Opinion on the Financial Statements
We have audited the accompanying statement of net assets available for benefits of AT&T Savings and Security Plan (Plan) as of December 31, 2017, the related statement of changes in net assets available for benefits for the year then ended, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for benefits of AT&T Savings and Security Plan as of December 31, 2017, and the changes in net assets available for benefits for the year then ended in conformity with accounting principles generally accepted in the United States of America.
Basis of Opinion
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 audit.
We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Plan in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Plan's internal control over financial reporting. Accordingly, we express no such opinion.
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
Report on Supplemental Information
The supplemental information in the accompanying schedule of assets held (at end of year) as of December 31, 2017 has been subjected to audit procedures performed in conjunction with the audit of the Plan's financial statements. The supplemental schedule is the responsibility of the Plan's management. Our audit procedures included determining whether the supplemental schedule reconciles 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 schedule. In forming our opinion on the supplemental schedule, we evaluated whether the supplemental schedule, including its form and content, is 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 information is fairly stated, in all material respects, in relation to the basic financial statements taken as a whole.
/s/ BKD, LLP
We have served as the Plan's auditor since 2018
San Antonio, Texas
June 22, 2018
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To Plan Administrator
of the AT&T Savings and Security Plan
We have audited the accompanying statement of net assets available for benefits of the AT&T Savings and Security Plan as of December 31, 2016. This financial statement is the responsibility of the Plan's management. Our responsibility is to express an opinion on this financial statement based on our audit.
We conducted our audit 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 statement is free of material misstatement. We were not engaged to perform an audit of the Plan's internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statement, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statement referred to above presents fairly, in all material respects, the net assets available for benefits of the AT&T Savings and Security Plan at December 31, 2016, in conformity with U.S. generally accepted accounting principles.
/s/ Ernst & Young LLP
Dallas, Texas
June 22, 2017
| AT&T SAVINGS AND SECURITY PLAN |
| STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS |
| (Dollars in Thousands) |
| | | | | | |
| | | | | | |
| | | December 31, |
| | 2017 | | 2016 |
| ASSETS | | | | | |
| | | | | | |
| Investments at fair value (See Notes 3 and 4) | $ | 4,621,952 | | $ | 4,893,896 |
| | | | | | |
| Fully benefit-responsive investment contracts at contract value (See Note 4) | | 720,943 | | | 814,265 |
| | | | | | |
| Notes receivable from participants | | 199,179 | | | 233,312 |
| Receivable for investments sold | | 1,466 | | | 2,383 |
| Participant contributions receivable | | 3,509 | | | 3,349 |
| Employer contributions receivable | | 1,580 | | | 1,589 |
| Dividends and interest receivable | | 25 | | | 16 |
| Total Receivables | | 205,759 | | | 240,649 |
| | | | | | |
| Total Assets | | 5,548,654 | | | 5,948,810 |
| | | | | | |
| LIABILITIES | | | | | |
| Administrative expenses payable | | 749 | | | 1,508 |
| Due to broker for securities purchased | | 680 | | | 2,725 |
| | | | | | |
| Total Liabilities | | 1,429 | | | 4,233 |
| | | | | | |
| Net Assets Available for Benefits | $ | 5,547,225 | | $ | 5,944,577 |
| | | | | | |
| See Notes to Financial Statements. | | | | | |
| AT&T SAVINGS AND SECURITY PLAN |
| STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS |
| FOR THE YEAR ENDED DECEMBER 31, 2017 |
| (Dollars in Thousands) |
| | | |
| | | |
| Net Assets Available for Benefits, December 31, 2016 | $ | 5,944,577 |
| | | |
| Additions to Net Assets: | | |
| Contributions: | | |
| Participant contributions | | 160,155 |
| Employer contributions | | 75,944 |
| Rollover contributions | | 23,673 |
| | | 259,772 |
| | | |
| Investment Income: | | |
| Net appreciation in fair value of investments | | 270,795 |
| Dividends on AT&T common shares | | 96,433 |
| Interest | | 17,398 |
| | | 384,626 |
| | | |
| Interest income on notes receivable from participants | | 9,012 |
| | | |
| Total Additions | | 653,410 |
| | | |
| Deductions from Net Assets: | | |
| Distributions | | 462,816 |
| Administrative expenses | | 5,737 |
| Total Deductions | | 468,553 |
| | | |
| Net increase before transfers | | 184,857 |
| | | |
| Transfer to other qualified savings plan | | (582,209) |
| | | |
| Net Assets Available for Benefits, December 31, 2017 | $ | 5,547,225 |
| | | |
| See Notes to Financial Statements. | | |
Notes to Financial Statements
(Dollars in Thousands)
NOTE 1. PLAN DESCRIPTION
The AT&T Savings and Security Plan (Plan) is a defined contribution plan originally established by SBC Communications Inc. (SBC) to provide a convenient way for eligible employees to save for retirement on a regular and long-term basis. In connection with the November 2005 merger of AT&T Corp., SBC changed its name to AT&T Inc. (AT&T or the Company).
The majority of eligible employees are represented by the Communications Workers of America or the International Brotherhood of Electrical Workers who are employed by participating companies of AT&T. The following description of the Plan provides only general information. The Plan has detailed provisions covering participant eligibility, participant allotments from pay, participant withdrawals, participant loans, employer contributions and related vesting of contributions and Plan expenses. The Plan text and prospectus include complete descriptions of these and other Plan provisions. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (ERISA).
The Bank of New York Mellon Corporation (BNY Mellon) serves as the trustee for the Plan. Fidelity Investments Institutional Operations Company, Inc. (Fidelity) serves as record keeper for the Plan.
During 2017, participants could invest their contributions in one or more of seven funds in 1% increments:
· AT&T Shares Fund | · Global Equity Fund |
· Bond Fund | · Mid and Small Cap Stock Fund |
· Large Cap Stock Fund | · International Stock Fund |
· Interest Income Fund | |
Participants contribute to the Plan through payroll allotments. Participants may also contribute amounts representing distributions from other qualified defined benefit and defined contribution plans (rollovers). The Company contributes to the Plan by matching the participants' contributions based on the provisions of the Plan. Company matching contributions are made solely in the form of shares of AT&T's common stock held in an Employee Stock Ownership Plan (ESOP), which is part of the AT&T Shares Fund, within this Plan. Matching contributions made to the Plan can be immediately diversified into any of the fund options above.
Dividends on shares in the AT&T Shares Fund can either be reinvested in the AT&T Shares Fund on a quarterly basis, or paid into a short-term interest bearing fund for distribution before the end of the year. Interest earned on dividends held in the short-term interest bearing fund are used to purchase additional units of the AT&T Shares Fund in the participant's account. During 2017, Plan participants elected to receive $21,361 in dividend distributions. This amount is included in distributions on the Plan's Statement of Changes in Net Assets Available for Benefits.
Each participant is entitled to exercise voting rights attributable to the AT&T shares allocated to their account and is notified by the Company prior to the time that such rights may be exercised. Subject to the fiduciary provisions of ERISA, the trustee will not vote any allocated shares for which instructions have not been given by a participant. The trustee votes any unallocated shares in the same proportion as it votes those shares that were allocated to the extent the proportionate vote is consistent with the trustee's fiduciary obligations under ERISA. Participants have the same voting rights in the event of a tender or exchange offer.
Although it has not expressed any intent to do so, AT&T has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions of ERISA and collective bargaining obligations. In the event that the Plan is terminated, subject to the conditions set forth by ERISA, the account balances of all participants shall be 100% vested.
