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 | 54 |
December 31, | 2014 | 2013 | |||||
Assets: | |||||||
Total investments at fair value | $ | 20,337,454,154 | $ | 19,413,869,065 | |||
Receivables: | |||||||
Employers’ contributions, net of forfeited unvested account balances | 426,254,862 | 443,435,973 | |||||
Notes receivable from participants | 501,793,195 | 463,643,268 | |||||
Due from brokers for investment securities sold | 212,406,474 | 80,626,839 | |||||
Participants’ contributions | 28,969,550 | 28,080,316 | |||||
Accrued interest and dividends | 13,100,348 | 16,422,656 | |||||
Other | 3,421,316 | 4,797,069 | |||||
Total receivables | 1,185,945,745 | 1,037,006,121 | |||||
Cash (noninterest-bearing) | 11,541,255 | — | |||||
Total assets | 21,534,941,154 | 20,450,875,186 | |||||
Liabilities: | |||||||
Securities sold, not yet purchased | — | 77,923,041 | |||||
Derivative payables | 6,399,958 | 2,780,710 | |||||
Total liabilities at fair value | 6,399,958 | 80,703,751 | |||||
Payable for securities purchased | 342,405,276 | 247,417,909 | |||||
Accrued expenses | 3,251,951 | 4,774,984 | |||||
Other | 491,818 | 348,010 | |||||
Total liabilities | 352,549,003 | 333,244,654 | |||||
Net assets reflecting all investments at fair value | 21,182,392,151 | 20,117,630,532 | |||||
Adjustment from fair value to contract value for fully benefit-responsive synthetic guaranteed investment contracts | (11,172,917 | ) | 346,616 | ||||
Net assets available for benefits | $ | 21,171,219,234 | $ | 20,117,977,148 |
Years Ended December 31, | 2014 | 2013 | |||||
Additions: | |||||||
Contributions: | |||||||
Participants | $ | 873,807,177 | $ | 848,007,132 | |||
Employers, net of forfeited unvested account balances | 415,877,629 | 438,186,359 | |||||
Rollovers | 139,869,086 | 123,655,839 | |||||
Total contributions | 1,429,553,892 | 1,409,849,330 | |||||
Investment income: | |||||||
Dividend income: | |||||||
JPMorgan Chase & Co. common stock | 79,393,703 | 74,673,879 | |||||
Other | 89,402,183 | 80,036,092 | |||||
Interest income | 63,603,198 | 68,666,420 | |||||
Net appreciation/(depreciation) in fair value of investments | 1,196,867,349 | 3,235,887,251 | |||||
Increase in net assets available for benefits from investment income | 1,429,266,433 | 3,459,263,642 | |||||
Interest income on notes receivable from participants | 15,155,447 | 13,685,968 | |||||
Other income | — | 6,771,672 | |||||
Total additions | 2,873,975,772 | 4,889,570,612 | |||||
Deductions: | |||||||
Benefits paid to participants | 1,804,541,361 | 1,419,335,071 | |||||
Administrative expenses | 16,192,325 | 13,653,980 | |||||
Total deductions | 1,820,733,686 | 1,432,989,051 | |||||
Net increase | 1,053,242,086 | 3,456,581,561 | |||||
Net assets available for benefits, beginning of year | 20,117,977,148 | 16,661,395,587 | |||||
Net assets available for benefits, end of year | $ | 21,171,219,234 | $ | 20,117,977,148 |
• | 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. |
Fair value hierarchy | ||||||||||||
December 31, 2014 | Level 1(a) | Level 2(a) | Total fair value | |||||||||
Common/collective trust funds: | ||||||||||||
Large cap U.S. equity funds | $ | — | $ | 5,787,861,496 | $ | 5,787,861,496 | ||||||
Small cap U.S. equity funds | — | 911,496,515 | 911,496,515 | |||||||||
Large cap non-U.S. equity funds | — | 1,530,421,710 | 1,530,421,710 | |||||||||
Small cap non-U.S. equity funds | — | 240,293,472 | 240,293,472 | |||||||||
U.S. fixed income funds | — | 693,383,038 | 693,383,038 | |||||||||
Non-U.S. fixed income funds | — | 60,797,383 | 60,797,383 | |||||||||
Real estate funds | — | 165,521,091 | 165,521,091 | |||||||||
Commodity funds | — | 5,117,836 | 5,117,836 | |||||||||
Total common/collective trust funds | — | 9,394,892,541 | 9,394,892,541 | |||||||||
Equity securities: | ||||||||||||
JPMorgan Chase & Co. | 3,253,573,124 | — | 3,253,573,124 | |||||||||
Other banks and finance companies | 285,419,473 | — | 285,419,473 | |||||||||
Total banks and finance companies | 3,538,992,597 | — | 3,538,992,597 | |||||||||
Capital equipment | 360,519,474 | 32 | 360,519,506 | |||||||||
Consumer goods | 325,286,289 | 1,837 | 325,288,126 | |||||||||
Business services | 181,117,587 | — | 181,117,587 | |||||||||
Materials | 169,430,545 | — | 169,430,545 | |||||||||
Energy | 99,202,426 | — | 99,202,426 | |||||||||
Real estate | 62,517,408 | — | 62,517,408 | |||||||||
Other | 363,185,397 | 366 | 363,185,763 | |||||||||
Total equity securities | 5,100,251,723 | 2,235 | 5,100,253,958 | |||||||||
Synthetic guaranteed investment contracts | — | 2,140,434,486 | 2,140,434,486 | |||||||||
Registered investment companies (mutual funds): | ||||||||||||
U.S. fixed income funds | 960,674,971 | 7,023,768 | 967,698,739 | |||||||||
Mid cap U.S. equity funds | 583,653,344 | — | 583,653,344 | |||||||||
Total registered investment companies (mutual funds) | 1,544,328,315 | 7,023,768 | 1,551,352,083 | |||||||||
Corporate debt securities | — | 1,153,429,953 | 1,153,429,953 | |||||||||
U.S. federal, state, local and non-U.S. government securities | 440,995,584 | 162,049,911 | 603,045,495 | |||||||||
Mortgage-backed securities | 28,739,181 | 39,680,313 | 68,419,494 | |||||||||
Derivative receivables | — | 5,337,303 | 5,337,303 | |||||||||
Money market funds and other | 264,622,977 | 55,665,864 | 320,288,841 | |||||||||
Total assets measured at fair value(a) | $ | 7,378,937,780 | $ | 12,958,516,374 | $ | 20,337,454,154 | ||||||
Derivative payables | $ | — | $ | 6,399,958 | $ | 6,399,958 | ||||||
Total liabilities measured at fair value | $ | — | $ | 6,399,958 | $ | 6,399,958 |
Fair value hierarchy | ||||||||||||
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 | — | 2,202,462,150 | 2,202,462,150 | |||||||||
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 | 3,553,964 | 288,829,519 | |||||||||
Total assets measured at fair value(a) | $ | 7,392,270,860 | $ | 12,021,598,205 | $ | 19,413,869,065 | ||||||
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 |
(a) | For the year ended December 31, 2014, there were no material transfers between levels 1 and 2. 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. |
Description | 2014 | 2013 | ||||||
JPMorgan Chase & Co. common stock | $ | 3,253,573,124 | $ | 3,193,148,001 | ||||
Blackrock Equity Index Fund | $ | 2,413,842,189 | $ | 2,104,819,120 | ||||
Blackrock Russell 1000 Value Fund | $ | 1,185,303,105 | $ | 1,084,539,098 | ||||
Blackrock Russell 1000 Index Fund | $ | 1,182,367,250 | N/A |
Description | 2014 | 2013 | ||||||
Based on quoted market prices: | ||||||||
Equity securities | $ | 355,357,717 | $ | 1,252,570,356 | ||||
Registered investment companies | 105,309,105 | 378,431,519 | ||||||
Derivative receivables/(payables), net(a) | 217,730 | 1,924,773 | ||||||
U.S. federal, state, local and non-U.S. government securities | 11,725,702 | (50,912,423 | ) | |||||
Mortgage-backed securities | 350,031 | (635,150 | ) | |||||
Money market funds and other | (361,823 | ) | (121,173 | ) | ||||
Total based on quoted market prices | 472,598,462 | 1,581,257,902 | ||||||
Based on estimated fair value: | ||||||||
Common/collective trust funds | 729,499,054 | 1,666,381,381 | ||||||
Corporate debt securities | (10,570,287 | ) | (4,382,527 | ) | ||||
U.S. federal, state, local and non-U.S. government securities | (4,445,810 | ) | (9,091,835 | ) | ||||
Mortgage-backed securities | 1,357,385 | (1,264,106 | ) | |||||
Registered investment companies | 149,393 | 918,994 | ||||||
Equity securities | — | 1,438,507 | ||||||
Derivative receivables/(payables), net | 5,263,307 | 628,935 | ||||||
Money market funds and other | 3,015,845 | — | ||||||
Total based on estimated fair value | 724,268,887 | 1,654,629,349 | ||||||
Total net appreciation/(depreciation) | $ | 1,196,867,349 | $ | 3,235,887,251 |
Year ended December 31, | 2014 | 2013 |
Based on earnings | 1.60% | 1.40% |
Based on interest rates credited to participants | 1.89% | 1.96% |
Risk ratings(a) | Investments at fair value | Wrapper contracts at fair value | Adjustments to contract value | Total investment | |||||||||||||
Investments at December 31, 2014 | |||||||||||||||||
Synthetic GICs | |||||||||||||||||
Prudential Bond Wrapper | AA | $ | 736,772,847 | $ | — | $ | (3,915,934 | ) | $ | 732,856,913 | |||||||
AIG Financial Products Bond Wrapper | A | 727,870,000 | — | (5,052,014 | ) | 722,817,986 | |||||||||||
VOYA Contract MCA Wrapper | A | 339,230,550 | — | (1,315,322 | ) | 337,915,228 | |||||||||||
State Street Bank Bond Wrapper | AA | 336,534,068 | — | (889,647 | ) | 335,644,421 | |||||||||||
State Street Bank Loan Wrapper | AA | 27,021 | — | — | 27,021 | ||||||||||||
Total synthetic GICs | 2,140,434,486 | — | (11,172,917 | ) | 2,129,261,569 | ||||||||||||
Other benefit-responsive contracts | |||||||||||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | Not rated | 76,805,211 | — | — | 76,805,211 | ||||||||||||
Total other benefit-responsive contracts | 76,805,211 | — | — | 76,805,211 | |||||||||||||
Total | $ | 2,217,239,697 | $ | — | $ | (11,172,917 | ) | $ | 2,206,066,780 | ||||||||
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 | ||||||||||||
State Street Bank Loan Wrapper | AA | 30,999 | — | — | 30,999 | ||||||||||||
Total synthetic GICs | 2,202,462,150 | — | 346,616 | 2,202,808,766 | |||||||||||||
Other benefit-responsive contracts | |||||||||||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | Not rated | 97,701,706 | — | — | 97,701,706 | ||||||||||||
Total other benefit-responsive contracts | 97,701,706 | — | — | 97,701,706 | |||||||||||||
Total | $ | 2,300,163,856 | $ | — | $ | 346,616 | $ | 2,300,510,472 |
(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, | 2014 | 2013 | ||||||
Interest rate contracts | ||||||||
Swaps | $ | 118,698,842 | $ | 800,490,626 | ||||
Written options | 235,083,000 | 305,900,000 | ||||||
Futures and forwards | 27,925,500 | 22,140,500 | ||||||
Purchased options | 257,300,000 | 18,600,000 | ||||||
Total interest rate contracts | 639,007,342 | 1,147,131,126 | ||||||
Credit derivatives | 106,700,000 | 35,185,000 | ||||||
Foreign exchange contracts | ||||||||
Spot, futures and forwards | 212,445,909 | 57,556,993 | ||||||
Total foreign exchange contracts | 212,445,909 | 57,556,993 | ||||||
Equity contracts | ||||||||
Warrants | 5,996 | 7,541 | ||||||
Total equity contracts | 5,996 | 7,541 | ||||||
Total derivative notional amounts | $ | 958,159,247 | $ | 1,239,880,660 |
(a) | Represents the sum of gross long and gross short third-party notional derivative contracts. |
Derivative receivables | Derivative payables | |||||||||||||||
December 31, | 2014 | 2013 | 2014 | 2013 | ||||||||||||
Contract type | ||||||||||||||||
Interest rate | $ | 1,235,833 | $ | 5,007,671 | $ | 5,279,893 | $ | 2,018,635 | ||||||||
Credit | 1,332,987 | 129,189 | 289,236 | 444,582 | ||||||||||||
Equity | 127,085 | 170,674 | — | — | ||||||||||||
Foreign exchange | 2,641,398 | 144,635 | 830,829 | 317,493 | ||||||||||||
Gross fair value of derivative receivables and payables | $ | 5,337,303 | $ | 5,452,169 | $ | 6,399,958 | $ | 2,780,710 |
Derivatives gains/(losses) | ||||||||
Year ended December 31, | 2014 | 2013 | ||||||
Contract type | ||||||||
Interest rate | $ | (2,617,999 | ) | $ | 3,310,686 | |||
Credit | (62,340 | ) | (803,801 | ) | ||||
Equity | 151,558 | 57,996 | ||||||
Foreign exchange | 8,009,818 | (11,173 | ) | |||||
Total | $ | 5,481,037 | $ | 2,553,708 |
Maximum payout/Notional amount | ||||
December 31, | Credit derivatives type | Protection sold | ||
2014 | Credit default swaps | $ | (105,700,000 | ) |
2013 | Credit default swaps | $ | (6,600,000 | ) |
Risk rating of reference entity | Total notional amount | |||||||||||||||||||
December 31, | <1 year | 1–5 years | >5 years | Fair value(b) | ||||||||||||||||
2014 | Investment-grade (AAA to BBB)(a) | $ | 3,300,000 | $ | 101,300,000 | $ | 1,100,000 | $ | 105,700,000 | $ | 1,055,206 | |||||||||
2013 | Investment-grade (AAA to BBB)(a) | $ | — | $ | 6,600,000 | $ | — | $ | 6,600,000 | $ | 123,496 |
(a) | The ratings scale is primarily based on external credit ratings as defined by Standard & Poor's and Moody’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, 2014 | Aggregate cost of purchases | Aggregate proceeds from sales, redemptions and distributions to participants | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | $ | 3,712,704,745 | $ | 3,733,357,297 | ||||
JPMorgan Chase & Co. common stock | $ | 587,066,700 | $ | 707,367,255 | ||||
Core Bond Fund (managed by JPMorgan Investment Advisors) | $ | 43,037,968 | $ | 48,287,488 | ||||
Funds managed by JPMorgan Asset Management (USA) Inc.: | ||||||||
Mid Cap Growth Fund | $ | 107,482,655 | $ | 97,815,172 | ||||
Short-Term Fixed Income Fund | $ | 1,502,138,336 | $ | 1,537,545,827 | ||||
Small Cap Core Fund | $ | 84,750,450 | $ | 119,089,355 | ||||
Stable Value Fund | $ | 645,731,726 | $ | 740,175,418 | ||||
Year ended December 31, 2013 | ||||||||
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 |
(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 | 20,071,192 UNITS | $ | 698,617,273 | $ | 674,269,622 | |||||||
BLKRCK DEV'D REAL ESTATE IDX FD | 9,629,515 UNITS | 132,974,574 | 165,521,091 | |||||||||
BLKRCK DJ-UBS COMM DAILY FD | 805,160 UNITS | 6,629,468 | 5,117,836 | |||||||||
BLKRCK EAFE EQUITY INDEX FD | 14,612,217 UNITS | 349,330,276 | 505,699,208 | |||||||||
BLKRCK EMERGING MARKETS FD | 18,974,887 UNITS | 360,028,648 | 350,452,880 | |||||||||
BLKRCK EQUITY INDEX FD | 66,903,740 UNITS | 1,299,408,677 | 2,413,842,189 | |||||||||
BLKRCK MSCI EAFE SM CAP EQ IDX FD | 14,677,100 UNITS | 207,924,179 | 240,293,472 | |||||||||
BLKRCK RUSSELL 1000 GROWTH FD | 59,664,486 UNITS | 523,079,538 | 1,006,348,952 | |||||||||
BLKRCK RUSSELL 1000 INDEX FD | 47,935,686 UNITS | 815,920,374 | 1,182,367,250 | |||||||||
BLKRCK RUSSELL 1000 VALUE FD | 47,061,796 UNITS | 789,103,457 | 1,185,303,105 | |||||||||
BLKRCK RUSSELL 2000 INDEX FD | 26,330,665 UNITS | 582,180,274 | 911,496,515 | |||||||||
BLKRCK US DEBT INDEX FD | 22,892,047 UNITS | 615,649,058 | 664,343,222 | |||||||||
BLKRCK US TIPS FD | 1,502,256 UNITS | 28,594,030 | 29,039,816 | |||||||||
* | JPMAM EMBI GLOBAL FD | 4,543,900 UNITS | 55,404,378 | 60,797,383 | ||||||||
TOTAL COMMON/COLLECTIVE TRUST FUNDS | 6,464,844,204 | 9,394,892,541 | ||||||||||
EQUITY SECURITIES: | ||||||||||||
3M CO | 43,925 SHARES | 3,623,043 | 7,217,756 | |||||||||
ACADIA HEALTHCARE CO INC | 26,580 SHARES | 394,185 | 1,626,962 | |||||||||
ACADIA PHARMACEUTICALS INC | 62,457 SHARES | 1,556,891 | 1,983,010 | |||||||||
ACTAVIS PLC | 29,472 SHARES | 6,472,752 | 7,586,388 | |||||||||
ACTIVISION BLIZZARD INC | 449,237 SHARES | 5,275,526 | 9,052,126 | |||||||||
ADECOAGRO SA | 249,932 SHARES | 2,376,296 | 2,001,955 | |||||||||
ADOBE SYSTEMS INC | 64,945 SHARES | 4,164,384 | 4,721,501 | |||||||||
AES CORP | 373,450 SHARES | 4,578,724 | 5,142,406 | |||||||||
AIR METHODS CORP | 83,570 SHARES | 2,260,480 | 3,679,587 | |||||||||
AKAMAI TECHNOLOGIES INC | 132,950 SHARES | 5,090,946 | 8,370,532 | |||||||||
AKZO NOBEL | 153,926 SHARES | 9,694,150 | 10,737,783 | |||||||||
ALEXANDRIA RE EQUITIES INC | 96,139 SHARES | 7,570,513 | 8,531,375 | |||||||||
ALIBABA GROUP HOLDING LTD | 42,606 SHARES | 3,951,084 | 4,428,468 | |||||||||
ALLEGHENY TECHNOLOGIES INC | 182,860 SHARES | 7,469,669 | 6,358,042 | |||||||||
ALLIANCE DATA SYSTEMS CORP | 24,627 SHARES | 2,665,623 | 7,044,553 | |||||||||
ALLSTATE CORP | 72,200 SHARES | 2,452,625 | 5,072,050 | |||||||||
AMERICAN EXPRESS CO | 94,195 SHARES | 4,421,144 | 8,763,903 | |||||||||
AMERICAN TOWER CORP | 227,052 SHARES | 9,599,175 | 22,444,090 | |||||||||
AMERIPRISE FINANCIAL INC | 27,550 SHARES | 1,385,354 | 3,643,488 | |||||||||
AMETEK INC | 99,117 SHARES | 3,207,415 | 5,216,528 | |||||||||
AMGEN INC | 31,100 SHARES | 1,857,847 | 4,953,919 | |||||||||
AMSURG CORP | 57,180 SHARES | 2,810,127 | 3,129,461 | |||||||||
ANACOR PHARMACEUTICALS INC | 29,903 SHARES | 866,032 | 964,372 | |||||||||
ANADARKO PETROLEUM CORP | 9,050 SHARES | 739,217 | 746,625 | |||||||||
ANHEUSER-BUSCH INBEV SA | 43,102 SHARES | 4,021,141 | 4,841,217 | |||||||||
ANIXTER INT'L INC | 44,938 SHARES | 3,323,443 | 3,975,215 | |||||||||
APACHE CORP | 94,600 SHARES | 7,577,036 | 5,928,582 | |||||||||
APPLE INC | 258,166 SHARES | 22,618,972 | 28,496,363 | |||||||||
ARTISAN PARTNERS ASSET MGMT INC | 23,967 SHARES | 1,104,434 | 1,211,053 | |||||||||
ASBURY AUTOMOTIVE GROUP INC | 10,559 SHARES | 290,340 | 801,639 | |||||||||
ASTORIA FINANCIAL CORP | 337,310 SHARES | 6,764,941 | 4,506,462 | |||||||||
ASTRAZENECA PLC | 40,500 SHARES | 2,982,756 | 2,850,390 | |||||||||
AT&T INC | 101,850 SHARES | 3,008,121 | 3,421,142 | |||||||||
AUTOZONE INC | 11,908 SHARES | 4,596,508 | 7,372,362 | |||||||||
AVIVA | 760,990 SHARES | 6,072,219 | 5,748,949 | |||||||||
AVON PRODUCTS INC | 142,200 SHARES | 3,090,941 | 1,335,258 |
