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Boeing Co – ‘11-K’ for 12/31/19

On:  Tuesday, 6/16/20, at 3:25pm ET   ·   For:  12/31/19   ·   Accession #:  12927-20-60   ·   File #:  1-00442

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Annual Report by an Employee Stock Purchase, Savings or Similar Plan   —   Form 11-K
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‘11-K’   —   Annual Report by an Employee Stock Purchase, Savings or Similar Plan
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SECURITIES AND EXCHANGE COMMISSION
Washington, D. C. 20549
FORM 11-K
ANNUAL REPORT
Pursuant to Section 15 (d) of the
Securities Exchange Act of 1934
For the fiscal year ended December 31, 2019
Commission File No. 1-442
THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
THE BOEING COMPANY
100 N. Riverside Plaza
Chicago, Illinois 60606-1596

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The Boeing Company
Voluntary Investment Plan
Employer ID No: 91-0425694
Plan Number: 002
Financial Statements as of December 31, 2019 and 2018 and for the Year Ended December 31, 2019, Supplemental Schedule as of December 31, 2019, and Report of Independent Registered Public Accounting Firm


Table of Contents

THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
TABLE OF CONTENTS 
 
  
Page
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
  
1
FINANCIAL STATEMENTS:
  
 
Statements of Net Assets Available for Benefits as of December 31, 2019 and 2018
  
2
Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2019
  
3
Notes to Financial Statements as of December 31, 2019 and 2018 and for the Year Ended December 31, 2019
  
4
SUPPLEMENTAL SCHEDULE:
  
 
Form 5500, Schedule H, Line 4(i) - Schedule of Assets (Held at End of Year) as of December 31, 2019
  
19
SIGNATURE
 
219
 
 
 
NOTE: All other schedules required by Section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 have been omitted because they are not applicable.
  
 

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

Opinion on the Financial Statements

We have audited the accompanying statements of net assets available for benefits of The Boeing Company Voluntary Investment Plan (the "Plan") as of December 31, 2019 and 2018, the related statement of changes in net assets available for benefits for the year ended December 31, 2019, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2019 and 2018, and the changes in net assets available for benefits for the year ended December 31, 2019, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Plan's management. Our responsibility is to express an opinion on the Plan's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Plan in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

Report on Supplemental Schedule

The supplemental schedule listed in the table of contents has been subjected to audit procedures performed in conjunction with the audit of the financial statements. The supplemental schedule is the responsibility of the Plan’s management. Our audit procedures included determining whether the supplemental schedule reconciles to the 2019 financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedule. In forming our opinion on the supplemental schedule, we evaluated whether the supplemental schedule, including the form and content, are presented in compliance with the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, such supplemental schedule is fairly stated, in all material respects, in relation to the financial statements as a whole.

/s/ DELOITTE & TOUCHE LLP
Chicago, Illinois
June 16, 2020

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


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2019 AND 2018
(Dollars in millions)
 
2019

 
2018

ASSETS:
 
 
 
 
Investments — interest in Master Trust
 
$
66,426

 
$
57,963

 
 
 
 
 
Receivables:
 
 
 
 
Notes receivable from participants
 
746

 
735

 
 


 


NET ASSETS AVAILABLE FOR BENEFITS
 
$
67,172

 
$
58,698

See notes to financial statements.

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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
FOR THE YEAR ENDED DECEMBER 31, 2019
(Dollars in millions)
 
ADDITIONS:
 
Net Master Trust activity
$
9,074

Interest income from notes receivable from participants
32

Contributions:
 
Employer
1,470

Participant
2,116

Total contributions
3,586

Total additions
12,692

DEDUCTIONS — Benefits paid
4,218

NET ADDITIONS
8,474

 
 
NET ASSETS AVAILABLE FOR BENEFITS:
 
Beginning of year
58,698

End of year
$
67,172

See notes to financial statements.


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 AND 2018 AND FOR THE YEAR ENDED DECEMBER 31, 2019
(Dollars in millions)
1.
DESCRIPTION OF PLAN
The following description of The Boeing Company Voluntary Investment Plan (the “VIP” or the “Plan”) provides only general information. Participants, as defined by the Plan, (“Members”) should refer to the plan document for a more complete description of the Plan’s provisions.
General — The Plan is a defined contribution plan intended to qualify under the Internal Revenue Code (“IRC”) as a profit sharing plan with a cash or deferred arrangement and employee stock ownership plan component, and is designed to provide Members with a means of making regular savings for their retirement. An eligible employee of The Boeing Company (the “Company” or “Boeing”) or one of its adopting subsidiaries becomes eligible to participate on the first day of employment.
The Plan includes an auto-enrollment provision for newly-eligible employees unless they affirmatively elect not to participate in the Plan. Automatically enrolled Members have their deferral rate set at a percentage of eligible compensation as defined in the plan document and their contributions are invested in a qualified default investment alternative (“QDIA”) until changed by the Members. The current QDIA for the Plan is the applicable custom target date funds.
The assets of the Plan, excluding notes receivable from participants, are held in The Boeing Company Employee Savings Plans Master Trust (the “Master Trust”). The Northern Trust Company (“NT”) serves as trustee for the Master Trust. The Employee Benefit Plans Committee oversees the operation and administration of the Plan. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”), as amended.
Contributions — Members may elect to contribute to the Plan a percentage of their eligible compensation on a pretax, after-tax, Roth, or a combination of those contribution types, as defined in the plan document and subject to statutory limitations. Members who have attained age 50 before the end of the plan year are eligible to make catch-up contributions, as defined in the plan document and subject to statutory limits. Catch-up contributions are ineligible for an employer-matching contribution. The Plan also accepts certain rollover contributions.
Under the terms of the Plan, Boeing makes employer-matching and Company contributions for eligible Members. Members should refer to the plan document for details.
Members may elect to change their contribution percentages. These changes are effective the next pay period after the request is received, or as soon as administratively possible thereafter. The allocation of both Members’ contributions and employer contributions to the funds may be changed at any time and become effective on the day of the change or the next business day, according to the time of the request for a change in relation to the stock market close of business.
Members’ Accounts — Individual accounts are maintained for each Member. Each Member’s account is credited with the Member’s contributions, employer-matching contributions, Company contributions, and allocations of Plan earnings (losses) from the funds in which the account is invested, and charged with an allocation of certain administrative and investment-related expenses, and Member-specific charges, if applicable. Allocations are based on Member earnings or account balances, as defined by the plan document. The benefit to which a Member is entitled is the benefit that can be provided from the Member’s account.
Investment Funds — Upon enrollment in the Plan, Members may direct the investment of their contributions and any employer contributions to the investment funds offered under the Plan. These investment funds consisted of common/collective trusts, separately managed U.S. equity accounts, separately managed non-U.S. equity accounts, a separately managed fixed-income account, custom target date funds, a stable value fund (composed of synthetic-guaranteed investment contracts (“synthetic GICs”)), and Boeing common stock, which is the Boeing Stock Fund, as of December 31, 2019 and 2018. Members may elect that dividends received with respect to their investments in the Boeing Stock Fund be distributed to them in cash or reinvested in the Boeing Stock Fund (a

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dividend payout program). Investment funds are valued daily and Members may elect to change their investment allocations on a daily basis.
Vesting — Member contributions, employer-matching contributions, Company contributions, and earnings on those contributions are immediately vested.
Withdrawals — Members may elect to withdraw all or a portion of their accounts, at any time on or after the day the Member attains age 59 1/2. If a Member is under age 59 1/2, withdrawals from his or her accounts are subject to restrictions for certain accounts and certain hardship rules as provided by the Plan. If a Member takes a hardship withdrawal, the Member may continue contributions to the Plan; however, employer-matching contributions will be suspended for six months following the hardship withdrawal.
In addition, a Member may elect to withdraw all or part of his or her employer-matching contribution account before the Member attains age 59 1/2, but only if the Member has attained his or her fifth anniversary of employment. If such a withdrawal is made, employer-matching contributions will be suspended for six months following the withdrawal. Company contributions may be fully withdrawn upon termination of employment. Withdrawals of after-tax contributions and rollover contributions can be made at any time. Qualified reservist distributions, active military leave distributions and withdrawals upon disability are also available to eligible Members.
In the event of illness or injury and if eligible Members have used all of their regular sick leave benefits, the eligible Members may elect to withdraw, subject to Plan requirements, all or a portion of their salary continuation balance, if applicable.
Notes Receivable from Participants — Members may borrow from their fund accounts a minimum of one thousand dollars up to a maximum equal to the lesser of fifty thousand dollars or 50% of their account balance (subject to restrictions for certain accounts and minus any current outstanding loan balance), reduced by the highest outstanding loan balance under all of the Company’s savings plans during the last 12 months. Members may have a maximum of two loans outstanding under the Plan at any time. Loans may be additionally limited in accordance with the Plan provisions and/or loan policies and procedures. The interest rate on new loans is set every month and is equal to the prime rate published in the Wall Street Journal as of the last business day of the calendar month immediately preceding the date of the loan. Interest rates on outstanding loans ranged from 3.25% to 9.50% at December 31, 2019, with loans maturing at various dates through January 2040.
Loan repayments are made through regular payroll deductions for a period of up to 60 months for general loans and over a longer period for loans used to finance the purchase of a principal residence. If a Member’s employment terminates for any reason, and the loan balances are not paid in full by the termination date, the Member may continue to make monthly loan repayments until the loan is scheduled to be paid off. A loan will generally be subject to default if a payment has not been made for 90 days, an outstanding loan balance remains 30 days after the scheduled payoff date, or the Member takes a full distribution of his or her net account balance before the loan is paid off. If the loan defaults, the loan balance will become taxable income to the Member.
Benefit Payments — Upon termination of service, a Member may elect to receive a lump-sum amount equal to the full value of the Member’s vested interest in his or her account; a partial payment amount; or monthly, quarterly, semiannual, or annual installments of a fixed dollar amount or for a specific number of years, up to 10 years. Generally, a Member may also elect to have all or a portion of his or her Boeing Stock Fund balance paid in shares and/or cash. A Member also has the option to elect to apply all or a part of his or her account toward the purchase of an annuity contract with payments for a specified number of years, from a provider made available by the Plan administrator in accordance with the procedures established by the Plan administrator. If a Member makes no election, annual distributions of the required minimum amount will generally begin after age 70 ½, in accordance with applicable Plan provisions. Notwithstanding the foregoing, following a Member’s termination of service, if his or her account balance is one thousand dollars or less, it will automatically be paid out to the Member in accordance with applicable Plan provisions.


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

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TBAs are included in the underlying assets associated with the synthetic GICs, other receivables, and other liabilities on the Master Trust’s statements of net assets.
•
Mutual funds, which are registered investment companies, are valued at the daily closing price as reported by the fund. Funds held by the Master Trust are open-ended funds that are registered with the Securities and Exchange Commission. These funds are required to publish their daily NAV and to transact at that price.
•
Short-term investments include certificates of deposits, commercial paper, treasury bills, and discounted notes with original maturities greater than three months, but less than one year. These investments are primarily valued using a market approach in the same manner as fixed-income securities referenced above.
•
Other investments include over-the-counter (“OTC”) derivatives, such as options and swap contracts. These derivatives are valued using a market approach and are based upon the expected amount that the Master Trust would receive or pay to exit the derivative at the reporting date. The valuation methodology relies on inputs, including, but not limited to, benchmark yields, swap curves, cash flow analysis, ratings updates, and interdealer broker rates. Credit risk of the derivative counterparties is offset by collateralizing the expected amount that the Master Trust would receive or pay to terminate the derivative.
In accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services - Investment Companies, the synthetic GICs are included at contract value in participant-directed investments in the statements of net assets available for benefits. Contract value is the amount Members would receive if they were to initiate permitted transactions under the terms of the Plan and the terms of the synthetic GICs. The statement of changes in net assets available for benefits is presented on a contract-value basis.
Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Net appreciation/depreciation of investments includes both realized and unrealized gains or losses and is calculated as the difference between the fair value of the investments as of the beginning of the plan year or the purchase date in the current year and either the sales price or the end-of-year fair value.
Cash and Cash Equivalents — Cash and cash equivalents include certificates of deposits, commercial paper, treasury bills, discounted notes with original maturities of three months or less, cash and cash collateral. Cash collateral is related to the collateral posted on derivatives. In the event that an instrument with an original maturity of less than three months does not have a market price, then those investments are valued at amortized cost, which approximates fair value.
Valuation Oversight — Plan management has implemented processes that are designed to ensure that fair value measurements used by the Master Trust are appropriate and reliable, that they are based on observable inputs wherever possible, and that the valuation approaches are consistently applied and the assumptions used are reasonable. The valuation framework has a set of processes that provides for oversight and validation of the fair value methodologies as well as valuations.
The Board of Directors of the Company has delegated the fiduciary oversight of plan assets over various retirement plans held within the Master Trust structures to the Employee Benefit Investment Committee (“EBIC”). The EBIC has sub-delegated this responsibility to the Chief Investment Officer (“CIO”), who manages Trust Investments and chairs the Valuation Committee. Trust Investments is responsible for the oversight of the Plan assets including selection and monitoring of investment managers, asset strategies, and risk management. The Valuation Committee is responsible for the oversight of the valuation practices of the Master Trust and is represented by members of Trust Investments including Risk Management and Trust Operations, Public Markets, and Investment Strategy. The Valuation Committee meets periodically with the purpose of fulfilling the following responsibilities and provides an annual review to the EBIC of its findings and actions:
•
Review and approve annually the valuation practices, including those used by third parties

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•
Review and approve the year-end valuations, including the methods used to develop and substantiate the unobservable inputs used in the fair value measurement
•
Review analysis and benchmarks used by the Company and the Master Trust to assess the reasonableness of the year-end valuations and changes in fair value measurements from period to period
•
Review and approve annual financial statement disclosures of the investments held in the Master Trust
Common/collective trust funds are generally valued using the NAV or its equivalent. Valuations provided by the funds are reviewed at least quarterly. The asset managers’ audited financial statements are used in the Master Trust's annual financial reporting process, where applicable. Assessments of reasonableness include regular asset manager meetings and review of quarterly reports, third-party reviews and reconciliations, which includes escalation to Trust Investments for exceptions, quarterly CIO investment reviews, and reviews of manager valuation policies. Valuation policies are reviewed when a new mandate is entered into with an asset manager, on a rolling three-year basis for existing managers, or as changes to policies are provided by managers.
Fixed income, equity, and derivative instruments are generally valued using valuations obtained from pricing vendors. Pricing vendor valuation methodologies and custodian pricing controls and related documentation are assessed for reasonableness on an annual basis. The pricing vendor due diligence process includes reviews of pricing controls and procedures, as well as discussions in order to maintain a current understanding of the valuation processes and related assumptions and inputs that may be used by the vendors to price instruments. The custodian due diligence process includes reviews of pricing controls and procedures that are carried out on the Master Trust's behalf. This includes various levels of tolerances checks on price changes, review of stale or unchanged prices, multi-price source comparisons, and vendor price challenges. Additionally, on a monthly basis, the custodian reconciles its valuations to valuations obtained from each investment manager and any exceptions are reported to Trust Investments for resolution, which may include escalation to the Valuation Committee.
Benefits — Benefits are recorded when paid.
Expenses — Necessary and proper expenses of the Plan are paid from the Plan assets at the Master Trust level, except for those expenses the Company is required by law or chooses to pay. Expenses are paid at the Master Trust level, deducted from income earned and therefore are recorded as a reduction of investment return and are not separately reflected in the Plan’s statement of changes in net assets available for benefits.
Notes Receivable from Participants — Notes receivable from participants are measured at the unpaid principal balance, plus any accrued but unpaid interest. Delinquent Member loans are recorded as distributions based on the terms of the plan document.
Recently Adopted Accounting Guidance — During 2019, the Plan adopted Accounting Standards Update (ASU) No. 2018-13, Fair Value Measurement (Topic 820) Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”), which modifies certain disclosure requirements of ASC 820, Fair Value Measurement. As a result of the adoption of ASU 2018-13, the Plan primarily removed and modified certain transfers between levels of the fair value hierarchy and Level 3 fair value disclosures. The standard was adopted retrospectively. The adoption of this ASU did not have an impact on the Plan’s statements of net assets available for benefits or changes in net assets available for benefits.
3.
SYNTHETIC GUARANTEED INVESTMENT CONTRACTS
The Master Trust includes the VIP Stable Value Fund (“VIP SVF”), which is managed by GSAM Stable Value, LLC (“GSAM”). The VIP SVF holds synthetic GICs.
A synthetic GIC, also known as a wrap contract, is an investment contract issued by an insurance company or other financial institution, backed by diversified fixed income and cash portfolios that are owned by the VIP SVF. These contracts provide that realized and unrealized gains and losses on the underlying assets are not reflected immediately in the net assets of the VIP SVF, but rather are amortized, over the duration of the underlying assets or other agreed upon period, through adjustments to the future crediting rate. Primary variables impacting the future crediting rate of the VIP SVF include the crediting rates of the various wrap contracts, broader market

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interest rates, the current yield and historical investment performance of the underlying assets, the duration of the underlying assets covered by the wrap contracts, the existing difference between the market value of the VIP SVF’s investment portfolios and the associated wrap contract book value, the timing and amount of participant contributions and withdrawals made to or from the VIP SVF, the percentage of the VIP SVF invested in cash, and VIP SVF expenses, among other factors. The issuer guarantees (subject to the terms, conditions and exceptions in the wrap contracts) that all qualified participant withdrawals will occur at contract value (or book value), which represents contributions made under the contract, plus credited interest, less withdrawals made under the contract, and less administrative expenses.
The synthetic GICs are included in the Master Trust’s statements of net assets, as discussed in Note 2, at contract value. There are no reserves against contract value for credit risk of the contract issuers. The fixed-income securities underlying the contracts are valued based on the valuation methodology stated in Note 2.
The assets underlying the synthetic GICs are owned by the VIP SVF, which is part of the Master Trust. NT is the custodian for the Master Trust assets. The underlying assets of the synthetic GICs are invested in diversified fixed income and cash portfolios managed by BlackRock Financial Management, Voya Investment Management Co., J.P. Morgan Investment Management (“JPM”), Pacific Investment Management Company, PGIM (the global investment management business of Prudential Financial), and Western Asset Management Co. In addition to the diversified fixed income portfolios, GSAM oversees an allocation to a cash component, which is invested in a separately managed account, managed by JPM.
The wrap providers are each contractually obligated to pay the principal and specified crediting rate that is guaranteed to the VIP SVF, subject to the terms, conditions and exceptions of each wrap contract. The respective crediting rates are each based on a formula agreed upon with each wrap contract issuer; each contract provides an interest rate floor of 0%. Such contract crediting rates are reset on a monthly basis while the crediting rate for the VIP SVF is reset on a daily basis.
Certain events, including but not limited to a Plan termination or a Plan merger outside the Master Trust initiated by the Company, could limit the ability of the VIP SVF to transact at contract value or may allow for the termination of the wrap contract at less than contract value. The Company does not believe that any events are probable that could limit the ability of the VIP SVF to transact at contract value.
4.
MASTER TRUST
The Master Trust assets are invested and records are maintained by each investment fund option. Funds are allocated to the participating plans in accordance with the Plan provisions and Member allocation elections. The allocation of net assets is based on the respective number of units held by the plans’ Members as of year-end. The allocation of the changes in net assets is calculated daily based on the units held by the plans’ Members as of that day’s end.
The Plan’s interest in the Master Trust represented 100% of the Master Trust’s net assets at December 31, 2019 and 2018.
Although the Plan is the only participating plan in the Master Trust as of December 31, 2019, the Company intends to keep the Master Trust for potential future acquired plans and file a Form 5500 as a master trust.


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The Master Trust’s statements of net assets as of December 31, 2019 and 2018, are as follows:
 
 
2019

 
2018

ASSETS:
 
 
 
 
Investments — at fair value:
 
 
 
 
Common/collective trusts
 
$
35,811

 
$
27,877

Common and preferred stock
 
5,519

 
4,359

Government and agency securities
 
487

 
545

Corporate bonds
 
595

 
583

Mortgage and asset-backed securities
 
288

 
231

Boeing common stock
 
10,005

 
10,801

Mutual funds
 
179

 
78

Short-term investments
 
21

 
58

Other investments
 
6

 
14

Total investments — at fair value
 
52,911

 
44,546

Investments — at contract value:
 
 
 
 
Synthetic GICs/VIP SVF
 
13,531

 
13,541

Total Master Trust investments
 
66,442

 
58,087

Cash and cash equivalents
 
32

 
40

Receivables:
 
 
 
 
Receivables for securities sold
 
24

 
50

Accrued investment income
 
21

 
24

Other
 
10

 
11

Total receivables
 
55

 
85

Total assets
 
66,529

 
58,212

 
 
 
 
 
LIABILITIES:
 
 
 
 
Payables for securities purchased
 
57

 
184

Accrued investment and administration expenses
 
24

 
22

Other
 
22

 
43

Total liabilities
 
103

 
249

NET ASSETS
 
$
66,426

 
$
57,963


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The statement of changes in net assets for the Master Trust for the year ended December 31, 2019 is as follows:
Net appreciation of investments
$
8,314

Interest income
464

Dividend income
379

Investment income
843

Net investment income
9,157

Amounts received from participating plans
3,930

Deductions:
 
Amounts paid to participating plans
4,541

Investment and administration expenses
83

Total deductions
4,624

 
 
Increase in net assets
8,463

Beginning of year
57,963

End of year
$
66,426

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

11
Table of Contents

The following tables set forth by level within the fair value hierarchy a summary of Master Trust investments by general types of assets and liabilities measured at fair value on a recurring basis as of December 31, 2019 and 2018. As required by ASC 820, assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
 
 
Quoted Prices
in Active Market
for Identical
Asset
(Level 1)

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Not Leveled*

 
Balance as of December 31, 2019

Investments:
 
 
 
 
 
 
 
 
 
 
Investments in the fair value hierarchy:
 
 
 
 
 
 
 
 
 
 
Common and preferred stock
 
$
5,518

 
$
—

 
$
1

 
$
—

 
$
5,519

Government and agency securities
 
—

 
487

 
—

 
—

 
487

Corporate bonds
 
—

 
595

 
—

 
—

 
595

Mortgage and asset-backed securities
 
—

 
262

 
26

 
—

 
288

Boeing common stock
 
10,005

 
—

 
—

 
—

 
10,005

Mutual funds
 
179

 
—

 
—

 
—

 
179

Short-term investments
 
—

 
20

 
1

 
—

 
21

Other investments
 
—

 
6

 
—

 
—

 
6

Total investments in the fair value hierarchy
 
15,702

 
1,370

 
28

 
—

 
17,100

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

 
—

 
—

 
35,811

 
35,811

Total investments — at fair value
 
15,702

 
1,370

 
28

 
35,811

 
52,911

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

 
—

 
—

 
13,531

 
13,531

Cash and cash equivalents
 
—

 
—

 
—

 
32

 
32

Receivables:
 
 
 
 
 
 
 
 
 
 
Receivables for securities sold
 
—

 
—

 
—

 
24

 
24

Accrued investment income
 
—

 
—

 
—

 
21

 
21

Other
 
2

 
8

 
—

 
—

 
10

Total receivables
 
2

 
8

 
—

 
45

 
55

Total assets
 
15,704

 
1,378

 
28

 
49,419

 
66,529

 
 
 
 
 
 
 
 
 
 


Investment liabilities:
 
 
 
 
 
 
 
 
 
 
Payables for securities purchased
 
—

 
—

 
—

 
57

 
57

Accrued investment and administration expenses
 
—

 
—

 
—

 
24

 
24

Other
 
2

 
11

 
—

 
9

 
22

Total liabilities
 
2

 
11

 
—

 
90

 
103

 
 
 
 
 
 
 
 
 
 
 
NET ASSETS
 
$
15,702

 
$
1,367

 
$
28

 
$
49,329

 
$
66,426


12
Table of Contents

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

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Not Leveled*

 
Balance as of December 31, 2018

Investments:
 
 
 
 
 
 
 
 
 
 
Investments in the fair value hierarchy:
 
 
 
 
 
 
 
 
 
 
Common and preferred stock
 
$
4,359

 
$
—

 
$
—

 
$
—

 
$
4,359

Government and agency securities
 
—

 
541

 
4

 
—

 
545

Corporate bonds
 
—

 
583

 
—

 
—

 
583

Mortgage and asset-backed securities
 
—

 
211

 
20

 
—

 
231

Boeing common stock
 
10,801

 
—

 
—

 
—

 
10,801

Mutual funds
 
78

 
—

 
—

 
—

 
78

Short-term investments
 
—

 
58

 
—

 
—

 
58

Other investments
 
—

 
14

 
—

 
—

 
14

Total investments in the fair value hierarchy
 
15,238

 
1,407

 
24

 
—

 
16,669

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

 
—

 
—

 
27,877

 
27,877

Total investments — at fair value
 
15,238

 
1,407

 
24

 
27,877

 
44,546

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

 
—

 
—

 
13,541

 
13,541

Cash and cash equivalents
 
—

 
—

 
—

 
40

 
40

Receivables:
 
 
 
 
 
 
 
 
 
 
Receivables for securities sold
 
—

 
—

 
—

 
50

 
50

Accrued investment income
 
—

 
—

 
—

 
24

 
24

Other
 
2

 
9

 
—

 
—

 
11

Total receivables
 
2

 
9

 
—

 
74

 
85

Total assets
 
15,240

 
1,416

 
24

 
41,532

 
58,212

 
 
 
 
 
 
 
 
 
 
 
Investment liabilities:
 
 
 
 
 
 
 
 
 
 
Payables for securities purchased
 
—

 
—

 
—

 
184

 
184

Accrued investment and administration expenses
 
—

 
—

 
—

 
22

 
22

Other
 
2

 
23

 
—

 
18

 
43

Total liabilities
 
2

 
23

 
—

 
224

 
249

 
 
 
 
 
 
 
 
 
 
 
NET ASSETS
 
$
15,238

 
$
1,393

 
$
24

 
$
41,308

 
$
57,963

*The amounts not leveled are related to investments using NAV as a practical expedient to estimate fair value, investments measured at contract value, and non-investment assets and liabilities. The amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Master Trust’s statements of net assets.
Master Trust net assets at fair value classified within Level 3 consisted of common and preferred stock, government and agency securities, mortgage and asset-backed securities, and short-term investments. Such amounts were 0.04% of the Master Trust’s net assets as of December 31, 2019 and 2018.
Level 3 Transfers — The availability of observable market data is monitored to assess the appropriate classification of financial instruments within the fair value hierarchy. Changes in economic conditions or model-based valuation techniques may require the transfer of financial instruments from one fair value level to another. The significance of transfers between levels is evaluated based upon the nature of the financial instrument and size of the transfer relative to net assets. There were no significant transfers into or out of Level 3 for the years ended December 31, 2019 and 2018.


13
Table of Contents

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

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

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

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

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

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

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

14
Table of Contents

As of December 31, 2019 and 2018, the Master Trust has invested in derivative contracts which are reflected on the Master Trust’s statements of net assets, as discussed in Note 4, as follows:
 
Interest Rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

December 31, 2019
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
Synthetic GICs/VIP SVF*
 
 
 
 
 
 
 
TBAs
$
—

$
—

$
—

$
—

$
—

$
1

$
1

Futures
1

—

—

—

—

—

1

Other investments:






 
Options
—

—

—

—

—

—

—

Swaps
3

1

—

1

1

—

6

Other receivables:







Forward contracts
—

—

8

—

—

—

8

Futures
1

—

—

1

—

—

2

TBAs
—

—

—

—

—

—

—

Total assets
$
5

$
1

$
8

$
2

$
1

$
1

$
18

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

$
—

$
—

$
—

$
—

$
—

$
—

Other liabilities:
 
 
 
 
 
 
 
Forward contracts
—

—

6

—

—

—

6

Futures
1

—

—

1

—

—

2

Options
—

—

—

—

—

—

—

Swaps
4

1

—

—

—

—

5

Total liabilities
$
5

$
1

$
6

$
1

$
—

$
—

$
13

 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
Synthetic GICs/VIP SVF*
 
 
 
 
 
 

TBAs
$
—

$
—

$
—

$
—

$
—

$
10

$
10

Futures
2

—

—

—

—

—

2

Other investments:






 
Options
4

—

—

—

—

—

4

Swaps
9

—

—

1

—

—

10

Other receivables:







Forward contracts
—

—

6

—

—

—

6

Futures
—

—

—

1

1

—

2

TBAs
—

—

—

—

—

3

3

Total assets
$
15

$
—

$
6

$
2

$
1

$
13

$
37

Liabilities:
 
 
 
 
 
 
 
Synthetic GICs/VIP SVF -
Futures*
$
3

$
—

$
—

$
—

$
—

$
—

$
3

Other liabilities:
 
 
 
 
 
 

Forward contracts
—

—

9

—

—

—

9

Futures
—

—

—

—

1

—

1

Options
4

—

—

—

1

—

5

Swaps
4

1

—

2

3

—

10

Total liabilities
$
11

$
1

$
9

$
2

$
5

$
—

$
28

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

15
Table of Contents

Realized gains and losses and the change in unrealized gains and losses are reflected in the Master Trust’s statement of changes in net assets as net appreciation or depreciation of investments. The effect of derivative contracts realized gains and losses and the change in unrealized gains and losses for the year ended December 31, 2019, is reflected in the following table:
 
Interest Rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

Net gains (losses):
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
8

$
—

$
—

$
—

$
8

Futures
(29
)
—

—

39

—

—

10

Options
1

—

1

—

—

—

2

Swaps
(14
)
—

(1
)
(1
)
5

—

(11
)
TBAs
—

—

—

—

—

34

34

Total net gains (losses)
$
(42
)
$
—

$
8

$
38

$
5

$
34

$
43

The following table summarizes the gross notional value of derivative contracts outstanding as of December 31, 2019 and 2018. The gross notional amounts give an indication of the volume of the Master Trust’s derivative activity and significantly exceed the fair value of the derivative investments, which is more representative of the economic exposure associated with derivatives in the Master Trust.
 
Interest Rate

Credit

Foreign
Currency

Equity

Commodity

Future
Settlement

Total

December 31, 2019
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
685

$
—

$
1

$
—

$
686

Futures
4,138

—

4

317

94

—

4,553

Options
69

1

4

—

22

—

96

Swaps
576

68

5

4

96

—

749

TBAs
—

—

—

—

—

1,226

1,226

Total
$
4,783

$
69

$
698

$
321

$
213

$
1,226

$
7,310

December 31, 2018
 
 
 
 
 
 
 
Forward contracts
$
—

$
—

$
910

$
—

$
1

$
—

$
911

Futures
4,741

—

2

181

133

—

5,057

Options
788

5

10

—

4

—

807

Swaps
1,174

77

38

12

1

—

1,302

TBAs
—

—

—

—

—

1,323

1,323

Total
$
6,703

$
82

$
960

$
193

$
139

$
1,323

$
9,400

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

16
Table of Contents

2) When certain derivative contracts have credit-related contingent features under the International Swaps and Derivatives Association Master Agreement (generally swaps) with counterparties for contracts in a net liability position.
The Master Trust has liquidity risk if its assets decline by various, pre-specified rates over predetermined time periods. If this occurs, the Master Trust is required to post more collateral or may be required to pay off the open liability contracts given the counterparty’s right to terminate the contract. At December 31, 2019 and 2018, the Master Trust had an insignificant amount of contracts in a net liability position with contingent features with an insignificant amount posted in collateral against those positions.
7.
PLAN AMENDMENTS
Effective during 2019 as specified in the Plan provisions, the Plan amended employer contribution formulas for certain union Members as specified or permitted in the applicable collective bargaining agreement for each group.
8.
RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500
The following is a reconciliation of net assets available for benefits per the financial statements as of December 31, 2019 and 2018, to Form 5500:
 
 
2019

 
2018

Net assets available for benefits per the financial statements
 
$
67,172

 
$
58,698

Amounts allocated to withdrawing Members
 
(15
)
 
(14
)
Net assets available for benefits per Form 5500
 
$
67,157

 
$
58,684

The following is a reconciliation of benefits paid per the financial statements for the year ended December 31, 2019, to total benefit payments per Form 5500:
Benefits paid per the financial statements
$
4,218

Amounts allocated to withdrawing Members — December 31, 2019
15

Amounts allocated to withdrawing Members — December 31, 2018
(14
)
Total benefit payments per Form 5500
$
4,219

Amounts allocated to withdrawing Members are recorded on the Form 5500 for benefit claims that have been processed and approved for payment prior to December 31, but not yet paid as of that date.
9.
RELATED PARTY AND PARTY-IN-INTEREST TRANSACTIONS
Certain Master Trust investments are managed by NT. NT is the trustee as defined by the Plan and, therefore, these transactions qualify as related party and party-in-interest transactions.
As of December 31, 2019 and 2018, the Plan held approximately 31 million and 33 million shares of common stock of the Company, respectively, with a cost basis of $4,392 and $3,979, respectively, and recorded dividend income of $256 during the year ended December 31, 2019.
Newport Trust Company (“Newport”), is the independent fiduciary and investment manager of the Boeing Stock Fund. The Plan has authorized Newport with sole responsibility for deciding whether to restrict investment in the Boeing Stock Fund, or to sell or otherwise dispose of all or any portion of the stock held in the Boeing Stock Fund. In the event Newport determined to sell or dispose of stock in the Boeing Stock Fund, Newport would designate an alternative investment fund under the Plan for the temporary investment of any proceeds from the sale or other disposition of the Company’s common stock.
10.
TAX STATUS
The Internal Revenue Service (“IRS”) has determined and informed the Company by a letter, dated May 11, 2015, that the Plan is designed in accordance with applicable sections of the IRC. The Plan has been amended since receiving the determination letter. The Plan administrator believes that the Plan is designed and is currently being operated in compliance with the applicable requirements of the IRC. Therefore, the Plan administrator believes

17
Table of Contents

that the tax-exempt status of the Plan and related trust has not been affected and no provision for income taxes has been included in the Plan’s financial statements.
GAAP requires Plan management to evaluate tax positions taken by the Plan and recognize a tax liability (or asset) if the Plan has taken an uncertain position that more likely than not would not be sustained upon examination by the IRS. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits for any tax periods in progress. The Plan administrator believes it is no longer subject to income tax examinations for years prior to 2016.
11.
PLAN TERMINATION
Although it has not expressed any intention to do so, the Company has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions set forth in ERISA. In the event of termination of the Plan, both Member and employer contributions, including any income earned, will be distributed to the Members.
12.
SUBSEQUENT EVENTS
On December 19, 2019, Congress passed the Setting Every Community Up for Retirement Enhancement (SECURE) Act. Effective January 1, 2020, as a result of the SECURE Act, required minimum distributions to Members will generally begin after age 72.
Effective January 1, 2020, the Employee Savings Plan of Continental Graphics Corporation (“CDG 401(k) Plan”) was merged into the Plan. All assets and liabilities of the CDG 401(k) Plan were transferred to the Plan. The fair value of the assets transferred totaled $162.
The COVID-19 outbreak, which was declared a pandemic by the World Health Organization on March 11, 2020, has negatively impacted the world economy and common stock share prices for most companies, including Boeing’s common stock share price. The Plan’s investment in the Boeing Stock Fund is stated at fair value based on the closing price of Boeing common stock at December 31, 2019, a value significantly higher than the current market price. The impact of COVID-19 on companies continues to evolve rapidly and its future effects on the Plan’s net assets available for benefits and changes in net assets available for benefits are uncertain.
On March 27, 2020, Congress passed the Coronavirus Aid, Relief, and Economic Security (CARES) Act. The CARES Act provides immediate and temporary relief for retirement plan sponsors and their participants with respect to employer contributions, distributions and participant loans. The provisions of the CARES Act may be effective and operationalized immediately, prior to amending the plan document.
The Plan has implemented certain relief provisions included in the CARES Act. However, its future effects on the Plan’s statements of net assets available for benefits and changes in net assets available for benefits are uncertain. Plan management expects to formally amend the Plan by December 31, 2020.



*  *  *  *  *  *

18
Table of Contents

SUPPLEMENTAL SCHEDULE

THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
FORM 5500, SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
AS OF DECEMBER 31, 2019
Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
1 800 FLOWERS COM INC CL A COM STK
**
$
74,327

1166 AVE OF THE 5.68959999084% DUE 10-13-2037
**
2,829,943

1ST COMWLTH FNCL CORP COM LM
**
202,139

1ST CONSTITUTION BANCORP COM
**
25,029

1ST HORIZON NATL 3.5% DUE 12-15-2020
**
505,498

1ST INDL RLTY TR INC COM
**
396,877

1ST INVS AUTO 3.6% DUE 04-17-2023
**
145,168

1ST SOURCE CORP COM
**
186,872

2U INC COM
**
996,832

3I GROUP ORD GBP0.738636
**
249,896

3M CO 2.375% DUE 08-26-2029
**
384,817

3M CO COM
**
8,887,687

5 PT HLDGS LLC CL A COM REPSTG CL A LTD
**
250,777

5TH 3RD BK CIN OH 2.25% DUE 06-14-2021
**
603,250

89BIO INC COM
**
270,787

A H BELO CORP COM SER A STK
**
5,491

AAC TECHNOLOGIES HOLDINGS INC
**
767,987

AAR CORP COM
**
73,288

AARON'S INC CLASS A
**
1,841,798

ABACORE CAPITAL HO PHP1
**
41,939

ABBOTT LAB COM
**
22,603,230

ABBOTT LABS 3.4% DUE 11-30-2023
**
2,420,288

ABBOTT LABS 4.9% DUE 11-30-2046
**
394,278

ABBVIE INC 2.5% 05-14-2020
**
3,455,183

ABBVIE INC 2.6% DUE 11-21-2024
**
1,411,329

ABBVIE INC 2.6% DUE 11-21-2024
**
14,889,519

ABBVIE INC 2.85% DUE 05-14-2023
**
6,323,764

ABBVIE INC 2.9% DUE 11-06-2022
**
102,062

ABBVIE INC 2.9% DUE 11-06-2022
**
1,915,701

ABBVIE INC 3.2% 11-06-2022
**
4,164,003

ABBVIE INC 3.375% DUE 11-14-2021
**
488,290

ABBVIE INC 3.6% 05-14-2025
**
7,691,138

ABBVIE INC 3.75% DUE 11-14-2023
**
25,263

ABBVIE INC 4.25% DUE 11-14-2028
**
276,521

ABBVIE INC 4.4% DUE 11-06-2042
**
268,711

ABC ARBITRAGE EUR0.016
**
58,481

ABEONA THERAPEUTICS INC COM
**
58,713

ABERCROMBIE & FITCH CO CL A
**
148,832

ABM INDS INC COM
**
437,134

ABN AMRO BK N V 2.45% DUE 06-04-2020
**
2,123,256

ABN AMRO BK N V 4.75% DUE 07-28-2025
**
435,528


19
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ABSA GROUP LTD ZAR2
**
67,969

ABU DHABI COMM.BK. AED1
**
692,156

ABU DHABI NATIONAL 4.875% SNR MTN 23/04/30 USD
**
6,753,854

ACACIA RESH CORP COM
**
11,885

ACADIA HEALTHCARE CO INC COM
**
1,101,010

ACADIA PHARMACEUTICALS INC COM
**
607,861

ACADIA RLTY TR COM
**
3,376,008

ACCELERON PHARMA INC COM
**
1,518,864

ACCENTURE PLC SHS CL A NEW
**
28,379,782

ACCESS GROUP INC DEL 2005-A ASSET BKD CTF CL A-3 FLTG 07-25-2034 REG
**
3,404,699

ACCO BRANDS CORP COM
**
104,570

ACCREDITED MTG LN TR 2004-3 MTG PASSTHRUCTF CL 2A2 10-25-2034 REG
**
801,735

ACCTON TECH CORP TWD10
**
263,402

ACCUNIA EUROPEAN I FRN CLO 07/2030 EUR 'A'
**
337,108

ACCURAY INC DEL COM
**
138,665

ACE INA HLDGS INC 2.7% DUE 03-13-2023
**
122,561

ACE INA HLDGS INC 3.35% DUE 05-03-2026
**
42,541

ACHILLION PHARMACEUTICALS INC COM
**
114,654

ACI WORLDWIDE INC COM STK
**
2,326,139

ACNB CORP COM
**
25,755

ACORDA THERAPEUTICS INC COM
**
120,725

ACS ACTIVIDADES CO EUR0.5
**
766,688

ACTAVIS FDG SCS 3.45% DUE 03-15-2022
**
5,380,794

ACTAVIS FDG SCS 3.85% DUE 06-15-2024
**
3,151,314

ACTAVIS FDG SCS GTD NT FLTG RATE DUE 03-12-2020/02-12-2020 REG
**
100,188

ACTAVIS INC 3.25% DUE 10-01-2022
**
664,397

ACTAVIS INC 3.25% DUE 10-01-2022
**
1,155,028

ACTIVISION 2.3% DUE 09-15-2021
**
1,507,887

ACTUANT CORP CL A NEW CL A NEW
**
115,365

ACUITY BRANDS INC COM
**
22,356

ACUSHNET HLDGS CORP COM
**
357,598

ADAMAS PHARMACEUTICALS INC COM
**
70,115

ADAMS RES & ENERGY INC COM NEW COM NEW
**
11,687

ADAPTIVE BIOTECHNOLOGIES CORP COM USD0.0001
**
1,011,296

ADARO ENERGY TBK IDR100
**
488,215

ADASTRIA CO LTD
**
147,895

ADDUS HOMECARE CORP COM STK
**
49,582

ADECCO GROUP AG CHF0.1 (REGD)
**
1,421,834

ADIDAS AG
**
2,900,154

ADIENT PLC ADIENT PLC LTD COM
**
3,741,891

ADOBE SYS INC COM
**
17,654,399

ADR 58 COM INC SPONSORED ADR REPSTG CL A
**
121,369

ADR ALIBABA GROUP HOLDING LTD SPON ADS EACH REP 8 ORD SHS ADS
**
29,798,353

ADR AMBEV SA SPONSORED ADR
**
2,178,228

ADR ANGLOGOLD ASHANTI LTD
**
559,528

ADR ASCENDIS PHARMA A/S SPONSORED ADR
**
1,460,899

ADR ASTRAZENECA PLC SPONSORED ADR UNITEDKINGDOM
**
12,778,769


20
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ADR AUTOHOME INC SPONSORED ADR REPST CL A
**
92,252

ADR BANCO BRADESCO S A SPONSORED ADR REPSTG PFD SHS NEW 2004
**
930,361

ADR BANCO SANTANDER CHILE NEW SPONSORED ADR REPSTG COM
**
130,069

ADR BANCOLOMBIA S A SPONSORED ADR REPSTG4 PREF SHS
**
690,464

ADR COMPANHIA DE SANEAMENTO BASICO DO ESTADO DE SAO PAULO SABESP SPONSORED ADR
**
912,662

ADR COMPANHIA ENERGETICA DE MINAS GERAISSPONSORED ADR PAR $0.01 REP NON VTG PFD
**
582,854

ADR COMPANIA CERVECERIAS UNIDAS S A SPONSORED ADR
**
154,719

ADR DANONE SPONSORED ADR
**
4,524,872

ADR EMBRAER S A SPONSORED ADR REPSTG 4 COM SHS
**
66,266

ADR ENDAVA PLC ADS
**
2,451,812

ADR ENEL AMERICAS S A SPONSORED ADR ENERSIS AMERICAS S.A
**
776,681

ADR FLY LEASING LTD-ADR
**
605,777

ADR GAZPROM SPONSORED ADR PJSC GAZPROM
**
48,704

ADR GERDAU S A SPONSORED ADR REPRESENTING PFD SHS
**
923,993

ADR GLAXOSMITHKLINE PLC SPONSORED ADR
**
10,615,041

ADR GOLD FIELDS LTD NEW SPONSORED ADR
**
783,057

ADR GRUPO TELEVISA SA DE CV SPONSORED ADR REPSTG ORD PARTN SPONS ADR
**
539,498

ADR HARMONY GOLD MNG LTD SPONSORED ADR
**
59,532

ADR HUAMI CORP ADR
**
79,332

ADR HUAZHU GROUP LTD
**
115,882

ADR ICICI BK LTD
**
1,711,885

ADR JD COM INC SPONSORED ADR REPSTG COM CL A
**
1,385,631

ADR KERING S A ADR
**
11,980,880

ADR LEXINFINTECH HLDGS LTD ADR
**
334,749

ADR MMC NORILSK NICKEL PJSC SPONSORED ADR
**
310,846

ADR MOMO INC ADR
**
85,325

ADR MORPHOSYS AG SPONSORED ADS
**
1,444,635

ADR NESTLE S A SPONSORED ADR REPSTG REG SH
**
17,505,425

ADR NETEASE INC SPONSORED ADR ADR EACH REPR 25 COM STK USD0.0001
**
399,859

ADR NEW ORIENTAL ED & TECHNOLOGY GROUP INC SPONSORED ADR REPSTG COM
**
242,258

ADR NICE LTD SPONSORED ADR
**
1,210,170

ADR NOVARTIS AG
**
4,250,539

ADR ORCHARD THERAPEUTICS PLC ADS
**
121,110

ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR REPSTG PFD SHS
**
857,214

ADR PINDUODUO INC SPONSORED ADS
**
121,289

ADR PJSC LUKOIL SPONSORED ADR
**
438,766

ADR QUDIAN INC ADR
**
75,831

ADR RECKITT BENCKISER GROUP PLC SPONSORED ADR
**
4,401,350

ADR ROCHE HLDG LTD SPONSORED ADR ISIN #US771195104
**
4,734,491

ADR ROYAL DUTCH SHELL PLC SPONSORED ADR REPSTG A SHS
**
6,022,271

ADR RYANAIR HLDGS PLC SPONSORED ADR NEW
**
4,103,214

ADR SIBANYE STILLWATER SPON ADR EACH REP 4 ORD SHS
**
291,942

ADR TAIWAN SEMICONDUCTOR MANUFACTURING SPON ADS EACH REP 5 ORD TWD10
**
16,072,145

ADR TAL ED GROUP ADS REPSTG COM SHS ADR
**
340,822

ADR TELEFONICA BRASIL SA SPON ADR EA REPR 1 PFD SH
**
910,623

ADR TIM PARTICIPACOES SA SPONSORED ADR
**
891,501

ADR TRIP COM GRP LTD
**
249,001


21
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ADR ULTRAPAR PARTICIPACOES S A SPONSORED# US90400P1012
**
107,503

ADR VIPSHOP HLDGS LTD SPONSORED ADR
**
87,358

ADR VODAFONE GROUP PLC NEW SPONSORED ADRNO PAR
**
13,391,824

ADR WNS HLDGS LTD SPONSORED ADR
**
11,104,601

ADR ZTO EXPRESS CAYMAN INC SPONSORED ADR
**
694,452

ADT INC DEL COM
**
169,131

ADTALEM GLOBAL ED INC COM
**
227,620

ADTRAN INC COM
**
1,038,420

ADVANCED DISP SVCS INC DEL COM
**
405,451

ADVANCED DRAIN SYS INC DEL COM
**
1,677,189

ADVANCED ENERGY INDS INC COM
**
217,801

ADVANCED INFO SERV THB1(NVDR)
**
1,346,982

ADVANCED MICRO DEVICES INC COM
**
258,421

ADVANSIX INC COM
**
250,698

ADVANTEST CORP NPV
**
197,988

ADVENTIST HLTH 2.952% DUE 03-01-2029
**
1,899,434

ADVENTIST HLTH 3.378% DUE 03-01-2023
**
4,106,803

ADVERUM BIOTECHNOLOGIES INC COM
**
146,304

ADYEN NV EUR0.01
**
7,531,806

AECOM
**
2,859,519

AEGION CORP 10
**
109,210

AEM HOLDINGS LTD NPV
**
629,142

AEON MALL CO LTD NPV
**
28,359

AEP TEX INC 3.45% DUE 01-15-2050
**
330,316

AEP TEX INC 4.15% DUE 05-01-2049
**
277,484

AEP TEXAS CENT CO FIXED 3.95% DUE 06-01-2028
**
3,490,705

AEP TRANSM CO LLC 3.1% DUE 12-01-2026
**
787,621

AERCAP HOLDINGS N.V. EUR0.01
**
1,413,810

AERCAP IRELAND CAP 3.3% DUE 01-23-2023
**
1,486,398

AERCAP IRELAND CAP 3.3% DUE 01-23-2023
**
512,551

AERCAP IRELAND CAP 3.5% 01-15-2025
**
515,514

AERCAP IRELAND CAP 3.65% DUE 07-21-2027
**
209,181

AERCAP IRELAND CAP 3.95% DUE 02-01-2022
**
1,033,244

AERCAP IRELAND CAP 4.25% DUE 07-01-2020
**
1,616,109

AERCAP IRELAND CAP 4.5% DUE 05-15-2021
**
206,431

AERCAP IRELAND CAP 4.625% DUE 10-30-2020
**
714,004

AERCAP IRELAND CAP 4.875% DUE 01-16-2024
**
2,623,575

AERCAP IRELAND CAP 5% DUE 10-01-2021
**
489,677

AERCAP IRELAND FIXED 4.45% DUE 10-01-2025
**
1,505,442

AERIA INC NPV
**
229,186

AERIE PHARMACEUTICALS INC COM
**
125,442

AEROJET ROCKETDYNE HLDGS INC COM
**
644,628

AEROVIRONMENT INC COM
**
47,355

AETNA INC 2.75% DUE 11-15-2022
**
813,037

AETNA INC NEW 2.8% DUE 06-15-2023
**
50,813

AETNA INC NEW 2.8% DUE 06-15-2023
**
1,539,623

AETNA INC NEW 6.75% DUE 12-15-2037
**
121,498


22
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
AFFILIATED MANAGERS GROUP INC COM STK
**
31,862

AFFIMED THERAPEUTICS BV COM EUR0.01
**
92,346

AFRICAN RAINBOW LTD ZAR0.05
**
334,424

AGCO CORP COM
**
3,140,831

AGEAS NPV
**
1,664,425

AGILYSYS INC COM STK
**
179,242

AGIOS PHARMACEUTICALS INC COM
**
159,724

AGL CAP CORP 3.5% DUE 09-15-2021
**
234,751

AGL CAP CORP 5.875% DUE 03-15-2041
**
31,581

AGNICO EAGLE MINES LTD COM NPV
**
423,291

AGREE RLTY CORP COM
**
3,064,464

AGROFRESH SOLUTIONS INC COM
**
9,608

AIA GROUP LTD NPV
**
11,212,095

AIFUL CORP NPV
**
200,021

AIG GLOBAL FDG SR 2.15% DUE 07-02-2020
**
3,413,275

AIG GLOBAL FDG SR 2.3% DUE 07-01-2022
**
502,783

AIG GLOBAL FDG SR 2.7% DUE 12-15-2021
**
1,035,688

AIG GLOBAL FDG SR 3.35% DUE 06-25-2021
**
2,555,367

AIG GLOBAL FDG SR SECD MEDIUM TERM NTS BTRANCHE # TR 00008 VAR RT DUE 06-25-2021
**
2,479,017

AIMMUNE THERAPEUTICS INC COM
**
150,648

AIR ARABIA AED1
**
418,961

AIR CANADA VAR VTG SHS NPV
**
2,418,374

AIR FRANCE - KLM EUR8.50
**
457,396

AIR LEASE CORP 2.125% DUE 01-15-2020
**
86,995

AIR LEASE CORP 2.125% DUE 01-15-2020
**
4,949,716

AIR LEASE CORP 2.5% 03-01-2021
**
2,551,477

AIR LEASE CORP 2.625% DUE 07-01-2022
**
4,162,850

AIR LEASE CORP 2.75% 01-15-2023
**
810,608

AIR LEASE CORP 3.25% DUE 03-01-2025
**
411,866

AIR LEASE CORP 3.375% DUE 06-01-2021
**
1,016,995

AIR LEASE CORP 3.5% DUE 01-15-2022
**
5,652,359

AIR LEASE CORP 3.625% 12-01-2027
**
207,097

AIR LEASE CORP 3.875% DUE 07-03-2023
**
2,708,233

AIR LEASE CORP CL A CL A
**
1,056,702

AIR LEASE CORP MED 3.25% DUE 10-01-2029
**
547,144

AIR LEASE CORP MED 4.25% DUE 02-01-2024
**
429,175

AIR LEASE CORP MED TERM NTS BOOK ENTRY VAR RT 06-03-2021
**
3,155,294

AIR LIQUIDE FIN S 1.75% DUE 09-27-2021
**
4,927,841

AIR LIQUIDE(L') EUR5.50
**
10,915,857

AIR TRANS SVCS GROUP INC COM STK
**
193,334

AIRASIA GROUP BERHAD
**
156,389

AIRBUS SE EUR1
**
2,543,491

AIRCASTLE LTD 5.125% DUE 03-15-2021
**
619,857

AJU CAPITAL CO LTD KRW5000
**
77,635

AKBANK TRY1
**
723,142

AKEBIA THERAPEUTICS INC COM
**
573,325

AKELIUS RESDNTL 3.375% 23/09/2020
**
345,133


23
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
AKORN INC COM
**
90,752

AKZO NOBEL NV EUR0.50(POST REV SPLIT)
**
6,525,212

AL ECON SETTLEMENT AUTH BP SETTLEMENT REV 3.163 09-15-2025 BEO TAXABLE
**
639,525

ALABAMA PWR CO 2.45% DUE 03-30-2022
**
80,984

ALABAMA PWR CO 3.375% DUE 10-01-2020
**
1,493,028

ALABAMA PWR CO 3.45% DUE 10-01-2049
**
359,103

ALAMO GROUP INC COM
**
193,598

ALASKA AIR GROUP INC COM
**
647,555

ALBA PLC FLT 15/12/2038
**
402,777

ALBANY INTL CORP NEW CL A
**
2,008,843

ALBERTA PROV CDA BD 3.3% DUE 03-15-2028 REG
**
1,916,065

ALCON INC
**
867,267

ALEXANDRIA REAL 3.8% DUE 04-15-2026
**
267,291

ALEXANDRIA REAL 4% DUE 02-01-2050
**
328,759

ALEXION PHARMACEUTICALS INC COM
**
5,913,534

ALFA SAB DE CV SER'A'NPV
**
143,495

ALFRESA HOLDINGS NPV
**
200,047

ALIBABA GROUP HLDG 2.8% DUE 06-06-2023
**
3,337,267

ALICO INC COM
**
53,028

ALIMENTATION COUCH CLASS'B'S/VTG COM NPV
**
1,860,687

A-LIVING SERVICES CNY1 H
**
734,466

ALKERMES PLC SHS
**
2,043,794

ALLAKOS INC COM
**
556,998

ALLEGHENY TECHNOLOGIES INC COM
**
854,477

ALLEGIANCE BANCSHARES INC COM
**
125,509

ALLEGIANT TRAVEL CO COM
**
60,044

ALLEGION US HLDG CO INC 3.2% 10-01-2024
**
1,028,488

ALLERGAN FUNDING SCS 3.8% 03-15-2025
**
472,908

ALLERGAN INC 2.8% DUE 03-15-2023
**
136,070

ALLETE INC COM NEW
**
1,073,473

ALLIANCE DATA SYS CORP COM
**
173,349

ALLIANT ENERGY FIN 3.75% DUE 06-15-2023
**
3,027,391

ALLIANZ SE NPV(REGD)(VINKULIERT)
**
3,864,579

ALLISON TRANSMISSION HOLDING
**
1,816,929

ALLSCRIPTS HEALTHCARE SOLUTIONS INC
**
1,408,551

ALLY AUTO 2.34% DUE 06-15-2022
**
801,430

ALLY AUTO RECEIVABLES TR 2017-2 CL A3 1.78% DUE 08-16-2021
**
586,451

ALLY AUTO RECEIVABLES TR 2017-4 CL A-3 1.75% 12-15-2021 REG
**
334,944

ALLY AUTO RECEIVABLES TR 2018-3 CL A-4 3.23% 07-17-2023
**
1,885,495

ALLY AUTO RECEIVABLES TR 2019-1 3.02% DUE 04-15-2024 REG
**
766,694

ALLY AUTO RECEIVABLES TR SER 17-3 CL A4 2.01%03-15-2022
**
1,750,400

ALLY AUTO RECEIVABLES TR SER 2018-1 CL A-3 2.35% 06-15-2022
**
1,023,254

ALLY AUTO RECEIVABLES TRUST SER 2017-2 CLS C 2.46% DUE 09-15-2022
**
150,365

ALLY AUTO RECEIVABLES TRUST SER 2017-2 CLS D 2.93% DUE 11-15-2023
**
141,767

ALLY AUTO RECEIVABLES TRUST SR 2017-2 CL B 2.33% DUE 06-15-2022
**
200,140

ALLY MASTER OWNER TRUST SER 2018-3 CL A FRN 07-15-2022 BEO
**
1,100,624

ALNYLAM PHARMACEUTICALS INC COM
**
591,628


24
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ALPHA & OMEGA SEMICONDUCTOR LTD COM STK
**
94,863

ALPHABET INC CAP STK USD0.001 CL C
**
19,100,668

ALPHABET INC CAPITAL STOCK USD0.001 CL A
**
54,586,839

ALPS ALPINE CO LTD
**
1,115,695

ALSTOM EUR7.0
**
114,668

ALSTRIA OFFICE REI NPV (BR)
**
1,090,868

ALTERYX INC COM CL A COM CL A
**
717,402

ALTISOURCE PORTFOLIO COM USD1.00
**
46,392

ALTIUM NPV
**
485,688

ALTRA INDUSTRIAL MOTION CORP COM STK USD0.001
**
1,367,615

ALTRIA GROUP INC 2.85 DUE 08-09-2022 REG
**
5,884,485

ALTRIA GROUP INC 3.49% DUE 02-14-2022
**
2,822,140

ALTRIA GROUP INC 3.8% DUE 02-14-2024
**
1,821,805

ALTRIA GROUP INC 4 DUE 01-31-2024 REG
**
3,209,877

ALTRIA GROUP INC 4.8% DUE 02-14-2029
**
2,429,970

ALTRIA GROUP INC 6.2% DUE 02-14-2059
**
178,738

ALTRIA GROUP INC COM
**
4,636,040

ALTRIA GROUP INC FIXED 4.4% DUE 02-14-2026
**
4,479,042

ALUMINUM CORP CHN. 'H'CNY1
**
429,020

AMADA HOLDINGS CO LTD NPV
**
94,244

AMADEUS FIRE AG NPV
**
259,617

AMADEUS IT GROUP EUR0.01
**
8,799,313

AMAG PHARMACEUTICALS INC COM STK
**
496,305

AMALGAMATED BK NEW YORK COM
**
52,515

AMANO CORPORATION NPV
**
842,786

AMAZON COM INC 3.15% DUE 08-22-2027 BEO
**
6,719,019

AMAZON COM INC COM
**
31,904,805

AMAZON COM INC FIXED 2.8% DUE 08-22-2024
**
1,966,441

AMBAC FINL GROUP INC COM
**
86,215

AMBARELLA INC SHS
**
2,094,407

AMC ENTMT HLDGS INC CL A COM CL A COM
**
47,523

AMCOR PLC CDI 1:1
**
1,638,084

AMER MOVIL SAB DE 3.625% DUE 04-22-2029
**
278,971

AMER NATL INS CO COM
**
446,360

AMERCO COM
**
966,233

AMEREN CORP 2.7% DUE 11-15-2020
**
382,035

AMEREN ILL CO 2.7% DUE 09-01-2022
**
2,232,240

AMEREN ILL CO 3.8% DUE 05-15-2028
**
4,241,633

AMERESCO INC
**
87,378

AMERICA HONDA FINANCE 3.15% DUE 01-08-2021
**
506,534

AMERICAN AIRLS 2017-1 CL AA PASS THRU TR3.65% DUE 08-15-2030
**
55,413

AMERICAN AIRLS INC 16-3 AA PTT 04-15-2030
**
97,762

AMERICAN ASSETS TR INC COM
**
3,208,364

AMERICAN AXLE & MFG HLDGS INC COM
**
1,069,049

AMERICAN CAMPUS CMNTYS INC COM
**
589,568

AMERICAN EAGLE OUTFITTERS INC NEW COM
**
294,779

AMERICAN EQUITY INVT LIFE HLDG CO COM
**
428,179


25
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
AMERICAN EXPRESS CO
**
7,775,396