During 2017, AT&T initiated a review with Fidelity to identify where participants maintained balances within the Plan. When participant balances were identified as "inactive" in the Plan, those balances were merged into the participant account identified as "active" in the AT&T Retirement Savings Plan (AT&T RSP). As a result, $582,209 was transferred from the Plan into the AT&T RSP during 2017.
Notes to Financial Statements (Continued)
(Dollars in Thousands)
Administrative Expenses The reasonable expenses of plan administration may be charged to the Plan in accordance with procedures adopted by the plan administrator (as defined by the Plan). Brokerage fees, transfer taxes and other expenses incident to the purchase or sale of securities by the Trustee shall be deemed to be part of the cost of such securities, or deducted in computing the proceeds, as the case may be. Taxes, if any, on any assets held or income received by the Trustee will be charged appropriately against the accounts of Plan participants as determined by the plan administrator. To the extent that expenses incident to the administration of the Plan are paid from the Plan, the plan administrator will determine which expenses are to be charged to and paid from participant's individual accounts, which expenses are to be charged to and paid from the accounts of all participants (and how they are to be allocated among such accounts), and which expenses are to be charged to and paid from the accounts of one or more identified groups of participants (and how they are to be allocated among such accounts). All expenses of administering the Plan that are not charged to the Plan will be borne by the respective participating companies in the Plan as determined by the plan administrator.
NOTE 2. ACCOUNTING POLICIES
The accompanying financial statements were prepared in conformity with U.S. generally accepted accounting principles (GAAP), which require management to make estimates that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Distributions are recorded when paid.
Investment Valuation and Income Recognition Investments are stated at fair value, except those investments that are fully benefit-responsive investments, which are stated at contract value. Fair value is 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. See Note 3 for discussion of fair value measurements. Investments in securities traded on a national securities exchange are valued at the last reported sales price on the last business day of the year. If no sale was reported on that date, they are valued at the last reported bid price. Shares of registered investment companies (i.e., mutual funds) are valued based on quoted market prices, which represent the net asset value of shares held at year-end. Common/collective trust funds are valued at quoted redemption values that represent the net asset values of units held at year-end.
Investment contracts held by a defined contribution plan are required to be reported at contract value. Contract value is the relevant measurement attribute for that 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. The Plan invests in fully benefit-responsive synthetic investment contracts (Synthetic GICs). The underlying investments of the Synthetic GICs are comprised of corporate bonds and notes, registered investment companies and government securities. The contract value of the fully benefit-responsive investment contracts represents contributions plus earnings, less participant withdrawals and administrative expenses.
Purchases and sales of securities are reflected as of the trade date. Dividend income is recognized on the ex-dividend date. Interest earned on investments is recognized on the accrual basis. Net appreciation includes the Plan's gains and losses on investments bought and sold as well as held during the year. Transfers in and out of Level 1 (quoted market prices), Level 2 (other significant observable inputs) and Level 3 (significant unobservable inputs) are recognized on the period ending date.
Notes Receivable from Participants Notes receivable from participants represent participant loans that are recorded at their unpaid principal balance plus any accrued, but unpaid interest. Interest income on notes receivable from participants is recorded when it is earned. Related fees are recorded as administrative expenses and are expensed when they are incurred. No allowance for credit losses has been recorded as of December 31, 2017 or 2016. If a participant ceases to make loan repayments and the plan administrator deems the participant loan to be a distribution, the participant loan balance is reduced and a distribution is recorded.
Notes to Financial Statements (Continued)
(Dollars in Thousands)
NOTE 3. FAIR VALUE MEASUREMENTS
Accounting Standards Codification 820, Fair Value Measurement, establishes a framework for measuring fair value. That framework provides a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
| Level 1 | Inputs to the valuation methodology are unadjusted quoted prices for identical assets or liabilities in active markets that the Plan has the ability to access. |
| Level 2 | Inputs to the valuation methodology include: |
| · | Quoted prices for similar assets and liabilities in active markets; |
| · | Quoted prices for identical or similar assets or liabilities in inactive markets; |
| · | Inputs other than quoted market prices that are observable for the asset or liability; |
| · | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
If the asset or liability has a specified (contractual) term, the Level 2 input must be observable for substantially the full term of the asset or liability.
| Level 3 | Inputs to the valuation methodology are unobservable and significant to the fair value measurement. |
The asset's or liability's fair value measurement level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Valuation techniques used need to maximize the use of observable inputs and minimize the use of unobservable inputs.
The valuation methodologies described in Note 2 may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while Plan management believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different fair value measurement at the reporting date. There have been no changes in the methodologies used at December 31, 2017 and 2016.
| The following table sets forth by level, within the fair value hierarchy, the Plan's investments at fair value as of December: |
| | | | | | | | | | | | |
| | Plan Assets at Fair Value as of December 31, 2017 |
| | Level 1 | | Level 2 | | Level 3 | | Total |
| AT&T common stock | $ | 1,755,249 | | $ | - | | $ | - | | $ | 1,755,249 |
| Mutual funds or exchange-traded funds | | 29,074 | | | - | | | - | | | 29,074 |
| Total assets in fair value hierarchy | $ | 1,784,323 | | $ | - | | $ | - | | $ | 1,784,323 |
| Common/collective trusts measured at net asset value: | | | | | | | | | | | |
Large cap U.S. stock index fund1 | | | | | | | | | | | 1,080,599 |
Mid and small cap U.S. stock index fund2 | | | | | | | | | | | 645,041 |
Bond index fund3 | | | | | | | | | | | 381,041 |
International stock index fund4 | | | | | | | | | | | 405,018 |
Global equity fund5 | | | | | | | | | | | 325,930 |
| Total investments at fair value | | | | | | | | | | $ | 4,621,952 |
Notes to Financial Statements (Continued)
(Dollars in Thousands)
The following table sets forth by level, within the fair value hierarchy, the Plan's investments at fair value as of December: |
| | | | | | | | | | | | |
| | Plan Assets at Fair Value as of December 31, 2016 |
| | Level 1 | | Level 2 | | Level 3 | | Total |
| AT&T common stock | $ | 2,222,706 | | $ | - | | $ | - | | $ | 2,222,706 |
| Mutual funds or exchange-traded funds | | 53,659 | | | - | | | - | | | 53,659 |
| Total assets in fair value hierarchy | $ | 2,276,365 | | $ | - | | $ | - | | $ | 2,276,365 |
| Common/collective trusts measured at net asset value: | | | | | | | | | | | |
Large cap U.S. stock index fund1 | | | | | | | | | | | 998,042 |
Mid and small cap U.S. stock index fund2 | | | | | | | | | | | 612,182 |
Bond index fund3 | | | | | | | | | | | 399,017 |
International stock index fund4 | | | | | | | | | | | 321,719 |
Global equity fund5 | | | | | | | | | | | 286,571 |
| Total investments at fair value | | | | | | | | | | $ | 4,893,896 |
1This category includes a common/collective trust fund with an objective of providing investment results that approximate the overall performance of the common stocks included in the Standard and Poor's Composite Stock Price Index of 500 stocks (the "S&P 500 Index"). There are currently no redemption restrictions on this investment.
2This category includes a common/collective trust fund with an objective of providing investment results that approximate the overall performance of the common stocks included in the Dow Jones U.S. Completion Total Stock Market Index. There are currently no redemption restrictions on this investment.
3This category includes a common/collective trust fund with an objective of providing investment results that approximate the overall performance of the fixed income securities included in the Barclays U.S. Government/Credit Bond Index. There are currently no redemption restrictions on this investment.
4This category includes a common/collective trust fund with an objective of providing investment results that approximate the overall performance of the common stocks included in the MSCI EAFE Index. There are currently no redemption restrictions on this investment.