(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): | ||||||||||||
AXA SA | 124,096 SHARES | 3,051,536 | 2,883,868 | |||||||||
BAIDU INC | 12,905 SHARES | 2,227,890 | 2,941,953 | |||||||||
BAKER HUGHES INC | 44,400 SHARES | 2,409,237 | 2,489,508 | |||||||||
BALFOUR BEATTY | 573,385 SHARES | 2,688,222 | 1,895,387 | |||||||||
BANK OF AMERICA CORP | 724,250 SHARES | 12,781,416 | 12,956,833 | |||||||||
BANK OF THE OZARKS | 109,753 SHARES | 1,751,125 | 4,161,834 | |||||||||
BANKRATE INC | 146,481 SHARES | 2,520,523 | 1,820,759 | |||||||||
BANKUNITED INC | 96,755 SHARES | 2,914,188 | 2,802,992 | |||||||||
BARCLAYS PLC | 1,843,803 SHARES | 7,624,420 | 7,000,503 | |||||||||
BAYER AG | 33,464 SHARES | 2,241,057 | 4,575,722 | |||||||||
BG GROUP PLC | 269,212 SHARES | 5,098,686 | 3,631,000 | |||||||||
BIOGEN IDEC INC | 25,923 SHARES | 4,773,865 | 8,799,562 | |||||||||
BLACKROCK INC | 17,260 SHARES | 4,526,538 | 6,171,486 | |||||||||
BNP PARIBAS | 95,247 SHARES | 6,248,416 | 5,677,394 | |||||||||
BOEING CO | 28,750 SHARES | 2,413,020 | 3,736,925 | |||||||||
BONANZA CREEK ENERGY INC | 26,111 SHARES | 671,269 | 626,664 | |||||||||
BORG-WARNER INC | 240,865 SHARES | 4,541,867 | 13,235,532 | |||||||||
BOSTON PROPERTIES INC | 58,300 SHARES | 4,623,650 | 7,502,627 | |||||||||
BRISTOL-MYERS SQUIBB CO | 162,670 SHARES | 7,612,194 | 9,602,410 | |||||||||
BRITISH AMERICAN TOBACCO PLC | 160,541 SHARES | 6,567,730 | 8,761,324 | |||||||||
CADENCE DESIGN SYSTEMS INC | 79,406 SHARES | 748,031 | 1,506,332 | |||||||||
CANADIAN NATURAL RESOURCES | 31,000 SHARES | 957,792 | 957,280 | |||||||||
CANADIAN PACIFIC RAILWAYS | 28,250 SHARES | 2,020,649 | 5,443,493 | |||||||||
CARDIOVASCULAR SYSTEMS INC | 53,524 SHARES | 1,727,923 | 1,610,002 | |||||||||
CARNIVAL CORP | 295,028 SHARES | 10,656,821 | 13,395,627 | |||||||||
CAVIUM INC | 98,992 SHARES | 3,328,001 | 6,119,685 | |||||||||
CBRE GROUP INC | 269,214 SHARES | 5,115,366 | 9,220,580 | |||||||||
CDW CORP | 123,411 SHARES | 4,130,885 | 4,340,365 | |||||||||
CELANESE CORP | 129,100 SHARES | 5,860,649 | 7,740,836 | |||||||||
CELGENE CORP | 51,089 SHARES | 3,903,793 | 5,714,816 | |||||||||
CENTENE CORP | 38,126 SHARES | 1,374,740 | 3,959,385 | |||||||||
CF INDUSTRIES HOLDINGS INC | 37,235 SHARES | 7,663,447 | 10,148,027 | |||||||||
CHATHAM LODGING TR | 98,978 SHARES | 1,755,204 | 2,867,393 | |||||||||
CHEESECAKE FACTORY | 32,629 SHARES | 943,442 | 1,641,565 | |||||||||
CHEVRON CORP | 50,050 SHARES | 3,846,143 | 5,614,609 | |||||||||
CHICOS FAS INC | 95,803 SHARES | 1,747,986 | 1,552,967 | |||||||||
CHINA ENERGY SAVINGS TECH INC | 400 SHARES | — | 32 | |||||||||
CHINA MERCHANTS HLDNGS INT'L CO | 756,795 SHARES | 2,370,044 | 2,547,096 | |||||||||
CHINA MOBILE LTD | 609,040 SHARES | 5,691,402 | 7,107,568 | |||||||||
CINEMARK HOLDINGS INC | 99,133 SHARES | 2,375,800 | 3,527,152 | |||||||||
CIRCOR INT'L INC | 23,437 SHARES | 1,461,788 | 1,412,782 | |||||||||
CISCO SYSTEMS INC | 149,200 SHARES | 3,110,521 | 4,149,998 | |||||||||
CITIGROUP INC | 70,300 SHARES | 3,355,227 | 3,803,933 | |||||||||
CLARIANT AG | 208,041 SHARES | 3,862,907 | 3,500,675 | |||||||||
CNOOC LTD | 2,949,000 SHARES | 5,095,407 | 3,970,104 | |||||||||
COBALT INT'L ENERGY INC | 114,510 SHARES | 3,151,041 | 1,017,994 | |||||||||
COGENT COMMUNICATIONS HOLDINGS | 61,155 SHARES | 1,562,878 | 2,164,275 | |||||||||
COGNIZANT TECH SOLUTIONS CORP | 110,652 SHARES | 3,648,685 | 5,826,934 | |||||||||
COLONY FINANCIAL INC | 126,354 SHARES | 2,761,863 | 3,009,752 | |||||||||
COLUMBIA BANKING SYSTEMS INC | 74,345 SHARES | 1,855,808 | 2,052,665 | |||||||||
COMCAST CORP | 163,164 SHARES | 6,357,160 | 9,465,144 | |||||||||
CONSOL ENERGY INC | 40,600 SHARES | 1,428,551 | 1,372,686 |
(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): | ||||||||||||
CONSTELLIUM | 90,054 SHARES | 1,416,212 | 1,479,587 | |||||||||
CONTINENTAL RESOURCES INC | 51,660 SHARES | 3,072,903 | 1,981,678 | |||||||||
CORNERSTONE ONDEMAND INC | 71,547 SHARES | 3,120,273 | 2,518,454 | |||||||||
CORPORATE EXECUTIVE BOARD CO | 33,736 SHARES | 1,511,486 | 2,446,872 | |||||||||
COVANCE INC | 94,325 SHARES | 5,072,281 | 9,794,708 | |||||||||
COVIDIEN PLC | 22,800 SHARES | 918,318 | 2,331,984 | |||||||||
CR BARD INC | 46,910 SHARES | 3,446,334 | 7,816,144 | |||||||||
CREDIT SUISSE GROUP | 140,677 SHARES | 4,270,362 | 3,550,726 | |||||||||
CSX CORP | 369,440 SHARES | 4,958,626 | 13,384,811 | |||||||||
CUMMINS INC | 116,235 SHARES | 4,732,773 | 16,757,600 | |||||||||
CURTISS-WRIGHT CORP | 33,532 SHARES | 1,607,701 | 2,367,024 | |||||||||
CVS HEALTH CORP | 75,206 SHARES | 3,721,778 | 7,243,090 | |||||||||
CYBER-CARE INC | 12,250 SHARES | — | 1,837 | |||||||||
CYTEC INDUSTRIES INC | 30,281 SHARES | 1,388,856 | 1,398,074 | |||||||||
DAIMLER AG | 45,585 SHARES | 2,278,497 | 3,804,394 | |||||||||
DARDEN RESTAURANTS INC | 117,130 SHARES | 4,756,362 | 6,867,332 | |||||||||
DARLING INGREDIENTS INC | 118,859 SHARES | 2,264,969 | 2,158,479 | |||||||||
DEALERTRACK TECHNOLOGIES INC | 38,229 SHARES | 1,766,324 | 1,693,927 | |||||||||
DECKERS OUTDOOR CORP | 43,517 SHARES | 2,712,333 | 3,961,788 | |||||||||
DEL FRISCO'S RESTAURANT GRP INC | 50,586 SHARES | 1,260,912 | 1,200,912 | |||||||||
DORMAN PRODUCTS INC | 12,296 SHARES | 617,364 | 593,528 | |||||||||
DOUGLAS EMMETT INC | 39,213 SHARES | 723,576 | 1,113,649 | |||||||||
DR HORTON INC | 686,962 SHARES | 15,099,437 | 17,373,269 | |||||||||
DSW INC | 104,775 SHARES | 3,604,791 | 3,908,108 | |||||||||
DUNKIN BRANDS GROUP INC | 112,178 SHARES | 3,620,053 | 4,784,392 | |||||||||
EAGLE BANCORP INC | 33,951 SHARES | 1,167,332 | 1,205,940 | |||||||||
EAGLE MATERIALS INC | 50,659 SHARES | 4,367,874 | 3,851,604 | |||||||||
EAGLE WORLDWIDE INC | 3,950 SHARES | — | 356 | |||||||||
EAST JAPAN RAILWAY CO | 38,200 SHARES | 2,828,798 | 2,906,698 | |||||||||
EAST WEST BANCORP INC | 158,060 SHARES | 4,715,902 | 6,118,503 | |||||||||
EASTMAN CHEMICAL CO | 141,855 SHARES | 4,582,948 | 10,761,120 | |||||||||
EATON VANCE CORP | 160,005 SHARES | 4,710,915 | 6,549,005 | |||||||||
ECHOSTAR CORP | 146,555 SHARES | 5,634,659 | 7,694,137 | |||||||||
EMERSON ELECTRIC CO | 30,650 SHARES | 1,597,267 | 1,892,024 | |||||||||
ENTERGY CORP | 53,600 SHARES | 3,672,541 | 4,688,928 | |||||||||
ENVISION HEALTHCARE HLDGS INC | 58,292 SHARES | 1,472,988 | 2,022,149 | |||||||||
EQT CORP | 34,850 SHARES | 1,758,765 | 2,638,145 | |||||||||
EQUIFAX INC | 61,405 SHARES | 3,916,917 | 4,965,822 | |||||||||
EXELON CORP | 109,050 SHARES | 4,255,440 | 4,043,574 | |||||||||
EXPRESS SCRIPTS HOLDING CO | 199,895 SHARES | 5,824,833 | 16,925,110 | |||||||||
EXXON MOBIL CORP | 66,450 SHARES | 4,622,923 | 6,143,303 | |||||||||
FACEBOOK INC | 130,077 SHARES | 5,428,047 | 10,148,608 | |||||||||
FACTSET RESEARCH SYSTEMS INC | 76,541 SHARES | 9,869,830 | 10,773,146 | |||||||||
FIFTH THIRD BANCORP | 108,500 SHARES | 1,981,996 | 2,210,688 | |||||||||
FIRST POTOMAC REALTY TR | 43,171 SHARES | 670,588 | 533,594 | |||||||||
FIRSTENERGY CORP | 43,700 SHARES | 1,419,904 | 1,703,863 | |||||||||
FLEETCOR TECHNOLOGIES INC | 40,811 SHARES | 4,761,093 | 6,069,004 | |||||||||
FLEXION THERAPEUTICS INC | 71,179 SHARES | 1,171,335 | 1,437,104 | |||||||||
FLEXTRONICS INT'L | 719,855 SHARES | 5,167,345 | 8,047,979 | |||||||||
FLUIDIGM CORP | 89,441 SHARES | 1,769,210 | 3,016,845 | |||||||||
FORTINET INC | 122,174 SHARES | 2,483,728 | 3,745,855 | |||||||||
FRESH MARKET INC | 35,763 SHARES | 1,414,321 | 1,473,436 |
(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): | ||||||||||||
GATX CORP | 114,345 SHARES | 4,768,766 | 6,579,411 | |||||||||
GDF SUEZ | 202,215 SHARES | 4,381,544 | 4,754,332 | |||||||||
GENERAL ELECTRIC CO | 365,550 SHARES | 10,026,224 | 9,237,449 | |||||||||
GENERAL MOTORS CO | 114,188 SHARES | 3,491,673 | 3,986,303 | |||||||||
GENMARK DIAGNOSTICS INC | 140,124 SHARES | 686,884 | 1,907,088 | |||||||||
G-III APPAREL GROUP | 33,034 SHARES | 2,679,717 | 3,336,764 | |||||||||
GILEAD SCIENCES INC | 113,925 SHARES | 3,378,669 | 10,738,571 | |||||||||
GIVAUDAN AG | 2,749 SHARES | 2,186,589 | 4,960,456 | |||||||||
GLAXOSMITHKLINE PLC | 235,205 SHARES | 5,382,216 | 5,046,389 | |||||||||
GLOBAL PAYMENTS INC | 135,171 SHARES | 6,354,359 | 10,912,355 | |||||||||
GOLDMAN SACHS GROUP INC | 14,200 SHARES | 2,061,167 | 2,752,386 | |||||||||
GOOGLE INC | 20,416 SHARES | 8,746,411 | 10,746,982 | |||||||||
GREAT LAKES DREDGE & DOCK CORP | 167,814 SHARES | 1,138,001 | 1,436,488 | |||||||||
HAIN CELESTIAL GROUP INC | 65,406 SHARES | 2,131,621 | 3,812,516 | |||||||||
HARLEY-DAVIDSON INC | 115,299 SHARES | 5,814,631 | 7,599,357 | |||||||||
HARMAN INT'L INDUSTRIES INC | 42,814 SHARES | 4,140,899 | 4,568,682 | |||||||||
HEALTHWAYS INC | 58,277 SHARES | 679,128 | 1,158,547 | |||||||||
HEARTLAND EXPRESS INC | 157,122 SHARES | 2,481,796 | 4,243,865 | |||||||||
HERSHA HOSPITALITY TR | 351,513 SHARES | 2,083,264 | 2,471,136 | |||||||||
HESS CORP | 48,300 SHARES | 2,725,901 | 3,565,506 | |||||||||
HITACHI | 767,000 SHARES | 4,886,195 | 5,762,016 | |||||||||
HOME DEPOT INC | 123,461 SHARES | 9,217,172 | 12,959,701 | |||||||||
HONEYWELL INT'L INC | 42,550 SHARES | 1,897,742 | 4,251,596 | |||||||||
HSBC HLDGS | 668,700 SHARES | 7,335,587 | 6,381,013 | |||||||||
HUMANA INC | 51,000 SHARES | 3,841,323 | 7,325,130 | |||||||||
HUNTINGTON INGALLS IND'S INC | 63,886 SHARES | 4,378,138 | 7,184,620 | |||||||||
IHS INC | 43,894 SHARES | 4,617,709 | 4,998,649 | |||||||||
ILLINOIS TOOL WORKS INC | 34,450 SHARES | 1,757,413 | 3,262,415 | |||||||||
ILLUMINA INC | 10,083 SHARES | 1,650,797 | 1,861,120 | |||||||||
IMAX CORP | 61,817 SHARES | 1,745,942 | 1,910,145 | |||||||||
IMPERIAL OIL CO | 68,000 SHARES | 2,866,006 | 2,938,398 | |||||||||
IMS HEALTH HOLDINGS INC | 138,021 SHARES | 3,337,240 | 3,538,858 | |||||||||
INGERSOLL-RAND PLC | 33,350 SHARES | 920,204 | 2,114,056 | |||||||||
INTEGRYS ENERGY GROUP INC | 82,550 SHARES | 4,028,650 | 6,426,518 | |||||||||
INTERCONTINENTALEXCHANGE INC | 59,860 SHARES | 4,444,691 | 13,126,699 | |||||||||
INT'L CONSOLIDATED AIRLINES GRP | 900,573 SHARES | 4,408,855 | 6,825,906 | |||||||||
INT'L GAME TECHNOLOGY | 227,975 SHARES | 5,108,009 | 3,932,569 | |||||||||
INT'L PAPER CO | 68,350 SHARES | 2,470,190 | 3,662,193 | |||||||||
INTERXION HLDG | 65,505 SHARES | 1,579,610 | 1,790,907 | |||||||||
INTUIT INC | 216,789 SHARES | 10,330,741 | 19,985,778 | |||||||||
INVESCO LTD | 79,450 SHARES | 1,882,760 | 3,139,864 | |||||||||
JB HUNT TRANSPORT SERVICES INC | 25,650 SHARES | 1,272,013 | 2,161,013 | |||||||||
JGC CORP | 129,000 SHARES | 3,108,659 | 2,681,246 | |||||||||
JOHNSON & JOHNSON | 66,150 SHARES | 4,327,967 | 6,917,306 | |||||||||
JOY GLOBAL INC | 111,810 SHARES | 6,331,473 | 5,201,401 | |||||||||
* | JPMORGAN CHASE & CO | 51,990,622 SHARES | 2,221,650,399 | 3,253,573,124 | ||||||||
KANSAS CITY SOUTHERN | 35,624 SHARES | 3,491,244 | 4,347,197 | |||||||||
KBC GROEP | 56,567 SHARES | 2,875,045 | 3,182,532 | |||||||||
KDDI CORP | 138,600 SHARES | 4,919,161 | 8,828,460 | |||||||||
KELLOGG CO | 36,700 SHARES | 1,981,355 | 2,401,648 | |||||||||
KEURIG GREEN MOUNTAIN INC | 22,790 SHARES | 1,241,336 | 3,017,282 | |||||||||
KEYCORP | 722,670 SHARES | 5,695,599 | 10,045,113 |
(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): | ||||||||||||
KINGFISHER | 611,268 SHARES | 2,985,826 | 3,245,372 | |||||||||
KOHL'S CORP | 81,000 SHARES | 3,889,201 | 4,944,240 | |||||||||
KOMATSU | 147,000 SHARES | 3,184,644 | 3,290,779 | |||||||||
KORN-FERRY INT'L | 94,580 SHARES | 1,786,992 | 2,720,121 | |||||||||
KYTHERA BIOPHARMACEUTICALS INC | 40,994 SHARES | 1,169,164 | 1,421,672 | |||||||||
L INT'L COMPUTERS INC | 21,600 SHARES | — | 2 | |||||||||
LAS VEGAS SANDS CORP | 112,341 SHARES | 7,560,650 | 6,533,753 | |||||||||
LEGRAND PROMESSE | 111,890 SHARES | 4,498,713 | 5,895,666 | |||||||||
LENNAR CORP | 148,053 SHARES | 4,856,466 | 6,634,255 | |||||||||
LIFEPOINT HOSPITALS INC | 31,099 SHARES | 1,115,240 | 2,236,329 | |||||||||
LINDE AG | 30,482 SHARES | 5,329,773 | 5,687,627 | |||||||||
LLOYDS BANKING GROUP | 4,175,033 SHARES | 4,144,759 | 4,935,821 | |||||||||
LOCKHEED MARTIN CORP | 8,900 SHARES | 723,042 | 1,713,873 | |||||||||
LOWE'S COS INC | 259,817 SHARES | 7,484,163 | 17,875,410 | |||||||||
LUMOS NETWORKS CORP | 59,254 SHARES | 858,765 | 996,652 | |||||||||
MARCUS & MILLICHAP INC | 43,991 SHARES | 568,902 | 1,462,701 | |||||||||
MARKEL CORP | 5,843 SHARES | 3,828,480 | 3,989,834 | |||||||||
MARKETO INC | 45,925 SHARES | 1,526,783 | 1,502,666 | |||||||||
MARSH & MCLENNAN COS INC | 127,350 SHARES | 3,978,308 | 7,289,514 | |||||||||
MASCO CORP | 276,050 SHARES | 5,671,884 | 6,956,460 | |||||||||
MASTERCARD INC | 114,439 SHARES | 5,654,179 | 9,860,064 | |||||||||
MATTEL INC | 284,350 SHARES | 6,427,206 | 8,799,211 | |||||||||
MATTRESS FIRM HLDG CORP | 77,971 SHARES | 2,625,689 | 4,528,556 | |||||||||
MCKESSON CORP | 4,955 SHARES | 865,682 | 1,028,559 | |||||||||
MEDIVATION INC | 28,090 SHARES | 3,053,204 | 2,798,045 | |||||||||
MEDNAX INC | 143,075 SHARES | 5,271,986 | 9,458,688 | |||||||||
MEDTRONIC INC | 39,400 SHARES | 2,634,139 | 2,844,680 | |||||||||
MERCK & CO INC | 211,004 SHARES | 8,534,253 | 11,982,918 | |||||||||
METALDYNE PERFORMANCE GRP INC | 70,239 SHARES | 1,053,585 | 1,219,349 | |||||||||
METLIFE INC | 101,900 SHARES | 4,545,618 | 5,511,771 | |||||||||
MFA FINANCIAL INC | 613,095 SHARES | 4,749,274 | 4,898,629 | |||||||||
MICHAEL PAGE INT'L PLC | 349,706 SHARES | 1,804,464 | 2,246,004 | |||||||||
MICROSOFT CORP | 414,257 SHARES | 15,831,134 | 19,242,237 | |||||||||
MOBILE MINI | 118,159 SHARES | 3,723,782 | 4,786,621 | |||||||||
MOELIS & CO | 41,154 SHARES | 1,391,366 | 1,437,509 | |||||||||
MOLINA HEALTHCARE INC | 54,444 SHARES | 1,898,972 | 2,914,387 | |||||||||
MONDELEZ INT'L INC | 197,554 SHARES | 6,491,306 | 7,176,149 | |||||||||
MONOLITHIC POWER SYSTEM INC | 43,883 SHARES | 1,830,782 | 2,182,740 | |||||||||
MONSTER BEVERAGE CORP | 54,238 SHARES | 3,069,040 | 5,876,687 | |||||||||
MORGAN STANLEY | 307,150 SHARES | 8,179,701 | 11,917,420 | |||||||||
MOTORS LIQUIDATION CO | 765 SHARES | — | 14,726 | |||||||||
MURPHY OIL CORP | 80,440 SHARES | 4,363,152 | 4,063,829 | |||||||||
MWI VETERINARY SUPPLY INC | 15,687 SHARES | 1,501,256 | 2,665,378 | |||||||||
NABORS INDUSTRIES LTD | 330,655 SHARES | 6,058,048 | 4,291,902 | |||||||||
NAVIENT CORP | 44,200 SHARES | 354,463 | 955,162 | |||||||||
NETFLIX INC | 7,605 SHARES | 2,867,212 | 2,597,944 | |||||||||
NETSCOUT SYSTEMS INC | 15,469 SHARES | 405,716 | 565,237 | |||||||||
NEWFIELD EXPLORATION CO | 223,007 SHARES | 10,166,652 | 6,047,950 | |||||||||
NEWS CORP | 85,850 SHARES | 1,302,480 | 1,346,987 | |||||||||
NIELSEN NV | 131,410 SHARES | 5,019,538 | 5,877,969 | |||||||||
NIKON CORP | 419,400 SHARES | 7,509,603 | 5,610,890 | |||||||||
NORTHERN TRUST CORP | 84,700 SHARES | 5,278,108 | 5,708,780 |
(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): | ||||||||||||
NOVADAQ TECHNOLOGIES | 175,986 SHARES | 2,146,330 | 2,924,887 | |||||||||
NOVARTIS AG | 107,509 SHARES | 5,977,070 | 9,991,905 | |||||||||
NOWAUTO INC | 12,999 SHARES | — | 1 | |||||||||
NRG ENERGY INC | 204,450 SHARES | 4,586,983 | 5,509,927 | |||||||||
ON SEMICONDUCTOR CORP | 820,885 SHARES | 7,210,333 | 8,315,565 | |||||||||
ONEOK INC | 82,026 SHARES | 2,009,739 | 4,084,075 | |||||||||
ORBCOMM INC | 222,044 SHARES | 1,474,500 | 1,452,168 | |||||||||
OTONOMY INC | 14,334 SHARES | 277,388 | 477,752 | |||||||||
OVASCIENCE INC | 23,134 SHARES | 498,343 | 1,022,985 | |||||||||
PACIRA PHARMACEUTICALS INC | 46,388 SHARES | 976,921 | 4,112,760 | |||||||||
PALL CORP | 16,825 SHARES | 1,620,122 | 1,702,858 | |||||||||
PARKWAY PROPERTIES INC | 78,593 SHARES | 1,408,623 | 1,445,325 | |||||||||
PDC ENERGY INC | 51,861 SHARES | 2,775,074 | 2,140,303 | |||||||||
PEBBLEBROOK HOTEL TR | 62,483 SHARES | 1,462,779 | 2,851,099 | |||||||||
PEPSICO INC | 53,650 SHARES | 3,779,735 | 5,073,144 | |||||||||
PETROFAC | 58,821 SHARES | 952,313 | 644,768 | |||||||||
PFIZER INC | 286,250 SHARES | 6,230,771 | 8,916,688 | |||||||||
PG&E CORP | 139,050 SHARES | 5,931,799 | 7,403,022 | |||||||||
PHILIP MORRIS INT'L INC | 44,750 SHARES | 3,727,068 | 3,644,886 | |||||||||
PINNACLE ENTERTAINMENT INC | 111,696 SHARES | 1,974,212 | 2,485,236 | |||||||||
PINNACLE FINANCIAL PARTNERS | 70,270 SHARES | 1,906,924 | 2,778,476 | |||||||||
PIONEER NATURAL RESOURCES CO | 19,639 SHARES | 4,255,338 | 2,923,265 | |||||||||
PNC FINANCIAL SERVICES GROUP INC | 36,100 SHARES | 2,187,952 | 3,293,403 | |||||||||
POLYONE CORP | 54,070 SHARES | 2,060,809 | 2,049,794 | |||||||||
POLYPORE INT'L INC | 29,252 SHARES | 1,064,903 | 1,376,307 | |||||||||
PORTLAND GENERAL ELECTRIC CO | 55,079 SHARES | 2,010,295 | 2,083,639 | |||||||||
POSTNL NV | 577,397 SHARES | 4,920,554 | 2,165,906 | |||||||||
POWER INTEGRATIONS INC | 46,415 SHARES | 1,474,211 | 2,401,512 | |||||||||
PREMIER INC | 46,096 SHARES | 1,421,475 | 1,545,599 | |||||||||
