Document


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington D.C. 20549
FORM 11-K
(Mark One)
 
ý
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2016
OR
 
 
¨
TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number 001-37702
AMGEN RETIREMENT AND SAVINGS PLAN
(Full title of the plan)
AMGEN INC.
(Name of issuer of the securities held)
 
 
 
 
One Amgen Center Drive,
 
91320-1799
Thousand Oaks, California
 
(Zip Code)
(Address of principal executive offices)
 
 









Amgen Retirement and Savings Plan

Audited Financial Statements
and Supplemental Schedules
Years Ended December 31, 2016 and 2015

Contents
 
 
 
 
 
Audited Financial Statements:
 
 
 
 
 
Supplemental Schedules:
 
 
 




Report of Independent Registered Public Accounting Firm


Amgen Inc., as Named Fiduciary, and the Plan Participants of the
Amgen Retirement and Savings Plan
We have audited the accompanying statements of net assets available for benefits of the Amgen Retirement and Savings Plan (the Plan) as of December 31, 2016 and 2015, and the related statements of changes in net assets available for benefits for the years then ended. 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. We were not engaged to perform an audit of the Plan’s 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for benefits of the Plan at December 31, 2016 and 2015, and the changes in its net assets available for benefits for the years then ended, in conformity with U.S. generally accepted accounting principles.
The accompanying supplemental schedule of assets (held at end of year) and schedule of loans or fixed income obligations in default or classified as uncollectible as of December 31, 2016, and schedule of assets (acquired and disposed of within year) for the year then ended, have been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The information in the supplemental schedules is the responsibility of the Plan’s management. Our audit procedures included determining whether the information reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedules. In forming our opinion on the information, we evaluated whether such information, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the information is fairly stated, in all material respects, in relation to the financial statements as a whole.
/s/ ERNST & YOUNG LLP
Los Angeles, California
June 13, 2017


1



Amgen Retirement and Savings Plan
Statements of Net Assets Available for Benefits



 
 
December 31,
 
 
2016
 
2015
Assets
 
 
 
 
Investments at fair value
 
$
3,975,857,253

 
$
3,703,163,819

Investments in fully benefit-responsive investment contracts at contract value
 
272,851,129

 
250,930,972

Notes receivable from participants
 
35,526,531

 
36,178,066

Other – principally due from broker
 
18,390,076

 
18,191,847

Total assets
 
4,302,624,989

 
4,008,464,704

Liabilities
 
 
 
 
Other – principally due to broker
 
22,975,289

 
19,848,751

Total liabilities
 
22,975,289

 
19,848,751

Net assets available for benefits
 
$
4,279,649,700

 
$
3,988,615,953

See accompanying notes.


2



Amgen Retirement and Savings Plan
Statements of Changes in Net Assets Available for Benefits



 
 
Years Ended December 31,
 
 
2016
 
2015
Additions to (deductions from) net assets:
 
 
 
 
Employer contributions
 
$
153,202,093

 
$
152,552,643

Participant contributions
 
130,958,684

 
132,244,673

Rollover contributions
 
29,565,852

 
19,563,421

Interest and dividend income
 
48,143,585

 
43,666,455

Net realized/unrealized gains (losses)
 
254,079,547

 
(88,349,679
)
Interest income on notes receivable from participants
 
1,477,046

 
1,562,965

Benefits paid
 
(317,622,135
)
 
(490,737,270
)
Investment and administrative fees
 
(8,770,925
)
 
(9,036,668
)
Net increase (decrease)
 
291,033,747

 
(238,533,460
)
Net assets available for benefits at beginning of year
 
3,988,615,953

 
4,227,149,413

Net assets available for benefits at end of year
 
$
4,279,649,700

 
$
3,988,615,953

See accompanying notes.


3



Amgen Retirement and Savings Plan
Notes to Financial Statements
December 31, 2016


1. Description of the Plan
The following description of the Amgen Retirement and Savings Plan (the Plan) provides only general information. Participants should refer to the Plan document for a more complete description of the Plan’s provisions.
General
The Plan was established effective April 1, 1985, and was most recently amended and restated effective January 1, 2017. The Plan is a defined contribution plan covering substantially all domestic employees of Amgen Inc. (the Company or Amgen) and participating subsidiaries. The Plan, as amended and restated, is intended to qualify under sections 401(a) and 401(k) of the Internal Revenue Code of 1986 (the Code) (see Note 4, Income Tax Status) and section 407(d)(3)(A) of the Employee Retirement Income Security Act of 1974 (ERISA).
Contributions
Subject to certain limitations (as defined in the Plan), participants may elect to contribute up to 30% of their eligible compensation in pre-tax contributions, Roth contributions (in accordance with the Code), after-tax contributions or a combination of these types of contributions. A participant’s combined pre-tax contributions and Roth contributions (exclusive of catch-up contributions discussed below) are subject to Internal Revenue Service (IRS) and Plan limits and could not exceed a maximum of $18,000 in 2016 and 2015. Participant after-tax contributions are subject to IRS and Plan limitations and could not exceed a maximum of $8,500 in 2016 and 2015. Unless an employee has voluntarily enrolled in the Plan or has declined to participate in the Plan within the first 30 days of employment, all newly eligible participants are automatically enrolled in the Plan, and contributions equal to 5% of their eligible compensation are withheld and contributed to the Plan as pre-tax contributions; such contributions are automatically increased by 1% per year until their contributions reach 10% of their eligible compensation. Participants may elect to adjust, cease or resume their contributions at any time.
Participants who are at least age 50 by the close of the Plan year may also elect to make certain additional contributions, referred to as catch-up contributions, that are subject to IRS and Plan limitations and could not exceed $6,000 in 2016 and 2015. Catch-up contributions may be made as pre-tax contributions, Roth contributions or a combination of these types of contributions. Participants may also contribute pre-tax, Roth and after-tax amounts representing distributions from certain other retirement plans qualified in the United States or certain individual retirement accounts (IRAs), referred to as rollover contributions (as defined in the Plan).
Each pay period, the Company makes a non-elective contribution for all eligible participants, whether or not they have elected to make contributions to the Plan, equal to 5% of each participant’s eligible compensation (Core Contributions) up to a maximum of $13,250 in 2016 and 2015. In addition, the Company makes a contribution equal to amounts contributed by the participant as pre-tax contributions or Roth contributions, including such contributions designated as catch-up contributions, of up to 5% of eligible compensation (Matching Contributions) up to a maximum of $13,250 in 2016 and 2015.

4



Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)


Also, the Company can, in its discretion, make a special non-elective contribution on behalf of a participant who is in his or her initial year of employment with the Company and who could not make the maximum participant contribution permitted under the Plan because in the same Plan year he or she previously made pre-tax salary deferrals under a prior unrelated employer’s qualified plan.
Participants select the investments in which their contributions, including their Core Contributions and Matching Contributions (collectively, Company Contributions), are to be invested, electing among various alternatives, including Amgen Inc. common stock (Amgen stock). Participants may direct a maximum of 20% of contributions to be invested in Amgen stock. In addition, participants may transfer amounts among the investment options at any time, subject to certain limitations. Notwithstanding the foregoing, if 20% or more of the value of a participant’s Plan account is invested in Amgen stock, the Plan document provides that no transfers from other investment options can be made to invest in Amgen stock.
The accounts of participants who had never made an investment election are allocated to investments under a qualified default investment alternative, which is intended to be compliant with ERISA regulations. At any time, participants may elect to alter the investments in their accounts made under a qualified default investment alternative.
Vesting
Participants are immediately vested with respect to their contributions, Company Contributions, and earnings and losses (hereafter referred to as earnings) thereon.
Participant Accounts
Each participant’s account is credited with: (a) the participant’s contributions; (b) an allocation of Company Contributions; and (c) earnings. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s account.
Plan Investments
Participants can invest in any of 16 different asset classes as well as Amgen stock or may actively manage their account under a self-directed brokerage arrangement in which a wider array of investment options are available. The value of an investment in an asset class is determined by its underlying investment vehicles, which may include one or more of the following: mutual funds, collective trust funds and portfolios which are separately managed exclusively for the benefit of Plan participants and their beneficiaries (separately managed portfolios). The separately managed portfolios invest in various types of assets, including publicly traded common and preferred stocks, fixed income securities, collective trust funds and investment contracts. The asset classes are designed to provide participants with choices among a variety of investment objectives.
Payments of Benefits
Subject to Plan limitations, upon termination of employment, including termination due to disability (as defined in the Plan) or retirement, participants may elect to receive an amount equal to the entire value of their account balance in: (a) a single payment in cash; (b) a single distribution in full shares of Amgen stock (with any fractional shares paid in cash); (c) a single distribution paid in a combination of cash and full shares of Amgen stock; (d) cash installments over 10 years; or (e) a rollover distribution to an eligible retirement plan. Participants may also elect to receive a partial distribution of his or her account balance no more than once per year.

