2013 VOLUNTARY INVESTMENT PLAN
Table of Contents

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, 2013
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, 2013 and 2012, and for the Year Ended December 31, 2013, Supplemental Schedule as of December 31, 2013, and Report of Independent Registered Public Accounting Firm


Table of Contents

THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
TABLE OF CONTENTS 
 
  
Page
  
FINANCIAL STATEMENTS:
  
 
  
  
  
SUPPLEMENTAL SCHEDULE AS OF DECEMBER 31, 2013
  
 
  
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 or are not required.
  
 

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

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, 2013 and 2012, and the related statement of changes in net assets available for benefits for the year ended December 31, 2013. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2013 and 2012, and the changes in net assets available for benefits for the year ended December 31, 2013, in conformity with accounting principles generally accepted in the United States of America.
Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule of assets (held at end of year) as of December 31, 2013, is presented for the purpose of additional analysis and is not a required part of the basic financial statements, but is supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. This schedule is the responsibility of the Plan’s management. The schedule has been subjected to the auditing procedures applied in our audit of the basic 2013 financial statements and, in our opinion, is fairly stated, in all material respects, when considered in relation to the basic financial statements taken as a whole.
/s/ DELOITTE & TOUCHE LLP
Seattle, Washington
June 24, 2014



1
Table of Contents

THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2013 AND 2012
(Dollars in millions)
 
2013

 
2012

ASSETS:
 
 
 
 
Investments — at fair value — interest in Master Trust
 

$44,404

 

$36,593

Receivables:
 
 
 
 
Loans to Members
 
714

 
675

 
 


 


NET ASSETS REFLECTING INVESTMENTS AT FAIR VALUE
 
45,118

 
37,268

ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE FOR FULLY BENEFIT-RESPONSIVE INVESTMENT CONTRACTS
 
(245
)
 
(656
)
NET ASSETS AVAILABLE FOR BENEFITS
 

$44,873

 

$36,612

See notes to financial statements.

2
Table of Contents

THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
FOR THE YEAR ENDED DECEMBER 31, 2013
(Dollars in millions)
 
ADDITIONS:
 
Net Master Trust activity

$8,275

Income from loans
20

Contributions:
 
Employer
717

Member
1,636

Total contributions
2,353

Total additions
10,648

DEDUCTIONS — Benefits paid
2,387

NET ADDITIONS
8,261

NET ASSETS AVAILABLE FOR BENEFITS:
 
Beginning of year
36,612

End of year

$44,873

See notes to financial statements.


3
Table of Contents

THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2013 AND 2012, AND FOR THE YEAR ENDED DECEMBER 31, 2013
(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 savings plan designed to provide Members with a means of making regular savings to provide additional security for their retirement. An employee becomes eligible to participate on the first day of employment.
Effective September 30, 2011, the net assets and liabilities of a defined contribution profit-sharing plan, The Boeing Company Employee Financial Security Plan (“FSP”), were transferred into the Plan. The FSP balances provide for salary continuation during extended illness of certain bargaining units of active employees or disbursement of remaining account balance at termination.
The Plan includes an auto-enrollment provision whereby all newly eligible employees since January 1, 2010, are automatically enrolled in the Plan unless they affirmatively elect not to participate in the Plan. Automatically enrolled participants have their deferral rate set at a percentage of eligible compensation as defined in the Plan document and their contributions are invested in a designated balanced fund until changed by the participant.
The assets of the Plan, excluding loans, are held in The Boeing Company Employee Savings Plans Master Trust (the “Master Trust”). State Street Bank and Trust Company (“SSBT”) serves as trustee for the Master Trust. The Employee Benefit Plans Committee controls and manages the operation and administration of the Plan. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”).
Contributions — Members may elect to contribute to the Plan from pretax, after-tax, or a combination of both and subject to statutory limitations, between 1% and 25% of their eligible compensation. Certain eligible employees are allowed to make catch-up contributions. This provision is available to Members of age 50 or older during the plan year and who contribute either at least 8% in pretax contributions or have reached a statutory or plan limit for the plan year. Catch-up contributions are ineligible for a Company matching contribution. The Plan also accepts certain rollover contributions.
Under the terms of the Plan, The Boeing Company (the “Company” or “Boeing”) makes 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. The allocation of both their 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 contribution and Company’s contribution, 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 their contributions and any employer-matching contributions to the investment funds in the Master Trust. These  investment funds consisted of common/collective trusts, separately managed U.S. equity accounts, separately managed non-U.S.

4
Table of Contents

equity accounts, a separately managed fixed-income account (new for 2012), custom target date funds, a stable value fund (composed of synthetic-guaranteed investment contracts (“synthetic GICs”)), and Boeing common stock, which is The Boeing Employee Stock Ownership Plan Stock Fund (the “Boeing Stock Fund”) (a dividend payout program), as of December 31, 2013 and 2012. Investment funds are valued daily and Members may elect to change their investment allocations on a daily basis.
Vesting — Member contributions, both pretax and after-tax, 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 own pretax contribution accounts, employer-matching contribution accounts, and Company contribution 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 pretax contribution accounts are subject to 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.
Finally, in the event of illness or injury and if a Member has used all of his or her regular sick leave benefits, a Member with a FSP balance may elect to withdraw, subject to Plan requirements, all or a portion of his or her FSP account balance.
Loans — Members are permitted to borrow up to 50% of the total value of their total vested account balance (excluding a Member’s FSP balance and minus any current outstanding loan balance) with a minimum of one thousand dollars and a maximum of fifty thousand dollars, reduced by the highest outstanding loan balance under all the Company’s savings plans during the last 12 months. Members may have two loans outstanding within the Company’s savings plans at any time. Loans may be additionally limited in accordance with the Plan provisions. 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 2.0% to 10.0% at December 31, 2013, with loans maturing at various dates through December 2033.
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 continue to 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 their net account balance before the loan is paid off. If the loan defaults, the loan balance will become taxable income to the Member. Member loans are measured at their unpaid principal balance, plus any accrued but unpaid interest.
Benefit Payments — Upon termination of service, a Member may elect to receive a lump-sum amount equal to the 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 an annuity contract. If a Member makes no election, annual distributions of the required minimum amount will generally begin after age 70 1/2.
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).

5
Table of Contents

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. 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. 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.
•
Mutual funds, which are registered investment companies, are valued using a market approach based on quoted market prices to represent the net asset value (NAV) on the last trading day of the year.
•
Investments in common/collective trust funds are valued based on the year-end unit 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.
•
Synthetic GICs are stated at fair value and then adjusted to 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 using prices provided by SSBT, which are based on the pricing methodology stated below for fixed-income securities.
•
Fixed-income 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 synthetic GICs and payables for securities purchased on the Master Trust’s statements of net assets available for benefits.

6
Table of Contents

•
Investments in limited partnerships are recorded based upon the NAV provided by the partnerships. There are no unfunded commitments and the Plan does not have the ability to make redemption requests from limited partnerships.
•
Other investments include over-the-counter (OTC) priced 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 equivalents and short-term investments include certificates of deposits, Treasury bills, and discounted notes with original maturities of three months or less for cash equivalents and greater than three months, but less than one year for short-term investments. These investments are primarily valued using a market approach in the same manner as fixed-income securities referenced above. 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) 946-210-45 through 946-210-55, the synthetic GICs are included at fair value in participant-directed investments in the statements of net assets available for benefits, and an additional line item is presented representing the adjustment from fair value to contract value. 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. Dividends are recorded on the ex-dividend date. The net appreciation/depreciation in fair value of investments includes both realized and unrealized gains or losses and is calculated as the difference between the fair value of the assets 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 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, Private 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
•
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

7
Table of Contents

Limited partnerships are generally valued using the NAV or its equivalent. Valuations provided by the funds are reviewed at least quarterly. The asset manager's 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 on 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.
Loans Receivable from Members — Loans receivable from Members is 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.
Recently Adopted Accounting Guidance — In December 2011 and January 2013, the FASB issued guidance requiring expanded disclosures, including both gross and net information, for derivatives, repurchase and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in the reporting entity’s financial statements or those that are subject to an enforceable master netting arrangement or similar agreement. The Plan adopted the new guidance in 2013 and applied it retrospectively for 2012. The new guidance affects disclosures only and therefore had no impact on the statements of net assets and changes therein.
Recent Accounting Guidance Not Yet Adopted — In June 2014, the FASB issued Accounting Standards Update (ASU) No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-To-Maturity Transactions, Repurchase Financings, and Disclosures. ASU No. 2014-11 requires repurchase-to-maturity transactions to be accounted for as secured borrowings, requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, and expands disclosure requirements related to certain transfers of financial assets. Plan management is currently evaluating the impact of ASU No. 2014-11, which will be effective for the Plan beginning January 1, 2015.


3.
SYNTHETIC GUARANTEED INVESTMENT CONTRACTS
The Master Trust includes the VIP Stable Value Fund (VIP SVF), which is managed by Dwight Asset Management Company LLP (“Dwight”). 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

8
Table of Contents

underlying assets, through adjustments to the future interest-crediting rate. Primary variables impacting the future crediting rate of the wrap contracts include current yield of the underlying assets within the wrap contract, duration of the underlying assets covered by the wrap contract, and the existing difference between market value and contract value of the underlying assets within the wrap contract. The issuer guarantees 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 4, at fair value in participant-directed investments, and an additional line item is presented representing the adjustment from fair value to contract value. There are no reserves against contract value for credit risk of the contract issuer. The fixed-income securities underlying the contracts are valued using prices provided by SSBT, which are 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; SSBT is the custodian for the Master Trust assets. The underlying assets of the synthetic GICs are invested in diversified bond portfolios managed by BlackRock Financial Management Inc., ING Investment Management Co., JPMorgan Asset Management (JPMAM), Pacific Investment Management Company, Prudential Fixed Income Management, and Western Asset Management Co. In addition to the diversified bond portfolios, Dwight oversees an allocation to a cash component, which is invested in a separately managed account, managed by JPMAM.
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. The wrap providers may not terminate the contracts at any amount less than contract value.
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.
The average yields of the VIP SVF for the years ended December 31, 2013 and 2012, are as follows:
 
 
2013

 
2012

Average yields:
 
 
 
 
Based on annualized earnings (1)
 
1.44
%
 
1.01
%
Based on interest rate credited to participants (2)
 
1.87
%
 
2.45
%
(1) 
Computed by dividing the annualized one-day actual earnings of the VIP SVF on the last day of the plan year by the fair value of the investments of the VIP SVF on the same date.
(2) 
Computed by dividing the annualized one-day earnings credited to participants in the VIP SVF on the last day of the plan year by the fair value of the investments of the VIP SVF on the same date.
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 participant 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.
At December 31, 2013 and 2012, all the net assets of the Master Trust were owned by the Plan.

9
Table of Contents

The Plan’s interest in the Master Trust was $44,404 million and $36,593 million representing 100% of the Master Trust’s net assets at December 31, 2013 and 2012, respectively.
Although the Plan is the only participating plan in the Master Trust as of December 31, 2013, the Company intends to keep the Master Trust for potential future acquired plans and file a Form 5500 as a master trust.
The Master Trust’s statements of net assets available for benefits as of December 31, 2013 and 2012, are as follows:
 
 
2013

 
2012

ASSETS:
 
 
 
 
Investments — at fair value:
 
 
 
 
Common/collective trusts
 

$18,455

 

$14,458

Common and preferred stock
 
5,394

 
3,676

Mutual funds
 
—

 
4

Boeing common stock
 
7,030

 
4,805

Synthetic GICs
 
12,215

 
12,578

Limited partnerships
 
1

 
1

Fixed-income securities
 
944

 
617

Other investments
 
4

 
3

Total investments — at fair value
 
44,043

 
36,142

Cash and cash equivalents
 
287

 
529

Receivables:
 
 
 
 
Receivables for securities sold
 
198

 
156

Accrued investment income
 
66

 
61

Other
 
16

 
17

Total receivables
 
280

 
234

Total assets
 
44,610

 
36,905

LIABILITIES:
 
 
 
 
Payables for securities purchased
 
149

 
263

Accrued investment and administration expenses
 
22

 
18

Other
 
35

 
31

Total liabilities
 
206

 
312

NET ASSETS AVAILABLE FOR BENEFITS — At fair value
 
44,404

 
36,593

ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE FOR FULLY BENEFIT-RESPONSIVE INVESTMENT CONTRACTS
 
(245
)
 
(656
)
NET ASSETS AVAILABLE FOR BENEFITS
 

$44,159

 

$35,937


10
Table of Contents

Changes in net assets for the Master Trust for the year ended December 31, 2013, are as follows:
Net appreciation of investments:
 
Common/collective trusts

$3,094

Common and preferred stock
1,419

Boeing common stock
3,369

Fixed-income securities
(42
)
Net appreciation of investments
7,840

Interest income
327

Dividend income
184

Investment income
511

Net investment income
8,351

Amounts received from participating plans
2,695

Deductions:
 
Amounts paid to participating plans
2,748

Investment and administration expenses
76

Total deductions
2,824

Increase in net assets
8,222

Beginning of year
35,937

End of year

$44,159

5.
FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES
ASC 820 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.
The following tables set forth by level within the fair value hierarchy a summary of Master Trust investments by classes of assets and liabilities on the basis of the nature and risk of the investments measured at fair value on a recurring basis as of December 31, 2013 and 2012. 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. The Plan’s policy is to recognize transfers between levels at the beginning of the reporting period.

11
Table of Contents

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

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Balance as of December 31, 2013

Investment assets:
 
 
 
 
 
 
 
 
Common/collective trusts:
 
 
 
 
 
 
 
 
U.S. equity
 
 

 

$10,725

 
 

 

$10,725

Non-U.S. equity
 
 
 
3,938

 
 
 
3,938

Fixed income
 
 
 
3,392

 
 
 
3,392

Other
 
 
 
400

 
 
 
400

Total common/collective trusts
 
0
 
18,455
 
—

 
18,455
Common and preferred stocks:
 
 
 
 
 
 
 
 
U.S. equity
 
4,129

 
 
 
 
 
4,129

Non-U.S. equity
 
1,031

 
234

 
 
 
1,265

Total common and preferred stocks
 
5,160

 
234

 
—

 
5,394

Fixed-income securities:
 
 
 
 
 
 
 
 
Corporate bonds
 
 
 
393

 
 
 
393

Mortgage backed and asset backed
 
 
 
155

 
17

 
172

U.S. government and agency
 
 
 
189

 
 
 
189

Other
 
 
 
190

 
 
 
190

Total fixed-income securities
 
—

 
927

 
17

 
944

Boeing common stock
 
7,030

 
 
 
 
 
7,030

Synthetic GICs:
 
 
 
 
 
 
 
 
U.S. government and agency
 
 
 
5,784

 
6

 
5,790

Corporate bonds
 
 
 
3,304

 
 
 
3,304

Mortgage backed and asset backed
 
 
 
1,819

 
705

 
2,524

Short-term investment
 
 
 
 
 
 
 
—

Other
 
 
 
263

 
 
 
263

Common/collective trusts — fixed-income
 
 
 
334

 
 
 
334

Total synthetic GICs
 
—

 
11,504

 
711

 
12,215

Limited partnerships
 
 
 
 
 
1

 
1

Other investments
 
 
 
4

 
 
 
4

Total investment assets
 
12,190

 
31,124

 
729

 
44,043

Receivables:
 
 
 
 
 
 
 
 
Forward currency contracts
 
 
 
4

 
 
 
4

Futures
 
1

 
 
 
 
 
1

Total receivables
 
1

 
4

 
—

 
5

Cash equivalents
 
 
 
14

 
 
 
14

Total financial assets
 

$12,191

 

$31,142

 

$729

 

$44,062

Investment liabilities:
 
 
 
 
 
 
 
 
TBAs
 
 

 

$3

 
 

 

$3

Swaps
 
 
 
5

 
 
 

$5

Forward currency contracts
 
 
 
5

 
 
 
5

Total investment liabilities
 


 

$13

 


 

$13


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)

 
Balance as of December 31, 2012

Investment assets:
 
 
 
 
 
 
 
 
Common/collective trusts:
 
 
 
 
 
 
 
 
U.S. equity
 
 

 

$7,616

 
 

 

$7,616

Non-U.S. equity
 
 
 
3,141

 
 
 
3,141

Fixed income
 
9

 
3,374

 
 
 
3,383

Short-term investment
 
 
 
318

 
 
 
318

Total common/collective trusts
 
9

 
14,449

 
—

 
14,458

Common and preferred stocks:
 
 
 
 
 
 
 
 
U.S. equity
 

$2,980

 
 
 
 
 
2,980

Non-U.S. equity
 
566

 
130

 
 
 
696

Total common and preferred stocks
 
3,546

 
130

 
—

 
3,676

Fixed-income securities:
 
 
 
 
 
 
 
 
Corporate bonds
 
 
 
185

 
1

 
186

Mortgage backed and asset backed
 
 
 
71

 
5

 
76

U.S. government and agency
 
 
 
132

 
 
 
132

Other
 
 
 
223

 
 
 
223

Total fixed-income securities
 
—

 
611

 
6

 
617

Mutual funds — equity
 
4

 
 
 
 
 
4

Boeing common stock
 
4,805

 
 
 
 
 
4,805

Synthetic GICs:
 
 
 
 
 
 
 
 
U.S. government and agency
 
 
 
5,184

 

$14

 
5,198

Corporate bonds
 
 
 
2,835

 
 
 
2,835

Mortgage backed and asset backed
 
 
 
2,734

 
180

 
2,914

Short-term investment
 
 
 
534

 
 
 
534

Other
 
 
 
280

 
9

 
289

Common collective trusts — fixed income
 
 
 
808

 
 
 
808

Total synthetic GICs
 
—

 
12,375

 
203

 
12,578

Limited partnerships
 
 
 
 
 
1

 
1

Other investments
 
 
 
3

 
 
 
3

Total investment assets
 
8,364

 
27,568

 
210

 
36,142

Receivables:
 
 
 
 
 
 
 
 
Forward currency contracts
 
 
 
6

 
 
 
6

Futures
 
2

 
 
 
 
 
2

Total receivables
 
 
 
6

 
—

 
8

Cash equivalents
 
 
 
12

 
 
 
12

Total financial assets
 

$8,364

 

$27,586

 

$210

 

$36,162

Investment liabilities:
 
 
 
 
 
 
 
 
TBAs
 
 

 

$3

 
 

 

$3

Forward currency contracts
 
 
 
3

 
 
 

$3

Total investment liabilities
 
 
 

$6

 
 
 

$6


13
Table of Contents

Total Master Trust investment assets at fair value classified within Level 3 were $729 and $210 as of December 31, 2013 and 2012, respectively, which primarily consist of fixed-income securities, including those underlying the synthetic GICs, and an investment in a partnership. Such amounts were 1.65% and 0.58% of “Total investment assets” in the Master Trust’s statements of net assets available for benefits as of December 31, 2013 and 2012, respectively.
Level 3 Activities — A summary of changes in the fair value of the Master Trust’s Level 3 investment assets for the years ended December 31, 2013 and 2012, is as follows:

 
January 1, 2013 Beginning Balance

Net Unrealized and Realized Gains (Losses)

Purchases

Sales

Transfers into Level 3

Transfers out of Level 3

December 31, 2013 Ending Balance

Financial assets:
 
 
 
 
 
 
 
Fixed-income securities:
 
 
 
 
 
 

Corporate bonds
$
1

 
 
 
 
$
(1
)
$
—

Mortgage-backed and asset- backed
5

(1
)
10

(1
)
5

(1
)
17

Synthetic GIC:
 
 
 
 
 
 
 
U.S. government and agency
14

 
 
 
 
(8
)
6

Mortgage-backed and asset- backed
180

(6
)
419

(104
)
224

(8
)
705

Other
9

 
7

(16
)
 
 
—

Limited partnerships
1

 
 
 
 
 
1

Total financial assets

$210


($7
)

$436


($121
)

$229


($18
)

$729

 
January 1, 2012 Beginning Balance

Net Unrealized and Realized Gains (Losses)

Purchases

Sales

Transfers into Level 3

Transfers out of Level 3

December 31, 2012 Ending Balance

Financial assets:
 
 
 
 
 
 
 
Fixed-income securities:
 
 
 
 
 
 
 
Corporate bonds
 
 
$
1

 
 
 
$
1

Mortgage-backed and asset- backed
 
 
5

 
 
 
5

Synthetic GIC:
 
 
 
 
 
 

U.S. government and agency
30

1

 
(1
)
 
(16
)
14

Mortgage-backed and asset- backed
18

27

3

(33
)
178

(13
)
180

Other
1

 
 
 
8

 
9

Limited partnerships
1

 
 
 
 
 
1

Total financial assets

$50


$28


$9


($34
)

$186


($29
)

$210

The net unrealized gain (loss) on Level 3 investment assets still held as of December 31, 2013 and 2012, were $0 and $1 for U.S. government and agency securities, and ($7) and $27 for mortgage-backed and asset-backed securities, 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.

14
Table of Contents

$229 of mortgage and asset-backed securities were transferred into Level 3 during 2013 because the pricing vendor notified Plan management that the significant valuation input was unobservable. Mortgage and asset-backed, U.S. government and agency securities, and corporate bonds in the amounts of $9, $8, and $1, respectively, were reclassified from Level 3 to Level 2 as additional pricing information, including significant observable inputs, on these securities became available. There were no reclassifications between Level 1 and Level 2 during 2013.
$178 and $8 of mortgage and asset-backed securities and other securities, respectively, were transferred into Level 3 during 2012 because the pricing vendor notified Plan management that the significant valuation input was unobservable. Mortgage and asset-backed and U.S. government and agency securities in the amounts of $13 and $16, respectively, were reclassified from Level 3 to Level 2 as additional pricing information, including significant observable inputs, on these securities became available. There were no reclassifications between Level 1 and Level 2 during 2012.

15
Table of Contents

Level 3 Quantitative Disclosure — A summary of quantitative data of the Master Trust’s Level 3 investment assets for the years ended December 31, 2013 and 2012, is as follows:
 
2013
 
Level 3 Total
Valuation Technique
Assumptions*
Minimum
Maximum
Weighted Average
Fixed-income securities
 
 
 
 
 
 
Collateralized mortgage obligations
 
 
 
 
 
 
Agency residential mortgage-backed securities
$
1

Matrix pricing
Yield
1.50
%
2.31
%
1.89
%
 
 
 
Prepayment speed
100.00

100.00

100.00

Non agency residential mortgage-backed securities
4

Matrix pricing
Yield
1.12
%
4.73
%
3.11
%
 
 
 
Prepayment Speed
2.00

6.00

4.24

 
 
 
Default Rate
1.00

6.00

2.97

 
 
 
Severity
20.00

80.00

50.7

Fixed-income

$5

 
 
 
 
 
Synthetic GIC
 
 
 
 
 
 
Collateralized mortgage obligations
 
 
 
 
 
 
Non agency residential mortgage-backed securities
$
109

Matrix pricing
Yield
1.12
%
7.43
%
4.63
%
 
 
 
Prepayment Speed
0.50

28.85

5.92

 
 
 
Default Rate
0.10

19.62

4.06

 
 
 
Severity
5.00

86.00

42.55

Non agency residential mortgage-backed securities
3

Matrix pricing
Yield
5.50
%
6.00
%
5.98
%
 
 
 
Prepayment Speed
2.00

5.00

4.88

 
 
 
Default Rate
8.00

13.00

12.79

 
 
 
Severity
45.00

60.00

59.38

Commercial mortgage-backed securities
4

Matrix pricing
Yield
1.40
%
4.90
%
3.09
%
 
 
 
 
 
 
 
Other asset-backed securities
 
 
 
 
 
 
Non agency residential mortgage-backed securities
21

Matrix pricing
Yield
1.72
%
8.72
%
3.97
%
 
 
 
Prepayment Speed
 
7.00

3.44

 
 
 
Default Rate
3.00

10.84

6.09

 
 
 
Severity
40.00

100.00

66.47

Asset-backed securities
26

Matrix pricing
Yield
1.30
%
6.25
%
4.68
%
 
 
 
Prepayment Speed
 
10.00

4.40

 
 
 
Default Rate
4.92

22.68

6.76

 
 
 
Severity
50.00

10.00

74.94

 
 
 
 
 
 
 
Synthetic GIC
$157
 
 
 
 
 

16
Table of Contents

 
2012
 
Level 3 Total
Valuation Technique
Assumptions*
Minimum
Maximum
Weighted Average
Fixed-income securities
 
 
 
 
 
 
Mortgage backed and asset backed
$
1

Matrix pricing
Yield
2.72
%
3.97
%
3.45
%
 
 
 
Prepayment speed
1.00

3.00

1.84

 
 
 
Default rate
3.00

4.00

3.42

 
 
 
Severity
45.00

100.00

76.96

Fixed-income
$
1

 
 
 
 
 
Synthetic GIC
 
 
 
 
 
 
Mortgage backed and asset backed
$
149

Matrix pricing
Yield
0.93
%
12.13
%
4.01
%
 
 
 
Prepayment speed
1.00

32.54

4.28

 
 
 
Default rate
0.03

21.46

4.86

 
 
 
Severity
6.00

100.00

50.20

Other (municipals)
8

Matrix pricing
Yield
3.00

3.01

3.00

Synthetic GIC
$
157

 
 
 
 
 
*Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated.
Sensitivity Disclosures for Level 3 — For residential mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities, an increase in unobservable yields, loss severity rates, or default rates in isolation would generally result in a decrease in fair value.
For mortgage-backed securities and asset-backed securities, an increase in unobservable prepayment speeds in isolation may result in an increase or a decrease in fair value, depending upon the nature of the security.
For corporate issues, including structured notes and auction rate securities, an increase in unobservable spreads or yields, in isolation, would generally result in a decrease in fair value.
Although the sensitivities of the fair value of these securities to various unobservable inputs are discussed in isolation above, interrelationships exist among observable and unobservable inputs such that a change in any significant unobservable input may affect changes to one or more of the other inputs.
6.
DERIVATIVE FINANCIAL INSTRUMENTS
ASC 815, Derivatives and Hedging, requires disclosures to enable Members to understand 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 is exposed to the following financial instrument risk:
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.

17
Table of Contents

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.
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 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.

18
Table of Contents

As of December 31, 2013 and 2012, 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

Future
Settlement

Total

December 31, 2013
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
Other investments:
 
 
 
 
 
 
Swaps
$
1

$
1

$
2

 
 
$
4

Other receivables:
 
 
 
 
 
 
Forward contracts
 
 
4

 
 
4

Futures
 
 
 
1

 
1

Total assets

$1


$1


$6


$1


$—


$9

Liabilities:
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
Forward contracts
 
 

$5

 
 

$5

Swaps
3

2

 
 
 
5

Payable for securities purchased:
 
 
 
 
 
 
TBAs
 
 
 
 
3

3

Total liabilities
$
3

$
2

$
5

$
—

$
3

$
13

December 31, 2012
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
Synthetic GICs:
 
 
 
 
 
 
TBAs
 
 
 
 

$3


$3

Other investments:
 
 
 
 
 
 
Swaps

$3

 
 
 
 
3

Other receivables:
 
 
 
 
 
 
Forward contracts
 
 

$6

 
 
6

Futures
 
 
 

$2

 
2

Total assets

$3


$—


$6


$2


$3


$14

Liabilities:
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
Forward contracts
 
 

$3

 
 

$3

Payable for securities purchased:
 
 
 
 
 
 
TBAs
 
 
 
 

$3

3

Total liabilities

$—


$—


$3


$—


$3


$6

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, 2013, is reflected in the following table:
 
 
Interest rate

Credit

Foreign
Currency

Equity

Future
Settlement

Total

December 31, 2013
 
 
 
 
 
 
Net gains (losses):
 
 
 
 
 
 
Forward contracts
 
 

($4
)
 
 

($4
)
Futures

$3

 
 

$47

 
50

Options
 
 
 
 
 
—

Swaps
(5
)
 
3

 
 
(2
)
TBAs
 
 
 
 

($5
)
(5
)
Total net gains (losses)

($2
)

$—


($1
)

$47


($5
)

$39



19
Table of Contents

The following table summarizes the gross notional value of derivative contracts outstanding as of December 31, 2013 and 2012. 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

Future
Settlement

Total

December 31, 2013
 
 
 
 
 
 
Forward contracts
 
 

$532

 
 

$532

Futures

$583

 
2


$313

 
898

Options
138

 
5

 
 
143

Swaps
245


$73

46

 
 
364

TBAs
 
 
 
 

$727

727

Total

$966


$73


$585


$313


$727


$2,664

December 31, 2012
 
 
 
 
 
 
Forward contracts
 
 

$348

 
 

$348

Futures

$47

 
1

 
 
48

Options
39

 
4

 
 
43

Swaps
136


$20

 
 
 
156

TBAs
 
 
 
 

$1,580

1,580

Total

$222


$20


$353


$—


$1,580


$2,175

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
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, 2013 and 2012, the Master Trust had an insignificant amount of contracts in a net liability position with contingent features with a total of $7 and $2, respectively, posted in collateral against those positions.
The Master Trust enters into master netting or similar agreements and collateral agreements with counterparties that provide the Master Trust, in the event of a counterparty default (such as bankruptcy or a counterparty’s failure to pay or perform), with the right to net a counterparty’s rights and obligations under such agreement and liquidate and set off collateral held by the Master Trust against the net amount owed by the counterparty.

20
Table of Contents

The Master Trust policy is generally to transfer possession of securities sold under agreements to repurchase, and to post securities and/or cash as collateral.
In some cases, the Master Trust may agree for collateral to be posted to a third-party custodian under a tri-party arrangement that enables the Master Trust to take control of such collateral in the event of a counterparty default. The trustee of the Master Trust monitors the fair value of the underlying securities as compared with the related receivable or payable, including accrued interest, and, as necessary, requests additional collateral as provided under the applicable agreement to ensure such transactions are adequately collateralized.
The tables below present the fair value of derivative contracts by major instrument type on a gross basis.
The Master Trust reflects the recognized amounts for all financial instruments on a gross basis in the statements of net assets even if the instruments are subject to enforceable master netting arrangements. Thus, gross recognized amounts exclude the effects of counterparty netting and collateral, and are not representative of the Master Trust’s credit exposure. The tables also present the amount of counterparty netting and cash collateral that have the right to offset but have not been offset in the Master Trust statements of net assets, and cash and securities collateral posted and received under enforceable credit support agreements that do not meet the criteria for netting under GAAP. Derivatives that are not subject to a master netting or similar type arrangement or those that Master Trust management have not yet concluded if the arrangements are enforceable are included in the caption “Total derivatives, not subject to a master netting arrangement” in the tables below:
As of December 31, 2013
 
 
 
 
 
 
 
Gross Amount Not Offset in
Statement of Net Assets
 
Descriptions
Gross Amounts Presented in the Statement of Net Assets
Financial Instrument
Cash and Securities Collateral Received
Net Amount (A)
Assets:
 
 
 
 
 
Other investments - swaps
2

—

—

2

 
Other receivables - forward contracts
4

2

1

1

 
Total derivatives, subject to a master netting arrangement
6

2

1

3

 
Total derivatives, not subject to a master netting arrangement
3

 
 
 
 
Total derivatives recognized in the master trust statement of net assets
9

 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
Other liabilities
 
 
 

 
Forward contracts
5

2

2

1

 
Swaps
5

—

4

1

 
Payable for securities purchased - TBAs
3

—

—

3

 
Total derivatives, subject to a master netting arrangement
13

2

6

5

 
Total derivatives, not subject to a master netting arrangement
—

 
 
 
 
Total derivatives recognized in the master trust statement of net assets
13

 
 
 

21
Table of Contents

As of December 31, 2012
 
 
 
 
 
 
 
Gross Amount Not Offset in
Statement of Net Assets
 
Descriptions
Gross Amounts Presented in the Statement of Net Assets
Financial Instrument
Cash and Securities Collateral Received
Net Amount (A)
Assets:
 
 
 
 
 
Synthetic GICs - TBAs
3

3

—

—

 
Other investments - swaps
2

—

2

—

 
Other receivables - forward contracts
6

1

3

2

 
Total derivatives, subject to a master netting arrangement
11

4

5

2

 
Total derivatives, not subject to a master netting arrangement
3

 
 
 
 
Total derivatives recognized in the master trust statement of net assets
14

 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
Other liabilities
 
 
 
 
 
Forward contracts
3

1

1

1

 
Payable for securities purchased - TBAs
3

3

—

—

 
Total derivatives, subject to a master netting arrangement
6

4

1

1

 
Total derivatives, not subject to a master netting arrangement
—

 
 
 
 
Total derivatives recognized in the master trust statement of net assets
6

 
 
 
A) Net represents the receivable/payable that would be due from/to the counterparty in the event of a default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity.

7.
PLAN AMENDMENTS
Effective March 22, 2013, the Plan was amended to include a Company contribution and to change the matching contribution for Society of Professional Engineering Employees in Aerospace (“SPEEA”) Northwest Technical Unit Members hired on or after March 22, 2013.
Effective March 1, 2013, the Plan was amended to include a Company contribution and to change the matching contribution formula for SPEEA Northwest Engineers Members hired on or after March 1, 2013.
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, 2013 and 2012, to Form 5500:
 
 
2013

 
2012

Net assets available for benefits per the financial statements
 

$44,873

 

$36,612

Amounts allocated to withdrawing Members
 
(18
)
 
(17
)
Adjustment from contract value to fair value for fully benefit-responsive investment contracts
 
245

 
656

Net assets available for benefits per Form 5500
 

$45,100

 

$37,251


22
Table of Contents

The following is a reconciliation of total additions per the financial statements for the year ended December 31, 2013, to total income per Form 5500:
Total additions per the financial statements

$10,648

Adjustment from contract value to fair value for fully benefit-responsive investment contracts — December 31, 2013
245

Adjustment from contract value to fair value for fully benefit-responsive investment contracts — December 31, 2012
(656
)
Total income per Form 5500

$10,237

The following is a reconciliation of benefits paid to Members per the financial statements for the year ended December 31, 2013, to Form 5500:
Benefits paid to Members per the financial statements

$2,387

Amounts allocated to withdrawing Members — December 31, 2013
18

Amounts allocated to withdrawing Members — December 31, 2012
(17
)
Amounts deemed distributions of Member loans as reflected in the Form 5500
(16
)
Benefits paid to Members per Form 5500

$2,372

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 or Members who failed to repay the loan in full within 30 days after the end of the repayment period for the year ended December 31, 2013.
9.
SIGNIFICANT INVESTMENTS
At the direction of the participating Members of the Plan, the Master Trust has invested in the following funds, representing 5% or more of net assets available for benefits as of December 31, 2013 and 2012, stated at fair value:
 
2013

 
2012

SSBT Flagship S&P 500 Index Non-Lending Series Fund Class A

$8,095

 

$5,981

Boeing common stock
7,030

 
4,805

SSBT Global All Cap Equity ex-US Index Non-lending Series Fund Class A
3,419

 
2,726

SSBT Bond Market Index Non-Lending Series Fund Class A
3,039

 
3,102

NTGI Collective Russell 2000 Index Fund-Non Lending
2,630

 
1,637

10.
RELATED-PARTY TRANSACTIONS
Certain Master Trust investments are managed by SSBT. SSBT is the trustee as defined by the Plan and, therefore, these transactions qualify as party-in-interest transactions. The investment management fees for the Plan are paid at the Master Trust level and included as a reduction of the return earned on each investment.
As of December 31, 2013 and 2012, the Plan held 51,507,615 and 63,758,333 shares of common stock of the Company, with a cost basis of $3,328 and $4,008, respectively, and recorded dividend income of $109 during the year ended December 31, 2013.
Evercore Trust Company, N.A. (“Evercore”) is the independent fiduciary and investment manager of the Boeing Stock Fund. The Company has authorized Evercore 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 Evercore determined to sell or dispose of stock in the Boeing

23
Table of Contents

Stock Fund, Evercore 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.
11.
TAX STATUS
The Internal Revenue Service (IRS) has determined and informed the Company by a letter, dated November 12, 2013, that the Plan is designed in accordance with applicable sections of the Internal Revenue Code (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 the Plan’s tax-exempt status 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 administrator has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2013 and 2012, there are no uncertain tax positions taken or expected to be taken that would require recognition of a liability (or asset) or disclosure in the financial statements. 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 2007.
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 Company contributions, including any income earned, will be distributed to the Members.
13.
SUBSEQUENT EVENTS
Effective January 1, 2016, the Plan will be amended to add an enhanced defined contribution benefit to be contributed by the Company, including a temporary transition benefit, under the Plan for certain eligible non-union employees who previously received benefits from both a defined benefit plan and a defined contribution plan.
Effective January 1, 2014, the Plan was amended to allow certain Members to defer up to 100% of eligible incentive payments, subject to statutory limits. Such deferrals are not eligible for employer-matching contributions. Members should refer to the Plan document for details.
Effective January 1, 2014, the maximum deferral and contribution percentages for eligible employees was increased from 25% to 30%.
*  *  *  *  *  *

24
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 24, 2014
 
 
  
/s/ Rita Daily      
 
 
Date
 
 
  
Rita Daily
 
 
 
 
 
  
Vice President
 
 
 
 
 
  
Chief Financial Officer Finance
 
 
 
 
 
  
Shared Services Group


25
Table of Contents

SUPPLEMENTAL SCHEDULE

26
Table of Contents

THE BOEING COMPANY
VOLUNTARY INVESTMENT PLAN
SCHEDULE OF ASSETS (HELD AT END OF YEAR)
AS OF DECEMBER 31, 2013
Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
21ST CENTURY FOX AMERICA COMPANY GUAR 02/21 4.5
2/15/2021
4.5%
$
369,796

21ST CENTURY FOX AMERICA COMPANY GUAR 02/41 6.15
2/15/2041
6.15%
39,008

21ST CENTURY FOX AMERICA COMPANY GUAR 03/19 6.9
3/1/2019
6.9%
2,897,119

21ST CENTURY FOX AMERICA COMPANY GUAR 10/15 7.6
10/11/2015
7.6%
421,271

3175028J4 OTC ECAL USD VS JPY NOV14 105.0 CALL
 
 
92,696

317U383F6 IRO USD 10Y C 2.4000 MAY14 2.4 CALL
 
 
4,232

3D SYSTEMS CORP COMMON STOCK USD.001
 
 
696,975

3I GROUP PLC COMMON STOCK GBP.738636
 
 
1,050,804

3M CO COMMON STOCK USD.01
 
 
10,826,879

A10 SECURITIZATION A10 2013 1 A 144A
11/15/2025
2.4%
249,164

AAC TECHNOLOGIES HOLDINGS IN COMMON STOCK USD.01
 
 
4,397,075

AALBERTS INDUSTRIES NV COMMON STOCK EUR.25
 
 
520,524

ABB FINANCE USA INC COMPANY GUAR 05/22 2.875
5/8/2022
2.88%
146,464

ABB TREASURY CENTER USA SR UNSECURED 144A 06/16 2.5
6/15/2016
2.5%
514,221

ABBEY NATL TREASURY SERV BANK GUARANT 04/14 2.875
4/25/2014
2.88%
649,411

ABBEY NATL TREASURY SERV BANK GUARANT 04/14 VAR
4/25/2014
1.82%
401,758

ABBOTT LABORATORIES COMMON STOCK NPV
 
 
15,846,580

ABBVIE INC SR UNSECURED 11/15 1.2
11/6/2015
1.2%
10,606,722

ABBVIE INC SR UNSECURED 11/17 1.75
11/6/2017
1.75%
7,142,743

ABBVIE INC SR UNSECURED 11/18 2.
11/6/2018
2%
7,913,680

ABBVIE INC SR UNSECURED 11/22 2.9
11/6/2022
2.9%
2,364,680

ABIOMED INC COMMON STOCK USD.01
 
 
707,006

ABN AMRO BANK NV 10/18 2.5
10/30/2018
2.5%
199,568

ABN AMRO BANK NV SR UNSECURED 144A 01/14 3.
1/31/2014
3%
7,405,102

ABN AMRO BANK NV SR UNSECURED 144A 01/14 VAR
1/30/2014
2.04%
220,277

ABN AMRO BANK NV SR UNSECURED 144A 01/16 1.375
1/22/2016
1.38%
1,910,971

ABN AMRO BANK NV SUBORDINATED REGS 07/22 7.125
7/6/2022
7.13%
1,323,429

ACADIA HEALTHCARE CO INC COMMON STOCK USD.01
 
 
2,438,962

ACADIA PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
2,510,121

ACADIA REALTY TRUST REIT USD.001
 
 
2,610,999

ACCENTURE PLC CL A COMMON STOCK USD.0000225
 
 
22,394,406

ACCESS GROUP INC ACCSS 2005 1 A3
6/22/2022
0.4%
1,574,430

ACCESS GROUP INC ACCSS 2005 A A3
7/25/2034
0.64%
7,901,321

ACCESS GROUP INC ACCSS 2008 1 A
10/27/2025
1.54%
5,666,970

ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 2A2
10/25/2034
1.37%
1,895,943

ACE INA HOLDINGS COMPANY GUAR 03/23 2.7
3/13/2023
2.7%
952,975

ACE INA HOLDINGS COMPANY GUAR 06/14 5.875
6/15/2014
5.88%
563,462

ACE INA HOLDINGS COMPANY GUAR 11/15 2.6
11/23/2015
2.6%
450,032

ACE LTD COMMON STOCK
 
 
20,683,223

ACE SECURITIES CORP. ACE 2004 HE3 M1
11/25/2034
1.1%
1,661,611

ACE SECURITIES CORP. ACE 2004 SD1 A1
11/25/2033
0.66%
960,622

ACE SECURITIES CORP. ACE 2005 ASP1 A2D
9/25/2035
0.52%
616,163


27
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
ACHMEA HYPOTHEEKBANK NV GOVT LIQUID 144A 11/14 3.2
11/3/2014
3.2%
61,405

ACI WORLDWIDE INC COMMON STOCK USD.005
 
 
3,250,000

ACORDA THERAPEUTICS INC COMMON STOCK USD.001
 
 
1,007,400

ACS ACTIVIDADES CONS Y SERV COMMON STOCK EUR.5
 
 
987,263

ACTAVIS INC SR UNSECURED 08/19 6.125
8/15/2019
6.13%
945,285

ACTAVIS INC SR UNSECURED 10/17 1.875
10/1/2017
1.88%
1,474,461

ACTAVIS INC SR UNSECURED 10/22 3.25
10/1/2022
3.25%
774,157

ACTAVIS PLC COMMON STOCK USD.0033
 
 
11,786,880

ACTELION LTD REG COMMON STOCK CHF.5
 
 
3,402,887

ACTIVISION BLIZZARD INC COMMON STOCK USD.000001
 
 
8,340,552

ACTUANT CORP A COMMON STOCK USD.2
 
 
2,752,067

ACXIOM CORP COMMON STOCK USD.1
 
 
5,420,898

ADIDAS AG COMMON STOCK NPV
 
 
544,313

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7A2
2/25/2035
1.01%
304,345

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1
9/25/2035
2.8%
2,024,172

ADOBE SYSTEMS INC COMMON STOCK USD.0001
 
 
35,127,404

ADT CORP SR UNSECURED 06/23 4.125
6/15/2023
4.13%
31,063

ADT CORP SR UNSECURED 07/17 2.25
7/15/2017
2.25%
885,657

ADT CORP SR UNSECURED 07/42 4.875
7/15/2042
4.88%
18,813

ADT CORP/THE COMMON STOCK USD.01
 
 
7,630,321

ADTRAN INC COMMON STOCK USD.01
 
 
2,693,491

ADVANCE AUTO PARTS INC COMMON STOCK USD.0001
 
 
3,417,798

ADVANCED ENERGY INDUSTRIES COMMON STOCK USD.001
 
 
717,575

ADVANCED INFO SERVICE NVDR NVDR THB1.
 
 
205,814

ADVANTECH CO LTD COMMON STOCK TWD10.
 
 
3,984,012

ADVENT HEALTH SYSTEM UNSECURED 03/23 3.378
3/1/2023
3.38%
3,546,648

ADVISORY BOARD CO/THE COMMON STOCK USD.01
 
 
8,104,554

AEGERION PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
2,158,390

AEGON NV JR SUBORDINA 07/49 VAR
12/31/2049
2.96%
3,249,101

AEON CO LTD COMMON STOCK
 
 
146,425

AEON FINANCIAL SERVICE CO LT COMMON STOCK
 
 
684,173

AEON MALL CO LTD COMMON STOCK
 
 
39,307

AERCAP HOLDINGS NV COMMON STOCK EUR.01
 
 
5,369,000

AETNA INC COMMON STOCK USD.01
 
 
2,964,803

AETNA INC SR UNSECURED 06/16 6
6/15/2016
6%
603,582

AETNA INC SR UNSECURED 09/18 6.5
9/15/2018
6.5%
995,357

AETNA INC SR UNSECURED 09/20 3.95
9/1/2020
3.95%
872,982

AETNA INC SR UNSECURED 11/17 1.5
11/15/2017
1.5%
458,161

AETNA INC SR UNSECURED 11/22 2.75
11/15/2022
2.75%
207,259

AETNA INC SR UNSECURED 12/37 6.75
12/15/2037
6.75%
73,172

AEW GLOBAL PROPERTIES AEW GLOBAL PROPERTIES FUND 4
 
 
196,922,286

AFLAC INC SR UNSECURED 02/17 2.65
2/15/2017
2.65%
1,449,832

AFRICAN RAINBOW MINERALS LTD COMMON STOCK ZAR.05
 
 
70,394

AGEAS COMMON STOCK NPV
 
 
1,372,568

AGILENT TECHNOLOGIES INC COMMON STOCK USD.01
 
 
1,841,518

AGL CAPITAL CORP COMPANY GUAR 03/41 5.875
3/15/2041
5.88%
27,421

AGL CAPITAL CORP COMPANY GUAR 07/16 6.375
7/15/2016
6.38%
557,525


28
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
AGL CAPITAL CORP COMPANY GUAR 09/21 3.5
9/15/2021
3.5%
149,235

AGL ENERGY LTD COMMON STOCK NPV
 
 
109,401

AGNICO EAGLE MINES LTD COMMON STOCK NPV
 
 
290,193

AGRICULTURAL BANK OF CHINA H COMMON STOCK CNY1.
 
 
163,628

AGRIUM INC COMMON STOCK NPV
 
 
210,344

AGRIUM INC SR UNSECURED 06/23 3.5
6/1/2023
3.5%
582,212

AIA GROUP LTD COMMON STOCK NPV
 
 
4,215,222

AIR CANADA 2013 1A PTT PASS THRU CE 144A 11/26 4.125
11/15/2026
4.13%
46,800

AIR LIQUIDE SA COMMON STOCK EUR5.5
 
 
5,726,189

AIR METHODS CORP COMMON STOCK USD.06
 
 
3,311,394

AIR PRODUCTS + CHEMICALS INC COMMON STOCK USD1.
 
 
1,293,295

AIRBUS GROUP NV COMMON STOCK EUR1.0
 
 
1,824,917

AIRPORTS OF THAILAND PC NVDR NVDR
 
 
92,129

AKAMAI TECHNOLOGIES INC COMMON STOCK USD.01
 
 
13,266,226

AKER SOLUTIONS ASA COMMON STOCK NOK1.66
 
 
653,954

AKORN INC COMMON STOCK NPV
 
 
3,653,368

AKZO NOBEL COMMON STOCK EUR2.
 
 
5,230,025

AL NOOR HOSPITALS GROUP COMMON STOCK
 
 
1,424,378

ALABAMA POWER CO SR UNSECURED 10/15 0.55
10/15/2015
0.55%
299,289

ALAMOS GOLD INC COMMON STOCK NPV
 
 
516,011

ALCATEL LUCENT SPONSORED ADR ADR EUR2.
 
 
22,277,438

ALEXION PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
9,334,026

ALFA S.A.B. A COMMON STOCK NPV
 
 
583,871

ALFRESA HOLDINGS CORP COMMON STOCK
 
 
248,323

ALGETA ASA COMMON STOCK NOK.5
 
 
3,167,418

ALIGN TECHNOLOGY INC COMMON STOCK USD.0001
 
 
1,765,364

ALIMENTATION COUCHE TARD B COMMON STOCK NPV
 
 
112,772

ALKERMES PLC COMMON STOCK USD.01
 
 
7,280,376

ALLEGHENY TECHNOLOGIES INC COMMON STOCK USD.1
 
 
3,734,024

ALLEGIANT TRAVEL CO COMMON STOCK USD.001
 
 
2,530,560

ALLERGAN INC COMMON STOCK USD.01
 
 
37,419,631

ALLETE INC COMMON STOCK NPV
 
 
2,995,045

ALLIANCE DATA SYSTEMS CORP COMMON STOCK USD.01
 
 
14,349,931

ALLIANCE DATA SYSTEMS CORP COMMON STOCK USD.01
 
 
195,112

ALLIANCE FINANCIAL GROUP BHD COMMON STOCK MYR1.
 
 
68,592

ALLIANT ENERGY CORP SR UNSECURED 10/14 4.
10/15/2014
4%
538,766

ALLIANZ SE REG COMMON STOCK NPV
 
 
1,070,510

ALLIED WORLD ASSURANCE COMPANY GUAR 08/16 7.5
8/1/2016
7.5%
1,756,437

ALLSCRIPTS HEALTHCARE SOLUTI COMMON STOCK USD.01
 
 
3,172,392

ALLSTATE CORP SR UNSECURED 05/14 6.2
5/16/2014
6.2%
204,219

ALLSTATE CORP SR UNSECURED 06/23 3.15
6/15/2023
3.15%
531,073

ALLSTATE CORP SR UNSECURED 08/14 5
8/15/2014
5%
2,815,786

ALLY AUTO RECEIVABLES TRUST ALLYA 2010 3 A4
8/17/2015
1.55%
451,944

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 2 A4
4/15/2016
1.98%
861,165

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 3 A3
8/17/2015
0.97%
156,915

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 4 A4
6/15/2016
1.14%
2,197,409

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 1 A3
2/16/2016
0.93%
1,732,133


29
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
ALLY AUTO RECEIVABLES TRUST ALLYA 2012 2 A3
4/15/2016
0.74%
1,721,678

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 3 A3
8/15/2016
0.85%
236,640

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 3 A4
2/15/2017
1.06%
793,482

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 4 A3
1/17/2017
0.59%
445,396

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 4 A4
10/16/2017
0.8%
1,044,814

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 5 A3
3/15/2017
0.62%
3,088,648

ALLY AUTO RECEIVABLES TRUST ALLYA 2013 1 A3
5/15/2017
0.63%
860,233

ALLY AUTO RECEIVABLES TRUST ALLYA 2013 2 A4
11/15/2018
1.24%
3,678,544

ALLY FINANCIAL INC COMPANY GUAR 01/17 2.75
1/30/2017
2.75%
200,750

ALLY FINANCIAL INC COMPANY GUAR 02/14 4.5
2/11/2014
4.5%
702,625

ALLY FINANCIAL INC COMPANY GUAR 02/15 8.3
2/12/2015
8.3%
1,268,500

ALMIRALL SA COMMON STOCK EUR.12
 
 
1,575,499

ALNYLAM PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
4,460,642

ALSEA SAB DE CV COMMON STOCK
 
 
231,146

ALTEN COMMON STOCK NPV
 
 
536,574

ALTRIA GROUP INC COMMON STOCK USD.333
 
 
2,417,418

ALTRIA GROUP INC COMPANY GUAR 01/24 4
1/31/2024
4%
3,201,031

ALTRIA GROUP INC COMPANY GUAR 05/21 4.75
5/5/2021
4.75%
1,878,032

ALTRIA GROUP INC COMPANY GUAR 08/19 9.25
8/6/2019
9.25%
108,019

ALTRIA GROUP INC COMPANY GUAR 11/18 9.7
11/10/2018
9.7%
7,910,011

AMADEUS IT HOLDING SA A SHS COMMON STOCK EUR.01
 
 
3,324,437

AMAZON.COM INC COMMON STOCK USD.01
 
 
82,355,718

AMAZON.COM INC COMMON STOCK USD.01
 
 
385,624

AMAZON.COM INC SR UNSECURED 11/15 0.65
11/27/2015
0.65%
5,128,691

AMAZON.COM INC SR UNSECURED 11/17 1.2
11/29/2017
1.2%
763,693

AMBEV SA ADR ADR NPV
 
 
286,650

AMDOCS LTD COMMON STOCK GBP.0001
 
 
7,559,292

AMER EXPRESS CREDIT CO SR UNSECURED 08/14 5.125
8/25/2014
5.13%
3,982,685

AMER EXPRESS CREDIT CO SR UNSECURED 09/15 2.75
9/15/2015
2.75%
3,673,742

AMER SPORTS OYJ COMMON STOCK NPV
 
 
571,910

AMERICA MOVIL ADR SERIES L ADR NPV
 
 
715,122

AMERICA MOVIL SAB DE CV COMPANY GUAR 01/15 5.75
1/15/2015
5.75%
7,014,900

AMERICA MOVIL SAB DE CV COMPANY GUAR 03/14 5.5
3/1/2014
5.5%
14,197,690

AMERICA MOVIL SAB DE CV COMPANY GUAR 03/20 5.
3/30/2020
5%
86,645

AMERICAN AIRLINES GROUP INC COMMON STOCK
 
 
5,297,450

AMERICAN ASSETS TRUST INC REIT USD.01
 
 
2,661,650

AMERICAN CAMPUS COMMUNITIES REIT USD.01
 
 
4,989,812

AMERICAN CREDIT ACCEPTANCE REC ACAR 2012 2 A 144A
7/15/2016
1.89%
93,922

AMERICAN CREDIT ACCEPTANCE REC ACAR 2013 2 A 144A
2/15/2017
1.32%
1,653,951

AMERICAN ELECTRIC POWER SR UNSECURED 12/17 1.65
12/15/2017
1.65%
974,914

AMERICAN EXPR CENTURION SR UNSECURED 11/15 0.875
11/13/2015
0.88%
3,808,489

AMERICAN EXPR CENTURION SR UNSECURED 11/15 VAR
11/13/2015
0.69%
6,647,900

AMERICAN EXPRESS BK FSB SR UNSECURED 09/17 6
9/13/2017
6%
161,051

AMERICAN EXPRESS CO SR UNSECURED 05/14 7.25
5/20/2014
7.25%
8,127,222

AMERICAN EXPRESS CO SR UNSECURED 12/22 2.65
12/2/2022
2.65%
4,926,877

AMERICAN EXPRESS CREDIT SR UNSECURED 03/17 2.375
3/24/2017
2.38%
10,278,780

AMERICAN EXPRESS CREDIT SR UNSECURED 06/15 1.75
6/12/2015
1.75%
3,556,480


30
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
AMERICAN EXPRESS CREDIT SR UNSECURED 06/15 VAR
6/12/2015
1.34%
765,079

AMERICAN EXPRESS CREDIT SR UNSECURED 07/16 1.3
7/29/2016
1.3%
3,904,985

AMERICAN HONDA FINANCE SR UNSECURED 10/16 1.125
10/7/2016
1.13%
14,719,915

AMERICAN HONDA FINANCE SR UNSECURED 10/16 VAR
10/7/2016
0.74%
3,920,284

AMERICAN HONDA FINANCE SR UNSECURED 144A 02/15 1.45
2/27/2015
1.45%
10,093,350

AMERICAN HONDA FINANCE SR UNSECURED 144A 05/16 VAR
5/26/2016
0.61%
4,911,270

AMERICAN HONDA FINANCE SR UNSECURED 144A 09/15 2.5
9/21/2015
2.5%
463,766

AMERICAN HONDA FINANCE SR UNSECURED 144A 09/17 1.5
9/11/2017
1.5%
295,572

AMERICAN HONDA FINANCE UNSECURED 144A 08/15 1.
8/11/2015
1%
10,160,674

AMERICAN INTL GROUP SR UNSECURED 01/18 5.85
1/16/2018
5.85%
19,804,965

AMERICAN INTL GROUP SR UNSECURED 02/24 4.125
2/15/2024
4.13%
23,861

AMERICAN INTL GROUP SR UNSECURED 03/17 3.8
3/22/2017
3.8%
15,618,023

AMERICAN INTL GROUP SR UNSECURED 05/17 5.45
5/18/2017
5.45%
1,648,637

AMERICAN INTL GROUP SR UNSECURED 08/18 8.25
8/15/2018
8.25%
17,637,408

AMERICAN INTL GROUP SR UNSECURED 09/14 4.25
9/15/2014
4.25%
958,370

AMERICAN INTL GROUP SR UNSECURED 10/15 5.05
10/1/2015
5.05%
5,462,324

AMERICAN INTL GROUP SR UNSECURED 10/16 5.6
10/18/2016
5.6%
3,788,107

AMERICAN INTL GROUP SR UNSECURED 12/20 6.4
12/15/2020
6.4%
1,737,336

AMERICAN MUNI PWR OHIO INC OH AMEPWR 02/28 FIXED 7.334
2/15/2028
7.33%
236,584

AMERICAN TOWER CORP REIT USD.01
 
 
6,939,950

AMERICAN TOWER CORP SR UNSECURED 03/22 4.7
3/15/2022
4.7%
174,921

AMERICAN TOWER TRUST I AMERICAN TOWER TRUST I 144A
3/15/2043
1.55%
48,799

AMERICAN WATER CAP CORP SR UNSECURED 12/42 4.3
12/1/2042
4.3%
6,359

AMERICAN WATER WORKS CO INC COMMON STOCK USD.01
 
 
5,062,748

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2011 3 A3
1/8/2016
1.17%
242,875

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2011 5 A3
7/8/2016
1.55%
868,625

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 1 A2
10/8/2015
0.91%
19,750

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 2 A2
10/8/2015
0.76%
1,243,571

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 2 A3
10/11/2016
1.05%
8,896,495

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 3 A3
1/9/2017
0.96%
1,304,594

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 4 A2
4/8/2016
0.49%
1,216,477

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 4 A3
6/8/2017
0.67%
1,295,540

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 1 A2
6/8/2016
0.49%
8,894,077

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 1 A3
10/10/2017
0.61%
537,052

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2013 3 A2
10/11/2016
0.68%
9,003,789

AMERIPRISE FINANCIAL INC SR UNSECURED 10/23 4
10/15/2023
4%
99,704

AMGEN INC SR UNSECURED 02/19 5.7
2/1/2019
5.7%
1,238,833

AMGEN INC SR UNSECURED 05/17 2.125
5/15/2017
2.13%
411,138

AMGEN INC SR UNSECURED 05/22 3.625
5/15/2022
3.63%
242,710

AMGEN INC SR UNSECURED 06/16 2.3
6/15/2016
2.3%
41,241

AMGEN INC SR UNSECURED 06/17 5.85
6/1/2017
5.85%
368,744

AMGEN INC SR UNSECURED 10/20 3.45
10/1/2020
3.45%
786,372

AMGEN INC SR UNSECURED 11/14 1.875
11/15/2014
1.88%
10,232,767

AMGEN INC SR UNSECURED 11/21 3.875
11/15/2021
3.88%
1,258,308

AMMB HOLDINGS BHD COMMON STOCK MYR1.0
 
 
108,970

AMORTIZING RESIDENTIAL COLLATE ARC 2004 1 A5
10/25/2034
1.17%
1,755,236

AMP LTD COMMON STOCK NPV
 
 
75,132


31
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
AMPHENOL CORP CL A COMMON STOCK USD.001
 
 
3,460,184

AMPLIFON SPA COMMON STOCK EUR.02
 
 
402,289

AMS AG COMMON STOCK NPV
 
 
129,938

ANADARKO PETROLEUM CORP COMMON STOCK USD.1
 
 
4,611,665

ANADARKO PETROLEUM CORP SR UNSECURED 03/14 7.625
3/15/2014
7.63%
309,055

ANADARKO PETROLEUM CORP SR UNSECURED 06/14 5.75
6/15/2014
5.75%
296,082

ANADARKO PETROLEUM CORP SR UNSECURED 09/16 5.95
9/15/2016
5.95%
4,627,826

ANADARKO PETROLEUM CORP SR UNSECURED 09/17 6.375
9/15/2017
6.38%
5,200,753

ANADARKO PETROLEUM CORP SR UNSECURED 09/36 6.45
9/15/2036
6.45%
202,128

ANALOG DEVICES INC COMMON STOCK USD.167
 
 
923,870

ANGLO AMERICAN PLC COMMON STOCK USD.54945
 
 
196,872

ANHEUSER BUSCH COS LLC COMPANY GUAR 10/16 5.05
10/15/2016
5.05%
278,126

ANHEUSER BUSCH INBEV FIN COMPANY GUAR 01/16 0.8
1/15/2016
0.8%
1,134,212

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/15 4.125
1/15/2015
4.13%
207,518

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/20 5.375
1/15/2020
5.38%
3,069,982

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 04/15 3.625
4/15/2015
3.63%
2,184,279

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 04/20 5
4/15/2020
5%
1,573,077

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 07/14 1.5
7/14/2014
1.5%
175,997

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 07/15 0.8
7/15/2015
0.8%
2,030,054

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 07/17 1.375
7/15/2017
1.38%
399,160

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 11/14 5.375
11/15/2014
5.38%
5,530,519

ANNIE S INC COMMON STOCK USD.001
 
 
3,309,346

ANSALDO STS SPA COMMON STOCK EUR.5
 
 
302,051

ANTA SPORTS PRODUCTS LTD COMMON STOCK HKD.1
 
 
202,232

ANZ NEW ZEALAND INTL/LDN BANK GUARANT 144A 03/16 1.125
3/24/2016
1.13%
199,615

ANZ NEW ZEALAND INTL/LDN BANK GUARANT 144A 08/15 3.125
8/10/2015
3.13%
399,026

AON CORP COMPANY GUAR 09/15 3.5
9/30/2015
3.5%
928,882

AON PLC COMMON STOCK USD.01
 
 
4,967,966

AON PLC COMPANY GUAR 12/42 4.25
12/12/2042
4.25%
38,609

AP THAILAND PCL FOREIGN FOREIGN SH. THB1.0 A
 
 
224,566

APACHE CORP COMMON STOCK USD.625
 
 
2,426,946

APACHE CORP SR UNSECURED 04/17 1.75
4/15/2017
1.75%
200,405

APACHE CORP SR UNSECURED 04/22 3.25
4/15/2022
3.25%
3,629,676

APACHE CORP SR UNSECURED 09/40 5.1
9/1/2040
5.1%
60,920

APIDOS CDO APID 2006 3A A1 144A
6/12/2020
0.5%
1,161,539

APOLLO GLOBAL MANAGEMENT A MLP
 
 
4,763,343

APPALACHIAN POWER CO SR UNSECURED 06/17 5
6/1/2017
5%
218,743

APPLE INC COMMON STOCK NPV
 
 
106,831,977

APPLE INC COMMON STOCK NPV
 
 
748,553

APPLE INC SR UNSECURED 05/16 0.45
5/3/2016
0.45%
11,624,985

APPLE INC SR UNSECURED 05/18 1.
5/3/2018
1%
96,695

APPLE INC SR UNSECURED 05/23 2.4
5/3/2023
2.4%
2,081,673

APPLIED MATERIALS INC COMMON STOCK USD.01
 
 
9,966,281

APPLIED MICRO CIRCUITS CORP COMMON STOCK USD.01
 
 
4,191,834

ARC RESOURCES LTD COMMON STOCK NPV
 
 
331,184

ARCA CONTINENTAL SAB DE CV COMMON STOCK NPV
 
 
335,405

ARCH CAPITAL GROUP LTD COMMON STOCK USD.01
 
 
4,811,014


32
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
ARENA PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
3,393,995

ARES CAPITAL CORP COMMON STOCK USD.001
 
 
3,779,679

AREZZO INDUSTRIA E COMERCIO COMMON STOCK NPV
 
 
286,246

ARGENT SECURITIES INC. ARSI 2003 W3 M1
9/25/2033
1.3%
855,627

ARGENT SECURITIES INC. ARSI 2004 W11 M2
11/25/2034
1.22%
3,130,234

ARGENT SECURITIES INC. ARSI 2004 W5 AV3B
4/25/2034
1.07%
1,192,288

ARIZONA PUBLIC SERVICE SR UNSECURED 04/42 4.5
4/1/2042
4.5%
23,939

ARIZONA PUBLIC SERVICE SR UNSECURED 05/15 4.65
5/15/2015
4.65%
189,061

ARIZONA PUBLIC SERVICE SR UNSECURED 06/14 5.8
6/30/2014
5.8%
3,515,809

ARIZONA PUBLIC SERVICE SR UNSECURED 08/16 6.25
8/1/2016
6.25%
420,737

ARM HOLDINGS PLC COMMON STOCK GBP.0005
 
 
1,579,221

ARM HOLDINGS PLC SPONS ADR ADR NPV
 
 
5,183,331

ARRAN RESIDENTIAL MORTGAGES FU ARRMF 2010 1A A2B 144A
5/16/2047
1.62%
210,268

ARROW ELECTRONICS INC SR UNSECURED 01/27 7.5
1/15/2027
7.5%
91,873

ARROW ELECTRONICS INC SR UNSECURED 03/18 3
3/1/2018
3%
265,136

ARROW ELECTRONICS INC SR UNSECURED 11/15 3.375
11/1/2015
3.38%
604,372

ARTERIS SA COMMON STOCK
 
 
105,777

ARUBA NETWORKS INC COMMON STOCK USD.0001
 
 
9,550,456

ASAHI KASEI CORP COMMON STOCK
 
 
313,591

ASBURY AUTOMOTIVE GROUP COMMON STOCK USD.01
 
 
3,605,685

ASCENDAS REAL ESTATE INV TRT REIT NPV
 
 
29,621

ASCIANO LTD COMMON STOCK NPV
 
 
306,279

ASHMORE GROUP PLC COMMON STOCK GBP.0001
 
 
378,852

ASM INTERNATIONAL NV COMMON STOCK EUR.04
 
 
396,023

ASM PACIFIC TECHNOLOGY COMMON STOCK HKD.1
 
 
1,475,054

ASML HOLDING NV NY REG SHS NY REG SHRS EUR.09
 
 
5,292,812

ASOS PLC COMMON STOCK GBP.035
 
 
720,144

ASPEN TECHNOLOGY INC COMMON STOCK USD.1
 
 
16,208,368

ASSET BACKED SECURITIES CORP H ABSHE 2003 HE7 M1
12/15/2033
1.15%
2,356,391

ASSOCIATED BRITISH FOODS PLC COMMON STOCK GBP.0568
 
 
1,663,182

ASTELLAS PHARMA INC COMMON STOCK
 
 
2,905,911

ASTRAZENECA PLC SPONS ADR ADR
 
 
6,466,877

ASTRAZENECA PLC SR UNSECURED 09/37 6.45
9/15/2037
6.45%
53,734

ASX LTD COMMON STOCK NPV
 
 
52,916

AT+T INC COMMON STOCK USD1.
 