PRICELINE GROUP INC | 5,883 SHARES | 3,541,089 | 6,707,855 | |||||||||
PROCTER & GAMBLE CO | 64,800 SHARES | 4,125,966 | 5,902,632 | |||||||||
PROGRESSIVE CORP | 276,945 SHARES | 4,932,117 | 7,474,746 | |||||||||
PROOFPOINT INC | 37,701 SHARES | 1,515,325 | 1,818,319 | |||||||||
PROSPERITY BANCSHARES INC | 67,585 SHARES | 2,837,591 | 3,741,506 | |||||||||
PROTECTIVE LIFE CORP | 200,563 SHARES | 5,685,267 | 13,969,213 | |||||||||
Q2 HOLDINGS INC | 43,641 SHARES | 824,231 | 822,196 | |||||||||
QLIK TECHNOLOGIES INC | 131,588 SHARES | 3,478,496 | 4,064,753 | |||||||||
QUALCOMM INC | 40,850 SHARES | 3,047,127 | 3,036,379 | |||||||||
RALPH LAUREN CORP | 26,743 SHARES | 4,336,923 | 4,951,734 | |||||||||
RAYMOND JAMES FINANCIAL INC | 157,210 SHARES | 4,474,224 | 9,006,561 | |||||||||
RAYTHEON CO | 35,600 SHARES | 1,721,052 | 3,850,852 | |||||||||
RECEPTOS INC | 32,790 SHARES | 1,436,787 | 4,017,103 | |||||||||
REED ELSEVIER | 485,695 SHARES | 6,659,895 | 11,660,270 | |||||||||
REGENERON PHARMACEUTICALS INC | 13,709 SHARES | 2,651,076 | 5,624,117 | |||||||||
REINSURANCE GROUP OF AMERICA | 88,340 SHARES | 5,124,691 | 7,740,351 | |||||||||
RELIANCE STEEL & ALUMINIUM | 16,619 SHARES | 870,175 | 1,018,246 | |||||||||
RENAISSANCERE HLDGS | 70,752 SHARES | 6,541,880 | 6,878,509 | |||||||||
REPUBLIC SERVICES INC | 46,000 SHARES | 1,481,244 | 1,851,500 | |||||||||
RESTORATION HARDWARE HLDGS INC | 22,158 SHARES | 1,541,751 | 2,127,390 | |||||||||
REXAM PLC | 355,385 SHARES | 2,405,067 | 2,514,660 | |||||||||
REXNORD CORP | 89,167 SHARES | 2,042,637 | 2,515,401 | |||||||||
RIO TINTO PLC | 77,847 SHARES | 3,794,064 | 3,641,488 |
(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): | ||||||||||||
ROCHE HOLDING | 22,875 SHARES | 3,539,374 | 6,213,418 | |||||||||
ROCK-TENN CO | 310 SHARES | — | 18,904 | |||||||||
ROSETTA RESOURCES INC | 100,166 SHARES | 4,382,660 | 2,234,703 | |||||||||
ROSS STORES INC | 76,373 SHARES | 5,732,853 | 7,198,919 | |||||||||
ROYAL DUTCH SHELL PLC | 93,572 SHARES | 4,699,331 | 4,695,448 | |||||||||
RYANAIR HLDGS | 24,500 SHARES | 661,908 | 1,746,115 | |||||||||
SAFRAN S.A. | 23,140 SHARES | 263,615 | 353,116 | |||||||||
SALESFORCE.COM INC | 93,282 SHARES | 3,987,755 | 5,532,555 | |||||||||
SANOFI | 78,883 SHARES | 6,660,704 | 7,221,927 | |||||||||
SAP SE | 63,160 SHARES | 4,088,951 | 4,452,623 | |||||||||
SCHNEIDER ELECTRIC | 73,219 SHARES | 6,572,702 | 5,369,964 | |||||||||
SCHWAB (CHARLES) CORP | 120,850 SHARES | 1,639,221 | 3,648,462 | |||||||||
SCOTTS MIRACLE-GRO CO | 90,295 SHARES | 4,210,451 | 5,627,184 | |||||||||
SEALED AIR CORP | 282,430 SHARES | 5,405,659 | 11,983,505 | |||||||||
SEMBCORP INDUSTRIES | 454,000 SHARES | 1,864,007 | 1,524,640 | |||||||||
SEMBCORP MARINE | 761,000 SHARES | 2,990,119 | 1,872,206 | |||||||||
SEMGROUP CORP | 58,853 SHARES | 2,833,032 | 4,024,957 | |||||||||
SEMTECH CORP | 81,979 SHARES | 2,596,041 | 2,260,161 | |||||||||
SERVICENOW INC | 46,420 SHARES | 1,448,366 | 3,149,597 | |||||||||
SHERWIN-WILLIAMS CO | 20,994 SHARES | 3,713,603 | 5,522,262 | |||||||||
SHIN-ETSU CHEMICAL CO | 77,300 SHARES | 4,315,427 | 5,071,453 | |||||||||
SIGNATURE BANK | 33,742 SHARES | 2,391,669 | 4,250,142 | |||||||||
SK TELECOM | 258,591 SHARES | 5,424,102 | 6,984,543 | |||||||||
SNAP-ON INC | 85,585 SHARES | 3,452,026 | 11,702,893 | |||||||||
SOLARWINDS INC | 108,879 SHARES | 4,155,485 | 5,425,441 | |||||||||
SONOCO PRODUCTS CO | 165,386 SHARES | 5,798,647 | 7,227,368 | |||||||||
SOUTHWEST AIRLINES CO | 179,450 SHARES | 2,010,338 | 7,594,324 | |||||||||
SPECTRA ENERGY CORP | 46,850 SHARES | 1,029,658 | 1,700,655 | |||||||||
SPECTRANETICS CORP | 25,347 SHARES | 862,644 | 876,499 | |||||||||
SPIRIT AIRLINES INC | 89,596 SHARES | 2,790,135 | 6,771,666 | |||||||||
STERICYCLE INC | 12,481 SHARES | 1,625,706 | 1,636,009 | |||||||||
STIFEL FINANCIAL CORP | 165,509 SHARES | 6,405,695 | 8,444,269 | |||||||||
SUMITOMO MITSUI FINCL GROUP INC | 123,300 SHARES | 5,321,955 | 4,499,249 | |||||||||
SYMETRA FINANCIAL CORP | 230,014 SHARES | 2,958,251 | 5,301,823 | |||||||||
SYNOPSYS INC | 194,285 SHARES | 4,738,810 | 8,445,569 | |||||||||
TANDEM DIABETES CARE INC | 55,797 SHARES | 1,132,948 | 708,622 | |||||||||
TARGA RESOURCES CORP | 22,503 SHARES | 1,125,512 | 2,386,443 | |||||||||
TD AMERITRADE HOLDING CORP | 111,892 SHARES | 3,671,849 | 4,003,496 | |||||||||
TE CONNECTIVITY LTD | 47,500 SHARES | 1,565,533 | 3,004,375 | |||||||||
TEAM HEALTH HLDGS INC | 32,574 SHARES | 1,042,003 | 1,873,982 | |||||||||
TECHNIP | 90,114 SHARES | 8,341,842 | 5,388,332 | |||||||||
TECNICAS REUNIDAS | 49,644 SHARES | 2,585,598 | 2,180,003 | |||||||||
TEREX CORP | 45,508 SHARES | 1,572,260 | 1,268,763 | |||||||||
TEXAS INSTRUMENTS INC | 77,200 SHARES | 2,616,387 | 4,127,498 | |||||||||
TEXAS ROADHOUSE | 107,056 SHARES | 1,779,912 | 3,614,211 | |||||||||
THERMO FISHER SCIENTIFIC INC | 52,500 SHARES | 3,095,621 | 6,577,725 | |||||||||
TIME WARNER CABLE INC | 30,200 SHARES | 2,408,857 | 4,592,212 | |||||||||
TIME WARNER INC | 73,550 SHARES | 2,678,767 | 6,282,641 | |||||||||
TJX COS INC | 270,343 SHARES | 4,594,215 | 18,540,123 | |||||||||
T-MOBILE US INC | 20,950 SHARES | 556,888 | 564,393 | |||||||||
TOTAL SA | 99,345 SHARES | 5,414,430 | 5,111,432 | |||||||||
TOYOTA MOTOR CORP | 100,700 SHARES | 4,061,856 | 6,347,976 |
(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): | ||||||||||||
TRUEBLUE INC | 73,026 SHARES | 2,018,752 | 1,624,828 | |||||||||
TUESDAY MORNING CORP | 71,512 SHARES | 1,334,675 | 1,551,810 | |||||||||
UBS GROUP | 451,011 SHARES | 7,698,902 | 7,757,035 | |||||||||
UNILEVER NV | 88,711 SHARES | 3,340,299 | 3,503,732 | |||||||||
UNION PACIFIC CORP | 37,250 SHARES | 1,268,968 | 4,437,593 | |||||||||
UNITED NATURAL FOODS INC | 26,961 SHARES | 1,333,050 | 2,084,759 | |||||||||
UNITED TECHNOLOGIES CORP | 79,000 SHARES | 7,164,868 | 9,085,000 | |||||||||
US BANCORP DELAWARE | 132,200 SHARES | 3,564,219 | 5,942,390 | |||||||||
VAIL RESORTS INC | 52,439 SHARES | 2,168,387 | 4,778,766 | |||||||||
VALIDUS HOLDING LTD | 49,563 SHARES | 1,492,152 | 2,059,838 | |||||||||
VALSPAR CORP | 180,640 SHARES | 5,463,560 | 15,621,747 | |||||||||
VERTEX PHARMACEUTICALS INC | 39,818 SHARES | 3,497,574 | 4,730,378 | |||||||||
VIACOM INC | 18,350 SHARES | 1,304,488 | 1,380,838 | |||||||||
VISA INC | 25,617 SHARES | 3,667,803 | 6,716,777 | |||||||||
VODAFONE GROUP PLC | 1,321,990 SHARES | 3,276,703 | 4,589,513 | |||||||||
VULCAN MATERIALS CO | 43,150 SHARES | 2,101,337 | 2,836,249 | |||||||||
WADDELL & REED FINANCIAL INC | 23,973 SHARES | 1,313,956 | 1,194,335 | |||||||||
WAL-MART STORES INC | 17,800 SHARES | 1,363,382 | 1,528,664 | |||||||||
WATCHIT TECHNOLOGIES INC | 50,397 SHARES | — | 5 | |||||||||
WAYFAIR INC | 55,774 SHARES | 1,518,457 | 1,107,114 | |||||||||
WELLS FARGO & CO | 117,250 SHARES | 4,321,096 | 6,427,645 | |||||||||
WEST CORP | 94,280 SHARES | 1,998,250 | 3,111,240 | |||||||||
WESTERN REFINING INC | 31,398 SHARES | 1,251,169 | 1,186,216 | |||||||||
WESTERN UNION CO | 217,250 SHARES | 3,420,433 | 3,890,948 | |||||||||
WEYERHAEUSER CO | 135,100 SHARES | 3,298,406 | 4,848,739 | |||||||||
WHITE MOUNTAINS INS GROUP | 8,667 SHARES | 3,114,644 | 5,461,163 | |||||||||
WHITING PETROLEUM CORP | 104,460 SHARES | 5,957,945 | 3,447,180 | |||||||||
WHOLE FOODS MARKET INC | 65,590 SHARES | 3,043,502 | 3,307,048 | |||||||||
WINTRUST FINANCIAL CORP | 74,187 SHARES | 2,979,753 | 3,468,984 | |||||||||
WW OIL AND GAS INC | 284 SHARES | — | 2 | |||||||||
WYNDHAM WORLDWIDE CORP | 48,788 SHARES | 2,986,582 | 4,184,059 | |||||||||
WYNN RESORTS LTD | 31,063 SHARES | 4,400,380 | 4,620,932 | |||||||||
XILINX INC | 216,580 SHARES | 6,639,347 | 9,375,748 | |||||||||
XL GROUP | 99,522 SHARES | 2,325,460 | 3,420,571 | |||||||||
YELP INC | 61,767 SHARES | 4,230,938 | 3,380,508 | |||||||||
ZOE'S KITCHEN INC | 37,900 SHARES | 1,135,129 | 1,133,589 | |||||||||
ZURICH INSURANCE GROUP LTD | 19,672 SHARES | 4,047,014 | 6,170,948 | |||||||||
TOTAL EQUITY SECURITIES | 3,565,111,104 | 5,100,253,958 | ||||||||||
SYNTHETIC GUARANTEED INVESTMENT CONTRACTS: | ||||||||||||
* | JPMAM/AIG | 722,817,986 SHARES | 722,817,986 | 727,870,000 | ||||||||
* | JPMAM/PRUD'L WRAP CONTRACT | 732,856,913 SHARES | 732,856,913 | 736,772,847 | ||||||||
* | JPMAM/STATE STREET BANK BOND | 335,644,421 SHARES | 335,644,421 | 336,534,068 | ||||||||
* | JPMAM/VOYA CONTRACT MCA | 337,915,228 SHARES | 337,915,228 | 339,230,550 | ||||||||
* | JPMAM/STATE STREET BANK LOAN | 27,021 SHARES | 27,021 | 27,021 | ||||||||
TOTAL SYNTHETIC GUARANTEED INVESTMENT CONTRACTS | 2,129,261,569 | 2,140,434,486 | ||||||||||
REGISTERED INVESTMENT COMPANIES (MUTUAL FUNDS): | ||||||||||||
* | JPM MID CAP GROWTH FD | 20,741,057 UNITS | 432,206,735 | 583,653,344 | ||||||||
* | JPM TR I SMALL CAP CORE FD | 10,984,509 UNITS | 458,306,179 | 596,678,541 | ||||||||
* | JPM TR II CORE BD FD | 30,952,077 UNITS | 347,609,114 | 363,996,430 | ||||||||
PIMCO FDS PAC INVT MGMT | 573,369 UNITS | 6,038,696 | 7,023,768 | |||||||||
TOTAL REGISTERED INVESTMENT COMPANIES (MUTUAL FUNDS) | 1,244,160,724 | 1,551,352,083 |
(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: | ||||||||||||
ABC SUPPLY CO INC | 5.63% 15/APR/2021 1,578,000 | 1,582,923 | 1,585,890 | |||||||||
ABN AMRO FUNDING | ZCP 28/JUL/2015 1,000,000 | 997,706 | 997,974 | |||||||||
ACADIA HEALTHCARE CO INC | 5.125% 01/JUL/2022 370,000 | 370,000 | 364,450 | |||||||||
ACCESS MIDSTREAM PARTNERS LP | 4.88% 15/MAR/2024 107,000 | 107,535 | 108,605 | |||||||||
ACCESS MIDSTREAM PARTNERS LP | 4.88% 15/MAY/2023 2,403,000 | 2,376,248 | 2,439,045 | |||||||||
ACTIVISION BLIZZARD | 5.63% 15/SEP/2021 3,820,000 | 3,909,951 | 4,011,000 | |||||||||
ADT CORP | 3.5% 15/JUL/2022 1,085,000 | 978,025 | 924,962 | |||||||||
ADT CORP | 5.25% 15/MAR/2020 620,000 | 622,325 | 627,750 | |||||||||
AEP TEXAS CENTRAL TRANS FD | 5.09% 01/JUL/2015 8,043,273 | 8,146,007 | 8,049,836 | |||||||||
AERCAP IRELAND CAPITAL LTD | 4.5% 15/MAY/2021 1,516,000 | 1,520,738 | 1,534,950 | |||||||||
AES CORP | 7.375% 01/JUL/2021 435,000 | 497,085 | 491,550 | |||||||||
AES CORP | 7.75% 15/OCT/2015 211,000 | 194,120 | 219,967 | |||||||||
AES CORP | 8.0% 01/JUN/2020 1,620,000 | 1,720,450 | 1,850,850 | |||||||||
AES CORP | 8.0% 15/OCT/2017 9,000 | 8,325 | 10,102 | |||||||||
AGRICULTURAL BK CHINA | ZCP 05/JAN/2015 1,700,000 | 1,699,893 | 1,699,915 | |||||||||
ALCOA INC | 5.13% 01/OCT/2024 1,335,000 | 1,352,654 | 1,414,793 | |||||||||
ALLEGION US HLDG CO INC | 5.75% 01/OCT/2021 786,000 | 796,892 | 831,195 | |||||||||
ALLIANCE DATA SYSTEMS CORP | 6.38% 01/APR/2020 2,403,000 | 2,440,665 | 2,457,068 | |||||||||
ALLIANCE DATA SYSTEMS CORP | 5.38% 01/AUG/2022 2,200,000 | 2,208,250 | 2,172,500 | |||||||||
ALLISON TRANS | 7.13% 15/MAY/2019 1,502,000 | 1,552,060 | 1,571,468 | |||||||||
ALLY AUTO REC TR | 0.930% 16/FEB/2016 9,623 | 9,636 | 9,625 | |||||||||
ALLY AUTO REC TR | 0.74% 15/MAY/2015 827,632 | 828,442 | 827,837 | |||||||||
ALLY AUTO REC TR | 2.23% 15/MAR/2016 503,042 | 505,051 | 503,374 | |||||||||
ALLY AUTO REC TR | 1.750% 15/MAR/2016 434,794 | 436,136 | 434,991 | |||||||||
ALLY AUTO REC TR | 0.85% 15/AUG/2016 2,543,577 | 2,547,143 | 2,546,049 | |||||||||
ALLY AUTO REC TR | 0.59% 17/JAN/2017 1,116,957 | 1,118,044 | 1,116,844 | |||||||||
ALLY AUTO REC TR | 0.54% 15/JUL/2016 836,851 | 837,019 | 836,738 | |||||||||
ALLY AUTO REC TR | VAR 15/JUL/2016 1,594,003 | 1,594,667 | 1,593,585 | |||||||||
ALLY AUTO REC TR | 0.27% 15/DEC/2015 2,000,000 | 2,000,000 | 2,000,000 | |||||||||
ALLY AUTO REC TR | VAR 20/OCT/2016 1,852,592 | 1,852,559 | 1,851,159 | |||||||||
ALLY FINANCIAL INC | 8% 31/DEC/2018 65,000 | 24,587 | 73,775 | |||||||||
ALLY FINANCIAL INC | 8.0% 15/MAR/2020 4,538,000 | 4,872,695 | 5,354,840 | |||||||||
ALLY FINANCIAL INC | 3.5% 27/JAN/2019 592,000 | 586,642 | 584,896 | |||||||||
ALLY FINANCIAL INC | 5.13% 30/SEP/2024 1,268,000 | 1,243,718 | 1,287,020 | |||||||||
ALLY FINANCIAL INC | 7.5% 15/SEP/2020 1,035,000 | 1,103,232 | 1,213,537 | |||||||||
ALTICE SA | 7.75% 15/MAY/2022 1,569,000 | 1,636,586 | 1,571,942 | |||||||||
AMAZON.COM INC | 3.3% 05/DEC/2021 1,000,000 | 996,280 | 1,013,691 | |||||||||
AMAZON.COM INC | 3.8% 05/DEC/2024 1,300,000 | 1,309,110 | 1,331,876 | |||||||||
AMC ENTERTAINMENTS INC | 9.75% 01/DEC/2020 97,000 | 99,182 | 105,487 | |||||||||
AMC NETWORKS INC | 4.75% 15/DEC/2022 3,126,000 | 3,147,080 | 3,032,220 | |||||||||
AMC NETWORKS INC | 7.75% 15/JUL/2021 1,212,000 | 1,290,398 | 1,296,840 | |||||||||
AMERICAN AXLE & MFG INC | 6.625% 15/OCT/2022 409,000 | 412,067 | 433,540 | |||||||||
AMERICAN AXLE & MFG INC | 5.125% 15/FEB/2019 755,000 | 760,347 | 770,100 | |||||||||
AMERICAN EXPRESS CO | VAR 01/SEP/2066 40,000 | 21,717 | 41,900 | |||||||||
AMERICAN EXPRESS CO | 0.68% 15/MAR/2018 8,000,000 | 8,010,969 | 8,006,120 | |||||||||
AMERICAN HONDA FINANCE CORP | 0.18% 18/FEB/2015 8,000,000 | 7,998,613 | 7,998,312 | |||||||||
AMERICAN RENAL HLDGS INC | ZCP 31/DEC/2021 1,882,000 | 1,853,770 | 1,863,180 | |||||||||
AMERICREDIT AUTO | 0.65% 08/DEC/2017 3,000,000 | 2,998,857 | 3,000,513 | |||||||||
AMERICREDIT AUTO | 1.050% 11/OCT/2016 5,910 | 5,931 | 5,910 | |||||||||
AMERICREDIT AUTO | VAR 08/MAR/2017 2,289,097 | 2,289,992 | 2,289,608 | |||||||||
AMERICREDIT AUTO | VAR 10/OCT/2017 1,705,000 | 1,704,990 | 1,704,482 | |||||||||
AMSTED INDUSTRIES INC | 5% 15/MAR/2022 68,000 | 68,000 | 66,810 |
(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): | ||||||||||||
AMSTED INDUSTRIES INC | 5.375% 15/SEP/2024 1,124,000 | 1,124,000 | 1,093,090 | |||||||||
AMSURG CORP | 5.625% 15/JUL/2022 1,000,000 | 1,017,500 | 1,025,000 | |||||||||
AMSURG CORP | 5.625% 30/NOV/2020 540,000 | 545,400 | 552,150 | |||||||||
ANCESTRY.COM INC | 11% 15/DEC/2020 384,000 | 442,560 | 432,480 | |||||||||
ANCESTRY.COM INC | 9.625% 15/OCT/2018 78,000 | 78,028 | 76,440 | |||||||||
ANTERO RESOURCES CORP | 5.13% 01/DEC/2022 1,698,000 | 1,714,980 | 1,600,365 | |||||||||
AOL TIME WARNER INC | 7.625% 15/APR/2031 84,000 | 85,995 | 117,107 | |||||||||
AOL TIME WARNER INC | 7.7% 01/MAY/2032 670,000 | 691,737 | 946,602 | |||||||||
APPLIED SYSTEMS INC | ZCP 15/JAN/2022 182,000 | 180,635 | 179,118 | |||||||||
APPLIED SYSTEMS INC | ZCP 15/JAN/2021 153,450 | 153,066 | 151,437 | |||||||||
APX GRP INC | 6.38% 01/DEC/2019 2,647,000 | 2,664,241 | 2,534,503 | |||||||||
APX GRP INC | 8.75% 01/DEC/2020 606,000 | 618,120 | 511,691 | |||||||||
APX GRP INC | 8.75% 01/DEC/2020 1,010,000 | 1,019,923 | 852,819 | |||||||||
ARAMARK SERVICES INC | 5.75% 15/MAR/2020 887,000 | 907,785 | 915,827 | |||||||||
ARCELORMITTAL | 5.5% 01/MAR/2021 1,535,000 | 1,563,488 | 1,596,400 | |||||||||
ARCELORMITTAL | 7.0% 25/FEB/2022 639,000 | 660,028 | 682,132 | |||||||||
ARDAGH PACKAGING FINANCE PLC | 6.75% 31/JAN/2021 896,000 | 908,460 | 891,520 | |||||||||
ASHTEAD CAPITAL INC | 6.5% 15/JUL/2022 750,000 | 798,750 | 796,875 | |||||||||
AUDATEX NORTH AMERICA INC | 6.0% 15/JUN/2021 1,011,000 | 1,058,592 | 1,041,330 | |||||||||
AVIATION CAPITAL GRP TR | 6.75% 06/APR/2021 71,000 | 80,230 | 80,407 | |||||||||
AVIS BUDGET CAR RENT LLC | 9.75% 15/MAR/2020 872,000 | 881,414 | 950,480 | |||||||||
AXALTA CTNG SYSTMS DUTCH HLDG | ZCP 01/FEB/2020 598,808 | 592,820 | 584,868 | |||||||||
AYT CEDULAS CAJAS | 4.181% 22/FEB/2018 100,000 | 125,212 | 118,260 | |||||||||
AYT CEDULAS CAJAS | 3.75% 31/MAR/2015 500,000 | 682,313 | 609,587 | |||||||||
B & G FOODS INC | 4.63% 01/JUN/2021 1,948,000 | 1,964,213 | 1,901,443 | |||||||||
BANCO BILBAO VIZCAYA ARGENTARIA | VAR 23/OCT/2015 1,750,000 | 1,749,825 | 1,748,030 | |||||||||
BANCO INBURSA SA INSTITUCION | 4.13% 06/JUN/2024 1,000,000 | 980,000 | 980,000 | |||||||||
BANCO SANTANDER CHILE | VAR 11/APR/2017 2,200,000 | 2,209,900 | 2,190,179 | |||||||||
BANCO SANTANDER SA | VAR 31/DEC/2049 600,000 | 736,143 | 702,616 | |||||||||
BANK OF AMERICA AUTO TR | 1.03% 15/DEC/2016 5,747,000 | 5,761,612 | 5,760,316 | |||||||||
BANK OF AMERICA AUTO TR | 0.78% 15/JUN/2016 2,542,617 | 2,545,099 | 2,542,945 | |||||||||
BANK OF AMERICA CORP | 4% 01/APR/2024 4,600,000 | 4,582,750 | 4,789,635 | |||||||||
BANK OF AMERICA CORP | 6.875% 25/APR/2018 600,000 | 698,572 | 689,148 | |||||||||
BANK OF AMERICA CORP | 5.75% 01/DEC/2017 3,100,000 | 2,940,939 | 3,425,181 | |||||||||
BANK OF AMERICA CORP | VAR 08/MAY/2017 3,000,000 | 3,000,000 | 2,995,032 | |||||||||
BANK OF CHINA LTD | ZCP 24/MAR/2015 1,750,000 | 1,747,130 | 1,748,416 | |||||||||
BANK OF MONTREAL | VAR 11/SEP/2015 5,300,000 | 5,315,303 | 5,314,787 | |||||||||
BANK OF NOVA SCOTIA | VAR 22/FEB/2016 1,000,000 | 999,542 | 999,748 | |||||||||
BANK OF NOVA SCOTIA | VAR 23/MAR/2016 2,000,000 | 1,999,498 | 1,999,406 | |||||||||
BANK OF NOVA SCOTIA | VAR 28/SEP/2015 3,800,000 | 3,799,148 | 3,802,554 | |||||||||
BARCLAYS BANK PLC | 0.55% 14/AUG/2015 3,000,000 | 3,000,000 | 3,002,991 | |||||||||
BARCLAYS DRYROCK | VAR 16/JUL/2018 4,685,000 | 4,690,272 | 4,687,066 | |||||||||
BCO DE CREDITO | 4.25% 01/APR/2023 600,000 | 604,500 | 592,500 | |||||||||