5This fund consists of two common/collective trust funds with an objective of providing investment returns that approximate an asset allocation of 75% to the Dow Jones U.S. Total Stock Market Index and 25% to the Morgan Stanley Country Index – Europe, Australasia, Far East (MSCI EAFE) Index. There are currently no redemption restrictions on these investments.
Notes to Financial Statements (Continued)
(Dollars in Thousands)
NOTE 4. INVESTMENTS
Fully Benefit-Responsive Investment Contracts
The Interest Income Fund consists of fully benefit-responsive investment contracts with various financial institutions and insurance companies that promise to repay principal plus accrued income at contract maturity, subject to the creditworthiness of the issuer. Interest crediting rates are generally established when the contract is purchased and are periodically reset. The Interest Income Fund invests in Synthetic GICs, also referred to as wrapper contracts. The assets supporting the Synthetic GICs are owned by the Plan and generally consist of high quality fixed income securities.
A bank or insurance company issues a wrapper contract that provides preservation of principal, maintains a stable interest rate and provides daily liquidity at contract value for participant directed transactions, in accordance with the provisions of the Plan. Wrapper contracts amortize the realized and unrealized gains and losses on the underlying fixed income investments through adjustments to the future interest crediting rate. The issuer of the wrapper contract provides assurance that the adjustments to the interest crediting rate do not result in a future interest crediting rate that is less than zero, which would result in a loss of principal or accrued interest.
In certain circumstances, the amount withdrawn from the wrapper contract could be payable at fair value rather than at contract value. These events include termination of the Plan, a material adverse change to the provisions of the Plan, if AT&T elects to withdraw from a wrapper contract in order to switch to a different investment provider or, in the event of a spin-off or sale of a division, if the terms of the successor plan do not meet the contract issuers' underwriting criteria for issuance of a clone wrapper contract. Events that would permit a wrapper contract issuer to terminate a wrapper contract upon short notice include the Plan's loss of its qualified status, un-cured material breaches of responsibilities or material and adverse changes to the provisions of the Plan. The Company does not believe any of these events are probable of occurring in the foreseeable future.
Investments held by the Plan are exposed to various risks such as interest rate, market and credit risks. Due to the level of risk associated with certain investments, it is at least reasonably possible that changes in the values of investments could occur in the near term and that such changes could materially affect participants' account balances and the amounts reported in the statements of net assets available for benefit. Plan participants' accounts that are invested in the Company stock fund option are exposed to market risk in the event of a significant decline in the value of AT&T stock.
Additionally, the Plan invests in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage-backed securities. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies or defaults, or both, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.
Notes to Financial Statements (Continued)
(Dollars in Thousands)
NOTE 5. PARTIES-IN-INTEREST TRANSACTIONS
Plan assets are invested in AT&T stock directly. Because the Company is the plan sponsor, transactions involving the Company's stock qualify as party-in-interest transactions. In addition, certain investments held by the Plan are managed by BNY Mellon and Fidelity as trustee and record keeper, respectively, as defined by various agreements. Therefore, these transactions and fees paid to these entities qualify as parties-in-interest transactions. All of these transactions are exempt from the prohibited transaction rules.
The Plan may, at the discretion of the Plan's participants or via the Company match, invest its assets in the Company's common stock. The Plan's AT&T Shares Fund held 45,145,290 and 52,247,398 shares of the Company's common stock as of December 31, 2017 and 2016, respectively. Dividends earned by the Plan's AT&T Shares Fund on the Company's common stock were $73,657 for the year ended December 31, 2017.
NOTE 6. TAX STATUS
The Plan has received a determination letter from the Internal Revenue Service (IRS) dated June 23, 2015, stating that the Plan is qualified under Section 401(a) of the Internal Revenue Code (IRC) and, therefore, the related trust is exempt from taxation. Once qualified, the Plan is required to operate in conformity with the IRC to maintain its qualification. Subsequent to this determination by the IRS, the Plan was amended. The plan administrator has indicated that it will take the necessary steps, if any, to bring the Plan's operations into compliance with the Code.
Accounting principles generally accepted in the United States require Plan management to evaluate uncertain tax positions taken by the Plan. The financial statement effects of a tax position are recognized when the position is more likely than not, based on the technical merits, to be sustained upon examination by the IRS. The Plan administrator has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2017, there were no uncertain positions taken or expected to be taken. The Plan has recognized no interest or penalties related to uncertain tax positions. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits for any tax periods in progress.
Notes to Financial Statements (Continued)
(Dollars in Thousands)
NOTE 7. 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 December 31:
| | | 2017 | | | 2016 | |
| | | | | | | |
| Net Assets Available for Benefits per the financial statements | | $ | 5,547,225 | | | $ | 5,944,577 | |
| Distributions payable to participants | | | (1,430 | ) | | | (564 | ) |
| Net Assets Available for Benefits per the Form 5500 | | $ | 5,545,795 | | | $ | 5,944,013 | |
Distributions payable to participants are recorded on the Form 5500 for benefit claims that have been processed and approved for payment prior to December 31, but not yet paid as of that date. The following is a reconciliation of distributions to participants per the financial statements to the Form 5500 for the year ended December 31, 2017:
| Distributions to participants per the financial statements | | $ | 462,816 | | | | | |
| Distributions payable to participants at December 31, 2016 | | | (564 | ) | | | | |
| Distributions payable to participants at December 31, 2017 | | | 1,430 | | | | | |
| Distributions to participants per the Form 5500 | | $ | 463,682 | | | | | |
NOTE 8. SUBSEQUENT EVENT
As part of collective bargaining agreements settled during 2017, certain bargained employees hired prior to August 9, 2009, will no longer participate in the Plan but will instead participate in the AT&T RSP effective January 1, 2018. In early January 2018, $2,953,945 of participant balances and assets were merged into the AT&T RSP.