5



Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)


If a participant dies before receiving the value of his or her account balance, the participant’s beneficiary may elect to receive the distribution of remaining funds from among the alternatives described above, subject to certain Plan limitations.
Subsequent to termination of employment, participants may also elect to maintain their account balance in the Plan, provided that their account balance is greater than $1,000.
Certain restrictions apply to withdrawals from the Plan while a participant continues to be employed by the Company.
Amgen Stock Dividends
Participants that invest in Amgen stock may elect to receive distributions of cash with respect to dividends the Company pays on Amgen stock or reinvest such dividends to acquire additional shares of Amgen stock.
Notes Receivable from Participants
Subject to certain restrictions, a participant can have up to two loans outstanding at any one time from his or her Plan account with a combined maximum loan amount which may not exceed the lesser of: (a) 50% of the participant’s account balance (exclusive of amounts related to Roth contributions and earnings thereon) or (b) $50,000 less certain adjustments, as applicable (as defined in the Plan). A participant’s loan is secured by his or her Plan account balance. Loans made prior to July 1, 2003, bear interest at fixed rates based on the average borrowing rates of certain major banks. Loans made on or after July 1, 2003, bear interest at fixed rates which, until changed by the Company, are based on the prime rate plus one percentage point as published in The Wall Street Journal, determined as of the last day of the calendar quarter preceding origination or such other rate as may be required by law. Loans are generally payable in installments over periods of up to five years, unless the loan is used to acquire a principal residence for which the term of the loan may be up to 20 years. Principal and interest payments are allocated to the participant’s account.
Plan Termination
Although it has not expressed any intent to do so, the Company has the right under the Plan to terminate the Plan subject to the provisions of ERISA. Upon termination, participants would receive distributions of their account balances.
Trustees
Bank of America, N.A. and The Northern Trust Company are the Plan’s co-trustees.
2. Summary of Significant Accounting Policies
Basis of Accounting
The accompanying financial statements are prepared on the accrual basis of accounting.
Fair Value Measurement
The investments of the Plan are reported at fair value, except for fully benefit-responsive investment contracts, discussed below. Fair value is generally defined as the price that would be received to sell an asset

6



Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)


or paid to transfer a liability (the exit price) in an orderly transaction between market participants at the measurement date (see Note 3, Fair Value Measurements).
Investment Income and Losses
Dividend income is recognized on the ex-dividend date, and interest income is recorded on an accrual basis. Unrealized gains and losses on investments are measured by the change in the difference between the fair value and cost of the securities held at the beginning of the year (or date purchased if acquired during the Plan year) and the end of the year. Realized gains and losses from security transactions are recorded based on the weighted-average cost of securities sold.
Fully Benefit-Responsive Investment Contracts
As of December 31, 2016 and 2015, the Plan had fully benefit-responsive investment contracts, including synthetic investment contracts and an insurance separate accounts contract (collectively, security-backed contracts). The synthetic investment contracts are comprised of wrapper contracts issued by insurance companies backed by the Plan’s ownership in collective trust funds that invest in fixed income securities. The insurance separate accounts contract is a contract issued by an insurance company backed by specified separate accounts of the issuer which are comprised of fixed income securities. Contract value is the relevant measurement attribute for security-backed contracts because this is the amount participants would receive if they were to initiate qualified transactions related to these investments. The issuers of the Plan’s security-backed contracts credit the Plan with stated rates of interest, and the issuers guarantee that all qualified participant withdrawals related to the contracts will be at contract value, except as discussed below. The crediting rates provide for realized and unrealized gains and losses on the underlying assets to be amortized over the expected duration of the underlying investments through adjustments to the future interest crediting rates rather than being reflected immediately in the net assets of the Plan. The contract values of the Plan’s security-backed contracts at December 31, 2016 and 2015, were as follows:
 
December 31,
 
2016
 
2015
Synthetic investment contracts
$
202,231,726

 
$
185,803,751

Insurance separate accounts contract
70,619,403

 
65,127,221

Total fully benefit-responsive investment contracts
$
272,851,129

 
$
250,930,972

The security-backed contracts provide for withdrawals at other than contract value associated with certain events which are not in the ordinary course of Plan operations. These withdrawals are made at contract value, modified by a market value adjustment as defined in the contract. Circumstances which may trigger a market value adjustment are generally defined as any event which, in the reasonable determination of the issuer, has or will have a material adverse effect on the issuer’s interest under the contract. Such events may include, but are not limited to: (i) material amendments to the Plan’s structure or administration; (ii) changes in or the creation of competing investment options; (iii) complete or partial termination of the Plan; (iv) removal of a specifically identifiable group of employees from coverage under the Plan; (v) a change in law, regulation, ruling, administrative position, or accounting standard applicable to the Plan; or (vi) communication to Plan participants designed to influence a participant not to invest in the asset class that contains these contracts. The Company does not believe that the occurrence of any such event, which would limit the Plan’s ability to transact at contract value with participants, is probable.

7



Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)


These security-backed contracts are evergreen contracts with no maturity dates, but do contain termination provisions. The issuer is obligated to pay the excess contract value when the fair value of the underlying investments equals zero. In addition, if the Plan defaults in its obligations under the security-backed contract and such default is not corrected within the time permitted by the contract, then the contract may be terminated by the issuer and the Plan will receive the fair value of the underlying investments as of the date of termination.
Notes Receivable from Participants
Notes receivable from participants are carried at their unpaid balance plus accrued but unpaid interest, as applicable.
Due from/to Brokers
Purchases and sales of investments are recorded on a trade-date basis. Amounts due from and due to brokers arise from unsettled sale and purchase transactions as of December 31, 2016 and 2015.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
3. Fair Value Measurements
The Plan uses various valuation approaches in determining the fair value of investments within a hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the investment based on market data obtained from independent sources. Unobservable inputs are inputs that reflect assumptions about the inputs that market participants would use in pricing the investment and are developed based on the best information available in the circumstances. The fair value hierarchy is divided into three levels based on the source of inputs as follows:
Level 1–Valuations based on unadjusted quoted prices in active markets for identical investments that the Plan has the ability to access;
Level 2–Valuations for which all significant inputs are observable, either directly or indirectly, other than Level 1 inputs;
Level 3–Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
The availability of observable inputs can vary among the various types of investments. To the extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. In certain cases, the inputs used for measuring fair value may fall into different levels of the fair value hierarchy. In such cases, for financial statement disclosure purposes, the level in the fair value hierarchy within which the fair value measurement is categorized is based on the lowest level of input used that is significant to the overall fair value measurement.

8



Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)


The following fair value hierarchy table presents information about each major class/category of the Plan’s investments measured at fair value:
 
 
Fair value measurements at December 31, 2016, using
 
 
Quoted prices in active markets for identical assets
(Level 1)
 
Significant
other observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Total
Amgen stock
 
$
260,587,917

 
$

 
$

 
$
260,587,917

Cash and cash equivalents
 
2,156,118

 

 

 
2,156,118

Common and preferred stocks
 
909,701,894

 
6,405,355

 

 
916,107,249

Debt securities
 
76,611,987

 
238,598,594

 

 
315,210,581

Mutual funds
 
357,489,329

 

 

 
357,489,329

Self-directed brokerage accounts
 
318,695,182

 
489,903

 

 
319,185,085

Other
 

 
96,030

 

 
96,030

 
 
$
1,925,242,427

 
$
245,589,882

 
$

 
$
2,170,832,309

Collective trust funds measured at net asset value
 
 
 
 
 
 
 
1,805,024,944

Total assets at fair value
 
 
 
 
 
 
 
$
3,975,857,253

 

 
 
Fair value measurements at December 31, 2015, using
 
 
Quoted prices in active markets for identical assets
(Level 1)
 
Significant
other observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Total
Amgen stock
 
$
295,705,743

 
$

 
$

 
$
295,705,743

Cash and cash equivalents
 
2,734,210

 

 

 
2,734,210

Common and preferred stocks
 
874,221,841

 
3,305,492

 

 
877,527,333

Debt securities
 
68,513,288

 
238,776,610

 

 
307,289,898

Mutual funds
 
331,413,649

 

 

 
331,413,649

Self-directed brokerage accounts
 
297,167,287

 
510,416

 

 
297,677,703

 
 
$
1,869,756,018

 
$
242,592,518

 
$

 
$
2,112,348,536

Collective trust funds measured at net asset value
 
 
 
 
 
 
 
1,590,815,283

Total assets at fair value
 
 
 
 
 
 
 
$
3,703,163,819

The fair values of common stocks (including Amgen stock), preferred stocks, publicly traded mutual funds and U.S. treasury securities are valued using quoted market prices in active markets with no valuation adjustment.
Debt securities other than U.S. treasury securities are valued by taking into consideration valuations obtained from third-party pricing services. The pricing services utilize industry standard valuation models, including both income and market based approaches, for which all significant inputs are observable, either directly or indirectly, to estimate fair value. These inputs include reported trades of and broker/dealer quotes on the same or similar securities, issuer credit spreads, benchmark securities and, when applicable, prepayment/default projections based on historical data and other observable inputs.
Collective trust funds represent interests in pooled investment vehicles designed typically for collective investment of employee benefit trusts. The fair values of these investments are determined by reference to the net asset value per unit provided by the fund managers as a practical expedient. The unit values are based on the fair values of the trusts’ underlying assets, which are principally equity and fixed income securities

9



Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)


and short-term investments. The only redemption restriction with respect to these investments is on the Wells Fargo Stable Value Fund W (fair value of $38,555,065 as of December 31, 2016), which requires a one-year notice to be given in the event of complete liquidation.
4. Income Tax Status
The Plan received a determination letter from the IRS dated September 18, 2013, stating that the Plan is qualified, in form, under Section 401(a) of the Code and, therefore, the related trust is exempt from taxation. Subsequent to this determination by the IRS, the Plan was amended. On January 31, 2017, the Company timely requested a new determination letter from the IRS. The Company is awaiting a response from the IRS with respect to its request. Once qualified, the Plan is required to operate in conformity with the Code to maintain its qualification. The Company believes the Plan is currently being operated in compliance with the applicable requirements of the Code and, therefore, believes that the Plan is qualified and the related trust is tax exempt. The Company has indicated that it currently intends to continue to take the necessary steps to maintain the Plan’s compliance with the applicable requirements of the Code.
GAAP requires the Company to evaluate uncertain tax positions taken by the Plan. The financial statement effects of a tax position are recognized when the position is more likely than not, based on the technical merits, to be sustained upon examination. As of December 31, 2016, no uncertain tax positions have been taken or are expected to be taken, and no amounts related to uncertain tax positions have been recorded in the Plan’s financial statements. The Plan is subject to audits by the IRS, however there are currently no audits for any periods in progress. The Company believes the Plan is no longer subject to IRS examinations with respect to annual reports for years prior to 2013. 
5. Services Provided by the Company
During 2016 and 2015, the Company paid trustee fees and certain other administrative costs on behalf of the Plan.
6. Reconciliation of Financial Statements to Form 5500
The reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of December 31, 2016 and 2015, consisted of the following:
 
 
 
December 31,
 
 
2016
 
2015
Net assets available for benefits per the financial statements
 
$
4,279,649,700

 
$
3,988,615,953

Adjustment to fair value for fully benefit-responsive investment contracts
 
(270,752
)
 