 
5,212,822

AT+T INC SR UNSECURED 02/17 1.6
2/15/2017
1.6%
798,879

AT+T INC SR UNSECURED 02/18 5.5
2/1/2018
5.5%
2,437,097

AT+T INC SR UNSECURED 02/22 3
2/15/2022
3%
131,902

AT+T INC SR UNSECURED 05/21 4.45
5/15/2021
4.45%
52,642

AT+T INC SR UNSECURED 06/16 5.625
6/15/2016
5.63%
137,948

AT+T INC SR UNSECURED 08/15 2.5
8/15/2015
2.5%
18,131,451

AT+T INC SR UNSECURED 08/16 2.4
8/15/2016
2.4%
359,921

AT+T INC SR UNSECURED 08/21 3.875
8/15/2021
3.88%
648,384

AT+T INC SR UNSECURED 09/14 5.1
9/15/2014
5.1%
8,385,000

AT+T INC SR UNSECURED 12/15 0.8
12/1/2015
0.8%
4,770,899

AT+T INC SR UNSECURED 12/17 1.4
12/1/2017
1.4%
547,144

ATHENAHEALTH INC COMMON STOCK USD.01
 
 
879,630


33
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
ATLAS COPCO AB B SHS COMMON STOCK NPV
 
 
88,352

ATMEL CORP COMMON STOCK USD.001
 
 
2,244,978

ATMOS ENERGY CORP SR UNSECURED 06/17 6.35
6/15/2017
6.35%
384,495

ATMOS ENERGY CORP SR UNSECURED 10/14 4.95
10/15/2014
4.95%
413,227

ATRESMEDIA CORP DE MEDIOS DE COMMON STOCK EUR.75
 
 
362,729

ATRIUM EUROPEAN REAL ESTATE COMMON STOCK NPV
 
 
337,209

AU OPTRONICS CORP COMMON STOCK TWD10.
 
 
286,525

AURIZON HOLDINGS LTD COMMON STOCK
 
 
82

AURORA OIL + GAS LTD COMMON STOCK NPV
 
 
293,255

AUST + NZ BANKING GROUP SR UNSECURED 144A 03/16 3.25
3/1/2016
3.25%
209,570

AUST + NZ BANKING GRP NY SR UNSECURED 02/16 0.9
2/12/2016
0.9%
3,446,146

AUST AND NZ BANKING GROUP COMMON STOCK NPV
 
 
882,380

AUSTRALIAN GOVERNMENT SR UNSECURED 05/21 5.75
5/15/2021
5.75%
900,808

AUSTRALIAN GOVERNMENT SR UNSECURED 06/16 4.75
6/15/2016
4.75%
28,089

AUSTRALIAN INDEX LINKED SR UNSECURED REGS 09/25 3
9/20/2025
3%
2,039,195

AUTODESK INC COMMON STOCK USD.01
 
 
6,766,365

AUTODESK INC COMMON STOCK USD.01
 
 
133,450

AUTOHOME INC ADR ADR USD.01
 
 
118,698

AUTOMATIC DATA PROCESSING COMMON STOCK USD.1
 
 
7,484,945

AUTOMATIC DATA PROCESSING COMMON STOCK USD.1
 
 
130,712

AUTOZONE INC SR UNSECURED 01/14 6.5
1/15/2014
6.5%
2,269,414

AUTOZONE INC SR UNSECURED 01/15 5.75
1/15/2015
5.75%
393,928

AUTOZONE INC SR UNSECURED 06/16 6.95
6/15/2016
6.95%
338,683

AUXILIUM PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
1,433,134

AVAGO TECHNOLOGIES LTD COMMON STOCK
 
 
11,091,562

AVENTURA MALL TRUST AVMT 2013 AVM A 144A
12/5/2032
3.74%
2,573,701

AVIATION CAPITAL GROUP SR UNSECURED 144A 10/20 7.125
10/15/2020
7.13%
347,279

AVIS BUDGET GROUP INC COMMON STOCK USD.01
 
 
5,561,792

AVIS BUDGET RENTAL CAR FUNDING AESOP 2010 5A A 144A
3/20/2017
3.15%
696,432

AVIS BUDGET RENTAL CAR FUNDING AESOP 2012 2A A 144A
5/20/2018
2.8%
3,186,720

AVIS BUDGET RENTAL CAR FUNDING AESOP 2012 3A A 144A
3/20/2019
2.1%
99,852

AVIS BUDGET RENTAL CAR FUNDING AESOP 2013 1A A 144A
9/20/2019
1.92%
912,244

AXA SA COMMON STOCK EUR2.29
 
 
163,860

AXIS CAPITAL HOLDINGS SR UNSECURED 12/14 5.75
12/1/2014
5.75%
522,424

AXIS SPECIALTY FINANCE COMPANY GUAR 06/20 5.875
6/1/2020
5.88%
921,487

AYGAZ AS COMMON STOCK TRY1.
 
 
171,748

AZBIL CORP COMMON STOCK
 
 
415,088

BA COVERED BOND ISSUER COVERED REGS 08/17 4.25
8/3/2017
4.25%
1,816,345

BABCOCK INTL GROUP PLC COMMON STOCK GBP.6
 
 
749,456

BAE SYSTEMS HOLDINGS INC COMPANY GUAR 144A 06/14 4.95
6/1/2014
4.95%
2,263,421

BAE SYSTEMS HOLDINGS INC COMPANY GUAR 144A 08/15 5.2
8/15/2015
5.2%
451,257

BAE SYSTEMS PLC COMMON STOCK GBP.025
 
 
172,804

BAE SYSTEMS PLC SR UNSECURED 144A 10/16 3.5
10/11/2016
3.5%
9,930,825

BAKER HUGHES INC SR UNSECURED 11/18 7.5
11/15/2018
7.5%
3,141,756

BALLY TECHNOLOGIES INC COMMON STOCK USD.1
 
 
2,133,840

BALOISE HOLDING AG REG COMMON STOCK CHF.1
 
 
804,339

BALTIMORE GAS + ELECTRIC SR UNSECURED 07/23 3.35
7/1/2023
3.35%
321,635


34
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
BAMLL DB TRUST BMLDB 2012 OSI A1 144A
4/13/2029
2.34%
2,072,028

BANC OF AMERICA COMMERCIAL MOR BACM 2005 3 A3A
7/10/2043
4.62%
8,491,583

BANC OF AMERICA COMMERCIAL MOR BACM 2005 3 A4
7/10/2043
4.67%
1,359,961

BANC OF AMERICA COMMERCIAL MOR BACM 2006 1 AM
9/10/2045
5.42%
656,686

BANC OF AMERICA COMMERCIAL MOR BACM 2006 2 A4
5/10/2045
1%
14,698,704

BANC OF AMERICA COMMERCIAL MOR BACM 2006 3 A4
7/10/2044
5.89%
1,514,507

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 A2
9/10/2047
5.32%
193,862

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 A4
9/10/2047
5.41%
162,755

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 AM
9/10/2047
5.45%
288,946

BANC OF AMERICA COMMERCIAL MOR BACM 2006 6 A2
10/10/2045
5.31%
194,015

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A3
6/10/2049
5.8%
2,316,773

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A4
6/10/2049
5.65%
27,073,260

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A5
6/10/2049
5.38%
1,776,398

BANC OF AMERICA COMMERCIAL MOR BACM 2007 4 ASB
2/10/2051
5.71%
517,240

BANC OF AMERICA COMMERCIAL MOR BACM 2007 5 A3
2/10/2051
5.62%
4,528,585

BANC OF AMERICA LARGE LOAN BALL 2010 UB5 A4A 144A
2/17/2051
5.66%
85,660

BANCA POPOL EMILIA ROMAGNA COMMON STOCK EUR3.
 
 
360,524

BANCO BILBAO VIZCAYA ARGENTA COMMON STOCK EUR.49
 
 
599,899

BANCO BRADESCO ADR ADR NPV
 
 
363,495

BANCO DO BRASIL (CAYMAN) SR UNSECURED REGS 07/14 VAR
7/2/2014
2.96%
735,188

BANCO DO BRASIL S.A. COMMON STOCK NPV
 
 
380,596

BANCO NAC DE DESEN ECONO SR UNSECURED 144A 06/18 6.369
6/16/2018
6.37%
151,900

BANCO NAC DE DESEN ECONO SR UNSECURED 144A 06/19 6.5
6/10/2019
6.5%
65,100

BANCO NAC DE DESEN ECONO SR UNSECURED 144A 09/16 3.375
9/26/2016
3.38%
2,222,000

BANCO SANTANDER BRAS CI SR UNSECURED 144A 04/15 4.5
4/6/2015
4.5%
287,700

BANCO SANTANDER BRAZ CI SR UNSECURED 144A 03/14 VAR
3/18/2014
2.34%
140,010

BANCO SANTANDER SA COMMON STOCK EUR.5
 
 
1,933,011

BANGKOK BANK PUBLIC CO NVDR NVDR THB10.
 
 
241,053

BANK NEGARA INDONESIA PERSER COMMON STOCK IDR7500.
 
 
130,314

BANK OF AMERICA AUTO TRUST BAAT 2012 1 A3
6/15/2016
0.78%
12,774,406

BANK OF AMERICA CORP COMMON STOCK USD.01
 
 
15,379,268

BANK OF AMERICA CORP SR UNSECURED 01/15 5.
1/15/2015
5%
4,271,897

BANK OF AMERICA CORP SR UNSECURED 01/16 1.25
1/11/2016
1.25%
8,211,796

BANK OF AMERICA CORP SR UNSECURED 01/18 2
1/11/2018
2%
698,758

BANK OF AMERICA CORP SR UNSECURED 01/19 2.6
1/15/2019
2.6%
2,732,006

BANK OF AMERICA CORP SR UNSECURED 01/23 3.3
1/11/2023
3.3%
3,377,227

BANK OF AMERICA CORP SR UNSECURED 03/16 3.625
3/17/2016
3.63%
210,413

BANK OF AMERICA CORP SR UNSECURED 03/17 3.875
3/22/2017
3.88%
715,103

BANK OF AMERICA CORP SR UNSECURED 04/15 4.5
4/1/2015
4.5%
6,381,674

BANK OF AMERICA CORP SR UNSECURED 04/18 6.875
4/25/2018
6.88%
27,785,648

BANK OF AMERICA CORP SR UNSECURED 05/14 7.375
5/15/2014
7.38%
4,304,530

BANK OF AMERICA CORP SR UNSECURED 05/21 5.
5/13/2021
5%
3,966,766

BANK OF AMERICA CORP SR UNSECURED 06/19 7.625
6/1/2019
7.63%
4,508,589

BANK OF AMERICA CORP SR UNSECURED 07/16 3.75
7/12/2016
3.75%
11,183,991

BANK OF AMERICA CORP SR UNSECURED 07/20 5.625
7/1/2020
5.63%
1,856,909

BANK OF AMERICA CORP SR UNSECURED 07/23 4.1
7/24/2023
4.1%
21,089

BANK OF AMERICA CORP SR UNSECURED 08/16 6.5
8/1/2016
6.5%
4,437,316


35
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
BANK OF AMERICA CORP SR UNSECURED 08/17 6.4
8/28/2017
6.4%
14,987,778

BANK OF AMERICA CORP SR UNSECURED 09/17 6
9/1/2017
6%
32,581,035

BANK OF AMERICA CORP SR UNSECURED 10/15 1.5
10/9/2015
1.5%
7,893,689

BANK OF AMERICA CORP SR UNSECURED 10/16 5.625
10/14/2016
5.63%
2,206,478

BANK OF AMERICA CORP SR UNSECURED 10/16 VAR
10/14/2016
0.5%
4,852,556

BANK OF AMERICA CORP SR UNSECURED 11/16 1.35
11/21/2016
1.35%
2,798,846

BANK OF AMERICA CORP SR UNSECURED 12/17 5.75
12/1/2017
5.75%
5,440,180

BANK OF AMERICA CORP SUBORDINATED 03/19 5.49
3/15/2019
5.49%
332,108

BANK OF AMERICA CORP SUBORDINATED 05/16 6.05
5/16/2016
6.05%
7,112,948

BANK OF CHINA LTD H COMMON STOCK CNY1.
 
 
549,284

BANK OF COMMUNICATIONS CO H COMMON STOCK CNY1.
 
 
102,105

BANK OF EAST ASIA COMMON STOCK HKD2.5
 
 
56,686

BANK OF MONTREAL COMMON STOCK NPV
 
 
853,052

BANK OF MONTREAL COVERED 144A 06/15 2.85
6/9/2015
2.85%
1,467,996

BANK OF MONTREAL COVERED 144A 10/14 1.3
10/31/2014
1.3%
504,100

BANK OF MONTREAL SR UNSECURED 09/15 VAR
9/24/2015
0.49%
10,905,723

BANK OF MONTREAL SR UNSECURED 11/15 0.8
11/6/2015
0.8%
2,905,670

BANK OF MONTREAL SR UNSECURED 11/22 2.55
11/6/2022
2.55%
137,134

BANK OF NEW YORK MELLON CORP COMMON STOCK USD.01
 
 
7,745,849

BANK OF NEW YORK MELLON SR UNSECURED 01/16 2.5
1/15/2016
2.5%
567,414

BANK OF NEW YORK MELLON SR UNSECURED 01/18 1.3
1/25/2018
1.3%
151,107

BANK OF NEW YORK MELLON SR UNSECURED 01/19 2.1
1/15/2019
2.1%
14,868

BANK OF NEW YORK MELLON SR UNSECURED 02/15 1.2
2/20/2015
1.2%
4,551,695

BANK OF NEW YORK MELLON SR UNSECURED 03/16 0.7
3/4/2016
0.7%
3,979,040

BANK OF NEW YORK MELLON SR UNSECURED 06/15 2.95
6/18/2015
2.95%
310,560

BANK OF NEW YORK MELLON SR UNSECURED 07/16 2.3
7/28/2016
2.3%
309,833

BANK OF NEW YORK MELLON SR UNSECURED 08/18 VAR
8/1/2018
0.8%
10,383,124

BANK OF NEW YORK MELLON SR UNSECURED 10/15 0.7
10/23/2015
0.7%
5,359,716

BANK OF NEW YORK MELLON SR UNSECURED 11/14 1.7
11/24/2014
1.7%
3,436,761

BANK OF NEW YORK MELLON SR UNSECURED 11/25 3.95
11/18/2025
3.95%
13,861

BANK OF NOVA SCOTIA COMMON STOCK NPV
 
 
437,656

BANK OF NOVA SCOTIA COVERED 144A 10/15 1.65
10/29/2015
1.65%
731,053

BANK OF NOVA SCOTIA SR UNSECURED 01/15 3.4
1/22/2015
3.4%
1,109,032

BANK OF NOVA SCOTIA SR UNSECURED 03/16 2.9
3/29/2016
2.9%
1,556,214

BANK OF NOVA SCOTIA SR UNSECURED 10/15 0.75
10/9/2015
0.75%
10,046,716

BANK OF NOVA SCOTIA SR UNSECURED 10/15 2.05
10/7/2015
2.05%
10,258,260

BANK OF SCOTLAND PLC JR SUBORDINA 11/49 VAR
12/31/2049
7.29%
172,250

BANK OF THE OZARKS COMMON STOCK USD.01
 
 
5,782,083

BANK OF YOKOHAMA LTD/THE COMMON STOCK
 
 
144,960

BANK ZACHODNI WBK SA COMMON STOCK PLN10.
 
 
131,150

BANKERS PETROLEUM LTD COMMON STOCK NPV
 
 
148,888

BANNER CORPORATION COMMON STOCK USD.01
 
 
3,095,045

BANQUE CANTONALE VAUDOIS REG COMMON STOCK CHF10.
 
 
200,213

BANQUE FED FRED MUTUEL 10/16 1
10/28/2016
1%
5,015,250

BANQUE PSA FINANCE SR UNSECURED REGS 02/16 4.25
2/25/2016
4.25%
2,870,677

BARCLAYS BANK PLC JR SUBORDINA 11/49 VAR
12/31/2049
14%
2,199,167

BARCLAYS BANK PLC SR UNSECURED 01/14 2.375
1/13/2014
2.38%
5,798,158



36
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
BARCLAYS BANK PLC SR UNSECURED 01/14 VAR
1/13/2014
1.28%
8,002,192

BARCLAYS BANK PLC SR UNSECURED 02/15 2.75
2/23/2015
2.75%
12,373,327

BARCLAYS BANK PLC SR UNSECURED 07/14 5.2
7/10/2014
5.2%
10,177,932

BARCLAYS BANK PLC SR UNSECURED 09/16 5
9/22/2016
5%
12,798,474

BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
11/21/2022
7.63%
213,000

BARCLAYS BANK PLC SUBORDINATED 144A 06/21 10.179
6/12/2021
10.18%
13,944,779

BARCLAYS BANK PLC SUBORDINATED 144A 12/17 6.05
12/4/2017
6.05%
972,645

BARCLAYS PLC COMMON STOCK GBP.25
 
 
4,467,496

BARNES GROUP INC COMMON STOCK USD.01
 
 
3,356,339

BARRICK GOLD CORP SR UNSECURED 04/19 6.95
4/1/2019
6.95%
1,500,563

BARRICK GOLD CORP SR UNSECURED 04/22 3.85
4/1/2022
3.85%
558,391

BARRICK GOLD CORP SR UNSECURED 05/23 4.1
5/1/2023
4.1%
2,277,805

BARRICK NA FINANCE LLC COMPANY GUAR 05/21 4.4
5/30/2021
4.4%
2,031,605

BARRICK PD AU FIN PTY LT COMPANY GUAR 01/20 4.95
1/15/2020
4.95%
248,107

BASF SE COMMON STOCK NPV
 
 
651,342

BAXTER INTERNATIONAL INC COMMON STOCK USD1.
 
 
14,438,580

BAXTER INTERNATIONAL INC SR UNSECURED 03/20 4.25
3/15/2020
4.25%
59,295

BAXTER INTERNATIONAL INC SR UNSECURED 06/16 0.95
6/1/2016
0.95%
4,478,516

BAXTER INTERNATIONAL INC SR UNSECURED 06/23 3.2
6/15/2023
3.2%
525,442

BAYER AG REG COMMON STOCK NPV
 
 
13,584,886

BAYVIEW FINANCIAL ACQUISITION BAYV 2006 A 2A4
2/28/2041
0.47%
324,713

BB UBS TRUST BBUBS 2012 TFT A 144A
6/5/2030
2.89%
433,320

BB+T CORPORATION 06/18 2.05
6/19/2018
2.05%
5,673,896

BB+T CORPORATION SR UNSECURED 01/18 1.45
1/12/2018
1.45%
6,815,690

BB+T CORPORATION SR UNSECURED 03/16 3.2
3/15/2016
3.2%
1,678,360

BB+T CORPORATION SR UNSECURED 04/14 5.7
4/30/2014
5.7%
1,881,892

BB+T CORPORATION SR UNSECURED 04/16 3.95
4/29/2016
3.95%
320,437

BB+T CORPORATION SR UNSECURED 08/17 1.6
8/15/2017
1.6%
3,972,225

BB+T CORPORATION SUBORDINATED 06/17 4.9
6/30/2017
4.9%
52,526

BB+T CORPORATION SUBORDINATED 12/15 5.2
12/23/2015
5.2%
59,428

BBVA SENIOR FINANCE SA BANK GUARANT 09/15 4.375
9/21/2015
4.38%
1,884,194

BBVA US SENIOR SA UNIPER BANK GUARANT 10/15 4.664
10/9/2015
4.66%
1,576,917

BCAP LLC TRUST BCAP 2010 RR4 5A7 144A
5/26/2037
0.49%
56,664

BCE INC COMMON STOCK NPV
 
 
9,599,558

BCE INC COMMON STOCK NPV
 
 
56,282

BEACON ROOFING SUPPLY INC COMMON STOCK USD.01
 
 
5,028,555

BEAM INC COMMON STOCK USD3.125
 
 
3,838,584

BEAM INC SR UNSECURED 01/16 5.375
1/15/2016
5.38%
75,758

BEAM INC SR UNSECURED 05/17 1.875
5/15/2017
1.88%
449,250

BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1
11/25/2030
2.72%
45,339

BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1
2/25/2033
2.36%
5,220


37
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1
2/25/2034
2.83%
906,819

BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1
1/25/2035
2.59%
147,886

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A1
3/25/2035
2.57%
4,981,073

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A2
3/25/2035
2.79%
38,282

BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2
5/25/2035
2.67%
2,405,373

BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1
2/25/2034
0.33%
375,507

BEAR STEARNS ASSET BACKED SECU BSABS 2003 2 A3
3/25/2043
1.67%
1,906,115

BEAR STEARNS ASSET BACKED SECU BSABS 2005 SD1 1A3
8/25/2043
0.57%
1,073,641

BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A
8/25/2036
5.5%
1,975,318

BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 1A1
10/25/2037
1.17%
1,076,434

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 PW10 AAB
12/11/2040
5.38%
251,251

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 PWR8 A4
6/11/2041
4.67%
9,773,025

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 T20 A4A
10/12/2042
5.14%
10,618,400

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 T20 A4B
10/12/2042
1%
1,378,811

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 T20 AAB
10/12/2042
5.12%
904,608

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW11 A4
3/11/2039
5.44%
3,764,765

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW14 A1A
12/11/2038
5.19%
8,297,198

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW14 A3
12/11/2038
5.21%
1,868,832

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T22 AM
4/12/2038
5.58%
400,899

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 A4
10/12/2041
5.54%
11,699,141

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW16 AM
6/11/2040
5.71%
240,906

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW17 A3
6/11/2050
5.74%
3,475,850

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW17 AMFL 144A
6/11/2050
0.83%
306,757

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW18 A3
6/11/2050
5.96%
2,047,408

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T26 A1A
1/12/2045
5.45%
5,748,242

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T28 A3
9/11/2042
5.79%
983,759

BEAR STEARNS COS LLC SR UNSECURED 02/18 7.25
2/1/2018
7.25%
11,680,354

BEAR STEARNS COS LLC SR UNSECURED 10/17 6.4
10/2/2017
6.4%
6,824,099

BEAR STEARNS COS LLC SR UNSECURED 11/14 5.7
11/15/2014
5.7%
313,356

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
1/26/2036
2.5%
116,426

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
12/26/2046
2.58%
2,692,652

BEC WORLD PUBLIC CO LTD NVDR NVDR THB1.
 
 
198,711

BEIERSDORF AG COMMON STOCK NPV
 
 
4,354,578

BEIJING JINGNENG CLEAN ENE H COMMON STOCK CNY1.
 
 
400,044

BELDEN INC COMMON STOCK USD.01
 
 
2,852,521

BELLSOUTH CORP SR UNSECURED 09/14 5.2
9/15/2014
5.2%
686,688

BELLSOUTH CORP SR UNSECURED 12/16 5.2
12/15/2016
5.2%
276,330

BENDIGO AND ADELAIDE BANK COMMON STOCK NPV
 
 
501,708

BENEFITFOCUS INC COMMON STOCK USD.001
 
 
1,489,403

BERKSHIRE HATHAWAY FIN COMPANY GUAR 05/18 1.3
5/15/2018
1.3%
4,793,088

BERKSHIRE HATHAWAY FIN COMPANY GUAR 05/18 5.4
5/15/2018
5.4%
943,188


38
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
BERKSHIRE HATHAWAY FIN COMPANY GUAR 07/14 5.1
7/15/2014
5.1%
1,819,265

BERKSHIRE HATHAWAY FIN COMPANY GUAR 08/16 0.95
8/15/2016
0.95%
3,013,608

BERKSHIRE HATHAWAY FIN COMPANY GUAR 12/15 2.45
12/15/2015
2.45%
3,627,148

BERKSHIRE HATHAWAY INC SR UNSECURED 01/17 1.9
1/31/2017
1.9%
240,409

BERKSHIRE HATHAWAY INC SR UNSECURED 02/15 3.2
2/11/2015
3.2%
6,627,388

BERRY PLASTICS GROUP INC COMMON STOCK USD.01
 
 
3,668,418

BG ENERGY CAPITAL PLC COMPANY GUAR 144A 10/16 2.875
10/15/2016
2.88%
208,780

BG GROUP PLC COMMON STOCK GBP.1
 
 
4,587,692

BHP BILLITON FIN USA LTD COMPANY GUAR 02/17 1.625
2/24/2017
1.63%
2,632,114

BHP BILLITON FIN USA LTD COMPANY GUAR 04/14 5.5
4/1/2014
5.5%
2,743,553

BHP BILLITON FIN USA LTD COMPANY GUAR 04/19 6.5
4/1/2019
6.5%
557,485

BHP BILLITON FIN USA LTD COMPANY GUAR 09/43 5.
9/30/2043
5%
76,256

BHP BILLITON LTD COMMON STOCK
 
 
1,338,564

BHP BILLITON PLC COMMON STOCK USD.5
 
 
591,463

BIOGEN IDEC INC COMMON STOCK USD.0005
 
 
16,787,798

BIOMARIN PHARMACEUTICAL INC COMMON STOCK USD.001
 
 
6,811,552

BIOMED REALTY TRUST INC REIT USD.01
 
 
3,446,424

BK NEDERLANDSE GEMEENTEN SR UNSECURED 03/17 3.
3/30/2017
3%
147,456

BK NEDERLANDSE GEMEENTEN SR UNSECURED 11/19 3.875
11/4/2019
3.88%
155,154

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 01/15 3.85
1/22/2015
3.85%
1,702,091

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 02/16 1
2/26/2016
1%
199,093

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 09/16 1.55
9/9/2016
1.55%
4,621,837

BLACKBERRY LTD COMMON STOCK
 
 
89,967

BLACKROCK INC COMMON STOCK USD.01
 
 
4,943,894

BLACKROCK INC SR UNSECURED 06/15 1.375
6/1/2015
1.38%
1,947,068

BLACKROCK INC SR UNSECURED 12/14 3.5
12/10/2014
3.5%
1,070,392

BLUE LABEL TELECOMS LTD COMMON STOCK ZAR.00000001
 
 
78,396

BLUESTREAM VENTURES
 
 
1,085,164

BM+FBOVESPA SA COMMON STOCK NPV
 
 
1,025,625

BMW VEHICLE LEASE TRUST BMWLT 2013 1 A2
1/20/2015
0.4%
6,662,906

BMW VEHICLE OWNER TRUST BMWOT 2013 A A2
2/25/2016
0.41%
1,999,948

BNP PARIBAS 12/16 1.25
12/12/2016
1.25%
10,007,330

BNP PARIBAS BANK GUARANT 01/21 5.
1/15/2021
5%
10,970

BNP PARIBAS BANK GUARANT 03/15 3.25
3/11/2015
3.25%
9,594,551

BNP PARIBAS HOME LOAN COVERED 144A 11/15 2.2
11/2/2015
2.2%
1,740,790

BNP PARIBAS SR UNSECURED 08/18 2.7
8/20/2018
2.7%
3,443,378

BNP PARIBAS SR UNSECURED 09/17 2.375
9/14/2017
2.38%
5,431,539

BOEING CO/THE COMMON STOCK USD5.
 
 
7,030,274,371

BOEING CO/THE COMMON STOCK USD5.
 
 
(183,989
)
BOK FINANCIAL CORPORATION COMMON STOCK USD.00006
 
 
2,718,192

BOLSA MEXICANA DE VALORES SA COMMON STOCK NPV
 
 
485,545


39
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
BOMBARDIER INC B COMMON STOCK NPV
 
 
272,044

BONANZA CREEK ENERGY INC COMMON STOCK USD.001
 
 
1,424,947

BONOS Y OBLIG DEL ESTADO BONDS 10/18 3.75
10/31/2018
3.75%
14,554,451

BOSTON PRIVATE FINL HOLDING COMMON STOCK USD1.
 
 
3,192,721

BOSTON PROPERTIES LP SR UNSECURED 06/15 5.
6/1/2015
5%
465,531

BOSTON PROPERTIES LP SR UNSECURED 09/23 3.125
9/1/2023
3.13%
73,071

BOSTON SCIENTIFIC CORP COMMON STOCK USD.01
 
 
3,598,488

BOSTON SCIENTIFIC CORP SR UNSECURED 01/20 6.
1/15/2020
6%
1,090,629

BOTTLING GROUP LLC COMPANY GUAR 01/19 5.125
1/15/2019
5.13%
345,525

BOTTLING GROUP LLC COMPANY GUAR 04/16 5.5
4/1/2016
5.5%
275,406

BOULDER BRANDS INC COMMON STOCK USD.0001
 
 
1,393,967

BP CAPITAL MARKETS PLC COMPANY GUAR 03/15 3.875
3/10/2015
3.88%
9,501,033

BP CAPITAL MARKETS PLC COMPANY GUAR 03/19 4.75
3/10/2019
4.75%
1,566,065

BP CAPITAL MARKETS PLC COMPANY GUAR 05/18 1.375
5/10/2018
1.38%
207,697

BP CAPITAL MARKETS PLC COMPANY GUAR 05/18 VAR
5/10/2018
0.75%
3,332,262

BP CAPITAL MARKETS PLC COMPANY GUAR 05/22 3.245
5/6/2022
3.25%
3,649,271

BP CAPITAL MARKETS PLC COMPANY GUAR 10/15 3.125
10/1/2015
3.13%
18,701,007

BP CAPITAL MARKETS PLC COMPANY GUAR 11/15 0.7
11/6/2015
0.7%
2,882,159

BP CAPITAL MARKETS PLC COMPANY GUAR 11/16 2.248
11/1/2016
2.25%
9,645,939

BP CAPITAL MARKETS PLC COMPANY GUAR 11/17 1.375
11/6/2017
1.38%
984,795

BP CAPITAL MARKETS PLC COMPANY GUAR 11/21 3.561
11/1/2021
3.56%
1,038,048

BP PLC COMMON STOCK USD.25
 
 
1,093,342

BPCE SA SR UNSECURED 144A 02/14 VAR
2/7/2014
1.99%
450,685

BR MALLS PARTICIPACOES SA COMMON STOCK NPV
 
 
61,428

BRAMMER PLC COMMON STOCK GBP.2
 
 
462,839

BRANDYWINE REALTY TRUST REIT USD.01
 
 
3,360,465

BRASIL BROKERS PARTICIPACOES COMMON STOCK NPV
 
 
224,652

BRASKEM SA PREF A PREFERENCE
 
 
239,441

BRIDGESTONE CORP COMMON STOCK
 
 
98,454

BRISTOL MYERS SQUIBB CO COMMON STOCK USD.1
 
 
27,318,409

BRISTOW GROUP INC COMMON STOCK USD.01
 
 
3,512,808

BRITISH COLUMBIA PROV OF SR UNSECURED 10/22 2.
10/23/2022
2%
5,062,464

BRITISH LAND CO PLC REIT GBP.25
 
 
87,197

BRITISH SKY BROADCASTING GRO COMMON STOCK GBP.5
 
 
1,034,595

BRITISH TELECOM PLC SR UNSECURED 01/18 5.95
1/15/2018
5.95%
1,286,402

BRITISH TELECOM PLC SR UNSECURED 06/15 2.
6/22/2015
2%
1,831,653

BRITISH TELECOM PLC SR UNSECURED 06/16 1.625
6/28/2016
1.63%
1,513,218

BRITISH TELECOM PLC SR UNSECURED 12/30 9.625
12/15/2030
9.63%
149,224

BRITVIC PLC COMMON STOCK GBP.2
 
 
317,706

BROADCOM CORP CL A COMMON STOCK USD.0001
 
 
3,802,462

BROADRIDGE FINANCIAL SOLUTIO COMMON STOCK USD.01
 
 
4,088,344


40
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
BROOKDALE SENIOR LIVING INC COMMON STOCK USD.01
 
 
2,120,040

BROOKFIELD ASSET MANAGE CL A COMMON STOCK NPV
 
 
256,049

BROOKFIELD OFFICE PROPERTIES COMMON STOCK NPV
 
 
48,118

BRUNEL INTERNATIONAL COMMON STOCK EUR.05
 
 
386,221

BRUNSWICK CORP COMMON STOCK USD.75
 
 
4,705,536

BT GROUP PLC COMMON STOCK GBP.05
 
 
1,747,734

BUCKEYE OH TOBACCO SETTLEMENT BUCGEN 06/47 FIXED OID 5.875
6/1/2047
5.88%
15,190,910

BUCKEYE PARTNERS LP SR UNSECURED 11/18 2.65
11/15/2018
2.65%
280,812

BUNDESREPUB. DEUTSCHLAND BONDS 07/17 4.25
7/4/2017
4.25%
388,857

BUNDESREPUB. DEUTSCHLAND BONDS 08/23 2.
8/15/2023
2%
19,111,923

BUNGE LIMITED FINANCE CO COMPANY GUAR 03/16 4.1
3/15/2016
4.1%
464,614

BUNGE LTD COMMON STOCK USD.01
 
 
3,744,216

BUNGE LTD FINANCE CORP COMPANY GUAR 07/15 5.1
7/15/2015
5.1%
317,562

BUONI POLIENNALI DEL TES BONDS 09/16 4.75
9/15/2016
4.75%
10,260,845

BURLINGTN NORTH SANTA FE SR UNSECURED 02/14 7.
2/1/2014
7%
703,494

BURLINGTN NORTH SANTA FE SR UNSECURED 03/18 5.75
3/15/2018
5.75%
940,567

BURLINGTN NORTH SANTA FE SR UNSECURED 03/23 3
3/15/2023
3%
79,157

BURLINGTN NORTH SANTA FE SR UNSECURED 05/17 5.65
5/1/2017
5.65%
386,921

BURLINGTN NORTH SANTA FE SR UNSECURED 09/21 3.45
9/15/2021
3.45%
123,448

BURSA MALAYSIA BHD COMMON STOCK MYR.5
 
 
266,335

BWPC00SI8 CDS EUR P F 1.00000 1 CCPITRAXX
12/20/2023
1%
(6,614,158
)
BWPC00SI8 CDS EUR R V 03MEVENT 2 CCPITRAXX
12/20/2023
1%
6,716,325

BWU004X94 IRS USD P F 3.50000 CME CCP
12/18/2043
3.5%
(2,400,000
)
BWU004X94 IRS USD R V 03MLIBOR CME CCP
12/18/2043
0.24%
2,595,650

BWU004Z50 IRS USD P F 3.00000 SWU004Z50 CCPVANILLA
12/18/2023
3%
(12,100,000
)
BWU004Z50 IRS USD R V 03MLIBOR SWUV04Z52 CCPVANILLA
12/18/2023
1%
12,194,010

BWU005NK7 IRS EUR P F 2.75000 SWU005NK7 CCPVANILLA
3/19/2044
2.75%
(8,681,082
)
BWU005NK7 IRS EUR R V 06MEURIB SWUV05NK9 CCPVANILLA
3/19/2044
1%
8,693,759

C+C GROUP PLC COMMON STOCK EUR.01
 
 
800,742

CABELA S INC COMMON STOCK USD.01
 
 
3,739,626

CADENCE DESIGN SYS INC COMMON STOCK USD.01
 
 
6,868,372

CAISSE CENTRALE DESJARDN COMPANY GUAR 144A 10/15 VAR
10/29/2015
0.52%
21,991,926

CAISSE CENTRALE DESJARDN SR UNSECURED 144A 09/15 2.65
9/16/2015
2.65%
3,736,059

CAIXABANK S.A COMMON STOCK EUR1.
 
 
319,486

CALIFORNIA REPUBLIC AUTO RECEI CRART 2012 1 A 144A
8/15/2017
1.18%
290,851

CALIFORNIA ST CAS 03/19 FIXED 6.2
3/1/2019
6.2%
580,120

CALIFORNIA ST CAS 03/36 FIXED 7.95
3/1/2036
7.95%
11,560

CALIFORNIA ST CAS 04/16 FIXED 5.95
4/1/2016
5.95%
553,605

CALIFORNIA ST CAS 04/34 FIXED 7.5
4/1/2034
7.5%
4,337,958

CALIFORNIA ST CAS 04/39 FIXED 7.55
4/1/2039
7.55%
8,924,943

CALIFORNIA ST CAS 06/37 FIXED 5
6/1/2037
5%
2,653,768


41
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CALIFORNIA ST CAS 08/28 FIXED 4.5
8/1/2028
4.5%
4,162,238

CALIFORNIA ST CAS 09/23 FIXED 5
9/1/2023
5%
1,124,687

CALIFORNIA ST CAS 10/19 FIXED 6.2
10/1/2019
6.2%
2,097,900

CALIFORNIA ST CAS 11/37 FIXED 5
11/1/2037
5%
1,227,588

CALIFORNIA ST PUBLIC WKS BRD L CASFAC 11/26 FIXED 5
11/1/2026
5%
2,142,680

CALIFORNIA ST PUBLIC WKS BRD L CASFAC 11/30 FIXED 5
11/1/2030
5%
6,956,074

CALIX NETWORKS INC COMMON STOCK
 
 
1,879,846

CAMDEN PROPERTY TRUST REIT USD.01
 
 
1,820,160

CAMERON INTERNATIONAL CORP COMMON STOCK USD.01
 
 
6,000,624

CAMERON INTL CORP SR UNSECURED 04/15 1.6
4/30/2015
1.6%
2,980,092

CAN IMPERIAL BK OF COMMERCE COMMON STOCK NPV
 
 
264,689

CANADA GOV T REAL RETURN BONDS 12/21 4.25
12/1/2021
4.25%
1,134,158

CANADA GOV T REAL RETURN BONDS 12/36 3
12/1/2036
3%
260,411

CANADA HOUSING TRUST GOVT GUARANT 144A 12/22 2.4
12/15/2022
2.4%
7,571,600

CANADIAN IMPERIAL BANK COVERED 144A 09/14 0.9
9/19/2014
0.9%
6,799,111

CANADIAN IMPERIAL BANK SR UNSECURED 01/18 1.55
1/23/2018
1.55%
244,526

CANADIAN IMPERIAL BANK SR UNSECURED 10/15 0.9
10/1/2015
0.9%
11,229,178

CANADIAN IMPERIAL BANK SR UNSECURED 12/15 2.35
12/11/2015
2.35%
237,537

CANADIAN NATL RAILWAY CO COMMON STOCK NPV
 
 
7,140,843

CANADIAN NATL RAILWAY CO COMMON STOCK NPV
 
 
832,166

CANADIAN NATL RAILWAY SR UNSECURED 01/14 4.95
1/15/2014
4.95%
370,575

CANADIAN NATL RAILWAY SR UNSECURED 03/19 5.55
3/1/2019
5.55%
206,552

CANADIAN NATL RAILWAY SR UNSECURED 07/18 6.8
7/15/2018
6.8%
731,266

CANADIAN NATL RAILWAY SR UNSECURED 12/16 1.45
12/15/2016
1.45%
302,128

CANADIAN NATL RESOURCES SR UNSECURED 03/38 6.25
3/15/2038
6.25%
56,027

CANADIAN NATL RESOURCES SR UNSECURED 08/16 6
8/15/2016
6%
2,800,973

CANADIAN NATL RESOURCES SR UNSECURED 11/14 1.45
11/14/2014
1.45%
4,157,437

CANADIAN NATL RESOURCES SR UNSECURED 12/14 4.9
12/1/2014
4.9%
379,368

CANADIAN NATURAL RESOURCES COMMON STOCK NPV
 
 
801,673

CANADIAN OIL SANDS LTD COMPANY GUAR 144A 04/22 4.5
4/1/2022
4.5%
654,604

CANADIAN PACIFIC RAILWAY LTD COMMON STOCK NPV
 
 
6,599,368

CANADIAN PACIFIC RAILWAY LTD COMMON STOCK NPV
 
 
317,520

CANADIAN PACIFIC RR CO SR UNSECURED 05/18 6.5
5/15/2018
6.5%
279,729

CANADIAN PACIFIC RR CO SR UNSECURED 10/31 7.125
10/15/2031
7.13%
72,155

CANADIAN TIRE CORP CLASS A COMMON STOCK NPV
 
 
280,913

CANFOR CORP COMMON STOCK NPV
 
 
963,524

CANON INC COMMON STOCK
 
 
370,686

CANTEL MEDICAL CORP COMMON STOCK USD.1
 
 
1,943,653

CAP SA COMMON STOCK
 
 
99,355

CAPCOM CO LTD COMMON STOCK
 
 
229,804

CAPITACOMMERCIAL TRUST REIT NPV
 
 
20,672


42
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 1 A2
7/20/2016
0.62%
3,330,390

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 1 A3
6/20/2017
0.79%
4,082,083

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 2 A3
10/20/2017
1.29%
589,721

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 3 A3
12/20/2017
1.31%
6,195,120

CAPITAL AUTO RECEIVABLES ASSET AFIN 2013 4 A3
3/20/2018
1.09%
2,766,581

CAPITAL ONE BANK USA NA SR UNSECURED 11/18 2.15
11/21/2018
2.15%
661,442

CAPITAL ONE FINANCIAL CO SR UNSECURED 03/15 2.15
3/23/2015
2.15%
355,803

CAPITAL ONE FINANCIAL CO SR UNSECURED 05/14 7.375
5/23/2014
7.38%
1,333,478

CAPITAL ONE FINANCIAL CO SR UNSECURED 06/15 5.5
6/1/2015
5.5%
398,289

CAPITAL ONE FINANCIAL CO SR UNSECURED 06/23 3.5
6/15/2023
3.5%
46,935

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/14 2.125
7/15/2014
2.13%
302,378

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/16 3.15
7/15/2016
3.15%
7,785,794

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/21 4.75
7/15/2021
4.75%
212,670

CAPITAL ONE FINANCIAL CO SR UNSECURED 09/17 6.75
9/15/2017
6.75%
233,741

CAPITAL ONE FINANCIAL CO SR UNSECURED 11/15 1.
11/6/2015
1%
9,995,640

CAPITAL ONE FINANCIAL CORP COMMON STOCK USD.01
 
 
15,892,745

CAPITAL ONE MULTI ASSET EXECUT COMET 2006 A3 A3
12/17/2018
5.05%
8,192,085

CAPITAL ONE MULTI ASSET EXECUT COMET 2013 A3 A3
9/16/2019
0.96%
9,199,293

CAPITALSOURCE INC COMMON STOCK USD.01
 
 
6,811,926

CAPITAMALL TRUST REIT NPV
 
 
31,685

CAPITAMALLS ASIA LTD COMMON STOCK NPV
 
 
17,076

CARDINAL HEALTH INC COMMON STOCK NPV
 
 
3,158,443

CARDINAL HEALTH INC SR UNSECURED 06/15 4
6/15/2015
4%
209,315

CARDINAL HEALTH INC SR UNSECURED 10/16 5.8
10/15/2016
5.8%
189,927

CARDINAL HEALTH INC SR UNSECURED 12/20 4.625
12/15/2020
4.63%
631,431

CARDTRONICS INC COMMON STOCK USD.0001
 
 
3,250,060

CARGILL INC SR UNSECURED 144A 03/17 1.9
3/1/2017
1.9%
420,816

CARMAX AUTO OWNER TRUST CARMX 2010 3 A4
2/16/2016
1.41%
676,634

CARMAX AUTO OWNER TRUST CARMX 2011 3 A3
6/15/2016
1.07%
3,289,423

CARMAX AUTO OWNER TRUST CARMX 2012 1 A3
9/15/2016
0.89%
3,258,656

CARMAX AUTO OWNER TRUST CARMX 2012 1 A4
6/15/2017
1.25%
8,163,038

CARMAX AUTO OWNER TRUST CARMX 2012 3 A4
4/16/2018
0.79%
9,949,380

CARMAX AUTO OWNER TRUST CARMX 2013 1 A2
3/15/2016
0.42%
3,401,656

CARMAX AUTO OWNER TRUST CARMX 2013 1 A3
10/16/2017
0.6%
7,351,212

CARMAX AUTO OWNER TRUST CARMX 2013 3 A2
8/15/2016
0.59%
5,007,540

CARMAX AUTO OWNER TRUST CARMX 2013 3 A3
4/16/2018
0.97%
15,857,406

CARMAX AUTO OWNER TRUST CARMX 2013 4 A3
7/16/2018
0.8%
921,616

CARNIVAL CORP COMPANY GUAR 02/16 1.2
2/5/2016
1.2%
1,346,269

CARNOW AUTO RECEIVABLES TRUST CNART 2013 1A A 144A
10/16/2017
1.16%
210,916

CARPENTER TECHNOLOGY COMMON STOCK USD5.
 
 
5,311,880

CASTELLUM AB COMMON STOCK NPV
 
 
590,694


43
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CATAMARAN CORP COMMON STOCK NPV
 
 
104,461

CATERPILLAR FINANCIAL SE SR UNSECURED 02/16 0.7
2/26/2016
0.7%
1,697,306

CATERPILLAR FINANCIAL SE SR UNSECURED 02/19 7.15
2/15/2019
7.15%
61,461

CATERPILLAR FINANCIAL SE SR UNSECURED 05/15 1.1
5/29/2015
1.1%
2,237,887

CATERPILLAR FINANCIAL SE SR UNSECURED 06/22 2.85
6/1/2022
2.85%
75,142

CATERPILLAR FINANCIAL SE SR UNSECURED 09/16 1.35
9/6/2016
1.35%
5,030,930

CATERPILLAR FINANCIAL SE SR UNSECURED 09/17 5.85
9/1/2017
5.85%
1,253,935

CATERPILLAR FINANCIAL SE SR UNSECURED 11/15 0.7
11/6/2015
0.7%
2,374,868

CATERPILLAR FINANCIAL SE SR UNSECURED 11/16 1.
11/25/2016
1%
646,229

CATERPILLAR INC SR UNSECURED 05/21 3.9
5/27/2021
3.9%
2,347,464

CATHAY PACIFIC AIRWAYS COMMON STOCK HKD.2
 
 
84,863

CATHOLIC HEALTH INITIATI SECURED 11/17 1.6
11/1/2017
1.6%
135,695

CATHOLIC HEALTH INITIATI UNSECURED 08/23 4.2
8/1/2023
4.2%
460,855

CATLIN GROUP LTD COMMON STOCK USD.01
 
 
667,075

CAVIUM INC COMMON STOCK USD.001
 
 
1,270

CBS CORP COMPANY GUAR 02/21 4.3
2/15/2021
4.3%
325,768

CBS CORP COMPANY GUAR 06/14 8.875
6/14/2014
8.88%
6,632,774

CBS CORP COMPANY GUAR 07/17 1.95
7/1/2017
1.95%
571,033

CBS CORP COMPANY GUAR 09/23 7.875
9/1/2023
7.88%
58,985

CCSI289H7 CYS EUR R V 03MEURIB EUR003M-23.81/CCSI289H7
3/18/2016
1%
46,623,695

CCSI289H7 CYS USD P V 03MLIBOR US0003M/CCSI289I5
3/18/2016
1%
(44,850,008
)
CD COMMERCIAL MORTGAGE TRUST CD 2005 CD1 A4
7/15/2044
5.22%
1,855,464

CD COMMERCIAL MORTGAGE TRUST CD 2005 CD1 AJ
7/15/2044
5.22%
341,532

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD2 AM
1/15/2046
5.53%
536,935

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 A5
10/15/2048
5.62%
381,394

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A1A
12/11/2049
5.29%
3,432,393

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A2B
12/11/2049
5.21%
11,237

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A4
12/11/2049
5.32%
2,036,901

CDP FINANCIAL COMPANY GUAR 144A 11/14 3.
11/25/2014
3%
1,710,426

CDP FINANCIAL COMPANY GUAR 144A 11/19 4.4
11/25/2019
4.4%
275,214

CEBU AIR INC COMMON STOCK PHP1.
 
 
135,137

CELGENE CORP COMMON STOCK USD.01
 
 
40,879,534

CELGENE CORP SR UNSECURED 08/17 1.9
8/15/2017
1.9%
298,580

CELGENE CORP SR UNSECURED 08/22 3.25
8/15/2022
3.25%
18,935

CELGENE CORP SR UNSECURED 10/15 2.45
10/15/2015
2.45%
205,457

CELGENE CORP SR UNSECURED 10/20 3.95
10/15/2020
3.95%
51,787

CELLCO PART/VERI WIRELSS SR UNSECURED 11/18 8.5
11/15/2018
8.5%
709,034

CELLDEX THERAPEUTICS INC COMMON STOCK USD.001
 
 
2,145,127

CELLULAR DYNAMICS INTERNATIO COMMON STOCK USD.0001
 
 
261,353

CEMEX SAB SPONS ADR PART CER ADR NPV
 
 
159,705

CEMIG SA SPONS ADR ADR
 
 
249,280


44
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CENOVUS ENERGY INC SR UNSECURED 08/22 3
8/15/2022
3%
28,132

CENOVUS ENERGY INC SR UNSECURED 10/19 5.7
10/15/2019
5.7%
410,087

CENOVUS ENERGY INC SR UNSECURED 11/39 6.75
11/15/2039
6.75%
11,721

CENTENE CORP COMMON STOCK USD.001
 
 
3,279,389

CENTERPOINT ENERGY INC SR UNSECURED 05/18 6.5
5/1/2018
6.5%
385,049

CENTERPOINT ENERGY RESOU SR UNSECURED 01/21 4.5
1/15/2021
4.5%
239,991

CENTERPOINT ENERGY RESOU SR UNSECURED 01/41 5.85
1/15/2041
5.85%
56,707

CENTERPOINT ENERGY RESOU SR UNSECURED 05/16 6.15
5/1/2016
6.15%
331,318

CENTRAL JAPAN RAILWAY CO COMMON STOCK
 
 
824,509

CENTRICA PLC COMMON STOCK GBP.061728
 
 
900,178

CEPHEID INC COMMON STOCK NPV
 
 
3,984,515

CEVA INC COMMON STOCK USD.001
 
 
1,415,917

CF INDUSTRIES INC COMPANY GUAR 05/18 6.875
5/1/2018
6.88%
452,327

CF INDUSTRIES INC COMPANY GUAR 06/23 3.45
6/1/2023
3.45%
452,047

CFC LLC CFCAT 2013 1A A 144A
7/17/2017
1.65%
263,305

CFC LLC CFCAT 2013 2A A 144A
11/15/2017
1.75%
253,800

CFS RETAIL PROPERTY TRUST GR REIT NPV
 
 
46,614

CGBAM COMMERCIAL MORTGAGE TRUS CGBAM 2013 BREH A2 144A
5/15/2030
1.28%
3,071,919

CGI GROUP INC CLASS A COMMON STOCK NPV
 
 
23,415

CHALLENGER LTD COMMON STOCK NPV
 
 
478,913

CHANNELADVISOR CORP COMMON STOCK USD.001
 
 
1,401,873

CHARLES SCHWAB CORP SR UNSECURED 09/22 3.225
9/1/2022
3.23%
33,686

CHARLES SCHWAB CORP SR UNSECURED 12/15 0.85
12/4/2015
0.85%
2,089,796

CHART INDUSTRIES INC COMMON STOCK USD.01
 
 
4,227,671

CHARTER HALL RETAIL REIT REIT NPV
 
 
352,510

CHASE ISSUANCE TRUST CHAIT 2012 A4 A4
8/16/2021
1.58%
573,114

CHASE ISSUANCE TRUST CHAIT 2012 A5 A5
8/15/2017
0.59%
9,381,041

CHASE ISSUANCE TRUST CHAIT 2013 A8 A8
10/15/2018
1.01%
2,996,226

CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1
2/25/2037
2.74%
179,348

CHECK POINT SOFTWARE TECH COMMON STOCK USD.01
 
 
1,781,849

CHEMTURA CORP COMMON STOCK USD.01
 
 
1,884,795

CHENG SHIN RUBBER IND CO LTD COMMON STOCK TWD10.
 
 
1,701

CHEUNG KONG HOLDINGS LTD COMMON STOCK NPV
 
 
410,769

CHEUNG KONG INFRASTRUCTURE COMMON STOCK HKD1.
 
 
50,659

CHEVRON CORP COMMON STOCK USD.75
 
 
8,462,028

CHEVRON CORP SR UNSECURED 06/16 0.889
6/24/2016
0.89%
1,825,323

CHEVRON CORP SR UNSECURED 12/22 2.355
12/5/2022
2.36%
1,609,971

CHIBA BANK LTD/THE COMMON STOCK
 
 
40,474

CHICAGO IL CHI 01/32 FIXED 4.75
1/1/2032
4.75%
8,608,513

CHICAGO IL CHI 01/39 FIXED OID 5
1/1/2039
5%
2,498,284

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.2
12/1/2040
6.2%
10,410


45
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.9%
445,344

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.9%
561,090

CHICO S FAS INC COMMON STOCK USD.01
 
 
3,133,092

CHICONY ELECTRONICS CO LTD COMMON STOCK TWD10.
 
 
142,143

CHILDREN S PLACE COMMON STOCK USD.1
 
 
2,172,836

CHINA BLUECHEMICAL LTD H COMMON STOCK HKD1.
 
 
417,904

CHINA CITIC BANK CORP LTD H COMMON STOCK CNY1.
 
 
86,126

CHINA COMMUNICATIONS SERVI H COMMON STOCK CNY1.
 
 
87,906

CHINA CONSTRUCTION BANK H COMMON STOCK CNY1.
 
 
792,197

CHINA GAS HOLDINGS LTD COMMON STOCK HKD.01
 
 
341,099

CHINA MENGNIU DAIRY CO COMMON STOCK HKD.1
 
 
584,562

CHINA MERCHANTS BANK H COMMON STOCK CNY1.
 
 
96,941

CHINA MOBILE LTD SPON ADR ADR
 
 
606,564

CHINA OILFIELD SERVICES H COMMON STOCK CNY1.
 
 
136,476

CHINA OVERSEAS LAND + INVEST COMMON STOCK NPV
 
 
230,547

CHINA PETROLEUM + CHEMICAL H COMMON STOCK CNY1.
 
 
82,781

CHINA RAILWAY CONSTRUCTION H COMMON STOCK CNY1.
 
 
98,071

CHINA RAILWAY GROUP LTD H COMMON STOCK CNY1.
 
 
35,168

CHINA RESOURCES LAND LTD COMMON STOCK HKD.1
 
 
98,946

CHINA RESOURCES POWER HOLDIN COMMON STOCK HKD1.
 
 
104,301

CHINA SOUTHERN AIRLINES CO H COMMON STOCK CNY1.
 
 
51,583

CHINA TELECOM CORP LTD H COMMON STOCK CNY1.
 
 
197,169

CHINA UNICOM HONG KONG LTD COMMON STOCK NPV
 
 
2,004,238

CHIPBOND TECHNOLOGY CORP COMMON STOCK TWD10.
 
 
325,396

CHIPOTLE MEXICAN GRILL INC COMMON STOCK USD.01
 
 
4,243,060

CHIYODA CO LTD COMMON STOCK
 
 
279,501

CHIYODA CORP COMMON STOCK
 
 
522,677

CHONGQING RURAL COMMERCIAL H COMMON STOCK CNY1.
 
 
100,811

CHRISTIAN DIOR COMMON STOCK EUR2.
 
 
282,756

CHUBB CORP COMMON STOCK USD1.
 
 
3,473,849

CHUBB CORP SR UNSECURED 05/18 5.75
5/15/2018
5.75%
22,989

CHUY S HOLDINGS INC COMMON STOCK USD.01
 
 
986,408

CI FINANCIAL CORP COMMON STOCK NPV
 
 
46,579

CIA BRASILEIRA DE DIS PREF PREFERENCE
 
 
484,696

CIA DE MINAS BUENAVENTUR ADR ADR
 
 
20,196

CIA ENERGETICA DE SP PREF B PREFERENCE
 
 
315,500

CIA PARANAENSE ENER SP ADR P ADR NPV
 
 
106,434

CIENA CORP COMMON STOCK USD.01
 
 
1,440,107

CIGNA CORP COMMON STOCK USD.25
 
 
5,980,658

CIGNA CORP SR UNSECURED 02/22 4
2/15/2022
4%
203,574

CIGNA CORP SR UNSECURED 03/17 5.375
3/15/2017
5.38%
1,069,363


46
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CIGNA CORP SR UNSECURED 12/20 4.375
12/15/2020
4.38%
1,005,437

CIMAREX ENERGY CO COMMON STOCK USD.01
 
 
3,462,030

CIMC ENRIC HOLDINGS LTD COMMON STOCK HKD.01
 
 
344,994

CIRCOR INTERNATIONAL INC COMMON STOCK USD.01
 
 
3,786,563

CISCO SYSTEMS INC COMMON STOCK USD.001
 
 
20,781,067

CISCO SYSTEMS INC SR UNSECURED 01/20 4.45
1/15/2020
4.45%
3,015,697

CISCO SYSTEMS INC SR UNSECURED 02/16 5.5
2/22/2016
5.5%
5,016,611

CISCO SYSTEMS INC SR UNSECURED 02/19 4.95
2/15/2019
4.95%
500,550

CISCO SYSTEMS INC SR UNSECURED 03/14 1.625
3/14/2014
1.63%
2,005,084

CIT EQUIPMENT COLLATERAL CITEC 2013 VT1 A3 144A
7/20/2020
1.13%
1,592,765

CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 1 AF5
2/25/2033
6.71%
438,895

CITIBANK CREDIT CARD ISSUANCE CCCIT 2003 A7 A7
7/7/2017
4.15%
1,030,662

CITIBANK CREDIT CARD ISSUANCE CCCIT 2005 A9 A9
11/20/2017
5.1%
2,436,354

CITIBANK CREDIT CARD ISSUANCE CCCIT 2007 A8 A8
9/20/2019
5.65%
31,073,210

CITIBANK CREDIT CARD ISSUANCE CCCIT 2008 A1 A1
2/7/2020
5.35%
8,984,953

CITIBANK CREDIT CARD ISSUANCE CCCIT 2013 A6 A6
9/7/2018
1.32%
15,258,463

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2005 C3 A3
5/15/2043
4.74%
1,168,814

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2005 C3 A4
5/15/2043
4.86%
4,075,319

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 A4
12/10/2049
5.7%
5,854,740

CITIGROUP INC COMMON STOCK USD.01
 
 
15,117,111

CITIGROUP INC NOTES 10/14 5.5
10/15/2014
5.5%
862,907

CITIGROUP INC SR UNSECURED 01/15 6.01
1/15/2015
6.01%
3,125,432

CITIGROUP INC SR UNSECURED 01/16 1.25
1/15/2016
1.25%
3,486,534

CITIGROUP INC SR UNSECURED 01/17 4.45
1/10/2017
4.45%
428,101

CITIGROUP INC SR UNSECURED 01/22 4.5
1/14/2022
4.5%
386,795

CITIGROUP INC SR UNSECURED 03/15 2.65
3/2/2015
2.65%
3,597,514

CITIGROUP INC SR UNSECURED 03/23 3.375
3/1/2023
3.38%
1,431,476

CITIGROUP INC SR UNSECURED 04/16 1.3
4/1/2016
1.3%
16,221,628

CITIGROUP INC SR UNSECURED 04/16 VAR
4/1/2016
1.04%
7,548,960

CITIGROUP INC SR UNSECURED 05/14 5.125
5/5/2014
5.13%
1,072,445

CITIGROUP INC SR UNSECURED 05/15 4.75
5/19/2015
4.75%
957,549

CITIGROUP INC SR UNSECURED 05/19 8.5
5/22/2019
8.5%
1,166,246

CITIGROUP INC SR UNSECURED 06/16 3.953
6/15/2016
3.95%
2,159,721

CITIGROUP INC SR UNSECURED 07/16 1.7
7/25/2016
1.7%
3,249,329

CITIGROUP INC SR UNSECURED 07/16 VAR
7/25/2016
1.2%
1,313,510

CITIGROUP INC SR UNSECURED 08/14 6.375
8/12/2014
6.38%
1,492,550

CITIGROUP INC SR UNSECURED 08/15 2.25
8/7/2015
2.25%
4,593,501

CITIGROUP INC SR UNSECURED 08/16 5.85
8/2/2016
5.85%
222,561

CITIGROUP INC SR UNSECURED 08/17 6
8/15/2017
6%
3,875,184

CITIGROUP INC SR UNSECURED 08/20 5.375
8/9/2020
5.38%
2,502,812

CITIGROUP INC SR UNSECURED 09/18 2.5
9/26/2018
2.5%
512,574


47
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CITIGROUP INC SR UNSECURED 11/14 VAR
11/5/2014
0.52%
559,783

CITIGROUP INC SR UNSECURED 11/17 6.125
11/21/2017
6.13%
11,383,001

CITIGROUP INC SR UNSECURED 12/15 4.587
12/15/2015
4.59%
6,100,717

CITIGROUP INC SUBORDINATED 02/17 5.5
2/15/2017
5.5%
3,569,945

CITIGROUP INC SUBORDINATED 05/23 3.5
5/15/2023
3.5%
6,364,133

CITIGROUP INC SUBORDINATED 09/14 5
9/15/2014
5%
822,788

CITIGROUP INC SUBORDINATED 09/25 5.5
9/13/2025
5.5%
1,964,291

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1
9/25/2035
2.2%
55,841

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 AR4 1A1A 144A
11/25/2038
2.89%
545,183

CITY NATIONAL CORP COMMON STOCK USD1.
 
 
2,511,274

CLARCOR INC COMMON STOCK USD1.
 
 
2,065,635

CLEAN HARBORS INC COMMON STOCK USD.01
 
 
4,434,042

CLECO CORPORATION COMMON STOCK USD1.
 
 
4,922,606

CLEVELAND ELECTRIC ILLUM SR UNSECURED 04/17 5.7
4/1/2017
5.7%
56,330

CLICKS GROUP LTD COMMON STOCK ZAR.01
 
 
348,147

CLIFFS NATURAL RESOURCES SR UNSECURED 01/18 3.95
1/15/2018
3.95%
2,362,920

CLIFFS NATURAL RESOURCES SR UNSECURED 04/21 4.875
4/1/2021
4.88%
291,760

CLIFFS NATURAL RESOURCES SR UNSECURED 10/20 4.8
10/1/2020
4.8%
824,950

CLP HOLDINGS LTD COMMON STOCK HKD5.
 
 
193,883

CME GROUP INC COMMON STOCK USD.01
 
 
12,051,456

CME GROUP INC SR UNSECURED 02/14 5.75
2/15/2014
5.75%
5,035,345

CME GROUP INC SR UNSECURED 09/22 3
9/15/2022
3%
66,102

CMS ENERGY CORP COMMON STOCK USD.01
 
 
3,581,826

CNA FINANCIAL CORP SR UNSECURED 12/14 5.85
12/15/2014
5.85%
513,219

CNH EQUIPMENT TRUST CNH 2011 A A3
5/16/2016
1.2%
344,438

CNH EQUIPMENT TRUST CNH 2011 B A3
8/15/2016
0.91%
548,231

CNH EQUIPMENT TRUST CNH 2012 A A3
5/15/2017
0.94%
1,180,654

CNH EQUIPMENT TRUST CNH 2012 B A3
9/15/2017
0.86%
626,795

CNH EQUIPMENT TRUST CNH 2012 C A3
12/15/2017
0.57%
1,623,167

CNH EQUIPMENT TRUST CNH 2012 D A3
4/16/2018
0.65%
9,411,523

CNH EQUIPMENT TRUST CNH 2013 A A3
6/15/2018
0.69%
1,728,713

CNH EQUIPMENT TRUST CNH 2013 C A3
8/15/2018
1.02%
873,668

CNO FINANCIAL GROUP INC COMMON STOCK USD.01
 
 
3,749,307

CNOOC FINANCE 2013 LTD COMPANY GUAR 05/16 1.125
5/9/2016
1.13%
498,158

CNOOC LTD COMMON STOCK NPV
 
 
262,224

CNP ASSURANCES COMMON STOCK EUR1.
 