| | FHLMC POOL #G0-4301 | | 6.000% 03/01/2038 DD 05/01/08 | | | | | | 1 |
| | FHLMC POOL #G0-4411 | | 6.000% 06/01/2038 DD 06/01/08 | | | | | | 8 |
| | FHLMC POOL #G0-4576 | | 6.000% 09/01/2038 DD 08/01/08 | | | | | | 11 |
| | FHLMC POOL #G0-4607 | | 6.000% 09/01/2038 DD 08/01/08 | | | | | | 5 |
| | FHLMC POOL #G0-4645 | | 6.000% 07/01/2038 DD 08/01/08 | | | | | | 7 |
| | FHLMC POOL #G0-4713 | | 6.000% 10/01/2038 DD 09/01/08 | | | | | | 7 |
| | FHLMC POOL #G0-4757 | | 6.000% 08/01/2038 DD 10/01/08 | | | | | | 1 |
| | FHLMC POOL #G0-4765 | | 6.000% 09/01/2038 DD 09/01/08 | | | | | | 21 |
| | FHLMC POOL #G0-5369 | | 6.000% 03/01/2039 DD 03/01/09 | | | | | | 2 |
| | FHLMC POOL #G0-5666 | | 6.000% 04/01/2038 DD 10/01/09 | | | | | | 1 |
| | FHLMC POOL #G0-5940 | | 6.000% 04/01/2040 DD 07/01/10 | | | | | | 2 |
| | FHLMC POOL #G0-6066 | | 6.000% 05/01/2040 DD 10/01/10 | | | | | | 9 |
| | FHLMC POOL #G0-6232 | | 6.000% 05/01/2040 DD 01/01/11 | | | | | | 1 |
| | FHLMC POOL #G0-6249 | | 6.000% 05/01/2040 DD 02/01/11 | | | | | | 3 |
| | FHLMC POOL #G0-6789 | | 6.000% 05/01/2040 DD 10/01/11 | | | | | | 7 |
| | FHLMC POOL #G0-6954 | | 6.000% 05/01/2040 DD 04/01/12 | | | | | | 8 |
| | FHLMC POOL #G0-7222 | | 6.000% 04/01/2040 DD 11/01/12 | | | | | | 9 |
| | FHLMC POOL #C0-3325 | | 6.000% 02/01/2039 DD 02/01/09 | | | | | | 4 |
| | FHLMC POOL #C0-3475 | | 6.000% 04/01/2040 DD 04/01/10 | | | | | | 4 |
| | FHLMC POOL #A8-1068 | | 6.000% 08/01/2038 DD 08/01/08 | | | | | | 4 |
| | FHLMC POOL #A8-1660 | | 6.000% 09/01/2038 DD 09/01/08 | | | | | | 1 |
| | FHLMC POOL #A8-2394 | | 6.000% 10/01/2038 DD 10/01/08 | | | | | | 1 |
| | FHLMC POOL #A8-2474 | | 6.000% 10/01/2038 DD 10/01/08 | | | | | | 1 |
| | FHLMC POOL #A8-3801 | | 6.000% 12/01/2038 DD 12/01/08 | | | | | | 1 |
| | FHLMC POOL #A8-5741 | | 6.000% 04/01/2039 DD 04/01/09 | | | | | | 1 |
| | FHLMC POOL #78-8657 | | VAR RT 09/01/2031 DD 09/01/01 | | | | | | 21 |
| | FEDERAL HOME LN BK CONS BD | | 1.375% 03/18/2019 DD 03/10/17 | | | | | | 7,576 |
| | FEDERAL HOME LN BK CONS BD | | 1.375% 09/28/2020 DD 09/08/17 | | | | | | 1,916 |
| | FEDERAL HOME LN BK CONS BD | | 0.875% 08/05/2019 DD 08/04/16 | | | | | | 3,256 |
| | FHLMC POOL #84-9008 | | VAR RT 06/01/2042 DD 03/01/13 | | | | | | 790 |
| | FHLMC POOL #84-9539 | | VAR RT 11/01/2044 DD 12/01/14 | | | | | | 504 |
| | FHLMC POOL #84-9727 | | VAR RT 05/01/2045 DD 05/01/15 | | | | | | 2,646 |
| | FHLMC POOL #V8-0804 | | 6.000% 01/01/2039 DD 11/01/13 | | | | | | 30 |
| | FHLMC POOL #2B-6264 | | VAR RT 06/01/2047 DD 06/01/17 | | | | | | 1,369 |
| | FEDERAL FARM CR BK CONS BD | | 1.400% 03/27/2019 DD 03/27/17 | | | | | | 4,039 |
| | FEDERAL HOME LN BK CONS BD | | 1.250% 06/08/2018 DD 05/04/12 | | | | | | 4,823 |
| | FNMA GTD REMIC P/T 13-13 MA | | 4.000% 01/25/2043 DD 02/01/13 | | | | | | 970 |
| | FNMA GTD REMIC P/T 2013-83 A | | 3.500% 09/25/2039 DD 07/01/13 | | | | | | 687 |
| | FNMA GTD REMIC P/T 15-92 PA | | 2.500% 12/25/2041 DD 11/01/15 | | | | | | 488 |
| | FNMA GTD REMIC P/T 16-11 GA | | 2.500% 03/25/2046 DD 02/01/16 | | | | | | 2,703 |
| | FNMA GTD REMIC P/T 16-43 MA | | 3.000% 10/25/2045 DD 06/01/16 | | | | | | 1,586 |
| | FNMA GTD REMIC P/T 17-86 PA | | 3.000% 06/25/2045 DD 10/01/17 | | | | | | 3,598 |
| | FNMA GTD REMIC P/T 12-117 DC | | 3.000% 01/25/2038 DD 09/01/12 | | | | | | 1,116 |
| | FNMA GTD REMIC P/T 12-118 VA | | 3.000% 05/25/2022 DD 10/01/12 | | | | | | 1,241 |
| | FHLMC MULTICLASS MTG 3895 AM | | 5.000% 08/15/2039 DD 07/01/11 | | | | | | 340 |
| | U S TREASURY NOTE | | 1.625% 05/15/2026 DD 05/15/16 | | | | | | 744 |
| | U S TREASURY NOTE | | 1.375% 05/31/2021 DD 05/31/16 | | | | | | 37,487 |
| | U S TREASURY NOTE | | 1.375% 01/15/2020 DD 01/15/17 | | | | | | 7,621 |
| | U S TREASURY NOTE | | 1.875% 01/31/2022 DD 01/31/17 | | | | | | 17,417 |
| | U S TREASURY NOTE | | 1.875% 07/31/2022 DD 07/31/17 | | | | | | 1,273 |
| | U S TREASURY NOTE | | 1.875% 12/15/2020 DD 12/15/17 | | | | | | 1,695 |
| | UNITEDHEALTH GROUP INC | | 1.625% 03/15/2019 DD 02/28/13 | | | | | | 3,630 |
| | UNITEDHEALTH GROUP INC | | 2.375% 10/15/2022 DD 10/25/17 | | | | | | 470 |
| | UTAH STATE BOARD OF REGEN 1 A2 | | VAR RT 05/01/2029 DD 09/28/11 | | | | | | 501 |
| | UTAH ST BRD OF RGTS STUDENT LO | | VAR RT 05/01/2035 DD 09/28/11 | | | | | | 792 |
| | WFRBS COMMERCIAL MORTGA C14 A2 | | 2.133% 06/15/2046 DD 06/01/13 | | | | | | 1,126 |
| | WACHOVIA CORP | | 5.750% 02/01/2018 DD 01/31/08 | | | | | | 2,433 |
| | WACHOVIA STUDENT LOAN TRU 1 A5 | | VAR RT 01/26/2026 DD 11/29/05 | | | | | | 123 |
| | WELLS FARGO & CO | | 2.625% 07/22/2022 DD 07/24/17 | | | | | | 2,387 |
| | WESTPAC BANKING CORP | | 2.500% 06/28/2022 DD 06/28/17 | | | | | | 4,074 |
| | GOLDMAN SACHS ASSET MANAGEMENT 1-5 YR G/C | | | | | | | | 362,545 |