617,171

Amounts allocated to withdrawing participants
 
(2,144,196
)
 
(2,713,632
)
Deemed loans
 
(303,178
)
 
(325,519
)
Net assets per the Form 5500
 
$
4,276,931,574

 
$
3,986,193,973


10



Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)


For the year ended December 31, 2016, the following is a reconciliation of the net investment gain per the financial statements to the Form 5500: 

 
 
Year Ended
December 31,
2016
Interest and dividend income
 
$
48,143,585

Net realized/unrealized gains
 
254,079,547

Total net investment gain per the financial statements
 
302,223,132

Adjustment from fair value to contract value for fully benefit-responsive investment contracts:
 
 
Less prior year adjustment
 
(617,171
)
Add current year adjustment
 
(270,752
)
Total net investment gain per the Form 5500
 
$
301,335,209

For the year ended December 31, 2016, the following is a reconciliation of distributions per the financial statements to the Form 5500:
 
 
 
Year Ended
December 31,
2016
Benefits paid
 
$
(317,622,135
)
Investment and administrative fees
 
(8,770,925
)
Total distributions per the financial statements
 
(326,393,060
)
Add prior year amounts allocated to withdrawing participants
 
2,713,632

Less current year amounts allocated to withdrawing participants
 
(2,144,196
)
Add prior year deemed loan balance
 
325,519

Less current year deemed loan balance
 
(303,178
)
Total distributions per the Form 5500
 
$
(325,801,283
)

11


Supplemental Schedule
Amgen Retirement and Savings Plan
EIN: 95-3540776 Plan: #001
As of December 31, 2016
Schedule H, line 4i – Schedule of Assets (Held at End of Year)
 
Identity of Issue
 
Description of Investment
 
Current Value
 
 
 
 
 
 
 
Amgen stock
 
Employer Securities 1,782,285 shares
 
$
260,587,917

 
 
 
 
 
 
 
$
260,587,917

Capital Preservation Asset Class:
 
 
 
 
 
 
Wells Fargo Fixed Income Fund F *
 
Collective trust fund 6,204,245 units
 
86,114,922

 
 
Metropolitan Life Contract*
 
Insurance separate accounts investment contract 651,034 units
 
70,306,234

 
 
Wells Fargo Fixed Income Fund D*
 
Collective trust fund 4,661,761 units
 
62,016,374

 
 
Wells Fargo Fixed Income Fund L*
 
Collective trust fund 4,372,989 units
 
54,142,847

 
 
Wells Fargo Stable Value Fund W*
 
Collective trust fund 720,388 units
 
38,555,065

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 17,522,685 units
 
17,522,685



 
Wrapper contracts
 
 
 

 
Total Capital Preservation Asset Class
 
 
 
 
328,658,127

 
 
 
 
 
 
Emerging Markets Equity Asset Class:
 
 
 
 
 
 
J.P. Morgan Emerging Markets Equity Focus Fund*
 
Collective trust fund 5,188,078 units
 
53,428,379

 
 
NT Collective Emerging Markets Fund - Non Lending*
 
Collective trust fund 2,866,457 units
 
48,815,763

 
 
Blackrock FTSE RAFI Emerging Index Non Lendable Fund F*
 
Collective trust fund 49,694 units
 
6,997,054

 
Total Emerging Markets Equity Asset Class
 
 
 
 
109,241,196

 
 
 
 
 
 
 
Fixed Income Asset Class:
 
 
 
 
 
 
NT Collective Aggregate Bond Index Fund - Non Lending*
 
Collective trust fund 160,500 units
 
21,781,446

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 7,829,809 units
 
7,829,809

 
 
United States Treasury Note 2% Due 11/15/2026
 
Government Bond 5,635,000 units
 
5,421,704

 
 
United States Treasury Note 1.75% Due 11/30/2021
 
Government Bond 5,385,000 units
 
5,344,823

 
 
United States Treasury Note 1.5% 12/31/2018
 
Government Bond 4,935,000 units
 
4,963,722

 
 
United States Treasury Note .75% Due 10/31/2017
 
Government Bond 4,485,000 units
 
4,480,972

 
 
United States Treasury Note 2% Due 12/31/2021
 
Government Bond 3,950,000 units
 
3,964,504

 
 
United States Treasury Bond 2.875% Due 11/15/2046
 
Government Bond 4,035,000 units
 
3,895,667

 
 
United States Treasury Bond 1.5% Due 01/31/2022
 
Government Bond 3,285,000 units
 
3,210,831

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2023
 
Government Bond 3,460,000 units
 
2,993,135

 
 
United States Treasury 1.25% Due 10/31/2021
 
Government Bond 2,975,000 units
 
2,884,822

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2021
 
Government Bond 3,005,000 units
 
2,782,302

 
 
Federal Home Loan Mortgage Corporation Pool #G08732 3% Due 11/01/2046
 
Government Mortgage Backed Security 2,693,824 units
 
2,677,693

 
 
United States Treasury Note 1.25% Due 12/31/2018
 
Government Bond 2,430,000 units
 
2,432,469

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2022
 
Government Bond 2,500,000 units
 
2,198,910

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2034
 
Government Bond 3,220,000 units
 
1,920,811

 
 
Federal Home Loan Mortgage Corporation Pool #G08702 3.5% Due 04/01/2046
 
Government Mortgage Backed Security 1,844,961 units
 
1,890,747

 
 
United States Treasury Note Inflation Indexed .375% Due 07/15/2025
 
Index Linked Government Bond 1,833,000 units
 
1,858,137

 
 
Metropolitan West Funds Floating Rate Income Fund Class I*
 
Mutual Fund 183,129 shares
 
1,844,113

 

12



Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2022
 
Government Bond 1,860,000 units
 
1,659,425

 
 
United States Treasury Note 1% Due 11/30/2018
 
Government Bond 1,600,000 units
 
1,594,875

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2032
 
Government Bond 2,400,000 units
 
1,511,854

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2021
 
Government Bond 1,630,000 units
 
1,499,043

 
 
Fannie Mae Pool #466430 3.37% Due 11/01/2020
 
Government Mortgage Backed Security 1,276,390 units
 
1,403,295

 
 
Fannie Mae Single Family Mortgage 3% Due 30 Years
 
Government Mortgage Backed Security 1,390,000 units
 
1,380,845

 
 
United States Treasury SEC Stripped Interest Payment 0% Due 08/15/2021
 
Government Bond 1,505,000 units
 
1,372,417

 
 
Fannie Mae Single Family Mortgage 4% Due 30 Years
 
Government Mortgage Backed Security 1,295,000 units
 
1,361,445

 
 
Federal Home Loan Mortgage Corporation Pool #G18622 2.5% Due 12/01/2031
 
Government Mortgage Backed Security 1,347,313 units
 
1,350,946

 
 
United States Treasury Note 1.5% Due 01/31/2019
 
Government Bond 1,330,000 units
 
1,337,222

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2020
 
Government Bond 1,370,000 units
 
1,304,748

 
 
United States Treasury SEC Stripped Interest Payment 00517 Due 02/15/2029
 
Government Bond 1,820,000 units
 
1,300,274

 
 
Treasury Inflation Indexed Bond 0.75% Due 02/15/2045
 
Index Linked Government Bond 1,329,400 units
 
1,283,973

 
 
Fannie Mae Single Family Mortgage 3.5% Due 30 Years
 
Government Mortgage Backed Security 1,240,000 units
 
1,270,903

 
 
Federal Home Loan Mortgage Corporation Pool #G60080 3.5% Due 06/01/2045
 
Government Mortgage Backed Security 1,175,078 units
 
1,208,336

 
 
Federal Home Loan Mortgage Corporation Pool #G60344 4% Due 12/01/2045
 
Government Mortgage Backed Security 1,133,667 units
 
1,198,893

 
 
United States Treasury SEC Stripped Interest Payment Due 08/15/2020
 
Government Bond 1,250,000 units
 
1,175,281

 
 
United States Treasury Bond Inflation Index 5.500% Due 8/15/2028
 
Government Bond 900,000 units
 
1,165,219

 
 
Federal Home Loan Mortgage Corporation Gold G60023 3.5% Due 04/01/2045
 
Government Mortgage Backed Security 1,103,678 units
 
1,136,607

 
 
Morgan Stanley Capital I Trust 2011-C1 Class A-3 4.7% Due 09/15/2020
 
Commercial Mortgage-Backed Security 1,082,383 units
 
1,134,056

 
 
Federal Home Loan Mortgage Corporation Gold #G07924 3.5% Due 01/01/2045
 
Government Mortgage Backed Security 1,074,603 units
 
1,104,978

 
 
Federal Home Loan Mortgage Corporation Pool #G08741 3% Due 01/01/2047
 
Government Mortgage Backed Security 1,085,000 units
 
1,078,503

 
 
Fannie Mae Remic Trust 2010-142 Variable Rate Due 12/25/2040
 
Government Mortgage Backed Security 1,000,000 units
 
1,051,897

 
 
Federal Home Loan Mortgage Corporation Pool #G08716 3.5% Due 08/01/2046
 
Government Mortgage Backed Security 1,023,601 units
 
1,049,099

 
 
Citigroup Inc. 6.125% Due 11/21/2017
 
Corporate Bond 1,005,000 units
 
1,043,802

 
 
United States Treasury Note 2.625% Due 11/15/2020
 
Government Bond 1,000,000 units
 
1,033,594

 
 
Fannie Mae Pool #466430 3.37% Due 11/01/2020
 
Government Mortgage Backed Security 982,217 units
 
1,030,155

 
 
TCW Emerging Markets Income Fund*
 
Collective trust fund 10,637 units
 
1,023,037

 
 
Ginnie Mae II Pool #MA4126 Series 2046 3% Due 12/20/2046
 
Government Mortgage Backed Security 995,000 units
 
1,008,898

 
 
United States Treasury Note 3.125% Due 01/31/2017
 
Government Bond 1,000,000 units
 
1,002,107

 
 
United States Treasury Bond 1% Due 08/15/2018
 
Government Bond 1,000,000 units
 
998,672

 
 
