Document

SECURITIES AND EXCHANGE COMMISSION
Washington, D. C. 20549
FORM 11-K
ANNUAL REPORT
Pursuant to Section 15 (d) of the
Securities Exchange Act of 1934
For the fiscal year ended December 31, 2017
Commission File No. 1-442
THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
THE BOEING COMPANY
100 N. Riverside Plaza
Chicago, Illinois 60606-1596

Table of Contents


The Boeing Company
Voluntary Investment Plan
Employer ID No: 91-0425694
Plan Number: 002
Financial Statements as of December 31, 2017 and 2016 and for the Year Ended December 31, 2017, Supplemental Schedules as of and for the year ended December 31, 2017, and Report of Independent Registered Public Accounting Firm


Table of Contents

THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
TABLE OF CONTENTS 
 
  
Page
  
FINANCIAL STATEMENTS:
  
 
Statements of Net Assets Available for Benefits as of December 31, 2017 and 2016
  
Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2017
  
Notes to Financial Statements as of December 31, 2017 and 2016 and for the Year Ended December 31, 2017
  
SUPPLEMENTAL SCHEDULES:
  
 
Form 5500, Schedule H, Line 4(i) - Schedule of Assets (Held at End of Year) as of December 31, 2017
  
Form 5500, Schedule H, Line 4(a) - Schedule of Delinquent Participant Contributions for the Year Ended December 31, 2017
 
Form 5500, Schedule G, Part III - Schedule of Nonexempt Transactions for the Year Ended December 31, 2017
 

SIGNATURE
 
 
 
 
NOTE: All other schedules required by Section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 have been omitted because they are not applicable.
  
 

Table of Contents

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Employee Benefit Plans Committee and
Members of The Boeing Company Voluntary Investment Plan
The Boeing Company
Chicago, Illinois

Opinion on the Financial Statements

We have audited the accompanying statements of net assets available for benefits of The Boeing Company Voluntary Investment Plan (the "Plan") as of December 31, 2017 and 2016, the related statement of changes in net assets available for benefits for the year ended December 31, 2017, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2017 and 2016, and the changes in net assets available for benefits for the year ended December 31, 2017, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Plan's management. Our responsibility is to express an opinion on the Plan's financial statements based on our audits. 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. Our audits 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 audits 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 audits provide a reasonable basis for our opinion.

Report on Supplemental Schedules

The supplemental schedules listed in the table of contents 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 2017 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 compliance 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, such supplemental schedules are fairly stated, in all material respects, in relation to the financial statements as a whole.

/s/ DELOITTE & TOUCHE LLP
Chicago, Illinois
June 14, 2018

We have served as the auditor of the Plan since at least 1990; however, an earlier year cannot be reliably determined.


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2017 AND 2016
(Dollars in millions)
 
2017

 
2016

ASSETS:
 
 
 
 
Investments — interest in Master Trust
 
$
59,573

 
$
49,689

 
 
 
 
 
Receivables:
 
 
 
 
Notes receivable from participants
 
732

 
713

 
 


 


NET ASSETS AVAILABLE FOR BENEFITS
 
$
60,305

 
$
50,402

See notes to financial statements.

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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
FOR THE YEAR ENDED DECEMBER 31, 2017
(Dollars in millions)
 
ADDITIONS:
 
Net Master Trust activity
$
10,270

Interest income from notes receivable from participants
25

Contributions:
 
Employer
1,494

Participant
1,842

Total contributions
3,336

Total additions
13,631

DEDUCTIONS — Benefits paid
3,850

NET ADDITIONS BEFORE ASSET TRANSFER
9,781

 
 
ASSETS TRANSFERRED FROM ANOTHER PLAN
122

 
 
NET ASSETS AVAILABLE FOR BENEFITS:
 
Beginning of year
50,402

End of year
$
60,305

See notes to financial statements.


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 AND 2016 AND FOR THE YEAR ENDED DECEMBER 31, 2017
(Dollars in millions)
1.
DESCRIPTION OF PLAN
The following description of The Boeing Company Voluntary Investment Plan (the “VIP” or the “Plan”) provides only general information. Participants, as defined by the Plan (“Members”), should refer to the plan document for a more complete description of the Plan’s provisions.
General — The Plan is a defined contribution plan intended to qualify under the Internal Revenue Code (“IRC”) as a profit sharing plan with a cash or deferred arrangement and employee stock ownership plan component, and is designed to provide Members with a means of making regular savings for their retirement. An eligible employee of The Boeing Company (the “Company” or “Boeing”) becomes eligible to participate on the first day of employment.
The Plan includes an auto-enrollment provision for newly-eligible employees unless they affirmatively elect not to participate in the Plan. Automatically enrolled Members have their deferral rate set at a percentage of eligible compensation as defined in the plan document and their contributions are invested in a qualified default investment alternative (“QDIA”) until changed by the Members. The current QDIA for the Plan is the custom target date funds.
The assets of the Plan, excluding notes receivable from participants, are held in The Boeing Company Employee Savings Plans Master Trust (the “Master Trust”). Effective July 1, 2017, The Northern Trust Company (“NT”) serves as trustee for the Master Trust. Prior to this change, State Street Bank and Trust Company (“SSBT”) served as trustee for the Master Trust. The Employee Benefit Plans Committee oversees the operation and administration of the Plan. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”), as amended.
Contributions — Members may elect to contribute to the Plan a percentage of their eligible compensation on a pretax, after-tax, Roth, or a combination of those bases, as defined in the plan document and subject to statutory limitations. Members who have attained age 50 before the end of the plan year are eligible to make catch-up contributions, as defined in the plan document and subject to statutory limits. Catch-up contributions are ineligible for an employer-matching contribution. The Plan also accepts certain rollover contributions.
Under the terms of the Plan, Boeing makes employer-matching and Company contributions for eligible Members. Members should refer to the plan document for details.
Members may elect to change contribution percentages to be effective the next pay period after the request is received, or as soon as administratively possible thereafter. The allocation of both Members’ contributions and employer contributions to the funds may be changed at any time and become effective on the day of the change or the next business day, according to the time of the request for a change in relation to the stock market close of business.
Members’ Accounts — Individual accounts are maintained for each Plan Member. Each Member’s account is credited with the Member’s contributions, employer-matching contributions, Company contributions, and allocations of Plan earnings (losses) from the funds in which the account is invested, and charged with an allocation of certain administrative and investment-related expenses, and Member-specific charges, if applicable. Allocations are based on Member earnings or account balances, as defined by the plan document. The benefit to which a Member is entitled is the benefit that can be provided from the Member’s account.
Investment Funds — Upon enrollment in the Plan, Members may direct the investment of their contributions and any employer contributions to the investment funds offered under the Plan. These investment funds consisted of common/collective trusts, separately managed U.S. equity accounts, separately managed non-U.S. equity accounts, a separately managed fixed-income account, custom target date funds, a stable value fund (composed of synthetic-guaranteed investment contracts (“synthetic GICs”)), and Boeing common stock, which is The Boeing

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Employee Stock Ownership Plan Stock Fund (the “Boeing Stock Fund”), as of December 31, 2017 and 2016. Members may elect that dividends received with respect to their investments in the Boeing Stock Fund be distributed to them in cash or reinvested in the Boeing Stock Fund (a dividend payout program). Investment funds are valued daily and Members may elect to change their investment allocations on a daily basis.
Vesting — Member contributions, employer-matching contributions, Company contributions, and earnings on those contributions are immediately vested.
Withdrawals — Members may elect to withdraw all or a portion of their accounts, at any time on or after the day the Member attains age 59 1/2. If a Member is under age 59 1/2, withdrawals from his or her accounts are subject to restrictions for certain accounts and certain hardship rules as provided by the Plan. If a Member takes a hardship withdrawal, the Member may continue contributions to the Plan; however, employer-matching contributions will be suspended for six months following the withdrawal.
In addition, a Member may elect to withdraw all or part of his or her employer-matching contribution account before the Member attains age 59 1/2, but only if the Member has attained his or her fifth anniversary of employment. If such a withdrawal is made, employer-matching contributions will be suspended for six months following the withdrawal. Company contributions may be fully withdrawn upon termination of employment. Withdrawals of after-tax contributions and rollover contributions can be made at any time.
In the event of illness or injury and if eligible Members have used all of their regular sick leave benefits, the eligible Members may elect to withdraw, subject to Plan requirements, all or a portion of their salary continuation balance, if applicable.
Notes Receivable from Participants — Members may borrow from their fund accounts a minimum of one thousand dollars up to a maximum equal to the lesser of fifty thousand dollars or 50% of their account balance (subject to restrictions for certain accounts and minus any current outstanding loan balance), reduced by the highest outstanding loan balance under all of the Company’s savings plans during the last 12 months. Members may have a maximum of two loans outstanding under the Plan at any time. Loans may be additionally limited in accordance with the Plan provisions and/or loan policies and procedures. The interest rate on new loans is set every month and is equal to the prime rate published in the Wall Street Journal as of the last business day of the calendar month immediately preceding the date of the loan. Interest rates on outstanding loans ranged from 3.25% to 9.50% at December 31, 2017, with loans maturing at various dates through January 2038.
Loan repayment is made through regular payroll deductions for a period of up to 60 months for general loans and over a longer period for loans used to finance the purchase of a principal residence. If a Member’s employment terminates for any reason, and the loan balances are not paid in full by the termination date, the Member may continue to make monthly loan repayments until the loan is scheduled to be paid off. A loan will generally be subject to default if a payment has not been made for 90 days, an outstanding loan balance remains 30 days after the scheduled payoff date, or the Member takes a full distribution of his or her net account balance before the loan is paid off. If the loan defaults, the loan balance will become taxable income to the Member.
Benefit Payments — Upon termination of service, a Member may elect to receive a lump-sum amount equal to the full value of the Member’s vested interest in his or her account; a partial payment amount; or monthly, quarterly, semiannual, or annual installments of a fixed dollar amount or for a specific number of years, up to 10 years. Generally, a Member may also elect to have all or a portion of his or her Boeing Stock Fund balance paid in shares and/or cash. A Member also has the option to elect to apply all or a part of his or her account toward the purchase of an annuity contract with payments for a specified number of years, from a provider made available by the Plan administrator in accordance with the procedures established by the Plan administrator. If a Member makes no election, annual distributions of the required minimum amount will generally begin after age 70 ½, in accordance with applicable Plan provisions. Notwithstanding the foregoing, following a Member’s termination of service, if his or her account balance is one thousand dollars or less, it will automatically be paid out to the Member in accordance with applicable Plan provisions.
Assets Transferred from Another Plan — Effective January 1, 2017, the Aviall, Inc. Employee Savings Plan (“Aviall Plan”) was merged into the Plan. All assets and liabilities of the Aviall Plan were transferred to the Plan. The net assets transferred totaled $122, including $5 of notes receivable from participants.

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2.    SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of Accounting — The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and changes therein and the disclosure of contingent assets and liabilities. Actual results could differ from those estimates.
Risks and Uncertainties — The Plan utilizes various investment instruments. Investment securities, in general, are exposed to various risks, such as interest rate risk, credit risk, and overall market volatility. Due to the level of risk associated with certain investment securities, it is reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.
Valuation of Investments — Investments in the Master Trust are stated at fair value, except for fully benefit-responsive investment contracts (“FBRICs”) or synthetic GICs, which are reported at contract value. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability (exit price) in an orderly transaction between market participants at the measurement date. Securities traded in markets that are not considered active may be valued using unobservable inputs, such as less recent trade prices, single broker-dealer quotations, related yield curves, and other assumptions about the security. Contract value is the amount Members would receive if they were to initiate permitted transactions under the terms of the Plan (see Note 3). The Master Trust’s investments, as discussed in Note 4, are valued as follows:
•
Common stock, including Boeing common stock, preferred stock, and other investments (rights, warrants, exchange-traded funds, exchange-traded options, and other exchange-traded derivatives) traded in active markets on national and international exchanges are primarily valued using a market approach based on the closing market prices of identical instruments on the last trading day of the year. The other exchange-traded derivatives are included in other receivables and other liabilities on the Master Trust’s statements of net assets available for benefits.
•
Forward and spot currency contracts are valued using a market value approach based on spot foreign currency rates if the contract tenor is two days or less and on interpolated forward rates for any contracts with a tenor greater than two days. Forward and spot currency contracts are included in other receivables and other liabilities on the Master Trust’s statements of net assets available for benefits.
•
Investments in common/collective trust funds are valued based on the year-end unit net asset value (“NAV”). The NAV is used as a practical expedient to estimate fair value. Unit values are determined by the issuer or third party administrator by dividing the fair values of the total net assets at year-end by the outstanding units. There were no unfunded commitments, no restrictions on redemption frequency, and no advance notice periods required for redemption for these investments.
•
Synthetic GICs are stated at contract value. There are no reserves against contract value for credit risk of the contract issuer. The fixed-income securities underlying the contracts were valued based on the pricing methodology stated below for fixed-income securities.
•
Fixed-income securities, including government and agency securities, corporate bonds, and mortgage and asset-backed securities, are primarily valued using a market approach using matrix pricing, which considers a security’s relationship to other securities for which quoted prices in an active market may be available, or alternatively based on an income approach, which uses valuation techniques to convert future cash flows to a single present value amount. The valuation approach is designed to maximize the use of observable inputs, such as observable trade prices, multiple broker-dealer quotations, related yield curves, and other assumptions about the security (prepayment projections, cash flows, other security characteristics, etc.) and minimize unobservable inputs. The securities are valued as of the last trading day of the year. Fixed-income instruments that have a delayed future settlement such as to-be-announced securities (“TBAs”) are valued similarly to fixed-income securities in active markets. TBAs are included in the underlying assets associated with the synthetic GICs, other liabilities or payables for securities purchased on the Master Trust’s statements of net assets available for benefits.

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•
Mutual funds, which are registered investment companies, are valued using quoted market prices to represent the NAV at year end.
•
Short-term investments include certificates of deposits, commercial paper, treasury bills, and discounted notes with original maturities greater than three months, but less than one year. These investments are primarily valued using a market approach in the same manner as fixed-income securities referenced above.
•
Investments in limited partnerships are recorded based upon the NAV provided by the partnerships. There are no unfunded commitments and the Master Trust does not have the ability to make redemption requests from limited partnerships.
•
Other investments include over-the-counter (“OTC”) derivatives, such as options and swap contracts. These derivatives are valued using a market approach and are based upon the expected amount that the Master Trust would receive or pay to exit the derivative at the reporting date. The valuation methodology relies on inputs, including, but not limited to, benchmark yields, swap curves, cash flow analysis, ratings updates, and interdealer broker rates. Credit risk of the derivative counterparties is offset by collateralizing the expected amount that the Master Trust would receive or pay to terminate the derivative.
•
Cash and cash equivalents include certificates of deposits, commercial paper, treasury bills, discounted notes with original maturities of three months or less, cash and cash collateral. Cash collateral is related to the collateral posted on derivatives. In the event that an instrument with an original maturity of less than three months does not have a market price, then those investments are valued at amortized cost, which approximates fair value.
In accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services - Investment Companies, the synthetic GICs are included at contract value in participant-directed investments in the statements of net assets available for benefits. Contract value is the amount Members would receive if they were to initiate permitted transactions under the terms of the Plan and the terms of the synthetic GICs. The statement of changes in net assets available for benefits is presented on a contract-value basis.
Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Net appreciation of investments includes both realized and unrealized gains or losses and is calculated as the difference between the fair value of the investments as of the beginning of the plan year or the purchase date in the current year and either the sales price or the end-of-year fair value.
Valuation Controls — Plan management has implemented controls that are designed to ensure that fair value measurements used by the Master Trust are appropriate and reliable, that they are based on observable inputs wherever possible, and that the valuation approaches are consistently applied and the assumptions used are reasonable. The controls consist of a framework that provides for oversight of the fair value methodologies and valuations, as well as validation procedures.
The Board of Directors of the Company has delegated the fiduciary oversight of plan assets over various retirement plans held within the Master Trust structures to the Employee Benefit Investment Committee (“EBIC”). The EBIC has sub-delegated this responsibility to the Chief Investment Officer (“CIO”), who manages Trust Investments and chairs the Valuation Committee. Trust Investments is responsible for the oversight of the Plan assets including selection and monitoring of investment managers, asset strategies, and risk management. The Valuation Committee is responsible for the oversight of the valuation practices of the Master Trust and is represented by members of Trust Investments including Risk Management and Trust Operations, Public Markets, and Investment Strategy. The Valuation Committee meets at least quarterly with the purpose of fulfilling the following responsibilities and provides an annual review to the EBIC of its findings and actions:
•
Review and approve annually the valuation practices, including those used by third parties
•
Review and approve the year-end valuations, including the methods used to develop and substantiate the unobservable inputs used in the fair value measurement

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•
Review analysis and benchmarks used by the Company and the Master Trust to assess the reasonableness of the year-end valuations and changes in fair value measurements from period to period
•
Review and approve annual financial statement disclosures of the investments held in the Master Trust
Common/collective trust funds are generally valued using the NAV or its equivalent. Valuations provided by the funds are reviewed at least quarterly. The asset managers’ audited financial statements are used in the Master Trust's annual financial reporting process, where applicable. Assessments of reasonableness include regular asset manager meetings and review of quarterly reports, third-party reviews and reconciliations, which includes escalation to Trust Investments for exceptions, quarterly CIO investment reviews, and reviews of manager valuation policies. Valuation policies are reviewed when a new mandate is entered into with an asset manager, on a rolling three-year basis for existing managers, or as changes to policies are provided by managers.
Fixed income, equity, and derivative instruments are generally valued using valuations obtained from pricing vendors. Pricing vendor valuation methodologies and custodian pricing controls and related documentation are assessed for reasonableness on an annual basis. The pricing vendor due diligence process includes reviews of pricing controls and procedures, as well as discussions in order to maintain a current understanding of the valuation processes and related assumptions and inputs that may be used by the vendors to price instruments. The custodian due diligence process includes reviews of pricing controls and procedures that are carried out on the Master Trust's behalf. This includes various levels of tolerances checks on price changes, review of stale or unchanged prices, multi-price source comparisons, and vendor price challenges. Additionally, on a monthly basis, the custodian reconciles its valuations to valuations obtained from each investment manager and any exceptions are reported to Trust Investments for resolution, which may include escalation to the Valuation Committee.
Benefits — Benefits are recorded when paid.
Expenses — Necessary and proper expenses of the Plan are paid from the Plan assets at the Master Trust level, except for those expenses the Company is required by law or chooses to pay. Expenses are paid at the Master Trust level, deducted from income earned and therefore are recorded as a reduction of investment return and are not separately reflected in the Plan’s statement of changes in net assets available for benefits.
Notes Receivable from Participants — Notes receivable from participants are measured at the unpaid principal balance, plus any accrued but unpaid interest. Delinquent Member loans are recorded as distributions based on the terms of the plan document.
3.
SYNTHETIC GUARANTEED INVESTMENT CONTRACTS
The Master Trust includes the VIP Stable Value Fund (“VIP SVF”), which is managed by Goldman Sachs Asset Management Company LLP (“GSAM”). The VIP SVF holds synthetic GICs.
A synthetic GIC, also known as a wrap contract, is an investment contract issued by an insurance company or other financial institution, backed by diversified bond portfolios that are owned by the VIP SVF. These contracts provide that realized and unrealized gains and losses on the underlying assets are not reflected immediately in the net assets of the VIP SVF, but rather are amortized, at a maximum over the duration of the underlying assets, through adjustments to the future interest-crediting rate. Primary variables impacting the future crediting rate of the VIP SVF include crediting rates of the various wrap contracts, current yield and historical investment performance of the underlying assets and broader market interest rates within the wrap contracts, duration of the underlying assets covered by the wrap contracts, the existing difference between market value and contract value of the underlying assets within the wrap contracts, timing and amount of participant contributions and withdrawals made to or from the VIP SVF, percentage of the VIP SVF invested in cash, and VIP SVF expenses, among other factors. The issuer guarantees (subject to the terms, conditions and exceptions in the wrap contracts) that all qualified participant withdrawals will occur at contract value (or book value), which represents contributions made under the contract, plus earnings, less withdrawals made under the contract and administrative expenses.
The synthetic GICs are included in the Master Trust’s statements of net assets available for benefits, as discussed in Note 2, at contract value in participant-directed investments. There are no reserves against contract value for

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credit risk of the contract issuers. The fixed-income securities underlying the contracts are valued based on the valuation methodology stated in Note 2.
The assets underlying the synthetic GICs are owned by the VIP SVF, which is part of the Master Trust; NT and SSBT were the custodian for the Master Trust assets as of December 31, 2017 and 2016, respectively. The underlying assets of the synthetic GICs are invested in diversified bond portfolios managed by BlackRock Financial Management, Voya Investment Management Co., J.P. Morgan Investment Management (“JPM”), Pacific Investment Management Company, PGIM, and Western Asset Management Co. In addition to the diversified bond portfolios, GSAM oversees an allocation to a cash component, which is invested in a separately managed account, managed by JPM.
The wrap providers are each contractually obligated to pay the principal and specified interest rate that is guaranteed to the VIP SVF. The respective interest-crediting rates are each based on a formula agreed upon with each issuer; each one may not be less than 0%. Such interest rates are reviewed and reset on a quarterly basis. Synthetic GICs provide prospective crediting interest rates, which are adjusted quarterly based on the interest earnings, fair value, and duration of the underlying diversified bond portfolios. The crediting rate of each contract in any given quarter will reflect market experience from the previous quarter.
Certain events, such as a Plan termination or a Plan merger outside the Master Trust initiated by the Company, could limit the ability of the VIP SVF to transact at contract value or may allow for the termination of the wrapper contract at less than contract value. The Company does not believe that any events are probable that could limit the ability of the VIP SVF to transact at contract value.
4.
MASTER TRUST
The Master Trust assets are invested and records are maintained by each investment fund option. Funds are allocated to the participating plans in accordance with the Plan provisions and Member allocation elections. The allocation of net assets available for benefits is based on the respective number of units held by the plans’ Members as of year-end. The allocation of the changes in net assets available for benefits is calculated daily based on the units held by the plans’ Members as of that day’s end.
The Plan’s interest in the Master Trust represented 100% of the Master Trust’s net assets at December 31, 2017 and 2016.
Although the Plan is the only participating plan in the Master Trust as of December 31, 2017, the Company intends to keep the Master Trust for potential future acquired plans and file a Form 5500 as a master trust.


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The Master Trust’s statements of net assets as of December 31, 2017 and 2016, are as follows:
 
 
2017

 
2016

ASSETS:
 
 
 
 
Investments — at fair value:
 
 
 
 
Common/collective trusts
 
$
30,351

 
$
23,522

Common and preferred stock
 
5,080

 
5,310

Government and agency securities
 
695

 
487

Corporate bonds
 
599

 
381

Mortgage and asset-backed securities
 
224

 
167

Boeing common stock
 
10,031

 
5,575

Mutual funds
 
135

 
—

Short-term investments
 
83

 
112

Other investments
 
13

 
18

Total investments — at fair value
 
47,211

 
35,572

Investments — at contract value:
 
 
 
 
Synthetic GICs/VIP SVF
 
12,510

 
14,239

Total Master Trust investments
 
59,721

 
49,811

Cash and cash equivalents
 
32

 
57

Receivables:
 
 
 
 
Receivables for securities sold
 
13

 
392

Accrued investment income
 
44

 
73

Other
 
11

 
21

Total receivables
 
68

 
486

Total assets
 
59,821

 
50,354

 
 
 
 
 
LIABILITIES:
 
 
 
 
Payables for securities purchased
 
195

 
559

Accrued investment and administration expenses
 
25

 
25

Other
 
28

 
81

Total liabilities
 
248

 
665

NET ASSETS
 
$
59,573

 
$
49,689


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Changes in net assets for the Master Trust for the year ended December 31, 2017 are as follows:
Net appreciation of investments
$
9,710

Interest income
333

Dividend income
310

Investment income
643

Net investment income
10,353

Amounts received from participating plans
3,680

Deductions:
 
Amounts paid to participating plans
4,183

Investment and administration expenses
83

Total deductions
4,266

 
 
Assets transferred from another plan
117

 
 
Increase in net assets
9,884

Beginning of year
49,689

End of year
$
59,573

5.
FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES
ASC 820, Fair Value Measurements and Disclosures, establishes 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 under ASC 820 for financial assets and financial liabilities are described below:
Basis of Fair Value Measurement:
Level 1 — Values are based on unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. An active market is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
Level 2 — Values are based on (a) quoted prices for similar assets or liabilities in active markets; (b) quoted prices for identical or similar assets or liabilities in nonactive markets; or (c) valuation models whose inputs are observable, directly or indirectly, for substantially the full term of the asset or liability.
Level 3 — Values are based on prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement.

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The following tables set forth by level within the fair value hierarchy a summary of Master Trust investments by general types of assets and liabilities measured at fair value on a recurring basis as of December 31, 2017 and 2016. As required by ASC 820, assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
 
 
Quoted Prices
in Active Market
for Identical
Asset
(Level 1)

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Not Leveled*

 
Balance as of December 31, 2017

Investments:
 
 
 
 
 
 
 
 
 
 
Investments in the fair value hierarchy:
 
 
 
 
 
 
 
 
 
 
Common and preferred stock
 
$
4,001

 
$
1,079

 
$
—

 
$
—

 
$
5,080

Government and agency securities
 
—

 
695

 
—

 
—

 
695

Corporate bonds
 
—

 
599

 
—

 
—

 
599

Mortgage and asset-backed securities
 
—

 
198

 
26

 
—

 
224

Boeing common stock
 
10,031

 
—

 
—

 
—

 
10,031

Mutual funds
 
135

 
—

 
—

 
—

 
135

Short-term investments
 
—

 
83

 
—

 
—

 
83

Other investments
 
—

 
13

 
—

 
—

 
13

Total investments in the fair value hierarchy
 
14,167

 
2,667

 
26

 
—

 
16,860

Investments measured at net asset value:
 
 
 
 
 
 
 
 
 
 
Common/collective trusts
 
—

 
—

 
—

 
30,351

 
30,351

Total investments measured at net asset value
 
—

 
—

 
—

 
30,351

 
30,351

Total investments — at fair value

 
14,167

 
2,667

 
26

 
30,351

 
47,211

Investments measured at contract value:
 
 
 
 
 
 
 
 
 
 
Synthetic GICs/VIP SVF
 
—

 
—

 
—

 
12,510

 
12,510

Cash and cash equivalents
 
—

 
1

 
—

 
31

 
32

Receivables:
 
 
 
 
 
 
 
 
 
 
Receivables for securities sold
 
—

 
—

 
—

 
13

 
13

Accrued investment income
 
—

 
—

 
—

 
44

 
44

Other
 
1

 
10

 
—

 
—

 
11

Total receivables
 
1

 
10

 
—

 
57

 
68

Total assets
 
14,168

 
2,678

 
26

 
42,949

 
59,821

 
 
 
 
 
 
 
 
 
 


Investment liabilities:
 
 
 
 
 
 
 
 
 
 
Payables for securities purchased
 
—

 
—

 
—

 
195

 
195

Accrued investment and administration expenses
 
—

 
—

 
—

 
25

 
25

Other
 
2

 
15

 
—

 
11

 
28

Total liabilities
 
2

 
15

 
—

 
231

 
248

 
 
 
 
 
 
 
 
 
 
 
NET ASSETS
 
$
14,166

 
$
2,663

 
$
26

 
$
42,718

 
$
59,573


12
Table of Contents

 
 
Quoted Prices
in Active Market
for Identical
Asset
(Level 1)

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Not Leveled*

 
Balance as of December 31, 2016

Investments:
 
 
 
 
 
 
 
 
 
 
Investments in the fair value hierarchy:
 
 
 
 
 
 
 
 
 
 
Common and preferred stock
 
$
5,150

 
$
160

 
$
—

 
$
—

 
$
5,310

Government and agency securities
 
—

 
487

 
—

 
—

 
487

Corporate bonds
 
—

 
381

 
—

 
—

 
381

Mortgage and asset-backed securities
 
—

 
135

 
32

 
—

 
167

Boeing common stock
 
5,575

 
—

 
—

 
—

 
5,575

Short-term investments
 
—

 
112

 
—

 
—

 
112

Other investments
 
3

 
15

 
—

 
—

 
18

Total investments in the fair value hierarchy
 
10,728

 
1,290

 
32

 
—

 
12,050

Investments measured at net asset value:
 
 
 
 
 
 
 
 
 
 
Common/collective trusts
 
—

 
—

 
—

 
23,522

 
23,522

Total investments measured at net asset value
 
—

 
—

 
—

 
23,522

 
23,522

Total investments — at fair value

 
10,728

 
1,290

 
32

 
23,522

 
35,572

Investments measured at contract value:
 
 
 
 
 
 
 
 
 
 
Synthetic GICs/VIP SVF
 
—

 
—

 
—

 
14,239

 
14,239

Cash and cash equivalents
 
—

 
24

 
—

 
33

 
57

Receivables:
 
 
 
 
 
 
 
 
 
 
Receivables for securities sold
 
—

 
—

 
—

 
392

 
392

Accrued investment income
 
—

 
—

 
—

 
73

 
73

Other
 
1

 
14

 
—

 
6

 
21

Total receivables
 
1

 
14

 
—

 
471

 
486

Total assets
 
10,729

 
1,328

 
32

 
38,265

 
50,354

 
 
 
 
 
 
 
 
 
 
 
Investment liabilities:
 
 
 
 
 
 
 
 
 
 
Payables for securities purchased
 
—

 
—

 
—

 
559

 
559

Accrued investment and administration expenses
 
—

 
—

 
—

 
25

 
25

Other
 
4

 
32

 
—

 
45

 
81

Total liabilities
 
4

 
32

 
—

 
629

 
665

 
 
 
 
 
 
 
 
 
 
 
NET ASSETS
 
$
10,725

 
$
1,296

 
$
32

 
$
37,636

 
$
49,689

*The not leveled items are related to investments using NAV as a practical expedient to estimate fair value, investments measured at contract value, and non-investment assets and liabilities. The amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Master Trust’s statements of net assets.
Total Master Trust investment assets at fair value classified within Level 3 were $26 and $32 as of December 31, 2017 and 2016, respectively, which consists of mortgage and asset-backed securities. Such amounts were 0.04% and 0.06% of net assets in the Master Trust’s statements of net assets available for benefits as of December 31, 2017 and 2016, respectively.
Transfers Between Levels — The availability of observable market data is monitored to assess the appropriate classification of financial instruments within the fair value hierarchy. Changes in economic conditions or model-based valuation techniques may require the transfer of financial instruments from one fair value level to another. In such instances, the transfer is reported at the beginning of the reporting period. The significance of transfers between levels is evaluated based upon the nature of the financial instrument and size of the transfer relative to net assets available for benefits. During 2017, $924 of common and preferred stock were reclassified from Level 1 to Level 2 because the closing prices of these securities were adjusted to reflect the fair value.  There were no significant transfers between levels for the year ended December 31, 2016.

13
Table of Contents


6.
DERIVATIVE FINANCIAL INSTRUMENTS
ASC 815, Derivatives and Hedging, requires disclosures on how and why derivatives are used, accounted for, and affect the results of operations and financial position. Derivative instruments held by the Master Trust are not designated as hedging instruments under ASC 815. The Master Trust investments are exposed to the following financial instrument risks:

Interest Rate Risk — Interest rate risk is the risk of change in the market value of the assets due to a change in interest rates. Bond futures, interest rate swaps, and interest rate swaptions are generally used to manage interest rate risk or adjust portfolio duration. A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Interest rate swap agreements involve the exchange by the Master Trust, with a counterparty, of respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments, with respect to the notional amount of principal. Interest rate swaptions are options to enter into an interest rate swap based on predetermined conditions.

Credit Risk — Credit risk is the risk of change in the market value of assets due to the change in creditworthiness of the underlying issuer. Credit default swaps are used to manage the credit exposure of a security or basket of securities. Credit default swap agreements involve one party (referred to as the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation, or index.

Foreign Currency Risk — Currency risk is the risk of a change in market value due to the change in foreign currency exchange rates. Generally, currency futures and forward contracts are used to achieve the desired currency exposure, or generate value-added performance. Foreign currency futures and forwards are agreements between two parties to buy and sell a set of currencies at a set exchange rate on a specified future date. A currency option gives the buyer the right, but not the obligation, to buy one currency or sell another currency at a set exchange rate on or before a given date.

Equity Risk — Equity risk is the risk of a change in market value of assets due to the change in equity or equity index prices. Equity futures are generally used to manage the market exposure of a security or index, or rebalance the total portfolio to the target asset allocation. An equity futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date.

Commodity Risk — Commodity risk is the risk of change in the market value of the underlying commodity due to a change in the price of the commodity. Commodity futures, swaps, and options are generally used to achieve the desired market exposure to commodities. A futures contract is an agreement between two parties to buy and sell a commodity at a set price on a future date. Commodity swaps are agreements involving the exchange by the Master Trust, with a counterparty, of respective commitments to pay or receive cash flows, e.g., an exchange of payments based on the price movement for the commodity, with respect to the notional amount of principal. Commodity options give the buyer the right, but not the obligation, to buy one commodity or sell another commodity at a set price on or before a given date.

Future Settlement Risk — Future settlement risk is the risk of counterparty nonperformance resulting in not receiving the asset or associated gains specified in the contract. Gains are derived from the change in market value of the contract due to a change in price of the underlying security. Mortgage-backed TBAs are used to manage the market exposure of a security or asset class. A TBA is a contract for the purchase or sale of agency mortgage-backed securities to be delivered at a future agreed-upon date.

14
Table of Contents

As of December 31, 2017 and 2016, the Master Trust has invested in derivative contracts which are reflected on the Master Trust’s statements of net assets available for benefits, as discussed in Note 4, as follows:
 
Interest Rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

December 31, 2017
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
Synthetic GICs/VIP SVF*
 
 
 
 
 
 
 
TBAs
$
—

$
—

$
—

$
—

$
—

$
1

$
1

Futures
1

—

—

—

—

—

1

Other investments:







Options
1

—

—

—

—

—

1

Swaps
5

—

—

1

6

—

12

Other receivables:







Forward contracts
—

—

9

—

1

—

10

Futures
—

—

—

—

1

—

1

Total assets
$
7

$
—

$
9

$
1

$
8

$
1

$
26

Liabilities:
 
 
 
 
 
 
 
Synthetic GICs/VIP SVF -
Futures*
$
2

$
—

$
—

$
—

$
—

$
—

$
2

Other liabilities:
 
 
 
 
 
 

Forward contracts
—

—

9

—

1

—

10

Futures
—

—

—

1

1

—

2

Options
1

—

—

—

—

—

1

Swaps
3

—

—

1

—

—

4

TBAs
—

—

—

—

—

—

—

Total liabilities
$
6

$
—

$
9

$
2

$
2

$
—

$
19

 
 
 
 
 
 
 
 
December 31, 2016
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
Synthetic GICs/VIP SVF -
TBAs*
$
—

$
—

$
—

$
—

$
—

$
4

$
4

Other investments:







Options
3

—

1

—

—

—

4

Swaps
9

1

1

3

—

—

14

Other receivables:







Forward contracts
—

—

14

—

—

—

14

Futures
—

—

—

—

1

—

1

Total assets
$
12

$
1

$
16

$
3

$
1

$
4

$
37

Liabilities:
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
15

$
—

$
—

$
—

$
15

Futures
—

—

—

1

—

—

1

Options
3

—

1

—

—

—

4

Swaps
6

2

8

—

—

—

16

Payable for securities purchased:
 
 
 
 
 
 
 
TBAs
—

—

—

—

—

8

8

Total liabilities
$
9

$
2

$
24

$
1

$
—

$
8

$
44

*Synthetic GICs/VIP SVF are stated at contract value on the Master Trust’s statements of net assets available for benefits.

15
Table of Contents

Realized gains and losses and the change in unrealized gains and losses are reflected in the Master Trust’s statement of changes in net assets available for benefits as net appreciation or depreciation in the fair value of investments. The effect of derivative contracts realized gains and losses and the change in unrealized gains and losses for the year ended December 31, 2017, is reflected in the following table:
 
Interest Rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

Net gains (losses):
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
8

$
—

$
—

$
—

$
8

Futures
(5
)
—

—

51

2

—

48

Options
—

—

—

—

—

—

—

Swaps
2

3

6

(8
)
7

—

10

TBAs
—

—

—

—

—

17

17

Total net gains (losses)
$
(3
)
$
3

$
14

$
43

$
9

$
17

$
83

The following table summarizes the gross notional value of derivative contracts outstanding as of December 31, 2017 and 2016. The gross notional amounts give an indication of the volume of the Master Trust’s derivative activity and significantly exceed the fair value of the derivative investments, which is more representative of the economic exposure associated with derivatives in the Master Trust.
 
Interest Rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

December 31, 2017
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
959

$
—

$
1

$
—

$
960

Futures
5,631

—

2

371

229

—

6,233

Options
423

—

13

8

3

—

447

Swaps
1,169

35

18

24

1

—

1,247

TBAs
—

—

—

—

—

1,529

1,529

Total
$
7,223

$
35

$
992

$
403

$
234

$
1,529

$
10,416

December 31, 2016
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
806

$
—

$
—

$
—

$
806

Futures
1,738

—

1

274

181

—

2,194

Options
685

—

31

—

—

—

716

Swaps
765

150

119

3

—

—

1,037

TBAs
—

—

—

—

—

1,980

1,980

Total
$
3,188

$
150

$
957

$
277

$
181

$
1,980

$
6,733

Derivatives are generally used to manage the market exposure of a security, index or currency, or adjust the portfolio duration. Derivative contracts are instruments that derive their value from underlying assets, indices, reference interest rates, or a combination of these factors. Refer to Note 2 for further description of how derivative instruments are valued. Certain cash instruments, such as mortgage-backed TBAs meet the definition of a derivative instrument under GAAP.
The nature of the counterparty and the settlement mechanism of the derivative affect the credit risk to which the Master Trust is exposed. For OTC derivatives such as swaps, forwards, options and TBAs, the Master Trust is exposed to the credit risk of the derivative counterparty.
For exchange-traded derivatives, such as futures and options, and “cleared” OTC swaps, the Master Trust is generally exposed to the credit risk of the relevant exchange or clearinghouse. Where possible, the Master Trust seeks to mitigate its credit risk exposures arising on derivative transactions through the use of legally enforceable master netting arrangements and collateral agreements.
The Master Trust is also exposed to liquidity risk in the following situations:
1) When the derivative contracts require the Master Trust to post additional cash or securities collateral with counterparties as the fair value of the contracts moves in the counterparties’ favor and the Master Trust’s receivables under related contracts are unavailable for offset or insufficient in value to offset the payment obligation to the counterparty.

16
Table of Contents

2) When certain derivative contracts have credit-related contingent features under the International Swaps and Derivatives Association Master Agreement (generally swaps) with counterparties for contracts in a net liability position.
The Master Trust has liquidity risk if its assets decline by various, pre-specified rates over predetermined time periods. If this occurs, the Master Trust is required to post more collateral or may be required to pay off the open liability contracts given the counterparty’s right to terminate the contract. At December 31, 2017 and 2016, the Master Trust had an insignificant amount of contracts in a net liability position with contingent features with an insignificant amount posted in collateral against those positions.
7.
PLAN AMENDMENTS
Effective during 2017 as specified in the Plan provisions, the Plan added an enhanced defined contribution benefit contributed by the Company for certain union Members as specified or permitted in the applicable collective bargaining agreement for each group.
8.
RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500
The following is a reconciliation of net assets available for benefits per the financial statements as of December 31, 2017 and 2016, to Form 5500:
 
 
2017

 
2016

Net assets available for benefits per the financial statements
 
$
60,305

 
$
50,402

Amounts allocated to withdrawing Members
 
(12
)
 
(11
)
Net assets available for benefits per Form 5500
 
$
60,293

 
$
50,391

The following is a reconciliation of benefits paid per the financial statements for the year ended December 31, 2017, to total benefit payments per Form 5500:
Benefits paid per the financial statements
$
3,850

Amounts allocated to withdrawing Members — December 31, 2017
12

Amounts allocated to withdrawing Members — December 31, 2016
(11
)
Amounts deemed distributions of Member loans as reflected in the Form 5500
(8
)
Total benefit payments per Form 5500
$
3,843

Amounts allocated to withdrawing Members 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.
Amounts deemed distributions of Member loans as reflected in the Form 5500 are for loans that Members failed to make a payment within 90 days of receipt of the last loan payment made, Members failed to repay the loan in full within 30 days after the end of the repayment period, or Members took a full distribution of their net account balance before the loan was paid off for the year ended December 31, 2017.
9.
RELATED-PARTY TRANSACTIONS
Certain Master Trust investments are managed by NT and SSBT. During 2017, NT and SSBT served as the trustees as defined by the Plan and, therefore, these transactions qualify as party-in-interest transactions.
As of December 31, 2017 and 2016, the Plan held approximately 34 million and 36 million shares of common stock of the Company, respectively, with a cost basis of $3,142 and $2,987, respectively, and recorded dividend income of $196 during the year ended December 31, 2017.
Newport Trust Company (“Newport”, formerly Evercore Trust Company, N.A.), is the independent fiduciary and investment manager of the Boeing Stock Fund. The Plan has authorized Newport with sole responsibility for deciding whether to restrict investment in the Boeing Stock Fund, or to sell or otherwise dispose of all or any portion of the stock held in the Boeing Stock Fund. In the event Newport determined to sell or dispose of stock in the Boeing Stock Fund, Newport would designate an alternative investment fund under the Plan for the temporary investment of any proceeds from the sale or other disposition of the Company’s common stock.

17
Table of Contents

10.
NONEXEMPT PARTY-IN-INTEREST TRANSACTIONS
Between January 1, 2002 and December 31, 2014, reportable nonexempt party-in-interest transactions occurred. Plan assets in excess of expenses were paid to the former trustee. This was corrected according to the guiding principles of the Department of Labor’s (“DOL’s”) Voluntary Fiduciary Correction Program (“VFCP”), which involved remitting the total principal amount of three hundred and seventy-six dollars and associated earnings in the amount of four hundred and forty-seven dollars to the Plan on October 31, 2016 and April 10, 2017.
On February 15, 2017, a reportable nonexempt party-in-interest transaction occurred. Employee contributions were not deposited into the Plan in a timely manner. This was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of one hundred thirty-four thousand five hundred and thirty-seven dollars on February 23, 2017 and associated earnings in the amount of one hundred and nineteen dollars on April 13, 2017 and April 20, 2017.
On January 31, 2017, a reportable nonexempt party-in-interest transaction occurred. Plan assets in excess of expenses were paid to a third-party provider. This was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of seven dollars and earnings in the amount of less than one dollar on November 17, 2017.
On March 28, 2017, a reportable nonexempt party-in-interest transaction occurred. Employee contributions were not deposited into the Plan in a timely manner. This was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of two hundred and twelve dollars on April 7, 2017 and associated earnings in the amount of less than one dollar on April 5, 2018.
Between July 27, 2009 and August 16, 2013, reportable nonexempt party-in-interest transactions occurred. Plan assets were inadvertently received by a third-party provider. This was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of thirteen thousand two hundred and twenty-nine dollars and associated earnings in the amount of one thousand eight hundred and thirteen dollars on September 28, 2016, August 15, 2017, and April 27, 2018.
On July 28, 2010, a reportable nonexempt party-in-interest transaction occurred. Plan assets in excess of expenses were paid to a third-party provider. This was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of two hundred dollars on February 1, 2018, and associated earnings in the amount of one hundred and eighty-five dollars on May 15, 2018.
On October 16, 2016, a reportable nonexempt party-in-interest transaction occurred. Plan assets were inadvertently received by a third-party provider. This was corrected according to the guiding principles of the DOL’s VFCP, which involved remitting the total principal amount of three hundred and three dollars on November 17, 2017 and associated earnings in the amount of thirty-three dollars to the Plan on May 15, 2018.
11.
TAX STATUS
The Internal Revenue Service (“IRS”) has determined and informed the Company by a letter, dated May 11, 2015, that the Plan is designed in accordance with applicable sections of the IRC. The Plan has been amended since receiving the determination letter. The Plan administrator believes that the Plan is designed and is currently being operated in compliance with the applicable requirements of the IRC. Therefore, the Plan administrator believes that the tax-exempt status of the Plan and related trust has not been affected and no provision for income taxes has been included in the Plan’s financial statements.
GAAP requires 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 IRS. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits for any tax periods in progress. The Plan administrator believes it is no longer subject to income tax examinations for years prior to 2014.

18
Table of Contents

12.
PLAN TERMINATION
Although it has not expressed any intention to do so, the Company has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions set forth in ERISA. In the event of termination of the Plan, both Members and employer contributions, including any income earned, will be distributed to the Members.


*  *  *  *  *  *

19
Table of Contents

SUPPLEMENTAL SCHEDULES

THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
FORM 5500, SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
AS OF DECEMBER 31, 2017
Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
1 800 FLOWERS COM INC CL A COM STK
**
$
39,312

1166 AVE OF THE 5.6896% DUE 10-13-2037
**
2,743,048

1ST CMNTY BANCSHARES INC NEV COM
**
53,007

1ST COMWLTH FNCL CORP COM LM
**
133,563

1ST CONSTITUTION BANCORP COM
**
20,867

1ST CTZNS BANCSHARES INC N C CL A
**
299,429

1ST HORIZON NATL CORP COM
**
4,328,534

1ST INDL RLTY TR INC COM
**
171,323

1ST INVS AUTO 3.6% DUE 04-17-2023
**
142,285

1ST SOURCE CORP COM
**
133,812

21ST CENTY FOX 3% DUE 09-15-2022
**
1,329,148

21ST CENTY FOX 3.7% DUE 10-15-2025
**
156,535

21ST CENTY FOX 4.5% DUE 02-15-2021
**
428,053

21ST CENTY FOX 6.15% DUE 02-15-2041
**
73,015

21ST CENTY FOX 6.9% DUE 03-01-2019
**
2,541,862

21ST CENTY FOX 7.25% DUE 05-18-2018
**
101,989

21ST CENTY FOX FIXED 5.65% DUE 08-15-2020
**
216,273

2U INC COM
**
2,301,910

3I GROUP ORD GBP0.738636
**
212,175

3M CO COM
**
12,354,336

5TH 3RD AUTO TR 1.42% DUE 03-16-2020
**
2,357,150

5TH 3RD AUTO TR 1.59% DUE 04-15-2020
**
967,900

5TH 3RD BK CIN OH 1.45% DUE 02-28-2018
**
3,481,043

5TH 3RD BK CIN OH 1.625% DUE 09-27-2019
**
3,311,324

5TH 3RD BK CIN OH 2.25% DUE 06-14-2021
**
594,264

5TH 3RD BK CIN OH 2.3% DUE 03-15-2019
**
588,445

A H BELO CORP COM SER A STK
**
9,346

AAC TECHNOLOGIES HOLDINGS INC
**
684,314

AALBERTS INDS EUR0.25
**
818,118

AAR CORP COM
**
55,006

AAREAL BANK AG NPV
**
1,024,160

AARON'S INC CLASS A
**
294,053

ABB LTD CHF0.12 (REGD)
**
1,674,497

ABBOTT LAB COM
**
21,031,608

ABBOTT LABS 2.35% DUE 11-22-2019
**
7,608,269

ABBOTT LABS 2.55% DUE 03-15-2022
**
197,936

ABBOTT LABS 2.9% DUE 11-30-2021
**
10,641,790

ABBOTT LABS 3.4% DUE 11-30-2023
**
3,346,924

ABBVIE INC 2.3% DUE 05-14-2021
**
4,963,465

ABBVIE INC 2.5% 05-14-2020
**
852,620

ABBVIE INC 2.85% DUE 05-14-2023
**
117,741


20
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ABBVIE INC 2.9% DUE 11-06-2022
**
24,580,272

ABBVIE INC 3.2% 11-06-2022
**
5,983,026

ABBVIE INC 3.6% 05-14-2025
**
1,763,150

ABBVIE INC COM USD0.01
**
6,916,216

ABBVIE INC FIXED 1.8% DUE 05-14-2018
**
7,375,107

ABBVIE INC FIXED 1.8% DUE 05-14-2018
**
9,945,134

ABERCROMBIE & FITCH CO CL A
**
150,037

ABIOMED INC COM
**
404,993

ABLYNX N.V. NPV
**
989,207

ABM INDS INC COM
**
228,395

ABN AMRO BK N V 2.45% DUE 06-04-2020
**
2,718,441

ABN AMRO BK N V 4.75% DUE 07-28-2025
**
424,600

ABN AMRO GROUP NV DR EACH REP SHS
**
1,589,957

ACACIA RESH CORP COM
**
18,095

ACADIA HEALTHCARE CO INC COM
**
2,114,489

ACADIA RLTY TR COM
**
3,133,869

ACCENTURE PLC SHS CL A NEW
**
27,999,549

ACCESS GROUP INC DEL 2005-A ASSET BKD CTF CL A-3 FLTG 07-25-2034 REG
**
5,800,923

ACCESS NATL CORP COM STK
**
11,470

ACCO BRANDS CORP COM
**
136,298

ACCREDITED MTG LN TR 2004-3 MTG PASSTHRUCTF CL 2A2 10-25-2034 REG
**
1,150,670

ACE INA HLDGS INC 2.3% DUE 11-03-2020
**
3,793,950

ACE INA HLDGS INC 2.7% DUE 03-13-2023
**
1,152,381

ACE INA HLDGS INC 2.875% DUE 11-03-2022
**
3,887,221

ACE INA HLDGS INC 3.35% DUE 05-03-2026
**
40,822

ACE SECS CORP HOME FLTG RT 1.08 DUE 11-25-2034
**
732,865

ACETO CORP COM
**
29,647

ACHAOGEN INC COM
**
487,596

ACHILLION PHARMACEUTICALS INC COM
**
38,399

ACI WORLDWIDE INC COM STK
**
2,761,206

ACORDA THERAPEUTICS INC COM
**
110,274

ACTAVIS FDG SCS 2.45% DUE 06-15-2019
**
264,996

ACTAVIS FDG SCS 3% DUE 03-12-2020
**
7,269,816

ACTAVIS FDG SCS 3.45% DUE 03-15-2022
**
5,801,668

ACTAVIS FDG SCS 3.85% DUE 06-15-2024
**
3,074,229

ACTAVIS FDG SCS FIXED 2.35% DUE 03-12-2018
**
300,238

ACTAVIS FDG SCS GTD NT FLTG RATE DUE 03-12-2020/02-12-2020 REG
**
101,448

ACTAVIS FUNDING SCS FIXED 3.8% DUE 03-15-2025
**
6,098,102

ACTAVIS INC 3.25% DUE 10-01-2022
**
1,484,560

ACTIVISION BLIZZARD INC COM STK
**
5,789,917

ACTUA CORPORATION COM USD0.001
**
97,422

ACTUANT CORP CL A NEW
**
141,123

ACUSHNET HLDGS CORP COM
**
11,109

ACXIOM CORP COM
**
6,623,329

ADAMS RES & ENERGY INC COM NEW COM NEW
**
13,355

ADARO ENERGY TBK IDR100
**
317,297

ADDUS HOMECARE CORP COM STK
**
63,336


21
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ADECCO GROUP AG CHF0.1 (REGD)
**
3,673,479

ADIDAS AG
**
1,575,431

ADIENT PLC ADIENT PLC LTD COM
**
1,885,652

ADOBE SYS INC COM
**
14,736,282

ADR 58 COM INC SPONSORED ADR REPSTG CL A
**
134,194

ADR ALIBABA GROUP HOLDING LTD SPONSORED ADS
**
25,607,407

ADR AMBEV SA SPONSORED ADR
**
4,915,156

ADR ASML HLDG NV NY REG 2012 (POST REV SPLIT)
**
13,892,737

ADR BAIDU INC SPONS REPR 0.10 ORD CLS'A'
**
4,516,740

ADR BANCO BRADESCO S A SPONSORED ADR REPSTG PFD SHS NEW 2004
**
995,062

ADR BANCO SANTANDER BRASIL S A ADS REPSTG 1 UNIT
**
241,402

ADR BANCO SANTANDER CHILE NEW SPONSORED ADR REPSTG COM
**
834,659

ADR COMPANHIA DE SANEAMENTO BASICO DO ESTADO DE SAO PAULO SABESP SPONSORED ADR
**
372,469

ADR COMPANIA CERVECERIAS UNIDAS S A SPONSORED ADR
**
59,900

ADR CTRIP COM INTL LTD ADS
**
327,398

ADR DANONE SPONSORED ADR
**
4,470,412

ADR EMBRAER S A SPONSORED ADR REPSTG 4 COM SHS
**
95,648

ADR ENEL AMERICAS S A SPONSORED ADR ENERSIS AMERICAS S.A
**
198,848

ADR GLAXOSMITHKLINE PLC SPONSORED ADR
**
8,764,637

ADR GRUPO FINANCIERO SANTANDER MEX S A BDE C V SPONSORED ADR REPSTG SHS SER B
**
98,897

ADR ITAU UNIBANCO HLDG SA SPONSORED ADR REPSTG 500 PFD PFD ADR
**
1,158,651

ADR JD COM INC SPONSORED ADR REPSTG COM CL A
**
579,797

ADR KERING S A ADR
**
6,794,084

ADR KT CORP SPONSORED ADR
**
57,148

ADR LATAM AIRLS GROUP S A SPONSORED ADR
**
122,862

ADR MATERIALISE NV SPONSORED ADS REPSTG SHS
**
593,404

ADR NESTLE S A SPONSORED ADR REPSTG REG SH
**
15,170,008

ADR NETEASE INC SPONSORED ADR ADR EACH REPR 25 COM STK USD0.0001
**
599,387

ADR NEW ORIENTAL ED & TECHNOLOGY GROUP INC SPONSORED ADR REPSTG COM
**
187,812

ADR NICE LTD SPONSORED ADR
**
2,996,266

ADR NOVARTIS AG
**
2,071,629

ADR RECKITT BENCKISER GROUP PLC SPONSORED ADR
**
5,022,556

ADR ROCHE HLDG LTD SPONSORED ADR ISIN #US771195104
**
1,783,133

ADR ROYAL DUTCH SHELL PLC SPONSORED ADR REPSTG A SHS
**
5,250,544

ADR SOCIEDAD QUIMICA Y MINERA DE CHILE SA SPONSORED ADR REPSTG SER B SHS
**
150,028

ADR SPONSORED ADR
**
120,934

ADR TAL ED GROUP ADS REPSTG COM SHS ADR
**
129,595

ADR TATA MTRS LTD SPONSORED ADR
**
122,359

ADR VALE S A ADR
**
822,186

ADR VIPSHOP HLDGS LTD SPONSORED ADR
**
72,254

ADR VODAFONE GROUP PLC NEW SPONSORED ADRNO PAR
**
16,785,780

ADR WEIBO CORP SPONSORED ADR
**
111,633

ADR WNS HLDGS LTD SPONSORED ADR
**
6,597,131

ADTALEM GLOBAL ED INC COM
**
3,959,386

ADTRAN INC COM
**
2,770,881

ADVANCE AUTO PTS 4.5% DUE 12-01-2023
**
26,284

ADVANCE AUTO PTS INC COM
**
1,358,276


22
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ADVANCED DISP SVCS INC DEL COM
**
444,255

ADVANTECH CO LTD TWD10
**
680,540

ADVENTIST HLTH 3.378% DUE 03-01-2023
**
3,914,384

ADVERUM BIOTECHNOLOGIES INC COM
**
14,700

AECOM
**
3,396,662

AEGION CORP 10
**
86,004

AEGON NV COM STK EUR0.12
**
1,082,056

AEON FINANCIAL SERVICE CO LTD NPV
**
750,275

AEON MALL CO LTD NPV
**
31,312

AEP TRANSM CO LLC 3.1% DUE 12-01-2026
**
761,509

AERCAP HOLDINGS N.V. EUR0.01
**
2,972,465

AERCAP IRELAND CAP 3.5% 01-15-2025
**
495,622

AERCAP IRELAND CAP 3.65% DUE 07-21-2027
**
200,902

AERCAP IRELAND CAP 3.95% DUE 02-01-2022
**
1,030,646

AERCAP IRELAND CAP 4.25% DUE 07-01-2020
**
1,660,264

AERCAP IRELAND CAP 4.5% DUE 05-15-2021
**
210,044

AERCAP IRELAND CAP 4.625% DUE 10-30-2020
**
733,797

AEROVIRONMENT INC COM
**
78,736

AETNA INC 2.75% DUE 11-15-2022
**
792,253

AETNA INC NEW 2.2% DUE 03-15-2019
**
964,372

AETNA INC NEW 2.8% DUE 06-15-2023
**
296,238

AETNA INC NEW 6.75% DUE 12-15-2037
**
123,433

AFLAC INC 2.4% DUE 03-16-2020
**
1,000,830

AFRICAN DEV BK GLOBAL MEDIUM TERM SR 02/12/2015 1.375% 02-12-2020 REG
**
14,789,295

AGCO CORP COM
**
613,869

AGEAS NPV
**
1,356,403

AGILYSYS INC COM STK
**
24,904

AGL CAP CORP 3.5% DUE 09-15-2021
**
235,232

AGL CAP CORP 5.875% DUE 03-15-2041
**
31,023

AGL ENERGY NPV
**
572,088

AGREE RLTY CORP COM
**
3,062,943

AGRICULTURAL BANK OF CHINA CMN STK
**
87,439

AGRIUM INC RT 4.125% DUE 03-15-2035
**
10,331

AGRIUM INC 3.5% DUE 06-01-2023
**
641,184

AGRIUM INC 5.25% DUE 01-15-2045
**
244,328

AGRIUM INC 6.75% DUE 01-15-2019
**
287,423

AGRIUM INC COM NPV
**
230,783

AGROFRESH SOLUTIONS INC COM
**
27,558

AIA GROUP LTD NPV
**
14,379,083

AIG GLOBAL FDG SR 2.15% DUE 07-02-2020
**
5,218,373

AIG GLOBAL FDG SR 2.7% DUE 12-15-2021
**
599,693

AIR INDS GROUP INC COM NEW COM NEW
**
1,727

AIR LEASE CORP 2.125% DUE 01-15-2020
**
5,000,033

AIR LEASE CORP 2.625% DUE 07-01-2022
**
7,763,865

AIR LEASE CORP 3% DUE 09-15-2023
**
53,582

AIR LEASE CORP 3.375% DUE 01-15-2019
**
302,906

AIR LEASE CORP 3.625% 12-01-2027
**
74,923


23
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
AIR LEASE CORP CL A CL A
**
700,527

AIR LIQUIDE(L') EUR5.50
**
13,218,450

AIR TRANS SVCS GROUP INC COM STK
**
69,999

AIRASIA BHD MYR0.1
**
457,078

AISIN SEIKI CO NPV
**
1,163,370

AKELIUS RESDNTL 3.375% 23/09/2020
**
389,595

AKER SOLUTIONS ASA
**
327,392

AKSA TRY1
**
625,972

AKZO NOBEL NV EUR2
**
8,646,907

AL ECON SETTLEMENT AUTH BP SETTLEMENT REV 3.163 09-15-2025 BEO TAXABLE
**
808,912

ALABAMA PWR CO 2.45% DUE 03-30-2022
**
79,498

ALABAMA PWR CO 3.375% DUE 10-01-2020
**
307,427

ALABAMA PWR CO 5.125% DUE 02-15-2019
**
25,732

ALAMO GROUP INC COM
**
138,830

ALAMOS GOLD INC COM NPV
**
466,934

ALAMOS GOLD INC NEW COM CL A COM CL A
**
53,382

ALASKA AIR GROUP INC COM
**
2,942,973

ALBA PLC FLT 15/12/2038
**
523,732

ALBANY INTL CORP NEW CL A
**
200,020

ALBEMARLE CORP COM
**
7,201,614

ALBERTA PROV CDA PROVINCIAL 1.25% 01/06/2020
**
392,905

ALEXANDER & BALDWIN INC
**
126,328

ALEXANDRIA REAL 2.75 DUE 01-15-2020
**
401,685

ALEXANDRIA REAL ESTATE EQUITIES INC COM
**
3,026,031

ALEXION PHARMACEUTICALS INC COM
**
5,244,619

ALFA LAVAL AB NPV
**
159,341

ALFRESA HOLDINGS NPV
**
107,989

ALIBABA GROUP HLDG 2.8% DUE 06-06-2023
**
3,280,633

ALICO INC COM
**
21,152

ALLEGHENY TECHNOLOGIES INC COM
**
159,879

ALLEGIANCE BANCSHARES INC COM
**
32,831

ALLEGIANT TRAVEL CO COM
**
3,559,250

ALLEGION US HLDG CO INC 3.2% 10-01-2024
**
988,250

ALLERGAN INC 2.8% DUE 03-15-2023
**
133,540

ALLERGAN PLC. COM STK
**
18,061,849

ALLIANCE ONE INTL INC COM NEW COM NEW
**
18,378

ALLIANZ SE NPV(REGD)(VINKULIERT)
**
2,665,539

ALLIED PROPS REAL TRUST UNITS
**
375,343

ALLSCRIPTS HEALTHCARE SOLUTIONS INC
**
1,943,487

ALLSTATE CORP 6.75% DUE 05-15-2018
**
203,212

ALLY AUTO 1.35% DUE 05-15-2020
**
1,653,939

ALLY AUTO 1.53% DUE 04-15-2019
**
666,349

ALLY AUTO 1.59% DUE 04-15-2020
**
9,148,114

ALLY AUTO 1.81% DUE 06-15-2020
**
8,035,135

ALLY AUTO RECEIVABLES SER 15-1 A3 1.39% 09-16-2019
**
525,796

ALLY AUTO RECEIVABLES TR 2017-2 CL A3 1.78% DUE 08-16-2021
**
2,524,700

ALLY AUTO RECEIVABLES TR 2017-2 CL A4 2.1% 03-15-2022 REG
**
1,294,618


24
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ALLY AUTO RECEIVABLES TR 2017-4 CL A-3 1.75% 12-15-2021 REG
**
743,999

ALLY AUTO RECEIVABLES TR SER 17-3 CL A4 2.01%03-15-2022
**
3,029,071

ALLY AUTO RECEIVABLES TRUST SER 2017-2 CLS C 2.46% DUE 09-15-2022
**
149,039

ALLY AUTO RECEIVABLES TRUST SER 2017-2 CLS D 2.93% DUE 11-15-2023
**
139,840

ALLY AUTO RECEIVABLES TRUST SR 2017-2 CL B 2.33% DUE 06-15-2022
**
199,076

ALLY FINL INC 3.25% DUE 02-13-2018
**
300,150

ALLY FINL INC 3.5 DUE 01-27-2019 REG
**
201,000

ALLY FINL INC 3.6% DUE 05-21-2018
**
3,911,700

ALLY FINL INC 3.75% DUE 11-18-2019
**
101,260

ALLY FINL INC 4.75% DUE 09-10-2018
**
405,000

ALMOST FAMILY INC COM
**
87,951

ALPHA & OMEGA SEMICONDUCTOR LTD COM STK
**
43,599

ALPHABET INC CAP STK USD0.001 CL C
**
27,543,341

ALPHABET INC CAPITAL STOCK USD0.001 CL A
**
41,048,891

ALTEN NPV
**
1,340,887

ALTERRA FIN LLC 6.25% DUE 09-30-2020
**
744,670

ALTRIA GROUP INC 2.85 DUE 08-09-2022 REG
**
432,822

ALTRIA GROUP INC 4 DUE 01-31-2024 REG
**
2,593,854

ALTRIA GROUP INC 4.75% DUE 05-05-2021
**
3,769,419

ALTRIA GROUP INC 9.25% DUE 08-06-2019
**
4,306,000

ALTRIA GROUP INC COM
**
4,152,920

ALUMINUM CORP CHN 'H'CNY1
**
266,339

ALVIVA HOLDINGS ZAR0.01
**
164,363

AMADA HOLDINGS CO LTD NPV
**
189,033

AMADEUS IT GROUP EUR0.01
**
10,686,921

AMAG PHARMACEUTICALS INC COM STK
**
6,453

AMAZON COM INC 4.8% DUE 12-05-2034
**
6,044,710

AMAZON COM INC COM
**
24,805,628

AMBAC FINL GROUP INC COM
**
63,872

AMC ENTMT HLDGS INC CL A COM CL A COM
**
76,451

AMDOCS ORD GBP0.01
**
5,376,628

AMER MOVIL SAB DE 5% DUE 03-30-2020
**
84,315

AMER MOVIL SAB DE C V SPONSORED ADR REPSTG SER L SHS
**
801,917

AMER NATL INS CO COM
**
341,786

AMER SPORTS CORP SER'A'NPV
**
1,876,655

AMERCO COM
**
473,521

AMEREN CORP 2.7% DUE 11-15-2020
**
381,254

AMERESCO INC
**
24,682

AMERICAN AIRLS INC 3% DUE 04-15-2030
**
104,555

AMERICAN ASSETS TR INC COM
**
3,161,186

AMERICAN AXLE & MFG HLDGS INC COM
**
188,233

AMERICAN CAMPUS CMNTYS INC COM
**
328,855

AMERICAN EAGLE OUTFITTERS INC NEW COM
**
266,885

AMERICAN EQUITY INVT LIFE HLDG CO COM
**
256,841

AMERICAN EXPRESS CO
**
9,921,069

AMERICAN EXPRESS CO 1.55 BDS DUE 05-22-2018 USD1000 REG
**
5,992,980

AMERICAN EXPRESS CR A/C MASTER SER 2017-1 CL B 2.1% 09-15-2022 REG
**
4,126,789


25
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
AMERICAN EXPRESS CR A/C MASTER SER 2017-1 CLS A 1.93% 09-15-2022
**
24,037,770

AMERICAN EXPRESS CR ACCOUNT MASTER TR SER 2017-6 CL A 0.0% 05-15-2023
**
5,769,082

AMERICAN EXPRESS CR CORP FLTG RT DUE 11-05-2018
**
7,115,245

AMERICAN EXPRESS CR CORP MEDIUM TERM NTS 2.25% DUE 05-05-2021
**
848,253

AMERICAN EXPRESS CR CORP MEDIUM TERM NTSTRANCHE # TR 00102 VAR RT DUE 03-03-2020
**
5,486,870

AMERICAN EXPRESS CR CORP MEDIUM TERM NTSTRANCHE # TR 00103 2.7% DUE 03-03-2022
**
195,633

AMERICAN EXPRESS CR CORP TRANCHE # TR 00106 1.875% 05-03-2019
**
4,143,281

AMERICAN EXPRESS CREDIT MTN 2.2% DUE 03-03-2020
**
10,119,276

AMERICAN EXPRESS CREDIT 2.25 DUE 08-15-2019 REG
**
551,149

AMERICAN HOMES 4 RENT COMMON STOCK
**
300,802

AMERICAN HONDA FIN CORP MED TERM NTS BOO FLTG RT DUE 11-05-2021
**
500,368

AMERICAN HONDA FIN CORP MED TERM NTS BOOK ENTRY FLTG RT 02-22-2019
**
1,870,293

AMERICAN HONDA FINANCE MEDTERM NTS 2.0% 02-14-2020
**
3,123,914

AMERICAN INTERNATIONAL GROUP INC COM
**
29,932,992

AMERICAN INTL GROUP INC 4.125 DUE 02-15-2024
**
379,320

AMERICAN MUN PWR OHIO INC REV 7.334% 02-15-2028 BEO TAXABLE
**
255,772

AMERICAN NATL BANKSHARES INC COM
**
31,406

AMERICAN PUB ED INC COM STK
**
45,040

AMERICAN RAILCAR INDS INC COM STK
**
85,362

AMERICAN TOWER CORP 3.6% 01-15-2028
**
397,648

AMERICAN VANGUARD CORP COM
**
64,157

AMERICAN WTR WKS CO INC NEW COM
**
3,284,491

AMERICAS CAR-MART INC COM
**
49,338

AMERICREDIT 1.27% DUE 01-08-2020
**
337,765

AMERICREDIT 1.34% DUE 04-08-2020
**
1,836,383

AMERICREDIT 1.6% DUE 07-08-2019
**
77,235

AMERICREDIT 1.81% DUE 10-08-2020
**
878,939

AMERICREDIT 1.83% DUE 05-18-2021
**
3,587,963

AMERICREDIT 1.9% DUE 03-18-2022
**
1,451,419

AMERICREDIT 1.98000001907% DUE 12-20-2021
**
5,478,264

AMERICREDIT 2.69% DUE 06-19-2023
**
625,597

AMERICREDIT AUTOMOBILE RECEIVABLES SER 17-1 CLS B 2.3% DUE 02-18-2022
**
64,885

AMERICREDIT AUTOMOBILE RECEIVABLES SER 17-1 CLS C 2.71% DUE 08-18-2022
**
54,952

AMERICREDIT AUTOMOBILE RECEIVABLES TRUST SER 17-1 CL A2A 1.51% 05-18-2020
**
1,315,722

AMERICREDIT CDA AUTOMOBILE SER 17-1 CLS D 3.13% DUE 01-18-2023
**
78,139

AMERICREDIT FLTG RT 2.115% DUE 11-08-2019
**
1,371,534

AMERIPRISE FINL 4% DUE 10-15-2023
**
159,628

AMERIPRISE FINL 5.3% DUE 03-15-2020
**
297,016

AMERIPRISE FINL INC COM
**
454,010

AMERIS BANCORP COM
**
89,266

AMERN AIRLINES INC 3.7% DUE 10-01-2026
**
216,595

AMERN AIRLS 2013-2 FIXED 4.95% DUE 07-15-2024
**
2,930,651

AMERN AIRLS 2017-1 3.65% DUE 08-15-2030
**
61,308

AMERN CAMPUS 4.125% DUE 07-01-2024
**
1,041,583

AMERN CR ACCEP 2.8599998951% DUE 06-12-2023
**
313,843

AMERN CR ACCEP 3.69000005722% DUE 06-12-2023
**
192,253

AMERN ELEC PWR CO 2.15% DUE 11-13-2020
**
447,903


26
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
AMERN EXPRESS CO 2.2% DUE 10-30-2020
**
2,499,326

AMERN EXPRESS CO 2.65 DUE 12-02-2022
**
3,263,136

AMERN EXPRESS CO 3.625% DUE 12-05-2024
**
28,810

AMERN EXPRESS CO 8.125% DUE 05-20-2019
**
183,462

AMERN EXPRESS CO FIXED 2.5% DUE 08-01-2022
**
7,631,759

AMERN EXPRESS CR 3.3% DUE 05-03-2027
**
81,182

AMERN EXPRESS CR A/C MASTER TR 2013-2 AST BACKED CTF CL A FLTG RATE 5-17-21REG
**
6,517,368

AMERN EXPRESS CR FLTG RT 2.25947% DUE 05-17-2021
**
3,011,319

AMERN HONDA FIN 2% MTN 11-13-2019
**
5,352,929

AMERN HONDA FIN 2.125% DUE 10-10-2018
**
300,473

AMERN HONDA FIN 2.25% DUE 08-15-2019
**
1,607,399

AMERN HONDA FIN 2.3% DUE 09-09-2026
**
27,449

AMERN HONDA FIN 2.45% DUE 09-24-2020
**
712,313

AMERN HONDA FIN FLTG RT 1.464283% DUE 01-22-2019
**
10,678,966

AMERN INTL GROUP 2.3% DUE 07-16-2019
**
869,348

AMERN INTL GROUP 3.3% DUE 03-01-2021
**
8,330,741

AMERN INTL GROUP 4.875% DUE 06-01-2022
**
777,477

AMERN INTL GROUP INC MEDIUM TERM NTS TRANCHE # TR 00079 5.85 DUE 01-16-2018
**
280,350

AMERN TOWER CORP 2.25% DUE 01-15-2022
**
5,488,276

AMERN TOWER CORP 3.125% DUE 01-15-2027
**
2,984,513

AMERN TOWER CORP 4.4% DUE 02-15-2026
**
841,268

AMERN TOWER CORP 5% DUE 02-15-2024
**
14,981,334

AMERN TOWER CORP 5.05% DUE 09-01-2020
**
848,229

AMERN TOWER CORP FIXED 2.8% DUE 06-01-2020
**
4,139,630

AMERN TOWER CORP FIXED 4% DUE 06-01-2025
**
93,260

AMERN WTR CAP CORP 2.95% DUE 09-01-2027
**
6,333,830

AMERN WTR CAP CORP 3% DUE 12-01-2026
**
152,975

AMERN WTR CAP CORP 4.3% DUE 12-01-2042
**
7,722

AMERN WTR CAP CORP FIXED 3.4% DUE 03-01-2025
**
11,336

AMGEN INC 1.85% DUE 08-19-2021
**
4,874,190

AMGEN INC 2.2 DUE 05-22-2019
**
200,041

AMGEN INC 2.6% DUE 08-19-2026
**
6,774,525

AMGEN INC 2.65% DUE 05-11-2022
**
3,989,236

AMGEN INC 3.45% DUE 10-01-2020
**
3,391,219

AMGEN INC 3.625 BDS DUE 05-15-2022 USD1000
**
496,944

AMGEN INC 3.625% DUE 05-22-2024
**
1,002,624

AMGEN INC 3.875 DUE 11-15-2021
**
2,247,152

AMGEN INC 4.1% DUE 06-15-2021
**
172,348

AMGEN INC 6.15% DUE 06-01-2018
**
330,438

AMGEN INC FLTG RT 1.72981% DUE 05-10-2019
**
2,333,800

AMGEN INC SR NT 5.7 DUE 02-01-2019 BEO
**
25,949

AMKOR TECHNOLOGY INC COM
**
236,436

AMOREPACIFIC GROUP KRW500
**
65,605

AMPCO-PITTSBURG CORP COM
**
12,710

AMPHASTAR PHARMACEUTICALS INC DEL COM
**
64,781

AMPHENOL CORP NEW 2.2% DUE 04-01-2020
**
3,612,061

AMPHENOL CORP NEW CL A
**
2,144,164


27
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
AMTECH SYS INC COM PAR $0.01 NEW STK
**
15,105

AMTRUST FINL SVCS INC COM
**
128,654

ANA HOLDINGS INC NPV
**
638,680

ANADARKO PETE CORP 3.45% DUE 07-15-2024
**
129,462

ANADARKO PETE CORP 5.55% DUE 03-15-2026
**
1,492,239

ANADARKO PETE CORP 6.45% DUE 09-15-2036
**
220,466

ANADARKO PETE CORP 8.7% DUE 03-15-2019
**
8,427,343

ANALOG DEVICES INC 3.125% DUE 12-05-2023
**
25,051

ANALOG DEVICES INC COM
**
2,634,754

ANALOGIC CORP COM PAR $0.05
**
1,728,851

ANAPTYSBIO INC COM
**
811,400

ANDEAVOR COM USD0.1666
**
7,054,778

ANDEAVOR LOGISTICS LP & TESORO LOGISTICS3.5% DUE 12-01-2022
**
788,501

ANDERSONS INC COM
**
86,192

ANGIODYNAMICS INC COM STK
**
71,792

ANGLO AMERN CAP 4% DUE 09-11-2027
**
387,394

ANHEUSER BUSCH 5% DUE 04-15-2020
**
1,289,209

ANHEUSER BUSCH 7.75% DUE 01-15-2019
**
396,042

ANHEUSER BUSCH COS 5% DUE 03-01-2019
**
618,818

ANHEUSER BUSCH GTD NT 5.375 DUE 01-15-2020
**
2,837,664

ANHEUSER-BUSCH 1.9% DUE 02-01-2019
**
10,666,959

ANHEUSER-BUSCH 2.2% DUE 08-01-2018
**
600,632

ANHEUSER-BUSCH 2.65% DUE 02-01-2021
**
24,180,733

ANHEUSER-BUSCH 3.3% DUE 02-01-2023
**
3,208,024

ANHEUSER-BUSCH 3.65% DUE 02-01-2026
**
933,940

ANHEUSER-BUSCH 4.7% DUE 02-01-2036
**
167,722

ANHEUSER-BUSCH INBEV FIN INC 2.15 DUE 02-01-2019 REG
**
2,002,296

ANI PHARMACEUTICALS INC COM
**
47,886

ANIKA THERAPEUTICS INC COM STK
**
58,169

ANIXTER INTL INC COM
**
255,740

ANTA SPORTS PRODUC HKD0.10
**
748,036

ANTERO RES CORP COM
**
512,658

ANTHEM INC 2.95% 12-01-2022
**
740,310

ANTHEM INC 3.35% DUE 12-01-2024
**
836,981

ANTHEM INC 3.65% 12-01-2027
**
764,496

ANTHEM INC COM
**
10,417,963

ANTHEM INC FIXED 2.5% 11-21-2020
**
5,680,115

ANTOFAGASTA ORD GBP0.05
**
192,497

AON CORP 5% DUE 09-30-2020
**
5,430,995

AON PLC 3.875% DUE 12-15-2025
**
67,961

AON PLC 4.25% DUE 12-12-2042
**
65,793

AON PLC COM
**
15,723,962

AOZORA BANK NPV
**
171,326

APACHE CORP 3.25 DUE 04-15-2022 REG
**
10,391,902

APACHE CORP 5.1% DUE 09-01-2040
**
95,885

APACHE CORP COM
**
14,405,464

APOGEE ENTERPRISES INC COM
**
83,457


28
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
APPLE HOSPITALITY REIT INC COM NEW COM NEW
**
256,871

APPLE INC 1.55% DUE 08-04-2021
**
485,761

APPLE INC 1.8% 11-13-2019
**
17,779,958

APPLE INC 1.8% DUE 05-11-2020
**
5,711,219

APPLE INC 1.9% DUE 02-07-2020
**
5,639,984

APPLE INC 2% 11-13-2020
**
6,111,138

APPLE INC 2.1% DUE 05-06-2019
**
696,596

APPLE INC 2.15% DUE 02-09-2022
**
178,646

APPLE INC 2.3% DUE 05-11-2022
**
273,077

APPLE INC 2.4% DUE 05-03-2023
**
148,456

APPLE INC 2.45% DUE 08-04-2026
**
5,674,006

APPLE INC 2.85% DUE 05-06-2021
**
6,055,616

APPLE INC 2.85% DUE 05-11-2024
**
266,187

APPLE INC 2.9% DUE 09-12-2027
**
4,347,882

APPLE INC 3% DUE 02-09-2024
**
179,247

APPLE INC 3.35% DUE 02-09-2027
**
3,892,621

APPLE INC 3.45% DUE 05-06-2024
**
388,883

APPLE INC 3.75% DUE 09-12-2047
**
3,074,397

APPLE INC 3.85% DUE 08-04-2046
**
95,880

APPLE INC BNDS 2.75% DUE 01-13-2025 REG
**
99,130

APPLE INC COM STK
**
21,650,440

APPLIED INDL TECHNOLOGIES INC COM
**
29,079

APPLIED MATERIALS INC COM
**
13,845,801

APPLIED OPTOELECTRONICS INC COM
**
12,859

APT PIPELINES LTD 4.25% DUE 07-15-2027
**
135,565

APTARGROUP INC COM
**
4,831,680

APTEVO THERAPEUTICS INC COM
**
7,602

APTIV PLC COM USD
**
7,822,174

ARC DOCUMENT SOLUTIONS INC COM
**
15,155

ARCA CONTINENTAL SAB DE CV
**
101,433

ARCADIS NV COMSTK
**
612,020

ARCBEST CORP COM USD0.01
**
91,592

ARCH CAP FIN LLC 4.011% DUE 12-15-2026
**
713,170

ARCH CAPITAL GROUP COM STK
**
4,335,448

ARCH COAL INC CL A COM STK
**
175,793

ARCHER-DANIELS-MIDLAND CO COM
**
3,740,426

ARCHROCK INC COM
**
2,347,128

ARCOS DORADOS HOLDINGS INC COM NPV CL 'A'
**
902,768

ARDMORE SHIPPING CORP
**
17,600

ARGAN INC COM
**
52,110

ARGENT SECS INC 2003-W3 ASSET BKD CTF M-1 FLTG 09-25-2033 REG
**
289,127

ARGENT SECS INC FLTG RT 2.46135% DUE 04-25-2034
**
678,288

ARGENT SECS INC FLTG RT 2.61135% DUE 11-25-2034
**
2,599,572

ARGENTINA(REP OF) FRN 04/2022 ARS1
**
51,437

ARGENTINA(REP OF) FRN 22/06/20 ARS1
**
156,673

ARGO GROUP INTERNATIONAL HOLDINGS COM STK
**
189,574

ARI FLEET LEASE TR 2.27999997139% DUE 04-15-2026
**
1,988,626


29
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ARISTA NETWORKS INC COM
**
15,247,916

