x | ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
¨ | TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
A. | Full title of the plan and the address of the plan, if different from that of issuer named below: |
B. | Name of issuer of the securities held pursuant to the plan and the address of its principal executive office: |
Page | |
Financial Statements: | |
Supplemental Schedules: | |
Exhibit 23: Consent of Independent Registered Public Accounting Firm |
December 31, | 2013 | 2012 | |||||
Assets | |||||||
Investments, at fair value: | |||||||
Common/collective trust funds | $ | 8,486,925,279 | $ | 5,880,398,553 | |||
Equity securities | 4,884,966,018 | 3,876,713,001 | |||||
Synthetic guaranteed investment contracts | 2,202,431,151 | 2,110,600,307 | |||||
Registered investment companies (mutual funds) | 1,475,607,329 | 1,626,711,082 | |||||
Corporate debt securities | 1,172,329,979 | 1,162,772,682 | |||||
U.S. federal, state, local and non-U.S. government securities | 807,836,429 | 893,719,742 | |||||
Mortgage-backed securities | 89,460,193 | 124,799,833 | |||||
Derivative receivables | 5,452,169 | 2,155,221 | |||||
Money market funds and other | 288,831,030 | 375,911,078 | |||||
Total investments at fair value | 19,413,839,577 | 16,053,781,499 | |||||
Receivables: | |||||||
Contributing employers’ contributions receivable | 443,435,973 | 412,324,672 | |||||
Notes receivable from participants | 463,672,756 | 394,538,344 | |||||
Due from brokers for investment securities sold | 80,626,839 | 99,087,744 | |||||
Participants’ contributions receivable | 28,080,316 | 26,815,375 | |||||
Dividends and interest receivable | 16,422,656 | 15,958,997 | |||||
Other receivables | 4,797,069 | 2,344,573 | |||||
Total assets | 20,450,875,186 | 17,004,851,204 | |||||
Liabilities | |||||||
Securities sold, not yet purchased | 77,923,041 | 1,308,058 | |||||
Derivative payables | 2,780,710 | 2,666,599 | |||||
Total liabilities at fair value | 80,703,751 | 3,974,657 | |||||
Payable for securities and interest purchased | 247,417,909 | 283,610,708 | |||||
Accrued expenses | 4,774,984 | 3,304,366 | |||||
Other | 348,010 | 67,945 | |||||
Total liabilities | 333,244,654 | 290,957,676 | |||||
Net assets reflecting all investments at fair value | 20,117,630,532 | 16,713,893,528 | |||||
Adjustment from fair value to contract value for fully benefit-responsive synthetic guaranteed investment contracts | 346,616 | (52,497,941 | ) | ||||
Net assets available for benefits | $ | 20,117,977,148 | $ | 16,661,395,587 |
Years Ended December 31, | 2013 | 2012 | |||||
Additions | |||||||
Contributions: | |||||||
Participants | $ | 848,007,132 | $ | 789,173,600 | |||
Employers | 438,186,359 | 409,539,173 | |||||
Rollovers | 123,655,839 | 86,237,496 | |||||
Total contributions | 1,409,849,330 | 1,284,950,269 | |||||
Investment activities: | |||||||
Dividend income: | |||||||
JPMorgan Chase & Co. common stock | 74,673,879 | 71,065,100 | |||||
Other | 80,036,092 | 85,594,512 | |||||
Interest income | 68,666,420 | 64,630,114 | |||||
Net appreciation/(depreciation) in fair value of investments | 3,235,887,251 | 1,949,740,271 | |||||
Increase in net assets available for benefits from investment activities | 3,459,263,642 | 2,171,029,997 | |||||
Interest income on notes receivable from participants | 13,685,968 | 12,761,233 | |||||
Other income | 6,771,672 | — | |||||
Total additions | 4,889,570,612 | 3,468,741,499 | |||||
Deductions | |||||||
Benefits paid to participants | 1,419,335,071 | 1,227,490,463 | |||||
Administrative expenses | 13,653,980 | 12,030,558 | |||||
Total deductions | 1,432,989,051 | 1,239,521,021 | |||||
Net change during the year | 3,456,581,561 | 2,229,220,478 | |||||
Net assets available for benefits, beginning of year | 16,661,395,587 | 14,432,175,109 | |||||
Net assets available for benefits, end of year | $ | 20,117,977,148 | $ | 16,661,395,587 |
• | Level 1 — inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. |
• | Level 2 — inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. |
• | Level 3 — one or more inputs to the valuation methodology are unobservable and significant to the fair value measurement. |
December 31, 2013 | Level 1(a) | Level 2(a) | Total fair value | |||||||||
Common/collective trust funds: | ||||||||||||
Large cap U.S. equity funds | $ | — | $ | 5,034,284,725 | $ | 5,034,284,725 | ||||||
Small cap U.S. equity funds | — | 853,073,942 | 853,073,942 | |||||||||
Large cap non-U.S. equity funds | — | 1,537,410,844 | 1,537,410,844 | |||||||||
Small cap non-U.S. equity funds | — | 269,186,920 | 269,186,920 | |||||||||
U.S. fixed income funds | — | 570,638,222 | 570,638,222 | |||||||||
Non-U.S. fixed income funds | — | 78,417,660 | 78,417,660 | |||||||||
Real estate funds | — | 139,194,792 | 139,194,792 | |||||||||
Commodity funds | — | 4,718,174 | 4,718,174 | |||||||||
Total common/collective trust funds | — | 8,486,925,279 | 8,486,925,279 | |||||||||
Equity securities: | ||||||||||||
JPMorgan Chase & Co. | 3,193,148,001 | — | 3,193,148,001 | |||||||||
Other banks and finance companies | 267,308,506 | — | 267,308,506 | |||||||||
Total banks and finance companies | 3,460,456,507 | — | 3,460,456,507 | |||||||||
Capital equipment | 313,100,081 | 32 | 313,100,113 | |||||||||
Consumer goods | 271,713,587 | 1,838 | 271,715,425 | |||||||||
Business services | 170,332,481 | — | 170,332,481 | |||||||||
Materials | 144,202,594 | — | 144,202,594 | |||||||||
Energy | 103,195,767 | — | 103,195,767 | |||||||||
Real estate | 43,677,050 | — | 43,677,050 | |||||||||
Other | 378,285,720 | 361 | 378,286,081 | |||||||||
Total equity securities | 4,884,963,787 | 2,231 | 4,884,966,018 | |||||||||
Synthetic guaranteed investment contracts | — | 2,202,431,151 | 2,202,431,151 | |||||||||
Registered investment companies (mutual funds): | ||||||||||||
U.S. fixed income funds | 947,646,163 | 6,667,177 | 954,313,340 | |||||||||
Mid cap U.S. equity funds | 521,293,989 | — | 521,293,989 | |||||||||
Total registered investment companies (mutual funds) | 1,468,940,152 | 6,667,177 | 1,475,607,329 | |||||||||
Corporate debt securities | — | 1,172,329,979 | 1,172,329,979 | |||||||||
U.S. federal, state, local and non-U.S. government securities | 694,354,201 | 113,482,228 | 807,836,429 | |||||||||
Mortgage-backed securities | 58,737,165 | 30,723,028 | 89,460,193 | |||||||||
Derivative receivables | — | 5,452,169 | 5,452,169 | |||||||||
Money market funds and other | 285,275,555 | 3,555,475 | 288,831,030 | |||||||||
Total assets measured at fair value(a) | $ | 7,392,270,860 | $ | 12,021,568,717 | $ | 19,413,839,577 | ||||||
Securities sold, not yet purchased | $ | 77,923,041 | $ | — | $ | 77,923,041 | ||||||
Derivative payables | — | 2,780,710 | 2,780,710 | |||||||||
Total liabilities measured at fair value | $ | 77,923,041 | $ | 2,780,710 | $ | 80,703,751 |
December 31, 2012 | Level 1(a) | Level 2(a) | Total fair value | |||||||||
Common/collective trust funds: | ||||||||||||
Large cap U.S. equity funds | $ | — | $ | 3,312,773,991 | $ | 3,312,773,991 | ||||||
Small cap U.S. equity funds | — | 600,908,858 | 600,908,858 | |||||||||
Large cap non-U.S. equity funds | — | 1,152,500,097 | 1,152,500,097 | |||||||||
Small cap non-U.S. equity funds | — | 187,706,060 | 187,706,060 | |||||||||
U.S. fixed income funds(b) | 235 | 460,280,711 | 460,280,946 | |||||||||
Non-U.S. fixed income funds | — | 60,368,706 | 60,368,706 | |||||||||
Real estate funds | — | 101,344,127 | 101,344,127 | |||||||||
Commodity funds | — | 4,515,768 | 4,515,768 | |||||||||
Total common/collective trust funds(b) | 235 | 5,880,398,318 | 5,880,398,553 | |||||||||
Equity securities: | ||||||||||||
JPMorgan Chase & Co | 2,724,222,820 | — | 2,724,222,820 | |||||||||
Other banks and finance companies | 169,869,134 | — | 169,869,134 | |||||||||
Total banks and finance companies | 2,894,091,954 | — | 2,894,091,954 | |||||||||
Capital equipment | 246,385,022 | 1,189,623 | 247,574,645 | |||||||||
Consumer goods | 185,840,046 | 1,838 | 185,841,884 | |||||||||
Business services | 124,756,399 | — | 124,756,399 | |||||||||
Materials | 92,113,355 | — | 92,113,355 | |||||||||
Energy | 83,238,984 | — | 83,238,984 | |||||||||
Real estate | 20,189,219 | — | 20,189,219 | |||||||||
Other | 228,906,556 | 5 | 228,906,561 | |||||||||
Total equity securities | 3,875,521,535 | 1,191,466 | 3,876,713,001 | |||||||||
Synthetic guaranteed investment contracts | — | 2,110,600,307 | 2,110,600,307 | |||||||||
Registered investment companies (mutual funds): | ||||||||||||
U.S. fixed income funds | 843,225,007 | 17,955,264 | 861,180,271 | |||||||||
Large cap U.S. equity funds | 420,319,926 | — | 420,319,926 | |||||||||
Mid cap U.S. equity funds | 345,210,885 | — | 345,210,885 | |||||||||
Total registered investment companies (mutual funds) | 1,608,755,818 | 17,955,264 | 1,626,711,082 | |||||||||
Corporate debt securities | — | 1,162,772,682 | 1,162,772,682 | |||||||||
U.S. federal, state, local and non-U.S. government securities | — | 893,719,742 | 893,719,742 | |||||||||
Mortgage-backed securities | 93,621,348 | 31,178,485 | 124,799,833 | |||||||||
Derivative receivables | 94,228 | 2,060,993 | 2,155,221 | |||||||||
Money market funds and other(b) | 369,455,722 | 6,455,356 | 375,911,078 | |||||||||
Total assets measured at fair value(a) | $ | 5,947,448,886 | $ | 10,106,332,613 | $ | 16,053,781,499 | ||||||
Securities sold, not yet purchased | $ | 1,308,058 | $ | — | $ | 1,308,058 | ||||||
Derivative payables | — | 2,666,599 | 2,666,599 | |||||||||
Total liabilities measured at fair value | $ | 1,308,058 | $ | 2,666,599 | $ | 3,974,657 |
(a) | For the year ended December 31, 2013, $691,466,622 of U.S. Treasury securities were transferred from level 2 to level 1, consistent with how these securities are classified by market participants. For the year ended December 31, 2012, there were no significant transfers between levels 1 and 2. |
(b) | Certain money market funds were reclassified from U.S. fixed income funds to money market funds and other. |
Description | 2013 | 2012 | ||||||
JPMorgan Chase & Co. common stock | $ | 3,193,148,001 | $ | 2,724,222,820 | ||||
Blackrock Equity Index Fund | 2,104,819,120 | 1,564,651,240 | ||||||
Blackrock Russell 1000 Value Fund | 1,084,539,098 | — |
Description | 2013 | 2012 | ||||||
Based on quoted market prices: | ||||||||
JPMorgan Chase & Co. and other equity securities | $ | 1,252,570,356 | $ | 879,599,653 | ||||
Registered investment companies | 378,431,519 | 175,032,696 | ||||||
Derivative receivables/(payables), net | 1,924,773 | 1,588,916 | ||||||
U.S. federal, state, local and non-U.S. government securities | (50,912,423 | ) | — | |||||
Mortgage-backed securities | (635,150 | ) | 56,072 | |||||
Money market funds and other | (121,173 | ) | 10,259 | |||||
Total based on quoted market prices | 1,581,257,902 | 1,056,287,596 | ||||||
Based on estimated fair value: | ||||||||
Common/collective trust funds | 1,666,381,381 | 812,663,030 | ||||||
Corporate debt securities | (4,382,527 | ) | 61,556,840 | |||||
U.S. federal, state, local and non-U.S. government securities | (9,091,835 | ) | 16,451,371 | |||||
Mortgage-backed securities | (1,264,106 | ) | 4,223,094 | |||||
Registered investment companies | 918,994 | 2,057,174 | ||||||
Other equity securities | 1,438,507 | 32,160 | ||||||
Derivative receivables/(payables), net | 628,935 | (4,998,498 | ) | |||||
Money market funds and other | — | 1,467,504 | ||||||
Total based on estimated fair value | 1,654,629,349 | 893,452,675 | ||||||
Total net appreciation/(depreciation) | $ | 3,235,887,251 | $ | 1,949,740,271 |
Risk ratings(a) | Investments at fair value | Wrapper contracts at fair value | Adjustments to contract value | Total investment | |||||||||||||
Investments at December 31, 2013 | |||||||||||||||||
Synthetic GICs | |||||||||||||||||
Prudential Bond Wrapper | AA | $ | 754,530,654 | $ | — | $ | 2,456,580 | $ | 756,987,234 | ||||||||
AIG Financial Products Bond Wrapper | A | 750,140,944 | — | (2,332,941 | ) | 747,808,003 | |||||||||||
ING Wrapper | A | 350,032,459 | — | 67,369 | 350,099,828 | ||||||||||||
State Street Bank Bond Wrapper | AA | 347,727,094 | — | 155,608 | 347,882,702 | ||||||||||||
Total synthetic GICs | 2,202,431,151 | — | 346,616 | 2,202,777,767 | |||||||||||||
Other benefit-responsive contracts | |||||||||||||||||
State Street Bank Loan Wrapper | AA | 30,999 | — | — | 30,999 | ||||||||||||
JPMorgan U.S. Government Money Market Fund - Capital Shares | Not rated | 97,701,706 | — | — | 97,701,706 | ||||||||||||
Total other benefit-responsive contracts | 97,732,705 | — | — | 97,732,705 | |||||||||||||
Total | $ | 2,300,163,856 | $ | — | $ | 346,616 | $ | 2,300,510,472 | |||||||||
Investments at December 31, 2012 | |||||||||||||||||
Synthetic GICs | |||||||||||||||||
Prudential Bond Wrapper | AA | $ | 709,183,969 | $ | — | $ | (17,838,265 | ) | $ | 691,345,704 | |||||||
AIG Financial Products Bond Wrapper | AA | 649,839,024 | — | (17,043,204 | ) | 632,795,820 | |||||||||||
State Street Bank Bond Wrapper | AA | 751,577,314 | — | (17,616,472 | ) | 733,960,842 | |||||||||||
Total synthetic GICs | 2,110,600,307 | — | (52,497,941 | ) | 2,058,102,366 | ||||||||||||
Other benefit-responsive contracts | |||||||||||||||||
State Street Bank Loan Wrapper | AA | 78,388 | — | — | 78,388 | ||||||||||||
JPMorgan U.S. Government Money Market Fund - Capital Shares | Not rated | 173,215,838 | — | — | 173,215,838 | ||||||||||||
Total other benefit-responsive contracts | 173,294,226 | — | — | 173,294,226 | |||||||||||||
Total | $ | 2,283,894,533 | $ | — | $ | (52,497,941 | ) | $ | 2,231,396,592 |
(a) | The ratings scale is based on JPMorgan Chase Bank, N.A.’s internal ratings, which generally corresponds to ratings as defined by Standard & Poor’s. |
Notional amounts(a) | ||||||||
December 31, | 2013 | 2012 | ||||||
Interest rate contracts | ||||||||
Swaps | $ | 800,490,626 | $ | 207,875,940 | ||||
Written options | 305,900,000 | 112,800,000 | ||||||
Futures and forwards | 22,140,500 | 64,350,000 | ||||||
Purchased options | 18,600,000 | 4,500,000 | ||||||
Total interest rate contracts | 1,147,131,126 | 389,525,940 | ||||||
Credit derivatives | 35,185,000 | 94,235,000 | ||||||
Foreign exchange contracts | ||||||||
Spot, futures and forwards | 57,556,993 | 59,605,869 | ||||||
Total foreign exchange contracts | 57,556,993 | 59,605,869 | ||||||
Equity contracts | ||||||||
Warrants | 7,541 | 7,247 | ||||||
Total equity contracts | 7,541 | 7,247 | ||||||
Total derivative notional amounts | $ | 1,239,880,660 | $ | 543,374,056 |
(a) | Represents the sum of gross long and gross short third-party notional derivative contracts. |
Derivative receivables | Derivative payables | |||||||||||||||
December 31, | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Contract type | ||||||||||||||||
Interest rate | $ | 5,007,671 | $ | 1,573,711 | $ | 2,018,635 | $ | 1,470,847 | ||||||||
Credit | 129,189 | 392,853 | 444,582 | 559,238 | ||||||||||||
Equity | 170,674 | 132,478 | — | — | ||||||||||||
Foreign exchange | 144,635 | 56,179 | 317,493 | 636,514 | ||||||||||||
Gross fair value of derivative receivables and payables | $ | 5,452,169 | $ | 2,155,221 | $ | 2,780,710 | $ | 2,666,599 |
Derivatives gains/(losses) | ||||||||
Year ended December 31, | 2013 | 2012 | ||||||
Contract type | ||||||||
Interest rate | $ | 3,310,686 | $ | (1,250,604 | ) | |||
Credit | (803,801 | ) | (1,110,325 | ) | ||||
Equity | 57,996 | 12,889 | ||||||
Foreign exchange | (11,173 | ) | (1,061,542 | ) | ||||
Total | $ | 2,553,708 | $ | (3,409,582 | ) |
Maximum payout/Notional amount(a) | ||||
December 31, | Credit derivatives type | Protection sold | ||
2013 | Credit default swaps | $ | (6,600,000 | ) |
2012 | Credit default swaps | $ | (14,150,000 | ) |
(a) | The notional amounts do not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value. |
Risk rating of reference entity | Total notional amount | |||||||||||||||||||
December 31, | <1 year | 1–5 years | >5 years | Fair value(b) | ||||||||||||||||
2013 | Investment-grade (AAA to BBB)(a) | $ | — | $ | 6,600,000 | $ | — | $ | 6,600,000 | $ | 123,496 | |||||||||
2012 | Investment-grade (AAA to BBB)(a) | $ | 3,250,000 | $ | 10,900,000 | $ | — | $ | 14,150,000 | $ | 330,987 |
(a) | The ratings scale is based on JPMorgan Chase Bank, N.A.’s internal ratings, which generally correspond to ratings as defined by Standard & Poor's. |
(b) | Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral held by the Plan. |
Year ended December 31, 2013 | Aggregate cost of purchases | Aggregate proceeds from sales, redemptions and distributions to participants | ||||||
JPMorgan U.S. Government Money Market Fund - Capital Shares | $ | 3,739,718,879 | $ | 3,823,899,034 | ||||
JPMorgan Chase & Co. common stock | 499,231,113 | 843,499,197 | ||||||
Core Bond Fund (managed by JPMorgan Investment Advisors) | 37,438,096 | 96,442,069 | ||||||
Funds managed by JPMorgan Asset Management (USA) Inc.: | ||||||||
Growth and Income Fund | 29,122,715 | 492,645,744 | ||||||
Mid Cap Growth Fund | 102,565,388 | 77,240,975 | ||||||
Short-Term Fixed Income Fund | 1,687,902,968 | 1,695,602,410 | ||||||
Small Cap Core Fund | 69,844,323 | 56,837,996 | ||||||
