | 472,236.28 | |
| | FED HM LN PC POOL G08597 | | 3.5% 01 Jul 2044 | | 1,317,703.12 | | | | 1,357,532.24 | |
| | FED HM LN PC POOL G08605 | | 3.5% 01 Sep 2044 | | 1,481,603.02 | | | | 1,526,386.20 | |
| | FED HM LN PC POOL G08609 | | 3.5% 01 Oct 2044 | | 1,150,846.07 | | | | 1,185,631.74 | |
| | FED HM LN PC POOL G08615 | | 3.5% 01 Nov 2044 | | 433,026.60 | | | | 446,115.34 | |
| | FED HM LN PC POOL G08625 | | 4.5% 01 Jan 2045 | | 85,213.51 | | | | 92,057.65 | |
| | FED HM LN PC POOL G08626 | | 3% 01 Feb 2045 | | 1,044,704.89 | | | | 1,043,831.30 | |
| | FED HM LN PC POOL G08627 | | 3.5% 01 Feb 2045 | | 1,455,086.78 | | | | 1,499,068.48 | |
| | FED HM LN PC POOL G08628 | | 4% 01 Feb 2045 | | 669,169.10 | | | | 707,602.13 | |
| | FED HM LN PC POOL G08629 | | 4.5% 01 Feb 2045 | | 255,509.58 | | | | 275,270.32 | |
| | FED HM LN PC POOL G08635 | | 3% 01 Apr 2045 | | 1,128,711.97 | | | | 1,127,768.13 | |
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Table of Contents
| | FED HM LN PC POOL G08636 | | 3.5% 01 Apr 2045 | | 790,959.00 | | | | 814,866.66 | |
| | FED HM LN PC POOL G08637 | | 4% 01 Apr 2045 | | 712,853.49 | | | | 753,784.20 | |
| | FED HM LN PC POOL G08653 | | 3% 01 Jul 2045 | | 2,012,545.02 | | | | 2,010,862.11 | |
| | FED HM LN PC POOL G08654 | | 3.5% 01 Jul 2045 | | 1,078,557.30 | | | | 1,111,157.96 | |
| | FED HM LN PC POOL G08655 | | 4% 01 Jul 2045 | | 1,629,834.56 | | | | 1,723,228.46 | |
| | FED HM LN PC POOL G08658 | | 3% 01 Aug 2045 | | 1,281,947.80 | | | | 1,280,875.82 | |
| | FED HM LN PC POOL G08659 | | 3.5% 01 Aug 2045 | | 1,550,211.00 | | | | 1,597,067.94 | |
| | FED HM LN PC POOL G11552 | | 5.5% 01 Feb 2019 | | 64,506.38 | | | | 67,082.96 | |
| | FED HM LN PC POOL G14047 | | 5.5% 01 Dec 2024 | | 172,632.29 | | | | 184,861.94 | |
| | FED HM LN PC POOL G18188 | | 4.5% 01 Apr 2022 | | 38,491.57 | | | | 40,946.65 | |
| | FED HM LN PC POOL G30406 | | 5.5% 01 Jul 2028 | | 138,684.40 | | | | 153,122.67 | |
| | FED HM LN PC POOL G30759 | | 5% 01 Jun 2031 | | 70,251.08 | | | | 76,639.05 | |
| | FED HM LN PC POOL G60034 | | 4.5% 01 Feb 2045 | | 328,289.89 | | | | 354,370.90 | |
| | FED HM LN PC POOL G60069 | | 3% 01 Apr 2045 | | 818,688.37 | | | | 818,479.64 | |
| | FED HM LN PC POOL G60078 | | 4.5% 01 Nov 2044 | | 349,386.79 | | | | 377,083.14 | |
| | FED HM LN PC POOL G60174 | | 4% 01 Oct 2043 | | 1,009,205.04 | | | | 1,068,789.08 | |
| | FED HM LN PC POOL G60187 | | 3% 01 Aug 2045 | | 52,668.24 | | | | 52,624.20 | |
| | FED HM LN PC POOL J05098 | | 4.5% 01 Jun 2022 | | 135,506.80 | | | | 142,749.53 | |
| | FED HM LN PC POOL J17233 | | 3% 01 Nov 2026 | | 605,037.19 | | | | 624,628.78 | |
| | FED HM LN PC POOL Q00093 | | 4% 01 Apr 2041 | | 894,384.16 | | | | 947,832.92 | |
| | FED HM LN PC POOL Q00291 | | 5% 01 Apr 2041 | | 553,163.83 | | | | 607,179.42 | |
| | FED HM LN PC POOL Q00876 | | 4.5% 01 May 2041 | | 363,385.62 | | | | 392,096.80 | |
| | FED HM LN PC POOL Q00927 | | 5% 01 May 2041 | | 121,991.27 | | | | 133,964.16 | |
| | FED HM LN PC POOL Q01348 | | 4.5% 01 Jun 2041 | | 345,352.87 | | | | 372,550.64 | |
| | FED HM LN PC POOL Q01443 | | 4.5% 01 Jun 2041 | | 443,379.61 | | | | 478,319.15 | |
| | FED HM LN PC POOL Q01798 | | 4.5% 01 Jul 2041 | | 92,549.04 | | | | 99,868.19 | |
| | FED HM LN PC POOL Q01936 | | 5% 01 Jun 2041 | | 38,569.96 | | | | 42,118.91 | |
| | FED HM LN PC POOL Q02583 | | 4.5% 01 Aug 2041 | | 205,342.16 | | | | 221,833.29 | |
| | FED HM LN PC POOL Q04108 | | 4% 01 Oct 2041 | | 382,896.53 | | | | 405,457.08 | |
| | FED HM LN PC POOL Q04461 | | 4% 01 Nov 2041 | | 397,967.59 | | | | 421,416.64 | |
| | FED HM LN PC POOL Q06344 | | 4% 01 Feb 2042 | | 560,542.23 | | | | 594,812.54 | |
| | FED HM LN PC POOL Q09004 | | 3.5% 01 Jun 2042 | | 425,415.77 | | | | 438,450.32 | |
| | FED HM LN PC POOL Q09341 | | 3% 01 Jun 2042 | | 97,452.80 | | | | 97,518.53 | |
| | FED HM LN PC POOL Q09813 | | 3.5% 01 Aug 2042 | | 986,306.16 | | | | 1,017,160.69 | |
| | FED HM LN PC POOL Q09896 | | 3.5% 01 Aug 2042 | | 625,851.80 | | | | 645,042.36 | |
| | FED HM LN PC POOL Q12143 | | 3.5% 01 Oct 2042 | | 432,853.17 | | | | 446,125.88 | |
| | FED HM LN PC POOL Q13765 | | 4% 01 Dec 2042 | | 290,434.30 | | | | 309,517.08 | |
| | FED HM LN PC POOL Q14038 | | 3.5% 01 Dec 2042 | | 993,528.72 | | | | 1,024,575.61 | |
| | FED HM LN PC POOL Q14039 | | 3.5% 01 Dec 2042 | | 903,710.90 | | | | 931,421.79 | |
| | FED HM LN PC POOL Q14321 | | 3% 01 Dec 2042 | | 1,259,042.65 | | | | 1,259,890.83 | |
| | FED HM LN PC POOL Q15885 | | 3% 01 Feb 2043 | | 594,000.87 | | | | 594,400.79 | |
| | FED HM LN PC POOL Q16084 | | 3% 01 Mar 2043 | | 2,385,537.45 | | | | 2,386,995.06 | |
| | FED HM LN PC POOL Q16893 | | 3.5% 01 Apr 2043 | | 1,969,764.82 | | | | 2,031,372.84 | |
| | FED HM LN PC POOL Q17453 | | 3.5% 01 Apr 2043 | | 1,554,049.26 | | | | 1,601,503.12 | |
| | FED HM LN PC POOL Q18305 | | 3.5% 01 May 2043 | | 158,235.21 | | | | 163,049.71 | |
| | FED HM LN PC POOL Q18306 | | 3.5% 01 May 2043 | | 224,904.07 | | | | 231,755.97 | |
| | FED HM LN PC POOL Q19475 | | 3.5% 01 Jun 2043 | | 1,615,331.52 | | | | 1,665,417.31 | |
| | FED HM LN PC POOL Q19476 | | 3.5% 01 Jun 2043 | | 1,223,409.13 | | | | 1,260,678.61 | |
| | FED HM LN PC POOL Q20680 | | 4% 01 Oct 2043 | | 248,903.70 | | | | 263,183.43 | |
| | FED HM LN PC POOL Q20780 | | 3.5% 01 Aug 2043 | | 1,019,611.32 | | | | 1,053,536.47 | |
| | FED HM LN PC POOL Q22402 | | 4.5% 01 Oct 2043 | | 647,968.13 | | | | 700,780.22 | |
| | FED HM LN PC POOL Q22671 | | 4.5% 01 Nov 2043 | | 664,767.85 | | | | 717,754.31 | |
| | FED HM LN PC POOL Q22915 | | 4.5% 01 Nov 2043 | | 611,817.08 | | | | 660,683.80 | |
| | FED HM LN PC POOL Q23677 | | 4.5% 01 Dec 2043 | | 208,584.77 | | | | 224,713.80 | |
| | FED HM LN PC POOL Q23891 | | 4% 01 Dec 2043 | | 854,158.97 | | | | 903,951.71 | |
| | FED HM LN PC POOL Q24894 | | 4.5% 01 Feb 2044 | | 37,075.54 | | | | 40,009.92 | |
| | FED HM LN PC POOL Q25083 | | 4.5% 01 Mar 2044 | | 465,823.84 | | | | 501,935.12 | |
| | FED HM LN PC POOL Q25285 | | 4.5% 01 Mar 2044 | | 140,148.66 | | | | 151,125.20 | |
| | FED HM LN PC POOL Q25856 | | 4.5% 01 Apr 2044 | | 577,968.92 | | | | 622,598.21 | |
| | FED HM LN PC POOL Q26154 | | 4.5% 01 May 2044 | | 411,133.67 | | | | 442,831.26 | |
| | FED HM LN PC POOL Q26367 | | 4% 01 May 2044 | | 750,900.06 | | | | 796,703.99 | |
| | FED HM LN PC POOL Q26904 | | 4% 01 Jun 2044 | | 685,666.82 | | | | 725,205.95 | |
| | FED HM LN PC POOL Q27903 | | 4% 01 Aug 2044 | | 1,338,316.03 | | | | 1,415,527.59 | |
115
Table of Contents
| | FED HM LN PC POOL Q29182 | | 3.5% 01 Oct 2044 | | 998,452.48 | | | | 1,028,643.06 | |
| | FED HM LN PC POOL Q29256 | | 4.5% 01 Oct 2044 | | 549,034.60 | | | | 592,626.14 | |
| | FED HM LN PC POOL Q29863 | | 3.5% 01 Nov 2044 | | 832,506.97 | | | | 857,694.45 | |
| | FED HM LN PC POOL Q29916 | | 4% 01 Nov 2044 | | 471,548.74 | | | | 499,081.08 | |
| | FED HM LN PC POOL Q30509 | | 4% 01 Dec 2044 | | 321,397.49 | | | | 340,011.17 | |
| | FED HM LN PC POOL Q32070 | | 4% 01 Mar 2045 | | 1,640,022.22 | | | | 1,734,439.09 | |
| | FED HM LN PC POOL Q32857 | | 3% 01 Apr 2045 | | 1,119,676.56 | | | | 1,118,740.28 | |
| | FED HM LN PC POOL Q34590 | | 3% 01 Jul 2045 | | 1,972,054.36 | | | | 1,970,405.31 | |
| | FED HM LN PC POOL Q34661 | | 3% 01 Jul 2045 | | 1,183,934.20 | | | | 1,182,944.18 | |
| | FED HM LN PC POOL Q34966 | | 4% 01 Jul 2045 | | 916,574.43 | | | | 969,061.91 | |
| | FED HM LN PC POOL Q35614 | | 3.5% 01 Aug 2045 | | 2,281,893.38 | | | | 2,353,406.80 | |
| | FED HM LN PC POOL Q37359 | | 3% 01 Nov 2045 | | 120,000.67 | | | | 120,007.34 | |
| | FED HM LN PC POOL Q37646 | | 3% 01 Dec 2045 | | 325,199.00 | | | | 324,927.07 | |
| | FED HM LN PC POOL Q37812 | | 3% 01 Dec 2045 | | 254,801.00 | | | | 254,587.93 | |
| | FED HM LN PC POOL V80509 | | 4% 01 Oct 2043 | | 348,928.64 | | | | 369,588.90 | |
| | FED HM LN PC POOL V80597 | | 4.5% 01 Oct 2043 | | 462,353.21 | | | | 503,561.26 | |
| | FED HM LN PC POOL Z40054 | | 4% 01 Jul 2042 | | 2,200,382.09 | | | | 2,331,293.49 | |
| | FED HM LN PC POOL Z60007 | | 5% 01 Apr 2023 | | 311,461.49 | | | | 339,782.88 | |
| | FEDERAL HOME LOAN BANK | | 5.5% 15 Jul 2036 | | 100,000.00 | | | | 129,898.20 | |
| | FEDERAL HOME LOAN BANK | | 1.125% 25 Apr 2018 | | 2,000,000.00 | | | | 1,994,786.00 | |
| | FEDERAL HOME LOAN BANK | | 2.875% 11 Sep 2020 | | 1,340,000.00 | | | | 1,400,297.32 | |
| | FEDERAL HOME LOAN BANK | | 1% 19 Dec 2017 | | 7,000,000.00 | | | | 6,982,563.00 | |
| | FEDEX CORP | | 4.1% 01 Feb 2045 | | 3,000,000.00 | | | | 2,673,273.00 | |
| | FEDEX CORP | | 4% 15 Jan 2024 | | 2,225,000.00 | | | | 2,322,188.00 | |
| | FHLMC TBA 30 YR 3 | | 3% 14 Jan 2046 | | 7,480,000.00 | | | | 7,467,644.54 | |
| | FHLMC TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 16,390,000.00 | | | | 16,871,615.23 | |
| | FHLMC TBA 30 YR 4 | | 4% 14 Jan 2046 | | 9,355,000.00 | | | | 9,882,496.64 | |
| | FHLMC TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | 455,000.00 | | | | 490,148.75 | |
| | FIFTH THIRD BANCORP | | 4.3% 16 Jan 2024 | | 1,960,000.00 | | | | 2,007,726.00 | |
| | FNMA POOL 190391 | | 1% 01 Sep 2038 | | 2,296.59 | | | | 2,597.73 | |
| | FNMA POOL 190396 | | 1% 01 Jun 2039 | | 495,646.17 | | | | 536,083.84 | |
| | FNMA POOL 190399 | | 1% 01 Nov 2039 | | 392,858.49 | | | | 438,078.18 | |
| | FNMA POOL 251709 | | 6% 01 Mar 2018 | | 3,827.24 | | | | 4,318.92 | |
| | FNMA POOL 254797 | | 5% 01 Jun 2023 | | 78,801.96 | | | | 86,670.93 | |
| | FNMA POOL 254919 | | 4% 01 Sep 2018 | | 44,544.29 | | | | 46,436.90 | |
| | FNMA POOL 255321 | | 5.5% 01 Jul 2024 | | 229,723.32 | | | | 255,774.85 | |
| | FNMA POOL 255498 | | 5.5% 01 Dec 2034 | | 109,084.35 | | | | 122,782.82 | |
| | FNMA POOL 255767 | | 5.5% 01 Jun 2025 | | 514,590.48 | | | | 572,947.07 | |
| | FNMA POOL 255994 | | 5.5% 01 Nov 2025 | | 399,302.72 | | | | 444,585.22 | |
| | FNMA POOL 256476 | | 6% 01 Nov 2036 | | 3,169.88 | | | | 3,587.36 | |
| | FNMA POOL 256719 | | 5.5% 01 May 2017 | | 724.40 | | | | 738.25 | |
| | FNMA POOL 256805 | | 5.5% 01 Jul 2022 | | 1,263.33 | | | | 1,355.24 | |
| | FNMA POOL 256866 | | 5% 01 Aug 2027 | | 320,081.10 | | | | 352,043.60 | |
| | FNMA POOL 257262 | | 5.5% 01 Jul 2038 | | 27,804.24 | | | | 31,058.42 | |
| | FNMA POOL 257481 | | 5% 01 Nov 2018 | | 45,300.91 | | | | 47,050.55 | |
| | FNMA POOL 310124 | | 1% 01 Aug 2018 | | 111,314.41 | | | | 115,031.40 | |
| | FNMA POOL 310125 | | 1% 01 May 2028 | | 1,253,648.57 | | | | 1,272,693.57 | |
| | FNMA POOL 310157 | | 1% 01 Sep 2041 | | 402,225.05 | | | | 452,217.75 | |
| | FNMA POOL 444277 | | 6% 01 Sep 2018 | | 5,080.40 | | | | 5,733.07 | |
| | FNMA POOL 506482 | | 6.5% 01 Jul 2029 | | 1,673.58 | | | | 1,912.65 | |
| | FNMA POOL 545664 | | 1% 01 May 2017 | | 181,103.06 | | | | 187,520.27 | |
| | FNMA POOL 555092 | | 1% 01 Dec 2017 | | 258,909.72 | | | | 268,083.93 | |
| | FNMA POOL 555114 | | 1% 01 Dec 2017 | | 4,183.53 | | | | 4,289.41 | |
| | FNMA POOL 555487 | | 1% 01 May 2018 | | 551.21 | | | | 571.39 | |
| | FNMA POOL 625993 | | 5% 01 Jan 2017 | | 23,510.04 | | | | 24,343.09 | |
| | FNMA POOL 625994 | | 5% 01 Jan 2017 | | 29,180.98 | | | | 30,214.98 | |
| | FNMA POOL 630922 | | 5% 01 Feb 2017 | | 48,094.59 | | | | 49,798.77 | |
| | FNMA POOL 662584 | | 5% 01 Oct 2017 | | 1,475.90 | | | | 1,528.20 | |
| | FNMA POOL 671146 | | 5% 01 Feb 2018 | | 1,228.68 | | | | 1,274.69 | |
| | FNMA POOL 673111 | | 5% 01 Dec 2017 | | 689.59 | | | | 714.02 | |
| | FNMA POOL 681357 | | 5% 01 Mar 2018 | | 43,441.59 | | | | 45,105.67 | |
| | FNMA POOL 695870 | | 5% 01 Apr 2018 | | 206,316.50 | | | | 213,627.12 | |
| | FNMA POOL 697601 | | 4.5% 01 Apr 2018 | | 241,928.79 | | | | 249,986.52 | |
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Table of Contents
| | FNMA POOL 709905 | | 4.5% 01 Jun 2018 | | 70,157.61 | | | | 72,504.46 | |
| | FNMA POOL 720272 | | 4.5% 01 Jun 2018 | | 143,062.89 | | | | 147,844.61 | |
| | FNMA POOL 725072 | | 1% 01 Nov 2018 | | 191,018.37 | | | | 196,960.82 | |
| | FNMA POOL 725250 | | 1% 01 Mar 2034 | | 417,282.18 | | | | 461,610.78 | |
| | FNMA POOL 725274 | | 1% 01 Mar 2019 | | 587,712.64 | | | | 612,683.55 | |
| | FNMA POOL 725422 | | 1% 01 Apr 2034 | | 793,819.48 | | | | 878,299.23 | |
| | FNMA POOL 727436 | | 4% 01 Jul 2018 | | 183,518.47 | | | | 191,315.86 | |
| | FNMA POOL 732094 | | 5.5% 01 Aug 2018 | | 4,412.69 | | | | 4,481.21 | |
| | FNMA POOL 735058 | | 1% 01 Sep 2019 | | 38,297.63 | | | | 39,924.83 | |
| | FNMA POOL 735228 | | 1% 01 Feb 2035 | | 245,993.76 | | | | 277,223.73 | |
| | FNMA POOL 735288 | | 1% 01 Mar 2035 | | 147,057.51 | | | | 162,388.97 | |
| | FNMA POOL 735484 | | 1% 01 May 2035 | | 904,373.10 | | | | 998,237.34 | |
| | FNMA POOL 735591 | | 1% 01 Jun 2035 | | 187,401.97 | | | | 207,135.98 | |
| | FNMA POOL 735676 | | 1% 01 Jul 2035 | | 260,117.78 | | | | 287,504.13 | |
| | FNMA POOL 735893 | | 1% 01 Oct 2035 | | 217,198.64 | | | | 239,633.68 | |
| | FNMA POOL 735925 | | 1% 01 Oct 2035 | | 89,086.52 | | | | 98,296.44 | |
| | FNMA POOL 738166 | | 5% 01 Sep 2033 | | 3,723.72 | | | | 4,119.27 | |
| | FNMA POOL 740455 | | 4% 01 Oct 2018 | | 4,707.99 | | | | 4,908.02 | |
| | FNMA POOL 745275 | | 1% 01 Feb 2036 | | 310,757.04 | | | | 342,870.65 | |
| | FNMA POOL 745873 | | 1% 01 Oct 2036 | | 204,501.85 | | | | 228,908.89 | |
| | FNMA POOL 745932 | | 1% 01 Nov 2036 | | 67,526.29 | | | | 77,430.62 | |
| | FNMA POOL 747428 | | 5.5% 01 Oct 2033 | | 247,417.50 | | | | 278,689.41 | |
| | FNMA POOL 748841 | | 5% 01 Jun 2022 | | 30,715.16 | | | | 32,858.33 | |
| | FNMA POOL 749079 | | 5.5% 01 Dec 2033 | | 417,801.62 | | | | 470,324.06 | |
| | FNMA POOL 761495 | | 5.5% 01 Sep 2019 | | 142,296.19 | | | | 149,051.55 | |
| | FNMA POOL 763978 | | 5.5% 01 Dec 2033 | | 180,160.95 | | | | 202,724.12 | |
| | FNMA POOL 779150 | | 4.5% 01 Jun 2019 | | 218,045.75 | | | | 226,797.44 | |
| | FNMA POOL 785497 | | 4.5% 01 Jun 2019 | | 80,800.57 | | | | 83,911.93 | |
| | FNMA POOL 809620 | | 5% 01 Feb 2035 | | 176,872.11 | | | | 194,534.11 | |
| | FNMA POOL 813870 | | 4% 01 Jun 2020 | | 135,825.40 | | | | 141,596.39 | |
| | FNMA POOL 822042 | | 5% 01 Apr 2035 | | 15,724.96 | | | | 17,348.38 | |
| | FNMA POOL 826966 | | 5.5% 01 Jun 2035 | | 6,495.61 | | | | 7,323.48 | |
| | FNMA POOL 829196 | | 5% 01 Jul 2035 | | 142,858.12 | | | | 157,483.02 | |
| | FNMA POOL 831017 | | 6% 01 Sep 2035 | | 5,948.49 | | | | 6,753.45 | |
| | FNMA POOL 831822 | | 5.5% 01 Sep 2036 | | 143,422.26 | | | | 160,564.44 | |
| | FNMA POOL 831832 | | 6% 01 Sep 2036 | | 93,597.05 | | | | 105,621.28 | |
| | FNMA POOL 833126 | | 5% 01 Sep 2035 | | 91,516.09 | | | | 100,792.91 | |
| | FNMA POOL 835783 | | 5% 01 Sep 2035 | | 136,428.38 | | | | 150,559.44 | |
| | FNMA POOL 836361 | | 5% 01 Oct 2035 | | 180,495.22 | | | | 198,934.69 | |
| | FNMA POOL 836427 | | 5% 01 Oct 2035 | | 925,064.05 | | | | 1,017,710.60 | |
| | FNMA POOL 847817 | | 6% 01 Nov 2035 | | 229,450.62 | | | | 259,006.88 | |
| | FNMA POOL 849299 | | 5.5% 01 Jan 2036 | | 430,204.76 | | | | 482,198.12 | |
| | FNMA POOL 867700 | | 6.5% 01 Mar 2036 | | 17,073.10 | | | | 19,511.93 | |
| | FNMA POOL 871058 | | 5.5% 01 Jan 2037 | | 328,487.65 | | | | 367,643.22 | |
| | FNMA POOL 878340 | | 6% 01 Apr 2037 | | 1,522.38 | | | | 1,717.96 | |
| | FNMA POOL 879131 | | 5% 01 Jun 2021 | | 818.07 | | | | 871.33 | |
| | FNMA POOL 880622 | | 5.5% 01 Apr 2036 | | 40,269.63 | | | | 45,097.06 | |
| | FNMA POOL 880950 | | 5.5% 01 Jul 2021 | | 32,137.36 | | | | 34,076.84 | |
| | FNMA POOL 883992 | | 6% 01 Apr 2036 | | 385,051.08 | | | | 434,517.86 | |
| | FNMA POOL 886090 | | 6.5% 01 Jul 2036 | | 25,402.15 | | | | 29,328.74 | |
| | FNMA POOL 886958 | | 6% 01 Jun 2036 | | 125,652.28 | | | | 141,857.08 | |
| | FNMA POOL 888131 | | 1% 01 Feb 2037 | | 53,233.27 | | | | 59,540.03 | |
| | FNMA POOL 888173 | | 1% 01 Nov 2036 | | 362,644.63 | | | | 406,630.17 | |
| | FNMA POOL 888219 | | 1% 01 Mar 2037 | | 248,631.45 | | | | 277,814.11 | |
| | FNMA POOL 888221 | | 1% 01 Mar 2037 | | 329,873.03 | | | | 368,858.47 | |
| | FNMA POOL 888420 | | 1% 01 Sep 2020 | | 448,120.26 | | | | 467,160.13 | |
| | FNMA POOL 888743 | | 1% 01 Jan 2036 | | 1,115,403.85 | | | | 1,266,970.96 | |
| | FNMA POOL 889190 | | 1% 01 Mar 2038 | | 123,157.63 | | | | 139,373.66 | |
| | FNMA POOL 889450 | | 1% 01 Mar 2038 | | 84,020.35 | | | | 94,814.28 | |
| | FNMA POOL 889479 | | 1% 01 Jul 2037 | | 119,992.98 | | | | 132,362.65 | |
| | FNMA POOL 889529 | | 1% 01 Mar 2038 | | 6,174.13 | | | | 7,018.03 | |
| | FNMA POOL 889574 | | 1% 01 Aug 2037 | | 336,032.69 | | | | 380,143.36 | |
| | FNMA POOL 889749 | | 1% 01 Jun 2038 | | 211,171.57 | | | | 235,837.78 | |
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| | FNMA POOL 889995 | | 1% 01 Sep 2038 | | 428,076.17 | | | | 478,168.79 | |
| | FNMA POOL 889996 | | 1% 01 Jun 2038 | | 232,443.54 | | | | 259,702.41 | |
| | FNMA POOL 890306 | | 1% 01 Apr 2026 | | 177,206.70 | | | | 187,969.45 | |
| | FNMA POOL 890310 | | 1% 01 Dec 2040 | | 296,468.48 | | | | 320,903.07 | |
| | FNMA POOL 890331 | | 1% 01 Jul 2024 | | 91,739.69 | | | | 98,331.84 | |
| | FNMA POOL 890337 | | 1% 01 Jan 2026 | | 399,281.00 | | | | 429,262.33 | |
| | FNMA POOL 890375 | | 1% 01 Aug 2023 | | 19,246.31 | | | | 20,116.43 | |
| | FNMA POOL 890529 | | 1% 01 Sep 2041 | | 145,841.30 | | | | 162,987.29 | |
| | FNMA POOL 890603 | | 1% 01 Aug 2041 | | 720,869.84 | | | | 792,854.09 | |
| | FNMA POOL 890650 | | 1% 01 Jun 2026 | | 321,921.78 | | | | 333,328.76 | |
| | FNMA POOL 891436 | | 6% 01 Mar 2036 | | 43,136.30 | | | | 48,817.07 | |
| | FNMA POOL 892537 | | 6.5% 01 Sep 2036 | | 1,495.14 | | | | 1,792.78 | |
| | FNMA POOL 893511 | | 6% 01 Sep 2036 | | 44,517.74 | | | | 50,338.66 | |
| | FNMA POOL 893533 | | 6.5% 01 Sep 2036 | | 74,938.61 | | | | 85,643.33 | |
| | FNMA POOL 893885 | | 6% 01 Oct 2036 | | 84,635.62 | | | | 95,675.91 | |
| | FNMA POOL 897100 | | 6.5% 01 Jul 2036 | | 108,836.47 | | | | 129,417.93 | |
| | FNMA POOL 897909 | | 6% 01 Jan 2037 | | 154,517.99 | | | | 174,368.62 | |
| | FNMA POOL 899588 | | 5.5% 01 Jun 2037 | | 70,083.15 | | | | 78,322.34 | |
| | FNMA POOL 899671 | | 6.5% 01 Aug 2037 | | 29,517.70 | | | | 33,734.20 | |
| | FNMA POOL 901666 | | 6% 01 Oct 2036 | | 22,912.30 | | | | 25,855.80 | |
| | FNMA POOL 902591 | | 5.5% 01 Nov 2021 | | 48,811.17 | | | | 51,998.20 | |
| | FNMA POOL 903677 | | 6.5% 01 Oct 2036 | | 1,738.87 | | | | 2,022.99 | |
| | FNMA POOL 905106 | | 6% 01 Jan 2037 | | 292,736.11 | | | | 330,343.36 | |
| | FNMA POOL 908670 | | 5.5% 01 Dec 2036 | | 44,686.09 | | | | 49,753.67 | |
| | FNMA POOL 913304 | | 5.5% 01 Apr 2037 | | 63,430.76 | | | | 70,624.06 | |
| | FNMA POOL 917599 | | 6% 01 Apr 2037 | | 129,522.74 | | | | 146,162.28 | |
| | FNMA POOL 920079 | | 6% 01 Dec 2036 | | 14,315.61 | | | | 16,201.93 | |
| | FNMA POOL 930039 | | 5.5% 01 Oct 2038 | | 384,061.58 | | | | 429,497.74 | |
| | FNMA POOL 930539 | | 6% 01 Feb 2039 | | 34,611.82 | | | | 39,058.33 | |
| | FNMA POOL 931410 | | 4% 01 Jun 2024 | | 55,244.56 | | | | 58,470.69 | |
| | FNMA POOL 931507 | | 4.5% 01 Jul 2039 | | 1,103,235.26 | | | | 1,205,102.23 | |
| | FNMA POOL 932091 | | 6.5% 01 Sep 2039 | | 14,912.28 | | | | 17,042.45 | |
| | FNMA POOL 932117 | | 4% 01 Nov 2024 | | 75,444.87 | | | | 79,927.93 | |
| | FNMA POOL 932841 | | 3.5% 01 Dec 2025 | | 196,502.29 | | | | 206,197.89 | |
| | FNMA POOL 932842 | | 3.5% 01 Dec 2025 | | 1,267,748.30 | | | | 1,330,212.36 | |
| | FNMA POOL 933008 | | 6% 01 Sep 2037 | | 64,919.41 | | | | 73,259.48 | |
| | FNMA POOL 933463 | | 5.5% 01 Feb 2038 | | 14,202.10 | | | | 15,812.89 | |
| | FNMA POOL 933796 | | 5.5% 01 May 2038 | | 212,650.03 | | | | 237,063.15 | |
| | FNMA POOL 933990 | | 5% 01 Aug 2023 | | 5,914.30 | | | | 6,348.47 | |
| | FNMA POOL 934084 | | 6.5% 01 Jun 2038 | | 24,244.30 | | | | 27,707.51 | |
| | FNMA POOL 934769 | | 5% 01 Jan 2024 | | 101,041.21 | | | | 104,621.50 | |
| | FNMA POOL 935154 | | 5.5% 01 Apr 2039 | | 588,019.81 | | | | 654,703.57 | |
| | FNMA POOL 935964 | | 4.5% 01 Apr 2025 | | 23,580.90 | | | | 24,394.15 | |
| | FNMA POOL 936202 | | 5.5% 01 May 2022 | | 184,988.55 | | | | 197,235.37 | |
| | FNMA POOL 941045 | | 5% 01 Jul 2022 | | 24,814.51 | | | | 25,931.29 | |
| | FNMA POOL 941817 | | 4.5% 01 Feb 2023 | | 40,814.41 | | | | 43,287.62 | |
| | FNMA POOL 943669 | | 5.5% 01 Jul 2022 | | 12,444.40 | | | | 13,170.89 | |
| | FNMA POOL 944632 | | 5% 01 Jul 2037 | | 1,249.34 | | | | 1,374.10 | |
| | FNMA POOL 944748 | | 6.5% 01 Jul 2037 | | 70,227.90 | | | | 80,259.71 | |
| | FNMA POOL 947569 | | 5.5% 01 Oct 2022 | | 106,843.58 | | | | 115,355.74 | |
| | FNMA POOL 947732 | | 5% 01 Oct 2022 | | 21,809.68 | | | | 22,784.35 | |
| | FNMA POOL 948711 | | 6% 01 Aug 2037 | | 32,716.38 | | | | 36,967.39 | |
| | FNMA POOL 949298 | | 6.5% 01 Oct 2037 | | 37,872.59 | | | | 43,282.56 | |
| | FNMA POOL 949562 | | 5.5% 01 Oct 2022 | | 138,145.83 | | | | 146,594.89 | |
| | FNMA POOL 952459 | | 6% 01 Sep 2037 | | 2,221.10 | | | | 2,511.95 | |
| | FNMA POOL 952656 | | 6% 01 Aug 2037 | | 254,508.88 | | | | 287,975.09 | |
| | FNMA POOL 953513 | | 5.5% 01 Oct 2022 | | 36,322.22 | | | | 38,594.83 | |
| | FNMA POOL 953613 | | 5.5% 01 Mar 2038 | | 214,711.66 | | | | 239,889.41 | |
| | FNMA POOL 954429 | | 5% 01 Jan 2038 | | 53,780.62 | | | | 59,151.02 | |
| | FNMA POOL 955724 | | 6.5% 01 Nov 2037 | | 240,665.31 | | | | 275,043.51 | |
| | FNMA POOL 955803 | | 6.5% 01 Oct 2037 | | 58,480.45 | | | | 66,834.18 | |
| | FNMA POOL 956014 | | 6% 01 Nov 2037 | | 55,599.64 | | | | 62,746.62 | |
| | FNMA POOL 956078 | | 6.5% 01 Dec 2037 | | 1,540.44 | | | | 1,812.29 | |
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| | FNMA POOL 961118 | | 6% 01 Apr 2038 | | 22,477.53 | | | | 25,365.18 | |
| | FNMA POOL 962567 | | 5.5% 01 Apr 2038 | | 2,130.55 | | | | 2,379.19 | |
| | FNMA POOL 963736 | | 5% 01 Jun 2023 | | 255,642.04 | | | | 275,256.43 | |
| | FNMA POOL 964072 | | 5.5% 01 Jul 2038 | | 75,981.20 | | | | 84,727.29 | |
| | FNMA POOL 964413 | | 5.5% 01 Jul 2023 | | 41,489.92 | | | | 44,460.45 | |
| | FNMA POOL 964850 | | 5.5% 01 Aug 2023 | | 96,041.90 | | | | 104,246.32 | |
| | FNMA POOL 967691 | | 6% 01 Jan 2038 | | 231,213.47 | | | | 261,531.71 | |
| | FNMA POOL 969057 | | 5.5% 01 Mar 2023 | | 10,605.40 | | | | 11,032.99 | |
| | FNMA POOL 969436 | | 5% 01 Jan 2023 | | 8,933.63 | | | | 9,250.18 | |
| | FNMA POOL 970016 | | 6% 01 Jun 2038 | | 149,930.91 | | | | 170,598.29 | |
| | FNMA POOL 972541 | | 6% 01 Feb 2038 | | 29,955.78 | | | | 33,875.42 | |
| | FNMA POOL 973571 | | 5% 01 Mar 2023 | | 98,110.02 | | | | 105,692.56 | |
| | FNMA POOL 974620 | | 5% 01 May 2023 | | 14,227.80 | | | | 14,731.95 | |
| | FNMA POOL 974678 | | 4.5% 01 Apr 2023 | | 1,084.63 | | | | 1,144.76 | |
| | FNMA POOL 974965 | | 5% 01 Apr 2038 | | 112,145.26 | | | | 123,343.80 | |
| | FNMA POOL 975103 | | 5.5% 01 Jun 2038 | | 73,614.63 | | | | 82,059.17 | |
| | FNMA POOL 975123 | | 5.5% 01 May 2038 | | 174,440.79 | | | | 194,780.21 | |
| | FNMA POOL 975376 | | 5.5% 01 Jun 2038 | | 148,748.29 | | | | 166,286.91 | |
| | FNMA POOL 976452 | | 4.5% 01 Apr 2023 | | 68,388.21 | | | | 71,908.44 | |
| | FNMA POOL 976990 | | 5.5% 01 Apr 2038 | | 346,539.59 | | | | 386,933.29 | |
| | FNMA POOL 977006 | | 6% 01 May 2038 | | 649,968.71 | | | | 733,707.06 | |
| | FNMA POOL 977077 | | 5.5% 01 Dec 2037 | | 163,509.67 | | | | 184,188.61 | |
| | FNMA POOL 979639 | | 5% 01 Jun 2023 | | 28,422.29 | | | | 30,534.05 | |
| | FNMA POOL 979919 | | 6% 01 May 2038 | | 23,252.96 | | | | 26,467.66 | |
| | FNMA POOL 981274 | | 5% 01 Apr 2023 | | 20,452.10 | | | | 21,851.36 | |
| | FNMA POOL 981359 | | 4.5% 01 Apr 2023 | | 5,694.30 | | | | 6,038.92 | |
| | FNMA POOL 981571 | | 5% 01 Jun 2023 | | 140,368.24 | | | | 150,867.03 | |
| | FNMA POOL 982530 | | 6% 01 Jun 2038 | | 279,392.13 | | | | 315,996.07 | |
| | FNMA POOL 983034 | | 5% 01 May 2038 | | 1,125.46 | | | | 1,237.85 | |
| | FNMA POOL 990970 | | 5% 01 Sep 2023 | | 12,385.38 | | | | 12,841.57 | |
| | FNMA POOL 991042 | | 5.5% 01 Oct 2038 | | 781.96 | | | | 870.64 | |
| | FNMA POOL 991066 | | 5% 01 Nov 2023 | | 4,770.84 | | | | 4,939.89 | |
| | FNMA POOL 991073 | | 5% 01 Dec 2023 | | 23,272.08 | | | | 24,327.02 | |
| | FNMA POOL 991859 | | 6% 01 Oct 2038 | | 75,887.74 | | | | 85,636.89 | |
| | FNMA POOL 992144 | | 6% 01 Oct 2038 | | 31,295.05 | | | | 35,573.79 | |
| | FNMA POOL 994149 | | 5.5% 01 Dec 2023 | | 76,441.31 | | | | 82,735.26 | |
| | FNMA POOL 994207 | | 6% 01 Dec 2038 | | 74,741.03 | | | | 84,342.87 | |
| | FNMA POOL 994810 | | 5% 01 Nov 2023 | | 17,558.82 | | | | 18,910.69 | |
| | FNMA POOL 994933 | | 5% 01 Sep 2023 | | 9,209.65 | | | | 9,891.31 | |
| | FNMA POOL 995011 | | 1% 01 Oct 2038 | | 458,215.79 | | | | 521,557.34 | |
| | FNMA POOL 995112 | | 1% 01 Jul 2036 | | 252,655.11 | | | | 284,246.16 | |
| | FNMA POOL 995152 | | 1% 01 Jan 2021 | | 74,356.95 | | | | 77,010.98 | |
| | FNMA POOL 995160 | | 1% 01 Sep 2022 | | 171,528.24 | | | | 177,791.17 | |
| | FNMA POOL 995231 | | 1% 01 Jan 2039 | | 11,366.83 | | | | 12,990.54 | |
| | FNMA POOL 995245 | | 1% 01 Jan 2039 | | 324,721.48 | | | | 357,147.35 | |
| | FNMA POOL 995246 | | 1% 01 Dec 2035 | | 64,957.12 | | | | 71,606.03 | |
| | FNMA POOL 995251 | | 1% 01 Nov 2038 | | 74,752.72 | | | | 85,024.15 | |
| | FNMA POOL 995266 | | 1% 01 Dec 2023 | | 11,039.07 | | | | 11,902.29 | |
| | FNMA POOL 995481 | | 1% 01 Dec 2038 | | 158,042.73 | | | | 175,965.40 | |
| | FNMA POOL 995526 | | 1% 01 Jan 2019 | | 36,042.85 | | | | 37,428.60 | |
| | FNMA POOL 995692 | | 1% 01 May 2024 | | 20,336.66 | | | | 21,558.41 | |
| | FNMA POOL 995838 | | 1% 01 May 2039 | | 69,029.59 | | | | 77,055.59 | |
| | FNMA POOL AA0107 | | 6% 01 Nov 2038 | | 56,628.52 | | | | 64,404.85 | |
| | FNMA POOL AA0264 | | 5% 01 Feb 2039 | | 2,210.25 | | | | 2,430.96 | |
| | FNMA POOL AA0588 | | 5.5% 01 Feb 2039 | | 123,559.31 | | | | 137,571.42 | |
| | FNMA POOL AA8051 | | 5.5% 01 May 2039 | | 22,052.67 | | | | 24,553.53 | |
| | FNMA POOL AA8487 | | 4.5% 01 Jul 2039 | | 1,006,222.42 | | | | 1,089,006.41 | |
| | FNMA POOL AA8510 | | 4% 01 May 2019 | | 107,736.08 | | | | 112,313.60 | |
| | FNMA POOL AA8868 | | 5% 01 Apr 2024 | | 12,543.51 | | | | 13,511.94 | |
| | FNMA POOL AA9443 | | 4.5% 01 Jul 2024 | | 75,256.91 | | | | 80,613.53 | |
| | FNMA POOL AA9591 | | 5.5% 01 Apr 2039 | | 17,320.33 | | | | 19,284.52 | |
| | FNMA POOL AA9782 | | 4% 01 Jul 2024 | | 61,007.70 | | | | 64,569.51 | |
| | FNMA POOL AB0183 | | 5% 01 Feb 2025 | | 484,349.23 | | | | 532,715.13 | |
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| | FNMA POOL AB0194 | | 5.5% 01 Jan 2039 | | 526,162.20 | | | | 587,529.41 | |
| | FNMA POOL AB0299 | | 6% 01 Feb 2037 | | 81,551.48 | | | | 92,395.42 | |
| | FNMA POOL AB0334 | | 4.5% 01 Feb 2018 | | 106,495.31 | | | | 110,016.24 | |
| | FNMA POOL AB1335 | | 4.5% 01 Aug 2040 | | 955,864.45 | | | | 1,034,635.79 | |
| | FNMA POOL AB1389 | | 4.5% 01 Aug 2040 | | 72,327.73 | | | | 78,260.85 | |
| | FNMA POOL AB1854 | | 4.5% 01 Nov 2040 | | 963,196.99 | | | | 1,041,018.47 | |
| | FNMA POOL AB2306 | | 3.5% 01 Feb 2026 | | 56,577.60 | | | | 59,361.13 | |
| | FNMA POOL AB2985 | | 5.5% 01 Jan 2040 | | 105,083.84 | | | | 118,069.88 | |
| | FNMA POOL AB3193 | | 4.5% 01 Jun 2041 | | 53,461.99 | | | | 57,850.33 | |
| | FNMA POOL AB3738 | | 3.5% 01 Oct 2041 | | 1,151,751.12 | | | | 1,191,206.06 | |
| | FNMA POOL AB4051 | | 4% 01 Dec 2041 | | 673,347.70 | | | | 716,904.86 | |
| | FNMA POOL AB4102 | | 3.5% 01 Dec 2041 | | 382,580.30 | | | | 395,676.10 | |
| | FNMA POOL AB4302 | | 3.5% 01 Jan 2042 | | 1,293,584.47 | | | | 1,337,863.96 | |
| | FNMA POOL AB5192 | | 4% 01 May 2042 | | 469,706.17 | | | | 500,121.28 | |
| | FNMA POOL AB5250 | | 3.5% 01 May 2042 | | 952,307.09 | | | | 984,693.52 | |
| | FNMA POOL AB5679 | | 4% 01 Jul 2042 | | 943,330.72 | | | | 1,000,056.21 | |
| | FNMA POOL AB6929 | | 3.5% 01 Nov 2042 | | 737,832.12 | | | | 762,565.29 | |
| | FNMA POOL AB7436 | | 3% 01 Dec 2042 | | 1,162,303.10 | | | | 1,165,208.47 | |
| | FNMA POOL AB7733 | | 3% 01 Jan 2043 | | 162,807.13 | | | | 163,184.78 | |
| | FNMA POOL AB7848 | | 3% 01 Feb 2043 | | 3,431,614.95 | | | | 3,439,272.43 | |
| | FNMA POOL AB7965 | | 3.5% 01 Feb 2043 | | 1,238,748.98 | | | | 1,279,760.11 | |
| | FNMA POOL AB8455 | | 3% 01 Feb 2028 | | 547,100.64 | | | | 565,084.96 | |
| | FNMA POOL AB8486 | | 3% 01 Feb 2043 | | 590,622.70 | | | | 591,949.92 | |
| | FNMA POOL AB8796 | | 2.5% 01 Mar 2028 | | 859,827.47 | | | | 871,224.34 | |
| | FNMA POOL AB8855 | | 3.5% 01 Mar 2043 | | 1,576,552.02 | | | | 1,628,899.03 | |
| | FNMA POOL AB8881 | | 3% 01 Apr 2043 | | 1,697,844.88 | | | | 1,705,472.52 | |
| | FNMA POOL AB8897 | | 3% 01 Apr 2043 | | 1,073,286.90 | | | | 1,075,657.17 | |
| | FNMA POOL AB8899 | | 3% 01 Apr 2043 | | 1,266,560.71 | | | | 1,269,354.70 | |
| | FNMA POOL AB9154 | | 2.5% 01 Apr 2028 | | 492,475.73 | | | | 498,998.13 | |
| | FNMA POOL AB9172 | | 2.5% 01 Apr 2028 | | 478,086.67 | | | | 484,416.11 | |
| | FNMA POOL AB9177 | | 3.5% 01 Apr 2043 | | 374,505.34 | | | | 387,734.07 | |
| | FNMA POOL AB9187 | | 3% 01 Apr 2043 | | 612,779.60 | | | | 614,109.17 | |
| | FNMA POOL AB9362 | | 3.5% 01 May 2043 | | 590,523.45 | | | | 611,382.75 | |
| | FNMA POOL AB9374 | | 3.5% 01 May 2043 | | 323,073.60 | | | | 333,925.91 | |
| | FNMA POOL AB9491 | | 2.5% 01 May 2028 | | 911,647.53 | | | | 923,705.41 | |
| | FNMA POOL AB9656 | | 3% 01 Jun 2028 | | 227,654.13 | | | | 235,108.52 | |
| | FNMA POOL AB9779 | | 2.5% 01 Jul 2028 | | 818,106.63 | | | | 828,930.56 | |
| | FNMA POOL AB9965 | | 4% 01 Jul 2043 | | 431,562.65 | | | | 457,179.40 | |
| | FNMA POOL AC2489 | | 4.5% 01 Jul 2024 | | 284,114.75 | | | | 293,812.52 | |
| | FNMA POOL AC3434 | | 4% 01 Nov 2024 | | 65,532.29 | | | | 68,357.94 | |
| | FNMA POOL AC5302 | | 6.5% 01 Nov 2039 | | 6,279.52 | | | | 7,176.53 | |
| | FNMA POOL AC6608 | | 4.5% 01 Nov 2039 | | 306,511.19 | | | | 331,667.89 | |
| | FNMA POOL AC6795 | | 4.5% 01 Dec 2039 | | 189,921.48 | | | | 205,539.11 | |
| | FNMA POOL AC6897 | | 4.5% 01 Dec 2024 | | 229,986.61 | | | | 248,373.34 | |
| | FNMA POOL AC7945 | | 4% 01 Jan 2020 | | 203,157.43 | | | | 211,905.52 | |
| | FNMA POOL AC8107 | | 5.5% 01 Dec 2036 | | 317,501.51 | | | | 357,674.60 | |
| | FNMA POOL AC8512 | | 4.5% 01 Dec 2039 | | 473,998.35 | | | | 512,976.26 | |
| | FNMA POOL AC9419 | | 4% 01 Mar 2025 | | 239,414.19 | | | | 254,146.71 | |
| | FNMA POOL AC9708 | | 4% 01 Feb 2025 | | 280,676.60 | | | | 296,998.97 | |
| | FNMA POOL AD0207 | | 1% 01 Oct 2038 | | 117,008.05 | | | | 132,220.32 | |
| | FNMA POOL AD0220 | | 1% 01 Oct 2038 | | 442,695.91 | | | | 500,925.93 | |
| | FNMA POOL AD0245 | | 1% 01 Aug 2038 | | 75,345.50 | | | | 83,013.17 | |
| | FNMA POOL AD0255 | | 1% 01 Jun 2039 | | 4,945.56 | | | | 5,593.15 | |
| | FNMA POOL AD0317 | | 1% 01 Jan 2039 | | 2,068.31 | | | | 2,308.70 | |
| | FNMA POOL AD0447 | | 1% 01 Jun 2039 | | 52,934.61 | | | | 59,856.07 | |
| | FNMA POOL AD0527 | | 1% 01 Jun 2039 | | 395,681.96 | | | | 442,373.53 | |
| | FNMA POOL AD0662 | | 1% 01 Jan 2025 | | 151,268.21 | | | | 164,904.49 | |
| | FNMA POOL AD1656 | | 4.5% 01 Mar 2040 | | 528,226.52 | | | | 571,726.12 | |
| | FNMA POOL AD1753 | | 4% 01 Jan 2025 | | 62,784.15 | | | | 66,463.57 | |
| | FNMA POOL AD2381 | | 4.5% 01 Mar 2040 | | 290,599.75 | | | | 314,525.12 | |
| | FNMA POOL AD3808 | | 4.5% 01 Apr 2040 | | 199,122.65 | | | | 215,511.56 | |
| | FNMA POOL AD3859 | | 4% 01 Mar 2025 | | 36,813.91 | | | | 38,874.45 | |
| | FNMA POOL AD4296 | | 5% 01 Apr 2040 | | 1,192,961.35 | | | | 1,316,472.10 | |
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Table of Contents
| | FNMA POOL AD7072 | | 4% 01 Jun 2025 | | 89,618.01 | | | | 95,088.33 | |
| | FNMA POOL AD7371 | | 5% 01 Jul 2040 | | 221,317.97 | | | | 244,193.34 | |
| | FNMA POOL AD8266 | | 4.5% 01 Sep 2025 | | 24,967.48 | | | | 26,911.97 | |
| | FNMA POOL AD8529 | | 4.5% 01 Aug 2040 | | 118,194.58 | | | | 127,919.58 | |
| | FNMA POOL AD8950 | | 5% 01 Jul 2040 | | 109,232.07 | | | | 120,765.55 | |
| | FNMA POOL AD9810 | | 5% 01 Jul 2040 | | 482,883.34 | | | | 534,954.29 | |
| | FNMA POOL AE0025 | | 1% 01 Jan 2040 | | 66,784.93 | | | | 74,734.46 | |
| | FNMA POOL AE0217 | | 1% 01 Aug 2040 | | 138,270.38 | | | | 149,667.17 | |
| | FNMA POOL AE0233 | | 1% 01 Jul 2039 | | 238,287.25 | | | | 267,040.32 | |
| | FNMA POOL AE0271 | | 1% 01 Aug 2040 | | 369,129.53 | | | | 406,672.36 | |
| | FNMA POOL AE0392 | | 1% 01 Dec 2039 | | 90,556.47 | | | | 101,177.43 | |
| | FNMA POOL AE0408 | | 1% 01 Mar 2025 | | 38,479.36 | | | | 40,864.64 | |
| | FNMA POOL AE0481 | | 1% 01 Sep 2040 | | 1,660,858.56 | | | | 1,831,497.74 | |
| | FNMA POOL AE0691 | | 1% 01 Oct 2040 | | 227,841.13 | | | | 246,147.28 | |
| | FNMA POOL AE0828 | | 1% 01 Feb 2041 | | 955,254.16 | | | | 987,856.07 | |
| | FNMA POOL AE0880 | | 1% 01 May 2040 | | 88,338.42 | | | | 100,957.25 | |
| | FNMA POOL AE0937 | | 1% 01 Feb 2041 | | 614,257.84 | | | | 635,253.38 | |
| | FNMA POOL AE0949 | | 1% 01 Feb 2041 | | 707,785.95 | | | | 751,274.22 | |
| | FNMA POOL AE0984 | | 1% 01 Feb 2041 | | 57,319.07 | | | | 62,039.76 | |
| | FNMA POOL AE1856 | | 4.5% 01 Aug 2040 | | 150,822.23 | | | | 162,892.12 | |
| | FNMA POOL AE5463 | | 4% 01 Oct 2040 | | 314,562.43 | | | | 333,670.54 | |
| | FNMA POOL AE5745 | | 5% 01 Feb 2034 | | 134,756.79 | | | | 148,246.12 | |
| | FNMA POOL AE6061 | | 4.5% 01 Oct 2040 | | 362,584.44 | | | | 392,360.84 | |
| | FNMA POOL AE8714 | | 3.5% 01 Nov 2040 | | 1,205,423.43 | | | | 1,246,541.41 | |
| | FNMA POOL AE9059 | | 6% 01 Feb 2033 | | 227,661.85 | | | | 258,018.57 | |
| | FNMA POOL AH0399 | | 4% 01 Dec 2025 | | 99,477.15 | | | | 103,829.57 | |
| | FNMA POOL AH0573 | | 4% 01 Dec 2040 | | 436,128.57 | | | | 463,403.68 | |
| | FNMA POOL AH1114 | | 4% 01 Dec 2040 | | 706,584.67 | | | | 751,377.35 | |
| | FNMA POOL AH2366 | | 3.5% 01 Jan 2026 | | 246,318.23 | | | | 258,457.24 | |
| | FNMA POOL AH4428 | | 3.5% 01 Jan 2041 | | 789,496.20 | | | | 816,505.93 | |
| | FNMA POOL AH4696 | | 5% 01 Mar 2041 | | 4,798.27 | | | | 5,287.95 | |
| | FNMA POOL AH5620 | | 4% 01 Feb 2026 | | 123,753.93 | | | | 131,222.80 | |
| | FNMA POOL AH7010 | | 4.5% 01 Mar 2041 | | 246,314.52 | | | | 266,581.00 | |
| | FNMA POOL AH8076 | | 5% 01 Jun 2041 | | 136,405.62 | | | | 150,077.84 | |
| | FNMA POOL AH9034 | | 4% 01 Mar 2026 | | 150,211.81 | | | | 159,348.29 | |
| | FNMA POOL AI1740 | | 3.5% 01 Aug 2026 | | 592,306.09 | | | | 620,533.91 | |
| | FNMA POOL AI3435 | | 4% 01 May 2026 | | 304,075.27 | | | | 322,493.73 | |
| | FNMA POOL AI3661 | | 5% 01 May 2041 | | 313,416.69 | | | | 346,137.72 | |
| | FNMA POOL AI3713 | | 4% 01 Jun 2026 | | 165,266.09 | | | | 172,405.63 | |
| | FNMA POOL AI4052 | | 4% 01 Sep 2026 | | 123,911.16 | | | | 131,549.12 | |
| | FNMA POOL AI4815 | | 4.5% 01 Jun 2041 | | 147,895.93 | | | | 160,021.27 | |
| | FNMA POOL AI5507 | | 4.5% 01 Jul 2041 | | 292,134.07 | | | | 316,801.14 | |
| | FNMA POOL AI6653 | | 3.5% 01 Aug 2026 | | 1,393,192.95 | | | | 1,461,658.25 | |
| | FNMA POOL AI8013 | | 3.5% 01 Aug 2026 | | 798,462.89 | | | | 837,798.21 | |
| | FNMA POOL AJ0062 | | 3% 01 Nov 2026 | | 587,376.66 | | | | 605,599.39 | |
| | FNMA POOL AJ1441 | | 3.5% 01 Sep 2026 | | 561,170.86 | | | | 588,752.82 | |
| | FNMA POOL AJ4535 | | 3% 01 Nov 2026 | | 304,353.98 | | | | 315,163.06 | |
| | FNMA POOL AJ6346 | | 3.5% 01 Dec 2041 | | 876,364.64 | | | | 906,100.98 | |
| | FNMA POOL AJ7686 | | 4% 01 Dec 2041 | | 228,543.03 | | | | 243,326.36 | |
| | FNMA POOL AJ8476 | | 3.5% 01 Dec 2041 | | 1,142,422.97 | | | | 1,181,555.86 | |
| | FNMA POOL AJ9303 | | 4% 01 Jan 2042 | | 975,207.05 | | | | 1,034,572.91 | |
| | FNMA POOL AJ9387 | | 3% 01 Dec 2026 | | 226,303.16 | | | | 234,383.97 | |
| | FNMA POOL AK0706 | | 3.5% 01 Feb 2027 | | 225,345.71 | | | | 236,465.46 | |
| | FNMA POOL AK0971 | | 3% 01 Feb 2027 | | 821,773.29 | | | | 850,926.76 | |
| | FNMA POOL AK2415 | | 4% 01 Feb 2042 | | 924,182.44 | | | | 980,384.44 | |
| | FNMA POOL AK3402 | | 4% 01 Feb 2042 | | 392,146.33 | | | | 416,070.64 | |
| | FNMA POOL AK3532 | | 3% 01 Feb 2027 | | 633,492.51 | | | | 654,286.26 | |
| | FNMA POOL AK6568 | | 3.5% 01 Apr 2042 | | 445,217.89 | | | | 460,345.63 | |
| | FNMA POOL AK6846 | | 3.5% 01 Apr 2042 | | 502,232.63 | | | | 519,275.31 | |
| | FNMA POOL AK7123 | | 4% 01 Apr 2042 | | 61,830.59 | | | | 65,589.59 | |
| | FNMA POOL AK9393 | | 3.5% 01 Apr 2042 | | 2,061,031.65 | | | | 2,131,547.99 | |
| | FNMA POOL AL0060 | | 1% 01 Apr 2021 | | 47,049.39 | | | | 49,074.31 | |
| | FNMA POOL AL0082 | | 1% 01 Oct 2039 | | 41,913.67 | | | | 46,819.36 | |
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| | FNMA POOL AL0102 | | 1% 01 Jan 2025 | | 34,501.28 | | | | 36,830.73 | |
| | FNMA POOL AL0414 | | 1% 01 Sep 2040 | | 102,073.99 | | | | 113,933.26 | |
| | FNMA POOL AL0443 | | 1% 01 Apr 2029 | | 259,401.60 | | | | 285,304.79 | |
| | FNMA POOL AL0484 | | 1% 01 May 2040 | | 126,724.55 | | | | 141,487.52 | |
| | FNMA POOL AL0520 | | 1% 01 Jul 2041 | | 228,214.77 | | | | 254,548.39 | |
| | FNMA POOL AL0615 | | 1% 01 Sep 2040 | | 118,387.72 | | | | 132,198.11 | |
| | FNMA POOL AL1176 | | 1% 01 Oct 2039 | | 111,449.74 | | | | 127,369.95 | |
| | FNMA POOL AL1319 | | 1% 01 Oct 2041 | | 993,592.10 | | | | 1,074,188.92 | |
| | FNMA POOL AL1547 | | 1% 01 Nov 2041 | | 506,811.71 | | | | 547,794.46 | |
| | FNMA POOL AL1862 | | 1% 01 Apr 2027 | | 311,816.82 | | | | 322,952.50 | |
| | FNMA POOL AL1948 | | 1% 01 Jan 2042 | | 769,017.74 | | | | 818,812.39 | |
| | FNMA POOL AL2088 | | 1% 01 Sep 2026 | | 1,852,442.93 | | | | 1,964,851.93 | |
| | FNMA POOL AL2195 | | 1% 01 May 2025 | | 77,879.38 | | | | 81,405.57 | |
| | FNMA POOL AL2276 | | 1% 01 Sep 2027 | | 822,503.28 | | | | 851,921.05 | |
| | FNMA POOL AL2374 | | 1% 01 Dec 2041 | | 1,288,325.52 | | | | 1,375,644.01 | |
| | FNMA POOL AL3174 | | 1% 01 Feb 2028 | | 671,332.15 | | | | 682,183.21 | |
| | FNMA POOL AL3195 | | 1% 01 Mar 2028 | | 1,427,170.42 | | | | 1,446,068.94 | |
| | FNMA POOL AL3299 | | 1% 01 Feb 2028 | | 326,057.20 | | | | 337,569.91 | |
| | FNMA POOL AL3304 | | 1% 01 Mar 2028 | | 850,956.08 | | | | 881,135.27 | |
| | FNMA POOL AL3315 | | 1% 01 Mar 2043 | | 767,187.28 | | | | 794,625.05 | |
| | FNMA POOL AL3352 | | 1% 01 Jun 2040 | | 106,814.60 | | | | 120,900.47 | |
| | FNMA POOL AL3498 | | 1% 01 May 2043 | | 1,006,123.85 | | | | 1,041,507.47 | |
| | FNMA POOL AL3615 | | 1% 01 Dec 2026 | | 345,991.27 | | | | 363,044.77 | |
| | FNMA POOL AL3652 | | 1% 01 Oct 2040 | | 677,624.80 | | | | 766,803.18 | |
| | FNMA POOL AL3868 | | 1% 01 Jun 2042 | | 906,816.69 | | | | 963,472.92 | |
| | FNMA POOL AL4600 | | 1% 01 Sep 2025 | | 340,994.09 | | | | 355,721.47 | |
| | FNMA POOL AL4608 | | 1% 01 Dec 2043 | | 1,311,375.97 | | | | 1,416,321.84 | |
| | FNMA POOL AL5229 | | 1% 01 Jan 2044 | | 436,224.99 | | | | 483,294.12 | |
| | FNMA POOL AL5315 | | 1% 01 Jun 2042 | | 1,218,437.09 | | | | 1,293,405.57 | |
| | FNMA POOL AL5570 | | 1% 01 Jul 2044 | | 968,606.68 | | | | 1,046,121.65 | |
| | FNMA POOL AL5616 | | 1% 01 Sep 2041 | | 814,295.81 | | | | 909,639.51 | |
| | FNMA POOL AL5744 | | 1% 01 Sep 2029 | | 658,385.98 | | | | 690,065.43 | |
| | FNMA POOL AL5780 | | 1% 01 May 2044 | | 851,451.05 | | | | 921,473.04 | |
| | FNMA POOL AL5783 | | 1% 01 Jul 2041 | | 212,506.88 | | | | 240,402.48 | |
| | FNMA POOL AL6004 | | 1% 01 Dec 2043 | | 50,090.97 | | | | 54,099.61 | |
| | FNMA POOL AL6019 | | 1% 01 Nov 2028 | | 2,039,289.61 | | | | 2,066,249.53 | |
| | FNMA POOL AL6226 | | 1% 01 Jan 2030 | | 1,673,667.74 | | | | 1,688,833.63 | |
| | FNMA POOL AL6289 | | 1% 01 Feb 2042 | | 215,961.41 | | | | 241,693.00 | |
| | FNMA POOL AL6317 | | 1% 01 Sep 2030 | | 148,458.82 | | | | 163,283.55 | |
| | FNMA POOL AL6325 | | 1% 01 Oct 2044 | | 1,998,219.05 | | | | 2,002,314.52 | |
| | FNMA POOL AL6432 | | 1% 01 Jan 2045 | | 678,688.08 | | | | 718,508.31 | |
| | FNMA POOL AL6598 | | 1% 01 Apr 2030 | | 1,013,352.74 | | | | 1,062,364.35 | |
| | FNMA POOL AL6763 | | 1% 01 May 2030 | | 3,092,942.76 | | | | 3,189,103.99 | |
| | FNMA POOL AL7121 | | 1% 01 Jan 2044 | | 1,182,450.56 | | | | 1,185,056.96 | |
| | FNMA POOL AO2976 | | 3.5% 01 May 2042 | | 1,516,607.22 | | | | 1,568,496.92 | |
| | FNMA POOL AO4144 | | 4% 01 Jun 2042 | | 1,198,780.67 | | | | 1,271,672.26 | |
| | FNMA POOL AO7977 | | 3% 01 Jun 2027 | | 231,666.37 | | | | 239,869.88 | |
| | FNMA POOL AP2088 | | 4% 01 Aug 2042 | | 837,782.64 | | | | 888,759.34 | |
| | FNMA POOL AP6136 | | 3% 01 Sep 2042 | | 904,455.85 | | | | 907,045.66 | |
| | FNMA POOL AQ9328 | | 3.5% 01 Jan 2043 | | 3,040,683.10 | | | | 3,143,450.37 | |
| | FNMA POOL AQ9330 | | 3.5% 01 Jan 2043 | | 880,843.77 | | | | 910,227.35 | |
| | FNMA POOL AQ9362 | | 2.5% 01 Jan 2028 | | 1,346,356.70 | | | | 1,364,202.19 | |
| | FNMA POOL AR6445 | | 4.5% 01 Oct 2043 | | 167,569.53 | | | | 181,663.83 | |
| | FNMA POOL AR6852 | | 3% 01 Feb 2043 | | 1,162,580.57 | | | | 1,165,232.81 | |
| | FNMA POOL AR8293 | | 3% 01 May 2043 | | 1,610,154.21 | | | | 1,613,645.36 | |
| | FNMA POOL AR9197 | | 3% 01 Mar 2043 | | 1,961,202.54 | | | | 1,965,598.83 | |
| | FNMA POOL AR9248 | | 2.5% 01 Mar 2028 | | 1,015,456.78 | | | | 1,028,899.74 | |
| | FNMA POOL AS0080 | | 3.5% 01 Aug 2043 | | 2,851,690.56 | | | | 2,948,185.69 | |
| | FNMA POOL AS0128 | | 3% 01 Aug 2043 | | 360,465.03 | | | | 361,415.02 | |
| | FNMA POOL AS0189 | | 2.5% 01 Aug 2028 | | 1,444,394.76 | | | | 1,463,520.79 | |
| | FNMA POOL AS0210 | | 3.5% 01 Aug 2043 | | 817,076.88 | | | | 845,895.02 | |
| | FNMA POOL AS0226 | | 4% 01 Aug 2043 | | 1,895,642.89 | | | | 2,014,103.53 | |
| | FNMA POOL AS0263 | | 5% 01 Aug 2043 | | 174,353.21 | | | | 191,763.68 | |
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| | FNMA POOL AS0331 | | 3% 01 Aug 2043 | | 568,434.08 | | | | 569,600.23 | |
| | FNMA POOL AS0358 | | 4% 01 Sep 2043 | | 1,816,686.40 | | | | 1,933,561.83 | |
| | FNMA POOL AS0489 | | 2.5% 01 Sep 2028 | | 732,388.27 | | | | 742,063.32 | |
| | FNMA POOL AS0516 | | 3% 01 Sep 2043 | | 1,925,851.13 | | | | 1,929,646.40 | |
| | FNMA POOL AS0563 | | 4.5% 01 Sep 2043 | | 143,503.25 | | | | 154,987.43 | |
| | FNMA POOL AS0657 | | 4% 01 Oct 2043 | | 1,499,568.86 | | | | 1,587,958.41 | |
| | FNMA POOL AS0830 | | 4.5% 01 Oct 2043 | | 191,071.39 | | | | 206,716.19 | |
| | FNMA POOL AS0837 | | 5% 01 Oct 2043 | | 512,208.70 | | | | 563,725.02 | |
| | FNMA POOL AS0860 | | 4.5% 01 Oct 2043 | | 349,871.18 | | | | 377,870.42 | |
| | FNMA POOL AS1042 | | 4% 01 Nov 2043 | | 2,222,598.90 | | | | 2,361,503.09 | |
| | FNMA POOL AS1338 | | 5% 01 Dec 2043 | | 165,516.13 | | | | 182,280.85 | |
| | FNMA POOL AS1417 | | 3% 01 Jan 2029 | | 472,525.02 | | | | 487,474.32 | |
| | FNMA POOL AS1527 | | 3% 01 Jan 2029 | | 377,751.48 | | | | 389,707.65 | |
| | FNMA POOL AS1586 | | 4.5% 01 Jan 2044 | | 1,036,086.74 | | | | 1,119,001.95 | |
| | FNMA POOL AS1587 | | 4.5% 01 Jan 2044 | | 459,939.46 | | | | 496,747.17 | |
| | FNMA POOL AS1588 | | 4.5% 01 Jan 2044 | | 1,064,612.20 | | | | 1,153,710.32 | |
| | FNMA POOL AS1665 | | 4.5% 01 Feb 2044 | | 40,696.83 | | | | 43,953.69 | |
| | FNMA POOL AS1756 | | 3.5% 01 Feb 2029 | | 642,532.11 | | | | 673,430.10 | |
| | FNMA POOL AS1764 | | 4% 01 Feb 2044 | | 1,155,317.75 | | | | 1,227,901.79 | |
| | FNMA POOL AS2074 | | 4.5% 01 Mar 2044 | | 668,719.88 | | | | 722,235.72 | |
| | FNMA POOL AS2523 | | 5% 01 May 2044 | | 381,839.43 | | | | 420,938.46 | |
| | FNMA POOL AS2751 | | 4.5% 01 Jun 2044 | | 41,201.27 | | | | 44,498.50 | |
| | FNMA POOL AS2950 | | 4% 01 Jul 2044 | | 368,261.19 | | | | 389,818.26 | |
| | FNMA POOL AS2983 | | 3% 01 Aug 2029 | | 1,270,199.43 | | | | 1,310,575.34 | |
| | FNMA POOL AS3293 | | 4% 01 Sep 2044 | | 1,913,896.78 | | | | 2,025,931.42 | |
| | FNMA POOL AS3354 | | 3% 01 Sep 2029 | | 950,075.98 | | | | 980,268.38 | |
| | FNMA POOL AS3467 | | 4% 01 Oct 2044 | | 484,141.00 | | | | 512,481.38 | |
| | FNMA POOL AS3634 | | 4% 01 Oct 2044 | | 1,008,040.83 | | | | 1,067,048.97 | |
| | FNMA POOL AS3713 | | 4% 01 Nov 2044 | | 1,489,685.89 | | | | 1,579,317.95 | |
| | FNMA POOL AS3743 | | 2.5% 01 Nov 2029 | | 363,155.48 | | | | 366,653.10 | |
| | FNMA POOL AS4184 | | 4% 01 Jan 2045 | | 1,353,946.32 | | | | 1,435,445.02 | |
| | FNMA POOL AS4302 | | 4% 01 Jan 2045 | | 828,074.75 | | | | 878,028.18 | |
| | FNMA POOL AS4304 | | 3.5% 01 Jan 2045 | | 1,159,509.81 | | | | 1,197,176.56 | |
| | FNMA POOL AS4306 | | 3% 01 Jan 2045 | | 1,162,490.76 | | | | 1,163,499.48 | |
| | FNMA POOL AS4333 | | 3% 01 Jan 2045 | | 1,410,545.54 | | | | 1,411,769.50 | |
| | FNMA POOL AS4466 | | 3% 01 Feb 2030 | | 596,278.00 | | | | 615,673.46 | |
| | FNMA POOL AS4480 | | 2.5% 01 Feb 2030 | | 952,285.62 | | | | 960,914.73 | |
| | FNMA POOL AS4485 | | 2.5% 01 Feb 2030 | | 1,955,986.85 | | | | 1,973,710.97 | |
| | FNMA POOL AS4630 | | 4% 01 Mar 2045 | | 1,290,392.76 | | | | 1,366,208.72 | |
| | FNMA POOL AS4766 | | 2.5% 01 Apr 2030 | | 1,283,814.15 | | | | 1,295,447.39 | |
| | FNMA POOL AS4777 | | 3.5% 01 Apr 2045 | | 2,131,484.56 | | | | 2,201,112.64 | |
| | FNMA POOL AS4797 | | 3.5% 01 Apr 2045 | | 1,750,184.51 | | | | 1,808,547.90 | |
| | FNMA POOL AS4804 | | 3.5% 01 Apr 2045 | | 1,893,636.34 | | | | 1,955,450.46 | |
| | FNMA POOL AS4953 | | 3% 01 May 2030 | | 2,046,547.98 | | | | 2,112,289.40 | |
| | FNMA POOL AS5156 | | 3% 01 Jun 2030 | | 1,073,072.96 | | | | 1,106,697.09 | |
| | FNMA POOL AS5175 | | 3.5% 01 Jun 2045 | | 1,785,063.61 | | | | 1,845,143.32 | |
| | FNMA POOL AS5240 | | 3% 01 Jun 2030 | | 455,647.92 | | | | 469,783.91 | |
| | FNMA POOL AS5444 | | 3% 01 Jul 2045 | | 2,279,227.46 | | | | 2,282,404.66 | |
| | FNMA POOL AS5594 | | 3.5% 01 Aug 2045 | | 2,207,634.10 | | | | 2,281,358.61 | |
| | FNMA POOL AS5617 | | 2.5% 01 Aug 2030 | | 640,120.75 | | | | 645,921.18 | |
| | FNMA POOL AS5892 | | 3.5% 01 Oct 2045 | | 1,630,548.46 | | | | 1,683,516.92 | |
| | FNMA POOL AS6400 | | 4% 01 Dec 2045 | | 1,583,917.00 | | | | 1,678,818.59 | |
| | FNMA POOL AT2014 | | 3% 01 Apr 2043 | | 1,942,128.98 | | | | 1,946,487.00 | |
| | FNMA POOL AT2016 | | 3% 01 Apr 2043 | | 1,544,598.58 | | | | 1,548,005.67 | |
| | FNMA POOL AT2021 | | 3.5% 01 Apr 2043 | | 1,043,294.82 | | | | 1,078,599.66 | |
| | FNMA POOL AT2062 | | 2.5% 01 Apr 2028 | | 986,686.93 | | | | 999,746.85 | |
| | FNMA POOL AT2725 | | 3% 01 May 2043 | | 1,065,993.17 | | | | 1,068,301.08 | |
| | FNMA POOL AT5830 | | 4.5% 01 Jun 2043 | | 18,424.60 | | | | 20,002.38 | |
| | FNMA POOL AT5895 | | 3% 01 Jun 2043 | | 1,834,978.59 | | | | 1,838,810.85 | |
| | FNMA POOL AT5897 | | 3% 01 Jun 2043 | | 350,522.13 | | | | 351,267.15 | |
| | FNMA POOL AT5900 | | 3% 01 Jun 2043 | | 1,249,544.09 | | | | 1,252,250.19 | |
| | FNMA POOL AT5988 | | 3% 01 May 2043 | | 1,041,797.78 | | | | 1,044,053.39 | |
| | FNMA POOL AT9221 | | 3% 01 Jul 2043 | | 654,394.64 | | | | 655,684.87 | |
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Table of Contents
| | FNMA POOL AU0949 | | 3.5% 01 Aug 2043 | | 705,164.84 | | | | 733,214.51 | |
| | FNMA POOL AU1632 | | 3% 01 Jul 2043 | | 1,305,181.58 | | | | 1,307,910.53 | |
| | FNMA POOL AU3195 | | 3% 01 Aug 2043 | | 644,786.28 | | | | 646,106.09 | |
| | FNMA POOL AU3735 | | 3% 01 Aug 2043 | | 2,894,599.41 | | | | 2,900,540.40 | |
| | FNMA POOL AU3742 | | 3.5% 01 Aug 2043 | | 1,449,193.32 | | | | 1,498,232.96 | |
| | FNMA POOL AU3751 | | 4% 01 Aug 2043 | | 2,014,127.03 | | | | 2,139,995.19 | |
| | FNMA POOL AU4229 | | 4.5% 01 Sep 2043 | | 1,494,947.12 | | | | 1,618,543.22 | |
| | FNMA POOL AU4289 | | 4% 01 Sep 2043 | | 368,543.15 | | | | 391,574.89 | |
| | FNMA POOL AU4386 | | 4% 01 Oct 2043 | | 446,717.63 | | | | 474,634.40 | |
| | FNMA POOL AU7309 | | 3.5% 01 Aug 2043 | | 668,920.98 | | | | 690,977.14 | |
| | FNMA POOL AU8870 | | 3.5% 01 Nov 2028 | | 237,949.17 | | | | 250,601.01 | |
| | FNMA POOL AU9133 | | 4.5% 01 Nov 2043 | | 250,111.36 | | | | 270,127.09 | |
| | FNMA POOL AU9992 | | 4% 01 Oct 2043 | | 958,332.13 | | | | 1,014,683.75 | |
| | FNMA POOL AV0461 | | 3.5% 01 Nov 2028 | | 227,365.89 | | | | 238,331.21 | |
| | FNMA POOL AV0663 | | 4.5% 01 Dec 2043 | | 885,197.50 | | | | 959,589.57 | |
| | FNMA POOL AV0691 | | 4% 01 Dec 2043 | | 1,022,305.74 | | | | 1,088,077.25 | |
| | FNMA POOL AV0967 | | 4.5% 01 Jun 2044 | | 832,395.54 | | | | 901,237.31 | |
| | FNMA POOL AV1676 | | 4% 01 Jan 2026 | | 136,673.85 | | | | 142,499.23 | |
| | FNMA POOL AV2301 | | 4.5% 01 Dec 2043 | | 517,377.15 | | | | 558,781.44 | |
| | FNMA POOL AV2420 | | 4.5% 01 Nov 2044 | | 39,592.96 | | | | 42,795.51 | |
| | FNMA POOL AV5049 | | 4.5% 01 Feb 2044 | | 153,247.02 | | | | 165,510.96 | |
| | FNMA POOL AV6366 | | 4.5% 01 Jan 2044 | | 46,372.64 | | | | 50,083.72 | |
| | FNMA POOL AV7114 | | 4.5% 01 Mar 2044 | | 571,976.58 | | | | 617,750.32 | |
| | FNMA POOL AV8440 | | 3.5% 01 Jan 2029 | | 339,343.52 | | | | 355,536.65 | |
| | FNMA POOL AV9988 | | 4.5% 01 Apr 2044 | | 629,337.35 | | | | 679,701.51 | |
| | FNMA POOL AW2045 | | 4.5% 01 Apr 2044 | | 452,859.71 | | | | 490,992.36 | |
| | FNMA POOL AW3640 | | 3% 01 Jun 2029 | | 523,909.59 | | | | 540,660.77 | |
| | FNMA POOL AW4462 | | 3% 01 Apr 2029 | | 200,971.40 | | | | 207,323.97 | |
| | FNMA POOL AW4583 | | 4.5% 01 Jun 2044 | | 268,732.90 | | | | 291,441.27 | |
| | FNMA POOL AW5093 | | 3% 01 Jul 2029 | | 318,347.38 | | | | 328,442.47 | |
| | FNMA POOL AW7396 | | 3.5% 01 Jan 2027 | | 2,731,759.68 | | | | 2,864,918.54 | |
| | FNMA POOL AX3613 | | 3% 01 Jan 2045 | | 912,478.33 | | | | 913,270.11 | |
| | FNMA POOL AX4245 | | 4% 01 Dec 2044 | | 868,785.33 | | | | 919,683.28 | |
| | FNMA POOL AX8410 | | 5% 01 Nov 2044 | | 34,384.96 | | | | 37,975.29 | |
| | FNMA POOL AX9538 | | 3% 01 Feb 2030 | | 984,232.63 | | | | 1,015,829.20 | |
| | FNMA POOL AY0013 | | 4.5% 01 Jan 2045 | | 821,873.41 | | | | 888,404.79 | |
| | FNMA POOL AY0025 | | 4% 01 Feb 2045 | | 1,781,755.96 | | | | 1,887,346.19 | |
| | FNMA POOL AY3407 | | 2.5% 01 Apr 2030 | | 1,699,349.07 | | | | 1,714,747.67 | |
| | FNMA POOL AZ0814 | | 3.5% 01 Jul 2045 | | 3,565,771.89 | | | | 3,684,849.13 | |
| | FNMA POOL AZ0881 | | 2.5% 01 Jul 2030 | | 2,411,934.79 | | | | 2,433,790.46 | |
| | FNMA POOL AZ0886 | | 3% 01 Jul 2030 | | 1,274,752.33 | | | | 1,314,300.16 | |
| | FNMA POOL AZ8009 | | 3.5% 01 Sep 2045 | | 2,220,437.38 | | | | 2,292,568.42 | |
| | FNMA POOL MA0099 | | 4% 01 Jun 2019 | | 579,031.09 | | | | 603,633.14 | |
| | FNMA POOL MA0156 | | 5% 01 Aug 2029 | | 619,471.21 | | | | 681,330.05 | |
| | FNMA POOL MA0174 | | 4% 01 Sep 2019 | | 147,026.86 | | | | 153,346.29 | |
| | FNMA POOL MA0203 | | 4% 01 Oct 2019 | | 132,758.90 | | | | 138,511.92 | |
| | FNMA POOL MA0322 | | 4% 01 Feb 2020 | | 120,606.98 | | | | 125,900.68 | |
| | FNMA POOL MA0359 | | 4% 01 Mar 2025 | | 268,222.31 | | | | 283,630.91 | |
| | FNMA POOL MA0413 | | 4% 01 May 2020 | | 231,656.61 | | | | 241,939.84 | |
| | FNMA POOL MA0419 | | 4.5% 01 May 2020 | | 145,587.34 | | | | 151,213.53 | |
| | FNMA POOL MA0537 | | 4.5% 01 Oct 2040 | | 1,002,234.75 | | | | 1,084,597.27 | |
| | FNMA POOL MA0546 | | 3.5% 01 Oct 2025 | | 199,754.26 | | | | 209,575.83 | |
| | FNMA POOL MA0548 | | 3.5% 01 Oct 2020 | | 210,000.15 | | | | 220,008.23 | |
| | FNMA POOL MA0918 | | 4% 01 Dec 2041 | | 523,825.76 | | | | 555,661.95 | |
| | FNMA POOL MA1034 | | 3.5% 01 Apr 2027 | | 116,402.49 | | | | 122,190.02 | |
| | FNMA POOL MA1167 | | 2.5% 01 Sep 2027 | | 1,084,300.66 | | | | 1,101,796.27 | |
| | FNMA POOL MA1524 | | 3% 01 Aug 2043 | | 2,134,400.91 | | | | 2,138,777.52 | |
| | FNMA POOL MA1891 | | 3% 01 May 2029 | | 1,761,620.71 | | | | 1,817,351.27 | |
| | FNMA POOL MA2003 | | 3.5% 01 Aug 2029 | | 120,009.04 | | | | 125,805.48 | |
| | FNMA POOL MA2145 | | 4% 01 Jan 2045 | | 884,909.46 | | | | 936,899.79 | |
| | FNMA POOL MA2217 | | 4% 01 Mar 2045 | | 607,111.80 | | | | 642,813.47 | |
| | FNMA POOL MA2229 | | 3.5% 01 Apr 2045 | | 1,869,472.77 | | | | 1,930,202.71 | |
| | FNMA POOL MA2305 | | 2.5% 01 Jun 2030 | | 736,083.93 | | | | 742,753.93 | |
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| | FNMA POOL MA2342 | | 4% 01 Jul 2045 | | 1,200,807.71 | | | | 1,271,546.39 | |
| | FNMA POOL MA2371 | | 4% 01 Aug 2045 | | 1,586,409.34 | | | | 1,679,946.21 | |
| | FNMA POOL MA2489 | | 2.5% 01 Dec 2030 | | 794,328.59 | | | | 801,526.37 | |
| | FNMA TBA 15 YR 2.5 | | 2.5% 20 Jan 2031 | | 10,660,000.00 | | | | 10,744,268.37 | |
| | FNMA TBA 15 YR 3 | | 3% 20 Jan 2031 | | 10,785,000.00 | | | | 11,110,092.26 | |
| | FNMA TBA 15 YR 3.5 | | 3.5% 20 Jan 2031 | | 315,000.00 | | | | 329,876.51 | |
| | FNMA TBA 30 YR 3 | | 3% 14 Jan 2046 | | 12,975,000.00 | | | | 12,975,118.07 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 25,725,000.00 | | | | 26,541,079.32 | |
| | FNMA TBA 30 YR 4 | | 4% 14 Jan 2046 | | 13,275,000.00 | | | | 14,047,231.97 | |
| | FNMA TBA 30 YR 4 | | 4% 10 Dec 2045 | | 1,945,000.00 | | | | 2,058,855.34 | |
| | FNMA TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | 465,000.00 | | | | 502,141.88 | |
| | FNMA TBA 30 YR 5 | | 5% 14 Jan 2046 | | 205,000.00 | | | | 225,639.34 | |
| | FNMA TBA 30 YR 5.5 | | 5.5% 14 Jan 2046 | | 660,000.00 | | | | 735,716.98 | |
| | FOMENTO ECONOMICO MEX | | 2.875% 10 May 2023 | | 2,835,000.00 | | | | 2,646,619.92 | |
| | FORD MOTOR CREDIT CO LLC | | 3% 12 Jun 2017 | | 2,520,000.00 | | | | 2,544,499.44 | |
| | FORD MOTOR CREDIT CO LLC | | 3.664% 08 Sep 2024 | | 5,000,000.00 | | | | 4,862,055.00 | |
| | FORD MOTOR CREDIT CO LLC | | 2.597% 04 Nov 2019 | | 5,000,000.00 | | | | 4,909,190.00 | |
| | FREDDIE MAC | | 5.4% 17 Mar 2021 | | 50,000.00 | | | | 50,371.30 | |
| | FREDDIE MAC | | 6.75% 15 Mar 2031 | | 180,000.00 | | | | 258,040.62 | |
| | FREDDIE MAC | | 2.375% 13 Jan 2022 | | 2,005,000.00 | | | | 2,032,853.46 | |
| | FREDDIE MAC | | 0.5% 27 Jan 2017 | | 1,090,000.00 | | | | 1,085,613.84 | |
| | FREDDIE MAC | | 6.25% 15 Jul 2032 | | 1,345,000.00 | | | | 1,869,879.53 | |
| | FREEPORT MCMORAN INC | | 2.375% 15 Mar 2018 | | 1,300,000.00 | | | | 1,014,000.00 | |
| | FREEPORT MCMORAN INC | | 3.875% 15 Mar 2023 | | 2,990,000.00 | | | | 1,704,300.00 | |
| | GCCFC COMMERCIAL MORTGAGE TRUS | | 1% 10 Jul 2038 | | 1,692,837.51 | | | | 1,700,621.18 | |
| | GCCFC COMMERCIAL MORTGAGE TRUS | | 5.444% 10 Mar 2039 | | 2,109,884.92 | | | | 2,156,892.31 | |
| | GE CAPITAL INTL FUNDING | | 4.418% 15 Nov 2035 | | 3,829,000.00 | | | | 3,907,425.58 | |
| | GENERAL DYNAMICS CORP | | 2.25% 15 Nov 2022 | | 600,000.00 | | | | 576,850.80 | |
| | GENERAL ELECTRIC CO | | 4.5% 11 Mar 2044 | | 1,500,000.00 | | | | 1,543,698.00 | |
| | GENERAL MOTORS FINL CO | | 3.2% 13 Jul 2020 | | 2,500,000.00 | | | | 2,461,507.50 | |
| | GILEAD SCIENCES INC | | 3.7% 01 Apr 2024 | | 3,880,000.00 | | | | 3,974,357.72 | |
| | GLAXOSMITHKLINE CAPITAL | | 1.5% 08 May 2017 | | 1,500,000.00 | | | | 1,506,321.00 | |
| | GNMA II POOL 004098 | | 5.5% 20 Mar 2038 | | 122,090.50 | | | | 135,850.73 | |
| | GNMA II POOL 004561 | | 6% 20 Oct 2039 | | 46,603.00 | | | | 52,813.18 | |
| | GNMA II POOL 004616 | | 4% 20 Jan 2040 | | 1,265,545.50 | | | | 1,355,251.74 | |
| | GNMA II POOL 004774 | | 6% 20 Aug 2040 | | 44,060.11 | | | | 49,804.76 | |
| | GNMA II POOL 004804 | | 6% 20 Sep 2040 | | 61,120.50 | | | | 68,664.72 | |
| | GNMA II POOL 004905 | | 6% 20 Dec 2040 | | 183,657.79 | | | | 209,408.88 | |
| | GNMA II POOL 004923 | | 4.5% 20 Jan 2041 | | 36,935.33 | | | | 40,233.91 | |
| | GNMA II POOL 004928 | | 6% 20 Jan 2041 | | 186,066.62 | | | | 212,156.53 | |
| | GNMA II POOL 004945 | | 4% 20 Feb 2041 | | 227,922.00 | | | | 244,155.28 | |
| | GNMA II POOL 004978 | | 4.5% 20 Mar 2041 | | 352,771.73 | | | | 384,277.72 | |
| | GNMA II POOL 004984 | | 5.5% 20 Mar 2041 | | 262,289.58 | | | | 290,726.37 | |
| | GNMA II POOL 004991 | | 6% 20 Mar 2041 | | 18,678.12 | | | | 21,112.32 | |
| | GNMA II POOL 005017 | | 4.5% 20 Apr 2041 | | 1,426,169.59 | | | | 1,553,542.28 | |
| | GNMA II POOL 005055 | | 4.5% 20 May 2041 | | 811,706.74 | | | | 884,201.97 | |
| | GNMA II POOL 005057 | | 5.5% 20 May 2041 | | 128,602.44 | | | | 142,986.42 | |
| | GNMA II POOL 005082 | | 4.5% 20 Jun 2041 | | 946,169.53 | | | | 1,030,674.71 | |
| | GNMA II POOL 005115 | | 4.5% 20 Jul 2041 | | 121,245.04 | | | | 132,073.86 | |
| | GNMA II POOL 005140 | | 4.5% 20 Aug 2041 | | 1,425,767.91 | | | | 1,553,109.00 | |
| | GNMA II POOL 005204 | | 4.5% 20 Oct 2041 | | 687,133.53 | | | | 748,507.66 | |
| | GNMA II POOL 005260 | | 4.5% 20 Dec 2041 | | 786,358.36 | | | | 856,667.77 | |
| | GNMA II POOL 005281 | | 4.5% 20 Jan 2042 | | 791,189.33 | | | | 860,146.57 | |
| | GNMA II POOL 005305 | | 4% 20 Feb 2042 | | 371,879.25 | | | | 397,543.62 | |
| | GNMA II POOL 782909 | | 5.5% 20 Sep 2039 | | 453,443.65 | | | | 499,029.33 | |
| | GNMA II POOL 782913 | | 5.5% 20 Nov 2039 | | 380,541.28 | | | | 418,796.71 | |
| | GNMA II POOL 783229 | | 5.5% 20 Dec 2040 | | 920,774.90 | | | | 1,012,606.84 | |
| | GNMA II POOL 783755 | | 3% 20 Apr 2043 | | 3,515,752.38 | | | | 3,577,229.56 | |
| | GNMA II POOL 783976 | | 3.5% 20 Apr 2043 | | 1,865,068.08 | | | | 1,950,159.52 | |
| | GNMA II POOL MA0088 | | 3.5% 20 May 2042 | | 1,557,798.45 | | | | 1,628,867.49 | |
| | GNMA II POOL MA0089 | | 4% 20 May 2042 | | 1,655,068.43 | | | | 1,768,279.20 | |
| | GNMA II POOL MA0090 | | 4.5% 20 May 2042 | | 1,114,518.20 | | | | 1,211,655.81 | |
| | GNMA II POOL MA0154 | | 3.5% 20 Jun 2042 | | 1,875,078.98 | | | | 1,960,623.66 | |
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Table of Contents
| | GNMA II POOL MA0155 | | 4% 20 Jun 2042 | | 1,802,610.00 | | | | 1,925,546.33 | |
| | GNMA II POOL MA0317 | | 3% 20 Aug 2042 | | 1,011,383.68 | | | | 1,029,068.66 | |
| | GNMA II POOL MA0391 | | 3% 20 Sep 2042 | | 487,763.58 | | | | 496,292.33 | |
| | GNMA II POOL MA0392 | | 3.5% 20 Sep 2042 | | 2,277,616.00 | | | | 2,381,527.42 | |
| | GNMA II POOL MA0461 | | 3% 20 Oct 2042 | | 890,226.21 | | | | 905,792.30 | |
| | GNMA II POOL MA0534 | | 3.5% 20 Nov 2042 | | 609,666.71 | | | | 637,481.77 | |
| | GNMA II POOL MA0698 | | 3% 20 Jan 2043 | | 641,319.10 | | | | 652,532.95 | |
| | GNMA II POOL MA0699 | | 3.5% 20 Jan 2043 | | 1,976,992.07 | | | | 2,067,190.32 | |
| | GNMA II POOL MA0782 | | 3% 20 Feb 2043 | | 1,919,784.09 | | | | 1,953,352.92 | |
| | GNMA II POOL MA0852 | | 3.5% 20 Mar 2043 | | 324,113.06 | | | | 338,850.75 | |
| | GNMA II POOL MA0933 | | 3% 20 Apr 2043 | | 827,855.81 | | | | 840,692.13 | |
| | GNMA II POOL MA0934 | | 3.5% 20 Apr 2043 | | 333,825.37 | | | | 348,979.04 | |
| | GNMA II POOL MA1012 | | 3.5% 20 May 2043 | | 1,773,377.69 | | | | 1,853,742.47 | |
| | GNMA II POOL MA1156 | | 3% 20 Jul 2043 | | 504,027.54 | | | | 512,841.36 | |
| | GNMA II POOL MA1157 | | 3.5% 20 Jul 2043 | | 1,558,845.72 | | | | 1,629,369.37 | |
| | GNMA II POOL MA1223 | | 3% 20 Aug 2043 | | 2,815,326.65 | | | | 2,864,561.45 | |
| | GNMA II POOL MA1224 | | 3.5% 20 Aug 2043 | | 2,435,833.28 | | | | 2,545,472.06 | |
| | GNMA II POOL MA1225 | | 4% 20 Aug 2043 | | 2,034,325.53 | | | | 2,165,818.31 | |
| | GNMA II POOL MA1374 | | 3% 20 Oct 2043 | | 823,783.36 | | | | 838,189.07 | |
| | GNMA II POOL MA1375 | | 3.5% 20 Oct 2043 | | 2,414,493.16 | | | | 2,522,803.87 | |
| | GNMA II POOL MA1376 | | 4% 20 Oct 2043 | | 3,225,439.67 | | | | 3,440,842.92 | |
| | GNMA II POOL MA1377 | | 4.5% 20 Oct 2043 | | 225,593.63 | | | | 242,690.09 | |
| | GNMA II POOL MA1601 | | 4% 20 Jan 2044 | | 2,573,951.69 | | | | 2,744,928.82 | |
| | GNMA II POOL MA1602 | | 4.5% 20 Jan 2044 | | 593,533.40 | | | | 638,513.93 | |
| | GNMA II POOL MA1677 | | 3.5% 20 Feb 2044 | | 256,361.01 | | | | 267,980.04 | |
| | GNMA II POOL MA1678 | | 4% 20 Feb 2044 | | 1,080,984.58 | | | | 1,152,404.65 | |
| | GNMA II POOL MA1679 | | 4.5% 20 Feb 2044 | | 768,918.16 | | | | 827,246.43 | |
| | GNMA II POOL MA1839 | | 4% 20 Apr 2044 | | 447,774.70 | | | | 477,039.46 | |
| | GNMA II POOL MA1840 | | 4.5% 20 Apr 2044 | | 1,460,243.59 | | | | 1,571,117.46 | |
| | GNMA II POOL MA1920 | | 4% 20 May 2044 | | 645,132.96 | | | | 687,066.23 | |
| | GNMA II POOL MA1995 | | 3.5% 20 Jun 2044 | | 738,909.64 | | | | 772,400.87 | |
| | GNMA II POOL MA1997 | | 4.5% 20 Jun 2044 | | 307,519.04 | | | | 330,824.16 | |
| | GNMA II POOL MA2073 | | 3.5% 20 Jul 2044 | | 291,073.54 | | | | 304,266.52 | |
| | GNMA II POOL MA2074 | | 4% 20 Jul 2044 | | 1,827,142.51 | | | | 1,944,602.18 | |
| | GNMA II POOL MA2148 | | 3.5% 20 Aug 2044 | | 1,474,616.51 | | | | 1,541,453.93 | |
| | GNMA II POOL MA2224 | | 4% 20 Sep 2044 | | 919,042.85 | | | | 976,976.28 | |
| | GNMA II POOL MA2225 | | 4.5% 20 Sep 2044 | | 1,363,317.72 | | | | 1,466,665.90 | |
| | GNMA II POOL MA2303 | | 3.5% 20 Oct 2044 | | 1,517,926.58 | | | | 1,586,728.03 | |
| | GNMA II POOL MA2304 | | 4% 20 Oct 2044 | | 1,680,171.28 | | | | 1,785,310.38 | |
| | GNMA II POOL MA2305 | | 4.5% 20 Oct 2044 | | 1,115,098.03 | | | | 1,199,604.98 | |
| | GNMA II POOL MA2372 | | 4% 20 Nov 2044 | | 551,089.71 | | | | 585,574.93 | |
| | GNMA II POOL MA2444 | | 3% 20 Dec 2044 | | 118,261.81 | | | | 120,026.34 | |
| | GNMA II POOL MA2445 | | 3.5% 20 Dec 2044 | | 1,650,017.54 | | | | 1,722,604.45 | |
| | GNMA II POOL MA2446 | | 4% 20 Dec 2044 | | 1,292,177.01 | | | | 1,373,036.82 | |
| | GNMA II POOL MA2520 | | 3% 20 Jan 2045 | | 2,287,343.61 | | | | 2,321,471.97 | |
| | GNMA II POOL MA2521 | | 3.5% 20 Jan 2045 | | 1,457,078.37 | | | | 1,521,177.58 | |
| | GNMA II POOL MA2522 | | 4% 20 Jan 2045 | | 524,810.40 | | | | 557,651.16 | |
| | GNMA II POOL MA2600 | | 3% 20 Feb 2045 | | 393,246.34 | | | | 399,113.78 | |
| | GNMA II POOL MA2601 | | 3.5% 20 Feb 2045 | | 1,709,940.50 | | | | 1,785,163.52 | |
| | GNMA II POOL MA2602 | | 4% 20 Feb 2045 | | 1,732,247.28 | | | | 1,840,645.11 | |
| | GNMA II POOL MA2679 | | 4% 20 Mar 2045 | | 2,132,137.73 | | | | 2,265,559.28 | |
| | GNMA II POOL MA2680 | | 4.5% 20 Mar 2045 | | 739,518.32 | | | | 795,562.21 | |
| | GNMA II POOL MA2753 | | 3% 20 Apr 2045 | | 1,008,953.84 | | | | 1,024,007.96 | |
| | GNMA II POOL MA2756 | | 4.5% 20 Apr 2045 | | 1,814,800.10 | | | | 1,952,333.49 | |
| | GNMA II POOL MA2825 | | 3% 20 May 2045 | | 871,734.88 | | | | 884,741.62 | |
| | GNMA II POOL MA2826 | | 3.5% 20 May 2045 | | 2,733,175.28 | | | | 2,853,412.03 | |
| | GNMA II POOL MA2828 | | 4.5% 20 May 2045 | | 1,901,978.80 | | | | 2,046,269.72 | |
| | GNMA II POOL MA2892 | | 3.5% 20 Jun 2045 | | 2,323,577.11 | | | | 2,425,794.98 | |
| | GNMA II POOL MA2960 | | 3% 20 Jul 2045 | | 2,750,218.52 | | | | 2,791,253.21 | |
| | GNMA II POOL MA2961 | | 3.5% 20 Jul 2045 | | 2,932,912.59 | | | | 3,061,936.11 | |
| | GNMA II POOL MA3033 | | 3% 20 Aug 2045 | | 1,749,913.14 | | | | 1,776,022.75 | |
| | GNMA II POOL MA3035 | | 4% 20 Aug 2045 | | 1,904,772.43 | | | | 2,023,966.27 | |
| | GNMA II POOL MA3105 | | 3.5% 20 Sep 2045 | | 2,302,801.16 | | | | 2,404,105.07 | |
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Table of Contents
| | GNMA II POOL MA3107 | | 4.5% 20 Sep 2045 | | 2,388,203.33 | | | | 2,570,497.18 | |
| | GNMA II POOL MA3172 | | 3% 20 Oct 2045 | | 1,319,177.39 | | | | 1,338,860.20 | |
| | GNMA II POOL MA3244 | | 3.5% 20 Nov 2045 | | 2,744,111.78 | | | | 2,864,829.65 | |
| | GNMA II TBA 30 YR 3 | | 3% 21 Jan 2046 | | 12,685,000.00 | | | | 12,856,943.91 | |
| | GNMA II TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 25,035,000.00 | | | | 26,098,011.14 | |
| | GNMA II TBA 30 YR 4 | | 4% 21 Jan 2046 | | 10,190,000.00 | | | | 10,821,301.07 | |
| | GNMA II TBA 30 YR 4.5 | | 4.5% 21 Jan 2046 | | 750,000.00 | | | | 805,781.25 | |
| | GNMA POOL 428124 | | 5% 15 Feb 2039 | | 489,236.79 | | | | 540,029.88 | |
| | GNMA POOL 487821 | | 5% 15 Mar 2039 | | 2,170,065.59 | | | | 2,403,724.91 | |
| | GNMA POOL 615278 | | 5% 15 Jul 2033 | | 1,071,266.68 | | | | 1,197,807.21 | |
| | GNMA POOL 618700 | | 6.5% 15 Sep 2036 | | 1,650.87 | | | | 1,888.81 | |
| | GNMA POOL 645990 | | 6.5% 15 Oct 2036 | | 68,345.67 | | | | 78,196.42 | |
| | GNMA POOL 646541 | | 6.5% 15 Aug 2036 | | 2,549.00 | | | | 2,916.39 | |
| | GNMA POOL 657982 | | 6.5% 15 Oct 2036 | | 1,483.41 | | | | 1,697.22 | |
| | GNMA POOL 680110 | | 5% 15 Apr 2038 | | 3,320.87 | | | | 3,639.27 | |
| | GNMA POOL 697488 | | 6% 15 Sep 2038 | | 107,417.56 | | | | 121,389.15 | |
| | GNMA POOL 698099 | | 5% 15 Apr 2039 | | 95,828.59 | | | | 105,777.86 | |
| | GNMA POOL 698342 | | 5% 15 May 2039 | | 214,487.50 | | | | 237,418.35 | |
| | GNMA POOL 700978 | | 6% 15 Nov 2038 | | 39,569.87 | | | | 44,715.76 | |
| | GNMA POOL 701603 | | 5% 15 Feb 2039 | | 224,338.09 | | | | 247,565.19 | |
| | GNMA POOL 704182 | | 5% 15 Jan 2039 | | 1,055,458.76 | | | | 1,158,988.00 | |
| | GNMA POOL 714130 | | 5% 15 Sep 2039 | | 179,268.83 | | | | 197,546.85 | |
| | GNMA POOL 722270 | | 5% 15 Sep 2039 | | 375,847.74 | | | | 412,719.15 | |
| | GNMA POOL 729038 | | 5% 15 Feb 2040 | | 507,497.68 | | | | 559,245.44 | |
| | GNMA POOL 733018 | | 6% 15 Jan 2040 | | 62,788.65 | | | | 71,401.26 | |
| | GNMA POOL 733603 | | 5% 15 Apr 2040 | | 759,456.01 | | | | 842,010.45 | |
| | GNMA POOL 738423 | | 5% 15 Jun 2041 | | 45,875.05 | | | | 50,794.66 | |
| | GNMA POOL 745134 | | 5% 15 Jun 2040 | | 628,839.30 | | | | 692,198.89 | |
| | GNMA POOL 745142 | | 5% 15 Jun 2040 | | 492,389.98 | | | | 545,274.39 | |
| | GNMA POOL 745719 | | 5% 15 Jun 2040 | | 197,130.62 | | | | 215,968.95 | |
| | GNMA POOL 748501 | | 5% 15 Jun 2040 | | 339,496.56 | | | | 376,355.38 | |
| | GNMA POOL 749368 | | 5% 15 Apr 2041 | | 317,910.24 | | | | 352,413.65 | |
| | GNMA POOL 750588 | | 5% 15 Jun 2041 | | 95,061.67 | | | | 105,209.36 | |
| | GNMA POOL 763854 | | 3% 15 Jul 2043 | | 902,002.78 | | | | 917,585.16 | |
| | GNMA POOL 765307 | | 5% 15 May 2041 | | 241,848.73 | | | | 267,669.22 | |
| | GNMA POOL 782369 | | 6% 15 Jul 2038 | | 51,133.26 | | | | 57,781.60 | |
| | GNMA POOL 782449 | | 6% 15 Sep 2038 | | 190,611.56 | | | | 215,396.19 | |
| | GNMA POOL 782468 | | 5% 15 Nov 2038 | | 3,751.57 | | | | 4,153.21 | |
| | GNMA POOL 783292 | | 6% 15 Dec 2040 | | 101,274.07 | | | | 114,439.30 | |
| | GNMA POOL 783622 | | 6% 15 Jun 2041 | | 118,878.48 | | | | 136,362.95 | |
| | GNMA POOL AB0935 | | 3% 15 Sep 2042 | | 1,096,359.92 | | | | 1,115,352.62 | |
| | GNMA POOL AD9016 | | 3% 15 Apr 2043 | | 553,614.65 | | | | 563,205.86 | |
| | GOLDMAN SACHS GROUP INC | | 6.25% 01 Feb 2041 | | 950,000.00 | | | | 1,133,161.90 | |
| | GOLDMAN SACHS GROUP INC | | 2.9% 19 Jul 2018 | | 3,075,000.00 | | | | 3,135,103.95 | |
| | GOLDMAN SACHS GROUP INC | | 3.85% 08 Jul 2024 | | 1,500,000.00 | | | | 1,530,690.00 | |
| | GOLDMAN SACHS GROUP INC | | 5.75% 24 Jan 2022 | | 2,000,000.00 | | | | 2,274,442.00 | |
| | GOLDMAN SACHS GROUP INC | | 3.75% 22 May 2025 | | 2,655,000.00 | | | | 2,672,703.54 | |
| | GOLDMAN SACHS GROUP INC | | 6.75% 01 Oct 2037 | | 1,000,000.00 | | | | 1,168,936.00 | |
| | GOLDMAN SACHS GROUP INC | | 6.15% 01 Apr 2018 | | 635,000.00 | | | | 689,556.66 | |
| | GOLDMAN SACHS GROUP INC | | 2.6% 23 Apr 2020 | | 5,000,000.00 | | | | 4,962,030.00 | |
| | GS MORTGAGE SECURITIES TRUST | | 4.074% 10 Jan 2047 | | 2,560,000.00 | | | | 2,695,356.42 | |
| | GS MORTGAGE SECURITIES TRUST | | 1% 10 Aug 2045 | | 3,046,220.38 | | | | 3,129,933.87 | |
| | GS MORTGAGE SECURITIES TRUST | | 5.56% 10 Nov 2039 | | 1,174,448.63 | | | | 1,172,428.58 | |
| | HARTFORD FINL SVCS GRP | | 6.1% 01 Oct 2041 | | 750,000.00 | | | | 870,538.50 | |
| | HARTFORD FINL SVCS GRP | | 5.375% 15 Mar 2017 | | 1,100,000.00 | | | | 1,147,289.00 | |
| | HESS CORP | | 5.6% 15 Feb 2041 | | 390,000.00 | | | | 328,738.02 | |
| | HESS CORP | | 1.3% 15 Jun 2017 | | 3,500,000.00 | | | | 3,424,743.00 | |
| | HOME DEPOT INC | | 2.7% 01 Apr 2023 | | 1,155,000.00 | | | | 1,146,224.31 | |
| | HP ENTERPRISE CO | | 3.6% 15 Oct 2020 | | 3,825,000.00 | | | | 3,833,778.38 | |
| | HSBC HOLDINGS PLC | | 6.5% 15 Sep 2037 | | 850,000.00 | | | | 1,019,759.45 | |
| | HSBC HOLDINGS PLC | | 5.1% 05 Apr 2021 | | 2,065,000.00 | | | | 2,295,782.34 | |
| | HUMANA INC | | 4.625% 01 Dec 2042 | | 1,000,000.00 | | | | 939,745.00 | |
| | HYDRO QUEBEC | | 1.375% 19 Jun 2017 | | 2,375,000.00 | | | | 2,379,845.00 | |
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| | ILLINOIS ST | | 5.1% 01 Jun 2033 | | 400,000.00 | | | | 378,260.00 | |
| | INGREDION INC | | 4.625% 01 Nov 2020 | | 875,000.00 | | | | 920,037.13 | |
| | INTER AMERICAN DEVEL BK | | 0.875% 15 Nov 2016 | | 4,490,000.00 | | | | 4,495,001.86 | |
| | INTER AMERICAN DEVEL BK | | 3.875% 17 Sep 2019 | | 1,900,000.00 | | | | 2,046,362.70 | |
| | INTERNATIONAL PAPER CO | | 7.3% 15 Nov 2039 | | 850,000.00 | | | | 968,835.95 | |
| | INTL BK RECON + DEVELOP | | 1.625% 10 Feb 2022 | | 5,000,000.00 | | | | 4,851,720.00 | |
| | INTL BK RECON + DEVELOP | | 4.75% 15 Feb 2035 | | 1,200,000.00 | | | | 1,465,159.20 | |
| | INTL BK RECON + DEVELOP | | 2.5% 25 Nov 2024 | | 2,845,000.00 | | | | 2,866,821.15 | |
| | JOHNSON + JOHNSON | | 5.85% 15 Jul 2038 | | 575,000.00 | | | | 738,593.25 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 12 Feb 2051 | | 1,104,554.79 | | | | 1,148,177.75 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.688% 12 Feb 2051 | | 349,742.87 | | | | 357,086.11 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.44% 12 Jun 2047 | | 2,704,673.34 | | | | 2,769,587.93 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 3.801% 15 Sep 2047 | | 2,050,000.00 | | | | 2,098,799.84 | |
* | | JPMORGAN CHASE + CO | | 4.25% 15 Oct 2020 | | 2,000,000.00 | | | | 2,121,688.00 | |
* | | JPMORGAN CHASE + CO | | 4.125% 15 Dec 2026 | | 4,000,000.00 | | | | 3,988,972.00 | |
* | | JPMORGAN CHASE + CO | | 5.5% 15 Oct 2040 | | 1,465,000.00 | | | | 1,657,438.01 | |
* | | JPMORGAN CHASE + CO | | 2.25% 23 Jan 2020 | | 11,075,000.00 | | | | 10,895,374.58 | |
| | KENTUCKY UTILITIES CO | | 5.125% 01 Nov 2040 | | 1,370,000.00 | | | | 1,532,779.29 | |
| | KFW | | 0.75% 17 Mar 2017 | | 1,810,000.00 | | | | 1,804,126.55 | |
| | KFW | | 2% 04 Oct 2022 | | 5,000,000.00 | | | | 4,917,315.00 | |
| | KFW | | 2.75% 08 Sep 2020 | | 7,000,000.00 | | | | 7,248,115.00 | |
| | KIMBERLY CLARK CORP | | 3.875% 01 Mar 2021 | | 880,000.00 | | | | 947,419.44 | |
| | KINDER MORGAN ENER PART | | 6.95% 15 Jan 2038 | | 1,450,000.00 | | | | 1,245,415.15 | |
| | KINDER MORGAN ENER PART | | 4.15% 01 Feb 2024 | | 2,360,000.00 | | | | 2,036,203.28 | |
| | KINDER MORGAN INC/DELAWA | | 2% 01 Dec 2017 | | 4,305,000.00 | | | | 4,147,837.37 | |
| | KINDER MORGAN INC/DELAWA | | 5.3% 01 Dec 2034 | | 3,000,000.00 | | | | 2,364,120.00 | |
| | KONINKLIJKE PHILIPS NV | | 3.75% 15 Mar 2022 | | 580,000.00 | | | | 595,394.36 | |
| | KRAFT FOODS GROUP INC | | 3.5% 06 Jun 2022 | | 2,000,000.00 | | | | 2,021,892.00 | |
| | KRAFT HEINZ FOODS CO | | 3.95% 15 Jul 2025 | | 2,560,000.00 | | | | 2,583,833.60 | |
| | LB UBS COMMERCIAL MORTGAGE TRU | | 5.3% 15 Nov 2038 | | 291,050.54 | | | | 293,545.92 | |
| | LINCOLN NATIONAL CORP | | 4% 01 Sep 2023 | | 1,520,000.00 | | | | 1,556,335.60 | |
| | LOCKHEED MARTIN CORP | | 3.35% 15 Sep 2021 | | 1,200,000.00 | | | | 1,229,318.40 | |
| | LOCKHEED MARTIN CORP | | 4.7% 15 May 2046 | | 1,225,000.00 | | | | 1,254,854.48 | |
| | LOCKHEED MARTIN CORP | | 3.8% 01 Mar 2045 | | 5,000,000.00 | | | | 4,431,855.00 | |
| | LYB INTL FINANCE BV | | 4% 15 Jul 2023 | | 1,670,000.00 | | | | 1,664,766.22 | |
| | MANITOBA (PROVINCE OF) | | 1.125% 01 Jun 2018 | | 3,200,000.00 | | | | 3,163,737.60 | |
| | MARATHON PETROLEUM CORP | | 6.5% 01 Mar 2041 | | 1,500,000.00 | | | | 1,500,835.50 | |
| | MCDONALD S CORP | | 4.6% 26 May 2045 | | 1,600,000.00 | | | | 1,539,440.00 | |
| | MCKESSON CORP | | 4.883% 15 Mar 2044 | | 1,700,000.00 | | | | 1,699,151.70 | |
| | MERCK + CO INC | | 2.75% 10 Feb 2025 | | 4,900,000.00 | | | | 4,770,189.20 | |
| | MERCK + CO INC | | 2.4% 15 Sep 2022 | | 700,000.00 | | | | 685,913.90 | |
| | MET TRANSPRTN AUTH NY REVENUE | | 6.814% 15 Nov 2040 | | 990,000.00 | | | | 1,311,413.40 | |
* | | METLIFE INC | | 4.75% 08 Feb 2021 | | 1,100,000.00 | | | | 1,203,984.10 | |
| | MICROSOFT CORP | | 2.65% 03 Nov 2022 | | 5,000,000.00 | | | | 4,994,945.00 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 1% 12 Jun 2050 | | 1,365,186.29 | | | | 1,416,717.70 | |
| | MOLSON COORS BREWING CO | | 3.5% 01 May 2022 | | 1,600,000.00 | | | | 1,608,796.80 | |
| | MONDELEZ INTERNATIONAL | | 2.25% 01 Feb 2019 | | 2,915,000.00 | | | | 2,913,927.28 | |
| | MONSANTO CO | | 1.15% 30 Jun 2017 | | 5,000,000.00 | | | | 4,963,700.00 | |
| | MORGAN STANLEY | | 3.875% 29 Apr 2024 | | 3,440,000.00 | | | | 3,506,663.76 | |
| | MORGAN STANLEY | | 2.125% 25 Apr 2018 | | 4,050,000.00 | | | | 4,055,406.75 | |
| | MORGAN STANLEY | | 6.625% 01 Apr 2018 | | 3,610,000.00 | | | | 3,958,473.30 | |
| | MORGAN STANLEY | | 4% 23 Jul 2025 | | 2,800,000.00 | | | | 2,883,367.20 | |
| | MORGAN STANLEY | | 5.5% 24 Jul 2020 | | 2,200,000.00 | | | | 2,447,753.00 | |
| | MORGAN STANLEY | | 3.7% 23 Oct 2024 | | 3,340,000.00 | | | | 3,356,062.06 | |
| | MORGAN STANLEY BAML TRUST | | 3.741% 15 Aug 2047 | | 1,400,000.00 | | | | 1,441,092.24 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 5.328% 12 Nov 2041 | | 2,136,113.42 | | | | 2,152,957.96 | |
| | MUFG AMERICAS HLDGS CORP | | 1.625% 09 Feb 2018 | | 3,100,000.00 | | | | 3,072,906.00 | |
| | MYLAN INC | | 2.6% 24 Jun 2018 | | 2,430,000.00 | | | | 2,411,313.30 | |
| | NATIONAL RURAL UTIL COOP | | 3.05% 15 Feb 2022 | | 1,200,000.00 | | | | 1,211,652.00 | |
| | NBCUNIVERSAL MEDIA LLC | | 2.875% 15 Jan 2023 | | 2,000,000.00 | | | | 1,985,894.00 | |
| | NBCUNIVERSAL MEDIA LLC | | 6.4% 30 Apr 2040 | | 775,000.00 | | | | 965,719.75 | |
| | NEW CENTURY HOME EQUITY LOAN T | | 1% 25 May 2036 | | 1,494,598.45 | | | | 43,980.65 | |
| | NEW JERSEY ST TURNPIKE AUTH | | 7.102% 01 Jan 2041 | | 955,000.00 | | | | 1,312,609.30 | |
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| | NEWMONT MINING CORP | | 6.25% 01 Oct 2039 | | 750,000.00 | | | | 599,145.75 | |
| | NEXEN ENERGY ULC | | 6.4% 15 May 2037 | | 4,205,000.00 | | | | 4,702,909.85 | |
| | NEXTERA ENERGY CAPITAL | | 4.5% 01 Jun 2021 | | 800,000.00 | | | | 849,125.60 | |
| | NOBLE HOLDING INTL LTD | | 4.625% 01 Mar 2021 | | 1,290,000.00 | | | | 907,756.23 | |
| | NORDIC INVESTMENT BANK | | 5% 01 Feb 2017 | | 765,000.00 | | | | 797,766.48 | |
| | NORDSTROM INC | | 4.75% 01 May 2020 | | 935,000.00 | | | | 1,010,578.86 | |
| | NORFOLK SOUTHERN CORP | | 6% 15 Mar 2105 | | 1,605,000.00 | | | | 1,720,675.56 | |
| | NORFOLK SOUTHERN CORP | | 4.65% 15 Jan 2046 | | 2,864,583.00 | | | | 2,739,011.14 | |
| | NORTHROP GRUMMAN CORP | | 1.75% 01 Jun 2018 | | 2,545,000.00 | | | | 2,522,308.78 | |
| | NOVARTIS CAPITAL CORP | | 2.4% 21 Sep 2022 | | 925,000.00 | | | | 910,701.35 | |
| | OHIO POWER COMPANY | | 5.375% 01 Oct 2021 | | 1,005,000.00 | | | | 1,118,661.48 | |
| | ONTARIO (PROVINCE OF) | | 3.2% 16 May 2024 | | 5,500,000.00 | | | | 5,679,916.00 | |
| | ONTARIO (PROVINCE OF) | | 4.4% 14 Apr 2020 | | 3,132,000.00 | | | | 3,423,072.42 | |
| | ORACLE CORP | | 3.625% 15 Jul 2023 | | 1,405,000.00 | | | | 1,453,303.90 | |
| | ORACLE CORP | | 2.95% 15 May 2025 | | 4,000,000.00 | | | | 3,896,760.00 | |
| | ORACLE CORP | | 2.25% 08 Oct 2019 | | 2,000,000.00 | | | | 2,020,872.00 | |
| | ORACLE CORP | | 3.4% 08 Jul 2024 | | 3,000,000.00 | | | | 3,046,359.00 | |
| | ORACLE CORP | | 5.75% 15 Apr 2018 | | 500,000.00 | | | | 545,565.50 | |
| | ORACLE CORP | | 5.375% 15 Jul 2040 | | 650,000.00 | | | | 723,091.85 | |
| | ORANGE SA | | 5.375% 13 Jan 2042 | | 2,100,000.00 | | | | 2,170,194.60 | |
| | PACIFIC GAS + ELECTRIC | | 3.75% 15 Feb 2024 | | 4,700,000.00 | | | | 4,840,468.90 | |
| | PACIFIC GAS + ELECTRIC | | 3.5% 01 Oct 2020 | | 1,060,000.00 | | | | 1,101,865.76 | |
| | PACKAGING CORP OF AMERIC | | 4.5% 01 Nov 2023 | | 1,935,000.00 | | | | 2,031,798.38 | |
| | PENTAIR FINANCE SA | | 4.65% 15 Sep 2025 | | 2,980,000.00 | | | | 3,052,628.56 | |
| | PEPSICO INC | | 4.25% 22 Oct 2044 | | 1,405,000.00 | | | | 1,394,045.22 | |
| | PETROLEOS MEXICANOS | | 6% 05 Mar 2020 | | 2,525,000.00 | | | | 2,623,475.00 | |
| | PETROLEOS MEXICANOS | | 5.5% 27 Jun 2044 | | 1,300,000.00 | | | | 978,042.00 | |
| | PFIZER INC | | 0.9% 15 Jan 2017 | | 1,305,000.00 | | | | 1,302,436.98 | |
| | PHILIP MORRIS INTL INC | | 2.5% 22 Aug 2022 | | 1,500,000.00 | | | | 1,469,710.50 | |
| | PHILLIPS 66 | | 2.95% 01 May 2017 | | 990,000.00 | | | | 1,003,456.08 | |
| | PLAINS ALL AMER PIPELINE | | 4.7% 15 Jun 2044 | | 3,785,000.00 | | | | 2,634,488.69 | |
| | PLAINS ALL AMER PIPELINE | | 6.5% 01 May 2018 | | 1,000,000.00 | | | | 1,032,723.00 | |
| | PORT AUTH OF NEW YORK NEW JE | | 4.926% 01 Oct 2051 | | 655,000.00 | | | | 704,203.60 | |
| | PROGRESS ENERGY INC | | 4.4% 15 Jan 2021 | | 985,000.00 | | | | 1,041,852.23 | |
| | PROVINCE OF QUEBEC | | 2.75% 25 Aug 2021 | | 1,500,000.00 | | | | 1,517,689.50 | |
* | | PRUDENTIAL FINANCIAL INC | | 6.2% 15 Nov 2040 | | 1,000,000.00 | | | | 1,180,650.00 | |
| | PUBLIC SERVICE COLORADO | | 3.2% 15 Nov 2020 | | 945,000.00 | | | | 975,814.56 | |
| | QWEST CORP | | 6.75% 01 Dec 2021 | | 2,040,000.00 | | | | 2,136,900.00 | |
| | RAYTHEON COMPANY | | 3.125% 15 Oct 2020 | | 1,015,000.00 | | | | 1,052,130.73 | |
| | REPUBLIC OF COLOMBIA | | 5.625% 26 Feb 2044 | | 1,000,000.00 | | | | 912,500.00 | |
| | REPUBLIC OF PERU | | 6.55% 14 Mar 2037 | | 1,250,000.00 | | | | 1,443,750.00 | |
| | REPUBLIC OF PERU | | 7.125% 30 Mar 2019 | | 930,000.00 | | | | 1,058,805.00 | |
| | REPUBLIC OF POLAND | | 5.125% 21 Apr 2021 | | 770,000.00 | | | | 857,233.30 | |
| | REPUBLIC OF TURKEY | | 6.75% 03 Apr 2018 | | 1,205,000.00 | | | | 1,296,580.00 | |
| | REPUBLIC OF TURKEY | | 6% 14 Jan 2041 | | 2,650,000.00 | | | | 2,707,637.50 | |
| | REPUBLIC SERVICES INC | | 5.25% 15 Nov 2021 | | 550,000.00 | | | | 608,044.80 | |
| | REYNOLDS AMERICAN INC | | 3.25% 12 Jun 2020 | | 4,525,000.00 | | | | 4,598,771.08 | |
| | REYNOLDS AMERICAN INC | | 4.45% 12 Jun 2025 | | 5,500,000.00 | | | | 5,752,070.50 | |
| | REYNOLDS AMERICAN INC | | 3.25% 01 Nov 2022 | | 1,075,000.00 | | | | 1,062,928.83 | |
| | RIO TINTO FIN USA LTD | | 3.5% 02 Nov 2020 | | 1,500,000.00 | | | | 1,470,379.50 | |
| | RIO TINTO FIN USA LTD | | 3.75% 15 Jun 2025 | | 2,700,000.00 | | | | 2,450,927.70 | |
| | ROPER TECHNOLOGIES INC | | 2.05% 01 Oct 2018 | | 900,000.00 | | | | 894,167.10 | |
| | ROYAL BK SCOTLND GRP PLC | | 1.875% 31 Mar 2017 | | 1,500,000.00 | | | | 1,493,722.50 | |
| | SANOFI | | 4% 29 Mar 2021 | | 965,000.00 | | | | 1,032,676.42 | |
| | SCANA CORPORATION | | 4.75% 15 May 2021 | | 1,020,000.00 | | | | 1,057,406.46 | |
| | SEAGATE HDD CAYMAN | | 4.75% 01 Jan 2025 | | 4,040,000.00 | | | | 3,364,120.12 | |
| | SEAGATE HDD CAYMAN | | 5.75% 01 Dec 2034 | | 1,700,000.00 | | | | 1,189,614.10 | |
| | SHELL INTERNATIONAL FIN | | 1.625% 10 Nov 2018 | | 4,145,000.00 | | | | 4,122,140.33 | |
| | SHELL INTERNATIONAL FIN | | 4.375% 11 May 2045 | | 2,645,000.00 | | | | 2,497,057.22 | |
| | SHELL INTERNATIONAL FIN | | 1.9% 10 Aug 2018 | | 860,000.00 | | | | 860,162.54 | |
| | SIMON PROPERTY GROUP LP | | 2.2% 01 Feb 2019 | | 2,100,000.00 | | | | 2,110,720.50 | |
| | SOUTHERN CAL EDISON | | 3.9% 15 Mar 2043 | | 1,100,000.00 | | | | 1,049,526.50 | |
| | SOUTHERN CALIF GAS CO | | 5.125% 15 Nov 2040 | | 700,000.00 | | | | 804,137.60 | |
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| | SOUTHERN POWER CO | | 5.15% 15 Sep 2041 | | 1,500,000.00 | | | | 1,387,843.50 | |
| | SPECTRA ENERGY PARTNERS | | 2.95% 25 Sep 2018 | | 2,270,000.00 | | | | 2,230,411.20 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 40,138,937.08 | | | | 40,138,937.08 | |
| | STATOIL ASA | | 5.1% 17 Aug 2040 | | 815,000.00 | | | | 860,075.21 | |
| | SUNCOR ENERGY INC | | 6.5% 15 Jun 2038 | | 850,000.00 | | | | 909,481.30 | |
| | TC PIPELINES LP | | 4.65% 15 Jun 2021 | | 960,000.00 | | | | 921,962.88 | |
| | TENN VALLEY AUTHORITY | | 6.75% 01 Nov 2025 | | 150,000.00 | | | | 197,726.55 | |
| | TENN VALLEY AUTHORITY | | 4.65% 15 Jun 2035 | | 65,000.00 | | | | 72,803.19 | |
| | TENN VALLEY AUTHORITY | | 5.375% 01 Apr 2056 | | 50,000.00 | | | | 59,579.10 | |
| | THERMO FISHER SCIENTIFIC | | 2.4% 01 Feb 2019 | | 2,200,000.00 | | | | 2,199,034.20 | |
| | THERMO FISHER SCIENTIFIC | | 2.15% 14 Dec 2018 | | 3,480,000.00 | | | | 3,477,383.04 | |
| | THOMSON REUTERS CORP | | 5.65% 23 Nov 2043 | | 2,500,000.00 | | | | 2,613,887.50 | |
| | TIME WARNER ENTERTAINMEN | | 8.375% 15 Jul 2033 | | 1,200,000.00 | | | | 1,415,650.80 | |
| | TIME WARNER INC | | 5.375% 15 Oct 2041 | | 1,775,000.00 | | | | 1,815,872.93 | |
| | TIME WARNER INC | | 2.1% 01 Jun 2019 | | 1,800,000.00 | | | | 1,790,091.00 | |
| | TIME WARNER INC | | 4.875% 15 Mar 2020 | | 705,000.00 | | | | 762,234.02 | |
| | TJX COS INC | | 2.75% 15 Jun 2021 | | 4,715,000.00 | | | | 4,785,130.91 | |
| | TOTAL CAPITAL SA | | 4.45% 24 Jun 2020 | | 1,300,000.00 | | | | 1,399,197.80 | |
| | TOYOTA MOTOR CREDIT CORP | | 1.75% 22 May 2017 | | 4,665,000.00 | | | | 4,695,028.61 | |
| | TRANS CANADA PIPELINES | | 1.625% 09 Nov 2017 | | 8,610,000.00 | | | | 8,539,311.90 | |
| | TRANS CANADA PIPELINES | | 5% 16 Oct 2043 | | 1,005,000.00 | | | | 924,273.38 | |
| | TRANS CANADA PIPELINES | | 7.625% 15 Jan 2039 | | 1,000,000.00 | | | | 1,225,808.00 | |
| | TRAVELERS COS INC | | 3.9% 01 Nov 2020 | | 1,625,000.00 | | | | 1,726,310.63 | |
| | UNITED MEXICAN STATES | | 5.125% 15 Jan 2020 | | 1,950,000.00 | | | | 2,125,500.00 | |
| | UNITED MEXICAN STATES | | 3.625% 15 Mar 2022 | | 1,800,000.00 | | | | 1,810,800.00 | |
| | UNITED MEXICAN STATES | | 4.75% 08 Mar 2044 | | 2,300,000.00 | | | | 2,095,300.00 | |
| | UNITED MEXICAN STATES | | 4% 02 Oct 2023 | | 1,440,000.00 | | | | 1,458,720.00 | |
| | UNITED MEXICAN STATES | | 6.75% 27 Sep 2034 | | 1,300,000.00 | | | | 1,560,000.00 | |
| | UNITED PARCEL SERVICE | | 4.875% 15 Nov 2040 | | 765,000.00 | | | | 848,259.54 | |
| | UNITED TECHNOLOGIES CORP | | 4.5% 01 Jun 2042 | | 825,000.00 | | | | 830,806.35 | |
| | UNITEDHEALTH GROUP INC | | 1.4% 15 Oct 2017 | | 1,900,000.00 | | | | 1,896,355.80 | |
| | UNITEDHEALTH GROUP INC | | 4.25% 15 Mar 2043 | | 1,100,000.00 | | | | 1,068,191.30 | |
| | UNITEDHEALTH GROUP INC | | 2.7% 15 Jul 2020 | | 6,000,000.00 | | | | 6,062,862.00 | |
| | US TREASURY N/B | | 1.625% 30 Jun 2019 | | 10,000,000.00 | | | | 10,044,920.00 | |
| | US TREASURY N/B | | 0.5% 30 Jun 2016 | | 40,000,000.00 | | | | 39,990,640.00 | |
| | US TREASURY N/B | | 0.875% 15 Jul 2017 | | 2,500,000.00 | | | | 2,495,800.00 | |
| | US TREASURY N/B | | 3.75% 15 Nov 2043 | | 4,000,000.00 | | | | 4,607,188.00 | |
| | US TREASURY N/B | | 2% 31 Aug 2021 | | 3,000,000.00 | | | | 3,013,125.00 | |
| | US TREASURY N/B | | 0.5% 30 Sep 2016 | | 15,000,000.00 | | | | 14,975,970.00 | |
| | US TREASURY N/B | | 2% 31 Oct 2021 | | 6,500,000.00 | | | | 6,518,024.50 | |
| | US TREASURY N/B | | 1.5% 31 Oct 2019 | | 10,000,000.00 | | | | 9,968,750.00 | |
| | US TREASURY N/B | | 0.875% 15 Nov 2017 | | 17,500,000.00 | | | | 17,439,152.50 | |
| | US TREASURY N/B | | 0.5% 30 Nov 2016 | | 75,000,000.00 | | | | 74,800,800.00 | |
| | US TREASURY N/B | | 0.75% 15 Mar 2017 | | 12,500,000.00 | | | | 12,481,937.50 | |
| | US TREASURY N/B | | 3.625% 15 Aug 2019 | | 11,000,000.00 | | | | 11,810,392.00 | |
| | US TREASURY N/B | | 2.375% 15 Aug 2024 | | 3,025,000.00 | | | | 3,056,550.75 | |
| | US TREASURY N/B | | 2% 15 Feb 2025 | | 20,115,000.00 | | | | 19,663,196.99 | |
| | US TREASURY N/B | | 2.5% 15 Feb 2045 | | 4,500,000.00 | | | | 4,037,521.50 | |
| | US TREASURY N/B | | 0.5% 28 Feb 2017 | | 5,000,000.00 | | | | 4,979,885.00 | |
| | US TREASURY N/B | | 1.75% 28 Feb 2022 | | 28,700,000.00 | | | | 28,291,914.70 | |
| | US TREASURY N/B | | 1% 15 Dec 2017 | | 12,000,000.00 | | | | 11,983,596.00 | |
| | US TREASURY N/B | | 3.75% 15 Nov 2018 | | 12,500,000.00 | | | | 13,373,537.50 | |
| | US TREASURY N/B | | 2.75% 15 Feb 2019 | | 9,500,000.00 | | | | 9,898,924.00 | |
| | US TREASURY N/B | | 3.5% 15 Feb 2039 | | 6,000,000.00 | | | | 6,636,564.00 | |
| | US TREASURY N/B | | 1.75% 30 Apr 2022 | | 1,000,000.00 | | | | 983,984.00 | |
| | US TREASURY N/B | | 3% 15 May 2045 | | 14,250,000.00 | | | | 14,184,877.50 | |
| | US TREASURY N/B | | 1.875% 31 May 2022 | | 17,500,000.00 | | | | 17,330,460.00 | |
| | US TREASURY N/B | | 0.625% 30 Jun 2017 | | 14,000,000.00 | | | | 13,929,454.00 | |
| | US TREASURY N/B | | 4.375% 15 May 2040 | | 1,000,000.00 | | | | 1,258,281.00 | |
| | US TREASURY N/B | | 2.375% 31 Jul 2017 | | 18,965,000.00 | | | | 19,365,047.71 | |
| | US TREASURY N/B | | 2.625% 15 Aug 2020 | | 7,000,000.00 | | | | 7,271,523.00 | |