 
608,491

CNP ASSURANCES SUBORDINATED 09/41 VAR
9/30/2041
6.88%
1,235,194

COBALT CMBS COMMERCIAL MORTGAG CWCI 2006 C1 A4
8/15/2048
5.22%
161,849

COBALT CMBS COMMERCIAL MORTGAG CWCI 2007 C2 AMFX
4/15/2047
5.53%
1,757,686

COBIZ FINANCIAL INC COMMON STOCK USD.01
 
 
2,805,637

COCA COLA CO/THE COMMON STOCK USD.25
 
 
9,563,265


48
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
COCA COLA CO/THE SR UNSECURED 03/15 0.75
3/13/2015
0.75%
12,037,980

COCA COLA CO/THE SR UNSECURED 09/16 1.8
9/1/2016
1.8%
6,205,567

COCA COLA CO/THE SR UNSECURED 11/20 3.15
11/15/2020
3.15%
634,037

COCA COLA ENTERPRISES COMMON STOCK USD.01
 
 
1,880,821

COCA COLA ICECEK AS COMMON STOCK TRY1.
 
 
457,645

COCA COLA WEST CO LTD COMMON STOCK
 
 
146,200

COCHLEAR LTD COMMON STOCK NPV
 
 
31,311

COGNIZANT TECH SOLUTIONS A COMMON STOCK USD.01
 
 
14,980,652

COLRUYT SA COMMON STOCK NPV
 
 
441,746

COMCAST CABLE COMMUNICAT COMPANY GUAR 05/17 8.875
5/1/2017
8.88%
1,743,756

COMCAST CORP COMPANY GUAR 01/14 5.3
1/15/2014
5.3%
1,296,901

COMCAST CORP COMPANY GUAR 01/15 6.5
1/15/2015
6.5%
7,650,216

COMCAST CORP COMPANY GUAR 02/18 5.875
2/15/2018
5.88%
2,127,674

COMCAST CORP COMPANY GUAR 03/16 5.9
3/15/2016
5.9%
2,402,046

COMCAST CORP COMPANY GUAR 06/16 4.95
6/15/2016
4.95%
109,193

COMCAST CORP COMPANY GUAR 07/19 5.7
7/1/2019
5.7%
310,901

COMCAST CORP SPECIAL CL A COMMON STOCK USD1.
 
 
5,312,220

COMERICA INC COMMON STOCK USD5.
 
 
5,237,672

COMERICA INC SR UNSECURED 09/15 3
9/16/2015
3%
633,134

COMFORTDELGRO CORP LTD COMMON STOCK NPV
 
 
186,259

COMM MORTGAGE TRUST COMM 2006 C7 A4
6/10/2046
5.75%
10,275,996

COMM MORTGAGE TRUST COMM 2006 C8 A1A
12/10/2046
5.29%
7,251,446

COMM MORTGAGE TRUST COMM 2012 CR3 A3
10/15/2045
2.82%
601,586

COMM MORTGAGE TRUST COMM 2012 FL2 A 144A
9/17/2029
2.29%
1,434,742

COMM MORTGAGE TRUST COMM 2013 CR12 A4
10/10/2046
4.05%
3,210,841

COMM MORTGAGE TRUST COMM 2013 CR12 AM
10/10/2046
4.3%
592,752

COMM MORTGAGE TRUST COMM 2013 CR12 B
10/10/2046
4.76%
259,923

COMM MORTGAGE TRUST COMM 2013 CR12 C
10/10/2046
5.09%
118,437

COMM MORTGAGE TRUST COMM 2013 CR7 A1
3/10/2046
0.72%
3,461,551

COMM MORTGAGE TRUST COMM 2013 CR8 A4
6/10/2046
3.33%
874,521

COMM MORTGAGE TRUST COMM 2013 WWP A2 144A
3/10/2031
3.42%
247,215

COMMERCIAL MORTGAGE ASSET TRUS CMAT 1999 C1 D
1/17/2032
7.35%
367,077

COMMONWEALTH BANK OF AUSTRAL COMMON STOCK NPV
 
 
1,100,992

COMMONWEALTH BK AUSTR NY SR UNSECURED 03/15 1.95
3/16/2015
1.95%
9,851,930

COMMONWEALTH EDISON 1ST MORTGAGE 01/14 1.625
1/15/2014
1.63%
1,000,437

COMMONWEALTH EDISON 1ST MORTGAGE 04/15 4.7
4/15/2015
4.7%
52,515

COMMONWEALTH EDISON 1ST MORTGAGE 09/16 1.95
9/1/2016
1.95%
153,197

COMMONWEALTH REIT SR UNSECURED 01/18 6.65
1/15/2018
6.65%
81,781

COMMONWEALTH REIT SR UNSECURED 06/17 6.25
6/15/2017
6.25%
107,254

COMMUNITY HEALTH SYSTEMS INC COMMON STOCK USD.01
 
 
2,301,536



49
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
COMMVAULT SYSTEMS INC COMMON STOCK USD.01
 
 
2,441,088

COMPASS GROUP PLC COMMON STOCK GBP.1
 
 
7,605,685

COMPUTER SCIENCES CORP COMMON STOCK USD1.
 
 
5,117,490

COMPUTER SCIENCES CORP SR UNSECURED 09/15 2.5
9/15/2015
2.5%
2,104,718

COMPUTERSHARE LTD COMMON STOCK NPV
 
 
40,164

COMUNIDAD DE MADRID SR UNSECURED 09/14 4.2
9/24/2014
4.2%
490,983

CONAGRA FOODS INC SR UNSECURED 01/16 1.3
1/25/2016
1.3%
6,260,831

CONAGRA FOODS INC SR UNSECURED 01/18 1.9
1/25/2018
1.9%
201,241

CONAGRA FOODS INC SR UNSECURED 04/14 5.875
4/15/2014
5.88%
203,088

CONCHO RESOURCES INC COMMON STOCK USD.001
 
 
6,322,320

CONCUR TECHNOLOGIES INC COMMON STOCK USD.001
 
 
857,944

CONMED CORP COMMON STOCK USD.01
 
 
2,570,613

CONNECTICUT ST CTS 07/24 FIXED 5
7/15/2024
5%
364,746

CONOCOPHILLIPS CANADA COMPANY GUAR 10/16 5.625
10/15/2016
5.63%
430,763

CONOCOPHILLIPS COMPANY COMPANY GUAR 12/22 2.4
12/15/2022
2.4%
819,552

CONOCOPHILLIPS COMPANY GUAR 01/15 4.6
1/15/2015
4.6%
6,503,378

CONOCOPHILLIPS COMPANY GUAR 01/20 6
1/15/2020
6%
868,106

CONOCOPHILLIPS COMPANY GUAR 02/14 4.75
2/1/2014
4.75%
180,610

CONOCOPHILLIPS COMPANY GUAR 02/19 5.75
2/1/2019
5.75%
167,442

CONOCOPHILLIPS COMPANY GUAR 02/39 6.5
2/1/2039
6.5%
100,321

CONS EDISON CO OF NY SR UNSECURED 02/14 4.7
2/1/2014
4.7%
300,981

CONS EDISON CO OF NY SR UNSECURED 03/42 4.2
3/15/2042
4.2%
73,257

CONSOLIDATED NATURAL GAS SR UNSECURED 12/14 5
12/1/2014
5%
255,082

CONSTELLATION ENERGY GRO COMPANY GUAR 12/20 5.15
12/1/2020
5.15%
85,128

CONSTELLATION ENERGY GRP COMPANY GUAR 06/15 4.55
6/15/2015
4.55%
5,516,321

CONSTELLATION SOFTWARE INC COMMON STOCK
 
 
571,739

CONSUMERS ENERGY CO 1ST MORTGAGE 04/20 5.65
4/15/2020
5.65%
34,584

CONTINENTAL AG COMMON STOCK NPV
 
 
1,798,674

CONTINENTAL RESOURCES COMPANY GUAR 04/23 4.5
4/15/2023
4.5%
785,656

CONTL AIRLINES 2007 1 PASS THRU CE 10/23 5.983
10/19/2023
5.98%
2,029,346

CONTL AIRLINES 2012 1 A PASS THRU CE 10/25 4.15
10/11/2025
4.15%
323,488

CONTL AIRLINES 2012 2 A PASS THRU CE 04/26 4
4/29/2026
4%
318,400

COOPER US INC COMPANY GUAR 04/15 5.45
4/1/2015
5.45%
9,440,305

COPPER MOUNTAIN MINING CORP COMMON STOCK
 
 
112,896

CORE MARK HOLDING CO INC COMMON STOCK USD.01
 
 
1,958,387

CORELOGIC INC COMMON STOCK USD1.
 
 
3,943,830

CORPORATE EXECUTIVE BOARD CO COMMON STOCK USD.01
 
 
4,878,090

COSCO PACIFIC LTD COMMON STOCK HKD.1
 
 
96,057

COSTAR GROUP INC COMMON STOCK USD.01
 
 
7,140,477

COSTCO WHOLESALE CORP COMMON STOCK USD.005
 
 
10,841,811

COUNTRY GARDEN HOLDINGS CO COMMON STOCK HKD.1
 
 
43,365


50
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A
7/20/2046
0.38%
210,241

COUNTRYWIDE ASSET BACKED CERTI CWL 2001 BC3 A
12/25/2031
0.65%
198,537

COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A1
12/25/2034
0.44%
2,713,777

COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 AF3
10/25/2035
4.46%
269,698

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A
2/25/2037
0.37%
342,923

COUNTRYWIDE HOME LOANS CWHL 2003 56 6A1
12/25/2033
2.77%
370,138

COUNTRYWIDE HOME LOANS CWHL 2004 R2 1AF1 144A
11/25/2034
0.59%
201,154

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1
4/25/2035
2.68%
1,353,224

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A3
4/25/2035
2.71%
167,088

COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2
4/25/2035
0.46%
656,126

COUNTRYWIDE HOME LOANS CWHL 2005 R1 1AF1 144A
3/25/2035
0.53%
1,010,678

COVANCE INC COMMON STOCK USD.01
 
 
2,190,052

COVENTRY HEALTH CARE INC SR UNSECURED 03/17 5.95
3/15/2017
5.95%
180,894

COVENTRY HEALTH CARE INC SR UNSECURED 06/21 5.45
6/15/2021
5.45%
967,984

COVIDIEN INTL FINANCE SA COMPANY GUAR 05/15 1.35
5/29/2015
1.35%
3,724,121

COVIDIEN INTL FINANCE SA COMPANY GUAR 06/23 2.95
6/15/2023
2.95%
180,387

COVIDIEN PLC COMMON STOCK USD.2
 
 
20,577,096

COX COMMUNICATIONS INC SR UNSECURED 12/14 5.45
12/15/2014
5.45%
1,339,755

COX COMMUNICATIONS INC SR UNSECURED 144A 01/19 9.375
1/15/2019
9.38%
81,777

COX COMMUNICATIONS INC SR UNSECURED 144A 12/16 5.875
12/1/2016
5.88%
189,228

CPS AUTO TRUST CPS 2012 C A 144A
12/16/2019
1.82%
1,678,724

CPS AUTO TRUST CPS 2012 D A 144A
3/16/2020
1.48%
556,835

CPS AUTO TRUST CPS 2013 A A 144A
6/15/2020
1.31%
632,825

CPS AUTO TRUST CPS 2013 C A 144A
4/16/2018
1.64%
506,302

CPS AUTO TRUST CPS 2013 D A 144A
7/16/2018
1.54%
1,073,109

CREDICORP LTD COMMON STOCK USD5.
 
 
79,638

CREDIT AG HOME LOAN SFH COVERED 144A 07/14 VAR
7/21/2014
0.99%
200,603

CREDIT AGRICOLE LONDON SR UNSECURED 144A 01/14 2.625
1/21/2014
2.63%
1,271,203

CREDIT AGRICOLE LONDON SR UNSECURED 144A 01/14 VAR
1/21/2014
1.72%
840,569

CREDIT AGRICOLE SA JR SUBORDINA 144A 10/49 VAR
12/31/2049
8.38%
3,348,250

CREDIT BASED ASSET SERVICING A CBASS 2006 CB2 AF4
12/25/2036
3.94%
1,020,539

CREDIT SUISSE GUERNSEY COVERED 144A 05/16 2.6
5/27/2016
2.6%
20,075,165

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C1 AM
2/15/2039
5.46%
758,665

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C2 A1A
3/15/2039
5.67%
19,227,672

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C2 A3
3/15/2039
5.67%
1,570,969

CREDIT SUISSE MORTGAGE TRUST CSMC 2006 C5 AAB
12/15/2039
5.31%
1,552,067

CREDIT SUISSE MORTGAGE TRUST CSMC 2009 RR3 A5A 144A
12/15/2043
5.34%
975,614

CREDIT SUISSE MORTGAGE TRUST CSMC 2010 RR5 2A 144A
12/16/2043
5.34%
2,743,945

CREDIT SUISSE NEW YORK SR UNSECURED 03/15 3.5
3/23/2015
3.5%
14,364,210

CREDIT SUISSE NEW YORK SR UNSECURED 05/14 5.5
5/1/2014
5.5%
904,507

CREDIT SUISSE NEW YORK SR UNSECURED 08/20 4.375
8/5/2020
4.38%
1,293,402


51
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CREDIT SUISSE NEW YORK SUBORDINATED 02/18 6
2/15/2018
6%
1,082,623

CREDIT SUISSE USA INC BANK GUARANT 01/14 5.125
1/15/2014
5.13%
1,001,663

CREDIT SUISSE USA INC BANK GUARANT 08/15 5.125
8/15/2015
5.13%
3,536,316

CREE INC COMMON STOCK USD.00125
 
 
96,991

CRESCENT POINT ENERGY CORP COMMON STOCK NPV
 
 
163,059

CREW ENERGY INC COMMON STOCK
 
 
210,765

CRH AMERICA INC COMPANY GUAR 09/16 6.
9/30/2016
6%
2,429,740

CROWN CASTLE INTL CORP REIT USD.01
 
 
25,487,553

CROWN CASTLE TOWERS LLC SR SECURED 144A 08/35 3.214
8/15/2035
3.21%
519,974

CROWN HOLDINGS INC COMMON STOCK USD5.
 
 
1,530,980

CS FIRST BOSTON COMMERCIAL MOR CSFB 2004 8 6A1
12/25/2019
4.5%
489,321

CS FIRST BOSTON COMMERCIAL MOR CSFB 2004 AR5 7A2
6/25/2034
2.66%
411,058

CS FIRST BOSTON COMMERCIAL MOR CSFB 2005 C2 A4
4/15/2037
4.83%
3,828,714

CSL LTD COMMON STOCK NPV
 
 
87,190

CSN ISLANDS XI CORP COMPANY GUAR 144A 09/19 6.875
9/21/2019
6.88%
72,625

CSN ISLANDS XI CORP COMPANY GUAR REGS 09/19 6.875
9/21/2019
6.88%
41,500

CSN RESOURCES SA COMPANY GUAR 144A 07/20 6.5
7/21/2020
6.5%
343,825

CSN RESOURCES SA COMPANY GUAR REGS 07/20 6.5
7/21/2020
6.5%
212,363

CSR CORP LTD H COMMON STOCK CNY1.
 
 
194,093

CST BRANDS INC COMMON STOCK USD.01
 
 
2,915,568

CSX CORP SR UNSECURED 02/14 5.3
2/15/2014
5.3%
402,170

CSX CORP SR UNSECURED 02/19 7.375
2/1/2019
7.38%
2,335,431

CSX CORP SR UNSECURED 03/18 6.25
3/15/2018
6.25%
1,906,854

CSX CORP SR UNSECURED 04/15 6.25
4/1/2015
6.25%
2,943,596

CSX CORP SR UNSECURED 05/17 5.6
5/1/2017
5.6%
308,732

CSX CORP SR UNSECURED 11/23 3.7
11/1/2023
3.7%
145,110

CTBC FINANCIAL HOLDING CO LT COMMON STOCK TWD10.
 
 
139,975

CTRIP.COM INTERNATIONAL ADR ADR USD.01
 
 
1,384,398

CTS EVENTIM COMMON STOCK NPV
 
 
173,420

CUBIST PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
2,120,507

CUMMINS INC SR UNSECURED 10/23 3.65
10/1/2023
3.65%
458,753

CURTISS WRIGHT CORP COMMON STOCK USD1.
 
 
3,534,975

CVENT INC COMMON STOCK USD.001
 
 
806,512

CVS CAREMARK CORP COMMON STOCK USD.01
 
 
26,212,513

CVS CAREMARK CORP SR UNSECURED 05/15 3.25
5/18/2015
3.25%
191,226

CVS CAREMARK CORP SR UNSECURED 05/21 4.125
5/15/2021
4.13%
285,057

CVS CAREMARK CORP SR UNSECURED 06/17 5.75
6/1/2017
5.75%
660,053

CVS CAREMARK CORP SR UNSECURED 09/14 4.875
9/15/2014
4.88%
205,985

CVS CAREMARK CORP SR UNSECURED 12/16 1.2
12/5/2016
1.2%
4,807,875

CVS CAREMARK CORP SR UNSECURED 12/22 2.75
12/1/2022
2.75%
3,668,818

CVS CAREMARK CORP SR UNSECURED 12/23 4
12/5/2023
4%
1,681,435


52
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
CYBERAGENT INC COMMON STOCK
 
 
4,703,297

DAELIM INDUSTRIAL CO LTD COMMON STOCK KRW5000.
 
 
191,258

DAH CHONG HONG COMMON STOCK NPV
 
 
154,093

DAH SING FINANCIAL HOLDINGS COMMON STOCK NPV
 
 
356,627

DAI NIPPON PRINTING CO LTD COMMON STOCK
 
 
307,921

DAICEL CORP COMMON STOCK
 
 
89,587

DAIHATSU MOTOR CO LTD COMMON STOCK
 
 
77,991

DAIICHI SANKYO CO LTD COMMON STOCK
 
 
3,850,391

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 01/15 VAR
1/9/2015
0.87%
3,260,881

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 01/16 1.25
1/11/2016
1.25%
3,502,471

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 03/14 1.95
3/28/2014
1.95%
5,227,923

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 03/16 3.
3/28/2016
3%
311,440

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 04/15 1.65
4/10/2015
1.65%
201,549

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/15 1.3
7/31/2015
1.3%
2,414,081

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/19 2.25
7/31/2019
2.25%
171,516

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 08/16 VAR
8/1/2016
0.92%
601,234

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 09/14 1.875
9/15/2014
1.88%
3,025,956

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 09/16 2.625
9/15/2016
2.63%
3,143,667

DAITO TRUST CONSTRUCT CO LTD COMMON STOCK
 
 
84,173

DAIWA HOUSE INDUSTRY CO LTD COMMON STOCK
 
 
116,170

DAIWA SECURITIES GROUP INC COMMON STOCK
 
 
179,820

DANA HOLDING CORP COMMON STOCK USD.01
 
 
2,252,278

DANAHER CORP COMMON STOCK USD.01
 
 
6,724,120

DANAHER CORP SR UNSECURED 06/14 1.3
6/23/2014
1.3%
420,909

DANONE COMMON STOCK EUR.25
 
 
6,755,814

DANONE SPONS ADR ADR
 
 
4,272,655

DANSKE BANK A/S COVERED 11/19 4.125
11/26/2019
4.13%
125,981

DARLING INTERNATIONAL INC COMMON STOCK USD.01
 
 
2,461,856

DASSAULT SYSTEMES SA COMMON STOCK EUR1.
 
 
1,486,269

DAUM COMMUNICATIONS CORP COMMON STOCK KRW500.
 
 
600,858

DBRR TRUST DBRR 2011 C32 A3A 144A
6/17/2049
1%
5,308,071

DBRR TRUST DBRR 2013 EZ3 A 144A
12/18/2049
1.64%
1,590,079

DBS GROUP HOLDINGS LTD COMMON STOCK NPV
 
 
3,927,610

DBUBS MORTGAGE TRUST DBUBS 2011 LC2A XA 144A
7/10/2044
1.42%
101,843

DCC PLC COMMON STOCK EUR.25
 
 
349,136

DDR CORP REIT USD.1
 
 
3,310,283

DE LA RUE PLC COMMON STOCK GBP.4486857
 
 
217,832

DE LONGHI SPA COMMON STOCK EUR1.5
 
 
441,619

DE MASTER BLENDERS1753 NV COMMON STOCK EUR.12
 
 
148,887

DECKERS OUTDOOR CORP COMMON STOCK USD.01
 
 
5,428,244

DEERE + COMPANY SR UNSECURED 06/22 2.6
6/8/2022
2.6%
710,650


53
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
DEL CORONADO TRUST DEL 2013 HDC A 144A
3/15/2026
0.97%
844,054

DEL FRISCO S RESTAURANT GROU COMMON STOCK USD.001
 
 
1,285,366

DELHAIZE GROUP COMMON STOCK NPV
 
 
1,119,770

DELHAIZE GROUP COMPANY GUAR 06/17 6.5
6/15/2017
6.5%
993,936

DELPHI AUTOMOTIVE PLC COMMON STOCK USD.01
 
 
6,122,918

DELTA AIR LINES 2007 1 A PASS THRU CE 02/24 6.821
2/10/2024
6.82%
1,061,935

DELTA ELECTRONICS INC COMMON STOCK TWD10.
 
 
3,034,543

DEMANDWARE INC COMMON STOCK USD.01
 
 
3,837,838

DENA CO LTD COMMON STOCK
 
 
233,606

DENBURY RESOURCES INC COMMON STOCK USD.001
 
 
1,981,458

DENSO CORP COMMON STOCK
 
 
6,468,531

DENVER ARENA TR ARENA REVENUE BKD NT 144A
11/15/2019
6.94%
428,997

DEPFA ACS BANK COVERED REGS 01/15 4.375
1/15/2015
4.38%
3,268,837

DETOUR GOLD CORP COMMON STOCK NPV
 
 
48,621

DEUTSCHE BANK AG LONDON SR UNSECURED 01/16 3.25
1/11/2016
3.25%
5,867,303

DEUTSCHE BANK AG LONDON SR UNSECURED 09/17 6
9/1/2017
6%
342,652

DEUTSCHE BK FINL LLC BANK GUARANT 03/15 5.375
3/2/2015
5.38%
418,459

DEUTSCHE BOERSE AG COMMON STOCK NPV
 
 
159,352

DEUTSCHE LUFTHANSA REG COMMON STOCK NPV
 
 
1,307,728

DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 4 7AR2
6/25/2034
0.62%
440,507

DEUTSCHE POST AG REG COMMON STOCK NPV
 
 
1,277,245

DEUTSCHE TELEKOM AG REG COMMON STOCK NPV
 
 
931,313

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 03/16 5.75
3/23/2016
5.75%
548,982

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 07/14 4.875
7/8/2014
4.88%
1,582,933

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 144A 03/17 2.25
3/6/2017
2.25%
152,137

DEUTSCHE WOHNEN AG BR COMMON STOCK NPV
 
 
133,443

DEUTSCHLAND I/L BOND BONDS 04/20 1.75
4/15/2020
1.75%
49,943

DEUTZ AG COMMON STOCK NPV
 
 
484,331

DEVON ENERGY CORPORATION SR UNSECURED 05/17 1.875
5/15/2017
1.88%
453,278

DEVON ENERGY CORPORATION SR UNSECURED 05/22 3.25
5/15/2022
3.25%
667,484

DEVON ENERGY CORPORATION SR UNSECURED 07/16 2.4
7/15/2016
2.4%
359,902

DEVON ENERGY CORPORATION SR UNSECURED 12/16 1.2
12/15/2016
1.2%
2,998,740

DEVON ENERGY CORPORATION SR UNSECURED 12/18 2.25
12/15/2018
2.25%
702,561

DEXCOM INC COMMON STOCK USD.001
 
 
5,089,656

DEXIA CREDIT LOCAL SA NY GOVT LIQUID 144A 04/14 2.75
4/29/2014
2.75%
12,997,137

DEXIA CREDIT LOCAL SA NY GOVT LIQUID 144A 11/16 VAR
11/7/2016
0.62%
1,998,862

DEXUS PROPERTY GROUP REIT NPV
 
 
54,705

DIAGEO CAPITAL PLC COMPANY GUAR 01/14 7.375
1/15/2014
7.38%
1,258,048

DIAGEO CAPITAL PLC COMPANY GUAR 04/16 0.625
4/29/2016
0.63%
3,082,962

DIAGEO CAPITAL PLC COMPANY GUAR 05/17 1.5
5/11/2017
1.5%
131,715

DIAGEO CAPITAL PLC COMPANY GUAR 07/20 4.828
7/15/2020
4.83%
3,632,118


54
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
DIAGEO CAPITAL PLC COMPANY GUAR 09/16 5.5
9/30/2016
5.5%
335,682

DIAGEO CAPITAL PLC COMPANY GUAR 10/17 5.75
10/23/2017
5.75%
171,182

DIAGEO INVESTMENT CORP COMPANY GUAR 05/22 2.875
5/11/2022
2.88%
76,258

DIAGEO PLC COMMON STOCK GBP.2893518
 
 
8,338,849

DIAGEO PLC SPONSORED ADR ADR
 
 
8,142,506

DICK S SPORTING GOODS INC COMMON STOCK USD.01
 
 
2,846,900

DIGITALGLOBE INC COMMON STOCK USD.001
 
 
4,608,800

DIRECTV HOLDINGS/FING COMPANY GUAR 01/18 1.75
1/15/2018
1.75%
426,721

DIRECTV HOLDINGS/FING COMPANY GUAR 02/16 3.125
2/15/2016
3.13%
16,077,687

DIRECTV HOLDINGS/FING COMPANY GUAR 02/21 4.6
2/15/2021
4.6%
103,269

DIRECTV HOLDINGS/FING COMPANY GUAR 03/15 3.55
3/15/2015
3.55%
4,131,864

DIRECTV HOLDINGS/FING COMPANY GUAR 03/16 3.5
3/1/2016
3.5%
3,437,731

DIRECTV HOLDINGS/FING COMPANY GUAR 03/17 2.4
3/15/2017
2.4%
3,471,581

DIRECTV HOLDINGS/FING COMPANY GUAR 03/20 5.2
3/15/2020
5.2%
669,718

DIRECTV HOLDINGS/FING COMPANY GUAR 03/22 3.8
3/15/2022
3.8%
321,813

DIRECTV HOLDINGS/FING COMPANY GUAR 03/41 6.375
3/1/2041
6.38%
51,843

DIRECTV HOLDINGS/FING COMPANY GUAR 10/14 4.75
10/1/2014
4.75%
1,415,908

DIRECTV HOLDINGS/FING COMPANY GUAR 10/19 5.875
10/1/2019
5.88%
101,951

DISCOVER BANK SUBORDINATED 11/19 8.7
11/18/2019
8.7%
460,226

DISCOVER CARD EXECUTION NOTE T DCENT 2012 A1 A1
8/15/2017
0.81%
20,590,817

DISCOVER CARD EXECUTION NOTE T DCENT 2013 A5 A5
4/15/2019
1.04%
18,182,837

DISCOVER FINANCIAL SVS SR UNSECURED 11/22 3.85
11/21/2022
3.85%
1,642,230

DISCOVERY COMMUNICATIONS A COMMON STOCK USD.01
 
 
7,524,572

DISCOVERY COMMUNICATIONS COMPANY GUAR 05/22 3.3
5/15/2022
3.3%
56,808

DISCOVERY COMMUNICATIONS COMPANY GUAR 06/15 3.7
6/1/2015
3.7%
463,045

DISCOVERY COMMUNICATIONS COMPANY GUAR 08/19 5.625
8/15/2019
5.63%
303,168

DISH DBS CORP COMPANY GUAR 10/14 6.625
10/1/2014
6.63%
312,000

DIVERSIFIED REAL ASSET FUND WELLINGTON
 
 
295,066,698

DNB BOLIGKREDITT AS COVERED 144A 03/17 2.9
3/29/2017
2.9%
962,412

DNB BOLIGKREDITT AS COVERED 144A 10/16 2.1
10/14/2016
2.1%
1,452,108

DNB BOLIGKREDITT AS COVERED REGS 10/17 2.5
10/18/2017
2.5%
1,735,104

DOCTOR REDDY S LAB ADR ADR
 
 
16,412

DOLLAR GENERAL CORP COMMON STOCK USD.875
 
 
10,372,024

DOLLARAMA INC COMMON STOCK
 
 
415,106

DOLPHIN ENERGY LTD SR SECURED 144A 06/19 5.888
6/15/2019
5.89%
203,115

DOLPHIN ENERGY LTD SR SECURED REGS 06/19 5.888
6/15/2019
5.89%
101,558

DOMINION DIAMOND CORP COMMON STOCK NPV
 
 
53,132

DOMINION DIAMOND CORP COMMON STOCK NPV
 
 
230,628

DOMINION GAS HLDGS LLC SR UNSECURED 144A 11/16 1.05
11/1/2016
1.05%
2,990,460

DOMINION GAS HLDGS LLC SR UNSECURED 144A 11/23 3.55
11/1/2023
3.55%
216,725

DOMINION RESOURCES INC SR UNSECURED 01/19 8.875
1/15/2019
8.88%
1,810,632


55
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
DOMINION RESOURCES INC SR UNSECURED 03/14 1.8
3/15/2014
1.8%
200,566

DOMINION RESOURCES INC SR UNSECURED 03/21 4.45
3/15/2021
4.45%
84,819

DOMINION RESOURCES INC SR UNSECURED 06/18 6.4
6/15/2018
6.4%
1,212,842

DOMINION RESOURCES INC SR UNSECURED 09/15 2.25
9/1/2015
2.25%
230,583

DOMINION RESOURCES INC SR UNSECURED 09/17 1.4
9/15/2017
1.4%
3,373,146

DONGBU INSURANCE CO LTD COMMON STOCK KRW500.
 
 
111,830

DONGSUNG FINETEC CO LTD COMMON STOCK KRW500.
 
 
277,793

DORMAN PRODUCTS INC COMMON STOCK USD.01
 
 
1,309,347

DOW CHEMICAL CO/THE SR UNSECURED 05/19 8.55
5/15/2019
8.55%
710,157

DOW CHEMICAL CO/THE SR UNSECURED 11/20 4.25
11/15/2020
4.25%
1,203,609

DOW CHEMICAL CO/THE SR UNSECURED 11/22 3.
11/15/2022
3%
876,682

DR PEPPER SNAPPLE GROUP COMPANY GUAR 01/16 2.9
1/15/2016
2.9%
404,761

DR PEPPER SNAPPLE GROUP COMPANY GUAR 01/20 2.
1/15/2020
2%
23,556

DR PEPPER SNAPPLE GROUP INC COMMON STOCK USD.01
 
 
2,378,998

DRYROCK ISSUANCE TRUST DROCK 2012 2 A
8/15/2018
0.64%
5,299,663

DT AUTO OWNER TRUST DTAOT 2012 2A A 144A
11/16/2015
2.25%
9,014

DTE ENERGY COMPANY SR UNSECURED 05/14 7.625
5/15/2014
7.63%
92,283

DTE ENERGY COMPANY SR UNSECURED 06/16 6.35
6/1/2016
6.35%
335,504

DUFRY AG REG COMMON STOCK CHF5.
 
 
739,551

DUKE ENERGY CAROLINAS 1ST MORTGAGE 06/20 4.3
6/15/2020
4.3%
107,233

DUKE ENERGY CORP COMMON STOCK USD.001
 
 
1,710,068

DUKE ENERGY CORP SR UNSECURED 08/17 1.625
8/15/2017
1.63%
4,657,378

DUKE ENERGY CORP SR UNSECURED 09/14 3.95
9/15/2014
3.95%
11,189,445

DUKE ENERGY CORP SR UNSECURED 09/19 5.05
9/15/2019
5.05%
88,813

DUKE ENERGY CORP SR UNSECURED 11/16 2.15
11/15/2016
2.15%
81,988

DUKE ENERGY INDIANA INC 1ST MORTGAGE 07/20 3.75
7/15/2020
3.75%
715,269

DUKE ENERGY PROGRESS INC 1ST MORTGAGE 04/15 5.15
4/1/2015
5.15%
475,669

DUKE REALTY LP COMPANY GUAR 03/16 5.5
3/1/2016
5.5%
432,869

DUNKIN BRANDS GROUP INC COMMON STOCK USD.001
 
 
7,985,969

E.I. DU PONT DE NEMOURS SR UNSECURED 01/20 4.625
1/15/2020
4.63%
998,827

E.I. DU PONT DE NEMOURS SR UNSECURED 02/23 2.8
2/15/2023
2.8%
480,818

E.I. DU PONT DE NEMOURS SR UNSECURED 04/16 2.75
4/1/2016
2.75%
119,861

E.I. DU PONT DE NEMOURS SR UNSECURED 07/18 6.
7/15/2018
6%
232,186

E.I. DU PONT DE NEMOURS SR UNSECURED 12/16 5.25
12/15/2016
5.25%
415,085

EAGLE BANCORP INC COMMON STOCK USD.01
 
 
2,819,645

EARTHLINK INC COMMON STOCK USD.01
 
 
1,891,896

EAST JAPAN RAILWAY CO COMMON STOCK
 
 
605,946

EAST WEST BANCORP INC COMMON STOCK USD.001
 
 
7,378,740

EASTERN POWER NETWORKS SR UNSECURED 03/24 5.75
3/8/2024
5.75%
1,302,566

EASTGROUP PROPERTIES INC REIT NPV
 
 
2,445,515

EASYJET PLC COMMON STOCK GBP.2728571
 
 
1,811,429


56
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
EATON CORP COMPANY GUAR 11/15 0.95
11/2/2015
0.95%
150,561

EATON CORP COMPANY GUAR 11/17 1.5
11/2/2017
1.5%
1,480,301

EATON CORP COMPANY GUAR 11/22 2.75
11/2/2022
2.75%
3,432,917

EATON CORP PLC COMMON STOCK USD.01
 
 
4,805,456

EBAY INC COMMON STOCK USD.001
 
 
37,192,425

EBAY INC SR UNSECURED 07/15 0.7
7/15/2015
0.7%
8,021,496

EBAY INC SR UNSECURED 07/17 1.35
7/15/2017
1.35%
452,408

EBAY INC SR UNSECURED 07/42 4.
7/15/2042
4%
63,514

EBAY INC SR UNSECURED 10/15 1.625
10/15/2015
1.63%
611,711

ECHO ENTERTAINMENT GROUP LTD COMMON STOCK
 
 
125,248

ECOLAB INC SR UNSECURED 08/15 1.
8/9/2015
1%
2,075,437

ECOLAB INC SR UNSECURED 12/14 2.375
12/8/2014
2.38%
1,548,878

ECOLAB INC SR UNSECURED 12/16 3.
12/8/2016
3%
754,348

ECOLAB INC SR UNSECURED 12/21 4.35
12/8/2021
4.35%
1,467,259

ECOPETROL SA SR UNSECURED 09/23 5.875
9/18/2023
5.88%
2,004,500

EDC FINANCE LTD COMPANY GUAR 144A 04/20 4.875
4/17/2020
4.88%
1,456,875

EDF COMMON STOCK EUR.5
 
 
1,242,989

EDUCATION REALTY TRUST INC REIT USD.01
 
 
2,185,605

EFS VOLUNTEER NO 3 LLC EFSV3 2012 1 A3 144A
4/25/2033
1.18%
4,281,171

EFSF GOVT GUARANT REGS 01/20 1.5
1/22/2020
1.5%
2,187,130

EFSF GOVT GUARANT REGS 07/21 3.375
7/5/2021
3.38%
4,559,990

EISAI CO LTD COMMON STOCK
 
 
3,135,585

EL PASO PIPELINE PART OP COMPANY GUAR 04/20 6.5
4/1/2020
6.5%
396,205

ELI LILLY + CO COMMON STOCK NPV
 
 
12,945,075

ELLIE MAE INC COMMON STOCK USD.0001
 
 
2,462,367

ELRINGKLINGER AG COMMON STOCK NPV
 
 
321,893

EMC CORP/MA COMMON STOCK USD.01
 
 
15,034,560

EMC CORP/MA SR UNSECURED 06/18 1.875
6/1/2018
1.88%
1,374,210

EMCOR GROUP INC COMMON STOCK USD.01
 
 
3,290,416

EMERSON ELECTRIC CO SR UNSECURED 12/14 5.
12/15/2014
5%
166,918

EMPIRE CO LTD A COMMON STOCK
 
 
375,708

EMPRESA NACIONAL DE TELECOM COMMON STOCK NPV
 
 
259,157

EMS CHEMIE HOLDING AG REG COMMON STOCK CHF.01
 
 
87,684

ENAGAS SA COMMON STOCK EUR1.5
 
 
382,431

ENCANA CORP COMMON STOCK NPV
 
 
5,635,210

ENCANA CORP COMMON STOCK NPV
 
 
265,361

ENCANA HLDINGS FIN CORP COMPANY GUAR 05/14 5.8
5/1/2014
5.8%
8,036,433

ENERGYO SOLUTIONS RUSSIA AB EOS RUSSIA
 
 
28,309

ENERPLUS CORP COMMON STOCK NPV
 
 
575,821

ENERSIS S.A. SPONS ADR ADR NPV
 
 
86,942

ENERSYS COMMON STOCK USD.01
 
 
4,479,452


57
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
ENSCO PLC SR UNSECURED 03/21 4.7
3/15/2021
4.7%
42,310

ENTERGY ARKANSAS INC 1ST MORTGAGE 06/23 3.05
6/1/2023
3.05%
31,701

ENTERGY CORP SR UNSECURED 09/15 3.625
9/15/2015
3.63%
211,463

ENTERGY CORP SR UNSECURED 09/20 5.125
9/15/2020
5.13%
818,488

ENTERGY LOUISIANA LLC 1ST MORTGAGE 12/14 1.875
12/15/2014
1.88%
3,078,466

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/14 9.75
1/31/2014
9.75%
4,954,415

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/19 6.5
1/31/2019
6.5%
1,109,707

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/16 3.2
2/1/2016
3.2%
521,566

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/43 4.45
2/15/2043
4.45%
529,990

ENTERPRISE PRODUCTS OPER COMPANY GUAR 03/23 3.35
3/15/2023
3.35%
1,700,342

ENTERPRISE PRODUCTS OPER COMPANY GUAR 06/15 3.7
6/1/2015
3.7%
312,338

ENTERPRISE PRODUCTS OPER COMPANY GUAR 08/15 1.25
8/13/2015
1.25%
2,592,108

ENTERPRISE PRODUCTS OPER COMPANY GUAR 09/17 6.3
9/15/2017
6.3%
299,309

ENVESTNET INC COMMON STOCK
 
 
2,064,972

ENVISION HEALTHCARE HOLDINGS COMMON STOCK USD.01
 
 
2,099,516

EOG RESOURCES CANADA COMPANY GUAR 144A 03/14 4.75
3/15/2014
4.75%
317,900

EOG RESOURCES INC COMMON STOCK USD.01
 
 
33,944,801

EOG RESOURCES INC SR UNSECURED 02/16 2.5
2/1/2016
2.5%
237,295

EOG RESOURCES INC SR UNSECURED 02/21 4.1
2/1/2021
4.1%
579,750

EOG RESOURCES INC SR UNSECURED 03/23 2.625
3/15/2023
2.63%
81,879

EPISTAR CORP COMMON STOCK TWD10.
 
 
63,556

EPL OIL + GAS INC COMMON STOCK USD.001
 
 
3,642,585

EQT CORP COMMON STOCK NPV
 
 
3,079,454

EQUIFAX INC COMMON STOCK USD1.25
 
 
2,384,473

ERAC USA FINANCE LLC COMPANY GUAR 144A 04/16 1.4
4/15/2016
1.4%
720,569

ERAC USA FINANCE LLC COMPANY GUAR 144A 06/34 6.7
6/1/2034
6.7%
94,351

ERICSSON LM B SHS COMMON STOCK NPV
 
 
603,606

ERP OPERATING LP SR UNSECURED 06/17 5.75
6/15/2017
5.75%
196,487

ERP OPERATING LP SR UNSECURED 09/14 5.25
9/15/2014
5.25%
190,887

ERP OPERATING LP SR UNSECURED 12/21 4.625
12/15/2021
4.63%
105,426

ERSTE ABWICKLUNGSANSTALT LOCAL GOVT G 03/16 3.125
3/29/2016
3.13%
291,220

ESSENT GROUP LTD COMMON STOCK USD.015
 
 
2,961,209

ESSILOR INTERNATIONAL COMMON STOCK EUR.18
 
 
2,778,483

ESTEE LAUDER COMPANIES CL A COMMON STOCK USD.01
 
 
5,301,172

EULER HERMES SA COMMON STOCK EUR.32
 
 
372,418

EUROCASH SA COMMON STOCK PLN1.
 
 
123,957

EUROCOMMERCIAL PROPERTIE CV DUTCH CERT EUR5.0
 
 
430,210

EUROCREDIT CDO EUROC III X A1 REGS
10/20/2016
0.82%
366,626

EUROPEAN INVESTMENT BANK SR UNSECURED 04/20 4.625
4/15/2020
4.63%
3,252,969

EUROPEAN INVESTMENT BANK SR UNSECURED REGS 01/21 3.625
1/15/2021
3.63%
2,160,679

EVEREST RE GROUP LTD COMMON STOCK USD.01
 
 
4,909,905


58
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
EVERGRANDE REAL ESTATE GROUP COMMON STOCK USD.01
 
 
38,807

EXAMWORKS GROUP INC COMMON STOCK
 
 
3,823,181

EXEDY CORP COMMON STOCK
 
 
614,386

EXELIXIS INC COMMON STOCK USD.001
 
 
2,743,022

EXELON CORP COMMON STOCK NPV
 
 
9,445,442

EXELON GENERATION CO LLC SR UNSECURED 01/14 5.35
1/15/2014
5.35%
4,194,621

EXELON GENERATION CO LLC SR UNSECURED 10/41 5.75
10/1/2041
5.75%
28,736

EXETER AUTOMOBILE RECEIVABLES EART 2013 1A A 144A
10/16/2017
1.29%
181,766

EXETER AUTOMOBILE RECEIVABLES EART 2013 2A A 144A
11/15/2017
1.49%
859,603

EXONE CO/THE COMMON STOCK USD.01
 
 
1,811,986

EXPORT IMPORT BK KOREA SR UNSECURED 01/21 4.
1/29/2021
4%
410,261

EXPORT IMPORT BK KOREA SR UNSECURED 06/20 5.125
6/29/2020
5.13%
32,962

EXPORT IMPORT BK KOREA SR UNSECURED 09/16 VAR
9/17/2016
1.1%
1,503,975

EXPRESS INC COMMON STOCK
 
 
1,830,967

EXPRESS SCRIPTS HOLDING CO COMMON STOCK USD.01
 
 
15,088,254

EXPRESS SCRIPTS HOLDING COMPANY GUAR 02/15 2.1
2/12/2015
2.1%
507,247

EXPRESS SCRIPTS HOLDING COMPANY GUAR 02/17 2.65
2/15/2017
2.65%
309,203

EXPRESS SCRIPTS HOLDING COMPANY GUAR 11/16 3.5
11/15/2016
3.5%
6,227,002

EXTENDED STAY AMERICA TRUST ESA 2013 ESH7 A27 144A
12/5/2031
2.96%
553,125

EXTERRAN HOLDINGS INC COMMON STOCK USD.01
 
 
2,127,411

EXXON MOBIL CORP COMMON STOCK NPV
 
 
37,320,536

F5 NETWORKS INC COMMON STOCK NPV
 
 
2,405,394

FACEBOOK INC A COMMON STOCK USD.000006
 
 
65,528,491

FANNIE DISCOUNT NOTE DISCOUNT NOT 01/14 0.00000
1/2/2014
0.01%
2,100,000

FANNIE MAE FNR 1994 15 ZK
2/25/2024
5.5%
1,083,517

FANNIE MAE FNR 1994 29 Z
2/25/2024
6.5%
123,824

FANNIE MAE FNR 1994 43 PK
2/25/2024
6.35%
955,127

FANNIE MAE FNR 1997 89 ZA
12/20/2027
7%
421,888

FANNIE MAE FNR 1999 6 PB
3/25/2019
6%
292,685

FANNIE MAE FNR 2001 81 HE
1/25/2032
6.5%
1,369,052

FANNIE MAE FNR 2002 11 QC
3/25/2017
5.5%
63,211

FANNIE MAE FNR 2002 86 PG
12/25/2032
6%
402,907

FANNIE MAE FNR 2003 21 OU
3/25/2033
5.5%
219,984

FANNIE MAE FNR 2003 49 YD
6/25/2023
5.5%
174,637

FANNIE MAE FNR 2003 89 DC
12/25/2032
5%
317,133

FANNIE MAE FNR 2003 92 PE
9/25/2018
4.5%
691,512

FANNIE MAE FNR 2004 38 FK
5/25/2034
0.52%
694,831

FANNIE MAE FNR 2004 80 WB
11/25/2019
4%
1,174,725

FANNIE MAE FNR 2005 12 JE
9/25/2033
5%
693,036

FANNIE MAE FNR 2005 44 PE
7/25/2033
5%
587,134

FANNIE MAE FNR 2005 64 EA
6/25/2032
5.25%
314,292


59
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FANNIE MAE FNR 2005 70 NA
8/25/2035
5.5%
123,803

FANNIE MAE FNR 2005 87 PE
12/25/2033
5%
1,476,828

FANNIE MAE FNR 2006 9 KZ
3/25/2036
6%
691,216

FANNIE MAE FNR 2007 100 YF
10/25/2037
0.71%
1,592,823

FANNIE MAE FNR 2007 106 A7
10/25/2037
5.98%
122,432

FANNIE MAE FNR 2007 59 AQ
7/25/2035
5.75%
273,002

FANNIE MAE FNR 2007 73 A1
7/25/2037
0.23%
1,215,325

FANNIE MAE FNR 2007 95 A1
8/27/2036
0.42%
527,133

FANNIE MAE FNR 2008 25 EF
4/25/2038
1.12%
7,163,576

FANNIE MAE FNR 2008 80 ME
5/25/2032
5%
113,994

FANNIE MAE FNR 2009 29 LA
5/25/2039
2.4%
1,809,983

FANNIE MAE FNR 2009 62 HJ
5/25/2039
6%
1,183,269

FANNIE MAE FNR 2009 87 NF
11/25/2039
0.91%
2,174,643

FANNIE MAE FNR 2010 110 AE
11/25/2018
9.75%
1,536,038

FANNIE MAE FNR 2010 111 AE
4/25/2038
5.5%
1,324,324

FANNIE MAE FNR 2010 19 VA
2/25/2021
5%
2,152,592

FANNIE MAE FNR 2010 54 FT
4/25/2037
0.92%
5,339,938

FANNIE MAE FNR 2010 64 DM
6/25/2040
5%
1,154,164

FANNIE MAE FNR 2010 64 EH
10/25/2035
5%
287,383

FANNIE MAE FNR 2011 15 AB
8/25/2019
9.75%
533,925

FANNIE MAE FNR 2011 59 NZ
7/25/2041
5.5%
2,932,626

FANNIE MAE FNR 2012 132 US
12/25/2042
11.73%
14,247

FANNIE MAE FNR 2012 17 FG
3/25/2042
0.66%
8,878,344

FANNIE MAE FNR 2012 28 B
6/25/2039
6.5%
684,112

FANNIE MAE FNR 2013 13 IK
3/25/2028
2.5%
162,274

FANNIE MAE FNR 2013 83 CA
10/25/2037
3.5%
2,928,149

FANNIE MAE FNR 2013 9 BC
7/25/2042
6.5%
7,804,146

FANNIE MAE FNR 2013 9 CB
4/25/2042
5.5%
11,405,819

FANNIE MAE FNR 2013 96 YA
9/25/2038
3.5%
542,195

FANNIE MAE NOTES 01/16 0.5
1/15/2016
0.5%
6,193,626

FANNIE MAE NOTES 01/17 1.25
1/30/2017
1.25%
5,060,165

FANNIE MAE NOTES 03/14 2.75
3/13/2014
2.75%
7,538,730

FANNIE MAE NOTES 03/16 0.5
3/30/2016
0.5%
9,989,250

FANNIE MAE NOTES 03/16 2
3/8/2016
2%
1,031,942

FANNIE MAE NOTES 03/16 2.25
3/15/2016
2.25%
10,370,900

FANNIE MAE NOTES 03/16 5
3/15/2016
5%
730,880

FANNIE MAE NOTES 04/15 5.
4/15/2015
5%
9,545,418

FANNIE MAE NOTES 04/16 2.375
4/11/2016
2.38%
3,166,652

FANNIE MAE NOTES 05/15 0.5
5/27/2015
0.5%
22,459,360

FANNIE MAE NOTES 05/16 0.52
5/27/2016
0.52%
5,834,556

FANNIE MAE NOTES 05/18 0.875
5/21/2018
0.88%
860,908


60
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FANNIE MAE NOTES 06/17 5.375
6/12/2017
5.38%
634,650

FANNIE MAE NOTES 07/15 2.375
7/28/2015
2.38%
2,063,212

FANNIE MAE NOTES 07/16 0.375
7/5/2016
0.38%
25,227,925

FANNIE MAE NOTES 08/16 0.625
8/26/2016
0.63%
9,049,988

FANNIE MAE NOTES 08/18 1.25
8/22/2018
1.25%
4,846,345

FANNIE MAE NOTES 09/15 0.5
9/28/2015
0.5%
11,360,038

FANNIE MAE NOTES 09/16 1.25
9/28/2016
1.25%
4,564,251

FANNIE MAE NOTES 09/18 1.875
9/18/2018
1.88%
4,071,628

FANNIE MAE NOTES 10/15 1.625
10/26/2015
1.63%
10,116,325

FANNIE MAE NOTES 10/15 4.375
10/15/2015
4.38%
1,868,023

FANNIE MAE NOTES 10/17 0.875
10/26/2017
0.88%
2,963,715

FANNIE MAE NOTES 11/16 1.375
11/15/2016
1.38%
8,134,240

FANNIE MAE NOTES 11/18 1.625
11/27/2018
1.63%
11,012,362

FANNIE MAE NOTES 12/15 0.375
12/21/2015
0.38%
4,393,268

FANNIE MAE SUBORDINATED 10/19 0.00000
10/9/2019
0.01%
21,639,906

FANNIEMAE ACES FNA 2011 M2 A1
4/25/2021
2.02%
785,915

FANNIEMAE ACES FNA 2012 M8 ASQ1
12/25/2019
1.17%
1,618,320

FANNIEMAE ACES FNA 2012 M8 ASQ2
12/25/2019
1.52%
307,063

FANNIEMAE ACES FNA 2012 M8 ASQ3
12/25/2019
1.8%
333,614

FANNIEMAE ACES FNA 2013 M7 A2
12/27/2022
2.28%
308,529

FANNIEMAE STRIP FNS 404 F13
5/25/2040
0.76%
1,186,532

FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1
12/25/2042
5.98%
233,050

FANNIEMAE WHOLE LOAN FNW 2003 W15 1A
7/25/2043
6.5%
205,282

FANNIEMAE WHOLE LOAN FNW 2004 W1 1A7
11/25/2043
5.68%
472,172

FANNIEMAE WHOLE LOAN FNW 2004 W1 2A1
12/25/2043
6.5%
257,721

FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2
2/25/2044
7%
109,068

FANNIEMAE WHOLE LOAN FNW 2009 W1 A
12/25/2049
6%
286,949

FANUC CORP COMMON STOCK
 
 
3,388,278

FAR EASTERN DEPARTMENT STORE COMMON STOCK TWD10.
 
 
138,574

FAR EASTERN NEW CENTURY CORP COMMON STOCK TWD10.
 
 
94,185

FAR EASTONE TELECOMM CO LTD COMMON STOCK TWD10.
 
 
191,202

FARMER MAC GTD TR 07 1 SECURED 144A 04/17 5.125
4/19/2017
5.13%
8,152,520

FDIC STRUCTURED SALE GUARANTEE SSGN 2010 S1 1A 144A
2/25/2048
0.72%
2,115,614

FED FARM CRD DISCOUNT NT DISCOUNT NOT 01/14 0.00000
1/7/2014
0.01%
4,999,985

FED HM LN PC POOL 1B1580
3/1/2034
2.8%
365,739

FED HM LN PC POOL 1B8062
3/1/2041
3.14%
694,892

FED HM LN PC POOL 1G1381
12/1/2036
2.86%
115,670

FED HM LN PC POOL 1G2201
9/1/2037
6.03%
5,967

FED HM LN PC POOL 1G2511
5/1/2036
2.77%
1,055,222

FED HM LN PC POOL 1J1467
12/1/2036
2.37%
328,420



61
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FED HM LN PC POOL 1J1492
11/1/2036
2.37%
280,107

FED HM LN PC POOL 2B0646
7/1/2042
2.03%
1,468,851

FED HM LN PC POOL 360077
8/1/2019
9%
577

FED HM LN PC POOL 410792
2/1/2030
2.39%
36,367

FED HM LN PC POOL 538275
12/1/2019
9%
950

FED HM LN PC POOL 540880
10/1/2019
9%
5,068

FED HM LN PC POOL 547356
3/1/2020
9%
200

FED HM LN PC POOL 549820
9/1/2020
9%
2,201

FED HM LN PC POOL 555152 555152
7/1/2020
9%
198

FED HM LN PC POOL 555248
1/1/2020
8.5%
5,059

FED HM LN PC POOL 555294
10/1/2017
9%
563

FED HM LN PC POOL 555330
10/1/2019
10%
7,675

FED HM LN PC POOL 846004
12/1/2024
2.58%
21,118

FED HM LN PC POOL 846313
2/1/2026
2.43%
1,640

FED HM LN PC POOL 846661
2/1/2029
2.3%
2,615

FED HM LN PC POOL 847153
5/1/2033
2.39%
404,377

FED HM LN PC POOL A00936
1/1/2019
9%
269

FED HM LN PC POOL A01672
9/1/2019
9.5%
5,903

FED HM LN PC POOL A17092
12/1/2033
6%
167,385

FED HM LN PC POOL A39803
11/1/2035
5.5%
1,024,217

FED HM LN PC POOL A47038
9/1/2035
5%
456,440

FED HM LN PC POOL A53630
10/1/2036
6%
307,496

FED HM LN PC POOL A62077
6/1/2037
6%
268,150

FED HM LN PC POOL A62378
6/1/2037
6%
295,684

FED HM LN PC POOL A63809
8/1/2037
6%
255,615

FED HM LN PC POOL A69654
12/1/2037
6%
106,663

FED HM LN PC POOL A71410
1/1/2038
6%
2,827

FED HM LN PC POOL A75218
4/1/2038
6%
173,251

FED HM LN PC POOL A85726
4/1/2039
5%
459,291

FED HM LN PC POOL A87307
7/1/2039
4.5%
67,990

FED HM LN PC POOL A88872
10/1/2033
4.5%
31,266

FED HM LN PC POOL A90222
12/1/2039
4.5%
3,467,181

FED HM LN PC POOL A90826
1/1/2040
4.5%
1,058,790

FED HM LN PC POOL A91235
2/1/2040
4.5%
616,521

FED HM LN PC POOL A93318
8/1/2040
5%
1,980,196

FED HM LN PC POOL A93625
8/1/2040
5%
1,163,815

FED HM LN PC POOL A93652
9/1/2040
5%
378,400

FED HM LN PC POOL A93713
9/1/2040
5%
1,304,666

FED HM LN PC POOL A94069
9/1/2040
5%
773,483

FED HM LN PC POOL A94113
10/1/2040
5%
1,093,408

FED HM LN PC POOL A94132
9/1/2040
5%
76,820


62
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FED HM LN PC POOL A94898
11/1/2040
4.5%
717,777

FED HM LN PC POOL A95519
12/1/2040
4.5%
366,207

FED HM LN PC POOL A95831
12/1/2040
4.5%
2,607,468

FED HM LN PC POOL A97040
2/1/2041
4%
602,020

FED HM LN PC POOL A97479
3/1/2041
4.5%
137,425

FED HM LN PC POOL A97673
3/1/2041
4.5%
60,980

FED HM LN PC POOL C00098
2/1/2022
8%
10,853

FED HM LN PC POOL C00371
9/1/2024
7%
2,428

FED HM LN PC POOL C00516
5/1/2027
8%
12,295

FED HM LN PC POOL C00522
5/1/2027
7%
15,871

FED HM LN PC POOL C00632
7/1/2028
7%
14,531

FED HM LN PC POOL C00636
7/1/2028
7.5%
30,333

FED HM LN PC POOL C00650
9/1/2028
7%
10,193

FED HM LN PC POOL C00984
5/1/2030
8%
3,049

FED HM LN PC POOL C00987
5/1/2030
7.5%
3,136

FED HM LN PC POOL C01116
1/1/2031
7.5%
84,864

FED HM LN PC POOL C03478
6/1/2040
4.5%
107,375

FED HM LN PC POOL C03517
9/1/2040
4.5%
867,264

FED HM LN PC POOL C03520
9/1/2040
4%
4,814,330

FED HM LN PC POOL C03545
8/1/2040
5%
1,405,393

FED HM LN PC POOL C03701
9/1/2041
4.5%
732,104

FED HM LN PC POOL C03744
2/1/2042
4%
34,882,511

FED HM LN PC POOL C03792
4/1/2042
3.5%
2,884,833

FED HM LN PC POOL C04272
10/1/2042
3%
2,789,389

FED HM LN PC POOL C04422
12/1/2042
3%
1,150,414

FED HM LN PC POOL C09022
1/1/2043
3%
5,393,093

FED HM LN PC POOL C10542
6/1/2028
7%
12,716

FED HM LN PC POOL C12585
7/1/2028
7%
1,067

FED HM LN PC POOL C14084
8/1/2028
7%
27,975

FED HM LN PC POOL C26742
5/1/2029
6%
873

FED HM LN PC POOL C80373
1/1/2026
7.5%
850

FED HM LN PC POOL C80379
2/1/2026
7%
18,151

FED HM LN PC POOL C80407
6/1/2026
7%
2,737

FED HM LN PC POOL C90148
9/1/2016
7.5%
2,931

FED HM LN PC POOL C91028
2/1/2027
5%
53,283

FED HM LN PC POOL C91161
2/1/2028
5%
56,821

FED HM LN PC POOL D64290
10/1/2025
7%
17,651


63
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FED HM LN PC POOL D64990
3/1/2025
8.5%
5,024

FED HM LN PC POOL D67104
1/1/2026
7.5%
92,297

FED HM LN PC POOL D70703
4/1/2026
7%
21,142

FED HM LN PC POOL D71569
5/1/2026
7.5%
738

FED HM LN PC POOL D74278
8/1/2026
8%
1,421

FED HM LN PC POOL D75342
10/1/2026
8%
901

FED HM LN PC POOL D75558
10/1/2026
8%
1,424

FED HM LN PC POOL D75787
11/1/2026
8%
7,252

FED HM LN PC POOL D77162
1/1/2027
7.5%
7,230

FED HM LN PC POOL D77163
1/1/2027
7.5%
7,158

FED HM LN PC POOL D77260
1/1/2027
7.5%
5,800

FED HM LN PC POOL D77475
1/1/2027
7%
5,249

FED HM LN PC POOL D77487
1/1/2027
7.5%
2,236

FED HM LN PC POOL D77490
1/1/2027
7.5%
874

FED HM LN PC POOL D77541
1/1/2027
7.5%
10,465

FED HM LN PC POOL D77687
2/1/2027
7.5%
64,382

FED HM LN PC POOL D80165
5/1/2027
7%
19,462

FED HM LN PC POOL D80177
5/1/2027
7%
22,476

FED HM LN PC POOL D91280
4/1/2016
7.5%
13,124

FED HM LN PC POOL D93618
7/1/2019
6.5%
29,466

FED HM LN PC POOL D98914
1/1/2032
4%
234,683

FED HM LN PC POOL E00619
1/1/2014
6.5%
27

FED HM LN PC POOL E00626
2/1/2014
6.5%
119

FED HM LN PC POOL E00634
3/1/2014
6%
1,886

FED HM LN PC POOL E00659
4/1/2014
6%
524

FED HM LN PC POOL E00956
3/1/2016
6%
1,090

FED HM LN PC POOL E01007
8/1/2016
6%
780

FED HM LN PC POOL E01095
1/1/2017
6%
364

FED HM LN PC POOL E01495
9/1/2018
6%
7,556

FED HM LN PC POOL E04113
11/1/2027
2.5%
2,234,306

FED HM LN PC POOL E75480
3/1/2014
6%
1,033

FED HM LN PC POOL E75521
3/1/2014
6%
1,196

FED HM LN PC POOL E75946
4/1/2014
6%
10,761

FED HM LN PC POOL E77556
6/1/2014
6%
1,268

FED HM LN PC POOL E77592
7/1/2014
6%
82

FED HM LN PC POOL E83637
5/1/2016
6%
3,423

FED HM LN PC POOL E83638
5/1/2016
6%
414

FED HM LN PC POOL E83641
5/1/2016
6%
428

FED HM LN PC POOL E83651
5/1/2016
6%
3,761

FED HM LN PC POOL E84225
6/1/2016
6%
19,206

FED HM LN PC POOL E84260
7/1/2016
6%
18,748


64
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FED HM LN PC POOL E84467
7/1/2016
6%
220

FED HM LN PC POOL E84885
8/1/2016
6%
1,828

FED HM LN PC POOL E85131
9/1/2016
6%
350

FED HM LN PC POOL E85346
9/1/2016
6%
5,973

FED HM LN PC POOL E86208
11/1/2016
6%
2,348

FED HM LN PC POOL E87156
1/1/2017
6%
6,689

FED HM LN PC POOL E87634
1/1/2017
6%
58,501

FED HM LN PC POOL E87908
2/1/2017
6%
2,529

FED HM LN PC POOL E87940
2/1/2017
6%
542

FED HM LN PC POOL E88001
2/1/2017
6%
281,277

FED HM LN PC POOL E88056
2/1/2017
6%
2,102

FED HM LN PC POOL E88063
2/1/2017
6%
5,585

FED HM LN PC POOL E88123
2/1/2017
6%
14,530

FED HM LN PC POOL E88197
2/1/2017
6%
420

FED HM LN PC POOL E88282
3/1/2017
6%
14,740

FED HM LN PC POOL E88283
3/1/2017
6%
592

FED HM LN PC POOL E88474
3/1/2017
6%
6,004

FED HM LN PC POOL E88603
4/1/2017
6%
4,517

FED HM LN PC POOL E88729
4/1/2017
6%
12,019

FED HM LN PC POOL E88749
3/1/2017
6%
3,109

FED HM LN PC POOL E88750
3/1/2017
6%
1,113

FED HM LN PC POOL E88765
3/1/2017
6%
3,471

FED HM LN PC POOL E88776
3/1/2017
6%
2,464

FED HM LN PC POOL E88791
3/1/2017
6%
1,863

FED HM LN PC POOL E88809
4/1/2017
6%
17,600

FED HM LN PC POOL E88884
4/1/2017
6%
9,716

FED HM LN PC POOL E89041
4/1/2017
6%
1,164

FED HM LN PC POOL E89080
4/1/2017
6%
7,816

FED HM LN PC POOL E89092
4/1/2017
6%
1,642

FED HM LN PC POOL E89102
4/1/2017
6%
12,521

FED HM LN PC POOL E89118
4/1/2017
6%
13,411

FED HM LN PC POOL E89149
4/1/2017
6%
7,409

FED HM LN PC POOL E89216
4/1/2017
6%
11,617

FED HM LN PC POOL E89294
4/1/2017
6%
20,613

FED HM LN PC POOL E89347
4/1/2017
6%
18,805

FED HM LN PC POOL E89369
4/1/2017
6%
4,944

FED HM LN PC POOL E89434
5/1/2017
6%
7,665

FED HM LN PC POOL E89435
5/1/2017
6%
8,336

FED HM LN PC POOL E89593
5/1/2017
6%
12,206

FED HM LN PC POOL E89601
5/1/2017
6%
452

FED HM LN PC POOL E89645
5/1/2017
6%
11,861


65
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FED HM LN PC POOL E89686
5/1/2017
6%
11,431