AMERICAN EXPRESS CR A/C MASTER SER 2017-1 CLS A 1.93% 09-15-2022
**
848,961

AMERICAN EXPRESS CR A/C MASTER TR 2018-4 CL A 2.99% 12-15-2023
**
10,919,924

AMERICAN EXPRESS CR ACCOUNT MASTER TR 3.18% DUE 04-15-2024
**
11,824,920

AMERICAN EXPRESS CR ACCOUNT MASTER TR SER 2017-6 CL A 0.0% 05-15-2023
**
5,805,862

AMERICAN EXPRESS CR CORP MEDIUM TERM NTS 2.25% DUE 05-05-2021
**
859,120

AMERICAN EXPRESS CR CORP MEDIUM TERM NTSTRANCHE # TR 00103 2.7% DUE 03-03-2022
**
198,274

AMERICAN EXPRESS CREDIT MTN 2.2% DUE 03-03-2020
**
10,149,870

AMERICAN EXPRESS CREDIT 2.375% DUE 05-26-2020
**
901,087

AMERICAN HOMES 4 RENT COMMON STOCK
**
668,067

AMERICAN INTERNATIONAL GROUP INC COM
**
32,430,294

AMERICAN INTL GROUP INC 4.125 DUE 02-15-2024
**
1,132,973

AMERICAN INTL GROUP INC 4.25% DUE 03-15-2029
**
278,307

AMERICAN MUN PWR OHIO INC REV 6.449% 02-15-2044 BEO TAXABLE
**
6,962,450

AMERICAN MUN PWR OHIO INC REV 7.334% 02-15-2028 BEO TAXABLE
**
254,788

AMERICAN NATL BANKSHARES INC COM
**
62,204

AMERICAN OUTDOOR BRANDS CORP COM
**
92,911

AMERICAN PUB ED INC COM STK
**
232,267

AMERICAN TOWER CORP
**
4,948,484

AMERICAN TOWER CORP 2.75% DUE 01-15-2027
**
1,398,474

AMERICAN TOWER CORP 3.0% 06-15-2023
**
511,059

AMERICAN TOWER CORP 3.6% 01-15-2028
**
420,279

AMERICAN VANGUARD CORP COM
**
1,011,097

AMERICAS CAR-MART INC COM
**
33,227

AMERICOLD RLTY TR COM
**
4,990,090

AMERICREDIT 1.9% DUE 03-18-2022
**
1,341,349

AMERICREDIT 1.98000001907% DUE 12-20-2021
**
1,376,133

AMERICREDIT 2.13% DUE 07-18-2025
**
2,045,442

AMERICREDIT 2.28% DUE 01-18-2024
**
401,825

AMERICREDIT 2.28% DUE 01-18-2024
**
4,872,133

AMERICREDIT 2.32% DUE 07-18-2025
**
2,989,634

AMERICREDIT 2.69% DUE 06-19-2023
**
633,128

AMERICREDIT 2.71% DUE 07-19-2021
**
14,054

AMERICREDIT 2.74% DUE 04-18-2025
**
1,815,920

AMERICREDIT 2.97% DUE 11-20-2023
**
3,137,034

AMERICREDIT 3.36% DUE 02-18-2025
**
1,819,841

AMERICREDIT 3.36% DUE 02-18-2025
**
923,256

AMERICREDIT AUTOMOBILE RECEIVABLES 18-2 A3 3.15% 03-20-2023
**
1,872,387

AMERICREDIT AUTOMOBILE RECEIVABLES 3.07% SER 2018-1 CL A3 DUE 12-19-2022
**
3,662,436

AMERICREDIT AUTOMOBILE RECEIVABLES SER 17-1 CLS B 2.3% DUE 02-18-2022
**
65,046

AMERICREDIT AUTOMOBILE RECEIVABLES SER 17-1 CLS C 2.71% DUE 08-18-2022
**
55,332

AMERICREDIT AUTOMOBILE RECEIVABLES SER 19-1 CL B 3.13% 02-18-2025
**
916,252

AMERICREDIT CDA AUTOMOBILE SER 17-1 CLS D 3.13% DUE 01-18-2023
**
78,899

AMERIPRISE FINL 5.3% DUE 03-15-2020
**
281,789

AMERIPRISE FINL INC 3.0% 03-22-2022
**
245,501

AMERIS BANCORP COM
**
236,437

AMERN AIRLINES INC 3.7% DUE 10-01-2026
**
2,716,457


26
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
AMERN AIRLS 2013-2 FIXED 4.95% DUE 07-15-2024
**
401,215

AMERN AIRLS 2015-2 4.4% DUE 03-22-2025
**
1,808,386

AMERN CAMPUS 4.125% DUE 07-01-2024
**
1,066,591

AMERN CR ACCEP 2.8599998951% DUE 06-12-2023
**
54,615

AMERN CR ACCEP 3.69000005722% DUE 06-12-2023
**
192,471

AMERN EXPRESS CO 2.2% DUE 10-30-2020
**
501,028

AMERN EXPRESS CO 2.65 DUE 12-02-2022
**
245,644

AMERN EXPRESS CO 2.65 DUE 12-02-2022
**
3,715,240

AMERN EXPRESS CO 3% DUE 02-22-2021
**
252,994

AMERN EXPRESS CO 3% DUE 02-22-2021
**
2,793,049

AMERN EXPRESS CO 3.375% DUE 05-17-2021
**
5,375,870

AMERN EXPRESS CO 3.4% 02-27-2023
**
1,038,360

AMERN EXPRESS CO 3.625% DUE 12-05-2024
**
29,604

AMERN EXPRESS CO FIXED 2.5% DUE 08-01-2022
**
3,541,815

AMERN EXPRESS CR 2.67% DUE 11-15-2024
**
22,677,606

AMERN EXPRESS CR SER 19-1 CL A 2.87% 10-15-2024
**
546,621

AMERN EXPRESS CR SER 19-1 CL A 2.87% 10-15-2024
**
11,157,209

AMERN HONDA FIN 3.45% DUE 07-14-2023
**
2,559,736

AMERN HONDA FIN 3.5% DUE 02-15-2028
**
431,057

AMERN INTL GROUP 3.3% DUE 03-01-2021
**
3,084,245

AMERN INTL GROUP 3.9% DUE 04-01-2026
**
429,659

AMERN INTL GROUP 4.2% DUE 04-01-2028
**
605,443

AMERN TOWER CORP 2.25% DUE 01-15-2022
**
837,715

AMERN TOWER CORP 2.25% DUE 01-15-2022
**
1,379,471

AMERN TOWER CORP 3.125% DUE 01-15-2027
**
3,173,289

AMERN TOWER CORP 3.5% DUE 01-31-2023
**
1,767,979

AMERN TOWER CORP 3.8% DUE 08-15-2029
**
748,391

AMERN TOWER CORP 4.4% DUE 02-15-2026
**
873,019

AMERN TOWER CORP 5% DUE 02-15-2024
**
15,042,896

AMERN TOWER CORP FIXED 4% DUE 06-01-2025
**
96,318

AMERN WOODMARK CORP COM
**
1,003,819

AMERN WTR CAP CORP 2.95% DUE 09-01-2027
**
6,542,228

AMERN WTR CAP CORP 3% DUE 12-01-2026
**
158,249

AMES NATL CORP CDT-COM STK
**
26,910

AMGEN INC 2.125% 05-01-2020
**
200,075

AMGEN INC 2.6% DUE 08-19-2026
**
633,206

AMGEN INC 3.625 BDS DUE 05-15-2022 USD1000
**
206,686

AMGEN INC 3.625% DUE 05-22-2024
**
52,835

AMGEN INC 3.875 DUE 11-15-2021
**
2,377,774

AMKOR TECHNOLOGY INC COM
**
487,773

AMPCO-PITTSBURG CORP COM
**
3,085

AMPHASTAR PHARMACEUTICALS INC DEL COM
**
222,317

AMPHENOL CORP NEW 2.2% DUE 04-01-2020
**
3,630,469

AMPHENOL CORP NEW 2.8% DUE 02-15-2030
**
247,668

AMPLIFY ENERGY CORP NEW COM
**
39,369

AMS AG COM
**
1,100,736

AMTECH SYS INC COM PAR $0.01 NEW STK
**
10,740


27
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ANA HOLDINGS INC NPV
**
140,495

ANALOG DEVICES INC 2.5% DUE 12-05-2021
**
201,488

ANALOG DEVICES INC 2.95% DUE 01-12-2021
**
252,091

ANALOG DEVICES INC 2.95% DUE 01-12-2021
**
4,214,962

ANALOG DEVICES INC 3.125% DUE 12-05-2023
**
25,843

ANALOG DEVICES INC 4.5% DUE 12-05-2036
**
162,015

ANALOG DEVICES INC COM
**
6,684,275

ANAPTYSBIO INC COM
**
57,558

ANDERSONS INC COM
**
136,714

ANGI HOMESERVICES INC COM USD0.001
**
110,567

ANGIODYNAMICS INC COM STK
**
116,297

ANGLO AMERICAN USD0.54945
**
1,287,748

ANGLO AMERICAN USD0.54945
**
1,310,462

ANGLO AMERN CAP 4% DUE 09-11-2027
**
408,699

ANGLO AMERN CAP 4.75% DUE 04-10-2027
**
886,043

ANGLOGOLD ASHANTI LIMITED ZAR0.25
**
589,022

ANHEUSER BUSCH INBEV FIN INC 4.625 DUE 02-01-2044 REG
**
226,850

ANHEUSER BUSCH INBEV WORLDWIDE INC 4.15% 01-23-2025
**
4,975,252

ANHEUSER BUSCH INC 4.439% DUE 10-06-2048
**
336,484

ANHEUSER-BUSCH 3.5% DUE 01-12-2024
**
3,825,470

ANHEUSER-BUSCH 4.375% DUE 04-15-2038
**
640,328

ANHEUSER-BUSCH COS LLC CORP 3.65% 02-01-2026
**
533,281

ANHEUSER-BUSCH COS LLC CORP 4.7% 02-01-2036
**
695,253

ANHUI CONCH CEMENT 'H'CNY1
**
393,645

ANIKA THERAPEUTICS INC COM STK
**
98,774

ANIXTER INTL INC COM
**
488,130

ANSELL NPV
**
1,124,263

ANTA SPORTS PRODUC HKD0.10
**
1,163,723

ANTARES PHARMA INC COM
**
404,914

ANTERO MIDSTREAM CORPORATION COM USD1.00
**
68,538

ANTERO RES CORP COM
**
136,239

ANTHEM INC 2.95% 12-01-2022
**
757,075

ANTHEM INC 3.35% DUE 12-01-2024
**
78,287

ANTHEM INC 3.35% DUE 12-01-2024
**
782,875

ANTHEM INC 4.101% 03-01-2028
**
233,619

ANTHEM INC COM
**
12,926,884

ANTHEM INC FIXED 2.5% 11-21-2020
**
3,244,372

ANTOFAGASTA ORD GBP0.05
**
650,551

AON CORP 5% DUE 09-30-2020
**
5,209,448

AON PLC 3.875% DUE 12-15-2025
**
69,964

AON PLC 4.25% DUE 12-12-2042
**
69,883

AON PLC COM
**
24,422,627

AOZORA BANK NPV
**
253,519

APACHE CORP 3.25 DUE 04-15-2022 REG
**
49,930

APACHE CORP 3.25 DUE 04-15-2022 REG
**
13,253,844

APACHE CORP 4.375% 10-15-2028
**
784,491

APACHE CORP 5.1% DUE 09-01-2040
**
91,632


28
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
APACHE CORP COM
**
12,131,733

APARTMENT INVESTMENT & MANAGEMENT COM USD0.01 CLASS A (POST REV SPLIT)
**
695,674

APELLIS PHARMACEUTICALS INC COM
**
194,192

APERGY CORP COM
**
203,457

APOGEE ENTERPRISES INC COM
**
128,018

APOLLO GLOBAL MGMT INC COM USD0.00001 CLASS A
**
1,750,957

APPALACHIAN PWR CO FIXED 4.5% 03-01-2049
**
69,490

APPFOLIO INC COM CL A COM CL A
**
2,025,499

APPLE HOSPITALITY REIT INC COM NEW COM NEW
**
323,424

APPLE INC 1.55% DUE 08-04-2021
**
697,374

APPLE INC 1.9% DUE 02-07-2020
**
5,656,818

APPLE INC 2% 11-13-2020
**
6,165,707

APPLE INC 2.2% DUE 09-11-2029
**
245,307

APPLE INC 2.45% DUE 08-04-2026
**
6,004,542

APPLE INC 2.9% DUE 09-12-2027
**
208,228

APPLE INC 2.9% DUE 09-12-2027
**
3,748,107

APPLE INC 3.35% DUE 02-09-2027
**
213,037

APPLE INC 3.35% DUE 02-09-2027
**
4,047,708

APPLE INC 3.85% DUE 08-04-2046
**
103,758

APPLE INC COM STK
**
26,646,682

APPLE INC FIXED 2.95% 09-11-2049
**
242,398

APPLE INC FIXED 3.75% 11-13-2047
**
832,922

APPLIED GENETIC TECHNOLOGIES CORP COM
**
14,884

APPLIED INDL TECHNOLOGIES INC COM
**
225,546

APPLIED MATERIALS INC COM
**
21,860,133

APPLIED OPTOELECTRONICS INC COM
**
4,039

APT PIPELINES LTD SR NT 144A 4.2% DUE 03-23-2025 BEO
**
265,844

APTARGROUP INC COM
**
1,121,514

APTIV PLC COM USD
**
9,605,551

AQUAVENTURE HOLDINGS LTD COM NPV
**
130,610

ARAMARK COM
**
2,015,670

ARC DOCUMENT SOLUTIONS INC COM
**
8,261

ARCA CONTINENTAL SAB DE CV
**
187,423

ARCBEST CORP COM USD0.01
**
543,113

ARCELIK TRY1
**
245,226

ARCELORMITTAL 3.6% DUE 07-16-2024
**
2,535,949

ARCELORMITTAL 4.55% DUE 03-11-2026
**
1,603,524

ARCH CAP FIN LLC 4.011% DUE 12-15-2026
**
752,425

ARCH COAL INC CL A COM STK
**
1,557,332

ARCHER-DANIELS 3.375% DUE 03-15-2022
**
3,043,441

ARCHER-DANIELS-MIDLAND CO COM
**
5,731,270

ARCHROCK INC COM
**
2,657,799

ARCONIC INC COM USD1.00
**
404,626

ARCOSA INC COM
**
330,561

ARCUS BIOSCIENCES INC COM
**
44,440

ARDAGH GROUP S A ARDAGH GROUP S A EUR0.01 CL A
**
455,274

ARDELYX INC COM
**
81,189


29
Table of Contents


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

ARDMORE SHIPPING CORP
**
54,074

ARENA PHARMACEUTICALS INC COM NEW COM NEW
**
261,347

ARES MANAGEMENT LP COM SHS REPSTG LTD PARTNER
**
848,101

AREZZO INDUSTRIA E COMERCIO
**
647,848

ARGAN INC COM
**
218,482

ARGEN X SE
**
187,143

ARGENT SECS INC 2003-W3 ASSET BKD CTF M-1 FLTG 09-25-2033 REG
**
302,551

ARGENT SECS INC FLTG RT 2.842% DUE 11-25-2034
**
1,480,473

ARGENTINA(REP OF) FRN 04/2022 ARS1
**
13,207

ARGENTINA(REP OF) FRN 06/2020 ARS1
**
54,315

ARGO GROUP INTERNATIONAL HOLDINGS COM STK
**
349,067

ARI FLEET LEASE TR 2.27999997139% DUE 04-15-2026
**
2,002,330

ARISTA NETWORKS INC COM
**
15,758,415

ARIZONA PUB SVC CO 2.2% DUE 01-15-2020
**
173,001

ARIZONA PUB SVC CO 3.35% DUE 06-15-2024
**
1,807,992

ARLO TECHNOLOGIES INC COM
**
184,975

ARMSTRONG FLOORING INC COM
**
62,129

ARROW ELECTR INC COM
**
3,113,941

ARROW ELECTRS INC 3.5% DUE 04-01-2022
**
307,202

ARROW ELECTRS INC FIXED 3.25% DUE 09-08-2024
**
1,233,971

ARROW ELECTRS INC FIXED 3.875% DUE 01-12-2028
**
18,445

ARROW ELECTRS INC FIXED 4% DUE 04-01-2025
**
263,582

ARROW FINL CORP COM
**
74,126

ARTIS REAL ESTATE TRUST UNITS CAD
**
983,752

ARTNATURE INC NPV
**
147,465

ARVINAS INC COM
**
732,265

ARYZTA AG CHF0.02 (REGD)
**
59,864

ASBURY AUTOMOTIVE GROUP INC COM
**
184,454

ASCENA RETAIL GROUP INC COM NEW COM NEW
**
8,244

ASCENDAS R/EST INV NPV (REIT)
**
178,688

ASGN INCORPORATED COMN STK USD0.01
**
199,781

ASHFORD HOSPITALITY TR INC COM SHS
**
20,972

ASHLAND GLOBAL HLDGS INC COM
**
1,883,709

ASHMORE GROUP ORD GBP0.0001
**
59,701

ASHTEAD GROUP ORD GBP0.10
**
271,825

ASIA CEMENT CHINA HKD0.1
**
298,776

ASIAN DEV BK GLOBAL NT 1.5% DUE 01-22-2020 REG
**
29,994,600

ASIAN DEV BK SR NT 1.75% DUE 01-10-2020 REG
**
9,999,801

ASM INTL NV EUR0.04
**
1,270,440

ASML HOLDING NV EUR0.09
**
3,581,936

ASPEN TECHNOLOGY INC COM
**
574,297

ASR NEDERLAND NV EUR0.16
**
1,191,626

ASSA ABLOY SER'B'NPV (POST SPLIT)
**
149,849

ASSECO POLAND SAPLN1
**
409,849

ASSEMBLY BIOSCIENCES INC COM
**
148,581

ASSERTIO THERAPEUTICS INC COM STK
**
58,359


30
Table of Contents

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

ASSIC GENERALI SPA EUR1
**
1,248,811

ASSOCD BRIT FOODS ORD GBP0.0568
**
857,121

ASSOCTD BANC-CORP COM
**
570,660

ASSORE LTD COMSTK
**
93,406

ASSURANT INC COM
**
2,358,654

ASSURED GUARANTY LTD COMMON STK
**
2,585,217

ASTA FDG INC COM
**
1,611

ASTEC INDS INC COM
**
674,898

ASTELLAS PHARMA NPV
**
2,969,997

ASTRAL FOODS ZAR0.01
**
161,455

ASTRAZENECA ORD USD0.25
**
1,715,270

ASTRAZENECA PLC 2.375% DUE 11-16-2020
**
983,099

ASTRAZENECA PLC 3.375% DUE 11-16-2025
**
7,546,252

ASTRONICS CORP CL B CL B
**
4,623

ASTRONICS CORP COM
**
395,912

ASTRONOVA INC COMMON STOCK
**
18,522

ASX LTD NPV
**
166,512

AT HOME GROUP INC COM
**
54,362

AT&T BROADBAND 9.455% DUE 11-15-2022
**
241,704

AT&T INC 2.8% DUE 02-17-2021
**
3,672,782

AT&T INC 3% DUE 06-30-2022
**
4,203,675

AT&T INC 3.15% DUE 09-04-2036
**
658,556

AT&T INC 3.4% DUE 05-15-2025
**
7,330,907

AT&T INC 3.6% DUE 02-17-2023
**
2,212,849

AT&T INC 3.8% DUE 03-15-2022
**
2,231,716

AT&T INC 3.875% DUE 08-15-2021
**
41,214

AT&T INC 3.95% DUE 01-15-2025
**
3,644,466

AT&T INC 4.05% 12-15-2023
**
2,695,036

AT&T INC 4.125% DUE 02-17-2026
**
1,517,512

AT&T INC 4.125% DUE 02-17-2026
**
3,902,174

AT&T INC 4.25% DUE 03-01-2027
**
878,706

AT&T INC 4.25% DUE 03-01-2027
**
1,713,476

AT&T INC 4.35% DUE 03-01-2029
**
11,125,127

AT&T INC 4.45% DUE 04-01-2024
**
216,812

AT&T INC 4.45% DUE 04-01-2024
**
2,710,150

AT&T INC 5.25% DUE 03-01-2037
**
8,721,922

AT&T INC 5.45% DUE 03-01-2047
**
4,969,091

AT&T INC 6.375% DUE 03-01-2041
**
106,063

AT&T INC CORP 3.8% 02-15-2027
**
1,343,201

AT&T INC CORP 4.0% 01-15-2022
**
727,647

AT&T INC FIXED 4.1% 02-15-2028
**
174,104

AT&T INC FIXED 4.9% DUE 08-15-2037
**
863,568

AT&T INC FLTG RT 2.78125% DUE 07-15-2021
**
504,759

AT&T INC FLTG RT 3.06725% DUE 06-12-2024
**
203,470

AT&T INC NT FLTG DUE 06-01-2021 REG
**
402,374

AT&T INC NTS 1.8% DUE 05-29-2026
**
721,187

ATCO LTD CLASS I NON-VOTING COM NPV
**
104,318


31
Table of Contents

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

ATEAM INC NPV
**
445,164

ATHENE GLOBAL FDG 2.75% DUE 04-20-2020
**
4,459,269

ATHENE GLOBAL FDG 2.75% DUE 06-25-2024
**
252,544

ATHENE GLOBAL FDG 2.75% DUE 06-25-2024
**
505,088

ATHENE GLOBAL FDG 2.95% DUE 11-12-2026
**
349,606

ATHENE GLOBAL FDG 3% DUE 07-01-2022
**
1,678,881

ATHENE HOLDING LTD COM USD0.001 CL A
**
2,469,498

ATLANTIC CAP BANCSHARES INC COM MON STOCK
**
317,969

ATLANTIC UN BANKSHARES CORP COM
**
1,455,926

ATLANTICA YIELD PLC COM USD0.1
**
994,903

ATLAS AIR WORLDWIDE HLDGS INC COM NEW STK
**
96,219

ATLAS COPCO AB SER'B'NPV
**
134,486

ATMOS ENERGY CORP 4.125% DUE 10-15-2044
**
109,305

ATN INTL INC COM
**
152,655

ATOS SE
**
818,391

ATRECA INC CL A COM CL A COM
**
164,616

ATRICURE INC COM STK
**
227,440

AUBURN NATL BANCORP COM STK
**
15,052

AUDIOCODES LTD COM STK
**
531,269

AURIZON HOLDINGS NPV
**
1,976,864

AUST & NZ BANK GRP NPV
**
552,721

AUSTAL LIMITED NPV
**
864,206

AUSTEVOLL SEAFOOD NOK0.50
**
566,797

AUSTRALIA & NEW 2.05% DUE 11-21-2022
**
2,303,163

AUSTRALIA & NEW 2.625% DUE 05-19-2022
**
3,584,501

AUSTRALIA & NEW ZEALAND BKG GROUP LTD NY 2.25% DUE 11-09-2020
**
702,405

AUTODESK INC COM
**
25,500,023

AUTONATION INC 3.5% 11-15-2024
**
51,546

AUTONATION INC COM
**
599,754

AUTOZONE INC 4.0% 11-15-2010 REG
**
2,599,311

AVALARA INC COM
**
2,603,598

AVALONBAY CMNTYS 3.45% DUE 06-01-2025
**
845,642

AVALONBAY COMMUNITIES INC 3.625 DUE 10-01-2020 REG
**
992,900

AVANCE GAS HLDGS L USD1
**
350,658

AVANGRID INC 3.15% 12-01-2024
**
314,895

AVANGRID INC 3.8% DUE 06-01-2029
**
2,509,722

AVANOS MED INC COM
**
234,350

AVANTI FEEDS LTD DEMAT EQUITY INR1
**
144,048

AVAST PLC ORD GBP0.10
**
395,581

AVAYA HLDGS CORP COM
**
216,864

AVERY DENNISON CORP COM
**
233,645

AVIAT NETWORKS INC COM NEW COM NEW
**
13,741

AVIATION CAP GROUP 4.125% DUE 08-01-2025
**
1,934,544

AVIATION CAP GROUP 7.125% DUE 10-15-2020
**
321,703

AVID TECHNOLOGY INC COM
**
230,141

AVIS BUDGET RENT 2.5% DUE 07-20-2021
**
1,401,648

AVISTA CORP COM ISIN # US05379B1070
**
797,813


32
Table of Contents

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

AVITA MED LTD AVITA MED LTD
**
102,696

AVIVA ORD GBP0.25
**
1,140,407

AVNET INC COM
**
5,289,425

AVOLON HLDGS FDG 4.375% DUE 05-01-2026
**
184,853

AVOLON HLDGS FDG 5.5% DUE 01-15-2023
**
215,616

AVX CORP COM
**
517,727

AXA EQUITABLE FIXED 3.9% DUE 04-20-2023
**
3,877,548

AXA EUR2.29
**
1,795,306

AXALTA COATING SYSTEMS LTD COM USD1.00
**
1,688,994

AXCELIS TECHNOLOGIES INC COM NEW COM NEW
**
134,691

AXFOOD AB NPV
**
53,659

AXIS BANK LTD INR2
**
569,932

AXIS CAPITAL HOLDINGS LTD COM USD0.0125
**
2,085,868

AXIS SPECIALTY FIN 5.875% DUE 06-01-2020
**
853,226

AXON ENTERPRISE INC COM
**
5,192,694

AXOS FINL INC COM
**
235,881

AXT INC COM
**
31,999

AYALA LAND INC PHP1
**
119,813

AZUL SA PRF NPV
**
131,914

AZZ INC COM
**
193,541

B & G FOODS INC COMMON STOCK
**
668,717

B A T CAP CORP 2.789% DUE 09-06-2024
**
5,526,919

B A T CAP CORP 3.222% 08-15-2024
**
3,513,586

B A T CAP CORP 4.39% 08-15-2037
**
104,304

B A T CAP CORP FIXED 0% DUE 08-14-2020
**
400,696

B A T CAP CORP FIXED 2.764% DUE 08-15-2022
**
23,937,742

B A T CAP CORP FIXED 3.557% DUE 08-15-2027
**
8,995,240

B2 GOLD CORP COMMON STOCK
**
1,314,965

B2R MTG TR 2015-2 3.336% DUE 11-15-2048
**
52,140

BA CR CARD TR 1.74% DUE 01-15-2025
**
15,716,677

BABY BUNTING GROUP NPV
**
73,455

BACARDI LTD 4.45% DUE 05-15-2025
**
862,793

BAE SYSTEMS ORD GBP0.025
**
1,129,840

BAIC MOTOR CORPORATION LIMITED 'H'CNY1
**
252,716

BAIDU INC SPONS ADR REPR 0.10 ORD CLS A
**
3,168,722

BAKER HUGHES A GE CO LLC/BAKER HUGHES 2.773% 12-15-2022
**
102,008

BAKER HUGHES A GE CO LLC/BAKER HUGHES 2.773% 12-15-2022
**
510,039

BAKER HUGHES A GE CO LLC/BAKER HUGHES 4.08% 12-15-2047
**
717,855

BALL CORP COM
**
37,468,246

BALT GAS & ELEC CO 2.4% DUE 08-15-2026
**
5,858,014

BALT GAS & ELEC CO 3.2% DUE 09-15-2049
**
220,529

BALT GAS & ELEC CO 3.35% DUE 07-01-2023
**
347,405

BALT GAS & ELEC CO 3.5% DUE 08-15-2046
**
26,480

BANC AMERICA COML MTG TR SER 2016-UB10 CLS A3 2.903% 06-15-2049
**
10,226,804

BANC CALIF INC COM
**
5,542,474

BANCA CARIGE SPA 25/05/2022
**
675,628

BANCA CARIGE SPA FRN GTD 10/21 EUR100000'640
**
682,748


33
Table of Contents

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

BANCA IFIS EUR1
**
233,873

BANCFIRST CORP COM
**
303,583

BANCO ACTINVER SA CBFI (FIBRA UNO ADMINISTR)
**
112,761

BANCO DE CHILE COM NPV
**
67,710

BANCO SANTANDER 2.5% DUE 12-15-2020
**
3,003,980

BANCO SANTANDER SA 3.125% 02-23-2023
**
2,653,968

BANCO SANTANDER SA 3.5% DUE 04-11-2022
**
2,260,121

BANCO SANTANDER SA 3.848% 04-12-2023
**
1,669,159

BANCO SANTANDER SA FORMERLY BANCO SANTA 4.379% DUE 04-12-2028 REG
**
1,313,812

BANCO SANTANDER SA FRNS 04-12-2023
**
2,214,124

BANCORP INC DEL COM STK
**
339,892

BANCORPSOUTH BK TUPELO MISS COM
**
947,231

BANGKOK BANK THB10 (NVDR)
**
612,565

BANGKOK LAND PCL THB1(NVDR)
**
173,236

BANK 2017-BNK9 3.47% DUE 11-15-2054
**
3,585,601

BANK AMER CORP 2.738% 01-23-2022
**
1,183,557

BANK AMER CORP 3.093% 10-01-2025
**
1,393,327

BANK AMER CORP 3.194% 07-23-2030
**
1,479,455

BANK AMER CORP 3.248% DUE 10-21-2027
**
833,966

BANK AMER CORP 3.3% DUE 01-11-2023
**
258,471

BANK AMER CORP 3.3% DUE 01-11-2023
**
16,200,932

BANK AMER CORP 3.366% DUE 01-23-2026
**
261,500

BANK AMER CORP 3.419% 12-20-2028
**
137,569

BANK AMER CORP 3.419% 12-20-2028
**
31,989,480

BANK AMER CORP 3.499% 05-17-2022
**
5,299,372

BANK AMER CORP 3.5% DUE 04-19-2026
**
1,861,215

BANK AMER CORP 3.95% DUE 04-21-2025
**
2,029,118

BANK AMER CORP 4% DUE 01-22-2025
**
574,950

BANK AMER CORP 4% DUE 01-22-2025
**
4,730,800

BANK AMER CORP 4.45% DUE 03-03-2026
**
549,155

BANK AMER CORP 4.45% DUE 03-03-2026
**
3,734,252

BANK AMER CORP BDS 4 04-01-2024
**
9,799,341

BANK AMER CORP CORP BD 4.125 DUE 01-22-2024 REG
**
4,095,510

BANK AMER CORP FIXED 4.078% 04-23-2040
**
567,154

BANK AMER CORP FLTG RT 2.328% DUE 10-01-2021
**
431,225

BANK AMER CORP FLTG RT 2.369% DUE 07-21-2021
**
3,641,466

BANK AMER CORP FLTG RT 2.6605% DUE 02-05-2026
**
249,828

BANK AMER CORP FLTG RT 2.881% DUE 04-24-2023
**
610,095

BANK AMER CORP FLTG RT 2.881% DUE 04-24-2023
**
13,716,972

BANK AMER CORP FLTG RT 2.884% DUE 10-22-2030
**
2,718,676

BANK AMER CORP FLTG RT 3.593% DUE 07-21-2028
**
8,947,057

BANK AMER CORP MTN 3.458% 03-15-2025
**
6,672,989

BANK AMER CORP SR NT 2.625% DUE 04-19-2021/04-20-2017
**
6,196,254

BANK AMER CORP VAR RT 2.816% DUE 07-21-2023
**
914,395

BANK AMER CORP VAR RT 2.816% DUE 07-21-2023
**
14,528,724

BANK AMER CORP VAR RT 3.124% DUE 01-20-2023
**
1,162,275

BANK AMER MERRILL LYNCH COML MTG TR SER 2016-UB10 CLS ASB 3.019% 06-15-2049
**
2,045,656


34
Table of Contents

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

BANK COMM HLDGS COM STK
**
25,801

BANK MARIN BANCORP COM STK
**
267,597

BANK MONTREAL MEDIUM TERM SR NTS BOOK 3.1% DUE 04-13-2021
**
1,798,909

BANK MONTREAL MEDIUM TERM SR NTS BOOK VAR RT DUE 04-13-2021
**
5,241,891

BANK MONTREAL MEDIUM TERM SR NTS BOOK ENTRANCHE # TR 00340 VAR RT DUE 09-10-2021
**
5,079,545

BANK MONTREAL QUE 1.75% DUE 06-15-2021
**
7,959,343

BANK NEW YORK INC 3.95 DUE 11-18-2025
**
15,336

BANK NEW YORK MELLON CORP 3.3% 08-23-2029
**
523,482

BANK NEW YORK MELLON CORP 3.3% 08-23-2029
**
10,857,024

BANK NEW YORK MELLON CORP COM STK
**
9,015,361

BANK NEW YORK MELLON CORP MEDIUM TERM 2.2% 08-16-2023
**
4,929,936

BANK NEW YORK MELLON CORP MEDIUM TERM SR NT BOOK ENTRY 2.95% 01-29-2023
**
1,571,317

BANK NT BUTTERFIELD COM BMD1(POST REV SPLIT)
**
1,109,230

BANK OF AMER CORP 5.00 DUE 05-13-2021
**
505,665

BANK OF AMERICA CORP
**
15,503,844

BANK OF AMERICA CORP 3.004% 12-20-2023
**
1,659,865

BANK OF AMERICA CORP 3.004% 12-20-2023
**
11,247,583

BANK OF AMERICA CORP 2.25% DUE 04-21-2020
**
2,337,186

BANK OF AMERICA CORP 3.55% 03-05-2024
**
565,631

BANK OF AMERICA CORP 3.55% 03-05-2024
**
923,691

BANK OF AMERICA CORP BNDS 4.2 DUE 08-26-2024
**
2,437,558

BANK OF CHINA LTD H CNY1
**
919,705

BANK OF COMMUNICATIONS CO 'H'
**
93,142

BANK OF MONTREAL 3.1% DUE 07-13-2020
**
604,155

BANK OF MONTREAL FIXED 2.9% DUE 03-26-2022
**
4,343,430

BANK OF NY MELLON CORP 2.45% DUE 11-27-2020/10-27-2020
**
200,974

BANK OZK COM
**
592,926

BANK PEKAO SA PLN1.00
**
38,966

BANK RAKYAT INDONESIA PERSER
**
692,643

BANKUNITED INC
**
552,166

BANKWELL FINL GROUP INC COM
**
22,293

BANNER CORP COM NEW COM NEW
**
3,464,723

BANQUE FEDERATIVE 3.75% DUE 07-20-2023
**
1,048,801

BAR HBR BANKSHARES COM
**
70,914

BARCLAYS BK PLC 7.625 DUE 11-21-2022
**
6,742,500

BARCLAYS PLC 3.65% DUE 03-16-2025
**
2,133,793

BARCLAYS PLC 3.684% DUE 01-10-2023
**
410,197

BARCLAYS PLC 3.684% DUE 01-10-2023
**
2,256,085

BARCLAYS PLC 4.337% DUE 01-10-2028
**
3,617,010

BARCLAYS PLC 4.338% 05-16-2024
**
1,897,920

BARCLAYS PLC 4.338% 05-16-2024
**
8,435,200

BARCLAYS PLC 4.375% DUE 01-12-2026
**
3,240,900

BARCLAYS PLC 4.61% 02-15-2023
**
6,167,787

BARCLAYS PLC 4.836% 05-09-2028
**
431,434

BARCLAYS PLC 4.972% 05-16-2029
**
1,995,871

BARCLAYS PLC 8.0% 06-15-2164
**
223,750

BARCLAYS PLC 8.0% 15/12/2049
**
479,869


35
Table of Contents

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

BARCLAYS PLC BARCLAYS PLC 7.75% DUE 12-31-2049 BEO
**
1,420,250

BARCLAYS PLC ORD GBP0.25
**
3,894,447

BARCLAYS PLC SR NT FLTG VAR RT DUE 05-16-2024/05-16-2023
**
1,213,706

BARCO NPV
**
1,164,977

BARNES & NOBLE ED INC COM
**
51,599

BARNES GROUP INC COM
**
261,843

BARRATT DEVELOPMENTS ORD GBP0.10
**
902,872

BARRETT BUSINESS SVCS INC COM
**
197,474

BARRICK GOLD CORP COM NPV
**
1,600,020

BASIC ENERGY SVCS INC NEW COM NEW COM NEW
**
854

BASSETT FURNITURE INDS INC COM STK
**
13,177

BAUSCH HEALTH COMP COM NPV
**
606,213

BAUSCH HEALTH COMP COM NPV
**
224,699

BAWAG GROUP AG COMMON STOCK
**
51,068

BAY AREA TOLL AUTH CALIF TOLL BRDG REV 2.574% 04-01-2031 BEO TAXABLE
**
2,863,267

BAYCOM CORP COM
**
44,934

BAYCURRENT CONSULT NPV
**
855,934

BAYER AG NPV (REGD)
**
11,163,177

BAYER US FIN II 3.5% DUE 06-25-2021
**
5,600,336

BAYER US FIN II 4.375% DUE 12-15-2028
**
327,476

BAYER US FIN II LLC GTD NT FLTG RATE 144A DUE 12-15-2023/06-25-2018 BEO
**
301,787

BB SEGURIDADE PART COM NPV
**
345,284

BB&T CO GLOBAL BK FIXED 2.15% DUE 12-06-2024
**
2,566,943

BB&T CORP MEDIUM TERM NTS 3.05% 06-20-2022
**
563,745

BB&T CORP SR 2.05% DUE 05-10-2021
**
531,117

BB&T CORP SR 2.2% DUE 03-16-2023
**
1,535,130

BB&T CORP SR FLTG RT 02-01-2021
**
3,900,078

BB&T CORP SR MEDIUM TERM NTS BOOK ENTRY 2.625% DUE 06-29-2020
**
2,316,217

BBVA(BILB-VIZ-ARG) 6.75%-FRN PERP EUR200000'3'
**
226,384

BBVA(BILB-VIZ-ARG) EUR0.49
**
2,116,896

BBX CAPITAL CORPORATION NEW COM USD0.01 CL A
**
54,373

BCA POP DI SONDRIO EUR3
**
28,405

BCB BANCORP INC COM STK
**
17,348

BCO COM PORTUGUES NPV
**
195,845

BCO CREDITO INVERS COM NPV
**
83,901

BCO DO BRASIL SA COM NPV
**
1,670,286

BCO EST R GDE SUL PRF CLASS 'B' NPV
**
82,455

BDO UNIBANK INC PHP10
**
205,407

BEACH ENERGY LTD NPV
**
1,079,992

BEACON ROOFING SUPPLY INC COM
**
380,978

BEAR STEARNS ARM FLTG RT 3.943255% DUE 05-25-2034
**
7,016

BEAR STEARNS ASSET BACKED SECS I LLC ASSASSET BKD CTF CL I-A-1A 5.5 25 AUG 2036
**
324,084

BEAR STEARNS AST BACKED SECS I TR 2007 AST BACKED CTF CL I-A-1 08-25-2037 REG
**
446,948

BEASLEY BROADCAST GROUP INC CL A CL A
**
5,142

BECTON DICKINSON & 2.404% DUE 06-05-2020
**
6,787,209

BECTON DICKINSON & 3.363% DUE 06-06-2024
**
3,489,164

BECTON DICKINSON & 3.734% DUE 12-15-2024
**
270,345


36
Table of Contents

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

BECTON DICKINSON & 4.685% DUE 12-15-2044
**
595,687

BECTON DICKINSON & CO NT FLTG RATE DUE 12-29-2020/03-01-2019 REG
**
3,811,871

BED BATH & BEYOND INC COM
**
1,045,802

BEIERSDORF AG EUR1
**
7,832,190

BEIJING CAPITAL INTERNATIONAL AIRPORTS 'H' CNY1
**
298,442

BEIJING ENTERPRISE NPV
**
266,113

BEL FUSE INC CL B CL B
**
40,426

BELDEN INC COM
**
3,472,150

BELLWAY GBP0.125
**
1,348,080

BENCHMARK ELECTRS INC COM
**
864,395

BENESSE HOLDINGS INC NPV
**
205,058

BERKLEY GP HOLDINGS
**
840,345

BERKSHIRE HATHAWAY 2.4% DUE 02-01-2020
**
4,401,413

BERKSHIRE HATHAWAY 3.25% DUE 04-15-2028
**
422,924

BERKSHIRE HATHAWAY ENERGY CO 2.375% 01-15-2021
**
2,860,207

BERKSHIRE HILLS BANCORP INC COM
**
253,603

BERRY PETE CORP COM
**
412,817

BEST WORLD INTL NPV (POST SUBDIVISION)
**
694,843

BGC PARTNERS INC FIXED 5.375% DUE 07-24-2023
**
1,497,433

BGF RETAIL CO LTD KRW1000
**
34,900

BHARAT PETROL CORP INR10
**
370,628

BHARTI AIRTEL LTD COMSTK
**
708,539

BHP BILLITON FIN 5% DUE 09-30-2043
**
147,281

BHP GROUP LIMITED
**
1,523,859

BHP GROUP PLC ORD USD0.50
**
1,677,494

BIC EUR3.82
**
112,048

BID CORP LTD NPV
**
199,942

BIG 5 SPORTING GOODS CORP COM
**
6,765

BIG LOTS INC COM
**
160,229

BIGLARI HLDGS INC CL A CL A
**
23,400

BIGLARI HLDGS INC CL B CL B
**
34,097

BIOCRYST PHARMACEUTICALS INC COM
**
240,489

BIOMARIN PHARMACEUTICAL INC COM ISIN CH0008107010
**
5,349,563

BIO-TECHNE CORP COM
**
598,604

BIOTELEMETRY INC COM
**
3,317,210

BIOTEQUE CORP TWD10
**
117,540

BIRLA CORP INR10
**
74,608

BIRLASOFT LIMITED
**
136,690

BJS RESTAURANTS INC COM
**
1,669,063

BJS WHSL CLUB HLDGS INC COM
**
1,814,652

BK CENTRAL ASIA IDR62.50
**
287,804

BK MANDIRI IDR250
**
960,131

BK MONTREAL MEDIUM 2.5% DUE 06-28-2024
**
4,049,595

BK MONTREAL MEDIUM 3.3% DUE 02-05-2024
**
521,201

BK MONTREAL MEDIUM VAR RT 2.35325% DUE 01-22-2021
**
3,231,835

BK NEW YORK MELLON 2.5% DUE 04-15-2021
**
1,525,477

BK NEW YORK MELLON VAR RT 2.661% DUE 05-16-2023
**
406,162


37
Table of Contents

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

BK NOVA SCOTIA B C 2.45% DUE 03-22-2021
**
2,903,306

BK NOVA SCOTIA B C 2.5% 01-08-2021
**
804,503

BK NOVA SCOTIA B C 2.7% DUE 03-07-2022
**
159,772

BK NOVA SCOTIA B C 4.5% DUE 12-16-2025
**
274,653

BK NOVA SCOTIA B C FIXED 2.15% DUE 07-14-2020
**
75,077

BK NOVA SCOTIA B C FIXED 3.125% DUE 04-20-2021
**
355,528

BK NOVA SCOTIA B C FIXED 3.125% DUE 04-20-2021
**
2,224,592

BK NOVA SCOTIA B C FLTG RT 2.35963% DUE 01-25-2021
**
3,286,764

BK NY INC MEDIUM TERM SR NTS BEO TRANCHE# TR 00043 4.15 DUE 02-01-2021
**
563,364

BK OF PHILIP ISLAN PHP10
**
62,648

BK OF PUNJAB PKR10
**
92,109

BK OF TOKYO 3.25% DUE 09-08-2024
**
20,931,435

BK W AUTO TR 2.4% DUE 10-17-2022
**
488,476

BKW AG CHF2.50
**
256,088

BLACK HILLS CORP COM
**
5,266,500

BLACK KNIGHT INC COM USD0.0001 WI
**
580,578

BLACKBAUD INC COM
**
562,294

BLACKBERRY LTD NPV
**
185,506

BLACKLINE INC COM
**
518,487

BLACKROCK INC COM STK
**
9,831,807

BLUCORA INC COM
**
778,580

BLUEBIRD BIO INC COM
**
1,476,394

BLUEPRINT MEDICINES CORP COM
**
1,965,178

BLUESCOPE STEEL NPV
**
2,089,263

BMC STK HLDGS INC COM STK
**
1,258,889

BMW FLOORPLAN 3.15% DUE 05-15-2023
**
4,448,304

BMW US CAP LLC 1.85% DUE 09-15-2021
**
1,441,940

BMW VEH LEASE TR SER 19-1 CL A2 3.16% 03-22-2021 REG
**
4,254,595

BMW VEH OWNER TR 2018-ACL A-3 2.54% 04-25-2022
**
1,418,893

BMW VEH OWNER TR SER 19-A CL A4 1.95% DUE 01-26-2026
**
10,623,163

BNK FINANCIAL GROUP INC
**
417,265

BNP PARIBAS EUR2
**
1,305,942

BNP PARIBAS MEDIUM FIXED 3.8% DUE 01-10-2024
**
3,819,679

BNP PARIBAS SA 3.375% SNR NPF 23/01/26 GBP
**
578,428

BNP PARIBAS SR NON PFD 144A MED 2.95% 05-23-2022
**
2,600,667

BNP PARIBAS SR NON PFD 144A MED TERM NT PROGRAM BOOK ENTRY 3.5% 03-01-2023
**
620,925

BNP PARIBAS SR NON VAR RT 2.819% DUE 11-19-2025
**
5,565,324

BOARDWALK 5.95% DUE 06-01-2026
**
67,521

BOARDWALK PIPELINES LP 4.8% 05-03-2029
**
107,197

BOARDWALK R/EST IN TRUST UNITS
**
612,754

BOC AVIATION PTE 2.375% DUE 09-15-2021
**
498,125

BOC AVIATION PTE 2.75% DUE 09-18-2022
**
401,404

BOC AVIATION PTE 3.5% DUE 09-18-2027
**
512,433

*BOEING CO COM
**
10,005,191,972

BOISE CASCADE CO COM
**
1,239,572

BONANZA CREEK ENERGY INC COM NEW COM NEW
**
79,449

BONDS Y OBLIG DEL T-BOND 1.85% 30/07/2035
**
3,598,358


38
Table of Contents

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

BONOS DE TESORERIA 144A 5.94% 12/02/2 029
**
1,467,115

BONOS Y OBLIG DEL .25% 30/07/2024
**
911,826

BOOHOO GROUP PLC ORD GBP0.01
**
1,185,531

BOOT BARN HLDGS INC COM
**
877,597

BOOZ ALLEN HAMILTON HLDG CORP CL A COM STK
**
2,916,330

BORAL FIN PTY LTD 3.75% 05-01-2028
**
502,091

BORALEX INC CL'A'COM NPV
**
824,293

BORG WARNER INC COM
**
925,252

BORUSSIA DORTMUND NPV
**
993,527

BOSIDENG INTL HLDG USD0.00001
**
628,227

BOSTON BEER INC CL A CL A
**
2,002,605

BOSTON PRIVATE FINL HLDGS INC COM
**
2,787,844

BOTTOMLINE TECHNOLOGIES DE INC COM
**
546,720

BOUYGUES EUR1
**
588,226

BOX INC CL A CL A
**
3,124,436

BOYD GAMING CORP COM
**
3,305,526

BP CAP MKTS AMER 3.937% DUE 09-21-2028
**
1,989,576

BP CAP MKTS AMER 4.234% DUE 11-06-2028
**
1,131,053

BP CAP MKTS AMER FIXED 3.245% DUE 05-06-2022
**
1,140,589

BP CAP MKTS AMER FIXED 3.79% DUE 02-06-2024
**
5,395,935

BP CAP MKTS AMER FIXED 4.742% DUE 03-11-2021
**
2,116,417

BP CAP MKTS AMER INC 3.119% 05-04-2026
**
261,247

BP CAP MKTS AMER INC 3.216% 11-28-2023
**
2,017,221

BP CAP MKTS AMER INC CORP BOND 3.41% 02-11-2026
**
895,020

BP CAP MKTS P L C 3.506% DUE 03-17-2025
**
1,927,199

BP CAP MKTS P L C 3.535% DUE 11-04-2024
**
191,715

BP CAP MKTS P L C 3.814% DUE 02-10-2024
**
219,012

BP CAPITAL MARKETS PLC 2.315% DUE 02-13-2020
**
3,700,840

BP ORD USD0.25
**
1,680,358

BPCE S A MEDIUM 2.75% DUE 01-11-2023
**
1,829,343

BPCE S A MEDIUM 2.75% DUE 12-02-2021
**
912,253

BPCE SR NON PFD 3% DUE 05-22-2022
**
10,969,685

BR PROPERTIES SA COMSTK
**
80,413

BRADY CORP CL A
**
6,155,507

BRAEMAR HTLS & RES COM USD0.01
**
25,531

BRAMBLES LTD NPV
**
470,670

BRANCH BANKING & TRUST 2.25% 06-01-2020
**
600,416

BRANCH BANKING & TRUST 2.85 DUE 04-01-2021 REG
**
303,221

BRANDYWINE RLTY TR SH BEN INT NEW REIT
**
2,117,273

BRF KREDIT A/S BNDS 1.5% 01/10/2037
**
204,653

BRF SA COM NPV
**
364,045

BRIDGE BANCORP INC COM STK
**
119,534

BRIGGS & STRATTON CORP CAP
**
340,293

BRIGHAM MINERALS INC CL A CL A
**
2,109,310

BRIGHT HORIZONS FA COM USD0.001
**
3,531,815

BRIGHTCOVE INC
**
122,294

BRIGHTHOUSE FINL INC 3.7% 06-22-2027
**
598,601


39
Table of Contents

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

BRIGHTHOUSE FINL INC COM
**
1,976,917

BRIGHTVIEW HLDGS INC COM
**
48,046

BRISTOL MYERS 3.4% DUE 07-26-2029
**
5,554,460

BRISTOL MYERS SQUIBB CO CORP 3.625% 05-15-2024
**
380,483

BRISTOL MYERS SQUIBB CO SR NT EXCH 144A 2.25% 08-15-2021
**
3,531,949

BRISTOL MYERS SQUIBB CO SR NT EXCH 144A 3.25% 02-20-2023
**
481,610

BRISTOL MYERS SQUIBB CO SR NT EXCH 144A 3.875% 08-15-2025
**
1,924,222

BRITISH AMERICAN TOBACCO ORD GBP0.25
**
1,028,022

BRITISH TELECOMMUNICATIONS P L C 4.5% DUE 12-04-2023 BEO
**
645,946

BRITISH TELECOMMUNICATIONS P L C NT STEPUP 12-15-2030 12-12-2000
**
230,691

BRIXMOR OPER 3.65% DUE 06-15-2024
**
287,671

BRIXMOR OPER PARTNERSHIP LP FLTG 02-01-2022
**
8,494,801

BRIXMOR OPERATING PARTNERSHIP LP 3.85% NTS 02-01-2025 USD1000
**
120,793

BRIXMOR OPERATING PARTNERSHIP LP 3.85% NTS 02-01-2025 USD1000
**
5,724,557

BRIXMOR PPTY GROUP INC COM
**
595,572

BROADCOM CORP / 2.375% DUE 01-15-2020
**
3,530,158

BROADCOM CORP / 2.65% DUE 01-15-2023
**
201,140

BROADCOM CORP / 3% DUE 01-15-2022
**
8,036,155

BROADCOM CORP / 3.625% DUE 01-15-2024
**
4,192,338

BROADCOM CORP/ CAYMN FI 3.875% 01-15-2027
**
519,379

BROADCOM INC 3.125% DUE 10-15-2022
**
1,426,316

BROADRIDGE FINL SOLUTIONS INC COM STK
**
3,335,580

BROADWIND ENERGY INC COM NEW COM NEW
**
2,370

BROOKDALE SR LIVING INC COM STK
**
298,623

BROOKFIELD FIN INC 3.9% DUE 01-25-2028
**
214,515

BROOKFIELD FIN INC 4.85% 03-29-2029
**
171,767

BROOKFIELD FIN INC FIXED 4.7% 09-20-2047
**
118,472

BROOKLINE BANCORP INC DEL COM BROOKLINE BANCORP INC +
**
221,749

BROOKS AUTOMATION INC COM
**
1,130,948

BROTHER INDUSTRIES NPV
**
981,990

BRP INC SUB VTG NPV
**
766,445

BRUNSWICK CORP COM
**
1,313,562

BRYN MAWR BK CORP COM STK
**
116,008

BSTN PPTYS LTD 2.75% DUE 10-01-2026
**
1,724,350

BSTN PPTYS LTD 2.9% DUE 03-15-2030
**
274,558

BSTN PPTYS LTD 3.125% DUE 09-01-2023
**
123,853

BSTN PPTYS LTD 3.2% DUE 01-15-2025
**
276,132

BSTN SCIENTIFIC 3.75% DUE 03-01-2026
**
166,150

BT GROUP ORD GBP0.05
**
1,086,974

BUILD-A-BEAR WORKSHOP INC COM STK
**
6,661

BUILDERS FIRSTSOURCE INC COM STK
**
920,376

BUKIT ASAM TBK IDR500 SER'B'
**
36,613

BUMI ARMADA BERHA MYR
**
172,844

BUMRUNGRAD HOPTL THB1(NVDR)
**
75,463

BUNGE LTD
**
1,084,530

BUNKA SHUTTER CO NPV
**
109,205



40
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
BURBERRY GROUP ORD GBP0.0005
**
1,004,616

BURE EQUITY AB NPV
**
636,402

BUREAU VERITAS EUR0.12
**
99,451

BURL NORTHN SANTA 4.1% DUE 06-01-2021
**
153,997

BURL NORTHN SANTA 4.375% DUE 09-01-2042
**
290,619

BURL NORTHN SANTA 5.75% DUE 05-01-2040
**
108,018

BURL NORTHN SANTA FIXED 3% DUE 04-01-2025
**
156,159

BURLINGTN N SANTA FIXED 4.05% DUE 06-15-2048
**
567,073

BURLINGTON NORTHN SANTA 4.55 09-01-2044
**
95,404

BURLINGTON STORES INC COM
**
1,269,215

BUY TO OPEN REPO W/RBC CAPIT 1.6% FROM 12-31-2019 TO 01-02-2020
**
51,900,000

BW LPG LTD USD0.01
**
907,403

BWX TECHNOLOGIES INC COM
**
2,098,304

BYLINE BANCORP INC COM
**
108,672

C & F FINL CORP CMT-COM
**
34,969

C&C GROUP
**
116,103

CA INC 3.6% DUE 08-15-2022
**
1,856,965

CA REP AUTO 2.52% DUE 05-16-2022
**
2,435,815

CABELAS CR CARD 2.25% DUE 07-17-2023
**
1,915,053

CABLE ONE INC COM
**
2,381,552

CABOT CORP COM
**
2,249,264

CABOT MICROELECTRONICS CORP COM
**
1,748,870

CABOT OIL & GAS CORP COM
**
476,059

CACI INTL INC CL A CL A
**
500,730

CACTUS INC CL A CL A
**
803,088

CADENCE BANCORPORATION CL A CL A
**
364,177

CAESARSTONE LTD
**
363,308

CAI INTL INC COM
**
76,855

CAL MAINE FOODS INC COM NEW STK
**
261,716

CALAMP CORP COM
**
47,603

CALAVO GROWERS INC COM
**
1,614,042

CALERES INC COM
**
99,798

CALIFORNIA ST 2.367% 04-01-2022 BEO TAXABLE
**
7,939,698

CALIFORNIA ST 6.65 03-01-2022 BEO TAXABLE
**
11,538,773

CALIFORNIA ST 7.95 03-01-2036 BEO TAXABLE
**
10,095

CALIFORNIA ST UNIV REV 3.199% 11-01-2027BEO TAXABLE
**
1,525,705

CALIFORNIA ST UNIV REV 3.299% 11-01-2028BEO TAXABLE
**
1,572,377

CALITHERA BIOSCIENCES INC COM
**
195,659

CALIX NETWORKS INC COMMON STOCK
**
131,272

CALLAWAY GOLF CO COM
**
1,174,628

CALLON PETE CO DEL COM
**
2,690,444

CALTEX AUSTRALIA NPV
**
101,379

CAMBIUM NETWORKS CORPORATION COM
**
88,274

CAMDEN NATL CORP COM
**
124,086

CAMDEN PPTY TR SH BEN INT
**
3,620,026

CAMECO CORP COM NPV
**
96,556

CAMPBELL SOUP CO 3.3% DUE 03-15-2021
**
101,484


41
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CAMPBELL SOUP CO 3.65% 03-16-2018
**
104,184

CAMPBELL SOUP CO 3.65% 03-16-2018
**
833,472

CAMPBELL SOUP CO 3.95% DUE 03-15-2025
**
213,098

CANADA HOUSING TRUST 2.9% DUE 15/06/2024
**
641,388

CANADA HSG TR NO 1 CDA HSG TR SER 48 2.4% 144A 15/12/2022
**
1,879,320

CANADA(GOVT OF) I/L 1.5% BDS 01/12/44 CAD1000
**
573,773

CANADIAN IMPERIAL BK 2.606% DUE 07-22-2023
**
2,027,889

CANADIAN NATL RY CO COM
**
13,405,956

CANCOM SE NPV
**
245,299

CANNAE HLDGS INC COM USD0.0001
**
234,706

CAP 1 FINL CORP 3.2% DUE 01-30-2023
**
514,094

CAP 1 FINL CORP 3.2% DUE 01-30-2023
**
2,930,338

CAP 1 FINL CORP 3.2% DUE 02-05-2025
**
383,310

CAP 1 FINL CORP 3.45% DUE 04-30-2021
**
1,058,918

CAP 1 FINL CORP 3.9% DUE 01-29-2024
**
572,771

CAP 1 FINL CORP FIXED 3.05% DUE 03-09-2022
**
153,148

CAP 1 FINL CORP FIXED 3.05% DUE 03-09-2022
**
2,981,289

CAP 1 MULTI-ASSET 1.66% DUE 06-17-2024
**
9,969,084

CAP 1 MULTI-ASSET 2.29% DUE 07-15-2025
**
7,156,713

CAP 1 NATL ASSN 2.25% DUE 09-13-2021
**
2,586,632

CAP 1 PRIME AUTO RECEIVABLES TR SER 19-1 CL A4 3.05% 10-15-2024 BEO
**
2,228,635

CAP AUTO 2.02% DUE 08-20-2021
**
272,686

CAP CY BK GROUP INC COM
**
93,605

CAPCOM CO LTD NPV
**
980,244

CAPGEMINI EUR8
**
302,545

CAPITAL 1 MULTI SER 19-A2 CL A2 1.72% 09-15-2024 REG
**
8,329,355

CAPITAL ONE FINL CORP COM
**
15,642,320

CAPITAL ONE MULTI-ASSET EXECUTION TR 2019-1 CARD SER NT CL A 2.84% 12-15-2024
**
15,702,058

CAPITAL ONE NA 2.95 DUE 07-23-2021
**
7,967,986

CAPITAL ONE NATL ASSN MCLEAN VA 2.15% DUE 09-06-2022
**
250,424

CAPITAL ONE NATL ASSN MCLEAN VA BNDS 2.65% DUE 08-08-2022
**
4,846,990

CAPITAL PWR CORP COM
**
718,696

CAPITALAND MALL TRUST
**
199,961

CAPITOL FED FINL INC COM .
**
324,124

CAPRI HOLDINGS LTD COM NPV
**
267,470

CAPSTAR FINL HLDGS INC COM
**
33,167

CARABAO GROUP PUBLIC COMPANY LTD THB1 (NVDR)
**
253,223

CARDINAL HLTH INC 4.625% DUE 12-15-2020
**
517,222

CARDIOVASCULAR SYS INC DEL COM
**
1,184,430

CARDLYTICS INC COM
**
597,924

CARDTRONICS PLC CARDTRONICS PLC
**
1,164,293

CARETRUST REIT INC COM
**
53,122

CARGURUS INC CL A CL A
**
493,927

CARL ZEISS MEDITEC NPV
**
106,572

CARLISLE COMPANIES INC COM
**
22,496

CARLSBERG SER'B'DKK20
**
3,610,446

CARLYLE GLOBAL M16 FRN A/BKD 01/2030 EUR'A-1-R
**
561,704


42
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CARMAX AUTO OWNER 1.39% DUE 05-17-2021
**
198,289

CARMAX AUTO OWNER 2.26999998093% DUE 09-15-2022
**
2,406,447

CARMAX AUTO OWNER 2.41% DUE 12-15-2022
**
878,816

CARMAX AUTO OWNER 2.6% DUE 02-15-2023
**
331,221

CARMAX AUTO OWNER 2.77% DUE 12-16-2024
**
6,686,382

CARMAX AUTO OWNER 3.39% DUE 10-16-2023
**
676,827

CARMAX AUTO OWNER FIXED 1.97% DUE 04-15-2022
**
2,520,976

CARMAX AUTO OWNER TR 2017-3 CL A4 2.22%11-15-2022
**
2,706,040

CARMAX AUTO OWNER TR 2017-4 CL A-3 2.11% 10-17-2022 REG
**
382,249

CARMAX AUTO OWNER TR 2018-4 SER 18-4 CL A3 3.36% 09-15-2023
**
1,627,070

CARMAX AUTO OWNER TR SER 19-3 CL A4 2.3% 04-15-2025 REG
**
3,762,359

CARMAX AUTO OWNER TRSER 19-A CL A4 2.19% 07-15-2025 REG
**
395,616

CARMAX AUTO OWNER TRSER 19-A CL A4 2.19% 07-15-2025 REG
**
2,754,289

CARMAX AUTO OWNER TRUST SER 16-4 CL A3 1.4% 08-15-2021
**
345,155

CARMAX AUTO OWNER TRUST SER 17-1 CL A3 2.06% 11-15-2021
**
695,635

CARMAX INC COM
**
421,079

CARNIVAL PLC ORD USD1.66
**
225,729

CAROLINA FINANCIAL CORP COM USD0.001
**
176,292

CARPENTER TECHNOLOGY CORP COM
**
3,842,867

CARREFOUR SA EUR2.50
**
190,653

CARRIAGE SERVICES INC COM
**
87,910

CARROLS RESTAURANT GROUP INC COM
**
54,835

CARS COM INC COM
**
141,935

CARTER INC FORMERLY CARTER HLDGS INC TO 09/13/2003 COM
**
6,518,085

CARVANA CO CL A CL A
**
1,511,185

CASA SYS INC COM
**
53,424

CASCADES INC COM NPV
**
49,275

CASS INFORMATION SYS INC COM
**
40,822

CASTELLUM AB NPV
**
813,704

CASTLIGHT HEALTH INC CL B CL B
**
27,246

CATABASIS PHARMACEUTICALS INC COM NEW COM NEW
**
6,655

CATALENT INC COM
**
1,694,630

CATALYST BIOSCIENCES INC COM NEW COM NEW
**
11,781

CATALYST PHARMACEUTICALS INC COM STK USD0.001 STK
**
68,250

CATERPILLAR FINL 2.55% DUE 11-29-2022
**
254,732

CATERPILLAR FINL 3.65% DUE 12-07-2023
**
2,430,518

CATERPILLAR FINL CORP FLTG RT 05-17-2021
**
3,983,957

CATERPILLAR FINL SVCS CORP MEDIUM TERM NTS BOOK ENTRY 2.95% 02-26-2022
**
3,457,049

CATERPILLAR FINL SVCS CORP MEDIUM TERM N2.85 DUE 06-01-2022 REG
**
121,428

CATERPILLAR FINL SVCS CORP MEDIUM TERM NTRANCHE # TR 00792 VAR RT DUE 03-08-2021
**
3,090,554

CATHAY FINL HLDG TWD10
**
377,566

CATO CORP NEW CL A CL A
**
59,839

CAVCO INDS INC DEL COM STK
**
1,800,817

CBIZ INC COM
**
206,621

CBL & ASSOCS LTD PARTNERSHIP 5.25 DUE 12-01-2023
**
700,000

CBS CORP 4% DUE 01-15-2026
**
31,074

CBS CORP NEW 2.5% DUE 02-15-2023
**
2,547,058


43
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CBS CORP NEW 3.7% DUE 08-15-2024
**
165,084