| | US TREASURY N/B | | 3.875% 15 Aug 2040 | | 4,895,000.00 | | | | 5,722,945.20 | |
| | US TREASURY N/B | | 1.875% 31 Aug 2017 | | 2,325,000.00 | | | | 2,356,878.08 | |
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| | US TREASURY N/B | | 3.125% 15 May 2019 | | 15,390,000.00 | | | | 16,235,849.79 | |
| | US TREASURY N/B | | 4.25% 15 May 2039 | | 10,000,000.00 | | | | 12,352,730.00 | |
| | US TREASURY N/B | | 0.625% 31 Jul 2017 | | 17,500,000.00 | | | | 17,402,245.00 | |
| | US TREASURY N/B | | 2.25% 15 Nov 2025 | | 8,500,000.00 | | | | 8,481,070.50 | |
| | US TREASURY N/B | | 3% 15 Nov 2045 | | 4,500,000.00 | | | | 4,486,464.00 | |
| | US TREASURY N/B | | 3.625% 15 Feb 2021 | | 8,500,000.00 | | | | 9,239,432.00 | |
| | US TREASURY N/B | | 1.875% 30 Sep 2017 | | 2,500,000.00 | | | | 2,535,255.00 | |
| | US TREASURY N/B | | 3.125% 15 Feb 2043 | | 18,455,000.00 | | | | 18,914,935.51 | |
| | US TREASURY N/B | | 2.125% 30 Jun 2021 | | 15,000,000.00 | | | | 15,188,670.00 | |
| | US TREASURY N/B | | 1.5% 31 Jan 2022 | | 15,000,000.00 | | | | 14,581,635.00 | |
| | US TREASURY N/B | | 5.375% 15 Feb 2031 | | 3,800,000.00 | | | | 5,153,009.00 | |
| | US TREASURY N/B | | 3.5% 15 Feb 2018 | | 2,980,000.00 | | | | 3,128,767.56 | |
| | US TREASURY N/B | | 8.125% 15 May 2021 | | 5,000,000.00 | | | | 6,591,795.00 | |
| | US TREASURY N/B | | 5.5% 15 Aug 2028 | | 16,910,000.00 | | | | 22,501,528.24 | |
| | US TREASURY N/B | | 8.875% 15 Aug 2017 | | 3,485,000.00 | | | | 3,926,343.89 | |
| | US TREASURY N/B | | 8.75% 15 May 2020 | | 15,000,000.00 | | | | 19,439,070.00 | |
| | US TREASURY N/B | | 5.25% 15 Feb 2029 | | 8,500,000.00 | | | | 11,135,663.00 | |
| | US TREASURY N/B | | 6.25% 15 Aug 2023 | | 950,000.00 | | | | 1,226,167.85 | |
| | US TREASURY N/B | | 6.125% 15 Nov 2027 | | 3,530,000.00 | | | | 4,886,706.08 | |
| | US TREASURY N/B | | 8% 15 Nov 2021 | | 2,500,000.00 | | | | 3,338,182.50 | |
| | US TREASURY N/B | | 4.5% 15 Feb 2036 | | 7,290,000.00 | | | | 9,342,586.98 | |
| | US TREASURY N/B | | 5% 15 May 2037 | | 10,000,000.00 | | | | 13,704,300.00 | |
| | US TREASURY N/B | | 2.625% 30 Apr 2018 | | 11,300,000.00 | | | | 11,680,052.90 | |
| | US TREASURY N/B | | 3.125% 15 May 2021 | | 1,725,000.00 | | | | 1,834,565.10 | |
| | US TREASURY N/B | | 2.125% 15 Aug 2021 | | 10,670,000.00 | | | | 10,796,290.12 | |
| | US TREASURY N/B | | 1.375% 30 Sep 2018 | | 7,240,000.00 | | | | 7,262,625.00 | |
| | US TREASURY N/B | | 0.875% 31 Jan 2017 | | 12,400,000.00 | | | | 12,400,967.20 | |
| | US TREASURY N/B | | 1.25% 31 Jan 2019 | | 6,250,000.00 | | | | 6,229,006.25 | |
| | US TREASURY N/B | | 3.125% 15 Feb 2042 | | 800,000.00 | | | | 826,031.20 | |
| | US TREASURY N/B | | 1.375% 28 Feb 2019 | | 6,295,000.00 | | | | 6,290,820.12 | |
| | US TREASURY N/B | | 0.875% 28 Feb 2017 | | 2,000,000.00 | | | | 2,000,782.00 | |
| | US TREASURY N/B | | 1% 31 Mar 2017 | | 15,500,000.00 | | | | 15,524,211.00 | |
| | US TREASURY N/B | | 1.5% 31 Mar 2019 | | 10,000,000.00 | | | | 10,028,520.00 | |
| | US TREASURY N/B | | 0.625% 30 Sep 2017 | | 19,000,000.00 | | | | 18,868,634.00 | |
| | US TREASURY N/B | | 1% 30 Sep 2019 | | 4,000,000.00 | | | | 3,915,936.00 | |
| | US TREASURY N/B | | 0.625% 30 Nov 2017 | | 7,500,000.00 | | | | 7,437,892.50 | |
| | US TREASURY N/B | | 1.125% 31 Dec 2019 | | 10,000,000.00 | | | | 9,810,160.00 | |
| | US TREASURY N/B | | 0.75% 31 Dec 2017 | | 12,500,000.00 | | | | 12,415,525.00 | |
| | US TREASURY N/B | | 0.875% 31 Jan 2018 | | 14,000,000.00 | | | | 13,930,000.00 | |
| | US TREASURY N/B | | 0.75% 28 Feb 2018 | | 19,920,000.00 | | | | 19,750,361.28 | |
| | US TREASURY N/B | | 0.75% 30 Jun 2017 | | 14,485,000.00 | | | | 14,439,734.38 | |
| | US TREASURY N/B | | 1% 30 Jun 2019 | | 10,000,000.00 | | | | 9,834,770.00 | |
| | US TREASURY N/B | | 0.875% 31 Jul 2019 | | 7,970,000.00 | | | | 7,790,053.34 | |
| | US TREASURY N/B | | 0.5% 31 Jul 2017 | | 2,500,000.00 | | | | 2,481,055.00 | |
| | US TREASURY N/B | | 1.625% 15 Aug 2022 | | 3,500,000.00 | | | | 3,409,080.50 | |
| | US TREASURY N/B | | 2.75% 15 Aug 2042 | | 12,100,000.00 | | | | 11,565,422.00 | |
| | US TREASURY N/B | | 1% 31 Aug 2019 | | 10,000,000.00 | | | | 9,802,730.00 | |
| | US TREASURY N/B | | 0.625% 31 Aug 2017 | | 6,500,000.00 | | | | 6,458,361.00 | |
| | US TREASURY N/B | | 0.75% 31 Mar 2018 | | 15,000,000.00 | | | | 14,865,825.00 | |
| | US TREASURY N/B | | 1.125% 31 Mar 2020 | | 20,000,000.00 | | | | 19,550,000.00 | |
| | US TREASURY N/B | | 0.625% 30 Apr 2018 | | 2,500,000.00 | | | | 2,467,870.00 | |
| | US TREASURY N/B | | 1.75% 15 May 2023 | | 25,250,000.00 | | | | 24,600,014.50 | |
| | US TREASURY N/B | | 1.625% 15 Nov 2022 | | 8,500,000.00 | | | | 8,257,282.50 | |
| | US TREASURY N/B | | 2.75% 15 Nov 2042 | | 3,990,000.00 | | | | 3,804,373.23 | |
| | US TREASURY N/B | | 1% 31 May 2018 | | 6,000,000.00 | | | | 5,969,298.00 | |
| | US TREASURY N/B | | 1.375% 30 Jun 2018 | | 12,000,000.00 | | | | 12,047,340.00 | |
| | US TREASURY N/B | | 3.625% 15 Aug 2043 | | 5,000,000.00 | | | | 5,631,055.00 | |
| | US TREASURY N/B | | 2% 30 Sep 2020 | | 5,000,000.00 | | | | 5,054,295.00 | |
| | US TREASURY N/B | | 2.875% 15 May 2043 | | 7,190,000.00 | | | | 7,010,250.00 | |
| | US TREASURY N/B | | 2% 30 Nov 2020 | | 18,460,000.00 | | | | 18,646,759.82 | |
| | US TREASURY N/B | | 2.75% 15 Feb 2024 | | 6,680,000.00 | | | | 6,957,901.36 | |
| | US TREASURY N/B | | 1.5% 28 Feb 2019 | | 12,500,000.00 | | | | 12,539,550.00 | |
| | US TREASURY N/B | | 2% 28 Feb 2021 | | 4,000,000.00 | | | | 4,033,280.00 | |
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| | US TREASURY N/B | | 2.25% 31 Mar 2021 | | 14,000,000.00 | | | | 14,284,368.00 | |
| | US TREASURY N/B | | 1.625% 31 Mar 2019 | | 12,000,000.00 | | | | 12,075,000.00 | |
| | US TREASURY N/B | | 2.5% 15 May 2024 | | 9,000,000.00 | | | | 9,196,524.00 | |
| | VALE OVERSEAS LIMITED | | 4.625% 15 Sep 2020 | | 1,000,000.00 | | | | 830,570.00 | |
| | VALE OVERSEAS LIMITED | | 6.875% 21 Nov 2036 | | 525,000.00 | | | | 366,996.00 | |
| | VALERO ENERGY CORP | | 6.625% 15 Jun 2037 | | 600,000.00 | | | | 603,251.40 | |
| | VERIZON COMMUNICATIONS | | 6.55% 15 Sep 2043 | | 3,897,000.00 | | | | 4,626,557.37 | |
| | VERIZON COMMUNICATIONS | | 2.625% 21 Feb 2020 | | 2,348,000.00 | | | | 2,356,164.00 | |
| | VERIZON COMMUNICATIONS | | 4.672% 15 Mar 2055 | | 2,246,000.00 | | | | 1,949,979.45 | |
| | VERIZON COMMUNICATIONS | | 6.35% 01 Apr 2019 | | 945,000.00 | | | | 1,063,157.13 | |
| | VERIZON COMMUNICATIONS | | 5.012% 21 Aug 2054 | | 2,965,000.00 | | | | 2,714,727.32 | |
| | VERIZON COMMUNICATIONS | | 2.45% 01 Nov 2022 | | 2,240,000.00 | | | | 2,120,339.20 | |
| | VIACOM INC | | 4.85% 15 Dec 2034 | | 3,000,000.00 | | | | 2,450,073.00 | |
| | VIACOM INC | | 2.5% 15 Dec 2016 | | 1,100,000.00 | | | | 1,102,278.10 | |
| | VIACOM INC | | 5.85% 01 Sep 2043 | | 1,000,000.00 | | | | 897,977.00 | |
| | VISA INC | | 3.15% 14 Dec 2025 | | 3,670,000.00 | | | | 3,674,536.12 | |
| | VODAFONE GROUP PLC | | 6.15% 27 Feb 2037 | | 1,000,000.00 | | | | 986,804.00 | |
| | VOYA FINANCIAL INC | | 5.7% 15 Jul 2043 | | 1,000,000.00 | | | | 1,135,339.00 | |
| | WACHOVIA BANK COMMERCIAL MORTG | | 5.509% 15 Apr 2047 | | 3,000,000.00 | | | | 3,083,387.10 | |
| | WAL MART STORES INC | | 3.3% 22 Apr 2024 | | 2,000,000.00 | | | | 2,063,848.00 | |
| | WAL MART STORES INC | | 5% 25 Oct 2040 | | 1,901,000.00 | | | | 2,091,206.46 | |
| | WAL MART STORES INC | | 5.625% 01 Apr 2040 | | 840,000.00 | | | | 999,458.88 | |
| | WASHINGTON ST | | 5.14% 01 Aug 2040 | | 1,080,000.00 | | | | 1,269,766.80 | |
| | WELLS FARGO + COMPANY | | 2.125% 22 Apr 2019 | | 4,000,000.00 | | | | 4,004,840.00 | |
| | WELLS FARGO + COMPANY | | 2.55% 07 Dec 2020 | | 2,370,000.00 | | | | 2,358,349.08 | |
| | WELLS FARGO + COMPANY | | 4.6% 01 Apr 2021 | | 2,000,000.00 | | | | 2,180,264.00 | |
| | WELLS FARGO + COMPANY | | 5.375% 02 Nov 2043 | | 2,000,000.00 | | | | 2,140,498.00 | |
| | WELLTOWER INC | | 5.25% 15 Jan 2022 | | 1,000,000.00 | | | | 1,081,611.00 | |
| | WESTERN GAS PARTNERS LP | | 5.45% 01 Apr 2044 | | 2,000,000.00 | | | | 1,588,078.00 | |
| | WF RBS COMMERCIAL MORTGAGE TRU | | 2.87% 15 Nov 2045 | | 3,475,000.00 | | | | 3,441,624.02 | |
| | WILLIAMS PARTNERS LP | | 4% 15 Sep 2025 | | 4,900,000.00 | | | | 3,668,928.90 | |
| | XEROX CORPORATION | | 2.75% 15 Mar 2019 | | 5,745,000.00 | | | | 5,641,877.25 | |
| | ZIMMER BIOMET HOLDINGS | | 2.7% 01 Apr 2020 | | 3,000,000.00 | | | | 2,962,296.00 | |
| | ZOETIS INC | | 4.7% 01 Feb 2043 | | 1,165,000.00 | | | | 1,017,038.01 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT C - Total Bond Market Fund | | | | $ | 2,647,342,039 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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EXHIBIT D - Inflation Protected Bond Fund
(Managed by State Street Global Advisors)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 1,385,272 | | | | $ | 1,385,272 | |
| | TSY INFL IX N/B | | 0.375% 15 Jul 2025 | | 68,060,511 | | | | 65,894,622 | |
| | TSY INFL IX N/B | | 3.375% 15 Apr 2032 | | 9,967,888 | | | | 13,486,632 | |
| | TSY INFL IX N/B | | 2.375% 15 Jan 2025 | | 46,225,310 | | | | 52,551,198 | |
| | TSY INFL IX N/B | | 2% 15 Jan 2026 | | 33,671,875 | | | | 37,409,992 | |
| | TSY INFL IX N/B | | 2.375% 15 Jan 2017 | | 29,424,601 | | | | 30,151,418 | |
| | TSY INFL IX N/B | | 2.375% 15 Jan 2027 | | 27,091,768 | | | | 31,318,869 | |
| | TSY INFL IX N/B | | 2.625% 15 Jul 2017 | | 25,338,346 | | | | 26,465,040 | |
| | TSY INFL IX N/B | | 1.625% 15 Jan 2018 | | 26,763,562 | | | | 27,600,967 | |
| | TSY INFL IX N/B | | 1.75% 15 Jan 2028 | | 27,024,681 | | | | 29,528,680 | |
| | TSY INFL IX N/B | | 1.375% 15 Jul 2018 | | 26,397,142 | | | | 27,328,934 | |
| | TSY INFL IX N/B | | 2.125% 15 Jan 2019 | | 24,558,597 | | | | 25,987,342 | |
| | TSY INFL IX N/B | | 2.5% 15 Jan 2029 | | 26,169,323 | | | | 31,001,777 | |
| | TSY INFL IX N/B | | 1.875% 15 Jul 2019 | | 27,903,696 | | | | 29,588,103 | |
| | TSY INFL IX N/B | | 1.375% 15 Jan 2020 | | 33,840,492 | | | | 35,177,361 | |
| | TSY INFL IX N/B | | 2.125% 15 Feb 2040 | | 14,258,012 | | | | 16,786,771 | |
| | TSY INFL IX N/B | | 1.25% 15 Jul 2020 | | 50,805,135 | | | | 52,832,717 | |
| | TSY INFL IX N/B | | 1.125% 15 Jan 2021 | | 58,722,913 | | | | 60,540,445 | |
| | TSY INFL IX N/B | | 2.125% 15 Feb 2041 | | 18,190,754 | | | | 21,538,035 | |
| | TSY INFL IX N/B | | 0.625% 15 Jul 2021 | | 63,142,080 | | | | 63,556,419 | |
| | TSY INFL IX N/B | | 0.125% 15 Jan 2022 | | 69,364,898 | | | | 67,217,985 | |
| | TSY INFL IX N/B | | 0.75% 15 Feb 2042 | | 32,002,642 | | | | 28,114,833 | |
| | TSY INFL IX N/B | | 0.125% 15 Apr 2017 | | 78,366,313 | | | | 78,210,207 | |
| | TSY INFL IX N/B | | 0.125% 15 Jul 2022 | | 71,774,541 | | | | 69,593,241 | |
| | TSY INFL IX N/B | | 0.125% 15 Jan 2023 | | 72,144,156 | | | | 69,171,023 | |
| | TSY INFL IX N/B | | 0.625% 15 Feb 2043 | | 23,362,922 | | | | 19,770,873 | |
| | TSY INFL IX N/B | | 0.125% 15 Apr 2018 | | 87,288,789 | | | | 87,120,584 | |
| | TSY INFL IX N/B | | 0.375% 15 Jul 2023 | | 71,633,382 | | | | 69,978,722 | |
| | TSY INFL IX N/B | | 0.625% 15 Jan 2024 | | 71,466,246 | | | | 70,655,747 | |
| | TSY INFL IX N/B | | 1.375% 15 Feb 2044 | | 35,408,982 | | | | 36,036,005 | |
| | TSY INFL IX N/B | | 0.125% 15 Apr 2019 | | 84,231,250 | | | | 83,736,644 | |
| | TSY INFL IX N/B | | 0.125% 15 Jul 2024 | | 70,228,085 | | | | 66,697,509 | |
| | TSY INFL IX N/B | | 0.25% 15 Jan 2025 | | 69,650,235 | | | | 66,480,592 | |
| | TSY INFL IX N/B | | 0.75% 15 Feb 2045 | | 39,724,087 | | | | 34,643,733 | |
| | TSY INFL IX N/B | | 0.125% 15 Apr 2020 | | 59,049,744 | | | | 58,297,037 | |
| | TSY INFL IX N/B | | 3.625% 15 Apr 2028 | | 22,835,705 | | | | 29,851,747 | |
| | TSY INFL IX N/B | | 3.875% 15 Apr 2029 | | 28,439,355 | | | | 38,634,949 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT D - Inflation Protected Bond Fund | | | | $ | 1,654,342,026 | |
n / a - Cost is not applicable
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EXHIBIT E - Real Estate Investment Trust (REIT) Index Fund
(Managed by BlackRock Institutional Trust Company)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | ACADIA REALTY TRUST | | REAL ESTATE INV TRST | | 118,659 | | | | $ | 3,933,546 | |
| | AGREE REALTY CORP | | REAL ESTATE INV TRST | | 31,290 | | | | 1,063,547 | |
| | ALEXANDER S INC | | REAL ESTATE INV TRST | | 3,968 | | | | 1,524,148 | |
| | ALEXANDRIA REAL ESTATE EQUIT | | REAL ESTATE INV TRST | | 124,691 | | | | 11,267,079 | |
| | AMERICAN ASSETS TRUST INC | | REAL ESTATE INV TRST | | 57,628 | | | | 2,210,034 | |
| | AMERICAN CAMPUS COMMUNITIES | | REAL ESTATE INV TRST | | 193,568 | | | | 8,002,101 | |
| | AMERICAN HOMES 4 RENT A | | REAL ESTATE INV TRST | | 288,678 | | | | 4,809,375 | |
| | AMERICAN RESIDENTIAL PROPERT | | REAL ESTATE INV TRST | | 52,678 | | | | 995,614 | |
| | APARTMENT INVT + MGMT CO A | | REAL ESTATE INV TRST | | 269,278 | | | | 10,779,198 | |
| | APPLE HOSPITALITY REIT INC | | REAL ESTATE INV TRST | | 285,827 | | | | 5,707,965 | |
| | ASHFORD HOSPITALITY PRIME IN | | REAL ESTATE INV TRST | | 49,450 | | | | 717,025 | |
| | ASHFORD HOSPITALITY TRUST | | REAL ESTATE INV TRST | | 164,464 | | | | 1,037,768 | |
| | AVALONBAY COMMUNITIES INC | | REAL ESTATE INV TRST | | 228,911 | | | | 42,149,382 | |
| | BIOMED REALTY TRUST INC | | REAL ESTATE INV TRST | | 350,929 | | | | 8,313,508 | |
| | BOSTON PROPERTIES INC | | REAL ESTATE INV TRST | | 265,106 | | | | 33,811,619 | |
| | BRANDYWINE REALTY TRUST | | REAL ESTATE INV TRST | | 309,797 | | | | 4,231,827 | |
| | BRIXMOR PROPERTY GROUP INC | | REAL ESTATE INV TRST | | 309,166 | | | | 7,982,666 | |
| | CAMDEN PROPERTY TRUST | | REAL ESTATE INV TRST | | 149,079 | | | | 11,443,304 | |
| | CAMPUS CREST COMMUNITIES INC | | REAL ESTATE INV TRST | | 112,828 | | | | 767,230 | |
| | CARE CAPITAL PROPERTIES INC | | REAL ESTATE INV TRST | | 143,209 | | | | 4,377,899 | |
| | CARETRUST REIT INC | | REAL ESTATE INV TRST | | 79,043 | | | | 865,521 | |
| | CBL + ASSOCIATES PROPERTIES | | REAL ESTATE INV TRST | | 291,824 | | | | 3,609,863 | |
| | CEDAR REALTY TRUST INC | | REAL ESTATE INV TRST | | 124,531 | | | | 881,679 | |
| | CHATHAM LODGING TRUST | | REAL ESTATE INV TRST | | 65,964 | | | | 1,350,943 | |
| | CHESAPEAKE LODGING TRUST | | REAL ESTATE INV TRST | | 102,862 | | | | 2,588,008 | |
| | COLONY STARWOOD HOMES | | REAL ESTATE INV TRST | | 65,167 | | | | 1,475,381 | |
| | COLUMBIA PROPERTY TRUST INC | | REAL ESTATE INV TRST | | 204,319 | | | | 4,797,410 | |
| | CORESITE REALTY CORP | | REAL ESTATE INV TRST | | 51,948 | | | | 2,946,491 | |
| | CORPORATE OFFICE PROPERTIES | | REAL ESTATE INV TRST | | 162,857 | | | | 3,555,168 | |
| | CORRECTIONS CORP OF AMERICA | | REAL ESTATE INV TRST | | 201,849 | | | | 5,346,980 | |
| | COUSINS PROPERTIES INC | | REAL ESTATE INV TRST | | 354,705 | | | | 3,344,868 | |
| | CUBESMART | | REAL ESTATE INV TRST | | 290,807 | | | | 8,904,510 | |
| | CYRUSONE INC | | REAL ESTATE INV TRST | | 108,683 | | | | 4,070,178 | |
| | DCT INDUSTRIAL TRUST INC | | REAL ESTATE INV TRST | | 151,824 | | | | 5,673,663 | |
| | DDR CORP | | REAL ESTATE INV TRST | | 528,718 | | | | 8,903,611 | |
| | DIAMONDROCK HOSPITALITY CO | | REAL ESTATE INV TRST | | 345,478 | | | | 3,333,863 | |
| | DIGITAL REALTY TRUST INC | | REAL ESTATE INV TRST | | 234,224 | | | | 17,712,019 | |
| | DJ US REAL ESTATE MAR16 | | FUT-INDEX | | 26,000 | | | | 23,423 | |
| | DOUGLAS EMMETT INC | | REAL ESTATE INV TRST | | 239,386 | | | | 7,464,055 | |
| | DUKE REALTY CORP | | REAL ESTATE INV TRST | | 595,188 | | | | 12,510,852 | |
| | DUPONT FABROS TECHNOLOGY | | REAL ESTATE INV TRST | | 112,759 | | | | 3,584,609 | |
| | EASTERLY GOVERNMENT PROPERTI | | REAL ESTATE INV TRST | | 24,971 | | | | 429,002 | |
| | EASTGROUP PROPERTIES INC | | REAL ESTATE INV TRST | | 55,559 | | | | 3,089,636 | |
| | EDUCATION REALTY TRUST INC | | REAL ESTATE INV TRST | | 94,828 | | | | 3,592,085 | |
| | EMPIRE STATE REALTY TRUST A | | REAL ESTATE INV TRST | | 186,897 | | | | 3,377,229 | |
| | EPR PROPERTIES | | REAL ESTATE INV TRST | | 99,627 | | | | 5,823,198 | |
| | EQUINIX INC | | REAL ESTATE INV TRST | | 101,552 | | | | 30,709,325 | |
| | EQUITY COMMONWEALTH | | REAL ESTATE INV TRST | | 212,398 | | | | 5,889,797 | |
| | EQUITY LIFESTYLE PROPERTIES | | REAL ESTATE INV TRST | | 137,973 | | | | 9,198,660 | |
| | EQUITY ONE INC | | REAL ESTATE INV TRST | | 134,161 | | | | 3,642,471 | |
| | EQUITY RESIDENTIAL | | REAL ESTATE INV TRST | | 627,032 | | | | 51,159,541 | |
| | ESSEX PROPERTY TRUST INC | | REAL ESTATE INV TRST | | 113,301 | | | | 27,125,392 | |
| | EXTRA SPACE STORAGE INC | | REAL ESTATE INV TRST | | 201,005 | | | | 17,730,651 | |
| | FEDERAL REALTY INVS TRUST | | REAL ESTATE INV TRST | | 119,388 | | | | 17,442,587 | |
| | FELCOR LODGING TRUST INC | | REAL ESTATE INV TRST | | 233,675 | | | | 1,705,828 | |
| | FIRST INDUSTRIAL REALTY TR | | REAL ESTATE INV TRST | | 190,797 | | | | 4,222,338 | |
| | FIRST POTOMAC REALTY TRUST | | REAL ESTATE INV TRST | | 101,270 | | | | 1,154,478 | |
| | FRANKLIN STREET PROPERTIES C | | REAL ESTATE INV TRST | | 155,484 | | | | 1,609,259 | |
| | GAMING AND LEISURE PROPERTIE | | REAL ESTATE INV TRST | | 157,921 | | | | 4,390,204 | |
| | | | | | | | | | | | |
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| | GENERAL GROWTH PROPERTIES | | REAL ESTATE INV TRST | | 993,273 | | | | 27,026,958 | |
| | GEO GROUP INC/THE | | REAL ESTATE INV TRST | | 128,329 | | | | 3,709,991 | |
| | GETTY REALTY CORP | | REAL ESTATE INV TRST | | 46,092 | | | | 790,478 | |
| | GLOBAL NET LEASE INC | | REAL ESTATE INV TRST | | 290,605 | | | | 2,310,310 | |
| | GOVERNMENT PROPERTIES INCOME | | REAL ESTATE INV TRST | | 123,378 | | | | 1,958,009 | |
| | GRAMERCY PROPERTY TRUST | | REAL ESTATE INV TRST | | 721,101 | | | | 5,566,902 | |
| | HCP INC | | REAL ESTATE INV TRST | | 795,000 | | | | 30,400,800 | |
| | HEALTHCARE REALTY TRUST INC | | REAL ESTATE INV TRST | | 172,841 | | | | 4,894,857 | |
| | HEALTHCARE TRUST OF AME CL A | | REAL ESTATE INV TRST | | 218,810 | | | | 5,901,306 | |
| | HERSHA HOSPITALITY TRUST | | REAL ESTATE INV TRST | | 74,049 | | | | 1,611,306 | |
| | HIGHWOODS PROPERTIES INC | | REAL ESTATE INV TRST | | 162,332 | | | | 7,077,675 | |
| | HOSPITALITY PROPERTIES TRUST | | REAL ESTATE INV TRST | | 261,252 | | | | 6,831,740 | |
| | HOST HOTELS + RESORTS INC | | REAL ESTATE INV TRST | | 1,294,083 | | | | 19,851,233 | |
| | HUDSON PACIFIC PROPERTIES IN | | REAL ESTATE INV TRST | | 130,908 | | | | 3,683,751 | |
| | INLAND REAL ESTATE CORP | | REAL ESTATE INV TRST | | 155,825 | | | | 1,654,862 | |
| | INVESTORS REAL ESTATE TRUST | | REAL ESTATE INV TRST | | 214,969 | | | | 1,494,035 | |
| | IRON MOUNTAIN INC | | REAL ESTATE INV TRST | | 345,141 | | | | 9,322,258 | |
| | KILROY REALTY CORP | | REAL ESTATE INV TRST | | 158,926 | | | | 10,056,837 | |
| | KIMCO REALTY CORP | | REAL ESTATE INV TRST | | 710,285 | | | | 18,794,141 | |
| | KITE REALTY GROUP TRUST | | REAL ESTATE INV TRST | | 143,541 | | | | 3,722,018 | |
| | LASALLE HOTEL PROPERTIES | | REAL ESTATE INV TRST | | 194,993 | | | | 4,906,024 | |
| | LEXINGTON REALTY TRUST | | REAL ESTATE INV TRST | | 366,462 | | | | 2,931,696 | |
| | LIBERTY PROPERTY TRUST | | REAL ESTATE INV TRST | | 256,536 | | | | 7,965,443 | |
| | LTC PROPERTIES INC | | REAL ESTATE INV TRST | | 59,865 | | | | 2,582,576 | |
| | MACERICH CO/THE | | REAL ESTATE INV TRST | | 232,363 | | | | 18,749,370 | |
| | MACK CALI REALTY CORP | | REAL ESTATE INV TRST | | 144,830 | | | | 3,381,781 | |
| | MEDICAL PROPERTIES TRUST INC | | REAL ESTATE INV TRST | | 402,978 | | | | 4,638,277 | |
| | MID AMERICA APARTMENT COMM | | REAL ESTATE INV TRST | | 129,920 | | | | 11,798,035 | |
| | MONMOUTH REAL ESTATE INV COR | | REAL ESTATE INV TRST | | 93,490 | | | | 977,905 | |
| | MONOGRAM RESIDENTIAL TRUST I | | REAL ESTATE INV TRST | | 272,528 | | | | 2,659,873 | |
| | NATIONAL RETAIL PROPERTIES | | REAL ESTATE INV TRST | | 232,089 | | | | 9,295,164 | |
| | NATL HEALTH INVESTORS INC | | REAL ESTATE INV TRST | | 61,351 | | | | 3,734,435 | |
| | NEW SENIOR INVESTMENT GROUP | | REAL ESTATE INV TRST | | 149,137 | | | | 1,470,491 | |
| | NEW YORK REIT INC W/D | | REAL ESTATE INV TRST | | 278,231 | | | | 3,199,657 | |
| | NORTHSTAR REALTY EUROPE CORP | | REAL ESTATE INV TRST | | 99,709 | | | | 1,177,563 | |
| | NORTHSTAR REALTY FINANCE | | REAL ESTATE INV TRST | | 314,443 | | | | 5,354,964 | |
| | OMEGA HEALTHCARE INVESTORS | | REAL ESTATE INV TRST | | 317,652 | | | | 11,111,467 | |
| | ONE LIBERTY PROPERTIES INC | | REAL ESTATE INV TRST | | 23,022 | | | | 494,052 | |
| | PARAMOUNT GROUP INC | | REAL ESTATE INV TRST | | 274,528 | | | | 4,968,957 | |
| | PARKWAY PROPERTIES INC | | REAL ESTATE INV TRST | | 144,119 | | | | 2,252,580 | |
| | PEBBLEBROOK HOTEL TRUST | | REAL ESTATE INV TRST | | 123,807 | | | | 3,469,072 | |
| | PENN REAL ESTATE INVEST TST | | REAL ESTATE INV TRST | | 119,138 | | | | 2,605,548 | |
| | PHYSICIANS REALTY TRUST | | REAL ESTATE INV TRST | | 146,557 | | | | 2,470,951 | |
| | PIEDMONT OFFICE REALTY TRU A | | REAL ESTATE INV TRST | | 260,707 | | | | 4,922,148 | |
| | POST PROPERTIES INC | | REAL ESTATE INV TRST | | 94,291 | | | | 5,578,256 | |
| | PROLOGIS INC | | REAL ESTATE INV TRST | | 903,977 | | | | 38,798,693 | |
| | PS BUSINESS PARKS INC/CA | | REAL ESTATE INV TRST | | 34,793 | | | | 3,041,952 | |
| | PUBLIC STORAGE | | REAL ESTATE INV TRST | | 253,445 | | | | 62,778,327 | |
| | QTS REALTY TRUST INC CL A | | REAL ESTATE INV TRST | | 67,168 | | | | 3,029,948 | |
| | RAIT FINANCIAL TRUST | | REAL ESTATE INV TRST | | 159,378 | | | | 430,321 | |
| | RAMCO GERSHENSON PROPERTIES | | REAL ESTATE INV TRST | | 136,675 | | | | 2,270,172 | |
| | REALTY INCOME CORP | | REAL ESTATE INV TRST | | 405,283 | | | | 20,924,761 | |
| | REGENCY CENTERS CORP | | REAL ESTATE INV TRST | | 162,638 | | | | 11,078,901 | |
| | RETAIL OPPORTUNITY INVESTMEN | | REAL ESTATE INV TRST | | 169,786 | | | | 3,039,169 | |
| | RETAIL PROPERTIES OF AME A | | REAL ESTATE INV TRST | | 408,854 | | | | 6,038,774 | |
| | REXFORD INDUSTRIAL REALTY IN | | REAL ESTATE INV TRST | | 95,658 | | | | 1,564,965 | |
| | RLJ LODGING TRUST | | REAL ESTATE INV TRST | | 225,408 | | | | 4,875,575 | |
| | RMR GROUP INC/THE A | | COMMON STOCK | | 2 | | | | 29 | |
| | ROUSE PROPERTIES INC | | REAL ESTATE INV TRST | | 69,996 | | | | 1,019,142 | |
| | RYMAN HOSPITALITY PROPERTIES | | REAL ESTATE INV TRST | | 79,569 | | | | 4,108,943 | |
| | SABRA HEALTH CARE REIT INC | | REAL ESTATE INV TRST | | 112,190 | | | | 2,269,604 | |
| | SAUL CENTERS INC | | REAL ESTATE INV TRST | | 21,834 | | | | 1,119,429 | |
| | SELECT INCOME REIT | | REAL ESTATE INV TRST | | 115,493 | | | | 2,289,071 | |
| | SENIOR HOUSING PROP TRUST | | REAL ESTATE INV TRST | | 408,963 | | | | 6,069,011 | |
| | SERITAGE GROWTH PROP A REIT | | REAL ESTATE INV TRST | | 42,674 | | | | 1,716,348 | |
| | SILVER BAY REALTY TRUST CORP | | REAL ESTATE INV TRST | | 59,024 | | | | 924,316 | |
| | SIMON PROPERTY GROUP INC | | REAL ESTATE INV TRST | | 532,725 | | | | 103,583,049 | |
| | SL GREEN REALTY CORP | | REAL ESTATE INV TRST | | 172,103 | | | | 19,444,197 | |
| | SOVRAN SELF STORAGE INC | | REAL ESTATE INV TRST | | 61,809 | | | | 6,632,724 | |
| | SPIRIT REALTY CAPITAL INC | | REAL ESTATE INV TRST | | 758,874 | | | | 7,603,917 | |
| | STAG INDUSTRIAL INC | | REAL ESTATE INV TRST | | 116,520 | | | | 2,149,794 | |
| | STORE CAPITAL CORP | | REAL ESTATE INV TRST | | 121,233 | | | | 2,812,606 | |
| | SUMMIT HOTEL PROPERTIES INC | | REAL ESTATE INV TRST | | 149,304 | | | | 1,784,183 | |
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| | SUN COMMUNITIES INC | | REAL ESTATE INV TRST | | 89,564 | | | | 6,137,821 | |
| | SUNSTONE HOTEL INVESTORS INC | | REAL ESTATE INV TRST | | 359,418 | | | | 4,489,131 | |
| | TANGER FACTORY OUTLET CENTER | | REAL ESTATE INV TRST | | 165,216 | | | | 5,402,563 | |
| | TAUBMAN CENTERS INC | | REAL ESTATE INV TRST | | 104,666 | | | | 8,029,976 | |
| | TERRENO REALTY CORP | | REAL ESTATE INV TRST | | 74,079 | | | | 1,675,667 | |
| | TIER REIT INC | | REAL ESTATE INV TRST | | 81,850 | | | | 1,207,288 | |
| | UDR INC | | REAL ESTATE INV TRST | | 449,615 | | | | 16,892,036 | |
| | UNIVERSAL HEALTH RLTY INCOME | | REAL ESTATE INV TRST | | 21,815 | | | | 1,090,968 | |
| | URBAN EDGE PROPERTIES | | REAL ESTATE INV TRST | | 171,160 | | | | 4,013,702 | |
| | URSTADT BIDDLE CLASS A | | REAL ESTATE INV TRST | | 45,749 | | | | 880,211 | |
| | US DOLLAR | | | | (2,650,215 | ) | | | (2,650,215 | ) |
| | VANGUARD REIT ETF | | MUTUAL FUNDS | | 114,132 | | | | 9,099,744 | |
| | VENTAS INC | | REAL ESTATE INV TRST | | 569,408 | | | | 32,131,693 | |
| | VEREIT INC | | REAL ESTATE INV TRST | | 1,560,067 | | | | 12,355,731 | |
| | VORNADO REALTY TRUST | | REAL ESTATE INV TRST | | 292,197 | | | | 29,208,012 | |
| | WASHINGTON REIT | | REAL ESTATE INV TRST | | 117,658 | | | | 3,183,825 | |
| | WEINGARTEN REALTY INVESTORS | | REAL ESTATE INV TRST | | 202,834 | | | | 7,014,000 | |
| | WELLTOWER INC | | REAL ESTATE INV TRST | | 604,738 | | | | 41,140,326 | |
| | WHITESTONE REIT | | REAL ESTATE INV TRST | | 46,496 | | | | 558,417 | |
| | WINTHROP REALTY TRUST | | REAL ESTATE INV TRST | | 53,330 | | | | 691,690 | |
| | WP CAREY INC | | REAL ESTATE INV TRST | | 170,997 | | | | 10,088,823 | |
| | WP GLIMCHER INC | | REAL ESTATE INV TRST | | 319,920 | | | | 3,394,351 | |
| | XENIA HOTELS + RESORTS INC | | REAL ESTATE INV TRST | | 182,730 | | | | 2,801,251 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT E - Real Estate Investment Trust (REIT) Index Fund | | $ | 1,269,950,295 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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EXHIBIT F - Long-Term Corporate Bond Fund
(Managed by Neuberger Berman)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 21ST CENTURY FOX AMERICA | | 6.15% 15 Feb 2041 | | 1,000,000.00 | | | | $ | 1,123,727 | |
| | 21ST CENTURY FOX AMERICA | | 6.15% 01 Mar 2037 | | 3,150,000.00 | | | | 3,511,585.35 | |
| | ABB FINANCE USA INC | | 4.375% 08 May 2042 | | 745,000.00 | | | | 739,462.42 | |
| | ABBVIE INC | | 4.7% 14 May 2045 | | 2,335,000.00 | | | | 2,282,383.11 | |
| | ABBVIE INC | | 4.4% 06 Nov 2042 | | 590,000.00 | | | | 551,014.57 | |
| | ACE INA HOLDINGS | | 4.35% 03 Nov 2045 | | 2,005,000.00 | | | | 2,037,344.66 | |
| | ACTAVIS FUNDING SCS | | 4.55% 15 Mar 2035 | | 2,005,000.00 | | | | 1,948,573.29 | |
| | AIR LEASE CORP | | 4.25% 15 Sep 2024 | | 920,000.00 | | | | 901,600.00 | |
| | ALABAMA POWER CO | | 3.75% 01 Mar 2045 | | 1,250,000.00 | | | | 1,123,055.00 | |
| | ALTRIA GROUP INC | | 5.375% 31 Jan 2044 | | 1,470,000.00 | | | | 1,581,190.80 | |
| | ALTRIA GROUP INC | | 9.95% 10 Nov 2038 | | 505,000.00 | | | | 809,447.84 | |
| | AMEREN ILLINOIS CO | | 4.15% 15 Mar 2046 | | 1,315,000.00 | | | | 1,312,433.12 | |
| | AMERICAN INTL GROUP | | 6.25% 01 May 2036 | | 850,000.00 | | | | 981,631.00 | |
| | AMERICAN MUNI PWR OHIO INC OH | | 8.084% 15 Feb 2050 | | 1,000,000.00 | | | | 1,474,840.00 | |
| | AMGEN INC | | 6.4% 01 Feb 2039 | | 500,000.00 | | | | 593,096.00 | |
| | AMGEN INC | | 5.375% 15 May 2043 | | 840,000.00 | | | | 892,425.24 | |
| | AMGEN INC | | 5.15% 15 Nov 2041 | | 755,000.00 | | | | 766,501.67 | |
| | ANADARKO PETROLEUM CORP | | 6.2% 15 Mar 2040 | | 1,825,000.00 | | | | 1,679,083.95 | |
| | ANHEUSER BUSCH INBEV FIN | | 4.625% 01 Feb 2044 | | 1,550,000.00 | | | | 1,540,607.00 | |
| | ANTHEM INC | | 5.85% 15 Jan 2036 | | 500,000.00 | | | | 541,989.00 | |
| | APACHE CORP | | 4.75% 15 Apr 2043 | | 1,645,000.00 | | | | 1,374,710.05 | |
| | APACHE CORP | | 5.25% 01 Feb 2042 | | 200,000.00 | | | | 177,284.40 | |
| | APPALACHIAN POWER CO | | 4.4% 15 May 2044 | | 1,000,000.00 | | | | 941,390.00 | |
| | APPLE INC | | 4.375% 13 May 2045 | | 2,780,000.00 | | | | 2,806,996.58 | |
| | APPLIED MATERIALS INC | | 5.85% 15 Jun 2041 | | 540,000.00 | | | | 582,640.02 | |
| | ASTRAZENECA PLC | | 4% 18 Sep 2042 | | 400,000.00 | | | | 373,004.80 | |
| | ASTRAZENECA PLC | | 4.375% 16 Nov 2045 | | 1,250,000.00 | | | | 1,252,533.75 | |
| | AT+T INC | | 4.75% 15 May 2046 | | 1,795,000.00 | | | | 1,643,494.82 | |
| | AT+T INC | | 4.8% 15 Jun 2044 | | 7,075,000.00 | | | | 6,481,662.20 | |
| | ATMOS ENERGY CORP | | 5.5% 15 Jun 2041 | | 480,000.00 | | | | 550,043.04 | |
| | BANK OF AMERICA CORP | | 3.95% 21 Apr 2025 | | 1,000,000.00 | | | | 973,769.00 | |
| | BANK OF AMERICA CORP | | 5.875% 07 Feb 2042 | | 1,000,000.00 | | | | 1,167,078.00 | |
| | BANK OF AMERICA CORP | | 4.25% 22 Oct 2026 | | 2,800,000.00 | | | | 2,771,535.20 | |
| | BANK OF AMERICA CORP | | 4.875% 01 Apr 2044 | | 100,000.00 | | | | 103,545.40 | |
| | BARCLAYS PLC | | 5.25% 17 Aug 2045 | | 1,120,000.00 | | | | 1,128,159.20 | |
| | BARRICK PD AU FIN PTY LT | | 5.95% 15 Oct 2039 | | 775,000.00 | | | | 528,924.33 | |
| | BAXALTA INC | | 5.25% 23 Jun 2045 | | 865,000.00 | | | | 867,917.65 | |
| | BAY AREA CA TOLL AUTH TOLL BRI | | 7.043% 01 Apr 2050 | | 1,250,000.00 | | | | 1,722,962.50 | |
| | BECTON DICKINSON AND CO | | 4.685% 15 Dec 2044 | | 1,735,000.00 | | | | 1,750,460.59 | |
| | BERKSHIRE HATHAWAY ENERG | | 6.125% 01 Apr 2036 | | 2,695,000.00 | | | | 3,142,758.08 | |
| | BERKSHIRE HATHAWAY FIN | | 5.75% 15 Jan 2040 | | 1,585,000.00 | | | | 1,849,799.61 | |
| | BHP BILLITON FIN USA LTD | | 4.125% 24 Feb 2042 | | 485,000.00 | | | | 382,834.75 | |
| | BHP BILLITON FIN USA LTD | | 5% 30 Sep 2043 | | 600,000.00 | | | | 539,282.40 | |
| | BIOGEN INC | | 5.2% 15 Sep 2045 | | 1,185,000.00 | | | | 1,185,447.93 | |
| | BOEING CO | | 6.875% 15 Mar 2039 | | 840,000.00 | | | | 1,151,033.52 | |
| | BRISTOL MYERS SQUIBB CO | | 4.5% 01 Mar 2044 | | 440,000.00 | | | | 475,649.68 | |
| | BRITISH TELECOM PLC | | 9.625% 15 Dec 2030 | | 500,000.00 | | | | 729,577.50 | |
| | BURLINGTN NORTH SANTA FE | | 5.75% 01 May 2040 | | 225,000.00 | | | | 251,869.05 | |
| | BURLINGTN NORTH SANTA FE | | 4.55% 01 Sep 2044 | | 1,030,000.00 | | | | 994,317.71 | |
| | BURLINGTN NORTH SANTA FE | | 4.45% 15 Mar 2043 | | 165,000.00 | | | | 156,885.80 | |
| | | | | | | | | | | | |
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| | BURLINGTN NORTH SANTA FE | | 7% 15 Dec 2025 | | 500,000.00 | | | | 624,099.50 | |
| | CALIFORNIA INSTITUTE OF | | 4.7% 01 Nov 2111 | | 760,000.00 | | | | 731,048.56 | |
| | CALIFORNIA ST | | 7.55% 01 Apr 2039 | | 2,580,000.00 | | | | 3,747,475.80 | |
| | CANADIAN NATL RAILWAY | | 6.2% 01 Jun 2036 | | 750,000.00 | | | | 944,332.50 | |
| | CANADIAN NATL RESOURCES | | 6.25% 15 Mar 2038 | | 1,100,000.00 | | | | 1,001,200.20 | |
| | CANADIAN PACIFIC RR CO | | 6.125% 15 Sep 2115 | | 800,000.00 | | | | 810,372.80 | |
| | CATERPILLAR INC | | 3.803% 15 Aug 2042 | | 1,382,000.00 | | | | 1,236,982.59 | |
| | CATERPILLAR INC | | 4.75% 15 May 2064 | | 1,000,000.00 | | | | 963,258.00 | |
| | CBS CORP | | 4.6% 15 Jan 2045 | | 665,000.00 | | | | 570,497.52 | |
| | CBS CORP | | 5.5% 15 May 2033 | | 625,000.00 | | | | 617,395.63 | |
| | CBS CORP | | 5.9% 15 Oct 2040 | | 655,000.00 | | | | 677,865.40 | |
| | CCO SAFARI II LLC | | 6.484% 23 Oct 2045 | | 2,975,000.00 | | | | 2,979,876.03 | |
| | CELGENE CORP | | 5% 15 Aug 2045 | | 1,575,000.00 | | | | 1,581,123.60 | |
| | CISCO SYSTEMS INC | | 5.5% 15 Jan 2040 | | 190,000.00 | | | | 222,820.41 | |
| | CISCO SYSTEMS INC | | 5.9% 15 Feb 2039 | | 1,000,000.00 | | | | 1,219,772.00 | |
| | CITIGROUP INC | | 5.3% 06 May 2044 | | 1,770,000.00 | | | | 1,841,109.75 | |
| | CITIGROUP INC | | 4.3% 20 Nov 2026 | | 3,255,000.00 | | | | 3,238,933.32 | |
| | CITIGROUP INC | | 4.65% 30 Jul 2045 | | 755,000.00 | | | | 766,172.49 | |
| | COMCAST CORP | | 6.5% 15 Nov 2035 | | 1,565,000.00 | | | | 1,961,436.41 | |
| | COMCAST CORP | | 4.25% 15 Jan 2033 | | 2,100,000.00 | | | | 2,063,512.50 | |
| | COMCAST CORP | | 6.95% 15 Aug 2037 | | 375,000.00 | | | | 489,330.75 | |
| | CONOCOPHILLIPS COMPANY | | 4.3% 15 Nov 2044 | | 940,000.00 | | | | 781,161.62 | |
| | CONSOLIDATED EDISON CO O | | 3.95% 01 Mar 2043 | | 1,980,000.00 | | | | 1,828,791.36 | |
| | CONSOLIDATED EDISON CO O | | 5.85% 15 Mar 2036 | | 525,000.00 | | | | 623,475.83 | |
| | CSX CORP | | 3.95% 01 May 2050 | | 1,350,000.00 | | | | 1,141,857.00 | |
| | CSX CORP | | 4.75% 30 May 2042 | | 470,000.00 | | | | 468,309.88 | |
| | CSX CORP | | 6.15% 01 May 2037 | | 650,000.00 | | | | 756,518.75 | |
| | CVS HEALTH CORP | | 5.125% 20 Jul 2045 | | 1,985,000.00 | | | | 2,091,060.54 | |
| | DALLAS TX AREA RAPID TRANSIT S | | 5.022% 01 Dec 2048 | | 675,000.00 | | | | 798,788.25 | |
| | DENVER CO PUBLIC SCHS COPS | | 7.017% 15 Dec 2037 | | 450,000.00 | | | | 591,223.50 | |
| | DEUTSCHE TELEKOM INT FIN | | 8.75% 15 Jun 2030 | | 1,000,000.00 | | | | 1,386,440.00 | |
| | DEVON FINANCING CORP LLC | | 7.875% 30 Sep 2031 | | 1,350,000.00 | | | | 1,384,643.70 | |
| | DIRECTV HOLDINGS/FING | | 6.375% 01 Mar 2041 | | 555,000.00 | | | | 595,694.27 | |
| | DOMINION RESOURCES INC | | 5.95% 15 Jun 2035 | | 2,475,000.00 | | | | 2,747,754.90 | |
| | DOMINION RESOURCES INC | | 4.05% 15 Sep 2042 | | 1,140,000.00 | | | | 1,005,866.46 | |
| | DOW CHEMICAL CO/THE | | 4.375% 15 Nov 2042 | | 1,860,000.00 | | | | 1,619,862.84 | |
| | DTE ENERGY COMPANY | | 6.375% 15 Apr 2033 | | 675,000.00 | | | | 820,361.93 | |
| | DUKE ENERGY CAROLINAS | | 3.75% 01 Jun 2045 | | 1,335,000.00 | | | | 1,236,415.59 | |
| | DUKE ENERGY CAROLINAS | | 6.45% 15 Oct 2032 | | 1,000,000.00 | | | | 1,217,530.00 | |
| | DUKE ENERGY FLORIDA LLC | | 6.4% 15 Jun 2038 | | 700,000.00 | | | | 895,227.90 | |
| | E.I. DU PONT DE NEMOURS | | 4.9% 15 Jan 2041 | | 350,000.00 | | | | 334,946.50 | |
| | EASTMAN CHEMICAL CO | | 4.8% 01 Sep 2042 | | 930,000.00 | | | | 853,854.39 | |
| | ECOLAB INC | | 5.5% 08 Dec 2041 | | 775,000.00 | | | | 843,207.75 | |
| | ECOPETROL SA | | 5.875% 28 May 2045 | | 510,000.00 | | | | 362,100.00 | |
| | ELECTRICITE DE FRANCE SA | | 4.95% 13 Oct 2045 | | 1,335,000.00 | | | | 1,296,222.26 | |
| | ELI LILLY + CO | | 3.7% 01 Mar 2045 | | 1,140,000.00 | | | | 1,066,376.52 | |
| | ENABLE MIDSTREAM PARTNER | | 5% 15 May 2044 | | 1,010,000.00 | | | | 595,875.76 | |
| | ENCANA CORP | | 6.5% 15 Aug 2034 | | 1,650,000.00 | | | | 1,334,533.20 | |
| | ENERGY TRANSFER PARTNERS | | 6.5% 01 Feb 2042 | | 785,000.00 | | | | 638,436.58 | |
| | ENERGY TRANSFER PARTNERS | | 6.625% 15 Oct 2036 | | 1,175,000.00 | | | | 1,017,521.80 | |
| | ENTERPRISE PRODUCTS OPER | | 6.875% 01 Mar 2033 | | 1,450,000.00 | | | | 1,513,611.50 | |
| | ENTERPRISE PRODUCTS OPER | | 4.85% 15 Mar 2044 | | 600,000.00 | | | | 485,778.00 | |
| | ENTERPRISE PRODUCTS OPER | | 7.55% 15 Apr 2038 | | 880,000.00 | | | | 941,105.44 | |
| | ENTERPRISE PRODUCTS OPER | | 3.7% 15 Feb 2026 | | 1,450,000.00 | | | | 1,300,652.90 | |
| | EPR PROPERTIES | | 5.25% 15 Jul 2023 | | 780,000.00 | | | | 794,327.04 | |
| | ERAC USA FINANCE LLC | | 3.85% 15 Nov 2024 | | 805,000.00 | | | | 805,302.68 | |
| | ERAC USA FINANCE LLC | | 6.7% 01 Jun 2034 | | 555,000.00 | | | | 654,603.08 | |
| | EXELON GENERATION CO LLC | | 5.75% 01 Oct 2041 | | 1,715,000.00 | | | | 1,657,979.68 | |
| | EXELON GENERATION CO LLC | | 5.6% 15 Jun 2042 | | 1,000,000.00 | | | | 931,170.00 | |
| | EXELON GENERATION CO LLC | | 6.25% 01 Oct 2039 | | 775,000.00 | | | | 783,983.03 | |
| | EXPRESS SCRIPTS HOLDING | | 6.125% 15 Nov 2041 | | 295,000.00 | | | | 335,240.36 | |
| | FEDEX CORP | | 5.1% 15 Jan 2044 | | 985,000.00 | | | | 1,020,580.17 | |
| | FLORIDA POWER + LIGHT CO | | 4.05% 01 Jun 2042 | | 350,000.00 | | | | 344,709.75 | |
| | FLORIDA POWER + LIGHT CO | | 5.625% 01 Apr 2034 | | 900,000.00 | | | | 1,071,236.70 | |
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| | FLORIDA POWER + LIGHT CO | | 5.25% 01 Feb 2041 | | 675,000.00 | | | | 774,013.73 | |
| | FREEPORT MCMORAN INC | | 5.4% 14 Nov 2034 | | 705,000.00 | | | | 373,650.00 | |
| | GE CAPITAL INTL FUNDING | | 4.418% 15 Nov 2035 | | 6,578,000.00 | | | | 6,712,730.60 | |
| | GENERAL ELEC CAP CORP | | 5.875% 14 Jan 2038 | | 736,000.00 | | | | 900,540.90 | |
| | GENERAL ELECTRIC CO | | 4.5% 11 Mar 2044 | | 810,000.00 | | | | 833,596.92 | |
| | GENERAL MOTORS CO | | 5.2% 01 Apr 2045 | | 1,230,000.00 | | | | 1,153,405.44 | |
| | GENERAL MOTORS FINL CO | | 4.3% 13 Jul 2025 | | 1,185,000.00 | | | | 1,149,082.65 | |
| | GEORGIA POWER COMPANY | | 5.65% 01 Mar 2037 | | 1,280,000.00 | | | | 1,385,456.64 | |
| | GEORGIA POWER COMPANY | | 4.3% 15 Mar 2042 | | 1,800,000.00 | | | | 1,662,490.80 | |
| | GILEAD SCIENCES INC | | 4.8% 01 Apr 2044 | | 810,000.00 | | | | 813,189.78 | |
| | GILEAD SCIENCES INC | | 4.75% 01 Mar 2046 | | 1,250,000.00 | | | | 1,265,032.50 | |
| | GLAXOSMITHKLINE CAP INC | | 6.375% 15 May 2038 | | 1,115,000.00 | | | | 1,423,865.04 | |
| | GOLDMAN SACHS GROUP INC | | 6.75% 01 Oct 2037 | | 3,020,000.00 | | | | 3,530,186.72 | |
| | GOLDMAN SACHS GROUP INC | | 6.45% 01 May 2036 | | 3,245,000.00 | | | | 3,668,319.99 | |
| | GRUPO BIMBO SAB DE CV | | 4.875% 27 Jun 2044 | | 1,655,000.00 | | | | 1,448,232.58 | |
| | GUARDIAN LIFE INSURANCE | | 4.875% 19 Jun 2064 | | 840,000.00 | | | | 797,466.60 | |
| | HCP INC | | 6.75% 01 Feb 2041 | | 1,005,000.00 | | | | 1,214,061.11 | |
| | HESS CORP | | 6% 15 Jan 2040 | | 1,125,000.00 | | | | 997,322.63 | |
| | HOME DEPOT INC | | 4.875% 15 Feb 2044 | | 800,000.00 | | | | 881,027.20 | |
| | HOME DEPOT INC | | 4.2% 01 Apr 2043 | | 1,600,000.00 | | | | 1,602,788.80 | |
| | HP ENTERPRISE CO | | 6.35% 15 Oct 2045 | | 1,195,000.00 | | | | 1,134,463.69 | |
| | HP INC | | 6% 15 Sep 2041 | | 650,000.00 | | | | 567,537.10 | |
| | HSBC HOLDINGS PLC | | 6.5% 15 Sep 2037 | | 1,600,000.00 | | | | 1,919,547.20 | |
| | HSBC HOLDINGS PLC | | 5.25% 14 Mar 2044 | | 1,720,000.00 | | | | 1,784,713.28 | |
| | HUSKY ENERGY INC | | 6.8% 15 Sep 2037 | | 520,000.00 | | | | 515,129.68 | |
| | ILLINOIS ST | | 5.1% 01 Jun 2033 | | 2,575,000.00 | | | | 2,435,048.75 | |
| | INDIANA MICHIGAN POWER | | 6.05% 15 Mar 2037 | | 905,000.00 | | | | 1,028,739.75 | |
| | INTEL CORP | | 4.8% 01 Oct 2041 | | 365,000.00 | | | | 380,504.11 | |
| | INTERNATIONAL PAPER CO | | 6% 15 Nov 2041 | | 605,000.00 | | | | 634,480.44 | |
| | INTERNATIONAL PAPER CO | | 5.15% 15 May 2046 | | 810,000.00 | | | | 770,621.04 | |
| | INTL BK RECON + DEVELOP | | 4.75% 15 Feb 2035 | | 445,000.00 | | | | 543,329.87 | |
| | ITALY GOV T INT BOND | | 5.375% 15 Jun 2033 | | 950,000.00 | | | | 1,084,333.80 | |
| | JM SMUCKER CO | | 4.25% 15 Mar 2035 | | 465,000.00 | | | | 454,277.57 | |
| | JOHNSON + JOHNSON | | 5.95% 15 Aug 2037 | | 435,000.00 | | | | 561,836.87 | |
| | JOHNSON CONTROLS INC | | 4.95% 02 Jul 2064 | | 1,015,000.00 | | | | 824,429.69 | |
| | JOHNSON CONTROLS INC | | 5.7% 01 Mar 2041 | | 570,000.00 | | | | 556,391.82 | |
* | | JPMORGAN CHASE + CO | | 5.5% 15 Oct 2040 | | 1,700,000.00 | | | | 1,923,306.90 | |
* | | JPMORGAN CHASE + CO | | 5.4% 06 Jan 2042 | | 475,000.00 | | | | 534,120.88 | |
* | | JPMORGAN CHASE + CO | | 4.95% 01 Jun 2045 | | 800,000.00 | | | | 799,846.40 | |
* | | JPMORGAN CHASE + CO | | 4.125% 15 Dec 2026 | | 2,800,000.00 | | | | 2,792,280.40 | |
| | JUNIPER NETWORKS INC | | 5.95% 15 Mar 2041 | | 645,000.00 | | | | 605,755.62 | |
| | KFW | | 2% 04 Oct 2022 | | 1,000,000.00 | | | | 983,463.00 | |
| | KINDER MORGAN ENER PART | | 4.15% 01 Feb 2024 | | 1,500,000.00 | | | | 1,294,197.00 | |
| | KINDER MORGAN ENER PART | | 6.5% 01 Feb 2037 | | 1,190,000.00 | | | | 1,022,263.55 | |
| | KINDER MORGAN ENER PART | | 6.95% 15 Jan 2038 | | 1,295,000.00 | | | | 1,112,284.57 | |
| | KINDER MORGAN INC/DELAWA | | 5.3% 01 Dec 2034 | | 1,350,000.00 | | | | 1,063,854.00 | |
| | KRAFT HEINZ FOODS CO | | 5.2% 15 Jul 2045 | | 1,415,000.00 | | | | 1,478,544.82 | |
| | LABORATORY CORP OF AMER | | 4.7% 01 Feb 2045 | | 960,000.00 | | | | 877,109.76 | |
* | | LEGG MASON INC | | 5.625% 15 Jan 2044 | | 985,000.00 | | | | 978,407.40 | |
| | LOCKHEED MARTIN CORP | | 4.7% 15 May 2046 | | 1,065,000.00 | | | | 1,090,955.12 | |
| | LOCKHEED MARTIN CORP | | 4.85% 15 Sep 2041 | | 925,000.00 | | | | 952,406.83 | |
| | LOS ANGELES CA CMNTY CLG DIST | | 6.6% 01 Aug 2042 | | 900,000.00 | | | | 1,219,122.00 | |
| | LOS ANGELES CA DEPT WTR PWR | | 6.574% 01 Jul 2045 | | 675,000.00 | | | | 920,916.00 | |
| | LOS ANGELES CA UNIF SCH DIST | | 6.758% 01 Jul 2034 | | 1,600,000.00 | | | | 2,108,192.00 | |
| | LOWE S COS INC | | 4.375% 15 Sep 2045 | | 1,240,000.00 | | | | 1,274,449.68 | |
| | MACYS RETAIL HLDGS INC | | 5.125% 15 Jan 2042 | | 650,000.00 | | | | 558,741.30 | |
| | MACYS RETAIL HLDGS INC | | 6.375% 15 Mar 2037 | | 850,000.00 | | | | 860,166.85 | |
| | MARATHON OIL CORP | | 6.6% 01 Oct 2037 | | 585,000.00 | | | | 501,906.02 | |
| | MARATHON PETROLEUM CORP | | 5% 15 Sep 2054 | | 1,770,000.00 | | | | 1,417,670.88 | |
| | MASS INSTITUTE OF TECH | | 4.678% 01 Jul 2114 | | 590,000.00 | | | | 608,731.91 | |
| | MASSACHUSETTS ST | | 4.91% 01 May 2029 | | 1,300,000.00 | | | | 1,498,484.00 | |
| | MCDONALD S CORP | | 4.6% 26 May 2045 | | 630,000.00 | | | | 606,154.50 | |
| | MCDONALD S CORP | | 6.3% 15 Oct 2037 | | 575,000.00 | | | | 674,504.90 | |
| | MCKESSON CORP | | 6% 01 Mar 2041 | | 950,000.00 | | | | 1,093,668.50 | |
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| | MEDTRONIC INC | | 4.625% 15 Mar 2044 | | 405,000.00 | | | | 412,160.81 | |
| | MERCK + CO INC | | 3.7% 10 Feb 2045 | | 2,525,000.00 | | | | 2,331,711.25 | |
| | MET TRANSPRTN AUTH NY REVENUE | | 6.814% 15 Nov 2040 | | 1,000,000.00 | | | | 1,324,660.00 | |
* | | METLIFE INC | | 6.5% 15 Dec 2032 | | 1,925,000.00 | | | | 2,363,715.20 | |
* | | METLIFE INC | | 4.6% 13 May 2046 | | 1,265,000.00 | | | | 1,273,366.71 | |
| | MEXICHEM SAB DE CV | | 5.875% 17 Sep 2044 | | 1,045,000.00 | | | | 875,187.50 | |
| | MICROSOFT CORP | | 4.45% 03 Nov 2045 | | 1,790,000.00 | | | | 1,845,889.17 | |
| | MICROSOFT CORP | | 3.5% 12 Feb 2035 | | 2,000,000.00 | | | | 1,848,490.00 | |
| | MICROSOFT CORP | | 5.3% 08 Feb 2041 | | 615,000.00 | | | | 708,475.70 | |
| | MIDAMERICAN ENERGY CO | | 4.25% 01 May 2046 | | 945,000.00 | | | | 934,786.44 | |
| | MORGAN STANLEY | | 6.25% 09 Aug 2026 | | 1,540,000.00 | | | | 1,802,967.32 | |
| | MORGAN STANLEY | | 3.95% 23 Apr 2027 | | 910,000.00 | | | | 883,226.89 | |
| | MORGAN STANLEY | | 4.3% 27 Jan 2045 | | 1,760,000.00 | | | | 1,679,230.08 | |
| | MUNI ELEC AUTH OF GEORGIA | | 6.655% 01 Apr 2057 | | 1,000,000.00 | | | | 1,187,480.00 | |
| | NATIONAL RURAL UTIL COOP | | 8% 01 Mar 2032 | | 650,000.00 | | | | 895,091.60 | |
| | NBCUNIVERSAL MEDIA LLC | | 6.4% 30 Apr 2040 | | 1,490,000.00 | | | | 1,856,674.10 | |
| | NEW JERSEY ST ECON DEV AUTH LE | | 7.425% 15 Feb 2029 | | 1,100,000.00 | | | | 1,255,903.00 | |
| | NEW JERSEY ST TRANSPRTN TRUST | | 6.561% 15 Dec 2040 | | 1,000,000.00 | | | | 1,061,640.00 | |
| | NEW JERSEY ST TURNPIKE AUTH | | 7.102% 01 Jan 2041 | | 650,000.00 | | | | 893,399.00 | |
| | NEW YORK CITY NY MUNI WTR FIN | | 5.79% 15 Jun 2041 | | 1,500,000.00 | | | | 1,652,055.00 | |
| | NEW YORK NY | | 5.985% 01 Dec 2036 | | 1,000,000.00 | | | | 1,222,390.00 | |
| | NEW YORK ST DORM AUTH ST PERSO | | 5.427% 15 Mar 2039 | | 600,000.00 | | | | 693,600.00 | |
| | NIKE INC | | 3.875% 01 Nov 2045 | | 1,690,000.00 | | | | 1,630,853.38 | |
| | NOBLE ENERGY INC | | 5.25% 15 Nov 2043 | | 805,000.00 | | | | 649,407.19 | |
| | NORFOLK SOUTHERN CORP | | 5.59% 17 May 2025 | | 1,100,000.00 | | | | 1,257,727.90 | |
| | NORFOLK SOUTHERN CORP | | 6% 15 Mar 2105 | | 650,000.00 | | | | 696,846.80 | |
| | NORTHERN STATES PWR MINN | | 5.35% 01 Nov 2039 | | 425,000.00 | | | | 489,898.78 | |
| | NORTHROP GRUMMAN CORP | | 3.85% 15 Apr 2045 | | 530,000.00 | | | | 476,251.11 | |
| | NORTHROP GRUMMAN CORP | | 5.05% 15 Nov 2040 | | 950,000.00 | | | | 1,001,609.70 | |
| | NOVARTIS CAPITAL CORP | | 4.4% 06 May 2044 | | 705,000.00 | | | | 735,290.33 | |
| | OCCIDENTAL PETROLEUM COR | | 4.625% 15 Jun 2045 | | 665,000.00 | | | | 645,041.36 | |
| | OHIO ST UNIV | | 4.8% 01 Jun 2111 | | 430,000.00 | | | | 411,548.70 | |
| | ONEOK PARTNERS LP | | 6.65% 01 Oct 2036 | | 905,000.00 | | | | 748,107.39 | |
| | ONEOK PARTNERS LP | | 6.85% 15 Oct 2037 | | 480,000.00 | | | | 402,541.92 | |
| | ORACLE CORP | | 3.25% 15 May 2030 | | 2,100,000.00 | | | | 1,972,164.60 | |
| | ORACLE CORP | | 5.375% 15 Jul 2040 | | 425,000.00 | | | | 472,790.83 | |
| | ORANGE SA | | 5.375% 13 Jan 2042 | | 800,000.00 | | | | 826,740.80 | |
| | PACIFIC GAS + ELECTRIC | | 4.75% 15 Feb 2044 | | 945,000.00 | | | | 981,991.08 | |
| | PACIFIC GAS + ELECTRIC | | 4.45% 15 Apr 2042 | | 1,025,000.00 | | | | 1,029,226.08 | |
| | PENNSYLVANIA ST | | 5.45% 15 Feb 2030 | | 300,000.00 | | | | 341,976.00 | |
| | PENNSYLVANIA ST TURNPIKE COMMI | | 5.511% 01 Dec 2045 | | 500,000.00 | | | | 578,805.00 | |
| | PENTAIR FINANCE SA | | 4.65% 15 Sep 2025 | | 900,000.00 | | | | 921,934.80 | |
| | PEPSICO INC | | 4.25% 22 Oct 2044 | | 740,000.00 | | | | 734,230.22 | |
| | PETROLEOS MEXICANOS | | 5.625% 23 Jan 2046 | | 1,020,000.00 | | | | 780,504.00 | |
| | PETROLEOS MEXICANOS | | 6.5% 02 Jun 2041 | | 2,500,000.00 | | | | 2,161,250.00 | |
| | PHILIP MORRIS INTL INC | | 6.375% 16 May 2038 | | 825,000.00 | | | | 1,040,570.85 | |
| | PHILLIPS 66 | | 4.875% 15 Nov 2044 | | 1,135,000.00 | | | | 1,012,605.01 | |
| | PLAINS ALL AMER PIPELINE | | 4.7% 15 Jun 2044 | | 1,970,000.00 | | | | 1,371,186.98 | |
| | PORT AUTH OF NEW YORK NEW JE | | 4.926% 01 Oct 2051 | | 825,000.00 | | | | 886,974.00 | |
| | PRINCIPAL FINANCIAL GRP | | 6.05% 15 Oct 2036 | | 520,000.00 | | | | 601,321.76 | |
| | PROCTER + GAMBLE CO/THE | | 5.55% 05 Mar 2037 | | 650,000.00 | | | | 789,919.65 | |
| | PROGRESS ENERGY INC | | 7.75% 01 Mar 2031 | | 1,000,000.00 | | | | 1,288,704.00 | |
| | PROGRESSIVE CORP | | 4.35% 25 Apr 2044 | | 950,000.00 | | | | 957,787.15 | |
| | PROVINCE OF QUEBEC | | 7.5% 15 Sep 2029 | | 1,150,000.00 | | | | 1,653,982.90 | |
* | | PRUDENTIAL FINANCIAL INC | | 4.6% 15 May 2044 | | 1,180,000.00 | | | | 1,174,164.90 | |
* | | PRUDENTIAL FINANCIAL INC | | 5.7% 14 Dec 2036 | | 600,000.00 | | | | 678,700.80 | |
| | PSEG POWER LLC | | 8.625% 15 Apr 2031 | | 625,000.00 | | | | 777,928.13 | |
| | PUB SVC ELEC + GAS | | 5.5% 01 Mar 2040 | | 490,000.00 | | | | 570,878.91 | |
| | QUEST DIAGNOSTICS INC | | 5.75% 30 Jan 2040 | | 216,000.00 | | | | 222,859.30 | |
| | QWEST CORP | | 6.75% 01 Dec 2021 | | 1,335,000.00 | | | | 1,398,412.50 | |
| | RAYTHEON COMPANY | | 4.875% 15 Oct 2040 | | 215,000.00 | | | | 235,339.65 | |
| | REPUBLIC OF COLOMBIA | | 5.625% 26 Feb 2044 | | 2,200,000.00 | | | | 2,007,500.00 | |
| | REPUBLIC OF PERU | | 6.55% 14 Mar 2037 | | 2,525,000.00 | | | | 2,916,375.00 | |
| | REPUBLIC OF PERU | | 4.125% 25 Aug 2027 | | 1,400,000.00 | | | | 1,372,000.00 | |
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| | REPUBLIC OF PHILIPPINES | | 3.95% 20 Jan 2040 | | 2,000,000.00 | | | | 2,023,272.00 | |
| | REPUBLIC OF SOUTH AFRICA | | 6.25% 08 Mar 2041 | | 725,000.00 | | | | 739,500.00 | |
| | REPUBLIC OF TURKEY | | 6% 14 Jan 2041 | | 2,780,000.00 | | | | 2,840,465.00 | |
| | REYNOLDS AMERICAN INC | | 8.125% 01 May 2040 | | 730,000.00 | | | | 895,443.55 | |
| | REYNOLDS AMERICAN INC | | 4.75% 01 Nov 2042 | | 1,895,000.00 | | | | 1,808,741.50 | |
| | ROCKWELL COLLINS INC | | 4.8% 15 Dec 2043 | | 850,000.00 | | | | 910,468.15 | |
| | ROGERS COMMUNICATIONS IN | | 7.5% 15 Aug 2038 | | 1,020,000.00 | | | | 1,320,371.64 | |
| | SABMILLER HOLDINGS INC | | 4.95% 15 Jan 2042 | | 575,000.00 | | | | 584,020.03 | |
| | SAN DIEGO CNTY CA WTR AUTH FIN | | 6.138% 01 May 2049 | | 425,000.00 | | | | 554,008.75 | |
| | SEAGATE HDD CAYMAN | | 4.875% 01 Jun 2027 | | 1,500,000.00 | | | | 1,151,041.50 | |
| | SEAGATE HDD CAYMAN | | 4.75% 01 Jun 2023 | | 570,000.00 | | | | 498,910.17 | |
| | SEAGATE HDD CAYMAN | | 5.75% 01 Dec 2034 | | 1,070,000.00 | | | | 748,757.11 | |
| | SHELL INTERNATIONAL FIN | | 4.55% 12 Aug 2043 | | 1,275,000.00 | | | | 1,239,331.88 | |
| | SOUTH CAROLINA ELEC+GAS | | 5.1% 01 Jun 2065 | | 1,490,000.00 | | | | 1,553,003.16 | |
| | SOUTHERN CAL EDISON | | 5.35% 15 Jul 2035 | | 350,000.00 | | | | 394,228.80 | |
| | SOUTHERN CAL EDISON | | 4.05% 15 Mar 2042 | | 850,000.00 | | | | 830,368.40 | |
| | SOUTHERN CAL EDISON | | 6% 15 Jan 2034 | | 775,000.00 | | | | 932,242.85 | |
| | SOUTHERN CAL EDISON | | 3.6% 01 Feb 2045 | | 1,500,000.00 | | | | 1,358,482.50 | |
| | SOUTHERN CALIF GAS CO | | 5.125% 15 Nov 2040 | | 1,200,000.00 | | | | 1,378,521.60 | |
| | SPECTRA ENERGY PARTNERS | | 5.95% 25 Sep 2043 | | 730,000.00 | | | | 697,064.59 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 10,031,689.73 | | | | 10,031,689.73 | |
| | STATOIL ASA | | 5.1% 17 Aug 2040 | | 1,440,000.00 | | | | 1,519,642.08 | |
| | SUNCOR ENERGY INC | | 6.5% 15 Jun 2038 | | 1,270,000.00 | | | | 1,358,872.06 | |
| | SUNOCO LOGISTICS PARTNER | | 5.3% 01 Apr 2044 | | 1,370,000.00 | | | | 1,019,593.73 | |
| | TELEFONICA EMISIONES SAU | | 7.045% 20 Jun 2036 | | 900,000.00 | | | | 1,081,573.20 | |
| | TEXAS ST | | 5.517% 01 Apr 2039 | | 400,000.00 | | | | 500,236.00 | |
| | TEXAS ST TRANSPRTN COMMISSION | | 5.178% 01 Apr 2030 | | 675,000.00 | | | | 794,589.75 | |
| | THERMO FISHER SCIENTIFIC | | 5.3% 01 Feb 2044 | | 810,000.00 | | | | 865,497.15 | |
| | TIME WARNER CABLE INC | | 6.55% 01 May 2037 | | 2,105,000.00 | | | | 2,130,230.53 | |
| | TIME WARNER INC | | 6.5% 15 Nov 2036 | | 2,015,000.00 | | | | 2,275,646.30 | |
| | TRANS CANADA PIPELINES | | 5% 16 Oct 2043 | | 1,500,000.00 | | | | 1,379,512.50 | |
| | TRAVELERS COS INC | | 4.6% 01 Aug 2043 | | 935,000.00 | | | | 982,535.40 | |
| | TYCO INTERNATIONAL FINAN | | 5.125% 14 Sep 2045 | | 1,190,000.00 | | | | 1,235,459.19 | |
| | UNION PACIFIC CORP | | 4.05% 15 Nov 2045 | | 1,960,000.00 | | | | 1,896,372.52 | |
| | UNITED MEXICAN STATES | | 6.75% 27 Sep 2034 | | 3,895,000.00 | | | | 4,674,000.00 | |
| | UNITED MEXICAN STATES | | 6.05% 11 Jan 2040 | | 1,000,000.00 | | | | 1,095,000.00 | |
| | UNITED PARCEL SERVICE | | 4.875% 15 Nov 2040 | | 825,000.00 | | | | 914,789.70 | |
| | UNITED TECHNOLOGIES CORP | | 4.5% 01 Jun 2042 | | 2,045,000.00 | | | | 2,059,392.71 | |
| | UNITEDHEALTH GROUP INC | | 6.5% 15 Jun 2037 | | 935,000.00 | | | | 1,173,712.98 | |
| | UNITEDHEALTH GROUP INC | | 4.25% 15 Mar 2043 | | 470,000.00 | | | | 456,409.01 | |
| | UNITEDHEALTH GROUP INC | | 3.95% 15 Oct 2042 | | 600,000.00 | | | | 558,456.60 | |
| | UNIV OF CALIFORNIA CA REVENUES | | 5.946% 15 May 2045 | | 400,000.00 | | | | 486,928.00 | |
| | UNIV OF CALIFORNIA CA RGTS MED | | 6.548% 15 May 2048 | | 1,000,000.00 | | | | 1,283,500.00 | |
| | US TREASURY N/B | | 2.875% 15 May 2043 | | 1,425,000.00 | | | | 1,389,375.00 | |
| | VALE SA | | 5.625% 11 Sep 2042 | | 2,380,000.00 | | | | 1,574,008.24 | |
| | VALERO ENERGY CORP | | 6.625% 15 Jun 2037 | | 895,000.00 | | | | 899,850.01 | |
| | VERIZON COMMUNICATIONS | | 5.012% 21 Aug 2054 | | 7,159,000.00 | | | | 6,554,715.97 | |
| | VERIZON COMMUNICATIONS | | 4.522% 15 Sep 2048 | | 602,000.00 | | | | 538,366.79 | |
| | VERIZON COMMUNICATIONS | | 4.75% 01 Nov 2041 | | 1,480,000.00 | | | | 1,364,932.96 | |
| | VERIZON COMMUNICATIONS | | 5.05% 15 Mar 2034 | | 1,185,000.00 | | | | 1,180,636.83 | |
| | VERIZON COMMUNICATIONS | | 6.55% 15 Sep 2043 | | 270,000.00 | | | | 320,546.70 | |
| | VERIZON COMMUNICATIONS | | 4.672% 15 Mar 2055 | | 2,608,000.00 | | | | 2,264,268.21 | |
| | VIACOM INC | | 4.5% 27 Feb 2042 | | 550,000.00 | | | | 412,432.35 | |
| | VIACOM INC | | 4.85% 15 Dec 2034 | | 1,715,000.00 | | | | 1,400,625.07 | |
| | VISA INC | | 4.3% 14 Dec 2045 | | 2,435,000.00 | | | | 2,470,451.17 | |
| | VODAFONE GROUP PLC | | 6.15% 27 Feb 2037 | | 1,405,000.00 | | | | 1,386,459.62 | |
| | VOYA FINANCIAL INC | | 5.7% 15 Jul 2043 | | 545,000.00 | | | | 618,759.76 | |
| | WACHOVIA CORP | | 5.5% 01 Aug 2035 | | 1,400,000.00 | | | | 1,555,845.20 | |
| | WAL MART STORES INC | | 5% 25 Oct 2040 | | 2,385,000.00 | | | | 2,623,633.56 | |
| | WAL MART STORES INC | | 4% 11 Apr 2043 | | 1,500,000.00 | | | | 1,456,630.50 | |
| | WASHINGTON ST | | 5.481% 01 Aug 2039 | | 650,000.00 | | | | 789,002.50 | |
| | WEA FINANCE LLC/WESTFIEL | | 4.75% 17 Sep 2044 | | 830,000.00 | | | | 813,228.19 | |
| | WELLS FARGO + COMPANY | | 5.606% 15 Jan 2044 | | 1,750,000.00 | | | | 1,944,073.25 | |
| | WELLS FARGO + COMPANY | | 4.9% 17 Nov 2045 | | 790,000.00 | | | | 797,045.22 | |
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| | WELLS FARGO + COMPANY | | 5.375% 02 Nov 2043 | | 5,000.00 | | | | 5,351.25 | |
| | WELLS FARGO + COMPANY | | 4.65% 04 Nov 2044 | | 1,275,000.00 | | | | 1,240,419.45 | |
| | WELLS FARGO + COMPANY | | 4.1% 03 Jun 2026 | | 1,175,000.00 | | | | 1,186,037.95 | |
| | WELLTOWER INC | | 6.5% 15 Mar 2041 | | 585,000.00 | | | | 682,783.92 | |
| | WESTERN GAS PARTNERS LP | | 5.45% 01 Apr 2044 | | 590,000.00 | | | | 468,483.01 | |
| | WILLIAMS PARTNERS LP | | 6.3% 15 Apr 2040 | | 1,175,000.00 | | | | 901,638.60 | |
| | WILLIAMS PARTNERS LP | | 4.9% 15 Jan 2045 | | 1,015,000.00 | | | | 646,196.71 | |
| | WYETH LLC | | 5.95% 01 Apr 2037 | | 2,405,000.00 | | | | 2,859,621.96 | |
| | XEROX CORPORATION | | 6.75% 15 Dec 2039 | | 1,160,000.00 | | | | 1,116,140.40 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT F - Long-Term Corporate Bond Fund | | | | $ | 387,945,356 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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Table of Contents
EXHIBIT G - International Real Estate Index Fund
(Managed by BlackRock Institutional Trust Company)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | ACTIVIA PROPERTIES INC | | REIT | | 328 | | | | $ | 1,391,472 | |
| | ADLER REAL ESTATE AG | | COMMON STOCK | | 18,890 | | | | 291,209 | |
| | ADO PROPERTIES SA | | COMMON STOCK | | 18,311 | | | | 528,511 | |
| | ADVANCE RESIDENCE INVESTMENT | | REIT | | 999 | | | | 2,197,062 | |
| | AEDIFICA | | REIT | | 9,491 | | | | 623,757 | |
| | AEON MALL CO LTD | | COMMON STOCK | | 92,300 | | | | 1,583,101 | |
| | AEON REIT INVESTMENT CORP | | REIT | | 717 | | | | 849,587 | |
| | AFFINE | | REIT | | 5,532 | | | | 98,137 | |
| | ALLIED PROPERTIES REAL ESTAT | | REIT | | 59,163 | | | | 1,344,594 | |
| | ALSTRIA OFFICE REIT AG | | REIT | | 78,037 | | | | 1,040,386 | |
| | ANF IMMOBILIER | | REIT EUR1. | | 5,974 | | | | 134,982 | |
| | ARTIS REAL ESTATE INVESTMENT | | REIT | | 109,409 | | | | 1,008,160 | |
| | ASCENDAS REAL ESTATE INV TRT | | REIT | | 1,462,100 | | | | 2,340,387 | |
| | ASCENDAS REAL ESTATE INVT RTS | | RTS EXP. 13JAN2016 | | 54,828 | | | | 2,396 | |
| | ASSURA PLC | | REIT GBP.1 | | 1,233,785 | | | | 1,005,197 | |
| | AUSTRALIAN DOLLAR | | FOREIGN CURRENCY | | 71,087 | | | | 51,719 | |
| | AZ. BGP HOLDINGS | | COMMON STOCK | | 6,007,914 | | | | 91 | |
| | BEFIMMO | | REIT | | 12,656 | | | | 755,355 | |
| | BENI STABILI SPA | | REIT EUR.1 | | 812,119 | | | | 612,474 | |
| | BIG YELLOW GROUP PLC | | REIT GBP.1 | | 108,589 | | | | 1,287,833 | |
| | BOARDWALK REAL ESTATE INVEST | | REIT | | 30,247 | | | | 1,033,201 | |
| | BRITISH LAND CO PLC | | REIT GBP.25 | | 763,470 | | | | 8,785,907 | |
| | BWP TRUST | | REIT | | 362,867 | | | | 829,893 | |
| | CA IMMOBILIEN ANLAGEN AG | | COMMON STOCK | | 56,538 | | | | 1,030,415 | |
| | CAN APARTMENT PROP REAL ESTA | | REIT | | 94,151 | | | | 1,819,173 | |
| | CAN REAL ESTATE INVEST TRUST | | REIT | | 56,606 | | | | 1,713,950 | |
| | CANADIAN DOLLAR | | FOREIGN CURRENCY | | 42,709 | | | | 30,746 | |
| | CAPITAL + COUNTIES PROPERTIE | | COMMON STOCK GBP.25 | | 549,306 | | | | 3,564,755 | |
| | CAPITALAND COMMERCIAL TRUST | | REIT | | 1,494,100 | | | | 1,417,673 | |
| | CAPITALAND MALL TRUST | | REIT | | 1,985,300 | | | | 2,689,000 | |
| | CASTELLUM AB | | COMMON STOCK SEK.5 | | 123,666 | | | | 1,754,842 | |
| | CDL HOSPITALITY TRUSTS | | REIT | | 519,400 | | | | 484,679 | |
| | CHAMPION REIT | | REIT | | 1,764,000 | | | | 877,355 | |
| | CHARTER HALL RETAIL REIT | | REIT | | 245,122 | | | | 738,710 | |
| | CHARTWELL RETIREMENT RESIDEN | | UNIT | | 128,435 | | | | 1,174,231 | |
| | CITYCON OYJ | | COMMON STOCK | | 314,317 | | | | 814,184 | |
| | COFINIMMO | | REIT | | 14,992 | | | | 1,600,523 | |
| | COMINAR REAL ESTATE INV TR U | | REIT | | 133,109 | | | | 1,409,570 | |
| | CROMBIE REAL ESTATE INVESTME | | REIT | | 64,739 | | | | 596,544 | |
| | CROMWELL PROPERTY GROUP | | REIT | | 1,101,451 | | | | 839,729 | |
| | DAEJAN HOLDINGS PLC | | COMMON STOCK GBP.25 | | 3,909 | | | | 364,271 | |
| | DAIWA HOUSE REIT INVESTMENT | | REIT | | 251 | | | | 979,187 | |
| | DAIWA HOUSE RESIDENTIAL INV | | REIT | | 521 | | | | 1,077,035 | |
| | DAIWA OFFICE INVESTMENT CORP | | REIT | | 217 | | | | 1,174,016 | |
| | DERWENT LONDON PLC | | REIT GBP.05 | | 74,710 | | | | 4,035,234 | |
| | DEUTSCHE EUROSHOP AG | | COMMON STOCK | | 34,872 | | | | 1,532,018 | |
| | DEUTSCHE WOHNEN AG BR | | COMMON STOCK | | 255,377 | | | | 7,105,635 | |
| | DEXUS PROPERTY GROUP | | REIT | | 725,918 | | | | 3,930,067 | |
| | DIC ASSET AG | | COMMON STOCK | | 25,850 | | | | 262,167 | |
| | DIOS FASTIGHETER AB | | COMMON STOCK SEK2.0 | | 34,017 | | | | 246,333 | |
| | DREAM GLOBAL REAL ESTATE INV | | REIT | | 77,005 | | | | 480,069 | |
| | DREAM OFFICE REAL ESTATE INV | | REIT | | 84,089 | | | | 1,051,491 | |
| | ENTRA ASA | | COMMON STOCK NOK1.0 | | 49,208 | | | | 394,859 | |
| | | | | | | | | | | | |
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| | EURO CURRENCY | | FOREIGN CURRENCY | | 24,321 | | | | 26,420 | |
| | EUROCOMMERCIAL PROPERTIE CV | | DUTCH CERT EUR5.0 | | 34,032 | | | | 1,466,378 | |
| | EXTENDICARE INC | | COMMON STOCK | | 66,154 | | | | 459,568 | |
| | F+C COMMERCIAL PROPERTY TRUST | | F+C COMMERCIAL PROPERTY TRUS | | 399,102 | | | | 790,572 | |
| | F+C UK REAL ESTATE INVESTMEN | | REIT | | 190,678 | | | | 285,962 | |
| | FABEGE AB | | COMMON STOCK SEK30.82 | | 99,332 | | | | 1,635,373 | |
| | FASTIGHETS AB BALDER B SHRS | | COMMON STOCK SEK1. | | 69,302 | | | | 1,710,180 | |
| | FIRST CAPITAL REALTY INC | | COMMON STOCK | | 68,834 | | | | 909,297 | |
| | FONCIERE DES REGIONS | | REIT EUR3. | | 26,673 | | | | 2,386,825 | |
| | FORTUNE REIT | | REIT | | 977,000 | | | | 1,001,170 | |
| | FRONTIER REAL ESTATE INVEST | | REIT | | 386 | | | | 1,548,153 | |
| | FUKUOKA REIT CORP | | REIT | | 513 | | | | 883,906 | |
| | GECINA SA | | REIT EUR7.5 | | 27,870 | | | | 3,379,879 | |
| | GLP J REIT | | REIT | | 1,785 | | | | 1,725,467 | |
| | GPT GROUP | | REIT NPV | | 1,334,009 | | | | 4,603,722 | |
| | GRAND CITY PROPERTIES | | COMMON STOCK EUR.1 | | 69,380 | | | | 1,622,423 | |
| | GREAT PORTLAND ESTATES PLC | | REIT GBP.125 | | 258,223 | | | | 3,147,015 | |
| | GREEN REIT PLC | | REIT EUR.1 | | 487,879 | | | | 843,533 | |
| | GRIVALIA PROPERTIES REIC | | REIT EUR2.13 | | 30,055 | | | | 240,841 | |
| | H+R REAL ESTATE INV REIT UTS | | REIT | | 207,573 | | | | 2,996,068 | |
| | HAMBORNER REIT AG | | REIT | | 45,966 | | | | 481,514 | |
| | HAMMERSON PLC | | REIT GBP.25 | | 587,807 | | | | 5,193,982 | |
| | HANSTEEN HOLDINGS PLC | | REIT GBP.1 | | 554,476 | | | | 940,200 | |
| | HEMFOSA FASTIGHETER AB | | COMMON STOCK SEK1.0 | | 60,975 | | | | 674,367 | |
| | HIBERNIA REIT PLC | | REIT EUR.1 | | 513,842 | | | | 786,303 | |
| | HISPANIA ACTIVOS INMOBILIARI | | COMMON STOCK EUR1.0 | | 22,018 | | | | 311,717 | |
| | HONG KONG DOLLAR | | FOREIGN CURRENCY | | 292,270 | | | | 37,711 | |
| | HUFVUDSTADEN AB A SHS | | COMMON STOCK SEK5.0 | | 86,414 | | | | 1,225,202 | |
| | HULIC CO LTD | | COMMON STOCK | | 274,200 | | | | 2,403,015 | |
| | HYSAN DEVELOPMENT CO | | COMMON STOCK | | 469,000 | | | | 1,919,640 | |
| | IMMOBILIARE GRANDE DISTRIBUZ | | REIT | | 243,765 | | | | 234,245 | |
| | INDUSTRIAL + INFRASTRUCTURE | | REIT | | 222 | | | | 1,058,529 | |
| | INMOBILIARIA COLONIAL SA | | COMMON STOCK EUR.25 | | 1,658,178 | | | | 1,151,264 | |
| | INNVEST REAL ESTATE INVESTME | | REIT | | 72,665 | | | | 268,355 | |
| | INTERVEST OFFICES+WAREHOUSES | | REIT | | 10,229 | | | | 270,518 | |
| | INTU PROPERTIES PLC | | REIT GBP.5 | | 700,120 | | | | 3,271,149 | |
| | INVESTA OFFICE FUND | | REIT | | 419,884 | | | | 1,214,154 | |
| | INVINCIBLE INVESTMENT CORP | | REIT | | 1,800 | | | | 1,043,986 | |
| | JAPAN EXCELLENT INC | | REIT | | 883 | | | | 968,525 | |
| | JAPAN HOTEL REIT INVESTMENT | | REIT | | 2,368 | | | | 1,748,841 | |
| | JAPAN LOGISTICS FUND INC | | REIT | | 690 | | | | 1,336,677 | |
| | JAPAN PRIME REALTY INVESTMEN | | REIT | | 634 | | | | 2,167,711 | |
| | JAPAN REAL ESTATE INVESTMENT | | REIT | | 961 | | | | 4,669,861 | |
| | JAPAN RETAIL FUND INVESTMENT | | REIT | | 1,888 | | | | 3,622,539 | |
| | JAPANESE YEN | | FOREIGN CURRENCY | | 7,347,322 | | | | 61,078 | |
| | KENEDIX OFFICE INVESTMENT CO | | REIT | | 262 | | | | 1,225,550 | |
| | KEPPEL REIT 1 | | REIT | | 1,406,500 | | | | 920,080 | |
| | KILLAM PROPERTIES INC | | COMMON STOCK | | 49,842 | | | | 377,107 | |
| | KIWI PROPERTY GROUP LTD | | COMMON STOCK | | 940,549 | | | | 866,745 | |
| | KLEPIERRE | | REIT EUR1.4 | | 152,557 | | | | 6,762,526 | |
| | KLOVERN AB B SHS | | COMMON STOCK | | 287,956 | | | | 322,966 | |
| | KUNGSLEDEN AB | | COMMON STOCK SEK.42 | | 139,649 | | | | 993,615 | |
| | LAND SECURITIES GROUP PLC | | REIT GBP.1 | | 584,715 | | | | 10,135,173 | |
| | LAR ESPANA REAL ESTATE SOCIM | | REIT EUR2.0 | | 50,826 | | | | 520,011 | |
| | LEASINVEST REAL ESTATE SCA | | REIT | | 1,595 | | | | 161,152 | |
| | LEG IMMOBILIEN AG | | COMMON STOCK | | 47,355 | | | | 3,885,133 | |
| | LINK REIT | | REIT | | 1,674,000 | | | | 10,018,922 | |
| | LONDONMETRIC PROPERTY PLC | | REIT GBP.1 | | 436,041 | | | | 1,052,810 | |
| | MAPLETREE COMMERCIAL TRUST | | REIT | | 984,972 | | | | 900,094 | |
| | MAPLETREE INDUSTRIAL TRUST | | REIT | | 926,600 | | | | 992,256 | |
| | MAPLETREE LOGISTICS TRUST 20 | | REIT | | 1,046,747 | | | | 728,297 | |
| | MEDICX FUND LTD | | MEDICX FUND LTD | | 326,944 | | | | 408,350 | |
| | MERCIALYS | | REIT EUR1. | | 31,285 | | | | 632,939 | |
| | MERLIN PROPERTIES SOCIMI SA | | REIT EUR1.0 | | 241,392 | | | | 3,011,184 | |
| | MINI MSCI EAFE MAR16 | | IFUS 20160318 | | 850 | | | | 805 | |
| | MOBIMO HOLDING AG REG | | COMMON STOCK CHF29.0 | | 4,792 | | | | 1,062,124 | |
| | MORI HILLS REIT INVESTMENT C | | REIT | | 1,035 | | | | 1,325,122 | |
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Table of Contents
| | MORI TRUST SOGO REIT INC | | REIT | | 788 | | | | 1,342,207 | |
| | NEW ISRAELI SHEQEL | | FOREIGN CURRENCY | | 5,663 | | | | 1,455 | |
| | NEW ZEALAND DOLLAR | | FOREIGN CURRENCY | | 57,274 | | | | 39,210 | |
| | NIPPON ACCOMMODATIONS FUND | | REIT | | 389 | | | | 1,355,022 | |
| | NIPPON BUILDING FUND INC | | REIT | | 1,041 | | | | 4,968,204 | |
| | NOMURA REAL ESTATE MASTER FU | | REIT | | 2,758 | | | | 3,410,944 | |
| | NORTHVIEW APARTMENT REAL EST | | REIT | | 31,637 | | | | 399,932 | |
| | NORWEGIAN PROPERTY ASA | | COMMON STOCK NOK.5 | | 186,569 | | | | 191,102 | |
| | NSI NV | | REIT EUR.46 | | 106,062 | | | | 457,464 | |
| | ORIX JREIT INC | | REIT | | 1,837 | | | | 2,375,101 | |
| | POUND STERLING | | FOREIGN CURRENCY | | 52,724 | | | | 77,711 | |
| | PREMIER INVESTMENT CORP | | REIT | | 1,012 | | | | 1,034,211 | |
| | PRIMARY HEALTH PROPERTIES | | REIT GBP.125 | | 316,164 | | | | 506,168 | |
| | PSP SWISS PROPERTY AG REG | | COMMON STOCK CHF.1 | | 30,361 | | | | 2,660,729 | |
| | PURE INDUSTRIAL REAL ESTATE | | REIT | | 177,471 | | | | 558,310 | |
| | REDEFINE INTERNATIONAL PLC | | REIT GBP.08 | | 768,908 | | | | 566,526 | |
| | RIOCAN REAL ESTATE INVST TR | | REIT | | 237,338 | | | | 4,047,612 | |
| | SAFESTORE HOLDINGS PLC | | REIT GBP.01 | | 152,491 | | | | 801,919 | |
| | SCENTRE GROUP | | REIT | | 3,799,025 | | | | 11,495,030 | |
| | SEGRO PLC | | REIT GBP.1 | | 556,631 | | | | 3,513,055 | |
| | SHAFTESBURY PLC | | REIT GBP.25 | | 207,106 | | | | 2,774,775 | |
| | SHOPPING CENTRES AUSTRALASIA | | REIT | | 543,442 | | | | 836,941 | |
| | SINGAPORE DOLLAR | | FOREIGN CURRENCY | | 140,346 | | | | 98,929 | |
| | SMART REAL ESTATE INVESTMENT | | REIT | | 82,597 | | | | 1,795,122 | |
| | SPI 200 FUTURES MAR16 | | XSFE 20160317 | | 125 | | | | 17,534 | |
| | SPONDA OYJ | | COMMON STOCK | | 181,777 | | | | 768,127 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 157,354 | | | | 157,354 | |
| | STANDARD LIFE INV PROP INC | | REIT | | 236,326 | | | | 293,807 | |
| | SUNTEC REIT | | REIT | | 1,801,500 | | | | 1,956,875 | |
| | SWISS FRANC | | FOREIGN CURRENCY | | 8,855 | | | | 8,846 | |
| | TARGET HEALTHCARE REIT LTD | | REIT | | 168,949 | | | | 268,467 | |
| | TECHNOPOLIS OYJ | | COMMON STOCK | | 79,355 | | | | 321,022 | |
| | TLG IMMOBILIEN AG | | COMMON STOCK | | 42,762 | | | | 801,875 | |
| | TOKYU REIT INC | | REIT | | 743 | | | | 935,075 | |
| | TOP REIT INC | | REIT | | 151 | | | | 570,428 | |
| | TRITAX BIG BOX REIT PLC | | REIT GBP.01 | | 547,202 | | | | 1,045,944 | |
| | UK COMMERCIAL PROPERTY TRUST L | | UK COMMERCIAL PROPERTY TRUST | | 479,427 | | | | 602,279 | |
| | UNIBAIL RODAMCO SE | | REIT EUR5. | | 2,984 | | | | 759,812 | |
| | UNIBAIL RODAMCO SE | | REIT EUR5. | | 70,207 | | | | 17,793,896 | |
| | UNITE GROUP PLC | | COMMON STOCK GBP.25 | | 169,425 | | | | 1,635,500 | |
| | UNITED URBAN INVESTMENT CORP | | REIT | | 1,956 | | | | 2,650,847 | |
| | US DOLLAR | | CURRENCY | | 37,071 | | | | 37,071 | |
| | VASTNED RETAIL NV | | REIT EUR5. | | 14,150 | | | | 650,146 | |
| | VICINITY CENTRES | | REIT | | 2,442,103 | | | | 4,941,195 | |
| | VONOVIA SE | | COMMON STOCK | | 352,859 | | | | 10,925,180 | |
| | WAREHOUSES DE PAUW SCA | | REIT | | 10,623 | | | | 936,442 | |
| | WERELDHAVE BELGIUM NV | | REIT | | 1,595 | | | | 190,490 | |
| | WERELDHAVE NV | | REIT EUR1.0 | | 29,932 | | | | 1,677,719 | |
| | WESTFIELD CORP | | MISC. | | 1,436,435 | | | | 9,866,360 | |
| | WIHLBORGS FASTIGHETER AB | | COMMON STOCK SEK2.5 | | 49,577 | | | | 1,001,559 | |
| | WORKSPACE GROUP PLC | | REIT GBP1.0 | | 88,810 | | | | 1,253,264 | |
| | Currency Contract | | USD/CAD | | | | | | (184 | ) |
| | | | | | | | | | | |
| | | | Total: EXHIBIT G - International Real Estate Index Fund | | | | $ | 295,385,275 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
145
Table of Contents
EXHIBIT H - High Yield and Emerging Markets Bond Fund
(Managed by Pacific Management Investment Company)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 317509KO4 OTC ECAL USD VS CNY | | AUG16 6.57 CALL | | 2,484,000 | | | | $ | 84,739 | |
| | 317509LO3 OTC ECAL USD VS CNY | | AUG16 6.94 CALL | | (2,484,000 | ) | | | (32,652 | ) |
| | 31750AEI1 OTC EPUT EUR VS USD | | MAR16 1.023 PUT | | (2,300,000 | ) | | | (4,377 | ) |
| | 31750AEJ9 OTC ECAL EUR VS USD | | MAR16 1.107 CALL | | (2,300,000 | ) | | | (20,655 | ) |
| | 3175AM305 CDX.O P 1.25 IG25 5Y | | MAR16 1.25 PUT | | (200,000 | ) | | | (196 | ) |
| | 3175AN345 CDX.O P 1.10 IG25 5Y | | JAN16 1.10 PUT | | (400,000 | ) | | | (79 | ) |
| | 3175GC400 CDX.O P 1.20 IG25 5Y | | FEB16 1.2 PUT | | (400,000 | ) | | | (222 | ) |
| | 3175NN580 CDX.O P 1.10 IG25 5Y | | FEB16 1.1 PUT | | (1,800,000 | ) | | | (1,819 | ) |
| | 3175VJ028 CDX.O P 0.95 IG25 5Y | | JAN16 .95 PUT | | (5,900,000 | ) | | | (4,932 | ) |
| | 317U048K2 IRO USD 5Y5Y C 2.550 | | MAR16 2.55 CALL | | (26,700,000 | ) | | | (98,969 | ) |
| | 90DAY EUR FUTR DEC17 | | XCME 20171218 | | (61,000,000 | ) | | | (164,142 | ) |
| | ADT CORP | | 4.875% 15 Jul 2042 | | 500,000 | | | | 357,500 | |
| | AES CORP/VA | | 8% 01 Jun 2020 | | 1,300,000 | | | | 1,430,000 | |
| | ALBERTSONS LLC | | 1% 25 Aug 2021 | | 397,000 | | | | 393,181 | |
| | ALBERTSONS LLC | | 1% 25 Aug 2019 | | 192,500 | | | | 190,311 | |
| | ALLY FINANCIAL INC | | 4.125% 30 Mar 2020 | | 300,000 | | | | 298,500 | |
| | ALLY FINANCIAL INC | | 8% 15 Mar 2020 | | 804,000 | | | | 916,560 | |
| | ALROSA FINANCE SA | | 7.75% 03 Nov 2020 | | 1,400,000 | | | | 1,472,450 | |
| | ALTICE LUXEMBOURG SA | | 7.75% 15 May 2022 | | 200,000 | | | | 180,500 | |
| | AMAYA HLDGS B V | | 1% 01 Aug 2021 | | 1,162,105 | | | | 1,086,568 | |
| | AMER AIRLN PT TRS 11 1 | | 7% 31 Jul 2019 | | 67,128 | | | | 70,484 | |
| | AMERICAN INTL GROUP | | 1% 15 May 2068 | | 100,000 | | | | 131,500 | |
| | ANGLOGOLD HOLDINGS PLC | | 5.375% 15 Apr 2020 | | 1,200,000 | | | | 1,057,200 | |
| | ARQIVA BROADC FINANCE PL | | 9.5% 31 Mar 2020 | | 100,000 | | | | 159,181 | |
| | ASHLAND INC | | 3.875% 15 Apr 2018 | | 400,000 | | | | 408,000 | |
| | AUSTRALIAN DOLLAR | | FOREIGN CURRENCY | | 390 | | | | 284 | |
| | AVAGO TECHNOLOGIES CAYMAN LTD | | 1% 06 May 2021 | | 344,127 | | | | 342,981 | |
| | BANCO DO BRASIL (CAYMAN) | | 6% 22 Jan 2020 | | 200,000 | | | | 198,700 | |
| | BANCO DO BRASIL (CAYMAN) | | 3.875% 10 Oct 2022 | | 1,004,000 | | | | 763,040 | |
| | BANCO NAC DE DESEN ECONO | | 4.125% 15 Sep 2017 | | 300,000 | | | | 303,112 | |
| | BANCO POPULAR ESPANOL SA | | 1% 29 Oct 2049 | | 400,000 | | | | 471,454 | |
| | BANCO SANTANDER BRAS CI | | 4.25% 14 Jan 2016 | | 300,000 | | | | 299,640 | |
| | BARCLAYS BANK PLC | | 7.625% 21 Nov 2022 | | 2,200,000 | | | | 2,505,250 | |
| | BARCLAYS BANK PLC | | 1% 10 Apr 2023 | | 600,000 | | | | 640,500 | |
| | BARCLAYS BANK PLC | | 10% 21 May 2021 | | 500,000 | | | | 950,362 | |
| | BARCLAYS PLC | | 1% 29 Dec 2049 | | 500,000 | | | | 532,351 | |
| | BBVA BANCOMER SA TEXAS | | 7.25% 22 Apr 2020 | | 100,000 | | | | 106,175 | |
| | BHARTI AIRTEL INTERNATIO | | 5.35% 20 May 2024 | | 300,000 | | | | 314,936 | |
| | BHARTI AIRTEL INTERNATIO | | 3.375% 20 May 2021 | | 100,000 | | | | 113,282 | |
| | BLACKSTONE CQP HOLDCO LP | | 2.324% 19 Mar 2019 | | 1,260,606 | | | | 1,240,426 | |
| | BONOS Y OBLIG DEL ESTADO | | 2.75% 31 Oct 2024 | | 100,000 | | | | 118,521 | |
| | BPCE SA | | 4.625% 11 Jul 2024 | | 200,000 | | | | 194,576 | |
| | BRASKEM FINANCE LTD | | 5.375% 02 May 2022 | | 1,200,000 | | | | 996,000 | |
| | BRAZILIAN REAL | | FOREIGN CURRENCY | | 191,651 | | | | 48,443 | |
| | BUONI POLIENNALI DEL TES | | 2.5% 01 Dec 2024 | | 100,000 | | | | 117,979 | |
| | BWU003AQ3 IRS JPY P F 1.00000 | | 1% 18 Sep 2023 | | (440,000,000 | ) | | | (3,657,675 | ) |
| | BWU003AQ3 IRS JPY R V 06MLIBOR | | 1% 18 Sep 2023 | | 440,000,000 | | | | 3,458,524 | |
| | BWU00DA99 IRS USD P F 1.25000 | | 1.25% 16 Dec 2016 | | (73,400,000 | ) | | | (73,696,747 | ) |
| | BWU00DA99 IRS USD R V 03MLIBOR | | 1% 16 Dec 2016 | | 73,400,000 | | | | 73,400,000 | |
| | BWU00E1Z9 IRS EUR P F .50000 | | 0.5% 16 Mar 2021 | | (5,600,000 | ) | | | (6,121,184 | ) |
| | BWU00E1Z9 IRS EUR R V 06MEURIB | | 1% 16 Mar 2021 | | 5,600,000 | | | | 6,083,280 | |
| | BWU00E205 IRS EUR P F 1.00000 | | 1% 16 Mar 2026 | | (200,000 | ) | | | (216,371 | ) |
| | BWU00E205 IRS EUR R V 06MEURIB | | 1% 16 Mar 2026 | | 200,000 | | | | 217,260 | |
| | CALIFORNIA RESOURCES CRP | | 5% 15 Jan 2020 | | 115,000 | | | | 40,969 | |
| | CALIFORNIA RESOURCES CRP | | 8% 15 Dec 2022 | | 1,478,000 | | | | 777,798 | |
| | CALIFORNIA RESOURCES CRP | | 6% 15 Nov 2024 | | 322,000 | | | | 98,210 | |
| | CALIFORNIA RESOURCES CRP | | 5.5% 15 Sep 2021 | | 115,000 | | | | 36,225 | |
| | CANADIAN DOLLAR | | FOREIGN CURRENCY | | 4,619 | | | | 3,325 | |
| | CCMSCZUS2 CCPC COC EQUITY | | MORGAN STANLEY CASH COLLATERAL | | 1,578,000 | | | | 1,578,000 | |
| | | | | | | | | | | | |
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| | CCRE CO LP/FIN CORP | | 7.75% 15 Feb 2018 | | 500,000 | | | | 512,500 | |
| | CEMEX SAB DE CV | | 6.5% 10 Dec 2019 | | 300,000 | | | | 289,500 | |
| | CENTURYLINK INC | | 5.625% 01 Apr 2020 | | 1,500,000 | | | | 1,483,125 | |
| | CGG SA | | 6.5% 01 Jun 2021 | | 200,000 | | | | 89,000 | |
| | CHARTER COMMUNICATIONS OPERAT | | 1% 01 Jul 2020 | | 197,468 | | | | 193,560 | |
| | CHARTER COMMUNICATIONS OPERAT | | 1% 04 Jan 2021 | | 789,873 | | | | 773,089 | |
| | CHESAPEAKE ENERGY CORP | | 1% 15 Apr 2019 | | 1,700,000 | | | | 476,000 | |
| | CHS/COMMUNITY HEALTH SYS | | 5.125% 01 Aug 2021 | | 400,000 | | | | 398,000 | |
| | CIT GROUP INC | | 6.625% 01 Apr 2018 | | 1,300,000 | | | | 1,371,500 | |
| | CIT GROUP INC | | 4.25% 15 Aug 2017 | | 1,700,000 | | | | 1,738,250 | |
| | CLEAR CHANNEL WORLDWIDE | | 6.5% 15 Nov 2022 | | 500,000 | | | | 487,500 | |
| | CNOOC FINANCE 2014 ULC | | 4.25% 30 Apr 2024 | | 1,500,000 | | | | 1,511,886 | |
| | CO OP GRP HLDS | | 1% 08 Jul 2020 | | 400,000 | | | | 641,168 | |
| | COLOMBIAN PESO | | FOREIGN CURRENCY | | 448,840,154 | | | | 141,389 | |
| | CONCHO RESOURCES INC | | 7% 15 Jan 2021 | | 100,000 | | | | 98,500 | |
| | CONSOL ENERGY INC | | 5.875% 15 Apr 2022 | | 400,000 | | | | 248,000 | |
| | CONTINENTAL RESOURCES | | 3.8% 01 Jun 2024 | | 200,000 | | | | 140,885 | |
| | COOPERATIEVE RABOBANK UA | | 6.875% 19 Mar 2020 | | 200,000 | | | | 257,996 | |
| | CORP FINANCI DE DESARROL | | 4.75% 08 Feb 2022 | | 500,000 | | | | 507,500 | |
| | COSTA RICA GOVERNMENT | | 7.158% 12 Mar 2045 | | 200,000 | | | | 167,500 | |
| | CREDIT AGRICOLE SA | | 1% 19 Sep 2033 | | 800,000 | | | | 881,702 | |
| | CREDIT AGRICOLE SA | | 1% 29 Jan 2049 | | 200,000 | | | | 204,500 | |
| | CREDIT SUISSE | | 6.5% 08 Aug 2023 | | 2,000,000 | | | | 2,155,000 | |
| | CREDIT SUISSE FIRST BOSTON MOR | | 1% 25 Jun 2033 | | 19,077 | | | | 18,625 | |
| | CRIMSON MERGER SUB INC | | 6.625% 15 May 2022 | | 800,000 | | | | 548,000 | |
| | CROWN CASTLE INTL CORP | | 5.25% 15 Jan 2023 | | 1,300,000 | | | | 1,366,625 | |
| | CSC HOLDINGS LLC | | 8.625% 15 Feb 2019 | | 800,000 | | | | 852,000 | |
| | CSC HOLDINGS LLC | | 7.875% 15 Feb 2018 | | 590,000 | | | | 620,975 | |
| | CSFB CASH COLL CCP | | CSFB CASH COLL CCFOBCUS1 | | 84,000 | | | | 84,000 | |
| | CVS PASS THROUGH TRUST | | 6.943% 10 Jan 2030 | | 1,752,506 | | | | 2,003,719 | |
| | DELL INC. | | 1% 29 Apr 2020 | | 1,389,482 | | | | 1,378,311 | |
| | DELOS FIN S A R L | | 1% 06 Mar 2021 | | 2,200,000 | | | | 2,188,604 | |
| | DENBURY RESOURCES INC | | 4.625% 15 Jul 2023 | | 300,000 | | | | 96,564 | |
| | DISH DBS CORP | | 5.875% 15 Nov 2024 | | 900,000 | | | | 801,000 | |
| | DISH DBS CORP | | 7.875% 01 Sep 2019 | | 700,000 | | | | 761,250 | |
| | DOLLAR TREE INC | | 5.75% 01 Mar 2023 | | 100,000 | | | | 103,500 | |
| | DOLLAR TREE INC | | 5.25% 01 Mar 2020 | | 100,000 | | | | 103,250 | |
| | DOMINICAN REPUBLIC | | 6.85% 27 Jan 2045 | | 400,000 | | | | 377,000 | |
| | DOMINICAN REPUBLIC | | 7.45% 30 Apr 2044 | | 200,000 | | | | 201,500 | |
| | DYNEGY INC | | 6.75% 01 Nov 2019 | | 200,000 | | | | 188,000 | |
| | DYNEGY INC | | 7.375% 01 Nov 2022 | | 100,000 | | | | 87,000 | |
| | ELECTRICITE DE FRANCE SA | | 1% 29 Jan 2049 | | 1,300,000 | | | | 1,222,000 | |
| | ELECTRICITE DE FRANCE SA | | 1% 31 Dec 2049 | | 700,000 | | | | 665,700 | |
| | EME REORGANIZATION TRUST TRU | | UNIT | | 41,499 | | | | 415 | |
| | ENDO FIN LLC/ENDO FINCO | | 5.875% 15 Jan 2023 | | 500,000 | | | | 490,000 | |
| | ENDO LTD/FIN LLC/FINCO | | 6% 01 Feb 2025 | | 200,000 | | | | 197,000 | |
| | ENDO LUX FINANCE COMPANY | | 1% 26 Sep 2022 | | 300,000 | | | | 295,626 | |
| | ENERGY FUTURE INTERMEDIATE HL | | 1% 19 Dec 2016 | | 2,105,550 | | | | 2,095,549 | |
| | ENTERGY TEXAS INC | | PREFERRED STOCK 06/64 5.625 | | 300 | | | | 7,847 | |
| | EQUINIX INC | | 4.875% 01 Apr 2020 | | 300,000 | | | | 311,850 | |
| | ESC LEHMAN BRTH HLDH PROD | | 1% 31 Dec 2049 | | 800,000 | | | | 59,400 | |
| | EURO CURRENCY | | FOREIGN CURRENCY | | 77,263 | | | | 83,931 | |
| | EURO-BTP FUTURE MAR16 | | XEUR 20160308 | | 500,000 | | | | (7,963 | ) |
| | EURO-BUND FUTURE MAR16 | | XEUR 20160308 | | (3,900,000 | ) | | | 94,899 | |
| | EXPORT IMPORT BK KOREA | | 5.125% 29 Jun 2020 | | 250,000 | | | | 275,956 | |
| | FANNIE DISCOUNT NOTE | | 0.01% 02 Feb 2016 | | 100,000 | | | | 99,977 | |
| | FANNIE DISCOUNT NOTE | | 0.01% 17 Feb 2016 | | 2,200,000 | | | | 2,199,277 | |
| | FANNIE DISCOUNT NOTE | | 0.01% 10 Feb 2016 | | 4,800,000 | | | | 4,798,613 | |
| | FANNIE DISCOUNT NOTE | | 0.01% 14 Jan 2016 | | 500,000 | | | | 499,959 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 19 Feb 2016 | | 600,000 | | | | 599,763 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 29 Jan 2016 | | 1,700,000 | | | | 1,699,764 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 27 Jan 2016 | | 1,900,000 | | | | 1,899,642 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 26 Jan 2016 | | 600,000 | | | | 599,895 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 09 Feb 2016 | | 200,000 | | | | 199,918 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 02 Feb 2016 | | 300,000 | | | | 299,909 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 28 Jan 2016 | | 500,000 | | | | 499,884 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 14 Jan 2016 | | 600,000 | | | | 599,949 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 25 Jan 2016 | | 3,400,000 | | | | 3,399,486 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 01 Feb 2016 | | 100,000 | | | | 99,973 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 22 Jan 2016 | | 600,000 | | | | 599,909 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 20 Jan 2016 | | 800,000 | | | | 799,922 | |
| | FIAT CHRYSLER AUTOMOBILE | | 4.5% 15 Apr 2020 | | 500,000 | | | | 506,250 | |
| | FIRSTENERGY CORP | | 7.375% 15 Nov 2031 | | 900,000 | | | | 1,096,185 | |
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| | FLEXTRONICS INTL LTD | | 4.625% 15 Feb 2020 | | 100,000 | | | | 103,394 | |
| | FLYING FORTRESS INC | | 1% 30 Apr 2020 | | 100,000 | | | | 99,688 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 11 Feb 2046 | | 7,100,000 | | | | 7,309,981 | |
| | FREDDIE MAC DISCOUNT NT | | 0.01% 28 Jan 2016 | | 600,000 | | | | 599,924 | |
| | FREDDIE MAC DISCOUNT NT | | 0.01% 27 Jan 2016 | | 4,700,000 | | | | 4,699,151 | |
| | FUTURES MORGAN STANLEY COC | | SWAP CASH COLLATERALRAL USD | | 356,000 | | | | 356,000 | |
| | GARDNER DENVER INC | | 1% 30 Jul 2020 | | 720,432 | | | | 646,408 | |
| | GENESIS ENERGY LP/GENESI | | 5.75% 15 Feb 2021 | | 400,000 | | | | 338,000 | |
| | GTL TRADE FINANCE INC | | 5.893% 29 Apr 2024 | | 679,000 | | | | 482,090 | |
| | HARVEST OPERATIONS CORP | | 6.875% 01 Oct 2017 | | 100,000 | | | | 76,500 | |
| | HBOS PLC | | 5.374% 30 Jun 2021 | | 400,000 | | | | 499,698 | |
| | HCA INC | | 7.5% 15 Feb 2022 | | 200,000 | | | | 221,500 | |
| | HETA ASSET RESOLUTION AG | | 4.375% 24 Jan 2017 | | 600,000 | | | | 436,693 | |
| | HETA ASSET RESOLUTION AG | | 4.25% 31 Oct 2016 | | 800,000 | | | | 582,257 | |
| | HILAND PART LP/CORP | | 5.5% 15 May 2022 | | 100,000 | | | | 96,000 | |
| | HILTON WORLDWIDE FIN LLC | | 1% 26 Oct 2020 | | 782,737 | | | | 780,537 | |
| | HIPOTECARIA SU CASITA SA | | 7.5% 29 Jun 2018 | | 88,813 | | | | 4,441 | |
| | HIPOTECARIA SU CASITA SA | | COMMON STOCK | | 10,518 | | | | 0 | |
| | HSBC HOLDINGS PLC | | 7.625% 17 May 2032 | | 700,000 | | | | 887,592 | |
| | HUNGARIAN FORINT | | FOREIGN CURRENCY | | 45,986 | | | | 158 | |
| | INDONESIA GOVERNMENT | | 6.625% 15 May 2033 | | 3,241,000,000 | | | | 184,724 | |
| | INDONESIA GOVERNMENT | | 9.5% 15 Jul 2031 | | 39,076,000,000 | | | | 2,929,354 | |
| | INDONESIA GOVERNMENT | | 8.375% 15 Mar 2024 | | 53,161,000,000 | | | | 3,749,499 | |
| | INDONESIA GOVERNMENT | | 8.25% 15 Jun 2032 | | 1,627,000,000 | | | | 108,992 | |
| | INDONESIA GOVERNMENT | | 6.125% 15 May 2028 | | 18,027,000,000 | | | | 1,026,748 | |
| | INDONESIA GOVERNMENT | | 7% 15 May 2027 | | 9,962,000,000 | | | | 621,041 | |
| | INDONESIA GOVERNMENT | | 10% 15 Feb 2028 | | 3,000,000,000 | | | | 232,699 | |
| | INDONESIAN RUPIAH | | FOREIGN CURRENCY | | 1 | | | | 0 | |
| | INTERGAS FINANCE BV | | 6.375% 14 May 2017 | | 200,000 | | | | 203,688 | |
| | INTESA SANPAOLO NEW YORK | | 1% 11 Apr 2016 | | 300,000 | | | | 300,228 | |
| | INTL LEASE FINANCE CORP | | 6.25% 15 May 2019 | | 200,000 | | | | 214,250 | |
| | JAPANESE YEN | | FOREIGN CURRENCY | | 40,060,817 | | | | 333,021 | |
| | KBC BANK NV | | 1% 25 Jan 2023 | | 1,000,000 | | | | 1,088,800 | |
| | KINGDOM OF BAHRAIN | | 5.5% 31 Mar 2020 | | 300,000 | | | | 305,325 | |
| | KONINKLIJKE KPN NV | | 1% 29 Mar 2049 | | 600,000 | | | | 691,539 | |
| | KOREA DEVELOPMENT BANK | | 3% 14 Sep 2022 | | 700,000 | | | | 704,822 | |
| | LAS VEGAS SANDS LLC | | 1% 19 Dec 2020 | | 296,720 | | | | 293,382 | |
| | LEHMAN BROTHERS HOLDINGS | | 1% 10 Jan 2009 | | 400,000 | | | | 28,000 | |
| | LSI OPEN POSITION NET ASSET | | 0.01% 31 Dec 2060 | | 171,451 | | | | 13,716 | |
| | MAJAPAHIT HOLDING BV | | 7.75% 20 Jan 2020 | | 100,000 | | | | 111,875 | |
| | MALAYSIA GOVERNMENT | | 3.26% 01 Mar 2018 | | 23,800,000 | | | | 5,554,921 | |
| | MALAYSIA GOVERNMENT | | 3.48% 15 Mar 2023 | | 8,100,000 | | | | 1,806,539 | |
| | MALAYSIAN RINGGIT | | FOREIGN CURRENCY | | 820 | | | | 191 | |
| | MALLINCKRODT FIN/SB | | 5.75% 01 Aug 2022 | | 200,000 | | | | 192,000 | |
| | MCE FINANCE LTD | | 5% 15 Feb 2021 | | 1,500,000 | | | | 1,365,000 | |
| | MEXICAN PESO (NEW) | | FOREIGN CURRENCY | | 5,026 | | | | 291 | |
| | MORGAN STANLEY + CO INC | | CASH COLL (CCP) | | 664,000 | | | | 664,000 | |
| | MORGAN STANLEY CAP SVCS COC | | SWAP CASH COLLATERAL USD | | 50,000 | | | | 50,000 | |
| | MORGAN STANLEY CASH BOC | | CCMSBIUS1 MORGAN STANLEY CASH | | (2,010,000 | ) | | | (2,010,000 | ) |
| | MPLX LP | | 4.5% 15 Jul 2023 | | 900,000 | | | | 805,230 | |
| | NAVIENT CORP | | 8.45% 15 Jun 2018 | | 2,100,000 | | | | 2,210,250 | |
| | NAVIENT CORP | | 8% 25 Mar 2020 | | 1,200,000 | | | | 1,185,600 | |
| | NEW ALBERTSONS INC | | 6.57% 23 Feb 2028 | | 600,000 | | | | 499,500 | |
| | NEW RUSSIAN RUBLE | | FOREIGN CURRENCY | | 1,000 | | | | 14 | |
| | NIELSEN CO LUX SARL/THE | | 5.5% 01 Oct 2021 | | 600,000 | | | | 615,000 | |
| | NOTA DO TESOURO NACIONAL | | 10% 01 Jan 2017 | | 24,498,000 | | | | 5,894,505 | |
| | NOTA DO TESOURO NACIONAL | | 10% 01 Jan 2021 | | 54,000,000 | | | | 10,865,080 | |
| | NOVELIS INC | | 8.75% 15 Dec 2020 | | 100,000 | | | | 91,750 | |
| | NOVELIS INC | | 8.375% 15 Dec 2017 | | 1,200,000 | | | | 1,167,000 | |
| | NOVO BANCO SA | | 5% 23 May 2019 | | 500,000 | | | | 488,781 | |
| | NOVO BANCO SA | | 5% 14 May 2019 | | 300,000 | | | | 283,220 | |
| | NUMERICABLE SFR SAS | | 6% 15 May 2022 | | 200,000 | | | | 194,000 | |
| | NUMERICABLE SFR SAS | | 4.875% 15 May 2019 | | 1,200,000 | | | | 1,189,500 | |
| | NXP BV/NXP FUNDING LLC | | 3.5% 15 Sep 2016 | | 400,000 | | | | 400,500 | |
| | ODEBRECHT DRILL VIII/IX | | 6.35% 30 Jun 2022 | | 157,000 | | | | 56,520 | |
| | ONEMAIN FIN HOLDINGS INC | | 7.25% 15 Dec 2021 | | 500,000 | | | | 501,250 | |
| | ONEMAIN FIN HOLDINGS INC | | 6.75% 15 Dec 2019 | | 500,000 | | | | 506,875 | |
| | OOREDOO INTERNATIONAL FI | | 4.75% 16 Feb 2021 | | 200,000 | | | | 219,250 | |
| | PETROBRAS GLOBAL FINANCE | | 6.25% 17 Mar 2024 | | 1,400,000 | | | | 1,004,500 | |
| | PETROBRAS GLOBAL FINANCE | | 1% 17 Mar 2020 | | 200,000 | | | | 142,000 | |
| | PETROBRAS GLOBAL FINANCE | | 7.25% 17 Mar 2044 | | 1,000,000 | | | | 675,000 | |
| | PETROLEOS DE VENEZUELA S | | 5.375% 12 Apr 2027 | | 1,100,000 | | | | 398,750 | |
| | PETROLEOS MEXICANOS | | 4.875% 24 Jan 2022 | | 2,500,000 | | | | 2,406,250 | |
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| | PLATFORM SPECIALTY PROD | | 6.5% 01 Feb 2022 | | 200,000 | | | | 173,000 | |
| | POLAND GOVERNMENT BOND | | 2.5% 25 Jul 2018 | | 600,000 | | | | 154,609 | |
| | POLAND GOVERNMENT BOND | | 5.25% 25 Oct 2020 | | 17,000,000 | | | | 4,892,566 | |
| | POLAND GOVERNMENT BOND | | 4% 25 Oct 2023 | | 10,060,000 | | | | 2,757,682 | |
| | POLISH ZLOTY | | FOREIGN CURRENCY | | 900 | | | | 228 | |
| | POUND STERLING | | FOREIGN CURRENCY | | 3,500 | | | | 5,159 | |
| | QTS LP/FINANCE | | 5.875% 01 Aug 2022 | | 2,700,000 | | | | 2,754,000 | |
| | RED OAK POWER LLC | | 9.2% 30 Nov 2029 | | 800,000 | | | | 852,000 | |
| | REGENCY ENERGY PART/FINA | | 5% 01 Oct 2022 | | 1,100,000 | | | | 974,465 | |
| | REGENCY ENERGY PART/FINA | | 5.75% 01 Sep 2020 | | 300,000 | | | | 293,073 | |
| | REGENCY ENERGY PARTNERS | | 4.5% 01 Nov 2023 | | 700,000 | | | | 605,598 | |
| | RELIANCE HOLDINGS USA | | 5.4% 14 Feb 2022 | | 300,000 | | | | 324,434 | |
| | REPUBLIC OF COSTA RICA | | 7% 04 Apr 2044 | | 400,000 | | | | 333,500 | |
| | REPUBLIC OF EL SALVADOR | | 7.625% 01 Feb 2041 | | 500,000 | | | | 423,125 | |
| | REPUBLIC OF EL SALVADOR | | 7.65% 15 Jun 2035 | | 100,000 | | | | 85,250 | |
| | REPUBLIC OF INDONESIA | | 6.75% 15 Jan 2044 | | 1,100,000 | | | | 1,178,987 | |