FED HM LN PC POOL E89687
5/1/2017
6%
8,421

FED HM LN PC POOL E89704
5/1/2017
6%
2,362

FED HM LN PC POOL E89707
5/1/2017
6%
7,464

FED HM LN PC POOL E89746
5/1/2017
6%
453

FED HM LN PC POOL E89777
5/1/2017
6%
4,177

FED HM LN PC POOL E89856
5/1/2017
6%
4,056

FED HM LN PC POOL E89883
5/1/2017
6%
5,932

FED HM LN PC POOL E89913
5/1/2017
6%
19,652

FED HM LN PC POOL E89969
5/1/2017
6%
4,633

FED HM LN PC POOL E90103
5/1/2017
6%
5,824

FED HM LN PC POOL E90135
6/1/2017
6%
1,781

FED HM LN PC POOL E90171
6/1/2017
6%
10,855

FED HM LN PC POOL E90237
6/1/2017
6%
10,589

FED HM LN PC POOL E90295
6/1/2017
6%
3,473

FED HM LN PC POOL E90313
6/1/2017
6%
431

FED HM LN PC POOL E90315
7/1/2017
6%
9,182

FED HM LN PC POOL E90322
6/1/2017
6%
4,785

FED HM LN PC POOL E90348
6/1/2017
6%
12,949

FED HM LN PC POOL E90402
7/1/2017
6%
12,190

FED HM LN PC POOL E90472
7/1/2017
6%
9,736

FED HM LN PC POOL E90473
7/1/2017
6%
22,799

FED HM LN PC POOL E90551
7/1/2017
6%
5,776

FED HM LN PC POOL E90623
8/1/2017
6%
414

FED HM LN PC POOL E90689
8/1/2017
6%
438

FED HM LN PC POOL E90690
7/1/2017
6%
565

FED HM LN PC POOL E90781
8/1/2017
6%
9,970

FED HM LN PC POOL E90831
8/1/2017
6%
470

FED HM LN PC POOL E90985
8/1/2017
6%
153

FED HM LN PC POOL E91012
8/1/2017
6%
18,841

FED HM LN PC POOL E91278
7/1/2017
6%
265

FED HM LN PC POOL E91485
9/1/2017
6%
12,833

FED HM LN PC POOL E91879
10/1/2017
6%
1,111

FED HM LN PC POOL E93128
10/1/2017
6%
13,334

FED HM LN PC POOL E99733
9/1/2018
6%
23,928

FED HM LN PC POOL G00144
3/1/2021
10%
8,074

FED HM LN PC POOL G00280
12/1/2022
9.5%
2,796

FED HM LN PC POOL G00473
3/1/2026
7.5%
414

FED HM LN PC POOL G00529
8/1/2026
7.5%
4,575

FED HM LN PC POOL G00552
3/1/2023
8.5%
19,229

FED HM LN PC POOL G00561
6/1/2025
9.5%
25,596


66
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FED HM LN PC POOL G00627
6/1/2025
8%
24,242

FED HM LN PC POOL G00675
3/1/2027
7.5%
19,401

FED HM LN PC POOL G00704
12/1/2026
7%
19,704

FED HM LN PC POOL G00825
12/1/2027
7%
1,305

FED HM LN PC POOL G00869
1/1/2028
7.5%
30,948

FED HM LN PC POOL G01091
12/1/2029
7%
60,242

FED HM LN PC POOL G01665
3/1/2034
5.5%
1,362,859

FED HM LN PC POOL G02031
2/1/2036
5.5%
499,401

FED HM LN PC POOL G02408
12/1/2036
5.5%
810,162

FED HM LN PC POOL G02427
12/1/2036
5.5%
1,293,027

FED HM LN PC POOL G03073
7/1/2037
5.5%
816,156

FED HM LN PC POOL G03233
8/1/2037
6%
38,663

FED HM LN PC POOL G03600
11/1/2037
7%
291,222

FED HM LN PC POOL G03695
11/1/2037
5.5%
479,326

FED HM LN PC POOL G03812
2/1/2038
5.5%
593,880

FED HM LN PC POOL G03819
1/1/2038
6%
159,058

FED HM LN PC POOL G04448
7/1/2038
5.5%
238,476

FED HM LN PC POOL G04585
2/1/2038
5.5%
452,625

FED HM LN PC POOL G04588
8/1/2038
5.5%
264,529

FED HM LN PC POOL G04636
12/1/2035
5%
123,024

FED HM LN PC POOL G04688
9/1/2038
5.5%
230,954

FED HM LN PC POOL G05179
1/1/2039
5.5%
251,087

FED HM LN PC POOL G05527
7/1/2039
4%
126,754

FED HM LN PC POOL G05645
10/1/2039
4.5%
42,029

FED HM LN PC POOL G05676
11/1/2039
4%
2,000,242

FED HM LN PC POOL G05726
8/1/2039
5%
763,278

FED HM LN PC POOL G05741
12/1/2039
4.5%
1,419,428

FED HM LN PC POOL G05927
7/1/2040
4.5%
2,456,893

FED HM LN PC POOL G06021
1/1/2040
5.5%
714,750

FED HM LN PC POOL G06087
9/1/2040
5%
158,144

FED HM LN PC POOL G06172
12/1/2038
5.5%
1,661,477

FED HM LN PC POOL G06506
12/1/2040
4%
4,112,388

FED HM LN PC POOL G06507
2/1/2041
4%
657,116

FED HM LN PC POOL G06601
12/1/2040
4.5%
4,287,197

FED HM LN PC POOL G06669
9/1/2039
6.5%
651,659

FED HM LN PC POOL G06875
12/1/2038
5.5%
4,802,419

FED HM LN PC POOL G07032
6/1/2042
3%
1,820,561

FED HM LN PC POOL G07129
9/1/2042
3.5%
1,828,944

FED HM LN PC POOL G07335
3/1/2039
7%
2,010,983

FED HM LN PC POOL G07509
9/1/2039
6.5%
1,938,159

FED HM LN PC POOL G08273
6/1/2038
5.5%
143,173


67
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FED HM LN PC POOL G08368
10/1/2039
4.5%
1,305,323

FED HM LN PC POOL G08372
11/1/2039
4.5%
1,308,576

FED HM LN PC POOL G08464
10/1/2041
4.5%
37,377

FED HM LN PC POOL G08553
10/1/2043
3%
165,253

FED HM LN PC POOL G10907
5/1/2014
6%
38

FED HM LN PC POOL G11300
8/1/2017
6%
915

FED HM LN PC POOL G11410
7/1/2018
4%
2,213,040

FED HM LN PC POOL G11557 G1 1557
3/1/2019
6%
1,617

FED HM LN PC POOL G11634
11/1/2019
5.5%
17,421

FED HM LN PC POOL G11652
1/1/2020
6%
601,919

FED HM LN PC POOL G12467
11/1/2021
6%
684,262

FED HM LN PC POOL G12978
12/1/2022
5.5%
672,434

FED HM LN PC POOL G13300
5/1/2023
4.5%
209,489

FED HM LN PC POOL G13492
2/1/2024
5%
498,202

FED HM LN PC POOL G13868
7/1/2025
4.5%
1,004,701

FED HM LN PC POOL G14171
10/1/2024
6%
654,603

FED HM LN PC POOL G14239
9/1/2026
4%
442,535

FED HM LN PC POOL G14375
7/1/2026
4%
2,232,382

FED HM LN PC POOL G14492
10/1/2025
4%
1,238,069

FED HM LN PC POOL G18401
9/1/2026
3.5%
372,337

FED HM LN PC POOL G18475
8/1/2028
2.5%
483,717

FED HM LN PC POOL G20028 10/39 FIXED 7.5
12/1/2036
7.5%
2,480,800

FED HM LN PC POOL G30591
2/1/2028
6%
219,786

FED HM LN PC POOL J09212
1/1/2024
5%
290,552

FED HM LN PC POOL J11089
4/1/2019
4%
149,763

FED HM LN PC POOL J12398
6/1/2025
4.5%
889,820

FED HM LN PC POOL J12439
6/1/2025
4.5%
1,595,352

FED HM LN PC POOL J14494
2/1/2026
4%
2,712,646

FED HM LN PC POOL J15658
6/1/2026
4%
926,769

FED HM LN PC POOL J15719
6/1/2026
4%
2,074,418

FED HM LN PC POOL J15974
6/1/2026
4%
835,554

FED HM LN PC POOL J16059
7/1/2026
4%
343,185

FED HM LN PC POOL J18912
4/1/2027
2.5%
937,119

FED HM LN PC POOL J23935
5/1/2028
3%
974,293

FED HM LN PC POOL Q04674
12/1/2041
4%
146,745

FED HM LN PC POOL Q10241
8/1/2042
3.5%
929,496

FED HM LN PC POOL Q10448
8/1/2042
3.5%
927,118

FED HM LN PC POOL Q11288
9/1/2042
3.5%
911,932

FED HM LN PC POOL Q11788
10/1/2042
3%
434,643

FED HM LN PC POOL Q12011
10/1/2042
3%
938,870

FED HM LN PC POOL Q12520
10/1/2042
3%
202,915


68
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FED HM LN PC POOL Q14326
1/1/2043
2.5%
985,468

FED HM LN PC POOL Q15062
2/1/2043
3%
3,551,480

FED HM LN PC POOL Q17792
5/1/2043
3.5%
4,147,209

FED HM LN PC POOL Q20402
7/1/2043
3%
316,414

FED HM LN PC POOL Q20416
7/1/2043
3%
540,177

FED HM LN PC POOL Q20983
8/1/2043
3%
401,732

FED HM LN PC POOL Q21553
9/1/2043
3.5%
1,965,161

FED HM LN PC POOL Q21694
8/1/2043
3%
473,543

FED HM LN PC POOL U62476
4/1/2043
3.5%
4,921,993

FED HM LN PC POOL U80439
7/1/2033
3.5%
822,301

FED HM LN PC POOL U90155
9/1/2042
4%
4,237,125

FED HM LN PC POOL U90291
10/1/2042
4%
548,354

FED HM LN PC POOL U90316
10/1/2042
4%
3,977,543

FED HM LN PC POOL U90690
6/1/2042
3.5%
363,535

FED HM LN PC POOL U91254
4/1/2043
4%
1,504,003

FED HM LN PC POOL U91619
6/1/2043
4%
1,358,690

FED HM LN PC POOL U95137
8/1/2043
4%
910,377

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/14 0.00000
1/3/2014
0.01%
2,049,998

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/14 0.00000
1/24/2014
0.01%
399,995

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/14 0.00000
2/3/2014
0.01%
2,999,919

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/14 0.00000
2/14/2014
0.01%
44,998,380

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/14 0.00000
2/19/2014
0.01%
1,299,948

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/14 0.00000
3/12/2014
0.01%
1,999,846

FED REPUBLIC OF BRAZIL SR UNSECURED 01/41 5.625
1/7/2041
5.63%
97,000

FEDERAL FARM CREDIT BANK BONDS 08/15 0.4
8/26/2015
0.4%
10,005,240

FEDERAL HOME LOAN BANK BONDS 01/14 0.375
1/29/2014
0.38%
10,001,840

FEDERAL HOME LOAN BANK BONDS 03/16 3.125
3/11/2016
3.13%
1,410,397

FEDERAL HOME LOAN BANK BONDS 05/14 1.375
5/28/2014
1.38%
3,015,138

FEDERAL HOME LOAN BANK BONDS 06/14 5.375
6/13/2014
5.38%
7,388,327

FEDERAL HOME LOAN BANK BONDS 06/14 6.625
6/30/2014
6.63%
1,382,124

FEDERAL HOME LOAN BANK BONDS 07/36 5.5
7/15/2036
5.5%
10,758,584

FEDERAL HOME LOAN BANK BONDS 08/15 0.375
8/28/2015
0.38%
6,494,011

FEDERAL HOME LOAN BANK BONDS 10/18 VAR
10/30/2018
0.75%
9,465,132

FEDERAL HOME LOAN BANK BONDS 12/15 5.
12/21/2015
5%
87,174

FEDERAL HOME LOAN BANK BONDS 12/16 0.75
12/19/2016
0.75%
7,723,481

FEDERATION CENTRES REIT
 
 
37,186

FHLMC MULTIFAMILY VRD CERTIFIC FHM M012 A1A2
8/15/2051
5.5%
5,445,000

FHLMC STRUCTURED PASS THROUGH FSPC T 21 A
10/25/2029
0.53%
356,352

FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1
7/25/2044
1.54%
1,458,625

FIBRA UNO ADMINISTRACION SA REIT NPV
 
 
59,160

FIDELITY + GUARANTY LIFE COMMON STOCK USD.01
 
 
740,554


69
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FIDELITY NATIONAL INFORMATIO COMMON STOCK USD.01
 
 
6,249,426

FIDESSA GROUP PLC COMMON STOCK GBP.1
 
 
294,791

FIESTA RESTAURANT GROUP COMMON STOCK USD.01
 
 
1,685,785

FIFTH THIRD AUTO TRUST FITAT 2013 1 A2
3/15/2016
0.59%
3,100,980

FIFTH THIRD AUTO TRUST FITAT 2013 1 A4
2/18/2020
1.3%
2,769,213

FIFTH THIRD AUTO TRUST FITAT 2013 A A3
9/15/2017
0.61%
1,384,032

FIFTH THIRD BANCORP SR UNSECURED 01/16 3.625
1/25/2016
3.63%
5,028,119

FIFTH THIRD BANK SR UNSECURED 02/16 0.9
2/26/2016
0.9%
298,423

FINANCIAL ENGINES INC COMMON STOCK USD.0001
 
 
3,376,728

FINMECCANICA SPA COMMON STOCK EUR4.4
 
 
439,207

FIREEYE INC COMMON STOCK USD.0001
 
 
1,663,198

FIRST INVESTORS AUTO OWNER TRU FIAOT 2013 1A A2 144A
10/15/2018
0.9%
386,873

FIRST PACIFIC CO COMMON STOCK USD.01
 
 
22,750

FIRSTENERGY CORP SR UNSECURED 03/18 2.75
3/15/2018
2.75%
2,417,122

FIRSTENERGY CORP SR UNSECURED 03/23 4.25
3/15/2023
4.25%
4,483,656

FIRSTENERGY CORP SR UNSECURED 11/31 7.375
11/15/2031
7.38%
1,086,584

FIRSTMERIT CORP COMMON STOCK NPV
 
 
4,314,843

FIRSTRAND LTD COMMON STOCK ZAR.01
 
 
186,270

FISERV INC COMMON STOCK USD.01
 
 
7,606,231

FISERV INC COMPANY GUAR 06/16 3.125
6/15/2016
3.13%
5,546,234

FIVE BELOW COMMON STOCK USD.01
 
 
2,428,488

FLAGSHIP CREDIT AUTO TRUST FCAT 2013 1 A 144A
4/16/2018
1.32%
223,847

FLAGSHIP CREDIT AUTO TRUST FCAT 2013 2 A 144A
1/15/2019
1.94%
407,839

FLEETCOR TECHNOLOGIES INC COMMON STOCK USD.001
 
 
3,168,863

FLEETMATICS GROUP PLC COMMON STOCK EUR.015
 
 
1,876,488

FLIGHT CENTRE TRAVEL GROUP L COMMON STOCK NPV
 
 
231,304

FLORIDA POWER + LIGHT CO 1ST MORTGAGE 12/42 3.8
12/15/2042
3.8%
69,874

FLORIDA ST TURNPIKE AUTH FLSTRN 07/39 FIXED OID 6.8
7/1/2039
6.8%
2,478,434

FLOTEK INDUSTRIES INC COMMON STOCK USD.0001
 
 
1,778,202

FLUIDIGM CORP COMMON STOCK USD.001
 
 
1,620,783

FMC TECHNOLOGIES INC COMMON STOCK USD.01
 
 
4,691,121

FMS WERTMANAGEMENT GOVT GUARANT REGS 02/17 1.625
2/22/2017
1.63%
283,584

FMS WERTMANAGEMENT GOVT GUARANT REGS 05/19 1.875
5/9/2019
1.88%
283,927

FNMA POOL 027489
6/1/2016
9.5%
397

FNMA POOL 050305
5/1/2020
9.5%
3,405

FNMA POOL 050402
2/1/2021
9%
429

FNMA POOL 050415
3/1/2021
9%
735

FNMA POOL 050795
9/1/2023
7%
3,009

FNMA POOL 050947
12/1/2023
7%
35,551

FNMA POOL 050966
1/1/2024
7%
14,230

FNMA POOL 050993
2/1/2024
7%
10,482


70
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL 060680
2/1/2028
4.39%
61,802

FNMA POOL 070110
10/1/2016
10%
1,182

FNMA POOL 100168
1/1/2021
9.5%
8,452

FNMA POOL 108489
11/1/2020
9%
14,996

FNMA POOL 190353
8/1/2034
5%
23,785

FNMA POOL 190357
3/1/2035
5%
18,303

FNMA POOL 190360
8/1/2035
5%
14,977

FNMA POOL 190377
11/1/2036
5%
17,453

FNMA POOL 190533
1/1/2024
7%
5,677

FNMA POOL 242136
10/1/2023
7%
523

FNMA POOL 245442
11/1/2023
7%
4,602

FNMA POOL 252210
2/1/2019
6.5%
66,771

FNMA POOL 252869
11/1/2014
6.5%
17,686

FNMA POOL 253153
2/1/2020
7%
32,715

FNMA POOL 253799
5/1/2016
6.5%
38,917

FNMA POOL 253947
8/1/2031
8%
46,861

FNMA POOL 254223
2/1/2032
7.5%
777

FNMA POOL 254793
7/1/2033
5%
469,831

FNMA POOL 256901
9/1/2037
6.5%
43,452

FNMA POOL 256937
10/1/2037
6.5%
81,359

FNMA POOL 257239
6/1/2028
5.5%
371,197

FNMA POOL 262211
12/1/2023
7%
684

FNMA POOL 266624
1/1/2024
7%
580

FNMA POOL 267989
2/1/2024
7%
5,065

FNMA POOL 269212
1/1/2024
7%
92

FNMA POOL 274621
3/1/2024
7%
1,609

FNMA POOL 303675
10/1/2017
10%
16,017

FNMA POOL 312206
6/1/2025
2.22%
51,155

FNMA POOL 313499
10/1/2018
10%
19,063

FNMA POOL 313947
1/1/2028
7%
3,580

FNMA POOL 330089
4/1/2025
8%
37,021

FNMA POOL 330126
8/1/2025
2.3%
65,342

FNMA POOL 331427
11/1/2025
2.19%
33,417

FNMA POOL 347547
8/1/2026
2.25%
490

FNMA POOL 347633
7/1/2026
2.25%
23,948

FNMA POOL 362968
1/1/2026
2.46%
53,898

FNMA POOL 366826
1/1/2027
7%
9,654

FNMA POOL 367801
5/1/2024
9%
2,737

FNMA POOL 369996
1/1/2027
7.5%
3,932

FNMA POOL 371049
2/1/2027
7.5%
15,627

FNMA POOL 371073
2/1/2027
7.5%
8,108


71
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL 371871
2/1/2027
7.5%
9,340

FNMA POOL 377038
4/1/2027
7.5%
13,411

FNMA POOL 390986
8/1/2027
2.25%
133,188

FNMA POOL 396434
11/1/2027
7.5%
577

FNMA POOL 396439
11/1/2027
7.5%
9,211

FNMA POOL 397256
10/1/2027
7.5%
860

FNMA POOL 397781
10/1/2027
7.5%
672

FNMA POOL 398754
9/1/2027
7.5%
6,720

FNMA POOL 400044
10/1/2027
7.5%
6,611

FNMA POOL 401788
10/1/2027
7.5%
2,754

FNMA POOL 468559
8/1/2021
4.01%
408,759

FNMA POOL 471834
7/1/2017
1.4%
341,486

FNMA POOL 479545
8/1/2029
7%
3,132

FNMA POOL 487594
3/1/2014
6%
2,263

FNMA POOL 489144
7/1/2014
6%
1,293

FNMA POOL 492745
5/1/2029
7%
17,822

FNMA POOL 503573
10/1/2029
7%
3,089

FNMA POOL 507521
8/1/2029
7%
14,336

FNMA POOL 509436
10/1/2029
7%
9,464

FNMA POOL 509662
8/1/2029
7%
1,341

FNMA POOL 511103
8/1/2029
7%
16,340

FNMA POOL 511384
9/1/2029
7%
2,160

FNMA POOL 514267
9/1/2029
7%
3,048

FNMA POOL 515518
10/1/2029
7%
4,220

FNMA POOL 517511
10/1/2029
7%
24,979

FNMA POOL 518108
9/1/2029
7%
8,749

FNMA POOL 522760
11/1/2029
7%
9,813

FNMA POOL 523486
8/1/2030
8%
1,207

FNMA POOL 529428
3/1/2030
8%
3,908

FNMA POOL 533757
6/1/2030
8%
15,811

FNMA POOL 534194
4/1/2030
8%
3,952

FNMA POOL 534659
5/1/2015
7%
6,544

FNMA POOL 545204
5/1/2036
3.13%
127,552

FNMA POOL 545278
11/1/2031
7.5%
132,467

FNMA POOL 554482
10/1/2030
7.5%
180,781

FNMA POOL 555743
9/1/2033
5%
562,440

FNMA POOL 569915
2/1/2016
7%
44,704

FNMA POOL 569972
3/1/2031
7.5%
61,961

FNMA POOL 569973
2/1/2031
8%
23,792

FNMA POOL 572675
4/1/2031
7.5%
91,725

FNMA POOL 589396
7/1/2016
6%
137,339


72
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL 593848
7/1/2031
8%
24,022

FNMA POOL 602065
9/1/2031
7%
189,101

FNMA POOL 604576
9/1/2021
6.5%
27,558

FNMA POOL 609504
10/1/2031
7%
163,736

FNMA POOL 621101
1/1/2017
6%
93,195

FNMA POOL 641089
5/1/2032
7%
217,896

FNMA POOL 649952
6/1/2032
6.5%
46,596

FNMA POOL 725162
2/1/2034
6%
119,679

FNMA POOL 725229
3/1/2034
6%
343,134

FNMA POOL 725946
11/1/2034
5.5%
311,331

FNMA POOL 735061
11/1/2034
6%
3,700,820

FNMA POOL 735208
10/1/2019
6%
359,038

FNMA POOL 735382
4/1/2035
5%
2,405,009

FNMA POOL 735439
9/1/2019
6%
388,174

FNMA POOL 735500
5/1/2035
5.5%
3,333,725

FNMA POOL 735501
5/1/2035
6%
747,195

FNMA POOL 735503
4/1/2035
6%
876,435

FNMA POOL 735561
4/1/2034
2.49%
121,703

FNMA POOL 735580
6/1/2035
5%
1,119,905

FNMA POOL 735676
7/1/2035
5%
759,297

FNMA POOL 735809
8/1/2035
2.51%
2,550,256

FNMA POOL 735893
10/1/2035
5%
330,373

FNMA POOL 735989
2/1/2035
5.5%
4,951,963

FNMA POOL 745000
10/1/2035
6%
151,721

FNMA POOL 745140
11/1/2035
5%
4,180,378

FNMA POOL 745327
3/1/2036
6%
492,678

FNMA POOL 745412
12/1/2035
5.5%
2,468,185

FNMA POOL 745619
5/1/2036
2.57%
2,185,290

FNMA POOL 745885
10/1/2036
6%
1,990,933

FNMA POOL 745948
10/1/2036
6.5%
208,428

FNMA POOL 745959
11/1/2036
5.5%
1,257,989

FNMA POOL 758777
4/1/2028
6.5%
1,003

FNMA POOL 811569
6/1/2021
6%
86,103

FNMA POOL 813599
1/1/2036
2.31%
348,270

FNMA POOL 825480
6/1/2035
2.33%
512,085

FNMA POOL 827223
4/1/2035
2.22%
4,524,803

FNMA POOL 827601
8/1/2019
5.5%
254,673

FNMA POOL 831561
5/1/2036
6.5%
125,239

FNMA POOL 833600
11/1/2035
6.5%
31,984

FNMA POOL 836464
10/1/2035
2.15%
1,790,318

FNMA POOL 836852
10/1/2035
2.06%
1,274,297


73
Table of Contents


Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL 843823
11/1/2035
2.11%
874,929

FNMA POOL 843997
11/1/2035
2.14%
412,475

FNMA POOL 844052
11/1/2035
2.13%
395,426

FNMA POOL 844148
11/1/2035
2.13%
311,015

FNMA POOL 844237
11/1/2035
2.15%
297,550

FNMA POOL 844789
11/1/2035
2.1%
339,033

FNMA POOL 866888
1/1/2036
2.44%
460,316

FNMA POOL 872021
6/1/2021
6%
98,731

FNMA POOL 872502
6/1/2036
2.52%
3,466,030

FNMA POOL 879067
4/1/2036
2.5%
2,043,869

FNMA POOL 879394
2/1/2021
5%
75,012

FNMA POOL 880870
3/1/2036
6.5%
41,092

FNMA POOL 884729
8/1/2036
2.45%
353,510

FNMA POOL 884773
10/1/2036
2.23%
380,508

FNMA POOL 888365
4/1/2022
6%
128,856

FNMA POOL 888366
4/1/2037
7%
609,695

FNMA POOL 888560
11/1/2035
6%
1,633,562

FNMA POOL 888601
6/1/2020
5.5%
560,704

FNMA POOL 888637
9/1/2037
6%
308,582

FNMA POOL 888832
11/1/2037
6.5%
88,405

FNMA POOL 888890
10/1/2037
6.5%
619,473

FNMA POOL 888893
8/1/2037
5.5%
128,086

FNMA POOL 889072
12/1/2037
6.5%
692,117

FNMA POOL 889117
10/1/2035
5%
1,579,591

FNMA POOL 889190
3/1/2038
6%
242,932

FNMA POOL 889579
5/1/2038
6%
4,528,109

FNMA POOL 890116
2/1/2023
7%
1,353,155

FNMA POOL 890236
8/1/2040
4.5%
274,714

FNMA POOL 890248
8/1/2037
6%
3,338,827

FNMA POOL 890268
10/1/2038
6.5%
987,278

FNMA POOL 891654
6/1/2036
6.5%
478,276

FNMA POOL 898736
5/1/2036
2.62%
1,094,558

FNMA POOL 902425
11/1/2036
2.48%
88,599

FNMA POOL 903261
10/1/2036
6%
281,210

FNMA POOL 906666
12/1/2036
6.5%
14,575

FNMA POOL 908172
1/1/2037
6.5%
23,031

FNMA POOL 913984
2/1/2037
1.83%
844,092

FNMA POOL 914875
4/1/2037
6.5%
277,979

FNMA POOL 918653
6/1/2037
6%
309,856

FNMA POOL 924874
10/1/2037
7%
130,128


74
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL 928746
9/1/2037
6.5%
19,116

FNMA POOL 928938
12/1/2037
7%
102,092

FNMA POOL 929298
3/1/2038
5%
559,770

FNMA POOL 930719
3/1/2019
4.5%
47,426

FNMA POOL 931307
6/1/2039
4.5%
876,001

FNMA POOL 931991
9/1/2039
4.5%
1,577,067

FNMA POOL 932058
10/1/2039
4.5%
1,082,066

FNMA POOL 932426
1/1/2040
4.5%
2,899,296

FNMA POOL 932495
2/1/2040
4.5%
293,567

FNMA POOL 932669
3/1/2040
4.5%
26,112

FNMA POOL 932850
12/1/2040
4%
616,649

FNMA POOL 933409
3/1/2038
5%
601,949

FNMA POOL 933638
8/1/2038
5.06%
1,372,076

FNMA POOL 934202
11/1/2038
7%
78,364

FNMA POOL 934648
11/1/2038
7%
649,144

FNMA POOL 942798
8/1/2037
6.5%
320,419

FNMA POOL 943699
8/1/2037
6.5%
193,921

FNMA POOL 946065
9/1/2037
6.5%
58,314

FNMA POOL 948849
8/1/2037
6%
1,244,816

FNMA POOL 949563
11/1/2037
7%
29,327

FNMA POOL 955183
11/1/2037
7%
155,409

FNMA POOL 955762
10/1/2037
6.5%
4,211

FNMA POOL 962062
3/1/2038
5%
662,775

FNMA POOL 962444
4/1/2038
5%
463,540

FNMA POOL 968066
10/1/2022
6%
237,927

FNMA POOL 968252
2/1/2038
7%
79,702

FNMA POOL 971053
2/1/2039
4.5%
156,181

FNMA POOL 972242
3/1/2038
6.5%
2,676

FNMA POOL 972571
3/1/2038
5%
582,468

FNMA POOL 972572
3/1/2038
5%
333,609

FNMA POOL 973161
2/1/2038
6.5%
268,035

FNMA POOL 974156
2/1/2038
7%
161,392

FNMA POOL 975184
3/1/2038
5%
154,550

FNMA POOL 975185
3/1/2038
5%
247,156

FNMA POOL 975441
3/1/2038
5%
253,753

FNMA POOL 975453
3/1/2038
5%
148,958

FNMA POOL 975454
3/1/2038
5%
74,677

FNMA POOL 979973
9/1/2036
5%
45,810

FNMA POOL 984632
6/1/2038
2.44%
3,771,421

FNMA POOL 985626
4/1/2033
6%
713,193

FNMA POOL 985867
8/1/2038
7%
170,002


75
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL 987325
9/1/2038
2.5%
1,681,531

FNMA POOL 987560
8/1/2038
6.5%
23,856

FNMA POOL 987891
9/1/2038
7%
4,571

FNMA POOL 991549
11/1/2038
7%
107,182

FNMA POOL 992249
11/1/2038
7%
58,419

FNMA POOL 992262
1/1/2039
5%
64,244

FNMA POOL 995072
8/1/2038
5.5%
1,123,667

FNMA POOL 995149
10/1/2038
6.5%
637,458

FNMA POOL 995381
1/1/2024
6%
372,748

FNMA POOL 995899
2/1/2038
6%
507,926

FNMA POOL AA0472
3/1/2039
4%
375,837

FNMA POOL AA2700
1/1/2039
5%
35,007

FNMA POOL AA4777
12/1/2025
3.5%
28,862

FNMA POOL AB1228
7/1/2040
5%
104,251

FNMA POOL AB2801
4/1/2026
3.5%
1,455,682

FNMA POOL AB3517
9/1/2041
4.5%
500,156

FNMA POOL AB3701
10/1/2041
4.5%
3,140,232

FNMA POOL AB4590
3/1/2042
3.5%
969,383

FNMA POOL AB4689
3/1/2042
3.5%
1,618,797

FNMA POOL AB4698
3/1/2042
4%
499,790

FNMA POOL AB4941
4/1/2042
3.5%
5,455,860

FNMA POOL AB4955
4/1/2042
4%
827,522

FNMA POOL AB5236
5/1/2027
3%
1,028,527

FNMA POOL AB5425
6/1/2042
3.5%
617,806

FNMA POOL AB5546
6/1/2042
3.5%
989,132

FNMA POOL AB5593
7/1/2042
3.5%
731,271

FNMA POOL AB6136
9/1/2027
2.5%
5,264,469

FNMA POOL AB6229
9/1/2042
3.5%
3,496,753

FNMA POOL AB6238
9/1/2042
3.5%
923,638

FNMA POOL AB6390
10/1/2042
3%
448,229

FNMA POOL AB6694
10/1/2042
3%
929,629

FNMA POOL AB6832
11/1/2042
3.5%
2,668,214

FNMA POOL AB7130
12/1/2042
3.5%
4,233,382

FNMA POOL AB7272
12/1/2042
3%
1,790,260

FNMA POOL AB7410
12/1/2042
3%
4,902,370

FNMA POOL AB7426
12/1/2042
3%
1,357,156

FNMA POOL AB7568
1/1/2043
3%
2,014,936

FNMA POOL AB7570
1/1/2043
3%
3,376,296

FNMA POOL AB7716
1/1/2028
2.5%
485,300

FNMA POOL AB7741
1/1/2043
3%
2,803,702

FNMA POOL AB8463
2/1/2043
2.5%
891,392


76
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL AB8925
4/1/2043
3%
145,985

FNMA POOL AB9171
4/1/2028
2.5%
315,094

FNMA POOL AB9347
5/1/2043
3%
2,805,596

FNMA POOL AB9349
5/1/2043
3%
1,885,425

FNMA POOL AB9361
5/1/2043
3.5%
967,566

FNMA POOL AB9461
5/1/2043
3%
3,801,783

FNMA POOL AB9557
6/1/2043
3%
2,821,969

FNMA POOL AB9615
6/1/2033
4%
428,723

FNMA POOL AB9663
6/1/2043
3%
1,879,227

FNMA POOL AB9743
6/1/2043
3%
4,752,238

FNMA POOL AB9825
7/1/2028
2.5%
195,066

FNMA POOL AB9980
7/1/2043
3.5%
4,081,872

FNMA POOL AC0728
8/1/2039
5%
40,164

FNMA POOL AC1889
9/1/2039
4%
610,479

FNMA POOL AC2953
9/1/2039
4.5%
401,140

FNMA POOL AC3237
10/1/2039
5%
2,934,257

FNMA POOL AD0217
8/1/2037
6%
222,635

FNMA POOL AD0249
4/1/2037
5.5%
1,420,952

FNMA POOL AD0296
12/1/2036
2.28%
531,455

FNMA POOL AD0329
10/1/2029
6.5%
215,487

FNMA POOL AD0402
2/1/2023
5%
1,702,150

FNMA POOL AD0452
4/1/2021
6%
1,835,028

FNMA POOL AD0471
1/1/2024
5.5%
917,999

FNMA POOL AD0752
1/1/2039
7%
355,096

FNMA POOL AD0979
10/1/2035
7.5%
358,531

FNMA POOL AD4178
6/1/2040
4.5%
1,436,115

FNMA POOL AD6510
5/1/2040
5%
60,687

FNMA POOL AD9143
8/1/2040
4.5%
119,183

FNMA POOL AD9153
8/1/2040
4.5%
419,866

FNMA POOL AD9713
8/1/2040
5%
359,993

FNMA POOL AE0081
7/1/2024
6%
611,077

FNMA POOL AE0113
7/1/2040
4%
986,836

FNMA POOL AE0758
2/1/2039
7%
2,861,509

FNMA POOL AE0967
6/1/2039
3.5%
1,552,656

FNMA POOL AE1807
10/1/2040
4%
29,433

FNMA POOL AE1840
8/1/2040
5%
107,533

FNMA POOL AE1862
8/1/2040
5%
960,366

FNMA POOL AE3505
1/1/2026
3.5%
459,253

FNMA POOL AE4456
2/1/2041
4%
214,220

FNMA POOL AE4664
10/1/2040
4%
274,529

FNMA POOL AE6090
10/1/2040
4%
668,100


77
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL AE6118
10/1/2040
3.5%
37,243

FNMA POOL AE6191
11/1/2040
4%
120,379

FNMA POOL AE7202
11/1/2025
3.5%
575,802

FNMA POOL AE7283
10/1/2040
4%
37,977

FNMA POOL AE7314
11/1/2040
4%
5,790

FNMA POOL AE7522
11/1/2025
3.5%
143,448

FNMA POOL AE8446
11/1/2040
4%
11,963

FNMA POOL AE9387
12/1/2040
4%
9,036

FNMA POOL AH0210
12/1/2040
4.5%
2,319,789

FNMA POOL AH0864
12/1/2040
4%
37,431

FNMA POOL AH1115
1/1/2041
4.5%
4,361,431

FNMA POOL AH1266
1/1/2041
4%
1,105,064

FNMA POOL AH1508
12/1/2040
4.5%
2,424,702

FNMA POOL AH2442
1/1/2041
4%
137,519

FNMA POOL AH3203
1/1/2041
4%
653,788

FNMA POOL AH5287
2/1/2026
3.5%
1,162,752

FNMA POOL AH6958
2/1/2041
2.93%
910,762

FNMA POOL AI0511
4/1/2041
5%
210,941

FNMA POOL AI1051
6/1/2026
4%
1,527,265

FNMA POOL AI1863
5/1/2041
5%
411,604

FNMA POOL AI1892
5/1/2041
5%
2,202,694

FNMA POOL AI2433
5/1/2041
5%
525,075

FNMA POOL AI2443
5/1/2041
5%
316,222

FNMA POOL AI2462
5/1/2041
5%
324,333

FNMA POOL AI2737
5/1/2041
5%
56,893

FNMA POOL AI4261
6/1/2041
5%
270,675

FNMA POOL AI6004
7/1/2041
4.5%
505,887

FNMA POOL AI6553
7/1/2041
4.5%
615,090

FNMA POOL AI8382
9/1/2026
3.5%
848,768

FNMA POOL AI8630
7/1/2042
4%
164,103

FNMA POOL AI9940
9/1/2041
5%
1,289,962

FNMA POOL AJ1414
9/1/2041
4.5%
1,295,365

FNMA POOL AJ1884
2/1/2042
3.5%
965,998

FNMA POOL AJ2288
9/1/2041
4%
1,252,310

FNMA POOL AJ6935
11/1/2026
3.5%
2,874,391

FNMA POOL AK0968
2/1/2027
3%
1,226,850

FNMA POOL AK1140
2/1/2027
3%
826,677

FNMA POOL AK1608
1/1/2027
3%
843,622

FNMA POOL AK3107
2/1/2042
4%
358,114

FNMA POOL AK6966
3/1/2027
3%
1,219,016

FNMA POOL AK8337
9/1/2043
3%
4,752,138


78
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL AL0007
12/1/2034
5%
2,140,815

FNMA POOL AL0009
12/1/2034
5.5%
2,501,018

FNMA POOL AL0215
4/1/2041
4.5%
3,119,115

FNMA POOL AL0379
12/1/2036
8%
441,716

FNMA POOL AL0476
11/1/2040
5%
1,719,085

FNMA POOL AL0484
5/1/2040
5.5%
1,026,193

FNMA POOL AL0533
7/1/2041
3.24%
3,219,301

FNMA POOL AL0998
10/1/2041
4.5%
1,707,777

FNMA POOL AL1051
9/1/2041
4.5%
1,101,865

FNMA POOL AL1469
2/1/2039
7%
2,895,826

FNMA POOL AL1470
4/1/2037
7%
1,119,882

FNMA POOL AL1938
12/1/2026
4%
3,601,286

FNMA POOL AL1945
6/1/2042
3.5%
871,256

FNMA POOL AL2151
3/1/2042
3.5%
1,818,973

FNMA POOL AL2171
6/1/2042
4%
781,568

FNMA POOL AL2382
2/1/2042
4%
1,631,985

FNMA POOL AL2389
9/1/2042
3.5%
1,811,532

FNMA POOL AL2683
9/1/2026
4%
4,482,605

FNMA POOL AL3192
5/1/2042
5%
1,873,061

FNMA POOL AL3429
6/1/2041
4.5%
5,550,453

FNMA POOL AL4324
5/1/2040
6.5%
10,468,698

FNMA POOL AM1990
1/1/2023
2.33%
415,510

FNMA POOL AM2501
2/1/2020
1.77%
561,640

FNMA POOL AM2674
3/1/2023
2.61%
561,728

FNMA POOL AM2711
3/1/2023
2.57%
416,403

FNMA POOL AM4066
8/1/2023
3.59%
896,446

FNMA POOL AM4764
11/1/2023
3.44%
656,311

FNMA POOL AO0454
8/1/2042
3.5%
907,968

FNMA POOL AO0527
5/1/2027
3%
854,212

FNMA POOL AO4688
7/1/2043
3%
3,801,965

FNMA POOL AO6482
7/1/2042
2.32%
517,642

FNMA POOL AO7348
8/1/2042
4%
964,300

FNMA POOL AO8156
8/1/2027
3%
7,152,189

FNMA POOL AP0006
7/1/2042
2.03%
1,663,096

FNMA POOL AP0645
7/1/2032
3.5%
171,210

FNMA POOL AP2611
9/1/2042
3.5%
948,926

FNMA POOL AP3308
9/1/2042
3.5%
913,020

FNMA POOL AP3902
10/1/2042
3%
880,266

FNMA POOL AP4710
8/1/2042
3.5%
1,774,381

FNMA POOL AP5143
9/1/2042
3%
924,312

FNMA POOL AP6027
4/1/2043
3%
935,723


79
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL AP6032
4/1/2043
3%
920,742

FNMA POOL AP6053
7/1/2028
2.5%
331,761

FNMA POOL AP6056
7/1/2043
3%
3,801,698

FNMA POOL AP6060
7/1/2043
3%
1,900,849

FNMA POOL AP6115
7/1/2043
3%
3,801,729

FNMA POOL AP7126
10/1/2027
2.5%
855,132

FNMA POOL AP8057
9/1/2042
3.5%
933,553

FNMA POOL AP8903
10/1/2042
3.5%
923,545

FNMA POOL AP9539
10/1/2042
3%
464,064

FNMA POOL AP9766
10/1/2042
4%
2,730,864

FNMA POOL AQ1534
10/1/2032
3.5%
479,532

FNMA POOL AQ1607
11/1/2032
3.5%
413,989

FNMA POOL AQ1802
10/1/2042
3.5%
844,186

FNMA POOL AQ4130
10/1/2043
3%
3,801,742

FNMA POOL AQ5369
12/1/2042
3.5%
5,063,297

FNMA POOL AQ5971
12/1/2042
3%
915,599

FNMA POOL AQ7083
12/1/2042
3.5%
5,120,288

FNMA POOL AQ8359
1/1/2043
3%
916,602

FNMA POOL AR2638
2/1/2043
3.5%
946,304

FNMA POOL AR3368
2/1/2028
2.5%
152,338

FNMA POOL AR6051
3/1/2043
2.5%
1,826,771

FNMA POOL AR7214
6/1/2043
3%
3,802,000

FNMA POOL AR7414
7/1/2043
3%
2,813,515

FNMA POOL AR7425
7/1/2043
3%
3,801,799

FNMA POOL AR7441
8/1/2043
3%
3,801,846

FNMA POOL AR7961
3/1/2033
3.5%
401,324

FNMA POOL AR8293
5/1/2043
3%
3,801,532

FNMA POOL AR8749
3/1/2043
3%
3,750,125

FNMA POOL AR9126
3/1/2043
2.5%
3,582,300

FNMA POOL AR9203
3/1/2043
3.5%
2,415,967

FNMA POOL AS0017
7/1/2043
3%
1,900,900

FNMA POOL AS0058
8/1/2028
2.5%
192,687

FNMA POOL AS0070
8/1/2043
4%
911,568

FNMA POOL AS0301
8/1/2043
3%
4,752,267

FNMA POOL AS0467
9/1/2033
3.5%
195,940

FNMA POOL AS0516
9/1/2043
3%
950,456

FNMA POOL AS0522
9/1/2043
3.5%
492,923

FNMA POOL AS1348
12/1/2033
3.5%
812,891

FNMA POOL AT0333
4/1/2043
2.5%
3,596,095

FNMA POOL AT1572
5/1/2043
3%
3,801,951

FNMA POOL AT2062
4/1/2028
2.5%
214,229


80
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL AT2446
4/1/2043
2.5%
899,794

FNMA POOL AT2609
9/1/2043
3%
4,752,253

FNMA POOL AT2723
5/1/2043
3%
3,801,554

FNMA POOL AT2725
5/1/2043
3%
19,817,005

FNMA POOL AT3179
5/1/2043
3%
942,110

FNMA POOL AT3389
8/1/2043
3%
950,520

FNMA POOL AT3701
6/1/2043
3%
950,518

FNMA POOL AT4253
6/1/2043
3%
3,802,197

FNMA POOL AT4473
7/1/2043
3%
950,515

FNMA POOL AT5213
6/1/2043
3%
4,752,439

FNMA POOL AT5519
6/1/2043
3%
950,446

FNMA POOL AT5874
5/1/2043
3%
529,733

FNMA POOL AT5890
6/1/2043
2.5%
4,447,503

FNMA POOL AT5899
6/1/2043
3%
9,398,068

FNMA POOL AT5915
6/1/2043
4%
583,969

FNMA POOL AT6434
6/1/2043
3%
948,867

FNMA POOL AT7213
6/1/2028
2.5%
193,428

FNMA POOL AT7620
6/1/2043
3%
2,851,647

FNMA POOL AT7623
6/1/2043
3%
3,802,043

FNMA POOL AT7952
11/1/2042
2.5%
1,778,543

FNMA POOL AT8001
6/1/2043
3%
3,801,732

FNMA POOL AT8011
7/1/2043
3%
3,801,737

FNMA POOL AT8326
6/1/2043
3%
3,801,929

FNMA POOL AT8489
8/1/2043
3%
3,802,024

FNMA POOL AT8535
9/1/2043
3%
4,752,498

FNMA POOL AT8586
6/1/2043
3%
3,802,042

FNMA POOL AT8982
7/1/2043
3%
3,801,900

FNMA POOL AT9127
7/1/2043
3%
3,802,325

FNMA POOL AT9193
7/1/2043
3%
3,801,829

FNMA POOL AT9250
7/1/2043
3%
3,801,768

FNMA POOL AT9311
7/1/2028
2.5%
241,900

FNMA POOL AT9383
7/1/2043
3%
3,801,919

FNMA POOL AT9521
7/1/2028
2.5%
574,303

FNMA POOL AT9664
7/1/2043
3%
2,851,470

FNMA POOL AT9973
6/1/2028
2.5%
448,252

FNMA POOL AU0317
6/1/2043
3%
280,888

FNMA POOL AU0604
8/1/2043
3%
3,801,957

FNMA POOL AU1264
7/1/2043
3%
3,801,947

FNMA POOL AU1345
7/1/2043
3%
2,851,484

FNMA POOL AU1629
7/1/2043
3%
4,752,534

FNMA POOL AU1632
7/1/2043
3%
6,653,497


81
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL AU1661
7/1/2028
2.5%
300,259

FNMA POOL AU2666
10/1/2043
3%
1,900,824

FNMA POOL AU3034
8/1/2028
2.5%
133,752

FNMA POOL AU3191
8/1/2028
2.5%
607,580

FNMA POOL AU3205
7/1/2043
3%
2,851,447

FNMA POOL AU3226
8/1/2043
3%
3,801,987

FNMA POOL AU3334
7/1/2028
2.5%
675,832

FNMA POOL AU3374
8/1/2043
3%
3,802,018

FNMA POOL AU3621
7/1/2043
3%
950,567

FNMA POOL AU3736
8/1/2043
3%
8,554,405

FNMA POOL AU3781
8/1/2028
2.5%
5,795,816

FNMA POOL AU3789
8/1/2028
2.5%
393,941

FNMA POOL AU3817
8/1/2028
2.5%
166,972

FNMA POOL AU3951
8/1/2043
3%
1,900,971

FNMA POOL AU4920
9/1/2043
3%
950,469

FNMA POOL AU5016
10/1/2043
3%
4,752,266

FNMA POOL AU5161
8/1/2043
3%
4,752,119

FNMA POOL AU5190
8/1/2028
2.5%
486,109

FNMA POOL AU5340
6/1/2043
3%
2,851,533

FNMA POOL AU5383
8/1/2043
3%
1,901,026

FNMA POOL AU5385
7/1/2043
3%
4,752,579

FNMA POOL AU5836
8/1/2043
3%
3,801,870

FNMA POOL AU6106
9/1/2043
3%
2,851,350

FNMA POOL AU6623
7/1/2043
3%
3,802,059

FNMA POOL AU6735
10/1/2043
3%
3,801,815

FNMA POOL AU7195
9/1/2043
3%
950,454

FNMA POOL AU8087
9/1/2028
2.5%
397,001

FNMA POOL AV0702
12/1/2043
4%
2,060,187

FNMA POOL AV1699
11/1/2028
2.5%
925,735

FNMA POOL AV4736
12/1/2043
4%
1,030,094

FNMA POOL AV5667
1/1/2044
4%
1,030,092

FNMA POOL MA0006
3/1/2039
4%
45,947

FNMA POOL MA0243
11/1/2029
5%
1,220,315

FNMA POOL MA0320
2/1/2030
5%
432,867

FNMA POOL MA0583
12/1/2040
4%
14,443

FNMA POOL MA0629
1/1/2021
3.5%
80,702

FNMA POOL MA0706
4/1/2031
4.5%
630,238

FNMA POOL MA0734
5/1/2031
4.5%
1,858,796

FNMA POOL MA0776
6/1/2031
4.5%
1,860,454

FNMA POOL MA0816
8/1/2031
4.5%
1,362,346

FNMA POOL MA0833
8/1/2021
3%
348,166


82
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FNMA POOL MA0913
11/1/2031
4.5%
1,206,636

FNMA POOL MA0939
12/1/2031
4.5%
1,318,234

FNMA POOL MA0968
12/1/2031
4.5%
220,558

FNMA POOL MA1044
4/1/2042
3%
285,290

FNMA POOL MA1125
7/1/2042
4%
555,807

FNMA POOL MA1146
8/1/2042
4%
8,067,626

FNMA POOL MA1177
9/1/2042
3.5%
483,972

FNMA POOL MA1213
10/1/2042
3.5%
6,665,620

FNMA POOL MA1272
12/1/2042
3%
2,022,130

FNMA POOL MA1372
3/1/2043
3.5%
8,806,216

FNMA POOL MA1403
4/1/2043
3.5%
7,013,768

FNMA POOL MA1412
4/1/2043
2.5%
3,564,582

FNMA POOL MA1436
5/1/2043
3.5%
4,053,363

FNMA POOL MA1463
6/1/2043
3.5%
436,346

FNMA POOL MA1472
6/1/2033
3.5%
98,349

FNMA POOL MA1493
6/1/2043
2.5%
2,707,783

FNMA POOL MA1508
7/1/2043
3.5%
436,723

FNMA POOL MA1510
7/1/2043
4%
100,611

FNMA POOL MA1524
8/1/2043
3%
3,802,141

FNMA POOL MA1543
8/1/2033
3.5%
895,761

FNMA POOL MA1546
8/1/2043
3.5%
817,036

FNMA POOL MA1547
8/1/2043
4%
607,421

FNMA POOL MA1568
9/1/2028
2.5%
336,884

FNMA POOL MA1582
9/1/2043
3.5%
4,089,800

FNMA POOL MA1584
9/1/2033
3.5%
100,405

FNMA POOL MA1599
9/1/2043
3%
3,802,092

FNMA POOL MA1608
10/1/2033
3.5%
907,315

FNMA POOL MA1652
11/1/2033
3.5%
505,419

FNMA POOL MA1688
12/1/2033
3.5%
304,579

FNMA POOL MA1763
1/1/2034
3.5%
509,143

FOMENTO ECONOMICO MEX SP ADR ADR
 
 
166,379

FOOT LOCKER INC COMMON STOCK USD.01
 
 
3,650,864

FORD CREDIT AUTO LEASE TRUST FORDL 2013 A A2
5/15/2015
0.46%
2,954,321

FORD CREDIT AUTO LEASE TRUST FORDL 2013 A A3
3/15/2016
0.6%
1,999,934

FORD CREDIT AUTO LEASE TRUST FORDL 2013 B A2A
1/15/2016
0.59%
7,302,920

FORD CREDIT AUTO LEASE TRUST FORDL 2013 B A3
9/15/2016
0.76%
570,779

FORD CREDIT AUTO OWNER TRUST FORDO 2011 A A4
5/15/2016
1.65%
778,313

FORD CREDIT AUTO OWNER TRUST FORDO 2011 B A3
6/15/2015
0.84%
1,720,839

FORD CREDIT AUTO OWNER TRUST FORDO 2012 A A4
6/15/2017
1.15%
1,057,647

FORD CREDIT AUTO OWNER TRUST FORDO 2012 B A3
12/15/2016
0.72%
2,144,865

FORD CREDIT AUTO OWNER TRUST FORDO 2012 D A3
4/15/2017
0.51%
660,728


83
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FORD CREDIT AUTO OWNER TRUST FORDO 2013 A A3
7/15/2017
0.55%
1,527,102

FORD CREDIT AUTO OWNER TRUST FORDO 2013 B A2
2/15/2016
0.38%
7,830,039

FORD CREDIT AUTO OWNER TRUST FORDO 2013 C A3
12/15/2017
0.82%
308,114

FORD CREDIT AUTO OWNER TRUST FORDO 2013 C A4
10/15/2018
1.25%
3,023,829

FORD CREDIT AUTO OWNER TRUST FORDO 2013 D A3
4/15/2018
0.67%
1,906,100

FORD CREDIT FLOORPLAN MASTER O FORDF 2011 1 A1
2/15/2016
2.12%
606,307

FORD CREDIT FLOORPLAN MASTER O FORDF 2012 2 A
1/15/2019
1.92%
9,160,652

FORD CREDIT FLOORPLAN MASTER O FORDF 2013 5 A1
9/15/2018
1.5%
15,213,714

FORD MOTOR CO COMMON STOCK USD.01
 
 
13,252,056

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/15 3.875
1/15/2015
3.88%
6,253,035

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/18 2.375
1/16/2018
2.38%
605,976

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/20 8.125
1/15/2020
8.13%
5,064,323

FORD MOTOR CREDIT CO LLC SR UNSECURED 04/16 4.207
4/15/2016
4.21%
639,323

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/15 2.75
5/15/2015
2.75%
2,969,813

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/16 1.7
5/9/2016
1.7%
4,879,196

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/18 5.
5/15/2018
5%
7,090,031

FORD MOTOR CREDIT CO LLC SR UNSECURED 06/14 8.
6/1/2014
8%
175,190

FORD MOTOR CREDIT CO LLC SR UNSECURED 06/16 3.984
6/15/2016
3.98%
701,843

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/14 VAR
8/28/2014
1.34%
31,043,623

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/21 5.875
8/2/2021
5.88%
2,358,115

FORD MOTOR CREDIT CO LLC SR UNSECURED 10/14 8.7
10/1/2014
8.7%
370,518

FORD MOTOR CREDIT CO LLC SR UNSECURED 10/18 2.875
10/1/2018
2.88%
4,606,178

FOREST CITY ENTERPRISES CL A COMMON STOCK USD.333
 
 
1,931,870

FOREST LABORATORIES INC COMMON STOCK USD.1
 
 
10,712,354

FORESTAR GROUP INC COMMON STOCK USD1.
 
 
1,680,968

FORTESCUE METALS GROUP LTD COMMON STOCK NPV
 
 
70,766

FORTRESS OPPORTUNITIES RESIDEN FRT 2013 1A A1N 144A
10/25/2033
3.96%
178,921

FORTRESS OPPORTUNITIES RESIDEN FRT 2013 1A AR 144A
10/25/2018
4.21%
59,208

FORTUNE BRANDS HOME + SECURI COMMON STOCK USD.01
 
 
2,540,920

FORUM ENERGY TECHNOLOGIES IN COMMON STOCK USD.01
 
 
2,413,404

FOUNDATION MEDICINE INC COMMON STOCK
 
 
151,567

FRANK S INTERNATIONAL NV COMMON STOCK EUR.01
 
 
1,776,600

FRANKLIN RESOURCES INC COMMON STOCK USD.1
 
 
4,912,881

FRED OLSEN ENERGY ASA COMMON STOCK NOK20.
 
 
211,622

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/14 0.00000
1/14/2014
0.01%
13,769,204

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/14 0.00000
1/27/2014
0.01%
19,598,811

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 02/14 0.00000
2/4/2014
0.01%
9,789,068

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 04/14 0.00000
4/21/2014
0.01%
20,760,824

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 04/14 0.00000
4/28/2014
0.01%
33,989,724

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 05/14 0.00000
5/27/2014
0.01%
17,091,678

FREDDIE MAC FHR 2113 MW
1/15/2029
6.5%
375,291


84
Table of Contents


Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FREDDIE MAC FHR 2135 OH
3/15/2029
6.5%
381,152

FREDDIE MAC FHR 2175 TH
7/15/2029
6%
438,762

FREDDIE MAC FHR 2248 FB
9/15/2030
0.67%
12,168

FREDDIE MAC FHR 2319 PZ
5/15/2031
6.5%
1,006,109

FREDDIE MAC FHR 2338 ZC
7/15/2031
6.5%
497,566

FREDDIE MAC FHR 2410 PF
2/15/2032
1.15%
2,614,437

FREDDIE MAC FHR 2430 WF
3/15/2032
6.5%
186,052

FREDDIE MAC FHR 2450 PG
3/15/2022
6%
512,946

FREDDIE MAC FHR 2541 EQ
12/15/2017
5%
998,226

FREDDIE MAC FHR 2564 HJ
2/15/2018
5%
310,827

FREDDIE MAC FHR 2595 DC
4/15/2023
5%
325,969

FREDDIE MAC FHR 2600 MD
6/15/2032
5.5%
89,445

FREDDIE MAC FHR 2638 JG
2/15/2033
5%
1,337,124

FREDDIE MAC FHR 2649 KA
7/15/2018
4.5%
730,813

FREDDIE MAC FHR 2684 PE
1/15/2033
5%
209,596

FREDDIE MAC FHR 2692 QD
12/15/2022
5%
468,391

FREDDIE MAC FHR 2707 QE
11/15/2018
4.5%
959,808

FREDDIE MAC FHR 2764 UE
10/15/2032
5%
604,225

FREDDIE MAC FHR 2780 YD
4/15/2019
5%
297,344

FREDDIE MAC FHR 2797 PG
1/15/2033
5.5%
118,163

FREDDIE MAC FHR 2808 FT
4/15/2033
0.52%
174,347

FREDDIE MAC FHR 2810 PD
6/15/2033
6%
71,551

FREDDIE MAC FHR 2812 FL
2/15/2023
0.37%
1,041,680

FREDDIE MAC FHR 2827 QE
3/15/2033
5.5%
48,996

FREDDIE MAC FHR 2864 LE
6/15/2033
5%
77,562

FREDDIE MAC FHR 2955 OG
7/15/2033
5%
6,857

FREDDIE MAC FHR 2980 QA
5/15/2035
6%
245,800

FREDDIE MAC FHR 3005 ED
7/15/2025
5%
227,780

FREDDIE MAC FHR 3055 CF
10/15/2035
0.58%
1,209,013

FREDDIE MAC FHR 3062 MC
3/15/2035
5.25%
85,592

FREDDIE MAC FHR 3067 PK
5/15/2034
5.5%
674,176

FREDDIE MAC FHR 3151 PD
11/15/2034
6%
41,196

FREDDIE MAC FHR 3187 Z
7/15/2036
5%
423,847

FREDDIE MAC FHR 3209 EG
8/15/2020
4.5%
1,391,846

FREDDIE MAC FHR 3277 A
1/15/2021
4%
59,186

FREDDIE MAC FHR 3327 LD
6/15/2033
5.5%
12,085

FREDDIE MAC FHR 3404 FB
1/15/2038
1.17%
5,974,551

FREDDIE MAC FHR 3439 CY
4/15/2023
4.5%
3,729,495

FREDDIE MAC FHR 3571 FL
8/15/2036
1.11%
2,239,786

FREDDIE MAC FHR 3578 VZ
8/15/2036
5.5%
2,340,815


85
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FREDDIE MAC FHR 3616 FG
3/15/2032
0.81%
1,841,505

FREDDIE MAC FHR 3648 CY
3/15/2030
4.5%
340,733

FREDDIE MAC FHR 3653 HJ
4/15/2040
5%
732,958

FREDDIE MAC FHR 3662 PJ
4/15/2040
5%
344,138

FREDDIE MAC FHR 3677 PB
5/15/2040
4.5%
518,163

FREDDIE MAC FHR 3877 FA
11/15/2040
0.52%
6,841,895

FREDDIE MAC FHR 4042 EB
8/15/2039
6.5%
4,707,729

FREDDIE MAC FHR 4219 JA
8/15/2039
3.5%
453,649

FREDDIE MAC FHR 4227 VA
10/15/2037
3.5%
1,552,162

FREDDIE MAC NOTES 01/14 5.
1/30/2014
5%
8,306,321

FREDDIE MAC NOTES 01/18 0.75
1/12/2018
0.75%
3,192,316

FREDDIE MAC NOTES 01/22 2.375
1/13/2022
2.38%
19,649,861

FREDDIE MAC NOTES 03/16 0.6
3/28/2016
0.6%
8,065,578

FREDDIE MAC NOTES 03/17 1
3/8/2017
1%
1,502,444

FREDDIE MAC NOTES 03/18 0.875
3/7/2018
0.88%
2,472,182

FREDDIE MAC NOTES 04/14 1.35
4/29/2014
1.35%
2,007,924

FREDDIE MAC NOTES 04/14 4.5
4/2/2014
4.5%
2,021,426

FREDDIE MAC NOTES 04/16 5.25
4/18/2016
5.25%
6,646,632

FREDDIE MAC NOTES 05/16 2.5
5/27/2016
2.5%
5,232,965

FREDDIE MAC NOTES 05/17 1.25
5/12/2017
1.25%
7,551,435

FREDDIE MAC NOTES 05/20 1.375
5/1/2020
1.38%
829,700

FREDDIE MAC NOTES 06/17 VAR
6/20/2017
0.5%
7,440,774

FREDDIE MAC NOTES 08/14 0.375
8/28/2014
0.38%
3,204,541

FREDDIE MAC NOTES 08/14 1
8/20/2014
1%
1,005,212

FREDDIE MAC NOTES 08/14 1
8/27/2014
1%
2,011,630

FREDDIE MAC NOTES 08/16 2
8/25/2016
2%
13,686,472

FREDDIE MAC NOTES 08/19 1.25
8/1/2019
1.25%
633,015

FREDDIE MAC NOTES 09/17 1.
9/29/2017
1%
1,828,331

FREDDIE MAC NOTES 10/16 0.875
10/14/2016
0.88%
37,348,744

FREDDIE MAC NOTES 12/14 0.625
12/29/2014
0.63%
2,008,630

FREDDIE MAC SENIOR NOTES 11/16 0.625
11/1/2016
0.63%
1,673,292

FREDDIE MAC WHOLE LOAN FHW 2005 S001 2A2
9/25/2045
0.31%
1,041,067

FREDDIEMAC STRIP FHS 279 35
9/15/2042
3.5%
392,425

FREEPORT MCMORAN C + G COMPANY GUAR 03/18 2.375
3/15/2018
2.38%
399,023

FREEPORT MCMORAN C + G COMPANY GUAR 03/20 3.1
3/15/2020
3.1%
922,955

FREEPORT MCMORAN C + G COMPANY GUAR 03/23 3.875
3/15/2023
3.88%
1,163,143

FREEPORT MCMORAN C + G SR UNSECURED 02/15 1.4
2/13/2015
1.4%
3,477,299

FREEPORT MCMORAN C + G SR UNSECURED 03/17 2.15
3/1/2017
2.15%
260,688

FREEPORT MCMORAN C + G SR UNSECURED 03/22 3.55
3/1/2022
3.55%
2,936,736

FREMF MORTGAGE TRUST FREMF 2013 KF02 C 144A
12/25/2045
4.2%
1,142,768

FRESENIUS SE + CO KGAA COMMON STOCK NPV
 
 
169,465


86
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
FTI CONSULTING INC COMMON STOCK USD.01
 
 
2,145,945

FUBON FINANCIAL HOLDING CO COMMON STOCK TWD10.
 
 
299,898

FUCHS PETROLUB SE PREF PREFERENCE
 
 
195,779

FUJI ELECTRIC CO LTD COMMON STOCK
 
 
631,939

FUJI HEAVY INDUSTRIES LTD COMMON STOCK
 
 
909,334

FUJIFILM HOLDINGS CORP COMMON STOCK
 
 
402,742

FUKUOKA FINANCIAL GROUP INC COMMON STOCK
 
 
48,247

FULTON FINANCIAL CORP COMMON STOCK USD2.5
 
 
3,504,132

FXCM INC A COMMON STOCK USD.01
 
 
2,079,502

G + K SERVICES INC CL A COMMON STOCK USD.5
 
 
3,004,278

G III APPAREL GROUP LTD COMMON STOCK USD.01
 
 
2,001,332

GALAXY ENTERTAINMENT GROUP L COMMON STOCK HKD.1
 
 
234,419

GAS NATURAL SDG SA COMMON STOCK EUR1.
 
 
1,428,306

GATX CORP SR UNSECURED 03/19 2.5
3/15/2019
2.5%
9,642,406

GAZPROM OAO SPON ADR ADR
 
 
670,243

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2005 GG3 A3
8/10/2042
4.57%
2,062,290

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2005 GG3 AJ
8/10/2042
4.86%
878,654

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2005 GG5 A5
4/10/2037
5.22%
1,054,578

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2006 GG7 A4
7/10/2038
5.82%
1,780,447

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2007 GG9 A2
3/10/2039
5.38%
4,824,108

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2007 GG9 A3
3/10/2039
5.45%
3,040,317

GDF SUEZ COMMON STOCK EUR1.
 