Fannie Mae Pool #465769 3.96% Due 08/01/2020
 
Government Mortgage Backed Security 936,822 units
 
994,921

 
 
Fannie Mae Pool #Al9027 4% Due 09/01/2046
 
Government Mortgage Backed Security 897,651 units
 
943,937

 
 
United States Treasury Note 1% Due 12/31/2017
 
Government Bond 920,000 units
 
920,719

 
 
Ginnie Mae Pool #MA4069 3.5% Due 11/20/2046
 
Government Mortgage Backed Security 882,256 units
 
918,278

 

13



Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2028
 
Government Bond 1,250,000 units
 
900,524

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2021
 
Government Bond 980,000 units
 
887,826

 
 
Federal Home Loan Mortgage Corporation Gold G67700 3.5% Due 08/01/2046
 
Government Mortgage Backed Security 857,717 units
 
881,879

 
 
Fannie Mae Pool #AV5051 4.50% Due 02/01/2044
 
Government Mortgage Backed Security 784,041 units
 
857,163

 
 
Federal Home Loan Mortgage Corporation Series K Class A 2.77% Due 05/25/2025
 
Government Mortgage Backed Security 850,000 units
 
836,662

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2026
 
Government Bond 1,000,000 units
 
789,116

 
 
Fannie Mae Pool #MA2545 3.5% Due 02/01/2046
 
Government Mortgage Backed Security 751,084 units
 
774,807

 
 
United States Treasury Bonds 4.375% Due 05/15/2040
 
Government Bond 620,000 units
 
766,015

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2027
 
Government Bond 1,000,000 units
 
765,100

 
 
United States Treasury Note 1.375% Due 12/31/2018
 
Government Bond 750,000 units
 
752,432

 
 
Fannie Mae Single Family Mortgage 2.5% Due 15 Years
 
Government Mortgage Backed Security 745,000 units
 
746,179

 
 
Fannie Mae Pool #AM2674 2.61% Due 03/01/2023
 
Government Mortgage Backed Security 745,000 units
 
745,766

 
 
SLC Student Loan Trust Floating Rate Due 12/15/2038
 
Asset Backed Security 800,000 units
 
720,758

 
 
Ginnie Mae II Jumbos 3.5% Due 30 Years
 
Government Mortgage Backed Security 685,000 units
 
712,066

 
 
J. P. Morgan Mortgage Floating Rate Due 06/25/2035*
 
Asset Backed Security 745,000 units
 
710,793

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2027
 
Government Bond 950,000 units
 
708,344

 
 
SLM Student Loan Trust 2005-5 Class A-4 Due 10/25/2028
 
Asset Backed Security 720,000 units
 
701,013

 
 
Federal Home Loan Mortgage Corporation Variable Rate 08/25/2023
 
Government Mortgage Backed Security 665,000 units
 
700,824

 
 
Ginnie Mae II Jumbos 3% Due 30 Years
 
Government Mortgage Backed Security 690,000 units
 
698,639

 
 
SLC Student Loan Trust Floating Rate Due 09/15/2039
 
Asset Backed Security 770,000 units
 
694,619

 
 
Federal Home Loan Mortgage Corporation Pool #G08707 4% Due 05/01/2046
 
Government Mortgage Backed Security 660,526 units
 
694,259

 
 
United States Treasury 0% Due 02/15/2030
 
Government Bond 1,000,000 units
 
692,586

 
 
Federal Home Loan Mortgage Corporation Pool #K037 3.49% Due 01/25/2024
 
Government Mortgage Backed Security 650,000 units
 
685,261

 
 
Wachovia Student Loan Floating Rate Due 04/25/2040*
 
Asset Backed Security 780,000 units
 
681,966

 
 
Fannie Mae Pool #AT5907 4% Due 06/01/2043
 
Government Mortgage Backed Security 640,239 units
 
680,557

 
 
Nelnet Student Loan Trust Series 2015-3 Class A-2 Floating Rate Due 02/26/2046
 
Asset Backed Security 695,000 units
 
680,123

 
 
Fannie Mae Pool #MA2740 2.5% Due 09/01/2026
 
Government Mortgage Backed Security 667,613 units
 
678,934

 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR2 Class 1A1A Floating Rate Due 01/25/2045
 
Collateralized Mortgage Obligation 708,009 units
 
677,445

 
 
SLM Student Loan Series 2004-10 Class A-6A Floating Rate Due 04/27/2026
 
Asset Backed Security 680,000 units
 
677,153

 
 
New Century Home Equity Loan Trust Series 2004-2 Class A1 Floating Rate Due 08/25/2034
 
Asset Backed Security 732,252 units
 
675,857

 
 
SLM Student Loan Trust 2014-2 Class A-3 Floating Rate Due 03/26/2029
 
Asset Backed Security 680,000 units
 
674,528

 
 
United States Treasury SEC Stripped Interest Payment 6.5% Due 11/15/2026
 
Government Bond 850,000 units
 
654,634

 
 
Fannie Mae Pool #MA1546 3.5% Due 08/01/2043
 
Government Mortgage Backed Security 632,013 units
 
651,939

 
 
SLM Student Loan Trust 2005/5 Class A-5 Due 10/25/2040
 
Asset Backed Security 700,000 units
 
649,153

 
 
Fannie Mae Remic Trust 2015-M2 Class A3 Variable Rate Due 12/25/2024
 
Government Mortgage Backed Security 630,953 units
 
638,530

 

14



Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Nationstar Home Floating Rate Due 09/25/2036
 
Asset Backed Security 640,715 units
 
621,040

 
 
Fannie Mae Pool #Al6167 3.5% Due 01/01/2044
 
Government Mortgage Backed Security 591,088 units
 
609,668

 
 
Banc of America Funding Corporation Series 2015/R7 Class 1A 1.03833%*
 
Collateralized Mortgage Obligation 629,683 units
 
608,804

 
 
Fannie Mae Pool #AT5915 4% Due 06/01/2043
 
Government Mortgage Backed Security 571,736 units
 
606,534

 
 
Fannie Mae Pool #Am1762 2.39% Due 12/01/2022
 
Government Mortgage Backed Security 607,535 units
 
606,051

 
 
American Credit Acceptance Receivables Series 15-2 Class B 2.97% Due 05/12/2021
 
Asset Backed Security 600,000 units
 
604,216

 
 
The Goldman Sachs Group, Inc. 5.95% Due 01/18/2018
 
Corporate Bond 568,000 units
 
591,709

 
 
SLM Student Loan Trust 2009-3 Class A Variable Rate Due 01/25/2045
 
Asset Backed Security 592,515 units
 
577,760

 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR13 Class A-1A1 Floating Rate Due 10/25/2045
 
Collateralized Mortgage Obligation 603,361 units
 
577,186

 
 
Fannie Mae Pool #Al7092 3% Due 07/01/2045
 
Government Mortgage Backed Security 577,273 units
 
575,085

 
 
GS Mortgage Securities Corporation 2005-9 Class 2A3 Variable Rate Due 08/25/2035
 
Asset Backed Security 591,323 units
 
572,151

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4324 Class AY 3% Due 04/15/2029
 
Government Mortgage Backed Security 568,738 units
 
561,111

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2018
 
Government Bond 565,000 units
 
556,684

 
 
Wellpoint Systems Inc. 1.875% Due 01/15/2018
 
Corporate Bond 555,000 units
 
555,244

 
 
Morgan Stanley 5.95% Due 12/28/2017
 
Corporate Bond 526,000 units
 
547,477

 
 
Fannie Mae Pool #MA1462 3.5% Due 06/01/2043
 
Government Mortgage Backed Security 529,789 units
 
544,471

 
 
J.P. Morgan Mortgage Acquisition Corporation Series 07-Ch1 Class AV5 Floating Rate Due 11/25/2036*
 
Asset Backed Security 551,987 units
 
543,629

 
 
Federal Home Loan Mortgage Corporation Pool #G07957 4% Due 01/01/2045
 
Government Mortgage Backed Security 503,518 units
 
532,953

 
 
Fannie Mae Pool #AM2711 2.57% Due 03/01/2023
 
Government Mortgage Backed Security 528,320 units
 
528,663

 
 
Fannie Mae Pool #AM1990 2.33% Due 01/01/2023
 
Government Mortgage Backed Security 530,333 units
 
527,203

 
 
United States Treasury SEC Stripped Interest Payment Due 08/15/2034
 
Government Bond 875,000 units
 
519,471

 
 
Fannie Mae Pool #BC1158 3.5% Due 02/01/2046
 
Government Mortgage Backed Security 500,255 units
 
513,097

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2022
 
Government Bond 570,000 units
 
512,397

 
 
Federal Home Loan Mortgage Corporation Pool #G08677 4% Due 11/01/2045
 
Government Mortgage Backed Security 486,749 units
 
511,482

 
 
Bank of America Corporation 6.1% Due 06/15/2017*
 
Corporate Bond 500,000 units
 
510,166

 
 
Ginnie Mae 5% Due 03/16/2034
 
Government Mortgage Backed Security 460,000 units
 
506,436

 
 
NextEra Energy Capital Step Coupon 1.586% Due 06/01/2017
 
Corporate Bond 500,000 units
 
500,294

 
 
WEA Financial LLC / Westfield UK & Europe Finance plc 2.7% Due 09/17/2019
 
Corporate Bond 494,000 units
 
499,655

 
 
Ginnie Mae II Pool #MA3736 Series 2046 3.5% Due 06/20/2046
 
Government Mortgage Backed Security 479,924 units
 
499,427

 
 
Ginnie Mae 2011-71 Class ZC 5.5% Due 7/16/2034
 
Government Mortgage Backed Security 441,385 units
 
498,702

 
 
Fannie Mae Pool #Am8674 2.81% Due 04/01/2025
 
Government Mortgage Backed Security 500,000 units
 
497,045

 
 
Federal Home Loan Mortgage Corporation Pool #Al2293 4.374% Due 06/01/2021
 
Government Mortgage Backed Security 457,845 units
 
495,213

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3895 4.5% Due 07/15/2041
 
Government Mortgage Backed Security 450,000 units
 
494,080

 
 