Stable Value Fund | 1,069,070,494 | 999,956,613 | ||||||
Year ended December 31, 2012 | ||||||||
JPMorgan U.S. Government Money Market Fund - Capital Shares | $ | 3,463,497,706 | $ | 3,560,776,853 | ||||
JPMorgan Chase & Co. common stock | 465,395,439 | 685,257,912 | ||||||
Core Bond Fund (managed by JPMorgan Investment Advisors) | 65,271,647 | 39,209,497 | ||||||
Funds managed by JPMorgan Asset Management (USA) Inc.: | ||||||||
Growth and Income Fund | 40,481,061 | 33,007,509 | ||||||
Mid Cap Growth Fund | 52,996,229 | 56,556,886 | ||||||
Short-Term Fixed Income Fund | 1,278,509,201 | 1,273,042,979 | ||||||
Small Cap Core Fund | 26,824,852 | 40,129,904 | ||||||
Stable Value Fund | 492,503,899 | 442,549,354 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
COMMON/COLLECTIVE TRUST FUNDS: | ||||||||||||
BGI EAFE INDEX FD | 18,357,267 UNITS | $ | 636,394,410 | $ | 651,323,169 | |||||||
BLKRCK DEV'D REAL ESTATE IDX FD | 9,355,846 UNITS | 124,259,898 | 139,194,792 | |||||||||
BLKRCK DJ-UBS COMM DAILY FD | 615,484 UNITS | 5,329,869 | 4,718,174 | |||||||||
BLKRCK EAFE EQUITY INDEX FD | 14,626,591 UNITS | 349,673,912 | 534,648,455 | |||||||||
BLKRCK EMERGING MARKETS FD | 18,505,762 UNITS | 349,988,972 | 351,439,220 | |||||||||
BLKRCK EQUITY INDEX FD | 66,353,146 UNITS | 1,204,431,791 | 2,104,819,120 | |||||||||
BLKRCK MSCI EAFE SM CAP EQ IDX FD | 15,605,672 UNITS | 207,393,857 | 269,186,920 | |||||||||
BLKRCK RUSSELL 1000 GROWTH FD | 59,971,090 UNITS | 497,810,709 | 894,049,014 | |||||||||
BLKRCK RUSSELL 1000 INDEX FD | 43,664,502 UNITS | 684,516,806 | 950,877,493 | |||||||||
BLKRCK RUSSELL 1000 VALUE FD | 48,879,975 UNITS | 803,504,367 | 1,084,539,098 | |||||||||
BLKRCK RUSSELL 2000 INDEX FD | 25,910,240 UNITS | 523,810,996 | 853,073,942 | |||||||||
BLKRCK US DEBT INDEX FD | 19,699,228 UNITS | 522,702,302 | 538,212,471 | |||||||||
BLKRCK US TIPS FD | 1,737,165 UNITS | 32,949,441 | 32,425,751 | |||||||||
* | JPMAM EMBI GLOBAL FD | 1,535,193 UNITS | 73,044,801 | 78,417,660 | ||||||||
TOTAL COMMON/COLLECTIVE TRUST FUNDS | 6,015,812,131 | 8,486,925,279 | ||||||||||
EQUITY SECURITIES: | ||||||||||||
3M CO | 47,925 SHARES | 3,891,051 | 6,721,481 | |||||||||
ABB LTD | 126,656 SHARES | 3,197,827 | 3,343,884 | |||||||||
ACADIA HEALTHCARE CO INC | 33,213 SHARES | 458,531 | 1,571,971 | |||||||||
ACTIVISION BLIZZARD INC | 447,747 SHARES | 5,177,812 | 7,983,329 | |||||||||
ADECOAGRO SA | 176,297 SHARES | 1,749,590 | 1,426,243 | |||||||||
AES CORP | 259,800 SHARES | 2,997,818 | 3,769,698 | |||||||||
AIR METHODS CORP | 70,033 SHARES | 1,141,067 | 4,085,025 | |||||||||
AKAMAI TECHNOLOGIES | 132,495 SHARES | 5,036,400 | 6,251,114 | |||||||||
AKZO NOBEL | 139,629 SHARES | 8,625,101 | 10,839,916 | |||||||||
ALLEGHENY TECHNOLOGIES INC | 182,255 SHARES | 7,497,890 | 6,493,746 | |||||||||
ALLEGION PLC COMMON STOCK | 10,951 SHARES | 226,223 | 483,924 | |||||||||
ALLERGAN INC | 35,935 SHARES | 3,607,960 | 3,991,660 | |||||||||
ALLIANCE DATA SYSTEM | 24,135 SHARES | 2,318,250 | 6,345,816 | |||||||||
ALLSTATE CORP | 77,050 SHARES | 2,580,506 | 4,202,307 | |||||||||
AMAZON COM INC | 2,800 SHARES | 576,891 | 1,116,612 | |||||||||
AMERICAN EXPRESS CO | 96,935 SHARES | 4,297,312 | 8,794,913 | |||||||||
AMERICAN TOWER CORP | 241,380 SHARES | 9,339,983 | 19,266,952 | |||||||||
AMERIPRISE FINANCIAL IN | 27,050 SHARES | 1,317,834 | 3,112,102 | |||||||||
AMETEK INC | 90,547 SHARES | 2,702,162 | 4,769,110 | |||||||||
AMGEN INC | 30,700 SHARES | 1,782,689 | 3,504,712 | |||||||||
ANADARKO PETROLEUM CORP | 45,080 SHARES | 3,334,968 | 3,575,746 | |||||||||
ANHEUSER-BUSCH INBEV | 41,695 SHARES | 3,861,210 | 4,438,850 | |||||||||
ANIXTER INTL INC | 29,806 SHARES | 1,811,222 | 2,677,771 | |||||||||
APACHE CORP | 61,100 SHARES | 4,872,793 | 5,250,934 | |||||||||
APPLE INC | 10,610 SHARES | 3,056,760 | 5,953,377 | |||||||||
ARTISAN PARTNERS ASSET MGMT INC | 15,378 SHARES | 615,616 | 1,002,492 | |||||||||
ASBURY AUTOMOTIVE GRP INC | 31,448 SHARES | 844,521 | 1,690,016 | |||||||||
ASTORIA FINANCIAL CORP | 336,185 SHARES | 6,815,218 | 4,649,439 | |||||||||
AT&T INC | 172,500 SHARES | 5,085,276 | 6,065,100 | |||||||||
ATMI INC | 26,156 SHARES | 561,194 | 790,173 | |||||||||
AUTODESK INC | 103,875 SHARES | 3,798,781 | 5,228,029 | |||||||||
AUTOZONE INC | 13,500 SHARES | 5,092,151 | 6,452,190 | |||||||||
AVIVA PLC | 743,770 SHARES | 5,950,766 | 5,539,715 | |||||||||
AVON PRODUCTS INC | 113,550 SHARES | 2,689,535 | 1,955,331 | |||||||||
AXA | 124,096 SHARES | 3,051,536 | 3,455,871 | |||||||||
BAKER HUGHES INC | 48,800 SHARES | 2,644,867 | 2,696,688 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
EQUITY SECURITIES (CONTINUED): | ||||||||||||
BALFOUR BEATTY | 582,680 SHARES | 2,811,176 | 2,768,768 | |||||||||
BANCO BILBAO VIZCAYA ARGENTARIA | 254,127 SHARES | 2,589,790 | 3,133,360 | |||||||||
BANK OF AMERICA CORP | 516,900 SHARES | 9,650,905 | 8,048,133 | |||||||||
BANK OF THE OZARKS | 59,787 SHARES | 1,836,140 | 3,383,346 | |||||||||
BANKRATE INC | 156,690 SHARES | 2,710,183 | 2,811,019 | |||||||||
BANKUNITED INC | 53,909 SHARES | 1,536,033 | 1,774,684 | |||||||||
BARCLAYS | 1,431,606 SHARES | 5,906,396 | 6,448,199 | |||||||||
BARD(C.R.) INC | 46,765 SHARES | 3,352,629 | 6,263,704 | |||||||||
BAYER AG | 35,420 SHARES | 2,097,828 | 4,975,873 | |||||||||
BG GRP | 254,038 SHARES | 4,878,493 | 5,459,237 | |||||||||
BIOGEN IDEC INC | 23,480 SHARES | 3,455,342 | 6,568,530 | |||||||||
BLACKROCK INC | 13,510 SHARES | 3,351,985 | 4,275,510 | |||||||||
BNP PARIBAS | 80,849 SHARES | 5,163,128 | 6,311,143 | |||||||||
BOEING CO | 24,150 SHARES | 1,818,402 | 3,296,233 | |||||||||
BONANZA CREEK ENERGY INC | 50,262 SHARES | 1,292,150 | 2,184,889 | |||||||||
BORG-WARNER INC | 240,060 SHARES | 4,265,714 | 13,421,755 | |||||||||
BOSTON PROPERTIES INC | 58,110 SHARES | 4,560,896 | 5,832,501 | |||||||||
BRISTOL-MYERS SQUIBB CO | 116,525 SHARES | 5,215,132 | 6,193,304 | |||||||||
BRITISH AMERICAN TOBACCO | 144,529 SHARES | 5,783,458 | 7,751,000 | |||||||||
BROADSOFT INC | 56,734 SHARES | 1,793,320 | 1,551,108 | |||||||||
BRUKER CORP | 42,137 SHARES | 814,913 | 833,048 | |||||||||
CADENCE DESIGN SYSTEMS INC | 163,914 SHARES | 1,522,511 | 2,298,074 | |||||||||
CANADIAN PACIFIC RAILWAYS | 32,950 SHARES | 2,268,682 | 4,985,994 | |||||||||
CARDIOVASCULAR SYSTEMS INC | 31,272 SHARES | 985,282 | 1,072,317 | |||||||||
CARNIVAL CORP | 176,447 SHARES | 6,150,911 | 7,189,600 | |||||||||
CAVIUM INC | 117,150 SHARES | 3,706,172 | 4,042,846 | |||||||||
CBRE GRP INC | 268,319 SHARES | 5,033,207 | 7,056,790 | |||||||||
CELANESE CORP | 114,550 SHARES | 4,997,973 | 6,335,760 | |||||||||
CENTENE CORP | 58,584 SHARES | 2,073,336 | 3,453,527 | |||||||||
CF INDUSTRIES HOLDINGS INC | 37,120 SHARES | 7,611,531 | 8,650,445 | |||||||||
CHATHAM LODGING TRUST | 96,100 SHARES | 1,696,912 | 1,965,245 | |||||||||
CHEESECAKE FACTORY | 63,944 SHARES | 1,820,915 | 3,086,577 | |||||||||
CHEFS WAREHOUSE INC | 77,580 SHARES | 1,706,344 | 2,262,233 | |||||||||
CHENIERE ENERGY INC | 12,724 SHARES | 195,760 | 548,659 | |||||||||
CHEVRON CORP | 60,100 SHARES | 4,559,830 | 7,507,091 | |||||||||
CHICOS FAS INC | 129,395 SHARES | 2,367,743 | 2,437,802 | |||||||||
CHINA ENERGY SAVINGS TECH INC | 400 SHARES | — | 32 | |||||||||
CHINA MERCHANTS HOLDINGS INTL | 548,000 SHARES | 1,675,516 | 2,000,116 | |||||||||
CHIPOTLE MEXICAN GRILL | 4,040 SHARES | 1,298,724 | 2,152,431 | |||||||||
CINEMARK HOLDINGS INC | 128,107 SHARES | 2,922,421 | 4,269,806 | |||||||||
CIRCOR INTL INC | 11,926 SHARES | 597,236 | 963,382 | |||||||||
CISCO SYSTEMS INC | 183,450 SHARES | 3,528,288 | 4,118,452 | |||||||||
CITIGRP INC | 38,600 SHARES | 1,832,101 | 2,011,446 | |||||||||
CITRIX SYSTEMS INC | 25,846 SHARES | 1,640,798 | 1,634,759 | |||||||||
CNOOC | 3,648,000 SHARES | 7,104,419 | 6,784,351 | |||||||||
COACH INC | 91,618 SHARES | 5,358,636 | 5,142,518 | |||||||||
COBALT INTL ENERGY INC | 114,510 SHARES | 3,151,041 | 1,883,689 | |||||||||
COGENT COMMUNICATIONS GRP INC | 71,518 SHARES | 1,718,441 | 2,890,042 | |||||||||
COGNIZANT TECH SOLUTIONS CORP | 74,760 SHARES | 4,757,772 | 7,549,265 | |||||||||
COLONY FINANCIAL INC | 73,024 SHARES | 1,566,494 | 1,481,657 | |||||||||
COLUMBIA BANKING SYSTEMS INC | 43,607 SHARES | 1,047,293 | 1,199,629 | |||||||||
COMCAST CORP | 168,785 SHARES | 5,290,649 | 8,713,054 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
EQUITY SECURITIES (CONTINUED): | ||||||||||||
COMMVAULT SYSTEMS INC | 21,435 SHARES | 546,978 | 1,605,053 | |||||||||
CONSOL ENERGY INC | 56,050 SHARES | 1,945,754 | 2,132,142 | |||||||||
CONSTELLIUM | 87,436 SHARES | 1,349,589 | 2,034,635 | |||||||||
CORNERSTONE ONDEMAND INC | 55,213 SHARES | 2,427,244 | 2,945,061 | |||||||||
CORPORATE EXECUTIVE BOARD CO | 37,837 SHARES | 1,172,457 | 2,929,719 | |||||||||
COVANCE INC | 94,005 SHARES | 4,937,955 | 8,278,080 | |||||||||
COVIDIEN PLC | 111,720 SHARES | 4,750,002 | 7,608,132 | |||||||||
CREDIT AGRICOLE | 11,389 SHARES | 139,096 | 146,028 | |||||||||
CSX CORP | 368,215 SHARES | 4,782,166 | 10,593,546 | |||||||||
CUMMINS INC | 115,840 SHARES | 4,387,847 | 16,329,965 | |||||||||
CURTISS-WRIGHT CORP | 45,136 SHARES | 2,125,795 | 2,808,813 | |||||||||
CVS CAREMARK CORP | 73,710 SHARES | 3,496,016 | 5,275,425 | |||||||||
CYBER-CARE INC | 12,250 SHARES | — | 1,838 | |||||||||
DAIMLER AG | 93,682 SHARES | 4,682,553 | 8,119,705 | |||||||||
DARDEN RESTAURANTS INC | 116,735 SHARES | 4,707,893 | 6,346,882 | |||||||||
DARLING INTL INC | 115,403 SHARES | 2,197,995 | 2,409,615 | |||||||||
DEALERTRACK TECHNOLOGIES INC | 4,665 SHARES | 150,024 | 224,293 | |||||||||
DECKERS OUTDOOR CORP | 27,708 SHARES | 1,317,385 | 2,340,218 | |||||||||
DIAGEO | 22,885 SHARES | 2,849,672 | 3,030,432 | |||||||||
DOLLAR GENERAL CORP | 50,180 SHARES | 2,437,371 | 3,026,858 | |||||||||
DORMAN PRODUCTS INC | 29,619 SHARES | 1,466,312 | 1,660,737 | |||||||||
DOUGLAS EMMETT INC | 38,073 SHARES | 694,439 | 886,720 | |||||||||
DR HORTON INC | 682,145 SHARES | 14,936,063 | 15,225,476 | |||||||||
DRESSER RAND GRP | 28,008 SHARES | 1,031,358 | 1,670,117 | |||||||||
DSW INC | 80,634 SHARES | 2,991,427 | 3,445,491 | |||||||||
DUNKIN BRANDS GRP INC | 110,085 SHARES | 3,446,055 | 5,306,097 | |||||||||
EAGLE WORLDWIDE INC | 3,950 SHARES | — | 356 | |||||||||
EAST WEST BANCORP INC | 123,193 SHARES | 3,503,726 | 4,308,059 | |||||||||
EASTMAN CHEMICAL CO | 141,370 SHARES | 4,359,629 | 11,408,559 | |||||||||
EATON CORP PLC | 57,525 SHARES | 2,278,323 | 4,378,803 | |||||||||
EATON VANCE CORP | 228,940 SHARES | 6,839,774 | 9,796,342 | |||||||||
EBAY INC | 41,235 SHARES | 1,279,746 | 2,263,389 | |||||||||
ECHOSTAR CORP | 146,055 SHARES | 5,572,362 | 7,261,855 | |||||||||
EMERSON ELECTRIC CO | 30,150 SHARES | 1,560,873 | 2,115,927 | |||||||||
ENTERGY CORP | 50,900 SHARES | 3,547,550 | 3,220,443 | |||||||||
ENVISION HEALTHCARE HLDGS INC | 56,597 SHARES | 1,420,889 | 2,010,325 | |||||||||
EQT CORP | 34,150 SHARES | 1,675,536 | 3,065,987 | |||||||||
EQUIFAX INC | 58,950 SHARES | 3,721,265 | 4,072,855 | |||||||||
EVERCORE PARTNERS INC | 36,945 SHARES | 1,153,175 | 2,208,572 | |||||||||
EXELON CORP | 94,250 SHARES | 3,813,035 | 2,581,507 | |||||||||
EXPRESS INC | 85,619 SHARES | 1,633,304 | 1,598,507 | |||||||||
EXPRESS SCRIPTS HLDG CO | 224,362 SHARES | 6,247,535 | 15,759,187 | |||||||||
EXXON MOBIL CORP | 75,750 SHARES | 5,217,429 | 7,665,900 | |||||||||
FACEBOOK INC | 132,010 SHARES | 3,311,295 | 7,215,667 | |||||||||
FIFTH THIRD BANCORP | 138,200 SHARES | 2,515,334 | 2,906,346 | |||||||||
FIRST POTOMAC REALTY TRUST | 41,916 SHARES | 654,306 | 487,483 | |||||||||
FLEXTRONICS INTL | 717,460 SHARES | 5,129,665 | 5,574,664 | |||||||||
FLUIDIGM CORP | 82,650 SHARES | 1,259,994 | 3,167,148 | |||||||||
FORTINET INC | 63,417 SHARES | 1,133,002 | 1,213,167 | |||||||||
GATX CORP | 113,970 SHARES | 4,704,307 | 5,945,815 | |||||||||
GDF SUEZ | 106,736 SHARES | 2,083,845 | 2,514,279 | |||||||||
GENERAL ELECTRIC CO | 242,200 SHARES | 6,804,301 | 6,788,866 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
EQUITY SECURITIES (CONTINUED): | ||||||||||||
GENERAL MOTORS CO | 142,050 SHARES | 4,264,054 | 5,805,575 | |||||||||
GENESEE & WYOMING INC | 21,350 SHARES | 1,009,187 | 2,050,667 | |||||||||
GENMARK DIAGNOSTICS INC | 136,050 SHARES | 636,933 | 1,810,825 | |||||||||
GILEAD SCIENCES INC | 149,870 SHARES | 3,737,410 | 11,262,730 | |||||||||
GIVAUDAN | 3,098 SHARES | 2,614,383 | 4,437,906 | |||||||||
GLOBAL PAYMENTS INC | 132,282 SHARES | 5,832,435 | 8,597,007 | |||||||||
GOLDMAN SACHS GRP INC | 14,550 SHARES | 1,784,003 | 2,579,133 | |||||||||
GOOGLE INC | 13,160 SHARES | 9,233,996 | 14,748,544 | |||||||||
GRAINGER(W.W.) INC | 2,730 SHARES | 714,783 | 697,297 | |||||||||
GREAT LAKES DREDGE & DOCK CORP | 162,935 SHARES | 1,099,100 | 1,499,002 | |||||||||
GREEN MNT COFFEE ROASTERS INC | 93,135 SHARES | 4,638,364 | 7,039,143 | |||||||||
HAIN CELESTIAL GRP INC | 43,438 SHARES | 2,647,377 | 3,943,302 | |||||||||
HARLEY DAVIDSON | 81,665 SHARES | 3,663,786 | 5,654,485 | |||||||||
HARRIS TEETER SUPERMARKETS INC | 31,211 SHARES | 990,123 | 1,540,263 | |||||||||
HEALTHWAYS INC | 98,583 SHARES | 1,148,832 | 1,513,249 | |||||||||
HEARTLAND EXPRESS INC | 172,909 SHARES | 2,659,168 | 3,392,475 | |||||||||
HERSHA HOSPITALITY TRUST | 234,418 SHARES | 1,414,120 | 1,305,708 | |||||||||
HERTZ GLOBAL HOLDINGS INC | 146,695 SHARES | 3,192,116 | 4,198,411 | |||||||||
HESS CORP | 40,950 SHARES | 2,104,045 | 3,398,850 | |||||||||
HITACHI | 573,000 SHARES | 3,494,681 | 4,339,546 | |||||||||
HITTITE MICROWAVE CORP | 39,243 SHARES | 1,746,142 | 2,422,470 | |||||||||
HOME DEPOT INC | 84,895 SHARES | 6,014,312 | 6,990,254 | |||||||||
HONEYWELL INTL INC | 40,350 SHARES | 1,650,450 | 3,686,779 | |||||||||
HSBC HLDGS | 613,900 SHARES | 6,760,513 | 6,662,542 | |||||||||
HUMANA INC | 50,840 SHARES | 3,791,322 | 5,247,705 | |||||||||
HUNT(J.B.)TRANSPORT SERVICES INC | 43,350 SHARES | 2,103,299 | 3,350,955 | |||||||||
HUNTINGTON INGALLS INDTR'S INC | 63,671 SHARES | 4,319,477 | 5,731,027 | |||||||||
HURON CONSULTING GRP INC | 50,119 SHARES | 1,786,801 | 3,143,464 | |||||||||
IDEX CORP | 30,835 SHARES | 1,143,807 | 2,277,165 | |||||||||
IHS INC | 35,060 SHARES | 3,510,636 | 4,196,682 | |||||||||
ILLINOIS TOOL WORKS INC | 33,750 SHARES | 1,695,511 | 2,837,700 | |||||||||
IMAX CORP | 82,145 SHARES | 2,320,081 | 2,421,635 | |||||||||
IMPERIAL OIL | 160,300 SHARES | 6,756,189 | 7,096,952 | |||||||||
INGERSOLL-RAND PLC | 32,850 SHARES | 879,641 | 2,023,560 | |||||||||
INSULET CORP | 14,969 SHARES | 261,558 | 555,350 | |||||||||
INTEGRYS ENERGY GRP INC | 82,265 SHARES | 4,003,327 | 4,476,039 | |||||||||
INTERCONTINENTAL EXCHNG GRP INC | 75,095 SHARES | 6,785,901 | 16,890,367 | |||||||||
INTERXION HLDG | 59,275 SHARES | 1,373,976 | 1,399,483 | |||||||||
INTL CONSOLIDATED AIRL GRP | 729,797 SHARES | 3,011,105 | 4,851,827 | |||||||||
INTL GAME TECH | 227,225 SHARES | 5,143,368 | 4,126,406 | |||||||||
INTL PAPER CO | 108,200 SHARES | 3,667,601 | 5,305,046 | |||||||||
INTUIT INC | 202,695 SHARES | 9,075,408 | 15,469,682 | |||||||||
INTUITIVE SURGICAL INC | 7,745 SHARES | 3,403,773 | 2,974,700 | |||||||||
INVESCO LTD | 73,250 SHARES | 1,675,268 | 2,666,300 | |||||||||
JGC CORP | 84,000 SHARES | 1,712,273 | 3,296,703 | |||||||||
JIVE SOFTWARE INC | 56,446 SHARES | 890,150 | 635,017 | |||||||||
JOHNSON & JOHNSON | 65,350 SHARES | 4,229,869 | 5,985,406 | |||||||||
JOY GLOBAL INC | 111,430 SHARES | 6,320,420 | 6,517,541 | |||||||||
* | JPMORGAN CHASE & CO. | 54,602,394 SHARES | 2,164,988,870 | 3,193,148,001 | ||||||||
JUNIPER NETWORKS | 158,295 SHARES | 4,197,612 | 3,572,718 | |||||||||
KANSAS CITY SOUTHERN | 24,580 SHARES | 2,318,330 | 3,043,741 | |||||||||
KBC GROEP | 54,176 SHARES | 2,742,141 | 3,079,388 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
EQUITY SECURITIES (CONTINUED): | ||||||||||||
KDDI CORP | 140,800 SHARES | 4,478,425 | 8,667,295 | |||||||||
KELLOGG CO | 35,200 SHARES | 1,828,401 | 2,149,664 | |||||||||
KEYCORP | 720,280 SHARES | 5,563,289 | 9,666,158 | |||||||||
KOHLS CORP | 80,000 SHARES | 3,838,226 | 4,540,000 | |||||||||
KOREA ELECTRIC POWER CORP | 200,085 SHARES | 3,110,766 | 3,323,412 | |||||||||
KORN-FERRY INTL | 90,841 SHARES | 1,665,797 | 2,372,767 | |||||||||
KYTHERA BIOPHARMACEUTICALS INC | 39,113 SHARES | 879,712 | 1,456,959 | |||||||||
L INTL COMPUTERS INC | 21,600 SHARES | — | 2 | |||||||||
LAREDO PETROLEUM HLDGS INC | 29,460 SHARES | 691,045 | 815,747 | |||||||||
LEGRAND PROMESSE | 103,559 SHARES | 3,987,610 | 5,716,527 | |||||||||
LENNAR CORP | 152,415 SHARES | 4,958,634 | 6,029,537 | |||||||||
LIBERTY MEDIA CORP | 6,825 SHARES | 433,037 | 999,521 | |||||||||
LIFEPOINT HOSPITALS INC | 36,998 SHARES | 1,309,556 | 1,954,974 | |||||||||
LINDE | 14,840 SHARES | 2,008,524 | 3,109,237 | |||||||||
LINK REAL ESTATE INVESTMENT | 306,174 SHARES | 1,493,489 | 1,484,719 | |||||||||
LINKEDIN CORP | 18,715 SHARES | 3,038,906 | 4,057,973 | |||||||||
LLOYDS BANKING GRP | 4,401,198 SHARES | 4,025,534 | 5,749,945 | |||||||||
LOCKHEED MARTIN CORP | 11,500 SHARES | 914,057 | 1,709,590 | |||||||||
LOWES COMPANIES INC | 275,625 SHARES | 7,441,589 | 13,657,218 | |||||||||
LULULEMON ATHLETICA INC | 72,485 SHARES | 4,899,926 | 4,278,790 | |||||||||