 
2,216,954

GE CAPITAL CREDIT CARD MASTER GEMNT 2009 4 A
11/15/2017
3.8%
6,367,890

GE CAPITAL CREDIT CARD MASTER GEMNT 2010 2 A
3/15/2020
4.47%
1,362,528

GE CAPITAL CREDIT CARD MASTER GEMNT 2012 6 A
8/17/2020
1.36%
2,069,088

GE COMMERCIAL MORTGAGE CORPORA GECMC 2005 C4 A4
11/10/2045
5.31%
2,125,580

GE COMMERCIAL MORTGAGE CORPORA GECMC 2007 C1 A2
12/10/2049
5.42%
1,857,418

GE EQUIPMENT TRANSPORTATION LL GEET 2012 2 A3
7/25/2016
0.62%
2,816,763

GEA GROUP AG COMMON STOCK NPV
 
 
478,535

GEELY AUTOMOBILE HOLDINGS LT COMMON STOCK HKD.02
 
 
253,232

GENCORP INC COMMON STOCK USD.1
 
 
817,730

GENENTECH INC SR UNSECURED 07/15 4.75
7/15/2015
4.75%
3,956,227

GENERAC HOLDINGS INC COMMON STOCK USD.01
 
 
3,149,750

GENERAL DYNAMICS CORP COMPANY GUAR 11/22 2.25
11/15/2022
2.25%
803,595

GENERAL ELEC CAP CORP SR SECURED 12/15 1.
12/11/2015
1%
2,900,048

GENERAL ELEC CAP CORP SR SECURED 12/19 2.1
12/11/2019
2.1%
74,868

GENERAL ELEC CAP CORP SR UNSECURED 01/16 1.
1/8/2016
1%
200,500

GENERAL ELEC CAP CORP SR UNSECURED 01/16 5.
1/8/2016
5%
10,704,442

GENERAL ELEC CAP CORP SR UNSECURED 01/17 2.9
1/9/2017
2.9%
287,092

GENERAL ELEC CAP CORP SR UNSECURED 01/23 3.1
1/9/2023
3.1%
9,667,844

GENERAL ELEC CAP CORP SR UNSECURED 01/39 6.875
1/10/2039
6.88%
205,695


87
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
GENERAL ELEC CAP CORP SR UNSECURED 03/15 4.875
3/4/2015
4.88%
11,691,108

GENERAL ELEC CAP CORP SR UNSECURED 03/17 VAR
3/20/2017
0.42%
352,217

GENERAL ELEC CAP CORP SR UNSECURED 05/14 5.9
5/13/2014
5.9%
9,284,075

GENERAL ELEC CAP CORP SR UNSECURED 05/18 5.625
5/1/2018
5.63%
19,177,746

GENERAL ELEC CAP CORP SR UNSECURED 05/20 5.55
5/4/2020
5.55%
241,653

GENERAL ELEC CAP CORP SR UNSECURED 06/14 5.5
6/4/2014
5.5%
1,021,822

GENERAL ELEC CAP CORP SR UNSECURED 06/14 5.65
6/9/2014
5.65%
715,850

GENERAL ELEC CAP CORP SR UNSECURED 06/15 3.5
6/29/2015
3.5%
2,087,248

GENERAL ELEC CAP CORP SR UNSECURED 07/15 1.625
7/2/2015
1.63%
7,073,107

GENERAL ELEC CAP CORP SR UNSECURED 07/16 1.5
7/12/2016
1.5%
3,355,096

GENERAL ELEC CAP CORP SR UNSECURED 09/15 4.375
9/21/2015
4.38%
847,894

GENERAL ELEC CAP CORP SR UNSECURED 09/17 5.625
9/15/2017
5.63%
307,151

GENERAL ELEC CAP CORP SR UNSECURED 09/20 4.375
9/16/2020
4.38%
341,394

GENERAL ELEC CAP CORP SR UNSECURED 10/21 4.65
10/17/2021
4.65%
179,759

GENERAL ELEC CAP CORP SR UNSECURED 11/14 3.75
11/14/2014
3.75%
4,634,645

GENERAL ELEC CAP CORP SR UNSECURED 11/15 2.25
11/9/2015
2.25%
5,029,382

GENERAL ELEC CAP CORP SUBORDINATED 02/21 5.3
2/11/2021
5.3%
223,724

GENERAL ELECTRIC CO COMMON STOCK USD.06
 
 
25,182,152

GENERAL ELECTRIC CO SR UNSECURED 10/15 0.85
10/9/2015
0.85%
5,164,004

GENERAL ELECTRIC CO SR UNSECURED 10/22 2.7
10/9/2022
2.7%
2,059,198

GENERAL MILLS INC COMMON STOCK USD.1
 
 
7,205,008

GENERAL MILLS INC SR UNSECURED 01/16 0.875
1/29/2016
0.88%
2,891,721

GENERAL MILLS INC SR UNSECURED 02/17 5.7
2/15/2017
5.7%
1,429,721

GENERAL MILLS INC SR UNSECURED 12/21 3.15
12/15/2021
3.15%
73,417

GENERAL MOTORS CO COMMON STOCK USD.01
 
 
1,206,482

GENERALITAT DE CATALUNYA SR UNSECURED 02/20 4.95
2/11/2020
4.95%
547,507

GENERALITAT DE CATALUNYA SR UNSECURED 06/18 4.75
6/4/2018
4.75%
281,102

GENERALITAT DE CATALUNYA SR UNSECURED 11/16 4.3
11/15/2016
4.3%
211,295

GENERALITAT DE CATALUNYA SR UNSECURED REGS 04/15 3.875
4/7/2015
3.88%
3,562,999

GENERALITAT DE VALENCIA SR UNSECURED 07/15 3.25
7/6/2015
3.25%
276,114

GENERALITAT DE VALENCIA SR UNSECURED 09/17 VAR
9/3/2017
2.58%
250,872

GENERALITAT DE VALENCIA SR UNSECURED 11/16 4
11/2/2016
4%
2,355,632

GENERALITAT DE VALENCIA SR UNSECURED REGS 03/14 4.75
3/20/2014
4.75%
138,098

GENESCO INC COMMON STOCK USD1.
 
 
2,509,611

GENESEE + WYOMING INC CL A COMMON STOCK USD.01
 
 
9,182,380

GENPACT LTD W/D COMMON STOCK USD.01
 
 
8,459,438

GENTEX CORP COMMON STOCK USD.06
 
 
74,722

GENTING HONG KONG LTD COMMON STOCK USD.1
 
 
340,560

GENZYME CORP COMPANY GUAR 06/15 3.625
6/15/2015
3.63%
104,429

GEORGIA POWER COMPANY SR UNSECURED 04/16 3.
4/15/2016
3%
1,563,575

GEORGIA POWER COMPANY SR UNSECURED 05/22 2.85
5/15/2022
2.85%
660,609


88
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
GEORGIA POWER COMPANY SR UNSECURED 08/15 0.75
8/10/2015
0.75%
2,713,007

GEORGIA POWER COMPANY SR UNSECURED 11/15 0.625
11/15/2015
0.63%
5,585,975

GEOSPACE TECHNOLOGIES CORP COMMON STOCK USD.01
 
 
1,299,266

GERDAU HOLDINGS INC COMPANY GUAR REGS 01/20 7.
1/20/2020
7%
109,000

GERDAU TRADE INC COMPANY GUAR 144A 01/21 5.75
1/30/2021
5.75%
938,400

GFK SE COMMON STOCK NPV
 
 
516,950

GIANT MANUFACTURING COMMON STOCK TWD10.
 
 
433,338

GIGAMON INC COMMON STOCK USD.0001
 
 
632,670

GILEAD SCIENCES INC COMMON STOCK USD.001
 
 
24,955,962

GILEAD SCIENCES INC SR UNSECURED 12/14 2.4
12/1/2014
2.4%
10,566,278

GILEAD SCIENCES INC SR UNSECURED 12/21 4.4
12/1/2021
4.4%
10,679

GIMV NV COMMON STOCK
 
 
352,513

GIVAUDAN REG COMMON STOCK CHF10.
 
 
1,211,901

GKN PLC COMMON STOCK GBP.1
 
 
396,947

GLACIER BANCORP INC COMMON STOCK USD.01
 
 
3,451,023

GLAXOSMITHKLINE CAP INC COMPANY GUAR 03/16 0.7
3/18/2016
0.7%
4,978,775

GLAXOSMITHKLINE CAP INC COMPANY GUAR 03/23 2.8
3/18/2023
2.8%
1,199,355

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/15 0.75
5/8/2015
0.75%
7,498,674

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/17 1.5
5/8/2017
1.5%
1,685,752

GLAXOSMITHKLINE PLC COMMON STOCK GBP.25
 
 
282,972

GLENCORE FUNDING LLC COMPANY GUAR 144A 05/16 1.7
5/27/2016
1.7%
2,783,342

GLOBAL ALL CAP FUND WELLINGTON
 
 
321,964,883

GLOBAL LOGISTIC PROPERTIES L COMMON STOCK NPV
 
 
132,758

GLOBAL PAYMENTS INC COMMON STOCK NPV
 
 
3,509,460

GLORY LTD COMMON STOCK
 
 
337,044

GMAC COMMERCIAL MORTGAGE SECUR GMACC 2005 C1 A3
5/10/2043
4.54%
129,517

GMAC COMMERCIAL MORTGAGE SECUR GMACC 2006 C1 A1A
11/10/2045
5.23%
10,205,742

GMAC COMMERCIAL MORTGAGE SECUR GMACC 2006 C1 A4
11/10/2045
5.24%
4,071,401

GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1
7/19/2035
3.39%
4,013,865

GMAT TRUST GMAT 2013 1A A 144A
11/25/2043
3.97%
123,408

GNC HOLDINGS INC CL A COMMON STOCK USD.001
 
 
4,827,970

GNMA II POOL 002958
8/20/2030
8%
28,959

GNMA II POOL 003529
3/20/2034
5%
8,550

GNMA II POOL 003879
7/20/2036
6%
6,284

GNMA II POOL 004028
9/20/2037
6%
181,411

GNMA II POOL 004040
10/20/2037
6.5%
45,909

GNMA II POOL 004041
10/20/2037
7%
699,823

GNMA II POOL 004060
12/20/2037
6%
174,232

GNMA II POOL 004073
1/20/2038
6%
361,706

GNMA II POOL 004099
3/20/2038
6%
71,821

GNMA II POOL 004195
7/20/2038
6%
27,680


89
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
GNMA II POOL 004222
8/20/2038
6%
185,055

GNMA II POOL 004224
8/20/2038
7%
814,626

GNMA II POOL 004245
9/20/2038
6%
2,297,256

GNMA II POOL 004247
9/20/2038
7%
679,466

GNMA II POOL 004268
10/20/2038
6%
21,448

GNMA II POOL 004291
11/20/2038
6%
1,039,182

GNMA II POOL 004371
2/20/2039
6%
34,661

GNMA II POOL 004423
4/20/2039
4.5%
18,839

GNMA II POOL 004447
5/20/2039
5%
342,932

GNMA II POOL 004520
8/20/2039
5%
1,814,974

GNMA II POOL 004543
9/20/2039
6%
121,180

GNMA II POOL 004602
12/20/2039
6%
26,498

GNMA II POOL 004617
1/20/2040
4.5%
1,338,678

GNMA II POOL 004696
5/20/2040
4.5%
3,083,537

GNMA II POOL 004697
5/20/2040
5%
644,932

GNMA II POOL 004717
6/20/2040
6%
74,667

GNMA II POOL 004746
7/20/2040
4.5%
5,806,567

GNMA II POOL 004747
7/20/2040
5%
3,921,186

GNMA II POOL 004772
8/20/2040
5%
1,072,514

GNMA II POOL 004774
8/20/2040
6%
953,551

GNMA II POOL 004800
9/20/2040
4%
1,479,749

GNMA II POOL 004801
9/20/2040
4.5%
58,336

GNMA II POOL 004802
9/20/2040
5%
821,152

GNMA II POOL 004833
10/20/2040
4%
4,809,386

GNMA II POOL 004834
10/20/2040
4.5%
192,124

GNMA II POOL 004837
10/20/2040
6%
247,828

GNMA II POOL 004854
11/20/2040
4.5%
381,870

GNMA II POOL 004855
11/20/2040
5%
3,762,932

GNMA II POOL 004883
12/20/2040
4.5%
1,832,609

GNMA II POOL 004905
12/20/2040
6%
1,291,763

GNMA II POOL 004922
1/20/2041
4%
986,314

GNMA II POOL 004923
1/20/2041
4.5%
1,265,502

GNMA II POOL 004945
2/20/2041
4%
737,799

GNMA II POOL 004978
3/20/2041
4.5%
21,576,573

GNMA II POOL 004979
3/20/2041
5%
2,067,244

GNMA II POOL 004984
3/20/2041
5.5%
1,807,379

GNMA II POOL 004991
3/20/2041
6%
460,980

GNMA II POOL 005016
4/20/2041
4%
617,589

GNMA II POOL 005017
4/20/2041
4.5%
2,043,313

GNMA II POOL 005018
4/20/2041
5%
1,457,771

GNMA II POOL 005019
4/20/2041
6%
330,786


90
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
GNMA II POOL 005063
5/20/2041
6%
402,147

GNMA II POOL 005082
6/20/2041
4.5%
140,783

GNMA II POOL 005115
7/20/2041
4.5%
298,054

GNMA II POOL 005140
8/20/2041
4.5%
2,742,241

GNMA II POOL 005189
9/20/2041
6%
735,938

GNMA II POOL 005240
11/20/2041
6%
900,580

GNMA II POOL 005259
12/20/2041
4%
376,494

GNMA II POOL 005269
12/20/2041
6%
76,314

GNMA II POOL 005280
1/20/2042
4%
560,031

GNMA II POOL 005305
2/20/2042
4%
3,593,231

GNMA II POOL 005326
3/20/2027
3%
760,442

GNMA II POOL 008358
1/20/2024
1.63%
28,112

GNMA II POOL 008399
4/20/2024
1.63%
25,033

GNMA II POOL 008744
11/20/2025
1.63%
63,963

GNMA II POOL 008770
12/20/2025
1.63%
73,487

GNMA II POOL 008781
1/20/2026
1.63%
1,436

GNMA II POOL 008788 POOL 8788
1/20/2026
1.63%
17,736

GNMA II POOL 080012
11/20/2026
1.63%
29,114

GNMA II POOL 080106
8/20/2027
1.63%
32,017

GNMA II POOL 080397
4/20/2030
2%
5,536

GNMA II POOL 783368
7/20/2041
4.5%
4,111,230

GNMA II POOL MA0023
4/20/2042
4%
1,138,227

GNMA II POOL MA0317
8/20/2042
3%
2,832,679

GNMA II POOL MA0318
8/20/2042
3.5%
6,252,360

GNMA II POOL MA0391
9/20/2042
3%
3,282,244

GNMA II POOL MA0392
9/20/2042
3.5%
4,449,548

GNMA II POOL MA0462
10/20/2042
3.5%
6,291,886

GNMA II POOL MA0624
12/20/2042
3%
949,055

GNMA II POOL MA0698
1/20/2043
3%
962,311

GNMA II POOL MA1012
5/20/2043
3.5%
2,441,914

GNMA POOL 136713
3/15/2016
9.5%
656

GNMA POOL 146412
4/15/2016
9.5%
549

GNMA POOL 252622
10/15/2018
9.5%
2,622

GNMA POOL 300672
4/15/2022
8.5%
9,111

GNMA POOL 306283
10/15/2021
8.5%
11,120

GNMA POOL 315855
1/15/2022
8.5%
3,882

GNMA POOL 322562
4/15/2022
8.5%
13,981

GNMA POOL 389023
11/15/2022
8.5%
455

GNMA POOL 438506
1/15/2027
7%
17,454

GNMA POOL 476784
8/15/2028
7%
29,439

GNMA POOL 497630
2/15/2029
6%
10,602


91
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
GNMA POOL 498387
2/15/2029
6%
7,600

GNMA POOL 521330
5/15/2035
5%
510,178

GNMA POOL 523278
7/15/2031
6%
55,483

GNMA POOL 543812
2/15/2031
6%
22,236

GNMA POOL 586373
2/15/2035
5%
19,957

GNMA POOL 594106
9/15/2033
4.5%
243,921

GNMA POOL 595611
1/15/2035
5%
17,629

GNMA POOL 603692
6/15/2034
5%
30,679

GNMA POOL 604497
7/15/2033
5%
20,859

GNMA POOL 607451
1/15/2034
5%
57,560

GNMA POOL 607465
2/15/2034
5%
62,635

GNMA POOL 610410
8/15/2033
5%
29,660

GNMA POOL 615656
10/15/2033
5%
15,078

GNMA POOL 623871
6/15/2034
5%
34,233

GNMA POOL 633701
9/15/2033
5%
32,176

GNMA POOL 636484
3/15/2035
5%
44,267

GNMA POOL 637746
12/15/2034
5%
23,287

GNMA POOL 638222
12/15/2034
5%
18,617

GNMA POOL 643362
10/15/2035
5%
26,776

GNMA POOL 646853
8/15/2035
5.5%
20,429

GNMA POOL 672676
4/15/2038
5.5%
379,970

GNMA POOL 676754
3/15/2038
5.5%
715,783

GNMA POOL 687179
4/15/2038
5.5%
724,055

GNMA POOL 687835
8/15/2038
6%
294,331

GNMA POOL 688043
11/15/2038
6%
436,296

GNMA POOL 689805
8/15/2023
7%
41,725

GNMA POOL 690922
6/15/2038
5.5%
640,132

GNMA POOL 697586
11/15/2038
5.5%
13,956

GNMA POOL 711379
7/15/2038
5.5%
8,022

GNMA POOL 722000
6/15/2043
3%
481,168

GNMA POOL 723344
9/15/2039
4%
1,157,782

GNMA POOL 723430
11/15/2039
4.5%
613,825

GNMA POOL 733600
4/15/2040
5%
415,431

GNMA POOL 733627
5/15/2040
5%
872,969

GNMA POOL 737111
4/15/2040
4.5%
1,410,226

GNMA POOL 738108
3/15/2041
4.5%
1,329,437

GNMA POOL 745243
7/15/2040
4%
2,105,143

GNMA POOL 771561
8/15/2041
4%
736,839

GNMA POOL 780049
11/15/2021
9.5%
7,696

GNMA POOL 780151
12/15/2021
9%
46,299

GNMA POOL 780345
12/15/2021
9.5%
13,558


92
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
GNMA POOL 781213
12/15/2017
8%
8,531

GNMA POOL 781804
9/15/2034
6%
617,554

GNMA POOL 781847
12/15/2034
6%
526,567

GNMA POOL 781885
3/15/2035
5%
38,670

GNMA POOL 781902
2/15/2035
6%
466,524

GNMA POOL 781958
7/15/2035
5%
50,284

GNMA POOL 782382
8/15/2038
5.5%
160,453

GNMA POOL 782436
10/15/2038
6%
380,539

GNMA POOL 782716
7/15/2039
5%
541,236

GNMA POOL 782838
7/15/2019
4.5%
450,299

GNMA POOL AA5821
11/15/2042
3%
1,927,316

GNMA POOL AB3031
10/15/2042
3%
482,130

GNMA POOL AB3755
9/15/2042
3%
962,501

GNMA POOL AC3752
12/15/2042
3%
946,237

GNMA POOL AD0773
4/15/2043
3%
159,177

GNMA POOL AD2413
5/15/2043
3.5%
490,277

GNMA POOL AD2414
5/15/2043
3.5%
491,517

GNMA POOL AD4102
7/15/2043
3%
2,297,709

GNMA POOL AD4497
3/15/2043
3%
962,810

GNMA POOL AE7613
7/15/2043
3%
605,214

GOGO INC COMMON STOCK USD.0001
 
 
2,807,574

GOLD FIELDS OROGEN HOLD COMPANY GUAR 144A 10/20 4.875
10/7/2020
4.88%
881,449

GOLDCREST CO LTD COMMON STOCK
 
 
213,819

GOLDEN AGRI RESOURCES LTD COMMON STOCK USD.025
 
 
21

GOLDEN CREDIT CARD TRUST GCCT 2013 1A A 144A
2/15/2018
0.42%
10,481,972

GOLDMAN SACHS CAPITAL II LIMITD GUARA 12/49 VAR
12/1/2049
4%
84,360

GOLDMAN SACHS GROUP INC COMMON STOCK USD.01
 
 
22,576,543

GOLDMAN SACHS GROUP INC SR UNSECURED 01/14 5.15
1/15/2014
5.15%
1,001,517

GOLDMAN SACHS GROUP INC SR UNSECURED 01/15 VAR
1/12/2015
0.74%
6,402,118

GOLDMAN SACHS GROUP INC SR UNSECURED 01/16 5.35
1/15/2016
5.35%
303,009

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 2.375
1/22/2018
2.38%
10,831,013

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 5.95
1/18/2018
5.95%
17,440,629

GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75
1/24/2022
5.75%
7,682,821

GOLDMAN SACHS GROUP INC SR UNSECURED 01/23 3.625
1/22/2023
3.63%
774,682

GOLDMAN SACHS GROUP INC SR UNSECURED 02/14 VAR
2/7/2014
1.27%
4,313,017

GOLDMAN SACHS GROUP INC SR UNSECURED 02/16 3.625
2/7/2016
3.63%
14,839,647

GOLDMAN SACHS GROUP INC SR UNSECURED 02/19 7.5
2/15/2019
7.5%
298,402

GOLDMAN SACHS GROUP INC SR UNSECURED 03/20 5.375
3/15/2020
5.38%
4,331,742

GOLDMAN SACHS GROUP INC SR UNSECURED 04/18 6.15
4/1/2018
6.15%
19,986,580

GOLDMAN SACHS GROUP INC SR UNSECURED 04/18 VAR
4/30/2018
1.44%
5,059,070

GOLDMAN SACHS GROUP INC SR UNSECURED 05/14 6.
5/1/2014
6%
956,786


93
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
GOLDMAN SACHS GROUP INC SR UNSECURED 05/15 3.3
5/3/2015
3.3%
2,349,146

GOLDMAN SACHS GROUP INC SR UNSECURED 06/20 6
6/15/2020
6%
9,860,562

GOLDMAN SACHS GROUP INC SR UNSECURED 07/21 5.25
7/27/2021
5.25%
12,973,878

GOLDMAN SACHS GROUP INC SR UNSECURED 08/15 3.7
8/1/2015
3.7%
1,150,627

GOLDMAN SACHS GROUP INC SR UNSECURED 09/17 6.25
9/1/2017
6.25%
286,215

GOLDMAN SACHS GROUP INC SR UNSECURED 10/16 5.75
10/1/2016
5.75%
3,905,969

GOLDMAN SACHS GROUP INC SR UNSECURED 11/14 5.5
11/15/2014
5.5%
2,998,568

GOLDMAN SACHS GROUP INC SR UNSECURED 11/15 1.6
11/23/2015
1.6%
14,417,309

GOLDMAN SACHS GROUP INC SUBORDINATED 10/37 6.75
10/1/2037
6.75%
4,850,696

GOME ELECTRICAL APPLIANCES COMMON STOCK HKD.025
 
 
425,104

GOODMAN GROUP REIT NPV
 
 
85,480

GOODRICH PETROLEUM CORP COMMON STOCK USD.2
 
 
987,194

GOODYEAR TIRE + RUBBER CO COMMON STOCK NPV
 
 
574,036

GOOGLE INC CL A COMMON STOCK USD.001
 
 
133,228,918

GOVERNMENT NATIONAL MORTGAGE A GNR 1999 11 ZB
4/20/2029
6.5%
360,864

GOVERNMENT NATIONAL MORTGAGE A GNR 2000 30 FB
10/16/2030
0.62%
11,645

GOVERNMENT NATIONAL MORTGAGE A GNR 2002 31 FW
6/16/2031
0.57%
31,447

GOVERNMENT NATIONAL MORTGAGE A GNR 2004 19 KE
3/16/2034
5%
382,580

GOVERNMENT NATIONAL MORTGAGE A GNR 2006 3 B
1/16/2037
5.09%
1,358,460

GOVERNMENT NATIONAL MORTGAGE A GNR 2006 38 FZ
9/16/2035
0.27%
1,085,630

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 35 TE
6/20/2037
6%
111,693

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 70 PE
11/20/2037
5.5%
325,853

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 76 CF
9/16/2039
0.98%
2,604,131

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 96 FT
7/20/2038
0.92%
2,798,632

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 109 CH
12/20/2037
3%
7,177,428

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 14 QP
12/20/2039
6%
458,012

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H10 FC
5/20/2060
1.17%
5,118,723

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H20 AF
10/20/2060
0.51%
7,709,491

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H22 FE
5/20/2059
0.53%
4,165,701

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 48 QA
8/16/2039
5%
1,157,265

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H09 AF
3/20/2061
0.68%
1,653,583

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H11 FB
4/20/2061
0.68%
9,621,736

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 59 F
5/20/2042
0.62%
2,120,648

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 84 AB
7/16/2033
5%
1,684,341

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 WP
8/16/2042
6.5%
2,012,448

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 88 WA
6/20/2030
4.98%
3,011,755

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H04 BA
2/20/2063
1.65%
344,767

GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H05 FB
2/20/2062
0.57%
365,608

GPT GROUP REIT NPV
 
 
62,509

GRACO INC COMMON STOCK USD1.
 
 
2,327,976

GRAND CANYON EDUCATION INC COMMON STOCK USD.01
 
 
4,361,221


94
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
GRANITE MASTER ISSUER PLC GRANM 2005 1 A4
12/20/2054
0.37%
43,727

GRANITE MORTGAGES PLC. GRAN 2003 2 1A3 REGS
7/20/2043
0.74%
501,294

GRANITE MORTGAGES PLC. GRAN 2004 3 2A1
9/20/2044
0.53%
329,216

GREAT EAGLE HOLDINGS LTD COMMON STOCK HKD.5
 
 
422,478

GREAT WEST LIFECO INC COMMON STOCK NPV
 
 
77,059

GREATBATCH INC COMMON STOCK USD.001
 
 
3,086,404

GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2
6/25/2045
0.39%
1,307,715

GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1
1/25/2037
0.35%
2,302,730

GROUP 1 AUTOMOTIVE INC COMMON STOCK USD.01
 
 
2,506,722

GROUPE BRUXELLES LAMBERT SA COMMON STOCK NPV
 
 
91,859

GROWTHPOINT PROPERTIES LTD REIT NPV
 
 
56,190

GRUMA S.A.B. B COMMON STOCK NPV
 
 
433,319

GRUPA LOTOS SA COMMON STOCK PLN1.
 
 
263,915

GRUPO FINANCIERO BANORTE O COMMON STOCK MXN3.5
 
 
279,659

GRUPO MEXICO SAB DE CV SER B COMMON STOCK NPV
 
 
127,054

GRUPO TELEVISA SA SPON ADR ADR NPV
 
 
15,130

GS MORTGAGE SECURITIES TRUST GSMS 2004 GG2 A6
8/10/2038
5.4%
5,646,051

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG6 A2
4/10/2038
5.51%
663,553

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG6 A4
4/10/2038
5.55%
7,320,120

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG6 AAB
4/10/2038
5.59%
85,212

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG8 A4
11/10/2039
5.56%
6,644,681

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG8 AAB
11/10/2039
5.54%
100,853

GS MORTGAGE SECURITIES TRUST GSMS 2007 GG10 A4
8/10/2045
5.8%
2,964,784

GS MORTGAGE SECURITIES TRUST GSMS 2012 ALOH A 144A
4/10/2034
3.55%
1,140,528

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC13 A5
7/10/2046
4.18%
481,436

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC16 A4
11/10/2046
4.27%
4,264,495

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC16 AS
11/10/2046
4.65%
1,224,787

GS MORTGAGE SECURITIES TRUST GSMS 2013 GC16 B
11/10/2046
5.16%
985,835

GS MORTGAGE SECURITIES TRUST GSMS 2013 NYC5 A 144A
1/10/2030
2.32%
146,060

GSAMP TRUST GSAMP 2004 AR1 A2B
6/25/2034
1.37%
2,195,497

GSAMP TRUST GSAMP 2004 AR1 M1
6/25/2034
1.15%
871,829

GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 1AF 144A
3/25/2035
0.52%
2,460,806

GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP3 1AF 144A
9/25/2035
0.52%
699,823

GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1
3/25/2032
6%
6,832

GSR MORTGAGE LOAN TRUST GSR 2005 AR3 2A1
5/25/2035
0.61%
49,356

GTE CORP COMPANY GUAR 04/18 6.84
4/15/2018
6.84%
471,726

GUIDEWIRE SOFTWARE INC COMMON STOCK USD.0001
 
 
1,729,570

GULFMARK OFFSHORE INC CL A COMMON STOCK USD.01
 
 
5,446,484

GULFPORT ENERGY CORP COMMON STOCK USD.01
 
 
5,832,965

GUNMA BANK LTD/THE COMMON STOCK
 
 
11,170

H LUNDBECK A/S COMMON STOCK DKK5.
 
 
1,757,814


95
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
H2O RETAILING CORP COMMON STOCK
 
 
296,056

HACI OMER SABANCI HOLDING COMMON STOCK TRY1.
 
 
27,969

HAEMONETICS CORP/MASS COMMON STOCK USD.01
 
 
3,050,212

HAKUHODO DY HOLDINGS INC COMMON STOCK
 
 
82,194

HALLA VISTEON CLIMATE CONTRO COMMON STOCK KRW500.
 
 
592,256

HALLIBURTON CO COMMON STOCK USD2.5
 
 
13,174,700

HALLIBURTON CO SR UNSECURED 08/16 1
8/1/2016
1%
2,103,492

HALLIBURTON CO SR UNSECURED 11/21 3.25
11/15/2021
3.25%
64,305

HALLIBURTON COMPANY SR UNSECURED 08/23 3.5
8/1/2023
3.5%
1,206,869

HAMMERSON PLC REIT GBP.25
 
 
56,862

HANESBRANDS INC COMMON STOCK USD.01
 
 
2,923,232

HANG SENG BANK LTD COMMON STOCK HKD5.
 
 
223,905

HANGER INC COMMON STOCK USD.01
 
 
3,316,362

HANOVER INSURANCE GROUP INC/ COMMON STOCK USD.01
 
 
2,954,451

HANWHA CORPORATION COMMON STOCK KRW5000.
 
 
43,830

HANWHA LIFE INSURANCE CO LTD COMMON STOCK KRW5000.
 
 
164,623

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2003 1 A
5/19/2033
2.55%
32,152

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 4A
7/19/2035
2.75%
1,600,945

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A
6/20/2035
0.51%
3,746,194

HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2012 1 A2
8/15/2015
0.5%
1,043,643

HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2012 1 A4
2/15/2018
0.91%
2,220,716

HARMAN INTERNATIONAL COMMON STOCK USD.01
 
 
3,391,864

HARMONY GOLD MNG SPON ADR ADR
 
 
222,640

HARTFORD FINANCIAL SVCS GRP COMMON STOCK USD.01
 
 
5,833,030

HARTFORD FINL SVCS GRP SR UNSECURED 03/20 5.5
3/30/2020
5.5%
2,045,609

HASBRO INC COMMON STOCK USD.5
 
 
2,587,120

HAULOTTE GROUP COMMON STOCK EUR.13
 
 
360,287

HAYS PLC COMMON STOCK GBP.01
 
 
1,667,890

HCA HOLDINGS INC COMMON STOCK USD.01
 
 
6,197,529

HCA INC SR SECURED 04/19 8.5
4/15/2019
8.5%
1,272,000

HCA INC SR UNSECURED 01/15 6.375
1/15/2015
6.38%
315,000

HCA INC SR UNSECURED 03/14 5.75
3/15/2014
5.75%
504,500

HCC INSURANCE HOLDINGS INC COMMON STOCK USD1.
 
 
5,836,710

HCP INC SR UNSECURED 01/18 6.7
1/30/2018
6.7%
4,794,574

HCP INC SR UNSECURED 02/14 2.7
2/1/2014
2.7%
6,360,914

HCP INC SR UNSECURED 02/16 3.75
2/1/2016
3.75%
2,327,533

HCP INC SR UNSECURED 02/20 2.625
2/1/2020
2.63%
64,817

HCP INC SR UNSECURED 11/23 4.25
11/15/2023
4.25%
79,234

HDFC BANK LTD ADR ADR
 
 
340,956

HEALTH CARE REIT INC SR UNSECURED 03/16 3.625
3/15/2016
3.63%
2,672,685

HEALTH CARE REIT INC SR UNSECURED 03/18 2.25
3/15/2018
2.25%
6,920,564


96
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
HEALTHCARE SERVICES GROUP COMMON STOCK USD.01
 
 
4,309,403

HEALTHSOUTH CORP W/D COMMON STOCK USD.01
 
 
2,132,980

HEALTHSTREAM INC COMMON STOCK NPV
 
 
1,180,998

HEARTLAND PAYMENT SYSTEMS IN COMMON STOCK USD.001
 
 
5,835,222

HEARTWARE INTERNATIONAL INC COMMON STOCK USD.001
 
 
2,067,120

HEINEKEN NV COMMON STOCK EUR1.6
 
 
3,340,572

HEINEKEN NV SR UNSECURED 144A 04/22 3.4
4/1/2022
3.4%
39,053

HEINEKEN NV SR UNSECURED 144A 10/15 0.8
10/1/2015
0.8%
585,163

HELIX ENERGY SOLUTIONS GROUP COMMON STOCK NPV
 
 
6,353,522

HELMERICH + PAYNE COMMON STOCK USD.1
 
 
5,566,096

HENDERSON LAND DEVELOPMENT COMMON STOCK HKD2.
 
 
62,817

HENKEL AG + CO KGAA VORZUG PREFERENCE
 
 
1,383,992

HENNES + MAURITZ AB B SHS COMMON STOCK NPV
 
 
3,213,760

HERMES MICROVISION INC COMMON STOCK TWD10.
 
 
324,794

HERTZ VEHICLE FINANCING LLC HERTZ 2009 2A A2 144A
3/25/2016
5.29%
826,108

HERTZ VEHICLE FINANCING LLC HERTZ 2013 1A A2 144A
8/25/2019
1.83%
1,273,329

HESS CORP SR UNSECURED 02/19 8.125
2/15/2019
8.13%
3,279,181

HESS CORP SR UNSECURED 10/29 7.875
10/1/2029
7.88%
70,091

HEWLETT PACKARD CO COMMON STOCK USD.01
 
 
1,080,028

HEWLETT PACKARD CO SR UNSECURED 09/15 2.125
9/13/2015
2.13%
712,793

HEWLETT PACKARD CO SR UNSECURED 09/16 3
9/15/2016
3%
5,201,105

HEWLETT PACKARD CO SR UNSECURED 12/14 2.625
12/9/2014
2.63%
3,049,845

HEWLETT PACKARD CO SR UNSECURED 12/21 4.65
12/9/2021
4.65%
163,718

HIGHWOODS PROPERTIES INC REIT USD.01
 
 
1,622,514

HIKMA PHARMACEUTICALS PLC COMMON STOCK GBP.1
 
 
1,253,884

HILLTOP HOLDINGS INC COMMON STOCK USD.01
 
 
2,233,988

HILTON USA TRUST HILT 2013 HLT AFX 144A
11/5/2030
2.66%
15,547,730

HINO MOTORS LTD COMMON STOCK
 
 
581,552

HIROSE ELECTRIC CO LTD COMMON STOCK
 
 
4,603,530

HISTORIC TW INC COMPANY GUAR 02/23 9.15
2/1/2023
9.15%
132,608

HITACHI TRANSPORT SYSTEM LTD COMMON STOCK
 
 
365,967

HLSS SERVICER ADVANCE RECEIVAB HSART 2013 T1 A2 144A
1/16/2046
1.5%
139,482

HLSS SERVICER ADVANCE RECEIVAB HSART 2013 T4 AT4 144A
8/15/2044
1.18%
257,690

HMS HOLDINGS CORP COMMON STOCK USD.01
 
 
2,419,609

HOKUHOKU FINANCIAL GROUP INC COMMON STOCK
 
 
87,912

HOLOGIC INC COMMON STOCK USD.01
 
 
824,268

HOME BANCSHARES INC COMMON STOCK USD.01
 
 
1,754,330

HOME DEPOT INC SR UNSECURED 02/24 3.75
2/15/2024
3.75%
2,179,781

HOME DEPOT INC SR UNSECURED 03/16 5.4
3/1/2016
5.4%
131,626

HOME DEPOT INC SR UNSECURED 09/20 3.95
9/15/2020
3.95%
90,686

HOMESTAR MORTGAGE ACCEPTANCE C HMAC 2004 4 A3
9/25/2034
0.72%
179,754


97
Table of Contents


Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
HON HAI PRECISION GDR REG S GDR
 
 
70,011

HON HAI PRECISION GDR REG S GDR
 
 
2,104,996

HON HAI PRECISION INDUSTRY COMMON STOCK TWD10.
 
 
431,629

HONDA AUTO RECEIVABLES OWNER T HAROT 2011 3 A3
9/21/2015
0.88%
7,731,137

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 1 A3
1/15/2016
0.77%
677,395

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 1 A4
4/16/2018
0.97%
452,808

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 2 A2
11/17/2014
0.56%
221,319

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 2 A3
2/16/2016
0.7%
606,212

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 1 A3
11/21/2016
0.48%
2,799,775

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 3 A2
1/15/2016
0.54%
2,202,229

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 3 A4
9/16/2019
1.13%
8,610,612

HONDA AUTO RECEIVABLES OWNER T HAROT 2013 4 A2
4/18/2016
0.45%
6,699,839

HONDA MOTOR CO LTD COMMON STOCK
 
 
6,879,882

HONEYWELL INTERNATIONAL INC COMMON STOCK USD1.
 
 
22,868,997

HONEYWELL INTERNATIONAL SR UNSECURED 02/14 3.875
2/15/2014
3.88%
903,659

HONEYWELL INTERNATIONAL SR UNSECURED 03/18 5.3
3/1/2018
5.3%
282,603

HONG KONG + CHINA GAS COMMON STOCK NPV
 
 
7,354

HONG KONG EXCHANGES + CLEAR COMMON STOCK NPV
 
 
224,949

HONG LEONG BANK BERHAD COMMON STOCK MYR1.
 
 
27,697

HONOLULU CITY CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41%
2,582,832

HONOLULU CITY CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41%
2,767,320

HONOLULU CITY CNTY HI HON 11/22 FIXED 2.512
11/1/2022
2.51%
3,569,482

HONOLULU CITY CNTY HI HON 11/23 FIXED 2.812
11/1/2023
2.81%
4,881,438

HONOLULU CITY CNTY HI HON 11/23 FIXED 5
11/1/2023
5%
7,737,679

HONOLULU CITY CNTY HI HON 11/24 FIXED 5
 
 
8,151,159

HONOLULU CITY CNTY HI HON 11/24 FIXED 5
11/1/2024
5%
6,402,032

HONOLULU CITY CNTY HI HON 11/25 FIXED 5
 
 
6,061,978

HONOLULU CITY CNTY HI HON 11/25 FIXED 5
11/1/2025
5%
16,711,553

HONOLULU CITY CNTY HI HON 11/28 FIXED 5
11/1/2028
5%
6,711,586

HOPEWELL HOLDINGS LTD COMMON STOCK NPV
 
 
16,960

HOSPIRA INC SR UNSECURED 03/17 6.05
3/30/2017
6.05%
193,093

HOUSING URBAN DEVELOPMNT US GOVT GUAR 08/15 5.36
8/1/2015
5.36%
6,691,401

HOYA CORP COMMON STOCK
 
 
4,117,294

HSBC BANK PLC COVERED 144A 07/15 1.625
7/7/2015
1.63%
2,122,032

HSBC BANK PLC SENIOR NOTES 144A 06/15 3.5
6/28/2015
3.5%
2,944,574

HSBC BANK PLC SR UNSECURED 144A 05/16 3.1
5/24/2016
3.1%
14,402,438

HSBC BANK USA NA SUBORDINATED 08/20 4.875
8/24/2020
4.88%
393,919

HSBC BANK USA SUBORDINATED 04/14 4.625
4/1/2014
4.63%
848,649

HSBC BANK USA SUBORDINATED 08/17 6
8/9/2017
6%
16,886,625

HSBC BANK USA SUBORDINATED 11/34 5.875
11/1/2034
5.88%
109,934


98
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
HSBC FINANCE CORP SR UNSECURED 06/15 5.
6/30/2015
5%
4,913,739

HSBC FINANCE CORP SUBORDINATED 01/21 6.676
1/15/2021
6.68%
3,533,289

HSBC HOLDINGS PLC COMMON STOCK USD.5
 
 
9,411,257

HSBC HOLDINGS PLC SR UNSECURED 01/22 4.875
1/14/2022
4.88%
3,269,734

HSBC HOLDINGS PLC SR UNSECURED 03/22 4.
3/30/2022
4%
282,658

HSBC HOLDINGS PLC SR UNSECURED 04/21 5.1
4/5/2021
5.1%
2,600,791

HSBC USA INC SR UNSECURED 01/18 1.625
1/16/2018
1.63%
157,769

HSBC USA INC SR UNSECURED 02/15 2.375
2/13/2015
2.38%
9,030,248

HSBC USA INC SR UNSECURED 09/18 2.625
9/24/2018
2.63%
6,427,680

HULIC CO LTD COMMON STOCK
 
 
748,613

HUMANA INC SR UNSECURED 12/22 3.15
12/1/2022
3.15%
2,462,389

HUMANA INC. SR UNSECURED 08/18 6.3
8/1/2018
6.3%
786,564

HUNG POO REAL ESTATE DEVELOP COMMON STOCK TWD10.
 
 
271,765

HUNTINGTON AUTO TRUST HUNT 2012 1 A3
9/15/2016
0.81%
944,133

HUNTINGTON AUTO TRUST HUNT 2012 2 A2
9/15/2015
0.38%
2,674,833

HUNTINGTON AUTO TRUST HUNT 2012 2 A3
4/17/2017
0.51%
2,492,799

HURON CONSULTING GROUP INC COMMON STOCK USD.01
 
 
9,411,586

HUSKY ENERGY INC COMMON STOCK NPV
 
 
352,066

HUTCHISON WHAMPOA LTD COMMON STOCK NPV
 
 
204,095

HYDRO QUEBEC LOCAL GOVT G 01/22 8.4
1/15/2022
8.4%
182,953

HYOSUNG CORPORATION COMMON STOCK KRW5000.
 
 
228,616

HYPOTHEKENBANK FRANKFURT JUMBO PFANDB 01/16 2.875
1/19/2016
2.88%
1,011,327

HYSAN DEVELOPMENT CO COMMON STOCK HKD5.
 
 
254,528

HYUNDAI AUTO LEASE SECURITIZAT HALST 2013 A A2 144A
9/15/2015
0.51%
5,741,627

HYUNDAI AUTO LEASE SECURITIZAT HALST 2013 A A3 144A
6/15/2016
0.66%
4,863,115

HYUNDAI AUTO LEASE SECURITIZAT HALST 2013 B A2 144A
3/15/2016
0.75%
8,009,024

HYUNDAI AUTO RECEIVABLES TRUST HART 2010 B A4
3/15/2017
1.63%
1,175,565

HYUNDAI AUTO RECEIVABLES TRUST HART 2011 C A4
2/15/2018
1.3%
485,159

HYUNDAI AUTO RECEIVABLES TRUST HART 2012 A A4
12/15/2016
0.95%
955,527

HYUNDAI AUTO RECEIVABLES TRUST HART 2012 C A2
 
 
—

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A A3
7/17/2017
0.56%
3,012,190

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 A A4
9/17/2018
0.75%
993,852

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 B A3
9/15/2017
0.71%
1,039,998

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 C A2
6/15/2016
0.57%
8,009,016

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 C A3
2/15/2018
1.01%
8,157,233

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 C A4
3/15/2019
1.55%
504,821

HYUNDAI AUTO RECEIVABLES TRUST HART 2013 C B
3/15/2019
2.1%
534,542

HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 10/15 1.625
10/2/2015
1.63%
2,412,012

HYUNDAI CAPITAL AUTO FUNDING L HCAF 2010 8A A 144A
9/20/2016
1.17%
73,175

HYUNDAI DEPT STORE CO COMMON STOCK KRW5000.
 
 
12,815

HYUNDAI ENGINEERING + CONST COMMON STOCK KRW5000.
 
 
79,718


99
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
HYUNDAI HYSCO COMMON STOCK KRW5000.
 
 
266,613

HYUNDAI MOBIS CO LTD COMMON STOCK KRW5000.
 
 
292,568

HYUNDAI MOTOR CO COMMON STOCK KRW5000.
 
 
497,270

HYUNDAI WIA CORP COMMON STOCK KRW5000.
 
 
1,149,704

IBERDROLA SA COMMON STOCK EUR.75
 
 
297,676

IBERIABANK CORP COMMON STOCK USD1.
 
 
3,238,032

IBM CORP SR UNSECURED 01/16 2.
1/5/2016
2%
164,218

IBM CORP SR UNSECURED 02/15 0.55
2/6/2015
0.55%
8,948,233

IBM CORP SR UNSECURED 02/17 1.25
2/6/2017
1.25%
780,962

IBM CORP SR UNSECURED 05/15 0.75
5/11/2015
0.75%
5,750,207

IBM CORP SR UNSECURED 06/42 4.
6/20/2042
4%
96,435

IBM CORP SR UNSECURED 07/16 1.95
7/22/2016
1.95%
2,525,219

IBM CORP SR UNSECURED 08/23 3.375
8/1/2023
3.38%
959,689

IBM CORP SR UNSECURED 10/14 0.875
10/31/2014
0.88%
5,020,205

IBM CORP SR UNSECURED 11/19 8.375
11/1/2019
8.38%
1,569,420

IBM CORP SR UNSECURED 11/39 5.6
11/30/2039
5.6%
6,712

ICICI BANK LTD SPON ADR ADR
 
 
4,011,870

ICON PLC COMMON STOCK EUR.06
 
 
2,994,987

IG GROUP HOLDINGS PLC COMMON STOCK GBP.00005
 
 
340,763

IGATE CORP COMMON STOCK USD.01
 
 
1,064,240

IGM FINANCIAL INC COMMON STOCK NPV
 
 
47,512

IHS INC CLASS A COMMON STOCK USD.01
 
 
2,124,675

IIDA GROUP HOLDINGS CO LTD COMMON STOCK
 
 
326,544

ILLINOIS ST FIN AUTH REVENUE ILSGEN 06/47 FIXED OID 4
6/1/2047
4%
7,846,900

ILLINOIS ST ILS 01/15 FIXED 4.421
1/1/2015
4.42%
236,907

ILLINOIS TOOL WORKS COMMON STOCK USD.01
 
 
2,307,996

ILLUMINA INC COMMON STOCK USD.01
 
 
9,809,399

ILUKA RESOURCES LTD COMMON STOCK NPV
 
 
159

IMI PLC COMMON STOCK GBP.25
 
 
1,225,256

IMMUNOGEN INC COMMON STOCK USD.01
 
 
783,671

IMPAC CMB TRUST IMM 2004 6 1A2
10/25/2034
0.95%
2,251,879

IMPAC CMB TRUST IMM 2004 9 1A1
1/25/2035
0.93%
418,729

IMPAC CMB TRUST IMM 2007 A M1
5/25/2037
0.57%
3,919,598

IMPAC SECURED ASSETS CORP. IMSA 2006 2 2A1
8/25/2036
0.52%
341,792

IMPERIAL HOLDINGS LTD COMMON STOCK ZAR.04
 
 
257,669

IMPERIAL OIL LTD COMMON STOCK NPV
 
 
17,709

IMPERIAL TOBACCO FINANCE COMPANY GUAR 144A 02/18 2.05
2/11/2018
2.05%
1,018,485

IMPERIAL TOBACCO GROUP ADR ADR
 
 
1,026,696

IMPERVA INC COMMON STOCK USD.0001
 
 
2,479,658

INCHCAPE PLC COMMON STOCK GBP.1
 
 
288,333

INCITEC PIVOT LTD COMMON STOCK NPV
 
 
25,106


100
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
INCYTE CORP COMMON STOCK USD.001
 
 
3,097,746

IND + COMM BK OF CHINA H COMMON STOCK CNY1.
 
 
663,638

INDEPENDENCE GROUP NL COMMON STOCK NPV
 
 
398,131

INDIAN OIL CORP LTD SR UNSECURED REGS 01/15 4.75
1/22/2015
4.75%
143,460

INDIANA MICHIGAN POWER SR UNSECURED 03/23 3.2
3/15/2023
3.2%
84,132

INDITEX COMMON STOCK EUR.15
 
 
7,940,269

INDOCEMENT TUNGGAL PRAKARSA COMMON STOCK IDR500.
 
 
193,919

INDOFOOD SUKSES MAKMUR TBK P COMMON STOCK IDR100.
 
 
164,051

INDONESIA GOVERNMENT SR UNSECURED 05/33 6.625
5/15/2033
6.63%
114,557

INDONESIA GOVERNMENT SR UNSECURED 06/32 8.25
6/15/2032
8.25%
790,623

INDUSTRIAL ALLIANCE INSURANC COMMON STOCK
 
 
565,609

INDUSTRIAL BANK OF KOREA SR UNSECURED 144A 07/17 2.375
7/17/2017
2.38%
1,305,222

INFINERA CORP COMMON STOCK USD.001
 
 
1,116,045

INFOBLOX INC COMMON STOCK USD.0001
 
 
2,962,356

INFORMA PLC COMMON STOCK GBP.001
 
 
641,668

INFORMATICA CORP COMMON STOCK USD.001
 
 
2,456,800

INFOSYS LTD SP ADR ADR
 
 
656,560

ING BANK NV SR UNSECURED 144A 03/17 3.75
3/7/2017
3.75%
2,738,372

ING BANK NV UNSECURED 144A 09/15 2
9/25/2015
2%
203,313

ING GROEP NV CVA DUTCH CERT EUR.24
 
 
5,943,518

INGENEX INC SER B PFD
 
 
—

INGENICO COMMON STOCK EUR1.
 
 
828,847

INGERSOLL RAND GL HLD CO COMPANY GUAR 08/18 6.875
8/15/2018
6.88%
788,519

INGERSOLL RAND GL HLD CO COMPANY GUAR 144A 06/23 4.25
6/15/2023
4.25%
527,424

INNOLUX CORP COMMON STOCK TWD10.
 
 
305,424

INPEX CORP COMMON STOCK
 
 
3,534,644

INPHI CORP COMMON STOCK
 
 
2,799,532

INSULET CORP COMMON STOCK USD.001
 
 
4,586,042

INSURANCE AUSTRALIA GROUP COMMON STOCK NPV
 
 
250

INTEGRATED DEVICE TECH INC COMMON STOCK USD.001
 
 
1,167,774

INTEL CORP COMMON STOCK USD.001
 
 
18,542,060

INTEL CORP SR UNSECURED 10/16 1.95
10/1/2016
1.95%
513,999

INTEL CORP SR UNSECURED 10/21 3.3
10/1/2021
3.3%
59,610

INTEL CORP SR UNSECURED 12/17 1.35
12/15/2017
1.35%
2,490,614

INTER PARFUMS INC COMMON STOCK USD.001
 
 
1,917,626

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/18 2.5
10/15/2018
2.5%
228,670

INTERCONTINENTALEXCHANGE COMPANY GUAR 10/23 4.
10/15/2023
4%
62,367

INTERCONTINENTALEXCHANGE GRO COMMON STOCK USD.01
 
 
18,330,980

INTERFACE INC COMMON STOCK USD.1
 
 
2,546,855

INTERNATIONAL PERSONAL FINAN COMMON STOCK GBP.1
 
 
515,986

INTERNET INITIATIVE JAPAN COMMON STOCK
 
 
651,977


101
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
INTERPUBLIC GROUP OF COS INC COMMON STOCK USD.1
 
 
4,338,412

INTERPUMP GROUP SPA COMMON STOCK EUR.52
 
 
484,234

INTESA SANPAOLO SPA BANK GUARANT 01/16 3.125
1/15/2016
3.13%
2,720,896

INTESA SANPAOLO SPA SENIOR NOTES 144A 08/15 3.625
8/12/2015
3.63%
1,296,471

INTESA SANPAOLO SPA SR UNSECURED 144A 02/14 VAR
2/24/2014
2.66%
2,306,723

INTESA SANPAOLO SPA SR UNSECURED 144A 02/21 6.5
2/24/2021
6.5%
427,043

INTL BUSINESS MACHINES CORP COMMON STOCK USD.2
 
 
9,974,222

INTL LEASE FINANCE CORP SR SECURED 144A 09/14 6.5
9/1/2014
6.5%
2,429,313

INTL LEASE FINANCE CORP SR SECURED 144A 09/16 6.75
9/1/2016
6.75%
1,605,600

INTL PAPER CO SR UNSECURED 06/18 7.95
6/15/2018
7.95%
1,481,924

INTL RECTIFIER CORP COMMON STOCK USD1.
 
 
976,843

INTRALINKS HOLDINGS INC COMMON STOCK USD.001
 
 
2,027,517

INTRUM JUSTITIA AB COMMON STOCK NPV
 
 
941,675

INTUIT INC COMMON STOCK USD.01
 
 
21,540,557

INTUIT INC SR UNSECURED 03/17 5.75
3/15/2017
5.75%
1,252,256

INVENSENSE INC COMMON STOCK USD.001
 
 
2,657,554

INVENSYS PLC COMMON STOCK GBP.125
 
 
208,723

INVENTEC CO LTD COMMON STOCK TWD10.
 
 
395,204

INVESTEC LTD COMMON STOCK ZAR.0002
 
 
124,613

INVESTEC PLC COMMON STOCK GBP.0002
 
 
580,059

INVESTMENT AB KINNEVIK B SHS COMMON STOCK NPV
 
 
129,409

INVESTOR AB B SHS COMMON STOCK NPV
 
 
156,501

IPG PHOTONICS CORP COMMON STOCK USD.0001
 
 
3,867,694

IPIC GMTN LTD COMPANY GUAR 144A 11/15 3.125
11/15/2015
3.13%
72,363

IPSOS COMMON STOCK EUR.25
 
 
347,342

IROBOT CORP COMMON STOCK USD.01
 
 
433,234

IRONWOOD PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
1,075,086

ISHARES NORTH AMERICAN TECH ET ISHARES NORTH AMERICAN TECH
 
 
1,873,409

ITALY GOV T INT BOND SR UNSECURED 01/15 4.5
1/21/2015
4.5%
3,113,121

ITAU UNIBANCO HLDNG PREF ADR ADR NPV
 
 
2,821,719

ITC HOLDINGS CORP COMMON STOCK NPV
 
 
3,966,948

ITV PLC COMMON STOCK GBP.1
 
 
509,045

J + J SNACK FOODS CORP COMMON STOCK NPV
 
 
2,572,654

J FRONT RETAILING CO LTD COMMON STOCK
 
 
454,403

J P MORGAN MBS FUND COMMINGLED J P MORGAN MBS FUND COMMINGLED
 
 
76,118,960

J2 GLOBAL INC COMMON STOCK USD.01
 
 
3,230,646

JACK HENRY + ASSOCIATES INC COMMON STOCK USD.01
 
 
6,779,545

JACOBS ENGINEERING GROUP INC COMMON STOCK USD1.
 
 
4,295,918

JAMES HARDIE INDUSTRIES CDI RECEIPT EUR.59
 
 
148,567

JAPAN AIRLINES CO LTD COMMON STOCK
 
 
745,626

JAPAN EXCHANGE GROUP INC COMMON STOCK
 
 
88,159


102
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
JAPAN PRIME REALTY INVESTMEN REIT
 
 
28,857

JAPAN REAL ESTATE INVESTMENT REIT
 
 
64,393

JAPAN RETAIL FUND INVESTMENT REIT
 
 
40,759

JAPAN STEEL WORKS LTD COMMON STOCK
 
 
162,238

JAPAN TOBACCO INC COMMON STOCK
 
 
2,219,152

JAPAN TREASURY DISC BILL BILLS 02/14 0.00000
 
 
14,936,846

JARDEN CORP COMMON STOCK USD.01
 
 
11,759,875

JBS SA COMMON STOCK NPV
 
 
421,168

JEFFERIES GROUP LLC SR UNSECURED 03/16 5.5
3/15/2016
5.5%
75,600

JEFFERIES GROUP LLC SR UNSECURED 04/18 5.125
4/13/2018
5.13%
135,156

JEFFERIES GROUP LLC SR UNSECURED 07/19 8.5
7/15/2019
8.5%
85,400

JEFFERIES GROUP LLC SR UNSECURED 11/15 3.875
11/9/2015
3.88%
573,822

JGC CORP COMMON STOCK
 
 
470,958

JOHN DEERE CAPITAL CORP SENIOR NOTES 01/20 1.7
1/15/2020
1.7%
404,923

JOHN DEERE CAPITAL CORP SR UNSECURED 03/14 1.6
3/3/2014
1.6%
3,507,532

JOHN DEERE CAPITAL CORP SR UNSECURED 03/18 1.3
3/12/2018
1.3%
171,022

JOHN DEERE CAPITAL CORP SR UNSECURED 04/15 0.875
4/17/2015
0.88%
237,336

JOHN DEERE CAPITAL CORP SR UNSECURED 06/16 2.25
6/7/2016
2.25%
3,587,017

JOHN DEERE CAPITAL CORP SR UNSECURED 10/16 1.05
10/11/2016
1.05%
2,771,952

JOHN DEERE CAPITAL CORP SR UNSECURED 10/17 1.2
10/10/2017
1.2%
53,633

JOHN DEERE CAPITAL CORP SR UNSECURED 12/14 1.25
12/2/2014
1.25%
257,252

JOHN DEERE CAPITAL CORP UNSECURED 01/16 0.75
1/22/2016
0.75%
1,147,093

JOHN DEERE CAPITAL CORP UNSECURED 04/19 2.25
4/17/2019
2.25%
878,121

JOHN DEERE OWNER TRUST JDOT 2011 A A3
1/15/2016
1.29%
42,067

JOHN DEERE OWNER TRUST JDOT 2012 B A3
7/15/2016
0.53%
2,286,473

JOHN DEERE OWNER TRUST JDOT 2013 B A2
1/15/2016
0.55%
3,601,444

JOHN DEERE OWNER TRUST JDOT 2013 B A3
8/15/2017
0.87%
1,178,601

JOHNSON + JOHNSON COMMON STOCK USD1.
 
 
31,772,571

JOHNSON CONTROLS INC COMMON STOCK USD.01388
 
 
19,224,162

JOHNSON CONTROLS INC SR UNSECURED 02/14 VAR
2/4/2014
0.65%
355,151

JOHNSON CONTROLS INC SR UNSECURED 03/14 1.75
3/1/2014
1.75%
1,327,910

JOHNSON CONTROLS INC SR UNSECURED 12/16 2.6
12/1/2016
2.6%
103,398

JP MORGAN CHASE BANK NA SUBORDINATED 06/16 VAR
6/13/2016
0.57%
248,686

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 A3A2
9/12/2037
4.93%
1,525,511

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 A4
9/12/2037
4.9%
549,813

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 AM
9/12/2037
4.95%
294,454

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 ASB
9/12/2037
4.85%
905,589

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB13 A3A1
1/12/2043
5.24%
563,800

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP1 ASB
3/15/2046
4.85%
230,448

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP2 AM
7/15/2042
4.78%
784,133

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP2 ASB
7/15/2042
4.66%
96,393


103
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP4 A4
10/15/2042
4.92%
5,529,613

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP4 AM
10/15/2042
5%
1,726,349

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 CB14 ASB
12/12/2044
5.51%
1,377,741

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 CB16 AM
5/12/2045
5.59%
175,753

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP6 AM
4/15/2043
5.53%
205,881

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP7 A4
4/15/2045
5.86%
371,159

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP7 ASB
4/15/2045
5.86%
1,000,446

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP9 A3
5/15/2047
5.34%
547,350

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 C1 A3
2/15/2051
5.79%
1,114,446

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 CB20 AMFX
2/12/2051
5.93%
450,072

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD11 A2
6/15/2049
5.79%
4,190,986

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LDPX A1A
1/15/2049
5.44%
5,637,053

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2011 C5 A2
8/15/2046
3.15%
3,216,649

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 C10 A4
12/15/2047
2.88%
1,400,078

JP MORGAN MORTGAGE TRUST JPMMT 2004 A3 1A1
7/25/2034
2.54%
786,718

JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1
2/25/2035
3.55%
734,350

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 AS
11/15/2045
4.42%
1,349,788

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 B
11/15/2045
4.93%
2,425,688

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 C
11/15/2045
5.25%
542,480

JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C17 B
1/15/2047
4.89%
301,692

JPMCB LIQUIDITY FUND JP MORGAN SHORT TERM EQUITY IN
 
 
491,520,321

JPMORGAN CHASE + CO COMMON STOCK USD1.0
 
 
34,233,022

JPMORGAN CHASE + CO SR UNSECURED 01/15 3.7
1/20/2015
3.7%
7,786,621

JPMORGAN CHASE + CO SR UNSECURED 01/18 6.
1/15/2018
6%
6,258,278

JPMORGAN CHASE + CO SR UNSECURED 01/18 VAR
1/25/2018
1.14%
8,281,934

JPMORGAN CHASE + CO SR UNSECURED 01/23 3.2
1/25/2023
3.2%
1,497,881

JPMORGAN CHASE + CO SR UNSECURED 02/16 VAR
2/26/2016
0.86%
8,645,396

JPMORGAN CHASE + CO SR UNSECURED 03/16 3.45
3/1/2016
3.45%
23,913,666

JPMORGAN CHASE + CO SR UNSECURED 04/19 6.3
4/23/2019
6.3%
401,286

JPMORGAN CHASE + CO SR UNSECURED 05/21 4.625
5/10/2021
4.63%
3,665,203

JPMORGAN CHASE + CO SR UNSECURED 07/16 3.15
7/5/2016
3.15%
10,043,500

JPMORGAN CHASE + CO SR UNSECURED 07/20 4.4
7/22/2020
4.4%
908,340

JPMORGAN CHASE + CO SR UNSECURED 10/15 1.1
10/15/2015
1.1%
13,160,002

JPMORGAN CHASE + CO SR UNSECURED 10/20 4.25
10/15/2020
4.25%
5,512,192

JPMORGAN CHASE + CO SUBORDINATED 05/23 3.375
5/1/2023
3.38%
288,920

JPMORGAN CHASE + CO SUBORDINATED 06/17 6.125
6/27/2017
6.13%
5,792,672

JPMORGAN CHASE + CO SUBORDINATED 09/14 5.125
9/15/2014
5.13%
1,092,089

JPMORGAN CHASE + CO SUBORDINATED 10/15 5.15
10/1/2015
5.15%
448,896

JSE LTD COMMON STOCK ZAR.001
 
 
227,029

JULIUS BAER GROUP LTD COMMON STOCK CHF.02
 
 
4,068,391

JUNGHEINRICH PRFD PREFERENCE
 
 
716,871


104
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
JUNIPER NETWORKS INC COMMON STOCK USD.00001
 
 
8,347,290

JUNIPER NETWORKS INC SR UNSECURED 03/16 3.1
3/15/2016
3.1%
2,883,364

JUNTA DE ANDALUCIA SR UNSECURED 04/16 VAR
4/6/2016
5.22%
1,447,536

JUNTA DE CASTILLA Y LEON SR UNSECURED 03/19 6.505
3/1/2019
6.51%
196,795

JYOTHY LABORATORIES LTD COMMON STOCK INR1.
 
 
226,928

JYSKE BANK REG COMMON STOCK DKK10.
 
 
426,802

KABU.COM SECURITIES CO LTD COMMON STOCK
 
 
348,804

KADANT INC COMMON STOCK USD.01
 
 
2,462,036

KALBE FARMA TBK PT COMMON STOCK IDR10.
 
 
92,338

KANSAS CITY POWER + LT SR UNSECURED 03/23 3.15
3/15/2023
3.15%
22,256

KANSAS CITY POWER + LT SR UNSECURED 10/41 5.3
10/1/2041
5.3%
65,043

KASIKORNBANK PCL NVDR NVDR THB10.
 
 
75,959

KDDI CORP COMMON STOCK
 
 
818,715

KEISEI ELECTRIC RAILWAY CO COMMON STOCK
 
 
36,801

KEIYO BANK LTD/THE COMMON STOCK
 
 
173,312

KELLOGG CO COMMON STOCK USD.25
 
 
1,518,811

KELLOGG CO SR UNSECURED 05/15 1.125
5/15/2015
1.13%
6,011,651

KELLOGG CO SR UNSECURED 05/16 4.45
5/30/2016
4.45%
215,757

KELLOGG CO SR UNSECURED 05/17 1.75
5/17/2017
1.75%
479,432

KELLOGG CO SR UNSECURED 11/16 1.875
11/17/2016
1.88%
610,297

KENTUCKY UTILITIES CO 1ST MORTGAGE 11/15 1.625
11/1/2015
1.63%
203,743

KEPCO PLANT SERVICE + ENGINE COMMON STOCK KRW200.
 
 
459,285

KEPPEL CORP LTD COMMON STOCK NPV
 
 
203,841

KEPPEL REIT 1 REIT NPV
 
 
150

KERING COMMON STOCK EUR4.
 
 
1,147,109

KERNEL HOLDING SA COMMON STOCK NPV
 
 
31,024

KERR MCGEE CORP COMPANY GUAR 07/24 6.95
7/1/2024
6.95%
2,462,723

KEY BANK NA SR UNSECURED 02/18 1.65
2/1/2018
1.65%
7,129,766

KEY BANK NA SUBORDINATED 07/14 5.8
7/1/2014
5.8%
512,910

KEYCORP SR UNSECURED 03/21 5.1
3/24/2021
5.1%
431,701

KEYCORP SR UNSECURED 08/15 3.75
8/13/2015
3.75%
313,723

KEYCORP SR UNSECURED 12/18 2.3
12/13/2018
2.3%
4,210,232

KEYCORP STUDENT LOAN TRUST KSLT 2006 A 1B
12/27/2039
0.7%
4,887,291

KEYENCE CORP COMMON STOCK
 
 
4,538,319

KEYERA CORP COMMON STOCK NPV
 
 
60,169

KIA MOTORS CORPORATION COMMON STOCK KRW5000.
 
 
409,474

KIMBERLY CLARK DE MEXICO A COMMON STOCK NPV
 
 
239,838

KINDEN CORP COMMON STOCK
 
 
324,437

KINDER MORGAN ENER PART SR UNSECURED 02/17 6.
2/1/2017
6%
414,729

KINDER MORGAN ENER PART SR UNSECURED 02/20 6.85
2/15/2020
6.85%
2,080,197

KINDER MORGAN ENER PART SR UNSECURED 02/23 3.45
2/15/2023
3.45%
566,593


105
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
KINDER MORGAN INC COMMON STOCK USD.01
 
 
21,304,800

KINDER MORGAN INC KINDER MORGAN INC CW17
 
 
794,542

KINGBOARD LAMINATES HOLDINGS COMMON STOCK HKD.1
 
 
157,207

KINGFISHER PLC COMMON STOCK GBP.157143
 
 
455,868

KINROSS GOLD CORP COMMON STOCK NPV
 
 
161,929

KINSUS INTERCONNECT TECH COMMON STOCK TWD10.
 