ARISTOCRAT LEISURE NPV
**
946,754

ARIZONA PUB SVC CO 2.2% DUE 01-15-2020
**
136,596

ARIZONA PUB SVC CO 4.5% DUE 04-01-2042
**
28,209

ARKEMA EUR10
**
164,790

ARMSTRONG FLOORING INC COM
**
44,669

AROTECH CORP COM NEW STK
**
10,075

ARRIS INTERNATIONAL LTD COM USD0.01
**
5,677,490

ARROW ELECTR INC COM
**
821,308

ARROW ELECTRS INC 3% DUE 03-01-2018
**
265,336

ARROW ELECTRS INC FIXED 3.25% DUE 09-08-2024
**
1,175,862

ARROW ELECTRS INC FIXED 3.875% DUE 01-12-2028
**
17,946

ARROW FINL CORP COM
**
45,120

ARTISAN PARTNERS ASSET MGMT INC CL A CL A
**
1,012,504

ARVIND LTD INR10
**
977,494

ASAHI GROUP HOLDINGS LTD NPV
**
679,383

ASAHI KASEI CORP NPV
**
353,046

ASCENA RETAIL GROUP INC COM
**
38,855

ASCENDAS R/EST INV NPV (REIT)
**
164,609

ASCENT CAP GROUP INC COM SER A STK
**
20,762

ASHFORD HOSPITALITY PRIME INC COM
**
16,210

ASHFORD HOSPITALITY TR INC COM SHS
**
50,589

ASHLAND GLOBAL HLDGS INC COM
**
333,430

ASHMORE GROUP ORD GBP0.0001
**
494,846

ASHOK LEYLAND INR1
**
35,667

ASHTEAD GROUP ORD GBP0.10
**
2,056,653

ASIAN DEV BK GLOBAL NT 1.5% DUE 01-22-2020 REG
**
15,867,891

ASM PACIFIC TECH HKD0.10
**
27,802

ASML HOLDING NV EUR0.09
**
1,382,579

ASPEN INSURANCE HLDGS COM
**
266,336

ASR NEDERLAND NV 10.0% DUE 29/08/2049
**
425,233

ASSOCD BRIT FOODS ORD GBP0.0568
**
692,089

ASSOCTD BANC-CORP COM
**
406,832

ASSURANT INC COM
**
734,418

ASSURED GUARANTY LTD COMMON STK
**
2,560,707

AST BACKED SECS FLTG RT 2.45203% DUE 12-15-2033
**
1,466,482

ASTA FDG INC COM
**
1,154

ASTEC INDS INC COM
**
140,634

ASTELLAS PHARMA NPV
**
2,096,147

ASTRA INTL IDR50
**
41,200

ASTRAZENECA ORD USD0.25
**
974,741

ASTRAZENECA PLC 1.95% DUE 09-18-2019
**
4,392,088

ASTRAZENECA PLC 3.375% DUE 11-16-2025
**
7,218,343

ASTRONICS CORP COM
**
46,115

ASTRONOVA INC COMMON STOCK
**
11,494

ASURE SOFTWARE INC COM
**
13,343

ASX LTD NPV
**
129,509


30
Table of Contents


Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

AT HOME GROUP INC COM
**
36,650

AT&T INC 1.75% DUE 01-15-2018
**
409,884

AT&T INC 1.8% DUE 09-04-2026
**
729,486

AT&T INC 2.3% DUE 03-11-2019
**
10,811,545

AT&T INC 2.375 DUE 11-27-2018
**
3,911,954

AT&T INC 2.45% DUE 06-30-2020
**
16,661,752

AT&T INC 2.85% DUE 02-14-2023
**
2,284,020

AT&T INC 3% DUE 06-30-2022
**
1,116,980

AT&T INC 3.15% DUE 09-04-2036
**
614,795

AT&T INC 3.4% DUE 05-15-2025
**
16,158,070

AT&T INC 3.4% DUE 08-14-2024
**
8,041,072

AT&T INC 3.8% DUE 03-15-2022
**
2,221,993

AT&T INC 3.875% DUE 08-15-2021
**
41,441

AT&T INC 3.9% DUE 08-14-2027
**
704,677

AT&T INC 3.95% DUE 01-15-2025
**
532,409

AT&T INC 4.125% DUE 02-17-2026
**
3,682,282

AT&T INC 4.25% DUE 03-01-2027
**
1,121,359

AT&T INC 4.45% DUE 04-01-2024
**
740,468

AT&T INC 4.9% DUE 08-14-2037
**
1,974,560

AT&T INC 5.25% DUE 03-01-2037
**
7,720,655

AT&T INC 5.45% DUE 03-01-2047
**
4,339,214

AT&T INC 5.5% DUE 02-01-2018
**
2,029,797

AT&T INC 5.8% DUE 02-15-2019
**
13,055,731

AT&T INC 6.375% DUE 03-01-2041
**
94,368

AT&T INC FLTG RT 2.37152% DUE 01-15-2020
**
402,384

AT&T INC FLTG RT 2.67152% DUE 07-15-2021
**
1,621,926

ATCO LTD CLASS I NON-VOTING COM NPV
**
115,934

ATHENE GLOBAL FDG 2.75% DUE 04-20-2020
**
4,522,278

ATHENE GLOBAL FDG 3% DUE 07-01-2022
**
643,352

ATLANTIC CAP BANCSHARES INC COM MON STOCK
**
41,008

ATLAS AIR WORLDWIDE HLDGS INC COM NEW STK
**
162,930

ATLAS COPCO AB SER'B'NPV (POST SPLIT)
**
148,452

ATLAS FINANCIAL HLDGS INC COM
**
16,440

ATLASSIAN CORPORATION PLC COM USD0.1 CL A
**
3,414,000

ATMOS ENERGY CORP 4.125% DUE 10-15-2044
**
105,925

ATMOS ENERGY CORP 8.5% DUE 03-15-2019
**
204,244

ATN INTL INC COM
**
113,228

ATOS SE
**
3,030,646

ATRESMEDIA CORP EUR0.75
**
812,533

ATRIUM EURP R/EST NPV (REGD)
**
463,088

AU OPTRONICS CORP TWD10
**
198,400

AUBURN SECS 4 FRN M/BKD 10/2041 GBP 'A2'
**
24,365

AUBURN SECS 5 FRN M/BKD 12/2041 GBP 'A2'
**
556,098

AURIZON HOLDINGS NPV
**
638,465

AUST & NZ BANK GRP NPV
**
2,482,514

AUST & NZ BKG GRP NY MTN 1.5% 01-16-2018
**
249,957


31
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

AUSTRALIA & NEW 2.05% DUE 09-23-2019
**
9,964,550

AUSTRALIA & NEW 2.125% DUE 08-19-2020
**
2,773,023

AUSTRALIA & NEW 2.25% DUE 06-13-2019
**
5,201,353

AUTOCANADA INC COM STK
**
722,792

AUTONATION INC 3.35% DUE 01-15-2021
**
304,369

AUTONATION INC 3.5% 11-15-2024
**
49,455

AUTONATION INC COM
**
488,713

AUTOZONE INC 2.5% DUE 04-15-2021
**
1,077,436

AUTOZONE INC 4% DUE 11-15-2020
**
2,667,323

AV HOMES INC COM
**
34,466

AVALONBAY 2.9% DUE 10-15-2026
**
65,212

AVALONBAY CMNTYS 3.35% DUE 05-15-2027
**
60,464

AVALONBAY CMNTYS 3.45% DUE 06-01-2025
**
819,867

AVALONBAY COMMUNITIES INC 3.625 DUE 10-01-2020 REG
**
5,147,060

AVANGRID INC 3.15% 12-01-2024
**
303,404

AVEXIS INC COM
**
979,651

AVIATION CAP GROUP 7.125% DUE 10-15-2020
**
345,527

AVIS BUDGET RENT 2.5% DUE 07-20-2021
**
3,396,461

AVIS BUDGET RENT 2.63% DUE 12-20-2021
**
4,092,300

AVNET INC COM
**
549,133

AVX CORP COM
**
271,921

AXALTA COATING SYSTEMS LTD COM USD1.00
**
3,019,188

AXCELIS TECHNOLOGIES INC COM NEW COM NEW
**
80,159

AXIS CAPITAL HOLDINGS LTD COM USD0.0125
**
343,728

AXIS SPECIALTY FIN 2.65% DUE 04-01-2019
**
2,491,648

AXIS SPECIALTY FIN 5.875% DUE 06-01-2020
**
899,031

AXT INC COM
**
40,507

AYALA LAND INC PHP1
**
119,087

AYGAZ TRY1
**
309,177

AZBIL CORP NPV
**
1,874,467

AZZ INC COM
**
84,571

B & G FOODS INC COMMON STOCK
**
142,463

B & M EUROPEAN VALUE RETAIL SA ORD GBP0.1
**
822,240

B A T CAP CORP 2.297% DUE 08-14-2020
**
8,244,397

B A T CAP CORP 2.764% DUE 08-15-2022
**
30,502,971

B A T CAP CORP NT FLTG 144A DUE 08-14-2020 BEO
**
502,692

B2R MTG TR 2015-2 3.336% DUE 11-15-2048
**
210,439

BA CR CARD TR 1.36% DUE 09-15-2020
**
4,340,307

BABCOCK & WILCOX ENTERPRISES INC COM
**
37,397

BAE SYSTEMS ORD GBP0.025
**
178,573

BAJAJ AUTO LTD INR10
**
439,540

BAKER HUGHES A GE 2.773% DUE 12-15-2022
**
3,315,833

BAKER HUGHES INC 3.2 DUE 08-15-2021
**
444,296

BALDWIN & LYONS INC CL B
**
29,459

BALFOUR BEATTY GBP0.50
**
546,251

BALT GAS & ELEC CO 2.4% DUE 08-15-2026
**
5,571,730

BALT GAS & ELEC CO 3.35% DUE 07-01-2023
**
343,423


32
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

BALT GAS & ELEC CO 3.5% DUE 08-15-2046
**
25,474

BAMLL COML MTG FLTG RT 2.95945% DUE 12-15-2031
**
8,159,211

BANC AMERICA COML MTG TR SER 2016-UB10 CLS A3 2.903% 06-15-2049
**
9,896,990

BANC CALIF INC COM
**
4,527,513

BANCA CARIGE SPA 3.875% 24/10/2018
**
618,440

BANCFIRST CORP COM
**
104,960

BANCO DE CHILE COM NPV
**
398,965

BANCO NACIONAL DE DESENVOLVIMENTO ECONOMICO E SOCIAL ADJ RT 06-16-2018 BEO
**
142,320

BANCO SANTANDER 2.5% DUE 12-15-2020
**
2,804,380

BANCO SANTANDER EUR0.50(REGD)
**
2,902,590

BANCO SANTANDER SA 3.125% 02-23-2023
**
2,586,769

BANCO SANTANDER SA 3.5% DUE 04-11-2022
**
2,243,226

BANCORP INC DEL COM STK
**
89,483

BANCORPSOUTH BK TUPELO MISS COM
**
102,653

BANDAI NAMCO HOLDINGS INC
**
1,020,864

BANGKOK BANK THB10 (NVDR)
**
96,676

BANK 2017-BNK9 3.47% DUE 11-15-2054
**
3,504,832

BANK AMER CORP 1.95% DUE 05-12-2018
**
292,023

BANK AMER CORP 2.151% DUE 11-09-2020
**
2,695,597

BANK AMER CORP 2.625% DUE 10-19-2020
**
9,176,404

BANK AMER CORP 2.65% DUE 04-01-2019
**
7,677,338

BANK AMER CORP 2.816% DUE 07-21-2023
**
898,242

BANK AMER CORP 3.248% DUE 10-21-2027
**
793,855

BANK AMER CORP 3.3% DUE 01-11-2023
**
4,910,400

BANK AMER CORP 3.419% DUE 12-20-2028
**
8,884,910

BANK AMER CORP 3.5% DUE 04-19-2026
**
4,258,309

BANK AMER CORP 3.593% DUE 07-21-2028
**
8,578,872

BANK AMER CORP 3.705% BNDS 04-24-2028
**
513,197

BANK AMER CORP 3.95% DUE 04-21-2025
**
1,964,824

BANK AMER CORP 4% DUE 01-22-2025
**
5,174,761

BANK AMER CORP 4.45% DUE 03-03-2026
**
1,531,725

BANK AMER CORP 5% DUE 01-21-2044
**
881,825

BANK AMER CORP 5.49% DUE 03-15-2019
**
310,594

BANK AMER CORP 7.625% DUE 06-01-2019
**
371,139

BANK AMER CORP BDS 4 04-01-2024
**
10,380,977

BANK AMER CORP CORP BD 4.125 DUE 01-22-2024 REG
**
4,052,145

BANK AMER CORP FLTG RT 2.328% DUE 10-01-2021
**
428,788

BANK AMER CORP FLTG RT 2.881% DUE 04-24-2023
**
14,110,726

BANK AMER CORP FLTG RT 3.093% DUE 10-01-2025
**
1,197,248

BANK AMER CORP SR NT 2.625% DUE 04-19-2021/04-20-2017
**
6,171,326

BANK AMER MERRILL LYNCH COML MTG TR SER 2016-UB10 CLS ASB 3.019% 06-15-2049
**
2,004,456

BANK CHINA LTD HONG KONG BRH DISC COML PAPER 3/A3 YRS 3&4 03-07-2018
**
25,314,637

BANK MARIN BANCORP COM STK
**
42,432

BANK MONTREAL CHICAGO BRH IAM INSTL CTF DTD 08-17-2017 1.57% 08-16-2018
**
9,636,075

BANK MONTREAL MEDIUM TERM SR NTS BOOK ENTRY 2.1% DUE 12-12-2019
**
3,091,410

BANK MONTREAL MEDIUM TERM SR NTS BOOK EN1.75% DUE 09-11-2019
**
8,723,095

BANK MONTREAL QUE 1.75% DUE 06-15-2021
**
8,010,119


33
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

BANK MONTREAL QUE SR NT 2.375% DUE 01-25-2019/09-30-2013
**
1,504,442

BANK NEW YORK INC 3.95 DUE 11-18-2025
**
14,936

BANK NEW YORK INC MEDIUM TERM SR NTS BOO 2.6% DUE 08-17-2020
**
15,115

BANK NEW YORK MELLON CORP 3.3% 08-23-2029
**
9,838,850

BANK NEW YORK MELLON CORP COM STK
**
10,688,355

BANK NEW YORK MELLON CORP MEDIUM TERM 2.2% 08-16-2023
**
6,212,630

BANK NOVA SCOTIA 2.45% 09-19-2022
**
395,260

BANK NOVA SCOTIA HOUSTON TEX INSTL DTD 09-22-2017 1.66% C/D DUE 09-21-2018
**
5,082,318

BANK OF AMER CORP 5.00 DUE 05-13-2021
**
522,761

BANK OF AMER CORP MTN 2 DUE 01-11-2018
**
10,500,210

BANK OF AMERICA CORP
**
17,402,040

BANK OF AMERICA CORP 1.75% DUE 06-05-2018
**
699,702

BANK OF AMERICA CORP 2.25% DUE 04-21-2020
**
2,796,954

BANK OF AMERICA CORP 2.6 DUE 01-15-2019
**
1,967,713

BANK OF AMERICA CORP BNDS 4.2 DUE 08-26-2024
**
2,390,471

BANK OF CHINA LTD 'H'CNY1
**
593,909

BANK OF MONTREAL 2.35% 09-11-2022
**
226,248

BANK OF MONTREAL BA 17/01/2018
**
79,760

BANK OF MONTREAL COM NPV
**
1,001,444

BANK OF MONTREAL MEDIUM TERM NTS 1.9% 08-27-2021
**
9,789,340

BANK OF NY MELLON CORP 2.45% DUE 11-27-2020/10-27-2020
**
200,744

BANK OF QUEENSLAND NPV
**
155,952

BANK RAKYAT INDONESIA PERSER
**
478,025

BANK TOKYO MITSUBISHI UFJ LTD N Y BRH 02-23-2017 FLTG RT DUE 02-22-2019
**
6,119,647

BANKUNITED INC
**
241,673

BANNER CORP COM NEW COM NEW
**
2,868,831

BAR HBR BANKSHARES COM
**
41,406

BARCLAYS AFRICA GR ZAR2
**
379,019

BARCLAYS BANK PLC 7% BDS PERP GBP1000
**
284,896

BARCLAYS BK PLC 2.5 02-20-2019
**
4,939,386

BARCLAYS BK PLC 5.14% DUE 10-14-2020
**
1,069,546

BARCLAYS BK PLC 7.625 DUE 11-21-2022
**
6,795,000

BARCLAYS BK PLC MED TERM NTS BOOK ENTRY TRANCHE FLTG RT 08-07-2020
**
2,511,355

BARCLAYS BK PLC NEW YORK BRH INSTL CTF DDTD 12-07-2017 2.0% C/D 12-05-2018
**
11,181,099

BARCLAYS BK PLC NEW YORK BRH INSTL CTF DEP 00027 DTD 08-28-2017 1.94% 09-04-2018
**
3,700,311

BARCLAYS BK PLC NEW YORK BRH INSTL CTF DEP 06-16-2017 FLTG 03-16-2018
**
4,905,003

BARCLAYS BK PLC NEW YORK BRH INSTL CTF DEP 07-17-2017 FLTG 05-17-2018
**
500,563

BARCLAYS BK PLC STEP CPN 7.75% DUE 04-10-2023
**
406,000

BARCLAYS PLC 2.75% DUE 11-08-2019
**
4,078,751

BARCLAYS PLC 2.875% DUE 06-08-2020
**
10,030,390

BARCLAYS PLC 3.2% DUE 08-10-2021
**
1,090,836

BARCLAYS PLC 3.25% DUE 01-12-2021
**
504,802

BARCLAYS PLC 3.65% DUE 03-16-2025
**
2,046,345

BARCLAYS PLC 3.684% DUE 01-10-2023
**
3,876,452

BARCLAYS PLC 4.337% DUE 01-10-2028
**
3,487,832

BARCLAYS PLC 4.375% DUE 01-12-2026
**
13,262,805

BARCLAYS PLC 8.25 DUE 12-31-2049
**
524,125


34
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

BARCLAYS PLC BARCLAYS VAR RT DUE 01-10-2023/01-10-2022
**
7,089,026

BARCLAYS PLC ORD GBP0.25
**
8,615,749

BARNES & NOBLE ED INC COM
**
41,068

BARNES & NOBLE INC COM
**
49,191

BARNES GROUP INC COM
**
343,683

BARRATT DEVELOPMENTS ORD GBP0.10
**
1,589,602

BARRETT BILL CORP COM STK
**
57,856

BARRICK GOLD CORP COM NPV
**
380,330

BARRICK NA FINANCE LLC 4.4% 05-30-2021
**
478,447

BASF - ORD SHS COMSTK
**
2,847,947

BASIC ENERGY SVCS INC NEW COM NEW COM NEW
**
58,182

BASSETT FURNITURE INDS INC COM STK
**
10,152

BAT CAPITAL CORP 144A FRN 08-15-2022
**
8,399,168

BAXALTA INC 2.875% DUE 06-23-2020
**
1,710,980

BAYER AG NPV (REGD)
**
19,134,205

BAYERISCHE MOTOREN WERKE A G COM
**
618,843

BB&T BRH BKG & TR CO GLOBAL BK FLTG RT DUE 05-01-2019 REG
**
6,607,013

BB&T CORP 5.25% DUE 11-01-2019
**
129,338

BB&T CORP SR 2.05 DUE 06-19-2018
**
3,232,677

BB&T CORP SR 2.15% DUE 02-01-2021
**
520,034

BB&T CORP SR 2.45% DUE 01-15-2020
**
7,384,362

BB&T CORP SR MEDIUM TERM NTS BOOK ENTRY 2.625% DUE 06-29-2020
**
2,663,028

BB&T CORP SR MEDIUM TERM NTS BOOK ENTRY TRANCHE # TR 00015 2.25 02-01-2019
**
601,033

BBA AVIATION PLC ORD GBP0.2976 (POST CONS)
**
1,530,364

BBVA(BILB-VIZ-ARG) 6.75%-FRN PERP EUR200000'3'
**
260,406

BBVA(BILB-VIZ-ARG) EUR0.49
**
1,238,864

BCO CREDITO INVERS COM NPV
**
106,038

BCO DE SABADELL EUR0.125
**
106,686

BCO DO BRASIL SA COM NPV
**
812,208

BDO UNIBANK INC PHP10
**
258,177

BEACON ROOFING SUPPLY INC COM
**
8,564,243

BEAR STEARNS ARM FLTG RT 3.242544% DUE 05-25-2034
**
9,554

BEAR STEARNS ASSET BACKED SECS I LLC ASSASSET BKD CTF CL I-A-1A 5.5 25 AUG 2036
**
666,594

BEAR STEARNS AST BACKED SECS I TR 2007 AST BACKED CTF CL I-A-1 08-25-2037 REG
**
661,099

BEAR STEARNS COS 7.25% DUE 02-01-2018
**
9,693,601

BEAR STEARNS SECS I TR 2004-BO1 AST BACKED CTF M-4 FLTG 10-25-34
**
91,791

BECTON DICKINSON & 2.404% DUE 06-05-2020
**
9,702,089

BECTON DICKINSON & 2.675% DUE 12-15-2019
**
2,868,329

BECTON DICKINSON & 3.363% DUE 06-06-2024
**
2,767,711

BECTON DICKINSON & 3.734% DUE 12-15-2024
**
261,170

BECTON DICKINSON & 4.685% DUE 12-15-2044
**
710,772

BECTON DICKINSON & 4.9% DUE 04-15-2018
**
201,589

BED BATH & BEYOND INC COM
**
3,733,572

BEFIMMO SA NPV
**
1,114,384

BEIERSDORF AG EUR1
**
10,397,552

BEIJING CAPITAL INTERNATIONAL AIRPORTS 'H' CNY1
**
411,914

BEIJING ENTERPRISE NPV
**
815,655


35
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

BEIJING JINGNENG CLEAN ENRGY CO LTD REGISTEREDSHARES
**
503,911

BEIJING URBAN CONSTRUCTION COMSTK
**
852,579

BEL FUSE INC CL B CL B
**
49,645

BELDEN INC COM
**
7,681,965

BELMOND LTD COM STOCK
**
113,006

BEMIS CO INC COM
**
24,038

BENCHMARK ELECTRS INC COM
**
148,876

BENDIGO AND ADELAIDE BANK LTD NPV
**
234,533

BENEFICIAL BANCORP INC COM
**
119,641

BERKLEY GP HOLDINGS
**
1,444,476

BERKSHIRE HATHAWAY 1.7% DUE 03-15-2019
**
1,983,564

BERKSHIRE HATHAWAY 2.4% DUE 02-01-2020
**
5,827,086

BERKSHIRE HATHAWAY 3.5% DUE 02-01-2025
**
5,155,140

BERKSHIRE HILLS BANCORP INC COM
**
157,380

BERRY GLOBAL GROUP INC COM USD0.01
**
3,859,841

BEST PACIFIC INTL HKD0.01
**
959,562

BHARAT HEAVY ELECT INR2
**
433,965

BHARAT PETROL CORP INR10
**
568,908

BHARTI INFRATEL LT INR10
**
44,530

BHP BILLITON FIN 5% DUE 09-30-2043
**
140,995

BHP BILLITON LTD NPV
**
1,541,179

BHP BILLITON PLC USD0.50
**
2,404,186

BID CORP LTD NPV
**
205,824

BIG 5 SPORTING GOODS CORP COM
**
17,138

BIG LOTS INC COM
**
497,208

BIGLARI HLDGS INC CL A COM
**
45,998

BIM BIRLESIK MAGAZ TRY1
**
292,802

BIO RAD LABS INC CL A
**
3,938,055

BIOGEN INC 2.9% DUE 09-15-2020
**
202,724

BIOGEN INC 3.625% DUE 09-15-2022
**
140,944

BIOGEN INC COMMON STOCK
**
26,246,027

BIOMARIN PHARMACEUTICAL INC COM ISIN CH0008107010
**
6,483,818

BIO-TECHNE CORP COM
**
2,143,923

BJS RESTAURANTS INC COM
**
59,186

BK AMER N A TRANCHE # 2.05% 12-07-2018
**
499,857

BK CENTRAL ASIA IDR62.50
**
303,040

BK HAW CORP COM
**
2,425,310

BK MANDIRI IDR250
**
151,009

BK MONTREAL MEDIUM 1.8% DUE 07-31-2018
**
3,308,087

BK MUT CORP NEW COM STK
**
50,215

BK NEW YORK INC 2.2% DUE 05-15-2019
**
111,148

BK NEW YORK INC MEDIUM TERM SR NTS 2.2 03-04-2019
**
6,440,834

BK NEW YORK INC MEDIUM TERM SR NTS 2.2 03-04-2019
**
1,388,921

BK NEW YORK MELLON 2.5% DUE 04-15-2021
**
2,019,538

BK NEW YORK MELLON CORP 3.442% DUE 02-07-2028/02-07-2027 REG
**
511,073

BK NOVA SCOTIA B C 1.65% DUE 06-14-2019
**
3,899,232

BK NOVA SCOTIA B C 2.05% DUE 06-05-2019
**
2,952,751


36
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

BK NOVA SCOTIA B C 2.05% DUE 10-30-2018
**
14,258,221

BK NOVA SCOTIA B C 2.45% DUE 03-22-2021
**
11,537,460

BK NOVA SCOTIA B C FIXED 2.15% DUE 07-14-2020
**
74,629

BK NOVA SCOTIA B C FLTG RT 2.55152% DUE 01-15-2019
**
5,239,870

BK NOVA SCOTIA GTD 1.875% DUE 04-26-2021
**
25,297,855

BK NOVA SCOTIA GTD 2.125% DUE 09-11-2019
**
8,001,373

BK NY INC MEDIUM TERM SR NTS BEO TRANCHE# TR 00043 4.15 DUE 02-01-2021
**
577,441

BK OF NOVA SCOTIA COM NPV
**
1,613,142

BK OF PHILIP ISLAN PHP10
**
49,647

BK OF TOKYO 3.25% DUE 09-08-2024
**
20,387,832

BLACK BOX CORP DEL COM
**
6,880

BLACK HILLS CORP 2.5% DUE 01-11-2019
**
6,597,937

BLACKBERRY LTD NPV
**
593,312

BLACKHAWK NETWORK HLDGS INC COMMON STOCK
**
153,152

BLACKLINE INC COM
**
1,131,075

BLACKROCK INC 3.375 DUE 06-01-2022
**
77,751

BLACKROCK INC 3.5% DUE 03-18-2024
**
90,426

BLACKROCK INC 5% DUE 12-10-2019
**
615,182

BLACKROCK INC COM STK
**
9,987,036

BLUCORA INC COM
**
83,803

BLUE BUFFALO PET PRODS INC COM
**
367,248

BLUE HILLS BANCORP INC COM
**
57,848

BLUEBIRD BIO INC COM
**
1,280,539

BLUEPRINT MEDICINES CORP COM
**
3,790,936

BLUESCOPE STEEL NPV
**
553,447

BMC STK HLDGS INC COM
**
66,843

BMW US CAP LLC 2.15% DUE 04-06-2020
**
1,993,140

BMW US CAP LLC NT FLTG RATE 144A DUE 09-13-2019 BEO
**
3,557,623

BMW VEH LEASE TR 1.23% DUE 01-22-2019
**
2,046,409

BMW VEH LEASE TR 1.34% DUE 01-22-2019
**
636,834

BMW VEH LEASE TR 1.43% DUE 09-20-2019
**
1,090,356

BMW VEH LEASE TR 1.64% DUE 07-22-2019
**
13,870,233

BMW VEH LEASE TR 1.98% DUE 05-20-2020
**
4,980,003

BMW VEH OWNER TR 1.37% DUE 12-27-2022
**
5,776,790

BNK FINANCIAL GROUP INC
**
149,183

BNP PARIBAS EUR2
**
2,549,835

BNP PARIBAS MEDIUM FIXED 3.8% DUE 01-10-2024
**
3,300,451

BNP PARIBAS SR NON PFD 144A MED 2.95% 05-23-2022
**
4,474,716

BNP PARIBAS US MEDIUM TERMTRANCHE # TR 330 2.7 DUE 08-20-2018
**
3,394,973

BNP PARIBAS US MEDIUM TERM NT PROGRAM LLC MEDIUM TERM SR NTS 2.4 12-12-2018
**
4,605,191

BNZ INTL FDG LTD 2.35% DUE 03-04-2019
**
4,083,933

BNZ INTL FUNDING/LONDON FLTG 144A DUE 02-21-2020
**
2,877,253

BOARDWALK 5.95% DUE 06-01-2026
**
66,927

BOC AVIATION PTE 2.75% DUE 09-18-2022
**
391,511

BOC AVIATION PTE 3.5% DUE 09-18-2027
**
485,146

BOEING CO COM
**
10,031,303,488

BOINGO WIRELESS INC COM STK
**
1,390,995


37
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

BOISE CASCADE CO COM
**
96,199

BOJANGLES INC COM
**
37,949

BOK FINL CORP COM NEW
**
43,298

BOLIDEN AB NPV
**
1,316,548

BOLSA MEXICANA DE COMSTK
**
872,064

BONANZA CREEK ENERGY INC COM NEW COM NEW
**
9,932

BONOS DE TESORERIA 144A BNDS 6.15% 12/08/2032
**
1,978,895

BOOT BARN HLDGS INC COM
**
48,169

BOOZ ALLEN HAMILTON HLDG CORP CL A COM STK
**
10,327,587

BORAL FIN PTY LTD 3.75% 05-01-2028
**
503,706

BOSTON PRIVATE FINL HLDGS INC COM
**
2,822,406

BOUYGUES EUR1
**
371,467

BOX INC CL A CL A
**
2,653,453

BP CAP MKTS AMER 4.2% DUE 06-15-2018
**
303,278

BP CAP MKTS P L C 1.375% DUE 05-10-2018
**
213,673

BP CAP MKTS P L C 1.674% DUE 02-13-2018
**
4,372,920

BP CAP MKTS P L C 1.768% DUE 09-19-2019
**
1,150,637

BP CAP MKTS P L C 2.237% DUE 05-10-2019
**
2,100,700

BP CAP MKTS P L C 3.119% DUE 05-04-2026
**
252,681

BP CAP MKTS P L C 3.216% DUE 11-28-2023
**
1,859,157

BP CAP MKTS P L C 3.245 DUE 05-06-2022
**
2,049,960

BP CAP MKTS P L C 3.506% DUE 03-17-2025
**
2,058,502

BP CAP MKTS P L C 3.814% DUE 02-10-2024
**
215,509

BP CAP MKTS P L C 4.75% DUE 03-10-2019
**
196,928

BP CAPITAL MARKETS PLC 2.315% DUE 02-13-2020
**
5,175,551

BP ORD USD0.25
**
1,222,702

BPCE S A MEDIUM 2.65% DUE 02-03-2021
**
401,128

BPCE S A MEDIUM 2.75% DUE 12-02-2021
**
501,304

BPCE SR NON PFD 3% DUE 05-22-2022
**
11,728,499

BPCE US REG S 2.5 DUE 12-10-2018 REG
**
752,108

BPER BANCA EUR3
**
506,692

BQE CANT VAUDOISE CHF30.00(REGD)
**
422,032

BR MALLS PARTICIPA COM NPV
**
119,274

BRADY CORP CL A
**
4,453,894

BRANCH BANKING & TRUST 2.1% 01-15-2020
**
4,400,073

BRANCH BANKING & TRUST 2.25% 06-01-2020
**
848,584

BRANCH BANKING & TRUST 2.85 DUE 04-01-2021 REG
**
304,117

BRANDYWINE RLTY TR SH BEN INT NEW REIT
**
182,464

BRASKEM S.A. PRF'A' NPV
**
48,331

BRAZIL FEDERATIVE REP GLOBAL BD 5.625% DUE 02-21-2047 REG
**
306,450

BRAZIL(FED REP OF) 10% T-NTS 1/1/2021 BRL1000
**
1,040,403

BRENNTAG AG NPV
**
153,725

BRFKREDIT A/S 2% 01/10/2047
**
790,863

BRIDGE BANCORP INC COM STK
**
65,240

BRIDGEPOINT ED INC COM
**
30,635

BRIGGS & STRATTON CORP CAP
**
117,006

BRIGHT HORIZONS FA COM USD0.001
**
6,768,000


38
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

BRIGHTHOUSE FINL 3.7% DUE 06-22-2027
**
12,588,403

BRINKS CO COM
**
3,935

BRISTOL MYERS SQUIBB CO COM
**
10,782,706

BRISTOW GROUP INC COM
**
61,315

BRIT 5.95% DUE 01-15-2018
**
1,126,505

BRIT SKY 2.625% DUE 09-16-2019
**
15,801,706

BRIT TELECOM 2.35 DUE 02-14-2019
**
3,073,251

BRITISH AMERICAN TOBACCO ORD GBP0.25
**
1,116,007

BRITISH LAND CO ORD GBP0.25
**
150,024

BRITISH TELECOMMUNICATIONS P L C NT STEPUP 12-15-2030 12-12-2000
**
224,110

BRIXMOR OPERATING PARTNERSHIP LP 3.85% NTS 02-01-2025 USD1000
**
2,311,919

BRIXMOR PPTY GROUP INC COM
**
334,555

BROADCOM CORP / 2.375% DUE 01-15-2020
**
6,903,990

BROADCOM CORP / 3% DUE 01-15-2022
**
9,993,631

BROADCOM CORP / 3.125% DUE 01-15-2025
**
955,965

BROADCOM CORP / 3.625% DUE 01-15-2024
**
4,022,287

BROADCOM CORP / 3.875% 144A 01-15-2027
**
492,023

BROADCOM LIMITED COM NPV
**
5,142,367

BROADRIDGE FINL SOLUTIONS INC COM STK
**
4,710,160

BROADSOFT INC COM
**
2,149,939

BROADWIND ENERGY INC COM NEW COM NEW
**
3,884

BROOKDALE SR LIVING INC COM STK
**
174,367

BROOKFIELD ASSET LIMITED VTG SHARES CLASS A
**
568,534

BROOKFIELD FIN INC FIXED 4.7% 09-20-2047
**
45,063

BROOKLINE BANCORP INC DEL COM BROOKLINE BANCORP INC +
**
112,648

BROOKS AUTOMATION INC COM
**
161,345

BROTHER INDUSTRIES NPV
**
1,251,711

BROWN & BROWN INC COM
**
1,167,216

BRUNEL INTERNATIONAL NV COMMON STOCK
**
204,104

BRUNSWICK CORP COM
**
3,641,483

BRYN MAWR BK CORP COM STK
**
81,770

BSB BANCORP INC MD COM USD0.01
**
11,583

BSTN PPTYS LTD 3.125% DUE 09-01-2023
**
120,945

BSTN PPTYS LTD 3.2% DUE 01-15-2025
**
265,153

BSTN PPTYS LTD 4.125% DUE 05-15-2021
**
731,609

BSTN SCIENTIFIC 2.85% DUE 05-15-2020
**
1,481,654

BSTN SCIENTIFIC 4.125% DUE 10-01-2023
**
3,035,740

BSTN SCIENTIFIC 6% DUE 01-15-2020
**
5,317,747

BT GROUP ORD GBP0.05
**
3,059,690

BUCKEYE PARTNERS L 2.65 DUE 11-15-2018
**
285,824

BUCKEYE PARTNERS L 4.35% DUE 10-15-2024
**
137,759

BUCKEYE PARTNERS L 6.05% DUE 01-15-2018
**
560,687

BUILD-A-BEAR WORKSHOP INC COM STK
**
18,915

BUMRUNGRAD HOPTL THB1(NVDR)
**
55,081

BUNGE LTD FIN CORP FIXED 3% DUE 09-25-2022
**
469,477

BUONI POLIENNALI DEL TES 2.8% 01/03/2067
**
103,934

BUONI POLOENNALI DEL TES 3.45% 01/03/2048
**
811,351


39
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

BURBERRY GROUP ORD GBP0.0005
**
1,335,167

BURL NORTHN SANTA 3% DUE 03-15-2023
**
4,721,990

BURL NORTHN SANTA 3.45% DUE 09-15-2021
**
237,641

BURL NORTHN SANTA 4.1% DUE 06-01-2021
**
157,917

BURL NORTHN SANTA 5.75% DUE 03-15-2018
**
1,284,578

BURL NORTHN SANTA 5.75% DUE 05-01-2040
**
104,243

BURL NORTHN SANTA FIXED 3.25% DUE 06-15-2027
**
153,442

BURLINGTON NORTHERN SANTA FE LLC 4.125% DEB SNR 06-15-2047 USD
**
5,478,610

BURLINGTON NORTHN SANTA 4.55 09-01-2044
**
1,007,554

BURSA MALAYSIA BHD MYR0.50
**
421,063

BUY TO OPEN REPO W/BANK OF A 1.8% FROM 12-29-2017 TO 01-02-2018
**
79,600,000

BUY TO OPEN REPO W/JPMORGAN 1.57% FROM 12-27-2017 TO 01-03-2018
**
75,000,000

BUY TO OPEN REPO W/JPMORGAN 1.7% FROM 12-29-2017 TO 01-05-2018
**
75,000,000

BUY TO OPEN REPO W/MERRILL L 1.5% FROM 01-02-2018 TO 01-03-2018
**
25,000,000

BUY TO OPEN REPO W/MERRILL L 1.67% FROM 12-29-2017 TO 01-02-2018
**
25,000,000

BUY TO OPEN REPO W/RBC CAPIT 1.58% FROM 12-28-2017 TO 01-04-2018
**
75,000,000

BUZZI UNICEM SPA EUR0.60
**
857,922

BWX TECHNOLOGIES INC COM
**
4,294,790

C & F FINL CORP CMT-COM
**
23,780

CA INC 3.6% DUE 08-15-2022
**
1,840,143

CA ST TAXABLE-VAR PURP 6.2 DUE 03-01-2019 BEO TAXABLE
**
524,210

CABELAS CR CARD 1.78% DUE 06-15-2022
**
9,747,827

CABOT CORP COM
**
269,456

CABOT MICROELECTRONICS CORP COM
**
1,824,682

CABOT OIL & GAS CORP COM
**
285,113

CACI INTL INC CL A CL A
**
265,097

CADILA HEALTHCARE INR1
**
52,723

CAI INTL INC COM
**
60,945

CAIRN HOMES PLC ORD EUR0.001
**
1,019,567

CAIXABANK SA 5%-FR SUB EMTN 14/11/23 EUR
**
1,373,101

CALATLANTIC GROUP INC COM
**
553,693

CALAVO GROWERS INC COM
**
4,332,843

CALERES INC COM
**
140,683

CALGON CARBON CORP COM
**
109,163

CALIFORNIA ST 2.367% 04-01-2022 BEO TAXABLE
**
7,805,257

CALIFORNIA ST 6.2% 10-01-2019 BEO TAXABLE
**
1,929,150

CALIFORNIA ST 6.65 03-01-2022 BEO TAXABLE
**
12,146,212

CALIFORNIA ST 7.95 03-01-2036 BEO TAXABLE
**
11,167

CALIFORNIA ST UNIV REV 3.199% 11-01-2027BEO TAXABLE
**
1,451,030

CALIFORNIA ST UNIV REV 3.299% 11-01-2028BEO TAXABLE
**
1,494,519

CALIX NETWORKS INC COMMON STOCK
**
23,883

CALL SWAPTION USD CITIUS33 3MLIBOR/6M 2.0% European 317U302P2 12-19-2018
**
110,254

CALL SWAPTION USD CSFPGB2L 3MLIBOR/6M 1.85% European 317U245P2 11-30-2018
**
88,424

CALL SWAPTION USD DEUTGB2L 3MLIBOR/6M 2.15% European 317U799L1 06-15-2018
**
2,179

CALL SWAPTION USD MSCSUS33 3MLIBOR/6M 1.65% European 317U540M1 11-15-2018
**
4,402

CALL SWAPTION USD MSCSUS33 3MLIBOR/6M 2.54% European 317U899N6 03-21-2018
**
6,653

CALL SWAPTION USD NGFPUS33 3MLIBOR/6M 2.15% European 317U796L4 06-15-2018
**
726


40
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

CALLAWAY GOLF CO COM
**
1,903,353

CALLON PETE CO DEL COM
**
1,901,439

CALPINE CORP COM NEW STK
**
3,443,467

CALTEX AUSTRALIA NPV
**
501,727

CAMBREX CORP COM
**
2,985,840

CAMDEN NATL CORP COM
**
73,728

CANADA HOUSING TRUST 2.9% DUE 15/06/2024
**
663,343

CANADA HSG TR NO 1 CDA HSG TR SER 48 2.4% 144A 15/12/2022
**
1,938,963

CANADA(GOVT OF) 3% DEB 01/12/2036 CAD1000
**
102,295

CANADA(GOVT OF) I/L 1.5% BDS 01/12/44 CAD1000
**
555,680

CANADIAN IMP BANK COM NPV
**
1,892,257

CANADIAN IMPERIAL BK COMM N Y BRH C/D 09-22-2017 1.66% DUE 10-15-2018
**
7,420,184

CANADIAN NATL RY CO COM
**
13,602,353

CANADIAN TIRE LTD CLASS'A'CUM NON-VTG COM NPV
**
549,669

CANFOR CORP COM NPV
**
1,295,375

CANON INC NPV
**
160,173

CANTEL MEDICAL CORP COM
**
2,467,851

CAP 1 BK USA NATL 8.8% DUE 07-15-2019
**
600,570

CAP 1 FINL CORP 3.2% DUE 02-05-2025
**
366,381

CAP 1 FINL CORP 4.2% DUE 10-29-2025
**
138,891

CAP 1 FINL CORP FIXED 3.05% DUE 03-09-2022
**
3,091,511

CAP 1 MULTI-ASSET 1.33% DUE 06-15-2022
**
3,950,332

CAP 1 MULTI-ASSET 1.66% DUE 06-17-2024
**
9,748,380

CAP 1 MULTI-ASSET 1.82% DUE 09-15-2022
**
3,779,560

CAP 1 MULTI-ASSET 2% DUE 01-17-2023
**
15,409,427

CAP 1 MULTI-ASSET 2.08% DUE 03-15-2023
**
21,195,090

CAP 1 MULTI-ASSET FLTG RT 2.00945% DUE 02-15-2022
**
401,894

CAP 1 NATL ASSN 1.85% DUE 09-13-2019
**
990,357

CAP 1 NATL ASSN 2.25% DUE 09-13-2021
**
2,525,933

CAP 1 NATL ASSN 2.35% DUE 01-31-2020
**
672,968

CAP 1 NATL ASSN 2.35% DUE 08-17-2018
**
500,781

CAP AUTO 1.54% DUE 08-20-2020
**
1,166,958

CAP AUTO 1.62% DUE 03-20-2019
**
63,876

CAP AUTO 1.73% DUE 04-20-2020
**
1,686,756

CAP AUTO 1.94% DUE 01-21-2020
**
2,620,264

CAP AUTO 2.02% DUE 08-20-2021
**
766,918

CAP CY BK GROUP INC COM
**
42,324

CAPCOM CO LTD NPV
**
627,764

CAPGEMINI EUR8
**
1,665,212

CAPITAL ONE BK USA NATL ASSN GLEN ALLEN 2.15 DUE 11-21-2018
**
665,017

CAPITAL ONE FINL CORP COM
**
17,974,190

CAPITAL ONE NA 2.95 DUE 07-23-2021
**
7,901,792

CAPITALAND MALL TRUST
**
174,111

CAPITOL FED FINL INC COM .
**
210,282

CARA OPERATIONS LT SUB-VTG NPV
**
818,405

CARBO CERAMICS INC COM
**
15,647

CARDINAL HLTH INC 1.948% DUE 06-14-2019
**
496,926


41
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

CARDINAL HLTH INC 1.95% DUE 06-15-2018
**
117,933

CARDINAL HLTH INC 2.616% DUE 06-15-2022
**
4,090,478

CARDINAL HLTH INC 3.75% DUE 09-15-2025
**
52,944

CARDINAL HLTH INC 4.625% DUE 12-15-2020
**
532,440

CARDTRONICS PLC CARDTRONICS PLC
**
48,448

CARE COM INC COM
**
502,991

CAREER EDUCATION C COM USD0.01
**
19,098

CARLISLE COMPANIES INC COM
**
170,475

CARLISLE COS INC 3.5% 12-01-2024
**
125,988

CARLSBERG SER'B'DKK20
**
4,382,299

CARMAX AUTO OWNER 1.16% DUE 06-17-2019
**
195,540

CARMAX AUTO OWNER 1.25% DUE 11-15-2019
**
288,257

CARMAX AUTO OWNER 1.39% DUE 05-17-2021
**
2,096,974

CARMAX AUTO OWNER 1.53999996185% DUE 02-18-2020
**
7,841,100

CARMAX AUTO OWNER 1.56% DUE 11-16-2020
**
3,922,113

CARMAX AUTO OWNER 1.61% DUE 11-16-2020
**
1,228,545

CARMAX AUTO OWNER 1.63% DUE 05-15-2020
**
2,777,437

CARMAX AUTO OWNER 1.68% DUE 09-15-2021
**
4,803,143

CARMAX AUTO OWNER 2.26999998093% DUE 09-15-2022
**
2,389,846

CARMAX AUTO OWNER 2.41% DUE 12-15-2022
**
868,008

CARMAX AUTO OWNER 2.6% DUE 02-15-2023
**
327,261

CARMAX AUTO OWNER 3.39% DUE 10-16-2023
**
668,614

CARMAX AUTO OWNER FIXED 1.97% DUE 04-15-2022
**
915,024

CARMAX AUTO OWNER TR 2017-3 ASSET NT CL A-2A 1.64% DUE 09-15-2020
**
3,629,743

CARMAX AUTO OWNER TR 2017-3 CL A4 2.22%11-15-2022
**
2,684,810

CARMAX AUTO OWNER TR 2017-4 CL A-3 2.11% 10-17-2022 REG
**
452,765

CARMAX AUTO OWNER TRUST SER 16-4 CL A3 1.4% 08-15-2021
**
1,518,536

CARMAX AUTO OWNER TRUST SER 17-1 CL A3 2.06% 11-15-2021
**
2,025,331

CAROLINA FINANCIAL CORP COM USD0.001
**
69,136

CARPENTER TECHNOLOGY CORP COM
**
2,468,681

CARRIAGE SERVICES INC COM
**
47,435

CARRIZO OIL & GAS INC COM
**
67,330

CARROLS RESTAURANT GROUP INC COM
**
42,343

CARS COM INC COM
**
211,397

CARTER INC FORMERLY CARTER HLDGS INC TO 09/13/2003 COM
**
3,127,349

CASCADIAN THERAPEUTICS INC COM NEW COM NEW
**
21,142

CASTELLUM AB NPV
**
2,054,899

CATCHER TECHNOLOGY TWD10
**
219,490

CATERPILLAR FINANCIAL SERVICES LTD 2.1% DUE 01-10-2020
**
24,948

CATERPILLAR FINL 2.55% DUE 11-29-2022
**
249,200

CATERPILLAR FINL FLTG RT 1.77738% DUE 09-04-2020
**
5,082,318


42
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

CATERPILLAR FINL SVCS CORP 7.05 10-01-2018
**
259,650

CATERPILLAR FINL SVCS CORP MEDIUM TERM N7.15 DUE 02-15-2019
**
73,918

CATERPILLAR FINL SVCS CORP MEDIUM TERM NTS-BOOK ENTRY 2.1% DUE 06-09-2019
**
650,315

CATERPILLAR FINL SVCS CORP MEDIUM TERM N2.25% DUE 12-01-2019
**
4,375,868

CATERPILLAR FINL SVCS CORP MEDIUM TERM N2.85 DUE 06-01-2022 REG
**
120,504

CATERPILLAR FINL SVCS CORP MEDIUM TERM NTRANCHE # TR 00880 1.35% DUE 05-18-2019
**
524,813

CATERPILLAR INC 3.9% DUE 05-27-2021
**
2,376,684

CATHAY FINL HLDG TWD10
**
84,273

CATO CORP NEW CL A CL A
**
40,787

CAVCO INDS INC DEL COM STK
**
3,634,779

C-BASS SER 2006-CB2 TR MTG LN ASSET-BKD CTF CL AF-4 12-25-2036 REG
**
497,434

CBIZ INC COM
**
95,512

CBL & ASSOC PPTYS INC COM
**
63,817

CBOE GLOBAL MKTS 1.95% DUE 06-28-2019
**
695,575

CBS CORP 4% DUE 01-15-2026
**
29,638

CBS CORP NEW 3.7% DUE 08-15-2024
**
160,521

CBS CORP NEW 4.3% DUE 02-15-2021
**
240,317

CBS CORP NEW CL B
**
7,015,100

CBS CORP NEW FIXED 4.9% DUE 08-15-2044
**
11,561

CC HLDGS GS V LLC 3.849% DUE 04-15-2023
**
619,013

CCL INDUSTRIES INC CLASS'B'NON VTG COM NPV
**
149,447

CCY SWP AUD 3MLIBOR/ BBSW BNPAFRPP 05/10/2027 CCS092719
**
421

CCY SWP AUD 3MLIBOR/ BBSW MSCSUS33 06/10/2027 CCS280918
**
349

CD 2016-CD2 MTG TR 3.348% DUE 11-10-2049
**
3,082,923

CD 2016-CD2 MTG TR FLTG RT 3.526% DUE 11-10-2049
**
1,930,437

CD MTG TR SR 2017-CD5 CL AAB 3.22% 08-10-2050
**
6,003,136

CDN IMPERIAL BK 1.6% DUE 09-06-2019
**
624,497

CDN IMPERIAL BK 2.55% DUE 06-16-2022
**
297,965

CDN IMPERIAL BK FIXED 2.1% DUE 10-05-2020
**
496,148

CDN NAT RES LTD 3.8% DUE 04-15-2024
**
25,746

CDN NAT RES LTD 6.45% DUE 06-30-2033
**
97,836

CDN NATL RAILWAYS COM NPV
**
224,598

CDN NATL RY CO 5.55% DUE 03-01-2019
**
3,301,101

CDN NATL RY CO 6.8% DUE 07-15-2018
**
630,847

CDN PAC RY CO NEW 4.5% DUE 01-15-2022
**
85,195

CDN PAC RY CO NEW 6.5% DUE 05-15-2018
**
243,931

CDN PAC RY CO NEW 7.125% DUE 10-15-2031
**
123,144

CDN PAC RY CO NEW 7.25% DUE 05-15-2019
**
3,112,302

CDP FINL INC 4.4% DUE 11-25-2019
**
2,598,175

CDS / STS CSFPGB2L 01-17-2047 SWPC02TU6
**
9,628

CDS / STS DEUTGB2L 01-17-2047 SWPC03XW5
**
5,349


43
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

CDS / STS GSILGB2X 10-17-2057 SWPC0ATK0
**
3,908

CDS BARCGB33 09-20-2019 SWPC05DU6
**
9,594

CDS BARCGB33 12-20-2021 SWPC0DZO9
**
3,522

CDS BNPAFRPP 12-20-2019 SWPC07UE9
**
38,490

CDS BOFAUS6NGFX 06-20-2022 SWPC0FSQ7
**
1,543

CDS CHASUS33 06-20-2023 SWPC0G4U2
**
1,352

CDS GSILGB2X 12-20-2021 SWPC0E270
**
1,521

CDS ICE_CSFBUS 12-20-2020 SWPC0FIV7
**
14,979

CDS ICE_CSFBUS 12-20-2020 SWPC0FJI5
**
5,732

CDS ICE_CSFBUS 12-20-2022 SWPC0GCR0
**
6,724

CDS ICE_CSFBUS 12-20-2023 SWPC0E7Z3
**
37,067

CDS ICE_CSFBUS 12-20-2023 SWPC0EOD3
**
85,570

CDS ICE_CSFBUS 20/06/2022 SWPC0F0Z7
**
2,983

CDS ICE_CSFBUS 20/12/2026 SWPC0EM03
**
3,212

CDS MRMDUS33 03-20-2018 SWPC0GA19
**
1,123

CDS MRMDUS33 03-20-2020 SWPC08PD5
**
11,345

CECO ENVIRONMENTAL CORP COM
**
22,695

CEDAR REALTY TRUST INC
**
33,653

CELADON GROUP INC COM
**
15,744

CELGENE CORP 2.25% DUE 05-15-2019
**
359,510

CELGENE CORP 2.875% DUE 08-15-2020
**
1,152,643

CELGENE CORP 3.25% DUE 08-15-2022
**
66,029

CELGENE CORP 3.55% DUE 08-15-2022
**
267,808

CELGENE CORP 3.625% DUE 05-15-2024
**
424,747

CELGENE CORP 3.875% DUE 08-15-2025
**
1,842,455

CELGENE CORP 3.95% DUE 10-15-2020
**
82,841

CELGENE CORP COM
**
32,421,626

CELLDEX THERAPEUTICS INC NEW COM STK
**
27,326

CELLTRION INC KRW1000
**
397,019

CENOVUS ENERGY INC 5.7% DUE 10-15-2019
**
851,958

CENOVUS ENERGY INC 6.75% DUE 11-15-2039
**
11,975

CENT EUROPEAN MEDIA ENTERPRISES LTD NEW COM STK
**
46,500

CENT GARDEN & PET CO CL A
**
139,150

CENTENE CORP DEL COM
**
377,594

CENTERPOINT ENERGY 2.4% DUE 09-01-2026
**
2,239,282

CENTERPOINT ENERGY 2.5% DUE 09-01-2022
**
1,482,354

CENTERPOINT ENERGY 5.85 DUE 01-15-2041
**
102,068

CENTERPOINT ENERGY RES CORP DEL SR NT 4.5 1-15-2021
**
360,831

CENTERSTATE BANK CORP
**
3,243,524

CENTRAL GARDEN & PET CO COM
**
44,408

CENTRAL PAC FINL CORP COM NEW
**
110,073


44
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)

CENTRAL VY CMNTY BANCORP COM STK
**
30,270

CENTURY ALUM CO COM
**
125,185

CENTURY CMNTYS INC COM
**
98,338

CENTY BANCORP INC MASS CL A NON VTG
**
32,083

CEVA INC COM
**
3,596,331

CF INDS INC 3.45% DUE 06-01-2023
**
488,194

CF JPMCB LIQUIDITY FD
**
439,346,946

CGI GROUP INC 'A'SUB-VTG NPV
**
329,576

CHAILEASE HOLDING TWD10
**
37,789

CHALLENGER LTD NPV
**
1,851,285

CHARLES RIV LABORATORIES INTL INC COM
**
6,561,746

CHARLES SCHWAB CORP 1.5% DUE 03-10-2018
**
4,761,722

CHARLES SCHWAB CORP 5.0% 12-31-2049
**
702,660

CHART INDS INC COM PAR $0.01 COM PAR $0.01
**
1,552,331

CHARTER 3.579% DUE 07-23-2020
**
9,096,464

CHARTER 4.464% DUE 07-23-2022
**
12,608,873

CHARTER 4.908% DUE 07-23-2025
**
1,562,882

CHARTER 6.384% DUE 10-23-2035
**
1,401,150

CHARTER COMMUNICATIONS INC NEW CL A CL A
**
6,323,103

CHARTER COMMUNICATIONS OPER LLC/CHARTE 4.2% DUE 03-15-2028 BEO
**
1,816,403

CHARTER FINL CORP MD COM
**
18,733

CHARTER HALL RETAIL REIT NPV
**
684,867

CHASE ISSUANCE TR SER 2016-A2 CLS A 1.37% 06-15-2021
**
3,614,975

CHASE ISSUANCE TR 1.27% DUE 07-15-2021
**
2,668,232

CHASE ISSUANCE TR 1.49% DUE 07-15-2022
**
21,621,226

CHASE ISSUANCE TR 1.58% DUE 08-16-2021
**
1,239,673

CHASE ISSUANCE TR CHASESERIES 2016-3 NT CL A FLTG 06-15-2023 REG
**
10,517,822

CHASE ISSUANCE TR FIXED 1.84% DUE 04-15-2022
**
10,272,592

CHATHAM LODGING TR COM
**
36,871

CHECK PT SOFTWARE TECHNOLOGIES ORDILS.01
**
6,296,366

CHEESECAKE FACTORY INC COM
**
25,535

CHEFS' WAREHOUSE HOLDINGS IN
**
44,116

CHEGG INC COM
**
2,272,070

CHEMICAL FINL CORP COM
**
1,928,770

CHEMUNG FINL CORP COM
**
24,579

CHES LODGING TR SH BEN INT
**
102,725

CHES UTILS CORP COM
**
3,342,695

CHEVRON CORP 1.991% 03-03-2020
**
14,663,915

CHEVRON CORP 4.95% DUE 03-03-2019
**
511,572

CHEVRON CORP COM
**
7,907,000

CHEVRON CORP NEW 1.365% DUE 03-02-2018
**
4,946,684


45
Table of Contents


Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CHEVRON CORP NEW 1.686% DUE 02-28-2019
**
5,171,767

CHEVRON CORP NEW 1.718% DUE 06-24-2018
**
299,999

CHEVRON CORP NEW 1.79% DUE 11-16-2018
**
3,049,193

CHEVRON CORP NEW 1.961% DUE 03-03-2020
**
498,242

CHEVRON CORP NEW 2.1% DUE 05-16-2021
**
4,840,052

CHEVRON CORP NEW 2.419% DUE 11-17-2020
**
189,136

CHEVRON CORP NEW 2.895% DUE 03-03-2024
**
410,616

CHEVRON CORP NEW 2.954% DUE 05-16-2026
**
2,259,268

CHGO ILL TRAN AUTH SALES & TRANSFER T 6.899 DUE 12-01-2040 REG
**
542,356

CHGO ILL TRAN AUTH SALES & TRANSFER T 6.899 DUE 12-01-2040 REG TAXABLE
**
677,945

CHICAGO BRDG & IRON CO N V COM NV
**
99,035

CHICAGO ILL 7.375% 01-01-2033 BEO TAXABLE
**
2,082,564

CHICAGO ILL 7.75% 01-01-2042 BEO TAXABLE
**
3,443,139

CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV 6.2% 12-01-2040 BEO TAXABLE
**
13,019

CHICOS FAS INC COM
**
120,367

CHILDRENS PL INC NEW COM
**
5,023,005

CHIMERIX INC COM
**
19,918

CHINA AIRLINES TWD10
**
306,306

CHINA BLUECHEMICAL LTD H SHS
**
223,537

CHINA COMM SERVICE 'H'CNY1
**
241,988

CHINA CONSTRUCTION BANK'H'CNY1
**
1,490,187

CHINA DEV FIN HLDG TWD10
**
57,176

CHINA EVERBRIGHT INTERNATIONAL LTD
**
64,235

CHINA EVERGRANDE GROUP ( LOCAL 3333)
**
386,791

CHINA LIFE INS TWD10
**
227,476

CHINA MEDICAL SYS USD0.005
**
41,927

CHINA MENGNIU DAIR HKD0.1
**
210,974

CHINA MERCHANTS BK COM STK
**
37,783

CHINA MOBILE LTD NPV
**
2,326,791

CHINA OVERSEAS LAND & INVESTMNT HKD0.10
**
360,274

CHINA RES PWR HLDG NPV
**
70,710

CHINA RESOURCES LAND HKD0.10
**
287,652

CHINA TRAD CHINESE NPV
**
440,390

CHINA TRAVEL INTL NPV
**
890,719

CHINA VANKE CO COM STK
**
177,101

CHIPBOND TECHNOLO TWD10
**
308,436

CHIYODA CORP NPV
**
931,858

CHONGQING RURAL CO CNY1 H SHARE
**
298,642

CHRISTOPHER & BANKS CORP COM
**
4,555

CHUBB CORP 5.75% DUE 05-15-2018
**
669,051

CHUBB LTD ORD CHF24.15
**
17,378,218

CHUGOKU ELEC PWR 2.701% 16/03/2020
**
803,980

CHURCH & DWIGHT INC SR NT FLTG RATE DUE 01-25-2019 REG
**
3,049,391

CHUYS HOLDINGS INC COM USD0.01
**
56,128

CIE DE ST-GOBAIN EUR4
**
2,295,597

CIELO SA COM NPV
**
45,191


46
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CIENA CORP COM NEW
**
178,993

CIGNA CORP 4 DUE 02-15-2022
**
3,822,354

CIGNA CORP 4.375% DUE 12-15-2020
**
989,996

CIGNA CORPORATION
**
6,082,139

CIMAREX ENERGY CO COM
**
4,374,303

CIMB GROUP HOLDINGS BERHAD MYR1
**
84,034

CIMC ENRIC HLDG LT HKD0.01
**
199,771

CIMIC GROUP LIMITED NPV
**
2,931,459

CIN FINL CORP 6.92% DUE 05-15-2028
**
103,293

CINCINNATI BELL INC NEW COM NEW COM NEW
**
1,990,028

CINEMARK HLDGS INC COM
**
170,096

CINTAS CORP NO 2 2.9% DUE 04-01-2022
**
1,533,610

CINTAS CORP NO 2 3.7% DUE 04-01-2027
**
1,623,219

CIRCOR INTL INC COM
**
74,821

CIRRUS LOGIC INC COM
**
163,411

CISCO SYS INC 2.2% DUE 02-28-2021
**
1,345,718

CISCO SYS INC 2.45% DUE 06-15-2020
**
251,636

CISCO SYS INC 3.625% DUE 03-04-2024
**
379,253

CISCO SYS INC 4.45% DUE 01-15-2020
**
26,144

CISCO SYS INC SR NT 4.95 DUE 02-15-2019 REG
**
740,256

CIT GROUP INC NEW 5.375 DUE 05-15-2020
**
105,625

CIT GROUP INC NEW COM NEW COM NEW
**
466,848

CIT HOME EQUITY LN TR 2002-1 ASSET BKD CTF CL AF-5 02-25-2033 BEO
**
396,193

CITI TRENDS INC COM ORD USD1
**
56,519

CITIBANK CR CARD 1.73% DUE 04-09-2020
**
2,200,000

CITIBANK CR CARD 1.75% DUE 11-19-2021
**
28,287,874

CITIBANK CR CARD 1.8% DUE 09-20-2021
**
2,536,957

CITIBANK CR CARD 2.15% DUE 07-15-2021
**
20,562,280

CITIBANK CR CARD ISSUANCE TR 2.88 01-23-2023 REG
**
8,698,443

CITIBANK CR CARD ISSUANCE TR SR 2017-A3 CL-A3 0.0% DUE 04-07-2022
**
3,875,672

CITIBANK N A 1.85% 09-18-2019
**
8,131,569

CITIBANK N A 1.85% 09-18-2019
**
596,310

CITIBANK N A FLTG RT 2.04878% DUE 06-12-2020
**
4,873,943

CITIBANK NA FIXED 2% DUE 03-20-2019
**
7,111,688

CITIBANK NA FIXED 2% DUE 03-20-2019
**
4,461,373

CITIC TEL INT HLDGS HKD0.10
**
351,074

CITIGROUP COML MTG 2.29200005531% DUE 02-10-2049
**
6,540,138

CITIGROUP COML MTG 2.687% DUE 02-10-2048
**
6,021,060

CITIGROUP COML MTG 2.71000003815% DUE 08-10-2049
**
8,908,947

CITIGROUP COML MTG 3.061% DUE 02-10-2048
**
1,913,139

CITIGROUP COML MTG 3.65400004387% DUE 12-10-2049
**
3,827,069

CITIGROUP COML MTG FLTG RT 0% DUE 07-15-2017
**
1,300,823

CITIGROUP COML MTG FLTG RT 3.72% DUE 12-10-2049
**
1,950,967

CITIGROUP INC 1.7% DUE 04-27-2018
**
4,520,498

CITIGROUP INC 1.75% DUE 05-01-2018
**
1,298,916

CITIGROUP INC 1.8% DUE 02-05-2018
**
1,244,869

CITIGROUP INC 2.05% DUE 12-07-2018
**
7,076,590


47
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CITIGROUP INC 2.4% DUE 02-18-2020
**
928,912

CITIGROUP INC 2.45% DUE 01-10-2020
**
6,943,199

CITIGROUP INC 2.5% DUE 09-26-2018
**
4,763,618

CITIGROUP INC 2.7% DUE 10-27-2022
**
4,699,251

CITIGROUP INC 2.75% DUE 04-25-2022
**
3,991,908

CITIGROUP INC 2.876% DUE 07-24-2023
**
4,149,104

CITIGROUP INC 2.9% DUE 12-08-2021
**
4,746,029

CITIGROUP INC 3.2% DUE 10-21-2026
**
327,422

CITIGROUP INC 3.4% DUE 05-01-2026
**
10,472,179

CITIGROUP INC 3.5% DUE 05-15-2023
**
5,822,319

CITIGROUP INC 3.668% DUE 07-24-2028
**
5,904,675

CITIGROUP INC 3.7% DUE 01-12-2026
**
6,763,881

CITIGROUP INC 4.125% DUE 07-25-2028
**
190,671

CITIGROUP INC 4.3% DUE 11-20-2026
**
1,286,237

CITIGROUP INC 4.4% DUE 06-10-2025
**
1,952,738

CITIGROUP INC 4.45% DUE 09-29-2027
**
7,490,324

CITIGROUP INC 4.5% DUE 01-14-2022
**
542,519

CITIGROUP INC 4.6% DUE 03-09-2026
**
436,331

CITIGROUP INC 4.65% DUE 07-30-2045
**
390,392

CITIGROUP INC 5.5% DUE 09-13-2025
**
2,647,376

CITIGROUP INC 8.5% DUE 05-22-2019
**
920,824

CITIGROUP INC COM NEW COM NEW
**
44,921,912

CITIGROUP INC FLTG RT 2.44532% DUE 06-07-2019
**
1,209,456

CITIGROUP INC FLTG RT 2.57122% DUE 08-02-2021
**
611,182

CITIGROUP INC FRN 04-27-2018
**
1,802,387

CITIGROUP MTG LN FLTG RT 2.53635% DUE 11-25-2034
**
751,658

CITIZENS & NORTHN CORP COM
**
22,896

CITIZENS BK MEDIUM 2.55% DUE 05-13-2021
**
1,270,281

CITIZENS BK MEDIUM TERM NTS BOOK ENTRY NT 2.5% DUE 03-14-2019/02-14-2019
**
300,710

CITIZENS FINL FLTG RT 5.158% DUE 06-29-2023
**
4,163,134

CITIZENS FINL GROUP INC COM
**
10,280,902

CITIZENS HLDG CO MISS COM US1747151025 ISIN
**
14,237

CITIZENS INC CL A
**
36,912

CITY HLDG CO COM
**
80,694

CIVEO CORP CDA COM
**
31,305

CK ASSET HOLDINGS LTD
**
1,576,836

CK HUTCHISON INTL 2.25% DUE 09-29-2020
**
230,733

CK INFRASTRUCTURE HKD1
**
77,218

CLEAN ENERGY FUELS CORP COM
**
24,455

CLEAN HBRS INC COM
**
3,158,776

CLEARFIELD INC COM
**
13,475

CLEARWATER PAPER CORP COM STK
**
88,394

CLEV ELEC ILLUM CO 8.875% DUE 11-15-2018
**
343,365

CLICKS GROUP LTD ZAR0.01
**
1,026,400

CLIFTON BANCORP INC COM
**
47,316

CLOUD PEAK ENERGY INC COM
**
51,406

CLOUDERA INC COM
**
1,328,208


48
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CLP HOLDINGS LTD NPV
**
132,958

CMD SWP BNPAFRPP 02-15-2018 SWU0398Z0
**
3,815

CMD SWP BNPAFRPP 02-15-2018 SWU0398Z0
**
1,369

CMD SWP BNPAFRPP 02-15-2018 SWU0H9588
**
281,927

CMD SWP BNPAFRPP 02-15-2018 SWU0H9596
**
522,024

CMD SWP BNPAFRPP 02-15-2018 SWU0H9604
**
231,346

CMD SWP CHASUS33 02-15-2018 SWU0H9398
**
6,077

CMD SWP CHASUS33 02-15-2018 SWU0H9448
**
347,941

CMD SWP CHASUS33 02-15-2018 SWU0H9455
**
733,283

CMD SWP CHASUS33 02-15-2018 SWU0H9489
**
94,197

CMD SWP CHASUS33 02-15-2018 SWU0H9513
**
714

CMD SWP CHASUS33 02-15-2018 SWU0H9513
**
26

CMD SWP CIBCUS33 02-15-2018 SWU0H9190
**
31,016

CMD SWP CITIUS33 02-15-2018 SWU0H9646
**
641,799

CMD SWP CITIUS33 02-15-2018 SWU0H9661
**
47,935

CMD SWP GSILGB2X 02-15-2018 SWU0H9059
**
307,885

CMD SWP GSILGB2X 02-15-2018 SWU0H9083
**
5,244

CMD SWP GSILGB2X 02-15-2018 SWU0H9083
**
3,815

CMD SWP GSILGB2X 02-15-2018 SWU0H9083
**
1,369

CMD SWP GSILGB2X 02-15-2018 SWU0H9125
**
1,159,532

CMD SWP GSILGB2X 02-15-2018 SWU0H9125
**
51,278

CMD SWP GSILGB2X 02-15-2018 SWU0H9125
**
15,754

CMD SWP GSILGB2X 02-15-2018 SWU0H9125
**
53,166

CMD SWP GSILGB2X 02-15-2018 SWU0H9125
**
12,704

CMD SWP GSILGB2X 02-15-2018 SWU0H9125
**
27,773

CMD SWP GSILGB2X 02-15-2018 SWU0H9737
**
119,224

CMD SWP GSILGB2X 02-15-2018 SWU0H9737
**
17,234

CMD SWP MACQAU2S 02-15-2018 SWU0H9075
**
95,150

CMD SWP MACQAU2S 02-15-2018 SWU0H9349
**
1,033,352

CMD SWP MLILGB3L 02-15-2018 SWU0H9018
**
134,893

CMD SWP MLILGB3L 02-15-2018 SWU0H9026
**
199,980

CME GROUP INC 3% DUE 09-15-2022
**
112,176

CME GROUP INC COM STK
**
15,065,496

CME_IRS CME_CSFBUS CAD P 1.85%/R 3M CDOR 15/09/2027 SWU00LO05
**
192,406

CME_IRS CME_CSFBUS CAD P 2.2%/R 3M CDOR 16/06/2026 SWU00FMI1
**
17,040

CME_IRS CME_CSFBUS CAD P 2.3%/R 3M CDOR 15/12/2025 SWU00CZV5
**
6,778

CME_IRS CME_CSFBUS JPY P .3%/R 6M LIBOR 20/09/2027 SWU00LCI9
**
37,985

CME_IRS CME_CSFBUS JPY P 6M LIBOR/R .15% 22/03/2018 SWU00DZI2
**
2,316

CME_IRS CME_CSFBUS JPY P 6M LIBOR/R .25% 18/09/2020 SWU00DZH4
**
7,969

CME_IRS CME_CSFBUS JPY P 6M LIBOR/R 1.25% 17/06/2035 SWU00BPW6
**
68,259

CME_IRS CME_CSFBUS NZD P 3M NFIX3/R 2.5% 11/07/2019 SWU00MA99
**
54,571

CME_IRS CME_CSFBUS PLN P 6M WIBOR/R 3.0% 21/03/2028 SWU00ML63
**
35

CME_IRS CME_CSFBUS USD P 1.25%/R 3M LIBOR 06/21/2019 SWU00JR72
**
218,981

CME_IRS CME_CSFBUS USD P 1.45%/R 3M LIBOR 06/28/2021 SWU00ISZ1
**
91,759

CME_IRS CME_CSFBUS USD P 1.5%/R 3M LIBOR 06/15/2019 SWU00H8N2
**
158,171

CME_IRS CME_CSFBUS USD P 1.5%/R 3M LIBOR 06/21/2027 SWU00KLL4
**
933,093

CME_IRS CME_CSFBUS USD P 1.68%/R 3M LIBOR 12/21/2026 SWU00INA1
**
203,965


49
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CME_IRS CME_CSFBUS USD P 1.72%/R 1D FEDL 09/19/2018 SWU00NOK7
**
315

CME_IRS CME_CSFBUS USD P 1.75%/R 3M LIBOR 06/21/2047 SWU00KLP5
**
538,145

CME_IRS CME_CSFBUS USD P 1.75%/R 3M LIBOR 12/21/2026 SWU00INA1
**
88,908

CME_IRS CME_CSFBUS USD P 1.85%/R 3M LIBOR 03/14/2020 SWU00M439
**
352,611

CME_IRS CME_CSFBUS USD P 1.85%/R 3M LIBOR 07/27/2026 SWU00JC37
**
19,117

CME_IRS CME_CSFBUS USD P 2.0%/R 3M LIBOR 04/01/2020 SWU00MZ27
**
153,059

CME_IRS CME_CSFBUS USD P 2.0%/R 3M LIBOR 12/16/2020 SWU00D7N2
**
12,300

CME_IRS CME_CSFBUS USD P 2.1%/R 3M LIBOR 07/01/2041 SWU00IUR6
**
133,723

CME_IRS CME_CSFBUS USD P 2.22%/R 3M LIBOR 09/16/2025 SWU00E7V2
**
2,627

CME_IRS CME_CSFBUS USD P 2.25%/R 3M LIBOR 12/20/2022 SWU00LT67
**
417

CME_IRS CME_CSFBUS USD P 2.25%/R 3M LIBOR 12/21/2046 SWU00INI4
**
62,690

CME_IRS CME_CSFBUS USD P 2.25%/R 3M LIBOR 12/21/2046 SWU00INI4
**
20,897

CME_IRS CME_CSFBUS USD P 2.3%/R 3M LIBOR 04/27/2026 SWU00I172
**
15,362

CME_IRS CME_CSFBUS USD P 2.4%/R 3M LIBOR 03/16/2026 SWU00HB08
**
13,002

CME_IRS CME_CSFBUS USD P 2.5%/R 3M LIBOR 06/15/2046 SWU00FLJ0
**
80,925

CME_IRS CME_CSFBUS USD P 3M LIBOR/R 1.94% 09/19/2018 FRA001838
**
1,359

CME_IRS CME_CSFBUS USD P 3M LIBOR/R 2.68% 10/25/2023 SWU00L7Y0
**
14,647

CME_IRS CME_CSFBUS ZAR P 3M JIBAR/R 7.5% 15/03/2019 SWU00JQX6
**
3,772

CME_IRS CME_CSFBUS ZAR P 3M JIBAR/R 7.75% 15/03/2022 SWU00JTL9
**
72,827

CME_IRS CME_CSFBUS ZAR P 3M JIBAR/R 8.25% 15/03/2022 SWU00K8T2
**
19,280

CME_IRS CME_CSFBUS ZAR P 7.75%/R 3M JIBAR 22/03/2028 SWU00MM62
**
8,814

CME_ZCS CME_CSFBUS BRL P 1D BZDIO/R 8.35% 02/01/2020 SWU00NES1
**
56,216

CME_ZCS CME_CSFBUS BRL P 1D BZDIO/R 8.35% 02/01/2020 SWU00NES1
**
13,883

CMNTY HLTH SYS INC NEW COM
**
59,857

CMO ADJBL RATE MTG TR DUE 09-25-2035 BEO
**
1,008,892

CMO ALTERNATIVE LN TR 2006-OA9 MTG CL 2A-1A 0 DUE 07-25-2036 REG
**
133,623

CMO AMERN HOME MTG INVT TR 2005-2 MTG BKD NT CL IV-A-1 VAR 09-25-45
**
134,626

CMO BANK 2017-BNK7 COML MTG PASS THRU CTF CL A-5 3.435% 09-15-2060
**
2,075,961

CMO BANK OF AMER MERRILL LYNCH COML MTG TR 2 3.366% DUE 02-15-2050 BEO
**
3,073,110

CMO BANK SER 2017-BNK9 CL A-2 2.766% 11-15-2054 REG
**
8,897,099

CMO BANK SR 2017-BNK6 A-SB 3.289% 07-15-2060
**
1,984,720

CMO BEAR STEARNS ALT-A TR 2006-8 MTG PASSTHRU CTF CL III-A-1 01-25-2037 REG
**
195,244

CMO BEAR STEARNS ALT-A TR SER 2005-4 CL II-3A-2 DUE 05-25-2035 REG
**
1,226,118

CMO BEAR STEARNS ARM TR 2000-2 MTG PASS THRU CTF CL A-1 VAR RATE 11-25-2030 BEO
**
20,581

CMO BEAR STEARNS ARM TR 2002-11 CL I-A-1DUE 02-25-2033/04-25-2006 BEO
**
2,851

CMO BEAR STEARNS ARM TR 2004-10 MTG DUE 01-25-2035
**
65,172

CMO BEAR STEARNS ARM TR DUE 02-25-2034 REG
**
367,909

CMO BEAR STEARNS ARM TR SER 2005-2 CL A-1 FLT RT DUE 03-25-2035 BEO
**
1,817,787

CMO BEAR STEARNS ARM TR SER 2005-2 CL A-2 FLT RT DUE 03-25-2035 BEO
**
15,345

CMO BEAR STEARNS STRUCTURED PRODS INC TR200 DUE 12-25-2046 REG
**
2,529,174

CMO BEAR STEARNS STRUCTURED PRODS INC TR200 MTG PASSTHRU CTF CL I-A-1 VAR DUE
**
75,572

CMO CHASE MTG FIN TR SER 2007-A1 PASSTHRU CTF CL 1-A1 4.366 03-25-37 REG
**
66,381

CMO CITIGROUP COML MTG TR 2015-GC33 COML CTF CL A-4 3.778 DUE 09-10-2058 REG
**
1,908,272

CMO CITIGROUP COML MTG TR 2016-C3 COML MTG CTF CL A-3 2.86% 11-15-2049
**
6,899,837

CMO CITIGROUP COML MTG TR 2017-B1 COML MTG CTF CL A-AB 3.243% 08-15-2050
**
2,030,516

CMO CITIGROUP COML MTG TR 2017-P7 COML MTG CTF CL B VAR RT 04-15-2050
**
1,189,887

CMO CITIGROUP COML MTG TR 2017-P8 CL A-4 3.465% 09-15-2050
**
1,920,073


50
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CMO CITIGROUP COML MTG TR SR 2012-GC8 CL AAB 2.608% DUE 09-10-2045
**
8,827,815

CMO CITIGROUP COMMERCIAL MORTGAGE TRUST SR 17-C4 CL A2 3.19% 10-12-2050
**
5,820,504

CMO CITIGROUP MTG LN TR SER 2005-6 CL A1FLT RT DUE 09-25-2035 BEO
**
22,068

CMO CITIGRP COMMERICAL MTG CITIGROUP COML MTG TR 3.127 DUE 04-15-2049 REG
**
10,956,920

CMO COMM 2012-CCRE1 MTG TR CTF CL A-3 3.391% DUE 05-15-2045 REG
**
4,849,161

CMO COMM 2013-CCRE12 MTG TR MTG PASS THRU CTF CL A-4 4.046 DUE 10-10-2046 REG
**
10,726,947

CMO COMM 2013-CCRE12 MTG TR MTG PASS THRU CTF CL B 4.762% DUE 10-10-2046 REG
**
274,237

CMO COMM 2013-CCRE8 MTG TR COML MTG PASSTHRU CTF CL A-4 3.334 6-10-2046
**
933,113

CMO COMM 2013-LC13 MTG TR CL A-2 3.009 DUE 08-10-2046
**
4,854,773

CMO COMM 2014-CCRE18 MTG TR SER 2014-CR18 CL A-SB 3.452 DUE 7-15-47
**
4,112,108

CMO COMM 2014-UBS6 MTG TR MTG PASS THRU CTF CL A-4 3.378% DUE 12-10-2047 REG
**
8,498,237

CMO COMM 2015-LC23 MTG TR CL A-SB 3.598% DUE 10-10-2053 REG
**
16,147,534

CMO COMM MORTGAGE TRUST SER 2015-DC1 CL A2 2.87% 02-10-2048
**
5,465,350

CMO COMM MTG TR SER 2014-CR15 CL A-2 2.928 02-10-2047
**
3,980,502

CMO CREDIT SUISSE 1ST BSTN MTG SECS CORPSER 2004-8 CL 6A1 4.5 DUE 12-25-2019 REG
**
56,353

CMO CSAIL 2015-C4 COML MTG TRUST SR 2015-C4 CL-ASB 3.6167% DUE 11-11-2048
**
2,591,543

CMO CSAIL 2016-C5 COML MTG TR CL A-SB 3.5325% DUE 11-15-2048 REG
**
10,312,650

CMO CSAIL COML MTG TR SER 2016-C7 CL A3 2.6082% 11-15-2049
**
4,341,836

CMO CWALT INC 2004-J7 MTG PASSTHRU CTF CL 2-A-1 FLT RT DUE 09-25-2034
**
2,920

CMO CWMBS INC SER 2005-11 CL 3-A-1 FLT RT DUE 04-25-2035 REG
**
849,931

CMO CWMBS INC SER 2005-11 CL 3-A-3 FLT RT DUE 04-25-2035 REG
**
106,956

CMO DBJPM 2016-C1 MTG TR CL A-SB 3.038% DUE 05-10-2049 REG
**
3,424,827

CMO GS MORTGAGE SECURITIES TRUST SER 15-GC28 FLTG RT 02-10-2048 REG
**
1,309,930

CMO GS MTG SECS CORP 2003-2F CL IIIA-1 6% DUE 03-25-2032 BEO
**
2,524

CMO GS MTG SECS TR 2010-C2 3.849 DUE 12-10-2043 BEO
**
8,854

CMO GS MTG SECS TR 2011-GC5 MTG PASS THRU CTF CL D 144A DUE 08-10-2044 BEO
**
548,400

CMO GS MTG SECS TR 2013-GCJ12 CL AAB VARRT DUE 06-10-2046 BEO
**
8,162,361

CMO GS MTG SECS TR 2013-GCJ16 COML MTG PASSTHRU CTF CL B 5.161 DUE 11-01-2046
**
547,798

CMO GS MTG SECS TR 2014-GC18 COML MTG PASS THRU CTF CL A-2 0 DUE 1-10-47 REG
**
1,296,253

CMO GS MTG SECS TR 2015-GS1 CL A-AB 3.553% DUE 11-10-2048 REG
**
12,934,088

CMO GS MTG SECS TR 2017-GS7 COML MTG PASSTHRU CTF CL A-4 0 DUE 08-10-2050 REG
**
8,301,859

CMO HARBORVIEW MTG LN TR 2003-1 CL A FLTG RT 05-19-2033
**
12,522

CMO HARBORVIEW MTG LN TR 2005-4 MTG PASSTHRU CTF CL 4-A DUE 07-19-2035 REG
**
386,255

CMO HARBORVIEW MTG LN TR 2005-9 CL 2-A-1A DUE 06-20-2035 REG
**
763,403

CMO HOMESTAR MTG ACCEP CORP SER 2004-4 CL A3 FLT RT DUE 09-25-2034 BEO
**
73,205

CMO J P MORGAN MTG TR 2004-A3 CL 1-A-1 DUE 07-25-2034 REG
**
346,628

CMO J P MORGAN MTG TR 2005-A1 MTG PASSTHRU CTF CL 6-T-1 DUE 02-25-2035 REG
**
260,614

CMO J P MORGN CHASE COML MTG SECS TR 2013-C CL A-4 2.8754 DUE 12-15-2047 REG
**
3,568,183

CMO JOHN DEERE OWNER TR 2014 ASSET BACKED NT CL A-3 .92% DUE 04-16-2018 REG
**
—

CMO JPMBB COML MTG SECS TR 2013-C15 COM MTG PASSTH CTF CL B 4.9267 11-15-2045
**
2,506,138

CMO JPMBB COML MTG SECS TR 2013-C17 COMLMTG PASSTHRU CTF CL B DUE 01-15-2047 REG
**
317,160

CMO JPMBB COML MTG SECS TR 2015-C28 COML CTF A-2 2.7733 DUE 10-15-2048 REG
**
7,449,994

CMO JPMBB COML MTG SECS TR 2015-C30 COMLMTG PASSTHRU CTF CL B DUE 07-15-2048 REG
**
3,133,329

CMO JPMBB COML MTG SECS TR 2015-C31 FLTG RT 08-15-2048
**
347,232

CMO JPMBB COML MTG SECS TR SER 2013-C17 CL A-2 3.0032 DUE 01-15-2047
**
1,167,028

CMO JPMBB COML MTG SER 15-C32 CL A4 3.3293% DUE 11-15-2048 REG
**
5,101,010

CMO JPMBB COMM MTG SECS TST SER 2015-C31 CL A3 3.8014% 08-15-2048
**
7,095,014


51
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CMO JPMCC COML MTG SECS TR 2017 CL A-3 3.3422% DUE 03-15-2050 REG
**
4,058,372