BERKSHIRE HATHAWAY INC | 3.2% 11/FEB/2015 4,000,000 | 4,013,014 | 4,011,444 | |||||||||
BERRY PLASTICS CORP | 5.5% 15/MAY/2022 1,304,000 | 1,313,975 | 1,323,560 | |||||||||
BEVERAGE PACKAGING HLDGS | 6% 15/JUN/2017 246,000 | 246,000 | 239,850 | |||||||||
BGC PARTNERS INC | 5.375% 09/DEC/2019 775,000 | 769,149 | 761,152 | |||||||||
BIOMET INC | 6.5% 01/AUG/2020 454,000 | 466,595 | 485,780 | |||||||||
BLACKROCK INC | 1.375% 01/JUN/2015 1,500,000 | 1,506,768 | 1,506,879 | |||||||||
BLUE RACER MIDSTREAM LLC | 6.13% 15/NOV/2022 1,484,000 | 1,482,932 | 1,432,060 | |||||||||
BMW VEHICLE LEASE TR | 0.54% 21/SEP/2015 1,295,718 | 1,296,291 | 1,295,929 | |||||||||
BMW VEHICLE LEASE TR | 0.45% 21/MAR/2016 4,040,889 | 4,039,844 | 4,040,263 |
(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): | ||||||||||||
BMW VEHICLE OWNER TR | 1.030% 26/FEB/2018 429,549 | 430,039 | 429,924 | |||||||||
BMW VEHICLE OWNER TR | 0.41% 25/FEB/2016 908,937 | 909,204 | 908,944 | |||||||||
BNK OF TKYO-MTBSHI LTD | 0.33% 11/FEB/2015 2,000,000 | 2,000,000 | 2,000,302 | |||||||||
BNK OF TKYO-MTBSHI LTD | 0.32% 13MAY2015 2,000,000 | 2,000,000 | 2,000,365 | |||||||||
BNP PARIBAS | VAR 07/NOV/2015 2,100,000 | 2,100,000 | 2,096,802 | |||||||||
BNP PARIBAS | 0.53% 04/DEC/2015 3,400,000 | 3,400,000 | 3,387,935 | |||||||||
BOMBARDIER INC | 6.125% 15/JAN/2023 738,000 | 819,069 | 752,760 | |||||||||
BOMBARDIER INC | 6% 15/OCT/2022 900,000 | 907,875 | 909,000 | |||||||||
BOMBARDIER INC | 7.75% 15/MAR/2020 575,000 | 641,145 | 623,875 | |||||||||
BP CAPITAL MARKETS | 0.7% 06/NOV/2015 1,000,000 | 1,001,435 | 1,000,237 | |||||||||
BP CAPITAL MARKETS | 2.5% 06/NOV/2022 750,000 | 705,112 | 698,796 | |||||||||
BP CAPITAL MARKETS | VAR 07/MAY/2015 1,000,000 | 1,000,000 | 999,952 | |||||||||
BPCE SA BOND | VAR 18/NOV/2016 700,000 | 700,000 | 700,489 | |||||||||
BROOKFIELD RESIDENTIAL PPTYS INC | 6.125% 01/JUL/2022 497,000 | 496,584 | 516,880 | |||||||||
BROOKFIELD RESIDENTIAL PPTYS INC | 6.5% 15/DEC/2020 725,000 | 757,625 | 757,625 | |||||||||
BUILDING MATERIALS CORP OF AMER | 5.38% 15/NOV/2024 1,480,000 | 1,480,000 | 1,476,300 | |||||||||
CALPINE CORP | 6% 15/JAN/2022 2,462,000 | 2,594,649 | 2,622,030 | |||||||||
CANADIAN IMPRL BK OF COMMERCE | FLT 13/NOV/2015 3,600,000 | 3,599,363 | 3,601,404 | |||||||||
CANADIAN IMPRL BK OF COMMERCE | FLT 16/NOV/2015 1,500,000 | 1,499,536 | 1,499,562 | |||||||||
CAPITAL AUTO REC ASSET TR | VAR 20/NOV/2015 1,272,454 | 1,273,648 | 1,272,549 | |||||||||
CAPITAL AUTO REC ASSET TR | VAR 21/MAR/2016 3,392,485 | 3,393,796 | 3,392,336 | |||||||||
CAPSUGEL SA | 7% 15/MAY/2019 577,000 | 583,247 | 582,770 | |||||||||
CARMAX AUTO OWNER | 1.07% 15/JUN/2016 437,715 | 437,936 | 437,859 | |||||||||
CARMAX AUTO OWNER | 1.35% 15/FEB/2017 2,303,789 | 2,311,924 | 2,311,539 | |||||||||
CARMAX AUTO OWNER | 2.160% 15/SEP/2016 589,816 | 593,185 | 591,368 | |||||||||
CARMAX AUTO OWNER | 0.89% 15/SEP/2016 1,183,887 | 1,185,269 | 1,184,836 | |||||||||
CARMAX AUTO OWNER | 0.42% 15/JUN/2016 973,349 | 973,326 | 973,284 | |||||||||
CARMAX AUTO OWNER | 0.59% 15/AUG/2016 1,841,855 | 1,842,173 | 1,842,137 | |||||||||
CARMAX AUTO OWNER | 0.52% 15/NOV/2016 584,017 | 584,196 | 584,105 | |||||||||
CARMAX AUTO OWNER | 0.67% 15/FEB/2018 700,000 | 699,978 | 699,236 | |||||||||
CASE NEW HOLLAND INDUSTRIAL INC | 7.88% 01/DEC/2017 1,223,000 | 1,410,068 | 1,345,300 | |||||||||
CATALUNYA(GENERALITAT) | 4.95% 11/FEB/2020 400,000 | 608,048 | 536,453 | |||||||||
CATAMARAN CORP | 4.75% 15/MAR/2021 1,095,000 | 1,114,163 | 1,095,000 | |||||||||
CBRE SERVICES INC | 5.25% 15/MAR/2025 2,319,000 | 2,336,255 | 2,365,380 | |||||||||
CBS OUTDOOR AMERICAS CAP LLC | 5.25% 15/FEB/2022 1,860,000 | 1,891,870 | 1,873,950 | |||||||||
CBS OUTDOOR AMERICAS CAP LLC | 5.88% 15/MAR/2025 1,333,000 | 1,336,216 | 1,342,998 | |||||||||
CCO HLDGS LLC | 6.625% 31/JAN/2022 631,000 | 640,595 | 670,437 | |||||||||
CCO HLDGS LLC | 5.25% 30/SEP/2022 70,000 | 69,868 | 69,825 | |||||||||
CCO HLDGS LLC | 5.25% 15/MAR/2021 935,000 | 963,050 | 942,012 | |||||||||
CCO HLDGS LLC | 6.5% 30/APR/2021 2,330,000 | 2,370,615 | 2,446,500 | |||||||||
CCOH SAFARI LLC | 5.5% 01/DEC/2022 754,000 | 754,000 | 765,310 | |||||||||
CCOH SAFARI LLC | 5.75% 01/DEC/2024 1,920,000 | 1,916,540 | 1,941,600 | |||||||||
CEDAR FAIR LP | 5.25% 15/MAR/2021 2,530,000 | 2,533,088 | 2,542,650 | |||||||||
CELANESE US HLDGS LLC | 5.875% 15/JUN/2021 1,027,000 | 1,101,803 | 1,088,620 | |||||||||
CENTENE CORP | 4.75% 15/MAY/2022 653,000 | 654,387 | 654,632 | |||||||||
CENTERPOINT ENERGY REST BD CO | 1.83% 15/FEB/2016 2,848,334 | 2,859,320 | 2,852,202 | |||||||||
CENTURYLINK INC | 5.625% 01/APR/2020 535,000 | 541,687 | 555,062 | |||||||||
CENTURYLINK INC | 5.8% 15/MAR/2022 456,000 | 476,520 | 473,100 | |||||||||
CENTURYLINK INC | 6.45% 15/JUN/2021 2,021,000 | 2,103,781 | 2,167,523 | |||||||||
CENTURYLINK INC | 6.75% 01/DEC/2023 703,000 | 775,405 | 769,785 | |||||||||
CEQUEL COMMUN HLDG | 6.38% 15/SEP/2020 2,655,000 | 2,779,071 | 2,747,925 | |||||||||
CHESAPEAKE ENERGY CORP | 5.75% 15/MAR/2023 1,156,000 | 1,183,829 | 1,190,680 |
(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): | ||||||||||||
CHESAPEAKE ENERGY CORP | 6.125% 15/FEB/2021 1,000,000 | 1,027,500 | 1,050,000 | |||||||||
CHESAPEAKE ENERGY CORP | 6.625% 15/AUG/2020 3,380,000 | 3,479,129 | 3,591,250 | |||||||||
CHESAPEAKE ENERGY CORP | 6.875% 15/NOV/2020 250,000 | 270,000 | 268,750 | |||||||||
CHESAPEAKE ENERGY CORP | 7.25% 15/DEC/2018 750,000 | 826,875 | 821,250 | |||||||||
CHEVRON CORP | ZCP 6/APR/2014 8,000,000 | 7,996,833 | 7,995,990 | |||||||||
CHIBA BK LTD NY BRANCH | 0.31% 26/FEB/2015 1,700,000 | 1,700,000 | 1,700,188 | |||||||||
CHINA CONSTRUCTION BANK CORP | 0.55% 07/JAN/2015 2,500,000 | 2,500,000 | 2,500,160 | |||||||||
CHINA CONSTRUCTION BANK CORP | 0.75% 06/APR/2015 2,500,000 | 2,500,000 | 2,501,192 | |||||||||
CHOICE HOTELS INT'L INC | 5.75% 01/JUL/2022 623,000 | 672,685 | 668,167 | |||||||||
CHRYSLER CAPITAL AUTO REC TR | 0.56% 15/DEC/2016 715,414 | 715,738 | 715,718 | |||||||||
CHRYSLER GRP LLC | 8.25% 15/JUN/2021 924,000 | 894,883 | 1,023,330 | |||||||||
CHS/COMMUNITY HEALTH SYSTMS INC | 5.13% 15/AUG/2018 1,385,000 | 1,449,825 | 1,433,475 | |||||||||
CHS/COMMUNITY HEALTH SYSTMS INC | 8% 15/NOV/2019 1,223,000 | 1,234,140 | 1,305,553 | |||||||||
CHS/COMMUNITY HEALTH SYSTMS INC | 5.125% 01/AUG/2021 500,000 | 506,875 | 518,750 | |||||||||
CHS/COMMUNITY HEALTH SYSTMS INC | 6.88% 01/FEB/2022 3,604,000 | 3,744,095 | 3,817,988 | |||||||||
CINEMARK USA INC | 4.875% 01/JUN/2023 219,000 | 202,301 | 206,955 | |||||||||
CINEMARK USA INC | 5.125% 15/DEC/2022 521,000 | 513,815 | 509,277 | |||||||||
CIT GRP INC | 5% 15/AUG/2022 979,000 | 979,000 | 1,005,922 | |||||||||
CIT GRP INC | 5.25% 15/MAR/2018 1,018,000 | 1,018,000 | 1,061,265 | |||||||||
CIT GRP INC | 5.375% 15/MAY/2020 615,000 | 673,425 | 649,993 | |||||||||
CIT GRP INC | 5.5% 15/FEB/2019 2,005,000 | 2,012,519 | 2,115,275 | |||||||||
CIT GRP INC | 6.625% 01/APR/2018 405,000 | 422,212 | 439,425 | |||||||||
CITIBANK CREDIT CARD ISSUANCE TR | VAR 07/FEB/2018 2,000,000 | 2,000,000 | 1,999,776 | |||||||||
CITIBANK CREDIT CARD ISSUANCE TR | VAR 07/NOV/2018 3,500,000 | 3,500,000 | 3,496,227 | |||||||||
CITIBANK CREDIT CARD ISSUANCE TR | VAR 09/MAY/2018 1,000,000 | 1,000,000 | 1,000,000 | |||||||||
CITIBANK N.A. | 0.28% 03/JUN/2015 1,500,000 | 1,500,000 | 1,499,806 | |||||||||
CITIGRP INC | 6% 15/AUG/2017 2,900,000 | 2,642,306 | 3,208,470 | |||||||||
CITIGRP INC | VAR 10/MAR/2017 1,300,000 | 1,300,000 | 1,296,880 | |||||||||
CLEAN HARBORS INC | 5.25% 01/AUG/2020 1,399,000 | 1,410,808 | 1,405,995 | |||||||||
CLEAR CHANNEL COMM INC | 9% 01/MAR/2021 2,701,000 | 2,667,439 | 2,646,980 | |||||||||
CLEAR CHANNEL WW HLDGS INC | 6.5% 15/NOV/2022 2,970,000 | 2,960,620 | 3,047,375 | |||||||||
CLEAR CHANNEL WW HLDGS INC | 7.63% 15/MAR/2020 2,786,000 | 2,781,901 | 2,932,265 | |||||||||
CNH EQUIPMENT TR | 0.69% 15/AUG/2018 3,500,000 | 3,497,228 | 3,500,735 | |||||||||
CNH EQUIPMENT TR | 2.04% 17/OCT/2016 2,128,498 | 2,132,567 | 2,129,728 | |||||||||
CNH EQUIPMENT TR | 0.440% 17/OCT/2016 140,833 | 140,832 | 140,800 | |||||||||
CNH EQUIPMENT TR | 0.63% 17/JAN/2017 2,082,122 | 2,083,227 | 2,082,649 | |||||||||
CNH EQUIPMENT TR | 0.49% 15/MAR/2017 398,919 | 398,897 | 398,968 | |||||||||
CNH EQUIPMENT TR | 0.49% 15/JUN/2017 648,285 | 647,789 | 647,965 | |||||||||
CNH EQUIPMENT TR | 0.2% 16/NOV/2015 2,633,190 | 2,633,190 | 2,633,190 | |||||||||
CNH EQUIPMENT TR | 0.94% 15/MAY/2017 1,807,882 | 1,811,015 | 1,808,263 | |||||||||
CNH INDUSTRIAL CAPITAL LLC | 3.375% 15/JUL/2019 228,000 | 226,691 | 217,740 | |||||||||
COCA-COLA COMPANY | 0.23% 30/JAN/2015 8,000,000 | 7,999,291 | 7,999,334 | |||||||||
COGECO CABLE INC | 4.875% 01/MAY/2020 369,000 | 369,000 | 369,000 | |||||||||
COLUMBUS MCKINNON CORP | 7.875% 01/FEB/2019 960,000 | 988,800 | 998,400 | |||||||||
COMMONWEALTH BK OF AUSTRALIA | 1.95% 16/MAR/2015 1,500,000 | 1,504,697 | 1,504,556 | |||||||||
COMMONWEALTH BK OF AUSTRALIA | VAR 18/SEP/2015 3,500,000 | 3,518,573 | 3,519,450 | |||||||||
COMMONWEALTH BK OF AUSTRALIA | 2.3% 06/SEP/2019 3,000,000 | 2,994,240 | 3,001,797 | |||||||||
CONCHO RESOURCES INC | 5.5% 01/APR/2023 2,470,000 | 2,593,500 | 2,481,609 | |||||||||
CONCHO RESOURCES INC | 6.5% 15/JAN/2022 1,057,000 | 1,102,788 | 1,104,565 | |||||||||
CONCHO RESOURCES INC | 7.0% 15/JAN/2021 920,000 | 991,300 | 963,700 | |||||||||
CONSTELLATION BRANDS INC | 4.75% 15/NOV/2024 1,285,000 | 1,310,700 | 1,301,063 | |||||||||
CONSTELLIUM NV | 5.75% 15/MAY/2024 94,000 | 94,000 | 81,780 |
(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): | ||||||||||||
CONVATEC FINANCE INT'L | 8.25% 15/JAN/2019 715,000 | 718,575 | 725,725 | |||||||||
CONVATEC HEALTHCAR | 10.5% 15/DEC/2018 1,845,000 | 1,928,025 | 1,946,475 | |||||||||
COOPERATIEVE CENTRALE | 0.3% 13/MAY/2015 3,500,000 | 3,500,000 | 3,500,640 | |||||||||
COOPERATIEVE CENTRALE | VAR 31/DEC/2049 3,493,000 | 3,425,284 | 4,495,491 | |||||||||
COOPERATIEVE CENTRALE | VAR 23/OCT/2015 3,500,000 | 3,501,866 | 3,499,678 | |||||||||
CREDIT AGRICOLE CORP AND INV BK | 0.34% 02/MAR/2015 800,000 | 800,000 | 800,108 | |||||||||
CREDIT AGRICOLE SA | VAR 12/JUN/2017 1,700,000 | 1,700,000 | 1,701,370 | |||||||||
CREDIT IND ET CM NY | 0.5% 14AUG2015 2,850,000 | 2,850,000 | 2,852,308 | |||||||||
CREDIT IND ET CM NY | 0.52% 01/MAY/2015 1,500,000 | 1,500,000 | 1,501,255 | |||||||||
CREDIT SUISSE | 0.58% 18/SEP/2015 2,000,000 | 2,000,000 | 2,001,868 | |||||||||
CREDIT SUISSE | 0.56% 27/AUG/2015 2,000,000 | 2,000,000 | 2,002,109 | |||||||||
CREDIT SUISSE | VAR 15/MAY/2015 1,900,000 | 1,900,000 | 1,899,789 | |||||||||
CROWN CASTLE INT'L CORP | 5.25% 15/JAN/2023 2,396,000 | 2,436,169 | 2,443,920 | |||||||||
CROWN CASTLE INT'L CORP | 4.88% 15/APR/2022 1,500,000 | 1,500,000 | 1,515,000 | |||||||||
CSC HLDGS INC | 6.75% 15/NOV/2021 1,231,000 | 1,311,654 | 1,360,255 | |||||||||
CSC HLDGS INC | 8.625% 15/FEB/2019 1,380,000 | 1,581,550 | 1,604,250 | |||||||||
CVS | 5.88% 10/JAN/2028 172,362 | 166,350 | 196,223 | |||||||||
CYRUSONE INC | 6.38% 15/NOV/2022 1,911,000 | 1,944,643 | 2,039,993 | |||||||||
DANA HLDG CORP | 6.75% 15/FEB/2021 1,920,000 | 1,945,271 | 2,030,400 | |||||||||
DANA HLDG CORP | 5.5% 15/DEC/2024 500,000 | 501,250 | 505,000 | |||||||||
DARLING INGREDIENTS INC | 5.375% 15/JAN/2022 888,000 | 896,357 | 874,680 | |||||||||
DAVITA HEALTHCARE | 5.75% 15/AUG/2022 2,625,000 | 2,640,235 | 2,782,500 | |||||||||
DAVITA HEALTHCARE | 5.125% 15/JUL/2024 1,250,000 | 1,260,938 | 1,275,000 | |||||||||
DELL EQUIPMENT FINANCE TR | 0.64% 22/JUL/2016 500,000 | 499,981 | 499,917 | |||||||||
DETROIT EDISON CO | 6.62% 01/MAR/2016 7,199,843 | 7,325,651 | 7,272,158 | |||||||||
DEUTSCHE BANK AG | VAR 23/JUL/2015 5,000,000 | 5,000,000 | 5,000,510 | |||||||||
DEUTSCHE BANK AG | VAR 30/MAY/2017 900,000 | 900,000 | 898,466 | |||||||||
DIAMOND FOODS INC | 7% 15/MAR/2019 342,000 | 342,000 | 350,550 | |||||||||
DIAMONDBACK ENERGY INC | 7.625% 01/OCT/2021 349,000 | 328,496 | 340,711 | |||||||||
DIGITALGLOBE INC | 5.25% 01/FEB/2021 1,075,000 | 1,081,938 | 1,021,250 | |||||||||
DISCOVER CARD EXEC | 0.81% 15/AUG/2017 7,998,000 | 8,014,194 | 8,001,759 | |||||||||
DISCOVER CARD EXEC | 0.86% 15/NOV/2017 700,000 | 702,266 | 701,049 | |||||||||
DISH DBS CORP | 5.875% 15/JUL/2022 450,000 | 459,594 | 461,250 | |||||||||
DISH DBS CORP | 6.75% 01/JUN/2021 3,755,000 | 4,027,768 | 4,036,625 | |||||||||
DISH DBS CORP | 7.87% 01/SEP/2019 113,000 | 123,876 | 128,255 | |||||||||
DU PONT(E.I.)DE NEMOURS & CO | 3.25% 15/JAN/2015 4,000,000 | 4,004,618 | 4,002,624 | |||||||||
DUKE ENERGY OHIO INC | VAR 06/MAR/2015 2,622,000 | 2,622,225 | 2,621,688 | |||||||||
E*TRADE FINANCIAL CORP | 5.37%15/NOV/2022 1,235,000 | 1,247,350 | 1,262,788 | |||||||||
ECO SERVICES OPERATIONS LLC | 8.5% 01/NOV/2022 513,000 | 513,000 | 520,695 | |||||||||
EL PASO CORP | 7.42% 15/FEB/2037 1,500,000 | 1,751,100 | 1,784,556 | |||||||||
EL PASO NATURAL GAS | 8.37% 15/JUN/2032 70,000 | 62,621 | 92,049 | |||||||||
ELECTRICITE DE FRANCE | ZCP 02/JAN/2015 2,000,000 | 1,999,970 | 1,999,982 | |||||||||
ELECTRICITE DE FRANCE | ZCP 08/JAN/2016 1,950,000 | 1,935,492 | 1,941,110 | |||||||||
ELECTRICITE DE FRANCE | 1.15% 20/JAN/2017 200,000 | 199,122 | 199,876 | |||||||||
EMDEON INC | 11% 31/DEC/2019 1,060,000 | 1,076,691 | 1,152,750 | |||||||||
ENTEGRIS INC | 6% 01/APR/2022 1,294,000 | 1,310,550 | 1,310,175 | |||||||||
EQUINIX INC | 4.87% 01/APR/2020 2,700,000 | 2,710,625 | 2,686,500 | |||||||||
ESC LEHMAN BRTH HLD | 5.25% 06/FEB/2012 210,000 | 26,775 | 30,712 | |||||||||
EVEREST ACQUISITION LLC/FIN INC | 7.75% 01/SEP/2022 1,225,000 | 1,376,863 | 1,145,375 | |||||||||
EVEREST ACQUISITION LLC/FIN INC | 9.37% 01/MAY/2020 801,000 | 820,840 | 809,010 | |||||||||
EXPORTFINANS | 5.5% 25/MAY/2016 1,053,000 | 1,087,951 | 1,100,227 | |||||||||
FIFTH THIRD AUTO TR | 0.45% 15/JAN/2016 63,132 | 63,129 | 63,130 |
(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): | ||||||||||||
FIFTH THIRD AUTO TR | 0.46% 15/AUG/2016 6,722,077 | 6,723,016 | 6,721,358 | |||||||||
FIRST DATA CORP | 12.625% 15/JAN/2021 2,745,000 | 2,770,910 | 3,259,688 | |||||||||
FIRST DATA CORP | 7.38% 15/JUN/2019 2,642,000 | 2,635,430 | 2,780,705 | |||||||||
FIRST DATA CORP | 8.25% 15/JAN/2021 2,443,000 | 2,540,439 | 2,614,010 | |||||||||
FIRST DATA CORP | 6.75% 01/NOV/2020 807,000 | 800,488 | 861,472 | |||||||||
FIRSTENERGY CORP | 7.38% 15/NOV/2031 1,108,000 | 1,057,529 | 1,341,086 | |||||||||
FLORIDA EAST COAST HLDGS CORP | 6.75% 01/MAY/2019 1,245,000 | 1,267,677 | 1,232,550 | |||||||||
FLORIDA EAST COAST HLDGS CORP | 9.75% 01/MAY/2020 780,000 | 794,082 | 776,100 | |||||||||
FMG RESOURCES | 8.25% 01/NOV/2019 324,000 | 327,919 | 294,840 | |||||||||
FMG RESOURCES | 6.875% 01/FEB/2018 898,667 | 926,744 | 815,540 | |||||||||
FORD CREDIT AUTO LEASE TR | 0.72% 15/DEC/2016 1,073,200 | 1,073,652 | 1,073,751 | |||||||||
FORD CREDIT AUTO LEASE TR | VAR 15/JAN/2016 606,153 | 606,335 | 606,283 | |||||||||
FORD CREDIT AUTO LEASE TR | VAR 15/OCT/2016 870,245 | 870,244 | 870,036 | |||||||||
FORD CREDIT AUTO LEASE TR | VAR 15/MAR/2017 1,800,000 | 1,800,000 | 1,798,096 | |||||||||
FORD CREDIT AUTO OWNER TR | 0.51% 15/APR/2017 1,195,934 | 1,196,281 | 1,195,815 | |||||||||
FORD CREDIT AUTO OWNER TR | 1.35% 15/DEC/2016 3,934,232 | 3,947,276 | 3,944,261 | |||||||||
FORD CREDIT AUTO OWNER TR | 0.55% 15/APR/2016 114,323 | 114,323 | 114,324 | |||||||||
FORD CREDIT AUTO OWNER TR | 0.45% 15/AUG/2016 1,542,226 | 1,542,264 | 1,542,033 | |||||||||
FORD CREDIT AUTO OWNER TR | 0.48% 15/NOV/2016 904,950 | 905,253 | 904,860 | |||||||||
FORD CREDIT AUTO OWNER TR | 0.61% 15/AUG/2017 800,000 | 799,974 | 798,853 | |||||||||
FORD CREDIT AUTO OWNER TR | 1.65% 15/MAY/2016 936,298 | 939,584 | 937,117 | |||||||||
FORD CREDIT FLRPLN MAS OWNER TR | VAR 15/FEB/2017 500,000 | 501,899 | 500,866 | |||||||||
FORD CREDIT FLRPLN MAS OWNER TR | VAR 15/FEB/2019 2,000,000 | 2,000,000 | 2,000,996 | |||||||||
FORD MOTOR CREDIT CO LLC | 1.724% 06/DEC/2017 600,000 | 595,908 | 593,799 | |||||||||
FORD MOTOR CREDIT CO LLC | 2.875% 01/OCT/2018 750,000 | 767,010 | 763,159 | |||||||||
FOUR SEASONS HLDGS INC | ZCP 30/JUN/2021 354,000 | 350,460 | 354,000 | |||||||||
FPL RECOVERY FUNDING | 5.13% 08/17 646,995 | 657,486 | 653,696 | |||||||||
FRESENIUS MED CARE US FIN II INC | 4.75% 15/OCT/2024 948,000 | 948,000 | 957,480 | |||||||||
FRESENIUS MED CARE US FIN II INC | 5.625% 31/JUL/2019 485,000 | 485,000 | 517,737 | |||||||||
FRESENIUS MED CARE US FIN II INC | 5.875% 31/JAN/2022 749,000 | 811,811 | 812,665 | |||||||||
FRONTIER COMMUNICATIONS CORP | 7.13% 15/JAN/2023 1,335,000 | 1,358,363 | 1,358,363 | |||||||||
FRONTIER COMMUNICATIONS CORP | 8.75% 15/APR/2022 1,050,000 | 1,068,098 | 1,173,375 | |||||||||
FRONTIER COMMUNICATIONS CORP | 9.25% 01/JUL/2021 874,000 | 1,013,843 | 1,009,470 | |||||||||
FRONTIER COMMUNICATIONS CORP | 6.88% 15/JAN/2025 1,741,000 | 1,754,130 | 1,741,000 | |||||||||