LUMOS NETWORKS CORP | 57,531 SHARES | 827,426 | 1,208,151 | |||||||||
MALLINCKRODT PLC | 6,818 SHARES | 216,625 | 356,309 | |||||||||
MARCUS & MILLICHAP INC | 31,009 SHARES | 375,593 | 462,034 | |||||||||
MARKETO INC | 21,461 SHARES | 745,605 | 795,559 | |||||||||
MARSH & MCLENNAN COS INC | 125,250 SHARES | 3,857,328 | 6,057,090 | |||||||||
MASCO CORP | 275,135 SHARES | 5,644,440 | 6,264,824 | |||||||||
MASTERCARD INC | 8,910 SHARES | 3,544,968 | 7,443,949 | |||||||||
MATTEL INC | 283,405 SHARES | 6,250,701 | 13,484,410 | |||||||||
MATTRESS FIRM HLDG CORP | 83,809 SHARES | 2,708,402 | 3,607,139 | |||||||||
MEAD JOHNSON NUTRITION | 20,085 SHARES | 1,544,805 | 1,682,320 | |||||||||
MEDNAX INC | 142,590 SHARES | 5,176,756 | 7,611,454 | |||||||||
MERCK & CO INC | 142,450 SHARES | 4,784,423 | 7,129,622 | |||||||||
METLIFE INC | 64,800 SHARES | 2,550,897 | 3,494,016 | |||||||||
MFA FINANCIAL INC | 523,913 SHARES | 4,024,621 | 3,698,826 | |||||||||
MICHAEL KORS HOLDINGS LTD | 26,490 SHARES | 1,415,835 | 2,150,723 | |||||||||
MICHAEL PAGE INTL PLC | 307,034 SHARES | 1,444,250 | 2,481,602 | |||||||||
MICROSOFT CORP | 322,855 SHARES | 10,356,378 | 12,084,463 | |||||||||
MOBILE MINI | 67,616 SHARES | 1,515,603 | 2,784,427 | |||||||||
MOLINA HEALTHCARE INC | 57,191 SHARES | 1,993,855 | 1,987,387 | |||||||||
MONDELEZ INTL INC | 128,605 SHARES | 4,094,916 | 4,539,756 | |||||||||
MONSANTO CO | 58,915 SHARES | 4,450,376 | 6,866,543 | |||||||||
MONSTER BEVERAGE CORP | 61,885 SHARES | 3,419,964 | 4,193,946 | |||||||||
MOOG INC | 23,335 SHARES | 861,373 | 1,585,380 | |||||||||
MORGAN STANLEY | 234,850 SHARES | 5,791,622 | 7,364,896 | |||||||||
MOTORS LIQUIDATION CO | 765 SHARES | — | 24,595 | |||||||||
MURPHY OIL CORP | 84,115 SHARES | 4,524,089 | 5,457,381 | |||||||||
MWI VETERINARY SUPPLY INC | 12,003 SHARES | 476,900 | 2,047,592 | |||||||||
NABORS INDUSTRIES | 329,555 SHARES | 6,053,178 | 5,599,139 | |||||||||
NETSCOUT SYSTEMS INC | 48,147 SHARES | 1,250,268 | 1,424,670 | |||||||||
NEWFIELD EXPLORATION CO | 246,622 SHARES | 11,164,234 | 6,074,299 | |||||||||
NIELSEN HOLDINGS | 98,155 SHARES | 3,551,938 | 4,504,333 | |||||||||
NIKON CORP | 88,400 SHARES | 1,655,128 | 1,689,697 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
EQUITY SECURITIES (CONTINUED): | ||||||||||||
NORTHERN TRUST CORP | 84,410 SHARES | 5,266,432 | 5,224,135 | |||||||||
NOVADAQ TECHNOLOGIES CO | 132,330 SHARES | 1,504,629 | 2,182,122 | |||||||||
NOVARTIS | 115,729 SHARES | 6,434,070 | 9,265,087 | |||||||||
NOWAUTO INC | 12,999 SHARES | — | 1 | |||||||||
NRG ENERGY INC | 180,200 SHARES | 3,887,520 | 5,175,344 | |||||||||
NTELOS HLDGS CORP | 11,961 SHARES | 291,882 | 241,971 | |||||||||
ONEOK INC | 81,751 SHARES | 2,178,307 | 5,083,277 | |||||||||
ORACLE CORP | 167,060 SHARES | 4,747,269 | 6,391,716 | |||||||||
ORBCOMM INC | 209,149 SHARES | 1,394,424 | 1,326,005 | |||||||||
PACIRA PHARMACEUTICALS INC | 71,927 SHARES | 1,417,462 | 4,135,083 | |||||||||
PANERA BREAD CO | 8,300 SHARES | 1,433,527 | 1,466,527 | |||||||||
PARKWAY PROPERTIES INC | 38,517 SHARES | 600,888 | 743,000 | |||||||||
PDC ENERGY INC | 17,156 SHARES | 764,415 | 913,042 | |||||||||
PEBBLEBROOK HOTEL TRUST | 60,666 SHARES | 1,408,627 | 1,866,086 | |||||||||
PEPSICO INC | 42,750 SHARES | 2,865,430 | 3,545,685 | |||||||||
PEUGEOT SA | 117,732 SHARES | 1,674,651 | 1,531,115 | |||||||||
PFIZER INC | 301,900 SHARES | 6,394,366 | 9,247,197 | |||||||||
PG&E CORP | 81,200 SHARES | 3,439,241 | 3,270,736 | |||||||||
PHILLIPS VAN HEUSEN CORP | 23,365 SHARES | 2,390,453 | 3,178,107 | |||||||||
PIER 1 IMPORTS INC | 110,545 SHARES | 1,985,935 | 2,551,379 | |||||||||
PINNACLE ENTERTAINMENT INC | 136,209 SHARES | 1,584,130 | 3,540,072 | |||||||||
PINNACLE FINANCIAL PARTNERS | 76,520 SHARES | 1,872,341 | 2,489,196 | |||||||||
PNC FINANCIAL SERVICES GRP | 34,100 SHARES | 2,024,690 | 2,645,478 | |||||||||
POLYPORE INTL INC | 39,791 SHARES | 1,448,569 | 1,547,870 | |||||||||
POSTNL | 545,903 SHARES | 4,770,766 | 3,121,742 | |||||||||
POWER INTEGRATIONS INC | 80,563 SHARES | 2,558,804 | 4,497,027 | |||||||||
PRECISION CASTPARTS CORP | 9,610 SHARES | 1,846,214 | 2,587,973 | |||||||||
PREMIER INC | 44,756 SHARES | 1,375,906 | 1,645,231 | |||||||||
PRICELINE.COM INC | 5,850 SHARES | 3,318,942 | 6,800,040 | |||||||||
PROCTER & GAMBLE CO | 64,200 SHARES | 3,963,495 | 5,226,522 | |||||||||
PROGRESSIVE CORP | 276,030 SHARES | 4,861,722 | 7,527,338 | |||||||||
PROSPERITY BANCSHARES INC | 65,620 SHARES | 2,717,088 | 4,159,652 | |||||||||
PROTECTIVE LIFE CORP | 283,623 SHARES | 7,509,762 | 14,368,341 | |||||||||
QLIK TECHNOLOGIES INC | 83,238 SHARES | 2,043,150 | 2,216,628 | |||||||||
RALLY SOFTWARE DEV CORP | 89,834 SHARES | 2,263,472 | 1,747,271 | |||||||||
RALPH LAUREN CORP | 15,240 SHARES | 2,405,313 | 2,690,927 | |||||||||
RAYMOND JAMES FINANCIAL INC | 156,695 SHARES | 4,352,644 | 8,177,912 | |||||||||
RAYTHEON CO | 34,800 SHARES | 1,638,644 | 3,156,360 | |||||||||
RBC BEARINGS INC | 29,016 SHARES | 853,814 | 2,052,882 | |||||||||
REALPAGE INC | 102,986 SHARES | 2,283,907 | 2,407,813 | |||||||||
REED ELSEVIER NV | 497,947 SHARES | 6,827,896 | 10,566,649 | |||||||||
REGENERON PHARMACEUTICALS INC | 12,080 SHARES | 2,084,813 | 3,324,899 | |||||||||
REINSURANCE GRP OF AMERICA | 88,065 SHARES | 5,066,473 | 6,817,112 | |||||||||
RELIANCE STEEL & ALUMINIUM | 25,182 SHARES | 1,306,670 | 1,909,803 | |||||||||
RENAISSANCERE HLDGS | 70,697 SHARES | 6,538,778 | 6,881,646 | |||||||||
RESTORATION HARDWARE HLDGS INC | 13,346 SHARES | 833,527 | 898,186 | |||||||||
REXAM | 418,557 SHARES | 2,443,035 | 3,677,612 | |||||||||
REXNORD CORP | 31,433 SHARES | 507,778 | 849,005 | |||||||||
RIO TINTO | 55,707 SHARES | 2,635,162 | 3,145,766 | |||||||||
ROADRUNNER TRANSPRTN SYSTEMS | 56,005 SHARES | 1,405,893 | 1,509,335 | |||||||||
ROCHE HLDG | 22,463 SHARES | 3,418,451 | 6,294,237 | |||||||||
ROCK-TENN CO | 155 SHARES | — | 16,277 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
EQUITY SECURITIES (CONTINUED): | ||||||||||||
ROLLS-ROYCE HLDGS | 14,377,620 SHARES | 1,471,617 | 3,513,365 | |||||||||
ROSETTA RESOURCES INC | 94,444 SHARES | 3,931,086 | 4,537,090 | |||||||||
ROSS STORES INC | 54,500 SHARES | 4,121,831 | 4,083,685 | |||||||||
ROYAL DUTCH SHELL | 209,480 SHARES | 8,384,515 | 8,938,318 | |||||||||
RYANAIR HLDGS | 24,500 SHARES | 661,908 | 1,149,785 | |||||||||
SAFRAN S.A. | 240,425 SHARES | 2,676,337 | 4,144,927 | |||||||||
SAGENT PHARMACEUTICALS INC | 27,856 SHARES | 616,638 | 706,985 | |||||||||
SALESFORCE.COM INC | 88,370 SHARES | 3,631,919 | 4,877,140 | |||||||||
SANOFI | 88,300 SHARES | 7,374,544 | 9,383,421 | |||||||||
SAP | 45,454 SHARES | 2,725,395 | 3,902,683 | |||||||||
SBA COMMUNICATIONS | 16,182 SHARES | 423,086 | 1,453,791 | |||||||||
SCHWAB(CHARLES)CORP | 118,350 SHARES | 1,569,369 | 3,077,100 | |||||||||
SCOTTS MIRACLE-GRO CO | 89,990 SHARES | 4,162,706 | 5,599,178 | |||||||||
SEALED AIR CORP | 281,490 SHARES | 5,276,446 | 9,584,734 | |||||||||
SEMBCORP INDUSTRIES | 550,000 SHARES | 2,243,176 | 2,391,494 | |||||||||
SEMBCORP MARINE | 764,000 SHARES | 3,063,168 | 2,692,698 | |||||||||
SEMGRP CORP | 61,038 SHARES | 2,915,150 | 3,981,509 | |||||||||
SEMTECH CORP | 80,244 SHARES | 2,727,031 | 2,028,568 | |||||||||
SERVICENOW INC | 44,325 SHARES | 1,312,587 | 2,482,643 | |||||||||
SHERWIN-WILLIAMS CO | 20,155 SHARES | 3,525,820 | 3,698,442 | |||||||||
SHIN-ETSU CHEMICAL CO | 106,900 SHARES | 5,967,907 | 6,244,860 | |||||||||
SIEMENS | 63,559 SHARES | 6,635,238 | 8,695,930 | |||||||||
SIGNATURE BANK | 32,761 SHARES | 2,273,749 | 3,519,187 | |||||||||
SIRIUS XM HOLDINGS INC | 972,065 SHARES | 2,016,677 | 3,392,507 | |||||||||
SK TELECOM | 202,791 SHARES | 4,171,859 | 4,992,714 | |||||||||
SKANDINAVISKA ENSKILDA BANKEN | 357,412 SHARES | 3,136,188 | 4,719,045 | |||||||||
SLM CORP | 99,300 SHARES | 1,239,981 | 2,609,604 | |||||||||
SMURFIT KAPPA GRP | 90,238 SHARES | 1,745,476 | 2,220,774 | |||||||||
SNAP-ON INC | 85,305 SHARES | 3,275,111 | 9,342,604 | |||||||||
SODASTREAM INTL LTD | 39,701 SHARES | 2,378,848 | 1,970,758 | |||||||||
SOLARWINDS INC | 61,052 SHARES | 2,161,840 | 2,309,597 | |||||||||
SONOCO PRODUCTS CO | 164,841 SHARES | 5,750,194 | 6,877,167 | |||||||||
SOUTHWEST AIRLINES CO | 358,600 SHARES | 3,913,221 | 6,756,024 | |||||||||
SPECTRA ENERGY CORP | 71,000 SHARES | 1,531,847 | 2,529,020 | |||||||||
SPIRIT AIRLINES INC | 86,991 SHARES | 2,670,652 | 3,950,261 | |||||||||
SPLUNK INC | 1,425 SHARES | 45,153 | 97,855 | |||||||||
ST JOE CO | 64,450 SHARES | 1,785,627 | 1,236,796 | |||||||||
STARWOOD HTLS WRLD PAIRED | 63,410 SHARES | 3,631,765 | 5,037,925 | |||||||||
STIFEL FINANCIAL CORP | 164,974 SHARES | 6,351,975 | 7,905,554 | |||||||||
SUMITOMO MITSUI FINCL GRP INC | 76,200 SHARES | 3,254,208 | 3,929,442 | |||||||||
SYMETRA FINANCIAL CORP | 223,327 SHARES | 2,833,135 | 4,234,280 | |||||||||
SYNOPSYS INC | 193,645 SHARES | 4,630,460 | 7,856,178 | |||||||||
TANDEM DIABETES CARE INC | 45,655 SHARES | 939,210 | 1,176,529 | |||||||||
TARGA RESOURCES CORP | 50,579 SHARES | 2,470,543 | 4,459,550 | |||||||||
TE CONNECTIVITY LTD | 46,500 SHARES | 1,501,556 | 2,562,615 | |||||||||
TEAM HEALTH HLDGS INC | 21,346 SHARES | 548,446 | 972,310 | |||||||||
TECHNIP | 54,374 SHARES | 4,955,044 | 5,234,236 | |||||||||
TECNICAS REUNIDAS | 63,854 SHARES | 3,375,531 | 3,474,191 | |||||||||
TELEDYNE TECHNOLOGIES INC | 9,323 SHARES | 404,450 | 856,411 | |||||||||
TEREX CORP | 44,185 SHARES | 1,518,666 | 1,855,328 | |||||||||
TESCO | 726,099 SHARES | 4,033,648 | 4,020,898 | |||||||||
TEXAS INSTRUMENTS INC | 61,550 SHARES | 1,892,537 | 2,702,661 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
EQUITY SECURITIES (CONTINUED): | ||||||||||||
TEXAS ROADHOUSE | 103,944 SHARES | 1,706,694 | 2,889,643 | |||||||||
THERMO FISHER SCIENTIFIC INC | 49,050 SHARES | 2,667,273 | 5,461,718 | |||||||||
TIME WARNER CABLE INC | 40,650 SHARES | 2,436,050 | 5,508,075 | |||||||||
TIME WARNER INC | 153,305 SHARES | 6,259,436 | 10,688,425 | |||||||||
TJX COS INC | 295,650 SHARES | 4,634,636 | 18,841,775 | |||||||||
TOKYO ELECTRON | 6,600 SHARES | 276,779 | 361,695 | |||||||||
TOTAL S.A. | 87,192 SHARES | 4,396,004 | 5,350,111 | |||||||||
TOYOTA MOTOR CORP | 108,200 SHARES | 4,264,907 | 6,609,048 | |||||||||
TW TELECOM INC | 43,208 SHARES | 837,423 | 1,316,548 | |||||||||
TWENTY-FIRST CENTURY FOX INC | 178,355 SHARES | 3,604,333 | 6,274,529 | |||||||||
UBS | 409,249 SHARES | 6,858,385 | 7,786,016 | |||||||||
UNILEVER NV CVA | 79,308 SHARES | 2,990,808 | 3,199,244 | |||||||||
UNION PACIFIC CORP | 27,475 SHARES | 1,792,897 | 4,615,800 | |||||||||
UNITED NATURAL FOODS INC | 23,403 SHARES | 884,881 | 1,764,352 | |||||||||
UNITED TECHNOLOGIES CORP | 48,750 SHARES | 3,902,779 | 5,547,750 | |||||||||
URS CORP | 112,150 SHARES | 3,874,301 | 5,942,829 | |||||||||
US BANCORP DELAWARE | 233,400 SHARES | 6,144,506 | 9,429,360 | |||||||||
VAIL RESORTS INC | 54,446 SHARES | 2,205,538 | 4,095,973 | |||||||||
VALIDUS HOLDING LTD | 61,719 SHARES | 1,847,985 | 2,486,659 | |||||||||
VALSPAR CORP | 180,030 SHARES | 5,220,468 | 12,834,339 | |||||||||
VERTEX PHARMACEUTICAL | 21,840 SHARES | 1,752,093 | 1,622,712 | |||||||||
VISA INC | 24,940 SHARES | 3,398,685 | 5,553,639 | |||||||||
VITACOST.COM INC | 122,297 SHARES | 1,000,848 | 708,100 | |||||||||
VODAFONE GRP | 1,849,096 SHARES | 4,650,354 | 7,258,280 | |||||||||
VULCAN MATERIALS CO | 32,600 SHARES | 1,437,807 | 1,937,092 | |||||||||
WADDELL & REED FINANCIAL INC | 65,122 SHARES | 2,252,851 | 4,240,745 | |||||||||
WAL-MART STORES INC | 29,100 SHARES | 1,621,842 | 2,289,879 | |||||||||
WALT DISNEY(HLDG)CO | 87,140 SHARES | 3,802,626 | 6,657,496 | |||||||||
WATCHIT TECHNOLOGIES INC | 50,397 SHARES | — | 5 | |||||||||
WEBMD HEALTH CORP | 22,373 SHARES | 846,534 | 883,734 | |||||||||
WELLS FARGO & CO | 76,350 SHARES | 2,265,642 | 3,466,290 | |||||||||
WEST CORP | 78,357 SHARES | 1,592,761 | 2,014,558 | |||||||||
WESTERN REFINING INC | 34,649 SHARES | 1,383,076 | 1,469,464 | |||||||||
WESTERN UNION COMPANY | 120,200 SHARES | 1,782,809 | 2,073,450 | |||||||||
WEYERHAEUSER CO | 147,550 SHARES | 3,580,359 | 4,658,153 | |||||||||
WHITE MOUNTAINS INSURANCE GRP | 8,403 SHARES | 2,965,794 | 5,067,681 | |||||||||
WHITING PETROLEUM CORP | 104,100 SHARES | 5,934,836 | 6,440,667 | |||||||||
WINTRUST FINANCIAL CORP | 60,448 SHARES | 2,251,172 | 2,787,862 | |||||||||
WW OIL AND GAS INC | 284 SHARES | — | 2 | |||||||||
WYNDHAM WORLDWIDE | 46,615 SHARES | 2,767,626 | 3,435,059 | |||||||||
WYNN RESORTS | 24,585 SHARES | 3,251,784 | 4,774,653 | |||||||||
XILINX INC | 215,875 SHARES | 6,515,435 | 9,912,980 | |||||||||
XL GRP PLC | 102,022 SHARES | 2,369,526 | 3,248,380 | |||||||||
YUE YUEN INDUSTRIAL HLDGS | 437,500 SHARES | 906,449 | 1,461,390 | |||||||||
YUM BRANDS INC | 44,195 SHARES | 3,029,803 | 3,341,584 | |||||||||
ZURICH INS GROUP LTD | 16,101 SHARES | 3,302,383 | 4,679,944 | |||||||||
TOTAL EQUITY SECURITIES | 3,360,232,581 | 4,884,966,018 | ||||||||||
SYNTHETIC GUARANTEED INVESTMENT CONTRACTS: | ||||||||||||
* | JPMAM/AIG | 747,808,003 SHARES | 747,808,003 | 750,140,944 | ||||||||
* | JPMAM/ING GIC | 350,099,828 SHARES | 350,099,828 | 350,032,459 | ||||||||
* | JPMAM/PRUD'L WRAP CONTRACT | 756,987,234 SHARES | 756,987,234 | 754,530,654 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
SYNTHETIC GUARANTEED INVESTMETN CONTRACTS (CONTINUED): | ||||||||||||
JPMAM/STATE STREET BANK | 347,882,702 SHARES | 347,882,702 | 347,727,094 | |||||||||
TOTAL SYNTHETIC GUARANTEED INVESTMENT CONTRACTS | 2,202,777,767 | 2,202,431,151 | ||||||||||
REGISTERED INVESTMENT COMPANIES (MUTUAL FUNDS): | ||||||||||||
* | JPM MID CAP GROWTH FD | 18,650,948 UNITS | 360,110,528 | 521,293,989 | ||||||||
* | JPM TR I SMALL CAP CORE FD | 10,614,880 UNITS | 423,826,551 | 587,533,600 | ||||||||
* | JPM TR II CORE BD FD | 31,368,690 UNITS | 350,457,049 | 360,112,563 | ||||||||
PIMCO FDS PAC INVT MGMT | 556,525 UNITS | 5,831,497 | 6,667,177 | |||||||||
TOTAL REGISTERED INVESTMENT COMPANIES (MUTUAL FUNDS) | 1,140,225,625 | 1,475,607,329 | ||||||||||
CORPORATE DEBT SECURITIES: | ||||||||||||
ABBOT LABORATORIES CORP | 0.12% 04/FEB/2014 8,000,000 | 7,999,320 | 7,999,743 | |||||||||
ABC SUPPLY CO INC | 5.625% 15/APR/2021 1,578,000 | 1,582,922 | 1,585,890 | |||||||||
ABN AMRO BANK | 3% 31/JAN/2014 2,000,000 | 2,003,636 | 2,003,816 | |||||||||
ABN AMRO BANK | VAR 30/JAN/2014 3,900,000 | 3,904,463 | 3,904,906 | |||||||||
ACCESS MIDSTREAM PARTNERS LP | 4.875% 15/MAY/2023 2,403,000 | 2,376,247 | 2,318,895 | |||||||||
ACTIVISION BLIZZARD | 5.625% 15/SEP/2021 2,500,000 | 2,528,125 | 2,587,500 | |||||||||
ADS TACTICAL INC | 11.00% 01/APR/2018 2,321,000 | 2,571,958 | 2,158,530 | |||||||||
AES CORP | 8.00% 01/JUN/2020 1,620,000 | 1,720,450 | 1,895,400 | |||||||||
AES CORP | 8.00% 15/OCT/2017 71,000 | 65,675 | 83,425 | |||||||||
AES CORP | 7.75% 15/OCT/2015 326,000 | 299,920 | 360,230 | |||||||||
ALLEGION US HOLDING CO INC | 5.75% 01/OCT/2021 786,000 | 796,892 | 817,440 | |||||||||
ALLIANCE DATA SYSTEM | 6.375% 01/APR/2020 1,845,000 | 1,845,000 | 1,932,637 | |||||||||
ALLISON TRANS | 7.125% 15/MAY/2019 822,000 | 814,260 | 885,705 | |||||||||
ALLY AUTO RECBL | 2.09% 15/MAY/2015 2,573,330 | 2,582,373 | 2,578,170 | |||||||||
ALLY AUTO RECBL | 0.74% 15/MAY/2015 2,660,530 | 2,665,103 | 2,665,136 | |||||||||
ALLY AUTO RECBL | 1.750% 15/MAR/2016 735,120 | 739,424 | 738,904 | |||||||||
ALLY AUTO RECBL | 0.970% 17/AUG/2015 984,475 | 986,107 | 985,204 | |||||||||
ALLY AUTO RECBL | 0.990% 15/NOV/2015 221,682 | 222,069 | 222,121 | |||||||||
ALLY AUTO RECBL | 0.48% 15/MAY/2015 832,003 | 832,250 | 832,150 | |||||||||
ALLY FINANCIAL INC | 8% 31/DEC/2018 65,000 | 24,587 | 76,700 | |||||||||
ALLY FINANCIAL INC | 8.0% 15/MAR/2020 5,008,000 | 5,325,243 | 6,003,340 | |||||||||
ALLY FINANCIAL INC | 7.5% 15/SEP/2020 1,296,000 | 1,381,438 | 1,509,840 | |||||||||
ALLY FINL INC | VAR 11/FEB/2014 900,000 | 900,000 | 902,160 | |||||||||
ALPHA NATURAL RESOURCES | 6.0% 01/JUN/2019 119,000 | 102,340 | 102,637 | |||||||||
ALPHA NATURAL RESOURCES | 6.25% 01/JUN/2021 724,000 | 624,089 | 619,020 | |||||||||
ALPHA NATURAL RESOURCES | 9.75% 15/APR/2018 753,000 | 756,104 | 798,180 | |||||||||
ALPHABET HOLDING CO INC | 7.75% 01/NOV/2017 756,000 | 773,010 | 779,625 | |||||||||
AMC ENTERTAINME INC | 8.75% 01/JUN/2019 1,840,000 | 1,964,200 | 1,966,500 | |||||||||
AMC ENTERTAINME INC | 9.75% 01/DEC/2020 97,000 | 99,182 | 110,944 | |||||||||
AMC NETWORKS INC | 4.75% 15/DEC/2022 700,000 | 710,500 | 666,750 | |||||||||
AMC NETWORKS INC | 7.75% 15/JUL/2021 3,671,000 | 3,908,458 | 4,129,875 | |||||||||
AMER HONDA FIN CORP | VAR 13/NOV/2014 3,800,000 | 3,800,000 | 3,803,371 | |||||||||
AMERICAN AXLE & MFG INC | 6.625% 15/OCT/2022 409,000 | 412,067 | 430,472 | |||||||||
AMERICAN AXLE & MFG INC | 5.125% 15/FEB/2019 755,000 | 760,347 | 775,762 | |||||||||
AMERICAN EXPRESS CO | VAR 01/SEP/2066 40,000 | 21,717 | 42,620 | |||||||||
AMERICAN EXPRESS CO | VAR 15/SEP/2016 8,000,000 | 7,999,174 | 7,998,368 | |||||||||
AMERICAN EXPRESS CO | VAR 15/MAR/2017 1,100,000 | 1,113,064 | 1,108,247 | |||||||||
AMERICAN HONDA FINANCE CORP | ZCP 19/FEB/2014 8,000,000 | 7,999,020 | 7,998,855 | |||||||||
AMERICAN HONDA FINANCE CORP | 0.46% 08/APR/2014 1,000,000 | 1,000,000 | 1,000,300 | |||||||||