CMO JPMCC COML MTG SECS TR 2017-JP7 CL A-3 3.3785% 09-15-2050
**
1,843,150

CMO JPMCC COML MTG SECS TR SER 2016-JP3 CL A5 2.8704% 08-15-2049
**
2,249,497

CMO JPMDB COML MTG SECS SR 2017-C7 CL A-5 3.4092% DUE 10-15-2050
**
4,830,096

CMO JPMDB COML MTG SECS TR 2017-C7 CL A-3 10-15-2050
**
9,540,119

CMO LB-UBS COML MTG TR 2008-C1 MTG PASSTHRU CTF CL A-2 DUE 04-15-2041 REG
**
637,914

CMO MASTR ADJ RATE MTGS TR 2003-6 MTG PASSTHRU CTF CL 3-A-1 DUE 12-25-2033 REG
**
578,350

CMO MASTR ALTERNATIVE LN TR 2004-8 MTG PASSTHRU CTF CL 7-A-1 5 DUE 09-25-2019
**
31,694

CMO MELLON RESDNTL FDG CORP 2000-TBC2 MTG PASSTHRU CTF CL A-1 VAR 05-25-30
**
336,894

CMO MERRILL LYNCH MTG INVS INC 2004-A CLA-1 FLTG DUE 04-25-2029 REG
**
10,761

CMO MERRILL LYNCH MTG INVS INC DUE 10-25-2035 REG
**
293,042

CMO MERRILL LYNCH MTG INVS INC SER 2003-C CL A1 6-25-28
**
195,839

CMO MERRILL LYNCH MTG INVS INC SER 2005-A5 CL A3 DUE 06-25-2035 REG
**
6,830,918

CMO MORGAN STANLEY BK AMER MERRILL LYNCHTR DUE 05-15-2046 REG
**
313,349

CMO MORGAN STANLEY BK AMER MERRILL SER 2015-C26 CL ASB 3.323% 11-15-2048
**
10,256,330

CMO MORGAN STANLEY BK AMER MERRILL LYN TR COML MTG CTF CL A-SB 3.654 04-15-47
**
3,107,973

CMO MORGAN STANLEY BK AMER MERRILL SER 2014-C14 CL A2 2.916 DUE 01-15-2047 REG
**
10,988,989

CMO MORGAN STANLEY BK AMER MERRILL TR 2017-C33 CL A-3 3.295% 05-15-2050
**
7,838,571

CMO MORGAN STANLEY CAP I TR 2011-C3 COMLMTG CTF CL A-3 4.054 DUE 7-15-49
**
140,420

CMO MORGAN STANLEY CAP I TR SER 2016-UBS12 CL A4 3.596% 12-15-2049
**
1,927,903

CMO MORGAN STANLEY MTG LN TR 2004-2AR DUE 01-25-2035 REG
**
119,247

CMO MORGAN STANLEY MTG LN TR 2005-6AR MTG CL 1-A-1 FLTG RT 11-25-2035
**
11,029

CMO MORTGAGEIT TR 2005-2 MTG BKD NT CL 1-A-1 ADJ RATE DUE 05-25-2035 REG
**
1,254,479

CMO PRIME MTG TR 2005-2 MTG PASSTHRU CTFI-A-1 4.75% DUE 07-25-2020 REG
**
57,723

CMO RALI SER 2006-QO7 TR MTG AST BKD PASSTHRU CTF CL III-A-2 DUE 9-25-46 REG
**
107,063

CMO RBSGC MTG LN TR 2007-B MTG PASSTHRU CTF CL 1A4 DUE 01-25-2037 REG
**
718,138

CMO RESDNTL AST MTG PRODS GMACM 2005-AR43-A-1 5.11453 DUE 07-19-2035 REG
**
1,629,298

CMO RESDNTL FDG MTG SECS I INC MTG PASS 2003-S9 CL A-1 6.5 03-25-2032 REG
**
2,932

CMO SEQUOIA MTG TR 2004-1 2004-3 MTG PASSTHRU CTF CL A-1 VAR RT 04-20-34 REG
**
11,411

CMO SEQUOIA MTG TR 2004-1 2005-2 MTG PASSTHRU CTF A-2 DUE 03-20-2035 REG
**
438,959

CMO SMALL BUSINESS ADMIN GTD DEV PARTN CTF SER 2005-20B CL 1 DUE 02-01-2025 REG
**
623,761

CMO STRUCTU ASST MTG INVTS II INC 2004-AR1 FLT MTG PASS CTF CL IA1 3-19-34
**
163,756

CMO STRUCTURED ASSET MTG INVTS II INC 2003-AR4 CL A-1 DUE 01-19-2034 REG
**
702,214

CMO STRUCTURED ASSET SECS CORP 2004-4 MTG PASSTHRU CTF 2-A1 DUE 04-25-2034 REG
**
460,721

CMO STRUCTURED ASSET SECS CORP 2004-4 MTG PASSTHRU CTF 3-A2 DUE 04-25-2034 REG
**
15,599

CMO STRUCTURED AST MTG INVTS II INC DUE 05-19-2035 REG
**
6,660,031

CMO STRUCTURED AST MTG INVTS II INC DUE 07-19-2035 REG
**
1,239,333

CMO STRUCTURED AST MTG INVTS II TR 2006-AR5 CL 2-A-1 DUE 06-25-2036 REG
**
1,750,565

CMO STRUCTURED AST SECS CORP 2004-1 MTG PASSTHRU CTF CL 4-A1 DUE 02-25-2034 REG
**
10,112

CMO STRUCTURED AST SECS CORP FOR FUTURE IS 2003-31A CL 2-A7 10-25-2033 REG
**
2,143,220

CMO STRUCTURED AST SECS CORP FOR FUTURE IS DUE 06-25-2033 REG
**
210,221

CMO STRUCTURED AST SECS CORP FOR FUTURE IS SER 2003-34A CL 3-A3 4.7 11-25-33 REG
**
755,884

CMO STRUCTURED AST SECS CORP SER 2003-22A CL 3-A 4.42 DUE 6-25-2033 REG
**
216,677

CMO UBS COML MTG TR 2012-C1 COML MTG PASSTHRU CTF CL A-3 3.4 05-10-2045
**
9,917,880

CMO UBS COML MTG TR 2017-C3 COML MTG PASS THRU CTF CL A-S 3.739% 08-15-2050
**
6,974,706

CMO UBS COML MTG TR SER 2017-C3 CL ASB 3.215% 08-15-2050
**
5,111,995

CMO UBS-BARCLAYS COML MTG TR 2012-C2 CTFCL A-4 3.525% DUE 05-10-2063 REG
**
4,676,797


52
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CMO UBS-BARCLAYS COML MTG TR SER 2012-C4CL A-AB 2.4589 12-10-2045
**
3,170,062

CMO WAMU MTG PASS THRU CTFS SER 2006 AR13 CL 2A FLTG RATE DUE 10-25-2046 REG
**
374,864

CMO WAMU MTG PASS-THROUGH CTFS 2005-AR2 CL 2A-1A VAR DUE 01-25-2045 REG
**
2,338,341

CMO WAMU MTG PASS-THRU CTFS 2005-AR8 CTFCL 2-A-1A DUE 07-25-2045 REG
**
153,022

CMO WAMU MTG PASS-THRU CTFS TR 2002-AR2 MTG PASSTHRU CTF CL A VAR DUE 02-27-2034
**
1,900,749

CMO WASHINGTON MUT MTG SECS CORP 2003-MS2 CL III-A-1 5 DUE 03-25-2018 BEO
**
3,641

CMO WELLS FARGO COML MTG SER 15-NXS3 CL ASB 3.371% 09-15-2057
**
2,893,735

CMO WELLS FARGO COML MTG SER 2017-C39 CL ASB 3.212% 09-15-2050
**
2,533,235

CMO WELLS FARGO COML MTG TR 2016-C37 COML MTG CL A-3 3.704 12-15-2049
**
3,841,270

CMO WELLS FARGO COML MTG TR SER 2015-C29 CTF CL A-2 2.552% DUE 06-15-2048
**
6,312,720

CMO WELLS FARGO COML MTG TR SER 2016-C35 CL C 4.176% 07-15-2048
**
2,003,088

CMO WELLS FARGO COML MTG TRUST SR 2017-C38 CL A-2 3.043% DUE 07-15-2050
**
3,552,755

CMO WELLS FARGO MTG BACKED SECS 2006-AR10 TR CL III-A-1 0 DUE 07-25-36
**
11,601

CMO WELLS FARGO MTG BACKED SECS 2004-EE TR SER 2004-EE CL-2A1 DUE 12-25-2034 REG
**
487,418

CMO WELLS FARGO MTG BKD SECS 2004-AA TR MTG PTHRU CTF CL A-1 VAR 12-25-34 REG
**
453,241

CMO WFRBS COML MTG TR 2014-C19 COML MTG PASSTHRU CTF CL B 4.723 DUE 03-15-2047
**
315,138

CMO WFRBS COML MTG TR 2014-C23 COML MTG PASSTHRU CTF CL B DUE 10-14-2057 REG
**
5,365,764

CMO WFRBS COML MTG TR 2014-C23 COML MTG PASSTHRU CTF CL C DUE 10-15-2057 REG
**
1,594,671

CMOMORGAN STANLEY BK AMER MERRILL SER 2016-C31 CL A-SB 2.952% 12-15-2025
**
3,510,997

CMS ENERGY CORP 3.45% 08-15-2027
**
121,061

CMS ENERGY CORP COM
**
3,454,981

CNA FINL CORP 3.95% DUE 05-15-2024
**
66,609

CNA FINL CORP 4.5% DUE 03-01-2026
**
87,274

CNA FINL CORP 6.95% DUE 01-15-2018
**
175,273

CNB FINL CORP PA COM
**
37,654

CNH EQUIP SER 17-C CL A3 2.3% 02-15-2023
**
10,066,689

CNH EQUIP TR 1.63% DUE 08-15-2021
**
558,122

CNH EQUIP TR 2.07% DUE 05-16-2022
**
1,790,840

CNH EQUIP TR FIXED 1.86% DUE 09-15-2022
**
7,581,134

CNH EQUIP TR SR 17-B CL A4 2.17% 04-17-2023
**
1,437,650

CNH INDUSTRIAL NV COM STK
**
12,254,635

CNO FINL GROUP INC COM
**
3,024,031

CNOOC FIN 2015 2.625% DUE 05-05-2020
**
448,878

CNOOC LTD HKD0.02
**
471,276

CNP ASSURANCES EUR1.00
**
1,028,253

CNSMR PORTFOLIO SVCS DEL
**
10,209

CNX RESOURCES CORPORATION COM
**
316,930

COBIZ FINL INC COM STK
**
3,460,429

COCA-COLA HBC AG ORD (CDI)
**
2,935,914

CODORUS VY BANCORP INC COM
**
19,743

COEUR MNG INC COM NEW COM NEW
**
88,583

COGENT COMMUNICATIONS HLDGS INC
**
1,814,718

COGNEX CORP COM
**
1,656,335

COGNIZANT TECH SOLUTIONS CORP CL A
**
2,602,173

COHERENT INC COM
**
4,719,565

COHU INC COM
**
56,236

COLFAX CORP COM US .01
**
392,912


53
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
COLTV SHORT TERM INVT FD
**
86,484,480

COLUMBIA BKG SYS INC COM
**
271,283

COLUMBIA PIPELN 3.3% DUE 06-01-2020
**
354,999

COLUMBIA PPTY TR INC COM NEW STK
**
161,384

COLUMBIA SPORTSWEAR CO COM
**
1,510,989

COLUMBUS MCKINNON CORP N Y COM
**
109,705

COM ALCOA CORPORATION COM USD0.01
**
724,767

COM HEM HLDG AB NPV
**
861,139

COMCAST CORP 3.0% 02-01-2024
**
603,971

COMCAST CORP NEW 3.15% DUE 02-15-2028
**
24,377,663

COMCAST CORP NEW 3.375 DUE 02-15-2025
**
102,675

COMCAST CORP NEW 4.2% DUE 08-15-2034
**
160,273

COMCAST CORP NEW 5.7% DUE 07-01-2019
**
105,263

COMCAST CORP NEW 5.875% DUE 02-15-2018
**
1,613,279

COMCAST CORP NEW FIXED 3.999% DUE 11-01-2049
**
572,428

COMCAST CORP NEW-CL A
**
24,933,969

COMERICA BK DALLAS 2.5% DUE 06-02-2020
**
299,604

COMERICA INC 2.125 05-23-2019
**
4,131,068

COML METALS CO COM
**
225,075

COMM MTG TRUST SER 2015-CR24 CL A-4 3.432% 8-10-2048
**
7,708,478

COMM 2012-CCRE4 1.801% DUE 10-15-2045
**
794,972

COMM 2012-LC4 MTG TR CTF CL A-4 3.288 12-10-2044
**
758,488

COMM 2013-CCRE12 4.3% DUE 10-10-2046
**
308,026

COMM 2013-CCRE12 MTG TR MTG PASS THRU CTF CL C VAR RATE DUE 10-10-2046
**
123,688

COMM 2013-LC6 MTG 2.666% DUE 01-10-2046
**
3,489,896

COMM 2014-CCRE14 MTG TR SER 2014-CR14 CL A-2 3.147 02-10-2047 REG
**
1,179,840

COMM 2014-CCRE17 3.012% DUE 05-10-2047
**
2,727,105

COMM 2014-CR21 MTG TR MTG PASS THRU CTF CL A-2 3.095% DUE 12-10-2047
**
11,947,314

COMM 2014-UBS4 MTG 2.963% DUE 08-10-2047
**
18,171,891

COMM 2014-UBS6 MTG SER 2014-UBS6 CL A-2 2.935% 12-10-2047 REG
**
3,823,321

COMM 2015-CCRE22 FIXED 2.856% DUE 03-10-2048
**
5,049,530

COMM 2015-CCRE23 MTG TR 2015-CR23 CL A-SB 3.257% DUE 05-10-2048
**
2,866,220

COMM 2015-CCRE26 3.373% DUE 10-10-2048
**
2,681,676

COMM MORTGAGE TRUST SR 2013-CR9 CL A-SB 3.834 DUE 07-10-2045 REG
**
14,468,840

COMM SER 2015-DC1 CL A-SB 3.142% 02-10-2048
**
1,118,146

COMMERCIAL VEH GROUP INC COM
**
20,674

COMMERZBANK AG NPV
**
547,426

COMMERZBANK FIN.&C 4.25% SNR 04/06/18 EUR1000
**
611,333

COMMONWEALTH EDISON CO 2.95% 08-15-2027
**
2,372,815

COMMSCOPE HLDG CO INC COM
**
3,442,530

COMMUNITY BK SYS INC COM
**
235,748

COMMUNITY TR BANCORP INC COM
**
82,048

COMPAL ELECTRONIC TWD10
**
132,889

COMPASS GROUP ORD GBP0.1105
**
12,241,834

COMPUGROUP MEDICAL NPV
**
1,085,496

COMPUTER TASK GROUP INC COM
**
6,273

COMPUTERSHARE LTD NPV
**
55,855


54
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
COMTECH TELECOMMUNICATIONS CORP COM NEW COM NEW
**
59,901

COMWLTH BK 2.3% DUE 03-12-2020
**
4,452,559

COMWLTH BK 2.5% DUE 09-20-2018
**
3,805,332

COMWLTH BK 2.55% DUE 03-15-2021
**
600,238

COMWLTH EDISON CO 4% DUE 08-01-2020
**
191,908

COMWLTH EDISON CO 5.8% DUE 03-15-2018
**
700,159

CONCERT PHARMACEUTICALS INC COM
**
11,124

CONCHO RES INC 3.75% DUE 10-01-2027
**
1,858,960

CONCHO RES INC COM STK
**
6,643,930

CONDUENT INC COM
**
3,161,268

CONMED CORP COM
**
2,921,702

CONNECTONE BANCORP INC NEW COM
**
89,765

CONNS INC COM
**
76,504

CONOCO INC 6.95% DUE 04-15-2029
**
183,877

CONOCOPHILLIPS CO 2.2% DUE 05-15-2020
**
299,327

CONOCOPHILLIPS CO 2.4 DUE 12-15-2022
**
889,536

CONOCOPHILLIPS GTD NT 6.5 DUE 02-15-2039REG
**
167,932

CONS EDISON CO N Y 3.875% DUE 06-15-2047
**
94,124

CONS EDISON CO N Y 4.2% DUE 03-15-2042
**
130,296

CONS WTR CO LTD COM
**
18,081

CONSOL ENERGY INC NEW COM
**
106,954

CONSOLIDATED COMMUNICATIONS HLDGS INC COM STK
**
63,120

CONSOLIDATED TOMOKA LD CO COM STK
**
39,053

CONSTELLATION 2.25% 11-06-2020
**
2,893,209

CONSTELLATION 4.75% DUE 11-15-2024
**
126,017

CONSTELLATION 4.75% DUE 12-01-2025
**
27,466

CONSTELLATION 5.15% DUE 12-01-2020
**
85,186

CONSTELLATION BRANDS INC CL A CL A
**
5,758,364

CONSTELLATION SOFT COM STK NPV
**
1,566,673

CONSUMERS ENERGY 2.85 DUE 05-15-2022
**
444,331

CONSUMERS ENERGY 5.65% DUE 04-15-2020
**
32,298

CONTACT ENERGY NPV
**
732,366

CONTANGO OIL & GAS CO COM NEW COM NEW
**
15,491

CONTINENTAL AIRLS PASS THRU TR 2007-1A 5.983% DUE 04-19-2023
**
1,512,862

CONTINENTAL BLDG PRODS INC COM
**
3,729,031

CONTL AIRLINES 2012-A 4.15% 04-11-2024
**
268,471

CONTL AIRLS INC 4% DUE 04-29-2026
**
265,986

CONTL AIRLS INC 5.5% DUE 10-29-2020
**
981,409

CONTROL4 CORP COM
**
25,891

CONVENANT TRANSN GROUP INC CL A
**
35,338

CONVIVIALITY PLC ORD GBP0.0002
**
179,298

COOP GRP HLDG 2011 5.625% GTD SNR 08/07/20 GBP
**
746,549

COOPER COS INC COM NEW COM NEW
**
2,064,631

COOPER TIRE & RUBBER CO COM, NO PAR
**
217,403

COOPERATIEVE 2.75% DUE 01-10-2022
**
4,808,413

COOPERATIEVE CENTRALE RAIFFEISEN BOERENL10-23-2017 1.72% CD 10-19-2018
**
2,259,599

COOPERATIEVE CENTRALE RAIFFEISEN BOERENL2.25 DUE 01-14-2019
**
6,816,320


55
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
COOPERATIEVE RABOBANK UA 4.625% DUE 12-01-2023 REG
**
535,977

COOPER-STANDARD HOLDING COM
**
1,231,003

COPA HOLDINGS SA COM STK
**
215,837

COPPER MTN MNG COMMON STOCK
**
97,812

CORCEPT THERAPEUTICS INC OC-COM CORCEPT THERAPEUTICS
**
629,608

CORE LABORATORIES NV NLG0.03
**
2,421,055

CORE MOLDING TECHNOLOGIES INC COM STK
**
17,794

CORE-MARK HLDG CO INC COM
**
67,392

CORNERSTONE ONDEMAND INC COM
**
2,331,780

CORNING INC COM
**
18,415,779

CORP OFFICE PPTYS TR COM
**
176,572

CORPORACION ANDINA DE FOMENTO NT 2% DUE 05-10-2019 REG
**
3,049,259

CORPORACION ANDINA DE FOMENTO NT 2.125% DUE 09-27-2021 REG
**
5,676,593

CORPORACION ANDINA DE FOMENTO NT 2.75% DUE 01-06-2023 REG
**
519,146

CORPORACION ANDINA DE FOMENTO SR NT 2.2%DUE 07-18-2020 REG
**
173,635

COSTAMARE INC COM STK
**
40,967

COSTAR GROUP INC COM
**
7,032,370

COSTCO WHOLESALE CORP NEW COM
**
9,253,886

COTIVITI HLDGS INC COM
**
1,735,443

COTT CORP QUE COM STK
**
1,127,332

COTY INC COM CL A COM CL A
**
3,720,405

COUNTRY GARDEN HLD HKD0.10
**
151,921

COUNTRYWIDE AST-BACKED CERTIFICATES SER 2007-13 RATE 02-25-2036 REG
**
3,850,341

COUPA SOFTWARE INC COM
**
1,300,313

COUSINS PPTYS INC COM
**
221,269

COVENTRY HLTH CARE 5.45% DUE 06-15-2021
**
4,952,744

COVESTRO AG NPV
**
5,387,014

COVIDIEN INTL FINANCE SA 4.2 DUE 6-15-2020
**
209,037

COWEN INC COM USD0.01 CL A
**
31,409

CPS AUTO 1.53% DUE 07-15-2019
**
18,650

CPS AUTO 3.95% DUE 03-15-2023
**
188,734

CR ACCEP AUTO LN 2.15% DUE 04-15-2024
**
1,795,269

CR ACCEP AUTO LN 2.4% DUE 02-15-2023
**
2,895,591

CR ACCEP AUTO LN 3.02% DUE 04-15-2026
**
485,069

CR AGRICOLE S A 4.125% DUE 01-10-2027
**
519,158

CR AGRICOLE S A FLTG RT 2.50606% DUE 06-10-2020
**
13,184,886

CR AGRICOLE S A STEP CPN 8.125% DUE 09-19-2033
**
518,925

CR AGRICOLE SA 8.125 09-19-2033
**
1,971,915

CR SUISSE AG NEW 1.7% DUE 04-27-2018
**
2,797,917

CR SUISSE AG NEW 2.3% DUE 05-28-2019
**
3,071,564

CR SUISSE AG NEW 3% DUE 10-29-2021
**
5,051,305

CR SUISSE AG NEW 5.3% DUE 08-13-2019
**
4,880,096

CR SUISSE AG TRANCHE # TR 00006 4.375 DUE 08-05-2020
**
4,411,347

CR SUISSE GROUP 3.125% DUE 12-10-2020
**
5,110,731

CR SUISSE GROUP 3.75% DUE 03-26-2025
**
6,632,516

CR SUISSE GROUP 3.8% DUE 06-09-2023
**
257,824



56
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CR SUISSE GROUP 4.55% DUE 04-17-2026
**
14,240,097

CR SUISSE GROUP AG 4.282% DUE 01-09-2028
**
6,568,380

CR SUISSE N Y BRH FORMERLY CR S SUB 6 DUE 02-15-2018 BEO
**
939,237

CRA INTL INC COM
**
48,591

CRAFT BREW ALLIANCE INC COM
**
35,424

CRANE CO COM
**
1,860,148

CRAY INC COM NEW STK
**
110,231

CREDICORP LTD COM STK
**
228,173

CREDIT AGRICOLE CORP & INVT BK CTF DEP 06-07-2017 VAR 06-03-2019
**
5,397,422

CREDIT AGRICOLE S A TRANCHE # TR 00013 VAR DTD 04/15/2014 DUE 04-15-2019 BEO
**
1,208,705

CREDIT AGRICOLE S A UNDATED DEEPLY FIXEDTO 144A FLTG RATE NT 8.375 15 AUG 39
**
3,215,500

CREDIT SUISSE AG N Y BRH CTF DEP 09-13-2017 1.75% 03-12-2019
**
15,246,954

CREDIT SUISSE GROUP AG 6.5% 08/08/2023
**
672,825

CREDITO REAL, S.A.B.DE C.V., SOFOM, E.R.
**
510,142

CREE INC COM
**
399,292

CRESCENT POINT EN COM NPV
**
46,640

CREW ENERGY INC COM NPV
**
125,623

CROCS INC COM
**
91,501

CROSS CTRY HEALTHCARE INC COM
**
48,845

CROWN CASTLE INTL 2.25% DUE 09-01-2021
**
3,632,673

CROWN CASTLE INTL 3.4% DUE 02-15-2021
**
5,493,245

CROWN CASTLE INTL 4% DUE 03-01-2027
**
68,503

CROWN CASTLE INTL 4.875% DUE 04-15-2022
**
4,289,456

CROWN CASTLE INTL 5.25% DUE 01-15-2023
**
54,747

CROWN CASTLE INTL CORP NEW COM
**
32,660,252

CROWN HLDGS INC COM
**
4,032,450

CROWN RESORTS LIMITED
**
588,743

CRYOLIFE INC COM
**
70,223

CSAIL 2016-C6 COML 2.66190004349% DUE 01-15-2049
**
6,005,910

CSAIL 2016-C6 COML 2.8233% DUE 01-15-2049
**
2,252,935

CSAIL 2016-C6 COML 2.95989990234% DUE 01-15-2049
**
12,209,604

CSMC TR 2016-BDWN FLTG RT 6.05947% DUE 02-15-2029
**
1,768,782

CSPC PHARMACEUTICAL GROUP LTD HKD0.10
**
633,603

CSRA INC COM
**
2,790,638

CSS INDS INC COM
**
21,513

CSW INDUSTRIALS INC COM
**
58,816

CSX CORP 3.7 11-01-2023
**
155,618

CTBC FINANCIAL HOLDING CO COM STK
**
436,511

CTS CORP COM
**
66,409

CUBESMART
**
1,978,677

CUBIC CORP COM
**
151,030

CULP INC COM
**
41,205

CUMMINS INC
**
18,511,872

CURRENCY OPTION CALL DEUTGB2L USD/JPY 120 European 04-17-2020 31750C4X5
**
20,185

CURTISS WRIGHT CORP COM
**
191,670

CUSTOMERS BANCORP INC COM
**
78,282

CVB FINL CORP COM
**
2,147,141


57
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CVC CORDATUS LOA 4 FRN CLO 01/2028 EUR 'A'
**
1,440,949

CVR ENERGY INC COM STK
**
141,214

CVS CAREMARK CORP 4 DUE 12-05-2023
**
3,119,145

CVS HEALTH CORP 2.25% DUE 12-05-2018
**
505,669

CVS HEALTH CORP 2.75% DUE 12-01-2022
**
3,260,625

CVS HEALTH CORP 2.8% DUE 07-20-2020
**
13,039,096

CVS HEALTH CORP 3.875% DUE 07-20-2025
**
6,028,853

CVS HEALTH CORP 4.125% DUE 05-15-2021
**
259,741

CVS HEALTH CORP COM
**
3,942,333

CWABS ASSET-BACKED CTFS TR 2007-4 CTF CL A-4W FLTG RT DUE 04-25-2047 REG
**
11,166,067

CWABS INC 2004-6 ASSET BKD CTF CL 1-A-1 FLTG RATE 12-25-2034 REG
**
3,619,782

CWABS INC COUNTRYWIDE 12-25-2031 BEO
**
173,196

CWABS INC FLTG RT 2.06135% DUE 10-25-2034
**
9,106,215

CYBEROPTICS CORP COM
**
8,445

CYFROWY POLSAT SA PLN0.04
**
85,244

CYRUSONE INC COM
**
45,183

CZECH(REP OF) 0.95% BDS 15/05/30 CZK10000
**
131,670

D R HORTON INC 2.55% 12-01-2020
**
399,402

D R HORTON INC 3.75 DUE 03-01-2019
**
608,063

D R HORTON INC SR NT 4.375 09-15-2022
**
315,958

D&L INDUSTRIES PHP1
**
855,307

DAH SING FINANCIAL NPV
**
1,473,897

DAICEL CORPORATION INDS NPV
**
149,110

DAIICHIKOSHO CO NPV
**
1,282,353

DAIKIN INDUSTRIES NPV
**
6,856,436

DAIMLER AG ORD NPV(REGD)
**
176,078

DAIMLER FIN N AMER 2% DUE 08-03-2018
**
300,035

DAIMLER FIN N AMER 2.2% DUE 05-05-2020
**
298,297

DAIMLER FIN N AMER 2.25% DUE 09-03-2019
**
199,414

DAIMLER FIN N AMER 2.85% DUE 01-06-2022
**
1,405,996

DAIMLER FIN NORTH AMER LLC NT FLTG 144A DUE 10-30-2019 BEO
**
4,101,431

DAIMLER FIN NORTH AMER LLC NT FLTG RATE 144A DUE 11-05-2018 BEO
**
2,131,524

DAIRY CREST GROUP ORD GBP0.25
**
1,151,924

DAITO TRUST CONST NPV
**
264,870

DAIWA HOUSE INDS NPV
**
257,451

DAIWA OFFICE INVESTMENT CORP REIT
**
933,340

DAIWA SECS GROUP 3.129% DUE 04-19-2022
**
887,348

DAKTRONICS INC COM
**
40,099

DANA INC COM
**
4,100,801

DANAHER CORP COM
**
11,325,711

DANONE 1.691% DUE 10-30-2019
**
4,307,571

DANONE 2.077% DUE 11-02-2021
**
2,934,603

DANONE EUR0.25
**
8,325,122

DANSKE BANK A/S DKK10
**
839,960

DARDEN RESTAURANTS 3.85% DUE 05-01-2027
**
120,257

DARLING INGREDIENTS INC COMSTK
**
3,004,123

DASSAULT SYSTEMES EUR0.50
**
4,149,797


58
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DAVE & BUSTERS ENTMT INC COM
**
2,579,749

DAWSON GEOPHYSICAL CO NEW COM
**
7,172

DBS GROUP HLDGS NPV
**
6,852,512

DBV TECHNOLOGIES SPON ADR EACH REPR ORD
**
364,080

DCC ORD EUR0.25
**
195,047

DCT INDL TR INC
**
299,778

DDR CORP 3.9% DUE 08-15-2024
**
50,371

DDR CORP COM
**
161,988

DE LONGHI EUR3
**
1,178,698

DEAN FOODS CO NEW COM NEW COM USD0.01 (POST REV SPLIT)
**
104,271

DECKERS OUTDOOR CORP COM
**
233,929

DEERE & CO 2.6% DUE 06-08-2022
**
800,883

DEERE & CO 4.375% DUE 10-16-2019
**
371,608

DEERE JOHN CAP 2.8% DUE 03-06-2023
**
1,003,902

DEERE JOHN CAP CORP 1.7 01-15-2020
**
722,883

DEERE JOHN CAP CORP 2.25 DUE 04-17-2019
**
881,056

DEERE JOHN CAP CORP BOOK ENTRY TRANCHE #TR 00386 1.3 03-12-2018
**
264,785

DEERE JOHN CAP CORP MEDIUM TERM NTS-BOOK1.95 DUE 03-04-2019
**
484,516

DEL FRISCOS RESTAURANT GROUP INC COM
**
41,541

DEL TACO RESTAURANTS INC NEW COM USD 0.0001
**
59,424

DELEK US HLDGS INC NEW COM
**
333,991

DELMARVA PWR & LT 3.5% DUE 11-15-2023
**
723,275

DELPHI TECHNOLOGIES PLC COM USD0.01 WI
**
1,612,718

DELTA 2012-1A PASS 4.75% DUE 11-07-2021
**
515,542

DELTA AIR LINES 3.625% DUE 03-15-2022
**
1,637,818

DELTA AIR LINES 6.821% DUE 02-10-2024
**
1,677,389

DELTA AIR LINES 7.75% DUE 06-17-2021
**
163,643

DELTA AIR LINES FIXED 2.875% DUE 03-13-2020
**
1,181,819

DELTA AIR LINES INC DEL 2.6% 12-04-2020 REG
**
5,869,494

DELTA ELECTRONICS THB1(ALIEN MKT)
**
672,039

DELTA ELECTRONICS THB1(NVDR)
**
52,757

DENBURY RES INC HLDG CO COM NEW
**
53,018

DENSO CORP NPV
**
9,337,995

DENTSPLY SIRONA INC COM
**
20,844,609

DEPOMED INC COM
**
49,234

DEPY TR & CLEARING 4.875% DUE 12-29-2049
**
780,000

DESTINATION MATERNITY CORP COM STK
**
2,738

DETOUR GOLD CORPOR COM NPV
**
530,308

DETROIT EDISON CO 3.9% DUE 06-01-2021
**
297,443

DETROIT EDISON CO GEN & REF MTG 2012 SERA 2.65 DUE 06-15-2022
**
280,307

DEUTSCHE BANK MEX CBFI (FIBRA UNO ADMINISTR)
**
108,276

DEUTSCHE BK AG 1.875% DUE 02-13-2018
**
3,413,488

DEUTSCHE BK AG 3.125% DUE 01-13-2021
**
2,172,722

DEUTSCHE BK AG 3.375% DUE 05-12-2021
**
2,450,396

DEUTSCHE BK AG 3.7% DUE 05-30-2024
**
67,450

DEUTSCHE BK AG FRANKFURT SR NT 4.25% DUE10-14-2021
**
3,537,241

DEUTSCHE BOERSE AG NPV(REGD)
**
444,768


59
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DEUTSCHE LUFTHANSA ORD NPV (REGD)(VINK)
**
2,272,181

DEUTSCHE PFAND AG 1.625% PFBRF 30/08/2019 USD
**
197,800

DEUTSCHE POST AG NPV(REGD)
**
243,085

DEUTZ AG NPV
**
1,246,791

DEVELOPERS DIVERSIFIED REALTY CORP 3.5 DUE 01-15-2021
**
203,026

DEVELOPMENT BK JAPAN NT 144A 1.625% DUE 09-01-2021 BEO
**
14,752,907

DEVON ENERGY CORP 3.25% DUE 05-15-2022
**
13,912,176

DEVON ENERGY CORP 4% DUE 07-15-2021
**
2,572,167

DEVON ENERGY CORP 5.85% DUE 12-15-2025
**
1,155,998

DEVON FING CORP U 7.875% DUE 09-30-2031
**
61,776

DEXIA CR LOC MEDIUM TERM NT 144A 2.25% DUE 02-18-2020 BEO
**
3,491,968

DEXIA CR LOC NT 144A 1.875% DUE 09-15-2021 BEO
**
4,541,492

DEXIA CREDIT LOCAL 2.0% DUE 22/01/2021
**
767,250

DEXUS PROPERTY GROUP NPV
**
112,533

DHI GROUP INC COM
**
7,089

DHT HOLDINGS INC SHS NEW
**
30,174

DIAGEO CAP PLC GTD NT 4.828 DUE 07-15-2020
**
3,485,594

DIAGEO INVT CORP 2.875% DUE 05-11-2022
**
121,806

DIAGEO ORD PLC
**
9,319,083

DIAGEO PLC SPONSORED ADR NEW
**
11,074,039

DIAMOND 1 FIN CORP 3.48% DUE 06-01-2019
**
19,059,808

DIAMOND 1 FIN CORP 4.42% DUE 06-15-2021
**
3,073,956

DIAMOND OFFSHORE DRILLING INC COM
**
226,129

DIAMONDROCK HOSPITALITY CO COM STK
**
137,478

DICKS SPORTING GOODS INC OC-COM OC-COM
**
175,257

DIGI INTL INC COM
**
32,155

DIGIRAD CORP COM
**
5,825

DIGITAL RLTY TR LP 3.95% DUE 07-01-2022
**
626,799

DIGITAL RLTY TR LP FIXED 3.7% 08-15-2027
**
25,182

DILLARDS INC CL A COM
**
227,710

DIME CMNTY BANCSHARES INC COM
**
101,922

DINEEQUITY INC COM STK
**
43,273

DIODES INC COM
**
156,682

DIPLOMAT PHARMACY INC COM
**
54,891

DISCO CORPORATION NPV
**
220,223

DISCOVER BANK 2% DUE 02-21-2018
**
6,500,449

DISCOVER BK NEW 3.1% DUE 06-04-2020
**
344,035

DISCOVER BK NEW 4.2% DUE 08-08-2023
**
2,625,305

DISCOVER BK NEW 8.7% DUE 11-18-2019
**
404,643

DISCOVER BK NEW CASTLE DEL 3.200 DUE 08-09-2021
**
608,662

DISCOVER CARD 1.45% DUE 03-15-2021
**
2,232,973

DISCOVER CARD 1.67% DUE 01-18-2022
**
994,341

DISCOVER CARD 1.9% DUE 10-17-2022
**
16,695,624

DISCOVER CARD 2.12% DUE 12-15-2021
**
5,372,572

DISCOVER CARD 2.19% DUE 04-17-2023
**
17,087,072

DISCOVER CARD EXECUTION NT TR 2017-5 DISCOVERSERIES NT CL A 12-15-2026 REG
**
9,225,904

DISCOVER FINL SVCS 3.75% DUE 03-04-2025
**
991,503


60
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DISCOVER FINL SVCS 3.85% DUE 11-21-2022
**
1,779,012

DISCOVER FINL SVCS COM STK
**
12,661,032

DISCOVERY 3.95% DUE 03-20-2028
**
1,651,129

DISCOVERY 6.35% DUE 06-01-2040
**
94,111

DISCOVERY COMMUNIC 3.3 BDS DUE 05-15-2022
**
1,974,349

DISCOVERY COMMUNICATIONS INC NEW COM SERA STK
**
15,283,302

DISCOVERY COMMUNICATIONS INC NEW COM SERC COM SER C
**
5,796,346

DISCOVERY COMMUNICATIONS LLC 2.2% DUE 09-20-2019
**
2,496,413

DISCOVERY COMMUNICATIONS LLC 2.95% 03-20-2023
**
593,806

DISH DBS CORP 4.25% DUE 04-01-2018
**
702,625

DISNEY WALT CO NEW 2.75 DUE 08-16-2021
**
629,335

DISNEY WALT CO NEW 4.125 DUE 06-01-2044
**
55,079

DISNEY WALT COMPANY 2.55 DUE 02-15-2022
**
150,789

DMC GLOBAL INC COM
**
30,812

DNB NOR 2.25% DUE 03-28-2022
**
398,786

DOLLAR GEN CORP NEW COM
**
16,098,822

DOLLARAMA INC COM STK NPV
**
1,885,051

DOMINION ENERGY INC FORMERLY 2.579% 07-01-2020
**
8,223,436

DOMINION ENERGY INC FORMERLY DOMINION R 2017 SR NT SER D FLTG RATE 06-01-2019
**
8,758,958

DOMINION GAS HLDGS 2.5% DUE 12-15-2019
**
200,314

DOMINION GAS HLDGS 2.8% DUE 11-15-2020
**
1,573,995

DOMINION RES INC 1.6% DUE 08-15-2019
**
1,325,255

DOMINION RES INC 1.875% DUE 01-15-2019
**
2,589,080

DOMINION RES INC 1.875% DUE 01-15-2019
**
4,985,005

DOMINION RES INC 1.9% DUE 06-15-2018
**
849,913

DOMINION RES INC 2.75 DUE 09-15-2022
**
118,970

DOMINION RES INC 2.85% DUE 08-15-2026
**
598,759

DOMINION RES INC 6.4% DUE 06-15-2018
**
1,102,284

DOMINOS PIZZA INC COM
**
3,066,443

DOMTAR CORP COM NEW COM NEW
**
298,903

DON QUIJOTE HOLDINGS CO LTD
**
674,526

DONEGAL GROUP INC CL A NEW CLA
**
37,230

DORIAN LPG LIMITED COM USD0.01
**
45,036

DORMAN PRODS INC COM
**
210,260

DOUGLAS EMMETT INC COM REIT
**
65,121

DOW CHEM CO 4.125 DUE 11-15-2021
**
267,376

DOW CHEM CO 4.25% DUE 11-15-2020
**
5,098,624

DOW CHEM CO 8.55 DUE 05-15-2019
**
584,917

DOW CHEMICAL CO 3% DUE 11-15-2022
**
1,040,486

DOWA HOLDINGS CO LTD
**
825,163

DOWDUPONT INC COM USD0.01
**
3,601,239

DR AUTO 1.82% DUE 06-15-2020
**
852,337

DR AUTO 1.85% DUE 04-15-2020
**
1,016,397

DR AUTO 2.75% DUE 09-15-2023
**
303,429

DR AUTO 4.18% DUE 03-15-2024
**
229,027

DR PEPPER SNAPPLE 2.55% DUE 09-15-2026
**
50,243

DR PEPPER SNAPPLE GROUP 2 DUE 01-15-2020
**
322,458


61
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DRIL-QUIP INC COM
**
196,906

DRIVE AUTO RECEIVABLES TR 2017-3 CL B 2.3% 05-17-2021 REG
**
1,167,311

DRIVE AUTO RECEIVABLES TR SER 17-1 CL D 3.84% 03-15-2023
**
221,378

DRIVE AUTO RECEIVABLES TR SER 2017-3 CL A2A 1.65% 08-15-2019
**
1,198,205

DRIVE AUTO RECEIVABLES TRUST SR 17-1 CL C 2.84% 04-15-2022
**
191,845

DRIVE AUTO RECEIVABLES TRUST SR 2017-1 CL A2A 1.67% DUE 05-15-2019
**
909,462

DRIVE SHACK INC COM
**
16,037

DRM FUNDING INC SER 2015-1 CL A FLT RT 01-20-2020 BEO
**
5,101,183

DSP GROUPS INC COM
**
28,188

DST SYS INC COM
**
115,388

DSW INC CL A CL A
**
166,035

DT AUTO OWNER TR 2.02% DUE 08-17-2020
**
42,951

DT AUTO OWNER TR 3.77% DUE 10-17-2022
**
112,687

DTE ENERGY CO 2.4% DUE 12-01-2019
**
6,699,519

DU PONT E I DE 2.2% DUE 05-01-2020
**
1,258,890

DU PONT E I DE 4.625% DUE 01-15-2020
**
959,328

DU PONT E I DE NEMOURS & CO NT 2.8 2-15-23
**
523,838

DUCOMMUN INC DEL COM
**
46,288

DUFRY AG CHF5 (REGD)
**
802,670

DUKE ENERGY 2.5% DUE 03-15-2023
**
3,766,051

DUKE ENERGY CAROLINAS DTD 06/07/2010 4.3DUE 06-15-2020
**
157,109

DUKE ENERGY CORP 2.1% DUE 06-15-2018
**
400,111

DUKE ENERGY CORP 2.4% DUE 08-15-2022
**
4,833,866

DUKE ENERGY CORP 2.65% DUE 09-01-2026
**
1,327,063

DUKE ENERGY CORP 3.15% DUE 08-15-2027
**
546,024

DUKE ENERGY CORP 5.05% DUE 09-15-2019
**
334,395

DUKE ENERGY CORP NEW 3.95 DUE 10-15-2023
**
13,016,342

DUKE ENERGY CORP NEW COM NEW COM NEW
**
12,002,665

DUKE ENERGY FLA 3.2% DUE 01-15-2027
**
7,188,019

DUKE ENERGY IND 1ST MTG BD SER PPP 3.75 DUE 07-15-2020
**
1,026,811

DUKE ENERGY PROGRESS LLC FLTG DUE 09-08-2020
**
3,390,923

DXC TECHNOLOGY CO COM
**
3,006,432

DXC TECHNOLOGY CO FIXED 4.25% DUE 04-15-2024
**
65,623

DXC TECHNOLOGY CO SR NT FLTG 3-01-2021
**
1,854,527

DXP ENTERPRISES INC COM NEW STK
**
32,350

DYNEGY INC NEW DEL COM
**
171,967

E L F BEAUTY INC COM
**
3,505,414

E TRADE FINL CORP 3.8% DUE 08-24-2027
**
21,928

E TRADE FINL CORP FORMERLY E TRADE GROUPINC TO 10/01/2003 COM NEW COM NEW
**
722,334

E.ON SE NPV
**
2,141,943

E.SUN FINL HLDGS TWD10
**
312,256

EAGLE BANCORP INC MD COM
**
103,525

EAGLE MATLS INC COM
**
3,039,612

EAST WEST BANCORP INC COM
**
4,523,258

EASTERLY GOVERNMENT PROPERTI COMMON STOCK
**
38,412

EASTMAN CHEM CO 2.7% DUE 01-15-2020
**
5,283,857

EASTMAN CHEM CO 3.8% DUE 03-15-2025
**
3,643,845


62
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
EASTN CO COM
**
10,460

EATON CORP OHIO 2.75% DUE 11-02-2022
**
4,091,934

EATON CORP PLC COM USD0.50
**
8,948,199

EBAY INC 4 DUE 07-15-2042
**
106,192

EBAY INC COM USD0.001
**
23,810,317

EBAY INC FIXED 2.15% DUE 06-05-2020
**
3,098,088

ECHO GLOBAL LOGISTICS INC COM
**
80,640

ECHOSTAR CORPORATION
**
263,979

ECLIPSE RES CORP COM
**
57,713

ECOLAB INC 1.55% 01-12-2018
**
4,999,445

ECOLAB INC 4.35% DUE 12-08-2021
**
1,303,901

ECOPETROL S A 5.875% DUE 05-28-2045
**
306,300

EDGEWELL PERS CARE CO COM
**
137,844

EDISON INTL 2.125% 04-15-2020 REG
**
2,081,594

EDISON INTL FIXED 2.4% DUE 09-15-2022
**
2,215,942

EDUCATION RLTY TR INC COM NEW COM NEW
**
3,162,460

EDWARDS LIFESCIENCES CORP COM
**
355,487

EIFFAGE EUR4
**
622,633

EL PASO ENERGY CORP MEDIUM TERM NTS BOOK TR 4 7.8 8-1-31
**
773,897

EL POLLO LOCO HLDGS INC COM
**
44,322

ELBIT SYS LTD
**
1,466,190

ELDORADO RESORTS INC COM USD0.00001
**
80,190

ELECTR ARTS COM
**
16,716,517

ELECTR ARTS INC 3.7% DUE 03-01-2021
**
1,938,451

ELECTRO SCIENTIFIC INDS INC COM
**
92,149

ELECTROLUX AB SER'B'NPV (POST SPLIT)
**
1,778,004

ELECTRONICS FOR IMAGING INC COM
**
116,555

ELEMENTIS ORD GBP0.05
**
1,324,373

ELLIE MAE INC COM STK
**
1,760,733

ELLIS PERRY INTL INC COM
**
40,239

EMAAR PROPERTIES AED1
**
52,963

EMC INS GROUP INC COM
**
61,741

EMCOR GROUP INC COM
**
3,100,859

EMERA US FIN LP 2.15% DUE 06-15-2019
**
3,237,358

EMERA US FIN LP 2.7% DUE 06-15-2021
**
498,782

EMERA US FIN LP 3.55% DUE 06-15-2026
**
1,153,295

EMERALD BAY S.A. 0% NTS 19/10/2020 EUR1
**
543,506

EMERGENT BIOSOLUTIONS INC COM
**
166,688

EMERSON ELEC CO 5% DUE 04-15-2019
**
279,204

EMIRATES TELECOMMUNICATIONS GROUP COMPA NY PJSC ETISALAT GROUP
**
45,612

EMPIRE ST RLTY TR INC CL A CL A
**
163,049

EMPLOYERS HLDGS INC COM
**
153,491

ENBRIDGE ENERGY 4.375% DUE 10-15-2020
**
5,288,896

ENBRIDGE INC 2.9% 07-15-2022
**
2,479,898

ENBRIDGE INC 4.25% DUE 12-01-2026
**
181,940

ENBRIDGE INC SR NT FLTG RATE DUE 06-15-2020 REG
**
1,110,217

ENCANA CORP 6.5% DUE 05-15-2019
**
78,806


63
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ENCANA CORP 6.5% DUE 08-15-2034
**
123,572

ENCORE CAP GROUP INC COM
**
117,754

ENCORE WIRE CORP COM
**
89,759

ENDESA SA EUR1.2
**
1,943,408

ENDO INTL LTD COM STK
**
160,503

ENDOCYTE INC COM
**
15,793

ENEL CHILE SA COM NPV
**
57,292

ENEL SPA EUR1
**
1,573,024

ENERGY RECOVERY INC COM
**
583,791

ENERGY TRANSFER 2.5% DUE 06-15-2018
**
3,400,062

ENERGY TRANSFER 3.6% DUE 02-01-2023
**
181,191

ENERGY TRANSFER 4.05% DUE 03-15-2025
**
390,708

ENERGY TRANSFER 4.65% DUE 06-01-2021
**
3,073,396

ENERGY TRANSFER 4.75% DUE 01-15-2026
**
15,562

ENERGY TRANSFER FIXED 6.125% DUE 12-15-2045
**
434,367

ENERGY TRANSFER PARTNERS 6.7% 07-01-2018
**
613,250

ENERGY TRANSFER PARTNERS L P ENERGY TRANSFER PARTNERS 6.625% DUE 10-15-2036
**
57,596

ENERGY TRANSFER SR NT 9 DUE 04-15-2019
**
431,604

ENERSYS COM
**
126,935

ENGIE COMSTK
**
8,517,096

ENGILITY HLDGS INC NEW COM
**
114,984

ENI SPA EUR1
**
6,955,132

ENLINK MIDSTREAM 2.7% DUE 04-01-2019
**
399,642

ENLINK MIDSTREAM 4.15% DUE 06-01-2025
**
50,522

ENLINK MIDSTREAM LLC COM UNIT REPSTG LTD LIABILITY CO INTS
**
214,086

ENNIS INC COM
**
55,299

ENNOCONN CORPORATI TWD10
**
1,282,690

ENOVA INTL INC COM
**
65,649

ENSCO PLC SHS CLASS A COM
**
208,410

ENSIGN GROUP INC COM STK
**
58,342

ENSTAR GROUP LIMITED COM
**
258,968

ENTERCOM MUNICATIONS CORP CL A CL A
**
21,740

ENTERGY ARK INC 3.05% DUE 06-01-2023
**
54,199

ENTERGY CORP 5.125 DUE 09-15-2020
**
2,509,135

ENTERGY GULF STS 5.59% DUE 10-01-2024
**
461,797

ENTERGY GULF STS 6% DUE 05-01-2018
**
202,641

ENTERGY LA LLC 2.4% DUE 10-01-2026
**
75,730

ENTERGY LA LLC 3.12% 09-01-2027
**
94,758

ENTERGY LA LLC 5.4% DUE 11-01-2024
**
1,364,490

ENTERGY LA LLC 6.5% DUE 09-01-2018
**
205,844

ENTERPRISE BANCORP INC MASS CDT-COM CDT-COM
**
19,953

ENTERPRISE FINL SVCS CORP COM STK
**
58,695

ENTERPRISE FLEET 1.74000000954% DUE 02-22-2022
**
4,143,308

ENTERPRISE PRODS 3.35% DUE 03-15-2023
**
1,723,308

ENTERPRISE PRODS 3.75% DUE 02-15-2025
**
335,106

ENTERPRISE PRODS 3.9% DUE 02-15-2024
**
533,505

ENTERPRISE PRODS 6.5% DUE 01-31-2019
**
2,535,100


64
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ENTERPRISE PRODS FIXED 1.65% DUE 05-07-2018
**
3,974,388

ENTERPRISE PRODS FIXED 1.65% DUE 05-07-2018
**
4,863,503

ENTERPRISE PRODS OPER DTD 05-20-2010 5.2DUE 09-01-2020
**
2,596,285

ENTERPRISE PRODS OPER LLC 3.7% 02-15-2026
**
55,293

ENTRAVISION COMMUNICATIONS CORP CL A CL A
**
53,525

ENVISION HEALTHCARE CORP COM
**
343,872

EOG RES INC 2.45 DUE 04-01-2020
**
351,001

EOG RES INC 2.625 DUE 03-15-2023
**
138,394

EOG RES INC 3.15% DUE 04-01-2025
**
1,494,425

EOG RES INC 4.1% DUE 02-01-2021
**
667,313

EOG RES INC 4.15% DUE 01-15-2026
**
787,582

EOG RES INC 4.4% DUE 06-01-2020
**
5,087,282

EOG RES INC 5.625% DUE 06-01-2019
**
277,267

EOG RESOURCES INC COM
**
18,032,301

EP ENERGY CORP CL A CL A
**
689

EPLUS INC COM
**
52,640

EPR PPTYS 4.5% DUE 06-01-2027
**
133,757

EPR PPTYS COM SH BEN INT COM SH BEN INT
**
235,067

EQT CORP 4.875% DUE 11-15-2021
**
849,753

EQT CORP COM
**
3,063,434

EQT CORP FIXED 2.5% DUE 10-01-2020
**
839,110

EQT MIDSTREAM 4.125% DUE 12-01-2026
**
1,294,562

EQUIFAX INC 3.25% DUE 06-01-2026
**
76,511

EQUIFAX INC COM
**
4,833,423

EQUINIX INC COM PAR $0.001
**
13,648,267

EQUITY BANCSHARES INC COM CL A COM CL A
**
27,620

EQUITY COMMONWEALTH USD0.01( BNF INT)
**
3,000,506

ERA GROUP INC COM USD0.01
**
35,497

ERAC USA FIN LLC 2.6% DUE 12-01-2021
**
296,159

ERICSSON
**
17,304,540

ERICSSON SER'B'NPV
**
328,565

ERP OPER LTD 2.375% DUE 07-01-2019
**
321,807

ERP OPER LTD 2.85% DUE 11-01-2026
**
15,521

ERP OPERATING LP 4.625 DUE 12-15-2021 REG
**
471,305

ESCALADE INC COM
**
15,129

ESCO TECHNOLOGIES INC
**
160,566

ESPERION THERAPEUTICS INC NEW COM
**
51,224

ESSA BANCORP INC COM STK
**
19,274

ESSENDANT INC
**
35,152

ESSILOR INTL EUR0.18
**
3,958,107

ESSITY AB SER'B'NPV
**
5,046,068

ESTEE LAUDER COMPANIES INC CL A USD0.01
**
8,201,890

ESTEE LAUDER COS 3.15% DUE 03-15-2027
**
65,448

ESTERLINE TECHNOLOGIES CORP COM STK
**
201,839

ETHAN ALLEN INTERIORS INC COM
**
82,082

ETSY INC COM
**
917,428

EUROCOMMERCIAL EUR0.50
**
792,130


65
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
EURONAV NPV
**
841,968

EUROPEAN BK RECON & DEV EURO NTS BOOK ENTRY 1 DUE 06-15-2018
**
14,946,810

EUROPEAN INVT BK 1.875 03-15-2019
**
8,759,678

EUROPEAN INVT BK GLOBAL NT 1.625% DUE 12-15-2020 REG
**
12,802,530

EUROPEAN INVT BK GLOBAL NT 1.75% DUE 05-15-2020 REG
**
1,172,837

EUROPEAN INVT BK NT 1.25% DUE 12-16-2019REG
**
7,089,530

EUROSAIL-UK 07-3BL FRN M/BKD 06/2045 EUR(VAR)
**
69,787

EUROSAIL-UK 2007-3BL PLC NO MIN REGD NOTES FLTG RT REG-S 13/06/2045
**
93,038

EUTELSAT COMMUNICA EUR1
**
434,831

EVA AIRWAYS TWD10
**
38,318

EVANS BANCORP INC COM NEW COM NEW
**
21,243

EVERCORE INC
**
2,039,940

EVERGREEN MARINE C TWD10
**
223,831

EVOLENT HEALTH INC CL A CL A
**
68,659

EXACT SCIENCES CORP COM
**
2,431,026

EXACTECH INC COM
**
70,961

EXELON CORP 3.95% DUE 06-15-2025
**
104,213

EXELON CORP JR SUB NT STEP UP 06-01-202205-01-2022
**
295,539

EXELON GENERATION 5.75% DUE 10-01-2041
**
54,792

EXELON GENERATION CO LLC 2.95% DUE 01-15-2020
**
2,980,016

EXELON GENERATION CO LLC 3.4% 03-15-2022
**
147,437

EXELON GENERATION CO LLC 4.25 06-15-2022
**
120,676

EXETER AUTOMOBILE 1.84% DUE 11-16-2020
**
1,214,135

EXETER AUTOMOBILE 2.05% DUE 12-15-2021
**
881,388

EXETER AUTOMOBILE 2.84% DUE 08-16-2021
**
83,892

EXLSERVICE COM INC COM STK
**
14,424

EXPEDIA INC DEL 3.8% DUE 02-15-2028
**
120,788

EXPEDIA INC DEL 7.456% DUE 08-15-2018
**
412,548

EXPERIAN ORD USD0.10
**
5,179,282

EXPORT IMPORT BK KOREA NT 4% DUE 01-29-2021 REG
**
411,847

EXPRESS INC COM
**
98,496

EXPRESS SCRIPTS 2.6% 11-30-2020
**
3,816,470

EXPRESS SCRIPTS 3.05% 11-30-2022
**
299,490

EXPRESS SCRIPTS 3.4% DUE 03-01-2027
**
1,678,045

EXPRESS SCRIPTS HLDG CO COM
**
4,694,483

EXTERRAN CORP COM
**
1,645,727

EXXARO RESOURCES ZAR0.01
**
1,502,690

EXXON MOBIL CORP 1.708% DUE 03-01-2019
**
5,227,749

EXXON MOBIL CORP 2.222% DUE 03-01-2021
**
2,210,043

EXXON MOBIL CORP 3.043% DUE 03-01-2026
**
1,980,114

EXXON MOBIL CORP COM
**
7,587,654

EZCORP INC CL A NON VTG CL A NON VTG
**
75,384

F N B CORP PA COM
**
3,876,800

FABRINET COM USD0.01
**
94,136

FACEBOOK INC COM USD0.000006 CL 'A'
**
47,340,159

FACTSET RESH SYS INC COM STK
**
152,473

FANNIE MAE 1997-89 CL-ZA 7.0% DUE 12-20-2027
**
204,804


66
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FANNIE MAE BNDS 2.0% 10-05-2022
**
3,041,543

FANNIE MAE SER 1994-43 CL PK 6.35% 02-25-2024
**
145,273

FANNIEMAE-ACES SR 2015-M8 CL AB 2.829% 01-25-2025
**
6,114,103

FANUC CORP NPV
**
7,377,579

FARMERS CAP BK CORP COM
**
27,605

FARMERS NATL BANC CORP COM
**
40,002

FARO TECHNOLOGIES INC COM
**
272,506

FBL FINL GROUP INC CL A CL A
**
153,091

FBR SECURITIZATION FLTG RT 2.30135% DUE 11-25-2035
**
25,794

FCB FINL HLDGS INC CL A CL A
**
168,250

FED HOME LN MTG CORP G14239 4 DUE 09-01-2026
**
153,062

FEDERAL AGRIC MTG CORP CL C
**
72,137

FEDERAL AGRIC MTG CORP DISC NTS FED BOOKDISC NT DUE 01-02-2018
**
3,566,000

FEDERAL HOME LN BK CONS DISC NTS 01-22-2018
**
7,264,184

FEDERAL HOME LN BKS 1.25 DUE 06-08-2018
**
2,431,569

FEDERAL HOME LN BKS CONS BD 1.75 DUE 12-14-2018
**
3,496,178

FEDERAL HOME LN BKS CONS BD 2 DUE 09-14-2018 REG
**
801,337

FEDERAL HOME LN MTG CORP 2014-DN1 CL M2 FLT RT 02-25-2024 REG
**
14,439,422

FEDERAL HOME LN MTG CORP BNDS 1.875% DUE 11-17-2020 REG
**
1,790,566

FEDERAL HOME LN MTG CORP MULTICLASS MTG 4 11-15-2039
**
843,298

FEDERAL HOME LN MTG CORP MULTICLASS SR 2008-25 CL EF VAR 04-25-2038 REG
**
2,274,177

FEDERAL HOME LN MTG CORP MULTICLASS SR 2008-6 CL BF VAR 02-25-2038 REG
**
1,088,387

FEDERAL HOME LN MTG CORP MULTICLASS SR 2410 CL PF VAR 02-15-2032 REG
**
1,054,203

FEDERAL HOME LN MTG CORP MULTICLASS SR 3055 CL CF VAR 10-15-2035 REG
**
486,468

FEDERAL HOME LN MTG CORP MULTICLASS SR 3150 CL FA VAR 05-15-2036 REG
**
2,337,839

FEDERAL HOME LN MTG CORP MULTICLASS VAR SR 2012-17 CL FG 03-25-2042 REG
**
3,610,200

FEDERAL HOME LN MTG CORP POOL #2B0646 FLTG RT DUE 07-01-2042 BEO
**
265,249

FEDERAL HOME LN MTG CORP POOL #41-0792 3.444% 02-01-2030 BEO
**
24,025

FEDERAL HOME LN MTG CORP POOL #53-8275 9% 12-01-2019 BEO
**
68

FEDERAL HOME LN MTG CORP POOL #54-7356 9% 03-01-2020 BEO
**
87

FEDERAL HOME LN MTG CORP POOL #55-5330 10% 10-01-2019 BEO
**
396

FEDERAL HOME LN MTG CORP POOL #84-6004 3.702% 12-01-2024 BEO
**
11,556

FEDERAL HOME LN MTG CORP POOL #84-6313 FLTG RT 3.553% 02-01-2026 BEO
**
785

FEDERAL HOME LN MTG CORP POOL #849407 3.301% 09-01-2037 BEO
**
487,204

FEDERAL HOME LN MTG CORP POOL #84-9790 FLTG RT DUE 03-01-2045
**
8,290,890

FEDERAL HOME LN MTG CORP POOL #A01672 9.5% 09-01-2019 BEO
**
1,495

FEDERAL HOME LN MTG CORP POOL #A17092 6%12-01-2033 BEO
**
8,868

FEDERAL HOME LN MTG CORP POOL #A39803 5.5% 11-01-2035 BEO
**
320,217

FEDERAL HOME LN MTG CORP POOL #A47038 5%09-01-2035 BEO
**
123,543

FEDERAL HOME LN MTG CORP POOL #A62378 6%06-01-2037 BEO
**
42,799

FEDERAL HOME LN MTG CORP POOL #A63809 6%08-01-2037 BEO
**
80,272

FEDERAL HOME LN MTG CORP POOL #A69654 6%12-01-2037 BEO
**
33,633

FEDERAL HOME LN MTG CORP POOL #A71410 6%01-01-2038 BEO
**
821

FEDERAL HOME LN MTG CORP POOL #A75218 6%04-01-2038 BEO
**
70,449

FEDERAL HOME LN MTG CORP POOL #A85726 5%04-01-2039 BEO
**
131,866

FEDERAL HOME LN MTG CORP POOL #A9-0826 4.5% 01-01-2040 BEO
**
426,437

FEDERAL HOME LN MTG CORP POOL #A9-1235 4.5% 02-01-2040 BEO
**
328,399


67
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #A93318 5%08-01-2040 BEO
**
719,010

FEDERAL HOME LN MTG CORP POOL #A9-3625 5% 08-01-2040 BEO
**
431,360

FEDERAL HOME LN MTG CORP POOL #A9-3652 5% 09-01-2040 BEO
**
220,979

FEDERAL HOME LN MTG CORP POOL #A9-3713 5% 09-01-2040 BEO
**
545,967

FEDERAL HOME LN MTG CORP POOL #A9-4069 5% 09-01-2040 BEO
**
172,524

FEDERAL HOME LN MTG CORP POOL #A9-4113 5% 10-01-2040 BEO
**
251,647

FEDERAL HOME LN MTG CORP POOL #A94132 5%09-01-2040 BEO
**
35,951

FEDERAL HOME LN MTG CORP POOL #A94898 4.5% 11-01-2040 BEO
**
324,251

FEDERAL HOME LN MTG CORP POOL #A95085 4%11-01-2040 BEO
**
505,849

FEDERAL HOME LN MTG CORP POOL #A9-5519 4.5% 12-01-2040 BEO
**
120,910

FEDERAL HOME LN MTG CORP POOL #A95561 4%12-01-2040 BEO
**
763,200

FEDERAL HOME LN MTG CORP POOL #A95575 4%12-01-2040 BEO
**
567,912

FEDERAL HOME LN MTG CORP POOL #A97040 4%02-01-2041 BEO
**
525,559

FEDERAL HOME LN MTG CORP POOL #C03517 4.5% 09-01-2040 BEO
**
351,684

FEDERAL HOME LN MTG CORP POOL #C03520 4%09-01-2040 BEO
**
3,236,287

FEDERAL HOME LN MTG CORP POOL #C03545 5%08-01-2040 BEO
**
549,363

FEDERAL HOME LN MTG CORP POOL #C03613 4%11-01-2040 BEO
**
519,359

FEDERAL HOME LN MTG CORP POOL #C03792 3.5% 04-01-2042 BEO
**
1,694,588

FEDERAL HOME LN MTG CORP POOL #C0-4240 3.5% 09-01-2042 BEO
**
648,687

FEDERAL HOME LN MTG CORP POOL #C04422 3%12-01-2042 BEO
**
760,470

FEDERAL HOME LN MTG CORP POOL #C09022 3%01-01-2043 BEO
**
3,811,575

FEDERAL HOME LN MTG CORP POOL #C09055 4%12-01-2043 BEO
**
822,655

FEDERAL HOME LN MTG CORP POOL #C1-0542 7% 06-01-2028 BEO
**
8,678

FEDERAL HOME LN MTG CORP POOL #C1-2585 7% 07-01-2028 BEO
**
834

FEDERAL HOME LN MTG CORP POOL #C1-4084 7% 08-01-2028 BEO
**
11,452

FEDERAL HOME LN MTG CORP POOL #C91161 5%02-01-2028 BEO
**
18,604

FEDERAL HOME LN MTG CORP POOL #C91589 3.5% 11-01-2032 BEO
**
511,755

FEDERAL HOME LN MTG CORP POOL #D64290 7%10-01-2025 BEO
**
12,921

FEDERAL HOME LN MTG CORP POOL #D6-7104 7.5% 01-01-2026 BEO
**
68,609

FEDERAL HOME LN MTG CORP POOL #D7-0703 7% 04-01-2026 BEO
**
12,306

FEDERAL HOME LN MTG CORP POOL #D75342 8%10-01-2026 BEO
**
711

FEDERAL HOME LN MTG CORP POOL #D7-5558 8% 10-01-2026 BEO
**
1,087

FEDERAL HOME LN MTG CORP POOL #D7-5787 8% 11-01-2026 BEO
**
2,717

FEDERAL HOME LN MTG CORP POOL #D7-7163 7.5% 01-01-2027 BEO
**
5,541

FEDERAL HOME LN MTG CORP POOL #D7-7260 7.5% 01-01-2027 BEO
**
4,422

FEDERAL HOME LN MTG CORP POOL #D7-7490 7.5% 01-01-2027 BEO
**
437

FEDERAL HOME LN MTG CORP POOL #D7-7541 7.5% 01-01-2027 BEO
**
7,808

FEDERAL HOME LN MTG CORP POOL #D8-0177 7% 05-01-2027 BEO
**
9,222

FEDERAL HOME LN MTG CORP POOL #D98914 4%01-01-2032 BEO
**
131,295

FEDERAL HOME LN MTG CORP POOL #E04113 2.5% 11-01-2027 BEO
**
1,194,077

FEDERAL HOME LN MTG CORP POOL #E99733 6%09-01-2018 BEO
**
1,458

FEDERAL HOME LN MTG CORP POOL #G0-0552 8.5% 03-01-2023 BEO
**
7,009

FEDERAL HOME LN MTG CORP POOL #G0-0561 9.5% 06-01-2025 BEO
**
1,262

FEDERAL HOME LN MTG CORP POOL #G0-0627 8% 06-01-2025 BEO
**
5,566

FEDERAL HOME LN MTG CORP POOL #G0-0704 7% 12-01-2026 BEO
**
8,483

FEDERAL HOME LN MTG CORP POOL #G01665 5.5% 03-01-2034 BEO
**
482,527

FEDERAL HOME LN MTG CORP POOL #G02031 5.5% 02-01-2036 BEO
**
144,954


68
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #G02427 5.5% 12-01-2036 BEO
**
434,424

FEDERAL HOME LN MTG CORP POOL #G03073 5.5% 07-01-2037 BEO
**
238,042

FEDERAL HOME LN MTG CORP POOL #G03233 6%08-01-2037 BEO
**
7,954

FEDERAL HOME LN MTG CORP POOL #G03600 7%11-01-2037 BEO
**
81,574

FEDERAL HOME LN MTG CORP POOL #G03695 5.5% 11-01-2037 BEO
**
131,537

FEDERAL HOME LN MTG CORP POOL #G03812 5.5% 02-01-2038 BEO
**
162,905

FEDERAL HOME LN MTG CORP POOL #G03819 6%01-01-2038 BEO
**
56,835

FEDERAL HOME LN MTG CORP POOL #G04448 5.5% 07-01-2038 BEO
**
69,622

FEDERAL HOME LN MTG CORP POOL #G04585 5.5% 02-01-2038 BEO
**
120,945

FEDERAL HOME LN MTG CORP POOL #G04588 5.5% 08-01-2038 BEO
**
73,836

FEDERAL HOME LN MTG CORP POOL #G04636 5%12-01-2035 BEO
**
59,649

FEDERAL HOME LN MTG CORP POOL #G04688 5.5% 09-01-2038 BEO
**
66,597

FEDERAL HOME LN MTG CORP POOL #G05179 5.5% 01-01-2039 BEO
**
81,726

FEDERAL HOME LN MTG CORP POOL #G05527 4%07-01-2039 BEO
**
61,568

FEDERAL HOME LN MTG CORP POOL #G05676 4%11-01-2039 BEO
**
1,009,520

FEDERAL HOME LN MTG CORP POOL #G05726 5%08-01-2039 BEO
**
253,063

FEDERAL HOME LN MTG CORP POOL #G05741 4.5% 12-01-2039 BEO
**
545,934

FEDERAL HOME LN MTG CORP POOL #G0-5927 4.5% 07-01-2040 BEO
**
1,149,818

FEDERAL HOME LN MTG CORP POOL #G06021 5.5% 01-01-2040 BEO
**
194,998

FEDERAL HOME LN MTG CORP POOL #G06087 5%09-01-2040 BEO
**
52,497

FEDERAL HOME LN MTG CORP POOL #G06172 5.5% 12-01-2038 BEO
**
461,984

FEDERAL HOME LN MTG CORP POOL #G06601 4.5% 12-01-2040 BEO
**
2,158,477

FEDERAL HOME LN MTG CORP POOL #G06669 6.5% 09-01-2039 BEO
**
222,887

FEDERAL HOME LN MTG CORP POOL #G06875 5.5% 12-01-2038 BEO
**
1,625,728

FEDERAL HOME LN MTG CORP POOL #G07032 3%06-01-2042 BEO
**
1,231,379

FEDERAL HOME LN MTG CORP POOL #G07129 3.5% 09-01-2042 BEO
**
1,042,942

FEDERAL HOME LN MTG CORP POOL #G07434 3.5% 07-01-2043 BEO
**
2,029,267

FEDERAL HOME LN MTG CORP POOL #G08273 5.5% 06-01-2038 BEO
**
46,719

FEDERAL HOME LN MTG CORP POOL #G08368 4.5% 10-01-2039 BEO
**
521,425

FEDERAL HOME LN MTG CORP POOL #G08457 4.5% 08-01-2041 BEO
**
1,009,681

FEDERAL HOME LN MTG CORP POOL #G08521 3%01-01-2043 BEO
**
649,537

FEDERAL HOME LN MTG CORP POOL #G08540 3%08-01-2043 BEO
**
1,043,642

FEDERAL HOME LN MTG CORP POOL #G08567 4%01-01-2044 BEO
**
1,751,161

FEDERAL HOME LN MTG CORP POOL #G08624 4%01-01-2045 BEO
**
2,572,735

FEDERAL HOME LN MTG CORP POOL #G08653 3%07-01-2045 BEO
**
2,447,041

FEDERAL HOME LN MTG CORP POOL #G08672 4%10-01-2045 BEO
**
1,739,150

FEDERAL HOME LN MTG CORP POOL #G08681 3.5% 12-01-2045 BEO
**
5,746,090

FEDERAL HOME LN MTG CORP POOL #G0-8732 3% 11-01-2046 BEO
**
4,825,139

FEDERAL HOME LN MTG CORP POOL #G0-8741 3% 01-01-2047 BEO
**
14,874,035

FEDERAL HOME LN MTG CORP POOL #G0-8771 4% 07-01-2047 BEO
**
15,822,683

FEDERAL HOME LN MTG CORP POOL #G08793 4%12-01-2047 BEO
**
28,095,759

FEDERAL HOME LN MTG CORP POOL #G11557 6%03-01-2019 BEO
**
7

FEDERAL HOME LN MTG CORP POOL #G11634 5.5% 11-01-2019 BEO
**
1,770

FEDERAL HOME LN MTG CORP POOL #G11652 6%01-01-2020 BEO
**
25,414

FEDERAL HOME LN MTG CORP POOL #G12467 6%11-01-2021 BEO
**
156,896

FEDERAL HOME LN MTG CORP POOL #G12978 5.5% 12-01-2022 BEO
**
173,564

FEDERAL HOME LN MTG CORP POOL #G13300 4.5% 05-01-2023 BEO
**
55,150


69
Table of Contents


Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #G13825 4%05-01-2025 BEO
**
1,259,988

FEDERAL HOME LN MTG CORP POOL #G13868 4.5% 07-01-2025 BEO
**
303,532

FEDERAL HOME LN MTG CORP POOL #G14171 6%10-01-2024 BEO
**
134,277

FEDERAL HOME LN MTG CORP POOL #G14375 4%07-01-2026 BEO
**
713,915

FEDERAL HOME LN MTG CORP POOL #G14492 4%10-01-2025 BEO
**
390,004

FEDERAL HOME LN MTG CORP POOL #G1-4956 2.5% 05-01-2028 BEO
**
1,117,113

FEDERAL HOME LN MTG CORP POOL #G16177 2%01-01-2032 BEO
**
802,664

FEDERAL HOME LN MTG CORP POOL #G18401 3.5% 09-01-2026 BEO
**
138,371

FEDERAL HOME LN MTG CORP POOL #G18475 2.5% 08-01-2028 BEO
**
269,729

FEDERAL HOME LN MTG CORP POOL #G20028 7.5% 12-01-2036 BEO
**
1,115,650

FEDERAL HOME LN MTG CORP POOL #G30591 6%02-01-2028 BEO
**
73,635

FEDERAL HOME LN MTG CORP POOL #J0-6009 5% 10-01-2020 BEO
**
83,978

FEDERAL HOME LN MTG CORP POOL #J0-9212 5% 01-01-2024 BEO
**
50,962

FEDERAL HOME LN MTG CORP POOL #J12439 4.5% 06-01-2025 BEO
**
458,088

FEDERAL HOME LN MTG CORP POOL #J14494 4%02-01-2026 BEO
**
937,414

FEDERAL HOME LN MTG CORP POOL #J1-5658 4% 06-01-2026 BEO
**
282,118

FEDERAL HOME LN MTG CORP POOL #J1-5719 4% 06-01-2026 BEO
**
757,953

FEDERAL HOME LN MTG CORP POOL #J15974 4%06-01-2026 BEO
**
269,148

FEDERAL HOME LN MTG CORP POOL #J16059 4%07-01-2026 BEO
**
151,088

FEDERAL HOME LN MTG CORP POOL #J1-8912 FIXED 2.5% 04-01-2027 BEO
**
480,375

FEDERAL HOME LN MTG CORP POOL #J2-3929 2.5% 05-01-2028 BEO
**
2,595,573

FEDERAL HOME LN MTG CORP POOL #J2-5735 3% 09-01-2028 BEO
**
594,898

FEDERAL HOME LN MTG CORP POOL #J27464 3.5% 02-01-2029 BEO
**
1,152,493

FEDERAL HOME LN MTG CORP POOL #Q04673 4%11-01-2041 BEO
**
959,621

FEDERAL HOME LN MTG CORP POOL #Q04674 4%12-01-2041 BEO
**
71,357

FEDERAL HOME LN MTG CORP POOL #Q1-0448 3.5% 08-01-2042 BEO
**
598,015

FEDERAL HOME LN MTG CORP POOL #Q19853 3.5% 06-01-2043 BEO
**
988,056

FEDERAL HOME LN MTG CORP POOL #Q2-0402 3% 07-01-2043 BEO
**
200,633

FEDERAL HOME LN MTG CORP POOL #Q20416 3%07-01-2043 BEO
**
401,587

FEDERAL HOME LN MTG CORP POOL #Q2-0983 3% 08-01-2043 BEO
**
336,753

FEDERAL HOME LN MTG CORP POOL #Q2-1694 3% 08-01-2043 BEO
**
238,063

FEDERAL HOME LN MTG CORP POOL #Q2-5702 4.5% 04-01-2044 BEO
**
756,089

FEDERAL HOME LN MTG CORP POOL #Q2-5703 4.5% 04-01-2044 BEO
**
758,993

FEDERAL HOME LN MTG CORP POOL #Q2-5705 4.5% 04-01-2044 BEO
**
476,329

FEDERAL HOME LN MTG CORP POOL #Q2-5712 4.5% 04-01-2044 BEO
**
510,359

FEDERAL HOME LN MTG CORP POOL #Q2-5850 4.5% 04-01-2044 BEO
**
326,134

FEDERAL HOME LN MTG CORP POOL #Q2-5851 4.5% 04-01-2044 BEO
**
79,451

FEDERAL HOME LN MTG CORP POOL #Q2-5852 4.5% 04-01-2044 BEO
**
546,832

FEDERAL HOME LN MTG CORP POOL #Q2-5853 4.5% 04-01-2044 BEO
**
577,957

FEDERAL HOME LN MTG CORP POOL #Q29920 4.5% 11-01-2044 BEO
**
62,668

FEDERAL HOME LN MTG CORP POOL #S0-6297 3.5% 09-15-2042 BEO
**
219,576

FEDERAL HOME LN MTG CORP POOL #U8-0439 3.5% 07-01-2033 BEO
**
581,922

FEDERAL HOME LN MTG CORP POOL #U90245 3.5% 10-01-2042 BEO
**
679,978

FEDERAL HOME LN MTG CORP POOL #U9-0690 3.5 DUE 06-01-2042
**
255,968

FEDERAL HOME LN MTG CORP POOL #U92272 4.5% 12-01-2043 BEO
**
704,750

FEDERAL HOME LN MTG CORP POOL #U99076 4.5% 12-01-2043 BEO
**
5,915,834


70
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #U99084 4.5% 02-01-2044 BEO
**
4,830,515

FEDERAL HOME LN MTG CORP POOL #U99091 4.5% 03-01-2044 BEO
**
1,787,304

FEDERAL HOME LN MTG CORP POOL #U99114 3.5% 02-01-2044 BEO
**
299,978

FEDERAL HOME LN MTG CORP PREASSIGN 001011.5% 01-17-2020
**
8,914,842

FEDERAL HOME LN MTG CORP Q15062 3 DUE 02-01-2043
**
2,434,670

FEDERAL HOME LN MTG CORP REMIC SER 3439 CL CY 4.5 04-15-2023
**
233,483

FEDERAL HOME LN MTG CORP REMIC SER 4042 CL EB 6.5 08-15-2039
**
1,507,955

FEDERAL HOME LN MTG CORP SER 004305 CL KA 3 03-15-2038
**
1,134,208

FEDERAL HOME LN MTG CORP SER 004638 CL FA FLTG 07-15-2040
**
300,285

FEDERAL HOME LN MTG CORP SER 14-HQ1 CL M2 DUE 08-25-2024 BEO
**
1,363,446

FEDERAL HOME LN MTG CORP SER 2595 CL DC 5 04-15-2023
**
97,013

FEDERAL HOME LN MTG CORP SER 2638 CL JG 5.0% 02-15-2033
**
224,852

FEDERAL HOME LN MTG CORP SER 3221 CL FW 09-15-2036
**
1,342,709

FEDERAL HOME LN MTG CORP SER 3231 CL FA FRN 10-15-2036
**
817,699

FEDERAL HOME LN MTG CORP SER 3361 CL PF FRN 08-15-2035
**
3,276,190

FEDERAL HOME LN MTG CORP SER 3404 CL FB FRN 01-15-2038
**
2,150,442

FEDERAL HOME LN MTG CORP SER 3616 CL FG FRN 03-15-2032
**
819,936

FEDERAL HOME LN MTG CORP SER 3680 CL MA 4.5% DUE 07-15-2039
**
342,593

FEDERAL HOME LN MTG CORP SER 3786 CL NA 4.5 DUE 07-15-2040 REG
**
1,519,438

FEDERAL HOME LN MTG CORP SER 3843 CL GH 3.75 10-15-2039
**
826,648

FEDERAL HOME LN MTG CORP SER 3925 CL DE 2.0% 07-15-2040
**
1,308,162

FEDERAL HOME LN MTG CORP SER 4229 CL MA 3.5 05-15-2041 REG
**
1,994,836

FEDERAL HOME LN MTG CORP SER 4239 CL AB RT 4.0% DUE 12-15-2039
**
7,037,029

FEDERAL HOME LN MTG CORP SER 4462 CL KA 3.5% DUE 01-15-2045
**
12,455,601

FEDERAL HOME LN MTG CORP SER 4559 CL AF FLTG 03-15-2042 REG
**
2,035,377

FEDERAL HOME LN MTG CORP SER 4637 CL WF FLTG RT 07-15-2041
**
6,504,865

FEDERAL HOME LN MTG CORP SER 4678 CL AF FLTG RT 12-15-2042
**
6,635,346

FEDERAL HOME LN MTG CORP SER K020 CL A2 2.373 05-25-2040
**
4,170,269

FEDERAL HOME LN MTG CORP SER K043 CL A-2 3.062% 12-25-2024
**
9,738,384

FEDERAL HOME LN MTG CORP SER KJ18 CL A2 3.065% 08-25-2022
**
2,674,040

FEDERAL HOME LN MTG CORP TRANCHE 2.864% SER KJ13 CL A2 08-25-2022
**
369,410

FEDERAL HOME LN MTG CORP TRANCHE VAR RT 11-25-2027
**
410,655

FEDERAL HOME LOAN MORTGAGE CORP SER 3609 CL FA FLTG RT 12-15-2039 REG
**
6,382,240

FEDERAL NATIONAL MORTGAGE ASSOC SER 2016-M11 CL AB2 2.254% 07-25-2026
**
6,459,082

FEDERAL NATIONAL MORTGAGE ASSOC SER 2016-M11 CL AL 2.944% 07-25-2039
**
1,715,671

FEDERAL NATIONAL MORTGAGE ASSOC SER 2016-M12 CL AB1 BNDS 1.931% 09-25-2026
**
3,133,811

FEDERAL NATIONAL MORTGAGE ASSOC SER 2016-M12 CL AB2 2.362% 09-25-2026
**
7,055,844

FEDERAL NATL MTG ASSN GTD MTG POOL #AH0210 4.5% 12-01-2040 BEO
**
1,263,034

FEDERAL NATL MTG ASSN GTD MTG POOL #AH0864 4% 12-01-2040 BEO
**
22,765

FEDERAL NATL MTG ASSN GTD MTG POOL #AH0943 4% DUE 12-01-2040 BEO
**
896,964

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1115 4.5% 01-01-2041 BEO
**
2,285,750

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1266 4% 01-01-2041 BEO
**
497,132

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1508 4.5% 12-01-2040 BEO
**
1,406,499

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1559 4% 12-01-2040 BEO
**
1,048,728

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1560 4% 01-01-2041 BEO
**
1,346,732

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1565 4.5% 12-01-2040 BEO
**
549,475

FEDERAL NATL MTG ASSN GTD MTG POOL #AH2442 4% 01-01-2041 BEO
**
52,907


71
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL NATL MTG ASSN GTD MTG POOL #AH3203 4% DUE 01-01-2041 BEO
**
230,132

FEDERAL NATL MTG ASSN GTD MTG POOL #AH4404 4% 01-01-2041 BEO
**
1,651,414

FEDERAL NATL MTG ASSN GTD MTG POOL #AH5098 4% DUE 01-01-2041 BEO
**
29,572

FEDERAL NATL MTG ASSN GTD MTG POOL #AH6958 ADJ RT DUE 02-01-2041 BEO
**
227,255

FEDERAL NATL MTG ASSN GTD MTG POOL #AI0511 5% 04-01-2041 BEO
**
93,235

FEDERAL NATL MTG ASSN GTD MTG POOL #AI1051 4% DUE 06-01-2026 REG
**
350,498

FEDERAL NATL MTG ASSN GTD MTG POOL #AI1863 5% 05-01-2041 BEO
**
184,857

FEDERAL NATL MTG ASSN GTD MTG POOL #AI1892 5% 05-01-2041 BEO
**
890,610

FEDERAL NATL MTG ASSN GTD MTG POOL #AI2433 5% 05-01-2041 BEO
**
245,872

FEDERAL NATL MTG ASSN GTD MTG POOL #AI2443 5% 05-01-2041 BEO
**
145,349

FEDERAL NATL MTG ASSN GTD MTG POOL #AI2462 5% 05-01-2041 BEO
**
166,679

FEDERAL NATL MTG ASSN GTD MTG POOL #AI4261 5% 06-01-2041 BEO
**
132,808

FEDERAL NATL MTG ASSN GTD MTG POOL #AI7778 4% 07-01-2041 BEO
**
14,731

FEDERAL NATL MTG ASSN GTD MTG POOL #AI8382 3.5% 09-01-2026 BEO
**
327,615

FEDERAL NATL MTG ASSN GTD MTG POOL #AI8630 4% 07-01-2042 BEO
**
86,731

FEDERAL NATL MTG ASSN GTD MTG POOL #AI9940 5% 09-01-2041 BEO
**
747,323

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ1884 FIXED 3.5% 02-01-2042 BEO
**
744,424