GANNETT CO INC | 6.375% 15/OCT/2023 267,000 | 285,690 | 283,020 | |||||||||
GANNETT CO INC | 4.875% 15/SEP/2021 420,000 | 417,300 | 416,850 | |||||||||
GANNETT CO INC | 5.50% 15/SEP/2024 363,000 | 363,827 | 363,907 | |||||||||
GATES GLOBAL LLC | 6.00% 15/JUL/2022 960,000 | 954,142 | 919,392 | |||||||||
GATX FINL CORP | 5.8% 01/MAR/2016 1,000,000 | 996,290 | 1,052,557 | |||||||||
GE EQUIPMENT TRANSPORTN LLC | 0.62% 25/JUL/2016 2,745,496 | 2,746,732 | 2,745,634 | |||||||||
GE EQUIPMENT TRANSPORTN LLC | 0.61% 24/JUN/2016 2,180,223 | 2,180,106 | 2,181,686 | |||||||||
GE EQUIPMENT TRANSPORTN LLC | 0.2% 23/JUN/2015 1,116,606 | 1,116,540 | 1,116,606 | |||||||||
GENERAL DYNAMICS CORP | 1.38% 15/JAN/2015 3,150,000 | 3,151,368 | 3,150,728 | |||||||||
GENERAL ELEC CAP CORP | FLT 15 30/SEP/2015 300,000 | 301,182 | 300,832 | |||||||||
GENERAL ELEC CAP CORP | ZCP 20/APR/2015 8,000,000 | 7,994,671 | 7,996,260 | |||||||||
GENERAL MOTORS CO | 4.88% 02/OCT/2023 2,485,000 | 2,537,010 | 2,658,950 | |||||||||
GENERAL MOTORS FINL CO INC | 4.375% 25/SEP/2021 789,000 | 789,000 | 823,519 | |||||||||
GIBRALTAR INDUSTRIES INC | 6.25% 01/FEB/2021 765,000 | 787,950 | 776,475 | |||||||||
GLITNIR BANKI HF | 6.375% 25/SEP/2012 680,000 | 45,900 | 200,600 | |||||||||
GLITNIR BANKI HF | VAR 15/JUN/2016 1,060,000 | 106 | 1,325 | |||||||||
GLITNIR BANKI HF | 6.33% 28/JUL/2011 590,000 | 39,825 | 174,050 | |||||||||
GLP CAPITAL LP | 4.875% 01/NOV/2020 412,000 | 426,420 | 417,150 |
(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): | ||||||||||||
GLP CAPITAL LP | 5.375% 01/NOV/2023 853,000 | 870,635 | 882,855 | |||||||||
GOLDCORP INC | 3.63% 09/JUN/2021 1,300,000 | 1,298,323 | 1,302,092 | |||||||||
GOLDMAN SACHS GRP INC | 5.625% 15/JAN/2017 910,000 | 776,207 | 976,063 | |||||||||
GOLDMAN SACHS GRP INC | VAR 22/MAR/2016 3,450,000 | 2,378,775 | 3,442,307 | |||||||||
GOLDMAN SACHS GRP INC | 4% 03/MAR/2024 2,300,000 | 2,303,197 | 2,387,743 | |||||||||
GOLDMAN SACHS GRP INC | VAR 15/NOV/2018 400,000 | 401,908 | 403,920 | |||||||||
GOODMAN NETWORKS INC | VAR 01/JUL/2018 661,000 | 690,520 | 682,482 | |||||||||
GRAPHIC PACKAGING INTL INC | 4.75% 15/APR/2021 537,000 | 543,712 | 541,027 | |||||||||
GRIFOLS WW OPERATIONS LTD | 5.25% 01/APR/2022 2,139,000 | 2,174,150 | 2,187,555 | |||||||||
GRP 1 AUTOMOTIVE INC | 5% 01/JUN/2022 550,000 | 552,750 | 537,625 | |||||||||
H&E EQUIPMENT SERVICES LLC | 7% 01/SEP/2022 928,000 | 997,567 | 954,680 | |||||||||
HARLEY-DAVIDSON MOTORCYCLE TR | 0.68% 15/APR/2017 4,241,635 | 4,245,034 | 4,243,391 | |||||||||
HARLEY-DAVIDSON MOTORCYCLE TR | VAR 15/APR/2018 1,595,855 | 1,596,243 | 1,593,391 | |||||||||
HCA INC | 4.75% 01/MAY/2023 1,880,000 | 1,863,990 | 1,912,900 | |||||||||
HCA INC | 6.5% 15/FEB/2020 3,015,000 | 3,131,719 | 3,378,308 | |||||||||
HCA INC | 7.5% 15/FEB/2022 2,000,000 | 2,008,388 | 2,285,000 | |||||||||
HCA INC | 3.75% 15/MAR/2019 2,920,000 | 2,937,469 | 2,923,650 | |||||||||
HD SUPPLY INC | 11.5% 15/JUN/2020 675,000 | 759,375 | 772,875 | |||||||||
HD SUPPLY INC | 5.25% 15/DEC/2021 890,000 | 903,350 | 905,575 | |||||||||
HD SUPPLY INC | 7.5% 15/JUL/2020 2,300,000 | 2,300,000 | 2,409,250 | |||||||||
HERTZ CORP | 5.88% 15/OCT/2020 1,030,000 | 1,088,027 | 1,037,725 | |||||||||
HERTZ CORP | 6.25% 15/OCT/2022 535,000 | 573,119 | 540,350 | |||||||||
HERTZ CORP | 7.375% 15/JAN/2021 475,000 | 484,631 | 498,750 | |||||||||
HILAND PARTNERS LP | 7.25% 01/OCT/2020 4,370,000 | 4,616,308 | 4,151,500 | |||||||||
HILCORP ENERGY I LP | 5% 01/DEC/2024 173,000 | 144,022 | 152,240 | |||||||||
HILTON WORLDWIDE FINANCE LLC | 5.63% 15/OCT/2021 3,687,000 | 3,784,804 | 3,852,915 | |||||||||
HOCKEY MERGER SUB 2 INC | 7.88% 01/OCT/2021 3,393,000 | 3,423,845 | 3,376,035 | |||||||||
HOLCIM FINANCE | 6% 30/DEC/2019 100,000 | 116,181 | 114,456 | |||||||||
HOME EQUITY MTG | VAR 25/APR/2037 1,500,000 | 332,001 | 1,044,162 | |||||||||
HONDA AUTO REC OWNER TR | 0.37% 17/11/2014 22,002 | 22,004 | 22,001 | |||||||||
HONDA AUTO REC OWNER TR | 0.7% 16/FEB/2016 168,937 | 168,941 | 169,005 | |||||||||
HONDA AUTO REC OWNER TR | 0.7% 16/FEB/2016 1,716,267 | 1,717,313 | 1,716,961 | |||||||||
HONDA AUTO REC OWNER TR | 0.56% 15/MAY/2016 990,968 | 991,364 | 991,174 | |||||||||
HONDA AUTO REC OWNER TR | 0.52% 18/AUG/2016 3,790,641 | 3,791,884 | 3,790,944 | |||||||||
HONDA AUTO REC OWNER TR | 0.22% 15/DEC/2015 2,666,781 | 2,666,781 | 2,666,781 | |||||||||
HONDA AUTO REC OWNER TR | 0.58% 17/JAN/2017 300,000 | 299,999 | 299,861 | |||||||||
HONDA AUTO REC OWNER TR | 0.77% 15/JAN/2016 1,159,656 | 1,160,674 | 1,160,185 | |||||||||
HONDA AUTO REC OWNER TR | 0.540% 15/JAN/2016 121,759 | 121,818 | 121,765 | |||||||||
HONEYWELL INT'L | ZCP 03/AUG/2015 8,000,000 | 7,988,587 | 7,986,957 | |||||||||
HSBC BANK USA | VAR 18/MAR/2016 2,000,000 | 2,000,000 | 1,999,412 | |||||||||
HSBC USA INC | 2.375% 13/FEB/2015 2,800,000 | 2,806,555 | 2,805,625 | |||||||||
HUB HLDGS LLC | 8.125% 15/JUL/2019 205,000 | 204,487 | 202,950 | |||||||||
HUGHES SATELLITE SYS CORP | 7.625% 15/JUN/2021 1,400,000 | 1,456,000 | 1,540,000 | |||||||||
HUNTINGTON AUTO TR | 1.31% 15/NOV/2016 2,923,073 | 2,931,902 | 2,929,609 | |||||||||
HUNTINGTON AUTO TR | 0.81% 15/SEP/2016 2,612,896 | 2,617,063 | 2,614,647 | |||||||||
HUNTINGTON AUTO TR | 0.51% 15/DEC/2015 2,464,516 | 2,463,958 | 2,464,267 | |||||||||
HUNTINGTON INGALLS IND INC | 7.13% 15/MAR/2021 1,117,000 | 1,150,556 | 1,206,360 | |||||||||
HUNTINGTON INGALLS IND INC | 5.00% 15/DEC/2021 1,295,000 | 1,320,169 | 1,317,663 | |||||||||
HUNTSMAN INT'L LLC | 4.875% 15/NOV/2020 595,000 | 599,462 | 590,537 | |||||||||
HUNTSMAN INT'L LLC | 8.625% 15/MAR/2021 134,000 | 149,546 | 143,715 | |||||||||
HUNTSMAN INT'L LLC | 5.125% 15/NOV/2022 550,000 | 552,750 | 541,750 | |||||||||
HYUNDAI AUTO LEASE SEC TR | 0.75% 15/MAR/2016 3,099,628 | 3,102,507 | 3,101,286 |
(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): | ||||||||||||
HYUNDAI AUTO REC TR | 0.62% 15/SEP/2016 2,556,543 | 2,558,256 | 2,557,428 | |||||||||
HYUNDAI AUTO REC TR | 0.530% 15/MAR/2016 285,725 | 285,839 | 285,752 | |||||||||
HYUNDAI AUTO REC TR | 0.46% 16/JAN/2017 714,374 | 714,191 | 714,213 | |||||||||
ICAHN ENTERPRISES LP | 5.875% 01/FEB/2022 940,000 | 940,000 | 944,112 | |||||||||
ICAHN ENTERPRISES LP | 6% 01/AUG/2020 1,674,000 | 1,724,824 | 1,724,555 | |||||||||
IHEARTCOMMUNICATIONS INC | 14% 01/FEB/2021 1,578,973 | 1,587,158 | 1,286,863 | |||||||||
IHS INC | 5% 01/NOV/2022 1,360,000 | 1,383,950 | 1,346,400 | |||||||||
IM CEDULAS 4 FONDO DE TDA | 3.75% 11/MAR/2015 500,000 | 681,233 | 608,478 | |||||||||
IMS HEALTH INC | 6% 01/NOV/2020 789,000 | 802,721 | 812,670 | |||||||||
INDUSTRIAL & COM BK OF CHINA LTD | 3.23% 13/NOV/2019 1,200,000 | 1,200,000 | 1,205,050 | |||||||||
INDUSTRIAL COM BNK | 0.72% 12/MAY/2015 3,400,000 | 3,400,000 | 3,401,361 | |||||||||
INEOS GRP HLDGS | 6.125% 15/AUG/2018 265,000 | 266,987 | 253,737 | |||||||||
INEOS GRP HLDGS | 5.88% 15/FEB/2019 1,325,000 | 1,337,881 | 1,255,437 | |||||||||
ING BANK | 3.0% 01/SEP/2015 3,500,000 | 3,553,949 | 3,548,860 | |||||||||
INGRAM MICRO INC | 4.95% 15/DEC/2024 725,000 | 722,455 | 724,761 | |||||||||
INTELSAT JACKSON HLDGS | 7.5% 01/APR/2021 1,500,000 | 1,511,250 | 1,605,000 | |||||||||
INTELSAT JACKSON HLDGS | 5.5% 01/AUG/2023 833,000 | 833,000 | 827,919 | |||||||||
INTELSAT JACKSON HLDGS | 7.25% 15/OCT/2020 1,930,000 | 1,966,275 | 2,038,563 | |||||||||
INTELSAT LUXEMBOURG | 8.13% 01/JUN/2023 1,204,000 | 1,307,159 | 1,228,080 | |||||||||
INTESA SANPAOLO SPA | 6.5% 24/FEB/2021 500,000 | 585,260 | 578,426 | |||||||||
INTESA SANPAOLO SPA | VAR 11/APR/2016 2,900,000 | 2,900,000 | 2,905,072 | |||||||||
INT'L BUS MACH CORP | 0.55% 06/FEB/2015 3,900,000 | 3,901,315 | 3,900,815 | |||||||||
INTL LEASE FINANCE | 4.63% 15/APR/2021 1,100,000 | 1,104,125 | 1,119,250 | |||||||||
INT'L LEASE FINANCE CORP | 8.25% 15/DEC/2020 4,517,000 | 5,311,728 | 5,442,985 | |||||||||
ISTAR FINANCIAL INC | 5% 01/JUL/2019 1,286,000 | 1,298,163 | 1,247,420 | |||||||||
ITAU UNIBANCO | VAR 31/MAY/2016 1,600,000 | 1,600,000 | 1,598,376 | |||||||||
JACKSON NATIONAL LIFE GLOBAL FD | VAR 30/SEP/2015 4,752,000 | 4,760,616 | 4,758,814 | |||||||||
JAGUAR HLDG CO | 9.5% 01/DEC/2019 1,439,000 | 1,496,298 | 1,543,328 | |||||||||
JAGUAR HLDG CO | VAR 15/OCT/2017 815,000 | 837,412 | 832,930 | |||||||||
JAGUAR LAND ROVER AUTO PLC | 4.13% 15/DEC/2018 520,000 | 521,950 | 522,600 | |||||||||
JM HUBER CORP | 9.88% 01/NOV/2019 929,000 | 922,711 | 1,021,900 | |||||||||
JOHN DEERE OWNER TR | 0.75% 15/MAR/2016 1,035,404 | 1,036,501 | 1,035,703 | |||||||||
JOHN DEERE OWNER TR | 0.55% 15/JAN/2016 3,576,361 | 3,577,057 | 3,576,841 | |||||||||
JOHN DEERE OWNER TR | 0.45% 15/SEP/2016 1,282,207 | 1,282,172 | 1,282,359 | |||||||||
KINDER MORGAN INC | 7.75% 15/JAN/2032 405,000 | 302,043 | 498,150 | |||||||||
KINDER MORGAN INC | 7.8% 01/AUG/2031 697,000 | 523,595 | 848,689 | |||||||||
KINETIC CONCEPTS INC | 10.5% 01/NOV/2018 636,000 | 632,373 | 691,650 | |||||||||
KODIAK OIL & GAS CORP | 8.13% 01/DEC/2019 1,209,000 | 1,248,485 | 1,230,157 | |||||||||
KOREA ELECTRIC PWR | 3% 05/OCT/2015 1,700,000 | 1,694,288 | 1,724,772 | |||||||||
LAMAR MEDIA CORP | 5% 01/MAY/2023 535,000 | 536,037 | 529,650 | |||||||||
LAMAR MEDIA CORP | 5.375% 15/JAN/2024 1,060,000 | 1,081,200 | 1,091,800 | |||||||||
LANDESBK HESSEN-THUR | 0.30% 16MAR2015 3,500,000 | 3,500,000 | 3,500,655 | |||||||||
LAREDO PETROLEUM INC | 5.625% 15/JAN/2022 1,377,000 | 1,364,490 | 1,204,875 | |||||||||
LAREDO PETROLEUM INC | 7.375% 01/MAY/2022 1,523,000 | 1,625,740 | 1,424,005 | |||||||||
LCM X LP | VAR 15/APR/2022 3,900,000 | 3,900,000 | 3,880,906 | |||||||||
LEHMAN BROTHERS HLDGS INC | 6% 26/SEP/2014 340,000 | 43,350 | 50,575 | |||||||||
LEVEL 3 COMMUNICATIONS INC | 5.75% 01/DEC/2022 1,200,000 | 1,203,000 | 1,207,500 | |||||||||
LEVEL 3 ESCROW II INC | 5.375% 15/AUG/2022 1,600,000 | 1,600,000 | 1,608,000 | |||||||||
LEVEL 3 FINANCING INC | 7% 01/JUN/2020 409,000 | 417,246 | 430,984 | |||||||||
LEVEL 3 FINANCING INC | 8.625% 15/JUL/2020 525,000 | 525,000 | 566,344 | |||||||||
LEVEL 3 FINANCING INC | 6.125% 15/JAN/2021 750,000 | 764,062 | 776,250 | |||||||||
LIFEPOINT HOSPITALS INC | 5.5% 01/DEC/2021 1,068,000 | 1,068,000 | 1,092,030 |
(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): | ||||||||||||
LIMITED BRANDS INC | 6.625% 01/APR/2021 973,000 | 990,365 | 1,094,625 | |||||||||
LLOYDS BANK PLC | 0.49% 07/JAN/2015 2,500,000 | 2,500,000 | 2,500,165 | |||||||||
LLOYDS BK PLC | 0.48% 04/SEP/2015 1,900,000 | 1,900,000 | 1,900,511 | |||||||||
LYNX I CORP | 5.375% 15/APR/2021 207,000 | 210,105 | 213,727 | |||||||||
MACQUARIE BANK LTD | FLT 03/MAR/2015 800,000 | 799,972 | 799,947 | |||||||||
MACQUARIE BANK LTD | ZCP 06/JAN/2016 1,500,000 | 1,490,750 | 1,502,614 | |||||||||
MACQUARIE BANK LTD | ZCP 12/JUN/2015 1,000,000 | 997,750 | 998,655 | |||||||||
MACQUARIE BANK LTD | 3.45% 27/JUL/2015 1,500,000 | 1,523,604 | 1,523,720 | |||||||||
MARKWEST ENERGY PARTNERS LP | 4.5% 15/JUL/2023 1,850,000 | 1,813,000 | 1,780,625 | |||||||||
MARKWEST ENERGY PARTNERS LP | 6.50% 15/AUG/2021 800,000 | 868,000 | 824,000 | |||||||||
MARKWEST ENERGY PARTNERS LP | 4.88% 01/DEC/2024 2,110,000 | 2,123,188 | 2,062,525 | |||||||||
MARKWEST ENERGY PARTNERS LP | 5.5% 15/FEB/2023 400,000 | 402,000 | 405,000 | |||||||||
MARKWEST ENERGY PARTNERS LP | 6.25% 15/JUN/2022 1,870,000 | 1,974,427 | 1,935,450 | |||||||||
MDC PARTNERS INC | 6.75% 01/APR/2020 1,366,000 | 1,396,436 | 1,406,980 | |||||||||
MEDTRONIC INC | 3.00% 15/MAR/2015 3,900,000 | 3,921,661 | 3,917,273 | |||||||||
MERCEDES BENZ AUTO LEASE TR | 0.53% 15/SEP/2015 448,529 | 448,687 | 448,577 | |||||||||
MERCEDES BENZ AUTO LEASE TR | 0.48% 15/JUN/2016 2,578,305 | 2,577,879 | 2,578,972 | |||||||||
MERCEDES BENZ AUTO LEASE TR | VAR 15/JUN/2016 1,875,131 | 1,875,131 | 1,873,466 | |||||||||
MERCEDES BENZ AUTO LEASE TR | 0.59% 15/FEB/2016 1,796,756 | 1,797,425 | 1,796,627 | |||||||||
MERCEDES-BENZ AUTO REC TR | 0.47% 17/OCT/2016 4,370,224 | 4,371,791 | 4,370,504 | |||||||||
MERCEDES-BENZ AUTO REC TR | 0.5% 15/MAR/2016 415,092 | 415,153 | 415,131 | |||||||||
MERCEDES-BENZ AUTO REC TR | 0.78% 15/AUG/2017 3,400,000 | 3,404,000 | 3,404,804 | |||||||||
MERCEDES-BENZ AUTO REC TR | 0.43% 15/FEB/2017 1,200,000 | 1,199,942 | 1,198,861 | |||||||||
MERITAGE HOMES CORP | 4.5% 01/MAR/2018 1,857,000 | 1,873,700 | 1,857,000 | |||||||||
MERITAGE HOMES CORP | 7% 01/APR/2022 684,000 | 695,275 | 725,040 | |||||||||
MET-LIFE FNDG INC | ZCP 20/JAN/2015 8,000,000 | 7,999,620 | 7,999,520 | |||||||||
METLIFE INSTITUTIONAL FUNDING | 1.63% 02/APR/2015 1,000,000 | 1,002,799 | 1,002,675 | |||||||||
METROPOLITAN LIFE GLOBAL FNDNG | 2% 09/JAN/2015 300,000 | 300,084 | 300,049 | |||||||||
METROPOLITAN LIFE GLOBAL FNDNG | 1.7% 29/JUN/2015 1,600,000 | 1,609,332 | 1,608,458 | |||||||||
MGM RESORTS INT'L | 6.0% 15/MAR/2023 3,000,000 | 3,045,000 | 3,015,000 | |||||||||
MGM RESORTS INT'L | 10% 01/NOV/2016 2,075,000 | 2,243,594 | 2,308,438 | |||||||||
MGM RESORTS INT'L | 11.38% 01/MAR/2018 455,000 | 517,562 | 539,175 | |||||||||
MGM RESORTS INT'L | 6.625% 15/DEC/2021 963,000 | 1,022,570 | 1,011,150 | |||||||||
MGM RESORTS INT'L | 6.75% 01/OCT/2020 1,491,000 | 1,544,000 | 1,565,550 | |||||||||
MITSUBISHI UFJ FINANCIAL GRP | 2.45% 11/SEP/2015 1,500,000 | 1,519,154 | 1,515,627 | |||||||||
MIZUHO BANK LTD | 0.25% 24/FEB/2015 3,500,000 | 3,500,000 | 3,500,159 | |||||||||
MONITRONICS INTL INC | 9.13% 01/APR/2020 1,168,000 | 1,201,625 | 1,103,030 | |||||||||
MORGAN STANLEY | 5.75% 25/JAN/2021 2,150,000 | 2,240,644 | 2,468,095 | |||||||||
MOTORS LIQUIDATION CO | 8.375% 15/JUL/2033 750,000 | 21,562 | 5,625 | |||||||||
MPH ACQUISITION HLDGS LLC | 6.625% 01/APR/2022 914,000 | 951,702 | 934,565 | |||||||||
MSCI INC | 5.25% 15/NOV/2024 1,325,000 | 1,350,203 | 1,371,375 | |||||||||
NATIONAL AUSTRALIA BANK LTD | 0.604% 22/JAN/2015 2,000,000 | 2,000,307 | 2,000,326 | |||||||||
NATIONAL AUSTRALIA BANK LTD | VAR 28/MAY/2015 5,950,000 | 5,952,617 | 5,954,147 | |||||||||
NATIXIS NY | 0.55% 22/JAN/2015 1,000,000 | 1,000,000 | 1,000,293 | |||||||||
NATIXIS NY | VAR 11/MAY/2015 3,000,000 | 3,000,000 | 2,999,991 | |||||||||
NAVIENT CORP | 5.5% 15/JAN/2019 287,000 | 294,534 | 293,457 | |||||||||
NAVIENT CORP | 6.13% 25/MAR/2024 1,760,000 | 1,731,235 | 1,729,200 | |||||||||
NAVIENT CORP | 7.25% 25/JAN/2022 736,000 | 814,491 | 798,560 | |||||||||
NAVIENT CORP | 5.88% 25/OCT/2024 2,161,000 | 2,086,633 | 2,058,353 | |||||||||
NCR CORP | 5.88% 15/DEC/2021 1,040,000 | 1,051,700 | 1,068,600 | |||||||||
NEDERLANDSE WATERSCHAPSBANK | VAR 12/JUN/2015 4,000,000 | 4,000,000 | 4,000,164 | |||||||||
NEIMAN MARCUS GRP LTD | 8.0% 15/OCT/2021 500,000 | 511,250 | 528,750 |
(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 | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
NEW RED FINANCE INC | 6% 01/APR/2022 1,600,000 | 1,600,000 | 1,640,000 | |||||||||
NEW YORK LIFE GLOBAL FUNDING | 0.8% 12/FEB/2016 750,000 | 751,990 | 751,283 | |||||||||
NIELSEN CO LUXEMBOURG SARL | 5.5% 01/OCT/2021 870,000 | 870,000 | 887,400 | |||||||||
NIELSEN FINANCE LLC | 4.5% 01/OCT/2020 932,000 | 931,962 | 936,660 | |||||||||
NISSAN AUTO LEASE TR | 0.45% 15/SEP/2015 325,622 | 325,664 | 325,612 | |||||||||
NISSAN AUTO LEASE TR | VAR 15/SEP/2015 465,174 | 465,021 | 465,150 | |||||||||
NISSAN AUTO LEASE TR | 0.58% 16/NOV/2015 440,753 | 440,966 | 440,762 | |||||||||
NISSAN AUTO LEASE TR | VAR 15/JAN/2016 2,105,253 | 2,106,133 | 2,105,371 | |||||||||
NISSAN AUTO REC OWNER TR | 0.52% 15/APR/2016 346,319 | 346,515 | 346,345 | |||||||||
NISSAN AUTO REC OWNER TR | 0.4% 15/JUN/2016 1,140,242 | 1,140,244 | 1,140,192 | |||||||||
NISSAN AUTO REC OWNER TR | 0.23% 15/DEC/2015 3,400,000 | 3,400,000 | 3,400,000 | |||||||||
NISSAN AUTO REC OWNER TR | 0.6% 15/JUN/2017 600,000 | 599,969 | 599,691 | |||||||||
NISSAN AUTO REC OWNER TR | 0.73% 16/MAY/2016 1,440,697 | 1,442,132 | 1,441,594 | |||||||||
NISSAN AUTO REC OWNER TR | 0.95% 16/FEB/2016 83,875 | 84,024 | 83,918 | |||||||||
NISSAN AUTO REC OWNER TR | 0.460% 17/OCT/2016 925,735 | 925,945 | 925,629 | |||||||||
NISSAN AUTO REC OWNER TR | 3.17% 15/MAY/2017 3,557,072 | 3,556,144 | 3,557,528 | |||||||||
NORDEA BANK FINLAND PLC | VAR 17/JUL/2015 4,000,000 | 4,000,000 | 4,000,404 | |||||||||
NORINCHUKIN BK | 0.2% 24/FEB/2015 3,400,000 | 3,400,000 | 3,399,948 | |||||||||
NORTEK INC | 8.5% 15/APR/2021 2,351,000 | 2,365,801 | 2,515,570 | |||||||||
NOVA CHEMICALS CORP | 5% 01/MAY/2025 981,000 | 984,938 | 973,642 | |||||||||
NOVA CHEMICALS CORP | 5.25% 01/AUG/2023 261,000 | 283,511 | 263,610 | |||||||||
NRG ENERGY INC | 6.25% 15/JUL/2022 2,394,000 | 2,394,000 | 2,447,865 | |||||||||
NRG YIELD OPERATING LLC | 5.37% 15/AUG/2024 1,155,000 | 1,170,299 | 1,172,325 | |||||||||
NUANCE COMMUNICATIONS INC | 5.37% 15/AUG/2020 1,025,000 | 1,036,306 | 1,027,562 | |||||||||
NUMERICABLE-SFR | 6% 15/MAY/2022 4,223,000 | 4,315,910 | 4,246,227 | |||||||||