AMERICAN INTL GROUP | 5.45% 18/MAY/2017 2,000,000 | 1,692,927 | 2,235,440 | |||||||||
AMERICAN RENAL HOLDINGS INC | ZCP DEC/2021 1,882,000 | 1,853,770 | 1,889,057 | |||||||||
AMERICREDIT AUTO | 0.49% 08/JUN/2016 358,788 | 358,779 | 358,632 | |||||||||
AMERICREDIT AUTO | 1.17% 09/MAY/2016 769,455 | 773,125 | 770,516 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
AMERICREDIT AUTO | 1.05% 11/OCT/2016 1,000,000 | 1,003,660 | 1,002,987 | |||||||||
AMERICREDIT AUTO | 0.49% 08/APR/2016 883,429 | 883,080 | 883,162 | |||||||||
AMSTED INDUSTRIES | 8.125% 15/MAR/2018 1,490,000 | 1,592,712 | 1,570,087 | |||||||||
AMSURG CORP | 5.625% 30/NOV/2020 540,000 | 545,400 | 561,600 | |||||||||
ANCESTRY.COM INC | 9.625% 15/OCT/2018 833,000 | 824,670 | 862,155 | |||||||||
AOL TIME WARNER INC | 7.625% 15/APR/2031 84,000 | 85,995 | 106,308 | |||||||||
AOL TIME WARNER INC | 7.7% 01/MAY/2032 670,000 | 691,737 | 860,261 | |||||||||
APX GROUP INC | 6.375% 01/DEC/2019 2,627,000 | 2,627,000 | 2,666,405 | |||||||||
APX GROUP INC | 8.75% 01/DEC/2020 2,285,000 | 2,302,570 | 2,330,700 | |||||||||
APX GROUP INC | 8.75% 01/DEC/2020 295,000 | 299,425 | 300,162 | |||||||||
ARAMARK CORP | 5.75% 15/MAR/2020 887,000 | 907,785 | 926,915 | |||||||||
ARCELORMITTAL | 5.5% 01/MAR/2021 1,535,000 | 1,563,487 | 1,627,100 | |||||||||
ARCELORMITTAL | VAR 25/FEB/2022 1,167,000 | 1,166,807 | 1,269,112 | |||||||||
ARCH COAL, INC | 7.25% 15/JUN/2021 256,000 | 203,411 | 195,840 | |||||||||
ARCH COAL, INC | 8.00% 15/JAN/2019 1,735,000 | 1,744,430 | 1,730,662 | |||||||||
ARCH COAL, INC | 9.875% 15/JUN/2019 1,252,000 | 1,201,094 | 1,114,280 | |||||||||
ARCH COAL, INC | ZCP MAY/2018 1,909,000 | 1,876,338 | 1,887,132 | |||||||||
A-S CO-ISSUER SUBS | 7.88% 15/DEC/2020 1,012,000 | 1,022,320 | 1,062,600 | |||||||||
ASHTEAD CAPITAL INC | 6.5% 15/JUL/2022 750,000 | 798,750 | 799,687 | |||||||||
ASURION, LLC | ZCP MAR/2019 4,348,080 | 4,306,200 | 4,353,689 | |||||||||
ATHLON HLDNGS LP | 7.38% 15/APR/2021 2,029,000 | 2,042,535 | 2,130,450 | |||||||||
ATWOOD OCEANICS | 6.5% 01/FEB/2020 3,911,000 | 4,020,539 | 4,174,992 | |||||||||
AUDATEX NORTH AMERICA INC | 6% 15/JUN/2021 556,000 | 565,730 | 582,410 | |||||||||
AUDATEX NORTH AMERICA INC | 6.125% 01/NOV/2023 556,000 | 556,000 | 572,680 | |||||||||
AURORA USA OIL & GAS INC | 7.5% 01/APR/2020 2,018,000 | 2,049,599 | 2,078,540 | |||||||||
AUTONATION INC | 5.5% 01/FEB/2020 669,000 | 669,000 | 718,339 | |||||||||
AVIS BUDGET CAR RENT LLC | 9.750% 15/MAR/2020 1,807,000 | 1,826,507 | 2,118,707 | |||||||||
B & G FOODS INC | 4.625% 01/JUN/2021 1,948,000 | 1,964,212 | 1,870,080 | |||||||||
BANCO SANTANDER BRAZIL | VAR 18/MAR/2014 2,900,000 | 2,900,000 | 2,900,209 | |||||||||
BANCO SANTANDER CHILE | ZCP 16/JUN/2014 1,900,000 | 1,895,795 | 1,897,382 | |||||||||
BANK OF AMERICA CORP | 5.75% 01/DEC/2017 3,100,000 | 2,940,939 | 3,528,150 | |||||||||
BANK OF CHINA LTD | ZCP 26/MAR/2014 1,250,000 | 1,248,075 | 1,249,425 | |||||||||
BANK OF CHINA LTD | 0.68% 28/FEB/2014 750,000 | 749,275 | 749,794 | |||||||||
BANK OF CHINA LTD | ZCP 30/APR/2014 1,000,000 | 997,950 | 999,200 | |||||||||
BANK OF MONTREAL | VAR 19/MAR/2014 1,000,000 | 1,000,000 | 1,000,498 | |||||||||
BANK OF MONTREAL | VAR 24/JUL/2014 3,000,000 | 3,000,000 | 3,003,441 | |||||||||
BANK OF NOVA SCOTIA | VAR 27/MAR/2014 1,100,000 | 1,099,974 | 1,100,718 | |||||||||
BANK OF NOVA SCOTIA | VAR 03/JAN/2014 4,000,000 | 3,999,989 | 4,000,000 | |||||||||
BANK OF NY MELLON CORP | 4.3% 15/MAY/2014 3,081,000 | 3,127,633 | 3,125,601 | |||||||||
BARCLAYS BANK PLC | 0.53% 5/DEC/2014 1,500,000 | 1,500,000 | 1,500,701 | |||||||||
BARCLAYS BANK PLC | 0.57% 29/OCT/2014 3,000,000 | 3,000,000 | 3,003,752 | |||||||||
BARCLAYS BANK PLC | 0.75% 14/FEB/2014 1,000,000 | 1,000,000 | 1,000,749 | |||||||||
BEAZER HOMES USA INC | 9.13% 15/MAY/2019 119,000 | 120,785 | 127,330 | |||||||||
BEVERAGE PACKAGING HOLDINGS | 6% 15/JUN/2017 246,000 | 246,000 | 249,075 | |||||||||
BIOMET INC | 6.5% 01/OCT/2020 770,000 | 787,040 | 793,100 | |||||||||
BIOMET INC | 6.5% 01/AUG/2020 2,014,000 | 2,069,873 | 2,114,700 | |||||||||
BK OF AMERICA CORP | ZCP 15/JUN/2016 6,686,924 | 6,699,118 | 6,702,285 | |||||||||
BK OF SCOTLAND PLC | 5.25% 21/FEB/2017 210,000 | 203,373 | 234,219 | |||||||||
BLUE COAT SYSTEMS, INC | ZCP JUN/2020 1,547,000 | 1,537,497 | 1,577,940 | |||||||||
BMW VEHICLE LEASE TR | 0.4% 20/JAN/2015 1,232,457 | 1,231,968 | 1,232,248 | |||||||||
BMW VEHICLE LEASE TR | 0.75% 20/FEB/2015 2,008,949 | 2,011,762 | 2,010,263 | |||||||||
BMW VEHICLE LEASE TR | 0.76% 25/AUG/2015 4,564,922 | 4,571,274 | 4,569,592 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
BNK OF TKYO-MTBSHI | 0.40% 07/MAR/2014 2,000,000 | 2,000,000 | 2,000,694 | |||||||||
BNK OF TKYO-MTBSHI | 0.42% 11/FEB/2014 2,000,000 | 2,000,000 | 2,000,535 | |||||||||
BNK OF TKYO-MTBSHI | 0.39% 13/MAY/2014 2,000,000 | 2,000,000 | 2,001,103 | |||||||||
BNP PARIBAS NY BANCH | 0.65% 03/JUN/2014 2,000,000 | 2,000,000 | 2,002,895 | |||||||||
BNP PARIBAS NY BANCH | 0.69% 17/APR/2014 2,000,000 | 2,000,000 | 2,002,547 | |||||||||
BNP PARIBAS NY BANCH | 0.56% 04/DEC/2014 2,000,000 | 2,000,000 | 2,000,183 | |||||||||
BOMBARDIER INC | 6.13% 15/JAN/2023 738,000 | 819,069 | 732,465 | |||||||||
BOTTLING GROUP | 6.95% 15/MAR/2014 2,455,000 | 2,487,051 | 2,486,922 | |||||||||
BOYD GAMING CORP | 9% 01/JUL/2020 229,000 | 237,017 | 250,755 | |||||||||
BP CAPITAL MARKETS | FLT 07/MAY/2015 1,000,000 | 1,000,000 | 1,000,931 | |||||||||
BPCE CORP | 0.27% 10/FEB/2014 1,000,000 | 999,756 | 999,844 | |||||||||
BRICKMAN GROUP HOLDINGS, INC | ZCP DEC/2021 306,000 | 304,470 | 313,555 | |||||||||
BROOKFIELD RESIDENTIAL PPTYS INC | 6.125% 01/JUL/2022 497,000 | 496,584 | 499,485 | |||||||||
BURLINGTON COAT FACT WH CORP | 10% 15/FEB/2019 1,208,000 | 1,238,634 | 1,360,510 | |||||||||
BURLINGTON HOLDINGS LLC | VAR 15/FEB/2018 275,000 | 274,880 | 281,875 | |||||||||
CABLEVISION SYSTEMS CORP | 5.875% 15/SEP/2022 673,000 | 675,444 | 644,397 | |||||||||
CAESARS ENT OPERATING CO | 8.5% 15/FEB/2020 907,000 | 912,434 | 872,987 | |||||||||
CAESARS OPER ESCROW LLC | 9% 15/FEB/2020 2,014,000 | 1,941,381 | 1,958,615 | |||||||||
CAISSE CENTRALE DJDNS CORP | VAR 23/OCT/2014 4,000,000 | 3,999,880 | 3,999,520 | |||||||||
CALPINE CORP | 7.5% 15/FEB/2021 1,711,000 | 1,742,302 | 1,867,129 | |||||||||
CALPINE CORP | 6% 15/JAN/2022 121,000 | 120,024 | 124,025 | |||||||||
CAPITAL ONE | VAR 15/DEC/2016 12,015,000 | 12,025,996 | 12,017,127 | |||||||||
CAPITAL ONE | VAR 15/MAR/2017 4,650,000 | 4,657,731 | 4,651,934 | |||||||||
CAPSUGEL SA | 7% 15/MAY/2019 469,000 | 469,000 | 477,794 | |||||||||
CARDTRONICS INC | 8.25% 01/SEP/2018 1,480,000 | 1,579,900 | 1,591,000 | |||||||||
CARMAX AUTO OWNER | 0.91% 15/DEC/2015 3,976,292 | 3,983,672 | 3,980,774 | |||||||||
CARMAX AUTO OWNER | 1.41% 16/FEB/2016 2,308,543 | 2,320,008 | 2,321,701 | |||||||||
CARMAX AUTO OWNER | 1.290% 15/SEP/2015 992,613 | 995,391 | 993,515 | |||||||||
CARMAX AUTO OWNER | 0.640% 15/MAY/2015 98,266 | 98,335 | 98,272 | |||||||||
CARRIZO OIL & GAS INC | 8.625% 15/OCT/2018 1,649,000 | 1,745,863 | 1,785,042 | |||||||||
CASE NEW HOLLAND INC | 7.875% 01/DEC/2017 2,923,000 | 3,370,098 | 3,449,140 | |||||||||
CATERPILLAR FINCL SERVICES CORP | 1.375% 20/MAY/2014 4,000,000 | 4,016,347 | 4,015,592 | |||||||||
CCO HLDGS LLC | 6.625% 31/JAN/2022 631,000 | 640,595 | 649,930 | |||||||||
CCO HLDGS LLC | 6.5% 30/APR/2021 1,840,000 | 1,849,700 | 1,890,600 | |||||||||
CDW LLC | 8.5% 01/APR/2019 714,000 | 712,816 | 788,970 | |||||||||
CEDAR FAIR LP | 5.25% 15/MAR/2021 2,530,000 | 2,533,087 | 2,498,375 | |||||||||
CELANESE US HLDGS LLC | 5.875% 15/JUN/2021 1,027,000 | 1,101,802 | 1,093,755 | |||||||||
CENTERPOINT ENERGY TRANS BD CO | 5.09% 01/AUG/2015 4,112,967 | 4,176,253 | 4,128,827 | |||||||||
CENTURYLINK INC | 5.625% 01/APR/2020 535,000 | 541,687 | 544,362 | |||||||||
CENTURYLINK INC | 6.45% 15/JUN/2021 4,056,000 | 4,222,135 | 4,218,240 | |||||||||
CENTURYLINK INC | 6.75% 01/DEC/2023 714,000 | 714,000 | 722,925 | |||||||||
CEQUEL COMMUN HLDG | 6.375% 15/SEP/2020 2,655,000 | 2,779,071 | 2,721,375 | |||||||||
CHESAPEAKE ENERGY CORP | 5.75% 15/MAR/2023 1,656,000 | 1,695,866 | 1,705,680 | |||||||||
CHESAPEAKE ENERGY CORP | 6.125% 15/FEB/2021 1,000,000 | 1,027,500 | 1,072,500 | |||||||||
CHESAPEAKE ENERGY CORP | 6.625% 15/AUG/2020 3,716,000 | 3,824,984 | 4,152,630 | |||||||||
CHESAPEAKE ENERGY CORP | 6.875% 15/NOV/2020 250,000 | 270,000 | 282,500 | |||||||||
CHESAPEAKE ENERGY CORP | 7.25% 15/DEC/2018 750,000 | 826,875 | 866,250 | |||||||||
CHINA CONSTRUCTION BANK CORP | 0.50% 04/MAR/2014 2,100,000 | 2,100,067 | 2,100,992 | |||||||||
CHINA CONSTRUCTION BK | 0.65% 01/APR/2014 2,300,000 | 2,300,000 | 2,302,205 | |||||||||
CHINOS INTERMEDIATE HOLDINGS INC | 7.75% 01/MAY/2019 811,000 | 811,610 | 829,247 | |||||||||
CHOICE HOTELS INT'L INC | 5.75% 01/JUL/2022 856,000 | 871,730 | 893,450 | |||||||||
CHRYSLER GROUP LLC | 8% 15/JUN/2019 530,000 | 522,311 | 585,650 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
CHRYSLER GROUP LLC | 8.25% 15/JUN/2021 924,000 | 894,883 | 1,051,050 | |||||||||
COMMUNITY HEALTH SYSTEMS INC | 5.125% 15/AUG/2018 1,385,000 | 1,449,825 | 1,430,012 | |||||||||
COMMUNITY HEALTH SYSTEMS INC | 8% 15/NOV/2019 1,223,000 | 1,234,140 | 1,326,955 | |||||||||
CIE FINANCEMENT FONCIER | 2.5% 16/SEP/2015 5,000,000 | 4,983,450 | 5,143,045 | |||||||||
CINEMARK USA INC | 4.875% 01/JUN/2023 421,000 | 388,899 | 395,740 | |||||||||
CISCO SYSTEMS INC | 1.625% 14/MAR/2014 3,000,000 | 3,008,415 | 3,007,626 | |||||||||
CIT GROUP INC | 5% 15/AUG/2022 979,000 | 979,000 | 954,525 | |||||||||
CIT GROUP INC | 5% 01/AUG/2023 735,000 | 728,569 | 707,437 | |||||||||
CIT GROUP INC | 5.25% 15/MAR/2018 1,018,000 | 1,018,000 | 1,091,805 | |||||||||
CIT GROUP INC | 5.375% 15/MAY/2020 615,000 | 673,425 | 653,437 | |||||||||
CIT GROUP INC | 5.5% 15/FEB/2019 3,000,000 | 3,011,250 | 3,217,500 | |||||||||
CIT GROUP INC | 6.625% 01/APR/2018 405,000 | 422,212 | 455,119 | |||||||||
CITIBANK CREDIT CARD ISSUANCE TR | FLT 07/FEB/2018 2,000,000 | 2,000,000 | 2,000,552 | |||||||||
CITIBANK CREDIT CARD ISSUANCE TR | FLT 07/NOV/2018 3,500,000 | 3,500,000 | 3,500,000 | |||||||||
CITIBANK CREDIT CARD ISSUANCE TR | VAR 25/NOV/2016 2,500,000 | 2,500,000 | 2,500,000 | |||||||||
CITIBANK CREDIT CARD ISSUANCE TR | FLT 12/DEC/2016 825,000 | 824,728 | 825,236 | |||||||||
CITIBANK CREDIT CARD ISSUANCE TR | 4.90% 23/JUN/2016 4,000,000 | 4,092,278 | 4,085,796 | |||||||||
CITIGROUP INC | 6% 15/AUG/2017 2,900,000 | 2,642,306 | 3,305,304 | |||||||||
CLAIRES STORES INC | 6.125% 15/MAR/2020 1,301,000 | 1,323,766 | 1,255,465 | |||||||||
CLEAN HARBORS INC | 5.25% 01/AUG/2020 1,399,000 | 1,410,808 | 1,440,970 | |||||||||
CLEAR CHANNEL COMM INC | 9% 01/MAR/2021 3,061,000 | 3,002,381 | 3,091,610 | |||||||||
CLEAR CHANNEL WW HLDGS INC | 6.5% 15/NOV/2022 938,000 | 928,620 | 950,897 | |||||||||
CLEAR CHANNEL WW HLDGS INC | 6.50% 15/NOV/2022 2,032,000 | 2,032,000 | 2,075,180 | |||||||||
CLEAR CHANNEL WW HLDGS INC | 7.63% 15/MAR/2020 2,786,000 | 2,781,901 | 2,928,782 | |||||||||
CME GROUP INC | 5.75% 15/FEB/2014 4,000,000 | 4,026,019 | 4,023,448 | |||||||||
CNH CAPITAL LLC | 3.625% 15/APR/2018 1,333,000 | 1,346,107 | 1,351,329 | |||||||||
CNH EQUIPMENT TR | 0.44% 15/JUL/2016 5,600,000 | 5,600,010 | 5,599,681 | |||||||||
CNH EQUIPMENT TR | 1.2% 16/MAY/2016 1,122,918 | 1,124,915 | 1,123,750 | |||||||||
CNH EQUIPMENT TR | 0.230% 16/JUN/2014 2,083,844 | 2,083,844 | 2,083,844 | |||||||||
CNH EQUIPMENT TR | 0.440% 17/OCT/2016 700,000 | 699,995 | 699,866 | |||||||||
CNH EQUIPMENT TR | 0.49% 15/MAR/2017 1,000,000 | 999,925 | 999,698 | |||||||||
CNH EQUIPMENT TR | 0.65% 15/OCT/2015 130,075 | 130,069 | 130,089 | |||||||||
COCA-COLA COMPANY CORP | 0.24% 14/FEB/2014 8,000,000 | 7,998,044 | 7,999,300 | |||||||||
CODELCO INC | 4.75% 15/OCT/2014 223,000 | 208,082 | 229,179 | |||||||||
COGECO CABLE INC | 4.875% 01/MAY/2020 369,000 | 369,000 | 356,085 | |||||||||
COLUMBUS MCKINNON CORP | 7.875% 01/FEB/2019 960,000 | 988,800 | 1,034,400 | |||||||||
CMMNWLTH BANK OF AUSTRALIA | 2.125% 17/MAR/2014 4,000,000 | 4,014,559 | 4,015,392 | |||||||||
CMMNWLTH BANK OF AUSTRALIA | VAR 17/MAR/2014 2,200,000 | 2,203,292 | 2,204,129 | |||||||||
COMSTOCK RES INC | 9.5% 15/JUN/2020 2,653,000 | 2,605,974 | 2,971,360 | |||||||||
CONCHO RESOURCES INC | 6.5% 15/JAN/2022 1,057,000 | 1,102,787 | 1,144,202 | |||||||||
CONCHO RESOURCES INC | 5.5% 01/APR/2023 2,470,000 | 2,593,500 | 2,544,100 | |||||||||
CONCHO RESOURCES INC | 7.0% 15/JAN/2021 920,000 | 991,300 | 1,012,000 | |||||||||
CONOCO FUNDING CO | 7.25% 15/OCT/2031 3,000 | 3,276 | 3,874 | |||||||||
CONTINENTAL RESOURCE INC | 4.5% 15/APR/2023 3,445,000 | 3,499,325 | 3,492,369 | |||||||||
CONTINENTAL RESOURCE INC | 5.00% 15/SEP/2022 4,449,000 | 4,487,800 | 4,621,399 | |||||||||
CONVATEC FINANCE | 8.25% 15/JAN/2019 1,050,000 | 1,055,250 | 1,074,937 | |||||||||
CONVATEC HEALTHCARE | 10.5% 15/DEC/2018 1,845,000 | 1,928,025 | 2,073,319 | |||||||||
CORRECTIONS CORP OF AMERICA | 4.625% 01/MAY/2023 1,120,000 | 1,058,400 | 1,055,600 | |||||||||
CORSAIR(JERSEY) | VAR 04/OCT/2014 769,000 | 768,786 | 768,933 | |||||||||
CPM ACQUISITION CORP | ZCP AUG/2017 1,425,950 | 1,411,690 | 1,434,862 | |||||||||
CREDIT AGRICOLE HOME LOAN | VAR 21/JUL/2014 7,200,000 | 7,200,000 | 7,221,722 | |||||||||
CREDIT AGRICOLE N A | 0.43% 18/MAR/2014 4,000,000 | 3,996,453 | 3,998,400 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
CREDIT IND ET CM NY | 0.36% 24/FEB/2014 2,900,000 | 2,900,000 | 2,900,841 | |||||||||
CREDIT SUISSE | VAR 15/JAN/2015 2,000,000 | 2,000,000 | 2,002,686 | |||||||||
CREDIT SUISSE | VAR 15/MAY/2015 1,900,000 | 1,900,000 | 1,900,000 | |||||||||
CROWN CASTLE INTL CORP | 5.25% 15/JAN/2023 1,876,000 | 1,902,735 | 1,838,480 | |||||||||
CSC HOLDINGS INC | 8.625% 15/FEB/2019 1,380,000 | 1,581,550 | 1,618,050 | |||||||||
CSC HOLDINGS INC | 6.75% 15/NOV/2021 1,231,000 | 1,311,654 | 1,326,402 | |||||||||
CVS CAREMARK | 5.88% 10/JAN/2028 180,883 | 174,573 | 196,237 | |||||||||
CVS CAREMARK CORP | 6.04% 10/DEC/2028 733,425 | 539,559 | 806,851 | |||||||||
CYRUSONE INC | 6.375% 15/NOV/2022 2,051,000 | 2,087,107 | 2,122,785 | |||||||||
DANA HOLDING CORP | 6.75% 15/FEB/2021 1,920,000 | 1,945,271 | 2,064,000 | |||||||||
DARLING ESCROW CORP | 5.375% 15/JAN/2022 888,000 | 896,357 | 894,660 | |||||||||
DAVITA HEALTHCARE | 5.75% 15/AUG/2022 2,625,000 | 2,640,235 | 2,657,812 | |||||||||
DEUTSCHE BANK AG NY | 0.61% 06/JUN/2014 1,000,000 | 1,000,000 | 1,001,433 | |||||||||
DEUTSCHE BANK AG NY | 0.63% 14/MAR/2014 3,000,000 | 3,000,000 | 3,002,547 | |||||||||
DEUTSCHE BANK AG NY | 0.51% 17/SEP/2014 2,000,000 | 2,000,000 | 2,002,009 | |||||||||
DIGITAL INSIGHT CORP | ZCP AUG/2019 289,000 | 287,555 | 289,633 | |||||||||
DIGITALGLOBE INC | 5.25% 01/FEB/2021 1,075,000 | 1,081,937 | 1,048,125 | |||||||||
DISCOVER CARD | VAR 15/MAR/2017 3,700,000 | 3,705,436 | 3,701,058 | |||||||||
DISCOVER CARD | VAR 17/OCT/2016 1,475,000 | 1,475,556 | 1,475,301 | |||||||||
DISCOVER CARD | VAR 15/AUG/2016 11,301,000 | 11,316,676 | 11,305,147 | |||||||||
DISH DBS CORP | 5.875% 15/JUL/2022 450,000 | 459,594 | 450,000 | |||||||||
DISH DBS CORP | 6.75% 01/JUN/2021 3,755,000 | 4,027,768 | 3,980,300 | |||||||||
DISH DBS CORP | 7.875% 01/SEP/2019 113,000 | 123,876 | 129,385 | |||||||||
DRYROCK ISSUANCE TR | VAR 15/AUG/2017 2,000,000 | 2,000,847 | 1,998,500 | |||||||||
DRYROCK ISSUANCE TR | FLT 16/JUL/2018 1,500,000 | 1,500,738 | 1,499,742 | |||||||||
DUKE ENERGY OHIO INC BOND | VAR 06/MAR/2015 1,422,000 | 1,422,000 | 1,422,701 | |||||||||
DUPONT FABROS TECHN LP | 5.875% 15/SEP/2021 579,000 | 579,000 | 597,817 | |||||||||
DUPONT PERFORMANCE COATINGS | ZCP JAN/2020 631,230 | 624,918 | 636,479 | |||||||||
E TRADE FINANCIAL CORP | 6.375% 15/NOV/2019 1,213,000 | 1,213,000 | 1,302,459 | |||||||||
EASTON-BELL SPORTS INC | 9.75% 01/DEC/2016 750,000 | 830,625 | 785,632 | |||||||||
EL PASO CORP | 6.5% 15/SEP/2020 1,532,000 | 1,683,439 | 1,642,797 | |||||||||
EL PASO CORP | 7% 15/JUN/2017 1,000,000 | 1,147,296 | 1,130,637 | |||||||||
EL PASO CORP | 7.25% 01/JUN/2018 188,000 | 213,650 | 214,628 | |||||||||
EL PASO CORP | 7.42% 15/FEB/2037 1,500,000 | 1,751,100 | 1,424,646 | |||||||||
EL PASO CORP | 7.75% 15/JAN/2032 405,000 | 302,043 | 411,097 | |||||||||
EL PASO CORP | 7.80% 01/AUG/2031 697,000 | 523,595 | 707,293 | |||||||||
EL PASO NATURAL GAS | 7.5% 15/NOV/2026 74,000 | 88,028 | 89,771 | |||||||||
EL PASO NATURAL GAS | 8.375% 15/JUN/2032 70,000 | 62,621 | 89,830 | |||||||||
EL PASO NATURAL GAS | 8.625% 15/JAN/2022 204,000 | 267,525 | 256,188 | |||||||||
ELECTRICITE DE FRANCE | 0.58% 02/JAN/2015 2,000,000 | 1,988,845 | 1,989,194 | |||||||||
ELECTRICITE DE FRANCE | 0.82% 10/JAN/2014 1,950,000 | 1,949,609 | 1,949,931 | |||||||||
ELECTRICITE DE FRANCE | 0.83% 15/JAN/2014 900,000 | 899,738 | 899,948 | |||||||||
EMDEON INC | 11% 31/DEC/2019 1,060,000 | 1,076,691 | 1,224,300 | |||||||||
EQUINIX INC | 4.88% 01/APR/2020 2,700,000 | 2,710,625 | 2,686,500 | |||||||||
EQUINIX INC | 7.00% 15/JUL/2021 1,226,000 | 1,281,170 | 1,339,405 | |||||||||
ESC LEHMAN BRTH HLD | 5.250% 06/FEB/2012 210,000 | 26,775 | 44,625 | |||||||||
EVEREST ACQUISITION LLC | 7.75% 01/SEP/2022 475,000 | 534,050 | 532,000 | |||||||||