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ2288 4% 09-01-2041 BEO
**
536,796

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ4051 4% 10-01-2041 BEO
**
9,415

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ9317 4% 01-01-2042 BEO
**
1,878,152

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ9982 3.5% 08-01-2042 BEO
**
3,563,413

FEDERAL NATL MTG ASSN GTD MTG POOL #AK0968 3% 02-01-2027 BEO
**
610,285

FEDERAL NATL MTG ASSN GTD MTG POOL #AK1140 3% 02-01-2027 BEO
**
381,944

FEDERAL NATL MTG ASSN GTD MTG POOL #AK1608 3% 01-01-2027 BEO
**
403,649

FEDERAL NATL MTG ASSN GTD MTG POOL #AK3107 4% 02-01-2042 BEO
**
239,541

FEDERAL NATL MTG ASSN GTD MTG POOL #AK5551 FIXED 4% 04-01-2042 BEO
**
6,477,323

FEDERAL NATL MTG ASSN GTD MTG POOL #AK6966 3% 03-01-2027 BEO
**
634,277

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0007 5% 12-01-2034 BEO
**
777,266

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0009 5.5% 12-01-2034 BEO
**
773,816

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0215 4.5% 04-01-2041 BEO
**
1,450,314

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0379 8% 12-01-2036 BEO
**
210,362

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0476 5% 11-01-2040 BEO
**
670,850

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0484 5.5% DUE 05-01-2040 BEO
**
276,664

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0533 ADJ RT DUE 07-01-2041 BEO
**
770,496

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0998 4.5% 10-01-2041 BEO
**
699,241

FEDERAL NATL MTG ASSN GTD MTG POOL #AL1051 4.5% 09-01-2041 BEO
**
492,121

FEDERAL NATL MTG ASSN GTD MTG POOL #AL1469 7% DUE 02-01-2039 BEO
**
802,146

FEDERAL NATL MTG ASSN GTD MTG POOL #AL1470 7% DUE 04-01-2037 BEO
**
376,877

FEDERAL NATL MTG ASSN GTD MTG POOL #AL1945 3.5% 06-01-2042 BEO
**
497,810

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2151 3.5% 03-01-2042 BEO
**
1,039,483

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2171 4% 06-01-2042 BEO
**
451,501

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2382 4% 02-01-2042 BEO
**
928,306

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2389 3.5% 09-01-2042 BEO
**
1,221,779

FEDERAL NATL MTG ASSN GTD MTG POOL #AL3626 4% 09-01-2042 BEO
**
21,658

FEDERAL NATL MTG ASSN GTD MTG POOL #AL4324 6.5% 05-01-2040 BEO
**
2,976,819

FEDERAL NATL MTG ASSN GTD MTG POOL #AL4465 3% 07-01-2028 BEO
**
1,815,925

FEDERAL NATL MTG ASSN GTD MTG POOL #AL4741 4.5% 01-01-2044 BEO
**
1,066,147


72
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL NATL MTG ASSN GTD MTG POOL #AL5540 4.5% 07-01-2044 BEO
**
525,596

FEDERAL NATL MTG ASSN GTD MTG POOL #AL5548 3.494% DUE 05-01-2038 BEO
**
434,209

FEDERAL NATL MTG ASSN GTD MTG POOL #AL5674 4.5% 08-01-2044 BEO
**
2,438,218

FEDERAL NATL MTG ASSN GTD MTG POOL #AL5760 4% 09-01-2043 BEO
**
55,444

FEDERAL NATL MTG ASSN GTD MTG POOL #AL6308 5% 08-01-2038 BEO
**
2,727,564

FEDERAL NATL MTG ASSN GTD MTG POOL #AL6851 2.5% 10-01-2043 BEO
**
774,343

FEDERAL NATL MTG ASSN GTD MTG POOL #AL7204 5% 10-01-2043 BEO
**
123,494

FEDERAL NATL MTG ASSN SR 2011-59 CL NZ 5.5 DUE 07-25-2041
**
3,736,078

FEDERAL RLTY INVT TR 2.55% 01-15-2021
**
342,230

FEDERAL SIGNAL CORP COM
**
121,484

FEDERATED NATL HLDG CO COM
**
26,529

FEDEX CORP 3.3% DUE 03-15-2027
**
156,040

FEDEX CORP COM
**
25,855,588

FERGUSON PLC ORD GBP0.108030303
**
467,852

FHLB BD 5.5 07-15-2036
**
12,754,838

FHLB DISC NT 01-05-2018 0% DISC NTS 05/01/2018 USD
**
3,299,192

FHLB DISC NT 01-10-2018 0% DISC NTS 10/01/2018 USD
**
3,468,531

FHLB DISC NT 01-17-2018 0% DISC NTS 17/01/2018 USD
**
5,546,434

FHLB DISC NT 02-07-2018 0% DISC NTS 07/02/2018 USD
**
31,927,800

FHLB DISC NT 02-09-2018 0% DISC NTS 09/02/2018 USD
**
10,355,555

FHLB DISC NT 02-14-2018
**
14,119,495

FHLB FEDERAL HOME LOAN BANK .875% DUE 06-29-2018 REG .875 06-29-2018
**
2,241,664

FHLB TRANCHE 00070 .875 03-19-2018
**
5,993,688

FHLB TRANCHE 00110 1 09-26-2019
**
4,923,400

FHLB TRANCHE 00611 1.25 01-16-2019
**
4,769,842

FHLMC 0 09-30-2020
**
1,581,722

FHLMC CMO SER 2248 CL FB FLTG DUE 09-15-2030 REG
**
5,836

FHLMC FEDERAL HOME LN MTG CORP .875% 10-12-2018 .875 10-12-2018
**
1,191,690

FHLMC FREDDIE MAC .875% 07-19-2019 .875 07-19-2019
**
1,968,728

FHLMC GOLD #A53630 A53630 6 10-01-2036
**
105,851

FHLMC GOLD #G00473 7.5% DUE 05-01-2026
**
194

FHLMC GOLD 3% MBS 01/06/2029 USD'V6-0564' V60564 3 06-01-2029
**
1,135,765

FHLMC GOLD A47999 5 08-01-2035
**
543,756

FHLMC GOLD A62077 6 06-01-2037
**
36,399

FHLMC GOLD A9-5825 4.0% DUE 12-01-2040
**
640,137

FHLMC GOLD A95831 4.5 12-01-2040
**
1,092,680

FHLMC GOLD C00371 7 09-01-2024
**
1,152

FHLMC GOLD C00522 7.0% 05-01-2027
**
7,764

FHLMC GOLD C00632 7 07-01-2028
**
6,677

FHLMC GOLD C00987 7.5 05-01-2030
**
1,386

FHLMC GOLD C01116 7.5 01-01-2031
**
29,664

FHLMC GOLD C04272 3 10-01-2042
**
1,929,598

FHLMC GOLD C80373 7.5% 01-01-2026
**
268

FHLMC GOLD C80379 7.0% 02-01-2026
**
8,606

FHLMC GOLD C80407 7.0% 06-01-2026
**
812

FHLMC GOLD C9-1908 3 01-01-2037
**
1,132,221

FHLMC GOLD G02408 5.5 12-01-2036
**
214,344


73
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC GOLD G06506 4 12-01-2040
**
1,988,989

FHLMC GOLD G06507 4 02-01-2041
**
338,685

FHLMC GOLD G07335 7 03-01-2039
**
623,109

FHLMC GOLD G0-7388 3.5 05-01-2043
**
2,044,453

FHLMC GOLD G07509 6.5 09-01-2039
**
487,940

FHLMC GOLD G08372 4.5 11-01-2039
**
516,531

FHLMC GOLD G08553 3 10-01-2043
**
123,933

FHLMC GOLD G13492 5 02-01-2024
**
130,850

FHLMC GOLD GROUP #C00636 7.5 MTG PARTN CTF DUE 07-01-2028 REG
**
18,435

FHLMC GOLD GROUP C26742 6 05-01-2029
**
731

FHLMC GOLD GROUP D93618 6.5 07-01-2019
**
4,865

FHLMC GOLD J16432 3.5 08-01-2026
**
258,358

FHLMC GOLD J23935 3 05-01-2028
**
517,192

FHLMC GOLD J2-7964 3 04-01-2029
**
614,738

FHLMC GOLD J2-8196 3 05-01-2029
**
3,601,518

FHLMC GOLD J2-9007 3 08-01-2029
**
656,833

FHLMC GOLD J35097 2.5 08-01-2031
**
884,131

FHLMC GOLD POOL #G00280 9.5% 12-01-2022
**
466

FHLMC GOLD POOL #G00675 7.5% DUE 03-01-2027
**
10,263

FHLMC GOLD POOL #G00869 7.5% DUE 01-01-2028
**
12,267

FHLMC GOLD POOL #Q11288 3.5 09-01-2042
**
501,946

FHLMC GOLD POOL #Q1-1788 3 DUE 10-01-2042
**
306,672

FHLMC GOLD POOL #Q12052 Q12052 3.5 10-01-2042
**
594,489

FHLMC GOLD POOL C00984 8 05-01-2030
**
1,476

FHLMC GOLD POOL G0-0529 7.5% DUE 08-01-2026
**
1,779

FHLMC GOLD POOL G01091 7 12-01-2029
**
26,822

FHLMC GOLD POOL G11410 4.0% 07-01-2018
**
72,112

FHLMC GOLD POOL J12398 FLTG RT 4.5% DUE 06-01-2025
**
300,671

FHLMC GOLD POOL# U91254 4 DUE 04-01-2043
**
1,129,310

FHLMC GOLD POOL#Q17792 3.5 DUE 05-01-2043
**
2,710,872

FHLMC GOLD Q08998 3.5 06-01-2042
**
1,201,066

FHLMC GOLD Q12520 3 10-01-2042
**
143,907

FHLMC GOLD Q14326 2.5 01-01-2043
**
806,586

FHLMC GOLD Q45458 4 08-01-2046
**
480,250

FHLMC GOLD Q48338 4.5 05-01-2047
**
272,256

FHLMC GOLD U90291 4 10-01-2042
**
359,252

FHLMC GOLD U90316 4 10-01-2042
**
2,565,968

FHLMC GOLD U91619 4 06-01-2043
**
1,131,620

FHLMC GOLD U95137 4 08-01-2043
**
704,834

FHLMC GOLD V60298 3.0% 10-01-2028
**
599,392

FHLMC GOLD V60869 2.5 07-01-2030
**
2,290,949

FHLMC GOLDPOOL #Q10241 3.5 08-01-2042
**
477,153

FHLMC GROUP #360077 9.00 MTG PARTN CTF DUE 8-1-19 REG
**
27

FHLMC GROUP #C00098 8.00 MTG PARTN CTF DUE 2-1-2022 REG
**
2,862

FHLMC GROUP #C00516 8.0 MTG PARTN CTF DUE 05-01-2027 REG
**
5,855

FHLMC GROUP #G00144 10.0 MTG PARTN CTF DUE 03-01-2021 REG
**
1,321

FHLMC GROUP #G00825 7.0 MTG PARTN CTF DUE 11-01-2027 REG
**
590


74
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC MULTICLASS 0 12-31-2040
**
10,336,150

FHLMC MULTICLASS 2.375% DUE 04-25-2023 REG
**
3,318,810

FHLMC MULTICLASS 2005-S001 CTF CL 2A2 VAR RATE 09-25-2045
**
632,731

FHLMC MULTICLASS FHLMC #80-0146 10-15-2037
**
6,872,340

FHLMC MULTICLASS FR CMO 25/10/20 USD1000'A-2' K010 4.333 10-25-2020
**
10,504,430

FHLMC MULTICLASS FREDDIE MAC SER 2017-SR01 CL A3G 3.089% 11-25-2027
**
3,837,768

FHLMC MULTICLASS FREDDIE MAC STRUCTURED 12-25-2020
**
839,663

FHLMC MULTICLASS PREASSIGN 00208 5 02-15-2018
**
3,314

FHLMC MULTICLASS PREASSIGN 00343 08-25-2031
**
7,241

FHLMC MULTICLASS SER 004305 CL A 3.5 06-15-2048
**
2,297,309

FHLMC MULTICLASS SER 004579 CL FD 01-15-2038
**
742,528

FHLMC MULTICLASS SER 004582 CL PA 3 11-15-2045
**
20,582,183

FHLMC MULTICLASS SER 004735 CL BA 3 04-15-2047
**
4,987,405

FHLMC MULTICLASS SER 15-DNA2 CL M-2 FLTG RT 12-25-2027
**
3,364,053

FHLMC MULTICLASS SER 2012-154 CLS PW 10-25-2042
**
687,765

FHLMC MULTICLASS SER 2113 CL MW 6.5 01-15-2029
**
162,952

FHLMC MULTICLASS SER 2135 CL OH 6.5 03-15-2029
**
140,028

FHLMC MULTICLASS SER 2175 CL TH 6 07-15-2029
**
156,722

FHLMC MULTICLASS SER 2319 CL PZ 6.5 05-15-2031
**
367,560

FHLMC MULTICLASS SER 2338 CL ZC 6.5 07-15-2031
**
214,124

FHLMC MULTICLASS SER 2430 CL WF 6.5 03-15-2032 REG
**
76,636

FHLMC MULTICLASS SER 2649 CL KA 4.5 07-15-2018
**
22,183

FHLMC MULTICLASS SER 2707 CL QE 4.5 11-15-2018
**
71,748

FHLMC MULTICLASS SER 2764 CL UE 5 10-15-2032
**
49,722

FHLMC MULTICLASS SER 2812 CL FL FRN 02-15-2023
**
112,860

FHLMC MULTICLASS SER 2980 CL QA 6 05-15-2035
**
102,758

FHLMC MULTICLASS SER 3005 CL ED 5 07-15-2025
**
82,105

FHLMC MULTICLASS SER 3117 CL FE FLT RT 02-15-2036
**
781,602

FHLMC MULTICLASS SER 3187 CL Z 5 07-15-2036
**
153,238

FHLMC MULTICLASS SER 3209 CL EG 4.5 08-15-2020
**
202,351

FHLMC MULTICLASS SER 3397 CL FC FLTG 12-15-2037
**
12,824

FHLMC MULTICLASS SER 3564 CL AL FLT RT 08-15-2036
**
611,725

FHLMC MULTICLASS SER 3578 CL VZ 5.5 08-15-2036
**
734,432

FHLMC MULTICLASS SER 3648 CL CY 4.5% DUE 03-15-2030
**
220,253

FHLMC MULTICLASS SER 3649 CL BW 4 03-15-2025
**
212,686

FHLMC MULTICLASS SER 3653 CL HJ 5 04-15-2040
**
240,895

FHLMC MULTICLASS SER 3662 CL PJ 5 DUE 04-15-2040
**
192,614

FHLMC MULTICLASS SER 3677 CL PB 4.5 DUE 05-15-2040 REG
**
262,693

FHLMC MULTICLASS SER 3786 CL P 4 01-15-2041
**
11,002,567

FHLMC MULTICLASS SER 3857 CL LH 2.5% 01-15-2040
**
1,727,009

FHLMC MULTICLASS SER 3910 CL CU 4.0% DUE03-15-2041 REG
**
186,587

FHLMC MULTICLASS SER 4016 CL CA 2% 07-15-2041
**
1,112,286

FHLMC MULTICLASS SER 4118 CL PD 1.5 05-15-2042
**
559,425

FHLMC MULTICLASS SER 4219 CL JA 3.5 08-15-2039
**
371,550

FHLMC MULTICLASS SER 4227 CL VA 3.5 DUE 10-15-2037 REG
**
1,621,418

FHLMC MULTICLASS SER 4318 CL MA 3.0% DUE09-15-2039 REG
**
1,870,675

FHLMC MULTICLASS SER 4331 CL EA 4 03-15-2043
**
1,726,043


75
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC MULTICLASS SER 4631 CL AE 3.5 05-15-2044
**
12,267,054

FHLMC MULTICLASS SER 4650 CL CA 3.5% DUE 05-15-2043 REG
**
13,058,501

FHLMC MULTICLASS SER 4651 CL LA 3.5% DUE 04-15-2042 REG
**
19,463,640

FHLMC MULTICLASS SER T-21 CL A 10-25-2029
**
182,735

FHLMC MULTICLASS SER T-34 CL A1V 07-25-2031
**
3,958,123

FHLMC MULTICLASS SER T-61 CL 1A1 FLT RT 07-25-2044
**
801,503

FHLMC MULTICLASS SERIES K725 CLASS AM 3.104% DUE 05-25-2023 REG
**
602,602

FHLMC MULTICLASS SR 4569 CL JA FLTG 3.0% 03-15-2042
**
8,276,511

FHLMC MULTICLASS TRANCHE 00045 2.952 02-25-2027
**
2,727,525

FHLMC MULTICLASS TRANCHE 00216 11-25-2025
**
5,705,859

FHLMC MULTICLASS TRANCHE 00544 2.2 07-25-2025
**
4,614,953

FHLMC MULTICLASS TRANCHE 00627 3.243 04-25-2027
**
184,471

FHLMC MULTICLASS TRANCHE 00628 3.326 05-25-2027
**
136,553

FHLMC MULTICLASS TRANCHE 00673 1.78 07-25-2019
**
4,856,769

FHLMC MULTICLASS TRANCHE 00704 2.272 01-25-2023
**
6,161,723

FHLMC MULTICLASS TRANCHE 00868 09-25-2022
**
326,271

FHLMC MULTICLASS TRANCHE 00871 2.995 12-25-2025
**
4,571,501

FHLMC MULTICLASS TRANCHE 00878 3.08999991417 08-25-2022
**
3,644,902

FHLMC MULTICLASS TRANCHE 1.418 05-25-2021
**
596,405

FHLMC MULTICLASS TRANCHE 2.158 10-25-2021
**
7,128,226

FHLMC MULTICLASS TRANCHE 2.72 07-25-2026
**
372,398

FHLMC MULTICLASS TRANCHE 2.838 09-25-2022
**
191,723

FHLMC MULTICLASSSER 3613 CL HJ 5.5 DUE 12-15-2039 REG
**
670,651

FHLMC POOL #1B8062 ADJ RT 03-01-2041
**
203,945

FHLMC POOL #1G1381 ADJ RT 12-01-2036
**
43,940

FHLMC POOL #1J1467 ADJ RT 12-01-2036
**
137,718

FHLMC POOL #1J-1492 ADJ RT 11-01-2036
**
61,832

FHLMC POOL #2B4296 ADJ RT 06-01-2045
**
3,621,916

FHLMC POOL #549820 9 09-01-2020
**
132

FHLMC POOL #C00650 7 09-01-2028
**
4,152

FHLMC POOL #K041 3.17100000381 10-25-2024
**
15,490,635

FHLMC POOL #Q25818 4.5 04-01-2044
**
3,252,722

FHLMC POOL #Q25819 4.5 04-01-2044
**
3,412,673

FHLMC POOL 555152 9.0% DUE 07-01-2020
**
61

FHLMC POOL 846661 ADJ RT DUE 02-01-2029
**
1,060

FHLMC SER 3645 CL KP 5 02-15-2040
**
786,230

FIAT CHRYSLER 4.5% DUE 04-15-2020
**
718,095

FIAT CHRYSLER AUTOMOBILES NV
**
609,790

FID NATL 2.25% DUE 08-15-2021
**
2,610,234

FID NATL 2.85% DUE 10-15-2018
**
7,001,234

FID NATL 3.625% DUE 10-15-2020
**
1,169,264

FID SOUTHN CORP NEW COM STK
**
67,362

FIDELITY NATL FINANCIAL 5.5 DUE 09-01-2022 BEO
**
2,537,401

FIDELITY NATL FINL INC NEW FORMERLY FIDELITY COMMON STOCK
**
2,959,363

FIDELITY NATL INFORMATION SVCS INC COM STK
**
12,319,956

FIDESSA GROUP ORD GBP0.10
**
432,339

FIESTA RESTAURANT GROUP INC COM
**
59,508


76
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FIFTH THIRD BANCORP 3.5 BNDS DUE 03-15-2022
**
2,058,978

FIFTH THIRD BK 2.375 04-25-2019
**
300,868

FIFTH THIRD BK CINCINNATI OHIO 2.15% 08-20-2018
**
5,156,031

FIFTH THIRD BK TRANCHE # SR 00035 FLTG DUE 10-30-2020
**
6,403,721

FINANCIAL ENGINES INC COM
**
85,022

FINANCIAL INSTNS INC COM
**
66,088

FINECOBANK SPA EUR0.33
**
648,198

FINISAR CORPORATION COMMON STOCK
**
220,798

FINISH LINE INC CL A
**
58,076

FINNING INTL INC COM NPV
**
169,948

FINNVERA PLC SR NT 144A 2.375% DUE 06-04-2025 BEO
**
386,744

FIREEYE INC COM
**
2,948,829

FIRST AMERN FINL CORP COM STK
**
3,503,453

FIRST BANCORP INC ME COM
**
30,688

FIRST BANCORP N C COM
**
93,572

FIRST BANCORP P R COM NEW COM NEW
**
127,857

FIRST BANCSHARES INC MISS COM
**
24,214

FIRST BK WILLIAMSTOWN NEW JERSEY COM
**
14,044

FIRST BUSEY CORP COM NEW COM NEW
**
114,970

FIRST BUSINESS FINL SVCS INC WIS COM STK
**
18,138

FIRST CONN BANCORP INC MD COM
**
42,886

FIRST DEFIANCE FINANCIAL CORP COM STK USD0.01
**
53,269

FIRST FINL BANCORP OHIO COM
**
156,651

FIRST FINL CORP IND COM
**
60,406

FIRST FINL HLDG CO TWD10
**
714,331

FIRST FINL NORTHWEST INC COM STK
**
23,839

FIRST INTERNET BANCORP COM STK
**
30,177

FIRST INTERSTATE BANCSYS/MT
**
146,183

FIRST LONG IS CORP COM
**
31,350

FIRST MERCHANTS CORP COM
**
176,231

FIRST MIDWEST BANCORP INC DEL COM
**
248,696

FIRST NORTHWEST BANCORP COM
**
11,410

FIRSTCASH INC COM
**
187,781

FIRSTENERGY CORP 2.85% 07-15-2022
**
5,162,636

FIRSTENERGY CORP 4.25 DUE 03-15-2023
**
5,023,838

FIRSTENERGY CORP 7.375% DUE 11-15-2031
**
1,348,701

FISERV INC COM
**
6,400,193

FITBIT INC CL A CL A
**
53,080

FIVE STAR SENIOR LIVING INC COM USD0.01
**
6,752

FL PWR & LT CO 3.125% DUE 12-01-2025
**
7,625,970

FL PWR & LT CO 3.25% DUE 06-01-2024
**
190,185

FL PWR & LT CO 3.8% DUE 12-15-2042
**
125,820

FLAGSHIP CR AUTO 2.05% DUE 11-15-2020
**
1,000,029

FLAGSHIP CR AUTO 2.83% DUE 03-15-2023
**
105,268

FLAGSHIP CR AUTO 2.96000003815% DUE 07-15-2023
**
274,763

FLAGSHIP CR AUTO 3.61999988556% DUE 07-15-2023
**
159,520

FLAGSTAR BANCORP INC COM PAR$.001
**
227,102


77
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FLEETCOR TECHNOLOGIES INC COM
**
8,079,174

FLEXSTEEL INDS INC COM
**
44,160

FLEXTRONICS INTL 4.625% DUE 02-15-2020
**
412,892

FLIR SYS INC COM
**
5,217,477

FLOOR & DECOR HLDGS INC CL A CL A
**
3,363,253

FLORIDA PWR & LT CO NT SER FLTG RATE 11-06-2020G
**
6,098,781

FLORIDA PWR CORP 5.65% DUE 06-15-2018
**
289,823

FLORIDA ST TPK AUTH TPK REV 6.8% 07-01-2039 BEO TAXABLE
**
2,456,446

FLOTEK INDS INC DEL COM
**
18,761

FLUOR CORP NEW COM
**
5,371,600

FLUSHING FINL CORP COM
**
84,563

FMR BROS CO DEL
**
63,753

FNMA 1.125% 07-20-2018
**
2,747,115

FNMA 2.625% 09-06-2024
**
1,438,907

FNMA . POOL #AO6482 ADJ RT DUE 07-01-2042 BEO
**
60,242

FNMA 2004-W1 CL-2A1 6.5% DUE 12-25-2043
**
156,712

FNMA 2009-W1 CL-A 6 12-25-2049
**
114,899

FNMA 99-6 PB 6 03-25-2019
**
27,511

FNMA AR9203 3.5 DUE 03-01-2043
**
1,539,989

FNMA AT0238 2.5 DUE 03-01-2043
**
867,069

FNMA CMO SER 2002-86 CL PG 6 09-25-2032 BEO
**
174,814

FNMA DTD 11/03/2000 6.625 11-15-2030
**
3,368,103

FNMA FANNIE MAE 2.125 04-24-2026
**
7,623,429

FNMA FANNIE MAE 5 03-25-2021
**
289,369

FNMA FN BF0145 POOL #BF0145 3.5% DUE 03-01-2057 REG
**
12,545,150

FNMA FNMA 11-25-2046
**
3,714,154

FNMA FNMA 3.726 06-25-2021
**
4,402,829

FNMA FR CMO 25/10/2037 USD1000 A7 10-25-2037
**
37,157

FNMA POOL #100168 9.5% 01-15-2021 BEO
**
571

FNMA POOL #108489 9% 11-01-2020 BEO
**
6,713

FNMA POOL #190353 5% 08-01-2034 BEO
**
8,733

FNMA POOL #190357 5% 03-01-2035 BEO
**
6,608

FNMA POOL #190360 5% 08-01-2035 BEO
**
5,246

FNMA POOL #190377 5% 11-01-2036 BEO
**
215,144

FNMA POOL #190533 7% 01-01-2024 BEO
**
1,989

FNMA POOL #242136 7% 10-01-2023 BEO
**
344

FNMA POOL #245442 7.0 GTD MTG PASS THRU CTF DUE 11-01-2023 REG
**
2,153

FNMA POOL #252210 6.5% DUE 02-01-2019 REG
**
5,786

FNMA POOL #253153 7% DUE 02-01-2020 REG
**
3,242

FNMA POOL #253947 8% DUE 08-01-2031 REG
**
33,909

FNMA POOL #254223 7.5% DUE 02-01-2032 REG
**
364

FNMA POOL #254793 5% 07-01-2033 BEO
**
167,312

FNMA POOL #256901 6.5% 09-01-2037 BEO
**
9,140

FNMA POOL #256937 6.5% 10-01-2037 BEO
**
18,020

FNMA POOL #257239 5.5% 06-01-2028 BEO
**
116,223

FNMA POOL #267989 7.0 GTD MTG PASS THRU CTF DUE 02-01-2024 REG
**
2,409

FNMA POOL #274621 7% 03-01-2024 BEO
**
1,036


78
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #312206 FLTG RT 3.095% 06-01-2025 BEO
**
35,196

FNMA POOL #313499 10% DUE 10-01-2018 REG
**
1,099

FNMA POOL #313947 7% 01-01-2028 BEO
**
1,395

FNMA POOL #330089 8% 04-01-2025 BEO
**
22,797

FNMA POOL #330126 3.132% 08-01-2025 BEO
**
40,816

FNMA POOL #331427 ADJ RT DUE 11-01-2025 REG
**
13,912

FNMA POOL #347547 ADJ RT DUE 08-01-2026 BEO
**
177

FNMA POOL #347633 3.224% 07-01-2026 BEO
**
15,539

FNMA POOL #362968 ADJ RT DUE 01-01-2026 REG
**
37,020

FNMA POOL #369996 7.5% DUE 01-01-2027 REG
**
3,079

FNMA POOL #371049 7.5% 02-01-2027 BEO
**
11,996

FNMA POOL #371073 7.5% 02-01-2027 BEO
**
6,329

FNMA POOL #371871 7.5% 02-01-2027 BEO
**
6,210

FNMA POOL #377038 7.5% 04-01-2027 BEO
**
10,379

FNMA POOL #396434 7.5% 11-01-2027 BEO
**
463

FNMA POOL #396439 7.5% 11-01-2027 BEO
**
7,401

FNMA POOL #397256 7.5% 10-01-2027 BEO
**
667

FNMA POOL #398754 7.5% 09-01-2027 BEO
**
5,234

FNMA POOL #401788 7.5 GTD MTG PASS THRU CTF DUE 10-01-2027 REG
**
852

FNMA POOL #468559 4.01% DUE 08-01-2021 BEO
**
378,274

FNMA POOL #479545 7% DUE 08-01-2029 REG
**
555

FNMA POOL #492745 7% 05-01-2029 BEO
**
8,033

FNMA POOL #50305 9.5% 05-01-2020 BEO
**
653

FNMA POOL #503573 7% DUE 10-01-2029 REG
**
2,509

FNMA POOL #50402 9% 02-01-2021 BEO
**
179

FNMA POOL #50415 9.00 GTD MTG PASS THRU CTF DUE 03-01-2021 REG
**
218

FNMA POOL #507521 7% 08-01-2029 BEO
**
5,029

FNMA POOL #50795 7% 09-01-2023 BEO
**
1,069

FNMA POOL #509436 7% DUE 10-01-2029 REG
**
7,653

FNMA POOL #50947 7% 12-01-2023 BEO
**
13,167

FNMA POOL #50966 7% 01-01-2024 BEO
**
5,070

FNMA POOL #509662 7% DUE 08-01-2029 REG
**
459

FNMA POOL #50993 7% DUE 02-01-2024 REG
**
3,754

FNMA POOL #511103 7% DUE 08-01-2029 REG
**
6,963

FNMA POOL #511384 7% 09-01-2029 BEO
**
1,752

FNMA POOL #514267 7% DUE 09-01-2029 REG
**
2,445

FNMA POOL #515518 7% DUE 10-01-2029 REG
**
3,453

FNMA POOL #517511 7% DUE 10-01-2029 REG
**
3,474

FNMA POOL #523486 8% DUE 08-01-2030 REG
**
1,011

FNMA POOL #533757 8% 06-01-2030 BEO
**
11,032

FNMA POOL #534194 8% DUE 04-01-2030 REG
**
3,144

FNMA POOL #545204 ADJ RT DUE 05-01-2036 REG
**
33,006

FNMA POOL #545278 7.5% DUE 11-01-2031 REG
**
69,051

FNMA POOL #554482 7.5% 10-01-2030 BEO
**
69,271

FNMA POOL #555743 5% 09-01-2033 BEO
**
201,904

FNMA POOL #569972 7.5% DUE 03-01-2031 REG
**
21,256

FNMA POOL #572675 7.5% DUE 04-01-2031 REG
**
45,732


79
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #593848 8% 07-01-2031 BEO
**
20,628

FNMA POOL #602065 7% DUE 09-01-2031 REG
**
64,319

FNMA POOL #604576 6.5% 09-01-2021 BEO
**
3,310

FNMA POOL #60680 ADJ RT DUE 02-01-2028 REG
**
15,074

FNMA POOL #609504 7% DUE 10-01-2031 REG
**
93,155

FNMA POOL #649952 6.5% 06-01-2032 BEO
**
286

FNMA POOL #725162 6% 02-01-2034 BEO
**
48,505

FNMA POOL #725229 6% 03-01-2034 BEO
**
133,593

FNMA POOL #725946 5.5% 11-01-2034 BEO
**
113,496

FNMA POOL #735061 6% 11-01-2034 BEO
**
1,295,766

FNMA POOL #735208 6% DUE 10-01-2019 REG
**
8,678

FNMA POOL #735382 5% 04-01-2035 BEO
**
875,000

FNMA POOL #735439 6% 09-01-2019 BEO
**
9,373

FNMA POOL #735500 5.5% 05-01-2035 BEO
**
1,205,151

FNMA POOL #735501 6% 05-01-2035 BEO
**
316,924

FNMA POOL #735503 6% 04-01-2035 BEO
**
346,606

FNMA POOL #735561 FLTG DUE 04-01-2034
**
71,971

FNMA POOL #735580 5% 06-01-2035 BEO
**
410,450

FNMA POOL #735676 5% 07-01-2035 BEO
**
271,959

FNMA POOL #735893 5% 10-01-2035 BEO
**
114,880

FNMA POOL #735989 5.5% 02-01-2035 BEO
**
1,722,696

FNMA POOL #745000 6% 10-01-2035 BEO
**
64,997

FNMA POOL #745140 5% 11-01-2035 BEO
**
1,538,992

FNMA POOL #745327 6% DUE 03-01-2036 REG
**
167,890

FNMA POOL #745412 5.5% 12-01-2035 BEO
**
885,090

FNMA POOL #745885 6% 10-01-2036 BEO
**
568,642

FNMA POOL #745948 6.5% DUE 10-01-2036 BEO
**
62,195

FNMA POOL #745959 5.5% 11-01-2036 BEO
**
395,993

FNMA POOL #758777 6.5% 04-01-2028 BEO
**
294

FNMA POOL #811569 6% 06-01-2021 BEO
**
13,471

FNMA POOL #813599 ADJ RT DUE 01-01-2036 BEO
**
201,553

FNMA POOL #825480 FLTG RT 06-01-2035
**
36,227

FNMA POOL #827601 5.5% 08-01-2019 BEO
**
1,429

FNMA POOL #831561 6.5% 05-01-2036 BEO
**
49,708

FNMA POOL #833600 6.5% DUE 11-01-2035 REG
**
10,498

FNMA POOL #836464 ADJ RT DUE 10-01-2035 BEO
**
98,075

FNMA POOL #836852 ADJ RT DUE 10-01-2035 BEO
**
463,652

FNMA POOL #843823 ADJ RT DUE 11-01-2035 BEO
**
434,855

FNMA POOL #843997 3.044% 11-01-2035 BEO
**
155,780

FNMA POOL #844052 4.065 11-01-2035 BEO
**
14,805

FNMA POOL #844148 3.057% 11-01-2035 BEO
**
16,777

FNMA POOL #844237 ADJ RT DUE 11-01-2035 BEO
**
15,069

FNMA POOL #844789 2.962% 11-01-2035 BEO
**
18,340

FNMA POOL #866888 ADJ RT DUE 01-01-2036 BEO
**
141,315

FNMA POOL #872021 6% 06-01-2021 BEO
**
19,682

FNMA POOL #879067 ADJ RT DUE 04-01-2036 BEO
**
1,039,897



80
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #879394 5% DUE 02-01-2021 REG
**
27,472

FNMA POOL #880870 6.5% 03-01-2036 BEO
**
13,602

FNMA POOL #884729 3.422% 08-01-2036 BEO
**
154,979

FNMA POOL #884773 ADJ RT DUE 10-01-2036 BEO
**
78,221

FNMA POOL #888365 6% 04-01-2022 BEO
**
23,079

FNMA POOL #888366 7% 04-01-2037 BEO
**
211,230

FNMA POOL #888560 6 11-01-2035 BEO
**
660,353

FNMA POOL #888601 5.5% 06-01-2020 BEO
**
27,361

FNMA POOL #888637 6% 09-01-2037 BEO
**
95,182

FNMA POOL #888832 6.5% 11-01-2037 BEO
**
26,898

FNMA POOL #888890 6.5% DUE 10-01-2037 BEO
**
183,249

FNMA POOL #888893 5.5% 08-01-2037 BEO
**
42,610

FNMA POOL #889072 6.5% 12-01-2037 BEO
**
197,650

FNMA POOL #889117 5% 10-01-2035 BEO
**
567,968

FNMA POOL #889190 6% 03-01-2038 BEO
**
82,469

FNMA POOL #889579 6% DUE 05-01-2038 REG
**
1,250,767

FNMA POOL #890116 7% 02-01-2023 BEO
**
232,988

FNMA POOL #890236 4.5% 08-01-2040 BEO
**
102,379

FNMA POOL #890248 6% 08-01-2037 BEO
**
1,347,654

FNMA POOL #890268 6.5% 10-01-2038 BEO
**
297,012

FNMA POOL #890604 4.5% 10-01-2044 BEO
**
3,205,407

FNMA POOL #891654 6.5% DUE 06-01-2036 REG
**
103,407

FNMA POOL #902425 ADJ RT DUE 11-01-2036
**
40,457

FNMA POOL #903261 6% 10-01-2036 BEO
**
95,600

FNMA POOL #906666 6.5% 12-01-2036 BEO
**
8,253

FNMA POOL #908172 6.5% DUE 01-01-2037 REG
**
1,170

FNMA POOL #914875 6.5% DUE 04-01-2037 REG
**
187,897

FNMA POOL #918653 6% 06-01-2037 BEO
**
96,920

FNMA POOL #924874 7% 10-01-2037 BEO
**
37,179

FNMA POOL #928746 6.5% DUE 09-01-2037 REG
**
8,691

FNMA POOL #928938 7% 12-01-2037 BEO
**
40,261

FNMA POOL #929298 5% 03-01-2038 BEO
**
184,715

FNMA POOL #930719 4.5% 03-01-2019 BEO
**
3,856

FNMA POOL #931307 4.5% 06-01-2039 BEO
**
423,063

FNMA POOL #931991 4.5% 09-01-2039 BEO
**
701,231

FNMA POOL #932058 4.5% 10-01-2039 BEO
**
569,162

FNMA POOL #932426 4.5% 01-01-2040 BEO
**
1,487,199

FNMA POOL #932495 4.5% 02-01-2040 BEO
**
146,240

FNMA POOL #932669 4.5% 03-01-2040 BEO
**
11,243

FNMA POOL #932850 4% 12-01-2040 BEO
**
293,956

FNMA POOL #933409 5% 03-01-2038 BEO
**
205,992


81
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #933638 ADJ RT DUE 08-01-2038 BEO
**
91,249

FNMA POOL #934648 7% DUE 11-01-2038 BEO
**
182,178

FNMA POOL #942798 6.5% DUE 08-01-2037 REG
**
63,298

FNMA POOL #943699 6.5% DUE 08-01-2037 REG
**
86,566

FNMA POOL #946065 6.5% 09-01-2037 BEO
**
17,627

FNMA POOL #948849 6% 08-01-2037 BEO
**
376,030

FNMA POOL #955183 7% 11-01-2037 BEO
**
67,302

FNMA POOL #955762 6.5% 10-01-2037 BEO
**
3,881

FNMA POOL #958830 4.64% 06-01-2019 BEO
**
178,055

FNMA POOL #962062 5% 03-01-2038 BEO
**
254,034

FNMA POOL #962444 5% DUE 04-01-2038 BEO
**
139,949

FNMA POOL #968066 6% 10-01-2022 BEO
**
61,013

FNMA POOL #968252 7% 02-01-2038 BEO
**
14,262

FNMA POOL #971053 4.5% 02-01-2039 BEO
**
55,926

FNMA POOL #972242 6.5% 03-01-2038 BEO
**
2,442

FNMA POOL #972571 5% 03-01-2038 BEO
**
29,407

FNMA POOL #972572 5% DUE 03-01-2038 REG
**
11,339

FNMA POOL #973161 6.5% 02-01-2038 BEO
**
106,737

FNMA POOL #974156 7% 02-01-2038 BEO
**
38,431

FNMA POOL #975184 5% 03-01-2038 BEO
**
107,460

FNMA POOL #975441 5% DUE 03-01-2038 REG
**
61,097

FNMA POOL #975454 5% 03-01-2038 BEO
**
67,149

FNMA POOL #979973 5% 09-01-2036 BEO
**
15,988

FNMA POOL #984632 ADJ RT DUE 06-01-2038 BEO
**
1,304,439

FNMA POOL #985626 6% 04-01-2033 BEO
**
322,548

FNMA POOL #985867 7% DUE 08-01-2038 BEO
**
8,157

FNMA POOL #987325 ADJ RT DUE 09-01-2038 BEO
**
701,558

FNMA POOL #987891 7% 09-01-2038 BEO
**
1,778

FNMA POOL #991549 7% 11-01-2038 BEO
**
43,063

FNMA POOL #992249 7% 11-01-2038 BEO
**
8,789

FNMA POOL #992262 5% 01-01-2039 BEO
**
22,384

FNMA POOL #995072 5.5% 08-01-2038 BEO
**
312,507

FNMA POOL #995149 6.5% 10-01-2038 BEO
**
197,452

FNMA POOL #995381 6% 01-01-2024 BEO
**
109,473

FNMA POOL #995899 6% 02-01-2038 BEO
**
141,039

FNMA POOL #999999 1.871% 04-25-2026 BEO
**
5,001,068

FNMA POOL #999999 1.99000000954% 03-25-2026 BEO
**
2,878,673

FNMA POOL #999999 2.09699988365% 01-25-2025 BEO
**
1,621,719

FNMA POOL #999999 2.38323998451% 10-25-2025 BEO
**
2,099,603

FNMA POOL #AA0472 4% 03-01-2039 BEO
**
161,333

FNMA POOL #AA2700 5% 01-01-2039 BEO
**
5,562


82
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AB1228 5% 07-01-2040 BEO
**
43,245

FNMA POOL #AB2801 3.5% 04-01-2026 BEO
**
550,825

FNMA POOL #AB3701 4.5% 10-01-2041 BEO
**
877,442

FNMA POOL #AB4058 4% 12-01-2041 BEO
**
677,613

FNMA POOL #AB4590 3.5% DUE 03-01-2042 BEO
**
752,338

FNMA POOL #AB4689 3.5% 03-01-2042 BEO
**
1,001,059

FNMA POOL #AB4698 4% 03-01-2042 BEO
**
318,367

FNMA POOL #AB4941 3.5% 04-01-2042 BEO
**
3,385,607

FNMA POOL #AB4955 4% 04-01-2042 BEO
**
507,262

FNMA POOL #AB5236 3% 05-01-2027 BEO
**
485,060

FNMA POOL #AB5546 3.5% DUE 06-01-2042 BEO
**
819,673

FNMA POOL #AB5593 3.5% 07-01-2042 BEO
**
467,046

FNMA POOL #AB6136 2.5% 09-01-2027 BEO
**
2,699,997

FNMA POOL #AB6229 3.5% 09-01-2042 BEO
**
2,255,361

FNMA POOL #AB6238 3.5% 09-01-2042 BEO
**
562,258

FNMA POOL #AB6390 3% 10-01-2042 BEO
**
332,767

FNMA POOL #AB6694 3% 10-01-2042 BEO
**
647,829

FNMA POOL #AB6832 3.5% 11-01-2042 BEO
**
1,773,738

FNMA POOL #AB7059 2.5% 11-01-2042 BEO
**
3,700,195

FNMA POOL #AB7272 3 12-01-2042 REG
**
1,201,909

FNMA POOL #AB7410 3% 12-01-2042 BEO
**
3,286,207

FNMA POOL #AB7426 3% 12-01-2042 BEO
**
942,844

FNMA POOL #AB7568 3% 01-01-2043 BEO
**
1,415,692

FNMA POOL #AB7570 3% 01-01-2043 BEO
**
2,316,033

FNMA POOL #AB7716 2.5% 01-01-2028 BEO
**
263,658

FNMA POOL #AB7728 2.5% 01-01-2043 BEO
**
375,283

FNMA POOL #AB7741 3% 01-01-2043 BEO
**
1,934,590

FNMA POOL #AB8464 2.5% 02-01-2043 BEO
**
335,180

FNMA POOL #AB8465 2.5% 02-01-2043 BEO
**
579,696

FNMA POOL #AB8925 3% DUE 04-01-2043 BEO
**
101,034

FNMA POOL #AB9136 2.5% 04-01-2043 BEO
**
1,524,277

FNMA POOL #AB9347 3% 05-01-2043 BEO
**
1,984,711

FNMA POOL #AB9361 3.5% DUE 05-01-2043 BEO
**
629,180

FNMA POOL #AB9461 3% 05-01-2043 BEO
**
2,533,049

FNMA POOL #AB9516 2.5% 05-01-2028 BEO
**
279,999

FNMA POOL #AB9615 4% 06-01-2033 BEO
**
353,313

FNMA POOL #AB9663 3% 06-01-2043 BEO
**
226,270

FNMA POOL #AB9825 2.5% 07-01-2028 BEO
**
111,552

FNMA POOL #AB9980 3.5% 07-01-2043 BEO
**
716,529

FNMA POOL #AC1889 4% 09-01-2039 BEO
**
313,852

FNMA POOL #AC2953 4.5% 09-01-2039 BEO
**
145,624


83
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AC3237 5% 10-01-2039 BEO
**
1,267,274

FNMA POOL #AC9526 5.5% DUE 01-01-2040 BEO
**
872,785

FNMA POOL #AD0217 6% 08-01-2037 BEO
**
87,766

FNMA POOL #AD0249 5.5% 04-01-2037 BEO
**
545,110

FNMA POOL #AD0296 FLTG 12-01-2036
**
227,018

FNMA POOL #AD0329 6.5 DUE 09-01-2028 BEO
**
78,260

FNMA POOL #AD0452 6% 04-01-2021 BEO
**
284,990

FNMA POOL #AD0471 5.5% 01-01-2024 BEO
**
217,861

FNMA POOL #AD0752 7% 01-01-2039 BEO
**
103,257

FNMA POOL #AD0979 7.5% 10-01-2035 BEO
**
167,776

FNMA POOL #AD4178 4.5% 06-01-2040 BEO
**
999,234

FNMA POOL #AD6510 5% 05-01-2040 BEO
**
18,546

FNMA POOL #AD9143 4.5% 08-01-2040 BEO
**
39,124

FNMA POOL #AD9153 4.5% 08-01-2040 BEO
**
267,041

FNMA POOL #AD9713 5% 08-01-2040 BEO
**
129,464

FNMA POOL #AE0081 6% 07-01-2024 BEO
**
179,421

FNMA POOL #AE0113 4% 07-01-2040 BEO
**
460,032

FNMA POOL #AE0478 4% 11-01-2040 BEO
**
7,569

FNMA POOL #AE0521 6% 08-01-2037 BEO
**
898,690

FNMA POOL #AE0654 3.777% DUE 12-01-2040 BEO
**
3,200,948

FNMA POOL #AE0758 7% 02-01-2039 BEO
**
829,399

FNMA POOL #AE0967 3.5% 06-01-2039 BEO
**
890,372

FNMA POOL #AE1807 4% 10-01-2040 BEO
**
13,266

FNMA POOL #AE1840 5% 08-01-2040 BEO
**
38,787

FNMA POOL #AE1862 5% 08-01-2040 BEO
**
297,582

FNMA POOL #AE3505 3.5% 01-01-2026 BEO
**
203,684

FNMA POOL #AE4456 4% 02-01-2041 BEO
**
111,054

FNMA POOL #AE4664 4% 10-01-2040 BEO
**
130,688

FNMA POOL #AE6090 4% 10-01-2040 BEO
**
323,872

FNMA POOL #AE6191 4% 11-01-2040 BEO
**
54,166

FNMA POOL #AE7283 4% 10-01-2040 BEO
**
17,123

FNMA POOL #AE7314 4% 11-01-2040 BEO
**
2,735

FNMA POOL #AE8446 4% 11-01-2040 BEO
**
4,186

FNMA POOL #AE9387 4% 12-01-2040 BEO
**
2,963

FNMA POOL #AH2683 4% 01-01-2041 BEO
**
1,596,379

FNMA POOL #AL8558 6% 07-01-2041 BEO
**
440,234

FNMA POOL #AM1990 2.33% DUE 01-01-2023 BEO
**
417,716

FNMA POOL #AM2674 2.61% DUE 03-01-2023 BEO
**
608,789

FNMA POOL #AM2711 2.57% DUE 03-01-2023 BEO
**
419,620

FNMA POOL #AM4066 3.59% 08-01-2023 BEO
**
945,371

FNMA POOL #AM4764 3.44% DUE 11-01-2023 BEO
**
656,275


84
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AM5079 3.45 DUE 01-01-2024 BEO
**
707,350

FNMA POOL #AM5473 3.76% 03-01-2024 BEO
**
927,546

FNMA POOL #AM5612 3.42% DUE 05-01-2024 REG
**
783,201

FNMA POOL #AM7514 3.07% DUE 02-01-2025 BEO
**
1,174,055

FNMA POOL #AM8674 2.81% 04-01-2025 BEO
**
171,330

FNMA POOL #AN0360 3.95% DUE 12-01-2045 BEO
**
4,829,656

FNMA POOL #AN2670 2.305% DUE 11-01-2026 BEO
**
354,584

FNMA POOL #AN2689 2.2% 10-01-2026
**
955,522

FNMA POOL #AN4000 3% DUE 12-01-2026 BEO
**
1,012,662

FNMA POOL #AN4439 2.93% DUE 01-01-2027 BEO
**
365,205

FNMA POOL #AN7895 3.55% DUE 12-01-2027 BEO
**
4,790,848

FNMA POOL #AN7904 3.44% 12-01-2027
**
3,679,664

FNMA POOL #AO0454 3.5% 08-01-2042 BEO
**
619,193

FNMA POOL #AO0527 3% 05-01-2027 BEO
**
401,354

FNMA POOL #AO4135 3.5% 06-01-2042 BEO
**
1,740,324

FNMA POOL #AO4688 3% DUE 07-01-2043 BEO
**
2,969,086

FNMA POOL #AO6757 4% 06-01-2042 BEO
**
331,928

FNMA POOL #AO7348 4% 08-01-2042 BEO
**
435,544

FNMA POOL #AP0006 ADJ RT DUE 07-01-2042 BEO
**
367,259

FNMA POOL #AP0645 3.5% 07-01-2032 BEO
**
109,041

FNMA POOL #AP2611 3.5% 09-01-2042 BEO
**
553,554

FNMA POOL #AP3308 3.5% 09-01-2042 BEO
**
515,899

FNMA POOL #AP3902 3% 10-01-2042 BEO
**
483,623

FNMA POOL #AP4710 3.5% 08-01-2042 BEO
**
1,200,717

FNMA POOL #AP5143 3% 09-01-2042 BEO
**
625,716

FNMA POOL #AP6027 3% 04-01-2043 BEO
**
633,101

FNMA POOL #AP6032 3% 04-01-2043 BEO
**
675,327

FNMA POOL #AP6053 2.5% 07-01-2028 BEO
**
191,910

FNMA POOL #AP6054 3% 07-01-2043 BEO
**
63,577

FNMA POOL #AP7126 2.5% 10-01-2027 BEO
**
459,103

FNMA POOL #AP8057 3.5% 09-01-2042 BEO
**
655,147

FNMA POOL #AP8903 3.5% 10-01-2042 BEO
**
576,620

FNMA POOL #AP9539 3% DUE 10-01-2042 BEO
**
321,265

FNMA POOL #AP9766 4% 10-01-2042 BEO
**
1,810,832

FNMA POOL #AQ0556 3% 11-01-2042 BEO
**
2,292,003

FNMA POOL #AQ1534 3.5% 10-01-2032 BEO
**
309,990

FNMA POOL #AQ1607 3.5% 11-01-2032 BEO
**
256,062

FNMA POOL #AQ1802 3.5% 10-01-2042 BEO
**
414,932

FNMA POOL #AQ5971 3% 12-01-2042 BEO
**
691,858

FNMA POOL #AQ7192 3% DUE 07-01-2043 REG
**
114,936

FNMA POOL #AQ8359 3% 01-01-2043 BEO
**
634,133


85
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AQ8653 2.5% 12-01-2042 BEO
**
519,863

FNMA POOL #AQ9990 2.5% 02-01-2043 BEO
**
1,260,121

FNMA POOL #AR2602 2.5% DUE 02-01-2043 BEO
**
497,982

FNMA POOL #AR2638 3.5% 02-01-2043 BEO
**
633,928

FNMA POOL #AR3368 2.5% DUE 02-01-2028 REG
**
228,837

FNMA POOL #AR4343 3% 06-01-2043 BEO
**
421,679

FNMA POOL #AR4473 2.5% 03-01-2028 BEO
**
1,667,615

FNMA POOL #AR7182 2.5% 03-01-2043 BEO
**
536,722

FNMA POOL #AR7213 2.5% 05-01-2043 BEO
**
628,848

FNMA POOL #AR7214 3% DUE 06-01-2043 REG
**
2,600,213

FNMA POOL #AR7399 3% 06-01-2043 BEO
**
172,918

FNMA POOL #AR7961 3.5% DUE 03-01-2033 REG
**
282,105

FNMA POOL #AR7970 2.5% DUE 03-01-2043 REG
**
566,678

FNMA POOL #AR8600 2.5% DUE 07-01-2043 REG
**
641,769

FNMA POOL #AR8749 3% 03-01-2043 BEO
**
2,700,201

FNMA POOL #AS0047 2.5% 07-01-2028 BEO
**
700,160

FNMA POOL #AS0070 4% DUE 08-01-2043 REG
**
658,728

FNMA POOL #AS0302 3% 08-01-2043 BEO
**
133,539

FNMA POOL #AS0522 3.5% 09-01-2043 BEO
**
293,827

FNMA POOL #AS0838 5% 10-01-2043 BEO
**
252,626

FNMA POOL #AS1364 3% 12-01-2043 BEO
**
120,151

FNMA POOL #AS1774 4% 02-01-2044 BEO
**
250,059

FNMA POOL #AS2117 4.0% 04-01-2044
**
11,758

FNMA POOL #AS2369 3.5% 05-01-2029 BEO
**
1,650,402

FNMA POOL #AS3282 3% 10-01-2043 BEO
**
257,362

FNMA POOL #AS3293 4% 09-01-2044 BEO
**
1,299,854

FNMA POOL #AS4271 4.5% 01-01-2045 BEO
**
300,029

FNMA POOL #AS4302 4% 01-01-2045 BEO
**
1,376,732

FNMA POOL #AS4354 4.5% 01-01-2045 BEO
**
2,212,611

FNMA POOL #AS4427 4.5% 02-01-2045 BEO
**
1,970,610

FNMA POOL #AS4431 4.5% 02-01-2045 BEO
**
1,136,629

FNMA POOL #AS5068 3.5% 06-01-2045 BEO
**
196,679

FNMA POOL #AS5103 3% 06-01-2030 BEO
**
4,890,786

FNMA POOL #AS5133 3.5% 06-01-2045 BEO
**
3,461,020

FNMA POOL #AS5598 4% 08-01-2045 BEO
**
1,605,807

FNMA POOL #AS5722 3.5% 09-01-2045 BEO
**
17,423,959

FNMA POOL #AS6065 3.5% 10-01-2045 BEO
**
458,770

FNMA POOL #AS6067 3.5% 10-01-2045 BEO
**
22,339,429

FNMA POOL #AS6286 4% 12-01-2045 BEO
**
3,377,418

FNMA POOL #AS6304 4% DUE 12-01-2045 BEO
**
5,095,562

FNMA POOL #AS6315 4% 12-01-2045 BEO
**
211,415


86
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AS6328 3.5% 12-01-2045 BEO
**
5,255,526

FNMA POOL #AS6386 3% 12-01-2045 BEO
**
396,461

FNMA POOL #AS6395 3.5% 12-01-2045 BEO
**
250,840

FNMA POOL #AS6452 3.5% 01-01-2046 BEO
**
869,834

FNMA POOL #AS6489 4% DUE 01-01-2046 BEO
**
2,546,112

FNMA POOL #AS6534 3.5% 01-01-2046 BEO
**
8,766,123

FNMA POOL #AS7125 2.5% 05-01-2046 BEO
**
1,301,833

FNMA POOL #AS7530 2.5% 07-01-2046 BEO
**
1,970,967

FNMA POOL #AS7693 2% DUE 08-01-2031 BEO
**
2,068,606

FNMA POOL #AS7877 2.5% 09-01-2046 BEO
**
2,077,049

FNMA POOL #AS8143 4% 10-01-2046 BEO
**
472,841

FNMA POOL #AS8249 3% 11-01-2036 BEO
**
4,101,680

FNMA POOL #AS8386 2.5% 11-01-2031 BEO
**
1,224,492

FNMA POOL #AS9453 4% 04-01-2047 BEO
**
13,690,395

FNMA POOL #AS9588 4% 05-01-2047 BEO
**
8,090,563

FNMA POOL #AT0162 2.5% DUE 03-01-2043 REG
**
566,607

FNMA POOL #AT0333 2.5% DUE 04-01-2043 REG
**
791,130

FNMA POOL #AT0874 POOL #AT0874 3% DUE 07-01-2043 REG
**
122,842

FNMA POOL #AT1572 3% DUE 05-01-2043 REG
**
2,653,813

FNMA POOL #AT2008 2.5% DUE 04-01-2043 REG
**
615,284

FNMA POOL #AT2043 3% DUE 04-01-2043 REG
**
68,163

FNMA POOL #AT2722 3% DUE 05-01-2043 REG
**
1,218,435

FNMA POOL #AT2725 3% 05-01-2043 BEO
**
13,283,645

FNMA POOL #AT2894 2.5% DUE 05-01-2028 REG
**
282,639

FNMA POOL #AT3179 3% 05-01-2043 BEO
**
647,448

FNMA POOL #AT3487 3.5% DUE 04-01-2043 REG
**
2,342,142

FNMA POOL #AT5198 2.5 DUE 05-01-2043 REG
**
459,758

FNMA POOL #AT5612 2.5% 04-01-2043 BEO
**
674,108

FNMA POOL #AT5690 3% 06-01-2043 BEO
**
73,338

FNMA POOL #AT5803 3% 06-01-2043 BEO
**
110,695

FNMA POOL #AT5907 4% 06-01-2043 BEO
**
1,147,023

FNMA POOL #AT5915 4 DUE 06-01-2043 REG
**
408,789

FNMA POOL #AT5994 3% 05-01-2043 BEO
**
242,199

FNMA POOL #AT6656 2.5% 05-01-2043 BEO
**
549,042

FNMA POOL #AT6764 3% 07-01-2043 BEO
**
72,329

FNMA POOL #AT7213 2.5% DUE 06-01-2028 BEO
**
96,921

FNMA POOL #AT7620 3% DUE 06-01-2043 REG
**
1,890,393

FNMA POOL #AT8000 3% 06-01-2043 BEO
**
138,023

FNMA POOL #AT8326 3% DUE 06-01-2043 BEO
**
2,390,665

FNMA POOL #AT8419 3 DUE 06-01-2043 REG
**
351,233

FNMA POOL #AT8489 3% DUE 08-01-2043 REG
**
2,852,100


87
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AT8968 2.5% 07-01-2028 BEO
**
198,490

FNMA POOL #AT9250 3% 07-01-2043 BEO
**
2,428,699

FNMA POOL #AT9311 FIXED 2.5% 07-01-2028 BEO
**
138,066

FNMA POOL #AT9521 2.5% 07-01-2028 BEO
**
329,600

FNMA POOL #AU0317 3% 06-01-2043 BEO
**
232,335

FNMA POOL #AU0923 3.5% 07-01-2043 BEO
**
755,054

FNMA POOL #AU1130 2.5% 09-01-2043 BEO
**
464,642

FNMA POOL #AU1629 3% DUE 07-01-2043 REG
**
188,343

FNMA POOL #AU1632 3% DUE 07-01-2043 REG
**
4,724,040

FNMA POOL #AU1811 2.5% 08-01-2028 BEO
**
153,568

FNMA POOL #AU1888 2.5% 06-01-2028 BEO
**
1,035,598

FNMA POOL #AU2032 3% 07-01-2043 BEO
**
190,233

FNMA POOL #AU3034 2.5% 08-01-2028 BEO
**
69,368

FNMA POOL #AU3176 3% DUE 08-01-2043 REG
**
198,216

FNMA POOL #AU3191 2.5% DUE 08-01-2028 REG
**
373,144

FNMA POOL #AU3195 3% 08-01-2043 BEO
**
176,787

FNMA POOL #AU3334 2.5% DUE 07-01-2028 REG
**
334,844

FNMA POOL #AU3732 2.5% 08-01-2043 BEO
**
1,394,246

FNMA POOL #AU3736 3% DUE 08-01-2043 REG
**
4,661,762

FNMA POOL #AU3789 2.5% DUE 08-01-2028 REG
**
223,891

FNMA POOL #AU3811 3% DUE 08-01-2043 REG
**
143,087

FNMA POOL #AU4278 2.5% 09-01-2043 BEO
**
438,483

FNMA POOL #AU4585 3% 08-01-2043 BEO
**
166,052

FNMA POOL #AU5161 3 DUE 08-01-2043 REG
**
3,251,905

FNMA POOL #AU5190 2.5% 08-01-2028 BEO
**
294,270

FNMA POOL #AU5202 3% 08-01-2043 BEO
**
138,252

FNMA POOL #AU5904 3.5% 09-01-2033 BEO
**
626,034

FNMA POOL #AU8066 3% 09-01-2043 BEO
**
180,846

FNMA POOL #AV0702 4% 12-01-2043 BEO
**
413,368

FNMA POOL #AV0802 2.5% 08-01-2028 BEO
**
42,335

FNMA POOL #AV2425 4% 02-01-2045 BEO
**
344,345

FNMA POOL #AV4486 4.5% 01-01-2044 BEO
**
279,049

FNMA POOL #AV4502 4.5% 01-01-2044 BEO
**
264,428

FNMA POOL #AV4736 4% 12-01-2043 BEO
**
385,929

FNMA POOL #AV5425 4.5% 01-01-2044 BEO
**
1,935,864

FNMA POOL #AV5667 4% 01-01-2044 BEO
**
289,222

FNMA POOL #AV5730 4.5% 04-01-2044 BEO
**
732,144

FNMA POOL #AV5731 4.5% 04-01-2044 BEO
**
397,040

FNMA POOL #AV5732 4.5% 04-01-2044 BEO
**
267,718

FNMA POOL #AV5733 4.5% 04-01-2044 BEO
**
316,043

FNMA POOL #AV5734 4.5% 04-01-2044 BEO
**
481,978


88
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AV7116 4.5% 03-01-2044 BEO
**
310,034

FNMA POOL #AV8492 4.5% 02-01-2044 BEO
**
550,633

FNMA POOL #AV9290 4.5% 02-01-2044 BEO
**
955,434

FNMA POOL #AW3146 4% 06-01-2044 BEO
**
605,551

FNMA POOL #AW9504 3% 01-01-2045 BEO
**
144,494

FNMA POOL #AX1348 4% 10-01-2044 BEO
**
42,400

FNMA POOL #AX3719 3.5% 07-01-2027 BEO
**
853,081

FNMA POOL #AX4277 3% 01-01-2045 BEO
**
1,215,745

FNMA POOL #AX4883 3% 12-01-2044 BEO
**
3,554,035

FNMA POOL #AX4927 3% DUE 12-01-2044 BEO
**
344,202

FNMA POOL #AX6579 3% 01-01-2045 BEO
**
143,677

FNMA POOL #AX7578 3% 01-01-2045 BEO
**
178,640

FNMA POOL #AX9603 3% 03-01-2045 BEO
**
371,618

FNMA POOL #AY1022 3% 05-01-2045 BEO
**
1,645,734

FNMA POOL #AY1363 4% 04-01-2045 BEO
**
614,213

FNMA POOL #AY1377 4% DUE 04-01-2045 REG
**
505,649

FNMA POOL #AY3913 3.5% 02-01-2045 BEO
**
669,957

FNMA POOL #AY4156 3% 03-01-2045 BEO
**
207,187

FNMA POOL #AY4869 4% 06-01-2045 BEO
**
679,052

FNMA POOL #AY5484 4% 12-01-2044 BEO
**
12,594

FNMA POOL #AY9434 4% 12-01-2045 BEO
**
227,059

FNMA POOL #AZ0711 3.5% 02-01-2046 BEO
**
158,279

FNMA POOL #AZ3743 3.5% 11-01-2045 BEO
**
2,137,684

FNMA POOL #AZ3926 4% 10-01-2045 BEO
**
18,786

FNMA POOL #AZ4234 3% 06-01-2030 BEO
**
5,688,969

FNMA POOL #AZ4775 3.5% 10-01-2045 BEO
**
10,918,737

FNMA POOL #AZ5713 4% 09-01-2045 BEO
**
2,381,144

FNMA POOL #AZ7353 3.5% 11-01-2045 BEO
**
986,853

FNMA POOL #BA3779 4% 01-01-2046 BEO
**
27,748

FNMA POOL #BA4766 4% 01-01-2046 BEO
**
671,320

FNMA POOL #BA4780 4% 01-01-2046 BEO
**
12,019,278

FNMA POOL #BA4801 4% 02-01-2046 BEO
**
2,741,844

FNMA POOL #BA5330 4% 11-01-2045 BEO
**
42,516

FNMA POOL #BA5827 3% 11-01-2030 BEO
**
813,292

FNMA POOL #BA6018 3% 01-01-2046 BEO
**
38,484

FNMA POOL #BA6555 3% 01-01-2046 BEO
**
52,670

FNMA POOL #BA6798 4% 01-01-2046 BEO
**
658,560

FNMA POOL #BA6824 3% 02-01-2046 BEO
**
779,929

FNMA POOL #BA6924 3% 02-01-2046 BEO
**
93,319

FNMA POOL #BC1104 3% 02-01-2046 BEO
**
677,720

FNMA POOL #BC3020 3% 02-01-2046 BEO
**
842,532


89
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #BC3883 4% DUE 03-01-2046 BEO
**
1,717,302

FNMA POOL #BD5388 2.5% 08-01-2031 BEO
**
363,064

FNMA POOL #BE0146 2.5% 10-01-2031 BEO
**
1,116,508

FNMA POOL #BE9806 4.5% 03-01-2047 BEO
**
801,054

FNMA POOL #BE9838 4.5% 03-01-2047 BEO
**
803,995

FNMA POOL #BE9839 4.5% 04-01-2047 BEO
**
803,543

FNMA POOL #BF0133 4% 08-01-2056 BEO
**
19,275,163

FNMA POOL #BH2623 4% 08-01-2047 BEO
**
39,533,488

FNMA POOL #BH6197 4% 07-01-2047 BEO
**
879,353

FNMA POOL #BH6198 4% 07-01-2047 BEO
**
1,347,129

FNMA POOL #BH6199 4% 07-01-2047 BEO
**
1,560,829

FNMA POOL #FNAT5995 3 DUE 05-01-2043 REG
**
149,120

FNMA POOL #MA0006 4% 03-01-2039 BEO
**
17,930

FNMA POOL #MA0214 5% 10-01-2029 BEO
**
549,456

FNMA POOL #MA0243 5% 11-01-2029 BEO
**
406,736

FNMA POOL #MA0295 5% 01-01-2030 BEO
**
247,814

FNMA POOL #MA0320 5% 02-01-2030 BEO
**
152,682

FNMA POOL #MA0583 4% 12-01-2040 BEO
**
6,955

FNMA POOL #MA0706 4.5% 04-01-2031 BEO
**
226,571

FNMA POOL #MA0734 4.5% DUE 05-01-2031 BEO
**
717,628

FNMA POOL #MA0776 4.5% DUE 06-01-2031 BEO
**
714,681

FNMA POOL #MA0816 4.5% 08-01-2031 BEO
**
545,003

FNMA POOL #MA0833 3% DUE 08-01-2021 BEO
**
81,224

FNMA POOL #MA0913 4.5% 11-01-2031 BEO
**
497,025

FNMA POOL #MA0939 4.5% 12-01-2031 BEO
**
584,622

FNMA POOL #MA0968 4.5% 12-01-2031 BEO
**
113,496

FNMA POOL #MA1044 3% DUE 04-01-2042 BEO
**
193,555

FNMA POOL #MA1125 4 07-01-2042 BEO
**
494,903

FNMA POOL #MA1146 4% 08-01-2042 BEO
**
5,141,125

FNMA POOL #MA1177 3.5% 09-01-2042 BEO
**
710,057

FNMA POOL #MA1213 3.5% DUE 10-01-2042 BEO
**
323,066

FNMA POOL #MA1221 4.5% 09-01-2042 BEO
**
116,476

FNMA POOL #MA1253 4% 11-01-2042 BEO
**
1,403,508

FNMA POOL #MA1272 3% 12-01-2042 BEO
**
1,386,945

FNMA POOL #MA1373 3.5% 03-01-2043 BEO
**
757,289

FNMA POOL #MA1412 2.5% 04-01-2043 BEO
**
611,488

FNMA POOL #MA1458 3% 06-01-2043 BEO
**
1,206,911

FNMA POOL #MA1463 3.5% 06-01-2043 BEO
**
1,778,056

FNMA POOL #MA1493 2.5% 06-01-2043 BEO
**
400,138

FNMA POOL #MA1508 3.5% 07-01-2043 BEO
**
481,584

FNMA POOL #MA1510 4% 07-01-2043 BEO
**
653,019


90
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #MA1546 3.5% DUE 08-01-2043 BEO
**
630,256

FNMA POOL #MA1547 4% 08-01-2043 BEO
**
458,293

FNMA POOL #MA1582 3.5% DUE 09-01-2043 BEO
**
3,157,443

FNMA POOL #MA1591 4.5% 09-01-2043 BEO
**
1,781,921

FNMA POOL #MA1629 4.5% 10-01-2043 BEO
**
1,710,184

FNMA POOL #MA1664 4.5% 11-01-2043 BEO
**
928,276

FNMA POOL #MA1711 4.5% 12-01-2043 BEO
**
1,417,720

FNMA POOL #MA1728 5% 11-01-2033 BEO
**
198,622

FNMA POOL #MA2189 3% 02-01-2045 BEO
**
76,553

FNMA POOL #MA2516 3% 01-01-2046 BEO
**
1,303,919

FNMA POOL AT3389 3 DUE 08-01-2043 REG
**
694,418

FNMA POOL AU4346 3.5 DUE 07-01-2043 REG
**
1,272,053

FNMA PREASSIGN 00800 5.5 03-25-2033
**
86,732

FNMA REMIC 2004-40 CL-FY FRN 05-25-2034
**
1,778,487

FNMA REMIC SER 2015-M7 CLS A2 2.59% 12-25-2024
**
1,266,627

FNMA REMIC SER 2003-W1 CL IA-1 6.5 12-25-2042
**
132,754

FNMA REMIC SER 2003-W15 CL 1A1 6.5 07-25-2043
**
104,422

FNMA REMIC SER 2005-70 CL NA 5.5 08-25-2035
**
47,465

FNMA REMIC SER 2007-73 CL A1 FLT RT 07-25-2037
**
499,897

FNMA REMIC SER 2013-9 CL CB 5.50 04-25-2042
**
4,217,244

FNMA REMIC SER 2013-90 CL A 4.0% 11-25-2038
**
1,530,275

FNMA REMIC SER 2014-M1 CL A2 FLTG RT 07-25-2023
**
541,048

FNMA REMIC SER 2015-M12 CL A1 2.331% 04-25-2025
**
5,297,532

FNMA REMIC SER 2015-M42 CLS ABV2 .369% 07-25-2022
**
1,213,922

FNMA REMIC SER 2017-30 CL E 3.0% 07-25-2043 REG
**
16,970,351

FNMA REMIC TR 1994-29 CL Z 6.5 02-25-2024
**
39,177

FNMA REMIC TR 2001-81 CL-HE 6.5 01-25-2032
**
599,726

FNMA REMIC TR 2003-92 CL-PE 4.5 09-25-2018
**
28,623

FNMA REMIC TR 2004-38 CL-FK FLTG RATE 05-25-2034
**
277,187

FNMA REMIC TR 2004-80 CL-WB 4 11-25-2019
**
83,960

FNMA REMIC TR 2004-W1 CL-1A7 5.681 11-25-2043
**
363,586

FNMA REMIC TR 2005-64 CL-PL 5.5% 07-25-2035
**
1,019,089

FNMA REMIC TR 2006-30 CL-KF VAR RATE 05-25-2036
**
105,606

FNMA REMIC TR 2006-48 CL-TF VAR RATE 06-25-2036
**
42,771

FNMA REMIC TR 2006-9 CL-KZ 6 03-25-2036
**
233,112

FNMA REMIC TR 2007-100 CL-YF FLT RATE DUE 10-25-2037
**
589,762

FNMA REMIC TR 2009-104 CL-FA VAR RATE 12-25-2039
**
356,000

FNMA REMIC TR 2009-29 CL-LA VAR RATE 05-25-2039
**
1,156,416

FNMA REMIC TR 2009-62 CL-HJ 6 05-25-2039
**
340,700

FNMA REMIC TR 2009-87 CL-NF VAR RATE 11-25-2039
**
1,077,827

FNMA REMIC TR 2010-107 CL-KF FLTG RATE 03-25-2036
**
429,910


91
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA REMIC TR 2010-134 CL-KZ PRIN ONLY 4.5 12-25-2040
**
1,337,215

FNMA REMIC TR 2013-130 CL-FB VAR RATE 01-25-2044
**
212,512

FNMA REMIC TR 2013-62 CL-QA 3 06-25-2037
**
3,155,039

FNMA REMIC TR 2015-M1 CL-AB2 2.465 09-25-2024
**
4,540,245

FNMA REMIC TR 2016-100 CL-WF VAR RATE 01-25-2047
**
10,840,661

FNMA REMIC TR 2016-31 CL-UP 3 08-25-2044
**
8,865,911

FNMA REMIC TR 2016-84 CL-DF VAR RATE 11-25-2046
**
5,751,810

FNMA REMIC TR 2016-97 CL-CF VAR RATE 12-25-2056
**
1,505,029

FNMA REMIC TR 2017-30 CL-G 3.0% DUE 07-25-2040 REG
**
15,781,670

FNMA REMIC TR SER 1994-15 CL ZK 5.5 GTD MTG PASS THRU CTF DUE 02-25-2024 REG
**
389,370

FNMA REMIC TR SER 2013-12 CL-P 1.75% DUE 11-25-2041 REG
**
5,995,066

FNMA SER 17-M3 CL A1 FLTG RT DUE 12-25-2026 REG
**
3,783,951

FNMA SER 2010-54 CL FT FRN 04-25-2037
**
3,018,794

FNMA SER 2010-64 CL DM 05/01/2010 5 06/25/2040
**
379,102

FNMA SER 2011-15 CL AB 9.75 08-25-2019
**
17,186

FNMA SER 2012-28 CL B 6.5 06-25-2039
**
158,143

FNMA SER 2013-23 CL-NH 2% 03-25-2028
**
1,060,116

FNMA SER 2013-9 CL BC 6.5 07-25-2042
**
2,469,745

FNMA SER 2013-M7 CL A2 2.28 12-27-2022
**
334,792

FNMA SER 2014-23 CL PA 3.5 08-25-2036
**
1,548,183

FNMA SER 2014-M13 CL AB-2 2.951% 08-25-2024
**
10,287,986

FNMA SER 2017-M12 CL A2 FLTG RT 06-25-2027
**
387,423

FNMA SER 2017-M5 CL A2 3.303% 04-25-2029
**
242,571

FNMA SER 2017-T1 CL A 2.898% DUE 06-25-2027 REG
**
498,563

FNMA SER 3877 CL FA VAR RT 11-15-2040
**
2,143,517

FNMA SERIES 2010-111 CLASS-AE 5.5 04-25-2038
**
3,467

FNMA SERIES 2013-96 CLASS YA 3.5 09-25-2038
**
319,428

FNMA SR 2010-110 CL AE 9.75 11-25-2018
**
57,417

FNMA SR 2017-M7 CL A2 VAR RT 02-25-2027
**
223,254

FNMA TRANCHE 00689 1.875 09-24-2026
**
5,307,046

FNMA TRANCHE 00743 3.5 10-25-2037
**
1,192,919

FNMA TRANCHE 02-25-2026
**
5,004,141

FNMA TRANCHE 05-25-2027
**
389,556

FNMA TRANCHE 12-25-2026
**
523,305

FNMA TRANCHE 2 01-05-2022
**
8,960,585

FNMA TRANCHE 2.15656 10-25-2023
**
3,189,703

FNMA TRANCHE 2.375 04-25-2026
**
6,128,237

FNMA TRANCHE 2.654 12-25-2026
**
14,469,777

FNMA TRANCHE 3 01-25-2046
**
428,006

FNMA TRANCHE 3 11-25-2044
**
5,301,341

FNMA TRANCHE 3.5 08-25-2042
**
9,711,441


92
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA TRANCHE 3.5 10-25-2042
**
2,780,256

FNMA TRUST 2004 W-2 CL 2A-2 7 02-25-2044
**
44,677

FNMA VAR 07-25-2024
**
1,210,904

FOOT LOCKER INC COM
**
1,560,729

FORBO HLDGS AG CHF28(REGD)
**
708,735

FORD CR AUTO LEASE 1.56% DUE 11-15-2019
**
5,189,934

FORD CR AUTO LEASE 1.88% DUE 04-15-2020
**
2,927,287

FORD CR AUTO LEASE 2.02% DUE 06-15-2020
**
695,236

FORD CR AUTO OWNER 1.08% DUE 03-15-2019
**
583,295

FORD CR AUTO OWNER 1.33% DUE 10-15-2020
**
464,809

FORD CR AUTO OWNER 1.4% DUE 02-15-2022
**
3,662,700

FORD CR AUTO OWNER 1.52% DUE 08-15-2021
**
6,693,803

FORD CR AUTO OWNER 1.8% DUE 09-15-2020
**
10,163,819

FORD CR AUTO OWNER 1.87% DUE 09-15-2022
**
2,570,581

FORD CR AUTO OWNER 2.01% DUE 03-15-2022
**
6,520,825

FORD CR AUTO OWNER 2.31% DUE 04-15-2026
**
1,922,830

FORD CR AUTO OWNER 2.36% DUE 03-15-2029
**
13,377,528

FORD CR AUTO OWNER FIXED 1.33% DUE 12-15-2019
**
6,135,124

FORD CR AUTO OWNER FLTG RT 2.03% DUE 12-15-2027
**
10,249,782

FORD CR AUTO OWNER FLTG RT 2.31% DUE 08-15-2027
**
9,857,215

FORD CR AUTO OWNER TR 2015-B CL A3 1.16% DUE 11-15-2019
**
1,650,710

FORD CR FLOORPLAN 2.39% DUE 08-15-2022
**
17,577,606

FORD CR FLOORPLAN FLTG RT 2.17947% DUE 07-15-2021
**
1,712,075

FORD CR FLOORPLAN MASTER OWNER TR A 2014-2 NT CL A 02-15-2021 REG
**
6,888,326

FORD MOTOR CREDIT CO LLC 2.145% DUE 01-09-2018
**
940,019

FORD MOTOR CREDIT CO LLC 5 DUE 05-15-2018
**
464,682

FORD MTR CO DEL 6.625% DUE 10-01-2028
**
782,839

FORD MTR CR CO LLC 4.134% DUE 08-04-2025
**
5,227,972

FORD MTR CR CO LLC 1.897% DUE 08-12-2019
**
1,801,337

FORD MTR CR CO LLC 2.021% DUE 05-03-2019
**
995,466

FORD MTR CR CO LLC 2.262% DUE 03-28-2019
**
475,285

FORD MTR CR CO LLC 2.375% DUE 01-16-2018
**
1,224,151

FORD MTR CR CO LLC 2.551% DUE 10-05-2018
**
238,691

FORD MTR CR CO LLC 2.597% DUE 11-04-2019
**
16,705,919

FORD MTR CR CO LLC 2.681% DUE 01-09-2020
**
15,853,146

FORD MTR CR CO LLC 2.875% DUE 10-01-2018
**
704,120

FORD MTR CR CO LLC 3.2% DUE 01-15-2021
**
2,737,792

FORD MTR CR CO LLC 3.219% DUE 01-09-2022
**
2,515,403

FORD MTR CR CO LLC 3.339% DUE 03-28-2022
**
1,173,433

FORD MTR CR CO LLC 3.81% DUE 01-09-2024
**
408,344

FORD MTR CR CO LLC 4.25% DUE 09-20-2022
**
3,670,069


93
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FORD MTR CR CO LLC 5.75% DUE 02-01-2021
**
2,556,788

FORD MTR CR CO LLC 5.875 DUE 08-02-2021
**
1,229,879

FORD MTR CR CO LLC 8.125% DUE 01-15-2020
**
24,192,561

FORD MTR CR CO LLC FIXED 2.343% DUE 11-02-2020
**
891,460

FORD MTR CR CO LLC NT 2.943% DUE 01-08-2019
**
3,330,668

FORD OTOMOTIV SAN TRY1
**
203,036

FOREST CITY RLTY TR INC COM CL A COM CL A
**
335,496

FORESTAR GROUP INC COM
**
11,198

FORMFACTOR INC COM STK
**
862,628

FORMOSA CHEM&FIBRE TWD10
**
311,297

FORTINET INC COM
**
73,181

FORTIS INC 3.055% DUE 10-04-2026
**
48,277

FORTIVE CORP FIXED 1.8% DUE 06-15-2019
**
2,486,919

FORTRESS REIT LIMI B SHS NPV
**
70,571

FORTUM OYJ EUR3.40
**
145,631

FORTUNE BRANDS HOME & SEC INC 3.0% DUE 06-15-2020
**
302,707

FORUM ENERGY TECH COM USD0.01
**
180,364

FORWARD AIR CORP COM
**
22,976

FOSSIL GROUP INC COM
**
20,008

FOSTER L B CO CL A
**
27,829

FOUNDATION MEDICINE INC COM
**
2,695,196

FRANCE TELECOM SA 4.125% DUE 09-14-2021
**
1,056,860

FRANCE(GOVT OF) 0% TB 31/01/18 EUR1
**
444,575

FRANCE(GOVT OF) 2% BDS 25/05/2048 EUR1
**
634,481

FRANCE(GOVT OF) 3.25% SNR 25/05/2045 EUR1
**
162,078

FRANCE(GOVT OF) IDX/LKD SNR 25/07/2024 EUR1
**
2,261,260

FRANCESCAS HLDGS CORP COM M STOCK
**
15,717

FRANKLIN COVEY CO COM
**
29,776

FRANKLIN ELEC INC COM
**
211,691

FRANKLIN FINL NETWORK INC COM
**
49,650

FRANKLIN STR PPTYS CORP COM
**
66,051

FRANKS INTERNATIONAL NVRY5H0 EUR0.01
**
15,195

FREDDIE MAC SER 4102 CL CE 1.5% 11-15-2040
**
1,120,507

FREDS INC CL A
**
13,697

FREEPORT-MCMORAN 4% DUE 11-14-2021
**
1,110,000

FREIGHTCAR AMER INC COM
**
29,326

FREMF 2013-KF02 MTG TR POOL #999999 FLTGRT 4.16925% 12-25-2045 BEO
**
226,580

FREMF 2015-K45 MTG FLTG RT 3.59078001976% DUE 04-25-2048
**
575,121

FRESENIUS MEDICAL CARE NPV
**
119,215

FRESENIUS SE&KGAA NPV
**
513,194



94
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FRESH DEL MONTE PRODUCE INC COM STK
**
268,716