United States Treasury 3.0% Due 11/15/2045
 
Government Bond 500,000 units
 
493,164

 

15



Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Ginnie Mae 3.5% Due 03/20/2046
 
Government Mortgage Backed Security 473,189 units
 
492,418

 
 
Fannie Mae Pool #468559 4.01% Due 08/01/2021
 
Government Mortgage Backed Security 458,629 units
 
491,807

 
 
Morgan Stanley ABS Capital I Inc. 2006-NC1 Pass-Through Class A-4 Due 12/25/2035
 
Asset Backed Security 494,510 units
 
486,545

 
 
Fannie Mae Pool #MA2830 2.5% Due 12/01/2031
 
Government Mortgage Backed Security 482,166 units
 
483,356

 
 
CSAIL 2015-C3 3.7182% Due 08/15/2048
 
Commercial Mortgage-Backed Security 463,000 units
 
482,883

 
 
Citigroup Mortgage Loan Trust Series 2015-6 Class 2A1 Floating Rate Due 12/25/2035
 
Collateralized Mortgage Obligation 503,418 units
 
477,983

 
 
Fannie Mae Remic Series 2015/M4 Class AV2 2.509% Due 07/25/2022
 
Government Mortgage Backed Security 475,000 units
 
476,495

 
 
Fannie Mae Pool #AQ1534 3.5% Due 10/01/2032
 
Government Mortgage Backed Security 458,464 units
 
476,299

 
 
Ba Cr Card Tr 1.36% Due 09/15/2020
 
Asset Backed Security 475,000 units
 
474,781

 
 
Fannie Mae Pool #AM3307 2.85% Due 05/01/2023
 
Government Mortgage Backed Security 465,312 units
 
471,732

 
 
Federal National Mortgage Association Pool #G08676 3.5% Due 11/01/2045
 
Government Mortgage Backed Security 455,062 units
 
466,311

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3677 4.5% Due 05/15/2040
 
Government Mortgage Backed Security 429,591 units
 
462,067

 
 
Ginnie Mae 2007-035 6% Due 06/20/2037
 
Government Mortgage Backed Security 408,693 units
 
458,758

 
 
Fannie Mae Pool #Am7514 3.07% Due 02/01/2025
 
Government Mortgage Backed Security 450,000 units
 
457,722

 
 
Anheuser-Busch 3.65% Due 02/01/2026
 
Corporate Bond 450,000 units
 
456,836

 
 
Fannie Mae Single Family Mortgage 3% Due 15 Years
 
Government Mortgage Backed Security 445,000 units
 
456,647

 
 
Fannie Mae Pool #471834 1.4% Due 07/01/2017
 
Government Mortgage Backed Security 455,000 units
 
454,797

 
 
Federal Home Loan Mortgage Corporation Pool #G08711 3.5% Due 06/01/2046
 
Government Mortgage Backed Security 442,785 units
 
453,803

 
 
Columbia Pipeline Group Inc. 2.45% Due 06/01/2018
 
Corporate Bond 450,000 units
 
452,199

 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR11 Class A1A Floating Rate Due 08/25/2045*
 
Collateralized Mortgage Obligation 469,938 units
 
451,260

 
 
Wells Fargo & Company 3% Due 04/22/2026*
 
Corporate Bond 470,000 units
 
448,489

 
 
DBWF 2015-LCM Mortgage Trust Floating Rate Due 06/10/2034
 
Commercial Mortgage-Backed Security 460,000 units
 
446,036

 
 
Ginnie Mae II Pool #MA3597 Series 2046 3.5% Due 04/20/2046
 
Government Mortgage Backed Security 428,266 units
 
445,670

 
 
Ginnie Mae Pool #783867 6.00% Due 8/15/2036
 
Government Mortgage Backed Security 384,337 units
 
445,211

 
 
Exeter Automobile 1.84% Due 11/16/2020
 
Asset Backed Security 445,083 units
 
444,465

 
 
Fannie Mae Pool #AR7961 3.5% Due 03/01/2033
 
Government Mortgage Backed Security 426,425 units
 
443,016

 
 
Long Beach Mortgage Loan Trust 2005-2 Pass-through Due 04/25/2035*
 
Asset Backed Security 452,508 units
 
441,927

 
 
Fannie Mae Pool #467757 4.33% Due 04/01/2021
 
Government Mortgage Backed Security 410,051 units
 
441,474

 
 
Fannie Mae Pool #AR6380 3.00% Due 02/01/2043
 
Government Mortgage Backed Security 441,953 units
 
441,372

 
 
Fannie Mae Pool #AB7575 3.00% Due 01/01/2043
 
Government Mortgage Backed Security 439,964 units
 
439,838

 
 
Federal National Mortgage Association Pool #Al2965 2.667% Due 12/01/2022
 
Government Mortgage Backed Security 432,601 units
 
439,643

 
 
Discover Bank of Greenwood Delaware 2.6% Due 11/13/2018
 
Corporate Bond 435,000 units
 
438,772

 
 
Fannie Mae Remic Series 2015-M7 Class A2 2.59% Due 12/25/2024
 
Government Mortgage Backed Security 447,000 units
 
438,601

 
 
J.P. Morgan Mortgage Trust 2005/A2 Pass/through Class 1/A-1 Due 04/25/2035*
 
Collateralized Mortgage Obligation 434,623 units
 
433,971

 

16



Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Fannie Mae Series 2013-M7 Class A2 2.28% Due 12/25/2022
 
Government Mortgage Backed Security 441,000 units
 
433,649

 
 
Fannie Mae Series 2014-M3 Class A2 Variable Rate Due 01/25/2024
 
Government Mortgage Backed Security 415,000 units
 
433,122

 
 
Bear Stearns ARM Floating Rate Due 11/25/2034
 
Collateralized Mortgage Obligation 434,559 units
 
432,198

 
 
Fannie Mae 3.726% Due 06/25/2021
 
Government Mortgage Backed Security 410,000 units
 
431,978

 
 
Ginnie Mae 5.5% Due 06/20/2035
 
Government Mortgage Backed Security 383,315 units
 
428,122

 
 
AbbVie Inc. 3.6% Due 05/14/2025
 
Corporate Bond 432,000 units
 
427,891

 
 
Fannie Mae 1.80057001114% Due 12/25/2019
 
Government Mortgage Backed Security 425,000 units
 
426,317

 
 
Federal National Mortgage Association Pool #Al0561 3.738% Due 06/01/2018
 
Government Mortgage Backed Security 415,572 units
 
423,625

 
 
Bank America Corporation 4.1% Due 07/24/2023*
 
Corporate Bond 405,000 units
 
423,063

 
 
Federal Home Loan Mortgage Corporation Gold Pool U9-0291 4% Due 10/01/2042
 
Government Mortgage Backed Security 395,677 units
 
418,301

 
 
Residential Accredit Loans, Inc. Series 03-QA1 Class A2 Floating Rate 12/25/2033
 
Collateralized Mortgage Obligation 482,284 units
 
417,948

 
 
Fannie Mae Pool #MA0214 5% Due 10/01/2029
 
Government Mortgage Backed Security 381,874 units
 
415,924

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2334 Class KB 6.5% Due 05/15/2028
 
Government Mortgage Backed Security 375,883 units
 
414,878

 
 
Fannie Mae Pool #467025 3.38% Due 01/01/2018
 
Government Mortgage Backed Security 410,000 units
 
414,564

 
 
Structured Asset Mortgage Investments II Inc. Series 2004-AR1 Class A1 Floating Rate Due 3/19/2034
 
Collateralized Mortgage Obligation 428,253 units
 
412,850

 
 
Fannie Mae Pool #AQ1607 3.5% Due 11/01/2032
 
Government Mortgage Backed Security 395,348 units
 
410,645

 
 
Fannie Mae Pool #AM5473 3.76% Due 03/01/2024
 
Government Mortgage Backed Security 385,000 units
 
408,919

 
 
Federal Home Loan Mortgage Corporation Gold Pool U89009 3.5% Due 09/01/2032
 
Government Mortgage Backed Security 393,029 units
 
408,441

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 7307 3% Due 8/15/2044
 
Government Mortgage Backed Security 406,402 units
 
404,650

 
 
United Technologies Corporation 1.778% Due 05/04/2018
 
Corporate Bond 400,000 units
 
400,087

 
 
Fannie Mae Pool #465973 3.59% Due 10/01/2020
 
Government Mortgage Backed Security 379,718 units
 
399,973

 
 
GE Capital International Funding Company 4.418% Due 11/15/2035
 
Corporate Bond 381,000 units
 
399,253

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2901 4.5% Due 12/15/2019
 
Government Mortgage Backed Security 380,000 units
 
395,822

 
 
Fannie Mae Pool #MA1373 3.50% Due 03/01/2043
 
Government Mortgage Backed Security 383,665 units
 
395,748

 
 
PRICOA Global Funding 2.2% Due 06/03/2021
 
Corporate Bond 400,000 units
 
392,887

 
 
BBCCRE Trust Series 2015-GTP Class A 3.966% Due 08/10/2033
 
Commercial Mortgage-Backed Security 385,000 units
 
392,622

 
 
Federal Home Loan Mortgage Corporation Pool #G08703 4% Due 04/01/2046
 
Government Mortgage Backed Security 371,214 units
 
390,135

 
 
Farmers Exchange Floating Rate Due 10/15/2054
 
Corporate Bond 400,000 units
 
389,544

 
 
United States Treasury Security 4.5% Due 08/15/2039
 
Government Bond 310,000 units
 
389,292

 
 
Credit Acceptance Auto Loan 2.4% Due 02/15/2023
 
Asset Backed Security 383,000 units
 
384,321

 
 
American Airlines 2013-2 4.95% Due 01/15/2023
 
Corporate Bond 359,601 units
 
383,425

 
 
United States Treasury Note 4.375% Due 11/15/2039
 
Government Bond 310,000 units
 
382,680

 
 
Commercial Mortgage Trust Series 2015-Cr24 Class A5 3.696% Due 08/10/2055
 
Commercial Mortgage-Backed Security 366,146 units
 
380,075

 
 