 
338,477

KINTETSU WORLD EXPRESS INC COMMON STOCK
 
 
752,590

KIRIN HOLDINGS CO LTD COMMON STOCK
 
 
187,137

KLEPIERRE REIT EUR1.4
 
 
75,009

KOBE STEEL LTD COMMON STOCK
 
 
301,413

KOHLS CORP COMMON STOCK USD.01
 
 
1,330,788

KOITO MANUFACTURING CO LTD COMMON STOCK
 
 
57,286

KOMERCNI BANKA AS COMMON STOCK CZK500.
 
 
544,595

KONECRANES OYJ COMMON STOCK EUR.5
 
 
427,605

KONICA MINOLTA INC COMMON STOCK
 
 
668,693

KONINKLIJKE AHOLD NV COMMON STOCK EUR.3
 
 
1,232,485

KONINKLIJKE KPN NV SR SUBORDINA REGS 03/73 VAR
3/14/2073
6.88%
1,026,046

KONINKLIJKE PHILIPS NV COMMON STOCK EUR.2
 
 
1,609,606

KONINKLIJKE PHILIPS NV SR UNSECURED 03/22 3.75
3/15/2022
3.75%
50,027

KOREA DEVELOPMENT BANK SR UNSECURED 01/14 8.
1/23/2014
8%
3,303,512

KOREA HYDRO + NUCLEAR PO SR UNSECURED 144A 09/15 3.125
9/16/2015
3.13%
319,314

KOREA INVESTMENT HOLDINGS CO COMMON STOCK KRW5000.
 
 
432,607

KOREA TREASURY BOND SR UNSECURED 03/17 3.5
3/10/2017
3.5%
1,133,536

KOREA TREASURY BOND SR UNSECURED 06/15 3.25
6/10/2015
3.25%
898,996

KOREA TREASURY BOND SR UNSECURED 06/22 3.75
6/10/2022
3.75%
736,142

KOREA TREASURY BOND SR UNSECURED 09/18 5.75
9/10/2018
5.75%
1,158,251

KOREA TREASURY BOND SR UNSECURED 12/31 4.
12/10/2031
4%
258,313

KOREA ZINC CO LTD COMMON STOCK KRW5000.
 
 
215,746

KOREAN REINSURANCE CO COMMON STOCK KRW500.
 
 
255,701

KOZA ALTIN ISLETMELERI AS COMMON STOCK TRY1.
 
 
113,661

KRAFT FOODS GROUP INC SR UNSECURED 02/20 5.375
2/10/2020
5.38%
2,100,712

KRAFT FOODS GROUP INC SR UNSECURED 06/15 1.625
6/4/2015
1.63%
4,158,150

KRAFT FOODS GROUP INC SR UNSECURED 06/17 2.25
6/5/2017
2.25%
202,515

KRAFT FOODS GROUP INC SR UNSECURED 06/22 3.5
6/6/2022
3.5%
2,066,139

KRAFT FOODS GROUP INC SR UNSECURED 06/42 5.
6/4/2042
5%
73,934

KRAFT FOODS GROUP INC SR UNSECURED 08/18 6.125
8/23/2018
6.13%
11,905,673

KRISPY KREME DOUGHNUTS INC COMMON STOCK NPV
 
 
7,687,200

KROGER CO/THE COMPANY GUAR 01/14 7.5
1/15/2014
7.5%
1,408,205

KROGER CO/THE COMPANY GUAR 01/15 4.95
1/15/2015
4.95%
417,328

KROGER CO/THE SR UNSECURED 01/17 2.2
1/15/2017
2.2%
516,204

KROGER CO/THE SR UNSECURED 01/19 2.3
1/15/2019
2.3%
3,099,378


106
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
KROTON EDUCACIONAL SA COMMON STOCK NPV
 
 
134,791

KRUNG THAI BANK NVDR NVDR THB5.15
 
 
55,435

KT CORP COMMON STOCK KRW5000.
 
 
238,564

KUEHNE + NAGEL INTL AG REG COMMON STOCK CHF1.
 
 
1,648,762

KYOCERA CORP COMMON STOCK
 
 
2,477,522

L BRANDS INC COMMON STOCK USD.5
 
 
19,000,320

L OREAL COMMON STOCK EUR.2
 
 
433,048

LAB CORP OF AMER HLDGS SR UNSECURED 05/16 3.125
5/15/2016
3.13%
520,426

LAB CORP OF AMER HLDGS SR UNSECURED 08/17 2.2
8/23/2017
2.2%
501,630

LABORATORY CORP OF AMER SR UNSECURED 12/15 5.625
12/15/2015
5.63%
325,728

LAGARDERE SCA COMMON STOCK EUR6.1
 
 
1,048,608

LAM RESEARCH CORP COMMON STOCK USD.001
 
 
15,329,417

LANCASHIRE HOLDINGS LTD COMMON STOCK USD.5
 
 
541,317

LAND SECURITIES GROUP PLC REIT GBP.1
 
 
123,961

LANNETT CO INC COMMON STOCK USD.001
 
 
886,716

LAREDO PETROLEUM INC COMMON STOCK USD.01
 
 
1,874,613

LARGAN PRECISION CO LTD COMMON STOCK TWD10.
 
 
448,437

LASALLE HOTEL PROPERTIES REIT USD.01
 
 
2,131,346

LAWSON INC COMMON STOCK
 
 
838,628

LB COMMERCIAL CONDUIT MORTGAGE LBCMT 2007 C3 AM
7/15/2044
6.05%
4,262,749

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2004 C2 A4
3/15/2036
4.37%
153,641

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2005 C2 A5
4/15/2030
5.15%
354,079

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2005 C7 AM
11/15/2040
5.26%
718,129

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C1 A4
2/15/2031
5.16%
6,276,848

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C1 AM
2/15/2031
5.22%
515,789

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C3 A1A
3/15/2039
5.64%
13,652,221

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C6 A1A
9/15/2039
5.34%
4,323,757

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A2
11/15/2038
5.3%
2,448,773

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A3
11/15/2038
5.35%
7,273,978

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C6 A4
7/15/2040
5.86%
3,598,313

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 A3
9/15/2045
5.87%
2,796,251

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 AM
9/15/2045
6.37%
3,508,995

LBG CAPITAL NO.1 PLC BANK GUARANT 10/20 7.625
10/14/2020
7.63%
589,136

LBG CAPITAL NO.1 PLC BANK GUARANT REGS 05/20 7.5884
5/12/2020
7.59%
700,925

LBG CAPITAL NO.1 PLC BANK GUARANT REGS 08/20 7.869
8/25/2020
7.87%
1,230,676

LBG CAPITAL NO.2 PLC BANK GUARANT 12/19 15
12/21/2019
15%
1,123,471

LBG CAPITAL NO.2 PLC BANK GUARANT REGS 12/19 15.
12/21/2019
15%
206,348

LEASEPLAN CORPORATION NV SR UNSECURED 144A 05/18 2.5
5/16/2018
2.5%
1,749,960

LEE + MAN PAPER MANUFACTURIN COMMON STOCK HKD.025
 
 
308,483

LEGAL + GENERAL GROUP PLC COMMON STOCK GBP.025
 
 
350,769

LEGRAND SA COMMON STOCK EUR4.
 
 
2,204,880


107
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
LEHMAN BROS CAP TR VII LIMITD GUARA 11/49 VAR
11/29/2049
5.86%
287

LEHMAN BROTHERS HOLDINGS NOTES 07/17 6.5
7/19/2017
6.5%
205

LEHMAN BROTHERS HOLDINGS SUBORDINATED 12/17 6.75
12/28/2017
6.75%
676

LEHMAN XS TRUST LXS 2005 5N 1A1
11/25/2035
0.47%
1,655,565

LEHMAN XS TRUST LXS 2006 14N 3A2
8/25/2036
0.29%
1,490,775

LEND LEASE GROUP MISC. NPV
 
 
2,076

LENNAR CORP A COMMON STOCK USD.1
 
 
545,928

LENNOX INTERNATIONAL INC COMMON STOCK USD.01
 
 
389,575

LENOVO GROUP LTD COMMON STOCK NPV
 
 
11,028,372

LG CHEM LTD COMMON STOCK KRW5000.
 
 
156,086

LG DISPLAY CO LTD COMMON STOCK KRW5000.
 
 
190,723

LG ELECTRONICS INC COMMON STOCK KRW5000.
 
 
61,044

LG UPLUS CORP COMMON STOCK KRW5000.
 
 
56,228

LG+E AND KU ENERGY LLC SR UNSECURED 11/15 2.125
11/15/2015
2.13%
407,002

LG+E AND KU ENERGY LLC SR UNSECURED 11/20 3.75
11/15/2020
3.75%
505,855

LI + FUNG LTD COMMON STOCK HKD.0125
 
 
3,541,143

LI NING CO LTD COMMON STOCK HKD.1
 
 
277,156

LIBERTY HOLDINGS LTD COMMON STOCK ZAR.0833
 
 
266,472

LIBERTY INTERACTIVE CORP A COMMON STOCK USD.01
 
 
27,360,070

LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 06/21 5.
6/1/2021
5%
78,659

LIBERTY MUTUAL GROUP INC SR UNSECURED 144A 08/16 6.7
8/15/2016
6.7%
355,875

LIBERTY PROPERTY TRUST REIT USD.001
 
 
3,261,681

LIFE TECHNOLOGIES CORP SR UNSECURED 01/16 3.5
1/15/2016
3.5%
208,330

LIFE TIME FITNESS INC COMMON STOCK USD.02
 
 
5,883,225

LIFELOCK INC COMMON STOCK USD.001
 
 
1,438,337

LIFESTYLE INTL HLDGS LTD COMMON STOCK HKD.005
 
 
340,769

LIGHTPOINT PAN EUROPEAN CLO PL LIGHP 2006 1X A REGS
1/31/2022
0.48%
1,812,831

LINCOLN NATIONAL CORP SR UNSECURED 02/14 4.75
2/15/2014
4.75%
221,079

LINCOLN NATIONAL CORP SR UNSECURED 02/20 6.25
2/15/2020
6.25%
86,462

LINCOLN NATIONAL CORP SR UNSECURED 06/21 4.85
6/24/2021
4.85%
26,853

LINDE AG COMMON STOCK NPV
 
 
4,072,596

LINK REIT REIT NPV
 
 
141,053

LINKEDIN CORP A COMMON STOCK USD.0001
 
 
17,458,629

LITE ON TECHNOLOGY CORP COMMON STOCK TWD10.
 
 
78,979

LLOYDS BANK PLC BANK GUARANT 01/16 4.875
1/21/2016
4.88%
8,963,975

LLOYDS BANK PLC BANK GUARANT 11/18 2.3
11/27/2018
2.3%
3,326,349

LLOYDS BANK PLC BANK GUARANT 144A 01/20 5.8
1/13/2020
5.8%
4,356,582

LLOYDS BANKING GROUP PLC COMMON STOCK
 
 
1,152,118

LOCKHEED MARTIN CORP COMMON STOCK USD1.
 
 
16,126,637

LOCKHEED MARTIN CORP COMPANY GUAR 05/16 7.65
5/1/2016
7.65%
126,885

LOCKHEED MARTIN CORP SR UNSECURED 09/16 2.125
9/15/2016
2.13%
512,994


108
Table of Contents


Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
LOCKHEED MARTIN CORP SR UNSECURED 09/21 3.35
9/15/2021
3.35%
89,298

LOCKHEED MARTIN CORP SR UNSECURED 11/19 4.25
11/15/2019
4.25%
655,952

LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 4 AV1
8/25/2033
0.79%
3,300,561

LONGFOR PROPERTIES COMMON STOCK HKD.1
 
 
30,058

LORILLARD INC COMMON STOCK USD.01
 
 
5,949,832

LORILLARD TOBACCO CO COMPANY GUAR 05/23 3.75
5/20/2023
3.75%
559,877

LORILLARD TOBACCO CO COMPANY GUAR 06/19 8.125
6/23/2019
8.13%
3,885,886

LORILLARD TOBACCO CO COMPANY GUAR 08/16 3.5
8/4/2016
3.5%
13,000,487

LORILLARD TOBACCO CO COMPANY GUAR 08/17 2.3
8/21/2017
2.3%
3,040,690

LOS ANGELES CA CMNTY CLG DIST LOSHGR 08/42 FIXED 6.6
8/1/2042
6.6%
379,787

LOS ANGELES CA CMNTY CLG DIST LOSHGR 08/49 FIXED 6.75
8/1/2049
6.75%
351,016

LOS ANGELES CA DEPT OF ARPTS LOSAPT 05/24 FIXED 5
5/15/2024
5%
1,104,490

LOS ANGELES CA DEPT OF ARPTS LOSAPT 05/39 FIXED 6.582
5/15/2039
6.58%
45,592

LOS ANGELES CA UNIF SCH DIST LOSSCD 07/34 FIXED 6.758
7/1/2034
6.76%
491,656

LUKOIL OAO SPON ADR ADR RUB.025
 
 
537,320

LVMH MOET HENNESSY LOUIS VUI COMMON STOCK EUR.3
 
 
5,427,216

LYB INTL FINANCE BV COMPANY GUAR 07/23 4.
7/15/2023
4%
291,181

M+T BANK AUTO RECEIVABLES TRUS MTBAT 2013 1A A3 144A
11/15/2017
1.06%
603,517

M3 INC COMMON STOCK
 
 
5,081,723

MACQUARIE BANK LTD SR UNSECURED 144A 02/17 5
2/22/2017
5%
656,086

MACQUARIE BANK LTD SR UNSECURED 144A 08/16 2
8/15/2016
2%
404,548

MACQUARIE EQUIPMENT FUNDING TR MEFT 2012 A A2 144A
4/20/2015
0.61%
1,306,516

MACQUARIE GROUP LTD COMMON STOCK NPV
 
 
406,119

MACQUARIE GROUP LTD SR UNSECURED 144A 08/14 7.3
8/1/2014
7.3%
487,211

MACYS RETAIL HLDGS INC COMPANY GUAR 07/14 5.75
7/15/2014
5.75%
2,258,868

MACYS RETAIL HLDGS INC COMPANY GUAR 07/17 7.45
7/15/2017
7.45%
280,678

MACYS RETAIL HLDGS INC COMPANY GUAR 12/16 5.9
12/1/2016
5.9%
8,566,255

MAGELLAN HEALTH SERVICES INC COMMON STOCK USD.01
 
 
3,738,084

MAGELLAN MIDSTREAM PARTN SR UNSECURED 06/14 6.45
6/1/2014
6.45%
204,851

MAGNA INTERNATIONAL INC COMMON STOCK NPV
 
 
786,974

MAGNIT OJSC SPON GDR REGS DEPOSITORY RECEIPT
 
 
79,109

MALAYAN BANKING BHD COMMON STOCK MYR1.
 
 
228,509

MALAYSIAN GOVERNMENT SR UNSECURED 03/27 3.892
3/15/2027
3.89%
261,881

MALAYSIAN GOVERNMENT SR UNSECURED 10/17 3.314
10/31/2017
3.31%
482,307

MALAYSIAN GOVERNMENT SR UNSECURED 11/19 4.378
11/29/2019
4.38%
342,412

MANUF + TRADERS TRUST CO SR UNSECURED 03/18 1.45
3/7/2018
1.45%
243,177

MANULIFE FINANCIAL CORP COMMON STOCK NPV
 
 
798,946

MANULIFE FINANCIAL CORP SR UNSECURED 09/15 3.4
9/17/2015
3.4%
6,479,783

MARATHON OIL CORP COMMON STOCK USD1.
 
 
12,090,250

MARATHON OIL CORP SR UNSECURED 03/18 5.9
3/15/2018
5.9%
227,576


109
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
MARATHON OIL CORP SR UNSECURED 11/15 0.9
11/1/2015
0.9%
3,217,681

MARATHON OIL CORP SR UNSECURED 11/22 2.8
11/1/2022
2.8%
78,337

MARKEL CORP COMMON STOCK NPV
 
 
4,304,456

MARKETAXESS HOLDINGS INC COMMON STOCK USD.003
 
 
2,760,995

MARKS + SPENCER GROUP PLC COMMON STOCK GBP.25
 
 
252,972

MARRIOTT VACATIONS WORLD COMMON STOCK USD.01
 
 
2,783,090

MARUBENI CORP COMMON STOCK
 
 
79,121

MARUI GROUP CO LTD COMMON STOCK
 
 
26,419

MARYLAND ST MDS 08/17 FIXED 5
8/1/2017
5%
12,821,373

MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1
4/25/2038
1.19%
75,370

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/16 3.125
4/14/2016
3.13%
680,391

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/17 2.
4/5/2017
2%
340,999

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 08/18 2.1
8/2/2018
2.1%
99,194

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 10/22 2.5
10/17/2022
2.5%
90,320

MASSMUTUTAL GLOB FNDG II SR SECURED 144A 07/18 5.25
7/31/2018
5.25%
2,575,365

MASTERCARD INC CLASS A COMMON STOCK USD.0001
 
 
75,298,339

MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1
12/25/2033
2.83%
1,077,328

MASTR ALTERNATIVE LOANS TRUST MALT 2004 8 7A1
9/25/2019
5%
249,075

MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2
11/25/2036
0.28%
2,831,280

MASTR ASSET SECURITIZATION TRU MASTR 2003 11 6A16
12/25/2033
5.25%
1,685,409

MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A1 144A
8/25/2034
6%
111,865

MATADOR RESOURCES CO COMMON STOCK USD.01
 
 
1,981,991

MAVENIR SYSTEMS INC COMMON STOCK USD.001
 
 
2,415,511

MAXIM INTEGRATED PRODUCT SR UNSECURED 11/18 2.5
11/15/2018
2.5%
10,907,050

MAXIM INTEGRATED PRODUCTS COMMON STOCK USD.001
 
 
7,510,799

MAXIMUS INC COMMON STOCK NPV
 
 
5,563,855

MAZDA MOTOR CORP COMMON STOCK
 
 
191,504

MCDONALD S CORP COMMON STOCK USD.01
 
 
12,745,376

MCDONALD S CORP SR UNSECURED 03/18 5.35
3/1/2018
5.35%
3,647,375

MCDONALD S CORP SR UNSECURED 05/15 0.75
5/29/2015
0.75%
10,167,946

MCDONALD S CORP SR UNSECURED 05/19 1.875
5/29/2019
1.88%
414,675

MCDONALD S CORP SR UNSECURED 07/20 3.5
7/15/2020
3.5%
187,520

MCDONALD S CORP SR UNSECURED 07/40 4.875
7/15/2040
4.88%
81,682

MCDONALD S CORP SR UNSECURED 10/17 5.8
10/15/2017
5.8%
1,170,215

MCGRAW HILL FINANCIAL INC COMMON STOCK USD1.
 
 
2,184,126

MCKESSON CORP COMMON STOCK USD.01
 
 
13,200,099

MCKESSON CORP SR UNSECURED 03/17 5.7
3/1/2017
5.7%
1,449,297

MEAD JOHNSON NUTRITION C SR UNSECURED 11/14 3.5
11/1/2014
3.5%
296,360

MEDA AB A SHS COMMON STOCK NPV
 
 
317,628

MEDCO HEALTH SOLUTIONS COMPANY GUAR 09/20 4.125
9/15/2020
4.13%
124,253

MEDIA NUSANTARA CITRA TBK PT COMMON STOCK IDR100.
 
 
131,897


110
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
MEDIATEK INC COMMON STOCK TWD10.
 
 
15,327,227

MEDICINES COMPANY COMMON STOCK USD.001
 
 
3,610,970

MEDIDATA SOLUTIONS INC COMMON STOCK USD.01
 
 
8,537,039

MEDIPAL HOLDINGS CORP COMMON STOCK
 
 
499,181

MEDNAX INC COMMON STOCK USD.01
 
 
9,879,570

MEDTRONIC INC COMMON STOCK USD.1
 
 
12,507,003

MEDTRONIC INC SR UNSECURED 03/15 3
3/15/2015
3%
6,164,874

MEDTRONIC INC SR UNSECURED 03/20 4.45
3/15/2020
4.45%
1,282,224

MEDTRONIC INC SR UNSECURED 03/22 3.125
3/15/2022
3.13%
252,627

MEDUSA MINING LTD COMMON STOCK NPV
 
 
93,904

MELCO INTERNATIONAL DEVELOP. COMMON STOCK NPV
 
 
515,493

MELIA HOTELS INTERNATIONAL COMMON STOCK EUR.2
 
 
496,518

MELLON FUNDING CORP COMPANY GUAR 12/14 5
12/1/2014
5%
156,022

MEN S WEARHOUSE INC/THE COMMON STOCK USD.01
 
 
765,894

MERCADOLIBRE INC COMMON STOCK USD.001
 
 
211,268

MERCEDES BENZ AUTO LEASE TRUST MBALT 2013 A A3
2/15/2016
0.59%
501,308

MERCEDES BENZ AUTO RECEIVABLES MBART 2012 1 A3
10/17/2016
0.47%
2,215,454

MERCEDES BENZ AUTO RECEIVABLES MBART 2013 1 A3
8/15/2017
0.78%
181,346

MERCEDES BENZ AUTO RECEIVABLES MBART 2013 1 A4
11/15/2019
1.13%
1,001,041

MERCIALYS REIT EUR1.
 
 
285,787

MERCK + CO INC COMPANY GUAR 09/17 6
9/15/2017
6%
4,392,899

MERCK + CO INC SR UNSECURED 01/21 3.875
1/15/2021
3.88%
2,562,991

MERCK + CO INC SR UNSECURED 05/16 0.7
5/18/2016
0.7%
7,443,943

MERCK + CO. INC. COMMON STOCK USD.5
 
 
23,887,714

MERCK KGAA COMMON STOCK NPV
 
 
6,261,446

MEREDITH CORP COMMON STOCK USD1.
 
 
2,506,602

MERITAGE HOMES CORP COMMON STOCK USD.01
 
 
956,969

MERRILL LYNCH MORTGAGE INVESTO MLMI 1998 C1 A3
11/15/2026
6.72%
1,813,753

MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A3
6/25/2035
2.48%
11,676,088

MERRILL LYNCH MORTGAGE TRUST MLMT 2005 LC1 AM
1/12/2044
5.31%
288,137

MERRILL LYNCH MORTGAGE TRUST MLMT 2005 MKB2 A4
9/12/2042
5.2%
514,553

MERRILL LYNCH MORTGAGE TRUST MLMT 2006 C1 A4
5/12/2039
5.68%
3,801,637

MERRILL LYNCH MORTGAGE TRUST MLMT 2006 C1 AM
5/12/2039
5.68%
1,455,211

MERRILL LYNCH MORTGAGE TRUST MLMT 2007 C1 A3
6/12/2050
5.86%
204,102

MERRILL LYNCH MORTGAGE TRUST MLMT 2007 C1 A4
6/12/2050
6.05%
299,150

MERRILL LYNCH MORTGAGE TRUST MLMT 2008 C1 A4
2/12/2051
5.69%
156,518

MET LIFE GLOB FUNDING I SECURED 144A 06/15 1.7
6/29/2015
1.7%
5,968,359

MET LIFE GLOB FUNDING I SR SECURED 144A 04/22 3.875
4/11/2022
3.88%
287,385

MET LIFE GLOB FUNDING I SR SECURED 144A 09/15 2.5
9/29/2015
2.5%
2,523,324

MET TRANSPRTN AUTH NY REVENUE MTATRN 11/24 FIXED 5
11/15/2024
5%
1,095,010

MET TRANSPRTN AUTH NY REVENUE MTATRN 11/39 FIXED 6.668
11/15/2039
6.67%
353,778


111
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
MET WTR DIST OF STHRN CA METWTR 07/40 FIXED 6.947
7/1/2040
6.95%
66,804

METAIR INVESTMENTS LTD COMMON STOCK NPV
 
 
241,159

METHANEX CORP COMMON STOCK NPV
 
 
781,968

METHANEX CORP COMMON STOCK NPV
 
 
1,093,807

METLIFE INC COMMON STOCK USD.01
 
 
10,337,542

METLIFE INC JR SUBORDINA 12/66 6.4
12/15/2066
6.4%
4,515,863

METLIFE INC SR UNSECURED 02/14 2.375
2/6/2014
2.38%
4,723,534

METLIFE INC SR UNSECURED 02/19 7.717
2/15/2019
7.72%
842,865

METLIFE INC SR UNSECURED 06/35 5.7
6/15/2035
5.7%
54,607

METLIFE INC SR UNSECURED 09/23 4.368
9/15/2023
4.37%
1,250,585

METLIFE INC SR UNSECURED 12/22 3.048
12/15/2022
3.05%
596,849

METLIFE INSTITUTIONAL FD SECURED 144A 04/15 1.625
4/2/2015
1.63%
3,994,596

MEX BONOS DESARR FIX RT BONDS 06/17 5.
6/15/2017
5%
714,745

MEX BONOS DESARR FIX RT BONDS 06/20 8.
6/11/2020
8%
1,364,919

MEX BONOS DESARR FIX RT BONDS 06/21 6.5
6/10/2021
6.5%
2,130,714

MEX BONOS DESARR FIX RT BONDS 06/22 6.5
6/9/2022
6.5%
2,755,536

MEX BONOS DESARR FIX RT BONDS 12/14 9.5
12/18/2014
9.5%
1,770,344

MEX BONOS DESARR FIX RT BONDS 12/17 7.75
12/14/2017
7.75%
5,682,958

MEX BONOS DESARR FIX RT BONDS 12/18 8.5
12/13/2018
8.5%
5,108,336

MEX BONOS DESARR FIX RT BONDS 12/24 10
12/5/2024
10%
6,992,420

MEXICAN CETES BILLS 01/14 0.00000
 
 
1,221,533

MEXICAN CETES BILLS 02/14 0.00000
 
 
1,780,860

MEXICAN CETES BILLS 02/14 0.00000
 
 
4,332,682

MEXICAN CETES BILLS 03/14 0.00000
 
 
4,934,772

MGM CHINA HOLDINGS LTD COMMON STOCK HKD1.
 
 
243,195

MGM RESORTS INTL COMPANY GUAR 04/16 6.875
4/1/2016
6.88%
220,000

MGM RESORTS INTL COMPANY GUAR 06/16 7.5
6/1/2016
7.5%
1,568,000

MICHAEL KORS HOLDINGS LTD COMMON STOCK NPV
 
 
4,601,887

MICHELIN (CGDE) COMMON STOCK EUR2.
 
 
1,219,772

MICRON TECHNOLOGY INC COMMON STOCK USD.1
 
 
20,483,014

MICROS SYSTEMS INC COMMON STOCK USD.0125
 
 
1,610,593

MICROSOFT CORP COMMON STOCK USD.00000625
 
 
55,518,235

MICROSOFT CORP SR UNSECURED 02/16 2.5
2/8/2016
2.5%
508,491

MICROSOFT CORP SR UNSECURED 09/15 1.625
9/25/2015
1.63%
5,104,140

MICROSOFT CORP SR UNSECURED 10/20 3.
10/1/2020
3%
1,819,347

MIDAMERICAN ENERGY HLDGS SR UNSECURED 02/14 5
2/15/2014
5%
482,489

MIDAMERICAN ENERGY HLDGS SR UNSECURED 04/18 5.75
4/1/2018
5.75%
9,394,487

MILLS ESTRUTURAS E SERVICOS COMMON STOCK NPV
 
 
159,457

MINERAL DEPOSITS LTD COMMON STOCK NPV
 
 
106,939

MINERALS TECHNOLOGIES INC COMMON STOCK USD.1
 
 
3,282,525

MIRAE ASSET SECURITIES CO LT COMMON STOCK KRW5000.
 
 
84,052


112
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
MIRVAC GROUP REIT NPV
 
 
67,360

MISSISSIPPI ST MSS 11/17 FLOATING VAR
11/1/2017
0.87%
1,403,962

MITSUBISHI ELECTRIC CORP COMMON STOCK
 
 
552,590

MITSUBISHI ESTATE CO LTD COMMON STOCK
 
 
478,759

MITSUBISHI HEAVY INDUSTRIES COMMON STOCK
 
 
445,954

MITSUBISHI TANABE PHARMA COMMON STOCK
 
 
207,825

MITSUBISHI UFJ FINANCIAL GRO COMMON STOCK
 
 
1,632,902

MITSUI FUDOSAN CO LTD COMMON STOCK
 
 
396,128

MITSUI OSK LINES LTD COMMON STOCK
 
 
198,430

MIZRAHI TEFAHOT BANK LTD COMMON STOCK ILS.1
 
 
595,655

MIZUHO FINANCIAL GROUP INC COMMON STOCK
 
 
866,185

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 1 AM
2/12/2039
5.53%
2,196,017

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 2 AM
6/12/2046
5.9%
352,031

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 4 A1A
12/12/2049
5.17%
6,292,025

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 4 A2
12/12/2049
5.11%
107,356

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 4 A3
12/12/2049
5.17%
4,336,628

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 6 A4
3/12/2051
5.49%
384,992

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 A4
9/12/2049
5.7%
338,886

MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1
4/25/2035
2.18%
711,361

MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2
4/25/2035
2.18%
1,347,118

MLCC MORTGAGE INVESTORS INC MLCC 2005 2 3A
10/25/2035
1.17%
917,910

MLP AG COMMON STOCK NPV
 
 
278,603

MMC NORILSK NICK VIA MMC SR UNSECURED 144A 10/20 5.55
10/28/2020
5.55%
2,086,875

MMI HOLDINGS LTD COMMON STOCK ZAR.000001
 
 
184,013

MOHAWK INDUSTRIES INC COMMON STOCK USD.01
 
 
8,215,558

MOLSON COORS BREWING CO COMPANY GUAR 05/17 2.
5/1/2017
2%
306,112

MOLSON COORS BREWING CO COMPANY GUAR 05/22 3.5
5/1/2022
3.5%
235,636

MOLSON COORS BREWING CO COMPANY GUAR 05/42 5.
5/1/2042
5%
48,922

MONADELPHOUS GROUP LTD COMMON STOCK NPV
 
 
334,457

MONDELEZ INTERNATIONAL INC A COMMON STOCK NPV
 
 
8,477,930

MONDELEZ INTERNATIONAL SR UNSECURED 02/14 6.75
2/19/2014
6.75%
10,279,040

MONDELEZ INTERNATIONAL SR UNSECURED 02/16 4.125
2/9/2016
4.13%
763,314

MONDELEZ INTERNATIONAL SR UNSECURED 02/20 5.375
2/10/2020
5.38%
5,311,521

MONDELEZ INTERNATIONAL SR UNSECURED 11/31 6.5
11/1/2031
6.5%
62,582

MONOLITHIC POWER SYSTEMS INC COMMON STOCK USD.001
 
 
1,505,735

MONSANTO CO COMMON STOCK USD.01
 
 
26,356,267

MONSANTO CO SR UNSECURED 04/16 2.75
4/15/2016
2.75%
104,253

MONTAGE TECHNOLOGY GROUP LTD COMMON STOCK USD.0125
 
 
359,065

MOODY S CORP COMMON STOCK USD.01
 
 
2,162,633

MOOG INC CLASS A COMMON STOCK USD1.
 
 
3,895,883


113
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
MORGAN STANLEY BAML TRUST MSBAM 2013 C7 A4
2/15/2046
2.92%
637,042

MORGAN STANLEY BAML TRUST MSBAM 2013 C7 AS
2/15/2046
3.21%
668,238

MORGAN STANLEY BAML TRUST MSBAM 2013 C9 A2
5/15/2046
1.97%
2,919,045

MORGAN STANLEY BAML TRUST MSBAM 2013 C9 AS
5/15/2046
3.46%
293,037

MORGAN STANLEY CAPITAL I TRUST MSC 2005 HQ7 AAB
11/14/2042
5.18%
70,190

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ8 A4
3/12/2044
5.42%
3,203,025

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ9 AM
7/12/2044
5.77%
403,739

MORGAN STANLEY CAPITAL I TRUST MSC 2006 IQ11 AM
10/15/2042
5.67%
194,124

MORGAN STANLEY CAPITAL I TRUST MSC 2006 T21 A3
10/12/2052
5.19%
1,593,651

MORGAN STANLEY CAPITAL I TRUST MSC 2006 T21 AAB
10/12/2052
5.17%
155,408

MORGAN STANLEY CAPITAL I TRUST MSC 2007 HQ11 A31
2/12/2044
5.44%
467,939

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ13 A1A
3/15/2044
5.31%
10,822,266

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ13 A4
3/15/2044
5.36%
3,209,695

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ14 A2
4/15/2049
5.61%
1,976,776

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ15 A4
6/11/2049
6.11%
3,558,681

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T25 A3
11/12/2049
5.51%
552,569

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 A1A
6/11/2042
5.65%
11,881,033

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 A4
6/11/2042
5.65%
3,752,597

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 AAB
6/11/2042
5.65%
34,930

MORGAN STANLEY CAPITAL I TRUST MSC 2011 C3 A3
7/15/2049
4.05%
174,828

MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M1
12/25/2034
0.85%
9,228,289

MORGAN STANLEY NOTES 04/18 6.625
4/1/2018
6.63%
3,053,945

MORGAN STANLEY REREMIC TRUST MSRR 2009 GG10 A4A 144A
8/12/2045
5.8%
1,958,994

MORGAN STANLEY REREMIC TRUST MSRR 2010 GG10 A4A 144A
8/15/2045
5.8%
18,661,249

MORGAN STANLEY REREMIC TRUST MSRR 2010 HQ4B A7A 144A
4/16/2040
4.97%
761,224

MORGAN STANLEY REREMIC TRUST MSRR 2012 IO AXA 144A
3/27/2051
1%
207,684

MORGAN STANLEY SR UNSECURED 01/15 4.1
1/26/2015
4.1%
543,009

MORGAN STANLEY SR UNSECURED 01/17 5.45
1/9/2017
5.45%
2,461,982

MORGAN STANLEY SR UNSECURED 01/21 5.75
1/25/2021
5.75%
2,941,286

MORGAN STANLEY SR UNSECURED 02/16 1.75
2/25/2016
1.75%
9,243,449

MORGAN STANLEY SR UNSECURED 02/23 3.75
2/25/2023
3.75%
1,746,652

MORGAN STANLEY SR UNSECURED 03/17 4.75
3/22/2017
4.75%
1,991,655

MORGAN STANLEY SR UNSECURED 04/15 6.
4/28/2015
6%
2,763,763

MORGAN STANLEY SR UNSECURED 04/16 3.8
4/29/2016
3.8%
3,728,851

MORGAN STANLEY SR UNSECURED 04/18 2.125
4/25/2018
2.13%
8,446,515

MORGAN STANLEY SR UNSECURED 05/14 6.
5/13/2014
6%
5,258,406

MORGAN STANLEY SR UNSECURED 05/19 7.3
5/13/2019
7.3%
4,614,750

MORGAN STANLEY SR UNSECURED 07/14 2.875
7/28/2014
2.88%
5,951,058

MORGAN STANLEY SR UNSECURED 08/17 6.25
8/28/2017
6.25%
2,974,995

MORGAN STANLEY SR UNSECURED 09/19 5.625
9/23/2019
5.63%
1,761,863

MORGAN STANLEY SR UNSECURED 10/16 5.75
10/18/2016
5.75%
2,344,014


114
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
MORGAN STANLEY SR UNSECURED 10/16 VAR
10/18/2016
0.7%
783,494

MORGAN STANLEY SR UNSECURED 11/14 4.2
11/20/2014
4.2%
4,606,987

MORGAN STANLEY SR UNSECURED 11/15 3.45
11/2/2015
3.45%
437,181

MORGAN STANLEY SR UNSECURED 12/17 5.95
12/28/2017
5.95%
19,308,588

MORGAN STANLEY SUBORDINATED 04/14 4.75
4/1/2014
4.75%
1,446,408

MORGAN STANLEY SUBORDINATED 05/23 4.1
5/22/2023
4.1%
222,583

MORGAN STANLEY SUBORDINATED 11/22 4.875
11/1/2022
4.88%
174,022

MORNEAU SHEPELL INC COMMON STOCK
 
 
245,269

MORTGAGEIT TRUST MHL 2005 3 A1
8/25/2035
0.47%
7,215,036

MOSAIC CO SR UNSECURED 11/33 5.45
11/15/2033
5.45%
106,979

MOSAIC CO/THE COMMON STOCK USD.01
 
 
7,669,558

MOTEL 6 TRUST MOTEL 2012 MTL6 A2 144A
10/5/2025
1.95%
3,484,603

MRC GLOBAL INC COMMON STOCK USD.01
 
 
2,550,960

MS+AD INSURANCE GROUP HOLDIN COMMON STOCK
 
 
510,137

MTR CORP COMMON STOCK NPV
 
 
22,712

MTU AERO ENGINES AG COMMON STOCK
 
 
1,005,360

MUELLER WATER PRODUCTS INC A COMMON STOCK USD.01
 
 
1,264,875

MUENCHENER RUECKVER AG REG COMMON STOCK NPV
 
 
1,825,233

MULTIPLAN EMPREENDIMENTOS COMMON STOCK NPV
 
 
31,726

MULTIPLUS SA COMMON STOCK NPV
 
 
187,694

MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.637
4/1/2057
6.64%
10,511

MURATA MANUFACTURING CO LTD COMMON STOCK
 
 
2,381,542

MYLAN INC COMMON STOCK USD.5
 
 
2,403,275

MYLAN INC COMPANY GUAR 144A 06/16 1.8
6/24/2016
1.8%
790,079

MYLAN INC SR UNSECURED 03/19 2.55
3/28/2019
2.55%
227,705

MYLAN INC SR UNSECURED 11/16 1.35
11/29/2016
1.35%
5,606,704

N STAR REAL ESTATE CDO LTD NSTAR 2013 1A A 144A
8/25/2029
2.01%
4,180,749

NABISCO INC SR UNSECURED 06/15 7.55
6/15/2015
7.55%
109,506

NABORS INDUSTRIES INC COMPANY GUAR 02/18 6.15
2/15/2018
6.15%
1,230,483

NABORS INDUSTRIES INC COMPANY GUAR 09/21 4.625
9/15/2021
4.63%
120,141

NABORS INDUSTRIES INC COMPANY GUAR 144A 09/16 2.35
9/15/2016
2.35%
115,149

NAGAILEBEN CO LTD COMMON STOCK
 
 
276,141

NAMCO BANDAI HOLDINGS INC COMMON STOCK
 
 
646,205

NAMPAK LTD COMMON STOCK ZAR.05
 
 
833,407

NASDAQ OMX GROUP/THE COMMON STOCK USD.01
 
 
2,161,021

NASPERS LTD N SHS COMMON STOCK ZAR.02
 
 
352,858

NATIONAL AUSTRALIA BANK LTD COMMON STOCK NPV
 
 
1,153,909

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 04/14 2.25
4/11/2014
2.25%
301,663

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 07/16 3.
7/27/2016
3%
628,008

NATIONAL AUSTRALIA BK LT SR UNSECURED 08/15 1.6
8/7/2015
1.6%
3,606,594

NATIONAL BANK OF CANADA COMMON STOCK NPV
 
 
83,191


115
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
NATIONAL CITY CORP SR UNSECURED 01/15 4.9
1/15/2015
4.9%
9,199,256

NATIONAL INSTRUMENTS CORP COMMON STOCK USD.01
 
 
948,112

NATIONAL OILWELL VARCO I SR UNSECURED 12/17 1.35
12/1/2017
1.35%
221,057

NATIONAL RURAL UTIL COOP COLLATERAL T 11/15 1.9
11/1/2015
1.9%
798,635

NATIONAL SEMICONDUCTOR SR UNSECURED 04/15 3.95
4/15/2015
3.95%
865,118

NATIONWIDE MUTUAL INSURA SUBORDINATED 144A 08/39 9.375
8/15/2039
9.38%
35,058

NATIXIS COMMON STOCK EUR1.6
 
 
680,333

NATL GRID PLC SR UNSECURED 08/16 6.3
8/1/2016
6.3%
950,273

NAVER CORP COMMON STOCK KRW500.
 
 
272,353

NAVITAS EQUIPMENT RECEIVABLES NVTAS 2013 1 A 144A
11/15/2016
1.95%
120,073

NBCUNIVERSAL ENTERPRISE COMPANY GUAR 144A 04/18 VAR
4/15/2018
0.93%
4,240,468

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 01/23 2.875
1/15/2023
2.88%
393,455

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/14 2.1
4/1/2014
2.1%
9,540,537

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/15 3.65
4/30/2015
3.65%
4,128,796

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/16 2.875
4/1/2016
2.88%
3,170,725

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/20 5.15
4/30/2020
5.15%
1,788,394

NBCUNIVERSAL MEDIA LLC COMPANY GUAR 04/40 6.4
4/30/2040
6.4%
316,148

NCR CORPORATION COMMON STOCK USD.01
 
 
1,009,879

NCUA GUARANTEED NOTES NGN 2010 C1 A1
10/29/2020
1.6%
10,259,438

NCUA GUARANTEED NOTES NGN 2010 C1 A2
10/29/2020
2.9%
2,649,540

NCUA GUARANTEED NOTES NGN 2010 R3 3A
12/8/2020
2.4%
660,297

NEC CORP COMMON STOCK
 
 
428,429

NEDER WATERSCHAPSBANK SR UNSECURED 01/16 3.375
1/19/2016
3.38%
146,152

NEDER WATERSCHAPSBANK SR UNSECURED REGS 01/18 4.375
1/22/2018
4.38%
469,606

NEDER WATERSCHAPSBANK SR UNSECURED REGS 08/19 1.625
8/23/2019
1.63%
1,385,942

NELNET STUDENT LOAN TRUST NSLT 2013 5A A 144A
1/25/2037
0.8%
12,065,290

NEOGEN CORP COMMON STOCK USD.16
 
 
1,614,992

NESTLE SA REG COMMON STOCK CHF.1
 
 
10,783,770

NESTLE SA SPONS ADR ADR
 
 
9,258,358

NETAPP INC COMMON STOCK USD.001
 
 
6,238,881

NETCARE LTD COMMON STOCK ZAR.01
 
 
115,081

NETEASE INC ADR ADR USD.0001
 
 
13,727,726

NETFLIX INC COMMON STOCK USD.001
 
 
19,420,774

NETSUITE INC COMMON STOCK USD.01
 
 
4,768,075

NEUSTAR INC CLASS A COMMON STOCK USD.001
 
 
2,752,272

NEVADA POWER CO GENL REF MOR 01/15 5.875
1/15/2015
5.88%
474,280

NEVADA POWER CO GENL REF MOR 03/19 7.125
3/15/2019
7.13%
152,093

NEVADA POWER CO GENL REF MOR 08/18 6.5
8/1/2018
6.5%
11,841

NEW JERSEY ST TURNPIKE AUTH NJSTRN 01/25 FIXED 5
1/1/2025
5%
1,439,724

NEW JERSEY ST TURNPIKE AUTH NJSTRN 01/26 FIXED 5
1/1/2026
5%
3,288,630

NEW JERSEY ST TURNPIKE AUTH NJSTRN 01/27 FIXED 5
1/1/2027
5%
3,346,636


116
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
NEW JERSEY ST TURNPIKE AUTH NJSTRN 01/41 FIXED 7.102
1/1/2041
7.1%
76,406

NEW WORLD DEVELOPMENT COMMON STOCK NPV
 
 
44,327

NEW YORK CITY NY MUNI WTR FIN NYCUTL 06/43 FIXED 5.44
6/15/2043
5.44%
150,888

NEW YORK CITY NY MUNI WTR FINA NYCUTL 06/45 FIXED 5
6/15/2045
5%
12,333,530

NEW YORK CITY NY MUNI WTR FINA NYCUTL 06/45 FIXED OID 4
6/15/2045
4%
6,494,400

NEW YORK CITY NY TRANSITIONAL NYCGEN 11/38 FIXED 5.572
11/1/2038
5.57%
153,793

NEW YORK CITY NY TRANSITIONALF NYCGEN 02/35 FIXED OID 5
2/1/2035
5%
115,336

NEW YORK LIFE GLOBAL FDG SECURED 144A 01/15 1.3
1/12/2015
1.3%
2,495,138

NEW YORK LIFE GLOBAL FDG SECURED 144A 02/16 0.8
2/12/2016
0.8%
56,253

NEW YORK LIFE GLOBAL FDG SECURED 144A 05/17 1.65
5/15/2017
1.65%
650,714

NEW YORK LIFE GLOBAL FDG SECURED 144A 07/15 0.75
7/24/2015
0.75%
7,505,789

NEW YORK LIFE GLOBAL FDG SR SECURED 144A 05/15 3.
5/4/2015
3%
3,611,895

NEW YORK LIFE GLOBAL FDG SR SECURED 144A 07/16 2.45
7/14/2016
2.45%
828,007

NEW YORK NY NYC 08/25 FIXED 5
8/1/2025
5%
346,484

NEW YORK NY NYC 12/31 FIXED 6.646
12/1/2031
6.65%
187,054

NEW YORK ST DORM AUTH ST PERSO NYSHGR 09/27 FIXED 5.051
9/15/2027
5.05%
817,680

NEW YORK ST DORM AUTH ST PERSO NYSHGR 12/26 FIXED 5
12/15/2026
5%
244,075

NEW YORK ST DORM AUTH ST PERSO NYSHGR 12/27 FIXED 5
12/15/2027
5%
439,592

NEW YORK ST THRUWAY AUTH PERSO NYSTRN 03/26 FIXED 5
3/15/2026
5%
441,104

NEW YORK ST THRUWAY AUTH PERSO NYSTRN 03/27 FIXED 5
3/15/2027
5%
545,660

NEW YORK ST URBAN DEV CORP REV NYSDEV 03/26 FIXED 5
3/15/2026
5%
1,897,455

NEW YORK ST URBAN DEV CORP REV NYSDEV 03/27 FIXED 5
3/15/2027
5%
1,233,434

NEW YORK ST URBAN DEV CORP REV NYSDEV 03/27 FIXED 5
3/15/2027
5%
3,083,584

NEW YORK ST URBAN DEV CORP REV NYSDEV 03/28 FIXED 5
3/15/2028
5%
3,056,200

NEW YORK ST URBAN DEV CORP REV NYSDEV 03/29 FIXED 5
3/15/2029
5%
5,737,939

NEW YORK TIMES CO A COMMON STOCK USD.1
 
 
4,568,973

NEWCREST MINING LTD COMMON STOCK NPV
 
 
49,190

NEXON CO LTD COMMON STOCK
 
 
121,147

NEXT PLC COMMON STOCK GBP.1
 
 
778,631

NEXTERA ENERGY CAPITAL COMPANY GUAR 06/14 1.611
6/1/2014
1.61%
17,884,410

NEXTERA ENERGY CAPITAL COMPANY GUAR 06/15 1.2
6/1/2015
1.2%
4,552,207

NEXTERA ENERGY CAPITAL COMPANY GUAR 09/15 1.339
9/1/2015
1.34%
2,013,320

NEXTERA ENERGY CAPITAL COMPANY GUAR 12/15 7.875
12/15/2015
7.88%
870,302

NHK SPRING CO LTD COMMON STOCK
 
 
334,005

NHN ENTERTAINMENT CORP COMMON STOCK KRW500.
 
 
30,418

NIAGARA MOHAWK POWER SR UNSECURED 144A 10/14 3.553
10/1/2014
3.55%
3,922,975

NICE SYSTEMS LTD SPONS ADR ADR
 
 
2,179,072

NIHON M+A CENTER INC COMMON STOCK
 
 
195,623

NIHON PARKERIZING CO LTD COMMON STOCK
 
 
584,749

NIKE INC CL B COMMON STOCK NPV
 
 
24,464,275


117
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
NIMBLE STORAGE INC COMMON STOCK USD.001
 
 
815,174

NIPPON BUILDING FUND INC REIT
 
 
104,809

NIPPON DENKO CO LTD COMMON STOCK
 
 
202,074

NIPPON PROLOGIS REIT INC REIT
 
 
28,714

NIPPON SHOKUBAI CO LTD COMMON STOCK
 
 
685,448

NIPPON TELEGRAPH + TELEPHONE COMMON STOCK
 
 
263,869

NIPPON THOMPSON CO LTD COMMON STOCK
 
 
704,448

NIPPON YUSEN COMMON STOCK
 
 
239,760

NISOURCE FINANCE CORP COMPANY GUAR 01/19 6.8
1/15/2019
6.8%
442,241

NISOURCE FINANCE CORP COMPANY GUAR 02/45 5.65
2/1/2045
5.65%
59,412

NISOURCE FINANCE CORP COMPANY GUAR 03/16 10.75
3/15/2016
10.75%
199,729

NISOURCE FINANCE CORP COMPANY GUAR 03/18 6.4
3/15/2018
6.4%
97,820

NISOURCE FINANCE CORP COMPANY GUAR 07/14 5.4
7/15/2014
5.4%
204,918

NISSAN AUTO LEASE TRUST NALT 2013 A A4
10/15/2018
0.74%
2,029,531

NISSAN AUTO LEASE TRUST NALT 2013 B A2A
1/15/2016
0.57%
1,249,978

NISSAN AUTO RECEIVABLES OWNER NAROT 2011 B A3
2/16/2016
0.95%
6,271,382

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 A A4
7/16/2018
1%
8,465,536

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 B A2
4/15/2015
0.39%
3,026,509

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 B A3
10/17/2016
0.46%
1,000,293

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 A A3
5/15/2017
0.5%
1,843,019

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 A A4
7/15/2019
0.75%
7,061,178

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 B A4
10/15/2019
1.31%
4,011,684

NISSAN AUTO RECEIVABLES OWNER NAROT 2013 C A3
8/15/2018
0.67%
2,155,237

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 01/15 4.5
1/30/2015
4.5%
6,774,278

NISSAN MOTOR ACCEPTANCE UNSECURED 144A 03/16 1
3/15/2016
1%
686,645

NISSAN MOTOR ACCEPTANCE UNSECURED 144A 03/18 1.8
3/15/2018
1.8%
214,787

NKSJ HOLDINGS INC COMMON STOCK
 
 
161,355

NMC HEALTH PLC COMMON STOCK GBP.1
 
 
1,735,228

NOBLE ENERGY INC SR UNSECURED 03/19 8.25
3/1/2019
8.25%
658,761

NOBLE ENERGY INC SR UNSECURED 12/21 4.15
12/15/2021
4.15%
3,979,324

NOBLE HOLDING INTL LTD COMPANY GUAR 03/17 2.5
3/15/2017
2.5%
449,417

NOMURA HOLDINGS INC COMMON STOCK
 
 
310,961

NOMURA HOLDINGS INC SR UNSECURED 01/16 4.125
1/19/2016
4.13%
2,331,624

NOMURA HOLDINGS INC SR UNSECURED 03/15 5
3/4/2015
5%
673,825

NOMURA REAL ESTATE HOLDINGS COMMON STOCK
 
 
29,289

NORDEA BANK AB COMMON STOCK NPV
 
 
155,286

NORDEA BANK AB SR UNSECURED 144A 01/14 VAR
1/14/2014
1.14%
250,082

NORDEA BANK AB SR UNSECURED 144A 03/15 2.25
3/20/2015
2.25%
4,080,200

NORDEA BANK AB SR UNSECURED 144A 03/17 3.125
3/20/2017
3.13%
2,195,930

NORDEA BANK AB SR UNSECURED 144A 05/16 0.875
5/13/2016
0.88%
2,398,010

NORDEA BANK AB SR UNSECURED 144A 11/14 3.7
11/13/2014
3.7%
2,492,398


118
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
NORDSTROM INC SR UNSECURED 10/21 4
10/15/2021
4%
41,487

NORFOLK SOUTHERN CORP SR UNSECURED 04/18 5.75
4/1/2018
5.75%
934,240

NORFOLK SOUTHERN CORP SR UNSECURED 05/17 7.7
5/15/2017
7.7%
771,518

NORFOLK SOUTHERN CORP SR UNSECURED 06/19 5.9
6/15/2019
5.9%
2,405,364

NORFOLK SOUTHERN CORP SR UNSECURED 10/42 3.95
10/1/2042
3.95%
21,035

NORTHERN TRUST CORP SR UNSECURED 05/14 4.625
5/1/2014
4.63%
765,920

NORTHERN TRUST RUSSELL 2000 J FUND NUMBER 386 NON LENDING
 
 
2,630,388,294

NORTHROP GRUMMAN CORP COMMON STOCK USD1.
 
 
5,052,009

NORTHROP GRUMMAN CORP SR UNSECURED 08/19 5.05
8/1/2019
5.05%
1,298,724

NORTHROP GRUMMAN SYSTEMS COMPANY GUAR 02/31 7.75
2/15/2031
7.75%
31,884

NORTHSTAR MORTGAGE TRUST NRF 2012 1 A 144A
8/25/2029
1.39%
4,359,085

NORTHWEST PIPE CO COMMON STOCK USD.01
 
 
2,388,509

NOVADAQ TECHNOLOGIES INC COMMON STOCK
 
 
1,581,407

NOVARTIS AG ADR ADR
 
 
7,591,891

NOVARTIS AG REG COMMON STOCK CHF.5
 
 
2,945,831

NOVARTIS CAPITAL CORP COMPANY GUAR 02/14 4.125
2/10/2014
4.13%
5,973,241

NOVARTIS CAPITAL CORP COMPANY GUAR 04/15 2.9
4/24/2015
2.9%
6,236,189

NOVARTIS CAPITAL CORP COMPANY GUAR 09/22 2.4
9/21/2022
2.4%
811,395

NOVARTIS SECS INVEST LTD COMPANY GUAR 02/19 5.125
2/10/2019
5.13%
1,307,887

NOVATEK MICROELECTRONICS COR COMMON STOCK TWD10.
 
 
16,374

NOVO NORDISK A/S SPONS ADR ADR
 
 
21,799,648

NPS PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
7,630,455

NSTAR ELECTRIC CO SR UNSECURED 04/14 4.875
4/15/2014
4.88%
653,042

NTT DOCOMO INC COMMON STOCK
 
 
251,106

NUCOR CORP SR UNSECURED 06/18 5.85
6/1/2018
5.85%
685,455

NUFARM LTD COMMON STOCK NPV
 
 
479,557

NUFLARE TECHNOLOGY INC COMMON STOCK
 
 
385,196

NWS HOLDINGS LTD COMMON STOCK HKD1.
 
 
19,818

NXP SEMICONDUCTORS NV COMMON STOCK
 
 
24,334,536

NYSE EURONEXT COMPANY GUAR 10/17 2
10/5/2017
2%
6,876,935

OBIC CO LTD COMMON STOCK
 
 
446,082

OC OERLIKON CORP AG REG COMMON STOCK CHF20.0
 
 
460,837

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/17 1.75
2/15/2017
1.75%
250,860

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/21 4.1
2/1/2021
4.1%
1,485,376

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/22 3.125
2/15/2022
3.13%
1,402,518

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/23 2.7
2/15/2023
2.7%
2,673,169

OCCIDENTAL PETROLEUM COR SR UNSECURED 06/16 4.125
6/1/2016
4.13%
198,993

OCCIDENTAL PETROLEUM CORP COMMON STOCK USD.2
 
 
7,244,718

OCH ZIFF CAPITAL MANAGEMEN A MLP NPV
 
 
3,640,800

OHIO POWER COMPANY SR UNSECURED 10/21 5.375
10/1/2021
5.38%
892,563


119
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
OHIO ST MAJOR NEW STATE INFRAS OHSGEN 12/23 FIXED 5
12/15/2023
5%
1,129,850

OHIO ST OHS 05/21 FIXED 4.534
5/1/2021
4.53%
10,626,200

OHIO ST OHS 05/22 FIXED 4.654
5/1/2022
4.65%
10,587,000

OJI HOLDINGS CORP COMMON STOCK
 
 
41,026

OJSC RUSS AGRIC BK(RSHB) SR UNSECURED REGS 01/14 7.125
1/14/2014
7.13%
250,093

OKI ELECTRIC INDUSTRY CO LTD COMMON STOCK
 
 
495,505

OKINAWA CELLULAR TELEPHONE COMMON STOCK
 
 
175,683

OLD NATIONAL BANCORP COMMON STOCK NPV
 
 
3,049,362

OLYMPUS CORP COMMON STOCK
 
 
3,016,184

OM GROUP INC COMMON STOCK USD.01
 
 
1,946,770

OMNICOM GROUP COMMON STOCK USD.15
 
 
6,418,131

OMNICOM GROUP INC COMPANY GUAR 04/16 5.9
4/15/2016
5.9%
463,171

OMRON CORP COMMON STOCK
 
 
4,070,258

ONCOR ELECTRIC DELIVERY SR SECURED 01/15 6.375
1/15/2015
6.38%
342,877

ONEOK PARTNERS LP COMPANY GUAR 03/19 8.625
3/1/2019
8.63%
1,818,561

ONEOK PARTNERS LP COMPANY GUAR 10/22 3.375
10/1/2022
3.38%
1,154,492

ONEX CORPORATION COMMON STOCK NPV
 
 
399,426

ONO PHARMACEUTICAL CO LTD COMMON STOCK
 
 
1,586,043

ONTARIO (PROVINCE OF) SR UNSECURED 02/15 2.95
2/5/2015
2.95%
997,024

ONTARIO (PROVINCE OF) SR UNSECURED 05/15 0.95
5/26/2015
0.95%
579,420

ONTARIO (PROVINCE OF) SR UNSECURED 05/16 2.3
5/10/2016
2.3%
77,595

ONTARIO (PROVINCE OF) SR UNSECURED 06/15 2.7
6/16/2015
2.7%
1,032,890

ONTARIO (PROVINCE OF) SR UNSECURED 09/19 1.65
9/27/2019
1.65%
71,985

ONTARIO (PROVINCE OF) SR UNSECURED 10/17 1.1
10/25/2017
1.1%
3,786,721

OPEN TEXT CORP COMMON STOCK NPV
 
 
358,653

OPENTABLE INC COMMON STOCK USD.0001
 
 
2,439,516

OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 3 M1
11/25/2034
0.95%
4,322,637

ORACLE CORP COMMON STOCK USD.01
 
 
25,493,537

ORACLE CORP SR UNSECURED 01/16 5.25
1/15/2016
5.25%
6,388,067

ORACLE CORP SR UNSECURED 04/18 5.75
4/15/2018
5.75%
1,242,236

ORACLE CORP SR UNSECURED 07/19 5.
7/8/2019
5%
1,867,942

ORACLE CORP SR UNSECURED 07/23 3.625
7/15/2023
3.63%
138,875

ORACLE CORP SR UNSECURED 07/40 5.375
7/15/2040
5.38%
85,423

ORACLE CORP SR UNSECURED 10/17 1.2
10/15/2017
1.2%
3,827,986

ORACLE CORP SR UNSECURED 10/22 2.5
10/15/2022
2.5%
462,548

ORANGE SA SR UNSECURED 07/14 4.375
7/8/2014
4.38%
11,749,909

ORANGE SA SR UNSECURED 09/15 2.125
9/16/2015
2.13%
422,975

ORBITAL SCIENCES CORP COMMON STOCK USD.01
 
 
2,842,600

ORICA LTD COMMON STOCK NPV
 
 
388,567

ORION OYJ CLASS B COMMON STOCK EUR.65
 
 
523,052

ORIX CORP COMMON STOCK
 
 
270,623


120
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
OSAKA GAS CO LTD COMMON STOCK
 
 
149,317

OTP BANK PLC COMMON STOCK HUF100.
 
 
41,230

OTSUKA HOLDINGS CO LTD COMMON STOCK
 
 
173,541

OVERSEA CHINESE BANKING CORP COMMON STOCK NPV
 
 
177,729

OVERSEAS PRIVATE INV COR BONDS 04/17 0.00000
4/23/2017
3.56%
8,437,148

OVERSEAS PRIVATE INV COR US GOVT GUAR 05/30 3.43
5/15/2030
3.43%
8,652,510

OVERSEAS PRIVATE INV COR US GOVT GUAR 07/14 0.00000
 
 
2,140,316

OVERSEAS PRIVATE INV COR US GOVT GUAR 09/16 0.00000
 
 
5,892,312

OVERSEAS PRIVATE INV COR US GOVT GUAR 11/17 0.00000
11/17/2017
1.5%
7,960,904

OWENS ILLINOIS INC COMMON STOCK USD.01
 
 
3,662,620

OXFORD INSTRUMENTS PLC COMMON STOCK GBP.05
 
 
605,804

PACCAR FINANCIAL CORP SR UNSECURED 03/17 1.6
3/15/2017
1.6%
262,621

PACCAR FINANCIAL CORP SR UNSECURED 06/15 1.05
6/5/2015
1.05%
332,692

PACCAR FINANCIAL CORP SR UNSECURED 09/14 1.55
9/29/2014
1.55%
201,679

PACIFIC DRILLING SA COMMON STOCK
 
 
1,812,915

PACIFIC GAS + ELECTRIC SR UNSECURED 03/34 6.05
3/1/2034
6.05%
343,649

PACIFIC GAS + ELECTRIC SR UNSECURED 06/23 3.25
6/15/2023
3.25%
1,641,043

PACIFIC GAS + ELECTRIC SR UNSECURED 10/18 8.25
10/15/2018
8.25%
1,813,482

PACIFIC GAS + ELECTRIC SR UNSECURED 11/17 5.625
11/30/2017
5.63%
1,144,305

PACIFIC GAS + ELECTRIC SR UNSECURED 11/23 3.85
11/15/2023
3.85%
1,258,194

PACIFICORP 1ST MORTGAGE 01/19 5.5
1/15/2019
5.5%
91,871

PACWEST BANCORP COMMON STOCK NPV
 
 
2,799,735

PALO ALTO NETWORKS INC COMMON STOCK USD.0001
 
 
6,677,517

PANASONIC CORP COMMON STOCK
 
 
794,223

PANDORA MEDIA INC COMMON STOCK USD.0001
 
 
12,082,218

PAREXEL INTERNATIONAL CORP COMMON STOCK USD.01
 
 
2,624,958

PARKSON RETAIL GROUP LTD COMMON STOCK HKD.02
 
 
32,981

PARQUE ARAUCO S.A. COMMON STOCK NPV
 
 
288,368

PARTNERS GROUP HOLDING AG COMMON STOCK CHF.01
 
 
467,053

PASON SYSTEMS INC COMMON STOCK NPV
 
 
583,962

PC FINANCIAL PARTNERSHIP COMPANY GUAR 11/14 5
11/15/2014
5%
683,998

PCCW LTD COMMON STOCK NPV
 
 
16,558

PDC ENERGY INC COMMON STOCK USD.01
 
 
2,978,830

PEARSON DOL FIN TWO PLC COMPANY GUAR 144A 05/18 6.25
5/6/2018
6.25%
250,950

PEBBLEBROOK HOTEL TRUST REIT USD.01
 
 
3,015,618

PENGROWTH ENERGY CORP COMMON STOCK NPV
 
 
209,622

PENSKE AUTOMOTIVE GROUP INC COMMON STOCK USD.0001
 
 
2,034,530

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/16 2.5
3/15/2016
2.5%
12,693,766

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/18 3.375
3/15/2018
3.38%
199,906

PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 07/14 2.5
7/11/2014
2.5%
301,434

PENSKE TRUCK LEASING/PTL UNSECURED 144A 05/15 3.125
5/11/2015
3.13%
462,816


121
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
PENTAIR LTD REGISTERED COMMON STOCK USD.167
 
 
2,448,158

PEP BOYS MANNY MOE + JACK COMMON STOCK USD1.
 
 
1,627,124

PEPSICO INC SR UNSECURED 01/15 3.1
1/15/2015
3.1%
231,178

PEPSICO INC SR UNSECURED 01/20 4.5
1/15/2020
4.5%
1,403,049

PEPSICO INC SR UNSECURED 02/16 0.7
2/26/2016
0.7%
1,924,965

PEPSICO INC SR UNSECURED 03/15 0.75
3/5/2015
0.75%
7,518,915

PEPSICO INC SR UNSECURED 06/18 5.
6/1/2018
5%
1,497,500

PEPSICO INC SR UNSECURED 08/14 0.8
8/25/2014
0.8%
333,848

PEPSICO INC SR UNSECURED 08/15 0.7
8/13/2015
0.7%
9,291,820

PEPSICO INC SR UNSECURED 08/17 1.25
8/13/2017
1.25%
888,380

PEPSICO INC SR UNSECURED 08/21 3
8/25/2021
3%
3,352,818

PEPSICO INC SR UNSECURED 11/18 7.9
11/1/2018
7.9%
617,490

PERKINELMER INC COMMON STOCK USD1.
 