FRKLN RES INC COM
**
3,256,509

FRONTIER COMMUNICATIONS CORP COM NEW COMNEW
**
48,503

FRP HLDGS INC COM
**
40,799

FRUTAROM INDUSTRIE ILS1
**
2,763,095

FS BANCORP INC COM USD0.01
**
11,460

FTD COS INC COM
**
18,823

FTI CONSULTING INC COM
**
177,683

FU SHOU YUAN INTERNATIONAL
**
767,021

FUBON FINANCIAL HL TWD10
**
268,811

FUJI ELECTRIC HOLINDGS CO Y50
**
248,285

FUJIFILM HOLDINGS CORP NPV
**
138,838

FUJITSU Y50
**
1,907,121

FULLER H B CO COM
**
243,331

FULLSHARE HOLDINGS HKD0.01
**
46,033

FULTON FINL CORP PA COM
**
333,925

FUT CALL APR 18 NYM NAT GAS E 3000
**
24,975

FUT CALL APR 18 NYM NAT GAS E 3020
**
4,365

FUT CALL APR 18 NYM NAT GAS E 3050
**
4,000

FUT CALL DEC 17 NYM WTI APO 6600
**
20

FUT CALL DEC 18 NTM WTIBRNTSP 200
**
110

FUT CALL MAR 18 NYM NG 1M CSH 500
**
23,560

FUT NATURAL GAS CSO MAR18C 1
**
13,640

FUT PUT MAR 18 EURO DOLLARS 9825
**
59,325

FUTUREFUEL CORP COM STK
**
77,284

G4S PLC ORD 25P
**
542,564

GAIL INDIA LTD INR10
**
490,221

GAIN CAP HLDGS INC COM
**
36,900

GALAXY ENTERTAINME NPV
**
175,821

GAMESTOP CORP NEW CL A
**
195,027

GAMING & LEISURE PPTYS INC COM
**
267,473

GANNETT CO INC COM
**
148,491

GAP INC COM
**
569,585

GARTNER INC COM
**
6,268,335

GASLOG LTD
**
186,121

GATX CORP COM
**
150,800

GATX CORP FLTG 11-05-2021
**
100,734

GAZPROM PJSC SPON ADR-EACH REPR 2 ORD SHS
**
420,212

GCL POLY ENERGY COMSTK
**
173,417

GE CAP CR CARD MASTER NT 1.85 2012-7 ASSET BACKED NT CL A DUE 09-15-2022
**
13,782,390

GE CAP CR CARD MASTER NT TR 1.35 DUE 03-15-2021
**
1,198,866

GE CAP CR CARD MASTER NT TR SER 2012-7 ASSET BACKED NT CL B 2.21 09-15-2022
**
696,863

GE CAP INTL FDG CO 2.342% DUE 11-15-2020
**
6,831,355

GE CAP INTL FDG CO 4.418% DUE 11-15-2035
**
444,808

GE COML MTG CORP FLTG RT 5.48299980164% DUE 12-10-2049
**
329,426

GEDEON RICHTER PLC HUF100
**
74,877

GEDI GRUPPO EDITOR EUR0.15
**
5,946


95
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GEELY AUTOMOBILE H HKD0.02
**
2,534,229

GEN DYNAMICS CORP 2.25% DUE 11-15-2022
**
883,442

GEN ELEC CAP CORP 4.625 DUE 01-07-2021 REG
**
84,868

GEN ELEC CAP CORP 5.3% DUE 02-11-2021
**
3,850,535

GEN ELEC CAP CORP 5.5% DUE 01-08-2020
**
955,603

GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00818 6.875 DUE 01-10-2039
**
475,527

GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00849 4.65 DUE 10-17-2021
**
177,645

GEN MOTORS FINL CO 4.3750 09-25-2021
**
2,629,725

GEN MOTORS FINL CO 3.2% DUE 07-06-2021
**
302,928

GEN MTRS CO COM
**
15,100,716

GEN MTRS FINL CO 2.35% DUE 10-04-2019
**
2,462,738

GEN MTRS FINL CO 2.4% DUE 05-09-2019
**
3,876,942

GEN MTRS FINL CO 3.1% DUE 01-15-2019
**
3,966,114

GEN MTRS FINL CO 3.15% DUE 06-30-2022
**
1,144,109

GEN MTRS FINL CO 3.45% DUE 01-14-2022
**
1,343,894

GEN MTRS FINL CO 3.7% DUE 05-09-2023
**
2,458,014

GEN MTRS FINL CO 3.7% DUE 11-24-2020
**
5,132,915

GEN MTRS FINL CO 4% DUE 01-15-2025
**
51,374

GEN MTRS FINL CO 4% DUE 10-06-2026
**
8,230,880

GEN MTRS FINL CO 5.25% DUE 03-01-2026
**
4,733,821

GEN MTRS FINL CO 6.75% DUE 06-01-2018
**
4,847,518

GEN MTRS FINL CO FIXED 4.35% DUE 01-17-2027
**
52,002

GENERAL CABLE CORP DEL NEW COM
**
9,975

GENERAL COMMUNICATION INC CL A CL A
**
45,536

GENERAL ELEC CAP CORP 2.1 DUE 12-11-2019
**
116,667

GENERAL ELEC CAP CORP MEDIUM TERM NTS 3.1 DUE 01-09-2023
**
9,709,796

GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY 5.55% DUE 05-04-2020
**
454,866

GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY MTN 4.375% DUE 09-16-2020
**
5,962,224

GENERAL ELEC CAP CORP MEDIUM TERM NTS 2.2% DUE 01-09-2020
**
1,475,493

GENERAL ELEC CO 4.125% DUE 10-09-2042
**
130,950

GENERAL ELEC CO 4.5% DUE 03-11-2044
**
1,118,848

GENERAL INTERFACE TWD10
**
387,105

GENERAL MILLS INC COM
**
12,887,393

GENERAL MLS INC 3.15% DUE 12-15-2021
**
117,228

GENERAL MLS INC 5.65% DUE 02-15-2019
**
207,549

GENERAL MOTORS FINL CO 2.4% DUE 04-10-2018 BEO
**
1,527,065

GENERAL MOTORS FINL CO BNDS 3.5% 11-07-2024
**
74,847

GENERAL MTRS CO 3.5% DUE 10-02-2018
**
2,222,884

GENERAL MTRS CO 6.6% DUE 04-01-2036
**
450,804

GENERAL MTRS CO 6.75% DUE 04-01-2046
**
62,953

GENERAL MTRS FINL CO INC 2.45% 11-06-2020
**
942,855

GENERAL MTRS FINL CO INC 2.65% 04-13-2020
**
4,761,004

GENERAL MTRS FINL CO INC 3.15% 01-15-2020
**
8,532,287

GENERAL MTRS FINL CO INC 3.95% 04-13-2024
**
118,391

GENERAL MTRS FINL CO INC FLTG DUE 01-14-2022 REG
**
102,428

GENERAL MTRS FINL CO INC NT FLTG RATE DUE 10-04-2019 REG
**
303,943

GENERALITAT DE CAT 4.75% SNR 04/06/18 EUR1000
**
243,887


96
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GENERALITAT DE CAT 4.95% SNR 11/02/20 EUR1000
**
897,695

GENERALITAT DE CATALUNYA 4.9% EMTN 15/09/21
**
127,278

GENESCO INC COM
**
76,603

GENESEE & WYO INC CL A CL A
**
6,639,852

GENTEX CORP COM
**
296,443

GENTHERM INC COM NPV
**
76,073

GENTING BHD MYR0.10
**
136,255

GENTING HONG KONG USD0.10
**
105,639

GENTING MALAYSIA B MYR0.10
**
84,838

GENTING SINGAPORE PLC USD0.10
**
1,861,027

GENWORTH FINL INC COM CL A COM CL A
**
64,924

GEORGE WESTON COM NPV
**
143,055

GEORGIA PWR CO 2% DUE 03-30-2020
**
3,735,748

GEORGIA PWR CO 2% DUE 09-08-2020
**
3,221,373

GEORGIA PWR CO 2.85% DUE 05-15-2022
**
701,110

GEOSPACE TECHNOLOGIES CORP COM
**
21,167

GERMANY(FED REP) 4% SNR 04/01/2018 EUR0.01
**
156,147

GERMANY(FED REP) IDX/LKD SNR 15/04/2020 EUR
**
43,223

GETTY RLTY CORP NEW COM
**
50,382

GGERMAN AMERN BANCORP INC COM STK
**
49,921

GIBRALTAR INDS INC COM
**
104,841

G-III APPAREL GROUP LTD COM
**
1,280,231

GILEAD SCIENCES 1.85% DUE 09-04-2018
**
400,016

GILEAD SCIENCES 1.85% DUE 09-20-2019
**
3,575,084

GILEAD SCIENCES 2.05% DUE 04-01-2019
**
4,119,913

GILEAD SCIENCES 2.35% DUE 02-01-2020
**
6,339,518

GILEAD SCIENCES 2.5% DUE 09-01-2023
**
256,678

GILEAD SCIENCES 2.55% DUE 09-01-2020
**
302,666

GILEAD SCIENCES 3.25% DUE 09-01-2022
**
10,292

GILEAD SCIENCES 3.5% DUE 02-01-2025
**
4,607,406

GILEAD SCIENCES 4.5% DUE 04-01-2021
**
1,156,203

GILEAD SCIENCES INC SR NT FLTG RATE 03-20-2019
**
2,939,613

GKN ORD GBP0.10
**
342,061

GLACIER BANCORP INC NEW COM
**
3,733,778

GLADSTONE COML CORP COM STK
**
31,169

GLATFELTER
**
92,299

GLAXOSMITHKLINE ORD GBP0.25
**
1,252,229

GLENCORE FDG LLC 3% DUE 10-27-2022
**
643,663

GLENCORE FDG LLC 4% DUE 03-27-2027
**
4,879,527

GLOBAL EAGLE ENTERTAINMENT INC
**
11,519

GLOBAL INDEMNITY LIMITED CAYMAN LTD
**
55,971

GLOBAL NET LEASE INC COM NEW COMN STOCK
**
56,019

GLOBAL PMTS INC COM
**
6,114,640

GM FINL AUTO 1.61% DUE 12-20-2019
**
1,107,304

GM FINL AUTOMOBILE 1.62% DUE 09-20-2019
**
1,991,214

GM FINL AUTOMOBILE 1.78% DUE 05-20-2020
**
647,566

GM FINL AUTOMOBILE 2.00999999046% DUE 11-20-2020
**
394,536


97
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GM FINL AUTOMOBILE 2.06% DUE 05-20-2020
**
2,282,500

GM FINL AUTOMOBILE 2.11999988556% DUE 09-20-2021
**
399,091

GM FINL AUTOMOBILE 2.26% DUE 08-20-2020
**
1,881,481

GMAT 2013-1 TR STEP CPN 3.9669% DUE 11-25-2043
**
18,638

GMO INTERNET INC NPV
**
1,097,456

GMS INC COM
**
90,825

GNMA 2.3% DUE 11-16-2051
**
2,898,983

GNMA 2.35% DUE 07-16-2056
**
4,611,348

GNMA 2.4% DUE 01-16-2056
**
2,423,579

GNMA 2.4% DUE 06-16-2046
**
4,597,786

GNMA 2.5% DUE 09-16-2056
**
1,266,313

GNMA 2.5% DUE 10-16-2057
**
2,681,558

GNMA 2002-31 REMIC TR CL FW FLTG 06-16-2031
**
14,613

GNMA 2009-076 REMIC PASSTHRU MX CL CF 09-16-2039
**
1,116,848

GNMA 2009-096 REMIC PASSTHRU FT 10-20-2039
**
923,400

GNMA 2010-H22 REMIC PASSTHRU CTF CL FE FLTG RATE 05-20-2059
**
2,540,592

GNMA 2011-048 REMIC PASSTHRU CTF CL QA 5 DUE 08-16-2039
**
216,714

GNMA 2011-H09 CL AF VAR 03-20-2061
**
2,321,984

GNMA 2012-059 REMIC PASSTHRU CTF CL F 05-20-2042
**
596,268

GNMA 2013-88 REMIC CL WA VAR RT DUE 06-20-2030 REG
**
964,528

GNMA 2013-H04 REMIC PASSTHRU CTF CL BA 1.65 DUE 02-20-2063
**
276,264

GNMA 2013-H05 REMIC PASSTHRU CL FB FLTG RT 02-20-2062
**
127,875

GNMA 2014-H10 CL FA FLTG RT DUE04-20-2064
**
1,425,637

GNMA 2015-021 REMIC PASSTHRU CTF CL MX-AF 07-16-2048
**
1,110,886

GNMA 2015-H31 REMIC PASSTHRU SEC CL FT 11-20-2065
**
2,429,706

GNMA 2015-H32 REMIC PASSTHRU CTF CL FH 12-20-2065
**
348,054

GNMA 2016-H10 REMIC PASSTHRU CTF CL FJ 04-20-2066
**
87,033

GNMA 2016-H11 REMIC PASSTHRU CTF CL FE 04-20-2066
**
2,607,336

GNMA 2016-H13 REMIC PASS THRU SECS CL FT05-20-2066
**
589,550

GNMA 2016-H26 REMIC PASSTHRU SECS CL MX-FC 12-20-2066
**
122,111

GNMA 2017-H03 CL FB FLTG 06-20-2066
**
5,756,467

GNMA 2017-H10 REMIC PASSTHRU SECS CL FB FLTG RT 04-20-2067 REG
**
1,320,492

GNMA 2017-H14 CL FD FLTG 06-20-2067
**
1,146,816

GNMA 2017-H14 REMIC PASSTHRU CTF CL FB 06-20-2067
**
1,678,893

GNMA 2017-H14 REMIC PASSTHRU CTF CL FE 06-20-2067
**
3,050,095

GNMA 2017-H14 REMIC PASSTHRU CTF CL FG 06-20-2067
**
1,646,363

GNMA 2017-H16 REMIC PASSTHRU CTF CL FG FLTG 07-20-2067 REG
**
30,352,136

GNMA 2017-H16 REMIC PASSTHRU CTF CL FH 07-20-2067
**
31,480,806

GNMA 4% DUE 04-16-2041
**
564,693

GNMA 5% DUE 03-16-2034
**
335,069

GNMA 5% DUE 07-16-2033
**
175,470

GNMA 5.5% DUE 08-20-2033
**
229,572

GNMA 5.5% DUE 11-20-2037
**
109,278

GNMA 6% DUE 12-20-2039
**
33,069

GNMA 6.5% DUE 08-16-2042
**
704,784

GNMA CL 2007-035 CL TE 6 DUE 06-20-2037
**
71,135

GNMA FIXED 2.3% DUE 02-16-2053
**
2,069,522


98
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA FIXED 2.35% DUE 05-16-2053
**
1,828,433

GNMA FIXED 3.5% DUE 02-20-2045
**
307,126

GNMA FLTG RT 1.70938% DUE 10-20-2060
**
5,591,641

GNMA FLTG RT 1.87938% DUE 04-20-2061
**
7,197,112

GNMA MTG PASS THRU CTF CL FM 02-20-2066
**
590,627

GNMA POOL #300672 SER 2022 8.5% DUE 04-15-2022 BEO
**
5,401

GNMA POOL #315855 SER 2022 8.5% DUE 01-15-2022 REG
**
1,145

GNMA POOL #322562 8.5% DUE 04-15-2022 REG
**
8,500

GNMA POOL #3529 5% 03-20-2034 BEO
**
3,586

GNMA POOL #4028 6% 09-20-2037 BEO
**
55,287

GNMA POOL #4041 7% 10-20-2037 BEO
**
305,212

GNMA POOL #4073 6% 01-20-2038 BEO
**
121,415

GNMA POOL #4222 6% 08-20-2038 BEO
**
55,814

GNMA POOL #4245 6% 09-20-2038 BEO
**
675,717

GNMA POOL #4247 7% 09-20-2038 BEO
**
220,602

GNMA POOL #4371 6% 02-20-2039 BEO
**
11,481

GNMA POOL #438506 SER 2027 7% DUE 01-15-2027 REG
**
7,312

GNMA POOL #4423 4.5% 04-20-2039 BEO
**
6,283

GNMA POOL #4447 5% 05-20-2039 BEO
**
115,938

GNMA POOL #4520 5% 08-20-2039 BEO
**
576,104

GNMA POOL #4543 6% 09-20-2039 BEO
**
46,457

GNMA POOL #4602 6% 12-20-2039 BEO
**
11,533

GNMA POOL #4617 4.5% 01-20-2040 BEO
**
484,527

GNMA POOL #4717 6% 06-20-2040 BEO
**
26,289

GNMA POOL #4746 4.5% 07-20-2040 BEO
**
241,403

GNMA POOL #476784 SER 2028 7% DUE 08-15-2028 REG
**
6,835

GNMA POOL #4772 5% 08-20-2040 BEO
**
377,964

GNMA POOL #4774 6% 08-20-2040 BEO
**
401,308

GNMA POOL #4800 4% 09-20-2040 BEO
**
582,568

GNMA POOL #4801 4.5% 09-20-2040 BEO
**
21,133

GNMA POOL #4802 5% 09-20-2040 BEO
**
303,733

GNMA POOL #4833 4% 10-20-2040 BEO
**
1,922,836

GNMA POOL #4834 4.5% 10-20-2040 BEO
**
72,655

GNMA POOL #4855 5% 11-20-2040 BEO
**
1,395,324

GNMA POOL #4883 4.5% 12-20-2040 BEO
**
361,961

GNMA POOL #4905 6% 12-20-2040 BEO
**
525,428

GNMA POOL #4923 4.5% 01-20-2041 BEO
**
481,510

GNMA POOL #4945 4% 02-20-2041 BEO
**
307,847

GNMA POOL #497630 SER 2029 6% DUE 02-15-2029 REG
**
4,309

GNMA POOL #4978 4.5% 03-20-2041 BEO
**
7,796,067

GNMA POOL #4979 5% 03-20-2041 BEO
**
686,266

GNMA POOL #498387 SER 2029 6% DUE 02-15-2029 REG
**
3,068

GNMA POOL #4984 5.5% 03-20-2041 BEO
**
686,486

GNMA POOL #4991 6% 03-20-2041 BEO
**
165,927

GNMA POOL #5016 4% 04-20-2041 BEO
**
258,445

GNMA POOL #5017 4.5% 04-20-2041 BEO
**
683,268

GNMA POOL #5018 5% 04-20-2041 BEO
**
494,816


99
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA POOL #5019 6% 04-20-2041 BEO
**
95,169

GNMA POOL #5115 4.5% 07-20-2041 BEO
**
107,687

GNMA POOL #5140 4.5% 08-20-2041 BEO
**
995,061

GNMA POOL #5189 6% 09-20-2041 BEO
**
232,593

GNMA POOL #521330 5% 05-15-2035 BEO
**
216,594

GNMA POOL #523278 SER 2031 6% DUE 07-15-2031 REG
**
32,747

GNMA POOL #5240 6% 11-20-2041 BEO
**
258,052

GNMA POOL #5259 4% 12-20-2041 BEO
**
146,239

GNMA POOL #5269 6% 12-20-2041 BEO
**
23,095

GNMA POOL #5280 4% 01-20-2042 BEO
**
222,601

GNMA POOL #5305 4% 02-20-2042 BEO
**
1,364,080

GNMA POOL #543812 SER 2031 6% DUE 02-15-2031 REG
**
12,123

GNMA POOL #586373 5% DUE 02-15-2035 REG
**
5,916

GNMA POOL #594106 SER 2033 4.5% DUE 09-15-2033 BEO
**
78,675

GNMA POOL #595611 SER 2035 5% DUE 01-15-2035 BEO
**
4,113

GNMA POOL #603692 5% 06-15-2034 BEO
**
5,506

GNMA POOL #604497 5% 07-15-2033 BEO
**
9,790

GNMA POOL #607451 SER 2034 5% DUE 01-15-2034 REG
**
32,618

GNMA POOL #607465 5% DUE 02-15-2034 REG
**
54,246

GNMA POOL #610410 SER 2033 5% DUE 08-15-2033 BEO
**
12,984

GNMA POOL #615656 5% 10-15-2033 BEO
**
6,712

GNMA POOL #623871 5.0% 06-15-2034
**
7,570

GNMA POOL #633701 5.0% 09-15-2033
**
15,421

GNMA POOL #636484 5.0% 03-15-2035
**
18,783

GNMA POOL #637746 5.0% 12-15-2034
**
5,691

GNMA POOL #638222 5% 12-15-2034 BEO
**
6,442

GNMA POOL #643362 5% 10-15-2035 BEO
**
8,077

GNMA POOL #668014 3% 11-15-2044 BEO
**
3,956,668

GNMA POOL #672676 SER 2038 5.5% DUE 04-15-2038 BEO
**
129,899

GNMA POOL #676754 SER 2038 5.5% DUE 03-15-2038 REG
**
243,283

GNMA POOL #687179 SER 2038 5.5% DUE 04-15-2038 REG
**
188,429

GNMA POOL #687835 6% 08-15-2038 BEO
**
83,895

GNMA POOL #688043 6% 11-15-2038 BEO
**
139,080

GNMA POOL #690922 5.5% 06-15-2038 BEO
**
95,773

GNMA POOL #697586 5.5% 11-15-2038 BEO
**
6,327

GNMA POOL #711379 SER 2038 5.5% DUE 07-15-2038 REG
**
2,180

GNMA POOL #723344 4% 09-15-2039 BEO
**
531,142

GNMA POOL #723430 4.5% 11-15-2039 BEO
**
190,314

GNMA POOL #726480 5% 11-15-2039 BEO
**
1,576,718

GNMA POOL #733600 SER 2040 5% DUE 04-15-2040 REG
**
176,798

GNMA POOL #733627 5% 05-15-2040 BEO
**
354,655

GNMA POOL #736520 SER 2040 4.5% DUE 04-15-2040 REG
**
932,753

GNMA POOL #737111 FIXED 4.5% 04-15-2040 BEO
**
508,736

GNMA POOL #738108 4.5% 03-15-2041 BEO
**
560,938

GNMA POOL #745243 4% 07-15-2040 BEO
**
583,158

GNMA POOL #771561 4.0% 08-15-2041
**
264,787

GNMA POOL #780049 SER 2021 9.5 DUE 11-15-2021 REG
**
1,572


100
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA POOL #780151 SER 2021 9 DUE 12-15-2021 REG
**
9,417

GNMA POOL #780345 SER 2021 9.5% DUE 12-15-2021 REG
**
1,690

GNMA POOL #781804 6% 09-15-2034 BEO
**
291,512

GNMA POOL #781847 6% 12-15-2034 BEO
**
218,320

GNMA POOL #781885 SER 2035 5% DUE 03-15-2035 REG
**
15,541

GNMA POOL #781902 6% 02-15-2035 BEO
**
224,966

GNMA POOL #781958 5% 07-15-2035 BEO
**
17,035

GNMA POOL #782382 5.5% 08-15-2038 BEO
**
45,863

GNMA POOL #782436 6% 10-15-2038 BEO
**
118,093

GNMA POOL #782716 SER 2039 5% DUE 07-15-2039 REG
**
173,672

GNMA POOL #782838 SER 2019 4.5% DUE 07-15-2019 REG
**
35,913

GNMA POOL #783867 SER 2036 6% DUE 08-15-2036 BEO
**
758,279

GNMA POOL #799706 SER 2042 3.5% DUE 09-15-2042 BEO
**
140,815

GNMA POOL #999999 2% 05-16-2049 BEO
**
2,856,339

GNMA POOL #999999 2.20000004768% 04-16-2057 BEO
**
3,101,838

GNMA POOL #AA5821 3 DUE 11-15-2042 REG
**
1,211,555

GNMA POOL #AB3031 SER 2042 3% DUE 10-15-2042 REG
**
284,291

GNMA POOL #AB9323 SER 2042 3.5% DUE 09-15-2042 BEO
**
143,683

GNMA POOL #AC3752 3 DUE 12-15-2042 REG
**
515,460

GNMA POOL #AD1034 3% DUE 07-15-2043 REG
**
676,342

GNMA POOL #AD2413 3.5% DUE 05-15-2043 REG
**
317,601

GNMA POOL #AD2414 3.5 DUE 05-15-2043 REG
**
294,812

GNMA POOL #AD4102 SER 2043 3 DUE 07-15-2043 REG
**
1,565,133

GNMA POOL #AE7691 3 DUE 08-15-2043 REG
**
2,561,095

GNMA POOL #AE8109 SER 2044 3.5% DUE 01-15-2044 BEO
**
688,611

GNMA POOL #AF5807 SER 2044 3.5% DUE 01-15-2044 BEO
**
69,282

GNMA POOL #AI6888 3% 05-15-2045 BEO
**
2,213,793

GNMA POOL #AK6718 3% 01-15-2045 BEO
**
222,069

GNMA POOL #AK7285 3% 03-15-2045 BEO
**
532,682

GNMA POOL #AK7286 3% 03-15-2045 BEO
**
1,968,708

GNMA POOL #AK7329 3% 04-15-2045 BEO
**
4,975,562

GNMA POOL #AK8997 SER 2045 3% DUE 07-15-2045 BEO
**
2,848,479

GNMA POOL #AL1539 3% 05-15-2045 BEO
**
2,129,318

GNMA POOL #AL4608 SER 2045 3% DUE 03-15-2045 BEO
**
2,935,894

GNMA POOL #AL8635 SER 2045 3% DUE 03-15-2045 BEO
**
1,775,225

GNMA POOL #AM4099 3% 04-15-2045 BEO
**
2,584,783

GNMA POOL #AM8643 3% 05-15-2045 BEO
**
2,780,339

GNMA POOL #AM8646 3% 05-15-2045 BEO
**
1,958,354

GNMA POOL #AN5715 3% 06-15-2045 BEO
**
667,121

GNMA POOL #AN5721 3% 06-15-2045 BEO
**
280,125

GNMA POOL #AN5726 SER 2045 3% DUE 06-15-2045 BEO
**
9,082,338

GNMA POOL #AN5733 3% 06-15-2045 BEO
**
403,418

GNMA POOL #AN5734 SER 2045 3% DUE 06-15-2045 BEO
**
4,293,687

GNMA POOL #MA0318 3.5% 08-20-2042 BEO
**
2,929,354

GNMA POOL #MA1376 4% 10-20-2043 BEO
**
752,523

GNMA POOL #MA1377 4.5% 10-20-2043 BEO
**
1,230,943

GNMA POOL #MA1448 3.5% 11-20-2043 BEO
**
21,327


101
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA POOL #MA1997 4.5% 06-20-2044 BEO
**
925,510

GNMA POOL #MA2072 3% 07-20-2044 BEO
**
571,258

GNMA POOL #MA2149 4% 08-20-2044 BEO
**
514,601

GNMA POOL #MA2303 3.5% 10-20-2044 BEO
**
1,603,394

GNMA POOL #MA2446 4% 12-20-2044 BEO
**
916,312

GNMA POOL #MA2753 3% 04-20-2045 BEO
**
841,730

GNMA POOL #MA2825 3% 05-20-2045 BEO
**
750,736

GNMA POOL #MA2960 3% 07-20-2045 BEO
**
1,417,312

GNMA POOL #MA3037 5% 08-20-2045 BEO
**
469,236

GNMA POOL #MA3243 3% 11-20-2045 BEO
**
464,499

GNMA POOL #MA3245 4% 11-20-2045 BEO
**
1,060,491

GNMA POOL #MA3311 4% 12-20-2045 BEO
**
1,891,513

GNMA POOL #MA3663 3.5% 05-20-2046 BEO
**
950,654

GNMA POOL #MA3737 4% 06-20-2046 BEO
**
2,665,294

GNMA POOL #MA3803 3.5% 07-20-2046 BEO
**
10,147,112

GNMA POOL #MA3939 4.5% 09-20-2046 BEO
**
884,609

GNMA POOL #MA4070 4% 11-20-2046 BEO
**
917,733

GNMA POOL #MA4071 4.5% 11-20-2046 BEO
**
2,211,524

GNMA POOL #MA4125 2.5% 12-20-2046 BEO
**
1,463,623

GNMA POOL #MA4127 3.5% 12-20-2046 BEO
**
2,520,281

GNMA POOL #MA4195 3% 01-20-2047 BEO
**
1,861,569

GNMA POOL #MA4261 3% 02-20-2047 BEO
**
4,712,688

GNMA POOL #MA4263 4% 02-20-2047 BEO
**
1,426,955

GNMA POOL #MA4836 3% 11-20-2047 BEO
**
22,467,726

GNMA POOL AE7613 SER 2043 3 DUE 07-15-2043 REG
**
353,132

GNMA REMIC 2015-H30 CL FD FLT RT 10-20-2065
**
4,942,077

GNMA REMIC SR 2017-H12 CL FL VAR RT 05-20-2067
**
30,543,797

GNMA SER 2017-H01 CL FC FLTG 12-20-2066
**
1,996,273

GNMA SER 2010-H010 CL FC FLTG RT DUE 05-20-2060
**
3,187,673

GNMA SER 2014-054 CL AC 2.87422 DUE 02-16-2049
**
1,862,494

GNMA SER 2015-H11 CL FC FLTG RT 5-20-2065
**
2,078,516

GNMA SER 2015-H20 CL FB FLT RT 08-20-2065
**
501,478

GNMA SER 2017-051 CL AB 2.35% 04-16-2057
**
4,258,976

GNMA SER 2017-H07 CL FG FLTG RT DUE 02-20-2067 REG
**
8,342,203

GNMA SR 2006-38 CL FZ FLTG DUE 09-16-2035
**
1,105,885

GNMAII POOL #004224 SER 2038 7 DUE 08-20-2038 REG
**
304,215

GNMAII POOL #2958 SER 2030 8% DUE 08-20-2030 REG
**
14,400

GNMAII POOL #3879 SER 2036 6% DUE 07-20-2036 REG
**
2,287

GNMAII POOL #4040 SER 2037 6.5% DUE 10-20-2037 REG
**
17,199

GNMAII POOL #4060 SER 2037 6% DUE 12-20-2037 REG
**
57,850

GNMAII POOL #4099 SER 2038 6% DUE 03-20-2038 REG
**
25,170

GNMAII POOL #4195 SER 2038 6% DUE 07-20-2038 REG
**
8,909

GNMAII POOL #4268 SER 2038 6% DUE 10-20-2038 REG
**
6,495

GNMAII POOL #4291 SER 2038 6% DUE 11-20-2038 REG
**
334,942

GNMAII POOL #4696 SER 2040 4.5% DUE 05-20-2040 REG
**
1,039,975

GNMAII POOL #4697 SER 2040 5% DUE 05-20-2040 REG
**
230,735

GNMAII POOL #4747 SER 2040 5% DUE 07-20-2040 BEO
**
1,340,302


102
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMAII POOL #4837 SER 2040 6% DUE 10-20-2040 BEO
**
92,716

GNMAII POOL #4922 SER 2041 4% DUE 01-20-2041 BEO
**
403,215

GNMAII POOL #5063 SER 2041 6% DUE 05-20-2041 BEO
**
129,703

GNMAII POOL #5082 SER 2041 4.5% DUE 06-20-2041 BEO
**
450,085

GNMAII POOL #5326 SER 2027 3% DUE 03-20-2027 BEO
**
303,074

GNMAII POOL #783368 SER 2041 4.5% DUE 07-20-2041 BEO
**
1,486,084

GNMAII POOL #783637 SER 2042 3% DUE 06-20-2042 REG
**
131,482

GNMAII POOL #80012 SER 2026 ADJ RT 11-20-2026
**
15,963

GNMAII POOL #80106 2.75% DUE 08-20-2027 REG
**
18,661

GNMAII POOL #80397 SER 2030 ADJ RT 04-20-2030
**
2,803

GNMAII POOL #8358 ADJ RT 01-20-2024
**
11,853

GNMAII POOL #8399 SER 2024 ADJ RT 04-20-2024
**
11,040

GNMAII POOL #8744 SER 2025 ADJ RT 11-20-2025
**
32,687

GNMAII POOL #8770 SER 2025 ADJ RT 12-20-2025
**
33,262

GNMAII POOL #8781 SER 2026 ADJ RT 01-20-2026
**
857

GNMAII POOL #8788 SER 2026 2% DUE 01-20-2026 REG
**
8,188

GNMAII POOL #MA0023 SER 2042 4% DUE 04-20-2042 REG
**
434,345

GNMAII POOL #MA0317 3 DUE 08-20-2012 REG
**
1,511,169

GNMAII POOL #MA0391 SER 2042 3% DUE 09-20-2042 REG
**
1,911,144

GNMAII POOL #MA0392 SER 2042 3.5 DUE 09-20-2042 REG
**
2,161,633

GNMAII POOL #MA0462 3.5 DUE 10-20-2042 REG
**
3,005,021

GNMAII POOL #MA0463 4 DUE 10-20-2042 REG
**
1,905,083

GNMAII POOL #MA0624 3 12-20-2042 REG
**
712,184

GNMAII POOL #MA0626 4 DUE 11-20-2042 REG
**
917,928

GNMAII POOL #MA0698 3 01-20-2043 REG
**
1,029,957

GNMAII POOL #MA0933 SER 2043 3% DUE 04-20-2043 REG
**
883,722

GNMAII POOL #MA1012 SER 2043 3.5% DUE 05-20-2043 REG
**
2,304,383

GNMAII POOL #MA2678 SER 2045 3.5% DUE 03-20-2045 REG
**
1,936,718

GNMAII POOL #MA2754 SER 2045 3.5% DUE 04-20-2045 REG
**
5,601,976

GNMAII POOL #MA3172 SER 2045 3% DUE 10-20-2045 REG
**
2,432,858

GNMAII POOL #MA3174 SER 2045 4% DUE 10-20-2045 REG
**
1,332,880

GNMAII POOL #MA3662 SER 2046 3% DUE 05-20-2046 REG
**
4,688,731

GNMAII POOL #MA4003 SER 2046 3% DUE 10-20-2046 REG
**
6,440,576

GNMAII POOL #MA4322 SER 2047 4% DUE 03-20-2047 REG
**
4,987,188

GNMAII POOL #MA4653 4% DUE 08-20-2047 REG
**
9,948,037

GODREJ CONSUMER PR INR1
**
61,510

GOLD RESOURCE CORP COM
**
22,999

GOLDCORP INC NEW 3.625% DUE 06-09-2021
**
15,876,319

GOLDCREST CO LTD NPV
**
254,404

GOLDEN OCEAN GROUP LTD COM USD0.0 (POST REV SPLIT)
**
8,688

GOLDFIELD CORP COM
**
14,323

GOLDMAN SACHS 2.3% DUE 12-13-2019
**
11,452,643

GOLDMAN SACHS 2.35% DUE 11-15-2021
**
8,371,132

GOLDMAN SACHS 2.6% DUE 04-23-2020
**
3,094,209

GOLDMAN SACHS 2.625% DUE 01-31-2019
**
12,797,407

GOLDMAN SACHS 2.625% DUE 01-31-2019
**
557,398

GOLDMAN SACHS 2.875% DUE 02-25-2021
**
821,026


103
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GOLDMAN SACHS 2.876% DUE 10-31-2022
**
299,140

GOLDMAN SACHS 3% DUE 04-26-2022
**
10,651,591

GOLDMAN SACHS 3.5% DUE 11-16-2026
**
1,750,186

GOLDMAN SACHS 3.75% DUE 02-25-2026
**
872,177

GOLDMAN SACHS 3.85% DUE 01-26-2027
**
8,115,724

GOLDMAN SACHS 3.85% DUE 07-08-2024
**
7,307,546

GOLDMAN SACHS 4% DUE 03-03-2024
**
28,977,164

GOLDMAN SACHS 4.25% DUE 10-21-2025
**
1,201,900

GOLDMAN SACHS 4.75% DUE 10-21-2045
**
607,122

GOLDMAN SACHS 5.15% DUE 05-22-2045
**
301,508

GOLDMAN SACHS 5.25% DUE 07-27-2021
**
7,402,293

GOLDMAN SACHS 5.75% DUE 01-24-2022
**
7,778,449

GOLDMAN SACHS 6 DUE 06-15-2020
**
10,428,328

GOLDMAN SACHS 6.15% DUE 04-01-2018
**
24,838,680

GOLDMAN SACHS 6.75% DUE 10-01-2037
**
321,274

GOLDMAN SACHS CAP II GTD FIXED TO FLTG NORMAL PPS DUE 06-01-2043/06-01-2012 REG
**
5,304

GOLDMAN SACHS FLTG RT 2.78849% DUE 09-15-2020
**
407,574

GOLDMAN SACHS FLTG RT 3.691% DUE 06-05-2028
**
7,557,712

GOLDMAN SACHS GROUP INC 2.908% 06-05-2023 REG
**
2,920,452

GOLDMAN SACHS GROUP INC 5.95 DUE 01-18-2018
**
10,316,243

GOLDMAN SACHS GROUP INC 6 45 05 01 6.45 DUE 05-01-2036 BEO
**
116,045

GOLDMAN SACHS GROUP INC 7.5 02-15-2019 MTN1
**
4,346,762

GOLDMAN SACHS GROUP INC COM
**
44,576,121

GOLDMAN SACHS GROUP INC FRN 10-28-2027
**
211,484

GOLDMAN SACHS GROUP INC MEDIUM TERM NTS BOOK ENTRY NT 5.375% DUE 03-15-2020
**
5,761,839

GOLDMAN SACHS GROUP INC MEDIUM TERM NTS TRANCHE # TR 00590 VAR RT DUE 11-15-2018
**
2,414,851

GOLDMAN SACHS GROUP INC SR NT 2.375 01-22-2018
**
785,160

GOLDMAN SACHS GROUP INC SR NT 3.625 01-22-2023
**
619,819

GOODMAN GROUP NPV
**
177,150

GOODYEAR TIRE & RUBBER CO COM
**
672,985

GORMAN RUPP CO COM
**
88,668

GOVERNMENT NATIONAL MORTGAGE ASSOC POOL #646853 5.5% 08-15-2035 BEO
**
5,490

GOVERNMENT NATL MTG SER 2015-H14 CL FA FLTG RT 06-20-2065
**
3,300,444

GOVERNMENT PPTYS INCOME TR 4.0% 07-15-2022
**
236,420

GOVERNMENT PPTYS INCOME TR COM SHS BEN INT COM SHS BEN INT
**
76,626

GOVT PPTYS INC TR 3.75% DUE 08-15-2019
**
292,437

GP STRATEGIES CORP COM STK
**
40,414

GPE BRUXELLES LAM NPV
**
120,021

GPT GROUP NPV (STAPLED SECURITIES)
**
136,635

GRAHAM CORP COM STK
**
10,465

GRAHAM HLDGS CO COM
**
285,875

GRAMERCY PPTY TR COM NEW COM NEW
**
164,732

GRAND CANYON ED INC COM STK
**
4,613,481

GRANITE CONST INC COM
**
176,589

GRASIM INDUSTRIES COMMON STOCK
**
749,820

GRAY T.V INC COM CL B
**
97,653

GREAT HALL MG NO.1 FR MTN M/BKD 03/39 EUR'A2B'
**
696,688


104
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GREAT HALL MG NO.1 FRN M/BKD 06/2038 EUR'A2B'
**
775,482

GREAT HALL MTGS NO 1 PLC 2007-02 ASSET BACKED NT CL AC 144A 18 JUN 2039
**
812,544

GREAT LAKES DREDGE & DOCK CORP NEW COM
**
33,210

GREAT SOUTHN BANCORP INC COM
**
68,798

GREAT WALL MOTOR 'H'CNY1
**
339,836

GREAT WEST LIFECO COM NPV
**
134,467

GREAT WESTN BANCORP INC COM
**
202,582

GREEN BANCORP INC COM
**
2,228,981

GREEN BRICK PARTNERS INC COM
**
49,494

GREEN DOT CORP COM STK
**
190,422

GREEN PLAINS INC COM STK
**
59,059

GREEN TREE FINL 6.78% DUE 10-15-2027
**
2,199,831

GREENHILL & CO INC COM
**
36,524

GREENLIGHT CAPITAL RE LTD CLASS A
**
61,808

GREENPOINT MTG FDG TR 2006-OH1 MTG PASSTHRU CTF CL A-1 FLTG 01-25-2037 REG
**
1,959,396

GREIF INC
**
99,864

GREIF INC.
**
136,608

GRIFFON CORP COM
**
14,245

GROUP 1 AUTOMOTIVE INC COM
**
167,276

GROWTHPOINT PROPS NPV
**
162,876

GRUBHUB INC COM
**
3,062,988

GRUMA, S.A.B DE C.V
**
467,790

GRUPO FINANCIERO BANORTE S A B DE C V
**
781,493

GS MTG SECS CORP SER 2004-AR1 CL A2B FLTRT 06-25-2034 REG
**
2,235,938

GS MTG SECS TR 3.033% DUE 11-10-2046
**
5,546,331

GS MTG SECS TR 3.36400008202% DUE 11-10-2047
**
8,501,732

GS MTG SECS TR 3.469% DUE 11-10-2050
**
1,892,403

GS MTG SECS TR 3.482 DUE 01-10-2045
**
4,053,765

GS MTG SECS TR 3.707% DUE 08-10-2044
**
8,015,314

GSI TECHNOLOGY INC COM
**
17,377

GTD BD 2.25% DUE 02-24-2020 REG
**
2,190,452

GUANGZHOU AUTOMOBILE GROUP COMPANY LTD COMMON STOCK
**
288,006

GUARANTY BANCORP DEL COM NEW COM NEW
**
34,673

GUDANG GARAM TBK IDR500
**
133,414

GUESS INC COM
**
128,035

GUIDEWIRE SOFTWARE INC COM USD0.0001
**
2,212,948

GUJARAT STATE PETR INR10(DEMAT)
**
1,683,967

GULF IS FABRICATION INC COM
**
20,634

GULF SOUTH PIPELINE CO LP 4 DUE 06-15-2022 BEO
**
308,104

GULFPORT ENERGY CORP COM NEW COM NEW
**
217,839

H&R REAL ESTATE IN STAPLED UT(1 REIT UT&1 FIN
**
137,320

HABIT RESTAURANTS INC COM CL A COM CL A
**
13,370

HAEMONETICS CORP MASS COM
**
190,735

HAIER ELECTRONICS HKD0.10
**
859,404

HAITIAN INTL HLDGS HKD0.10
**
366,697

HAITONG INTL COMSTK
**
1,078,485

HALCON RES CORP COM PAR$ NEW COM PAR$ NEW
**
1,685,090


105
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HALLADOR ENERGY COMPANY COM STK
**
8,459

HALLIBURTON CO 2% DUE 08-01-2018
**
5,499,933

HALLIBURTON CO 3.25% DUE 11-15-2021
**
2,312,249

HALLIBURTON CO 3.5% DUE 08-01-2023
**
179,972

HALLIBURTON CO 3.8% DUE 11-15-2025
**
1,673,218

HALLIBURTON CO COM
**
9,010,553

HALLMARK FINL SVCS INC COM NEW COM NEW
**
20,307

HALYARD HEALTH INC COM
**
261,194

HAMILTON BEACH BRANDS HLDG CO COM CL B
**
15,799

HAMILTON BEACH BRANDS HLDG CO COM USD0.01 CL A WI
**
15,799

HAMMERSON ORD GBP0.25
**
161,051

HANA FINANCIAL GRP KRW5000
**
745,315

HANCOCK HLDG CO COM
**
4,114,440

HANESBRANDS INC COM STK
**
4,117,137

HANMI FINL CORP COM NEW COM NEW
**
96,422

HANOVER INS GROUP INC COM
**
3,734,921

HANWHA CHEMICAL CORP KRW5000
**
349,179

HANWHA CORP KRW5000
**
438,992

HANWHA LIFE INSURANCE CO LTD
**
83,984

HARDINGE INC COM
**
19,632

HARLEY DAVIDSON 2.4% DUE 09-15-2019
**
99,890

HARLEY DAVIDSON 2.55% DUE 06-09-2022
**
4,673,407

HARLEY DAVIDSON COM USD0.01
**
6,039,965

HARLEY-DAVIDSON 1.67% DUE 08-15-2022
**
6,001,145

HARLEY-DAVIDSON MOTORCYCLE TR SER 2015-A3 CLS A3 03-16-2020
**
684,965

HARMONIC INC COM
**
51,080

HARRIS CORP DEL 1.999% DUE 04-27-2018
**
1,223,720

HARRIS CORP DEL NT FLTG RATE 04-30-2020
**
299,999

HARTE-HANKS INC COM (NEW)
**
5,446

HARTFORD FINL SVCS 5.5% DUE 03-30-2020
**
2,446,041

HARTFORD FINL SVCS 6.3% DUE 03-15-2018
**
5,150,463

HARVARD BIOSCIENCE INC COM
**
10,824

HASBRO INC 3.5% DUE 09-15-2027
**
40,069

HASBRO INC COM
**
1,744,815

HASHEMITE KINGDOM JORDAN GOVT GTD NT 3/A2 3% DUE 06-30-2025 BEO
**
1,363,600

HAULOTTE GROUP EUR0.13
**
703,752

HAVERTY FURNITURE COS INC COM STK
**
39,456

HAWAIIAN HOLDINGS INC COM
**
100,263

HAWAIIAN TELCOM HOLDCO INC COM
**
34,779

HAWKINS INC COM
**
36,080

HAYNES INTL INC COM NEW COM NEW
**
42,562

HCI GROUP INC COM NPV
**
32,442

HCL TECHNOLOGIES INR2
**
287,891

HCP INC 3.75% DUE 02-01-2019
**
101,203

HCP INC 3.875% DUE 08-15-2024
**
366,430

HD SUPPLY HLDGS INC. COM
**
1,770,247

HEALTHCARE RLTY TR
**
3,353,103


106
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HEALTHCARE SVCS GROUP INC COM
**
832,502

HEALTHCARE TR AMER INC CL A NEW CL A NEW
**
348,764

HEALTHSTREAM INC COM STK ISIN# US42222N1037
**
66,770

HEARTLAND FINL USA INC COM STK
**
104,457

HECLA MNG CO COM
**
184,581

HEIDRICK & STRUGGLES INTL INC COM
**
64,100

HELEN TROY LTD COM STK
**
210,910

HELIX ENERGY SOLUTIONS GROUP INC COM STK
**
1,321,566

HELMERICH & PAYNE INC COM
**
2,418,829

HEMISPHERE MEDIA GROUP INC CL A CL A
**
14,207

HENDERSON LAND DEVELOPMENT HKD2
**
1,488,670

HENGAN INTL HKD0.10
**
38,826

HERITAGE COMM CORP COM STK
**
63,777

HERITAGE CRYSTAL CLEAN INC COM STK
**
53,179

HERITAGE FINL CORP WASH COM
**
94,710

HERITAGE INS HLDGS INC COM
**
63,034

HERMES INTL NPV
**
1,031,256

HERO FDG 2017-2 FIXED 3.28% DUE 09-20-2048
**
345,361

HERO MOTOCORP LTD INR2
**
881,426

HERSHA HOSPITALITY TR PRIORITY SHS BEN INT CL A NEW PRTY SHS BEN INT CL A NEW
**
39,063

HERTZ GLOBAL HLDGS INC NEW COM
**
162,059

HERTZ VEH FING II 2.32% DUE 03-25-2020
**
7,076,116

HERTZ VEH FING LLC 1.83% DUE 08-25-2019
**
1,298,187

HESKA CORP COM RESTRICTED NEW STOCK
**
960,515

HESS CORP COM STK
**
16,054,354

HEWLETT PACKARD CO 4.3% DUE 06-01-2021
**
854,482

HEWLETT PACKARD CO 4.65% DUE 12-09-2021
**
254,036

HEWLETT PACKARD ENTERPRISE CO COM
**
29,804,180

HEWLETT PACKARD ENTERPRISE CO STEP-UP DUE 10-15-2020
**
3,425,452

HEWLETT PACKARD STEP CPN 2.85% DUE 10-05-2018
**
1,527,325

HEXPOL NPV (POST SPLIT) B
**
751,483

HIBBETT SPORTS INC COM STK
**
50,592

HIGHWOODS PPTYS INC COM
**
5,719,993

HIKARI TSUSHIN INC NPV
**
129,341

HILL INTL INC COM
**
17,876

HILL-ROM HLDGS INC COM STK
**
3,040,677

HILLTOP HLDGS INC COM STK
**
243,776

HILTON GRAND VACATIONS INC COM
**
2,395,345

HILTON WORLDWIDE HOLDINGS INC. TERM LOANDUE 10-26-2023 BEO
**
362,471

HINDALCO INDS INR1
**
236,062

HINDUSTAN PETROL INR10
**
544,020

HINDUSTAN UNILEVER INR1
**
262,478

HITACHI HIGH-TECH NPV
**
1,328,763

HITACHI NPV
**
3,890,410

HITACHI TRANSPORT NPV
**
944,059

HIWIN TECH CORP TWD10
**
150,811

HLTH CARE REIT INC 2.25% DUE 03-15-2018
**
200,077


107
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HLTH CARE REIT INC 3.75% DUE 03-15-2023
**
119,170

HLTH CARE REIT INC 4% DUE 06-01-2025
**
87,894

HMS HLDGS CORP COM
**
107,683

HNI CORP COM
**
90,485

HOCHTIEF AG NPV
**
675,913

HOGY MEDICAL CO NPV
**
795,017

HOLLYFRONTIER CORP COM
**
877,860

HOME BANCORP INC COM STK
**
30,989

HOME BANCSHARES INC COM
**
3,080,579

HOME DEPOT INC 2.125% DUE 09-15-2026
**
52,431

HOME DEPOT INC 2.625% DUE 06-01-2022
**
135,753

HOME DEPOT INC 3.75 BDS DUE 02-15-2024/09-10-2013 USD2000 REG
**
595,694

HOME DEPOT INC COM
**
12,242,690

HOME PRODUCT CENTE THB1(NVDR)
**
34,858

HOMESTREET INC INC
**
89,716

HOMETRUST BANCSHARES INC COM
**
55,414

HON HAI PRECISION TWD10
**
1,922,970

HONDA AUTO 1.01% DUE 10-18-2018
**
514,962

HONDA AUTO 1.16% DUE 05-18-2020
**
3,209,468

HONDA AUTO 1.36% DUE 01-18-2023
**
3,451,355

HONDA AUTO 1.8% DUE 01-21-2020
**
8,219,667

HONDA AUTO 2.21% DUE 03-21-2024
**
5,103,508

HONDA AUTO RECEIVABLES 2017-2 OWNER CL A4 1.87% 09-15-2023
**
1,682,131

HONDA AUTO RECEIVABLES 2017-3 CL A-3 1.79% 09-20-2021
**
10,872,881

HONEYWELL INTL INC 2.5% DUE 11-01-2026
**
130,573

HONEYWELL INTL INC COM STK
**
17,876,715

HONG KONG EXCHANGES & CLEAR
**
528,112

HONG LEONG BANK MYR1
**
138,506

HOOKER FURNITURE CORP COM
**
47,841

HOPE BANCORP INC COM
**
263,731

HORACE MANN EDUCATORS CORP COM
**
180,810

HORIZON BANCORP IND COM
**
74,699

HORIZON GLOBAL CORP COM
**
32,470

HORIZON PHARMA INC COMMON STOCK
**
48,384

HORNBECK OFFSHORE SVCS INC NEW COM
**
10,201

HOSPITALITY PPTYS 4.25% DUE 02-15-2021
**
501,587

HOSPITALITY PPTYS TR COM SH BEN INT COM SH BEN INT
**
287,963

HOST HOTELS & 3.875% DUE 04-01-2024
**
117,002

HOST HOTELS & 6% DUE 10-01-2021
**
186,880

HOST HOTELS & RESORTS L P 4.0% 06-15-2025
**
715,345

HOSTESS BRANDS INC CL A CL A
**
65,771

HOUGHTON MIFFLIN HARCOURT CO COM
**
51,262

HOUSING DEVEL FIN INR2
**
5,045,742

HOUSTON WIRE & CABLE CO COM STK
**
12,542

HOYA CORP NPV
**
12,664,676

HSBC BANK USA NA 4.875 DUE 08-24-2020 BEO
**
386,002

HSBC BK CDA BA 08/01/2018
**
478,707


108
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HSBC BK USA 5.875 11-01-2034
**
128,975

HSBC FIN CORP 6.676% DUE 01-15-2021
**
1,276,354

HSBC HLDGS PLC 2.65% DUE 01-05-2022
**
2,576,781

HSBC HLDGS PLC 2.95% DUE 05-25-2021
**
19,175,877

HSBC HLDGS PLC 3.033% DUE 11-22-2023
**
200,403

HSBC HLDGS PLC 3.262% 03-13-2023
**
2,484,104

HSBC HLDGS PLC 3.4% DUE 03-08-2021
**
16,956,589

HSBC HLDGS PLC 3.6% DUE 05-25-2023
**
2,777,917

HSBC HLDGS PLC 4 DUE 03-30-2022
**
2,512,184

HSBC HLDGS PLC 4.25% DUE 08-18-2025
**
2,499,235

HSBC HLDGS PLC 4.875% DUE 01-14-2022
**
3,007,236

HSBC HLDGS PLC FLTG RT 3.12206% DUE 05-25-2021
**
5,500,064

HSBC HLDGS PLC FLTG RT 3.19593% DUE 01-05-2022
**
206,772

HSBC HOLDINGS PLC 4.25 NTS 03-14-2024 USD1000
**
1,514,640

HSBC HOLDINGS PLC 5.1 DUE 04-05-2021
**
1,923,228

HSBC USA INC NEW 5% DUE 09-27-2020
**
847,943

HSTN LTG & PWR CO 9.15 BD DUE 3-15-2021 REG
**
595,241

HUA NAN FINANCIAL TWD10
**
85,614

HUB GROUP INC CL A
**
147,293

HUBBELL INC COM
**
2,603,806

HUBSPOT INC COM
**
3,372,106

HUDSON PACIFIC PROPERTIES INC COM
**
286,570

HUDSON TECHNOLOGIES INC COM STK
**
21,524

HULIC COMPANY LTD
**
35,830

HUMANA INC 2.625% DUE 10-01-2019
**
301,267

HUMANA INC 3.15 DUE 12-01-2022
**
2,677,673

HUMANA INC BNDS 2.9% 12-15-2022
**
2,525,808

HUNT J B TRANS 2.4% DUE 03-15-2019
**
600,638

HUNTINGTON 2.3% DUE 01-14-2022
**
245,974

HUNTINGTON 2.6% DUE 08-02-2018
**
200,588

HUNTINGTON 3.15% DUE 03-14-2021
**
4,088,317

HUNTINGTON AUTO TR 1.29% DUE 05-15-2019
**
70

HUNTINGTON NATIONAL BANK 2% DUE 06-30-2018
**
750,281

HUNTINGTON NATL BK 2.2 DUE 04-01-2019
**
599,899

HUNTINGTON NATL BK 2.2% DUE 11-06-2018
**
2,847,526

HUNTSMAN CORP COM STK
**
125,304

HURCO CO COM
**
30,257

HURON CONSULTING GROUP INC COM STK
**
91,215

HUSKY ENERGY INC 4% DUE 04-15-2024
**
4,262,037

HUSKY ENERGY INC 6.15% DUE 06-15-2019
**
1,995,519

HUSKY ENERGY INC COM NPV
**
1,135,309

HUSQVARNA AB SER'B'NPV
**
176,822

HUTTIG BLDG PRODS INC COM
**
10,108

HYDRO-QUEBEC 8.05 DEB DUE 07-07-2024 REGPUTABLE 7-7-06 @100
**
342,429

HYDRO-QUEBEC DEB DTD 01/30/1992 8.4% DUE01-15-2022 REG
**
167,559

HYPERMARCAS SA COM NPV
**
271,093

HYSAN DEVELOPMENT NPV
**
127,314


109
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HYSTER-YALE MATLS HANDLING INC CL A COM
**
87,289

HYUNDAI AUTO 1.05% DUE 04-15-2019
**
108,629

HYUNDAI AUTO 1.46% DUE 11-15-2019
**
526,314

HYUNDAI AUTO 1.96% DUE 02-15-2023
**
1,436,129

HYUNDAI AUTO 2.38% DUE 04-17-2023
**
696,467

HYUNDAI AUTO 3.23% DUE 12-15-2022
**
1,230,086

HYUNDAI AUTO FIXED 2.53% DUE 11-15-2023
**
1,446,533

HYUNDAI AUTO LEASE 1.52% DUE 10-15-2019
**
1,481,672

HYUNDAI AUTO LEASE 1.65% DUE 07-15-2020
**
1,840,704

HYUNDAI AUTO LEASE 1.68% DUE 04-15-2020
**
648,138

HYUNDAI AUTO RECEIVABLES TR 2017-A NT CLA-4 2.09% DUE 04-17-2023
**
1,341,074

HYUNDAI CAP AMER 2% DUE 07-01-2019
**
484,135

HYUNDAI CAP AMER 2.5% DUE 03-18-2019
**
498,783

HYUNDAI MARINE&FIR KRW500
**
461,329

HYUNDAI MOBIS KRW5000
**
369,717

I/O CMO DBUBS MTG TR SER 2011-LC2 CL XA FLTG RT 10 07-10-2044
**
28,793

I/O CMO UBS COML MTG TR 2012-C1 COML MTG144A CL X-A 2.561868 05-10-2045 BEO
**
67,627

I/O CMO UBS-BARCLAYS COML MTG TR 2013-C5CL X-A 144A VAR RT 03-10-2046 BEO
**
637,580

I/O FEDERAL HOME LN MTG CORP SER 2936 CL SC VAR RT 03-15-2029
**
91,105

I/O FHLMC MULTICLASS SER 004579 CL SD 01-15-2038
**
45,724

I/O FHLMC MULTICLASS SER 12-K708 CL X1 FLTG RT 01-25-2019
**
55,835

I/O FHLMC MULTICLASS SER 323 CL 300 DUE 01-15-2044
**
620,136

I/O FHLMC MULTICLASS SER 4075 CL PI 02-15-2041
**
172,548

I/O FNMA POOL #AN6788 2.87% 09-01-2027
**
1,904,195

I/O FNMA REMIC SER 2013-13 CL IK 03-25-2028
**
59,516

I/O FNMA REMIC TR 2013-17 CL-TI 3% 03-25-2028 REG
**
68,434

I/O FNMA SMBS TR 404 CL 05-25-2040
**
485,861

I/O FNMA SMBS TR 421 CL 12-25-2038
**
233,614

IAC / INTERACTIVECORP COM PAR $.001 STK
**
426,879

IBERIABANK CORP COM
**
3,175,950

IBSTOCK PLC ORD GBP0.01
**
632,860

ICF INTL INC COM STK
**
107,625

ICON PLC COM
**
1,730,026

ICONIX BRAND GROUP INC COM
**
7,851

IDACORP INC COM
**
4,208,955

IDEMITSU KOSAN CO NPV
**
160,104

IDT CORP CL B NEW CL B NEW
**
19,917

IIDA GROUP LTD
**
39,578

II-VI INC COM
**
2,185,476

IL ST BUILD AMERICA BONDS-TAXABLE-SER 3 6.725 04-01-2035 BEO
**
444,216

IL TOOL WKS INC 1.95% DUE 03-01-2019
**
199,677

ILG INC COM
**
277,965

ILL TOOL WKS INC COM
**
8,791,327

ILLINOIS TOOL WKS INC 3.375 DUE 09-15-2021 REG
**
118,320

ILLUMINA INC COM
**
14,701,755

IMARKETKOREA INC KRW500
**
393,793

IMAX CORP COM
**
2,232,262


110
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
IMERYS EUR2
**
696,903

IMPAC CMB TR 2007-A COLL AST BACKED BD CL M-1 144A 05-25-2037 BEO
**
3,092,869

IMPAX LABORATORIES INC COM
**
10,756

IMPERIAL BRANDS FINANCE PLC 3.5% DUE 02-11-2023 BEO
**
9,465,763

IMPERIAL BRANDS PLC GBP0.10
**
169,942

IMPERIAL HLDGS ZAR0.04
**
722,607

IMPLENIA AG CHF1.02 (REGD)
**
1,078,979

IN MICH PWR CO 3.2% DUE 03-15-2023
**
141,804

INCHCAPE ORD GBP0.10
**
451,370

INDEPENDENCE GROUP NPV
**
886,387

INDEPENDENCE HLDG CO NEW COM NEW
**
47,818

INDEPENDENCE RLTY TR INC COM
**
11,099

INDEPENDENT BK CORP MASS COM
**
150,876

INDEPENDENT BK CORPORATION
**
24,652

INDEPENDENT BK GROUP INC COM
**
199,758

INDIAN OIL CORP INR10
**
340,107

INDL ALLIANCE INS COM NPV
**
1,120,011

INDOFOOD CBP SUKSES MAKMUR T PLACEMENT
**
40,309

INDONESIA GOVERNMEN 8.375% 15/03/34
**
1,198,425

INDONESIA(REP OF) 2.625% SNR MTN 14/06/23 EUR
**
1,559,116

INDONESIA(REP OF) T BD 5.875 DUE 03-13-2020 BEO
**
166,388

INDORAMA VENTURES THB1(NVDR)
**
327,527

INDUSTRIAL & COMMERCIAL BANK CHINA 'H'
**
1,332,028

INDYMAC ABS INC SER 2005-B CL M3 FLT RT 08-25-2035 BEO
**
399,264

INEOS FINANCE PLC TERM LOAN B DUE 02-10-2024 BEO
**
3,609

INFINEON TECHNOLOG ORD NPV (REGD)
**
536,264

INFINERA CORP COM STK USD0.001
**
47,735

INFORMA PLC (GB) ORD GBP0.001
**
1,423,417

INFOSYS LIMITED ADR
**
555,097

INFRASTRUTTURE WIRELESS ITALIA SPA NPV
**
750,281

ING BANK NV 4.125%-FRN LT2 21/11/23 USD
**
1,214,408

ING BANK NV FLTG RATE DUE 11-21-2023 BEO
**
4,847,635

ING BK N V COVERED 2.625% DUE 12-05-2022
**
1,200,740

ING BK N V MEDIUM 2.05% DUE 08-17-2018
**
3,707,527

ING BK N V MEDIUM 2.3% DUE 03-22-2019
**
231,124

ING GROEP N.V. EUR0.01
**
13,316,550

INGENICO GROUP EUR1
**
1,000,856

INGERSOLL-RAND 6.875% DUE 08-15-2018
**
1,142,149

INGERSOLL-RAND GLOBAL HLDG CO LTD 2.875%DUE 01-15-2019
**
4,444,645

INGERSOLL-RAND GLOBAL HLDG CO LTD 4.25 DUE 06-15-2023
**
575,428

INGERSOLL-RAND PLC COM STK
**
5,120,041

INGLES MKTS INC CL A
**
49,651

INNERWORKINGS INC COM
**
53,460

INNOLUX CORP TWD10
**
71,105

INNOPHOS HLDGS INC COM STK
**
100,563

INNOSPEC INC COM STK
**
166,404

INPHI CORP COM
**
4,041,518


111
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
INSIGHT ENTERPRISES INC COM
**
141,290

INSTEEL INDS INC COM
**
1,827,886

INSTITUTO HERMES P NPV
**
1,448,844

INSULET CORP COM STK
**
2,362,353

INTEGER HLDGS CORP COM
**
3,087,512

INTEL CORP 1.85% DUE 05-11-2020
**
3,125,581

INTEL CORP 2.45% DUE 07-29-2020
**
6,110,872

INTEL CORP 3.1% DUE 07-29-2022
**
51,433

INTEL CORP 3.3 DUE 10-01-2021
**
680,300

INTEL CORP 3.7% DUE 07-29-2025
**
3,488,175

INTER AMERN DEV BK 1.625% 05-12-2020 REG
**
12,451,905

INTER PARFUMS INC COM
**
2,858,923

INTERCONTINENTAL 2.5% DUE 10-15-2018
**
6,649,159

INTERCONTINENTAL 2.5% DUE 10-15-2018
**
227,886

INTERCONTINENTAL 4% DUE 10-15-2023
**
5,394,887

INTERCONTINENTAL EXCHANGE INC COM
**
25,048,165

INTERFACE INC COM
**
4,658,962

INTERNATIONAL BUSINESS MACHS CORP COM
**
3,726,265

INTERNATIONAL GAME TECHNOLOGY COMMON STOCK
**
2,929,196

INTERNATIONAL SEAWAYS INC INTERNATIONAL SEAWAYS INC COMMON STOCK
**
21,691

INTERNET COMM STK
**
903,415

INTERPUBLIC GROUP COMPANIES INC COM
**
6,035,924

INTERPUMP GROUP EUR0.52
**
582,950

INTERSECT ENT INC COM
**
1,243,285

INTESA SANPAOLO EUR0.52
**
10,012,215

INTEVAC INC COM
**
21,783

INTL BANCSHARES CORP COM
**
299,934

INTL BUSINESS 1.9% DUE 01-27-2020
**
7,077,436

INTL BUSINESS MACH CORP 8.375 NT DUE 11-1-2019 REG
**
1,339,509

INTL CCE INC 3.5% DUE 09-15-2020
**
205,024

INTL CONS AIRLINE ORD EUR0.50
**
1,044,920

INTL CONTAINER TER PHP1
**
100,360

INTL FCSTONE INC COM
**
74,087

INTL LEASE FIN 4.625% DUE 04-15-2021
**
8,163,789

INTL LEASE FIN 5.875% DUE 08-15-2022
**
2,869,376

INTL LEASE FIN 6.25% DUE 05-15-2019
**
943,115

INTL LEASE FIN 8.25% DUE 12-15-2020
**
5,197,655

INTL PAPER CO 3% DUE 02-15-2027
**
2,394,784

INTL PAPER CO 4.75% DUE 02-15-2022
**
1,272,441

INTL PAPER CO COM
**
10,979,630

INTREPID POTASH INC COM
**
57,515

INVACARE CORP COM
**
65,226

INVESTEC ORD GBP0.0002
**
936,806



112
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
INVESTMENT TECHNOLOGY GROUP INC NEW COM
**
67,086

INVESTOR AB SER'B'NPV
**
230,055

INVESTORS BANCORP INC NEW COM
**
349,540

INVESTORS CLOUD CO NPV
**
1,047,566

INVESTORS REAL ESTATE TR COM STK
**
43,662

INVESTORS TITLE CO NC COM
**
40,662

ION GEOPHYSICAL CORP COM NEW COM NEW
**
14,437

IPALCO ENTERPRISES 3.45% DUE 07-15-2020
**
1,010,000

IPSOS EUR0.25
**
725,525

IQVIA HLDGS INC COM USD0.01
**
22,378,667

IRELAND(REP OF) 1% BDS 15/05/2026 EUR0.01
**
616,724

IRESS LIMITED NPV
**
816,214

IRHYTHM TECHNOLOGIES INC COM
**
2,769,318

IRIDIUM COMMUNICATIONS INC COM STK
**
110,059

IROBOT CORP COM
**
1,051,787

IRS KRW 3M 1.9275%/KRWON CITIUS33 02/08/2027 SWU00MEV6
**
21,894

IRS KRW 3M 2.01%/KRWON GSCMUS33 10/07/2027 SWU00M9L4
**
47,545

IRS THB 6MTHBFX/6M 2.48% CITIUS33 18/05/2027 SWU00LT91
**
4,332

IRS THB 6MTHBFX/6M 2.81% CITIUS33 18/05/2037 SWU00LTA8
**
8,475

IRS USD 3MLIBOR/ LIBOR CME_CSFBUS 12/06/2022 SWU0JSFF7
**
251

ISRAEL(STATE OF) 1.75% SNR 31/08/25 ILS1000
**
297,524

ISRAEL(STATE OF) GTD NT CL 2 DTD 12/04/2003 5.5% DUE 12-04-2023 REG
**
263,100

ISUZU MOTORS NPV
**
344,569

ITALY(REP OF) 0% T-BILL 30/04/18 EUR1000
**
10,946,463

ITALY(REP OF) 0% T-BILL 31/01/18 EUR1000
**
2,762,851

ITALY(REP OF) 1.45% BDS 15/11/24 EUR1000
**
4,097,118

ITALY(REP OF) 1.65% IDX/LKD 04/2020 EUR
**
1,267,649

ITALY(REPUBLIC OF) 2.35% IDX/LKD NTS 15-09-2024 EUR1000
**
1,548,450

ITAUSA INV ITAU SA PRF NPV
**
681,386

ITC HLDGS CORP 3.25% DUE 06-30-2026
**
795,426

ITC INR1
**
300,944

ITOCHU CORP NPV
**
436,994

ITT INC COM
**
3,368,554

J & J SNACK FOODS CORP COM STK NPV
**
5,259,391

J ALEXANDERS HLDGS INC COM CL A
**
11,980

J P MORGAN CHASE & CO MEDIUM TERM FLTG 04-25-2018
**
6,607,524

J P MORGAN CHASE 2.665 DUE 01-15-2046
**
1,902,990

J P MORGAN CHASE 2.6942% DUE 04-15-2046
**
7,508,121

J2 GLOBAL INC COM
**
7,384,828

JABIL INC
**
489,694

JACK HENRY & ASSOC INC COM
**
4,386,000

JACKSON NATIONAL LIFE GLOBAL FNDG PPN CORPBOND 2.5% 06-27-2022
**
4,657,597

JACKSON NATL LIFE GLOBAL 144A BNDS 2.3% 04-16-2019 BEO
**
450,765

JACKSON NATL LIFE GLOBAL 144A BNDS FLTG 02-13-2019
**
6,098,781

JACKSON NATL LIFE GLOBAL FDG PROGRAM MEDTRANCHE # TR 00014 0 DUE 06-01-2018
**
303,480

JACOBS ENGR GROUP INC COM
**
4,113,398

JAMES RIVER GROUP HOLDINGS COM USD0.0002
**
77,339


113
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
JAPAN AIRLINES CO NPV
**
1,816,032

JAPAN BANK FOR INTL COOPERATION 2.875% DUE 07-21-2027
**
6,440,205

JAPAN BK INTL COOPERATION 1% BDS 27/10/2021 USD 2% DUE 11-04-2021 BEO
**
18,332,246

JAPAN BK INTL COOPERATION 1.5% 07/21/2021 1.5% DUE 07-21-2021 REG
**
1,350,182

JAPAN BK INTL COOPERATION 2.125% 07-21-2020
**
1,389,305

JAPAN BK INTL COOPERATION 2.375% DUE 07-21-2022
**
8,282,014

JAPAN BK INTL COOPERATION GTD BD 1.75% DUE 07-31-2018 REG
**
1,908,133

JAPAN BK INTL COOPERATION GTD BD 1.75% DUE 11-13-2018 REG
**
13,206,290

JAPAN BK INTL COOPERATION GTD BD 2.125% 06-01-2020
**
993,980

JAPAN BK INTL COOPERATION GTD BD 2.5% DUE 06-01-2022 REG
**
298,736

JAPAN FIN ORGANIZATION FOR MUNICIPALITIE2.125% DUE 02-12-2021 BEO
**
9,845,280

JAPAN FIN ORGANIZATION FOR MUNICIPALITIEGLOBAL NT 144A 2.125% DUE 10-25-2023 BEO
**
2,977,717

JAPAN FIN ORGANIZATION FOR MUNICIPALITIENT SER 53 144A 2.125% DUE 04-13-2021 BEO
**
2,456,685

JAPAN FIN ORGANIZATION FOR MUNICIPALITIES 144A 2.625% 04-20-2022
**
5,169,892

JAPAN PRIME REALTY REIT
**
123,944

JAPAN REAL ESTATE INVESTMENT CO
**
151,969

JAPAN RETAIL FUND REIT
**
115,512

JAPAN TOBACCO INC NPV
**
5,508,811

JAPAN(GOVT OF) 0% T-BILL 13/02/2018 JPY
**
716,052

JAPAN(GOVT OF) 0% T-BILL 13/02/2018 JPY
**
1,775,704

JAPAN(GOVT OF) 0% T-BILL 22/01/2018 JPY
**
314,714

JAPAN(GOVT OF) 0.1% IDX/LKD SNR 03/26 JPY
**
3,614,517

JAPAN(GOVT OF) 0.5% SNR 20/09/46 JPY50000
**
1,171,322

JASTRZEBSKA SPOLKA WEGLOWA S
**
603,293

JEFFERIES GROUP 5.125% DUE 01-20-2023
**
2,167,608

JEFFERIES GROUP 5.125% DUE 04-13-2018
**
196,599

JEFFERIES GROUP INC 6.875 DUE 04-15-2021BEO
**
78,309

JEFFERIES GROUP LLC 4.85% 01-15-2027
**
12,758

JETBLUE AWYS CORP COM
**
631,239

JFE HOLDINGS INC NPV
**
1,182,359

JG SUMMIT HLDGS PHP1
**
34,771

JIANGXI COPPER CO 'H'CNY1
**
112,423

JOHN DEERE CAPITAL CORP TRANCHE # TR 00413 1.95% DUE 01-08-2019
**
1,498,730

JOHN DEERE OWNER SER 17-A CL A4 2.11% 12-15-2023
**
13,168,560

JOHN DEERE OWNER TRUST SER 17-B CL A3 1.82% 10-15-2021
**
8,570,566

JOHNSON & JOHNSON COM USD1
**
32,834,619

JOHNSON & JOHNSON FIXED 1.95% 11-10-2020
**
2,836,505

JOHNSON CTLS INTL 3.9% DUE 02-14-2026
**
60,684

JOHNSON CTLS INTL 5% DUE 03-30-2020
**
158,207

JOHNSON CTLS INTL PLC COM USD0.01
**
34,500,335

JOHNSON OUTDOORS INC CL A
**
57,247

JOLLIBEE FOODS PHP1
**
623,964

JONES LANG LASALLE INC COM STK
**
73,274

JPMBB COML MTG 2.8164% DUE 11-15-2048
**
3,528,123

JPMBB COML MTG 3.0456% DUE 04-15-2047
**
6,206,637

JPMBB COML MTG 3.31060004234% DUE 03-15-2049
**
12,829,106

JPMBB COML MTG 3.3222% DUE 07-15-2048
**
7,311,293


114
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
JPMBB COML MTG 3.8218% DUE 07-15-2048
**
1,502,235

JPMBB COML MTG 4.2016% DUE 09-15-2047
**
6,562,059

JPMBB COML MTG FLTG RT 4.55892% DUE 09-15-2047
**
984,773

JPMBB COML MTG FLTG RT 5.0806% DUE 11-15-2045
**
564,942

JPMBB COML MTG SECS TR 2015-C31 FLTG RT CL B 08-15-2048
**
1,433,217

JPMDB COML MTG SECS TR 2016-C4 CL A-2 2.8822% 9-15-2026
**
7,872,536

JPMORGAN CHASE 3.9% 07-15-2025
**
733,840

JPMORGAN CHASE & 1.85% DUE 03-22-2019
**
2,510,769

JPMORGAN CHASE & 2.4% DUE 06-07-2021
**
7,340,377

JPMORGAN CHASE & 2.55% DUE 03-01-2021
**
5,002,645

JPMORGAN CHASE & 2.55% DUE 10-29-2020
**
15,650,894

JPMORGAN CHASE & 2.7% DUE 05-18-2023
**
5,036,761

JPMORGAN CHASE & 2.75% DUE 06-23-2020
**
4,433,377

JPMORGAN CHASE & 2.95% DUE 10-01-2026
**
1,650,163

JPMORGAN CHASE & 3.2% DUE 01-25-2023
**
3,366,003

JPMORGAN CHASE & 3.25% DUE 09-23-2022
**
1,013,613

JPMORGAN CHASE & 3.625% DUE 05-13-2024
**
1,554,514

JPMORGAN CHASE & 4.25% DUE 10-15-2020
**
6,296,357

JPMORGAN CHASE & 4.5% DUE 01-24-2022
**
321,016

JPMORGAN CHASE & 4.625 DUE 05-10-2021
**
6,406,026

JPMORGAN CHASE & 6.3% DUE 04-23-2019
**
5,474,544

JPMORGAN CHASE & CO 3.875 09-10-2024
**
8,068,556

JPMORGAN CHASE & CO 3.782% DUE 02-01-2028 BEO
**
7,150,125

JPMORGAN CHASE & CO COM
**
63,346,337

JPMORGAN CHASE & CO FORMERLY J P MORGAN 6 DUE 01-15-2018 BEO
**
5,442,560

JPMORGAN CHASE & CO NT FIXED/FLTG RATE DUE 05-01-2028/10-25-2017 REG
**
813,877

JPMORGAN CHASE & CO NT FLTG RATE DUE 06-01-2021 REG
**
12,067,476

JPMORGAN CHASE & FIXED 2.25% DUE 01-23-2020
**
199,866

JSW STEEL LTD INR1
**
172,911

JTEKT CORPORATION NPV
**
476,242

JULIUS BAER GRUPPE CHF0.02 (REGD)
**
3,587,397

JUNGHEINRICH NON-VTG PRF NPV
**
2,235,832

JXTG HOLDINGS INC NPV
**
657,255

JYSKE BANK A/S DKK10
**
670,360

K12 INC COM STOCK USD.0001
**
84,000

K2M GROUP HLDGS INC COM
**
1,299,600

KABU.COM SECURITIE NPV
**
557,619

KADANT INC COM
**
2,471,145

KAJIMA CORP NPV
**
2,143,690

KAMAN CORP COM
**
156,809

KAMIGUMI CO LTD NPV
**
663,211

KANSAS CITY PWR & LT CO 5.3 DUE 10-01-2041
**
76,944

KAO CORP NPV
**
6,203,762

KAPSTONE PAPER & PACKAGING CORP KAPSTONEPAPER AND PACKAGING CORP COMMON STOCK
**
211,630

KAZ MINERALS PLC
**
1,497,209

KB FINANCIAL GROUP KRW5000
**
146,453

KB HOME COM
**
281,639


115
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
KBC BANK NV 8%-STP SUB 25/01/2023 USD
**
1,609,654

KBC GROEP NV NPV
**
6,113,166

KBC GROUP NV MTN .75% .75% 01/03/2022
**
729,108

KBR INC COM
**
43,229

KDDI CORP NPV
**
107,082

KEARNY FINL CORP MD COM
**
132,781

KELLOGG CO 3.4% DUE 11-15-2027
**
74,638

KELLOGG CO 4% DUE 12-15-2020
**
146,630

KELLY SERVICES INC CL A COM
**
86,637

KEMET CORP COM NEW
**
64,306

KEMPER CORP DEL COM
**
397,691

KENNEDY-WILSON HLDGS INC COM
**
121,814

KEPCO PLANT SERVICE & ENGINEERING CO LTDKRW200
**
246,966

KERING
**
839,329

KERR MCGEE CORP 6.95 DUE 07-01-2024 BEO
**
2,227,889

KERRY PROPERTIES HKD1
**
2,151,306

KEY TRONIC CORP COM
**
8,469

KEYBANK NATL ASSN 1.65% DUE 02-01-2018
**
1,544,598

KEYBANK NATL ASSN 1.7% DUE 06-01-2018
**
249,811

KEYBANK NATL ASSN 2.25% DUE 03-16-2020
**
1,949,268

KEYBANK NATL ASSN 2.35% DUE 03-08-2019
**
3,225,905

KEYBANK NATL ASSN 2.5% DUE 12-15-2019
**
5,140,114

KEYCORP MEDIUM TERM SR NTS 2.9% DUE 09-15-2020
**
454,211

KEYCORP MEDIUM TERM SR NTS BOOK ENTRY 2.3 DUE 12-13-2018
**
300,449

KEYCORP MEDIUM TERM SR NTS BOOK ENTRY MTN 5.1% DUE 03-24-2021
**
651,993

KEYENCE CORP NPV
**
558,490

KEYW HLDG CORP COM STK
**
22,259

KFW 1 DUE 06-11-2018 REG
**
15,551,047

KILROY RLTY CORP COM
**
449,393

KILROY RLTY L P 4.375% DUE 10-01-2025
**
2,098,144

KIMBALL ELECTRONICS INC COM
**
53,144

KINDER MORGAN 2.65% DUE 02-01-2019
**
1,137,036

KINDER MORGAN 6.85% DUE 02-15-2020
**
866,556

KINDER MORGAN GTD SR NT FIXED 6.5% DUE 04-01-2020
**
339,798

KINDER MORGAN INC FIXED 3.15% DUE 01-15-2023
**
1,987,818

KINDER MORGAN INC FLTG RT 3.00019% DUE 01-15-2023
**
10,877,235

KINDER MORGAN INC/DELAWA 3.05% DUE 12-01-2019
**
1,892,434

KINDRED HEALTHCARE INC COM STK
**
117,865

KINGBOARD LAMINATE HKD0.10
**
916,697

KINGDOM OF SWEDEN BNDS .875% 31/01/2018
**
480,979

KINGFISHER ORD GBP0.157142857
**
369,759

KINNEVIK AB SER'B'NPV (POST SPLIT)
**
104,816

KINROSS GOLD CORP COM
**
200,457

KINTETSU WORLD EXP NPV
**
797,913

KIRBY CORP COM
**
1,273,342

KIRIN HOLDINGS CO NPV
**
289,403

KIRKLANDS INC COM
**
20,843


116
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
KITE RLTY GROUP TR COM NEW COM NEW
**
91,297

KLA-TENCOR CORP 3.375% DUE 11-01-2019
**
6,149,746

KLA-TENCOR CORP 4.125% DUE 11-01-2021
**
625,908

KLEPIERRE EUR1.40
**
131,941

KLX INC COM
**
394,485

KNIGHT-SWIFT TRANSN HLDGS INC CL A CLASSA COMMON STOCK USD0.01
**
2,006,748

KNOLL INC COM NEW COM
**
2,802,931

KNOWLES CORP COM
**
145,002

KOHLS CORP COM
**
820,880

KOMMUNALBANKEN AS MEDIUM TERM NTS BOOK E TRANCHE # TR 53 2.25% 01-25-2022
**
1,093,695

KOMMUNALBANKEN AS MEDIUM TERM NTS BOOK ENTRYADJ RT 06-16-2020 BEO
**
201,338

KONAMI HOLDINGS CO NPV
**
692,541

KONINKLIJKE DSM NV EUR1.50
**
1,152,534

KONINKLIJKE PHILIP EUR0.20
**
2,562,420

KONINKLIJKE PHILIPS NV
**
11,821,421

KOREA INVESTMENT HOLDINGS KRW5000
**
230,737

KOREA(REPUBLIC OF) 7.125% DUE 04-16-2019
**
5,378,704

KORN / FERRY INTL COM NEW
**
1,537,764

KORNIT DIGITAL LTD COMMON STOCK
**
845,291

KOSMOS ENERGY LTD
**
26,948

KRAFT FOODS GROUP 3.5% DUE 06-06-2022
**
15,349

KRAFT FOODS GROUP 5% DUE 06-04-2042
**
123,398

KRAFT FOODS GROUP 5.375% DUE 02-10-2020
**
2,179,385

KRAFT FOODS GROUP 6.125% DUE 08-23-2018
**
404,190

KRAFT HEINZ FOODS 2.8% DUE 07-02-2020
**
9,259,073

KRAFT HEINZ FOODS 3% DUE 06-01-2026
**
7,654,937

KRAFT HEINZ FOODS 3.5% DUE 07-15-2022
**
1,206,847

KRAFT HEINZ FOODS 3.95% DUE 07-15-2025
**
7,008,030

KRAFT HEINZ FOODS 5% DUE 07-15-2035
**
125,554

KRATON CORPORATION
**
128,132

KRATOS DEFENSE & SECURITY SOLUTIONS INC
**
357,815

KROGER CO 1.5% DUE 09-30-2019
**
2,918,083

KROGER CO 2% DUE 01-15-2019
**
3,284,108

KROGER CO 2.3% DUE 01-15-2019
**
965,799

KROGER CO 3.3% DUE 01-15-2021
**
122,384

KROGER CO 4 DUE 02-01-2024
**
2,095,524

KROGER CO 7.5% DUE 04-01-2031
**
105,432

KRONOS WORLDWIDE INC COM STK
**
34,145

KROTON EDUCACIONAL COM NPV
**
96,361

KRUK SA PLN1
**
737,439

KRUNG THAI BNK LTD THB5.15(NVDR)
**
292,395

KS CY PWR & LT CO 3.15 DUE 03-15-2023
**
24,110

KS CY PWR & LT CO 7.15% DUE 04-01-2019
**
291,038

KT&G CORPORATION KRW5000
**
225,204

KUBOTA CORP NPV
**
5,664,287

KUEHNE&NAGEL INTL CHF1 (REGD)
**
2,701,084

KULICKE & SOFFA INDS INC COM
**
187,063


117
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
KUWAIT ST NT 144A 2.75% DUE 03-20-2022 BEO
**
4,747,846