United States Treasury Bond 8.125% Due 02/15/2021
 
Government Bond 300,000 units
 
378,609

 
 
Fannie Mae Variable Rate Due 07/25/2024
 
Government Mortgage Backed Security 373,000 units
 
378,281

 
 
Progress Residential Series 2015-SFR2 Class A 2.74% Due 06/12/2032
 
Asset Backed Security 380,255 units
 
377,718

 

17



Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Charter 4.464% Due 07/23/2022
 
Corporate Bond 355,000 units
 
370,986

 
 
Fannie Mae Series 2011-M2 3.645% Due 07/25/2021
 
Government Mortgage Backed Security 355,000 units
 
369,736

 
 
Fannie Mae Pool #468564 4.06% Due 07/01/2021
 
Government Mortgage Backed Security 337,993 units
 
363,078

 
 
Federal Home Loan Mortgage Corporation Pool #S0/6297 3.5% Due 09/15/2042
 
Government Mortgage Backed Security 347,763 units
 
360,245

 
 
Fannie Mae Pool #AM5079 3.45% Due 01/01/2024
 
Government Mortgage Backed Security 344,747 units
 
359,138

 
 
United States Treasury Bond 1.375% Due 02/15/2044
 
Index Linked Government Bond 316,600 units
 
358,334

 
 
Wells Fargo Commercial 3.664% Due 09/15/2048*
 
Commercial Mortgage-Backed Security 346,000 units
 
357,900

 
 
Flagship CLO VIII Ltd. / Flagship Series 2014-8A Class A Floating Rate Due 01/16/2026
 
Asset Backed Security 355,000 units
 
356,119

 
 
Magnetite IX, Ltd. / Magnetite IX LLC Class A-1 Floating Rate Due 07/25/2026
 
Asset Backed Security 355,000 units
 
355,146

 
 
Exelon Corporation 1.55% Due 06/09/2017
 
Corporate Bond 355,000 units
 
354,354

 
 
Honda Auto 1.04% Due 04/18/2019
 
Asset Backed Security 355,000 units
 
354,153

 
 
Aetna Inc. 2.8% Due 06/15/2023
 
Corporate Bond 358,000 units
 
352,633

 
 
Fannie Mae Remic Series 2003-W2 5.9% Due 07/25/2042
 
Government Mortgage Backed Security 316,354 units
 
352,612

 
 
Berkshire Hathaway Inc. 4.4% Due 05/15/2042
 
Corporate Bond 334,000 units
 
351,620

 
 
Public Service Electric and Gas Company 4.05% Due 05/01/2045
 
Corporate Bond 350,000 units
 
350,467

 
 
Voya CLO 2014-2 Ltd. 2014-2 Class A1 Floating Rate Due 07/17/2026
 
Asset Backed Security 350,000 units
 
350,242

 
 
Pernod Ricard SA 2.95% Due 01/15/2017
 
Corporate Bond 350,000 units
 
350,189

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2020
 
Government Bond 370,000 units
 
350,124

 
 
Ginnie Mae 5.25% Due 03/20/2038
 
Government Mortgage Backed Security 317,287 units
 
348,687

 
 
Fannie Mae Pool #MA1866 4.50% Due 04/01/2044
 
Government Mortgage Backed Security 318,829 units
 
348,477

 
 
Fannie Mae Pool #469688 3.38% Due 12/01/2021
 
Government Mortgage Backed Security 332,683 units
 
348,461

 
 
Federal Home Loan Mortgage Corporation Pool #G0-7239 3.00% Due 12/01/2042
 
Government Mortgage Backed Security 347,534 units
 
347,392

 
 
Fannie Mae Pool #Al9472 4% Due 10/01/2043
 
Government Mortgage Backed Security 327,789 units
 
346,271

 
 
Federal Home Loan Mortgage Corporation Tranche 00839 2.615% Due 01/25/2023
 
Government Mortgage Backed Security 345,000 units
 
345,759

 
 
Citibank Credit Card Issuance Trust 2008-A2 Floating Rate Due 01/23/2020
 
Asset Backed Security 340,000 units
 
343,493

 
 
Fannie Mae Pool #AM4764 3.44% Due 11/01/2023
 
Government Mortgage Backed Security 329,775 units
 
343,296

 
 
Impac Secured Assets Corporation 2004-3 Pass-Through Class M-1 Floating Rate Due 11/25/2034
 
Collateralized Mortgage Obligation 370,000 units
 
343,162

 
 
Protective Life Global Funding 1.722% Due 04/15/2019
 
Corporate Bond 345,000 units
 
342,240

 
 
Navient Student Loan Trust Series 2015-3 Class B Floating Rate Due 10/25/2058
 
Asset Backed Security 400,000 units
 
340,287

 
 
Ginnie Mae Pool #MA3663 3.5% Due 05/20/2046
 
Government Mortgage Backed Security 326,736 units
 
340,014

 
 
Gilead Sciences, Inc. 4.15% Due 03/01/2047
 
Corporate Bond 355,000 units
 
337,180

 
 
Fannie Mae Pool #MA2010 4.00% Due 08/01/2044
 
Government Mortgage Backed Security 316,590 units
 
336,666

 
 
Duquesne Light Holdings, Inc. 6.4% Due 09/15/2020
 
Corporate Bond 300,000 units
 
334,736

 
 
Ocwen Master Advance Receivables Trust Series 15-T3 Class AT3 3.211% Due 11/15/2047
 
Asset Backed Security 334,000 units
 
333,930

 
 
Credit Suisse First Boston Mortgage Securities Corporation 2004-AR6 Pass-Through Class 2-A Variable Rate Due 10/25/34
 
Collateralized Mortgage Obligation 333,089 units
 
330,166

 
 
Boston Properties Ltd. Partnership 3.8% Due 02/01/2024
 
Corporate Bond 325,000 units
 
329,617

 

18



Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Actavis Funding SCS 4.75% Due 03/15/2045
 
Corporate Bond 333,000 units
 
326,917

 
 
Federal Home Loan Mortgage Corporation Series 4374 Class NC Step-up Due 02/15/2046
 
Government Mortgage Backed Security 315,938 units
 
326,822

 
 
Teva 2.8% Due 07/21/2023
 
Corporate Bond 345,000 units
 
326,574

 
 
Duke Energy Corporation 3.75% Due 06/01/2045
 
Corporate Bond 343,000 units
 
326,511

 
 
Fannie Mae Pool #Am4407 3.65% Due 09/01/2023
 
Government Mortgage Backed Security 309,425 units
 
325,603

 
 
Fannie Mae Pool #FN0001 3.766% Due 12/01/2020
 
Government Mortgage Backed Security 307,407 units
 
324,454

 
 
Americredit Corporation 1.27% Due 01/08/2020
 
Asset Backed Security 321,411 units
 
321,367

 
 
Chase Issuance Trust Series 2007-A2 Class A2 Floating Rate Due 04/15/2019*
 
Asset Backed Security 320,000 units
 
320,000

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3662 5% Due 04/15/2040
 
Government Mortgage Backed Security 291,768 units
 
318,468

 
 
J.P. Morgan Chase & Company 6.0% Due 01/15/2018*
 
Corporate Bond 305,000 units
 
318,153

 
 
CVS Health Corp 5.125% Due 07/20/2045
 
Corporate Bond 285,000 units
 
317,617

 
 
Federal Home Loan Mortgage Corporation Pool #G08737 3% Due 12/01/2046
 
Government Mortgage Backed Security 319,204 units
 
317,293

 
 
Verizon Communications Inc. 4.862% Due 08/21/2046
 
Corporate Bond 313,000 units
 
317,161

 
 
Continental Airlines, Inc. Pass/Through Series 2000/1 Class A-1 8.048% Due 5/1/2022
 
Corporate Bond 283,442 units
 
314,975

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2031
 
Government Bond 470,000 units
 
311,438

 
 
Ginnie Mae 6% Due 11/16/2032
 
Government Mortgage Backed Security 276,511 units
 
311,402

 
 
Bank America Corporation 5.75% Due 12/01/2017*
 
Corporate Bond 300,000 units
 
310,755

 
 
The Goldman Sachs Group, Inc. 5.25% Due 07/27/2021
 
Corporate Bond 283,000 units
 
310,165

 
 
Commercial Mortgage Trust Series 2015-CRE25 Class A-4 3.759% Due 08/10/2048
 
Commercial Mortgage-Backed Security 297,000 units
 
309,915

 
 
Fannie Mae Pool #MA1510 4.00% Due 07/01/2043
 
Government Mortgage Backed Security 291,238 units
 
308,944

 
 
Fannie Mae Remic Series 416 Class A300 3% Due 11/25/2042
 
Government Mortgage Backed Security 312,409 units
 
308,579

 
 
Encore Credit Floating Rate Due 01/25/2036
 
Asset Backed Security 308,833 units
 
307,932

 
 
Ginnie Mae Pool 2013-H05 Remic Pass-Through Class FB Floating Rate Due 02/20/2062
 
Government Mortgage Backed Security 306,896 units
 
306,728

 
 
Appalachian Power Company 4.45% Due 06/01/2045
 
Corporate Bond 300,000 units
 
306,527

 
 
Morgan Stanley 7.3% Due 05/13/2019
 
Corporate Bond 275,000 units
 
306,426

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 323 Class 300 Due 01/15/2044
 
Government Mortgage Backed Security 303,979 units
 
302,487

 
 
Fannie Mae Pool #Fn0009 3.414% Due 10/01/2020
 
Government Mortgage Backed Security 288,096 units
 
300,713

 
 
Ford Motor Credit Company LLC Floating Rate Due 01/09/2018
 
Corporate Bond 298,000 units
 
298,876

 
 
Fannie Mae Pool #Am4493 3.92% Due 10/01/2023
 
Government Mortgage Backed Security 280,000 units
 
298,548

 
 
VNDO Mortgage Trust 2012-6 2.9950% Due 11/15/2030
 
Commercial Mortgage-Backed Security 295,237 units
 
297,959

 
 
National Credit Union Association Guaranteed Trust 2010-R3 Due 12/06/2020
 
Government Mortgage Backed Security 293,399 units
 
294,180

 
 