NXP BV/FUNDING LLC | 5.75% 15/FEB/2021 2,032,000 | 2,072,600 | 2,133,600 | |||||||||
OASIS PETROLEUM INC | 6.5% 01/NOV/2021 1,799,000 | 1,832,554 | 1,637,090 | |||||||||
OASIS PETROLEUM INC | 6.875% 15/JAN/2023 961,000 | 965,207 | 874,510 | |||||||||
OASIS PETROLEUM INC | 6.87% 15/MAR/2022 2,926,000 | 2,807,640 | 2,662,660 | |||||||||
OCTAGON INV PARTNERS XII LTD | VAR 05/MAY/2023 3,200,000 | 3,200,000 | 3,191,930 | |||||||||
OMNICARE INC | 4.75% 01/DEC/2022 947,000 | 963,755 | 958,837 | |||||||||
OMNICARE INC | 5% 01/DEC/2024 172,000 | 175,010 | 176,300 | |||||||||
ONEMAIN FINANCIAL HLDGS INC | 7.25% 15/DEC/2021 1,800,000 | 1,818,000 | 1,845,000 | |||||||||
OSHKOSH CORP | 8.5% 01/MAR/2020 2,145,000 | 2,337,676 | 2,246,888 | |||||||||
PACCAR FINANCIAL CORP | ZCP 13/JAN/2015 8,000,000 | 7,999,680 | 7,999,625 | |||||||||
PARK PLACE SECURITIES, INC | VAR 25/DEC/2034 94,888 | 90,499 | 95,035 | |||||||||
PARSLEY ENERGY LLC | 7.5% 15/FEB/2022 1,837,000 | 1,898,934 | 1,740,558 | |||||||||
PEABODY ENERGY CORP | 6% 15/NOV/2018 571,000 | 571,000 | 518,182 | |||||||||
PEABODY ENERGY CORP | 6.5% 15/SEP/2020 665,000 | 704,900 | 576,887 | |||||||||
PENN NATIONAL GAMING INC | 5.87% 01/NOV/2021 1,300,000 | 1,303,250 | 1,209,000 | |||||||||
PENSKE AUTOMOTIVE GRP INC | 5.375% 01/DEC/2024 530,000 | 531,987 | 536,625 | |||||||||
PENSKE AUTOMOTIVE GRP INC | 5.75% 01/OCT/2022 1,020,000 | 1,065,900 | 1,058,250 | |||||||||
PEPSICO INC | 3.1% 15/JAN/2015 3,950,000 | 3,954,301 | 3,953,168 | |||||||||
PETROLEOS MEXICANOS | 5.5% 21/JAN/2021 3,300,000 | 3,267,363 | 3,572,250 | |||||||||
PETROLEOS MEXICANOS | 6.625% 15/JUN/2035 115,000 | 96,254 | 132,825 | |||||||||
PFIZER INC | 5.35% 15/MAR/2015 950,000 | 959,547 | 958,611 | |||||||||
PHYSIO-CONTROL INTL INC | 9.875% 15/JAN/2019 898,000 | 913,166 | 951,880 | |||||||||
PINNACLE ENTERTAINMENT INC | 6.37% 01/AUG/2021 1,514,000 | 1,529,616 | 1,559,420 | |||||||||
PINNACLE FOODS FINANCE LLC | 4.875% 01/MAY/2021 583,000 | 583,000 | 568,425 | |||||||||
PLASTIPAK HLDGS INC | 6.5% 01/OCT/2021 2,039,000 | 2,116,820 | 2,028,805 | |||||||||
PLAYA RESORTS HLDGS | 8% 15/AUG/2020 2,340,000 | 2,423,238 | 2,334,150 | |||||||||
POLARCUS LTD | 5.125% 01/JUN/2021 413,000 | 413,000 | 411,967 |
(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): | ||||||||||||
PORSCHE FINANCIAL AUTO SEC TR | 0.38% 23/SEP/2016 6,549,757 | 6,549,037 | 6,549,463 | |||||||||
PORSCHE INNOV LEASE OWNER TR | 0.54% 22/JAN/2016 346,218 | 346,294 | 346,286 | |||||||||
POST HLDGS INC | 6% 15/DEC/2022 628,000 | 623,805 | 588,750 | |||||||||
PQ CORP | 8.75% 01/MAY/2018 5,847,000 | 6,026,151 | 6,051,645 | |||||||||
PQ CORP | ZCP 07/AUG/2017 1,002,373 | 998,681 | 982,741 | |||||||||
PRIVATE EXP FUNDING CORP | ZCP 09/JAN/2015 1,200,000 | 1,199,950 | 1,199,978 | |||||||||
PROCTOR GAMBLE | ZCP 08/JAN/2015 8,000,000 | 7,999,860 | 7,999,875 | |||||||||
PROLOGIS | 2.75% 15/FEB/2019 995,000 | 1,018,243 | 1,009,204 | |||||||||
PROVIDENT FDG | 6.75% 15/JUN/2021 2,640,000 | 2,630,383 | 2,560,800 | |||||||||
PROVIDENT FUNDING MTG LOAN TR | 10.125% 15/FEB/2019 320,000 | 351,200 | 336,000 | |||||||||
PSE&G TRANSITION FUNDING | 4.57% 15/JUN/2017 975,408 | 992,581 | 992,997 | |||||||||
PSE&G TRANSITION FUNDING | 6.89% 15/DEC/2017 5,998,397 | 6,242,769 | 6,197,766 | |||||||||
QUALITYTECH LP | 5.875% 01/AUG/2022 792,000 | 786,127 | 795,960 | |||||||||
QUEBECOR MEDIA INC | 5.75% 15/JAN/2023 2,153,000 | 2,153,000 | 2,201,443 | |||||||||
RAAC SER 2007 RP3 TR | VAR 25/OCT/2046 719,928 | 414,704 | 635,962 | |||||||||
RACE PT III CLO LTD | VAR 15/APR/2020 878,407 | 871,819 | 875,393 | |||||||||
RANGE RESOURCES CORP | 5.0% 5/AUG/2022 1,369,000 | 1,369,000 | 1,369,000 | |||||||||
RANGE RESOURCES CORP | 6.75% 01/AUG/2020 250,000 | 263,750 | 260,000 | |||||||||
RECKITT BENCKISER TREA CORP | ZCP 21/APR/2015 2,000,000 | 1,998,116 | 1,998,828 | |||||||||
REGENCY ENERGY PARTNERS LP | 5% 01/OCT/2022 1,509,000 | 1,496,294 | 1,426,005 | |||||||||
REGENCY ENERGY PARTNERS LP | 6.5% 15/JUL/2021 3,025,000 | 3,109,500 | 3,085,500 | |||||||||
REYNOLDS GRP ISSUER INC | 6.875% 15/FEB/2021 750,000 | 720,000 | 782,812 | |||||||||
REYNOLDS GRP ISSUER INC | 8.25% 15/FEB/2021 1,424,000 | 1,409,146 | 1,459,600 | |||||||||
REYNOLDS GRP ISSUER INC | 8.5% 15/MAY/2018 750,000 | 728,437 | 765,000 | |||||||||
REYNOLDS GRP ISSUER INC | 9.875% 15/AUG/2019 657,000 | 677,349 | 696,420 | |||||||||
REYNOLDS GRP ISSUER LLC | 7.88% 15/AUG/2019 2,782,000 | 2,772,166 | 2,931,533 | |||||||||
REYNOLDS GRP ISSUER LLC | 9% 15/APR/2019 250,000 | 246,250 | 258,750 | |||||||||
RITE AID CORP | 7.7% 15/FEB/2027 529,000 | 431,123 | 576,610 | |||||||||
RITE AID CORP | 9.25% 15/MAR/2020 1,005,000 | 1,009,182 | 1,096,706 | |||||||||
RITE AID CORP | 6.75% 15/JUN/2021 680,000 | 680,000 | 702,100 | |||||||||
RITE AID CORP | ZCP 31/DEC/2021 996,000 | 1,008,293 | 1,001,398 | |||||||||
ROYAL BANK OF CANADA | 1.92% 30/JUL/2015 1,140,000 | 1,149,529 | 1,149,536 | |||||||||
ROYAL BANK OF CANADA | VAR 06/JAN/2015 4,450,000 | 4,450,137 | 4,450,036 | |||||||||
ROYAL BANK OF SCOTLAND GRP PLC | VAR 31/DEC/2049 2,800,000 | 732,000 | 3,150,000 | |||||||||
ROYAL BANK OF SCOTLAND GRP PLC | 5.13% 28/MAY/2024 2,209,000 | 2,215,279 | 2,246,975 | |||||||||
ROYAL BANK OF SCOTLAND GRP PLC | VAR 16/MAR/2022 1,155,000 | 1,362,900 | 1,313,293 | |||||||||
RSC EQUIPMENT RENTAL INC | 8.25% 01/FEB/2021 700,000 | 704,375 | 763,000 | |||||||||
RSP PERMIAN INC | 6.625% 01/OCT/2022 500,000 | 502,500 | 465,000 | |||||||||
SALIX PHARMACEUTICALS LTD | 6% 15/JAN/2021 441,000 | 435,370 | 449,820 | |||||||||
SALLY HLDGS LLC/SALLY CAP INC | 5.75% 01/JUN/2022 497,000 | 497,000 | 520,607 | |||||||||
SALLY HLDGS LLC/SALLY CAP INC | 6.88% 15/NOV/2019 469,000 | 472,017 | 498,312 | |||||||||
SANTANDER DRIVE AUTO REC TR | VAR 17/JUL/2017 1,952,617 | 1,953,546 | 1,951,701 | |||||||||
SANTANDER DRIVE AUTO REC TR | 0.54% 15/AUG/2017 933,660 | 932,523 | 933,343 | |||||||||
SBA COMMUNICATIONS | 5.625% 01/OCT/2019 272,000 | 276,760 | 278,120 | |||||||||
SBA TELECOMMUNICATIONS | 5.75% 15/JUL/2020 2,539,000 | 2,589,320 | 2,584,194 | |||||||||
SCHAEFFLER FINANCE | 4.75% 15/MAY/2021 946,000 | 959,007 | 946,000 | |||||||||
SCHAEFFLER FINANCE | 4.25% 15/MAY/2021 1,643,000 | 1,616,275 | 1,601,925 | |||||||||
SCIENTIFIC GAMES INT'L INC | 10.0% 01/DEC/2022 2,860,000 | 2,588,300 | 2,620,475 | |||||||||
SCIENTIFIC GAMES INT'L INC | 7.0% 01/JAN/2022 2,600,000 | 2,632,500 | 2,632,500 | |||||||||
SEALED AIR CORP | 8.38% 15/SEP/2021 1,180,000 | 1,333,400 | 1,318,650 | |||||||||
SEMINOLE TRIBE OF FLORIDA INC | 7.804% 01/OCT/2020 260,000 | 267,475 | 275,600 | |||||||||
SERTA SIMMONS HLDG | 8.125% 01/OCT/2020 2,165,000 | 2,226,750 | 2,289,488 |
(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): | ||||||||||||
SIGNODE INDUSTRIAL GRP | 6.375% 01/MAY/2022 1,957,000 | 1,988,801 | 1,908,075 | |||||||||
SILVER II BORROWER | 7.75% 15/DEC/2020 2,150,000 | 2,242,364 | 2,031,750 | |||||||||
SINOPEC GRP OVERSEAS DEV | VAR 10/APR/2017 1,400,000 | 1,401,274 | 1,401,873 | |||||||||
SKANDIN ENS BANKEN | 0.33% 29/MAY/2015 1,000,000 | 1,000,000 | 1,000,453 | |||||||||
SLM PRIVATE EDUCATION LOAN TR | VAR 16/MAY/2044 175,570 | 183,937 | 185,739 | |||||||||
SLM STUDENT LOAN TR | VAR 15/SEP/2021 54,944 | 76,017 | 66,319 | |||||||||
SLM STUDENT LOAN TR | VAR15/DEC/2023 1,140,485 | 1,523,937 | 1,358,089 | |||||||||
SM ENERGY CO | 6.125% 15/NOV/2022 900,000 | 909,000 | 846,000 | |||||||||
SOLENIS INT'L LP BOND | ZCP 02/JUL/2021 360,098 | 358,297 | 351,455 | |||||||||
SOUTHERN NATURAL GAS CO | 5.9% 01/APR/2017 120,000 | 101,497 | 129,029 | |||||||||
SOUTHERN NATURAL GAS CO | 8% 01/MAR/2032 77,000 | 66,228 | 99,757 | |||||||||
SPECTRUM BRANDS INC | 6.75% 15/MAR/2020 1,173,000 | 1,206,095 | 1,225,785 | |||||||||
SPECTRUM BRANDS INC | 6.38% 15/NOV/2020 2,100,000 | 2,194,985 | 2,189,250 | |||||||||
SPECTRUM BRANDS INC | 6.63% 15/NOV/2022 555,000 | 555,000 | 586,912 | |||||||||
SPRINGLEAF FINANCE CORP | 6.9% 15/DEC/2017 830,000 | 776,429 | 883,950 | |||||||||
SPRINGLEAF FINANCE CORP | 6% 01/JUN/2020 708,000 | 715,915 | 700,920 | |||||||||
SPRINGLEAF FINANCE CORP | 7.75% 01/OCT/2021 1,147,000 | 1,196,328 | 1,284,640 | |||||||||
SPRINGLEAF FINANCE CORP | 8.25% 01/OCT/2023 633,000 | 633,000 | 708,960 | |||||||||
SPRINGS INDUSTRIES INC | 6.25% 01/JUN/2021 1,332,000 | 1,319,995 | 1,325,340 | |||||||||
SPRINT CAPITAL CORP | 6.9% 01/MAY/2019 650,000 | 634,980 | 663,000 | |||||||||
SPRINT CORP | 7.125% 15/JUN/2024 482,000 | 509,344 | 448,260 | |||||||||
SPRINT CORP | 7.25% 15/SEP/2021 470,000 | 470,587 | 465,887 | |||||||||
SPRINT CORP | 7.875% 15/SEP/2023 850,000 | 852,125 | 839,120 | |||||||||
SPRINT NEXTEL CORP | 11.5% 15/NOV/2021 900,000 | 905,625 | 1,082,250 | |||||||||
SPRINT NEXTEL CORP | 7% 15/AUG/2020 1,302,000 | 1,305,255 | 1,302,000 | |||||||||
SPRINT NEXTEL CORP | 8.375% 15/AUG/2017 86,000 | 94,815 | 92,772 | |||||||||
SPRINT NEXTEL CORP | 9% 15/NOV/2018 3,892,000 | 3,950,714 | 4,426,761 | |||||||||
SPRINT NEXTEL CORP | 7.0% 01/MAR/2020 1,646,000 | 1,653,000 | 1,777,680 | |||||||||
SSE PLC | VAR 31/DEC/2049 200,000 | 296,023 | 261,371 | |||||||||
STANDARD CHARTERED BANK | 0.38% 28/MAY/2015 1,700,000 | 1,700,000 | 1,700,624 | |||||||||
STANDARD CHARTERED BANK | 3.85% 27/APR/2015 500,000 | 505,079 | 504,771 | |||||||||
STANDARD PACIFIC CORP | 6.25% 15/DEC/2021 770,000 | 823,900 | 789,250 | |||||||||
STANDARD PACIFIC CORP | 5.875% 15/NOV/2024 400,000 | 405,000 | 400,000 | |||||||||
STHI HLDG | 8.0% 15/MAR/2018 940,000 | 964,150 | 982,300 | |||||||||
SUGAR HSP GMNG PRO | 6.375% 01/JUN/2021 1,192,000 | 1,184,222 | 1,084,720 | |||||||||
SUMITOMO MITSUI BANKING CORP | VAR 13/MAR/2015 1,000,000 | 1,000,571 | 1,000,727 | |||||||||
SUMITOMO MTSU BKG CORP | 0.36% 8/MAY/2015 4,400,000 | 4,400,000 | 4,400,927 | |||||||||
SYNOVUS FINANCIAL | 7.875% 15/FEB/2019 2,015,000 | 2,213,970 | 2,241,688 | |||||||||
TARGA RESOURCES PARTNERS LP | 4.125% 15/NOV/2019 697,000 | 697,000 | 670,862 | |||||||||
TARGA RESOURCES PARTNERS LP | 4.25% 15/NOV/2023 699,000 | 672,529 | 636,090 | |||||||||
TARGA RESOURCES PARTNERS LP | 5.25% 01/MAY/2023 71,000 | 73,840 | 68,515 | |||||||||
TAYLOR MORRISON COMMTS INC | 5.25% 15/APR/2021 1,007,000 | 1,017,035 | 991,895 | |||||||||
TAYLOR MORRISON COMMTS INC | 7.75% 15/APR/2020 619,000 | 663,326 | 656,140 | |||||||||
TAYLOR MORRISON COMMTS INC | 7.75% 15/APR/2020 745,000 | 749,483 | 789,700 | |||||||||
TELECOM ITALIA CAPITAL | 7.175% 18/JUN/2019 1,591,000 | 1,785,839 | 1,821,695 | |||||||||
TELECOM ITALIA CAPITAL | 5.303% 30/MAY/2024 1,487,000 | 1,487,000 | 1,505,588 | |||||||||
TEMPUR SEALY INT'L INC | 6.875% 15/DEC/2020 1,545,000 | 1,626,068 | 1,641,563 | |||||||||
TENET HEALTHCARE CORP | 4.5% 01/APR/2021 1,105,000 | 1,101,063 | 1,107,762 | |||||||||
TENET HEALTHCARE CORP | 4.75% 01/JUN/2020 490,000 | 490,000 | 497,350 | |||||||||
TENET HEALTHCARE CORP | 6.0% 01/OCT/2020 809,000 | 809,000 | 868,728 | |||||||||
TENET HEALTHCARE CORP | 8.125% 01/APR/2022 4,110,000 | 4,318,545 | 4,592,925 | |||||||||
TENNECO INC | 5.375% 15/DEC/2024 861,000 | 864,587 | 882,525 |
(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): | ||||||||||||
TENNESSEE GAS PIPELINE | 8.375% JUN/2032 28,000 | 25,048 | 36,792 | |||||||||
TERWIN MORTGAGE TR | VAR 25/OCT/2037 815,083 | 210,348 | 376,234 | |||||||||
TESORO LOGISTICS LP | 6.25% 15/OCT/2022 2,534,000 | 2,600,245 | 2,527,665 | |||||||||
TIBCO SOFTWARE INC | ZCP 11/NOV/2020 1,300,000 | 1,274,000 | 1,264,250 | |||||||||
T-MOBILE USA INC | 6.375% 01/MAR/2025 620,000 | 625,425 | 629,920 | |||||||||
T-MOBILE USA INC | 6.625% 01/APR/2023 379,000 | 396,055 | 388,096 | |||||||||
T-MOBILE USA INC | 6.63% 28/APR/2021 3,873,000 | 4,007,645 | 3,974,666 | |||||||||
T-MOBILE USA INC | 6.73% 28/APR/2022 1,141,000 | 1,170,270 | 1,175,230 | |||||||||
T-MOBILE USA INC | 6.836% 28/APR/2023 173,000 | 182,515 | 178,622 | |||||||||
TOLL BROTHERS FINANCE CORP | 8.91% 15/OCT/2017 2,100,000 | 2,357,250 | 2,436,000 | |||||||||
TOYOTA AUTO REC OWNER TR | 0.46% 15/JUL/2016 2,967,485 | 2,966,957 | 2,968,070 | |||||||||
TOYOTA AUTO REC OWNER TR | 0.94% 15/NOV/2016 1,917,014 | 1,920,178 | 1,917,875 | |||||||||
TOYOTA AUTO REC OWNER TR | 0.75% 16/FEB/2016 88,111 | 88,217 | 88,155 | |||||||||
TOYOTA AUTO REC OWNER TR | 0.75% 16/FEB/2016 3,013,785 | 3,017,053 | 3,015,273 | |||||||||
TOYOTA AUTO REC OWNER TR | 0.48% 15/FEB/2016 141,859 | 141,924 | 141,877 | |||||||||
TOYOTA MOTOR CREDIT | VAR 08/APR/2015 6,000,000 | 6,001,845 | 6,001,890 | |||||||||
TOYOTA MOTOR CREDIT | ZCP 02/APR/2015 8,000,000 | 7,995,147 | 7,997,104 | |||||||||
TRANSDIGM INC | 6.0% 15/JUL/2022 259,000 | 259,000 | 258,352 | |||||||||
TRANSDIGM INC | 6.5% 15/JUL/2024 708,000 | 708,333 | 711,540 | |||||||||
TRANSDIGM INC | 7.5% 15/JUL/2021 509,000 | 509,000 | 542,085 | |||||||||
U.S. RENAL CARE, INC | ZCP 03/JUL/2019 1,843,274 | 1,822,605 | 1,817,929 | |||||||||
U.S. RENAL CARE, INC | ZCP 03/JAN/2020 550,036 | 541,296 | 547,630 | |||||||||
UBS AG(STAMFORD) | 3.88% 15/JAN/2015 1,900,000 | 1,902,387 | 1,902,008 | |||||||||
UNITED PARCEL SERVICE | ZCP 01/APR/2015 8,000,000 | 7,997,200 | 7,997,149 | |||||||||
UNITED RENTALS NA INC | 6.125% 15/JUN/2023 1,144,000 | 1,204,060 | 1,201,200 | |||||||||
UNITED RENTALS NA INC | 7.375% 15/MAY/2020 979,000 | 979,000 | 1,057,320 | |||||||||
UNITED RENTALS NA INC | 7.625% 15/APR/2022 1,138,000 | 1,138,000 | 1,251,231 | |||||||||
UNITED RENTALS NA INC | 5.75% 15/NOV/2024 1,015,000 | 1,015,000 | 1,045,450 | |||||||||
UNITYMEDIA HESSEN | 5.5% 15/JAN/2023 735,000 | 747,862 | 768,075 | |||||||||
UNITYMEDIA HESSEN | 5.0% 15/JAN/2025 1,300,000 | 1,306,500 | 1,303,250 | |||||||||
UNITYMEDIA KABELBW | 6.125% 15/JAN/2025 1,463,000 | 1,473,250 | 1,510,548 | |||||||||
UNIVISION COMMUNICATIONS INC | 5.125% 15/MAY/2023 1,267,000 | 1,250,945 | 1,279,670 | |||||||||
UNIVISION COMMUNICATIONS INC | 6.75% 15/SEP/2022 675,000 | 694,406 | 722,250 | |||||||||
UNIVISION COMMUNICATIONS INC | 7.875% 01/NOV/2020 857,000 | 896,260 | 912,705 | |||||||||
UNIVISION COMMUNICATIONS INC | 8.5% 15/MAY/2021 1,204,000 | 1,240,917 | 1,282,260 | |||||||||
US BANCORP | 3.15% 04/MAR/2015 4,000,000 | 4,019,737 | 4,019,540 | |||||||||
US COATINGS AC | 7.375% 01/MAY/2021 1,227,000 | 1,241,283 | 1,300,620 | |||||||||
US RENAL CARE INC | ZCP 01/JAN/2020 1,128,000 | 1,105,440 | 1,128,000 | |||||||||
USAA AUTO OWNER TR | 0.43% 15/AUG/2016 3,071,431 | 3,071,935 | 3,071,732 | |||||||||
USAA AUTO OWNER TR | 0.38% 17/OCT/2016 4,592,462 | 4,592,184 | 4,591,374 | |||||||||
USAA CAPITAL CORP | ZCP 08/JAN/2015 8,000,000 | 7,999,844 | 7,999,822 | |||||||||
VALEANT PHARMACTCLS INT'L INC | 5.625% 01/DEC/2021 1,115,000 | 1,129,794 | 1,123,362 | |||||||||
VALEANT PHARMACTCLS INT'L INC | 7.5% 15/JUL/2021 2,000,000 | 2,075,000 | 2,160,000 | |||||||||
VERISIGN INC | 4.625% 01/MAY/2023 1,100,000 | 1,111,000 | 1,078,000 | |||||||||
VIDEOTRON LTEE | 5% 15/JUL/2022 1,899,000 | 1,900,325 | 1,932,233 | |||||||||
VIRGIN MEDIA FINANCE PLC | 6% 15/OCT/2024 1,237,000 | 1,250,168 | 1,294,211 | |||||||||
VOLKSWAGEN AUTO LEASE TR | 0.63% 21/DEC/2015 621,084 | 621,498 | 621,240 | |||||||||
VOLKSWAGEN AUTO LEASE TR | VAR 21/DEC/2015 93,163 | 93,163 | 93,173 | |||||||||
VOLKSWAGEN AUTO LEASE TR | VAR 20/OCT/2016 1,199,229 | 1,199,299 | 1,198,446 | |||||||||
VOLKSWAGEN AUTO LEASE TR | 0.85% 22/AUG/2016 3,757,742 | 3,761,760 | 3,762,352 | |||||||||
VOLKSWAGEN AUTO LEASE TR | 0.46% 20/JAN/2017 3,558,212 | 3,557,472 | 3,557,557 | |||||||||
VPI ESCROW CORP | 6.375% 10/MAR/2021 3,555,000 | 3,755,320 | 3,714,975 |
(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 | COST | CURRENT VALUE | |||||||||
CORPORATE DEBT SECURITIES (CONTINUED): | ||||||||||||
WACHOVIA CAPITAL TR | VAR 31/DEC/2049 628,000 | 370,520 | 606,334 | |||||||||
WAL-MART STORES INC | 2.88% 01/APR/2015 1,474,000 | 1,483,655 | 1,482,440 | |||||||||
WALT DISNEY CO | ZCP 27/MAR/2015 8,000,000 | 7,997,544 | 7,997,325 | |||||||||
WELLS FARGO & CO | 1.5% 01/JUL/2015 5,000,000 | 5,028,834 | 5,026,845 | |||||||||
WELLS FARGO & CO | ZCP 19/FEB/2014 8,000,000 | 7,997,604 | 7,998,404 | |||||||||
WESTPAC BANKING CORP | VAR 25/SEP/2015 3,500,000 | 3,518,024 | 3,518,372 | |||||||||
WHITEWAVE FOODS CO | 5.375% 01/OCT/2022 1,280,000 | 1,308,005 | 1,318,400 | |||||||||
WHITING PETROLEUM CORP | 5.75% 15/MAR/2021 1,863,000 | 1,902,973 | 1,727,933 | |||||||||
WIND ACQUISITION FINANCE SA | 4.75% 15/JUL/2020 2,216,000 | 2,195,361 | 2,071,960 | |||||||||
WIND ACQUISITION FINANCE SA | 6.5% 30/APR/2020 1,488,000 | 1,523,198 | 1,521,480 | |||||||||
WIND ACQUISITION FINANCE SA | 7.375% 23/APR/2021 1,290,000 | 1,290,000 | 1,217,502 | |||||||||
WINDSTREAM CORP | 6.375% 01/AUG/2023 1,536,000 | 1,536,000 | 1,436,160 | |||||||||
WINDSTREAM CORP | 7.875% 01/NOV/2017 875,000 | 934,062 | 947,187 | |||||||||
WORLD OMNI AUTO LEASE SEC TR | 0.73% 16/MAY/2016 2,118,228 | 2,119,818 | 2,120,046 | |||||||||