CBS CORP NEW 4.3% DUE 02-15-2021
**
234,802

CBS CORP NEW FIXED 3.7% DUE 06-01-2028
**
78,652

CBS CORP NEW FIXED 4.2% DUE 06-01-2029
**
272,463

CBTX INC FORMERLY CBFH INC TO 09/19/2017COM
**
105,123

CC HLDGS GS V LLC 3.849% DUE 04-15-2023
**
628,941

CCR SA COM NPV
**
989,859

CCSW CITIUS33 23/01/2030 USD 3MLIBOR /EUR 3MEURIB CCS0024B9-CCS002
**
1,338

CCSW CITIUS33 31/07/2029 USD 3MLIBOR /AUD 3MBBSW CCS220625-CCS220
**
3,020

CCSW GSCMUS33 01/08/2029 USD 3MLIBOR /AUD 3MBBSW CCS0069N9-CCS006
**
3,076

CCSW GSCMUS33 01/08/2029 USD 3MLIBOR /AUD 3MBBSW CCS0069N9-CCS006
**
1,538

CCSW GSCMUS33 18/02/2030 USD 3MLIBOR /EUR 3MEURIB CCS0039W6-CCS003
**
355

CCSW MSCSUS33 18/03/2030 USD 3MLIBOR /EUR 3MEURIB CCS002619-CCS002
**
1,617

CD 2016-CD2 MTG TR 3.348% DUE 11-10-2049
**
3,120,901

CD MTG TR SR 2017-CD5 CL AAB 3.22% 08-10-2050
**
6,117,427

CD PROJEKT SA PLN1.00
**
715,111

CDN IMPERIAL BK 2.7% DUE 02-02-2021
**
5,308,692

CDN IMPERIAL BK 3.15% DUE 06-27-2021
**
1,121,194

CDN IMPERIAL BK COMM FIXED 3.1% 04-02-2024 REG
**
258,607

CDN NAT RES LTD 3.8% DUE 04-15-2024
**
26,418

CDN NAT RES LTD 6.45% DUE 06-30-2033
**
102,319

CDN NAT RES LTD FIXED 2.95% DUE 01-15-2023
**
7,365,517

CDN NAT RES LTD FIXED 4.95% DUE 06-01-2047
**
182,407

CDN PAC RY CO NEW 2.9% DUE 02-01-2025
**
359,496

CDN PAC RY CO NEW 4.5% DUE 01-15-2022
**
83,855

CDS / STS CSFPGB2L 01-17-2047 SWPC02TU6
**
5,819

CDS / STS GSILGB2X 10-17-2057 SWPC0ATK0
**
11,680

CDS BARCGB33 03-20-2024 SWPC028O3
**
7,923

CDS BARCGB33 06/20/2024 SELL REPUBLIC OF ITALY 6.87 SWPC0IFO0
**
50,843

CDS BARCGB33 06-20-2022 SWPC0FC84
**
7,709

CDS BARCGB33 12-20-2021 SWPC0DZO9
**
5,790

CDS CITIUS33 06/20/2024 SELL REPUBLIC OF COLOMBIA 1 SWPC0HWQ8
**
1,588

CDS CITIUS33 12/20/2024 SELL REPUBLIC OF COLOMBIA 1 SWPC0IHS9
**
5,191

CDS CITIUS33 12-20-2023 SWPC0HGG8
**
18,492

CDS CSFPGB2L 12-20-2021 SWPC0EQD1
**
2,109

CDS GSILGB2X 06-20-2022 SWPC0FB69
**
79

CDS GSILGB2X 12/20/2023 SELL REPUBLIC OF COLOMBIA 1 SWPC0HRN1
**
13,190

CDS GSILGB2X 12/20/2024 SELL RUSSIA FOREIGN BOND 7. SWPC0IM38
**
16,934

CDS GSILGB2X 12/20/2024 SELL RUSSIA FOREIGN BOND 7. SWPC0IM38
**
10,584

CDS GSILGB2X 12-20-2021 SWPC0E270
**
6,652

CDS ICE_CSFBUS 12-20-2020 SWPC0FIV7
**
4,894

CDS ICE_CSFBUS 12-20-2020 SWPC0FJI5
**
2,343

CDS ICE_CSFBUS 12-20-2022 SWPC0GCR0
**
7,177

CDS ICE_CSFBUS 12-20-2023 SWPC0EOD3
**
58,661

CDS ICE_CSFBUS 20/06/2022 SWPC0F0Z7
**
6,413

CDS ICE_CSFBUS 20/06/2025 SWPC0GVU2
**
465

CDS ICE_CSFBUS 20/12/2020 SWPC0GNL1
**
961


44
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CDS ICE_CSFBUS 20/12/2020 SWPC0GNL1
**
384

CDS ICE_CSFBUS 20/12/2026 SWPC0EM03
**
5,166

CDS MRMDUS33 03-20-2020 SWPC08PD5
**
2,114

CDX CITIUS33 01/17/2047 SELL CMBX.NA.AAA.7 SWPC0IQY6
**
3,492

CECO ENVIRONMENTAL CORP COM
**
48,021

CEDAR REALTY TRUST INC
**
25,479

CELANESE US HLDGS 5.875% DUE 06-15-2021
**
209,968

CELANESE US HLDGS FIXED 3.5% 05-08-2024
**
40,331

CENCOSUD SA COM NPV
**
384,770

CENOVUS ENERGY INC 6.75% DUE 11-15-2039
**
12,741

CENT GARDEN & PET CO CL A
**
895,627

CENTAMIN PLC ORD NPV (DI)
**
1,052,999

CENTENNIAL RESOURCE DEVELOPMENT INC COM USD0.01
**
132,428

CENTERPOINT ENERGY 2.4% DUE 09-01-2026
**
2,345,541

CENTERPOINT ENERGY 2.5% DUE 09-01-2022
**
1,517,515

CENTERPOINT ENERGY 3.95% 03-01-2048
**
171,882

CENTERPOINT ENERGY 5.85 DUE 01-15-2041
**
102,002

CENTERPOINT ENERGY RES CORP 3.55% 04-01-2023
**
103,533

CENTERPOINT ENERGY RES CORP 3.55% 04-01-2023
**
1,035,328

CENTERPOINT ENERGY RES CORP DEL SR NT 4.5 1-15-2021
**
101,935

CENTERPOINT ENERGY RES CORP DEL SR NT 4.5 1-15-2021
**
249,740

CENTERRA GOLD INC COM NPV
**
851,573

CENTERSTATE BANK CORP
**
5,284,444

CENTRAL GARDEN & PET CO COM
**
61,456

CENTRAL NIPPON EXP 2.362% SNR 28/05/2021USD
**
601,266

CENTRAL PAC FINL CORP COM NEW
**
109,150

CENTRAL VY CMNTY BANCORP COM STK
**
53,763

CENTRICA ORD GBP0.061728395
**
498,674

CENTURY ALUM CO COM
**
104,684

CENTURY CMNTYS INC COM
**
608,866

CENTY BANCORP INC MASS CL A NON VTG
**
58,654

CERIDIAN HCM HLDG INC COM
**
1,497,772

CEVA INC COM
**
51,925

CEWE STIFTUNG & CO NPV
**
298,252

CF INDS HLDGS INC COM
**
1,805,240

CF INDS INC 3.45% DUE 06-01-2023
**
509,395

CF JPMCB LIQUIDITY FD
**
521,397,024

CFCRE 2017-C8 MTG 2.9816% DUE 06-15-2050
**
1,014,202

CGG EUR0.01
**
707,248

CGI INC
**
1,547,484

CHAILEASE HOLDING TWD10
**
453,765

CHAMPION REAL ESTA REIT
**
853,949

CHANNELADVISOR CORP COM
**
86,106

CHARLES RIV LABORATORIES INTL INC COM
**
2,642,748

CHART INDS INC COM PAR $0.01 COM PAR $0.01
**
289,330

CHARTER 3.579% DUE 07-23-2020
**
1,912,109

CHARTER 3.579% DUE 07-23-2020
**
9,137,867


45
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CHARTER 4.464% DUE 07-23-2022
**
1,156,286

CHARTER 4.464% DUE 07-23-2022
**
14,595,484

CHARTER 4.908% DUE 07-23-2025
**
1,431,531

CHARTER 4.908% DUE 07-23-2025
**
2,791,485

CHARTER 6.384% DUE 10-23-2035
**
1,510,376

CHARTER COMMUNICATIONS INC NEW CL A CL A
**
37,801,314

CHARTER COMMUNICATIONS OPER LLC/CHARTE 4.2% DUE 03-15-2028 BEO
**
181,229

CHARTER HALL GROUP NPV (STAPLED)
**
1,175,632

CHATHAM LODGING TR COM
**
81,063

CHECK PT SOFTWARE TECHNOLOGIES ORDILS.01
**
4,269,519

CHEFS' WAREHOUSE HOLDINGS IN
**
82,013

CHEGG INC COM
**
7,251,842

CHEMED CORP NEW COM
**
922,446

CHEMUNG FINL CORP COM
**
36,848

CHENBRO MICOM CO
**
193,809

CHES UTILS CORP COM
**
244,367

CHESAPEAKE ENERGY CORP COM
**
47,036

CHEVRON CORP 1.991% 03-03-2020
**
14,790,268

CHEVRON CORP COM
**
7,078,275

CHEVRON CORP NEW 2.1% DUE 05-16-2021
**
1,640,294

CHEVRON CORP NEW 2.419% DUE 11-17-2020
**
188,836

CHEWY INC CLASS A
**
1,087,500

CHGO ILL TRAN AUTH SALES & TRANSFER T 6.899 DUE 12-01-2040 REG
**
540,368

CHIA CHANG CO LTD TWD10
**
147,595

CHICAGO ILL 7.75% 01-01-2042 BEO TAXABLE
**
37,375

CHICAGO ILL TRAN AUTH SALES & TRANSFER T 6.899% 12-01-2022
**
675,460

CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV 6.2% 12-01-2040 BEO TAXABLE
**
13,087

CHICOS FAS INC COM
**
420,990

CHILE(REP OF) 4.5% BDS 01/03/2026 CLP
**
1,725,456

CHILE(REP OF) 4.7% SNR 01/09/2030 CLP
**
560,909

CHIMERIX INC COM
**
56,438

CHINA AIRLINES TWD10
**
171,365

CHINA AOYUAN GROUP HKD0.01
**
303,165

CHINA CITIC BANK CORPORATION LTD HCNY1
**
656,286

CHINA COMM SERVICE 'H'CNY1
**
584,635

CHINA CONCH VENTUR HKD0.01
**
1,014,528

CHINA CONSTRUCTION BANK HCNY1
**
773,037

CHINA DEV FIN HLDG TWD10
**
131,456

CHINA EVERGRANDE GROUP ( LOCAL 3333)
**
182,962

CHINA GREAT STAR I KRW126
**
118,268

CHINA HONGQIAO GRO USD0.01
**
44,938

CHINA LESSO GROUP HKD0.05
**
443,613

CHINA LIFE INS TWD10
**
328,634

CHINA LIFE INSURANCE CO H CNY1
**
1,358,717

CHINA LONGYUAN PWR 'H'CNY1
**
38,596

CHINA MACHINERY EN 'H'CNY1
**
85,030

CHINA MEDICAL SYS USD0.005
**
681,108


46
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CHINA MINSHENG BAN 'H'CNY1
**
56,316

CHINA MOBILE LTD NPV
**
2,597,538

CHINA NATIONAL BUI 'H'CNY1
**
1,301,907

CHINA OILFIELD SERVICES H CNY1
**
398,352

CHINA OVERSEAS GRA NPV
**
322,357

CHINA OVERSEAS LAND & INVESTMNT HKD0.10
**
436,254

CHINA RES CEMENT HKD0.1
**
789,343

CHINA RES PHARM GR NPV
**
60,777

CHINA RES PWR HLDG NPV
**
724,485

CHINA RESOURCES LAND HKD0.10
**
488,000

CHINA TELECOM CORP LTD 'H'CNY1
**
298,267

CHINA VANKE CO COM STK
**
189,895

CHINA YONGDA AUTOMOBILES SER COM
**
27,336

CHINA YUHUA EDUCAT HKD0.00001
**
66,283

CHIPMOS TECHNOLOGI TWD10
**
27,421

CHIPOTLE MEXICAN GRILL INC COM STK
**
7,746,616

CHONG KUN DANG PHA KRW2500
**
18,727

CHUBB INA HOLDINGS INC 2.3% 11-03-2020
**
3,813,458

CHUBB LTD ORD CHF24.15
**
21,724,999

CHUGOKU ELEC POWER 2.701% SNR 16/03/20 USD1000
**
800,449

CHUNGHWA TELECOM TWD10
**
55,042

CHURCHILL DOWNS INC COM
**
1,125,040

CHUYS HOLDINGS INC COM USD0.01
**
69,362

CI FINANCIAL CORP COMSTK
**
198,709

CIA BRAS DE DISTRI PRF NPV
**
284,655

CIA DE SANEAMENTO PRF NPV
**
297,658

CIA SANEAMENTO MIN COM NPV
**
130,564

CIBANCO SA INSTIT CBFI (PLA ADMIN) 144A/REG S
**
153,060

CIE DE ST-GOBAIN EUR4
**
1,343,939

CIELO SA COM NPV
**
797,026

CIGNA CORP 4 DUE 02-15-2022
**
1,368,091

CIGNA CORP 4.375% DUE 12-15-2020
**
960,653

CIGNA CORP NEW COM
**
21,362,252

CIGNA CORP NEW CORP 3.2% 09-17-2020
**
5,321,546

CIGNA CORP NEW CORP 3.2% 09-17-2020
**
4,464,469

CIGNA CORP NEW CORP 3.4% 09-17-2021
**
1,724,868

CIGNA CORP NEW CORP 3.75% 07-15-2023
**
5,070,927

CIGNA CORP NEW CORP 4.125% 11-15-2025
**
1,692,980

CIGNA CORP NEW CORP 4.375% 10-15-2028
**
7,981,225

CIMAREX ENERGY CO 3.9% 05-15-2027
**
1,338,285

CIMAREX ENERGY CO 4.375% DUE 06-01-2024
**
1,204,171

CIMAREX ENERGY CO COM
**
673,237

CIMIC GROUP LIMITED NPV
**
1,529,227

CIMPRESS PLC COM
**
1,401,078

CIN FINL CORP 6.92% DUE 05-15-2028
**
258,745

CINCINNATI BELL INC NEW COM NEW COM NEW
**
7,402

CINEMARK HLDGS INC COM
**
3,314,558


47
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CINTAS CORP NO 2 2.9% DUE 04-01-2022
**
1,550,599

CINTAS CORP NO 2 3.7% DUE 04-01-2027
**
1,692,444

CIPLA INR2
**
34,228

CIRCOR INTL INC COM
**
153,609

CIRRUS LOGIC INC COM
**
3,064,416

CISION LTD COM USD0.0001
**
903,242

CIT GROUP INC NEW COM NEW COM NEW
**
684,267

CIT HOME EQUITY LN TR 2002-1 ASSET BKD CTF CL AF-5 02-25-2033 BEO
**
324,642

CITI TRENDS INC COM ORD USD1
**
49,384

CITIBANK CITIBANK NA FLTG 02-19-2022 BEO
**
1,495,976

CITIBANK CR CARD 2.49% DUE 01-20-2023
**
8,986,462

CITIBANK CR CARD 3.29% DUE 05-23-2025
**
6,523,116

CITIBANK CR CARD ISSUANCE TR 2.88 01-23-2023 REG
**
5,672,435

CITIBANK CR CARD ISSUANCE TR 2017-A5 NT FLTG RATE 04-22-2026 REG
**
5,842,262

CITIBANK CR CARD ISSUANCE TR NT CL 2018-A7 3.96% 10-13-2030
**
7,769,821

CITIBANK N A 2.1% DUE 06-12-2020
**
1,250,616

CITIBANK N A 3.05% DUE 05-01-2020
**
8,936,809

CITIBANK N A 3.165% 02-19-2022
**
2,025,337

CITIBANK N A 3.4% 07-23-2021
**
377,946

CITIBANK N A FLTG RT 05-20-2022 REG
**
1,405,248

CITIC LTD
**
268,798

CITIC SECURITIES 'H'CNY1
**
352,551

CITIGROUP COML MTG 2.29200005531% DUE 02-10-2049
**
6,572,825

CITIGROUP COML MTG 2.505% DUE 11-15-2049
**
2,760,132

CITIGROUP COML MTG 2.687% DUE 02-10-2048
**
3,997,864

CITIGROUP COML MTG 2.71000003815% DUE 08-10-2049
**
13,033,482

CITIGROUP COML MTG 3.061% DUE 02-10-2048
**
3,553,159

CITIGROUP COML MTG 3.575% DUE 05-10-2047
**
3,013,767

CITIGROUP COML MTG 3.654% DUE 12-10-2049
**
3,865,271

CITIGROUP COML MTG 3.855% DUE 05-10-2047
**
2,607,470

CITIGROUP COML MTG FLTG RT 5.261519% DUE11-10-2046
**
1,581,893

CITIGROUP COML MTG TR 2018-B2 COML MTG PASSTHRU CTF CL 3.788% 03-10-2051
**
4,181,530

CITIGROUP COML MTG TRUST SER 2015-GC27 CL A-AB 2.944% 02-10-2048
**
2,461,075

CITIGROUP INC 2.35% DUE 08-02-2021
**
5,211,968

CITIGROUP INC 2.7% DUE 10-27-2022
**
4,829,076

CITIGROUP INC 2.9% DUE 12-08-2021
**
81,315

CITIGROUP INC 2.9% DUE 12-08-2021
**
7,115,038

CITIGROUP INC 3.142% 01-24-2023
**
235,526

CITIGROUP INC 3.142% 01-24-2023
**
5,016,404

CITIGROUP INC 3.2% DUE 10-21-2026
**
342,404

CITIGROUP INC 3.3% DUE 04-27-2025
**
1,522,879

CITIGROUP INC 3.4% DUE 05-01-2026
**
430,776

CITIGROUP INC 3.4% DUE 05-01-2026
**
10,506,724

CITIGROUP INC 3.5% DUE 05-15-2023
**
5,953,576

CITIGROUP INC 3.7% DUE 01-12-2026
**
7,007,769

CITIGROUP INC 3.887% 01-10-2028
**
431,085

CITIGROUP INC 4.044% 06-01-2024
**
1,375,303


48
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CITIGROUP INC 4.3% DUE 11-20-2026
**
511,807

CITIGROUP INC 4.4% DUE 06-10-2025
**
744,657

CITIGROUP INC 4.4% DUE 06-10-2025
**
2,011,119

CITIGROUP INC 4.45% DUE 09-29-2027
**
991,603

CITIGROUP INC 4.45% DUE 09-29-2027
**
6,577,635

CITIGROUP INC 4.5% DUE 01-14-2022
**
534,729

CITIGROUP INC 4.6% DUE 03-09-2026
**
891,932

CITIGROUP INC 4.65% DUE 07-23-2048
**
625,415

CITIGROUP INC 4.65% DUE 07-30-2045
**
424,994

CITIGROUP INC 5.5% DUE 09-13-2025
**
2,001,108

CITIGROUP INC COM NEW COM NEW
**
52,351,997

CITIGROUP INC FIXED 3.98% 03-20-2030
**
164,222

CITIGROUP INC FIXED 3.98% 03-20-2030
**
974,381

CITIGROUP INC FLTG RT 2.876% DUE 07-24-2023
**
508,460

CITIGROUP INC FLTG RT 2.876% DUE 07-24-2023
**
3,732,097

CITIGROUP INC FLTG RT 3.668% DUE 07-24-2028
**
7,271,092

CITIGROUP INC FLTG RT 4.075% DUE 04-23-2029
**
14,252,714

CITIGROUP INC NEW 2.976% DUE 11-05-2030
**
3,991,134

CITIGROUP INC NEW FLTG RT 2.312% DUE 11-04-2022
**
6,455,033

CITIGROUP INC VAR RT 04-24-2025
**
150,917

CITIGROUP INC VAR RT 04-24-2025
**
6,968,190

CITIGROUP MTG LN FLTG RT 2.767% DUE 11-25-2034
**
535,198

CITIZENS & NORTHN CORP COM
**
48,986

CITIZENS BK MEDIUM 2.65% DUE 05-26-2022
**
253,112

CITIZENS BK MEDIUM 3.25% DUE 02-14-2022
**
7,194,133

CITIZENS BK MEDIUM 3.7% DUE 03-29-2023
**
3,733,431

CITIZENS FINL 2.85% DUE 07-27-2026
**
407,638

CITIZENS FINL GROUP INC COM
**
16,040,950

CITIZENS HLDG CO MISS COM US1747151025 ISIN
**
13,456

CITY CEMENT CO SAR10
**
116,090

CITY OFFICE REIT INC COM
**
38,843

CIVEO CORP CDA COM
**
29,364

CIVISTA BANCSHARES INC COM NO PAR COM NOPAR
**
63,168

CJ ENM CO LTD
**
126,293

CK ASSET HOLDINGS LTD
**
3,172,807

CK HUTCHISON HLDGS HKD1
**
238,392

CK HUTCHISON INTL 2.875% DUE 04-05-2022
**
1,010,720

CK HUTCHISON INTL FIXED 2.25% DUE 09-29-2020
**
232,893

CK INFRASTRUCTURE HKD1
**
64,048

CLARIVATE ANALYTICS PLC COM NPV
**
347,340

CLEAN ENERGY FUELS CORP COM
**
85,424

CLEAN HBRS INC COM
**
5,442,124

CLEARFIELD INC COM
**
15,334

CLEARWATER PAPER CORP COM STK
**
62,307

CLEV ELEC ILLUM CO 4.55% DUE 11-15-2030
**
207,832

CLEVELAND CLIFFS USD0.125
**
307,910

CLINUVEL COM STK
**
29,998


49
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CLIO COSMETICS CO KRW500
**
39,636

CLOETTA AB SER'B'NPV
**
810,832

CLP HOLDINGS LTD NPV
**
204,965

CLSA (YANTAI JEREH OILFIELD-A) P-NOTE 25/07/2024
**
475,498

CMD SWP BNPAFRPP 02-14-2020 SWU0DF141
**
145,454

CMD SWP BNPAFRPPXXX 02-14-2020 SWU0DFL80
**
161,064

CMD SWP BNPAFRPPXXX 02-14-2020 SWU0SH638
**
103,107

CMD SWP CHASUS33 02-14-2020 SWU0DF414
**
80,221

CMD SWP CHASUS33 02-14-2020 SWU0DF711
**
63,411

CMD SWP CHASUS33 02-14-2020 SWU0DF810
**
41,327

CMD SWP CHASUS33 02-14-2020 SWU0DFL64
**
67,480

CMD SWP CIBCUS33 02-14-2020 SWU0DF281
**
10,738

CMD SWP CITIUS33 02-14-2020 SWU0DF158
**
139,349

CMD SWP CITIUS33 02-14-2020 SWU0DF182
**
41

CMD SWP GSILGB2X 02-14-2020 SWU0DF760
**
133,071

CMD SWP GSILGB2X 02-14-2020 SWU0DFL56
**
87,377

CMD SWP MACQAU2S 02-14-2020 SWU0DF406
**
43,498

CMD SWP MACQAU2S 02-14-2020 SWU0DF463
**
172,018

CMD SWP MACQAU2S 02-14-2020 SWU0DF604
**
30,736

CMD SWP MLILGB3L 02-14-2020 SWU0DF471
**
64,610

CMD SWP SOGEFRPPHCM 02-14-2020 SWU0DF372
**
1,255

CME GROUP INC COM STK
**
21,894,136

CME_BASIS CSFBUS33 03/02/2020 USD P 1MLIBOR / R 3MLIBOR SWU0Y9969
**
3,607

CME_BASIS CSFBUS33 03/18/2022 USD P 1MLIBOR / R 3MLIBOR SWU0SF236
**
3,222

CME_BASIS CSFBUS33 04/12/2023 USD P 1MLIBOR / R 3MLIBOR SWU0SF376
**
1,019

CME_BASIS CSFBUS33 04/26/2022 USD P 1MLIBOR / R 3MLIBOR SWU02Y480
**
3,010

CME_BASIS CSFBUS33 04/27/2023 USD P 1MLIBOR / R 3MLIBOR SWU02Y548
**
1,441

CME_BASIS CSFBUS33 05/23/2029 USD P 1MLIBOR / R 3MLIBOR SWU087087
**
343

CME_BASIS CSFBUS33 06/12/2022 USD P 1MLIBOR / R 3MLIBOR SWU0AR023
**
1,342

CME_BASIS CSFBUS33 06/12/2022 USD P 1MLIBOR / R 3MLIBOR SWU0JSFF7
**
1,470

CME_BASIS CSFBUS33 06/19/2022 USD P 1MLIBOR / R 3MLIBOR SWU0B8909
**
4,552

CME_BASIS CSFBUS33 09/06/2024 USD P 1MLIBOR / R 3MLIBOR SWU0FA223
**
219

CME_IRS CME_CSFBUS MXN P 28D TIIE/R 7.74% 22/02/2027 SWU00L506
**
75,224

CME_IRS CME_CSFBUS NZD P 3M NFIX3/R 2.5% 14/02/2020 SWU00OCY8
**
6,922

CME_IRS CME_CSFBUS PLN P 6M WIBOR/R 2.5% 19/09/2023 SWU00OR14
**
14,588

CME_IRS CME_CSFBUS PLN P 6M WIBOR/R 3.0% 19/09/2028 SWU00OSS4
**
2,454

CME_IRS CME_CSFBUS USD P 1.75%/R 3M LIBOR 06/20/2020 SWU00NBH8
**
10,923

CME_IRS CME_CSFBUS USD P 1.75%/R 3M LIBOR 12/21/2026 SWU00INA1
**
713

CME_IRS CME_CSFBUS USD P 3M LIBOR/R 2.25% 12/16/2022 SWU00D991
**
17,962

CME_IRS CME_CSFBUS ZAR P 3M JIBAR/R 7.75% 15/03/2022 SWU00JTL9
**
72,666

CME_IRS CSFBUS33 01/06/2030 USD P 1.625% / R 3MLIBOR SWU00VKI8
**
110,015

CME_IRS CSFBUS33 03/20/2050 USD P 2% / R 3MLIBOR SWU00XLU6
**
5,036

CME_IRS CSFBUS33 09/17/2024 USD P 1.36% / R 3MLIBOR SWU00WQS8
**
18,201

CME_IRS CSFBUS33 12/18/2021 USD P 1.5% / R 3MLIBOR SWU00VVP0
**
14,331

CME_IRS CSFBUS33 12/18/2024 USD P 1.5% / R 3MLIBOR SWU00VVS4
**
21,497

CME_IRS CSFBUS33 12/18/2029 USD P 1.5% / R 3MLIBOR SWU00VVV7
**
116,034

CME_IRS CSFBUS33 12/19/2021 USD P 1.54% / R 3MLIBOR SWU00VIS9
**
29,543


50
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CME_IRS CSFBUS33 19/06/2029 CAD P 3MCDOR / R 2.5% SWU00S6N0
**
70,506

CME_IRS CSFBUS33 21/03/2028 NZD P 3MBBR / R 3.25% SWU00MYL6
**
91,475

CME_OIS CSFBUS33 02/01/2025 BRL P 1DBZDIO / R 6.745% SWU00VEG9
**
36,522

CME_OIS CSFBUS33 04/01/2027 BRL P 6.28% / R 1DBZDIO SWU00X708
**
9,662

CMIC HOLDINGS CO LTD
**
334,377

CMNTY HLTH SYS INC NEW COM
**
17,519

CMO ADJBL RATE MTG TR DUE 09-25-2035 BEO
**
532,132

CMO ALTERNATIVE LN TR 2006-OA9 MTG CL 2A-1A 0 DUE 07-25-2036 REG
**
110,531

CMO AMERN HOME MTG INVT TR 2005-2 MTG BKD NT CL IV-A-1 VAR 09-25-45
**
66,643

CMO BANK OF AMER MERRILL LYNCH COML MTG TR 2 3.366% DUE 02-15-2050 BEO
**
3,130,252

CMO BANK SER 2017-BNK9 CL A-2 2.766% 11-15-2054 REG
**
9,017,871

CMO BANK SR 2017-BNK6 A-SB 3.289% 07-15-2060
**
2,029,680

CMO BBCMS MTG TR 2018-C2 MTG PASS THRU CTF CL A-3 4.052% DUE 12-15-2051 REG
**
7,641,087

CMO BEAR STEARNS ALT-A TR 2006-8 MTG PASSTHRU CTF CL III-A-1 01-25-2037 REG
**
138,732

CMO BEAR STEARNS ALT-A TR SER 2005-4 CL II-3A-2 DUE 05-25-2035 REG
**
765,038

CMO BEAR STEARNS ARM TR 2000-2 MTG PASS THRU CTF CL A-1 VAR RATE 11-25-2030 BEO
**
17,376

CMO BEAR STEARNS ARM TR 2002-11 CL I-A-1DUE 02-25-2033/04-25-2006 BEO
**
2,077

CMO BEAR STEARNS ARM TR 2004-10 MTG DUE 01-25-2035
**
46,975

CMO BEAR STEARNS ARM TR DUE 02-25-2034 REG
**
175,863

CMO BEAR STEARNS STRUCTURED PRODS INC TR200 DUE 12-25-2046 REG
**
1,894,638

CMO BEAR STEARNS STRUCTURED PRODS INC TR200 MTG PASSTHRU CTF CL I-A-1 VAR DUE
**
48,190

CMO BENCHMARK 2018-B4 MTG TRSE 2018-B4 CL A3 3.886% DUE 07-15-2051
**
6,370,115

CMO CFCRE 2016-C4 MTG TR MTG PASS THRU CTF CL A-2 2.707% DUE 05-10-2058 REG
**
702,107

CMO CHASE MTG FIN TR SER 2007-A1 PASSTHRU CTF CL 1-A1 4.366 03-25-37 REG
**
36,212

CMO CITIGROUP COML MTG TR 2016-C3 COML MTG CTF CL A-3 2.86% 11-15-2049
**
7,174,965

CMO CITIGROUP COML MTG TR 2016-P5 COML MTG PASSTHRU CTF CL A-2 2.4% 10-10-2049
**
2,436,348

CMO CITIGROUP COML MTG TR 2016-P6 CL AAB 3.512% DUE 12-10-2049
**
1,575,169

CMO CITIGROUP COML MTG TR 2017-B1 COML MTG CTF CL A-AB 3.243% 08-15-2050
**
2,076,087

CMO CITIGROUP COML MTG TR SR 2012-GC8 CL AAB 2.608% DUE 09-10-2045
**
4,998,621

CMO CITIGROUP COMMERCIAL MORTGAGE TRUST SR 17-C4 CL A2 3.19% 10-12-2050
**
5,832,283

CMO CITIGROUP MTG LN TR SER 2005-6 CL A1FLT RT DUE 09-25-2035 BEO
**
12,031

CMO CITIGRP COMMERICAL MTG CITIGROUP COML MTG TR 3.127 DUE 04-15-2049 REG
**
11,267,585

CMO COML MTG PASSTHRU CTF CL A-2 2.223% DUE 10-10-2048 REG
**
699,196

CMO COMM 2012-CCRE1 MTG TR CTF CL A-3 3.391% DUE 05-15-2045 REG
**
7,748,192

CMO COMM 2012-CCRE2 MTG TR COML MTG CTF CL A-4 3.147 DUE 08-15-2045
**
4,285,066

CMO COMM 2013-CCRE12 MTG TR MTG PASS THRU CTF CL A-4 4.046 DUE 10-10-2046 REG
**
14,352,899

CMO COMM 2013-CCRE12 MTG TR MTG PASS THRU CTF CL B 4.762% DUE 10-10-2046 REG
**
270,787

CMO COMM 2013-CCRE8 MTG TR COML MTG PASSTHRU CTF CL A-4 3.334 6-10-2046
**
510,380

CMO COMM 2014-CCRE14 MTG TR MTG PASS THRU CTF CL A-3 3.955 DUE 02-10-2047 REG
**
5,796,873

CMO COMM 2014-CCRE18 MTG TR SER 2014-CR18 CL A-SB 3.452 DUE 7-15-47
**
3,534,559

CMO COMM 2014-UBS6 MTG TR MTG PASS THRU CTF CL A-4 3.378% DUE 12-10-2047 REG
**
8,650,649

CMO COMM 2015-LC19 MTG TR SER 15-LC19 CLA4 3.183% DUE 02-10-2048 REG
**
1,531,388

CMO COMM 2015-LC23 MTG TR CL A-SB 3.598% DUE 10-10-2053 REG
**
16,194,687

CMO COMM 2019-GC44 MTG TR SER 19-GC44 CLS A3 2.688% DUE 08-15-2057 REG
**
5,529,951

CMO COMM MORTGAGE TR SER 2013-LC6 CL ASB2.478 01-10-2046
**
1,829,616



51
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CMO COMM MORTGAGE TRUST SER 2015-DC1 CL A2 2.87% 02-10-2048
**
765,570

CMO COMM MTG TR SER 2014-CR15 CL A-2 2.928 02-10-2047
**
1,239,144

CMO COMM MTG TR SER-2014-UBS2 CL-A4 3.691% 03-10-2047 BEO
**
4,044,871

CMO COMM SER 2013-CR13CL A-SB 3.706 DUE 10-10-46
**
421,534

CMO CSAIL 2015-C4 COML MTG TRUST SR 2015-C4 CL-ASB 3.6167% DUE 11-11-2048
**
2,597,977

CMO CSAIL 2016-C5 COML MTG TR PTHRU CTF CL A-2 2.8793 DUE 11-15-48 REG
**
327,419

CMO CSAIL 2016-C5 COML MTG TR CL A-SB 3.5325% DUE 11-15-2048 REG
**
10,391,931

CMO CSAIL 2018-CX12 SER 2018-CX12 CLS A1 3.2197% 08-15-2051 REG
**
7,779,399

CMO CSAIL 2018-CX12 COML MTG TR SER 2018CLS CX12 VAR 08-15-2051
**
7,399,073

CMO CSAIL COML MTG TR SER 2016-C7 CL A3 2.6082% 11-15-2049
**
1,910,521

CMO CSMC 2018-J1 TR CL A-2 FLTGE 02-01-2048
**
15,116,820

CMO CWMBS INC SER 2005-11 CL 3-A-1 FLT RT DUE 04-25-2035 REG
**
658,488

CMO CWMBS INC SER 2005-11 CL 3-A-3 FLT RT DUE 04-25-2035 REG
**
78,227

CMO DBJPM 2016-C1 MTG TR CL A-SB 3.038% DUE 05-10-2049 REG
**
3,487,808

CMO FNMA SER 2019 M6 CL A2 3.45% FIXED DUE 01-25-2029 REG
**
2,242,969

CMO FNMA SER 2019-M7 CL A1 2.875% FIXED 02-25-2029
**
16,032,684

CMO GS MTG SECS CORP 2003-2F CL IIIA-1 6% DUE 03-25-2032 BEO
**
2,364

CMO GS MTG SECS TR 2010-C2 3.849 DUE 12-10-2043 BEO
**
2,676

CMO GS MTG SECS TR 2013-GCJ12 CL AAB VARRT DUE 06-10-2046 BEO
**
5,516,003

CMO GS MTG SECS TR 2015-GS1 CL A-AB 3.553% DUE 11-10-2048 REG
**
12,988,021

CMO GS MTG SECS TR 2017-GS7 COML MTG PASSTHRU CTF CL A-4 0 DUE 08-10-2050 REG
**
8,624,921

CMO GS MTG SECS TR SER 2016-GS3 CL AAB 2.777% 10-10-2049
**
3,216,204

CMO HARBORVIEW MTG LN TR 2003-1 CL A FLTG RT 05-19-2033
**
7,623

CMO HARBORVIEW MTG LN TR 2005-4 MTG PASSTHRU CTF CL 4-A DUE 07-19-2035 REG
**
123,892

CMO HARBORVIEW MTG LN TR 2005-9 CL 2-A-1A DUE 06-20-2035 REG
**
167,846

CMO J P MORGAN CHASE 2013-C PASSTHRU CTF CL C 12-15-2047 REG
**
2,491,299

CMO J P MORGAN CHASE COML MTG SECS TR 2012-C8 CL A-SB 2.3791 10-15-2045
**
1,873,415

CMO J P MORGAN CHASE COML MTG SECS TR 2013-C CL B FLTG RT 12-15-2047 REG
**
5,048,885

CMO J P MORGAN MTG TR 2004-A3 CL 1-A-1 DUE 07-25-2034 REG
**
190,915

CMO J P MORGAN MTG TR 2005-A1 MTG PASSTHRU CTF CL 6-T-1 DUE 02-25-2035 REG
**
171,999

CMO JJPMDB COML MTG SECS SER 17-C5 CL A4 3.4141% DUE 03-15-2050 REG
**
9,460,056

CMO JPMBB COML MTG SECS TR 2013-C12 COML CTF CL A-5 3.6637 DUE 07-15-2045 REG
**
5,579,247

CMO JPMBB COML MTG SECS TR 2013-C15 COM MTG PASSTH CTF CL B 4.9267 11-15-2045
**
2,559,554

CMO JPMBB COML MTG SECS TR 2013-C17 COMLMTG PASSTHRU CTF CL B DUE 01-15-2047 REG
**
325,364

CMO JPMBB COML MTG SECS TR 2015-C28 COML CTF A-2 2.7733 DUE 10-15-2048 REG
**
2,875,229

CMO JPMBB COML MTG SECS TR 2015-C30 COMLMTG PASSTHRU CTF CL B DUE 07-15-2048 REG
**
3,256,359

CMO JPMBB COML MTG SER 15-C32 CL A4 3.3293% DUE 11-15-2048 REG
**
5,204,953

CMO JPMCC COML MTG SECS 2015-JP1 CL A4 3.6498% 01-15-2049
**
4,471,031

CMO JPMCC COML MTG SECS TR 2017 CL A-3 3.3422% DUE 03-15-2050 REG
**
4,121,242

CMO JPMCC COML MTG SECS TR 2017-JP7 CL A-3 3.3785% 09-15-2050
**
1,348,061

CMO JPMCC COML MTG SECS TR 2017-JP7 CL A-3 3.3785% 09-15-2050
**
4,935,979

CMO JPMDB COML MTG SECS TR 2017-C7 CL A-3 10-15-2050
**
9,703,147

CMO MASTR ADJ RATE MTGS TR 2003-6 MTG PASSTHRU CTF CL 3-A-1 DUE 12-25-2033 REG
**
245,426

CMO MELLON RESDNTL FDG CORP 2000-TBC2 MTG PASSTHRU CTF CL A-1 VAR 05-25-30
**
216,109

CMO MERRILL LYNCH MTG INVS INC 2004-A CLA-1 FLTG DUE 04-25-2029 REG
**
5,960

CMO MERRILL LYNCH MTG INVS INC SER 2003-C CL A1 6-25-28
**
133,873

CMO MERRILL LYNCH MTG INVS INC SER 2005-A5 CL A3 DUE 06-25-2035 REG
**
3,601,966


52
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CMO MORGAN STANLEY BAML TRUST SER 2013-C13 CL A-4 FLTG RT 11-15-2046
**
5,781,428

CMO MORGAN STANLEY BK AMER MERRILL LYNCHTR DUE 05-15-2046 REG
**
320,057

CMO MORGAN STANLEY BK AMER MERRILL SER 2015-C26 CL ASB 3.323% 11-15-2048
**
10,314,499

CMO MORGAN STANLEY BK AMER MERRILL LYN TR COML MTG CTF CL A-SB 3.654 04-15-47
**
2,725,061

CMO MORGAN STANLEY BK AMER MERRILL LYNCH TR COML MTG P DUE 07-15-2046 REG
**
2,269,612

CMO MORGAN STANLEY BK AMER MERRILL LYNCH TR SER 2013-C10 CL A5 VAR 07-15-2046
**
6,860,152

CMO MORGAN STANLEY BK AMER MERRILL LYNCHTR SER 2013-C8 CL ASB 2.699 12-15-2048
**
3,768,031

CMO MORGAN STANLEY BK AMER MERRILL TR 2017-C33 CL A-3 3.295% 05-15-2050
**
8,085,641

CMO MORGAN STANLEY CAP I TR 2018-H3 CL A-SB 4.12% 07-15-2051
**
4,994,366

CMO MORGAN STANLEY CAP I TR SER-2018-H3 CL-A3 3.919% 07-15-2051 REG
**
7,461,391

CMO MORGAN STANLEY CAP I TR SR 19-L3 CL A2 2.529% 11-15-2024
**
8,333,514

CMO MORGAN STANLEY CAPITAL I TRUST SR 2019-H6 CL A2 3.228% 06-15-2052
**
8,904,731

CMO MORGAN STANLEY MTG LN TR 2004-2AR DUE 01-25-2035 REG
**
79,406

CMO MORTGAGEIT TR 2005-2 MTG BKD NT CL 1-A-1 ADJ RATE DUE 05-25-2035 REG
**
645,198

CMO PFP III FLTG RT SER 2019-5 CL A 04-14-2036 BEO
**
1,799,832

CMO PRIME MTG TR 2005-2 MTG PASSTHRU CTFI-A-1 4.75% DUE 07-25-2020 REG
**
1,178

CMO RALI SER 2006-QO7 TR MTG AST BKD PASSTHRU CTF CL III-A-2 DUE 9-25-46 REG
**
72,267

CMO RBSGC MTG LN TR 2007-B MTG PASSTHRU CTF CL 1A4 DUE 01-25-2037 REG
**
394,250

CMO RESDNTL FDG MTG SECS I INC MTG PASS 2003-S9 CL A-1 6.5 03-25-2032 REG
**
1,537

CMO SEQUOIA MTG TR 2004-1 2004-3 MTG PASSTHRU CTF CL A-1 VAR RT 04-20-34 REG
**
5,917

CMO SEQUOIA MTG TR 2004-1 2005-2 MTG PASSTHRU CTF A-2 DUE 03-20-2035 REG
**
198,463

CMO SER 12-CR4 CL A3 2.853% DUE 10-15-2045 REG
**
4,024,816

CMO SMALL BUSINESS ADMIN GTD DEV PARTN CTF SER 2005-20B CL 1 DUE 02-01-2025 REG
**
354,815

CMO STRUCTU ASST MTG INVTS II INC 2004-AR1 FLT MTG PASS CTF CL IA1 3-19-34
**
102,777

CMO STRUCTURED ASSET MTG INVTS II INC 2003-AR4 CL A-1 DUE 01-19-2034 REG
**
482,920

CMO STRUCTURED ASSET SECS CORP 2004-4 MTG PASSTHRU CTF 2-A1 DUE 04-25-2034 REG
**
286,975

CMO STRUCTURED ASSET SECS CORP 2004-4 MTG PASSTHRU CTF 3-A2 DUE 04-25-2034 REG
**
9,085

CMO STRUCTURED AST MTG INVTS II INC DUE 05-19-2035 REG
**
4,719,835

CMO STRUCTURED AST MTG INVTS II INC DUE 07-19-2035 REG
**
919,361

CMO STRUCTURED AST MTG INVTS II TR 2006-AR5 CL 2-A-1 DUE 06-25-2036 REG
**
1,362,399

CMO STRUCTURED AST SECS CORP 2004-1 MTG PASSTHRU CTF CL 4-A1 DUE 02-25-2034 REG
**
6,056

CMO STRUCTURED AST SECS CORP FOR FUTURE IS 2003-31A CL 2-A7 10-25-2033 REG
**
1,213,333

CMO STRUCTURED AST SECS CORP FOR FUTURE IS DUE 06-25-2033 REG
**
105,484

CMO STRUCTURED AST SECS CORP FOR FUTURE IS SER 2003-34A CL 3-A3 4.7 11-25-33 REG
**
350,963

CMO STRUCTURED AST SECS CORP SER 2003-22A CL 3-A 4.42 DUE 6-25-2033 REG
**
84,664

CMO UBS COML MTG TR 2012-C1 COML MTG PASSTHRU CTF CL A-3 3.4 05-10-2045
**
9,807,318

CMO UBS COML MTG TR SER 2017-C3 CL ASB 3.215% 08-15-2050
**
5,172,558

CMO UBS-BARCLAYS COML MTG TR 2012-C2 CTFCL A-4 3.525% DUE 05-10-2063 REG
**
234,201

CMO UBS-BARCLAYS COML MTG TR 2012-C2 CTFCL A-4 3.525% DUE 05-10-2063 REG
**
4,413,071

CMO UBS-BARCLAYS COML MTG TR SER 2012-C4CL A3 2.532 12-10-2045
**
2,395,176

CMO UBS-BARCLAYS COML MTG TR SER 2012-C4CL A-AB 2.4589 12-10-2045
**
1,819,836

CMO WAMU MTG PASS THRU CTFS SER 2006 AR13 CL 2A FLTG RATE DUE 10-25-2046 REG
**
282,895

CMO WAMU MTG PASS-THROUGH CTFS 2005-AR2 CL 2A-1A VAR DUE 01-25-2045 REG
**
1,449,058

CMO WAMU MTG PASS-THROUGH CTFS 2005-AR2 CL 2A-1B VAR RATE 01-25-2045 REG
**
35,475

CMO WAMU MTG PASS-THRU CTFS 2005-AR8 CTFCL 2-A-1A DUE 07-25-2045 REG
**
102,465

CMO WAMU MTG PASS-THRU CTFS TR 2002-AR2 MTG PASSTHRU CTF CL A VAR DUE 02-27-2034
**
1,367,753

CMO WELLS FARGO COML MTG SER 15-NXS3 CL ASB 3.371% 09-15-2057
**
2,915,095


53
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CMO WELLS FARGO COML MTG SER 2017-C39 CL ASB 3.212% 09-15-2050
**
2,595,200

CMO WELLS FARGO COML MTG TR 2016-C37 COML MTG CL A-3 3.704 12-15-2049
**
3,865,979

CMO WELLS FARGO COML MTG TR 2016-LC24 CL A-2 2.501% DUE 10-15-2049 REG
**
891,302

CMO WELLS FARGO COML MTG TR 2016-NXS6 CTF CL A-2 2.399% DUE 11-15-2049 REG
**
2,204,072

CMO WELLS FARGO COML MTG TR 2018-C47 SER2018-C47 CLS A1 3.409% 09-15-2061
**
873,762

CMO WELLS FARGO COML MTG TR SER 2015-C29 CTF CL A-2 2.552% DUE 06-15-2048
**
2,126,756

CMO WELLS FARGO COML MTG TRUST SR 2017-C38 CL A-2 3.043% DUE 07-15-2050
**
3,570,717

CMO WELLS FARGO COML SER 2015-LC22 CL ASB 3.571% 09-15-2058 REG
**
5,381,462

CMO WFRBS COML MTG TR 2012-C6 COML MTG PASSTHRU CTF CL B 4.697 DUE 04-15-45
**
781,802

CMO WFRBS COML MTG TR 2013-C14 MTG PASS THRU CTF CL B DUE 06-15-2046 REG
**
2,296,315

CMO WFRBS COML MTG TR 2013-C18 CL A-5 4.162 DUE 12-15-2046 BEO
**
2,563,207

CMO WFRBS COML MTG TR 2013-UBS1 MTG PASSTHRU CTF CL A-4 FLTG RT DUE 03-15-2046
**
6,483,923

CMO WFRBS COML MTG TR 2014-C19 COML MTG PASSTHRU CTF CL B 4.723 DUE 03-15-2047
**
319,864

CMO WFRBS COML MTG TR 2014-C23 COML MTG PASSTHRU CTF CL B DUE 10-14-2057 REG
**
5,474,137

CMO WFRBS COML MTG TR SER 2014-LC14 CL A-5 FLTG RT 03-15-2047
**
2,580,855

CMO WFRBS COML MTG TR SER 2012-C8 CL A-3 3.001% 08-15-2045
**
1,878,967

CMOMORGAN STANLEY BK AMER MERRILL SER 2016-C31 CL A-SB 2.952% 12-15-2025
**
3,576,205

CMS ENERGY CORP 3.45% 08-15-2027
**
125,586

CN LT & PWR CO 3.2% DUE 03-15-2027
**
4,754,187

CNA FINL CORP 3.95% DUE 05-15-2024
**
133,597

CNA FINL CORP 4.5% DUE 03-01-2026
**
90,448

CNB FINL CORP PA COM
**
86,537

CNH EQUIP SER 17-C CL A3 2.3% 02-15-2023
**
8,416,176

CNH EQUIP TR 1.63% DUE 08-15-2021
**
94,041

CNH EQUIP TR 2.07% DUE 05-16-2022
**
987,256

CNH EQUIP TR FIXED 1.86% DUE 09-15-2022
**
5,292,055

CNH EQUIP TR SR 17-B CL A4 2.17% 04-17-2023
**
1,452,463

CNH INDL CAP LLC 4.375% 11-06-2020
**
203,250

CNH INDUSTRIAL NV COM STK
**
14,329,975

CNO FINL GROUP INC COM
**
2,432,611

CNOOC FIN 2013 LTD 3% DUE 05-09-2023
**
254,102

CNOOC FIN 2015 2.625% DUE 05-05-2020
**
450,477

CNOOC FIN 2015 U S 3.5% DUE 05-05-2025
**
2,099,608

CNOOC FIN 2015 U S 4.375% DUE 05-02-2028
**
2,018,736

CNOOC LTD HKD0.02
**
871,562

CNOOC NEXEN FIN 2014 ULC 4.25 DUE 04-30-2024
**
320,536

CNOOC NEXEN FIN 2014 ULC 4.25 DUE 04-30-2024
**
1,089,822

CNP ASSURANCES EUR1.00
**
649,798

CNSMR PORTFOLIO SVCS DEL
**
8,290

CNX RESOURCES CORPORATION COM
**
314,095

COAL INDIA LTD
**
511,786

COCA-COLA CONSOLIDATED INC COM
**
564,407

COCA-COLA HBC AG ORD (CDI)
**
908,723

CODAN LTD NPV
**
1,056,822

CODORUS VY BANCORP INC COM
**
37,953

COEUR MNG INC COM NEW COM NEW
**
129,611

COFACE EUR2.00
**
1,060,294


54
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
COGECO INC SUB-VTG SHS NPV
**
271,312

COGENT COMMUNICATIONS HLDGS INC
**
2,939,996

COGNEX CORP COM
**
1,038,141

COGNIZANT TECH SOLUTIONS CORP CL A
**
3,983,793

COHEN & STEERS INC COM
**
126,022

COHERENT INC COM
**
561,930

COHERUS BIOSCIENCES INC COM
**
230,464

COHU INC COM
**
176,151

COLFAX CORP COM US .01
**
652,439

COLGATE-PALM (IND) INR1.00
**
98,233

COLGATE-PALMOLIVE CO COM
**
1,928,415

COLLINS FOOD LTD
**
83,302

COLOMBIA(REP OF) 6% GTD SNR 28/04/2028 COP'B
**
176,134

COLTV SHORT TERM INVT FD
**
48,474,681

COLUMBIA BKG SYS INC COM
**
447,047

COLUMBIA PIPELN 3.3% DUE 06-01-2020
**
2,468,373

COLUMBIA PPTY TR INC COM NEW STK
**
232,310

COLUMBIA SPORTSWEAR CO COM
**
739,001

COLUMBUS MCKINNON CORP N Y COM
**
1,044,062

COM ALCOA CORPORATION COM USD0.01
**
988,664

COM7 PCL THB0.25(ALIEN MKT)
**
544,443

COM7 PCL THB0.25(NVDR)
**
67,340

COMCAST CORP 3.7% 04-15-2024
**
10,665,940

COMCAST CORP NEW 1.625% DUE 01-15-2022
**
2,274,336

COMCAST CORP NEW 3.15% DUE 02-15-2028
**
15,725,733

COMCAST CORP NEW 3.15% DUE 03-01-2026
**
97,501

COMCAST CORP NEW 3.25% 11-01-2039
**
457,141

COMCAST CORP NEW 3.375 DUE 02-15-2025
**
105,525

COMCAST CORP NEW 3.375% DUE 08-15-2025
**
992,434

COMCAST CORP NEW 3.45% DUE 10-01-2021
**
3,705,757

COMCAST CORP NEW 3.55% DUE 05-01-2028
**
537,064

COMCAST CORP NEW 3.95% 10-15-2025
**
94,953

COMCAST CORP NEW 3.95% 10-15-2025
**
5,091,440

COMCAST CORP NEW 4.15% DUE 10-15-2028
**
563,172

COMCAST CORP NEW 4.15% DUE 10-15-2028
**
698,333

COMCAST CORP NEW 4.2% DUE 08-15-2034
**
171,193

COMCAST CORP NEW 4.25% DUE 01-15-2033
**
115,908

COMCAST CORP NEW 4.6% 10-15-2038
**
381,525

COMCAST CORP NEW 4.95% DUE 10-15-2058
**
371,418

COMCAST CORP NEW FIXED 3.999% DUE 11-01-2049
**
619,897

COMCAST CORP NEW-CL A
**
47,463,991

COMERICA INC 3.7% DUE 07-31-2023
**
262,815

COMERICA INC 3.7% DUE 07-31-2023
**
1,471,765

COMFORT SYS USA INC COM
**
446,207

COMFORTDELGRO CORP LTD
**
335,234

COML METALS CO COM
**
435,178

COMM MTG TRUST SER 2015-CR24 CL A-4 3.432% 8-10-2048
**
7,849,618


55
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
COMM 2012-LC4 MTG TR CTF CL A-4 3.288 12-10-2044
**
722,058

COMM 2013-CCRE12 4.3% DUE 10-10-2046
**
307,049

COMM 2013-CCRE12 MTG TR MTG PASS THRU CTF CL C VAR RATE DUE 10-10-2046
**
847,544

COMM 2013-LC6 MTG 2.666% DUE 01-10-2046
**
2,077,434

COMM 2014-CCRE16 4.05100011826% DUE 04-10-2047
**
1,238,557

COMM 2014-UBS4 MTG 2.963% DUE 08-10-2047
**
685,808

COMM 2014-UBS6 MTG SER 2014-UBS6 CL A-2 2.935% 12-10-2047 REG
**
722,670

COMM 2015-CCRE22 FIXED 2.856% DUE 03-10-2048
**
1,937,650

COMM 2015-CCRE23 2.852% DUE 05-10-2048
**
854,561

COMM 2015-CCRE23 MTG TR 2015-CR23 CL A-SB 3.257% DUE 05-10-2048
**
2,876,469

COMM 2015-CCRE26 3.359% DUE 10-10-2048
**
5,191,518

COMM 2015-CCRE26 3.373% DUE 10-10-2048
**
2,687,165

COMM 2018-HOME MTG VAR RT 3.81507% DUE 04-10-2033
**
1,096,033

COMM 2018-HOME MTG VAR RT 3.81507% DUE 04-10-2033
**
6,662,161

COMM MORTGAGE TRUST SR 2013-CR9 CL A-SB 3.834 DUE 07-10-2045 REG
**
10,514,804

COMM SER 2015-DC1 CL A-SB 3.142% 02-10-2048
**
1,120,229

COMMERCIAL VEH GROUP INC COM
**
188,887

COMMONWEALTH EDISON CO 2.95% 08-15-2027
**
2,487,078

COMMONWEALTH EDISON CO 4.0% DUE 03-01-2048 REG
**
253,209

COMMONWEALTH FING AUTH PA REV 3.631% 06-01-2029 BEO TAXABLE
**
1,563,638

COMMSCOPE HLDG CO INC COM
**
272,547

COMMUNITY BANKERS TR CORP COM STK
**
13,391

COMMUNITY FINL CORP MD COM
**
23,263

COMMUNITY HEALTHCARE TR INC REIT
**
47,275

COMMUNITY TR BANCORP INC COM
**
332,077

COMMVAULT SYS INC COM STK
**
933,869

COMPASS BK 2.875% DUE 06-29-2022
**
507,147

COMPASS BK 3.5% DUE 06-11-2021
**
4,771,340

COMPASS GROUP ORD GBP0.1105
**
6,636,488

COMPEQ MFG TWD10
**
255,763

COMPUTER PROGRAMS & SYS INC COM
**
223,212

COMPUTER TASK GROUP INC COM
**
6,371

COMSCORE INC COM
**
334,478

COMTECH TELECOMMUNICATIONS CORP COM NEW COM NEW
**
152,217

COMWLTH BK 2.55% DUE 03-15-2021
**
605,107

CONAGRA BRANDS INC 3.8% 10-22-2021
**
928,767

CONAGRA BRANDS INC 3.8% 10-22-2021
**
1,031,963

CONAGRA BRANDS INC 4.6% 11-01-2025
**
99,434

CONAGRA BRANDS INC FIXED 5.3% 11-01-2038
**
231,587

CONAGRA BRANDS INC FLTG 10-22-2020
**
6,600,598

CONCERT PHARMACEUTICALS INC COM
**
155,866

CONCHO RES INC 3.75% DUE 10-01-2027
**
1,435,764

CONCHO RES INC 4.375% DUE 01-15-2025
**
1,116,470

CONCHO RESOURCES INC 4.3% 06-18-2028
**
512,490

CONCORDIA FINL GROUP LT
**
114,014

CONDUENT INC COM
**
197,768

CONMED CORP COM
**
8,193,225


56
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CONNECTICUT LIGHT & POWER CO 4.0% 04-01-2048
**
344,540

CONNECTONE BANCORP INC NEW COM
**
160,699

CONNS INC COM
**
65,828

CONOCO INC 6.95% DUE 04-15-2029
**
190,390

CONS EDISON CO N Y 3.875% DUE 06-15-2047
**
97,597

CONS EDISON CO N Y 4.2% DUE 03-15-2042
**
133,918

CONSOL ENERGY INC NEW COM
**
208,929

CONSOLIDATED COMMUNICATIONS HLDGS INC COM STK
**
38,396

CONSOLIDATED EDISON CO N Y INC 4.125% 05-15-2049 REG
**
170,462

CONSOLIDATED TOMOKA LD CO COM STK
**
102,604

CONSTELLATION 2.25% 11-06-2020
**
2,925,912

CONSTELLATION 2.65% DUE 11-07-2022
**
3,272,420

CONSTELLATION 4.75% DUE 11-15-2024
**
127,489

CONSTELLATION 5.15% DUE 12-01-2020
**
81,607

CONSTELLATION BRANDS INC 3.15% 08-01-2029 BEO
**
177,008

CONSTELLATION BRANDS INC CL A CL A
**
44,468,102

CONSTELLATION BRANDS INC FLTG 11-15-2021
**
3,370,589

CONSTELLATION PHARMACEUTICALS INC COM
**
408,161

CONSTELLATION SOFT COM STK NPV
**
2,668,689

CONSTRUCTION PARTNERS INC CL A CL A
**
719,624

CONSUMERS ENERGY 2.85 DUE 05-15-2022
**
306,671

CONSUMERS ENERGY 3.375 DUE 08-15-2023
**
2,471,654

CONSUMERS ENERGY 4.05% DUE 05-15-2048
**
288,491

CONSUMERS ENERGY FIXED 3.75% 02-15-2050
**
165,820

CONSUN PHARMACEUTI HKD0.1
**
74,437

CONTAINER STORE GROUP INC COM
**
33,507

CONTANGO OIL & GAS CO COM NEW COM NEW
**
25,283

CONTINENTAL AIRLS INC 5.5% DUE 04-29-2022
**
685,898

CONTINENTAL AIRLS PASS THRU TR 2007-1A 5.983% DUE 04-19-2023
**
1,586,368

CONTINENTAL BLDG PRODS INC COM
**
113,152

CONTL AIRLS INC 4% DUE 04-29-2026
**
225,109

CONTL RES INC 4.375% DUE 01-15-2028
**
106,338

CONTL RES INC 4.375% DUE 01-15-2028
**
212,676

CONTL RES INC 5 DUE 09-15-2022
**
1,029,330

CONTL RES INC FIXED 3.8% DUE 06-01-2024
**
6,592,548

CONVATEC GROUP PLC ORD GBP0.1 (WI)
**
208,477

COOPER TIRE & RUBBER CO COM, NO PAR
**
231,035

COOPERATIEVE 2.5% DUE 01-19-2021
**
2,846,917

COOPERATIEVE 2.75% DUE 01-10-2022
**
508,445

COOPERATIEVE 3.75% DUE 07-21-2026
**
520,993

COOPERATIEVE 4.375% DUE 08-04-2025
**
8,182,649

COOPERATIEVE CENTRALE RAIFFEISEN 2.25% 01-14-2020
**
500,030

COOPERATIEVE RABOB 6.875% SNR MTN 19/03/20 EUR
**
341,758

COOPERATIEVE RABOBANK UA 5.5%-FRN 31/12/2049
**
805,394

COOPERATIEVE RABOBANK UA 4.625% DUE 12-01-2023 REG
**
541,961

CO-OPERATIVE GROUP 5.625% GTD SNR 08/07/20 GBP
**
544,856

COOPER-STANDARD HOLDING COM
**
717,682


57
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
COPA HOLDINGS SA COM STK
**
186,438