| | REPUBLIC OF INDONESIA | | 11.625% 04 Mar 2019 | | 600,000 | | | | 753,494 | |
| | REPUBLIC OF INDONESIA | | 5.875% 13 Mar 2020 | | 400,000 | | | | 433,577 | |
| | REPUBLIC OF INDONESIA | | 5.125% 15 Jan 2045 | | 200,000 | | | | 180,869 | |
| | REPUBLIC OF INDONESIA | | 8.5% 12 Oct 2035 | | 100,000 | | | | 124,375 | |
| | REPUBLIC OF PANAMA | | 9.375% 01 Apr 2029 | | 653,000 | | | | 940,320 | |
| | REPUBLIC OF PANAMA | | 6.7% 26 Jan 2036 | | 200,000 | | | | 237,500 | |
| | REPUBLIC OF PERU | | 5.7% 12 Aug 2024 | | 2,860,000 | | | | 761,131 | |
| | REPUBLIC OF PERU | | 6.95% 12 Aug 2031 | | 500,000 | | | | 136,412 | |
| | REPUBLIC OF PERU | | 8.75% 21 Nov 2033 | | 255,000 | | | | 359,550 | |
| | REPUBLIC OF POLAND | | 6.375% 15 Jul 2019 | | 430,000 | | | | 491,275 | |
| | REPUBLIC OF SOUTH AFRICA | | 10.5% 21 Dec 2026 | | 20,000,000 | | | | 1,362,976 | |
| | REPUBLIC OF SOUTH AFRICA | | 6.75% 31 Mar 2021 | | 46,000,000 | | | | 2,657,396 | |
| | REPUBLIC OF SOUTH AFRICA | | 7% 28 Feb 2031 | | 51,500,000 | | | | 2,533,439 | |
| | REPUBLIC OF SOUTH AFRICA | | 8% 21 Dec 2018 | | 60,000,000 | | | | 3,779,874 | |
| | REPUBLIC OF SOUTH AFRICA | | 6.25% 08 Mar 2041 | | 1,500,000 | | | | 1,530,000 | |
| | REPUBLIC OF TURKEY | | 7% 11 Mar 2019 | | 100,000 | | | | 109,376 | |
| | REPUBLIC OF TURKEY | | 6.875% 17 Mar 2036 | | 1,000,000 | | | | 1,119,880 | |
| | REPUBLIC OF TURKEY | | 7% 05 Jun 2020 | | 500,000 | | | | 556,327 | |
| | REPUBLIC OF TURKEY | | 5.625% 30 Mar 2021 | | 1,400,000 | | | | 1,480,366 | |
| | REPUBLIC OF TURKEY | | 5.75% 22 Mar 2024 | | 200,000 | | | | 211,304 | |
| | REPUBLICA ORIENT URUGUAY | | 5.1% 18 Jun 2050 | | 800,000 | | | | 690,000 | |
| | REPUBLICA ORIENT URUGUAY | | 7.625% 21 Mar 2036 | | 100,000 | | | | 123,500 | |
| | REYNOLDS GRP ISS/REYNOLD | | 8.5% 15 May 2018 | | 1,300,000 | | | | 1,285,375 | |
| | REYNOLDS GRP ISS/REYNOLD | | 7.125% 15 Apr 2019 | | 146,000 | | | | 148,646 | |
| | RIO OIL FINANCE TRUST | | 9.25% 06 Jul 2024 | | 1,500,000 | | | | 1,110,000 | |
| | ROCKIES EXPRESS PIPELINE | | 5.625% 15 Apr 2020 | | 100,000 | | | | 92,000 | |
| | ROCKIES EXPRESS PIPELINE | | 6% 15 Jan 2019 | | 300,000 | | | | 285,000 | |
| | ROMANIA | | 3.625% 24 Apr 2024 | | 500,000 | | | | 594,070 | |
| | ROMANIA | | 2.875% 28 Oct 2024 | | 700,000 | | | | 785,873 | |
| | ROMANIAN LEU | | FOREIGN CURRENCY | | 600 | | | | 144 | |
| | SABINE PASS LIQUEFACTION | | 5.625% 15 Apr 2023 | | 500,000 | | | | 438,750 | |
| | SABINE PASS LIQUEFACTION | | 5.625% 01 Feb 2021 | | 500,000 | | | | 460,000 | |
| | SABINE PASS LIQUEFACTION | | 5.75% 15 May 2024 | | 1,300,000 | | | | 1,131,000 | |
| | SCHAEFFLER HLDG FIN BV | | 5.75% 15 Nov 2021 | | 300,000 | | | | 349,110 | |
| | SCHAEFFLER HLDG FIN BV | | 6.75% 15 Nov 2022 | | 200,000 | | | | 215,000 | |
| | SCHAEFFLER HLDG FIN BV | | 6.25% 15 Nov 2019 | | 200,000 | | | | 209,000 | |
| | SIBUR SECURITIES LTD | | 3.914% 31 Jan 2018 | | 300,000 | | | | 291,024 | |
| | SINOPEC GRP OVERSEA 2014 | | 4.375% 10 Apr 2024 | | 400,000 | | | | 413,257 | |
| | SLM STUDENT LOAN TRUST | | 1% 15 Aug 2025 | | 47,890 | | | | 48,002 | |
| | SOCIETE GENERALE | | 1% 29 Dec 2049 | | 800,000 | | | | 815,254 | |
| | SOUTH AFRICAN RAND | | FOREIGN CURRENCY | | 865 | | | | 56 | |
| | SPIRIT ISSUER PLC | | 6.582% 28 Dec 2027 | | 200,000 | | | | 306,571 | |
| | SPRINT CAPITAL CORP | | 6.875% 15 Nov 2028 | | 1,000,000 | | | | 697,500 | |
| | SPRINT CAPITAL CORP | | 6.9% 01 May 2019 | | 2,500,000 | | | | 2,037,500 | |
| | SPRINT COMMUNICATIONS | | 6% 15 Nov 2022 | | 600,000 | | | | 423,000 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 755,383 | | | | 755,383 | |
| | STATE OF QATAR | | 5.25% 20 Jan 2020 | | 200,000 | | | | 220,950 | |
| | STATION CASINOS LLC | | 1% 02 Mar 2020 | | 451,881 | | | | 441,998 | |
| | STRUCTURED ASSET SECURITIES CO | | 1% 25 Jun 2033 | | 28,986 | | | | 28,388 | |
| | SWAP BANK OF AMERICA COC | | SWAP CASH COLLATERAL USD | | 480,000 | | | | 480,000 | |
| | SWAP BARCLAYS BANK COC | | SWAP CASH COLLATERAL USD | | 290,000 | | | | 290,000 | |
| | SWAP CITIBANK COC | | SWAP CASH COLLATERAL USD | | 170,000 | | | | 170,000 | |
| | SWAP DEUTSCHE BANK BOC | | SWAP CASH COLLATERAL USD | | (80,000 | ) | | | (80,000 | ) |
| | SWAP GOLDMAN SACHS COC | | SWAP CASH COLLATERAL USD | | 291,000 | | | | 291,000 | |
| | SWAP HSBC COC | | SWAP CASH COLLATERAL USD | | 630,000 | | | | 630,000 | |
| | SWAP JP MORGAN COC | | SWAP CASH COLLATERAL USD | | 340,000 | | | | 340,000 | |
| | SWPC03J43 CDS USD P V 03MEVENT | | 1% 20 Jun 2019 | | (100,000 | ) | | | (100,000 | ) |
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Table of Contents
| | SWPC03J43 CDS USD R F 5.00000 | | 5% 20 Jun 2019 | | 100,000 | | | | 103,331 | |
| | SWPC04FJ2 CDS USD P V 03MEVENT | | 1% 20 Jun 2019 | | (1,300,000 | ) | | | (1,300,000 | ) |
| | SWPC04FJ2 CDS USD R F 1.00000 | | 1% 20 Jun 2019 | | 1,300,000 | | | | 1,199,834 | |
| | SWPC04FK9 CDS USD P V 03MEVENT | | 1% 20 Jun 2019 | | (200,000 | ) | | | (200,000 | ) |
| | SWPC04FK9 CDS USD R F 1.00000 | | 1% 20 Jun 2019 | | 200,000 | | | | 184,590 | |
| | SWPC04FM5 CDS USD P V 03MEVENT | | 1% 20 Jun 2019 | | (200,000 | ) | | | (200,000 | ) |
| | SWPC04FM5 CDS USD R F 1.00000 | | 1% 20 Jun 2019 | | 200,000 | | | | 184,653 | |
| | SWPC08IX9 CDS USD P V 03MEVENT | | 1% 20 Mar 2020 | | (700,000 | ) | | | (700,000 | ) |
| | SWPC08IX9 CDS USD R F 1.00000 | | 1% 20 Mar 2020 | | 700,000 | | | | 641,774 | |
| | SWPC09IJ8 CDS USD P V 03MEVENT | | 1% 20 Mar 2020 | | (300,000 | ) | | | (300,000 | ) |
| | SWPC09IJ8 CDS USD R F 1.00000 | | 1% 20 Mar 2020 | | 300,000 | | | | 275,046 | |
| | SWPC09J81 CDS USD P V 03MEVENT | | 1% 20 Mar 2020 | | (500,000 | ) | | | (500,000 | ) |
| | SWPC09J81 CDS USD R F 1.00000 | | 1% 20 Mar 2020 | | 500,000 | | | | 458,410 | |
| | SWPC09OW2 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (12,672,000 | ) | | | (12,672,000 | ) |
| | SWPC09OW2 CDS USD R F 5.00000 | | 5% 20 Jun 2020 | | 12,672,000 | | | | 13,144,803 | |
| | SWPC0A2T0 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (400,000 | ) | | | (400,000 | ) |
| | SWPC0A2T0 CDS USD R F 5.00000 | | 5% 20 Jun 2020 | | 400,000 | | | | 147,493 | |
| | SWPC0A5M2 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (100,000 | ) | | | (100,000 | ) |
| | SWPC0A5M2 CDS USD R F 5.00000 | | 5% 20 Jun 2020 | | 100,000 | | | | 36,873 | |
| | SWPC0AAP9 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (800,000 | ) | | | (800,000 | ) |
| | SWPC0AAP9 CDS USD R F 1.00000 | | 1% 20 Jun 2020 | | 800,000 | | | | 748,157 | |
| | SWPC0AK29 CDS USD P V 03MEVENT | | 1% 20 Sep 2020 | | (100,000 | ) | | | (100,000 | ) |
| | SWPC0AK29 CDS USD R F 5.00000 | | 5% 20 Sep 2020 | | 100,000 | | | | 36,703 | |
| | SWPC0AN75 CDS USD P V 03MEVENT | | 1% 20 Sep 2020 | | (200,000 | ) | | | (200,000 | ) |
| | SWPC0AN75 CDS USD R F 5.00000 | | 5% 20 Sep 2020 | | 200,000 | | | | 58,980 | |
| | SWPC0AS21 CDS USD P V 03MEVENT | | 1% 20 Sep 2020 | | (300,000 | ) | | | (300,000 | ) |
| | SWPC0AS21 CDS USD R F 5.00000 | | 5% 20 Sep 2020 | | 300,000 | | | | 110,110 | |
| | SWPC0AS39 CDS USD P V 03MEVENT | | 1% 20 Sep 2020 | | (200,000 | ) | | | (200,000 | ) |
| | SWPC0AS39 CDS USD R F 5.00000 | | 5% 20 Sep 2020 | | 200,000 | | | | 73,407 | |
| | SWPC0ASI6 CDS USD P V 03MEVENT | | 1% 20 Sep 2020 | | (200,000 | ) | | | (200,000 | ) |
| | SWPC0ASI6 CDS USD R F 5.00000 | | 5% 20 Sep 2020 | | 200,000 | | | | 73,407 | |
| | SWPC0ATI5 CDS USD P V 03MEVENT | | 1% 20 Sep 2020 | | (100,000 | ) | | | (100,000 | ) |
| | SWPC0ATI5 CDS USD R F 5.00000 | | 5% 20 Sep 2020 | | 100,000 | | | | 36,703 | |
| | SWPC0AUL6 CDS USD P V 03MEVENT | | 1% 20 Sep 2020 | | (300,000 | ) | | | (300,000 | ) |
| | SWPC0AUL6 CDS USD R F 5.00000 | | 5% 20 Sep 2020 | | 300,000 | | | | 110,110 | |
| | SWPC0B5C2 CDS USD P V 03MEVENT | | 1% 20 Dec 2020 | | (13,800,000 | ) | | | (13,800,000 | ) |
| | SWPC0B5C2 CDS USD R F 5.00000 | | 5% 20 Dec 2020 | | 13,800,000 | | | | 13,965,904 | |
| | SWPC271W9 CDS USD P V 03MEVENT | | 1% 20 Mar 2018 | | (300,000 | ) | | | (300,000 | ) |
| | SWPC271W9 CDS USD R F 1.00000 | | 1% 20 Mar 2018 | | 300,000 | | | | 298,407 | |
| | SWPC325X3 CDS USD P V 03MEVENT | | 1% 20 Mar 2020 | | (500,000 | ) | | | (500,000 | ) |
| | SWPC325X3 CDS USD R F 5.00000 | | 5% 20 Mar 2020 | | 500,000 | | | | 562,852 | |
| | SWPC485N1 CDS USD P V 03MEVENT | | 1% 20 Sep 2016 | | (300,000 | ) | | | (300,000 | ) |
| | SWPC485N1 CDS USD R F 5.00000 | | 5% 20 Sep 2016 | | 300,000 | | | | 308,051 | |
| | SWPC5GZ74 CDS USD P V 03MEVENT | | 1% 20 Dec 2020 | | (400,000 | ) | | | (400,000 | ) |
| | SWPC5GZ74 CDS USD R F 1.00000 | | 1% 20 Dec 2020 | | 400,000 | | | | 390,344 | |
| | SWPC639M8 CDS USD P V 03MEVENT | | 1% 20 Jun 2016 | | (1,100,000 | ) | | | (1,100,000 | ) |
| | SWPC639M8 CDS USD R F 5.00000 | | 5% 20 Jun 2016 | | 1,100,000 | | | | 1,121,325 | |
| | SWPC683W1 CDS USD P V 03MEVENT | | 1% 20 Mar 2018 | | (200,000 | ) | | | (200,000 | ) |
| | SWPC683W1 CDS USD R F 5.00000 | | 5% 20 Mar 2018 | | 200,000 | | | | 221,400 | |
| | SWU009NI4 IRS COP P V 00MCOOVI | | 1% 08 Jul 2024 | | (3,000,000,000 | ) | | | (945,031 | ) |
| | SWU009NI4 IRS COP R F 6.17000 | | 6.17% 08 Jul 2024 | | 3,000,000,000 | | | | 883,483 | |
| | SWU00BT10 IRS EUR P V 06MEURIB | | 1% 16 Mar 2046 | | (2,300,000 | ) | | | (2,498,490 | ) |
| | SWU00BT10 IRS EUR R F 1.50000 | | 1.5% 16 Mar 2046 | | 2,300,000 | | | | 2,421,001 | |
| | SWU00D7O0 IRS USD P V 03MLIBOR | | 1% 16 Dec 2025 | | (17,400,000 | ) | | | (17,400,000 | ) |
| | SWU00D7O0 IRS USD R F 2.50000 | | 2.5% 16 Dec 2025 | | 17,400,000 | | | | 17,858,449 | |
| | SWU00FLJ0 IRS USD P V 03MLIBOR | | 1% 15 Jun 2046 | | (1,100,000 | ) | | | (1,100,000 | ) |
| | SWU00FLJ0 IRS USD R F 2.50000 | | 2.5% 15 Jun 2046 | | 1,100,000 | | | | 1,050,769 | |
| | SYNCHRONY FINANCIAL | | 2.7% 03 Feb 2020 | | 100,000 | | | | 98,083 | |
| | T MOBILE USA INC | | 6.25% 01 Apr 2021 | | 300,000 | | | | 309,000 | |
| | T MOBILE USA INC | | 6% 01 Mar 2023 | | 1,600,000 | | | | 1,620,000 | |
| | TARGA RESOURCES PARTNERS | | 4.25% 15 Nov 2023 | | 700,000 | | | | 539,000 | |
| | TELENET FINANCE V | | 6.75% 15 Aug 2024 | | 100,000 | | | | 118,678 | |
| | TENET HEALTHCARE CORP | | 5% 01 Mar 2019 | | 500,000 | | | | 461,250 | |
| | TENET HEALTHCARE CORP | | 6% 01 Oct 2020 | | 600,000 | | | | 631,500 | |
| | TERRAFORM GLOBAL OPERATI | | 9.75% 15 Aug 2022 | | 1,000,000 | | | | 797,500 | |
| | TESORO LOGISTICS LP/CORP | | 5.5% 15 Oct 2019 | | 200,000 | | | | 194,000 | |
| | TESORO LOGISTICS LP/CORP | | 6.25% 15 Oct 2022 | | 300,000 | | | | 284,250 | |
| | THAILAND BAHT | | FOREIGN CURRENCY | | 263 | | | | 7 | |
| | THAILAND GOVERNMENT BOND | | 3.625% 16 Jun 2023 | | 63,000,000 | | | | 1,892,868 | |
| | THAILAND GOVERNMENT BOND | | 3.875% 13 Jun 2019 | | 145,000,000 | | | | 4,312,635 | |
| | TITULOS DE TESORERIA B | | 6% 28 Apr 2028 | | 8,300,000,000 | | | | 2,046,216 | |
| | TURKEY GOVERNMENT BOND | | 8.8% 27 Sep 2023 | | 10,000,000 | | | | 3,107,388 | |
| | TURKISH LIRA | | FOREIGN CURRENCY | | 1,236 | | | | 424 | |
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Table of Contents
| | TURKIYE GARANTI BANKASI | | 1% 20 Apr 2016 | | 200,000 | | | | 199,556 | |
| | UBS AG | | 5.125% 15 May 2024 | | 1,000,000 | | | | 1,010,000 | |
| | UBS AG STAMFORD CT | | 7.625% 17 Aug 2022 | | 1,300,000 | | | | 1,482,000 | |
| | UNITED MEXICAN STATES | | 4.6% 23 Jan 2046 | | 1,449,000 | | | | 1,282,365 | |
| | UNITED MEXICAN STATES | | 4.75% 08 Mar 2044 | | 300,000 | | | | 273,300 | |
| | UNITED RENTALS NORTH AM | | 8.25% 01 Feb 2021 | | 600,000 | | | | 627,750 | |
| | UPCB FINANCE VI LTD | | 6.875% 15 Jan 2022 | | 1,800,000 | | | | 1,903,500 | |
| | US 10YR NOTE (CBT)MAR16 | | XCBT 20160321 | | 18,500,000 | | | | (37,564 | ) |
| | US DOLLAR | | | | (276,825 | ) | | | (276,825 | ) |
| | USG CORP | | 9.75% 15 Jan 2018 | | 200,000 | | | | 222,500 | |
| | VALE OVERSEAS LIMITED | | 4.625% 15 Sep 2020 | | 300,000 | | | | 249,171 | |
| | VALEANT PHARMACEUTICALS | | 6.125% 15 Apr 2025 | | 800,000 | | | | 714,000 | |
| | VALEANT PHARMACEUTICALS INTL I | | 1% 11 Dec 2019 | | 852,793 | | | | 821,666 | |
| | VIMPELCOM HLDGS | | 5.95% 13 Feb 2023 | | 2,000,000 | | | | 1,843,500 | |
| | VIMPELCOM HOLDINGS BV | | 5.2% 13 Feb 2019 | | 600,000 | | | | 588,150 | |
| | VIRGIN MEDIA INVESTMENT HOLDIN | | 1% 30 Jun 2023 | | 67,332 | | | | 65,849 | |
| | VIRGIN MEDIA SECURED FIN | | 6% 15 Apr 2021 | | 270,000 | | | | 410,966 | |
| | WEA FINANCE LLC/WESTFIEL | | 3.75% 17 Sep 2024 | | 200,000 | | | | 198,883 | |
| | WHITING PETROLEUM CORP | | 5% 15 Mar 2019 | | 800,000 | | | | 604,000 | |
| | WIND ACQUISITION FIN SA | | 4% 15 Jul 2020 | | 1,000,000 | | | | 1,080,869 | |
| | WIND ACQUISITION FIN SA | | 7.375% 23 Apr 2021 | | 1,300,000 | | | | 1,228,500 | |
| | WINDSTREAM SERVICES LLC | | 7.875% 01 Nov 2017 | | 200,000 | | | | 204,602 | |
| | WYNN LAS VEGAS LLC/CORP | | 4.25% 30 May 2023 | | 1,400,000 | | | | 1,197,875 | |
| | Currency Contract | | USD/AUD | | | | | | (40,233 | ) |
| | Currency Contract | | USD/BRL | | | | | | 10,835 | |
| | Currency Contract | | BRL/USD | | | | | | (10,817 | ) |
| | Currency Contract | | BRL/USD | | | | | | (53,376 | ) |
| | Currency Contract | | USD/BRL | | | | | | 2,092,951 | |
| | Currency Contract | | COP/USD | | | | | | (279,152 | ) |
| | Currency Contract | | EUR/USD | | | | | | (303 | ) |
| | Currency Contract | | EUR/USD | | | | | | 13,642 | |
| | Currency Contract | | USD/EUR | | | | | | (114,613 | ) |
| | Currency Contract | | HUF/USD | | | | | | 34,395 | |
| | Currency Contract | | IDR/USD | | | | | | 250 | |
| | Currency Contract | | IDR/USD | | | | | | (0 | ) |
| | Currency Contract | | USD/JPY | | | | | | (1,008 | ) |
| | Currency Contract | | USD/JPY | | | | | | (736 | ) |
| | Currency Contract | | USD/JPY | | | | | | (997 | ) |
| | Currency Contract | | USD/JPY | | | | | | (107,264 | ) |
| | Currency Contract | | JPY/USD | | | | | | 1,002 | |
| | Currency Contract | | JPY/USD | | | | | | 38,831 | |
| | Currency Contract | | MYR/USD | | | | | | 8,441 | |
| | Currency Contract | | MXN/USD | | | | | | (99,685 | ) |
| | Currency Contract | | RUB/USD | | | | | | (332,506 | ) |
| | Currency Contract | | RUB/USD | | | | | | (166,037 | ) |
| | Currency Contract | | USD/RUB | | | | | | 74,340 | |
| | Currency Contract | | RUB/USD | | | | | | (68,009 | ) |
| | Currency Contract | | USD/TWD | | | | | | 13,937 | |
| | Currency Contract | | PEN/USD | | | | | | (10,333 | ) |
| | Currency Contract | | PHP/USD | | | | | | (61 | ) |
| | Currency Contract | | PLN/USD | | | | | | 12,642 | |
| | Currency Contract | | GBP/USD | | | | | | (20,570 | ) |
| | Currency Contract | | GBP/USD | | | | | | (8,375 | ) |
| | Currency Contract | | USD/GBP | | | | | | 68,907 | |
| | Currency Contract | | USD/GBP | | | | | | 20,449 | |
| | Currency Contract | | RON/USD | | | | | | (25,431 | ) |
| | Currency Contract | | USD/SGD | | | | | | 11,041 | |
| | Currency Contract | | ZAR/USD | | | | | | (7,379 | ) |
| | Currency Contract | | USD/ZAR | | | | | | 87,905 | |
| | Currency Contract | | USD/KRW | | | | | | 887 | |
| | Currency Contract | | USD/THB | | | | | | 9,228 | |
| | Currency Contract | | THB/USD | | | | | | 16,940 | |
| | Currency Contract | | THB/USD | | | | | | 171 | |
| | Currency Contract | | TRY/USD | | | | | | 82,634 | |
| | Currency Contract | | USD/CNY | | | | | | 30,644 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT H - High Yield and Emerging Markets Bond Fund | | $ | 228,957,600 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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EXHIBIT I - Emerging Markets Debt Fund
(Administered by Lazard)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | ARAB REPUBLIC OF EGYPT | | 5.875% 11 Jun 2025 | | 445,000 | | | | $ | 385,682 | |
| | ARAB REPUBLIC OF EGYPT | | 5.75% 29 Apr 2020 | | 200,000 | | | | 193,800 | |
| | ARAB REPUBLIC OF EGYPT | | 5.875% 11 Jun 2025 | | 160,000 | | | | 138,672 | |
| | BRAZILIAN REAL | | | | 142,547 | | | | 36,031 | |
| | COLOMBIAN PESO | | | | 948,000,002 | | | | 298,630 | |
| | COSTA RICA GOVERNMENT | | 4.375% 30 Apr 2025 | | 400,000 | | | | 336,000 | |
| | COSTA RICA GOVERNMENT | | 4.25% 26 Jan 2023 | | 200,000 | | | | 175,000 | |
| | CROATIA | | 6% 26 Jan 2024 | | 200,000 | | | | 208,346 | |
| | CROATIA | | 6.625% 14 Jul 2020 | | 550,000 | | | | 589,353 | |
| | CROATIA | | 6.375% 24 Mar 2021 | | 430,000 | | | | 456,660 | |
| | CROATIA | | 5.5% 04 Apr 2023 | | 350,000 | | | | 355,320 | |
| | CROATIA | | 6.625% 14 Jul 2020 | | 420,000 | | | | 450,051 | |
| | DOMINICAN REPUBLIC | | 7.45% 30 Apr 2044 | | 555,000 | | | | 559,163 | |
| | DOMINICAN REPUBLIC | | 6.85% 27 Jan 2045 | | 840,000 | | | | 791,700 | |
| | DOMINICAN REPUBLIC | | 5.875% 18 Apr 2024 | | 550,000 | | | | 548,625 | |
| | DOMINICAN REPUBLIC | | 7.5% 06 May 2021 | | 250,000 | | | | 268,125 | |
| | DOMINICAN REPUBLIC | | 5.5% 27 Jan 2025 | | 100,000 | | | | 96,250 | |
| | EMPRESAS PUBLIC MEDELLIN | | 8.375% 01 Feb 2021 | | 280,000,000 | | | | 84,216 | |
| | FED REPUBLIC OF BRAZIL | | 4.875% 22 Jan 2021 | | 650,000 | | | | 601,250 | |
| | FED REPUBLIC OF BRAZIL | | 4.25% 07 Jan 2025 | | 365,000 | | | | 293,825 | |
| | GOVERNMENT OF JAMAICA | | 6.75% 28 Apr 2028 | | 440,000 | | | | 436,700 | |
| | GOVERNMENT OF JAMAICA | | 8% 24 Jun 2019 | | 140,000 | | | | 150,150 | |
| | GOVERNMENT OF JAMAICA | | 8.5% 28 Feb 2036 | | 100,000 | | | | 106,375 | |
| | HUNGARY | | 5.375% 25 Mar 2024 | | 720,000 | | | | 788,400 | |
| | HUNGARY | | 5.375% 21 Feb 2023 | | 586,000 | | | | 638,740 | |
| | HUNGARY | | 5.75% 22 Nov 2023 | | 50,000 | | | | 55,945 | |
| | HUNGARY | | 7.625% 29 Mar 2041 | | 178,000 | | | | 240,855 | |
| | HUNGARY | | 6.375% 29 Mar 2021 | | 132,000 | | | | 150,480 | |
| | HUNGARY GOVERNMENT BOND | | 6% 24 Nov 2023 | | 193,610,000 | | | | 786,086 | |
| | HUNGARY GOVERNMENT BOND | | 7.5% 12 Nov 2020 | | 61,150,000 | | | | 255,657 | |
| | HUNGARY GOVERNMENT BOND | | 6.5% 24 Jun 2019 | | 327,260,000 | | | | 1,274,470 | |
| | HUNGARY GOVERNMENT BOND | | 2.5% 22 Jun 2018 | | 182,500,000 | | | | 631,929 | |
| | HUNGARY GOVERNMENT BOND | | 3.5% 24 Jun 2020 | | 58,000,000 | | | | 207,237 | |
| | HUNGARY GOVERNMENT BOND | | 5.5% 24 Jun 2025 | | 381,650,000 | | | | 1,532,682 | |
| | HUNGARY GOVERNMENT BOND | | 4% 25 Apr 2018 | | 54,840,000 | | | | 196,169 | |
| | INDONESIA GOVERNMENT | | 8.375% 15 Sep 2026 | | 11,083,000,000 | | | | 783,175 | |
| | INDONESIA GOVERNMENT | | 8.375% 15 Mar 2024 | | 18,964,000,000 | | | | 1,337,550 | |
| | INDONESIA GOVERNMENT | | 8.375% 15 Mar 2034 | | 30,979,000,000 | | | | 2,104,415 | |
| | INDONESIA GOVERNMENT | | 6.625% 15 May 2033 | | 2,882,000,000 | | | | 164,263 | |
| | INDONESIA GOVERNMENT | | 6.125% 15 May 2028 | | 13,600,000,000 | | | | 774,603 | |
| | INDONESIA GOVERNMENT | | 7.875% 15 Apr 2019 | | 35,693,000,000 | | | | 2,517,748 | |
| | INDONESIA GOVERNMENT | | 9.5% 15 Jul 2031 | | 7,800,000,000 | | | | 584,731 | |
| | INDONESIA GOVERNMENT | | 9% 15 Mar 2029 | | 2,399,000,000 | | | | 174,103 | |
| | INDONESIAN RUPIAH | | | | 319,815,018 | | | | 23,200 | |
| | ISLAMIC REP OF PAKISTAN | | 8.25% 30 Sep 2025 | | 300,000 | | | | 304,847 | |
| | ISLAMIC REP OF PAKISTAN | | 7.25% 15 Apr 2019 | | 275,000 | | | | 280,084 | |
| | ISLAMIC REP OF PAKISTAN | | 8.25% 15 Apr 2024 | | 405,000 | | | | 415,288 | |
| | IVORY COAST | | 1% 31 Dec 2032 | | 3,202,000 | | | | 2,846,386 | |
| | KAZMUNAYGAS NATIONAL CO | | 9.125% 02 Jul 2018 | | 825,000 | | | | 906,675 | |
| | KINGDOM OF JORDAN | | 6.125% 29 Jan 2026 | | 380,000 | | | | 387,220 | |
| | KINGDOM OF MOROCCO | | 4.25% 11 Dec 2022 | | 300,000 | | | | 297,000 | |
| | LETRA TESOURO NACIONAL | | 0.01% 01 Jan 2019 | | 31,270,000 | | | | 4,994,395 | |
| | LETRA TESOURO NACIONAL | | 0.01% 01 Jan 2017 | | 4,830,000 | | | | 1,054,552 | |
| | | | | | | | | | | | |
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| | LETRA TESOURO NACIONAL | | 0.01% 01 Jul 2019 | | 1,770,000 | | | | 262,196 | |
| | MALAYSIA GOVERNMENT | | 4.048% 30 Sep 2021 | | 8,750,000 | | | | 2,048,317 | |
| | MALAYSIA GOVERNMENT | | 3.654% 31 Oct 2019 | | 7,160,000 | | | | 1,680,625 | |
| | MALAYSIA GOVERNMENT | | 3.795% 30 Sep 2022 | | 3,260,000 | | | | 747,458 | |
| | MALAYSIA GOVERNMENT | | 4.262% 15 Sep 2016 | | 3,030,000 | | | | 715,617 | |
| | MALAYSIA GOVERNMENT | | 4.181% 15 Jul 2024 | | 4,900,000 | | | | 1,137,158 | |
| | MALAYSIA GOVERNMENT | | 3.955% 15 Sep 2025 | | 6,320,000 | | | | 1,444,010 | |
| | MEX BONOS DESARR FIX RT | | 7.75% 13 Nov 2042 | | 6,686,000 | | | | 423,009 | |
| | MEX BONOS DESARR FIX RT | | 10% 20 Nov 2036 | | 5,009,000 | | | | 387,869 | |
| | MEX BONOS DESARR FIX RT | | 10% 05 Dec 2024 | | 49,562,000 | | | | 3,612,433 | |
| | MEX BONOS DESARR FIX RT | | 5% 11 Dec 2019 | | 78,750,000 | | | | 4,513,028 | |
| | MEXICAN PESO (NEW) | | | | 46 | | | | 3 | |
| | MEXICAN UDIBONOS | | 4% 15 Nov 2040 | | 2,059,810 | | | | 120,765 | |
| | NOTA DO TESOURO NACIONAL | | 10% 01 Jan 2025 | | 2,250,000 | | | | 406,762 | |
| | NOTA DO TESOURO NACIONAL | | 6% 15 Aug 2050 | | 1,010,000 | | | | 616,838 | |
| | NOTA DO TESOURO NACIONAL | | 10% 01 Jan 2023 | | 5,265,000 | | | | 998,839 | |
| | PERUSAHAAN PENERBIT SBSN | | 4.325% 28 May 2025 | | 370,000 | | | | 352,906 | |
| | PETROLEOS DE VENEZUELA S | | 6% 16 May 2024 | | 500,000 | | | | 186,250 | |
| | PETROLEOS DE VENEZUELA S | | 5.375% 12 Apr 2027 | | 150,000 | | | | 54,375 | |
| | PETROLEOS DE VENEZUELA S | | 5.5% 12 Apr 2037 | | 640,000 | | | | 232,000 | |
| | PETROLEOS MEXICANOS | | 5.5% 27 Jun 2044 | | 662,000 | | | | 498,049 | |
| | PETROLEOS MEXICANOS | | 8% 03 May 2019 | | 100,000 | | | | 110,087 | |
| | PETROLEOS MEXICANOS | | 6.375% 23 Jan 2045 | | 595,000 | | | | 503,597 | |
| | PETRONAS CAPITAL LTD | | 3.5% 18 Mar 2025 | | 815,000 | | | | 783,380 | |
| | PHILIPPINE GOVERNMENT | | 4.125% 20 Aug 2024 | | 20,000,000 | | | | 422,365 | |
| | POLAND GOVERNMENT BOND | | 2.5% 25 Jul 2018 | | 650,000 | | | | 167,493 | |
| | POLAND GOVERNMENT BOND | | 5.75% 23 Sep 2022 | | 21,595,000 | | | | 6,498,269 | |
| | POLAND GOVERNMENT BOND | | 4.75% 25 Oct 2016 | | 750,000 | | | | 194,759 | |
| | POLAND GOVERNMENT BOND | | 5.25% 25 Oct 2020 | | 1,080,000 | | | | 310,822 | |
| | POLAND GOVERNMENT BOND | | 1.5% 25 Apr 2020 | | 1,800,000 | | | | 441,845 | |
| | POLAND GOVERNMENT BOND | | 3.25% 25 Jul 2025 | | 2,530,000 | | | | 658,942 | |
| | POLISH ZLOTY | | | | 15,666 | | | | 3,967 | |
| | REPUBLIC OF ANGOLA | | 9.5% 12 Nov 2025 | | 825,000 | | | | 767,250 | |
| | REPUBLIC OF ARGENTINA | | 8.28% 31 Dec 2033 | | 1,591,313 | | | | 1,830,010 | |
| | REPUBLIC OF AZERBAIJAN | | 4.75% 18 Mar 2024 | | 425,000 | | | | 396,432 | |
| | REPUBLIC OF BELIZE | | 1% 20 Feb 2038 | | 575,000 | | | | 414,000 | |
| | REPUBLIC OF CHILE | | 5.5% 05 Aug 2020 | | 50,000,000 | | | | 72,608 | |
| | REPUBLIC OF COLOMBIA | | 4% 26 Feb 2024 | | 316,000 | | | | 300,990 | |
| | REPUBLIC OF COLOMBIA | | 7.75% 14 Apr 2021 | | 2,042,000,000 | | | | 654,508 | |
| | REPUBLIC OF COLOMBIA | | 7.375% 18 Sep 2037 | | 275,000 | | | | 303,188 | |
| | REPUBLIC OF COLOMBIA | | 4.375% 12 Jul 2021 | | 450,000 | | | | 452,250 | |
| | REPUBLIC OF COSTA RICA | | 7% 04 Apr 2044 | | 200,000 | | | | 166,750 | |
| | REPUBLIC OF ECUADOR | | 7.95% 20 Jun 2024 | | 320,000 | | | | 236,000 | |
| | REPUBLIC OF ECUADOR | | 10.5% 24 Mar 2020 | | 200,000 | | | | 161,000 | |
| | REPUBLIC OF EL SALVADOR | | 6.375% 18 Jan 2027 | | 490,000 | | | | 414,050 | |
| | REPUBLIC OF EL SALVADOR | | 7.375% 01 Dec 2019 | | 250,000 | | | | 249,125 | |
| | REPUBLIC OF GABON | | 6.375% 12 Dec 2024 | | 300,000 | | | | 238,074 | |
| | REPUBLIC OF GHANA | | 7.875% 07 Aug 2023 | | 575,000 | | | | 453,158 | |
| | REPUBLIC OF GHANA | | 8.125% 18 Jan 2026 | | 195,000 | | | | 152,139 | |
| | REPUBLIC OF GUATEMALA | | 4.875% 13 Feb 2028 | | 90,000 | | | | 86,175 | |
| | REPUBLIC OF GUATEMALA | | 5.75% 06 Jun 2022 | | 95,000 | | | | 99,513 | |
| | REPUBLIC OF HONDURAS | | 8.75% 16 Dec 2020 | | 200,000 | | | | 221,000 | |
| | REPUBLIC OF INDONESIA | | 7.75% 17 Jan 2038 | | 340,000 | | | | 397,745 | |
| | REPUBLIC OF INDONESIA | | 5.25% 17 Jan 2042 | | 210,000 | | | | 189,631 | |
| | REPUBLIC OF INDONESIA | | 5.125% 15 Jan 2045 | | 530,000 | | | | 479,304 | |
| | REPUBLIC OF INDONESIA | | 4.125% 15 Jan 2025 | | 325,000 | | | | 311,460 | |
| | REPUBLIC OF INDONESIA | | 8.5% 12 Oct 2035 | | 225,000 | | | | 279,843 | |
| | REPUBLIC OF INDONESIA | | 3.75% 25 Apr 2022 | | 275,000 | | | | 263,423 | |
| | REPUBLIC OF INDONESIA | | 6.625% 17 Feb 2037 | | 50,000 | | | | 52,389 | |
| | REPUBLIC OF IRAQ | | 5.8% 15 Jan 2028 | | 400,000 | | | | 269,216 | |
| | REPUBLIC OF KAZAKHSTAN | | 3.875% 14 Oct 2024 | | 75,000 | | | | 70,313 | |
| | REPUBLIC OF KAZAKHSTAN | | 6.5% 21 Jul 2045 | | 675,000 | | | | 663,552 | |
| | REPUBLIC OF LITHUANIA | | 7.375% 11 Feb 2020 | | 685,000 | | | | 810,013 | |
| | REPUBLIC OF LITHUANIA | | 6.625% 01 Feb 2022 | | 100,000 | | | | 119,503 | |
| | REPUBLIC OF NAMIBIA | | 5.25% 29 Oct 2025 | | 790,000 | | | | 734,700 | |
| | REPUBLIC OF PANAMA | | 6.7% 26 Jan 2036 | | 750,000 | | | | 890,625 | |
| | REPUBLIC OF PANAMA | | 7.125% 29 Jan 2026 | | 260,000 | | | | 323,700 | |
| | REPUBLIC OF PANAMA | | 8.875% 30 Sep 2027 | | 280,000 | | | | 387,100 | |
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| | REPUBLIC OF PANAMA | | 3.75% 16 Mar 2025 | | 375,000 | | | | 367,500 | |
| | REPUBLIC OF PANAMA | | 4% 22 Sep 2024 | | 650,000 | | | | 650,000 | |
| | REPUBLIC OF PARAGUAY | | 4.625% 25 Jan 2023 | | 615,000 | | | | 596,550 | |
| | REPUBLIC OF PERU | | 6.9% 12 Aug 2037 | | 2,750,000 | | | | 729,258 | |
| | REPUBLIC OF PERU | | 6.95% 12 Aug 2031 | | 1,050,000 | | | | 286,465 | |
| | REPUBLIC OF POLAND | | 4% 22 Jan 2024 | | 200,000 | | | | 210,400 | |
| | REPUBLIC OF POLAND | | 5.125% 21 Apr 2021 | | 200,000 | | | | 222,658 | |
| | REPUBLIC OF POLAND | | 5% 23 Mar 2022 | | 442,000 | | | | 490,068 | |
| | REPUBLIC OF POLAND | | 3% 17 Mar 2023 | | 395,000 | | | | 391,050 | |
| | REPUBLIC OF POLAND | | 6.375% 15 Jul 2019 | | 350,000 | | | | 399,875 | |
| | REPUBLIC OF SERBIA | | 5.875% 03 Dec 2018 | | 200,000 | | | | 210,400 | |
| | REPUBLIC OF SERBIA | | 7.25% 28 Sep 2021 | | 425,000 | | | | 480,442 | |
| | REPUBLIC OF SLOVENIA | | 5.85% 10 May 2023 | | 1,210,000 | | | | 1,378,638 | |
| | REPUBLIC OF SOUTH AFRICA | | 8.25% 15 Sep 2017 | | 12,660,000 | | | | 814,381 | |
| | REPUBLIC OF SOUTH AFRICA | | 8.25% 31 Mar 2032 | | 23,930,000 | | | | 1,315,776 | |
| | REPUBLIC OF SOUTH AFRICA | | 6.5% 28 Feb 2041 | | 26,569,100 | | | | 1,134,226 | |
| | REPUBLIC OF SOUTH AFRICA | | 5.375% 24 Jul 2044 | | 245,000 | | | | 220,500 | |
| | REPUBLIC OF SOUTH AFRICA | | 5.5% 09 Mar 2020 | | 260,000 | | | | 266,850 | |
| | REPUBLIC OF SOUTH AFRICA | | 4.665% 17 Jan 2024 | | 270,000 | | | | 256,838 | |
| | REPUBLIC OF SOUTH AFRICA | | 6.25% 08 Mar 2041 | | 150,000 | | | | 153,000 | |
| | REPUBLIC OF SOUTH AFRICA | | 6.75% 31 Mar 2021 | | 1,760,000 | | | | 101,674 | |
| | REPUBLIC OF SOUTH AFRICA | | 10.5% 21 Dec 2026 | | 42,090,000 | | | | 2,868,384 | |
| | REPUBLIC OF SRI LANKA | | 5.875% 25 Jul 2022 | | 360,000 | | | | 328,515 | |
| | REPUBLIC OF SRI LANKA | | 6.85% 03 Nov 2025 | | 820,000 | | | | 772,421 | |
| | REPUBLIC OF TURKEY | | 6% 14 Jan 2041 | | 325,000 | | | | 332,069 | |
| | REPUBLIC OF TURKEY | | 7.5% 07 Nov 2019 | | 295,000 | | | | 330,775 | |
| | REPUBLIC OF TURKEY | | 4.25% 14 Apr 2026 | | 360,000 | | | | 337,519 | |
| | REPUBLIC OF TURKEY | | 7.375% 05 Feb 2025 | | 850,000 | | | | 992,460 | |
| | REPUBLIC OF VENEZUELA | | 7.65% 21 Apr 2025 | | 250,000 | | | | 92,500 | |
| | REPUBLIC OF VENEZUELA | | 9.375% 13 Jan 2034 | | 535,000 | | | | 209,988 | |
| | REPUBLIC OF VENEZUELA | | 9.25% 15 Sep 2027 | | 225,000 | | | | 92,250 | |
| | REPUBLIC OF VENEZUELA | | 8.25% 13 Oct 2024 | | 700,000 | | | | 266,000 | |
| | REPUBLIC OF VENEZUELA | | 9% 07 May 2023 | | 285,000 | | | | 113,288 | |
| | REPUBLIC OF VENEZUELA | | 7% 31 Mar 2038 | | 475,000 | | | | 176,938 | |
| | REPUBLIC OF VENEZUELA | | 6% 09 Dec 2020 | | 280,000 | | | | 104,300 | |
| | ROMANIA | | 6.125% 22 Jan 2044 | | 690,000 | | | | 807,300 | |
| | ROMANIA | | 4.375% 22 Aug 2023 | | 1,000 | | | | 1,041 | |
| | ROMANIA GOVERNMENT BOND | | 5.95% 11 Jun 2021 | | 1,210,000 | | | | 335,985 | |
| | ROMANIA GOVERNMENT BOND | | 4.75% 24 Feb 2025 | | 4,400,000 | | | | 1,137,650 | |
| | ROMANIAN LEU | | | | 0 | | | | 0 | |
| | RUSSIA GOVT BOND OFZ | | 7% 16 Aug 2023 | | 41,090,000 | | | | 486,239 | |
| | RUSSIA GOVT BOND OFZ | | 6.9% 03 Aug 2016 | | 38,450,000 | | | | 518,617 | |
| | RUSSIA GOVT BOND OFZ | | 7% 25 Jan 2023 | | 73,720,000 | | | | 878,792 | |
| | RUSSIA GOVT BOND OFZ | | 7.05% 19 Jan 2028 | | 16,580,000 | | | | 189,353 | |
| | RUSSIA GOVT BOND OFZ | | 7.6% 20 Jul 2022 | | 114,745,000 | | | | 1,423,413 | |
| | RUSSIA GOVT BOND OFZ | | 8.15% 03 Feb 2027 | | 14,800,000 | | | | 185,823 | |
| | RUSSIA GOVT BOND OFZ | | 7.5% 27 Feb 2019 | | 55,435,000 | | | | 712,492 | |
| | RUSSIAN FEDERATION | | 5.625% 04 Apr 2042 | | 800,000 | | | | 756,800 | |
| | RUSSIAN FEDERATION | | 4.875% 16 Sep 2023 | | 1,200,000 | | | | 1,219,200 | |
| | RUSSIAN FEDERATION | | 1% 31 Mar 2030 | | 148,750 | | | | 178,215 | |
| | RUSSIAN FEDERATION | | 12.75% 24 Jun 2028 | | 225,000 | | | | 355,649 | |
| | SOCIALIST REP OF VIETNAM | | 4.8% 19 Nov 2024 | | 520,000 | | | | 499,398 | |
| | SOCIALIST REP OF VIETNAM | | 6.75% 29 Jan 2020 | | 100,000 | | | | 109,594 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 4,611,343 | | | | 4,611,343 | |
| | THAILAND GOVERNMENT BOND | | 3.25% 16 Jun 2017 | | 23,450,000 | | | | 668,123 | |
| | THAILAND GOVERNMENT BOND | | 1.25% 12 Mar 2028 | | 15,773,346 | | | | 383,218 | |
| | THAILAND GOVERNMENT BOND | | 3.65% 17 Dec 2021 | | 14,360,000 | | | | 429,701 | |
| | THAILAND GOVERNMENT BOND | | 3.85% 12 Dec 2025 | | 46,030,000 | | | | 1,427,834 | |
| | THAILAND GOVERNMENT BOND | | 1.2% 14 Jul 2021 | | 23,391,286 | | | | 614,758 | |
| | THAILAND GOVERNMENT BOND | | 3.875% 13 Jun 2019 | | 52,220,000 | | | | 1,553,143 | |
| | TITULOS DE TESORERIA B | | 10% 24 Jul 2024 | | 9,155,000,000 | | | | 3,180,616 | |
| | TITULOS DE TESORERIA B | | 6% 28 Apr 2028 | | 2,322,000,000 | | | | 572,447 | |
| | TRANSNET SOC LTD | | 9.5% 13 May 2021 | | 7,700,000 | | | | 461,161 | |
| | TURKEY GOVERNMENT BOND | | 6.3% 14 Feb 2018 | | 6,675,000 | | | | 2,101,624 | |
| | TURKEY GOVERNMENT BOND | | 7.1% 08 Mar 2023 | | 1,290,000 | | | | 365,165 | |
| | TURKEY GOVERNMENT BOND | | 8% 12 Mar 2025 | | 12,180,000 | | | | 3,576,155 | |
| | TURKEY GOVERNMENT BOND | | 9% 27 Jan 2016 | | 4,140,000 | | | | 1,416,452 | |
| | TURKISH LIRA | | | | 10,401 | | | | 3,563 | |
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| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2019 | | 495,000 | | | | 458,162 | |
| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2026 | | 475,000 | | | | 413,307 | |
| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2025 | | 100,000 | | | | 87,958 | |
| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2024 | | 475,000 | | | | 420,332 | |
| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2023 | | 475,000 | | | | 422,845 | |
| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2022 | | 475,000 | | | | 430,246 | |
| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2027 | | 475,000 | | | | 413,250 | |
| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2020 | | 475,000 | | | | 437,000 | |
| | UKRAINE GOVERNMENT | | 7.75% 01 Sep 2021 | | 475,000 | | | | 431,566 | |
| | UNITED MEXICAN STATES | | 6.05% 11 Jan 2040 | | 383,000 | | | | 419,385 | |
| | UNITED MEXICAN STATES | | 5.625% 15 Jan 2017 | | 200,000 | | | | 207,800 | |
| | UNITED MEXICAN STATES | | 4.75% 08 Mar 2044 | | 128,000 | | | | 116,608 | |
| | UNITED MEXICAN STATES | | 5.95% 19 Mar 2019 | | 650,000 | | | | 721,500 | |
| | UNITED MEXICAN STATES | | 4.6% 23 Jan 2046 | | 200,000 | | | | 177,000 | |
| | US DOLLAR | | | | (225,125 | ) | | | (225,125 | ) |
| | Currency Contract | | USD/BRL | | | | | | 12,274 | |
| | Currency Contract | | USD/BRL | | | | | | (1,469 | ) |
| | Currency Contract | | BRL/USD | | | | | | 1,275 | |
| | Currency Contract | | COP/USD | | | | | | 7,227 | |
| | Currency Contract | | HUF/USD | | | | | | (1,029 | ) |
| | Currency Contract | | USD/HUF | | | | | | 2,891 | |
| | Currency Contract | | USD/HUF | | | | | | 2,543 | |
| | Currency Contract | | USD/HUF | | | | | | 2,616 | |
| | Currency Contract | | INR/USD | | | | | | 4,427 | |
| | Currency Contract | | INR/USD | | | | | | 4,573 | |
| | Currency Contract | | INR/USD | | | | | | 4,554 | |
| | Currency Contract | | INR/USD | | | | | | 4,668 | |
| | Currency Contract | | INR/USD | | | | | | 4,611 | |
| | Currency Contract | | USD/IDR | | | | | | (20,090 | ) |
| | Currency Contract | | MXN/USD | | | | | | (102 | ) |
| | Currency Contract | | RON/USD | | | | | | (2,707 | ) |
| | Currency Contract | | RON/USD | | | | | | (2,688 | ) |
| | Currency Contract | | ZAR/USD | | | | | | (1,730 | ) |
| | Currency Contract | | TRY/USD | | | | | | 3,075 | |
| | Currency Contract | | TRY/USD | | | | | | 3,222 | |
| | Currency Contract | | TRY/USD | | | | | | 3,237 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT I - Emerging Markets Debt Fund | | | | $ | 132,531,600 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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EXHIBIT J - High Yield Debt Fund
(Administered by JP Morgan)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 1011778 BC / NEW RED FIN | | 6% 01 Apr 2022 | | 205,000 | | | | $ | 211,150 | |
| | 21ST CENTURY ONCOLOGY HOLDINGS | | 1% 30 Apr 2022 | | 288,550 | | | | 240,939 | |
| | ACCO BRANDS CORP | | 6.75% 30 Apr 2020 | | 315,000 | | | | 324,450 | |
| | ACI WORLDWIDE INC | | 6.375% 15 Aug 2020 | | 150,000 | | | | 154,500 | |
| | ADT CORP | | 3.5% 15 Jul 2022 | | 280,000 | | | | 250,600 | |
| | ADT CORP | | 6.25% 15 Oct 2021 | | 25,000 | | | | 26,114 | |
| | AECOM | | 5.875% 15 Oct 2024 | | 140,000 | | | | 142,800 | |
| | AERCAP IRELAND CAP LTD/A | | 4.625% 30 Oct 2020 | | 150,000 | | | | 153,563 | |
| | AERCAP IRELAND CAP LTD/A | | 3.75% 15 May 2019 | | 1,145,000 | | | | 1,143,569 | |
| | AEROJET ROCKETDYNE HLDG | | 7.125% 15 Mar 2021 | | 380,000 | | | | 395,200 | |
| | AES CORP/VA | | 7.375% 01 Jul 2021 | | 45,000 | | | | 45,900 | |
| | AES CORP/VA | | 4.875% 15 May 2023 | | 205,000 | | | | 179,375 | |
| | AIR MEDICAL MERGER SUB | | 6.375% 15 May 2023 | | 205,000 | | | | 182,450 | |
| | AIRCASTLE LTD | | 5.125% 15 Mar 2021 | | 60,000 | | | | 61,650 | |
| | AIRCASTLE LTD | | 7.625% 15 Apr 2020 | | 185,000 | | | | 208,125 | |
| | ALBEA BEAUTY HOLDINGS SA | | 8.375% 01 Nov 2019 | | 200,000 | | | | 208,000 | |
| | ALCATEL LUCENT USA INC | | 8.875% 01 Jan 2020 | | 200,000 | | | | 212,000 | |
| | ALCOA INC | | 5.87% 23 Feb 2022 | | 200,000 | | | | 195,000 | |
| | ALERE INC | | 6.375% 01 Jul 2023 | | 40,000 | | | | 37,400 | |
| | ALGECO SCOTSMAN GLOB FIN | | 8.5% 15 Oct 2018 | | 250,000 | | | | 209,375 | |
| | ALLEGION PLC | | 5.875% 15 Sep 2023 | | 40,000 | | | | 40,800 | |
| | ALLEGION US HOLDING CO | | 5.75% 01 Oct 2021 | | 125,000 | | | | 126,563 | |
| | ALLY FINANCIAL INC | | 4.625% 30 Mar 2025 | | 385,000 | | | | 380,188 | |
| | ALLY FINANCIAL INC | | 4.125% 30 Mar 2020 | | 225,000 | | | | 223,875 | |
| | ALLY FINANCIAL INC | | 4.625% 19 May 2022 | | 130,000 | | | | 130,650 | |
| | ALLY FINANCIAL INC | | 5.125% 30 Sep 2024 | | 65,000 | | | | 66,544 | |
| | ALLY FINANCIAL INC | | 3.5% 27 Jan 2019 | | 415,000 | | | | 409,294 | |
| | ALLY FINANCIAL INC | | 5.75% 20 Nov 2025 | | 115,000 | | | | 116,438 | |
| | ALTICE FINANCING SA | | 6.625% 15 Feb 2023 | | 200,000 | | | | 197,500 | |
| | ALTICE LUXEMBOURG SA | | 7.625% 15 Feb 2025 | | 200,000 | | | | 172,500 | |
| | ALTICE LUXEMBOURG SA | | 7.75% 15 May 2022 | | 200,000 | | | | 180,500 | |
| | AMC ENTERTAINMENT INC | | 5.75% 15 Jun 2025 | | 240,000 | | | | 241,200 | |
| | AMERICAN AXLE + MFG INC | | 6.25% 15 Mar 2021 | | 245,000 | | | | 253,575 | |
| | AMERICAN ENERGY/AEPB | | 8% 15 Jun 2020 | | 125,000 | | | | 92,500 | |
| | AMKOR TECHNOLOGY INC | | 6.375% 01 Oct 2022 | | 200,000 | | | | 194,500 | |
| | AMKOR TECHNOLOGY INC | | 6.625% 01 Jun 2021 | | 330,000 | | | | 327,525 | |
| | ANIXTER INC | | 5.5% 01 Mar 2023 | | 105,000 | | | | 105,525 | |
| | ANTERO RESOURCES CORP | | 5.375% 01 Nov 2021 | | 165,000 | | | | 132,000 | |
| | ANTERO RESOURCES CORP | | 5.125% 01 Dec 2022 | | 50,000 | | | | 38,000 | |
| | APEX TOOL GROUP | | 7% 01 Feb 2021 | | 50,000 | | | | 38,500 | |
| | ARCELORMITTAL | | 6.5% 01 Mar 2021 | | 250,000 | | | | 201,223 | |
| | ARDAGH PACKAGING FINANCE | | 9.125% 15 Oct 2020 | | 500,000 | | | | 515,000 | |
| | ARDAGH PKG FIN/HLDGS USA | | 1% 15 Dec 2019 | | 200,000 | | | | 195,500 | |
| | ARGOS MERGER SUB INC | | 7.125% 15 Mar 2023 | | 500,000 | | | | 495,750 | |
| | ASCENT RESOURCES MARCELLUS LLC | | 1% 04 Aug 2020 | | 185,000 | | | | 48,563 | |
| | ASHLAND INC | | 4.75% 15 Aug 2022 | | 480,000 | | | | 466,800 | |
| | ASHTEAD CAPITAL INC | | 6.5% 15 Jul 2022 | | 300,000 | | | | 312,750 | |
| | ATWOOD OCEANICS INC | | 6.5% 01 Feb 2020 | | 200,000 | | | | 107,000 | |
| | AUDATEX NORTH AMERICA IN | | 6% 15 Jun 2021 | | 430,000 | | | | 433,225 | |
| | AVAYA INC | | 7% 01 Apr 2019 | | 325,000 | | | | 240,500 | |
| | AVIS BUDGET CAR/FINANCE | | 5.5% 01 Apr 2023 | | 340,000 | | | | 340,850 | |
| | AXALTA COATING SYS/DUTCH | | 7.375% 01 May 2021 | | 150,000 | | | | 158,156 | |
| | | | | | | | | | | | |
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| | B+G FOODS INC | | 4.625% 01 Jun 2021 | | 158,000 | | | | 156,420 | |
| | BELDEN INC | | 5.5% 01 Sep 2022 | | 300,000 | | | | 288,750 | |
| | BERRY PLASTICS CORP | | 6% 15 Oct 2022 | | 60,000 | | | | 61,050 | |
| | BERRY PLASTICS CORP | | 5.125% 15 Jul 2023 | | 15,000 | | | | 14,588 | |
| | BLUE RACER MID LLC/FINAN | | 6.125% 15 Nov 2022 | | 220,000 | | | | 151,800 | |
| | BOMBARDIER INC | | 7.5% 15 Mar 2025 | | 160,000 | | | | 112,000 | |
| | BOMBARDIER INC | | 7.75% 15 Mar 2020 | | 230,000 | | | | 185,725 | |
| | BREITBURN ENER/BREIT FIN | | 7.875% 15 Apr 2022 | | 320,000 | | | | 57,600 | |
| | BUMBLE BEE HOLDINGS INC | | 9% 15 Dec 2017 | | 221,000 | | | | 223,763 | |
| | BWAY HLDG CO | | 1% 14 Aug 2020 | | 182,225 | | | | 174,367 | |
| | CAESARS ENT RESORT PROP | | 8% 01 Oct 2020 | | 155,000 | | | | 147,250 | |
| | CAESARS ENTERTAINMENT OP | | 8.5% 15 Feb 2020 | | 425,000 | | | | 323,000 | |
| | CAESARS ENTERTAINMENT OP | | 9% 15 Feb 2020 | | 190,000 | | | | 144,400 | |
| | CAESARS ENTERTAINMENT OP | | 9% 15 Feb 2020 | | 935,000 | | | | 710,600 | |
| | CALIFORNIA RESOURCES CRP | | 6% 15 Nov 2024 | | 61,000 | | | | 18,605 | |
| | CALIFORNIA RESOURCES CRP | | 8% 15 Dec 2022 | | 163,000 | | | | 85,779 | |
| | CARRIZO OIL + GAS INC | | 6.25% 15 Apr 2023 | | 60,000 | | | | 48,600 | |
| | CCO HLDGS LLC/CAP CORP | | 6.5% 30 Apr 2021 | | 240,000 | | | | 249,600 | |
| | CCO HLDGS LLC/CAP CORP | | 6.625% 31 Jan 2022 | | 40,000 | | | | 42,150 | |
| | CCO HLDGS LLC/CAP CORP | | 5.375% 01 May 2025 | | 350,000 | | | | 348,250 | |
| | CCO HLDGS LLC/CAP CORP | | 5.125% 01 May 2023 | | 305,000 | | | | 305,000 | |
| | CCOH SAFARI LLC | | 5.75% 15 Feb 2026 | | 335,000 | | | | 335,838 | |
| | CENTRAL GARDEN + PET CO | | 6.125% 15 Nov 2023 | | 110,000 | | | | 111,100 | |
| | CENTURYLINK INC | | 6.75% 01 Dec 2023 | | 620,000 | | | | 581,250 | |
| | CENTURYLINK INC | | 5.8% 15 Mar 2022 | | 175,000 | | | | 160,388 | |
| | CHEMOURS CO | | 6.625% 15 May 2023 | | 250,000 | | | | 175,000 | |
| | CHESAPEAKE ENERGY CORP | | 8% 15 Dec 2022 | | 328,000 | | | | 160,720 | |
| | CHESAPEAKE ENERGY CORP | | 1% 15 Apr 2019 | | 50,000 | | | | 14,000 | |
| | CHIQUITA BRANDS INTL / L | | 7.875% 01 Feb 2021 | | 67,000 | | | | 70,183 | |
| | CINEMARK USA INC | | 7.375% 15 Jun 2021 | | 300,000 | | | | 315,750 | |
| | CIT GROUP INC | | 3.875% 19 Feb 2019 | | 45,000 | | | | 44,775 | |
| | CIT GROUP INC | | 5.5% 15 Feb 2019 | | 495,000 | | | | 517,275 | |
| | CLAIRE S STORES INC | | 9% 15 Mar 2019 | | 500,000 | | | | 302,500 | |
| | CLEAN HARBORS INC | | 5.25% 01 Aug 2020 | | 400,000 | | | | 408,000 | |
| | CLEAR CHANNEL WORLDWIDE | | 6.5% 15 Nov 2022 | | 1,090,000 | | | | 1,062,750 | |
| | CLEAR CHANNEL WORLDWIDE | | 7.625% 15 Mar 2020 | | 105,000 | | | | 95,550 | |
| | CLEAR CHANNEL WORLDWIDE | | 7.625% 15 Mar 2020 | | 530,000 | | | | 489,588 | |
| | CLEARWATER PAPER CORP | | 5.375% 01 Feb 2025 | | 520,000 | | | | 503,100 | |
| | CNH INDUSTRIAL CAPITAL L | | 4.375% 06 Nov 2020 | | 220,000 | | | | 207,350 | |
| | CNH INDUSTRIAL CAPITAL L | | 3.875% 16 Jul 2018 | | 65,000 | | | | 62,888 | |
| | COGENT COMM FINANCE INC | | 5.625% 15 Apr 2021 | | 260,000 | | | | 241,800 | |
| | COGENT COMMUNICATIONS GR | | 5.375% 01 Mar 2022 | | 175,000 | | | | 170,188 | |
| | COMMSCOPE INC | | 5.5% 15 Jun 2024 | | 95,000 | | | | 90,250 | |
| | COMMSCOPE INC | | 5% 15 Jun 2021 | | 90,000 | | | | 86,288 | |
| | COMMSCOPE TECH FINANCE L | | 6% 15 Jun 2025 | | 225,000 | | | | 216,563 | |
| | COMMUNICATIONS SALES + L | | 8.25% 15 Oct 2023 | | 305,000 | | | | 257,725 | |
| | COMSTOCK RESOURCES INC | | 10% 15 Mar 2020 | | 205,000 | | | | 94,300 | |
| | CONCHO RESOURCES INC | | 6.5% 15 Jan 2022 | | 120,000 | | | | 115,200 | |
| | CONSOL ENERGY INC | | 5.875% 15 Apr 2022 | | 95,000 | | | | 58,900 | |
| | CORRECTIONS CORP OF AMER | | 4.125% 01 Apr 2020 | | 465,000 | | | | 460,350 | |
| | CORRECTIONS CORP OF AMER | | 4.625% 01 May 2023 | | 50,000 | | | | 48,250 | |
| | CORRECTIONS CORP OF AMER | | 5% 15 Oct 2022 | | 75,000 | | | | 74,625 | |
| | CRESTWOOD MIDSTREAM PART | | 6.25% 01 Apr 2023 | | 115,000 | | | | 80,213 | |
| | CRESTWOOD MIDSTREAM PART | | 6.125% 01 Mar 2022 | | 195,000 | | | | 135,525 | |
| | CROWN CASTLE INTL CORP | | 4.875% 15 Apr 2022 | | 330,000 | | | | 342,375 | |
| | DANA HOLDING CORP | | 5.5% 15 Dec 2024 | | 190,000 | | | | 184,300 | |
| | DANA HOLDING CORP | | 6.75% 15 Feb 2021 | | 75,000 | | | | 77,063 | |
| | DANA HOLDING CORP | | 5.375% 15 Sep 2021 | | 40,000 | | | | 39,700 | |
| | DANA HOLDING CORP | | 6% 15 Sep 2023 | | 225,000 | | | | 225,563 | |
| | DAVITA HEALTHCARE PARTNE | | 5% 01 May 2025 | | 385,000 | | | | 371,525 | |
| | DENALI BORROWER/FIN CORP | | 5.625% 15 Oct 2020 | | 290,000 | | | | 303,775 | |
| | DENBURY RESOURCES INC | | 5.5% 01 May 2022 | | 280,000 | | | | 92,954 | |
| | DENBURY RESOURCES INC | | 4.625% 15 Jul 2023 | | 145,000 | | | | 46,673 | |
| | DISH DBS CORP | | 5.875% 15 Nov 2024 | | 305,000 | | | | 271,450 | |
| | DISH DBS CORP | | 5.875% 15 Jul 2022 | | 360,000 | | | | 335,700 | |
| | DISH DBS CORP | | 6.75% 01 Jun 2021 | | 530,000 | | | | 533,975 | |
| | DISH DBS CORP | | 5% 15 Mar 2023 | | 670,000 | | | | 581,225 | |
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| | DJO FINCO INC/DJO FINANC | | 8.125% 15 Jun 2021 | | 440,000 | | | | 390,500 | |
| | DREAMWORKS ANIMATION SKG | | 6.875% 15 Aug 2020 | | 320,000 | | | | 315,200 | |
| | DYNEGY INC | | 7.625% 01 Nov 2024 | | 110,000 | | | | 94,028 | |
| | DYNEGY INC | | 7.375% 01 Nov 2022 | | 220,000 | | | | 191,400 | |
| | ENDO LTD/FIN LLC/FINCO | | 6% 15 Jul 2023 | | 260,000 | | | | 258,700 | |
| | ENERGIZER HOLDINGS INC | | 5.5% 15 Jun 2025 | | 290,000 | | | | 272,600 | |
| | ENTEGRIS INC | | 6% 01 Apr 2022 | | 290,000 | | | | 293,625 | |
| | EP ENER/EVEREST ACQ FIN | | 7.75% 01 Sep 2022 | | 530,000 | | | | 270,300 | |
| | EQUINIX INC | | 5.875% 15 Jan 2026 | | 70,000 | | | | 72,100 | |
| | EQUINIX INC | | 5.75% 01 Jan 2025 | | 50,000 | | | | 51,125 | |
| | EQUINIX INC | | 5.375% 01 Jan 2022 | | 65,000 | | | | 66,625 | |
| | EV ENERGY PARTNERS/FINAN | | 8% 15 Apr 2019 | | 265,000 | | | | 132,500 | |
| | EVERGREEN SKILLS LUX S A R L | | 1% 28 Apr 2021 | | 355,500 | | | | 273,735 | |
| | FGI OPERATING CO LLC/FIN | | 7.875% 01 May 2020 | | 265,000 | | | | 190,800 | |
| | FIAT CHRYSLER AUTOMOBILE | | 5.25% 15 Apr 2023 | | 200,000 | | | | 196,500 | |
| | FIRST DATA CORPORATION | | 5.375% 15 Aug 2023 | | 410,000 | | | | 412,050 | |
| | FIRST DATA CORPORATION | | 5.75% 15 Jan 2024 | | 1,300,000 | | | | 1,280,500 | |
| | FIRST DATA CORPORATION | | 8.75% 15 Jan 2022 | | 165,000 | | | | 172,400 | |
| | FIRST DATA CORPORATION | | 7% 01 Dec 2023 | | 265,000 | | | | 265,000 | |
| | FRONTIER COMMUNICATIONS | | 6.875% 15 Jan 2025 | | 100,000 | | | | 82,375 | |
| | FRONTIER COMMUNICATIONS | | 6.25% 15 Sep 2021 | | 55,000 | | | | 46,613 | |
| | FRONTIER COMMUNICATIONS | | 10.5% 15 Sep 2022 | | 150,000 | | | | 149,438 | |
| | FRONTIER COMMUNICATIONS | | 11% 15 Sep 2025 | | 625,000 | | | | 618,750 | |
| | GARDNER DENVER INC | | 6.875% 15 Aug 2021 | | 30,000 | | | | 22,950 | |
| | GCI INC | | 6.75% 01 Jun 2021 | | 215,000 | | | | 218,225 | |
| | GENERAL CABLE CORP | | 5.75% 01 Oct 2022 | | 375,000 | | | | 288,750 | |
| | GENERAL MOTORS CO | | 4.875% 02 Oct 2023 | | 335,000 | | | | 342,591 | |
| | GENERAL MOTORS FINL CO | | 4.25% 15 May 2023 | | 285,000 | | | | 281,905 | |
| | GEO GROUP INC/THE | | 5.875% 15 Jan 2022 | | 170,000 | | | | 167,450 | |
| | GEO GROUP INC/THE | | 6.625% 15 Feb 2021 | | 300,000 | | | | 307,500 | |
| | GOODYEAR TIRE + RUBBER | | 6.5% 01 Mar 2021 | | 130,000 | | | | 136,663 | |
| | GOODYEAR TIRE + RUBBER | | 5.125% 15 Nov 2023 | | 110,000 | | | | 112,750 | |
| | GREAT LAKES DREDGE+DOCK | | 7.375% 01 Feb 2019 | | 365,000 | | | | 339,450 | |
| | GYMBOREE CORP | | 1% 23 Feb 2018 | | 95,000 | | | | 48,070 | |
| | H+E EQUIPMENT SERVICES | | 7% 01 Sep 2022 | | 260,000 | | | | 254,800 | |
| | HCA HOLDINGS INC | | 6.25% 15 Feb 2021 | | 60,000 | | | | 63,450 | |
| | HCA INC | | 7.5% 15 Feb 2022 | | 680,000 | | | | 753,100 | |
| | HCA INC | | 5.375% 01 Feb 2025 | | 1,400,000 | | | | 1,382,500 | |
| | HCA INC | | 5.25% 15 Apr 2025 | | 75,000 | | | | 75,563 | |
| | HCA INC | | 5.875% 15 Feb 2026 | | 570,000 | | | | 572,138 | |
| | HCA INC | | 5.875% 15 Mar 2022 | | 250,000 | | | | 263,750 | |
| | HD SUPPLY INC | | 5.25% 15 Dec 2021 | | 195,000 | | | | 198,900 | |
| | HEALTHSOUTH CORP | | 5.75% 01 Nov 2024 | | 80,000 | | | | 76,300 | |
| | HEALTHSOUTH CORP | | 5.75% 01 Nov 2024 | | 95,000 | | | | 90,606 | |
| | HEALTHSOUTH CORP | | 5.75% 15 Sep 2025 | | 110,000 | | | | 102,300 | |
| | HERTZ CORP | | 7.375% 15 Jan 2021 | | 110,000 | | | | 114,125 | |
| | HERTZ CORP | | 5.875% 15 Oct 2020 | | 350,000 | | | | 360,938 | |
| | HERTZ CORP | | 6.25% 15 Oct 2022 | | 230,000 | | | | 238,050 | |
| | HEXION INC | | 8.875% 01 Feb 2018 | | 185,000 | | | | 130,425 | |
| | HEXION INC | | 6.625% 15 Apr 2020 | | 595,000 | | | | 462,613 | |
| | HILAND PART LP/CORP | | 7.25% 01 Oct 2020 | | 135,000 | | | | 136,350 | |
| | HILL ROM HOLDINGS INC | | 5.75% 01 Sep 2023 | | 270,000 | | | | 275,400 | |
| | HILTON WORLDWIDE FIN LLC | | 5.625% 15 Oct 2021 | | 105,000 | | | | 108,806 | |
| | HOLOGIC INC | | 5.25% 15 Jul 2022 | | 210,000 | | | | 214,200 | |
| | HUNTSMAN INTERNATIONAL L | | 4.875% 15 Nov 2020 | | 290,000 | | | | 264,625 | |
| | HUNTSMAN INTERNATIONAL L | | 5.125% 15 Nov 2022 | | 205,000 | | | | 184,500 | |
| | IMS HEALTH INC | | 6% 01 Nov 2020 | | 322,000 | | | | 331,660 | |
| | INEOS GROUP HOLDINGS SA | | 5.875% 15 Feb 2019 | | 630,000 | | | | 611,100 | |
| | INFOR US INC | | 6.5% 15 May 2022 | | 525,000 | | | | 443,625 | |
| | INMARSAT FINANCE PLC | | 4.875% 15 May 2022 | | 285,000 | | | | 277,875 | |
| | INTEGRA TELECOM INC. | | 1% 14 Aug 2020 | | 272,938 | | | | 263,385 | |
| | INTELSAT JACKSON HLDG | | 7.25% 15 Oct 2020 | | 1,090,000 | | | | 953,750 | |
| | INTELSAT JACKSON HLDG | | 5.5% 01 Aug 2023 | | 650,000 | | | | 510,250 | |
| | INTERNATIONAL GAME TECH | | 6.25% 15 Feb 2022 | | 200,000 | | | | 187,000 | |
| | INTERNATIONAL GAME TECH | | 6.5% 15 Feb 2025 | | 200,000 | | | | 175,500 | |
| | INTERVAL ACQUISITION COR | | 5.625% 15 Apr 2023 | | 195,000 | | | | 193,538 | |
| | INTL LEASE FINANCE CORP | | 6.25% 15 May 2019 | | 70,000 | | | | 74,988 | |
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| | INVENTIV HEALTH INC | | 9% 15 Jan 2018 | | 305,000 | | | | 312,625 | |
| | ISLE OF CAPRI CASINOS | | 5.875% 15 Mar 2021 | | 170,000 | | | | 173,400 | |
| | J CREW GROUP INC SYNDICATED | | 1% 05 Mar 2021 | | 435,644 | | | | 280,882 | |
| | JACK COOPER HOLDINGS COR | | 10.25% 01 Jun 2020 | | 340,000 | | | | 282,200 | |
| | JAMES HARDIE INTL FIN | | 5.875% 15 Feb 2023 | | 55,000 | | | | 56,100 | |
| | KINDRED HEALTHCARE INC | | 8.75% 15 Jan 2023 | | 100,000 | | | | 92,000 | |
| | KINDRED HEALTHCARE INC | | 8% 15 Jan 2020 | | 170,000 | | | | 158,950 | |
| | KINETICS CONCEPT/KCI USA | | 10.5% 01 Nov 2018 | | 395,000 | | | | 385,125 | |
| | KLX INC | | 5.875% 01 Dec 2022 | | 245,000 | | | | 232,750 | |
| | KRATOS DEFENSE + SEC | | 7% 15 May 2019 | | 180,000 | | | | 122,625 | |
| | L BRANDS INC | | 6.625% 01 Apr 2021 | | 300,000 | | | | 332,250 | |
| | LAREDO PETROLEUM INC | | 5.625% 15 Jan 2022 | | 95,000 | | | | 82,650 | |
| | LEAR CORP | | 5.25% 15 Jan 2025 | | 185,000 | | | | 188,238 | |
| | LEGACY RESERVES/FINANCE | | 6.625% 01 Dec 2021 | | 75,000 | | | | 15,750 | |
| | LEGACY RESERVES/FINANCE | | 8% 01 Dec 2020 | | 240,000 | | | | 50,400 | |
| | LEVEL 3 COMMUNICATIONS | | 5.75% 01 Dec 2022 | | 165,000 | | | | 168,713 | |
| | LEVEL 3 FINANCING INC | | 5.375% 01 May 2025 | | 150,000 | | | | 149,250 | |
| | LEVEL 3 FINANCING INC | | 5.625% 01 Feb 2023 | | 40,000 | | | | 40,800 | |
| | LEVEL 3 FINANCING INC | | 5.125% 01 May 2023 | | 30,000 | | | | 29,775 | |
| | LEVEL 3 FINANCING INC | | 5.375% 15 Jan 2024 | | 110,000 | | | | 110,550 | |
| | LINN ENERGY LLC/FIN CORP | | 7.75% 01 Feb 2021 | | 505,000 | | | | 73,225 | |
| | LINN ENERGY LLC/FIN CORP | | 8.625% 15 Apr 2020 | | 25,000 | | | | 4,281 | |
| | LSB INDUSTRIES | | 7.75% 01 Aug 2019 | | 295,000 | | | | 244,850 | |
| | MAGNACHIP SEMICONDUCTOR | | 6.625% 15 Jul 2021 | | 305,000 | | | | 213,500 | |
| | MALLINCKRODT FIN/SB | | 5.5% 15 Apr 2025 | | 55,000 | | | | 50,600 | |
| | MALLINCKRODT FIN/SB | | 5.625% 15 Oct 2023 | | 125,000 | | | | 118,750 | |
| | MALLINCKRODT FIN/SB | | 4.875% 15 Apr 2020 | | 65,000 | | | | 62,563 | |
| | MANITOWOC COMPANY INC | | 8.5% 01 Nov 2020 | | 340,000 | | | | 351,900 | |
| | MCGRAW HILL GLOBAL ED | | 9.75% 01 Apr 2021 | | 285,000 | | | | 302,100 | |
| | MEG ENERGY CORP | | 6.375% 30 Jan 2023 | | 285,000 | | | | 195,225 | |
| | MEG ENERGY CORP | | 7% 31 Mar 2024 | | 215,000 | | | | 152,650 | |
| | MGM RESORTS INTL | | 7.75% 15 Mar 2022 | | 1,045,000 | | | | 1,110,313 | |
| | MGM RESORTS INTL | | 5.25% 31 Mar 2020 | | 315,000 | | | | 311,850 | |
| | MGM RESORTS INTL | | 6% 15 Mar 2023 | | 225,000 | | | | 223,313 | |
| | MICRON TECHNOLOGY INC | | 5.25% 15 Jan 2024 | | 295,000 | | | | 259,600 | |
| | MICRON TECHNOLOGY INC | | 5.875% 15 Feb 2022 | | 30,000 | | | | 29,175 | |
| | MICRON TECHNOLOGY INC | | 5.5% 01 Feb 2025 | | 80,000 | | | | 69,600 | |
| | MIDCONTINENT COMM + FIN | | 6.875% 15 Aug 2023 | | 245,000 | | | | 248,063 | |
| | MPLX LP | | 4.875% 01 Jun 2025 | | 340,000 | | | | 304,300 | |
| | MPLX LP | | 4.875% 01 Dec 2024 | | 80,000 | | | | 71,800 | |
| | NEIMAN MARCUS GROUP LTD | | 8.75% 15 Oct 2021 | | 75,000 | | | | 46,500 | |
| | NEIMAN MARCUS GROUP LTD | | 8% 15 Oct 2021 | | 80,000 | | | | 59,200 | |
| | NEIMAN MARCUS GROUP LTD INC | | 1% 25 Oct 2020 | | 455,021 | | | | 401,556 | |
| | NEPTUNE FINCO CORP | | 10.125% 15 Jan 2023 | | 200,000 | | | | 208,500 | |
| | NEPTUNE FINCO CORP | | 10.875% 15 Oct 2025 | | 200,000 | | | | 209,500 | |
| | NEWFIELD EXPLORATION CO | | 5.75% 30 Jan 2022 | | 90,000 | | | | 79,650 | |
| | NEXSTAR BROADCASTING INC | | 6.125% 15 Feb 2022 | | 70,000 | | | | 68,600 | |
| | NEXSTAR BROADCASTING INC | | 6.875% 15 Nov 2020 | | 335,000 | | | | 342,538 | |
| | NIELSEN CO LUX SARL/THE | | 5.5% 01 Oct 2021 | | 85,000 | | | | 87,125 | |
| | NIELSEN FINANCE LLC/CO | | 5% 15 Apr 2022 | | 360,000 | | | | 355,500 | |
| | NRG ENERGY INC | | 8.25% 01 Sep 2020 | | 360,000 | | | | 349,200 | |
| | NUMERICABLE SFR SAS | | 6% 15 May 2022 | | 465,000 | | | | 451,050 | |
| | NXP BV/NXP FUNDING LLC | | 5.75% 15 Feb 2021 | | 300,000 | | | | 312,000 | |
| | OASIS PETROLEUM INC | | 6.875% 15 Mar 2022 | | 270,000 | | | | 172,800 | |
| | OMEGA US SUB LLC | | 8.75% 15 Jul 2023 | | 205,000 | | | | 189,113 | |
| | ORBITAL ATK INC | | 5.25% 01 Oct 2021 | | 275,000 | | | | 276,375 | |
| | ORTHO CLINICAL DIAGNOSTICS SA | | 1% 30 Jun 2021 | | 276,295 | | | | 233,124 | |
| | OSHKOSH CORP | | 5.375% 01 Mar 2022 | | 130,000 | | | | 130,000 | |
| | OSHKOSH CORP | | 5.375% 01 Mar 2025 | | 55,000 | | | | 53,900 | |
| | OUTFRONT MEDIA CAP LLC/C | | 5.25% 15 Feb 2022 | | 25,000 | | | | 25,563 | |
| | OUTFRONT MEDIA CAP LLC/C | | 5.625% 15 Feb 2024 | | 40,000 | | | | 41,100 | |
| | PEABODY ENERGY CORP | | 6.25% 15 Nov 2021 | | 240,000 | | | | 33,000 | |
| | PEABODY ENERGY CORP | | 6.5% 15 Sep 2020 | | 40,000 | | | | 5,500 | |
| | PETCO ANIMAL SUPPLIES IN | | 9.25% 01 Dec 2018 | | 320,000 | | | | 328,400 | |
| | PLANTRONICS INC | | 5.5% 31 May 2023 | | 195,000 | | | | 194,025 | |
| | POST HOLDINGS INC | | 6.75% 01 Dec 2021 | | 5,000 | | | | 5,100 | |
| | POST HOLDINGS INC | | 6% 15 Dec 2022 | | 145,000 | | | | 142,100 | |
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| | POST HOLDINGS INC | | 7.75% 15 Mar 2024 | | 155,000 | | | | 162,363 | |
| | POST HOLDINGS INC | | 7.375% 15 Feb 2022 | | 500,000 | | | | 521,250 | |
| | POST HOLDINGS INC | | 8% 15 Jul 2025 | | 135,000 | | | | 143,100 | |
| | QUEBECOR MEDIA INC | | 5.75% 15 Jan 2023 | | 375,000 | | | | 377,813 | |
| | QWEST CAPITAL FUNDING | | 7.75% 15 Feb 2031 | | 180,000 | | | | 152,550 | |
| | RADIO SYSTEMS CORP | | 8.375% 01 Nov 2019 | | 310,000 | | | | 321,625 | |
| | RAIN CII CARBON LLC/CII | | 8% 01 Dec 2018 | | 100,000 | | | | 85,750 | |
| | RANGE RESOURCES CORP | | 4.875% 15 May 2025 | | 135,000 | | | | 102,600 | |
| | REGAL ENTERTAINMENT GRP | | 5.75% 15 Jun 2023 | | 30,000 | | | | 29,850 | |
| | REGAL ENTERTAINMENT GRP | | 5.75% 15 Mar 2022 | | 155,000 | | | | 155,000 | |
| | REGENCY ENERGY PART/FINA | | 5.875% 01 Mar 2022 | | 55,000 | | | | 51,841 | |
| | REGENCY ENERGY PART/FINA | | 5.5% 15 Apr 2023 | | 150,000 | | | | 134,876 | |
| | REGENCY ENERGY PART/FINA | | 5% 01 Oct 2022 | | 90,000 | | | | 79,729 | |
| | RENTECH NIT PART/FINANCE | | 6.5% 15 Apr 2021 | | 105,000 | | | | 101,850 | |
| | REYNOLDS GRP ISS/REYNOLD | | 6.875% 15 Feb 2021 | | 230,000 | | | | 236,900 | |
| | REYNOLDS GRP ISS/REYNOLD | | 9.875% 15 Aug 2019 | | 299,000 | | | | 301,243 | |
| | REYNOLDS GRP ISS/REYNOLD | | 5.75% 15 Oct 2020 | | 315,000 | | | | 320,415 | |
| | RHP HOTEL PPTY/RHP FINAN | | 5% 15 Apr 2021 | | 355,000 | | | | 361,213 | |
| | RITE AID CORP | | 6.125% 01 Apr 2023 | | 315,000 | | | | 326,025 | |
| | RIVERBED TECHNOLOGY INC | | 8.875% 01 Mar 2023 | | 200,000 | | | | 185,000 | |
| | RIVERBED TECHNOLOGY INC. | | 1% 24 Apr 2022 | | 223,313 | | | | 221,997 | |
| | RSI HOME PRODUCTS INC | | 6.5% 15 Mar 2023 | | 290,000 | | | | 298,700 | |
| | RSP PERMIAN INC | | 6.625% 01 Oct 2022 | | 80,000 | | | | 73,600 | |
| | SABINE PASS LIQUEFACTION | | 5.625% 15 Apr 2023 | | 135,000 | | | | 118,463 | |
| | SABINE PASS LIQUEFACTION | | 6.25% 15 Mar 2022 | | 350,000 | | | | 323,750 | |
| | SABINE PASS LIQUEFACTION | | 5.625% 01 Mar 2025 | | 75,000 | | | | 63,469 | |
| | SABRE GLBL INC | | 5.375% 15 Apr 2023 | | 195,000 | | | | 194,025 | |
| | SABRE GLBL INC | | 5.25% 15 Nov 2023 | | 105,000 | | | | 103,819 | |
| | SALLY HOLDINGS/SALLY CAP | | 5.625% 01 Dec 2025 | | 85,000 | | | | 85,850 | |
| | SANCHEZ ENERGY CORP | | 6.125% 15 Jan 2023 | | 140,000 | | | | 75,600 | |
| | SANCHEZ ENERGY CORP | | 7.75% 15 Jun 2021 | | 25,000 | | | | 15,250 | |
| | SBA TELECOMMUNICATIONS | | 5.75% 15 Jul 2020 | | 600,000 | | | | 624,000 | |
| | SCHAEFFLER FINANCE BV | | 4.75% 15 May 2021 | | 200,000 | | | | 201,000 | |
| | SCOTTS MIRACLE GRO CO | | 6% 15 Oct 2023 | | 115,000 | | | | 119,888 | |
| | SENSATA TECH UK FIN CO | | 6.25% 15 Feb 2026 | | 260,000 | | | | 270,400 | |
| | SENSATA TECHNOLOGIES BV | | 5% 01 Oct 2025 | | 190,000 | | | | 185,725 | |
| | SERTA SIMMONS BEDDING LL | | 8.125% 01 Oct 2020 | | 500,000 | | | | 522,500 | |
| | SERVICE CORP INTL | | 7.5% 01 Apr 2027 | | 445,000 | | | | 516,200 | |
| | SERVICE CORP INTL | | 5.375% 15 May 2024 | | 45,000 | | | | 46,350 | |
| | SINCLAIR TELEVISION GROU | | 5.375% 01 Apr 2021 | | 270,000 | | | | 270,675 | |
| | SINCLAIR TELEVISION GROU | | 6.125% 01 Oct 2022 | | 70,000 | | | | 71,400 | |
| | SIRIUS XM RADIO INC | | 4.625% 15 May 2023 | | 195,000 | | | | 191,100 | |
| | SIRIUS XM RADIO INC | | 5.75% 01 Aug 2021 | | 225,000 | | | | 231,750 | |
| | SIRIUS XM RADIO INC | | 5.375% 15 Apr 2025 | | 110,000 | | | | 110,688 | |
| | SIRIUS XM RADIO INC | | 6% 15 Jul 2024 | | 240,000 | | | | 250,800 | |
| | SM ENERGY CO | | 5.625% 01 Jun 2025 | | 90,000 | | | | 59,400 | |
| | SM ENERGY CO | | 6.5% 01 Jan 2023 | | 120,000 | | | | 88,200 | |
| | SPECTRUM BRANDS INC | | 6.375% 15 Nov 2020 | | 260,000 | | | | 276,250 | |
| | SPECTRUM BRANDS INC | | 6.625% 15 Nov 2022 | | 65,000 | | | | 68,575 | |
| | SPECTRUM BRANDS INC | | 5.75% 15 Jul 2025 | | 85,000 | | | | 87,125 | |
| | SPRINT CAPITAL CORP | | 8.75% 15 Mar 2032 | | 1,055,000 | | | | 791,250 | |
| | SPRINT CAPITAL CORP | | 6.875% 15 Nov 2028 | | 60,000 | | | | 41,850 | |
| | SPRINT COMMUNICATIONS | | 9% 15 Nov 2018 | | 155,000 | | | | 163,138 | |
| | SPRINT CORP | | 7.625% 15 Feb 2025 | | 170,000 | | | | 124,100 | |
| | SPRINT CORP | | 7.875% 15 Sep 2023 | | 1,790,000 | | | | 1,344,290 | |
| | SPRINT CORP | | 7.25% 15 Sep 2021 | | 110,000 | | | | 83,017 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 3,417,030 | | | | 3,417,030 | |
| | STEINWAY MUSICAL INSTRS INC | | 1% 19 Sep 2019 | | 251,940 | | | | 247,531 | |
| | T MOBILE USA INC | | 6.731% 28 Apr 2022 | | 735,000 | | | | 766,238 | |
| | T MOBILE USA INC | | 6.5% 15 Jan 2026 | | 195,000 | | | | 196,851 | |
| | T MOBILE USA INC | | 6.633% 28 Apr 2021 | | 230,000 | | | | 238,625 | |
| | TARGA RESOURCES PARTNERS | | 5.25% 01 May 2023 | | 65,000 | | | | 52,650 | |
| | TARGA RESOURCES PARTNERS | | 6.75% 15 Mar 2024 | | 160,000 | | | | 136,400 | |
| | TEGNA INC | | 4.875% 15 Sep 2021 | | 50,000 | | | | 50,125 | |
| | TEGNA INC | | 5.5% 15 Sep 2024 | | 110,000 | | | | 110,000 | |
| | TEGNA INC | | 6.375% 15 Oct 2023 | | 15,000 | | | | 15,825 | |
| | TELECOM ITALIA SPA | | 5.303% 30 May 2024 | | 200,000 | | | | 197,500 | |
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| | TEMPUR SEALY INTL INC | | 6.875% 15 Dec 2020 | | 175,000 | | | | 183,313 | |
| | TENET HEALTHCARE CORP | | 6% 01 Oct 2020 | | 195,000 | | | | 205,238 | |
| | TENET HEALTHCARE CORP | | 6.75% 15 Jun 2023 | | 775,000 | | | | 718,813 | |
| | TENET HEALTHCARE CORP | | 8.125% 01 Apr 2022 | | 530,000 | | | | 528,675 | |
| | TENET HEALTHCARE CORP | | 4.5% 01 Apr 2021 | | 225,000 | | | | 219,375 | |
| | TENET HEALTHCARE CORP | | 8% 01 Aug 2020 | | 110,000 | | | | 110,275 | |
| | TEREX CORP | | 6% 15 May 2021 | | 595,000 | | | | 547,400 | |
| | TESORO LOGISTICS LP/CORP | | 6.25% 15 Oct 2022 | | 110,000 | | | | 104,225 | |
| | TESORO LOGISTICS LP/CORP | | 5.875% 01 Oct 2020 | | 262,000 | | | | 250,210 | |
| | TIME INC | | 5.75% 15 Apr 2022 | | 240,000 | | | | 219,600 | |
| | TREEHOUSE FOODS INC | | 4.875% 15 Mar 2022 | | 410,000 | | | | 390,525 | |
| | TRINIDAD DRILLING LTD | | 7.875% 15 Jan 2019 | | 225,000 | | | | 198,000 | |
| | TRIUMPH GROUP INC | | 4.875% 01 Apr 2021 | | 250,000 | | | | 201,406 | |
| | UCI INTERNATIONAL INC | | 8.625% 15 Feb 2019 | | 250,000 | | | | 86,250 | |
| | ULTRA PETROLEUM CORP | | 6.125% 01 Oct 2024 | | 145,000 | | | | 32,988 | |
| | UNITED RENTALS NORTH AM | | 8.25% 01 Feb 2021 | | 462,000 | | | | 483,368 | |
| | UNITED RENTALS NORTH AM | | 7.625% 15 Apr 2022 | | 115,000 | | | | 122,901 | |
| | UNITED RENTALS NORTH AM | | 6.125% 15 Jun 2023 | | 260,000 | | | | 265,850 | |
| | UPCB FINANCE IV LTD | | 5.375% 15 Jan 2025 | | 220,000 | | | | 207,350 | |
| | US CELLULAR CORP | | 6.7% 15 Dec 2033 | | 145,000 | | | | 130,138 | |
| | US DOLLAR | | | | (5,382 | ) | | | (5,382 | ) |
| | VALEANT PHARMACEUTICALS | | 7.25% 15 Jul 2022 | | 620,000 | | | | 606,050 | |
| | VALEANT PHARMACEUTICALS | | 7.5% 15 Jul 2021 | | 830,000 | | | | 827,925 | |
| | VALEANT PHARMACEUTICALS | | 6.125% 15 Apr 2025 | | 370,000 | | | | 330,225 | |
| | VALEANT PHARMACEUTICALS | | 7% 01 Oct 2020 | | 220,000 | | | | 219,450 | |
| | VALEANT PHARMACEUTICALS | | 5.875% 15 May 2023 | | 465,000 | | | | 415,013 | |
| | VALEANT PHARMACEUTICALS | | 6.75% 15 Aug 2021 | | 70,000 | | | | 67,550 | |
| | VANGUARD NAT RES/VNR FIN | | 7.875% 01 Apr 2020 | | 135,000 | | | | 35,775 | |
| | VARSITY BRANDS INC. | | 1% 11 Dec 2021 | | 317,174 | | | | 313,739 | |
| | VIDEOTRON LTD | | 5.375% 15 Jun 2024 | | 245,000 | | | | 246,225 | |
| | VIRGIN MEDIA SECURED FIN | | 5.5% 15 Jan 2025 | | 200,000 | | | | 200,000 | |
| | VIRGIN MEDIA SECURED FIN | | 5.375% 15 Apr 2021 | | 180,000 | | | | 185,850 | |
| | VISTA OUTDOOR INC | | 5.875% 01 Oct 2023 | | 120,000 | | | | 123,000 | |
| | WHITING PETROLEUM CORP | | 5.75% 15 Mar 2021 | | 285,000 | | | | 207,765 | |
| | WHITING PETROLEUM CORP | | 6.25% 01 Apr 2023 | | 110,000 | | | | 79,200 | |
| | WHITING PETROLEUM CORP | | 1.25% 01 Apr 2020 | | 85,000 | | | | 57,800 | |
| | WILLIAMS PARTNERS/ACMP | | 6.125% 15 Jul 2022 | | 150,000 | | | | 141,895 | |
| | WILTON BRANDS LLC | | 1% 30 Aug 2018 | | 365,565 | | | | 347,591 | |
| | WIND ACQUISITION FIN SA | | 7.375% 23 Apr 2021 | | 270,000 | | | | 255,150 | |
| | WINDSTREAM SERVICES LLC | | 7.5% 01 Apr 2023 | | 40,000 | | | | 30,092 | |
| | WINDSTREAM SERVICES LLC | | 6.375% 01 Aug 2023 | | 170,000 | | | | 122,400 | |
| | WINDSTREAM SERVICES LLC | | 7.75% 01 Oct 2021 | | 680,000 | | | | 535,075 | |
| | WINDSTREAM SERVICES LLC | | 7.5% 01 Jun 2022 | | 150,000 | | | | 115,125 | |
| | WMG ACQUISITION CORP | | 6% 15 Jan 2021 | | 250,000 | | | | 251,250 | |
| | WMG ACQUISITION CORP | | 5.625% 15 Apr 2022 | | 20,000 | | | | 19,300 | |
| | WPX ENERGY INC | | 5.25% 15 Sep 2024 | | 105,000 | | | | 69,300 | |
| | WPX ENERGY INC | | 8.25% 01 Aug 2023 | | 250,000 | | | | 200,000 | |
| | WR GRACE + CO CONN | | 5.625% 01 Oct 2024 | | 25,000 | | | | 25,250 | |
| | WYNN LAS VEGAS LLC/CORP | | 5.5% 01 Mar 2025 | | 430,000 | | | | 383,238 | |
| | XPO LOGISTICS INC | | 6.5% 15 Jun 2022 | | 225,000 | | | | 208,125 | |
| | ZAYO GROUP LLC/ZAYO CAP | | 6.375% 15 May 2025 | | 165,000 | | | | 153,450 | |
| | ZAYO GROUP LLC/ZAYO CAP | | 6% 01 Apr 2023 | | 230,000 | | | | 217,350 | |
| | ZEBRA TECHNOLOGIES CORP | | 7.25% 15 Oct 2022 | | 420,000 | | | | 438,900 | |
| | ZF NA CAPITAL | | 4.5% 29 Apr 2022 | | 295,000 | | | | 288,363 | |
| | ZF NA CAPITAL | | 4.75% 29 Apr 2025 | | 150,000 | | | | 142,875 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT J - High Yield Debt Fund | | | | | | $ | 88,697,145 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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EXHIBIT K - Mutual Fund Window
(Administered by Fidelity)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
(a) | | (b) Identity of issue, borrower,
lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | AMERICAN THE GROWTH FUND OF | | MUTUAL FUNDS | | 1,583,239 | | | | $ | 65,371,948 | |
| | AMERICAN AMCAP FUND | | MUTUAL FUNDS | | 1,320,946 | | | | 34,569,162 | |
| | AMERICAN BALANCED FUND | | MUTUAL FUNDS | | 1,079,702 | | | | 25,740,099 | |
| | AMERICAN EUROPACIFIC GROWTH FU | | MUTUAL FUNDS | | 1,149,756 | | | | 52,106,928 | |
| | AMERICAN FUNDS CAPITAL WORLD | | MUTUAL FUNDS | | 757,311 | | | | 32,829,448 | |
| | AMERICAN FUNDS CAPITAL WORLD BOND FUND | | MUTUAL FUNDS | | 749,628 | | | | 14,175,457 | |
| | AMERICAN FUNDS FUNDAMENTAL I | | MUTUAL FUNDS | | 1,004,298 | | | | 50,937,997 | |
| | AMERICAN FUNDS INTERNATIONAL GROWTH AND INCOME | | MUTUAL FUNDS | | 248,126 | | | | 7,031,903 | |
| | AMERICAN FUNDS INVESTMENT CO | | MUTUAL FUNDS | | 552,729 | | | | 18,439,029 | |
| | AMERICAN FUNDS NEW ECONOMY F | | MUTUAL FUNDS | | 1,420,388 | | | | 51,105,548 | |
| | AMERICAN FUNDS NEW WORLD FUN | | MUTUAL FUNDS | | 977,412 | | | | 48,841,273 | |
| | AMERICAN MUTUAL FUND | | MUTUAL FUNDS | | 869,539 | | | | 29,433,898 | |
| | AMERICAN NEW PERSPECTIVE FUND | | MUTUAL FUNDS | | 623,358 | | | | 22,453,347 | |
| | AMERICAN SMALLCAP WORLD FUND | | MUTUAL FUNDS | | 746,527 | | | | 32,944,225 | |
| | AMERICAN WASHINGTON MUTUAL INV | | MUTUAL FUNDS | | 654,989 | | | | 25,184,338 | |
| | DFA EMERGING MARKETS PORTFOLIO | | MUTUAL FUNDS | | 884,800 | | | | 18,288,815 | |
| | DFA EMERGING MARKETS VALUE POR | | MUTUAL FUNDS | | 1,069,774 | | | | 21,823,383 | |
| | DFA GLOBAL REAL ESTATE SECURIT | | MUTUAL FUNDS | | 1,779,132 | | | | 18,271,688 | |
| | DFA INTERNATIONAL SMALL COMPAN | | MUTUAL FUNDS | | 747,854 | | | | 12,870,572 | |
| | DFA INTERNATIONAL VALUE PORTFO | | MUTUAL FUNDS | | 496,588 | | | | 7,960,308 | |
| | DFA INTERNATIONAL VECTOR EQUIT | | MUTUAL FUNDS | | 357,441 | | | | 3,742,406 | |
| | DFA LARGE CAP INTERNATIONAL PO | | MUTUAL FUNDS | | 344,049 | | | | 6,736,476 | |
| | DFA US CORE EQUITY 1 PORTFOLIO | | MUTUAL FUNDS | | 1,578,102 | | | | 27,096,012 | |
| | DFA US SMALL CAP PORTFOLIO | | MUTUAL FUNDS | | 878,717 | | | | 24,920,423 | |
| | DFA US TARGETED VALUE PORTFOLIO | | MUTUAL FUNDS | | 1,346,434 | | | | 26,592,069 | |
| | DFA U.S. VECTOR EQUITY PORTFOLIO | | MUTUAL FUNDS | | 367,781 | | | | 5,546,133 | |
| | DODGE + COX BALANCED FUND | | MUTUAL FUNDS | | 437,559 | | | | 41,314,279 | |
| | DODGE + COX GLOBAL BOND FUND | | MUTUAL FUNDS | | 55,224 | | | | 534,016 | |
| | DODGE + COX GLOBAL STOCK FUND | | MUTUAL FUNDS | | 1,588,961 | | | | 16,620,536 | |
| | DODGE + COX INCOME FUND | | MUTUAL FUNDS | | 4,390,727 | | | | 58,352,764 | |
| | DODGE + COX INTERNATIONAL STOC | | MUTUAL FUNDS | | 2,371,250 | | | | 86,503,193 | |
| | DODGE + COX STOCK FUND | | MUTUAL FUNDS | | 793,824 | | | | 129,210,732 | |
| | FIDELITY ADVISOR INTERNATIONAL | | MUTUAL FUNDS | | 380,875 | | | | 14,968,376 | |
| | FIDELITY BLUE CHIP GROWTH FUND | | MUTUAL FUNDS | | 1,885,964 | | | | 130,263,517 | |
| | FIDELITY CANADA FUND | | MUTUAL FUNDS | | 521,466 | | | | 21,573,067 | |
| | FIDELITY CAPITAL + INCOME FUND | | MUTUAL FUNDS | | 8,195,210 | | | | 74,986,170 | |
| | FIDELITY CAPITAL APPRECIATION | | MUTUAL FUNDS | | 833,459 | | | | 27,037,394 | |
| | FIDELITY CHINA REGION FUND | | MUTUAL FUNDS | | 2,681,016 | | | | 68,151,425 | |
| | FIDELITY CONTRAFUND | | MUTUAL FUNDS | | 2,454,820 | | | | 242,732,600 | |
| | FIDELITY CONVERTIBLE SECURITIE | | MUTUAL FUNDS | | 463,900 | | | | 12,274,804 | |
| | FIDELITY DIVERSIFIED INTERNATI | | MUTUAL FUNDS | | 790,136 | | | | 27,646,873 | |
| | FIDELITY DIVIDEND GROWTH FUND | | MUTUAL FUNDS | | 1,645,224 | | | | 49,768,012 | |
| | FIDELITY EMERGING ASIA FUND | | MUTUAL FUNDS | | 821,565 | | | | 24,655,175 | |
| | FIDELITY EQUITY INCOME FUND IN | | MUTUAL FUNDS | | 292,027 | | | | 14,910,908 | |
| | FIDELITY EUROPE FUND/UNITED ST | | MUTUAL FUNDS | | 461,297 | | | | 16,685,097 | |
| | FIDELITY EXPORT AND MULTINATIO | | MUTUAL FUNDS | | 610,975 | | | | 12,292,827 | |
| | FIDELITY FLOATING RATE HIGH IN | | MUTUAL FUNDS | | 3,076,041 | | | | 28,084,256 | |
| | FIDELITY FOCUSED STOCK FUND | | MUTUAL FUNDS | | 442,586 | | | | 7,953,263 | |
| | FIDELITY FREEDOM K 2005 FUND | | MUTUAL FUNDS | | 72,240 | | | | 894,327 | |
| | FIDELITY FREEDOM K 2010 FUND | | MUTUAL FUNDS | | 368,468 | | | | 4,546,898 | |
| | FIDELITY FREEDOM K 2015 FUND | | MUTUAL FUNDS | | 897,778 | | | | 11,491,557 | |
| | FIDELITY FREEDOM K 2020 FUND | | MUTUAL FUNDS | | 1,692,644 | | | | 22,884,542 | |
| | FIDELITY FREEDOM K 2025 FUND | | MUTUAL FUNDS | | 1,626,708 | | | | 22,936,577 | |
| | FIDELITY FREEDOM K 2030 FUND | | MUTUAL FUNDS | | 1,008,510 | | | | 14,451,951 | |
| | FIDELITY FREEDOM K 2035 FUND | | MUTUAL FUNDS | | 739,422 | | | | 10,913,876 | |
| | FIDELITY FREEDOM K 2040 FUND | | MUTUAL FUNDS | | 548,596 | | | | 8,113,736 | |
| | FIDELITY FREEDOM K 2045 FUND | | MUTUAL FUNDS | | 146,440 | | | | 2,227,359 | |
| | FIDELITY FREEDOM K 2050 FUND | | MUTUAL FUNDS | | 212,097 | | | | 3,251,453 | |
| | FIDELITY FREEDOM K INCOME FUND | | MUTUAL FUNDS | | 419,002 | | | | 4,759,865 | |
| | FIDELITY FUND | | MUTUAL FUNDS | | 280,500 | | | | 11,778,195 | |
| | FIDELITY GLOBAL BALANCED FUND | | MUTUAL FUNDS | | 359,108 | | | | 7,900,384 | |
| | FIDELITY GNMA FUND | | MUTUAL FUNDS | | 1,372,435 | | | | 15,810,455 | |
| | FIDELITY GOVERNMENT INCOME FUN | | MUTUAL FUNDS | | 1,360,417 | | | | 14,012,299 | |
| | FIDELITY GROWTH COMPANY FUND | | MUTUAL FUNDS | | 1,333,779 | | | | 182,514,263 | |
| | | | | | | | | | | | |
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| | FIDELITY GROWTH DISCOVERY FUND | | MUTUAL FUNDS | | 1,258,006 | | | | 31,777,226 | |
| | FIDELITY HIGH INCOME FUND | | MUTUAL FUNDS | | 2,736,086 | | | | 21,751,881 | |
| | FIDELITY INDEPENDENCE FUND | | MUTUAL FUNDS | | 1,471,275 | | | | 52,951,185 | |
| | FIDELITY INFLATION PROTECTED B | | MUTUAL FUNDS | | 944,644 | | | | 10,986,206 | |
| | FIDELITY INTERMEDIATE BOND FUN | | MUTUAL FUNDS | | 710,366 | | | | 7,622,227 | |
| | FIDELITY INTERMEDIATE GOVERNME | | MUTUAL FUNDS | | 836,996 | | | | 8,847,053 | |
| | FIDELITY INTERNATIONAL REAL ES | | MUTUAL FUNDS | | 924,120 | | | | 9,259,680 | |
| | FIDELITY INTERNATIONAL SMALL C | | MUTUAL FUNDS | | 805,682 | | | | 17,821,687 | |
| | FIDELITY JAPAN FUND/UNITED STA | | MUTUAL FUNDS | | 955,667 | | | | 11,286,432 | |
| | FIDELITY LARGE CAP STOCK FUND | | MUTUAL FUNDS | | 1,129,725 | | | | 29,519,713 | |
| | FIDELITY LATIN AMERICA FUND/UN | | MUTUAL FUNDS | | 1,035,066 | | | | 16,902,625 | |
| | FIDELITY LEVERAGED COMPANY STO | | MUTUAL FUNDS | | 1,379,961 | | | | 55,019,036 | |
| | FIDELITY LIMITED TERM GOVERNME | | MUTUAL FUNDS | | 2,276,530 | | | | 22,742,534 | |
| | FIDELITY LOW PRICED STOCK FUND | | MUTUAL FUNDS | | 1,170,168 | | | | 55,828,708 | |
| | FIDELITY MID CAP STOCK FUND | | MUTUAL FUNDS | | 1,275,573 | | | | 41,749,494 | |
| | FIDELITY NEW MARKETS INCOME FU | | MUTUAL FUNDS | | 2,244,577 | | | | 32,591,262 | |
| | FIDELITY OTC PORTFOLIO | | MUTUAL FUNDS | | 2,038,134 | | | | 171,835,064 | |
| | FIDELITY OVERSEAS FUND/UNITED | | MUTUAL FUNDS | | 497,483 | | | | 20,277,407 | |
| | FIDELITY PACIFIC BASIN FUND | | MUTUAL FUNDS | | 623,021 | | | | 16,397,920 | |
| | FIDELITY PURITAN TRUST FIDEL | | MUTUAL FUNDS | | 1,460,874 | | | | 30,999,755 | |
| | FIDELITY REAL ESTATE INCOME FU | | MUTUAL FUNDS | | 2,178,119 | | | | 24,482,054 | |
| | FIDELITY REAL ESTATE INVESTMEN | | MUTUAL FUNDS | | 1,222,858 | | | | 49,623,570 | |
| | FIDELITY SHORT TERM BOND FUND | | MUTUAL FUNDS | | 2,073,417 | | | | 17,727,714 | |
| | FIDELITY SMALL CAP DISCOVERY F | | MUTUAL FUNDS | | 4,540,056 | | | | 119,948,286 | |
| | FIDELITY SMALL CAP STOCK FUND | | MUTUAL FUNDS | | 2,021,090 | | | | 35,106,334 | |
| | FIDELITY STOCK SELECTOR SMALL | | MUTUAL FUNDS | | 281,506 | | | | 6,491,524 | |
| | FIDELITY STRATEGIC INCOME FUND | | MUTUAL FUNDS | | 5,177,161 | | | | 52,548,185 | |
| | FIDELITY TOTAL BOND FUND | | MUTUAL FUNDS | | 1,749,730 | | | | 17,952,229 | |
| | FIDELITY TREND FUND | | MUTUAL FUNDS | | 162,911 | | | | 13,787,187 | |
| | FIDELITY VALUE FUND | | MUTUAL FUNDS | | 251,191 | | | | 24,069,107 | |
| | FIDELITY VALUE STRATEGIES FUND | | MUTUAL FUNDS | | 407,462 | | | | 16,905,611 | |
| | PIMCO ALL ASSET ALL AUTHORITY | | MUTUAL FUNDS | | 1,270,338 | | | | 9,718,086 | |
| | PIMCO ALL ASSET FUND | | MUTUAL FUNDS | | 910,802 | | | | 9,290,176 | |
| | PIMCO COMMODITY REALRETURN STR | | MUTUAL FUNDS | | 4,737,169 | | | | 29,891,536 | |
| | PIMCO DIVERSIFIED INCOME FUND | | MUTUAL FUNDS | | 1,544,277 | | | | 15,504,540 | |
| | PIMCO EMERGING LOCAL BOND FUND | | MUTUAL FUNDS | | 653,441 | | | | 4,338,845 | |
| | PIMCO EMERGING MARKETS BOND FU | | MUTUAL FUNDS | | 1,333,731 | | | | 12,417,036 | |
| | PIMCO FOREIGN BOND FUND U.S. D | | MUTUAL FUNDS | | 1,945,433 | | | | 19,279,244 | |
| | PIMCO FOREIGN BOND FUND UNHEDG | | MUTUAL FUNDS | | 1,079,519 | | | | 9,758,852 | |
| | PIMCO GLOBAL BOND FUND U.S. DO | | MUTUAL FUNDS | | 660,840 | | | | 6,476,232 | |
| | PIMCO GLOBAL BOND FUND UNHEDGE | | MUTUAL FUNDS | | 777,975 | | | | 6,815,063 | |
| | PIMCO GNMA FUND | | MUTUAL FUNDS | | 642,333 | | | | 7,226,244 | |
| | PIMCO HIGH YIELD FUND | | MUTUAL FUNDS | | 2,830,851 | | | | 23,382,833 | |
| | PIMCO INVESTMENT GRADE CORPORA | | MUTUAL FUNDS | | 4,476,890 | | | | 44,410,753 | |
| | PIMCO LONG TERM US GOVERNMENT | | MUTUAL FUNDS | | 4,660,481 | | | | 28,009,490 | |
| | PIMCO LOW DURATION FUND III | | MUTUAL FUNDS | | 899,190 | | | | 8,533,309 | |
| | PIMCO LOW DURATION FUND/UNITED | | MUTUAL FUNDS | | 2,919,911 | | | | 28,790,319 | |
| | PIMCO MODERATE DURATION FUND | | MUTUAL FUNDS | | 375,936 | | | | 3,766,881 | |
| | PIMCO MORTGAGE BACKED SECURITI | | MUTUAL FUNDS | | 391,209 | | | | 4,088,133 | |
| | PIMCO REAL RETURN ASSET FUND | | MUTUAL FUNDS | | 1,106,022 | | | | 8,472,125 | |
| | PIMCO REAL RETURN FUND | | MUTUAL FUNDS | | 1,131,537 | | | | 11,892,458 | |
| | PIMCO REALESTATEREALRETURN STR | | MUTUAL FUNDS | | 12,905,643 | | | | 97,308,545 | |
| | PIMCO STOCKSPLUS FUND/UNITED S | | MUTUAL FUNDS | | 3,001,900 | | | | 25,546,172 | |
| | PIMCO TOTAL RETURN FUND | | MUTUAL FUNDS | | 7,841,220 | | | | 78,961,088 | |
| | PIMCO TOTAL RETURN FUND III | | MUTUAL FUNDS | | 1,148,803 | | | | 10,247,320 | |
| | PIMCO UNCONSTRAINED BOND FUND | | MUTUAL FUNDS | | 748,709 | | | | 7,719,192 | |
| | VANGUARD CONVERTIBLE SECURITIE | | MUTUAL FUNDS | | 1,069,753 | | | | 12,944,014 | |
| | VANGUARD DIVIDEND GROWTH FUND | | MUTUAL FUNDS | | 7,601,105 | | | | 170,492,783 | |
| | VANGUARD EQUITY INCOME FUND | | MUTUAL FUNDS | | 1,237,229 | | | | 76,646,347 | |
| | VANGUARD EXPLORER FUND | | MUTUAL FUNDS | | 304,533 | | | | 22,766,881 | |
| | VANGUARD FTSE SOCIAL INDEX FUN | | MUTUAL FUNDS | | 967,267 | | | | 12,787,272 | |
| | VANGUARD GLOBAL EQUITY FUND | | MUTUAL FUNDS | | 520,726 | | | | 12,309,955 | |
| | VANGUARD GNMA FUND | | MUTUAL FUNDS | | 1,968,208 | | | | 20,981,094 | |
| | VANGUARD GROWTH AND INCOME FUN | | MUTUAL FUNDS | | 497,197 | | | | 32,099,061 | |
| | VANGUARD HIGH YIELD CORPORATE | | MUTUAL FUNDS | | 4,709,824 | | | | 26,092,424 | |
| | VANGUARD INFLATION PROTECTED S | | MUTUAL FUNDS | | 2,355,477 | | | | 24,190,747 | |
| | VANGUARD INTERMEDIATE TERM BON | | MUTUAL FUNDS | | 2,731,748 | | | | 30,759,487 | |
| | VANGUARD INTERMEDIATE TERM INV | | MUTUAL FUNDS | | 2,476,274 | | | | 23,871,281 | |
| | VANGUARD INTERMEDIATE TERM TRE | | MUTUAL FUNDS | | 3,248,386 | | | | 36,576,831 | |
| | VANGUARD INTERNATIONAL EXPLORE | | MUTUAL FUNDS | | 1,587,235 | | | | 26,903,637 | |
| | VANGUARD INTERNATIONAL GROWTH | | MUTUAL FUNDS | | 293,816 | | | | 19,703,298 | |
| | VANGUARD INTERNATIONAL VALUE F | | MUTUAL FUNDS | | 332,012 | | | | 10,322,259 | |
| | VANGUARD LONG TERM BOND INDEX | | MUTUAL FUNDS | | 1,459,076 | | | | 19,259,801 | |
| | VANGUARD LONG TERM INVESTMENT | | MUTUAL FUNDS | | 1,221,373 | | | | 12,091,588 | |
| | VANGUARD LONG TERM TREASURY FU | | MUTUAL FUNDS | | 3,360,916 | | | | 40,969,570 | |
| | VANGUARD MID CAP GROWTH FUND | | MUTUAL FUNDS | | 2,939,186 | | | | 65,984,729 | |
| | VANGUARD MID CAP INDEX FUND | | MUTUAL FUNDS | | 2,227,629 | | | | 73,177,598 | |
| | VANGUARD MORGAN GROWTH FUND | | MUTUAL FUNDS | | 314,228 | | | | 24,255,230 | |
| | VANGUARD PRIMECAP CORE FUND | | MUTUAL FUNDS | | 5,241,272 | | | | 109,123,287 | |
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| | VANGUARD SELECTED VALUE FUND | | MUTUAL FUNDS | | 1,700,438 | | | | 43,956,319 | |
| | VANGUARD SHORT TERM BOND INDEX | | MUTUAL FUNDS | | 2,866,323 | | | | 29,895,753 | |
| | VANGUARD SHORT TERM FEDERAL FU | | MUTUAL FUNDS | | 2,243,276 | | | | 24,025,486 | |
| | VANGUARD SHORT TERM INVESTMENT | | MUTUAL FUNDS | | 4,128,783 | | | | 43,599,948 | |
| | VANGUARD SHORT TERM TREASURY F | | MUTUAL FUNDS | | 6,431,410 | | | | 68,494,515 | |
| | VANGUARD SMALL CAP INDEX FUND | | MUTUAL FUNDS | | 838,202 | | | | 44,466,599 | |
| | VANGUARD STAR FUND | | MUTUAL FUNDS | | 517,200 | | | | 12,045,589 | |
| | VANGUARD STRATEGIC EQUITY FUND | | MUTUAL FUNDS | | 1,381,006 | | | | 39,082,480 | |
| | VANGUARD TARGET RETIREMENT 2010 | | MUTUAL FUNDS | | 225,940 | | | | 5,621,395 | |
| | VANGUARD TARGET RETIREMENT 2015 | | MUTUAL FUNDS | | 2,594,554 | | | | 36,920,500 | |
| | VANGUARD TARGET RETIREMENT 2025 | | MUTUAL FUNDS | | 2,957,110 | | | | 46,190,056 | |
| | VANGUARD TARGET RETIREMENT 2020 | | MUTUAL FUNDS | | 1,772,639 | | | | 48,127,145 | |
| | VANGUARD TARGET RETIREMENT 2030 | | MUTUAL FUNDS | | 1,002,115 | | | | 27,778,625 | |
| | VANGUARD TARGET RETIREMENT 2035 | | MUTUAL FUNDS | | 1,291,574 | | | | 21,750,105 | |
| | VANGUARD TARGET RETIREMENT 2040 | | MUTUAL FUNDS | | 436,807 | | | | 12,427,146 | |
| | VANGUARD TARGET RETIREMENT 2045 | | MUTUAL FUNDS | | 464,708 | | | | 8,262,505 | |
| | VANGUARD TARGET RETIREMENT 2050 | | MUTUAL FUNDS | | 237,773 | | | | 6,774,164 | |
| | VANGUARD TARGET RETIREMENT INC | | MUTUAL FUNDS | | 779,881 | | | | 9,709,515 | |
| | VANGUARD WELLESLEY INCOME FUND | | MUTUAL FUNDS | | 1,910,718 | | | | 113,496,660 | |
| | VANGUARD WELLINGTON FUND | | MUTUAL FUNDS | | 2,077,998 | | | | 132,035,978 | |
| | VANGUARD WINDSOR FUND | | MUTUAL FUNDS | | 363,081 | | | | 23,444,140 | |
| | VANGUARD WINDSOR II FUND | | MUTUAL FUNDS | | 283,256 | | | | 16,836,756 | |
| | | | | | | | | | | |
| | | | Total: EXHIBIT K - Mutual Fund Window | | | | | | $ | 5,405,923,826 | |
| | | | | | | | | | | | |
n / a - Cost is not applicable
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EXHIBIT L - Interest Income Fund
(Managed by various investment companies)
IBM 401(K) PLUS PLAN AT DECEMBER 31, 2015
Schedule H, line 4i-Schedule of Assets (Held At End of Year)
| | (b) Identity of issue, borrower, | | (c) Description of investment including maturity date, | | | | (e) Fair | |
(a) | | lessor, or similar party | | rate of interest, collateral, par, or maturity value | | (d) Cost | | value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 10Y RTP SWAPTION BRSRLM8G6 | | FEB17 2.8 PUT | | (12,300,000 | ) | | | $ | (193,959 | ) |
| | 10Y RTP SWAPTION BRSRNDLR5 | | FEB17 2.9 PUT | | (6,400,000 | ) | | | (86,345 | ) |
| | 10Y RTP SWAPTION BRSRWU8X9 | | FEB17 2.9 PUT | | (2,300,000 | ) | | | (33,212 | ) |
| | 10Y RTR SWAPTION BRSRLM991 | | FEB17 1.8 CALL | | (12,300,000 | ) | | | (124,245 | ) |
| | 10Y RTR SWAPTION BRSRNDP18 | | FEB17 1.9 CALL | | (6,400,000 | ) | | | (79,379 | ) |
| | 10Y RTR SWAPTION BRSRWVW93 | | FEB17 1.9 CALL | | (2,300,000 | ) | | | (29,555 | ) |
| | 21ST CENTURY FOX AMERICA | | 3.7% 15 Oct 2025 | | 50,000 | | | | 49,876 | |
| | 21ST CENTURY FOX AMERICA | | 7.75% 20 Jan 2024 | | 260,000 | | | | 321,751 | |
| | 30Y RTP SWAPTION BRSR85V64 | | JAN16 3.05 PUT | | 2,590,000 | | | | 1 | |
| | ABBVIE INC | | 2.5% 14 May 2020 | | 365,000 | | | | 361,330 | |
| | ABBVIE INC | | 2.9% 06 Nov 2022 | | 160,000 | | | | 154,790 | |
| | ABBVIE INC | | 3.6% 14 May 2025 | | 145,000 | | | | 143,106 | |
| | ABBVIE INC | | 4.4% 06 Nov 2042 | | 410,000 | | | | 382,908 | |
| | ABBVIE INC | | 4.5% 14 May 2035 | | 320,000 | | | | 313,471 | |
| | ABBVIE INC | | 4.7% 14 May 2045 | | 90,000 | | | | 87,972 | |
| | ACTAVIS FUNDING SCS | | 2.35% 12 Mar 2018 | | 1,115,000 | | | | 1,116,162 | |
| | ACTAVIS FUNDING SCS | | 3% 12 Mar 2020 | | 525,000 | | | | 524,583 | |
| | ACTAVIS FUNDING SCS | | 3.85% 15 Jun 2024 | | 90,000 | | | | 90,160 | |
| | AETNA INC | | 2.75% 15 Nov 2022 | | 120,000 | | | | 116,573 | |
| | AETNA INC | | 3.5% 15 Nov 2024 | | 68,000 | | | | 67,878 | |
| | AGRIUM INC | | 4.125% 15 Mar 2035 | | 75,000 | | | | 63,799 | |
| | ALCATEL LUCENT USA INC | | 6.45% 15 Mar 2029 | | 150,000 | | | | 151,875 | |
| | ALIBABA GROUP HOLDING | | 2.5% 28 Nov 2019 | | 470,000 | | | | 459,170 | |
| | ALLY AUTO RECEIVABLES TRUST | | 0.81% 15 Sep 2017 | | 1,109,488 | | | | 1,109,044 | |
| | ALLY FINANCIAL INC | | 3.25% 13 Feb 2018 | | 990,000 | | | | 985,050 | |
| | ALLY FINANCIAL INC | | 4.125% 13 Feb 2022 | | 505,000 | | | | 499,950 | |
| | ALTICE LUXEMBOURG SA | | 7.625% 15 Feb 2025 | | 230,000 | | | | 198,375 | |
| | ALTICE US FINANCE I CORP | | 5.375% 15 Jul 2023 | | 360,000 | | | | 360,900 | |
| | ALTRIA GROUP INC | | 2.85% 09 Aug 2022 | | 365,000 | | | | 355,832 | |
| | AMER AIRLN 15 1 A PTT | | 3.375% 01 Nov 2028 | | 333,125 | | | | 321,466 | |
| | | | | | | | | | | | |
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| | AMERICAN CREDIT ACCEPTANCE REC | | 1.43% 12 Aug 2019 | | 994,103 | | | | 990,317 | |
| | AMERICAN INTL GROUP | | 3.75% 10 Jul 2025 | | 170,000 | | | | 168,480 | |
| | AMERICAN INTL GROUP | | 3.875% 15 Jan 2035 | | 155,000 | | | | 136,715 | |
| | AMERICAN INTL GROUP | | 4.375% 15 Jan 2055 | | 266,000 | | | | 228,570 | |
| | AMERICAN INTL GROUP | | 4.875% 01 Jun 2022 | | 635,000 | | | | 685,762 | |
| | AMERICAN TOWER CORP | | 4% 01 Jun 2025 | | 105,000 | | | | 103,210 | |
| | AMERICREDIT AUTOMOBILE RECEIVA | | 0.9% 10 Sep 2018 | | 1,572,530 | | | | 1,570,236 | |
| | AMERICREDIT AUTOMOBILE RECEIVA | | 0.94% 08 Feb 2019 | | 1,010,000 | | | | 1,006,389 | |
| | AMERICREDIT AUTOMOBILE RECEIVA | | 0.96% 09 Apr 2018 | | 1,174,688 | | | | 1,174,210 | |
| | AMERICREDIT AUTOMOBILE RECEIVA | | 1.07% 08 Jan 2019 | | 1,665,000 | | | | 1,660,555 | |
| | AMERICREDIT AUTOMOBILE RECEIVA | | 2.64% 10 Oct 2017 | | 1,062,554 | | | | 1,065,465 | |
| | AMGEN INC | | 3.125% 01 May 2025 | | 245,000 | | | | 232,742 | |
| | AMGEN INC | | 3.625% 22 May 2024 | | 95,000 | | | | 94,965 | |
| | AMGEN INC | | 4.4% 01 May 2045 | | 195,000 | | | | 180,672 | |
| | AMGEN INC | | 5.15% 15 Nov 2041 | | 210,000 | | | | 213,199 | |
| | ANADARKO PETROLEUM CORP | | 5.95% 15 Sep 2016 | | 1,726,000 | | | | 1,773,563 | |
| | ANADARKO PETROLEUM CORP | | 6.45% 15 Sep 2036 | | 547,000 | | | | 527,231 | |
| | ANALOG DEVICES INC | | 3.9% 15 Dec 2025 | | 40,000 | | | | 40,382 | |
| | ANALOG DEVICES INC | | 5.3% 15 Dec 2045 | | 40,000 | | | | 41,209 | |
| | ANHEUSER BUSCH INBEV WOR | | 3.75% 15 Jul 2042 | | 185,000 | | | | 158,953 | |
| | ANTHEM INC | | 3.5% 15 Aug 2024 | | 107,000 | | | | 104,473 | |
| | ANTHEM INC | | 4.65% 15 Jan 2043 | | 560,000 | | | | 532,876 | |
| | AON PLC | | 4.75% 15 May 2045 | | 90,000 | | | | 88,972 | |
| | APPLE INC | | 2% 06 May 2020 | | 55,000 | | | | 54,943 | |
| | APPLE INC | | 2.85% 06 May 2021 | | 615,000 | | | | 629,822 | |
| | APPLE INC | | 3.45% 06 May 2024 | | 315,000 | | | | 326,322 | |
| | APPLE INC | | 3.45% 09 Feb 2045 | | 120,000 | | | | 103,315 | |
| | APPLIED MATERIALS INC | | 3.9% 01 Oct 2025 | | 215,000 | | | | 216,158 | |
| | AT+T INC | | 0.01% 27 Nov 2022 | | 2,000,000 | | | | 1,557,308 | |
| | AT+T INC | | 2.45% 30 Jun 2020 | | 525,000 | | | | 517,033 | |
| | AT+T INC | | 2.625% 01 Dec 2022 | | 460,000 | | | | 436,122 | |
| | AT+T INC | | 3% 30 Jun 2022 | | 515,000 | | | | 502,650 | |
| | AT+T INC | | 4.5% 15 May 2035 | | 130,000 | | | | 120,232 | |
| | AT+T INC | | 4.75% 15 May 2046 | | 240,000 | | | | 219,743 | |
| | AUDATEX NORTH AMERICA IN | | 6.125% 01 Nov 2023 | | 270,000 | | | | 271,688 | |
| | AUSTRALIAN DOLLAR | | FOREIGN CURRENCY | | 1,206,502 | | | | 877,790 | |
| | AVALONBAY COMMUNITIES | | 3.5% 15 Nov 2025 | | 25,000 | | | | 24,759 | |
| | AVALONBAY COMMUNITIES IN | | 2.85% 15 Mar 2023 | | 545,000 | | | | 526,112 | |
| | AVIATION CAPITAL GROUP | | 2.875% 17 Sep 2018 | | 420,000 | | | | 417,590 | |
| | BAE SYSTEMS HOLDINGS INC | | 3.85% 15 Dec 2025 | | 65,000 | | | | 64,348 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 1% 10 Apr 2049 | | 1,727,600 | | | | 1,783,219 | |
| | BANK OF AMERICA CORP | | 1% 29 Dec 2049 | | 1,065,000 | | | | 1,079,644 | |
| | BANK OF AMERICA CORP | | 3.75% 12 Jul 2016 | | 2,520,000 | | | | 2,551,598 | |
| | BANK OF AMERICA CORP | | 3.95% 21 Apr 2025 | | 500,000 | | | | 486,885 | |
| | BANK OF AMERICA CORP | | 4% 22 Jan 2025 | | 595,000 | | | | 582,462 | |
| | BANK OF AMERICA CORP | | 5.625% 14 Oct 2016 | | 445,000 | | | | 459,087 | |