| | | | | | | | | | |
| * | DREYFUS GOVT CAS MGMT INST 289 | | VAR RT 12/31/2075 DD 06/03/97 | | | | | | 5,001 |
| | AEP TEXAS CENTRAL TRANSIT A A4 | | 5.170% 01/01/2018 DD 10/11/06 | | | | | | 176 |
| | AMERICAN EXPRESS CREDIT AC 3 A | | 1.770% 11/15/2022 DD 04/25/17 | | | | | | 2,231 |
| | ANHEUSER-BUSCH INBEV FINANCE I | | 2.650% 02/01/2021 DD 01/25/16 | | | | | | 2,462 |
| | ANHEUSER-BUSCH INBEV FINANCE I | | 3.650% 02/01/2026 DD 01/25/16 | | | | | | 1,264 |
| | APPLE INC | | 2.850% 05/06/2021 DD 05/06/14 | | | | | | 2,083 |
| | ARIZONA PUBLIC SERVICE CO | | 2.950% 09/15/2027 DD 09/11/17 | | | | | | 419 |
| | AUTOMATIC DATA PROCESSING INC | | 3.375% 09/15/2025 DD 09/15/15 | | | | | | 232 |
| | BA CREDIT CARD TRUST A1 A1 | | 1.950% 08/15/2022 DD 03/30/17 | | | | | | 4,430 |
| | BP CAPITAL MARKETS PLC | | 4.500% 10/01/2020 DD 10/01/10 | | | | | | 1,958 |
| | BNP PARIBAS SA | | 2.375% 05/21/2020 DD 05/21/15 | | | | | | 801 |
| | BAKER HUGHES A GE CO LLC 144A | | 3.337% 12/15/2027 DD 12/11/17 | | | | | | 699 |
| | MUFG BANK LTD 144A | | 2.150% 09/14/2018 DD 09/14/15 | | | | | | 1,101 |
| | BRANCH BANKING & TRUST CO | | 3.625% 09/16/2025 DD 09/16/15 | | | | | | 1,814 |
| | BRAZOS HIGHER EDUCATION 2 A12 | | VAR RT 03/27/2023 DD 06/23/05 | | | | | | 937 |
| | CAPITAL ONE MULTI-ASSET A5 A5 | | 1.660% 06/17/2024 DD 08/25/16 | | | | | | 2,730 |
| | CENTERPOINT ENERGY TRANSI 1 A3 | | 3.028% 10/15/2025 DD 01/19/12 | | | | | | 1,842 |
| | CHASE EDUCATION LOAN TRUS A A3 | | VAR RT 12/28/2023 DD 07/02/07 | | | | | | 131 |
| | CHASE ISSUANCE TRUST A7 A7 | | 2.160% 09/16/2024 DD 10/09/12 | | | | | | 2,073 |
| | CHASE ISSUANCE TRUST A2 A | | 1.370% 06/15/2021 DD 06/17/16 | | | | | | 2,526 |
| | CISCO SYSTEMS INC | | 2.200% 02/28/2021 DD 02/29/16 | | | | | | 598 |
| | CISCO SYSTEMS INC | | 1.400% 09/20/2019 DD 09/20/16 | | | | | | 1,633 |
| | CITIBANK CREDIT CARD ISS A1 A1 | | 1.750% 11/19/2021 DD 12/08/16 | | | | | | 5,413 |
| | CITIBANK CREDIT CARD ISS A3 A3 | | 1.920% 04/07/2022 DD 04/11/17 | | | | | | 4,422 |
| | CITIGROUP COMMERCIAL M GC17 A2 | | 2.962% 11/10/2046 DD 12/01/13 | | | | | | 545 |
| | CITIBANK NA | | 2.000% 03/20/2019 DD 03/20/17 | | | | | | 4,092 |
| | CONOCOPHILLIPS CO | | 3.350% 11/15/2024 DD 11/12/14 | | | | | | 211 |
| | CONOCOPHILLIPS CO | | 4.200% 03/15/2021 DD 03/08/16 | | | | | | 42 |
| | CREDIT AGRICOLE SA/LONDON 144A | | 2.500% 04/15/2019 DD 04/15/14 | | | | | | 1,982 |
| | CREDIT SUISSE AG/NEW YORK NY | | 3.000% 10/29/2021 DD 10/29/14 | | | | | | 1,692 |
| | DISCOVER CARD EXECUTION A3 A3 | | 1.850% 10/16/2023 DD 04/19/16 | | | | | | 2,612 |
| | EDISON INTERNATIONAL | | 2.125% 04/15/2020 DD 03/29/17 | | | | | | 644 |
| | FHLMC POOL #1B-1438 | | VAR RT 01/01/2034 DD 01/01/04 | | | | | | 183 |
| | FHLMC POOL #A6-3809 | | 6.000% 08/01/2037 DD 07/01/07 | | | | | | 38 |
| | FHLMC POOL #A6-4100 | | 6.000% 08/01/2037 DD 08/01/07 | | | | | | 8 |
| | FHLMC POOL #A6-4136 | | 6.000% 08/01/2037 DD 08/01/07 | | | | | | 1 |
| | FHLMC POOL #A6-4142 | | 6.000% 08/01/2037 DD 08/01/07 | | | | | | 11 |
| | FHLMC POOL #A6-4440 | | 6.000% 08/01/2037 DD 08/01/07 | | | | | | 24 |
| | FHLMC POOL #A6-4475 | | 6.000% 08/01/2037 DD 08/01/07 | | | | | | 2 |
| | FHLMC POOL #A6-4548 | | 6.000% 08/01/2037 DD 08/01/07 | | | | | | 3 |
| | FHLMC POOL #A6-4907 | | 6.000% 08/01/2037 DD 08/01/07 | | | | | | 1 |
| | FHLMC POOL #A6-5008 | | 6.000% 08/01/2037 DD 08/01/07 | | | | | | 1 |
| | FHLMC POOL #A6-5310 | | 6.000% 09/01/2037 DD 09/01/07 | | | | | | 7 |
| | FHLMC POOL #A6-5518 | | 6.000% 09/01/2037 DD 09/01/07 | | | | | | 16 |
| | FHLMC POOL #A6-5651 | | 6.000% 09/01/2037 DD 09/01/07 | | | | | | 6 |
| | FHLMC POOL #A6-5652 | | 6.000% 09/01/2037 DD 09/01/07 | | | | | | 19 |
| | FHLMC POOL #A6-6092 | | 6.000% 09/01/2037 DD 09/01/07 | | | | | | 1 |
| | FHLMC POOL #A6-6107 | | 6.000% 09/01/2037 DD 09/01/07 | | | | | | 2 |
| | FHLMC POOL #A6-7052 | | 6.000% 10/01/2037 DD 10/01/07 | | | | | | 14 |
| | FHLMC POOL #A6-7449 | | 6.000% 11/01/2037 DD 10/01/07 | | | | | | 18 |
| | FHLMC POOL #A7-6467 | | 6.000% 04/01/2038 DD 04/01/08 | | | | | | 2 |
| | FHLMC POOL #A7-6472 | | 6.000% 04/01/2038 DD 04/01/08 | | | | | | 16 |
| | FHLMC POOL #A7-6474 | | 6.000% 04/01/2038 DD 04/01/08 | | | | | | 3 |
| | FHLMC POOL #A7-6476 | | 6.000% 04/01/2038 DD 04/01/08 | | | | | | 14 |
| | FHLMC POOL #A7-7211 | | 6.000% 05/01/2038 DD 05/01/08 | | | | | | 21 |
| | FHLMC POOL #A7-7221 | | 6.000% 05/01/2038 DD 05/01/08 | | | | | | 6 |
| | FHLMC POOL #A7-7222 | | 6.000% 05/01/2038 DD 05/01/08 | | | | | | 1 |
| | FHLMC POOL #A7-7568 | | 6.000% 06/01/2038 DD 05/01/08 | | | | | | 5 |
| | FHLMC POOL #A7-7766 | | 6.000% 06/01/2038 DD 05/01/08 | | | | | | 5 |