KUWAIT ST NT 144A 3.5% DUE 03-20-2027 BEO
**
2,843,714

KVH INDS INC COM STK
**
10,112

KY UTILS CO 1ST MTG BD 3.25 DUE 11-01-2020
**
302,222

KYOCERA CORP NPV
**
7,287,136

L A CAL DEPT ARPTS ARPT REV TAX BUILD AMER BD 6.582 DUE 05-15-2039
**
92,786

LA QUINTA HLDGS INC COM
**
173,875

LA Z BOY INC COM
**
137,498

LAB CORP AMER 2.5% DUE 11-01-2018
**
250,767

LAB CORP AMER 2.625% DUE 02-01-2020
**
300,790

LAB CORP AMER 3.2% DUE 02-01-2022
**
68,309

LAGARDERE SCA EUR6.10
**
338,898

LAKELAND BANCORP INC COM
**
74,979

LAKELAND INDS INC COM
**
13,386

LAM RESH CORP 2.8% DUE 06-15-2021
**
5,816,275

LAND SECURITIES GP ORD GBP0.106666666
**
177,857

LANDEC CORP COM
**
34,864

LANDSTAR SYS INC COM
**
1,665,600

LANDWIRTSCH RENTENBANK 4.25% 24/01/2023
**
83,832

LANSFORSAKRINGAR H 1.25% BDS 20/09/23 SEK10000
**
839,050

LANSFORSAKRINGAR H 2.25% BDS 21/09/22 SEK10000
**
2,375,074

LARGAN PRECISION C TWD10
**
269,345

LASALLE HOTEL PPTYS COM SH BEN INT
**
2,030,079

LATTICE SEMICONDUCTOR CORP COM
**
19,340

LAUREATE ED INC CL A CL A
**
1,534,992

LAYNE CHRISTENSEN CO COM
**
18,009

LCH_IRS LCH_CSFBUS EUR P 1.5%/R 6M EURIB 21/03/2048 SWU00KWG3
**
9,122

LCH_IRS LCH_CSFBUS EUR P 6M EURIB/R .5% 21/03/2023 SWU00MIA8
**
74,118

LCH_IRS LCH_CSFBUS EUR P 6M EURIB/R 1.0% 21/03/2028 SWU00MIB6
**
97,594

LCH_IRS LCH_CSFBUS EUR P 6M EURIB/R 2.04% 03/02/2037 SWU00KW65
**
23,996

LCH_IRS LCH_CSFBUS GBP P .75%/R 6M LIBOR 21/03/2020 SWU00MIC4
**
31,942

LCH_IRS LCH_CSFBUS GBP P 1.0%/R 6M LIBOR 21/03/2023 SWU00MID2
**
460

LCH_IRS LCH_CSFBUS GBP P 3M LIBOR/R 1.0% 19/09/2019 SWU00MP69
**
28,308

LCH_IRS LCH_CSFBUS GBP P 3M LIBOR/R 1.0% 19/09/2019 SWU00MP69
**
332,486

LCH_IRS LCH_CSFBUS GBP P 6M LIBOR/R 1.75% 21/03/2048 SWU00KWQ1
**
5,368

LCH_IRS LCH_CSFBUS JPY P .3%/R 6M LIBOR 20/09/2027 SWU00LCF5
**
13,818

LCH_IRS LCH_CSFBUS JPY P 6M LIBOR/R .45% 20/03/2029 SWU00KXL1
**
851

LCH_IRS LCH_CSFBUS USD P 1.75%/R 3M LIBOR 12/21/2023 SWU00IN94
**
380,720

LCH_IRS LCH_CSFBUS USD P 3M LIBOR/R 1.75% 12/21/2026 SWU00INB9
**
40,221

LCI INDUSTRIES COM
**
2,643,940

LEE & MAN PAPER MA HKD0.025
**
521,144

LEGACY TEXAS FINANCIAL GROUP INC COM
**
2,708,405

LEGG MASON INC COM
**
486,212

LEGGETT & PLATT INC COM
**
3,097,677

LEGRAND SA EUR4
**
3,592,927

LEMAITRE VASCULAR INC COM STK
**
989,587

LENDINGCLUB CORP COM
**
74,328


118
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
LENDLEASE GROUP NPV (STAPLED)
**
202,148

LENNAR CORP CL A CL A
**
2,627,432

LETRA TESOURO NACIONAL 0.0% 01/07/18
**
4,176,563

LEXINGTON RLTY TR COM
**
135,505

LG CORP KRW5000
**
272,444

LG ELECTRONICS INC KRW5000
**
1,686,726

LG INNOTEK CO KRW5000
**
694,393

LG&E & KU ENERGY LLC 3.75 DUE 11-15-2020
**
515,854

LHC GROUP INC COM
**
113,006

LIBBEY INC COM
**
22,004

LIBERTY EXPEDIA HLDGS INC SER A COM SER A COM
**
154,180

LIBERTY GLOBAL PLC -SERIES C COM
**
21,791,776

LIBERTY GLOBAL PLC USD0.01 A
**
5,301,955

LIBERTY HLDGS ZAR0.0833
**
51,059

LIBERTY INTERACTIVE CORPORATION QVC GROUP SER A
**
18,504,621

LIBERTY PPTY TR SH BEN INT
**
386,359

LIBERTY TAX INC CL A CL A
**
8,558

LIBERTY TRIPADVISOR HLDGS INC COM USD0.01 'A'
**
52,252

LIFE STORAGE INC COM
**
254,473

LIFEPOINT HEALTH INC COM ISIN US53219L1098
**
209,060

LIFESTYLE INTERNAT HKD0.005
**
411,586

LIFETIME BRANDS INC COM
**
21,978

LILLY ELI & CO 1.25% DUE 03-01-2018
**
2,453,137

LILLY ELI & CO 2.35% DUE 05-15-2022
**
2,054,275

LIMELIGHT NETWORKS INC COM
**
24,012

LIMONEIRA CO COM STK
**
32,144

LINAMAR CORP COMMON STOCK
**
414,678

LINCOLN NATL CORP 4.2 DUE 03-15-2022
**
26,327

LINCOLN NATL CORP 6.25% DUE 02-15-2020
**
5,018,056

LINCOLN NATL CORP SR NT 8.75 DUE 07-01-2019
**
105,909

LINDE AG NPV (ASD 24/11/2017)
**
3,295,269

LINK REAL ESTATE INVESTMENT
**
347,299

LION CORP NPV
**
181,271

LIQUIDITY SVCS INC COM STK
**
14,914

LITE-ON TECHNOLOGY TWD10
**
366,431

LITHIA MTRS INC CL A CL A
**
116,543

LITHUANIA REP SR BD 144A 6.125% DUE 03-09-2021 BEO
**
1,711,325

LITTELFUSE INC COM
**
3,002,908

LIVANOVA PLC ORD GBP1.00 (DI)
**
184,615

LIVE NATION ENTERTAINMENT INC
**
3,839,686

LLOYDS BANK PLC 4.875% GTD SNR 30/03/27 GBP
**
1,886,117

LLOYDS BANK PLC 5.125% GTD 07/03/2025 GBP
**
168,509

LLOYDS BANKING GP 7.875%-FRN PERP GBP200000
**
1,155,107

LLOYDS BANKING GP ORD GBP0.1
**
2,627,361

LLOYDS BK PLC NY BRNCH GTD SR NT 2.3 DUE11-27-2018 REG
**
1,303,270

LLOYDS BKG GROUP 3% DUE 01-11-2022
**
11,954,344

LLOYDS BKG GROUP 7.0% 29/12/2049
**
1,962,449


119
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
LLOYDS TSB BK PLC 5.8% DUE 01-13-2020
**
4,048,117

LOCALIZA RENT A CA COM NPV
**
1,572,829

LOCKHEED MARTIN 3.35 DUE 09-15-2021
**
800,914

LOCKHEED MARTIN 3.55% DUE 01-15-2026
**
1,194,132

LOCKHEED MARTIN CORP COM
**
5,957,083

LONDON STOCK EXCHANGE GROUP ORD GBP0.06918604
**
160,416

LONG BEACH MTG LN FLTG RT 2.18135% DUE 08-25-2033
**
3,585,317

LONGFOR PROPERTIES HKD0.10
**
48,832

LONZA GROUP AG CHF1 (REGD)
**
554,557

L'OREAL EUR0.20
**
6,186,022

LOS ANGELES CALIF UNI SCH DIST 6.758% DUE 07-01-2034 BEO TAXABLE
**
414,336

LOTTE CHEMICAL COR KRW5000
**
1,007,690

LOUISIANA-PACIFIC CORP COM
**
175,286

LOWES COMPANIES INC BNDS 3.12% DUE 04-15-2022 REG
**
183,651

LOWES COS INC 2.5% DUE 04-15-2026
**
5,479,501

LOWES COS INC 3.1% DUE 05-03-2027
**
80,283

LOXO ONCOLOGY INC COM
**
1,178,857

LSB INDS INC COM
**
17,958

LSC COMMUNICATIONS INC COM
**
50,207

LSI INDS INC OHIO COM
**
16,925

LT GROUP INC PHP1
**
475,135

LUBYS INC COM
**
7,577

LULULEMON ATHLETICA INC COM
**
2,476,371

LUMINEX CORP DEL COM
**
85,872

LUNDIN MINING CORP COM NPV
**
1,663,019

LUXOTTICA GROUP EUR0.06
**
604,039

LVMH MOET HENNESSY LOUIS VUITTON SE EUR0.30
**
10,770,349

LYDALL INC COM
**
2,237,009

LYON WILLIAM HOMES CL A NEW COM USD0.01 CL'A'(POST REV SPLIT)
**
92,852

LYONDELLBASELL 5% DUE 04-15-2019
**
2,001,091

LYONDELLBASELL INDS N V 6 DUE 11-15-2021
**
1,971,675

M / I HOMES INC
**
84,624

M D C HLDGS INC COM
**
159,309

M DIAS BRANCO SA I COM NPV
**
120,868

MA EDL FING AUTH STUD LN ASSET-BKD NTS VAR RT DUE 04-25-2028 BEO N/C
**
30,037

MABUCHI MOTOR CO NPV
**
134,987

MACATAWA BK CORP COM
**
33,820

MACK CALI RLTY CORP COM REIT
**
130,373

MACOM TECHNOLOGY SOLUTIONS HOLDINGS INC COM STK
**
2,250,955

MACQUARIE GP LTD NPV
**
1,098,003

MACQUARIE MEXICO REAL ESTATE MGMT
**
322,935

MACYS INC COM STK
**
625,946

MACYS RETAIL HLDGS 4.375% DUE 09-01-2023
**
232,008

MADDEN STEVEN LTD COM
**
8,343,936

MADRID(COMUNIDAD) 4.688% SNR 12/03/20 EUR1000
**
264,880

MAGELLAN HEALTH INC COM NEW COM NEW
**
3,167,612

MAGELLAN MIDSTREAM 4.2% DUE 12-01-2042
**
22,602


120
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MAGELLAN MIDSTREAM 4.25% DUE 02-01-2021
**
730,430

MAGELLAN MIDSTREAM 6.4% DUE 07-15-2018
**
2,047,346

MAGELLAN MIDSTREAM 6.55% DUE 07-15-2019
**
280,699

MAGNA INTERNATIONAL INC COMMON STOCK
**
5,179,638

MAGNA INTL INC COM NPV
**
1,851,632

MAIDEN HOLDINGS LTD\MAIDEN HOLDINGS LTD\COM STK
**
56,357

MAINSOURCE FINL GROUP INC COM
**
74,436

MALAYAN BKG BERHAD MYR1
**
833,713

MALAYSIA (GOVT OF) 4.378% BDS 29/11/2019MYR
**
75,862

MALAYSIA 4.232% BDS 30/06/31 MYR
**
243,637

MALAYSIA AIRPORT MYR1
**
557,782

MALIN CLO BV FRN 05/2023 EUR1000
**
162,977

MALLINCKRODT PLC COMMON STOCK
**
196,317

MANITOBA PROV CDA DEB SER GM 2.125% DUE 06-22-2026 REG
**
188,138

MANITOWOC CO INC COM USD0.01(POST REV SPLIT)
**
49,686

MANPOWERGROUP INC
**
618,065

MANTECH INTL CORP CL A CL A
**
123,467

MANULIFE FINL CORP 4.061% DUE 02-24-2032
**
125,943

MANULIFE FINL CORP 4.15% DUE 03-04-2026
**
122,132

MANULIFE FINL CORP 4.9% DUE 09-17-2020
**
423,400

MANULIFE FINL CORP 5.375% DUE 03-04-2046
**
12,746,134

MANULIFE FINL CORP COM NPV
**
1,360,669

MAPFRE EUR0.10
**
1,065,414

MARATHON OIL CORP 2.7% DUE 06-01-2020
**
1,030,144

MARATHON OIL CORP 2.8% DUE 11-01-2022
**
84,172

MARATHON OIL CORP COM
**
21,096,473

MARATHON PETE CORP 3.4% DUE 12-15-2020
**
408,718

MARCUS CORP DEL COM
**
31,699

MARICO LTD INR1
**
59,277

MARINEMAX INC COM
**
46,494

MARKEL CORP 4.9% DUE 07-01-2022
**
4,318,136

MARKEL CORP 5.35% DUE 06-01-2021
**
59,259

MARKEL CORP HOLDING CO COM
**
1,240,513

MARLIN BUSINESS SVCS CORP COM
**
27,552

MARRIOTT INTL INC 2.3% DUE 01-15-2022
**
6,862,635

MARRIOTT INTL INC 6.75% DUE 05-15-2018
**
2,721,706

MARRIOTT INTL INC NEW 3.375 DUE 10-15-2020
**
5,052,871

MARRIOTT INTL INC NEW COM STK CL A
**
13,333,301

MARRIOTT VACATIONS WORLDWIDE CORP COM
**
357,495

MARSH & MCLENNAN 2.35% DUE 03-06-2020
**
118,932

MARSH & MCLENNAN 2.75% DUE 01-30-2022
**
24,048

MARSH & MCLENNAN COS INC 2.35 09-10-2019
**
501,391

MARSH & MCLENNAN COS INC SR NT 3.5 DUE 06-03-2024
**
604,441

MARTEN TRANS LTD COM
**
104,038

MARTIN MARIETTA 3.45% DUE 06-01-2027
**
103,502

MARTIN MARIETTA 4.25% 12-15-2047
**
247,367

MARTIN MARIETTA FLTG RT 2.09594% DUE 05-22-2020
**
301,596


121
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MARUBENI CORP NPV
**
753,878

MASCO CORP 3.5% DUE 04-01-2021
**
1,218,780

MASCO CORP 5.95 DUE 03-15-2022
**
840,314

MASCO CORP 7.125% DUE 03-15-2020
**
436,172

MASONITE INTL CORP NEW COM
**
96,988

MASSMART HOLDINGS LIMITED
**
233,802

MASTEC INC COM
**
548,289

MASTERCARD INC 3.375 DUE 04-01-2024 BEO
**
2,180,791

MASTERCARD INC CL A
**
53,133,263

MASTR AST BACKED FLTG RT 1.67135% DUE 11-25-2036
**
2,548,194

MATADOR RES CO COM
**
3,138,745

MATERION CORP COM
**
99,630

MATRIX SVC CO COM
**
45,764

MATSON INC COM
**
64,484

MATTEL INC 2.35% DUE 05-06-2019
**
493,690

MATTHEWS INTL CORP CL A CL A
**
139,973

MAXAR TECHNOLOGIES LTD COM
**
142,597

MAXIMUS INC COM
**
5,098,643

MAXLINEAR INC COMMON STOCK
**
3,838,562

MAZDA MOTOR CORP NPV
**
1,842,713

MB FINL INC NEW COM
**
264,939

MBIA INC COM
**
96,573

MBT FINL CORP COM
**
23,903

MCCLATCHY CO CL A NEW CL A NEW
**
3,751

MCDERMOTT INTL INC COM
**
185,299

MCDONALDS CORP 2.75% DUE 12-09-2020
**
3,233,200

MCDONALDS CORP 4.875% DUE 07-15-2040
**
138,366

MCDONALDS CORP MEDIUM TERM NTS BOOK ENTRY SR NT 5.35% DUE 03-01-2018
**
563,336

MCGRATH RENTCORP COM
**
120,363

MCKESSON CORP
**
6,758,249

MCKESSON CORP 4.75% DUE 03-01-2021
**
307,350

MCKESSON CORP NEW 2.284% DUE 03-15-2019
**
918,175

MEAD JOHNSON 4.9% DUE 11-01-2019
**
403,224

MEBUKI FINANCIAL GROUP INC NPV
**
221,116

MEDCO HLTH NT 4.125 DUE 09-15-2020
**
290,560

MEDICAL PPTYS TR INC COM REIT
**
307,032

MEDIDATA SOLUTIONS INC COM
**
2,304,133

MEDNAX INC COM
**
2,769,635

MEDTRONIC GLOBAL 1.7% DUE 03-28-2019
**
6,253,932

MEDTRONIC GLOBAL HLDGS 3.35% 04-01-2027
**
153,910

MEDTRONIC INC 1.375% DUE 04-01-2018
**
219,773

MEDTRONIC INC 1.5% DUE 03-15-2018
**
2,804,979

MEDTRONIC INC 2.5% DUE 03-15-2020
**
7,433,741

MEDTRONIC INC 3.125 DUE 03-15-2022 REG
**
265,726

MEDTRONIC INC 3.5% DUE 03-15-2025 REG
**
9,813,303

MEDTRONIC PLC COMMON STOCK STOCK
**
26,625,375

MELIA HOTELS INTL EUR0.2
**
1,759,756


122
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MELINTA THERAPEUTICS INC COM USD0.001
**
23,605

MELLON FDG CORP MELLON FDG SUBNT 5.5000000 20181115 20031106 11-15-18 BEO
**
448,623

MERCANTILE BK CORP COM
**
61,615

MERCEDES-BENZ AUTO 1.15% DUE 01-15-2019
**
1,280,884

MERCEDES-BENZ AUTO 1.26% DUE 02-16-2021
**
1,682,491

MERCEDES-BENZ AUTO 1.35% DUE 08-15-2019
**
648,787

MERCEDES-BENZ AUTO 1.46% DUE 12-15-2022
**
2,167,651

MERCEDES-BENZ AUTO RECEIVABLES SR 15-1 CL-A3 DUE 12-16-2019
**
1,987,716

MERCER INTL INC COM SH BEN INT
**
114,500

MERCK & CO INC NEW 1.85% DUE 02-10-2020
**
2,844,061

MERCK & CO INC NEW 3.875% DUE 01-15-2021
**
2,537,486

MERCK & CO INC NEW COM
**
7,286,008

MERCK & CO INC NEW FIXED 2.75% DUE 02-10-2025
**
298,786

MERCK KGAA NPV
**
5,587,478

MERCURY SYSTEMS INC
**
2,076,081

MEREDITH CORP COM
**
2,892,792

MERIDIAN BANCORP INC MD COM
**
117,523

MERIT MED SYS INC COM
**
190,382

MERITAGE HOMES CORP COM
**
199,424

MERRILL LYNCH & CO INC MEDIUM TERM NTS BTRANCHE # TR 00677 6.875% DUE 04-25-2018
**
2,335,137

MERRILL LYNCH MTG FLTG RT 1.98135% DUE 07-25-2030
**
219,133

MERRILL LYNCH MTG FLTG RT 2.35635% DUE 09-25-2035
**
871,179

MERRIMACK PHARMACEUTICALS INC COM NEW COM NEW
**
8,805

MET LIFE GLOBAL 1.35% DUE 09-14-2018
**
6,097,767

MET LIFE GLOBAL 1.55% DUE 09-13-2019
**
924,363

MET LIFE GLOBAL 2.05% DUE 06-12-2020
**
1,985,484

MET LIFE GLOBAL 2.65% DUE 04-08-2022
**
1,284,775

MET LIFE GLOBAL 3.875% DUE 04-11-2022
**
298,867

MET LIFE GLOBAL FLTG RT 1.94878% DUE 06-12-2020
**
2,083,750

META FINL GROUP INC COM
**
79,586

METAIR INVESTMENTS ZAR0.00
**
906,949

METHANEX CORP COM NPV
**
2,191,526

METHODE ELECTRS INC COM
**
115,167

METLIFE INC 5.7% DUE 06-15-2035
**
101,342

METLIFE INC 6.4% DUE 12-15-2066
**
4,802,544

METLIFE INC 7.717% DUE 02-15-2019
**
722,515

METLIFE INC COM STK USD0.01
**
10,674,581

METRO INC COM NPV
**
126,248

METRO PACIFIC INVE PHP1
**
56,037

METROPOLIS TOKYO BD 144A 2% DUE 05-17-2021 BEO
**
877,294

METROPOLITAN BANK PHP20
**
65,326

METROPOLITAN TRANSN AUTH N Y REV 6.668% 11-15-2039 BEO TAXABLE
**
424,629

MEXICHEM SAB DE CV
**
375,310

MEXICO(UNITED MEXICAN STATES) 4.0% 15/03/2115
**
579,116

*MFB NT COLLECTIVE AGGREGATE BOND INDEX FUND-NON LENDING
**
5,213,161,170

*MFB NT COLLECTIVE RUSSELL 2000 INDEX FUND - DC - NON LENDING (TIER J)
**
3,272,418,227

MFO AEW GLOBAL PROPERTIES TRUST FUND DC PLAN CALSS B
**
444,014,504


123
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MFO JPMORGAN MBS FUND COMMINGLED
**
80,615,766

MFO PIMCO FDS PAC INVT MGMT SER SHORT-TERM PORTFOLIO INSTL CL
**
2,132,352

MFO PIMCO FDS PAC INVT MGMT SER INVT GRADE CORP PORTFOLIO INSTL CL
**
10,995,479

MFO PIMCO PAPS ASSET BACKED SECURITIES
**
44,170,738

MFO PIMCO SHORT TERM FLOATING NAV II
**
77,970,637

*MFO SSGA GLOBAL ALL CAP EQUITY EX US INDEX NL FUND CLASS A
**
6,623,426,868

MFO WTC CIF II DIVERSIFIED REAL ASSETS SERIES
**
462,643,022

MFO WTC CIF II GLOBAL EQUITY SERIES 3
**
630,395,501

MFRS & TRADERS TR 1.45 DUE 03-07-2018
**
249,885

MFRS & TRADERS TR 2.25% DUE 07-25-2019
**
400,385

MFRS & TRADERS TR CO BK NT PROGRAM 2.1% DUE 02-06-2020
**
3,936,965

MFRS & TRADERS TR CO BK NT PROGRAM 2.3 DUE 01-30-2019
**
1,153,130

MICHAEL KORS HOLDINGS LTD COM NPV
**
468,285

MICHELIN (CGDE) EUR2
**
2,128,290

MICROSEMI CORP COM
**
3,587,093

MICROSOFT CORP 1.55% DUE 08-08-2021
**
167,472

MICROSOFT CORP 1.85% DUE 02-12-2020
**
552,849

MICROSOFT CORP 2% DUE 08-08-2023
**
131,140

MICROSOFT CORP 2.375 DUE 05-01-2023
**
198,315

MICROSOFT CORP 2.4% DUE 08-08-2026
**
3,028,106

MICROSOFT CORP 2.875% DUE 02-06-2024
**
366,226

MICROSOFT CORP 3.3% DUE 02-06-2027
**
5,260,655

MICROSOFT CORP 3.45% DUE 08-08-2036
**
221,663

MICROSOFT CORP COM
**
85,701,157

MICROSOFT CORP FIXED 1.85% DUE 02-06-2020
**
10,399,158

MICRO-STAR INTL TWD10
**
802,756

MICROSTRATEGY INC CL A NEW
**
75,629

MIDAMERICAN ENERGY 5.75% DUE 04-01-2018
**
2,245,968

MIDDLEBY CORP COM
**
4,021,915

MIDLAND STS BANCORP INC ILL COM
**
16,240

MIDSOUTH BANCORP INC COM
**
14,933

MIDWESTONE FINL GROUP INC NEW COM STK
**
49,390

MILACRON HLDGS CORP COM
**
78,015

MILLER INDS INC TENN COM NEW
**
29,077

MINDBODY INC COM CL A COM CL A
**
2,417,456

MINEBEA MITSUMI INC
**
602,317

MINERAL DEPOSITS NPV
**
36,071

MINERALS TECHNOLOGIES INC COM
**
2,603,356

MIRATI THERAPEUTICS INC COM
**
79,862

MIRVAC GROUP STAPLED SECURITIES
**
156,774

MISTRAS GROUP INC COM
**
57,314

MITCHAM INDS INC COM
**
3,573

MITSUBISHI CORP NPV
**
721,479

MITSUBISHI ELEC CP NPV
**
593,314

MITSUBISHI ESTATE CO LTD
**
347,585

MITSUBISHI GAS CHM NPV
**
1,697,726

MITSUBISHI UFJ 2.527% DUE 09-13-2023
**
1,168,841


124
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MITSUBISHI UFJ 2.95% DUE 03-01-2021
**
4,923,526

MITSUBISHI UFJ FIN NPV
**
1,705,590

MITSUBISHI UFJ FINANCIAL GROUP INC 2.19%BNDS 09-13-2021
**
8,051,605

MITSUBISHI UFJ FINL GROUP INC 2.998% 02-22-2022
**
29,184

MITSUI CHEMICALS NPV
**
141,644

MITSUI FUDOSAN CO LTD NPV
**
347,555

MITSUI O.S.K.LINES NPV
**
140,251

MIURA CO LTD NPV
**
1,932,525

MIXI. INC NPV
**
732,328

MIZUHO FINANCE(CAYMAN) 4.6 SUB BDS 03-27-2024 USD200000 'REGS'
**
5,287,110

MIZUHO FINANCIAL GROUP NPV
**
447,482

MIZUHO FINL GROUP 2.601% DUE 09-11-2022
**
393,705

MIZUHO FINL GROUP 2.632% DUE 04-12-2021
**
1,984,384

MIZUHO FINL GROUP 2.953% DUE 02-28-2022
**
1,501,469

MIZUHO FINL GROUP FLTG RT 2.70347% DUE 09-13-2021
**
3,363,857

MIZUHO FINL GROUP INC SR NT FLTG RATE DUE 09-11-2022 REG
**
1,308,788

MKS INSTRS INC COM
**
141,089

MLP APOLLO GLOBAL MGMT LLC CL A SHS
**
3,514,350

MLP SE NPV
**
280,893

MMC NORILSK NICKEL ADR EACH REPR 1/10 SHARE (S
**
192,931

MMI HOLDINGS LIMIT ZAR0.000001
**
194,398

MOBILE MINI INC COM
**
155,595

MOBILE TELESYSTEMS PJSC ADR
**
451,111

MODINE MFG CO COM STK
**
116,211

MOELIS & CO CL A CL A
**
2,330,134

MOF OF CZECH 20/04/2018
**
564,583

MOLINA HEALTHCARE INC COM
**
2,242,430

MOLSON COORS 1.45% DUE 07-15-2019
**
3,253,836

MOLSON COORS 3.5 DUE 05-01-2022
**
246,505

MOLSON COORS FIXED 2.25% DUE 03-15-2020
**
2,984,871

MONADELPHOUS GROUP NPV
**
444,992

MONARCH CASINO & RESORT INC COM
**
46,747

MONDELEZ INTL INC COM
**
9,931,012

MONDI LTD NPV
**
209,642

MONDI PLC GBP
**
1,160,061

MONMOUTH REAL ESTATE CORP MD
**
69,331

MONOTYPE IMAGING HLDGS INC COM STK
**
36,897

MONRO INC COM USD0.01
**
125,062

MONSANTO CO NEW COM
**
3,372,490

MONSTER BEVERAGE CORP NEW COM
**
8,269,218

MOODYS CORP 2.75 07-15-2019
**
5,694,707

MOODYS CORP 5.25% DUE 07-15-2044
**
603,978

MOODYS CORP COM
**
5,912,371

MOOG INC CL A
**
217,125

MORGAN STANLEY 2.2% DUE 12-07-2018
**
380,435

MORGAN STANLEY 2.5% DUE 04-21-2021
**
8,096,424

MORGAN STANLEY 2.625% DUE 11-17-2021
**
6,365,858


125
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MORGAN STANLEY 2.65% DUE 01-27-2020
**
2,482,157

MORGAN STANLEY 2.75% DUE 05-19-2022
**
9,674,355

MORGAN STANLEY 2.8% DUE 06-16-2020
**
8,132,725

MORGAN STANLEY 3.125% DUE 07-27-2026
**
1,477,522

MORGAN STANLEY 3.625% DUE 01-20-2027
**
4,278,038

MORGAN STANLEY 3.75% DUE 02-25-2023
**
2,119,358

MORGAN STANLEY 3.875% DUE 01-27-2026
**
1,167,450

MORGAN STANLEY 3.875% DUE 04-29-2024
**
2,505,782

MORGAN STANLEY 3.971% 07-22-2038
**
585,054

MORGAN STANLEY 4.1% DUE 05-22-2023
**
797,008

MORGAN STANLEY 4.3% DUE 01-27-2045
**
230,816

MORGAN STANLEY 4.35 DUE 09-08-2026
**
3,405,542

MORGAN STANLEY 5.5% DUE 01-26-2020
**
2,294,268

MORGAN STANLEY 5.5% DUE 07-28-2021
**
1,640,757

MORGAN STANLEY 5.625% DUE 09-23-2019
**
1,633,413

MORGAN STANLEY 5.75% DUE 01-25-2021
**
3,378,182

MORGAN STANLEY 7.3% DUE 05-13-2019
**
4,051,218

MORGAN STANLEY ABS CAP I INC 2005-HE1 CLM1 FLT RT DUE 12-25-2034
**
6,997,578

MORGAN STANLEY BK 2.655% DUE 02-15-2046
**
8,060,269

MORGAN STANLEY BK 2.982% DUE 07-15-2050
**
3,034,956

MORGAN STANLEY BK 3.077% DUE 03-15-2048
**
2,009,328

MORGAN STANLEY BK 3.101% DUE 12-15-2047
**
17,242,420

MORGAN STANLEY BK 3.372% DUE 10-15-2048
**
7,780,538

MORGAN STANLEY BK 3.473% DUE 12-15-2047
**
5,976,001

MORGAN STANLEY BK 4.051 DUE 04-15-2047
**
1,167,956

MORGAN STANLEY BK 4.11% DUE 10-15-2047
**
2,274,587

MORGAN STANLEY BK AMER MERRILL LYNCH TR 2017-C34 CL A-SB 3.354% 11-15-2052
**
2,269,973

MORGAN STANLEY CAP 3.049% DUE 11-15-2049
**
1,882,550

MORGAN STANLEY CAP 3.261% DUE 05-15-2048
**
8,302,743

MORGAN STANLEY FIXED 1.875% DUE 01-05-2018
**
16,487,703

MORGAN STANLEY FIXED 3.7% DUE 10-23-2024
**
454,664

MORGAN STANLEY FORMERLY MORGAN STANLEY 3.591% 07-22-2028
**
504,602

MORGAN STANLEY GLOBAL MEDIUM TERM NT SERF 6.625% DUE 04-01-2018/04-01-2008
**
6,930,103

MORGAN STANLEY SR NT 2.45% DUE 02-01-2019
**
5,749,527

MORINAGA & CO NPV
**
750,276

MORNEAU SHEPHELL I COM STK
**
658,686

MOSAIC CO NEW 3.25% DUE 11-15-2022
**
529,329

MOSAIC CO NEW 4.25% DUE 11-15-2023
**
155,327

MOSAIC CO NEW 5.45% DUE 11-15-2033
**
255,928

MOSAIC CO/THE
**
767,773

MOTORCAR PTS & ACCESSORIES INC COM
**
52,954

MOVADO GROUP INC COM
**
59,409

MPLX LP 4.875% DUE 12-01-2024
**
123,959

MPLX LP FIXED 4.125% DUE 03-01-2027
**
906,451

MRC GLOBAL INC COM
**
101,740

MS&AD INS GP HLDGS NPV
**
1,771,272

MTS SYS CORP COM
**
76,039


126
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MTU AERO ENGINES A NPV (REGD)
**
3,210,151

MUENCHENER RUECKVE NPV(REGD)
**
1,393,545

MUFG AMERS HLDGS CORP 2.25% DUE 02-10-2020
**
4,811,730

MULESOFT INC CL A CL A
**
2,902,848

MULTI-COLOR CORP COM
**
10,704

MULTIPLUS SA COMSTK
**
564,930

MUNICIPAL ELEC AUTH GA 6.637% 04-01-2057BEO TAXABLE
**
12,818

MUNICIPAL ELEC AUTH GA 6.655% 04-01-2057BEO TAXABLE
**
2,638,862

MURPHY OIL CORP COM
**
14,943,185

MUTUALFIRST FINL INC COM
**
27,486

MYERS INDS INC COM
**
10,901

MYLAN INC FORMERLY 2.6 DUE 06-24-2018
**
5,008,310

MYLAN INC FORMERLY MYLAN LABS INC TO 10 2.55 DUE 03-28-2019 REG
**
330,007

MYLAN N V FIXED 2.5% DUE 06-07-2019
**
5,907,885

MYLAN N V FIXED 3.15% DUE 06-15-2021
**
201,117

MYLAN N V FIXED 3.75% DUE 12-15-2020
**
510,929

MYLAN N V FIXED 3.95% DUE 06-15-2026
**
1,714,224

MYR GROUP INC DEL COM STK
**
76,891

MYRIAD GENETICS INC COM
**
128,588

N W PIPE CO COM
**
1,808,749

N.E BANCORP COM NEW
**
28,498

NABORS IND INC 4.625% DUE 09-15-2021
**
571,500

NABORS IND INC 5% DUE 09-15-2020
**
24,938

NABORS INDS INC 6.15% DUE 02-15-2018
**
3,408,500

NABORS INDUSTRIES COM USD0.10
**
194,737

NACCO IND INC CL A COM
**
23,155

NAGAILEBEN CO NPV
**
620,434

NAMPAK ZAR0.05
**
365,275

NANOMETRICS INC COM DELAWARE
**
78,224

NASDAQ INC
**
8,600,427

NASDAQ INC SR NT FLTG RATE 03-22-2019
**
3,400,809

NASPERS 'N' ZAR0.02
**
2,853,386

NATERA INC COM
**
265,277

NATIONAL AUSTRALIA BANK FLTG 144A DUE 04-17-2019
**
6,607,013

NATIONAL BK CDA N Y BRH INSTL CTF DEP PRDTD 08-14-2017 FLTG DUE 02-14-2019
**
7,255,517

NATIONAL BK HLDGS CORP CL A COM STK
**
2,248,696

NATIONAL CITY CORP 6.875% DUE 05-15-2019
**
1,378,306

NATIONAL COMM CORP COM
**
51,802

NATIONAL GEN HLDGS CORP COM
**
116,230

NATIONAL HEALTH INVS INC COM
**
67,842

NATIONAL INSTRS CORP COM
**
2,489,474

NATIONAL OILWELL VARCO COM STK
**
7,167,980

NATIONAL PRESTO INDS INC COM
**
61,162

NATIONAL RETAIL PPTYS INC COM STK
**
390,025

NATIONAL RURAL UTILS COOP FIN CORP MEDIUM TERM NTS 1.5% 11-01-2019
**
4,432,941

NATIONAL RURAL UTILS COOP FIN CORP MEDIUVAR RT DUE 04-05-2019
**
7,091,866

NATIONAL STORAGE AFFILIATES TR COM SHS BEN INT COM SHS BEN INT
**
46,342


127
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NATIONAL STORAGE R REIT STAPLED UNIT
**
39,572

NATIONAL WESTN LIFE GROUP INC CL A COMMON STOCK
**
135,718

NATIONSTAR MTG HLDGS INC COM STK
**
155,567

NATL AUSTRALIA BK 2% DUE 01-14-2019
**
5,606,764

NATL AUSTRALIA BK 2.25% DUE 01-10-2020
**
5,224,791

NATL AUSTRALIA BK 2.4% DUE 12-07-2021
**
14,940,525

NATL AUSTRALIA BK LTD GLOBAL MEDIUM TR # SR 00047 144A 4.375 12-10-2020
**
793,029

NATL BK CDA MEDIUM 2.1% DUE 12-14-2018
**
249,779

NATL BK CDA MEDIUM 2.15% DUE 06-12-2020
**
298,296

NATL BK CDA MEDIUM FLTG RT 2.10878% DUE 06-12-2020
**
7,264,665

NATL HEALTHCARE CORP COM
**
87,449

NATL RETAIL PPTYS 3.6% DUE 12-15-2026
**
20,823

NATL RETAIL PPTYS 3.9% DUE 06-15-2024
**
82,035

NATL RETAIL PPTYS 4% DUE 11-15-2025
**
137,458

NATL RETAIL PPTYS 5.5% DUE 07-15-2021
**
433,714

NATL RURAL UTILS 1.65% DUE 02-08-2019
**
2,498,339

NATL RURAL UTILS 2.3% DUE 11-15-2019
**
150,414

NATL RURAL UTILS 2.35% DUE 06-15-2020
**
200,529

NATL RURAL UTILS 2.4% DUE 04-25-2022
**
59,659

NATL RURAL UTILS 2.95% DUE 02-07-2024
**
6,210,230

NATL RURAL UTILS 5.45% DUE 02-01-2018
**
300,814

NATURAL GAS SVCS GROUP INC COM
**
42,627

NATURAL GROCERS BY VITAMIN COTTAGE INC COM USD0.001
**
23,968

NATURES SUNSHINE PRODS INC COM
**
9,413

NATUS MED INC DEL COM
**
77,431

NAUTILUS INC COM
**
26,700

NAVIENT CORP 5% DUE 10-26-2020
**
304,125

NAVIENT CORP COM
**
347,812

NAVIENT CORP FIXED 8.45% DUE 06-15-2018
**
717,850

NAVIGANT CONSULTING INC COM
**
97,186

NAVIGATORS GROUP INC COM
**
139,769

NAVISTAR INTL CORP NEW COM
**
1,057,807

NBCUNIVERSAL MEDIA 5.15% DUE 04-30-2020
**
1,678,030

NBCUNIVERSAL MEDIA LLC SR NT 2.875 01-15-2023
**
429,312

NBCUNIVERSAL MEDIA LLC SR NT 4.375 4-1-2021
**
2,220,449

NBT BANCORP INC COM
**
162,178

NCSOFT CORP KRW500
**
284,911

NCUA GTD NTS TR 2010-R3 SR III-A NT 2.4%DUE 12-08-2020 BEO
**
186,272

NEKTAR THERAPEUTICS COM
**
1,248,148

NELNET INC CL A CL A
**
185,266

NELNET STUD LN 2004-4 CL B FLTG DUE 01-25-2041
**
3,563,483

NELNET STUDENT LN TR 2007-1 LN ASSET BKDNT CL B-2 VAR RATE 08-25-2037 REG
**
6,726,348

NEOGEN CORP COM
**
1,221,641

NEOPHOTONICS CORP
**
29,748

NEPI ROCKCASTLE PL ORD EUR0.01
**
114,135


9

128
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NESTE OYJ NPV
**
2,090,514

NESTLE SA CHF0.10(REGD)
**
27,244,071

NETAPP INC 3.375 DUE 06-15-2021
**
101,836

NETAPP INC FIXED 2% 09-27-2019
**
2,976,759

NETFLIX INC COM STK
**
18,227,178

NETGEAR INC COM
**
210,736

NETSCOUT SYS INC COM
**
255,993

NETWORK-1 TECHNOLOGIES INC COM
**
6,960

NEUROCRINE BIOSCIENCES INC COM
**
4,914,163

NEVADA PWR CO 7.125% DUE 03-15-2019
**
512,916

NEW HOME CO INC COM
**
14,096

NEW MEDIA INVT GROUP INC COM
**
107,325

NEW RELIC INC COM
**
3,597,453

NEW SR INVT GROUP INC COM
**
38,488

NEW WORLD DEVELOPMENT CO HKD1
**
1,052,632

NEW YORK CMNTY BANCORP INC COM
**
565,263

NEW YORK LIFE CAP CORP FLTG 144A DUE 06-10-2022
**
803,819

NEW YORK LIFE GLOBAL FDG 2.3% DUE 06-10-2022 BEO
**
2,583,307

NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV 5.572% 11-01-2038 BEO TAXABLE
**
177,299

NEW YORK ST DORM AUTH ST PERS INCOME TAXREV 5.051% 09-15-2027 BEO TAXABLE
**
914,864

NEW YORK ST TWY AUTH SECOND GEN HWY & BRDG TR FD 5.449% 04-01-2025 BEO TAXABLE
**
1,477,489

NEW YORK TIMES CO CL A ISIN #US6501111073
**
1,657,397

NEW ZEALAND(GOVT) 2% ILN 20/09/25 NZD1000
**
79,004

NEWCREST MINING LTD NPV
**
229,994

NEWELL BRANDS INC 2.6% DUE 03-29-2019
**
669,278

NEWELL BRANDS INC 2.875% DUE 12-01-2019
**
5,549,227

NEWELL BRANDS INC 3.15% DUE 04-01-2021
**
1,981,928

NEWELL BRANDS INC 3.85% DUE 04-01-2023
**
1,324,494

NEWELL BRANDS INC 4.2% DUE 04-01-2026
**
1,086,184

NEWELL BRANDS INC COM
**
2,752,665

NEWGATE FUND.PLC FRN M/BKD 12/2050 GBP 'A3A'
**
1,693,435

NEWPARK RES INC COM PAR $0.01 NEW COM PAR $0.01 NEW
**
1,784,500

NEWS CORP COM CL A
**
28,157

NEWS CORP COM CL B
**
9,495

NEXEO SOLUTIONS INC COM SHS COM SHS
**
13,586

NEXON CO LTD NPV
**
845,838

NEXPOINT RESIDENTIAL TR INC COM
**
11,176

NEXSTAR MEDIA GROUP INC CL A CL A
**
186,976

NEXTERA ENERGY CAP 2.3% DUE 04-01-2019
**
3,038,349

NH FOODS LTD NPV
**
1,069,466

NHA MORTGAGE BACK. VAR M/BKD 01/07/2020 CAD
**
819,166

NHA MORTGAGE BACKE FRN M/BKD 08/2020 CAD
**
283,216

NHA MTG BACKED SECS 98001212 FLTG RT 01/06/2020
**
324,430

NIAGARA MOHAWK PWR 4.881% DUE 08-15-2019
**
923,896

NICHOLAS FINL INC BC COM NEW COM NEW
**
9,918

NICOLET BANKSHARES INC COM
**
21,896

NIEN MADE ENTERPRI TWD10
**
1,271,513


129
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NIHON PARKERIZING NPV
**
1,019,547

NIKE INC CL B
**
12,765,892

NINE DRAGONS PAPER HKD0.1
**
738,119

NINTENDO CO LTD NPV
**
291,306

NIPPON BUILDING FD REIT
**
166,380

NIPPON DENKO CO NPV
**
455,904

NIPPON ELECTRIC GLASS CO LTD
**
798,047

NIPPON EXPRESS CO NPV
**
1,182,306

NIPPON LIFE INS CO STEP CPN 5.1% DUE 10-16-2044
**
10,550,000

NIPPON TELEGRAPH & TELEPHONE CORP NPV
**
4,631,295

NISOURCE FIN CORP 5.65% DUE 02-01-2045
**
110,195

NISOURCE FIN CORP 6.4% DUE 03-15-2018
**
54,460

NISOURCE FIN CORP 6.8% DUE 01-15-2019
**
106,602

NISOURCE INC COM
**
3,478,182

NISSAN AUTO 1.06% DUE 02-15-2019
**
163,004

NISSAN AUTO 1.07% DUE 05-15-2019
**
516,605

NISSAN AUTO 1.11% DUE 05-15-2019
**
116,192

NISSAN AUTO 1.3% DUE 06-15-2020
**
302,697

NISSAN AUTO 1.32% DUE 01-15-2021
**
472,709

NISSAN AUTO 1.54% DUE 10-17-2022
**
6,261,348

NISSAN AUTO 1.56% DUE 05-15-2020
**
6,081,294

NISSAN AUTO 1.59% DUE 07-15-2022
**
2,174,245

NISSAN AUTO 1.95% DUE 10-16-2023
**
1,586,408

NISSAN AUTO LEASE 1.61000001431% DUE 01-18-2022
**
1,144,945

NISSAN AUTO LEASE TR 2017-B CL A-3 2.05% 09-15-2020
**
1,178,242

NISSAN AUTO RECEIVABLES 2017-C CL A-3 2.12% 04-18-2022
**
5,083,221

NISSAN AUTO RECEIVABLES 2017-C CL A-4 2.28% 02-15-2024
**
1,994,672

NISSAN MASTER OWNER TR RECEIVABLES SER 2017-C CL A FRN 10-17-2022
**
14,483,708

NISSAN MOTOR ACCEPTANCE CORP NT 144A 1.8 USD1000 144A 03-15-2018 BEO
**
219,977

NISSAN MTR ACCEP 1.55% DUE 09-13-2019
**
244,906

NISSAN MTR ACCEP 1.9% DUE 09-14-2021
**
895,997

NISSAN MTR ACCEP 2.15% DUE 09-28-2020
**
3,709,085

NISSAN MTR ACCEP 2.35% DUE 03-04-2019
**
200,239

NISSAN MTR ACCEP CORP SR NT FLTG RATE 144A VAR RT DUE 01-13-2022
**
911,206

NISSHA CO LTD NPV
**
547,403

NITTO KOHKI CO LTD NPV
**
1,210,149

NL INDS INC COM NEW
**
26,291

NMI HLDGS INC CL A CL A
**
97,665

NN GROUP N.V. EUR0.12
**
823,102

NN INC COM
**
82,110

NOBLE CORP PLC COMMON STOCK
**
105,632

NOBLE ENERGY INC 3.85% DUE 01-15-2028
**
2,076,328

NOBLE ENERGY INC 3.9% DUE 11-15-2024
**
4,472,600

NOBLE ENERGY INC 4.15% DUE 12-15-2021
**
4,032,617

NOBLE ENERGY INC 5.625% DUE 05-01-2021
**
44,169

NOK CORP NPV
**
165,407

NOKIA OYJ EUR0.06
**
399,416


130
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NOMURA ASSET ACCEP CORP ALTERNATIVE CL I-A-5 FLTG RATE DUE 03-25-2047 REG
**
3,365,290

NOMURA HLDGS INC 2.75% DUE 03-19-2019
**
2,342,386

NOMURA REAL ESTATE MASTER FU
**
969,900

NOMURA RL EST INC NPV
**
33,645

NORDEA BK AG 2.375% DUE 04-04-2019
**
503,018

NORDEA HYPOTEK AB MTN 1.0% 08/04/2022
**
1,191,133

NORDEA KREDIT REALKREDITAKTIE 2.5% 01/10/2047
**
456

NORDEA REALKREDIT 2% SNR SEC 01/10/47 DKK0.01
**
1,583,711

NORDEA REALKREDIT 2.5% BDS 10/01/37 DKK0.01
**
23,037

NORDIC AMERICAN OFFSHORE LTD COMMON STOCK
**
447

NORDSON CORP COM
**
4,758,000

NORDSTROM INC 4 DUE 10-15-2021
**
62,064

NORDSTROM INC 4.75% DUE 05-01-2020
**
2,459,454

NORDSTROM INC COM
**
1,349,335

NORFOLK SOUTHN 3.25 DUE 12-01-2021
**
235,677

NORFOLK SOUTHN 3.95 DUE 10-01-2042
**
25,614

NORFOLK SOUTHN 4.45% DUE 06-15-2045
**
780,413

NORFOLK SOUTHN 5.75% DUE 04-01-2018
**
827,484

NORFOLK SOUTHN 5.9% DUE 06-15-2019
**
2,186,656

NORINCHUKIN BK NEW YORK BRH 12-07-2017 1.7% CTF OF DEP 06-29-2018
**
13,010,734

NORTH AMERN DEV BK NT 2.3% DUE 10-10-2018 REG
**
7,617,512

NORTH AMERN DEV BK NT 4.375% DUE 02-11-2020 REG
**
2,083,946

NORTHFIELD BANCORP INC DEL COM USD0.01
**
89,277

*NORTHN TR CO 6.5% DUE 08-15-2018
**
513,731

NORTHRIM BANCORP INC COM
**
24,270

NORTHROP GRUMMAN 2.08% DUE 10-15-2020
**
5,256,805

NORTHROP GRUMMAN 2.55% DUE 10-15-2022
**
1,628,315

NORTHROP GRUMMAN 2.93% DUE 01-15-2025
**
8,071,759

NORTHROP GRUMMAN 3.25% DUE 01-15-2028
**
3,905,698

NORTHROP GRUMMAN 5.05% DUE 08-01-2019
**
1,227,780

NORTHROP GRUMMAN 7.75% DUE 02-15-2031
**
35,618

NORTHROP GRUMMAN CORP COM
**
13,274,778

NORTHSTAR RLTY EUROPE CORP COM
**
21,528

NORTHWEST AIRLS PASS THRU TRS NORTHWEST AIRLINES INC P/THRU STEP UP 05-20-2023
**
241,861

NORTHWEST BANCSHARES INC MD COM
**
168,705

NORWAY(KINGDOM OF) 3.75% SNR 25/05/21 NOK1000
**
107,128

NORWOOD FINL CORP COM
**
19,338

NOVANTA INC NOVANTA INC
**
110,850

NOVARTIS AG CHF0.50 (REGD)
**
11,414,833

NOVARTIS CAP CORP 3.4% DUE 05-06-2024
**
426,386

NOVASTAR MTG FDG FLTG RT 2.64135% DUE 06-25-2035
**
201,894

NOVATEK MICROELECTRONICS CORP TWD10
**
537,024

NOVATEK PJSC GDR EACH REPR 10 ORD 'REG S
**
173,874

NOVOCURE LTD COM USD0.00
**
1,092,699

NOVOLIPETSK STEEL GDR EACH REP 10 RUB1 'REGS'
**
476,474

NOVO-NORDISK AS DKK0.2 SERIES'B'
**
11,732,105

NOW INC COM
**
164,501


131
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NRG ENERGY INC COM NEW
**
242,222

*NT COLLECTIVE S&P500 INDEX FUND-DC-NON LENDING (TIER J)
**
13,405,393,389

NTPC LTD INR10
**
98,703

NTT DOCOMO NPV
**
578,862

NTT FINANCE CORP 1.9% SNR EMTN 21/07/21 USD
**
390,308

NUCOR CORP 4% DUE 08-01-2023
**
157,063

NUCOR CORP 5.85% DUE 06-01-2018
**
634,482

NUCOR CORP 6.4% DUE 12-01-2037
**
33,470

NUTANIX INC CL A CL A
**
3,764,905

NUVECTRA CORP COM
**
6,363

NV5 GLOBAL INC COMMON STOCK
**
40,883

NVIDIA CORP COM
**
9,360,950

NY & CO INC COM STK
**
12,018

NY N Y TAXABLE-BUILD AMER BDS-F-1 6.646 DUE 12-01-2031/12-01-2020 BEO
**
112,130

NYKREDIT 2.5% 01/10/2014
**
9,873

NYKREDIT REALKREDI 1% CVD BDS 01/04/18 DKK0.01
**
712,314

NYKREDIT REALKREDI 2% CVD BDS 01/10/47 DKK0.01
**
2,462,363

NYKREDIT REALKREDI 2.5% SNR SEC 01/10/2037 DKK
**
338,240

NYKREDIT REALKREDI 3% SNR SEC 01/10/47 DKK0.01
**
10,144

NYKREDIT REALKREDIT A/S 2% DUE 01/10/37
**
301,326

O REILLY 4.625% DUE 09-15-2021
**
3,718,873

O REILLY AUTOMOTIVE INC NEW 3.6% DUE 09-01-2027
**
56,206

OASIS PETE INC NEW COM STK
**
196,432

OBAYASHI CORP NPV
**
1,169,610

OBIC CO LTD NPV
**
2,396,970

OC OERLIKON CORP CHF1 (REGD)
**
941,554

OCCIDENTAL PETE 2.7% DUE 02-15-2023
**
405,251

OCCIDENTAL PETE 3% DUE 02-15-2027
**
1,759,649

OCCIDENTAL PETE 3.125% DUE 02-15-2022
**
502,350

OCCIDENTAL PETE 3.4% DUE 04-15-2026
**
1,689,795

OCCIDENTAL PETE 4.1% DUE 02-01-2021
**
670,296

OCCIDENTAL PETROLEUM CORP
**
7,137,359

OCEANEERING INTL INC COM
**
208,588

OCEANFIRST FINL CORP COM
**
2,374,943

OCI CO LTD KRW5000
**
120,802

OCWEN FINL CORP COM NEW COM NEW
**
31,331

ODEBRECHT OFFSHORE DRILLING FINANCE 6.72% DUE 12-01-2022
**
156,235

ODEBRECHT OFFSHORE DRILLING FINANCE 7.72% 12-01-2026
**
428,924

ODEBRECHT OIL & FINANCE ODEBRECHT OIL & FINANCE VAR RT 12-31-2099
**
70,954

OFFICE DEPOT INC COM
**
156,599

OFG BANCORP COM
**
38,540

OHIO PWR CO 5.375% DUE 10-01-2021
**
769,583

OHIO STATE 4.534% 05-01-2021 BEO TAXABLE
**
10,765,500

OHIO STATE 4.654% 05-01-2022 BEO TAXABLE
**
10,940,400

OIL & NATURAL GAS
**
82,866

OIL CO LUKOIL PJSC ADR EACH REPR 1 ORD RUB0.02
**
515,705

OIL DRI CORP AMER COM
**
21,248


132
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
OIL STS INTL INC COM ISIN US6780261052
**
145,038

OK GAS & ELEC CO 8.25% DUE 01-15-2019
**
5,970,959

OKI ELECTRIC IND NPV
**
357,474

OKINAWA CELLULAR NPV
**
378,774

OKINAWA ELEC POWER NPV
**
1,045,702

OLD 2ND BANCORP INC DEL COM
**
40,568

OLD DOMINION FGHT LINE INC COM
**
4,324,706

OLD LINE BANCSHARES INC COM STK
**
26,496

OLD MUTUAL PLC ORD GBP0.114285714
**
255,178

OLD NATL BANCORP IND COM
**
256,864

OLD REP INTL CORP COM
**
497,448

OLIN CORP COM
**
290,938

OLYMPIC STL INC COM
**
32,407

OLYMPUS CORP NPV
**
5,093,443

OMEGA HEALTHCARE INVS INC REIT
**
334,336

OMNICELL INC COM
**
904,816

OMNICOM GROUP INC 3.625% DUE 05-01-2022
**
1,662,098

OMNICOM GROUP INC COM
**
10,717,517

OMNICOM GROUP INC SR NT 4.45 DUE 08-15-2020
**
4,196,184

ON ASSIGNMENT INC COM
**
243,648

ON DECK CAP INC COM
**
34,147

ONCOR ELEC 2.15% DUE 06-01-2019
**
199,102

ONE GAS INC COM
**
3,928,568

ONE LIBERTY PPTYS INC COM
**
23,898

ONEMAIN DIRECT 2.04% DUE 01-15-2021
**
393,741

ONEMAIN DIRECT 2.31% DUE 12-14-2021
**
3,496,362

ONEMAIN DIRECT 2.82% DUE 07-15-2024
**
952,734

ONEMAIN HLDGS INC COM
**
165,192

ONEOK INC NEW 4% DUE 07-13-2027
**
1,140,219

ONEOK PARTNERS L P 3.2% DUE 09-15-2018
**
291,690

ONEOK PARTNERS L P 3.375% DUE 10-01-2022
**
2,854,865

ONEOK PARTNERS L P 3.8% DUE 03-15-2020
**
3,832,346

ONEOK PARTNERS L P 4.9% DUE 03-15-2025
**
268,056

ONT TEACHERS 3.125% DUE 03-20-2022
**
975,844

ONTARIO PROV CDA BD 2.5% DUE 09-10-2021 REG
**
4,404,224

ONTARIO PROV CDA BD 4.4% DUE 04-14-2020 REG
**
539,396

ONTARIO PROV CDA PROV OF ON 2.5% 2.5% DUE 04-27-2026 BEO
**
29,516,120

ONTARIO PROV CDA USD BD 1.65% DUE 09-27-2019 REG
**
113,994

ONTARIO(PROV OF) 0.024% BDS 02/06/26 CAD1
**
2,443,333

ONTARIO(PROV OF) 4.2% DEB 02/06/20 CAD1000
**
252,293

OOREDOO QSC 3.039% 03/12/2018
**
1,508,706

OPEN TEXT CO COM NPV
**
192,478

OPPENHEIMER HLDGS INC CL A NON VTG SHS CL A NON VTG SHS
**
38,458

OPTION ONE MTG LN TR SER 2005-2 CL M-1 FLTG RT 05-25-2035
**
873,574

OPUS BK IRVINE CALIF FORMERLY OPUS BK REDONDO BEACH CALIF TO 04/11/2014 COM
**
113,923

ORACLE CORP 1.9% DUE 09-15-2021
**
7,721,190

ORACLE CORP 2.25% DUE 10-08-2019
**
1,130,086


133
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ORACLE CORP 2.4% DUE 09-15-2023
**
5,194,218

ORACLE CORP 2.5% BNDS 10-15-2022
**
2,002,251

ORACLE CORP 2.5% DUE 05-15-2022
**
1,337,104

ORACLE CORP 2.625% 02-15-2023
**
3,026,698

ORACLE CORP 2.65% DUE 07-15-2026
**
97,495

ORACLE CORP 2.95% DUE 05-15-2025
**
4,318,610

ORACLE CORP 2.95% DUE 11-15-2024
**
755,375

ORACLE CORP 3.85% DUE 07-15-2036
**
116,243

ORACLE CORP 3.9% DUE 05-15-2035
**
158,894

ORACLE CORP 4.125% DUE 05-15-2045
**
2,696,338

ORACLE CORP 5% DUE 07-08-2019
**
2,256,514

ORACLE CORP 5.375 DUE 07-15-2040
**
151,719

ORACLE CORP 5.75% DUE 04-15-2018
**
202,292

ORACLE CORP COM
**
23,465,064

ORACLE CORP JAPAN NPV
**
207,338

ORANGE EUR4
**
590,847

ORANGE S A 1.625% DUE 11-03-2019
**
7,258,441

ORASURE TECHNOLOGIES INC COM
**
23,481

ORBCOMM INC COM STK
**
79,292

ORCHIDS PAPER PRODS CO DEL COM
**
10,496

ORICA LIMITED NPV
**
2,964,648

ORIGIN ENERGY LTD NPV
**
975,186

ORION CORPORATION SER'B'NPV
**
704,644

ORION GROUP HLDGS INC FORMERLY ORION MARINE GROUP INC TO 05/20/2016 COM STK
**
21,666

ORITANI FINL CORP NEW COM STK
**
96,547

ORIX CORP 2.9% DUE 07-18-2022
**
62,780

ORIX CORP 3.25% DUE 12-04-2024
**
99,681

ORIX CORP NPV
**
727,218

ORMAT TECHNOLOGIES INC COM
**
211,899

ORRSTOWN FINL SVCS INC COM
**
11,767

ORTHOFIX INTL N.V COM STK USD0.10
**
49,175

OSCAR US FDG VI 2.82% DUE 06-10-2021
**
1,849,143

OSHKOSH CORPORATION
**
298,846

OSI SYS INC COM
**
125,348

OSRAM LICHT AG NPV
**
1,911,171

OTONOMY INC COM
**
11,477

OTP BANK NYRT HUF100
**
99,957

OTSUKA CORP NPV
**
413,747

OUTFRONT MEDIA INC COM
**
130,361

OVERSEA-CHINESE BANKING CORPORATION SGD0.5
**
268,141

OVERSEAS PVT INVT 3.43% DUE 05-15-2030
**
7,391,639

OVERSEAS SHIPHOLDING GROUP INC NEW COM USD0.01 CL A (POST REV SPLT)
**
24,709

OVERSTOCK COM INC DEL COM
**
137,385

OWENS & MINOR INC NEW COM
**
114,167

OWENS CORNING NEW COM STK
**
679,253

OXFORD INDS INC COM
**
818,067

OXFORD INSTRUMENTS ORD GBP0.05
**
543,092


134
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
P A M TRANSN SVCS INC COM
**
13,599

PAC GAS & ELEC CO 2.45 DUE 08-15-2022
**
981,104

PAC GAS & ELEC CO 2.95% DUE 03-01-2026
**
3,407,569

PAC GAS & ELEC CO 3.25% DUE 06-15-2023
**
1,746,847

PAC GAS & ELEC CO 6.05% DUE 03-01-2034
**
378,132

PAC GAS & ELEC CO 8.25% DUE 10-15-2018
**
1,726,517

PAC PREMIER BANCORP COM
**
122,800

PACCAR FINL CORP 1.75% DUE 08-14-2018
**
3,348,549

PACCAR INC COM
**
3,163,060

PACIFIC ETHANOL INC COM PAR $.001 COM PAR $.001
**
19,597

PACIFIC GAS & ELEC CO 3.85 DUE 11-15-2023
**
1,319,218

PACIFICORP 3.6% DUE 04-01-2024
**
112,899

PACIFICORP 5.5% DUE 01-15-2019
**
82,742

PACIFICORP 5.65% DUE 07-15-2018
**
142,875

PACIFICORP 6.25% DUE 10-15-2037
**
109,320

PACWEST BANCORP DEL COM
**
4,391,050

PANASONIC CORP
**
145,013

PANHANDLE OIL & GAS INC.CL A COM STK
**
29,489

PAPA JOHNS INTL INC COM
**
2,048,015

PAR PACIFIC HOLDINGS INC COM NEW COM NEW
**
16,639

PARAMOUNT GROUP INC COM
**
196,144

PARK ELECTROCHEMICAL CORP COM
**
40,283

PARK HOTELS & RESORTS INC COM
**
257,888

PARKER DRILLING CO COM
**
11,916

PARKER-HANNIFIN CORP COM
**
12,015,315

PARK-OHIO HLDGS CORP COM
**
25,273

PARKWAY LIFE REAL NPV (REIT)
**
983,307

PARQUE ARAUCO SA NPV
**
743,462

PARSLEY ENERGY INC CL A CL A
**
3,027,551

PARTNERS GROUP HLG CHF0.01 (REGD)
**
503,623

PATRIOT TRANSN HLDG INC COM
**
5,400

PATRIZIA IMMO AG NPV (REGD)
**
1,010,242

PATTERSON-UTI ENERGY INC COM
**
481,346

PAX GLOBAL TECHNOLOGY LIMITED COMSTK
**
149,775

PAYCOM SOFTWARE INC COM
**
1,120,122

PAYLOCITY HLDG CORP COM
**
4,008,600

PAYPAL HLDGS INC COM
**
53,995,337

PBF ENERGY INC CL A CL A
**
401,542

PC CONNECTION INC COM
**
67,150

PCCW LIMITED NPV
**
23,795

PCM INC COM
**
9,217

PDF SOLUTIONS INC COM
**
45,169

PDL BIOPHARMA INC COM
**
43,763

PEABODY ENERGY CORP NEW
**
284,724

PEAPACK-GLADSTONE FINL CORP COM
**
53,230

PEBBLEBROOK HOTEL TR COM STK
**
5,107,381

PEGASYSTEMS INC COM
**
4,142,269


135
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PEGATRON CORP TWD10
**
319,026

PENN VA CORP NEW COM
**
23,153

PENNEY J.C CO INC COM
**
92,152

PENNS WOODS BANCORP INC COM
**
23,849

PENNSYLVANIA REAL ESTATE INVT TR SH BEN INT SH BEN INT
**
56,061

PENNSYLVANIA ST HIGHER ED ASSISTANCE AGY SER 2009-1 CL A1 FLTG 1A1 07-25-2029
**
1,602,384

PENNSYLVANIA ST HIGHER ED ASSISTANCE AGYSTUDENT LN REV FLTG RT 0% 10-25-2036 BEO
**
5,847,536

PENSKE AUTOMOTIVE GROUP INC COM STK
**
416,869

PENSKE TRUCK 3.2% DUE 07-15-2020
**
4,130,708

PENSKE TRUCK FIXED 2.7% DUE 03-14-2023
**
176,871

PENTAIR FIN S A 2.9% DUE 09-15-2018
**
1,507,910

PENUMBRA INC COM
**
644,303

PEOPLES BANCORP INC COM STK
**
62,239

PEOPLES BANCORP N C INC COM PEOPLES BANCORP OF NORTH CAROLINA INC
**
21,234

PEOPLE'S INS CO 'H'CNY1
**
40,221

PEOPLES UTAH BANCORP COM
**
41,390

PEOPLES UTD BK 4% DUE 07-15-2024
**
459,539

PEOPLES UTD FINL INC COM
**
606,572

PEPSICO INC 1.35% DUE 10-04-2019
**
1,086,914

PEPSICO INC 1.55% DUE 05-02-2019
**
1,869,641

PEPSICO INC 2.0% 04-15-2021
**
3,984,159

PEPSICO INC 2.375% DUE 10-06-2026
**
133,140

PEPSICO INC 3% DUE 08-25-2021
**
3,473,940

PEPSICO INC 4% DUE 05-02-2047
**
159,782

PEPSICO INC 5% DUE 06-01-2018
**
1,352,387

PEPSICO INC COM
**
13,926,789

PERFICIENT INC COM STK
**
75,975

PERFORMANCE FOOD GROUP CO COM
**
2,789,436

PERKINELMER INC COM
**
3,078,718

PERNOD RICARD NPV EUR 1.55
**
12,365,169

PERRIGO FIN PLC 3.5% DUE 12-15-2021
**
926,732

PERSIMMON ORD GBP0.10
**
2,941,443

PERU(REP OF) 8.2% BDS 12/08/26
**
2,055,908

PETROBRAS GLOBAL 6.25% DUE 03-17-2024
**
530,500

PETROBRAS GLOBAL 7.25% DUE 03-17-2044
**
416,000

PETROBRAS GLOBAL 7.375% DUE 01-17-2027
**
990,900

PETRO-CDA 7.875% DUE 06-15-2026
**
256,526

PETROL BRASILEIROS PRF NPV
**
1,031,209

PETROLEOS 3.5% DUE 07-23-2020
**
3,010,095

PETROLEOS 4.5% DUE 01-23-2026
**
89,838

PETROLEOS MEXICANOS GTD 6.875% DUE 08-04-2026 REG
**
221,081

PETRONAS CHEMICALS GROUP BHD
**
173,260

PEUGEOT SA EUR1
**
4,098,825

PFIZER INC 3% DUE 06-15-2023
**
66,421

PFIZER INC COM
**
19,938,277

PGE POLSKA GRUPA PLN10.25
**
401,440

PGT INC COM
**
1,674,890


136
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PHH CORP COM NEW COM NEW
**
71,750

PHI INC COM NON VTG
**
15,411

PHI INC COM VTG
**
3,616

PHILIP MORRIS INTL 1.875% DUE 02-25-2021
**
1,369,492

PHILIP MORRIS INTL 2.625 DUE 03-06-2023
**
271,979

PHILIP MORRIS INTL 2.75% DUE 02-25-2026
**
7,833,800

PHILIP MORRIS INTL 3.125% DUE 08-17-2027
**
5,987,958

PHILIP MORRIS INTL 3.375% DUE 08-11-2025
**
5,510,165

PHILIP MORRIS INTL 4.5% DUE 03-26-2020
**
1,507,140

PHILIP MORRIS INTL COM STK NPV
**
28,699,083

PHILIP MORRIS INTL INC 1.875% DUE 11-01-2019
**
2,643,737

PHILIP MORRIS INTL INC 2.9 DUE 11-15-2021
**
11,540,762

PHILIPPINES(REP OF 6.25% BDS 14/01/2036 PHP
**
226,362

PHILIPS ELECTRONICS 3.75 DUE 03-15-2022
**
83,296

PHILLIPS 66 3.55% DUE 10-01-2026
**
297,336

PHILLIPS 66 FLTG RT 2.47152% DUE 04-15-2020
**
400,422

PHISON ELECTRONICS TWD10
**
606,796

PHOENIX SATELLITE HKD0.10
**
248,420

PHOTRONICS INC COM
**
45,089

PHYSICIANS RLTY TR COM
**
70,971

PICC PROPERTY & CA 'H'CNY1
**
743,872

PICO HLDGS INC COM NEW STK
**
42,970

PIEDMONT NAT GAS 3.64% DUE 11-01-2046
**
787,673

PIEDMONT OFFICE REALTY TRU-A
**
150,644

PIER 1 IMPORTS INC COM
**
44,791

PINNACLE FINL PARTNERS INC COM
**
457,205

PINNACLE FOODS INC DEL COM
**
1,481,041

PINNACLE W CAP 2.25% 11-30-2020
**
2,806,664

PIONEER ENERGY SVCS CORP COM
**
22,280

PIONEER NAT RES CO 6.875% DUE 05-01-2018
**
1,954,616

PIONEER NAT RES CO 7.5% DUE 01-15-2020
**
350,982

PIRAMAL ENTERPRISES INR2
**
1,093,784

PK NATL CORP COM
**
107,536

PKN ORLEN SA PLN1.25
**
923,656

PLAINS ALL AMER PIPELINE 2.85 1-31-2023
**
1,435,316

PLAINS ALL AMER PIPELINE BNDS 4.65% DUE 10-15-2025
**
118,507

PLAINS ALL AMERN 2.6% DUE 12-15-2019
**
198,863

PLAINS ALL AMERN 3.6% DUE 11-01-2024
**
3,895,428

PLAINS ALL AMERN 3.65 DUE 06-01-2022
**
84,489

PLAINS ALL AMERN 4.5% DUE 12-15-2026
**
1,449,591

PLAINS ALL AMERN 5.75% DUE 01-15-2020
**
3,196,620

PLAINS ALL AMERN PIPELN L P/PAA 4.9% 02-15-2045
**
206,460

PLANET FITNESS INC CL A CL A
**
2,354,840

PLATFORM SPECIALTY PRODS CORP COM USD0.01
**
228,031

PLAYTECH PLC ORD NPV
**
699,162

PLEXUS CORP COM
**
199,162

PLUM CREEK 4.7% DUE 03-15-2021
**
3,610,610


137
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PNC BK N A 3.8 07-25-2023
**
3,655,526

PNC BK N A PITT PA 1.5% DUE 02-23-2018
**
3,598,870

PNC BK N A PITT PA 1.85% DUE 07-20-2018
**
499,567

PNC BK N A PITT PA 1.95% DUE 03-04-2019
**
1,312,693

PNC BK N A PITT PA 2.3% DUE 06-01-2020
**
299,704

PNC BK N A PITT PA 2.6% DUE 07-21-2020
**
503,183

PNC BK N A PITT PA MEDIUM TERM SR 1.6% 06-01-2018
**
2,996,148

PNC BK N A PITTSBURGH PA 2.7 DUE 11-01-2022
**
537,344

PNC BK NA PITT PA 1.45% DUE 07-29-2019
**
2,226,673

PNC BK NA PITT PA 1.7% DUE 12-07-2018
**
807,600

PNC BK NA PITT PA 2.55% DUE 12-09-2021
**
1,384,303

PNC FDG CORP 4.375% DUE 08-11-2020
**
2,103,642

PNC FDG CORP 5.125% DUE 02-08-2020
**
422,166

PNC FDG CORP SR NT 6.7 DUE 06-10-2019
**
183,538

PNC FINANCIAL SERVICES GROUP COM STK
**
13,904,217

POLYONE CORP COM
**
2,449,790

POPULAR INC COM NEW COM USD6 (POST REV SPLIT)
**
307,237

PORSCHE AUTO HL SE NON VTG PRF NPV
**
213,683

PORT AUTH N Y & N J 4.458% 10-01-2062 BEO TAXABLE
**
692,838

PORT AUTH N Y & N J 5.859% 12-01-2024 BEO TAXABLE
**
22,532,580

PORTO SEGURO SA COM NPV
**
232,191

POSCO KRW5000
**
45,333

POST HLDGS INC COM STK
**
454,939

POTASH CORP SASK 3.625 DUE 03-15-2024
**
266,492

POTBELLY CORP COM
**
28,081

POU CHEN TWD10
**
59,539

POWELL INDS INC COM
**
41,141

POWER CORP CANADA SUB-VTG NPV
**
129,175

POWER FINANCE CORP INR10
**
738,769

POWERTECH TECHNOLO TWD10
**
242,281

PPDC ENERGY INC COM
**
2,639,466

PPG IND INC COM
**
17,721,244

PPG INDS INC 2.3% DUE 11-15-2019
**
605,063

PPG INDS INC 3.6% DUE 11-15-2020
**
348,700

PPL CAP FDG INC 3.4% DUE 06-01-2023
**
51,010

PPL CAP FDG INC 3.5 DUE 12-01-2022
**
30,844

PPL CAP FDG INC 4.2% DUE 06-15-2022
**
126,952

PPL CORP COM ISIN US69351T1060
**
1,813,670

PPL ELEC UTILS 4.125% DUE 06-15-2044
**
80,777

PPN CMO 4TIMES SQR TR 06-4TS CMLMTG PASTHRU CTF 144A CL A 5.4 DUE 121328 BEO
**
2,092,875

PRA GROUP INC COM
**
85,424

PRA HEALTH SCIENCES INC COM
**
5,340,345

PRAXAIR INC 2.2 DUE 08-15-2022
**
172,367

PRAXAIR INC 4.5% DUE 08-15-2019
**
191,866

PREFORMED LINE PRODS CO COM
**
43,696

PREMIER FINL BANCORP INC CDT-CAP STK CDT-CAP STK
**
18,112

PREMIER INC CL A CL A
**
75,923


138
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PRESTIGE BRANDS HLDGS INC COM
**
2,693,955

PRGX GLOBAL INC
**
16,735

PRIMORIS SVCS CORP COM
**
100,984

PRIN FINL GROUP 3.125% DUE 05-15-2023
**
3,016,164

PRIN LIFE GLOBAL 2.25 DUE 10-15-2018
**
1,147,335

PRIN LIFE GLOBAL 2.375% DUE 11-21-2021
**
134,000

PRIVATE EXPORT FDG CORP 1.875 07-15-2018
**
8,497,836

PRIVATE EXPT FDG CORP 2.05 DUE 11-15-2022 REG
**
556,275

PRIVATE EXPT FDG CORP 2.25% DUE 03-15-2020
**
8,691,331

PRIVATE EXPT FDG CORP SECD NT SER GG 2.45 DUE 07-15-2024
**
432,964

PRIVATE EXPT FDG CORP SECD NT SER Z 4.375% DUE 03-15-2019 REG
**
504,073

PROASSURANCE CORP COM
**
4,000,500

PROCTER & GAMBLE 2.15% DUE 08-11-2022
**
7,401,849

PROCTER & GAMBLE COM NPV
**
4,519,302

PROGRESS ENERGY 3.15% DUE 04-01-2022
**
1,296,518

PROGRESS ENERGY 4.4% DUE 01-15-2021
**
225,373

PROGRESS ENERGY 4.875% DUE 12-01-2019
**
6,370,036

PROGRESS RESIDENTIAL SER 2015-SFR2 CLS A 2.74% 06-12-2032
**
1,856,572

PROGRESS RESIDENTIAL TRUST SER 2015-SFR2 CLS B 3.138% DUE 06-12-2032
**
299,645

PROGRESSIVE CORP 4.35 DUE 04-25-2044
**
102,267

PROSIEBENSAT.1 MEDIA SE NPV
**
3,609,186

PROSPERITY BANCSHARES INC COM
**
488,388

PROTECTIVE LIFE 1.555% DUE 09-13-2019
**
965,870

PROTECTIVE LIFE 2.161% DUE 09-25-2020
**
3,234,664

PROTECTIVE LIFE 2.615% DUE 08-22-2022
**
9,955,752

PROTECTIVE LIFE GLOBAL FDG MEDIUM TERM NDUE 03-29-2019 BEO
**
7,115,245

PROTO LABS INC COM
**
1,942,889

PROVID HLTH & SVCS 2.746% DUE 10-01-2026
**
1,476,326

PROVIDENCE SVC CORP COM STK
**
98,564

PROVIDENT FINL HLDGS INC COM
**
16,965

PROVIDENT FINL SVCS INC COM
**
200,495

PROVINCE OF ALBERTA 2.2% DUE 07-26-2022 BEO
**
1,591,473

PROVINCE OF ALBERTA BNDS 2.35% 01/06/2025
**
394,214

PROXIMUS
**
127,091

PRUDENTIAL BANCORP INC NEW COM
**
16,210

PRUDENTIAL FINL INC COM
**
5,458,331

PRUDENTIAL FINL INC DTD 06-21-2010 5.37506-21-2020
**
149,913

PRUDENTIAL FINL INC MEDIUM TERM NTS BOOKENTRY MTN 7.375% DUE 06-15-2019
**
751,687

PRUDENTIAL GBP0.05
**
3,674,514

PRYSMIAN SPA EUR0.10
**
1,021,215

PSEG PWR LLC 4.15% DUE 09-15-2021
**
114,717

PSP SWISS PROPERTY CHF0.10 (REGD)
**
514,251

PT BANK DANAMON IDR50000 SER 'A' & 'B'
**
1,385,982

PT BANK NEGARA IND LKD SHS(IDR7500 & IDR375)
**
799,704

PT INDOFOOD SUKSES IDR100
**
201,418

PT PAKUWON JATI IDR25
**
583,097

PTC INC COM
**
651,333


139
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PTT EXPLORTN & PRD THB1(NVDR)
**
20,226

PTT GLOBAL CHEMICAL PUBLIC CO LTD THB10(NVDR)
**
1,333,193

PTT PUBLIC COMPANY THB10(NVDR)
**
79,616

PUB STORAGE COM
**
3,423,420

PUB SVC CO N MEX 7.95% DUE 05-15-2018
**
357,288

PUB SVC CO OF CO 3.2% DUE 11-15-2020
**
204,240

PUB SVC ENTERPRISE 1.6% DUE 11-15-2019
**
4,121,957

PUBLIC BK BHD MYR1
**
657,921

PUBLIC SERVICE CO OF COLORADO 2.25 DUE 09-15-2022 BEO
**
50,200

PUBLIC SVC CO N H 3.5 DUE 11-01-2023
**
43,319

PUBLIC SVC CO OKLA 5.15% DUE 12-01-2019
**
104,717

PUBLIC SVC ELEC GAS CO SECD MEDIUM TERM 2% DUE 08-15-2019
**
398,962

PULTE GROUP INC
**
889,438

PURE STORAGE INC CL A CL A
**
766,641

PUT SWPTN USD DEUTGB2L 6M 2.15%/3MLIBOR European 317U798L2 06-15-2018
**
28,700

PUT SWPTN USD DEUTGB2L 6M 2.5%/3MLIBOR European 317U473M2 11-07-2019
**
113,695

PUT SWPTN USD GSCMUS33 6M 2.3%/3MLIBOR European 317U384M0 10-21-2019
**
450,257

PUT SWPTN USD GSCMUS33 6M 2.4%/3MLIBOR European 317U056N5 03-14-2018
**
15

PUT SWPTN USD GSCMUS33 6M 2.94%/3MLIBOR European 317U857J5 08-20-2018
**
5,030

PUT SWPTN USD MSCSUS33 6M 2.4%/3MLIBOR European 317U055N6 03-14-2018
**
76

PUT SWPTN USD MSCSUS33 6M 2.54%/3MLIBOR European 317U900N3 03-21-2018
**
7,167

PUT SWPTN USD MSCSUS33 6M 2.905%/3MLIBOREuropean 317U841J4 08-20-2018
**
16,920

PUT SWPTN USD NGFPUS33 6M 2.15%/3MLIBOR European 317U797L3 06-15-2018
**
9,567

PVH CORP COM USD1
**
553,642

PVPTL ABU DHABI GOVT INT'L 2.5% 10-11-2022
**
7,624,400

PVPTL ABU DHABI GOVT INT'L 3.125% 10-11-2027
**
11,268,684

PVPTL BAKER HUGHES A GE 3.337% 12-15-2027
**
1,552,389

PVPTL BANQUE FEDERATIVE DU CR MUTUEL 2.2% 07-20-2020
**
3,149,658

PVPTL CARNOW AUTO RECEIVABLES TR SER 2017-1 CL A 2.92% 09-15-2022
**
344,864

PVPTL CONTINENTAL RES INC 4.375% DUE 01-15-2028/01-15-2026
**
98,720

PVPTL CREDIT SUISSE GROUP AG VAR RT DUE 12-14-2023
**
1,778,859

PVPTL DAIMLER FIN N AMER 2.3% 02-12-2021
**
466,014

PVPTL DEVELOPMENT BK JAPAN GTD NT SER GG 2.125% DUE 09-01-2022
**
6,938,574

PVPTL DEXIA CR LOC GTD SR NT 2.375% DUE 09-20-2022
**
2,966,673

PVPTL HEWLETT PACKARD ENTERPRISE CO 2.1% 10-04-2019
**
1,380,485

PVPTL MACQUARIE BK FLTG 03-15-2019
**
15,246,954

PVPTL MET LIFE GLOB FUNDING I 1.75% 09-19-2019
**
2,457,387

PVPTL MITSUBISHI UFJ LEASE & FIN CO LTD 2.652% DUE 09-19-2022
**
1,767,452

PVPTL PRIN LIFE GLOBAL FDG II GLOBAL FLTG 02-22-2019
**
7,115,245

PVPTL SMITHFIELD FOODS FIXED 2.65% DUE 10-03-2021
**
2,052,405

PVPTL SUMITOMO MITSUI TR BK LTD 1.95% DUE 09-19-2019
**
396,805

PVPTL SUNCORP METWAY LTD 2.375% 11-09-2020
**
1,022,902

PVPTL TESLA INC 5.3% 8-15-2025
**
286,500

PVPTLDT AUTO OWNER TRUST SER 17-3A CLS A 1.73% 144A 08-17-2020
**
1,033,698

PVTP PVTPL VOYA CLO LTD SER 15-1A CL A1R VAR RT 01-18-2029
**
1,500,000

PVTPL BK TOKYO-MITSUBISH 2.15% DUE 09-14-2018
**
13,235,699

PVTPL 1166 AVE OF THE AMERS COML MTG TR II 2005-C6 COML 5.6896% 10-13-2037
**
1,329,488


140
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL 1ST INVS AUTO OWNER TR 2016-2 AB NT CL A-1 144A 1.53 DUE 11-16-20 BEO
**
289,994