| | BANK OF NEW YORK MELLON | | 3.4% 15 May 2024 | | 475,000 | | | | 485,692 | |
| | BANK OF NY MELLON CORP | | 1% 29 Dec 2049 | | 250,000 | | | | 245,000 | |
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Table of Contents
| | BANK OF NY MELLON CORP | | 3% 24 Feb 2025 | | 105,000 | | | | 103,256 | |
| | BARCLAYS PLC | | 4.375% 11 Sep 2024 | | 535,000 | | | | 523,134 | |
| | BARCLAYS PLC | | 5.25% 17 Aug 2045 | | 260,000 | | | | 265,096 | |
| | BEAR STEARNS COMMERCIAL MORTGA | | 1% 11 Jun 2050 | | 1,409,318 | | | | 1,480,199 | |
| | BECTON DICKINSON AND CO | | 1.8% 15 Dec 2017 | | 95,000 | | | | 94,862 | |
| | BECTON DICKINSON AND CO | | 2.675% 15 Dec 2019 | | 70,000 | | | | 70,381 | |
| | BECTON DICKINSON AND CO | | 3.734% 15 Dec 2024 | | 100,000 | | | | 100,853 | |
| | BERKSHIRE HATHAWAY ENERG | | 5.95% 15 May 2037 | | 530,000 | | | | 605,479 | |
| | BIOGEN INC | | 2.9% 15 Sep 2020 | | 180,000 | | | | 179,527 | |
| | BIOGEN INC | | 4.05% 15 Sep 2025 | | 85,000 | | | | 85,386 | |
| | BIOGEN INC | | 5.2% 15 Sep 2045 | | 70,000 | | | | 70,026 | |
| | BOEING CO | | 3.5% 01 Mar 2045 | | 20,000 | | | | 18,441 | |
| | BOSTON SCIENTIFIC CORP | | 2.85% 15 May 2020 | | 125,000 | | | | 124,349 | |
| | BOSTON SCIENTIFIC CORP | | 3.85% 15 May 2025 | | 390,000 | | | | 383,740 | |
| | BPCE SA | | 5.7% 22 Oct 2023 | | 520,000 | | | | 545,971 | |
| | BRANCH BANKING + TRUST | | 3.625% 16 Sep 2025 | | 295,000 | | | | 297,774 | |
| | BRISTOL MYERS SQUIBB CO | | 4.5% 01 Mar 2044 | | 210,000 | | | | 227,015 | |
| | BRSRKFNM2 IRS USD P F 2.39500 | | 2.395% 09 Feb 2046 | | (1,135,000 | ) | | | (1,135,000 | ) |
| | BRSRKFNM2 IRS USD R V 03MLIBOR | | 1% 09 Feb 2046 | | 1,135,000 | | | | 1,191,691 | |
| | BRSRLN9T5 IRS USD P F 2.05000 | | 2.05% 11 Feb 2025 | | (10,700,000 | ) | | | (10,700,000 | ) |
| | BRSRLN9T5 IRS USD R V 03MLIBOR | | 1% 11 Feb 2025 | | 10,700,000 | | | | 10,763,999 | |
| | BRSTNN2P4 IRS USD P F 1.65000 | | 1.65% 30 Nov 2019 | | (10,700,000 | ) | | | (10,732,206 | ) |
| | BRSTNN2P4 IRS USD R V 03MLIBOR | | 1% 30 Nov 2019 | | 10,700,000 | | | | 10,700,000 | |
| | BRSWUP8P8 5Y RTP SWAPTION | | OCT17 1 PUT | | (17,280,000 | ) | | | (192,469 | ) |
| | BRSWUP9A0 5Y RTR SWAPTION | | OCT17 0.5 CALL | | (8,640,000 | ) | | | (61,700 | ) |
| | BRSXAM3E5 IRS USD P F 1.66000 | | 1.66% 31 May 2020 | | (11,990,000 | ) | | | (11,961,342 | ) |
| | BRSXAM3E5 IRS USD R V 03MLIBOR | | 1% 31 May 2020 | | 11,990,000 | | | | 11,990,000 | |
| | BRSY24112 CDS USD P F 1.00000 | | 1% 20 Dec 2020 | | (540,000 | ) | | | (540,000 | ) |
| | BRSY24112 CDS USD R V 03MLIBOR | | 1% 20 Dec 2020 | | 540,000 | | | | 520,367 | |
| | BURLINGTN NORTH SANTA FE | | 4.15% 01 Apr 2045 | | 65,000 | | | | 58,911 | |
| | BURLINGTN NORTH SANTA FE | | 4.55% 01 Sep 2044 | | 350,000 | | | | 337,875 | |
| | CAIXA ECONOMICA FEDERAL | | 2.375% 06 Nov 2017 | | 1,005,000 | | | | 928,419 | |
| | CALIFORNIA INSTITUTE OF | | 4.321% 01 Aug 2045 | | 300,000 | | | | 309,775 | |
| | CALIFORNIA ST | | 5% 01 Sep 2042 | | 625,000 | | | | 722,269 | |
| | CALIFORNIA ST HLTH FACS FING A | | 5% 15 Aug 2052 | | 280,000 | | | | 310,397 | |
| | CANADIAN DOLLAR | | FOREIGN CURRENCY | | 63,526 | | | | 45,732 | |
| | CANADIAN PACIFIC RR CO | | 3.7% 01 Feb 2026 | | 45,000 | | | | 44,282 | |
| | CAPITAL ONE BANK USA NA | | 1.3% 05 Jun 2017 | | 250,000 | | | | 247,993 | |
| | CAPITAL ONE BANK USA NA | | 2.15% 21 Nov 2018 | | 950,000 | | | | 941,814 | |
| | CAPITAL ONE FINANCIAL CO | | 1% 29 Dec 2049 | | 660,000 | | | | 656,700 | |
| | CAPITAL ONE FINANCIAL CO | | 4.2% 29 Oct 2025 | | 90,000 | | | | 88,862 | |
| | CCO SAFARI II LLC | | 3.579% 23 Jul 2020 | | 300,000 | | | | 298,203 | |
| | CCO SAFARI II LLC | | 4.464% 23 Jul 2022 | | 660,000 | | | | 657,697 | |
| | CCO SAFARI II LLC | | 4.908% 23 Jul 2025 | | 500,000 | | | | 499,514 | |
| | CCO SAFARI II LLC | | 6.384% 23 Oct 2035 | | 440,000 | | | | 444,546 | |
| | CCO SAFARI II LLC | | 6.484% 23 Oct 2045 | | 530,000 | | | | 530,869 | |
| | CCO SAFARI II LLC | | 6.834% 23 Oct 2055 | | 110,000 | | | | 108,376 | |
| | CELGENE CORP | | 2.875% 15 Aug 2020 | | 215,000 | | | | 213,379 | |
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| | CELGENE CORP | | 3.25% 15 Aug 2022 | | 185,000 | | | | 183,533 | |
| | CF INDUSTRIES INC | | 5.375% 15 Mar 2044 | | 265,000 | | | | 230,475 | |
| | CHRYSLER CAPITAL AUTO RECEIVAB | | 0.91% 16 Apr 2018 | | 961,650 | | | | 960,855 | |
| | CHUBB INA HOLDINGS INC | | 3.35% 15 May 2024 | | 250,000 | | | | 252,365 | |
| | CIGNA CORP | | 3.25% 15 Apr 2025 | | 200,000 | | | | 196,253 | |
| | CIT GROUP INC | | 4.25% 15 Aug 2017 | | 600,000 | | | | 613,500 | |
| | CITIBANK CREDIT CARD ISSUANCE | | 2.88% 23 Jan 2023 | | 2,000,000 | | | | 2,051,000 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 1% 15 Jun 2033 | | 855,000 | | | | 846,113 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 1% 15 Sep 2048 | | 765,000 | | | | 731,840 | |
| | CITIGROUP INC | | 1% 01 Apr 2016 | | 1,610,000 | | | | 1,609,786 | |
| | CITIGROUP INC | | 1% 29 Dec 2049 | | 795,000 | | | | 765,188 | |
| | CITIGROUP INC | | 1% 29 Dec 2049 | | 200,000 | | | | 204,000 | |
| | CITIGROUP INC | | 1.3% 01 Apr 2016 | | 1,960,000 | | | | 1,962,764 | |
| | CITIGROUP INC | | 1.8% 05 Feb 2018 | | 1,395,000 | | | | 1,389,660 | |
| | CITIGROUP INC | | 2.5% 29 Jul 2019 | | 415,000 | | | | 414,375 | |
| | CLEAR CHANNEL WORLDWIDE | | 7.625% 15 Mar 2020 | | 360,000 | | | | 332,550 | |
| | CNH EQUIPMENT TRUST | | 0.84% 15 Aug 2018 | | 1,990,000 | | | | 1,982,504 | |
| | COCA COLA CO/THE | | 2.875% 27 Oct 2025 | | 360,000 | | | | 354,907 | |
| | COMCAST CORP | | 4.2% 15 Aug 2034 | | 535,000 | | | | 529,966 | |
| | COMCAST CORP | | 4.4% 15 Aug 2035 | | 105,000 | | | | 105,626 | |
| | COMCAST CORP | | 4.6% 15 Aug 2045 | | 210,000 | | | | 212,630 | |
| | COMM MORTGAGE TRUST | | 1% 10 Aug 2049 | | 1,235,000 | | | | 1,257,656 | |
| | COMM MORTGAGE TRUST | | 1% 10 Jan 2046 | | 20,499,061 | | | | 1,408,599 | |
| | COMM MORTGAGE TRUST | | 1% 10 Jul 2048 | | 16,462,531 | | | | 851,761 | |
| | COMM MORTGAGE TRUST | | 1% 13 Feb 2032 | | 1,145,000 | | | | 1,131,961 | |
| | COMM MORTGAGE TRUST | | 2.364% 10 Feb 2029 | | 1,785,000 | | | | 1,796,647 | |
| | COMM MORTGAGE TRUST | | 3.528% 10 Dec 2047 | | 600,000 | | | | 604,792 | |
| | COMM MORTGAGE TRUST | | 3.63% 10 Oct 2048 | | 555,000 | | | | 559,625 | |
| | COMM MORTGAGE TRUST | | 3.8% 05 Oct 2030 | | 1,375,000 | | | | 1,350,652 | |
| | CONSOL ENERGY INC | | 5.875% 15 Apr 2022 | | 620,000 | | | | 384,400 | |
| | CONSTELLIUM NV | | 8% 15 Jan 2023 | | 415,000 | | | | 324,738 | |
| | CONTINENTAL RESOURCES | | 4.9% 01 Jun 2044 | | 175,000 | | | | 105,521 | |
| | COOPERATIEVE RABOBANK UA | | 4.375% 04 Aug 2025 | | 250,000 | | | | 254,263 | |
| | CORE INDUSTRIAL TRUST | | 3.04% 10 Feb 2034 | | 100,000 | | | | 99,361 | |
| | CORE INDUSTRIAL TRUST | | 3.077% 10 Feb 2034 | | 930,000 | | | | 922,405 | |
| | CORP FINANCIERA DE DESAR | | 4.75% 15 Jul 2025 | | 320,000 | | | | 315,200 | |
| | COX COMMUNICATIONS INC | | 8.375% 01 Mar 2039 | | 123,000 | | | | 135,541 | |
| | CRED SUIS GP FUN LTD | | 2.75% 26 Mar 2020 | | 500,000 | | | | 495,261 | |
| | CRED SUIS GP FUN LTD | | 4.875% 15 May 2045 | | 380,000 | | | | 374,713 | |
| | CREDIT ACCEPTANCE AUTO LOAN TR | | 2.4% 15 Feb 2023 | | 1,560,000 | | | | 1,549,941 | |
| | CREDIT ACCEPTANCE AUTO LOAN TR | | 3.04% 15 Aug 2023 | | 1,275,000 | | | | 1,268,822 | |
| | CREDIT SUISSE MORTGAGE TRUST | | 3.639% 15 Nov 2034 | | 1,100,000 | | | | 1,129,045 | |
| | CVS HEALTH CORP | | 2.8% 20 Jul 2020 | | 180,000 | | | | 180,809 | |
| | CVS HEALTH CORP | | 3.875% 20 Jul 2025 | | 150,000 | | | | 153,087 | |
| | CVS HEALTH CORP | | 4.875% 20 Jul 2035 | | 445,000 | | | | 459,459 | |
| | CVS HEALTH CORP | | 5.125% 20 Jul 2045 | | 240,000 | | | | 252,823 | |
| | CVS HEALTH CORP | | 5.3% 05 Dec 2043 | | 95,000 | | | | 102,038 | |
| | DAIMLER FINANCE NA LLC | | 2.45% 18 May 2020 | | 510,000 | | | | 500,208 | |
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| | DAVITA HEALTHCARE PARTNE | | 5% 01 May 2025 | | 230,000 | | | | 221,950 | |
| | DBRR TRUST | | 1% 18 Dec 2049 | | 1,334,287 | | | | 1,334,287 | |
| | DBUBS MORTGAGE TRUST | | 3.742% 10 Nov 2046 | | 693,890 | | | | 695,137 | |
| | DEUTSCHE BANK AG | | 1% 24 May 2028 | | 760,000 | | | | 693,676 | |
| | DEVON ENERGY CORPORATION | | 3.25% 15 May 2022 | | 285,000 | | | | 247,751 | |
| | DIRECTV HOLDINGS/FING | | 3.95% 15 Jan 2025 | | 100,000 | | | | 98,581 | |
| | DISCOVER BANK | | 2.6% 13 Nov 2018 | | 330,000 | | | | 329,736 | |
| | DISCOVER BANK | | 3.1% 04 Jun 2020 | | 250,000 | | | | 250,567 | |
| | DISCOVER FINANCIAL SVS | | 3.75% 04 Mar 2025 | | 65,000 | | | | 62,420 | |
| | DISCOVERY COMMUNICATIONS | | 4.875% 01 Apr 2043 | | 143,000 | | | | 117,706 | |
| | DOLLAR TREE INC | | 5.25% 01 Mar 2020 | | 105,000 | | | | 108,413 | |
| | DOLLAR TREE INC | | 5.75% 01 Mar 2023 | | 210,000 | | | | 217,350 | |
| | DORIC NIMROD 2013 1 CL A | | 5.25% 30 May 2025 | | 435,772 | | | | 453,029 | |
| | DOW CHEMICAL CO/THE | | 4.25% 01 Oct 2034 | | 126,000 | | | | 113,717 | |
| | DOW CHEMICAL CO/THE | | 4.375% 15 Nov 2042 | | 135,000 | | | | 117,571 | |
| | DRIVE AUTO RECEIVABLES TRUST | | 1.01% 15 Nov 2017 | | 453,312 | | | | 453,052 | |
| | DRIVE AUTO RECEIVABLES TRUST | | 2.28% 17 Jun 2019 | | 1,380,000 | | | | 1,389,677 | |
| | DUKE ENERGY CAROLINAS | | 3.75% 01 Jun 2045 | | 405,000 | | | | 375,092 | |
| | DUKE ENERGY CORP | | 3.75% 15 Apr 2024 | | 110,000 | | | | 111,452 | |
| | DUKE ENERGY FLORIDA LLC | | 5.9% 01 Mar 2033 | | 345,000 | | | | 395,859 | |
| | EASTMAN CHEMICAL CO | | 2.7% 15 Jan 2020 | | 225,000 | | | | 222,777 | |
| | EASTMAN CHEMICAL CO | | 3.8% 15 Mar 2025 | | 230,000 | | | | 222,740 | |
| | EASTMAN CHEMICAL CO | | 4.65% 15 Oct 2044 | | 40,000 | | | | 35,514 | |
| | EATON CORP | | 2.75% 02 Nov 2022 | | 355,000 | | | | 343,513 | |
| | ECOPETROL SA | | 4.125% 16 Jan 2025 | | 295,000 | | | | 236,000 | |
| | ELI LILLY + CO | | 3.7% 01 Mar 2045 | | 105,000 | | | | 98,219 | |
| | ENERGY TRANSFER PARTNERS | | 4.05% 15 Mar 2025 | | 441,000 | | | | 362,176 | |
| | ENERGY TRANSFER PARTNERS | | 4.75% 15 Jan 2026 | | 209,000 | | | | 175,786 | |
| | ENERGY TRANSFER PARTNERS | | 4.9% 01 Feb 2024 | | 30,000 | | | | 26,744 | |
| | ENERGY TRANSFER PARTNERS | | 4.9% 15 Mar 2035 | | 695,000 | | | | 519,999 | |
| | ENERGY TRANSFER PARTNERS | | 6.5% 01 Feb 2042 | | 343,000 | | | | 278,960 | |
| | ENTERGY CORP | | 4% 15 Jul 2022 | | 285,000 | | | | 290,751 | |
| | ENTERPRISE PRODUCTS OPER | | 1% 01 Aug 2066 | | 550,000 | | | | 492,250 | |
| | ENTERPRISE PRODUCTS OPER | | 3.75% 15 Feb 2025 | | 225,000 | | | | 205,809 | |
| | ENTERPRISE PRODUCTS OPER | | 4.9% 15 May 2046 | | 100,000 | | | | 81,719 | |
| | ENTERPRISE PRODUCTS OPER | | 5.1% 15 Feb 2045 | | 515,000 | | | | 431,384 | |
| | EOG RESOURCES INC | | 2.45% 01 Apr 2020 | | 485,000 | | | | 479,755 | |
| | EOG RESOURCES INC | | 3.9% 01 Apr 2035 | | 255,000 | | | | 233,468 | |
| | ERP OPERATING LP | | 3.375% 01 Jun 2025 | | 100,000 | | | | 98,883 | |
| | ERP OPERATING LP | | 4.5% 01 Jun 2045 | | 85,000 | | | | 86,357 | |
| | EURO CURRENCY | | FOREIGN CURRENCY | | 558,013 | | | | 606,169 | |
| | EXELON CORP | | 2.85% 15 Jun 2020 | | 100,000 | | | | 99,453 | |
| | FANNIE MAE | | 0.01% 15 May 2030 | | 1,350,000 | | | | 818,786 | |
| | FANNIE MAE | | 4.5% 25 Jan 2041 | | 1,540,000 | | | | 1,704,207 | |
| | FANNIE MAE | | 6.5% 25 Jul 2034 | | 0 | | | | 0 | |
| | FANNIEMAE STRIPS | | 0.01% 15 May 2029 | | 1,155,000 | | | | 729,541 | |
| | FED HM LN PC POOL 1B8062 | | 1% 01 Mar 2041 | | 211,571 | | | | 221,698 | |
| | FED HM LN PC POOL 2B0646 | | 1% 01 Jul 2042 | | 502,403 | | | | 521,394 | |
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| | FED HM LN PC POOL A32162 | | 5% 01 Mar 2035 | | 89,183 | | | | 97,731 | |
| | FED HM LN PC POOL A90196 | | 4.5% 01 Dec 2039 | | 59,220 | | | | 63,872 | |
| | FED HM LN PC POOL A93534 | | 4% 01 Aug 2040 | | 73,034 | | | | 77,383 | |
| | FED HM LN PC POOL A94779 | | 4% 01 Nov 2040 | | 77,114 | | | | 81,771 | |
| | FED HM LN PC POOL A94977 | | 4% 01 Nov 2040 | | 70,178 | | | | 74,676 | |
| | FED HM LN PC POOL A95144 | | 4% 01 Nov 2040 | | 81,520 | | | | 86,745 | |
| | FED HM LN PC POOL A95923 | | 4% 01 Oct 2040 | | 78,346 | | | | 83,368 | |
| | FED HM LN PC POOL C00748 | | 6% 01 Apr 2029 | | 644 | | | | 736 | |
| | FED HM LN PC POOL C03811 | | 3.5% 01 Apr 2042 | | 564,823 | | | | 583,714 | |
| | FED HM LN PC POOL E00975 | | 6% 01 May 2016 | | 380 | | | | 382 | |
| | FED HM LN PC POOL E01157 | | 6% 01 Jun 2017 | | 177 | | | | 181 | |
| | FED HM LN PC POOL E84261 | | 6% 01 Jul 2016 | | 2,635 | | | | 2,653 | |
| | FED HM LN PC POOL E84593 | | 6% 01 Jul 2016 | | 355 | | | | 357 | |
| | FED HM LN PC POOL E87958 | | 6% 01 Feb 2017 | | 317 | | | | 318 | |
| | FED HM LN PC POOL E88282 | | 6% 01 Mar 2017 | | 129 | | | | 132 | |
| | FED HM LN PC POOL E88512 | | 6% 01 Mar 2017 | | 474 | | | | 478 | |
| | FED HM LN PC POOL E88786 | | 6% 01 Mar 2017 | | 529 | | | | 530 | |
| | FED HM LN PC POOL E88982 | | 6% 01 Apr 2017 | | 1,542 | | | | 1,567 | |
| | FED HM LN PC POOL E89201 | | 6% 01 Apr 2017 | | 952 | | | | 969 | |
| | FED HM LN PC POOL E89245 | | 6% 01 Apr 2017 | | 1,442 | | | | 1,445 | |
| | FED HM LN PC POOL E89336 | | 6% 01 May 2017 | | 980 | | | | 1,001 | |
| | FED HM LN PC POOL E89350 | | 6% 01 Apr 2017 | | 3,494 | | | | 3,502 | |
| | FED HM LN PC POOL E89435 | | 6% 01 May 2017 | | 771 | | | | 784 | |
| | FED HM LN PC POOL E89704 | | 6% 01 May 2017 | | 1,283 | | | | 1,305 | |
| | FED HM LN PC POOL E91323 | | 6% 01 Sep 2017 | | 2,248 | | | | 2,294 | |
| | FED HM LN PC POOL G01838 | | 5% 01 Jul 2035 | | 1,079,609 | | | | 1,191,185 | |
| | FED HM LN PC POOL G01840 | | 5% 01 Jul 2035 | | 821,736 | | | | 906,880 | |
| | FED HM LN PC POOL G07550 | | 3% 01 Aug 2043 | | 0 | | | | 0 | |
| | FED HM LN PC POOL G07613 | | 6% 01 Apr 2039 | | 393,555 | | | | 453,021 | |
| | FED HM LN PC POOL G07642 | | 5% 01 Oct 2041 | | 202,210 | | | | 222,030 | |
| | FED HM LN PC POOL G07786 | | 4% 01 Aug 2044 | | 1,079,025 | | | | 1,151,747 | |
| | FED HM LN PC POOL G07962 | | 5% 01 Nov 2041 | | 1,224,763 | | | | 1,344,535 | |
| | FED HM LN PC POOL G08624 | | 4% 01 Jan 2045 | | 1,577,405 | | | | 1,667,927 | |
| | FED HM LN PC POOL G08667 | | 3.5% 01 Sep 2045 | | 0 | | | | 0 | |
| | FED HM LN PC POOL G08672 | | 4% 01 Oct 2045 | | 588,315 | | | | 621,982 | |
| | FED HM LN PC POOL G14444 | | 3% 01 May 2027 | | 272,890 | | | | 281,730 | |
| | FED HM LN PC POOL G15520 | | 3% 01 Jul 2030 | | 253,521 | | | | 261,894 | |
| | FED HM LN PC POOL G60018 | | 4.5% 01 Dec 2043 | | 432,548 | | | | 471,027 | |
| | FED HM LN PC POOL G60148 | | 4.5% 01 Jul 2045 | | 731,255 | | | | 790,848 | |
| | FED HM LN PC POOL G60198 | | 4.5% 01 Sep 2044 | | 665,918 | | | | 721,322 | |
| | FED HM LN PC POOL G60250 | | 3.5% 01 Oct 2045 | | 1,374,182 | | | | 1,419,294 | |
| | FED HM LN PC POOL J00625 | | 5% 01 Dec 2020 | | 14,785 | | | | 15,605 | |
| | FED HM LN PC POOL J12438 | | 4.5% 01 Jun 2025 | | 579,178 | | | | 621,002 | |
| | FED HM LN PC POOL J31418 | | 2.5% 01 May 2030 | | 144,131 | | | | 145,617 | |
| | FED HM LN PC POOL J31689 | | 3% 01 May 2030 | | 291,856 | | | | 301,901 | |
| | FED HM LN PC POOL J32181 | | 3% 01 Jul 2030 | | 29,990 | | | | 31,024 | |
| | FED HM LN PC POOL J32204 | | 2.5% 01 Jul 2030 | | 55,722 | | | | 56,288 | |
| | FED HM LN PC POOL J32209 | | 2.5% 01 Jul 2030 | | 53,562 | | | | 54,114 | |
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| | FED HM LN PC POOL J32436 | | 3% 01 Aug 2030 | | 32,806 | | | | 33,890 | |
| | FED HM LN PC POOL J32491 | | 2.5% 01 Jul 2030 | | 11,032 | | | | 11,143 | |
| | FED HM LN PC POOL Q00804 | | 4.5% 01 May 2041 | | 187,759 | | | | 202,560 | |
| | FED HM LN PC POOL Q00959 | | 4.5% 01 May 2041 | | 195,398 | | | | 210,825 | |
| | FED HM LN PC POOL Q03841 | | 4% 01 Oct 2041 | | 79,255 | | | | 84,340 | |
| | FED HM LN PC POOL Q04022 | | 4% 01 Oct 2041 | | 73,255 | | | | 77,956 | |
| | FED HM LN PC POOL Q11909 | | 3.5% 01 Oct 2042 | | 34,163 | | | | 35,223 | |
| | FED HM LN PC POOL Q12162 | | 3.5% 01 Aug 2042 | | 53,005 | | | | 54,729 | |
| | FED HM LN PC POOL Q14866 | | 3% 01 Jan 2043 | | 511,474 | | | | 511,819 | |
| | FED HM LN PC POOL Q15442 | | 3.5% 01 Feb 2043 | | 86,221 | | | | 89,345 | |
| | FED HM LN PC POOL Q16403 | | 3% 01 Mar 2043 | | 342,934 | | | | 343,165 | |
| | FED HM LN PC POOL Q16673 | | 3% 01 Mar 2043 | | 834,863 | | | | 835,319 | |
| | FED HM LN PC POOL Q17039 | | 3% 01 Mar 2043 | | 411,155 | | | | 411,433 | |
| | FED HM LN PC POOL Q17095 | | 3% 01 Apr 2043 | | 245,928 | | | | 246,094 | |
| | FED HM LN PC POOL Q17122 | | 3% 01 Apr 2043 | | 248,109 | | | | 248,260 | |
| | FED HM LN PC POOL Q20021 | | 3.5% 01 Jul 2043 | | 344,604 | | | | 357,303 | |
| | FED HM LN PC POOL Q20206 | | 3.5% 01 Jul 2043 | | 331,868 | | | | 342,994 | |
| | FED HM LN PC POOL Q21579 | | 4% 01 Sep 2043 | | 77,282 | | | | 82,332 | |
| | FED HM LN PC POOL Q24368 | | 3.5% 01 Jan 2044 | | 42,198 | | | | 43,626 | |
| | FED HM LN PC POOL Q24894 | | 4.5% 01 Feb 2044 | | 310,236 | | | | 334,790 | |
| | FED HM LN PC POOL Q25643 | | 4% 01 Apr 2044 | | 181,409 | | | | 193,048 | |
| | FED HM LN PC POOL Q25812 | | 3.5% 01 Apr 2044 | | 34,389 | | | | 35,542 | |
| | FED HM LN PC POOL Q25988 | | 3.5% 01 May 2044 | | 23,344 | | | | 24,126 | |
| | FED HM LN PC POOL Q26218 | | 3.5% 01 May 2044 | | 48,130 | | | | 49,877 | |
| | FED HM LN PC POOL Q26452 | | 3.5% 01 May 2044 | | 32,289 | | | | 33,369 | |
| | FED HM LN PC POOL Q26707 | | 3.5% 01 Jun 2044 | | 43,862 | | | | 45,327 | |
| | FED HM LN PC POOL Q27319 | | 3.5% 01 Jul 2044 | | 38,989 | | | | 40,402 | |
| | FED HM LN PC POOL Q27375 | | 4.5% 01 Jul 2044 | | 150,697 | | | | 162,926 | |
| | FED HM LN PC POOL Q27843 | | 3.5% 01 Aug 2044 | | 89,996 | | | | 93,009 | |
| | FED HM LN PC POOL Q28604 | | 3.5% 01 Sep 2044 | | 41,429 | | | | 42,933 | |
| | FED HM LN PC POOL Q28605 | | 3.5% 01 Sep 2044 | | 90,739 | | | | 93,779 | |
| | FED HM LN PC POOL Q29187 | | 4.5% 01 Oct 2044 | | 97,330 | | | | 105,258 | |
| | FED HM LN PC POOL Q35905 | | 3.5% 01 Aug 2045 | | 19,886 | | | | 20,512 | |
| | FED HM LN PC POOL Q36302 | | 3.5% 01 Sep 2045 | | 29,645 | | | | 30,721 | |
| | FED HM LN PC POOL Q36305 | | 3.5% 01 Sep 2045 | | 261,493 | | | | 269,688 | |
| | FED HM LN PC POOL Q36965 | | 3.5% 01 Oct 2045 | | 318,217 | | | | 328,664 | |
| | FED HM LN PC POOL Q36968 | | 3.5% 01 Oct 2045 | | 437,302 | | | | 451,061 | |
| | FED HM LN PC POOL Q36972 | | 4% 01 Oct 2045 | | 322,264 | | | | 341,949 | |
| | FED HM LN PC POOL Q37955 | | 4% 01 Dec 2045 | | 45,662 | | | | 48,479 | |
| | FED HM LN PC POOL Q37957 | | 4% 01 Dec 2045 | | 59,172 | | | | 62,754 | |
| | FED HM LN PC POOL V60696 | | 3% 01 Jan 2030 | | 67,913 | | | | 70,149 | |
| | FED HM LN PC POOL V60724 | | 3% 01 Jan 2030 | | 99,988 | | | | 103,281 | |
| | FED HM LN PC POOL V60770 | | 2.5% 01 Mar 2030 | | 136,258 | | | | 137,704 | |
| | FED HM LN PC POOL V60796 | | 2.5% 01 May 2030 | | 206,501 | | | | 208,582 | |
| | FED HM LN PC POOL V60840 | | 3% 01 Jun 2030 | | 594,197 | | | | 614,098 | |
| | FED HM LN PC POOL V60886 | | 2.5% 01 Aug 2030 | | 229,496 | | | | 231,865 | |
| | FED HM LN PC POOL V60902 | | 2.5% 01 Aug 2030 | | 165,577 | | | | 167,285 | |
| | FED HM LN PC POOL V60903 | | 2.5% 01 Sep 2030 | | 167,049 | | | | 168,747 | |
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| | FED HM LN PC POOL V60904 | | 2.5% 01 Sep 2030 | | 341,606 | | | | 345,049 | |
| | FED HM LN PC POOL V60905 | | 2.5% 01 Jul 2030 | | 15,084 | | | | 15,236 | |
| | FED HM LN PC POOL V60908 | | 3% 01 Aug 2030 | | 341,583 | | | | 353,035 | |
| | FED HM LN PC POOL V60909 | | 3% 01 Aug 2030 | | 51,364 | | | | 53,086 | |
| | FED HM LN PC POOL V80169 | | 3% 01 Jul 2043 | | 0 | | | | 0 | |
| | FED HM LN PC POOL V80355 | | 3.5% 01 Aug 2043 | | 685,211 | | | | 710,460 | |
| | FEDERAL HOME LOAN BANK | | 4% 01 Sep 2028 | | 1,380,000 | | | | 1,508,478 | |
| | FEDEX CORP | | 4.1% 01 Feb 2045 | | 99,000 | | | | 88,218 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Aug 2025 | | 940,000 | | | | 961,752 | |
| | FHLMC TBA 15 YR 2.5 | | 2.5% 17 Nov 2030 | | 858,000 | | | | 870,440 | |
| | FHLMC TBA 15 YR 2.5 | | 2.5% 17 Nov 2030 | | (858,000 | ) | | | (870,440 | ) |
| | FHLMC TBA 15 YR 2.5 | | 2.5% 20 Jan 2031 | | (1,467,000 | ) | | | (1,480,018 | ) |
| | FHLMC TBA 15 YR 3 | | 3% 20 Jan 2031 | | (1,958,000 | ) | | | (2,017,667 | ) |
| | FHLMC TBA 15 YR 4.5 | | 4.5% 20 Jan 2031 | | (200,000 | ) | | | (206,474 | ) |
| | FHLMC TBA 30 YR 3 | | 3% 14 Jan 2046 | | 3,282,000 | | | | 3,276,579 | |
| | FHLMC TBA 30 YR 3.5 | | 3.5% 12 Nov 2045 | | 2,814,167 | | | | 2,911,987 | |
| | FHLMC TBA 30 YR 3.5 | | 3.5% 12 Nov 2045 | | (2,814,167 | ) | | | (2,911,987 | ) |
| | FHLMC TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 2,179,000 | | | | 2,243,029 | |
| | FHLMC TBA 30 YR 4 | | 4% 11 Feb 2046 | | 500,000 | | | | 527,139 | |
| | FHLMC TBA 30 YR 4 | | 4% 14 Jan 2046 | | 1,131,000 | | | | 1,194,773 | |
| | FHLMC TBA 30 YR 4.5 | | 4.5% 10 Dec 2045 | | 2,431,000 | | | | 2,617,934 | |
| | FHLMC TBA 30 YR 4.5 | | 4.5% 10 Dec 2045 | | (2,431,000 | ) | | | (2,617,934 | ) |
| | FHLMC TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | (2,431,000 | ) | | | (2,618,795 | ) |
| | FHLMC TBA 30 YR 5 | | 5% 10 Dec 2045 | | (1,900,000 | ) | | | (2,083,668 | ) |
| | FHLMC TBA 30 YR 5 | | 5% 10 Dec 2045 | | 1,900,000 | | | | 2,083,668 | |
| | FHLMC TBA 30 YR 5 | | 5% 12 Nov 2045 | | 1,300,000 | | | | 1,422,834 | |
| | FHLMC TBA 30 YR 5 | | 5% 12 Nov 2045 | | (1,300,000 | ) | | | (1,422,834 | ) |
| | FHLMC TBA 30 YR 5 | | 5% 14 Jan 2046 | | (1,900,000 | ) | | | (2,075,372 | ) |
| | FHLMC TBA 30 YR 5.5 | | 5.5% 14 Jan 2046 | | 2,700,000 | | | | 2,986,126 | |
| | FIDELITY NATIONAL INFORM | | 3.5% 15 Apr 2023 | | 65,000 | | | | 62,063 | |
| | FIRST DATA CORPORATION | | 5.375% 15 Aug 2023 | | 705,000 | | | | 708,525 | |
| | FIRSTENERGY TRANSMISSION | | 4.35% 15 Jan 2025 | | 465,000 | | | | 471,359 | |
| | FMS WERTMANAGEMENT | | 1.125% 05 Sep 2017 | | 860,000 | | | | 858,313 | |
| | FMS WERTMANAGEMENT | | 1.625% 20 Nov 2018 | | 3,017,000 | | | | 3,026,199 | |
| | FNMA POOL 253800 | | 7% 01 May 2016 | | 83 | | | | 83 | |
| | FNMA POOL 254693 | | 5.5% 01 Apr 2033 | | 265,422 | | | | 298,595 | |
| | FNMA POOL 256889 | | 5.5% 01 Sep 2017 | | 39,441 | | | | 40,241 | |
| | FNMA POOL 257369 | | 5.5% 01 Sep 2018 | | 50,133 | | | | 51,989 | |
| | FNMA POOL 305049 | | 9.5% 01 Feb 2025 | | 4,258 | | | | 4,277 | |
| | FNMA POOL 305113 | | 9.5% 01 Mar 2025 | | 551 | | | | 553 | |
| | FNMA POOL 306419 | | 9.5% 01 Mar 2025 | | 18,106 | | | | 18,594 | |
| | FNMA POOL 316338 | | 9.5% 01 Jul 2025 | | 1,897 | | | | 1,905 | |
| | FNMA POOL 324556 | | 9.5% 01 Aug 2025 | | 787 | | | | 790 | |
| | FNMA POOL 555299 | | 1% 01 Nov 2017 | | 1,053 | | | | 1,071 | |
| | FNMA POOL 555424 | | 1% 01 May 2033 | | 800,046 | | | | 899,957 | |
| | FNMA POOL 572557 | | 7% 01 Apr 2016 | | 31 | | | | 31 | |
| | FNMA POOL 604436 | | 7% 01 Sep 2016 | | 5,950 | | | | 5,986 | |
| | FNMA POOL 677377 | | 5.5% 01 Jan 2033 | | 1,310,786 | | | | 1,473,926 | |
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| | FNMA POOL 695460 | | 5.5% 01 Apr 2018 | | 253,578 | | | | 264,989 | |
| | FNMA POOL 709212 | | 5% 01 Jul 2033 | | 0 | | | | 0 | |
| | FNMA POOL 711361 | | 5% 01 May 2033 | | 0 | | | | 0 | |
| | FNMA POOL 725206 | | 1% 01 Feb 2034 | | 437,033 | | | | 491,738 | |
| | FNMA POOL 725424 | | 1% 01 Apr 2034 | | 11,459 | | | | 12,887 | |
| | FNMA POOL 725946 | | 1% 01 Nov 2034 | | 202,215 | | | | 227,496 | |
| | FNMA POOL 735930 | | 1% 01 Dec 2018 | | 0 | | | | 0 | |
| | FNMA POOL 735989 | | 1% 01 Feb 2035 | | 600,679 | | | | 674,454 | |
| | FNMA POOL 819967 | | 5.5% 01 Apr 2035 | | 186,238 | | | | 210,429 | |
| | FNMA POOL 888202 | | 1% 01 Feb 2017 | | 326,155 | | | | 330,611 | |
| | FNMA POOL 888430 | | 1% 01 Nov 2033 | | 0 | | | | 0 | |
| | FNMA POOL 889183 | | 1% 01 Sep 2021 | | 190,320 | | | | 198,876 | |
| | FNMA POOL 889466 | | 1% 01 May 2038 | | 273,534 | | | | 311,673 | |
| | FNMA POOL 889529 | | 1% 01 Mar 2038 | | 85,006 | | | | 96,625 | |
| | FNMA POOL 889983 | | 1% 01 Oct 2038 | | 146,694 | | | | 165,804 | |
| | FNMA POOL 995113 | | 1% 01 Sep 2036 | | 34,522 | | | | 38,854 | |
| | FNMA POOL AB0108 | | 5% 01 Feb 2035 | | 0 | | | | 0 | |
| | FNMA POOL AB0124 | | 5% 01 Feb 2033 | | 0 | | | | 0 | |
| | FNMA POOL AB0127 | | 5% 01 Feb 2035 | | 0 | | | | 0 | |
| | FNMA POOL AB1226 | | 4.5% 01 Jul 2040 | | 101,952 | | | | 110,331 | |
| | FNMA POOL AB3314 | | 4.5% 01 Jul 2041 | | 52,451 | | | | 56,764 | |
| | FNMA POOL AB4530 | | 4% 01 Feb 2042 | | 226,714 | | | | 240,443 | |
| | FNMA POOL AB7271 | | 3% 01 Dec 2042 | | 354,428 | | | | 356,351 | |
| | FNMA POOL AB7425 | | 3% 01 Dec 2042 | | 290,430 | | | | 292,002 | |
| | FNMA POOL AB7567 | | 3% 01 Jan 2043 | | 0 | | | | 0 | |
| | FNMA POOL AB7755 | | 3% 01 Jan 2043 | | 504,395 | | | | 507,130 | |
| | FNMA POOL AB7762 | | 3% 01 Feb 2043 | | 327,134 | | | | 329,212 | |
| | FNMA POOL AB8558 | | 3% 01 Feb 2043 | | 327,105 | | | | 329,177 | |
| | FNMA POOL AB8701 | | 3% 01 Mar 2043 | | 978,497 | | | | 983,805 | |
| | FNMA POOL AB8712 | | 3% 01 Mar 2043 | | 110,696 | | | | 111,297 | |
| | FNMA POOL AB8830 | | 3% 01 Mar 2043 | | 352,415 | | | | 354,324 | |
| | FNMA POOL AB8923 | | 3% 01 Apr 2043 | | 333,656 | | | | 334,367 | |
| | FNMA POOL AB8924 | | 3% 01 Apr 2043 | | 243,968 | | | | 244,497 | |
| | FNMA POOL AB9016 | | 3% 01 Apr 2043 | | 888,442 | | | | 893,265 | |
| | FNMA POOL AB9033 | | 3% 01 Apr 2043 | | 79,011 | | | | 79,440 | |
| | FNMA POOL AB9173 | | 3% 01 May 2043 | | 665,491 | | | | 669,720 | |
| | FNMA POOL AB9462 | | 3% 01 May 2043 | | 413,497 | | | | 416,895 | |
| | FNMA POOL AB9564 | | 3% 01 Jun 2043 | | 49,206 | | | | 49,610 | |
| | FNMA POOL AB9662 | | 3% 01 Jun 2043 | | 527,465 | | | | 531,786 | |
| | FNMA POOL AC9312 | | 4% 01 Oct 2041 | | 70,019 | | | | 74,279 | |
| | FNMA POOL AD6391 | | 4.5% 01 May 2025 | | 902,824 | | | | 973,453 | |
| | FNMA POOL AD7992 | | 4.5% 01 Jul 2040 | | 223,482 | | | | 241,766 | |
| | FNMA POOL AD8036 | | 4.5% 01 Aug 2040 | | 1,063,594 | | | | 1,151,067 | |
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| | FNMA POOL AE0028 | | 1% 01 Oct 2039 | | 1,133,697 | | | | 1,283,145 | |
| | FNMA POOL AE0823 | | 1% 01 Sep 2040 | | 95,003 | | | | 107,348 | |
| | FNMA POOL AE2873 | | 4.5% 01 Aug 2040 | | 94,087 | | | | 102,780 | |
| | FNMA POOL AH6958 | | 1% 01 Feb 2041 | | 317,342 | | | | 329,894 | |
| | FNMA POOL AH7036 | | 4.5% 01 Mar 2041 | | 83,756 | | | | 91,091 | |
| | FNMA POOL AJ3757 | | 3% 01 Nov 2026 | | 203,412 | | | | 210,617 | |
| | FNMA POOL AJ4188 | | 4% 01 Dec 2041 | | 0 | | | | 0 | |
| | FNMA POOL AL0533 | | 1% 01 Jul 2041 | | 816,930 | | | | 867,416 | |
| | FNMA POOL AL1472 | | 1% 01 May 2039 | | 167,049 | | | | 182,422 | |
| | FNMA POOL AL1704 | | 1% 01 May 2040 | | 862,013 | | | | 985,148 | |
| | FNMA POOL AL1938 | | 1% 01 Dec 2026 | | 776,284 | | | | 822,449 | |
| | FNMA POOL AL2003 | | 1% 01 Jun 2042 | | 136,492 | | | | 144,843 | |
| | FNMA POOL AL2168 | | 1% 01 Jun 2042 | | 71,408 | | | | 73,962 | |
| | FNMA POOL AL2482 | | 1% 01 Sep 2042 | | 382,960 | | | | 414,378 | |
| | FNMA POOL AL2607 | | 1% 01 Jul 2042 | | 124,696 | | | | 132,261 | |
| | FNMA POOL AL2683 | | 1% 01 Sep 2026 | | 943,448 | | | | 1,000,845 | |
| | FNMA POOL AL2935 | | 1% 01 Feb 2043 | | 250,790 | | | | 259,964 | |
| | FNMA POOL AL3162 | | 1% 01 Feb 2043 | | 1,952,975 | | | | 1,967,427 | |
| | FNMA POOL AL3597 | | 1% 01 Jan 2043 | | 299,796 | | | | 317,978 | |
| | FNMA POOL AL3692 | | 1% 01 May 2043 | | 0 | | | | 0 | |
| | FNMA POOL AL3759 | | 1% 01 May 2043 | | 242,451 | | | | 243,990 | |
| | FNMA POOL AL4009 | | 1% 01 Jul 2043 | | 2,243,293 | | | | 2,332,535 | |
| | FNMA POOL AL4010 | | 1% 01 Jul 2043 | | 772,544 | | | | 800,263 | |
| | FNMA POOL AL4142 | | 1% 01 Jun 2041 | | 195,326 | | | | 221,027 | |
| | FNMA POOL AL4244 | | 1% 01 Jul 2042 | | 2,249,466 | | | | 2,407,947 | |
| | FNMA POOL AL4245 | | 1% 01 Sep 2028 | | 1,533,427 | | | | 1,615,217 | |
| | FNMA POOL AL4543 | | 1% 01 Jul 2043 | | 0 | | | | 0 | |
| | FNMA POOL AL4682 | | 1% 01 Dec 2043 | | 759,558 | | | | 789,826 | |
| | FNMA POOL AL4685 | | 1% 01 Jan 2044 | | 0 | | | | 0 | |
| | FNMA POOL AL4903 | | 1% 01 Sep 2025 | | 230,661 | | | | 239,417 | |
| | FNMA POOL AL4915 | | 1% 01 Feb 2044 | | 0 | | | | 0 | |
| | FNMA POOL AL4922 | | 1% 01 Feb 2029 | | 641,103 | | | | 675,202 | |
| | FNMA POOL AL5096 | | 1% 01 Nov 2043 | | 0 | | | | 0 | |
| | FNMA POOL AL5097 | | 1% 01 Sep 2043 | | 1,994,404 | | | | 2,157,802 | |
| | FNMA POOL AL5231 | | 1% 01 Sep 2042 | | 599,181 | | | | 647,547 | |
| | FNMA POOL AL5601 | | 1% 01 Aug 2044 | | 2,002,444 | | | | 2,144,322 | |
| | FNMA POOL AL5844 | | 1% 01 Sep 2044 | | 136,763 | | | | 145,610 | |
| | FNMA POOL AL5884 | | 1% 01 Aug 2029 | | 1,226,194 | | | | 1,291,526 | |
| | FNMA POOL AL5956 | | 1% 01 May 2027 | | 724,969 | | | | 767,077 | |
| | FNMA POOL AL6144 | | 1% 01 Jan 2030 | | 1,028,108 | | | | 1,062,004 | |
| | FNMA POOL AL6161 | | 1% 01 Dec 2029 | | 1,825,076 | | | | 1,924,506 | |
| | FNMA POOL AL6302 | | 1% 01 Oct 2041 | | 939,031 | | | | 1,016,884 | |
| | FNMA POOL AL6583 | | 1% 01 Mar 2030 | | 206,685 | | | | 213,694 | |
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| | FNMA POOL AL6584 | | 1% 01 Apr 2030 | | 174,437 | | | | 180,190 | |
| | FNMA POOL AL6626 | | 1% 01 Dec 2042 | | 174,887 | | | | 185,552 | |
| | FNMA POOL AL6761 | | 1% 01 May 2030 | | 101,364 | | | | 104,798 | |
| | FNMA POOL AL6887 | | 1% 01 Apr 2044 | | 2,323,073 | | | | 2,511,613 | |
| | FNMA POOL AL6918 | | 1% 01 Sep 2025 | | 123,556 | | | | 129,116 | |
| | FNMA POOL AL7139 | | 1% 01 Jul 2030 | | 138,357 | | | | 142,936 | |
| | FNMA POOL AL7225 | | 1% 01 Aug 2030 | | 253,196 | | | | 261,585 | |
| | FNMA POOL AL7227 | | 1% 01 Aug 2030 | | 229,156 | | | | 236,632 | |
| | FNMA POOL AL7369 | | 1% 01 Jan 2043 | | 217,059 | | | | 230,280 | |
| | FNMA POOL AL7442 | | 1% 01 Oct 2045 | | 110,037 | | | | 117,835 | |
| | FNMA POOL AL7443 | | 1% 01 Oct 2045 | | 152,938 | | | | 163,328 | |
| | FNMA POOL AL7521 | | 1% 01 Jun 2039 | | 5,896,714 | | | | 6,517,638 | |
| | FNMA POOL AL7531 | | 1% 01 Sep 2028 | | 350,975 | | | | 363,500 | |
| | FNMA POOL AL7577 | | 1% 01 Oct 2043 | | 160,888 | | | | 170,770 | |
| | FNMA POOL AL7660 | | 1% 01 Nov 2045 | | 318,372 | | | | 355,207 | |
| | FNMA POOL AL7661 | | 1% 01 Oct 2045 | | 199,718 | | | | 219,490 | |
| | FNMA POOL AL7747 | | 1% 01 Nov 2045 | | 60,750 | | | | 66,735 | |
| | FNMA POOL AO3107 | | 3.5% 01 Jun 2042 | | 69,031 | | | | 71,508 | |
| | FNMA POOL AO3128 | | 3.5% 01 May 2042 | | 0 | | | | 0 | |
| | FNMA POOL AO6482 | | 1% 01 Jul 2042 | | 156,562 | | | | 161,574 | |
| | FNMA POOL AP0006 | | 1% 01 Jul 2042 | | 706,011 | | | | 734,181 | |
| | FNMA POOL AQ0393 | | 3.5% 01 Oct 2042 | | 90,710 | | | | 94,319 | |
| | FNMA POOL AR6764 | | 4% 01 Mar 2043 | | 0 | | | | 0 | |
| | FNMA POOL AR7568 | | 3% 01 Mar 2043 | | 192,470 | | | | 192,872 | |
| | FNMA POOL AR7576 | | 3% 01 Mar 2043 | | 232,567 | | | | 233,054 | |
| | FNMA POOL AR8582 | | 3.5% 01 Jun 2043 | | 0 | | | | 0 | |
| | FNMA POOL AR8630 | | 3% 01 Apr 2043 | | 424,074 | | | | 424,958 | |
| | FNMA POOL AR9194 | | 3% 01 Mar 2043 | | 992,596 | | | | 999,942 | |
| | FNMA POOL AR9218 | | 3% 01 Mar 2043 | | 383,149 | | | | 384,010 | |
| | FNMA POOL AS0209 | | 3.5% 01 Aug 2043 | | 1,006,724 | | | | 1,042,848 | |
| | FNMA POOL AS1200 | | 4% 01 Dec 2043 | | 0 | | | | 0 | |
| | FNMA POOL AS1453 | | 3.5% 01 Jan 2044 | | 164,931 | | | | 171,466 | |
| | FNMA POOL AS1539 | | 3.5% 01 Jan 2044 | | 264,326 | | | | 273,958 | |
| | FNMA POOL AS2488 | | 4% 01 May 2044 | | 104,245 | | | | 110,988 | |
| | FNMA POOL AS2591 | | 3.5% 01 Jun 2044 | | 19,575 | | | | 20,211 | |
| | FNMA POOL AS2676 | | 3% 01 Jun 2029 | | 682,184 | | | | 704,687 | |
| | FNMA POOL AS3031 | | 3.5% 01 Aug 2044 | | 218,999 | | | | 226,830 | |
| | FNMA POOL AS3034 | | 3.5% 01 Aug 2044 | | 138,262 | | | | 143,591 | |
| | FNMA POOL AS3220 | | 3% 01 Sep 2029 | | 428,092 | | | | 442,210 | |
| | FNMA POOL AS3355 | | 3% 01 Sep 2029 | | 136,491 | | | | 141,115 | |
| | FNMA POOL AS3684 | | 4% 01 Nov 2044 | | 0 | | | | 0 | |
| | FNMA POOL AS3696 | | 4% 01 Nov 2044 | | 0 | | | | 0 | |
| | FNMA POOL AS3753 | | 3.5% 01 Nov 2029 | | 1,788,089 | | | | 1,883,450 | |
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| | FNMA POOL AS3949 | | 4% 01 Dec 2044 | | 0 | | | | 0 | |
| | FNMA POOL AS4570 | | 3.5% 01 Mar 2045 | | 198,320 | | | | 204,994 | |
| | FNMA POOL AS5093 | | 2.5% 01 Jun 2030 | | 148,495 | | | | 149,928 | |
| | FNMA POOL AS5147 | | 2.5% 01 Jun 2030 | | 97,396 | | | | 98,337 | |
| | FNMA POOL AS5176 | | 3.5% 01 Jun 2045 | | 449,362 | | | | 464,486 | |
| | FNMA POOL AS5312 | | 3.5% 01 Jul 2045 | | 0 | | | | 0 | |
| | FNMA POOL AS5365 | | 3.5% 01 Jul 2045 | | 0 | | | | 0 | |
| | FNMA POOL AS5407 | | 2.5% 01 Jul 2030 | | 226,233 | | | | 228,416 | |
| | FNMA POOL AS5548 | | 2.5% 01 Aug 2030 | | 102,609 | | | | 103,552 | |
| | FNMA POOL AS5551 | | 2.5% 01 Aug 2030 | | 102,217 | | | | 103,205 | |
| | FNMA POOL AS5614 | | 2.5% 01 Aug 2030 | | 139,310 | | | | 140,613 | |
| | FNMA POOL AS5616 | | 2.5% 01 Aug 2030 | | 271,332 | | | | 273,791 | |
| | FNMA POOL AS5618 | | 2.5% 01 Aug 2030 | | 111,988 | | | | 113,070 | |
| | FNMA POOL AS5622 | | 3% 01 Aug 2030 | | 190,941 | | | | 197,269 | |
| | FNMA POOL AS5623 | | 3% 01 Aug 2030 | | 191,062 | | | | 197,303 | |
| | FNMA POOL AS5707 | | 3.5% 01 Aug 2030 | | 36,833 | | | | 38,763 | |
| | FNMA POOL AS5708 | | 3.5% 01 Aug 2030 | | 148,953 | | | | 157,120 | |
| | FNMA POOL AS5714 | | 3% 01 Sep 2030 | | 130,384 | | | | 134,709 | |
| | FNMA POOL AS5728 | | 3% 01 Sep 2030 | | 178,782 | | | | 184,871 | |
| | FNMA POOL AS5786 | | 2.5% 01 Sep 2030 | | 123,913 | | | | 125,054 | |
| | FNMA POOL AS5872 | | 2.5% 01 Sep 2030 | | 149,223 | | | | 150,619 | |
| | FNMA POOL AS5949 | | 4% 01 Oct 2045 | | 516,273 | | | | 550,946 | |
| | FNMA POOL AS5952 | | 4.5% 01 Oct 2045 | | 284,406 | | | | 313,593 | |
| | FNMA POOL AS6008 | | 4% 01 Oct 2045 | | 335,669 | | | | 359,455 | |
| | FNMA POOL AS6009 | | 4% 01 Oct 2045 | | 247,336 | | | | 264,863 | |
| | FNMA POOL AS6115 | | 2.5% 01 Nov 2030 | | 148,554 | | | | 149,902 | |
| | FNMA POOL AS6116 | | 2.5% 01 Nov 2030 | | 148,216 | | | | 149,560 | |
| | FNMA POOL AS6141 | | 2.5% 01 Nov 2030 | | 150,921 | | | | 152,338 | |
| | FNMA POOL AS6142 | | 2.5% 01 Nov 2030 | | 127,700 | | | | 128,879 | |
| | FNMA POOL AS6147 | | 2.5% 01 Nov 2030 | | 138,592 | | | | 139,935 | |
| | FNMA POOL AS6230 | | 4.5% 01 Nov 2045 | | 254,248 | | | | 280,341 | |
| | FNMA POOL AS6233 | | 4.5% 01 Nov 2045 | | 25,410 | | | | 27,696 | |
| | FNMA POOL AS6234 | | 4.5% 01 Nov 2045 | | 217,572 | | | | 240,667 | |
| | FNMA POOL AS6332 | | 3.5% 01 Dec 2045 | | 1,692,000 | | | | 1,746,984 | |
| | FNMA POOL AT2037 | | 3% 01 Apr 2043 | | 161,940 | | | | 162,296 | |
| | FNMA POOL AT2040 | | 3% 01 Apr 2043 | | 454,582 | | | | 455,582 | |
| | FNMA POOL AT2043 | | 3% 01 Apr 2043 | | 256,740 | | | | 257,293 | |
| | FNMA POOL AT2719 | | 3% 01 May 2043 | | 1,048,998 | | | | 1,056,760 | |
| | FNMA POOL AT4957 | | 3.5% 01 May 2043 | | 386,206 | | | | 401,306 | |
| | FNMA POOL AT6144 | | 4% 01 May 2042 | | 151,522 | | | | 162,197 | |
| | FNMA POOL AT6654 | | 3% 01 May 2043 | | 403,391 | | | | 405,944 | |
| | FNMA POOL AT7267 | | 3.5% 01 Sep 2043 | | 32,537 | | | | 33,722 | |
| | FNMA POOL AT7333 | | 3.5% 01 Aug 2043 | | 21,006 | | | | 21,771 | |
| | FNMA POOL AT7676 | | 3% 01 Jun 2043 | | 145,127 | | | | 146,048 | |
| | FNMA POOL AT7940 | | 3.5% 01 Jul 2043 | | 616,686 | | | | 641,219 | |
| | FNMA POOL AT8464 | | 3.5% 01 Jul 2043 | | 386,983 | | | | 401,061 | |
| | FNMA POOL AU0570 | | 3.5% 01 Aug 2043 | | 172,312 | | | | 178,496 | |
| | FNMA POOL AU0613 | | 3.5% 01 Aug 2043 | | 258,222 | | | | 267,483 | |
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Table of Contents
| | FNMA POOL AU1633 | | 3.5% 01 Jul 2043 | | 971,160 | | | | 1,008,161 | |
| | FNMA POOL AU3032 | | 3.5% 01 Aug 2043 | | 21,770 | | | | 22,564 | |
| | FNMA POOL AU3267 | | 3.5% 01 Aug 2043 | | 87,597 | | | | 91,083 | |
| | FNMA POOL AU3270 | | 3.5% 01 Aug 2043 | | 165,287 | | | | 171,215 | |
| | FNMA POOL AU6743 | | 4% 01 Oct 2043 | | 1,186,835 | | | | 1,261,008 | |
| | FNMA POOL AU7247 | | 3.5% 01 Oct 2043 | | 36,377 | | | | 37,824 | |
| | FNMA POOL AV6577 | | 4% 01 Mar 2044 | | 96,633 | | | | 103,003 | |
| | FNMA POOL AV8080 | | 3.5% 01 Jun 2044 | | 32,903 | | | | 34,099 | |
| | FNMA POOL AV8711 | | 3.5% 01 Mar 2029 | | 1,002,266 | | | | 1,055,484 | |
| | FNMA POOL AW0937 | | 3% 01 Apr 2029 | | 496,973 | | | | 513,330 | |
| | FNMA POOL AW1007 | | 4% 01 May 2044 | | 165,828 | | | | 176,551 | |
| | FNMA POOL AW1247 | | 3% 01 May 2029 | | 345,459 | | | | 357,151 | |
| | FNMA POOL AW7055 | | 4% 01 Jul 2044 | | 45,151 | | | | 47,981 | |
| | FNMA POOL AW7928 | | 3.5% 01 Aug 2044 | | 23,164 | | | | 24,008 | |
| | FNMA POOL AW8166 | | 3% 01 Feb 2027 | | 535,329 | | | | 554,387 | |
| | FNMA POOL AW8188 | | 3.5% 01 Sep 2044 | | 44,431 | | | | 46,146 | |
| | FNMA POOL AW8191 | | 3.5% 01 Sep 2044 | | 46,088 | | | | 47,737 | |
| | FNMA POOL AW9217 | | 3.5% 01 Aug 2044 | | 82,679 | | | | 85,637 | |
| | FNMA POOL AX0830 | | 3.5% 01 Sep 2044 | | 49,331 | | | | 51,295 | |
| | FNMA POOL AX1321 | | 3.5% 01 Sep 2029 | | 356,413 | | | | 375,388 | |
| | FNMA POOL AX3298 | | 3% 01 Aug 2030 | | 36,138 | | | | 37,370 | |
| | FNMA POOL AX6255 | | 4% 01 Dec 2044 | | 26,543 | | | | 28,260 | |
| | FNMA POOL AX8713 | | 4% 01 Jan 2045 | | 193,577 | | | | 206,727 | |
| | FNMA POOL AX9372 | | 4% 01 Dec 2044 | | 196,851 | | | | 210,223 | |
| | FNMA POOL AX9700 | | 3% 01 Jul 2030 | | 46,515 | | | | 48,097 | |
| | FNMA POOL AX9701 | | 3% 01 Jul 2030 | | 142,444 | | | | 147,162 | |
| | FNMA POOL AY0299 | | 4% 01 Dec 2044 | | 28,688 | | | | 30,721 | |
| | FNMA POOL AY0828 | | 2.5% 01 May 2030 | | 69,957 | | | | 70,631 | |
| | FNMA POOL AY1866 | | 4% 01 Feb 2045 | | 43,480 | | | | 46,561 | |
| | FNMA POOL AY2693 | | 4% 01 Feb 2045 | | 96,107 | | | | 102,206 | |
| | FNMA POOL AY2953 | | 3.5% 01 May 2045 | | 16,055 | | | | 16,630 | |
| | FNMA POOL AY3416 | | 2.5% 01 Apr 2030 | | 140,600 | | | | 141,913 | |
| | FNMA POOL AY8218 | | 4% 01 May 2045 | | 49,145 | | | | 52,229 | |
| | FNMA POOL AZ0625 | | 4% 01 May 2045 | | 99,020 | | | | 106,037 | |
| | FNMA POOL AZ1097 | | 4% 01 Oct 2045 | | 24,930 | | | | 26,428 | |
| | FNMA POOL AZ2170 | | 2.5% 01 Jul 2030 | | 62,665 | | | | 63,251 | |
| | FNMA POOL AZ2297 | | 3% 01 Jul 2030 | | 28,513 | | | | 29,430 | |
| | FNMA POOL AZ2670 | | 4% 01 Oct 2045 | | 185,293 | | | | 196,223 | |
| | FNMA POOL AZ4777 | | 3.5% 01 Oct 2045 | | 461,291 | | | | 477,459 | |
| | FNMA POOL AZ4782 | | 4% 01 Oct 2045 | | 417,974 | | | | 444,242 | |
| | FNMA POOL AZ4838 | | 3.5% 01 Aug 2045 | | 8,946 | | | | 9,248 | |
| | FNMA POOL AZ4844 | | 3.5% 01 Aug 2045 | | 12,016 | | | | 12,422 | |
| | FNMA POOL AZ5719 | | 3% 01 Sep 2030 | | 80,534 | | | | 83,128 | |
| | FNMA POOL AZ5735 | | 4% 01 Sep 2045 | | 70,845 | | | | 75,113 | |
| | FNMA POOL AZ7833 | | 3% 01 Aug 2030 | | 39,908 | | | | 41,268 | |
| | FNMA POOL AZ7903 | | 4% 01 Jun 2041 | | 0 | | | | 0 | |
| | FNMA POOL AZ8597 | | 3% 01 Aug 2030 | | 17,626 | | | | 18,227 | |
| | FNMA POOL AZ8885 | | 4% 01 Oct 2045 | | 617,064 | | | | 654,130 | |
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| | FNMA POOL AZ9211 | | 4% 01 Oct 2045 | | 794,826 | | | | 841,490 | |
| | FNMA POOL AZ9243 | | 4% 01 Oct 2045 | | 44,604 | | | | 47,435 | |
| | FNMA POOL AZ9244 | | 4% 01 Oct 2045 | | 54,851 | | | | 58,293 | |
| | FNMA POOL BA2877 | | 4% 01 Oct 2045 | | 59,583 | | | | 63,364 | |
| | FNMA POOL BA2878 | | 4% 01 Oct 2045 | | 59,322 | | | | 63,044 | |
| | FNMA POOL BA2879 | | 4% 01 Oct 2045 | | 63,307 | | | | 67,199 | |
| | FNMA POOL BA2889 | | 4% 01 Nov 2045 | | 464,786 | | | | 492,103 | |
| | FNMA POOL BA2904 | | 4% 01 Nov 2045 | | 166,775 | | | | 178,450 | |
| | FNMA POOL BA2905 | | 4% 01 Nov 2045 | | 270,005 | | | | 288,338 | |
| | FNMA POOL BA2924 | | 4% 01 Dec 2045 | | 76,638 | | | | 81,350 | |
| | FNMA POOL BA3523 | | 4% 01 Nov 2045 | | 82,929 | | | | 87,820 | |
| | FNMA POOL BA4736 | | 4% 01 Dec 2045 | | 136,908 | | | | 145,597 | |
| | FNMA POOL BA4737 | | 4% 01 Dec 2045 | | 162,247 | | | | 172,429 | |
| | FNMA POOL MA2387 | | 3.5% 01 Sep 2045 | | 2,677,869 | | | | 2,764,859 | |
| | FNMA TBA 15 YR 2 | | 2% 16 Dec 2030 | | 1,100,000 | | | | 1,080,015 | |
| | FNMA TBA 15 YR 2 | | 2% 20 Jan 2031 | | 1,100,000 | | | | 1,079,133 | |
| | FNMA TBA 15 YR 2.5 | | 2.5% 16 Dec 2030 | | 5,553,000 | | | | 5,603,318 | |
| | FNMA TBA 15 YR 2.5 | | 2.5% 20 Jan 2031 | | 5,286,000 | | | | 5,327,786 | |
| | FNMA TBA 15 YR 3 | | 3% 16 Dec 2030 | | 4,077,000 | | | | 4,203,485 | |
| | FNMA TBA 15 YR 3 | | 3% 20 Jan 2031 | | 1,193,000 | | | | 1,228,961 | |
| | FNMA TBA 15 YR 3 | | 3% 20 Jan 2031 | | (1,490,000 | ) | | | (1,534,913 | ) |
| | FNMA TBA 15 YR 3.5 | | 3.5% 17 Nov 2030 | | 1,060,000 | | | | 1,114,320 | |
| | FNMA TBA 15 YR 3.5 | | 3.5% 17 Nov 2030 | | (1,060,000 | ) | | | (1,114,339 | ) |
| | FNMA TBA 15 YR 3.5 | | 3.5% 20 Jan 2031 | | (6,989,000 | ) | | | (7,319,070 | ) |
| | FNMA TBA 15 YR 4.5 | | 4.5% 20 Jan 2031 | | (300,000 | ) | | | (310,003 | ) |
| | FNMA TBA 30 YR 2.5 | | 2.5% 14 Jan 2046 | | 1,000,000 | | | | 965,508 | |
| | FNMA TBA 30 YR 3 | | 3% 10 Dec 2045 | | 4,696,000 | | | | 4,700,075 | |
| | FNMA TBA 30 YR 3 | | 3% 10 Dec 2045 | | (4,696,000 | ) | | | (4,700,075 | ) |
| | FNMA TBA 30 YR 3 | | 3% 11 Feb 2046 | | (2,400,000 | ) | | | (2,395,241 | ) |
| | FNMA TBA 30 YR 3 | | 3% 12 Nov 2045 | | 700,000 | | | | 703,337 | |
| | FNMA TBA 30 YR 3 | | 3% 12 Nov 2045 | | (700,000 | ) | | | (703,337 | ) |
| | FNMA TBA 30 YR 3 | | 3% 14 Jan 2046 | | (12,586,000 | ) | | | (12,586,115 | ) |
| | FNMA TBA 30 YR 3 | | 3% 14 Jan 2046 | | 2,400,000 | | | | 2,400,022 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 10 Dec 2045 | | (9,890,000 | ) | | | (10,246,040 | ) |
| | FNMA TBA 30 YR 3.5 | | 3.5% 10 Dec 2045 | | 9,890,000 | | | | 10,246,040 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 11 Feb 2046 | | (2,550,000 | ) | | | (2,625,416 | ) |
| | FNMA TBA 30 YR 3.5 | | 3.5% 12 Nov 2045 | | 1,400,000 | | | | 1,451,446 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 12 Nov 2045 | | (1,400,000 | ) | | | (1,451,446 | ) |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 4,650,000 | | | | 4,797,513 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | (8,635,500 | ) | | | (8,909,446 | ) |
| | FNMA TBA 30 YR 4 | | 4% 14 Jan 2046 | | 2,628,000 | | | | 2,780,876 | |
| | FNMA TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | 1,778,000 | | | | 1,920,018 | |
| | FNMA TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | (2,321,000 | ) | | | (2,506,390 | ) |
| | FNMA TBA 30 YR 5 | | 5% 14 Jan 2046 | | (6,000,000 | ) | | | (6,604,078) | |
| | FNMA TBA 30 YR 5 | | 5% 14 Jan 2046 | | 200,000 | | | | 220,136 | |
| | FNMA TBA 30 YR 5.5 | | 5.5% 14 Jan 2046 | | (1,200,000 | ) | | | (1,337,667 | ) |
| | FNMA TBA 30 YR 6 | | 6% 14 Jan 2046 | | 300,000 | | | | 338,949 | |
| | FORD CREDIT FLOORPLAN MASTER O | | 1.77% 15 Aug 2020 | | 1,260,000 | | | | 1,259,262 | |
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| | FORD CREDIT FLOORPLAN MASTER O | | 1.92% 15 Jan 2019 | | 3,220,000 | | | | 3,235,452 | |
| | FORD MOTOR CREDIT CO LLC | | 1% 09 May 2016 | | 1,795,000 | | | | 1,797,445 | |
| | FORD MOTOR CREDIT CO LLC | | 1.724% 06 Dec 2017 | | 865,000 | | | | 851,676 | |
| | FOREST LABORATORIES LLC | | 4.375% 01 Feb 2019 | | 36,000 | | | | 37,713 | |
| | FOREST LABORATORIES LLC | | 5% 15 Dec 2021 | | 320,000 | | | | 347,713 | |
| | FREDDIE MAC | | 6.25% 15 Jul 2032 | | 734,000 | | | | 1,020,440 | |
| | FREDDIE MAC | | 6.75% 15 Mar 2031 | | 204,000 | | | | 292,446 | |
| | FREEPORT MCMORAN INC | | 4% 14 Nov 2021 | | 437,000 | | | | 262,200 | |
| | FREEPORT MCMORAN INC | | 5.4% 14 Nov 2034 | | 185,000 | | | | 98,050 | |
| | GE CAPITAL INTL FUNDING | | 0.964% 15 Apr 2016 | | 2,111,000 | | | | 2,111,952 | |
| | GENERAL ELECTRIC CAPITAL CORP | | 1% 08 Jan 2016 | | 480,000 | | | | 480,007 | |
| | GENERAL ELECTRIC CO | | 2.7% 09 Oct 2022 | | 755,000 | | | | 751,834 | |
| | GENERAL ELECTRIC CO | | 4.5% 11 Mar 2044 | | 315,000 | | | | 324,177 | |
| | GENERAL ELECTRIC CO | | 6.15% 07 Aug 2037 | | 180,000 | | | | 225,972 | |
| | GENERAL MOTORS FINL CO | | 3.45% 10 Apr 2022 | | 505,000 | | | | 484,426 | |
| | GENERAL MOTORS FINL CO | | 3.5% 10 Jul 2019 | | 1,240,000 | | | | 1,244,154 | |
| | GILEAD SCIENCES INC | | 4.75% 01 Mar 2046 | | 60,000 | | | | 60,722 | |
| | GILEAD SCIENCES INC | | 4.8% 01 Apr 2044 | | 170,000 | | | | 172,074 | |
| | GLAXOSMITHKLINE CAPITAL | | 2.85% 08 May 2022 | | 405,000 | | | | 408,146 | |
| | GNMA I TBA 30 YR 3 | | 3% 21 Jan 2046 | | 1,600,000 | | | | 1,619,924 | |
| | GNMA I TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 1,300,000 | | | | 1,352,481 | |
| | GNMA I TBA 30 YR 4 | | 4% 21 Jan 2046 | | 1,605,000 | | | | 1,702,554 | |
| | GNMA I TBA 30 YR 4.5 | | 4.5% 21 Jan 2046 | | (1,500,000 | ) | | | (1,616,250 | ) |
| | GNMA I TBA 30 YR 5 | | 5% 21 Jan 2046 | | (2,700,000 | ) | | | (2,957,875 | ) |
| | GNMA II POOL 004223 | | 6.5% 20 Aug 2038 | | 245,631 | | | | 281,191 | |
| | GNMA II POOL 004292 | | 6.5% 20 Nov 2038 | | 153,090 | | | | 175,253 | |
| | GNMA II POOL 004598 | | 4.5% 20 Dec 2039 | | 20,122 | | | | 21,919 | |
| | GNMA II POOL 004617 | | 4.5% 20 Jan 2040 | | 24,623 | | | | 26,822 | |
| | GNMA II POOL 004636 | | 4.5% 20 Feb 2040 | | 19,766 | | | | 21,531 | |
| | GNMA II POOL 004696 | | 4.5% 20 May 2040 | | 1,312 | | | | 1,429 | |
| | GNMA II POOL 004771 | | 4.5% 20 Aug 2040 | | 48,572 | | | | 52,909 | |
| | GNMA II POOL 004800 | | 4% 20 Sep 2040 | | 24,487 | | | | 26,227 | |
| | GNMA II POOL 004833 | | 4% 20 Oct 2040 | | 45,783 | | | | 49,037 | |
| | GNMA II POOL 004838 | | 6.5% 20 Oct 2040 | | 278,426 | | | | 318,734 | |
| | GNMA II POOL 004882 | | 4% 20 Dec 2040 | | 670,933 | | | | 718,709 | |
| | GNMA II POOL 004922 | | 4% 20 Jan 2041 | | 499,917 | | | | 535,539 | |
| | GNMA II POOL 004945 | | 4% 20 Feb 2041 | | 10,680 | | | | 11,441 | |
| | GNMA II POOL 005018 | | 5% 20 Apr 2041 | | 69,472 | | | | 76,760 | |
| | GNMA II POOL 005056 | | 5% 20 May 2041 | | 13,501 | | | | 14,917 | |
| | GNMA II POOL 005083 | | 5% 20 Jun 2041 | | 159,104 | | | | 175,795 | |
| | GNMA II POOL 005115 | | 4.5% 20 Jul 2041 | | 1,434,156 | | | | 1,562,245 | |
| | GNMA II POOL 005116 | | 5% 20 Jul 2041 | | 72,003 | | | | 79,556 | |
| | GNMA II POOL 783584 | | 4.5% 20 Jul 2041 | | 323,151 | | | | 352,012 | |
| | GNMA II POOL 783590 | | 4.5% 20 Jun 2041 | | 469,990 | | | | 511,967 | |
| | GNMA II POOL AI4166 | | 4% 20 Aug 2044 | | 22,446 | | | | 24,268 | |
| | GNMA II POOL AI4167 | | 4% 20 Aug 2044 | | 30,710 | | | | 33,009 | |
| | GNMA II POOL AJ2723 | | 4% 20 Aug 2044 | | 23,642 | | | | 25,428 | |
| | GNMA II POOL AJ4687 | | 4% 20 Aug 2044 | | 23,438 | | | | 25,194 | |
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| | GNMA II POOL MA0462 | | 3.5% 20 Oct 2042 | | 77,022 | | | | 80,536 | |
| | GNMA II POOL MA0699 | | 3.5% 20 Jan 2043 | | 76,847 | | | | 80,353 | |
| | GNMA II POOL MA0934 | | 3.5% 20 Apr 2043 | | 75,547 | | | | 78,976 | |
| | GNMA II POOL MA1158 | | 4% 20 Jul 2043 | | 69,562 | | | | 74,263 | |
| | GNMA II POOL MA2224 | | 4% 20 Sep 2044 | | 0 | | | | 0 | |
| | GNMA II POOL MA2678 | | 3.5% 20 Mar 2045 | | 0 | | | | 0 | |
| | GNMA II POOL MA2826 | | 3.5% 20 May 2045 | | 0 | | | | 0 | |
| | GNMA II POOL MA3104 | | 3% 20 Sep 2045 | | 1,995,647 | | | | 2,025,423 | |
| | GNMA II POOL MA3173 | | 3.5% 20 Oct 2045 | | 789,005 | | | | 823,715 | |
| | GNMA II TBA 30 YR 3 | | 3% 21 Jan 2046 | | 2,754,000 | | | | 2,791,330 | |
| | GNMA II TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 9,108,000 | | | | 9,494,735 | |
| | GNMA II TBA 30 YR 4 | | 4% 21 Jan 2046 | | 1,970,000 | | | | 2,092,047 | |
| | GNMA II TBA 30 YR 4.5 | | 4.5% 19 Nov 2045 | | (1,523,000 | ) | | | (1,637,108 | ) |
| | GNMA II TBA 30 YR 4.5 | | 4.5% 19 Nov 2045 | | 1,523,000 | | | | 1,637,108 | |
| | GNMA II TBA 30 YR 4.5 | | 4.5% 21 Jan 2046 | | (1,523,000 | ) | | | (1,636,273 | ) |
| | GNMA II TBA 30 YR 5 | | 5% 21 Jan 2046 | | 1,600,000 | | | | 1,731,815 | |
| | GNMA POOL 351469 | | 6% 15 Mar 2024 | | 7,774 | | | | 8,721 | |
| | GNMA POOL 355176 | | 6% 15 Dec 2023 | | 11,115 | | | | 12,468 | |
| | GNMA POOL 462265 | | 6% 15 Dec 2028 | | 3,317 | | | | 3,721 | |
| | GNMA POOL 492131 | | 6% 15 Jan 2029 | | 3,629 | | | | 4,071 | |
| | GNMA POOL 492133 | | 6% 15 Jan 2029 | | 628 | | | | 709 | |
| | GNMA POOL 492165 | | 6% 15 Feb 2029 | | 905 | | | | 1,016 | |
| | GNMA POOL 615272 | | 4.5% 15 Jul 2033 | | 83,635 | | | | 91,797 | |
| | GNMA POOL 616411 | | 4.5% 15 May 2034 | | 96,281 | | | | 104,119 | |
| | GNMA POOL 646609 | | 4.5% 15 Jul 2040 | | 398,135 | | | | 433,449 | |
| | GNMA POOL 671489 | | 6.5% 15 Aug 2037 | | 18,568 | | | | 21,244 | |
| | GNMA POOL 685496 | | 6.5% 15 Sep 2038 | | 46,581 | | | | 53,295 | |
| | GNMA POOL 691303 | | 6.5% 15 Aug 2038 | | 3,183 | | | | 3,641 | |
| | GNMA POOL 691858 | | 6.5% 15 Jul 2038 | | 33,915 | | | | 38,804 | |
| | GNMA POOL 697656 | | 6.5% 15 Oct 2038 | | 69,579 | | | | 79,608 | |
| | GNMA POOL 701684 | | 6.5% 15 Feb 2039 | | 29,429 | | | | 33,671 | |
| | GNMA POOL 728627 | | 4.5% 15 Jan 2040 | | 150,948 | | | | 163,335 | |
| | GNMA POOL 732087 | | 4.5% 15 May 2040 | | 27,554 | | | | 29,804 | |
| | GNMA POOL 745793 | | 4.5% 15 Jul 2040 | | 562,819 | | | | 612,741 | |
| | GNMA POOL 759138 | | 4% 15 Jan 2041 | | 305,512 | | | | 324,343 | |
| | GNMA POOL 762838 | | 4% 15 Mar 2041 | | 240,521 | | | | 255,331 | |
| | GNMA POOL 780914 | | 6% 15 Nov 2028 | | 31,063 | | | | 35,033 | |
| | GNMA POOL 782557 | | 5% 15 Jan 2039 | | 2,012,225 | | | | 2,241,998 | |
| | GNMA POOL 782619 | | 5% 15 Apr 2039 | | 1,220,963 | | | | 1,351,735 | |
| | GNMA POOL 782695 | | 6.5% 15 Jun 2039 | | 145,715 | | | | 170,509 | |
| | GNMA POOL 782696 | | 5% 15 Jun 2039 | | 265,127 | | | | 294,220 | |
| | GNMA POOL 782958 | | 5% 15 May 2040 | | 536,718 | | | | 593,631 | |
| | GNMA POOL 783289 | | 4.5% 15 Apr 2041 | | 61,056 | | | | 66,042 | |
| | GNMA POOL 783571 | | 5% 15 Dec 2033 | | 462,769 | | | | 514,627 | |
| | GNMA POOL 783609 | | 4.5% 15 Oct 2040 | | 1,364,368 | | | | 1,485,388 | |
| | GNMA POOL 783610 | | 4.5% 15 Nov 2041 | | 916,908 | | | | 991,777 | |
| | GOLDMAN SACHS GROUP INC | | 1% 29 Dec 2049 | | 685,000 | | | | 680,719 | |
| | GOLDMAN SACHS GROUP INC | | 1% 30 Apr 2018 | | 365,000 | | | | 366,658 | |
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| | GOLDMAN SACHS GROUP INC | | 2.9% 19 Jul 2018 | | 1,034,000 | | | | 1,054,211 | |
| | GOLDMAN SACHS GROUP INC | | 3.75% 22 May 2025 | | 175,000 | | | | 176,167 | |
| | GOLDMAN SACHS GROUP INC | | 4.25% 21 Oct 2025 | | 240,000 | | | | 238,166 | |
| | GOLDMAN SACHS GROUP INC | | 4.75% 21 Oct 2045 | | 110,000 | | | | 109,271 | |
| | GOLDMAN SACHS GROUP INC | | 4.8% 08 Jul 2044 | | 290,000 | | | | 288,319 | |
| | GOLDMAN SACHS GROUP INC | | 5.15% 22 May 2045 | | 165,000 | | | | 160,279 | |
| | GS MORTGAGE SECURITIES TRUST | | 1% 10 Jun 2047 | | 710,000 | | | | 720,928 | |
| | GS MORTGAGE SECURITIES TRUST | | 1% 10 Jun 2047 | | 785,000 | | | | 778,365 | |
| | GTE CORP | | 6.94% 15 Apr 2028 | | 110,000 | | | | 130,167 | |
| | HARRIS CORPORATION | | 2.7% 27 Apr 2020 | | 65,000 | | | | 63,769 | |
| | HARRIS CORPORATION | | 5.054% 27 Apr 2045 | | 150,000 | | | | 146,875 | |
| | HARTFORD FINL SVCS GRP | | 1% 15 Jun 2068 | | 615,000 | | | | 676,500 | |
| | HCA INC | | 5.875% 15 Feb 2026 | | 245,000 | | | | 245,919 | |
| | HERTZ CORP | | 6.75% 15 Apr 2019 | | 440,000 | | | | 449,460 | |
| | HILTON USA TRUST | | 2.662% 05 Nov 2030 | | 1,600,000 | | | | 1,601,198 | |
| | HOME DEPOT INC | | 3.35% 15 Sep 2025 | | 20,000 | | | | 20,437 | |
| | HOME DEPOT INC | | 4.25% 01 Apr 2046 | | 110,000 | | | | 112,452 | |
| | HOME DEPOT INC | | 4.4% 15 Mar 2045 | | 145,000 | | | | 149,866 | |
| | HP ENTERPRISE CO | | 2.85% 05 Oct 2018 | | 375,000 | | | | 374,791 | |
| | HP ENTERPRISE CO | | 3.6% 15 Oct 2020 | | 425,000 | | | | 425,975 | |
| | HSBC HOLDINGS PLC | | 5.25% 14 Mar 2044 | | 330,000 | | | | 342,416 | |
| | HSBC USA INC | | 2.35% 05 Mar 2020 | | 530,000 | | | | 523,839 | |
| | HYUNDAI CAPITAL AMERICA | | 2.4% 30 Oct 2018 | | 165,000 | | | | 164,488 | |
| | HYUNDAI CAPITAL AMERICA | | 3% 30 Oct 2020 | | 450,000 | | | | 447,852 | |
| | ICAHN ENTERPRISES/FIN | | 6% 01 Aug 2020 | | 840,000 | | | | 847,056 | |
| | ING BANK NV | | 5.8% 25 Sep 2023 | | 221,000 | | | | 240,110 | |
| | INTERNATIONAL PAPER CO | | 3.65% 15 Jun 2024 | | 342,000 | | | | 335,741 | |
| | INTERNATIONAL PAPER CO | | 4.8% 15 Jun 2044 | | 114,000 | | | | 103,708 | |
| | INTL LEASE FINANCE CORP | | 7.125% 01 Sep 2018 | | 470,000 | | | | 515,238 | |
| | INVITATION HOMES TRUST | | 1% 17 Aug 2032 | | 1,578,372 | | | | 1,548,341 | |
| | JERSEY CENTRAL PWR + LT | | 5.625% 01 May 2016 | | 1,210,000 | | | | 1,225,355 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 12 Feb 2051 | | 1,985,000 | | | | 2,095,783 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 15 Jan 2032 | | 1,015,000 | | | | 1,009,617 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 15 Jan 2049 | | 660,000 | | | | 627,268 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 15 Jun 2045 | | 1,400,000 | | | | 1,405,871 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 3.905% 05 May 2030 | | 1,216,476 | | | | 1,262,526 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.115% 15 Jul 2041 | | 85,767 | | | | 85,763 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.336% 15 May 2047 | | 1,352,696 | | | | 1,377,702 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 1% 15 Sep 2047 | | 22,912,306 | | | | 1,359,515 | |
* | | JPMORGAN CHASE + CO | | 1% 26 Feb 2016 | | 1,170,000 | | | | 1,170,092 | |
* | | JPMORGAN CHASE + CO | | 1% 29 Dec 2049 | | 410,000 | | | | 408,463 | |
* | | JPMORGAN CHASE + CO | | 1.7% 01 Mar 2018 | | 680,000 | | | | 676,703 | |
* | | JPMORGAN CHASE + CO | | 2% 15 Aug 2017 | | 865,000 | | | | 867,932 | |
* | | JPMORGAN CHASE + CO | | 2.2% 22 Oct 2019 | | 665,000 | | | | 659,614 | |
* | | JPMORGAN CHASE + CO | | 2.25% 23 Jan 2020 | | 262,000 | | | | 258,777 | |
* | | JPMORGAN CHASE + CO | | 2.75% 23 Jun 2020 | | 1,100,000 | | | | 1,104,902 | |
* | | JPMORGAN CHASE + CO | | 3.9% 15 Jul 2025 | | 375,000 | | | | 386,446 | |
* | | JPMORGAN CHASE + CO | | 4.25% 01 Oct 2027 | | 515,000 | | | | 513,769 | |
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| | KEYCORP | | 2.9% 15 Sep 2020 | | 150,000 | | | | 149,436 | |
| | KIMBERLY CLARK CORP | | 2.65% 01 Mar 2025 | | 80,000 | | | | 77,224 | |
| | KINDER MORGAN ENER PART | | 3.5% 01 Sep 2023 | | 40,000 | | | | 33,165 | |
| | KINDER MORGAN ENER PART | | 3.95% 01 Sep 2022 | | 105,000 | | | | 91,405 | |
| | KINDER MORGAN ENER PART | | 4.3% 01 May 2024 | | 105,000 | | | | 90,280 | |
| | KINDER MORGAN ENER PART | | 5% 15 Aug 2042 | | 90,000 | | | | 66,404 | |
| | KINDER MORGAN ENER PART | | 5.4% 01 Sep 2044 | | 590,000 | | | | 452,058 | |
| | KINDER MORGAN ENER PART | | 6.55% 15 Sep 2040 | | 20,000 | | | | 17,004 | |
| | KINDER MORGAN INC/DELAWA | | 7% 15 Jun 2017 | | 1,090,000 | | | | 1,122,836 | |
| | KRAFT HEINZ FOODS CO | | 5.2% 15 Jul 2045 | | 140,000 | | | | 146,287 | |
| | LAS VEGAS VLY NV WTR DIST | | 5% 01 Jun 2039 | | 585,000 | | | | 679,273 | |
| | LB COMMERCIAL CONDUIT MORTGAGE | | 1% 15 Jul 2044 | | 1,300,000 | | | | 1,364,554 | |
| | LEHMAN BROS CAP TR VII | | 1% 29 Nov 2049 | | 330,000 | | | | 33 | |
| | LEHMAN BROTHERS HOLDINGS | | 6.75% 28 Dec 2017 | | 3,250,000 | | | | 325 | |
| | LEVEL 3 FINANCING INC | | 5.375% 15 Aug 2022 | | 365,000 | | | | 370,475 | |
| | LOCKHEED MARTIN CORP | | 3.1% 15 Jan 2023 | | 20,000 | | | | 19,987 | |
| | LOCKHEED MARTIN CORP | | 3.55% 15 Jan 2026 | | 50,000 | | | | 50,176 | |
| | LOCKHEED MARTIN CORP | | 3.6% 01 Mar 2035 | | 190,000 | | | | 169,909 | |
| | LOCKHEED MARTIN CORP | | 3.8% 01 Mar 2045 | | 70,000 | | | | 62,046 | |
| | LOCKHEED MARTIN CORP | | 4.5% 15 May 2036 | | 40,000 | | | | 40,496 | |
| | LOCKHEED MARTIN CORP | | 4.7% 15 May 2046 | | 75,000 | | | | 76,828 | |
| | LOWE S COS INC | | 3.375% 15 Sep 2025 | | 70,000 | | | | 71,070 | |
| | LOWE S COS INC | | 4.25% 15 Sep 2044 | | 165,000 | | | | 164,220 | |
| | LOWE S COS INC | | 4.375% 15 Sep 2045 | | 30,000 | | | | 30,833 | |
| | LYB INTL FINANCE BV | | 4% 15 Jul 2023 | | 175,000 | | | | 174,452 | |
| | MACYS RETAIL HLDGS INC | | 2.875% 15 Feb 2023 | | 120,000 | | | | 108,750 | |
| | MACYS RETAIL HLDGS INC | | 4.5% 15 Dec 2034 | | 55,000 | | | | 45,969 | |
| | MARATHON OIL CORP | | 5.9% 15 Mar 2018 | | 1,035,000 | | | | 1,046,723 | |
| | MARATHON PETROLEUM CORP | | 4.75% 15 Sep 2044 | | 377,000 | | | | 311,930 | |
| | MARSH + MCLENNAN COS INC | | 3.75% 14 Mar 2026 | | 30,000 | | | | 30,040 | |
| | MASS INSTITUTE OF TECH | | 4.678% 01 Jul 2114 | | 545,000 | | | | 562,303 | |
| | MASSACHUSETTS ST SCH BLDG AUTH | | 5% 15 Oct 2041 | | 405,000 | | | | 474,093 | |
| | MCDONALD S CORP | | 2.75% 09 Dec 2020 | | 5,000 | | | | 4,997 | |
| | MCDONALD S CORP | | 3.7% 30 Jan 2026 | | 45,000 | | | | 44,963 | |
| | MCDONALD S CORP | | 4.6% 26 May 2045 | | 95,000 | | | | 91,404 | |
| | MCDONALD S CORP | | 4.7% 09 Dec 2035 | | 30,000 | | | | 29,889 | |
| | MCDONALD S CORP | | 4.875% 09 Dec 2045 | | 45,000 | | | | 45,274 | |
| | MEDTRONIC INC | | 4% 01 Apr 2043 | | 150,000 | | | | 139,196 | |
| | MEDTRONIC INC | | 4.625% 15 Mar 2045 | | 355,000 | | | | 366,166 | |
| | MEG ENERGY CORP | | 7% 31 Mar 2024 | | 265,000 | | | | 188,150 | |
| | MEMORIAL SLOAN KETTERING | | 4.2% 01 Jul 2055 | | 164,000 | | | | 157,882 | |
| | MERCK + CO INC | | 1% 18 May 2018 | | 1,495,000 | | | | 1,496,123 | |
| | MERRILL LYNCH MORTGAGE TRUST | | 1% 12 Jun 2050 | | 1,632,037 | | | | 1,680,793 | |
| | MET SAINT LOUIS MO SWR DIST WS | | 5% 01 May 2042 | | 315,000 | | | | 357,799 | |
* | | METLIFE INC | | 1% 29 Dec 2049 | | 330,000 | | | | 335,775 | |
* | | METLIFE INC | | 4.05% 01 Mar 2045 | | 355,000 | | | | 329,437 | |
| | MEXICAN PESO (NEW) | | FOREIGN CURRENCY | | 623 | | | | 36 | |
| | MGM RESORTS INTL | | 5.25% 31 Mar 2020 | | 370,000 | | | | 366,300 | |
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| | MICROSOFT CORP | | 2.65% 03 Nov 2022 | | 410,000 | | | | 409,585 | |
| | MICROSOFT CORP | | 3.125% 03 Nov 2025 | | 185,000 | | | | 185,981 | |
| | MICROSOFT CORP | | 3.5% 12 Feb 2035 | | 135,000 | | | | 124,773 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 5.166% 12 Dec 2049 | | 829,487 | | | | 846,304 | |
| | MORGAN STANLEY | | 1.875% 05 Jan 2018 | | 157,000 | | | | 156,846 | |
| | MORGAN STANLEY | | 2.125% 25 Apr 2018 | | 209,000 | | | | 209,279 | |
| | MORGAN STANLEY | | 2.2% 07 Dec 2018 | | 185,000 | | | | 185,096 | |
| | MORGAN STANLEY | | 2.65% 27 Jan 2020 | | 215,000 | | | | 214,415 | |
| | MORGAN STANLEY | | 2.8% 16 Jun 2020 | | 1,070,000 | | | | 1,073,403 | |
| | MORGAN STANLEY | | 3.75% 25 Feb 2023 | | 710,000 | | | | 727,229 | |
| | MORGAN STANLEY | | 3.95% 23 Apr 2027 | | 255,000 | | | | 247,498 | |
| | MORGAN STANLEY | | 4% 23 Jul 2025 | | 225,000 | | | | 231,699 | |
| | MORGAN STANLEY | | 4.75% 22 Mar 2017 | | 540,000 | | | | 559,342 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 11 Jun 2049 | | 2,605,641 | | | | 2,706,924 | |
| | MYLAN INC | | 5.4% 29 Nov 2043 | | 140,000 | | | | 129,312 | |
| | NAVIENT STUDENT LOAN TRUST | | 1% 15 Dec 2021 | | 811,842 | | | | 809,223 | |
| | NAVIENT STUDENT LOAN TRUST | | 1% 16 May 2022 | | 690,770 | | | | 689,389 | |
| | NBCUNIVERSAL ENTERPRISE | | 1% 15 Apr 2018 | | 1,770,000 | | | | 1,767,048 | |
| | NBCUNIVERSAL MEDIA LLC | | 4.45% 15 Jan 2043 | | 575,000 | | | | 567,870 | |
| | NEW JERSEY ST HLTH CARE FACS F | | 5% 01 Jul 2044 | | 225,000 | | | | 246,823 | |
| | NEW JERSEY ST TRANSPRTN TRUSTF | | 5% 15 Jun 2036 | | 1,475,000 | | | | 1,547,791 | |
| | NEW YORK CITY NY MUNI WTR FINA | | 5% 15 Jun 2047 | | 525,000 | | | | 596,400 | |
| | NEW YORK ST URBAN DEV CORP REV | | 5% 15 Mar 2024 | | 860,000 | | | | 1,058,058 | |
| | NORDEA BANK AB | | 1.875% 17 Sep 2018 | | 200,000 | | | | 198,697 | |
| | NORTHROP GRUMMAN CORP | | 3.85% 15 Apr 2045 | | 155,000 | | | | 139,281 | |
| | NORTHWEST FLORIDA TIMBER | | 4.75% 04 Mar 2029 | | 365,000 | | | | 321,587 | |
| | NOVELIS INC | | 8.75% 15 Dec 2020 | | 790,000 | | | | 724,825 | |
| | OMNICOM GROUP INC | | 5.9% 15 Apr 2016 | | 267,000 | | | | 270,410 | |
| | ONE GAS INC | | 4.658% 01 Feb 2044 | | 280,000 | | | | 290,046 | |
| | ONEMAIN FINANCIAL ISSUANCE TRU | | 2.47% 18 Sep 2024 | | 1,965,000 | | | | 1,961,129 | |
| | ONEMAIN FINANCIAL ISSUANCE TRU | | 2.57% 18 Jul 2025 | | 1,245,000 | | | | 1,248,486 | |
| | ONEMAIN FINANCIAL ISSUANCE TRU | | 3.19% 18 Mar 2026 | | 1,620,000 | | | | 1,609,956 | |
| | ORACLE CORP | | 2.8% 08 Jul 2021 | | 770,000 | | | | 779,937 | |
| | ORACLE CORP | | 3.4% 08 Jul 2024 | | 317,000 | | | | 321,899 | |
| | ORACLE CORP | | 4.375% 15 May 2055 | | 345,000 | | | | 320,885 | |
| | ORACLE CORP | | 4.5% 08 Jul 2044 | | 140,000 | | | | 140,858 | |
| | PACIFICORP | | 4.1% 01 Feb 2042 | | 970,000 | | | | 935,444 | |
| | PERRIGO FINANCE UNLIMITD | | 3.9% 15 Dec 2024 | | 295,000 | | | | 284,631 | |
| | PETROBRAS GLOBAL FINANCE | | 3.875% 27 Jan 2016 | | 1,186,000 | | | | 1,181,256 | |
| | PETROLEOS MEXICANOS | | 6.5% 02 Jun 2041 | | 535,000 | | | | 462,508 | |
| | PETROLEOS MEXICANOS | | 8% 03 May 2019 | | 165,000 | | | | 181,644 | |
| | PFIZER INC | | 3.4% 15 May 2024 | | 40,000 | | | | 41,037 | |
| | PFIZER INC | | 4.3% 15 Jun 2043 | | 145,000 | | | | 145,111 | |
| | PFIZER INC | | 4.4% 15 May 2044 | | 140,000 | | | | 142,177 | |
| | PFS FINANCING CORP | | 1% 15 Oct 2019 | | 1,835,000 | | | | 1,810,382 | |
| | PHILIP MORRIS INTL INC | | 3.875% 21 Aug 2042 | | 60,000 | | | | 54,804 | |
| | PHILIP MORRIS INTL INC | | 4.125% 04 Mar 2043 | | 250,000 | | | | 236,314 | |
| | PHILLIPS 66 | | 4.875% 15 Nov 2044 | | 37,000 | | | | 33,010 | |
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| | PLAINS ALL AMER PIPELINE | | 4.65% 15 Oct 2025 | | 220,000 | | | | 192,049 | |
| | PLAINS ALL AMER PIPELINE | | 4.9% 15 Feb 2045 | | 180,000 | | | | 129,452 | |
| | POUND STERLING | | FOREIGN CURRENCY | | 29,592 | | | | 43,616 | |
| | PPL CAPITAL FUNDING INC | | 5% 15 Mar 2044 | | 320,000 | | | | 329,930 | |
* | | PRUDENTIAL FINANCIAL INC | | 3.5% 15 May 2024 | | 555,000 | | | | 557,305 | |
| | QUALCOMM INC | | 3.45% 20 May 2025 | | 230,000 | | | | 220,607 | |
| | QUALCOMM INC | | 4.8% 20 May 2045 | | 60,000 | | | | 53,311 | |
| | QVC INC | | 5.45% 15 Aug 2034 | | 700,000 | | | | 605,521 | |
| | REPUBLIC OF COLOMBIA | | 4% 26 Feb 2024 | | 583,000 | | | | 555,308 | |
| | REPUBLIC OF COLOMBIA | | 4.5% 28 Jan 2026 | | 730,000 | | | | 702,625 | |
| | REPUBLIC OF PANAMA | | 4% 22 Sep 2024 | | 360,000 | | | | 360,000 | |
| | REPUBLIC OF PERU | | 4.125% 25 Aug 2027 | | 482,000 | | | | 472,360 | |
| | REPUBLIC OF PERU | | 5.625% 18 Nov 2050 | | 137,000 | | | | 139,740 | |
| | REPUBLIC OF SOUTH AFRICA | | 5.875% 16 Sep 2025 | | 200,000 | | | | 204,442 | |
| | REPUBLIC OF TURKEY | | 5.75% 22 Mar 2024 | | 625,000 | | | | 660,325 | |
| | REPUBLIC SERVICES INC | | 3.2% 15 Mar 2025 | | 260,000 | | | | 250,302 | |
| | REPUBLICA ORIENT URUGUAY | | 4.375% 27 Oct 2027 | | 170,000 | | | | 167,025 | |
| | REPUBLICA ORIENT URUGUAY | | 4.5% 14 Aug 2024 | | 410,000 | | | | 416,150 | |
| | REYNOLDS AMERICAN INC | | 3.25% 12 Jun 2020 | | 125,000 | | | | 127,038 | |
| | REYNOLDS AMERICAN INC | | 4.45% 12 Jun 2025 | | 585,000 | | | | 611,811 | |
| | REYNOLDS AMERICAN INC | | 5.85% 15 Aug 2045 | | 65,000 | | | | 72,263 | |
| | ROGERS COMMUNICATIONS IN | | 3.625% 15 Dec 2025 | | 65,000 | | | | 63,935 | |
| | ROGERS COMMUNICATIONS IN | | 5% 15 Mar 2044 | | 90,000 | | | | 90,608 | |
| | ROYAL BANK OF CANADA | | 2.2% 23 Sep 2019 | | 1,605,000 | | | | 1,606,339 | |
| | ROYAL BK SCOTLND GRP PLC | | 5.125% 28 May 2024 | | 455,000 | | | | 460,986 | |
| | ROYAL BK SCOTLND GRP PLC | | 6% 19 Dec 2023 | | 405,000 | | | | 436,191 | |
| | ROYAL BK SCOTLND GRP PLC | | 6.125% 15 Dec 2022 | | 50,000 | | | | 54,435 | |
| | SABINE PASS LIQUEFACTION | | 5.625% 01 Mar 2025 | | 565,000 | | | | 480,250 | |
| | SABINE PASS LIQUEFACTION | | 5.75% 15 May 2024 | | 150,000 | | | | 130,500 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 0.67% 16 Jan 2018 | | 371,078 | | | | 370,961 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 0.72% 16 Apr 2018 | | 635,178 | | | | 634,479 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 1.12% 17 Dec 2018 | | 1,730,000 | | | | 1,723,353 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 2.25% 17 Jun 2019 | | 2,125,000 | | | | 2,132,584 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 2.74% 15 Jan 2021 | | 1,200,000 | | | | 1,197,600 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 5.13% 17 Jun 2019 | | 1,350,000 | | | | 1,379,764 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 6.77% 15 Feb 2019 | | 1,955,000 | | | | 1,996,110 | |
| | SANTANDER HOLDINGS USA | | 2.65% 17 Apr 2020 | | 130,000 | | | | 127,539 | |
| | SANTANDER HOLDINGS USA | | 4.5% 17 Jul 2025 | | 240,000 | | | | 244,307 | |
| | SANTANDER UK GROUP HLDGS | | 2.875% 16 Oct 2020 | | 55,000 | | | | 54,627 | |
| | SANTANDER UK PLC | | 5% 07 Nov 2023 | | 380,000 | | | | 395,561 | |
| | SCHLUMBERGER HLDGS CORP | | 3% 21 Dec 2020 | | 515,000 | | | | 508,347 | |
| | SCHOLAR FUNDING TRUST | | 1% 28 Oct 2043 | | 1,403,744 | | | | 1,334,626 | |
| | SFAVE COMMERCIAL MORTGAGE SECU | | 1% 05 Jan 2043 | | 785,000 | | | | 742,651 | |
| | SHELL INTERNATIONAL FIN | | 2.125% 11 May 2020 | | 160,000 | | | | 157,402 | |
| | SHELL INTERNATIONAL FIN | | 4.125% 11 May 2035 | | 210,000 | | | | 200,451 | |
| | SHELL INTERNATIONAL FIN | | 4.375% 11 May 2045 | | 350,000 | | | | 330,423 | |
| | SIMON PROPERTY GROUP LP | | 3.375% 01 Oct 2024 | | 175,000 | | | | 176,656 | |
| | SIMON PROPERTY GROUP LP | | 3.375% 15 Mar 2022 | | 185,000 | | | | 190,742 | |
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| | SKY PLC | | 3.75% 16 Sep 2024 | | 290,000 | | | | 283,236 | |
| | SLM STUDENT LOAN TRUST | | 1% 15 Jun 2021 | | 852,916 | | | | 845,193 | |
| | SLM STUDENT LOAN TRUST | | 2.95% 15 Feb 2046 | | 660,000 | | | | 667,114 | |
| | SMB PRIVATE EDUCATION LOAN TRU | | 1% 15 Feb 2023 | | 1,444,078 | | | | 1,439,640 | |
| | SMB PRIVATE EDUCATION LOAN TRU | | 3.5% 15 Sep 2043 | | 950,000 | | | | 847,495 | |
| | SOCIAL PROFESSIONAL LOAN PROGR | | 2.51% 27 Sep 2032 | | 1,241,859 | | | | 1,219,273 | |
| | SOUTHERN COPPER CORP | | 5.875% 23 Apr 2045 | | 300,000 | | | | 229,837 | |
| | SOUTHWESTERN PUBLIC SERV | | 3.3% 15 Jun 2024 | | 400,000 | | | | 404,275 | |
| | SPRINT CORP | | 7.875% 15 Sep 2023 | | 545,000 | | | | 409,295 | |
| | SRSRKFNM2 IRS USD P V 03MLIBOR | | 1% 09 Feb 2046 | | (1,135,000 | ) | | | (1,135,000 | ) |
| | SRSRKFNM2 IRS USD R F 2.39500 | | 2.395% 09 Feb 2046 | | 1,135,000 | | | | 1,076,517 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 9,588,752 | | | | 9,588,752 | |
| | ST JUDE MEDICAL INC | | 3.875% 15 Sep 2025 | | 25,000 | | | | 25,233 | |
| | STANDARD INDUSTRIES INC | | 6% 15 Oct 2025 | | 300,000 | | | | 306,000 | |
* | | STATE STREET CAP TR IV | | 1% 01 Jun 2077 | | 530,000 | | | | 433,275 | |
* | | STATE STREET CORP | | 1% 29 Dec 2049 | | 165,000 | | | | 165,206 | |
* | | STATE STREET CORP | | 2.55% 18 Aug 2020 | | 255,000 | | | | 258,174 | |
| | STATOIL ASA | | 2.65% 15 Jan 2024 | | 1,130,000 | | | | 1,068,867 | |
| | SUNOCO LOGISTICS PARTNER | | 4.4% 01 Apr 2021 | | 260,000 | | | | 251,958 | |
| | SUNOCO LOGISTICS PARTNER | | 5.35% 15 May 2045 | | 240,000 | | | | 178,221 | |
| | SUNOCO LOGISTICS PARTNER | | 5.95% 01 Dec 2025 | | 270,000 | | | | 257,220 | |
| | SWAP CCPC GOLDMAN SACHS COC | | SWAP CCPC CASH COLLATERAL | | (655,000 | ) | | | (655,000 | ) |
| | SWAP CCPC GOLDMAN SACHS COC | | SWAP CCPC CASH COLLATERAL | | 655,000 | | | | 592,000 | |
| | SWAP GOLDMAN SACHS COC | | SWAP CASH COLLATERAL USD | | 600,000 | | | | 600,000 | |
| | SYNCHRONY FINANCIAL | | 2.7% 03 Feb 2020 | | 65,000 | | | | 63,754 | |
| | SYNCHRONY FINANCIAL | | 4.5% 23 Jul 2025 | | 230,000 | | | | 229,455 | |
| | TBA CREDIT SUISSE BOC | | TBA CASH COLLATERAL | | 510,000 | | | | 510,000 | |
| | TEVA PHARMACEUT FIN BV | | 2.95% 18 Dec 2022 | | 290,000 | | | | 277,631 | |
| | TIME WARNER CABLE INC | | 5% 01 Feb 2020 | | 395,000 | | | | 418,132 | |
| | TOTAL CAPITAL INTL SA | | 2.75% 19 Jun 2021 | | 470,000 | | | | 468,188 | |
| | TSY INFL IX N/B | | 0.25% 15 Jan 2025 | | 6,235,896 | | | | 5,957,151 | |
| | TSY INFL IX N/B | | 0.375% 15 Jul 2025 | | 3,404,981 | | | | 3,296,625 | |
| | UBS GROUP FUNDING | | 2.95% 24 Sep 2020 | | 350,000 | | | | 346,733 | |
| | UNION PACIFIC CORP | | 3.375% 01 Feb 2035 | | 70,000 | | | | 63,221 | |
| | UNION PACIFIC CORP | | 3.875% 01 Feb 2055 | | 168,000 | | | | 148,145 | |
| | UNION PACIFIC RR 2014 1 | | 3.227% 14 May 2026 | | 376,585 | | | | 375,707 | |
| | UNITED MEXICAN STATES | | 5.55% 21 Jan 2045 | | 252,000 | | | | 258,300 | |
| | UNITED TECHNOLOGIES CORP | | 1% 04 May 2018 | | 1,080,000 | | | | 1,069,097 | |
| | UNITEDHEALTH GROUP INC | | 2.7% 15 Jul 2020 | | 115,000 | | | | 116,205 | |
| | UNITEDHEALTH GROUP INC | | 2.875% 15 Dec 2021 | | 325,000 | | | | 329,508 | |
| | UNITEDHEALTH GROUP INC | | 3.35% 15 Jul 2022 | | 75,000 | | | | 76,713 | |
| | UNITEDHEALTH GROUP INC | | 4.25% 15 Mar 2043 | | 240,000 | | | | 233,060 | |
| | UNITEDHEALTH GROUP INC | | 4.625% 15 Jul 2035 | | 245,000 | | | | 254,339 | |
| | UNITEDHEALTH GROUP INC | | 4.75% 15 Jul 2045 | | 40,000 | | | | 42,132 | |
| | UNIV OF CALIFORNIA CA REVENUES | | 4.767% 15 May 2115 | | 281,000 | | | | 266,391 | |
| | UNIV OF CALIFORNIA CA REVENUES | | 4.858% 15 May 2112 | | 125,000 | | | | 118,796 | |
| | UNIVISION COMMUNICATIONS | | 6.75% 15 Sep 2022 | | 270,000 | | | | 279,788 | |
| | US 10YR NOTE (CBT)MAR16 | | XCBT 20160321 | | 3,700,000 | | | | (15,687 | ) |
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| | US 2YR NOTE (CBT) MAR16 | | XCBT 20160331 | | 23,400,000 | | | | (41,133 | ) |
| | US 5YR NOTE (CBT) MAR16 | | XCBT 20160331 | | 19,000,000 | | | | (45,919 | ) |
| | US DOLLAR | | | | (1,345,409 | ) | | | (1,345,409 | ) |
| | US LONG BOND(CBT) MAR16 | | XCBT 20160321 | | (1,600,000 | ) | | | (7,000 | ) |
| | US TREASURY N/B | | 0.625% 31 Aug 2017 | | 5,000 | | | | 4,968 | |
| | US TREASURY N/B | | 0.875% 30 Nov 2017 | | 30,260,000 | | | | 30,172,518 | |
| | US TREASURY N/B | | 1.25% 15 Dec 2018 | | 11,270,000 | | | | 11,246,232 | |
| | US TREASURY N/B | | 1.25% 15 Nov 2018 | | 6,500,000 | | | | 6,489,847 | |
| | US TREASURY N/B | | 1.375% 30 Sep 2020 | | 7,035,000 | | | | 6,913,534 | |
| | US TREASURY N/B | | 1.375% 31 Oct 2020 | | 20,934,700 | | | | 20,565,077 | |
| | US TREASURY N/B | | 1.625% 30 Jun 2020 | | 4,950,000 | | | | 4,929,695 | |
| | US TREASURY N/B | | 1.625% 30 Nov 2020 | | 1,970,000 | | | | 1,958,302 | |
| | US TREASURY N/B | | 1.75% 30 Sep 2022 | | 6,710,000 | | | | 6,576,847 | |
| | US TREASURY N/B | | 2% 15 Aug 2025 | | 5,655,000 | | | | 5,513,846 | |
| | US TREASURY N/B | | 2% 30 Nov 2022 | | 18,045,000 | | | | 17,946,312 | |
| | US TREASURY N/B | | 2.125% 15 May 2025 | | 4,615,000 | | | | 4,554,788 | |
| | US TREASURY N/B | | 2.25% 15 Nov 2025 | | 1,220,000 | | | | 1,217,283 | |
| | US TREASURY N/B | | 2.5% 15 Feb 2045 | | 5,000 | | | | 4,486 | |
| | US TREASURY N/B | | 2.875% 15 Aug 2045 | | 14,290,000 | | | | 13,885,593 | |
| | US TREASURY N/B | | 3% 15 Nov 2044 | | 2,225,000 | | | | 2,216,917 | |
| | US TREASURY N/B | | 3% 15 Nov 2045 | | 1,360,000 | | | | 1,355,909 | |
| | US TREASURY N/B | | 3.125% 15 Aug 2044 | | 40,000 | | | | 40,880 | |
| | US TREASURY N/B | | 4.5% 15 Feb 2036 | | 1,440,000 | | | | 1,845,449 | |
| | US ULTRA BOND CBT MAR16 | | XCBT 20160321 | | 900,000 | | | | 8,024 | |
| | VALEANT PHARMACEUTICALS | | 5.375% 15 Mar 2020 | | 240,000 | | | | 225,600 | |
| | VALEANT PHARMACEUTICALS | | 5.875% 15 May 2023 | | 250,000 | | | | 223,125 | |
| | VENTAS REALTY LP | | 3.75% 01 May 2024 | | 360,000 | | | | 352,774 | |
| | VERIZON COMMUNICATIONS | | 2.45% 01 Nov 2022 | | 255,000 | | | | 241,378 | |
| | VERIZON COMMUNICATIONS | | 3.45% 15 Mar 2021 | | 240,000 | | | | 245,542 | |
| | VERIZON COMMUNICATIONS | | 3.85% 01 Nov 2042 | | 175,000 | | | | 144,760 | |
| | VERIZON COMMUNICATIONS | | 4.4% 01 Nov 2034 | | 660,000 | | | | 612,744 | |
| | VERIZON COMMUNICATIONS | | 4.862% 21 Aug 2046 | | 125,000 | | | | 118,341 | |
| | VERIZON COMMUNICATIONS | | 5.012% 21 Aug 2054 | | 854,000 | | | | 781,915 | |
| | VIRGINIA ELEC + POWER CO | | 4% 15 Jan 2043 | | 830,000 | | | | 794,313 | |
| | VIRGINIA ELEC + POWER CO | | 6.35% 30 Nov 2037 | | 150,000 | | | | 191,883 | |
| | VISA INC | | 2.8% 14 Dec 2022 | | 480,000 | | | | 481,984 | |
| | VISA INC | | 3.15% 14 Dec 2025 | | 465,000 | | | | 465,575 | |
| | VISA INC | | 4.15% 14 Dec 2035 | | 305,000 | | | | 307,921 | |
| | VISA INC | | 4.3% 14 Dec 2045 | | 75,000 | | | | 76,092 | |
| | WAL MART STORES INC | | 4% 11 Apr 2043 | | 150,000 | | | | 145,663 | |
| | WALGREENS BOOTS ALLIANCE | | 4.8% 18 Nov 2044 | | 155,000 | | | | 140,211 | |
| | WASTE MANAGEMENT INC | | 3.9% 01 Mar 2035 | | 70,000 | | | | 65,183 | |
| | WASTE MANAGEMENT INC | | 4.1% 01 Mar 2045 | | 90,000 | | | | 83,703 | |
| | WELLS FARGO + COMPANY | | 2.6% 22 Jul 2020 | | 690,000 | | | | 690,276 | |
| | WELLS FARGO + COMPANY | | 3.55% 29 Sep 2025 | | 330,000 | | | | 332,968 | |
| | WELLS FARGO + COMPANY | | 3.9% 01 May 2045 | | 410,000 | | | | 378,062 | |
| | WELLS FARGO + COMPANY | | 4.3% 22 Jul 2027 | | 220,000 | | | | 224,737 | |
| | WELLS FARGO + COMPANY | | 4.9% 17 Nov 2045 | | 130,000 | | | | 131,159 | |
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| | WELLS FARGO COMMERCIAL MORTGAG | | 1% 15 Dec 2048 | | 10,305,000 | | | | 706,923 | |
| | WELLS FARGO COMMERCIAL MORTGAG | | 1% 15 Dec 2048 | | 1,140,000 | | | | 1,163,813 | |
| | WELLS FARGO COMMERCIAL MORTGAG | | 3.54% 15 May 2048 | | 1,245,000 | | | | 1,250,589 | |
| | WILLIAMS PARTNERS LP | | 3.6% 15 Mar 2022 | | 945,000 | | | | 749,102 | |
| | WILLIAMS PARTNERS LP | | 4.3% 04 Mar 2024 | | 80,000 | | | | 63,395 | |
| | WILLIAMS PARTNERS LP | | 4.5% 15 Nov 2023 | | 140,000 | | | | 113,316 | |
| | WORLD FINANCIAL NETWORK CREDIT | | 0.91% 16 Mar 2020 | | 2,980,000 | | | | 2,977,607 | |
| | XPO LOGISTICS INC | | 6.5% 15 Jun 2022 | | 200,000 | | | | 185,000 | |
| | ZOETIS INC | | 1.875% 01 Feb 2018 | | 615,000 | | | | 606,781 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5710 1 of 16 | | | | | | $ | 542,390,016 | |
| | | | | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 31750A3U6 OTC ECAL USD VS BRL | | MAR16 4.6 CALL | | (2,200,000 | ) | | | $ | (20,733 | ) |
| | 31750A4D3 OTC ECAL USD VS BRL | | JAN16 4.45 CALL | | (2,700,000 | ) | | | (1,399 | ) |
| | 31750A4O9 OTC ECAL USD VS BRL | | MAR16 4.55 CALL | | (1,500,000 | ) | | | (17,372 | ) |
| | 31750AFF6 OTC ECAL USD VS MXN | | FEB16 17.4 CALL | | (1,600,000 | ) | | | (15,691 | ) |
| | 31750AFI0 OTC ECAL USD VS RUB | | DEC16 87 CALL | | (1,000,000 | ) | | | (53,142 | ) |
| | 31750AFO7 OTC ECAL USD VS MXN | | MAR16 17.65 CALL | | (1,600,000 | ) | | | (18,224 | ) |
| | 31750AGC2 OTC ECAL USD VS CNH | | JUN16 6.85 CALL | | (800,000 | ) | | | (9,126 | ) |
| | 31750AGE8 OTC ECAL USD VS MXN | | MAR16 18.1 CALL | | (800,000 | ) | | | (5,732 | ) |
| | 31750AGK4 OTC EPUT EUR VS USD | | JAN16 1.0815 PUT | | (3,700,000 | ) | | | (21,242 | ) |
| | 31750AGN8 OTC EPUT EUR VS USD | | JAN16 1.078 PUT | | (1,500,000 | ) | | | (9,783 | ) |
| | 317U245J6 IRO USD 10Y P 2.5800 | | MAY16 2.58 PUT | | 5,300,000 | | | | 36,730 | |
| | 317U248J3 IRO USD 2Y1Y P 2.500 | | MAY16 2.5 PUT | | (50,500,000 | ) | | | (30,386 | ) |
| | 317U265J1 IRO USD 10Y P 2.5800 | | MAY16 2.58 PUT | | 2,300,000 | | | | 14,441 | |
| | 317U269J7 IRO USD 2Y1Y P 2.500 | | MAY16 2.5 PUT | | (21,700,000 | ) | | | (11,692 | ) |
| | 317U376K4 IRO USD 5Y P 1.90000 | | FEB16 1.9 PUT | | (22,100,000 | ) | | | (49,615 | ) |
| | 317U390K6 IRO USD 5Y P 1.90000 | | FEB16 1.9 PUT | | (6,300,000 | ) | | | (14,144 | ) |
| | 317U730H2 IRO USD 5Y C 1.5000 | | JAN16 1.5 CALL | | 2,700,000 | | | | 821 | |
| | 317U731H1 IRO USD 5Y C 1.3000 | | JAN16 1.3 CALL | | (2,700,000 | ) | | | (65 | ) |
| | 317U732H0 IRO USD 5Y C 1.1000 | | JAN16 1.1 CALL | | (2,700,000 | ) | | | (3 | ) |
| | 317U733H9 IRO USD 10Y C 1.7500 | | JAN16 1.75 CALL | | 2,700,000 | | | | 224 | |
| | 317U737H5 IRO USD 2Y C 1.1000 | | JAN16 1.1 CALL | | 22,700,000 | | | | 5,266 | |
| | 317U738H4 IRO USD 2Y C 0.9150 | | JAN16 0.915 CALL | | (22,700,000 | ) | | | (91 | ) |
| | 317U739H3 IRO USD 2Y C 0.7300 | | JAN16 0.73 CALL | | (22,700,000 | ) | | | 0 | |
| | 317U747H3 IRO USD 2Y C 2.1000 | | JAN18 2.1 CALL | | 5,300,000 | | | | 49,741 | |
| | 317U749H1 IRO USD 2Y C 1.6000 | | JAN18 1.6 CALL | | (5,300,000 | ) | | | (27,025 | ) |
| | 317U750H7 IRO USD 2Y C 1.1000 | | JAN18 1.1 CALL | | (5,300,000 | ) | | | (12,672 | ) |
| | 317U840J5 IRO USD 5Y P 2.8000 | | AUG18 2.8 PUT | | (9,900,000 | ) | | | (163,871 | ) |
| | 317U841J4 IRO USD 30Y P 2.9050 | | AUG18 2.905 PUT | | 2,200,000 | | | | 194,722 | |
| | | | | | | | | | | | |
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Table of Contents
| | 317U856J6 IRO USD 5Y P 2.8000 | | AUG18 2.8 PUT | | (3,100,000 | ) | | | (51,313 | ) |
| | 317U857J5 IRO USD 30Y P 2.9400 | | AUG18 2.94 PUT | | 700,000 | | | | 59,591 | |
| | 90DAY EUR FUTR DEC16 | | XCME 20161219 | | (25,250,000 | ) | | | (100,998 | ) |
| | 90DAY EUR FUTR DEC17 | | XCME 20171218 | | (12,750,000 | ) | | | (43,177 | ) |
| | 90DAY EUR FUTR JUN16 | | XCME 20160613 | | (44,250,000 | ) | | | (37,763 | ) |
| | 90DAY EUR FUTR MAR17 | | XCME 20170313 | | (40,000,000 | ) | | | (117,040 | ) |
| | ABBEY NATL TREASURY SERV | | 1% 13 Mar 2017 | | 3,800,000 | | | | 3,791,051 | |
| | ABBVIE INC | | 1.8% 14 May 2018 | | 2,500,000 | | | | 2,488,490 | |
| | ALBA PLC | | 1% 15 Dec 2038 | | 872,064 | | | | 870,575 | |
| | ALLY FINANCIAL INC | | 3.5% 18 Jul 2016 | | 200,000 | | | | 200,500 | |
| | AMERICAN EXPRESS CREDIT | | 1% 14 Sep 2020 | | 1,900,000 | | | | 1,916,215 | |
| | AT+T INC | | 2.45% 30 Jun 2020 | | 2,300,000 | | | | 2,265,095 | |
| | AUBURN SECURITIES PLC | | 1% 01 Dec 2041 | | 454,656 | | | | 640,153 | |
| | AUSTRALIAN DOLLAR | | FOREIGN CURRENCY | | 73,001 | | | | 53,112 | |
| | AUTONATION, INC | | 1% 07 Jan 2016 | | 1,100,000 | | | | 1,099,872 | |
| | AVAGO TECHNOLOGIES CAYMAN LTD | | 1% 06 May 2021 | | 3,649,129 | | | | 3,636,977 | |
| | BANC OF AMERICA FUNDING CORPOR | | 1% 20 Jan 2047 | | 76,775 | | | | 64,552 | |
| | BANK OF AMERICA CORP | | 4% 01 Apr 2024 | | 5,200,000 | | | | 5,327,416 | |
| | BANK OF AMERICA CORP | | 5.75% 01 Dec 2017 | | 1,300,000 | | | | 1,390,675 | |
| | BANK OF AMERICA CORP | | 6.875% 25 Apr 2018 | | 1,500,000 | | | | 1,654,886 | |
| | BANK OF AMERICA NA | | 1% 05 Jun 2017 | | 900,000 | | | | 896,992 | |
| | BAXALTA INC | | 4% 23 Jun 2025 | | 1,100,000 | | | | 1,088,568 | |
| | BBCCRE TRUST | | 3.966% 10 Aug 2033 | | 2,200,000 | | | | 2,277,950 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 Aug 2035 | | 106,643 | | | | 106,894 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 Mar 2035 | | 412,083 | | | | 412,902 | |
| | BEAR STEARNS ALT A TRUST | | 1% 25 Nov 2036 | | 1,221,549 | | | | 886,185 | |
| | BEAR STEARNS STRUCTURED PRODUC | | 1% 26 Dec 2046 | | 262,838 | | | | 194,500 | |
| | BEAR STEARNS STRUCTURED PRODUC | | 1% 26 Jan 2036 | | 369,738 | | | | 300,882 | |
| | BK TOKYO MITSUBISHI UFJ | | 1% 10 Mar 2017 | | 2,000,000 | | | | 1,997,370 | |
| | BLUESTONE SECURITIES PLC | | 1% 09 Jun 2043 | | 505,865 | | | | 692,974 | |
| | BRAZILIAN REAL | | FOREIGN CURRENCY | | 426,112 | | | | 107,706 | |
| | BWU00CSO9 IRS USD P F 1.75000 | | 1.75% 14 Dec 2017 | | (19,500,000 | ) | | | (19,556,845 | ) |
| | BWU00CSO9 IRS USD R V 03MLIBOR | | 1% 14 Dec 2017 | | 19,500,000 | | | | 19,500,000 | |
| | BWU00CZV5 IRS CAD P F 2.30000 | | 2.3% 15 Dec 2025 | | (7,600,000 | ) | | | (5,692,863 | ) |
| | BWU00CZV5 IRS CAD R V 03MCDOR | | 1% 15 Dec 2025 | | 7,600,000 | | | | 5,471,168 | |
| | BWU00D6D5 IRS USD P F 2.50000 | | 2.5% 16 Dec 2025 | | (4,800,000 | ) | | | (4,942,749 | ) |
| | BWU00D6D5 IRS USD R V 03MLIBOR | | 1% 16 Dec 2025 | | 4,800,000 | | | | 4,800,000 | |
| | BWU00D7P7 IRS USD P F 2.75000 | | 2.75% 16 Dec 2045 | | (24,700,000 | ) | | | (25,171,794 | ) |
| | BWU00D7P7 IRS USD R V 03MLIBOR | | 1% 16 Dec 2045 | | 24,700,000 | | | | 24,700,000 | |
| | BWU00D868 IRS USD P F 2.75000 | | 2.75% 16 Dec 2045 | | (14,100,000 | ) | | | (14,512,971 | ) |
| | BWU00D868 IRS USD R V 03MLIBOR | | 1% 16 Dec 2045 | | 14,100,000 | | | | 14,100,000 | |
| | BWU00DAD0 IRS USD P F 2.25000 | | 2.25% 16 Dec 2022 | | (45,900,000 | ) | | | (46,839,064 | ) |
| | BWU00DAD0 IRS USD R V 03MLIBOR | | 1% 16 Dec 2022 | | 45,900,000 | | | | 45,900,000 | |
| | BWU00DAP3 IRS USD P F 2.00000 | | 2% 16 Dec 2019 | | (10,100,000 | ) | | | (10,268,692 | ) |
| | BWU00DAP3 IRS USD R V 03MLIBOR | | 1% 16 Dec 2019 | | 10,100,000 | | | | 10,100,000 | |
| | BWU00DAQ1 IRS USD P F 1.75000 | | 1.75% 16 Dec 2018 | | (25,000,000 | ) | | | (25,252,425 | ) |
| | BWU00DAQ1 IRS USD R V 03MLIBOR | | 1% 16 Dec 2018 | | 25,000,000 | | | | 25,000,000 | |
| | BWU00DRH3 IRS USD P F 2.35000 | | 2.35% 05 Aug 2025 | | (5,500,000 | ) | | | (5,579,142 | ) |
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Table of Contents
| | BWU00DRH3 IRS USD R V 03MLIBOR | | 1% 05 Aug 2025 | | 5,500,000 | | | | 5,500,000 | |
| | BWU00EIE8 IRS MXN P F 5.91000 | | 5.91% 22 Sep 2022 | | (11,000,000 | ) | | | (634,921 | ) |
| | BWU00EIE8 IRS MXN R V 01MTIIE | | 1% 22 Sep 2022 | | 11,000,000 | | | | 636,900 | |
| | BWU00FAB9 IRS USD P F 2.25000 | | 2.25% 15 Jun 2026 | | (3,500,000 | ) | | | (3,488,890 | ) |
| | BWU00FAB9 IRS USD R V 03MLIBOR | | 1% 15 Jun 2026 | | 3,500,000 | | | | 3,500,000 | |
| | BWU00FAL7 IRS USD P F 2.50000 | | 2.5% 15 Jun 2046 | | (200,000 | ) | | | (193,056 | ) |
| | BWU00FAL7 IRS USD R V 03MLIBOR | | 1% 15 Jun 2046 | | 200,000 | | | | 200,000 | |
| | BWU00FL35 IRS USD P F 2.25000 | | 2.25% 15 Jun 2026 | | (1,300,000 | ) | | | (1,291,277 | ) |
| | BWU00FL35 IRS USD R V 03MLIBOR | | 1% 15 Jun 2026 | | 1,300,000 | | | | 1,300,000 | |
| | CALIFORNIA ST | | 7.5% 01 Apr 2034 | | 800,000 | | | | 1,116,296 | |
| | CANADIAN DOLLAR | | FOREIGN CURRENCY | | 381,898 | | | | 274,925 | |
| | CCFOBHUS0 CREDIT SUISSE COC | | CCFOBHUS0 CREDIT SUISSE COC | | 4,000 | | | | 4,000 | |
| | CCGSCZUS9 GOLDMAN SACH COC | | ICE CCP CCGSCZUS9 CASH COLL | | 98,000 | | | | 98,000 | |
| | CCMSCZUS2 CCPC COC EQUITY | | MORGAN STANLEY CASH COLLATERAL | | 76,000 | | | | 76,000 | |
| | CCUBSZUS3 CCPC COC EQUITY | | UBS CASH COLLATERAL | | 136,000 | | | | 136,000 | |
| | CD COMMERCIAL MORTGAGE TRUST | | 1% 15 Nov 2044 | | 666,126 | | | | 690,778 | |
| | CHESAPEAKE ENERGY CORP | | 1% 15 Apr 2019 | | 2,500,000 | | | | 700,000 | |
| | CHICAGO IL TRANSIT AUTH SALES | | 6.899% 01 Dec 2040 | | 4,700,000 | | | | 5,462,434 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 1% 15 Jul 2027 | | 900,000 | | | | 901,140 | |
| | CITIGROUP INC | | 1% 10 Mar 2017 | | 3,100,000 | | | | 3,092,526 | |
| | CITIGROUP INC | | 1% 15 Nov 2016 | | 5,800,000 | | | | 5,806,067 | |
| | CITIGROUP MORTGAGE LOAN TRUST | | 1% 25 Sep 2035 | | 222,026 | | | | 222,924 | |
| | CNOOC FINANCE 2015 AU | | 2.625% 05 May 2020 | | 3,900,000 | | | | 3,812,465 | |
| | CODELCO INC | | 4.5% 16 Sep 2025 | | 2,100,000 | | | | 1,977,541 | |
| | COOPERATIEVE RABOBANK UA | | 4.5% 11 Jan 2021 | | 5,600,000 | | | | 6,097,196 | |
| | CRED SUIS GP FUN LTD | | 3.125% 10 Dec 2020 | | 1,000,000 | | | | 995,458 | |
| | CRED SUIS GP FUN LTD | | 3.8% 15 Sep 2022 | | 1,300,000 | | | | 1,298,974 | |
| | CSAIL COMMERCIAL MORTGAGE TRUS | | 3.448% 15 Aug 2048 | | 1,300,000 | | | | 1,319,301 | |
| | CSFB CASH COLL CCP | | CSFB CASH COLL CCFOBCUS1 | | 567,000 | | | | 567,000 | |