Bank of America Corporation 6% Due 09/01/2017*
 
Corporate Bond 285,000 units
 
293,259

 
 
Fannie Mae Remic Trust 2004-W12 6.5% Due 07/25/2044
 
Government Mortgage Backed Security 250,856 units
 
293,244

 
 
Bank of America Corporation 4% Due 01/22/2025*
 
Corporate Bond 292,000 units
 
292,367

 
 
Fannie Mae Pool #AM6429 3.58% Due 08/01/2029
 
Government Mortgage Backed Security 280,065 units
 
291,422

 
 
Fannie Mae Pool #467136 4.57% Due 01/01/2021
 
Government Mortgage Backed Security 267,140 units
 
290,134

 
 
Capital Auto 1.72% Due 01/22/2019
 
Asset Backed Security 289,000 units
 
289,699

 
 
DT Auto Owner Trust 2016/3 Class A 1.75% Due 11/15/2019
 
Asset Backed Security 288,147 units
 
288,446

 
 
Fannie Mae Remic Series 2014-M1 Class A Floating Rate Due 07/25/2023
 
Government Mortgage Backed Security 275,000 units
 
283,918

 
 
AT&T Inc. 4.8% Due 06/15/2044
 
Corporate Bond 300,000 units
 
283,474

 
 
Fannie Mae Pool #MA1900 4.50% Due 04/01/2044
 
Government Mortgage Backed Security 257,381 units
 
281,306

 
 
Citigroup Inc. 4.25% Due 08/15/2017
 
Corporate Bond 275,000 units
 
278,781

 
 
United States Treasury Note .75% Due 10/31/2018
 
Government Bond 280,000 units
 
277,987

 
 
Jersey Central Power & Light Company 4.7% Due 04/01/2024
 
Corporate Bond 261,000 units
 
277,709

 
 
MetLife Global 1.95% Due 09/15/2021*
 
Corporate Bond 285,000 units
 
277,070

 
 
Ventas Realty Ltd. 3.5% Due 02/01/2025
 
Corporate Bond 280,000 units
 
275,667

 
 
HCA Inc. 6.5% Due 02/15/2020
 
Corporate Bond 250,000 units
 
273,500

 
 
UBS AG Stamford Branch 1.8% Due 03/26/2018
 
Corporate Bond 271,000 units
 
271,187

 
 
Fannie Mae Remic Series 2004-T1 6% Due 01/25/2044
 
Government Mortgage Backed Security 242,244 units
 
270,853

 
 
Wachovia Bank National Association 6% Due 11/15/2017*
 
Corporate Bond 260,000 units
 
269,826

 
 
PFP 2015-2 Ltd./PFP 2015-2 LLC Class A Variable Rate Due 07/14/2034
 
Commercial Mortgage-Backed Security 269,970 units
 
269,707

 
 
Fannie Mae Pool #MA1900 4.50% Due 05/01/2039
 
Government Mortgage Backed Security 245,390 units
 
268,258

 
 
Opteum Mortgage Acceptance Corporation 2005-4 Class I-A1C Floating Rate Due 11/25/2035
 
Collateralized Mortgage Obligation 269,288 units
 
266,761

 
 
Fannie Mae Pool #AM6430 3.58% Due 08/01/2029
 
Government Mortgage Backed Security 255,922 units
 
266,300

 
 
Trafigura Securitizations Finance plc Floating Rate Due 10/15/2021
 
Asset Backed Security 266,000 units
 
265,358

 
 
Colony American Finance 2016/2 2.554% Due 11/15/2048
 
Asset Backed Security 271,459 units
 
264,272

 
 
Fannie Mae Pool #AN0335 3.39% Due 01/01/2031
 
Government Mortgage Backed Security 260,000 units
 
264,000

 
 
Fannie Mae Pool #AM9491 3.55% Due 08/01/2030
 
Government Mortgage Backed Security 255,148 units
 
263,340

 
 
Federal Home Loan Mortgage Corporation Pool #G18592 3% Due 03/01/2031
 
Government Mortgage Backed Security 255,941 units
 
262,835

 
 
Fannie Mae Pool #AM4198 3.55% Due 03/01/2024
 
Government Mortgage Backed Security 250,254 units
 
262,261

 
 
Fannie Mae Pool #Am8203 2.74% Due 03/01/2025
 
Government Mortgage Backed Security 261,844 units
 
260,402

 
 
Fannie Mae Series 2002-86 6% Due 09/25/2032
 
Government Mortgage Backed Security 228,541 units
 
260,144

 
 
J.P. Morgan Chase Bank of New York 6% Due 10/01/2017*
 
Corporate Bond 250,000 units
 
257,996

 
 
Metlife Inc. 7.8% Due 11/01/2025*
 
Corporate Bond 205,000 units
 
257,960

 
 
Fannie Mae Pool #AN1835 2.535% Due 07/01/2028
 
Government Mortgage Backed Security 275,000 units
 
257,758

 
 
Fannie Mae Series 2009-W1 6% Due 12/25/2049
 
Government Mortgage Backed Security 227,393 units
 
257,751

 
 
SLM Student Loan Trust 2003-12 Class A-5 Variable Rate Due 09/15/2022
 
Asset Backed Security 257,685 units
 
257,344

 
 
Fannie Mae Pool #AM6428 3.58% Due 08/01/2029
 
Government Mortgage Backed Security 246,264 units
 
256,251

 
 
United States Treasury Bond 4.24% Due 05/15/2039
 
Government Bond 210,000 units
 
254,961

 
 
Federal Home Loan Mortgage Corporation Series 2899 4% Due 12/15/2019
 
Government Mortgage Backed Security 248,405 units
 
253,704

 
 
The Goldman Sachs Group, Inc. 3.85% Due 07/08/2024
 
Corporate Bond 248,000 units
 
253,156

 
 
Fannie Mae Series 2013-96 3.5% Due 09/25/2038
 
Government Mortgage Backed Security 243,185 units
 
252,251

 
 
American Home Mortgage Investment Trust Series 2004-3 Class 5A Variable Rate Due 10/25/2034
 
Collateralized Mortgage Obligation 251,764 units
 
251,748

 
 
J.P. Morgan Chase & Company 1.8% Due 01/25/2018*
 
Corporate Bond 250,000 units
 
250,277

 
 
UBS Commercial Mortgage Trust 2012-C1 Variable Rate Due 05/10/2045
 
Commercial Mortgage-Backed Security 250,000 units
 
249,972

 
 
UBS AG Stamford Branch 1.375% Due 06/01/2017
 
Corporate Bond 250,000 units
 
249,942

 
 
Fannie Mae Pool #Am6501 3.32% Due 08/01/2026
 
Government Mortgage Backed Security 245,000 units
 
249,852

 
 
Stadshypotek AB (publ) 1.875% Due 10/02/2019
 
Corporate Bond 250,000 units
 
248,715

 
 
Fannie Mae Remic Trust 2007-93 4.50% Due 09/25/2037
 
Government Mortgage Backed Security 226,320 units
 
247,007

 
 
GS Mortgage Securities Corporation Trust 2011-GC5 Due 08/10/2044
 
Commercial Mortgage-Backed Security 245,000 units
 
243,389

 
 
Bank of America Corporation 5.65% Due 05/01/2018*
 
Corporate Bond 230,000 units
 
240,985

 
 
Westgate Resorts 2.15% Due 12/20/2026
 
Corporate Bond 243,407 units
 
240,668

 
 
J.P. Morgan Chase & Company 4.25% Due 10/01/2027*
 
Corporate Bond 230,000 units
 
236,308

 
 
Ginnie Mae 2015-H32 Remic Pass-Through Class FH Due 12/20/2065
 
Government Mortgage Backed Security 235,627 units
 
235,912

 
 
Siemens 2% Due 09/15/2023
 
Corporate Bond 250,000 units
 
235,885

 
 
Oracle Corporation 3.625% Due 07/15/2023
 
Corporate Bond 224,000 units
 
234,770

 
 
UnitedHealth Group, Inc. 4.625% Due 07/15/2035
 
Corporate Bond 215,000 units
 
234,358

 
 
Fannie Mae Remic Trust 2001-81 6.5% Due 01/25/2032
 
Government Mortgage Backed Security 201,836 units
 
228,929

 
 
Microsoft Corporation 3.75% Due 02/12/2045
 
Corporate Bond 242,000 units
 
226,936

 
 
Apple Inc. 4.65% Due 02/23/2046
 
Corporate Bond 210,000 units
 
226,768

 
 
Anadarko Petroleum Corporation 6.45% Due 09/15/2036
 
Corporate Bond 190,000 units
 
226,132

 
 
Nordea Bank 1.625% Due 05/15/2018
 
Corporate Bond 225,000 units
 
224,460

 
 
Americredit Corporation 1.26% Due 11/08/2019
 
Asset Backed Security 223,322 units
 
223,321

 
 
Wachovia Corporation 5.75% Due 02/01/2018*
 
Corporate Bond 210,000 units
 
218,945

 
 
UBS/Bank of America Merrill Lynch Trust Series 2012-WRM 3.663% Due 06/10/2030*
 
Commercial Mortgage-Backed Security 211,000 units
 
215,539

 
 
HSBC Bank plc 4.75% Due 01/19/2021
 
Corporate Bond 200,000 units
 
214,337

 
 
Conoco Inc. 6.95% Due 04/15/2029
 
Corporate Bond 170,000 units
 
213,785

 
 
Kraft Heinz Foods Co 1.6% Due 06/30/2017
 
Corporate Bond 213,000 units
 
213,171

 
 
Fannie Mae Pool #AN1161 3.05% Due 04/01/2028
 
Government Mortgage Backed Security 215,000 units
 
212,079

 
 
New York State Dormitory Authority 5.289% Due 03/15/2033
 
Municipal/Provincial Bond 180,000 units
 
209,270

 
 
Comcast Corporation 4.4% Due 08/15/2035
 
Corporate Bond 200,000 units
 
209,228

 
 
General Motors Financial Company, Inc. 4.75 Due 08/15/2017
 
Corporate Bond 205,000 units
 
208,888

 
 