PVTPL ABBOTT LABS 3.875% 09-15-2025
**
98,261

PVTPL ABN AMRO BANK NV 2.1% 01-18-2019
**
12,970,691

PVTPL ABN AMRO BANK NV FLTG 01-18-2019
**
4,574,086

PVTPL ABN AMRO BK N V SUB BK NTS BOOK ENTRY 2.5 DUE 10-30-2018
**
401,359

PVTPL ACIS CLO 2015-6A LTD CL A-1 FLTG RT 05-01-2027 BEO
**
1,861,345

PVTPL AIR CANADA BNDS 3.55% DUE 07-15-2031 BEO
**
407,953

PVTPL AIR CDA 2013-1 PASS THRU 4.125 DUE 11-15-2026 BEO
**
57,921

PVTPL AIR LIQUIDE FIN S A NT 144A 1.375%DUE 09-27-2019 BEO
**
541,404

PVTPL ALIMENTATION COUCHE-TARD INC SR NT2.7% DUE 07-26-2022/07-26-2017 BEO
**
2,699,952

PVTPL ALLEGRO CLO I LTD SER SECD NT CL A1R VAR 01-30-2026
**
2,605,762

PVTPL ALLEGRO CLO LTD SER 17-1A CL A FLT 10-16-2030
**
5,597,660

PVTPL ALTICE S A BD 7.75 DUE 05-15-2022
**
985,000

PVTPL AMAZON COM INC 2.8% 08-22-2024
**
1,894,224

PVTPL AMAZON COM INC 3.15% DUE 08-22-2027 BEO
**
5,768,680

PVTPL AMERICAN MONEY MANAGEMENT CORP SER 12-11A CL A2R FRN 10-30-2023
**
1,001,588

PVTPL AMERICAN MONEY MANAGEMENT CORPORATION SER 17-21A CL A FRNS 11-2-30
**
6,810,711

PVTPL AMERN TOWER TR I 1.551 DUE 03-15-2018 BEO
**
49,932

PVTPL ANGLO AMERN CAP PLC GTD NT 3.625% 09-11-2024
**
2,687,067

PVTPL ANZ NEW ZEALAND INTL LTD 2.2% DUE 07-17-2020
**
2,903,286

PVTPL ANZ NEW ZEALAND INTL LTD MEDIUM TERM NTS 2.6% DUE 09-23-2019 REG
**
1,189,216

PVTPL AT&T INC 4.1% DUE 02-15-2028/11-15-2027 BEO
**
688,269

PVTPL ATHENE GLOBAL FDG MEDIUM TERM SR SECD 144A 4.0% DUE 01-25-2022
**
1,485,939

PVTPL ATHENE GLOBAL FDG MEDIUM TERM SR SECD NT 2.875% 10-23-2018
**
1,176,264

PVTPL ATLAS SR LN FD II LTD/ATLAS SR LN SER LLC 2012-2 FLTG 144A DUE 01-30-24
**
792,907

PVTPL ATRIUM VIII CDO CORP SER 8A CL AR FLTG 10-23-2024
**
1,810,376

PVTPL ATRIUM XIII/ATRIUM XIII LLC SR 13A CL A-1FLTG 11-21-2030
**
5,021,357

PVTPL AUSTRALIA & NEW ZEALAND BKG GROUP FLTG DUE 11-09-2020
**
4,801,774

PVTPL AVERY PT V CLO LTD/AVERY PT V SER 14-5A CL AR FLTG 07-17-2026
**
1,755,358

PVTPL AVIATION CAP GROUP 2.875% 01-20-2022
**
5,490,489

PVTPL AVIATION CAP GROUP CORP SR NT 144A6.75% DUE 04-06-2021 BEO
**
1,162,323

PVTPL AVIS BUDGET RENT CAR FDG SER 2013-1A CL A 1.92 09-20-219
**
14,377,997

PVTPL B A T CAP CORP 3.557% DUE 08-15-2027 BEO
**
12,626,355

PVTPL B A T INTL FIN PLC 144A 3.25% DUE 06-07-2022 BEO
**
1,851,804

PVTPL B A T INTL FIN PLC 3.5% DUE 06-15-2022
**
1,227,587

PVTPL BABSON CLO LTD 2014-III SR SECD TERM NT CL A-R FLTG DUE 01-15-2026 BEO
**
2,008,834

PVTPL BACARDI LTD GTD NT 144A 19 8.2% DUE 04-01-2019 BEO
**
710,854

PVTPL BAKER HUGHES A GE CO LLC/BAKER HUGHES 144A 4.08 DUE 12-15-2047
**
711,946

PVTPL BANK AMER CORP SR NT 144A 3.004% DUE 12-20-2023/12-20-2017 BEO
**
11,697,952

PVTPL BANK OF THE WEST SER 17-1 CL A2 1.78% 02-15-2021
**
1,813,193

PVTPL BANK OF TOKYO MITSUBISHI UFJ LTD SR NT 144A 1.7% DUE 03-05-2018 BEO
**
899,735

PVTPL BANK OF TOKYO MITSUBISHI UFJ LTD SR NT 144A 2.3% DUE 03-05-2020 BEO
**
298,919

PVTPL BARCLAYS BK PLC NT 144A 10.179% DUE 06-12-2021 BEO
**
12,857,633

PVTPL BAT CAPITAL CORP 4.39% DUE 08-15-2037
**
108,161

PVTPL BAT INTL FINANCE PLC 2.75% DUE 06-15-2020 BEO
**
6,290,618

PVTPL BAYER US FINANCE LLC 2.375% DUE 10-08-2019 BEO
**
400,222

PVTPL BCC FDG XIII LLC EQUIP CONTRACT BACKED NT 144A 2.2% DUE 12-20-2021 BEO
**
80,466


141
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL BEAR STEARNS COML MTG SECS INC SE 2006-T22 CL D VAR 04-12-2038
**
9,010,870

PVTPL BK OF TOKYO MITSUBISHI UFJ LTD SR NT 2.3 DUE 03-10-2019
**
400,186

PVTPL BLUEMOUNTAIN CLO LTD SER 17-2A CL A2 FLT 10-20-2030
**
5,050,705

PVTPL BMW US CAP LLC NT 144A 1.45% DUE 09-13-2019 BEO
**
5,292,407

PVTPL BRAMBLES USA INC GTD SR NT 144A 5.35% DUE 04-01-2020 BEO
**
594,513

PVTPL BRITISH SKY BROADCASTING GROUP PLCSR NT 6.1% DUE 02-15-2018/02-15-2008 BEO
**
814,779

PVTPL BX TR 2017-APPL CL B FLTG 07-15-2034
**
3,392,102

PVTPL BX TR SER 2017-APPL CL A FLTG 07-15-2034
**
1,922,408

PVTPL CANADIAN IMPERIAL BK 2.35% 07-27-2023
**
9,881,240

PVTPL CARFINANCE CAP AUTO TR 2014-2 NT CL B 2.64% DUE 11-16-2020
**
344,826

PVTPL CARFINANCE CAP AUTO TR 2015-1 NT CL A 144A 1.75% DUE 06-15-2021 BEO
**
58,640

PVTPL CBS CORP 3.7% 06-01-2028
**
73,963

PVTPL CHARTER COMMUNICATIONS OPER 3.75% 02-15-2028
**
3,641,190

PVTPL CHESAPEAKE FDG II LLC SR 17-3A CL A1 1.91% 08-15-2029
**
8,934,435

PVTPL CHRYSLER CAP AUTO RECEIVABLES TR 2016-B NT CL A-2 144A 1.36 01-15-2020
**
1,507,194

PVTPL CIFC FUNDING LTD SER 17-4A CL A2 FRNS 10-24-2030
**
4,301,246

PVTPL CMO 1166 AVE OF THE AMERS COML 2005-C6A CL D 144A 5.6896 10/13/2037
**
560,823

PVTPL CMO 1166 AVE OF THE AMERS COML 2005-C6A CL F 144A 5.6896 10/13/2037
**
444,980

PVTPL CMO 280 PK AVE 2017-280P MTG TR COML CTF CL A VAR DUE 09-15-2034
**
801,741

PVTPL CMO AMERICOLD 2010 LLC TR COML SER 2010-ARTA A-2-FL VAR 1-14-2021
**
3,652,275

PVTPL CMO AVENTURA MALL TR 2013-AVM COMLCL A VAR RT 12-05-2032
**
13,428,251

PVTPL CMO BANC OF AMERICA MERRILL LYNCH SER 2015-ASHF CL A FLTG RT 144A 01-15-28
**
500,948

PVTPL CMO BBCCRE TRUST SER 2015-GTP CL A 3.966% 08-10-2033
**
1,118,849

PVTPL CMO BB-UBS TR 2012-TFT COML MTG CLA 144A 2.8922 06-05-2030
**
86,544

PVTPL CMO BXMT 2017-FL1 LTD/BXMT 2017-FL1 LLC 5TH PRTY SECD NT CL D FLTG
**
420,000

PVTPL CMO BXMT 2017-FL1 LTD/BXMT 2017-FL1 LLC SR SECD NT CL A FLTG 144A
**
9,000,000

PVTPL CMO CARLYLE GLOBAL MKT STRATEGIES 2014-2 CL AR 144A VAR RT DUE 05-15-2025
**
2,616,816

PVTPL CMO CGGS COML MTG TR 2016-RND 2.757% DUE 02-10-2033 BEO
**
3,085,045

PVTPL CMO CITYLINE MTG TR SER 2016-CLNE CL A VAR 11-10-2031
**
5,737,169

PVTPL CMO COLD STORAGE SER 2017-ICE3 CL B FLTG 04-15-2019
**
1,913,595

PVTPL CMO COLD STORAGE TRUST SER 2017-ICE3 CL A FRN 04-15-2024
**
6,616,348

PVTPL CMO COMM 2013-WWP MTG T0 CL A-2 144A 3.4244 DUE 03-10-2031 BEO
**
165,952

PVTPL CMO COMM 2014-277P MTG TR COML MTGPASSTHRU CTF CL A 3.731 08-10-2049
**
902,827

PVTPL CMO COMM MTG TR SER 2014-PAT CL A FLTG RT 08-13-2027
**
595,145

PVTPL CMO COMM SER 2016-GCT CL A 144A 2.681% 08-10-2029
**
8,709,013

PVTPL CMO CREDIT SUISSE MORTGAGE TRUST SER 2017-LSTK CL A 2.76074% 04-05-2033
**
1,974,724

PVTPL CMO CSMC 2017-RPL3 TR CL A-1 FLTG 08-25-2057
**
5,586,379

PVTPL CMO CSMC 2017-RPL3 TR MTG BACKED NT CL B-2 VAR 144A VAR RT DUE 08-01-2057
**
4,795,165

PVTPL CMO CSMC SER 2009-15R CTF CL 144A VAR RT DUE 10-26-2036 BEO
**
1,342,907

PVTPL CMO CSMC TR SR 2017-CHOP CL A VAR RT 07-15-2032
**
2,208,629

PVTPL CMO FREMF 2015-K48 MTG TR FLTG RT DUE 06-25-2025 BEO
**
449,863

PVTPL CMO FREMF 2016-K59 MTG TR 144A CL B VAR RT DUE 11-25-2049 BEO
**
175,120

PVTPL CMO GS MTG SECS CORP TR SER 2017-GPTX CL A 2.641134% 05-01-2034
**
1,972,253

PVTPL CMO HERO FDG 2016-3 3.07999992371%DUE 09-20-2042 BEO
**
77,714

PVTPL CMO J P MORGAN CHASE COML MTG SECS 2014-PHH CL C FLTG RT DUE 08-15-2027
**
2,030,000

PVTPL CMO J P MORGAN CHASE COML MTG SECS TR 2016-ASH CL A VAR RT 10-15-2034
**
5,007,830

PVTPL CMO J P MORGAN CHASE COML MTG SECSTR 2016-WIKI 2.7978% DUE 10-05-2031 BEO
**
8,009,056


142
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL CMO J P MORGAN CHASE SER 16-WPT CL A FLTG RT 10-15-2018
**
7,518,758

PVTPL CMO J P MORGAN MTG TR 2017-1 VAR RT DUE 01-25-2047
**
14,197,026

PVTPL CMO J P MORGAN MTG TR SER 17-2 CL A6 VAR 05-25-2047
**
6,615,279

PVTPL CMO JP MORGAN CHASE COML MTG SECS TR 2011-C A-3 4.1063 DUE 07-15-2046 BEO
**
6,566,691

PVTPL CMO JPMCC RE-REMIC SER 2016-FLRR CL AFL 1 01-15-2033
**
3,029,729

PVTPL CMO LADDER CAPITAL COMM MTG SECS SER 2017-LC26 CL A2 3.128% 07-12-2050
**
14,566,423

PVTPL CMO MORGAN STANLEY CAP I TR 2014-CPT VAR RT DUE 07-13-2029 BEO
**
405,189

PVTPL CMO MOTEL 6 TR 2017-MTL6 COML MTG PASSTHRU CTF CL A FLTG RT 08-15-2034
**
15,416,807

PVTPL CMO MSDB TR 2017-712F CL A VAR RT DUE 07-11-2039 BEO
**
6,782,122

PVTPL CMO NEW RESIDENTIAL MTG LN TR SER 16-3A CL A1B 144A VAR 09-01-2056
**
3,819,731

PVTPL CMO ONE MKT PLAZA TR SER 2017-1MKT CL A 144A 3.6139% 02-10-2032 BEO
**
6,692,972

PVTPL CMO RES CAP CORP 2015-CRE4 LTD/RESOUR SR SECD NT CL A FLTG 08-15-32
**
364,671

PVTPL CMO SER 17-3 CL 1A6 FR 08-25-2047 BEO
**
7,277,580

PVTPL CMO TOWD PT MTG TR 2016-3 CL A-1 FLTG RT 144A DUE 08-25-2055 BEO
**
3,206,619

PVTPL CMO TRICON AMERN HOMES SER 2017-SFR1 CL A 2.761% 09-17-2034 BEO
**
8,592,303

PVTPL CMO UBS COML MTG TR 2012-C1 144A CL D VAR RT DUE 05-10-2045 BEO
**
561,287

PVTPL CMO UBS-BAMLL TR 2012-WRM CTF CL A144A 3.663 DUE 06-10-2030 BEO
**
158,281

PVTPL CMO WA MUT MTG SECS CORP VAR RT DUE 02-25-2033 BEO
**
14,286

PVTPL CMO WFRBS COML MTG TR 2013-C11 COML PASS THRU CTF CL D VAR RT 03-15-45
**
379,914

PVTPL CNPC GEN CAP LTD GTD NT 144A 2.75%DUE 05-14-2019 BEO
**
500,898

PVTPL COLONY AMERN FIN 2016-2 LTD/COLONYAME 2.554% 11-15-2048
**
315,002

PVTPL COMM SER 2014-FL5 CL A VAR 10-15-2031
**
12,341,671

PVTPL COMMONWEALTH BANK AUST 144A BNDS 2.25% DUE 03-10-2020
**
4,835,067

PVTPL COMMONWEALTH BK AUSTRALIA TRANCHE # TR 00201 FLTG DUE 03-10-2020
**
6,098,781

PVTPL COMMONWEALTH BK AUSTRALIA TRANCHE # TR 00202 2.75% 03-10-2022
**
120,345

PVTPL COMWLTH BK 2.2% 11-09-2020
**
5,044,546

PVTPL CONSUMER LN UNDERLYING BD CLUB CR SER 17-P2 CLS A 2.61% 01-15-2024
**
1,598,032

PVTPL CONSUMER LN UNDERLYING BD CLUB NP SR 17-NP1 CL A 2.78% 04-17-2023
**
38,760

PVTPL CONSUMER LOAN UNDERLYING BOND CREDIT TR SER 17-NP2 CL A 2.55% 01-16-2024
**
924,978

PVTPL CORE INDL TR SER 2015-CALW CL A 3.04% 02-10-2034
**
2,133,249

PVTPL COX COMMUNICATIONS INC NEW NT 144A3.35% DUE 09-15-2026/09-13-2016 BEO
**
195,449

PVTPL COX COMMUNICATIONS INC NEW NT 4.8% DUE 02-01-2035 BEO
**
91,715

PVTPL CPS AUTO TRUST SER 17-B CL C 2.92% 02-15-2022
**
99,656

PVTPL CR ACCEP AUTO LN TR 2017-3 AST BACKED NT CL A 2.65 DUE 06-15-2026
**
952,733

PVTPL CREDIT AGRICOLE S A 2.625 DUE 10-03-2018 BEO
**
1,834,322

PVTPL CREDIT AGRICOLE S A 2.75% DUE 06-10-2020BEO
**
553,797

PVTPL CRH AMER FIN INC GTD NT 144A 3.4% DUE 05-09-2027/05-09-2017 BEO
**
399,909

PVTPL CROWN CASTLE TOWERS 2010-3 SR SECDREV NT 2020 144A 6.113 DUE 1-15-2040
**
1,370,386

PVTPL CROWN CASTLE TOWERS LLC/ C-2020 SRREV NT CL C 4.883 08-15-20
**
522,935

PVTPL CSAIL COML MTG TR SER 2017-CX10 CL UESA 4.0274% 11-15-2027
**
1,919,321

PVTPL CTL 1999-11 TR (CVS CORP BROOKLYN NY) 7.15 PASS THRU CTFS 5-15-19 BEO
**
156,429

PVTPL CVP CLO 2017-2 LTD/CVP CLO 2017-2 LLC NT CL A FLTG RATE 144A VAR RT
**
1,000,000

PVTPL DAIMLER FIN NORTH AMER LLC GTD NT 144A 2.3% DUE 01-06-2020 BEO
**
4,045,860

PVTPL DAIMLER FIN NORTH AMER LLC NT 144A1.875% DUE 01-11-2018 REG
**
5,464,803

PVTPL DAIMLER FINANCE NA LLC NT 144A 1.5% DUE 07-05-2019 BEO
**
286,607

PVTPL DIAMOND 1 FIN CORP/DIAMOND 2 FIN CORP 1ST LIEN NT 144A 6.02
**
10,585,133

PVTPL DISCOVER CARD EXECUTION NT TR 2017-6 NT CL A 1.88% DUE 02-15-2023 REG
**
2,775,492


143
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL DRIVE AUTO RECEIVABLES SER 17-3 CL D 3.53% DUE 12-15-2023
**
1,093,256

PVTPL DRYDEN SENIOR LOAN FUND SR SECD NT CL AR FLTG RATE 3C7 1-15-2031
**
2,000,000

PVTPL DT AUTO OWNER TR 1.85% DUE 08-17-2020
**
1,249,484

PVTPL DT AUTO OWNER TR 2017-2 AST BACKEDNT CL C 144A 3.03 DUE 01-17-2023BEO
**
160,016

PVTPL DT AUTO OWNER TR SER 17-1 A CL C 144A 2.7% 11-15-2022
**
209,459

PVTPL ECMC GROUP STUDENT LN TR SR 17-2A CL A FLTG RT 05-25-2067
**
4,683,677

PVTPL ECOLAB INC 3.25% 12-01-2027
**
215,114

PVTPL EDF S A NT 144A 4.6% DUE 01-27-2020 BEO
**
104,670

PVTPL EDP FINANCE BV 3.625% 07-15-2024
**
201,425

PVTPL ENEL FIN INTL N V GTD NT 144A 2.75% DUE 04-06-2023 BEO
**
3,251,672

PVTPL ENTERPRISE FLEET FING LLC SR 17-2 CL A301-20-2023
**
2,019,466

PVTPL ENTERPRISE FLEET FING SER 2017-3 CL A-3 2.36% 05-20-2023
**
1,611,438

PVTPL ERAC USA FIN CO GTD NT 144A 6.7% DUE 06-01-2034 REG
**
170,398

PVTPL ERAC USA FIN LLC GTD NT 2.8 DUE 11-01-2018
**
301,413

PVTPL ERAC USA FIN LLC NT 144A 2.35% DUE10-15-2019 BEO
**
398,858

PVTPL ERAC USA FIN LLC NT 144A 3.85% DUE11-15-2024/05-22-2014 BEO
**
4,495,871

PVTPL EXETER AUTOMOBILE RECEIVABLES TR 2017-1 CL B 144A 3.0% DUE 12-15-2021
**
205,419

PVTPL EXETER AUTOMOBILE RECEIVABLES TRST SER 17-2A CLS B 2.82% 05-16-2022
**
324,111

PVTPL EXETER AUTOMOBILE RECEIVABLESSER 17-2A CLS C 3.93% DUE 04-17-23 BEO
**
241,971

PVTPL FEDERATION DES CAISSES DESJARDINS DU QUE 2.25% 10-30-2020
**
1,113,704

PVTPL FEDERATION DES CAISSES DESJARDINS DU QUE FLTG 10-30-2020
**
2,548,274

PVTPL FIRST FNDTN INC COM
**
49,669

PVTPL FIRST INVS AUTO OWNER TR 2017-1A CL B 2.67% DUE 04-17-2023 BEO
**
141,211

PVTPL FIRST INVS AUTO OWNER TR SER 17-2A CL A1 1.86% DUE 10-15-2021
**
242,980

PVTPL FLAGSHIP CREDIT AUTO TRUST SER 17-4 CL A2.07% 144A 04-15-2022
**
881,739

PVTPL FORD CR AUTO OWNER TR SER 2017-1 CL A 144A 2.62% 08-15-2028
**
12,007,176

PVTPL FOREST LABS INC SR NT 4.875 DUE 02-15-2021 BEO
**
211,706

PVTPL FRESENIUS MED CARE US FIN II INC 5.625% 07-31-2019
**
1,778,365

PVTPL GAIF BD ISSUER PTY LTD SR NT 144A 3.4% DUE 09-30-2026/09-30-2016 BEO
**
73,516

PVTPL GDF SUEZ S A NT 2.875 DUE 10-10-2022 BEO
**
402,453

PVTPL GEORGIA-PAC LLC SR NT 144A 2.539% DUE 11-15-2019/11-06-2014 BEO
**
200,721

PVTPL GMF FLOORPLAN OWNER REVOLVING SER 2015-1 CL A2 FLTG RT DUE 05-15-2020
**
8,510,940

PVTPL GOODGREEN 2017-1 TR NT CL A 144A 3.74% DUE 10-15-2052 BEO
**
95,277

PVTPL GOODGREEN 2017-2 NT CL A 144A 3.26% DUE 10-15-2053 BEO
**
369,884

PVTPL GOODMAN US FIN THREE LLC 3.7% DUE 03-15-2028
**
1,496,394

PVTPL HEINEKEN N V SR NT 3.4 DUE 04-01-2022 BEO
**
61,751

PVTPL HEINZ H J CO 4.875% DUE 02-15-2025
**
1,229,789

PVTPL HERO FDG 2017-3 NT CL A2 3.95% 09-20-2048
**
1,212,869

PVTPL HERO FDG SER 2017-1A NT CL A2 4.46% 09-20-2047 BEO
**
217,120

PVTPL HSBC BK PLC SR NT 144A 4.75% DUE 01-19-2021 BEO
**
797,446

PVTPL HYUNDAI AUTO LEASE SECURITIZATION TR 201 NT CL A-2-A 144A 1.89
**
3,887,684

PVTPL HYUNDAI CAP AMER 2.4% DUE 10-30-2018 BEO
**
2,847,247

PVTPL IBERDROLA FIN IRELAND LTD NT 144A 5% DUE 09-11-2019 BEO
**
416,389

PVTPL IMPERIAL TOB FIN PLC 2.05 DUE 02-11-2018
**
1,029,866

PVTPL IMPERIAL TOB FIN PLC 2.95% DUE 07-21-2020 BEO
**
6,663,716

PVTPL ING BANK NV 2.45% 03-16-2020
**
200,093

PVTPL ING BK N V MEDIUM TERM NTS BOOK ENTRY 14 TRANCHE # TR 9 2.0% DUE 11-26-18
**
1,199,398


144
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL ING BK N V NT 144A 1.65% DUE 08-15-2019 BEO
**
3,593,492

PVTPL INTESA SANPAOLO S P A 144A BD 5.017% DUE 06-26-2024 REG
**
4,105,931

PVTPL INTESA SANPAOLO S P A RCPTS CL X 144A 3.125% DUE 07-14-2022 BEO
**
1,290,626

PVTPL INTESA SANPAOLO S P A RCPTS CL X 144A 3.875% DUE 07-14-2027 BEO
**
1,929,097

PVTPL ITC HLDGS CORP 2.7% DUE 11-15-2022/11-14-2017 BEO
**
978,228

PVTPL J G WENTWORTH XXII LLC 3.82 DUE 12-15-2048 BEO
**
1,564,268

PVTPL J P MORGAN CHASE COML MTG SECS TR 2014-FL6 CL A FLTG RT DUE 11-15-2031
**
7,507,259

PVTPL JACKSON NATL LIFE FDG LLC 3.25% DUE 01-30-2024 BEO
**
35,350

PVTPL JACKSON NATL LIFE GLOBAL 2.25% 04-29-2021 REG
**
79,147

PVTPL JACKSON NATL LIFE GLOBAL 1.875% 10-15-2018
**
299,699

PVTPL JACKSON NATL LIFE GLOBAL FDG SECD MEDIUM 2.2% DUE 01-30-2020 REG
**
2,039,385

PVTPL KINDER MORGAN INC DEL SR NT 5 DUE 02-15-2021
**
530,502

PVTPL KKR CLO 17 LTD CL C FLTG RT 04-15-2029
**
4,020,387

PVTPL LEASEPLAN CORP N V 2.5 DUE 05-16-2018 REG
**
1,800,211

PVTPL LENDMARK FDG TR 2017-1A ASSET BACKED CTF CL A 2.83% 01-22-2024
**
133,688

PVTPL LIBERTY MUT GROUP INC GTD SR NT 144A 4.25% DUE 06-15-2023 BEO
**
6,406,691

PVTPL LIBERTY MUT GROUP INC GTD SR NT 144A 5% DUE 06-01-2021 BEO
**
294,116

PVTPL LIBERTY MUT GROUP INC SR NT 144A 4.95% DUE 05-01-2022 BEO
**
124,090

PVTPL LIMEROCK CLO SER 2014-3A CL A1R FLTG DUE 10-20-2026
**
2,611,208

PVTPL MACQUARIE BK LTD 2.6 DUE 06-24-2019 BEO
**
85,230

PVTPL MACQUARIE GROUP LTD 144A 3.189% DUE 11-28-2023
**
546,172

PVTPL MACQUARIE GROUP LTD 3 DUE 12-03-2018
**
1,813,228

PVTPL MADISON PK FDG XII LTD SER 14-12A CL A-R FLTG RATE 07-20-2026
**
2,515,699

PVTPL MARATHON CLO X LTD SR 17-10A CL A-2 FLTG RT 11-15-2029 BEO
**
2,519,338

PVTPL MARBLE PT CLO X LTD/MARBLE PT CLO X LL SER 17-1A CL B FLTG 10-15-2030 BEO
**
2,518,398

PVTPL MARINER FIN ISSUANCE TR 2017-AA ASSET BACKED NT CL A 3.62% 02-20-2029
**
239,301

PVTPL MASSMUTUAL GLOBAL FDG 144A 2.35 DUE 04-09-2019
**
891,800

PVTPL MASSMUTUAL GLOBAL FDG II 2.5 10-17-2022
**
494,718

PVTPL MASSMUTUAL GLOBAL FDG II MEDIUM TERM NTS 2.0% DUE 04-15-2021
**
196,886

PVTPL MASSMUTUAL GLOBAL FDG II MEDIUM TERM NTS 144A 5.25 DUE 07-31-2018 BEO
**
2,337,968

PVTPL MASSMUTUAL GLOBAL FUNDIN 2.1 BNDS DUE 08-02-2018 144A
**
100,131

PVTPL MET LIFE GLOBAL FDG I MEDIUM TE TRANCHE # TR 00038 2% DUE 04-14-2020 BEO
**
893,108

PVTPL METROPOLITAN LIFE GLOBAL TRANCHE #TR 00030 2.3% DUE 04-10-2019 BEO
**
3,454,792

PVTPL MITSUBISHI UFJ TR & BKG CORP SR NT2.45% DUE 10-16-2019 BEO
**
2,303,641

PVTPL MIZUHO BK LTD SR NT 2.45 DUE 04-16-2019 BEO
**
600,440

PVTPL MONDELEZ INTL HLDGS NETH B V NT 144A 1.625 DUE 10-28-2019/10-28-2016 BEO
**
8,268,924

PVTPL MONONGAHELA PWR CO 3.55% DUE 05-15-2027 BEO
**
5,403,329

PVTPL MONROE CAP BSL CLO LTD SR 2015-1A CL B-R FLTG DUE 05-22-2027
**
6,006,498

PVTPL MOODYS CORP SR NT 144A 3.25% DUE 01-15-2028/06-12-2017 BEO
**
4,943,015

PVTPL MORGAN STANLEY TR 2012-IO REMIC PASSTHRU CTF CL AXA 1 03-27-2051
**
32,851

PVTPL NARRAGANSETT ELEC CO SR NT 4.534% 03-15-2020
**
227,761

PVTPL NATIONSTAR HECM LN TR SER 16-3 CL A 144A 2.0125% 08-25-2026
**
286,052

PVTPL NATIONWIDE BLDG SOC MEDIUM TERM SR NTS B 2.35% DUE 01-21-2020 BEO
**
899,434

PVTPL NATIONWIDE BLDG SOCIETY 2.45 07-27-2021 2.45 DUE 07-27-2021 BEO
**
2,331,061

PVTPL NATIONWIDE FINL SVCS INC SR NT 144A 5.375% DUE 03-25-2021 BEO
**
430,957

PVTPL NATIONWIDE MUT INS CO SURPLUS NT 144A 9.375% DUE 08-15-2039 REG
**
42,517

PVTPL NAVIENT STUDENT LN TR SR 2017-3 CL A-1 FLTG DUE 07-26-2066
**
2,214,101


145
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL NAVIENT STUDENT LN TRUST SR 2016-3A CL A-1 FLTG DUE 06-25-2065
**
454,532

PVTPL NBCUNIVERSAL ENTERPRISE INC GTD SRNT 144A 1.974% DUE 04-15-2019 BEO
**
268,512

PVTPL NELNET STUDENT LN TR SER 17-3A CL A FLTG 02-25-2066
**
8,599,974

PVTPL NEUBERGER BERMAN LN SER 17-25A CL B FLTG 10-18-2029
**
3,518,669

PVTPL NEW RESIDENTIAL MTG LN TR 2017-1 SER 17-1A CL A1 VAR 02-25-2057
**
4,287,191

PVTPL NEW YORK LIFE GLOBAL 1.7% DUE 09-14-2021 BEO
**
3,161,044

PVTPL NEW YORK LIFE GLOBAL FDG 1.55% DUE 11-02-2018
**
79,722

PVTPL NEW YORK LIFE GLOBAL FDG 2.35% 07-14-2026
**
42,950

PVTPL NEW YORK ST ELEC & GAS CORP SR NT 144A 3.25% DUE 12-01-2026/11-29-2016 BEO
**
97,795

PVTPL NEXTGEAR FLOORPLAN MASTER OWNER TRUST SER 2017-1A CL A2 2.54% 04-18-2022
**
410,995

PVTPL NISSAN MTR ACCEP CORP NT 2.65 DUE 09-26-2018 BEO
**
602,276

PVTPL NORDEA BANK AG MEDIUM TERM NTS BOOK FLTG 05-29-2020
**
2,490,336

PVTPL NORDEA BK AG MEDIUM TERM JR SUB NTS BOOK ENTRY 1.625% 05-15-2018
**
209,822

PVTPL NORFOLK SOUTHN CORP NT 4.05% 08-15-2052
**
414,587

PVTPL NY LIFE GLOBAL FDG MEDIUM TERM NTSTRANCHE # TR 00039 2.1 DUE 01-02-2019
**
1,001,371

PVTPL OCEAN TRAILS CLO IV/LLC 0% BDS SER 13-4A CL AR 08-13-2025
**
3,997,115

PVTPL OFSI FUND LTD SER 13-5A CL A1BR FLTG DUE 04-17-2025 BEO
**
1,401,192

PVTPL ONEMAIN DIRECT AUTO RECEIVABLES TR2017- 2.16% DUE 10-15-2020 BEO
**
18,644,293

PVTPL ONEMAIN FINANCIAL ISSUANCE TRUST SR 17-1A CL A2 FLTG 09-14-2023 BEO
**
6,835,836

PVTPL ONEMAIN FINL HLDGS INC 6.75% 12-15-2019
**
1,653,120

PVTPL ONEMAIN FINL ISSUANCE TR 2014-2 ASSET BACKED NT CL A 2.47%09-18-2024
**
2,441

PVTPL ONEMAIN FINL ISSUANCE TR 2015-1 CL A 3.19% DUE 03-18-2026
**
502,556

PVTPL ONEMAIN FINL ISSUANCE TR 2015-2 SRS 2015-2A CL A 2.57 DUE 07-18-2025BEO
**
4,807,822

PVTPL ONEMAIN FINL ISSUANCE TR SER 2016-2 CL B 5.94% DUE 03-20-2028
**
2,532,295

PVTPL OSCAR US FDG TR II NT CL A-4 144A 2.44% DUE 06-15-2022 BEO
**
1,993,834

PVTPL PARK AEROSPACE HLDGS LTD GTD 4.5% DUE 03-15-2023
**
1,050,500

PVTPL PENNSYLVANIA HIGHER ED ASSISTANCE A VAR RT DUE 11-25-2065
**
2,413,755

PVTPL PENSKE TRUCK LEASING CO L P / PTL 3.375% 02-01-2022
**
290,336

PVTPL PENSKE TRUCK LEASING CO L P/PTL 144A 4.2 04-01-2027/03-20-2017
**
93,551

PVTPL PENSKE TRUCK LEASING CO L P/PTL FIN CO SR NT 3.3% DUE 04-01-2021 BEO
**
9,166,545

PVTPL PENSKE TRUCK LEASING CO LP/PTL FINSR NT 3.375% DUE 03-15-2018 BEO
**
195,581

PVTPL PERNOD RICARD SA 4.45 DUE 01-15-2022
**
2,283,790

PVTPL PETROBRAS GLOBAL FIN B V GTD NT 144A 5.299% 01-27-2025
**
1,570,698

PVTPL PETROFAC LTD GTD SR NT 3.4 DUE 10-10-2018
**
1,881,000

PVTPL PFS FING CORP 2017-AA PREM FIN ASSET BKD NT CL A FLTG RT 03-15-2021
**
9,460,296

PVTPL PPIB CAP INC C 2.75% 11-02-2027
**
1,246,619

PVTPL PRICOA GLOBAL FDG I 1.6 DUE 05-29-2018
**
149,862

PVTPL PRICOA GLOBAL FDG I 2.45% DUE 09-21-2022
**
2,066,275

PVTPL PRICOA GLOBAL FDG I 2.55% 11-24-2020
**
783,674

PVTPL PRICOA GLOBAL FUNDING 1 2.2% DUE 06-03-2021
**
495,220

PVTPL PROGRESS RESIDENTIAL TRUST SER 2017-SFR2 CL C 3.395% 12-17-2034
**
587,248

PVTPL PROSPER MARKETPLACE ISSUANCE T SER 17-3A CL A 2.54% 11-15-2023
**
337,051

PVTPL PROSPER MARKETPLACE ISSUANCE TRUST SER 17-2A CL A 2.41% 09-15-2023
**
179,831

PVTPL PROSPER MARKETPLACE SER 17 -1A CL A 2.56% 06-15-2023
**
86,622

PVTPL RECKITT BENCKISER TREAS SVCS BNDS 3.0% DUE 06-26-2027
**
585,979

PVTPL RECKITT BENCKISER TREAS SVCS PLC FLTG DUE 06-24-2022
**
799,714

PVTPL REGATTA VIII FUNDING LTD SER 17-1A CL B FLT 10-17-2030
**
1,057,289


146
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL RELIANCE STD LIFE GLOBAL FDG II MED TERM 2.5% DUE 01-15-2020 BEO
**
485,022

PVTPL RENEW 2017-1 FDG NT CL A 144A 3.67000007629% DUE 09-20-2052 BEO
**
88,430

PVTPL RIO OIL FIN TR SER 2014-1 144A 6.25 DUE 07-06-2024
**
841,593

PVTPL ROLLS-ROYCE 3.625% DUE 10-14-2025
**
1,340,756

PVTPL ROLLS-ROYCE PLC GTD NT 144A 2.375%DUE 10-14-2020/10-14-2015 BEO
**
3,958,831

PVTPL RR 2 LTD / RR 2 LLC SR SECD NT CL FLTG A-1B 144A VAR RT DUE 10-15-2029 BEO
**
6,760,082

PVTPL SANTANDER RETAIL AUTO LEASE TR 2017-A CL A-4 2.72% DUE 01-20-2022
**
1,294,440

PVTPL SANTANDER RETAIL AUTO LEASE TR SER 17-A CL A3 2.22% 01-20-2021
**
2,751,971

PVTPL SCHLUMBERGER FIN CDA LTD SCHLUMBERGER 2.2% DUE 11-20-2020 BEO
**
2,833,347

PVTPL SCHLUMBERGER INVT SA 2.4 DUE 08-01-2022/07-31-2012 BEO
**
148,183

PVTPL SCHLUMBERGER INVT SA GTD SR NT 144A 3.3% DUE 09-14-2021/09-14-2011 BEO
**
307,340

PVTPL SCLP SER 2017-4 CL A 2.5% 06-25-2026
**
1,465,800

PVTPL SIEMENS FINANCIERINGSMAAT 3.125% DUE 03-16-2024
**
507,376

PVTPL SIEMENS FINANCIERINGSMAT 2.2% DUE 03-16-2020
**
3,993,748

PVTPL SIERRA TIMESHARE 2013-3A RECEIVABLES FDG CL A 2.2 10-20-2030
**
1,964,735

PVTPL SIMON PPTY GROUP L P NT 1.5 DUE 02-01-2018
**
199,976

PVTPL SINOPEC CAP 2013 LTD GTD SR NT 144A 1.875% DUE 04-24-2018 BEO
**
299,534

PVTPL SKANDINAVISKA ENSKILDA 2.375 DUE 03-25-2019 BEO
**
250,561

PVTPL SKANDINAVISKA ENSKILDA BANKEN AB PUBL NT 144A 1.75% DUE 03-19-2018 BEO
**
600,814

PVTPL SLM STUD LN TR 2007-1 AST BACKED NT CL A-5A VAR RT DUE 01-26-2026 REG
**
1,253,144

PVTPL SLM STUDENT LN TR 2003-10 STUDENT LN BKD CTF CL A-3 FLTG12-15-2027
**
4,205,402

PVTPL SMB PRIVATE ED LN TR 2017-A CL A1 1.23% DUE 06-17-2024
**
3,673,631

PVTPL SMB PVT ED LN TR 2016-B LN BACKED NT CL A-2A 144A 2.43 DUE 02-17-2032 BEO
**
3,636,926

PVTPL SMBC AVIATION CAP FIN DAC GTD SR NT 144A 3% DUE 07-15-2022 BEO
**
297,092

PVTPL SMITHFIELD FOODS INC 2.7% 01-31-2020
**
298,042

PVTPL SMITHS GROUP PLC GTD NT 144A 7.2% DUE 05-15-2019 BEO
**
211,489

PVTPL SOFI PROFESSIONAL LN PROGRAM 2016-F LLC CL A-2 3.02% DUE 02-25-2040
**
1,157,760

PVTPL SOFI PROFESSIONAL LN PROGRAM SER 144A CL A-1FX 2.05% 01-25-2041
**
550,566

PVTPL SOUTHERN NAT GAS CO L L C 03-15-2047
**
80,277

PVTPL SP POWERASSETS LTD GLOBAL MEDIUM TERM NT 3% DUE 09-26-2027 BEO
**
2,044,688

PVTPL SPRINGCASTLE AMER FDG LLC ABS NT 2016-A CL A 3.05% 04-25-2029
**
4,889,580

PVTPL SPRINGLEAF FDG TR 2015-A AST BACKED NT CL A 144A 3.16 DUE 11-15-2024 BEO
**
7,830,974

PVTPL STADSHYPOTEK AB PUBL MEDIUM TERM NTS BOO # TR 3 1.875 10-02-2019
**
496,575

PVTPL STATE GRID OVERSEAS INVT 2013 LTD SR GTD NT 144A 1.75% DUE 05-22-2018 BEO
**
349,224

PVTPL SUMITOMO MITSUI TR BK LTD 1.8 DUE 03-28-2018
**
499,920

PVTPL SUMITOMO MITSUI TR BK LTD FLTG 09-19-2019
**
399,886

PVTPL SUNTORY HLDGS LTD SR NT 144A 2.55%DUE 09-29-2019 BEO
**
300,362

PVTPL TELSTRA CORP LTD SR NT 144A 4.8% DUE 10-12-2021 BEO
**
214,608

PVTPL TOWD PT MTG TR 2017-4 NT CL A1 144A VAR RT DUE 06-25-2057 BEO
**
6,636,374

PVTPL TRANCHE # TR 6 1.65% DUE 09-06-2019 REG
**
494,863

PVTPL TRANS-ALLEGHENY INTST LINE CO 3.85% NTS 06-01-2025
**
2,074,672

PVTPL U S RESIDENTIAL OPPORTUNITY FD IV TR SER 17-1IV CL A STEP UP 11-27-2037
**
895,547

PVTPL U S RESIDENTIAL OPPORTUNITY SER 17-III CLS A STEP UP DUE 11-27-2037
**
1,625,493

PVTPL UBS AG LONDON BRH 2.45% 12-01-2020
**
398,794

PVTPL UBS AG LONDON BRH SR NT FLTG RATE DUE 06-08-2020
**
1,807,852

PVTPL UBS GROUP FDG JERSEY LTD SR NT 144A 4.125% DUE 09-24-2025 BEO
**
3,751,798

PVTPL UBS GROUP FDG JERSEY LTD SR NT FLTG 144A 2.90678% DUE 02-01-2022 BEO
**
206,336


147
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL UBS GROUP FDG SWITZ AG SR 4.253% DUE 03-23-2028
**
8,150,284

PVTPL UBS GROUP FUNDING (SWITZERLAND) AG3.0% DUE 04-15-2021 BEO
**
503,510

PVTPL UBS GROUP FUNDING (SWITZERLAND) AGSR NT 144A 2.65% DUE 02-01-2022 BEO
**
2,756,429

PVTPL UPSTART SECURITIZATION TR 2017-1 SR 17-1 CL A 2.639% 06/20/2024
**
104,023

PVTPL VERICREST OPPORTUNITY LOAN TRANSFEREE SER 17-NP11 CL A1 STEP UP 10-25-2047
**
653,321

PVTPL VERIZON COMMUNICATIONS INC 3.376% DUE 02-15-2025
**
32,608,700

PVTPL VERIZON OWNER TR 2016-1 AST BACKEDNT CL A 144A 1.42 DUE 01-20-2021BEO
**
497,709

PVTPL VERIZON OWNER TR 2017-2 CL A 1.92% 12-20-2021 BEO
**
315,890

PVTPL VERIZON OWNER TR 2017-3 CL A-1A 2.06% 04-20-2022
**
1,581,843

PVTPL VOLKSWAGEN GROUP AMER FIN LLC GTD NT 2.125 DUE 05-23-2019
**
298,774

PVTPL VOLT LIX LLC ASSET BACKED NT SER 2017-NPL6 CL A-1 STEP UP 05-25-2047
**
73,659

PVTPL VOLT LVI LLC ASSET BACKED NT SER 17-NPL3 CL A-1 STEP UP DUE 03-25-2047
**
176,420

PVTPL VOLT LVII LLC ASSET BACKED 17-NPL4 NT CL A-1 STEP UP 04-25-2047
**
126,901

PVTPL VOLT LX LLC ASSET BACKED NT SER 17-NPL7 CL A1 STEP 04-25-2059
**
115,184

PVTPL VOLVO FINL EQUIP LLC SER 17-1A CL A4 144A 2.21% 11-15-2021 BEO
**
2,584,800

PVTPL WESFARMERS LTD 1.874 03-20-2018
**
319,989

PVTPL WESTJET AIRLS LTD WESTJET AIRLS 3.5% DUE 06-16-2021/06-16-2016 BEO
**
504,661

PVTPL WRIGLEY WM JR CO NT 144A 2.4% DUE 10-21-2018/10-21-2013 BEO
**
1,674,743

PVTPL WRIGLEY WM JR CO NT 2.9 DUE 10-21-2019
**
5,288,722

PVTPL1 WRIGLEY WM JR CO 3.375% DUE 10-21-2020
**
4,330,034

PVTPLBANQUE FEDERATIVE DU CR MUTUEL TRANCHE # SR 14 1.9% 03-28-2019
**
14,230,490

PVTPLNAVIENT STUDENT LN TR 2016-6 STUDENT LN SER 16-6A CL A2 03-25-2066
**
7,610,157

PVTPLSOFI CONSUMER LN PROGRAM SER 2017-1 LL CL A 3.28% 01-26-2026
**
3,023,817

PZENA INVT MGMT INC CL A SHS
**
908,166

QANTAS AIRWAYS NPV
**
796,896

QATAR NATIONAL BK QAR10
**
71,531

QATAR(STATE OF) 2.375% SNR 02/06/2021 USD
**
35,593,650

QBE INS GROUP NPV
**
1,953,342

QCR HLDGS INC COM
**
51,334

QEP RES INC COM STK
**
219,670

QIAGEN NV EUR0.01
**
2,302,938

QORVO INC COM
**
2,577,020

QTS RLTY TR INC COM CL A COM CL A
**
3,265,848

QUAD / GRAPHICS INC COM STK
**
78,761

QUAKER CHEM CORP COM
**
2,985,642

QUALCOMM INC 2.1% 05-20-2020
**
14,473,866

QUALCOMM INC 2.9% DUE 05-20-2024
**
146,349

QUALCOMM INC 3.45% DUE 05-20-2025
**
13,330,218

QUALCOMM INC 4.8% DUE 05-20-2045
**
537,774

QUALCOMM INC COM
**
5,485,426

QUALCOMM INC FIXED 1.85% DUE 05-20-2019
**
1,016,137

QUALCOMM INC FIXED 3% DUE 05-20-2022
**
3,703,378

QUALCOMM INC NT FLTG RATE 05-20-2019
**
4,679,798

QUALICORP SA EQUITY
**
204,347

QUALITY CARE PPTYS INC COM
**
67,351

QUALITY SYS INC COM STK
**
51,251



148
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
QUALYS INC COM USD0.001
**
4,012,179

QUANEX BLDG PRODS CORP COM STK
**
86,346

QUANTA SVCS INC COM
**
728,698

QUE PROV CDA MEDIUM TERM NTS BOOK ENT TRANCHE # TR 00050 7.14 2-27-26
**
1,462,543

QUEBEC 4.5% MTN 01/12/2018 CAD1000
**
81,919

QUEBEC PROV CDA 2.75% DUE 04-12-2027 BEO
**
2,370,220

QUEBEC PROV CDA GLOBAL NT 2.625% DUE 02-13-2023 BEO
**
5,009,439

QUEBEC PROV CDA PROVINCE OF QUEBEC 2.5% 04-20-2026 REG 2.5% DUE 04-20-2026 REG
**
14,181,957

QUEBEC(PROV OF) 4.25% NTS 01/12/21 CAD1000
**
86,142

QUEBECOR INC CLASS'B'SUB-VTG NPV
**
1,551,967

QUEST DIAGNOSTICS 2.5% DUE 03-30-2020
**
709,967

QUIDEL CORP COM
**
34,810

QUINSTREET INC COM STK
**
28,760

QUORUM HEALTH CORP COM
**
11,450

QVC INC 3.125% DUE 04-01-2019
**
1,806,718

QVC INC 4.85% DUE 04-01-2024
**
11,559,306

RABOBANK 6.875% SNR MTN 19/03/20 EUR
**
1,659,339

RABOBANK NEDERLAND UTREC 3.875 08 FEB 2022
**
225,833

RAC BOND CO PLC 4.565%-VAR 06/05/2046 GBP
**
1,170,959

RADIAN GROUP INC COM
**
4,731,541

RADIANT LOGISTICS INC COM STK
**
24,624

RADIUS HEALTH INC COM NEW COM NEW
**
1,760,058

RAKUTEN INC NPV
**
150,014

RALPH LAUREN CORP 2.625% DUE 08-18-2020
**
3,250,278

RAMBUS INC DEL COM
**
128,890

RAMCO-GERSHENSON PPTYS TR COM SH BEN INTCOM SH BEN INT
**
78,511

RAMI LEVI ILS0.01
**
832,483

RAMIRENT OYJ NPV
**
1,197,828

RAND MERCHANT INSURANCE HLDGS LTD
**
51,326

RANDSTAD HLDGS NV EUR0.10
**
6,718,398

RANGE RES CORP COM
**
3,069,384

RAUBEX GROUP LTD ZAR0.01
**
360,150

RAVEN INDS INC COM STOCK
**
21,606

RAYMOND JAMES FNCL INC COM STK
**
4,939,987

RAYTHEON CO 2.5 DUE 12-15-2022
**
119,745

RAYTHEON CO 3.125% DUE 10-15-2020
**
1,396,365

RAYTHEON CO 3.15% DUE 12-15-2024
**
1,262,676

RAYTHEON CO 4.4% DUE 02-15-2020
**
193,344

RCI HOSPITALITY HLDGS INC COM
**
28,680

RE/MAX HLDGS INC CL A CL A
**
78,910

READING INTL INC CL A CL A
**
36,172


149
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
REALKREDIT DANMARK 1% PFBRF 01/04/2018 DKK0.01
**
1,278,862

REALKREDIT DANMARK 1% SNR 01/04/18 DKK0.01'10F
**
1,181,963

REALKREDIT DANMARK 2% CVD BDS 01/10/37 DKK0.01
**
183,919

REALKREDIT DANMARK 2% SNR SEC 01/10/47 DKK0.01
**
2,672,319

REALKREDIT DANMARK 2.5% DUE 01/10/2047
**
5

REALKREDIT DANMARK BNDS 2.5% CVD BDS 01/10/2037
**
327,686

REALNETWORKS INC COM NEW
**
12,268

REALOGY HLDGS CORP COM
**
291,606

REALTEK SEMICOND TWD10
**
332,666

REALTY INCOME CORP 3% DUE 01-15-2027
**
22,009

REALTY INCOME CORP 3.65% 01-15-2028
**
251,844

REALTY INCOME CORP 3.875% DUE 07-15-2024
**
118,653

REALTY INCOME CORP 5.75% DUE 01-15-2021
**
205,729

RECKITT BENCK GRP ORD GBP0.10
**
11,494,872

RECKITT BENCKISER 2.75% DUE 06-26-2024
**
391,332

RED HAT INC COM
**
8,730,790

RED LIONS HOTELS CORP COM
**
6,097

RED ROBIN GOURMET BURGERS INC COM
**
68,357

REDEFINE PROPS LTD NPV (POST CONVERSION)
**
139,840

REGAL BELOIT CORP COM
**
256,457

REGENCY CTRS L P 3.6% 02-01-2027
**
150,137

REGENCY ENERGY 5% DUE 10-01-2022
**
386,947

REGIONAL MGMT CORP COM STK
**
29,651

REGIONS BK 2.25% DUE 09-14-2018
**
5,245,712

REGIONS FINL CORP 3.2% DUE 02-08-2021
**
508,730

REGIONS FINL CORP FIXED 2.75% DUE 08-14-2022
**
3,518,895

REGIS CORP MINN COM
**
54,559

REIS INC COM STK
**
12,390

RELIANCE CAPITAL INR10(DEMAT)
**
678,700

RELIANCE HOME FIN INR10
**
106,180

RELIANCE INDS INR10(100%DEMAT)
**
123,664

RELIANCE STL & ALUM CO COM
**
5,589,562

RELX NV
**
6,437,517

RELX PLC
**
428,074

REMGRO ZAR0.01
**
144,215

RENAISSANCE RE HLDGS LTD COM
**
7,507,268

RENASANT CORP COM
**
3,005,579

RENAULT SA EUR3.81
**
1,533,355

RENB ENERGY GROUP INC COM STK
**
65,573

RENEWI PLC ORD GBP0.10
**
1,952,824

REORG/ IXYS CASH MERGER 01-18-2018
**
119,175


150
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
REORG/HEALTHSOUTH CORP NEW NAME CHANGE ENCOMPASS HEALTH 2L16A62 1/2/18
**
8,738,702

REORG/INC RESH NAME CHANGE WITH CUSIP CHANGE SYNEOS HEALTH INC 2K1VA32 01-08-18
**
2,860,814

REORG/VANTIV INC NAME CHANGE WORLDPAY INC 2K1CAG2 01-16-18
**
3,493,625

REP BANCORP INC KY CDT-CL A COM STK
**
74,025

REP OF ARGENTINA TBOND 3.375% 15/01/2023
**
613,675

REP OF INDONESIA 2.625% 14/06/2023
**
129,926

REP SVCS INC NT 5.25 DUE 11-15-2021
**
7,205,464

REPLIGEN CORP COM STK USD0.01
**
5,492,901

REPSOL SA EUR1
**
1,376,045

REPUBLIC OF INDONESIA 4.35% DUE 01-11-2048 REG
**
1,115,985

REPUBLIC SVCS INC 3.2% DUE 03-15-2025
**
2,302,597

REPUBLIC SVCS INC 3.8% DUE 05-15-2018
**
795,462

REPUBLIC SVCS INC 5.5% DUE 09-15-2019
**
189,284

RESILIENT REIT LTD NPV
**
95,089

RESOLUTE FST PRODS INC COM
**
104,202

RESOLUTION FDG CORP FED BOOK ENTRY PRIN 0 STRP 15/07/2020 USD1000 07-15-2020
**
1,897,454

RESONA HOLDINGS NPV
**
1,793,837

RESOURCES CONNECTION INC COM
**
58,586

RESTAURANT BRANDS INTL INC COM NPV
**
204,052

RETAIL OPPORTUNITY INVTS CORP COM STK
**
115,710

RETAIL PPTYS AMER INC CL A
**
152,961

REX AMERICAN RESOURCES CORP
**
30,963

REXEL EUR5
**
929,320

REXFORD INDL RLTY INC COM
**
21,666

REXNORD CORP COM USD0.01
**
158,852

REYNOLDS AMERN INC 3.25% DUE 06-12-2020
**
6,752,967

REYNOLDS AMERN INC 8.125% DUE 06-23-2019
**
3,450,508

REYNOLDS AMERN INC FIXED 2.3% DUE 06-12-2018
**
3,143,683

REYNOLDS AMERN INC FIXED 5.85% DUE 08-15-2045
**
874,139

RIBBON COMMUNICATIONS INC COM USD0.0001
**
42,291

RICE PK FING TR FLTG RT 4.625% DUE 10-31-2041
**
304,444

RICOH LEASING NPV
**
674,552

RIGNET INC COM
**
20,721

RING ENERGY INC COM
**
52,639

RINGCENTRAL INC CL A CL A
**
1,988,708

RIO TINTO LIMITED NPV
**
406,783

RIO TINTO ORD GBP0.10
**
9,836,295

RIOCAN REAL ESTATE TRUST UNITS NPV
**
172,354

RIPON MTGS PLC FRN 144A 20/08/2056
**
5,637,504

RIVERVIEW BANCORP INC COM STK
**
18,510

RLJ LODGING TR COM REIT
**
226,159


151
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
RLTY INC CORP 2 DUE 01-31-2018
**
249,978

RLTY INC CORP 3.25 DUE 10-15-2022
**
12,452,489

RMAC SECS NO 1 PLC FRN M/BKD 06/2044 GBP'A3A'
**
1,163,143

RMAC SECS NO 1 PLC FRN M/BKD 06/2044 GBPREGS
**
1,824,857

RMAC SECS NO 1 PLC FRN M/BKD NTS 6/44'A2A'REGS
**
3,343,435

RMB HLDGS ZAR0.01
**
259,476

ROADRUNNER TRANSPORTATION SY COM
**
26,869

ROBERT HALF INTL INC COM
**
2,690,635

ROBINSONS LAND CP PHP1
**
268,497

ROCHE HLDGS AG GENUSSCHEINE NPV
**
18,839,762

ROCK-TENN CO 4.9% DUE 03-01-2022
**
350,474

ROCKWELL AUTOMATION
**
399,769

ROCKWELL COLLINS 1.95% DUE 07-15-2019
**
3,123,911

ROCKWELL COLLINS 3.2% DUE 03-15-2024
**
302,300

ROCKWELL COLLINS 3.5% DUE 03-15-2027
**
305,453

ROCKY BRANDS INC COM STK
**
15,498

ROGERS 6.8% DUE 08-15-2018
**
1,363,926

ROGERS CABLE INC 8.75% DUE 05-01-2032
**
92,347

ROGERS COMMS INC CLASS'B'COM CAD1.62478
**
319,343

ROGERS CORP COM
**
282,065

ROHM CO LTD NPV
**
440,772

ROLLS ROYCE HLDGS ORD GBP0.20
**
3,933,976

ROLLS ROYCE HOLDINGS C SHS ENTITLEMENT (JAN 2018)
**
20,087

ROMANIA(REP OF) 5.85% BDS 26/04/23
**
196,099

ROPER TECHNOLOGIES , INC
**
301,994

ROPER TECHNOLOGIES 2.8% DUE 12-15-2021
**
1,527,687

ROSNEFT OIL CO GDR EACH REPR 1 ORD 'REGS'
**
92,941

ROWAN COMPANIES PLC
**
186,072

ROYAL BANK OF CANADA 2.15% DUE 10-26-2020 BEO
**
501,739

ROYAL BANK OF CANADA 4.65% DUE 01-27-2026 BEO
**
134,703

ROYAL BANK OF SCOT 6.934% SUB MTN 09/04/18 EUR
**
856,047

ROYAL BK CDA 1.8% DUE 07-30-2018
**
6,981,451

ROYAL BK CDA 1.875% DUE 02-05-2020
**
793,366

ROYAL BK CDA 2% DUE 12-10-2018
**
499,465

ROYAL BK CDA 2.125% DUE 03-02-2020
**
15,832,328

ROYAL BK CDA 2.2% DUE 07-27-2018
**
1,271,861

ROYAL BK CDA 2.2% DUE 09-23-2019
**
19,389,349

ROYAL BK CDA 2.3% DUE 03-22-2021
**
7,315,354

ROYAL BK CDA BA 05/01/2018
**
478,757

ROYAL BK CDA BA 08/01/2018
**
1,037,215

ROYAL BK CDA BA 11/01/2018
**
95,731


152
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ROYAL BK CDA FLTG RT 2.43152% DUE 04-15-2019
**
6,356,963

ROYAL BK CDA N Y BRH INSTL CTF DEP PROGRDTD 12-08-2017 1.95% CD 12-06-2018
**
12,959,911

ROYAL BK OF CANADA 0% SNR 15/01/2018 CAD
**
398,822

ROYAL BK OF CANADA COM NPV
**
1,671,304

ROYAL BK SCOT GRP 2%-FR SNR EMTN 08/03/23 EUR
**
1,894,042

ROYAL BK SCOTLAND 6.4% DUE 10-21-2019
**
6,560,467

ROYAL CARIBBEAN CRUISES 2.65% 11-28-2020
**
249,815

ROYAL DUTCH SHELL 'A'SHS EUR0.07(GBP)
**
2,190,041

ROYAL DUTCH SHELL 'B'ORD EUR0.07
**
2,809,050

ROYAL MAIL PLC ORD GBP0.01
**
1,639,788

RPI GBP UK RPI/3.35% LCH_CSFBUS 15/05/2030 SWU09UP13
**
2,913

RPI GBP UK RPI/3.4% LCH_CSFBUS 15/06/2030 SWU0C8247
**
9,489

RPI GBP UK RPI/3.53% LCH_CSFBUS 15/10/2031 SWU0B3678
**
6,276

RPI USD 1.58%/US CPI LCH_CSFBUS 05-23-2018 SWU0H0892
**
8,572

RPI USD 1.6775%/US CPI LCH_CSFBUS 05-24-2021 SWU029980
**
23,522

RPI USD US CPI/2.2425% LCH_CSFBUS 11-21-2026 SWU0C7835
**
14,207

RPM INTL INC
**
4,744,010

RPM INTL INC 6.125% DUE 10-15-2019
**
505,749

RPX CORP COM
**
66,125

RSA INSURANCE GRP ORD GBP1.00
**
305,758

RSP PERMIAN INC COM
**
3,290,442

RTI SURGICAL INC
**
33,075

RUBICON PROJ INC COM
**
4,920

RUDOPLH TECHNOLOGIES INC COM
**
80,830

RUSH ENTERPRISES INC CL A CL A
**
145,825

RWE AG NPV
**
2,340,689

RYDER SYS INC COM
**
448,626

RYDER SYS INC MEDIUM TERM NTS 2.45 DUE 09-03-2019
**
300,330

RYDER SYS INC MEDIUM TERM NTS BOOK ENTRY2.875% DUE 09-01-2020
**
69,476

RYDER SYS INC MEDIUM TERM NTS BOOK ENTRYTRANCHE # TR 00211 2.35 2-26-2019
**
220,206

RYDER SYS INC MEDIUM TERM NTS BOOK ENTRYTRANCHE # TR 00218 3.45% DUE 11-15-2021
**
2,871,324

RYDER SYS INC MTN TRANCHE # TR 00210 2.503-01-2018
**
250,047

RYDER SYS INC RYDER SYS INC MTN 2.5 DUE 09-01-2022 2.5 DUE 09-01-2022/08-08-2017
**
73,653

RYDER SYS INC RYDER SYS INC MTN 2.8 DUE 03-01-2022 2.8 DUE 03-01-2022/02-24-2017
**
2,616,815

RYDER SYSTEM INC 2.5% 05-11-2020
**
2,907,835

RYDER SYSTEM INC 2.25% DUE 09-01-2021
**
3,938,080

S & T BANCORP INC COM STK
**
134,239

S A C I FALABELLA COM NPV
**
45,565

S&P GLOBAL INC COM
**
6,161,756

SABINE PASS 5.625% DUE 03-01-2025
**
4,412,036

SABINE PASS 5.75% DUE 05-15-2024
**
1,000,333


153
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SABINE PASS LIQUEFACTION LLC SR SECD NT 5.625 DUE 02-01-2021
**
321,617

SABRA HEALTH CARE REIT INC COM
**
168,911

SAF HOLLAND EUR0.01 (BR)
**
1,639,839

SAFETY INS GROUP INC COM
**
98,570

SAFRAN SA EUR0.20
**
462,070

SAGA COMMUNICATIONS INC CL A NEW CL A NEW
**
20,710

SAGE GROUP GBP0.01051948
**
215,277

SAIA INC COM STK
**
4,874,038

SAKAI CHEMICAL IND NPV
**
373,945

SALEM MEDIA GROUP INC COM STK
**
7,839

SALESFORCE COM INC COM STK
**
13,964,209

SAM YUNG TRADING KRW500
**
883,656

SAMSUNG ELEC MECH KRW5000
**
867,021

SAMSUNG ELECTRONIC KRW5000
**
6,778,228

SAN DIEGO CALIF REDEV AGY SUCCESSOR AGY TX ALLOCATION 3.5 09-01-2028 BEO TAXABLE
**
1,303,967

SAN-A CO LTD NPV
**
1,813,239

SANDERSON FARMS INC COM
**
344,313

SANDRIDGE ENERGY INC SANDRIDGE ENERGY I COM USD0.001
**
43,109

SANDVIK AB NPV
**
873,235

SANDY SPRING BANCORP INC CMT-COM
**
2,411,904

SANFILIPPO JOHN B & SON INC COM
**
51,865

SANGAMO THERAPEUTICS INC COM
**
62,779

SANKEN ELECTRIC CO NPV
**
864,006

SANLAM ZAR0.01
**
203,976

SANMINA CORP COM
**
263,835

SANOFI EUR2
**
4,859,917

SANOFI SPONSORED ADR
**
7,460,500

SANTANDER CONSUMER USA HLDGS INC COM
**
459,765

SANTANDER DR AUTO 1.34% DUE 11-15-2019
**
655,007

SANTANDER DR AUTO 1.67% DUE 06-15-2020
**
3,395,979

SANTANDER DR AUTO 1.87% DUE 06-15-2021
**
1,007,815

SANTANDER DR AUTO 2.08% DUE 02-16-2021
**
2,000,424

SANTANDER DR AUTO 2.1% DUE 06-15-2021
**
241,322

SANTANDER DR AUTO FIXED 2.79% DUE 08-15-2022
**
691,185

SANTANDER DR AUTO FIXED 3.73% DUE 07-17-2023
**
86,860

SANTANDER DR AUTO RECEIVABLES TR SER 17-1 CL D 3.17% 04-17-2023
**
374,897

SANTANDER DRIVE AUTO RECEIVABLES TR SER 2017-1 NT CL C 2.58% DUE 05-16-2022
**
198,421

SANTANDER HLDGS 2.7% DUE 05-24-2019
**
5,832,693

SANTANDER HLDGS 3.4% DUE 01-18-2023
**
677,351

SANTANDER UK GROUP 2.875% DUE 08-05-2021
**
2,593,630

SANTANDER UK GROUP 2.875% DUE 10-16-2020
**
9,691,926


154
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SANTANDER UK GROUP 3.571% DUE 01-10-2023
**
1,511,474

SANTANDER UK GROUP HLDGS PLC 3.125% 01-08-2021
**
4,744,208

SANTANDER UK PLC 2.35% DUE 09-10-2019
**
250,099

SANTANDER UK PLC 2.5% DUE 03-14-2019
**
5,497,843

SANTANDER UK PLC FIXED 2.125% DUE 11-03-2020
**
8,337,399

SAP SE
**
13,376,244

SARTORIUS STEDIM B EUR0.20
**
2,677,291

SASOL NPV
**
124,112

SATO HOLDINGS NPV
**
723,926

SATS LTD NPV
**
762,482

SAUDI ARABIA (KINGDOM OF) 3.25% 26/10/26
**
196,491

SAUDI ARABIA 2.375% MTN 26/10/2021 USD
**
3,906,920

SAUDI ARABIA KINGDOM GLOBAL MEDIUM TERM TRANCHE # TR 4 2.875% 03-04-2023
**
1,769,440

SAUDI ARABIA KINGDOM GLOBAL MEDIUM TERM TRANCHE # TR 5 3.625% DUE 03-04-2028 REG
**
43,901,300

SAUDI ARABIA KINGDOM TRANCHE # TR 1 2.375% DUE 10-26-2021 REG
**
2,750,797

SAUDI ARABIA KINGDOM TRANCHE # TR 2 3.25% DUE 10-26-2026 REG
**
196,088

SAUDI INTERNATIONAL BOND 144A TBOND 4.625% DUE 10-04-2047 REG
**
510,652

SBA COMMUNICATIONS CORP COM USD0.01 CL A
**
382,262

SCANSOURCE INC COM
**
102,746

SCENTRE GROUP
**
272,632

SCENTRE GROUP TR 1 FIXED 3.5% DUE 02-12-2025
**
25,135

SCHAEFFLER AG NPV (NON VTG PRF SHS)
**
1,241,207

SCHLUMBERGER HLDGS 2.35% DUE 12-21-2018
**
7,146,931

SCHLUMBERGER HLDGS 2.35% DUE 12-21-2018
**
300,674

SCHLUMBERGER HLDGS CORP 144A 3.0% 12-21-2020 BEO
**
10,774,781

SCHLUMBERGER LTD COM COM
**
15,406,567

SCHNEIDER ELECTRIC EUR4.00
**
13,441,081

SCHNITZER STL INDS INC CL A
**
94,035

SCHOLASTIC CORP COM
**
123,338

SCHRODERS VTG SHS GBP1
**
176,775

SCHWAB CHARLES 3.2% DUE 01-25-2028
**
325,510

SCHWAB CHARLES 3.2% DUE 03-02-2027
**
90,821

SCHWAB CHARLES 3.225% DUE 09-01-2022
**
35,574

SCHWAB CHARLES CORP COM NEW
**
23,925,732

SCHWEITZER-MAUDUIT INTL INC COM
**
134,810

SCORPIO TANKERS INC COM STK
**
91,646

SCOTTS MIRACLE-GRO CLASS'A'COM NPV
**
3,466,476

SCRIPPS E W CO OHIO CL A NEW COM STK
**
93,295

SCRIPPS NETWORKS 2.75% DUE 11-15-2019
**
3,943,290

SCRIPPS NETWORKS 2.8% DUE 06-15-2020
**
864,875

SCRIPPS NETWORKS 3.5% DUE 06-15-2022
**
2,222,176


155
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SCSK CORP NPV
**
1,849,595

SDL ORD GBP0.01
**
317,883

SEABOARD CORP DEL COM
**
282,240

SEACHANGE INTL INC COM
**
786

SEACOAST BKG CORP FLA COM NEW COM NEW
**
2,681,336

SEACOR HLDGS INC COM
**
85,276

SEACOR MARINE HLDGS INC COM
**
21,692

SEAGATE HDD CAYMAN 3.75% DUE 11-15-2018
**
1,521,750

SEALED AIR CORP NEW COM STK
**
3,131,635

SEARS HOMETOWN & OUTLET STORES INC COM COM
**
5,460

SEASPINE HLDGS CORP COM
**
23,924

SECRETARIA TESOURO 0% TB 01/04/18 BRL1000
**
4,480,809

SECURITY BK CORP PHP10
**
442,322

SEGA SAMMY HLDGS I NPV
**
291,239

SEGRO PLC ORD GBP0.10
**
1,948,555

SEIKO EPSON CORP NPV
**
214,339

SEKISUI HOUSE NPV
**
140,784

SELECT BANCORP INC NEW COM
**
20,650

SELECT INCOME REIT 2.85% DUE 02-01-2018
**
3,040,000

SELECT INCOME REIT COM SH BEN INT COM SHBEN INT
**
91,473

SELECT MED HLDGS CORP COM
**
222,514

SELECTIVE INS GROUP INC COM
**
4,373,854

SEMBCORP INDUSTRIE NPV
**
35,301

SEMGROUP CORP CL A CL A
**
176,549

SEMPRA ENERGY 1.625% DUE 10-07-2019
**
2,730,548

SEMPRA ENERGY 2.4% DUE 03-15-2020
**
199,885

SEMPRA ENERGY 4.05 SNR NTS DUE 12-01-2023
**
157,947

SEMPRA ENERGY 6% DUE 10-15-2039
**
232,258

SEMPRA ENERGY 9.8% DUE 02-15-2019
**
227,438

SEMPRA ENERGY NT FLTG RATE DUE 03-15-2021 REG
**
100,154

SENECA FOODS CORP NEW CL A
**
28,352

SENIOR GBP0.10
**
1,387,312

SENIOR HSG PPTYS TR SH BEN INT SH BEN INT
**
281,179

SENSIENT TECHNOLOGIES CORP COM
**
2,377,375

SEOBU T&D KRW500
**
945,618

SERVICEMASTER GLOBAL HLDGS INC COM
**
2,871,120

SERVICENOW INC COM USD0.001
**
1,087,192

SEVEN & I HOLDINGS NPV
**
1,437,417

SEVERSTAL PJSC GDR EACH REPR 1 ORD 'REGS'
**
906,540

SFR GROUP 5.625% GTD 15/05/2024 EUR
**
502,038

SHELL INTERNATIONAL FIN 4.55 DUE 08-12-2043 REG
**
28,435


156
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SHELL INTL FIN B V 1.375% DUE 05-10-2019
**
4,575,260

SHELL INTL FIN B V 1.375% DUE 09-12-2019
**
3,738,569

SHELL INTL FIN B V 1.625% DUE 11-10-2018
**
2,857,740

SHELL INTL FIN B V 1.875% DUE 05-10-2021
**
492,647

SHELL INTL FIN B V 2.125% DUE 05-11-2020
**
498,960

SHELL INTL FIN B V 2.25% DUE 11-10-2020
**
310,916

SHELL INTL FIN B V 2.875% DUE 05-10-2026
**
172,001

SHELL INTL FIN B V 3.4% DUE 08-12-2023
**
114,216

SHELL INTL FIN B V 4% DUE 05-10-2046
**
178,929

SHELL INTL FIN B V 4.125% DUE 05-11-2035
**
171,265

SHELL INTL FIN B V 4.3% DUE 09-22-2019
**
947,849

SHELL INTL FIN B V GTD NT 4.375 DUE 03-25-2020
**
418,272

SHERWIN-WILLIAMS 2.25% DUE 05-15-2020
**
10,400,064

SHERWIN-WILLIAMS 3.45% DUE 06-01-2027
**
54,864

SHERWIN-WILLIAMS CO COM
**
8,108,951

SHERWIN-WILLIAMS FIXED 4.2% DUE 01-15-2022
**
418,960

SHILOH INDS INC COM
**
12,603

SHIMAMURA CO NPV
**
484,071

SHIMIZU CORP NPV
**
373,625

SHIN KONG FINL HLD TWD10
**
311,184

SHIN-ETSU CHEMICAL NPV
**
2,759,367

SHINSEI BANK NPV
**
375,517

SHIONOGI & CO LTD NPV
**
1,016,684

SHIP FINANCE INTERNATIONAL COMMON STK
**
144,569

SHIP HEALTHCARE HOLDINGS INC NPV
**
958,505

SHIRE ACQUISITIONS 1.9% DUE 09-23-2019
**
11,861,636

SHIRE ACQUISITIONS 2.875% DUE 09-23-2023
**
2,130,321

SHIRE ACQUISITIONS 3.2% DUE 09-23-2026
**
4,106,563

SHIRE PLC ORD GBP0.05
**
722,982

SHISEIDO CO LTD NPV
**
255,524

SHN EXPRESSWAY 'H'CNY1
**
1,756,819

SHOE CARNIVAL INC COM
**
49,354

SHOPIFY INC CL A SHOPIFY INC
**
523,887

SHORE BANCSHARES INC COM
**
19,773

SHUTTERFLY INC COM
**
121,291

SI FINL GROUP INC MD COM
**
19,389

SIEMENS AG NPV(REGD)
**
2,301,865

SIEMENS FINANCIERINGSMAATSCHAPPIJ N V NT144A FLTG RATE DUE 09-13-2019 BEO
**
5,653,570

SIERRA BANCORP COM STK
**
38,114

SIFCO INDS INC COM STK
**
3,405

SIGMA DESIGNS INC COM
**
24,325


157
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SIGNATURE BK NY N Y COM
**
3,294,240

SIGNET JEWELERS LTD ORD USD0.18
**
317,076

SIKA AG CHF0.60 (BR)
**
3,844,298

SILGAN HLDGS INC COM
**
2,098,564

SILICOM LTD COM STK
**
864,456

SILICON LABORATORIES INC COM
**
1,086,090

SIMMONS 1ST NATL CORP CL A $0.01 PAR
**
215,039

SIMON PPTY GROUP L 2.5% DUE 09-01-2020
**
451,629

SIMON PPTY GROUP L 3.375% DUE 12-01-2027
**
251,158

SIMON PPTY GROUP L 4.375% DUE 03-01-2021
**
374,650

SIMON PPTY GROUP L P NT 2.2 DUE 02-01-2019
**
559,544

SIMPSON MFG INC COM
**
270,688

SINA CORPORATION COM STK USD0.133
**
90,480

SINCLAIR BROADCAST GROUP INC CL A
**
172,558

SINGAPORE EXCHANGE NPV
**
73,891

SINGAPORE GOVERNMENT 2.125% 01/06/2026
**
529,819

SINO BIOPHARMACEUT HKD0.025
**
357,263

SINO LAND CO NPV
**
718,397

SINOFERT HOLDINGS HKD0.1
**
342,118

SINOPEC GROUP 2.75% DUE 04-10-2019
**
300,565

SINOPEC 'H' CNY1
**
85,309

SINOPEC S/PETROCHE 'H'CNY1
**
199,265

SITEONE LANDSCAPE SUPPLY INC COM
**
4,462,023

SJM HOLDINGS LTD. NPV
**
310,697

SK HYNIX INC
**
2,842,708

SK INNOVATION CO.LTD KRW5000
**
326,574

SK TELECOM KRW500
**
1,787,878

SKAND ENSKILDA BKN 1.5% BDS 15/12/21 SEK500000
**
443,529

SKAND ENSKILDA BKN SER'A'NPV
**
357,304

SKANDINAVISKA FIXED 2.3% DUE 03-11-2020
**
4,640,988

SKF AB SER'B'NPV
**
165,316

SKYWEST INC COM
**
277,554

SL GREEN OPER 3.25% DUE 10-15-2022
**
199,233

SLC AGRICOLA SA COM NPV
**
324,394

SLC STUDENT LN TR 2010-1 NT CL IA-1 FLTGRATE 11-25-2042 REG
**
2,245,815

SLM CORP 8 DUE 03-25-2020
**
108,125

SLM CORP COM
**
48,488

SLM CORP MEDIUM TERM NTS BOOK ENTRY MTN 4.875 DUE 06-17-2019
**
711,830

SLM CORP MTN 5.5 01-15-2019
**
2,035,000

SLM PRIVATE CR STUDENT LN TR 2006-BW CL A-5 FLTG RATE 12-15-2039 REG
**
7,804,486

SLM PRIVATE CR STUDENT LN TR 2007-A STUDLN BACKED NT A-4 FLTG 12-16-2041BEO
**
747,727


158
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SLM PRIVATE CR STUDENT LN TR ASSTBCKD SER 2005-A CL A4 FLTG 12-15-2038 BEO
**
1,879,696

SLM PRIVATE CR STUDENT LN TR SER 2002-A CL A2 FLT RT 12-16-2030 BEO
**
3,750,247

SLM PRIVATE CR STUDENT LOAN TRUST 2004-A06-15-2033 REG
**
9,328,554

SLM STUDENT LN 3-7 3.8%-FRN A/BKD 15/12/33 EUR
**
500,470

SLM STUDENT LN TR 2003-14 CL A-6 FLTG 07-25-2025 REG
**
1,904,652

SLM STUDENT LN TR 2005-4 CL A-3 VAR RT DUE 01-25-2027
**
1,310,281

SLM STUDENT LN TR 2008 9 STUDENT LOAN BKD NTS CL A FLTG 04-25-2023 REG
**
16,539,661

SLOVENIA(REP OF) 4.125% NTS 18/02/2019
**
1,126,180

SLOVENIA(REP OF) 4.75% SNR MTN 10/05/18 USD
**
404,580

SM ENERGY CO COM
**
244,779

SM INVEST CORP PHP10
**
211,919

SM PRIME HLDGS PHP1
**
143,546

SMALL BUSINESS 5.67999982834% DUE 06-01-2028
**
246,396

SMALL BUSINESS ADMIN GTD DEV DEB SER 1999-20 L 7.19 12-1-2019/6-1-00 BEO
**
12,854

SMALL BUSINESS ADMIN GTD DEV PARTN SER 2017-20L CL 1 01 2.78 12-01-2037
**
140,912

SMALL BUSINESS ADMINISTRATION SER 2016-10A CL 1 2.507% 03-10-2026
**
314,041

SMART & FINAL STORES INC COM
**
56,233

SMC CORP NPV
**
453,064

SMITH & NEPHEW ORD USD0.20
**
991,469

SMITH A O CORP COM
**
1,838,400

SMITHS GROUP ORD GBP0.375
**
2,721,569

SMUCKER J M CO 1.75% DUE 03-15-2018
**
2,345,722

SMUCKER J M CO COM NEW
**
3,681,728

SNYDERS-LANCE INC COM
**
31,150

SOCIETE GENERALE 144A 5.2 DUE 04-15-2021
**
323,110

SOCIETE GENERALE 3.25% DUE 01-12-2022
**
302,748

SOCIETE GENERALE 8.25 DUE 12/31/2049
**
1,569,375

SOCIETE GENERALE EUR1.25
**
875,833

SOCIETE GENERALE NTS BOOK ENTRY 2.625 DUE 10-01-2018
**
652,705

SODEXHO EUR4
**
1,006,717

SOFTBANK GROUP CORP
**
1,272,233

SOLAREDGE TECHNOLOGIES INC COM
**
926,283

SOLVAY SA NPV
**
660,569

SOMPO HOLDINGS INC
**
1,392,103

SONIC AUTOMOTIVE INC CL A
**
69,962

SONIC CORP COM
**
1,183,564

SONOCO PROD CO COM
**
242,212

SONOVA HOLDING AG COMMON STOCK
**
191,095

SONY CORP NPV
**
1,352,362

SOUNDVIEW HOME LN TR 2006-OPT2 MTG PASSTHRU CTF CL A-3 05-25-2036 REG
**
1,880,044

SOUTH AFRICA REP NT 5.375% DUE 07-24-2044 REG
**
200,340


159
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SOUTH AFRICA REP NT 6.875% DUE 05-27-2019 REG
**
315,860

SOUTH ST CORP COM
**
1,604,954

SOUTH32 LTD NPV
**
1,113,032

SOUTHERN CALIF EDISON CO 3.5 DUE 10-01-2023
**
926,877

SOUTHERN CO 2.35% DUE 07-01-2021
**
397,627

SOUTHERN CO COM STK
**
3,768,909

SOUTHERN CO FIXED 2.75% DUE 06-15-2020
**
756,762

SOUTHERN CO SER 2017-A SR NT FLTG 144A DUE 09-30-2020/09-30-2019 BEO
**
502,920

SOUTHERN MO BANCORP INC COM
**
31,200

SOUTHERN NATL BANCORP VA INC COM
**
19,717

SOUTHERN PWR CO 1.95% DUE 12-15-2019
**
4,440,204

SOUTHERN PWR CO 4.15% DUE 12-01-2025
**
21,077

SOUTHERN PWR CO 5.15% DUE 09-15-2041
**
66,731

SOUTHN CAL EDISON 4% DUE 04-01-2047
**
102,036

SOUTHN CAL EDISON 5.5% DUE 08-15-2018
**
204,419

SOUTHN CAL EDISON CO 5.55 DUE 01-15-2036BEO
**
203,420

SOUTHN CAL GAS CO 1.55% DUE 06-15-2018
**
399,049

SOUTHN COPPER CORP DEL COM
**
135,375

SOUTHN NAT GAS CO 8% DUE 03-01-2032
**
112,527

SOUTHSIDE BANCSHARES INC CMT-COM CMT-COM
**
80,832

SOUTHWEST AIRLS CO 2.65% DUE 11-05-2020
**
1,757,112

SOUTHWEST GAS HLDGS INC COM
**
4,164,920

SOUTHWESTN ELEC 3.9% DUE 04-01-2045
**
98,492

SOUTHWESTN ELEC 6.45% DUE 01-15-2019
**
119,714

SP PLUS CORP COM
**
94,457

SPAIN(KINGDOM OF) 1.5% BDS 30/04/2027 EUR1000
**
241,509

SPAIN(KINGDOM OF) 2.9% BDS 31/10/2046 EUR1000
**
610,057

SPAREBANK 1 SR BK NOK25
**
1,083,936

SPARK INFR GROUP NPV STAPLED
**
590,340

SPARTAN MTRS INC COM
**
54,889

SPARTANNASH CO COM NPV
**
2,176,128

SPARTON CORP COM STK
**
23,637

SPCL1 GEN ELEC CAP CORP 5.875% DUE 01-14-2038
**
310,365

SPECTRA ENERGY CAP 6.2% DUE 04-15-2018
**
262,822

SPECTRA ENERGY PARTNERS LP SR NT FLTG DUE 06-05-2020 REG
**
302,246

SPECTRUM PHARMACEUTICALS INC COM
**
38,772

SPEEDWAY MOTORSPORTS INC COM
**
71,555

SPIRIT AIRLS CL AA 3.375% DUE 08-15-2031
**
60,969

SPIRIT AIRLS INC COM
**
252,371

SPIRIT ISSUER 6.582%-FRN A/BK 12/18GBP'A4
**
1,060,232

SPIRIT RLTY CAP INC NEW COM
**
246,418


160
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SPLUNK INC COMSTK COM USD0.001
**
5,495,854