| | DAIMLER FINANCE NA LLC | | 2% 03 Aug 2018 | | 1,000,000 | | | | 993,331 | |
| | DANISH KRONE | | FOREIGN CURRENCY | | 1,403 | | | | 204 | |
| | DECO | | 1% 27 Apr 2027 | | 2,374,787 | | | | 2,561,673 | |
| | DELL EQUIPMENT FINANCE TRUST | | 0.53% 24 Oct 2016 | | 819,914 | | | | 819,915 | |
| | DELL EQUIPMENT FINANCE TRUST | | 1% 22 Dec 2017 | | 1,000,000 | | | | 1,000,078 | |
| | DEPFA ACS BANK | | 5.125% 16 Mar 2037 | | 1,100,000 | | | | 1,348,101 | |
| | DIGITAL REALTY TRUST LP | | 3.95% 01 Jul 2022 | | 1,100,000 | | | | 1,092,301 | |
| | ELECTRICITE DE FRANCE SA | | 1% 20 Jan 2017 | | 6,000,000 | | | | 5,990,544 | |
| | EMC CORPORATION MASS | | 0.95% 04 Jan 2016 | | 1,200,000 | | | | 1,199,963 | |
| | ENERGY TRANSFER PARTNERS | | 6.125% 15 Dec 2045 | | 700,000 | | | | 569,524 | |
| | ENI FINANCE USA INC | | 1.28% 03 Jun 2016 | | 2,300,000 | | | | 2,291,909 | |
| | ESC LEHMAN BRTH HLDG | | 1% 24 Jan 2049 | | 7,400,000 | | | | 555,000 | |
| | EURO CURRENCY | | FOREIGN CURRENCY | | 131,684 | | | | 143,049 | |
| | EURO-BOBL FUTURE MAR16 | | XEUR 20160308 | | 8,700,000 | | | | (19,890 | ) |
| | EURO-BUND FUTURE MAR16 | | XEUR 20160308 | | 300,000 | | | | (3,487 | ) |
| | EUROSAIL PLC | | 1% 15 Dec 2044 | | 668,317 | | | | 949,302 | |
| | EURO-SCHATZ FUT MAR16 | | XEUR 20160308 | | 4,600,000 | | | | 1,135 | |
| | FANNIE DISCOUNT NOTE | | 0.01% 03 Feb 2016 | | 700,000 | | | | 699,854 | |
| | FANNIE MAE | | 6.5% 25 Feb 2023 | | 103,525 | | | | 114,779 | |
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Table of Contents
| | FANNIE MAE | | 7% 25 Oct 2022 | | 96,775 | | | | 105,891 | |
| | FANNIE MAE | | 7.5% 20 Sep 2027 | | 516,832 | | | | 585,877 | |
| | FANNIEMAE WHOLE LOAN | | 6.5% 25 Jun 2028 | | 52,831 | | | | 58,225 | |
| | FED HM LN PC POOL 1J1214 | | 1% 01 Sep 2035 | | 143,729 | | | | 151,499 | |
| | FED HM LN PC POOL 1J1219 | | 1% 01 Oct 2035 | | 862,396 | | | | 907,173 | |
| | FED HM LN PC POOL 785867 | | 1% 01 Dec 2026 | | 23,181 | | | | 23,732 | |
| | FED HM LN PC POOL 789758 | | 1% 01 Sep 2032 | | 44,259 | | | | 47,258 | |
| | FED HM LN PC POOL 789777 | | 1% 01 Sep 2032 | | 23,131 | | | | 24,534 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 06 Jan 2016 | | 800,000 | | | | 799,994 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 14 Jan 2016 | | 1,200,000 | | | | 1,199,950 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 25 Jan 2016 | | 1,500,000 | | | | 1,499,868 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 27 Jan 2016 | | 2,900,000 | | | | 2,899,722 | |
| | FHA 221 D4 | | 7.43% 01 Dec 2020 | | 84,309 | | | | 84,105 | |
| | FHA 221/D4 GMAC 56 P8/01 | | 7.43% 25 Oct 2022 | | 3,524 | | | | 3,415 | |
| | FHA INSD 23RD MTG | | 7.43% 01 Mar 2022 | | 8,013 | | | | 7,604 | |
| | FHA INSD MTG P/T | | 7.43% 01 Jul 2024 | | 5,514 | | | | 5,444 | |
| | FHA INSD MTG POOL 56 GMAC | | 7.43% 25 Oct 2022 | | 504 | | | | 478 | |
| | FHA PROJ LN CTF SER POOL 5 | | 7.43% 01 Feb 2022 | | 4,377 | | | | 4,366 | |
| | FHLMC TBA 30 YR 3.5 | | 3.5% 11 Feb 2046 | | 5,000,000 | | | | 5,135,986 | |
| | FIRST HORIZON MORTGAGE PASS TH | | 1% 25 Aug 2035 | | 54,596 | | | | 48,451 | |
| | FNMA POOL 066414 | | 1% 01 Sep 2028 | | 25,907 | | | | 26,595 | |
| | FNMA POOL 190639 | | 1% 01 Jan 2024 | | 3,286 | | | | 3,658 | |
| | FNMA POOL 255075 | | 5.5% 01 Feb 2024 | | 300,984 | | | | 335,117 | |
| | FNMA POOL 256158 | | 1% 01 Feb 2036 | | 18,563 | | | | 19,626 | |
| | FNMA POOL 257238 | | 5% 01 Jun 2028 | | 193,426 | | | | 212,741 | |
| | FNMA POOL 450838 | | 5.5% 01 Dec 2028 | | 3,555 | | | | 3,965 | |
| | FNMA POOL 544502 | | 1% 01 Jul 2030 | | 45,493 | | | | 46,110 | |
| | FNMA POOL 735764 | | 1% 01 Jul 2035 | | 711,890 | | | | 755,513 | |
| | FNMA POOL 735965 | | 1% 01 Oct 2035 | | 512,576 | | | | 545,444 | |
| | FNMA POOL 745393 | | 1% 01 Sep 2020 | | 0 | | | | 0 | |
| | FNMA POOL 783610 | | 1% 01 Jun 2035 | | 842,277 | | | | 896,317 | |
| | FNMA POOL 822101 | | 1% 01 May 2035 | | 986,796 | | | | 1,050,553 | |
| | FNMA POOL 825157 | | 1% 01 Aug 2035 | | 370,622 | | | | 386,042 | |
| | FNMA POOL 826129 | | 1% 01 Jul 2035 | | 687,231 | | | | 725,445 | |
| | FNMA POOL 897717 | | 1% 01 Aug 2036 | | 189,617 | | | | 199,739 | |
| | FNMA POOL AA7916 | | 4% 01 Mar 2039 | | 44,203 | | | | 46,790 | |
| | FNMA POOL AL0300 | | 1% 01 Jun 2026 | | 0 | | | | 0 | |
| | FNMA POOL AR5180 | | 3% 01 Jul 2043 | | 3,030,223 | | | | 3,040,069 | |
| | FNMA POOL AX7911 | | 3% 01 Jan 2045 | | 438,417 | | | | 438,797 | |
| | FNMA POOL MA0184 | | 5% 01 Sep 2029 | | 1,420,738 | | | | 1,562,609 | |
| | FNMA POOL MA1524 | | 3% 01 Aug 2043 | | 0 | | | | 0 | |
| | FNMA TBA 15 YR 2.5 | | 2.5% 20 Jan 2031 | | 1,000,000 | | | | 1,007,905 | |
| | FNMA TBA 30 YR 3 | | 3% 11 Feb 2046 | | 26,000,000 | | | | 25,948,440 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 11 Feb 2046 | | 29,000,000 | | | | 29,857,668 | |
| | FNMA TBA 30 YR 4 | | 4% 11 Feb 2046 | | 40,000,000 | | | | 42,247,192 | |
| | FNMA TBA 30 YR 4 | | 4% 14 Jan 2046 | | 10,000,000 | | | | 10,581,719 | |
| | FNMA TBA 30 YR 4.5 | | 4.5% 11 Feb 2046 | | 16,000,000 | | | | 17,251,747 | |
| | FORD CREDIT FLOORPLAN MASTER O | | 1% 15 Aug 2020 | | 2,300,000 | | | | 2,294,460 | |
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Table of Contents
| | FORD MOTOR CREDIT CO LLC | | 3.2% 15 Jan 2021 | | 2,300,000 | | | | 2,284,445 | |
| | FREDDIE MAC | | 7% 15 May 2022 | | 68,192 | | | | 73,445 | |
| | GENERAL MOTORS FINL CO | | 3.2% 13 Jul 2020 | | 1,400,000 | | | | 1,378,444 | |
| | GNMA I TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 3,000,000 | | | | 3,121,110 | |
| | GNMA I TBA 30 YR 4 | | 4% 21 Jan 2046 | | 1,000,000 | | | | 1,060,781 | |
| | GNMA II POOL 002910 | | 8.5% 20 Apr 2030 | | 1,537 | | | | 1,832 | |
| | GNMA II POOL 002947 | | 8.5% 20 Jul 2030 | | 667 | | | | 785 | |
| | GNMA II POOL 003029 | | 8.5% 20 Jan 2031 | | 3,439 | | | | 4,081 | |
| | GNMA II POOL 780840 | | 8.5% 20 Jul 2028 | | 10,187 | | | | 12,280 | |
| | GNMA II TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 1,000,000 | | | | 1,042,461 | |
| | GNMA II TBA 30 YR 4 | | 4% 22 Feb 2046 | | 1,000,000 | | | | 1,059,863 | |
| | GOLDMAN SACH AND CO | | DOM MSF CASH COLLATERAL | | (7,000 | ) | | | (7,000 | ) |
| | GOLDMAN SACHS GROUP INC | | 1% 15 Nov 2018 | | 6,900,000 | | | | 6,928,021 | |
| | GOLDMAN SACHS GROUP INC | | 6.15% 01 Apr 2018 | | 3,300,000 | | | | 3,583,523 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Aug 2065 | | 1,096,966 | | | | 1,085,766 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Jul 2065 | | 6,892,210 | | | | 6,855,420 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Jun 2065 | | 6,780,354 | | | | 6,701,914 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 May 2065 | | 4,540,191 | | | | 4,514,796 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 May 2065 | | 4,405,283 | | | | 4,365,593 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Sep 2065 | | 1,096,794 | | | | 1,085,448 | |
| | GSR MORTGAGE LOAN TRUST | | 1% 25 Sep 2035 | | 834,177 | | | | 852,245 | |
| | HCA INC | | 5% 15 Mar 2024 | | 2,700,000 | | | | 2,693,250 | |
| | HELLENIC RAILWAY ORG | | 4.028% 17 Mar 2017 | | 100,000 | | | | 99,940 | |
| | HELLENIC RAILWAY ORG | | 5.014% 27 Dec 2017 | | 700,000 | | | | 695,775 | |
| | INDUSTRIAL BANK OF KOREA | | 2.375% 17 Jul 2017 | | 9,500,000 | | | | 9,559,404 | |
| | INDYMAC INDX MORTGAGE LOAN TRU | | 1% 25 Dec 2034 | | 0 | | | | 0 | |
| | INTESA SANPAOLO NEW YORK | | 1% 11 Apr 2016 | | 2,300,000 | | | | 2,301,750 | |
| | IPALCO ENTERPRISES INC | | 3.45% 15 Jul 2020 | | 1,700,000 | | | | 1,674,500 | |
| | JAPANESE YEN | | FOREIGN CURRENCY | | 60,897 | | | | 506 | |
* | | JP MORGAN CHASE BANK NA | | 1% 13 Jun 2016 | | 900,000 | | | | 898,663 | |
* | | JP MORGAN MORTGAGE TRUST | | 1% 25 Feb 2035 | | 0 | | | | 0 | |
* | | JP MORGAN MORTGAGE TRUST | | 1% 25 Feb 2036 | | 422,068 | | | | 372,251 | |
* | | JPMORGAN CHASE + CO | | 1% 15 Feb 2017 | | 7,300,000 | | | | 7,295,226 | |
* | | JPMORGAN CHASE + CO | | 6.3% 23 Apr 2019 | | 500,000 | | | | 560,651 | |
| | KILROY REALTY LP | | 4.375% 01 Oct 2025 | | 2,300,000 | | | | 2,329,615 | |
| | KINDER MORGAN INC/DELAWA | | 5.625% 15 Nov 2023 | | 1,200,000 | | | | 1,096,952 | |
| | LB UBS COMMERCIAL MORTGAGE TRU | | 1% 15 Sep 2045 | | 368,258 | | | | 386,471 | |
| | LEHMAN BROTHERS HOLDINGS | | 6.75% 28 Dec 2017 | | 3,100,000 | | | | 310 | |
| | LLOYDS BANK PLC | | 1% 29 Dec 2049 | | 5,700,000 | | | | 8,132,760 | |
| | LOCKHEED MARTIN CORP | | 2.5% 23 Nov 2020 | | 1,000,000 | | | | 994,069 | |
| | MERCK + CO INC | | 3.7% 10 Feb 2045 | | 1,600,000 | | | | 1,477,520 | |
| | MERRILL LYNCH MORTGAGE INVESTO | | 1% 25 Feb 2036 | | 0 | | | | 0 | |
| | MEX BONOS DESARR FIX RT | | 8.5% 13 Dec 2018 | | 40,000,000 | | | | 2,547,717 | |
| | MEXICAN CETES | | 0.01% 28 Apr 2016 | | 370,000,000 | | | | 2,118,628 | |
| | MEXICAN PESO (NEW) | | FOREIGN CURRENCY | | 14,273,429 | | | | 826,432 | |
| | MLCC MORTGAGE INVESTORS INC | | 1% 25 Nov 2035 | | 27,755 | | | | 25,955 | |
| | MLCC MORTGAGE INVESTORS INC | | 1% 25 Oct 2035 | | 40,880 | | | | 38,719 | |
| | MORGAN STANLEY | | 2.125% 25 Apr 2018 | | 1,000,000 | | | | 1,001,335 | |
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| | MORGAN STANLEY | | 7.3% 13 May 2019 | | 1,100,000 | | | | 1,263,580 | |
| | MORGAN STANLEY + CO INC | | CASH COLL (CCP) | | 214,000 | | | | 214,000 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 11 Jun 2049 | | 334,057 | | | | 347,042 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 14 Aug 2031 | | 1,388,566 | | | | 1,383,317 | |
| | MORGAN STANLEY CCP | | MORGAN STANLEY CCMSCHUS2 | | 358,000 | | | | 358,000 | |
| | NAVIENT STUDENT LOAN TRUST | | 1% 16 Jan 2035 | | 1,600,000 | | | | 1,599,531 | |
| | NEW YORK CITY NY TRANSITIONAL | | 4.905% 01 Nov 2024 | | 1,900,000 | | | | 2,114,339 | |
| | NEW ZEALAND DOLLAR | | FOREIGN CURRENCY | | 116 | | | | 79 | |
| | PETROBRAS GLOBAL FINANCE | | 1% 17 Mar 2017 | | 4,600,000 | | | | 4,226,250 | |
| | PETROBRAS GLOBAL FINANCE | | 4.375% 20 May 2023 | | 1,400,000 | | | | 924,000 | |
| | PIMCO FDS PAC INVT MGMT SER | | ASSET BKD SECS PORTFOLIO | | 1,830,005 | | | | 22,380,959 | |
| | PIONEER NATURAL RESOURCE | | 6.65% 15 Mar 2017 | | 1,100,000 | | | | 1,135,708 | |
| | POUND STERLING | | FOREIGN CURRENCY | | 217,672 | | | | 320,826 | |
| | RBSCF TRUST | | 5.467% 16 Sep 2039 | | 1,507,693 | | | | 1,517,302 | |
| | RESOURCE CAPITAL CORP LTD | | 1% 15 Aug 2032 | | 2,300,000 | | | | 2,281,325 | |
| | REYNOLDS AMERICAN INC | | 2.3% 12 Jun 2018 | | 1,500,000 | | | | 1,509,422 | |
| | RMAC SECURITIES PLC | | 1% 12 Jun 2044 | | 1,542,622 | | | | 2,076,678 | |
| | ROYAL BK OF SCOTLAND PLC | | 1% 16 Mar 2022 | | 1,000,000 | | | | 1,080,732 | |
| | SEQUOIA MORTGAGE TRUST | | 1% 20 Apr 2035 | | 611,328 | | | | 631,273 | |
| | SINGAPORE DOLLAR | | FOREIGN CURRENCY | | 930 | | | | 656 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Apr 2023 | | 7,315,253 | | | | 7,327,160 | |
| | SMALL BUSINESS ADMINISTRATION | | 5.6% 01 Sep 2028 | | 0 | | | | 0 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 2,527,944 | | | | 2,527,944 | |
| | STRUCTURED ADJUSTABLE RATE MOR | | 1% 25 Aug 2035 | | 47,743 | | | | 44,400 | |
| | STRUCTURED ADJUSTABLE RATE MOR | | 1% 25 Sep 2034 | | 2,015,331 | | | | 2,002,911 | |
| | STRUCTURED ASSET MORTGAGE INVE | | 1% 19 Jul 2035 | | 42,781 | | | | 36,992 | |
| | STRUCTURED ASSET MORTGAGE INVE | | 1% 19 Jul 2035 | | 52,214 | | | | 50,564 | |
| | STRUCTURED ASSET MORTGAGE INVE | | 1% 19 Jul 2035 | | 127,794 | | | | 122,060 | |
| | STRUCTURED ASSET MORTGAGE INVE | | 1% 25 May 2036 | | 2,131,140 | | | | 1,602,227 | |
| | SWAP DEUTSCHE BANK BOC | | SWAP CASH COLLATERAL USD | | (470,000 | ) | | | (470,000 | ) |
| | SWAP HSBC COC | | SWAP CASH COLLATERAL USD | | 260,000 | | | | 260,000 | |
* | | SWAP JP MORGAN BOC | | SWAP CASH COLLATERAL USD | | (1,930,000 | ) | | | (1,930,000 | ) |
| | SWPC01RM8 CDS USD P V 01MEVENT | | 1% 13 Dec 2049 | | (2,083,152 | ) | | | (2,083,152 | ) |
| | SWPC01RM8 CDS USD R F .08000 | | 0.08% 13 Dec 2049 | | 2,083,152 | | | | 2,077,007 | |
| | SWPC06ST1 CDS USD P V 03MEVENT | | 1% 20 Dec 2019 | | (500,000 | ) | | | (500,000 | ) |
| | SWPC06ST1 CDS USD R F 1.00000 | | 1% 20 Dec 2019 | | 500,000 | | | | 492,083 | |
| | SWPC06UD3 CDS USD P V 03MEVENT | | 1% 20 Dec 2019 | | (7,300,000 | ) | | | (7,300,000 | ) |
| | SWPC06UD3 CDS USD R F 1.00000 | | 1% 20 Dec 2019 | | 7,300,000 | | | | 7,184,418 | |
| | SWPC09OW2 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (2,277,000 | ) | | | (2,277,000 | ) |
| | SWPC09OW2 CDS USD R F 5.00000 | | 5% 20 Jun 2020 | | 2,277,000 | | | | 2,362,199 | |
| | SWPC0B4H2 CDS EUR P V 03MEVENT | | 1% 20 Dec 2020 | | (1,400,000 | ) | | | (1,520,820 | ) |
| | SWPC0B4H2 CDS EUR R F 1.00000 | | 1% 20 Dec 2020 | | 1,400,000 | | | | 1,542,499 | |
| | SWPC0B5C2 CDS USD P V 03MEVENT | | 1% 20 Dec 2020 | | (1,100,000 | ) | | | (1,100,000 | ) |
| | SWPC0B5C2 CDS USD R F 5.00000 | | 5% 20 Dec 2020 | | 1,100,000 | | | | 1,113,224 | |
| | SWPC0B5M0 CDS USD P V 03MEVENT | | 1% 20 Dec 2020 | | (1,400,000 | ) | | | (1,400,000 | ) |
| | SWPC0B5M0 CDS USD R F 1.00000 | | 1% 20 Dec 2020 | | 1,400,000 | | | | 1,355,009 | |
| | SWPC0B5N8 CDS USD P V 03MEVENT | | 1% 20 Dec 2020 | | (700,000 | ) | | | (700,000 | ) |
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| | SWPC0B5N8 CDS USD R F 1.00000 | | 1% 20 Dec 2020 | | 700,000 | | | | 677,504 | |
| | SWPC0BD41 CDS EUR P V 03MEVENT | | 1% 20 Dec 2017 | | (1,300,000 | ) | | | (1,412,190 | ) |
| | SWPC0BD41 CDS EUR R F 1.00000 | | 1% 20 Dec 2017 | | 1,300,000 | | | | 1,403,737 | |
| | SWPC0BL83 CDS EUR P V 03MEVENT | | 1% 20 Dec 2016 | | (400,000 | ) | | | (434,520 | ) |
| | SWPC0BL83 CDS EUR R F 1.00000 | | 1% 20 Dec 2016 | | 400,000 | | | | 433,759 | |
| | SWU009GC5 IRS MXN P V 01MTIIE | | 1% 02 Sep 2022 | | (45,600,000 | ) | | | (2,640,241 | ) |
| | SWU009GC5 IRS MXN R F 5.50000 | | 5.5% 02 Sep 2022 | | 45,600,000 | | | | 2,570,232 | |
| | SWU00APJ7 IRS MXN P V 01MTIIE | | 1% 10 Oct 2019 | | (10,400,000 | ) | | | (602,160 | ) |
| | SWU00APJ7 IRS MXN R F 5.01000 | | 5.01% 10 Oct 2019 | | 10,400,000 | | | | 598,930 | |
| | SWU00BAG7 IRS MXN P V 01MTIIE | | 1% 27 Jul 2020 | | (39,600,000 | ) | | | (2,292,841 | ) |
| | SWU00BAG7 IRS MXN R F 6.96000 | | 6.96% 27 Jul 2020 | | 39,600,000 | | | | 2,444,126 | |
| | SWU00BNC2 IRS MXN P V 01MTIIE | | 1% 07 Jan 2022 | | (4,700,000 | ) | | | (272,130 | ) |
| | SWU00BNC2 IRS MXN R F 5.37500 | | 5.375% 07 Jan 2022 | | 4,700,000 | | | | 265,394 | |
| | SWU00BNI9 IRS MXN P V 01MTIIE | | 1% 31 Dec 2029 | | (117,200,000 | ) | | | (6,785,883 | ) |
| | SWU00BNI9 IRS MXN R F 6.06000 | | 6.06% 31 Dec 2029 | | 117,200,000 | | | | 6,283,947 | |
| | SWU00BON7 IRS MXN P V 01MTIIE | | 1% 17 Nov 2021 | | (93,400,000 | ) | | | (5,407,862 | ) |
| | SWU00BON7 IRS MXN R F 5.43000 | | 5.43% 17 Nov 2021 | | 93,400,000 | | | | 5,309,208 | |
| | SWU00BXU1 IRS MXN P V 01MTIIE | | 1% 05 Feb 2020 | | (36,500,000 | ) | | | (2,113,351 | ) |
| | SWU00BXU1 IRS MXN R F 5.27000 | | 5.27% 05 Feb 2020 | | 36,500,000 | | | | 2,115,700 | |
| | SWU00D2Q0 IRS MXN P V 01MTIIE | | 1% 02 Jun 2020 | | (16,100,000 | ) | | | (932,190 | ) |
| | SWU00D2Q0 IRS MXN R F 5.61500 | | 5.615% 02 Jun 2020 | | 16,100,000 | | | | 942,247 | |
| | SWU00DM13 IRS MXN P V 01MTIIE | | 1% 13 Jul 2022 | | (13,200,000 | ) | | | (764,280 | ) |
| | SWU00DM13 IRS MXN R F 5.94000 | | 5.94% 13 Jul 2022 | | 13,200,000 | | | | 765,020 | |
| | SWU00EFC5 IRS MXN P V 01MTIIE | | 1% 16 Sep 2022 | | (27,500,000 | ) | | | (1,592,251 | ) |
| | SWU00EFC5 IRS MXN R F 5.97500 | | 5.975% 16 Sep 2022 | | 27,500,000 | | | | 1,593,629 | |
| | SWU00EGC4 IRS MXN P V 01MTIIE | | 1% 22 Sep 2020 | | (32,500,000 | ) | | | (1,881,751 | ) |
| | SWU00EGC4 IRS MXN R F 5.49500 | | 5.495% 22 Sep 2020 | | 32,500,000 | | | | 1,885,310 | |
| | SWU0CG751 IRS USD P F .41500 | | 0.415% 23 Sep 2016 | | (2,200,000 | ) | | | (2,200,000 | ) |
| | SWU0CG751 IRS USD R V 12MUSCPI | | 1% 23 Sep 2016 | | 2,200,000 | | | | 2,205,007 | |
| | THAILAND BAHT | | FOREIGN CURRENCY | | 760 | | | | 21 | |
| | TOBACCO SETTLEMENT FIN AUTH WV | | 7.467% 01 Jun 2047 | | 1,805,000 | | | | 1,559,791 | |
| | TSY INFL IX N/B | | 0.125% 15 Apr 2020 | | 1,929,697 | | | | 1,906,517 | |
| | TSY INFL IX N/B | | 0.125% 15 Jan 2022 | | 14,081,256 | | | | 13,660,776 | |
| | TSY INFL IX N/B | | 0.125% 15 Jul 2024 | | 22,938,243 | | | | 21,811,195 | |
| | TSY INFL IX N/B | | 0.25% 15 Jan 2025 | | 1,807,506 | | | | 1,725,250 | |
| | TSY INFL IX N/B | | 0.375% 15 Jul 2025 | | 4,212,348 | | | | 4,078,298 | |
| | TSY INFL IX N/B | | 0.75% 15 Feb 2045 | | 1,515,030 | | | | 1,321,271 | |
| | TSY INFL IX N/B | | 1.125% 15 Jan 2021 | | 326,178 | | | | 0 | |
| | TSY INFL IX N/B | | 1.125% 15 Jan 2021 | | 0 | | | | 336,274 | |
| | TSY INFL IX N/B | | 1.375% 15 Feb 2044 | | 918,468 | | | | 934,732 | |
| | TSY INFL IX N/B | | 1.75% 15 Jan 2028 | | 12,488,300 | | | | 13,663,474 | |
| | TSY INFL IX N/B | | 2.375% 15 Jan 2027 | | 943,512 | | | | 1,090,727 | |
| | TSY INFL IX N/B | | 2.5% 15 Jan 2029 | | 9,859,331 | | | | 11,698,136 | |
| | UAL 1995 PASS TRUST | | 9.56% 19 Oct 2018 | | 718,357 | | | | 1,221 | |
| | UBS AG STAMFORD CT | | 1% 01 Jun 2017 | | 600,000 | | | | 598,780 | |
| | UBS AG STAMFORD CT | | 2.35% 26 Mar 2020 | | 250,000 | | | | 249,707 | |
| | UBS CASH COLL CCP COC | | CCP CCUBSCUS4 COC | | 398,000 | | | | 398,000 | |
| | UBS FUTURES COC USD | | UBS COC CCUBSXUS8 | | 218,000 | | | | 218,000 | |
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| | US 10YR NOTE (CBT)MAR16 | | XCBT 20160321 | | (38,200,000 | ) | | | 36,446 | |
| | US 5YR NOTE (CBT) MAR16 | | XCBT 20160331 | | 54,500,000 | | | | (134,566 | ) |
| | US DOLLAR | | | | 3,315,538 | | | | 3,315,538 | |
| | US LONG BOND(CBT) MAR16 | | XCBT 20160321 | | 6,000,000 | | | | (12,102 | ) |
| | US TREASURY N/B | | 2% 31 Oct 2021 | | 4,500,000 | | | | 4,513,095 | |
| | US TREASURY N/B | | 2.125% 30 Sep 2021 | | 32,600,000 | | | | 32,943,832 | |
| | US TREASURY N/B | | 2.125% 31 Dec 2021 | | 20,100,000 | | | | 20,280,197 | |
| | US TREASURY N/B | | 2.5% 15 Feb 2045 | | 30,000,000 | | | | 26,916,810 | |
| | US TREASURY N/B | | 2.5% 15 May 2024 | | 5,300,000 | | | | 5,415,731 | |
| | US TREASURY N/B | | 2.75% 15 Aug 2042 | | 400,000 | | | | 382,328 | |
| | US TREASURY N/B | | 2.75% 15 Feb 2024 | | 2,100,000 | | | | 2,187,732 | |
| | US TREASURY N/B | | 2.75% 15 Nov 2042 | | 2,300,000 | | | | 2,192,997 | |
| | US TREASURY N/B | | 2.875% 15 Aug 2045 | | 8,000,000 | | | | 7,769,688 | |
| | US TREASURY N/B | | 2.875% 15 May 2043 | | 1,100,000 | | | | 1,072,500 | |
| | US TREASURY N/B | | 3% 15 May 2042 | | 6,900,000 | | | | 6,942,587 | |
| | US TREASURY N/B | | 3% 15 Nov 2044 | | 800,000 | | | | 797,094 | |
| | US TREASURY N/B | | 3% 15 Nov 2045 | | 1,300,000 | | | | 1,296,090 | |
| | US TREASURY N/B | | 3.125% 15 Aug 2044 | | 7,700,000 | | | | 7,869,338 | |
| | US TREASURY N/B | | 3.125% 15 Feb 2042 | | 2,900,000 | | | | 2,994,363 | |
| | US TREASURY N/B | | 4.375% 15 Nov 2039 | | 300,000 | | | | 377,215 | |
| | VERIZON COMMUNICATIONS | | 1% 14 Sep 2018 | | 900,000 | | | | 921,542 | |
| | WAMU MORTGAGE PASS THROUGH CER | | 1% 25 Aug 2046 | | 1,704,344 | | | | 1,533,943 | |
| | WEA FINANCE LLC/WESTFIEL | | 3.25% 05 Oct 2020 | | 1,100,000 | | | | 1,104,210 | |
| | WELLS FARGO + COMPANY PREFERRED STOCK 7.5 | | PREFERRED STOCK 7.5 | | 1,300 | | | | 1,505,563 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Apr 2036 | | 332,548 | | | | 324,353 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 May 2035 | | 1,916,321 | | | | 1,959,132 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Nov 2034 | | 406,225 | | | | 407,608 | |
| | WILLIAMS PARTNERS LP | | 3.6% 15 Mar 2022 | | 1,300,000 | | | | 1,022,345 | |
| | YUAN RENMINBI | | FOREIGN CURRENCY | | 288 | | | | 44 | |
| | Currency Contract | | USD/BRL | | | | | | 1,960,677 | |
| | Currency Contract | | BRL/USD | | | | | | (205,988 | ) |
| | Currency Contract | | USD/CNY | | | | | | (17,218 | ) |
| | Currency Contract | | CNY/USD | | | | | | 5,012 | |
| | Currency Contract | | DKK/USD | | | | | | (24,596 | ) |
| | Currency Contract | | USD/DKK | | | | | | 464,668 | |
| | Currency Contract | | USD/EUR | | | | | | (182,672 | ) |
| | Currency Contract | | EUR/USD | | | | | | 23,919 | |
| | Currency Contract | | USD/GBP | | | | | | 137,010 | |
| | Currency Contract | | GBP/USD | | | | | | (31,539 | ) |
| | Currency Contract | | INR/USD | | | | | | (1,883 | ) |
| | Currency Contract | | USD/INR | | | | | | (500 | ) |
| | Currency Contract | | USD/JPY | | | | | | (726,853 | ) |
| | Currency Contract | | JPY/USD | | | | | | 500,750 | |
| | Currency Contract | | USD/KRW | | | | | | 56,290 | |
| | Currency Contract | | KRW/USD | | | | | | (17,520 | ) |
| | Currency Contract | | USD/MXN | | | | | | 199,084 | |
| | Currency Contract | | MXN/USD | | | | | | (14,578 | ) |
| | Currency Contract | | USD/MYR | | | | | | 3,153 | |
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| | Currency Contract | | MYR/USD | | | | | | (7,416 | ) |
| | Currency Contract | | RUB/USD | | | | | | (36,320 | ) |
| | Currency Contract | | USD/SGD | | | | | | 2,275 | |
| | Currency Contract | | USD/THB | | | | | | (10,480 | ) |
| | Currency Contract | | USD/TWD | | | | | | 283 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5711 2 of 16 | | | | | | $ | 601,953,130 | |
| | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | SSGA G STIFF ERISA QUALIFIED | | STIF-TYPE INSTRUMENT | | 70,348,815 | | | | $ | 70,348,815 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5725 3 of 16 | | | | | | $ | 70,348,815 | |
| | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 0WP059058 CDS USD P F .00000 | | 0% 20 Sep 2017 | | (300,000 | ) | | | $ | (300,000 | ) |
| | 0WP059058 CDS USD R F 3.77000 | | 3.77% 20 Sep 2017 | | 300,000 | | | | 316,499 | |
| | 0WP059777 CDS USD P V 00MEVENT | | 1% 20 Sep 2017 | | (300,000 | ) | | | (300,000 | ) |
| | 0WP059777 CDS USD R F 3.95000 | | 3.95% 20 Sep 2017 | | 300,000 | | | | 317,424 | |
| | 21ST CENTURY FOX AMERICA | | 6.2% 15 Dec 2034 | | 60,000 | | | | 68,127 | |
| | 21ST CENTURY FOX AMERICA | | 6.75% 09 Jan 2038 | | 1,060,000 | | | | 1,204,862 | |
| | 321 HENDERSON RECEIVABLES LLC | | 3.96% 15 Mar 2063 | | 1,475,162 | | | | 1,523,929 | |
| | 90DAY EUR FUTR DEC16 | | XCME 20161219 | | (28,500,000 | ) | | | 29,000 | |
| | 90DAY EUR FUTR DEC17 | | XCME 20171218 | | (35,500,000 | ) | | | 92,938 | |
| | 90DAY EUR FUTR MAR16 | | XCME 20160314 | | (281,500,000 | ) | | | 254,888 | |
| | 90DAY EUR FUTR MAR17 | | XCME 20170313 | | 30,000,000 | | | | (23,200 | ) |
| | ABB FINANCE USA INC | | 4.375% 08 May 2042 | | 120,000 | | | | 119,108 | |
| | ABBVIE INC | | 1.75% 06 Nov 2017 | | 840,000 | | | | 838,370 | |
| | ABBVIE INC | | 3.6% 14 May 2025 | | 120,000 | | | | 118,432 | |
| | ABN AMRO BANK NV | | 4.75% 28 Jul 2025 | | 470,000 | | | | 468,449 | |
| | ACADEMIC LOAN FUNDING TRUST | | 1% 27 Dec 2022 | | 1,941,290 | | | | 1,932,654 | |
| | ACTAVIS FUNDING SCS | | 3.45% 15 Mar 2022 | | 340,000 | | | | 340,371 | |
| | ACTAVIS FUNDING SCS | | 3.8% 15 Mar 2025 | | 690,000 | | | | 686,476 | |
| | ACTAVIS FUNDING SCS | | 4.55% 15 Mar 2035 | | 200,000 | | | | 194,371 | |
| | ACTAVIS FUNDING SCS | | 4.75% 15 Mar 2045 | | 380,000 | | | | 370,517 | |
| | ACTIVISION BLIZZARD | | 5.625% 15 Sep 2021 | | 530,000 | | | | 555,175 | |
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| | AERCAP IRELAND CAP LTD/A | | 3.75% 15 May 2019 | | 830,000 | | | | 828,963 | |
| | AES CORP/VA | | 7.375% 01 Jul 2021 | | 950,000 | | | | 969,000 | |
| | AES CORP/VA | | 8% 01 Jun 2020 | | 18,000 | | | | 19,800 | |
| | ALLY FINANCIAL INC | | 3.5% 27 Jan 2019 | | 280,000 | | | | 276,150 | |
| | ALLY FINANCIAL INC | | 8% 15 Mar 2020 | | 1,486,000 | | | | 1,694,040 | |
| | ALTRIA GROUP INC | | 2.85% 09 Aug 2022 | | 520,000 | | | | 506,938 | |
| | ALTRIA GROUP INC | | 5.375% 31 Jan 2044 | | 530,000 | | | | 570,089 | |
| | ALTRIA GROUP INC | | 9.25% 06 Aug 2019 | | 1,650,000 | | | | 2,019,565 | |
| | ALTRIA GROUP INC | | 9.95% 10 Nov 2038 | | 540,000 | | | | 865,548 | |
| | AMAZON.COM INC | | 4.95% 05 Dec 2044 | | 370,000 | | | | 394,027 | |
| | AMERICA MOVIL SAB DE CV | | 3.125% 16 Jul 2022 | | 200,000 | | | | 196,524 | |
| | AMERICA MOVIL SAB DE CV | | 5% 30 Mar 2020 | | 670,000 | | | | 727,038 | |
| | AMERICA MOVIL SAB DE CV | | 5.625% 15 Nov 2017 | | 780,000 | | | | 832,301 | |
| | AMERICAN HOME MORTGAGE ASSETS | | 1% 25 Sep 2046 | | 3,936,777 | | | | 2,795,012 | |
| | AMERICAN HOME MORTGAGE INVESTM | | 1% 25 Nov 2045 | | 1,868,785 | | | | 1,566,742 | |
| | AMERICAN HOME MORTGAGE INVESTM | | 1% 25 Sep 2035 | | 886,716 | | | | 677,726 | |
| | AMGEN INC | | 3.625% 22 May 2024 | | 260,000 | | | | 259,903 | |
| | AMGEN INC | | 5.375% 15 May 2043 | | 190,000 | | | | 201,858 | |
| | AMORTIZING RESIDENTIAL COLLATE | | 1% 25 Jul 2032 | | 177,248 | | | | 171,200 | |
| | ANADARKO PETROLEUM CORP | | 6.375% 15 Sep 2017 | | 810,000 | | | | 849,384 | |
| | ANHEUSER BUSCH INBEV WOR | | 2.5% 15 Jul 2022 | | 400,000 | | | | 384,834 | |
| | ANHEUSER BUSCH INBEV WOR | | 5% 15 Apr 2020 | | 940,000 | | | | 1,028,912 | |
| | ANHEUSER BUSCH INBEV WOR | | 5.375% 15 Jan 2020 | | 450,000 | | | | 497,950 | |
| | ANTERO RESOURCES CORP | | 5.375% 01 Nov 2021 | | 320,000 | | | | 256,000 | |
| | ANTHEM INC | | 3.7% 15 Aug 2021 | | 620,000 | | | | 633,666 | |
| | ANTHEM INC | | 5.875% 15 Jun 2017 | | 110,000 | | | | 116,276 | |
| | ANTHEM INC | | 7% 15 Feb 2019 | | 220,000 | | | | 247,150 | |
| | APACHE CORP | | 5.1% 01 Sep 2040 | | 840,000 | | | | 718,044 | |
| | APACHE CORP | | 6% 15 Jan 2037 | | 70,000 | | | | 67,608 | |
| | ARCELORMITTAL | | 6.125% 01 Jun 2025 | | 640,000 | | | | 465,600 | |
| | ARCELORMITTAL | | 6.5% 01 Mar 2021 | | 160,000 | | | | 128,782 | |
| | ARCELORMITTAL | | 7.25% 25 Feb 2022 | | 160,000 | | | | 128,800 | |
| | ARCH COAL INC | | 7.25% 15 Jun 2021 | | 1,250,000 | | | | 9,500 | |
| | ARDAGH PKG FIN/HLDGS USA | | 1% 15 Dec 2019 | | 960,000 | | | | 938,400 | |
| | AT+T INC | | 3% 15 Feb 2022 | | 230,000 | | | | 225,464 | |
| | AT+T INC | | 3.4% 15 May 2025 | | 2,710,000 | | | | 2,604,554 | |
| | AT+T INC | | 4.35% 15 Jun 2045 | | 293,000 | | | | 250,653 | |
| | AT+T INC | | 4.45% 15 May 2021 | | 150,000 | | | | 159,653 | |
| | AT+T INC | | 5.5% 01 Feb 2018 | | 440,000 | | | | 470,355 | |
| | AT+T INC | | 5.55% 15 Aug 2041 | | 450,000 | | | | 452,192 | |
| | ATWOOD OCEANICS INC | | 6.5% 01 Feb 2020 | | 380,000 | | | | 203,300 | |
| | AXIALL CORP | | 4.875% 15 May 2023 | | 50,000 | | | | 45,000 | |
| | BAKER HUGHES INC | | 7.5% 15 Nov 2018 | | 1,300,000 | | | | 1,467,729 | |
| | BANC OF AMERICA FUNDING CORPOR | | 1% 20 Sep 2035 | | 254,594 | | | | 193,465 | |
| | BANC OF AMERICA MORTGAGE SECUR | | 1% 25 Jan 2036 | | 567,341 | | | | 431,902 | |
| | BANK OF AMERICA CORP | | 1% 29 Sep 2049 | | 1,540,000 | | | | 1,543,850 | |
| | BANK OF AMERICA CORP | | 2.6% 15 Jan 2019 | | 1,050,000 | | | | 1,053,422 | |
| | BANK OF AMERICA CORP | | 3.3% 11 Jan 2023 | | 330,000 | | | | 324,827 | |
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| | BANK OF AMERICA CORP | | 4% 01 Apr 2024 | | 1,410,000 | | | | 1,442,028 | |
| | BANK OF AMERICA CORP | | 4% 22 Jan 2025 | | 1,050,000 | | | | 1,027,874 | |
| | BANK OF AMERICA CORP | | 4.2% 26 Aug 2024 | | 950,000 | | | | 942,569 | |
| | BANK OF AMERICA CORP | | 4.875% 01 Apr 2044 | | 1,310,000 | | | | 1,356,445 | |
| | BANK OF AMERICA CORP | | 5% 13 May 2021 | | 1,130,000 | | | | 1,234,582 | |
| | BANK OF AMERICA CORP | | 5% 21 Jan 2044 | | 1,330,000 | | | | 1,388,108 | |
| | BANK OF AMERICA CORP | | 5.42% 15 Mar 2017 | | 1,000,000 | | | | 1,040,893 | |
| | BANK OF AMERICA CORP | | 5.625% 01 Jul 2020 | | 1,610,000 | | | | 1,788,338 | |
| | BANK OF AMERICA CORP | | 5.7% 02 May 2017 | | 650,000 | | | | 677,869 | |
| | BANK OF AMERICA CORP | | 5.75% 01 Dec 2017 | | 430,000 | | | | 459,993 | |
| | BANK OF AMERICA CORP | | 7.625% 01 Jun 2019 | | 60,000 | | | | 69,499 | |
| | BARCLAYS BANK PLC | | 10.179% 12 Jun 2021 | | 350,000 | | | | 453,389 | |
| | BARCLAYS BANK PLC | | 6.05% 04 Dec 2017 | | 550,000 | | | | 586,666 | |
| | BARRICK GOLD CORP | | 6.95% 01 Apr 2019 | | 217,000 | | | | 222,012 | |
| | BARRICK NA FINANCE LLC | | 4.4% 30 May 2021 | | 1,700,000 | | | | 1,526,483 | |
| | BAXALTA INC | | 5.25% 23 Jun 2045 | | 350,000 | | | | 351,181 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 Jan 2035 | | 0 | | | | 0 | |
| | BEAR STEARNS ALT A TRUST | | 1% 25 Jan 2035 | | 1,427,305 | | | | 1,383,894 | |
| | BEAR STEARNS ALT A TRUST | | 1% 25 Jun 2034 | | 391,409 | | | | 374,341 | |
| | BEAR STEARNS COS LLC | | 6.4% 02 Oct 2017 | | 580,000 | | | | 624,618 | |
| | BEAR STEARNS MORTGAGE FUNDING | | 1% 25 Dec 2046 | | 4,436,661 | | | | 3,481,533 | |
| | BECTON DICKINSON AND CO | | 3.734% 15 Dec 2024 | | 390,000 | | | | 393,325 | |
| | BECTON DICKINSON AND CO | | 4.685% 15 Dec 2044 | | 160,000 | | | | 161,426 | |
| | BERKSHIRE HATHAWAY ENERG | | 6.5% 15 Sep 2037 | | 220,000 | | | | 267,746 | |
| | BHP BILLITON FIN USA LTD | | 1% 19 Oct 2075 | | 940,000 | | | | 907,100 | |
| | BHP BILLITON FIN USA LTD | | 3.25% 21 Nov 2021 | | 820,000 | | | | 770,228 | |
| | BHP BILLITON FIN USA LTD | | 5% 30 Sep 2043 | | 730,000 | | | | 656,127 | |
| | BHP BILLITON FIN USA LTD | | 6.5% 01 Apr 2019 | | 540,000 | | | | 594,832 | |
| | BNP PARIBAS | | 2.375% 14 Sep 2017 | | 490,000 | | | | 495,821 | |
| | BOEING CAPITAL CORP | | 4.7% 27 Oct 2019 | | 590,000 | | | | 647,313 | |
| | BOEING CO | | 6% 15 Mar 2019 | | 590,000 | | | | 661,935 | |
| | BP CAPITAL MARKETS PLC | | 3.506% 17 Mar 2025 | | 880,000 | | | | 852,191 | |
| | BPCE SA | | 5.15% 21 Jul 2024 | | 310,000 | | | | 312,605 | |
| | BRAZILIAN REAL | | FOREIGN CURRENCY | | 723 | | | | 183 | |
| | CALIFORNIA RESOURCES CRP | | 6% 15 Nov 2024 | | 670,000 | | | | 204,350 | |
| | CATHOLIC HEALTH INITIATI | | 4.35% 01 Nov 2042 | | 150,000 | | | | 140,296 | |
| | CCO HLDGS LLC/CAP CORP | | 7% 15 Jan 2019 | | 154,000 | | | | 157,273 | |
| | CCO SAFARI II LLC | | 6.384% 23 Oct 2035 | | 40,000 | | | | 40,413 | |
| | CCO SAFARI II LLC | | 6.484% 23 Oct 2045 | | 1,140,000 | | | | 1,141,868 | |
| | CDC MORTGAGE CAPITAL TRUST | | 1% 25 Jan 2033 | | 183,523 | | | | 172,465 | |
| | CELGENE CORP | | 3.55% 15 Aug 2022 | | 570,000 | | | | 575,541 | |
| | CELGENE CORP | | 3.875% 15 Aug 2025 | | 1,180,000 | | | | 1,175,221 | |
| | CELGENE CORP | | 5% 15 Aug 2045 | | 1,060,000 | | | | 1,064,121 | |
| | CELGENE CORP | | 5.25% 15 Aug 2043 | | 190,000 | | | | 194,133 | |
| | CELULOSA ARAUCO CONSTITU | | 4.75% 11 Jan 2022 | | 870,000 | | | | 885,470 | |
| | CENTURYLINK INC | | 5.625% 01 Apr 2020 | | 360,000 | | | | 355,950 | |
| | CENTURYLINK INC | | 5.625% 01 Apr 2025 | | 420,000 | | | | 354,900 | |
| | CENTURYLINK INC | | 5.8% 15 Mar 2022 | | 80,000 | | | | 73,320 | |
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| | CGG SA | | 6.5% 01 Jun 2021 | | 230,000 | | | | 102,350 | |
| | CHASE FUNDING MORTGAGE LOAN AS | | 1% 25 Oct 2032 | | 549,456 | | | | 509,953 | |
| | CHESAPEAKE ENERGY CORP | | 6.125% 15 Feb 2021 | | 140,000 | | | | 39,480 | |
| | CHESAPEAKE ENERGY CORP | | 6.875% 15 Nov 2020 | | 650,000 | | | | 185,250 | |
| | CHUBB INA HOLDINGS INC | | 2.3% 03 Nov 2020 | | 180,000 | | | | 178,706 | |
| | CHUBB INA HOLDINGS INC | | 3.35% 03 May 2026 | | 240,000 | | | | 239,265 | |
| | CIT GROUP INC | | 5% 01 Aug 2023 | | 990,000 | | | | 1,004,850 | |
| | CITIGROUP CAPITAL XIII | | PREFERRED STOCK 10/40 VAR | | 10,350 | | | | 268,997 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 1% 10 May 2047 | | 5,406,280 | | | | 417,286 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 1% 15 Jun 2033 | | 1,820,000 | | | | 1,801,082 | |
| | CITIGROUP INC | | 1% 29 Dec 2049 | | 360,000 | | | | 353,700 | |
| | CITIGROUP INC | | 1% 29 Dec 2049 | | 820,000 | | | | 799,500 | |
| | CITIGROUP INC | | 1% 29 Dec 2049 | | 1,610,000 | | | | 1,549,625 | |
| | CITIGROUP INC | | 1% 29 Jul 2049 | | 630,000 | | | | 616,455 | |
| | CITIGROUP INC | | 1% 31 Dec 2049 | | 620,000 | | | | 587,450 | |
| | CITIGROUP INC | | 3.5% 15 May 2023 | | 560,000 | | | | 550,602 | |
| | CITIGROUP INC | | 4.3% 20 Nov 2026 | | 230,000 | | | | 228,865 | |
| | CITIGROUP INC | | 4.4% 10 Jun 2025 | | 1,030,000 | | | | 1,040,308 | |
| | CITIGROUP INC | | 4.45% 29 Sep 2027 | | 700,000 | | | | 695,365 | |
| | CITIGROUP INC | | 4.65% 30 Jul 2045 | | 1,720,000 | | | | 1,745,453 | |
| | CITIGROUP INC | | 5.5% 13 Sep 2025 | | 940,000 | | | | 1,020,364 | |
| | CITIGROUP INC | | 6.625% 15 Jun 2032 | | 160,000 | | | | 188,821 | |
| | CITIGROUP INC | | 6.675% 13 Sep 2043 | | 390,000 | | | | 478,205 | |
| | CITIGROUP MORTGAGE LOAN TRUST | | 1% 25 Dec 2033 | | 82,887 | | | | 79,750 | |
| | CNOOC FINANCE 2015 US | | 3.5% 05 May 2025 | | 1,630,000 | | | | 1,551,509 | |
| | COMCAST CORP | | 3.375% 15 Aug 2025 | | 370,000 | | | | 374,578 | |
| | COMCAST CORP | | 3.375% 15 Feb 2025 | | 290,000 | | | | 292,674 | |
| | COMCAST CORP | | 4.25% 15 Jan 2033 | | 420,000 | | | | 412,703 | |
| | COMCAST CORP | | 5.65% 15 Jun 2035 | | 280,000 | | | | 325,856 | |
| | COMCAST CORP | | 6.5% 15 Nov 2035 | | 220,000 | | | | 275,729 | |
| | COMCAST CORP | | 6.55% 01 Jul 2039 | | 430,000 | | | | 541,567 | |
| | COMCAST CORP | | 6.95% 15 Aug 2037 | | 260,000 | | | | 339,269 | |
| | COMM MORTGAGE TRUST | | 1% 10 Jun 2047 | | 7,144,970 | | | | 520,900 | |
| | COMM MORTGAGE TRUST | | 1% 15 May 2045 | | 8,626,325 | | | | 751,711 | |
| | COMM MORTGAGE TRUST | | 2.822% 15 Oct 2045 | | 60,000 | | | | 59,318 | |
| | COMM MORTGAGE TRUST | | 3.424% 10 Mar 2031 | | 163,000 | | | | 164,404 | |
| | COMM MORTGAGE TRUST | | 3.527% 10 Feb 2048 | | 690,000 | | | | 686,228 | |
| | COMM MORTGAGE TRUST | | 3.528% 10 Dec 2047 | | 3,670,000 | | | | 3,699,312 | |
| | COMM MORTGAGE TRUST | | 3.987% 10 Dec 2047 | | 2,890,000 | | | | 2,974,744 | |
| | COMM MORTGAGE TRUST | | 4.3% 10 Oct 2046 | | 370,000 | | | | 389,871 | |
| | COMMONWEALTH BANK AUST | | 5% 15 Oct 2019 | | 420,000 | | | | 458,557 | |
| | COMPASS BANK | | 3.875% 10 Apr 2025 | | 290,000 | | | | 265,805 | |
| | CONCHO RESOURCES INC | | 5.5% 01 Apr 2023 | | 40,000 | | | | 37,000 | |
| | CONCHO RESOURCES INC | | 6.5% 15 Jan 2022 | | 684,000 | | | | 656,640 | |
| | CONOCOPHILLIPS | | 6% 15 Jan 2020 | | 550,000 | | | | 612,758 | |
| | CONSTELLATION BRANDS INC | | 4.75% 15 Nov 2024 | | 580,000 | | | | 591,600 | |
| | CONTINENTAL RESOURCES | | 4.5% 15 Apr 2023 | | 120,000 | | | | 86,215 | |
| | CONTINENTAL RESOURCES | | 5% 15 Sep 2022 | | 140,000 | | | | 103,250 | |
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| | CONTL AIRLINES 1998 1 | | 6.648% 15 Mar 2019 | | 164,096 | | | | 167,887 | |
| | CONTL AIRLINES 2001 1 | | 6.703% 15 Dec 2022 | | 41,510 | | | | 43,170 | |
| | CONTL AIRLINES 2007 1 | | 5.983% 19 Oct 2023 | | 1,122,343 | | | | 1,239,403 | |
| | COOPERATIEVE RABOBANK UA | | 1% 29 Dec 2049 | | 1,680,000 | | | | 2,073,960 | |
| | COOPERATIEVE RABOBANK UA | | 4.375% 04 Aug 2025 | | 840,000 | | | | 854,325 | |
| | COOPERATIEVE RABOBANK UA | | 4.625% 01 Dec 2023 | | 1,750,000 | | | | 1,823,754 | |
| | COOPERATIEVE RABOBANK UA | | 5.25% 04 Aug 2045 | | 350,000 | | | | 366,762 | |
| | COOPERATIEVE RABOBANK UA | | 5.75% 01 Dec 2043 | | 510,000 | | | | 570,089 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 1% 20 Mar 2046 | | 384,731 | | | | 289,330 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 1% 25 Dec 2034 | | 150,440 | | | | 149,243 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 1% 25 Dec 2034 | | 161,042 | | | | 157,603 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 1% 25 Jun 2037 | | 1,299,793 | | | | 948,562 | |
| | COUNTRYWIDE ASSET BACKED CERTI | | 1% 25 Oct 2034 | | 8,937,105 | | | | 8,212,583 | |
| | COX COMMUNICATIONS INC | | 4.7% 15 Dec 2042 | | 10,000 | | | | 7,589 | |
| | CRED SUIS GP FUN LTD | | 4.875% 15 May 2045 | | 1,120,000 | | | | 1,104,416 | |
| | CREDIT AGRICOLE SA | | 1% 29 Oct 2049 | | 2,000,000 | | | | 2,240,000 | |
| | CREDIT SUISSE MORTGAGE TRUST | | 1% 15 Sep 2038 | | 930,000 | | | | 924,251 | |
| | CREDIT SUISSE MORTGAGE TRUST | | 3.953% 15 Sep 2037 | | 160,000 | | | | 164,346 | |
| | CSC HOLDINGS LLC | | 6.75% 15 Nov 2021 | | 725,000 | | | | 712,313 | |
| | CVS HEALTH CORP | | 2.75% 01 Dec 2022 | | 2,220,000 | | | | 2,162,962 | |
| | CVS HEALTH CORP | | 3.875% 20 Jul 2025 | | 390,000 | | | | 398,026 | |
| | CVS HEALTH CORP | | 4.875% 20 Jul 2035 | | 450,000 | | | | 464,621 | |
| | CVS HEALTH CORP | | 5.125% 20 Jul 2045 | | 920,000 | | | | 969,157 | |
| | CVS HEALTH CORP | | 5.75% 15 May 2041 | | 30,000 | | | | 33,666 | |
| | DELTA AIR LINES 2007 1 A | | 6.821% 10 Feb 2024 | | 424,218 | | | | 488,614 | |
| | DEUTSCHE TELEKOM INT FIN | | 5.75% 23 Mar 2016 | | 740,000 | | | | 746,837 | |
| | DEVON ENERGY CORPORATION | | 5% 15 Jun 2045 | | 590,000 | | | | 447,163 | |
| | DEVON ENERGY CORPORATION | | 5.6% 15 Jul 2041 | | 450,000 | | | | 340,123 | |
| | DEVON ENERGY CORPORATION | | 5.85% 15 Dec 2025 | | 512,000 | | | | 497,943 | |
| | DEVON FINANCING CORP LLC | | 7.875% 30 Sep 2031 | | 340,000 | | | | 348,725 | |
| | DIAGEO CAPITAL PLC | | 4.828% 15 Jul 2020 | | 1,540,000 | | | | 1,681,669 | |
| | DISH DBS CORP | | 5.125% 01 May 2020 | | 130,000 | | | | 128,700 | |
| | DISH DBS CORP | | 5.875% 15 Jul 2022 | | 1,200,000 | | | | 1,119,000 | |
| | DISH DBS CORP | | 5.875% 15 Nov 2024 | | 710,000 | | | | 631,900 | |
| | DOLLAR TREE INC | | 5.75% 01 Mar 2023 | | 1,410,000 | | | | 1,459,350 | |
| | DUKE ENERGY CAROLINAS | | 5.3% 15 Feb 2040 | | 1,220,000 | | | | 1,399,845 | |
| | EAGLE SPINCO INC | | 4.625% 15 Feb 2021 | | 980,000 | | | | 901,600 | |
| | EATON CORP | | 2.75% 02 Nov 2022 | | 1,030,000 | | | | 996,671 | |
| | EATON CORP | | 4.15% 02 Nov 2042 | | 590,000 | | | | 544,054 | |
| | ECOLAB INC | | 4.35% 08 Dec 2021 | | 310,000 | | | | 331,008 | |
| | ECOPETROL SA | | 5.375% 26 Jun 2026 | | 670,000 | | | | 571,175 | |
| | ECOPETROL SA | | 5.875% 28 May 2045 | | 900,000 | | | | 639,000 | |
| | EL PASO NATURAL GAS | | 8.375% 15 Jun 2032 | | 760,000 | | | | 732,735 | |
| | ENSCO PLC | | 4.7% 15 Mar 2021 | | 260,000 | | | | 209,347 | |
| | ENTERPRISE PRODUCTS OPER | | 1% 15 Jan 2068 | | 810,000 | | | | 822,150 | |
| | EUR 1Y MIDCV OP JAN16P 98.5 | | EXP 01/15/2016 | | (730,000 | ) | | | (9,125 | ) |
| | EUR 1Y MIDCV OP JAN16P 98.625 | | EXP 01/15/2016 | | 365,000 | | | | 19,163 | |
| | EUR 1Y MIDCV OP JAN16P 98.75 | | EXP 01/15/2016 | | 242,500 | | | | 33,950 | |
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| | EUR 1Y MIDCV OP JAN16P 98.875 | | EXP 01/15/2016 | | 265,000 | | | | 68,238 | |
| | EURO CURRENCY | | FOREIGN CURRENCY | | 684,325 | | | | 743,382 | |
| | EURO-BUND FUTURE MAR16 | | XEUR 20160308 | | (6,200,000 | ) | | | 162,467 | |
| | EURODOLLAR FTR OPTN | | MAR16 99.25 CALL | | (172,500 | ) | | | (9,056 | ) |
| | EURODOLLAR FTR OPTN | | MAR16 99.25 PUT | | (2,407,500 | ) | | | (90,281 | ) |
| | EURODOLLAR FTR OPTN | | MAR16 99.5 CALL | | 380,000 | | | | 1,900 | |
| | FANNIE MAE | | 0.01% 09 Oct 2019 | | 11,790,000 | | | | 10,917,729 | |
| | FANNIE MAE | | 0.01% 25 Mar 2042 | | 103,150 | | | | 93,014 | |
| | FANNIE MAE | | 0.01% 25 Mar 2042 | | 51,575 | | | | 46,500 | |
| | FANNIE MAE | | 1% 25 Apr 2040 | | 3,209,424 | | | | 543,111 | |
| | FANNIE MAE | | 1% 25 Aug 2044 | | 4,077,979 | | | | 255,133 | |
| | FANNIE MAE | | 1% 25 Dec 2042 | | 629,902 | | | | 142,884 | |
| | FANNIE MAE | | 1% 25 Feb 2043 | | 2,004,132 | | | | 405,345 | |
| | FANNIE MAE | | 1% 25 Feb 2043 | | 1,770,176 | | | | 353,967 | |
| | FANNIE MAE | | 1% 25 Mar 2042 | | 1,186,222 | | | | 201,513 | |
| | FANNIE MAE | | 1% 25 Mar 2043 | | 2,123,090 | | | | 464,562 | |
| | FANNIE MAE | | 1% 25 May 2034 | | 348,244 | | | | 349,425 | |
| | FANNIE MAE | | 1% 25 Sep 2041 | | 1,508,661 | | | | 219,855 | |
| | FANNIE MAE | | 1% 25 Sep 2042 | | 3,100,524 | | | | 604,110 | |
| | FANNIE MAE | | 3% 25 Apr 2032 | | 1,400,256 | | | | 153,022 | |
| | FANNIE MAE | | 3% 25 Jul 2043 | | 1,832,232 | | | | 1,661,854 | |
| | FANNIE MAE | | 3% 25 Sep 2032 | | 4,803,571 | | | | 543,881 | |
| | FANNIE MAE | | 6% 25 May 2042 | | 1,067,184 | | | | 1,206,463 | |
| | FANNIE MAE | | 6.5% 25 Jun 2039 | | 738,160 | | | | 819,441 | |
| | FANNIE MAE | | 6.625% 15 Nov 2030 | | 5,460,000 | | | | 7,732,097 | |
| | FANNIE MAE | | 7% 25 May 2042 | | 1,569,318 | | | | 1,801,361 | |
| | FANNIEMAE ACES | | 1% 25 Jan 2025 | | 54,078,477 | | | | 721,001 | |
| | FANNIEMAE ACES | | 1% 25 Oct 2024 | | 27,217,543 | | | | 754,312 | |
| | FANNIEMAE STRIP | | 1% 25 Jan 2039 | | 30,923 | | | | 5,676 | |
| | FANNIEMAE STRIP | | 1% 25 Jan 2039 | | 16,301 | | | | 2,857 | |
| | FANNIEMAE STRIP | | 3% 25 Apr 2027 | | 1,905,008 | | | | 197,167 | |
| | FANNIEMAE STRIP | | 3% 25 Nov 2026 | | 2,725,337 | | | | 242,524 | |
| | FANNIEMAE STRIP | | 3.5% 25 Nov 2041 | | 1,265,046 | | | | 265,496 | |
| | FANNIEMAE STRIP | | 5% 25 Jan 2038 | | 25,552 | | | | 4,738 | |
| | FANNIEMAE STRIP | | 5% 25 Jan 2039 | | 44,231 | | | | 8,454 | |
| | FANNIEMAE STRIP | | 6% 25 Jan 2038 | | 309,317 | | | | 75,044 | |
| | FANNIEMAE STRIP | | 6% 25 Jul 2038 | | 646,071 | | | | 132,245 | |
| | FED HM LN PC POOL 1G2403 | | 1% 01 Jan 2038 | | 601,197 | | | | 640,177 | |
| | FED HM LN PC POOL 1G2603 | | 1% 01 Oct 2036 | | 1,336,897 | | | | 1,422,074 | |
| | FED HM LN PC POOL 1J1534 | | 1% 01 Mar 2037 | | 2,324,829 | | | | 2,492,990 | |
| | FED HM LN PC POOL 1J2919 | | 1% 01 Aug 2037 | | 1,061,560 | | | | 1,105,324 | |
| | FED HM LN PC POOL A39586 | | 5.5% 01 Nov 2035 | | 265,105 | | | | 294,286 | |
| | FED HM LN PC POOL A74793 | | 5% 01 Mar 2038 | | 3,048,749 | | | | 3,330,433 | |
| | FED HM LN PC POOL C00860 | | 7% 01 Sep 2029 | | 3,027 | | | | 3,540 | |
| | FED HM LN PC POOL G01737 | | 5% 01 Dec 2034 | | 14,925 | | | | 16,483 | |
| | FED HM LN PC POOL G06172 | | 5.5% 01 Dec 2038 | | 564,292 | | | | 627,479 | |
| | FED HM LN PC POOL G06669 | | 6.5% 01 Sep 2039 | | 238,216 | | | | 271,294 | |
| | FED HM LN PC POOL G06875 | | 5.5% 01 Dec 2038 | | 1,132,012 | | | | 1,258,261 | |
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| | FED HM LN PC POOL G07117 | | 6% 01 Oct 2036 | | 1,542,846 | | | | 1,759,788 | |
| | FED HM LN PC POOL G07335 | | 7% 01 Mar 2039 | | 182,759 | | | | 211,316 | |
| | FED HM LN PC POOL G14492 | | 4% 01 Oct 2025 | | 242,218 | | | | 255,819 | |
| | FED HM LN PC POOL Q12752 | | 3.5% 01 Nov 2042 | | 77,812 | | | | 80,326 | |
| | FED HM LN PC POOL Q18473 | | 4% 01 May 2043 | | 87,952 | | | | 94,212 | |
| | FED HM LN PC POOL Q19131 | | 4% 01 Jun 2043 | | 86,168 | | | | 92,089 | |
| | FED HM LN PC POOL Q19134 | | 4% 01 Jun 2043 | | 162,701 | | | | 172,883 | |
| | FED HM LN PC POOL Q19135 | | 4% 01 Jun 2043 | | 79,581 | | | | 84,756 | |
| | FED HM LN PC POOL Q19236 | | 4% 01 Jun 2043 | | 85,500 | | | | 90,851 | |
| | FED HM LN PC POOL Q19254 | | 4% 01 Jun 2043 | | 92,111 | | | | 98,260 | |
| | FED HM LN PC POOL Q19611 | | 4% 01 Jul 2043 | | 488,518 | | | | 523,289 | |
| | FED HM LN PC POOL Q19615 | | 4% 01 Jul 2043 | | 653,326 | | | | 696,939 | |
| | FED HM LN PC POOL U90245 | | 3.5% 01 Oct 2042 | | 254,126 | | | | 262,561 | |
| | FED HM LN PC POOL U90316 | | 4% 01 Oct 2042 | | 324,546 | | | | 345,630 | |
| | FED HM LN PC POOL U91254 | | 4% 01 Apr 2043 | | 958,374 | | | | 1,020,448 | |
| | FED HM LN PC POOL U92272 | | 4.5% 01 Dec 2043 | | 273,863 | | | | 301,435 | |
| | FED HM LN PC POOL U95137 | | 4% 01 Aug 2043 | | 544,915 | | | | 580,442 | |
| | FED HM LN PC POOL U99084 | | 4.5% 01 Feb 2044 | | 2,445,142 | | | | 2,690,642 | |
| | FED HM LN PC POOL U99091 | | 4.5% 01 Mar 2044 | | 746,233 | | | | 821,558 | |
| | FED HM LN PC POOL U99114 | | 3.5% 01 Feb 2044 | | 92,289 | | | | 95,352 | |
| | FED HM LN PC POOL U99124 | | 3.5% 01 Mar 2045 | | 3,156,912 | | | | 3,261,517 | |
| | FED REPUBLIC OF BRAZIL | | 2.625% 05 Jan 2023 | | 200,000 | | | | 152,000 | |
| | FED REPUBLIC OF BRAZIL | | 5% 27 Jan 2045 | | 560,000 | | | | 373,800 | |
| | FED REPUBLIC OF BRAZIL | | 5.625% 07 Jan 2041 | | 1,340,000 | | | | 971,500 | |
| | FEDERAL HOME LOAN BANK | | 0.875% 24 May 2017 | | 70,000 | | | | 69,901 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Apr 2020 | | 168,656 | | | | 6,102 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Jul 2021 | | 2,709,473 | | | | 202,757 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Jun 2020 | | 4,731,126 | | | | 253,537 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 2.637% 25 Jan 2023 | | 90,000 | | | | 89,832 | |
| | FHLMC TBA 15 YR 3.5 | | 3.5% 20 Jan 2031 | | 600,000 | | | | 627,131 | |
| | FHLMC TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 3,900,000 | | | | 4,014,600 | |
| | FICO STRIP PRIN | | 0.01% 02 Nov 2018 | | 1,620,000 | | | | 1,549,920 | |
| | FICO STRIP PRIN | | 0.01% 06 Apr 2018 | | 1,390,000 | | | | 1,349,444 | |
| | FICO STRIP PRIN | | 0.01% 11 May 2018 | | 1,720,000 | | | | 1,666,167 | |
| | FICO STRIP PRIN | | 0.01% 26 Sep 2019 | | 90,000 | | | | 83,444 | |
| | FICO STRIP PRN 8 | | 0.01% 03 Aug 2018 | | 700,000 | | | | 674,446 | |
| | FICO STRIP PRN11 | | 0.01% 08 Feb 2018 | | 450,000 | | | | 438,363 | |
| | FIRST DATA CORPORATION | | 5% 15 Jan 2024 | | 340,000 | | | | 338,300 | |
| | FIRST DATA CORPORATION | | 5.375% 15 Aug 2023 | | 1,000,000 | | | | 1,005,000 | |
| | FIRST DATA CORPORATION | | 6.75% 01 Nov 2020 | | 160,000 | | | | 167,800 | |
| | FIRST HORIZON ALTERNATIVE MORT | | 1% 25 Feb 2037 | | 316,529 | | | | 168,291 | |
| | FIRSTENERGY CORP | | 2.75% 15 Mar 2018 | | 480,000 | | | | 482,184 | |
| | FIRSTENERGY CORP | | 4.25% 15 Mar 2023 | | 950,000 | | | | 966,521 | |
| | FIRSTENERGY CORP | | 7.375% 15 Nov 2031 | | 2,010,000 | | | | 2,448,146 | |
| | FMG RESOURCES AUG 2006 | | 9.75% 01 Mar 2022 | | 1,040,000 | | | | 951,600 | |
| | FNMA POOL 254793 | | 5% 01 Jul 2033 | | 197,704 | | | | 218,714 | |
| | FNMA POOL 313046 | | 1% 01 Aug 2026 | | 6,452 | | | | 7,462 | |
| | FNMA POOL 555743 | | 1% 01 Sep 2033 | | 242,971 | | | | 268,798 | |
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| | FNMA POOL 631364 | | 5.5% 01 Feb 2017 | | 390 | | | | 394 | |
| | FNMA POOL 725162 | | 1% 01 Feb 2034 | | 23,409 | | | | 26,720 | |
| | FNMA POOL 745000 | | 1% 01 Oct 2035 | | 46,036 | | | | 52,088 | |
| | FNMA POOL 844809 | | 5% 01 Nov 2035 | | 219,045 | | | | 241,570 | |
| | FNMA POOL 880622 | | 5.5% 01 Apr 2036 | | 797,179 | | | | 892,743 | |
| | FNMA POOL 888160 | | 1% 01 Feb 2037 | | 916,991 | | | | 970,080 | |
| | FNMA POOL 888560 | | 1% 01 Nov 2035 | | 286,490 | | | | 326,587 | |
| | FNMA POOL 889117 | | 1% 01 Oct 2035 | | 703,590 | | | | 778,184 | |
| | FNMA POOL 890248 | | 1% 01 Aug 2037 | | 563,502 | | | | 641,963 | |
| | FNMA POOL 890604 | | 1% 01 Oct 2044 | | 2,371,906 | | | | 2,595,223 | |
| | FNMA POOL 892570 | | 6.5% 01 Jul 2036 | | 129,837 | | | | 148,384 | |
| | FNMA POOL 894044 | | 6.5% 01 Oct 2036 | | 61,107 | | | | 69,836 | |
| | FNMA POOL 898835 | | 6.5% 01 Nov 2036 | | 96,849 | | | | 110,683 | |
| | FNMA POOL 903858 | | 6.5% 01 Oct 2036 | | 6,339 | | | | 7,244 | |
| | FNMA POOL 904000 | | 6% 01 Jan 2037 | | 220,718 | | | | 249,073 | |
| | FNMA POOL 918357 | | 6% 01 May 2037 | | 564,619 | | | | 644,003 | |
| | FNMA POOL 922285 | | 6.5% 01 Dec 2036 | | 42,380 | | | | 48,434 | |
| | FNMA POOL 924874 | | 7% 01 Oct 2037 | | 4,144 | | | | 4,978 | |
| | FNMA POOL 928938 | | 7% 01 Dec 2037 | | 5,260 | | | | 6,222 | |
| | FNMA POOL 934648 | | 7% 01 Nov 2038 | | 13,235 | | | | 15,559 | |
| | FNMA POOL 939416 | | 1% 01 May 2037 | | 1,898,518 | | | | 1,988,249 | |
| | FNMA POOL 942478 | | 6% 01 Aug 2037 | | 261,560 | | | | 298,145 | |
| | FNMA POOL 944510 | | 1% 01 Jul 2037 | | 514,765 | | | | 549,259 | |
| | FNMA POOL 946585 | | 6.5% 01 Sep 2037 | | 104,415 | | | | 119,330 | |
| | FNMA POOL 948696 | | 6% 01 Aug 2037 | | 239,882 | | | | 271,718 | |
| | FNMA POOL 950189 | | 6.5% 01 Sep 2037 | | 131,807 | | | | 150,636 | |
| | FNMA POOL 974963 | | 4.5% 01 Apr 2038 | | 471,491 | | | | 509,604 | |
| | FNMA POOL 984867 | | 5% 01 Jun 2038 | | 92,691 | | | | 103,464 | |
| | FNMA POOL 985626 | | 6% 01 Apr 2033 | | 115,317 | | | | 131,534 | |
| | FNMA POOL 985867 | | 7% 01 Aug 2038 | | 2,267 | | | | 2,454 | |
| | FNMA POOL 995072 | | 1% 01 Aug 2038 | | 440,583 | | | | 492,360 | |
| | FNMA POOL AA5781 | | 5% 01 Apr 2039 | | 201,655 | | | | 221,792 | |
| | FNMA POOL AA7717 | | 4.5% 01 Jul 2039 | | 475,388 | | | | 513,432 | |
| | FNMA POOL AB0133 | | 5% 01 Jan 2039 | | 1,169,390 | | | | 1,288,129 | |
| | FNMA POOL AB6201 | | 3% 01 Sep 2042 | | 1,165,900 | | | | 1,173,301 | |
| | FNMA POOL AB9594 | | 4% 01 Jun 2043 | | 69,828 | | | | 74,611 | |
| | FNMA POOL AB9597 | | 4% 01 Jun 2043 | | 84,056 | | | | 89,309 | |
| | FNMA POOL AB9683 | | 4% 01 Jun 2043 | | 900,554 | | | | 956,829 | |
| | FNMA POOL AC4700 | | 5% 01 Oct 2039 | | 91,008 | | | | 100,096 | |
| | FNMA POOL AD0217 | | 1% 01 Aug 2037 | | 32,299 | | | | 36,848 | |
| | FNMA POOL AE0758 | | 1% 01 Feb 2039 | | 1,122,319 | | | | 1,304,865 | |
| | FNMA POOL AH0057 | | 4.5% 01 Feb 2041 | | 36,035 | | | | 39,372 | |
| | FNMA POOL AH9406 | | 4.5% 01 Apr 2041 | | 296,857 | | | | 321,130 | |
| | FNMA POOL AJ5905 | | 4.5% 01 Nov 2041 | | 67,279 | | | | 72,787 | |
| | FNMA POOL AK8441 | | 4% 01 Apr 2042 | | 226,014 | | | | 240,054 | |
| | FNMA POOL AL0069 | | 1% 01 Nov 2040 | | 557,822 | | | | 613,814 | |
| | FNMA POOL AL0215 | | 1% 01 Apr 2041 | | 4,143,559 | | | | 4,484,079 | |
| | FNMA POOL AL0814 | | 1% 01 Jun 2040 | | 833,771 | | | | 952,872 | |
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| | FNMA POOL AL1176 | | 1% 01 Oct 2039 | | 456,967 | | | | 522,243 | |
| | FNMA POOL AL2491 | | 1% 01 Sep 2039 | | 661,178 | | | | 759,466 | |
| | FNMA POOL AL3508 | | 1% 01 Apr 2043 | | 236,621 | | | | 252,829 | |
| | FNMA POOL AL3519 | | 1% 01 Nov 2041 | | 33,610 | | | | 36,355 | |
| | FNMA POOL AL4741 | | 1% 01 Jan 2044 | | 438,207 | | | | 481,853 | |
| | FNMA POOL AL5110 | | 1% 01 Mar 2044 | | 635,575 | | | | 686,438 | |
| | FNMA POOL AL5540 | | 1% 01 Jul 2044 | | 353,669 | | | | 388,002 | |
| | FNMA POOL AM8674 | | 2.81% 01 Apr 2025 | | 200,000 | | | | 197,608 | |
| | FNMA POOL AO2711 | | 4% 01 May 2042 | | 150,796 | | | | 160,187 | |
| | FNMA POOL AO4170 | | 4% 01 Jun 2042 | | 62,283 | | | | 66,163 | |
| | FNMA POOL AO6086 | | 4% 01 Jun 2042 | | 83,622 | | | | 88,831 | |
| | FNMA POOL AO6908 | | 4% 01 Jun 2042 | | 79,862 | | | | 84,836 | |
| | FNMA POOL AO7501 | | 4% 01 Jun 2042 | | 78,323 | | | | 83,190 | |
| | FNMA POOL AO9859 | | 4% 01 Jul 2042 | | 64,822 | | | | 68,859 | |
| | FNMA POOL AP0692 | | 4% 01 Jul 2042 | | 142,283 | | | | 151,145 | |
| | FNMA POOL AP2530 | | 4% 01 Aug 2042 | | 127,600 | | | | 135,547 | |
| | FNMA POOL AP2958 | | 4% 01 Aug 2042 | | 132,489 | | | | 140,741 | |
| | FNMA POOL AP4532 | | 4% 01 Sep 2042 | | 81,596 | | | | 86,678 | |
| | FNMA POOL AP4781 | | 3% 01 Sep 2042 | | 530,012 | | | | 532,298 | |
| | FNMA POOL AP4903 | | 4% 01 Sep 2042 | | 172,248 | | | | 182,976 | |
| | FNMA POOL AP7399 | | 4% 01 Sep 2042 | | 381,685 | | | | 405,457 | |
| | FNMA POOL AP9229 | | 4% 01 Oct 2042 | | 143,656 | | | | 152,605 | |
| | FNMA POOL AP9766 | | 4% 01 Oct 2042 | | 1,467,565 | | | | 1,562,540 | |
| | FNMA POOL AP9862 | | 4% 01 Oct 2042 | | 74,379 | | | | 79,012 | |
| | FNMA POOL AQ0100 | | 4% 01 Oct 2042 | | 76,366 | | | | 81,017 | |
| | FNMA POOL AQ1641 | | 4% 01 Oct 2042 | | 87,880 | | | | 93,353 | |
| | FNMA POOL AQ3599 | | 4% 01 Nov 2042 | | 153,958 | | | | 163,547 | |
| | FNMA POOL AQ4078 | | 4% 01 Jun 2043 | | 327,899 | | | | 349,794 | |
| | FNMA POOL AQ4080 | | 4% 01 Jun 2043 | | 400,520 | | | | 426,283 | |
| | FNMA POOL AQ4555 | | 4% 01 Dec 2042 | | 810,770 | | | | 859,983 | |
| | FNMA POOL AQ4573 | | 4% 01 Dec 2042 | | 140,662 | | | | 152,201 | |
| | FNMA POOL AQ5137 | | 4% 01 Nov 2042 | | 63,805 | | | | 67,779 | |
| | FNMA POOL AQ6744 | | 4% 01 Nov 2042 | | 52,060 | | | | 55,303 | |
| | FNMA POOL AQ7003 | | 4% 01 Dec 2042 | | 332,730 | | | | 353,454 | |
| | FNMA POOL AQ7048 | | 4% 01 Dec 2042 | | 59,872 | | | | 64,820 | |
| | FNMA POOL AQ7082 | | 4% 01 Jan 2043 | | 418,789 | | | | 445,133 | |
| | FNMA POOL AQ7661 | | 4% 01 Dec 2042 | | 201,776 | | | | 214,344 | |
| | FNMA POOL AS0070 | | 4% 01 Aug 2043 | | 447,458 | | | | 476,314 | |
| | FNMA POOL AS4271 | | 4.5% 01 Jan 2045 | | 183,371 | | | | 202,247 | |
| | FNMA POOL AS5892 | | 3.5% 01 Oct 2045 | | 988,211 | | | | 1,020,313 | |
| | FNMA POOL AS6007 | | 3.5% 01 Oct 2045 | | 0 | | | | 0 | |
| | FNMA POOL AS6311 | | 3.5% 01 Dec 2045 | | 798,291 | | | | 824,232 | |
| | FNMA POOL AS6340 | | 3.5% 01 Dec 2045 | | 100,000 | | | | 103,373 | |
| | FNMA POOL AT3870 | | 4% 01 Jun 2043 | | 79,750 | | | | 85,076 | |
| | FNMA POOL AT3874 | | 4% 01 Jun 2043 | | 158,829 | | | | 169,047 | |
| | FNMA POOL AT4281 | | 4% 01 Jun 2043 | | 87,960 | | | | 93,835 | |
| | FNMA POOL AT6546 | | 4% 01 Jun 2043 | | 85,793 | | | | 91,838 | |
| | FNMA POOL AT6549 | | 4% 01 Jun 2043 | | 157,822 | | | | 168,362 | |
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| | FNMA POOL AT7208 | | 4% 01 Jun 2043 | | 88,416 | | | | 94,321 | |
| | FNMA POOL AT7698 | | 4% 01 Jun 2043 | | 269,112 | | | | 286,754 | |
| | FNMA POOL AT8394 | | 4% 01 Jun 2043 | | 664,299 | | | | 709,806 | |
| | FNMA POOL AT9627 | | 4% 01 Jul 2043 | | 86,666 | | | | 92,347 | |
| | FNMA POOL AT9637 | | 4% 01 Jul 2043 | | 1,337,874 | | | | 1,423,942 | |
| | FNMA POOL AT9653 | | 4% 01 Jul 2043 | | 924,479 | | | | 987,810 | |
| | FNMA POOL AT9657 | | 4% 01 Jul 2043 | | 728,789 | | | | 774,331 | |
| | FNMA POOL AT9839 | | 4% 01 Jun 2043 | | 92,928 | | | | 99,134 | |
| | FNMA POOL AU6939 | | 4.5% 01 Oct 2043 | | 153,746 | | | | 166,049 | |
| | FNMA POOL AV4892 | | 4.5% 01 Dec 2043 | | 45,070 | | | | 48,696 | |
| | FNMA POOL AV6366 | | 4.5% 01 Jan 2044 | | 407,816 | | | | 440,453 | |
| | FNMA POOL AV7116 | | 4.5% 01 Mar 2044 | | 91,371 | | | | 100,534 | |
| | FNMA POOL BA0147 | | 3.5% 01 Oct 2045 | | 299,059 | | | | 308,778 | |
| | FNMA POOL MA0706 | | 4.5% 01 Apr 2031 | | 428,973 | | | | 466,986 | |
| | FNMA POOL MA0734 | | 4.5% 01 May 2031 | | 1,427,078 | | | | 1,553,819 | |
| | FNMA POOL MA0776 | | 4.5% 01 Jun 2031 | | 480,346 | | | | 523,039 | |
| | FNMA POOL MA0913 | | 4.5% 01 Nov 2031 | | 576,616 | | | | 627,847 | |
| | FNMA POOL MA0939 | | 4.5% 01 Dec 2031 | | 677,231 | | | | 737,462 | |
| | FNMA POOL MA0968 | | 4.5% 01 Dec 2031 | | 97,980 | | | | 106,875 | |
| | FNMA POOL MA1177 | | 3.5% 01 Sep 2042 | | 162,726 | | | | 168,153 | |
| | FNMA POOL MA1213 | | 3.5% 01 Oct 2042 | | 82,367 | | | | 85,114 | |
| | FNMA POOL MA1221 | | 4.5% 01 Sep 2042 | | 75,771 | | | | 83,337 | |
| | FNMA POOL MA1253 | | 4% 01 Nov 2042 | | 82,509 | | | | 87,852 | |
| | FNMA POOL MA1372 | | 3.5% 01 Mar 2043 | | 1,671,529 | | | | 1,728,173 | |
| | FNMA POOL MA1403 | | 3.5% 01 Apr 2043 | | 3,838,365 | | | | 3,968,477 | |
| | FNMA POOL MA1436 | | 3.5% 01 May 2043 | | 335,108 | | | | 346,476 | |
| | FNMA POOL MA1547 | | 4% 01 Aug 2043 | | 445,561 | | | | 474,499 | |
| | FNMA POOL MA1591 | | 4.5% 01 Sep 2043 | | 881,973 | | | | 970,321 | |
| | FNMA POOL MA1629 | | 4.5% 01 Oct 2043 | | 806,770 | | | | 887,626 | |
| | FNMA POOL MA1664 | | 4.5% 01 Nov 2043 | | 531,336 | | | | 584,672 | |
| | FNMA POOL MA1711 | | 4.5% 01 Dec 2043 | | 704,642 | | | | 775,379 | |
| | FNMA TBA 15 YR 3 | | 3% 20 Jan 2031 | | 3,600,000 | | | | 3,708,515 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | (200,000 | ) | | | (206,345 | ) |
| | FNMA TBA 30 YR 4 | | 4% 14 Jan 2046 | | 7,800,000 | | | | 8,253,741 | |
| | FNMA TBA 30 YR 4.5 | | 4.5% 11 Feb 2046 | | (3,700,000 | ) | | | (3,989,467 | ) |
| | FNMA TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | (3,700,000 | ) | | | (3,995,538 | ) |
| | FNMA TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | 3,700,000 | | | | 3,995,538 | |
| | FORD MOTOR COMPANY | | 4.75% 15 Jan 2043 | | 1,480,000 | | | | 1,395,094 | |
| | FORD MOTOR CREDIT CO LLC | | 2.459% 27 Mar 2020 | | 380,000 | | | | 368,406 | |
| | FORD MOTOR CREDIT CO LLC | | 3.2% 15 Jan 2021 | | 900,000 | | | | 893,913 | |
| | FORD MOTOR CREDIT CO LLC | | 5.875% 02 Aug 2021 | | 200,000 | | | | 223,027 | |
| | FREDDIE MAC | | 1% 15 Jan 2040 | | 737,547 | | | | 133,444 | |
| | FREDDIE MAC | | 3% 15 Jul 2043 | | 752,567 | | | | 679,194 | |
| | FREDDIE MAC | | 3% 15 May 2043 | | 1,163,884 | | | | 1,064,437 | |
| | FREDDIE MAC | | 3% 15 May 2043 | | 540,239 | | | | 511,002 | |
| | FREDDIE MAC REFERENCE REMIC | | 6% 15 May 2036 | | 1,429,798 | | | | 1,603,750 | |
| | FREEPORT MCMORAN INC | | 4% 14 Nov 2021 | | 720,000 | | | | 432,000 | |
| | FREEPORT MCMORAN OIL+GAS | | 6.5% 15 Nov 2020 | | 182,000 | | | | 117,390 | |
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| | FREEPORT MCMORAN OIL+GAS | | 6.875% 15 Feb 2023 | | 255,000 | | | | 160,650 | |
| | FREMF MORTGAGE TRUST | | 0.2% 25 May 2045 | | 25,392,882 | | | | 255,224 | |
| | FRESB MULTIFAMILY MORTGAGE PAS | | 1% 25 Nov 2035 | | 680,000 | | | | 670,499 | |
| | FRESENIUS MED CARE II | | 4.125% 15 Oct 2020 | | 170,000 | | | | 171,700 | |
| | FRESENIUS MED CARE US | | 5.75% 15 Feb 2021 | | 330,000 | | | | 353,100 | |
| | FRESENIUS MED CARE US | | 6.875% 15 Jul 2017 | | 340,000 | | | | 362,950 | |
| | GE CAPITAL INTL FUNDING | | 2.342% 15 Nov 2020 | | 2,820,000 | | | | 2,796,481 | |
| | GE CAPITAL INTL FUNDING | | 4.418% 15 Nov 2035 | | 1,304,000 | | | | 1,330,709 | |
| | GENERAL ELECTRIC CO | | 1% 15 Nov 2067 | | 1,500,000 | | | | 1,566,450 | |
| | GENERAL ELECTRIC CO | | 3.15% 07 Sep 2022 | | 20,000 | | | | 20,470 | |
| | GENERAL ELECTRIC CO | | 4.375% 16 Sep 2020 | | 373,000 | | | | 404,920 | |
| | GENERAL ELECTRIC CO | | 4.5% 11 Mar 2044 | | 380,000 | | | | 391,070 | |
| | GENERAL ELECTRIC CO | | 4.625% 07 Jan 2021 | | 393,000 | | | | 431,662 | |
| | GENERAL ELECTRIC CO | | 5.3% 11 Feb 2021 | | 232,000 | | | | 261,608 | |
| | GENERAL ELECTRIC CO | | 6% 07 Aug 2019 | | 10,000 | | | | 11,328 | |
| | GENERAL ELECTRIC CO | | 6.875% 10 Jan 2039 | | 367,000 | | | | 500,247 | |
| | GENERAL MOTORS CO | | 6.25% 02 Oct 2043 | | 130,000 | | | | 137,350 | |
| | GENERAL MOTORS FINL CO | | 2.75% 15 May 2016 | | 210,000 | | | | 210,614 | |
| | GENERAL MOTORS FINL CO | | 3.25% 15 May 2018 | | 230,000 | | | | 231,151 | |
| | GENERAL MOTORS FINL CO | | 3.45% 10 Apr 2022 | | 100,000 | | | | 95,926 | |
| | GENERAL MOTORS FINL CO | | 4.25% 15 May 2023 | | 170,000 | | | | 168,154 | |
| | GENERAL MOTORS FINL CO | | 4.375% 25 Sep 2021 | | 190,000 | | | | 192,670 | |
| | GILEAD SCIENCES INC | | 3.65% 01 Mar 2026 | | 410,000 | | | | 413,476 | |
| | GILEAD SCIENCES INC | | 3.7% 01 Apr 2024 | | 960,000 | | | | 983,346 | |
| | GILEAD SCIENCES INC | | 4.5% 01 Feb 2045 | | 30,000 | | | | 29,345 | |
| | GILEAD SCIENCES INC | | 4.75% 01 Mar 2046 | | 410,000 | | | | 414,931 | |
| | GLAXOSMITHKLINE CAPITAL | | 2.85% 08 May 2022 | | 1,040,000 | | | | 1,048,079 | |
| | GLENCORE FINANCE CANADA | | 1% 25 Oct 2017 | | 1,350,000 | | | | 1,235,250 | |
| | GLENCORE FUNDING LLC | | 2.875% 16 Apr 2020 | | 1,560,000 | | | | 1,216,800 | |
| | GLITNIR BANKI HF | | 1% 15 Jun 2016 | | 2,100,000 | | | | 0 | |
| | GLITNIR BANKI HF | | 1% 29 Mar 2049 | | 200,000 | | | | 0 | |
| | GMAC MORTGAGE CORPORATION LOAN | | 1% 25 May 2035 | | 214,422 | | | | 204,689 | |
| | GNMA II POOL 003474 | | 6% 20 Nov 2033 | | 34,858 | | | | 39,634 | |
| | GNMA II POOL 004006 | | 6% 20 Jul 2037 | | 232,353 | | | | 259,972 | |
| | GNMA II POOL 004040 | | 6.5% 20 Oct 2037 | | 564,799 | | | | 650,941 | |
| | GNMA II POOL 004245 | | 6% 20 Sep 2038 | | 1,316,866 | | | | 1,473,425 | |
| | GNMA II POOL 004617 | | 4.5% 20 Jan 2040 | | 647,975 | | | | 705,838 | |
| | GNMA II POOL 004717 | | 6% 20 Jun 2040 | | 225,652 | | | | 254,979 | |
| | GNMA II POOL 004747 | | 5% 20 Jul 2040 | | 85,475 | | | | 94,441 | |
| | GNMA II POOL 004801 | | 4.5% 20 Sep 2040 | | 33,728 | | | | 36,740 | |
| | GNMA II POOL 004802 | | 5% 20 Sep 2040 | | 292,636 | | | | 323,333 | |
| | GNMA II POOL 004837 | | 6% 20 Oct 2040 | | 114,670 | | | | 130,379 | |
| | GNMA II POOL 004855 | | 5% 20 Nov 2040 | | 453,213 | | | | 500,753 | |
| | GNMA II POOL 004923 | | 4.5% 20 Jan 2041 | | 147,741 | | | | 160,936 | |
| | GNMA II POOL 004978 | | 4.5% 20 Mar 2041 | | 6,070,955 | | | | 6,613,151 | |
| | GNMA II POOL 004991 | | 6% 20 Mar 2041 | | 1,135,405 | | | | 1,283,374 | |
| | GNMA II POOL 005085 | | 6% 20 Jun 2041 | | 1,121,472 | | | | 1,267,468 | |
| | GNMA II POOL 005189 | | 6% 20 Sep 2041 | | 518,546 | | | | 580,165 | |
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| | GNMA II POOL 005240 | | 6% 20 Nov 2041 | | 12,426 | | | | 13,903 | |
| | GNMA II POOL 783050 | | 5% 20 Jul 2040 | | 1,798,582 | | | | 1,987,250 | |
| | GNMA II TBA 30 YR 4 | | 4% 21 Jan 2046 | | 4,500,000 | | | | 4,778,789 | |
| | GNMA POOL 486470 | | 6.5% 15 Aug 2028 | | 2,498 | | | | 2,858 | |
| | GNMA POOL 486516 | | 6.5% 15 Sep 2028 | | 6,076 | | | | 6,951 | |
| | GNMA POOL 617327 | | 6% 15 Dec 2036 | | 396,875 | | | | 455,242 | |
| | GNMA POOL 617567 | | 6% 15 Jun 2037 | | 7,718 | | | | 8,722 | |
| | GNMA POOL 661534 | | 6% 15 Dec 2036 | | 75,486 | | | | 86,959 | |
| | GNMA POOL 662583 | | 6% 15 Sep 2037 | | 333,961 | | | | 377,523 | |
| | GNMA POOL 780851 | | 7.5% 15 Dec 2027 | | 8,484 | | | | 9,832 | |
| | GNMA POOL 781001 | | 7.5% 15 Mar 2029 | | 12,315 | | | | 14,847 | |
| | GOLDMAN SACHS CAP IV | | 1% 29 Dec 2049 | | 100,000 | | | | 70,500 | |
| | GOLDMAN SACHS GROUP INC | | 2.375% 22 Jan 2018 | | 100,000 | | | | 100,864 | |
| | GOLDMAN SACHS GROUP INC | | 2.9% 19 Jul 2018 | | 100,000 | | | | 101,955 | |
| | GOLDMAN SACHS GROUP INC | | 3.85% 08 Jul 2024 | | 490,000 | | | | 500,025 | |
| | GOLDMAN SACHS GROUP INC | | 4% 03 Mar 2024 | | 30,000 | | | | 30,791 | |
| | GOLDMAN SACHS GROUP INC | | 4.25% 21 Oct 2025 | | 450,000 | | | | 446,561 | |
| | GOLDMAN SACHS GROUP INC | | 4.75% 21 Oct 2045 | | 460,000 | | | | 456,953 | |
| | GOLDMAN SACHS GROUP INC | | 5.15% 22 May 2045 | | 570,000 | | | | 553,690 | |
| | GOLDMAN SACHS GROUP INC | | 5.25% 27 Jul 2021 | | 2,310,000 | | | | 2,553,982 | |
| | GOLDMAN SACHS GROUP INC | | 5.375% 15 Mar 2020 | | 490,000 | | | | 538,286 | |
| | GOLDMAN SACHS GROUP INC | | 5.75% 24 Jan 2022 | | 100,000 | | | | 113,722 | |
| | GOLDMAN SACHS GROUP INC | | 6% 15 Jun 2020 | | 1,970,000 | | | | 2,226,317 | |
| | GOLDMAN SACHS GROUP INC | | 6.15% 01 Apr 2018 | | 30,000 | | | | 32,577 | |
| | GOLDMAN SACHS GROUP INC | | 6.25% 01 Feb 2041 | | 2,310,000 | | | | 2,755,373 | |
| | GOLDMAN SACHS GROUP INC | | 6.75% 01 Oct 2037 | | 570,000 | | | | 666,294 | |
| | GOODYEAR TIRE + RUBBER | | 5.125% 15 Nov 2023 | | 440,000 | | | | 451,000 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Apr 2034 | | 6,159 | | | | 24 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Aug 2042 | | 868,046 | | | | 140,511 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Jun 2043 | | 347,495 | | | | 49,324 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Jun 2055 | | 3,021,224 | | | | 169,678 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Mar 2047 | | 12,541,372 | | | | 741,477 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Apr 2040 | | 132,107 | | | | 21,760 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Apr 2061 | | 11,024,403 | | | | 11,057,714 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Aug 2031 | | 32,333 | | | | 32,509 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Aug 2044 | | 1,415,129 | | | | 216,477 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Dec 2060 | | 2,835,847 | | | | 2,798,256 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Jan 2040 | | 252,259 | | | | 34,780 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Jan 2061 | | 5,094,247 | | | | 5,075,234 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Mar 2039 | | 302,198 | | | | 29,720 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Mar 2061 | | 1,225,378 | | | | 1,220,792 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 2.5% 16 May 2055 | | 1,218,783 | | | | 1,214,211 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 4.5% 20 Oct 2039 | | 2,200,000 | | | | 2,346,340 | |
| | GS MORTGAGE SECURITIES TRUST | | 3.964% 10 Nov 2047 | | 910,000 | | | | 933,978 | |
| | GSRPM MORTGAGE LOAN TRUST | | 1% 25 Oct 2046 | | 2,772,277 | | | | 2,274,979 | |
| | HALLIBURTON CO | | 2.7% 15 Nov 2020 | | 210,000 | | | | 207,574 | |
| | HALLIBURTON CO | | 3.8% 15 Nov 2025 | | 630,000 | | | | 613,445 | |
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| | HARBORVIEW MORTGAGE LOAN TRUST | | 1% 25 Feb 2036 | | 179,179 | | | | 149,261 | |
| | HCA INC | | 7.5% 06 Nov 2033 | | 190,000 | | | | 202,350 | |
| | HCA INC | | 7.5% 15 Nov 2095 | | 1,630,000 | | | | 1,548,500 | |
| | HCA INC | | 7.69% 15 Jun 2025 | | 170,000 | | | | 183,175 | |
| | HEINEKEN NV | | 1.4% 01 Oct 2017 | | 270,000 | | | | 268,939 | |
| | HELOC SUMMIT PELS TRUST | | 1% 12 Aug 2047 | | 2,410,219 | | | | 2,197,045 | |
| | HESS CORP | | 8.125% 15 Feb 2019 | | 410,000 | | | | 464,684 | |
| | HEXION INC | | 6.625% 15 Apr 2020 | | 590,000 | | | | 458,725 | |
| | HILTON WORLDWIDE FIN LLC | | 5.625% 15 Oct 2021 | | 410,000 | | | | 424,863 | |
| | HSBC FINANCE CORP | | 6.676% 15 Jan 2021 | | 1,790,000 | | | | 2,054,340 | |
| | HSBC HOLDINGS PLC | | 1% 29 Dec 2049 | | 950,000 | | | | 938,125 | |
| | HSBC HOLDINGS PLC | | 4.25% 14 Mar 2024 | | 860,000 | | | | 863,118 | |
| | HSBC HOLDINGS PLC | | 4.25% 18 Aug 2025 | | 840,000 | | | | 833,622 | |
| | HUMANA INC | | 3.15% 01 Dec 2022 | | 250,000 | | | | 243,021 | |
| | HUMANA INC | | 4.625% 01 Dec 2042 | | 390,000 | | | | 366,501 | |
| | HYUNDAI CAPITAL AMERICA | | 2.125% 02 Oct 2017 | | 360,000 | | | | 357,867 | |
| | ILFC E CAPITAL TRUST II | | 1% 21 Dec 2065 | | 720,000 | | | | 662,400 | |
| | IMM EUR FUT OPT MAR16P 99.375 | | EXP 03/14/2016 | | 1,065,000 | | | | 130,463 | |
| | IMPAC CMB TRUST | | 1% 25 Mar 2033 | | 134,211 | | | | 130,877 | |
| | IMPAC SECURED ASSETS CORP. | | 1% 25 Aug 2036 | | 184,903 | | | | 180,689 | |
| | ING BANK NV | | 5.8% 25 Sep 2023 | | 1,450,000 | | | | 1,575,382 | |
| | INTEL CORP | | 3.7% 29 Jul 2025 | | 120,000 | | | | 124,123 | |
| | INTEL CORP | | 4.9% 29 Jul 2045 | | 260,000 | | | | 274,810 | |
| | INTESA SANPAOLO SPA | | 3.125% 15 Jan 2016 | | 590,000 | | | | 590,294 | |
| | INTESA SANPAOLO SPA | | 5.017% 26 Jun 2024 | | 2,110,000 | | | | 2,075,921 | |
| | INTL LEASE FINANCE CORP | | 6.75% 01 Sep 2016 | | 2,740,000 | | | | 2,815,350 | |
| | JOHN DEERE CAPITAL CORP | | 1.7% 15 Jan 2020 | | 270,000 | | | | 263,066 | |
| | JOHN DEERE CAPITAL CORP | | 2.25% 17 Apr 2019 | | 450,000 | | | | 451,950 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 4.171% 15 Aug 2046 | | 50,000 | | | | 53,245 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 3.801% 15 Aug 2048 | | 680,000 | | | | 695,393 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 4.065% 15 Nov 2047 | | 1,620,000 | | | | 1,665,908 | |
* | | JPMORGAN CHASE + CO | | 3.375% 01 May 2023 | | 680,000 | | | | 668,316 | |
* | | JPMORGAN CHASE + CO | | 3.875% 10 Sep 2024 | | 1,320,000 | | | | 1,313,062 | |
* | | JPMORGAN CHASE + CO | | 4.25% 01 Oct 2027 | | 520,000 | | | | 518,757 | |
* | | JPMORGAN CHASE + CO | | 4.25% 15 Oct 2020 | | 80,000 | | | | 84,868 | |
* | | JPMORGAN CHASE + CO | | 4.35% 15 Aug 2021 | | 810,000 | | | | 862,029 | |
* | | JPMORGAN CHASE + CO | | 4.4% 22 Jul 2020 | | 750,000 | | | | 800,535 | |
* | | JPMORGAN CHASE + CO | | 4.95% 01 Jun 2045 | | 810,000 | | | | 809,844 | |
| | KAUPTHING BANK HF | | 7.125% 19 May 2016 | | 700,000 | | | | 0 | |
| | KERR MCGEE CORP | | 6.95% 01 Jul 2024 | | 10,000 | | | | 10,743 | |
| | KERR MCGEE CORP | | 7.875% 15 Sep 2031 | | 1,080,000 | | | | 1,165,182 | |
| | KINDER MORGAN INC/DELAWA | | 6.7% 15 Feb 2027 | | 650,000 | | | | 588,284 | |
| | KINDER MORGAN INC/DELAWA | | 7.8% 01 Aug 2031 | | 1,190,000 | | | | 1,116,546 | |
| | KKR GROUP FIN CO II | | 5.5% 01 Feb 2043 | | 70,000 | | | | 72,979 | |
| | KRAFT HEINZ FOODS CO | | 3.5% 06 Jun 2022 | | 320,000 | | | | 323,503 | |
| | KRAFT HEINZ FOODS CO | | 3.95% 15 Jul 2025 | | 390,000 | | | | 393,631 | |
| | KRAFT HEINZ FOODS CO | | 4.875% 15 Feb 2025 | | 898,000 | | | | 954,552 | |
| | KRAFT HEINZ FOODS CO | | 5% 15 Jul 2035 | | 250,000 | | | | 256,130 | |
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| | KRAFT HEINZ FOODS CO | | 5.2% 15 Jul 2045 | | 210,000 | | | | 219,431 | |
| | KRAFT HEINZ FOODS CO | | 5.375% 10 Feb 2020 | | 935,000 | | | | 1,023,770 | |
| | KROGER CO/THE | | 6.9% 15 Apr 2038 | | 390,000 | | | | 481,866 | |
| | L BRANDS INC | | 5.625% 15 Oct 2023 | | 130,000 | | | | 137,800 | |
| | LA HIPOTECARIA SA | | 1% 23 Dec 2036 | | 2,571,130 | | | | 2,521,442 | |
| | LB UBS COMMERCIAL MORTGAGE TRU | | 1% 15 Feb 2031 | | 224,159 | | | | 224,232 | |
| | LB UBS COMMERCIAL MORTGAGE TRU | | 1% 15 Jun 2036 | | 920,225 | | | | 2,469 | |
| | LEHMAN BROS CAP TR VII | | 1% 29 Nov 2049 | | 1,400,000 | | | | 140 | |
| | LEHMAN BROTHERS HOLDINGS | | 6.75% 28 Dec 2017 | | 3,500,000 | | | | 350 | |
| | LEHMAN XS TRUST | | 1% 25 Nov 2035 | | 973,432 | | | | 876,966 | |
| | LLOYDS BANKING GROUP PLC | | 4.5% 04 Nov 2024 | | 760,000 | | | | 771,497 | |
| | LOCKHEED MARTIN CORP | | 3.1% 15 Jan 2023 | | 160,000 | | | | 159,894 | |
| | LOCKHEED MARTIN CORP | | 3.55% 15 Jan 2026 | | 440,000 | | | | 441,548 | |
| | LONG BEACH MORTGAGE LOAN TRUST | | 1% 25 Aug 2033 | | 2,298,686 | | | | 2,133,901 | |
| | LYONDELLBASELL IND NV | | 5% 15 Apr 2019 | | 365,000 | | | | 388,287 | |
| | M+T BANK CORPORATION | | 6.875% 29 Dec 2049 | | 2,450,000 | | | | 2,450,000 | |
| | MAJAPAHIT HOLDING BV | | 7.75% 20 Jan 2020 | | 470,000 | | | | 525,813 | |
| | MALLINCKRODT FIN/SB | | 5.625% 15 Oct 2023 | | 30,000 | | | | 28,500 | |
| | MASTR ADJUSTABLE RATE MORTGAGE | | 1% 25 Apr 2034 | | 73,698 | | | | 69,313 | |
| | MCDONALD S CORP | | 3.7% 30 Jan 2026 | | 490,000 | | | | 489,597 | |
| | MEDTRONIC INC | | 3.125% 15 Mar 2022 | | 160,000 | | | | 161,619 | |
| | MEDTRONIC INC | | 3.5% 15 Mar 2025 | | 1,130,000 | | | | 1,139,232 | |
| | MEDTRONIC INC | | 4.45% 15 Mar 2020 | | 660,000 | | | | 710,687 | |
| | MEG ENERGY CORP | | 6.5% 15 Mar 2021 | | 60,000 | | | | 42,000 | |
| | MERCK + CO INC | | 2.75% 10 Feb 2025 | | 460,000 | | | | 447,814 | |
* | | METLIFE CAPITAL TRUST IV | | 7.875% 15 Dec 2067 | | 300,000 | | | | 366,000 | |
* | | METLIFE INC | | 4.75% 08 Feb 2021 | | 750,000 | | | | 820,898 | |
| | MEX BONOS DESARR FIX RT | | 6.5% 09 Jun 2022 | | 96,653,200 | | | | 5,758,396 | |
| | MEX BONOS DESARR FIX RT | | 7.75% 13 Nov 2042 | | 93,987,900 | | | | 5,946,415 | |
| | MEXICAN PESO (NEW) | | FOREIGN CURRENCY | | 6,858,630 | | | | 397,115 | |
| | MICRON TECHNOLOGY INC | | 5.5% 01 Feb 2025 | | 90,000 | | | | 78,300 | |
| | MICRON TECHNOLOGY INC | | 5.625% 15 Jan 2026 | | 140,000 | | | | 121,100 | |
| | MLCC MORTGAGE INVESTORS INC | | 1% 25 Jan 2029 | | 3,697,613 | | | | 56,161 | |
| | MLCC MORTGAGE INVESTORS INC | | 1% 25 Jan 2029 | | 69,108 | | | | 68,289 | |
| | MOLSON COORS BREWING CO | | 3.5% 01 May 2022 | | 160,000 | | | | 160,880 | |
| | MONDELEZ INTERNATIONAL | | 4% 01 Feb 2024 | | 940,000 | | | | 968,947 | |
| | MORGAN STANLEY | | 1% 18 Oct 2016 | | 560,000 | | | | 558,849 | |
| | MORGAN STANLEY | | 4.75% 22 Mar 2017 | | 250,000 | | | | 258,955 | |
| | MORGAN STANLEY | | 6.625% 01 Apr 2018 | | 2,010,000 | | | | 2,204,025 | |
| | MORGAN STANLEY BAML TRUST | | 2.918% 15 Feb 2046 | | 260,000 | | | | 257,157 | |
| | MORGAN STANLEY BAML TRUST | | 3.214% 15 Feb 2046 | | 155,000 | | | | 153,752 | |
| | MORGAN STANLEY CAPITAL INC | | 1% 25 Jan 2034 | | 2,431,086 | | | | 2,346,646 | |
| | MORGAN STANLEY MORTGAGE LOAN T | | 1% 25 Jul 2035 | | 1,845,207 | | | | 1,576,152 | |
| | MPLX LP | | 4.875% 01 Dec 2024 | | 660,000 | | | | 592,350 | |
| | MPLX LP | | 4.875% 01 Jun 2025 | | 460,000 | | | | 411,700 | |
| | MSCG TRUST | | 1% 07 Jun 2035 | | 1,500,000 | | | | 1,497,536 | |
| | NATIONAL SEMICONDUCTOR | | 6.6% 15 Jun 2017 | | 170,000 | | | | 182,686 | |
| | NATIONWIDE BLDG SOCIETY | | 3.9% 21 Jul 2025 | | 430,000 | | | | 443,542 | |
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| | NBCUNIVERSAL MEDIA LLC | | 4.375% 01 Apr 2021 | | 360,000 | | | | 391,043 | |
| | NCL CORP LTD | | 4.625% 15 Nov 2020 | | 360,000 | | | | 352,519 | |
| | NOBLE ENERGY INC | | 8.25% 01 Mar 2019 | | 1,050,000 | | | | 1,174,315 | |
| | NORDEA BANK AB | | 4.875% 13 May 2021 | | 1,890,000 | | | | 2,039,635 | |
| | NOTA DO TESOURO NACIONAL | | 10% 01 Jan 2017 | | 17,121,000 | | | | 4,119,513 | |
| | NUMERICABLE SFR SA | | 6% 15 May 2022 | | 750,000 | | | | 727,500 | |
| | OCCIDENTAL PETROLEUM COR | | 3.125% 15 Feb 2022 | | 450,000 | | | | 439,998 | |
| | OCCIDENTAL PETROLEUM COR | | 4.625% 15 Jun 2045 | | 40,000 | | | | 38,799 | |
| | OFFICE CHERIFIEN DES PHO | | 4.5% 22 Oct 2025 | | 2,100,000 | | | | 1,953,269 | |
| | ORIGEN MANUFACTURED HOUSING | | 6.48% 15 Jan 2037 | | 0 | | | | 0 | |
| | PACIFIC GAS + ELECTRIC | | 6.05% 01 Mar 2034 | | 1,400,000 | | | | 1,649,536 | |
| | PACIFIC GAS + ELECTRIC | | 8.25% 15 Oct 2018 | | 810,000 | | | | 941,435 | |
| | PEPSICO INC | | 4% 05 Mar 2042 | | 90,000 | | | | 86,877 | |
| | PEPSICO INC | | 7.9% 01 Nov 2018 | | 261,000 | | | | 305,829 | |
| | PERNOD RICARD SA | | 4.45% 15 Jan 2022 | | 1,990,000 | | | | 2,062,999 | |
| | PERNOD RICARD SA | | 5.5% 15 Jan 2042 | | 250,000 | | | | 251,850 | |
| | PERRIGO CO PLC | | 4% 15 Nov 2023 | | 420,000 | | | | 409,455 | |
| | PETROBRAS GLOBAL FINANCE | | 5.375% 27 Jan 2021 | | 3,700,000 | | | | 2,756,500 | |
| | PETROBRAS GLOBAL FINANCE | | 5.75% 20 Jan 2020 | | 636,000 | | | | 499,260 | |
| | PETROBRAS GLOBAL FINANCE | | 6.25% 17 Mar 2024 | | 740,000 | | | | 530,950 | |
| | PETROBRAS GLOBAL FINANCE | | 6.85% 05 Jun 2049 | | 700,000 | | | | 453,250 | |
| | PETROLEOS MEXICANOS | | 5.5% 27 Jun 2044 | | 800,000 | | | | 601,872 | |
| | PETROLEOS MEXICANOS | | 6.375% 23 Jan 2045 | | 720,000 | | | | 609,394 | |
| | PETROLEOS MEXICANOS | | 6.625% 15 Jun 2035 | | 971,000 | | | | 867,831 | |
| | PFIZER INC | | 7.2% 15 Mar 2039 | | 320,000 | | | | 440,691 | |
| | PHILIP MORRIS INTL INC | | 2.5% 22 Aug 2022 | | 600,000 | | | | 587,884 | |
| | PHILIP MORRIS INTL INC | | 2.9% 15 Nov 2021 | | 850,000 | | | | 860,160 | |
| | POLISH ZLOTY | | FOREIGN CURRENCY | | 10,263 | | | | 2,599 | |
| | POTASH CORP SASKATCHEWAN | | 4.875% 30 Mar 2020 | | 90,000 | | | | 97,568 | |
| | POUND STERLING | | FOREIGN CURRENCY | | 482 | | | | 710 | |
| | PPG INDUSTRIES INC | | 6.65% 15 Mar 2018 | | 38,000 | | | | 41,623 | |
| | PRIDE INTERNATIONAL INC | | 6.875% 15 Aug 2020 | | 90,000 | | | | 83,565 | |
| | PRIME MORTGAGE TRUST | | 7.5% 25 Jul 2034 | | 0 | | | | 0 | |
| | PROVIDENT FUNDING MORTGAGE LOA | | 1% 25 May 2035 | | 674,506 | | | | 675,404 | |
| | PROVINCE OF QUEBEC | | 1% 22 Jul 2036 | | 280,000 | | | | 415,363 | |
| | QEP RESOURCES INC | | 5.25% 01 May 2023 | | 480,000 | | | | 340,800 | |
| | QEP RESOURCES INC | | 6.875% 01 Mar 2021 | | 470,000 | | | | 385,400 | |
| | QUICKEN LOANS INC | | 5.75% 01 May 2025 | | 240,000 | | | | 228,600 | |
| | QVC INC | | 5.95% 15 Mar 2043 | | 40,000 | | | | 33,932 | |
| | RANGE RESOURCES CORP | | 4.875% 15 May 2025 | | 230,000 | | | | 174,800 | |
| | RANGE RESOURCES CORP | | 5% 15 Mar 2023 | | 880,000 | | | | 655,600 | |
| | RAYTHEON COMPANY | | 3.125% 15 Oct 2020 | | 480,000 | | | | 497,559 | |
| | REGENCY ENERGY PART/FINA | | 5.875% 01 Mar 2022 | | 600,000 | | | | 565,537 | |
| | REGENCY ENERGY PART/FINA | | 6.5% 15 Jul 2021 | | 296,000 | | | | 297,480 | |
| | REGENCY ENERGY PARTNERS | | 4.5% 01 Nov 2023 | | 80,000 | | | | 69,211 | |
| | REPUBLIC OF COLOMBIA | | 5.625% 26 Feb 2044 | | 1,210,000 | | | | 1,104,125 | |
| | REPUBLIC OF INDONESIA | | 3.75% 25 Apr 2022 | | 300,000 | | | | 287,371 | |
| | REPUBLIC OF INDONESIA | | 3.75% 25 Apr 2022 | | 850,000 | | | | 814,217 | |
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| | REPUBLIC OF INDONESIA | | 5.875% 13 Mar 2020 | | 130,000 | | | | 140,912 | |
| | REPUBLIC OF INDONESIA | | 5.875% 15 Jan 2024 | | 864,000 | | | | 925,615 | |
| | REPUBLIC OF PERU | | 5.625% 18 Nov 2050 | | 680,000 | | | | 693,600 | |
| | REPUBLIC OF PERU | | 6.55% 14 Mar 2037 | | 80,000 | | | | 92,400 | |
| | REPUBLIC OF POLAND | | 4% 22 Jan 2024 | | 2,400,000 | | | | 2,524,800 | |
| | REPUBLIC OF PORTUGAL | | 5.125% 15 Oct 2024 | | 1,640,000 | | | | 1,667,552 | |
| | REPUBLIC OF TURKEY | | 5.625% 30 Mar 2021 | | 213,000 | | | | 225,227 | |
| | REPUBLIC OF TURKEY | | 5.75% 22 Mar 2024 | | 1,380,000 | | | | 1,457,998 | |
| | RESIDENTIAL ASSET MORTGAGE PRO | | 1% 25 Aug 2032 | | 24,264 | | | | 22,584 | |
| | RESIDENTIAL ASSET MORTGAGE PRO | | 1% 25 Sep 2032 | | 100,501 | | | | 91,447 | |
| | RESIDENTIAL ASSET MORTGAGE PRO | | 8.5% 25 Oct 2031 | | 311,079 | | | | 347,582 | |
| | RESIDENTIAL ASSET SECURITIES C | | 1% 25 Jun 2031 | | 158,466 | | | | 147,034 | |
| | REYNOLDS AMERICAN INC | | 3.25% 01 Nov 2022 | | 520,000 | | | | 514,161 | |
| | REYNOLDS AMERICAN INC | | 3.25% 12 Jun 2020 | | 280,000 | | | | 284,565 | |
| | REYNOLDS AMERICAN INC | | 3.75% 20 May 2023 | | 790,000 | | | | 788,188 | |
| | REYNOLDS AMERICAN INC | | 5.85% 15 Aug 2045 | | 810,000 | | | | 900,509 | |
| | REYNOLDS AMERICAN INC | | 6.75% 15 Jun 2017 | | 590,000 | | | | 629,829 | |
| | REYNOLDS AMERICAN INC | | 8.125% 23 Jun 2019 | | 400,000 | | | | 470,687 | |
| | REYNOLDS GRP ISS/REYNOLD | | 6.875% 15 Feb 2021 | | 1,080,000 | | | | 1,112,400 | |
| | RFCSP STRIP PRINCIPAL | | 0.01% 15 Oct 2019 | | 200,000 | | | | 186,206 | |
| | RFCSP STRIP PRINCIPAL | | 0.01% 15 Oct 2020 | | 2,350,000 | | | | 2,126,513 | |
| | RIO TINTO FIN USA LTD | | 3.75% 20 Sep 2021 | | 50,000 | | | | 48,602 | |
| | RIO TINTO FIN USA LTD | | 6.5% 15 Jul 2018 | | 240,000 | | | | 260,011 | |
| | RIO TINTO FIN USA LTD | | 9% 01 May 2019 | | 480,000 | | | | 560,357 | |
| | ROYAL BK OF SCOTLAND NV | | 4.65% 04 Jun 2018 | | 400,000 | | | | 412,425 | |
| | ROYAL BK SCOTLND GRP PLC | | 1% 31 Dec 2049 | | 190,000 | | | | 235,363 | |
| | ROYAL BK SCOTLND GRP PLC | | 5.125% 28 May 2024 | | 860,000 | | | | 871,313 | |
| | ROYAL BK SCOTLND GRP PLC | | 6% 19 Dec 2023 | | 1,440,000 | | | | 1,550,902 | |
| | ROYAL BK SCOTLND GRP PLC | | 6.1% 10 Jun 2023 | | 850,000 | | | | 913,277 | |
| | ROYAL BK SCOTLND GRP PLC | | 6.4% 21 Oct 2019 | | 690,000 | | | | 765,541 | |
| | RUSSIAN FEDERATION | | 1% 31 Mar 2030 | | 517,650 | | | | 620,189 | |
| | RUSSIAN FEDERATION | | 1% 31 Mar 2030 | | 119,000 | | | | 142,572 | |
| | SABINE PASS LIQUEFACTION | | 5.625% 01 Feb 2021 | | 220,000 | | | | 202,400 | |
| | SABINE PASS LIQUEFACTION | | 5.75% 15 May 2024 | | 320,000 | | | | 278,400 | |
| | SACO I TRUST | | 1% 25 Jul 2036 | | 545,297 | | | | 991,656 | |
| | SCHLUMBERGER HLDGS CORP | | 3% 21 Dec 2020 | | 500,000 | | | | 493,541 | |
| | SCHLUMBERGER HLDGS CORP | | 4% 21 Dec 2025 | | 390,000 | | | | 384,844 | |
| | SECURITIZED ASSET BACKED RECEI | | 1% 25 May 2036 | | 879,266 | | | | 493,924 | |
| | SESI LLC | | 7.125% 15 Dec 2021 | | 360,000 | | | | 320,400 | |
| | SHELL INTERNATIONAL FIN | | 4.125% 11 May 2035 | | 190,000 | | | | 181,360 | |
| | SHELL INTERNATIONAL FIN | | 4.375% 11 May 2045 | | 510,000 | | | | 481,474 | |
| | SHELL INTERNATIONAL FIN | | 4.375% 25 Mar 2020 | | 300,000 | | | | 322,209 | |
| | SHELL INTERNATIONAL FIN | | 6.375% 15 Dec 2038 | | 330,000 | | | | 390,126 | |
| | SINOPEC GRP OVERSEA 2012 | | 2.75% 17 May 2017 | | 680,000 | | | | 685,788 | |
| | SINOPEC GRP OVERSEA 2014 | | 4.375% 10 Apr 2024 | | 1,450,000 | | | | 1,498,057 | |
| | SLM STUDENT LOAN TRUST | | 1% 15 Mar 2024 | | 3,400,000 | | | | 3,208,507 | |
| | SLM STUDENT LOAN TRUST | | 1% 27 Oct 2031 | | 4,730,000 | | | | 4,438,669 | |
| | SMALL BUSINESS ADMINISTRATION | | 2.51% 01 Apr 2035 | | 617,182 | | | | 614,686 | |
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Table of Contents
| | SMALL BUSINESS ADMINISTRATION | | 2.517% 10 Mar 2025 | | 119,012 | | | | 120,339 | |
| | SMALL BUSINESS ADMINISTRATION | | 2.82% 01 Sep 2035 | | 470,000 | | | | 471,214 | |
| | SMALL BUSINESS ADMINISTRATION | | 2.98% 01 Jun 2035 | | 0 | | | | 0 | |
| | SMALL BUSINESS ADMINISTRATION | | 3.37% 01 Oct 2033 | | 766,343 | | | | 796,084 | |
| | SOUTHERN COPPER CORP | | 5.25% 08 Nov 2042 | | 2,070,000 | | | | 1,493,979 | |
| | SOUTHERN NATURAL GAS | | 5.9% 01 Apr 2017 | | 100,000 | | | | 101,685 | |
| | SOUTHERN NATURAL GAS | | 8% 01 Mar 2032 | | 500,000 | | | | 490,992 | |
| | SPECTRUM BRANDS INC | | 5.75% 15 Jul 2025 | | 650,000 | | | | 666,250 | |
| | SPRINT CAPITAL CORP | | 8.75% 15 Mar 2032 | | 1,630,000 | | | | 1,222,500 | |
| | SPRINT CORP | | 7.875% 15 Sep 2023 | | 580,000 | | | | 435,580 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | (153,801 | ) | | | (153,801 | ) |
| | STANDARD CHARTERED PLC | | 5.7% 26 Mar 2044 | | 1,460,000 | | | | 1,461,178 | |
* | | STATE STREET CORP | | 4.956% 15 Mar 2018 | | 1,520,000 | | | | 1,594,789 | |
| | STEEL DYNAMICS INC | | 6.375% 15 Aug 2022 | | 760,000 | | | | 729,600 | |
| | STRUCTURED ADJUSTABLE RATE MOR | | 1% 25 Aug 2035 | | 464,157 | | | | 443,086 | |
| | STRUCTURED ASSET INVESTMENT LO | | 1% 25 Sep 2034 | | 6,031,463 | | | | 5,509,530 | |
| | STRUCTURED ASSET SECURITIES CO | | 1% 25 Dec 2029 | | 815,866 | | | | 892,848 | |
| | SWAPTION RECEIVER 9WR016743 | | JAN16 103.5 CALL | | 4,700,000 | | | | 2,066 | |
| | SWAPTION RECEIVER 9WR016826 | | JAN16 103 CALL | | 2,080,000 | | | | 914 | |
| | SWAPTION RECEIVER 9WR016842 | | JAN16 80 CALL | | 6,990,000 | | | | 1,022 | |
| | TAYLOR MORRISON COMM/MON | | 5.25% 15 Apr 2021 | | 740,000 | | | | 740,000 | |
| | TCI COMMUNICATIONS INC | | 7.125% 15 Feb 2028 | | 110,000 | | | | 142,248 | |
| | TEACHERS INSUR + ANNUITY | | 4.9% 15 Sep 2044 | | 10,000 | | | | 10,101 | |
| | TEACHERS INSUR + ANNUITY | | 6.85% 16 Dec 2039 | | 1,400,000 | | | | 1,730,931 | |
| | TELEFONICA EMISIONES SAU | | 5.134% 27 Apr 2020 | | 370,000 | | | | 403,986 | |
| | TELEFONICA EMISIONES SAU | | 5.877% 15 Jul 2019 | | 250,000 | | | | 274,759 | |
| | TELEFONICA EMISIONES SAU | | 6.221% 03 Jul 2017 | | 90,000 | | | | 95,648 | |
| | TENN VALLEY AUTHORITY | | 5.25% 15 Sep 2039 | | 2,200,000 | | | | 2,644,169 | |
| | THERMO FISHER SCIENTIFIC | | 3.6% 15 Aug 2021 | | 430,000 | | | | 436,640 | |
| | THERMO FISHER SCIENTIFIC | | 5.3% 01 Feb 2044 | | 130,000 | | | | 138,907 | |
| | TIME WARNER CABLE INC | | 5% 01 Feb 2020 | | 160,000 | | | | 169,370 | |
| | TIME WARNER CABLE INC | | 5.5% 01 Sep 2041 | | 60,000 | | | | 54,219 | |
| | TIME WARNER CABLE INC | | 5.875% 15 Nov 2040 | | 170,000 | | | | 161,103 | |
| | TIME WARNER CABLE INC | | 6.75% 15 Jun 2039 | | 340,000 | | | | 341,225 | |
| | TIME WARNER CABLE INC | | 7.3% 01 Jul 2038 | | 240,000 | | | | 260,198 | |
| | TIME WARNER CABLE INC | | 8.25% 01 Apr 2019 | | 1,110,000 | | | | 1,274,613 | |
| | TIME WARNER ENTERTAINMEN | | 8.375% 15 Jul 2033 | | 240,000 | | | | 283,130 | |
| | TIME WARNER INC | | 4.7% 15 Jan 2021 | | 190,000 | | | | 204,489 | |
| | TIME WARNER INC | | 4.75% 29 Mar 2021 | | 250,000 | | | | 268,723 | |
| | TIME WARNER INC | | 6.1% 15 Jul 2040 | | 480,000 | | | | 518,467 | |
| | TIME WARNER INC | | 6.25% 29 Mar 2041 | | 150,000 | | | | 166,586 | |
| | TIME WARNER INC | | 7.7% 01 May 2032 | | 1,410,000 | | | | 1,759,908 | |
| | TOWD POINT MORTGAGE TRUST | | 1% 25 May 2055 | | 5,129,743 | | | | 5,066,139 | |
| | TRANSOCEAN INC | | 5.8% 15 Dec 2016 | | 470,000 | | | | 455,900 | |
| | TSY INFL IX N/B | | 0.125% 15 Apr 2020 | | 15,742,265 | | | | 15,541,598 | |
| | TSY INFL IX N/B | | 0.375% 15 Jul 2025 | | 5,345,670 | | | | 5,175,555 | |
| | TSY INFL IX N/B | | 0.625% 15 Jan 2024 | | 4,332,153 | | | | 4,283,022 | |
| | TSY INFL IX N/B | | 0.75% 15 Feb 2042 | | 1,157,838 | | | | 1,017,179 | |
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| | TSY INFL IX N/B | | 0.75% 15 Feb 2045 | | 5,373,306 | | | | 4,686,109 | |
| | TSY INFL IX N/B | | 1.375% 15 Feb 2044 | | 4,051,464 | | | | 4,123,208 | |
| | TSY INFL IX N/B | | 2.375% 15 Jan 2025 | | 340,681 | | | | 387,302 | |
| | TYSON FOODS INC | | 5.15% 15 Aug 2044 | | 190,000 | | | | 198,398 | |
| | UBM PLC | | 5.75% 03 Nov 2020 | | 810,000 | | | | 865,676 | |