EVEREST ACQUISITION LLC | 9.375% 01/MAY/2020 668,000 | 674,670 | 770,705 | |||||||||
EXPORT DEVELMT CORP | 0.135% 19/FEB/2014 4,000,000 | 3,999,292 | 3,999,739 | |||||||||
EXPORTFINANS A/S | 5.5% 25/MAY/2016 1,053,000 | 1,087,951 | 1,110,915 | |||||||||
FIFTH THIRD AUTO TR | 0.45% 15/JAN/2016 965,191 | 965,137 | 964,947 | |||||||||
FIRST DATA CORP | 7.375% 15/JUN/2019 2,642,000 | 2,635,430 | 2,820,335 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
FIRST DATA CORP | 12.63% 15/JAN/2021 2,745,000 | 2,770,910 | 3,221,944 | |||||||||
FIRST DATA CORP | 8.25% 15/JAN/2021 1,903,000 | 1,963,582 | 2,024,316 | |||||||||
FIRST DATA CORP | 11.75% 15/AUG/2021 1,290,000 | 1,290,000 | 1,360,950 | |||||||||
FIRST DATA CORP | 11.75% 15/AUG/2021 838,000 | 867,330 | 884,090 | |||||||||
FIRST DATA CORP | 6.75% 01/NOV/2020 1,243,000 | 1,232,969 | 1,292,720 | |||||||||
FIRSTENERGY CORP | 7.375% 15/NOV/2031 1,108,000 | 1,057,529 | 1,203,935 | |||||||||
FMG FUND MANAGERS(BERMUDA) | 7.0% 01/NOV/2015 123,000 | 126,382 | 127,612 | |||||||||
FMG RESOURCES | 8.25% 01/NOV/2019 324,000 | 327,919 | 363,690 | |||||||||
FMG RESOURCES | 6.875% 01/FEB/2018 2,022,000 | 2,085,174 | 2,128,155 | |||||||||
FORD CREDIT AUTO | 1.58% 15/SEP/2015 3,499,234 | 3,514,056 | 3,512,737 | |||||||||
FORD CREDIT AUTO | 0.4% 15/SEP/2015 1,539,080 | 1,539,175 | 1,539,264 | |||||||||
FORD CREDIT AUTO | 0.47% 15/APR/2015 68,815 | 68,834 | 68,815 | |||||||||
FORD CREDIT AUTO | 0.380% 15/NOV/2015 730,281 | 730,240 | 730,345 | |||||||||
FORD CREDIT AUTO | 0.55% 15/APR/2016 1,750,000 | 1,749,995 | 1,750,711 | |||||||||
FORD CREDIT AUTO | 0.45% 15/AUG/2016 2,000,000 | 1,999,808 | 1,999,730 | |||||||||
FORD CREDIT AUTO | 0.38% 15/FEB/2016 1,542,631 | 1,542,535 | 1,542,280 | |||||||||
FORD CREDIT FLOORPLAN | VAR 15/FEB/2016 1,675,000 | 1,676,920 | 1,676,008 | |||||||||
FORD CREDIT MASTER | 0.7118% 15/JAN/2016 2,700,000 | 2,701,248 | 2,700,248 | |||||||||
FORD CREDIT OWNER TR | 1.65% 15/MAY/2016 3,069,735 | 3,087,923 | 3,088,347 | |||||||||
FOUR SEASONS HOLDINGS INC | ZCP JUN/2021 354,000 | 350,460 | 363,292 | |||||||||
FREESCALE SEMICONDUCTOR INC | 6% 15/JAN/2022 1,800,000 | 1,806,750 | 1,822,500 | |||||||||
FRESENIUS MED CARE CAP TST III | 5.625% 31/JUL/2019 485,000 | 485,000 | 523,800 | |||||||||
FRONTIER COMM CORP | 7.125% 15/JAN/2023 1,335,000 | 1,358,362 | 1,318,312 | |||||||||
FRONTIER COMM CORP | 8.25% 15/APR/2017 925,000 | 966,875 | 1,073,000 | |||||||||
FRONTIER COMM CORP | 8.75% 15/APR/2022 1,050,000 | 1,068,097 | 1,165,500 | |||||||||
FRONTIER COMM CORP | 9.25% 01/JUL/2021 874,000 | 1,013,842 | 1,007,285 | |||||||||
GARDNER DENVER INC | 6.875% 15/AUG/2021 1,538,000 | 1,538,000 | 1,534,155 | |||||||||
GARDNER DENVER INC | ZCP MAR/2020 744,078 | 742,218 | 745,473 | |||||||||
GATX FINL CORP | 5.8% 01/MAR/2016 1,000,000 | 996,290 | 1,083,396 | |||||||||
GE CAPITAL CREDIT CARD | VAR 15/JAN/2017 8,045,000 | 8,050,686 | 8,046,408 | |||||||||
GENERAL ELEC | 4.75% 15/SEP/2014 700,000 | 720,227 | 721,937 | |||||||||
GENERAL ELEC | 0.20% 25/MAR/2014 8,000,000 | 7,996,496 | 7,998,618 | |||||||||
GENERAL MOTORS CO | 4.875% 02/OCT/2023 1,550,000 | 1,567,143 | 1,569,375 | |||||||||
GIBRALTAR INDUSTRIES INC | 6.25% 01/FEB/2021 765,000 | 787,950 | 786,037 | |||||||||
GLITNIR BANKI HF | 6.33% 28/JUL/2011 590,000 | 39,825 | 172,575 | |||||||||
GLITNIR BANKI HF | 6.375% 25/SEP/2012 680,000 | 45,900 | 198,900 | |||||||||
GLITNIR BANKI HF | VAR 15/JUN/2016 1,060,000 | 106 | 1,325 | |||||||||
GOLDEN CREDIT CARD TR | VAR 17/JUL/2017 370,000 | 371,015 | 370,903 | |||||||||
GOLDMAN SACHS GROUP INC | 5.625% 15/JAN/2017 910,000 | 776,207 | 1,002,764 | |||||||||
GOLDMAN SACHS GROUP INC | VAR 22/MAR/2016 4,300,000 | 2,964,850 | 4,285,247 | |||||||||
GOODMAN NETWORKS INC | 12.125% 01/JUL/2018 874,000 | 896,927 | 922,070 | |||||||||
GOODMAN NETWORKS INC | 12.125% 01/JUL/2018 704,000 | 739,200 | 742,720 | |||||||||
GOOGLE INC | 0.205% 19/FEB/2014 8,000,000 | 7,998,802 | 7,999,478 | |||||||||
GRAPHIC PACKAGING INTL INC | 4.75% 15/APR/2021 537,000 | 543,712 | 531,630 | |||||||||
H&E EQUIPMENT SERVICES LLC | 7% 01/SEP/2022 183,000 | 198,555 | 199,470 | |||||||||
HALCON RESOURCES CORP | 9.75% 15/JUL/2020 503,000 | 516,832 | 523,749 | |||||||||
HARLEY DAVIDSON MTC TR | 0.960% 16/MAY/2016 2,374,553 | 2,378,430 | 2,377,245 | |||||||||
HARLEY DAVIDSON MTC TR | 1.110% 15/SEP/2016 1,169,874 | 1,173,137 | 1,172,178 | |||||||||
HARLEY DAVIDSON MTC TR | 0.45% 15/AUG/2016 3,886,386 | 3,886,337 | 3,886,553 | |||||||||
HARLEY DAVIDSON MTC TR | 0.5% 15/AUG/2015 661,215 | 661,501 | 661,222 | |||||||||
HCA INC | 4.75% 01/MAY/2023 1,880,000 | 1,863,990 | 1,767,200 | |||||||||
HCA INC | 5.875% 01/MAY/2023 1,015,000 | 1,025,150 | 1,002,312 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
HCA INC | 6.25% 15/FEB/2021 468,000 | 492,703 | 489,645 | |||||||||
HCA INC | 6.5% 15/FEB/2020 3,015,000 | 3,131,719 | 3,312,731 | |||||||||
HCA INC | 7.5% 15/FEB/2022 2,000,000 | 2,008,387 | 2,195,000 | |||||||||
HD SUPPLY INC | 11.5% 15/JUN/2020 675,000 | 759,375 | 805,781 | |||||||||
HD SUPPLY INC | 7.5% 15/JUL/2020 2,300,000 | 2,300,000 | 2,478,250 | |||||||||
HERTZ CORP | 5.875% 15/OCT/2020 990,000 | 1,044,450 | 1,025,887 | |||||||||
HERTZ CORP | 6.25% 15/OCT/2022 486,000 | 493,530 | 501,795 | |||||||||
HERTZ CORP | 7.375% 15/JAN/2021 1,675,000 | 1,708,962 | 1,838,312 | |||||||||
HILAND PARTNERS LP | 7.25% 01/OCT/2020 4,946,000 | 5,224,774 | 5,304,585 | |||||||||
HILTON WORLDWIDE FINANCE LLC | 5.625% 15/OCT/2021 2,585,000 | 2,613,262 | 2,681,937 | |||||||||
HOCKEY MERGER SUB 2 INC | 7.875% 01/OCT/2021 2,551,000 | 2,555,222 | 2,621,152 | |||||||||
HOME EQUITY MORTGAGE | VAR 25/APR/2037 1,500,000 | 332,001 | 948,039 | |||||||||
HONDA AUTO RCVBL | 0.37% 17/11/2014 1,580,000 | 1,580,424 | 1,580,133 | |||||||||
HONDA AUTO RCVBL | 0.88% 21/SEP/2015 3,862,409 | 3,870,358 | 3,870,868 | |||||||||
HONDA AUTO RCVBL | 0.94% 18/MAR/2015 1,008,886 | 1,010,479 | 1,010,325 | |||||||||
HONDA AUTO RCVBL | 0.460% 15/DEC/2014 149,728 | 149,800 | 149,743 | |||||||||
HONDA AUTO RCVBL | 0.460% 15/DEC/2014 827,396 | 827,660 | 827,479 | |||||||||
HONDA AUTO RCVBL | 0.240% 16/MAY/2014 69,466 | 69,447 | 69,466 | |||||||||
HSBC BANK PLC | VAR 17/JAN/2014 1,500,000 | 1,500,298 | 1,500,471 | |||||||||
HSBC FINANCE CORP | VAR 15/JAN/2014 6,500,000 | 6,380,270 | 6,500,065 | |||||||||
HUGHES SATELLITE SYS CORP | 7.625% 15/JUN/2021 1,400,000 | 1,456,000 | 1,561,000 | |||||||||
HUMAN INT'L | 4.875% 15/NOV/2020 595,000 | 599,462 | 586,075 | |||||||||
HUMAN INT'L | 8.625% 15/MAR/2021 134,000 | 149,546 | 151,420 | |||||||||
HUNTINGTON AUTO TR | 0.38% 15/SEP/2015 4,385,742 | 4,386,091 | 4,386,018 | |||||||||
HUNTINGTON INGALLS INDSTRS INC | 6.875% 15/MAR/2018 760,000 | 792,300 | 820,800 | |||||||||
HUNTINGTON INGALLS INDSTRS INC | 7.125% 15/MAR/2021 1,117,000 | 1,150,556 | 1,225,907 | |||||||||
HUNTNGTN AT TR | 1.01% 15/JAN/2016 1,593,880 | 1,597,860 | 1,597,717 | |||||||||
HYUNDAI AUTO LEASE | 0.51% 15/SEP/2015 1,435,088 | 1,435,256 | 1,435,407 | |||||||||
HYUNDAI AUTO LEASE | 0.68% 15/JAN/2015 85,925 | 85,994 | 85,932 | |||||||||
HYUNDAI AUTO LEASE | 0.92% 17/AUG/2015 1,120,000 | 1,122,712 | 1,122,447 | |||||||||
HYUNDAI AUTO LEASE | 0.83% 15/DEC/2015 1,957,850 | 1,961,246 | 1,961,196 | |||||||||
HYUNDAI AUTO LEASE | 0.4% 17/AUG/2015 1,307,183 | 1,307,569 | 1,307,061 | |||||||||
HYUNDAI AUTO LEASE | 0.72% 15/MAR/2016 587,144 | 587,865 | 588,065 | |||||||||
HYUNDAI AUTO LEASE | 0.40% 15/DEC/2015 1,810,994 | 1,810,975 | 1,811,090 | |||||||||
HYUNDAI AUTO LEASE | 0.530% 15/MAR/2016 900,000 | 899,996 | 900,524 | |||||||||
ICICI BANK | 2.0075% 24/FEB/2014 3,000,000 | 3,000,000 | 3,000,870 | |||||||||
IMS HEALTH INC | 6.00% 01/NOV/2020 789,000 | 802,721 | 838,312 | |||||||||
INDUSTRIAL CO | 0.77% 14/FEB/2014 4,000,000 | 4,000,000 | 4,002,896 | |||||||||
ING BANK | 1.65288% 09/JUN/2014 900,000 | 900,000 | 904,882 | |||||||||
INMET MINING CORP | 7.5% 01/JUN/2021 938,000 | 952,543 | 980,210 | |||||||||
INMET MINING CORP | 8.75% 01/JUN/2020 2,446,000 | 2,412,368 | 2,653,910 | |||||||||
INTEGRA TELECOM, INC | ZCP 20/FEB/2019 661,295 | 654,682 | 673,637 | |||||||||
INTELSAT JACKSON HLDGS SA | 5.5% 01/AUG/2023 833,000 | 833,000 | 792,391 | |||||||||
INTELSAT JACKSON HLDGS SA | 7.25% 15/OCT/2020 1,930,000 | 1,966,275 | 2,110,937 | |||||||||
INTELSAT JACKSON HLDGS SA | 7.5% 01/APR/2021 1,500,000 | 1,511,250 | 1,653,750 | |||||||||
INTELSAT LUXEMBOURG SA | 7.75% 01/JUN/2021 267,000 | 283,020 | 286,357 | |||||||||
INTELSAT LUXEMBOURG SA | 8.125% 01/JUN/2023 2,315,000 | 2,513,350 | 2,482,837 | |||||||||
INTERFACE INC | 7.625% 01/DEC/2018 1,157,000 | 1,236,442 | 1,243,775 | |||||||||
INTERLINE BRANDS INC | 7.5% 15/NOV/2018 2,019,000 | 2,089,041 | 2,140,140 | |||||||||
INT'L BUS MACH CORP | 1.25% 12/MAY/2014 9,150,000 | 9,183,394 | 9,178,337 | |||||||||
INT'L LEASE FINANCE CORP | 8.25% 15/DEC/2020 4,517,000 | 5,311,728 | 5,284,890 | |||||||||
INTERSTATE BAKERIES CORP | ZCP MAR/2020 768,000 | 771,073 | 796,800 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
INTL LEASE FINANCE | 4.625% 15/APR/2021 1,100,000 | 1,104,125 | 1,050,500 | |||||||||
ION TRADING TECHNOLOGIES | ZCP MAY/2021 2,015,013 | 2,015,457 | 2,054,064 | |||||||||
JAGUAR HLDG CO II | 9.5% 01/DEC/2019 915,000 | 921,863 | 1,029,375 | |||||||||
JAGUAR LAND ROVER | 4.125% 15/DEC/2018 1,060,000 | 1,063,975 | 1,066,625 | |||||||||
JM HUBER CORP | 9.875% 01/NOV/2019 929,000 | 922,711 | 1,067,189 | |||||||||
JMC STEEL GROUP | 8.25% 15/MAR/2018 1,099,000 | 1,147,443 | 1,109,990 | |||||||||
JOHN DEERE | VAR 25/APR/2014 2,000,000 | 2,000,824 | 2,001,008 | |||||||||
JOHN DEERE | VAR 03/MAR/2014 750,000 | 750,217 | 750,404 | |||||||||
JOHN DEERE | 0.43% 17/FEB/2015 1,103,715 | 1,103,883 | 1,103,749 | |||||||||
JOHN DEERE | 1.29% 15/JAN/2016 1,855,303 | 1,860,836 | 1,857,008 | |||||||||
JOHN DEERE | 0.41% 15/SEP/2015 973,286 | 973,180 | 973,191 | |||||||||
JOHN DEERE | 0.55% 15/JAN/2016 550,000 | 549,979 | 550,221 | |||||||||
JOHN DEERE CAPITAL CORP | 0.25% 26/SEP/2014 1,169,186 | 1,169,186 | 1,169,186 | |||||||||
KINETIC CONCEPTS INC | 10.50% NOV/2018 636,000 | 632,373 | 731,400 | |||||||||
KODIAK OIL & GAS CORP | 8.125% 01/DEC/2019 1,739,000 | 1,795,794 | 1,930,290 | |||||||||
KODIAK OIL & GAS CORP | 5.5% 01/FEB/2022 2,297,000 | 2,251,869 | 2,285,515 | |||||||||
KODIAK OIL & GAS CORP | 5.5% 15/JAN/2021 1,640,000 | 1,679,736 | 1,635,900 | |||||||||
KOREA ELECTRIC PWR GLBL | 3% 05/OCT/2015 1,700,000 | 1,694,288 | 1,750,165 | |||||||||
LAREDO PETROLEUM INC | 7.375% 01/MAY/2022 2,723,000 | 2,906,690 | 2,954,455 | |||||||||
LAREDO PETROLEUM INC | 9.50% 15/FEB/2019 2,624,000 | 2,816,485 | 2,932,320 | |||||||||
LBC TANK TERMINAL | 6.875% 15/MAY/2023 1,516,000 | 1,551,790 | 1,567,165 | |||||||||
LEAR CORP | 8.125% 15/MAR/2020 565,000 | 619,241 | 622,912 | |||||||||
LEH.BROS.HOLD.INC. | 6.2% 26/SEP/2014 340,000 | 43,350 | 73,525 | |||||||||
LEVEL 3 COMM INC | 11.88% 01/FEB/2019 1,317,000 | 1,459,685 | 1,514,550 | |||||||||
LEVEL 3 COMM INC | 8.875% 01/JUN/2019 389,000 | 389,000 | 424,983 | |||||||||
LEVEL 3 FINANCING INC | 7% 01/JUN/2020 409,000 | 417,246 | 433,540 | |||||||||
LEVEL 3 FINANCING INC | 8.625% 15/JUL/2020 525,000 | 525,000 | 588,000 | |||||||||
LEVEL 3 FINANCING INC | 9.375% 01/APR/2019 1,070,000 | 1,127,475 | 1,197,062 | |||||||||
LEVEL 3 FINANCING INC | 6.125% 15/JAN/2021 750,000 | 764,063 | 757,500 | |||||||||
LEVEL 3 FINANCING INC | 8.125% 01/JUL/2019 1,100,000 | 1,212,750 | 1,204,500 | |||||||||
LIBBEY GLASS | 6.875% 5/MAY/2020 1,069,000 | 1,112,983 | 1,154,520 | |||||||||
LIFEPOINT HOSPITALS INC | 5.5% 01/DEC/2021 1,068,000 | 1,068,000 | 1,072,005 | |||||||||
LILLY(ELI)& CO | 4.2% 06/MAR/2014 4,000,000 | 4,026,947 | 4,026,300 | |||||||||
LIMITED BRANDS INC | 6.625% 01/APR/2021 973,000 | 990,365 | 1,067,868 | |||||||||
LLOYDS BANK PLC | 5.8% 13/JAN/2020 700,000 | 698,369 | 802,528 | |||||||||
LONESTAR INTERMEDIATE | ZCP 02/SEP/2019 342,000 | 338,580 | 354,825 | |||||||||
LONESTAR INTERMEDIATE | ZCP 07/AUG/2019 2,159,000 | 2,112,558 | 2,239,962 | |||||||||
MACQUARIE BANK LIMITED | ZCP 20/MAY/2014 4,000,000 | 3,994,749 | 3,995,847 | |||||||||
MARKWEST ENERGY PARTNERS LP | 4.5% 15/JUL/2023 1,850,000 | 1,813,000 | 1,734,375 | |||||||||
MARKWEST ENERGY PARTNERS LP | 6.50% 15/AUG/2021 800,000 | 868,000 | 860,000 | |||||||||
MARKWEST ENERGY PARTNERS LP | 5.5% 15/FEB/2023 400,000 | 402,000 | 403,000 | |||||||||
MARKWEST ENERGY PARTNERS LP | 6.25% 15/JUN/2022 1,948,000 | 2,056,783 | 2,060,010 | |||||||||
MASSMUTUAL GLOBAL FUNDING | 2.875% 21/APR/2014 300,000 | 302,194 | 302,316 | |||||||||
MDC PARTNERS INC | 6.75% 01/APR/2020 1,366,000 | 1,396,436 | 1,429,178 | |||||||||
MELLON FUNDING CORP | VAR 15/MAY/2014 1,000,000 | 1,000,160 | 1,000,305 | |||||||||
MERCEDES-BENZ AUTO | 0.37% 16/MAR/2015 651,667 | 651,653 | 651,702 | |||||||||
MERCEDES-BENZ AUTO | 0.49% 15/JUN/2015 4,370,000 | 4,372,020 | 4,370,760 | |||||||||
MERCEDES-BENZ AUTO | 0.85% 16/MAR/2015 292,763 | 293,063 | 292,966 | |||||||||
MERCEDES-BENZ AUTO | 0.880% 17/NOV/2014 3,396,868 | 3,401,252 | 3,398,858 | |||||||||
MERCEDES-BENZ AUTO | 0.500% 15/MAR/2016 1,000,000 | 999,936 | 1,000,400 | |||||||||
MERITAGE HOMES CORP | 4.5% 01/MAR/2018 1,087,000 | 1,088,300 | 1,081,565 | |||||||||
MERITAGE HOMES CORP | 7% 01/APR/2022 684,000 | 695,275 | 723,330 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
METLIFE FNDG INC | 0.10% 11/FEB/2014 8,000,000 | 7,998,998 | 7,998,992 | |||||||||
METLIFE INSTL FDG II | VAR 10/JAN/2014 1,200,000 | 1,200,000 | 1,200,010 | |||||||||
METRO LIFE GLOBAL FUNDING | 2% 09/JAN/2015 300,000 | 303,920 | 304,853 | |||||||||
METRO LIFE GLOBAL FUNDING | VAR 19/MAR/2014 711,000 | 711,000 | 711,634 | |||||||||
METRO LIFE GLOBAL FUNDING | VAR 10/JAN/2014 2,989,000 | 2,989,558 | 2,989,460 | |||||||||
MGM RESORTS INTL | 10% 01/NOV/2016 2,075,000 | 2,243,594 | 2,490,000 | |||||||||
MGM RESORTS INTL | 11.375% 01/MAR/2018 455,000 | 517,563 | 577,850 | |||||||||
MGM RESORTS INTL | 6.625% 15/DEC/2021 963,000 | 1,022,570 | 1,018,373 | |||||||||
MGM RESORTS INTL | 6.75% 01/OCT/2020 1,240,000 | 1,267,900 | 1,326,800 | |||||||||
MICHAELS FINCO HOLDINGS LLC | 7.5% 01/AUG/2018 1,525,000 | 1,525,000 | 1,586,000 | |||||||||
MIZUHO BANK LTD | 0.21% 02/27/2014 5,800,000 | 5,800,000 | 5,800,187 | |||||||||
MOMENTIVE PERFRMNC MATRLS INC | 10% 15/OCT/2020 280,000 | 293,825 | 293,300 | |||||||||
MOMENTIVE PERFRMNC MATRLS INC | 8.875% 15/OCT/2020 1,486,000 | 1,515,251 | 1,564,015 | |||||||||
MONITRONICS INTL INC | 9.125% APR/2020 1,168,000 | 1,201,625 | 1,238,080 | |||||||||
MONUMENTAL GLOBAL FUNDING III | 5.25% 15/JAN/2014 1,000,000 | 1,001,739 | 1,001,582 | |||||||||
MORGAN STANLEY | VAR 15/OCT/2015 649,000 | 506,220 | 647,630 | |||||||||
MORGAN STANLEY | 5.75% 25/JAN/2021 3,600,000 | 3,751,776 | 4,072,550 | |||||||||
MOTORS LIQUIDATION CO | 8.38% 15/JUL/2033 750,000 | 21,562 | 5,625 | |||||||||
NATAUSBK | VAR 28/MAY/2015 950,000 | 951,083 | 949,770 | |||||||||
NATEXIS BANQUES POPLR | ZCP 01/APR/2014 4,000,000 | 3,995,745 | 3,997,968 | |||||||||
NATIONAL AUSTRALIA BANK | 0.604% 22/JAN/2015 2,000,000 | 2,005,647 | 2,005,100 | |||||||||
NATIONAL AUSTRALIA BANK | VAR 25/JUL/2014 4,700,000 | 4,722,992 | 4,724,934 | |||||||||
NATIONAL CINEMEDIA LLC | 7.875% 15/JUL/2021 1,076,000 | 1,116,350 | 1,183,600 | |||||||||
NATIONAL CINEMEDIA LLC | 6.00% 15/APR/2022 1,297,000 | 1,312,043 | 1,339,153 | |||||||||
NATIONAL FINANCIAL PARTNERS | 9.00% 15/JUL/2021 544,000 | 544,000 | 571,200 | |||||||||
NCR ESCROW CORP | 5.875% 15/DEC/2021 1,500,000 | 1,516,875 | 1,528,125 | |||||||||
NEDERLANDSE WATERSCHAPSBANK | FLT 12/JUN/2015 4,000,000 | 4,000,000 | 3,994,760 | |||||||||
NEEDLE MERGER SUB CORP | 8.125% 15/MAR/2019 872,000 | 834,758 | 912,330 | |||||||||
NEFF RENTAL LLC/NEFF FIN CORP | 9.625% 15/MAY/2016 1,640,000 | 1,599,000 | 1,734,300 | |||||||||
NEIMAN MARCUS GROUP INC | ZCP 25/OCT/2020 1,806,000 | 1,802,050 | 1,831,085 | |||||||||
NEIMAN MARCUS GROUP INC | 8% 15/OCT/2021 496,000 | 496,000 | 518,320 | |||||||||
NEIMAN MARCUS GROUP INC | 8.75% 15/OCT/2021 413,000 | 413,000 | 432,618 | |||||||||
NESTLE CAP CORP | 0.15% 22/JAN/2014 8,000,000 | 7,999,347 | 7,999,898 | |||||||||
NEW BREED LOGISTICS INC | ZCP 07/SEP/2019 1,646,614 | 1,630,148 | 1,651,142 | |||||||||
NIELSEN CO LUXEMBOURG SARL | 5.5% 01/OCT/2021 1,500,000 | 1,500,000 | 1,522,500 | |||||||||
NIELSEN FINANCE LLC | 4.5% 01/OCT/2020 2,602,000 | 2,601,895 | 2,530,445 | |||||||||
NII INTERNATL TELE | 11.38% 15/AUG/2019 3,716,000 | 3,815,868 | 3,102,860 | |||||||||
NISSAN AUTO LEASE TR | 0.98% 15/MAY/2015 3,476,873 | 3,482,892 | 3,481,445 | |||||||||
NISSAN AUTO LEASE TR | 0.450% 15/JUN/2015 778,232 | 778,288 | 778,148 | |||||||||
NISSAN AUTO LEASE TR | VAR 15/JUN/2015 823,129 | 822,984 | 822,990 | |||||||||
NISSAN AUTO LEASE TR | VAR 15/SEP/2015 4,000,000 | 3,996,906 | 3,998,156 | |||||||||
NISSAN AUTO LEASE TR | FLT 15/JAN/2016 935,000 | 935,109 | 935,198 | |||||||||
NISSAN AUTO RECBL OWNER TR | 0.37% 15/SEP/2015 2,120,514 | 2,120,462 | 2,120,786 | |||||||||
NISSAN AUTO RECBL OWNER TR | 1.31% 15/SEP/2016 1,394,461 | 1,398,504 | 1,396,964 | |||||||||
NISSAN AUTO RECBL OWNER TR | 0.920% 16/FEB/2015 977,718 | 978,624 | 977,981 | |||||||||