CORDATUS CLO PLC SRS 4A CL 22/04/2030
**
337,246

CORE MOLDING TECHNOLOGIES INC COM STK
**
2,665

CORELOGIC INC-W/I COM STK
**
170,250

CORE-MARK HLDG CO INC COM
**
173,472

COREPOINT LODGING INC COM
**
50,292

CORESITE RLTY CORP COM CORESITE REALTY CORP
**
734,386

CORESTATE CAPHLDG NPV
**
349,191

CORNERSTONE BLDG BRANDS INC COM
**
40,159

CORNERSTONE ONDEMAND INC COM
**
1,944,270

CORNING INC COM
**
17,297,162

CORONADO GLOBAL RESOURCES INC CDI 144A
**
20,662

CORP FINANC ALBA EUR1
**
297,610

CORP OFFICE PPTYS TR COM
**
1,223,501

CORPORACION ANDINA DE FOMENTO NT 2.125% DUE 09-27-2021 REG
**
2,319,025

CORPORACION ANDINA DE FOMENTO NT 2.75% DUE 01-06-2023 REG
**
530,744

CORPORACION NPV
**
47,352

CORTEVA INC COM USD0.01 WI
**
1,217,576

COSLIGHT TECHNOLOG HKD0.10
**
16,818

COSTAMARE INC COM STK
**
149,240

COSTAR GROUP INC COM
**
476,247

COSTCO WHOLESALE CORP NEW COM
**
13,887,132

COTY INC COM CL A COM CL A
**
158,209

COUNTRY GARDEN HLD HKD0.10
**
259,473

COUNTRYSIDE PROPER ORD GBP0.01
**
419,103

COUNTRYWIDE AST-BACKED CERTIFICATES SER 2007-13 RATE 02-25-2036 REG
**
3,076,586

COUNTY BANCORP INC COM
**
11,559

COUPA SOFTWARE INC COM
**
5,039,044

COUSINS PPTYS INC
**
549,484

COVENANT TRANSN GROUP INC CL A
**
40,197

COVESTRO AG NPV
**
411,927

COVETRUS INC COM NPV
**
185,500

COWEN INC COM USD0.01 CL A
**
36,241

COX COMMUNICATIONS 3.15% DUE 08-15-2024
**
4,627,525

CPI AEROSTRUCTURES INC COM NEW
**
10,701

CPPIB CAPITAL INC 144A 2.25% DUE 01-25-2022 REG
**
15,146,874

CPS AUTO 3.95% DUE 03-15-2023
**
190,597

CR ACCEP AUTO LN 2.38% DUE 11-15-2028
**
3,395,342

CR ACCEP AUTO LN 3.02% DUE 04-15-2026
**
492,387

CR ACCEP AUTO LN 3.33% DUE 02-15-2028
**
6,106,582

CR AGRICOLE S A 2.375% DUE 01-22-2025
**
499,524

CR AGRICOLE S A 3.25% DUE 10-04-2024
**
10,987,876

CR AGRICOLE S A 3.75% DUE 04-24-2023
**
261,526

CR AGRICOLE S A 3.75% DUE 04-24-2023
**
1,218,710

CR SUISSE AG FIXED 3.625% DUE 09-09-2024
**
2,524,649

CR SUISSE AG NEW 2.1% DUE 11-12-2021
**
1,678,054

CR SUISSE AG NEW 2.1% DUE 11-12-2021
**
9,409,322


58
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CR SUISSE AG NEW 3% DUE 10-29-2021
**
5,610,419

CR SUISSE AG NEW 5.4% DUE 01-14-2020
**
300,281

CR SUISSE AG TRANCHE # TR 00006 4.375 DUE 08-05-2020
**
1,227,053

CR SUISSE GROUP 3.125% DUE 12-10-2020
**
504,457

CR SUISSE GROUP 3.125% DUE 12-10-2020
**
4,590,562

CR SUISSE GROUP 3.75% DUE 03-26-2025
**
529,276

CR SUISSE GROUP 3.75% DUE 03-26-2025
**
4,445,919

CR SUISSE GROUP 3.8% DUE 06-09-2023
**
261,756

CR SUISSE GROUP 4.55% DUE 04-17-2026
**
14,766,101

CR SUISSE GROUP AG 3.574% DUE 01-09-2023
**
1,746,836

CR SUISSE GROUP AG 4.282% DUE 01-09-2028
**
1,686,563

CR SUISSE GROUP AG 4.282% DUE 01-09-2028
**
5,440,527

CR SUISSE GROUP AG FLTG RT 3.869% DUE 01-12-2029
**
415,574

CRA INTL INC COM
**
58,882

CRACKER BARREL OLD CTRY STORE INC COM
**
2,352,991

CRAFT BREW ALLIANCE INC COM
**
60,324

CRANE CO COM
**
60,898

CREDICORP LTD COM STK
**
234,443

CREDIT AGRICOLE CORP & INVT BK MEDIUM TETRANCHE # TR 774 VAR RT DUE 11-02-2020
**
4,948,074

CREDIT AGRICOLE CORP & INVT BK MEDIUM TETRANCHE # TR 775 VAR RT DUE 05-03-2021
**
4,979,946

CREDIT AGRICOLE CORP & INVT BK NEW YORK 09-20-2019 FLTG RT DUE 09-17-2021
**
4,379,417

CREDIT AGRICOLE SA EUR3
**
325,813

CREDIT SUISSE 5.75% 18/09/2025
**
467,016

CREDIT SUISSE GROUP AG 6.5% 08/08/2023
**
670,454

CREE INC COM
**
319,081

CRESCENT POINT EN COM NPV
**
278,934

CRONOS GROUP INC COM NPV
**
129,835

CROSS CTRY HEALTHCARE INC COM
**
172,917

CROWN CASTLE 3.72% DUE 07-15-2043
**
258,531

CROWN CASTLE INTL 2.25% DUE 09-01-2021
**
2,472,165

CROWN CASTLE INTL 3.4% DUE 02-15-2021
**
506,804

CROWN CASTLE INTL 4% DUE 03-01-2027
**
72,348

CROWN CASTLE INTL 4.875% DUE 04-15-2022
**
4,237,291

CROWN CASTLE INTL 5.25% DUE 01-15-2023
**
54,316

CROWN CASTLE INTL 5.25% DUE 01-15-2023
**
1,086,314

CROWN CASTLE INTL CORP NEW COM
**
13,803,760

CROWN CASTLE TOWERS LLC/CROWN PPN BOND 4.241% 07-15-2028
**
9,077,064

CROWN HLDGS INC COM
**
1,553,226

CROWN RESORTS LIMITED
**
137,485

CSAIL COML MTG SR 2018-CX11 CL ASB 4.0339% 04-15-2051
**
4,834,376

CSAIL 2016-C6 COML 2.8233% DUE 01-15-2049
**
2,326,162

CSAIL 2016-C6 COML 2.95989990234% DUE 01-15-2049
**
12,449,720

CSAIL 2017-C8 CL A-SB 3.18574% 06-15-2050
**
8,869,826

CSAIL COML MTG TR 2015-C1 CL A-SB COML MTG PASSTHRU 3.3512% DUE 04-15-2050 REG
**
5,227,969

CSAIL COMMERCIAL MORTGAGE TRUST 19-C16 CL A1 2.3595% 06-15-2029 REG
**
2,099,068

CSPC PHARMACEUTICAL GROUP LTD HKD0.10
**
1,745,497

CSS INDS INC COM
**
7,259


59
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CSW INDUSTRIALS INC COM
**
169,400

CSX CORP 3.7 11-01-2023
**
159,318

CSX CORP 4.75% DUE 11-15-2048
**
303,382

CTBC FINANCIAL HOLDING CO COM STK
**
1,476,241

CTRY GARDEN SVCS USD0.0001
**
663,678

CTS CORP COM
**
138,136

CUBESMART
**
762,288

CUBIC CORP COM
**
627,563

CULLEN / FROST BANKERS INC COM
**
1,348,288

CULP INC COM
**
40,451

CUMMINS INC
**
17,985,480

CUMULUS MEDIA INC CL A COM 2018 CL A COM2018
**
32,469

CURTISS WRIGHT CORP COM
**
6,859,371

CUSHMAN & WAKEFIELD INC
**
3,260,180

CUSTOMERS BANCORP INC COM
**
81,597

CUTERA INC COM
**
254,251

CVB FINL CORP COM
**
21,968

CVS CAREMARK CORP 4 DUE 12-05-2023
**
3,174,911

CVS HEALTH CORP 2.125% DUE 06-01-2021
**
323,558

CVS HEALTH CORP 2.625% DUE 08-15-2024
**
3,126,444

CVS HEALTH CORP 2.75% DUE 12-01-2022
**
3,211,327

CVS HEALTH CORP 2.8% DUE 07-20-2020
**
2,176,184

CVS HEALTH CORP 3% DUE 08-15-2026
**
1,428,349

CVS HEALTH CORP 3.25% DUE 08-15-2029
**
142,288

CVS HEALTH CORP 3.35% DUE 03-09-2021
**
54,898

CVS HEALTH CORP 3.35% DUE 03-09-2021
**
5,637,191

CVS HEALTH CORP 3.7% DUE 03-09-2023
**
104,234

CVS HEALTH CORP 3.7% DUE 03-09-2023
**
11,309,346

CVS HEALTH CORP 3.875% DUE 07-20-2025
**
13,264,826

CVS HEALTH CORP 4.1% DUE 03-25-2025
**
322,099

CVS HEALTH CORP 4.1% DUE 03-25-2025
**
1,986,279

CVS HEALTH CORP 4.3% DUE 03-25-2028
**
1,495,552

CVS HEALTH CORP 4.3% DUE 03-25-2028
**
13,382,405

CVS HEALTH CORP 4.78% DUE 03-25-2038
**
966,339

CVS HEALTH CORP 4.78% DUE 03-25-2038
**
966,339

CVS HEALTH CORP 5% DUE 12-01-2024
**
1,956,074

CVS HEALTH CORP 5.05% DUE 03-25-2048
**
165,904

CVS HEALTH CORP SR NT FLTG RATE DUE 03-09-2020 REG
**
398,396

CVS HEALTH CORP SR NT FLTG RATE DUE 03-09-2021 REG
**
201,226

CWABS INC 2004-6 ASSET BKD CTF CL 1-A-1 FLTG RATE 12-25-2034 REG
**
2,844,759

CWABS INC FLTG RT 2.292% DUE 10-25-2034
**
7,518,173

CWABS INC SER 2005-15 CL 2AV3 VAR RT 04-25-2036
**
2,007,093

CYBEROPTICS CORP COM
**
10,348

CYCLERION THERAPEUTICS INC
**
16,785

CYFROWY POLSAT SA PLN0.04
**
190,076

CYPRESS SEMICONDUCTOR CORP COM
**
556,397

CYRELA BRAZIL RLTY S A EMPREENDIMENTOS ECOM NPV
**
1,243,489


60
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
CYRUSONE INC COM
**
231,884

CYRUSONE LP / 2.9% DUE 11-15-2024
**
1,405,376

CYTOKINETICS INC COMMON STOCK
**
284,051

CYTOMX THERAPEUTICS INC. COM
**
87,255

CZECH(REP OF) 0.95% BDS 15/05/30 CZK10000
**
128,344

D R HORTON INC 2.55% 12-01-2020
**
401,763

D R HORTON INC SR NT 4.375 09-15-2022
**
314,521

DAEHAN FLOUR MILL KRW5000
**
55,566

DAELIM INDUSTRIAL KRW5000
**
300,460

DAESANG CORPN KRW1000
**
71,385

DAI-ICHI LIFE HOLD NPV
**
759,079

DAIKIN INDUSTRIES NPV
**
6,608,423

DAIMLER FIN N AMER 2.2% DUE 05-05-2020
**
300,151

DAIMLER FIN N AMER 2.85% DUE 01-06-2022
**
1,417,299

DAIMLER FIN N AMER 3.1% DUE 05-04-2020
**
1,349,429

DAIMLER FIN N AMER 3.35% DUE 02-22-2023
**
205,692

DAIMLER FIN N AMER 3.35% DUE 02-22-2023
**
668,499

DAIMLER FIN NORTH AMER LLC 3.7% DUE 05-04-2023 BEO
**
7,915,253

DAITO TRUST CONST NPV
**
160,977

DAIWA HOUSE INDS NPV
**
207,538

DAIWA SECS GROUP 3.129% DUE 04-19-2022
**
185,543

DAIWA SECS GROUP 3.129% DUE 04-19-2022
**
713,626

DAIWABO HOLDINGS NPV
**
846,739

DAKTRONICS INC COM
**
156,684

DALLAS TEX TAXABLE-CAP APPREC-SER B DUE 02-15-2027 BEO TAXABLE ZCP
**
2,421,587

DALLAS TEX ZERO CPN 0% 02-15-2026 BEO TAXABLE
**
3,369,639

DANA INC COM
**
3,135,551

DANAHER CORP COM
**
26,393,802

DANONE EUR0.25
**
5,398,317

DANSKE BANK A/S DKK10
**
232,615

DANSKE BK A/S 2.2% 03-02-2020
**
499,965

DANSKE BK A/S 2.8% DUE 03-10-2021
**
2,583,273

DARLING INGREDIENTS INC COMSTK
**
4,608,770

DART GROUP ORD GBP0.0125
**
1,129,424

DASAN ZHONE SOLUTIONS INC COM NEW COM NEW
**
37,566

DASSAULT AVIATION EUR8
**
177,299

DASSAULT SYSTEMES EUR0.50
**
2,616,411

DATADOG INC COM USD0.00001 CL A
**
668,706

DAVITA INC COM
**
959,334

DAWSON GEOPHYSICAL CO NEW COM
**
9,934

DAYANG ENTERPRISE NPV
**
115,851

DB HITEK CO., LTD
**
161,290

DBS GROUP HLDGS NPV
**
4,478,694

DDR CORP 4.625% DUE 07-15-2022
**
722,823

DEAN FOODS CO NEW COM NEW COM USD0.01 (POST REV SPLIT)
**
690

DECIPHERA PHARMACEUTICALS INC COM
**
948,164

DECKERS OUTDOOR CORP COM
**
1,387,185


61
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DEERE & CO 2.6% DUE 06-08-2022
**
702,981

DEERE JOHN CAP 2.6% DUE 03-07-2024
**
562,633

DEERE JOHN CAP CORP 1.7 01-15-2020
**
429,962

DEERE JOHN CAP CORP MEDIUM TERM 3.45% 03-07-2029
**
271,894

DEL TACO RESTAURANTS INC NEW COM USD 0.0001
**
181,048

DELEK US HLDGS INC NEW COM
**
2,014,985

DELMARVA PWR & LT 3.5% DUE 11-15-2023
**
732,833

DELTA 2012-1A PASS 4.75% DUE 11-07-2021
**
308,945

DELTA AIR LINES 3.4% DUE 04-19-2021
**
5,383,568

DELTA AIR LINES 3.625% DUE 03-15-2022
**
5,806,826

DELTA AIR LINES 6.821% DUE 02-10-2024
**
2,245,585

DELTA AIR LINES FIXED 2.875% DUE 03-13-2020
**
1,175,183

DELTA AIR LINES INC DEL 2.6% 12-04-2020 REG
**
200,588

DELTA AIR LINES INC DEL 2.6% 12-04-2020 REG
**
1,534,496

DELTA AIR LINES INC DEL 2.9% DUE 10-28-2024
**
2,451,054

DENBURY RES INC HLDG CO COM NEW
**
57,727

DENSO CORP NPV
**
1,840,119

DEPY TR & CLEARING 4.875% DUE 12-29-2049
**
757,500

DERMIRA INC COM
**
498,764

DESIGNER BRANDS INC COM CL A NPV
**
158,281

DETROIT EDISON CO 3.9% DUE 06-01-2021
**
291,606

DETROIT EDISON CO GEN & REF MTG 2012 SERA 2.65 DUE 06-15-2022
**
284,382

DEUTSCHE BK AG 3.375% DUE 05-12-2021
**
2,217,496

DEUTSCHE BK AG 3.7% DUE 05-30-2024
**
68,190

DEUTSCHE BK AG N Y FLTG DUE 01-22-2021
**
497,896

DEUTSCHE BK AG N Y 3.15% DUE 01-22-2021
**
1,506,822

DEUTSCHE BK AG N Y 3.15% DUE 01-22-2021
**
4,747,493

DEUTSCHE BK AG N Y BRANCH 5.0% 02-14-2022
**
1,357,922

DEUTSCHE BK AG N Y BRH 4.25% 02-04-2021
**
3,906,479

DEUTSCHE BK AG N Y FIXED 3.125% DUE 01-13-2021
**
150,571

DEUTSCHE BK AG N Y FIXED 3.125% DUE 01-13-2021
**
2,017,648

DEUTSCHE BK AG N Y FIXED 3.375% DUE 05-12-2021
**
230,404

DEUTSCHE BK AG N Y FIXED 4.25% DUE 10-14-2021
**
3,496,974

DEUTSCHE BK AG N Y FLTG RT 3.961% DUE 11-26-2025
**
3,780,642

DEUTSCHE BK AG N Y FLTG RT 3.961% DUE 11-26-2025
**
10,524,490

DEUTSCHE BOERSE AG NPV(REGD)
**
4,483,295

DEUTSCHE LUFTHANSA ORD NPV (REGD)(VINK)
**
1,606,221

DEUTSCHE TELEKOM NPV(REGD)
**
797,825

DEUTSCHE WOHNEN SE NPV (BR)
**
149,514

DEVELOPMENT BK JAPAN INC DEVELOPMENT BK OF JAPAN 3.125% DUE 09-06-2023 REG
**
520,249

DEVELOPMENT BK JAPAN INC NT 144A 1.625% DUE 09-01-2021 BEO
**
497,644

DEVON ENERGY CORP 5.85% DUE 12-15-2025
**
3,213,676

DEVON ENERGY CORP NEW COM
**
906,794

DEXCOM INC COM
**
4,890,151

DEXIA CR LOC MEDIUM TERM NT 144A 2.25% DUE 02-18-2020 BEO
**
3,501,511

DEXUS PROPERTY GROUP NPV
**
204,100

DH EUROPE FIN II S 2.05% DUE 11-15-2022
**
4,564,992


62
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DH EUROPE FIN II S FIXED 3.25% 11-15-2039
**
100,863

DHI GROUP INC COM
**
28,989

DHT HOLDINGS INC SHS NEW
**
214,361

DIAGEO CAP PLC 3.5% DUE 09-18-2023
**
6,026,085

DIAGEO CAP PLC FIXED 2.125% DUE 10-24-2024
**
2,500,584

DIAGEO CAP PLC GTD NT 4.828 DUE 07-15-2020
**
3,329,697

DIAGEO INVT CORP 2.875% DUE 05-11-2022
**
122,425

DIAGEO ORD PLC
**
8,301,142

DIAGEO PLC SPONSORED ADR NEW
**
14,739,445

DIALOG SEMICONDUCTOR PLC COMMON STOCK
**
1,134,242

DIAMOND 1 FIN CORP 4.42% DUE 06-15-2021
**
308,733

DIAMOND 1 FIN CORP 4.42% DUE 06-15-2021
**
3,053,374

DIAMOND 1 FIN CORP 5.45% DUE 06-15-2023
**
216,948

DIAMOND OFFSHORE DRILLING INC COM
**
102,666

DIAMONDBACK ENERGY 2.875% DUE 12-01-2024
**
2,974,332

DIAMONDROCK HOSPITALITY CO COM STK
**
224,481

DICERNA PHARMACEUTICALS INC COM
**
467,102

DICKS SPORTING GOODS INC OC-COM OC-COM
**
491,386

DIEBOLD NIXDORF INC COM STK
**
192,192

D'IETEREN NV NPV
**
1,136,874

DIGI INTL INC COM
**
259,828

DIGI.COM.BERHAD MYR.025
**
104,018

DIGIRAD CORP COM NEW COM NEW
**
586

DIGITAL RLTY TR LP 3.95% DUE 07-01-2022
**
624,782

DILLARDS INC CL A COM
**
278,636

DIME CMNTY BANCSHARES INC COM
**
101,630

DINE BRANDS GLOBAL INC
**
26,893

DINO POLSKA SA PLN0.10
**
409,886

DIODES INC COM
**
391,264

DIOS FASTIGHETER NPV
**
866,273

DIP CORPORATION NPV
**
150,670

DIPLOMAT PHARMACY INC COM
**
49,384

DIRECIONAL ENGENHA COM NPV
**
321,542

DIRECT LINE INSURANCE PLC ORD GBP
**
784,583

DISCOVER BK NEW 3.35% DUE 02-06-2023
**
2,072,952

DISCOVER BK NEW 3.45% DUE 07-27-2026
**
311,601

DISCOVER BK NEW 4.2% DUE 08-08-2023
**
2,657,787

DISCOVER BK NEW CASTLE DEL 3.200 DUE 08-09-2021
**
610,548

DISCOVER CARD 2.19% DUE 04-17-2023
**
15,041,711

DISCOVER CARD 2.39% DUE 07-15-2024
**
6,756,125

DISCOVER CARD 3.03% DUE 08-15-2025
**
5,400,210

DISCOVER CARD EXECUTION NT TR 2017-5 DISCOVERSERIES NT CL A 12-15-2026 REG
**
10,043,419

DISCOVER CARD FIXED 3.04% DUE 07-15-2024
**
8,365,091

DISCOVER FINL SVCS 3.75% DUE 03-04-2025
**
1,043,425

DISCOVER FINL SVCS 3.85% DUE 11-21-2022
**
1,810,755

DISCOVER FINL SVCS COM STK
**
9,652,601

DISCOVERY 6.35% DUE 06-01-2040
**
101,798


63
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DISCOVERY COMMUNIC 3.3 BDS DUE 05-15-2022
**
61,552

DISCOVERY COMMUNIC 3.3 BDS DUE 05-15-2022
**
1,949,155

DISCOVERY COMMUNICATIONS LLC 2.95% 03-20-2023
**
611,521

DISCOVERY COMMUNICATIONS LLC 2.95% 03-20-2023
**
5,096,012

DISCOVERY COMMUNICATIONS LLC CORP 3.5% 06-15-2022
**
2,262,243

DISCOVERY FIXED 2.8% DUE 06-15-2020
**
867,246

DISCOVERY INC COM USD0.01 SERIES C
**
17,577,485

DISNEY WALT CO 1.75% DUE 08-30-2024
**
1,984,823

DISNEY WALT CO 3% DUE 09-15-2022
**
1,194,967

DISNEY WALT CO GTD NT FLTG RATE DUE 09-01-2021 REG
**
713,128

DISNEY WALT CO NEW 2.75 DUE 08-16-2021
**
629,756

DISNEY WALT CO NEW 4.125 DUE 06-01-2044
**
60,217

DISNEY WALT CO NEW MEDIUM TERM NTS BOOK TRANCHE # TR 00087 2.45% DUE 03-04-2022
**
3,042,758

DISNEY WALT CO SR NT 3.7% 10-15-2025
**
162,388

DISNEY WALT CO SR NT 4.5% 02-15-2021
**
190,652

DISNEY WALT COMPANY 2.55 DUE 02-15-2022
**
152,440

DLF LIMITED INR2
**
596,079

DNB BOLIGKREDITT A CORPBOND 3.25% 06-28-2023
**
415,151

DNB BOLIGKREDITT A CORPBOND 3.25% 06-28-2023
**
3,376,219

DNB NOR 2.25% DUE 03-28-2022
**
405,001

DOCUSIGN INC COM
**
353,875

DOGAN SIRKETLER TRY1
**
167,417

DOLLAR TREE INC COM STK
**
30,180,175

DOMINION ENERGY GAS HLDGS LLC FORMERLY 3.9% DUE 11-15-2049
**
94,885

DOMINION ENERGY INC FORMERLY 2.579% 07-01-2020
**
8,738,133

DOMINION ENERGY INC JR SUB NT SER A-1 STEP UP 08-15-2021
**
1,469,175

DOMINION GAS HLDGS 2.8% DUE 11-15-2020
**
503,507

DOMINION GAS HLDGS 2.8% DUE 11-15-2020
**
3,904,949

DOMINION GAS HLDGS 2.8% DUE 11-15-2020
**
555,871

DOMINION RES INC 2.75 DUE 09-15-2022
**
121,856

DOMINION RES INC 2.85% DUE 08-15-2026
**
626,512

DOMINOS PIZZA INC COM
**
28,460,819

DOMO INC CL B CL B
**
167,244

DOMTAR CORP COM NEW COM NEW
**
361,559

DONEGAL GROUP INC CL A NEW CLA
**
51,470

DONGWON DEVMT KRW500
**
156,997

DONGWOO FARM TO TA KRW500
**
98,791

DONGYUE GROUP LTD HKD0.1
**
137,498

DONNELLEY FINL SOLUTIONS INC COM
**
150,035

DONNELLEY R R & SONS CO COM NEW COM NEW
**
330,939

DORIAN LPG LIMITED COM USD0.01
**
362,634

DOUGLAS EMMETT INC COM REIT
**
5,502,909

DOUTOR NICHIRES HO NPV
**
138,823

DOUZONE BIZON CO L KRW500
**
735,236

DOW CHEMICAL CO 3% DUE 11-15-2022
**
357,910

DOW CHEMICAL CO 3% DUE 11-15-2022
**
700,482

DOW CHEMICAL CO FIXED 3.15% DUE 05-15-2024
**
2,845,944


64
Table of Contents


Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DOWDUPONT INC 3.766% DUE 11-15-2020
**
1,252,116

DOWDUPONT INC 4.205% DUE 11-15-2023
**
4,279,793

DOWDUPONT INC 4.493% DUE 11-15-2025
**
660,834

DOWNER EDI LTD NPV
**
330,228

DP WORLD PLC 5.625% SNR MTN 25/09/48 USD
**
6,870,729

DR AUTO 2.16% DUE 05-15-2023
**
5,576,384

DR AUTO 2.65% DUE 02-15-2024
**
1,309,124

DR AUTO 2.75% DUE 09-15-2023
**
22,973

DR AUTO 3.18% DUE 10-17-2022
**
2,791,817

DR AUTO 3.36% DUE 10-17-2022
**
421,139

DR AUTO 3.63% DUE 08-15-2024
**
2,862,087

DR AUTO 4.18% DUE 03-15-2024
**
213,589

DR LAL PATHLABS LT INR10
**
52,681

DR PEPPER SNAPPLE 2.55% DUE 09-15-2026
**
52,828

DR PEPPER SNAPPLE 3.13% DUE 12-15-2023
**
514,141

DR PEPPER SNAPPLE GROUP 2 DUE 01-15-2020
**
24,999

DR REDDYS LABS INR5
**
276,307

DRAEGERWERK KGAA NON-VTG PRF NPV
**
545,025

DRAX GROUP ORD GBP0.1155172
**
1,080,295

DRIL-QUIP INC COM
**
250,734

DRIVE AUTO RECEIVABLES TR 2019-2 CL B 3.17% 11-15-2023
**
631,330

DRIVE AUTO RECEIVABLES TR SER 17-1 CL D 3.84% 03-15-2023
**
219,205

DRIVE AUTO RECEIVABLES TR SER 19-2 CL A2A 2.93% 03-15-2022 REG
**
1,046,425

DRIVE AUTO RECEIVABLES TRUST SR 17-1 CL C 2.84% 04-15-2022
**
5,857

DROPBOX INC CL A CL A
**
313,425

DT AUTO OWNER TR 3.77% DUE 10-17-2022
**
66,079

DTR AUTOMOTIVE CORPORATION
**
34,890

DUCOMMUN INC DEL COM
**
82,212

DUKE ENERGY 3.95% DUE 11-15-2028
**
1,377,460

DUKE ENERGY CAROLINAS DTD 06/07/2010 4.3DUE 06-15-2020
**
151,540

DUKE ENERGY CORP 2.4% DUE 08-15-2022
**
1,939,536

DUKE ENERGY CORP 2.65% DUE 09-01-2026
**
1,391,744

DUKE ENERGY CORP 3.05 DUE 08-15-2022
**
1,943,865

DUKE ENERGY CORP 3.05 DUE 08-15-2022
**
511,543

DUKE ENERGY CORP 3.4% DUE 06-15-2029
**
52,265

DUKE ENERGY CORP NEW 3.95 DUE 10-15-2023
**
13,157,996

DUKE ENERGY CORP NEW COM NEW COM NEW
**
23,465,597

DUKE ENERGY CORP NEW SR NT FLTG RATE 144A DUE 05-14-2021 BEO
**
301,099

DUKE ENERGY FIXED 3.7% DUE 12-01-2047
**
430,479

DUKE ENERGY FLA 3.2% DUE 01-15-2027
**
7,424,966

DUKE ENERGY FLA FIXED 3.8% DUE 07-15-2028
**
7,997,053

DUKE ENERGY IND 1ST MTG BD SER PPP 3.75 DUE 07-15-2020
**
1,000,125

DUKE RLTY LTD 2.875% DUE 11-15-2029
**
401,140

DUKE RLTY LTD 3.375% DUE 12-15-2027
**
522,990

DUKE RLTY LTD 3.875 DUE 10-15-2022
**
1,042,517

DUPONT DE NEMOURS INC COMMON STOCK
**
8,375,725


65
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
DXC TECHNOLOGY CO COM
**
762,100

DXC TECHNOLOGY CO FIXED 4.25% DUE 04-15-2024
**
66,925

DXC TECHNOLOGY CO FIXED 4.45% DUE 09-15-2022
**
525,083

DXP ENTERPRISES INC COM NEW STK
**
109,915

DYCOM INDS INC COM
**
2,343,025

E L F BEAUTY INC COM
**
244,208

E.ON SE NPV
**
1,162,764

E.SUN FINL HLDGS TWD10
**
34,369

EAGLE BANCORP INC MD COM
**
206,288

EAGLE BULK SHIPPING INC COM STK
**
60,628

EAGLE PHARMACEUTICALS INC COM
**
120,160

EARTHSTONE ENERGY INC COM USD0.10 CL A
**
28,472

EAST WEST BANCORP INC COM
**
1,185,748

EASTECH HOLDING LT TWD10
**
63,515

EASTERLY GOVERNMENT PROPERTI COMMON STOCK
**
107,449

EASTERN PROV CEMNT SAR10
**
35,527

EASTMAN CHEM CO 3.5% DUE 12-01-2021
**
3,231,380

EASTN CO COM
**
32,148

EATON CORP OHIO 2.75% DUE 11-02-2022
**
4,163,244

EATON CORP PLC COM USD0.50
**
12,480,591

EBAY INC FIXED 2.15% DUE 06-05-2020
**
3,122,144

EC WORLD REIT
**
220,068

ECHO GLOBAL LOGISTICS INC COM
**
394,294

ECHOSTAR CORPORATION
**
288,704

ECKERT & ZIEGLER NPV (BR)
**
398,234

ECOLAB INC 3.25% DUE 12-01-2027
**
227,285

ECOLAB INC 4.35% DUE 12-08-2021
**
629,360

ECOPETROL S A 5.375% DUE 06-26-2026
**
6,686,460

ECOPETROL S A 5.875% DUE 05-28-2045
**
353,625

EDF EUR0.5
**
1,582,563

EDGEWELL PERS CARE CO COM
**
545,113

EDION CORP NPV
**
94,228

EDISON INTERNATIONAL 3.55% 11-15-2024
**
51,217

EDISON INTL 4.125% DUE 03-15-2028
**
256,530

EDREAMS ODIGEO COM STK
**
48,453

EDWARDS LIFESCIENCES CORP COM
**
4,741,619

EIFFAGE EUR4
**
97,664

EL PASO ENERGY CORP MEDIUM TERM NTS BOOK TR 4 7.8 8-1-31
**
827,424

EL PASO PIPELINE PART OP 5 10-1-2021
**
5,045,199

EL POLLO LOCO HLDGS INC COM
**
92,233

EL.EN. SPA EUR0.13
**
849,461

ELAN MICROELECTRON TWD10
**
285,979

ELASTIC N V COM USD0.01
**
1,157,400

ELECTR ARTS INC 3.7% DUE 03-01-2021
**
2,592,605

ELECTRICITY GENRTG THB10(NVDR)
**
41,520

ELEMENT FLEET MGMT COM NPV
**
637,135

ELEMENT SOLUTION INC COM
**
1,819,872


66
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ELEVATE CR INC COM
**
17,791

ELI LILLY & CO COM
**
3,303,493

EMAAR PROPERTIES AED1
**
69,191

EMC CORP 2.65% DUE 06-01-2020
**
600,108

EMCOR GROUP INC COM
**
9,235,653

EMCORE CORP COM STK
**
15,045

EMD FIN LLC 2.4% DUE 03-19-2020
**
800,245

EMERA US FIN LP 2.7% DUE 06-15-2021
**
504,653

EMERALD BAY S.A. 0% NTS 19/10/2020 EUR1
**
536,139

EMERALD EXPOSITIONS EVENTS INC COM
**
307,184

EMERGENT BIOSOLUTIONS INC COM
**
95,114

EMIRATES TELECOMMUNICATIONS GROUP COMPA NY PJSC ETISALAT GROUP
**
88,362

EMIS GROUP PLC ORD GBP0.01
**
370,097

EMPIRE CO CLASS'A'N/VTG COM NPV
**
174,480

EMPIRE ST RLTY TR INC CL A CL A
**
187,818

EMPLOYERS HLDGS INC COM
**
197,937

EMPRESAS CMPC SA COM NPV
**
88,106

ENABLE MIDSTREAM PARTNERS LP 4.4% DUE 03-15-2027 REG
**
149,817

ENAGAS SA EUR1.50
**
1,061,995

ENANTA PHARMACEUTICALS INC COM
**
272,512

ENAV S.P.A. EUR1
**
163,060

ENBRIDGE INC 2.5% DUE 01-15-2025
**
10,556,512

ENBRIDGE INC 2.9% 07-15-2022
**
3,280,424

ENBRIDGE INC 4.25% DUE 12-01-2026
**
191,699

ENBRIDGE INC SR NT FLTG RATE DUE 06-15-2020 REG
**
1,101,826

ENCANA CORP 3.9% DUE 11-15-2021
**
3,226,059

ENCANA CORP 6.5% DUE 08-15-2034
**
117,591

ENCOMPASS HEALTH CORP COM USD0.01
**
8,212,443

ENCORE CAP GROUP INC COM
**
149,255

ENCORE WIRE CORP COM
**
496,912

ENDESA SA EUR1.2
**
1,525,028

ENDO INTL LTD COM STK
**
404,494

ENDOLOGIX INC COM USD0.001
**
4,531

ENDURANCE INTL GROUP HLDGS INC COM
**
180,480

ENEL CHILE SA COM NPV
**
233,801

ENEL FIN INTL N V 4.25% DUE 09-14-2023
**
1,482,437

ENEL SPA EUR1
**
2,254,371

ENERGY TRANSFER 4.65% DUE 06-01-2021
**
103,045

ENERGY TRANSFER 4.65% DUE 06-01-2021
**
2,914,104

ENERGY TRANSFER 4.75% DUE 01-15-2026
**
16,244

ENERGY TRANSFER 4.95% DUE 06-15-2028
**
1,068,420

ENERGY TRANSFER 5.25% DUE 04-15-2029
**
337,113

ENERGY TRANSFER 6.25% DUE 04-15-2049
**
301,703

ENERGY TRANSFER FIXED 4.15% DUE 10-01-2020
**
303,198

ENERGY TRANSFER FIXED 4.25% DUE 03-15-2023
**
261,129

ENERGY TRANSFER FIXED 4.25% DUE 03-15-2023
**
4,386,963

ENERGY TRANSFER FIXED 5.5% DUE 06-01-2027
**
1,686,383


67
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ENERGY TRANSFER OPER L P 5.875% DUE 01-15-2024
**
12,067,825

ENERGY TRANSFER OPERATUNG 4.5% DUE 04-15-2024
**
21,293

ENERPLUS CORP COM
**
328,001

ENERSYS COM
**
158,116

ENGIE COMSTK
**
7,375,084

ENGIE ENERGIA CHILE S.A.
**
7,924

ENGINEERS INDIA COMSTK
**
13,866

ENGRO FERTILIZER L PKR10
**
241,345

ENI S P A 4.15% DUE 10-01-2020
**
669,578

ENI SPA EUR1
**
3,356,805

ENLINK MIDSTREAM 4.4% DUE 04-01-2024
**
630,565

ENLINK MIDSTREAM LLC COM UNIT REPSTG LTD LIABILITY CO INTS
**
389,666

ENNIS INC COM
**
90,302

ENPRO INDS INC COM
**
216,290

ENSTAR GROUP LIMITED COM
**
990,653

ENSTAR GROUP LTD 4.5% 03-10-2022
**
2,083,130

ENTEGRIS INC COM
**
3,280,394

ENTERCOM MUNICATIONS CORP CL A CL A
**
98,892

ENTERGY ARK INC 3.05% DUE 06-01-2023
**
55,486

ENTERGY CORP 5.125 DUE 09-15-2020
**
1,621,868

ENTERGY CORP 5.125 DUE 09-15-2020
**
785,593

ENTERGY GULF STS 5.59% DUE 10-01-2024
**
459,033

ENTERGY LA LLC 2.4% DUE 10-01-2026
**
78,968

ENTERGY LA LLC 3.12% 09-01-2027
**
98,596

ENTERGY LA LLC 4.0% 03-15-2033
**
186,723

ENTERGY LA LLC 5.4% DUE 11-01-2024
**
1,368,701

ENTERGY MISS LLC 3.85% DUE 06-01-2049
**
109,221

ENTERPRISE BANCORP INC MASS CDT-COM CDT-COM
**
46,876

ENTERPRISE FINL SVCS CORP COM STK
**
648,376

ENTERPRISE PRODS 2.85% DUE 04-15-2021
**
1,192,184

ENTERPRISE PRODS 3.35% DUE 03-15-2023
**
1,748,553

ENTERPRISE PRODS 3.75% DUE 02-15-2025
**
346,375

ENTERPRISE PRODS 3.9% DUE 02-15-2024
**
118,852

ENTERPRISE PRODS 3.9% DUE 02-15-2024
**
424,470

ENTERPRISE PRODS 4.15% DUE 10-16-2028
**
2,247,087

ENTERPRISE PRODS 4.2% DUE 01-31-2050
**
123,444

ENTERPRISE PRODS OPER DTD 05-20-2010 5.2DUE 09-01-2020
**
2,480,498

ENTERPRISE PRODS OPER LLC 2.8% 02-15-2021 REG
**
1,759,634

ENTERPRISE PRODS OPER LLC 3.7% 02-15-2026
**
57,491

ENTERPRISE PRODUCTS OPER L P 3.125% DUE 07-31-2029
**
3,935,940

ENTRA ASA NOK1
**
1,125,931

ENTRAVISION COMMUNICATIONS CORP CL A CL A
**
36,934

ENVESTNET INC COM STK
**
2,562,384

EOG RES INC 2.45 DUE 04-01-2020
**
350,219

EOG RES INC 4.1% DUE 02-01-2021
**
568,403

EOG RES INC 4.15% DUE 01-15-2026
**
813,451

EOG RESOURCES INC COM
**
7,469,717


68
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
EOLUS VIND AB SER'B'NPV
**
411,965

EPAM SYS INC COM STK
**
1,205,069

EPLUS INC COM
**
144,642

EPR PPTYS 4.5% DUE 06-01-2027
**
142,394

EPR PPTYS COM SH BEN INT COM SH BEN INT
**
3,337,669

EQM MIDSTREAM 4.125% DUE 12-01-2026
**
848,913

EQM MIDSTREAM 4.75% DUE 07-15-2023
**
1,003,191

EQT CORP 4.875% DUE 11-15-2021
**
516,224

EQT CORP 4.875% DUE 11-15-2021
**
306,637

EQT CORP COM
**
400,510

EQT CORP FIXED 2.5% DUE 10-01-2020
**
844,845

EQTY LIFESTYLE PPTYS INC REIT
**
1,161,717

EQUATE 4.25% DUE 11-03-2026
**
5,343,710

EQUATE PETROCHEMIC 4.25% GTD SNR 03/11/26 USD
**
6,630,542

EQUIFAX INC COM
**
8,758,201

EQUIFAX INC SR NT FLTG DUE 08-15-2021 REG
**
301,090

EQUINIX INC FIXED 2.625% DUE 11-18-2024
**
4,017,459

EQUITRANS MIDSTREAM CORP COM NPV WI
**
87,668

EQUITY BANCSHARES INC COM CL A COM CL A
**
87,918

EQUITY COMMONWEALTH USD0.01( BNF INT)
**
1,865,072

ERA GROUP INC COM USD0.01
**
42,887

ERAC USA FIN LLC 2.6% DUE 12-01-2021
**
302,317

ERAC USA FIN LLC 2.6% DUE 12-01-2021
**
2,176,686

ERICSSON
**
7,608,748

ERICSSON SER'B'NPV
**
1,553,228

ERP OPER LTD 3.5% DUE 03-01-2028
**
261,392

ERSTE GROUP BANK AG NPV
**
949,214

ESCALADE INC COM
**
21,557

ESCO TECHNOLOGIES INC
**
332,538

ESON PRECISION IND TWD10
**
16,046

ESPERION THERAPEUTICS INC NEW COM
**
178,890

ESPRINET EUR0.15
**
551,960

ESSA BANCORP INC COM STK
**
20,849

ESSEX PORTFOLIO L 3.25 DUE 05-01-2023
**
513,749

ESSILORLUXOTTICA EUR 0.18
**
4,455,385

ESSILORLUXOTTICA EUR0.18
**
469,717

ESSITY AB SER'B'NPV
**
3,921,147

ESTEE LAUDER COMPANIES INC CL A USD0.01
**
12,581,384

ESTEE LAUDER COS 3.15% DUE 03-15-2027
**
68,656

ETHAN ALLEN INTERIORS INC COM
**
78,851

ETSY INC COM
**
328,174

EURONAV NPV
**
865,514

EUROPEAN INVT BK GLOBAL NT 1.75% DUE 05-15-2020 REG
**
1,182,075

EUROPRIS ASA NOK1
**
34,171

EUROSAIL-UK 07-3BL FRN M/BKD 06/2045 GBP'A3A'
**
48,542

EUROSAIL-UK 2007-3BL PLC NO MIN REGD NOTES FLTG RT REG-S 13/06/2045
**
64,358

EUTELSAT COMMUNICA EUR1
**
172,149


69
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
EVA AIRWAYS TWD10
**
50,071

EVANS BANCORP INC COM NEW COM NEW
**
33,564

EVERBRIDGE INC COM
**
462,624

EVERCORE INC
**
3,006,698

EVEREST RE GROUP COM
**
2,269,811

EVERI HLDGS INC COM
**
546,601

EVERQUOTE INC CL A COM CL A COM
**
908,008

EVERSOURCE ENERGY 2.5% DUE 03-15-2021
**
2,827,489

EVERTEC INC COM
**
585,931

EVO PMTS INC CL A COM CL A COM
**
5,385,659

EVOLENT HEALTH INC CL A CL A
**
118,012

EVOLUTION PETE CORP COM STK
**
26,803

EVRAZ PLC ORD US0.5
**
842,178

EXACT SCIENCES CORP COM
**
4,382,165

EXELON CORP 3.95% DUE 06-15-2025
**
107,586

EXELON CORP JR SUB NT STEP UP 06-01-202205-01-2022
**
92,434

EXELON CORP JR SUB NT STEP UP 06-01-202205-01-2022
**
770,284

EXELON GENERATION 5.75% DUE 10-01-2041
**
57,755

EXELON GENERATION CO LLC 2.95% DUE 01-15-2020
**
2,640,442

EXELON GENERATION CO LLC 3.4% 03-15-2022
**
318,192

EXELON GENERATION CO LLC 4.25 06-15-2022
**
120,288

EXETER AUTOMOBILE 2.44% DUE 09-16-2024
**
1,010,061

EXETER AUTOMOBILE 2.58% DUE 08-15-2023
**
2,630,483

EXETER AUTOMOBILE 2.59% DUE 09-15-2022
**
1,518,722

EXETER AUTOMOBILE 2.84% DUE 08-16-2021
**
1,187

EXETER AUTOMOBILE 2.9% DUE 01-18-2022
**
45,061

EXETER AUTOMOBILE RECEIVABLES SER 18-1A CL C 3.03% 01-16-2023
**
285,991

EXETER AUTOMOBILE RECEIVABLES TR 2019-1 SR 19-1A CL B 3.45% 02-15-2023
**
1,405,951

EXIDE INDUSTRIES INR1
**
112,034

EXLSERVICE COM INC COM STK
**
1,258,615

EXPEDIA INC FIXED 3.8% DUE 02-15-2028
**
127,860

EXPERIAN ORD USD0.10
**
7,870,245

EXPONENT INC COM STK
**
159,206

EXPORT IMPORT BK KOREA NT 4% DUE 01-29-2021 REG
**
408,355

EXPRESS INC COM
**
60,407

EXPRESS SCRIPTS 2.6% 11-30-2020
**
4,746,495

EXPRESS SCRIPTS 3.9% DUE 02-15-2022
**
2,103,411

EXPRESS SCRIPTS 4.75% DUE 11-15-2021
**
2,301,169

EXTENDED STAY AMER INC PAIRED SHS COMPRISED 1 COM 1 CL B COM
**
110,960

EXTERRAN CORP COM
**
101,289

EXTRACTION OIL & GAS INC EXTRACTION OIL & GAS LLC
**
62,218

EXTREME NETWORKS INC COM
**
892,817

EXXON MOBIL CORP 2.995% DUE 08-16-2039
**
551,466

EXXON MOBIL CORP 3.043% DUE 03-01-2026
**
2,045,852

EXXON MOBIL CORP COM
**
5,886,850

EYESVISION CORP KRW500
**
48,973

EZ TEC EMPREENDIME COM NPV
**
23,233


70
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
EZCORP INC CL A NON VTG CL A NON VTG
**
57,138

F N B CORP PA COM
**
3,639,122

F.C.C. CO LTD NPV
**
125,293

F5 NETWORKS INC COM STK
**
202,493

FABRINET COM USD0.01
**
751,496

FACEBOOK INC COM USD0.000006 CL 'A'
**
21,499,938

FAES FARMA SA EUR0.1(REGD)
**
76,992

FAIR ISAAC CORPORATION COM
**
1,093,691

FAIRFAX FINL HLDGS 2.75% 29/03/2028 DUALCURR
**
242,959

FAIRFAX FINL HLDGS SUB-VTG COM NPV
**
152,817

FALCK RENEWABLES EUR1
**
400,433

FANNIE MAE 1997-89 CL-ZA 7.0% DUE 12-20-2027
**
142,015

FANNIE MAE REMIC SR 015-60 CL-AF FLTG RATE 08-25-2045
**
1,782,385

FANNIE MAE SER 1994-43 CL PK 6.35% 02-25-2024
**
46,719

FANNIE MAE SR 12-104 CL QC 2.5% 05-25-2042
**
641,472

FANNIEMAE-ACES SR 2015-M8 CL AB 2.829% 01-25-2025
**
2,488,128

FANUC CORP NPV
**
2,234,316

FAR EAST HORIZON NPV
**
80,572

FARMERS NATL BANC CORP COM
**
78,059

FARO TECHNOLOGIES INC COM
**
118,625

FAUJI FERTILIZER PKR10
**
123,508

FB FINL CORP COM
**
316,997

FBL FINL GROUP INC CL A CL A
**
213,503

FCE BANK FRN SNR EMTN 08/20 EUR1000
**
112,109

FED HOME LN MTG CORP G14239 4 DUE 09-01-2026
**
90,635

FED HOME LOAN MTG SR 3981 CL ME 3.0% 01-15-2027
**
217,117

FEDERAL AGRIC MTG CORP CL C
**
132,014

FEDERAL HOME LN BKS 3.0% DUE 10-12-2021 REG
**
527,597

FEDERAL HOME LN BKS CONS BD DTD 1.73% 06-30-2022
**
6,143,028

FEDERAL HOME LN BKS FLTG RT 05-14-2020 REG
**
6,118,149

FEDERAL HOME LN MTG CORP SER K043 CLS A1 RT 2.532% DUE 10-25-2023
**
683,262

FEDERAL HOME LN MTG CORP 2.375% 02-16-2021
**
943,015

FEDERAL HOME LN MTG CORP 2014-DN1 CL M2 FLT RT 02-25-2024 REG
**
6,773,757

FEDERAL HOME LN MTG CORP MULTICLASS MTG 4 11-15-2039
**
1,070,390

FEDERAL HOME LN MTG CORP MULTICLASS SER 004639 CL KB STEP UP 04-15-2053
**
4,205,134

FEDERAL HOME LN MTG CORP MULTICLASS SER 3384 CL FL FLTG RT 11-15-2037
**
2,049,598

FEDERAL HOME LN MTG CORP MULTICLASS SER 3778 CL M 4.5 08-15-2039
**
1,347,963

FEDERAL HOME LN MTG CORP MULTICLASS SR 2008-25 CL EF VAR 04-25-2038 REG
**
1,522,819

FEDERAL HOME LN MTG CORP MULTICLASS SR 2008-6 CL BF VAR 02-25-2038 REG
**
818,516

FEDERAL HOME LN MTG CORP MULTICLASS SR 2410 CL PF VAR 02-15-2032 REG
**
763,124

FEDERAL HOME LN MTG CORP MULTICLASS SR 3055 CL CF VAR 10-15-2035 REG
**
330,809

FEDERAL HOME LN MTG CORP MULTICLASS SR 3150 CL FA VAR 05-15-2036 REG
**
1,550,211

FEDERAL HOME LN MTG CORP MULTICLASS VAR SR 2012-17 CL FG 03-25-2042 REG
**
2,376,198

FEDERAL HOME LN MTG CORP POOL #SD8030 3.0% 11-01-2049
**
560,455

FEDERAL HOME LN MTG CORP POOL #2B0646 FLTG RT DUE 07-01-2042 BEO
**
80,439

FEDERAL HOME LN MTG CORP POOL #41-0792 4.16% 02-01-2030 BEO
**
18,958

FEDERAL HOME LN MTG CORP POOL #53-8275 9% 12-01-2019 BEO
**
2


71
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #84-6004 4.455% 12-01-2024 BEO
**
6,528

FEDERAL HOME LN MTG CORP POOL #84-6313 FLTG RT 4.303% 02-01-2026 BEO
**
596

FEDERAL HOME LN MTG CORP POOL #849407 4.493% 09-01-2037 BEO
**
273,222

FEDERAL HOME LN MTG CORP POOL #84-9790 FLTG RT DUE 03-01-2045
**
5,438,748

FEDERAL HOME LN MTG CORP POOL #A39803 5.5% 11-01-2035 BEO
**
205,871

FEDERAL HOME LN MTG CORP POOL #A47038 5%09-01-2035 BEO
**
91,583

FEDERAL HOME LN MTG CORP POOL #A62378 6%06-01-2037 BEO
**
27,999

FEDERAL HOME LN MTG CORP POOL #A63809 6%08-01-2037 BEO
**
47,258

FEDERAL HOME LN MTG CORP POOL #A69654 6%12-01-2037 BEO
**
20,603

FEDERAL HOME LN MTG CORP POOL #A71410 6%01-01-2038 BEO
**
625

FEDERAL HOME LN MTG CORP POOL #A75218 6%04-01-2038 BEO
**
9,897

FEDERAL HOME LN MTG CORP POOL #A85726 5%04-01-2039 BEO
**
88,998

FEDERAL HOME LN MTG CORP POOL #A86313 5%05-01-2039 BEO
**
21,602

FEDERAL HOME LN MTG CORP POOL #A90176 5%12-01-2039 BEO
**
25,944

FEDERAL HOME LN MTG CORP POOL #A9-0826 4.5% 01-01-2040 BEO
**
398,036

FEDERAL HOME LN MTG CORP POOL #A9-1235 4.5% 02-01-2040 BEO
**
213,140

FEDERAL HOME LN MTG CORP POOL #A93318 5%08-01-2040 BEO
**
399,556

FEDERAL HOME LN MTG CORP POOL #A9-3625 5% 08-01-2040 BEO
**
355,288

FEDERAL HOME LN MTG CORP POOL #A9-3652 5% 09-01-2040 BEO
**
198,707

FEDERAL HOME LN MTG CORP POOL #A9-3713 5% 09-01-2040 BEO
**
463,867

FEDERAL HOME LN MTG CORP POOL #A9-4069 5% 09-01-2040 BEO
**
132,164

FEDERAL HOME LN MTG CORP POOL #A9-4113 5% 10-01-2040 BEO
**
239,883

FEDERAL HOME LN MTG CORP POOL #A94132 5%09-01-2040 BEO
**
2,512

FEDERAL HOME LN MTG CORP POOL #A94898 4.5% 11-01-2040 BEO
**
256,020

FEDERAL HOME LN MTG CORP POOL #A95085 4%11-01-2040 BEO
**
376,848

FEDERAL HOME LN MTG CORP POOL #A9-5519 4.5% 12-01-2040 BEO
**
94,388

FEDERAL HOME LN MTG CORP POOL #A95561 4%12-01-2040 BEO
**
602,156

FEDERAL HOME LN MTG CORP POOL #A95575 4%12-01-2040 BEO
**
432,132

FEDERAL HOME LN MTG CORP POOL #A97040 4%02-01-2041 BEO
**
391,754

FEDERAL HOME LN MTG CORP POOL #C01623 5.5% 09-01-2033 BEO
**
274,102

FEDERAL HOME LN MTG CORP POOL #C03517 4.5% 09-01-2040 BEO
**
259,557

FEDERAL HOME LN MTG CORP POOL #C03520 4%09-01-2040 BEO
**
1,731,422

FEDERAL HOME LN MTG CORP POOL #C03520 4%09-01-2040 BEO
**
770,790

FEDERAL HOME LN MTG CORP POOL #C03545 5%08-01-2040 BEO
**
376,365

FEDERAL HOME LN MTG CORP POOL #C03613 4%11-01-2040 BEO
**
390,122

FEDERAL HOME LN MTG CORP POOL #C03792 3.5% 04-01-2042 BEO
**
1,282,400

FEDERAL HOME LN MTG CORP POOL #C0-4240 3.5% 09-01-2042 BEO
**
486,614

FEDERAL HOME LN MTG CORP POOL #C04422 3%12-01-2042 BEO
**
601,050

FEDERAL HOME LN MTG CORP POOL #C09022 3%01-01-2043 BEO
**
3,141,579

FEDERAL HOME LN MTG CORP POOL #C09055 4%12-01-2043 BEO
**
594,074

FEDERAL HOME LN MTG CORP POOL #C1-0542 7% 06-01-2028 BEO
**
5,265

FEDERAL HOME LN MTG CORP POOL #C1-2585 7% 07-01-2028 BEO
**
702

FEDERAL HOME LN MTG CORP POOL #C1-4084 7% 08-01-2028 BEO
**
8,296

FEDERAL HOME LN MTG CORP POOL #C91161 5%02-01-2028 BEO
**
13,023

FEDERAL HOME LN MTG CORP POOL #C91362 4.5% 03-01-2031 BEO
**
342,294

FEDERAL HOME LN MTG CORP POOL #C91581 3%11-01-2032 BEO
**
1,851,406

FEDERAL HOME LN MTG CORP POOL #C91589 3.5% 11-01-2032 BEO
**
360,963


72
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #C91925 3.5% 04-01-2037 BEO
**
1,776,410

FEDERAL HOME LN MTG CORP POOL #C91928 3.5% 05-01-2037 BEO
**
339,566

FEDERAL HOME LN MTG CORP POOL #C91960 3.5% 11-01-2037 BEO
**
1,301,796

FEDERAL HOME LN MTG CORP POOL #C91981 3%02-01-2038 BEO
**
1,456,176

FEDERAL HOME LN MTG CORP POOL #C91987 3%04-01-2038 BEO
**
1,175,378

FEDERAL HOME LN MTG CORP POOL #D64290 7%10-01-2025 BEO
**
10,219

FEDERAL HOME LN MTG CORP POOL #D7-0703 7% 04-01-2026 BEO
**
7,058

FEDERAL HOME LN MTG CORP POOL #D75342 8%10-01-2026 BEO
**
519

FEDERAL HOME LN MTG CORP POOL #D7-5558 8% 10-01-2026 BEO
**
844

FEDERAL HOME LN MTG CORP POOL #D7-5787 8% 11-01-2026 BEO
**
2,208

FEDERAL HOME LN MTG CORP POOL #D7-7163 7.5% 01-01-2027 BEO
**
2,131

FEDERAL HOME LN MTG CORP POOL #D7-7490 7.5% 01-01-2027 BEO
**
150

FEDERAL HOME LN MTG CORP POOL #D8-0177 7% 05-01-2027 BEO
**
7,534

FEDERAL HOME LN MTG CORP POOL #D98914 4%01-01-2032 BEO
**
104,925

FEDERAL HOME LN MTG CORP POOL #E04113 2.5% 11-01-2027 BEO
**
797,111

FEDERAL HOME LN MTG CORP POOL #G0-0552 8.5% 03-01-2023 BEO
**
4,095

FEDERAL HOME LN MTG CORP POOL #G0-0561 9.5% 06-01-2025 BEO
**
684

FEDERAL HOME LN MTG CORP POOL #G0-0627 8% 06-01-2025 BEO
**
4,130

FEDERAL HOME LN MTG CORP POOL #G0-0704 7% 12-01-2026 BEO
**
5,047

FEDERAL HOME LN MTG CORP POOL #G01665 5.5% 03-01-2034 BEO
**
335,454

FEDERAL HOME LN MTG CORP POOL #G02031 5.5% 02-01-2036 BEO
**
98,063

FEDERAL HOME LN MTG CORP POOL #G02427 5.5% 12-01-2036 BEO
**
304,931

FEDERAL HOME LN MTG CORP POOL #G03073 5.5% 07-01-2037 BEO
**
167,034

FEDERAL HOME LN MTG CORP POOL #G03233 6%08-01-2037 BEO
**
5,131

FEDERAL HOME LN MTG CORP POOL #G03600 7%11-01-2037 BEO
**
56,661

FEDERAL HOME LN MTG CORP POOL #G03695 5.5% 11-01-2037 BEO
**
90,995

FEDERAL HOME LN MTG CORP POOL #G03812 5.5% 02-01-2038 BEO
**
115,557

FEDERAL HOME LN MTG CORP POOL #G03819 6%01-01-2038 BEO
**
41,510

FEDERAL HOME LN MTG CORP POOL #G04448 5.5% 07-01-2038 BEO
**
46,549

FEDERAL HOME LN MTG CORP POOL #G04585 5.5% 02-01-2038 BEO
**
83,159

FEDERAL HOME LN MTG CORP POOL #G04588 5.5% 08-01-2038 BEO
**
50,981

FEDERAL HOME LN MTG CORP POOL #G04636 5%12-01-2035 BEO
**
37,370

FEDERAL HOME LN MTG CORP POOL #G04688 5.5% 09-01-2038 BEO
**
46,948

FEDERAL HOME LN MTG CORP POOL #G05179 5.5% 01-01-2039 BEO
**
58,721

FEDERAL HOME LN MTG CORP POOL #G05527 4%07-01-2039 BEO
**
46,609

FEDERAL HOME LN MTG CORP POOL #G05676 4%11-01-2039 BEO
**
766,325

FEDERAL HOME LN MTG CORP POOL #G05726 5%08-01-2039 BEO
**
165,870

FEDERAL HOME LN MTG CORP POOL #G05741 4.5% 12-01-2039 BEO
**
401,529

FEDERAL HOME LN MTG CORP POOL #G0-5927 4.5% 07-01-2040 BEO
**
860,148

FEDERAL HOME LN MTG CORP POOL #G06021 5.5% 01-01-2040 BEO
**
132,469

FEDERAL HOME LN MTG CORP POOL #G06087 5%09-01-2040 BEO
**
38,230

FEDERAL HOME LN MTG CORP POOL #G06172 5.5% 12-01-2038 BEO
**
318,712

FEDERAL HOME LN MTG CORP POOL #G06601 4.5% 12-01-2040 BEO
**
1,578,352

FEDERAL HOME LN MTG CORP POOL #G06669 6.5% 09-01-2039 BEO
**
161,636

FEDERAL HOME LN MTG CORP POOL #G06875 5.5% 12-01-2038 BEO
**
1,089,889

FEDERAL HOME LN MTG CORP POOL #G07032 3%06-01-2042 BEO
**
994,242

FEDERAL HOME LN MTG CORP POOL #G07129 3.5% 09-01-2042 BEO
**
790,072


73
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #G07434 3.5% 07-01-2043 BEO
**
1,564,492