| | UBS GROUP FUNDING | | 4.125% 24 Sep 2025 | | 580,000 | | | | 579,399 | |
| | UNITED MEXICAN STATES | | 3.6% 30 Jan 2025 | | 880,000 | | | | 857,560 | |
| | UNITED MEXICAN STATES | | 4.75% 08 Mar 2044 | | 1,960,000 | | | | 1,785,560 | |
| | UNITED MEXICAN STATES | | 5.55% 21 Jan 2045 | | 2,920,000 | | | | 2,993,000 | |
| | UNITED MEXICAN STATES | | 6.05% 11 Jan 2040 | | 112,000 | | | | 122,640 | |
| | UNITED TECHNOLOGIES CORP | | 4.5% 01 Jun 2042 | | 670,000 | | | | 674,715 | |
| | UNITEDHEALTH GROUP INC | | 3.375% 15 Nov 2021 | | 340,000 | | | | 351,427 | |
| | UNITEDHEALTH GROUP INC | | 4.75% 15 Jul 2045 | | 120,000 | | | | 126,395 | |
| | UNITEDHEALTH GROUP INC | | 6% 15 Feb 2018 | | 840,000 | | | | 913,595 | |
| | US 10YR FUT OPTN FEB16C 126.5 | | EXP 01/22/2016 | | 48,000 | | | | 15,000 | |
| | US 10YR FUT OPTN FEB16C 127.5 | | EXP 01/22/2016 | | 42,000 | | | | 4,594 | |
| | US 10YR FUT OPTN FEB16P 125 | | EXP 01/22/2016 | | 68,000 | | | | 15,938 | |
| | US 10YR FUT OPTN FEB16P 125.5 | | EXP 01/22/2016 | | 38,000 | | | | 14,844 | |
| | US 10YR FUT OPTN MAR16C 127.5 | | EXP 02/19/2016 | | (28,000 | ) | | | (9,188 | ) |
| | US 10YR FUT OPTN MAR16C 128.5 | | EXP 02/19/2016 | | (41,000 | ) | | | (7,047 | ) |
| | US 10YR FUT OPTN MAR16C 131 | | EXP 02/19/2016 | | (27,000 | ) | | | (1,266 | ) |
| | US 10YR NOTE (CBT)MAR16 | | XCBT 20160321 | | (115,300,000 | ) | | | 383,485 | |
| | US 2YR NOTE (CBT) MAR16 | | XCBT 20160331 | | 200,000 | | | | (297 | ) |
| | US 5YR FUTR OPTN FEB16C 118.7 | | EXP 01/22/2016 | | 54,000 | | | | 9,703 | |
| | US 5YR NOTE (CBT) MAR16 | | XCBT 20160331 | | 58,000,000 | | | | (62,039 | ) |
| | US BOND FUTR OPTN FEB16C 157 | | EXP 01/22/2016 | | 27,000 | | | | 10,969 | |
| | US BOND FUTR OPTN FEB16C 158 | | EXP 01/22/2016 | | (27,000 | ) | | | (7,172 | ) |
| | US BOND FUTR OPTN FEB16C 159 | | EXP 01/22/2016 | | 1,000 | | | | 172 | |
| | US BOND FUTR OPTN FEB16C 160 | | EXP 01/22/2016 | | (34,000 | ) | | | (4,250 | ) |
| | US BOND FUTR OPTN FEB16P 149 | | EXP 01/22/2016 | | (27,000 | ) | | | (4,641 | ) |
| | US BOND FUTR OPTN FEB16P 151 | | EXP 01/22/2016 | | (34,000 | ) | | | (15,938 | ) |
| | US BOND FUTR OPTN FEB16P 154 | | EXP 01/22/2016 | | 27,000 | | | | 42,188 | |
| | US BOND FUTR OPTN FEB16P 155 | | EXP 01/22/2016 | | 27,000 | | | | 58,219 | |
| | US BOND FUTR OPTN MAR16C 163 | | EXP 02/19/2016 | | (109,000 | ) | | | (23,844 | ) |
| | US DOLLAR | | | | 12,835 | | | | 12,835 | |
| | US LONG BOND(CBT) MAR16 | | XCBT 20160321 | | (12,500,000 | ) | | | 134,969 | |
| | US TREASURY N/B | | 0.875% 30 Nov 2017 | | 200,000 | | | | 199,422 | |
| | US TREASURY N/B | | 1.375% 30 Apr 2020 | | 480,000 | | | | 473,794 | |
| | US TREASURY N/B | | 1.375% 30 Sep 2020 | | 140,000 | | | | 137,583 | |
| | US TREASURY N/B | | 1.375% 31 Oct 2020 | | 540,000 | | | | 530,466 | |
| | US TREASURY N/B | | 1.5% 31 Jul 2016 | | 360,000 | | | | 361,814 | |
| | US TREASURY N/B | | 1.625% 30 Nov 2020 | | 30,000 | | | | 29,822 | |
| | US TREASURY N/B | | 1.625% 31 Jul 2019 | | 1,670,000 | | | | 1,675,807 | |
| | US TREASURY N/B | | 1.875% 31 Oct 2022 | | 4,760,000 | | | | 4,699,757 | |
| | US TREASURY N/B | | 2% 15 Aug 2025 | | 5,390,000 | | | | 5,255,460 | |
| | US TREASURY N/B | | 2% 30 Nov 2022 | | 2,020,000 | | | | 2,008,953 | |
| | US TREASURY N/B | | 2% 31 Jul 2020 | | 60,000 | | | | 60,689 | |
| | US TREASURY N/B | | 2.25% 15 Nov 2024 | | 8,190,000 | | | | 8,185,839 | |
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| | US TREASURY N/B | | 2.25% 15 Nov 2025 | | 2,570,000 | | | | 2,564,277 | |
| | US TREASURY N/B | | 2.75% 15 Nov 2042 | | 9,780,000 | | | | 9,325,005 | |
| | US TREASURY N/B | | 2.875% 15 Aug 2045 | | 2,100,000 | | | | 2,039,543 | |
| | US TREASURY N/B | | 2.875% 15 May 2043 | | 14,880,000 | | | | 14,508,000 | |
| | US TREASURY N/B | | 3% 15 May 2045 | | 13,790,000 | | | | 13,726,980 | |
| | US TREASURY N/B | | 3% 15 Nov 2045 | | 1,700,000 | | | | 1,694,886 | |
| | US TREASURY N/B | | 3.625% 15 Aug 2043 | | 4,580,000 | | | | 5,158,046 | |
| | US ULTRA BOND CBT MAR16 | | XCBT 20160321 | | 37,100,000 | | | | 344,258 | |
| | VALE OVERSEAS LIMITED | | 6.875% 21 Nov 2036 | | 1,451,000 | | | | 1,014,307 | |
| | VERIZON COMMUNICATIONS | | 2.45% 01 Nov 2022 | | 100,000 | | | | 94,658 | |
| | VERIZON COMMUNICATIONS | | 4.5% 15 Sep 2020 | | 70,000 | | | | 75,208 | |
| | VERIZON COMMUNICATIONS | | 5.15% 15 Sep 2023 | | 1,120,000 | | | | 1,231,245 | |
| | VERIZON COMMUNICATIONS | | 6.4% 15 Sep 2033 | | 1,377,000 | | | | 1,568,786 | |
| | VERIZON COMMUNICATIONS | | 6.55% 15 Sep 2043 | | 3,456,000 | | | | 4,102,998 | |
| | VIACOM INC | | 3.875% 01 Apr 2024 | | 130,000 | | | | 121,816 | |
| | VIACOM INC | | 4.25% 01 Sep 2023 | | 120,000 | | | | 116,014 | |
| | VIRGIN MEDIA SECURED FIN | | 5.375% 15 Apr 2021 | | 855,000 | | | | 882,788 | |
| | VISA INC | | 3.15% 14 Dec 2025 | | 1,410,000 | | | | 1,411,743 | |
| | VISA INC | | 4.3% 14 Dec 2045 | | 300,000 | | | | 304,368 | |
| | VNO MORTGAGE TRUST | | 2.995% 15 Nov 2030 | | 220,000 | | | | 216,736 | |
| | VOYA FINANCIAL INC | | 2.9% 15 Feb 2018 | | 130,000 | | | | 131,405 | |
| | WACHOVIA CAP TRUST III | | 1% 29 Mar 2049 | | 3,450,000 | | | | 3,323,213 | |
| | WACHOVIA CORP | | 5.75% 01 Feb 2018 | | 560,000 | | | | 604,850 | |
| | WASTE MANAGEMENT INC | | 3.5% 15 May 2024 | | 370,000 | | | | 372,966 | |
| | WASTE MANAGEMENT INC | | 4.6% 01 Mar 2021 | | 190,000 | | | | 204,931 | |
| | WASTE MANAGEMENT INC | | 7.375% 15 May 2029 | | 290,000 | | | | 375,940 | |
| | WEA FINANCE LLC/WESTFIEL | | 3.75% 17 Sep 2024 | | 1,170,000 | | | | 1,163,466 | |
| | WELLS FARGO + COMPANY | | 1.5% 16 Jan 2018 | | 580,000 | | | | 577,529 | |
| | WELLS FARGO + COMPANY | | 3.45% 13 Feb 2023 | | 530,000 | | | | 531,249 | |
| | WELLS FARGO + COMPANY | | 4.3% 22 Jul 2027 | | 1,610,000 | | | | 1,644,670 | |
| | WELLS FARGO + COMPANY | | 4.48% 16 Jan 2024 | | 392,000 | | | | 412,292 | |
| | WELLS FARGO + COMPANY | | 4.6% 01 Apr 2021 | | 260,000 | | | | 283,434 | |
| | WELLS FARGO + COMPANY | | 4.65% 04 Nov 2044 | | 290,000 | | | | 282,135 | |
| | WELLS FARGO + COMPANY | | 4.9% 17 Nov 2045 | | 450,000 | | | | 454,013 | |
| | WELLS FARGO + COMPANY | | 5.375% 02 Nov 2043 | | 660,000 | | | | 706,364 | |
| | WELLS FARGO + COMPANY | | 5.606% 15 Jan 2044 | | 800,000 | | | | 888,719 | |
| | WELLS FARGO BANK NA | | 6% 15 Nov 2017 | | 720,000 | | | | 776,539 | |
| | WELLS FARGO CAPITAL X | | 5.95% 01 Dec 2086 | | 330,000 | | | | 333,300 | |
| | WELLS FARGO COMMERCIAL MORTGAG | | 3.184% 15 Apr 2050 | | 910,000 | | | | 889,167 | |
| | WELLS FARGO COMMERCIAL MORTGAG | | 3.406% 15 May 2048 | | 670,000 | | | | 655,563 | |
| | WELLS FARGO COMMERCIAL MORTGAG | | 3.54% 15 May 2048 | | 2,110,000 | | | | 2,119,472 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Jun 2035 | | 3,070,234 | | | | 2,692,643 | |
| | WESTROCK RKT CO | | 3.5% 01 Mar 2020 | | 260,000 | | | | 262,606 | |
| | WESTROCK RKT CO | | 4% 01 Mar 2023 | | 270,000 | | | | 270,915 | |
| | WF RBS COMMERCIAL MORTGAGE TRU | | 1% 15 Mar 2044 | | 13,838,616 | | | | 632,105 | |
| | WF RBS COMMERCIAL MORTGAGE TRU | | 1% 15 Mar 2047 | | 8,167,649 | | | | 543,178 | |
| | WF RBS COMMERCIAL MORTGAGE TRU | | 3.311% 15 Mar 2045 | | 600,000 | | | | 600,654 | |
| | WHITING PETROLEUM CORP | | 5% 15 Mar 2019 | | 70,000 | | | | 52,850 | |
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| | WHITING PETROLEUM CORP | | 6.25% 01 Apr 2023 | | 270,000 | | | | 194,400 | |
| | WILLIAMS COMPANIES INC | | 7.5% 15 Jan 2031 | | 19,000 | | | | 13,145 | |
| | WILLIAMS COS INC | | 7.75% 15 Jun 2031 | | 535,000 | | | | 378,891 | |
| | WILLIAMS COS INC | | 7.875% 01 Sep 2021 | | 60,000 | | | | 54,000 | |
| | WILLIAMS COS INC | | 8.75% 15 Mar 2032 | | 627,000 | | | | 472,549 | |
| | WM WRIGLEY JR CO | | 2.4% 21 Oct 2018 | | 240,000 | | | | 240,641 | |
| | WM WRIGLEY JR CO | | 2.9% 21 Oct 2019 | | 660,000 | | | | 666,108 | |
| | WM WRIGLEY JR CO | | 3.375% 21 Oct 2020 | | 280,000 | | | | 285,454 | |
| | WPP FINANCE 2010 | | 5.125% 07 Sep 2042 | | 40,000 | | | | 37,720 | |
| | WYETH LLC | | 5.95% 01 Apr 2037 | | 360,000 | | | | 428,052 | |
| | ZIMMER BIOMET HOLDINGS | | 4.45% 15 Aug 2045 | | 810,000 | | | | 744,893 | |
| | ZOETIS INC | | 3.25% 01 Feb 2023 | | 30,000 | | | | 28,645 | |
| | Currency Contract | | USD/BRL | | | | | | 31,669 | |
| | Currency Contract | | USD/BRL | | | | | | 110,175 | |
| | Currency Contract | | USD/EUR | | | | | | 16,085 | |
| | Currency Contract | | USD/EUR | | | | | | 4,800 | |
| | Currency Contract | | USD/EUR | | | | | | 24,492 | |
| | Currency Contract | | USD/CNY | | | | | | 14,346 | |
| | Currency Contract | | USD/CNY | | | | | | 34,152 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5728 4 of 16 | | | | | | $ | 706,506,874 | |
| | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | PRIVEST PRUDENTIAL AST MGMT | | | | 7,642 | | | | $ | 236,573,135 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5735 5 of 16 | | | | | | $ | 236,573,135 | |
| | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 3MO EURO EURIBOR MAR18 | | IFLL 20180319 | | 213,750,000 | | | | $ | 373,253 | |
| | 90DAY EUR FUTR SEP18 | | XCME 20180917 | | (146,000,000 | ) | | | 237,413 | |
| | 90DAY STERLING FU MAR18 | | IFLL 20180321 | | (159,375,000 | ) | | | (46,981 | ) |
| | ABBEY NATL TREASURY SERV | | 1% 29 Sep 2017 | | 3,500,000 | | | | 3,470,660 | |
| | ABBEY NATL TREASURY SERV | | 2.35% 10 Sep 2019 | | 5,300,000 | | | | 5,305,035 | |
| | ABBVIE INC | | 1.75% 06 Nov 2017 | | 2,800,000 | | | | 2,794,565 | |
| | ABBVIE INC | | 2.5% 14 May 2020 | | 2,000,000 | | | | 1,979,892 | |
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| | ACTAVIS FUNDING SCS | | 1% 12 Mar 2018 | | 2,400,000 | | | | 2,407,714 | |
| | ACTAVIS FUNDING SCS | | 1% 12 Mar 2020 | | 3,900,000 | | | | 3,913,931 | |
| | ACTAVIS FUNDING SCS | | 1.3% 15 Jun 2017 | | 2,610,000 | | | | 2,585,184 | |
| | ACTAVIS FUNDING SCS | | 1.85% 01 Mar 2017 | | 4,800,000 | | | | 4,808,606 | |
| | ACTAVIS INC | | 1.875% 01 Oct 2017 | | 1,500,000 | | | | 1,498,214 | |
| | ADANI PORTS AND SPECIAL | | 3.5% 29 Jul 2020 | | 2,300,000 | | | | 2,266,392 | |
| | ADJUSTABLE RATE MORTGAGE TRUST | | 1% 25 Jan 2036 | | 131,429 | | | | 115,131 | |
| | AERCAP IRELAND CAP LTD/A | | 2.75% 15 May 2017 | | 4,000,000 | | | | 3,975,000 | |
| | AERCAP IRELAND CAP LTD/A | | 4.625% 30 Oct 2020 | | 4,700,000 | | | | 4,811,625 | |
| | AES CORP/VA | | 1% 01 Jun 2019 | | 400,000 | | | | 367,000 | |
| | ALLY FINANCIAL INC | | 3.25% 13 Feb 2018 | | 3,300,000 | | | | 3,283,500 | |
| | ALLY FINANCIAL INC | | 6.25% 01 Dec 2017 | | 1,900,000 | | | | 1,992,625 | |
| | AMERICAN EXPRESS CREDIT | | 1.875% 05 Nov 2018 | | 3,400,000 | | | | 3,391,014 | |
| | AMERICAN HOME MORTGAGE ASSETS | | 1% 25 Nov 2046 | | 704,608 | | | | 357,527 | |
| | AMERICAN TOWER CORP | | 2.8% 01 Jun 2020 | | 5,000,000 | | | | 4,942,455 | |
| | AMGEN INC | | 1% 22 May 2019 | | 5,500,000 | | | | 5,443,086 | |
| | AMGEN INC | | 1.25% 22 May 2017 | | 1,495,000 | | | | 1,489,379 | |
| | ANGLO AMERICAN CAPITAL | | 1% 15 Apr 2016 | | 1,000,000 | | | | 990,216 | |
| | ANTHEM INC | | 1.875% 15 Jan 2018 | | 1,800,000 | | | | 1,792,192 | |
| | AP MOELLER MAERSK A/S | | 2.875% 28 Sep 2020 | | 2,400,000 | | | | 2,375,266 | |
| | ASCIANO FINANCE LTD | | 4.625% 23 Sep 2020 | | 285,000 | | | | 287,675 | |
| | AT+T INC | | 1% 30 Jun 2020 | | 4,900,000 | | | | 4,864,965 | |
| | AUST 3YR BOND FUT MAR16 | | XSFE 20160315 | | 111,400,000 | | | | 227,191 | |
| | AUSTRALIAN DOLLAR | | FOREIGN CURRENCY | | 636,606 | | | | 463,163 | |
| | AVIATION CAPITAL GROUP | | 3.875% 27 Sep 2016 | | 3,100,000 | | | | 3,123,250 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 1% 10 Feb 2051 | | 687,098 | | | | 714,875 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 1% 10 Jul 2046 | | 863,247 | | | | 870,793 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 5.414% 10 Sep 2047 | | 2,334,816 | | | | 2,361,851 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 5.451% 15 Jan 2049 | | 2,285,617 | | | | 2,344,484 | |
| | BANC OF AMERICA FUNDING CORPOR | | 1% 20 Sep 2034 | | 102,397 | | | | 101,674 | |
| | BANC OF AMERICA FUNDING CORPOR | | 1% 25 May 2035 | | 392,133 | | | | 398,816 | |
| | BANC OF AMERICA LARGE LOAN | | 1% 17 Feb 2051 | | 7,206,571 | | | | 7,291,928 | |
| | BANC OF AMERICA MORTGAGE SECUR | | 1% 25 Feb 2034 | | 707,965 | | | | 689,703 | |
| | BANCO BRADESCO (CAYMAN) | | 4.5% 12 Jan 2017 | | 3,000,000 | | | | 3,037,800 | |
| | BANK OF AMERICA CORP | | 3.875% 22 Mar 2017 | | 1,650,000 | | | | 1,686,076 | |
| | BANK OF AMERICA NA | | 1% 05 Jun 2017 | | 5,000,000 | | | | 4,983,290 | |
| | BANK OF AMERICA NA | | 1% 08 May 2017 | | 5,000,000 | | | | 4,987,650 | |
| | BAT INTL FINANCE PLC | | 2.75% 15 Jun 2020 | | 600,000 | | | | 599,825 | |
| | BAYER US FINANCE LLC | | 1.5% 06 Oct 2017 | | 1,000,000 | | | | 999,588 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 Aug 2033 | | 115,672 | | | | 115,563 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 May 2033 | | 293,542 | | | | 293,866 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 Oct 2034 | | 311,953 | | | | 284,733 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 Oct 2035 | | 171,451 | | | | 168,568 | |
| | BEAR STEARNS ALT A TRUST | | 1% 25 Nov 2036 | | 453,457 | | | | 343,789 | |
| | BEAR STEARNS ALT A TRUST | | 1% 25 Nov 2036 | | 394,048 | | | | 282,911 | |
| | BEAR STEARNS ALT A TRUST | | 1% 25 Sep 2035 | | 172,262 | | | | 145,207 | |
| | BECTON DICKINSON AND CO | | 1.8% 15 Dec 2017 | | 3,625,000 | | | | 3,619,729 | |
| | BG ENERGY CAPITAL PLC | | 1% 30 Nov 2072 | | 2,500,000 | | | | 2,637,383 | |
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| | BG ENERGY CAPITAL PLC | | 4% 09 Dec 2020 | | 300,000 | | | | 316,794 | |
| | BIOGEN INC | | 6.875% 01 Mar 2018 | | 935,000 | | | | 1,024,217 | |
| | BK TOKYO MITSUBISHI UFJ | | 1% 14 Sep 2018 | | 2,800,000 | | | | 2,807,378 | |
| | BK TOKYO MITSUBISHI UFJ | | 1.45% 08 Sep 2017 | | 655,000 | | | | 650,869 | |
| | BK TOKYO MITSUBISHI UFJ | | 2.15% 14 Sep 2018 | | 800,000 | | | | 797,710 | |
| | BOARDWALK PIPELINES LLC | | 5.5% 01 Feb 2017 | | 1,190,000 | | | | 1,205,746 | |
| | BOARDWALK PIPELINES LLC | | 5.875% 15 Nov 2016 | | 1,391,000 | | | | 1,404,489 | |
| | BOSTON SCIENTIFIC CORP | | 2.65% 01 Oct 2018 | | 1,767,000 | | | | 1,776,287 | |
| | BOSTON SCIENTIFIC CORP | | 3.375% 15 May 2022 | | 7,200,000 | | | | 7,102,843 | |
| | BP CAPITAL MARKETS PLC | | 2.315% 13 Feb 2020 | | 2,000,000 | | | | 1,970,518 | |
| | BPCE SA | | 1% 06 Mar 2017 | | 2,500,000 | | | | 3,693,446 | |
| | BPCE SA | | 1% 17 Jun 2017 | | 3,000,000 | | | | 2,994,309 | |
| | BRAZILIAN REAL | | FOREIGN CURRENCY | | 3,235 | | | | 818 | |
| | BRITISH TELECOM PLC | | 1.625% 28 Jun 2016 | | 990,000 | | | | 991,234 | |
| | BURLINGTN NORTH SANTA FE | | 3.05% 15 Mar 2022 | | 500,000 | | | | 501,296 | |
| | BWU00D991 IRS USD P F 2.25000 | | 2.25% 16 Dec 2022 | | (14,600,000 | ) | | | (14,871,979 | ) |
| | BWU00D991 IRS USD R V 03MLIBOR | | 1% 16 Dec 2022 | | 14,600,000 | | | | 14,600,000 | |
| | BWU00DAD0 IRS USD P F 2.25000 | | 2.25% 16 Dec 2022 | | (13,900,000 | ) | | | (14,184,379 | ) |
| | BWU00DAD0 IRS USD R V 03MLIBOR | | 1% 16 Dec 2022 | | 13,900,000 | | | | 13,900,000 | |
| | BWU00DB23 IRS USD P F 2.00000 | | 2% 16 Dec 2020 | | (61,600,000 | ) | | | (62,461,448 | ) |
| | BWU00DB23 IRS USD R V 03MLIBOR | | 1% 16 Dec 2020 | | 61,600,000 | | | | 61,600,000 | |
| | CALIFORNIA ST EARTHQUAKE AUTH | | 2.805% 01 Jul 2019 | | 3,200,000 | | | | 3,229,856 | |
| | CANADIAN DOLLAR | | FOREIGN CURRENCY | | 470,244 | | | | 338,524 | |
| | CANADIAN NATL RESOURCES | | 1.75% 15 Jan 2018 | | 1,095,000 | | | | 1,065,025 | |
| | CAPITAL ONE FINANCIAL CO | | 6.75% 15 Sep 2017 | | 2,960,000 | | | | 3,175,639 | |
| | CATERPILLAR FINANCIAL SE | | 5.85% 01 Sep 2017 | | 955,000 | | | | 1,023,474 | |
| | CCO SAFARI II LLC | | 4.464% 23 Jul 2022 | | 5,000,000 | | | | 4,982,550 | |
| | CD COMMERCIAL MORTGAGE TRUST | | 5.322% 11 Dec 2049 | | 1,785,815 | | | | 1,815,876 | |
| | CHESAPEAKE ENERGY CORP | | 1% 15 Apr 2019 | | 1,000,000 | | | | 280,000 | |
| | CISCO SYSTEMS INC | | 1% 01 Mar 2019 | | 700,000 | | | | 699,372 | |
| | CIT GROUP INC | | 4.25% 15 Aug 2017 | | 4,650,000 | | | | 4,754,625 | |
| | CITIGROUP INC | | 1% 09 Jun 2016 | | 5,000,000 | | | | 4,985,270 | |
| | CITIGROUP INC | | 1% 26 Oct 2020 | | 6,000,000 | | | | 6,051,474 | |
| | CITIGROUP INC | | 1% 30 Jul 2018 | | 2,000,000 | | | | 1,999,066 | |
| | CITIGROUP MORTGAGE LOAN TRUST | | 1% 25 Oct 2035 | | 422,496 | | | | 418,338 | |
| | CITIGROUP MORTGAGE LOAN TRUST | | 1% 25 Sep 2035 | | 90,299 | | | | 90,285 | |
| | CITIGROUP REPO | | 0.58% 04 Jan 2016 | | 900,000 | | | | 900,000 | |
| | CNH EQUIPMENT TRUST | | 0.48% 15 Aug 2017 | | 276,009 | | | | 275,912 | |
| | CNOOC FINANCE 2013 LTD | | 1.125% 09 May 2016 | | 2,820,000 | | | | 2,815,254 | |
| | CNPC GENERAL CAPITAL LTD | | 1.45% 16 Apr 2016 | | 1,995,000 | | | | 1,994,382 | |
| | COMM MORTGAGE TRUST | | 1.906% 10 Jan 2046 | | 5,700,000 | | | | 5,688,544 | |
| | CONAGRA FOODS INC | | 1.3% 25 Jan 2016 | | 1,590,000 | | | | 1,590,232 | |
| | CONOCOPHILLIPS COMPANY | | 1% 15 May 2022 | | 6,000,000 | | | | 5,911,140 | |
| | CONTL AIRLINES 2012 B | | 6.25% 11 Oct 2021 | | 2,012,136 | | | | 2,112,743 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 1% 25 Nov 2035 | | 425,334 | | | | 364,764 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 6% 25 Feb 2037 | | 175,030 | | | | 136,007 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 6% 25 Jan 2037 | | 468,968 | | | | 403,746 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 6.25% 25 Dec 2033 | | 113,035 | | | | 117,379 | |
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| | COUNTRYWIDE ALTERNATIVE LOAN T | | 6.25% 25 Nov 2036 | | 164,923 | | | | 154,752 | |
| | COUNTRYWIDE HOME LOANS | | 1% 19 Jun 2031 | | 9,614 | | | | 8,698 | |
| | COUNTRYWIDE HOME LOANS | | 1% 25 Jan 2034 | | 374,129 | | | | 372,570 | |
| | COUNTRYWIDE HOME LOANS | | 1% 25 Jul 2034 | | 367,436 | | | | 364,544 | |
| | COUNTRYWIDE HOME LOANS | | 1% 25 Jun 2035 | | 322,558 | | | | 280,562 | |
| | COUNTRYWIDE HOME LOANS | | 6% 25 Mar 2035 | | 481,374 | | | | 482,252 | |
| | COX COMMUNICATIONS INC | | 5.875% 01 Dec 2016 | | 770,000 | | | | 796,065 | |
| | CREDIT AGRICOLE LONDON | | 1% 15 Apr 2019 | | 1,300,000 | | | | 1,292,591 | |
| | CREDIT SUISSE MORTGAGE TRUST | | 1% 15 Dec 2043 | | 2,200,000 | | | | 2,243,764 | |
| | CREDIT SUISSE NEW YORK | | 1.7% 27 Apr 2018 | | 14,300,000 | | | | 14,197,326 | |
| | CSFB CASH COLL CCP | | CSFB CASH COLL CCFOBCUS1 | | 367,000 | | | | 367,000 | |
| | CVS HEALTH CORP | | 1.2% 05 Dec 2016 | | 1,065,000 | | | | 1,065,190 | |
| | D.R. HORTON INC | | 3.75% 01 Mar 2019 | | 2,000,000 | | | | 2,000,000 | |
| | D.R. HORTON INC | | 4% 15 Feb 2020 | | 1,800,000 | | | | 1,810,260 | |
| | DAIMLER FINANCE NA LLC | | 1% 02 Mar 2018 | | 3,000,000 | | | | 2,965,983 | |
| | DAIMLER FINANCE NA LLC | | 1% 10 Mar 2017 | | 6,300,000 | | | | 6,266,339 | |
| | DAIMLER FINANCE NA LLC | | 1.375% 01 Aug 2017 | | 4,500,000 | | | | 4,459,307 | |
| | DAIMLER FINANCE NA LLC | | 1.65% 02 Mar 2018 | | 600,000 | | | | 592,814 | |
| | DAYTON POWER + LIGHT CO | | 1.875% 15 Sep 2016 | | 2,385,000 | | | | 2,387,082 | |
| | DBS BANK LTD/SINGAPORE | | 1% 15 Jul 2021 | | 3,460,000 | | | | 3,453,433 | |
| | DBUBS MORTGAGE TRUST | | 3.642% 10 Aug 2044 | | 3,587,600 | | | | 3,601,335 | |
| | DELL INC. | | 1% 29 Apr 2020 | | 2,300,000 | | | | 2,281,508 | |
| | DELPHI AUTOMOTIVE PLC | | 3.15% 19 Nov 2020 | | 3,500,000 | | | | 3,495,475 | |
| | DENALI INTL/DENALI FINAN | | 5.625% 15 Oct 2020 | | 500,000 | | | | 523,750 | |
| | DEUTSCHE ALT A SECURITIES INC | | 1% 25 Jul 2036 | | 303,676 | | | | 236,195 | |
| | DEUTSCHE ALT A SECURITIES INC | | 5.5% 25 Dec 2035 | | 348,543 | | | | 292,615 | |
| | DEVON ENERGY CORPORATION | | 1% 15 Dec 2016 | | 5,000,000 | | | | 4,948,835 | |
| | DISH DBS CORP | | 4.625% 15 Jul 2017 | | 1,000,000 | | | | 1,020,000 | |
| | DISH DBS CORP | | 7.125% 01 Feb 2016 | | 500,000 | | | | 501,563 | |
| | DNB BANK ASA | | 3.2% 03 Apr 2017 | | 3,900,000 | | | | 3,975,364 | |
| | DOMINION GAS HLDGS LLC | | 1.05% 01 Nov 2016 | | 1,905,000 | | | | 1,902,985 | |
| | DOMINION GAS HLDGS LLC | | 2.5% 15 Dec 2019 | | 1,000,000 | | | | 998,921 | |
| | DOMINION RESOURCES INC | | 1.25% 15 Mar 2017 | | 1,000,000 | | | | 993,806 | |
| | DOW CHEMICAL CO/THE | | 8.55% 15 May 2019 | | 1,110,000 | | | | 1,308,300 | |
| | ECOLAB INC | | 1.55% 12 Jan 2018 | | 1,625,000 | | | | 1,613,511 | |
| | EKSPORTFINANS ASA | | 2.375% 25 May 2016 | | 1,500,000 | | | | 1,501,050 | |
| | EKSPORTFINANS ASA | | 5.5% 25 May 2016 | | 2,000,000 | | | | 2,025,140 | |
| | EKSPORTFINANS ASA | | 5.5% 26 Jun 2017 | | 1,900,000 | | | | 1,975,886 | |
| | ELECTRICITE DE FRANCE SA | | 1.51% 09 Jan 2017 | | 3,500,000 | | | | 3,445,095 | |
| | ENBRIDGE INC | | 1% 02 Jun 2017 | | 2,000,000 | | | | 1,958,846 | |
| | ENERGY TRANSFER PARTNERS | | 9.7% 15 Mar 2019 | | 2,000,000 | | | | 2,202,656 | |
| | ERSTE ABWICKLUNGSANSTALT | | 1% 27 Feb 2017 | | 5,600,000 | | | | 5,587,641 | |
| | EURO CURRENCY | | FOREIGN CURRENCY | | 128,959 | | | | 140,088 | |
| | EURODOLLAR FTR OPTN | | JUN16 98.75 CALL | | (800,000 | ) | | | (284,000 | ) |
| | EXPORT IMPORT BK KOREA | | 1% 26 Nov 2016 | | 4,000,000 | | | | 4,001,316 | |
| | EXPORT IMPORT BK KOREA | | 3.75% 20 Oct 2016 | | 4,000,000 | | | | 4,064,920 | |
| | EXPRESS SCRIPTS | | 3.125% 15 May 2016 | | 2,500,000 | | | | 2,516,683 | |
| | FANNIE MAE | | 1% 25 Apr 2037 | | 6,051,192 | | | | 769,151 | |
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| | FANNIE MAE | | 1% 25 Feb 2037 | | 628,116 | | | | 109,635 | |
| | FANNIE MAE | | 1% 25 Mar 2037 | | 1,095,532 | | | | 187,092 | |
| | FANNIE MAE | | 1% 25 Mar 2037 | | 1,884,869 | | | | 279,610 | |
| | FANNIE MAE | | 1% 25 Nov 2039 | | 889,918 | | | | 140,555 | |
| | FANNIE MAE | | 1% 25 Nov 2040 | | 10,663 | | | | 11,914 | |
| | FANNIE MAE | | 1.375% 27 Apr 2018 | | 6,685,000 | | | | 6,671,022 | |
| | FANNIE MAE | | 3% 25 Oct 2040 | | 4,286,895 | | | | 4,399,711 | |
| | FIRST HORIZON ALTERNATIVE MORT | | 6.25% 25 Aug 2037 | | 194,611 | | | | 152,311 | |
| | FORD MOTOR CREDIT CO LLC | | 1% 12 Mar 2019 | | 1,200,000 | | | | 1,174,704 | |
| | FORD MOTOR CREDIT CO LLC | | 1.5% 17 Jan 2017 | | 15,810,000 | | | | 15,699,172 | |
| | FORD MOTOR CREDIT CO LLC | | 2.145% 09 Jan 2018 | | 1,085,000 | | | | 1,080,987 | |
| | FREDDIE MAC | | 1% 15 Feb 2041 | | 46,326 | | | | 59,723 | |
| | FREDDIE MAC | | 1% 15 Mar 2036 | | 3,312,333 | | | | 517,534 | |
| | FREDDIE MAC | | 1% 15 Sep 2036 | | 1,003,371 | | | | 147,464 | |
| | FREDDIE MAC | | 1% 15 Sep 2041 | | 162,289 | | | | 168,373 | |
| | FREEPORT MCMORAN INC | | 2.3% 14 Nov 2017 | | 1,100,000 | | | | 937,750 | |
| | FREEPORT MCMORAN INC | | 2.375% 15 Mar 2018 | | 355,000 | | | | 276,900 | |
| | GCCFC COMMERCIAL MORTGAGE TRUS | | 5.444% 10 Mar 2039 | | 4,135,374 | | | | 4,227,509 | |
| | GE COMMERCIAL MORTGAGE CORPORA | | 5.543% 10 Dec 2049 | | 4,300,000 | | | | 4,423,104 | |
| | GENERAL MOTORS CO | | 3.5% 02 Oct 2018 | | 400,000 | | | | 404,016 | |
| | GENERAL MOTORS FINL CO | | 1% 10 Apr 2018 | | 5,500,000 | | | | 5,458,706 | |
| | GENERAL MOTORS FINL CO | | 1% 15 Jan 2020 | | 7,700,000 | | | | 7,576,300 | |
| | GENERAL MOTORS FINL CO | | 3% 25 Sep 2017 | | 3,200,000 | | | | 3,210,928 | |
| | GENERAL MOTORS FINL CO | | 3.25% 15 May 2018 | | 1,750,000 | | | | 1,758,761 | |
| | GENERAL MOTORS FINL CO | | 4.75% 15 Aug 2017 | | 600,000 | | | | 621,865 | |
| | GEORGIA PACIFIC LLC | | 5.4% 01 Nov 2020 | | 800,000 | | | | 882,446 | |
| | GILEAD SCIENCES INC | | 2.55% 01 Sep 2020 | | 5,500,000 | | | | 5,497,910 | |
| | GLENCORE FINANCE CANADA | | 3.6% 15 Jan 2017 | | 700,000 | | | | 676,200 | |
| | GOLDMAN SACHS GROUP INC | | 1% 15 Sep 2020 | | 10,000,000 | | | | 10,021,760 | |
| | GOLDMAN SACHS GROUP INC | | 1% 29 Nov 2023 | | 900,000 | | | | 907,988 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Nov 2065 | | 8,005,121 | | | | 7,961,434 | |
| | GS MORTGAGE SECURITIES TRUST | | 1% 10 Aug 2045 | | 2,329,463 | | | | 2,393,479 | |
| | GS MORTGAGE SECURITIES TRUST | | 4.473% 10 Mar 2044 | | 3,500,000 | | | | 3,500,213 | |
| | HARBORVIEW MORTGAGE LOAN TRUST | | 1% 19 Sep 2046 | | 252,737 | | | | 188,248 | |
| | HARVEST OPERATIONS CORP | | 2.125% 14 May 2018 | | 500,000 | | | | 497,896 | |
| | HBOS PLC | | 1% 30 Sep 2016 | | 7,200,000 | | | | 7,173,497 | |
| | HCP INC | | 3.75% 01 Feb 2016 | | 7,000,000 | | | | 7,009,856 | |
| | HEATHROW FUNDING LTD | | 4.875% 15 Jul 2023 | | 4,650,000 | | | | 4,995,648 | |
| | HP ENTERPRISE CO | | 2.45% 05 Oct 2017 | | 2,250,000 | | | | 2,248,092 | |
| | HP ENTERPRISE CO | | 2.85% 05 Oct 2018 | | 2,250,000 | | | | 2,248,745 | |
| | HSBC FINANCE CORP | | 1% 01 Jun 2016 | | 5,000,000 | | | | 4,991,060 | |
| | HSBC USA INC | | 1% 13 Nov 2019 | | 1,500,000 | | | | 1,477,601 | |
| | HSI ASSET SECURITIZATION CORPO | | 1% 25 Oct 2036 | | 29,478 | | | | 15,231 | |
| | HUMANA INC | | 2.625% 01 Oct 2019 | | 2,000,000 | | | | 2,005,060 | |
| | HUTCH WHAMPOA INT 14 LTD | | 1.625% 31 Oct 2017 | | 400,000 | | | | 396,469 | |
| | HYUNDAI CAPITAL AMERICA | | 1.45% 06 Feb 2017 | | 7,000,000 | | | | 6,967,331 | |
| | HYUNDAI CAPITAL AMERICA | | 1.875% 09 Aug 2016 | | 2,500,000 | | | | 2,503,438 | |
| | IMM EUR FUT OPT DEC16C 98.75 | | EXP 12/19/2016 | | (3,857,500 | ) | | | (723,281 | ) |
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| | IMM EUR FUT OPT DEC16P 98.75 | | EXP 12/19/2016 | | (3,857,500 | ) | | | (646,131 | ) |
| | IMPERIAL BRANDS FINANCE | | 2.05% 11 Feb 2018 | | 200,000 | | | | 199,095 | |
| | IMPERIAL BRANDS FINANCE | | 2.05% 11 Feb 2018 | | 4,000,000 | | | | 3,981,892 | |
| | IMPERIAL BRANDS FINANCE | | 2.95% 21 Jul 2020 | | 1,000,000 | | | | 1,001,960 | |
| | INDUSTRIAL BANK OF KOREA | | 2.375% 17 Jul 2017 | | 1,000,000 | | | | 1,006,253 | |
| | INTESA SANPAOLO SPA | | 2.375% 13 Jan 2017 | | 3,200,000 | | | | 3,210,406 | |
| | INTESA SANPAOLO SPA | | 3.125% 15 Jan 2016 | | 3,130,000 | | | | 3,131,562 | |
| | INTL LEASE FINANCE CORP | | 5.75% 15 May 2016 | | 200,000 | | | | 202,750 | |
| | JAPANESE YEN | | FOREIGN CURRENCY | | 57,536 | | | | 478 | |
* | | JP MORGAN CHASE BANK NA | | 1% 13 Jun 2016 | | 700,000 | | | | 698,960 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 12 Jun 2043 | | 8,519,163 | | | | 8,529,719 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 3.341% 15 Jul 2046 | | 4,645,534 | | | | 4,651,543 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.42% 15 Jan 2049 | | 8,601,851 | | | | 8,779,086 | |
* | | JP MORGAN MORTGAGE TRUST | | 1% 25 Jul 2035 | | 832,407 | | | | 802,114 | |
* | | JPMORGAN CHASE + CO | | 1% 25 Jan 2018 | | 10,400,000 | | | | 10,421,393 | |
* | | JPMORGAN CHASE + CO | | 1% 29 Oct 2020 | | 14,000,000 | | | | 14,136,556 | |
| | KANSAS CITY SOUTHERN | | 1% 28 Oct 2016 | | 9,500,000 | | | | 9,386,893 | |
| | KEB HANA BANK | | 1% 09 Nov 2016 | | 1,000,000 | | | | 1,002,220 | |
| | KEB HANA BANK | | 3.5% 25 Oct 2017 | | 2,525,000 | | | | 2,574,869 | |
| | KEB HANA BANK | | 4% 03 Nov 2016 | | 4,000,000 | | | | 4,077,772 | |
| | KINDER MORGAN ENER PART | | 3.5% 01 Mar 2016 | | 2,800,000 | | | | 2,809,002 | |
| | KINDER MORGAN ENER PART | | 5.8% 01 Mar 2021 | | 500,000 | | | | 497,709 | |
| | KINDER MORGAN FIN CO LLC | | 6% 15 Jan 2018 | | 5,500,000 | | | | 5,545,441 | |
| | KINDER MORGAN INC/DELAWA | | 4.3% 01 Jun 2025 | | 200,000 | | | | 172,801 | |
| | KINDER MORGAN INC/DELAWA | | 7.25% 01 Jun 2018 | | 7,300,000 | | | | 7,580,152 | |
| | KLA TENCOR CORP | | 3.375% 01 Nov 2019 | | 500,000 | | | | 505,139 | |
| | KOOKMIN BANK | | 1% 27 Jan 2017 | | 2,500,000 | | | | 2,507,998 | |
| | KOREA DEVELOPMENT BANK | | 1% 22 Jan 2016 | | 935,000 | | | | 934,863 | |
| | KOREA DEVELOPMENT BANK | | 1% 22 Jan 2017 | | 9,000,000 | | | | 9,003,663 | |
| | KOREA DEVELOPMENT BANK | | 3.875% 04 May 2017 | | 1,200,000 | | | | 1,230,828 | |
| | KOREA GAS CORP | | 2.25% 25 Jul 2017 | | 2,000,000 | | | | 2,009,788 | |
| | KOREA LAND + HOUSING COR | | 1.875% 02 Aug 2017 | | 1,000,000 | | | | 997,697 | |
| | KOREA NATIONAL OIL CORP | | 3.125% 03 Apr 2017 | | 2,000,000 | | | | 2,030,700 | |
| | KOREA NATIONAL OIL CORP | | 3.125% 03 Apr 2017 | | 1,000,000 | | | | 1,015,350 | |
| | KOREA NATIONAL OIL CORP | | 4% 27 Oct 2016 | | 550,000 | | | | 561,001 | |
| | KOREA SOUTH EAST POWER | | 3.625% 29 Jan 2017 | | 1,300,000 | | | | 1,322,107 | |
| | KOREA WESTERN POWER CO | | 3.125% 10 May 2017 | | 7,900,000 | | | | 8,016,501 | |
| | KRAFT HEINZ FOODS CO | | 2% 02 Jul 2018 | | 3,900,000 | | | | 3,881,592 | |
| | KT CORP | | 1.75% 22 Apr 2017 | | 2,000,000 | | | | 1,994,020 | |
| | KT CORP | | 2.625% 22 Apr 2019 | | 3,090,000 | | | | 3,096,795 | |
| | L 3 COMMUNICATIONS CORP | | 1.5% 28 May 2017 | | 850,000 | | | | 839,469 | |
| | LBI POST DISTRIBUTION CLAIM | | 0.01% 31 Dec 2060 | | 108,397 | | | | 42,817 | |
| | LEASEPLAN CORPORATION NV | | 2.5% 16 May 2018 | | 3,700,000 | | | | 3,644,030 | |
| | LEASEPLAN CORPORATION NV | | 2.875% 22 Jan 2019 | | 400,000 | | | | 394,850 | |
| | LEASEPLAN CORPORATION NV | | 3% 23 Oct 2017 | | 1,200,000 | | | | 1,203,629 | |
| | LEHMAN BROTHERS HOLDINGS | | 1% 23 Jan 2009 | | 5,300,000 | | | | 377,625 | |
| | LEHMAN XS TRUST | | 1% 25 Apr 2046 | | 0 | | | | 0 | |
| | LETRA TESOURO NACIONAL | | 0.01% 01 Jul 2016 | | 55,750,000 | | | | 13,142,486 | |
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| | LLOYDS BANK PLC | | 1.75% 14 May 2018 | | 3,000,000 | | | | 2,993,523 | |
| | LONG BEACH MORTGAGE LOAN TRUST | | 1% 25 Oct 2034 | | 3,092 | | | | 2,892 | |
| | LOWE S COS INC | | 1% 10 Sep 2019 | | 1,200,000 | | | | 1,192,717 | |
| | LSI OPEN POSITION NET ASSET | | 0.01% 31 Dec 2060 | | 102,460 | | | | 8,197 | |
| | MACQUARIE BANK LTD | | 1.6% 27 Oct 2017 | | 400,000 | | | | 397,082 | |
| | MACQUARIE GROUP LTD | | 3% 03 Dec 2018 | | 9,000,000 | | | | 9,083,016 | |
| | MACQUARIE GROUP LTD | | 4.875% 10 Aug 2017 | | 4,892,000 | | | | 5,063,186 | |
| | MARATHON OIL CORP | | 2.7% 01 Jun 2020 | | 1,388,000 | | | | 1,223,859 | |
| | MARRIOTT INTERNATIONAL | | 3.125% 15 Oct 2021 | | 300,000 | | | | 299,474 | |
| | MASSACHUSETTS EDUCATIONAL FINA | | 1% 25 Apr 2038 | | 778,885 | | | | 775,115 | |
| | MASTR ALTERNATIVE LOANS TRUST | | 1% 25 Mar 2036 | | 342,982 | | | | 83,170 | |
| | MCGRAW HILL FINANCIAL IN | | 3.3% 14 Aug 2020 | | 2,500,000 | | | | 2,521,363 | |
| | MCKESSON CORP | | 1.292% 10 Mar 2017 | | 1,270,000 | | | | 1,266,430 | |
| | MEDTRONIC INC | | 2.5% 15 Mar 2020 | | 4,000,000 | | | | 4,028,380 | |
| | MEXICAN PESO (NEW) | | FOREIGN CURRENCY | | 3,762,048 | | | | 217,823 | |
| | MGM MIRAGE | | 1% 20 Dec 2019 | | 4,947,000 | | | | 4,872,795 | |
| | MIZUHO BANK LTD | | 1.55% 17 Oct 2017 | | 1,600,000 | | | | 1,587,392 | |
| | MIZUHO BANK LTD | | 1.55% 17 Oct 2017 | | 1,700,000 | | | | 1,686,604 | |
| | MIZUHO BANK LTD | | 1.7% 25 Sep 2017 | | 5,300,000 | | | | 5,273,871 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 5.172% 12 Dec 2049 | | 6,221,516 | | | | 6,321,926 | |
| | MORGAN STANLEY | | 1.875% 05 Jan 2018 | | 3,570,000 | | | | 3,566,494 | |
| | MORGAN STANLEY CAP SVCS COC | | SWAP CASH COLLATERAL USD | | 10,000 | | | | 10,000 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 5.319% 15 Dec 2043 | | 1,921,297 | | | | 1,959,561 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 5.439% 12 Feb 2044 | | 140,684 | | | | 140,536 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 5.809% 12 Dec 2049 | | 1,530,007 | | | | 1,598,243 | |
| | MORGAN STANLEY CAPITAL INC | | 1% 25 Jul 2037 | | 270,371 | | | | 264,895 | |
| | MORGAN STANLEY MORTGAGE LOAN T | | 1% 25 Apr 2037 | | 114,312 | | | | 84,019 | |
| | MORGAN STANLEY MORTGAGE LOAN T | | 1% 25 Jul 2047 | | 180,805 | | | | 142,682 | |
| | MORGAN STANLEY REREMIC TRUST | | 1% 12 Aug 2045 | | 1,964,950 | | | | 2,018,619 | |
| | MOTOROLA SOLUTIONS INC | | 3.5% 01 Sep 2021 | | 1,100,000 | | | | 1,034,733 | |
| | MUFG UNION BANK NA | | 2.125% 16 Jun 2017 | | 245,000 | | | | 246,516 | |
| | MYLAN INC | | 1.35% 29 Nov 2016 | | 2,000,000 | | | | 1,983,230 | |
| | NAVIENT CORP | | 8.45% 15 Jun 2018 | | 1,500,000 | | | | 1,578,750 | |
| | NCUA GUARANTEED NOTES | | 1% 06 Nov 2017 | | 0 | | | | 0 | |
| | NCUA GUARANTEED NOTES | | 2.65% 29 Oct 2020 | | 1,670,636 | | | | 1,673,701 | |
| | NCUA GUARANTEED NOTES | | 2.9% 29 Oct 2020 | | 2,581,260 | | | | 2,574,962 | |
| | ORANGE SA | | 2.75% 14 Sep 2016 | | 2,000,000 | | | | 2,022,470 | |
| | ORIX CORP | | 5% 12 Jan 2016 | | 8,000,000 | | | | 8,004,992 | |
| | PENERBANGAN MALAYSIA BHD | | 5.625% 15 Mar 2016 | | 5,000,000 | | | | 5,039,935 | |
| | PENNSYLVANIA ELECTRIC CO | | 5.2% 01 Apr 2020 | | 1,300,000 | | | | 1,385,872 | |
| | PENSKE TRUCK LEASING/PTL | | 2.5% 15 Mar 2016 | | 3,300,000 | | | | 3,305,709 | |
| | PEPPERDINE UNIV | | 5.45% 01 Aug 2019 | | 2,495,000 | | | | 2,779,779 | |
| | PERRIGO CO PLC | | 1.3% 08 Nov 2016 | | 1,780,000 | | | | 1,767,412 | |
| | PETROBRAS GLOBAL FINANCE | | 1% 15 Jan 2019 | | 500,000 | | | | 380,000 | |
| | PETROBRAS GLOBAL FINANCE | | 1% 17 Mar 2017 | | 8,200,000 | | | | 7,513,250 | |
| | PETROBRAS GLOBAL FINANCE | | 1% 17 Mar 2020 | | 1,100,000 | | | | 781,000 | |
| | PETROBRAS GLOBAL FINANCE | | 2% 20 May 2016 | | 1,400,000 | | | | 1,379,000 | |
| | PHILIP MORRIS INTL INC | | 3.25% 10 Nov 2024 | | 400,000 | | | | 402,113 | |
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| | PIONEER NATURAL RESOURCE | | 6.875% 01 May 2018 | | 1,300,000 | | | | 1,381,060 | |
| | PLAINS ALL AMER PIPELINE | | 2.6% 15 Dec 2019 | | 2,900,000 | | | | 2,571,697 | |
| | PLAINS ALL AMER PIPELINE | | 6.5% 01 May 2018 | | 2,600,000 | | | | 2,685,080 | |
| | POUND STERLING | | FOREIGN CURRENCY | | 708,004 | | | | 1,043,528 | |
| | QUALCOMM INC | | 3% 20 May 2022 | | 7,300,000 | | | | 7,226,839 | |
| | RBSCF TRUST | | 1% 16 Jan 2049 | | 2,256,444 | | | | 2,293,293 | |
| | RCI BANQUE SA | | 4.6% 12 Apr 2016 | | 1,169,000 | | | | 1,178,933 | |
| | REGENCY ENERGY PART/FINA | | 5.75% 01 Sep 2020 | | 2,000,000 | | | | 1,953,820 | |
| | REGIONS BANK | | 7.5% 15 May 2018 | | 494,000 | | | | 548,903 | |
| | RESIDENTIAL ACCREDIT LOANS, IN | | 1% 25 Jun 2046 | | 612,872 | | | | 257,725 | |
| | RESIDENTIAL ACCREDIT LOANS, IN | | 6% 25 Jun 2036 | | 834,659 | | | | 688,669 | |
| | RESIDENTIAL ASSET SECURITIZATI | | 1% 25 Jan 2046 | | 659,362 | | | | 326,851 | |
| | REYNOLDS AMERICAN INC | | 2.3% 12 Jun 2018 | | 2,000,000 | | | | 2,012,562 | |
| | REYNOLDS AMERICAN INC | | 3.25% 12 Jun 2020 | | 4,100,000 | | | | 4,166,842 | |
| | RIO TINTO FIN USA PLC | | 1.375% 17 Jun 2016 | | 1,825,000 | | | | 1,823,936 | |
| | ROYAL BK OF SCOTLAND PLC | | 1% 16 Mar 2022 | | 1,500,000 | | | | 1,621,098 | |
| | ROYAL BK OF SCOTLAND PLC | | 1% 19 Mar 2022 | | 1,200,000 | | | | 960,969 | |
| | SABINE PASS LNG LP | | 7.5% 30 Nov 2016 | | 2,000,000 | | | | 1,990,000 | |
| | SABMILLER HOLDINGS INC | | 3.75% 15 Jan 2022 | | 2,200,000 | | | | 2,262,665 | |
| | SANTANDER BANK NA | | 1% 12 Jan 2018 | | 2,500,000 | | | | 2,482,083 | |
| | SCRIPPS NETWORKS INTERAC | | 3.5% 15 Jun 2022 | | 3,400,000 | | | | 3,271,354 | |
| | SECURITIZED ASSET BACKED RECEI | | 1% 25 Oct 2035 | | 2,900,000 | | | | 2,801,497 | |
| | SELKIRK LIMITED | | 1.86% 20 Dec 2041 | | 600,273 | | | | 598,826 | |
| | SHELL INTERNATIONAL FIN | | 1% 11 May 2020 | | 5,000,000 | | | | 4,926,765 | |
| | SIEMENS FINANCIERINGSMAT | | 2.9% 27 May 2022 | | 4,450,000 | | | | 4,448,229 | |
| | SINOPEC GRP OVERSEA 2012 | | 2.75% 17 May 2017 | | 2,500,000 | | | | 2,521,280 | |
| | SINOPEC GRP OVERSEA 2014 | | 1% 10 Apr 2017 | | 1,000,000 | | | | 998,461 | |
| | SINOPEC GRP OVERSEA 2014 | | 1.75% 10 Apr 2017 | | 7,050,000 | | | | 7,024,747 | |
| | SK TELECOM CO LTD | | 2.125% 01 May 2018 | | 1,428,000 | | | | 1,421,438 | |
| | SL GREEN REALTY CORP | | 5% 15 Aug 2018 | | 3,100,000 | | | | 3,252,827 | |
| | SLC STUDENT LOAN TRUST | | 1% 15 Jun 2021 | | 5,600,000 | | | | 5,431,085 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Apr 2023 | | 3,786,719 | | | | 3,789,302 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Jan 2022 | | 3,000,000 | | | | 2,853,518 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Oct 2017 | | 136,795 | | | | 136,782 | |
| | SMALL BUSINESS ADMINISTRATION | | 5.725% 10 Sep 2018 | | 45,586 | | | | 47,348 | |
| | SOUTHWESTERN ENERGY CO | | 4.05% 23 Jan 2020 | | 1,100,000 | | | | 797,500 | |
| | SPRINT COMMUNICATIONS | | 6% 01 Dec 2016 | | 8,450,000 | | | | 8,434,156 | |
| | SPRINT COMMUNICATIONS | | 9.125% 01 Mar 2017 | | 5,000,000 | | | | 5,087,500 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 143,981 | | | | 143,981 | |
| | STANDARD CHARTERED PLC | | 3.2% 12 May 2016 | | 1,400,000 | | | | 1,410,077 | |
| | STRUCTURED ASSET MORTGAGE INVE | | 1% 25 Apr 2036 | | 636,620 | | | | 451,699 | |
| | STRUCTURED ASSET MORTGAGE INVE | | 1% 25 May 2036 | | 1,376,874 | | | | 1,075,473 | |
| | SUMITOMO MITSUI BANKING | | 1% 23 Jul 2018 | | 2,000,000 | | | | 1,995,202 | |
| | SUMITOMO MITSUI BANKING | | 1.75% 16 Jan 2018 | | 375,000 | | | | 373,572 | |
| | SUNTORY HOLDINGS LTD | | 1.65% 29 Sep 2017 | | 1,500,000 | | | | 1,489,610 | |
| | SWAP BARCLAYS BANK BOC | | TBA CASH COLLATERALL USD | | (290,000 | ) | | | (290,000 | ) |
| | SWAP BNP PARIBAS BOC | | SWAP CASH COLLATERAL USD | | (530,000 | ) | | | (530,000 | ) |
| | SWAP DEUTSCHE BANK BOC | | SWAP CASH COLLATERAL USD | | (280,000 | ) | | | (280,000 | ) |
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* | | SWAP JP MORGAN BOC | | SWAP CASH COLLATERAL USD | | (1,230,000 | ) | | | (1,230,000 | ) |
| | SWPC0AGA6 CDS USD P V 03MEVENT | | 1% 20 Sep 2020 | | (4,200,000 | ) | | | (4,200,000 | ) |
| | SWPC0AGA6 CDS USD R F 1.00000 | | 1% 20 Sep 2020 | | 4,200,000 | | | | 4,081,655 | |
| | SWPC0B3Y6 CDS EUR P V 03MEVENT | | 1% 20 Dec 2020 | | (2,100,000 | ) | | | (2,281,230 | ) |
| | SWPC0B3Y6 CDS EUR R F 1.00000 | | 1% 20 Dec 2020 | | 2,100,000 | | | | 2,270,831 | |
| | SWPC0B417 CDS EUR P V 03MEVENT | | 1% 20 Dec 2020 | | (2,200,000 | ) | | | (2,389,860 | ) |
| | SWPC0B417 CDS EUR R F 1.00000 | | 1% 20 Dec 2020 | | 2,200,000 | | | | 2,378,966 | |
| | SWU00EMN3 IRS MXN P V 01MTIIE | | 1% 05 Oct 2017 | | (411,400,000 | ) | | | (23,820,070 | ) |
| | SWU00EMN3 IRS MXN R F 4.19500 | | 4.195% 05 Oct 2017 | | 411,400,000 | | | | 23,777,834 | |
| | SWU00ERE8 IRS CAD P V 03MCDOR | | 1% 15 Dec 2017 | | (139,200,000 | ) | | | (100,208,768 | ) |
| | SWU00ERE8 IRS CAD R F 1.00000 | | 1% 15 Dec 2017 | | 139,200,000 | | | | 100,343,278 | |
| | SYNCHRONY FINANCIAL | | 1% 03 Feb 2020 | | 2,075,000 | | | | 2,042,217 | |
| | SYNCHRONY FINANCIAL | | 1.875% 15 Aug 2017 | | 2,670,000 | | | | 2,657,761 | |
| | TELEFONICA EMISIONES SAU | | 3.992% 16 Feb 2016 | | 2,000,000 | | | | 2,005,502 | |
| | TELEFONICA EMISIONES SAU | | 6.221% 03 Jul 2017 | | 5,205,000 | | | | 5,531,666 | |
| | TELEFONICA EMISIONES SAU | | 6.421% 20 Jun 2016 | | 170,000 | | | | 173,907 | |
| | TELSTRA CORP LTD | | 3.125% 07 Apr 2025 | | 3,700,000 | | | | 3,550,971 | |
| | THERMO FISHER SCIENTIFIC | | 1.3% 01 Feb 2017 | | 1,840,000 | | | | 1,833,494 | |
| | THOMSON REUTERS CORP | | 0.875% 23 May 2016 | | 2,035,000 | | | | 2,033,413 | |
| | TOYOTA MOTOR CREDIT CORP | | 1.45% 12 Jan 2018 | | 1,260,000 | | | | 1,257,603 | |
| | TRANSALTA CORP | | 1.9% 03 Jun 2017 | | 1,880,000 | | | | 1,825,845 | |
| | TSY INFL IX N/B | | 0.125% 15 Apr 2020 | | 21,328,230 | | | | 21,056,359 | |
| | UBS AG STAMFORD CT | | 1% 14 Aug 2019 | | 8,000,000 | | | | 7,937,872 | |
| | UBS AG STAMFORD CT | | 1% 26 Mar 2018 | | 5,600,000 | | | | 5,589,634 | |
| | UBS GROUP FUNDING | | 2.95% 24 Sep 2020 | | 200,000 | | | | 198,133 | |
| | US 10YR FUT OPTN MAR16C 128 | | EXP 02/19/2016 | | 370,000 | | | | 86,719 | |
| | US 5YR FUTR OPTN MAR16P 117.7 | | EXP 02/19/2016 | | (202,000 | ) | | | (61,547 | ) |
| | US BANK NA CINCINNATI | | 1% 28 Oct 2019 | | 10,500,000 | | | | 10,423,455 | |
| | US DOLLAR | | | | 1,310,255 | | | | 1,310,255 | |
| | US TREASURY N/B | | 0.75% 31 Oct 2017 | | 236,600,000 | | | | 235,343,181 | |
| | USG CORP | | 6.3% 15 Nov 2016 | | 2,000,000 | | | | 2,066,200 | |
| | USG CORP | | 7.875% 30 Mar 2020 | | 842,000 | | | | 881,995 | |
| | VERIZON COMMUNICATIONS | | 1% 14 Sep 2018 | | 2,000,000 | | | | 2,047,872 | |
| | VERIZON COMMUNICATIONS | | 1.35% 09 Jun 2017 | | 11,295,000 | | | | 11,262,391 | |
| | VERIZON COMMUNICATIONS | | 2.625% 21 Feb 2020 | | 4,300,000 | | | | 4,314,951 | |
| | VOLKSWAGEN GROUP AMERICA | | 1.25% 23 May 2017 | | 500,000 | | | | 488,048 | |
| | WALGREENS BOOTS ALLIANCE | | 1% 18 May 2016 | | 1,000,000 | | | | 996,529 | |
| | WALGREENS BOOTS ALLIANCE | | 1.75% 17 Nov 2017 | | 4,275,000 | | | | 4,266,659 | |
| | WAMU MORTGAGE PASS THROUGH CER | | 1% 25 Aug 2046 | | 1,079,366 | | | | 894,830 | |
| | WAMU MORTGAGE PASS THROUGH CER | | 1% 25 Aug 2046 | | 802,044 | | | | 715,840 | |
| | WAMU MORTGAGE PASS THROUGH CER | | 1% 25 Jul 2047 | | 403,534 | | | | 325,053 | |
| | WAMU MORTGAGE PASS THROUGH CER | | 1% 25 Jun 2044 | | 1,320,423 | | | | 1,222,663 | |
| | WAMU MORTGAGE PASS THROUGH CER | | 1% 25 Sep 2033 | | 243,578 | | | | 240,980 | |
| | WEATHERFORD BERMUDA | | 5.5% 15 Feb 2016 | | 1,000,000 | | | | 995,000 | |
| | WELLS FARGO + COMPANY | | 1% 14 Sep 2018 | | 6,400,000 | | | | 6,350,867 | |
| | WELLS FARGO + COMPANY | | 1% 22 Apr 2019 | | 5,800,000 | | | | 5,739,349 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Dec 2033 | | 167,578 | | | | 168,508 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Dec 2033 | | 253,641 | | | | 252,094 | |
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| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Feb 2034 | | 956,714 | | | | 966,405 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Mar 2036 | | 409,596 | | | | 406,783 | |
| | WESFARMERS LTD | | 1.874% 20 Mar 2018 | | 500,000 | | | | 496,300 | |
| | WILLIAMS PARTNERS LP | | 3.6% 15 Mar 2022 | | 935,000 | | | | 735,302 | |
| | WOODSIDE FINANCE LTD | | 3.65% 05 Mar 2025 | | 1,100,000 | | | | 974,280 | |
| | WOODSIDE FINANCE LTD | | 4.6% 10 May 2021 | | 2,300,000 | | | | 2,331,680 | |
| | ZF NA CAPITAL | | 4% 29 Apr 2020 | | 5,500,000 | | | | 5,545,375 | |
| | ZOETIS INC | | 1.15% 01 Feb 2016 | | 2,550,000 | | | | 2,549,546 | |
| | Currency Contract | | AUD/USD | | | | | | 8,085 | |
| | Currency Contract | | USD/AUD | | | | | | (154,483 | ) |
| | Currency Contract | | BRL/USD | | | | | | (96,075 | ) |
| | Currency Contract | | USD/BRL | | | | | | 2,776,363 | |
| | Currency Contract | | USD/CAD | | | | | | 16,962 | |
| | Currency Contract | | DKK/USD | | | | | | 5,637 | |
| | Currency Contract | | USD/EUR | | | | | | (271,095 | ) |
| | Currency Contract | | EUR/USD | | | | | | (11,274 | ) |
| | Currency Contract | | JPY/USD | | | | | | 273,202 | |
| | Currency Contract | | USD/JPY | | | | | | (365,182 | ) |
| | Currency Contract | | USD/MXN | | | | | | 742 | |
| | Currency Contract | | USD/GBP | | | | | | 143,040 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5736 6 of 16 | | | | | | $ | 1,155,860,997 | |
| | | | | | | | | | | | |
| | | | (c) Description of investment including maturity date, | | | | (e) Fair | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | rate of interest, collateral, par, or maturity value | | (d) Cost | | value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 3175CC842 OTC EPUT FN 3.5 | | JAN16 102.6015625 PUT | | (3,000,000 | ) | | | $ | (492 | ) |
| | 3175CC941 OTC ECAL FN 3.0 | | JAN16 100.0234375 CALL | | (2,000,000 | ) | | | (3,712 | ) |
| | 3175CC958 OTC ECAL FN 3.5 | | JAN16 103.28125 CALL | | (12,000,000 | ) | | | (12,716 | ) |
| | 3175CC982 OTC ECAL FN 3.0 | | JAN16 100.375 CALL | | (1,000,000 | ) | | | (635 | ) |
| | 3175GC038 OTC ECAL FN 3.5 | | JAN16 103.4921875 CALL | | (12,000,000 | ) | | | (5,264 | ) |
| | 3175GC186 OTC ECAL FN 3.5 | | FEB16 103.5703125 CALL | | (5,000,000 | ) | | | (11,397 | ) |
| | 3175GC251 OTC ECAL FN 3.5 | | FEB16 103.6835938 CALL | | (4,000,000 | ) | | | (7,756 | ) |
| | BANC OF AMERICA COMMERCIAL MOR | | 5.356% 10 Oct 2045 | | 3,877,000 | | | | 3,925,277 | |
| | BANC OF AMERICA MERRILL LYNCH | | 1% 15 Jan 2028 | | 400,000 | | | | 396,394 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 Feb 2035 | | 774,173 | | | | 698,917 | |
| | BEAR STEARNS ADJUSTABLE RATE M | | 1% 25 Jul 2033 | | 1,385,383 | | | | 1,363,617 | |
| | BEAR STEARNS COMMERCIAL MORTGA | | 5.331% 11 Feb 2044 | | 2,946,216 | | | | 3,029,036 | |
| | BWU00D7P7 IRS USD R V 03MLIBOR CCP CME/BWU00D7P7 IRS USD P F 2.75000 CCP CME | | 1% 16 Dec 2045 | | 8,800,000 | | | | (168,088 | ) |
| | BWU00D8Q4 IRS USD R V 03MLIBOR SWUV0D8Q6 CCPVANILLA/BWU00D8Q4 IRS USD P F 1.75000 SWU00D8Q4 CCPVANILLA | | 1% 16 Dec 2018 | | 13,700,000 | | | | (140,235 | ) |
| | CITIGROUP COMMERCIAL MORTGAGE | | 3.431% 10 Jun 2048 | | 3,500,000 | | | | 3,568,562 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 3.522% 10 Sep 2058 | | 500,000 | | | | 508,670 | |
| | CITIGROUP MORTGAGE LOAN TRUST | | 1% 25 Nov 2036 | | 1,910,217 | | | | 1,624,156 | |
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| | COMM MORTGAGE TRUST | | 3.142% 10 Feb 2048 | | 4,800,000 | | | | 4,818,315 | |
| | COMM MORTGAGE TRUST | | 3.178% 10 Feb 2035 | | 1,130,000 | | | | 1,107,337 | |
| | COUNTRYWIDE ALTERNATIVE LOAN T | | 5.5% 25 Oct 2035 | | 3,982,202 | | | | 3,716,895 | |
| | COUNTRYWIDE HOME LOANS | | 6% 25 May 2037 | | 3,237,497 | | | | 2,902,219 | |
| | CREDIT SUISSE FIRST BOSTON MOR | | 5.5% 25 Apr 2033 | | 1,131,921 | | | | 1,153,176 | |
| | CREDIT SUISSE FIRST BOSTON MOR | | 5.75% 22 Apr 2033 | | 254,073 | | | | 259,721 | |
| | CREDIT SUISSE MORTGAGE TRUST | | 1% 15 Jun 2039 | | 5,062,245 | | | | 5,197,259 | |
| | DEUTSCHE CASH COLL | | 1% 31 Dec 2030 | | (20,000 | ) | | | (20,000 | ) |
| | FANNIE DISCOUNT NOTE | | 0.01% 02 Feb 2016 | | 200,000 | | | | 199,960 | |
| | FANNIE DISCOUNT NOTE | | 0.01% 03 Feb 2016 | | 100,000 | | | | 99,979 | |
| | FANNIE MAE | | 0.01% 25 Jan 2040 | | 300,182 | | | | 262,318 | |
| | FANNIE MAE | | 1% 25 Aug 2023 | | 1,431,769 | | | | 1,630,817 | |
| | FANNIE MAE | | 1% 25 Feb 2043 | | 2,723,464 | | | | 414,665 | |
| | FANNIE MAE | | 1% 25 Jul 2042 | | 2,580,855 | | | | 464,415 | |
| | FANNIE MAE | | 1% 25 Jun 2037 | | 258,094 | | | | 312,447 | |
| | FANNIE MAE | | 1% 25 Mar 2036 | | 2,721,569 | | | | 541,598 | |
| | FANNIE MAE | | 1% 25 Mar 2037 | | 4,503,855 | | | | 769,158 | |
| | FANNIE MAE | | 1% 25 May 2037 | | 2,188,034 | | | | 347,051 | |
| | FANNIE MAE | | 1% 25 Nov 2024 | | 1,134,838 | | | | 138,628 | |
| | FANNIE MAE | | 1% 25 Nov 2039 | | 152,556 | | | | 179,019 | |
| | FANNIE MAE | | 1% 25 Oct 2034 | | 6,285,803 | | | | 1,172,628 | |
| | FANNIE MAE | | 1% 25 Oct 2035 | | 10,444,078 | | | | 2,136,078 | |
| | FANNIE MAE | | 1% 25 Oct 2042 | | 340,075 | | | | 328,621 | |
| | FANNIE MAE | | 1% 25 Oct 2042 | | 3,124,151 | | | | 487,003 | |
| | FANNIE MAE | | 2.75% 25 May 2020 | | 32,266 | | | | 32,772 | |
| | FANNIE MAE | | 3% 25 Jan 2042 | | 1,982,521 | | | | 243,665 | |
| | FANNIE MAE | | 3% 25 Mar 2042 | | 2,064,565 | | | | 253,533 | |
| | FANNIE MAE | | 3% 25 Nov 2045 | | 1,455,092 | | | | 1,486,193 | |
| | FANNIE MAE | | 3.5% 25 Mar 2042 | | 1,720,763 | | | | 1,660,948 | |
| | FANNIE MAE | | 4% 25 May 2042 | | 3,269,786 | | | | 431,225 | |
| | FANNIE MAE | | 4% 25 Nov 2042 | | 1,646,741 | | | | 290,243 | |
| | FANNIE MAE | | 5.5% 25 Aug 2035 | | 2,361,800 | | | | 2,666,991 | |
| | FANNIE MAE | | 6% 25 Dec 2039 | | 548,337 | | | | 705,088 | |
| | FANNIE MAE | | 6% 25 Sep 2031 | | 2,412,825 | | | | 2,731,991 | |
| | FANNIE MAE | | 6.5% 25 Jul 2029 | | 943,656 | | | | 1,078,340 | |
| | FANNIE MAE | | 6.5% 25 Sep 2029 | | 1,162,035 | | | | 1,279,188 | |
| | FANNIE MAE | | 7% 25 Jul 2039 | | 1,183,784 | | | | 1,367,569 | |
| | FANNIEMAE ACES | | 1% 25 Aug 2018 | | 17,637,590 | | | | 2,010,156 | |
| | FANNIEMAE ACES | | 1% 25 Jan 2022 | | 3,373,636 | | | | 321,517 | |
| | FANNIEMAE ACES | | 1% 25 Jun 2025 | | 800,000 | | | | 787,890 | |
| | FANNIEMAE ACES | | 1% 25 Jun 2031 | | 4,953,638 | | | | 5,178,400 | |
| | FANNIEMAE ACES | | 1% 25 Nov 2022 | | 1,200,000 | | | | 1,199,024 | |
| | FANNIEMAE WHOLE LOAN | | 1% 25 Aug 2037 | | 1,052,933 | | | | 1,131,168 | |
| | FED HM LN PC POOL A43389 | | 5.5% 01 Feb 2036 | | 109,426 | | | | 121,485 | |
| | FED HM LN PC POOL A93101 | | 5% 01 Jul 2040 | | 447,529 | | | | 491,446 | |
| | FED HM LN PC POOL A96488 | | 5% 01 Jan 2041 | | 1,053,524 | | | | 1,160,798 | |
| | FED HM LN PC POOL B14914 | | 5% 01 Jun 2019 | | 4,367 | | | | 4,517 | |
| | FED HM LN PC POOL B15130 | | 5% 01 Jun 2019 | | 136,851 | | | | 141,557 | |
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| | FED HM LN PC POOL B15170 | | 5% 01 Jul 2019 | | 32,109 | | | | 33,349 | |
| | FED HM LN PC POOL C91030 | | 5.5% 01 May 2027 | | 159,511 | | | | 176,168 | |
| | FED HM LN PC POOL C91256 | | 5% 01 Jun 2029 | | 92,327 | | | | 100,779 | |
| | FED HM LN PC POOL E01479 | | 3.5% 01 Sep 2018 | | 644,798 | | | | 674,153 | |
| | FED HM LN PC POOL G01827 | | 4.5% 01 Jun 2035 | | 266,920 | | | | 288,676 | |
| | FED HM LN PC POOL G01838 | | 5% 01 Jul 2035 | | 784,940 | | | | 866,063 | |
| | FED HM LN PC POOL G01912 | | 5% 01 Sep 2035 | | 28,531 | | | | 31,421 | |
| | FED HM LN PC POOL G02123 | | 5.5% 01 Mar 2036 | | 30,301 | | | | 33,655 | |
| | FED HM LN PC POOL G02254 | | 5.5% 01 Mar 2036 | | 18,897 | | | | 21,008 | |
| | FED HM LN PC POOL G04092 | | 5.5% 01 Mar 2038 | | 64,533 | | | | 71,524 | |
| | FED HM LN PC POOL G05267 | | 5.5% 01 Dec 2038 | | 355,543 | | | | 395,487 | |
| | FED HM LN PC POOL G06193 | | 5.5% 01 May 2040 | | 297,147 | | | | 330,504 | |
| | FED HM LN PC POOL G06872 | | 5.5% 01 Sep 2039 | | 597,411 | | | | 667,465 | |
| | FED HM LN PC POOL G07786 | | 4% 01 Aug 2044 | | 4,059,151 | | | | 4,332,722 | |
| | FED HM LN PC POOL G08105 | | 5.5% 01 Jan 2036 | | 10,681 | | | | 11,876 | |
| | FED HM LN PC POOL G08540 | | 3% 01 Aug 2043 | | 0 | | | | 0 | |
| | FED HM LN PC POOL V81741 | | 3% 01 Apr 2045 | | 0 | | | | 0 | |
| | FED HM LN PC POOL Z60009 | | 5% 01 Apr 2024 | | 146,571 | | | | 159,899 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 14 Jan 2016 | | 1,700,000 | | | | 1,699,929 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 22 Jan 2016 | | 1,100,000 | | | | 1,099,918 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 26 Jan 2016 | | 100,000 | | | | 99,991 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 27 Jan 2016 | | 800,000 | | | | 799,841 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 28 Jan 2016 | | 500,000 | | | | 499,884 | |
| | FED HOME LN DISCOUNT NT | | 0.01% 29 Jan 2016 | | 750,000 | | | | 749,892 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Apr 2021 | | 12,045,293 | | | | 654,422 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Jan 2020 | | 21,291,960 | | | | 712,944 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Jan 2023 | | 11,117,322 | | | | 508,803 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Jun 2021 | | 5,705,859 | | | | 316,322 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Nov 2019 | | 7,038,920 | | | | 298,197 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Nov 2022 | | 4,219,235 | | | | 240,778 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1.655% 25 Nov 2016 | | 669,845 | | | | 670,998 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 5.105% 25 May 2019 | | 5,475,000 | | | | 5,976,778 | |
| | FHLMC TBA 30 YR 3 | | 3% 14 Jan 2046 | | 3,000,000 | | | | 2,995,045 | |
| | FHLMC TBA 30 YR 3.5 | | 3.5% 11 Feb 2046 | | 5,000,000 | | | | 5,135,986 | |
| | FHLMC TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 3,000,000 | | | | 3,088,154 | |
| | FHLMC TBA 30 YR 4 | | 4% 11 Feb 2046 | | 1,000,000 | | | | 1,054,277 | |
| | FHLMC TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | 600,000 | | | | 646,350 | |
| | FNMA POOL 251890 | | 6.5% 01 Aug 2018 | | 16,873 | | | | 19,283 | |
| | FNMA POOL 254634 | | 5.5% 01 Feb 2023 | | 421,345 | | | | 469,127 | |
| | FNMA POOL 255059 | | 5.5% 01 Dec 2033 | | 2,198,777 | | | | 2,424,198 | |
| | FNMA POOL 310112 | | 1% 01 Jun 2019 | | 5,531,387 | | | | 5,715,525 | |
| | FNMA POOL 357985 | | 4.5% 01 Sep 2020 | | 11,302 | | | | 11,745 | |
| | FNMA POOL 429715 | | 6.5% 01 Apr 2018 | | 21,964 | | | | 25,102 | |
| | FNMA POOL 457274 | | 1% 01 Oct 2028 | | 6,177 | | | | 6,205 | |
| | FNMA POOL 499479 | | 6.5% 01 Jun 2029 | | 84,403 | | | | 96,459 | |
| | FNMA POOL 526993 | | 1% 01 Nov 2028 | | 272,754 | | | | 283,789 | |
| | FNMA POOL 559810 | | 1% 01 Aug 2040 | | 99,400 | | | | 101,851 | |
| | FNMA POOL 691210 | | 6% 01 Jan 2037 | | 58,008 | | | | 65,514 | |
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| | FNMA POOL 725352 | | 1% 01 Apr 2019 | | 6,048 | | | | 6,294 | |
| | FNMA POOL 725430 | | 1% 01 May 2019 | | 389,270 | | | | 405,830 | |
| | FNMA POOL 740518 | | 4.5% 01 Oct 2018 | | 5,133 | | | | 5,306 | |
| | FNMA POOL 745017 | | 1% 01 Jul 2020 | | 4,048 | | | | 4,215 | |
| | FNMA POOL 745150 | | 1% 01 Jun 2020 | | 621,241 | | | | 645,870 | |
| | FNMA POOL 745390 | | 1% 01 Feb 2036 | | 3,120,880 | | | | 3,304,364 | |
| | FNMA POOL 773398 | | 4.5% 01 May 2019 | | 4,917 | | | | 5,119 | |
| | FNMA POOL 775227 | | 4.5% 01 May 2019 | | 9,373 | | | | 9,723 | |
| | FNMA POOL 785677 | | 5% 01 Jul 2019 | | 19,322 | | | | 20,274 | |
| | FNMA POOL 785721 | | 5% 01 Jul 2019 | | 280,897 | | | | 294,810 | |
| | FNMA POOL 814000 | | 6% 01 Jun 2035 | | 60,122 | | | | 67,845 | |
| | FNMA POOL 831368 | | 6% 01 Apr 2036 | | 338,314 | | | | 383,125 | |
| | FNMA POOL 842121 | | 6% 01 Aug 2035 | | 7,462 | | | | 8,421 | |
| | FNMA POOL 888268 | | 1% 01 Mar 2037 | | 0 | | | | 0 | |
| | FNMA POOL 888889 | | 1% 01 Dec 2018 | | 43,352 | | | | 44,799 | |
| | FNMA POOL 889254 | | 1% 01 Jun 2021 | | 103,744 | | | | 107,226 | |
| | FNMA POOL 889506 | | 1% 01 Mar 2037 | | 0 | | | | 0 | |
| | FNMA POOL 890362 | | 1% 01 Aug 2041 | | 2,083,770 | | | | 2,287,127 | |
| | FNMA POOL 898318 | | 6% 01 Nov 2036 | | 30,999 | | | | 34,981 | |
| | FNMA POOL 899601 | | 5.5% 01 Jul 2047 | | 2,326,709 | | | | 2,517,381 | |
| | FNMA POOL 902551 | | 6% 01 Nov 2036 | | 11,055 | | | | 12,612 | |
| | FNMA POOL AA4483 | | 4.5% 01 Apr 2039 | | 0 | | | | 0 | |
| | FNMA POOL AA6435 | | 6% 01 May 2040 | | 108,167 | | | | 122,063 | |
| | FNMA POOL AB4049 | | 4% 01 Dec 2041 | | 765,868 | | | | 817,269 | |
| | FNMA POOL AB6244 | | 4% 01 Sep 2042 | | 2,334,383 | | | | 2,495,349 | |
| | FNMA POOL AB6535 | | 4% 01 Oct 2042 | | 5,344,623 | | | | 5,713,167 | |
| | FNMA POOL AB9589 | | 4% 01 Jun 2043 | | 3,983,012 | | | | 4,273,458 | |
| | FNMA POOL AB9957 | | 4% 01 Jul 2043 | | 6,446,980 | | | | 6,877,547 | |
| | FNMA POOL AC1254 | | 4% 01 Aug 2039 | | 70,271 | | | | 75,226 | |
| | FNMA POOL AE8349 | | 6% 01 Aug 2037 | | 22,412 | | | | 25,303 | |
| | FNMA POOL AK2411 | | 4% 01 Feb 2042 | | 490,070 | | | | 523,011 | |
| | FNMA POOL AK6297 | | 4% 01 Mar 2042 | | 211,837 | | | | 226,861 | |
| | FNMA POOL AK9808 | | 4% 01 Apr 2042 | | 17,147 | | | | 18,357 | |
| | FNMA POOL AL3784 | | 1% 01 Jul 2028 | | 0 | | | | 0 | |
| | FNMA POOL AL4042 | | 1% 01 Aug 2028 | | 0 | | | | 0 | |
| | FNMA POOL AL4287 | | 1% 01 Nov 2040 | | 1,601,460 | | | | 1,825,761 | |
| | FNMA POOL AL7824 | | 1% 01 Aug 2034 | | 5,600,267 | | | | 5,869,481 | |
| | FNMA POOL AM3528 | | 2.69% 01 Oct 2023 | | 12,000,000 | | | | 11,914,369 | |
| | FNMA POOL AM4660 | | 3.765% 01 Dec 2025 | | 3,800,000 | | | | 4,018,618 | |
| | FNMA POOL AP6059 | | 2% 01 Jun 2028 | | 0 | | | | 0 | |
| | FNMA POOL AS0752 | | 2% 01 Oct 2028 | | 0 | | | | 0 | |
| | FNMA POOL AS1410 | | 3% 01 Jan 2029 | | 949,907 | | | | 980,356 | |
| | FNMA POOL AS3498 | | 2.5% 01 Oct 2029 | | 658,420 | | | | 664,387 | |
| | FNMA POOL AS5590 | | 4% 01 Aug 2045 | | 1,845,869 | | | | 1,967,558 | |
| | FNMA POOL AS5715 | | 3% 01 Sep 2030 | | 972,183 | | | | 1,003,960 | |
| | FNMA POOL AS6431 | | 2.5% 01 Jan 2031 | | 3,341,576 | | | | 3,371,856 | |
| | FNMA POOL AU2898 | | 2% 01 Aug 2028 | | 0 | | | | 0 | |
| | FNMA POOL AV4429 | | 5% 01 Jan 2044 | | 363,183 | | | | 399,993 | |
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| | FNMA POOL AZ8086 | | 3.5% 01 Jul 2045 | | 1,493,552 | | | | 1,542,666 | |
| | FNMA POOL BA4378 | | 3.5% 01 Nov 2045 | | 2,220,526 | | | | 2,300,544 | |
| | FNMA POOL MA0045 | | 4% 01 Apr 2019 | | 76,393 | | | | 79,639 | |
| | FNMA POOL MA0357 | | 4% 01 Mar 2020 | | 34,638 | | | | 36,162 | |
| | FNMA POOL MA0476 | | 4.5% 01 Jul 2020 | | 9,344 | | | | 9,718 | |
| | FNMA POOL MA3904 | | 4% 01 Sep 2021 | | 325,870 | | | | 340,534 | |
| | FNMA POOL MB0150 | | 4% 01 Jun 2042 | | 26,673 | | | | 28,631 | |
| | FNMA TBA 15 YR 2.5 | | 2.5% 20 Jan 2031 | | (2,000,000 | ) | | | (2,015,810 | ) |
| | FNMA TBA 15 YR 3 | | 3% 20 Jan 2031 | | 2,000,000 | | | | 2,060,286 | |
| | FNMA TBA 15 YR 3.5 | | 3.5% 20 Jan 2031 | | 4,000,000 | | | | 4,188,908 | |
| | FNMA TBA 15 YR 4.5 | | 4.5% 20 Jan 2031 | | 500,000 | | | | 516,672 | |
| | FNMA TBA 15 YR 4.5 | | 4.5% 20 Jan 2031 | | (6,500,000 | ) | | | (6,716,739 | ) |
| | FNMA TBA 30 YR 3 | | 3% 11 Feb 2046 | | 34,000,000 | | | | 33,932,575 | |
| | FNMA TBA 30 YR 3 | | 3% 14 Jan 2046 | | 12,000,000 | | | | 12,000,109 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 11 Feb 2046 | | 34,650,000 | | | | 35,674,765 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 16,350,000 | | | | 16,869,951 | |
| | FNMA TBA 30 YR 4 | | 4% 11 Feb 2046 | | (5,000,000 | ) | | | (5,280,899 | ) |
| | FNMA TBA 30 YR 4 | | 4% 14 Jan 2046 | | (11,000,000 | ) | | | (11,639,891 | ) |
| | FNMA TBA 30 YR 4 | | 4% 14 Jan 2046 | | 10,000,000 | | | | 10,581,719 | |
| | FNMA TBA 30 YR 4.5 | | 4.5% 11 Feb 2046 | | (1,600,000 | ) | | | (1,725,175 | ) |
| | FNMA TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | (1,600,000 | ) | | | (1,727,800 | ) |
| | FNMA TBA 30 YR 4.5 | | 4.5% 14 Jan 2046 | | 1,600,000 | | | | 1,727,800 | |
| | FNMA TBA 30 YR 6 | | 6% 14 Jan 2046 | | (1,000,000 | ) | | | (1,129,829 | ) |
| | FREDDIE MAC | | 1% 15 Feb 2036 | | 1,220,574 | | | | 1,219,913 | |
| | FREDDIE MAC | | 1% 15 Feb 2041 | | 2,598,259 | | | | 2,817,610 | |
| | FREDDIE MAC | | 1% 15 Jul 2041 | | 1,826,185 | | | | 1,832,314 | |
| | FREDDIE MAC | | 1% 15 Mar 2036 | | 5,806,672 | | | | 879,228 | |
| | FREDDIE MAC | | 1% 15 May 2037 | | 1,189,750 | | | | 1,191,586 | |
| | FREDDIE MAC | | 1% 15 May 2041 | | 2,539,968 | | | | 2,706,330 | |
| | FREDDIE MAC | | 1% 15 Nov 2043 | | 368,312 | | | | 393,982 | |
| | FREDDIE MAC | | 2.5% 15 May 2041 | | 3,436,507 | | | | 3,435,546 | |
| | FREDDIE MAC | | 2.5% 15 Sep 2027 | | 5,716,159 | | | | 547,735 | |
| | FREDDIE MAC | | 3% 15 Sep 2045 | | 1,861,041 | | | | 1,895,529 | |
| | FREDDIE MAC | | 4% 15 Nov 2042 | | 4,451,590 | | | | 813,518 | |
| | FREDDIE MAC | | 5.5% 15 Apr 2036 | | 2,524,025 | | | | 2,806,994 | |
| | FREDDIE MAC | | 5.5% 15 Nov 2032 | | 2,781,029 | | | | 3,017,559 | |
| | FREDDIE MAC | | 6% 15 Dec 2028 | | 510,016 | | | | 574,802 | |
| | FREDDIE MAC | | 6% 15 Jul 2023 | | 432,653 | | | | 471,452 | |
| | FREDDIE MAC | | 6.5% 15 Feb 2026 | | 807,981 | | | | 920,071 | |
| | FREDDIE MAC DISCOUNT NT | | 0.01% 27 Jan 2016 | | 1,200,000 | | | | 1,199,885 | |
| | GE COMMERCIAL MORTGAGE CORPORA | | 5.543% 10 Dec 2049 | | 3,923,000 | | | | 4,035,311 | |
| | GNMA I TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 600,000 | | | | 624,222 | |
| | GNMA I TBA 30 YR 4 | | 4% 21 Jan 2046 | | 1,000,000 | | | | 1,060,781 | |
| | GNMA I TBA 30 YR 5 | | 5% 21 Jan 2046 | | 100,000 | | | | 109,551 | |
| | GNMA II POOL 004113 | | 5% 20 Apr 2038 | | 2,531,330 | | | | 2,747,665 | |
| | GNMA II POOL 004314 | | 5% 20 Dec 2038 | | 1,200,553 | | | | 1,313,348 | |
| | GNMA II POOL MA1015 | | 5% 20 May 2043 | | 0 | | | | 0 | |
| | GNMA II POOL MA2676 | | 2.5% 20 Mar 2045 | | 54,091 | | | | 52,674 | |
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| | GNMA II POOL MA2752 | | 2.5% 20 Apr 2045 | | 925,710 | | | | 901,455 | |
| | GNMA II POOL MA2756 | | 4.5% 20 Apr 2045 | | 3,911,970 | | | | 4,208,436 | |
| | GNMA II POOL MA2963 | | 4.5% 20 Jul 2045 | | 3,833,881 | | | | 4,124,429 | |
| | GNMA II TBA 30 YR 3 | | 3% 21 Jan 2046 | | 3,500,000 | | | | 3,547,442 | |
| | GNMA II TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 1,000,000 | | | | 1,042,461 | |
| | GNMA II TBA 30 YR 4 | | 4% 22 Feb 2046 | | 4,000,000 | | | | 4,239,453 | |
| | GNMA II TBA 30 YR 4.5 | | 4.5% 21 Jan 2046 | | 3,200,000 | | | | 3,438,000 | |
| | GNMA II TBA 30 YR 5 | | 5% 21 Jan 2046 | | (3,000,000 | ) | | | (3,247,153 | ) |
| | GNMA POOL 678858 | | 5% 15 Mar 2038 | | 12,981 | | | | 14,359 | |
| | GNMA POOL 726316 | | 5% 15 Sep 2039 | | 0 | | | | 0 | |
| | GNMA POOL 737269 | | 4.5% 15 May 2040 | | 0 | | | | 0 | |
| | GNMA POOL 738317 | | 5% 15 May 2041 | | 26,875 | | | | 29,807 | |
| | GNMA POOL 782386 | | 5% 15 Aug 2038 | | 1,567,409 | | | | 1,735,208 | |
| | GNMA POOL AC1428 | | 2.69% 15 Jun 2033 | | 14,659,784 | | | | 14,113,004 | |
| | GNMA POOL AJ3916 | | 3% 15 Nov 2044 | | 652,450 | | | | 661,429 | |
| | GNMA POOL AL1543 | | 3% 15 May 2045 | | 1,268,629 | | | | 1,286,087 | |
| | GNMA POOL AL9314 | | 3% 15 Mar 2045 | | 0 | | | | 0 | |
| | GNMA POOL AM0062 | | 3% 15 Apr 2045 | | 1,058,679 | | | | 1,073,248 | |
| | GNMA POOL AN6650 | | 3% 15 Jun 2045 | | 0 | | | | 0 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 0.01% 16 Feb 2040 | | 800,547 | | | | 735,237 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 0.01% 20 Mar 2035 | | 36,441 | | | | 29,167 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Jan 2052 | | 5,110,400 | | | | 63,404 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Jul 2044 | | 12,489,319 | | | | 6 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Jun 2039 | | 18,260,976 | | | | 880,327 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Nov 2051 | | 9,673,995 | | | | 129,538 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Sep 2053 | | 21,057,114 | | | | 835,873 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Apr 2063 | | 2,248,328 | | | | 2,291,212 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Aug 2045 | | 872,504 | | | | 873,468 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Aug 2063 | | 3,679,063 | | | | 3,729,262 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Jul 2042 | | 4,979,537 | | | | 710,967 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Mar 2043 | | 10,215,091 | | | | 1,101,236 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Mar 2065 | | 2,537,710 | | | | 2,535,552 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 May 2063 | | 1,755,409 | | | | 1,755,244 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Oct 2041 | | 3,914,175 | | | | 470,784 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Sep 2063 | | 3,180,870 | | | | 3,191,653 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 4.5% 20 Nov 2034 | | 986,765 | | | | 1,028,447 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 6% 16 Jun 2032 | | 3,711,741 | | | | 4,214,379 | |
| | GS MORTGAGE SECURITIES TRUST | | 3.119% 10 May 2050 | | 4,000,000 | | | | 3,899,512 | |
| | GS MORTGAGE SECURITIES TRUST | | 3.467% 10 Jun 2047 | | 2,300,000 | | | | 2,353,122 | |
| | GSR MORTGAGE LOAN TRUST | | 1% 25 Oct 2035 | | 1,735,046 | | | | 1,632,353 | |
| | GSR MORTGAGE LOAN TRUST | | 1% 25 Sep 2035 | | 4,307,781 | | | | 4,319,152 | |
| | GSR MORTGAGE LOAN TRUST | | 5.5% 25 Jul 2035 | | 5,776,821 | | | | 5,807,650 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 15 Feb 2046 | | 37,093,619 | | | | 1,247,414 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 4.387% 15 Feb 2046 | | 6,000,000 | | | | 6,253,783 | |
* | | JP MORGAN JPST CASH COLL | | 1% 31 Dec 2030 | | (11,000 | ) | | | (11,000 | ) |
* | | JP MORGAN MORTGAGE TRUST | | 6% 25 Aug 2022 | | 582,057 | | | | 579,765 | |
* | | JP MORGAN MORTGAGE TRUST | | 7.5% 25 Aug 2037 | | 3,525,465 | | | | 2,974,036 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 3.017% 15 Feb 2048 | | 1,900,000 | | | | 1,879,036 | |
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* | | JPMBB COMMERCIAL MORTGAGE SECU | | 3.288% 15 Jan 2048 | | 10,650,000 | | | | 10,725,903 | |
| | LB COMMERCIAL CONDUIT MORTGAGE | | 1% 15 Jul 2044 | | 2,377,823 | | | | 2,466,112 | |
| | MASTR ADJUSTABLE RATE MORTGAGE | | 1% 25 Jan 2036 | | 2,300,889 | | | | 2,284,681 | |
| | MASTR ASSET SECURITIZATION TRU | | 5.5% 25 Jul 2033 | | 502,665 | | | | 531,771 | |
| | MORGAN STANLEY + CO INC | | CASH COLL (CCP) | | 742,000 | | | | 742,000 | |
| | MORGAN STANLEY MSC2 CA H COLL | | 1% 31 Dec 2030 | | (120,000 | ) | | | (120,000 | ) |
| | MORTGAGE EQUITY CONVERSION ASS | | 1% 25 Oct 2041 | | 7,942,803 | | | | 6,513,099 | |
| | NATIONAL COLLEGIATE STUDENT LO | | 1% 27 Nov 2028 | | 500,455 | | | | 491,091 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Apr 2023 | | 9,036,489 | | | | 9,042,651 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 588,270 | | | | 588,270 | |
| | SWU00D7N2 IRS USD R F 2.00000 CCP CME/SWU00D7N2 IRS USD P V 03MLIBOR CCP CME | | 2% 16 Dec 2020 | | 4,600,000 | | | | 59,154 | |
| | TERWIN MORTGAGE TRUST | | 1% 25 Jan 2038 | | 0 | | | | 0 | |
| | UBS BARCLAYS COMMERCIAL MORTGA | | 1% 10 Apr 2046 | | 16,476,888 | | | | 1,091,307 | |
| | UBS CITIGROUP COMMERCIAL MORTG | | 1% 10 Jan 2045 | | 24,937,767 | | | | 1,938,849 | |
| | US DOLLAR | | | | 479,847 | | | | 479,847 | |
| | US TREASURY N/B | | 1.75% 30 Apr 2022 | | 3,209,000 | | | | 3,157,605 | |
| | US TREASURY N/B | | 1.875% 31 Aug 2022 | | 23,000,000 | | | | 22,734,971 | |
| | US TREASURY N/B | | 2% 15 Aug 2025 | | 14,300,000 | | | | 13,943,058 | |
| | US TREASURY N/B | | 2% 15 Feb 2025 | | 2,200,000 | | | | 2,150,586 | |
| | US TREASURY N/B | | 2% 30 Nov 2022 | | 1,900,000 | | | | 1,889,609 | |
| | US TREASURY N/B | | 2.25% 15 Nov 2025 | | 16,300,000 | | | | 16,263,700 | |
| | US TREASURY N/B | | 5.25% 15 Feb 2029 | | 12,500,000 | | | | 16,375,975 | |
| | WAMU COMMERCIAL MORTGAGE SECUR | | 1% 23 Mar 2045 | | 557,240 | | | | 568,219 | |
| | WASHINGTON MUTUAL MORTGAGE PAS | | 6.5% 25 Aug 2035 | | 3,855,831 | | | | 3,076,127 | |
| | WELLS FARGO COMMERCIAL MORTGAG | | 1% 15 Oct 2045 | | 5,687,537 | | | | 498,622 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Jul 2034 | | 248,358 | | | | 252,371 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 1% 25 Jun 2035 | | 161,245 | | | | 164,354 | |
| | WELLS FARGO MORTGAGE BACKED SE | | 6% 25 Aug 2037 | | 11,736 | | | | 11,342 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5738 7 of 16 | | | | | | $ | 517,092,330 | |
| | | | | | | | | | | | |
| | | | (c) Description of investment including maturity date, | | | | (e) Fair | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | rate of interest, collateral, par, or maturity value | | (d) Cost | | value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 21ST CENTURY FOX AMERICA | | 3% 15 Sep 2022 | | 852,000 | | | | $ | 839,580 | |
| | 21ST CENTURY FOX AMERICA | | 6.9% 01 Mar 2019 | | 1,310,000 | | | | 1,487,945 | |
| | ABB FINANCE USA INC | | 2.875% 08 May 2022 | | 165,000 | | | | 162,621 | |
| | ABBEY NATL TREASURY SERV | | 2.35% 10 Sep 2019 | | 540,000 | | | | 540,513 | |
| | ABBOTT LABORATORIES | | 2.55% 15 Mar 2022 | | 300,000 | | | | 298,133 | |
| | ABBVIE INC | | 2.9% 06 Nov 2022 | | 750,000 | | | | 725,579 | |
| | ABBVIE INC | | 3.6% 14 May 2025 | | 805,000 | | | | 794,483 | |
| | ACTAVIS FUNDING SCS | | 3.8% 15 Mar 2025 | | 935,000 | | | | 930,225 | |
| | ACTAVIS INC | | 3.25% 01 Oct 2022 | | 765,000 | | | | 752,109 | |
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| | ACTAVIS INC | | 6.125% 15 Aug 2019 | | 170,000 | | | | 189,559 | |
| | AETNA INC | | 2.75% 15 Nov 2022 | | 520,000 | �� | | | 505,151 | |
| | AGRIUM INC | | 3.5% 01 Jun 2023 | | 650,000 | | | | 620,486 | |
| | ALLIED WORLD ASSURANCE | | 7.5% 01 Aug 2016 | | 1,620,000 | | | | 1,673,727 | |
| | ALLSTATE CORP | | 3.15% 15 Jun 2023 | | 580,000 | | | | 579,551 | |
| | ALTRIA GROUP INC | | 2.85% 09 Aug 2022 | | 315,000 | | | | 307,088 | |
| | ALTRIA GROUP INC | | 4% 31 Jan 2024 | | 775,000 | | | | 802,888 | |
| | AMAZON.COM INC | | 1.2% 29 Nov 2017 | | 815,000 | | | | 812,476 | |
| | AMER AIRLN 14 1 A PTT | | 3.7% 01 Apr 2028 | | 211,910 | | | | 212,038 | |
| | AMERICA MOVIL SAB DE CV | | 5% 30 Mar 2020 | | 1,455,000 | | | | 1,578,866 | |
| | AMERICAN AIRLINES 2013 2 | | 4.95% 15 Jul 2024 | | 694,264 | | | | 732,448 | |
| | AMERICAN EXPRESS CO | | 2.65% 02 Dec 2022 | | 1,125,000 | | | | 1,089,865 | |
| | AMERICAN INTL GROUP | | 4.875% 01 Jun 2022 | | 1,455,000 | | | | 1,571,313 | |
| | AMGEN INC | | 3.45% 01 Oct 2020 | | 615,000 | | | | 632,936 | |
| | AMGEN INC | | 3.625% 22 May 2024 | | 245,000 | | | | 244,909 | |
| | AMGEN INC | | 4.1% 15 Jun 2021 | | 305,000 | | | | 321,215 | |
| | AMGEN INC | | 5.85% 01 Jun 2017 | | 225,000 | | | | 237,928 | |
| | ANADARKO PETROLEUM CORP | | 6.375% 15 Sep 2017 | | 280,000 | | | | 293,614 | |
| | ANHEUSER BUSCH INBEV FIN | | 2.625% 17 Jan 2023 | | 385,000 | | | | 369,476 | |
| | ANHEUSER BUSCH INBEV WOR | | 5% 15 Apr 2020 | | 480,000 | | | | 525,402 | |
| | ANHEUSER BUSCH INBEV WOR | | 5.375% 15 Jan 2020 | | 2,325,000 | | | | 2,572,743 | |
| | ANTHEM INC | | 3.125% 15 May 2022 | | 1,670,000 | | | | 1,638,990 | |
| | ANTHEM INC | | 3.3% 15 Jan 2023 | | 25,000 | | | | 24,296 | |
| | APACHE CORP | | 3.25% 15 Apr 2022 | | 160,000 | | | | 152,390 | |
| | APPLE INC | | 2.4% 03 May 2023 | | 600,000 | | | | 584,620 | |
| | APPLE INC | | 2.85% 06 May 2021 | | 1,465,000 | | | | 1,500,307 | |
| | APPLE INC | | 3.2% 13 May 2025 | | 210,000 | | | | 212,542 | |
| | AT+T INC | | 3% 30 Jun 2022 | | 560,000 | | | | 546,571 | |
| | AT+T INC | | 3.4% 15 May 2025 | | 735,000 | | | | 706,401 | |
| | AT+T INC | | 3.875% 15 Aug 2021 | | 190,000 | | | | 196,018 | |
| | AXIS SPECIALTY FINANCE | | 5.875% 01 Jun 2020 | | 650,000 | | | | 717,806 | |
| | BALTIMORE GAS + ELECTRIC | | 3.35% 01 Jul 2023 | | 120,000 | | | | 121,463 | |
| | BANK OF AMERICA CORP | | 3.3% 11 Jan 2023 | | 2,585,000 | | | | 2,544,480 | |
| | BANK OF AMERICA CORP | | 3.875% 01 Aug 2025 | | 660,000 | | | | 669,984 | |
| | BANK OF AMERICA CORP | | 3.95% 21 Apr 2025 | | 255,000 | | | | 248,311 | |
| | BANK OF AMERICA CORP | | 4.125% 22 Jan 2024 | | 1,355,000 | | | | 1,399,512 | |
| | BANK OF AMERICA CORP | | 6% 01 Sep 2017 | | 2,015,000 | | | | 2,144,383 | |
| | BARCLAYS BANK PLC | | 2.5% 20 Feb 2019 | | 200,000 | | | | 200,453 | |
| | BARCLAYS BANK PLC | | 3.75% 15 May 2024 | | 130,000 | | | | 132,505 | |
| | BARCLAYS PLC | | 2.75% 08 Nov 2019 | | 920,000 | | | | 916,639 | |
| | BARRICK PD AU FIN PTY LT | | 4.95% 15 Jan 2020 | | 500,000 | | | | 494,985 | |
| | BAXALTA INC | | 4% 23 Jun 2025 | | 930,000 | | | | 920,335 | |
| | BEAR STEARNS COMMERCIAL MORTGA | | 1% 12 Apr 2038 | | 320,000 | | | | 321,511 | |
| | BECTON DICKINSON AND CO | | 3.734% 15 Dec 2024 | | 460,000 | | | | 463,922 | |
| | BHP BILLITON FIN USA LTD | | 1.625% 24 Feb 2017 | | 795,000 | | | | 793,383 | |
| | BHP BILLITON FIN USA LTD | | 6.5% 01 Apr 2019 | | 535,000 | | | | 589,324 | |
| | BNP PARIBAS | | 2.375% 21 May 2020 | | 640,000 | | | | 633,527 | |
| | BP CAPITAL MARKETS PLC | | 3.245% 06 May 2022 | | 880,000 | | | | 869,033 | |
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| | BP CAPITAL MARKETS PLC | | 3.561% 01 Nov 2021 | | 325,000 | | | | 331,507 | |
| | BP CAPITAL MARKETS PLC | | 4.75% 10 Mar 2019 | | 250,000 | | | | 267,329 | |
| | BRITISH TELECOM PLC | | 2.35% 14 Feb 2019 | | 280,000 | | | | 280,749 | |
| | BRITISH TELECOM PLC | | 5.95% 15 Jan 2018 | | 1,250,000 | | | | 1,347,783 | |
| | BUCKEYE PARTNERS LP | | 2.65% 15 Nov 2018 | | 205,000 | | | | 197,219 | |
| | BURLINGTN NORTH SANTA FE | | 3.4% 01 Sep 2024 | | 465,000 | | | | 465,436 | |
| | BURLINGTN NORTH SANTA FE | | 5.65% 01 May 2017 | | 1,280,000 | | | | 1,346,136 | |
| | CA INC | | 3.6% 01 Aug 2020 | | 515,000 | | | | 526,135 | |
| | CALIFORNIA ST | | 6.2% 01 Mar 2019 | | 170,000 | | | | 192,581 | |
| | CALIFORNIA ST | | 6.2% 01 Oct 2019 | | 1,350,000 | | | | 1,548,261 | |
| | CANADIAN NATL RAILWAY | | 5.55% 01 Mar 2019 | | 455,000 | | | | 498,968 | |
| | CANADIAN NATL RAILWAY | | 6.8% 15 Jul 2018 | | 350,000 | | | | 389,576 | |
| | CAPITAL ONE NA | | 2.95% 23 Jul 2021 | | 1,115,000 | | | | 1,103,693 | |
| | CARDINAL HEALTH INC | | 4.625% 15 Dec 2020 | | 635,000 | | | | 688,708 | |
| | CATERPILLAR INC | | 2.6% 26 Jun 2022 | | 240,000 | | | | 235,464 | |
| | CATERPILLAR INC | | 3.9% 27 May 2021 | | 910,000 | | | | 966,130 | |
| | CATHOLIC HEALTH INITIATI | | 1.6% 01 Nov 2017 | | 175,000 | | | | 174,660 | |
| | CATHOLIC HEALTH INITIATI | | 4.2% 01 Aug 2023 | | 545,000 | | | | 577,086 | |
| | CBS CORP | | 4.3% 15 Feb 2021 | | 210,000 | | | | 220,538 | |
| | CCO SAFARI II LLC | | 4.908% 23 Jul 2025 | | 1,340,000 | | | | 1,338,696 | |
| | CELGENE CORP | | 3.875% 15 Aug 2025 | | 750,000 | | | | 746,963 | |
| | CENOVUS ENERGY INC | | 5.7% 15 Oct 2019 | | 300,000 | | | | 314,406 | |
| | CENTERPOINT ENER HOUSTON | | 2.25% 01 Aug 2022 | | 305,000 | | | | 292,991 | |
| | CF INDUSTRIES INC | | 3.45% 01 Jun 2023 | | 625,000 | | | | 581,734 | |
| | CF INDUSTRIES INC | | 6.875% 01 May 2018 | | 335,000 | | | | 362,980 | |
| | CHASE ISSUANCE TRUST | | 1.58% 16 Aug 2021 | | 1,073,000 | | | | 1,056,752 | |
| | CHEVRON CORP | | 2.355% 05 Dec 2022 | | 1,535,000 | | | | 1,465,758 | |
| | CHUBB INA HOLDINGS INC | | 2.7% 13 Mar 2023 | | 1,000,000 | | | | 976,835 | |
| | CIGNA CORP | | 4% 15 Feb 2022 | | 435,000 | | | | 449,611 | |
| | CIGNA CORP | | 4.375% 15 Dec 2020 | | 395,000 | | | | 420,665 | |
| | CIGNA CORP | | 5.375% 15 Mar 2017 | | 1,160,000 | | | | 1,208,866 | |
| | CISCO SYSTEMS INC | | 3% 15 Jun 2022 | | 645,000 | | | | 655,992 | |
| | CITIBANK CREDIT CARD ISSUANCE | | 2.15% 15 Jul 2021 | | 900,000 | | | | 904,306 | |
| | CITIBANK CREDIT CARD ISSUANCE | | 2.88% 23 Jan 2023 | | 2,000,000 | | | | 2,042,286 | |
| | CITIBANK CREDIT CARD ISSUANCE | | 5.65% 20 Sep 2019 | | 1,050,000 | | | | 1,121,672 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 1% 10 Dec 2049 | | 1,450,000 | | | | 1,498,382 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 2.79% 10 Mar 2047 | | 1,500,000 | | | | 1,524,525 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 3.717% 15 Sep 2048 | | 4,500,000 | | | | 4,586,291 | |
| | CITIGROUP INC | | 3.3% 27 Apr 2025 | | 310,000 | | | | 304,449 | |
| | CNOOC FINANCE 2013 LTD | | 1.75% 09 May 2018 | | 235,000 | | | | 231,235 | |
| | CNOOC FINANCE 2014 ULC | | 1.625% 30 Apr 2017 | | 1,295,000 | | | | 1,287,508 | |
| | COCA COLA CO/THE | | 3.15% 15 Nov 2020 | | 540,000 | | | | 565,260 | |
| | COMCAST CORP | | 3.6% 01 Mar 2024 | | 805,000 | | | | 832,079 | |
| | COMCAST CORP | | 5.7% 01 Jul 2019 | | 369,000 | | | | 413,726 | |
| | COMCAST CORP | | 5.875% 15 Feb 2018 | | 1,680,000 | | | | 1,829,804 | |
| | COMM MORTGAGE TRUST | | 2.963% 10 Aug 2047 | | 324,000 | | | | 330,318 | |
| | COMM MORTGAGE TRUST | | 3.334% 10 Jun 2046 | | 1,015,000 | | | | 1,029,212 | |
| | COMM MORTGAGE TRUST | | 3.42% 10 Aug 2047 | | 1,500,000 | | | | 1,509,260 | |
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| | COMM MORTGAGE TRUST | | 3.546% 10 Jun 2047 | | 1,800,000 | | | | 1,825,733 | |
| | COMM MORTGAGE TRUST | | 3.819% 10 Jun 2047 | | 200,000 | | | | 205,837 | |
| | COMMONWEALTH BK AUSTR NY | | 2.3% 12 Mar 2020 | | 1,035,000 | | | | 1,024,527 | |
| | CONOCOPHILLIPS COMPANY | | 2.4% 15 Dec 2022 | | 895,000 | | | | 813,016 | |
| | CONTL AIRLINES 2012 1 A | | 4.15% 11 Oct 2025 | | 473,555 | | | | 485,867 | |
| | CONTL AIRLINES 2012 2 A | | 4% 29 Apr 2026 | | 461,940 | | | | 473,489 | |
| | COVENTRY HEALTH CARE INC | | 5.45% 15 Jun 2021 | | 925,000 | | | | 1,021,688 | |
| | COVIDIEN INTL FINANCE SA | | 2.95% 15 Jun 2023 | | 205,000 | | | | 201,748 | |
| | CRED SUIS GP FUN LTD | | 3.75% 26 Mar 2025 | | 605,000 | | | | 585,207 | |
| | CREDIT SUISSE NEW YORK | | 4.375% 05 Aug 2020 | | 260,000 | | | | 279,178 | |
| | CREDIT SUISSE NEW YORK | | 6% 15 Feb 2018 | | 1,165,000 | | | | 1,251,966 | |
| | CSX CORP | | 7.375% 01 Feb 2019 | | 1,505,000 | | | | 1,722,659 | |
| | CVS HEALTH CORP | | 3.875% 20 Jul 2025 | | 1,165,000 | | | | 1,188,976 | |
| | CVS HEALTH CORP | | 5.75% 01 Jun 2017 | | 714,000 | | | | 755,985 | |
| | DEERE + COMPANY | | 2.6% 08 Jun 2022 | | 1,195,000 | | | | 1,178,276 | |
| | DELTA AIR LINES 2007 1 A | | 6.821% 10 Feb 2024 | | 258,599 | | | | 297,854 | |
| | DEUTSCHE BANK AG LONDON | | 1.875% 13 Feb 2018 | | 1,045,000 | | | | 1,036,114 | |
| | DEVON ENERGY CORPORATION | | 2.25% 15 Dec 2018 | | 630,000 | | | | 574,978 | |
| | DIRECTV HOLDINGS/FING | | 3.8% 15 Mar 2022 | | 2,180,000 | | | | 2,193,784 | |
| | DISCOVER BANK | | 8.7% 18 Nov 2019 | | 467,000 | | | | 552,476 | |
| | DISCOVER FINANCIAL SVS | | 3.85% 21 Nov 2022 | | 1,048,000 | | | | 1,038,439 | |
| | DISCOVERY COMMUNICATIONS | | 5.625% 15 Aug 2019 | | 285,000 | | | | 310,139 | |
| | DOMINION GAS HLDGS LLC | | 3.55% 01 Nov 2023 | | 265,000 | | | | 261,249 | |
| | DOMINION RESOURCES INC | | 4.45% 15 Mar 2021 | | 610,000 | | | | 645,497 | |
| | DOW CHEMICAL CO/THE | | 3% 15 Nov 2022 | | 1,190,000 | | | | 1,139,206 | |
| | DOW CHEMICAL CO/THE | | 8.55% 15 May 2019 | | 565,000 | | | | 665,937 | |
| | DUKE ENERGY INDIANA INC | | 3.75% 15 Jul 2020 | | 280,000 | | | | 294,775 | |
| | E.I. DU PONT DE NEMOURS | | 2.8% 15 Feb 2023 | | 545,000 | | | | 517,872 | |
| | E.I. DU PONT DE NEMOURS | | 4.625% 15 Jan 2020 | | 375,000 | | | | 394,545 | |
| | EASTMAN CHEMICAL CO | | 3.8% 15 Mar 2025 | | 890,000 | | | | 861,906 | |
| | EBAY INC | | 1.35% 15 Jul 2017 | | 320,000 | | | | 317,468 | |
| | ECOLAB INC | | 4.35% 08 Dec 2021 | | 775,000 | | | | 827,521 | |
| | ECOPETROL SA | | 4.125% 16 Jan 2025 | | 185,000 | | | | 148,000 | |
| | ELI LILLY + CO | | 2.75% 01 Jun 2025 | | 240,000 | | | | 236,943 | |
| | EMC CORP/MA | | 2.65% 01 Jun 2020 | | 350,000 | | | | 310,872 | |
| | ENLINK MIDSTREAM PARTNER | | 4.15% 01 Jun 2025 | | 285,000 | | | | 219,197 | |
| | ENTERGY CORP | | 5.125% 15 Sep 2020 | | 975,000 | | | | 1,047,697 | |
| | ENTERPRISE PRODUCTS OPER | | 3.35% 15 Mar 2023 | | 1,690,000 | | | | 1,528,198 | |
| | EOG RESOURCES INC | | 3.15% 01 Apr 2025 | | 345,000 | | | | 326,312 | |
| | EOG RESOURCES INC | | 4.1% 01 Feb 2021 | | 490,000 | | | | 516,917 | |
| | EQUIFAX INC | | 3.3% 15 Dec 2022 | | 430,000 | | | | 428,571 | |
| | EXELON GENERATION CO LLC | | 2.95% 15 Jan 2020 | | 550,000 | | | | 548,022 | |
| | EXPORT IMPORT BK KOREA | | 5.125% 29 Jun 2020 | | 945,000 | | | | 1,043,115 | |
| | EXXON MOBIL CORPORATION | | 2.397% 06 Mar 2022 | | 440,000 | | | | 433,233 | |
| | FANNIE MAE | | 0.875% 21 May 2018 | | 1,045,000 | | | | 1,035,204 | |
| | FANNIE MAE | | 0.875% 26 Oct 2017 | | 2,495,000 | | | | 2,484,696 | |
| | FANNIE MAE | | 1.125% 14 Dec 2018 | | 820,000 | | | | 813,169 | |
| | FANNIE MAE | | 1.125% 19 Oct 2018 | | 305,000 | | | | 303,056 | |
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| | FANNIE MAE | | 1.5% 22 Jun 2020 | | 775,000 | | | | 765,350 | |
| | FANNIE MAE | | 1.625% 21 Jan 2020 | | 1,380,000 | | | | 1,374,796 | |
| | FANNIE MAE | | 1.875% 19 Feb 2019 | | 150,000 | | | | 152,013 | |
| | FANNIE MAE | | 2.625% 06 Sep 2024 | | 2,225,000 | | | | 2,248,494 | |
| | FED HM LN PC POOL A47038 | | 5% 01 Sep 2035 | | 83,304 | | | | 91,399 | |
| | FED HM LN PC POOL A56599 | | 6% 01 Jan 2037 | | 169,790 | | | | 192,270 | |
| | FED HM LN PC POOL A63809 | | 6% 01 Aug 2037 | | 86,420 | | | | 97,033 | |
| | FED HM LN PC POOL A69654 | | 6% 01 Dec 2037 | | 50,924 | | | | 57,408 | |
| | FED HM LN PC POOL A79537 | | 6% 01 Jul 2038 | | 56,888 | | | | 63,881 | |
| | FED HM LN PC POOL A85726 | | 5% 01 Apr 2039 | | 229,584 | | | | 251,261 | |
| | FED HM LN PC POOL A92478 | | 4.5% 01 Jun 2040 | | 900,542 | | | | 971,387 | |
| | FED HM LN PC POOL A93318 | | 5% 01 Aug 2040 | | 848,623 | | | | 930,443 | |
| | FED HM LN PC POOL A93713 | | 5% 01 Sep 2040 | | 630,440 | | | | 692,313 | |
| | FED HM LN PC POOL A94069 | | 5% 01 Sep 2040 | | 291,143 | | | | 319,714 | |
| | FED HM LN PC POOL A94113 | | 5% 01 Oct 2040 | | 264,383 | | | | 290,329 | |
| | FED HM LN PC POOL A94898 | | 4.5% 01 Nov 2040 | | 291,730 | | | | 314,683 | |
| | FED HM LN PC POOL A95085 | | 4% 01 Nov 2040 | | 1,488,021 | | | | 1,576,896 | |
| | FED HM LN PC POOL A95519 | | 4.5% 01 Dec 2040 | | 198,200 | | | | 213,492 | |
| | FED HM LN PC POOL A95575 | | 4% 01 Dec 2040 | | 786,959 | | | | 834,960 | |
| | FED HM LN PC POOL A95960 | | 4% 01 Dec 2040 | | 749,436 | | | | 794,140 | |
| | FED HM LN PC POOL A97040 | | 4% 01 Feb 2041 | | 831,872 | | | | 881,530 | |
| | FED HM LN PC POOL C03469 | | 4.5% 01 May 2040 | | 1,131,580 | | | | 1,220,615 | |
| | FED HM LN PC POOL C03517 | | 4.5% 01 Sep 2040 | | 90,615 | | | | 97,745 | |
| | FED HM LN PC POOL C03520 | | 4% 01 Sep 2040 | | 1,088,884 | | | | 1,153,803 | |
| | FED HM LN PC POOL C03545 | | 5% 01 Aug 2040 | | 591,342 | | | | 649,373 | |
| | FED HM LN PC POOL C03792 | | 3.5% 01 Apr 2042 | | 3,099,313 | | | | 3,195,300 | |
| | FED HM LN PC POOL C04272 | | 3% 01 Oct 2042 | | 1,660,554 | | | | 1,661,677 | |
| | FED HM LN PC POOL C04422 | | 3% 01 Dec 2042 | | 1,326,102 | | | | 1,326,998 | |
| | FED HM LN PC POOL C09004 | | 3.5% 01 Jul 2042 | | 1,696,479 | | | | 1,748,497 | |
| | FED HM LN PC POOL C09022 | | 3% 01 Jan 2043 | | 7,288,531 | | | | 7,293,457 | |
| | FED HM LN PC POOL C09029 | | 3% 01 Mar 2043 | | 896,993 | | | | 897,598 | |
| | FED HM LN PC POOL C09031 | | 2.5% 01 Feb 2043 | | 470,670 | | | | 453,563 | |
| | FED HM LN PC POOL C09055 | | 4% 01 Dec 2043 | | 392,609 | | | | 415,134 | |
| | FED HM LN PC POOL C91176 | | 5.5% 01 May 2028 | | 127,994 | | | | 141,358 | |
| | FED HM LN PC POOL C91370 | | 4.5% 01 May 2031 | | 0 | | | | 0 | |
| | FED HM LN PC POOL E01098 | | 6% 01 Feb 2017 | | 5,647 | | | | 5,756 | |
| | FED HM LN PC POOL E04113 | | 2.5% 01 Nov 2027 | | 2,424,963 | | | | 2,465,647 | |
| | FED HM LN PC POOL E97335 | | 5% 01 Jul 2018 | | 91,601 | | | | 94,737 | |
| | FED HM LN PC POOL G01843 | | 6% 01 Jun 2035 | | 303,295 | | | | 346,548 | |
| | FED HM LN PC POOL G02031 | | 5.5% 01 Feb 2036 | | 618,454 | | | | 686,789 | |
| | FED HM LN PC POOL G02408 | | 5.5% 01 Dec 2036 | | 228,878 | | | | 254,370 | |
| | FED HM LN PC POOL G02427 | | 5.5% 01 Dec 2036 | | 483,057 | | | | 536,826 | |
| | FED HM LN PC POOL G02794 | | 6% 01 May 2037 | | 408,306 | | | | 461,816 | |
| | FED HM LN PC POOL G03695 | | 5.5% 01 Nov 2037 | | 159,363 | | | | 177,302 | |
| | FED HM LN PC POOL G03737 | | 6.5% 01 Nov 2037 | | 240,347 | | | | 273,721 | |
| | FED HM LN PC POOL G03781 | | 6% 01 Jan 2038 | | 11,955 | | | | 13,443 | |
| | FED HM LN PC POOL G03812 | | 5.5% 01 Feb 2038 | | 735,450 | | | | 818,395 | |
| | FED HM LN PC POOL G03819 | | 6% 01 Jan 2038 | | 39,704 | | | | 44,710 | |
233
Table of Contents
| | FED HM LN PC POOL G03926 | | 6% 01 Feb 2038 | | 119,123 | | | | 134,334 | |
| | FED HM LN PC POOL G04585 | | 5.5% 01 Feb 2038 | | 150,138 | | | | 166,992 | |
| | FED HM LN PC POOL G04588 | | 5.5% 01 Aug 2038 | | 59,178 | | | | 65,825 | |
| | FED HM LN PC POOL G04688 | | 5.5% 01 Sep 2038 | | 105,272 | | | | 117,043 | |
| | FED HM LN PC POOL G05179 | | 5.5% 01 Jan 2039 | | 121,462 | | | | 135,157 | |
| | FED HM LN PC POOL G05472 | | 4.5% 01 Jun 2039 | | 190,983 | | | | 205,845 | |
| | FED HM LN PC POOL G05676 | | 4% 01 Nov 2039 | | 1,023,813 | | | | 1,084,868 | |
| | FED HM LN PC POOL G05726 | | 5% 01 Aug 2039 | | 380,743 | | | | 415,854 | |
| | FED HM LN PC POOL G05741 | | 4.5% 01 Dec 2039 | | 145,675 | | | | 157,135 | |
| | FED HM LN PC POOL G05927 | | 4.5% 01 Jul 2040 | | 1,217,127 | | | | 1,331,935 | |
| | FED HM LN PC POOL G06087 | | 5% 01 Sep 2040 | | 110,431 | | | | 120,534 | |
| | FED HM LN PC POOL G06231 | | 4% 01 Dec 2040 | | 753,521 | | | | 798,517 | |
| | FED HM LN PC POOL G06499 | | 4% 01 Mar 2041 | | 809,192 | | | | 861,593 | |
| | FED HM LN PC POOL G06506 | | 4% 01 Dec 2040 | | 1,976,742 | | | | 2,094,647 | |
| | FED HM LN PC POOL G06507 | | 4% 01 Feb 2041 | | 356,661 | | | | 377,979 | |
| | FED HM LN PC POOL G06601 | | 4.5% 01 Dec 2040 | | 2,872,054 | | | | 3,136,254 | |
| | FED HM LN PC POOL G07032 | | 3% 01 Jun 2042 | | 2,435,049 | | | | 2,436,378 | |