NISSAN AUTO RECBL OWNER TR | 1.180% 16/FEB/2015 47,386 | 47,491 | 47,402 | |||||||||
NISSAN AUTO RECBL OWNER TR | 0.23% 15/DEC/2014 2,000,000 | 2,000,000 | 2,000,000 | |||||||||
NISSAN AUTO RECBL OWNER TR | 0.4% 15/JUN/2016 600,000 | 599,978 | 599,798 | |||||||||
NORINCHUKIN BK | VAR 29/JAN/2014 2,500,000 | 2,500,000 | 2,500,253 | |||||||||
NORINCHUKIN BK | 0.27% 19/MAY/2014 2,000,000 | 2,000,000 | 1,999,691 | |||||||||
NORTEK INC | 8.5% 15/APR/2021 2,351,000 | 2,365,801 | 2,603,733 | |||||||||
NUANCE COMM INC | 5.38% 15/AUG/2020 2,205,000 | 2,229,323 | 2,155,388 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
NUVEEN INVESTMENT | 9.125% 15/OCT/2017 241,000 | 241,904 | 241,000 | |||||||||
NUVEEN INVESTMENT | 9.5% 15/OCT/2020 1,887,000 | 1,898,179 | 1,891,718 | |||||||||
NUVEEN INVESTMENT | ZCP MAR/2019 1,238,062 | 1,221,074 | 1,226,839 | |||||||||
NXP BV/FUNDING LLC | 5.75% 15/FEB/2021 1,500,000 | 1,517,650 | 1,567,500 | |||||||||
OASIS PETROLEUM INC | 6.5% 01/NOV/2021 1,799,000 | 1,832,554 | 1,924,930 | |||||||||
OASIS PETROLEUM INC | 6.875% 15/JAN/2023 961,000 | 965,208 | 1,023,465 | |||||||||
OASIS PETROLEUM INC | 6.875% 15/MAR/2022 1,300,000 | 1,319,500 | 1,378,000 | |||||||||
OASIS PETROLEUM INC | 7.25% 01/FEB/2019 1,626,000 | 1,679,340 | 1,747,950 | |||||||||
ODEBRECHT DRILL VIII/XI | 6.35% 30/JUN/2021 1,530,000 | 1,527,215 | 1,568,250 | |||||||||
OIL STATES INT'L INC | 5.125% 15/JAN/2023 1,004,000 | 1,008,778 | 1,132,010 | |||||||||
ORACLE CORP | 3.75% 08/JUL/2014 4,000,000 | 4,070,967 | 4,069,056 | |||||||||
OSHKOSH CORP | 8.5% 01/MAR/2020 2,145,000 | 2,337,676 | 2,370,225 | |||||||||
PACCAR FINANCIAL CORP | VAR 05/JUN/2014 1,000,000 | 1,000,869 | 1,001,037 | |||||||||
PACIFIC DRILLING | 5.375% 01/JUN/2020 1,932,000 | 1,938,369 | 1,941,660 | |||||||||
PAETEC HOLDING CORP | 9.875% 01/DEC/2018 1,840,000 | 1,968,800 | 2,056,200 | |||||||||
PARK PLACE SECURITIES, INC. | FLT 25/DEC/2034 175,420 | 167,307 | 175,036 | |||||||||
PEABODY ENERGY CORP | 6% 15/NOV/2018 571,000 | 571,000 | 608,115 | |||||||||
PEABODY ENERGY CORP | 6.5% 15/SEP/2020 1,460,000 | 1,547,600 | 1,536,650 | |||||||||
PEMEX PROJECT FUNDING | 6.625% 15/JUN/2035 115,000 | 96,254 | 121,037 | |||||||||
PENN NATIONAL GAMING INC | 5.875% 01/NOV/2021 1,300,000 | 1,303,250 | 1,283,750 | |||||||||
PETROLEOS MEXICANOS | 5.5% 21/JAN/2021 3,300,000 | 3,267,363 | 3,547,500 | |||||||||
PFIZER INC RESTRICTED | ZCP 05/MAR/2014 8,000,000 | 7,998,740 | 7,999,104 | |||||||||
PHYSIO-CONTROL INTL INC | 9.875% 15/JAN/2019 898,000 | 913,166 | 1,005,760 | |||||||||
PINNACLE LLC/CORP | 4.875% 01/MAY/2021 852,000 | 852,000 | 805,140 | |||||||||
PLASTIPAK HOLDINGS INC | 6.5% 01/OCT/2021 1,780,000 | 1,850,050 | 1,842,300 | |||||||||
PLAYA RESORTS HOLDINGS | 8% 15/AUG/2020 1,582,000 | 1,622,363 | 1,678,898 | |||||||||
PLAYA RESORTS HOLDINGS | ZCP 31/AUG/2019 497,752 | 495,264 | 503,352 | |||||||||
PNC BANK | 0.27% 16/APR/2014 8,000,000 | 8,000,000 | 8,001,166 | |||||||||
PNK FINANCE CORP | 6.375% 01/AUG/2021 2,291,000 | 2,304,033 | 2,342,548 | |||||||||
POLARCUS LTD | 5.125% 01/JUN/2021 413,000 | 413,000 | 417,130 | |||||||||
POLYPORE INT'L INC | 7.5% 15/NOV/2017 655,000 | 687,750 | 692,663 | |||||||||
PQ CORP | ZCP AUG/2017 1,745,370 | 1,745,370 | 1,760,424 | |||||||||
PQ CORP | 8.75% 01/MAY/2018 4,715,000 | 4,813,591 | 5,139,350 | |||||||||
PRICOA | 5.45% 11/JUN/2014 1,550,000 | 1,583,344 | 1,583,150 | |||||||||
PRINCIPAL LIFE GLOBAL | VAR 09/JUL/2014 1,200,000 | 1,203,206 | 1,203,887 | |||||||||
PROCTER & GAMBLE CO | ZCP 28/FEB/2014 8,000,000 | 7,998,711 | 7,999,226 | |||||||||
PROVIDENT FDG/PFG FIN | 6.75% 15/JUN/2021 1,755,000 | 1,769,720 | 1,746,225 | |||||||||
PSE&G TRANSITION | 6.75% 15/JUN/2016 4,041,571 | 4,160,323 | 4,125,115 | |||||||||
QEP RESOURCES INC | 5.375% 01/OCT/2022 305,000 | 311,100 | 293,563 | |||||||||
QEP RESOURCES INC | 6.875% 01/MAR/2021 2,596,000 | 2,802,471 | 2,784,210 | |||||||||
QUEBECOR MEDIA INC | 5.75% 15/JAN/2023 2,153,000 | 2,153,000 | 2,083,028 | |||||||||
QUIKSILVER INC | 7.875% 01/AUG/2018 263,000 | 276,370 | 285,355 | |||||||||
QUIKSILVER INC | 10% 01/AUG/2020 258,000 | 267,515 | 291,540 | |||||||||
RAAC | VAR 25/OCT/2046 804,150 | 463,219 | 660,348 | |||||||||
RABOBANK | 5.26% 29/DEC/2049 56,000 | 31,187 | 56,280 | |||||||||
RABOBANK NEDERLAND | 4.2% 13/MAY/2014 8,300,000 | 8,411,405 | 8,415,312 | |||||||||
RABOBANK NEDERLAND | 4.5% 11/JAN/2021 2,300,000 | 2,293,767 | 2,441,234 | |||||||||
RABOBANK NEDERLAND | VAR 31/DEC/2049 3,493,000 | 3,425,284 | 4,623,859 | |||||||||
RABOBANK NEDERLAND | VAR 25/JUL/2014 1,100,000 | 1,100,000 | 1,101,146 | |||||||||
RANGE RESOURCES CORP | 5% SB 15/AUG/2022 1,369,000 | 1,369,000 | 1,345,043 | |||||||||
RANGE RESOURCES CORP | 6.75% 01/AUG/2020 250,000 | 263,750 | 270,625 | |||||||||
RBSSP RESECURITIZATION TR | VAR 26/JUL/2045 1,025,936 | 1,004,776 | 1,002,886 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
RECKITT BENCKISER | 0.39% 04/SEP/2014 2,000,000 | 1,995,217 | 1,997,054 | |||||||||
RECKITT BENCKISER | 0.41% 22/MAY/2014 1,000,000 | 998,602 | 999,212 | |||||||||
RECKITT BENCKISER | ZCP 07/APR/2014 840,000 | 839,112 | 839,565 | |||||||||
REGENCY ENERGY PARTNERS LP | 6.5% 15/JUL/2021 3,630,000 | 3,731,400 | 3,847,800 | |||||||||
REYNOLDS GROUP ISSUER LLC | 6.875% 15/FEB/2021 750,000 | 720,000 | 808,125 | |||||||||
REYNOLDS GROUP ISSUER LLC | 8.25% 15/FEB/2021 1,210,000 | 1,178,428 | 1,291,675 | |||||||||
REYNOLDS GROUP ISSUER LLC | 8.5% 15/MAY/2018 750,000 | 728,438 | 791,250 | |||||||||
REYNOLDS GROUP ISSUER LLC | 9.875% 15/AUG/2019 657,000 | 677,349 | 730,913 | |||||||||
REYNOLDS GROUP ISSUER LLC | 7.875% 15/AUG/2019 2,782,000 | 2,772,166 | 3,074,110 | |||||||||
REYNOLDS GROUP ISSUER LLC | 9% 15/APR/2019 250,000 | 246,250 | 268,125 | |||||||||
RITE AID CORP | 7.70% 15/FEB/2027 529,000 | 431,123 | 546,193 | |||||||||
RITE AID CORP | 9.25% 15/MAR/2020 1,005,000 | 1,009,182 | 1,153,238 | |||||||||
RITE AID CORP | 6.75% 15/JUN/2021 680,000 | 680,000 | 713,150 | |||||||||
RITE AID CORP | ZCP 31/DEC/2021 996,000 | 1,008,293 | 1,023,704 | |||||||||
ROYAL BANK OF CANADA | 1.45% 30/OCT/2014 1,000,000 | 1,008,932 | 1,009,401 | |||||||||
ROYAL BANK OF CANADA | 1.125% 15/JAN/2014 2,000,000 | 2,000,589 | 2,000,632 | |||||||||
ROYAL BK SCOTLAND GRP | VAR 31/DEC/2049 2,800,000 | 732,000 | 2,982,000 | |||||||||
RSC EQUIPMENT RENTAL INC | 8.25% 01/FEB/2021 700,000 | 704,375 | 789,250 | |||||||||
SABINE PASS LIQUEFACTION LLC | 6.25% 15/MAR/2022 1,044,000 | 1,044,000 | 1,036,170 | |||||||||
SABINE PASS LNG LP | 5.625% 15/APR/2023 775,000 | 786,625 | 724,625 | |||||||||
SABINE PASS LNG LP | 5.625% 01/FEB/2021 1,355,000 | 1,377,019 | 1,324,513 | |||||||||
SALLY HLDGS LLC/SALLY CAPITAL INC | 5.75% 01/JUN/2022 497,000 | 497,000 | 516,880 | |||||||||
SALLY HLDGS LLC/SALLY CAPITAL INC | 6.875% 15/NOV/2019 469,000 | 472,017 | 518,245 | |||||||||
SANTANDER DRIVE | 0.89% 15/SEP/2016 434,796 | 434,765 | 435,516 | |||||||||
SBA COMM | 5.625% 01/OCT/2019 272,000 | 276,760 | 280,160 | |||||||||
SBA TELECOMM | 5.75% 15/JUL/2020 2,539,000 | 2,589,320 | 2,640,560 | |||||||||
SCHAEFFLER FINANCE BV | 8.5% 15/FEB/2019 1,259,000 | 1,335,641 | 1,416,375 | |||||||||
SCHAEFFLER FINANCE BV | 4.75% 15/MAY/2021 946,000 | 959,008 | 943,635 | |||||||||
SCHAEFFLER HOLDING FINANCE | 6.875% 15/AUG/2018 735,000 | 751,895 | 779,100 | |||||||||
SEMINOLE TRIBE OF FLORIDA INC | 7.804% 01/OCT/2020 295,000 | 303,481 | 323,025 | |||||||||
SENECA GAMING CORP | 8.25% 01/DEC/2018 1,345,000 | 1,349,351 | 1,445,875 | |||||||||
SERTA SIMMONS HLDG | 8.125% 01/OCT/2020 1,515,000 | 1,515,000 | 1,647,563 | |||||||||
SERVICE CORP INTL | 5.375% 15/JAN/2022 600,000 | 606,000 | 607,500 | |||||||||
SILVER II BORROWER SCA /HLDS LLC | 7.75% 15/DEC/2020 1,455,000 | 1,500,715 | 1,542,300 | |||||||||
SIWF MERGER SUB/SP | 6.25% 01/JUN/2021 1,332,000 | 1,319,995 | 1,343,655 | |||||||||
SKANDINAVISKA ENSKILDA BANKEN | 0.38% 21/NOV/2014 2,000,000 | 2,000,000 | 2,000,177 | |||||||||
SKANDINAVISKA ENSKILDA BANKEN | 0.295% 28/MAY/2014 1,000,000 | 1,000,081 | 1,000,184 | |||||||||
SLM CORP | 5.05% 14/NOV/2014 500,000 | 466,250 | 516,250 | |||||||||
SLM PRIVATE EDUCATION LOAN TR | VAR 15/MAY/2044 204,269 | 214,004 | 216,492 | |||||||||
SLM STUDENT LOAN TR | VAR 15/SEP/2021 332,470 | 459,985 | 457,440 | |||||||||
SLM STUDENT LOAN TR | VAR 15/DEC/2023 1,388,465 | 1,855,292 | 1,879,765 | |||||||||
SM ENERGY CO | 6.5% 15/NOV/2021 540,000 | 541,725 | 572,400 | |||||||||
SM ENERGY CO | 6.5% 01/JAN/2023 1,003,000 | 1,036,713 | 1,051,896 | |||||||||
SOCIETE GENERALE | VAR 11/APR/2014 2,000,000 | 2,004,745 | 2,004,810 | |||||||||
SOUTHERN NATURAL GAS CO | 5.9% 01/APR/2017 120,000 | 101,497 | 134,482 | |||||||||
SOUTHERN NATURAL GAS CO | 8% 01/MAR/2032 77,000 | 66,228 | 98,458 | |||||||||
SPCM SA | 6% 15/JAN/2022 240,000 | 240,000 | 253,200 | |||||||||
SPECTRUM BRANDS | 6.375% 15/NOV/2020 2,100,000 | 2,194,985 | 2,241,750 | |||||||||
SPECTRUM BRANDS | 6.625% 15/NOV/2022 555,000 | 555,000 | 590,381 | |||||||||
SPECTRUM BRANDS | 6.75% 15/MAR/2020 1,173,000 | 1,206,095 | 1,262,441 | |||||||||
SPRINGLEAF FINANCE CORP | 6.9% 15/DEC/2017 975,000 | 912,070 | 1,065,675 | |||||||||
SPRINGLEAF FINANCE CORP | 7.75% 01/OCT/2021 901,000 | 920,808 | 973,080 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
SPRINGLEAF FINANCE CORP | 8.25% 01/OCT/2023 633,000 | 633,000 | 685,223 | |||||||||
SPRINT CAPITAL CORP | 6.9% 01/MAY/2019 650,000 | 634,980 | 710,125 | |||||||||
SPRINT CORP | 7.25% 15/SEP/2021 1,500,000 | 1,501,875 | 1,610,625 | |||||||||
SPRINT CORP | 7.875% 15/SEP/2023 1,500,000 | 1,503,750 | 1,612,500 | |||||||||
SPRINT NEXTEL CORP | 11.5% 15/NOV/2021 900,000 | 905,625 | 1,179,000 | |||||||||
SPRINT NEXTEL CORP | 6% 15/NOV/2022 795,000 | 803,195 | 775,125 | |||||||||
SPRINT NEXTEL CORP | 7% 15/AUG/2020 1,302,000 | 1,305,255 | 1,409,415 | |||||||||
SPRINT NEXTEL CORP | 8.375% 15/AUG/2017 86,000 | 94,815 | 99,545 | |||||||||
SPRINT NEXTEL CORP | 9% 15/NOV/2018 3,892,000 | 3,950,714 | 4,689,860 | |||||||||
SPRINT NEXTEL CORP | 7.00% 01/MAR/2020 1,576,000 | 1,576,000 | 1,757,240 | |||||||||
STANDARD CHARTERED | VAR 12/MAY/2014 2,000,000 | 2,005,672 | 2,005,988 | |||||||||
STANDARD CHRTRD BNK NY | 0.3% 03/MAR/2014 2,000,000 | 2,000,000 | 2,000,482 | |||||||||
STATE STREET CORP | 4.3% 30/MAY/2014 4,000,000 | 4,064,917 | 4,064,240 | |||||||||
STHI HOLDING | 8% 15/MAR/2018 940,000 | 964,150 | 1,005,800 | |||||||||
STUDIO CITY FINANCE LTD | 8.5% 01/DEC/2020 1,677,000 | 1,677,000 | 1,857,278 | |||||||||
SUGAR HSP GMNG PRO | 6.375% 01/JUN/2021 1,192,000 | 1,184,222 | 1,150,280 | |||||||||
SUMITOMO MTSU BKG CO | 0.38% 09/MAY/2014 4,400,000 | 4,400,000 | 4,402,038 | |||||||||
SUMITOMO MTSU BKG CO | 0.38% 18/JUL/2014 1,000,000 | 1,000,000 | 1,000,549 | |||||||||
SUMITOMO MTSU BKG CO | 0.21% 12/FEB/2014 2,000,000 | 1,999,977 | 2,000,048 | |||||||||
SUNCORP-METWY LTD | 0.33% 11/MAR/2014 4,500,000 | 4,497,499 | 4,498,425 | |||||||||
SVENSK EXPORTKRDT AKTBOLAGET | VAR 14/AUG/2014 3,000,000 | 3,013,069 | 3,015,417 | |||||||||
SVENSKA HANDELSBANKEN | 4.875% 10/JUN/2014 720,000 | 733,596 | 734,234 | |||||||||
SVENSKA HANDELSBKN FR CD | VAR 19/DEC/2014 4,000,000 | 4,000,000 | 4,003,120 | |||||||||
SYNOVUS FINANCIAL | 7.875% 15/FEB/2019 2,015,000 | 2,213,970 | 2,261,838 | |||||||||
TAYLOR MORRISON | 5.25% 15/APR/2021 1,000,000 | 1,010,000 | 972,500 | |||||||||
TAYLOR MORRISON | 7.75% 15/APR/2020 619,000 | 663,326 | 680,900 | |||||||||
TAYLOR MORRISON | 7.75% 15/APR/2020 745,000 | 749,483 | 819,500 | |||||||||
TELECOM ITALIA CAPITAL | 7.175% 18/JUN/2019 1,091,000 | 1,214,589 | 1,224,648 | |||||||||
TEMPUR SEALY INT'L INC | 6.875% 15/DEC/2020 801,000 | 835,125 | 873,090 | |||||||||
TENET HEALTHCARE CORP | 4.5% 01/APR/2021 1,105,000 | 1,101,063 | 1,046,988 | |||||||||
TENET HEALTHCARE CORP | 4.75% 01/JUN/2020 490,000 | 490,000 | 478,975 | |||||||||
TENET HEALTHCARE CORP | 6% 01/OCT/2020 809,000 | 809,000 | 844,394 | |||||||||
TENET HEALTHCARE CORP | 8.125% 01/APR/2022 2,377,000 | 2,377,000 | 2,561,218 | |||||||||
TENNESSEE GAS PIPELINE | 8.375% 15/JUN/2032 28,000 | 25,048 | 36,120 | |||||||||
TERWIN MORTGAGE TR | VAR 25/OCT/2037 850,759 | 219,555 | 356,781 | |||||||||
TIME WARNER INC | 8.375% 15/MAR/2023 945,000 | 1,092,466 | 1,086,920 | |||||||||
TITAN INT'L INC | 6.875% 01/OCT/2020 722,000 | 722,000 | 752,685 | |||||||||
T-MOBILE USA INC | 6.633% 28/APR/2021 3,873,000 | 4,007,645 | 4,076,333 | |||||||||
T-MOBILE USA INC | 6.731% 28/APR/2022 1,853,000 | 1,882,931 | 1,931,753 | |||||||||
TOLL BROTHERS FINANCE CORP | 8.91% 15/OCT/2017 2,100,000 | 2,357,250 | 2,535,750 | |||||||||
TORONTO-DOMINION BANK NY | VAR 18/NOV/2014 7,500,000 | 7,500,000 | 7,501,283 | |||||||||
TOYOTA AUTO RECBL | 0.370% 15/SEP/2015 1,608,659 | 1,608,638 | 1,608,807 | |||||||||
TOYOTA AUTO RECBL | 0.36% 17/FEB/2015 388,660 | 388,576 | 388,676 | |||||||||
TOYOTA AUTO RECBL | 0.68% 15/JUN/2015 1,780,663 | 1,782,847 | 1,782,614 | |||||||||
TOYOTA AUTO RECBL | 1.56% 15/MAY/2015 3,883,701 | 3,899,663 | 3,897,802 | |||||||||
TOYOTA MOTOR CREDIT CORP | VAR 22/AUG/2014 1,000,000 | 1,000,000 | 1,000,568 | |||||||||
TOYOTA MOTOR CREDIT CORP | ZCP 04/AUG/2010 8,000,000 | 7,989,356 | 7,989,356 | |||||||||
TOYOTA MOTOR CREDIT CORP | 1.09% 15/DEC/2014 1,835,066 | 1,837,945 | 1,836,365 | |||||||||
TRANSDIGM INC | 7.5% 15/JUL/2021 509,000 | 509,000 | 547,175 | |||||||||
TRIPLE POINT GRP HOLDINGS, INC | ZCP JUL/2021 851,000 | 799,940 | 731,860 | |||||||||
TUNICA-BILOXI GAMING AUT | 9.0% 15/NOV/2015 30,000 | 30,150 | 27,000 | |||||||||
TXU CORP | 6.5% 15/NOV/2024 60,000 | 20,985 | 21,000 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
U.S. RENAL CARE, INC | ZCP 03/JUL/2019 1,587,720 | 1,567,499 | 1,595,659 | |||||||||
U.S. RENAL CARE, INC | ZCP 03/JAN/2020 437,000 | 428,260 | 443,555 | |||||||||
UBS AG (STAMFORD) | 0.515% 30/MAY/2014 2,000,000 | 2,000,000 | 2,002,367 | |||||||||
UBS AG (STAMFORD) | 2.25% 28/JAN/2014 1,977,000 | 1,977,086 | 1,979,544 | |||||||||
UBS AG (STAMFORD) | 3.875% 15/JAN/2015 900,000 | 929,370 | 930,470 | |||||||||
UBS AG (STAMFORD) | VAR 28/JAN/2014 349,000 | 349,000 | 349,304 | |||||||||
UNIFRAX I LLC/UNIFRAX HLDG CO | 7.5% 15/FEB/2019 780,000 | 785,550 | 807,300 | |||||||||
UNITED PARCEL SERVICE INC | 3.875% 01/APR/2014 3,875,000 | 3,908,476 | 3,907,039 | |||||||||
UNITED RENTALS N.A. INC | 7.375% 15/MAY/2020 979,000 | 979,000 | 1,085,466 | |||||||||
UNITED RENTALS N.A. INC | 7.625% 15/APR/2022 1,138,000 | 1,138,000 | 1,264,603 | |||||||||
UNITYMEDIA HESSEN / NRW | 5.5% 15/JAN/2023 735,000 | 747,863 | 712,950 | |||||||||
UNIVISION COMM INC | 5.125% 15/MAY/2023 2,008,000 | 1,940,039 | 2,005,490 | |||||||||
UNIVISION COMM INC | 6.75% 15/SEP/2022 747,000 | 768,476 | 817,965 | |||||||||
UNIVISION COMM INC | 7.875% 01/NOV/2020 925,000 | 967,375 | 1,016,344 | |||||||||
UNIVISION COMM INC | 8.5% 15/MAY/2021 1,204,000 | 1,240,917 | 1,324,400 | |||||||||
US COATINGS AC/FLA | 7.375% 01/MAY/2021 1,227,000 | 1,241,283 | 1,308,289 | |||||||||
U.S. RENAL CARE, INC | ZCP 01/JAN/2020 1,128,000 | 1,105,440 | 1,154,085 | |||||||||
USAA AUTO OWNER TR | 0.38% 15/JUN/2015 2,053,909 | 2,054,361 | 2,053,582 | |||||||||
VALEANT PHARMACEUTICALS INTL | 5.625% 01/DEC/2021 1,115,000 | 1,129,794 | 1,120,575 | |||||||||
VALEANT PHARMACEUTICALS INTL | 7.5% 15/JUL/2021 2,000,000 | 2,075,000 | 2,195,000 | |||||||||
VEB FINANCE | 5.45% 22/NOV/2017 1,000,000 | 1,000,000 | 1,071,300 | |||||||||
VERISIGN INC | 4.625% 01/MAY/2023 1,100,000 | 1,111,000 | 1,050,500 | |||||||||
VIDEOTRON LTEE | 5% 15/JUL/2022 1,899,000 | 1,900,325 | 1,856,273 | |||||||||
VISTEON CORP | 6.75% 15/APR/2019 1,830,000 | 1,776,994 | 1,944,375 | |||||||||
VOLKSWAGEN AUTO LN | FLT 21/DEC/2015 405,000 | 405,000 | 404,778 | |||||||||
VOLKSWAGEN AUTO LN | 0.33% 20/JUL/2015 719,759 | 719,635 | 719,537 | |||||||||
VOLKSWAGEN AUTO LN | 1.22% 22/JUN/2015 282,825 | 283,489 | 283,119 | |||||||||
VOLKSWAGEN AUTO LN | 0.87% 20/JUL/2015 6,591,013 | 6,660,633 | 6,605,639 | |||||||||
VOLKSWAGEN AUTO LN | 1.2% 20/OCT/2014 124,110 | 124,363 | 124,161 | |||||||||
VOLKSWAGEN INT'L FINANCE | VAR 01/APR/2014 1,000,000 | 1,000,000 | 1,000,960 | |||||||||
VPI ESCROW CORP | 6.375% 10/MAR/2021 3,555,000 | 3,755,320 | 3,746,081 | |||||||||
WACHOVIA CAPITAL TR III | FLT 31/DEC/2049 628,000 | 370,520 | 574,620 | |||||||||
WALT DISNEY CO | ZCP 15/APR/2014 8,000,000 | 7,997,458 | 7,997,458 | |||||||||
WDAC SUBSIDIARY CORP | 8.50% 01/DEC/2014 750,000 | 938,526 | 36,171 | |||||||||
WELLS FARGO & CO | 0.22% 02/JAN/2014 8,000,000 | 7,999,969 | 7,999,960 | |||||||||
WHITING PETROLEUM CORP | 6.5% 01/OCT/2018 65,000 | 67,763 | 69,063 | |||||||||
WHITING PETROLEUM CORP | 5.75% 15/MAR/2021 1,250,000 | 1,275,000 | 1,293,750 | |||||||||
WIND ACQUISITION | 6.5% 30/APR/2020 2,988,000 | 3,058,680 | 3,182,220 | |||||||||
WINDSTREAM CORP | 7.875% 01/NOV/2017 875,000 | 934,063 | 999,688 | |||||||||
WINDSTREAM CORP | 6.375% 01/AUG/2023 1,371,000 | 1,371,000 | 1,281,885 | |||||||||
WOODSIDE HOMES CO LLC | 6.75% 15/DEC/2021 560,000 | 560,000 | 561,400 | |||||||||
WORLD OMNI AUTO | 0.71% 15/JAN/2015 379,999 | 380,205 | 380,090 | |||||||||
WORLD OMNI AUTO | 0.93% 16/NOV/2015 6,350,000 | 6,370,500 | 6,367,285 | |||||||||