| | FHLMC POOL #A7-7797 | | 6.000% 05/01/2038 DD 05/01/08 | | | | | | 1 |
| | FHLMC POOL #A7-8625 | | 6.000% 06/01/2038 DD 06/01/08 | | | | | | 5 |
| | FHLMC POOL #A7-9846 | | 6.000% 07/01/2038 DD 07/01/08 | | | | | | 2 |
| | FHLMC POOL #A6-8241 | | 6.000% 11/01/2037 DD 11/01/07 | | | | | | 8 |
| | FHLMC POOL #A6-8585 | | 6.000% 11/01/2037 DD 11/01/07 | | | | | | 4 |
| | FHLMC POOL #A6-8626 | | 6.000% 11/01/2037 DD 11/01/07 | | | | | | 2 |
| | FHLMC POOL #A6-8883 | | 6.000% 11/01/2037 DD 11/01/07 | | | | | | 3 |
| | FHLMC POOL #A6-8998 | | 6.000% 11/01/2037 DD 11/01/07 | | | | | | 23 |
| | FHLMC POOL #A6-9265 | | 6.000% 12/01/2037 DD 12/01/07 | | | | | | 9 |
| | FHLMC POOL #A6-9303 | | 6.000% 11/01/2037 DD 11/01/07 | | | | | | 7 |
| | FHLMC POOL #A6-9654 | | 6.000% 12/01/2037 DD 12/01/07 | | | | | | 114 |
| | FHLMC POOL #A6-9830 | | 6.000% 12/01/2037 DD 12/01/07 | | | | | | 22 |
| | FHLMC POOL #A6-9858 | | 6.000% 12/01/2037 DD 12/01/07 | | | | | | 1 |
| | FHLMC POOL #G0-4447 | | 6.000% 06/01/2038 DD 06/01/08 | | | | | | 2 |
| | FHLMC POOL #G0-4552 | | 6.000% 09/01/2038 DD 08/01/08 | | | | | | 1 |
| | FHLMC POOL #G0-4575 | | 6.000% 08/01/2038 DD 08/01/08 | | | | | | 1 |
| | FHLMC POOL #G0-4576 | | 6.000% 09/01/2038 DD 08/01/08 | | | | | | 71 |
| | FHLMC POOL #G0-4607 | | 6.000% 09/01/2038 DD 08/01/08 | | | | | | 30 |
| | FHLMC POOL #G0-4610 | | 6.000% 07/01/2038 DD 08/01/08 | | | | | | 2 |
| | FHLMC POOL #G0-4645 | | 6.000% 07/01/2038 DD 08/01/08 | | | | | | 44 |
| | FHLMC POOL #G0-4713 | | 6.000% 10/01/2038 DD 09/01/08 | | | | | | 42 |
| | FHLMC POOL #G0-4754 | | 6.000% 09/01/2038 DD 09/01/08 | | | | | | 1 |
| | FHLMC POOL #G0-4757 | | 6.000% 08/01/2038 DD 10/01/08 | | | | | | 6 |
| | FHLMC POOL #G0-4765 | | 6.000% 09/01/2038 DD 09/01/08 | | | | | | 129 |
| | FHLMC POOL #G0-4912 | | 6.000% 10/01/2038 DD 11/01/08 | | | | | | 2 |
| | FHLMC POOL #G0-5029 | | 6.000% 09/01/2038 DD 11/01/08 | | | | | | 3 |
| | FHLMC POOL #G0-5352 | | 6.000% 02/01/2039 DD 03/01/09 | | | | | | 3 |
| | FHLMC POOL #G0-5369 | | 6.000% 03/01/2039 DD 03/01/09 | | | | | | 15 |
| | FHLMC POOL #G0-5531 | | 6.000% 08/01/2038 DD 07/01/09 | | | | | | 6 |
| | FHLMC POOL #G0-5666 | | 6.000% 04/01/2038 DD 10/01/09 | | | | | | 3 |
| | FHLMC POOL #G0-5830 | | 6.000% 12/01/2039 DD 03/01/10 | | | | | | 3 |
| | FHLMC POOL #G0-5940 | | 6.000% 04/01/2040 DD 07/01/10 | | | | | | 15 |
| | FHLMC POOL #G0-6066 | | 6.000% 05/01/2040 DD 10/01/10 | | | | | | 54 |
| | FHLMC POOL #G0-6219 | | 6.000% 05/01/2040 DD 01/01/11 | | | | | | 8 |
| | FHLMC POOL #G0-6232 | | 6.000% 05/01/2040 DD 01/01/11 | | | | | | 9 |
| | FHLMC POOL #G0-6249 | | 6.000% 05/01/2040 DD 02/01/11 | | | | | | 22 |
| | FHLMC POOL #G0-6387 | | 6.000% 11/01/2039 DD 04/01/11 | | | | | | 7 |
| | FHLMC POOL #G0-6402 | | 6.000% 03/01/2039 DD 04/01/11 | | | | | | 3 |
| | FHLMC POOL #G0-6673 | | 6.000% 11/01/2038 DD 08/01/11 | | | | | | 4 |
| | FHLMC POOL #G0-6789 | | 6.000% 05/01/2040 DD 10/01/11 | | | | | | 41 |
| | FHLMC POOL #G0-6877 | | 6.000% 05/01/2040 DD 01/01/12 | | | | | | 6 |
| | FHLMC POOL #G0-6954 | | 6.000% 05/01/2040 DD 04/01/12 | | | | | | 49 |
| | FHLMC POOL #G0-6995 | | 6.000% 05/01/2040 DD 04/01/12 | | | | | | 10 |
| | FHLMC POOL #G0-7222 | | 6.000% 04/01/2040 DD 11/01/12 | | | | | | 54 |
| | FHLMC POOL #G0-7311 | | 6.000% 05/01/2040 DD 02/01/13 | | | | | | 9 |
| | FHLMC POOL #C0-3325 | | 6.000% 02/01/2039 DD 02/01/09 | | | | | | 22 |
| | FHLMC POOL #C0-3475 | | 6.000% 04/01/2040 DD 04/01/10 | | | | | | 27 |
| | FHLMC POOL #A8-0885 | | 6.000% 08/01/2038 DD 08/01/08 | | | | | | 2 |
| | FHLMC POOL #A8-1068 | | 6.000% 08/01/2038 DD 08/01/08 | | | | | | 24 |
| | FHLMC POOL #A8-1346 | | 6.000% 09/01/2038 DD 08/01/08 | | | | | | 5 |
| | FHLMC POOL #A8-1466 | | 6.000% 09/01/2038 DD 08/01/08 | | | | | | 1 |
| | FHLMC POOL #A8-1618 | | 6.000% 09/01/2038 DD 09/01/08 | | | | | | 4 |
| | FHLMC POOL #A8-1660 | | 6.000% 09/01/2038 DD 09/01/08 | | | | | | 5 |
| | FHLMC POOL #A8-2394 | | 6.000% 10/01/2038 DD 10/01/08 | | | | | | 5 |
| | FHLMC POOL #A8-2474 | | 6.000% 10/01/2038 DD 10/01/08 | | | | | | 7 |
| | FHLMC POOL #A8-2841 | | 6.000% 11/01/2038 DD 10/01/08 | | | | | | 6 |
| | FHLMC POOL #A8-3801 | | 6.000% 12/01/2038 DD 12/01/08 | | | | | | 4 |
| | FHLMC POOL #A8-3804 | | 6.000% 01/01/2039 DD 12/01/08 | | | | | | 1 |
| | FHLMC POOL #A8-4705 | | 6.000% 02/01/2039 DD 02/01/09 | | | | | | 1 |
| | FHLMC POOL #A8-5741 | | 6.000% 04/01/2039 DD 04/01/09 | | | | | | 8 |
| | FHLMC POOL #A8-6739 | | 6.000% 06/01/2039 DD 06/01/09 | | | | | | 25 |
| | FHLMC POOL #A8-7819 | | 6.000% 08/01/2039 DD 08/01/09 | | | | | | 5 |
| | FHLMC POOL #A8-8904 | | 6.000% 09/01/2039 DD 09/01/09 | | | | | | 5 |
| | FHLMC POOL #Q0-4439 | | 3.500% 11/01/2041 DD 10/01/11 | | | | | | 153 |