| | FED HM LN PC POOL G07129 | | 3.5% 01 Sep 2042 | | 2,229,774 | | | | 2,300,217 | |
| | FED HM LN PC POOL G07388 | | 3.5% 01 May 2043 | | 1,207,061 | | | | 1,244,020 | |
| | FED HM LN PC POOL G08273 | | 5.5% 01 Jun 2038 | | 71,900 | | | | 79,848 | |
| | FED HM LN PC POOL G08368 | | 4.5% 01 Oct 2039 | | 531,583 | | | | 573,402 | |
| | FED HM LN PC POOL G08372 | | 4.5% 01 Nov 2039 | | 384,644 | | | | 414,874 | |
| | FED HM LN PC POOL G08479 | | 3.5% 01 Mar 2042 | | 914,402 | | | | 942,533 | |
| | FED HM LN PC POOL G08521 | | 3% 01 Jan 2043 | | 831,338 | | | | 831,900 | |
| | FED HM LN PC POOL G08567 | | 4% 01 Jan 2044 | | 4,803,613 | | | | 5,079,921 | |
| | FED HM LN PC POOL G08681 | | 3.5% 01 Dec 2045 | | 1,000,000 | | | | 1,030,226 | |
| | FED HM LN PC POOL G12403 | | 5% 01 Oct 2021 | | 334,548 | | | | 358,480 | |
| | FED HM LN PC POOL G13300 | | 4.5% 01 May 2023 | | 100,294 | | | | 107,500 | |
| | FED HM LN PC POOL G13492 | | 5% 01 Feb 2024 | | 118,057 | | | | 126,821 | |
| | FED HM LN PC POOL G13868 | | 4.5% 01 Jul 2025 | | 375,132 | | | | 401,476 | |
| | FED HM LN PC POOL G14239 | | 4% 01 Sep 2026 | | 125,308 | | | | 132,365 | |
| | FED HM LN PC POOL G18401 | | 3.5% 01 Sep 2026 | | 243,160 | | | | 254,791 | |
| | FED HM LN PC POOL G18475 | | 2.5% 01 Aug 2028 | | 384,725 | | | | 391,174 | |
| | FED HM LN PC POOL J09212 | | 5% 01 Jan 2024 | | 124,639 | | | | 132,791 | |
| | FED HM LN PC POOL J12398 | | 4.5% 01 Jun 2025 | | 337,143 | | | | 361,986 | |
| | FED HM LN PC POOL J12439 | | 4.5% 01 Jun 2025 | | 325,230 | | | | 345,878 | |
| | FED HM LN PC POOL J13721 | | 3.5% 01 Dec 2025 | | 416,985 | | | | 437,861 | |
| | FED HM LN PC POOL J15031 | | 4% 01 Apr 2026 | | 824,317 | | | | 869,950 | |
| | FED HM LN PC POOL J15719 | | 4% 01 Jun 2026 | | 821,938 | | | | 868,356 | |
| | FED HM LN PC POOL J15847 | | 4% 01 Jun 2026 | | 410,666 | | | | 433,824 | |
| | FED HM LN PC POOL J16059 | | 4% 01 Jul 2026 | | 436,088 | | | | 460,690 | |
| | FED HM LN PC POOL J16432 | | 3.5% 01 Aug 2026 | | 1,597,069 | | | | 1,677,077 | |
| | FED HM LN PC POOL J18912 | | 2.5% 01 Apr 2027 | | 699,062 | | | | 710,760 | |
| | FED HM LN PC POOL J23935 | | 3% 01 May 2028 | | 772,010 | | | | 797,052 | |
| | FED HM LN PC POOL J24887 | | 3% 01 Jul 2028 | | 4,830,672 | | | | 4,996,340 | |
| | FED HM LN PC POOL J27464 | | 3.5% 01 Feb 2029 | | 1,634,977 | | | | 1,715,954 | |
| | FED HM LN PC POOL J27964 | | 3% 01 Apr 2029 | | 828,336 | | | | 855,183 | |
| | FED HM LN PC POOL J28440 | | 3% 01 Jun 2029 | | 1,234,984 | | | | 1,274,963 | |
234
Table of Contents
| | FED HM LN PC POOL J29007 | | 3% 01 Aug 2029 | | 858,574 | | | | 887,214 | |
| | FED HM LN PC POOL J29036 | | 3% 01 Aug 2029 | | 866,688 | | | | 895,603 | |
| | FED HM LN PC POOL J29049 | | 3% 01 Aug 2029 | | 882,972 | | | | 912,428 | |
| | FED HM LN PC POOL Q02171 | | 5% 01 Jul 2041 | | 231,634 | | | | 252,946 | |
| | FED HM LN PC POOL Q02606 | | 5% 01 Aug 2041 | | 1,550,646 | | | | 1,702,827 | |
| | FED HM LN PC POOL Q04673 | | 4% 01 Nov 2041 | | 1,716,516 | | | | 1,824,531 | |
| | FED HM LN PC POOL Q10241 | | 3.5% 01 Aug 2042 | | 684,488 | | | | 707,065 | |
| | FED HM LN PC POOL Q10448 | | 3.5% 01 Aug 2042 | | 800,687 | | | | 825,898 | |
| | FED HM LN PC POOL Q11288 | | 3.5% 01 Sep 2042 | | 788,901 | | | | 813,943 | |
| | FED HM LN PC POOL Q11788 | | 3% 01 Oct 2042 | | 402,827 | | | | 403,096 | |
| | FED HM LN PC POOL Q12052 | | 3.5% 01 Oct 2042 | | 1,691,649 | | | | 1,743,522 | |
| | FED HM LN PC POOL Q12520 | | 3% 01 Oct 2042 | | 164,470 | | | | 164,581 | |
| | FED HM LN PC POOL Q12841 | | 3.5% 01 Nov 2042 | | 1,742,438 | | | | 1,796,950 | |
| | FED HM LN PC POOL Q13630 | | 3% 01 Nov 2042 | | 401,541 | | | | 401,813 | |
| | FED HM LN PC POOL Q14326 | | 2.5% 01 Jan 2043 | | 1,286,940 | | | | 1,240,190 | |
| | FED HM LN PC POOL Q15062 | | 3% 01 Feb 2043 | | 1,934,372 | | | | 1,935,680 | |
| | FED HM LN PC POOL Q24141 | | 4% 01 Jan 2044 | | 753,216 | | | | 796,660 | |
| | FED HM LN PC POOL V60298 | | 3% 01 Oct 2028 | | 823,077 | | | | 849,739 | |
| | FED HM LN PC POOL V60564 | | 3% 01 Jun 2029 | | 1,679,710 | | | | 1,735,775 | |
| | FEDERAL HOME LOAN BANK | | 1% 19 Dec 2017 | | 315,000 | | | | 314,215 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Apr 2023 | | 1,255,000 | | | | 1,301,051 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 3.241% 25 Sep 2024 | | 5,000,000 | | | | 5,114,306 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 3.329% 25 May 2025 | | 3,000,000 | | | | 3,072,666 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 3.49% 25 Jan 2024 | | 245,000 | | | | 255,805 | |
| | FIDELITY NATIONAL INFORM | | 4.5% 15 Oct 2022 | | 700,000 | | | | 712,518 | |
| | FISERV INC | | 3.85% 01 Jun 2025 | | 825,000 | | | | 823,806 | |
| | FLORIDA POWER + LIGHT CO | | 2.75% 01 Jun 2023 | | 120,000 | | | | 118,645 | |
| | FNMA POOL 257281 | | 5% 01 Jul 2028 | | 31,141 | | | | 34,250 | |
| | FNMA POOL 257595 | | 5% 01 Mar 2029 | | 4,035 | | | | 4,438 | |
| | FNMA POOL 555800 | | 1% 01 Oct 2033 | | 1,308,115 | | | | 1,470,751 | |
| | FNMA POOL 655687 | | 6.5% 01 Aug 2032 | | 460,867 | | | | 526,701 | |
| | FNMA POOL 660662 | | 6.5% 01 Sep 2032 | | 6,627 | | | | 7,573 | |
| | FNMA POOL 667032 | | 5% 01 Nov 2017 | | 13,447 | | | | 13,923 | |
| | FNMA POOL 725690 | | 1% 01 Aug 2034 | | 45,886 | | | | 52,276 | |
| | FNMA POOL 735061 | | 1% 01 Nov 2034 | | 1,311,860 | | | | 1,490,163 | |
| | FNMA POOL 735271 | | 1% 01 Jan 2035 | | 254,899 | | | | 289,873 | |
| | FNMA POOL 735288 | | 1% 01 Mar 2035 | | 292,041 | | | | 322,487 | |
| | FNMA POOL 735382 | | 1% 01 Apr 2035 | | 1,654,038 | | | | 1,826,625 | |
| | FNMA POOL 735484 | | 1% 01 May 2035 | | 759,978 | | | | 838,855 | |
| | FNMA POOL 735500 | | 1% 01 May 2035 | | 1,000,280 | | | | 1,126,012 | |
| | FNMA POOL 735578 | | 1% 01 Jun 2035 | | 140,889 | | | | 155,505 | |
| | FNMA POOL 735580 | | 1% 01 Jun 2035 | | 628,680 | | | | 694,962 | |
| | FNMA POOL 735591 | | 1% 01 Jun 2035 | | 592,795 | | | | 655,219 | |
| | FNMA POOL 735667 | | 1% 01 Jul 2035 | | 584,876 | | | | 646,838 | |
| | FNMA POOL 735676 | | 1% 01 Jul 2035 | | 2,048,099 | | | | 2,263,732 | |
| | FNMA POOL 735989 | | 1% 01 Feb 2035 | | 1,106,115 | | | | 1,241,966 | |
| | FNMA POOL 745355 | | 1% 01 Mar 2036 | | 555,698 | | | | 612,963 | |
| | FNMA POOL 745412 | | 1% 01 Dec 2035 | | 665,572 | | | | 749,310 | |
235
Table of Contents
| | FNMA POOL 745418 | | 1% 01 Apr 2036 | | 334,373 | | | | 374,968 | |
| | FNMA POOL 745515 | | 1% 01 May 2036 | | 113,798 | | | | 125,473 | |
| | FNMA POOL 745885 | | 1% 01 Oct 2036 | | 732,796 | | | | 828,763 | |
| | FNMA POOL 745950 | | 1% 01 Nov 2036 | | 502,568 | | | | 568,458 | |
| | FNMA POOL 826495 | | 5.5% 01 Jul 2035 | | 8,154 | | | | 9,140 | |
| | FNMA POOL 831400 | | 6% 01 Apr 2036 | | 51,308 | | | | 58,027 | |
| | FNMA POOL 832690 | | 5% 01 Sep 2035 | | 332,264 | | | | 365,994 | |
| | FNMA POOL 832799 | | 5% 01 Sep 2035 | | 454,570 | | | | 500,981 | |
| | FNMA POOL 872482 | | 5.5% 01 Apr 2036 | | 1,609,684 | | | | 1,792,291 | |
| | FNMA POOL 888102 | | 1% 01 May 2036 | | 41,227 | | | | 46,289 | |
| | FNMA POOL 888129 | | 1% 01 Feb 2037 | | 249,521 | | | | 278,664 | |
| | FNMA POOL 888131 | | 1% 01 Feb 2037 | | 92,706 | | | | 103,689 | |
| | FNMA POOL 888286 | | 1% 01 Apr 2037 | | 950,522 | | | | 1,063,133 | |
| | FNMA POOL 888637 | | 1% 01 Sep 2037 | | 146,151 | | | | 165,344 | |
| | FNMA POOL 888763 | | 1% 01 Oct 2037 | | 518,525 | | | | 544,382 | |
| | FNMA POOL 889072 | | 1% 01 Dec 2037 | | 158,171 | | | | 180,765 | |
| | FNMA POOL 889190 | | 1% 01 Mar 2038 | | 246,315 | | | | 278,747 | |
| | FNMA POOL 889579 | | 1% 01 May 2038 | | 530,258 | | | | 599,149 | |
| | FNMA POOL 889691 | | 1% 01 Jul 2038 | | 175,422 | | | | 198,322 | |
| | FNMA POOL 889705 | | 1% 01 Jun 2038 | | 329,427 | | | | 368,119 | |
| | FNMA POOL 889983 | | 1% 01 Oct 2038 | | 949,866 | | | | 1,073,610 | |
| | FNMA POOL 898832 | | 5.5% 01 Nov 2036 | | 59,170 | | | | 66,050 | |
| | FNMA POOL 899172 | | 6.5% 01 Feb 2037 | | 97,014 | | | | 110,872 | |
| | FNMA POOL 902669 | | 5% 01 Nov 2036 | | 79,722 | | | | 87,683 | |
| | FNMA POOL 916398 | | 6.5% 01 May 2037 | | 6,135 | | | | 7,011 | |
| | FNMA POOL 928075 | | 6% 01 Feb 2037 | | 155,818 | | | | 176,338 | |
| | FNMA POOL 933478 | | 5% 01 Mar 2023 | | 45,719 | | | | 47,786 | |
| | FNMA POOL 938446 | | 5.5% 01 Jul 2022 | | 30,935 | | | | 32,845 | |
| | FNMA POOL 943699 | | 6.5% 01 Aug 2037 | | 8,460 | | | | 9,929 | |
| | FNMA POOL 946924 | | 6.5% 01 Sep 2037 | | 104,939 | | | | 124,881 | |
| | FNMA POOL 948227 | | 6.5% 01 Aug 2037 | | 98,568 | | | | 112,648 | |
| | FNMA POOL 954143 | | 6.5% 01 Dec 2037 | | 4,890 | | | | 5,589 | |
| | FNMA POOL 954804 | | 6.5% 01 Dec 2037 | | 915 | | | | 1,046 | |
| | FNMA POOL 956226 | | 6.5% 01 Nov 2037 | | 1,507 | | | | 1,722 | |
| | FNMA POOL 959604 | | 6.5% 01 Nov 2037 | | 18,478 | | | | 21,118 | |
| | FNMA POOL 968546 | | 6.5% 01 Feb 2038 | | 76,632 | | | | 87,579 | |
| | FNMA POOL 969014 | | 6.5% 01 Feb 2038 | | 344,651 | | | | 393,883 | |
| | FNMA POOL 969230 | | 5.5% 01 May 2037 | | 298,616 | | | | 334,032 | |
| | FNMA POOL 995930 | | 1% 01 Apr 2039 | | 15,387 | | | | 16,924 | |
| | FNMA POOL AA0472 | | 4% 01 Mar 2039 | | 241,035 | | | | 255,144 | |
| | FNMA POOL AB1047 | | 4.5% 01 May 2040 | | 939,280 | | | | 1,025,994 | |
| | FNMA POOL AB1141 | | 4.5% 01 Jun 2040 | | 896,763 | | | | 979,217 | |
| | FNMA POOL AB2801 | | 3.5% 01 Apr 2026 | | 1,102,115 | | | | 1,156,244 | |
| | FNMA POOL AB3693 | | 4% 01 Oct 2041 | | 831,685 | | | | 882,131 | |
| | FNMA POOL AB4058 | | 4% 01 Dec 2041 | | 998,161 | | | | 1,058,768 | |
| | FNMA POOL AB4689 | | 3.5% 01 Mar 2042 | | 1,309,659 | | | | 1,354,369 | |
| | FNMA POOL AB5593 | | 3.5% 01 Jul 2042 | | 832,108 | | | | 860,124 | |
| | FNMA POOL AB6136 | | 2.5% 01 Sep 2027 | | 5,120,711 | | | | 5,203,442 | |
236
Table of Contents
| | FNMA POOL AB6229 | | 3.5% 01 Sep 2042 | | 4,260,417 | | | | 4,403,117 | |
| | FNMA POOL AB6238 | | 3.5% 01 Sep 2042 | | 725,136 | | | | 750,756 | |
| | FNMA POOL AB6390 | | 3% 01 Oct 2042 | | 401,867 | | | | 403,019 | |
| | FNMA POOL AB6832 | | 3.5% 01 Nov 2042 | | 1,750,954 | | | | 1,809,514 | |
| | FNMA POOL AB7272 | | 3% 01 Dec 2042 | | 2,337,859 | | | | 2,348,330 | |
| | FNMA POOL AB7410 | | 3% 01 Dec 2042 | | 3,158,799 | | | | 3,167,853 | |
| | FNMA POOL AB7426 | | 3% 01 Dec 2042 | | 2,002,249 | | | | 2,011,250 | |
| | FNMA POOL AB7568 | | 3% 01 Jan 2043 | | 2,725,773 | | | | 2,733,575 | |
| | FNMA POOL AB7570 | | 3% 01 Jan 2043 | | 4,746,746 | | | | 4,759,492 | |
| | FNMA POOL AB7716 | | 2.5% 01 Jan 2028 | | 4,024,885 | | | | 4,078,248 | |
| | FNMA POOL AB7741 | | 3% 01 Jan 2043 | | 2,503,660 | | | | 2,509,466 | |
| | FNMA POOL AB8499 | | 3% 01 Feb 2043 | | 848,502 | | | | 853,109 | |
| | FNMA POOL AB9361 | | 3.5% 01 May 2043 | | 806,634 | | | | 835,577 | |
| | FNMA POOL AB9491 | | 2.5% 01 May 2028 | | 0 | | | | 0 | |
| | FNMA POOL AC1889 | | 4% 01 Sep 2039 | | 446,163 | | | | 472,320 | |
| | FNMA POOL AC2953 | | 4.5% 01 Sep 2039 | | 5,240,550 | | | | 5,670,148 | |
| | FNMA POOL AC3424 | | 1% 01 Oct 2039 | | 179,262 | | | | 190,805 | |
| | FNMA POOL AC3876 | | 1% 01 Dec 2039 | | 102,888 | | | | 108,865 | |
| | FNMA POOL AC8546 | | 1% 01 Jan 2040 | | 424,797 | | | | 448,140 | |
| | FNMA POOL AC8568 | | 4.5% 01 Jan 2040 | | 488,065 | | | | 528,231 | |
| | FNMA POOL AC9564 | | 4.5% 01 Feb 2040 | | 546,846 | | | | 597,337 | |
| | FNMA POOL AD0567 | | 1% 01 Sep 2039 | | 55,215 | | | | 64,926 | |
| | FNMA POOL AD5479 | | 5% 01 Jun 2040 | | 100,346 | | | | 110,708 | |
| | FNMA POOL AD9713 | | 5% 01 Aug 2040 | | 185,803 | | | | 205,563 | |
| | FNMA POOL AD9870 | | 4% 01 Oct 2040 | | 138,489 | | | | 146,660 | |
| | FNMA POOL AE0113 | | 1% 01 Jul 2040 | | 669,179 | | | | 708,735 | |
| | FNMA POOL AE0967 | | 1% 01 Jun 2039 | | 721,367 | | | | 744,801 | |
| | FNMA POOL AH0210 | | 4.5% 01 Dec 2040 | | 1,647,394 | | | | 1,799,671 | |
| | FNMA POOL AH0943 | | 4% 01 Dec 2040 | | 1,212,726 | | | | 1,291,096 | |
| | FNMA POOL AH2899 | | 4.5% 01 Jan 2041 | | 2,089,834 | | | | 2,283,401 | |
| | FNMA POOL AH3324 | | 3.5% 01 Feb 2026 | | 157,279 | | | | 165,018 | |
| | FNMA POOL AH3765 | | 4% 01 Jan 2041 | | 3,813,262 | | | | 4,043,319 | |
| | FNMA POOL AH4404 | | 4% 01 Jan 2041 | | 2,818,160 | | | | 2,989,909 | |
| | FNMA POOL AH5616 | | 3.5% 01 Feb 2026 | | 71,448 | | | | 74,964 | |
| | FNMA POOL AH5929 | | 3.5% 01 Feb 2026 | | 205,715 | | | | 215,812 | |
| | FNMA POOL AH5984 | | 4.5% 01 Mar 2041 | | 1,055,811 | | | | 1,149,133 | |
| | FNMA POOL AH6210 | | 3.5% 01 Feb 2026 | | 90,588 | | | | 95,065 | |
| | FNMA POOL AH6438 | | 3.5% 01 Feb 2026 | | 173,777 | | | | 182,351 | |
| | FNMA POOL AI1051 | | 4% 01 Jun 2026 | | 456,365 | | | | 484,140 | |
| | FNMA POOL AI8382 | | 3.5% 01 Sep 2026 | | 514,726 | | | | 540,084 | |
| | FNMA POOL AJ7688 | | 4% 01 Dec 2041 | | 1,007,344 | | | | 1,069,536 | |
| | FNMA POOL AJ9317 | | 4% 01 Jan 2042 | | 2,949,246 | | | | 3,131,727 | |
| | FNMA POOL AK0968 | | 3% 01 Feb 2027 | | 868,002 | | | | 899,093 | |
| | FNMA POOL AK1140 | | 3% 01 Feb 2027 | | 594,019 | | | | 615,270 | |
| | FNMA POOL AK1608 | | 3% 01 Jan 2027 | | 603,724 | | | | 625,338 | |
| | FNMA POOL AK5567 | | 3% 01 Apr 2027 | | 857,510 | | | | 888,179 | |
| | FNMA POOL AK6966 | | 3% 01 Mar 2027 | | 875,766 | | | | 907,110 | |
| | FNMA POOL AK7088 | | 3.5% 01 Apr 2042 | | 598,874 | | | | 619,364 | |
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Table of Contents
| | FNMA POOL AK8311 | | 2.5% 01 Dec 2027 | | 307,683 | | | | 311,771 | |
| | FNMA POOL AK8660 | | 3% 01 Apr 2027 | | 854,131 | | | | 884,687 | |
| | FNMA POOL AL1895 | | 1% 01 Jun 2042 | | 708,764 | | | | 733,452 | |
| | FNMA POOL AL1945 | | 1% 01 Jun 2042 | | 2,019,436 | | | | 2,089,744 | |
| | FNMA POOL AL2151 | | 1% 01 Mar 2042 | | 2,759,109 | | | | 2,855,216 | |
| | FNMA POOL AL2389 | | 1% 01 Sep 2042 | | 1,155,319 | | | | 1,197,339 | |
| | FNMA POOL AL3039 | | 1% 01 Oct 2027 | | 778,182 | | | | 819,688 | |
| | FNMA POOL AL3218 | | 1% 01 Feb 2043 | | 782,823 | | | | 811,289 | |
| | FNMA POOL AL6851 | | 1% 01 Oct 2043 | | 476,913 | | | | 460,894 | |
| | FNMA POOL AO0454 | | 3.5% 01 Aug 2042 | | 787,794 | | | | 815,629 | |
| | FNMA POOL AO0527 | | 3% 01 May 2027 | | 1,215,825 | | | | 1,259,339 | |
| | FNMA POOL AO1967 | | 3% 01 Jun 2027 | | 79,628 | | | | 82,474 | |
| | FNMA POOL AO3110 | | 3.5% 01 Jun 2042 | | 1,502,955 | | | | 1,554,147 | |
| | FNMA POOL AO4135 | | 3.5% 01 Jun 2042 | | 1,266,261 | | | | 1,309,240 | |
| | FNMA POOL AP0457 | | 3% 01 Jul 2027 | | 222,528 | | | | 230,467 | |
| | FNMA POOL AP1110 | | 2.5% 01 Sep 2027 | | 355,589 | | | | 361,348 | |
| | FNMA POOL AP2611 | | 3.5% 01 Sep 2042 | | 762,511 | | | | 789,443 | |
| | FNMA POOL AP3308 | | 3.5% 01 Sep 2042 | | 691,733 | | | | 716,109 | |
| | FNMA POOL AP3902 | | 3% 01 Oct 2042 | | 697,686 | | | | 700,821 | |
| | FNMA POOL AP4539 | | 3.5% 01 Sep 2042 | | 1,423,057 | | | | 1,470,540 | |
| | FNMA POOL AP5143 | | 3% 01 Sep 2042 | | 820,435 | | | | 823,232 | |
| | FNMA POOL AP6027 | | 3% 01 Apr 2043 | | 0 | | | | 0 | |
| | FNMA POOL AP6032 | | 3% 01 Apr 2043 | | 1,669,981 | | | | 1,673,861 | |
| | FNMA POOL AP8615 | | 2.5% 01 Nov 2027 | | 363,289 | | | | 368,107 | |
| | FNMA POOL AP8903 | | 3.5% 01 Oct 2042 | | 1,590,377 | | | | 1,644,026 | |
| | FNMA POOL AQ3956 | | 2.5% 01 Jun 2028 | | 244,067 | | | | 247,283 | |
| | FNMA POOL AR2638 | | 3.5% 01 Feb 2043 | | 782,306 | | | | 813,406 | |
| | FNMA POOL AR4756 | | 2.5% 01 Feb 2028 | | 209,713 | | | | 212,447 | |
| | FNMA POOL AR9203 | | 3.5% 01 Mar 2043 | | 3,205,271 | | | | 3,318,480 | |
| | FNMA POOL AT2894 | | 2.5% 01 May 2028 | | 69,916 | | | | 70,842 | |
| | FNMA POOL AU1279 | | 2.5% 01 Jul 2028 | | 412,612 | | | | 418,066 | |
| | FNMA POOL AU5904 | | 3.5% 01 Sep 2033 | | 821,746 | | | | 860,485 | |
| | FNMA POOL AU9300 | | 3% 01 Sep 2028 | | 826,495 | | | | 853,422 | |
| | FNMA POOL AV2223 | | 4% 01 Dec 2043 | | 282,280 | | | | 298,818 | |
| | FNMA POOL AY4759 | | 4% 01 Feb 2045 | | 0 | | | | 0 | |
| | FNMA POOL AZ3743 | | 3.5% 01 Nov 2045 | | 3,489,811 | | | | 3,603,212 | |
| | FNMA POOL MA0243 | | 5% 01 Nov 2029 | | 620,671 | | | | 682,649 | |
| | FNMA POOL MA0318 | | 4.5% 01 Feb 2030 | | 144,822 | | | | 156,412 | |
| | FNMA POOL MA0648 | | 3.5% 01 Feb 2026 | | 115,634 | | | | 121,321 | |
| | FNMA POOL MA0918 | | 4% 01 Dec 2041 | | 3,371,865 | | | | 3,576,794 | |
| | FNMA POOL MA1035 | | 3% 01 Apr 2027 | | 118,838 | | | | 123,081 | |
| | FNMA POOL MA1062 | | 3% 01 May 2027 | | 61,151 | | | | 63,321 | |
| | FNMA POOL MA1272 | | 3% 01 Dec 2042 | | 894,058 | | | | 896,617 | |
| | FNMA POOL MA2495 | | 3.5% 01 Jan 2046 | | 1,000,000 | | | | 1,032,497 | |
| | FNMA TBA 30 YR 3 | | 3% 14 Jan 2046 | | 2,000,000 | | | | 2,000,018 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 11 Feb 2046 | | (1,500,000 | ) | | | (1,544,362 | ) |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | (3,500,000 | ) | | | (3,602,676 | ) |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 3,500,000 | | | | 3,602,676 | |
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| | FORD MOTOR CREDIT CO LLC | | 2.551% 05 Oct 2018 | | 605,000 | | | | 600,704 | |
| | FORD MOTOR CREDIT CO LLC | | 2.597% 04 Nov 2019 | | 925,000 | | | | 908,200 | |
| | FORD MOTOR CREDIT CO LLC | | 3.157% 04 Aug 2020 | | 415,000 | | | | 413,546 | |
| | FORD MOTOR CREDIT CO LLC | | 3.2% 15 Jan 2021 | | 930,000 | | | | 923,710 | |
| | FORD MOTOR CREDIT CO LLC | | 3.664% 08 Sep 2024 | | 200,000 | | | | 194,482 | |
| | FORD MOTOR CREDIT CO LLC | | 5.75% 01 Feb 2021 | | 705,000 | | | | 778,867 | |
| | FORTUNE BRANDS HOME + SE | | 3% 15 Jun 2020 | | 375,000 | | | | 372,954 | |
| | FREDDIE MAC | | 0.75% 12 Jan 2018 | | 3,500,000 | | | | 3,471,832 | |
| | FREDDIE MAC | | 0.875% 07 Mar 2018 | | 2,640,000 | | | | 2,621,475 | |
| | FREDDIE MAC | | 1% 29 Sep 2017 | | 275,000 | | | | 274,243 | |
| | FREDDIE MAC | | 1.25% 01 Aug 2019 | | 750,000 | | | | 741,659 | |
| | FREDDIE MAC | | 2.375% 13 Jan 2022 | | 1,140,000 | | | | 1,155,837 | |
| | FREEPORT MCMORAN INC | | 3.55% 01 Mar 2022 | | 820,000 | | | | 475,600 | |
| | GE CAPITAL INTL FUNDING | | 0.964% 15 Apr 2016 | | 1,944,000 | | | | 1,944,877 | |
| | GE CAPITAL INTL FUNDING | | 3.373% 15 Nov 2025 | | 1,804,000 | | | | 1,836,625 | |
| | GE COMMERCIAL MORTGAGE CORPORA | | 5.481% 10 Dec 2049 | | 487,340 | | | | 487,446 | |
| | GENERAL DYNAMICS CORP | | 2.25% 15 Nov 2022 | | 785,000 | | | | 754,713 | |
| | GENERAL ELECTRIC CO | | 3.1% 09 Jan 2023 | | 526,000 | | | | 533,896 | |
| | GENERAL ELECTRIC CO | | 3.15% 07 Sep 2022 | | 168,000 | | | | 171,946 | |
| | GENERAL ELECTRIC CO | | 4.65% 17 Oct 2021 | | 240,000 | | | | 265,720 | |
| | GENERAL ELECTRIC CO | | 5.55% 04 May 2020 | | 185,000 | | | | 209,240 | |
| | GENERAL MILLS INC | | 5.7% 15 Feb 2017 | | 1,500,000 | | | | 1,569,119 | |
| | GENERAL MOTORS CO | | 4.875% 02 Oct 2023 | | 2,020,000 | | | | 2,065,771 | |
| | GEORGIA POWER COMPANY | | 5.7% 01 Jun 2017 | | 2,355,000 | | | | 2,485,790 | |
| | GILEAD SCIENCES INC | | 3.5% 01 Feb 2025 | | 285,000 | | | | 287,377 | |
| | GILEAD SCIENCES INC | | 3.7% 01 Apr 2024 | | 455,000 | | | | 466,065 | |
| | GILEAD SCIENCES INC | | 4.4% 01 Dec 2021 | | 265,000 | | | | 286,231 | |
| | GILEAD SCIENCES INC | | 4.5% 01 Apr 2021 | | 595,000 | | | | 643,754 | |
| | GLAXOSMITHKLINE CAP INC | | 2.8% 18 Mar 2023 | | 760,000 | | | | 757,788 | |
| | GNMA II POOL 004520 | | 5% 20 Aug 2039 | | 642,398 | | | | 709,754 | |
| | GNMA II POOL 004746 | | 4.5% 20 Jul 2040 | | 3,679,088 | | | | 4,007,648 | |
| | GNMA II POOL 004747 | | 5% 20 Jul 2040 | | 1,424,582 | | | | 1,574,019 | |
| | GNMA II POOL 004833 | | 4% 20 Oct 2040 | | 4,453,353 | | | | 4,769,822 | |
| | GNMA II POOL 004922 | | 4% 20 Jan 2041 | | 538,411 | | | | 576,776 | |
| | GNMA II POOL 004923 | | 4.5% 20 Jan 2041 | | 376,891 | | | | 410,550 | |
| | GNMA II POOL 004945 | | 4% 20 Feb 2041 | | 1,304,735 | | | | 1,397,663 | |
| | GNMA II POOL 004978 | | 4.5% 20 Mar 2041 | | 1,150,472 | | | | 1,253,220 | |
| | GNMA II POOL 004979 | | 5% 20 Mar 2041 | | 1,753,473 | | | | 1,937,422 | |
| | GNMA II POOL 004984 | | 5.5% 20 Mar 2041 | | 429,193 | | | | 475,725 | |
| | GNMA II POOL 005017 | | 4.5% 20 Apr 2041 | | 1,327,795 | | | | 1,446,381 | |
| | GNMA II POOL 005055 | | 4.5% 20 May 2041 | | 1,536,529 | | | | 1,673,760 | |
| | GNMA II POOL 005115 | | 4.5% 20 Jul 2041 | | 694,192 | | | | 756,192 | |
| | GNMA II POOL 005140 | | 4.5% 20 Aug 2041 | | 2,473,292 | | | | 2,694,192 | |
| | GNMA II POOL 005326 | | 3% 20 Mar 2027 | | 726,777 | | | | 756,396 | |
| | GNMA II POOL 005332 | | 4% 20 Mar 2042 | | 1,926,126 | | | | 2,059,053 | |
| | GNMA II POOL MA0023 | | 4% 20 Apr 2042 | | 912,188 | | | | 974,770 | |
| | GNMA II POOL MA0317 | | 3% 20 Aug 2042 | | 2,940,139 | | | | 2,991,550 | |
| | GNMA II POOL MA0318 | | 3.5% 20 Aug 2042 | | 6,272,589 | | | | 6,558,760 | |
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Table of Contents
| | GNMA II POOL MA0391 | | 3% 20 Sep 2042 | | 2,926,581 | | | | 2,977,754 | |
| | GNMA II POOL MA0392 | | 3.5% 20 Sep 2042 | | 3,170,065 | | | | 3,314,693 | |
| | GNMA II POOL MA0462 | | 3.5% 20 Oct 2042 | | 5,988,855 | | | | 6,262,085 | |
| | GNMA II POOL MA0624 | | 3% 20 Dec 2042 | | 1,118,732 | | | | 1,138,294 | |
| | GNMA II POOL MA1996 | | 4% 20 Jun 2044 | | 0 | | | | 0 | |
| | GNMA II POOL MA2961 | | 3.5% 20 Jul 2045 | | 1,955,275 | | | | 2,041,291 | |
| | GNMA II POOL MA3035 | | 4% 20 Aug 2045 | | 2,866,877 | | | | 3,046,276 | |
| | GNMA II TBA 30 YR 3 | | 3% 21 Jan 2046 | | 3,500,000 | | | | 3,547,442 | |
| | GNMA II TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 11,000,000 | | | | 11,467,071 | |
| | GNMA POOL 391705 | | 5.5% 15 Jan 2038 | | 58,370 | | | | 64,942 | |
| | GNMA POOL 561294 | | 5.5% 15 Feb 2033 | | 83,076 | | | | 94,474 | |
| | GNMA POOL 600546 | | 5.5% 15 May 2036 | | 3,384 | | | | 3,766 | |
| | GNMA POOL 603325 | | 5.5% 15 Dec 2032 | | 1,230 | | | | 1,388 | |
| | GNMA POOL 672676 | | 5.5% 15 Apr 2038 | | 150,645 | | | | 167,633 | |
| | GNMA POOL 676389 | | 5.5% 15 Jan 2038 | | 1,630 | | | | 1,817 | |
| | GNMA POOL 676515 | | 5.5% 15 Feb 2038 | | 423,627 | | | | 471,324 | |
| | GNMA POOL 676754 | | 5.5% 15 Mar 2038 | | 292,271 | | | | 325,280 | |
| | GNMA POOL 677222 | | 5.5% 15 Aug 2038 | | 458,056 | | | | 510,874 | |
| | GNMA POOL 677228 | | 6% 15 Aug 2038 | | 1,361 | | | | 1,538 | |
| | GNMA POOL 683957 | | 5.5% 15 Feb 2038 | | 179,909 | | | | 200,829 | |
| | GNMA POOL 684721 | | 5.5% 15 Mar 2038 | | 98,225 | | | | 109,284 | |
| | GNMA POOL 687179 | | 5.5% 15 Apr 2038 | | 187,381 | | | | 208,825 | |
| | GNMA POOL 697463 | | 6% 15 Sep 2038 | | 208,821 | | | | 234,249 | |
| | GNMA POOL 700829 | | 5.5% 15 Oct 2038 | | 3,588 | | | | 3,998 | |
| | GNMA POOL 700978 | | 6% 15 Nov 2038 | | 319,046 | | | | 360,536 | |
| | GNMA POOL 723344 | | 4% 15 Sep 2039 | | 817,221 | | | | 867,495 | |
| | GNMA POOL 723430 | | 4.5% 15 Nov 2039 | | 1,011,732 | | | | 1,098,319 | |
| | GNMA POOL 737111 | | 4.5% 15 Apr 2040 | | 1,416,066 | | | | 1,531,946 | |
| | GNMA POOL 738882 | | 4% 15 Oct 2041 | | 436,837 | | | | 463,766 | |
| | GNMA POOL 745243 | | 4% 15 Jul 2040 | | 791,306 | | | | 839,747 | |
| | GNMA POOL 771561 | | 4% 15 Aug 2041 | | 472,018 | | | | 506,384 | |
| | GNMA POOL 782495 | | 5.5% 15 Dec 2038 | | 89,728 | | | | 99,987 | |
| | GNMA POOL 782528 | | 5% 15 Jan 2039 | | 869,066 | | | | 962,092 | |
| | GNMA POOL 783851 | | 6% 15 Mar 2041 | | 246,614 | | | | 278,704 | |
| | GNMA POOL AA5821 | | 3% 15 Nov 2042 | | 1,983,155 | | | | 2,017,511 | |
| | GNMA POOL AB3031 | | 3% 15 Oct 2042 | | 385,471 | | | | 392,148 | |
| | GNMA POOL AB9110 | | 3% 15 Oct 2042 | | 1,880,008 | | | | 1,912,577 | |
| | GNMA POOL AD2413 | | 3.5% 15 May 2043 | | 381,483 | | | | 397,627 | |
| | GNMA POOL AD2414 | | 3.5% 15 May 2043 | | 760,786 | | | | 792,246 | |
| | GNMA POOL AD8784 | | 3% 15 Mar 2043 | | 805,473 | | | | 819,450 | |
| | GNMA POOL AN6808 | | 3.5% 15 Jul 2045 | | 1,934,885 | | | | 2,015,394 | |
| | GOLDMAN SACHS GROUP INC | | 3.625% 22 Jan 2023 | | 880,000 | | | | 889,992 | |
| | GOLDMAN SACHS GROUP INC | | 3.75% 22 May 2025 | | 1,990,000 | | | | 2,003,269 | |
| | GOLDMAN SACHS GROUP INC | | 5.375% 15 Mar 2020 | | 130,000 | | | | 142,811 | |
| | GOLDMAN SACHS GROUP INC | | 5.75% 24 Jan 2022 | | 250,000 | | | | 284,305 | |
| | GOLDMAN SACHS GROUP INC | | 6.15% 01 Apr 2018 | | 2,730,000 | | | | 2,964,551 | |
| | GOVERNMENT PROPERTIES IN | | 3.75% 15 Aug 2019 | | 310,000 | | | | 311,417 | |
| | GS MORTGAGE SECURITIES TRUST | | 3.68% 10 Apr 2047 | | 4,000,000 | | | | 4,171,725 | |
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| | GS MORTGAGE SECURITIES TRUST | | 4.074% 10 Jan 2047 | | 4,065,000 | | | | 4,279,931 | |
| | HALLIBURTON CO | | 3.8% 15 Nov 2025 | | 820,000 | | | | 798,452 | |
| | HALLIBURTON COMPANY | | 3.5% 01 Aug 2023 | | 865,000 | | | | 848,930 | |
| | HARTFORD FINL SVCS GRP | | 5.125% 15 Apr 2022 | | 595,000 | | | | 653,437 | |
| | HARTFORD FINL SVCS GRP | | 5.5% 30 Mar 2020 | | 820,000 | | | | 907,734 | |
| | HOME DEPOT INC | | 2.625% 01 Jun 2022 | | 620,000 | | | | 619,352 | |
| | HP ENTERPRISE CO | | 2.45% 05 Oct 2017 | | 2,627,000 | | | | 2,624,772 | |
| | HP ENTERPRISE CO | | 2.85% 05 Oct 2018 | | 940,000 | | | | 939,475 | |
| | HP INC | | 4.3% 01 Jun 2021 | | 700,000 | | | | 693,195 | |
| | HSBC HOLDINGS PLC | | 5.1% 05 Apr 2021 | | 1,865,000 | | | | 2,073,431 | |
| | INGERSOLL RAND GL HLD CO | | 4.25% 15 Jun 2023 | | 565,000 | | | | 581,866 | |
| | INGERSOLL RAND GL HLD CO | | 6.875% 15 Aug 2018 | | 775,000 | | | | 855,446 | |
| | INTERNATIONAL PAPER CO | | 4.75% 15 Feb 2022 | | 1,113,000 | | | | 1,188,696 | |
| | JM SMUCKER CO | | 3.5% 15 Mar 2025 | | 365,000 | | | | 363,023 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 12 Jan 2037 | | 179,531 | | | | 179,131 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 2.875% 15 Dec 2047 | | 1,900,000 | | | | 1,876,953 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 3.07% 15 Dec 2046 | | 660,000 | | | | 673,752 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 3.362% 15 Jul 2045 | | 2,000,000 | | | | 2,026,781 | |
* | | JPMORGAN CHASE + CO | | 3.2% 25 Jan 2023 | | 1,180,000 | | | | 1,176,147 | |
* | | JPMORGAN CHASE + CO | | 3.25% 23 Sep 2022 | | 930,000 | | | | 935,368 | |
* | | JPMORGAN CHASE + CO | | 3.375% 01 May 2023 | | 290,000 | | | | 285,017 | |
* | | JPMORGAN CHASE + CO | | 3.625% 13 May 2024 | | 690,000 | | | | 700,225 | |
* | | JPMORGAN CHASE + CO | | 3.875% 10 Sep 2024 | | 350,000 | | | | 348,160 | |
* | | JPMORGAN CHASE + CO | | 6.3% 23 Apr 2019 | | 2,590,000 | | | | 2,904,170 | |
| | KELLOGG CO | | 1.75% 17 May 2017 | | 500,000 | | | | 500,221 | |
| | KEYCORP | | 5.1% 24 Mar 2021 | | 235,000 | | | | 256,843 | |
| | KINDER MORGAN ENER PART | | 4.15% 01 Mar 2022 | | 633,000 | | | | 562,469 | |
| | KINDER MORGAN ENER PART | | 6.5% 01 Apr 2020 | | 125,000 | | | | 127,538 | |
| | KINDER MORGAN ENER PART | | 6.85% 15 Feb 2020 | | 615,000 | | | | 636,108 | |
| | KONINKLIJKE PHILIPS NV | | 5.75% 11 Mar 2018 | | 670,000 | | | | 716,978 | |
| | KOREA DEVELOPMENT BANK | | 3.875% 04 May 2017 | | 305,000 | | | | 312,835 | |
| | KRAFT HEINZ FOODS CO | | 3.95% 15 Jul 2025 | | 1,210,000 | | | | 1,221,265 | |
| | KRAFT HEINZ FOODS CO | | 5.375% 10 Feb 2020 | | 287,000 | | | | 314,248 | |
| | KROGER CO/THE | | 2.3% 15 Jan 2019 | | 190,000 | | | | 190,497 | |
| | LABORATORY CORP OF AMER | | 3.6% 01 Feb 2025 | | 810,000 | | | | 781,597 | |
| | LG+E AND KU ENERGY LLC | | 3.75% 15 Nov 2020 | | 495,000 | | | | 511,099 | |
| | LLOYDS BANK PLC | | 2.3% 27 Nov 2018 | | 450,000 | | | | 451,787 | |
| | LOCKHEED MARTIN CORP | | 4.25% 15 Nov 2019 | | 642,000 | | | | 688,595 | |
| | LYONDELLBASELL IND NV | | 6% 15 Nov 2021 | | 1,325,000 | | | | 1,487,290 | |
| | MARSH + MCLENNAN COS INC | | 3.5% 03 Jun 2024 | | 495,000 | | | | 490,502 | |
| | MASTERCARD INC | | 3.375% 01 Apr 2024 | | 615,000 | | | | 628,494 | |
| | MCDONALD S CORP | | 1.875% 29 May 2019 | | 440,000 | | | | 434,621 | |
| | MCDONALD S CORP | | 2.625% 15 Jan 2022 | | 610,000 | | | | 594,842 | |
| | MCDONALD S CORP | | 3.7% 30 Jan 2026 | | 265,000 | | | | 264,782 | |
| | MCKESSON CORP | | 4.75% 01 Mar 2021 | | 575,000 | | | | 621,095 | |
| | MCKESSON CORP | | 5.7% 01 Mar 2017 | | 415,000 | | | | 434,788 | |
| | MEDTRONIC INC | | 2.75% 01 Apr 2023 | | 365,000 | | | | 355,763 | |
| | MEDTRONIC INC | | 3.5% 15 Mar 2025 | | 1,230,000 | | | | 1,240,049 | |
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| | MERCK + CO INC | | 2.75% 10 Feb 2025 | | 870,000 | | | | 846,952 | |
| | MERCK + CO INC | | 3.875% 15 Jan 2021 | | 695,000 | | | | 745,078 | |
| | MERRILL LYNCH MORTGAGE TRUST | | 1% 12 May 2039 | | 1,120,000 | | | | 1,124,323 | |
* | | METLIFE INC | | 4.368% 15 Sep 2023 | | 875,000 | | | | 939,483 | |
* | | METLIFE INC | | 6.75% 01 Jun 2016 | | 935,000 | | | | 956,417 | |
| | MICROSOFT CORP | | 1.85% 12 Feb 2020 | | 75,000 | | | | 75,145 | |
| | MICROSOFT CORP | | 3.125% 03 Nov 2025 | | 360,000 | | | | 361,910 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 1% 12 Feb 2039 | | 2,150,000 | | | | 2,148,395 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 1% 12 Jun 2046 | | 2,035 | | | | 2,036 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 1% 12 Jun 2046 | | 280,000 | | | | 282,874 | |
| | MOLSON COORS BREWING CO | | 2% 01 May 2017 | | 380,000 | | | | 380,087 | |
| | MONSANTO CO | | 3.375% 15 Jul 2024 | | 400,000 | | | | 381,361 | |
| | MORGAN STANLEY | | 3.75% 25 Feb 2023 | | 2,420,000 | | | | 2,478,724 | |
| | MORGAN STANLEY | | 3.875% 29 Apr 2024 | | 370,000 | | | | 377,170 | |
| | MORGAN STANLEY | | 4% 23 Jul 2025 | | 1,100,000 | | | | 1,132,751 | |
| | MORGAN STANLEY | | 4.1% 22 May 2023 | | 195,000 | | | | 196,989 | |
| | MORGAN STANLEY | | 4.875% 01 Nov 2022 | | 140,000 | | | | 148,575 | |
| | MORGAN STANLEY | | 5.625% 23 Sep 2019 | | 1,570,000 | | | | 1,732,650 | |
| | MORGAN STANLEY | | 5.75% 25 Jan 2021 | | 100,000 | | | | 112,275 | |
| | MORGAN STANLEY BAML TRUST | | 3.451% 15 Jul 2050 | | 1,134,000 | | | | 1,133,197 | |
| | MORGAN STANLEY BAML TRUST | | 3.719% 15 Jul 2050 | | 3,500,000 | | | | 3,566,691 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 12 Jul 2044 | | 320,000 | | | | 323,934 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 15 Oct 2042 | | 160,000 | | | | 161,100 | |
| | MYLAN INC | | 2.55% 28 Mar 2019 | | 250,000 | | | | 246,729 | |
| | NABORS INDUSTRIES INC | | 4.625% 15 Sep 2021 | | 460,000 | | | | 378,010 | |
| | NABORS INDUSTRIES INC | | 6.15% 15 Feb 2018 | | 1,000,000 | | | | 1,014,683 | |
| | NBCUNIVERSAL MEDIA LLC | | 4.375% 01 Apr 2021 | | 270,000 | | | | 293,282 | |
| | NISOURCE FINANCE CORP | | 6.8% 15 Jan 2019 | | 395,000 | | | | 443,127 | |
| | NOBLE ENERGY INC | | 4.15% 15 Dec 2021 | | 400,000 | | | | 387,656 | |
| | NOBLE ENERGY INC | | 8.25% 01 Mar 2019 | | 775,000 | | | | 866,756 | |
| | NOMURA HOLDINGS INC | | 2.75% 19 Mar 2019 | | 1,080,000 | | | | 1,085,827 | |
| | NORFOLK SOUTHERN CORP | | 3% 01 Apr 2022 | | 635,000 | | | | 627,672 | |
| | NORFOLK SOUTHERN CORP | | 5.9% 15 Jun 2019 | | 695,000 | | | | 772,493 | |
| | NORTHERN STATES PWR MINN | | 2.2% 15 Aug 2020 | | 460,000 | | | | 456,847 | |
| | NORTHROP GRUMMAN CORP | | 5.05% 01 Aug 2019 | | 1,500,000 | | | | 1,626,728 | |
| | NOVARTIS CAPITAL CORP | | 2.4% 21 Sep 2022 | | 1,045,000 | | | | 1,028,846 | |
| | NOVARTIS CAPITAL CORP | | 3.4% 06 May 2024 | | 160,000 | | | | 165,182 | |
| | OCCIDENTAL PETROLEUM COR | | 4.1% 01 Feb 2021 | | 1,290,000 | | | | 1,353,409 | |
| | ONCOR ELECTRIC DELIVERY | | 2.95% 01 Apr 2025 | | 480,000 | | | | 450,973 | |
| | ONEOK PARTNERS LP | | 3.375% 01 Oct 2022 | | 495,000 | | | | 401,506 | |
| | ONEOK PARTNERS LP | | 8.625% 01 Mar 2019 | | 535,000 | | | | 589,934 | |
| | ORACLE CORP | | 2.5% 15 Oct 2022 | | 490,000 | | | | 478,518 | |
| | ORACLE CORP | | 2.8% 08 Jul 2021 | | 460,000 | | | | 465,936 | |
| | ORACLE CORP | | 2.95% 15 May 2025 | | 835,000 | | | | 813,449 | |
| | ORACLE CORP | | 5% 08 Jul 2019 | | 1,215,000 | | | | 1,336,236 | |
| | PACIFIC GAS + ELECTRIC | | 3.85% 15 Nov 2023 | | 895,000 | | | | 929,900 | |
| | PEOPLES UNITED BANK | | 4% 15 Jul 2024 | | 475,000 | | | | 469,686 | |
| | PEPSICO INC | | 2.75% 01 Mar 2023 | | 360,000 | | | | 358,557 | |
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| | PEPSICO INC | | 2.75% 05 Mar 2022 | | 1,255,000 | | | | 1,258,082 | |
| | PEPSICO INC | | 3.1% 17 Jul 2022 | | 140,000 | | | | 143,698 | |
| | PETROLEOS MEXICANOS | | 4.25% 15 Jan 2025 | | 270,000 | | | | 236,250 | |
| | PHILIP MORRIS INTL INC | | 2.625% 06 Mar 2023 | | 540,000 | | | | 529,471 | |
| | PHILIP MORRIS INTL INC | | 4.5% 26 Mar 2020 | | 520,000 | | | | 566,254 | |
| | PNC BANK NA | | 3.25% 01 Jun 2025 | | 365,000 | | | | 363,065 | |
| | PNC FINANCIAL SERVICES | | 3.9% 29 Apr 2024 | | 90,000 | | | | 92,153 | |
| | PNC FUNDING CORP | | 4.375% 11 Aug 2020 | | 265,000 | | | | 286,038 | |
| | PNC FUNDING CORP | | 6.7% 10 Jun 2019 | | 1,355,000 | | | | 1,548,746 | |
| | PRINCIPAL FINANCIAL GROU | | 1.85% 15 Nov 2017 | | 340,000 | | | | 340,282 | |
| | PROCTER + GAMBLE CO/THE | | 3.1% 15 Aug 2023 | | 480,000 | | | | 500,418 | |
| | PROGRESS ENERGY INC | | 4.875% 01 Dec 2019 | | 1,295,000 | | | | 1,388,460 | |
| | RAYTHEON COMPANY | | 3.125% 15 Oct 2020 | | 230,000 | | | | 238,414 | |
| | RAYTHEON COMPANY | | 3.15% 15 Dec 2024 | | 575,000 | | | | 576,140 | |
| | REPUBLIC OF CHILE | | 3.25% 14 Sep 2021 | | 960,000 | | | | 994,080 | |
| | REPUBLIC OF COLOMBIA | | 4% 26 Feb 2024 | | 660,000 | | | | 628,650 | |
| | REPUBLIC SERVICES INC | | 5.5% 15 Sep 2019 | | 495,000 | | | | 544,601 | |
| | REYNOLDS AMERICAN INC | | 6.75% 15 Jun 2017 | | 945,000 | | | | 1,008,793 | |
| | RIO TINTO FIN USA LTD | | 3.75% 15 Jun 2025 | | 240,000 | | | | 217,860 | |
| | RIO TINTO FIN USA PLC | | 1.375% 17 Jun 2016 | | 320,000 | | | | 319,813 | |
| | RIO TINTO FIN USA PLC | | 3.5% 22 Mar 2022 | | 490,000 | | | | 461,858 | |
| | ROGERS COMMUNICATIONS IN | | 3% 15 Mar 2023 | | 320,000 | | | | 310,696 | |
| | ROGERS COMMUNICATIONS IN | | 6.8% 15 Aug 2018 | | 365,000 | | | | 407,382 | |
| | ROYAL BK SCOTLND GRP PLC | | 6.4% 21 Oct 2019 | | 555,000 | | | | 615,761 | |
| | SAN DIEGO G + E | | 3.6% 01 Sep 2023 | | 285,000 | | | | 296,704 | |
| | SANTANDER UK GROUP HLDGS | | 2.875% 16 Oct 2020 | | 495,000 | | | | 491,639 | |
| | SCHLUMBERGER INVESTMENT | | 3.65% 01 Dec 2023 | | 285,000 | | | | 289,140 | |
| | SCRIPPS NETWORKS INTERAC | | 3.95% 15 Jun 2025 | | 620,000 | | | | 592,726 | |
| | SEAGATE HDD CAYMAN | | 4.75% 01 Jun 2023 | | 170,000 | | | | 148,798 | |
| | SELECT INCOME REIT | | 2.85% 01 Feb 2018 | | 245,000 | | | | 244,663 | |
| | SHELL INTERNATIONAL FIN | | 2% 15 Nov 2018 | | 2,680,000 | | | | 2,683,122 | |
| | SHELL INTERNATIONAL FIN | | 4.3% 22 Sep 2019 | | 855,000 | | | | 911,259 | |
| | SOUTHERN CAL EDISON | | 3.5% 01 Oct 2023 | | 755,000 | | | | 778,941 | |
| | SOUTHERN COPPER CORP | | 3.875% 23 Apr 2025 | | 700,000 | | | | 627,723 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 40,522,759 | | | | 40,522,759 | |
| | STATE OF ISRAEL | | 4% 30 Jun 2022 | | 655,000 | | | | 702,824 | |
| | SUMITOMO MITSUI BANKING | | 3.95% 19 Jul 2023 | | 510,000 | | | | 531,257 | |
| | SVENSKA HANDELSBANKEN AB | | 2.5% 25 Jan 2019 | | 1,125,000 | | | | 1,135,428 | |
| | SYNCHRONY FINANCIAL | | 4.25% 15 Aug 2024 | | 440,000 | | | | 434,043 | |
| | TENN VALLEY AUTHORITY | | 2.875% 15 Sep 2024 | | 875,000 | | | | 879,767 | |
| | TENN VALLEY AUTHORITY | | 3.875% 15 Feb 2021 | | 1,450,000 | | | | 1,582,737 | |
| | TENN VALLEY AUTHORITY | | 5.5% 18 Jul 2017 | | 440,000 | | | | 469,261 | |
| | TEVA PHARMACEUT FIN BV | | 2.95% 18 Dec 2022 | | 825,000 | | | | 789,812 | |
| | TIME WARNER CABLE INC | | 5.85% 01 May 2017 | | 805,000 | | | | 842,131 | |
| | TIME WARNER CABLE INC | | 8.75% 14 Feb 2019 | | 515,000 | | | | 597,427 | |
| | TIME WARNER INC | | 4.75% 29 Mar 2021 | | 1,260,000 | | | | 1,354,363 | |
| | TOTAL CAPITAL INTL SA | | 2.7% 25 Jan 2023 | | 460,000 | | | | 440,979 | |
| | TRAVELERS COS INC | | 5.8% 15 May 2018 | | 1,360,000 | | | | 1,485,116 | |
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| | TYCO ELECTRONICS GROUP S | | 6.55% 01 Oct 2017 | | 385,000 | | | | 414,908 | |
| | TYSON FOODS INC | | 3.95% 15 Aug 2024 | | 590,000 | | | | 605,758 | |
| | UBS AG STAMFORD CT | | 1.375% 01 Jun 2017 | | 1,155,000 | | | | 1,149,496 | |
| | UBS AG STAMFORD CT | | 1.8% 26 Mar 2018 | | 1,015,000 | | | | 1,013,301 | |
| | UBS AG STAMFORD CT | | 2.375% 14 Aug 2019 | | 380,000 | | | | 379,555 | |
| | UNILEVER CAPITAL CORP | | 4.25% 10 Feb 2021 | | 900,000 | | | | 982,760 | |
| | UNION PACIFIC CORP | | 4% 01 Feb 2021 | | 1,045,000 | | | | 1,116,754 | |
| | UNITED MEXICAN STATES | | 4% 02 Oct 2023 | | 553,000 | | | | 560,189 | |
| | UNITED MEXICAN STATES | | 5.95% 19 Mar 2019 | | 1,867,000 | | | | 2,072,370 | |
| | UNITED PARCEL SERVICE | | 3.125% 15 Jan 2021 | | 560,000 | | | | 582,188 | |
| | UNITED PARCEL SERVICE | | 5.125% 01 Apr 2019 | | 145,000 | | | | 160,003 | |
| | UNITED TECHNOLOGIES CORP | | 3.1% 01 Jun 2022 | | 730,000 | | | | 742,960 | |
| | UNITEDHEALTH GROUP INC | | 2.75% 15 Feb 2023 | | 275,000 | | | | 269,560 | |
| | UNITEDHEALTH GROUP INC | | 2.875% 15 Mar 2022 | | 130,000 | | | | 129,833 | |
| | UNITEDHEALTH GROUP INC | | 3.75% 15 Jul 2025 | | 685,000 | | | | 706,150 | |
| | UNITEDHEALTH GROUP INC | | 4.7% 15 Feb 2021 | | 365,000 | | | | 399,436 | |
| | UNITEDHEALTH GROUP INC | | 6% 15 Feb 2018 | | 495,000 | | | | 538,368 | |
| | US 10YR NOTE (CBT)MAR16 | | XCBT 20160321 | | 7,500,000 | | | | (19,727 | ) |
| | US 5YR NOTE (CBT) MAR16 | | XCBT 20160331 | | 10,300,000 | | | | (29,126 | ) |
| | US DOLLAR | | | | (56,293 | ) | | | (56,293 | ) |
| | US LONG BOND(CBT) MAR16 | | XCBT 20160321 | | (5,100,000 | ) | | | 19,063 | |
| | US TREASURY N/B | | 0.625% 15 Feb 2017 | | 20,280,000 | | | | 20,228,509 | |
| | US TREASURY N/B | | 0.625% 30 Apr 2018 | | 2,870,000 | | | | 2,833,115 | |
| | US TREASURY N/B | | 0.625% 31 May 2017 | | 21,530,000 | | | | 21,434,967 | |
| | US TREASURY N/B | | 0.75% 28 Feb 2018 | | 15,565,000 | | | | 15,432,448 | |
| | US TREASURY N/B | | 0.75% 31 Oct 2017 | | 1,625,000 | | | | 1,616,368 | |
| | US TREASURY N/B | | 0.875% 15 Aug 2017 | | 27,235,000 | | | | 27,174,348 | |
| | US TREASURY N/B | | 0.875% 15 Jan 2018 | | 23,670,000 | | | | 23,562,751 | |
| | US TREASURY N/B | | 0.875% 31 Jan 2018 | | 1,490,000 | | | | 1,482,550 | |
| | US TREASURY N/B | | 1% 15 Aug 2018 | | 7,575,000 | | | | 7,525,884 | |
| | US TREASURY N/B | | 1% 31 Mar 2017 | | 12,075,000 | | | | 12,093,861 | |
| | US TREASURY N/B | | 1% 31 May 2018 | | 19,395,000 | | | | 19,295,756 | |
| | US TREASURY N/B | | 1.25% 15 Dec 2018 | | 4,965,000 | | | | 4,954,529 | |
| | US TREASURY N/B | | 1.25% 30 Nov 2018 | | 32,365,000 | | | | 32,310,627 | |
| | US TREASURY N/B | | 1.5% 31 Aug 2018 | | 8,115,000 | | | | 8,168,892 | |
| | US TREASURY N/B | | 1.5% 31 Oct 2019 | | 6,760,000 | | | | 6,738,875 | |
| | US TREASURY N/B | | 1.625% 30 Apr 2019 | | 18,765,000 | | | | 18,874,212 | |
| | US TREASURY N/B | | 1.625% 30 Nov 2020 | | 3,629,000 | | | | 3,607,451 | |
| | US TREASURY N/B | | 1.75% 28 Feb 2022 | | 21,485,000 | | | | 21,179,505 | |
| | US TREASURY N/B | | 1.75% 31 Dec 2020 | | 1,045,000 | | | | 1,043,857 | |
| | US TREASURY N/B | | 1.75% 31 Mar 2022 | | 7,225,000 | | | | 7,113,800 | |
| | US TREASURY N/B | | 1.875% 30 Sep 2017 | | 2,990,000 | | | | 3,032,165 | |
| | US TREASURY N/B | | 2% 30 Nov 2020 | | 21,625,000 | | | | 21,843,780 | |
| | US TREASURY N/B | | 2% 30 Nov 2022 | | 18,060,000 | | | | 17,961,230 | |
| | US TREASURY N/B | | 2.125% 30 Sep 2021 | | 11,715,000 | | | | 11,838,558 | |
| | US TREASURY N/B | | 2.125% 31 Dec 2021 | | 3,310,000 | | | | 3,339,221 | |
| | US TREASURY N/B | | 2.25% 15 Nov 2025 | | 100,000 | | | | 99,777 | |
| | US TREASURY N/B | | 2.375% 15 Aug 2024 | | 7,020,000 | | | | 7,093,219 | |
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| | US TREASURY N/B | | 2.625% 15 Nov 2020 | | 29,025,000 | | | | 30,156,511 | |
| | US TREASURY N/B | | 2.625% 31 Jan 2018 | | 2,080,000 | | | | 2,144,351 | |
| | US TREASURY N/B | | 3.125% 15 May 2019 | | 1,570,000 | | | | 1,656,289 | |
| | US TREASURY N/B | | 8% 15 Nov 2021 | | 4,765,000 | | | | 6,362,576 | |
| | US ULTRA BOND CBT MAR16 | | XCBT 20160321 | | (20,300,000 | ) | | | (103,949 | ) |
| | VERIZON COMMUNICATIONS | | 4.6% 01 Apr 2021 | | 885,000 | | | | 951,229 | |
| | VERIZON COMMUNICATIONS | | 5.15% 15 Sep 2023 | | 2,490,000 | | | | 2,737,322 | |
| | VIACOM INC | | 3.125% 15 Jun 2022 | | 280,000 | | | | 259,409 | |
| | VIACOM INC | | 5.625% 15 Sep 2019 | | 590,000 | | | | 637,142 | |
| | WACHOVIA BANK COMMERCIAL MORTG | | 1% 15 Jul 2045 | | 0 | | | | 0 | |
| | WACHOVIA BANK COMMERCIAL MORTG | | 5.308% 15 Nov 2048 | | 0 | | | | 0 | |
| | WAL MART STORES INC | | 5.375% 05 Apr 2017 | | 1,265,000 | | | | 1,332,208 | |
| | WALT DISNEY COMPANY/THE | | 1.1% 01 Dec 2017 | | 365,000 | | | | 363,846 | |
| | WALT DISNEY COMPANY/THE | | 2.75% 16 Aug 2021 | | 660,000 | | | | 670,924 | |
| | WASTE MANAGEMENT INC | | 2.9% 15 Sep 2022 | | 475,000 | | | | 466,193 | |
| | WASTE MANAGEMENT INC | | 4.6% 01 Mar 2021 | | 260,000 | | | | 280,431 | |
| | WELLS FARGO + COMPANY | | 5.625% 11 Dec 2017 | | 2,285,000 | | | | 2,451,439 | |
| | WESTERN GAS PARTNERS | | 4% 01 Jul 2022 | | 325,000 | | | | 287,467 | |
| | WESTROCK RKT CO | | 4.9% 01 Mar 2022 | | 285,000 | | | | 302,267 | |
| | WILLIAMS PARTNERS LP | | 4.3% 04 Mar 2024 | | 1,095,000 | | | | 867,723 | |
| | XEROX CORPORATION | | 2.95% 15 Mar 2017 | | 460,000 | | | | 463,418 | |
| | XTO ENERGY INC | | 5.5% 15 Jun 2018 | | 975,000 | | | | 1,062,431 | |
| | XYLEM INC | | 4.875% 01 Oct 2021 | | 690,000 | | | | 733,432 | |
| | ZIMMER BIOMET HOLDINGS | | 2.7% 01 Apr 2020 | | 510,000 | | | | 503,590 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5739 8 of 16 | | | | | | $ | 1,046,881,273 | |
| | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | PRUDENTIAL INVESTMENT CORP | | PRU INVEST CORP | | 11,391 | | | | $ | 352,661,139 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5740 9 of 16 | | | | | | $ | 352,661,139 | |
| | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 13,658 | | | | $ | 13,658 | |
| | IBOND UNITED STATES SAV BOND | | SERIES I 10/2011 | | 16,000,000 | | | | 436,160,000 | |
| | US DOLLAR | | | | (49 | ) | | | (49 | ) |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5741 10 of 16 | | | | | | $ | 436,173,608 | |
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Table of Contents
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | ACTAVIS FUNDING SCS | | 2.45% 15 Jun 2019 | | 2,075,000 | | | | $ | 2,052,565 | |
| | ACTAVIS FUNDING SCS | | 3.45% 15 Mar 2022 | | 350,000 | | | | 350,382 | |
| | ACTAVIS FUNDING SCS | | 3.8% 15 Mar 2025 | | 375,000 | | | | 373,085 | |
| | AIRGAS INC | | 2.375% 15 Feb 2020 | | 1,050,000 | | | | 1,037,567 | |
| | AMEREN CORP | | 2.7% 15 Nov 2020 | | 2,225,000 | | | | 2,216,527 | |
| | AMERICAN CAMPUS CMNTYS | | 3.35% 01 Oct 2020 | | 1,000,000 | | | | 998,543 | |
| | AMERICAN EXPRESS CREDIT | | 1% 18 Mar 2019 | | 1,250,000 | | | | 1,235,406 | |
| | AMERICAN EXPRESS ISSUANCE TRUS | | 1% 15 Aug 2019 | | 600,000 | | | | 600,176 | |
| | AMPHENOL CORP | | 3.125% 15 Sep 2021 | | 800,000 | | | | 791,013 | |
| | ANADARKO PETROLEUM CORP | | 6.375% 15 Sep 2017 | | 750,000 | | | | 786,467 | |
| | ASSURANT INC | | 2.5% 15 Mar 2018 | | 1,250,000 | | | | 1,247,941 | |
| | ASTRAZENECA PLC | | 2.375% 16 Nov 2020 | | 875,000 | | | | 868,753 | |
| | ASTRAZENECA PLC | | 3.375% 16 Nov 2025 | | 1,875,000 | | | | 1,861,421 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 5.451% 15 Jan 2049 | | 2,268,035 | | | | 2,326,450 | |
| | BANK OF AMERICA CORP | | 2.625% 19 Oct 2020 | | 1,350,000 | | | | 1,333,018 | |
| | BANK OF AMERICA CORP | | 3.3% 11 Jan 2023 | | 1,350,000 | | | | 1,328,839 | |
| | BANK OF AMERICA NA | | 2.05% 07 Dec 2018 | | 1,000,000 | | | | 997,120 | |
| | BANK OF NY MELLON CORP | | 2.6% 17 Aug 2020 | | 500,000 | | | | 501,976 | |
| | BARRICK GOLD CORP | | 4.1% 01 May 2023 | | 439,000 | | | | 376,601 | |
| | BAYER US FINANCE LLC | | 2.375% 08 Oct 2019 | | 1,250,000 | | | | 1,250,785 | |
| | BAYER US FINANCE LLC | | 3% 08 Oct 2021 | | 2,025,000 | | | | 2,042,095 | |
| | BB+T CORPORATION | | 1% 01 Feb 2019 | | 2,000,000 | | | | 1,982,666 | |
| | BB+T CORPORATION | | 1% 15 Jun 2018 | | 1,425,000 | | | | 1,427,826 | |
| | BEAR STEARNS COMMERCIAL MORTGA | | 1% 11 Jun 2040 | | 1,994,543 | | | | 2,041,820 | |
| | BECTON DICKINSON AND CO | | 2.675% 15 Dec 2019 | | 1,500,000 | | | | 1,508,166 | |
| | BECTON DICKINSON AND CO | | 3.734% 15 Dec 2024 | | 1,175,000 | | | | 1,185,018 | |
| | BHP BILLITON FIN USA LTD | | 1.625% 24 Feb 2017 | | 500,000 | | | | 498,983 | |
| | BOCA HOTEL PORTFOLIO TRUST | | 1% 15 Aug 2026 | | 639,670 | | | | 638,809 | |
| | BP CAPITAL MARKETS PLC | | 3.062% 17 Mar 2022 | | 1,500,000 | | | | 1,469,825 | |
| | BRANDYWINE OPER PARTNERS | | 4.95% 15 Apr 2018 | | 1,616,000 | | | | 1,691,257 | |
| | CAPITAL ONE BANK USA NA | | 2.15% 21 Nov 2018 | | 1,075,000 | | | | 1,065,737 | |
| | CARPENTER TECHNOLOGY | | 4.45% 01 Mar 2023 | | 750,000 | | | | 720,569 | |
| | CCO SAFARI II LLC | | 3.579% 23 Jul 2020 | | 2,575,000 | | | | 2,559,573 | |
| | CCO SAFARI II LLC | | 4.908% 23 Jul 2025 | | 1,250,000 | | | | 1,248,784 | |
| | CHASE ISSUANCE TRUST | | 1% 15 Apr 2019 | | 1,500,000 | | | | 1,492,329 | |
| | CHESAPEAKE FUNDING LLC | | 1% 07 Jan 2025 | | 496,602 | | | | 496,386 | |
| | | | | | | | | | | | |
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Table of Contents
| | CHUBB INA HOLDINGS INC | | 2.875% 03 Nov 2022 | | 1,600,000 | | | | 1,587,859 | |
| | CITIBANK CREDIT CARD ISSUANCE | | 1% 10 Sep 2020 | | 750,000 | | | | 749,348 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 3.855% 10 May 2047 | | 800,000 | | | | 830,218 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 5.431% 15 Oct 2049 | | 1,287,100 | | | | 1,304,334 | |
| | CITIGROUP INC | | 2.65% 26 Oct 2020 | | 3,250,000 | | | | 3,223,730 | |
| | CNH WHOLESALE MASTER NOTE TRUS | | 1% 15 Aug 2019 | | 2,000,000 | | | | 1,997,495 | |
| | COMM MORTGAGE TRUST | | 1% 08 Jun 2030 | | 1,600,000 | | | | 1,598,057 | |
| | COMM MORTGAGE TRUST | | 3.009% 10 Aug 2046 | | 1,300,000 | | | | 1,327,035 | |
| | COMM MORTGAGE TRUST | | 3.977% 10 May 2047 | | 1,000,000 | | | | 1,044,366 | |
| | CONTINENTAL RESOURCES | | 3.8% 01 Jun 2024 | | 1,350,000 | | | | 950,976 | |
| | COOPERATIEVE RABOBANK UA | | 4.375% 04 Aug 2025 | | 2,550,000 | | | | 2,593,485 | |
| | CRED SUIS GP FUN LTD | | 3.125% 10 Dec 2020 | | 1,500,000 | | | | 1,493,187 | |
| | DAIMLER FINANCE NA LLC | | 2.375% 01 Aug 2018 | | 1,075,000 | | | | 1,076,620 | |
| | DAIMLER FINANCE NA LLC | | 3.875% 15 Sep 2021 | | 750,000 | | | | 779,108 | |
| | DDR CORP | | 4.625% 15 Jul 2022 | | 1,250,000 | | | | 1,291,393 | |
| | DISCOVER BANK | | 3.1% 04 Jun 2020 | | 1,675,000 | | | | 1,678,801 | |
| | DISCOVER CARD EXECUTION NOTE T | | 1% 15 Jul 2021 | | 1,075,000 | | | | 1,073,711 | |
| | DISCOVER FINANCIAL SVS | | 3.85% 21 Nov 2022 | | 1,075,000 | | | | 1,065,193 | |
| | DISCOVER FINANCIAL SVS | | 5.2% 27 Apr 2022 | | 125,000 | | | | 133,668 | |
| | ELECTRICITE DE FRANCE SA | | 2.15% 22 Jan 2019 | | 1,250,000 | | | | 1,244,071 | |
| | ELECTRICITE DE FRANCE SA | | 2.35% 13 Oct 2020 | | 2,000,000 | | | | 1,968,900 | |
| | ENERGY TRANSFER PARTNERS | | 4.15% 01 Oct 2020 | | 1,850,000 | | | | 1,706,612 | |
| | ENGIE | | 1.625% 10 Oct 2017 | | 575,000 | | | | 571,889 | |
| | ENTERGY CORP | | 4% 15 Jul 2022 | | 2,125,000 | | | | 2,167,878 | |
| | EXELON CORP | | 2.85% 15 Jun 2020 | | 1,250,000 | | | | 1,243,166 | |
| | EXPERIAN FINANCE PLC | | 2.375% 15 Jun 2017 | | 3,000,000 | | | | 2,984,760 | |
| | EXPORT IMPORT BK KOREA | | 1% 17 Sep 2016 | | 800,000 | | | | 801,375 | |
| | EXPORT IMPORT BK KOREA | | 1.75% 27 Feb 2018 | | 250,000 | | | | 247,506 | |
| | FANNIE MAE | | 1% 15 Feb 2018 | | 750,000 | | | | 745,497 | |
| | FANNIE MAE | | 1.5% 30 Nov 2020 | | 1,400,000 | | | | 1,375,129 | |
| | FED HM LN PC POOL 2B0062 | | 1% 01 Dec 2041 | | 250,026 | | | | 255,765 | |
| | FED HM LN PC POOL A32438 | | 4.5% 01 Apr 2035 | | 1,566,896 | | | | 1,694,384 | |
| | FED HM LN PC POOL A71410 | | 6% 01 Jan 2038 | | 721,902 | | | | 814,373 | |
| | FED HM LN PC POOL A75437 | | 5.5% 01 Mar 2038 | | 94,236 | | | | 104,505 | |
| | FED HM LN PC POOL C91161 | | 5% 01 Feb 2028 | | 794,063 | | | | 866,364 | |
| | FED HM LN PC POOL D99066 | | 3.5% 01 Apr 2032 | | 1,038,773 | | | | 1,086,291 | |
| | FED HM LN PC POOL G04576 | | 6% 01 Sep 2038 | | 309,646 | | | | 348,926 | |
| | FED HM LN PC POOL G04913 | | 5% 01 Mar 2038 | | 849,534 | | | | 929,522 | |
| | FED HM LN PC POOL G05205 | | 5% 01 Jan 2039 | | 107,485 | | | | 117,343 | |
| | FED HM LN PC POOL G05671 | | 5.5% 01 Aug 2038 | | 518,717 | | | | 576,918 | |
| | FED HM LN PC POOL G06385 | | 5.5% 01 Aug 2040 | | 354,283 | | | | 393,902 | |
| | FED HM LN PC POOL G07224 | | 5% 01 Sep 2040 | | 266,311 | | | | 291,398 | |
| | FED HM LN PC POOL G08447 | | 4.5% 01 May 2041 | | 1,735,238 | | | | 1,875,940 | |
| | FED HM LN PC POOL G08487 | | 4% 01 Apr 2042 | | 1,660,185 | | | | 1,757,757 | |
| | FED HM LN PC POOL G08540 | | 3% 01 Aug 2043 | | 5,337,115 | | | | 5,338,653 | |
| | FED HM LN PC POOL G08542 | | 4% 01 Aug 2043 | | 4,936,642 | | | | 5,219,858 | |
| | FED HM LN PC POOL G08568 | | 4.5% 01 Jan 2044 | | 619,891 | | | | 668,932 | |
| | FED HM LN PC POOL G08595 | | 4% 01 Jul 2044 | | 484,418 | | | | 512,163 | |
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| | FED HM LN PC POOL G08624 | | 4% 01 Jan 2045 | | 159,305 | | | | 168,447 | |
| | FED HM LN PC POOL G08635 | | 3% 01 Apr 2045 | | 587,093 | | | | 586,602 | |
| | FED HM LN PC POOL G08640 | | 3% 01 May 2045 | | 487,840 | | | | 487,432 | |
| | FED HM LN PC POOL G08655 | | 4% 01 Jul 2045 | | 37,771 | | | | 39,936 | |
| | FED HM LN PC POOL G08659 | | 3.5% 01 Aug 2045 | | 497,375 | | | | 512,408 | |
| | FED HM LN PC POOL G08675 | | 3% 01 Nov 2045 | | 299,337 | | | | 299,086 | |
| | FED HM LN PC POOL G13531 | | 5% 01 Dec 2017 | | 90,874 | | | | 93,984 | |
| | FED HM LN PC POOL G18569 | | 3% 01 Sep 2030 | | 2,648,095 | | | | 2,731,669 | |
| | FED HM LN PC POOL G30584 | | 3.5% 01 Apr 2032 | | 782,207 | | | | 817,921 | |
| | FED HM LN PC POOL G30662 | | 3% 01 Sep 2033 | | 738,056 | | | | 756,598 | |
| | FED HM LN PC POOL J11562 | | 4.5% 01 Jan 2025 | | 253,632 | | | | 272,380 | |
| | FED HM LN PC POOL J12679 | | 4% 01 Aug 2025 | | 359,588 | | | | 379,792 | |
| | FED HM LN PC POOL J13585 | | 3.5% 01 Nov 2025 | | 320,842 | | | | 336,287 | |
| | FED HM LN PC POOL J24302 | | 2.5% 01 Jun 2028 | | 3,129,431 | | | | 3,181,867 | |
| | FED HM LN PC POOL J28115 | | 3.5% 01 May 2029 | | 835,024 | | | | 874,941 | |
| | FED HM LN PC POOL J29001 | | 3.5% 01 Aug 2029 | | 212,539 | | | | 222,259 | |
| | FED HM LN PC POOL J33117 | | 3% 01 Nov 2030 | | 200,000 | | | | 206,312 | |
| | FED HM LN PC POOL Q36040 | | 3.5% 01 Sep 2045 | | 9,091,900 | | | | 9,366,713 | |
| | FED HM LN PC POOL Q36071 | | 3.5% 01 Sep 2045 | | 392,985 | | | | 404,864 | |
| | FED HM LN PC POOL Q36893 | | 3.5% 01 Oct 2045 | | 200,000 | | | | 206,045 | |
| | FED HM LN PC POOL V81888 | | 3.5% 01 Aug 2045 | | 296,510 | | | | 305,473 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 1% 25 Apr 2023 | | 1,100,000 | | | | 1,140,364 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 3.303% 25 Jul 2024 | | 800,000 | | | | 822,557 | |
| | FHLMC TBA 15 YR 2.5 | | 2.5% 20 Jan 2031 | | 700,000 | | | | 706,212 | |
| | FIRSTENERGY TRANSMISSION | | 4.35% 15 Jan 2025 | | 2,500,000 | | | | 2,534,188 | |
| | FISERV INC | | 4.75% 15 Jun 2021 | | 500,000 | | | | 533,961 | |
| | FNMA POOL 254545 | | 5% 01 Dec 2017 | | 281,043 | | | | 291,002 | |
| | FNMA POOL 310104 | | 1% 01 Aug 2037 | | 249,996 | | | | 281,421 | |
| | FNMA POOL 734696 | | 4% 01 Sep 2018 | | 185,185 | | | | 193,053 | |
| | FNMA POOL 735402 | | 1% 01 Apr 2035 | | 1,457,093 | | | | 1,609,010 | |
| | FNMA POOL 735893 | | 1% 01 Oct 2035 | | 1,239,321 | | | | 1,367,334 | |
| | FNMA POOL 889842 | | 1% 01 Dec 2036 | | 482,570 | | | | 532,319 | |
| | FNMA POOL 889897 | | 1% 01 Feb 2038 | | 242,378 | | | | 267,352 | |
| | FNMA POOL 890529 | | 1% 01 Sep 2041 | | 465,288 | | | | 519,990 | |
| | FNMA POOL 961203 | | 5% 01 Jan 2038 | | 216,231 | | | | 237,823 | |
| | FNMA POOL 972509 | | 6% 01 Feb 2038 | | 334,881 | | | | 380,482 | |
| | FNMA POOL 973288 | | 5% 01 Mar 2038 | | 519,817 | | | | 571,724 | |
| | FNMA POOL 985612 | | 5.5% 01 May 2033 | | 939,498 | | | | 1,056,030 | |
| | FNMA POOL 995692 | | 1% 01 May 2024 | | 38,703 | | | | 41,028 | |
| | FNMA POOL 995763 | | 1% 01 Nov 2035 | | 297,322 | | | | 322,667 | |
| | FNMA POOL 995865 | | 1% 01 Jul 2024 | | 210,024 | | | | 222,450 | |
| | FNMA POOL 995937 | | 1% 01 Jun 2039 | | 989,832 | | | | 1,106,383 | |
| | FNMA POOL AA4333 | | 4.5% 01 Apr 2029 | | 173,410 | | | | 187,287 | |
| | FNMA POOL AB1786 | | 4% 01 Nov 2025 | | 425,916 | | | | 451,696 | |
| | FNMA POOL AB3907 | | 3.5% 01 Nov 2026 | | 901,603 | | | | 946,364 | |
| | FNMA POOL AB5199 | | 4% 01 May 2042 | | 1,368,698 | | | | 1,451,807 | |
| | FNMA POOL AB8447 | | 2.5% 01 Feb 2028 | | 760,737 | | | | 770,810 | |
| | FNMA POOL AC8512 | | 4.5% 01 Dec 2039 | | 1,061,756 | | | | 1,149,067 | |
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Table of Contents
| | FNMA POOL AD0119 | | 1% 01 Jul 2038 | | 505,463 | | | | 570,517 | |
| | FNMA POOL AE0218 | | 1% 01 Aug 2040 | | 663,034 | | | | 717,654 | |
| | FNMA POOL AE0443 | | 1% 01 Oct 2039 | | 320,877 | | | | 366,713 | |
| | FNMA POOL AE0982 | | 1% 01 Mar 2026 | | 444,230 | | | | 477,081 | |
| | FNMA POOL AH1416 | | 3.5% 01 Jan 2026 | | 212,510 | | | | 222,982 | |
| | FNMA POOL AH6486 | | 4% 01 Mar 2041 | | 672,346 | | | | 713,207 | |
| | FNMA POOL AH6827 | | 4% 01 Mar 2026 | | 937,697 | | | | 994,563 | |
| | FNMA POOL AI4593 | | 4.5% 01 Jun 2041 | | 324,791 | | | | 350,784 | |
| | FNMA POOL AI5085 | | 3.5% 01 Aug 2026 | | 205,936 | | | | 216,143 | |
| | FNMA POOL AJ2452 | | 1% 01 Jan 2042 | | 552,271 | | | | 582,028 | |
| | FNMA POOL AL0058 | | 1% 01 Jan 2018 | | 168,516 | | | | 174,487 | |
| | FNMA POOL AL0160 | | 1% 01 May 2041 | | 527,954 | | | | 571,435 | |
| | FNMA POOL AL0851 | | 1% 01 Oct 2040 | | 165,115 | | | | 186,626 | |
| | FNMA POOL AL0913 | | 1% 01 Jul 2041 | | 110,446 | | | | 124,635 | |
| | FNMA POOL AL3652 | | 1% 01 Oct 2040 | | 344,084 | | | | 389,367 | |
| | FNMA POOL AL5259 | | 1% 01 May 2029 | | 240,264 | | | | 251,830 | |
| | FNMA POOL AL6223 | | 1% 01 Aug 2044 | | 2,877,456 | | | | 3,108,593 | |
| | FNMA POOL AO5096 | | 1% 01 Jun 2042 | | 116,190 | | | | 119,078 | |
| | FNMA POOL AO7530 | | 1% 01 Jul 2042 | | 273,473 | | | | 283,457 | |
| | FNMA POOL AO8796 | | 1% 01 Jul 2042 | | 317,820 | | | | 327,478 | |
| | FNMA POOL AS3906 | | 4% 01 Nov 2044 | | 10,186,426 | | | | 10,782,714 | |
| | FNMA POOL AS3954 | | 4% 01 Dec 2044 | | 194,438 | | | | 205,825 | |
| | FNMA POOL AS3970 | | 4% 01 Dec 2044 | | 600,001 | | | | 635,123 | |
| | FNMA POOL AS5240 | | 3% 01 Jun 2030 | | 491,856 | | | | 507,115 | |
| | FNMA POOL AS5695 | | 3.5% 01 Aug 2045 | | 390,470 | | | | 403,154 | |
| | FNMA POOL AS5696 | | 3.5% 01 Aug 2045 | | 18,861,485 | | | | 19,474,201 | |
| | FNMA POOL AS5722 | | 3.5% 01 Sep 2045 | | 495,480 | | | | 511,576 | |
| | FNMA POOL AS5906 | | 3.5% 01 Oct 2045 | | 497,314 | | | | 513,470 | |
| | FNMA POOL AS6203 | | 3.5% 01 Nov 2045 | | 700,001 | | | | 722,749 | |
| | FNMA POOL AT2717 | | 2.5% 01 May 2043 | | 522,007 | | | | 504,446 | |
| | FNMA POOL AT4242 | | 2.5% 01 May 2028 | | 2,391,381 | | | | 2,422,479 | |
| | FNMA POOL AU0333 | | 2.5% 01 Jun 2028 | | 32,093 | | | | 32,517 | |
| | FNMA POOL AU1628 | | 3% 01 Jul 2043 | | 739,364 | | | | 740,907 | |
| | FNMA POOL AU4279 | | 3% 01 Sep 2043 | | 443,677 | | | | 444,570 | |
| | FNMA POOL AU6739 | | 3.5% 01 Oct 2043 | | 446,411 | | | | 461,057 | |
| | FNMA POOL AU7885 | | 2.5% 01 Sep 2028 | | 32,451 | | | | 32,881 | |
| | FNMA POOL AV5063 | | 3% 01 Feb 2029 | | 3,356,728 | | | | 3,462,842 | |
| | FNMA POOL AY1394 | | 3% 01 Apr 2045 | | 197,156 | | | | 197,327 | |
| | FNMA POOL AY9148 | | 4% 01 May 2045 | | 169,781 | | | | 179,719 | |
| | FNMA POOL AZ0497 | | 2.5% 01 Jun 2030 | | 472,880 | | | | 477,165 | |
| | FNMA POOL AZ2351 | | 2.5% 01 Jun 2030 | | 262,566 | | | | 264,945 | |
| | FNMA POOL AZ8503 | | 3% 01 Sep 2030 | | 197,362 | | | | 203,494 | |
| | FNMA POOL AZ9152 | | 3.5% 01 Sep 2045 | | 388,493 | | | | 401,118 | |
| | FNMA POOL BA4745 | | 2.5% 01 Jan 2031 | | 200,000 | | | | 201,812 | |
| | FNMA POOL MA0658 | | 3% 01 Feb 2021 | | 164,247 | | | | 169,369 | |
| | FNMA POOL MA0976 | | 3.5% 01 Feb 2032 | | 249,343 | | | | 260,684 | |
| | FNMA POOL MA0977 | | 4% 01 Feb 2032 | | 180,268 | | | | 192,888 | |
| | FNMA POOL MA1568 | | 2.5% 01 Sep 2028 | | 699,418 | | | | 708,647 | |
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| | FNMA POOL MA2046 | | 3.5% 01 Oct 2034 | | 489,937 | | | | 511,685 | |
| | FNMA POOL MA2230 | | 3% 01 Apr 2035 | | 474,156 | | | | 483,629 | |
| | FNMA POOL MA2386 | | 3% 01 Sep 2045 | | 10,355,321 | | | | 10,364,306 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 9,800,000 | | | | 10,110,887 | |
| | FORD CREDIT AUTO LEASE TRUST | | 1.38% 15 Dec 2018 | | 600,000 | | | | 596,450 | |
| | FORD CREDIT FLOORPLAN MASTER O | | 1% 15 Feb 2019 | | 800,000 | | | | 797,299 | |
| | FORD CREDIT FLOORPLAN MASTER O | | 1% 15 Jun 2020 | | 750,000 | | | | 749,072 | |
| | FORD MOTOR CREDIT CO LLC | | 2.551% 05 Oct 2018 | | 1,125,000 | | | | 1,117,011 | |
| | FORD MOTOR CREDIT CO LLC | | 3.157% 04 Aug 2020 | | 1,325,000 | | | | 1,320,357 | |
| | FORD MOTOR CREDIT CO LLC | | 3.219% 09 Jan 2022 | | 1,975,000 | | | | 1,933,035 | |
| | FORTUNE BRANDS HOME + SE | | 4% 15 Jun 2025 | | 2,525,000 | | | | 2,497,839 | |
| | FREDDIE MAC | | 1% 27 Sep 2017 | | 650,000 | | | | 648,309 | |
| | FREDDIE MAC | | 1.125% 25 May 2018 | | 750,000 | | | | 746,000 | |
| | FREDDIE MAC | | 1.25% 01 Aug 2019 | | 400,000 | | | | 395,551 | |
| | FREDDIE MAC | | 1.25% 02 Oct 2019 | | 2,500,000 | | | | 2,465,923 | |
| | FREDDIE MAC | | 1.35% 26 Nov 2018 | | 1,300,000 | | | | 1,295,715 | |
| | FREDDIE MAC | | 1.45% 10 Sep 2018 | | 1,300,000 | | | | 1,297,595 | |
| | FREDDIE MAC | | 2.375% 13 Jan 2022 | | 2,700,000 | | | | 2,737,508 | |
| | GENERAL ELECTRIC CO | | 4.375% 16 Sep 2020 | | 172,000 | | | | 186,719 | |
| | GENERAL ELECTRIC CO | | 4.65% 17 Oct 2021 | | 394,000 | | | | 436,224 | |
| | GENERAL MOTORS FINL CO | | 3.1% 15 Jan 2019 | | 600,000 | | | | 599,128 | |
| | GENERAL MOTORS FINL CO | | 3.2% 13 Jul 2020 | | 1,000,000 | | | | 984,603 | |
| | GILEAD SCIENCES INC | | 3.65% 01 Mar 2026 | | 4,000,000 | | | | 4,033,916 | |
| | GNMA II POOL 004715 | | 5% 20 Jun 2040 | | 848,502 | | | | 937,507 | |
| | GNMA II POOL 004804 | | 6% 20 Sep 2040 | | 168,859 | | | | 189,702 | |
| | GNMA II POOL 005056 | | 5% 20 May 2041 | | 756,412 | | | | 835,766 | |
| | GNMA II POOL 005057 | | 5.5% 20 May 2041 | | 288,952 | | | | 321,271 | |
| | GNMA II POOL 005175 | | 4.5% 20 Sep 2041 | | 1,242,219 | | | | 1,353,167 | |
| | GNMA II POOL 005280 | | 4% 20 Jan 2042 | | 1,159,019 | | | | 1,239,357 | |
| | GNMA II POOL 005281 | | 4.5% 20 Jan 2042 | | 1,213,269 | | | | 1,319,013 | |
| | GNMA II POOL 005305 | | 4% 20 Feb 2042 | | 927,115 | | | | 991,098 | |
| | GNMA II POOL AF5097 | | 4% 20 Aug 2043 | | 2,118,279 | | | | 2,277,764 | |
| | GNMA II POOL MA0465 | | 5% 20 Oct 2042 | | 378,105 | | | | 419,966 | |
| | GNMA II POOL MA1156 | | 3% 20 Jul 2043 | | 241,429 | | | | 245,651 | |
| | GNMA II POOL MA1223 | | 3% 20 Aug 2043 | | 867,503 | | | | 882,674 | |
| | GNMA II POOL MA1224 | | 3.5% 20 Aug 2043 | | 3,343,691 | | | | 3,494,193 | |
| | GNMA II POOL MA1285 | | 3.5% 20 Sep 2043 | | 219,116 | | | | 228,962 | |
| | GNMA II POOL MA1374 | | 3% 20 Oct 2043 | | 244,433 | | | | 248,707 | |
| | GNMA II POOL MA1448 | | 3.5% 20 Nov 2043 | | 139,383 | | | | 145,635 | |
| | GNMA II POOL MA1762 | | 4.5% 20 Mar 2044 | | 426,460 | | | | 458,779 | |
| | GNMA II POOL MA1920 | | 4% 20 May 2044 | | 137,397 | | | | 146,328 | |
| | GNMA II POOL MA1996 | | 4% 20 Jun 2044 | | 267,652 | | | | 284,954 | |
| | GNMA II POOL MA2149 | | 4% 20 Aug 2044 | | 1,399,935 | | | | 1,488,432 | |
| | GNMA II POOL MA2225 | | 4.5% 20 Sep 2044 | | 127,811 | | | | 137,499 | |
| | GNMA II POOL MA2522 | | 4% 20 Jan 2045 | | 657,519 | | | | 698,664 | |
| | GNMA II POOL MA2755 | | 4% 20 Apr 2045 | | 300,001 | | | | 318,774 | |
| | GNMA II POOL MA2960 | | 3% 20 Jul 2045 | | 5,809,849 | | | | 5,896,535 | |
| | GNMA II POOL MA3034 | | 3.5% 20 Aug 2045 | | 600,000 | | | | 626,395 | |
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Table of Contents
| | GNMA II POOL MA3104 | | 3% 20 Sep 2045 | | 297,710 | | | | 302,152 | |
| | GNMA II POOL MA3243 | | 3% 20 Nov 2045 | | 200,000 | | | | 202,984 | |
| | GNMA II POOL MA3310 | | 3.5% 20 Dec 2045 | | 9,800,000 | | | | 10,231,118 | |
| | GNMA II TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | (4,900,000 | ) | | | (5,108,059 | ) |
| | GNMA POOL 487698 | | 4.5% 15 Mar 2039 | | 238,988 | | | | 258,000 | |
| | GNMA POOL 487825 | | 4.5% 15 Apr 2039 | | 278,800 | | | | 301,562 | |
| | GNMA POOL 615516 | | 4.5% 15 Sep 2033 | | 21,228 | | | | 23,077 | |
| | GNMA POOL 616540 | | 6% 15 Jul 2034 | | 304,365 | | | | 351,421 | |
| | GNMA POOL 658499 | | 6% 15 Jul 2037 | | 255,249 | | | | 288,684 | |
| | GNMA POOL 666391 | | 3% 15 Aug 2043 | | 500,456 | | | | 509,070 | |
| | GNMA POOL 666405 | | 3% 15 Sep 2043 | | 501,516 | | | | 510,153 | |
| | GNMA POOL 677101 | | 5.5% 15 Jul 2038 | | 119,440 | | | | 133,109 | |
| | GNMA POOL 697974 | | 5% 15 Jun 2040 | | 596,101 | | | | 658,001 | |
| | GNMA POOL 702785 | | 5.5% 15 Jan 2039 | | 159,588 | | | | 177,556 | |
| | GNMA POOL 719256 | | 4.5% 15 Jul 2040 | | 530,587 | | | | 573,161 | |
| | GNMA POOL 733736 | | 4.5% 15 Jun 2040 | | 180,571 | | | | 196,812 | |
| | GNMA POOL 737286 | | 4.5% 15 May 2040 | | 374,058 | | | | 408,951 | |
| | GNMA POOL 738538 | | 4% 15 Jul 2041 | | 1,570,813 | | | | 1,667,586 | |
| | GNMA POOL 748483 | | 4.5% 15 Aug 2040 | | 456,971 | | | | 494,286 | |
| | GNMA POOL 758027 | | 4.5% 15 Feb 2041 | | 17,264 | | | | 18,611 | |
| | GNMA POOL 782640 | | 5% 15 Apr 2039 | | 159,516 | | | | 176,428 | |
| | GNMA POOL 782934 | | 5.5% 15 Feb 2040 | | 244,575 | | | | 272,568 | |
| | GNMA POOL 783748 | | 3.5% 15 Apr 2043 | | 1,165,465 | | | | 1,213,937 | |
| | GNMA POOL 784066 | | 3.5% 15 May 2045 | | 990,755 | | | | 1,032,192 | |
| | GNMA POOL AB3053 | | 3% 15 Nov 2042 | | 352,374 | | | | 357,224 | |
| | GNMA POOL AL5247 | | 3.5% 15 Jan 2045 | | 892,918 | | | | 929,823 | |
| | GNMA POOL AL5265 | | 3.5% 15 Feb 2045 | | 983,533 | | | | 1,024,182 | |
| | GNMA POOL AL5269 | | 3.5% 15 Feb 2045 | | 1,962,653 | | | | 2,043,771 | |
| | GOLDMAN SACHS GROUP INC | | 2.75% 15 Sep 2020 | | 1,375,000 | | | | 1,374,097 | |
| | GOLDMAN SACHS GROUP INC | | 4.25% 21 Oct 2025 | | 1,400,000 | | | | 1,389,300 | |
| | GOLDMAN SACHS GROUP INC | | 5.25% 27 Jul 2021 | | 4,180,000 | | | | 4,621,492 | |
| | GRACE MORTGAGE TRUST | | 3.368% 10 Jun 2028 | | 800,000 | | | | 819,386 | |
| | GS MORTGAGE SECURITIES TRUST | | 3.862% 10 Jun 2047 | | 1,300,000 | | | | 1,347,642 | |
| | HALLIBURTON CO | | 2.7% 15 Nov 2020 | | 575,000 | | | | 568,358 | |
| | HALLIBURTON CO | | 3.8% 15 Nov 2025 | | 2,150,000 | | | | 2,093,502 | |
| | HBOS PLC | | 6.75% 21 May 2018 | | 3,250,000 | | | | 3,544,626 | |
| | HELMERICH + PAYNE INTL | | 4.65% 15 Mar 2025 | | 1,450,000 | | | | 1,450,655 | |
| | HILTON GRAND VACATIONS TRUST | | 2.28% 25 Jan 2026 | | 965,099 | | | | 952,894 | |
| | HONDA AUTO RECEIVABLES OWNER T | | 1.23% 23 Sep 2019 | | 600,000 | | | | 595,077 | |
| | HOST HOTELS + RESORTS LP | | 6% 01 Oct 2021 | | 500,000 | | | | 553,335 | |
| | HP ENTERPRISE CO | | 3.6% 15 Oct 2020 | | 1,400,000 | | | | 1,403,213 | |
| | HSBC BANK USA NA | | 4.875% 24 Aug 2020 | | 500,000 | | | | 545,874 | |
| | HSBC USA INC | | 1% 24 Sep 2018 | | 600,000 | | | | 600,488 | |
| | HUNTINGTON NATIONAL BANK | | 2.2% 06 Nov 2018 | | 1,125,000 | | | | 1,121,891 | |
| | HUNTINGTON NATIONAL BANK | | 2.875% 20 Aug 2020 | | 1,500,000 | | | | 1,488,513 | |
| | ING BANK NV | | 1% 01 Oct 2019 | | 750,000 | | | | 745,916 | |
| | INGREDION INC | | 1.8% 25 Sep 2017 | | 425,000 | | | | 421,128 | |
| | INGREDION INC | | 4.625% 01 Nov 2020 | | 1,000,000 | | | | 1,051,471 | |
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| | INTERCONTINENTALEXCHANGE | | 2.75% 01 Dec 2020 | | 1,675,000 | | | | 1,674,585 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.429% 12 Dec 2043 | | 2,115,436 | | | | 2,150,893 | |
* | | JP MORGAN MORTGAGE TRUST | | 1% 25 Jun 2029 | | 1,233,485 | | | | 1,246,012 | |
* | | JP MORGAN MORTGAGE TRUST | | 1% 25 Oct 2045 | | 1,266,318 | | | | 1,277,730 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 3.019% 15 Aug 2046 | | 1,300,000 | | | | 1,325,692 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 3.774% 15 Aug 2047 | | 400,000 | | | | 411,513 | |
* | | JPMORGAN CHASE + CO | | 1.625% 15 May 2018 | | 1,250,000 | | | | 1,240,725 | |
* | | JPMORGAN CHASE + CO | | 2.55% 29 Oct 2020 | | 2,075,000 | | | | 2,057,589 | |
* | | JPMORGAN CHASE + CO | | 3.875% 10 Sep 2024 | | 1,000,000 | | | | 994,744 | |
* | | JPMORGAN CHASE + CO | | 4.4% 22 Jul 2020 | | 750,000 | | | | 800,535 | |
| | KINDER MORGAN INC/DELAWA | | 3.05% 01 Dec 2019 | | 2,250,000 | | | | 2,082,404 | |
| | KOREA DEVELOPMENT BANK | | 1.5% 22 Jan 2018 | | 500,000 | | | | 495,326 | |
| | KOREA DEVELOPMENT BANK | | 3.875% 04 May 2017 | | 250,000 | | | | 256,423 | |
| | LB UBS COMMERCIAL MORTGAGE TRU | | 5.347% 15 Nov 2038 | | 2,149,000 | | | | 2,189,078 | |
| | MARATHON PETROLEUM CORP | | 3.5% 01 Mar 2016 | | 450,000 | | | | 451,268 | |
| | MCDONALD S CORP | | 2.75% 09 Dec 2020 | | 525,000 | | | | 524,638 | |
| | MCDONALD S CORP | | 3.7% 30 Jan 2026 | | 2,000,000 | | | | 1,998,356 | |
| | MEDTRONIC INC | | 2.5% 15 Mar 2020 | | 350,000 | | | | 352,483 | |
| | MET LIFE GLOB FUNDING I | | 1.875% 22 Jun 2018 | | 608,000 | | | | 607,982 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 1% 12 Jul 2046 | | 1,260,399 | | | | 1,277,431 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 5.172% 12 Dec 2049 | | 489,498 | | | | 497,398 | |
| | MOHAWK INDUSTRIES INC | | 3.85% 01 Feb 2023 | | 425,000 | | | | 430,307 | |
| | MORGAN STANLEY | | 2.8% 16 Jun 2020 | | 725,000 | | | | 727,306 | |
| | MORGAN STANLEY | | 4% 23 Jul 2025 | | 375,000 | | | | 386,165 | |
| | MORGAN STANLEY | | 4.35% 08 Sep 2026 | | 2,500,000 | | | | 2,508,173 | |
| | MORGAN STANLEY | | 5.625% 23 Sep 2019 | | 2,000,000 | | | | 2,207,198 | |
| | MORGAN STANLEY | | 5.75% 25 Jan 2021 | | 800,000 | | | | 898,201 | |
| | MORGAN STANLEY BAML TRUST | | 1% 15 Oct 2046 | | 1,300,000 | | | | 1,393,094 | |
| | MORGAN STANLEY BAML TRUST | | 1.863% 15 Feb 2046 | | 800,000 | | | | 798,001 | |
| | MORGAN STANLEY BAML TRUST | | 2.936% 15 Nov 2046 | | 600,000 | | | | 611,677 | |
| | MORGAN STANLEY BAML TRUST | | 4.039% 15 Nov 2046 | | 1,200,000 | | | | 1,268,347 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 12 Nov 2049 | | 1,036,758 | | | | 1,058,692 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 5.332% 15 Dec 2043 | | 1,744,466 | | | | 1,775,421 | |
| | MVW OWNER TRUST | | 2.25% 22 Sep 2031 | | 442,957 | | | | 438,297 | |
| | MVW OWNER TRUST | | 2.52% 20 Dec 2032 | | 1,101,798 | | | | 1,086,352 | |
| | NABORS INDUSTRIES INC | | 5% 15 Sep 2020 | | 2,085,000 | | | | 1,829,323 | |
| | NATIONWIDE FINANCIAL SER | | 5.375% 25 Mar 2021 | | 2,763,000 | | | | 3,024,800 | |
| | NBCUNIVERSAL MEDIA LLC | | 4.375% 01 Apr 2021 | | 1,800,000 | | | | 1,955,214 | |
| | NEVADA POWER CO | | 6.5% 01 Aug 2018 | | 400,000 | | | | 443,914 | |
| | NEWMARKET CORP | | 4.1% 15 Dec 2022 | | 2,275,000 | | | | 2,263,871 | |
| | NISOURCE FINANCE CORP | | 6.4% 15 Mar 2018 | | 180,000 | | | | 196,124 | |
| | NISSAN AUTO LEASE TRUST | | 1.12% 15 Sep 2017 | | 1,300,000 | | | | 1,296,617 | |
| | NISSAN AUTO RECEIVABLES OWNER | | 1.37% 15 May 2020 | | 300,000 | | | | 297,925 | |
| | NORDEA BANK AB | | 4.25% 21 Sep 2022 | | 2,500,000 | | | | 2,560,925 | |
| | PERRIGO FINANCE UNLIMITD | | 3.5% 15 Dec 2021 | | 575,000 | | | | 558,894 | |
| | PETROLEOS MEXICANOS | | 3.125% 23 Jan 2019 | | 425,000 | | | | 411,141 | |
| | PETROLEOS MEXICANOS | | 3.5% 30 Jan 2023 | | 750,000 | | | | 654,375 | |
| | PHILLIPS 66 PARTNERS LP | | 3.605% 15 Feb 2025 | | 1,575,000 | | | | 1,354,876 | |
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| | PRICOA GLOBAL FUNDING 1 | | 2.2% 16 May 2019 | | 1,000,000 | | | | 998,260 | |
| | REGENCY CENTERS LP | | 4.8% 15 Apr 2021 | | 500,000 | | | | 537,236 | |
| | RELIANCE STEEL + ALUM | | 4.5% 15 Apr 2023 | | 1,150,000 | | | | 1,070,488 | |
| | REPUBLIC OF TURKEY | | 6.75% 03 Apr 2018 | | 400,000 | | | | 430,400 | |
| | RIO TINTO FIN USA LTD | | 3.75% 15 Jun 2025 | | 1,000,000 | | | | 907,751 | |
| | SAMSUNG ELECTRON AMERICA | | 1.75% 10 Apr 2017 | | 975,000 | | | | 972,788 | |
| | SANTANDER UK PLC | | 5% 07 Nov 2023 | | 3,000,000 | | | | 3,122,853 | |
| | SCHLUMBERGER HLDGS CORP | | 3% 21 Dec 2020 | | 2,500,000 | | | | 2,467,703 | |
| | SHELL INTERNATIONAL FIN | | 2.25% 10 Nov 2020 | | 1,800,000 | | | | 1,773,520 | |
| | SHELL INTERNATIONAL FIN | | 3.25% 11 May 2025 | | 2,250,000 | | | | 2,195,944 | |
| | SIERRA RECEIVABLES FUNDING CO | | 2.07% 20 Mar 2030 | | 491,947 | | | | 487,879 | |
| | SIERRA RECEIVABLES FUNDING CO | | 2.58% 20 Sep 2032 | | 1,193,030 | | | | 1,172,694 | |
| | SIMON PROPERTY GROUP LP | | 3.5% 01 Sep 2025 | | 500,000 | | | | 506,216 | |
| | SPECTRA ENERGY PARTNERS | | 2.95% 25 Sep 2018 | | 1,175,000 | | | | 1,154,508 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 10,660,044 | | | | 10,660,044 | |
| | SUMITOMO MITSUI TR BK LT | | 1% 16 Sep 2016 | | 1,075,000 | | | | 1,074,160 | |
| | TELEFONICA EMISIONES SAU | | 3.192% 27 Apr 2018 | | 2,462,000 | | | | 2,509,768 | |
| | TEXAS EASTERN TRANSMISSI | | 2.8% 15 Oct 2022 | | 900,000 | | | | 799,955 | |
| | TIME WARNER INC | | 4.7% 15 Jan 2021 | | 500,000 | | | | 538,130 | |
| | TOTAL CAPITAL SA | | 4.125% 28 Jan 2021 | | 750,000 | | | | 808,406 | |
| | TRANS CANADA PIPELINES | | 1.625% 09 Nov 2017 | | 1,000,000 | | | | 991,790 | |
| | UBS GROUP FUNDING | | 2.95% 24 Sep 2020 | | 1,725,000 | | | | 1,708,897 | |
| | UBS GROUP FUNDING | | 4.125% 24 Sep 2025 | | 1,950,000 | | | | 1,947,978 | |
| | US TREASURY N/B | | 0.625% 31 Dec 2016 | | 2,100,000 | | | | 2,096,472 | |
| | US TREASURY N/B | | 0.875% 15 Jan 2018 | | 18,000,000 | | | | 17,918,442 | |
| | US TREASURY N/B | | 0.875% 30 Nov 2017 | | 10,400,000 | | | | 10,369,934 | |
| | US TREASURY N/B | | 1% 15 Mar 2018 | | 2,050,000 | | | | 2,042,872 | |
| | US TREASURY N/B | | 1% 15 Sep 2018 | | 5,000,000 | | | | 4,964,455 | |
| | US TREASURY N/B | | 1.25% 15 Dec 2018 | | 31,500,000 | | | | 31,433,567 | |
| | US TREASURY N/B | | 1.625% 30 Nov 2020 | | 3,905,000 | | | | 3,881,812 | |
| | US TREASURY N/B | | 1.875% 30 Nov 2021 | | 175,000 | | | | 174,275 | |
| | US TREASURY N/B | | 2% 30 Nov 2022 | | 1,300,000 | | | | 1,292,890 | |
| | US TREASURY N/B | | 2% 31 Oct 2021 | | 2,500,000 | | | | 2,506,933 | |
| | US TREASURY N/B | | 2.125% 31 Dec 2021 | | 1,245,000 | | | | 1,255,991 | |
| | US TREASURY N/B | | 2.25% 15 Nov 2025 | | 3,050,000 | | | | 3,043,208 | |
| | VERIZON COMMUNICATIONS | | 3% 01 Nov 2021 | | 3,000,000 | | | | 2,991,567 | |
| | VISA INC | | 2.8% 14 Dec 2022 | | 3,000,000 | | | | 3,012,399 | |
| | VODAFONE GROUP PLC | | 1.25% 26 Sep 2017 | | 450,000 | | | | 445,673 | |
| | VOYA FINANCIAL INC | | 2.9% 15 Feb 2018 | | 625,000 | | | | 631,756 | |
| | WACHOVIA BANK COMMERCIAL MORTG | | 5.308% 15 Nov 2048 | | 1,141,144 | | | | 1,156,731 | |
| | WEA FINANCE LLC/WESTFIEL | | 2.7% 17 Sep 2019 | | 400,000 | | | | 396,705 | |
| | YAMANA GOLD INC | | 4.95% 15 Jul 2024 | | 1,250,000 | | | | 1,059,979 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5743 11 of 16 | | | | | | $ | 509,415,512 | |
| | | | | | | | | | | | |
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(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | ABBEY NATL TREASURY SERV | | 3.05% 23 Aug 2018 | | 3,420,000 | | | | $ | 3,509,231 | |
| | ABBVIE INC | | 2.5% 14 May 2020 | | 3,245,000 | | | | 3,212,375 | |
| | ACTAVIS FUNDING SCS | | 3% 12 Mar 2020 | | 955,000 | | | | 954,241 | |
| | ALTRIA GROUP INC | | 2.85% 09 Aug 2022 | | 1,085,000 | | | | 1,057,746 | |
| | ALTRIA GROUP INC | | 4% 31 Jan 2024 | | 267,000 | | | | 276,608 | |
| | AMERICAN INTL GROUP | | 6.4% 15 Dec 2020 | | 4,520,000 | | | | 5,214,430 | |
| | ANADARKO PETROLEUM CORP | | 6.375% 15 Sep 2017 | | 480,000 | | | | 503,339 | |
| | ANADARKO PETROLEUM CORP | | 6.95% 15 Jun 2019 | | 475,000 | | | | 518,863 | |
| | ANHEUSER BUSCH INBEV WOR | | 7.75% 15 Jan 2019 | | 3,925,000 | | | | 4,537,045 | |
| | APPLE INC | | 1% 03 May 2018 | | 7,355,000 | | | | 7,295,241 | |
| | AT+T INC | | 2.95% 15 May 2016 | | 2,275,000 | | | | 2,288,852 | |
| | AUTONATION INC | | 3.35% 15 Jan 2021 | | 2,730,000 | | | | 2,720,298 | |
| | BANK OF AMERICA CORP | | 5.42% 15 Mar 2017 | | 1,480,000 | | | | 1,540,522 | |
| | BANK OF AMERICA CORP | | 5.625% 01 Jul 2020 | | 2,165,000 | | | | 2,404,815 | |
| | BANK OF AMERICA CORP | | 6.05% 16 May 2016 | | 940,000 | | | | 955,502 | |
| | BANK OF AMERICA CORP | | 8.57% 15 Nov 2024 | | 620,000 | | | | 778,148 | |
| | BANK ONE CORP | | 7.625% 15 Oct 2026 | | 190,000 | | | | 240,977 | |
| | BB+T CORPORATION | | 1.6% 15 Aug 2017 | | 4,120,000 | | | | 4,124,754 | |
| | BED BATH + BEYOND INC | | 3.749% 01 Aug 2024 | | 2,180,000 | | | | 2,126,359 | |
| | BP CAPITAL MARKETS PLC | | 2.248% 01 Nov 2016 | | 4,465,000 | | | | 4,503,560 | |
| | BP CAPITAL MARKETS PLC | | 3.2% 11 Mar 2016 | | 3,100,000 | | | | 3,114,998 | |
| | CHEVRON CORP | | 1.961% 03 Mar 2020 | | 3,760,000 | | | | 3,705,251 | |
| | CHEVRON CORP | | 4.95% 03 Mar 2019 | | 2,462,000 | | | | 2,682,379 | |
| | CHUBB INA HOLDINGS INC | | 2.875% 03 Nov 2022 | | 4,265,000 | | | | 4,232,637 | |
| | CISCO SYSTEMS INC | | 3% 15 Jun 2022 | | 5,975,000 | | | | 6,076,826 | |
| | CITIGROUP INC | | 4.05% 30 Jul 2022 | | 1,365,000 | | | | 1,396,211 | |
| | COLUMBIA PIPELINE GROUP | | 3.3% 01 Jun 2020 | | 3,255,000 | | | | 3,169,416 | |
| | CONOCOPHILLIPS COMPANY | | 1.05% 15 Dec 2017 | | 2,505,000 | | | | 2,459,587 | |
| | COUNTRYWIDE FINL CORP | | 6.25% 15 May 2016 | | 1,772,000 | | | | 1,801,869 | |
| | DISCOVER BANK | | 2% 21 Feb 2018 | | 540,000 | | | | 536,349 | |
| | DISCOVER FINANCIAL SVS | | 5.2% 27 Apr 2022 | | 2,435,000 | | | | 2,603,845 | |
| | DOW CHEMICAL CO/THE | | 4.125% 15 Nov 2021 | | 1,675,000 | | | | 1,756,053 | |
| | DOW CHEMICAL CO/THE | | 4.25% 15 Nov 2020 | | 620,000 | | | | 648,995 | |
| | ENERGY TRANSFER PARTNERS | | 9% 15 Apr 2019 | | 1,230,000 | | | | 1,353,310 | |
| | ENLINK MIDSTREAM PARTNER | | 2.7% 01 Apr 2019 | | 1,345,000 | | | | 1,227,193 | |
| | EXPRESS SCRIPTS HOLDING | | 4.75% 15 Nov 2021 | | 535,000 | | | | 573,659 | |
| | FANNIE MAE | | 0.01% 09 Oct 2019 | | 9,740,000 | | | | 9,019,396 | |
| | FANNIE MAE | | 1.125% 25 May 2018 | | 6,655,000 | | | | 6,628,713 | |
| | FANNIE MAE | | 1.625% 27 Apr 2018 | | 7,380,000 | | | | 7,396,243 | |
| | FANNIE MAE | | 2% 17 Oct 2017 | | 6,970,000 | | | | 7,037,072 | |
| | FED HM LN PC POOL A90710 | | 4.5% 01 Jan 2040 | | 1,723,294 | | | | 1,885,327 | |
| | FED HM LN PC POOL A95289 | | 4% 01 Dec 2040 | | 3,133,499 | | | | 3,324,664 | |
| | | | | | | | | | | | |
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| | FED HM LN PC POOL A96411 | | 4% 01 Jan 2041 | | 825,949 | | | | 879,946 | |
| | FED HM LN PC POOL C03517 | | 4.5% 01 Sep 2040 | | 2,523,827 | | | | 2,722,409 | |
| | FED HM LN PC POOL C91385 | | 4% 01 Aug 2031 | | 1,772,092 | | | | 1,894,295 | |
| | FED HM LN PC POOL C91467 | | 3.5% 01 Jul 2032 | | 5,251,552 | | | | 5,491,701 | |
| | FED HM LN PC POOL D98903 | | 3.5% 01 Jan 2032 | | 4,879,031 | | | | 5,108,977 | |
| | FED HM LN PC POOL G06607 | | 4.5% 01 Jun 2041 | | 9,461,465 | | | | 10,332,464 | |
| | FED HM LN PC POOL G08635 | | 3% 01 Apr 2045 | | 3,788,209 | | | | 3,785,042 | |
| | FED HM LN PC POOL Q04651 | | 4% 01 Nov 2041 | | 3,425,624 | | | | 3,649,635 | |
| | FED HM LN PC POOL Q05263 | | 4% 01 Dec 2041 | | 3,575,791 | | | | 3,822,819 | |
| | FED HM LN PC POOL Q14034 | | 3.5% 01 Dec 2042 | | 4,678,958 | | | | 4,848,357 | |
| | FED HM LN PC POOL Q14790 | | 3.5% 01 Jan 2043 | | 2,042,530 | | | | 2,116,519 | |
| | FED HM LN PC POOL Q26141 | | 4% 01 May 2044 | | 3,022,368 | | | | 3,212,552 | |
| | FIFTH THIRD BANCORP | | 5.45% 15 Jan 2017 | | 1,680,000 | | | | 1,741,639 | |
| | FNMA POOL 190346 | | 1% 01 Dec 2033 | | 893,352 | | | | 1,009,502 | |
| | FNMA POOL 555531 | | 1% 01 Jun 2033 | | 340,246 | | | | 382,523 | |
| | FNMA POOL 555592 | | 1% 01 Jul 2033 | | 804,040 | | | | 903,760 | |
| | FNMA POOL 725027 | | 1% 01 Nov 2033 | | 1,092,731 | | | | 1,208,822 | |
| | FNMA POOL 725231 | | 1% 01 Feb 2034 | | 593,276 | | | | 656,275 | |
| | FNMA POOL 725425 | | 1% 01 Apr 2034 | | 810,354 | | | | 911,268 | |
| | FNMA POOL 735036 | | 1% 01 Dec 2034 | | 796,362 | | | | 896,093 | |
| | FNMA POOL 735484 | | 1% 01 May 2035 | | 968,971 | | | | 1,069,540 | |
| | FNMA POOL 735579 | | 1% 01 Jun 2035 | | 282,539 | | | | 312,224 | |
| | FNMA POOL 735580 | | 1% 01 Jun 2035 | | 885,162 | | | | 978,485 | |
| | FNMA POOL 735676 | | 1% 01 Jul 2035 | | 1,071,073 | | | | 1,183,841 | |
| | FNMA POOL 745140 | | 1% 01 Nov 2035 | | 2,401,017 | | | | 2,648,506 | |
| | FNMA POOL 745418 | | 1% 01 Apr 2036 | | 1,054,923 | | | | 1,182,999 | |
| | FNMA POOL 745515 | | 1% 01 May 2036 | | 839,307 | | | | 925,419 | |
| | FNMA POOL 931755 | | 4.5% 01 Aug 2039 | | 2,899,951 | | | | 3,181,528 | |
| | FNMA POOL AA7666 | | 4.5% 01 Jun 2039 | | 1,454,678 | | | | 1,588,705 | |
| | FNMA POOL AA9295 | | 4.5% 01 Jun 2039 | | 657,968 | | | | 721,850 | |
| | FNMA POOL AB3853 | | 4% 01 Nov 2041 | | 3,213,074 | | | | 3,424,592 | |
| | FNMA POOL AC1878 | | 4.5% 01 Sep 2039 | | 2,312,279 | | | | 2,536,805 | |
| | FNMA POOL AD0394 | | 1% 01 Oct 2039 | | 2,121,246 | | | | 2,327,120 | |
| | FNMA POOL AE0701 | | 1% 01 Dec 2040 | | 3,110,151 | | | | 3,397,604 | |
| | FNMA POOL AE0835 | | 1% 01 Jan 2041 | | 4,715,272 | | | | 5,035,528 | |
| | FNMA POOL AE0981 | | 1% 01 Mar 2041 | | 1,712,083 | | | | 1,770,513 | |
| | FNMA POOL AE0994 | | 1% 01 Feb 2041 | | 944,286 | | | | 1,011,124 | |
| | FNMA POOL AE7723 | | 4% 01 Nov 2040 | | 1,101,960 | | | | 1,168,817 | |
| | FNMA POOL AH6788 | | 4.5% 01 Mar 2041 | | 957,587 | | | | 1,041,388 | |
| | FNMA POOL AJ0794 | | 4% 01 Sep 2041 | | 2,874,215 | | | | 3,060,093 | |
| | FNMA POOL AJ5442 | | 4.5% 01 Nov 2041 | | 4,136,051 | | | | 4,522,052 | |
| | FNMA POOL AJ7685 | | 4% 01 Dec 2041 | | 3,320,289 | | | | 3,543,247 | |
| | FNMA POOL AJ9325 | | 3.5% 01 Jan 2042 | | 1,506,903 | | | | 1,564,988 | |
| | FNMA POOL AK0765 | | 4% 01 Mar 2042 | | 866,852 | | | | 922,420 | |
| | FNMA POOL AK9785 | | 3.5% 01 May 2042 | | 3,822,540 | | | | 3,952,606 | |
| | FNMA POOL AL1711 | | 1% 01 Aug 2041 | | 8,297,427 | | | | 9,065,074 | |
| | FNMA POOL AO3535 | | 3.5% 01 Jun 2042 | | 6,268,363 | | | | 6,480,694 | |
| | FNMA POOL AO5527 | | 4% 01 Jul 2042 | | 1,052,766 | | | | 1,120,017 | |
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Table of Contents
| | FNMA POOL AO8106 | | 4% 01 Aug 2042 | | 1,964,164 | | | | 2,091,243 | |
| | FNMA POOL AO8167 | | 4% 01 Sep 2042 | | 1,640,996 | | | | 1,746,782 | |
| | FNMA POOL AO9180 | | 3.5% 01 Jul 2042 | | 6,433,378 | | | | 6,647,922 | |
| | FNMA POOL AP3142 | | 3.5% 01 Dec 2042 | | 4,294,570 | | | | 4,465,404 | |
| | FNMA POOL AQ4597 | | 3.5% 01 Dec 2042 | | 2,572,898 | | | | 2,666,638 | |
| | FNMA POOL AQ6154 | | 3.5% 01 Nov 2032 | | 3,733,968 | | | | 3,904,218 | |
| | FNMA POOL AR6482 | | 3.5% 01 Feb 2043 | | 4,538,463 | | | | 4,718,996 | |
| | FNMA POOL AR6483 | | 4% 01 Feb 2043 | | 3,178,464 | | | | 3,410,231 | |
| | FNMA POOL AR6485 | | 3.5% 01 Feb 2043 | | 9,876,714 | | | | 10,236,602 | |
| | FNMA POOL AS0356 | | 4% 01 Sep 2043 | | 4,994,483 | | | | 5,321,922 | |
| | FNMA POOL AT6545 | | 4% 01 Jun 2043 | | 3,314,189 | | | | 3,527,387 | |
| | FORD MOTOR CREDIT CO LLC | | 5% 15 May 2018 | | 4,720,000 | | | | 4,957,864 | |
| | FOUR TIMES SQUARE TRUST | | 5.401% 13 Dec 2028 | | 2,700,000 | | | | 2,978,918 | |
| | FREDDIE MAC | | 1.18% 14 Dec 2017 | | 5,625,000 | | | | 5,631,879 | |
| | GE CAPITAL INTL FUNDING | | 2.342% 15 Nov 2020 | | 2,361,000 | | | | 2,341,309 | |
| | GENERAL ELECTRIC CO | | 4.375% 16 Sep 2020 | | 99,000 | | | | 107,472 | |
| | GENERAL ELECTRIC CO | | 4.65% 17 Oct 2021 | | 735,000 | | | | 813,768 | |
| | GNMA II POOL 004883 | | 4.5% 20 Dec 2040 | | 1,085,271 | | | | 1,182,193 | |
| | GNMA II POOL 004947 | | 5% 20 Feb 2041 | | 2,021,893 | | | | 2,233,999 | |
| | GNMA II POOL 005017 | | 4.5% 20 Apr 2041 | | 1,971,072 | | | | 2,147,111 | |
| | GNMA II POOL AB2921 | | 4% 20 Sep 2042 | | 7,186,116 | | | | 7,726,211 | |
| | GNMA II POOL AB9233 | | 4% 20 Nov 2042 | | 7,168,683 | | | | 7,704,898 | |
| | GNMA POOL 470009 | | 4% 15 Sep 2041 | | 3,459,908 | | | | 3,691,296 | |
| | GNMA POOL 479494 | | 4% 15 Oct 2041 | | 5,990,533 | | | | 6,390,567 | |
| | GNMA POOL 711675 | | 3.5% 15 Sep 2042 | | 3,204,765 | | | | 3,352,891 | |
| | GOLDMAN SACHS GROUP INC | | 5.25% 27 Jul 2021 | | 2,595,000 | | | | 2,869,084 | |
| | GOLDMAN SACHS GROUP INC | | 5.95% 18 Jan 2018 | | 1,480,000 | | | | 1,593,926 | |
| | GOLDMAN SACHS GROUP INC | | 7.5% 15 Feb 2019 | | 3,737,000 | | | | 4,276,103 | |
| | HARTFORD FINL SVCS GRP | | 5.5% 30 Mar 2020 | | 1,190,000 | | | | 1,317,322 | |
| | HARTFORD FINL SVCS GRP | | 6% 15 Jan 2019 | | 2,073,000 | | | | 2,279,827 | |
| | HOME DEPOT INC | | 4.4% 01 Apr 2021 | | 990,000 | | | | 1,090,208 | |
| | HSBC FINANCE CORP | | 6.676% 15 Jan 2021 | | 2,180,000 | | | | 2,501,934 | |
* | | JP MORGAN CHASE BANK NA | | 6% 01 Oct 2017 | | 3,410,000 | | | | 3,645,836 | |
* | | JPMORGAN CHASE + CO | | 3.15% 05 Jul 2016 | | 1,105,000 | | | | 1,116,422 | |
* | | JPMORGAN CHASE + CO | | 3.45% 01 Mar 2016 | | 305,000 | | | | 306,272 | |
* | | JPMORGAN CHASE + CO | | 4.35% 15 Aug 2021 | | 1,010,000 | | | | 1,074,875 | |
* | | JPMORGAN CHASE CO | | 1.125% 26 Feb 2016 | | 2,625,000 | | | | 2,626,197 | |
| | KINDER MORGAN ENER PART | | 5% 01 Oct 2021 | | 2,630,000 | | | | 2,482,412 | |
| | KRAFT HEINZ FOODS CO | | 2.8% 02 Jul 2020 | | 3,220,000 | | | | 3,211,673 | |
| | LIBERTY MUTUAL GROUP INC | | 5% 01 Jun 2021 | | 3,200,000 | | | | 3,422,477 | |
| | LINCOLN NATIONAL CORP | | 4.85% 24 Jun 2021 | | 4,440,000 | | | | 4,781,556 | |
| | MEDCO HEALTH SOLUTIONS | | 7.125% 15 Mar 2018 | | 2,260,000 | | | | 2,498,288 | |
| | MERCK + CO INC | | 2.4% 15 Sep 2022 | | 4,110,000 | | | | 4,027,294 | |
| | MONDELEZ INTERNATIONAL | | 4.125% 09 Feb 2016 | | 1,555,000 | | | | 1,559,010 | |
| | MORGAN STANLEY | | 4.875% 01 Nov 2022 | | 8,380,000 | | | | 8,893,292 | |
| | NATIONAL OILWELL VARCO I | | 1.35% 01 Dec 2017 | | 985,000 | | | | 963,823 | |
| | NATIONAL OILWELL VARCO I | | 2.6% 01 Dec 2022 | | 2,320,000 | | | | 2,028,035 | |
| | NBCUNIVERSAL MEDIA LLC | | 2.875% 01 Apr 2016 | | 3,575,000 | | | | 3,592,457 | |
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| | NEWFIELD EXPLORATION CO | | 5.75% 30 Jan 2022 | | 3,290,000 | | | | 2,911,650 | |
| | NISOURCE FINANCE CORP | | 6.125% 01 Mar 2022 | | 4,400,000 | | | | 5,036,368 | |
| | ORACLE CORP | | 5.75% 15 Apr 2018 | | 3,815,000 | | | | 4,162,665 | |
| | PPL WEM LTD/WESTERN PWR | | 3.9% 01 May 2016 | | 1,108,000 | | | | 1,112,424 | |
| | PRECISION CASTPARTS CORP | | 1.25% 15 Jan 2018 | | 4,850,000 | | | | 4,812,495 | |
| | PRIVATE EXPORT FUNDING | | 2.05% 15 Nov 2022 | | 4,710,000 | | | | 4,519,250 | |
| | PROTECTIVE LIFE CORP | | 7.375% 15 Oct 2019 | | 2,753,000 | | | | 3,184,651 | |
* | | PRUDENTIAL FINANCIAL INC | | 7.375% 15 Jun 2019 | | 3,995,000 | | | | 4,636,265 | |