FEDERAL HOME LN MTG CORP POOL #G08273 5.5% 06-01-2038 BEO
**
32,948

FEDERAL HOME LN MTG CORP POOL #G08368 4.5% 10-01-2039 BEO
**
377,664

FEDERAL HOME LN MTG CORP POOL #G08457 4.5% 08-01-2041 BEO
**
705,061

FEDERAL HOME LN MTG CORP POOL #G08521 3%01-01-2043 BEO
**
531,875

FEDERAL HOME LN MTG CORP POOL #G08540 3%08-01-2043 BEO
**
849,765

FEDERAL HOME LN MTG CORP POOL #G08567 4%01-01-2044 BEO
**
1,297,474

FEDERAL HOME LN MTG CORP POOL #G08624 4%01-01-2045 BEO
**
1,774,696

FEDERAL HOME LN MTG CORP POOL #G08653 3%07-01-2045 BEO
**
1,980,178

FEDERAL HOME LN MTG CORP POOL #G08672 4%10-01-2045 BEO
**
1,180,164

FEDERAL HOME LN MTG CORP POOL #G08681 3.5% 12-01-2045 BEO
**
4,286,988

FEDERAL HOME LN MTG CORP POOL #G0-8732 3% 11-01-2046 BEO
**
3,937,436

FEDERAL HOME LN MTG CORP POOL #G0-8734 4% 11-01-2046 BEO
**
2,052,744

FEDERAL HOME LN MTG CORP POOL #G0-8741 3% 01-01-2047 BEO
**
2,361,726

FEDERAL HOME LN MTG CORP POOL #G08747 3%02-01-2047 BEO
**
3,441,758

FEDERAL HOME LN MTG CORP POOL #G0-8764 4.5% 05-01-2047 BEO
**
707,910

FEDERAL HOME LN MTG CORP POOL #G0-8772 4.5% 07-01-2047 BEO
**
380,760

FEDERAL HOME LN MTG CORP POOL #G08785 4%10-01-2047 BEO
**
821,817

FEDERAL HOME LN MTG CORP POOL #G08786 4.5% 10-01-2047 BEO
**
730,684

FEDERAL HOME LN MTG CORP POOL #G08790 4.5% 11-01-2047 BEO
**
598,939

FEDERAL HOME LN MTG CORP POOL #G08792 3.5% 12-01-2047 BEO
**
9,417,172

FEDERAL HOME LN MTG CORP POOL #G08809 4%04-01-2048 BEO
**
414,240

FEDERAL HOME LN MTG CORP POOL #G08817 4%06-01-2048 BEO
**
3,041,885

FEDERAL HOME LN MTG CORP POOL #G08824 4%07-01-2048 BEO
**
2,632,129

FEDERAL HOME LN MTG CORP POOL #G08827 4.5% 07-01-2048 BEO
**
3,440,027

FEDERAL HOME LN MTG CORP POOL #G08832 4.5% 08-01-2048 BEO
**
1,518,947

FEDERAL HOME LN MTG CORP POOL #G08835 3.5% 09-01-2048 BEO
**
5,913,859

FEDERAL HOME LN MTG CORP POOL #G08837 4.5% 09-01-2048 BEO
**
1,039,917

FEDERAL HOME LN MTG CORP POOL #G08844 5%10-01-2048 BEO
**
71,110

FEDERAL HOME LN MTG CORP POOL #G08847 4%11-01-2048 BEO
**
54,133,726

FEDERAL HOME LN MTG CORP POOL #G08856 3.5% 01-01-2049 BEO
**
5,620,414

FEDERAL HOME LN MTG CORP POOL #G08861 3.5% 02-01-2049 BEO
**
6,187,160

FEDERAL HOME LN MTG CORP POOL #G08862 4%02-01-2049 BEO
**
22,517,748

FEDERAL HOME LN MTG CORP POOL #G08871 3.5% 04-01-2049 BEO
**
231,361

FEDERAL HOME LN MTG CORP POOL #G11652 6%01-01-2020 BEO
**
1

FEDERAL HOME LN MTG CORP POOL #G12467 6%11-01-2021 BEO
**
44,037

FEDERAL HOME LN MTG CORP POOL #G12978 5.5% 12-01-2022 BEO
**
67,541

FEDERAL HOME LN MTG CORP POOL #G13825 4%05-01-2025 BEO
**
681,947

FEDERAL HOME LN MTG CORP POOL #G13868 4.5% 07-01-2025 BEO
**
160,830

FEDERAL HOME LN MTG CORP POOL #G14171 6%10-01-2024 BEO
**
45,880

FEDERAL HOME LN MTG CORP POOL #G14375 4%07-01-2026 BEO
**
387,672

FEDERAL HOME LN MTG CORP POOL #G14492 4%10-01-2025 BEO
**
205,168

FEDERAL HOME LN MTG CORP POOL #G1-4956 2.5% 05-01-2028 BEO
**
735,123

FEDERAL HOME LN MTG CORP POOL #G15252 3%12-01-2029 BEO
**
777,113

FEDERAL HOME LN MTG CORP POOL #G15403 3.5% 04-01-2030 BEO
**
1,891,478

FEDERAL HOME LN MTG CORP POOL #G15441 3%03-01-2030 BEO
**
718,187

FEDERAL HOME LN MTG CORP POOL #G16015 3%01-01-2032 BEO
**
562,827


74
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #G16177 2%01-01-2032 BEO
**
1,540,136

FEDERAL HOME LN MTG CORP POOL #G16624 2.5% 01-01-2028 BEO
**
2,756,623

FEDERAL HOME LN MTG CORP POOL #G16763 4%02-01-2034 BEO
**
4,604,465

FEDERAL HOME LN MTG CORP POOL #G16789 4%02-01-2034 BEO
**
5,962,688

FEDERAL HOME LN MTG CORP POOL #G16792 4%03-01-2034 BEO
**
4,764,469

FEDERAL HOME LN MTG CORP POOL #G18401 3.5% 09-01-2026 BEO
**
79,697

FEDERAL HOME LN MTG CORP POOL #G18474 2%08-01-2028 BEO
**
473,737

FEDERAL HOME LN MTG CORP POOL #G18475 2.5% 08-01-2028 BEO
**
184,435

FEDERAL HOME LN MTG CORP POOL #G18552 3%05-01-2030 BEO
**
1,187,645

FEDERAL HOME LN MTG CORP POOL #G20028 7.5% 12-01-2036 BEO
**
731,056

FEDERAL HOME LN MTG CORP POOL #G30591 6%02-01-2028 BEO
**
45,163

FEDERAL HOME LN MTG CORP POOL #G60985 3%05-01-2047 BEO
**
5,818,344

FEDERAL HOME LN MTG CORP POOL #G61047 4.5% 07-01-2047 BEO
**
409,077

FEDERAL HOME LN MTG CORP POOL #G61060 4.5% 06-01-2047 BEO
**
2,360,056

FEDERAL HOME LN MTG CORP POOL #G61502 5%02-01-2048 BEO
**
411,122

FEDERAL HOME LN MTG CORP POOL #G61638 4%07-01-2048 BEO
**
1,766,270

FEDERAL HOME LN MTG CORP POOL #G61657 5%12-01-2047 BEO
**
1,632,190

FEDERAL HOME LN MTG CORP POOL #G61713 3.5% 01-01-2045 BEO
**
991,146

FEDERAL HOME LN MTG CORP POOL #G61739 3%09-01-2048 BEO
**
4,412,069

FEDERAL HOME LN MTG CORP POOL #J0-6009 5% 10-01-2020 BEO
**
9,846

FEDERAL HOME LN MTG CORP POOL #J0-9212 5% 01-01-2024 BEO
**
32,281

FEDERAL HOME LN MTG CORP POOL #J12439 4.5% 06-01-2025 BEO
**
233,973

FEDERAL HOME LN MTG CORP POOL #J14494 4%02-01-2026 BEO
**
67,825

FEDERAL HOME LN MTG CORP POOL #J14494 4%02-01-2026 BEO
**
457,933

FEDERAL HOME LN MTG CORP POOL #J1-5658 4% 06-01-2026 BEO
**
166,747

FEDERAL HOME LN MTG CORP POOL #J1-5719 4% 06-01-2026 BEO
**
432,806

FEDERAL HOME LN MTG CORP POOL #J15974 4%06-01-2026 BEO
**
176,729

FEDERAL HOME LN MTG CORP POOL #J16059 4%07-01-2026 BEO
**
77,390

FEDERAL HOME LN MTG CORP POOL #J1-8912 FIXED 2.5% 04-01-2027 BEO
**
274,203

FEDERAL HOME LN MTG CORP POOL #J21617 2%12-01-2027 BEO
**
721,482

FEDERAL HOME LN MTG CORP POOL #J22956 2%04-01-2023 BEO
**
1,541,172

FEDERAL HOME LN MTG CORP POOL #J23433 2%04-01-2023 BEO
**
1,465,562

FEDERAL HOME LN MTG CORP POOL #J23434 2%04-01-2028 BEO
**
581,809

FEDERAL HOME LN MTG CORP POOL #J23500 2%05-01-2023 BEO
**
1,478,544

FEDERAL HOME LN MTG CORP POOL #J2-3929 2.5% 05-01-2028 BEO
**
1,705,117

FEDERAL HOME LN MTG CORP POOL #J2-5735 3% 09-01-2028 BEO
**
401,867

FEDERAL HOME LN MTG CORP POOL #J27464 3.5% 02-01-2029 BEO
**
776,951

FEDERAL HOME LN MTG CORP POOL #J31736 3.5% 05-01-2030 BEO
**
912,647

FEDERAL HOME LN MTG CORP POOL #J34888 2.5% 07-01-2031 BEO
**
767,342

FEDERAL HOME LN MTG CORP POOL #Q04673 4%11-01-2041 BEO
**
788,956

FEDERAL HOME LN MTG CORP POOL #Q04674 4%12-01-2041 BEO
**
53,949

FEDERAL HOME LN MTG CORP POOL #Q1-0448 3.5% 08-01-2042 BEO
**
352,052

FEDERAL HOME LN MTG CORP POOL #Q19853 3.5% 06-01-2043 BEO
**
791,546

FEDERAL HOME LN MTG CORP POOL #Q2-5702 4.5% 04-01-2044 BEO
**
566,963

FEDERAL HOME LN MTG CORP POOL #Q2-5703 4.5% 04-01-2044 BEO
**
573,710

FEDERAL HOME LN MTG CORP POOL #Q2-5705 4.5% 04-01-2044 BEO
**
356,163



75
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #Q2-5712 4.5% 04-01-2044 BEO
**
326,445

FEDERAL HOME LN MTG CORP POOL #Q2-5850 4.5% 04-01-2044 BEO
**
313,504

FEDERAL HOME LN MTG CORP POOL #Q2-5851 4.5% 04-01-2044 BEO
**
37,887

FEDERAL HOME LN MTG CORP POOL #Q2-5852 4.5% 04-01-2044 BEO
**
373,640

FEDERAL HOME LN MTG CORP POOL #Q2-5853 4.5% 04-01-2044 BEO
**
420,672

FEDERAL HOME LN MTG CORP POOL #Q29920 4.5% 11-01-2044 BEO
**
45,149

FEDERAL HOME LN MTG CORP POOL #Q52046 3.5% 11-01-2047 BEO
**
506,868

FEDERAL HOME LN MTG CORP POOL #Q54896 5%03-01-2048 BEO
**
39,635

FEDERAL HOME LN MTG CORP POOL #Q55429 4%04-01-2048 BEO
**
415,614

FEDERAL HOME LN MTG CORP POOL #Q55484 3.5% 04-01-2048 BEO
**
367,536

FEDERAL HOME LN MTG CORP POOL #Q55997 4%05-01-2048 BEO
**
2,324,555

FEDERAL HOME LN MTG CORP POOL #Q56364 4%05-01-2048 BEO
**
2,529,910

FEDERAL HOME LN MTG CORP POOL #Q56795 5%06-01-2048 BEO
**
22,599

FEDERAL HOME LN MTG CORP POOL #Q56797 4%06-01-2048 BEO
**
8,543,383

FEDERAL HOME LN MTG CORP POOL #Q56836 4.5% 06-01-2048 BEO
**
296,633

FEDERAL HOME LN MTG CORP POOL #Q57230 4%07-01-2048 BEO
**
5,422,708

FEDERAL HOME LN MTG CORP POOL #Q57925 5%08-01-2048 BEO
**
1,158,648

FEDERAL HOME LN MTG CORP POOL #Q59125 5%10-01-2048 BEO
**
582,672

FEDERAL HOME LN MTG CORP POOL #Q59799 5%11-01-2048 BEO
**
1,254,257

FEDERAL HOME LN MTG CORP POOL #QN0574 3.5% DUE 09-01-2034
**
5,600,287

FEDERAL HOME LN MTG CORP POOL #RA1880 3.5% DUE 12-01-2049 REG
**
1,446,992

FEDERAL HOME LN MTG CORP POOL #RA1981 3%DUE 01-01-2050 REG
**
2,045,494

FEDERAL HOME LN MTG CORP POOL #S0-6297 3.5% 09-15-2042 BEO
**
352,891

FEDERAL HOME LN MTG CORP POOL #SD8029 2.5% DUE 12-01-2049 REG
**
4,944,421

FEDERAL HOME LN MTG CORP POOL #T45022 2.5% 01-01-2028 BEO
**
2,524,657

FEDERAL HOME LN MTG CORP POOL #T45023 2.5% 02-01-2028 BEO
**
1,094,848

FEDERAL HOME LN MTG CORP POOL #U79065 3.5% 04-01-2030 BEO
**
1,092,142

FEDERAL HOME LN MTG CORP POOL #U8-0439 3.5% 07-01-2033 BEO
**
392,543

FEDERAL HOME LN MTG CORP POOL #U90245 3.5% 10-01-2042 BEO
**
556,435

FEDERAL HOME LN MTG CORP POOL #U9-0690 3.5 DUE 06-01-2042
**
192,202

FEDERAL HOME LN MTG CORP POOL #U92272 4.5% 12-01-2043 BEO
**
547,591

FEDERAL HOME LN MTG CORP POOL #U99076 4.5% 12-01-2043 BEO
**
201,209

FEDERAL HOME LN MTG CORP POOL #U99076 4.5% 12-01-2043 BEO
**
4,196,654

FEDERAL HOME LN MTG CORP POOL #U99084 4.5% 02-01-2044 BEO
**
3,705,966

FEDERAL HOME LN MTG CORP POOL #U99091 4.5% 03-01-2044 BEO
**
297,419

FEDERAL HOME LN MTG CORP POOL #U99091 4.5% 03-01-2044 BEO
**
1,011,225

FEDERAL HOME LN MTG CORP POOL #U99114 3.5% 02-01-2044 BEO
**
230,134

FEDERAL HOME LN MTG CORP POOL #ZS4699 4%01-01-2047 BEO
**
65,394

FEDERAL HOME LN MTG CORP POOL #ZS-4727 4% DUE 07-01-2047 REG
**
11,220,189

FEDERAL HOME LN MTG CORP POOL #ZS4755 3.5% DUE 02-01-2048 REG
**
2,323,276

FEDERAL HOME LN MTG CORP POOL #ZS4790 4%DUE 09-01-2048 REG
**
1,841,343


76
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP POOL #ZS7932 3%12-01-2032 BEO
**
12,474,500

FEDERAL HOME LN MTG CORP POOL #ZT0711 3.5% DUE 10-01-2048 BEO
**
17,738,156

FEDERAL HOME LN MTG CORP POOL #ZT1545 4%DUE 12-01-2048 BEO
**
64,827,041

FEDERAL HOME LN MTG CORP POOL #ZT1596 5%01-01-2049 BEO
**
4,318,167

FEDERAL HOME LN MTG CORP POOL #ZT1710 4%DUE 02-01-2049 BEO
**
9,322,925

FEDERAL HOME LN MTG CORP POOL #ZT1776 3.5% DUE 03-01-2049 BEO
**
6,834,627

FEDERAL HOME LN MTG CORP Q15062 3 DUE 02-01-2043
**
1,855,970

FEDERAL HOME LN MTG CORP Q5-2319 3.5% 11-01-2047
**
2,893,872

FEDERAL HOME LN MTG CORP REMIC SER 4042 CL EB 6.5 08-15-2039
**
1,065,800

FEDERAL HOME LN MTG CORP SER 004288 CL AG 3 DUE 09-15-2037 REG
**
1,546,959

FEDERAL HOME LN MTG CORP SER 004305 CL KA 3 03-15-2038
**
250,140

FEDERAL HOME LN MTG CORP SER 004569 CL G3.5% DUE 06-15-2042 REG
**
3,309,899

FEDERAL HOME LN MTG CORP SER 004638 CL FA FLTG 07-15-2040
**
163,258

FEDERAL HOME LN MTG CORP SER 17-DNA2 CLASS M2 VAR RT DUE 10-25-2029
**
5,315,098

FEDERAL HOME LN MTG CORP SER 2519 CL NU 5.0% 11-15-2032
**
2,969,413

FEDERAL HOME LN MTG CORP SER 2595 CL DC 5 04-15-2023
**
41,270

FEDERAL HOME LN MTG CORP SER 2631 CL DA 3.625 06-15-2033
**
26,005

FEDERAL HOME LN MTG CORP SER 2638 CL JG 5.0% 02-15-2033
**
16,189

FEDERAL HOME LN MTG CORP SER 3221 CL FW 09-15-2036
**
974,639

FEDERAL HOME LN MTG CORP SER 3231 CL FA FRN 10-15-2036
**
533,449

FEDERAL HOME LN MTG CORP SER 3361 CL PF FRN 08-15-2035
**
2,241,839

FEDERAL HOME LN MTG CORP SER 3404 CL FB FRN 01-15-2038
**
1,498,249

FEDERAL HOME LN MTG CORP SER 3539 CL DB 4.5% 06-15-2024
**
693,443

FEDERAL HOME LN MTG CORP SER 3616 CL FG FRN 03-15-2032
**
567,958

FEDERAL HOME LN MTG CORP SER 3680 CL MA 4.5% DUE 07-15-2039
**
188,172

FEDERAL HOME LN MTG CORP SER 3713 CL PA 2.0% 02-15-2040
**
733,284

FEDERAL HOME LN MTG CORP SER 3741 CL HF FLTG 11-15-2039
**
455,008

FEDERAL HOME LN MTG CORP SER 3786 CL NA 4.5 DUE 07-15-2040 REG
**
806,474

FEDERAL HOME LN MTG CORP SER 3843 CL GH 3.75 10-15-2039
**
452,593

FEDERAL HOME LN MTG CORP SER 3905 CL MP 2.0% DUE 03-15-2041 REG
**
842,961

FEDERAL HOME LN MTG CORP SER 3925 CL DE 2.0% 07-15-2040
**
921,839

FEDERAL HOME LN MTG CORP SER 3994 CL JA 2.0% 15/03/2040
**
988,683

FEDERAL HOME LN MTG CORP SER 4016 CL NL 3.0% 09-15-2039
**
1,097,068

FEDERAL HOME LN MTG CORP SER 4024 CL C 3.0% 03-15-2027
**
1,290,280

FEDERAL HOME LN MTG CORP SER 4093 CL QA 1.9 DUE 01-15-2038
**
281,366

FEDERAL HOME LN MTG CORP SER 4120 CL KA 1.75% 10-15-2032
**
3,265,409

FEDERAL HOME LN MTG CORP SER 4208 CL PA 1.5 04-15-2041
**
230,187

FEDERAL HOME LN MTG CORP SER 4229 CL MA 3.5 05-15-2041 REG
**
1,500,082

FEDERAL HOME LN MTG CORP SER 4238 CL BF FLTG 08-15-2030
**
1,145,207

FEDERAL HOME LN MTG CORP SER 4247 CL AK 4.5 12-15-2042
**
1,625,082

FEDERAL HOME LN MTG CORP SER 4374 CL CE 3.5% 12-15-2043
**
1,355,423


77
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL HOME LN MTG CORP SER 4377 CL LA 3.0% 06-15-2040
**
1,036,919

FEDERAL HOME LN MTG CORP SER 4412 CL LE 3.0% 12-15-2041
**
964,674

FEDERAL HOME LN MTG CORP SER 4559 CL AF FLTG 03-15-2042 REG
**
1,044,883

FEDERAL HOME LN MTG CORP SER 4637 CL WF FLTG RT 07-15-2041
**
3,622,346

FEDERAL HOME LN MTG CORP SER 4678 CL AF FLTG RT 12-15-2042
**
3,273,740

FEDERAL HOME LN MTG CORP SER 4772 CL GA 4.5% 10-15-2044
**
1,478,381

FEDERAL HOME LN MTG CORP SER K091 CL AM 3.566% DUE 03-25-2029
**
7,633,347

FEDERAL HOME LN MTG CORP SR 4097 CL KF FLTG 09-15-2031
**
1,408,284

FEDERAL HOME LN MTG CORP SR 4254 CL TA 2.5% 10-15-2031
**
414,521

FEDERAL HOME LN MTG CORP SR 4387 CL NA 1.5% 09-15-2029
**
403,806

FEDERAL HOME LN MTG CORP SR K090 CL A-M VAR RT 02-25-2052
**
6,715,944

FEDERAL HOME LN MTG CORP SR K091 CL A-2 3.505% 03-01-2029
**
1,601,283

FEDERAL HOME LN MTG CORP SR K156 CL A1 3.7% 07-25-2036
**
7,908,208

FEDERAL HOME LN MTG CORP TRANCHE 2.864% SER KJ13 CL A2 08-25-2022
**
309,056

FEDERAL HOME LN MTG CORP TRANCHE VAR RT 11-25-2027
**
422,715

FEDERAL HOME LN MTG CORP VAR RT 10-25-2028
**
5,012,153

FEDERAL NATIONAL MORTGAGE ASSOC FR SER 11-124 CL JF FLTG RT DUE 02-25-2041
**
482,078

FEDERAL NATIONAL MORTGAGE ASSOC SER 2016-M11 CL AB2 2.254% 07-25-2026
**
5,416,521

FEDERAL NATIONAL MORTGAGE ASSOC SER 2016-M11 CL AL 2.944% 07-25-2039
**
841,234

FEDERAL NATIONAL MORTGAGE ASSOC SER 2016-M12 CL AB1 BNDS 1.931% 09-25-2026
**
534,041

FEDERAL NATIONAL MORTGAGE ASSOC SER 2016-M12 CL AB2 2.362% 09-25-2026
**
7,298,897

FEDERAL NATL MTG ASSN GTD MTG POOL #AH0210 4.5% 12-01-2040 BEO
**
875,875

FEDERAL NATL MTG ASSN GTD MTG POOL #AH0864 4% 12-01-2040 BEO
**
21,890

FEDERAL NATL MTG ASSN GTD MTG POOL #AH0943 4% DUE 12-01-2040 BEO
**
1,052,701

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1115 4.5% 01-01-2041 BEO
**
1,675,577

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1266 4% 01-01-2041 BEO
**
371,177

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1508 4.5% 12-01-2040 BEO
**
1,021,949

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1559 4% 12-01-2040 BEO
**
783,050

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1560 4% 01-01-2041 BEO
**
1,032,839

FEDERAL NATL MTG ASSN GTD MTG POOL #AH1565 4.5% 12-01-2040 BEO
**
426,801

FEDERAL NATL MTG ASSN GTD MTG POOL #AH2442 4% 01-01-2041 BEO
**
42,356

FEDERAL NATL MTG ASSN GTD MTG POOL #AH3203 4% DUE 01-01-2041 BEO
**
219,583

FEDERAL NATL MTG ASSN GTD MTG POOL #AH4404 4% 01-01-2041 BEO
**
1,229,035

FEDERAL NATL MTG ASSN GTD MTG POOL #AH5098 4% DUE 01-01-2041 BEO
**
12,388

FEDERAL NATL MTG ASSN GTD MTG POOL #AH6958 ADJ RT DUE 02-01-2041 BEO
**
99,174

FEDERAL NATL MTG ASSN GTD MTG POOL #AI0511 5% 04-01-2041 BEO
**
65,859

FEDERAL NATL MTG ASSN GTD MTG POOL #AI1051 4% DUE 06-01-2026 REG
**
213,070

FEDERAL NATL MTG ASSN GTD MTG POOL #AI1863 5% 05-01-2041 BEO
**
128,442

FEDERAL NATL MTG ASSN GTD MTG POOL #AI1892 5% 05-01-2041 BEO
**
683,217

FEDERAL NATL MTG ASSN GTD MTG POOL #AI2433 5% 05-01-2041 BEO
**
167,695

FEDERAL NATL MTG ASSN GTD MTG POOL #AI2443 5% 05-01-2041 BEO
**
87,067


78
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL NATL MTG ASSN GTD MTG POOL #AI2462 5% 05-01-2041 BEO
**
118,990

FEDERAL NATL MTG ASSN GTD MTG POOL #AI4261 5% 06-01-2041 BEO
**
87,788

FEDERAL NATL MTG ASSN GTD MTG POOL #AI7778 4% 07-01-2041 BEO
**
11,382

FEDERAL NATL MTG ASSN GTD MTG POOL #AI8382 3.5% 09-01-2026 BEO
**
181,100

FEDERAL NATL MTG ASSN GTD MTG POOL #AI8630 4% 07-01-2042 BEO
**
75,510

FEDERAL NATL MTG ASSN GTD MTG POOL #AI9940 5% 09-01-2041 BEO
**
363,015

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ1884 FIXED 3.5% 02-01-2042 BEO
**
522,346

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ2288 4% 09-01-2041 BEO
**
461,479

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ4051 4% 10-01-2041 BEO
**
7,227

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ9317 4% 01-01-2042 BEO
**
1,331,517

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ9982 3.5% 08-01-2042 BEO
**
2,754,763

FEDERAL NATL MTG ASSN GTD MTG POOL #AK0968 3% 02-01-2027 BEO
**
384,501

FEDERAL NATL MTG ASSN GTD MTG POOL #AK1140 3% 02-01-2027 BEO
**
229,977

FEDERAL NATL MTG ASSN GTD MTG POOL #AK1608 3% 01-01-2027 BEO
**
269,301

FEDERAL NATL MTG ASSN GTD MTG POOL #AK3107 4% 02-01-2042 BEO
**
186,603

FEDERAL NATL MTG ASSN GTD MTG POOL #AK5551 FIXED 4% 04-01-2042 BEO
**
3,995,048

FEDERAL NATL MTG ASSN GTD MTG POOL #AK6966 3% 03-01-2027 BEO
**
401,088

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0007 5% 12-01-2034 BEO
**
594,199

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0009 5.5% 12-01-2034 BEO
**
502,284

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0379 8% 12-01-2036 BEO
**
131,022

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0476 5% 11-01-2040 BEO
**
461,030

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0484 5.5% DUE 05-01-2040 BEO
**
190,073

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0533 ADJ RT DUE 07-01-2041 BEO
**
426,441

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0998 4.5% 10-01-2041 BEO
**
455,304

FEDERAL NATL MTG ASSN GTD MTG POOL #AL1051 4.5% 09-01-2041 BEO
**
354,986

FEDERAL NATL MTG ASSN GTD MTG POOL #AL1469 7% DUE 02-01-2039 BEO
**
562,775

FEDERAL NATL MTG ASSN GTD MTG POOL #AL1470 7% DUE 04-01-2037 BEO
**
253,584

FEDERAL NATL MTG ASSN GTD MTG POOL #AL1945 3.5% 06-01-2042 BEO
**
408,377

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2151 3.5% 03-01-2042 BEO
**
847,269

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2171 4% 06-01-2042 BEO
**
346,214

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2382 4% 02-01-2042 BEO
**
714,384

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2389 3.5% 09-01-2042 BEO
**
893,376

FEDERAL NATL MTG ASSN GTD MTG POOL #AL3026 3.5% 12-01-2042 BEO
**
365,168

FEDERAL NATL MTG ASSN GTD MTG POOL #AL3626 4% 09-01-2042 BEO
**
15,443

FEDERAL NATL MTG ASSN GTD MTG POOL #AL3797 2.5% 06-01-2028 BEO
**
2,567,268

FEDERAL NATL MTG ASSN GTD MTG POOL #AL4324 6.5% 05-01-2040 BEO
**
1,979,962

FEDERAL NATL MTG ASSN GTD MTG POOL #AL4465 3% 07-01-2028 BEO
**
1,187,753

FEDERAL NATL MTG ASSN GTD MTG POOL #AL4741 4.5% 01-01-2044 BEO
**
200,723

FEDERAL NATL MTG ASSN GTD MTG POOL #AL4741 4.5% 01-01-2044 BEO
**
551,988

FEDERAL NATL MTG ASSN GTD MTG POOL #AL4936 3% 03-01-2029 BEO
**
1,086,843

FEDERAL NATL MTG ASSN GTD MTG POOL #AL5548 4.288% DUE 05-01-2038 BEO
**
236,959


79
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FEDERAL NATL MTG ASSN GTD MTG POOL #AL5674 4.5% 08-01-2044 BEO
**
1,745,187

FEDERAL NATL MTG ASSN GTD MTG POOL #AL5760 4% 09-01-2043 BEO
**
41,459

FEDERAL NATL MTG ASSN GTD MTG POOL #AL6185 3% 10-01-2029 BEO
**
2,395,448

FEDERAL NATL MTG ASSN GTD MTG POOL #AL6308 5% 08-01-2038 BEO
**
1,908,847

FEDERAL NATL MTG ASSN GTD MTG POOL #AL6605 3% 04-01-2030 BEO
**
760,226

FEDERAL NATL MTG ASSN GTD MTG POOL #AL6851 2.5% 10-01-2043 BEO
**
659,924

FEDERAL NATL MTG ASSN GTD MTG POOL #AL7204 5% 10-01-2043 BEO
**
84,143

FEDERAL NATL MTG ASSN GTD MTG POOL #AL7320 3% 09-01-2030 BEO
**
786,302

FEDERAL NATL MTG ASSN GTD MTG POOL #AL7430 3.5% DUE 08-01-2030 REG
**
1,627,201

FEDERAL NATL MTG ASSN GTD MTG POOL #AL9397 3% 10-01-2046 BEO
**
1,997,227

FEDERAL NATL MTG ASSN GTD REMIC PASS THRU 3 1-25-2040
**
501,044

FEDERAL NATL MTG ASSN SR 2011-59 CL NZ 5.5 DUE 07-25-2041
**
2,622,845

FEDERAL RLTY INVT TR 2.55% 01-15-2021
**
343,791

FEDERAL SIGNAL CORP COM
**
269,288

FEDNAT HLDG CO COMSTK
**
154,326

FENG TAY ENTRPRISE TWD10
**
67,001

FERRO CORP COM
**
42,088

FERROGLOBE PLC COM NPV
**
27,489

FFCB DISC NT 01-02-2020 0% DISC NTS SNR 02/01/2020 USD
**
8,666,000

FFP EUR1.00
**
114,172

FHLB BD 5.5 07-15-2036
**
13,072,686

FHLMC 3% MBS 01/09/2049 USD'SD-8016' POOL #SD8016 3 09-01-2049
**
1,015,705

FHLMC 4% MBS 01/11/2049 USD'SD-8026' POOL #SD8026 4 11-01-2049
**
3,993,413

FHLMC CMO SER 2248 CL FB FLTG DUE 09-15-2030 REG
**
4,624

FHLMC GOLD #A53630 A53630 6 10-01-2036
**
97,186

FHLMC GOLD #G00473 7.5% DUE 05-01-2026
**
137

FHLMC GOLD 3% MBS 01/06/2029 USD'V6-0564' V60564 3 06-01-2029
**
752,908

FHLMC GOLD 3% MBS 01/10/2046 USD'G6-7701' G67701 3 10-01-2046
**
3,496,484

FHLMC GOLD 3% MBS 01/10/2046 USD'Q4-3413' Q43413 3 10-01-2046
**
1,010,540

FHLMC GOLD 3.5% MBS 01/01/2046 USD'Q3-8490' Q38490 3.5 01-01-2046
**
4,270,051

FHLMC GOLD 4.5% MBS 01/02/2048 USD'V8-3956' V83956 4.5 02-01-2048
**
1,751,095

FHLMC GOLD A47999 5 08-01-2035
**
380,096

FHLMC GOLD A62077 6 06-01-2037
**
18,340

FHLMC GOLD A9-5825 4.0% DUE 12-01-2040
**
487,548

FHLMC GOLD A95831 4.5 12-01-2040
**
801,095

FHLMC GOLD C00371 7 09-01-2024
**
847

FHLMC GOLD C00522 7.0% 05-01-2027
**
5,360

FHLMC GOLD C00632 7 07-01-2028
**
4,389

FHLMC GOLD C00987 7.5 05-01-2030
**
1,151

FHLMC GOLD C01116 7.5 01-01-2031
**
20,112

FHLMC GOLD C04272 3 10-01-2042
**
1,500,354


80
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC GOLD C80373 7.5% 01-01-2026
**
177

FHLMC GOLD C80379 7.0% 02-01-2026
**
5,328

FHLMC GOLD C80407 7.0% 06-01-2026
**
575

FHLMC GOLD C9-1908 3 01-01-2037
**
898,201

FHLMC GOLD G02408 5.5 12-01-2036
**
146,888

FHLMC GOLD G06506 4 12-01-2040
**
1,519,127

FHLMC GOLD G06507 4 02-01-2041
**
269,056

FHLMC GOLD G07335 7 03-01-2039
**
404,942

FHLMC GOLD G0-7388 3.5 05-01-2043
**
1,458,161

FHLMC GOLD G07509 6.5 09-01-2039
**
327,893

FHLMC GOLD G0-7762 4.5 06-01-2044
**
1,035,871

FHLMC GOLD G08372 4.5 11-01-2039
**
372,096

FHLMC GOLD G08553 3 10-01-2043
**
101,452

FHLMC GOLD G08793 4 12-01-2047
**
723,578

FHLMC GOLD G13492 5 02-01-2024
**
56,841

FHLMC GOLD G67720 4.5 03-01-2049
**
19,868,068

FHLMC GOLD GROUP #C00636 7.5 MTG PARTN CTF DUE 07-01-2028 REG
**
13,749

FHLMC GOLD GROUP C26742 6 05-01-2029
**
630

FHLMC GOLD J16432 3.5 08-01-2026
**
149,228

FHLMC GOLD J23935 3 05-01-2028
**
353,710

FHLMC GOLD J2-7964 3 04-01-2029
**
396,738

FHLMC GOLD J2-8196 3 05-01-2029
**
2,441,277

FHLMC GOLD J2-9007 3 08-01-2029
**
466,357

FHLMC GOLD J35097 2.5 08-01-2031
**
661,546

FHLMC GOLD POOL #G00280 9.5% 12-01-2022
**
63

FHLMC GOLD POOL #G00675 7.5% DUE 03-01-2027
**
6,904

FHLMC GOLD POOL #G00869 7.5% DUE 01-01-2028
**
7,870

FHLMC GOLD POOL #Q11288 3.5 09-01-2042
**
374,443

FHLMC GOLD POOL #Q1-1788 3 DUE 10-01-2042
**
199,985

FHLMC GOLD POOL #Q12052 Q12052 3.5 10-01-2042
**
460,506

FHLMC GOLD POOL C00984 8 05-01-2030
**
1,038

FHLMC GOLD POOL FG V85283 3.5% 03-01-2049
**
2,165,859

FHLMC GOLD POOL G0-0529 7.5% DUE 08-01-2026
**
538

FHLMC GOLD POOL G01091 7 12-01-2029
**
17,830

FHLMC GOLD POOL J12398 FLTG RT 4.5% DUE 06-01-2025
**
166,589

FHLMC GOLD POOL Q41209 3.5% 06-01-2046
**
701,639

FHLMC GOLD POOL Q44963 3.5% 12-01-2046
**
1,500,397

FHLMC GOLD POOL V84260 3.5% 06-01-2048
**
4,248,383

FHLMC GOLD POOL# U91254 4 DUE 04-01-2043
**
827,128

FHLMC GOLD POOL#Q17792 3.5 DUE 05-01-2043
**
2,139,032

FHLMC GOLD Q08998 3.5 06-01-2042
**
944,140


81
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC GOLD Q12520 3 10-01-2042
**
117,296

FHLMC GOLD Q14326 2.5 01-01-2043
**
716,072

FHLMC GOLD Q44452 3 11-01-2046
**
1,632,754

FHLMC GOLD Q45458 4 08-01-2046
**
392,511

FHLMC GOLD Q48338 4.5 05-01-2047
**
152,120

FHLMC GOLD Q48752 3.5 06-01-2047
**
556,423

FHLMC GOLD Q49494 4.5% 07-01-2047
**
584,885

FHLMC GOLD U90291 4 10-01-2042
**
217,649

FHLMC GOLD U90316 4 10-01-2042
**
1,841,087

FHLMC GOLD U91619 4 06-01-2043
**
847,487

FHLMC GOLD U95137 4 08-01-2043
**
477,065

FHLMC GOLD V60298 3.0% 10-01-2028
**
385,195

FHLMC GOLD V60869 2.5 07-01-2030
**
1,577,891

FHLMC GOLDPOOL #Q10241 3.5 08-01-2042
**
360,560

FHLMC GROUP #C00098 8.00 MTG PARTN CTF DUE 2-1-2022 REG
**
908

FHLMC GROUP #C00516 8.0 MTG PARTN CTF DUE 05-01-2027 REG
**
3,191

FHLMC GROUP #G00144 10.0 MTG PARTN CTF DUE 03-01-2021 REG
**
200

FHLMC GROUP #G00825 7.0 MTG PARTN CTF DUE 11-01-2027 REG
**
388

FHLMC MTN 6.25 07-15-2032
**
64,818

FHLMC MULTICLASS SER 4102 CL EG 1.25% 09-15-2027
**
570,131

FHLMC MULTICLASS 2.375% DUE 04-25-2023 REG
**
643,174

FHLMC MULTICLASS 2005-S001 CTF CL 2A2 VAR RATE 09-25-2045
**
423,629

FHLMC MULTICLASS 3.5 07-15-2041
**
201,411

FHLMC MULTICLASS 3122 CL FE FLTG 03-15-2036
**
3,210,251

FHLMC MULTICLASS 4 09-15-2039
**
878,746

FHLMC MULTICLASS FEDERAL HOME LN MTG CORP SR 4795 CL MP 3.5% 05-15-2043 REG
**
2,249,157

FHLMC MULTICLASS FHLMC #80-0146 10-15-2037
**
3,817,563

FHLMC MULTICLASS FIXED 3.422% 11-25-2018 REG
**
1,537,343

FHLMC MULTICLASS FR CMO 25/10/20 USD1000'A-2' K010 4.333 10-25-2020
**
9,957,614

FHLMC MULTICLASS FREDDIE MAC SER 2017-SR01 CL A3G 3.089% 11-25-2027
**
3,907,082

FHLMC MULTICLASS FREDDIE MAC STRUCTURED 12-25-2020
**
812,702

FHLMC MULTICLASS PREASSIGN 00320 4.5 09-15-2034
**
806,281

FHLMC MULTICLASS PREASSIGN 00343 08-25-2031
**
4,987

FHLMC MULTICLASS REMIC TR 2013-130 CL-EA3 06-25-2038
**
640,233

FHLMC MULTICLASS SER 004254 CL BM 2.5% DUE 01-15-2031 REG
**
369,558

FHLMC MULTICLASS SER 004257 CL A 2.5 10-15-2027
**
2,589,651

FHLMC MULTICLASS SER 004258 CL D 2.5 06-15-2027
**
1,541,934

FHLMC MULTICLASS SER 004281 CL LG 4 01-15-2043
**
1,298,093

FHLMC MULTICLASS SER 004293 CL KG 3.0% DUE 08-15-2043 REG
**
1,066,641

FHLMC MULTICLASS SER 004302 CL HF 01-15-2038
**
741,785

FHLMC MULTICLASS SER 004305 CL A 3.5 06-15-2048
**
1,423,830


82
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC MULTICLASS SER 004305 CL GA 2.0% DUE 02-15-2024 REG
**
181,370

FHLMC MULTICLASS SER 004579 CL FD 01-15-2038
**
422,649

FHLMC MULTICLASS SER 004582 CL PA 3 11-15-2045
**
15,203,134

FHLMC MULTICLASS SER 004711 CL HA 3 12-15-2043
**
731,293

FHLMC MULTICLASS SER 004774 CL LP 3.5% 09-15-2046
**
2,501,738

FHLMC MULTICLASS SER 004877 CL CA 3 04-15-2034
**
3,076,940

FHLMC MULTICLASS SER 004936 CL AP 2.5 09-25-2048
**
26,126,947

FHLMC MULTICLASS SER 15-DNA2 CL M-2 FLTG RT 12-25-2027
**
433,059

FHLMC MULTICLASS SER 18-4 CL MA 3.5% FIXED UE 11-25-2057 REG
**
632,816

FHLMC MULTICLASS SER 19-1 CL MT 3.5% 07-25-2058 REG
**
1,263,517

FHLMC MULTICLASS SER 2012-154 CLS PW 10-25-2042
**
725,616

FHLMC MULTICLASS SER 2113 CL MW 6.5 01-15-2029
**
109,974

FHLMC MULTICLASS SER 2135 CL OH 6.5 03-15-2029
**
96,628

FHLMC MULTICLASS SER 2175 CL TH 6 07-15-2029
**
103,325

FHLMC MULTICLASS SER 2319 CL PZ 6.5 05-15-2031
**
284,988

FHLMC MULTICLASS SER 2338 CL ZC 6.5 07-15-2031
**
136,193

FHLMC MULTICLASS SER 2430 CL WF 6.5 03-15-2032 REG
**
55,541

FHLMC MULTICLASS SER 2812 CL FL FRN 02-15-2023
**
4,337

FHLMC MULTICLASS SER 2980 CL QA 6 05-15-2035
**
68,836

FHLMC MULTICLASS SER 3005 CL ED 5 07-15-2025
**
42,761

FHLMC MULTICLASS SER 3108 CL FP 12-15-2035
**
2,328,548

FHLMC MULTICLASS SER 3117 CL FE FLT RT 02-15-2036
**
555,000

FHLMC MULTICLASS SER 3187 CL Z 5 07-15-2036
**
110,450

FHLMC MULTICLASS SER 3209 CL EG 4.5 08-15-2020
**
10,813

FHLMC MULTICLASS SER 3397 CL FC FLTG 12-15-2037
**
5,951

FHLMC MULTICLASS SER 3564 CL AL FLT RT 08-15-2036
**
464,805

FHLMC MULTICLASS SER 3578 CL VZ 5.5 08-15-2036
**
553,902

FHLMC MULTICLASS SER 3632 CL AG 4 06-15-2038
**
2,250

FHLMC MULTICLASS SER 3648 CL CY 4.5% DUE 03-15-2030
**
145,846

FHLMC MULTICLASS SER 3649 CL BW 4 03-15-2025
**
317,457

FHLMC MULTICLASS SER 3653 CL HJ 5 04-15-2040
**
169,494

FHLMC MULTICLASS SER 3662 CL PJ 5 DUE 04-15-2040
**
138,096

FHLMC MULTICLASS SER 3677 CL PB 4.5 DUE 05-15-2040 REG
**
183,885

FHLMC MULTICLASS SER 3743 CL PA 2.5 12-15-2039
**
886,554

FHLMC MULTICLASS SER 3746 CL KL 3.25 04-15-2040
**
1,375,798

FHLMC MULTICLASS SER 3775 CL GC 4% 01-15-2039
**
1,588,483

FHLMC MULTICLASS SER 3786 CL P 4 01-15-2041
**
7,162,125

FHLMC MULTICLASS SER 3793 CL PE 4.0% 06-15-2039
**
7,398,621

FHLMC MULTICLASS SER 3806 CL JA 3.5 02-15-2026
**
88,803

FHLMC MULTICLASS SER 3819 CL G 4 06-15-2040
**
3,658,107

FHLMC MULTICLASS SER 3846 CL KA 3.5 03-15-2026
**
580,415


83
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC MULTICLASS SER 3857 CL LH 2.5% 01-15-2040
**
1,044,437

FHLMC MULTICLASS SER 3910 CL CU 4.0% DUE03-15-2041 REG
**
192,064

FHLMC MULTICLASS SER 3919 CL BE 2.75%08-15-2039
**
462,222

FHLMC MULTICLASS SER 3939 CL BZ 4.5 06-15-2041
**
1,737,334

FHLMC MULTICLASS SER 3956 CL EB 3.25 11-15-2041
**
1,790,045

FHLMC MULTICLASS SER 3966 CL VZ 4 12-15-2041
**
959,929

FHLMC MULTICLASS SER 3974 CL C 3 01-15-2026
**
217,271

FHLMC MULTICLASS SER 3976 CL AE 2.5 08-15-2029
**
36,976

FHLMC MULTICLASS SER 4001 CL MH 2 01-15-2039
**
208,488

FHLMC MULTICLASS SER 4003 CL BG 2 10-15-2026
**
2,356,375

FHLMC MULTICLASS SER 4016 CL CA 2% 07-15-2041
**
746,631

FHLMC MULTICLASS SER 4018 CL AL 2.0% 03-15-2027 REG
**
756,348

FHLMC MULTICLASS SER 4027 CL QJ 1.75 12-15-2040
**
419,154

FHLMC MULTICLASS SER 4057 CL CD 2.0% 04-15-2039 REG
**
332,202

FHLMC MULTICLASS SER 4059 CL DA 2.0% 02-15-2041 REG
**
363,983

FHLMC MULTICLASS SER 4100 CL EC 1.5 DUE 08-15-2027 REG
**
286,054

FHLMC MULTICLASS SER 4118 CL PD 1.5 05-15-2042
**
371,650

FHLMC MULTICLASS SER 4148 CL JB 1.5 12-15-2027
**
257,342

FHLMC MULTICLASS SER 4150 CL FN FLTG 07-15-2041
**
2,203,150

FHLMC MULTICLASS SER 4170 CL TC 1.625 02-15-2028
**
281,451

FHLMC MULTICLASS SER 4171 CL NG 2 06-15-2042
**
1,417,037

FHLMC MULTICLASS SER 4176 CL HA 4 DUE 12-15-2042
**
348,509

FHLMC MULTICLASS SER 4188 CL AG 2 04-15-2028
**
198,907

FHLMC MULTICLASS SER 4198 CL QP 4.0% 01-15-2033
**
2,410,649

FHLMC MULTICLASS SER 4219 CL JA 3.5 08-15-2039
**
207,770

FHLMC MULTICLASS SER 4223 CL CD 2.0% DUE11-15-2039
**
244,570

FHLMC MULTICLASS SER 4227 CL VA 3.5 DUE 10-15-2037 REG
**
1,650,889

FHLMC MULTICLASS SER 4261 CL DA 2.5% DUE06-15-2032
**
433,689

FHLMC MULTICLASS SER 4268 CL BP 4.25 08-15-2042
**
3,685,261

FHLMC MULTICLASS SER 4318 CL MA 3.0% DUE09-15-2039 REG
**
1,158,832

FHLMC MULTICLASS SER 4323 CL CB 2.0% DUE 03-15-2040 REG
**
347,044

FHLMC MULTICLASS SER 4331 CL EA 4 03-15-2043
**
1,177,427

FHLMC MULTICLASS SER 4332 CL CU 2.5% DUE01-15-2033
**
1,317,586

FHLMC MULTICLASS SER 4338 CL A 2.5% 05-15-2044
**
1,995,783

FHLMC MULTICLASS SER 4358 CL DA 3% 06-15-2040
**
174,550

FHLMC MULTICLASS SER 4373 CL PA 3 02-15-2043
**
933,543

FHLMC MULTICLASS SER 4377 CL KA STEP UP 12-15-2047
**
1,866,363

FHLMC MULTICLASS SER 4457 CL BA 3.0% DUE07-15-2039
**
962,759

FHLMC MULTICLASS SER 4458 CL CB 2.0% 2.0% DUE 11-15-2028 REG
**
193,025

FHLMC MULTICLASS SER 4479 CL AG 2 03-15-2026
**
2,380,046

FHLMC MULTICLASS SER 4488 CL MC 2.5% 09-15-2041 REG
**
316,077


84
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC MULTICLASS SER 4631 CL AE 3.5 05-15-2044
**
8,395,750

FHLMC MULTICLASS SER 4650 CL CA 3.5% DUE 05-15-2043 REG
**
9,213,022

FHLMC MULTICLASS SER T-21 CL A 10-25-2029
**
114,238

FHLMC MULTICLASS SER T-34 CL A1V 07-25-2031
**
4,136,782

FHLMC MULTICLASS SER T-61 CL 1A1 FLT RT 07-25-2044
**
543,333

FHLMC MULTICLASS SER-4238 CL-BG 3.0% 08-15-2030
**
1,156,385

FHLMC MULTICLASS SER-4447 CL-BA 3.0% 02-15-2033
**
2,459,702

FHLMC MULTICLASS SERIES K725 CLASS AM 3.104% DUE 05-25-2023 REG
**
610,105

FHLMC MULTICLASS SR 18-1 CL A1 3.5% 06-25-2028
**
1,444,517

FHLMC MULTICLASS SR 4569 CL JA FLTG 3.0% 03-15-2042
**
5,657,051

FHLMC MULTICLASS SR K081 CL A2 VAR RT 08-25-2028
**
2,269,267

FHLMC MULTICLASS TRANCHE 00045 2.952 02-25-2027
**
2,564,468

FHLMC MULTICLASS TRANCHE 00112 3.176 11-25-2028
**
2,721,530

FHLMC MULTICLASS TRANCHE 00222 09-25-2028
**
5,744,241

FHLMC MULTICLASS TRANCHE 00346 2.624 08-25-2026
**
4,529,942

FHLMC MULTICLASS TRANCHE 00544 2.2 07-25-2025
**
4,298,867

FHLMC MULTICLASS TRANCHE 00627 3.243 04-25-2027
**
189,822

FHLMC MULTICLASS TRANCHE 00628 3.326 05-25-2027
**
141,295

FHLMC MULTICLASS TRANCHE 00704 2.272 01-25-2023
**
6,276,442

FHLMC MULTICLASS TRANCHE 00868 09-25-2022
**
71,475

FHLMC MULTICLASS TRANCHE 00871 2.995 12-25-2025
**
4,691,911

FHLMC MULTICLASS TRANCHE 00878 3.08999991417 08-25-2022
**
3,624,822

FHLMC MULTICLASS TRANCHE 2.158 10-25-2021
**
7,142,835

FHLMC MULTICLASS TRANCHE 2.72 07-25-2026
**
384,814

FHLMC MULTICLASS TRANCHE 2.838 09-25-2022
**
164,411

FHLMC MULTICLASSSER 3613 CL HJ 5.5 DUE 12-15-2039 REG
**
456,003

FHLMC MULTIFAMILY STRUCTURED PASS THRO SER K733 CL AM VAR 09-25-2025
**
4,226,089

FHLMC POOL # QA0794 3.0% 07-01-2049 REG
**
1,096,770

FHLMC POOL # QA1033 3.0% 07-01-2049
**
17,287,545

FHLMC POOL # RA1340 3.0% 09-01-2049
**
5,630,297

FHLMC POOL #1B8062 ADJ RT 03-01-2041
**
91,613

FHLMC POOL #1G1381 ADJ RT 12-01-2036
**
30,228

FHLMC POOL #1J1467 ADJ RT 12-01-2036
**
58,369

FHLMC POOL #1J-1492 ADJ RT 11-01-2036
**
37,573

FHLMC POOL #2B4296 ADJ RT 06-01-2045
**
2,065,966

FHLMC POOL #C00650 7 09-01-2028
**
2,422

FHLMC POOL #G08788 3.5 11-01-2047
**
921,467

FHLMC POOL #G08795 3 01-01-2048
**
646,046

FHLMC POOL #Q25818 4.5 04-01-2044
**
2,457,461

FHLMC POOL #Q25819 4.5 04-01-2044
**
2,425,172

FHLMC POOL #QA0120 3.0% DUE 06-01-2049 REG
**
493,968


85
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FHLMC POOL #QA0190 3.0% 06-01-2049
**
192,653

FHLMC POOL #QA0241 3.0% 06-01-2049
**
1,704,565

FHLMC POOL #QA0445 3.0% 06-01-2049
**
1,067,757

FHLMC POOL #QA1597 3.0% DUE 08-01-2049
**
3,196,617

FHLMC POOL #QA2427 3% 09-01-2049 REG
**
1,306,321

FHLMC POOL #QA2593 3.0% DUE 09-01-2049 REG
**
302,579

FHLMC POOL #QA3322 2.5% 10-01-2049
**
98,122

FHLMC POOL #QA3732 3.0% DUE 10-01-2049
**
48,410

FHLMC POOL #QA5120 3.5% 11-01-2049
**
1,341,164

FHLMC POOL #QA5768 3.0% 01-01-2050
**
203,752

FHLMC POOL #QA5770 3% DUE 01-01-2050 REG
**
102,577

FHLMC POOL #QA5771 3.0% 01-01-2050
**
512,454

FHLMC POOL #RA1103 3 07-01-2049
**
2,380,496

FHLMC POOL #RA1224 3.0% DUE 08-01-2049
**
8,844,048

FHLMC POOL #RA1293 3.0% DUE 09-01-2049
**
2,519,054

FHLMC POOL #RA1341 3% 09-01-2049
**
1,817,697

FHLMC POOL #RA1343 0 09-01-2049
**
2,016,479

FHLMC POOL #RA1344 3 09-01-2049
**
1,528,544

FHLMC POOL #RA1352 3.0% 09-01-2049
**
4,200,901

FHLMC POOL #RA1371 3.5% 09-01-2049
**
102,105

FHLMC POOL #RA1460 3.0% 10-01-2049
**
2,322,782

FHLMC POOL #RA1461 3.0% DUE 10-01-2049
**
3,138,392

FHLMC POOL #RA1564 2.5% DUE 10-01-2049
**
197,150

FHLMC POOL #SB0094 3% DUE 06-01-2033 REG
**
7,833,511

FHLMC POOL #SD8005 3.5% 08-01-2049
**
1,756,386

FHLMC POOL #ZN4906 3.0% 04-01-2049
**
532,287

FHLMC POOL #ZN6631 3.0% 06-01-2049
**
1,632,780

FHLMC POOL #ZN6682 3.0% 06-01-2049
**
759,433

FHLMC POOL #ZN6689 3.0% 06-01-2049
**
786,059

FHLMC POOL #ZT1867 3% 04-01-2049
**
24,955,650

FHLMC POOL 846661 ADJ RT DUE 02-01-2029
**
706

FHLMC POOL#RA1355 3.0% 09-01-2049 REG
**
7,767,854

FHLMC POOL#RA1496 3.0% 10-01-2049
**
3,425,542

FHLMC POOL#SD8024 3.0% 10-01-2049
**
4,870,359

FHLMC SER 3645 CL KP 5 02-15-2040
**
494,450

FHLMC UMBS 30Y POOL# QA-1627 3.0% 08-01-2049
**
875,892

FHLMC UMBS 30Y POOL# QA-2090 3.0% 08-01-2049
**
904,322

FIAT CHRYSLER 4.5% DUE 04-15-2020
**
704,375

FIAT CHRYSLER AUTOMOBILES NV
**
2,346,562

FIBROGEN INC COM
**
523,258

FID NATL FIXED .75% DUE 05-21-2023
**
114,606


86
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FIDELITY NATL FINANCIAL 5.5 DUE 09-01-2022 BEO
**
2,476,474

FIDELITY NATL INFORMATION SVCS INC 3.75%05-21-2029 REG
**
137,032

FIDELITY NATL INFORMATION SVCS INC COM STK
**
14,041,970

FIESTA RESTAURANT GROUP INC COM
**
242,631

FIFTH THIRD BANCORP 2.375% DUE 01-28-2025 REG
**
100,175

FIFTH THIRD BANCORP 3.5 BNDS DUE 03-15-2022
**
2,062,804

FIFTH THIRD BANCORP 3.65% DUE 01-25-2024
**
2,385,471

FIFTH THIRD BK TRANCHE # SR 00035 FLTG DUE 10-30-2020
**
6,274,732

FINANCIAL INSTNS INC COM
**
91,774

FINJAN HLDGS INC COM NEW COM NEW
**
9,875

FINNVERA PLC SR NT 144A 2.375% DUE 06-04-2025 BEO
**
408,432

FIREEYE INC COM
**
1,888,007

FIRST ABU DHABI BK AED1
**
118,753

FIRST AMERN FINL CORP COM STK
**
287,226

FIRST BANCORP INC ME COM
**
50,968

FIRST BANCORP N C COM
**
519,908

FIRST BANCORP P R COM NEW COM NEW
**
798,571

FIRST BANCSHARES INC MISS COM
**
80,524

FIRST BK WILLIAMSTOWN NEW JERSEY COM
**
30,332

FIRST BUSEY CORP COM NEW COM NEW
**
222,530

FIRST BUSINESS FINL SVCS INC WIS COM STK
**
40,917

FIRST CAP REAL EST UNIT
**
411,248

FIRST CMNTY BANKSHARES
**
88,934

FIRST CMNTY CORP S C COM
**
16,705

FIRST DEFIANCE FINANCIAL CORP COM STK USD0.01
**
76,899

FIRST FINL BANCORP OHIO COM
**
417,216

FIRST FINL CORP IND COM
**
91,303

FIRST FINL HLDG CO TWD10
**
742,211

FIRST FINL NORTHWEST INC COM STK
**
22,963

FIRST GEN CORPORAT PHP1
**
276,190

FIRST HAWAIIAN INC COM
**
722,981

FIRST HORIZON NATL CORP COM
**
812,434

FIRST INTERNET BANCORP COM STK
**
42,891

FIRST INTERSTATE BANCSYS/MT
**
221,589

FIRST LONG IS CORP COM
**
112,985

FIRST MERCHANTS CORP COM
**
331,888

FIRST MID BANCSHARES INC COM USD4.00
**
97,502

FIRST MIDWEST BANCORP INC DEL COM
**
398,085

FIRST NORTHWEST BANCORP COM
**
37,638

FIRST PHILIPPINE PHP10
**
9,117

FIRST REIT NPV (REIT)
**
113,807


87
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FIRST SOLAR INC COM
**
1,163,352

FIRSTENERGY CORP 2.85% 07-15-2022
**
203,262

FIRSTENERGY CORP 2.85% 07-15-2022
**
5,091,712

FIRSTENERGY CORP 4.25 DUE 03-15-2023
**
8,994,349

FIRSTENERGY CORP 7.375% DUE 11-15-2031
**
1,412,104

FIRSTENERGY CORP COM
**
14,268,668

FIRSTENERGY TRANSMISSION LLC SR NT 144A 4.55% 04-01-2049
**
189,161

FIRSTGROUP ORD GBP0.05
**
993,988

FISERV INC 2.75% DUE 07-01-2024
**
6,340,052

FISERV INC 3.2% DUE 07-01-2026
**
517,823

FISERV INC 3.8% 10-01-2023
**
2,181,356

FISERV INC COM
**
15,615,600

FITBIT INC CL A CL A
**
107,150

FIVE BELOW INC COM USD0.01
**
1,917,900

FIVE PRIME THERAPEUTICS INC COM
**
108,884

FIVE STAR SR LIVING INC FORMERLY FIVE STAR QUALITY CARE INC COM NEW COM NEW
**
148

FJORDKRAFT HLDG NOK0.3
**
148,427

FL PWR & LT CO 3.125% DUE 12-01-2025
**
7,880,835

FL PWR & LT CO 3.25% DUE 06-01-2024
**
193,794

FL PWR & LT CO 3.8% DUE 12-15-2042
**
130,894

FL PWR & LT CO 3.95% 03-01-2048
**
228,248

FLAGSHIP CR AUTO 2.33% DUE 02-15-2024
**
3,040,260

FLAGSHIP CR AUTO 2.71% DUE 11-15-2022
**
1,001,030

FLAGSHIP CR AUTO 2.74% DUE 10-15-2025
**
399,602

FLAGSHIP CR AUTO 2.83% DUE 03-15-2023
**
30,266

FLAGSHIP CR AUTO 2.83% DUE 10-16-2023
**
1,125,224

FLAGSHIP CR AUTO 2.96000003815% DUE 07-15-2023
**
276,764

FLAGSHIP CR AUTO 3.59% DUE 12-16-2024
**
1,747,362

FLAGSHIP CR AUTO 3.61999988556% DUE 07-15-2023
**
162,009

FLAGSTAR BANCORP INC COM PAR$.001
**
337,824

FLAGSTAR MTG TR 2018-2 MTG SER 2018-2 CLS A4 VAR 04-25-2048
**
5,520,730

FLEETCOR TECHNOLOGIES INC COM
**
11,975,482

FLEX LTD COM USD0.01
**
1,296,061

FLEXSTEEL INDS INC COM
**
28,087

FLOOR & DECOR HLDGS INC CL A CL A
**
2,064,055

FLOTEK INDS INC DEL COM
**
23,252

FLUENT INC COM
**
15,425

FLUIDIGM CORP DEL COM STK
**
168,815

FLUOR CORP NEW COM
**
1,192,650

FLUSHING FINL CORP COM
**
88,969

FMC CORP 3.45% DUE 10-01-2029
**
2,874,467


88
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FMR BROS CO DEL
**
94,020