SPOK HLDGS INC COM
**
35,291

SPORTON INTERNATIO TWD10
**
64,694

SPRINGLEAF FIN 5.25% DUE 12-15-2019
**
205,750

SPRINGLEAF FIN 8.25% DUE 12-15-2020
**
110,000

SPRINT SPECTRUM CO 3.36% DUE 09-20-2021
**
9,584,531

SPX FLOW INC COM
**
54,968

SRC ENERGY INC COM USD0.001
**
148,141

SSE PLC ORD GBP0.50
**
383,771

ST AUTO FINL CORP COM
**
136,922

ST JAMES'S PLACE ORD GBP0.15
**
1,344,808

*ST STR CORP 3.7 DUE 11-20-2023
**
179,008

*ST STR CORPORATION 3.1% DUE 05-15-2023
**
80,694

STADSHYPOTEK AB 1.5% BDS 15/12/21 SEK100000
**
1,140,502

STADSHYPOTEK AB 4.5% BDS 21/09/22 SEK100000
**
3,440,965

STAG INDL INC COM
**
136,158

STAGE STORES INC COM NEW COM NEW
**
4,822

STANDARD BK GR LTD ZAR0.1
**
449,076

STANDARD CHARTERED BK NEW YORK N Y 08-11-2017 1.6% CTF OF DEP 08-10-2018
**
8,131,709

STANDARD CHARTERED BK NEW YORK N Y CTF OF DEP 06-05-2017 1.62% 06-01-2018
**
12,281,929

STANDARD LIFE ABERDEEN PLC
**
1,644,703

STANDARD MTR PRODS INC COM
**
101,272

STANDEX INTL CORP COM
**
2,694,544

STANLEY BLACK & 2.451% DUE 11-17-2018
**
6,645,014

STANLEY BLACK & DECKER INC COM
**
5,909,794

STANLEY BLACK & STEP CPN 1.622% DUE 11-17-2018
**
2,939,182

STARBUCKS CORP 2.7% DUE 06-15-2022
**
143,438

STARRETT L S CO CL A
**
6,166

START TODAY CO LTD NPV
**
745,235

STARTEK INC COM
**
15,324

STATE BK FINL CORP COM
**
73,824

STATE BK INDIA(LDN FRN SNR MTN 04/20 USD200000
**
200,520

STATE OF QATAR 4.5% 20 JAN 2022
**
6,331,836

*STATE STR CORP COM
**
15,864,553

*STATE STR CORP STEP CPN 4.956% DUE 03-15-2018
**
2,494,188

STATOIL ASA 2.45 DUE 01-17-2023 REG
**
89,465

STATOIL ASA 1.15% DUE 05-15-2018
**
488,813

STATOIL ASA 2.25% DUE 11-08-2019
**
6,199,516

STATOIL ASA 3.15 DUE 01-23-2022
**
98,184

STD CHARTERED PLC 2.1% DUE 08-19-2019
**
3,810,694

STEELCASE INC CL A COM
**
75,301


161
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
STEIN MART INC COM
**
776

STEPAN CO COM
**
161,889

STERIS PLC NEW STERIS LTD COMSTK
**
2,401,839

STERLING BANCORP DEL COM
**
4,072,063

STERLING CONSTR INC COM
**
30,037

STEWART INFORMATION SVCS CORP COM
**
99,701

STHREE ORD GBP0.01
**
825,119

STICHTING AK RABOBANK CERTIFICATEN 6.5% 31/12/2049
**
596,197

STIFEL FINL CORP COM
**
361,351

STITCH FIX INC CL A CL A
**
326,698

STOCKLAND NPV (STAPLED)
**
125,108

STONE ENERGY CORP COM PAR $ COM PAR $
**
13,153

STONERIDGE INC COM
**
63,254

STORE CAPITAL CORPORATION COM USD0.01
**
267,144

STRATASYS INC SHS
**
112,215

STRATTEC SEC CORP COM
**
27,219

STRATUS PPTYS INC COM NEW COM NEW
**
24,413

STRIP PRINCIPAL ZCPN 02-15-2020
**
1,220,108

STRUCTURED ASSET INVT LN TR 2003-BC2 MTGPASSTHRU CTF CL A2 VAR 04-25-2033 REG
**
219,564

STRUCTURED ASSET INVT LN TR 2004-2 MTG PASSTHRU CTF CL A4 03-25-2034 REG
**
509,561

SUBARU CORPORATION NPV
**
1,307,883

SUL AMERICA SA UNITS (1 COM SHS & 2 PRF)
**
290,234

SUMITOMO CHEMICAL CO. LTD NPV
**
280,537

SUMITOMO ELECTRIC NPV
**
175,531

SUMITOMO HEAVY IND NPV
**
461,805

SUMITOMO MITSUI 2.25 DUE 07-11-2019
**
4,168,417

SUMITOMO MITSUI 2.442% DUE 10-19-2021
**
3,596,709

SUMITOMO MITSUI 2.632% DUE 07-14-2026
**
142,789

SUMITOMO MITSUI 2.84% BNDS 01-11-2022
**
150,298

SUMITOMO MITSUI 2.934% DUE 03-09-2021
**
14,435,392

SUMITOMO MITSUI BANKING 1.966% BNDS 01-11-2019
**
4,997,796

SUMITOMO MITSUI BANKING 2.092% 10-18-2019
**
596,922

SUMITOMO MITSUI BANKING 3.4 07-11-2024
**
6,038,373

SUMITOMO MITSUI BANKING CORP 1.95% DUE 07-23-2018
**
1,015,847

SUMITOMO MITSUI BK 1.5% DUE 01-18-2018
**
249,960

SUMITOMO MITSUI BK CORP 2.45 DUE 01-10-2019 BEO
**
4,091,758

SUMITOMO MITSUI BK CORP 2.45 DUE 01-10-2019 BEO
**
250,562

SUMITOMO MITSUI BKG CORP N Y INSTL CTF DEP DTD 07-17-2017 FLTG 07-11-2019
**
12,191,922

SUMITOMO MITSUI FINANCIAL GROUP NPV
**
332,637

SUMITOMO MITSUI FIXED 2.058% DUE 07-14-2021
**
4,704,067

SUMITOMO MITSUI FIXED 2.45% 10-20-2020
**
1,001,669


162
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SUMITOMO MITSUI TR 2.05% DUE 03-06-2019
**
1,869,628

SUMITOMO MITSUI TR BK LTD NY BRH CTF DEP06-07-2017 FLTG RT DUE 12-07-2018
**
14,230,490

SUMITOMO REALTY & DEVELOPMENT NPV
**
196,980

SUMMIT FINL GROUP INC COM
**
28,820

SUMMIT HOTEL PROPERTIES INC COM
**
88,974

SUMMIT MATLS INC CL A CL A
**
3,146,075

SUN ART RETAIL GRO NPV
**
411,037

SUN BANCORP INC NEW JERSEY COM USD5.00(POST REV SPLIT)
**
23,255

SUN COMMUNITIES INC COM
**
423,819

SUN HUNG KAI CO NPV
**
454,783

SUN HUNG KAI PROP NPV
**
1,831,319

SUNAC CHINA HLDGS HKD0.10
**
173,030

SUNCOKE ENERGY INC COM USD0.01
**
76,196

SUNCOR ENERGY INC 5.95 DUE12-01-2034 BEO
**
100,579

SUNCOR ENERGY INC COM NPV 'NEW'
**
13,087,196

SUNCORP GROUP LTD NPV
**
788,876

SUNDRUG CO LTD NPV
**
1,563,217

SUNNY OPTICAL TECH HKD0.10
**
531,729

SUNOCO LOGISTICS 4.25% DUE 04-01-2024
**
270,161

SUNOCO LOGISTICS 4.4% DUE 04-01-2021
**
31,198

SUNOCO LOGISTICS 4.65% DUE 02-15-2022
**
83,991

SUNOPTA INC COMSTK
**
1,016,711

SUNSTONE HOTEL INVS INC NEW COM
**
219,783

SUNTRUST BANK INC 2.25% DUE 01-31-2020
**
2,650,903

SUNTRUST BK ATL GA FIXED 2.45% DUE 08-01-2022
**
5,595,822

SUNTRUST BKS INC 2.5% DUE 05-01-2019
**
3,505,099

SUNTRUST BKS INC 2.7% DUE 01-27-2022
**
2,849,900

SUNTRUST BKS INC 2.9% DUE 03-03-2021
**
303,358

SUPER MICRO COMPUTER INC COM
**
105,901

SUPERIOR ENERGY SVCS INC COM
**
147,455

SUPERIOR INDS INTL INC COM
**
29,700

SUPERIOR UNIFORM GROUP INC COM
**
9,268

SUPERNUS PHARMACEUTICALS INC COM STK
**
2,021,232

SUPERVALU INC COM NEW COM NEW
**
74,239

SURGERY PARTNERS INC COM
**
1,200,320

SURGUTNEFTEGAZ ADR-REPR 10 ORD RUB1
**
106,437

SURMODICS INC COM
**
18,900

SURUGA BANK NPV
**
1,375,571

SURYA CITRA MEDIA IDR50
**
597,774



163
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SVB FINANCIAL GROUP COMMON STOCK
**
604,763

SVENSKA 1.95% DUE 09-08-2020
**
494,651

SVENSKA 2.25% DUE 06-17-2019
**
250,110

SVENSKA 2.5% DUE 01-25-2019
**
1,626,237

SVENSKA HANDELSBANKEN AB PUBL MEDIUM TER 1.875% DUE 09-07-2021
**
488,509

SWEDBANK AB MEDIUM 2.2% DUE 03-04-2020
**
497,939

SWEDBANK MORTGAGE 1% BDS 15/06/22 SEK100000
**
979,221

SWEDBANK MORTGAGE 1% CVD BDS 15/09/2021 SEK
**
398,775

SWEDISH COVERED BD 1.25% CVD BDS 15/06/22 SEK
**
751,112

SWEDISH COVERED BD 2% CVD BDS 17/06/2026SEK
**
126,719

SWEDISH MATCH NPV
**
1,071,274

SWISS LIFE HOLDINGS AG
**
908,499

SWISS RE AG CHF0.10
**
869,001

SWISSCOM AG CHF1(REGD)
**
218,458

SWITCH INC CL A CL A
**
235,324

SYKES ENTERPRISES INC COM
**
147,532

SYMANTEC CORP COM
**
16,371,242

SYN_SWAP 0.0 08 MAR 2018 KMH8 INDEX KM2H18_SW
**
48,273

SYN_SWAP 0.0 26 JAN 2018 TAF8 INDEX TA35F18_SW
**
146,393

SYN_SWAP 0.0 30 JAN 2018 HIF8 INDEX HSIF18_SW
**
151,436

SYN_SWAP 0.0 30 JAN 2018 HIF8 INDEX HSIF18_SW
**
44,485

SYN_SWAP 0.0 30 JAN 2018 TWF8 INDEX TWF18_SW
**
2,469

SYN_SWAP 0.0 30 JAN 2018 TWF8 INDEX TWF18_SW
**
17,346

SYNALLOY CORP COM
**
12,355

SYNAPTICS INC COM
**
84,074

SYNCHRONOSS TECHNOLOGIES INC COM STK
**
33,409

SYNCHRONY BK 3% DUE 06-15-2022
**
5,067,282

SYNCHRONY CR CARD 2.04% DUE 03-15-2022
**
965,677

SYNCHRONY CR CARD 2.37% DUE 03-15-2023
**
9,880,427

SYNCHRONY FINANCIAL 3.0% 08-15-2019 USD1000
**
1,399,666

SYNCHRONY FINL 2.7% DUE 02-03-2020
**
1,037,586

SYNCHRONY FINL 3.7% DUE 08-04-2026
**
131,127

SYNCHRONY FINL 3.75% DUE 08-15-2021
**
533,213

SYNCHRONY FINL 4.5% DUE 07-23-2025
**
1,672,006

SYNNEX CORP COM STK
**
530,885

SYNNEX TECH INTL TWD10
**
35,399

SYNTHOMER PLC ORD GBP0.10
**
1,405,925

SYSCO CORP 3.25% DUE 07-15-2027
**
59,798

SYSTEMAX INC COM
**
126,160

T ROWE PRICE GROUP INC
**
4,858,364

T.K. CORPN KRW500
**
110,798

T4F ENTRETENIMENTO SA
**
563,873

TABULA RASA HEALTHCARE INC COM
**
1,727,571

TAHOE RESOURCES IN COM NPV
**
375,521

TAISEI CORP NPV
**
2,223,879

TAIWAN SEMICONDUCTOR MANUFACTURING ADS EACH CNV INTO 5 ORD
**
14,628,868

TAKARA LEBEN CO NPV
**
828,574


164
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TAKE-TWO INTERACTIVE SOFTWARE INC COM STK USD0.01
**
21,111,682

TANGER FACTORY OUTLET CTRS INC COM
**
62,484

TARGET CORP 2.3% DUE 06-26-2019
**
120,576

TARGET CORP 2.5% DUE 04-15-2026
**
48,073

TARGET CORP COM STK
**
3,947,625

TARO PHARMACEUTICAL INDUSTRIES ORD ILS1
**
128,689

TATA CONSULTANCY S INR1
**
9,793,162

TATA STEEL LTD INR10
**
678,185

TATE & LYLE ORD GBP0.25
**
1,783,884

TATNEFT PJSC ADS (REPR 6 ORD RUB0.1)
**
264,810

TAUBMAN CTRS INC COM
**
20,087

TAURON POLSKA ENER PLN5.00
**
93,379

TAV HAVALIMANLARI TRY1
**
299,249

TAYLOR MORRISON HOME CORP COM USD0.00001
**
163,019

TAYLOR WIMPEY ORD GBP0.01
**
2,532,810

TC PIPELINES LP 3.9% DUE 05-25-2027
**
110,550

TCF AUTO 1.39% DUE 11-15-2019
**
1,238,268

TCF AUTO 1.93% DUE 06-15-2022
**
1,908,324

TCF FNCL CORP COM
**
292,453

TD AMERITRADE HLDG 5.6% DUE 12-01-2019
**
398,075

TDC DKK 1 COMSTK
**
1,143,598

TDK CORP NPV
**
279,435

TEACHERS INS & 4.27% DUE 05-15-2047
**
158,631

TEAM INC COM STK
**
37,757

TECAN GROUP AG CHF0.10 (REGD)
**
1,394,651

TECH DATA CORP COM
**
371,502

TECH MAHINDRA
**
60,713

TECHTARGET INC COM
**
15,382

TECHTRONIC INDUSTR NPV
**
951,062

TECK RESOURCES LTD CLASS'B'SUB-VTG COM NPV
**
1,655,555

TECNICAS REUNIDAS ORD EUR0.10
**
1,002,388

TECO FIN INC 5.15% DUE 03-15-2020
**
157,871

TEEKAY CORP COM
**
2,610

TEEKAY TANKERS LTD COM STK
**
10,188

TEGMA GESTAO LOGIS COM NPV
**
217,742

TEGNA INC COM
**
271,828

TEJON RANCH CO COM
**
61,989

TELADOC INC COM
**
2,097,587

TELE2 AB SER'B'NPV
**
280,321

TELECOM ITALIA SPA NPV
**
137,222

TELEDYNE TECHNOLOGIES INC COM
**
80,612

TELEFONICA 3.192% DUE 04-27-2018
**
451,598

TELEFONICA 5.134% DUE 04-27-2020
**
91,041

TELEFONICA EMISIONES S A U 5.462 DUE 02-16-2021 REG
**
281,245

TELEFONICA SA 5.877% DUE 07-15-2019
**
105,130

TELEKOMUNIKASI SER'B'IDR50
**
37,624

TELEPERFORMANCE SOCIETE EUROPEENNE
**
794,888


165
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TELEPHONE & DATA SYS INC COM STK
**
279,251

TEMPUR SEALY INTL INC COM
**
1,958,498

TENCENT HLDGS LIMITED COMMON STOCK
**
21,536,849

TENNESSEE VALLEY AUTH GLOBAL PWR BD SER A 2.875% 09-15-2024 REG
**
10,265,910

TENNESSEE VY AUTH GLOBAL PWR BD SER A 4.25% DUE 09-15-2065 REG
**
138,323

TENNESSEE VY AUTH TENN VALLEY AUTH 4.875% DUE 01-15-2048 REG
**
403,676

TERADYNE INC COM
**
385,874

TEREX CORP NEW COM
**
3,584,675

TERRENO RLTY CORP
**
2,790,496

TERRITORIAL BANCORP INC COM STK
**
31,642

TERUMO CORP NPV
**
11,418,330

TERWIN MTG TR 2003-6HE ASSET BKD CTF CL A-1 FLTG 11-25-2033 REG
**
41,978

TESARO INC COM
**
1,533,095

TESCO 6.125% SNR 24/02/2022 GBP
**
1,094,303

TESCO ORD GBP0.05
**
671,807

TESCO PROP FIN 6 PLC 5.4111% BDS 13/07/2044 GBP100000
**
307,208

TESCO PROPERTY FIN 4 PLC 5.8006% 13/10/2040
**
318,676

TESLA INC COM USD0.001
**
4,381,006

TESSCO TECHNOLOGIES INC COM
**
16,523

TETRA TECH INC NEW COM
**
581,267

TETRA TECHNOLOGIES INC DEL COM
**
51,142

TEVA 1.4% DUE 07-20-2018
**
1,316,179

TEVA 1.7% DUE 07-19-2019
**
5,844,150

TEVA 2.8% DUE 07-21-2023
**
95,789

TEVA 2.95% DUE 12-18-2022
**
393,866

TEVA 3.15% DUE 10-01-2026
**
16,513

TEVA 3.65% DUE 11-10-2021
**
54,224

TEVA 3.65% DUE 11-10-2021
**
380,519

TEXAS INSTRS INC 2.75% DUE 03-12-2021
**
2,056,865

TEXAS INSTRUMENTS INC COM
**
13,141,372

TEXAS ROADHOUSE INC COMMON STOCK
**
2,391,145

TEXAS ST FLTG RT 1.964% 06-01-2018 BEO TAXABLE
**
536,182

TEXTAINER GROUP HLDGS LTD COM STK
**
116,788

TEXTRON INC 3.65% DUE 03-15-2027
**
88,418

TEXTRON INC FLTG 11-10-2020 BEO
**
529,851

TFI INTERNATIONAL COM NPV
**
752,794

TGR INVESTMENT INC REIT
**
612,626

THAI OIL PCL THB10(NVDR)
**
788,262

THALES SA EUR3
**
2,182,786

THE MEET GROUP INC COM
**
33,806

THE PRICELINE GROUP INC
**
8,535,779

THERMO FISHER 2.15% DUE 12-14-2018
**
1,994,735

THERMO FISHER 3% DUE 04-15-2023
**
6,598,437

THERMO FISHER 3.15% DUE 01-15-2023
**
2,627,419

THERMO FISHER 3.3% DUE 02-15-2022
**
7,557,964

THERMO FISHER 3.6% DUE 08-15-2021
**
208,509

THERMO FISHER CORP
**
11,890,286


166
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
THERMO FISHER SCIENTIFIC INC 2.4 DUE 02-01-2019 REG
**
1,714,169

THERMON GROUP HLDGS INC
**
75,200

THIRD POINT REINSURANCE LTD COM USD0.10
**
66,203

THK CO LTD NPV
**
1,277,582

THOMSON REUTERS FIXED 3.95% DUE 09-30-2021
**
160,438

THOMSON-REUTERS CP COM NPV
**
217,463

THRONES 2014-1 PLC SR 14-1 CL A FLTG 15/11/49
**
562,032

TIAA AST MGMT FIN 2.95% DUE 11-01-2019
**
5,562,681

TIER REIT INC COM NEW COM NEW
**
35,601

TILE SHOP HLDGS INC COM COM
**
29,597

TILLYS INC CL A
**
15,380

TIMAH IDR50
**
64,674

TIMBERLAND BANCORP INC COM
**
27,214

TIME INC NEW COM
**
200,459

TIME WARNER CABLE 4.125% DUE 02-15-2021
**
2,198,587

TIME WARNER CABLE 5% DUE 02-01-2020
**
9,423,771

TIME WARNER CABLE 6.75% DUE 06-15-2039
**
383,961

TIME WARNER CABLE 8.75% DUE 02-14-2019
**
410,497

TIME WARNER CABLE INC 8.25 DUE 04-01-2019 REG
**
3,708,691

TIME WARNER INC 3.8% DUE 02-15-2027
**
1,258,809

TIME WARNER INC 4% DUE 01-15-2022
**
728,869

TIME WARNER INC NEW NT 4.75 DUE 03-29-2021
**
7,823,347

TIME WARNER INC USD0.01
**
6,624,623

TIMKEN CO COM
**
2,959,125

TIMKENSTEEL CORP COM NPV 'WI'
**
85,170

TITAN INTL INC ILL COM
**
104,740

TITAN MACHY INC COM
**
56,947

TIVITY HEALTH INC COM
**
813,347

TIVO CORP COM NPV
**
169,931

TN VY AUTH FED BOOK ENTRY PRIN STRIPS GENERIC PRIN PMT 06-15-2035 (UNDDATE)
**
253,870

TOFAS OTOMOBIL FAB TRY1 (E SHARES)
**
249,361

TOKYO ELECTRON NPV
**
1,863,345

TOKYO METROPOLIS JAPAN BD 144A 2.5% DUE 06-08-2022 BEO
**
3,562,438

TOKYO OHKA KOGYO NPV
**
2,020,435

TOKYO TATEMONO CO NPV
**
37,789

TOKYU FUDOSAN HOLDINGS CORPORATION NPV
**
54,205

TOLL BROS INC COM
**
816,436

TOMPKINS FINL CORP COM USD0.10
**
42,953

TOOTSIE ROLL INDS INC COM
**
35,890

TOPBUILD CORP COM
**
4,134,116

TORONTO DOMINION 1.8% DUE 07-13-2021
**
153,745

TORONTO DOMINION 2.125 DUE 07-02-2019
**
6,901,206

TORONTO DOMINION BANK TRANCHE # TR 29 1.95% DUE 01-22-2019
**
9,599,813

TORONTO DOMINION BANK TRANCHE # TR 30 VAR RT DUE 01-22-2019
**
6,098,781

TORONTO DOMINION BK 1.75% 07-23-2018
**
1,498,782

TORONTO DOMINION BK SR MEDIUM TERM BK NT 2.25% DUE 11-05-2019
**
1,190,719

TORONTO DOMINION BK SR MEDIUM TERM BK NT BOOK ENTRY FLTG 12-14-2020
**
6,724,542


167
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TORONTO-DOMINION 2.125% DUE 04-07-2021
**
15,014,626

TORONTO-DOMINION COM NPV
**
177,108

TORRENT PHARM INR5
**
903,431

TOSHIBA CORP NPV
**
402,060

TOSOH CORP NPV
**
1,122,824

TOTAL CAP 2.125% DUE 08-10-2018
**
80,200

TOTAL CAP 4.125% DUE 01-28-2021
**
473,840

TOTAL CAP INTL 2.1% DUE 06-19-2019
**
4,948,188

TOTAL CAP INTL 3.7% DUE 01-15-2024
**
326,856

TOTAL ENERGY SVC I COM NPV
**
272,401

TOTAL EUR2.5
**
625,411

TOTAL SYS SVCS INC 4.8% DUE 04-01-2026
**
573,404

TOTAL SYS SVCS INC COM
**
2,029,291

TOTALRTN CHF/1M BOFAUS3N 21/03/2018 EQS-BOEAC-BANA-M7CH-018
**
1,305

TOTALRTN EUR/1M BOFAUS3N 21/03/2018 EQS-BOEAC-BANA-M7NL-008
**
5,234

TOTALRTN HKD BOFAUS3N 21/03/2018 EQS-BOEAC-BANA-M7CN-002
**
3,266

TOTALRTN HKD BOFAUS3N 21/03/2018 EQS-BOEAC-BANA-M7HK-005
**
186,053

TOTALRTN JPY/1M BOFAUS3N 21/03/2018 EQS-BOEAC-BANA-M7JP-014
**
311,629

TOTALRTN SEK BOFAUS3N 21/03/2018 EQS-BOEAC-BANA-M7SE-015
**
32,381

TOTALRTN SEK BOFAUS3N 21/03/2018 EQS-BOEAC-BANA-M7SE-016
**
13,215

TOTALRTN SGD BOFAUS3N 21/03/2018 EQS-BOEAC-BANA-M7SG-004
**
2,255

TOWER INTL INC COM STK
**
52,454

TOWNEBANK PORTSMOUTH VA COM
**
146,063

TOWNGAS CHINA CO HKD0.10
**
898,004

TOWNSQUARE MEDIA INC CL A CL A
**
7,895

TOYOTA AUTO 1.3% DUE 04-15-2020
**
337,967

TOYOTA AUTO 1.47% DUE 09-15-2021
**
2,159,275

TOYOTA AUTO 1.75999999046% DUE 07-15-2021
**
6,000,190

TOYOTA AUTO 1.78% DUE 11-15-2021
**
620,329

TOYOTA AUTO 1.98% DUE 12-15-2022
**
1,387,044

TOYOTA AUTO RECEIVABLES OWNER TR SER 17-D CL A4 2.46% 02-15-2023
**
2,916,522

TOYOTA AUTO RECEIVABLES OWNER TRUST SER 17-A CL A4 2.1% 09-15-2022
**
27,632,451

TOYOTA AUTO RECEIVABLES SER 2017-B CL A4 2.05% DUE 09-15-2022
**
2,885,326

TOYOTA MOTOR CORP NPV
**
2,017,574

TOYOTA MTR CR CORP 2.625 DUE 01-10-2023
**
945,264

TOYOTA MTR CR CORP 1.45% DUE 01-12-2018
**
259,974

TOYOTA MTR CR CORP 1.55% DUE 10-18-2019
**
4,113,152

TOYOTA MTR CR CORP 1.7% DUE 01-09-2019
**
3,113,545

TOYOTA MTR CR CORP 1.9% DUE 04-08-2021
**
3,449,593

TOYOTA MTR CR CORP 2.1% DUE 01-17-2019
**
882,016

TOYOTA MTR CR CORP MEDIUM TERM NTS BOOK ENTRY MTN 2.125% DUE 07-18-2019
**
1,300,039

TOYOTA MTR CR CORP MEDIUM TERM NTS BOOK TRANCHE # TR 00893 1.375 01-10-2018
**
2,819,800

TRANSCANADA 1.875% DUE 01-12-2018
**
6,205,876

TRANSCANADA 3.125% DUE 01-15-2019
**
504,571

TRANSCANADA 3.8% DUE 10-01-2020
**
145,160

TRANSCANADA 6.5% DUE 08-15-2018
**
364,593

TRANSCANADA 7.25% DUE 08-15-2038
**
138,654


168
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TRANSCANADA PIPELINES LTD 2.125% DUE 11-15-2019
**
2,840,205

TRANSCANADA TR FLTG RT 5.3% DUE 03-15-2077
**
206,250

TRANSOCEAN LTD
**
118,932

TRANSUNION COM
**
6,485,280

TRAVELERS COS INC 3.9% DUE 11-01-2020
**
207,986

TRAVELERS COS INC 5.8% DUE 05-15-2018
**
1,358,871

TRAVELERS COS INC COM STK
**
27,024,100

TRECORA RES COM
**
31,820

TREDEGAR CORP INC
**
57,062

TREEHOUSE FOODS INC COM
**
211,540

TREND MICRO INC NPV
**
249,259

TRI POINTE GROUP INC COM
**
332,954

TRIBUNE MEDIA COMPANY CLASS A COMMON STOCK
**
78,442

TRICO BANCSHARES COM STK
**
64,551

TRIMAS CORP COM NEW COM NEW
**
18,110

TRINITY IND INC COM
**
491,475

TRINSEO S A COMMON STOCK
**
3,625,571

TRIPADVISOR INC COM USD0.001
**
13,391,845

TRIPLE-S MGMT CORP CL B CL B
**
63,666

TRISTATE CAP HLDGS INC COM
**
64,699

TRITON INTL LTD COM USD0.01 CL A
**
499,845

TRIUMPH BANCORP INC COM
**
78,467

TRIUMPH GROUP INC NEW COM
**
130,451

TRONOX LTD SHS CL A
**
149,005

TRUEBLUE INC COM STK
**
112,750

TRUSTCO BK CORP N Y COM
**
85,808

TRUSTEES OF 2.612% DUE 07-01-2026
**
967,022

TRUSTEES OF 3.627% DUE 07-01-2046
**
2,099,202

TRUSTMARK CORP COM
**
228,054

TSUKUI CORP NPV
**
903,179

TSY INFL IX N/B US GVT NATIONAL 0.125%04-15-2022
**
17,075,677

TSY INFL IX N/B US GVT NATIONAL 0.375%01-15-2027
**
608,263

TTM TECHNOLOGIES INC COM
**
150,291

TTX CO MEDIUM TERM NTS BOOK ENTRY 144A TRANCHE # TR 00059 2.25% DUE 02-01-2019
**
299,263

TUESDAY MORNING CORP COM NEW ISIN US8990355054
**
15,139

TUI AG NPV (REGD)
**
499,567

TULLOW OIL ORD GBP0.10
**
515,554

TURK HAVA YOLLARI TRY1 (A SHARES)
**
732,698

TUTOR PERINI CORP COM
**
109,132

TW COOPERATIVE FIN TWD10
**
175,099

TWIN DISC INC COM
**
27,234

TWITTER INC COM
**
394,340

TYLER TECHNOLOGIES INC COM STK
**
4,727,235

TYSON FOODS INC 2.25% DUE 08-23-2021
**
2,091,524

TYSON FOODS INC 2.65 DUE 08-15-2019
**
944,528

TYSON FOODS INC 4.875% DUE 08-15-2034
**
108,179

TYSON FOODS INC SR NT FLTG RATE DUE 05-30-2019 REG
**
1,727,988


169
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
U M H PPTYS INC COM STK
**
18,327

U S BANCORP MEDIUM FIXED 3.6% DUE 09-11-2024
**
414,368

U S BANCORP MEDIUM TERM NTS 1.95 11-15-2018
**
8,037,137

U S BANCORP MEDIUM TERM NTS 2.2 04-25-2019
**
1,644,643

U S BANCORP TRANCHE # TR 00175 3.7 01-30-2024
**
122,878

U S BK NATL ASSN CINCINNATI FLTG RT DUE 05-24-2019 REG
**
6,098,781

U S BK NATL ASSN CINCINNATI OHIO MEDIUM 2.05% DUE 10-23-2020
**
496,398

U S CONCRETE INC COMMON STOCK
**
1,004,302

U S SILICA HLDGS INC
**
133,105

U.S AWYS 2011-1 7.125% DUE 04-22-2025
**
143,410

U.S. CELLULAR CORP COM
**
77,142

UBS AG 5.125% 15/05/2024
**
846,048

UBS AG 4.75% DUE 05-22-2023
**
704,801

UBS AG LONDON BRH 2.2% DUE 06-08-2020
**
4,351,898

UBS AG LONDON BRH NT FLTG 144A DUE 12-01-2020/11-01-2020 BEO
**
400,578

UBS AG STAMFORD 7.625% DUE 08-17-2022
**
2,803,680

UBS AG STAMFORD BRH MEDIUM TERM SR 2.37 5 DUE 08-14-2019
**
5,915,197

UBS AG STAMFORD BRH MEDIUM TERM SR 2.37 5 DUE 08-14-2019
**
5,715,700

UBS GROUP CHF0.10 (REGD)
**
13,253,739

UBS GROUP FDG FLTG RT 2.859% DUE 08-15-2023
**
1,329,623

UBS GROUP FDG SWITZ AG NT FLTG 144A DUE 08-15-2023/08-15-2022 BEO
**
13,255,387

UCB NPV
**
3,238,435

UDG HEALTHCARE PLC ORD EUR0.05
**
1,432,546

UDR INC 2.95% DUE 09-01-2026
**
15,377

UDR INC CORP BD 3.75 DUE 07-01-2024 BEO
**
1,542,869

UFP TECHNOLOGIES INC COM
**
11,426

UIL HLDGS CORP 4.625% DUE 10-01-2020
**
518,335

UK(GOVT OF) 0% T-BILL 22/01/2018 GBP1
**
2,705,274

UK(GOVT OF) 0% TSY BILL 29/01/18 GBP1
**
919,729

UK(GOVT OF) 0.125% IDX/LKD SNR 22/03/24
**
2,804,383

UK(GOVT OF) 3.5% GILT SNR 22/01/45 GBP1
**
184,894

UKRAINE AID 1.844 05-16-2019REG
**
12,987,611

ULTIMATE SOFTWARE GROUP INC COM
**
6,786,953

ULTRA CLEAN HLDGS INC COM
**
91,390

UMPQUA HLDGS CORP COM
**
3,510,104

UN BK N A SAN FRAN 2.625% DUE 09-26-2018
**
311,053

UNDER ARMOR INC CL A
**
41,573

UNDER ARMOUR INC CL C COM
**
45,967

UNIBAIL-RODAMCO SE EUR5
**
412,799

UNIFI INC COM
**
53,805

UNIFIRST CORP MASS COM
**
171,166

UNILEVER CAP CORP 4.25% DUE 02-10-2021
**
1,059,856

UNILEVER NV CVA EUR0.16
**
634,767

UNILEVER PLC ORD GBP0.031111
**
1,481,239

UNION BANKSHARES CORP NEW COM
**
148,297

UNION PAC CORP 2.95% DUE 01-15-2023
**
233,893

UNION PAC CORP 3% DUE 04-15-2027
**
90,448


170
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNION PAC CORP 4% DUE 02-01-2021
**
539,089

UNION PAC CORP 4.163% DUE 07-15-2022
**
728,904

UNION PAC CORP COM
**
7,792,283

UNI-PRESIDENT ENT TWD10
**
217,873

UNIT CORP COM
**
147,290

UNITED BANKSHARES INC W VA COM
**
304,758

UNITED CMNTY BK BLAIRSVILLE GA COM
**
161,102

UNITED CMNTY FINL CORP OHIO COM
**
45,851

UNITED FINANCIAL BANCORP INC
**
95,820

UNITED FIRE GROUP INC COM USD0.001
**
99,820

UNITED INSURANCE HOLDINGS CORP COM
**
23,650

UNITED MEXICAN STS 5.55 01-21-2045
**
168,750

UNITED MEXICAN STS MEDIUM TERM BOOK 3.625% 03-15-2022
**
301,310

UNITED MEXICAN STS MEDIUM TERM BOOK TBOND 4.0% DUE 10-02-2023 REG
**
303,485

UNITED NAT FOODS INC COM
**
252,262

UNITED PARCEL SVC INC CL B
**
6,467,819

UNITED RENTALS INC COM
**
451,779

UNITED STATES 0.0% T-BILL 04-12-2018
**
3,187,645

UNITED STATES OF AMER BDS INDX LNKD 0.875% 02-15-2047
**
180,511

UNITED STATES OF AMER INFL INDXD TREAS NOTES 0.25% TB 01-15-25 USD1000 A-2025
**
619,315

UNITED STATES OF AMER TREAS BD 2.375% 5-15-2027
**
11,267,772

UNITED STATES OF AMER TREAS BONDS 0.625% TIPS INFL IDX 02-15-2043 USD1000
**
976,295

UNITED STATES OF AMER TREAS BONDS 0.75 DEB TIPS 02-15-2042
**
5,786,783

UNITED STATES OF AMER TREAS BONDS 2.75 BDS DUE 08-15-2042 USD100'BONDS 08/42'
**
302,086

UNITED STATES OF AMER TREAS BONDS DTD 05/15/2015 2.125% DUE 05-15-2025 REG
**
72,845,180

UNITED STATES OF AMER TREAS NOTES 1.75% 05-31-2022
**
30,022,671

UNITED STATES OF AMER TREAS NOTES INFLATION INDEX 0.125 NTS 07-15-2024
**
26,609,830

UNITED STATES OF AMER TREAS NOTES 0.125% INFL IDX 04-15-2020
**
1,955,120

UNITED STATES OF AMER TREAS NOTES 1.25 07-15-2020
**
1,156,191

UNITED STATES OF AMER TREAS NOTES DTD 10/15/2017 1.625% DUE 10-15-2020 REG
**
19,426,207

UNITED STATES OF AMER TREAS NOTES NTS 0.125% INFL INDEX 07-15-2026
**
1,709,292

UNITED STATES TREAS 2.25% DUE 02-15-2027 REG
**
1,677,688

UNITED STATES TREAS BD STRIPPED PRIN PMT00098 08-15-2043 (UNDDATE) REG
**
42,123,713

UNITED STATES TREAS BDS 1.5% DUE 08-15-2026 REG
**
6,977,933

UNITED STATES TREAS BDS 2.25% DUE 08-15-2027
**
151,045,702

UNITED STATES TREAS BDS 2.875% DUE 11-15-2046
**
1,436,148

UNITED STATES TREAS BDS 0 DEB 15/02/2040USD1000 4.625 DUE 02-15-2040REG
**
13,298,050

UNITED STATES TREAS BDS 00245 2.875% DUE 08-15-2045 REG
**
723,011

UNITED STATES TREAS BDS 1.375 02-15-2044 REG
**
2,712,461

UNITED STATES TREAS BDS 2.875 DUE DUE 05-15-2043
**
5,655,331

UNITED STATES TREAS BDS 3% DUE 02-15-2047 REG
**
788,760

UNITED STATES TREAS BDS 3% DUE 11-15-2044 REG
**
52,518

UNITED STATES TREAS BDS 3.625 DUE 08-15-2043
**
10,982,496

UNITED STATES TREAS BDS 5.500 DUE 08-15-2028 REG
**
3,744,693

UNITED STATES TREAS BDS BDS 3% DUE 05-15-2042 REG
**
210,508

UNITED STATES TREAS BDS DTD 00210 4.25% DUE 05-15-2039 REG
**
9,732,377

UNITED STATES TREAS BDS DTD 00219 4.25% DUE 11-15-2040 REG
**
30,524,450


171
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNITED STATES TREAS BDS DTD 02/15/2000 6.25 DUE 05-15-2030 REG
**
2,249,437

UNITED STATES TREAS BDS DTD 02/15/2006 4.5% DUE 02-15-2036 REG
**
849,673

UNITED STATES TREAS BDS DTD 11/15/2012 2.75% DUE 11-15-2042 REG
**
3,320,882

UNITED STATES TREAS BDS DTD 2.75% 08-15-2047
**
146,823,300

UNITED STATES TREAS BILLS 02-15-2018 UNITED STATES TREAS BILLS
**
3,944,028

UNITED STATES TREAS BILLS 04-05-2018
**
298,924

UNITED STATES TREAS INFL NTS 0.375% DTD 07/15/2015 07-15-2025
**
1,041,730

UNITED STATES TREAS INFL INDEXED NTS .125% 01-15-2023
**
42,837,362

UNITED STATES TREAS INFL INDEXED NTS .125% 07-15-2022
**
5,463,022

UNITED STATES TREAS INFL INDEXED NTS 0.125C 04-15-2019
**
4,096,229

UNITED STATES TREAS NTS 1.75% 03-31-2022
**
8,596,612

UNITED STATES TREAS NTS 1.875 06-30-2020 REG
**
2,097,293

UNITED STATES TREAS NTS 1.875% 06-30-2024
**
78,272,548

UNITED STATES TREAS NTS 0.125% INDEX LINKED 01-15-2022
**
1,085,430

UNITED STATES TREAS NTS 1.125% DUE 01-31-2019
**
27,712,295

UNITED STATES TREAS NTS 1.25 DUE 11-30-2018 REG
**
12,637,986

UNITED STATES TREAS NTS 1.5% 12-31-2018
**
6,977,852

UNITED STATES TREAS NTS 1.5% DUE 10-31-2019
**
46,577,563

UNITED STATES TREAS NTS 1.625% DUE 07-31-2020 REG
**
24,832,433

UNITED STATES TREAS NTS 1.625% DUE 11-30-2020 REG
**
3,113,427

UNITED STATES TREAS NTS 1.875% 09-30-2022
**
8,828,181

UNITED STATES TREAS NTS 1.875% 12-31-2019
**
5,198,378

UNITED STATES TREAS NTS 1.875% DUE 02-28-2022 REG
**
1,978,360

UNITED STATES TREAS NTS 2.125 DUE 01-31-2021 REG
**
4,089,328

UNITED STATES TREAS NTS 2.375% 12-31-2024
**
26,983,742

UNITED STATES TREAS NTS DTD 2.25% 11-15-2027
**
2,587,982

UNITED STATES TREAS NTS DTD 00388 1.25% DUE 01-31-2019 REG
**
15,005,625

UNITED STATES TREAS NTS DTD 00392 1.375%DUE 02-28-2019 REG
**
26,654,476

UNITED STATES TREAS NTS DTD 00438 1.125%DUE 12-31-2019 REG
**
1,940,834

UNITED STATES TREAS NTS DTD 00470 2% DUE07-31-2020 REG
**
10,016,410

UNITED STATES TREAS NTS DTD 01/15/2015 .875% DUE 01-15-2018 REG
**
60,032,555

UNITED STATES TREAS NTS DTD 01/15/2016 01-15-2026
**
22,676,392

UNITED STATES TREAS NTS DTD 01/31/2013 .875% DUE 01-31-2018 REG
**
7,008,016

UNITED STATES TREAS NTS DTD 01/31/2015 1.25% DUE 01-31-2020 REG
**
10,592,847

UNITED STATES TREAS NTS DTD 01/31/2016 1.375% DUE 01-31-2021 REG
**
21,923,964

UNITED STATES TREAS NTS DTD 02/28/2015 1.375% DUE 02-29-2020 REG
**
4,152,586

UNITED STATES TREAS NTS DTD 03/31/2015 1.375% DUE 03-31-2020 REG
**
2,569,531

UNITED STATES TREAS NTS DTD 03/31/2016 1.25% DUE 03-31-2021 REG
**
10,825,974

UNITED STATES TREAS NTS DTD 03/31/2017 1.875% DUE 03-31-2022 REG
**
19,082,122

UNITED STATES TREAS NTS DTD 04/30/2015 1.375% DUE 04-30-2020 REG
**
17,416,626

UNITED STATES TREAS NTS DTD 04/30/2015 1.75% DUE 04-30-2022 REG
**
2,456,933

UNITED STATES TREAS NTS DTD 04/30/2016 1.375% DUE 04-30-2021 REG
**
12,346,891

UNITED STATES TREAS NTS DTD 04/30/2016 1.625% DUE 04-30-2023 REG
**
50,093,652

UNITED STATES TREAS NTS DTD 05/15/2013 1.75% DUE 05-15-2023 REG
**
117,042

UNITED STATES TREAS NTS DTD 05/31/2013 1% DUE 05-31-2018 REG
**
6,821,118

UNITED STATES TREAS NTS DTD 05/31/2014 1.5% DUE 05-31-2019 REG
**
28,457,000

UNITED STATES TREAS NTS DTD 05/31/2015 1.5% DUE 05-31-2020 REG
**
10,352,081


172
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNITED STATES TREAS NTS DTD 05/31/2016 1.375% DUE 05-31-2021 REG
**
13,049,625

UNITED STATES TREAS NTS DTD 06/30/2012 1 DUE 06-30-2019
**
2,286,153

UNITED STATES TREAS NTS DTD 06/30/2016 .625% DUE 06-30-2018 REG
**
501,617,371

UNITED STATES TREAS NTS DTD 07/31/2012 .875% DUE 07-31-2019 REG
**
8,948,016

UNITED STATES TREAS NTS DTD 07/31/2014 1.625% DUE 07-31-2019 REG
**
19,029,865

UNITED STATES TREAS NTS DTD 07/31/2016 1.25% DUE 07-31-2023 REG
**
568,617

UNITED STATES TREAS NTS DTD 08/01/2016 .75% DUE 07-31-2018 REG
**
44,779

UNITED STATES TREAS NTS DTD 08/15/2015 2% DUE 08-15-2025 REG
**
4,874,415

UNITED STATES TREAS NTS DTD 09/15/2015 1% DUE 09-15-2018 REG
**
497,578

UNITED STATES TREAS NTS DTD 09/30/2014 1.75% DUE 09-30-2019 REG
**
12,322,015

UNITED STATES TREAS NTS DTD 1.5% 08-15-2020
**
47,963,833

UNITED STATES TREAS NTS DTD 1.5% DUE 01-31-2019 REG
**
24,962,998

UNITED STATES TREAS NTS DTD 1.5% DUE 02-28-2019 REG
**
8,167,331

UNITED STATES TREAS NTS DTD 10/31/2013 1.75% DUE 10-31-2020 REG
**
9,147,891

UNITED STATES TREAS NTS DTD 10/31/2015 1.375% DUE 10-31-2020 REG
**
17,443,962

UNITED STATES TREAS NTS DTD 11/15/2015 1.25% DUE 11-15-2018 REG
**
31,853,760

UNITED STATES TREAS NTS DTD 11/15/2015 2.25% DUE 11-15-2025 REG
**
7,458,863

UNITED STATES TREAS NTS DTD 11/30/2014 1.5% DUE 11-30-2019 REG
**
4,070,369

UNITED STATES TREAS NTS DTD 11/30/2015 2% DUE 11-30-2022 REG
**
68,996,228

UNITED STATES TREAS NTS DTD 12/15/2015 1.25% DUE 12-15-2018 REG
**
39,790,640

UNITED STATES TREAS NTS DTD 12/31/2014 1.625% DUE 12-31-2019 REG
**
1,989,532

UNITED STATES TREAS NTS DTD 12/31/2015 1.75% DUE 12-31-2020 REG
**
8,142,985

UNITED STATES TREAS NTS DTD 12/31/2015 2.125% DUE 12-31-2022 REG
**
8,569,367

UNITED STATES TREAS NTS DTD 658 1.375% DUE 08-31-2020 REG
**
17,860,212

UNITED STATES TREAS NTS FIXED 1.375% DUE 09-30-2020
**
26,751,168

UNITED STATES TREAS NTS INFL INDEXED 0.375% 7-15-2027
**
1,504,487

UNITED STATES TREAS NTS TIPS .375 07-15-2023
**
16,765,793

UNITED STATES TREAS NTS TREAS NTS 2% DUE11-30-2020 REG
**
8,227,710

UNITED STATES TREAS NTS TREASURY NOTE 1.25% DUE 12-31-2018 REG
**
13,067,112

UNITED STATES TREAS NTS TREASURY NOTE 2.25% DUE 12-31-2023 REG
**
20,961,444

UNITED STATES TREAS NTS TREASURY NOTE 2%DUE 12-31-2021 REG
**
1,591,875

UNITED STATES TREAS NTS UNITED STATES TREAS NTS 1.5% DUE 04-15-2020 REG
**
9,213,538

UNITED STATES TREAS NTS US TREASURY N/B 1.75 11-30-2021 1.75 DUE 11-30-2021 REG
**
2,070,716

UNITED STATES TREAS NTS US TREASURY N/B 1.75% DUE 04-30-2022 REG
**
75,184,448

UNITED STATES TREAS NTS WI TREASURY NOTE.75% DUE 10-31-2018 REG
**
14,281,315

UNITED STATES TREAS NTS WI TREASURY NOTE1% DUE 11-30-2018 REG
**
44,680,095

UNITED STATES TREAS SEC STRIPPED INT PMT00264 05-15-2026
**
2,359,370

UNITED STATES TREAS SEC STRIPPED INT PMT00518 08-15-2029 (UNDDATE) REG
**
1,084,187

UNITED STATES TREAS SEC STRIPPED INT PMT00523 05-15-2030 (UNDDATE) REG
**
2,098,996

UNITED STATES TREAS SEC STRIPPED INT PMT00755 05-15-2037 (UNDDATE) REG
**
5,545,445

UNITED STATES TREAS SEC STRIPPED INT PMT00765 02-15-2038 (UNDDATE) REG
**
1,674,567

UNITED STATES TREAS SEC STRIPPED INT PMT00835 08-15-2032 (UNDDATE) BEO
**
1,632,835

UNITED STATES TREAS SEC STRIPPED INT PMT00839 08-15-2034 (UNDDATE) REG
**
1,606,594

UNITED STATES TREAS SEC STRIPPED INT PMT00881 11-15-2030 (UNDDATE) REG
**
2,611,311

UNITED STATES TREAS SEC STRIPPED INT PMT00882 05-15-2031
**
1,097,797

UNITED STATES TREAS SEC STRIPPED INT PMT00886 05-15-2033 (UNDDATE) REG
**
4,352,134

UNITED STATES TREAS SEC STRIPPED INT PMT00888 05-15-2034 (UNDDATE) REG
**
1,086,758


173
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNITED STATES TREAS SEC STRIPPED INT PMT00889 11-15-2034 (UNDDATE) REG
**
1,231,984

UNITED STATES TREAS SEC STRIPPED INT PMT261 08-15-2025 (UNDDATE) REG
**
2,169,856

UNITED STATES TREAS SEC STRIPPED INT PMT316 05-15-2027 (UNDDATE) REG
**
1,956,640

UNITED STATES TREAS SEC STRIPPED INT PMTSTRIP 02-15-2033 (UNDDATE) REG
**
1,370,380

UNITED STATES TREAS T NOTE 1.25 % 08-31-2019
**
32,366,624

UNITED STS LIME & MINERALS INC COM
**
47,417

UNITED STS STL CORP NEW COM
**
391,102

UNITED TECHNOLOGIES CORP COM
**
10,159,547

UNITED THERAPEUTICS CORP DEL COM STK
**
334,367

UNITED URBAN INVES REIT
**
115,062

UNITEDHEALTH GROUP 1.625% DUE 03-15-2019
**
5,281,220

UNITEDHEALTH GROUP 1.9% DUE 07-16-2018
**
1,950,784

UNITEDHEALTH GROUP 2.7% DUE 07-15-2020
**
606,937

UNITEDHEALTH GROUP 2.875% DUE 12-15-2021
**
7,899,302

UNITEDHEALTH GROUP 3.45% DUE 01-15-2027
**
1,541,351

UNITEDHEALTH GROUP 3.75% DUE 07-15-2025
**
316,208

UNITEDHEALTH GROUP 4.7% DUE 02-15-2021
**
547,625

UNITEDHEALTH GROUP 6% DUE 02-15-2018
**
517,541

UNITEDHEALTH GROUP 6.625% DUE 11-15-2037
**
71,025

UNITEDHEALTH GROUP INC 3.375 DUE 11-15-2021
**
1,324,732

UNITEDHEALTH GROUP INC COM
**
8,263,943

UNIVERSAL CORP VA COM
**
141,540

UNIVERSAL FST PRODS INC COM
**
2,752,129

UNIVERSITY CALIF REVS 4.858% 05-15-2112 BEO TAXABLE
**
6,757,717

UNIVEST CORP PA COM
**
61,373

UNVL DISPLAY CORP COM
**
5,245,625

UNVL ELECTRS INC COM
**
33,075

UNVL STAINLESS & ALLOY PRODS INC COM
**
13,173

UNVL TECH INST INC COM
**
5,904

UOA DEVELOPMENT MYR0.05
**
456,416

UPM-KYMMENE CORP NPV
**
1,194,886

URBAN OUTFITTERS INC COM
**
2,058,618

US AIRWAYS GROUP FIXED 6.75% DUE 12-03-2022
**
3,428,476

US AWYS 2013-1 5.375% DUE 05-15-2023
**
463,839

US BANCORP
**
20,350,702

US BANCORP US BANCORP 2.625% DUE 01-24-2022 2.625% DUE 01-24-2022
**
2,242,805

US BANK NA CINCINNATI 2.0% 01-24-2020
**
6,711,550

US BANK NATL ASSN 1.4% DUE 04-26-2019
**
5,952,996

US FOODS HLDG CORP COM
**
325,462

US TREAS BDS 0 TREAS NT 15/11/2039 USD1000 4.375 DUE 11-15-2039 REG
**
2,560,493

US TREAS BDS 4.375 DUE 05-15-2040 REG
**
644,688

US TREAS BDS 4.75 DUE 02-15-2041 REG
**
3,393,458

US TREAS BDS DTD 05-16-2011 4.375 DUE 05-15-2041 REG
**
258,758

US TREAS BDS INDEX LINKED 2.00 DUE 01-15-2026 REG
**
69,895

US TREAS BDS INDEX LINKED 2.5 DUE 01-15-2029 REG
**
5,895,072

US TREAS INFL INDEXED BONDS 3.375 DUE 04-15-2032 AR12 DUE 04-15-32 REG
**
115,342

US TREAS NTS 1.375 DUE 12-31-2018 REG
**
9,955,860


174
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
US TREAS NTS DTD 1.625 DUE 03-31-2019 REG
**
73,583,766

US TREAS NTS INDEX LINKED NOTES 1.375 DUE 07-15-2018 REG
**
57,830

US TREAS NTS TIPS DTD 07-15-2011 07-15-2021
**
145,010

US TREAS SEC 4.5 DUE 08-15-2039 REG
**
44,884,090

US TREAS SEC STRIPPED INT PMT 0 15/2/2022 USD1000 02-15-2022 REG
**
3,575,245

US TREAS SEC STRIPPED INT PMT 015/8/2021 USD1000 08-15-2021
**
848,195

US TREAS SEC STRIPPED INT PMT GENERIC TINT PMT 05-15-2022 REG
**
2,773,554

US TREAS SEC STRIPPED INT PMT GENERIC TINT PMT 05-15-2023 REG
**
3,566,508

US TREAS SEC STRIPPED INT PMT STRIPPED IN PMT 15/5/2021 USD1000 05-15-2021 REG
**
2,125,753

US TREASURY DTD 02/15/2010 02-15-2040
**
44,550

US TREASURY N/B 1.0% 12-31-2017
**
13,720,000

US TREASURY N/B US GOVT NATIONAL 1.5% DUE 07-15-2020 REG
**
114,857,382

US TSY INFL IX TREAS BD 0.625 01-15-2024
**
9,046,215

USA TRUCK INC COM
**
18,583

UTAH ST 3.539% 07-01-2025 BEO TAXABLE
**
7,192,215

UTAH ST BRD REGENTS REV FLTG RT 01-25-2057
**
2,156,067

UTAH ST BRD REGENTS REV FLTG RT 1.28067%09-25-2056 BEO TAXABLE
**
21,158,974

UTD AIRLS 2014-2 PASS THRU 4.625 09-03-2022
**
3,718,697

UTD AIRLS PASS 3.1% DUE 01-07-2030
**
4,384,013

UTD AIRLS PASS THRU TR 2013-1B-O 5.375 DUE 02-15-2023
**
669,314

UTD AUTO CR 3.35% DUE 01-10-2022
**
640,037

UTD MEXICAN STS UTD MEXICAN STATES4.35 01-15-2047 REG 4.35 DUE 01-15-2047 REG
**
573,000

UTD PARCEL SVC INC 2.05% DUE 04-01-2021
**
5,669,853

UTD PARCEL SVC INC 2.45% DUE 10-01-2022
**
114,723

UTD PARCEL SVC INC 3.125% DUE 01-15-2021
**
3,355,611

UTD PARCEL SVC INC 5.125% DUE 04-01-2019
**
1,540,214

UTD STATES TREAS 1% DUE 08-31-2019
**
13,802,026

UTD STATES TREAS 1% DUE 11-30-2019
**
3,639,154

UTD STATES TREAS 1.125% DUE 02-28-2021
**
1,944,922

UTD STATES TREAS 1.125% DUE 08-31-2021
**
10,819,379

UTD STATES TREAS 1.625% DUE 04-30-2019
**
18,143,835

UTD STATES TREAS 1.625% DUE 06-30-2019
**
4,783,310

UTD STATES TREAS 1.75% 11-30-2019
**
107,736,983

UTD STATES TREAS 1.75% DUE 06-30-2022
**
3,043,933

UTD STATES TREAS 1.75% DUE 11-15-2020
**
76,060,737

UTD STATES TREAS 1.875% 12-15-2020
**
182,053,158

UTD STATES TREAS 2% 10-31-2022
**
136,302,238

UTD STATES TREAS 2% DUE 10-31-2021
**
3,096,636

UTD STATES TREAS 2.125% 11-30-2024
**
15,686,378

UTD STATES TREAS 2.125% DUE 06-30-2021
**
2,304,492

UTD STATES TREAS 2.125% DUE 09-30-2021
**
81,926,172

UTD STATES TREAS 2.25% DUE 07-31-2021
**
6,034,920

UTD STATES TREAS 3% DUE 05-15-2047
**
1,855,663

UTD STATES TREAS ZERO CPN .00001% DUE 08-15-2023
**
789,790

UTD STATES TREAS ZERO CPN 0% DUE 08-15-2030
**
3,076,615

UTD TECHNOLOGIES 1.95% DUE 11-01-2021
**
254,017

UTD TECHNOLOGIES STEP CPN 1.778% DUE 05-04-2018
**
4,083,746


175
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UTD TRACTORS IDR250
**
528,251

V F CORP 3.5% DUE 09-01-2021
**
258,046

VA ELEC & PWR CO 4.45 02-15-2044
**
132,002

VA ELEC & PWR CO 3.15% DUE 01-15-2026
**
4,038,388

VAIL RESORTS INC COM
**
257,726

VAL NATL BANCORP COM
**
263,165

VALEANT PH INT INC COM NPV
**
106,644

VALEO EUR1
**
144,090

VALERO ENERGY CORP 9.375% DUE 03-15-2019
**
3,601,121

VALIDUS HOLDING LTD COM STK USD0.175
**
317,601

VALUE PARTNERS GP HKD0.10
**
744,582

VALVOLINE INC COM
**
2,580,478

VAR SWP USD CHASUS33 07-08-2019 SWU0397Y4
**
12,407

VAR SWP USD CHASUS33 08-01-2018 SWU0A7126
**
178

VAR SWP USD CHASUS33 11-23-2018 SWU074820
**
863

VAR SWP USD GSILGB2X 03-26-2018 SWU0Y5835
**
11,727

VAR SWP USD GSILGB2X 06-22-2018 SWU076171
**
358

VAR SWP USD GSILGB2X 08-01-2018 7547754
**
85

VAR SWP USD MSCSUS33 04-12-2018 SWU073970
**
1,555

VAR SWP USD MSCSUS33 07-17-2019 SWU071180
**
17,953

VAR SWP USD MSCSUS33 07-26-2019 SWU071727
**
16,994

VAR SWP USD MSCSUS33 10-08-2019 SWU0Y5272
**
14,587

VAR SWP USD MSCSUS33 10-25-2018 SWU0Y5934
**
4,291

VAR SWP USD MSCSUS33 10-31-2018 SWU074499
**
1,022

VAR SWP USD SOGEFRPPHCM 06-22-2018 SWU074671
**
932

VAR SWP USD SOGEFRPPHCM 06-22-2018 SWU074762
**
1,601

VAR SWP USD SOGEFRPPHCM 06-22-2018 SWU074770
**
621

VAR SWP USD SOGEFRPPHCM 10-26-2018 SWU074309
**
4,391

VAR SWP USD SOGEFRPPHCM 10-26-2018 SWU076197
**
1,366

VAR SWP USD SOGEFRPPHCM 10-26-2018 SWU0Y6080
**
3,147

VAR SWP USD SOGEFRPPHCM 10-26-2018 SWU0Y6122
**
2,374

VASCO DATA SEC INTL INC COM
**
55,614

VECTRUS INC COM
**
33,627

VEECO INSTRS INC DEL COM
**
60,261

VENTAS RLTY LTD PARTNERSHIP 3.75 DUE 05-01-2024
**
302,889

VERA BRADLEY INC COM STK
**
38,927

VERICREST OPPORTUNITY LOAN TRANSFEREE SER 17-NPL8 CL A1 STEP 144A 06-25-47
**
141,188

VERIFONE SYSTEMS INC COM
**
154,892

VERINT SYS INC COM
**
207,995

VERITEX HLDGS INC COM
**
1,095,599

VERITIV CORP COM
**
47,396

VERIZON 2.946% DUE 03-15-2022
**
14,685,910

VERIZON 3.125% DUE 03-16-2022
**
111,530

VERIZON 4.15% DUE 03-15-2024
**
13,994,093

VERIZON 4.5% DUE 08-10-2033
**
7,551,576

VERIZON 4.6% DUE 04-01-2021
**
3,223,484



176
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
VERIZON 4.672% DUE 03-15-2055
**
133,231

VERIZON 4.812% DUE 03-15-2039
**
44,987

VERIZON COMMUNICATIONS 4.125% DUE 03-16-2027
**
1,564,070

VERIZON COMMUNICATIONS 4.4% DUE 11-01-2034 REG
**
117,189

VERIZON COMMUNICATIONS BNDS 5.25% DUE 03-16-2037 REG
**
879,746

VERIZON COMMUNICATIONS COM
**
7,489,277

VERSO CORP CL A CL A
**
50,145

VERTEX PHARMACEUTICALS INC COM
**
6,838,711

VESTAS WIND SYSTEM DKK1
**
2,610,203

VIACOM INC NEW 3.125 DUE 06-15-2022
**
390,759

VIACOM INC NEW 3.875% DUE 04-01-2024
**
229,476

VIACOM INC NEW 5.625% DUE 09-15-2019
**
842,308

VIACOM INC SR NT 6.875% DUE 04-30-2036/10-18-2006
**
130,486

VIAD CORP COM NEW
**
113,570

VIASAT INC COM
**
350,448

VIAVI SOLUTIONS INC COM NPV
**
150,809

VICINITY CENTRES NPV
**
158,976

VILLAGE SUPER MKT INC CL A NEW CL A NEW
**
23,503

VIRGIN MEDIA SEC F 5% GTD SNR SEC 15/04/27 GBP
**
827,883

VIRGIN MONEY PLC MTN 2.25% 21/04/2020
**
1,102,358

VIRGINIA ELEC & PWR CO 1.2 DUE 01-15-2018
**
286,918

VIRGINIA ELEC & PWR CO 3.45 02-15-2024
**
25,814

VIRTUS INVT PARTNERS INC COM
**
78,464

VIRTUSA CORP COM
**
92,524

VISA INC 2.15% DUE 09-15-2022
**
690,267

VISA INC 3.15% DUE 12-14-2025
**
1,410,770

VISA INC 4.3% DUE 12-14-2045
**
421,034

VISA INC BNDS 2.2% DUE 12-14-2020
**
3,557,195

VISA INC COM CL A STK
**
59,403,850

VISHAY INTERTECHNOLOGY INC COM STK
**
261,346

VISHAY PRECISION GROUP INC COM
**
33,500

VISTA OUTDOOR INC COM
**
87,537

VISTEON CORP COM NEW COM NEW
**
353,020

VITAMIN SHOPPE INC COM
**
13,077

VITERRA INC 5.95% DUE 08-01-2020
**
215,970

VMWARE INC 2.3% BNDS DUE 08-21-2020 REG
**
4,345,222

VMWARE INC 2.95% DUE 08-21-2022
**
1,081,967

VMWARE INC 3.9% 08-21-2027
**
8,681,545

VNDO 2012-6AVE MTG TR SER 2012-6AVE CL A2.9950 144A DUE 11-15-2030
**
2,898,424

VOCERA COMMUNICATIONS INC
**
658,524

VODAFONE GROUP ORD USD0.2095238
**
1,329,684

VODAFONE GROUP PLC 5.45% DUE 06-10-2019
**
2,374,397

VOL SWP CHF DEUTGB2L 26 JUN 2019 SWU0AQ819
**
657

VOLKSWAGEN GROUP 2.4% DUE 05-22-2020
**
2,193,578

VOLVO AB SER'B'NPV
**
1,613,959

VONOVIA SE NPV
**
393,739

VORNADO RLTY L P 3.5% DUE 01-15-2025
**
399,008


177
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
VOXX INTL CORP CL A CL A
**
10,903

VSD 2017-PLT1 LLC 3.95% DUE 12-25-2043
**
1,419,367

VSE CORP COM
**
49,592

VULCAN MATERIALS CO COM
**
151,348

W BANCORPORATION INC CDT-CAP STK
**
15,090

W P CAREY INC COM
**
453,707

WABASH NATL CORP COM
**
129,007

WABCO HLDGS INC COM STK
**
4,235,977

WABTEC CORP COM
**
1,807,420

WACHOVIA CAP TR III FXD-FLTG RATE BD DUE12-31-2049 REG
**
2,518,750

WADDELL & REED FINL INC CL A COM
**
142,283

WAGEWORKS INC COM USD0.001
**
8,624,200

WALDORF ASTORIA BOCA RATON TRUST 2016-BOCA SER 2016-BOCA CLS A FLT 144A 06-15-29
**
1,101,698

WALGREENS BOOTS 3.45% DUE 06-01-2026
**
1,938,156

WALKER & DUNLOP INC COM .
**
62,273

WAL-MART DE MEX COM NPV
**
1,879,768

WAL-MART STORES 1.75% DUE 10-09-2019
**
5,701,241

WAL-MART STORES 5.8% DUE 02-15-2018
**
1,978,703

WAL-MART STORES INC COM
**
3,130,375

WALT DISNEY COMPANY (THE) MTN 1.95% 03-04-2020
**
3,563,381

WASH FED INC COM
**
254,889

WASHINGTON PRIME GROUP NEW COM
**
80,969

WASHINGTON REAL ESTATE INVT TR SH BEN INT SH BEN INT
**
91,119

WASHINGTON TR BANCORP INC COM
**
38,553

WASTE MANAGEMENT INC 4.6 DUE 03-01-2021 BEO
**
350,432

WASTE MGMT INC DEL 3.5% DUE 05-15-2024
**
1,025,030

WASTE MGMT INC DEL 4.75% DUE 06-30-2020
**
243,444

WATERSTONE FINL INC MD COM
**
59,419

WATSCO INC COM
**
2,431,572

WATTS WTR TECHNOLOGIES INC
**
124,482

WAYFAIR INC CL A CL A
**
2,492,464

WEA FIN LLC / 3.75% DUE 09-17-2024
**
5,157,050

WEBSTER FNCL CORP WATERBURY CONN COM
**
2,302,055

WEICHAI POWER CO 'H'CNY1
**
281,362

WEINGARTEN RLTY INVS COM
**
225,751

WEIS MKT INC COM
**
110,304

WELLPOINT INC 1.875% DUE 01-15-2018
**
299,980

WELLS FARGO & CO 1.5% 01-16-2018
**
969,896

WELLS FARGO & CO 2.1% DUE 07-26-2021
**
1,444,405

WELLS FARGO & CO 2.15 DUE 01-15-2019
**
5,997,023

WELLS FARGO & CO 2.15 DUE 01-15-2019
**
2,038,266

WELLS FARGO & CO 2.5% DUE 03-04-2021
**
445,796

WELLS FARGO & CO 2.55% DUE 12-07-2020
**
1,104,456

WELLS FARGO & CO 2.625% DUE 07-22-2022
**
3,635,340

WELLS FARGO & CO 3% DUE 04-22-2026
**
490,550

WELLS FARGO & CO 3% DUE 10-23-2026
**
2,469,996

WELLS FARGO & CO 3.069% DUE 01-24-2023
**
372,777


178
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
WELLS FARGO & CO 3.3 09-09-2024
**
2,741,880

WELLS FARGO & CO 3.5 DUE 03-08-2022
**
242,652

WELLS FARGO & CO 4.1% DUE 06-03-2026
**
369,115

WELLS FARGO & CO 4.48% DUE 01-16-2024
**
11,149,809

WELLS FARGO & CO 4.9% DUE 11-17-2045
**
494,589

WELLS FARGO & CO FLTG RT 2.34289% DUE 02-11-2022
**
1,619,954

WELLS FARGO & CO FLTG RT 2.39564% DUE 07-26-2021
**
4,594,766

WELLS FARGO & CO FLTG RT 2.8513% DUE 01-24-2023
**
611,920

WELLS FARGO & CO FLTG RT 3.584% DUE 05-22-2028
**
14,782,127

WELLS FARGO & CO MTN 2.15% 01-30-2020
**
9,194,792

WELLS FARGO & CO NEW COM STK
**
54,575,881

WELLS FARGO & CO NEW MEDIUM TERM SR NTS FLTG RT DUE 01-30-2020
**
504,136

WELLS FARGO & CO NEW MEDIUM TERM SR NTS TRANCHE # TR 00155 4.3% DUE 07-22-2027
**
3,045,342

WELLS FARGO & CO NEW NT FLTG DUE 10-31-2023/10-31-2022 REG
**
513,294

WELLS FARGO & CO TRANCHE # SR 00129 3.45DUE 02-13-2023
**
3,159,043

WELLS FARGO & COMPANY 2.125 04-22-2019
**
5,499,137

WELLS FARGO & COMPANY 4.6 MTN TRANCHE # SR 00116 DUE 04-01-2021 USD1000
**
5,313,520

WELLS FARGO BK N A 2.15% DUE 12-06-2019
**
26,958,366

WELLS FARGO BK N A FLTG RT 0% DUE 11-28-2018
**
8,131,709

WELLS FARGO COML 2.573% DUE 09-17-2058
**
1,002,554

WELLS FARGO COML 3.247% DUE 07-15-2058
**
5,231,611

WELLS FARGO COML FLTG RT 4.43616% DUE 12-15-2059
**
2,030,973

WELLS FARGO COML MTG TR 2017-C40 CL A-SB 3.395% 10-15-2050 10-15-2050
**
2,868,090

WELLS FARGO COML MTG TR 2017-C41 CL A-SB 3.39% 11-15-2050
**
14,847,261

WELLTOWER INC 4.25% DUE 04-01-2026
**
2,721,883

WERNER ENTERPRISES INC COM
**
269,391

WESBANCO INC COM
**
190,120

WESCO AIRCRAFT HOLDINGS INC
**
68,272

WESCO INTL INC COM
**
278,597

WESFARMERS LTD NPV
**
285,330

WEST CHINA CEM LTD COMSTK
**
691,745

WEST FRASER TIMBER COM NPV
**
2,282,246

WEST PHARMACEUTICAL SVCS INC COM
**
2,979,933

WESTAR ENERGY INC 3.1% DUE 04-01-2027
**
181,000

WESTERN ALLIANCE BANCORPORATION COM
**
8,692,246

WESTERN ENERGY SVCS CORP COM NO PAR
**
180,600

WESTERN GAS PARTNERS LP 4 DUE 07-01-2022 REG
**
382,566

WESTERN NEW ENG BANCORP INC COM
**
39,665

WESTERN UN CO 3.6% DUE 03-15-2022
**
784,571

WESTFIELD CORP NPV STAPLED UNITS
**
239,779

WESTGATE RESORTS 2.15% DUE 12-20-2026
**
303,166

WESTLAKE 1.57% DUE 06-17-2019
**
226,446

WESTLAKE 1.78% DUE 04-15-2020
**
752,495

WESTLAKE 2.7% DUE 10-17-2022
**
59,004

WESTLAKE CHEM CORP 4.375% 11-15-2047
**
76,851

WESTN GAS PARTNERS 2.6% DUE 08-15-2018
**
280,477

WESTN GAS PARTNERS 3.95% DUE 06-01-2025
**
79,991


179
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
WESTN GAS PARTNERS 5.375% DUE 06-01-2021
**
71,046

WESTPAC BKG CORP 1.6% DUE 08-19-2019
**
8,233,572

WESTPAC BKG CORP 1.65% DUE 05-13-2019
**
693,315

WESTPAC BKG CORP 1.95% DUE 11-23-2018
**
499,396

WESTPAC BKG CORP 2.1% DUE 05-13-2021
**
592,957

WESTPAC BKG CORP 2.25% DUE 07-30-2018
**
1,539,109

WESTPAC BKG CORP 2.5% DUE 06-28-2022
**
3,507,952

WESTPAC BKG CORP 2.75% DUE 01-11-2023
**
997,962

WESTPAC BKG CORP 4.322% DUE 11-23-2031
**
298,790

WESTPAC BKG CORP 4.875% DUE 11-19-2019
**
314,494

WESTPAC BKG CORP N Y BRH CTF DEP 10-20-2017 1.71% 10-19-2018
**
10,571,221

WESTROCK CO COM
**
2,698,245

WEX INC COM
**
7,668,789

WEYCO GROUP INC COM
**
33,494

WEYERHAEUSER CO 7.375% DUE 10-01-2019
**
5,418,525

WFRBS COML MTG TR 3.311% DUE 03-15-2045
**
578,068

WFRBS COML MTG TR FLTG RT 4.069% DUE 09-15-2057
**
4,839,365

WFRBS COML MTG TR MTG PASS SER 2014-C20 CL C 4.513 05-15-2047
**
1,882,701

WFRBS COML MTG TR SER 2013-C12 CL A-3 3.07 03-15-2048
**
4,773,299

WFRBS COML MTG TR SER 2014-C23 CL A-S FLTG RT 10-15-2057
**
4,557,616

WHARF REAL ESTATE HKD0.1
**
319,292

WHEELOCK & COMPANY NPV
**
749,790

WHITBREAD ORD GBP0.76797385
**
290,191

WHITE MOUNTAINS INSURANCE GROUP COM STOCK
**
306,461

WHITECAP RESOURCES INC COMMON STOCK
**
1,021,491

WHITESTONE REIT COMMON SHARES
**
30,794

WHITING PETE CORP COM NEW COM USD0.001(POST REV SPLIT)
**
223,941

WI ELEC PWR CO 2.95% DUE 09-15-2021
**
111,552

WI PUB SVC CORP 1.65% DUE 12-04-2018
**
164,461

WI PWR & LT CO 5% DUE 07-15-2019
**
138,472

WI TREASURY SEC 3% DUE 05-15-2045 REG
**
23,771,164

WIDEOPENWEST INC COM
**
1,504,111

WIENERBERGER AG NPV
**
1,581,117

WILDHORSE RESOURCE DEV CORP COM
**
3,223,775

WILEY JOHN & SONS INC CL A
**
144,782

WILLBROS GROUP INC COM
**
4,987

WILLDAN GROUP INC COM
**
11,395

WILLIAMS PARTNERS 3.9% DUE 01-15-2025
**
43,825

WILLIAMS PARTNERS 4.3% DUE 03-04-2024
**
2,545,070

WIND TRE SPA 3.125% GTD 20/01/2025 EUR
**
820,101

WINDSTREAM HLDGS INC COM NEW COM NEW
**
17,951

WINNEBAGO INDS INC COM
**
108,086

WINTRUST FINL CORP COM
**
236,731

WIPRO INR2
**
100,372

WISCONSIN ELEC PWR CO 1.7 DUE 06-15-2018
**
49,979

WISCONSIN ST GEN FD ANNUAL APPROPRIATIONREV 2.483% 05-01-2027 BEO TAXABLE
**
1,909,920

WISDOMTREE INVTS INC COM
**
3,150,050


180
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
WISTRON CORP TWD10
**
104,155

WISTRON NEWEB CORP TWD10
**
1,008,946

WOLTERS KLUWER EUR0.12
**
1,364,579

WOLVERINE WORLD WIDE INC COM
**
4,112,265

WOOD GROUP (JOHN) ORD GBP0.0428571
**
888,258

WOODSIDE PETROLEUM NPV
**
127,030

WOODWARD INC COM
**
2,007,950

WOOLWORTHS HLDGS NPV
**
94,496

WORKDAY INC CL A COM USD0.001
**
6,433,732

WORLD ACCEP CORP S C NEW COM
**
85,482

WORLD FINL NETWORK 2.03% DUE 04-15-2025
**
782,640

WORLD FINL NETWORK 2.25% DUE 04-17-2023
**
2,497,645

WORLD FINL NETWORK 2.55% DUE 06-17-2024
**
1,003,777

WORLD FINL NETWORK CR CARD MASTER NT TR 2017-B NT CL A 1.98% 06-15-2023 REG
**
2,144,556

WORLD FUEL SERVICE COM STK USD0.01
**
179,983

WORLD OMNI 1.45% DUE 08-15-2019
**
1,405,280

WORLD OMNI 1.54% DUE 10-15-2018
**
508,165

WORLD OMNI AUTO 1.14% DUE 01-15-2020
**
378,754

WORLD OMNI AUTO 1.3% DUE 02-15-2022
**
5,410,660

WORLD OMNI AUTO 1.84% DUE 01-17-2022
**
1,530,543

WORLD OMNI AUTOMOBILE LEASE SER 17-A CLS A3 2.13% DUE 04-15-2020
**
2,213,792

WORLD OMNI AUTOMOBILE LEASESER 17-A CLS A4 2.32% DUE 08-15-2022
**
1,099,182

WORTHINGTON INDS INC COM
**
113,455

WPP PLC ORD GBP0.10
**
10,886,212

WPX ENERGY INC COM SHS
**
521,040

WSFS FINANCIAL CORP COM
**
3,541,905

WYNN RESORTS LTD COM
**
388,263

XCEL ENERGY INC 2.6% DUE 03-15-2022
**
89,777

XCEL ENERGY INC 6.5 DUE 07-01-2036 BEO
**
81,055

XCEL ENERGY INC COM
**
3,756,188

XCERRA CORP COM
**
56,185

XEBIO HOLDINGS CO NPV
**
348,162

XENIA HOTELS & RESORTS INC COM
**
126,669

XEROX CORP COM NEW COM NEW
**
506,510

XEROX CORP FIXED 2.75% DUE 09-01-2020
**
1,457,692

XO GROUP INC COM
**
52,426

XPERI CORP COM
**
85,937

XPO LOGISTICS INC COM
**
7,755,475

XYLEM INC 3.25% DUE 11-01-2026
**
49,737

XYLEM INC SR NT 4.875 DUE 10-01-2021
**
868,219

YAMAHA MOTOR CO NPV
**
294,768

YANGZIJIANG SHIPBU NPV (SGD)
**
1,318,980

YOKOGAWA ELECTRIC NPV
**
162,528

YOOX NET-A-PORTER NPV
**
839,712

YUASA TRADING CO NPV
**
957,927

YUE YUEN INDL HLDG HKD0.25
**
139,221

YUM CHINA HLDGS INC COM
**
7,580,869


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Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
YUME INC COM
**
14,206

YUNG TAY ENGINEER TWD10
**
601,957

ZAFGEN INC COM
**
21,719

ZAYO GROUP HLDGS INC COM
**
3,450,957

ZEDGE INC CL B CL B
**
1,003

ZIMMER BIOMET 2% DUE 04-01-2018
**
1,630,592

ZIMMER BIOMET 3.15% DUE 04-01-2022
**
2,335,706

ZIMMER BIOMET 3.55% DUE 04-01-2025
**
3,097,942

ZIMMER BIOMET 4.625% DUE 11-30-2019
**
311,499

ZIMMER BIOMET HLDGS INC COM
**
5,249,145

ZOES KITCHEN INC COM
**
17,021

ZOETIS INC 3.45% DUE 11-13-2020
**
1,023,613

ZOGENIX INC COM NEW COM NEW
**
530,302

ZUMIEZ INC COM
**
64,412

ZUMTOBEL GROUP AG
**
467,970

ZURICH INSURANCE GROUP AG CHF0.10
**
6,650,941

Bank of Tokyo (wrap contract)
**
539,164

Metropolitan Life (wrap contract)
**
(29,109,879
)
Prudential (wrap contract)
**
(14,673,421
)
Royal Bank of Canada (wrap contract)
**
(29,964,511
)
Voya (wrap contract)
**
(43,448,298
)
TOTAL
 
$
59,721,198,243

 
 
 
*PARTICIPANT LOANS (Interest from 3.25% to 9.50% maturing through January 2038)
**
$
731,641,645

 
 
 
*Party-in-interest
 
 
 
 
 
**Cost information is not required for participant directed investment and therefore is not included.
 
 
 
 
 (Concluded)



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THE BOEING COMPANY
VOLUNTARY INVESTMENT PLAN
FORM 5500, SCHEDULE H, LINE 4(a) - SCHEDULE OF DELINQUENT PARTICIPANT CONTRIBUTIONS
FOR THE YEAR ENDED DECEMBER 31, 2017
Participant Contributions Transferred Late to Plan
Total That Constitute Nonexempt Prohibited Transactions
 
Check here if Late Participant Loan Repayments are included:

Contributions Not Corrected
Contributions Corrected Outside VFCP
Contributions Pending Correction in VFCP
Total Fully Corrected Under VFCP and PTE 2002-51
 

$—


$—


$212


$134,537



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Table of Contents

THE BOEING COMPANY
VOLUNTARY INVESTMENT PLAN
FORM 5500, SCHEDULE G, PART III - SCHEDULE OF NONEXEMPT TRANSACTIONS
FOR THE YEAR ENDED DECEMBER 31, 2017
Party Involved
Relationship to Plan
Description of Transaction
Cost of Asset
Current Value of Asset
Net Gain on Each Transaction
State Street Bank and Trust Company
Former trustee
Plan assets were inadvertently used to make an overpayment to the former trustee.

$376


$823


$447

Dimensional Fund Advisors
Service provider
Plan assets were inadvertently used to make an overpayment to a third-party provider.

$7


$8


$1

J.P. Morgan
Service provider
Plan assets were inadvertently received by a third-party provider.

$13,229


$15,042


$1,813

J.P. Morgan
Service provider
Plan assets were inadvertently used to make an overpayment to a third-party provider.

$200


$385


$185

J.P. Morgan
Service provider
Plan assets were inadvertently received by a third-party provider.

$303


$336


$33


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Table of Contents

SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the Plan Administrator has duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
 
 
 
 
 
 
 
 
 
 
 
 
  
THE BOEING COMPANY
 
 
 
 
 
  
 VOLUNTARY INVESTMENT PLAN
 
 
 
 
 
 
June 14, 2018
 
 
  
/s/ Michael Cleary      
 
 
Date
 
 
  
Michael Cleary
 
 
 
 
 
  
Vice President of Accounting
 
 
 
 
 
  
and Financial Reporting
 
 
 
 
 
  
 


185