| | FHLMC POOL #U9-0065 | | 3.500% 08/01/2042 DD 08/01/12 | | | | | | 648 |
| | FHLMC POOL #U9-5026 | | 3.500% 07/01/2042 DD 07/01/12 | | | | | | 594 |
| | FHLMC POOL #V8-0804 | | 6.000% 01/01/2039 DD 11/01/13 | | | | | | 190 |
| | FHLMC POOL #G6-7700 | | 3.500% 08/01/2046 DD 08/01/16 | | | | | | 12,031 |
| | FHLMC POOL #1B-0118 | | VAR RT 08/01/2031 DD 08/01/01 | | | | | | 12 |
| | FEDERAL NATL MTG ASSN | | 1.875% 09/24/2026 DD 09/27/16 | | | | | | 3,016 |
| | FEDERAL NATL MTG ASSN | | 6.625% 11/15/2030 DD 11/03/00 | | | | | | 3,938 |
| | FNMA GTD REMIC P/T 13-13 MA | | 4.000% 01/25/2043 DD 02/01/13 | | | | | | 742 |
| | FNMA GTD REMIC P/T 2013-83 A | | 3.500% 09/25/2039 DD 07/01/13 | | | | | | 550 |
| | FNMA GTD REMIC P/T 15-92 PA | | 2.500% 12/25/2041 DD 11/01/15 | | | | | | 544 |
| | FNMA GTD REMIC P/T 16-43 MA | | 3.000% 10/25/2045 DD 06/01/16 | | | | | | 2,149 |
| | FNMA GTD REMIC P/T 12-M9 A2 | | 2.482% 04/25/2022 DD 08/01/12 | | | | | | 320 |
| | FHLMC MULTICLASS MTG 3895 AM | | 5.000% 08/15/2039 DD 07/01/11 | | | | | | 215 |
| | FHLMC MULTICLASS MTG 3896 PA | | 4.000% 03/15/2040 DD 07/01/11 | | | | | | 511 |
| | FHLMC MULTICLASS MTG 4016 KV | | 4.000% 02/15/2025 DD 03/01/12 | | | | | | 1,609 |
| | FHLMC MULTICLASS CTF K715 A2 | | 2.856% 01/25/2021 DD 05/01/14 | | | | | | 4,362 |
| | FHLMC MULTICLASS MTG 4570 PA | | 3.000% 03/15/2044 DD 04/01/16 | | | | | | 1,745 |
| | FHLMC MULTICLASS MTG 4585 DA | | 3.000% 06/15/2045 DD 05/01/16 | | | | | | 2,595 |
| | FHLMC MULTICLASS MTG 4594 PA | | 3.000% 11/15/2044 DD 06/01/16 | | | | | | 1,913 |
| | FHLMC MULTICLASS MTG 4604 HA | | 2.500% 05/15/2045 DD 08/01/16 | | | | | | 1,286 |
| | FEDERAL HOME LN MTG CORP | | 4.875% 06/13/2018 DD 06/13/08 | | | | | | 2,536 |
| | FEDERAL HOME LN MTG CORP | | 3.750% 03/27/2019 DD 03/27/09 | | | | | | 8,801 |
| | FEDERAL HOME LN MTG CORP | | 1.250% 08/01/2019 DD 07/30/12 | | | | | | 2,971 |
| | FEDERAL REALTY INVESTMENT TRUS | | 2.550% 01/15/2021 DD 09/28/15 | | | | | | 375 |
| | FNMA POOL #0AI8618 | | 4.000% 12/01/2041 DD 12/01/11 | | | | | | 1,198 |
| | FNMA POOL #0AJ3107 | | 4.000% 01/01/2042 DD 01/01/12 | | | | | | 868 |
| | FNMA POOL #0AJ4050 | | 4.000% 10/01/2041 DD 10/01/11 | | | | | | 1,059 |
| | FNMA POOL #0AL0013 | | 6.000% 04/01/2040 DD 02/01/11 | | | | | | 368 |
| | FNMA POOL #0AL7232 | | 3.500% 09/01/2045 DD 08/01/15 | | | | | | 1,268 |
| | FNMA POOL #0AL7495 | | 3.500% 10/01/2045 DD 10/01/15 | | | | | | 849 |
| | FNMA POOL #0AL7910 | | 3.500% 02/01/2045 DD 12/01/15 | | | | | | 2,144 |
| | FNMA POOL #0AL7951 | | 3.500% 01/01/2046 DD 01/01/16 | | | | | | 793 |
| | FNMA POOL #0AQ0817 | | 3.500% 12/01/2042 DD 12/01/12 | | | | | | 3,418 |
| | FNMA POOL #0AS6188 | | 3.500% 11/01/2045 DD 10/01/15 | | | | | | 1,714 |
| | FNMA POOL #0AT8390 | | 3.500% 06/01/2043 DD 06/01/13 | | | | | | 3,499 |
| | FNMA POOL #0AR8305 | | 3.500% 05/01/2043 DD 05/01/13 | | | | | | 5,307 |
| | FNMA POOL #0AY2930 | | 3.500% 04/01/2045 DD 04/01/15 | | | | | | 22 |
| | FNMA POOL #0AY4203 | | 3.500% 05/01/2045 DD 05/01/15 | | | | | | 197 |
| | FNMA POOL #0AY4450 | | 3.500% 02/01/2045 DD 02/01/15 | | | | | | 44 |
| | FNMA POOL #0AY4781 | | 3.500% 03/01/2045 DD 03/01/15 | | | | | | 32 |
| | FNMA POOL #0AY6303 | | 3.500% 02/01/2045 DD 03/01/15 | | | | | | 134 |
| | FNMA POOL #0AZ0054 | | 3.500% 07/01/2045 DD 07/01/15 | | | | | | 26 |
| | FNMA POOL #0AZ1223 | | 3.500% 06/01/2045 DD 06/01/15 | | | | | | 43 |
| | FNMA POOL #0AZ1367 | | 3.500% 05/01/2045 DD 05/01/15 | | | | | | 26 |
| | FNMA POOL #0AZ2604 | | 3.500% 08/01/2045 DD 08/01/15 | | | | | | 25 |
| | FNMA POOL #0AZ2619 | | 3.500% 08/01/2045 DD 08/01/15 | | | | | | 33 |
| | FNMA POOL #0AZ2637 | | 3.500% 09/01/2045 DD 09/01/15 | | | | | | 57 |
| | FNMA POOL #0AZ2665 | | 3.500% 10/01/2045 DD 10/01/15 | | | | | | 71 |
| | FNMA POOL #0AZ2709 | | 3.500% 06/01/2045 DD 06/01/15 | | | | | | 22 |
| | FNMA POOL #0AZ5196 | | 3.500% 08/01/2045 DD 08/01/15 | | | | | | 19 |
| | FNMA POOL #0AX3358 | | 3.500% 11/01/2045 DD 11/01/15 | | | | | | 33 |
| | FNMA POOL #0AX6373 | | 3.500% 02/01/2045 DD 02/01/15 | | | | | | 24 |
| | FNMA POOL #0AX7714 | | 3.500% 02/01/2045 DD 02/01/15 | | | | | | 44 |
| | FNMA GTD REMIC P/T 02-W2 AF6 | | STEP 05/25/2032 DD 03/01/02 | | | | | | 25 |
| | FNMA GTD REMIC P/T 02-W11 AF6 | | VAR RT 11/25/2032 DD 09/01/02 | | | | | | 35 |
| | FNMA GTD REMIC P/T 04-W1 2A2 | | 7.000% 12/25/2033 DD 01/01/04 | | | | | | 677 |
| | FNMA GTD REMIC P/T 05-19 PA | | 5.500% 07/25/2034 DD 02/01/05 | | | | | | 416 |
| | FNMA POOL #0BC3481 | | 3.500% 02/01/2046 DD 02/01/16 | | | | | | 24 |
| | FNMA POOL #0AZ8683 | | 3.500% 01/01/2046 DD 01/01/16 | | | | | | 29 |
| | FNMA POOL #0BA2899 | | 3.500% 11/01/2045 DD 11/01/15 | | | | | | 114 |