| | REYNOLDS AMERICAN INC | | 4.45% 12 Jun 2025 | | 1,720,000 | | | | 1,798,829 | |
| | RIO TINTO FIN USA LTD | | 9% 01 May 2019 | | 2,455,000 | | | | 2,865,994 | |
| | ROCHE HOLDING INC | | 2.875% 29 Sep 2021 | | 6,160,000 | | | | 6,241,454 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 17,958,616 | | | | 17,958,616 | |
| | SYSCO CORPORATION | | 3.75% 01 Oct 2025 | | 860,000 | | | | 871,796 | |
| | TOTAL CAPITAL INTL SA | | 1% 10 Jan 2017 | | 3,995,000 | | | | 3,981,737 | |
| | UNITEDHEALTH GROUP INC | | 1.4% 15 Oct 2017 | | 1,295,000 | | | | 1,292,516 | |
| | US 2YR NOTE (CBT) MAR16 | | XCBT 20160331 | | (25,000,000 | ) | | | 43,656 | |
| | US DOLLAR | | | | 31,738 | | | | 31,738 | |
| | US TREASURY N/B | | 0.625% 15 Oct 2016 | | 8,580,000 | | | | 8,571,952 | |
| | US TREASURY N/B | | 0.875% 31 Dec 2016 | | 5,935,000 | | | | 5,938,709 | |
| | US TREASURY N/B | | 0.875% 31 Jul 2019 | | 2,150,000 | | | | 2,101,457 | |
| | US TREASURY N/B | | 1.125% 15 Jun 2018 | | 7,290,000 | | | | 7,272,912 | |
| | US TREASURY N/B | | 1.25% 31 Jan 2020 | | 12,500,000 | | | | 12,307,613 | |
| | US TREASURY N/B | | 1.375% 30 Sep 2018 | | 12,300,000 | | | | 12,338,438 | |
| | US TREASURY N/B | | 1.75% 15 May 2023 | | 20,615,000 | | | | 20,084,329 | |
| | US TREASURY N/B | | 2% 15 Aug 2025 | | 2,250,000 | | | | 2,193,838 | |
| | US TREASURY N/B | | 2% 30 Nov 2020 | | 13,750,000 | | | | 13,889,109 | |
| | US TREASURY N/B | | 2% 31 Aug 2021 | | 2,870,000 | | | | 2,882,556 | |
| | US TREASURY N/B | | 2.25% 15 Nov 2024 | | 20,630,000 | | | | 20,619,520 | |
| | US TREASURY N/B | | 2.375% 15 Aug 2024 | | 15,300,000 | | | | 15,459,579 | |
| | US TREASURY N/B | | 2.5% 15 May 2024 | | 17,030,000 | | | | 17,401,867 | |
| | VENTAS REALTY LP/CAP CRP | | 2.7% 01 Apr 2020 | | 2,422,000 | | | | 2,388,245 | |
| | VERIZON COMMUNICATIONS | | 5.15% 15 Sep 2023 | | 1,255,000 | | | | 1,379,654 | |
| | VOYA FINANCIAL INC | | 5.5% 15 Jul 2022 | | 3,065,000 | | | | 3,429,692 | |
| | WAL MART STORES INC | | 3.25% 25 Oct 2020 | | 1,065,000 | | | | 1,122,360 | |
| | WAL MART STORES INC | | 3.3% 22 Apr 2024 | | 2,360,000 | | | | 2,435,341 | |
| | WALGREENS BOOTS ALLIANCE | | 3.3% 18 Nov 2021 | | 2,720,000 | | | | 2,667,572 | |
| | WI TREASURY SEC | | 0.375% 15 Jan 2016 | | 16,360,000 | | | | 16,360,654 | |
| | WILLIAMS PARTNERS/ACMP | | 6.125% 15 Jul 2022 | | 385,000 | | | | 364,198 | |
| | WYNDHAM WORLDWIDE CORP | | 2.5% 01 Mar 2018 | | 670,000 | | | | 667,177 | |
| | WYNDHAM WORLDWIDE CORP | | 2.95% 01 Mar 2017 | | 225,000 | | | | 226,368 | |
| | WYNDHAM WORLDWIDE CORP | | 4.25% 01 Mar 2022 | | 965,000 | | | | 971,324 | |
| | XLIT LTD | | 4.45% 31 Mar 2025 | | 1,600,000 | | | | 1,566,805 | |
| | ZIMMER BIOMET HOLDINGS | | 2.7% 01 Apr 2020 | | 2,475,000 | | | | 2,443,894 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5744 12 of 16 | | | | | | $ | 651,408,579 | |
| | | | | | | | | | | | |
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Table of Contents
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | ABBVIE INC | | 2.5% 14 May 2020 | | 2,000,000 | | | | $ | 1,979,892 | |
| | ABN AMRO BANK NV | | 2.45% 04 Jun 2020 | | 2,800,000 | | | | 2,775,954 | |
| | ACTAVIS FUNDING SCS | | 3% 12 Mar 2020 | | 1,800,000 | | | | 1,798,569 | |
| | ALLY AUTO RECEIVABLES TRUST LE | | 0.93% 20 Jun 2017 | | 1,515,186 | | | | 1,512,563 | |
| | AMERICA MOVIL SAB DE CV | | 5% 16 Oct 2019 | | 200,000 | | | | 216,035 | |
| | AMERICAN EXPRESS CREDIT | | 1% 26 May 2020 | | 3,550,000 | | | | 3,515,249 | |
| | AMERICAN EXPRESS CREDIT | | 2.375% 26 May 2020 | | 2,600,000 | | | | 2,580,102 | |
| | AMGEN INC | | 3.45% 01 Oct 2020 | | 2,250,000 | | | | 2,315,621 | |
| | AMGEN INC | | 3.875% 15 Nov 2021 | | 750,000 | | | | 781,406 | |
| | APPLE INC | | 2.85% 06 May 2021 | | 4,500,000 | | | | 4,608,450 | |
| | AT+T INC | | 3% 30 Jun 2022 | | 5,100,000 | | | | 4,977,697 | |
| | AUSTRALIAN DOLLAR | | FOREIGN CURRENCY | | 75,890 | | | | 55,213 | |
| | AUSTRALIAN GOVERNMENT | | 3.25% 21 Apr 2025 | | 10,300,000 | | | | 7,751,670 | |
| | AUTOMATIC DATA PROCESSNG | | 2.25% 15 Sep 2020 | | 1,300,000 | | | | 1,304,923 | |
| | AVIATION CAPITAL GROUP | | 6.75% 06 Apr 2021 | | 3,808,000 | | | | 4,264,960 | |
| | AVIATION CAPITAL GROUP | | 7.125% 15 Oct 2020 | | 2,000,000 | | | | 2,290,000 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 1% 10 Apr 2049 | | 5,322,636 | | | | 5,476,977 | |
| | BANK OF AMERICA CORP | | 2.65% 01 Apr 2019 | | 300,000 | | | | 300,732 | |
| | BANK OF AMERICA CORP | | 5.65% 01 May 2018 | | 8,800,000 | | | | 9,462,710 | |
| | BANK OF AMERICA CORP | | 5.7% 24 Jan 2022 | | 600,000 | | | | 676,616 | |
| | BANK OF AMERICA CORP | | 6% 01 Sep 2017 | | 50,000 | | | | 53,211 | |
| | BANK OF NY MELLON CORP | | 1% 17 Aug 2020 | | 2,000,000 | | | | 2,003,768 | |
| | BANK OF NY MELLON CORP | | 2.45% 27 Nov 2020 | | 1,200,000 | | | | 1,194,714 | |
| | BEAR STEARNS COMMERCIAL MORTGA | | 1% 11 Jun 2040 | | 4,650,794 | | | | 4,863,944 | |
| | BEAR STEARNS COMMERCIAL MORTGA | | 5.331% 11 Feb 2044 | | 982,072 | | | | 1,009,679 | |
| | BNP PARIBAS | | 5% 15 Jan 2021 | | 4,000,000 | | | | 4,425,928 | |
| | BP CAPITAL MARKETS PLC | | 2.5% 06 Nov 2022 | | 1,500,000 | | | | 1,425,959 | |
| | BP CAPITAL MARKETS PLC | | 3.245% 06 May 2022 | | 3,000,000 | | | | 2,962,611 | |
| | BPCE SA | | 4% 15 Apr 2024 | | 2,400,000 | | | | 2,465,767 | |
| | BRAZILIAN REAL | | FOREIGN CURRENCY | | 567,338 | | | | 143,403 | |
| | BWU00D7P7 IRS USD P F 2.75000 | | 2.75% 16 Dec 2045 | | (2,100,000 | ) | | | (2,140,112 | ) |
| | BWU00D7P7 IRS USD R V 03MLIBOR | | 1% 16 Dec 2045 | | 2,100,000 | | | | 2,100,000 | |
| | CALIFORNIA ST | | 6.65% 01 Mar 2022 | | 1,650,000 | | | | 1,985,132 | |
| | CCFOBZUS0 CREDIT SUISSE CCP US | | CCFOBZUS0 CASH COLL CCP COC US | | 69,000 | | | | 69,000 | |
| | CCWFSXUS7 BMO HARRIS MGCC COC | | CCWFSXUS7 BMO HARRIS MGCC COC | | 125,000 | | | | 125,000 | |
| | CD COMMERCIAL MORTGAGE TRUST | | 5.322% 11 Dec 2049 | | 1,785,815 | | | | 1,815,876 | |
| | CHASE ISSUANCE TRUST | | 1.36% 15 Apr 2020 | | 1,600,000 | | | | 1,590,849 | |
| | CHUBB INA HOLDINGS INC | | 2.875% 03 Nov 2022 | | 2,100,000 | | | | 2,084,065 | |
| | CITIBANK CREDIT CARD ISSUANCE | | 1% 10 Sep 2020 | | 2,148,000 | | | | 2,146,133 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 5.425% 15 Oct 2049 | | 4,998,130 | | | | 5,099,148 | |
| | CITIGROUP INC | | 4.5% 14 Jan 2022 | | 4,500,000 | | | | 4,819,793 | |
| | | | | | | | | | | | |
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| | CNOOC FINANCE 2012 LTD | | 3.875% 02 May 2022 | | 4,500,000 | | | | 4,545,621 | |
| | COBALT CMBS COMMERCIAL MORTGAG | | 5.223% 15 Aug 2048 | | 1,576,006 | | | | 1,601,130 | |
| | COMM MORTGAGE TRUST | | 3.04% 10 Feb 2048 | | 1,650,000 | | | | 1,652,543 | |
| | COMM MORTGAGE TRUST | | 3.142% 10 Feb 2048 | | 1,150,000 | | | | 1,154,388 | |
| | COMM MORTGAGE TRUST | | 3.257% 10 May 2048 | | 1,500,000 | | | | 1,521,633 | |
| | COMM MORTGAGE TRUST | | 3.421% 10 Jul 2048 | | 400,000 | | | | 410,087 | |
| | CRED SUIS GP FUN LTD | | 3.8% 15 Sep 2022 | | 3,600,000 | | | | 3,597,160 | |
| | CREDIT SUISSE MORTGAGE TRUST | | 5.46% 15 Sep 2039 | | 3,735,142 | | | | 3,805,049 | |
| | CSAIL COMMERCIAL MORTGAGE TRUS | | 3.351% 15 Apr 2050 | | 200,000 | | | | 202,477 | |
| | CSFB CASH COLL CCP | | CSFB CASH COLL CCFOBCUS1 | | 221,000 | | | | 221,000 | |
| | DOMINION GAS HLDGS LLC | | 2.8% 15 Nov 2020 | | 2,075,000 | | | | 2,081,787 | |
| | EKSPORTFINANS ASA | | 2.375% 25 May 2016 | | 2,500,000 | | | | 2,501,750 | |
| | ELECTRICITE DE FRANCE SA | | 2.35% 13 Oct 2020 | | 2,100,000 | | | | 2,067,345 | |
| | ENERGY TRANSFER PARTNERS | | 2.5% 15 Jun 2018 | | 1,850,000 | | | | 1,772,015 | |
| | ENTERPRISE PRODUCTS OPER | | 2.55% 15 Oct 2019 | | 700,000 | | | | 671,099 | |
| | EURO CURRENCY | | FOREIGN CURRENCY | | 42,073 | | | | 45,703 | |
| | EXPORT IMPORT BK KOREA | | 1% 26 Nov 2016 | | 3,000,000 | | | | 3,000,987 | |
| | FANNIE MAE | | 1.75% 26 Nov 2019 | | 10,000,000 | | | | 10,051,340 | |
| | FANNIE MAE | | 5.5% 25 Aug 2035 | | 1,012,200 | | | | 1,142,996 | |
| | FED HM LN PC POOL A43389 | | 5.5% 01 Feb 2036 | | 36,475 | | | | 40,495 | |
| | FED HM LN PC POOL B15591 | | 5% 01 Jul 2019 | | 30,361 | | | | 31,898 | |
| | FED HM LN PC POOL G01818 | | 5% 01 May 2035 | | 210,777 | | | | 232,345 | |
| | FED HM LN PC POOL G01838 | | 5% 01 Jul 2035 | | 261,647 | | | | 288,688 | |
| | FED HM LN PC POOL G02123 | | 5.5% 01 Mar 2036 | | 10,100 | | | | 11,218 | |
| | FED HM LN PC POOL G02254 | | 5.5% 01 Mar 2036 | | 6,299 | | | | 7,003 | |
| | FED HM LN PC POOL G04092 | | 5.5% 01 Mar 2038 | | 21,511 | | | | 23,841 | |
| | FED HM LN PC POOL G05267 | | 5.5% 01 Dec 2038 | | 118,514 | | | | 131,829 | |
| | FED HM LN PC POOL G06193 | | 5.5% 01 May 2040 | | 99,049 | | | | 110,168 | |
| | FED HM LN PC POOL G06872 | | 5.5% 01 Sep 2039 | | 199,137 | | | | 222,488 | |
| | FED HM LN PC POOL G07021 | | 5% 01 Sep 2039 | | 543,499 | | | | 593,326 | |
| | FED HM LN PC POOL G08105 | | 5.5% 01 Jan 2036 | | 3,560 | | | | 3,959 | |
| | FED HM LN PC POOL Q17641 | | 3% 01 Apr 2043 | | 827,926 | | | | 828,431 | |
| | FED HM LN PC POOL Q20537 | | 3% 01 Jul 2043 | | 864,408 | | | | 864,657 | |
| | FHLMC MULTIFAMILY STRUCTURED P | | 5.105% 25 May 2019 | | 1,825,000 | | | | 1,992,259 | |
| | FNMA POOL 251890 | | 6.5% 01 Aug 2018 | | 5,624 | | | | 6,428 | |
| | FNMA POOL 254634 | | 5.5% 01 Feb 2023 | | 140,448 | | | | 156,376 | |
| | FNMA POOL 256101 | | 5.5% 01 Feb 2036 | | 60,264 | | | | 67,538 | |
| | FNMA POOL 257371 | | 5% 01 Sep 2028 | | 258,443 | | | | 284,251 | |
| | FNMA POOL 429715 | | 6.5% 01 Apr 2018 | | 7,321 | | | | 8,367 | |
| | FNMA POOL 468551 | | 3.98% 01 Jul 2021 | | 1,687,500 | | | | 1,823,320 | |
| | FNMA POOL 469086 | | 3.15% 01 Sep 2018 | | 3,825,000 | | | | 3,947,683 | |
| | FNMA POOL 469616 | | 3.5% 01 Nov 2021 | | 1,162,530 | | | | 1,240,623 | |
| | FNMA POOL 499479 | | 6.5% 01 Jun 2029 | | 28,134 | | | | 32,153 | |
| | FNMA POOL 691210 | | 6% 01 Jan 2037 | | 19,336 | | | | 21,838 | |
| | FNMA POOL 735734 | | 1% 01 Jul 2025 | | 58,715 | | | | 65,373 | |
| | FNMA POOL 804558 | | 5.5% 01 Dec 2034 | | 875,437 | | | | 986,925 | |
| | FNMA POOL 829329 | | 5.5% 01 Sep 2035 | | 21,319 | | | | 23,947 | |
| | FNMA POOL 831368 | | 6% 01 Apr 2036 | | 112,771 | | | | 127,708 | |
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Table of Contents
| | FNMA POOL 850752 | | 5.5% 01 Dec 2035 | | 605,695 | | | | 679,487 | |
| | FNMA POOL 852336 | | 5.5% 01 Feb 2036 | | 2,242 | | | | 2,508 | |
| | FNMA POOL 869944 | | 5.5% 01 Apr 2036 | | 2,258 | | | | 2,515 | |
| | FNMA POOL 878104 | | 5.5% 01 Apr 2036 | | 1,761 | | | | 1,960 | |
| | FNMA POOL 878528 | | 5.5% 01 Feb 2036 | | 38,542 | | | | 43,174 | |
| | FNMA POOL 881398 | | 5.5% 01 May 2036 | | 19,991 | | | | 22,366 | |
| | FNMA POOL 888637 | | 1% 01 Sep 2037 | | 1,391,453 | | | | 1,574,190 | |
| | FNMA POOL 889334 | | 1% 01 Feb 2038 | | 119,121 | | | | 134,739 | |
| | FNMA POOL 890365 | | 1% 01 Jul 2041 | | 936,807 | | | | 1,046,058 | |
| | FNMA POOL 891386 | | 5.5% 01 Oct 2035 | | 993,443 | | | | 1,109,164 | |
| | FNMA POOL 891580 | | 6% 01 Jul 2036 | | 372 | | | | 421 | |
| | FNMA POOL 898318 | | 6% 01 Nov 2036 | | 10,333 | | | | 11,660 | |
| | FNMA POOL 904266 | | 5.5% 01 Nov 2036 | | 2,014 | | | | 2,242 | |
| | FNMA POOL 928031 | | 6% 01 Jan 2037 | | 91,562 | | | | 103,446 | |
| | FNMA POOL 938016 | | 5.5% 01 Jul 2037 | | 582,616 | | | | 648,686 | |
| | FNMA POOL 938224 | | 6% 01 Jul 2037 | | 16,521 | | | | 18,663 | |
| | FNMA POOL 940765 | | 5.5% 01 Jun 2037 | | 1,059,947 | | | | 1,180,848 | |
| | FNMA POOL 961440 | | 5.5% 01 Feb 2038 | | 38,957 | | | | 43,522 | |
| | FNMA POOL 961655 | | 5% 01 Feb 2038 | | 14,383 | | | | 15,819 | |
| | FNMA POOL 962958 | | 5.5% 01 May 2038 | | 62,048 | | | | 69,167 | |
| | FNMA POOL 995018 | | 1% 01 Jun 2038 | | 977,349 | | | | 1,091,561 | |
| | FNMA POOL 995738 | | 1% 01 Dec 2038 | | 295,516 | | | | 330,299 | |
| | FNMA POOL 995759 | | 1% 01 Nov 2038 | | 312,275 | | | | 349,182 | |
| | FNMA POOL 995838 | | 1% 01 May 2039 | | 79,214 | | | | 88,424 | |
| | FNMA POOL AA6435 | | 6% 01 May 2040 | | 36,056 | | | | 40,688 | |
| | FNMA POOL AB0534 | | 5.5% 01 Nov 2038 | | 1,889,668 | | | | 2,118,638 | |
| | FNMA POOL AB4681 | | 3.5% 01 Mar 2042 | | 1,461,955 | | | | 1,512,879 | |
| | FNMA POOL AB7059 | | 2.5% 01 Nov 2042 | | 230,033 | | | | 222,285 | |
| | FNMA POOL AB8463 | | 2.5% 01 Feb 2043 | | 390,935 | | | | 377,820 | |
| | FNMA POOL AB8613 | | 3% 01 Mar 2043 | | 418,532 | | | | 419,453 | |
| | FNMA POOL AB9187 | | 3% 01 Apr 2043 | | 552,533 | | | | 553,732 | |
| | FNMA POOL AC1254 | | 4% 01 Aug 2039 | | 23,423 | | | | 25,075 | |
| | FNMA POOL AD7406 | | 5% 01 Jul 2040 | | 6,475 | | | | 7,173 | |
| | FNMA POOL AD8950 | | 5% 01 Jul 2040 | | 19,476 | | | | 21,533 | |
| | FNMA POOL AD9871 | | 4% 01 Oct 2040 | | 117,392 | | | | 124,963 | |
| | FNMA POOL AE8287 | | 4% 01 Nov 2040 | | 1,198,227 | | | | 1,271,231 | |
| | FNMA POOL AE8349 | | 6% 01 Aug 2037 | | 7,471 | | | | 8,434 | |
| | FNMA POOL AH1747 | | 4% 01 Dec 2040 | | 244,270 | | | | 259,082 | |
| | FNMA POOL AL1606 | | 1% 01 Apr 2042 | | 11,209 | | | | 12,328 | |
| | FNMA POOL AL2692 | | 1% 01 Oct 2042 | | 7,372,580 | | | | 7,623,617 | |
| | FNMA POOL AL3040 | | 1% 01 Jan 2043 | | 2,468,733 | | | | 2,619,393 | |
| | FNMA POOL AL3072 | | 1% 01 Feb 2043 | | 136,395 | | | | 137,132 | |
| | FNMA POOL AL3223 | | 1% 01 Sep 2041 | | 1,493,977 | | | | 1,668,458 | |
| | FNMA POOL AL5616 | | 1% 01 Sep 2041 | | 4,996,270 | | | | 5,581,270 | |
| | FNMA POOL AO4597 | | 4% 01 Jun 2042 | | 350,498 | | | | 371,614 | |
| | FNMA POOL AQ9316 | | 2.5% 01 Jan 2043 | | 1,200,233 | | | | 1,159,855 | |
| | FNMA POOL AQ9990 | | 2.5% 01 Feb 2043 | | 480,976 | | | | 464,776 | |
| | FNMA POOL AR2626 | | 2.5% 01 Feb 2043 | | 5,547,461 | | | | 5,360,638 | |
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Table of Contents
| | FNMA POOL AR6212 | | 2.5% 01 Feb 2043 | | 309,323 | | | | 298,921 | |
| | FNMA POOL AR7106 | | 3% 01 May 2043 | | 80,951 | | | | 81,122 | |
| | FNMA POOL AR7414 | | 3% 01 Jul 2043 | | 808,055 | | | | 809,745 | |
| | FNMA POOL AS0513 | | 2.5% 01 Aug 2043 | | 482,786 | | | | 466,539 | |
| | FNMA POOL AS0837 | | 5% 01 Oct 2043 | | 1,500,731 | | | | 1,651,670 | |
| | FNMA POOL AS1338 | | 5% 01 Dec 2043 | | 3,496,167 | | | | 3,850,285 | |
| | FNMA POOL AT0681 | | 3% 01 Mar 2043 | | 4,979,940 | | | | 4,991,121 | |
| | FNMA POOL AT0682 | | 3% 01 Apr 2043 | | 144,383 | | | | 144,706 | |
| | FNMA POOL AT1572 | | 3% 01 May 2043 | | 855,483 | | | | 857,339 | |
| | FNMA POOL AT2717 | | 2.5% 01 May 2043 | | 41,329 | | | | 39,939 | |
| | FNMA POOL AT3526 | | 3% 01 May 2043 | | 82,438 | | | | 82,614 | |
| | FNMA POOL AT4506 | | 3% 01 May 2043 | | 31,083 | | | | 31,110 | |
| | FNMA POOL AT4827 | | 3% 01 Jul 2043 | | 35,716 | | | | 35,789 | |
| | FNMA POOL AT5895 | | 3% 01 Jun 2043 | | 678,516 | | | | 679,933 | |
| | FNMA POOL AT5898 | | 3% 01 Jun 2043 | | 84,175 | | | | 84,354 | |
| | FNMA POOL AT8026 | | 3% 01 Jul 2043 | | 584,520 | | | | 585,742 | |
| | FNMA POOL AT8341 | | 3% 01 Jul 2043 | | 32,914 | | | | 32,975 | |
| | FNMA POOL AT8489 | | 3% 01 Aug 2043 | | 22,109 | | | | 22,155 | |
| | FNMA POOL AT8912 | | 3% 01 Jul 2043 | | 29,824 | | | | 29,886 | |
| | FNMA POOL AU1631 | | 3% 01 Jul 2043 | | 2,850,333 | | | | 2,856,296 | |
| | FNMA POOL AU5341 | | 3% 01 Jun 2043 | | 35,433 | | | | 35,504 | |
| | FNMA POOL AW9503 | | 2.5% 01 Jan 2045 | | 98,562 | | | | 95,241 | |
| | FNMA POOL AW9530 | | 2.5% 01 Apr 2045 | | 491,763 | | | | 475,195 | |
| | FNMA POOL AX9656 | | 2.5% 01 Apr 2045 | | 837,653 | | | | 809,429 | |
| | FNMA POOL AY8668 | | 2.5% 01 Apr 2045 | | 344,197 | | | | 332,600 | |
| | FNMA POOL MA1493 | | 2.5% 01 Jun 2043 | | 410,013 | | | | 396,223 | |
| | FNMA POOL MA2276 | | 2.5% 01 Apr 2045 | | 864,540 | | | | 835,411 | |
| | FNMA TBA 15 YR 3.5 | | 3.5% 20 Jan 2031 | | 7,000,000 | | | | 7,330,589 | |
| | FNMA TBA 30 YR 3 | | 3% 14 Jan 2046 | | 27,000,000 | | | | 27,000,246 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 11 Feb 2046 | | 15,000,000 | | | | 15,443,621 | |
| | FNMA TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 10,000,000 | | | | 10,317,232 | |
| | FNMA TBA 30 YR 4 | | 4% 11 Feb 2046 | | 2,000,000 | | | | 2,112,360 | |
| | FNMA TBA 30 YR 5 | | 5% 14 Jan 2046 | | 12,000,000 | | | | 13,208,156 | |
| | FORD CREDIT AUTO LEASE TRUST | | 1.04% 15 May 2018 | | 2,900,000 | | | | 2,891,154 | |
| | FORD MOTOR CREDIT CO LLC | | 5% 15 May 2018 | | 2,600,000 | | | | 2,731,027 | |
| | FORD MOTOR CREDIT CO LLC | | 5.875% 02 Aug 2021 | | 2,250,000 | | | | 2,509,056 | |
| | FORD MOTOR CREDIT CO LLC | | 8.125% 15 Jan 2020 | | 1,300,000 | | | | 1,531,117 | |
| | FREDDIE MAC | | 2.375% 13 Jan 2022 | | 20,000,000 | | | | 20,277,840 | |
| | FREDDIE MAC | | 5% 15 Aug 2023 | | 2,759,630 | | | | 2,966,545 | |
| | GNMA I TBA 30 YR 5 | | 5% 21 Jan 2046 | | (1,000,000 | ) | | | (1,095,509 | ) |
| | GNMA II POOL 004113 | | 5% 20 Apr 2038 | | 359,904 | | | | 390,663 | |
| | GNMA II POOL 004314 | | 5% 20 Dec 2038 | | 400,184 | | | | 437,783 | |
| | GNMA II POOL 005116 | | 5% 20 Jul 2041 | | 99,927 | | | | 110,410 | |
| | GNMA II POOL 080594 | | 1% 20 Apr 2032 | | 229,659 | | | | 236,568 | |
| | GNMA II TBA 30 YR 3 | | 3% 21 Jan 2046 | | 2,000,000 | | | | 2,027,110 | |
| | GNMA II TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 2,000,000 | | | | 2,084,922 | |
| | GNMA II TBA 30 YR 4 | | 4% 21 Jan 2046 | | 13,000,000 | | | | 13,805,389 | |
| | GNMA II TBA 30 YR 4.5 | | 4.5% 21 Jan 2046 | | 1,000,000 | | | | 1,074,375 | |
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Table of Contents
| | GNMA POOL 678858 | | 5% 15 Mar 2038 | | 4,327 | | | | 4,786 | |
| | GNMA POOL 720069 | | 4.5% 15 Jun 2039 | | 489,664 | | | | 533,359 | |
| | GNMA POOL 726316 | | 5% 15 Sep 2039 | | 2,266,928 | | | | 2,526,504 | |
| | GNMA POOL 736500 | | 5% 15 Apr 2040 | | 26,227 | | | | 29,260 | |
| | GNMA POOL 737183 | | 5% 15 Apr 2040 | | 709,193 | | | | 791,100 | |
| | GNMA POOL 738317 | | 5% 15 May 2041 | | 8,958 | | | | 9,935 | |
| | GNMA POOL 782386 | | 5% 15 Aug 2038 | | 522,470 | | | | 578,403 | |
| | GNMA POOL 782428 | | 5% 15 Oct 2038 | | 2,163 | | | | 2,384 | |
| | GNMA POOL AC1428 | | 2.69% 15 Jun 2033 | | 4,886,595 | | | | 4,704,335 | |
| | GNMA POOL AL5247 | | 3.5% 15 Jan 2045 | | 463,080 | | | | 482,219 | |
| | GNMA POOL AL5414 | | 3.5% 15 Feb 2045 | | 532,344 | | | | 554,368 | |
| | GOLDMAN SACHS GROUP INC | | 5.25% 27 Jul 2021 | | 9,000,000 | | | | 9,950,580 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 4.5% 20 Nov 2034 | | 986,765 | | | | 1,028,447 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 5% 16 Mar 2033 | | 722,558 | | | | 741,597 | |
| | HALLIBURTON CO | | 3.375% 15 Nov 2022 | | 2,000,000 | | | | 1,968,268 | |
| | HONDA AUTO RECEIVABLES OWNER T | | 0.92% 20 Nov 2017 | | 2,800,000 | | | | 2,797,485 | |
| | HSBC HOLDINGS PLC | | 4% 30 Mar 2022 | | 4,200,000 | | | | 4,409,021 | |
| | INTESA SANPAOLO SPA | | 2.375% 13 Jan 2017 | | 1,250,000 | | | | 1,254,065 | |
| | JACKSON NATL LIFE GLOBAL | | 1.875% 15 Oct 2018 | | 2,100,000 | | | | 2,085,187 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 12 Feb 2051 | | 1,325,466 | | | | 1,377,813 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.397% 15 May 2045 | | 1,210,917 | | | | 1,223,051 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.439% 15 Jan 2049 | | 6,007,410 | | | | 6,192,686 | |
* | | JPMBB COMMERCIAL MORTGAGE SECU | | 3.042% 15 Oct 2048 | | 1,500,000 | | | | 1,485,356 | |
* | | JPMORGAN CHASE + CO | | 4.5% 24 Jan 2022 | | 9,600,000 | | | | 10,354,618 | |
| | KINDER MORGAN FIN CO LLC | | 6% 15 Jan 2018 | | 2,200,000 | | | | 2,218,176 | |
| | KRAFT HEINZ FOODS CO | | 3.5% 15 Jul 2022 | | 1,500,000 | | | | 1,510,343 | |
| | LB UBS COMMERCIAL MORTGAGE TRU | | 5.43% 15 Feb 2040 | | 406,119 | | | | 416,796 | |
| | LETRA TESOURO NACIONAL | | 0.01% 01 Jan 2018 | | 7,600,000 | | | | 1,418,628 | |
| | LLOYDS BANK PLC | | 1% 17 Aug 2018 | | 3,000,000 | | | | 2,999,736 | |
| | LLOYDS BANK PLC | | 2.4% 17 Mar 2020 | | 2,650,000 | | | | 2,632,388 | |
| | LOS ANGELES CA MUNI IMPT CORPL | | 2.846% 01 Nov 2019 | | 1,300,000 | | | | 1,317,212 | |
| | MEXICAN PESO (NEW) | | FOREIGN CURRENCY | | 1,015,250 | | | | 58,783 | |
| | MICROSOFT CORP | | 2.375% 12 Feb 2022 | | 2,500,000 | | | | 2,467,635 | |
| | MORGAN STANLEY | | 1% 27 Jan 2020 | | 3,600,000 | | | | 3,607,693 | |
| | MORGAN STANLEY | | 3.75% 25 Feb 2023 | | 1,250,000 | | | | 1,280,333 | |
| | MORGAN STANLEY | | 3.875% 29 Apr 2024 | | 1,500,000 | | | | 1,529,069 | |
| | MORGAN STANLEY | | 7.3% 13 May 2019 | | 600,000 | | | | 689,225 | |
| | MORGAN STANLEY BAML TRUST | | 3.069% 15 Feb 2048 | | 1,525,000 | | | | 1,527,715 | |
| | MORGAN STANLEY BAML TRUST | | 3.326% 15 Dec 2047 | | 6,700,000 | | | | 6,814,358 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 12 Jul 2044 | | 1,845,932 | | | | 1,842,623 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 5.319% 15 Dec 2043 | | 4,162,810 | | | | 4,245,716 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 5.364% 15 Mar 2044 | | 1,700,000 | | | | 1,745,006 | |
| | MUFG AMERICAS HLDGS CORP | | 2.25% 10 Feb 2020 | | 3,200,000 | | | | 3,146,451 | |
| | NATIONAL AUSTRALIA BK/NY | | 2.625% 23 Jul 2020 | | 1,850,000 | | | | 1,856,024 | |
| | NAVIENT STUDENT LOAN TRUST | | 1% 25 Jul 2030 | | 1,773,408 | | | | 1,760,755 | |
| | NAVIENT STUDENT LOAN TRUST | | 1% 26 Sep 2022 | | 1,658,129 | | | | 1,649,249 | |
| | NELNET STUDENT LOAN TRUST | | 1% 24 Dec 2035 | | 3,900,000 | | | | 3,694,408 | |
| | NISSAN AUTO LEASE TRUST | | 1.18% 15 Dec 2017 | | 2,500,000 | | | | 2,495,975 | |
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| | NORDEA BANK AB | | 1% 17 Sep 2018 | | 1,900,000 | | | | 1,906,990 | |
| | NOTA DO TESOURO NACIONAL | | 10% 01 Jan 2021 | | 5,700,000 | | | | 1,146,870 | |
| | ORACLE CORP | | 2.5% 15 May 2022 | | 1,900,000 | | | | 1,864,875 | |
| | PARIBAS REPO | | 0.45% 04 Jan 2016 | | 23,500,000 | | | | 23,500,000 | |
| | PHILIP MORRIS INTL INC | | 4.5% 26 Mar 2020 | | 2,609,000 | | | | 2,841,071 | |
| | PNC BANK NA | | 2.45% 05 Nov 2020 | | 1,600,000 | | | | 1,592,813 | |
| | QUALCOMM INC | | 3% 20 May 2022 | | 1,300,000 | | | | 1,286,971 | |
| | REPO BANK AMERICA | | 0.58% 04 Jan 2016 | | 7,300,000 | | | | 7,300,000 | |
| | REPUBLIC OF SLOVENIA | | 4.125% 18 Feb 2019 | | 1,600,000 | | | | 1,682,000 | |
| | REPUBLIC OF SLOVENIA | | 4.75% 10 May 2018 | | 3,000,000 | | | | 3,183,000 | |
| | REPUBLIC OF SLOVENIA | | 5.25% 18 Feb 2024 | | 800,000 | | | | 883,000 | |
| | REPUBLIC OF SLOVENIA | | 5.5% 26 Oct 2022 | | 1,200,000 | | | | 1,339,421 | |
| | REPUBLIC OF SLOVENIA | | 5.85% 10 May 2023 | | 4,100,000 | | | | 4,671,417 | |
| | ROYAL BANK OF CANADA | | 1.875% 05 Feb 2020 | | 3,700,000 | | | | 3,632,534 | |
| | SANTANDER HOLDINGS USA | | 4.5% 17 Jul 2025 | | 2,650,000 | | | | 2,697,557 | |
| | SCRIPPS NETWORKS INTERAC | | 2.8% 15 Jun 2020 | | 1,550,000 | | | | 1,512,062 | |
| | SHELL INTERNATIONAL FIN | | 1% 11 May 2020 | | 6,200,000 | | | | 6,109,189 | |
| | SIEMENS FINANCIERINGSMAT | | 2.9% 27 May 2022 | | 1,800,000 | | | | 1,799,284 | |
| | SLC STUDENT LOAN TRUST | | 1% 15 Jun 2024 | | 1,323,759 | | | | 1,307,669 | |
| | SLC STUDENT LOAN TRUST | | 1% 15 Sep 2026 | | 2,050,000 | | | | 1,969,775 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Apr 2023 | | 1,385,900 | | | | 1,370,272 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Jan 2028 | | 1,870,000 | | | | 1,844,221 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Jul 2019 | | 1,169,267 | | | | 1,161,967 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Jul 2023 | | 1,556,491 | | | | 1,522,462 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Oct 2024 | | 1,700,130 | | | | 1,664,177 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Oct 2024 | | 931,954 | | | | 929,779 | |
| | SLM STUDENT LOAN TRUST | | 1% 27 Jul 2026 | | 1,330,453 | | | | 1,315,200 | |
| | SLM STUDENT LOAN TRUST | | 1% 27 Oct 2025 | | 1,171,715 | | | | 1,162,592 | |
| | SOCIETE GENERALE | | 2.625% 16 Sep 2020 | | 3,500,000 | | | | 3,497,886 | |
| | SOUTHWESTERN ENERGY CO | | 4.1% 15 Mar 2022 | | 2,000,000 | | | | 1,257,920 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 531,013 | | | | 531,013 | |
* | | STATE STREET CORP | | 1% 18 Aug 2020 | | 3,100,000 | | | | 3,100,322 | |
| | SUMITOMO MITSUI BANKING | | 1% 10 Jan 2017 | | 7,000,000 | | | | 6,979,357 | |
| | SUMITOMO MITSUI BANKING | | 1% 16 Jan 2018 | | 1,550,000 | | | | 1,544,680 | |
| | SVENSKA HANDELSBANKEN AB | | 2.4% 01 Oct 2020 | | 4,000,000 | | | | 3,970,288 | |
| | SWAP BARCLAYS BANK BOC | | TBA CASH COLLATERALL USD | | (50,000 | ) | | | (50,000 | ) |
| | SWAP CREDIT SUISSE BOC | | SWAP CASH COLLATERAL USD | | (20,000 | ) | | | (20,000 | ) |
| | SWPC03IO0 CDS USD P V 03MEVENT | | 1% 20 Jun 2019 | | (1,100,000 | ) | | | (1,100,000 | ) |
| | SWPC03IO0 CDS USD R F 1.00000 | | 1% 20 Jun 2019 | | 1,100,000 | | | | 1,118,200 | |
| | SWPC06GG2 CDS USD P V 03MEVENT | | 1% 20 Sep 2019 | | (4,300,000 | ) | | | (4,300,000 | ) |
| | SWPC06GG2 CDS USD R F 1.00000 | | 1% 20 Sep 2019 | | 4,300,000 | | | | 3,795,857 | |
| | SWPC06GH0 CDS USD P V 03MEVENT | | 1% 20 Sep 2019 | | (100,000 | ) | | | (100,000 | ) |
| | SWPC06GH0 CDS USD R F 1.00000 | | 1% 20 Sep 2019 | | 100,000 | | | | 88,276 | |
| | SWPC06ZO4 CDS USD P V 03MEVENT | | 1% 20 Dec 2019 | | (700,000 | ) | | | (700,000 | ) |
| | SWPC06ZO4 CDS USD R F 1.00000 | | 1% 20 Dec 2019 | | 700,000 | | | | 703,444 | |
| | SWPC08OZ7 CDS USD P V 03MEVENT | | 1% 20 Mar 2020 | | (2,400,000 | ) | | | (2,400,000 | ) |
| | SWPC08OZ7 CDS USD R F 1.00000 | | 1% 20 Mar 2020 | | 2,400,000 | | | | 2,441,942 | |
| | SWPC09VX2 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (2,200,000 | ) | | | (2,200,000 | ) |
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Table of Contents
| | SWPC09VX2 CDS USD R F 1.00000 | | 1% 20 Jun 2020 | | 2,200,000 | | | | 2,219,127 | |
| | SWPC0A3Y8 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (2,400,000 | ) | | | (2,400,000 | ) |
| | SWPC0A3Y8 CDS USD R F 1.00000 | | 1% 20 Jun 2020 | | 2,400,000 | | | | 2,423,055 | |
| | SWPC0A3Z5 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (600,000 | ) | | | (600,000 | ) |
| | SWPC0A3Z5 CDS USD R F 1.00000 | | 1% 20 Jun 2020 | | 600,000 | | | | 605,216 | |
| | SWPC0A419 CDS USD P V 03MEVENT | | 1% 20 Jun 2020 | | (400,000 | ) | | | (400,000 | ) |
| | SWPC0A419 CDS USD R F 1.00000 | | 1% 20 Jun 2020 | | 400,000 | | | | 403,842 | |
| | SWPC0B1K8 CDS EUR P V 03MEVENT | | 1% 20 Dec 2020 | | (1,050,000 | ) | | | (1,140,615 | ) |
| | SWPC0B1K8 CDS EUR R F 1.00000 | | 1% 20 Dec 2020 | | 1,050,000 | | | | 1,153,313 | |
| | SWPC0BL83 CDS EUR P V 03MEVENT | | 1% 20 Dec 2016 | | (3,300,000 | ) | | | (3,584,790 | ) |
| | SWPC0BL83 CDS EUR R F 1.00000 | | 1% 20 Dec 2016 | | 3,300,000 | | | | 3,578,513 | |
| | SYDNEY AIRPORT FINANCE | | 3.9% 22 Mar 2023 | | 2,300,000 | | | | 2,296,030 | |
| | SYNCHRONY FINANCIAL | | 1% 03 Feb 2020 | | 2,900,000 | | | | 2,854,183 | |
| | SYNCHRONY FINANCIAL | | 3% 15 Aug 2019 | | 100,000 | | | | 99,861 | |
| | SYNCHRONY FINANCIAL | | 3.75% 15 Aug 2021 | | 100,000 | | | | 99,891 | |
| | TOYOTA AUTO RECEIVABLES OWNER | | 0.71% 17 Jul 2017 | | 1,652,852 | | | | 1,651,459 | |
| | TREASURY BILL | | 0.01% 30 Jun 2016 | | 4,700,000 | | | | 4,688,744 | |
| | TSY INFL IX N/B | | 0.125% 15 Apr 2020 | | 7,921,914 | | | | 7,820,933 | |
| | TSY INFL IX N/B | | 0.125% 15 Jul 2022 | | 1,137,686 | | | | 1,103,111 | |
| | TSY INFL IX N/B | | 0.125% 15 Jul 2024 | | 4,707,849 | | | | 4,471,171 | |
| | TSY INFL IX N/B | | 0.375% 15 Jul 2023 | | 22,995,450 | | | | 22,464,278 | |
| | UBS GROUP FUNDING | | 2.95% 24 Sep 2020 | | 4,750,000 | | | | 4,705,659 | |
| | UNITED STATES OF AMER TREAS | | 0.01% 07 Jan 2016 | | 10,541,000 | | | | 10,540,958 | |
| | UNITEDHEALTH GROUP INC | | 3.35% 15 Jul 2022 | | 2,850,000 | | | | 2,915,100 | |
| | US 10YR NOTE (CBT)MAR16 | | XCBT 20160321 | | (9,200,000 | ) | | | 53,188 | |
| | US BANK NA CINCINNATI | | 1% 26 Jan 2018 | | 4,150,000 | | | | 4,129,760 | |
| | US DOLLAR | | | | 354,157 | | | | 354,157 | |
| | US TREASURY FRN | | 1% 31 Jul 2017 | | 10,600,000 | | | | 10,582,870 | |
| | US TREASURY FRN | | 1% 31 Oct 2017 | | 5,200,000 | | | | 5,195,258 | |
| | US TREASURY N/B | | 1.625% 31 Mar 2019 | | 38,100,000 | | | | 38,338,125 | |
| | US TREASURY N/B | | 2% 30 Nov 2022 | | 10,500,000 | | | | 10,442,576 | |
| | US TREASURY N/B | | 2.25% 15 Nov 2025 | | 10,800,000 | | | | 10,775,948 | |
| | VERIZON COMMUNICATIONS | | 2.625% 21 Feb 2020 | | 900,000 | | | | 903,129 | |
| | VERIZON COMMUNICATIONS | | 4.5% 15 Sep 2020 | | 2,050,000 | | | | 2,202,534 | |
| | VERIZON COMMUNICATIONS | | 5.15% 15 Sep 2023 | | 4,150,000 | | | | 4,562,203 | |
| | WACHOVIA BANK COMMERCIAL MORTG | | 1% 15 Jul 2045 | | 5,909,733 | | | | 5,958,651 | |
| | WELLS FARGO + COMPANY | | 1% 30 Jan 2020 | | 4,550,000 | | | | 4,507,617 | |
| | WELLS FARGO + COMPANY | | 3.55% 29 Sep 2025 | | 4,000,000 | | | | 4,035,980 | |
| | WELLS FARGO + COMPANY | | 4.6% 01 Apr 2021 | | 600,000 | | | | 654,079 | |
| | WI TREASURY N/B | | 0.375% 15 Feb 2016 | | 800,000 | | | | 800,000 | |
| | WI TREASURY SEC. | | 0.01% 21 Jan 2016 | | 19,600,000 | | | | 19,599,059 | |
| | Currency Contract | | USD/AUD | | | | | | (35,178 | ) |
| | Currency Contract | | USD/AUD | | | | | | (112,109 | ) |
| | Currency Contract | | AUD/USD | | | | | | 112,029 | |
| | Currency Contract | | USD/BRL | | | | | | 127,927 | |
| | Currency Contract | | USD/BRL | | | | | | 33,507 | |
| | Currency Contract | | BRL/USD | | | | | | (34,119 | ) |
| | Currency Contract | | USD/EUR | | | | | | (261,182 | ) |
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Table of Contents
| | Currency Contract | | EUR/USD | | | | | | (229,488 | ) |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5745 13 of 16 | | | | | | $ | 743,676,150 | |
| | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
* | | METLIFE CONTRACT 32810 | | SEPARATE ACCOUNT GIC | | 15,377,146 | | | | $ | 1,590,156,648 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5747 14 of 16 | | | | | | $ | 1,590,156,648 | |
| | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | 21ST CENTURY FOX AMERICA | | 6.9% 01 Mar 2019 | | 445,000 | | | | $ | 505,447.0 | |
| | 321 HENDERSON RECEIVABLES LLC | | 1% 15 Jun 2041 | | 558,601 | | | | 540,076 | |
| | 321 HENDERSON RECEIVABLES LLC | | 1% 15 Mar 2042 | | 806,150 | | | | 731,691 | |
| | 321 HENDERSON RECEIVABLES LLC | | 3.87% 15 Mar 2058 | | 199,800 | | | | 198,850 | |
| | ABBEY NATL TREASURY SERV | | 2.35% 10 Sep 2019 | | 115,000 | | | | 115,109 | |
| | ABBVIE INC | | 2.5% 14 May 2020 | | 1,270,000 | | | | 1,257,231 | |
| | ABBVIE INC | | 3.6% 14 May 2025 | | 785,000 | | | | 774,744 | |
| | ACTAVIS FUNDING SCS | | 3% 12 Mar 2020 | | 550,000 | | | | 549,563 | |
| | ACTAVIS FUNDING SCS | | 3.8% 15 Mar 2025 | | 765,000 | | | | 761,093 | |
| | ACTAVIS INC | | 6.125% 15 Aug 2019 | | 135,000 | | | | 150,532 | |
| | AFFILIATED MANAGERS GROU | | 3.5% 01 Aug 2025 | | 950,000 | | | | 903,588 | |
| | AIR LEASE CORP | | 5.625% 01 Apr 2017 | | 115,000 | | | | 119,313 | |
| | AIRGAS INC | | 0% 15 Mar 2016 | | 2,500,000 | | | | 2,497,214 | |
| | AIRGAS INC | | 0% 20 Jan 2016 | | 4,500,000 | | | | 4,498,833 | |
| | ALLY FINANCIAL INC | | 4.625% 19 May 2022 | | 300,000 | | | | 301,500 | |
| | ALM LOAN FUNDING | | 1% 20 Jan 2026 | | 1,545,000 | | | | 1,532,812 | |
| | ALM LOAN FUNDING | | 1% 28 Jul 2026 | | 1,215,000 | | | | 1,202,066 | |
| | ALTRIA GROUP INC | | 9.7% 10 Nov 2018 | | 210,000 | | | | 252,527 | |
| | AMER AIRLN 14 1 A PTT | | 3.7% 01 Apr 2028 | | 42,382 | | | | 42,408 | |
| | AMEREN CORP | | 0% 02 Feb 2016 | | 3,000,000 | | | | 2,998,675 | |
| | AMEREN CORP | | 3.65% 15 Feb 2026 | | 295,000 | | | | 293,666 | |
| | AMERICA MOVIL SAB DE CV | | 5% 30 Mar 2020 | | 485,000 | | | | 526,289 | |
| | AMERICAN CREDIT ACCEPTANCE REC | | 1.43% 12 Aug 2019 | | 220,300 | | | | 219,461 | |
| | AMERICAN INTL GROUP | | 6.4% 15 Dec 2020 | | 1,070,000 | | | | 1,234,389 | |
| | AMERICAN TOWER TRUST I | | 3.07% 15 Mar 2048 | | 610,000 | | | | 597,306 | |
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Table of Contents
| | AMGEN INC | | 3.45% 01 Oct 2020 | | 130,000 | | | | 133,791 | |
| | AMGEN INC | | 4.1% 15 Jun 2021 | | 60,000 | | | | 63,190 | |
| | ANHEUSER BUSCH INBEV WOR | | 5% 15 Apr 2020 | | 140,000 | | | | 153,242 | |
| | ANHEUSER BUSCH INBEV WOR | | 5.375% 15 Jan 2020 | | 565,000 | | | | 625,204 | |
| | ANHEUSER BUSCH INBEV WOR | | 7.75% 15 Jan 2019 | | 850,000 | | | | 982,545 | |
| | APIDOS CLO | | 1% 15 Apr 2025 | | 800,000 | | | | 785,386 | |
| | APIDOS CLO | | 1% 17 Apr 2026 | | 1,000,000 | | | | 993,727 | |
| | APPALACHIAN POWER CO | | 3.4% 01 Jun 2025 | | 700,000 | | | | 683,090 | |
| | APPLEBEES/IHOP FUNDING LLC | | 4.277% 05 Sep 2044 | | 159,000 | | | | 161,010 | |
| | ARCELORMITTAL | | 5.125% 01 Jun 2020 | | 630,000 | | | | 522,900 | |
| | ARCELORMITTAL | | 6.125% 01 Jun 2018 | | 312,000 | | | | 285,480 | |
| | ARES CAPITAL CORP | | 3.875% 15 Jan 2020 | | 905,000 | | | | 918,744 | |
| | ARL LLC | | 1% 15 Dec 2042 | | 852,920 | | | | 851,489 | |
| | ARROW ELECTRONICS INC | | 3.5% 01 Apr 2022 | | 465,000 | | | | 447,913 | |
| | ATLAS SENIOR LOAN FUND LTD | | 1% 16 Jul 2026 | | 1,000,000 | | | | 992,533 | |
| | AUTONATION INC | | 4.5% 01 Oct 2025 | | 245,000 | | | | 248,524 | |
| | AVERY POINT CLO LTD | | 1% 05 Aug 2027 | | 1,120,000 | | | | 1,109,000 | |
| | AVIATION CAPITAL GROUP | | 2.875% 17 Sep 2018 | | 1,810,000 | | | | 1,799,614 | |
| | AVIS BUDGET RENTAL CAR FUNDING | | 2.5% 20 Jul 2021 | | 300,000 | | | | 296,254 | |
| | AVIS BUDGET RENTAL CAR FUNDING | | 2.802% 20 May 2018 | | 600,000 | | | | 606,894 | |
| | AXIS SPECIALTY FINANCE | | 5.875% 01 Jun 2020 | | 135,000 | | | | 149,083 | |
| | BACARDI USA INC | | 0% 03 Feb 2016 | | 7,000,000 | | | | 6,996,807 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 1% 10 Feb 2051 | | 790,052 | | | | 836,715 | |
| | BANK OF AMERICA CORP | | 3.3% 11 Jan 2023 | | 525,000 | | | | 516,771 | |
| | BANK OF AMERICA CORP | | 3.95% 21 Apr 2025 | | 2,130,000 | | | | 2,074,128 | |
| | BANK OF AMERICA CORP | | 4% 01 Apr 2024 | | 55,000 | | | | 56,249 | |
| | BANK OF AMERICA CORP | | 4.125% 22 Jan 2024 | | 450,000 | | | | 464,783 | |
| | BANK OF AMERICA CORP | | 5.42% 15 Mar 2017 | | 320,000 | | | | 333,086 | |
| | BANK OF AMERICA CORP | | 5.625% 01 Jul 2020 | | 470,000 | | | | 522,061 | |
| | BANK OF AMERICA CORP | | 5.75% 15 Aug 2016 | | 410,000 | | | | 420,050 | |
| | BANK OF AMERICA CORP | | 6% 01 Sep 2017 | | 770,000 | | | | 819,442 | |
| | BANK OF AMERICA CORP | | 8.57% 15 Nov 2024 | | 140,000 | | | | 175,711 | |
| | BANK OF NOVA SCOTIA | | 4.5% 16 Dec 2025 | | 955,000 | | | | 950,581 | |
| | BANK ONE CORP | | 7.625% 15 Oct 2026 | | 40,000 | | | | 50,732 | |
| | BAXALTA INC | | 3.6% 23 Jun 2022 | | 215,000 | | | | 214,943 | |
| | BAXALTA INC | | 4% 23 Jun 2025 | | 575,000 | | | | 569,024 | |
| | BAYVIEW FINANCIAL ACQUISITION | | 1% 28 Apr 2039 | | 186,144 | | | | 185,024 | |
| | BEAR STEARNS COMMERCIAL MORTGA | | 1% 12 Apr 2038 | | 151,217 | | | | 151,276 | |
| | BLUEMOUNTAIN CLO LTD | | 1% 18 Jul 2027 | | 1,095,000 | | | | 1,080,037 | |
| | BRAMBLES USA INC | | 4.125% 23 Oct 2025 | | 445,000 | | | | 447,473 | |
| | BRAZOS TX HGR EDU AUTH | | 1% 25 Jun 2026 | | 400,000 | | | | 367,790 | |
| | BUNGE LIMITED FINANCE CO | | 3.2% 15 Jun 2017 | | 1,950,000 | | | | 1,969,108 | |
| | BUNGE LTD FINANCE CORP | | 3.5% 24 Nov 2020 | | 335,000 | | | | 333,135 | |
| | CALIFORNIA ST | | 6.2% 01 Mar 2019 | | 165,000 | | | | 186,917 | |
| | CALIFORNIA ST | | 6.2% 01 Oct 2019 | | 280,000 | | | | 321,121 | |
| | CANADIAN NATL RAILWAY | | 5.55% 01 Mar 2019 | | 95,000 | | | | 104,180 | |
| | CARDINAL HEALTH INC | | 3.75% 15 Sep 2025 | | 825,000 | | | | 837,547 | |
| | CARLYLE GLOBAL MARKET STRATEGI | | 1% 14 Feb 2025 | | 900,000 | | | | 892,350 | |
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| | CARLYLE GLOBAL MARKET STRATEGI | | 1% 15 Oct 2025 | | 750,000 | | | | 741,023 | |
| | CBS CORP | | 4.3% 15 Feb 2021 | | 40,000 | | | | 42,007 | |
| | CCO SAFARI II LLC | | 3.579% 23 Jul 2020 | | 540,000 | | | | 536,765 | |
| | CD COMMERCIAL MORTGAGE TRUST | | 1% 15 Nov 2044 | | 1,406,267 | | | | 1,458,312 | |
| | CD COMMERCIAL MORTGAGE TRUST | | 5.617% 15 Oct 2048 | | 1,033,103 | | | | 1,043,263 | |
| | CHESAPEAKE FUNDING LLC | | 1% 07 Feb 2027 | | 300,000 | | | | 300,557 | |
| | CHEVRON CORP | | 4.95% 03 Mar 2019 | | 540,000 | | | | 588,336 | |
| | CHUBB INA HOLDINGS INC | | 2.7% 13 Mar 2023 | | 225,000 | | | | 219,788 | |
| | CHUBB INA HOLDINGS INC | | 3.35% 03 May 2026 | | 365,000 | | | | 363,882 | |
| | CIGNA CORP | | 4% 15 Feb 2022 | | 90,000 | | | | 93,023 | |
| | CIGNA CORP | | 4.375% 15 Dec 2020 | | 165,000 | | | | 175,721 | |
| | CISCO SYSTEMS INC | | 2.125% 01 Mar 2019 | | 750,000 | | | | 756,437 | |
| | CIT EDUCATION LOAN TRUST | | 1% 15 Mar 2026 | | 446,275 | | | | 439,441 | |
| | CIT EDUCATION LOAN TRUST | | 1% 25 Jun 2042 | | 545,637 | | | | 454,843 | |
| | CITI HELD FOR ASSET ISSUANCE | | 1.85% 15 Dec 2021 | | 134,528 | | | | 134,473 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 1% 10 Dec 2049 | | 1,900,000 | | | | 1,963,397 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 1% 10 Dec 2049 | | 1,283,264 | | | | 1,349,294 | |
| | CITIGROUP INC | | 3.375% 01 Mar 2023 | | 1,705,000 | | | | 1,710,144 | |
| | CITIGROUP INC | | 3.875% 26 Mar 2025 | | 2,097,000 | | | | 2,040,985 | |
| | CITIGROUP INC | | 4.05% 30 Jul 2022 | | 300,000 | | | | 306,860 | |
| | CITIGROUP INC | | 6.125% 15 May 2018 | | 2,650,000 | | | | 2,893,689 | |
| | CKE RESTAURANTS HOLDINGS INC | | 4.474% 20 Mar 2043 | | 306,800 | | | | 305,046 | |
| | CNO FINANCIAL GROUP INC | | 4.5% 30 May 2020 | | 469,000 | | | | 478,380 | |
| | CNO FINANCIAL GROUP INC | | 5.25% 30 May 2025 | | 560,000 | | | | 569,800 | |
| | COLLEGIATE FUNDING SERVICES ED | | 1% 28 Sep 2026 | | 309,980 | | | | 308,185 | |
| | COLONIAL PIPELINE CO | | 3.75% 01 Oct 2025 | | 740,000 | | | | 728,074 | |
| | COMM MORTGAGE TRUST | | 1% 10 Jun 2046 | | 453,587 | | | | 457,324 | |
| | COMMONWEALTH BANK AUST | | 4.5% 09 Dec 2025 | | 1,060,000 | | | | 1,048,262 | |
| | COMPASS BANK | | 3.875% 10 Apr 2025 | | 870,000 | | | | 797,416 | |
| | CONSUMER CREDIT ORIGINATION LO | | 2.82% 15 Mar 2021 | | 403,855 | | | | 403,794 | |
| | CONTL AIRLINES 2012 1 A | | 4.15% 11 Oct 2025 | | 100,850 | | | | 103,472 | |
| | CONTL AIRLINES 2012 2 A | | 4% 29 Apr 2026 | | 94,182 | | | | 96,537 | |
| | COUNTRYWIDE FINL CORP | | 6.25% 15 May 2016 | | 390,000 | | | | 396,574 | |
| | COX ENTERPRISES INC | | 0% 28 Jan 2016 | | 7,000,000 | | | | 6,997,398 | |
| | CPS AUTO TRUST | | 1.49% 15 Apr 2019 | | 0 | | | | 0 | |
| | CPS AUTO TRUST | | 1.53% 15 Jul 2019 | | 411,130 | | | | 408,143 | |
| | CPS AUTO TRUST | | 1.77% 17 Jun 2019 | | 384,685 | | | | 383,812 | |
| | CPS AUTO TRUST | | 2.55% 18 Feb 2020 | | 600,000 | | | | 596,819 | |
| | CREDIT ACCEPTANCE AUTO LOAN TR | | 1.5% 15 Apr 2021 | | 775,956 | | | | 775,177 | |
| | CREDIT AGRICOLE LONDON | | 2.75% 10 Jun 2020 | | 635,000 | | | | 638,406 | |
| | CREDIT SUISSE NEW YORK | | 6% 15 Feb 2018 | | 240,000 | | | | 257,916 | |
| | CSX CORP | | 7.375% 01 Feb 2019 | | 350,000 | | | | 400,618 | |
| | DB MASTER FINANCE LLC | | 3.262% 20 Feb 2045 | | 446,625 | | | | 441,931 | |
| | DBUBS MORTGAGE TRUST | | 3.742% 10 Nov 2046 | | 158,319 | | | | 158,604 | |
| | DBUBS MORTGAGE TRUST | | 5.002% 10 Nov 2046 | | 1,500,000 | | | | 1,653,423 | |
| | DELTA AIR LINES 2007 1 A | | 6.821% 10 Feb 2024 | | 49,395 | | | | 56,893 | |
| | DEVON ENERGY CORPORATION | | 2.25% 15 Dec 2018 | | 130,000 | | | | 118,646 | |
| | DIAMOND RESORTS OWNER TRUST | | 1.95% 20 Jan 2025 | | 787,044 | | | | 778,592 | |
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| | DIAMOND RESORTS OWNER TRUST | | 2.73% 20 Jul 2027 | | 253,552 | | | | 250,852 | |
| | DIRECTV HOLDINGS/FING | | 1.75% 15 Jan 2018 | | 2,000,000 | | | | 1,992,046 | |
| | DISCOVER BANK | | 2% 21 Feb 2018 | | 120,000 | | | | 119,189 | |
| | DISCOVER FINANCIAL SVS | | 5.2% 27 Apr 2022 | | 530,000 | | | | 566,751 | |
| | DOLLAR GENERAL CORP | | 3.25% 15 Apr 2023 | | 1,085,000 | | | | 1,033,279 | |
| | DOMINION GAS HLDGS LLC | | 3.55% 01 Nov 2023 | | 50,000 | | | | 49,292 | |
| | DOMINOS PIZZA MASTER ISSUER LL | | 3.484% 25 Oct 2045 | | 1,030,000 | | | | 1,009,400 | |
| | DOMINOS PIZZA MASTER ISSUER LL | | 5.216% 25 Jan 2042 | | 519,563 | | | | 534,438 | |
| | DOMTAR CORP | | 10.75% 01 Jun 2017 | | 120,000 | | | | 133,527 | |
| | DOW CHEMICAL CO/THE | | 4.125% 15 Nov 2021 | | 410,000 | | | | 429,840 | |
| | DOW CHEMICAL CO/THE | | 4.25% 15 Nov 2020 | | 250,000 | | | | 261,692 | |
| | DOW CHEMICAL CO/THE | | 8.55% 15 May 2019 | | 115,000 | | | | 135,545 | |
| | DRUG ROYALTY CORPORATION, INC. | | 1% 15 Jul 2024 | | 363,600 | | | | 371,690 | |
| | DRUG ROYALTY II LP 1 | | 3.484% 15 Jul 2023 | | 200,927 | | | | 202,384 | |
| | DRYDEN SENIOR LOAN FUND | | 1% 18 Apr 2026 | | 875,000 | | | | 865,746 | |
| | DT AUTO OWNER TRUST | | 0.98% 16 Apr 2018 | | 285,276 | | | | 284,721 | |
| | DUKE ENERGY INDIANA INC | | 3.75% 15 Jul 2020 | | 55,000 | | | | 57,902 | |
| | EATON VANCE CDO LTD | | 1% 15 Jul 2026 | | 500,000 | | | | 495,646 | |
| | ECOLAB INC | | 4.35% 08 Dec 2021 | | 160,000 | | | | 170,843 | |
| | EDUCATION FUNDING CAPITAL TRUS | | 1% 15 Jun 2043 | | 1,000,000 | | | | 950,259 | |
| | EDUCATION FUNDING CAPITAL TRUS | | 1% 15 Jun 2043 | | 700,000 | | | | 665,199 | |
| | EDUCATION FUNDING CAPITAL TRUS | | 1% 15 Jun 2043 | | 700,000 | | | | 617,820 | |
| | EDUCATIONAL SERVICES OF AMERIC | | 1% 25 Jul 2023 | | 738,348 | | | | 725,193 | |
| | EDUCATIONAL SERVICES OF AMERIC | | 1% 25 Jun 2048 | | 300,000 | | | | 257,804 | |
| | ELEMENT RAIL LEASING LLC | | 2.707% 19 Feb 2045 | | 177,190 | | | | 175,742 | |
| | ENERGY TRANSFER PARTNERS | | 4.05% 15 Mar 2025 | | 770,000 | | | | 632,370 | |
| | ENERGY TRANSFER PARTNERS | | 4.15% 01 Oct 2020 | | 365,000 | | | | 336,710 | |
| | ENERGY TRANSFER PARTNERS | | 4.75% 15 Jan 2026 | | 1,030,000 | | | | 866,315 | |
| | ENERGY TRANSFER PARTNERS | | 5.2% 01 Feb 2022 | | 2,000,000 | | | | 1,868,510 | |
| | ENERGY TRANSFER PARTNERS | | 9% 15 Apr 2019 | | 270,000 | | | | 297,068 | |
| | ENSCO PLC | | 5.2% 15 Mar 2025 | | 710,000 | | | | 505,286 | |
| | ENTERGY NEW ORLEANS STORE RECO | | 2.67% 01 Jun 2027 | | 235,000 | | | | 239,744 | |
| | ENTERPRISE PRODS OPER LLC | | 0% 26 Jan 2016 | | 7,000,000 | | | | 6,997,594 | |
| | ENTERPRISE PRODUCTS OPER | | 3.35% 15 Mar 2023 | | 350,000 | | | | 316,491 | |
| | ENTERPRISE PRODUCTS OPER | | 3.7% 15 Feb 2026 | | 665,000 | | | | 596,506 | |
| | ENTERPRISE PRODUCTS OPER | | 3.75% 15 Feb 2025 | | 40,000 | | | | 36,588 | |
| | ENTERPRISE PRODUCTS OPER | | 6.5% 31 Jan 2019 | | 90,000 | | | | 98,879 | |
| | EOG RESOURCES INC | | 4.1% 01 Feb 2021 | | 105,000 | | | | 110,768 | |
| | ERAC USA FINANCE LLC | | 0% 18 Feb 2016 | | 7,000,000 | | | | 6,995,255 | |
| | EXPORT IMPORT BK KOREA | | 5.125% 29 Jun 2020 | | 190,000 | | | | 209,727 | |
| | FANNIE MAE | | 0.875% 28 Aug 2017 | | 505,000 | | | | 503,279 | |
| | FANNIE MAE | | 1.875% 18 Sep 2018 | | 540,000 | | | | 547,562 | |
| | FANNIE MAE | | 2.375% 11 Apr 2016 | | 1,035,000 | | | | 1,040,359 | |
| | FANNIE MAE | | 4% 25 Apr 2027 | | 897,258 | | | | 951,353 | |
| | FANNIE MAE | | 4% 25 Nov 2043 | | 461,390 | | | | 487,043 | |
| | FED HM LN PC POOL G06601 | | 4.5% 01 Dec 2040 | | 590,255 | | | | 644,552 | |
| | FED HM LN PC POOL Q37467 | | 3.5% 01 Nov 2045 | | 2,845,677 | | | | 2,935,214 | |
| | FED HM LN PC POOL Q37468 | | 3.5% 01 Nov 2045 | | 2,171,719 | | | | 2,243,014 | |
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| | FHLMC TBA 30 YR 3.5 | | 3.5% 14 Jan 2046 | | 3,400,000 | | | | 3,499,908 | |
| | FHLMC TBA 30 YR 4 | | 4% 14 Jan 2046 | | 8,000,000 | | | | 8,451,093 | |
| | FIRST HORIZON NATIONAL | | 3.5% 15 Dec 2020 | | 1,250,000 | | | | 1,239,145 | |
| | FIRST INVESTORS AUTO OWNER TRU | | 1.59% 16 Dec 2019 | | 427,323 | | | | 426,726 | |
| | FLAGSHIP CREDIT AUTO TRUST | | 1.63% 15 Jun 2020 | | 212,424 | | | | 210,170 | |
| | FLAGSHIP CREDIT AUTO TRUST | | 1.98% 15 Oct 2020 | | 315,480 | | | | 314,093 | |
| | FNMA POOL 735382 | | 1% 01 Apr 2035 | | 340,655 | | | | 376,199 | |
| | FNMA POOL 735676 | | 1% 01 Jul 2035 | | 421,544 | | | | 465,926 | |
| | FNMA POOL AB6261 | | 4% 01 Sep 2042 | | 3,494,288 | | | | 3,718,585 | |
| | FNMA POOL AR3816 | | 3.5% 01 Feb 2043 | | 3,001,908 | | | | 3,101,994 | |
| | FNMA POOL AS6187 | | 3.5% 01 Nov 2045 | | 6,671,909 | | | | 6,896,977 | |
| | FNMA POOL AS6293 | | 3.5% 01 Dec 2045 | | 896,711 | | | | 926,959 | |
| | FNMA POOL AS6306 | | 3.5% 01 Dec 2045 | | 2,295,994 | | | | 2,376,465 | |
| | FNMA POOL MA1437 | | 3.5% 01 May 2043 | | 2,622,249 | | | | 2,709,689 | |
| | FNMA TBA 15 YR 2.5 | | 2.5% 20 Jan 2031 | | 7,450,000 | | | | 7,508,893 | |
| | FNMA TBA 30 YR 2.5 | | 2.5% 14 Jan 2046 | | 10,250,000 | | | | 9,896,455 | |
| | FNMA TBA 30 YR 3 | | 3% 14 Jan 2046 | | 17,475,000 | | | | 17,475,159 | |
| | FNMA TBA 30 YR 4 | | 4% 14 Jan 2046 | | 1,475,000 | | | | 1,560,804 | |
| | FORD MOTOR CREDIT CO LLC | | 5% 15 May 2018 | | 1,030,000 | | | | 1,081,907 | |
| | FORD MOTOR CREDIT CO LLC | | 5.75% 01 Feb 2021 | | 375,000 | | | | 414,291 | |
| | FREDDIE MAC | | 0.75% 12 Jan 2018 | | 690,000 | | | | 684,447 | |
| | FREDDIE MAC | | 0.875% 07 Mar 2018 | | 520,000 | | | | 516,351 | |
| | FREDDIE MAC | | 2% 25 Aug 2016 | | 905,000 | | | | 912,283 | |
| | FREDDIE MAC | | 2.375% 13 Jan 2022 | | 505,000 | | | | 512,015 | |
| | FREDDIE MAC | | 3.5% 15 Jun 2026 | | 1,051,358 | | | | 1,106,865 | |
| | FREDDIE MAC | | 4% 15 Jun 2033 | | 1,211,679 | | | | 1,288,966 | |
| | FREDDIE MAC | | 5.5% 15 Mar 2038 | | 500,000 | | | | 568,333 | |
| | FREEPORT MCMORAN INC | | 3.55% 01 Mar 2022 | | 165,000 | | | | 95,700 | |
| | FREEPORT MCMORAN OIL+GAS | | 6.5% 15 Nov 2020 | | 590,000 | | | | 380,550 | |
| | GALAXY CLO LTD | | 1% 20 Jul 2027 | | 1,095,000 | | | | 1,089,685 | |
| | GCCFC COMMERCIAL MORTGAGE TRUS | | 1% 10 Jul 2038 | | 900,000 | | | | 909,910 | |
| | GE CAPITAL INTL FUNDING | | 2.342% 15 Nov 2020 | | 495,000 | | | | 490,872 | |
| | GENERAL ELECTRIC CO | | 4.375% 16 Sep 2020 | | 80,000 | | | | 86,846 | |
| | GENERAL ELECTRIC CO | | 4.65% 17 Oct 2021 | | 175,000 | | | | 193,754 | |
| | GENERAL ELECTRIC CO | | 5.55% 04 May 2020 | | 35,000 | | | | 39,586 | |
| | GENERAL MOTORS FINL CO | | 3.1% 15 Jan 2019 | | 1,535,000 | | | | 1,532,770 | |
| | GENERAL MOTORS FINL CO | | 3.2% 13 Jul 2020 | | 655,000 | | | | 644,915 | |
| | GILEAD SCIENCES INC | | 4.4% 01 Dec 2021 | | 135,000 | | | | 145,816 | |
| | GILEAD SCIENCES INC | | 4.5% 01 Apr 2021 | | 180,000 | | | | 194,749 | |
| | GLENCORE CANADA CORP | | 5.5% 15 Jun 2017 | | 100,000 | | | | 97,625 | |
| | GLENCORE FINANCE CANADA | | 3.6% 15 Jan 2017 | | 2,900,000 | | | | 2,801,400 | |
| | GLENCORE FUNDING LLC | | 2.875% 16 Apr 2020 | | 1,110,000 | | | | 865,800 | |
| | GLENCORE FUNDING LLC | | 4.125% 30 May 2023 | | 120,000 | | | | 88,501 | |
| | GLENCORE FUNDING LLC | | 4.625% 29 Apr 2024 | | 145,000 | | | | 105,009 | |
| | GLOBAL CONTAINER ASSET LTD | | 2.1% 05 Feb 2030 | | 348,333 | | | | 343,526 | |
| | GNMA II POOL 004979 | | 5% 20 Mar 2041 | | 362,022 | | | | 400,000 | |
| | GNMA II TBA 30 YR 3 | | 3% 21 Jan 2046 | | 7,050,000 | | | | 7,145,562 | |
| | GNMA II TBA 30 YR 3.5 | | 3.5% 21 Jan 2046 | | 7,175,000 | | | | 7,479,658 | |
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| | GNMA II TBA 30 YR 4.5 | | 4.5% 21 Jan 2046 | | 23,150,000 | | | | 24,871,781 | |
| | GOAL CAPITAL FUNDING TRUST | | 1% 25 Sep 2043 | | 200,000 | | | | 170,835 | |
| | GOLDENTREE LOAN OPPORTUNITIES | | 1% 19 Apr 2026 | | 1,000,000 | | | | 992,062 | |
| | GOLDMAN SACHS GROUP INC | | 5.25% 27 Jul 2021 | | 560,000 | | | | 619,147 | |
| | GOLDMAN SACHS GROUP INC | | 5.375% 15 Mar 2020 | | 25,000 | | | | 27,464 | |
| | GOLDMAN SACHS GROUP INC | | 5.75% 24 Jan 2022 | | 50,000 | | | | 56,861 | |
| | GOLDMAN SACHS GROUP INC | | 5.95% 18 Jan 2018 | | 470,000 | | | | 506,179 | |
| | GOLDMAN SACHS GROUP INC | | 6.15% 01 Apr 2018 | | 685,000 | | | | 743,852 | |
| | GOLDMAN SACHS GROUP INC | | 7.5% 15 Feb 2019 | | 810,000 | | | | 926,851 | |
| | GOVERNMENT PROPERTIES IN | | 3.75% 15 Aug 2019 | | 60,000 | | | | 60,274 | |
| | GS MORTGAGE SECURITIES TRUST | | 4.074% 10 Jan 2047 | | 935,000 | | | | 984,437 | |
| | HALLIBURTON CO | | 3.375% 15 Nov 2022 | | 520,000 | | | | 511,750 | |
| | HARTFORD FINL SVCS GRP | | 1% 15 Jun 2068 | | 525,000 | | | | 574,219 | |
| | HARTFORD FINL SVCS GRP | | 5.5% 30 Mar 2020 | | 560,000 | | | | 619,916 | |
| | HARTFORD FINL SVCS GRP | | 6% 15 Jan 2019 | | 450,000 | | | | 494,897 | |
| | HELMERICH + PAYNE INTL | | 4.65% 15 Mar 2025 | | 350,000 | | | | 350,158 | |
| | HEWLETT PACKARD ENTERPRISE CO | | 0% 11 Jan 2016 | | 3,000,000 | | | | 2,999,780 | |
| | HOME DEPOT INC | | 4.4% 01 Apr 2021 | | 210,000 | | | | 231,256 | |
| | HP ENTERPRISE CO | | 3.6% 15 Oct 2020 | | 1,025,000 | | | | 1,027,352 | |
| | HP ENTERPRISE CO | | 4.9% 15 Oct 2025 | | 1,380,000 | | | | 1,353,247 | |
| | HP INC | | 0% 29 Jan 2016 | | 7,000,000 | | | | 6,998,060 | |
| | HSBC FINANCE CORP | | 6.676% 15 Jan 2021 | | 500,000 | | | | 573,838 | |
| | HSBC HOLDINGS PLC | | 5.1% 05 Apr 2021 | | 910,000 | | | | 1,011,701 | |
| | HYUNDAI CAPITAL AMERICA | | 0% 21 Mar 2016 | | 7,000,000 | | | | 6,991,479 | |
| | IMPERIAL BRANDS FINANCE | | 2.95% 21 Jul 2020 | | 755,000 | | | | 756,480 | |
| | INGRAM MICRO INC | | 4.95% 15 Dec 2024 | | 855,000 | | | | 851,848 | |
| | INTERCONTINENTAL EXCHANGE | | 0% 14 Mar 2016 | | 5,000,000 | | | | 4,995,539 | |
| | INTERNATIONAL PAPER CO | | 4.75% 15 Feb 2022 | | 345,000 | | | | 368,464 | |
| | INTERNATIONAL PAPER CO | | 7.95% 15 Jun 2018 | | 80,000 | | | | 90,716 | |
| | INTL LEASE FINANCE CORP | | 8.75% 15 Mar 2017 | | 1,980,000 | | | | 2,108,700 | |
| | IPALCO ENTERPRISES INC | | 3.45% 15 Jul 2020 | | 1,595,000 | | | | 1,563,100 | |
| | ITAU UNIBANCO HLDG SA/KY | | 2.85% 26 May 2018 | | 1,565,000 | | | | 1,488,315 | |
| | JANUS CAPITAL GROUP INC | | 4.875% 01 Aug 2025 | | 655,000 | | | | 672,164 | |
| | JOHNSON CONTROLS | | 0% 07 Jan 2016 | | 4,900,000 | | | | 4,899,619 | |
* | | JP MORGAN CHASE BANK NA | | 6% 01 Oct 2017 | | 740,000 | | | | 791,178 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 12 Feb 2051 | | 1,678,923 | | | | 1,745,230 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.42% 15 Jan 2049 | | 1,358,187 | | | | 1,386,172 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.44% 12 Jun 2047 | | 1,352,337 | | | | 1,384,794 | |
* | | JPMORGAN CHASE + CO | | 3.2% 25 Jan 2023 | | 315,000 | | | | 313,972 | |
* | | JPMORGAN CHASE + CO | | 3.25% 23 Sep 2022 | | 190,000 | | | | 191,097 | |
* | | JPMORGAN CHASE + CO | | 3.375% 01 May 2023 | | 60,000 | | | | 58,969 | |
* | | JPMORGAN CHASE + CO | | 3.625% 13 May 2024 | | 330,000 | | | | 334,890 | |
* | | JPMORGAN CHASE + CO | | 3.875% 10 Sep 2024 | | 75,000 | | | | 74,606 | |
* | | JPMORGAN CHASE + CO | | 4.35% 15 Aug 2021 | | 220,000 | | | | 234,131 | |
* | | JPMORGAN CHASE + CO | | 6.3% 23 Apr 2019 | | 745,000 | | | | 835,369 | |
| | KEYCORP STUDENT LOAN TRUST | | 1% 25 May 2029 | | 306,323 | | | | 294,812 | |
| | KEYCORP STUDENT LOAN TRUST | | 1% 27 Jan 2042 | | 535,000 | | | | 512,191 | |
| | KEYCORP STUDENT LOAN TRUST | | 1% 27 Sep 2035 | | 1,398,425 | | | | 1,349,314 | |
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Table of Contents
| | KINDER MORGAN ENER PART | | 4.15% 01 Mar 2022 | | 130,000 | | | | 115,515 | |
| | KINDER MORGAN ENER PART | | 5% 01 Oct 2021 | | 570,000 | | | | 538,013 | |
| | KINDER MORGAN ENER PART | | 6% 01 Feb 2017 | | 1,945,000 | | | | 1,967,735 | |
| | KINDER MORGAN ENER PART | | 6.5% 01 Apr 2020 | | 70,000 | | | | 71,421 | |
| | KINDER MORGAN ENER PART | | 6.85% 15 Feb 2020 | | 125,000 | | | | 129,290 | |
| | KRAFT HEINZ FOODS CO | | 5.375% 10 Feb 2020 | | 140,000 | | | | 153,292 | |
| | LAM RESEARCH CORP | | 2.75% 15 Mar 2020 | | 620,000 | | | | 599,582 | |
| | LAM RESEARCH CORP | | 3.8% 15 Mar 2025 | | 550,000 | | | | 517,691 | |
* | | LAZARD GROUP LLC | | 4.25% 14 Nov 2020 | | 1,240,000 | | | | 1,284,362 | |
| | LEIDOS HOLDINGS INC | | 4.45% 01 Dec 2020 | | 1,555,000 | | | | 1,547,830 | |
| | LENNAR CORP | | 4.5% 15 Nov 2019 | | 943,000 | | | | 958,913 | |
| | LG+E AND KU ENERGY LLC | | 3.75% 15 Nov 2020 | | 105,000 | | | | 108,415 | |
| | LIBERTY MUTUAL GROUP INC | | 5% 01 Jun 2021 | | 700,000 | | | | 748,667 | |
| | LYONDELLBASELL IND NV | | 6% 15 Nov 2021 | | 315,000 | | | | 353,582 | |
| | MACQUARIE EQUIPMENT FUNDING TR | | 1.74% 22 Oct 2018 | | 900,000 | | | | 900,655 | |
| | MADISON PARK FUNDING LTD | | 1% 20 Jul 2026 | | 350,000 | | | | 347,230 | |
| | MADISON PARK FUNDING LTD | | 1% 20 Jul 2026 | | 690,000 | | | | 682,879 | |
| | MCKESSON CORP | | 4.75% 01 Mar 2021 | | 120,000 | | | | 129,620 | |
| | MEDCO HEALTH SOLUTIONS | | 7.125% 15 Mar 2018 | | 490,000 | | | | 541,664 | |
| | MIRAMAX LLC | | 3.34% 20 Jul 2026 | | 627,588 | | | | 623,072 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 1% 12 Jul 2046 | | 840,000 | | | | 853,780 | |
| | ML CFC COMMERCIAL MORTGAGE TRU | | 1% 12 Jun 2046 | | 1,127,527 | | | | 1,127,866 | |
| | MORGAN STANLEY | | 3.75% 25 Feb 2023 | | 565,000 | | | | 578,710 | |
| | MORGAN STANLEY | | 3.875% 29 Apr 2024 | | 250,000 | | | | 254,845 | |
| | MORGAN STANLEY | | 3.95% 23 Apr 2027 | | 320,000 | | | | 310,585 | |
| | MORGAN STANLEY | | 4.1% 22 May 2023 | | 40,000 | | | | 40,408 | |
| | MORGAN STANLEY | | 4.875% 01 Nov 2022 | | 2,050,000 | | | | 2,175,567 | |
| | MORGAN STANLEY | | 5.625% 23 Sep 2019 | | 500,000 | | | | 551,800 | |
| | MORGAN STANLEY | | 6.625% 01 Apr 2018 | | 2,600,000 | | | | 2,850,978 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 12 Feb 2044 | | 440,000 | | | | 442,824 | |
| | MPLX LP | | 4.5% 15 Jul 2023 | | 565,000 | | | | 505,506 | |
| | MPLX LP | | 4.875% 01 Dec 2024 | | 1,614,000 | | | | 1,448,565 | |
| | NATIONAL COLLEGIATE STUDENT LO | | 1% 25 Oct 2027 | | 478,124 | | | | 473,580 | |
| | NATIONAL COLLEGIATE STUDENT LO | | 1% 27 Nov 2028 | | 403,924 | | | | 401,400 | |
| | NATIONAL GRID USA | | 0% 11 Jan 2016 | | 5,500,000 | | | | 5,499,286 | |
| | NATIONWIDE BLDG SOCIETY | | 2.35% 21 Jan 2020 | | 675,000 | | | | 670,461 | |
| | NELNET STUDENT LOAN TRUST | | 1% 25 Nov 2024 | | 590,000 | | | | 593,787 | |
| | NELNET STUDENT LOAN TRUST | | 1% 25 Oct 2033 | | 680,000 | | | | 649,590 | |
| | NEW RESIDENTIAL ADVANCE RECEIV | | 2.54% 15 Nov 2046 | | 600,000 | | | | 599,024 | |
| | NEWELL RUBBERMAID INC | | 4.7% 15 Aug 2020 | | 50,000 | | | | 51,341 | |
| | NEWFIELD EXPLORATION CO | | 5.375% 01 Jan 2026 | | 1,302,000 | | | | 1,077,405 | |
| | NEWFIELD EXPLORATION CO | | 5.75% 30 Jan 2022 | | 710,000 | | | | 628,350 | |
| | NISOURCE FINANCE CORP | | 6.125% 01 Mar 2022 | | 960,000 | | | | 1,098,844 | |
| | NISOURCE FINANCE CORP | | 6.8% 15 Jan 2019 | | 85,000 | | | | 95,356 | |
| | NOMAD CLO LTD | | 1% 15 Jan 2025 | | 1,000,000 | | | | 985,274 | |
| | NORFOLK SOUTHERN CORP | | 5.9% 15 Jun 2019 | | 195,000 | | | | 216,743 | |
| | NOVARTIS CAPITAL CORP | | 4.4% 24 Apr 2020 | | 40,000 | | | | 43,806 | |
| | ONEMAIN FINANCIAL ISSUANCE TRU | | 2.47% 18 Sep 2024 | | 510,000 | | | | 508,995 | |
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Table of Contents
| | PHILLIPS 66 PARTNERS LP | | 3.605% 15 Feb 2025 | | 233,000 | | | | 200,436 | |
| | PIONEER NATURAL RESOURCE | | 4.45% 15 Jan 2026 | | 655,000 | | | | 589,771 | |
| | PITNEY BOWES INC | | 6.25% 15 Mar 2019 | | 710,000 | | | | 776,538 | |
| | PLAINS ALL AMERICAN PIPELINE L | | 0% 02 Feb 2016 | | 6,000,000 | | | | 5,997,349 | |
| | POPULAR ABS MORTGAGE PASS THRO | | 1% 25 Aug 2035 | | 15,035 | | | | 15,036 | |
| | PPL WEM LTD/WESTERN PWR | | 3.9% 01 May 2016 | | 240,000 | | | | 240,958 | |
| | PROGRESS ENERGY INC | | 4.875% 01 Dec 2019 | | 320,000 | | | | 343,094 | |
| | PROLOGIS LP | | 3.75% 01 Nov 2025 | | 325,000 | | | | 322,391 | |
* | | PRUDENTIAL FINANCIAL INC | | 1% 15 May 2045 | | 475,000 | | | | 474,406 | |
| | PUBLIC SEVC. ENT. GR | | 0% 28 Jan 2016 | | 7,000,000 | | | | 6,997,398 | |
| | PUGET ENERGY INC | | 3.65% 15 May 2025 | | 685,000 | | | | 663,688 | |
| | QUALCOMM INC | | 3.45% 20 May 2025 | | 332,000 | | | | 318,441 | |
| | REGIONS BANK | | 2.25% 14 Sep 2018 | | 995,000 | | | | 993,954 | |
| | REINSURANCE GRP OF AMER | | 5% 01 Jun 2021 | | 490,000 | | | | 528,287 | |
| | REPUBLIC OF CHILE | | 3.25% 14 Sep 2021 | | 235,000 | | | | 243,343 | |
| | REPUBLIC SERVICES INC | | 5.5% 15 Sep 2019 | | 105,000 | | | | 115,522 | |
| | REYNOLDS AMERICAN INC | | 3.25% 12 Jun 2020 | | 260,000 | | | | 264,239 | |
| | REYNOLDS AMERICAN INC | | 6.75% 15 Jun 2017 | | 190,000 | | | | 202,826 | |
| | RIO TINTO FIN USA LTD | | 3.5% 02 Nov 2020 | | 75,000 | | | | 73,519 | |
| | RIO TINTO FIN USA LTD | | 9% 01 May 2019 | | 530,000 | | | | 618,728 | |
| | RIO TINTO FIN USA PLC | | 3.5% 22 Mar 2022 | | 100,000 | | | | 94,257 | |
| | ROCHE HOLDING INC | | 2.875% 29 Sep 2021 | | 1,340,000 | | | | 1,357,719 | |
| | ROWAN COMPANIES INC | | 4.75% 15 Jan 2024 | | 1,249,000 | | | | 888,186 | |
| | ROWAN COMPANIES INC | | 4.875% 01 Jun 2022 | | 727,000 | | | | 534,649 | |
| | RYDER SYSTEM INC | | 2.65% 02 Mar 2020 | | 305,000 | | | | 300,042 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 1.55% 15 Oct 2018 | | 866,309 | | | | 866,377 | |
| | SANTANDER HOLDINGS USA | | 2.65% 17 Apr 2020 | | 610,000 | | | | 598,451 | |
| | SAPPI PAPIER HOLDNG GMBH | | 7.75% 15 Jul 2017 | | 2,000,000 | | | | 2,077,500 | |
| | SCHLUMBERGER HLDGS CORP | | 2.35% 21 Dec 2018 | | 775,000 | | | | 769,969 | |
| | SCHLUMBERGER HLDGS CORP | | 3% 21 Dec 2020 | | 1,470,000 | | | | 1,451,009 | |
| | SCHLUMBERGER HLDGS CORP | | 4% 21 Dec 2025 | | 1,355,000 | | | | 1,337,086 | |
| | SEMPRA ENERGY HOLDIN | | 0% 14 Jan 2016 | | 4,000,000 | | | | 3,999,309 | |
| | SENECA PARK CLO LTD | | 1% 17 Jul 2026 | | 1,300,000 | | | | 1,292,476 | |
| | SLC STUDENT LOAN TRUST | | 1% 15 Jul 2036 | | 800,000 | | | | 774,013 | |
| | SLM STUDENT LOAN TRUST | | 1% 15 Jun 2038 | | 207,171 | | | | 179,237 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Jan 2040 | | 516,631 | | | | 428,685 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Mar 2044 | | 955,180 | | | | 807,668 | |
| | SLM STUDENT LOAN TRUST | | 1% 25 Oct 2028 | | 680,000 | | | | 637,236 | |
| | SLM STUDENT LOAN TRUST | | 1% 26 Feb 2029 | | 306,000 | | | | 294,448 | |
| | SLM STUDENT LOAN TRUST | | 1% 26 Jul 2021 | | 490,000 | | | | 484,805 | |
| | SMB PRIVATE EDUCATION LOAN TRU | | 1% 15 Sep 2021 | | 573,242 | | | | 571,053 | |
| | SOCIAL PROFESSIONAL LOAN PROGR | | 2.42% 25 Mar 2030 | | 328,749 | | | | 323,220 | |
| | SOUTHWESTERN ENERGY CO | | 4.05% 23 Jan 2020 | | 620,000 | | | | 449,500 | |
| | SOUTHWESTERN ENERGY CO | | 4.95% 23 Jan 2025 | | 370,000 | | | | 233,100 | |
| | SPIRIT AIR 2015 1 PTT A | | 4.1% 01 Oct 2029 | | 680,000 | | | | 669,800 | |
| | SPRINGLEAF FUNDING TRUST | | 3.16% 15 Nov 2024 | | 180,000 | | | | 178,716 | |
| | SPS SERVICER ADVANCE RECEIVABL | | 2.92% 15 Jul 2047 | | 420,000 | | | | 419,614 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 181,030 | | | | 181,030 | |
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| | STANLEY BLACK + DECKER I | | 2.451% 17 Nov 2018 | | 560,000 | | | | 562,185 | |
* | | STATE STREET CORP | | 3.3% 16 Dec 2024 | | 645,000 | | | | 651,091 | |
| | STORE MASTER FUNDING LLC | | 3.75% 20 Apr 2045 | | 219,267 | | | | 217,538 | |
| | STRUCTURED AGENCY CREDIT RISK | | 1% 25 Oct 2027 | | 375,861 | | | | 375,140 | |
| | SVB FINANCIAL GROUP | | 3.5% 29 Jan 2025 | | 1,245,000 | | | | 1,192,808 | |
| | SVO VOI MORTGAGE CORP | | 2% 20 Sep 2029 | | 352,442 | | | | 347,336 | |
| | SYMPHONY CLO LTD | | 1% 17 Jan 2025 | | 1,300,000 | | | | 1,281,149 | |
| | SYMPHONY CLO LTD | | 1% 17 Oct 2026 | | 1,000,000 | | | | 991,487 | |
| | TENCENT HOLDINGS LTD | | 2.875% 11 Feb 2020 | | 385,000 | | | | 382,444 | |
| | TIME WARNER CABLE INC | | 8.75% 14 Feb 2019 | | 105,000 | | | | 121,806 | |
| | TIME WARNER INC | | 4.75% 29 Mar 2021 | | 340,000 | | | | 365,463 | |
| | TOWD POINT MORTGAGE TRUST | | 1% 25 May 2055 | | 448,609 | | | | 443,046 | |
| | TRANSCANADA AMERICAN | | 0% 16 Feb 2016 | | 5,375,000 | | | | 5,370,586 | |
| | TRANSOCEAN INC | | 6% 15 Mar 2018 | | 737,000 | | | | 655,930 | |
| | UNILEVER CAPITAL CORP | | 4.25% 10 Feb 2021 | | 230,000 | | | | 251,150 | |
| | UNION PACIFIC CORP | | 4% 01 Feb 2021 | | 90,000 | | | | 96,180 | |
| | UNITED MEXICAN STATES | | 5.95% 19 Mar 2019 | | 625,000 | | | | 693,750 | |
| | UNITED PARCEL SERVICE | | 3.125% 15 Jan 2021 | | 115,000 | | | | 119,556 | |
| | UNITED PARCEL SERVICE | | 5.125% 01 Apr 2019 | | 125,000 | | | | 137,933 | |
| | UNITEDHEALTH GROUP INC | | 4.7% 15 Feb 2021 | | 75,000 | | | | 82,076 | |
| | US 2YR NOTE (CBT) MAR16 | | XCBT 20160331 | | 35,400,000 | | | | (71,863 | ) |
| | US 5YR NOTE (CBT) MAR16 | | XCBT 20160331 | | 6,000,000 | | | | (14,531 | ) |
| | US DOLLAR | | | | 101,795 | | | | 101,795 | |
| | US LONG BOND(CBT) MAR16 | | XCBT 20160321 | | (300,000 | ) | | | (1,289 | ) |
| | US TREASURY N/B | | 0.875% 15 Jul 2018 | | 6,375,000 | | | | 6,317,478 | |
| | US TREASURY N/B | | 1.375% 30 Apr 2020 | | 67,025,000 | | | | 66,158,367 | |
| | US TREASURY N/B | | 1.375% 30 Sep 2018 | | 7,050,000 | | | | 7,072,031 | |
| | US TREASURY N/B | | 2.125% 15 May 2025 | | 500,000 | | | | 493,477 | |
| | US ULTRA BOND CBT MAR16 | | XCBT 20160321 | | (1,500,000 | ) | | | (14,180 | ) |
| | VENTAS REALTY LP/CAP CRP | | 2.7% 01 Apr 2020 | | 530,000 | | | | 522,613 | |
| | VERIZON COMMUNICATIONS | | 4.6% 01 Apr 2021 | | 380,000 | | | | 408,437 | |
| | VIACOM INC | | 5.625% 15 Sep 2019 | | 120,000 | | | | 129,588 | |
| | VISA INC | | 2.2% 14 Dec 2020 | | 1,550,000 | | | | 1,547,115 | |
| | VISA INC | | 3.15% 14 Dec 2025 | | 1,670,000 | | | | 1,672,064 | |
| | VOYA FINANCIAL INC | | 5.5% 15 Jul 2022 | | 670,000 | | | | 749,721 | |
| | WACHOVIA BANK COMMERCIAL MORTG | | 5.308% 15 Nov 2048 | | 1,426,430 | | | | 1,445,914 | |
| | WALGREENS BOOTS ALLIANCE | | 3.3% 18 Nov 2021 | | 590,000 | | | | 578,628 | |
| | WALT DISNEY COMPANY/THE | | 2.75% 16 Aug 2021 | | 135,000 | | | | 137,234 | |
| | WASTE MANAGEMENT INC | | 4.6% 01 Mar 2021 | | 50,000 | | | | 53,929 | |
| | WASTE MANAGEMENT INC | | 4.75% 30 Jun 2020 | | 80,000 | | | | 86,711 | |
| | WEATHERFORD BERMUDA | | 5.125% 15 Sep 2020 | | 1,267,000 | | | | 1,026,270 | |
| | WELK RESORTS LLC | | 2.79% 16 Jun 2031 | | 357,338 | | | | 351,807 | |
| | WELLS FARGO + COMPANY | | 4.3% 22 Jul 2027 | | 1,170,000 | | | | 1,195,195 | |
| | WELLS FARGO COMMERCIAL MORTGAG | | 3.349% 15 Nov 2043 | | 368,442 | | | | 378,058 | |
| | WENDYS FUNDING LLC | | 3.371% 15 Jun 2045 | | 922,688 | | | | 900,277 | |
| | WENDYS FUNDING LLC | | 4.497% 15 Jun 2045 | | 847,875 | | | | 839,756 | |
| | WHOLE FOODS MARKET INC | | 5.2% 03 Dec 2025 | | 1,520,000 | | | | 1,517,750 | |
| | WILLIAMS PARTNERS LP | | 4.3% 04 Mar 2024 | | 260,000 | | | | 206,035 | |
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| | WILLIAMS PARTNERS LP/WIL | | 7.25% 01 Feb 2017 | | 80,000 | | | | 81,579 | |
| | WILLIS TOWERS WATSON PLC | | 5.75% 15 Mar 2021 | | 580,000 | | | | 640,967 | |
| | WPX ENERGY INC | | 7.5% 01 Aug 2020 | | 1,485,000 | | | | 1,202,850 | |
| | WYNDHAM WORLDWIDE CORP | | 4.25% 01 Mar 2022 | | 210,000 | | | | 211,376 | |
| | XLIT LTD | | 4.45% 31 Mar 2025 | | 315,000 | | | | 308,465 | |
| | XLIT LTD | | 6.375% 15 Nov 2024 | | 660,000 | | | | 769,360 | |
| | XYLEM INC | | 4.875% 01 Oct 2021 | | 140,000 | | | | 148,812 | |
| | ZIMMER BIOMET HOLDINGS | | 3.55% 01 Apr 2025 | | 850,000 | | | | 825,964 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5748 15 of 16 | | | | | | $ | 512,201,096 | |
| | | | | | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
| | ABBVIE INC | | 1.8% 14 May 2018 | | 3,060,000 | | | | $ | 3,045,912 | |
| | ABN AMRO BANK NV | | 2.45% 04 Jun 2020 | | 1,985,000 | | | | 1,967,953 | |
| | AIRGAS INC | | 3.05% 01 Aug 2020 | | 560,000 | | | | 563,500 | |
| | ALIBABA GROUP HOLDING | | 2.5% 28 Nov 2019 | | 1,400,000 | | | | 1,367,741 | |
| | AMERICAN EXPRESS CREDIT | | 1% 22 Sep 2017 | | 2,000,000 | | | | 1,986,202 | |
| | AMERICAN EXPRESS CREDIT | | 1.125% 05 Jun 2017 | | 1,180,000 | | | | 1,174,559 | |
| | AMERICREDIT AUTOMOBILE RECEIVA | | 1.54% 09 Mar 2020 | | 1,755,000 | | | | 1,744,502 | |
| | AMERICREDIT AUTOMOBILE RECEIVA | | 2.4% 08 Jan 2021 | | 2,000,000 | | | | 1,974,037 | |
| | AMGEN INC | | 4.1% 15 Jun 2021 | | 1,290,000 | | | | 1,358,580 | |
| | ANGLO AMERICAN CAPITAL | | 1% 15 Apr 2016 | | 1,410,000 | | | | 1,396,205 | |
| | APPLE INC | | 2.85% 06 May 2021 | | 3,050,000 | | | | 3,123,505 | |
| | ASTRAZENECA PLC | | 1.75% 16 Nov 2018 | | 1,970,000 | | | | 1,964,458 | |
| | AVIS BUDGET RENTAL CAR FUNDING | | 2.5% 20 Jul 2021 | | 3,000,000 | | | | 2,962,544 | |
| | AVIS BUDGET RENTAL CAR FUNDING | | 2.63% 20 Dec 2021 | | 1,875,000 | | | | 1,851,456 | |
| | BANC OF AMERICA COMMERCIAL MOR | | 5.377% 10 Jun 2049 | | 2,040,000 | | | | 2,119,846 | |
| | BANK OF AMERICA CORP | | 3.3% 11 Jan 2023 | | 4,345,000 | | | | 4,276,892 | |
| | BANK OF AMERICA NA | | 1.75% 05 Jun 2018 | | 2,185,000 | | | | 2,170,953 | |
| | BANK OF AMERICA NA | | 2.05% 07 Dec 2018 | | 1,960,000 | | | | 1,954,355 | |
| | BANK OF MONTREAL | | 1.8% 31 Jul 2018 | | 2,410,000 | | | | 2,404,674 | |
| | BANK OF NOVA SCOTIA | | 1.7% 11 Jun 2018 | | 795,000 | | | | 791,985 | |
| | BANK OF NOVA SCOTIA | | 2.55% 12 Jan 2017 | | 2,500,000 | | | | 2,533,200 | |
| | BANK OF NY MELLON CORP | | 1.6% 22 May 2018 | | 3,000,000 | | | | 2,988,780 | |
| | BARCLAYS PLC | | 2.875% 08 Jun 2020 | | 835,000 | | | | 833,248 | |
| | BAXALTA INC | | 2.875% 23 Jun 2020 | | 2,425,000 | | | | 2,394,906 | |
| | BAXTER INTERNATIONAL INC | | 1.85% 15 Jan 2017 | | 1,385,000 | | | | 1,390,600 | |
| | BAYER US FINANCE LLC | | 2.375% 08 Oct 2019 | | 1,390,000 | | | | 1,390,873 | |
| | BECTON DICKINSON AND CO | | 5% 15 May 2019 | | 1,275,000 | | | | 1,377,051 | |
| | BIOMED REALTY LP | | 3.85% 15 Apr 2016 | | 1,375,000 | | | | 1,379,216 | |
| | BOSTON SCIENTIFIC CORP | | 2.85% 15 May 2020 | | 2,385,000 | | | | 2,372,577 | |
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| | BP CAPITAL MARKETS PLC | | 4.75% 10 Mar 2019 | | 1,280,000 | | | | 1,368,724 | |
| | CAPITAL ONE MULTI ASSET EXECUT | | 2.08% 15 Mar 2023 | | 1,185,000 | | | | 1,171,886 | |
| | CARDINAL HEALTH INC | | 1.95% 15 Jun 2018 | | 1,995,000 | | | | 1,989,805 | |
| | CATERPILLAR FINANCIAL SE | | 1.7% 16 Jun 2018 | | 2,305,000 | | | | 2,303,914 | |
| | CELGENE CORP | | 2.125% 15 Aug 2018 | | 2,265,000 | | | | 2,265,501 | |
| | CHEVRON CORP | | 1.79% 16 Nov 2018 | | 1,985,000 | | | | 1,967,036 | |
| | CHEVRON CORP | | 1.961% 03 Mar 2020 | | 1,405,000 | | | | 1,384,542 | |
| | CISCO SYSTEMS INC | | 1.65% 15 Jun 2018 | | 2,330,000 | | | | 2,339,737 | |
| | CITIGROUP COMMERCIAL MORTGAGE | | 3.259% 10 Oct 2047 | | 3,000,000 | | | | 3,085,325 | |
| | CITIGROUP INC | | 1.7% 27 Apr 2018 | | 3,205,000 | | | | 3,173,229 | |
| | COLONY AMERICAN FINANCE LTD | | 2.896% 15 Oct 2047 | | 1,307,620 | | | | 1,286,757 | |
| | COMM MORTGAGE TRUST | | 1% 11 Jun 2027 | | 1,750,000 | | | | 1,729,694 | |
| | CONAGRA FOODS INC | | 7% 15 Apr 2019 | | 627,000 | | | | 704,840 | |
| | CONOCOPHILLIPS COMPANY | | 1.5% 15 May 2018 | | 1,980,000 | | | | 1,943,711 | |
| | CORNING INC | | 1.5% 08 May 2018 | | 1,995,000 | | | | 1,960,465 | |
| | COVIDIEN INTL FINANCE SA | | 6% 15 Oct 2017 | | 1,260,000 | | | | 1,357,252 | |
| | CPS AUTO TRUST | | 4.2% 17 May 2021 | | 860,000 | | | | 845,433 | |
| | CRED SUIS GP FUN LTD | | 3.125% 10 Dec 2020 | | 1,985,000 | | | | 1,975,984 | |
| | CREDIT ACCEPTANCE AUTO LOAN TR | | 1.55% 15 Oct 2021 | | 788,000 | | | | 784,683 | |
| | CREDIT ACCEPTANCE AUTO LOAN TR | | 2% 15 Jul 2022 | | 750,000 | | | | 743,778 | |
| | CREDIT ACCEPTANCE AUTO LOAN TR | | 3.04% 15 Aug 2023 | | 1,965,000 | | | | 1,955,478 | |
| | CREDIT SUISSE MORTGAGE TRUST | | 1% 15 Sep 2040 | | 2,017,783 | | | | 2,084,680 | |
| | CREDIT SUISSE NEW YORK | | 2.3% 28 May 2019 | | 1,175,000 | | | | 1,176,011 | |
| | CRONOS CONTAINERS PROGRAM LTD | | 3.27% 18 Nov 2029 | | 2,169,167 | | | | 2,115,864 | |
| | CVS HEALTH CORP | | 4.125% 15 May 2021 | | 1,265,000 | | | | 1,338,171 | |
| | DAIMLER FINANCE NA LLC | | 1.65% 18 May 2018 | | 800,000 | | | | 788,722 | |
| | DAIMLER FINANCE NA LLC | | 2.7% 03 Aug 2020 | | 595,000 | | | | 588,966 | |
| | DELPHI AUTOMOTIVE PLC | | 3.15% 19 Nov 2020 | | 200,000 | | | | 199,741 | |
| | DISH DBS CORP | | 4.625% 15 Jul 2017 | | 1,350,000 | | | | 1,377,000 | |
| | DRIVE AUTO RECEIVABLES TRUST | | 2.76% 15 Jul 2021 | | 1,350,000 | | | | 1,340,781 | |
| | DT AUTO OWNER TRUST | | 4.25% 15 Feb 2022 | | 540,000 | | | | 534,098 | |
| | DT AUTO OWNER TRUST | | 4.53% 17 Oct 2022 | | 1,395,000 | | | | 1,385,095 | |
| | EBAY INC | | 1% 01 Aug 2019 | | 2,500,000 | | | | 2,413,645 | |
| | ENERGY TRANSFER PARTNERS | | 2.5% 15 Jun 2018 | | 1,500,000 | | | | 1,436,769 | |
| | ENTERPRISE PRODUCTS OPER | | 1.65% 07 May 2018 | | 1,155,000 | | | | 1,126,759 | |
| | ENTERPRISE PRODUCTS OPER | | 6.5% 31 Jan 2019 | | 1,220,000 | | | | 1,340,358 | |
| | EXELON CORP | | 1.55% 09 Jun 2017 | | 2,130,000 | | | | 2,121,018 | |
| | FANNIE MAE | | 1% 25 Dec 2040 | | 868,022 | | | | 870,926 | |
| | FANNIE MAE | | 1% 25 Dec 2042 | | 3,421,075 | | | | 3,411,488 | |
| | FANNIE MAE | | 1% 25 Feb 2041 | | 3,473,738 | | | | 3,511,329 | |
| | FANNIE MAE | | 1% 25 Mar 2038 | | 2,292,458 | | | | 2,325,402 | |
| | FANNIE MAE | | 1% 25 May 2040 | | 2,177,111 | | | | 2,180,463 | |
| | FANNIE MAE | | 1% 25 May 2043 | | 3,829,821 | | | | 3,809,258 | |
| | FANNIE MAE | | 1% 25 Nov 2033 | | 1,501,647 | | | | 1,511,143 | |
| | FANNIE MAE | | 1% 25 Oct 2040 | | 425,817 | | | | 428,975 | |
| | FANNIE MAE | | 1% 25 Sep 2041 | | 867,655 | | | | 873,034 | |
| | FANNIE MAE | | 1% 25 Sep 2041 | | 1,657,830 | | | | 1,675,956 | |
| | FANNIE MAE | | 1% 27 Oct 2037 | | 2,851,730 | | | | 2,836,553 | |
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| | FANNIE MAE | | 5% 25 Jun 2040 | | 1,125,000 | | | | 1,261,826 | |
| | FANNIE MAE | | 7% 25 Mar 2045 | | 1,698,355 | | | | 1,930,760 | |
| | FANNIEMAE WHOLE LOAN | | 6.5% 25 Dec 2045 | | 1,719,411 | | | | 1,932,140 | |
| | FHLMC STRUCTURED PASS THROUGH | | 1% 25 Jul 2044 | | 2,096,098 | | | | 2,130,076 | |
| | FIFTH THIRD BANK | | 1.15% 18 Nov 2016 | | 1,000,000 | | | | 998,873 | |
| | FLAGSHIP CREDIT AUTO TRUST | | 3.08% 15 Dec 2021 | | 1,235,000 | | | | 1,211,619 | |
| | FNMA POOL 735697 | | 1% 01 Jun 2035 | | 4,362,810 | | | | 4,567,915 | |
| | FNMA POOL 795297 | | 1% 01 Jul 2044 | | 217,438 | | | | 222,702 | |
| | FORD MOTOR CREDIT CO LLC | | 2.24% 15 Jun 2018 | | 2,200,000 | | | | 2,179,998 | |
| | FORD MOTOR CREDIT CO LLC | | 3.2% 15 Jan 2021 | | 1,340,000 | | | | 1,330,938 | |
| | FORTUNE BRANDS HOME + SE | | 3% 15 Jun 2020 | | 560,000 | | | | 556,944 | |
| | FREDDIE MAC | | 1% 15 Jan 2042 | | 4,912,962 | | | | 4,957,884 | |
| | FREEPORT MCMORAN INC | | 3.55% 01 Mar 2022 | | 1,495,000 | | | | 867,100 | |
| | GCCFC COMMERCIAL MORTGAGE TRUS | | 5.444% 10 Mar 2039 | | 1,514,897 | | | | 1,548,649 | |
| | GCCFC COMMERCIAL MORTGAGE TRUS | | 5.736% 10 Dec 2049 | | 1,243,004 | | | | 1,282,443 | |
| | GE CAPITAL INTL FUNDING | | 2.342% 15 Nov 2020 | | 717,000 | | | | 711,020 | |
| | GENERAL ELECTRIC CO | | 2.2% 09 Jan 2020 | | 280,000 | | | | 281,037 | |
| | GENERAL MILLS INC | | 2.2% 21 Oct 2019 | | 1,400,000 | | | | 1,400,311 | |
| | GENERAL MOTORS FINL CO | | 3.15% 15 Jan 2020 | | 1,385,000 | | | | 1,372,606 | |
| | GENERAL MOTORS FINL CO | | 3.2% 13 Jul 2020 | | 1,530,000 | | | | 1,506,443 | |
| | GENERAL MOTORS FINL CO | | 4.25% 15 May 2023 | | 435,000 | | | | 430,276 | |
| | GILEAD SCIENCES INC | | 2.55% 01 Sep 2020 | | 1,980,000 | | | | 1,979,248 | |
| | GLENCORE FUNDING LLC | | 3.125% 29 Apr 2019 | | 1,385,000 | | | | 1,156,475 | |
| | GLOBAL SC FINANCE SRL | | 3.19% 17 Jul 2029 | | 1,484,917 | | | | 1,432,515 | |
| | GNMA II POOL 710074 | | 4.72% 20 Apr 2061 | | 1,051,616 | | | | 1,098,625 | |
| | GNMA II POOL 765178 | | 4.654% 20 Mar 2062 | | 1,999,942 | | | | 2,106,617 | |
| | GNMA II POOL 765230 | | 4.548% 20 Dec 2062 | | 2,120,764 | | | | 2,258,656 | |
| | GNMA II POOL 766549 | | 4.616% 20 Jul 2062 | | 1,756,115 | | | | 1,868,058 | |
| | GNMA II POOL 791932 | | 4.517% 20 Jan 2063 | | 1,838,885 | | | | 1,961,921 | |
| | GNMA II POOL AE0471 | | 4.66% 20 May 2064 | | 1,630,532 | | | | 1,770,113 | |
| | GOLDMAN SACHS GROUP INC | | 1% 15 Sep 2020 | | 2,000,000 | | | | 2,004,352 | |
| | GOLDMAN SACHS GROUP INC | | 2.6% 23 Apr 2020 | | 1,590,000 | | | | 1,577,926 | |
| | GOLDMAN SACHS GROUP INC | | 2.75% 15 Sep 2020 | | 565,000 | | | | 564,629 | |
| | GOLDMAN SACHS GROUP INC | | 5.95% 18 Jan 2018 | | 1,415,000 | | | | 1,523,922 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 16 Sep 2042 | | 1,941,655 | | | | 1,961,484 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Apr 2065 | | 1,852,454 | | | | 1,835,220 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Dec 2042 | | 5,504,120 | | | | 5,482,318 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Jul 2065 | | 1,689,524 | | | | 1,680,281 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Jun 2061 | | 877,437 | | | | 872,952 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 Mar 2065 | | 3,879,768 | | | | 3,876,469 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 1% 20 May 2065 | | 3,715,518 | | | | 3,669,308 | |
| | GOVERNMENT NATIONAL MORTGAGE A | | 6% 16 Jun 2034 | | 2,448,000 | | | | 2,986,847 | |
| | GS MORTGAGE SECURITIES TRUST | | 1% 10 Aug 2045 | | 3,478,111 | | | | 3,616,655 | |
| | HARRIS CORPORATION | | 1.999% 27 Apr 2018 | | 1,405,000 | | | | 1,389,216 | |
| | HCP INC | | 4% 01 Dec 2022 | | 1,990,000 | | | | 1,980,800 | |
| | HP INC | | 4.3% 01 Jun 2021 | | 1,290,000 | | | | 1,277,460 | |
| | HSBC USA INC | | 2% 07 Aug 2018 | | 1,990,000 | | | | 1,989,504 | |
| | HUNTINGTON NATIONAL BANK | | 2.2% 06 Nov 2018 | | 425,000 | | | | 423,825 | |
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Table of Contents
| | HUTCH WHAMPOA INT 14 LTD | | 1.625% 31 Oct 2017 | | 1,415,000 | | | | 1,402,510 | |
| | HYUNDAI AUTO LEASE SECURITIZAT | | 1.66% 15 Jul 2019 | | 2,800,000 | | | | 2,781,117 | |
| | ING BANK NV | | 2.05% 17 Aug 2018 | | 1,995,000 | | | | 1,993,139 | |
| | JM SMUCKER CO | | 1.75% 15 Mar 2018 | | 1,400,000 | | | | 1,393,414 | |
| | JOHN DEERE CAPITAL CORP | | 1.55% 15 Dec 2017 | | 2,800,000 | | | | 2,801,504 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 15 Aug 2027 | | 3,000,000 | | | | 2,982,881 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 15 Jul 2031 | | 2,012,146 | | | | 1,996,170 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 15 Jul 2036 | | 1,700,000 | | | | 1,693,657 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 1% 15 Jun 2049 | | 2,499,140 | | | | 2,548,607 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.336% 15 May 2047 | | 2,550,117 | | | | 2,597,258 | |
* | | JP MORGAN CHASE COMMERCIAL MOR | | 5.716% 15 Feb 2051 | | 1,126,371 | | | | 1,176,437 | |
* | | JPMORGAN CHASE + CO | | 2.25% 23 Jan 2020 | | 3,585,000 | | | | 3,526,855 | |
* | | JPMORGAN CHASE + CO | | 2.75% 23 Jun 2020 | | 1,145,000 | | | | 1,150,102 | |
| | KEY BANK NA | | 3.18% 15 Oct 2027 | | 875,000 | | | | 864,511 | |
| | KLA TENCOR CORP | | 4.125% 01 Nov 2021 | | 1,330,000 | | | | 1,331,931 | |
| | L 3 COMMUNICATIONS CORP | | 1.5% 28 May 2017 | | 1,410,000 | | | | 1,392,532 | |
| | LB COMMERCIAL CONDUIT MORTGAGE | | 1% 15 Jul 2044 | | 2,485,240 | | | | 2,577,518 | |
| | LINCOLN NATIONAL CORP | | 6.25% 15 Feb 2020 | | 184,000 | | | | 206,755 | |
| | LLOYDS BANK PLC | | 2% 17 Aug 2018 | | 1,995,000 | | | | 1,996,516 | |
| | MANUF + TRADERS TRUST CO | | 1.4% 25 Jul 2017 | | 1,250,000 | | | | 1,244,264 | |
| | MARATHON PETROLEUM CORP | | 2.7% 14 Dec 2018 | | 1,945,000 | | | | 1,923,300 | |
| | MARTIN MARIETTA MATERIAL | | 1% 30 Jun 2017 | | 1,420,000 | | | | 1,410,121 | |
| | MCGRAW HILL FINANCIAL IN | | 2.5% 15 Aug 2018 | | 380,000 | | | | 382,372 | |
| | MCKESSON CORP | | 1.292% 10 Mar 2017 | | 1,405,000 | | | | 1,401,051 | |
| | MEAD JOHNSON NUTRITION C | | 3% 15 Nov 2020 | | 525,000 | | | | 524,841 | |
* | | MET LIFE GLOB FUNDING I | | 2.5% 03 Dec 2020 | | 1,410,000 | | | | 1,401,976 | |
* | | METLIFE INC | | 1% 15 Dec 2017 | | 1,225,000 | | | | 1,232,207 | |
| | MICRON TECHNOLOGY INC | | 5.25% 15 Jan 2024 | | 1,385,000 | | | | 1,218,800 | |
| | MONSANTO CO | | 1.15% 30 Jun 2017 | | 1,950,000 | | | | 1,935,843 | |
| | MORGAN STANLEY | | 1.875% 05 Jan 2018 | | 2,765,000 | | | | 2,762,285 | |
| | MORGAN STANLEY | | 2.8% 16 Jun 2020 | | 3,125,000 | | | | 3,134,938 | |
| | MORGAN STANLEY CAPITAL I TRUST | | 1% 15 Apr 2049 | | 930,000 | | | | 953,832 | |
| | MYLAN INC | | 1.35% 29 Nov 2016 | | 1,410,000 | | | | 1,398,177 | |
| | MYLAN NV | | 3.75% 15 Dec 2020 | | 1,020,000 | | | | 1,021,069 | |
| | NABORS INDUSTRIES INC | | 4.625% 15 Sep 2021 | | 460,000 | | | | 378,010 | |
| | NATIONAL AUSTRALIA BK/NY | | 1.875% 23 Jul 2018 | | 2,355,000 | | | | 2,347,768 | |
| | NATIONAL BANK OF CANADA | | 2.1% 14 Dec 2018 | | 1,955,000 | | | | 1,952,603 | |
| | NAVIENT CORP | | 5.5% 15 Jan 2019 | | 1,360,000 | | | | 1,271,600 | |
| | NCL CORP LTD | | 4.625% 15 Nov 2020 | | 1,385,000 | | | | 1,356,220 | |
| | NEXTERA ENERGY CAPITAL | | 2.056% 01 Sep 2017 | | 2,200,000 | | | | 2,202,050 | |
| | NEXTGEAR FLOORPLAN MASTER OWNE | | 1.8% 15 Jul 2019 | | 1,480,000 | | | | 1,472,402 | |
| | NOBLE HOLDING INTL LTD | | 2.5% 15 Mar 2017 | | 1,415,000 | | | | 1,334,944 | |
| | ONEMAIN FINANCIAL ISSUANCE TRU | | 2.57% 18 Jul 2025 | | 980,000 | | | | 968,515 | |
| | ONEOK PARTNERS LP | | 3.375% 01 Oct 2022 | | 1,370,000 | | | | 1,111,240 | |
| | PENTAIR FINANCE SA | | 2.9% 15 Sep 2018 | | 2,000,000 | | | | 1,991,048 | |
| | PEPSICO INC | | 1.125% 17 Jul 2017 | | 3,300,000 | | | | 3,299,759 | |
| | PHILIP MORRIS INTL INC | | 1.25% 11 Aug 2017 | | 2,345,000 | | | | 2,348,515 | |
| | PIONEER NATURAL RESOURCE | | 3.45% 15 Jan 2021 | | 480,000 | | | | 443,209 | |
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| | PLAINS ALL AMER PIPELINE | | 3.65% 01 Jun 2022 | | 970,000 | | | | 832,404 | |
| | PNC BANK NA | | 1.85% 20 Jul 2018 | | 2,335,000 | | | | 2,330,435 | |
| | RAIT TRUST | | 1% 15 Dec 2031 | | 589,912 | | | | 583,515 | |
| | RELIANCE STAND LIFE II | | 2.15% 15 Oct 2018 | | 715,000 | | | | 710,776 | |
| | RIO TINTO FIN USA PLC | | 2% 22 Mar 2017 | | 1,395,000 | | | | 1,393,782 | |
| | ROYAL BANK OF CANADA | | 2.1% 14 Oct 2020 | | 885,000 | | | | 869,638 | |
| | RYDER SYSTEM INC | | 2.5% 11 May 2020 | | 3,000,000 | | | | 2,921,874 | |
| | SANTANDER DRIVE AUTO RECEIVABL | | 2.97% 15 Mar 2021 | | 1,770,000 | | | | 1,767,207 | |
| | SCHLUMBERGER HLDGS CORP | | 3% 21 Dec 2020 | | 1,385,000 | | | | 1,367,107 | |
| | SCRIPPS NETWORKS INTERAC | | 2.8% 15 Jun 2020 | | 1,985,000 | | | | 1,936,415 | |
| | SHELL INTERNATIONAL FIN | | 1.625% 10 Nov 2018 | | 1,990,000 | | | | 1,979,025 | |
| | SHELL INTERNATIONAL FIN | | 2.125% 11 May 2020 | | 2,960,000 | | | | 2,911,941 | |
| | SOCIAL PROFESSIONAL LOAN PROGR | | 3.02% 25 Oct 2027 | | 1,689,349 | | | | 1,689,677 | |
| | SOUTHERN CAL EDISON | | 1.125% 01 May 2017 | | 865,000 | | | | 859,361 | |
| | SOUTHERN CALIF GAS CO | | 1.55% 15 Jun 2018 | | 2,525,000 | | | | 2,515,925 | |
| | SOUTHERN CO | | 1.95% 01 Sep 2016 | | 1,385,000 | | | | 1,390,774 | |
| | SSGA | | G STIFF ERISA QUALIFIED | | 4,628,101 | | | | 4,628,101 | |
| | STATOIL ASA | | 5.25% 15 Apr 2019 | | 1,245,000 | | | | 1,358,258 | |
| | SUMITOMO MITSUI BANKING | | 2.65% 23 Jul 2020 | | 2,380,000 | | | | 2,376,609 | |
| | TAL ADVANTAGE LLC | | 3.33% 20 May 2039 | | 1,796,635 | | | | 1,761,896 | |
| | TARGA RESOURCES PARTNERS | | 5% 15 Jan 2018 | | 1,350,000 | | | | 1,248,750 | |
| | TCF AUTO RECEIVABLES OWNER TRU | | 1.49% 16 Dec 2019 | | 2,800,000 | | | | 2,776,254 | |
| | TESORO LOGISTICS LP/CORP | | 5.5% 15 Oct 2019 | | 1,340,000 | | | | 1,299,800 | |
| | TEXTRON INC | | 4.625% 21 Sep 2016 | | 1,340,000 | | | | 1,368,718 | |
| | TORONTO DOMINION BANK | | 2.5% 14 Dec 2020 | | 1,985,000 | | | | 1,984,194 | |
| | TOWD POINT MORTGAGE TRUST | | 2.75% 25 Nov 2060 | | 1,109,519 | | | | 1,096,549 | |
| | TOYOTA MOTOR CREDIT CORP | | 1.55% 13 Jul 2018 | | 2,400,000 | | | | 2,394,331 | |
| | TOYOTA MOTOR CREDIT CORP | | 2.1% 17 Jan 2019 | | 1,380,000 | | | | 1,382,901 | |
| | TRANS CANADA PIPELINES | | 1.875% 12 Jan 2018 | | 1,390,000 | | | | 1,384,511 | |
| | TRANS CANADA PIPELINES | | 2.5% 01 Aug 2022 | | 185,000 | | | | 169,841 | |
| | UNION PACIFIC CORP | | 2.25% 19 Jun 2020 | | 2,400,000 | | | | 2,403,806 | |
| | US BANK NA CINCINNATI | | 1.35% 26 Jan 2018 | | 1,885,000 | | | | 1,878,557 | |
| | US DOLLAR | | | | (125,261 | ) | | | (125,261 | ) |
| | US TREASURY N/B | | 1.625% 30 Nov 2020 | | 11,575,000 | | | | 11,506,268 | |
| | USAA CAPITAL CORP | | 2.45% 01 Aug 2020 | | 1,155,000 | | | | 1,154,583 | |
| | VENTAS REALTY LP | | 1.55% 26 Sep 2016 | | 1,400,000 | | | | 1,400,966 | |
| | VERIZON COMMUNICATIONS | | 1.35% 09 Jun 2017 | | 1,410,000 | | | | 1,405,929 | |
| | VOLKSWAGEN GROUP AMERICA | | 1.25% 23 May 2017 | | 985,000 | | | | 961,454 | |
| | WACHOVIA BANK COMMERCIAL MORTG | | 5.342% 15 Dec 2043 | | 1,330,000 | | | | 1,360,314 | |
| | WALGREENS BOOTS ALLIANCE | | 1.75% 17 Nov 2017 | | 1,390,000 | | | | 1,387,288 | |
| | WELLS FARGO + COMPANY | | 1.4% 08 Sep 2017 | | 3,015,000 | | | | 3,011,557 | |
| | WELLS FARGO + COMPANY | | 2.6% 22 Jul 2020 | | 1,845,000 | | | | 1,840,273 | |
| | WELLS FARGO COMMERCIAL MORTGAG | | 2.855% 15 May 2048 | | 2,000,000 | | | | 2,028,189 | |
| | WESTPAC BANKING CORP | | 2.25% 09 Nov 2020 | | 1,400,000 | | | | 1,381,862 | |
| | WESTPAC BANKING CORP | | 2.6% 23 Nov 2020 | | 1,310,000 | | | | 1,315,114 | |
| | WHIRLPOOL CORP | | 1.65% 01 Nov 2017 | | 455,000 | | | | 452,649 | |
| | WILLIAMS PARTNERS LP | | 3.6% 15 Mar 2022 | | 595,000 | | | | 467,919 | |
| | WORLD FINANCIAL NETWORK CREDIT | | 2.15% 17 Apr 2023 | | 1,000,000 | | | | 997,233 | |
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| | WORLD FINANCIAL NETWORK CREDIT | | 3.14% 17 Jan 2023 | | 1,835,000 | | | | 1,889,506 | |
| | XEROX CORPORATION | | 2.8% 15 May 2020 | | 285,000 | | | | 271,775 | |
| | XEROX CORPORATION | | 6.35% 15 May 2018 | | 385,000 | | | | 411,604 | |
| | ZIMMER BIOMET HOLDINGS | | 3.375% 30 Nov 2021 | | 1,365,000 | | | | 1,366,347 | |
| | | | | | | | | | | |
| | | | Sub-Total: Fund 5749 16 of 16 | | | | | | $ | 395,922,111 | |
| | | | | | | | | | | |
| | | | Sub-Total: Investment Income Fund-Underling Investments at Fair Value (16 funds) | | $ | 10,069,221,414 | |
| | | | | | | | |
(a) | | (b) Identity of issue, borrower, lessor, or similar party | | (c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value | | (d) Cost | | (e) Fair
value | |
| | | | | | | | (n/a) | | | |
| | | | | | Shares/ | | | | | |
| | | | | | Par Value | | | | | |
| | | | | | | | | | | |
* | | Mass Mutual Life Insurance Company | | Synthetic GIC, 3.17% | | | | | | — | |
* | | New York Life Insurance Company | | Synthetic GIC, 2.85% | | | | | | — | |
| | Royal Bank of Canada | | Synthetic GIC, 3.84% | | | | | | — | |
* | | State Street Bank and Trust Company | | Synthetic GIC, 3.84% | | | | | | — | |
* | | The Prudential Insurance Company of America | | Synthetic GIC, 3.02% | | | | | | — | |
* | | Metropolitan Life Insurance Company | | Separate Account GIC, 2.61% | | | | | | — | |
| | | | | | | | | | | |
| | | | Sub-Total : Investment Contracts at Fair Value | | $ | — | |
| | | | | | | |
| | | | TOTAL : Interest Income Fund- at Fair Value | | $ | 10,069,221,414 | |
| | | | | | | |
| | | | Adjustment from fair value to contract value for fully benefit-responsive investment contracts | | (261,230,470 | ) |
| | | | | | | |
| | | | Interest Income Fund - at Contract Value | | $ | 9,807,990,944 | |
n / a - Cost is not applicable
279