WORLD OMNI AUTO REC TR | 0.610% 15/JUN/2017 2,707,150 | 2,708,777 | 2,708,103 | |||||||||
WORLD OMNI AUTO REC TR | 0.430% 16/MAY/2016 30,869 | 30,875 | 30,867 | |||||||||
WR GRACE & CO-CONN | 5.125% 01/OCT/2021 493,000 | 493,000 | 505,325 | |||||||||
WR GRACE & CO-CONN | 5.625% 01/OCT/2024 357,000 | 359,775 | 372,172 | |||||||||
ZAYO GRP LLC | 10.125% 01/JUL/2020 393,000 | 393,000 | 442,832 | |||||||||
ZAYO GRP LLC | 8.125% 01/JAN/2020 648,000 | 690,124 | 686,880 | |||||||||
ZEBRA TECHNOLOGIES CORP | 7.25% 15/OCT/2022 1,349,000 | 1,369,810 | 1,416,450 | |||||||||
TOTAL CORPORATE DEBT SECURITIES | 1,141,722,701 | 1,153,429,953 | ||||||||||
U.S. FEDERAL, STATE, LOCAL AND NON-U.S. GOVERNMENT SECURITIES: | ||||||||||||
BUCKEYE OHIO TOB SETTLEMENT | 6.50% 01/JUN/2047 3,400,000 | 2,466,258 | 2,977,006 | |||||||||
BUONI POLIENNALI DEL TES | VAR 15/SEP/2017 900,000 | 1,431,172 | 1,314,464 | |||||||||
DENMARK I/L GOVT BOND | VAR 15/NOV/2023 3,812,184 | 692,354 | 659,973 | |||||||||
FEDERAL HOME LOAN BANKS | 0.5% 20/NOV/2015 1,000,000 | 1,002,616 | 1,001,473 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 18/MAR/2011 8,000,000 | 7,997,889 | 7,999,496 | |||||||||
FEDERAL HOME LOAN BANKS | 0.3% 06/JAN/2016 1,000,000 | 1,000,000 | 999,751 | |||||||||
FEDERAL HOME LOAN BANKS | 0.2% 17/JUL/2015 3,500,000 | 3,500,000 | 3,498,880 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 02/MAR/2015 8,000,000 | 7,998,667 | 7,999,608 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 06/MAR/2015 8,000,000 | 7,998,436 | 7,999,576 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 20/FEB/2015 4,400,000 | 4,399,664 | 4,399,850 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 20/FEB/2015 8,000,000 | 7,999,000 | 7,999,728 | |||||||||
FEDERAL HOME LOAN BANKS | ZCP 28/JAN/2015 6,900,000 | 6,899,793 | 6,899,903 | |||||||||
FEDERAL HOME LOAN MTG CORP | ZCP 12/JAN/2015 6,900,000 | 6,899,852 | 6,899,959 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 6% 18/APR/2036 740,000 | 817,728 | 788,980 | |||||||||
FEDERAL NATIONAL MTG ASSOC | ZCP 08/APR/2011 300,000 | 299,926 | 299,930 | |||||||||
FEDERAL NATIONAL MTG ASSOC | ZCP 16/MAR/2011 8,000,000 | 7,998,356 | 7,999,512 | |||||||||
FEDERAL NATIONAL MTG ASSOC | ZCP 01/FEB/2019 390,000 | 216,934 | 362,549 | |||||||||
FEDERAL NATIONAL MTG ASSOC | ZCP 05/JAN/2015 8,000,000 | 7,999,964 | 7,999,984 | |||||||||
FINANCING CORP | ZCP 05/APR/2019 160,000 | 111,528 | 147,841 | |||||||||
FRANCE (GOVT OF) | VAR 25/JUL/2024 101,117 | 138,356 | 129,568 | |||||||||
FRENCH REPUBLIC | 0.1% 25/JUL/2021 1,817,154 | 2,536,237 | 2,291,762 | |||||||||
FRENCH REPUBLIC | 0.25% 25/JUL/2018 6,706,226 | 9,616,872 | 8,599,571 | |||||||||
GERMANY (FEDERAL REPUBLIC) | VAR 15/APR/2018 10,500,000 | 15,877,865 | 13,874,362 | |||||||||
HELLENIC REPUBLIC BILL | ZCP 06/MAR/2015 100,000 | 130,892 | 120,466 | |||||||||
INTER AMERICAN DEV BANK | 2.25% 15/JUL/2015 2,000,000 | 2,021,671 | 2,020,776 | |||||||||
ITALY (REPUBLIC OF) | 3.1% 15/SEP/2026 100,000 | 136,555 | 153,145 | |||||||||
ITALY (REPUBLIC OF) | 5.0% 01/SEP/2040 400,000 | 612,140 | 640,860 | |||||||||
ITALY (REPUBLIC OF) | VAR 15/SEP/2018 1,000,000 | 1,318,092 | 1,268,100 | |||||||||
ITALY (REPUBLIC OF) | VAR 15/SEP/2041 24,652 | 34,617 | 35,911 |
(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): | ||||||||||||
ITALY (REPUBLIC OF) | VAR 15/SEP/2021 950,910 | 1,310,982 | 1,346,549 | |||||||||
ITALY (REPUBLIC OF) | 5.5% 01/NOV/2022 100,000 | 166,907 | 155,636 | |||||||||
ITALY (REPUBLIC OF) | 2.45% 26/MAR/2016 600,000 | 835,386 | 740,084 | |||||||||
ITALY (REPUBLIC OF) | 2.55% 22/OCT/2016 1,998,864 | 2,844,972 | 2,489,980 | |||||||||
ITALY (REPUBLIC OF) | 2.35% 15/SEP/2024 2,816,151 | 4,035,485 | 3,809,626 | |||||||||
ITALY (REPUBLIC OF) | 2.25% 22/APR/2017 999,744 | 1,425,377 | 1,244,413 | |||||||||
KINGDOM OF SPAIN | 3.8% 30/APR/2024 1,800,000 | 2,591,067 | 2,608,448 | |||||||||
KINGDOM OF SPAIN | 4.0% 06/MAR/2018 2,800,000 | 3,004,400 | 2,945,908 | |||||||||
MEXICO (UNITED MEXICAN STATES) | 4.0% 15/NOV/2040 1,500,000 | 635,513 | 608,351 | |||||||||
MEXICO (UNITED MEXICAN STATES) | 4.5% 22/NOV/2035 1,540,000 | 689,921 | 664,616 | |||||||||
MEXICO (UNITED MEXICAN STATES) | 4.0% 08/NOV/2046 37,293,189 | 3,056,194 | 2,906,084 | |||||||||
NEW SOUTH WALES TREAS CORP | 2.5% 20/NOV/2035 900,000 | 1,047,233 | 1,076,387 | |||||||||
PROVINCE OF ONTARIO CANADA | 3.45% 02/JUN/2045 1,500,000 | 1,326,854 | 1,338,040 | |||||||||
RESOLUTION FUNDING CORP | ZCP 15/OCT/2019 400,000 | 356,070 | 363,716 | |||||||||
RUSSIAN FEDERATION | ZCP 31/MAR/2030 163,500 | 182,711 | 169,550 | |||||||||
RUSSIAN FEDERATION | ZCP 31/MAR/2030 753,500 | 836,385 | 781,380 | |||||||||
SLOVENIA (REPUBLIC OF) | 4.12% 18/FEB/2019 800,000 | 834,000 | 838,016 | |||||||||
SLOVENIA (REPUBLIC OF) | 4.75% 10/MAR/2018 700,000 | 751,625 | 749,000 | |||||||||
SLOVENIA (REPUBLIC OF) | 4.75% 10/MAY/2018 700,000 | 738,500 | 749,000 | |||||||||
SPAIN (KINGDOM OF) | 5.4% 31/JAN/2023 2,200,000 | 3,645,785 | 3,486,307 | |||||||||
TENNESSEE VALLEY AUTHORITY | 7.12% 01/MAY/2030 942,000 | 1,321,014 | 1,395,853 | |||||||||
U.K. OF GRT BRTN & NORTHRN IRELND | 0.12% 22/MAR/2058 0,005 | 9 | 11 | |||||||||
U.S. OF AMER TREAS | 2.0% 15/JAN/2016 4,293,000 | 5,352,569 | 5,211,855 | |||||||||
U.S. OF AMER TREAS | 1.37% 31/JUL/2018 1,300,000 | 1,298,953 | 1,301,321 | |||||||||
U.S. OF AMER TREAS BILL | ZCP 02/JAN/2015 7,000,000 | 6,999,999 | 7,000,000 | |||||||||
U.S. OF AMER TREAS BILL | ZCP 08/JAN/2015 14,000,000 | 13,999,982 | 13,999,972 | |||||||||
U.S. OF AMER TREAS BOND | 2.12% 15/FEB/2041 100,000 | 141,456 | 141,569 | |||||||||
U.S. OF AMER TREAS BOND | 3.37% 15/MAY/2044 1,000,000 | 1,033,442 | 1,125,781 | |||||||||
U.S. OF AMER TREAS BOND | 2.5% 15/JAN/2029 1,600,000 | 2,099,318 | 2,195,765 | |||||||||
U.S. OF AMER TREAS BOND | 2.125% 15/FEB/2040 1,700,000 | 2,402,542 | 2,420,924 | |||||||||
U.S. OF AMER TREAS BOND | 1.375% 15/FEB/2044 8,600,000 | 9,544,881 | 9,916,929 | |||||||||
U.S. OF AMER TREAS BOND | 3.625% 15/APR/2028 5,300,000 | 11,082,245 | 10,694,595 | |||||||||
U.S. OF AMER TREAS BOND | 2.0% 15/JAN/2026 12,200,000 | 16,952,798 | 16,725,783 | |||||||||
U.S. OF AMER TREAS BOND | 3.125% 15/AUG/2044 15,800,000 | 16,644,314 | 17,009,680 | |||||||||
U.S. OF AMER TREAS BOND | 3.875% 15/APR/2029 8,600,000 | 18,129,955 | 17,779,005 | |||||||||
U.S. OF AMER TREAS BOND | 1.75% 15/JAN/2028 13,550,000 | 17,473,884 | 17,387,057 | |||||||||
U.S. OF AMER TREAS BOND | VAR 15/FEB/2042 600,000 | 677,589 | 612,635 | |||||||||
U.S. OF AMER TREAS NOTES | 2.37% 15/JAN/2025 8,800,000 | 13,184,030 | 13,015,107 | |||||||||
U.S. OF AMER TREAS NOTES | 1.87% 15/JUL/2015 2,555,000 | 3,180,294 | 3,128,814 | |||||||||
U.S. OF AMER TREAS NOTES | 1.37% 15/JAN/2020 8,450,000 | 10,037,652 | 9,738,998 | |||||||||
U.S. OF AMER TREAS NOTES | 2.37% 15/JAN/2027 1,000,000 | 1,548,099 | 1,409,180 | |||||||||
U.S. OF AMER TREAS NOTES | 2.37% 15/JAN/2027 15,300,000 | 21,576,617 | 21,560,461 | |||||||||
U.S. OF AMER TREAS NOTES | 1.0% 15/DEC/2017 500,000 | 500,000 | 498,828 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/JAN/2023 600,000 | 645,036 | 596,834 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/APR/2019 700,000 | 725,825 | 701,545 | |||||||||
U.S. OF AMER TREAS NOTES | 0.25% 31/DEC/2015 1,000,000 | 999,926 | 999,844 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/APR/2018 1,400,000 | 1,447,479 | 1,432,715 | |||||||||
U.S. OF AMER TREAS NOTES | 0.375% 15/JUL/2023 2,000,000 | 2,008,998 | 2,017,563 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/JAN/2023 2,200,000 | 2,181,191 | 2,188,393 | |||||||||
U.S. OF AMER TREAS NOTES | 2.0% 30/NOV/2020 2,500,000 | 2,493,262 | 2,521,875 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/JUL/2024 3,200,000 | 3,123,246 | 3,081,842 |
(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 | 2.125% 31/JAN/2021 3,100,000 | 3,075,363 | 3,146,500 | |||||||||
U.S. OF AMER TREAS NOTES | 0.5% 15/APR/2015 4,500,000 | 4,964,715 | 4,866,320 | |||||||||
U.S. OF AMER TREAS NOTES | 0.375% 15/JUL/2023 7,100,000 | 7,088,328 | 7,162,348 | |||||||||
U.S. OF AMER TREAS NOTES | 2.25% 15/NOV/2024 8,325,000 | 8,416,381 | 8,380,936 | |||||||||
U.S. OF AMER TREAS NOTES | 1.125% 15/JAN/2021 7,600,000 | 8,146,560 | 8,569,965 | |||||||||
U.S. OF AMER TREAS NOTES | 0.25% 15/JAN/2015 10,200,000 | 10,200,874 | 10,200,000 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/APR/2019 11,900,000 | 12,111,953 | 11,926,260 | |||||||||
U.S. OF AMER TREAS NOTES | 1.875% 15/JUL/2019 10,400,000 | 12,771,035 | 12,413,285 | |||||||||
U.S. OF AMER TREAS NOTES | 1.125% 15/JAN/2021 11,900,000 | 13,533,652 | 13,418,762 | |||||||||
U.S. OF AMER TREAS NOTES | 0.25% 31/JAN/2015 17,000,000 | 17,003,213 | 17,001,989 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/JAN/2022 23,450,000 | 24,268,633 | 23,929,151 | |||||||||
U.S. OF AMER TREAS NOTES | 0.62% 15/JUL/2021 25,150,000 | 27,209,286 | 26,830,059 | |||||||||
U.S. OF AMER TREAS NOTES | 1.62% 30/APR/2019 59,000,000 | 59,081,508 | 59,202,842 | |||||||||
U.S. OF AMER TREAS NOTES | 2.25%31/JUL/2018 600,000 | 624,002 | 619,265 | |||||||||
U.S. OF AMER TREAS NOTES | 1.25% 15/JUL/2020 1,400,000 | 1,598,097 | 1,599,821 | |||||||||
U.S. OF AMER TREAS NOTES | 0.25%31/MAR/2015 17,000,000 | 17,008,537 | 17,005,984 | |||||||||
U.S. OF AMER TREAS NOTES | 1,25% 15/JUL/2020 13,300,000 | 15,521,153 | 15,198,300 | |||||||||
U.S. OF AMER TREAS NOTES | 1.375% 15/JUL/2018 1,399,500 | 1,652,400 | 1,614,139 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/JUL/2022 3,900,000 | 4,186,621 | 3,923,516 | |||||||||
U.S. OF AMER TREAS NOTES | 0.125% 15/JUL/2022 28,400,000 | 28,932,680 | 28,571,244 | |||||||||
WISCNSN HSG & ECONOMIC DEV AUTH | VAR 01/SEP/2026 3,200,000 | 3,200,000 | 3,200,000 | |||||||||
TOTAL U.S. FEDERAL, STATE, LOCAL AND NON-U.S. GOVERNMENT | 609,870,397 | 603,045,495 | ||||||||||
SECURITIES | ||||||||||||
MORTGAGE-BACKED SECURITIES: | ||||||||||||
ALTERNATIVE LOAN TR | FLT 20/DEC/2046 1,021,460 | 604,194 | 774,135 | |||||||||
BANC OF AMERICA COMM MTG TR | 5.38% 10/JUN/2049 3,300,000 | 3,816,656 | 3,560,598 | |||||||||
BANC OF AMERICA FUNDING TR | VAR 25/APR/2037 295,340 | 224,456 | 253,982 | |||||||||
BANC OF AMERICA FUNDING TR | FLT 20/MAY/2036 531,494 | 349,210 | 499,897 | |||||||||
BANC OF AMERICA MTG TR | VAR 25/FEB/2035 212,290 | 159,749 | 207,439 | |||||||||
BCRR TR | VAR 17/AUG/2045 5,184,061 | 4,432,372 | 5,515,690 | |||||||||
* | BEAR STEARNS | FLT 25/MAR/2035 49,552 | 48,611 | 50,055 | ||||||||
* | BEAR STEARNS | VAR 25/AUG/2035 25,611 | 25,005 | 25,756 | ||||||||
CITIGROUP MTG LOAN TR | FLT 25/SEP/2037 347,444 | 241,950 | 309,534 | |||||||||
CITIGROUP MTG LOAN TR | FLT 25/SEP/2035 19,566 | 18,833 | 19,575 | |||||||||
CITIGROUP MTG LOAN TR | FLT 25/SEP/2035 22,655 | 22,272 | 22,585 | |||||||||
CITIGROUP MTG LOAN TR | FLT 25/OCT/2035 753,943 | 446,437 | 576,555 | |||||||||
COMM MTG | 6.75% 20/JUN/2031 81,987 | 76,060 | 82,891 | |||||||||
CVS PASS-THROUGH TR | 6.04% 10/DEC/2028 702,014 | 516,450 | 818,622 | |||||||||
FEDERAL HOME LOAN MTG CORP | VAR 01/SEP/2037 47,717 | 49,165 | 50,827 | |||||||||
FEDERAL HOME LOAN MTG CORP | VAR 01/JAN/2037 666,864 | 691,579 | 722,755 | |||||||||
FEDERAL HOME LOAN MTG CORP | 4% 01/SEP/2039 16,752 | 17,343 | 17,878 | |||||||||
FEDERAL HOME LOAN MTG CORP | 4% 01/AUG/2043 31,904 | 33,031 | 34,122 | |||||||||
FEDERAL HOME LOAN MTG CORP | 4% 01/SEP/2043 916,517 | 948,882 | 980,362 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 8% 01/AUG/2015 0,176 | 186 | 178 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 8% 01/SEP/2015 0,295 | 306 | 297 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 7% 01/DEC/2027 0,935 | 996 | 938 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 9% 01/NOV/2021 1,247 | 1,337 | 1,264 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 8% 01/AUG/2015 1,345 | 1,419 | 1,357 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.5% 01/MAY/2043 172,815 | 164,336 | 168,962 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.5% 01/JUL/2043 178,239 | 169,494 | 174,268 |
(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): | ||||||||||||
FEDERAL NATIONAL MTG ASSOC | 2.5% 01/OCT/2042 181,004 | 172,123 | 176,974 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.5% 01/MAY/2043 193,042 | 183,571 | 188,736 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.5% 01/DEC/2042 623,857 | 593,249 | 609,950 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.5% 01/JUL/2043 638,922 | 607,575 | 624,733 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3% 01/MAY/2043 1,843,697 | 1,798,756 | 1,868,837 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3% 01/SEP/2043 3,900,530 | 3,748,165 | 3,950,999 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% 25/JAN/2045 5,000,000 | 5,031,250 | 5,045,215 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 2.50% 25/JAN/2045 2,000,000 | 1,945,938 | 1,953,594 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 4.0% 25/JAN/2045 1,300,000 | 1,381,398 | 1,387,430 | |||||||||
FEDERAL NATIONAL MTG ASSOC | 3.00% DEC/2049 9,000,000 | 8,979,007 | 9,104,067 | |||||||||
GOVT NATIONAL MTG ASSOC | VAR 20/MAY/2037 116,974 | 115,201 | 117,240 | |||||||||
GOVT NATIONAL MTG ASSOC | VAR 20/MAR/2037 277,961 | 273,748 | 278,619 | |||||||||
GOVT NATIONAL MTG ASSOC | 7.5% 15/MAR/2029 6,544 | 6,963 | 7,931 | |||||||||
GOVT NATIONAL MTG ASSOC | 2.5% 15/APR/2043 81,200 | 78,916 | 80,279 | |||||||||
GOVT NATIONAL MTG ASSOC | 2.5% 15/MAR/2043 357,480 | 347,426 | 353,419 | |||||||||
GOVT NATIONAL MTG ASSOC | 2.5% 15/JUN/2043 561,320 | 545,533 | 554,950 | |||||||||
GOVT NATIONAL MTG ASSOC | 3.00% 15/JAN/2045 11,000,000 | 11,221,172 | 11,248,875 | |||||||||
HARBORVIEW MTG LOAN TR | FLT 25/FEB/2036 305,227 | 158,909 | 243,745 | |||||||||
INDUS ECLIPSE07-1 FRN | VAR 25/JAN/2020 179,271 | 246,791 | 274,916 | |||||||||
INDYMAC INDA | VAR 25/NOV/2037 233,882 | 152,106 | 222,430 | |||||||||
MASTR ADJ RATE MTGS TR | FLT 25/JAN/2036 433,009 | 332,915 | 432,144 | |||||||||
MERRILL LYNCH/CW COMM MTG | 5.70% 12/SEP/2049 100,000 | 72,375 | 108,147 | |||||||||
ML-CFC COMM MTG | VAR 12/JUN/2050 4,290,000 | 2,805,355 | 4,632,664 | |||||||||
MORGAN STANLEY CAPITAL I | VAR 11/JUN/2049 77,362 | 61,856 | 84,116 | |||||||||
MORGAN STANLEY MTG LOAN TR | FLT 25/AUG/2034 249,529 | 129,504 | 245,420 | |||||||||
MORGAN STANLEY MTG LOAN TR | FLT 25/JUL/2035 883,273 | 543,899 | 815,547 | |||||||||
MORGAN STANLEY MTG LOAN TR | FLT 25/JUN/2037 488,836 | 235,825 | 327,744 | |||||||||
MORGAN STANLEY MTG LOAN TR | VAR 25/JUN/2036 1,056,525 | 853,969 | 1,050,429 | |||||||||
RALI SERIES | FLT 25/DEC/2035 1,463,074 | 827,630 | 1,223,971 | |||||||||
RALI SERIES | FLT 25/JUN/2046 205,242 | 170,719 | 91,842 | |||||||||
RBSGC MTG LOAN TR | VAR 25/JAN/2037 664,527 | 260,013 | 460,717 | |||||||||
RBSSP RESECURITIZATION TR | FLT 26/JUL/2045 929,840 | 910,663 | 936,905 | |||||||||
STRUCTURED ADJ RATE MTG LOAN TR | VAR JAN/2035 700,027 | 438,352 | 694,978 | |||||||||
STRUCTURED ADJ RATE MTG LOAN TR | FLT 25/MAY/2036 562,921 | 313,754 | 423,682 | |||||||||
THORNBURG MTG SECURITIES TR | FLT 25/SEP/2037 431,869 | 328,813 | 427,064 | |||||||||
THORNBURG MTG SECURITIES TR | FLT 25/SEP/2037 175,234 | 175,672 | 180,959 | |||||||||
THORNBURG MTG SECURITIES TR | FLT 25/SEP/2037 353,973 | 277,468 | 365,538 | |||||||||
UBS-BARCLAYS COMM MTG TR | VAR 10/MAR/2046 7,912,085 | 540,957 | 528,068 | |||||||||
WACHOVIA BANK COMM MTG | 4.94% 15/APR/2042 315,379 | 240,761 | 315,662 | |||||||||
WACHOVIA BANK COMM MTG | VAR 15/OCT/2048 87,754 | 62,323 | 92,744 | |||||||||
WELLS FARGO | FLT 25/OCT/2035 1,283,568 | 1,120,916 | 1,283,764 | |||||||||
WELLS FARGO | FLT 25/OCT/2035 396,739 | 364,752 | 398,090 | |||||||||
WELLS FARGO | FLT 25/APR/2036 138,993 | 107,462 | 135,838 | |||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 61,824,079 | 68,419,494 | ||||||||||
DERIVATIVES RECEIVABLE: | ||||||||||||
BOND FVH5 COMDTY FUTR LONG | VM EX: 31/MAR/2015 SIZE 100,000 | — | 2,254 | |||||||||
BOND FVH5 COMDTY FUTR LONG | FUTR LONG EX: 31/MAR/2015 | 2,254 | (2,254 | ) | ||||||||
US LONG BOND (CBT) FUTR LONG | VM EX: 20/MAR/2015 SIZE 100,000 | — | 4,128 | |||||||||
US LONG BOND (CBT) FUTR LONG | FUTR LONG EX: 20/MAR/2015 | 4,128 | (4,128 | ) | ||||||||
US ULTRA BOND (CBT) FUTR LONG | VM EX: 20/DEC/2015 SIZE 100,000 | — | 217,022 | |||||||||
US ULTRA BOND (CBT) FUTR LONG | FUTR LONG EX: 20/DEC/2015 | 217,022 | (217,022 | ) | ||||||||
US 10YR NOTE (CBT) FUTR LONG | VM EX: 20/MAR/2015 SIZE 100,000 | — | 30,699 |
(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): | ||||||||||||
US 10YR NOTE (CBT) FUTR LONG | FUTR LONG EX: 15/JUNE/2015 | 30,699 | (30,699 | ) | ||||||||
FWD CURENCY CONTRACTS - AUD | AUD RATE 1.2220 | — | 52,726 | |||||||||
FWD CURENCY CONTRACTS - BRL | BRL RATE 2.6582 | — | 19,154 | |||||||||
FWD CURENCY CONTRACTS - BRL | BRL RATE 2.7953 | — | 24,656 | |||||||||