 
5,417,622

PERNOD RICARD SA COMMON STOCK EUR1.55
 
 
5,219,528

PERNOD RICARD SA SR UNSECURED 144A 01/22 4.45
1/15/2022
4.45%
3,459,515

PERRIGO CO PLC COMMON STOCK NPV
 
 
18,971,493

PERRIGO CO PLC COMPANY GUAR 144A 11/16 1.3
11/8/2016
1.3%
5,552,687

PERRIGO CO PLC COMPANY GUAR 144A 11/18 2.3
11/8/2018
2.3%
2,319,516

PERSIMMON PLC COMMON STOCK GBP.1
 
 
1,368,356

PERTAMINA PT SR UNSECURED REGS 05/22 4.875
5/3/2022
4.88%
825,750

PERUSAHAAN GAS NEGARA PERSER COMMON STOCK IDR100.
 
 
222,831

PETROBRAS GLOBAL FINANCE COMPANY GUAR 05/16 2.
5/20/2016
2%
3,027,603

PETROBRAS INTL FIN CO COMPANY GUAR 01/20 5.75
1/20/2020
5.75%
2,016,720

PETROBRAS INTL FIN CO COMPANY GUAR 01/21 5.375
1/27/2021
5.38%
1,622,554

PETROBRAS INTL FIN CO COMPANY GUAR 01/41 6.75
1/27/2041
6.75%
74,435

PETROBRAS INTL FIN CO COMPANY GUAR 02/15 2.875
2/6/2015
2.88%
2,146,729

PETROBRAS INTL FIN CO COMPANY GUAR 03/19 7.875
3/15/2019
7.88%
407,787

PETROLEO BRASILEIRO SPON ADR ADR
 
 
631,670

PETROLEOS MEXICANOS COMPANY GUAR 05/19 8.
5/3/2019
8%
12,100

PETROLEOS MEXICANOS COMPANY GUAR 06/41 6.5
6/2/2041
6.5%
1,154,725

PETRONAS CHEMICALS GROUP BHD COMMON STOCK MYR.1
 
 
112,816

PETRONET LNG LTD COMMON STOCK INR10.
 
 
256,097

PEYTO EXPLORATION + DEV CORP COMMON STOCK NPV
 
 
128,510

PFIZER INC COMMON STOCK USD.05
 
 
38,221,339

PFIZER INC SR UNSECURED 01/17 0.9
1/15/2017
0.9%
875,647

PFIZER INC SR UNSECURED 03/15 5.35
3/15/2015
5.35%
5,890,840

PFIZER INC SR UNSECURED 03/19 6.2
3/15/2019
6.2%
5,221,819

PFIZER INC SR UNSECURED 06/23 3.
6/15/2023
3%
42,281

PGE SA COMMON STOCK PLN10.
 
 
254,210

PHILIP MORRIS INTERNATIONAL COMMON STOCK NPV
 
 
19,163,372

PHILIP MORRIS INTL INC SR UNSECURED 03/14 6.875
3/17/2014
6.88%
765,054


122
Table of Contents


Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
PHILIP MORRIS INTL INC SR UNSECURED 03/20 4.5
3/26/2020
4.5%
1,557,117

PHILIP MORRIS INTL INC SR UNSECURED 03/23 2.625
3/6/2023
2.63%
249,045

PHILIP MORRIS INTL INC SR UNSECURED 05/16 2.5
5/16/2016
2.5%
5,884,281

PHILIP MORRIS INTL INC SR UNSECURED 05/18 5.65
5/16/2018
5.65%
258,417

PHILIP MORRIS INTL INC SR UNSECURED 11/21 2.9
11/15/2021
2.9%
2,396,184

PHILLIPS 66 COMPANY GUAR 03/15 1.95
3/5/2015
1.95%
9,758,062

PHOENIX HEALTHCARE GROUP CO COMMON STOCK HKD.00025
 
 
2,099,967

PHOENIX SATELLITE TELEVISION COMMON STOCK HKD.1
 
 
640,733

PICC PROPERTY + CASUALTY H COMMON STOCK CNY1.
 
 
166,113

PIER 1 IMPORTS INC COMMON STOCK USD.001
 
 
4,920,379

PIMCO COMMODITIES PLUS PIMCO COMMODITIES FUND 1983
 
 
104,341,570

PIMCO FDS PAC INVT MGMT SER ASSET BKD SECS PORTFOLIO
 
 
2,945,958

PIMCO FDS PAC INVT MGMT SER SHORT TERM PORTFOLIO INSTL CL
 
 
4,223,237

PIMCO FDS SHORT TERM FLTG NAV MUTUAL FUND
 
 
111,825,775

PINNACLE FOODS INC COMMON STOCK USD.01
 
 
2,652,636

PINNACLE TECHNOLOGY HLDGS COMMON STOCK ZAR.01
 
 
284,685

PIRAMAL ENTERPRISES LTD COMMON STOCK INR2.
 
 
240,722

PIRELLI + C. COMMON STOCK
 
 
297,635

PLAINS ALL AMER PIPELINE SR UNSECURED 01/17 6.125
1/15/2017
6.13%
286,720

PLAINS ALL AMER PIPELINE SR UNSECURED 02/21 5.
2/1/2021
5%
440,325

PLAINS ALL AMER PIPELINE SR UNSECURED 06/22 3.65
6/1/2022
3.65%
687,744

PLAINS ALL AMER PIPELINE SR UNSECURED 06/42 5.15
6/1/2042
5.15%
394,407

PLAINS ALL AMER PIPELINE SR UNSECURED 09/15 3.95
9/15/2015
3.95%
262,903

PLAINS EXPLORATION + PRO COMPANY GUAR 02/23 6.875
2/15/2023
6.88%
122,650

PLAINS EXPLORATION + PRO COMPANY GUAR 11/20 6.5
11/15/2020
6.5%
485,927

PNC BANK NA SR UNSECURED 11/16 1.15
11/1/2016
1.15%
2,666,262

PNC BANK NA SUBORDINATED 11/22 2.7
11/1/2022
2.7%
262,875

PNC FINANCIAL SERVICES GROUP COMMON STOCK USD5.
 
 
19,488,096

PNC FUNDING CORP BANK GUARANT 02/15 3.625
2/8/2015
3.63%
11,445,913

PNC FUNDING CORP BANK GUARANT 02/17 5.625
2/1/2017
5.63%
677,102

PNC FUNDING CORP BANK GUARANT 05/14 3.
5/19/2014
3%
2,020,288

PNC FUNDING CORP BANK GUARANT 06/19 6.7
6/10/2019
6.7%
1,045,022

PNC FUNDING CORP BANK GUARANT 08/20 4.375
8/11/2020
4.38%
1,635,692

PNC FUNDING CORP BANK GUARANT 09/15 4.25
9/21/2015
4.25%
3,354,164

PNC FUNDING CORP BANK GUARANT 09/16 2.7
9/19/2016
2.7%
521,532

PNM RESOURCES INC COMMON STOCK NPV
 
 
3,029,954

POLAND GOVERNMENT BOND BONDS 09/22 5.75
9/23/2022
5.75%
2,449,738

POLARIS INDUSTRIES INC COMMON STOCK USD.01
 
 
589,114

POLSKIE GORNICTWO NAFTOWE I COMMON STOCK PLN1.
 
 
124,440


123
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
POLYONE CORPORATION COMMON STOCK USD.01
 
 
3,485,217

PORSCHE AUTOMOBIL HLDG PRF PREFERENCE
 
 
1,686,752

PORSCHE INNOVATIVE LEASE OWNER PILOT 2013 1 A2 144A
1/22/2016
0.54%
3,000,369

PORT AUTH OF NEW YORK NEW JE PORTRN 10/62 FIXED 4.458
10/1/2062
4.46%
1,192,632

PORT AUTH OF NEW YORK NEW JE PORTRN 12/24 FIXED 5.859
12/1/2024
5.86%
21,963,264

PORTLAND GENERAL ELECTRIC CO COMMON STOCK NPV
 
 
3,971,300

PORTO SEGURO SA COMMON STOCK NPV
 
 
499,354

POSCO COMMON STOCK KRW5000.
 
 
92,194

POST PROPERTIES INC REIT USD.01
 
 
1,422,936

POTASH CORP OF SASKATCHEWAN COMMON STOCK NPV
 
 
131,840

POTASH CORP SASKATCHEWAN SR UNSECURED 05/14 5.25
5/15/2014
5.25%
279,718

POTASH CORP SASKATCHEWAN SR UNSECURED 12/17 3.25
12/1/2017
3.25%
547,829

POWER ASSETS HOLDINGS LTD COMMON STOCK HKD1.
 
 
131,441

POWER CORP OF CANADA COMMON STOCK NPV
 
 
135,318

POWER INTEGRATIONS INC COMMON STOCK USD.001
 
 
1,310,933

PPG INDUSTRIES INC COMMON STOCK USD1.67
 
 
6,923,159

PPG INDUSTRIES INC SR UNSECURED 01/16 1.9
1/15/2016
1.9%
202,947

PPG INDUSTRIES INC SR UNSECURED 03/18 6.65
3/15/2018
6.65%
3,122,258

PPL CAPITAL FUNDING INC COMPANY GUAR 06/22 4.2
6/15/2022
4.2%
79,853

PPL CORPORATION COMMON STOCK USD.01
 
 
1,427,771

PRAXAIR INC SR UNSECURED 08/22 2.2
8/15/2022
2.2%
102,324

PRECISION CASTPARTS CORP COMMON STOCK NPV
 
 
11,600,098

PRECISION CASTPARTS CORP SR UNSECURED 01/23 2.5
1/15/2023
2.5%
425,812

PRECISION CASTPARTS CORP SR UNSECURED 12/15 0.7
12/20/2015
0.7%
5,000,600

PREMIER OIL PLC COMMON STOCK GBP.125
 
 
316,834

PRESIDENT CHAIN STORE CORP COMMON STOCK TWD10.
 
 
291,006

PRESTIGE BRANDS HOLDINGS INC COMMON STOCK USD.01
 
 
2,876,888

PRICELINE.COM INC COMMON STOCK USD.008
 
 
73,835,409

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 05/18 1.6
5/29/2018
1.6%
145,402

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 06/14 5.45
6/11/2014
5.45%
331,951

PRIME MORTGAGE TRUST PRIME 2004 CL1 2A1
2/25/2019
5%
23,631

PRIME MORTGAGE TRUST PRIME 2005 2 1A1
7/25/2020
4.75%
460,417

PRINCIPAL FINANCIAL GROU COMPANY GUAR 11/17 1.85
11/15/2017
1.85%
330,979

PRINCIPAL LFE GLB FND II SR SECURED 144A 09/15 1.125
9/18/2015
1.13%
5,625,815

PRINCIPAL LFE GLB FND II SR SECURED 144A 10/18 2.25
10/15/2018
2.25%
768,853

PRINCIPAL LFE GLB FND II SR SECURED 144A 12/15 1
12/11/2015
1%
5,087,332

PRINCIPAL LIFE INC FDG SR SECURED 04/15 5.55
4/27/2015
5.55%
6,770,802

PRIVATE EXPORT FUNDING US GOVT GUAR 03/19 4.375
3/15/2019
4.38%
541,025

PRIVATE EXPORT FUNDING US GOVT GUAR 11/22 2.05
11/15/2022
2.05%
345,083

PRIVATEBANCORP INC COMMON STOCK NPV
 
 
4,823,962

PROASSURANCE CORP COMMON STOCK USD.01
 
 
4,547,424


124
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
PROCERA NETWORKS INC COMMON STOCK USD.001
 
 
1,257,429

PROCTER + GAMBLE CO/THE COMMON STOCK
 
 
2,790,735

PROCTER + GAMBLE CO/THE SR UNSECURED 02/19 4.7
2/15/2019
4.7%
1,172,784

PROCTER + GAMBLE CO/THE SR UNSECURED 02/22 2.3
2/6/2022
2.3%
524,856

PROCTER + GAMBLE CO/THE SR UNSECURED 08/16 1.45
8/15/2016
1.45%
2,204,711

PROCTER + GAMBLE CO/THE SR UNSECURED 08/34 5.8
8/15/2034
5.8%
51,911

PROGRESS ENERGY INC SR UNSECURED 01/16 5.625
1/15/2016
5.63%
3,156,720

PROGRESS ENERGY INC SR UNSECURED 03/19 7.05
3/15/2019
7.05%
4,045,258

PROGRESS ENERGY INC SR UNSECURED 04/22 3.15
4/1/2022
3.15%
871,389

PROGRESS ENERGY INC SR UNSECURED 12/19 4.875
12/1/2019
4.88%
1,565,780

PROGRESSIVE CORP COMMON STOCK USD1.
 
 
15,331,194

PROS HOLDINGS INC COMMON STOCK USD.001
 
 
708,624

PROSPERITY BANCSHARES INC COMMON STOCK USD1.
 
 
2,276,652

PROTO LABS INC COMMON STOCK USD.001
 
 
3,580,354

PROVINCE OF QUEBEC NOTES 12/21 4.25
12/1/2021
4.25%
200,956

PROVINCE OF QUEBEC SR UNSECURED 12/18 4.5
12/1/2018
4.5%
206,225

PROVINCE OF QUEBEC UNSECURED 02/23 2.625
2/13/2023
2.63%
4,601,910

PRUDENTIAL FINANCIAL INC COMMON STOCK USD.01
 
 
6,723,760

PRUDENTIAL FINANCIAL INC SR UNSECURED 01/15 3.875
1/14/2015
3.88%
5,747,733

PRUDENTIAL FINANCIAL INC SR UNSECURED 05/16 3.
5/12/2016
3%
2,108,790

PRYSMIAN SPA COMMON STOCK EUR.1
 
 
1,471,811

PSEG POWER LLC COMPANY GUAR 04/20 5.125
4/15/2020
5.13%
32,717

PSEG POWER LLC COMPANY GUAR 09/16 2.75
9/15/2016
2.75%
3,582,882

PSEG POWER LLC COMPANY GUAR 09/21 4.15
9/15/2021
4.15%
81,178

PSEG POWER LLC COMPANY GUAR 12/15 5.5
12/1/2015
5.5%
189,577

PTC INC COMMON STOCK USD.01
 
 
2,827,307

PTT EXPLOR + PROD PCL NVDR NVDR THB1.
 
 
106,913

PTT GLOBAL CHEMICAL PCL NVDR NVDR THB10.
 
 
130,304

PUB SVC ELEC + GAS 1ST MORTGAGE 05/15 2.7
5/1/2015
2.7%
205,805

PUB SVC ELEC + GAS SR SECURED 08/14 0.85
8/15/2014
0.85%
1,078,076

PUB SVC NEW HAMP 1ST MORTGAGE 11/23 3.5
11/1/2023
3.5%
41,123

PUBLIC BANK BHD FOREIGN MKT COMMON STOCK MYR1.
 
 
251,148

PUBLIC SERVICE CO OF NEW SR UNSECURED 05/18 7.95
5/15/2018
7.95%
416,034

PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/22 2.25
9/15/2022
2.25%
28,102

PUBLIC SERVICE ENTERPRISE GP COMMON STOCK NPV
 
 
788,504

PUBLIC SERVICE OKLAHOMA SR UNSECURED 12/19 5.15
12/1/2019
5.15%
110,786

PVH CORP COMMON STOCK USD1.
 
 
4,042,378

PZ CUSSONS PLC COMMON STOCK GBP.01
 
 
189,568

QANTAS AIRWAYS LTD COMMON STOCK NPV
 
 
445,415

QIWI PLC SPONSORED ADR ADR
 
 
532,000

QLIK TECHNOLOGIES INC COMMON STOCK
 
 
4,926,284


125
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
QTEL INTERNATIONAL FIN COMPANY GUAR 144A 10/16 3.375
10/14/2016
3.38%
62,852

QUALCOMM INC COMMON STOCK USD.0001
 
 
62,654,006

QUANTA SERVICES INC COMMON STOCK USD.00001
 
 
2,705,323

QUEBECOR INC CL B COMMON STOCK NPV
 
 
594,744

QUEST DIAGNOSTIC INC COMPANY GUAR 04/16 3.2
4/1/2016
3.2%
103,704

QUEST DIAGNOSTIC INC COMPANY GUAR 11/15 5.45
11/1/2015
5.45%
1,595,208

QUEST DIAGNOSTICS INC COMMON STOCK USD.01
 
 
1,812,864

QUINTILES TRANSNATIONAL HOLD COMMON STOCK USD.01
 
 
7,880,627

QUNAR CAYMAN ISLANDS LTD ADR ADR USD.001
 
 
255,882

QWEST CORP SR UNSECURED 10/14 7.5
10/1/2014
7.5%
262,410

RABOBANK NEDERLAND BANK GUARANT 01/14 1.85
1/10/2014
1.85%
5,794,732

RABOBANK NEDERLAND BANK GUARANT 01/17 3.375
1/19/2017
3.38%
12,397,780

RABOBANK NEDERLAND BANK GUARANT 01/21 4.5
1/11/2021
4.5%
2,759,656

RABOBANK NEDERLAND BANK GUARANT 02/22 3.875
2/8/2022
3.88%
145,790

RABOBANK NEDERLAND BANK GUARANT 10/15 2.125
10/13/2015
2.13%
5,026,307

RABOBANK NEDERLAND SR UNSECURED 144A 03/15 3.2
3/11/2015
3.2%
6,186,738

RABOBANK NEDERLAND SR UNSECURED REGS 03/20 6.875
3/19/2020
6.88%
2,337,414

RADIAN GROUP INC COMMON STOCK USD.001
 
 
2,697,414

RAKUTEN INC COMMON STOCK
 
 
13,444,403

RALLY SOFTWARE DEVELOPMENT COMMON STOCK USD.0001
 
 
336,621

RALPH LAUREN CORP COMMON STOCK USD.01
 
 
5,742,056

RAMI LEVI CHAIN STORES HASHI COMMON STOCK ILS.01
 
 
393,708

RAMIRENT OYJ COMMON STOCK NPV
 
 
716,148

RANDSTAD HOLDING NV COMMON STOCK EUR.1
 
 
5,726,094

RAS LAFFAN LNG 3 SR SECURED REGS 09/19 6.75
9/30/2019
6.75%
82,265

RAUBEX GROUP LTD COMMON STOCK ZAR.01
 
 
291,765

RAYMOND JAMES FINANCIAL INC COMMON STOCK USD.01
 
 
4,989,364

RAYTHEON COMPANY SR UNSECURED 10/20 3.125
10/15/2020
3.13%
1,366,555

RBSGC MORTGAGE PASS THROUGH CE RBSGC 2007 B 1A4
1/25/2037
0.62%
1,473,913

RCI BANQUE SA SR UNSECURED 144A 04/14 VAR
4/11/2014
2.12%
110,336

RCI BANQUE SA SR UNSECURED REGS 04/17 4.25
4/27/2017
4.25%
1,635,605

REALOGY HOLDINGS CORP COMMON STOCK USD.01
 
 
2,987,988

REALTEK SEMICONDUCTOR CORP COMMON STOCK TWD10.
 
 
200,621

RECKITT BENCKISER GROUP PLC COMMON STOCK GBP.1
 
 
5,619,991

RED HAT INC COMMON STOCK USD.0001
 
 
7,975,669

RED ROBIN GOURMET BURGERS COMMON STOCK USD.001
 
 
5,792,599

REDEFINE PROPERTIES LTD REIT ZAR.001
 
 
37,734

REDROW PLC COMMON STOCK GBP.1
 
 
695,545

REED ELSEVIER NV COMMON STOCK EUR.07
 
 
1,340,239

REED ELSEVIER PLC COMMON STOCK GBP.144397
 
 
425,934

REGENERON PHARMACEUTICALS COMMON STOCK USD.001
 
 
12,537,182


126
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
REGIONS FINANCIAL CORP SR UNSECURED 06/15 5.75
6/15/2015
5.75%
372,933

REGIONS FINANCIAL CORP SR UNSECURED 11/14 7.75
11/10/2014
7.75%
664,683

REGUS PLC COMMON STOCK GBP.01
 
 
738,840

RELIANCE INDS SPONS GDR 144A GDR
 
 
549,814

RELIANCE STEEL + ALUMINUM COMMON STOCK NPV
 
 
5,330,414

RENAISSANCERE HOLDINGS LTD COMMON STOCK USD1.
 
 
5,743,060

RENAULT SA COMMON STOCK EUR3.81
 
 
801,304

RENREN INC ADR ADR USD.001
 
 
7,799

REPSOL SA COMMON STOCK EUR1.
 
 
200,892

REPUBLIC OF INDONESIA SR UNSECURED REGS 03/14 6.75
3/10/2014
6.75%
3,531,500

REPUBLIC OF INDONESIA SR UNSECURED REGS 03/20 5.875
3/13/2020
5.88%
586,635

REPUBLIC OF SLOVENIA BONDS REGS 05/23 5.85
5/10/2023
5.85%
609,000

REPUBLIC OF SLOVENIA SR UNSECURED 144A 11/16 4.7
11/1/2016
4.7%
4,670,009

REPUBLIC OF SLOVENIA SR UNSECURED REGS 10/22 5.5
10/26/2022
5.5%
1,795,500

REPUBLIC OF SOUTH AFRICA BONDS 12/18 8.
12/21/2018
8%
5,203,281

REPUBLIC OF SOUTH AFRICA BONDS 12/26 10.5
12/21/2026
10.5%
135,007

REPUBLIC OF SOUTH AFRICA SR UNSECURED 05/19 6.875
5/27/2019
6.88%
1,372,500

REPUBLIC SERVICES INC COMPANY GUAR 05/18 3.8
5/15/2018
3.8%
307,149

REPUBLIC SERVICES INC COMPANY GUAR 09/19 5.5
9/15/2019
5.5%
669,515

REPUBLIKA SLOVENIJA SR UNSECURED REGS 03/26 5.125
3/30/2026
5.13%
412,657

REPUBLIKA SLOVENIJA SR UNSECURED REGS 09/24 4.625
9/9/2024
4.63%
266,286

REPUBLIKA SLOVENIJA UNSECURED REGS 01/21 4.375
1/18/2021
4.38%
680,149

RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 3A2
9/25/2046
0.38%
163,258

RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL2 A2
10/25/2035
0.43%
468,623

RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1
3/25/2032
6.5%
5,272

RESOLUTION LTD COMMON STOCK
 
 
588,159

RESONA HOLDINGS INC COMMON STOCK
 
 
630,318

RESTORATION HARDWARE HOLDING COMMON STOCK USD.0001
 
 
4,354,558

REXEL SA COMMON STOCK EUR5.
 
 
362,725

REYNOLDS AMERICAN INC COMPANY GUAR 06/17 6.75
6/15/2017
6.75%
6,850,796

REYNOLDS AMERICAN INC COMPANY GUAR 06/18 7.75
6/1/2018
7.75%
409,430

REYNOLDS AMERICAN INC COMPANY GUAR 10/15 1.05
10/30/2015
1.05%
3,120,893

REYNOLDS AMERICAN INC COMPANY GUAR 11/22 3.25
11/1/2022
3.25%
765,024

REYNOLDS GRP ISS/REYNOLD SR SECURED 10/20 5.75
10/15/2020
5.75%
1,428,000

RICOH LEASING CO LTD COMMON STOCK
 
 
391,209

RING ENERGY INC COMMON STOCK USD.001
 
 
767,356

RINNAI CORP COMMON STOCK
 
 
38,961

RIO TINTO FIN USA LTD COMPANY GUAR 05/14 8.95
5/1/2014
8.95%
9,187,973

RIO TINTO FIN USA LTD COMPANY GUAR 09/16 2.25
9/20/2016
2.25%
92,626

RIO TINTO FIN USA LTD COMPANY GUAR 11/20 3.5
11/2/2020
3.5%
929,085


127
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
RIO TINTO FIN USA PLC 06/16 1.375
6/17/2016
1.38%
4,764,058

RIO TINTO FIN USA PLC COMPANY GUAR 03/22 3.5
3/22/2022
3.5%
127,572

RIO TINTO LTD COMMON STOCK NPV
 
 
62,735

RIO TINTO PLC COMMON STOCK GBP.1
 
 
5,634,162

RIOCAN REAL ESTATE INVST TR REIT NPV
 
 
67,608

RMAC PLC RMAC 2005 NS2X A2C REGS
9/12/2037
0.48%
1,056,911

RMB HOLDINGS LTD COMMON STOCK ZAR.01
 
 
310,022

ROBERT HALF INTL INC COMMON STOCK USD.001
 
 
7,587,593

ROCHE HOLDING AG GENUSSCHEIN COMMON STOCK NPV
 
 
11,500,159

ROCHE HOLDINGS LTD SPONS ADR ADR
 
 
3,026,322

ROCK TENN COMPANY CL A COMMON STOCK USD.01
 
 
5,702,043

ROCKET FUEL INC COMMON STOCK USD.001
 
 
3,380,105

ROCKWOOD HOLDINGS INC COMMON STOCK USD.01
 
 
294,008

ROGERS COMMUNICATIONS IN COMPANY GUAR 03/14 5.5
3/15/2014
5.5%
3,233,200

ROGERS COMMUNICATIONS IN COMPANY GUAR 03/15 6.75
3/15/2015
6.75%
283,876

ROGERS COMMUNICATIONS IN COMPANY GUAR 03/15 7.5
3/15/2015
7.5%
5,381,757

ROGERS COMMUNICATIONS IN COMPANY GUAR 03/23 3
3/15/2023
3%
216,782

ROGERS COMMUNICATIONS IN COMPANY GUAR 05/32 8.75
5/1/2032
8.75%
58,340

ROGERS COMMUNICATIONS IN COMPANY GUAR 08/18 6.8
8/15/2018
6.8%
5,098,670

ROGERS COMMUNICATIONS INC B COMMON STOCK NPV
 
 
411,705

ROHM + HAAS CO SR UNSECURED 09/17 6
9/15/2017
6%
145,207

ROHM CO LTD COMMON STOCK
 
 
302,022

ROLLS ROYCE HOLDINGS SP ADR ADR
 
 
7,534,492

ROSETTA RESOURCES INC COMMON STOCK USD.001
 
 
3,214,837

ROSNEFT FINANCE SA COMPANY GUAR REGS 03/17 6.625
3/20/2017
6.63%
187,850

ROSNEFT FINANCE SA COMPANY GUAR REGS 07/16 7.5
7/18/2016
7.5%
168,563

ROSNEFT OJSC REG S GDR GDR
 
 
218,878

ROVI CORP COMMON STOCK USD.001
 
 
4,867,368

ROWAN COMPANIES PLC A COMMON STOCK USD.125
 
 
2,634,320

ROYAL BANK OF CANADA COMMON STOCK NPV
 
 
692,257

ROYAL BANK OF CANADA COVERED 09/18 1.2
9/19/2018
1.2%
452,811

ROYAL BANK OF CANADA COVERED 10/18 2
10/1/2018
2%
8,893,601

ROYAL BANK OF CANADA SR UNSECURED 01/14 1.125
1/15/2014
1.13%
1,200,379

ROYAL BANK OF CANADA SR UNSECURED 03/16 0.85
3/8/2016
0.85%
4,993,045

ROYAL BANK OF CANADA SR UNSECURED 03/16 VAR
3/8/2016
0.61%
6,512,604

ROYAL BANK OF CANADA SR UNSECURED 07/16 2.3
7/20/2016
2.3%
1,312,898

ROYAL BANK OF CANADA SR UNSECURED 09/16 1.45
9/9/2016
1.45%
3,549,557

ROYAL BANK OF CANADA SR UNSECURED 10/15 0.8
10/30/2015
0.8%
5,383,237

ROYAL BANK OF CANADA SR UNSECURED 12/15 2.625
12/15/2015
2.63%
8,747,009

ROYAL BK OF SCOTLAND PLC BANK GUARANT 01/21 6.125
1/11/2021
6.13%
854,555

ROYAL BK OF SCOTLAND PLC BANK GUARANT 03/15 4.875
3/16/2015
4.88%
104,559


128
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
ROYAL BK SCOTLND GRP PLC SR UNSECURED 09/15 2.55
9/18/2015
2.55%
2,342,114

ROYAL BK SCOTLND GRP PLC SR UNSECURED 10/19 6.4
10/21/2019
6.4%
1,820,674

ROYAL BK SCOTLND GRP PLC SUBORDINATED 10/14 5
10/1/2014
5%
61,317

ROYAL DUTCH SHELL PLC A SHS COMMON STOCK EUR.07
 
 
1,497,256

ROYAL DUTCH SHELL PLC B SHS COMMON STOCK EUR.07
 
 
1,140,691

RPM INTERNATIONAL INC COMMON STOCK USD.01
 
 
4,773,650

RTI INTERNATIONAL METALS INC COMMON STOCK USD.01
 
 
2,350,740

RUSSIA FOREIGN BOND SR UNSECURED 144A 03/30 VAR
3/31/2030
7.5%
749,806

RYDER SYSTEM INC COMMON STOCK USD.5
 
 
2,884,798

RYDER SYSTEM INC SR UNSECURED 03/17 2.5
3/1/2017
2.5%
508,683

RYDER SYSTEM INC SR UNSECURED 06/17 3.5
6/1/2017
3.5%
466,653

S.A.C.I. FALABELLA COMMON STOCK NPV
 
 
64,389

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/15 1.85
1/15/2015
1.85%
2,879,103

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/17 2.45
1/15/2017
2.45%
204,797

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/22 3.75
1/15/2022
3.75%
602,238

SABMILLER HOLDINGS INC COMPANY GUAR 144A 08/18 VAR
8/1/2018
0.93%
2,009,904

SABMILLER PLC SR UNSECURED 144A 01/14 5.7
1/15/2014
5.7%
7,057,096

SAFEGUARD SCIENTIFICS INC COMMON STOCK USD.1
 
 
2,670,222

SAFEWAY INC SR UNSECURED 08/17 6.35
8/15/2017
6.35%
492,291

SAFRAN SA COMMON STOCK EUR.2
 
 
261,627

SAIPEM SPA COMMON STOCK EUR1.
 
 
1,377,599

SAKAI CHEMICAL INDUSTRY CO COMMON STOCK
 
 
142,239

SALAMANDER ENERGY PLC COMMON STOCK GBP.1
 
 
105,314

SALESFORCE.COM INC COMMON STOCK USD.001
 
 
38,284,806

SALIX PHARMACEUTICALS LTD COMMON STOCK USD.001
 
 
3,642,570

SALLY BEAUTY HOLDINGS INC COMMON STOCK USD.01
 
 
10,816,294

SAMPO OYJ A SHS COMMON STOCK NPV
 
 
1,163,175

SAMSUNG CARD CO COMMON STOCK KRW5000.
 
 
151,677

SAMSUNG ELECTR GDR REG S GDR
 
 
1,780,078

SAMSUNG ELECTRONICS CO LTD COMMON STOCK KRW5000.
 
 
1,794,059

SAMSUNG HEAVY INDUSTRIES COMMON STOCK KRW5000.
 
 
149,986

SAN DIEGO GAS + ELECTRIC 1ST MORTGAGE 11/15 5.3
11/15/2015
5.3%
237,945

SANDISK CORP COMMON STOCK USD.001
 
 
19,209,453

SANDS CHINA LTD COMMON STOCK USD.01
 
 
72,182

SANKYO CO LTD COMMON STOCK
 
 
83,060

SANLAM LTD COMMON STOCK ZAR.01
 
 
306,257

SANOFI COMMON STOCK EUR2.
 
 
944,824

SANOFI SR UNSECURED 03/14 1.625
3/28/2014
1.63%
1,900,806

SANOFI SR UNSECURED 03/16 2.625
3/29/2016
2.63%
722,699

SANOFI SR UNSECURED 04/18 1.25
4/10/2018
1.25%
3,115,565

SANOFI SR UNSECURED 09/14 1.2
9/30/2014
1.2%
231,419


129
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
SANTANDER DRIVE AUTO RECEIVABL SDART 2010 1 A3
11/17/2014
1.84%
240,242

SANTANDER DRIVE AUTO RECEIVABL SDART 2010 1 A4
5/15/2017
2.43%
935,183

SANTANDER DRIVE AUTO RECEIVABL SDART 2010 A A3 144A
11/17/2014
1.83%
119,560

SANTANDER DRIVE AUTO RECEIVABL SDART 2010 A A4 144A
6/15/2017
2.39%
2,599,696

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 2 A3
12/15/2015
1.22%
1,001,551

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 3 A3
4/15/2016
1.08%
771,681

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 4 A2
8/17/2015
0.79%
1,470,977

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 5 A3
12/15/2016
0.83%
1,590,329

SANTANDER DRIVE AUTO RECEIVABL SDART 2013 2 A3
9/15/2017
0.7%
9,999,609

SANTANDER DRIVE AUTO RECEIVABL SDART 2013 4 A2
9/15/2016
0.89%
4,258,382

SANTANDER DRIVE AUTO RECEIVABL SDART 2013 5 A3
2/15/2018
0.82%
11,393,365

SANTANDER DRIVE AUTO RECEIVABL SDART 2013 A A3 144A
1/16/2018
1.02%
702,395

SANTANDER HOLDINGS USA SR UNSECURED 08/18 3.45
8/27/2018
3.45%
2,061,583

SANTANDER HOLDINGS USA SR UNSECURED 09/15 3
9/24/2015
3%
3,571,933

SANTANDER INTL DEBT SA BANK GUARANT REGS 03/16 4.625
3/21/2016
4.63%
1,912,203

SAP AG COMMON STOCK NPV
 
 
5,092,788

SAPIENT CORPORATION COMMON STOCK USD.01
 
 
3,836,560

SARTORIUS STEDIM BIOTECH COMMON STOCK EUR.61
 
 
889,887

SASOL LTD COMMON STOCK NPV
 
 
328,730

SATO HOLDINGS CORP COMMON STOCK
 
 
326,759

SAUDI ELECTRICITY GLOBAL SR UNSECURED 144A 04/43 5.06
4/8/2043
5.06%
180,020

SBERBANK (SB CAP SA) SR UNSECURED 144A 02/22 6.125
2/7/2022
6.13%
1,334,575

SBERBANK (SB CAP SA) SR UNSECURED REGS 07/15 5.499
7/7/2015
5.5%
622,450

SBERBANK SPONSORED ADR ADR
 
 
40,400

SBERBANK SPONSORED ADR ADR
 
 
1,215,379

SCANA CORPORATION SR UNSECURED 02/22 4.125
2/1/2022
4.13%
97,113

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 08/17 1.25
8/1/2017
1.25%
146,611

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 09/16 1.95
9/14/2016
1.95%
255,064

SCHLUMBERGER INVT SA 12/23 3.65
12/1/2023
3.65%
317,214

SCHLUMBERGER LTD COMMON STOCK USD.01
 
 
6,324,190

SCHLUMBERGER OILFIELD UK COMPANY GUAR 144A 01/21 4.2
1/15/2021
4.2%
105,699

SCHNEIDER ELECTRIC SA COMMON STOCK EUR4.
 
 
6,187,676

SCHRODERS PLC COMMON STOCK GBP1.0
 
 
753,831

SCSK CORP COMMON STOCK
 
 
4,196,946

SDL PLC COMMON STOCK GBP.01
 
 
200,797

SEAGATE TECHNOLOGY COMMON STOCK USD.00001
 
 
18,599,630

SEALED AIR CORP COMMON STOCK USD.1
 
 
2,100,885

SEATTLE GENETICS INC COMMON STOCK USD.001
 
 
2,263,758

SEAWORLD ENTERTAINMENT INC COMMON STOCK USD.01
 
 
2,954,679

SECURITY BANK CORP COMMON STOCK PHP10.
 
 
180,407

SECURITY NATIONAL MORTGAGE LOA SNMLT 2007 1A 2A 144A
4/25/2037
0.52%
431,538


130
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
SEEK LTD COMMON STOCK NPV
 
 
183,786

SEGA SAMMY HOLDINGS INC COMMON STOCK
 
 
236,869

SEKISUI CHEMICAL CO LTD COMMON STOCK
 
 
441,844

SEKISUI HOUSE LTD COMMON STOCK
 
 
97,902

SELECTIVE INSURANCE GROUP COMMON STOCK USD2.
 
 
2,769,862

SEMBCORP INDUSTRIES LTD COMMON STOCK NPV
 
 
39,134

SEMBCORP MARINE LTD COMMON STOCK NPV
 
 
42,294

SEMPRA ENERGY SR UNSECURED 03/14 2
3/15/2014
2%
9,755,050

SEMPRA ENERGY SR UNSECURED 10/39 6
10/15/2039
6%
131,815

SEMPRA ENERGY SR UNSECURED 12/23 4.05
12/1/2023
4.05%
99,731

SEMTECH CORP COMMON STOCK USD.01
 
 
1,744,320

SENIOR PLC COMMON STOCK GBP.1
 
 
449,270

SENSIENT TECHNOLOGIES CORP COMMON STOCK USD.1
 
 
2,677,819

SERVICENOW INC COMMON STOCK USD.001
 
 
15,864,756

SEVEN + I HOLDINGS CO LTD COMMON STOCK
 
 
322,135

SHELL INTERNATIONAL FIN COMPANY GUAR 03/14 4
3/21/2014
4%
251,985

SHELL INTERNATIONAL FIN COMPANY GUAR 03/20 4.375
3/25/2020
4.38%
789,297

SHELL INTERNATIONAL FIN COMPANY GUAR 06/15 3.1
6/28/2015
3.1%
11,305,608

SHELL INTERNATIONAL FIN COMPANY GUAR 08/23 3.4
8/12/2023
3.4%
68,226

SHELL INTERNATIONAL FIN COMPANY GUAR 08/43 4.55
8/12/2043
4.55%
24,384

SHELL INTERNATIONAL FIN COMPANY GUAR 09/19 4.3
9/22/2019
4.3%
1,002,948

SHENGUAN HOLDINGS GROUP LTD COMMON STOCK HKD.01
 
 
215,086

SHENZHEN EXPRESSWAY CO H COMMON STOCK CNY1.
 
 
287,167

SHENZHOU INTERNATIONAL GROUP COMMON STOCK HKD.1
 
 
615,947

SHIMAMURA CO LTD COMMON STOCK
 
 
243,908

SHIMAO PROPERTY HOLDINGS LTD COMMON STOCK HKD.1
 
 
51,536

SHIN ETSU CHEMICAL CO LTD COMMON STOCK
 
 
3,756,263

SHINHAN FINANCIAL GROUP LTD COMMON STOCK KRW5000.
 
 
239,335

SHINKO ELECTRIC INDUSTRIES COMMON STOCK
 
 
476,217

SHIONOGI + CO LTD COMMON STOCK
 
 
7,397,174

SHIP HEALTHCARE HOLDINGS INC COMMON STOCK
 
 
213,762

SHIRE PLC COMMON STOCK GBP.05
 
 
482,565

SHOPPERS DRUG MART CORP COMMON STOCK NPV
 
 
1,414,085

SHUTTERFLY INC COMMON STOCK USD.0001
 
 
1,098,866

SHUTTERSTOCK INC COMMON STOCK USD.01
 
 
2,168,442

SIEMENS AG REG COMMON STOCK NPV
 
 
259,678

SIEMENS FINANCIERINGSMAT COMPANY GUAR 144A 10/16 5.75
10/17/2016
5.75%
450,722

SIERRA PACIFIC POWER CO GENL REF MOR 05/16 6.
5/15/2016
6%
524,651

SIGNATURE BANK COMMON STOCK USD.01
 
 
4,640,544

SIHUAN PHARMACEUTICAL HLDGS COMMON STOCK HKD.01
 
 
461,379

SIKA AG BR COMMON STOCK CHF.6
 
 
620,401


131
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
SILENUS (EUROP LOAN COND N25)P EURO 25X A REGS
5/15/2019
0.37%
61,878

SILGAN HOLDINGS INC COMMON STOCK USD.01
 
 
2,150,912

SILICON LABORATORIES INC COMMON STOCK USD.0001
 
 
2,120,203

SILICONWARE PRECISION INDS COMMON STOCK TWD10.
 
 
107,504

SIMON PROPERTY GROUP LP SR UNSECURED 01/14 4.9
1/30/2014
4.9%
280,913

SIMON PROPERTY GROUP LP SR UNSECURED 02/15 4.2
2/1/2015
4.2%
136,910

SIMON PROPERTY GROUP LP SR UNSECURED 02/20 5.65
2/1/2020
5.65%
267,190

SIMON PROPERTY GROUP LP SR UNSECURED 05/14 6.75
5/15/2014
6.75%
13,141,415

SIMON PROPERTY GROUP LP SR UNSECURED 05/16 6.1
5/1/2016
6.1%
220,860

SIMON PROPERTY GROUP LP SR UNSECURED 06/15 5.1
6/15/2015
5.1%
95,846

SIMON PROPERTY GROUP LP SR UNSECURED 09/17 2.15
9/15/2017
2.15%
202,760

SIMON PROPERTY GROUP LP SR UNSECURED 12/16 5.25
12/1/2016
5.25%
298,853

SIMPSON MANUFACTURING CO INC COMMON STOCK USD.01
 
 
2,846,391

SINA CORP COMMON STOCK USD.133
 
 
9,932,233

SINGAPORE AIRLINES LTD COMMON STOCK NPV
 
 
115,428

SINGAPORE EXCHANGE LTD COMMON STOCK NPV
 
 
46,000

SINGAPORE TECH ENGINEERING COMMON STOCK NPV
 
 
59,591

SINGAPORE TELECOMMUNICATIONS COMMON STOCK NPV
 
 
63,482

SINGAPORE TELECOMMUNICATIONS COMMON STOCK NPV
 
 
1,350,832

SINO BIOPHARMACEUTICAL COMMON STOCK HKD.025
 
 
365,449

SINO LAND CO COMMON STOCK HKD1.
 
 
(66
)
SINOFERT HOLDINGS LTD COMMON STOCK HKD.1
 
 
217,428

SINOPAC FINANCIAL HOLDINGS COMMON STOCK TWD10.
 
 
117,092

SINOPEC SHANGHAI PETROCHEM H COMMON STOCK CNY1.
 
 
379,651

SIRONA DENTAL SYSTEMS INC COMMON STOCK USD.01
 
 
2,379,780

SISTEMA JSFC REG S SPONS GDR GDR
 
 
632,860

SJM HOLDINGS LTD COMMON STOCK NPV
 
 
280,587

SK HOLDINGS CO LTD COMMON STOCK KRW5000.
 
 
414,450

SK HYNIX INC COMMON STOCK KRW5000.
 
 
8,841,624

SK TELECOM CO LTD ADR ADR
 
 
408,692

SKANDINAVISKA ENSKILDA BAN A COMMON STOCK NPV
 
 
520,979

SKANDINAVISKA ENSKILDA COVERED REGS 10/17 2.625
10/16/2017
2.63%
1,757,147

SKANDINAVISKA ENSKILDA SR UNSECURED 144A 03/18 1.75
3/19/2018
1.75%
392,830

SKF AB B SHARES COMMON STOCK SEK2.5
 
 
678,493

SLC AGRICOLA SA COMMON STOCK NPV
 
 
227,411

SLC STUDENT LOAN TRUST SLCLT 2009 AA A 144A
6/15/2033
4.75%
1,388,494

SLH OPEN POSITION NET PAYABLE SLHOPNTL0
 
 
(469,063
)
SLM CORP SR UNSECURED 01/14 VAR
1/27/2014
0.54%
739,111

SLM CORP SR UNSECURED 01/16 6.25
1/25/2016
6.25%
810,000

SLM CORP SR UNSECURED 05/14 5.375
5/15/2014
5.38%
915,750

SLM CORP SR UNSECURED 06/18 8.45
6/15/2018
8.45%
81,550


132
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
SLM CORP SR UNSECURED 06/19 4.875
6/17/2019
4.88%
597,872

SLM CORP SR UNSECURED 09/15 3.875
9/10/2015
3.88%
2,677,413

SLM STUDENT LOAN TR 03 7 SLM STUDENT LOAN TR 03 7 REGS
12/15/2033
0.83%
845,636

SLM STUDENT LOAN TRUST SLMA 2003 11 A6 144A
12/15/2025
0.54%
2,181,579

SLM STUDENT LOAN TRUST SLMA 2004 B A2
6/15/2021
0.45%
8,544,094

SLM STUDENT LOAN TRUST SLMA 2006 5 A5
1/25/2027
0.35%
2,616,154

SLM STUDENT LOAN TRUST SLMA 2006 B A4
3/15/2024
0.42%
868,298

SLM STUDENT LOAN TRUST SLMA 2007 2 A2
7/25/2017
0.24%
224,863

SLM STUDENT LOAN TRUST SLMA 2007 A A4A
12/16/2041
0.48%
632,833

SLM STUDENT LOAN TRUST SLMA 2008 9 A
4/25/2023
1.74%
26,601,814

SLM STUDENT LOAN TRUST SLMA 2012 6 A3
5/26/2026
0.93%
1,501,041

SLM STUDENT LOAN TRUST SLMA 2013 5 A2
10/26/2020
0.57%
9,999,190

SLM STUDENT LOAN TRUST SLMA 2013 6 A3
6/26/2028
0.9%
1,790,043

SMALL BUSINESS ADMINISTRATION SBAP 1999 20L 1
12/1/2019
7.19%
100,383

SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1
2/1/2025
4.63%
1,982,764

SMALL BUSINESS ADMINISTRATION SBAP 2008 20F 1
6/1/2028
5.68%
650,661

SMALL BUSINESS ADMINISTRATION SBIC 2008 10A 1
3/10/2018
5.47%
2,995,344

SMITH + NEPHEW PLC COMMON STOCK USD.2
 
 
4,018,154

SMITHS GROUP PLC COMMON STOCK GBP.375
 
 
4,033,774

SNAAC AUTO RECEIVABLES TRUST SNAAC 2013 1A A 144A
7/16/2018
1.14%
68,738

SOCIETE BIC SA COMMON STOCK EUR3.82
 
 
726,135

SOCIETE GENERALE SA COMMON STOCK EUR1.25
 
 
1,213,282

SODASTREAM INTERNATIONAL LTD COMMON STOCK
 
 
922,063

SOFTBANK CORP COMMON STOCK
 
 
1,032,872

SOLARCITY CORP COMMON STOCK USD.0001
 
 
794,060

SOLARWINDS INC COMMON STOCK USD.001
 
 
2,347,352

SOLERA HOLDINGS INC COMMON STOCK USD.01
 
 
7,429,800

SONIC CORP COMMON STOCK USD.01
 
 
2,736,149

SONOVA HOLDING AG REG COMMON STOCK CHF.05
 
 
2,131,354

SOUFUN HOLDINGS LTD ADR ADR
 
 
17,350,189

SOUTH CAROLINA STUDENT LOAN CO SCSLC 2008 1 A2
3/1/2018
0.79%
1,350,021

SOUTHERN CAL EDISON 1ST REF MORT 10/23 3.5
10/1/2023
3.5%
877,145

SOUTHERN CO SR UNSECURED 05/14 4.15
5/15/2014
4.15%
7,214,967

SOUTHERN CO SR UNSECURED 09/16 1.95
9/1/2016
1.95%
6,431,304

SOUTHERN COPPER CORP COMMON STOCK USD.01
 
 
43,065

SOUTHERN NATURAL GAS SR UNSECURED 144A 04/17 5.9
4/1/2017
5.9%
302,584

SOUTHERN POWER CO SR UNSECURED 09/41 5.15
9/15/2041
5.15%
39,160

SOUTHWEST GAS CORP COMMON STOCK USD1.
 
 
3,079,802

SOUTHWESTERN ENERGY CO COMMON STOCK USD.01
 
 
7,934,828

SPAREBANK 1 SR BANK ASA COMMON STOCK NOK25.
 
 
482,648

SPARK INFRASTRUCTURE GROUP MISC. NPV
 
 
555,524


133
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
SPARTAN STORES INC COMMON STOCK NPV
 
 
2,506,594

SPECTRA ENERGY CAPITAL COMPANY GUAR 03/20 5.65
3/1/2020
5.65%
149,183

SPECTRA ENERGY CAPITAL COMPANY GUAR 04/18 6.2
4/15/2018
6.2%
293,350

SPECTRA ENERGY CAPITAL COMPANY GUAR 08/14 5.668
8/15/2014
5.67%
205,947

SPECTRA ENERGY CAPITAL COMPANY GUAR 10/19 8.
10/1/2019
8%
89,337

SPECTRA ENERGY PARTNERS SR UNSECURED 03/24 4.75
3/15/2024
4.75%
907,269

SPIRIT AEROSYSTEMS HOLD CL A COMMON STOCK USD.01
 
 
233,618

SPIRIT AIRLINES INC COMMON STOCK USD.0001
 
 
2,161,516

SPIRIT ISSUER PLC SR SECURED 12/27 6.582
12/28/2027
6.58%
1,259,950

SPLUNK INC COMMON STOCK USD.001
 
 
6,810,347

SPRINGCASTLE SPV SCFT 2013 1A A 144A
4/3/2021
3.75%
240,721

SPRINGLAND INTERNATIONAL HOL COMMON STOCK HKD.01
 
 
261,926

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2012 2A A 144A
10/25/2057
2.22%
799,259

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2012 3A A 144A
12/25/2059
1.57%
360,412

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 1A A 144A
6/25/2058
1.27%
390,926

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 2A M1 144A
12/25/2065
3.52%
305,838

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2013 2A M2 144A
12/25/2065
4.48%
295,445

SPROUTS FARMERS MARKET INC COMMON STOCK USD.001
 
 
3,513,078

SPS COMMERCE INC COMMON STOCK USD.001
 
 
2,482,053

ST JUDE MEDICAL INC COMMON STOCK USD.1
 
 
7,448,249

ST JUDE MEDICAL INC SR UNSECURED 01/16 2.5
1/15/2016
2.5%
4,102,956

ST JUDE MEDICAL INC SR UNSECURED 04/23 3.25
4/15/2023
3.25%
877,004

STADSHYPOTEK AB COVERED 144A 10/19 1.875
10/2/2019
1.88%
240,950

STANDARD CHARTERED PLC COMMON STOCK USD.5
 
 
5,873,390

STANDARD CHARTERED PLC SR UNSECURED 144A 11/14 5.5
11/18/2014
5.5%
3,516,498

STANLEY BLACK + DECKER INC COMMON STOCK USD2.5
 
 
3,788,234

STAPLES INC COMMON STOCK USD.0006
 
 
2,161,199

STARBUCKS CORP COMMON STOCK USD.001
 
 
5,254,168

STARBUCKS CORP SR UNSECURED 12/16 0.875
12/5/2016
0.88%
4,996,339

STARHUB LTD COMMON STOCK NPV
 
 
20,387

STATE BANK INDIA/LONDON SR UNSECURED 144A 07/15 4.5
7/27/2015
4.5%
226,421

STATE BANK OF INDI GDR REG S GDR
 
 
148,304

STATE STR BK TR CO INVT FDS US INDX NL SF CL A (CMLH1)
 
 
3,419,488,453

STATE STR BK + TR CO INVT FDS MUTUAL FUND
 
 
3,039,247,945

STATE STR BK + TR CO INVT FDS S+P 500 FLAGSHIP NON LENDING
 
 
8,094,868,970

STATE STREET CORP COMMON STOCK USD1.
 
 
5,094,000

STATE STREET CORP JR SUB DEBS 03/18 4.956
3/15/2018
4.96%
2,940,079

STATE STREET CORP SR UNSECURED 03/16 2.875
3/7/2016
2.88%
3,409,091

STATE STREET CORP SR UNSECURED 05/14 4.3
5/30/2014
4.3%
1,407,243

STATE STREET CORP SUB NOTES 05/23 3.1
5/15/2023
3.1%
39,052

STATOIL ASA 11/18 1
11/8/2018
0.7%
2,110,011


134
Table of Contents


Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
STATOIL ASA 11/18 1.95
11/8/2018
1.95%
2,383,475

STATOIL ASA 11/20 2.9
11/8/2020
2.9%
65,568

STATOIL ASA COMPANY GUAR 01/23 2.45
1/17/2023
2.45%
54,691

STATOIL ASA COMPANY GUAR 04/19 5.25
4/15/2019
5.25%
2,550,067

STEVEN MADDEN LTD COMMON STOCK USD.0001
 
 
2,348,712

STHREE PLC COMMON STOCK GBP.01
 
 
576,780

STOCKLAND REIT NPV
 
 
83,914

STOREBRAND ASA COMMON STOCK NOK5.
 
 
299,859

STRATASYS LTD COMMON STOCK
 
 
3,619,691

STRIPS 02/20 0.00000
2/15/2020
0.01%
4,362,040

STRIPS 02/21 0.00000
2/15/2021
0.01%
6,966,328

STRIPS 02/23 0.00000
2/15/2023
0.01%
2,490,420

STRIPS 02/29 0.00000
 
 
801,203

STRIPS 05/20 0.00000
5/15/2020
0.01%
3,099,225

STRIPS 05/27 0.00000
 
 
1,036,614

STRIPS 05/30 0.00000
 
 
1,044,153

STRIPS 08/21 0.00000
8/15/2021
0.01%
5,583,724

STRIPS 11/16 0.00000
 
 
3,179,391

STRIPS 11/21 0.00000
11/15/2021
0.01%
5,024,429

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1
2/25/2034
2.91%
22,812

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 16 1A2
11/25/2034
2.47%
1,325,285

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2
4/25/2034
2.5%
44,380

STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4
3/25/2034
0.87%
638,049

STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR4 A1
1/19/2034
0.87%
1,609,794

STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A1
3/19/2034
0.87%
364,801

STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
7/19/2035
0.42%
3,045,687

STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A1
5/25/2046
0.38%
2,244,080

STRUCTURED ASSET SECURITIES CO SASC 2003 22A 3A
6/25/2033
2.62%
678,756

STRUCTURED ASSET SECURITIES CO SASC 2003 26A 3A5
9/25/2033
2.45%
2,182,628

STRUCTURED ASSET SECURITIES CO SASC 2003 31A 2A7
10/25/2033
2.5%
5,309,730

STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A3
11/25/2033
2.51%
1,691,452

STRUCTURED ASSET SECURITIES CO SASC 2005 GEL2 A
4/25/2035
0.45%
337,650

STRUCTURED ASSET SECURITIES CO SASC 2005 GEL4 M1
8/25/2035
0.69%
1,309,864

STRUCTURED ASSET SECURITIES CO SASC 2005 RF3 1A 144A
6/25/2035
0.52%
1,064,210

STRYKER CORP COMMON STOCK USD.1
 
 
4,450,167

SUEZ ENVIRONNEMENT CO COMMON STOCK EUR4.
 
 
597,267

SULZER AG REG COMMON STOCK CHF.01
 
 
773,097

SUMITOMO MITSUI BANKING BANK GUARANT 07/23 3.95
7/19/2023
3.95%
403,217

SUMITOMO MITSUI BANKING COMPANY GUAR 07/15 1.35
7/18/2015
1.35%
5,040,215

SUMITOMO MITSUI BANKING SR UNSECURED 144A 01/14 1.95
1/14/2014
1.95%
200,080


135
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
SUMITOMO MITSUI BANKING SR UNSECURED 144A 01/16 3.1
1/14/2016
3.1%
830,162

SUMITOMO MITSUI BANKING SR UNSECURED 144A 07/14 1.9
7/22/2014
1.9%
11,277,414

SUMITOMO MITSUI BANKING SR UNSECURED 144A 07/15 3.15
7/22/2015
3.15%
1,137,467

SUMITOMO MITSUI FINANCIAL GR COMMON STOCK
 
 
1,531,554

SUMITOMO MITSUI TR BK LT COMPANY GUAR 144A 03/18 1.8
3/28/2018
1.8%
486,281

SUMITOMO MITSUI TRUST HOLDIN COMMON STOCK
 
 
137,044

SUMITOMO REALTY + DEVELOPMEN COMMON STOCK
 
 
199,039

SUN HUNG KAI PROPERTIES COMMON STOCK HKD.5
 
 
114,159

SUN LIFE FINANCIAL INC COMMON STOCK NPV
 
 
494,381

SUNAC CHINA HOLDINGS LTD COMMON STOCK HKD.1
 
 
297,817

SUNCOR ENERGY INC COMMON STOCK NPV
 
 
1,111,066

SUNCOR ENERGY INC SR UNSECURED 12/34 5.95
12/1/2034
5.95%
54,442

SUNCORP GROUP LTD COMMON STOCK NPV
 
 
367,482

SUNDRUG CO LTD COMMON STOCK
 
 
541,654

SUNNY OPTICAL TECH COMMON STOCK HKD.1
 
 
3,377,611

SUNPOWER CORP COMMON STOCK USD.001
 
 
7,586,645

SUNTRUST BANK SUBORDINATED 04/15 VAR
4/1/2015
0.55%
3,303,589

SUNTRUST BANKS INC SR UNSECURED 01/17 3.5
1/20/2017
3.5%
85,173

SUNTRUST BANKS INC SR UNSECURED 04/16 3.6
4/15/2016
3.6%
315,995

SUNTRUST BANKS INC SR UNSECURED 11/18 2.35
11/1/2018
2.35%
164,126

SUPERIOR ENERGY SERVICES INC COMMON STOCK USD.001
 
 
4,608,852

SURGUTNEFTEGAS SP ADR ADR
 
 
235,388

SURUGA BANK LTD COMMON STOCK
 
 
484,487

SUZUKEN CO LTD COMMON STOCK
 
 
307,764

SUZUKI MOTOR CORP COMMON STOCK
 
 
166,820

SVB FINANCIAL GROUP COMMON STOCK USD.001
 
 
1,827,710

SVENSKA CELLULOSA AB SCA B COMMON STOCK NPV
 
 
1,515,135

SVENSKA HANDELSBANKEN AB SR UNSECURED 01/19 2.5
1/25/2019
2.5%
1,027,934

SWATCH GROUP AG/THE UNSP ADR ADR
 
 
5,699,344

SWEDBANK HYPOTEK AB COVERED 10/16 3.625
10/5/2016
3.63%
1,115,610

SWEDISH MATCH AB COMMON STOCK NPV
 
 
1,002,668

SWIFT TRANSPORTATION CO COMMON STOCK USD.001
 
 
4,073,603

SWIRE PACIFIC LTD A COMMON STOCK NPV
 
 
88,167

SWISS LIFE HOLDING AG REG COMMON STOCK CHF5.1
 
 
594,323

SWISS RE AG COMMON STOCK CHF.1
 
 
3,000,151

SWPC108J7 CDS USD P V 03MEVENT
9/20/2015
1%
(400,000
)
SWPC108J7 CDS USD R F 1.00000
9/20/2015
1%
400,725

SWPC334S3 CDS USD P V 00MEVENT
6/20/2017
1%
(400,000
)
SWPC334S3 CDS USD R F 1.00000
6/20/2017
1%
407,377

SWPC376Z6 CDS USD P V 03MEVENT SOVEREIGN
9/20/2015
1%
(100,000
)
SWPC376Z6 CDS USD R F 1.00000 SOVEREIGN
9/20/2015
1%
100,181


136
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
SWPC459S2 CDS USD P V 03MEVENT CORPORATE
6/20/2017
1%
(600,000
)
SWPC459S2 CDS USD R F 1.00000 CORPORATE
6/20/2017
1%
607,866

SWPC479Z2 CDS USD P V 03MEVENT SOVEREIGN
9/20/2014
1%
(200,000
)
SWPC479Z2 CDS USD R F 1.00000 SOVEREIGN
9/20/2014
1%
200,702

SWPC670U0 CDS USD P V 03MEVENT 2 CCPCDX
12/20/2017
1%
(5,100,000
)
SWPC670U0 CDS USD R F 1.00000 1 CCPCDX
12/20/2017
1%
5,209,000

SWPC712W6 CDS USD P V 03MEVENT 2 CCPCDX ICE
12/20/2017
1%
(4,200,000
)
SWPC712W6 CDS USD R F 1.00000 1 CCPCDX ICE
12/20/2017
1%
4,288,985

SWPC714W4 CDS USD P V 03MEVENT 2 CCPCDX
6/20/2017
1%
(5,300,000
)
SWPC714W4 CDS USD R F 1.00000 1 CCPCDX
6/20/2017
1%
5,413,987

SWPC749W3 CDS USD P V 03MEVENT CORPORATE
3/20/2018
1%
(800,000
)
SWPC749W3 CDS USD R F 1.00000 CORPORATE
3/20/2018
1%
815,131

SWPC784L3 CDS USD P V 00MEVENT
6/20/2016
1%
(300,000
)
SWPC784L3 CDS USD R F 1.00000
6/20/2016
1%
304,399

SWPC789Z7 CDS USD P V 03MEVENT SOVEREIGN
9/20/2014
1%
(100,000
)
SWPC789Z7 CDS USD R F 1.00000 SOVEREIGN
9/20/2014
1%
100,391

SWPC790Z4 CDS USD P V 03MEVENT SOVEREIGN
9/20/2014
1%
(200,000
)
SWPC790Z4 CDS USD R F 1.00000 SOVEREIGN
9/20/2014
1%
200,782

SWPC792Z2 CDS USD P V 03MEVENT SOVEREIGN
9/20/2014
1%
(400,000
)
SWPC792Z2 CDS USD R F 1.00000 SOVEREIGN
9/20/2014
1%
401,563

SWPC801Z1 CDS USD P V 03MEVENT SOVEREIGN
9/20/2014
1%
(200,000
)
SWPC801Z1 CDS USD R F 1.00000 SOVEREIGN
9/20/2014
1%
200,702

SWPC804Z8 CDS USD P V 03MEVENT SOVEREIGN
9/20/2014
1%
(400,000
)
SWPC804Z8 CDS USD R F 1.00000 SOVEREIGN
9/20/2014
1%
401,404

SWPC969Z9 CDS USD P V 03MEVENT BRC MYC 2 CCPCDX
12/20/2018
1%
(10,500,000
)
SWPC969Z9 CDS USD R F 1.00000 BRC MYC 1 CCPCDX
12/20/2018
1%
10,687,816

SWPC971Z5 CDS USD P V 00MEVENT XM2001D18U0500XXI ICE
12/20/2018
1%
(8,400,000
)
SWPC971Z5 CDS USD R F 5.00000 ICE CDX EM20
12/20/2018
5%
9,252,532

SWU0023W0 IRS MXN P V 00MTIIE 2
9/2/2022
3.79%
(435,209
)
SWU0023W0 IRS MXN R F 6.75000
9/2/2022
6.75%
439,499

SWU003MT4 IRS EUR P V 01MEONIA
9/18/2014
1%
(126,220,174
)
SWU003MT4 IRS EUR R F .12500
9/18/2014
0.13%
126,263,121

SWU005NE1 IRS EUR P V 06MEURIB SWUV05NE3 CCPVANILLA
3/19/2019
1%
(7,440,927
)
SWU005NE1 IRS EUR R F 1.50000 SWU005NE1 CCPVANILLA
3/19/2019
1.5%
7,495,254

SWU0307U1 IRS EUR P V 06MEURIB MYC IRS P V 06MEURIB CME CCP
3/21/2017
0.26%
(2,438,971
)
SWU0307U1 IRS EUR R F 2.00000 MYC IRS R F 2.00000 CME CCP
3/21/2017
2%
2,533,403

SWU0326U8 IRS EUR P V 06MEURIB CME
9/15/2015
0.33%
(2,204,719
)
SWU0326U8 IRS EUR R F 2.00000 CME
9/15/2015
2%
2,262,026

SWU036GK0 IRS BRL P V 00MCETIP GLM IRS BRL P V 00MCETIP
1/2/2015
1%
(8,477,270
)
SWU036GK0 IRS BRL R F 9.94000 GLM IRS BRL R F 9.94000
1/2/2015
9.94%
8,678,131

SYDNEY AIRPORT MISC. NPV
 
 
29,747


137
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
SYMANTEC CORP COMMON STOCK USD.01
 
 
7,022,124

SYMANTEC CORP SR UNSECURED 09/15 2.75
9/15/2015
2.75%
1,284,121

SYNAPTICS INC COMMON STOCK USD.001
 
 
3,688,147

SYNCHRONOSS TECHNOLOGIES INC COMMON STOCK USD.0001
 
 
2,451,112

SYNGENTA AG ADR ADR
 
 
10,536,092

SYNNEX TECHNOLOGY INTL CORP COMMON STOCK TWD10.
 
 
171,403

SYNTHOMER PLC COMMON STOCK GBP.1
 
 
420,251

SYSMEX CORP COMMON STOCK
 
 
460,853

T MOBILE US INC COMMON STOCK USD.0001
 
 
10,904,578

T+D HOLDINGS INC COMMON STOCK
 
 
173,309

TABLEAU SOFTWARE INC CL A COMMON STOCK USD.0001
 
 
2,253,391

TAHOE RESOURCES INC COMMON STOCK
 
 
350,905

TAISEI CORP COMMON STOCK
 
 
209,200

TAISHIN FINANCIAL HOLDING COMMON STOCK TWD10.
 
 
117,481

TAIWAN CEMENT COMMON STOCK TWD10.
 
 
130,354

TAIWAN SEMICONDUCTOR MANUFAC COMMON STOCK TWD10.
 