FMS WERTMANAGEMENT GLOBAL NT 1.75% DUE 01-24-2020 REG
**
34,574,669

FNMA POOL #SD-8037 2.5% 01-01-2050
**
46,482,196

FNMA . POOL #AO6482 ADJ RT DUE 07-01-2042 BEO
**
34,050

FNMA 2% CMO 25/08/2040 USD'PB' 2 08-25-2040
**
479,396

FNMA 2.375% 01-19-2023
**
2,725,175

FNMA 2.5 02-05-2024
**
4,685,607

FNMA 2.61% DUE 10-25-2028 REG
**
15,324,968

FNMA 2004-W1 CL-2A1 6.5% DUE 12-25-2043
**
114,499

FNMA 2009-W1 CL-A 5.99831008911 12-25-2049
**
74,793

FNMA 2011-74 CL QM 4.5 11-25-2040
**
3,336,136

FNMA 2019-M23 CL 3A3 VAR RT DUE 10-25-2031
**
1,105,055

FNMA 4.5% MBS 01/04/2049 USD'BN5404F' POOL #BN5404 4.5% DUE 04-01-2049 BEO
**
1,247,044

FNMA AR9203 3.5 DUE 03-01-2043
**
1,142,443

FNMA AT0238 2.5 DUE 03-01-2043
**
762,979

FNMA CMO SER 2002-86 CL PG 6 09-25-2032 BEO
**
122,225

FNMA DTD 11/03/2000 6.625 11-15-2030
**
3,663,695

FNMA DUE SER 2018-M10 CL A2 VAR RT 07-25-2028 REG
**
9,962,271

FNMA FANNIE MAE 2.125 04-24-2026
**
304,540

FNMA FLTG RT SER 19-14 CL FA 04-25-2049 REG
**
21,699,892

FNMA FN BF0145 POOL #BF0145 3.5% DUE 03-01-2057 REG
**
9,758,260

FNMA FNMA 11-25-2046
**
2,002,868

FNMA FNMA 2.25% DUE 11-25-2040 BEO 2.25 11-25-2040
**
619,814

FNMA FNMA 3.726 06-25-2021
**
2,241,989

FNMA FNR 2011-75 ME 3 08-25-2026
**
657,802

FNMA FR CMO 25/02/2037 USD1000'DF' 2007-4 02-25-2037
**
473,015

FNMA FR CMO 25/10/2037 USD1000 A7 10-25-2037
**
22,800

FNMA MULTICLASS SER 2018-M7 CL A1 VAR RT 03-25-2028 REG
**
5,947,946

FNMA POOL CA2652 5.0% 11-01-2048
**
7,373,923

FNMA POOL # BN7652 3.0% 07-01-2049
**
7,381,030

FNMA POOL # CA3955 3.5% 08-01-2049 REG
**
6,775,164

FNMA POOL # CA4134 3.0% 09-01-2049 REG
**
6,035,519

FNMA POOL #100168 9.5% 01-15-2021 BEO
**
4

FNMA POOL #108489 9% 11-01-2020 BEO
**
1,499

FNMA POOL #190353 5% 08-01-2034 BEO
**
6,017

FNMA POOL #190357 5% 03-01-2035 BEO
**
4,709

FNMA POOL #190360 5% 08-01-2035 BEO
**
3,603

FNMA POOL #190377 5% 11-01-2036 BEO
**
149,942

FNMA POOL #190533 7% 01-01-2024 BEO
**
926

FNMA POOL #242136 7% 10-01-2023 BEO
**
238



89
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #245442 7.0 GTD MTG PASS THRU CTF DUE 11-01-2023 REG
**
1,502

FNMA POOL #253153 7% DUE 02-01-2020 REG
**
25

FNMA POOL #253947 8% DUE 08-01-2031 REG
**
29,157

FNMA POOL #254223 7.5% DUE 02-01-2032 REG
**
290

FNMA POOL #254793 5% 07-01-2033 BEO
**
116,397

FNMA POOL #256901 6.5% 09-01-2037 BEO
**
4,372

FNMA POOL #256937 6.5% 10-01-2037 BEO
**
6,220

FNMA POOL #257239 5.5% 06-01-2028 BEO
**
73,522

FNMA POOL #267989 7.0 GTD MTG PASS THRU CTF DUE 02-01-2024 REG
**
1,577

FNMA POOL #274621 7% 03-01-2024 BEO
**
722

FNMA POOL #312206 4.47% 06-01-2025 BEO
**
27,110

FNMA POOL #313947 7% 01-01-2028 BEO
**
871

FNMA POOL #330089 8% 04-01-2025 BEO
**
14,198

FNMA POOL #330126 4.405% 08-01-2025 BEO
**
30,052

FNMA POOL #331427 ADJ RT DUE 11-01-2025 REG
**
7,509

FNMA POOL #347547 ADJ RT DUE 08-01-2026 BEO
**
142

FNMA POOL #347633 4.5% 07-01-2026 BEO
**
9,890

FNMA POOL #362968 ADJ RT DUE 01-01-2026 REG
**
28,121

FNMA POOL #369996 7.5% DUE 01-01-2027 REG
**
2,552

FNMA POOL #371073 7.5% 02-01-2027 BEO
**
5,288

FNMA POOL #396439 7.5% 11-01-2027 BEO
**
6,306

FNMA POOL #397256 7.5% 10-01-2027 BEO
**
320

FNMA POOL #398754 7.5% 09-01-2027 BEO
**
4,349

FNMA POOL #401788 7.5 GTD MTG PASS THRU CTF DUE 10-01-2027 REG
**
460

FNMA POOL #479545 7% DUE 08-01-2029 REG
**
489

FNMA POOL #492745 7% 05-01-2029 BEO
**
2,231

FNMA POOL #50305 9.5% 05-01-2020 BEO
**
44

FNMA POOL #503573 7% DUE 10-01-2029 REG
**
2,164

FNMA POOL #50402 9% 02-01-2021 BEO
**
40

FNMA POOL #50415 9.00 GTD MTG PASS THRU CTF DUE 03-01-2021 REG
**
66

FNMA POOL #507521 7% 08-01-2029 BEO
**
4,129

FNMA POOL #50795 7% 09-01-2023 BEO
**
522

FNMA POOL #509436 7% DUE 10-01-2029 REG
**
6,705

FNMA POOL #50947 7% 12-01-2023 BEO
**
7,205

FNMA POOL #50966 7% 01-01-2024 BEO
**
2,696

FNMA POOL #509662 7% DUE 08-01-2029 REG
**
404

FNMA POOL #50993 7% DUE 02-01-2024 REG
**
1,801

FNMA POOL #511103 7% DUE 08-01-2029 REG
**
3,572

FNMA POOL #511384 7% 09-01-2029 BEO
**
1,532

FNMA POOL #515518 7% DUE 10-01-2029 REG
**
3,037

FNMA POOL #517511 7% DUE 10-01-2029 REG
**
2,642

FNMA POOL #523486 8% DUE 08-01-2030 REG
**
901

FNMA POOL #534194 8% DUE 04-01-2030 REG
**
2,733

FNMA POOL #545204 ADJ RT DUE 05-01-2036 REG
**
17,870

FNMA POOL #545278 7.5% DUE 11-01-2031 REG
**
48,265

FNMA POOL #554482 7.5% 10-01-2030 BEO
**
63,752

FNMA POOL #555743 5% 09-01-2033 BEO
**
140,849


90
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #569972 7.5% DUE 03-01-2031 REG
**
14,430

FNMA POOL #593848 8% 07-01-2031 BEO
**
18,621

FNMA POOL #602065 7% DUE 09-01-2031 REG
**
46,257

FNMA POOL #604576 6.5% 09-01-2021 BEO
**
1,604

FNMA POOL #60680 ADJ RT DUE 02-01-2028 REG
**
7,928

FNMA POOL #609504 7% DUE 10-01-2031 REG
**
86,326

FNMA POOL #725162 6% 02-01-2034 BEO
**
33,755

FNMA POOL #725229 6% 03-01-2034 BEO
**
92,931

FNMA POOL #725946 5.5% 11-01-2034 BEO
**
80,130

FNMA POOL #735061 6% 11-01-2034 BEO
**
861,946

FNMA POOL #735382 5% 04-01-2035 BEO
**
605,361

FNMA POOL #735500 5.5% 05-01-2035 BEO
**
847,927

FNMA POOL #735501 6% 05-01-2035 BEO
**
199,482

FNMA POOL #735503 6% 04-01-2035 BEO
**
241,116

FNMA POOL #735561 FLTG DUE 04-01-2034
**
41,711

FNMA POOL #735580 5% 06-01-2035 BEO
**
284,345

FNMA POOL #735676 5% 07-01-2035 BEO
**
190,740

FNMA POOL #735893 5% 10-01-2035 BEO
**
80,089

FNMA POOL #735989 5.5% 02-01-2035 BEO
**
1,190,990

FNMA POOL #745000 6% 10-01-2035 BEO
**
45,738

FNMA POOL #745140 5% 11-01-2035 BEO
**
1,117,230

FNMA POOL #745327 6% DUE 03-01-2036 REG
**
117,817

FNMA POOL #745412 5.5% 12-01-2035 BEO
**
626,847

FNMA POOL #745885 6% 10-01-2036 BEO
**
384,117

FNMA POOL #745948 6.5% DUE 10-01-2036 BEO
**
40,270

FNMA POOL #745959 5.5% 11-01-2036 BEO
**
272,686

FNMA POOL #811569 6% 06-01-2021 BEO
**
3,479

FNMA POOL #813599 ADJ RT DUE 01-01-2036 BEO
**
130,910

FNMA POOL #825480 FLTG RT 06-01-2035
**
25,351

FNMA POOL #831561 6.5% 05-01-2036 BEO
**
35,573

FNMA POOL #833600 6.5% DUE 11-01-2035 REG
**
9,341

FNMA POOL #836464 ADJ RT DUE 10-01-2035 BEO
**
56,822

FNMA POOL #836852 ADJ RT DUE 10-01-2035 BEO
**
276,170

FNMA POOL #843823 ADJ RT DUE 11-01-2035 BEO
**
249,440

FNMA POOL #843997 4.204% 11-01-2035 BEO
**
101,643

FNMA POOL #844052 4.065 11-01-2035 BEO
**
9,947

FNMA POOL #844148 4.274% 11-01-2035 BEO
**
11,296

FNMA POOL #844237 ADJ RT DUE 11-01-2035 BEO
**
7,620

FNMA POOL #844789 4.124% 11-01-2035 BEO
**
10,935

FNMA POOL #866888 ADJ RT DUE 01-01-2036 BEO
**
70,697

FNMA POOL #872021 6% 06-01-2021 BEO
**
7,659

FNMA POOL #879067 ADJ RT DUE 04-01-2036 BEO
**
868,726

FNMA POOL #879394 5% DUE 02-01-2021 REG
**
3,520

FNMA POOL #880870 6.5% 03-01-2036 BEO
**
12,835

FNMA POOL #884729 4.729% 08-01-2036 BEO
**
55,032

FNMA POOL #884773 ADJ RT DUE 10-01-2036 BEO
**
72,528

FNMA POOL #888365 6% 04-01-2022 BEO
**
5,943


91
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #888560 6 11-01-2035 BEO
**
453,843

FNMA POOL #888601 5.5% 06-01-2020 BEO
**
593

FNMA POOL #888637 6% 09-01-2037 BEO
**
63,103

FNMA POOL #888832 6.5% 11-01-2037 BEO
**
18,341

FNMA POOL #888890 6.5% DUE 10-01-2037 BEO
**
118,542

FNMA POOL #888893 5.5% 08-01-2037 BEO
**
28,756

FNMA POOL #889072 6.5% 12-01-2037 BEO
**
129,840

FNMA POOL #889117 5% 10-01-2035 BEO
**
400,144

FNMA POOL #889190 6% 03-01-2038 BEO
**
54,705

FNMA POOL #889579 6% DUE 05-01-2038 REG
**
841,629

FNMA POOL #890116 7% 02-01-2023 BEO
**
81,572

FNMA POOL #890236 4.5% 08-01-2040 BEO
**
74,119

FNMA POOL #890248 6% 08-01-2037 BEO
**
956,231

FNMA POOL #890268 6.5% 10-01-2038 BEO
**
197,722

FNMA POOL #890594 3% 01-01-2029 BEO
**
365,050

FNMA POOL #890604 4.5% 10-01-2044 BEO
**
2,198,606

FNMA POOL #890843 3% 09-01-2047 BEO
**
7,426,239

FNMA POOL #890876 3.5% 02-01-2049 BEO
**
474,901

FNMA POOL #891654 6.5% DUE 06-01-2036 REG
**
97,963

FNMA POOL #902425 ADJ RT DUE 11-01-2036
**
25,374

FNMA POOL #903261 6% 10-01-2036 BEO
**
59,121

FNMA POOL #906666 6.5% 12-01-2036 BEO
**
7,991

FNMA POOL #908172 6.5% DUE 01-01-2037 REG
**
1,098

FNMA POOL #914875 6.5% DUE 04-01-2037 REG
**
179,765

FNMA POOL #918653 6% 06-01-2037 BEO
**
26,220

FNMA POOL #924874 7% 10-01-2037 BEO
**
13,710

FNMA POOL #928746 6.5% DUE 09-01-2037 REG
**
5,598

FNMA POOL #928938 7% 12-01-2037 BEO
**
40,065

FNMA POOL #929298 5% 03-01-2038 BEO
**
146,482

FNMA POOL #931307 4.5% 06-01-2039 BEO
**
302,204

FNMA POOL #931991 4.5% 09-01-2039 BEO
**
485,420

FNMA POOL #932058 4.5% 10-01-2039 BEO
**
422,395

FNMA POOL #932426 4.5% 01-01-2040 BEO
**
856,958

FNMA POOL #932495 4.5% 02-01-2040 BEO
**
112,440

FNMA POOL #932669 4.5% 03-01-2040 BEO
**
7,892

FNMA POOL #932850 4% 12-01-2040 BEO
**
221,229

FNMA POOL #933409 5% 03-01-2038 BEO
**
129,001

FNMA POOL #933638 ADJ RT DUE 08-01-2038 BEO
**
32,768

FNMA POOL #934648 7% DUE 11-01-2038 BEO
**
121,663

FNMA POOL #942798 6.5% DUE 08-01-2037 REG
**
54,007

FNMA POOL #943699 6.5% DUE 08-01-2037 REG
**
73,903

FNMA POOL #946065 6.5% 09-01-2037 BEO
**
17,235

FNMA POOL #948849 6% 08-01-2037 BEO
**
332,794

FNMA POOL #955183 7% 11-01-2037 BEO
**
64,894

FNMA POOL #955762 6.5% 10-01-2037 BEO
**
3,690

FNMA POOL #962062 5% 03-01-2038 BEO
**
206,025

FNMA POOL #962444 5% DUE 04-01-2038 BEO
**
129,939


92
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #968066 6% 10-01-2022 BEO
**
20,195

FNMA POOL #968252 7% 02-01-2038 BEO
**
12,907

FNMA POOL #971053 4.5% 02-01-2039 BEO
**
44,376

FNMA POOL #972242 6.5% 03-01-2038 BEO
**
1,536

FNMA POOL #972571 5% 03-01-2038 BEO
**
15,963

FNMA POOL #972572 5% DUE 03-01-2038 REG
**
2,349

FNMA POOL #973161 6.5% 02-01-2038 BEO
**
55,313

FNMA POOL #974156 7% 02-01-2038 BEO
**
18,877

FNMA POOL #975184 5% 03-01-2038 BEO
**
100,394

FNMA POOL #975441 5% DUE 03-01-2038 REG
**
57,423

FNMA POOL #979973 5% 09-01-2036 BEO
**
13,477

FNMA POOL #984632 ADJ RT DUE 06-01-2038 BEO
**
114,382

FNMA POOL #985626 6% 04-01-2033 BEO
**
253,069

FNMA POOL #987325 ADJ RT DUE 09-01-2038 BEO
**
175,518

FNMA POOL #991549 7% 11-01-2038 BEO
**
41,067

FNMA POOL #992249 7% 11-01-2038 BEO
**
8,451

FNMA POOL #992262 5% 01-01-2039 BEO
**
15,010

FNMA POOL #995072 5.5% 08-01-2038 BEO
**
212,129

FNMA POOL #995149 6.5% 10-01-2038 BEO
**
129,433

FNMA POOL #995381 6% 01-01-2024 BEO
**
43,272

FNMA POOL #995899 6% 02-01-2038 BEO
**
94,498

FNMA POOL #AA0472 4% 03-01-2039 BEO
**
117,092

FNMA POOL #AA2700 5% 01-01-2039 BEO
**
3,271

FNMA POOL #AB1228 5% 07-01-2040 BEO
**
32,571

FNMA POOL #AB2801 3.5% 04-01-2026 BEO
**
340,696

FNMA POOL #AB3701 4.5% 10-01-2041 BEO
**
652,065

FNMA POOL #AB4058 4% 12-01-2041 BEO
**
520,123

FNMA POOL #AB4590 3.5% DUE 03-01-2042 BEO
**
560,561

FNMA POOL #AB4689 3.5% 03-01-2042 BEO
**
832,909

FNMA POOL #AB4698 4% 03-01-2042 BEO
**
233,313

FNMA POOL #AB4941 3.5% 04-01-2042 BEO
**
2,558,592

FNMA POOL #AB4955 4% 04-01-2042 BEO
**
369,436

FNMA POOL #AB5236 3% 05-01-2027 BEO
**
308,241

FNMA POOL #AB5546 3.5% DUE 06-01-2042 BEO
**
687,058

FNMA POOL #AB5593 3.5% 07-01-2042 BEO
**
419,481

FNMA POOL #AB6136 2.5% 09-01-2027 BEO
**
1,113,247

FNMA POOL #AB6229 3.5% 09-01-2042 BEO
**
1,878,010

FNMA POOL #AB6238 3.5% 09-01-2042 BEO
**
456,757

FNMA POOL #AB6335 2% 10-01-2027 BEO
**
333,615

FNMA POOL #AB6390 3% 10-01-2042 BEO
**
271,677

FNMA POOL #AB6694 3% 10-01-2042 BEO
**
549,173

FNMA POOL #AB6832 3.5% 11-01-2042 BEO
**
1,505,208

FNMA POOL #AB7059 2.5% 11-01-2042 BEO
**
3,150,755

FNMA POOL #AB7142 2.5% 12-01-2027 BEO
**
323,288

FNMA POOL #AB7272 3 12-01-2042 REG
**
1,015,297

FNMA POOL #AB7410 3% 12-01-2042 BEO
**
2,728,815

FNMA POOL #AB7426 3% 12-01-2042 BEO
**
754,915


93
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AB7568 3% 01-01-2043 BEO
**
1,165,771

FNMA POOL #AB7570 3% 01-01-2043 BEO
**
1,871,395

FNMA POOL #AB7707 2% 01-01-2028 BEO
**
802,838

FNMA POOL #AB7716 2.5% 01-01-2028 BEO
**
180,855

FNMA POOL #AB7728 2.5% 01-01-2043 BEO
**
320,056

FNMA POOL #AB7741 3% 01-01-2043 BEO
**
1,590,435

FNMA POOL #AB8464 2.5% 02-01-2043 BEO
**
281,068

FNMA POOL #AB8465 2.5% 02-01-2043 BEO
**
482,995

FNMA POOL #AB8874 2% 04-01-2023 BEO
**
377,064

FNMA POOL #AB8925 3% DUE 04-01-2043 BEO
**
83,065

FNMA POOL #AB9136 2.5% 04-01-2043 BEO
**
1,228,180

FNMA POOL #AB9347 3% 05-01-2043 BEO
**
1,721,634

FNMA POOL #AB9361 3.5% DUE 05-01-2043 BEO
**
485,164

FNMA POOL #AB9461 3% 05-01-2043 BEO
**
2,090,391

FNMA POOL #AB9516 2.5% 05-01-2028 BEO
**
190,955

FNMA POOL #AB9615 4% 06-01-2033 BEO
**
219,337

FNMA POOL #AB9663 3% 06-01-2043 BEO
**
195,588

FNMA POOL #AB9825 2.5% 07-01-2028 BEO
**
72,131

FNMA POOL #AB9972 2% DUE 07-01-2023 BEO
**
1,109,080

FNMA POOL #AB9980 3.5% 07-01-2043 BEO
**
554,461

FNMA POOL #AC1889 4% 09-01-2039 BEO
**
249,579

FNMA POOL #AC2953 4.5% 09-01-2039 BEO
**
104,631

FNMA POOL #AC3237 5% 10-01-2039 BEO
**
122,917

FNMA POOL #AC3237 5% 10-01-2039 BEO
**
833,700

FNMA POOL #AC9526 5.5% DUE 01-01-2040 BEO
**
609,834

FNMA POOL #AD0121 4.5% 09-01-2029 BEO
**
925,678

FNMA POOL #AD0217 6% 08-01-2037 BEO
**
60,788

FNMA POOL #AD0249 5.5% 04-01-2037 BEO
**
380,013

FNMA POOL #AD0296 FLTG 12-01-2036
**
135,425

FNMA POOL #AD0329 6.5 DUE 09-01-2028 BEO
**
46,680

FNMA POOL #AD0452 6% 04-01-2021 BEO
**
18,973

FNMA POOL #AD0471 5.5% 01-01-2024 BEO
**
63,336

FNMA POOL #AD0752 7% 01-01-2039 BEO
**
72,753

FNMA POOL #AD0979 7.5% 10-01-2035 BEO
**
99,755

FNMA POOL #AD4178 4.5% 06-01-2040 BEO
**
851,936

FNMA POOL #AD6510 5% 05-01-2040 BEO
**
17,653

FNMA POOL #AD9143 4.5% 08-01-2040 BEO
**
25,143

FNMA POOL #AD9153 4.5% 08-01-2040 BEO
**
192,946

FNMA POOL #AD9713 5% 08-01-2040 BEO
**
106,609

FNMA POOL #AE0081 6% 07-01-2024 BEO
**
73,632

FNMA POOL #AE0113 4% 07-01-2040 BEO
**
348,850

FNMA POOL #AE0478 4% 11-01-2040 BEO
**
5,605

FNMA POOL #AE0521 6% 08-01-2037 BEO
**
490,564

FNMA POOL #AE0654 3.78% DUE 12-01-2040 BEO
**
1,927,554

FNMA POOL #AE0758 7% 02-01-2039 BEO
**
547,325

FNMA POOL #AE0967 3.5% 06-01-2039 BEO
**
672,013

FNMA POOL #AE1807 4% 10-01-2040 BEO
**
9,801


94
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AE1840 5% 08-01-2040 BEO
**
31,273

FNMA POOL #AE1862 5% 08-01-2040 BEO
**
182,670

FNMA POOL #AE4456 4% 02-01-2041 BEO
**
83,946

FNMA POOL #AE4664 4% 10-01-2040 BEO
**
105,220

FNMA POOL #AE6090 4% 10-01-2040 BEO
**
242,732

FNMA POOL #AE6191 4% 11-01-2040 BEO
**
31,711

FNMA POOL #AE7283 4% 10-01-2040 BEO
**
12,698

FNMA POOL #AE7314 4% 11-01-2040 BEO
**
2,088

FNMA POOL #AE8446 4% 11-01-2040 BEO
**
2,973

FNMA POOL #AE9387 4% 12-01-2040 BEO
**
2,115

FNMA POOL #AH2683 4% 01-01-2041 BEO
**
1,215,717

FNMA POOL #AL8558 6% 07-01-2041 BEO
**
286,057

FNMA POOL #AM0392 2.14% DUE 01-01-2021 BEO
**
1,278,364

FNMA POOL #AM2674 2.61% DUE 03-01-2023 BEO
**
614,675

FNMA POOL #AM2711 2.57% DUE 03-01-2023 BEO
**
405,721

FNMA POOL #AM4066 3.59% 08-01-2023 BEO
**
946,080

FNMA POOL #AM4764 3.44% DUE 11-01-2023 BEO
**
636,298

FNMA POOL #AM5079 3.45 DUE 01-01-2024 BEO
**
685,616

FNMA POOL #AM5473 3.76% 03-01-2024 BEO
**
932,483

FNMA POOL #AM5612 3.42% DUE 05-01-2024 REG
**
790,340

FNMA POOL #AM7514 3.07% DUE 02-01-2025 BEO
**
1,197,402

FNMA POOL #AN0360 3.95% DUE 12-01-2045 BEO
**
4,903,090

FNMA POOL #AN2309 2.21% 07-01-2026
**
702,261

FNMA POOL #AN2670 2.305% DUE 11-01-2026 BEO
**
353,158

FNMA POOL #AN2689 2.2% 10-01-2026
**
971,941

FNMA POOL #AN4000 3% DUE 12-01-2026 BEO
**
1,009,916

FNMA POOL #AN4073 3.07% DUE 01-01-2029 REG
**
388,425

FNMA POOL #AN4439 2.93% DUE 01-01-2027 BEO
**
364,290

FNMA POOL #AN7895 3.55% DUE 12-01-2027 BEO
**
4,753,800

FNMA POOL #AN7904 3.44% 12-01-2027
**
3,650,409

FNMA POOL #AN9686 3.52% DUE 06-01-2028 BEO
**
2,147,810

FNMA POOL #AN9976 3.96% DUE 02-01-2030 BEO
**
2,355,024

FNMA POOL #AO0454 3.5% 08-01-2042 BEO
**
513,231

FNMA POOL #AO0527 3% 05-01-2027 BEO
**
253,172

FNMA POOL #AO2801 3% DUE 06-01-2027 BEO
**
1,318,124

FNMA POOL #AO2802 3% 06-01-2027 BEO
**
1,633,861

FNMA POOL #AO4135 3.5% 06-01-2042 BEO
**
1,358,571

FNMA POOL #AO4688 3% DUE 07-01-2043 BEO
**
2,337,239

FNMA POOL #AO6757 4% 06-01-2042 BEO
**
245,576

FNMA POOL #AO7348 4% 08-01-2042 BEO
**
276,764

FNMA POOL #AP0006 ADJ RT DUE 07-01-2042 BEO
**
135,012

FNMA POOL #AP0645 3.5% 07-01-2032 BEO
**
62,165

FNMA POOL #AP2611 3.5% 09-01-2042 BEO
**
405,428

FNMA POOL #AP3308 3.5% 09-01-2042 BEO
**
417,282

FNMA POOL #AP3902 3% 10-01-2042 BEO
**
378,028

FNMA POOL #AP4710 3.5% 08-01-2042 BEO
**
831,850

FNMA POOL #AP5143 3% 09-01-2042 BEO
**
524,251


95
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AP6027 3% 04-01-2043 BEO
**
491,611

FNMA POOL #AP6032 3% 04-01-2043 BEO
**
545,652

FNMA POOL #AP6053 2.5% 07-01-2028 BEO
**
131,955

FNMA POOL #AP6054 3% 07-01-2043 BEO
**
52,224

FNMA POOL #AP7126 2.5% 10-01-2027 BEO
**
302,274

FNMA POOL #AP8057 3.5% 09-01-2042 BEO
**
502,226

FNMA POOL #AP8774 2% 10-01-2027 BEO
**
300,275

FNMA POOL #AP8903 3.5% 10-01-2042 BEO
**
447,565

FNMA POOL #AP9539 3% DUE 10-01-2042 BEO
**
267,841

FNMA POOL #AP9766 4% 10-01-2042 BEO
**
1,152,630

FNMA POOL #AQ0556 3% 11-01-2042 BEO
**
1,817,573

FNMA POOL #AQ1534 3.5% 10-01-2032 BEO
**
215,462

FNMA POOL #AQ1607 3.5% 11-01-2032 BEO
**
169,047

FNMA POOL #AQ1802 3.5% 10-01-2042 BEO
**
258,368

FNMA POOL #AQ7192 3% DUE 07-01-2043 REG
**
111,042

FNMA POOL #AQ8359 3% 01-01-2043 BEO
**
494,702

FNMA POOL #AQ8653 2.5% 12-01-2042 BEO
**
436,513

FNMA POOL #AQ9990 2.5% 02-01-2043 BEO
**
1,043,210

FNMA POOL #AR2602 2.5% DUE 02-01-2043 BEO
**
466,507

FNMA POOL #AR2638 3.5% 02-01-2043 BEO
**
499,537

FNMA POOL #AR3368 2.5% DUE 02-01-2028 REG
**
160,559

FNMA POOL #AR4343 3% 06-01-2043 BEO
**
339,278

FNMA POOL #AR4473 2.5% 03-01-2028 BEO
**
956,517

FNMA POOL #AR6707 2% 02-01-2028 BEO
**
359,678

FNMA POOL #AR7182 2.5% 03-01-2043 BEO
**
501,076

FNMA POOL #AR7213 2.5% 05-01-2043 BEO
**
534,629

FNMA POOL #AR7214 3% DUE 06-01-2043 REG
**
2,134,921

FNMA POOL #AR7399 3% 06-01-2043 BEO
**
140,201

FNMA POOL #AR7961 3.5% DUE 03-01-2033 REG
**
201,968

FNMA POOL #AR7970 2.5% DUE 03-01-2043 REG
**
509,854

FNMA POOL #AR8600 2.5% DUE 07-01-2043 REG
**
547,133

FNMA POOL #AR8749 3% 03-01-2043 BEO
**
2,128,855

FNMA POOL #AR9215 3% DUE 03-01-2043 REG
**
1,565,968

FNMA POOL #AS0047 2.5% 07-01-2028 BEO
**
481,493

FNMA POOL #AS0070 4% DUE 08-01-2043 REG
**
458,542

FNMA POOL #AS0302 3% 08-01-2043 BEO
**
110,893

FNMA POOL #AS0522 3.5% 09-01-2043 BEO
**
231,186

FNMA POOL #AS0838 5% 10-01-2043 BEO
**
144,024

FNMA POOL #AS1340 2% 12-01-2023 BEO
**
764,809

FNMA POOL #AS1364 3% 12-01-2043 BEO
**
95,382

FNMA POOL #AS1745 3% 02-01-2029 BEO
**
1,537,584

FNMA POOL #AS1774 4% 02-01-2044 BEO
**
163,989

FNMA POOL #AS2117 4.0% 04-01-2044
**
8,247

FNMA POOL #AS2369 3.5% 05-01-2029 BEO
**
1,073,890

FNMA POOL #AS3282 3% 10-01-2043 BEO
**
183,117

FNMA POOL #AS3293 4% 09-01-2044 BEO
**
925,289

FNMA POOL #AS4271 4.5% 01-01-2045 BEO
**
219,073


96
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AS4302 4% 01-01-2045 BEO
**
899,612

FNMA POOL #AS4354 4.5% 01-01-2045 BEO
**
1,690,756

FNMA POOL #AS4427 4.5% 02-01-2045 BEO
**
1,495,674

FNMA POOL #AS4431 4.5% 02-01-2045 BEO
**
837,313

FNMA POOL #AS5068 3.5% 06-01-2045 BEO
**
147,452

FNMA POOL #AS5103 3% 06-01-2030 BEO
**
1,560,765

FNMA POOL #AS5133 3.5% 06-01-2045 BEO
**
2,602,236

FNMA POOL #AS5598 4% 08-01-2045 BEO
**
1,228,222

FNMA POOL #AS5722 3.5% 09-01-2045 BEO
**
13,439,244

FNMA POOL #AS6065 3.5% 10-01-2045 BEO
**
340,731

FNMA POOL #AS6067 3.5% 10-01-2045 BEO
**
17,135,817

FNMA POOL #AS6286 4% 12-01-2045 BEO
**
2,431,785

FNMA POOL #AS6304 4% DUE 12-01-2045 BEO
**
3,602,801

FNMA POOL #AS6315 4% 12-01-2045 BEO
**
143,591

FNMA POOL #AS6328 3.5% 12-01-2045 BEO
**
3,957,907

FNMA POOL #AS6386 3% 12-01-2045 BEO
**
327,232

FNMA POOL #AS6395 3.5% 12-01-2045 BEO
**
193,924

FNMA POOL #AS6452 3.5% 01-01-2046 BEO
**
668,503

FNMA POOL #AS6489 4% DUE 01-01-2046 BEO
**
1,923,393

FNMA POOL #AS6534 3.5% 01-01-2046 BEO
**
6,474,509

FNMA POOL #AS7125 2.5% 05-01-2046 BEO
**
1,087,938

FNMA POOL #AS7155 3% 05-01-2046 BEO
**
960,790

FNMA POOL #AS7530 2.5% 07-01-2046 BEO
**
1,681,143

FNMA POOL #AS7533 3% 07-01-2046 BEO
**
3,350,413

FNMA POOL #AS7693 2% DUE 08-01-2031 BEO
**
1,571,479

FNMA POOL #AS7738 3% 08-01-2046 BEO
**
2,204,265

FNMA POOL #AS7844 3% 09-01-2046 BEO
**
1,695,249

FNMA POOL #AS7877 2.5% 09-01-2046 BEO
**
1,822,076

FNMA POOL #AS8143 4% 10-01-2046 BEO
**
311,703

FNMA POOL #AS8249 3% 11-01-2036 BEO
**
3,160,932

FNMA POOL #AS8269 3% 11-01-2046 BEO
**
19,027,837

FNMA POOL #AS8386 2.5% 11-01-2031 BEO
**
925,546

FNMA POOL #AS8980 4.5% 03-01-2047 BEO
**
2,765,492

FNMA POOL #AS9453 4% 04-01-2047 BEO
**
10,158,554

FNMA POOL #AS9588 4% 05-01-2047 BEO
**
6,361,008

FNMA POOL #AS9610 4.5% 05-01-2047 BEO
**
9,270,827

FNMA POOL #AT0162 2.5% DUE 03-01-2043 REG
**
462,599

FNMA POOL #AT0333 2.5% DUE 04-01-2043 REG
**
770,210

FNMA POOL #AT0874 POOL #AT0874 3% DUE 07-01-2043 REG
**
103,427

FNMA POOL #AT1572 3% DUE 05-01-2043 REG
**
2,156,504

FNMA POOL #AT2005 2.5% 04-01-2028 BEO
**
770,962

FNMA POOL #AT2008 2.5% DUE 04-01-2043 REG
**
522,328

FNMA POOL #AT2043 3% DUE 04-01-2043 REG
**
54,456

FNMA POOL #AT2722 3% DUE 05-01-2043 REG
**
974,375

FNMA POOL #AT2725 3% 05-01-2043 BEO
**
10,638,865

FNMA POOL #AT2894 2.5% DUE 05-01-2028 REG
**
191,811

FNMA POOL #AT3179 3% 05-01-2043 BEO
**
526,640


97
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AT3487 3.5% DUE 04-01-2043 REG
**
1,716,913

FNMA POOL #AT5198 2.5 DUE 05-01-2043 REG
**
441,437

FNMA POOL #AT5612 2.5% 04-01-2043 BEO
**
651,906

FNMA POOL #AT5690 3% 06-01-2043 BEO
**
44,238

FNMA POOL #AT5803 3% 06-01-2043 BEO
**
60,163

FNMA POOL #AT5907 4% 06-01-2043 BEO
**
851,596

FNMA POOL #AT5915 4 DUE 06-01-2043 REG
**
318,644

FNMA POOL #AT5994 3% 05-01-2043 BEO
**
195,766

FNMA POOL #AT6656 2.5% 05-01-2043 BEO
**
470,750

FNMA POOL #AT6764 3% 07-01-2043 BEO
**
49,242

FNMA POOL #AT7213 2.5% DUE 06-01-2028 BEO
**
68,993

FNMA POOL #AT7620 3% DUE 06-01-2043 REG
**
1,497,317

FNMA POOL #AT8000 3% 06-01-2043 BEO
**
123,846

FNMA POOL #AT8326 3% DUE 06-01-2043 BEO
**
1,999,356

FNMA POOL #AT8419 3 DUE 06-01-2043 REG
**
285,796

FNMA POOL #AT8489 3% DUE 08-01-2043 REG
**
2,313,395

FNMA POOL #AT8968 2.5% 07-01-2028 BEO
**
102,739

FNMA POOL #AT9250 3% 07-01-2043 BEO
**
2,088,637

FNMA POOL #AT9311 FIXED 2.5% 07-01-2028 BEO
**
107,408

FNMA POOL #AT9521 2.5% 07-01-2028 BEO
**
221,720

FNMA POOL #AU0317 3% 06-01-2043 BEO
**
184,669

FNMA POOL #AU0909 2% 07-01-2028 BEO
**
407,126

FNMA POOL #AU0923 3.5% 07-01-2043 BEO
**
550,301

FNMA POOL #AU1130 2.5% 09-01-2043 BEO
**
364,718

FNMA POOL #AU1629 3% DUE 07-01-2043 REG
**
152,385

FNMA POOL #AU1632 3% DUE 07-01-2043 REG
**
3,844,651

FNMA POOL #AU1811 2.5% 08-01-2028 BEO
**
106,312

FNMA POOL #AU2032 3% 07-01-2043 BEO
**
166,420

FNMA POOL #AU2909 3% 08-01-2028 BEO
**
887,600

FNMA POOL #AU3034 2.5% 08-01-2028 BEO
**
45,296

FNMA POOL #AU3176 3% DUE 08-01-2043 REG
**
161,414

FNMA POOL #AU3191 2.5% DUE 08-01-2028 REG
**
259,099

FNMA POOL #AU3195 3% 08-01-2043 BEO
**
144,014

FNMA POOL #AU3334 2.5% DUE 07-01-2028 REG
**
239,180

FNMA POOL #AU3732 2.5% 08-01-2043 BEO
**
989,197

FNMA POOL #AU3789 2.5% DUE 08-01-2028 REG
**
147,961

FNMA POOL #AU3811 3% DUE 08-01-2043 REG
**
109,599

FNMA POOL #AU4278 2.5% 09-01-2043 BEO
**
395,756

FNMA POOL #AU4585 3% 08-01-2043 BEO
**
103,214

FNMA POOL #AU5161 3 DUE 08-01-2043 REG
**
2,502,543

FNMA POOL #AU5190 2.5% 08-01-2028 BEO
**
188,329

FNMA POOL #AU5202 3% 08-01-2043 BEO
**
108,981

FNMA POOL #AU5904 3.5% 09-01-2033 BEO
**
424,939

FNMA POOL #AU8066 3% 09-01-2043 BEO
**
145,332

FNMA POOL #AV0702 4% 12-01-2043 BEO
**
307,588

FNMA POOL #AV0802 2.5% 08-01-2028 BEO
**
28,672

FNMA POOL #AV2425 4% 02-01-2045 BEO
**
185,195


98
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #AV4486 4.5% 01-01-2044 BEO
**
234,731

FNMA POOL #AV4502 4.5% 01-01-2044 BEO
**
187,375

FNMA POOL #AV4736 4% 12-01-2043 BEO
**
207,635

FNMA POOL #AV5425 4.5% 01-01-2044 BEO
**
1,293,504

FNMA POOL #AV5667 4% 01-01-2044 BEO
**
206,933

FNMA POOL #AV5730 4.5% 04-01-2044 BEO
**
604,319

FNMA POOL #AV5731 4.5% 04-01-2044 BEO
**
272,173

FNMA POOL #AV5732 4.5% 04-01-2044 BEO
**
166,659

FNMA POOL #AV5733 4.5% 04-01-2044 BEO
**
173,337

FNMA POOL #AV5734 4.5% 04-01-2044 BEO
**
324,774

FNMA POOL #AV7116 4.5% 03-01-2044 BEO
**
281,859

FNMA POOL #AV8492 4.5% 02-01-2044 BEO
**
425,233

FNMA POOL #AV9290 4.5% 02-01-2044 BEO
**
745,769

FNMA POOL #AW3146 4% 06-01-2044 BEO
**
496,014

FNMA POOL #AW9504 3% 01-01-2045 BEO
**
113,905

FNMA POOL #AX1348 4% 10-01-2044 BEO
**
29,203

FNMA POOL #AX3719 3.5% 07-01-2027 BEO
**
529,656

FNMA POOL #AX4277 3% 01-01-2045 BEO
**
951,454

FNMA POOL #AX4883 3% 12-01-2044 BEO
**
2,766,512

FNMA POOL #AX6579 3% 01-01-2045 BEO
**
140,346

FNMA POOL #AX7578 3% 01-01-2045 BEO
**
141,943

FNMA POOL #AY1022 3% 05-01-2045 BEO
**
1,361,628

FNMA POOL #AY1363 4% 04-01-2045 BEO
**
456,225

FNMA POOL #AY1377 4% DUE 04-01-2045 REG
**
389,667

FNMA POOL #AY3913 3.5% 02-01-2045 BEO
**
507,714

FNMA POOL #AY4869 4% 06-01-2045 BEO
**
541,273

FNMA POOL #AY5484 4% 12-01-2044 BEO
**
12,141

FNMA POOL #AY9434 4% 12-01-2045 BEO
**
182,351

FNMA POOL #AZ0711 3.5% 02-01-2046 BEO
**
94,366

FNMA POOL #AZ3743 3.5% 11-01-2045 BEO
**
1,693,649

FNMA POOL #AZ3926 4% 10-01-2045 BEO
**
13,990

FNMA POOL #AZ4234 3% 06-01-2030 BEO
**
4,123,309

FNMA POOL #AZ4775 3.5% 10-01-2045 BEO
**
8,305,014

FNMA POOL #AZ5713 4% 09-01-2045 BEO
**
1,268,331

FNMA POOL #AZ7353 3.5% 11-01-2045 BEO
**
746,033

FNMA POOL #B00968 4% DUE 06-01-2049
**
306,102

FNMA POOL #BA3779 4% 01-01-2046 BEO
**
12,641

FNMA POOL #BA4750 3.5% 01-01-2031 BEO
**
594,577

FNMA POOL #BA4766 4% 01-01-2046 BEO
**
392,079

FNMA POOL #BA4780 4% 01-01-2046 BEO
**
7,233,106

FNMA POOL #BA4801 4% 02-01-2046 BEO
**
1,508,300

FNMA POOL #BA5330 4% 11-01-2045 BEO
**
25,096

FNMA POOL #BA5827 3% 11-01-2030 BEO
**
583,359

FNMA POOL #BA6018 3% 01-01-2046 BEO
**
25,919

FNMA POOL #BA6555 3% 01-01-2046 BEO
**
44,039

FNMA POOL #BA6798 4% 01-01-2046 BEO
**
476,791

FNMA POOL #BA6824 3% 02-01-2046 BEO
**
657,590


99
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #BA6924 3% 02-01-2046 BEO
**
75,695

FNMA POOL #BC0884 3% 05-01-2046 BEO
**
1,528,401

FNMA POOL #BC1104 3% 02-01-2046 BEO
**
583,807

FNMA POOL #BC1509 3% 08-01-2046 BEO
**
1,341,509

FNMA POOL #BC2817 3% 09-01-2046 BEO
**
2,872,605

FNMA POOL #BC3020 3% 02-01-2046 BEO
**
776,997

FNMA POOL #BC3883 4% DUE 03-01-2046 BEO
**
998,927

FNMA POOL #BC4411 3.5% 03-01-2031 BEO
**
908,511

FNMA POOL #BC4764 3% 10-01-2046 BEO
**
1,638,544

FNMA POOL #BD5992 2.5% 07-01-2031 BEO
**
1,546,848

FNMA POOL #BD8104 3% 10-01-2046 BEO
**
1,972,047

FNMA POOL #BE9806 4.5% 03-01-2047 BEO
**
704,885

FNMA POOL #BE9838 4.5% 03-01-2047 BEO
**
729,491

FNMA POOL #BE9839 4.5% 04-01-2047 BEO
**
702,780

FNMA POOL #BF0035 4% 04-01-2055 BEO
**
71,310

FNMA POOL #BF0064 4% 09-01-2055 BEO
**
75,152

FNMA POOL #BF0104 4% 02-01-2056 BEO
**
4,252,009

FNMA POOL #BF0133 4% 08-01-2056 BEO
**
14,676,473

FNMA POOL #BF0183 4% 01-01-2057 BEO
**
2,441,447

FNMA POOL #BF0191 4% 06-01-2057 BEO
**
4,973,968

FNMA POOL #BF0222 4.5% 09-01-2057 BEO
**
2,994,126

FNMA POOL #BF0299 3.5% 08-01-2058 BEO
**
296,268

FNMA POOL #BF0334 3.5% 01-01-2059 BEO
**
408,299

FNMA POOL #BH2623 4% DUE 08-01-2047 BEO
**
24,965,309

FNMA POOL #BH4101 3.5% 10-01-2047 BEO
**
4,391,910

FNMA POOL #BH6197 4% 07-01-2047 BEO
**
751,675

FNMA POOL #BH6198 4% 07-01-2047 BEO
**
1,212,489

FNMA POOL #BH6199 4% 07-01-2047 BEO
**
1,424,672

FNMA POOL #BJ0669 3.5% 03-01-2033 BEO
**
1,471,996

FNMA POOL #BJ1635 3% 11-01-2032 BEO
**
1,828,443

FNMA POOL #BJ2544 3% 12-01-2037 BEO
**
1,166,469

FNMA POOL #BJ5803 4% DUE 03-01-2048 BEO
**
919,456

FNMA POOL #BJ8078 3.5% 03-01-2048 BEO
**
431,214

FNMA POOL #BJ8703 3.5% 05-01-2049 BEO
**
202,433

FNMA POOL #BJ9249 4.5% 06-01-2048 BEO
**
1,110,645

FNMA POOL #BK0751 3.5% 03-01-2048 BEO
**
352,234

FNMA POOL #BK0806 4% 04-01-2048 BEO
**
8,288,709

FNMA POOL #BK5094 5% 05-01-2048 BEO
**
1,679,057

FNMA POOL #BK5710 4% 04-01-2048 BEO
**
1,754,889

FNMA POOL #BK7608 4% 09-01-2048 BEO
**
28,395,657

FNMA POOL #BK8753 4.5% 06-01-2049 BEO
**
1,363,848

FNMA POOL #BK8814 4.5% 08-01-2048 BEO
**
1,698,581

FNMA POOL #BK8893 4% 10-01-2048 BEO
**
22,371,714

FNMA POOL #BK9849 4% 09-01-2033 BEO
**
1,079,489

FNMA POOL #BL0405 3.64% DUE 11-01-2028 BEO
**
647,593

FNMA POOL #BL2201 3.35% DUE 05-01-2029 BEO
**
234,587

FNMA POOL #BL2321 3.16% DUE 06-01-2029 BEO
**
5,160,707


100
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #BL2576 3.04% DUE 06-01-2029 BEO
**
1,052,179

FNMA POOL #BL3152 2.84% DUE 08-01-2031 BEO
**
307,573

FNMA POOL #BL3413 2.87% DUE 07-01-2031 BEO
**
205,639

FNMA POOL #BL3432 2.84% DUE 08-01-2031 BEO
**
410,138

FNMA POOL #BL3522 2.52% DUE 10-01-2029 BEO
**
221,893

FNMA POOL #BL3540 2.79% DUE 08-01-2029 BEO
**
2,680,481

FNMA POOL #BL3561 2.74% DUE 08-01-2029 BEO
**
821,260

FNMA POOL #BL3648 2.85% 08-01-2031 BEO
**
841,464

FNMA POOL #BL3700 2.92% DUE 08-01-2031 BEO
**
102,818

FNMA POOL #BL3728 2.87% 08-01-2031 BEO
**
103,185

FNMA POOL #BL3729 2.765% 08-01-2031 BEO
**
508,886

FNMA POOL #BL3731 2.765% 08-01-2031 BEO
**
101,777

FNMA POOL #BL3733 2.81% 08-01-2031 BEO
**
919,930

FNMA POOL #BL3771 2.77% 08-01-2031 BEO
**
1,221,927

FNMA POOL #BL3774 2.765% 08-01-2031 BEO
**
203,554

FNMA POOL #BL3775 2.765% 08-01-2031 BEO
**
508,886

FNMA POOL #BL3776 2.765% 08-01-2031 BEO
**
305,331

FNMA POOL #BL3975 2.4% 10-01-2031 BEO
**
1,345,019

FNMA POOL #BL4018 2.67% DUE 09-01-2031 BEO
**
201,803

FNMA POOL #BL5081 2.63% DUE 05-01-2030 BEO
**
2,247,984

FNMA POOL #BM1565 3% 04-01-2047 BEO
**
3,341,779

FNMA POOL #BM1775 4.5% 07-01-2047 BEO
**
934,077

FNMA POOL #BM3119 1.8% 02-01-2047 BEO
**
2,063,460

FNMA POOL #BM3280 4.5% 11-01-2047 BEO
**
10,355,248

FNMA POOL #BM3473 3.5% 11-01-2047 BEO
**
1,249,540

FNMA POOL #BM3724 3.5% 03-01-2048 BEO
**
35,000,616

FNMA POOL #BM3855 4% 03-01-2048 BEO
**
2,894,782

FNMA POOL #BM3904 5% 05-01-2048 BEO
**
2,189,932

FNMA POOL #BM4579 3% 04-01-2047 BEO
**
7,316,513

FNMA POOL #BM4676 4% 10-01-2048 BEO
**
3,013,470

FNMA POOL #BM4716 3.5% 12-01-2030 BEO
**
627,626

FNMA POOL #BM4733 3.5% 07-01-2032 BEO
**
933,534

FNMA POOL #BM4750 3.5% 02-01-2045 BEO
**
470,484

FNMA POOL #BM4751 3.5% 03-01-2043 BEO
**
2,659,899

FNMA POOL #BM4897 3.5% 12-01-2046 BEO
**
3,668,249

FNMA POOL #BM5082 4.5% 11-01-2048 BEO
**
3,579,550

FNMA POOL #BM5184 4% 09-01-2033 BEO
**
2,671,411

FNMA POOL #BM5261 4% 01-01-2048 BEO
**
13,607,458

FNMA POOL #BM5521 3.5% 07-01-2048 BEO
**
5,506,283

FNMA POOL #BM5568 4.5% 02-01-2049 BEO
**
4,732,929

FNMA POOL #BM5793 3% 04-01-2049 BEO
**
101,467

FNMA POOL #BN0341 5% DUE 12-01-2048 REG
**
3,816,106

FNMA POOL #BN5424 3.5% DUE 04-01-2049 REG
**
3,329,943

FNMA POOL #BN5943 3.0% 06-01-2049
**
100,339

FNMA POOL #BN6683 3.5% DUE 06-01-2049 REG
**
94,991

FNMA POOL #BN7876 3.0% 06-01-2049
**
100,654

FNMA POOL #BN8264 3.5% DUE 05-01-2049 REG
**
3,764,439


101
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #BN8577 3.0% 07-01-2049
**
97,960

FNMA POOL #BO0955 3.5% DUE 06-01-2049 REG
**
301,761

FNMA POOL #BO1205 3.0% 06-01-2049
**
897,227

FNMA POOL #BO1858 3.0% DUE 08-01-2049
**
405,103

FNMA POOL #BO1864 3.0% DUE 08-01-2049 REG
**
102,702

FNMA POOL #BO2234 3.5% DUE 09-01-2034
**
6,280,759

FNMA POOL #BO2252 3.5% DUE 10-01-2049
**
10,240,236

FNMA POOL #BO2256 3% DUE 10-01-2049 REG
**
8,198,088

FNMA POOL #BO2822 3.0% 10-01-2049
**
202,505

FNMA POOL #BO2864 3.0% 10-01-2049
**
1,307,711

FNMA POOL #BO3106 3.0% 10-01-2049
**
897,548

FNMA POOL #BO3815 3.0% 08-01-2049
**
2,366,897

FNMA POOL #BO5586 3% 09-01-2049 REG
**
290,743

FNMA POOL #BO5632 3.0% 09-01-2049
**
99,109

FNMA POOL #BO8893 3.0% 01-01-2050
**
307,472

FNMA POOL #BO8932 3.0% DUE 01-01-2050
**
307,472

FNMA POOL #BO9217 3% DUE 12-01-2049 REG
**
1,523,559

FNMA POOL #CA0789 3.5% 11-01-2032
**
1,398,243

FNMA POOL #CA0858 3.5% 12-01-2047
**
2,184,859

FNMA POOL #CA0907 3.5% DUE 12-01-2047
**
1,324,962

FNMA POOL #CA1576 5.0% DUE 01-01-2048 REG
**
897,863

FNMA POOL #CA2756 5% DUE 11-01-2048 REG
**
2,141,927

FNMA POOL #CA2855 4.5% DUE 12-01-2048
**
376,469

FNMA POOL #CA3283 4.0% 03-01-2034
**
2,896,748

FNMA POOL #CA3285 4.0% 03-01-2034
**
3,081,160

FNMA POOL #CA3287 4.0% 03-01-2034
**
722,189

FNMA POOL #CA3288 4.0% 04-01-2034
**
4,077,697

FNMA POOL #CA3471 3.5% 05-01-2049
**
2,808,582

FNMA POOL #CA3478 3.5% DUE 05-01-2049 REG
**
2,155,794

FNMA POOL #CA3634 3.5% DUE 06-01-2049 REG
**
1,414,007

FNMA POOL #CA3637 3.5% DUE 06-01-2049
**
1,402,186

FNMA POOL #CA3657 3.5% DUE 06-01-2049 REG
**
2,313,274

FNMA POOL #CA3661 3.5% DUE 06-01-2049 REG
**
1,557,201

FNMA POOL #CA3809 3% DUE 07-01-2049 REG
**
1,385,152

FNMA POOL #CA3860 3.5% 07-01-2049
**
5,226,486

FNMA POOL #CA3876 3.5% DUE 07-01-2049
**
1,195,997

FNMA POOL #CA4110 3.0% DUE 09-01-2049
**
7,969,660

FNMA POOL #CA4121 3.0% 09-01-2049
**
8,413,685

FNMA POOL #CA4133 3.0% DUE 09-01-2049
**
3,735,677

FNMA POOL #CA4248 3.0% 09-01-2049
**
299,622

FNMA POOL #CA4346 3% DUE 10-01-2049 REG
**
509,591

FNMA POOL #FM1035 4% 05-01-2034 BEO
**
1,544,179

FNMA POOL #FM1238 4% 03-01-2049 BEO
**
14,767,609

FNMA POOL #FM1245 4% 09-01-2033 BEO
**
22,908,123

FNMA POOL #FM1341 3% 08-01-2049 BEO
**
1,185,554

FNMA POOL #FM1458 4.5% 04-01-2049 BEO
**
961,082

FNMA POOL #FM1467 3% 12-01-2047 BEO
**
4,545,507


102
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #FM1503 3% 09-01-2049 BEO
**
1,815,099

FNMA POOL #FM1578 3.5% 09-01-2034 BEO
**
5,942,665

FNMA POOL #FM1579 3.5% 10-01-2034 BEO
**
4,188,080

FNMA POOL #FM1637 4.5% 05-01-2049 BEO
**
3,725,271

FNMA POOL #FM1796 3.5% 10-01-2034 BEO
**
205,487

FNMA POOL #FM1867 3% 11-01-2049 BEO
**
3,021,490

FNMA POOL #FM1921 4% 08-01-2049 BEO
**
199,511

FNMA POOL #FM1962 3.5% 11-01-2049 BEO
**
1,657,152

FNMA POOL #FM2091 3.5% 12-01-2049 BEO
**
4,284,646

FNMA POOL #FNAT5995 3 DUE 05-01-2043 REG
**
125,382

FNMA POOL #G67717 4.0% DUE 11-01-2048 REG
**
1,331,666

FNMA POOL #MA0006 4% 03-01-2039 BEO
**
12,724

FNMA POOL #MA0214 5% 10-01-2029 BEO
**
349,285

FNMA POOL #MA0243 5% 11-01-2029 BEO
**
277,200

FNMA POOL #MA0295 5% 01-01-2030 BEO
**
158,537

FNMA POOL #MA0320 5% 02-01-2030 BEO
**
102,392

FNMA POOL #MA0583 4% 12-01-2040 BEO
**
5,267

FNMA POOL #MA0706 4.5% 04-01-2031 BEO
**
154,809

FNMA POOL #MA0734 4.5% DUE 05-01-2031 BEO
**
481,334

FNMA POOL #MA0776 4.5% DUE 06-01-2031 BEO
**
490,549

FNMA POOL #MA0816 4.5% 08-01-2031 BEO
**
372,514

FNMA POOL #MA0833 3% DUE 08-01-2021 BEO
**
21,447

FNMA POOL #MA0913 4.5% 11-01-2031 BEO
**
333,358

FNMA POOL #MA0939 4.5% 12-01-2031 BEO
**
401,404

FNMA POOL #MA0968 4.5% 12-01-2031 BEO
**
75,936

FNMA POOL #MA1044 3% DUE 04-01-2042 BEO
**
154,796

FNMA POOL #MA1045 3% 04-01-2027 BEO
**
633,553

FNMA POOL #MA1125 4 07-01-2042 BEO
**
346,707

FNMA POOL #MA1146 4% 08-01-2042 BEO
**
3,606,612

FNMA POOL #MA1177 3.5% 09-01-2042 BEO
**
244,608

FNMA POOL #MA1177 3.5% 09-01-2042 BEO
**
282,240

FNMA POOL #MA1213 3.5% DUE 10-01-2042 BEO
**
240,721

FNMA POOL #MA1221 4.5% 09-01-2042 BEO
**
77,086

FNMA POOL #MA1253 4% 11-01-2042 BEO
**
1,001,756

FNMA POOL #MA1272 3% 12-01-2042 BEO
**
1,134,708

FNMA POOL #MA1373 3.5% 03-01-2043 BEO
**
578,824

FNMA POOL #MA1412 2.5% 04-01-2043 BEO
**
526,538

FNMA POOL #MA1458 3% 06-01-2043 BEO
**
959,066

FNMA POOL #MA1463 3.5% 06-01-2043 BEO
**
1,348,718

FNMA POOL #MA1493 2.5% 06-01-2043 BEO
**
339,902

FNMA POOL #MA1500 2% 07-01-2023 BEO
**
731,772

FNMA POOL #MA1508 3.5% 07-01-2043 BEO
**
374,110

FNMA POOL #MA1510 4% 07-01-2043 BEO
**
428,823

FNMA POOL #MA1510 4% 07-01-2043 BEO
**
52,616

FNMA POOL #MA1546 3.5% DUE 08-01-2043 BEO
**
483,136

FNMA POOL #MA1547 4% 08-01-2043 BEO
**
346,901

FNMA POOL #MA1553 2.5% 08-01-2028 BEO
**
1,302,609


103
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #MA1582 3.5% DUE 09-01-2043 BEO
**
2,435,830

FNMA POOL #MA1591 4.5% 09-01-2043 BEO
**
273,132

FNMA POOL #MA1591 4.5% 09-01-2043 BEO
**
1,092,527

FNMA POOL #MA1629 4.5% 10-01-2043 BEO
**
274,889

FNMA POOL #MA1629 4.5% 10-01-2043 BEO
**
989,601

FNMA POOL #MA1664 4.5% 11-01-2043 BEO
**
679,708

FNMA POOL #MA1693 2% 11-01-2023 BEO
**
208,871

FNMA POOL #MA1711 4.5% 12-01-2043 BEO
**
215,589

FNMA POOL #MA1711 4.5% 12-01-2043 BEO
**
808,459

FNMA POOL #MA1713 2% 11-01-2023 BEO
**
440,471

FNMA POOL #MA1728 5% 11-01-2033 BEO
**
165,319

FNMA POOL #MA2516 3% 01-01-2046 BEO
**
1,050,940

FNMA POOL #MA2728 2.5% 08-01-2031 BEO
**
1,531,632

FNMA POOL #MA2806 3% DUE 11-01-2046 REG
**
12,442,284

FNMA POOL #MA2863 3% DUE 01-01-2047 BEO
**
7,855,250

FNMA POOL #MA2930 4% 03-01-2047 BEO
**
509,830

FNMA POOL #MA2960 4% 04-01-2047 BEO
**
3,130,408

FNMA POOL #MA2995 4% 05-01-2047 BEO
**
2,546,580

FNMA POOL #MA3058 4% 07-01-2047 BEO
**
427,625

FNMA POOL #MA3060 3% 07-01-2032 BEO
**
3,558,152

FNMA POOL #MA3090 3% 08-01-2032 BEO
**
69,919

FNMA POOL #MA3182 3.5% 11-01-2047 BEO
**
9,101,896

FNMA POOL #MA3183 4% 11-01-2047 BEO
**
842,561

FNMA POOL #MA3187 2.5% 11-01-2032 BEO
**
1,907,999

FNMA POOL #MA3210 3.5% 12-01-2047 BEO
**
170,770

FNMA POOL #MA3211 4% 12-01-2047 BEO
**
1,894,028

FNMA POOL #MA3217 2.5% 12-01-2032 BEO
**
4,406,017

FNMA POOL #MA3238 3.5% 01-01-2048
**
83,864

FNMA POOL #MA3239 4% 01-01-2048 BEO
**
4,175,276

FNMA POOL #MA3246 2.5% 01-01-2033 BEO
**
24,447,623

FNMA POOL #MA3305 3.5% 03-01-2048 BEO
**
56,448,627

FNMA POOL #MA3333 4% 04-01-2048 BEO
**
412,898

FNMA POOL #MA3356 3.5% 05-01-2048 BEO
**
15,627,846

FNMA POOL #MA3383 3.5% 06-01-2048 BEO
**
66,177,643

FNMA POOL #MA3384 4% 06-01-2048 BEO
**
4,618,178

FNMA POOL #MA3385 4.5% 06-01-2048 BEO
**
2,672,506

FNMA POOL #MA3415 4% 07-01-2048 BEO
**
1,190,605

FNMA POOL #MA3442 3.5% 08-01-2048 BEO
**
6,789,207

FNMA POOL #MA3467 4% 09-01-2048 BEO
**
1,284,623

FNMA POOL #MA3495 4% DUE 10-01-2048 BEO
**
55,249,158

FNMA POOL #MA3501 5% 10-01-2048 BEO
**
2,327,021

FNMA POOL #MA3536 4% 12-01-2048 BEO
**
23,049,675

FNMA POOL #MA3564 4.5% 01-01-2049 BEO
**
35,605,351

FNMA POOL #MA3685 3% 06-01-2049 BEO
**
101,435

FNMA POOL #MA3744 3% 08-01-2049 BEO
**
1,523,304

FNMA POOL #MA3765 2.5% 09-01-2049 BEO
**
2,869,774

FNMA POOL #MA3801 2.5% 10-01-2049 BEO
**
3,959,223


104
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA POOL #MA3802 3% 10-01-2049 BEO
**
2,029,268