Continental Airlines, Inc. Pass/Through 5.983% Due 04/19/2023
 
Corporate Bond 188,612 units
 
208,416

 
 
CPS Auto 1.65% Due 11/15/2019
 
Asset Backed Security 207,790 units
 
207,910

 
 
UBS Commercial Mortgage 2007 C7 Variable Rate Mortgage Pass Thru Class A/3 09/15/2045
 
Commercial Mortgage-Backed Security 201,969 units
 
206,957

 
 
UBS-Barclays Commercial Mortgage Trust 2012-C2 3.52500009537% Due 05/10/2063
 
Commercial Mortgage-Backed Security 197,600 units
 
206,754

 
 
Energy Transfer 5.15% Due 03/15/2045
 
Corporate Bond 215,000 units
 
206,202

 
 
The Goldman Sachs Group, Inc. 5.375% Due 03/15/2020
 
Corporate Bond 190,000 units
 
206,147

 
 
Merrill Lynch & Co., Inc. 6.4% Due 08/28/2017*
 
Corporate Bond 200,000 units
 
206,133

 
 
Fannie Mae Remic Trust 2010/137 4.5% Due 10/25/2040
 
Government Mortgage Backed Security 197,804 units
 
204,425

 
 
Federal Home Loan Mortgage Corporation Multiclass Tranche 2.72% Due 07/25/2026
 
Government Mortgage Backed Security 210,000 units
 
203,386

 
 
General Electric Capital Corporation 3.1% Due 01/09/2023
 
Corporate Bond 200,000 units
 
202,695

 
 
Shell International Finance BV 4.375% Due 05/11/2045
 
Corporate Bond 200,000 units
 
202,595

 
 
MidAmerican Energy 4.8% Due 09/15/2043
 
Corporate Bond 183,000 units
 
202,429

 
 
North Shore Long Island 4.8% Due 11/01/2042
 
Corporate Bond 200,000 units
 
202,286

 
 
Ford Motor Credit Company LLC 3.336% Due 03/18/2021
 
Corporate Bond 200,000 units
 
201,388

 
 
Santander UK plc 1.65% Due 09/29/2017
 
Corporate Bond 200,000 units
 
200,212

 
 
Healthcare Realty Trust Inc. 3.75% Due 04/15/2023
 
Corporate Bond 200,000 units
 
199,285

 
 
Santander Dr Auto 1.5% Due 08/17/2020
 
Asset Backed Security 199,000 units
 
198,120

 
 
Williams Partners LP 3.6% Due 03/15/2022
 
Corporate Bond 197,000 units
 
198,042

 
 
Healthcare Trust of America Inc. 3.5% Due 08/01/2026
 
Corporate Bond 205,000 units
 
195,904

 
 
Bank of New York Mellon Corporation 2.5% Due 04/15/2021
 
Corporate Bond 195,000 units
 
195,217

 
 
Hyundai Auto 1.12% Due 11/15/2019
 
Asset Backed Security 193,000 units
 
192,647

 
 
Federal Home Loan Mortgage Corporation Pool #G18626 2.5% Due 01/01/2032
 
Government Mortgage Backed Security 190,000 units
 
190,512

 
 
Ford Credit Auto Owner 1.28% Due 09/15/2019
 
Asset Backed Security 189,770 units
 
189,845

 
 
Texas Eastern Transmission, LP 2.8% Due 10/15/2022
 
Corporate Bond 195,000 units
 
189,805

 
 
AT&T Inc. 4.75% Due 05/15/2046
 
Corporate Bond 200,000 units
 
189,484

 
 
Volt XXXII LLC Series 2015-NPL3 Class A1144A 3.375% Due 10/25/2058
 
Asset Backed Security 189,717 units
 
189,452

 
 
Hyundai Auto 1.05% Due 04/15/2019
 
Asset Backed Security 188,745 units
 
188,646

 
 
Bank of America Corporation 4.125% Due 01/22/2024*
 
Corporate Bond 181,000 units
 
188,104

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2072 6.5% Due 07/15/2028
 
Government Mortgage Backed Security 164,920 units
 
185,773

 
 
BP Capital Markets plc 3.062% Due 03/17/2022
 
Corporate Bond 183,000 units
 
185,105

 
 
Nissan Auto .87000000477% Due 11/15/2018
 
Asset Backed Security 185,112 units
 
185,007

 
 
Federal Home Loan Mortgage Corporation Series 2595 5% Due 04/15/2023
 
Government Mortgage Backed Security 173,946 units
 
184,703

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2980 6% Due 05/15/2035
 
Government Mortgage Backed Security 160,461 units
 
182,195

 
 
Westlake 1.57% Due 06/17/2019
 
Asset Backed Security 182,000 units
 
182,159

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3415 Class TF Due 08/15/2035
 
Government Mortgage Backed Security 179,668 units
 
182,073

 
 
Springleaf Mortgage Loan Trust 2013-2 Class M-1 Variable Rate Due 12/25/2065
 
Collateralized Mortgage Obligation 181,000 units
 
181,556

 
 
Wal-Mart Stores, Inc. 4.75% Due 10/02/2043
 
Corporate Bond 160,000 units
 
179,415

 
 
United States Treasury Note 1% Due 06/30/2019
 
Government Bond 180,000 units
 
178,594

 
 
Newell Rubbermaid Inc. 3.85% Due 04/01/2023
 
Corporate Bond 170,000 units
 
176,342

 
 
Honda Auto .82% Due 07/23/2018
 
Asset Backed Security 175,838 units
 
175,725

 
 
Verizon Communications Inc. 4.522% Due 09/15/2048
 
Corporate Bond 183,000 units
 
175,481

 
 
Springleaf Mortgage Loan Trust 2013-2 Class M-2 Variable Rate 12/25/2065
 
Collateralized Mortgage Obligation 175,000 units
 
175,451

 
 
Fannie Mae Pool #Ap0645 3.5% Due 07/01/2032
 
Government Mortgage Backed Security 167,736 units
 
174,226

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4168 Class JA 3.5% Due 02/15/2043
 
Government Mortgage Backed Security 169,315 units
 
173,527

 
 
WFRBS Commercial Mortgage Trust Variable Rate Due 03/15/2045
 
Commercial Mortgage-Backed Security 190,000 units
 
173,088

 
 
Ginnie Mae Pool 2012-84 Class LI I-O 4% Due 05/16/2042
 
Government Mortgage Backed Security 978,799 units
 
171,044

 
 
J. P. Morgan Mortgage Floating Rate Due 06/25/2035*
 
Asset Backed Security 168,971 units
 
168,624

 
 
HSBC Holdings plc 4% Due 03/30/2022
 
Corporate Bond 163,000 units
 
168,599

 
 
Morgan Stanley 5.75% Due 01/25/2021
 
Corporate Bond 150,000 units
 
166,436

 
 
Wells Fargo & Company 4.48% Due 01/16/2024*
 
Corporate Bond 158,000 units
 
166,320

 
 
Buckeye Partners LP 3.95% Due 12/01/2026
 
Corporate Bond 170,000 units
 
165,445

 
 
Fannie Mae Preassign 00653 5.5% Due 03/25/2023
 
Government Mortgage Backed Security 151,864 units
 
164,284

 
 
Royal Bank of Canada 1.2% Due 09/19/2017
 
Corporate Bond 163,000 units
 
162,781

 
 
Fannie Mae Remic Series 2013-6 Class GI 09/25/2032
 
Government Mortgage Backed Security 1,518,375 units
 
162,676

 
 
Telefonica 5.134% Due 04/27/2020
 
Corporate Bond 150,000 units
 
160,719

 
 
Biogen Inc. 5.2% Due 09/15/2045
 
Corporate Bond 150,000 units
 
160,522

 
 
CarFinance Capital Auto Trust 2014-2 Class B 2.64% Due 11/16/2020
 
Asset Backed Security 160,000 units
 
160,344

 
 
Enterprise Products Company 3.75% Due 02/15/2025
 
Corporate Bond 157,000 units
 
159,522

 
 
Total Capital Canada Ltd. 2.75% Due 07/15/2023
 
Corporate Bond 160,000 units
 
158,331

 
 
J.P. Morgan Chase & Company 4.25% Due 10/15/2020*
 
Corporate Bond 149,000 units
 
157,677

 
 
Fannie Mae Tranche 00743 3.5% Due 10/25/2037
 
Government Mortgage Backed Security 151,505 units
 
157,434

 
 
Cox Communications, Inc. 3.85% Due 02/01/2025
 
Corporate Bond 160,000 units
 
156,920

 
 
Healthcare Realty Trust Inc. 5.75% Due 01/15/2021
 
Corporate Bond 142,000 units
 
156,066

 
 
Celgene Corporation 5% Due 08/15/2045
 
Corporate Bond 150,000 units
 
155,960

 
 
Merrill Lynch Mortgage Investors, Inc. Series 2003-5 Class A-1 Due 10/25/2028*
 
Collateralized Mortgage Obligation 159,235 units
 
155,474

 
 
General Electric Company 4.5% Due 03/11/2044
 
Corporate Bond 144,000 units
 
154,580

 
 
Fannie Mae Preassign 00166 6.5% Due 08/25/2036
 
Government Mortgage Backed Security 136,009 units
 
154,228

 
 
Residential Accredit Loans, Inc. Pass-Through Trust Series 2004-QS7 5.5% Due 05/25/2034
 
Collateralized Mortgage Obligation 151,366 units
 
153,678

 
 
General Electric Capital Corporation 5.5% Due 01/08/2020
 
Corporate Bond 140,000 units
 
153,397

 
 
HCP, Inc. 4.2% Due 03/01/2024
 
Corporate Bond 150,000 units
 
152,666

 
 
Ginnie Mae 0% Due 12/20/2040
 
Government Mortgage Backed Security 182,913 units
 
151,176

 
 
Spectra Energy Capital 5.65% Due 03/01/2020
 
Corporate Bond 141,000 units
 
151,120

 
 
Federal Home Loan Mortgage Corporation Series 3852 Floating Rate Due 05/15/2041