FWD CURENCY CONTRACTS - DKK | DKK RATE 6.1514 | — | 17,664 | |||||||||
FWD CURENCY CONTRACTS - EUR | EUR RATE 0.8264 | — | 1,622,490 | |||||||||
FWD CURENCY CONTRACTS - EUR | EUR RATE 0.8264 | — | 55,347 | |||||||||
FWD CURENCY CONTRACTS - EUR | EUR RATE 0.8264 | — | 22,463 | |||||||||
FWD CURENCY CONTRACTS - EUR | EUR RATE 0.8261 | — | 360,305 | |||||||||
FWD CURENCY CONTRACTS - GBP | GBP RATE 0.6415 | — | 758 | |||||||||
FWD CURENCY CONTRACTS - GBP | GBP RATE 0.6415 | — | 910 | |||||||||
FWD CURENCY CONTRACTS - JPY | JPY RATE 119.9263 | — | 477 | |||||||||
FWD CURENCY CONTRACTS - JPY | JPY RATE 119.8950 | — | 24,086 | |||||||||
FWD CURENCY CONTRACTS - KRW | KRW RATE 1108.0000 | — | 5,738 | |||||||||
FWD CURENCY CONTRACTS - KRW | KRW RATE 1101.9029 | — | 9,063 | |||||||||
FWD CURENCY CONTRACTS - KRW | KRW RATE 1101.9029 | — | 2,567 | |||||||||
FWD CURENCY CONTRACTS - KRW | KRW RATE 1101.9030 | — | 113 | |||||||||
FWD CURENCY CONTRACTS - MXN | MXN RATE 14.7684 | — | 51,292 | |||||||||
FWD CURENCY CONTRACTS - MXN | MXN RATE 14.7684 | — | 54,446 | |||||||||
FWD CURENCY CONTRACTS - MXN | MXN RATE 14.7684 | — | 33,080 | |||||||||
FWD CURENCY CONTRACTS - MXN | MXN RATE 14.7684 | — | 47,050 | |||||||||
FWD CURENCY CONTRACTS - MXN | MXN RATE 14.7684 | — | 114,114 | |||||||||
FWD CURENCY CONTRACTS - MXN | MXN RATE 14.7684 | — | 12,470 | |||||||||
FWD CURENCY CONTRACTS - MYR | MYR RATE 3.5115 | — | 110,429 | |||||||||
GENERAL MOTORS CO C/WTS | 2,998 SHARES | 40,293 | 51,356 | |||||||||
GENERAL MOTORS CO C/WTS | 2,998 SHARES | 55,046 | 75,729 | |||||||||
CDS - CHINA | EX 20/JUN/2019 700,000 | — | 8,480 | |||||||||
CDS - CHINA | EX 20/DEC/2019 800,000 | — | 6,825 | |||||||||
CDS - EMIABD | EX 20/MAR/2016 3,000,000 | — | 27,519 | |||||||||
CDS - GS | EX 20/DEC/2018 100,000 | — | 1,221 | |||||||||
CDS - QATAR | EX 20/MAR/2016 2,000,000 | — | 15,285 | |||||||||
CDS - QATAR | EX 20/MAR/2016 1,600,000 | — | 12,228 | |||||||||
CDS - SPAIN | EX 20/SEP/2019 400,000 | — | 3,956 | |||||||||
CDS - SPAIN | EX 20/SEP/2019 500,000 | — | 4,945 | |||||||||
CDS - ITALY | EX 20/SEP/2017 2,800,000 | — | 16,398 | |||||||||
CDS - ITALY | EX 20/SEP/2017 1,500,000 | — | 8,784 | |||||||||
CDS - CDX.NA.IG.23 | EX 20/DEC/2019 8,800,000 | — | 141,405 | |||||||||
CDS - ITRAXX EUROPE | EX 20/DEC/2019 1,400,000 | — | 30,611 | |||||||||
CDS - ITRAXX EUROPE | EX 20/DEC/2019 1,400,000 | — | 30,611 | |||||||||
CDS - ITRAXX EUROPE | EX 20/DEC/2019 1,300,000 | — | 28,425 | |||||||||
CDS - ITRAXX EUROPE | EX 20/DEC/2019 1,400,000 | — | 30,611 | |||||||||
CDS - ITRAXX EUROPE | EX 20/DEC/2019 1,000,000 | — | 21,865 | |||||||||
CDS - ITRAXX EUROPE | EX 20/DEC/2019 100,000 | — | 2,187 | |||||||||
CDI - CDX.NA.IG.23 | EX 20/DEC/2019 11,600,000 | — | 186,398 | |||||||||
CDI - CDX.NA.IG.23 | EX 20/DEC/2019 2,300,000 | — | 36,958 | |||||||||
CDI - CDX.NA.IG.23 | EX 20/DEC/2019 4,500,000 | — | 72,310 | |||||||||
CDI - CDX.NA.IG.23 | EX 20/DEC/2019 1,500,000 | — | 24,103 | |||||||||
CDI - CDX.NA.IG.23 | EX 20/DEC/2019 31,700,000 | — | 509,381 | |||||||||
CDI - CDX.NA.IG.23 | EX 20/DEC/2019 2,200,000 | — | 35,351 | |||||||||
CDI - CDX.NA.IG.23 | EX 20/DEC/2019 3,000,000 | — | 48,206 | |||||||||
CDI - CDX.NA.IG.23 | EX 20/DEC/2019 1,800,000 | — | 28,924 | |||||||||
IRS - BBR | EX 18/JUN/2019 1,100,000 | — | 51,830 |
(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 - RPI UKRP | EX 15/DEC/2024 300,000 | — | 3,919 | |||||||||
INFLATION SWAP - RPI UKRP | EX 08/DEC/2024 1,300,000 | — | 26,195 | |||||||||
INFLATION SWAP - RPI UKRP | EX 15/DEC/2044 400,000 | — | 8,468 | |||||||||
INFLATION SWAP - RPI UKRP | EX 15/OCT/2044 600,000 | — | 32,135 | |||||||||
INFLATION SWAP - RPI UKRP | EX 15/OCT/2044 300,000 | — | 16,067 | |||||||||
INFLATION SWAP - RPI UKRP | EX 15/OCT/2044 200,000 | — | 10,712 | |||||||||
INFLATION SWAP - RPI UKRP | EX 15/OCT/2044 100,000 | — | 5,356 | |||||||||
INFLATION SWAP - RPI UKRP | EX 15/DEC/2044 200,000 | — | 12,718 | |||||||||
INFLATION SWAP - RPI UKRP | EX 11/DEC/2044 200,000 | — | 18,382 | |||||||||
INFLATION SWAP - RPI UKRP | EX 15/NOV/2044 100,000 | — | 9,349 | |||||||||
INFLATION SWAP - USCPI | EX 15/APR/2016 8,500,000 | — | 85,886 | |||||||||
INFLATION SWAP - USCPI | EX 15/APR/2017 1,600,000 | — | 10,433 | |||||||||
INFLATION SWAP - USCPI | EX 15/JUL/2017 8,800,000 | — | 35,431 | |||||||||
INFLATION SWAP - USCPI | EX 15/JUL/2017 3,100,000 | — | 12,482 | |||||||||
SWAPTION - SOP | CALL SCTY EX 08/28/2015 1 | 104,000 | 117,144 | |||||||||
SWAPTION - SOP | CALL SCTY EX 08/28/2015 1 | 132,399 | 152,333 | |||||||||
SWAPTION - SOP | CALL SCTY EX 12/01/2015 1 | 92,206 | 95,386 | |||||||||
SWAPTION - SOP | CALL SCTY EX 12/16/2015 1 | 280,000 | 22,115 | |||||||||
SWAPTION - SOP | PUT SCTY EX 04/25/2016 1 | 323,000 | 50,420 | |||||||||
SWAPTION - SOP | PUT SCTY EX 06/17/2015 1 | 26,370 | 25,852 | |||||||||
SWAPTION - SOP | PUT SCTY EX 06/17/2015 1 | 27,835 | 25,852 | |||||||||
SWAPTION - SOP | PUT SCTY EX 08/17/2017 1 | 156,410 | 71,014 | |||||||||
SWAPTION - SOP | PUT SCTY EX 08/17/2017 1 | 64,240 | 31,248 | |||||||||
SWAPTION - SOP | PUT SCTY EX 09/21/2015 1 | 159,417 | 19,852 | |||||||||
SWAPTION - SOP | PUT SCTY EX 03/20/2015 1 | 78,883 | 44,993 | |||||||||
SWAPTION - SOP | PUT SCTY EX 12/11/2017 1 | 32,500 | 240,261 | |||||||||
TOTAL DERIVATIVES RECEIVABLE | 1,826,702 | 5,337,303 | ||||||||||
MONEY MARKET FUNDS AND OTHER: | ||||||||||||
BLACKROCK DOMICILED MM FD | 12 SHARES | 12 | 12 | |||||||||
* | JPM US GOV’T/MMKT FD CAP’L SH'S | 264,622,977 SHARES | 264,622,977 | 264,622,977 | ||||||||
LBI OPEN POSITION NET/MM FD | 155,861 SHARES | — | 65,851 | |||||||||
REPO CITIGROUP GLOBAL MRKTS INC | 13,700,000 SHARES | 13,700,000 | 13,700,000 | |||||||||
* | REPO JPM CHASE BK | 31,500,000 SHARES | 31,500,000 | 31,500,000 | ||||||||
REPO MORGAN STANLEY & CO. INC | 5,200,000 SHARES | 10,400,000 | 10,400,000 | |||||||||
TRUST RECEIPT MISC INC | 1 SHARE | — | 1 | |||||||||
TOTAL OTHER | 320,222,989 | 320,288,841 | ||||||||||
SUBTOTAL INVESTMENTS | 15,538,844,469 | 20,337,454,154 | ||||||||||
* | NOTES RECEIVABLE FROM PARTICIPANTS | INT RATE: 3.25 - 9.50% | N/A | 501,820,216 | ||||||||
TOTAL INVESTMENTS | $ | 15,538,844,469 | $ | 20,839,274,370 |
* | 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: | ||||||||||||
ITALY (REPUBLIC OF) | 4.75% SEMI-ANN 09/15/2016 300,000 | $ | (446,984 | ) | $ | 436,165 | ||||||
ITALY (REPUBLIC OF) | 5.25% SEMI-ANN 08/01/2017 200,000 | (306,212 | ) | 309,387 | ||||||||
KINGDOM OF SPAIN | 2.75% ANNUAL 04/30/2019 700,000 | (1,003,405 | ) | 1,023,375 | ||||||||
MEXICO(UNITED MEXICAN STATES) | 7.75% SEMI-ANN 05/29/2031 35,000,000 | (2,923,930 | ) | 3,080,163 | ||||||||
UK OF GREAT BRITAIN AND NORT | SEMI-ANN ZCP 03/22/2024 700,000 | (1,230,673 | ) | 1,251,215 | ||||||||
DERIVATIVES: | ||||||||||||
EUR-BUND OPTION | EX 05/23/2014 SIZE 100,000 | — | 4,400 | |||||||||
PEUGEOT SA EQUITY WRT | 29/APR/2017 EUR 117,732 | — | 182,447 | |||||||||
US 10 YR US TREASURY NOTE | EX 06/20/2014 100,000 | 50,970 | (196,568 | ) | ||||||||
US 5 YR US TREASURY NOTE | EX 05/23/2014 100,000 | 24,651 | (22 | ) | ||||||||
EURO-BUND OPTION | EX 06/27/2014 SIZE 100,000 | — | 6,146 | |||||||||
EURO-BUND OPTION | EX 06/27/2014 SIZE 100,000 | — | 8,871 | |||||||||
EURO-BUND OPTION | EX 06/27/2014 SIZE 100,000 | — | 16,847 | |||||||||
EURO-BUND OPTION | EX 10/24/2014 SIZE 100,000 | — | 4,633 | |||||||||
EURO-BUND OPTION | EX 10/24/2014 SIZE 100,000 | — | 5,075 | |||||||||
EURO-BUND OPTION | EX 09/26/2014 SIZE 100,000 | — | 8,997 | |||||||||
SWAPTION - SOP | EX 10/29/2014 1 | (55,342 | ) | 28,146 | ||||||||
SWAPTION - SOP | EX 11/10/2014 1 | (51,513 | ) | — | ||||||||
SWAPTION - SOP | EX 05/11/2015 1 | (206,400 | ) | 16,122 | ||||||||
BOND USZ4 COMDTY | EX 12/19/2014 SIZE 100,000 | — | 68,771 | |||||||||
BOND WNZ4 COMDTY | EX 12/19/2014 SIZE 100,000 | — | 43,455 | |||||||||
BOND USU4 COMDTY | EX 09/19/2014 SIZE 100,000 | — | 25,404 | |||||||||
BOND FVZ4 COMDTY | EX 12/31/2014 SIZE 100,000 | — | 86,344 | |||||||||
EURO-BUND FUTURE BOND | EX 06/06/2014 SIZE 100,000 | — | (3,272 | ) | ||||||||
EURO-BUND FUTURE BOND | EX 06/06/2014 SIZE 100,000 | — | (173,107 | ) | ||||||||
EURO-BUND FUTURE BOND | EX 12/08/2014 SIZE 100,000 | — | (48,825 | ) | ||||||||
EURO-BUND FUTURE BOND | EX 09/08/2014 SIZE 100,000 | — | 36,298 | |||||||||
US 10YR NOTE (CBT) BOND | EX 12/19/2014 SIZE 100,000 | — | 167,194 | |||||||||
US 10YR NOTE (CBT) BOND | EX 12/19/2014 SIZE 100,000 | — | (32,733 | ) | ||||||||
US 10YR NOTE (CBT) BOND | EX 06/19/2014 SIZE 100,000 | — | 14,604 | |||||||||
US 10YR NOTE (CBT) BOND | EX 06/19/2014 SIZE 100,000 | — | (84,379 | ) | ||||||||
US 10YR NOTE (CBT) BOND | EX 09/19/2014 SIZE 100,000 | — | 69,878 | |||||||||
US 10YR NOTE (CBT) BOND | EX 09/19/2014 SIZE 100,000 | — | (43,389 | ) | ||||||||
US 5YR NOTE (CBT) BOND | EX 06/30/2014 SIZE 100,000 | — | 97,116 | |||||||||
US 5YR NOTE (CBT) FUTR | EX 09/30/2014 SIZE 100,000 | — | (31,297 | ) | ||||||||
USD IRS 10YR PRIM SWAP | EX 12/15/2014 SIZE 1,000 | — | (117,874 | ) | ||||||||
USD IRS 10YR PRIM SWAP | EX 09/15/2014 SIZE 1,000 | — | (93,248 | ) | ||||||||
USD IRS 10YR PRIM SWAP | EX 06/16/2014 SIZE 1,000 | — | (109,326 | ) | ||||||||
USD IRS 10YR PRIM SWAP | EX 12/15/2014 SIZE 1,000 | — | (32,495 | ) | ||||||||
USD IRS 10YR PRIM SWAP | EX 09/15/2014 SIZE 1,000 | — | (39,946 | ) | ||||||||
USD IRS 10YR PRIM SWAP | EX 06/16/2014 SIZE 1,000 | — | (38,681 | ) |
(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): | ||||||||||||
CREDIT DEFLT SWAP INDEX OP | CALL SCTY EX 06/18/2014 1 | 1,110 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 06/18/2014 1 | 2,005 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 09/17/2014 1 | 1,518 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 09/17/2014 1 | 6,407 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 10/15/2014 1 | 15,805 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 07/16/2014 1 | 867 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 6,134 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | CALL SCTY EX 08/20/2014 1 | 7,000 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 6,927 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 2,850 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 2,320 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 2,190 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 815 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 10/15/2014 1 | 7,440 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 3,290 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 3,100 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 2,200 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 278 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 1,125 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 2,138 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 11/19/2014 1 | 5,945 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 11/19/2014 1 | 5,180 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | CALL SCTY EX 11/19/2014 1 | 3,330 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 1,292 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 09/17/2014 1 | 2,699 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 09/17/2014 1 | 926 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 394 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 1,200 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 675 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 400 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 12/17/2014 1 | 600 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 09/17/2014 1 | 36,465 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 06/18/2014 1 | 1,263 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 06/18/2014 1 | 8,670 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 06/18/2014 1 | 3,226 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 06/18/2014 1 | 538 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 09/17/2014 1 | 1,400 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 06/18/2014 1 | 1,279 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 06/18/2014 1 | 1,331 | — | |||||||||
CREDIT DEFLT SWAP INDEX OP | PUT SCTY EX 06/18/2014 1 | 670 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 10/16/2014 1 | 2,547 | (220 | ) | ||||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 10/16/2014 1 | 6,807 | (745 | ) |
(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): | ||||||||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 12/15/2014 1 | 14,262 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 12/03/2014 1 | 13,946 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 12/15/2014 1 | 53,212 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/25/2014 1 | 31,674 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/10/2014 1 | 16,392 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/11/2014 1 | 12,766 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/05/2014 1 | 4,179 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/26/2014 1 | 3,375 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/26/2014 1 | 6,268 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/11/2014 1 | 12,616 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/12/2014 1 | 12,063 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/19/2014 1 | 5,554 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | CALL SCTY EX 06/19/2014 1 | 7,078 | — | |||||||||
FOREIGN EXCHANGE OPTION - FX | PUT SCTY EX 06/05/2014 1 | 7,628 | — | |||||||||
MORTGAGE OPTION | CALL SCTY EX 05/05/2014 1 | 38,672 | — | |||||||||
SWAPTION - SOP | CALL SCTY EX 12/15/2014 1 | 194 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 09/03/2014 1 | 13,072 | (2,052 | ) | ||||||||
SWAPTION - SOP | PUT SCTY EX 11/10/2014 1 | 51,513 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 10/29/2014 1 | 55,700 | (22,111 | ) | ||||||||
SWAPTION - SOP | PUT SCTY EX 12/15/2014 1 | 414 | — | |||||||||
SWAPTION - SOP | CALL SCTY EX 03/03/2014 1 | 9,458 | — | |||||||||
SWAPTION - SOP | CALL SCTY EX 12/02/2014 1 | 5,600 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 03/16/2015 1 | 11,200 | (8,225 | ) | ||||||||
SWAPTION - SOP | PUT SCTY EX 03/16/2015 1 | 27,023 | (18,283 | ) | ||||||||
SWAPTION - SOP | PUT SCTY EX 12/02/2014 1 | 8,960 | (70 | ) | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/28/2014 1 | 38,340 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 10/20/2014 1 | 6,769 | — | |||||||||
SWAPTION - SOP | CALL SCTY EX 11/17/2014 1 | 2,540 | — | |||||||||
SWAPTION - SOP | CALL SCTY EX 11/17/2014 1 | 8,400 | — | |||||||||
SWAPTION - SOP | CALL SCTY EX 11/13/2014 1 | 8,505 | — | |||||||||
SWAPTION - SOP | CALL SCTY EX 10/03/2014 1 | 3,430 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 11/17/2014 1 | 2,720 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 11/17/2014 1 | 13,440 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 11/28/2014 1 | 8,120 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 12/17/2014 1 | 2,185 | — | |||||||||
SWAPTION - SOP | PUT SCTY EX 11/13/2014 1 | 10,710 | (315 | ) | ||||||||
SWAPTION - SOP | PUT SCTY EX 05/11/2015 1 | 206,933 | (21,064 | ) | ||||||||
SWAPTION - SOP | PUT SCTY EX 07/28/2014 1 | 151,240 | — | |||||||||
VSPRGAGE OPTION | PUT SCTY EX 05/05/2014 1 | 52,852 | — | |||||||||
US 10 YEAR US TREAS NOTES | PUT SCTY EX 06/20/2014 100,000 | 44,166 | (1,629 | ) | ||||||||
SECURITIES SOLD SHORT: | ||||||||||||
TBA FNMA 30YR | 4.000% 12/25/2045 9,000,000 | 9,521,875 | (9,587,227 | ) | ||||||||
NOMURA SECURITIES INTL INC | 172,000 SHARES | 172,000 | (172,000 | ) | ||||||||
TBA FGLMC 30YR | 5.500% 12/15/2045 1,000,000 | 1,112,891 | (1,121,563 | ) |
(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 (CONTINUED): | ||||||||||||
TBA FNMA 30YR | 4.000% 01/25/2045 10,000,000 | 10,592,969 | (10,633,750 | ) | ||||||||
TBA FNMA 30YR | 3.500% 12/25/2045 9,000,000 | 9,271,328 | (9,343,828 | ) | ||||||||
TBA FNMA 30YR | 4.000% 10/25/2045 20,000,000 | 21,055,078 | (21,112,500 | ) | ||||||||
TBA FNMA 30YR | 4.000% 11/25/2045 15,000,000 | 15,797,656 | (15,912,109 | ) | ||||||||
TBA FNMA 30YR | 4.000% 06/25/2045 24,000,000 | 25,421,328 | (25,405,703 | ) | ||||||||
TBA FNMA 30YR | 4.000% 07/25/2045 15,000,000 | 15,836,719 | (15,907,617 | ) | ||||||||
TBA FNMA 30YR | 4.000% 08/25/2045 15,000,000 | 15,860,156 | (15,867,188 | ) | ||||||||
TBA FNMA 30YR | 4.000% 09/25/2045 15,000,000 | 15,822,656 | (15,838,867 | ) | ||||||||
TBA FNMA 30YR | 6.000% 12/25/2045 1,500,000 | 1,686,328 | (1,702,031 | ) | ||||||||
TBA FNMA 30YR | 3.500% 01/25/2045 11,000,000 | 11,410,748 | (11,435,059 | ) |
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 25, 2015 |
Exhibit No. | Description of Exhibit | Page at which located | |||
23 | Consent of Independent Registered Public Accounting Firm | 54 |