WORLD OMNI AUTO | 0.52% 15/JUN/2015 151,734 | 151,831 | 151,758 | |||||||||
WORLD OMNI AUTO | 1.11% 15/MAY/2015 40,959 | 41,033 | 40,970 | |||||||||
WORLD OMNI AUTO | 0.430% 16/MAY/2016 160,000 | 160,031 | 160,005 | |||||||||
WORLD OMNI AUTO | 0.25% 10/OCT/2014 1,077,475 | 1,077,475 | 1,077,475 | |||||||||
ZAYO GROUP LLC | 10.125% 01/JUL/2020 922,000 | 922,000 | 1,062,605 | |||||||||
ZAYO GROUP LLC | 8.125% 01/JAN/2020 720,000 | 766,805 | 788,400 | |||||||||
TOTAL CORPORATE DEBT SECURITIES | 1,147,262,299 | 1,172,329,979 | ||||||||||
U.S. FEDERAL, STATE, LOCAL AND NON-U.S. GOVERNMENT SECURITIES: | ||||||||||||
AFRICAN DEVELOPMENT BANK | 3.00% 27/MAY/2014 2,250,000 | 2,274,431 | 2,274,750 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
U.S. FEDERAL, STATE, LOCAL AND NON-U.S. GOVERNMENT SECURITIES (CONTINUED): | ||||||||||||
BUCKEYE OHIO TOB SETTLEMENT | 6.50% 01/JUN/2047 6,400,000 | 4,642,368 | 5,157,056 | |||||||||
BUONI POLIENNALI DEL TES | VAR 15/SEP/2017 1,200,000 | 1,891,902 | 1,968,989 | |||||||||
FEDERAL FARM CREDIT BANKS | VAR 10/FEB/2014 5,000,000 | 4,999,768 | 5,000,105 | |||||||||
FEDERAL HOME LOAN BANKS | 0.25% 30/OCT/2014 700,000 | 700,000 | 700,144 | |||||||||
FEDERAL HOME LOAN BANKS | 0.26% 10/NOV/2014 300,000 | 300,000 | 300,078 | |||||||||
FEDERAL HOME LOAN BANKS | 0.19% 22/JUL/2014 1,000,000 | 999,905 | 1,000,222 | |||||||||
FEDERAL HOME LOAN BANKS | 0.19% 25/JUL/2014 600,000 | 600,025 | 600,135 | |||||||||
FEDERAL HOME LOAN BANKS | 0.19% 25/JUL/2014 400,000 | 400,005 | 400,090 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 17/JAN/2014 8,000,000 | 7,999,467 | 7,999,936 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 19/MAR/2014 8,000,000 | 7,998,289 | 7,999,328 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 26/MAR/2014 8,000,000 | 7,998,133 | 7,999,264 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 21/MAR/2014 8,000,000 | 7,998,332 | 7,999,304 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 0.00% 01/FEB/2019 390,000 | 216,934 | 339,435 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 6.00% 18/APR/2036 740,000 | 817,728 | 810,495 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 0.88% 28/AUG/2014 1,000,000 | 1,004,645 | 1,004,703 | |||||||||
FINANCING CORP | ZCP 05/APR/2019 160,000 | 111,528 | 142,045 | |||||||||
INST CRED OFICIAL FRN | VAR 25/MAR/2014 2,200,000 | 3,109,458 | 3,027,549 | |||||||||
INSTITUTO PARA LA PRTCCNL AHOR | 4.05% 19/MAR/2015 3,100,000 | 252,327 | 239,654 | |||||||||
ITALY(REPUBLIC OF) | 3.1% 15/SEP/2026 100,000 | 136,555 | 148,059 | |||||||||
ITALY(REPUBLIC OF) | 2.1% 15/SEP/2016 800,000 | 1,175,638 | 1,212,642 | |||||||||
ITALY(REPUBLIC OF) | VAR 15/SEP/2018 1,000,000 | 1,318,092 | 1,382,135 | |||||||||
ITALY(REPUBLIC OF) | VAR 15/SEP/2021 100,000 | 135,561 | 144,743 | |||||||||
KFW BOND | 3.50% 10/MAR/2014 2,000,000 | 2,012,234 | 2,011,580 | |||||||||
KREDITANSTALT FR WIEDERAUFBAU | 1.5% 04/APR/2014 1,000,000 | 1,003,244 | 1,003,590 | |||||||||
MADRID(COMUNIDAD) | 4.2% 24/SEP/2014 1,600,000 | 2,011,195 | 2,244,493 | |||||||||
MANITOBA(PROVINCE OF) | 1.37% 28/APR/2014 1,050,000 | 1,053,693 | 1,053,779 | |||||||||
MEX BONOS PROTECC AHORRO | VAR 30/JAN/2020 20,400,000 | 1,682,257 | 1,575,036 | |||||||||
MEXICO (UNITED MEXICAN STATES) | 6.5% 09/JUN/2022 9,700,000 | 761,962 | 748,565 | |||||||||
MEXICO (UNITED MEXICAN STATES) | 4.75% 14/JUN/2018 8,200,000 | 623,382 | 611,144 | |||||||||
NEW SOUTH WALES TREASURY CORP | 2.50% 20/NOV/2035 400,000 | 459,160 | 418,034 | |||||||||
NEW SOUTH WALES TREASURY CORP | VAR 20/NOV/2025 2,200,000 | 2,315,900 | 2,467,767 | |||||||||
PORT AUTHORITY NY & NJ | 4.46% 01/OCT/2062 1,400,000 | 1,400,000 | 1,192,632 | |||||||||
RESOLUTION FUNDING CORP | ZCP 15/OCT/2019 400,000 | 356,070 | 347,326 | |||||||||
TENNESSEE VALLEY AUTHORITY | 7.13% 01/MAY/2030 942,000 | 1,321,014 | 1,231,421 | |||||||||
U.K. OF GRT BRTN & NRTHRN IRELND | 2.5% 26/JUL/2016 300,000 | 1,683,498 | 1,683,263 | |||||||||
U.S. OF AMER TREAS | VAR 15/JAN/2016 4,293,000 | 5,386,028 | 5,383,888 | |||||||||
U.S. OF AMER TREAS | VAR 15/JAN/2022 27,250,000 | 27,887,121 | 27,026,576 | |||||||||
U.S. OF AMER TREAS | 1.375% 31/JUL/2018 53,700,000 | 53,512,351 | 53,217,559 | |||||||||
U.S. OF AMER TREAS BILL | ZCP 09/JAN/2014 12,200,000 | 12,199,842 | 12,199,976 | |||||||||
U.S. OF AMER TREAS BILL | ZCP 02/JAN/2014 12,200,000 | 12,199,980 | 12,200,000 | |||||||||
U.S. OF AMER TREAS BILL | ZCP 23/JAN/2014 10,000,000 | 10,000,000 | 9,999,900 | |||||||||
U.S. OF AMER TREAS BONDS | 1.125% 15/JAN/2021 20,000,000 | 22,013,578 | 22,443,816 | |||||||||
U.S. OF AMER TREAS BONDS | 2.375% 15/JAN/2025 13,400,000 | 20,195,365 | 19,085,449 | |||||||||
U.S. OF AMER TREAS BONDS | 0.625% 15/FEB/2043 3,400,000 | 3,179,943 | 2,655,847 | |||||||||
U.S. OF AMER TREAS BONDS | 2.00% 15/JAN/2026 12,600,000 | 17,570,496 | 16,414,562 | |||||||||
U.S. OF AMER TREAS BONDS | 1.75% 15/JAN/2028 12,750,000 | 12,728,764 | 15,218,771 | |||||||||
U.S. OF AMER TREAS BONDS | VAR 15/FEB/2040 1,700,000 | 2,402,542 | 2,064,103 | |||||||||
U.S. OF AMER TREAS BONDS | 2.5% 15/JAN/2029 1,900,000 | 2,492,940 | 2,428,992 | |||||||||
U.S. OF AMER TREAS BONDS | VAR 15/FEB/2042 600,000 | 677,589 | 498,579 | |||||||||
U.S. OF AMER TREAS NOTES | 2.00% 15/JUL/2014 1,888,000 | 2,339,940 | 2,390,961 | |||||||||
U.S. OF AMER TREAS NOTES | 1.75% 31/JAN/2014 11,962,400 | 11,978,671 | 11,978,286 | |||||||||
U.S. OF AMER TREAS NOTES | 1.87% 15/JUL/2015 2,555,000 | 3,237,164 | 3,233,642 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
U.S. FEDERAL, STATE, LOCAL AND NON-U.S. GOVERNMENT SECURITIES (CONTINUED): | ||||||||||||
U.S. OF AMER TREAS NOTES | 3.875% 15/APR/2029 6,600,000 | 14,512,251 | 12,851,000 | |||||||||
U.S. OF AMER TREAS NOTES | 2.625% 15/JUL/2017 10,700,000 | 13,680,671 | 13,563,659 | |||||||||
U.S. OF AMER TREAS NOTES | 1.875% 28/FEB/2014 8,000,000 | 8,023,129 | 8,022,496 | |||||||||
U.S. OF AMER TREAS NOTES | 1.375% 15/JAN/2020 8,450,000 | 8,878,684 | 9,800,571 | |||||||||
U.S. OF AMER TREAS NOTES | 2.375% 15/JAN/2027 16,300,000 | 22,888,983 | 21,745,669 | |||||||||
U.S. OF AMER TREAS NOTES | 0.625% 15/JUL/2021 25,450,000 | 27,538,153 | 26,771,500 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/JAN/2023 2,100,000 | 2,116,746 | 2,006,933 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/APR/2018 10,400,000 | 10,736,796 | 10,717,608 | |||||||||
U.S. OF AMER TREAS NOTES | 0.375% 15/JUL/2023 8,700,000 | 8,538,459 | 8,421,283 | |||||||||
U.S. OF AMER TREAS NOTES | 2.50% 15/AUG/2023 8,900,000 | 8,781,360 | 8,546,777 | |||||||||
U.S. OF AMER TREAS NOTES | 4.00% 15/FEB/2014 8,000,000 | 8,038,203 | 8,037,184 | |||||||||
U.S. OF AMER TREAS NOTES | 2.125% 15/JAN/2019 1,500,000 | 1,706,590 | 1,822,268 | |||||||||
U.S. OF AMER TREAS NOTES | 1.750% 31/MAR/2014 8,000,000 | 8,032,304 | 8,032,184 | |||||||||
U.S. OF AMER TREAS NOTES | 1.875% 30/APR/2014 8,000,000 | 8,047,031 | 8,045,936 | |||||||||
U.S. OF AMER TREAS NOTES | 1.88% 15/JUL/2019 10,400,000 | 12,770,132 | 12,641,198 | |||||||||
U.S. OF AMER TREAS NOTES | 1.25% 15/JUL/2020 14,700,000 | 17,026,756 | 16,842,988 | |||||||||
U.S. OF AMER TREAS NOTES | 2.63% 15/AUG/2020 23,600,000 | 24,743,093 | 24,079,363 | |||||||||
U.S. OF AMER TREAS NOTES | 1.00% 15/JAN/2014 24,005,800 | 24,014,355 | 24,013,290 | |||||||||
U.S. OF AMER TREAS NOTES | 1.25% 15/APR/2014 8,000,000 | 8,026,282 | 8,025,936 | |||||||||
U.S. OF AMER TREAS NOTES | 1.250% 15/FEB/2014 8,000,000 | 8,011,756 | 8,010,936 | |||||||||
U.S. OF AMER TREAS NOTES | 3.125% 15/MAY/2021 1,200,000 | 1,360,906 | 1,250,906 | |||||||||
U.S. OF AMER TREAS NOTES | 2.25% 31/JUL/2018 45,400,000 | 47,350,709 | 46,800,999 | |||||||||
U.S. OF AMER TREAS NOTES | 1.00% 31/AUG/2016 15,500,000 | 15,711,914 | 15,645,313 | |||||||||
U.S. OF AMER TREAS NOTES | 2.00% 15/NOV/2021 16,800,000 | 16,897,202 | 16,034,810 | |||||||||
U.S. OF AMER TREAS NOTES | 0.25%15/FEB/2015 190,000 | 190,119 | 190,134 | |||||||||
U.S. OF AMER TREAS NOTES | 1.625%15/AUG/2022 83,800,000 | 76,729,375 | 76,133,641 | |||||||||
U.S. OF AMER TREAS NOTES | 1.75%15/MAY/2023 500,000 | 462,930 | 450,664 | |||||||||
U.S. OF AMER TREAS NOTES | 1.375%30/JUN/2018 1,700,000 | 1,701,153 | 1,687,117 | |||||||||
U.S. OF AMER TREAS NOTES | 3.63% 15/APR/2028 7,500,000 | 15,682,423 | 14,326,848 | |||||||||
U.S. OF AMER TREAS NOTES | 1.375% 15/JUL/2018 1,600,000 | 1,801,637 | 1,878,283 | |||||||||
U.S. OF AMER TREAS NOTES | 1.25% 15/APR/2014 3,600,000 | 3,952,722 | 3,998,520 | |||||||||
U.S. OF AMER TREAS NOTES | 0.05% 15/APR/2015 4,500,000 | 4,945,627 | 4,956,436 | |||||||||
U.S. OF AMER TREAS NOTES | 0.13% 15/APR/2016 20,100,000 | 21,869,876 | 21,838,753 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/JUL/2022 40,200,000 | 39,967,739 | 39,110,626 | |||||||||
U.S. OF AMER TREAS NOTES | 1.63% 15/JAN/2015 10,400,000 | 13,129,496 | 13,105,010 | |||||||||
U.S. OF AMER TREAS NOTES | 1.25% 15/MAR/2014 8,000,000 | 8,018,377 | 8,018,752 | |||||||||
UNIV CALIF REGTS MED CTR | 6.398% 15/MAY/2031 3,400,000 | 3,400,000 | 3,830,440 | |||||||||
WISCONSIN HSG & ECNMC DEV AUTH | VAR 01/SEP/2026 3,700,000 | 3,700,000 | 3,700,000 | |||||||||
TOTAL U.S. FEDERAL, STATE, LOCAL AND NON-U.S. GOVERNMENT | 816,750,953 | 807,836,429 | ||||||||||
SECURITIES | ||||||||||||
MORTGAGE-BACKED SECURITIES: | ||||||||||||
BANC OF AMERICA COMM MTG | 5.38% 10/JUN/2049 3,300,000 | 3,816,656 | 3,663,822 | |||||||||
BANC OF AMERICA FUNDING TR | VAR 25/APR/2037 340,025 | 258,419 | 279,583 | |||||||||
BANC OF AMERICA FUNDING TR | VAR 20/MAY/2036 601,080 | 394,938 | 557,035 | |||||||||
BANC OF AMERICA MTG TR | VAR 25/FEB/2035 409,532 | 308,174 | 398,573 | |||||||||
BCCR TR | VAR 21/AUG/2045 6,000,000 | 5,130,000 | 6,601,140 | |||||||||
* | BEAR STEARNS | VAR 25/MAR/2035 61,618 | 60,448 | 62,029 | ||||||||
* | BEAR STEARNS | VAR 25/AUG/2035 32,005 | 31,248 | 32,031 | ||||||||
CD 2007 CD4 | 5.21% 11/DEC/2049 31,111 | 31,729 | 31,117 | |||||||||
CITIGROUP MTG LOAN TR | FLT 25/SEP/2037 376,495 | 262,180 | 308,204 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
MORTGAGE-BACKED SECURITIES (CONTINUED): | ||||||||||||
CITIGROUP MTG LOAN TR | VAR 25/AUG/2035 28,326 | 27,847 | 27,921 | |||||||||
CITIGROUP MTG LOAN TR | VAR 25/OCT/2035 792,993 | 469,784 | 596,596 | |||||||||
CITIGROUP MTG LOAN TR | VAR 25/SEP/2035 23,924 | 23,027 | 23,425 | |||||||||
COMMERCIAL MTG | 6.75% 20/JUN/2031 352,458 | 326,978 | 369,310 | |||||||||
CWALT ALTERNATIVE LN TR | VAR 20/DEC/2046 1,101,017 | 651,252 | 779,354 | |||||||||
FEDERAL HOME LOAN MTG CORP | 4.00% 01/SEP/2039 25,988 | 26,905 | 26,710 | |||||||||
FEDERAL HOME LOAN MTG CORP | 4.00% 01/DEC/2040 3,127,310 | 3,346,711 | 3,214,412 | |||||||||
FEDERAL HOME LOAN MTG CORP | VAR 01/JAN/2037 700,285 | 726,239 | 740,744 | |||||||||
FEDERAL HOME LOAN MTG CORP | VAR 01/SEP/2037 58,152 | 59,917 | 59,668 | |||||||||
FEDERAL HOME LOAN MTG CORP | 4.00% 01/AUG/2043 32,427 | 33,572 | 33,349 | |||||||||
FEDERAL HOME LOAN MTG CORP | 4.00% 01/SEP/2043 932,120 | 965,035 | 958,708 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.50% 01/APR/2043 1,990,854 | 1,847,761 | 1,804,000 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% 01/AUG/2043 1,982,875 | 1,892,871 | 1,884,733 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.50% 01/FEB/2026 142,680 | 148,966 | 149,305 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.50% 01/JAN/2043 1,978,730 | 1,836,509 | 1,793,040 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.50% 01/FEB/2043 1,967,437 | 1,826,028 | 1,782,784 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.50% 01/APR/2043 1,985,961 | 1,843,220 | 1,799,589 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% 01/MAY/2043 4,959,763 | 4,699,376 | 4,713,675 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% 01/MAY/2043 1,982,637 | 1,934,310 | 1,884,221 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% 01/JUN/2043 44,701 | 42,815 | 42,500 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% 01/JUN/2043 1,918,896 | 1,874,522 | 1,823,872 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% 01/JUL/2043 15,999,997 | 15,339,215 | 15,207,997 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% 01/AUG/2043 3,081,101 | 3,009,850 | 2,928,583 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 7.00% 01/DEC/2027 1,642 | 1,749 | 1,646 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 8.00% 01/AUG/2015 0,656 | 693 | 680 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 8.00% 01/AUG/2015 5,222 | 5,509 | 5,309 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 8.00% 01/SEP/2015 1,657 | 1,723 | 1,711 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 9.00% 01/NOV/2021 1,774 | 1,901 | 1,795 | |||||||||
GOVERNMENT NATIONAL MTG ASSOC | 7.50% 15/MAR/2029 7,422 | 7,897 | 8,755 | |||||||||
GOVERNMENT NATIONAL MTG ASSOC | VAR 20/MAR/2037 374,393 | 368,719 | 375,413 | |||||||||
GOVERNMENT NATIONAL MTG ASSOC | VAR 20/MAY/2037 158,953 | 156,543 | 159,085 | |||||||||
GOVERNMENT NATIONAL MTG ASSOC | 2.50% JAN 1,000,000 | 922,656 | 917,930 | |||||||||
GOVERNMENT NATIONAL MTG ASSOC | 3.00% JAN 17,000,000 | 16,481,367 | 16,416,951 | |||||||||
HARBORVIEW MTG LOAN TR | VAR 25/FEB/2036 335,940 | 174,899 | 266,748 | |||||||||
INDUS ECLIPSE07-1 FRN | VAR 25/JAN/2020 215,590 | 296,789 | 344,573 | |||||||||
INDYMAC INDA | VAR 25/NOV/2037 255,207 | 165,975 | 233,008 | |||||||||
MASTR ADJ RATE MTGS TR | FLT 25/JAN/2036 519,857 | 399,687 | 491,768 | |||||||||
MRRLL LYNCH/CNTRYWDE COMM MTG | 5.70% 12/SEP/2049 100,000 | 72,375 | 111,110 | |||||||||
MRRLL LYNCH/CNTRYWDE COMM MTG | 5.81% 12/JUN/2050 4,290,000 | 2,805,355 | 4,744,907 | |||||||||
MORGAN STANLEY CAPITAL I | VAR 11/JUN/2049 80,000 | 63,966 | 89,246 | |||||||||
MORGAN STANLEY MTG LOAN TR | FLT 25/JUL/2035 1,029,667 | 634,045 | 875,409 | |||||||||
MORGAN STANLEY MTG LOAN TR | FLT 25/AUG/2034 286,804 | 148,849 | 279,029 | |||||||||
MORGAN STANLEY MTG LOAN TR | VAR 25/JUN/2036 1,143,402 | 924,190 | 1,121,149 | |||||||||
MORGAN STANLEY MTG LOAN TR | VAR 25/JUN/2037 528,432 | 255,644 | 301,634 | |||||||||
RALI SERIES | FLT 25/DEC/2035 1,564,552 | 885,034 | 1,236,300 | |||||||||
RALI SERIES | VAR 25/JUN/2046 220,281 | 183,228 | 101,580 | |||||||||
RBSGC MTG LOAN TR | VAR 25/JAN/2037 764,730 | 299,227 | 511,932 | |||||||||
STRUCTURED ADJ RATE MTG LOAN TR | FLT 25/MAY/2036 701,230 | 390,934 | 533,478 | |||||||||
STRUCTURED ADJ RATE MTG LOAN TR | VAR MAY/2036 769,617 | 481,928 | 746,990 | |||||||||
THORNBURG MTG SECURITIES TR | FLT 25/SEP/2037 507,592 | 386,468 | 498,605 | |||||||||
THORNBURG MTG SECURITIES TR | FLT 25/SEP/2037 744,189 | 637,221 | 772,486 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
MORTGAGE-BACKED SECURITIES (CONTINUED): | ||||||||||||
UBS-BARCLAYS COMM MTG TR | VAR 12/MAR/2046 8,016,598 | 590,638 | 576,518 | |||||||||
WACHOVIA BANK COMM MTG | 4.94% 15/APR/2042 837,000 | 638,968 | 868,306 | |||||||||
WACHOVIA BANK COMM MTG | 5.57% 15/OCT/2048 100,000 | 71,020 | 109,440 | |||||||||
WELLS FARGO | FLT 25/OCT/2035 1,565,238 | 1,366,893 | 1,534,135 | |||||||||
WELLS FARGO | FLT 25/OCT/2035 483,801 | 444,794 | 487,039 | |||||||||
WELLS FARGO | VAR 25/APR/2036 171,828 | 132,860 | 157,498 | |||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 83,646,246 | 89,460,193 | ||||||||||
DERIVATIVES RECEIVABLE: | ||||||||||||
US 10YR NOTE (CBT) BOND LONG | VM EX: 20/MAR/2014 SIZE 100,000 | — | (20,262 | ) | ||||||||
US 10YR NOTE (CBT) BOND LONG | FUTR LONG EX: 20/MAR/2014 | (20,262 | ) | 20,262 | ||||||||
US 5YR NOTE (CBT) FUTR LONG | VM EX: 31/MAR/2014 SIZE 100,000 | — | (282,893 | ) | ||||||||
US 5YR NOTE (CBT) FUTR LONG | FUTR LONG EX: 31/MAR/2014 | (282,893 | ) | 282,893 | ||||||||
90DAY EURO$ FUTR LONG | VM EX: 14/DEC/2015 SIZE 2,500 | — | (17,309 | ) | ||||||||
90DAY EURO$ FUTR LONG | FUTR LONG EX: 14/DEC/2015 | (17,309 | ) | 17,309 | ||||||||
90DAY EURO$ FUTR LONG | VM EX: 15/JUN/2015 SIZE 2,500 | — | (42,176 | ) | ||||||||
90DAY EURO$ FUTR LONG | FUTR LONG EX: 15/JUNE/2015 | (42,176 | ) | 42,176 | ||||||||
90DAY EURO$ FUTR LONG | VM EX: 13/JUN/2016 SIZE 2,500 | — | (41,496 | ) | ||||||||
90DAY EURO$ FUTR LONG | FUTR LONG EX: 13/JUN/2016 | (41,496 | ) | 41,496 | ||||||||
90DAY EURO$ FUTR LONG | VM EX: 16/MAR/2015 SIZE 2,500 | — | (35,365 | ) | ||||||||
90DAY EURO$ FUTR LONG | FUTR LONG EX: 16/MAR/2015 | (35,365 | ) | 35,365 | ||||||||
90DAY EURO$ FUTR LONG | VM EX: 14/MAR/2016 SIZE 2,500 | — | (205,541 | ) | ||||||||
90DAY EURO$ FUTR LONG | FUTR LONG EX: 14/MAR/2016 | (205,541 | ) | 205,541 | ||||||||
90DAY EURO$ FUTR LONG | VM EX: 14/SEP/2015 SIZE 2,500 | — | (24,804 | ) | ||||||||
90DAY EURO$ FUTR LONG | FUTR LONG EX: 14/SEP/2015 | (24,804 | ) | 24,804 | ||||||||
90DAY EURO$ FUTR LONG | VM EX: 15/SEP/2014 SIZE 2,500 | — | 2,436 | |||||||||
90DAY EURO$ FUTR LONG | FUTR LONG EX: 15/SEP/2014 | 2,436 | (2,436 | ) | ||||||||
FWD CURRENCY CONTRACTS - JPY | AUD RATE 0.9637 | — | 9,969 | |||||||||
FWD CURRENCY CONTRACTS - AUD | BRL RATE 2.0644 | — | 69,192 | |||||||||
FWD CURRENCY CONTRACTS - BRL | BRL RATE 2.0955 | — | 10,276 | |||||||||
FWD CURRENCY CONTRACTS - MXN | BRL RATE 2.1025 | — | 3,042 | |||||||||
FWD CURRENCY CONTRACTS - MXN | BRL RATE 2.0940 | — | 7,713 | |||||||||
FWD CURRENCY CONTRACTS - EUR | BRL RATE 2.0891 | — | 11,779 | |||||||||