| | FNMA POOL #0BA2978 | | 3.500% 11/01/2045 DD 11/01/15 | | | | | | 25 |
| | FNMA POOL #0BA3084 | | 3.500% 12/01/2045 DD 12/01/15 | | | | | | 22 |
| | FNMA POOL #0BA3553 | | 3.500% 11/01/2045 DD 11/01/15 | | | | | | 27 |
| | FNMA POOL #0BA4700 | | 3.500% 11/01/2045 DD 11/01/15 | | | | | | 24 |
| | FNMA POOL #0BA5324 | | 3.500% 11/01/2045 DD 11/01/15 | | | | | | 38 |
| | FNMA POOL #0725228 | | 6.000% 03/01/2034 DD 02/01/04 | | | | | | 1,431 |
| | FNMA POOL #0728766 | | VAR RT 07/01/2033 DD 07/01/03 | | | | | | 134 |
| | FNMA POOL #0890375 | | 4.500% 08/01/2023 DD 10/01/11 | | | | | | 198 |
| | FNMA POOL #0AB2775 | | 4.500% 04/01/2041 DD 03/01/11 | | | | | | 995 |
| | FNMA POOL #0MA0878 | | 4.000% 10/01/2031 DD 09/01/11 | | | | | | 1,147 |
| | FORD CREDIT FLOORPLAN MAS 5 A1 | | 1.950% 11/15/2021 DD 12/13/16 | | | | | | 3,285 |
| | FORD CREDIT AUTO OWNE 2 A 144A | | 2.030% 12/15/2027 DD 06/28/16 | | | | | | 1,380 |
| | GCO EDUCATION LOAN 1A A6L 144A | | VAR RT 11/25/2026 DD 03/06/07 | | | | | | 1,867 |
| | GE CAPITAL CREDIT CARD MAS 2 A | | 2.220% 01/15/2022 DD 02/02/12 | | | | | | 3,505 |
| | GNMA II POOL #0MA0414 | | VAR RT 09/20/2042 DD 09/01/12 | | | | | | 361 |
| | GNMA II POOL #0MA1601 | | 4.000% 01/20/2044 DD 01/01/14 | | | | | | 4,818 |
| | GNMA II POOL #0MA2149 | | 4.000% 08/20/2044 DD 08/01/14 | | | | | | 6,183 |
| | GNMA II POOL #0MA2304 | | 4.000% 10/20/2044 DD 10/01/14 | | | | | | 249 |
| | GNMA II POOL #0MA2679 | | 4.000% 03/20/2045 DD 03/01/15 | | | | | | 6,688 |
| | GNMA II POOL #0MA2755 | | 4.000% 04/20/2045 DD 04/01/15 | | | | | | 256 |
| | GNMA II POOL #0MA2893 | | 4.000% 06/20/2045 DD 06/01/15 | | | | | | 4,172 |
| | GNMA II POOL #0MA2962 | | 4.000% 07/20/2045 DD 07/01/15 | | | | | | 10,696 |
| | GNMA II POOL #0MA3106 | | 4.000% 09/20/2045 DD 09/01/15 | | | | | | 7,131 |
| | GNMA II POOL #0MA3311 | | 4.000% 12/20/2045 DD 12/01/15 | | | | | | 476 |
| | SAN CLEMENTE LEASING LLC | | 3.030% 11/22/2022 DD 12/08/10 | | | | | | 739 |
| | SCHLUMBERGER INVESTMENT S 144A | | 3.300% 09/14/2021 DD 09/14/11 | | | | | | 1,383 |
| | CHARLES SCHWAB CORP/THE | | 3.200% 03/02/2027 DD 03/02/17 | | | | | | 505 |
| | TD AMERITRADE HOLDING CORP | | 2.950% 04/01/2022 DD 03/09/15 | | | | | | 860 |
| | TENNESSEE VALLEY AUTH BD | | 3.875% 02/15/2021 DD 02/08/11 | | | | | | 2,811 |
| | UBS-BARCLAYS COMMERCIAL C6 A4 | | 3.244% 04/10/2046 DD 04/01/13 | | | | | | 866 |
| | MUFG UNION BANK NA | | 2.250% 05/06/2019 DD 05/06/14 | | | | | | 1,448 |
| | VENDEE MORTGAGE TRUST 199 1 2Z | | 7.750% 05/15/2022 DD 06/01/92 | | | | | | 297 |
| | US TREAS-CPI INFLAT | | 2.500% 01/15/2029 DD 01/15/09 | | | | | | 279 |
| | US TREAS-CPI INFLAT | | 0.875% 02/15/2047 DD 02/15/17 | | | | | | 435 |
| | U S TREASURY NOTE | | 2.375% 08/15/2024 DD 08/15/14 | | | | | | 3,391 |
| | U S TREASURY NOTE | | 2.250% 11/15/2024 DD 11/15/14 | | | | | | 3,402 |
| | U S TREASURY NOTE | | 2.250% 11/15/2025 DD 11/15/15 | | | | | | 28,041 |
| | US TREAS-CPI INFLAT | | 0.625% 01/15/2026 DD 01/15/16 | | | | | | 2,162 |
| | U S TREASURY NOTE | | 1.625% 05/15/2026 DD 05/15/16 | | | | | | 1,413 |
| | U S TREASURY NOTE | | 1.125% 09/30/2021 DD 09/30/16 | | | | | | 15,033 |
| | U S TREASURY NOTE | | 2.000% 11/15/2026 DD 11/15/16 | | | | | | 929 |
| | U S TREASURY NOTE | | 1.875% 04/30/2022 DD 04/30/17 | | | | | | 8,626 |
| | US TREAS-CPI INFLAT | | 0.375% 07/15/2027 DD 07/15/17 | | | | | | 301 |
| | U S TREASURY NOTE | | 2.125% 07/31/2024 DD 07/31/17 | | | | | | 16,571 |
| | U S TREASURY NOTE | | 1.875% 07/31/2022 DD 07/31/17 | | | | | | 6,777 |
| | U S TREASURY NOTE | | 1.500% 08/15/2020 DD 08/15/17 | | | | | | 3,906 |
| | U S TREASURY BD CPN STRIP | | 0.000% 02/15/2036 DD 02/15/06 | | | | | | 737 |
| | UNITEDHEALTH GROUP INC | | 2.750% 02/15/2023 DD 10/22/12 | | | | | | 2,079 |
| | UTAH ST BRD OF RGTS STUDENT LO | | VAR RT 05/01/2035 DD 09/28/11 | | | | | | 940 |
| | WELLS FARGO & CO | | 3.000% 10/23/2026 DD 10/25/16 | | | | | | 1,862 |
| | WELLS FARGO COMMERCIAL LC5 A3 | | 2.918% 10/15/2045 DD 09/01/12 | | | | | | 2,518 |
| | WELLS FARGO COMMERCIAL LC5 ASB | | 2.528% 10/15/2045 DD 09/01/12 | | | | | | 924 |
| | | | | | | | | | |
| | GOLDMAN SACHS ASSET MANAGEMENT INT AGG | | | | | | | | 360,928 |
| | | | | | | | | | |
| * | DREYFUS GOVERNMENT CASH MANAGEMENT FUND | | REGISTERED INVESTMENT COMPANY: 12,735,134 UNITS | | | | | | 12,735 |
| | | | | | | | | | |
| | Adjustment from fair value to contract value for fully benefit-responsive investment contracts | | | | | | | | (2,531) |
| | | | | | | | | | |
| | TOTAL INTEREST INCOME FUND | | | | | | | | 733,678 |
| | | | | | | | | | |
Global Equity Fund | | | | | | | | |
| * | BLACKROCK US EQUITY MARKET FUND F | | COMMON/COLLECTIVE TRUST FUND: 11,502,217 UNITS | | | | | | 244,447 |