FNMA POOL #MA3804 4% 10-01-2049 BEO
**
3,588,511

FNMA POOL #MA3833 2.5% 11-01-2049 BEO
**
982,952

FNMA POOL #MA3870 2.5% 12-01-2049 BEO
**
2,667,507

FNMA POOL #MA3871 3% 12-01-2049 BEO
**
18,210,683

FNMA POOL #MA3905 3% 01-01-2050 BEO
**
2,231,507

FNMA POOL AM8674 2.81% 04-01-2025
**
174,781

FNMA POOL AT3389 3 DUE 08-01-2043 REG
**
558,598

FNMA POOL AU4346 3.5 DUE 07-01-2043 REG
**
982,310

FNMA POOL BN9558 3.0% 07-01-2049
**
1,697,239

FNMA POOL CA0243 4.5% DUE 08-01-2047
**
543,788

FNMA POOL# BO3074 3.0% DUE 08-01-2049
**
763,732

FNMA POOL# CA4078 3.0% DUE 09-01-2049
**
1,504,419

FNMA POOL#BO2218 3.5% 09-01-2034
**
7,663,852

FNMA POOL#CA1535 3.5% 02-01-2048 REG
**
22,876,097

FNMA POOL#RA1493 3.0% 10-01-2049
**
4,967,666

FNMA PREASSIGN 00800 5.5 03-25-2033
**
67,033

FNMA REMIC 2004-40 CL-FY FRN 05-25-2034
**
1,247,291

FNMA REMIC 2017-77 CL-CA 2.0% DUE 10-25-2047
**
1,244,140

FNMA REMIC SER 2015-M7 CLS A2 2.59% 12-25-2024
**
1,279,247

FNMA REMIC SER 10-21 CL FA FLTG 03-25-2040
**
3,967,762

FNMA REMIC SER 12-128 CL JC 1.5% 09-25-2042
**
2,979,177

FNMA REMIC SER 13-129 CL WT 2.5% DUE 11-25-2027
**
558,239

FNMA REMIC SER 13-135 CL GA 3.0% 07-25-2032
**
356,786

FNMA REMIC SER 13-37 CL JA 1.75% DUE 06-25-2042
**
590,340

FNMA REMIC SER 16-49 CL-BA 2.5% 11-25-2041
**
839,485

FNMA REMIC SER 16-60 CL Q 1.75% 09-25-2046
**
1,595,011

FNMA REMIC SER 18-41 CL QB 3.5% FIXED 11-25-2043
**
947,692

FNMA REMIC SER 2003-W1 CL IA-1 5.29156 12-25-2042
**
103,390

FNMA REMIC SER 2003-W15 CL 1A1 6.5 07-25-2043
**
62,370

FNMA REMIC SER 2005-70 CL NA 5.5 08-25-2035
**
33,319

FNMA REMIC SER 2007-73 CL A1 FLT RT 07-25-2037
**
281,263

FNMA REMIC SER 2012-19 CL BG 2.0% 12-25-2039
**
332,077

FNMA REMIC SER 2013-133 CL-LA 3.0% 01-25-2033
**
1,322,997

FNMA REMIC SER 2013-88 CL-CA 2.5% 08-25-2038
**
190,659

FNMA REMIC SER 2013-9 CL CB 5.50 04-25-2042
**
2,946,092

FNMA REMIC SER 2013-90 CL A 4.0% 11-25-2038
**
658,386

FNMA REMIC SER 2014-M1 CL A2 FLTG RT 07-25-2023
**
422,823

FNMA REMIC SER 2015-33 CL-P 2.5% DUE 06-25-2045
**
2,258,637

FNMA REMIC SER 2015-M12 CL A1 2.331% 04-25-2025
**
2,712,647

FNMA REMIC SER 2017-30 CL E 3.0% 07-25-2043 REG
**
11,038,499

FNMA REMIC SER-2018-MP CL-APT2 VAR 04-25-2028
**
209,814

FNMA REMIC SR 10-134 CL DJ 2.25% 03-25-2039
**
250,349

FNMA REMIC SR 11-127 CL UC 2.5% 06-25-2039
**
470,359

FNMA REMIC SR 12-128 CL QC 1.75% 06-25-2042
**
467,741

FNMA REMIC SR 12-146 CL KC 2.0% 11-25-2042
**
399,041

FNMA REMIC SR 13-129 CL CE 2.5% 10-25-2031
**
408,675


105
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA REMIC SR 15-64 CL-E 3.0% 06-25-2039
**
4,844,782

FNMA REMIC SR 2009-88 CL-MA 4.5% 10-25-2039
**
55,261

FNMA REMIC SR 2010-149 CL VA 4.5% 02-25-2022
**
2,332,735

FNMA REMIC SR 2014-59 CL-CA 1.5% DUE 08-25-2040
**
336,022

FNMA REMIC SR 2017-46 CLLB 3.5 12-25-2052
**
752,459

FNMA REMIC SR 2019-M19 CL A2 2.56% 12-31-2049
**
1,877,049

FNMA REMIC TR 18-35 CL-EA 3.0% 05-25-2048
**
9,114,398

FNMA REMIC TR 1994-29 CL Z 6.5 02-25-2024
**
20,567

FNMA REMIC TR 2001-81 CL-HE 6.5 01-25-2032
**
407,907

FNMA REMIC TR 2004-38 CL-FK FLTG RATE 05-25-2034
**
187,301

FNMA REMIC TR 2004-W1 CL-1A7 5.681 11-25-2043
**
264,329

FNMA REMIC TR 2005-64 CL-PL 5.5% 07-25-2035
**
574,044

FNMA REMIC TR 2006-30 CL-KF VAR RATE 05-25-2036
**
62,154

FNMA REMIC TR 2006-48 CL-TF VAR RATE 06-25-2036
**
30,646

FNMA REMIC TR 2006-9 CL-KZ 6 03-25-2036
**
155,658

FNMA REMIC TR 2007-100 CL-YF FLT RATE DUE 10-25-2037
**
413,784

FNMA REMIC TR 2009-29 CL-LA VAR RATE 05-25-2039
**
727,632

FNMA REMIC TR 2009-62 CL-HJ 6 05-25-2039
**
171,923

FNMA REMIC TR 2009-87 CL-NF VAR RATE 11-25-2039
**
855,607

FNMA REMIC TR 2010-107 CL-KF FLTG RATE 03-25-2036
**
222,269

FNMA REMIC TR 2010-134 CL-KZ PRIN ONLY 4.5 12-25-2040
**
1,520,563

FNMA REMIC TR 2010-135 CL-BM 4.0% DUE 12-25-2040
**
2,247,651

FNMA REMIC TR 2010-26 CL-F FLTG RATE DUE 11-25-2036
**
3,606,292

FNMA REMIC TR 2010-43 CL-MC 3.5 DUE 05-25-2040 REG
**
32,617

FNMA REMIC TR 2011-44 CL-EB 3 05-25-2026
**
723,543

FNMA REMIC TR 2012-33 CL-CD 2.0% DUE 03-25-2027
**
1,515,371

FNMA REMIC TR 2012-45 CL-PH 3.5 12-25-2039
**
56,358

FNMA REMIC TR 2012-54 CL-WA 3.0% DUE 04-25-2032 REG
**
158,315

FNMA REMIC TR 2012-68 CL-NA 2 DUE 03-25-2042 REG
**
1,903,231

FNMA REMIC TR 2012-73 CL-MC 2 05-25-2039
**
336,175

FNMA REMIC TR 2012-90 CL-DA 1.5 03-25-2042
**
412,773

FNMA REMIC TR 2013-118 CL-YA 3.0% DUE 07-25-2028
**
256,561

FNMA REMIC TR 2013-20 CL-YC 1.75% 03-25-2042
**
2,078,327

FNMA REMIC TR 2013-53 CL-CL 3 06-25-2037
**
1,152,487

FNMA REMIC TR 2013-57 CL-DG 3.5 06-25-2028
**
350,888

FNMA REMIC TR 2013-58 CL-KJ 3 DUE 02-25-2043
**
6,431,587

FNMA REMIC TR 2013-59 CL-HC 1.5 06-25-2028
**
408,124

FNMA REMIC TR 2013-6 CL-NE 2.0% DUE 11-25-2032 REG
**
300,613

FNMA REMIC TR 2013-62 CL-QA 3 06-25-2037
**
1,679,498

FNMA REMIC TR 2013-71 CL-AC 2 03-25-2038
**
264,757

FNMA REMIC TR 2013-86 CL-LC 3 02-25-2043
**
933,227

FNMA REMIC TR 2013-93 CL-PJ 3 07-25-2042 REG
**
1,551,085

FNMA REMIC TR 2013-96 CL-FY VAR RATE 07-25-2042
**
3,498,606

FNMA REMIC TR 2013-M6 CL-1AC VAR RATE DUE 02-25-2043
**
187,487

FNMA REMIC TR 2014-20 CL-HK 1.5 01-25-2040
**
224,070

FNMA REMIC TR 2014-26 CL-HC 2.5 02-25-2028
**
3,099,422

FNMA REMIC TR 2014-27 CL-BA 3 05-25-2039
**
828,042


106
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA REMIC TR 2014-32 CL-DK 3.0% 08-25-2043
**
976,917

FNMA REMIC TR 2015-53 CL-MA 2.5 06-25-2045
**
2,258,642

FNMA REMIC TR 2015-79 CL-FE VAR RATE 11-25-2045
**
241,965

FNMA REMIC TR 2015-94 CL-EP 3 07-25-2043
**
2,494,416

FNMA REMIC TR 2015-M9 CL-A1 VAR RATE 06-25-2025
**
2,838,091

FNMA REMIC TR 2016-100 CL-WF VAR RATE 01-25-2047
**
5,338,736

FNMA REMIC TR 2016-12 CL-EG 2 05-25-2032
**
1,254,240

FNMA REMIC TR 2016-2 CL-WA 3.5 05-25-2041
**
1,466,702

FNMA REMIC TR 2016-84 CL-DF VAR RATE 11-25-2046
**
3,203,050

FNMA REMIC TR 2016-97 CL-CF VAR RATE 12-25-2056
**
850,369

FNMA REMIC TR 2016-M3 CL-A1 2.256% 02-25-2026
**
4,305,655

FNMA REMIC TR SER 06-106 CL FC FLTG DUE 11-25-2036 REG
**
910,899

FNMA REMIC TR SER 13-99 CL BD 2% 08-25-2041
**
498,300

FNMA REMIC TR SER 1994-15 CL ZK 5.5 GTD MTG PASS THRU CTF DUE 02-25-2024 REG
**
191,130

FNMA REMIC TR SER 2013-12 CL-P 1.75% DUE 11-25-2041 REG
**
4,282,076

FNMA REMIC TR SR 12-128 CL WB 1.5% 10-25-2032
**
2,039,667

FNMA REMIC TR SR 2010-130 CL-EF VAR RATE 11-25-2040
**
269,744

FNMA REMIC TR SR 2010-135 CL-CA 2.0% 04-25-2040
**
296,668

FNMA REMIC TRANCHE SR 2019-M21 CL 1A1 1.95% 12-31-2049
**
5,013,151

FNMA REMICSER 2012-49 CL-QJ 1.75% 12-25-2040
**
378,727

FNMA SER 07-15 CL CF FLT RT DUE 03-25-2037 REG
**
290,932

FNMA SER 10-118 CLS FN VAR RT 10-25-2040
**
10,458,568

FNMA SER 10-57 CL HA 3.5% 02-25-2040
**
209,552

FNMA SER 12-139 CL CA 2.0% 11-25-2042 REG
**
1,140,894

FNMA SER 12-35 CL PL 2.0% DUE 11-25-2041 REG
**
479,682

FNMA SER 12-93 CL FL FLTG DUE 09-25-2032 BEO
**
1,801,663

FNMA SER 13-137 CL BA 1.5% 01-25-2029
**
1,859,636

FNMA SER 13-4 CLS GB 3.92 02-25-2043
**
1,272,154

FNMA SER 13-6 CLS NC 1.5% 11-25-2032
**
2,076,204

FNMA SER 14-35 CLS CA 3.5 06-25-2044
**
2,050,329

FNMA SER 14-5 CLS JC 2.5% 06-25-2041
**
433,118

FNMA SER 14-67 CL HC 3.0% 03-25-2044
**
238,230

FNMA SER 15-79 CLS FA FLTG 11-25-2045
**
8,464,330

FNMA SER 16-8 CLS HA 3.0% 06-25-2027
**
300,767

FNMA SER 17-M3 CL A1 FLTG RT DUE 12-25-2026 REG
**
2,139,577

FNMA SER 18-49 CL CA 4.0% 12-25-2042
**
9,496,385

FNMA SER 19-28 CL FJ FLTG DUE 06-25-2059 REG
**
4,064,302

FNMA SER 2010-54 CL FT FRN 04-25-2037
**
1,935,727

FNMA SER 2010-58 CL NK 3% 05-25-2040
**
22,787

FNMA SER 2010-64 CL DM 05/01/2010 5 06/25/2040
**
215,160

FNMA SER 2011-146 CL NB 4 09-25-2041
**
443,744

FNMA SER 2011-4 CL PK 3.0% 04-25-2040
**
100,156

FNMA SER 2012-102 CL GA 1.375 DUE 09-25-2027 REG
**
2,889,849



107
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA SER 2012-145 CL DC 1.5 DUE 01-25-2028
**
544,394

FNMA SER 2012-28 CL B 6.5 06-25-2039
**
69,690

FNMA SER 2013-23 CL-NH 2% 03-25-2028
**
680,648

FNMA SER 2013-9 CL BC 6.5 07-25-2042
**
1,684,329

FNMA SER 2013-M7 CL A2 2.27999997139 12-27-2022
**
224,275

FNMA SER 2014-23 CL PA 3.5 08-25-2036
**
911,066

FNMA SER 2017-M12 CL A2 FLTG RT 06-25-2027
**
398,866

FNMA SER 2017-M5 CL A2 3.303% 04-25-2029
**
251,460

FNMA SER 2017-T1 CL A 2.898% DUE 06-25-2027 REG
**
514,049

FNMA SER 2017-T1 CL A 2.898% DUE 06-25-2027 REG
**
409,601

FNMA SER 2018-M10 CLS A1 VAR RT 07-25-2028
**
7,987,459

FNMA SER 2018-M2 CL A1 VAR 01-25-2028
**
7,913,456

FNMA SER 2018-M3 CL A2 3.1935% 02-25-2030
**
362,651

FNMA SER 2018-M4 CL A2 VAR RT DUE 03-25-2028 REG
**
505,415

FNMA SER 2019-M1 CL A1 FIXED 3.355% 06-25-2028
**
9,496,237

FNMA SER 2019-M1 CL A2 FLTG 01-25-2028 REG
**
5,244,446

FNMA SER 2019-M18 CL A1 2.079% 04-25-2029
**
13,176,062

FNMA SER 2019-M25 CLS A1 2.142 09-25-2029
**
8,912,774

FNMA SER 2019-M25 CLS AV1 2.05 10-25-2025
**
6,669,352

FNMA SER 2019-M4 CL A2 3.61% 02-25-2031 REG
**
1,086,619

FNMA SER 2019-M5 CLS A1 3.009% 06-25-2028
**
11,959,771

FNMA SER 3877 CL FA VAR RT 11-15-2040
**
1,316,898

FNMA SER 4544 CL CA 3.5 06-15-2042
**
1,160,277

FNMA SERIES 2013-96 CLASS YA 3.5 09-25-2038
**
201,078

FNMA SINGLE FAMILY MORTGAGE 0% 30 YEARS SETTLES JANUARY
**
435

FNMA SINGLE FAMILY MORTGAGE 4% 30 YEARS SETTLES FEBRUARY
**
(8,994,533
)
FNMA SR 06-101 CL FC VAR RT 07-25-2036
**
272,830

FNMA SR 18-M14 CL A1 FLTG 08-25-2028
**
6,313,073

FNMA SR 2017-M7 CL A2 VAR RT 02-25-2027
**
230,451

FNMA SR 2018-M13 CL A1 VAR DUE 03-25-2030 REG
**
4,879,331

FNMA SR 2019-M21 CL 2A1 2.0% 01-25-2030
**
8,085,854

FNMA TRANCHE 00152 1.848% 11-25-2028
**
13,046,925

FNMA TRANCHE 00633 1.754% DUE 05-25-2033REG
**
5,079,400

FNMA TRANCHE 00641 1.375 02-26-2021
**
4,832,814

FNMA TRANCHE 00689 1.875 09-24-2026
**
539,033

FNMA TRANCHE 00743 3.5 10-25-2037
**
61,321

FNMA TRANCHE 00743 3.5 10-25-2037
**
1,203,057

FNMA TRANCHE 00766 2.25 12-25-2032
**
1,523,738

FNMA TRANCHE 02-25-2026
**
1,576,419

FNMA TRANCHE 05-25-2027
**
401,615

FNMA TRANCHE 12-25-2026
**
543,637

FNMA TRANCHE 2 01-05-2022
**
6,066,397

FNMA TRANCHE 2.15656 10-25-2023
**
3,191,632

FNMA TRANCHE 2.375 04-25-2026
**
3,907,423

FNMA TRANCHE 2.654 12-25-2026
**
9,383,267

FNMA TRANCHE 2.875% 09-12-2023
**
553,244

FNMA TRANCHE 3 01-25-2046
**
320,918


108
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FNMA TRANCHE 3.5 08-25-2042
**
6,419,749

FNMA TRANCHE 3.5 10-25-2042
**
2,022,837

FNMA TRANCHE 4.00 10-25-2040
**
2,272,845

FNMA TRANCHE SER 2018-57 CL QA 4.5% DUE 05-25-2046 REG
**
3,170,797

FNMA TRANCHE SER 2018-M4 CLS A1 VAR RT DUE 11-25-2027
**
3,165,863

FNMA TREMIC SER 2019-M2 CL A1 3.024% FIXED DUE 08-25-2028
**
14,593,667

FNMA TRUST 2004 W-2 CL 2A-2 7 02-25-2044
**
30,404

FNMA UMBS LNG 30 YEAR POOL # CA4017 3.0% 08-01-2049
**
4,903,221

FNMA VAR 07-25-2024
**
1,220,524

FNMAREMIC SER 13-126 CL VH 4% FIXED 02-25-2025 REG
**
786,635

FONAR CORP COM NEW STK
**
22,624

FOOT LOCKER INC COM
**
3,700,385

FORD CR AUTO LEASE 2.93% DUE 04-15-2021
**
2,159,682

FORD CR AUTO LEASE 3.3% DUE 02-15-2022
**
1,976,956

FORD CR AUTO LEASE FIXED 2.98% DUE 06-15-2022
**
1,012,649

FORD CR AUTO OWNER 1.87% DUE 09-15-2022
**
2,597,759

FORD CR AUTO OWNER 2.36% DUE 03-15-2029
**
13,586,111

FORD CR AUTO OWNER FLTG RT 2.03% DUE 12-15-2027
**
3,500,566

FORD CR AUTO OWNER FLTG RT 2.31% DUE 08-15-2027
**
3,211,659

FORD CR AUTO OWNER FLTG RT 2018-A CL A4 3.16% DUE 10-15-2023
**
1,022,484

FORD CR FLOORPLAN 2.39% DUE 08-15-2022
**
17,589,770

FORD CR FLOORPLAN 2.44% DUE 09-15-2026
**
8,822,944

FORD CR FLOORPLAN MASTER OWNER SER 19-2 CL A 3.32% 04-15-2026
**
7,698,898

FORD CR FLOORPLAN MASTER OWNER TR A 2017-2 CL A-1 2.37% 09-15-2022
**
10,972,216

FORD MOTOR CR LLC FR SNR EMTN 12/21 EUR100000
**
1,433,246

FORD MOTOR CREDIT CO LLC 2.979% DUE 08-03-2022
**
3,505,432

FORD MOTOR CREDIT CO LLC 4.063% DUE 11-01-2024
**
1,020,585

FORD MOTOR CREDIT CO LLC FLTG RT MTN RT 05-14-2021
**
111,560

FORD MTR CR CO LLC 4.134% DUE 08-04-2025
**
405,626

FORD MTR CR CO LLC 2.459% DUE 03-27-2020
**
300,092

FORD MTR CR CO LLC 2.681% DUE 01-09-2020
**
6,130,474

FORD MTR CR CO LLC 3.157% 08-04-2020
**
1,003,970

FORD MTR CR CO LLC 3.219% DUE 01-09-2022
**
2,518,426

FORD MTR CR CO LLC 3.339% DUE 03-28-2022
**
565,698

FORD MTR CR CO LLC 3.81% DUE 01-09-2024
**
2,030,551

FORD MTR CR CO LLC 4.14% DUE 02-15-2023
**
205,774

FORD MTR CR CO LLC 4.14% DUE 02-15-2023
**
2,314,961

FORD MTR CR CO LLC 5.75% DUE 02-01-2021
**
206,457

FORD MTR CR CO LLC 5.75% DUE 02-01-2021
**
5,837,586

FORD MTR CR CO LLC 8.125% DUE 01-15-2020
**
541,009

FORD MTR CR CO LLC FIXED 0% DUE 03-06-2024
**
475,417

FORD MTR CR CO LLC FIXED 5.584% 03-18-2024
**
1,299,048

FORD MTR CR CO LLC MEDIUM TERM NTS SER BTRANCHE # TR 2 3.55% DUE 10-07-2022
**
1,420,655

FORD MTR CR CO LLC NT FLTG RATE DUE 04-05-2021 REG
**
298,601

FORD MTR CR CO LLC VAR RT 2.86475% DUE 09-24-2020
**
1,301,833

FORESCOUT TECHNOLOGIES INC COM
**
464,546

FORESTAR GROUP INC COM
**
58,755


109
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FORMFACTOR INC COM STK
**
3,224,020

FORRESTER RESH INC COM
**
115,342

FORTERRA PLC ORD GBP0.01
**
115,537

FORTESCUE METALS GRP LTD NPV
**
3,054,929

FORTIS INC 3.055% DUE 10-04-2026
**
306,428

FORTUM OYJ EUR3.40
**
1,358,412

FORTUNE BRANDS HOME & SEC INC 3.0% DUE 06-15-2020
**
301,027

FORTUNE BRANDS HOME & SEC INC COM
**
3,000,282

FORTY SEVEN INC COM
**
548,149

FORUM ENERGY TECH COM USD0.01
**
91,481

FORWARD AIR CORP COM
**
55,680

FOSSIL GROUP INC COM
**
312,332

FOSTER ELECTRIC CO NPV
**
101,734

FOSTER L B CO CL A
**
83,450

FOUNDATION BLDG MATLS INC COM
**
184,309

FOUR CORNERS PPTY TR INC COM
**
458,679

FOX FACTORY HLDG CORP COM
**
905,245

FRANCE(GOVT OF) 0.25% IDX/LKD OAT 25/07/24
**
2,125,621

FRANCE(GOVT OF) 1.5% GTD SNR 25/05/50 EUR1
**
1,684,581

FRANCE(GOVT OF) 2% SNR 25/05/2048 EUR1
**
722,138

FRANCE(GOVT OF) 2.25% IDX/LKD SNR 25/07/20
**
30,853

FRANCE(GOVT OF) 3.25% SNR 25/05/2045 EUR1
**
176,041

FRANCESCAS HLDGS CORP COM NEW
**
4,318

FRANCO NEVADA CORP COM NPV
**
803,558

FRANKLIN ELEC INC COM
**
273,588

FRANKLIN FINL NETWORK INC COM
**
99,351

FRANKLIN STR PPTYS CORP COM
**
87,201

FRANKS INTERNATIONAL NVRY5H0 EUR0.01
**
148,974

FRASERS GROUP PLC
**
53,463

FREDDIE MAC SER 3914 CL NA 4.0% 06-15-2039
**
549,937

FREDDIE MAC SER 4000 CL PJ 3.0% 01-15-2042
**
78,779

FREDDIE MAC SER 4102 CL CE 1.5% 11-15-2040
**
728,267

FREDDIE MAC SER 4161 CL MA 3% 11-15-2039
**
108,155

FREDDIE MAC SER 4639 CL AC 3% 05-15-2040
**
377,181

FREIGHTCAR AMER INC COM
**
3,554

FREMF 2013-KF02 MTG TR POOL #999999 FLTGRT 4.16925% 12-25-2045 BEO
**
29,262

FREMF 2015-K45 MTG FLTG RT 3.71308994293% DUE 04-25-2048
**
606,626

FRENCKEN GROUP LIMITED NPV
**
127,470

FREQUENCY ELECTRS INC COM
**
16,213

FRESENIUS MEDICAL CARE NPV
**
1,465,862

FRESENIUS SE&KGAA NPV
**
372,019

FRESH DEL MONTE PRODUCE INC COM STK
**
197,182

FRONT YARD RESIDENTIAL
**
60,046

FRONTDOOR INC COM
**
3,020,180

FRONTIER COMMUNICATIONS CORP COM NEW COMNEW
**
6,383

FRONTKEN CORPORATI NPV
**
21,274

FRP HLDGS INC COM
**
90,505


110
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
FS BANCORP INC COM USD0.01
**
13,396

FTI CONSULTING INC COM
**
5,742,479

FUJI ELECTRIC HOLINDGS CO Y50
**
751,614

FUJI MEDIA HOLDINGS INC NPV
**
229,890

FUJIFILM HOLDINGS CORP NPV
**
386,153

FUJITSU Y50
**
1,613,309

FULLER H B CO COM
**
363,104

FULTON FINL CORP PA COM
**
512,773

FUT CALL JUN 20 NYM LT CRUDE 5900
**
100,000

FUT CALL JUN 22 EURO DOLLARS 9975
**
1,575

FUT CALL MAR 20 CBT SOYBEANS 980
**
7,050

FUT CALL MAR 20 NYM NAT GAS E 3000
**
1,474

FUT CALL MAR 22 EURO DOLLARS 9975
**
750

FUT PUT FEB 20 NYM LT CRUDE 5500
**
480

FUT PUT JUN 20 NYM LT CRUDE 5900
**
89,000

FUT PUT MAR 20 CBT SOYBEANS 840
**
150

FUTURE PLC PLC
**
419,541

FUTUREFUEL CORP COM STK
**
96,233

G1 THERAPEUTICS IN COM USD0.0001
**
464,243

G-7 HOLDINGS INC NPV
**
35,821

GAIL INDIA LTD INR10
**
1,240,966

GAIN CAP HLDGS INC COM
**
14,576

GALP ENERGIA SGPS EUR1
**
2,082,210

GAMENET GROUP 144A
**
842,444

GAMESTOP CORP NEW CL A
**
79,703

GAMING & LEISURE PPTYS INC COM
**
544,884

GANNETT CO INC NEW COM
**
108,422

GAP INC COM
**
251,074

GARTNER INC COM
**
493,120

GASLOG LTD
**
109,677

GATES INDL CORP PL COM USD0.01
**
174,559

GATX CORP COM
**
383,181

GATX CORP FLTG 11-05-2021
**
100,428

GAZPROM PJSC SPON ADR-EACH REPR 2 ORD SHS
**
1,858,541

GCI LIBERTY INC COM NPV CL A
**
52,075

GCP APPLIED TECHNOLOGIES INC COM
**
15,466

GDI PROPERTY GROUP NPV (STAPLED UNITS)
**
193,796

GE CAP INTL FDG CO 2.342% DUE 11-15-2020
**
450,363

GE CAP INTL FDG CO 2.342% DUE 11-15-2020
**
6,418,177

GE CAP INTL FDG CO 3.373% DUE 11-15-2025
**
1,667,182

GE CAP INTL FDG CO 4.418% DUE 11-15-2035
**
1,337,167

GE CAP INTL FDG CO 4.418% DUE 11-15-2035
**
10,697,340

GEBERIT AG CHF0.10 (REGD)
**
92,576

GEDEON RICHTER PLC HUF100
**
194,919

GEELY AUTOMOBILE H HKD0.02
**
649,360

GEN DYNAMICS CORP 2.25% DUE 11-15-2022
**
904,606

GEN DYNAMICS CORP 3% DUE 05-11-2021
**
2,892,879


111
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GEN DYNAMICS CORP 3.75% DUE 05-15-2028
**
2,543,542

GEN ELEC CAP CORP 4.625 DUE 01-07-2021 REG
**
204,545

GEN ELEC CAP CORP 5.3% DUE 02-11-2021
**
773,797

GEN ELEC CAP CORP 5.3% DUE 02-11-2021
**
3,379,945

GEN ELEC CAP CORP 5.5% DUE 01-08-2020
**
1,020,369

GEN ELEC CAP CORP 5.55% DUE 01-05-2026
**
1,147,444

GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00818 6.875 DUE 01-10-2039
**
1,122,696

GEN MOTORS FINL CO 4.3750 09-25-2021
**
3,626,620

GEN MOTORS FINL CO 3.2% DUE 07-06-2021
**
304,142

GEN MOTORS FINL CO 3.2% DUE 07-06-2021
**
1,013,808

GEN MOTORS FINL CO FLT MTN 26/03/2022
**
1,341,409

GEN MTRS CO COM
**
23,259,300

GEN MTRS FINL CO 3.15% DUE 06-30-2022
**
7,231,917

GEN MTRS FINL CO 3.7% DUE 05-09-2023
**
2,484,686

GEN MTRS FINL CO 3.7% DUE 11-24-2020
**
5,059,250

GEN MTRS FINL CO 4% DUE 01-15-2025
**
52,561

GEN MTRS FINL CO 4% DUE 10-06-2026
**
8,388,722

GEN MTRS FINL CO 5.25% DUE 03-01-2026
**
2,295,673

GEN MTRS FINL CO FIXED 3.2% DUE 07-13-2020
**
502,290

GEN MTRS FINL CO FIXED 4.15% 06-19-2023
**
1,686,035

GEN MTRS FINL CO FIXED 4.2% DUE 11-06-2021
**
3,125,924

GEN MTRS FINL CO FIXED 4.35% DUE 04-09-2025
**
554,851

GENCO SERIES A PFD STOCK
**
79,618

GENERAC HLDGS INC COM STK
**
1,353,539

GENERAL DYNAMICS CORP 2.875% 05-11-2020
**
2,137,384

GENERAL ELEC CAP CORP MEDIUM TERM NTS 3.1 DUE 01-09-2023
**
204,351

GENERAL ELEC CAP CORP MEDIUM TERM NTS 3.1 DUE 01-09-2023
**
9,767,955

GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY 5.55% DUE 05-04-2020
**
429,563

GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY MTN 4.375% DUE 09-16-2020
**
5,620,786

GENERAL ELEC CO 4.125% DUE 10-09-2042
**
10,316

GENERAL ELEC CO DISC COML PAPER 3/A3 YRS1&2 03-18-2020
**
2,181,381

GENERAL ELEC CO DISC COML PAPER 3/A3 YRS1&2 03-19-2020
**
2,082,151

GENERAL ELECTRIC CO
**
36,089,208

GENERAL MLS INC 3.15% DUE 12-15-2021
**
2,556,062

GENERAL MLS INC 3.7% 10-17-2023
**
611,201

GENERAL MLS INC 4% DUE 04-17-2025
**
162,243

GENERAL MLS INC NT FLTG DUE 04-16-2021 REG
**
1,301,301

GENERAL MLS INC NT FLTG DUE 04-16-2021 REG
**
2,681,629

GENERAL MOTORS FIN FRN GTD SNR EMTN 05/21 EUR
**
450,576

GENERAL MOTORS FINL CO BNDS 3.5% 11-07-2024
**
77,282

GENERAL MTRS CO 6.75% DUE 04-01-2046
**
58,656

GENERAL MTRS FINL CO INC 2.65% 04-13-2020
**
4,765,910

GENERAL MTRS FINL CO INC 3.85% 01-05-2028
**
255,091

GENERAL MTRS FINL CO INC 3.95% 04-13-2024
**
120,227

GENERAL MTRS FINL CO INC FLTG DUE 01-14-2022 REG
**
101,007

GENERAL MTRS FINL CO INC FLTG RT DUE 01-05-2023
**
3,230,567

GENERALITAT DE CAT 4.22% SNR 26/04/35 EUR1000
**
138,618


112
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GENERALITAT DE CAT 4.95% SNR 11/02/20 EUR1000
**
1,128,119

GENESCO INC COM
**
160,772

GENIE ENERGY LTD CL B CL B
**
61,956

GENMARK DIAGNOSTICS INC COM STK
**
29,341

GENPACT LIMITED COM STK USD0.01
**
1,137,662

GENTEX CORP COM
**
540,709

GENTHERM INC COM NPV
**
214,182

GENTING BHD NPV
**
448,148

GENTING MALAYSIA B NPV
**
87,669

GENTING SINGAPORE LTD
**
461,214

GENWORTH FINL INC COM CL A COM CL A
**
91,854

GEORGIA PWR CO 2% DUE 03-30-2020
**
4,299,204

GEORGIA PWR CO 2% DUE 09-08-2020
**
3,238,732

GEORGIA PWR CO 2.85% DUE 05-15-2022
**
712,492

GEOSPACE TECHNOLOGIES CORP COM
**
41,724

GETINGE AB SER'B'NPV
**
716,722

GETTY RLTY CORP NEW COM
**
105,217

GGERMAN AMERN BANCORP INC COM STK
**
93,218

GHCL INR10
**
17,411

GIBRALTAR INDS INC COM
**
589,341

G-III APPAREL GROUP LTD COM
**
228,370

GILEAD SCIENCES 2.5% DUE 09-01-2023
**
263,960

GILEAD SCIENCES 2.55% DUE 09-01-2020
**
552,344

GILEAD SCIENCES 3.25% DUE 09-01-2022
**
10,337

GILEAD SCIENCES 4.5% DUE 04-01-2021
**
1,128,246

GIMV NPV
**
54,747

GLACIER BANCORP INC NEW COM
**
2,066,791

GLADSTONE COML CORP COM STK
**
60,115

GLATFELTER
**
299,168

GLAXOSMITHKLINE 2.875% DUE 06-01-2022
**
1,713,603

GLAXOSMITHKLINE CAP PLC GTD NT FLTG 05-14-2021
**
3,322,620

GLAXOSMITHKLINE ORD GBP0.25
**
1,446,019

GLENCORE FDG LLC 4% DUE 03-27-2027
**
3,565,143

GLENCORE PLC ORD USD0.01
**
1,402,626

GLOBAL BLOOD THERAPEUTICS INC COM
**
1,302,682

GLOBAL INDEMNITY LIMITED CAYMAN LTD
**
39,467

GLOBAL MED REIT INC COM NEW COM NEW
**
24,714

GLOBAL NET LEASE INC COM NEW COMN STOCK
**
142,284

GLOBALSCAPE INC COM
**
32,085

GLOBUS MED INC CL A NEW COM STK
**
340,503

GLORY LTD NPV
**
87,514

GLP CAP L P / GLP FING II INC 5.3% 01-15-2029
**
1,443,910

GLS AUTO 3.35% DUE 08-15-2022
**
106,717

GLS AUTO 3.35% DUE 08-15-2022
**
626,962

GLU MOBILE INC COM
**
372,359

GLYCOMIMETICS INC COM
**
129,420

GM FINL AUTOMOBILE 2.11999988556% DUE 09-20-2021
**
325,695


113
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GM FINL AUTOMOBILE 2.68% DUE 12-20-2021
**
2,607,110

GM FINL AUTOMOBILE 2.91% DUE 04-20-2021
**
4,270,412

GM FINL AUTOMOBILE FIXED 3.18% DUE 06-21-2021
**
225,108

GM FINL AUTOMOBILE FIXED 3.3% DUE 07-20-2022
**
1,164,898

GM FINL AUTOMOBILE LEASING SER 19-2 CL A4 2.72% 03-20-2023
**
414,190

GM FINL AUTOMOBILE LEASING TR 2018-2 CL A3 3.1% 06-21-2021
**
641,319

GM FINL AUTOMOBILE LEASING TR 2018-2 CL A3 3.1% 06-21-2021
**
796,491

GM FINL CNSMR 1.86% DUE 12-16-2021
**
601,027

GM FINL CNSMR 2.18% DUE 04-16-2024
**
1,908,757

GM FINL CNSMR 2.21% DUE 11-18-2024
**
6,443,140

GM FINL CNSMR 2.81% DUE 12-16-2022
**
895,397

GM FINL CNSMR 2.81% DUE 12-16-2022
**
2,027,751

GM FINL CNSMR 2.97% DUE 11-16-2023
**
2,828,330

GM FINL CNSMR AUTOMOBILE SER 19-4 CL A4 1.76% DUE 01-16-2025
**
9,495,009

GMAT 2013-1 TR FLTG RT 6.9669% DUE 11-25-2043
**
867

GMF FLOORPLAN 2.9% DUE 04-15-2026
**
5,519,269

GMS INC COM
**
190,427

GN STORE NORD DKK4
**
1,108,497

GNMA 2.3% DUE 11-16-2051
**
2,792,725

GNMA 2.35% DUE 07-16-2056
**
3,848,955

GNMA 2.4% DUE 01-16-2056
**
2,189,901

GNMA 2.4% DUE 06-16-2046
**
4,333,357

GNMA 2.4% DUE 09-16-2058
**
2,383,933

GNMA 2.5% DUE 09-16-2056
**
1,117,893

GNMA 2.5% DUE 10-16-2057
**
2,596,416

GNMA 2009-069 CL PV 4 DUE 08-20-2039
**
24,622

GNMA 2009-076 REMIC PASSTHRU MX CL CF 09-16-2039
**
775,381

GNMA 2009-096 REMIC PASSTHRU FT 10-20-2039
**
640,143

GNMA 2009-124 REMIC PASSTHRU 38 MX CL PD4.5 DUE 01-20-2039
**
76

GNMA 2010-128 CL JC 4 DUE 06-20-2039
**
3,032,543

GNMA 2010-H22 REMIC PASSTHRU CTF CL FE FLTG RATE 05-20-2059
**
1,046,437

GNMA 2011-048 REMIC PASSTHRU CTF CL QA 5 DUE 08-16-2039
**
60,939

GNMA 2011-157 REMIC PASSTHRU CL PA 3.0% DUE 03-20-2041
**
345,129

GNMA 2011-H09 CL AF VAR 03-20-2061
**
1,641,513

GNMA 2012-031 REMIC PASSTHRU CL MJ 2.75 DUE 03-20-2041
**
2,021,000

GNMA 2012-059 REMIC PASSTHRU CTF CL F 05-20-2042
**
419,835

GNMA 2012-H08 REMIC PASSTHRU CTF CL FS 04-20-2062
**
2,815,534

GNMA 2012-H31 REMIC PASSTHRU SECS CL FD VAR RT 12-20-2062
**
10,752,904

GNMA 2013-088 REMIC PASSTHRU SECS CL LV 2.5% 09-16-2026
**
832,627

GNMA 2013-88 REMIC CL WA VAR RT DUE 06-20-2030 REG
**
477,506

GNMA 2013-H04 REMIC PASSTHRU CTF CL BA 1.65 DUE 02-20-2063
**
102,362

GNMA 2013-H05 REMIC PASSTHRU CL FB FLTG RT 02-20-2062
**
15,774

GNMA 2014-190 REMIC PASSTHRU CTF CL PA FIXED 3.0% 06-20-2044
**
1,724,187

GNMA 2014-H10 CL FA FLTG RT DUE04-20-2064
**
1,281,053

GNMA 2015-021 REMIC PASSTHRU CTF CL MX-AF 07-16-2048
**
864,854

GNMA 2015-H31 REMIC PASSTHRU SEC CL FT 11-20-2065
**
1,548,141

GNMA 2015-H32 REMIC PASSTHRU CTF CL FH 12-20-2065
**
312,038


114
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA 2016-H04 MTG PASSTHRU CTF CL FK 02-20-2066
**
3,965,812

GNMA 2016-H10 REMIC PASSTHRU CTF CL FJ 04-20-2066
**
31,912

GNMA 2016-H10 REMIC PASSTHRU CTF CL FJ 04-20-2066
**
1,742,393

GNMA 2016-H11 REMIC PASSTHRU CTF CL FE 04-20-2066
**
2,234,288

GNMA 2016-H13 REMIC PASS THRU SECS CL FT05-20-2066
**
332,180

GNMA 2016-H20 REMIC PASSTHRU CTF CL FG 08-20-2066
**
3,150,691

GNMA 2016-H26 REMIC PASSTHRU SECS CL MX-FC 12-20-2066
**
109,233

GNMA 2017-153 CL WA DUE 06-20-2036
**
1,222,968

GNMA 2017-H03 CL FB FLTG 06-20-2066
**
4,059,398

GNMA 2017-H10 REMIC PASSTHRU SECS CL FB FLTG RT 04-20-2067 REG
**
1,187,586

GNMA 2017-H14 CL FD FLTG 06-20-2067
**
977,652

GNMA 2017-H14 REMIC PASSTHRU CTF CL FB 06-20-2067
**
1,454,698

GNMA 2017-H14 REMIC PASSTHRU CTF CL FE 06-20-2067
**
2,738,654

GNMA 2017-H14 REMIC PASSTHRU CTF CL FG 06-20-2067
**
1,485,760

GNMA 2017-H16 REMIC PASSTHRU CTF CL FG FLTG 07-20-2067 REG
**
26,647,988

GNMA 2017-H16 REMIC PASSTHRU CTF CL FH 07-20-2067
**
28,142,332

GNMA 2018-94 REMIC PASSSTHRU CTF CL P 3.0% DUE 05-20-2043
**
9,197,344

GNMA 2018-H08 REMIC SER 2018-H08 CLS KF VAR RT DUE 05-20-2068
**
3,682,659

GNMA 3% DUE 09-16-2039
**
28,561

GNMA 4% DUE 04-16-2041
**
407,170

GNMA 4% DUE 07-16-2039
**
40,548

GNMA 4.25% DUE 10-20-2038
**
53,443

GNMA 5% DUE 03-16-2034
**
244,989

GNMA 5.5% DUE 08-20-2033
**
166,124

GNMA 5.5% DUE 11-20-2037
**
79,365

GNMA 6.5% DUE 08-16-2042
**
515,891

GNMA CL 2007-035 CL TE 6 DUE 06-20-2037
**
50,696

GNMA FIXED 2.35% DUE 05-16-2053
**
1,752,258

GNMA FIXED 3.5% DUE 02-20-2045
**
203,746

GNMA FLTG RT 2.02375% DUE 10-20-2060
**
4,638,575

GNMA FLTG RT 2.19375% DUE 04-20-2061
**
5,505,847

GNMA FLTG RT SER 18-H15 CL FG 08-20-2068 REG
**
187,810

GNMA FLTG RT SER 18-H19 CL FA 12-20-2063 REG
**
23,568,179

GNMA FLTG RT SER 19-20 CL FE 02-20-2049
**
446,640

GNMA MTG PASS THRU CTF CL FM 02-20-2066
**
144,620

GNMA POOL #300672 SER 2022 8.5% DUE 04-15-2022 BEO
**
2,778

GNMA POOL #315855 SER 2022 8.5% DUE 01-15-2022 REG
**
239

GNMA POOL #3529 5% 03-20-2034 BEO
**
2,633

GNMA POOL #4028 6% 09-20-2037 BEO
**
40,012

GNMA POOL #4041 7% 10-20-2037 BEO
**
214,611

GNMA POOL #4073 6% 01-20-2038 BEO
**
84,600

GNMA POOL #4222 6% 08-20-2038 BEO
**
38,209

GNMA POOL #4245 6% 09-20-2038 BEO
**
470,371

GNMA POOL #4247 7% 09-20-2038 BEO
**
156,543

GNMA POOL #4371 6% 02-20-2039 BEO
**
8,544

GNMA POOL #4423 4.5% 04-20-2039 BEO
**
4,388

GNMA POOL #4447 5% 05-20-2039 BEO
**
83,126


115
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA POOL #4520 5% 08-20-2039 BEO
**
396,487

GNMA POOL #4543 6% 09-20-2039 BEO
**
32,812

GNMA POOL #4602 6% 12-20-2039 BEO
**
6,478

GNMA POOL #4617 4.5% 01-20-2040 BEO
**
340,229

GNMA POOL #4717 6% 06-20-2040 BEO
**
19,346

GNMA POOL #4746 4.5% 07-20-2040 BEO
**
168,893

GNMA POOL #476784 SER 2028 7% DUE 08-15-2028 REG
**
5,912

GNMA POOL #4772 5% 08-20-2040 BEO
**
261,794

GNMA POOL #4774 6% 08-20-2040 BEO
**
245,395

GNMA POOL #4800 4% 09-20-2040 BEO
**
412,739

GNMA POOL #4801 4.5% 09-20-2040 BEO
**
14,979

GNMA POOL #4802 5% 09-20-2040 BEO
**
215,259

GNMA POOL #4833 4% 10-20-2040 BEO
**
1,374,309

GNMA POOL #4834 4.5% 10-20-2040 BEO
**
51,769

GNMA POOL #4855 5% 11-20-2040 BEO
**
1,001,749

GNMA POOL #4883 4.5% 12-20-2040 BEO
**
259,999

GNMA POOL #4905 6% 12-20-2040 BEO
**
340,251

GNMA POOL #4923 4.5% 01-20-2041 BEO
**
344,614

GNMA POOL #4945 4% 02-20-2041 BEO
**
218,051

GNMA POOL #497630 SER 2029 6% DUE 02-15-2029 REG
**
1,924

GNMA POOL #4978 4.5% 03-20-2041 BEO
**
5,505,820

GNMA POOL #4979 5% 03-20-2041 BEO
**
466,123

GNMA POOL #498387 SER 2029 6% DUE 02-15-2029 REG
**
1,954

GNMA POOL #4984 5.5% 03-20-2041 BEO
**
498,424

GNMA POOL #4991 6% 03-20-2041 BEO
**
119,704

GNMA POOL #5016 4% 04-20-2041 BEO
**
188,720

GNMA POOL #5017 4.5% 04-20-2041 BEO
**
473,063

GNMA POOL #5018 5% 04-20-2041 BEO
**
347,789

GNMA POOL #5019 6% 04-20-2041 BEO
**
53,943

GNMA POOL #5115 4.5% 07-20-2041 BEO
**
75,869

GNMA POOL #5140 4.5% 08-20-2041 BEO
**
706,210

GNMA POOL #5189 6% 09-20-2041 BEO
**
138,418

GNMA POOL #521330 5% 05-15-2035 BEO
**
160,803

GNMA POOL #523278 SER 2031 6% DUE 07-15-2031 REG
**
25,950

GNMA POOL #5240 6% 11-20-2041 BEO
**
139,929

GNMA POOL #5259 4% 12-20-2041 BEO
**
104,268

GNMA POOL #5269 6% 12-20-2041 BEO
**
15,595

GNMA POOL #5280 4% 01-20-2042 BEO
**
157,717

GNMA POOL #5305 4% 02-20-2042 BEO
**
968,955

GNMA POOL #543812 SER 2031 6% DUE 02-15-2031 REG
**
9,631

GNMA POOL #586373 5% DUE 02-15-2035 REG
**
3,793

GNMA POOL #594106 SER 2033 4.5% DUE 09-15-2033 BEO
**
59,328

GNMA POOL #595611 SER 2035 5% DUE 01-15-2035 BEO
**
3,775

GNMA POOL #603692 5% 06-15-2034 BEO
**
1,915

GNMA POOL #604497 5% 07-15-2033 BEO
**
6,766

GNMA POOL #607451 SER 2034 5% DUE 01-15-2034 REG
**
29,828

GNMA POOL #607465 5% DUE 02-15-2034 REG
**
49,552


116
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA POOL #610410 SER 2033 5% DUE 08-15-2033 BEO
**
9,131

GNMA POOL #615656 5% 10-15-2033 BEO
**
5,730

GNMA POOL #623871 5.0% 06-15-2034
**
3,953

GNMA POOL #633701 5.0% 09-15-2033
**
7,140

GNMA POOL #636484 5.0% 03-15-2035
**
17,081

GNMA POOL #637746 5.0% 12-15-2034
**
5,228

GNMA POOL #638222 5% 12-15-2034 BEO
**
3,888

GNMA POOL #643362 5% 10-15-2035 BEO
**
5,106

GNMA POOL #668014 3% 11-15-2044 BEO
**
3,270,463

GNMA POOL #672676 SER 2038 5.5% DUE 04-15-2038 BEO
**
90,461

GNMA POOL #676754 SER 2038 5.5% DUE 03-15-2038 REG
**
205,632

GNMA POOL #687179 SER 2038 5.5% DUE 04-15-2038 REG
**
124,910

GNMA POOL #687835 6% 08-15-2038 BEO
**
56,871

GNMA POOL #688043 6% 11-15-2038 BEO
**
90,250

GNMA POOL #690922 5.5% 06-15-2038 BEO
**
71,652

GNMA POOL #697586 5.5% 11-15-2038 BEO
**
4,812

GNMA POOL #711379 SER 2038 5.5% DUE 07-15-2038 REG
**
1,948

GNMA POOL #723344 4% 09-15-2039 BEO
**
420,821

GNMA POOL #723430 4.5% 11-15-2039 BEO
**
134,649

GNMA POOL #723616 5% 01-15-2040 BEO
**
1,002,319

GNMA POOL #726480 5% 11-15-2039 BEO
**
1,155,118

GNMA POOL #733600 SER 2040 5% DUE 04-15-2040 REG
**
121,416

GNMA POOL #733627 5% 05-15-2040 BEO
**
246,172

GNMA POOL #736520 SER 2040 4.5% DUE 04-15-2040 REG
**
595,568

GNMA POOL #737111 FIXED 4.5% 04-15-2040 BEO
**
337,956

GNMA POOL #738108 4.5% 03-15-2041 BEO
**
406,451

GNMA POOL #745243 4% 07-15-2040 BEO
**
417,434

GNMA POOL #771561 4.0% 08-15-2041
**
207,843

GNMA POOL #780049 SER 2021 9.5 DUE 11-15-2021 REG
**
174

GNMA POOL #780151 SER 2021 9 DUE 12-15-2021 REG
**
641

GNMA POOL #780345 SER 2021 9.5% DUE 12-15-2021 REG
**
143

GNMA POOL #781804 6% 09-15-2034 BEO
**
208,449

GNMA POOL #781847 6% 12-15-2034 BEO
**
156,284

GNMA POOL #781885 SER 2035 5% DUE 03-15-2035 REG
**
11,362

GNMA POOL #781902 6% 02-15-2035 BEO
**
186,228

GNMA POOL #781958 5% 07-15-2035 BEO
**
12,189

GNMA POOL #782382 5.5% 08-15-2038 BEO
**
28,815

GNMA POOL #782436 6% 10-15-2038 BEO
**
84,789

GNMA POOL #782716 SER 2039 5% DUE 07-15-2039 REG
**
119,133

GNMA POOL #783867 SER 2036 6% DUE 08-15-2036 BEO
**
550,621

GNMA POOL #784571 3.5% 06-15-2048 BEO
**
10,529,300

GNMA POOL #799706 SER 2042 3.5% DUE 09-15-2042 BEO
**
135,584

GNMA POOL #999999 2% 05-16-2049 BEO
**
2,728,181

GNMA POOL #999999 2.20000004768% 04-16-2057 BEO
**
1,968,650

GNMA POOL #AA5649 SER 2042 3.0% 09-15-2042
**
567,120

GNMA POOL #AA5821 3 DUE 11-15-2042 REG
**
902,198

GNMA POOL #AB2892 3.0% 09-15-2042
**
2,047,471


117
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA POOL #AB3031 SER 2042 3% DUE 10-15-2042 REG
**
215,477

GNMA POOL #AB9108 SER 2042 3% DUE 10-15-2042 BEO
**
4,433,658

GNMA POOL #AB9205 SER 2042 3% DUE 11-15-2042 BEO
**
3,451

GNMA POOL #AB9323 SER 2042 3.5% DUE 09-15-2042 BEO
**
83,713

GNMA POOL #AC3752 3 DUE 12-15-2042 REG
**
385,297

GNMA POOL #AD1034 3% DUE 07-15-2043 REG
**
500,183

GNMA POOL #AD2413 3.5% DUE 05-15-2043 REG
**
227,477

GNMA POOL #AD2414 3.5 DUE 05-15-2043 REG
**
199,722

GNMA POOL #AD4102 SER 2043 3 DUE 07-15-2043 REG
**
1,134,161

GNMA POOL #AE7691 3 DUE 08-15-2043 REG
**
1,821,007

GNMA POOL #AE8109 SER 2044 3.5% DUE 01-15-2044 BEO
**
427,218

GNMA POOL #AF5807 SER 2044 3.5% DUE 01-15-2044 BEO
**
66,790

GNMA POOL #AI6888 3% 05-15-2045 BEO
**
1,744,705

GNMA POOL #AK6718 3% 01-15-2045 BEO
**
163,916

GNMA POOL #AK7285 3% 03-15-2045 BEO
**
325,538

GNMA POOL #AK7286 3% 03-15-2045 BEO
**
1,091,433

GNMA POOL #AK7329 3% 04-15-2045 BEO
**
3,586,452

GNMA POOL #AK8997 SER 2045 3% DUE 07-15-2045 BEO
**
2,275,434

GNMA POOL #AL1539 3% 05-15-2045 BEO
**
1,423,188

GNMA POOL #AL4608 SER 2045 3% DUE 03-15-2045 BEO
**
2,502,522

GNMA POOL #AL8635 SER 2045 3% DUE 03-15-2045 BEO
**
1,538,210

GNMA POOL #AM4099 3% 04-15-2045 BEO
**
1,698,745

GNMA POOL #AM8643 3% 05-15-2045 BEO
**
1,986,325

GNMA POOL #AM8646 3% 05-15-2045 BEO
**
1,425,692

GNMA POOL #AN5715 3% 06-15-2045 BEO
**
466,086

GNMA POOL #AN5721 3% 06-15-2045 BEO
**
183,540

GNMA POOL #AN5726 SER 2045 3% DUE 06-15-2045 BEO
**
5,242,697

GNMA POOL #AN5733 3% 06-15-2045 BEO
**
278,751

GNMA POOL #AN5734 SER 2045 3% DUE 06-15-2045 BEO
**
2,991,890

GNMA POOL #BJ1853 4.5% 09-20-2048 BEO
**
273,790

GNMA POOL #BM9692 4.5% 07-20-2049 BEO
**
1,952,079

GNMA POOL #BM9734 4% 10-20-2049 BEO
**
419,096

GNMA POOL #BM9743 4% 11-20-2049 BEO
**
3,585,802

GNMA POOL #MA0318 3.5% 08-20-2042 BEO
**
2,122,513

GNMA POOL #MA1376 4% 10-20-2043 BEO
**
507,022

GNMA POOL #MA1377 4.5% 10-20-2043 BEO
**
831,025

GNMA POOL #MA1448 3.5% 11-20-2043 BEO
**
15,292

GNMA POOL #MA1839 4% 04-20-2044 BEO
**
582,934

GNMA POOL #MA1997 4.5% 06-20-2044 BEO
**
628,906

GNMA POOL #MA2072 3% 07-20-2044 BEO
**
395,136

GNMA POOL #MA2149 4% 08-20-2044 BEO
**
349,916

GNMA POOL #MA2303 3.5% 10-20-2044 BEO
**
1,107,429

GNMA POOL #MA2446 4% 12-20-2044 BEO
**
623,941

GNMA POOL #MA2753 3% 04-20-2045 BEO
**
595,575

GNMA POOL #MA2825 3% 05-20-2045 BEO
**
533,683

GNMA POOL #MA2960 3% 07-20-2045 BEO
**
1,028,304

GNMA POOL #MA3037 5% 08-20-2045 BEO
**
321,674


118
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA POOL #MA3243 3% 11-20-2045 BEO
**
339,469

GNMA POOL #MA3245 4% 11-20-2045 BEO
**
1,054,653

GNMA POOL #MA3311 4% 12-20-2045 BEO
**
1,252,986

GNMA POOL #MA3663 3.5% 05-20-2046 BEO
**
646,984

GNMA POOL #MA3737 4% 06-20-2046 BEO
**
1,744,041

GNMA POOL #MA3803 3.5% 07-20-2046 BEO
**
7,688,943

GNMA POOL #MA3937 3.5% 09-20-2046 BEO
**
606,609

GNMA POOL #MA3939 4.5% 09-20-2046 BEO
**
553,470

GNMA POOL #MA4070 4% 11-20-2046 BEO
**
580,185

GNMA POOL #MA4071 4.5% 11-20-2046 BEO
**
1,400,610

GNMA POOL #MA4125 2.5% 12-20-2046 BEO
**
1,179,003

GNMA POOL #MA4127 3.5% 12-20-2046 BEO
**
2,018,794

GNMA POOL #MA4195 3% 01-20-2047 BEO
**
1,410,068

GNMA POOL #MA4196 3.5% 01-20-2047 BEO
**
1,560,041

GNMA POOL #MA4261 3% 02-20-2047 BEO
**
3,598,238

GNMA POOL #MA4263 4% 02-20-2047 BEO
**
919,240

GNMA POOL #MA4321 3.5% 03-20-2047 BEO
**
1,898,364

GNMA POOL #MA4382 3.5% 04-20-2047 BEO
**
2,093,429

GNMA POOL #MA4510 3.5% 06-20-2047 BEO
**
3,388,071

GNMA POOL #MA4781 5% 10-20-2047 BEO
**
2,031,347

GNMA POOL #MA4838 4% 11-20-2047 BEO
**
6,607,022

GNMA POOL #MA4899 3% 12-20-2047 BEO
**
4,597,903

GNMA POOL #MA4962 3.5% 01-20-2048 BEO
**
1,538,370

GNMA POOL #MA4964 4.5% 01-20-2048 BEO
**
954,290

GNMA POOL #MA5018 3% 02-20-2048 BEO
**
315,168

GNMA POOL #MA5019 3.5% 02-20-2048 BEO
**
8,317,717

GNMA POOL #MA5021 4.5% 02-20-2048 BEO
**
5,907,039

GNMA POOL #MA5137 4% 04-20-2048 BEO
**
2,395,246

GNMA POOL #MA5138 4.5% 04-20-2048 BEO
**
1,113,484

GNMA POOL #MA5265 4.5% 06-20-2048 BEO
**
2,885,475

GNMA POOL #MA5399 4.5% 08-20-2048 BEO
**
1,328,068

GNMA POOL #MA5594 3.5% 11-20-2048 BEO
**
2,546,808

GNMA POOL #MA5764 4.5% 02-20-2049 BEO
**
1,390,813

GNMA POOL #MA5877 4.5% DUE 04-20-2049 REG
**
2,433,827

GNMA POOL #MA5987 4.5% 06-20-2049 BEO
**
8,354,428

GNMA POOL #MA6240 2.5% 08-20-2049 BEO
**
94,931

GNMA POOL #MA6241 2.5% 09-20-2049 BEO
**
782,157

GNMA POOL #MA6242 2.5% 10-20-2049 BEO
**
196,577

GNMA POOL #MA6273 2.5% 11-20-2049 BEO
**
394,518

GNMA POOL AE7613 SER 2043 3 DUE 07-15-2043 REG
**
262,902

GNMA POOL#MA5712 5.0% 01-20-2049 REG
**
3,603,359

GNMA REMIC 2015-H30 CL FD FLT RT 10-20-2065
**
3,725,384

GNMA REMIC SER 10-61 CL KG 4% FIXED DUE 03-16-2040
**
1,281,456

GNMA REMIC SER 11-116 CL BA 2% DUE 08-16-2026
**
809,853

GNMA REMIC SER 11-128 CL BL 2% DUE 09-16-2026
**
415,975

GNMA REMIC SER 13-H24 CL FB FLTG DUE 09-20-2063
**
3,937,193

GNMA REMIC SER 15-H04 CL FA FLTG DUE 12-20-2064 REG
**
8,737,498


119
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMA REMIC SER 2008-032 CL PN 4.2 10-16-2037
**
36,005

GNMA REMIC SER 2012-007 CL A 3.5 04-20-2036
**
65,180

GNMA REMIC SER-2012-7 CL-MD 3.5% 11-20-2038
**
2,385,300

GNMA REMIC SR 19-78 CL KP 2.5% 06-20-2049
**
2,879,354

GNMA REMIC SR 2017-H12 CL FL VAR RT 05-20-2067
**
26,166,700

GNMA SER 2017-H01 CL FC FLTG 12-20-2066
**
1,873,483

GNMA SER 09-98 CLS DA 3.25% 07-16-2039
**
3,300,206

GNMA SER 12-H12 CL HD 2.0% 05-20-2062
**
589,213

GNMA SER 12-H14 CL NA 2.0% 06-20-2062
**
558,978

GNMA SER 13-115 CL PB 02-20-2043
**
438,830

GNMA SER 13-17 CL A 2.5% 10-20-2039
**
4,600,354

GNMA SER 13-H18 CL EA FLTG DUE 07-20-2063 REG
**
3,459,441

GNMA SER 18-36 CL AM 3.0% 07-20-2045
**
8,681,787

GNMA SER 19-123 CLS A 3.0% 10-20-2049
**
1,211,392

GNMA SER 2.25 DUE 12-16-2041
**
1,394,788

GNMA SER 2009-061 CL NP 4.0% DUE 08-20-2039
**
696,764

GNMA SER 2010-113 CL CJ 3 DUE 11-20-2039
**
315,141

GNMA SER 2010-160 CL WX 4.5% 06-20-2039
**
4,413,178

GNMA SER 2010-H010 CL FC FLTG RT DUE 05-20-2060
**
2,353,893

GNMA SER 2013-144 CL DA 3.0% 09-20-2041
**
1,490,850

GNMA SER 2014-054 CL AC 2.87422 DUE 02-16-2049
**
1,196,439

GNMA SER 2014-17 CL AM FLTG RT DUE 06-16-2048 REG
**
127,138

GNMA SER 2015-H11 CL FC FLTG RT 5-20-2065
**
1,766,714

GNMA SER 2015-H20 CL FB FLT RT 08-20-2065
**
445,490

GNMA SER 2017-051 CL AB 2.35% 04-16-2057
**
4,064,061

GNMA SER 2017-H07 CL FG FLTG RT DUE 02-20-2067 REG
**
6,410,164

GNMA SER 2017-H19 CL FA FLTG RT DUE 08-20-2067
**
7,794,374

GNMA SER 2018-38 CL WF FLTG DUE 10-20-2043
**
285,590

GNMA SER 2018-H06 CL PF FLTG 02-20-2068
**
4,466,101

GNMA SER 2018-H07 CL FD FLTG 05-20-2068 REG
**
7,684,589

GNMA SR 09-33 CL BA 4.0% 04-16-2032
**
255,809

GNMA SR 2006-38 CL FZ FLTG DUE 09-16-2035
**
1,160,089

GNMA SR 2010-115 CL DA 2.5% DUE 09-20-2040
**
1,424,650

GNMA SR 2011-156 CL PD 2.0% 04-20-2040
**
598,737

GNMA SR 2018-166 CL H-C 3.5% 09-20-2048
**
1,853,297

GNMA SR 2019-031CL HA 3.0% 07-20-2047
**
2,425,487

GNMAII POOL #004224 SER 2038 7 DUE 08-20-2038 REG
**
167,433

GNMAII POOL #2958 SER 2030 8% DUE 08-20-2030 REG
**
11,039

GNMAII POOL #3879 SER 2036 6% DUE 07-20-2036 REG
**
1,561

GNMAII POOL #4040 SER 2037 6.5% DUE 10-20-2037 REG
**
12,188

GNMAII POOL #4060 SER 2037 6% DUE 12-20-2037 REG
**
40,074

GNMAII POOL #4099 SER 2038 6% DUE 03-20-2038 REG
**
16,799

GNMAII POOL #4195 SER 2038 6% DUE 07-20-2038 REG
**
6,134

GNMAII POOL #4268 SER 2038 6% DUE 10-20-2038 REG
**
4,619

GNMAII POOL #4291 SER 2038 6% DUE 11-20-2038 REG
**
235,166

GNMAII POOL #4696 SER 2040 4.5% DUE 05-20-2040 REG
**
719,495

GNMAII POOL #4697 SER 2040 5% DUE 05-20-2040 REG
**
157,366


120
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMAII POOL #4747 SER 2040 5% DUE 07-20-2040 BEO
**
925,111