FWD CURRENCY CONTRACTS - EUR | CAD RATE 0.9973 | — | 818 | |||||||||
FWD CURRENCY CONTRACTS - AUD | CNY RATE 6.3826 | — | 31,288 | |||||||||
FWD CURRENCY CONTRACTS - JPY | EUR RATE 0.7585 | — | 554 | |||||||||
FWD CURRENCY CONTRACTS - HKD | MXN RATE 13.0970 | — | 4 | |||||||||
GENERAL MOTORS CO C/WTS | 2,917 SHARES | — | 90,897 | |||||||||
GENERAL MOTORS CO C/WTS | 2,917 SHARES | — | 67,473 | |||||||||
GREEN FIELD ENERGY/WTS | 1,275 SHARES | — | 1,288 | |||||||||
NORTEK INC/WTS | 432 SHARES | — | 11,016 | |||||||||
CDS - EMIABD | EX 20/MAR/2016 3,000,000 | — | 58,797 | |||||||||
CDS - QATAR | EX 20/MAR/2016 2,000,000 | — | 35,944 | |||||||||
CDS - QATAR | EX 20/MAR/2016 1,600,000 | — | 28,755 | |||||||||
CDS - TOL FINCORP | EX 20/DEC/2017 2,500,000 | — | 5,693 | |||||||||
INFLATION SWAP - USCPI | EX 29/NOV/2016 1,200,000 | — | 4,360 | |||||||||
INFLATION SWAP - USCPI | EX 29/NOV/2016 1,200,000 | — | 4,360 | |||||||||
INFLATION SWAP - USCPI | EX 29/NOV/2016 900,000 | — | 2,759 | |||||||||
INFLATION SWAP - USCPI | EX 15/APR/2016 8,900,000 | — | 129,892 | |||||||||
INFLATION SWAP - USCPI | EX 05/NOV/2016 2,100,000 | — | 5,573 | |||||||||
INFLATION SWAP - USCPI | EX 15/APR/2017 1,600,000 | — | 21,114 | |||||||||
INFLATION SWAP - USCPI | EX 31/OCT/2016 500,000 | — | 406 | |||||||||
INFLATION SWAP - USCPI | EX 23/OCT/2016 2,700,000 | — | 1,942 |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COST | CURRENT VALUE | |||||||||
DERIVATIVES RECEIVABLE (CONTINUED): | ||||||||||||
INFLATION SWAP - USCPI | EX 01/Oct/2018 800,000 | — | 260 | |||||||||
INFLATION SWAP - USCPI | EX 15/JUL/2017 10,700,000 | — | 91,050 | |||||||||
INFLATION SWAP - USCPI | EX 15/JUL/2017 6,600,000 | — | 56,162 | |||||||||
INFLATION SWAP - USCPI | EX 15/JUL/2022 1,300,000 | — | 21,132 | |||||||||
INFLATION SWAP - USCPI | EX 15/JUL/2022 4,800,000 | — | 78,014 | |||||||||
INFLATION SWAP - USCPI | EX 08/MAY/2023 1,900,000 | — | 3,640 | |||||||||
INFLATION SWAP - FCPIX | EX 01/04/2021 100,000 | — | 3,874 | |||||||||
INFLATION SWAP - FCPIX | EX 01/04/2021 700,000 | — | 26,818 | |||||||||
INFLATION SWAP - FCPIX | EX 01/04/2021 1,000,000 | — | 38,738 | |||||||||
INFLATION SWAP - FCPIX | EX 01/04/2021 300,000 | — | 11,621 | |||||||||
INFLATION SWAP - FCPIX | EX 01/04/2021 5,000,000 | — | 193,688 | |||||||||
INFLATION SWAP - FCPIX | EX 25/07/2021 4,600,000 | — | 78,520 | |||||||||
INFLATION SWAP - FCPIX | EX 25/07/2021 4,600,000 | — | 78,520 | |||||||||
INFLATION SWAP - FCPIX | EX 25/07/2021 3,100,000 | — | 53,269 | |||||||||
IRS - LIBOR | EX 19/JUN/2043 6,200,000 | — | 1,300,654 | |||||||||
IRS - LIBOR | EX 18/DEC/2043 12,200,000 | — | 926,713 | |||||||||
IRS - LIBOR | EX 18/DEC/2043 2,500,000 | — | 189,900 | |||||||||
IRS - LIBOR | EX 18/DEC/2043 1,300,000 | — | 98,748 | |||||||||
IRS - LIBOR | EX 18/DEC/2043 1,200,000 | — | 91,152 | |||||||||
SWAPTION - SOP | CALL SCTY EX 05/21/2014 1 | — | 1,076,033 | |||||||||
SWAPTION - SOP | PUT SCTY EX 09/21/2015 1 | — | 324,129 | |||||||||
SWAPTION - SOP | CALL SCTY EX 04/14/2014 1 | — | 94,630 | |||||||||
TOTAL DERIVATIVES RECEIVABLE | (667,410 | ) | 5,452,169 | |||||||||
MONEY MARKET FUNDS AND OTHER: | ||||||||||||
BLACKROCK DOMICILED MM FD | 12 SHARES | 12 | 12 | |||||||||
CASH COLLATERAL/MM FD | 3,490,000 SHARES | 3,490,000 | 3,490,000 | |||||||||
* | JPM US GOV'T/MMKT FD CAP'L SH'S | 285,275,555 SHARES | 285,275,555 | 285,275,555 | ||||||||
LBI OPEN POSITION NET/MM FD | 155,861 SHARES | — | 65,462 | |||||||||
TRUST RECEIPT MISC INC | 1 SHARE | — | 1 | |||||||||
TOTAL OTHER | 288,765,567 | 288,831,030 | ||||||||||
SUBTOTAL INVESTMENTS | 15,054,805,759 | 19,413,839,577 | ||||||||||
* | NOTES RECEIVABLE FROM PARTICIPANTS | INT RATE: 3.25 - 9.50% | — | 463,672,756 | ||||||||
TOTAL INVESTMENTS | $ | 15,054,805,759 | $ | 19,877,512,333 |
* | PARTY-IN-INTEREST INVESTMENTS |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COSTS OF ACQUISITIONS | PROCEEDS OF DISPOSITION | |||||||||
FOLLOWING ARE THE PURCHASES AND SALES OF NON EXCLUDED ASSETS: | ||||||||||||
NON-U.S. GOVERNMENT SECURITIES AND AGENCY SECURITIES: | ||||||||||||
AUSTRALIA(COMMONWEALTH OF) | 5.5% SEMI-ANN. 04/21/2023 100,000 | $ | 121,680 | $ | 123,122 | |||||||
AUSTRALIA(COMMONWEALTH OF) | 5.5% SEMI-ANN. 01/21/2018 800,000 | 915,862 | 920,946 | |||||||||
GERMANY(FEDERAL REPUBLIC) | ANNUAL FLT 04/15/2018 4,600,000 | 6,886,000 | 6,829,172 | |||||||||
MEXICO(UNITED MEXICAN STATES) | VAR SEMI-ANN. FLT 06/16/2016 1,400 | 60,953 | 60,604 | |||||||||
MEXICO(UNITED MEXICAN STATES) | VAR SEMI-ANN. FLT 12/18/2014 4,500 | 184,880 | 183,401 | |||||||||
UK OF GREAT BRITAIN AND NORT | SEMI-ANN ZCP 11/22/2017 400,000 | 920,426 | 932,135 | |||||||||
UK OF GREAT BRITAIN AND NORT | SEMI-ANN 0.38% 03/22/2062 100,000 | 212,939 | 201,358 | |||||||||
UK OF GREAT BRITAIN AND NORT | SEMI-ANN ZCP 03/22/2044 850,000 | 1,374,583 | 1,467,266 | |||||||||
DERIVATIVES: | ||||||||||||
EURO-BUND OPTION | EX 11/22/2013 SIZE 100,000 | — | 10,671 | |||||||||
US 10YR | EX 04/26/2013 SIZE 100,000 | (1,789 | ) | (4 | ) | |||||||
US 10YR FUT OPTN | EX 08/23/2013 SIZE 100,000 | (7,184 | ) | — | ||||||||
EURO-BUND OPTION | EX 11/22/2013 SIZE 100,000 | — | 8,039 | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 09/24/2013 1 | 26,000 | 43,680 | |||||||||
3MO EURO | EX 12/14/2015 SIZE 2,500 | — | 4,985 | |||||||||
US LONG BOND (CBT) FUTR | EX 12/19/2013 SIZE 100,000 | — | (49,422 | ) | ||||||||
US LONG BOND (CBT) FUTR | EX 06/19/2013 SIZE 100,000 | — | 41,968 | |||||||||
US LONG BOND (CBT) FUTR | EX 09/19/2013 SIZE 100,000 | — | 125,341 | |||||||||
US 10YR NOTE (CBT) BOND | EX 09/19/2013 SIZE 100,000 | — | (100,533 | ) | ||||||||
US 10YR NOTE (CBT) BOND | EX 09/19/2013 SIZE 100,000 | — | 158,366 | |||||||||
US 10YR NOTE (CBT) FUTR | EX 12/19/2013 SIZE 100,000 | — | 3,588 | |||||||||
US 10YR NOTE (CBT) FUTR | EX 06/19/2013 SIZE 100,000 | — | 76,091 | |||||||||
US 5YR NOTE (CBT) FUTR | EX 12/31/2013 SIZE 100,000 | — | 484,584 | |||||||||
US 5YR NOTE (CBT) FUTR | EX 09/30/2013 SIZE 100,000 | — | (31,897 | ) | ||||||||
USD IRS 10YR PRIM FUTR | EX 12/16/2013 SIZE 1,000 | — | (119,549 | ) | ||||||||
USD IRS 10YR PRIM FUTR | EX 09/16/2013 SIZE 1,000 | — | 146,818 | |||||||||
USD IRS 30YR PRIM FUTR | EX 12/16/2013 SIZE 1,000 | — | (12,796 | ) | ||||||||
USD IRS 30YR PRIM FUTR | EX 06/17/2013 SIZE 1,000 | — | 19,936 | |||||||||
USD IRS 30YR PRIM FUTR | EX 09/16/2013 SIZE 1,000 | — | 67,726 | |||||||||
90DAY EURO$ FUTR | EX 12/15/2014 SIZE 2,500 | — | 21,080 | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 05/31/2013 1 | (8,355 | ) | (2,709 | ) | |||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 04/16/2013 1 | (17,083 | ) | (2,958 | ) | |||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 04/16/2013 1 | (6,675 | ) | (1,305 | ) | |||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 09/24/2013 1 | (15,520 | ) | (5,056 | ) | |||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 04/16/2013 1 | (22,883 | ) | — | ||||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 07/05/2013 1 | (13,300 | ) | — | ||||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 07/05/2013 1 | (12,390 | ) | — | ||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 04/16/2013 1 | (33,320 | ) | (41,370 | ) | |||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 09/24/2013 1 | (10,480 | ) | (17,712 | ) | |||||||
INFLATION LINKED OPTION | CALL SCTY EX 09/29/2013 1 | — | — | |||||||||
SWAPTION - SOP | CALL SCTY EX 10/24/2013 1 | (186 | ) | — |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COSTS OF ACQUISITIONS | PROCEEDS OF DISPOSITION | |||||||||
DERIVATIVES (CONTINUED): | ||||||||||||
SWAPTION - SOP | CALL SCTY EX 09/03/2013 1 | (490 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 09/03/2013 1 | (840 | ) | (225 | ) | |||||||
SWAPTION - SOP | CALL SCTY EX 09/03/2013 1 | (700 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 09/03/2013 1 | (1,050 | ) | (281 | ) | |||||||
SWAPTION - SOP | CALL SCTY EX 09/03/2013 1 | (2,648 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 09/03/2013 1 | (4,368 | ) | (1,463 | ) | |||||||
SWAPTION - SOP | PUT SCTY EX 10/24/2013 1 | (318 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 04/29/2013 1 | (320 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 03/18/2013 1 | (2,259 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 03/18/2013 1 | (510 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 03/18/2013 1 | (750 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 03/18/2013 1 | (1,350 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 03/18/2013 1 | (2,835 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 04/24/2013 1 | (5,754 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 06/17/2013 1 | (2,256 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 06/19/2013 1 | (780 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 06/19/2013 1 | (1,390 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/24/2013 1 | (3,007 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/24/2013 1 | (2,278 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/24/2013 1 | (8,485 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/24/2013 1 | (2,739 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 04/29/2013 1 | (800 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 06/17/2013 1 | (4,708 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 06/19/2013 1 | (1,365 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 06/19/2013 1 | (1,390 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 03/18/2013 1 | (7,176 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 03/18/2013 1 | (2,168 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 03/18/2013 1 | (4,250 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 03/18/2013 1 | (3,600 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 03/18/2013 1 | (7,560 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (1,890 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (3,240 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (2,500 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (3,750 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (11,815 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (19,685 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 04/29/2013 1 | (10,348 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 04/29/2013 1 | (4,633 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 04/29/2013 1 | (2,625 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (6,370 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (55,975 | ) | — |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COSTS OF ACQUISITIONS | PROCEEDS OF DISPOSITION | |||||||||
DERIVATIVES (CONTINUED): | ||||||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (7,043 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (37,510 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 04/02/2013 1 | (41,188 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 04/02/2013 1 | (58,563 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 06/03/2013 1 | (13,910 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 06/03/2013 1 | (2,821 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 10/28/2013 1 | (20,230 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 10/28/2013 1 | (57,340 | ) | (15,475 | ) | |||||||
SWAPTION - SOP | CALL SCTY EX 07/02/2013 1 | (8,280 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/02/2013 1 | (8,280 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/02/2013 1 | (17,460 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/02/2013 1 | (48,500 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/24/2013 1 | (13,667 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/24/2013 1 | (14,231 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/24/2013 1 | (1,771 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/24/2013 1 | (3,616 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (15,930 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (9,900 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (9,075 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (2,100 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (5,610 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (24,210 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (8,400 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (6,425 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (3,600 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 07/29/2013 1 | (18,300 | ) | — | ||||||||
SWAPTION - SOP | CALL SCTY EX 09/03/2013 1 | (2,835 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2013 1 | (6,480 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (24,945 | ) | (57,800 | ) | |||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (15,950 | ) | (37,400 | ) | |||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (17,160 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (3,750 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (10,500 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (20,265 | ) | (79,900 | ) | |||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (16,680 | ) | (40,800 | ) | |||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (8,405 | ) | (9,300 | ) | |||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (11,340 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/29/2013 1 | (18,300 | ) | (4,080 | ) | |||||||
SWAPTION - SOP | PUT SCTY EX 09/30/2013 1 | (224,981 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 09/30/2013 1 | (4,370 | ) | — | ||||||||
SWAPTION - SOP | PUT SCTY EX 11/29/2013 1 | (8,700 | ) | (210 | ) | |||||||
SWAPTION - SOP | PUT SCTY EX 11/29/2013 1 | (73,440 | ) | (1,785 | ) | |||||||
US 10YR FUT OPTN | PUT SCTY EX 08/23/2013 100,000 | (12,278 | ) | — | ||||||||
US 10YR P129 | PUT SCTY EX 04/26/2013 1,000 | (2,823 | ) | — |
(A) | (B) | (C) | (D) | (E) | ||||||||
IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY | DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL, PAR, OR MATURITY VALUE | COSTS OF ACQUISITIONS | PROCEEDS OF DISPOSITION | |||||||||
SECURITIES SOLD SHORT: | ||||||||||||
TBA FNMA | 4.00% 05/25/2044 13,000,000 | (13,883,594 | ) | (13,870,391 | ) | |||||||
TBA FNMA | 5.50% 05/25/2044 16,000,000 | (17,439,375 | ) | (17,399,375 | ) | |||||||
TBA FNMA | 3.50% 04/25/2044 7,000,000 | (7,330,313 | ) | (7,396,484 | ) |
(A) | (B) | (C) | (D) | (F) | (G) | (H) | (I) | |||||||||||||||||
IDENTITY OF PARTY INVOLVED | DESCRIPTION OF ASSET (INCLUDE INTEREST RATE AND MATURITY IN CASE OF A LOAN) | PURCHASE PRICE | SELLING PRICE | EXPENSE INCURRED WITH TRANSACTION | COST OF ASSET | CURRENT VALUE OF ASSET ON TRANSACTION DATE | NET GAIN OR (LOSS) | |||||||||||||||||
SERIES OF TRANSACTIONS — SCHEDULE H, PART IV, LINE 4J | ||||||||||||||||||||||||
BLACKROCK RUSSELL 2000 INDEX FD, 225 BUYS | VARIOUS | $ | — | $ | 646,251,255 | $ | 646,251,255 | $ | — | |||||||||||||||
BLACKROCK RUSSELL 2000 INDEX FD, 307 SELLS | VARIOUS | — | 600,557,477 | 636,006,089 | 35,448,612 | |||||||||||||||||||
* | JPM CHASE & CO COM STOCK, 74 BUYS | VARIOUS | 170,961 | 499,402,070 | 499,231,113 | 4 | ||||||||||||||||||
* | JPM CHASE & CO COM STOCK, 139 SELLS | VARIOUS | 304,049 | 635,115,321 | 843,499,197 | 208,079,827 | ||||||||||||||||||
* | JPM U.S. GOV’T MM FD/CAPITAL SHARES, 1,594 BUYS | 1.00 | — | 3,739,718,879 | 3,739,718,879 | — | ||||||||||||||||||
* | JPM U.S. GOV’T MM FD/CAPITAL SHARES, 1,672 SELLS | 1.00 | — | 3,823,899,034 | 3,823,899,034 | — | ||||||||||||||||||
U.S. OF AMERICA TREASURY NOTES TIPS, 109 BUYS | VARIOUS | — | 694,860,804 | 694,860,804 | — | |||||||||||||||||||
U.S. OF AMERICA TREASURY NOTES TIPS, 106 SELLS | VARIOUS | — | 722,866,973 | 716,533,756 | (6,333,217 | ) | ||||||||||||||||||
U.S. OF AMERICA TREASURY NOTES 1.625%, 63 BUYS | VARIOUS | — | 2,370,066,816 | 2,370,066,816 | — | |||||||||||||||||||
U.S. OF AMERICA TREASURY NOTES 1.625%, 60 SELLS | VARIOUS | — | 2,293,337,441 | 2,299,716,905 | 6,379,464 | |||||||||||||||||||
U.S. OF AMERICA TREASURY NOTES 2.00%, 17 BUYS | VARIOUS | — | 447,608,915 | 447,608,915 | — | |||||||||||||||||||
U.S. OF AMERICA TREASURY NOTES 2.00%, 12 SELLS | VARIOUS | — | 447,608,914 | 447,475,984 | (132,930 | ) | ||||||||||||||||||
U.S. OF AMERICA U.S. GOV'T FIXED, 70 BUYS | VARIOUS | — | 687,347,335 | 687,347,335 | — | |||||||||||||||||||
U.S. OF AMERICA U.S. GOV'T FIXED, 68 SELLS | VARIOUS | — | 633,834,982 | 633,803,151 | (31,831 | ) |
NOTE 1: | THE THRESHOLD FOR REPORTING TRANSACTIONS UNDER DEPARTMENT OF LABOR PROVISIONS IS FIVE PERCENT OF THE FAIR VALUE OF THE PLAN’S NET ASSETS AT THE BEGINNING OF THE YEAR OF $16,661,395,587. FIVE PERCENT OF THIS AMOUNT IS $833,069,779. |
NOTE 2: | COLUMN ‘(E) LEASE RENTAL’ HAS BEEN OMITTED, AS THERE IS NO DATA TO REPORT IN THIS COLUMN. |
* | PARTY-IN-INTEREST INVESTMENTS |
The JPMorgan Chase 401(k) Savings Plan | |
(Registrant) | |
By: | /s/ Mark W. O'Donovan |
Mark W. O'Donovan | |
Managing Director and Corporate Controller | |
(Principal Accounting Officer) | |
Date: June 27, 2014 |
Exhibit No. | Description of Exhibit | Page at which located | |||
23 | Consent of Independent Registered Public Accounting Firm | 54 |