 
10,923,985

TAIWAN SEMICONDUCTOR SP ADR ADR
 
 
11,904,230

TAKARA LEBEN CO LTD COMMON STOCK
 
 
245,581

TAKASHIMAYA CO LTD COMMON STOCK
 
 
567,804

TAKEDA PHARMACEUTICAL SR UNSECURED 144A 03/15 1.031
3/17/2015
1.03%
8,291,258

TAL INTERNATIONAL GROUP INC COMMON STOCK USD.001
 
 
2,873,235

TALISMAN ENERGY SR UNSECURED 02/37 5.85
2/1/2037
5.85%
33,818

TALISMAN ENERGY SR UNSECURED 02/38 6.25
2/1/2038
6.25%
40,674

TALISMAN ENERGY SR UNSECURED 05/15 5.125
5/15/2015
5.13%
231,255

TARGET CORP COMMON STOCK USD.0833
 
 
7,789,170

TARGET CORP SR UNSECURED 05/17 5.375
5/1/2017
5.38%
337,216

TATA MOTORS LTD SPON ADR ADR USD.1
 
 
406,560

TATE + LYLE PLC COMMON STOCK GBP.25
 
 
246,797

TATNEFT SPONSORED ADR ADR
 
 
280,497

TATTS GROUP LTD COMMON STOCK NPV
 
 
407,111

TAURON POLSKA ENERGIA SA COMMON STOCK PLN5.
 
 
62,902

TAV HAVALIMANLARI HOLDING AS COMMON STOCK TRY1.
 
 
459,883

TAYLOR WIMPEY PLC COMMON STOCK GBP.01
 
 
787,071

TBA WESTERN/LEHMAN RECEIVABLE LBI LEHESC R(LEH ESCROW REC)
 
 
800,331

TCI COMMUNICATIONS INC SR UNSECURED 08/15 8.75
8/1/2015
8.75%
449,864

TD AMERITRADE HOLDING CO COMPANY GUAR 12/14 4.15
12/1/2014
4.15%
330,387

TDC A/S COMMON STOCK DKK1.
 
 
220,753

TEAM HEALTH HOLDINGS INC COMMON STOCK USD.01
 
 
7,893,815

TECAN GROUP AG REG COMMON STOCK CHF.1
 
 
555,407

TECHTRONIC INDUSTRIES CO COMMON STOCK NPV
 
 
924,230

TECK RESOURCES LIMITED COMPANY GUAR 01/17 3.15
1/15/2017
3.15%
155,305


138
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
TECK RESOURCES LIMITED COMPANY GUAR 01/21 4.5
1/15/2021
4.5%
163,205

TECK RESOURCES LIMITED COMPANY GUAR 02/18 2.5
2/1/2018
2.5%
120,725

TECK RESOURCES LTD CLS B COMMON STOCK NPV
 
 
512,664

TECO FINANCE INC COMPANY GUAR 03/16 4
3/15/2016
4%
593,754

TEGMA GESTAO LOGISTICA COMMON STOCK NPV
 
 
196,079

TELECOM ITALIA CAPITAL COMPANY GUAR 06/14 6.175
6/18/2014
6.18%
163,600

TELEFONICA BRASIL ADR ADR NPV
 
 
244,094

TELEFONICA EMISIONES SAU COMPANY GUAR 02/16 3.992
2/16/2016
3.99%
1,809,836

TELEKOMUNIKASI INDONESIA PER COMMON STOCK IDR50.
 
 
224,805

TELEPERFORMANCE COMMON STOCK EUR2.5
 
 
43,275

TELIASONERA AB COMMON STOCK NPV
 
 
158,842

TELSTRA CORP LTD COMMON STOCK NPV
 
 
707,721

TENAGA NASIONAL BHD COMMON STOCK MYR1.
 
 
649,690

TENCENT HOLDINGS LTD COMMON STOCK HKD.0001
 
 
19,540,197

TENN VALLEY AUTHORITY SR UNSECURED 01/48 4.875
1/15/2048
4.88%
204,343

TENN VALLEY AUTHORITY SR UNSECURED 02/21 3.875
2/15/2021
3.88%
1,135,126

TENN VALLEY AUTHORITY SR UNSECURED 07/17 5.5
7/18/2017
5.5%
606,912

TENN VALLEY AUTHORITY SR UNSECURED 09/39 5.25
9/15/2039
5.25%
1,515,586

TENNECO INC COMMON STOCK USD.01
 
 
2,177,945

TERADATA CORP COMMON STOCK USD.01
 
 
9,721,213

TERANGA GOLD CORP CDI RECEIPT NPV
 
 
22,099

TESARO INC COMMON STOCK USD.0001
 
 
166,644

TESCO PLC SR UNSECURED 144A 12/14 2.
12/5/2014
2%
5,822,421

TESLA MOTORS INC COMMON STOCK USD.001
 
 
25,250,306

TETRA TECHNOLOGIES INC COMMON STOCK USD.01
 
 
2,444,684

TEVA PHARM FIN IV BV COMPANY GUAR 11/21 3.65
11/10/2021
3.65%
78,466

TEVA PHARMA FIN II/III COMPANY GUAR 06/15 3.
6/15/2015
3%
175,446

TEVA PHARMACEUT FIN BV COMPANY GUAR 11/16 2.4
11/10/2016
2.4%
514,434

TEVA PHARMACEUTICAL SP ADR ADR
 
 
9,047,699

TEXAS CAPITAL BANCSHARES INC COMMON STOCK USD.01
 
 
5,706,539

TEXAS EASTERN TRANSMISSI SR UNSECURED 144A 09/17 6
9/15/2017
6%
794,368

TEXAS INSTRUMENTS INC COMMON STOCK USD1.
 
 
25,235,077

TEXAS INSTRUMENTS INC SR UNSECURED 05/14 1.375
5/15/2014
1.38%
1,003,627

TEXAS INSTRUMENTS INC SR UNSECURED 05/16 2.375
5/16/2016
2.38%
155,481

TEXAS INSTRUMENTS INC SR UNSECURED 08/15 0.45
8/3/2015
0.45%
4,169,117

TEXAS ST TXS 06/18 FLOATING VAR
6/1/2018
0.57%
5,596,455

TEXTRON INC SR UNSECURED 03/15 6.2
3/15/2015
6.2%
1,522,267

TEXTRON INC SR UNSECURED 12/17 5.6
12/1/2017
5.6%
210,420

TEXTURA CORP COMMON STOCK USD.001
 
 
1,867,807

TEXWINCA HOLDINGS LTD COMMON STOCK HKD.05
 
 
113,702

TGS NOPEC GEOPHYSICAL CO ASA COMMON STOCK NOK.25
 
 
331,309


139
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
THALES SA COMMON STOCK EUR3.
 
 
1,117,449

THERMO FISHER SCIENTIFIC INC COMMON STOCK USD1.
 
 
7,017,277

THERMO FISHER SCIENTIFIC SR UNSECURED 02/19 2.4
2/1/2019
2.4%
1,694,082

THERMO FISHER SCIENTIFIC SR UNSECURED 03/16 3.2
3/1/2016
3.2%
8,963,029

THERMO FISHER SCIENTIFIC SR UNSECURED 06/15 5.
6/1/2015
5%
243,580

THERMO FISHER SCIENTIFIC SR UNSECURED 08/16 2.25
8/15/2016
2.25%
107,381

THERMO FISHER SCIENTIFIC SR UNSECURED 08/21 3.6
8/15/2021
3.6%
792,834

THK CO LTD COMMON STOCK
 
 
938,703

THOMSON REUTERS CORP COMMON STOCK NPV
 
 
162,570

THOMSON REUTERS CORP SR UNSECURED 02/17 1.3
2/23/2017
1.3%
5,392,110

THOMSON REUTERS CORP SR UNSECURED 09/21 3.95
9/30/2021
3.95%
104,608

THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1
9/25/2037
6.13%
1,166,420

THORNBURG MORTGAGE SECURITIES TMST 2007 4 3A1
9/25/2037
6.1%
1,207,328

TIAA SEASONED COMMERCIAL MORTG TIAAS 2007 C4 A1A
8/15/2039
5.56%
4,907,992

TIMAH PERSERO TBK PT COMMON STOCK IDR50.
 
 
94,659

TIME DOTCOM BHD COMMON STOCK MYR.5
 
 
265,749

TIME WARNER CABLE INC COMPANY GUAR 02/14 8.25
2/14/2014
8.25%
453,864

TIME WARNER CABLE INC COMPANY GUAR 02/19 8.75
2/14/2019
8.75%
220,676

TIME WARNER CABLE INC COMPANY GUAR 02/21 4.125
2/15/2021
4.13%
260,635

TIME WARNER CABLE INC COMPANY GUAR 04/19 8.25
4/1/2019
8.25%
3,479,370

TIME WARNER CABLE INC COMPANY GUAR 05/17 5.85
5/1/2017
5.85%
3,724,734

TIME WARNER CABLE INC COMPANY GUAR 06/39 6.75
6/15/2039
6.75%
517,936

TIME WARNER CABLE INC COMPANY GUAR 09/41 5.5
9/1/2041
5.5%
132,578

TIME WARNER CABLE INC COMPANY GUAR 11/40 5.875
11/15/2040
5.88%
579,581

TIME WARNER INC COMMON STOCK USD.01
 
 
15,428,409

TIME WARNER INC COMPANY GUAR 01/22 4.
1/15/2022
4%
405,053

TIME WARNER INC COMPANY GUAR 03/21 4.75
3/29/2021
4.75%
2,463,319

TIME WARNER INC COMPANY GUAR 07/15 3.15
7/15/2015
3.15%
3,625,972

TIME WARNER INC COMPANY GUAR 11/16 5.875
11/15/2016
5.88%
293,325

TIMKEN CO COMMON STOCK NPV
 
 
2,230,335

TJX COMPANIES INC COMMON STOCK USD1.
 
 
7,721,208

TK CORPORATION COMMON STOCK KRW500.
 
 
185,326

TO-BE-ANNOUNCED SECURITIES
 
 
331,504

TOHO CO LTD COMMON STOCK
 
 
354,306

TOKIO MARINE HOLDINGS INC COMMON STOCK
 
 
244,132

TOKYO ELECTRIC POWER CO INC COMMON STOCK
 
 
407,776

TOKYO ELECTRON LTD COMMON STOCK
 
 
104,124

TOKYO GAS CO LTD COMMON STOCK
 
 
335,132

TOKYO OHKA KOGYO CO LTD COMMON STOCK
 
 
524,242

TOKYO TATEMONO CO LTD COMMON STOCK
 
 
355,606

TOKYU CORP COMMON STOCK
 
 
304,524


140
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
TOKYU FUDOSAN HOLDINGS CORP COMMON STOCK
 
 
63,108

TOLL HOLDINGS LTD COMMON STOCK
 
 
167,562

TORONTO DOMINION BANK COMMON STOCK NPV
 
 
734,925

TORONTO DOMINION BANK COVERED 144A 03/17 1.5
3/13/2017
1.5%
404,280

TORONTO DOMINION BANK SR UNSECURED 07/16 2.5
7/14/2016
2.5%
518,637

TORONTO DOMINION BANK SR UNSECURED 09/16 1.5
9/9/2016
1.5%
3,036,852

TOTAL CAPITAL CANADA LTD COMPANY GUAR 07/23 2.75
7/15/2023
2.75%
29,562

TOTAL CAPITAL INTL SA COMPANY GUAR 01/16 0.75
1/25/2016
0.75%
8,834,148

TOTAL CAPITAL INTL SA COMPANY GUAR 01/23 2.7
1/25/2023
2.7%
525,793

TOTAL CAPITAL INTL SA COMPANY GUAR 02/17 1.5
2/17/2017
1.5%
87,159

TOTAL CAPITAL INTL SA COMPANY GUAR 02/22 2.875
2/17/2022
2.88%
1,402,660

TOTAL CAPITAL INTL SA COMPANY GUAR 06/17 1.55
6/28/2017
1.55%
176,038

TOTAL CAPITAL INTL SA COMPANY GUAR 08/16 1.
8/12/2016
1%
310,523

TOTAL CAPITAL SA COMPANY GUAR 06/15 3.
6/24/2015
3%
327,317

TOTAL CAPITAL SA COMPANY GUAR 08/18 2.125
8/10/2018
2.13%
34,132

TOTAL SA COMMON STOCK EUR2.5
 
 
1,050,485

TOTO LTD COMMON STOCK
 
 
269,626

TOUNG LOONG TEXTILE MANUF CO COMMON STOCK TWD10.
 
 
313,084

TOWER BERSAMA INFRASTRUCTURE COMMON STOCK IDR100.
 
 
419,630

TOWERS WATSON + CO CL A COMMON STOCK USD.01
 
 
624,651

TOYO SEIKAN GROUP HOLDINGS L COMMON STOCK
 
 
668,426

TOYO SUISAN KAISHA LTD COMMON STOCK
 
 
90,196

TOYODA GOSEI CO LTD COMMON STOCK
 
 
207,205

TOYOTA AUTO RECEIVABLES OWNER TAOT 2010 C A4
12/15/2014
1.09%
180,567

TOYOTA AUTO RECEIVABLES OWNER TAOT 2011 B A3
6/15/2015
0.68%
1,027,443

TOYOTA AUTO RECEIVABLES OWNER TAOT 2012 A A3
2/16/2016
0.75%
914,117

TOYOTA AUTO RECEIVABLES OWNER TAOT 2012 B A2
2/17/2015
0.36%
2,262,955

TOYOTA AUTO RECEIVABLES OWNER TAOT 2013 A A2
9/15/2015
0.37%
8,138,671

TOYOTA AUTO RECEIVABLES OWNER TAOT 2013 A A3
1/17/2017
0.55%
457,988

TOYOTA AUTO RECEIVABLES OWNER TAOT 2013 B A2
2/15/2016
0.48%
2,752,225

TOYOTA AUTO RECEIVABLES OWNER TAOT 2013 B A4
1/15/2019
1.46%
505,023

TOYOTA MOTOR CORP SPON ADR ADR
 
 
292,608

TOYOTA MOTOR CORP COMMON STOCK
 
 
1,508,720

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/16 2.8
1/11/2016
2.8%
209,003

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/17 2.05
1/12/2017
2.05%
357,697

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/23 2.625
1/10/2023
2.63%
876,247

TOYOTA MOTOR CREDIT CORP SR UNSECURED 05/16 VAR
5/17/2016
0.53%
5,716,256

TOYOTA MOTOR CREDIT CORP SR UNSECURED 06/15 3.2
6/17/2015
3.2%
363,980

TOYOTA MOTOR CREDIT CORP SR UNSECURED 09/16 2
9/15/2016
2%
822,887

TOYOTA MOTOR CREDIT CORP SR UNSECURED 10/17 1.25
10/5/2017
1.25%
2,768,326

TOYOTA MOTOR CREDIT CORP SR UNSECURED 10/18 2.
10/24/2018
2%
219,936


141
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
TOYOTA MOTOR CREDIT CORP SR UNSECURED 11/14 1.25
11/17/2014
1.25%
403,324

TRANS CANADA PIPELINES SR UNSECURED 01/15 4.875
1/15/2015
4.88%
7,726,115

TRANS CANADA PIPELINES SR UNSECURED 01/16 0.75
1/15/2016
0.75%
3,191,987

TRANS CANADA PIPELINES SR UNSECURED 03/15 0.875
3/2/2015
0.88%
6,443,677

TRANS CANADA PIPELINES SR UNSECURED 06/15 3.4
6/1/2015
3.4%
1,402,568

TRANS CANADA PIPELINES SR UNSECURED 08/18 6.5
8/15/2018
6.5%
276,567

TRANS CANADA PIPELINES SR UNSECURED 08/38 7.25
8/15/2038
7.25%
82,365

TRANSDIGM GROUP INC COMMON STOCK USD.01
 
 
2,930,564

TRANSFORCE INC COMMON STOCK NPV
 
 
356,612

TRANSNEFT(TRANS CAP INV) SR UNSECURED REGS 08/18 8.7
8/7/2018
8.7%
267,487

TRANSOCEAN INC COMPANY GUAR 10/17 2.5
10/15/2017
2.5%
469,926

TRANSOCEAN INC COMPANY GUAR 11/15 4.95
11/15/2015
4.95%
535,620

TRANSOCEAN INC COMPANY GUAR 11/20 6.5
11/15/2020
6.5%
114,194

TRANSOCEAN INC COMPANY GUAR 12/16 5.05
12/15/2016
5.05%
2,614,756

TRANSOCEAN INC COMPANY GUAR 12/21 6.375
12/15/2021
6.38%
775,363

TRAVELERS COS INC SR UNSECURED 05/18 5.8
5/15/2018
5.8%
1,543,614

TRAVELERS COS INC SR UNSECURED 06/16 6.25
6/20/2016
6.25%
787,308

TRAVELERS COS INC/THE COMMON STOCK NPV
 
 
7,349,132

TRAVIS PERKINS PLC COMMON STOCK GBP.1
 
 
2,317,839

TREASURY BILL 05/14 0.00000
5/29/2014
0.01%
102,976

TREASURY BILL 06/14 0.00000
6/26/2014
0.01%
330,867

TREASURY BILL 10/14 0.00000
10/16/2014
0.01%
259,850

TREASURY WINE ESTATES LTD COMMON STOCK
 
 
429,729

TREEHOUSE FOODS INC COMMON STOCK USD.01
 
 
2,429,775

TREX COMPANY INC COMMON STOCK USD.01
 
 
840,632

TRICAN WELL SERVICE LTD COMMON STOCK NPV
 
 
337,175

TRILOGY ENERGY CORP COMMON STOCK NPV
 
 
293,534

TRIPADVISOR INC COMMON STOCK USD.001
 
 
2,758,239

TRIUMPH GROUP INC COMMON STOCK USD.001
 
 
1,586,820

TRYG A/S COMMON STOCK DKK25.
 
 
371,425

TSUTSUMI JEWELRY CO LTD COMMON STOCK
 
 
79,060

TSY 1 7/8 2022 I/L GILT BONDS REGS 11/22 1.875
11/22/2022
1.88%
5,613,587

TSY INFL IX N/B 01/21 1.125
1/15/2021
1.13%
53,865,159

TSY INFL IX N/B 01/22 0.125
1/15/2022
0.13%
68,731,806

TSY INFL IX N/B 01/23 0.125
1/15/2023
0.13%
10,608,076

TSY INFL IX N/B 01/25 2.375
1/15/2025
2.38%
2,478,260

TSY INFL IX N/B 01/29 2.5
1/15/2029
2.5%
10,738,702

TSY INFL IX N/B 02/43 0.625
2/15/2043
0.63%
3,882,224

TSY INFL IX N/B 04/18 0.125
4/15/2018
0.13%
7,935,153

TSY INFL IX N/B 04/29 3.875
4/15/2029
3.88%
350,482

TSY INFL IX N/B 07/20 1.25
7/15/2020
1.25%
320,819


142
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
TSY INFL IX N/B 07/22 0.125
7/15/2022
0.13%
60,514,452

TSY INFL IX N/B 07/23 0.375
7/15/2023
0.38%
34,265,912

TTK PRESTIGE LTD COMMON STOCK INR10.
 
 
304,032

TUI TRAVEL PLC COMMON STOCK GBP.001
 
 
1,263,081

TULLOW OIL PLC COMMON STOCK GBP.1
 
 
112,735

TURK HAVA YOLLARI AO COMMON STOCK TRY1.
 
 
337,530

TURKIYE IS BANKASI C COMMON STOCK TRY1.
 
 
49,004

TVA PRIN STRIP BONDS 06/35 0.00000
 
 
106,053

TWITTER INC COMMON STOCK USD.000005
 
 
2,305,530

TYCO ELECTRONICS GROUP S COMPANY GUAR 10/17 6.55
10/1/2017
6.55%
423,427

TYCO INTERNATIONAL FINAN COMPANY GUAR 01/19 8.5
1/15/2019
8.5%
582,652

TYCO INTERNATIONAL LTD COMMON STOCK CHF6.7
 
 
5,771,866

TYSON FOODS INC COMPANY GUAR 04/16 6.6
4/1/2016
6.6%
279,064

UAL 2009 2A PASS THRU TR PASS THRU CE 07/18 9.75
7/15/2018
9.75%
394,007

UBI BANCA SCPA COMMON STOCK EUR2.5
 
 
1,383,383

UBIQUITI NETWORKS INC COMMON STOCK
 
 
745,241

UBS AG REG COMMON STOCK CHF.1
 
 
5,031,310

UBS AG STAMFORD CT SR UNSECURED 01/14 VAR
1/28/2014
1.24%
280,244

UBS AG STAMFORD CT SR UNSECURED 01/15 3.875
1/15/2015
3.88%
10,082,154

UBS AG STAMFORD CT SR UNSECURED 04/18 5.75
4/25/2018
5.75%
7,146,611

UBS AG STAMFORD CT SR UNSECURED 12/17 5.875
12/20/2017
5.88%
459,010

UBS AG STAMFORD CT SUBORDINATED 07/16 5.875
7/15/2016
5.88%
1,445,513

UBS AG STAMFORD CT SUBORDINATED 08/22 7.625
8/17/2022
7.63%
1,145,315

UBS BAMLL TRUST UBSBM 2012 WRM A 144A
6/10/2030
3.66%
148,209

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2012 C2 A4
5/10/2063
3.53%
146,490

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2012 C4 AS 144A
12/10/2045
3.32%
741,324

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2013 C5 XA 144A
3/10/2046
1.15%
1,206,198

UBS COMMERCIAL MORTGAGE TRUST UBSCM 2012 C1 XA 144A
5/10/2045
2.33%
148,642

UCB SA COMMON STOCK NPV
 
 
4,876,073

UDG HEALTHCARE PLC COMMON STOCK EUR.05
 
 
210,357

UDG HEALTHCARE PLC COMMON STOCK EUR.05
 
 
234,335

UIL HOLDINGS CORP COMMON STOCK NPV
 
 
2,843,475

UIL HOLDINGS CORPORATION SR UNSECURED 10/20 4.625
10/1/2020
4.63%
112,030

UK TSY 1.75 2022 BONDS REGS 09/22 1.75
9/7/2022
1.75%
7,414,349

ULTIMATE SOFTWARE GROUP INC COMMON STOCK USD.01
 
 
8,118,208

ULTRA CLEAN HOLDINGS INC COMMON STOCK USD.001
 
 
1,046,239

UMW HOLDINGS BHD COMMON STOCK MYR.5
 
 
395,066

UNDER ARMOUR INC CLASS A COMMON STOCK USD.000333
 
 
4,690,716

UNI PRESIDENT ENTERPRISES CO COMMON STOCK TWD10.
 
 
509,946

UNIBAIL RODAMCO SE REIT EUR5.
 
 
454,515

UNICREDIT SPA COMMON STOCK NPV
 
 
331,526


143
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
UNILEVER CAPITAL CORP COMPANY GUAR 02/21 4.25
2/10/2021
4.25%
1,077,769

UNILEVER INDONESIA TBK PT COMMON STOCK IDR10.
 
 
111,093

UNILEVER PLC COMMON STOCK GBP.0311
 
 
462,548

UNION BANK NA SR UNSECURED 09/16 1.5
9/26/2016
1.5%
5,309,514

UNION PACIFIC CORP SR UNSECURED 01/15 4.875
1/15/2015
4.88%
310,237

UNION PACIFIC CORP SR UNSECURED 01/23 2.95
1/15/2023
2.95%
138,633

UNION PACIFIC CORP SR UNSECURED 02/14 5.125
2/15/2014
5.13%
140,748

UNION PACIFIC CORP SR UNSECURED 02/16 7.
2/1/2016
7%
491,585

UNION PACIFIC CORP SR UNSECURED 02/21 4.
2/1/2021
4%
537,388

UNION PACIFIC CORP SR UNSECURED 05/14 5.375
5/1/2014
5.38%
357,334

UNION PACIFIC CORP SR UNSECURED 07/22 4.163
7/15/2022
4.16%
699,573

UNITED CONTINENTAL HOLDINGS COMMON STOCK USD.01
 
 
73,958

UNITED INTERNET AG REG SHARE COMMON STOCK NPV
 
 
1,555,638

UNITED KINGDOM GILT BONDS REGS 09/23 2.25
9/7/2023
2.25%
7,893,937

UNITED NATURAL FOODS INC COMMON STOCK USD.01
 
 
5,394,155

UNITED OVERSEAS BANK LTD COMMON STOCK NPV
 
 
252,336

UNITED PARCEL SERVICE CL B COMMON STOCK USD.01
 
 
8,744,758

UNITED PARCEL SERVICE SR UNSECURED 01/21 3.125
1/15/2021
3.13%
4,230,070

UNITED PARCEL SERVICE SR UNSECURED 04/19 5.125
4/1/2019
5.13%
1,791,403

UNITED PARCEL SERVICE SR UNSECURED 10/17 1.125
10/1/2017
1.13%
1,317,065

UNITED PARCEL SERVICE SR UNSECURED 10/22 2.45
10/1/2022
2.45%
68,919

UNITED RENTALS INC COMMON STOCK USD.01
 
 
5,908,766

UNITED TECHNOLOGIES CORP COMMON STOCK USD1.
 
 
19,546,174

UNITED TECHNOLOGIES CORP PREFERRED STOCK 08/15 7.5
 
 
611,490

UNITED TECHNOLOGIES CORP SR UNSECURED 02/19 6.125
2/1/2019
6.13%
147,551

UNITED TECHNOLOGIES CORP SR UNSECURED 05/15 4.875
5/1/2015
4.88%
396,302

UNITED URBAN INVESTMENT CORP REIT
 
 
40,306

UNITEDHEALTH GROUP INC COMMON STOCK USD.01
 
 
28,954,883

UNITEDHEALTH GROUP INC SR UNSECURED 02/18 6
2/15/2018
6%
479,455

UNITEDHEALTH GROUP INC SR UNSECURED 02/21 4.7
2/15/2021
4.7%
561,892

UNITEDHEALTH GROUP INC SR UNSECURED 03/16 5.375
3/15/2016
5.38%
191,558

UNITEDHEALTH GROUP INC SR UNSECURED 03/19 1.625
3/15/2019
1.63%
5,017,095

UNITEDHEALTH GROUP INC SR UNSECURED 03/23 2.875
3/15/2023
2.88%
632,744

UNITEDHEALTH GROUP INC SR UNSECURED 08/14 5
8/15/2014
5%
205,630

UNITEDHEALTH GROUP INC SR UNSECURED 10/15 0.85
10/15/2015
0.85%
4,346,329

UNITEDHEALTH GROUP INC SR UNSECURED 10/17 1.4
10/15/2017
1.4%
380,139

UNITEDHEALTH GROUP INC SR UNSECURED 11/21 3.375
11/15/2021
3.38%
987,661

UNITEDHEALTH GROUP INC SR UNSECURED 11/37 6.625
11/15/2037
6.63%
36,296

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858
5/15/2112
4.86%
5,499,196

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/45 FIXED 5.946
5/15/2045
5.95%
309,137

UOA DEVELOPMENT BHD COMMON STOCK MYR.05
 
 
220,978


144
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
UOL GROUP LTD COMMON STOCK NPV
 
 
19,610

URBAN OUTFITTERS INC COMMON STOCK USD.0001
 
 
1,810,480

US BANCORP COMMON STOCK USD.01
 
 
2,708,012

US BANCORP SR UNSECURED 05/14 4.2
5/15/2014
4.2%
3,042,258

US BANCORP SR UNSECURED 07/15 2.45
7/27/2015
2.45%
3,084,321

US BANCORP SR UNSECURED 11/16 2.2
11/15/2016
2.2%
3,639,231

US BANK NA SUBORDINATED 02/14 6.3
2/4/2014
6.3%
2,376,605

US BANK NA SUBORDINATED 10/14 4.95
10/30/2014
4.95%
259,511

US SILICA HOLDINGS INC COMMON STOCK USD.01
 
 
1,617,155

US TREASURY N/B 01/15 0.25
1/15/2015
0.25%
4,203,444

US TREASURY N/B 01/15 2.25
1/31/2015
2.25%
8,075,901

US TREASURY N/B 01/16 0.375
1/15/2016
0.38%
76,030,261

US TREASURY N/B 01/16 2.
1/31/2016
2%
16,524,992

US TREASURY N/B 01/17 0.875
1/31/2017
0.88%
10,024,394

US TREASURY N/B 01/17 3.125
1/31/2017
3.13%
7,109,262

US TREASURY N/B 01/18 0.875
1/31/2018
0.88%
22,669,477

US TREASURY N/B 02/14 1.25
2/15/2014
1.25%
9,002,289

US TREASURY N/B 02/14 1.875
2/28/2014
1.88%
2,005,624

US TREASURY N/B 02/15 0.25
2/15/2015
0.25%
4,903,445

US TREASURY N/B 02/15 0.25
2/28/2015
0.25%
6,178,859

US TREASURY N/B 02/15 2.375
2/28/2015
2.38%
39,715,136

US TREASURY N/B 02/15 4
2/15/2015
4%
9,381,798

US TREASURY N/B 02/16 2.125
2/29/2016
2.13%
37,417,072

US TREASURY N/B 02/17 0.875
2/28/2017
0.88%
3,099,758

US TREASURY N/B 02/18 0.75
2/28/2018
0.75%
4,186,790

US TREASURY N/B 02/18 3.5
2/15/2018
3.5%
9,933,469

US TREASURY N/B 02/19 1.375
2/28/2019
1.38%
24,974,063

US TREASURY N/B 02/20 1.25
2/29/2020
1.25%
15,524,912

US TREASURY N/B 02/20 8.5
2/15/2020
8.5%
7,993,023

US TREASURY N/B 02/22 2
2/15/2022
2%
2,870,677

US TREASURY N/B 02/36 4.5
2/15/2036
4.5%
1,223,922

US TREASURY N/B 03/14 1.25
3/15/2014
1.25%
7,016,408

US TREASURY N/B 03/15 0.25
3/31/2015
0.25%
80,263,880

US TREASURY N/B 03/15 0.375
3/15/2015
0.38%
62,498,889

US TREASURY N/B 03/16 0.375
3/15/2016
0.38%
24,561,575

US TREASURY N/B 03/16 2.25
3/31/2016
2.25%
2,495,813

US TREASURY N/B 03/16 2.375
3/31/2016
2.38%
4,172,500

US TREASURY N/B 03/17 1.
3/31/2017
1%
2,004,376

US TREASURY N/B 03/18 0.75
3/31/2018
0.75%
2,428,905

US TREASURY N/B 03/18 2.875
3/31/2018
2.88%
84,793,760

US TREASURY N/B 04/14 0.25
4/30/2014
0.25%
13,706,960


145
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
US TREASURY N/B 04/14 1.25
4/15/2014
1.25%
6,546,154

US TREASURY N/B 04/15 2.5
4/30/2015
2.5%
5,975,131

US TREASURY N/B 04/16 2.
4/30/2016
2%
10,345,310

US TREASURY N/B 04/16 2.625
4/30/2016
2.63%
524,531

US TREASURY N/B 04/17 3.125
4/30/2017
3.13%
5,995,063

US TREASURY N/B 04/18 0.625
4/30/2018
0.63%
4,050,375

US TREASURY N/B 04/18 2.625
4/30/2018
2.63%
2,204,179

US TREASURY N/B 05/14 0.25
5/31/2014
0.25%
10,005,860

US TREASURY N/B 05/14 1.
5/15/2014
1%
15,049,800

US TREASURY N/B 05/15 2.125
5/31/2015
2.13%
30,910,986

US TREASURY N/B 05/15 4.125
5/15/2015
4.13%
3,954,777

US TREASURY N/B 05/16 1.75
5/31/2016
1.75%
14,359,472

US TREASURY N/B 05/17 0.625
5/31/2017
0.63%
24,955,107

US TREASURY N/B 05/17 2.75
5/31/2017
2.75%
1,164,625

US TREASURY N/B 05/17 4.5
5/15/2017
4.5%
3,916,942

US TREASURY N/B 05/18 1.
5/31/2018
1%
17,386,172

US TREASURY N/B 05/21 8.125
5/15/2021
8.13%
18,964,869

US TREASURY N/B 05/23 1.75
5/15/2023
1.75%
90,133

US TREASURY N/B 05/30 6.25
5/15/2030
6.25%
1,736,515

US TREASURY N/B 05/37 5.
5/15/2037
5%
357,000

US TREASURY N/B 05/43 2.875
5/15/2043
2.88%
(567,328
)
US TREASURY N/B 06/14 0.25
6/30/2014
0.25%
500,391

US TREASURY N/B 06/14 0.75
6/15/2014
0.75%
2,005,782

US TREASURY N/B 06/14 2.625
6/30/2014
2.63%
708,695

US TREASURY N/B 06/15 0.375
6/30/2015
0.25%
140,455,142

US TREASURY N/B 06/15 1.875
6/30/2015
1.88%
94,366,418

US TREASURY N/B 06/16 0.5
6/15/2016
0.38%
328,311,097

US TREASURY N/B 06/16 1.5
6/30/2016
1.5%
120,612,126

US TREASURY N/B 06/18 1.375
6/30/2018
1.25%
136,743,545

US TREASURY N/B 07/14 0.125
7/31/2014
0.13%
1,800,211

US TREASURY N/B 07/14 0.625
7/15/2014
0.63%
5,175,311

US TREASURY N/B 07/14 2.625
7/31/2014
2.63%
11,362,747

US TREASURY N/B 07/15 1.75
7/31/2015
1.75%
3,069,960

US TREASURY N/B 07/16 0.625
7/15/2016
0.63%
24,530,625

US TREASURY N/B 07/16 1.5
7/31/2016
1.5%
11,250,932

US TREASURY N/B 07/17 0.5
7/31/2017
0.5%
1,664,273

US TREASURY N/B 07/18 1.375
7/31/2018
1.38%
592,325,308

US TREASURY N/B 07/19 0.875
7/31/2019
0.88%
9,374,036

US TREASURY N/B 08/14 0.25
8/31/2014
0.25%
5,504,725

US TREASURY N/B 08/14 0.5
8/15/2014
0.5%
37,387,431

US TREASURY N/B 08/14 2.375
8/31/2014
2.38%
19,898,796


146
Table of Contents


Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
US TREASURY N/B 08/15 0.25
8/15/2015
0.25%
7,996,872

US TREASURY N/B 08/15 0.375
8/31/2015
0.38%
127,048,200

US TREASURY N/B 08/15 4.25
8/15/2015
4.25%
2,127,734

US TREASURY N/B 08/16 1
8/31/2016
1%
83,677,188

US TREASURY N/B 08/17 0.625
8/31/2017
0.63%
6,363,406

US TREASURY N/B 08/17 1.875
8/31/2017
1.88%
54,921,067

US TREASURY N/B 08/19 3.625
8/15/2019
3.63%
25,289,825

US TREASURY N/B 08/20 2.125
8/31/2020
2.25%
35,114,277

US TREASURY N/B 08/21 8.125
8/15/2021
8.13%
8,207,915

US TREASURY N/B 08/27 6.375
8/15/2027
6.38%
5,510,420

US TREASURY N/B 08/43 3.625
8/15/2043
3.63%
3,919,156

US TREASURY N/B 09/14 0.25
9/15/2014
0.25%
162,439,416

US TREASURY N/B 09/14 0.25
9/30/2014
0.25%
200,164

US TREASURY N/B 09/15 0.25
9/15/2015
0.25%
9,991,800

US TREASURY N/B 09/15 0.25
9/30/2015
0.25%
5,994,612

US TREASURY N/B 09/16 1.
9/30/2016
1%
11,094,534

US TREASURY N/B 09/16 3.
9/30/2016
3%
2,125,624

US TREASURY N/B 09/17 0.625
9/30/2017
0.63%
16,034,711

US TREASURY N/B 09/17 1.875
9/30/2017
1.88%
43,324,233

US TREASURY N/B 09/18 1.375
9/30/2018
1.38%
104,732,767

US TREASURY N/B 10/14 0.25
10/31/2014
0.25%
500,430

US TREASURY N/B 10/14 0.5
10/15/2014
0.5%
1,303,656

US TREASURY N/B 10/15 0.25
10/15/2015
0.25%
2,996,133

US TREASURY N/B 10/15 0.25
10/31/2015
0.25%
29,528,425

US TREASURY N/B 10/15 1.25
10/31/2015
1.25%
2,033,124

US TREASURY N/B 10/16 0.625
10/15/2016
0.63%
37,798,994

US TREASURY N/B 10/16 1.
10/31/2016
1%
110,929,300

US TREASURY N/B 10/16 3.125
10/31/2016
3.13%
102,904,470

US TREASURY N/B 10/17 0.75
10/31/2017
0.75%
7,069,500

US TREASURY N/B 10/17 1.875
10/31/2017
1.88%
2,460,000

US TREASURY N/B 10/18 1.25
10/31/2018
1.25%
85,392,056

US TREASURY N/B 10/20 1.75
10/31/2020
1.75%
9,210,000

US TREASURY N/B 11/14 0.25
11/30/2014
0.25%
62,055,676

US TREASURY N/B 11/14 0.375
11/15/2014
0.38%
51,999,337

US TREASURY N/B 11/14 2.125
11/30/2014
2.13%
53,509,401

US TREASURY N/B 11/15 0.25
11/30/2015
0.25%
5,489,044

US TREASURY N/B 11/15 0.375
11/15/2015
0.38%
13,557,940

US TREASURY N/B 11/15 1.375
11/30/2015
1.38%
138,701,050

US TREASURY N/B 11/16 0.625
11/15/2016
0.63%
39,793,379

US TREASURY N/B 11/16 0.875
11/30/2016
0.88%
5,016,015


147
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
US TREASURY N/B 11/16 2.75
11/30/2016
2.75%
2,114,218

US TREASURY N/B 11/16 4.625
11/15/2016
4.63%
9,357,300

US TREASURY N/B 11/16 7.5
11/15/2016
7.5%
2,978,905

US TREASURY N/B 11/17 0.625
11/30/2017
0.63%
25,798,500

US TREASURY N/B 11/18 1.25
11/30/2018
1.25%
23,094,818

US TREASURY N/B 11/20 2.
11/30/2020
2%
38,455,668

US TREASURY N/B 11/20 2.625
11/15/2020
2.63%
7,723,500

US TREASURY N/B 11/21 2.
11/15/2021
2%
1,145,344

US TREASURY N/B 11/21 8.
11/15/2021
8%
3,208,733

US TREASURY N/B 11/23 2.75
11/15/2023
2.75%
60,712,119

US TREASURY N/B 11/40 4.25
11/15/2040
4.25%
372,477

US TREASURY N/B 12/14 0.125
12/31/2014
0.13%
5,598,253

US TREASURY N/B 12/14 2.625
12/31/2014
2.63%
6,862,790

US TREASURY N/B 12/15 0.25
12/31/2015
0.25%
776,884,101

US TREASURY N/B 12/15 0.25
12/15/2015
0.25%
38,913,147

US TREASURY N/B 12/15 2.125
12/31/2015
2.13%
1,551,563

US TREASURY N/B 12/16 0.625
12/15/2016
—%
113,624,884

US TREASURY N/B 12/16 0.875
12/31/2016
0.88%
13,980,523

US TREASURY N/B 12/16 3.25
12/31/2016
3.25%
7,079,015

US TREASURY N/B 12/17 0.75
12/31/2017
0.75%
488,906

US TREASURY N/B 12/18 1.5
12/31/2018
—%
42,674,444

US TREASURY N/B 12/19 1.125
12/31/2019
1.13%
6,233,390

US TREASURY N/B 12/20 2.375
12/31/2020
2.38%
6,883,010

USAA AUTO OWNER TRUST USAOT 2012 1 A3
8/15/2016
0.43%
1,275,946

USINAS SIDER MINAS GER PF A PREFERENCE
 
 
168,647

UTI WORLDWIDE INC COMMON STOCK NPV
 
 
2,634,000

VAIL RESORTS INC COMMON STOCK USD.01
 
 
2,542,398

VALE OVERSEAS LIMITED COMPANY GUAR 01/17 6.25
1/23/2017
6.25%
44,365

VALE OVERSEAS LIMITED COMPANY GUAR 11/36 6.875
11/21/2036
6.88%
30,983

VALE OVERSEAS LIMITED COMPANY GUAR 11/39 6.875
11/10/2039
6.88%
31,033

VALE SA SP PREF ADR ADR NPV
 
 
63,045

VALEANT PHARMACEUTICALS INTE COMMON STOCK NPV
 
 
2,933,709

VALEANT PHARMACEUTICALS INTE COMMON STOCK NPV
 
 
469,158

VALERO ENERGY CORP COMPANY GUAR 06/17 6.125
6/15/2017
6.13%
535,890

VALSPAR CORP COMMON STOCK USD.5
 
 
484,059

VANTIV INC CL A COMMON STOCK USD.00001
 
 
3,631,124

VEDANTA RESOURCES PLC COMMON STOCK USD.1
 
 
155,971

VENTAS REALTY LP COMPANY GUAR 09/16 1.55
9/26/2016
1.55%
6,329,598

VENTAS REALTY LP/CAP CRP COMPANY GUAR 02/18 2
2/15/2018
2%
3,932,020

VENTAS REALTY LP/CAP CRP COMPANY GUAR 11/15 3.125
11/30/2015
3.13%
311,997

VERICREST OPPORTUNITY LOAN TRA VOLT 2013 NPL4 A1 144A
11/25/2053
4%
96,970


148
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
VERICREST OPPORTUNITY LOAN TRA VOLT 2013 NPL5 A1 144A
4/25/2055
3.63%
484,831

VERIFONE SYSTEMS INC COMMON STOCK USD.01
 
 
4,575,492

VERISIGN INC COMMON STOCK USD.001
 
 
12,996,172

VERIZON COMMUNICATIONS INC COMMON STOCK USD.1
 
 
6,117,930

VERIZON COMMUNICATIONS SR UNSECURED 02/16 5.55
2/15/2016
5.55%
1,028,005

VERIZON COMMUNICATIONS SR UNSECURED 03/14 1.95
3/28/2014
1.95%
11,272,251

VERIZON COMMUNICATIONS SR UNSECURED 04/16 3.
4/1/2016
3%
11,981,818

VERIZON COMMUNICATIONS SR UNSECURED 04/19 6.35
4/1/2019
6.35%
1,034,343

VERIZON COMMUNICATIONS SR UNSECURED 04/21 4.6
4/1/2021
4.6%
3,543,917

VERIZON COMMUNICATIONS SR UNSECURED 09/16 2.5
9/15/2016
2.5%
11,481,936

VERIZON COMMUNICATIONS SR UNSECURED 09/18 3.65
9/14/2018
3.65%
3,345,062

VERIZON COMMUNICATIONS SR UNSECURED 09/20 4.5
9/15/2020
4.5%
1,433,488

VERIZON COMMUNICATIONS SR UNSECURED 09/23 5.15
9/15/2023
5.15%
30,804,223

VERIZON COMMUNICATIONS SR UNSECURED 09/33 6.4
9/15/2033
6.4%
1,244,431

VERIZON COMMUNICATIONS SR UNSECURED 09/43 6.55
9/15/2043
6.55%
233,992

VERIZON COMMUNICATIONS SR UNSECURED 11/14 1.25
11/3/2014
1.25%
1,508,741

VERIZON COMMUNICATIONS SR UNSECURED 11/15 0.7
11/2/2015
0.7%
2,493,025

VERIZON COMMUNICATIONS SR UNSECURED 11/16 2.
11/1/2016
2%
102,036

VERIZON COMMUNICATIONS SR UNSECURED 11/18 8.75
11/1/2018
8.75%
133,076

VERIZON COMMUNICATIONS SR UNSECURED 11/22 2.45
11/1/2022
2.45%
2,319,342

VERIZON MARYLAND LLC COMPANY GUAR 06/33 5.125
6/15/2033
5.13%
42,665

VERMILION ENERGY INC COMMON STOCK
 
 
93,892

VERTEX PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
11,508,476

VESEY STREET INV TRUST I COMPANY GUAR 09/16 VAR
9/1/2016
4.4%
934,128

VFC LLC VFCP 2013 1 A 144A
3/20/2026
3.13%
195,327

VIACOM INC CLASS B COMMON STOCK USD.001
 
 
20,016,581

VIACOM INC SR UNSECURED 02/15 1.25
2/27/2015
1.25%
2,512,450

VIACOM INC SR UNSECURED 03/23 3.25
3/15/2023
3.25%
903,062

VIACOM INC SR UNSECURED 04/16 6.25
4/30/2016
6.25%
730,372

VIACOM INC SR UNSECURED 04/17 3.5
4/1/2017
3.5%
301,250

VIACOM INC SR UNSECURED 06/22 3.125
6/15/2022
3.13%
364,897

VIACOM INC SR UNSECURED 09/14 4.375
9/15/2014
4.38%
1,487,817

VIACOM INC SR UNSECURED 09/19 5.625
9/15/2019
5.63%
915,545

VIACOM INC SR UNSECURED 09/23 4.25
9/1/2023
4.25%
1,716,422

VIACOM INC SR UNSECURED 12/16 2.5
12/15/2016
2.5%
82,735

VIASAT INC COMMON STOCK USD.0001
 
 
285,997

VIPSHOP HOLDINGS LTD ADS ADR USD.0001
 
 
1,897,444

VIRGIN MEDIA SECURED FIN SR SECURED REGS 04/21 6.
4/15/2021
6%
1,701,796

VIRGINIA ELEC + POWER CO SR UNSECURED 01/18 1.2
1/15/2018
1.2%
84,460

VISA INC CLASS A SHARES COMMON STOCK USD.0001
 
 
83,201,424

VMWARE INC CLASS A COMMON STOCK USD.01
 
 
8,715,327


149
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
VNESHECONOMBANK(VEB) SR UNSECURED 144A 02/17 5.375
2/13/2017
5.38%
1,236,908

VNESHECONOMBANK(VEB) SR UNSECURED 144A 11/17 5.45
11/22/2017
5.45%
149,982

VNO MORTGAGE TRUST VNDO 2012 6AVE A 144A
11/15/2030
3%
687,192

VODAFONE GROUP PLC COMMON STOCK USD.1142857
 
 
2,110,188

VODAFONE GROUP PLC SP ADR ADR
 
 
28,405,406

VODAFONE GROUP PLC SR UNSECURED 02/16 0.9
2/19/2016
0.9%
2,368,262

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
2/27/2017
5.63%
783,079

VODAFONE GROUP PLC SR UNSECURED 06/14 4.15
6/10/2014
4.15%
457,179

VODAFONE GROUP PLC SR UNSECURED 09/17 1.25
9/26/2017
1.25%
342,013

VODAFONE GROUP PLC SR UNSECURED 11/15 3.375
11/24/2015
3.38%
229,876

VOLCANO CORP COMMON STOCK USD.001
 
 
1,573,200

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2011 1 A4
9/20/2017
1.98%
1,011,410

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2012 1 A4
7/20/2018
1.15%
1,227,910

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2012 2 A3
1/20/2017
0.46%
2,511,447

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2013 1 A2
1/20/2016
0.37%
7,369,738

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2013 2 A3
4/20/2018
1.11%
9,978,790

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 03/15 1.625
3/22/2015
1.63%
9,253,249

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 03/17 2.375
3/22/2017
2.38%
512,955

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 11/16 1.125
11/18/2016
1.13%
1,940,091

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 11/17 1.6
11/20/2017
1.6%
197,497

VTB BANK (VTB CAPITAL SA SR UNSECURED 144A 05/18 6.875
5/29/2018
6.88%
152,768

VTB BANK OJSC GDR REG S DEPOSITORY RECEIPT
 
 
232,550

WABCO HOLDINGS INC COMMON STOCK USD.01
 
 
5,702,681

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2004 C11 A5
1/15/2041
5.22%
426,295

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C17 AJ
3/15/2042
5.22%
458,643

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C20 AMFX
7/15/2042
5.18%
753,462

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C22 A4
12/15/2044
5.29%
521,605

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C23 A4
1/15/2045
5.42%
276,522

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C23 A5
1/15/2045
5.42%
538,618

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C25 A5
5/15/2043
5.72%
7,141,867

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C27 A3
7/15/2045
5.77%
702,441

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 A2
10/15/2048
5.5%
111,153

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 A4
10/15/2048
5.57%
6,785,261

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C29 A1A
11/15/2048
5.3%
16,032,144

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A3
12/15/2043
5.25%
1,113,079

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A5
12/15/2043
5.34%
1,154,688

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 AM
12/15/2043
5.38%
936,114

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C31 APB
4/15/2047
5.45%
701,532

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C34 A3
5/15/2046
5.68%
1,112,863

WACHOVIA BANK NA SUBORDINATED 02/15 4.875
2/1/2015
4.88%
3,137,100

WACHOVIA BANK NA SUBORDINATED 11/14 4.8
11/1/2014
4.8%
3,956,662


150
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
WACHOVIA BANK NA SUBORDINATED 11/14 VAR
11/3/2014
0.62%
952,607

WACHOVIA BANK NA SUBORDINATED 11/17 6.
11/15/2017
6%
1,240,443

WACHOVIA CAP TRUST III LIMITD GUARA 03/49 VAR
3/29/2049
5.57%
2,333,250

WACHOVIA CORP SUBORDINATED 08/14 5.25
8/1/2014
5.25%
451,962

WACHOVIA CORP SUBORDINATED 10/16 5.625
10/15/2016
5.63%
10,232,880

WADDELL + REED FINANCIAL A COMMON STOCK USD.01
 
 
3,464,384

WAGEWORKS INC COMMON STOCK USD.001
 
 
2,410,292

WAL MART STORES INC SR UNSECURED 02/18 5.8
2/15/2018
5.8%
4,379,690

WAL MART STORES INC SR UNSECURED 04/16 0.6
4/11/2016
0.6%
2,062,000

WAL MART STORES INC SR UNSECURED 04/17 5.375
4/5/2017
5.38%
534,128

WAL MART STORES INC SR UNSECURED 05/14 3.2
5/15/2014
3.2%
3,537,891

WAL MART STORES INC SR UNSECURED 07/15 2.25
7/8/2015
2.25%
359,259

WAL MART STORES INC SR UNSECURED 07/20 3.625
7/8/2020
3.63%
1,288,858

WALGREEN CO COMMON STOCK USD.078125
 
 
27,910,096

WALGREEN CO SR UNSECURED 03/15 1
3/13/2015
1%
251,028

WALSIN LIHWA CORP COMMON STOCK TWD10.
 
 
52,606

WALT DISNEY CO/THE COMMON STOCK USD.01
 
 
17,136,062

WALT DISNEY COMPANY/THE SR UNSECURED 08/21 2.75
8/16/2021
2.75%
597,758

WALT DISNEY COMPANY/THE SR UNSECURED 12/14 0.875
12/1/2014
0.88%
2,662,068

WALT DISNEY COMPANY/THE SR UNSECURED 12/15 0.45
12/1/2015
0.45%
2,497,443

WALT DISNEY COMPANY/THE SR UNSECURED 12/17 1.1
12/1/2017
1.1%
6,358,651

WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
2/27/2034
2.2%
4,183,626

WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1
1/25/2035
2.44%
2,190,728

WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR2 A
4/25/2044
1.55%
455,099

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
10/25/2045
0.46%
2,006,682

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
1/25/2045
0.47%
3,871,564

WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A
10/25/2046
2.46%
606,900

WARSAW STOCK EXCHANGE COMMON STOCK PLN1.
 
 
163,665

WARTSILA OYJ ABP COMMON STOCK NPV
 
 
639,922

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 2A
2/25/2033
2.09%
33,136

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS2 3A1
3/25/2018
5%
326,093

WASHINGTON ST WAS 08/20 FIXED 5
8/1/2020
5%
4,385,770

WASTE CONNECTIONS INC COMMON STOCK USD.01
 
 
1,512,870

WASTE MANAGEMENT INC COMPANY GUAR 03/15 6.375
3/11/2015
6.38%
213,006

WASTE MANAGEMENT INC COMPANY GUAR 03/18 6.1
3/15/2018
6.1%
4,343,390

WASTE MANAGEMENT INC COMPANY GUAR 03/21 4.6
3/1/2021
4.6%
772,461

WASTE MANAGEMENT INC COMPANY GUAR 06/20 4.75
6/30/2020
4.75%
396,905

WASTE MANAGEMENT INC COMPANY GUAR 09/16 2.6
9/1/2016
2.6%
309,651

WEATHERFORD BERMUDA COMPANY GUAR 03/19 9.625
3/1/2019
9.63%
1,053,588

WEATHERFORD BERMUDA COMPANY GUAR 04/22 4.5
4/15/2022
4.5%
70,441

WEATHERFORD BERMUDA COMPANY GUAR 09/20 5.125
9/15/2020
5.13%
515,644


151
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
WEATHERFORD INTL LLC COMPANY GUAR 06/17 6.35
6/15/2017
6.35%
226,103

WELLPOINT INC SR UNSECURED 01/16 5.25
1/15/2016
5.25%
3,524,790

WELLPOINT INC SR UNSECURED 01/18 1.875
1/15/2018
1.88%
8,291,180

WELLPOINT INC SR UNSECURED 01/23 3.3
1/15/2023
3.3%
298,628

WELLPOINT INC SR UNSECURED 02/17 2.375
2/15/2017
2.38%
3,717,136

WELLPOINT INC SR UNSECURED 05/22 3.125
5/15/2022
3.13%
4,689

WELLPOINT INC SR UNSECURED 06/17 5.875
6/15/2017
5.88%
4,393,252

WELLPOINT INC SR UNSECURED 08/20 4.35
8/15/2020
4.35%
502,033

WELLPOINT INC SR UNSECURED 09/15 1.25
9/10/2015
1.25%
1,767,199

WELLPOINT INC SR UNSECURED 12/14 5.
12/15/2014
5%
104,285

WELLS FARGO + CO COMMON STOCK USD1.666
 
 
15,626,226

WELLS FARGO + COMPANY SR UNSECURED 01/18 1.5
1/16/2018
1.5%
3,263,779

WELLS FARGO + COMPANY SR UNSECURED 01/19 2.15
1/15/2019
2.15%
74,765

WELLS FARGO + COMPANY SR UNSECURED 02/15 1.25
2/13/2015
1.25%
16,495,068

WELLS FARGO + COMPANY SR UNSECURED 03/22 3.5
3/8/2022
3.5%
155,041

WELLS FARGO + COMPANY SR UNSECURED 04/18 VAR
4/23/2018
0.87%
11,271,902

WELLS FARGO + COMPANY SR UNSECURED 04/21 4.6
4/1/2021
4.6%
263,094

WELLS FARGO + COMPANY SR UNSECURED 05/17 2.1
5/8/2017
2.1%
3,809,747

WELLS FARGO + COMPANY SR UNSECURED 06/16 VAR
6/15/2016
3.68%
1,565,174

WELLS FARGO + COMPANY SR UNSECURED 07/15 1.5
7/1/2015
1.5%
7,605,465

WELLS FARGO + COMPANY SR UNSECURED 10/15 VAR
10/28/2015
0.44%
8,996,102

WELLS FARGO + COMPANY SR UNSECURED 12/17 5.625
12/11/2017
5.63%
2,808,178

WELLS FARGO + COMPANY SUBORDINATED 02/23 3.45
2/13/2023
3.45%
2,538,493

WELLS FARGO + COMPANY SUBORDINATED 08/23 4.125
8/15/2023
4.13%
123,231

WELLS FARGO + COMPANY SUBORDINATED 144A 01/24 4.48
1/16/2024
4.48%
10,326,715

WELLS FARGO BANK NA SUBORDINATED 05/16 VAR
5/16/2016
0.45%
1,485,984

WELLS FARGO COMMERCIAL MORTGAG WFCM 2013 LC12 A4
7/15/2046
4.22%
360,290

WELLS FARGO COMMERCIAL MORTGAG WFCM 2013 LC12 C
7/15/2046
4.44%
2,154,081

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 AA A1
12/25/2034
2.62%
1,249,478

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 EE 2A1
12/25/2034
2.63%
1,486,183

WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 1 1A1
1/25/2020
4.75%
328,749

WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 13 A1
11/25/2020
5%
332,859

WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR8 2A3
4/25/2036
2.63%
427,076

WELLS FARGO REREMIC TRUST WFRR 2012 IO A 144A
8/20/2021
1.75%
966,049

WESCO AIRCRAFT HOLDINGS INC COMMON STOCK USD.001
 
 
1,626,464

WESCO INTERNATIONAL INC COMMON STOCK USD.01
 
 
4,007,080

WESFARMERS LTD COMMON STOCK NPV
 
 
263,959

WEST CORP COMMON STOCK USD.001
 
 
2,018,235

WEST JAPAN RAILWAY CO COMMON STOCK
 
 
182,218

WESTERN ALLIANCE BANCORP COMMON STOCK USD.0001
 
 
8,354,818

WESTERN DIGITAL CORP COMMON STOCK USD.01
 
 
27,325,223


152
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
WESTERN ENERGY SERVICES CORP COMMON STOCK NPV
 
 
580,856

WESTERN UNION CO COMMON STOCK USD.01
 
 
4,829,051

WESTFIELD GROUP REIT NPV
 
 
225,820

WESTFIELD RETAIL TRUST REIT
 
 
94,790

WESTPAC BANKING CORP COMMON STOCK NPV
 
 
694,638

WESTPAC BANKING CORP COVERED 144A 11/18 1.85
11/26/2019
1.85%
10,199,109

WESTPAC BANKING CORP SR UNSECURED 01/16 0.95
1/12/2016
0.95%
180,308

WESTPAC BANKING CORP SR UNSECURED 08/15 3.
8/4/2015
3%
1,064,869

WESTPAC BANKING CORP SR UNSECURED 09/15 1.125
9/25/2015
1.13%
4,954,146

WESTPAC BANKING CORP SR UNSECURED 12/15 3.
12/9/2015
3%
1,601,859

WEX INC COMMON STOCK USD.01
 
 
6,535,485

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2011 C3 A1 144A
3/15/2044
1.99%
741,303

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2011 C3 A2 144A
3/15/2044
3.24%
867,299

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 A5
3/15/2045
3.07%
379,016

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 AS
3/15/2045
3.31%
539,076

WHARF HOLDINGS LTD COMMON STOCK HKD1.
 
 
335,975

WHEELOCK + CO LTD COMMON STOCK HKD.5
 
 
193,415

WHITEWAVE FOODS CO CL A COMMON STOCK USD.01
 
 
3,143,927

WHITING PETROLEUM CORP COMMON STOCK USD.001
 
 
2,258,255

WHOLE FOODS MARKET INC COMMON STOCK NPV
 
 
9,602,151

WI TREASURY N/B 02/16 0.375
2/15/2016
0.38%
47,855,070

WIENERBERGER AG COMMON STOCK NPV
 
 
339,851

WILEY (JOHN) + SONS CLASS A COMMON STOCK USD1.
 
 
2,539,200

WILLIAM HILL PLC COMMON STOCK GBP.1
 
 
679,325

WILLIAMS PARTNERS LP SR UNSECURED 02/15 3.8
2/15/2015
3.8%
258,280

WILMAR INTERNATIONAL LTD COMMON STOCK NPV
 
 
105,639

WING HANG BANK LTD COMMON STOCK NPV
 
 
677,050

WIPRO LTD ADR ADR
 
 
642,090

WISC ELEC POWER SR UNSECURED 12/15 6.25
12/1/2015
6.25%
496,564

WISCONSIN ENERGY CORP COMMON STOCK USD.01
 
 
3,551,106

WIX.COM LTD COMMON STOCK ILS.01
 
 
646,790

WM COVERED BOND PROGRAM COVERED REGS 09/14 4.375
9/16/2014
4.38%
391,161

WM COVERED BOND PROGRAM COVERED REGS 11/16 4.
11/26/2016
4%
581,000

WM WRIGLEY JR CO SR UNSECURED 144A 10/16 1.4
10/21/2016
1.4%
3,602,449

WM WRIGLEY JR CO SR UNSECURED 144A 10/17 2.
10/20/2017
2%
1,396,111

WM WRIGLEY JR CO SR UNSECURED 144A 10/18 2.4
10/21/2018
2.4%
1,659,758

WM WRIGLEY JR CO SR UNSECURED 144A 10/19 2.9
10/21/2019
2.9%
773,552

WNS HOLDINGS LTD ADR ADR USD.16
 
 
4,602,196

WOOD GROUP (JOHN) PLC COMMON STOCK GBP.042857
 
 
773,743

WOODSIDE FINANCE LTD COMPANY GUAR 144A 05/21 4.6
5/10/2021
4.6%
733,048

WOODSIDE PETROLEUM LTD COMMON STOCK NPV
 
 
397,215


153
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
WOODWARD INC COMMON STOCK USD.00292
 
 
2,143,670

WOOLWORTHS HOLDINGS LTD COMMON STOCK ZAR.0015
 
 
543,681

WOOLWORTHS LTD COMMON STOCK NPV
 
 
603,368

WOORI FINANCE HOLDINGS CO COMMON STOCK KRW5000.
 
 
121,740

WORKDAY INC CLASS A COMMON STOCK USD.001
 
 
11,905,685

WORLD FINANCIAL NETWORK CREDIT WFNMT 2013 B A
3/16/2020
0.91%
7,034,723

WORLD OMNI AUTO RECEIVABLES TR WOART 2011 B A3
8/15/2016
0.96%
1,025,928

WORLD OMNI AUTO RECEIVABLES TR WOART 2012 A A4
8/15/2018
0.85%
2,208,111

WORLD OMNI AUTO RECEIVABLES TR WOART 2013 A A2
5/16/2016
0.43%
6,200,186

WORLD OMNI AUTO RECEIVABLES TR WOART 2013 A A4
7/15/2019
0.87%
5,241,931

WORLD OMNI AUTO RECEIVABLES TR WOART 2013 B A2
11/15/2016
0.48%
2,549,975

WORLEYPARSONS LTD COMMON STOCK NPV
 
 
83,114

WPP FINANCE (UK) COMPANY GUAR 09/14 8
9/15/2014
8%
629,857

WPP PLC COMMON STOCK GBP.1
 
 
7,257,357

WSFS FINANCIAL CORP COMMON STOCK USD.01
 
 
2,885,279

WYETH LLC COMPANY GUAR 04/17 5.45
4/1/2017
5.45%
1,375,730

WYNN MACAU LTD COMMON STOCK HKD.001
 
 
130,855

XCEL ENERGY INC SR UNSECURED 05/16 0.75
5/9/2016
0.75%
2,365,879

XCEL ENERGY INC SR UNSECURED 07/36 6.5
7/1/2036
6.5%
71,482

XEBIO CO LTD COMMON STOCK
 
 
290,205

XEROX CORPORATION SR UNSECURED 02/15 4.25
2/15/2015
4.25%
4,868,650

XEROX CORPORATION SR UNSECURED 03/16 6.4
3/15/2016
6.4%
198,952

XEROX CORPORATION SR UNSECURED 03/17 2.95
3/15/2017
2.95%
549,225

XEROX CORPORATION SR UNSECURED 05/14 8.25
5/15/2014
8.25%
205,360

XEROX CORPORATION SR UNSECURED 05/21 4.5
5/15/2021
4.5%
77,197

XLIT LTD COMPANY GUAR 09/14 5.25
9/15/2014
5.25%
412,281

XOOM CORP COMMON STOCK USD.0001
 
 
1,191,881

XSTRATA FINANCE CANADA COMPANY GUAR 144A 10/15 2.05
10/23/2015
2.05%
4,374,981

XSTRATA FINANCE CANADA COMPANY GUAR 144A 10/17 VAR
10/25/2017
2.7%
2,022,702

XSTRATA FINANCE CANADA COMPANY GUAR 144A 11/16 5.8
11/15/2016
5.8%
462,742

XTO ENERGY INC SR UNSECURED 06/15 5.3
6/30/2015
5.3%
803,855

XTO ENERGY INC SR UNSECURED 08/17 6.25
8/1/2017
6.25%
577,014

XYLEM INC COMMON STOCK
 
 
1,830,340

YAHOO INC COMMON STOCK USD.001
 
 
24,686,537

YAMAHA CORP COMMON STOCK
 
 
98,452

YAMANA GOLD INC COMMON STOCK NPV
 
 
34,485

YAMAZEN CORP COMMON STOCK
 
 
389,068

YANDEX NV A COMMON STOCK EUR.01
 
 
4,550,815

YANGZIJIANG SHIPBUILDING COMMON STOCK NPV
 
 
138,904

YELP INC COMMON STOCK USD.000001
 
 
12,393,763

YUE YUEN INDUSTRIAL HLDG COMMON STOCK HKD.25
 
 
120,208


154
Table of Contents

Security Name
Maturity Date
Coupon Rate
 Fair Value (In Dollars)
YUM BRANDS INC COMMON STOCK NPV
 
 
3,303,401

ZHEJIANG EXPRESSWAY CO H COMMON STOCK CNY1.
 
 
193,377

ZHUZHOU CSR TIMES ELECTRIC H COMMON STOCK CNY1.
 
 
422,505

ZIGGO NV COMMON STOCK
 
 
494,581

ZIMMER HOLDINGS INC COMMON STOCK USD.01
 
 
3,830,109

ZIMMER HOLDINGS INC SR UNSECURED 11/14 1.4
11/30/2014
1.4%
4,347,959

ZOETIS INC SR UNSECURED 02/16 1.15
2/1/2016
1.15%
3,225,657

ZOETIS INC SR UNSECURED 02/23 3.25
2/1/2023
3.25%
884,209

ZOETIS INC W/I COMMON STOCK USD.01
 
 
151,028

ZULILY INC CL A COMMON STOCK USD.0001
 
 
750,380

ZUMTOBEL AG COMMON STOCK NPV
 
 
104,786

TOTAL
 
 
$
44,043,301,868

*LOANS TO MEMBERS (Interest from 2% to 10% through December, 2033)
 
 
$
714,084,103

*Party-in-interest
 
 
 


155