GNMAII POOL #4837 SER 2040 6% DUE 10-20-2040 BEO
**
63,036

GNMAII POOL #4922 SER 2041 4% DUE 01-20-2041 BEO
**
289,721

GNMAII POOL #5063 SER 2041 6% DUE 05-20-2041 BEO
**
73,007

GNMAII POOL #5082 SER 2041 4.5% DUE 06-20-2041 BEO
**
312,981

GNMAII POOL #5326 SER 2027 3% DUE 03-20-2027 BEO
**
175,368

GNMAII POOL #783368 SER 2041 4.5% DUE 07-20-2041 BEO
**
1,046,988

GNMAII POOL #783637 SER 2042 3% DUE 06-20-2042 REG
**
97,536

GNMAII POOL #784825 SER 2049 3.5% DUE 10-20-2049
**
2,122,357

GNMAII POOL #80012 SER 2026 ADJ RT 11-20-2026
**
10,575

GNMAII POOL #80106 3.25% DUE 08-20-2027 REG
**
12,705

GNMAII POOL #80397 SER 2030 ADJ RT 04-20-2030
**
1,640

GNMAII POOL #8358 ADJ RT 01-20-2024
**
6,294

GNMAII POOL #8399 SER 2024 ADJ RT 04-20-2024
**
5,458

GNMAII POOL #8744 SER 2025 ADJ RT 11-20-2025
**
20,226

GNMAII POOL #8770 SER 2025 ADJ RT 12-20-2025
**
17,459

GNMAII POOL #8781 SER 2026 ADJ RT 01-20-2026
**
558

GNMAII POOL #8788 SER 2026 4% DUE 01-20-2026 REG
**
5,215

GNMAII POOL #BJ1835 4.5% 09-20-2048
**
262,008

GNMAII POOL #G2 MA4654 SER 2047 4.5% DUE08-20-2047 REG GNMAII
**
1,127,450

GNMAII POOL #MA0023 SER 2042 4% DUE 04-20-2042 REG
**
304,407

GNMAII POOL #MA0073 SER 2027 3% DUE 05-20-2027 REG
**
399,792

GNMAII POOL #MA0272 SER 2027 2.0% DUE 07-20-2027
**
322,536

GNMAII POOL #MA0299 SER 2027 2.5% DUE 08-20-2027 REG
**
770,608

GNMAII POOL #MA0317 3 DUE 08-20-2012 REG
**
1,119,550

GNMAII POOL #MA0391 SER 2042 3% DUE 09-20-2042 REG
**
1,428,896

GNMAII POOL #MA0392 SER 2042 3.5 DUE 09-20-2042 REG
**
1,572,815

GNMAII POOL #MA0462 3.5 DUE 10-20-2042 REG
**
2,191,858

GNMAII POOL #MA0463 4 DUE 10-20-2042 REG
**
1,405,150

GNMAII POOL #MA0624 3 12-20-2042 REG
**
533,868

GNMAII POOL #MA0626 4 DUE 11-20-2042 REG
**
682,266

GNMAII POOL #MA0698 3 01-20-2043 REG
**
769,883

GNMAII POOL #MA0933 SER 2043 3% DUE 04-20-2043 REG
**
657,113

GNMAII POOL #MA1012 SER 2043 3.5% DUE 05-20-2043 REG
**
1,680,892

GNMAII POOL #MA1995 SER 2044 3.5% DUE 06-20-2044 BEO
**
4,327,289

GNMAII POOL #MA2372 SER 2044 4% DUE 11-20-2044 REG
**
1,468,551

GNMAII POOL #MA2678 SER 2045 3.5% DUE 03-20-2045 REG
**
1,854,619

GNMAII POOL #MA2754 SER 2045 3.5% DUE 04-20-2045 REG
**
3,648,921

GNMAII POOL #MA3172 SER 2045 3% DUE 10-20-2045 REG
**
1,766,977

GNMAII POOL #MA3174 SER 2045 4% DUE 10-20-2045 REG
**
857,594

GNMAII POOL #MA3597 SER 2046 3.5% DUE 04-20-2046 BEO
**
7,537,943

GNMAII POOL #MA3662 SER 2046 3% DUE 05-20-2046 REG
**
3,440,863

GNMAII POOL #MA4003 SER 2046 3% DUE 10-20-2046 REG
**
4,800,329

GNMAII POOL #MA4004 SER 2046 3.5% DUE 10-20-2046 REG
**
6,575,443

GNMAII POOL #MA4322 SER 2047 4% DUE 03-20-2047 REG
**
3,117,672

GNMAII POOL #MA4383 SER 2047 4% DUE 04-20-2047 REG
**
1,297,303

GNMAII POOL #MA4452 4.0% DUE 05-20-2047 REG
**
1,163,423


121
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GNMAII POOL #MA4511 SER 2047 4% DUE 06-20-2047 REG
**
5,854,417

GNMAII POOL #MA4718 3% DUE 09-20-2047 REG
**
268,023

GNMAII POOL #MA4720 SER 2047 4% DUE 09-20-2047 REG
**
22,204,944

GNMAII POOL #MA4837 SER 2047 3.5% DUE 11-20-2047 REG
**
1,676,751

GNMAII POOL #MA4900 SER 2047 3.5% DUE 12-20-2047
**
407,683

GNMAII POOL #MA4901 4% 12-20-2047
**
2,827,702

GNMAII POOL #MA5020 4.0% 02-20-2048
**
2,115,317

GNMAII POOL #MA5078 4.0% 03-20-2048
**
3,756,946

GNMAII POOL #MA5079 4.5% 03-20-2048
**
324,749

GNMAII POOL #MA5266 SER 2048 5% DUE 06-01-2048 REG
**
497,808

GNMAII POOL #MA5330 SER 2048 4.0% DUE 07-20-2048
**
3,967,563

GNMAII POOL #MA5331 4.5% DUE 07-20-2048 REG
**
376,626

GNMAII POOL #MA5467 4.5% DUE 09-20-2048
**
4,894,108

GNMAII POOL #MA5762 3.5% DUE 02-20-2049
**
78,842

GNMAII POOL #MA5818 SER 2049 4.5% DUE 03-20-2049 REG MBS
**
3,718,220

GNMAII POOL #MA5931 4.0% 05-20-2049
**
5,278,055

GNMAII POOL #MA6154 3.5% DUE 09-20-2049 REG
**
23,841,732

GNMAII POOL #MA6219 3.5% 10-20-2049 REG
**
18,865,065

GNMAII POOL #MA6338 SER 2049 3% DUE 12-20-2049 REG
**
13,053,386

GNMAII POOL #MA6339 3.5% 12-20-2049
**
15,540,116

GNMAII POOL MA5711 SER 2049 4.5% DUE 01-20-2049 REG
**
10,424,510

GODREJ CONSUMER PR INR1
**
40,865

GOGO INC COM
**
632,320

GOL LINHAS AEREAS PRF NPV
**
47,082

GOLD RESOURCE CORP COM
**
50,658

GOLDEN OCEAN GROUP LTD COM USD0.0 (POST REV SPLIT)
**
6,193

GOLDFIELD CORP COM
**
10,377

GOLDMAN SACHS 2.35% DUE 11-15-2021
**
1,028,069

GOLDMAN SACHS 2.35% DUE 11-15-2021
**
2,008,951

GOLDMAN SACHS 2.875% DUE 02-25-2021
**
2,691,535

GOLDMAN SACHS 3% DUE 04-26-2022
**
1,529,072

GOLDMAN SACHS 3.2% DUE 02-23-2023
**
1,100,084

GOLDMAN SACHS 3.5% DUE 11-16-2026
**
526,223

GOLDMAN SACHS 3.5% DUE 11-16-2026
**
1,305,034

GOLDMAN SACHS 3.625% DUE 02-20-2024
**
8,649,928

GOLDMAN SACHS 3.691% DUE 06-05-2028
**
15,800,177

GOLDMAN SACHS 3.75% DUE 02-25-2026
**
899,739

GOLDMAN SACHS 3.85% DUE 01-26-2027
**
1,809,731

GOLDMAN SACHS 3.85% DUE 01-26-2027
**
7,616,840

GOLDMAN SACHS 3.85% DUE 07-08-2024
**
7,451,475

GOLDMAN SACHS 4% DUE 03-03-2024
**
29,693,959

GOLDMAN SACHS 4.25% DUE 10-21-2025
**
1,249,171

GOLDMAN SACHS 4.75% DUE 10-21-2045
**
647,033

GOLDMAN SACHS 5.15% DUE 05-22-2045
**
319,601

GOLDMAN SACHS 5.25% DUE 07-27-2021
**
2,130,323

GOLDMAN SACHS 5.75% DUE 01-24-2022
**
327,422

GOLDMAN SACHS 5.75% DUE 01-24-2022
**
2,495,923


122
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GOLDMAN SACHS 6 DUE 06-15-2020
**
9,815,236

GOLDMAN SACHS 6.75% DUE 10-01-2037
**
333,391

GOLDMAN SACHS BK USA YORK NT FLTG 05-24-2021
**
2,251,932

GOLDMAN SACHS CAP II GTD FIXED TO FLTG NORMAL PPS DUE 06-01-2043/06-01-2012 REG
**
5,250

GOLDMAN SACHS FLTG RT 2.876% DUE 10-31-2022
**
3,813,352

GOLDMAN SACHS FLTG RT 2.905% DUE 07-24-2023
**
4,387,804

GOLDMAN SACHS FLTG RT 3.09363% DUE 09-15-2020
**
402,562

GOLDMAN SACHS GROUP INC 2.908% 06-05-2023 REG
**
1,473,907

GOLDMAN SACHS GROUP INC 3.272% 09-29-2025 REG
**
517,652

GOLDMAN SACHS GROUP INC 3.814% DUE 04-23-2029
**
643,727

GOLDMAN SACHS GROUP INC 4.223% 05-01-2029
**
1,323,095

GOLDMAN SACHS GROUP INC 4.223% 05-01-2029
**
11,907,855

GOLDMAN SACHS GROUP INC 6 45 05 01 6.45 DUE 05-01-2036 BEO
**
120,065

GOLDMAN SACHS GROUP INC COM
**
48,981,068

GOLDMAN SACHS GROUP INC MEDIUM TERM NTS BOOK ENTRY NT 5.375% DUE 03-15-2020
**
1,745,749

GOLDMAN SACHS MTG SER 2012-GCJ9 CL A3 2.773 DUE 11-10-2045
**
3,858,346

GOODMAN GROUP NPV
**
253,373

GOODRICH PETE CORP COM PAR $ COM PAR $
**
19,227

GOODYEAR TIRE & RUBBER CO COM
**
544,363

GOOSEHEAD INS INC COM CL A COM CL A
**
3,627,066

GOPRO INC CL A CL A
**
683,984

GORMAN RUPP CO COM
**
135,788

GOVERNMENT NATIONAL MORTGAGE ASSOC POOL #646853 5.5% 08-15-2035 BEO
**
4,979

GOVERNMENT NATL MTG SER 2015-H14 CL FA FLTG RT 06-20-2065
**
2,840,788

GOVERNMENT PPTYS INCOME TR 4.0% 07-15-2022
**
818,943

GOVERNOR & CO OF THE BAN 7.375% 31/12/2049
**
1,507,566

GP STRATEGIES CORP COM STK
**
40,285

GPE BRUXELLES LAM NPV
**
117,283

GPO AERO CENT NORT SER'B' NPV
**
299,673

GPO MEXICO SA SER'B'COM NPV
**
66,459

GPT GROUP NPV (STAPLED SECURITIES)
**
134,783

GRACE W R & CO DEL NEW COM STK
**
1,629,042

GRAHAM HLDGS CO COM
**
423,011

GRAINGER W W INC COM
**
287,403

GRAND CANYON ED INC COM STK
**
1,628,430

GRANITE CONST INC COM
**
1,309,870

GRANULES INDIA INR1
**
18,238

GRAPHIC PACKAGING HLDG CO COM STK
**
2,025,389

GRAPHITE INDIA INR2
**
38,313

GRAY T.V INC COM CL B
**
292,527

GREAT HALL MG NO.1 FRN M/BKD 03/2039 EUR'A2B'
**
442,955

GREAT HALL MG NO.1 FRN M/BKD 06/2038 EUR'A2B'
**
466,534

GREAT HALL MTGS NO 1 PLC 2007-02 ASSET BACKED NT CL AC 144A 18 JUN 2039
**
571,463

GREAT LAKES DREDGE & DOCK CORP NEW COM
**
99,965

GREAT PLAINS 4.85% DUE 06-01-2021
**
1,965,028



123
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
GREAT SOUTHN BANCORP INC COM
**
154,944

GREAT WEST LIFECO COM NPV
**
123,114

GREAT WESTN BANCORP INC COM
**
343,023

GREEN BRICK PARTNERS INC COM
**
104,698

GREEN DOT CORP COM STK
**
1,234,154

GREEN PLAINS INC COM STK
**
576,696

GREENBRIER COS INC COM STK
**
810,231

GREENCORE GROUP ORD GBP0.01
**
109,309

GREENLAND HONG KONG HOLDINGS LTD HKD0.5
**
169,612

GREENLIGHT CAPITAL RE LTD CLASS A
**
66,221

GREENPOINT MTG FDG TR 2006-OH1 MTG PASSTHRU CTF CL A-1 FLTG 01-25-2037 REG
**
1,472,925

GREGGS ORD GBP0.02
**
343,394

GREIF INC
**
94,843

GREIF INC.
**
159,385

GRIEG SEAFOOD NOK4
**
30,346

GRIFFON CORP COM
**
14,231

GROUP 1 AUTOMOTIVE INC COM
**
235,700

GROUPON INC COM USD0.0001
**
125,779

GROWTHPOINT PROPS NPV
**
179,355

GRUMA, S.A.B DE C.V
**
144,950

GRUPO FINANCIERO BANORTE S A B DE C V
**
217,633

GRUPO SBF SA COM NPV
**
816,102

GS MTG SECS CORP SER 2004-AR1 CL A2B FLTRT 06-25-2034 REG
**
1,999,162

GS MTG SECS SER 2014-GC24 CL A-AB 0.0% DUE 09-10-2047 REG
**
1,934,948

GS MTG SECS TR 3.36400008202% DUE 11-10-2047
**
8,639,868

GS MTG SECS TR 3.469% DUE 11-10-2050
**
1,945,677

GS MTG SECS TR 3.482 DUE 01-10-2045
**
7,990,333

GS MTG SECS TR 3.707% DUE 08-10-2044
**
7,867,028

GS YUASA CORP NPV
**
407,338

GSI TECHNOLOGY INC COM
**
27,786

GTD BD 2.25% DUE 02-24-2020 REG
**
2,201,098

GUANGDONG INVEST NPV
**
309,608

GUARANTY BANCSHARES INC TEX COM USD1.00
**
68,752

GUARDANT HEALTH INC COM
**
1,809,879

GUESS INC COM
**
192,020

GUIDEWIRE SOFTWARE INC COM USD0.0001
**
942,046

GUJARAT GAS LTD INR2 (POST SUBD)
**
33,753

GUJARAT NARMADA VALLEY FERTILIZERS AND CHEMCIALS LTD
**
34,308

GUJARAT STATE PETR INR10(DEMAT)
**
148,989

GULF IS FABRICATION INC COM
**
13,735

GULF KEYSTONE PETE COMSTK
**
217,353

GULFPORT ENERGY CORP COM NEW COM NEW
**
51,899

GURIT HOLDING AG CHF50 (BR)
**
343,309

H&R REAL ESTATE INVT TR
**
131,067

H.LUNDBECK A/S DKK5
**
970,860

H.S. INDUSTRIES CO KRW500
**
10,365

HABIT RESTAURANTS INC COM CL A COM CL A
**
240,829


124
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HAEMONETICS CORP MASS COM
**
436,735

HAIER ELECTRONICS HKD0.10
**
1,425,037

HAIN CELESTIAL GROUP INC COM
**
75,036

HALLADOR ENERGY COMPANY COM STK
**
16,210

HALLIBURTON CO 3.25% DUE 11-15-2021
**
2,316,446

HALLIBURTON CO 3.5% DUE 08-01-2023
**
3,224,672

HALLIBURTON CO 3.8% DUE 11-15-2025
**
320,037

HALLIBURTON CO 3.8% DUE 11-15-2025
**
1,632,190

HALLIBURTON CO COM
**
4,079,149

HALLMARK FINL SVCS INC COM NEW COM NEW
**
204,673

HAMAKYOREX CO LTD NPV
**
55,900

HAMILTON CNTY OHIO HEALTH CARE FACS REV 3.756% 06-01-2042 BEO TAXABLE
**
225,848

HAMILTON LANE INC CL A CL A
**
2,148,163

HANA FINANCIAL GRP KRW5000
**
1,773,012

HANCOCK WHITNEY CORP
**
4,875,595

HANDSOME CORP KRW500
**
92,376

HANESBRANDS INC COM STK
**
761,241

HANG LUNG GROUP HKD1
**
514,141

HANKOOK TIRE & TECHNOLOGY CO LTD
**
380,977

HANMI FINL CORP COM NEW COM NEW
**
115,011

HANNON ARMSTRONG SUSTAINABLE INFRASTRUCTURE CAP INC COM
**
374,093

HANNOVER FDG CO. 12/02/2020
**
561,388

HANOVER INS GROUP INC COM
**
5,375,778

HANSOH PHARMACEUTI HKD0.00001
**
46,536

HANWHA AEROSPACE CO LTD
**
376,905

HANWHA SOLUTIONS CORPORATION
**
375,202

HANYANG ENG CO KRW500
**
148,113

HARBORONE NORTHEAST BANCORP INC COM
**
176,455

HARLEY DAVIDSON COM USD0.01
**
6,529,188

HARLEY DAVIDSON FLTG RT 2.84688% DUE 03-02-2021
**
201,165

HARMONIC INC COM
**
893,677

HARRIS CORP DEL NT FLTG RATE 04-30-2020
**
300,164

HARSCO CORP COM
**
22,366

HARTFORD FINL SVCS 4.3 DUE 04-15-2043
**
178,132

HARTFORD FINL SVCS 5.5% DUE 03-30-2020
**
1,835,316

HARVARD BIOSCIENCE INC COM
**
20,096

HARVEST CLO SR 10A CL 15/11/2028
**
286,351

HASBRO INC COM
**
33,938,935

HAVERTY FURNITURE COS INC COM STK
**
77,455

HAWAIIAN HOLDINGS INC COM
**
229,194

HAWKINS INC COM
**
77,785

HAWTHORN BANCSHARES INC COM STK
**
13,286

HAYNES INTL INC COM NEW COM NEW
**
72,562

HAZAMA ANDO CORP NPV
**
1,033,095

HBT FINL INC. COM
**
524,124

HC2 HLDGS INC COM
**
8,129

HCA INC 4.75% 05-01-2023
**
4,504,878


125
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HCI GROUP INC COM NPV
**
266,185

HCL TECHNOLOGIES INR2
**
587,041

HCP INC 3.5% DUE 07-15-2029
**
83,450

HCP INC 3.5% DUE 07-15-2029
**
662,384

HCP INC 3.875% DUE 08-15-2024
**
380,882

HD SUPPLY HLDGS INC. COM
**
1,445,909

HEALTHCARE RLTY TR
**
4,601,723

HEALTHCARE TR AMER 3.1% DUE 02-15-2030
**
318,802

HEALTHCARE TR AMER INC CL A NEW CL A NEW
**
568,780

HEALTHEQUITY INC COM
**
1,333,260

HEALTHPEAK PPTYS FIXED 3% DUE 01-15-2030
**
2,218,730

HEALTHSTREAM INC COM STK ISIN# US42222N1037
**
381,208

HEARTLAND EXPRESS INC COM
**
240,749

HEARTLAND FINL USA INC COM STK
**
261,284

HECLA MNG CO COM
**
197,383

HEIDELBERGCEMENT INDIA LIMITED
**
67,121

HEIDELBERGCEMENT NPV
**
87,239

HEIDRICK & STRUGGLES INTL INC COM
**
97,435

HELEN TROY LTD COM STK
**
736,420

HELIOS TECHNOLOGIES INC
**
88,392

HELIX ENERGY SOLUTIONS GROUP INC COM STK
**
3,128,084

HELMERICH & PAYNE INC COM
**
622,300

HELMERICH & PAYNE INC CORP BOND 4.65% 03-15-2025
**
4,642,855

HEMISPHERE MEDIA GROUP INC CL A CL A
**
46,287

HENDERSON LAND DEVELOPMENT HKD2
**
1,110,368

HENGAN INTL HKD0.10
**
153,142

HERC HLDGS INC COM
**
468,698

HERITAGE COMM CORP COM STK
**
95,968

HERITAGE CRYSTAL CLEAN INC COM STK
**
102,799

HERITAGE FINL CORP WASH COM
**
145,038

HERITAGE INS HLDGS INC COM
**
155,171

HERMAN MILLER INC COM STK USD0.20
**
4,041,091

HERMES INTL NPV
**
950,466

HERO FDG 2017-2 FIXED 3.28% DUE 09-20-2048
**
226,342

HERO MOTOCORP LTD INR2
**
59,623

HERON THERAPEUTICS INC COM
**
191,079

HERSHA HOSPITALITY TR PRIORITY SHS BEN INT CL A NEW PRTY SHS BEN INT CL A NEW
**
50,576

HERSHEY CO 3.1% DUE 05-15-2021
**
508,465

HERTZ FLEET LEASE 3.23% DUE 05-10-2032
**
261,968

HERTZ GLOBAL HLDGS INC NEW COM
**
315,662

HERTZ VEH FING II 3.29% DUE 02-20-2024
**
526,045

HESKA CORP COM RESTRICTED NEW STOCK
**
1,975,501

HESS CORP COM STK
**
17,143,446

HEWLETT PACKARD CO 4.3% DUE 06-01-2021
**
2,111,372

HEWLETT PACKARD ENTERPRISE CO COM
**
15,852,070

HEWLETT PACKARD ENTERPRISE CO STEP-UP DUE 10-15-2020
**
3,393,110

HEWLETT PACKARD FLTG RT 2.62025% DUE 10-05-2021
**
500,066


126
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HEXCEL CORP NEW COM
**
1,502,855

HIBBETT SPORTS INC COM STK
**
101,393

HIBISCUS PETROLEUM MYR0.010
**
27,760

HIGH POINT RESOURCES CORPORATION COM USD0.001
**
55,200

HIGHWOODS PPTYS INC COM
**
3,758,880

HILL INTL INC COM
**
10,365

HILLENBRAND INC COM STK
**
113,854

HILL-ROM HLDGS INC COM STK
**
979,310

HILLTOP HLDGS INC COM STK
**
239,926

HILTON GRAND VACATIONS INC COM
**
1,368,722

HILTON WORLDWIDE FINANCE LLC TERM LOAN 06-22-2026 BEO
**
287,500

HILTON WORLDWIDE HLDGS INC COM NEW COM NEW
**
541,684

HIM INTL MUSIC INC TWD10
**
74,157

HINDALCO INDS INR1
**
770,865

HINDUSTAN PETROL INR10
**
49,288

HINDUSTAN UNILEVER INR1
**
455,950

HINGHAM INSTN SVGS MASS COM
**
46,875

HITACHI HIGH-TECH NPV
**
1,201,079

HITACHI NPV
**
8,414,434

HITE JINRO KRW5000
**
19,970

HKC (HOLDINGS) LTD. HKD0.25
**
17,929

HLTH CARE REIT INC 3.75% DUE 03-15-2023
**
120,012

HLTH CARE REIT INC 3.75% DUE 03-15-2023
**
208,716

HMS HLDGS CORP COM
**
766,107

HNI CORP COM
**
42,779

HOCHTIEF AG NPV
**
678,576

HOLLYFRONTIER CORP COM
**
3,314,710

HOLLYWOOD BOWL GRO ORD GBP 0.01
**
165,637

HOME BANCORP INC COM STK
**
191,404

HOME BANCSHARES INC COM
**
3,760,997

HOME CAPITAL GROUP COM
**
785,397

HOME DEPOT INC 2.125% DUE 09-15-2026
**
99,954

HOME DEPOT INC 2.95% DUE 06-15-2029
**
832,403

HOME DEPOT INC 3.9% DUE 12-06-2028 REG
**
280,771

HOME DEPOT INC COM
**
12,274,485

HOME FED BANCORP INC LA NEW STOCK
**
11,690

HOMESTREET INC INC
**
105,366

HOMETRUST BANCSHARES INC COM
**
228,109

HOMOLOGY MEDICINES INC COM
**
98,056

HON HAI PRECISION TWD10
**
1,272,175

HONDA AUTO 2.21% DUE 03-21-2024
**
5,138,702

HONDA AUTO RECEIVABLES 2018-1 OWNER TR SER 18-2 CL A3 3.11% 05-18-2022
**
533,880

HONDA AUTO RECEIVABLES 2018-1 OWNER TR SER 18-2 CL A4 3.28% 08-19-2024
**
10,622,004

HONDA AUTO RECEIVABLES OWNER TR SER 19-3 A3 2.15% 08-15-2023
**
1,746,028

HONEYWELL INTL INC 2.5% DUE 11-01-2026
**
137,384

HONEYWELL INTL INC COM STK
**
20,755,374

HONG KONG EXCHANGES & CLEAR
**
561,732


127
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HONG LEONG BANK NPV
**
117,998

HOOKER FURNITURE CORP COM
**
142,477

HOPE BANCORP INC COM
**
287,645

HORACE MANN EDUCATORS CORP COM
**
2,271,935

HORIZON BANCORP INC/IN COM
**
126,046

HORIZON GLOBAL CORP COM
**
1,375

HORIZON THERAPEUTICS PLC COM USD0.0001
**
1,219,723

HOSHIZAKI CORP
**
97,926

HOSIDEN CORP NPV
**
1,001,672

HOSOKAWA MICRON CO NPV
**
21,396

HOST HOTELS & 3.875% DUE 04-01-2024
**
121,007

HOST HOTELS & RESORTS L P 4.0% 06-15-2025
**
749,669

HOSTESS BRANDS INC CL A CL A
**
1,463,713

HOUGHTON MIFFLIN HARCOURT CO COM
**
1,512,856

HOUSING DEVEL FIN INR2
**
4,128,988

HOUSTON WIRE & CABLE CO COM STK
**
13,958

HOWARD BANCORP INC COM
**
52,767

HOYA CORP NPV
**
11,598,702

HSBC BANK USA NA 4.875 DUE 08-24-2020 BEO
**
2,090,427

HSBC BK CDA 3.3% DUE 11-28-2021
**
410,221

HSBC HLDGS ORD USD0.50(UK REG)
**
2,941,969

HSBC HLDGS PLC 3.033% 11-22-2023
**
204,667

HSBC HLDGS PLC 2.65% DUE 01-05-2022
**
3,633,652

HSBC HLDGS PLC 2.95% DUE 05-25-2021
**
4,167,730

HSBC HLDGS PLC 2.95% DUE 05-25-2021
**
4,222,970

HSBC HLDGS PLC 3.262% 03-13-2023
**
409,144

HSBC HLDGS PLC 3.262% 03-13-2023
**
1,534,291

HSBC HLDGS PLC 3.4% DUE 03-08-2021
**
9,285,221

HSBC HLDGS PLC 3.6% DUE 05-25-2023
**
2,816,869

HSBC HLDGS PLC 3.9% DUE 05-25-2026
**
1,760,092

HSBC HLDGS PLC 4.25% DUE 08-18-2025
**
2,577,593

HSBC HLDGS PLC 4.3% DUE 03-08-2026
**
8,712,459

HSBC HLDGS PLC 4.583% 06-19-2029
**
3,209,355

HSBC HLDGS PLC 4.875% DUE 01-14-2022
**
3,479,130

HSBC HLDGS PLC FIXED 6.5% DUE 12-31-2049
**
220,000

HSBC HLDGS PLC FLTG RT 2.633% DUE 11-07-2025
**
501,994

HSBC HLDGS PLC FLTG RT 4.125% DUE 03-08-2021
**
398,598

HSBC HLDGS PLC FLTG RT 4.292% DUE 09-12-2026
**
21,628,512

HSBC HLDGS PLC SR NT FLTG RATE 05-18-2021
**
800,815

HSBC HLDGS PLC SR NT FLTG RATE 05-18-2021
**
4,182,287

HSBC HOLDINGS PLC 4.041% 03-13-2028
**
855,975

HSBC HOLDINGS PLC 4.25 NTS 03-14-2024 USD1000
**
1,538,664

HSBC HOLDINGS PLC 5.1 DUE 04-05-2021
**
1,452,020

HSBC HOLDINGS PLC 5.875%-FRN SUB PERP GBP1000
**
584,146

HSBC USA INC NEW 5% DUE 09-27-2020
**
817,794

HSTN LTG & PWR CO 9.15 BD DUE 3-15-2021 REG
**
543,038

HUA HONG SEMICONDUCTOR LIMITED NPV
**
475,305


128
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HUA NAN FINANCIAL TWD10
**
44,659

HUB GROUP INC CL A
**
747,706

HUBER & SUHNER AG CHF0.25 (REGD)
**
34,868

HUBSPOT INC COM
**
659,043

HUDSON LTD
**
16,874

HUDSON PACIFIC PROPERTIES INC COM
**
522,206

HUGEL INC KRW500
**
16,489

HUGO BOSS AG
**
9,954

HULIC COMPANY LTD
**
38,512

HUMANA AB NPV
**
11,337

HUMANA INC 2.5% DUE 12-15-2020
**
200,846

HUMANA INC 3.15 DUE 12-01-2022
**
2,729,960

HUMANA INC 3.85% DUE 10-01-2024
**
3,032,056

HUMANA INC BNDS 2.9% 12-15-2022
**
2,578,021

HUNT J B TRANS 3.875% DUE 03-01-2026
**
188,065

HUNTINGTON 2.3% DUE 01-14-2022
**
251,385

HUNTINGTON 3.15% DUE 03-14-2021
**
25,310

HUNTINGTON INGALLS INDS INC COM
**
875,320

HUNTINGTON NATL BK 2.5% DUE 08-07-2022
**
3,311,360

HUNTINGTON NATL BK 3.125% DUE 04-01-2022
**
1,436,495

HUNTINGTON NATL BK 3.25% DUE 05-14-2021
**
4,932,166

HUNTINGTON NATL BK COLUMBUS OH FLTG RT 02-05-2021
**
3,180,193

HUNTSMAN CORP COM STK
**
2,401,480

HUNTSMAN INTL LLC 5.125% DUE 11-15-2022
**
213,633

HURCO CO COM
**
38,015

HURON CONSULTING GROUP INC COM STK
**
2,588,820

HUSKY ENERGY INC 4% DUE 04-15-2024
**
84,419

HUSKY ENERGY INC 4% DUE 04-15-2024
**
4,220,947

HUSKY ENERGY INC FIXED 4.4% DUE 04-15-2029
**
430,362

HUTTIG BLDG PRODS INC COM
**
2,341

HWA SUNG IND KRW5000
**
84,936

HYATT HOTELS CORP COM CL A COM CL A
**
2,917,190

HYDRO-QUEBEC 8.05 DEB DUE 07-07-2024 REGPUTABLE 7-7-06 @100
**
333,490

HYDRO-QUEBEC DEB DTD 01/30/1992 8.4% DUE01-15-2022 REG
**
157,802

HYOSUNG TNC CORP KRW5000
**
168,017

HYSAN DEVELOPMENT NPV
**
329,346

HYSTER-YALE MATLS HANDLING INC CL A COM
**
542,491

HYUNDAI AUTO 1.93% DUE 07-15-2022
**
2,154,205

HYUNDAI AUTO 1.96% DUE 02-15-2023
**
1,449,366

HYUNDAI AUTO 2.38% DUE 04-17-2023
**
702,868

HYUNDAI AUTO 3.23% DUE 12-15-2022
**
1,227,110

HYUNDAI AUTO FIXED 2.53% DUE 11-15-2023
**
1,463,118

HYUNDAI AUTO FIXED 2.79% DUE 07-15-2022
**
251,720

HYUNDAI AUTO LEASE 3.2% DUE 06-15-2022
**
859,314

HYUNDAI AUTO RECEIVABLES TR SER 19-B CLS A4 2% 04-15-2025
**
10,482,245

HYUNDAI CAP AMER 2.85% DUE 11-01-2022
**
1,395,380

HYUNDAI CAP AMER 3% DUE 06-20-2022
**
530,832


129
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
HYUNDAI DEPT STORE KRW5000
**
34,796

HYUNDAI GLOVIS CO KRW500
**
219,507

HYUNDAI MARINE&FIR KRW500
**
160,558

HYUNDAI TELECOMMUN KRW500
**
12,681

HYUNDAI WIA CORP
**
118,008

I/L CANADA (GOVT OF) 3% 01/12/2036 CAD1000
**
102,339

I/O CMO DBUBS MTG TR SER 2011-LC2 CL XA FLTG RT 10 07-10-2044
**
8,780

I/O CMO UBS COML MTG TR 2012-C1 COML MTG144A CL X-A 2.561868 05-10-2045 BEO
**
30,569

I/O CMO UBS-BARCLAYS COML MTG TR 2013-C5CL X-A 144A VAR RT 03-10-2046 BEO
**
319,316

I/O FEDERAL HOME LN MTG CORP SER 2936 CL SC VAR RT 03-15-2029
**
49,165

I/O FHLMC MULTICLASS SER 004579 CL SD 01-15-2038
**
28,585

I/O FHLMC MULTICLASS SER 323 CL 300 DUE 01-15-2044
**
451,493

I/O FHLMC MULTICLASS SER 4075 CL PI 02-15-2041
**
63,471

I/O FNMA POOL #AN6788 2.87% 09-01-2027
**
1,967,067

I/O FNMA POOL #BL3994 2.67% 09-01-2031
**
101,336

I/O FNMA REMIC SER 2013-13 CL IK 03-25-2028
**
25,855

I/O FNMA REMIC TR 2013-17 CL-TI 3% 03-25-2028 REG
**
32,434

I/O FNMA SMBS TR 404 CL 05-25-2040
**
332,770

I/O FNMA SMBS TR 421 CL 12-25-2038
**
154,242

I3 VERTICALS INC CL A CL A
**
2,325,964

IA FINANCIAL CORP COM NPV
**
493,686

IBERDROLA SA EUR0.75
**
2,129,281

IBERIABANK CORP COM
**
5,538,917

IBM CR LLC 2.65% DUE 02-05-2021
**
2,835,717

IBM CREDIT CORP 3.0% 02-06-2023
**
514,683

ICE_CDS CSFBUS33 06/20/2024 SELL GENERAL ELECTRIC CO 2. SWPC0I305
**
2,993

ICE_CDS CSFBUS33 12/20/2023 SELL GENERAL ELECTRIC CO 2. SWPC0HJ26
**
7,986

ICE_CDS CSFBUS33 12/20/2024 SELL GENERAL ELECTRIC CO 2. SWPC0IIT6
**
1,345

ICE_CDX CSFBUS33 06/20/2024 SELL CDX.NA.IG.32 SWPC0HY52
**
268,476

ICE_CDX CSFBUS33 12/20/2024 SELL CDX.NA.IG.33 SWPC0IJA6
**
277,476

ICE_CDX CSFBUS33 20/12/2024 SELL ITRAXX EUROPE CROSSOVE SWPC0IJ57
**
61,175

ICF INTL INC COM STK
**
239,678

ICHOR HOLDINGS LTD COM USD0.0001
**
87,234

ICON PLC COM
**
575,420

ICU MED INC COM
**
464,058

IDACORP INC COM
**
2,631,872

IDERA PHARMACEUTICALS INC COM USD0.001 (POST REV SPLIT)
**
7,462

IDGC CENTER AND PRIVOLZHYE RUB0.1
**
28,744

IDOM INC NPV
**
73,666

IEC ELECTRS CORP NEW COM
**
13,635

IGO LTD
**
1,120,262

IHO VERWALTUNGS GMBH 144 PAY IN KIND 05-15-2027 BEO
**
424,000

II-VI INC COM
**
319,798

IL ST BUILD AMERICA BONDS-TAXABLE-SER 3 6.725 04-01-2035 BEO
**
469,468

ILL TOOL WKS INC COM
**
17,826,481

ILLINOIS TOOL WKS INC 3.375 DUE 09-15-2021 REG
**
117,847

ILLUMINA INC COM
**
35,874,032


130
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
IMAX CORP COM
**
2,823,528

IMMUNOGEN INC COM
**
209,816

IMPALA PLATINUM NPV
**
538,271

IMPERIAL BRANDS FINANCE PLC 3.5% DUE 02-11-2023 BEO
**
9,519,323

IN MICH PWR CO 3.2% DUE 03-15-2023
**
144,175

IN MICH PWR CO FIXED 3.85% 05-15-2028
**
273,159

INBODY CO LTD
**
71,463

INCYTE CORP COM
**
109,237

INDEPENDENCE CONTRACT DRILLING INC COM
**
6,923

INDEPENDENCE HLDG CO NEW COM NEW
**
106,799

INDEPENDENCE RLTY TR INC COM
**
120,328

INDEPENDENT BK CORP MASS COM
**
374,209

INDEPENDENT BK CORPORATION
**
240,724

INDEPENDENT BK GROUP INC COM
**
366,126

INDIVIOR PLC ORD USD0.10
**
93,399

INDL BANK OF KOREA KRW5000
**
133,646

INDONESIA GOVERNMEN 8.375% 15/03/34
**
2,194,212

INDONESIA GOVERNMENT 8.25% 15/05/2036
**
1,006,772

INDONESIA(REP OF) 2.625% SNR MTN 14/06/23 EUR
**
1,448,025

INDRAPRASTHA GAS INR2 (POST SUBDIVISION)
**
221,800

INDUSTRIAL & COMMERCIAL BANK CHINA 'H'
**
2,199,235

INDUSTRIAL LOGISTICS PPTYS TR COM SHS BEN INT COM SHS BEN INT
**
127,749

INDUSTRIES OF QATA QAR1
**
39,302

INDYMAC ABS INC SER 2005-B CL M3 FLT RT 08-25-2035 BEO
**
322,892

INES CORPORATION NPV
**
484,057

INFINEON TECHNOLOG ORD NPV (REGD)
**
2,123,263

INFINERA CORP COM STK USD0.001
**
1,418,552

INFORMATION SVCS GROUP INC COM STK
**
20,718

INFOSYS LIMITED ADR
**
1,633,088

INFRAESTRUCTURA EN COM MXN10 'CLS II'
**
755,368

ING GROEP N V 3.55% 04-09-2024
**
837,325

ING GROEP N V FIXED 4.625% DUE 01-06-2026
**
889,928

ING GROEP N V FIXED 4.625% DUE 01-06-2026
**
9,455,485

ING GROEP N.V. EUR0.01
**
4,962,999

INGENIA GROUP
**
495,266

INGENICO GROUP EUR1
**
656,729

INGERSOLL-RAND 2.9% DUE 02-21-2021
**
403,675

INGERSOLL-RAND GLOBAL HLDG CO LTD 4.25 DUE 06-15-2023
**
578,493

INGERSOLL-RAND PLC COM STK
**
10,847,070

INGEVITY CORP COM
**
941,694

INGLES MKTS INC CL A
**
82,382

INGREDION INC COM
**
888,788

INMODE LTD COM ILS0.01
**
321,989

INNERWORKINGS INC COM
**
41,601

INNOPHOS HLDGS INC COM STK
**
99,458

INNOSPEC INC COM STK
**
350,662

INNOVATION FOR CREATIVE DEVICES CO KRW500
**
32,290


131
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
INOVALON HLDGS INC COM CL A COM CL A
**
427,195

INOVIO PHARMACEUTICALS INC COM NEW COM NEW
**
175,771

INPHI CORP COM
**
4,682,579

INSAS BERHAD NPV
**
28,173

INSIGHT ENTERPRISES INC COM
**
259,370

INSPERITY INC COM
**
1,543,644

INSPIRE MED SYS INC COM
**
1,622,602

INSTALCO AB SER'A'NPV
**
384,100

INSTALLED BLDG PRODS INC COM
**
1,512,385

INSTEEL INDS INC COM
**
154,642

INSULET CORP COM STK
**
484,838

INTEGER HLDGS CORP COM
**
6,420,888

INTEGRA LIFESCIENCES HLDG CORP COM DESP
**
499,809

INTEL CORP 1.85% DUE 05-11-2020
**
3,139,861

INTEL CORP 2.45% DUE 07-29-2020
**
4,988,981

INTEL CORP 3.1% DUE 07-29-2022
**
51,599

INTEL CORP 3.7% DUE 07-29-2025
**
144,950

INTEL CORP 3.7% DUE 07-29-2025
**
3,429,042

INTER PARFUMS INC COM
**
5,489,241

INTERCONTINENTAL EXCHANGE INC 3.45% 09-21-2023
**
1,955,920

INTERCONTINENTAL EXCHANGE INC 4.0% 10-15-2023
**
98,338

INTERCONTINENTAL EXCHANGE INC 4.0% 10-15-2023
**
5,344,450

INTERDIGITAL INC COM
**
264,004

INTERFACE INC COM
**
86,583

INTERGLOBE AVIATIO INR10
**
273,742

INTERMED CAP GRP ORD GBP0.2625
**
1,244,303

INTERNATIONAL BUSINESS MACHS CORP 2.85% 05-13-2022 REG
**
2,428,728

INTERNATIONAL BUSINESS MACHS CORP 3.0% DUE 05-15-2024 REG
**
8,343,257

INTERNATIONAL BUSINESS MACHS CORP 4 NTS DUE 06-20-2042 USD1000
**
331,478

INTERNATIONAL GAME TECHNOLOGY COMMON STOCK
**
954,547

INTERNATIONAL PERSONAL FINANCE PLC ORD GBP0.10
**
7,277

INTERNATIONAL SEAWAYS INC INTERNATIONAL SEAWAYS INC COMMON STOCK
**
156,002

INTERPUBLIC GROUP COS INC 3.75% 10-01-2021
**
308,356

INTERSECT ENT INC COM
**
237,272

INTERSTATE PWR & LT CO 3.6% 04-01-2029
**
266,278

INTERSTATE PWR & LT CO 3.6% 04-01-2029
**
2,316,616

INTERTRUST NV EUR0.6 144A
**
477,038

INTESA SANPAOLO NPV
**
5,985,995

INTESA SANPAOLO S 3.375% DUE 01-12-2023
**
915,174

INTEST CORP COM
**
11,347

INTEVAC INC COM
**
22,451

INTL BANCSHARES CORP COM
**
476,096

INTL CONTAINER TER PHP1
**
251,371

INTL FCSTONE INC COM
**
128,276

INTL FLAVORS & 3.4% DUE 09-25-2020
**
201,712

INTL GAME SYSTEM TWD10
**
273,209

INTL LEASE FIN 4.625% DUE 04-15-2021
**
7,997,348


132
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
INTL LEASE FIN 5.875% DUE 08-15-2022
**
315,961

INTL LEASE FIN 5.875% DUE 08-15-2022
**
2,505,898

INTL LEASE FIN 8.25% DUE 12-15-2020
**
105,719

INTL PAPER CO COM
**
12,124,965

INTOPS CO KRW500
**
211,615

INTRA-CELLULAR THERAPIES INC COM
**
326,803

INTREPID POTASH INC COM
**
63,834

INTREXON CORP COM
**
249,340

INTRICON CORP COM
**
21,708

INTUITIVE SURGICAL INC COM NEW STK
**
8,565,172

INVACARE CORP COM
**
253,417

INVENTEC CORP TWD10
**
46,497

INVESCO LTD COM STK USD0.20
**
937,261

INVESTAR HLDG CORP COM
**
17,208

INVESTEC LIMITED ZAR0.0002
**
298,249

INVESTEC ORD GBP0.0002
**
143,620

INVESTOR AB SER'B'NPV
**
276,016

INVESTORS BANCORP INC NEW COM
**
535,091

INVESTORS REAL ESTATE TRUST COM NEW COM SHS OF BENFCAL INTRST(POST REV SPLT)
**
84,825

INVESTORS TITLE CO NC COM
**
43,462

INVINCIBLE INVESTMENTS CORP REIT
**
1,122,029

IOI PROPERTIES GP NPV
**
181,582

IONIS PHARMACEUTICALS INC COM
**
165,282

IOVANCE BIOTHERAPEUTICS INC COM
**
293,989

IPALCO ENTERPRISES 3.45% DUE 07-15-2020
**
1,004,325

IPCA LAB LTD COMSTK
**
302,743

IPEK DOGAL ENERJI TRY1 (C SHARES)
**
169,893

IPH LTD NPV
**
237,485

IPSEN EUR1
**
136,386

IQVIA HLDGS INC COM USD0.01
**
42,919,633

IRHYTHM TECHNOLOGIES INC COM
**
1,617,138

IRIDIUM COMMUNICATIONS INC COM STK
**
368,097

IROBOT CORP COM
**
33,922

IRONWOOD PHARMACEUTICALS INC COM CL A
**
271,231

IRS CHASUS33 01/03/2024 ILS P 3MTELBO / R 1.018% SWU00SW35
**
147,459

IRS CITIUS33 19/06/2024 CNY P 7DCNRR0 / R 3.2% SWU00UMO5
**
27,874

IRS MSLNGB2X 04/06/2024 CNY P 7DCNRR0 / R 2.925% SWU00UBW9
**
2,277

IRS THB 6MTHBFX/6M 2.48% CITIUS33 18/05/2027 SWU00LT91
**
18,746

IRS THB 6MTHBFX/6M 2.81% CITIUS33 18/05/2037 SWU00LTA8
**
62,979

ISRAEL DISCOUNT BK ILS0.10
**
253,787

ISRAEL(STATE OF) 1.75% SNR 31/08/25 ILS1000
**
310,698

ISRAEL(STATE OF) GTD NT CL 2 DTD 12/04/2003 5.5% DUE 12-04-2023 REG
**
153,797

ITALY(REP OF) 1.35% BDS 01/04/30 EUR1000
**
1,563,564

ITALY(REP OF) 1.45% SNR 15/11/24 EUR1000
**
350,764

ITALY(REP OF) 2.1% BDS 15/07/2026 EUR1000
**
1,084,802

ITALY(REP OF) 2.5% SNR 15/11/2025 EUR1000
**
861,510

ITALY(REP OF) IDX/LKD SNR 23/04/2020 EUR
**
1,128,858


133
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ITALY(REPUBLIC OF) 2.35% IDX/LKD NTS 15-09-2024 EUR1000
**
1,459,315

ITAUSA INV ITAU SA PRF NPV
**
544,287

ITC HLDGS CORP 2.7% 11-15-2022 BEO
**
992,253

ITC HLDGS CORP 3.25% DUE 06-30-2026
**
825,407

ITOCHU CORP NPV
**
1,243,376

ITOHAM YONEKYU HOLDINGS
**
119,116

ITRON INC COM STK NPV
**
3,050,155

ITT INC COM
**
2,075,688

J & J SNACK FOODS CORP COM STK NPV
**
8,818,241

J ALEXANDERS HLDGS INC COM CL A
**
25,334

J JILL INC COM
**
8,938

J P MORGAN CHASE 2.6942% DUE 04-15-2046
**
3,922,313

J P MORGAN CHASE 3.0934% DUE 07-05-2032
**
4,895,528

J P MORGAN CHASE 3.6744% DUE 12-15-2046
**
931,198

J2 GLOBAL INC COM
**
5,755,762

JABIL INC
**
3,234,403

JACK HENRY & ASSOC INC COM
**
3,204,740

JACKSON NATIONAL LIFE GLOBAL FNDG 144A 3.875% DUE 06-11-2025 BEO
**
268,146

JACKSON NATIONAL LIFE GLOBAL FNDG PPN CORPBOND 2.5% 06-27-2022
**
5,283,471

JACKSON NATL LIFE GLOBAL FLTG CORP 144A 03-16-2021
**
3,884,358

JADESTONE ENERGY NPV
**
212,943

JAFCO CO LTD NPV
**
430,857

JAMES RIVER GROUP HOLDINGS COM USD0.0002
**
1,301,453

JAMMU AND KASHMIR BANK LTD INR1 DEMAT EQUITY
**
41,432

JANUS HENDERSON GROUP PLC ORD USD1.50
**
723,280

JAPAN (30 YR TBOND .5% 20/03/2049
**
1,603,785

JAPAN AIRLINES CO NPV
**
3,809,483

JAPAN BK INTL COOPERATION 1% BDS 27/10/2021 USD 2% DUE 11-04-2021 BEO
**
3,809,391

JAPAN BK INTL COOPERATION 3.25% DUE 07-20-2023 REG
**
313,327

JAPAN FIN ORGANIZATION FOR MUNICIPALITIE2.125% DUE 02-12-2021 BEO
**
10,018,705

JAPAN FIN ORGANIZATION FOR MUNICIPALITIEGLOBAL NT 144A 2.125% DUE 10-25-2023 BEO
**
1,303,483

JAPAN FIN ORGANIZATION FOR MUNICIPALITIEGLOBAL NT 144A 2.125% DUE 10-25-2023 BEO
**
1,804,823

JAPAN FIN ORGANIZATION FOR MUNICIPALITIENT SER 53 144A 2.125% DUE 04-13-2021 BEO
**
501,099

JAPAN FIN ORGANIZATION FOR MUNICIPALITIES 144A 2.625% 04-20-2022
**
202,794

JAPAN FIN ORGANIZATION FOR MUNICIPALITIES 144A 2.625% 04-20-2022
**
4,461,459

JAPAN GOVT CPI IDX/LKD 10/03/2028
**
2,108,783

JAPAN GOVT TBOND .1% 20/06/2029
**
186,291

JAPAN MATERIAL CO NPV
**
51,495

JAPAN PETROLEUM EX NPV
**
387,839

JAPAN POST HOLD CO NPV
**
813,194

JAPAN PRIME REALTY REIT
**
171,257

JAPAN REAL ESTATE INVESTMENT CO
**
212,256

JAPAN RENTAL HOUSING INVESTMENTS INC
**
778,581

JAPAN RETAIL FUND REIT
**
135,421

JAPAN TOBACCO INC 2% SNR EMTN 13/04/2021USD
**
498,878

JAPAN TOBACCO INC NPV
**
3,880,514

JAPAN(GOVT OF) 0% T-BILL 09/03/2020 JPY
**
1,196,567


134
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
JAPAN(GOVT OF) 0% T-BILL 10/01/2020 JPY
**
1,472,323

JAPAN(GOVT OF) 0% T-BILL 23/03/2020 JPY
**
1,288,676

JAPAN(GOVT OF) 0% T-BILL 27/01/2020 JPY
**
1,104,334

JAPAN(GOVT OF) 0.1% IDX/LKD SNR 03/26 JPY
**
3,652,774

JAPAN(GOVT OF) 0.7% SNR 20/12/48 JPY50000
**
676,461

JAPAN(GOVT OF) 1.2% SNR 20/09/35 JPY50000
**
651,407

JARLLYTEC CO. LTD. TWD10
**
206,642

JAZZ PHARMACEUTICALS PLC COM USD0.0001
**
2,500,291

JB CHEMICALS & PHARMA LTD COM
**
11,754

JBG SMITH PROPERTIES COM USD0.01 WI
**
452,193

JBS SA COM NPV
**
1,273,530

JEAN CO TWD10
**
114,212

JEFFERIES FINL GROUP INC COM
**
290,183

JEFFERIES GROUP 5.125% DUE 01-20-2023
**
2,159,957

JELD-WEN HLDG INC COM
**
2,702,872

JETBLUE AWYS CORP COM
**
1,586,015

JIANGXI COPPER CO 'H'CNY1
**
53,656

JINDAL SAW LTD INR2(DEMAT)
**
25,560

JINDAL STEEL & PWR INR1.00
**
17,915

JINLI GROUP HOLDIN TWD10
**
20,101

JMT CO LTD KRW500
**
23,005

JOHN DEERE OWNER SER 17-A CL A4 2.11% 12-15-2023
**
13,209,610

JOHNSON & JOHNSON COM USD1
**
34,984,877

JOHNSON CTLS INTL 5% DUE 03-30-2020
**
150,962

JOHNSON CTLS INTL PLC COM USD0.01
**
20,277,977

JOHNSON OUTDOORS INC CL A
**
107,457

JOHNSON SERVICE GP ORD GBP0.10
**
282,324

JOST WERKE AG NPV (REGD)
**
51,862

JOUNCE THERAPEUTICS INC. COM
**
140,143

JP MORGAN CHASE BK 2.604% DUE 02-01-2021
**
8,646,563

JP MORGAN CHASE BK FLTG RT 3.086% DUE 04-26-2021
**
7,274,891

JPMBB COML MTG 2.8164% DUE 11-15-2048
**
3,294,238

JPMBB COML MTG 3.0456% DUE 04-15-2047
**
56,099

JPMBB COML MTG 3.31060004234% DUE 03-15-2049
**
13,190,226

JPMBB COML MTG 3.3222% DUE 07-15-2048
**
4,479,552

JPMBB COML MTG FLTG RT 4.2016% DUE 09-15-2047
**
6,641,719

JPMBB COML MTG FLTG RT 4.705983% DUE 09-15-2047
**
999,750

JPMBB COML MTG SECS TR 2015-C31 FLTG RT CL B 08-15-2048
**
1,477,875

JPMBB COML MTG SECS TR SER 2014-C23 CL A-SB 3.657%09-15-2047
**
1,766,947

JPMDB COML MTG SECS TR 2016-C4 CL A-2 2.8822% 9-15-2026
**
8,186,986

JPMORGAN CHASE & 2.4% DUE 06-07-2021
**
402,638

JPMORGAN CHASE & 2.55% DUE 03-01-2021
**
362,785

JPMORGAN CHASE & 2.55% DUE 10-29-2020
**
703,184

JPMORGAN CHASE & 2.7% DUE 05-18-2023
**
5,162,250

JPMORGAN CHASE & 2.95% DUE 10-01-2026
**
1,731,404

JPMORGAN CHASE & 3.2% DUE 01-25-2023
**
4,427,468

JPMORGAN CHASE & 3.25% DUE 09-23-2022
**
2,276,221


135
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
JPMORGAN CHASE & 3.625% DUE 05-13-2024
**
1,584,867

JPMORGAN CHASE & 3.797% DUE 07-23-2024
**
4,954,033

JPMORGAN CHASE & 4.25% DUE 10-15-2020
**
819,307

JPMORGAN CHASE & 4.5% DUE 01-24-2022
**
5,344,616

JPMORGAN CHASE & CO 3.875 09-10-2024
**
8,280,896

JPMORGAN CHASE & CO 2.739% DUE 10-15-2030
**
3,235,473

JPMORGAN CHASE & CO 2.776% 04-25-2023
**
2,031,581

JPMORGAN CHASE & CO 3.782% DUE 02-01-2028 BEO
**
29,008,554

JPMORGAN CHASE & CO 4.452% 12-05-2028
**
6,771,643

JPMORGAN CHASE & CO COM
**
58,086,028

JPMORGAN CHASE & CO NT FIXED/FLTG DUE 04-01-2023/04-01-2022 REG
**
9,091,763

JPMORGAN CHASE & CO NT FLTG RATE DUE 06-18-2022/06-18-2021 REG
**
1,204,614

JPMORGAN CHASE & CO NT FLTG RATE DUE 06-18-2022/06-18-2021 REG
**
3,026,593

JPMORGAN CHASE & FLTG RT 2.301% DUE 10-15-2025
**
3,805,704

JPMORGAN CHASE & FLTG RT 3.559% DUE 04-23-2024
**
833,671

JPMORGAN CHASE & FLTG RT 3.559% DUE 04-23-2024
**
11,020,093

JPMORGAN CHASE & FLTG RT 4.023% DUE 12-05-2024
**
4,020,600

JPMORGAN CHASE & FLTG RT 4.203% DUE 07-23-2029
**
1,283,734

JPN BANK FOR INT'L COOP 3.375% 10-31-2023 REG
**
420,815

JPN BANK FOR INT'L COOP 3.375% 10-31-2023 REG
**
631,222

JSC OGK-2 RUB0.3627(RUB)
**
255,260

JSW STEEL LTD INR1
**
403,712

JTEKT CORPORATION NPV
**
109,673

JULIUS BAER GRUPPE CHF0.02 (REGD)
**
3,029,748

JUNIPER NETWORKS INC COM
**
445,803

JVCKENWOOD CORPORA NPV
**
888,283

JYSKE REALKREDIT 1% CVD BDS 01/04/20 DKK0.01
**
376,968

JYSKE REALKREDIT 1% CVD BDS 01/10/50 DKK0.01
**
996,654

JYSKE REALKREDIT 1% SNR 01/10/2050 DKK0.01
**
1,005,904

JYSKE REALKREDIT 1.5% CVD BDS 01/10/2050DKK
**
209,181

K WAH INTL HKD0.10 COM STK
**
231,686

K12 INC COM STOCK USD.0001
**
453,072

KADANT INC COM
**
29,811

KAISER ALUM CORP COM PAR $0.01 COM PAR $0.01
**
374,143

KAJIMA CORP NPV
**
1,055,568

KAKAO CORP KRW500
**
1,079,243

KAKEN PHARM NPV
**
407,904

KAMAN CORP COM
**
256,231

KAMIGUMI CO LTD NPV
**
562,967

KANDENKO CO LTD NPV
**
103,343

KANSAS CITY POWER & LIGHT CO 4.2% 03-15-2048
**
344,105

KANSAS CITY PWR & LT CO 5.3 DUE 10-01-2041
**
82,225

KARDEX AG CHF0.45 (REGD)
**
633,613

KARYOPHARM THERAPEUTICS INC COM
**
331,162

KASIKORNBANK PCL THB10 (NVDR)
**
113,772

KB HOME COM
**
1,264,529

KBC ANCORA NPV
**
759,374


136
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
KBC GROEP NV 0.75% SNR NPF 01/03/22 EUR
**
228,431

KBC GROEP NV NPV
**
6,726,185

KBR INC COM
**
663,680

KC CO LTD KRW500
**
269,348

KCC CORP KRW5000
**
78,981

KDDI CORP NPV
**
160,619

KEARNY FINL CORP MD COM
**
226,784

KEDGE CONSTRUCTION TWD10
**
5,017

KELLOGG CO 3.125% DUE 05-17-2022
**
1,749,048

KELLOGG CO 3.4% DUE 11-15-2027
**
37,624

KELLY SERVICES INC CL A COM
**
465,577

KEMET CORP COM NEW
**
215,480

KEMPER CORP DEL COM
**
964,875

KENEDIX RETAIL REI REIT
**
409,583

KENNAMETAL INC CAP
**
1,497,218

KENNEDY-WILSON HLDGS INC COM
**
1,481,255

KEPCO PLANT SERVICE & ENGINEERING CO LTDKRW200
**
104,249

KERING
**
1,636,306

KERRY PROPERTIES HKD1
**
1,246,743

KEURIG DR PEPPER 3.551% DUE 05-25-2021
**
7,067,806

KEURIG DR PEPPER 4.057% DUE 05-25-2023
**
2,425,814

KEURIG DR PEPPER 5.085% DUE 05-25-2048
**
120,485

KEURIG DR PEPPER INC CORP 4.985% 05-25-2038
**
295,214

KEWAUNEE SCIENTIFIC CORP COM
**
6,738

KEY TRONIC CORP COM
**
6,746

KEYBANK NATL ASSN 2.25% DUE 03-16-2020
**
1,956,150

KEYBANK NATL ASSN CLEVELAND OHIO GLOBAL 3.3% 02-01-2022
**
513,667

KEYCORP 2.55% 10-01-2029 BEO
**
312,938

KEYCORP MEDIUM TERM SR NTS BOOK ENTRY MTN 5.1% DUE 03-24-2021
**
326,911

KEYSIGHT TECHNOLOGIES INC COM
**
481,848

KFORCE INC
**
223,114

KIA MOTORS CORP KRW5000
**
1,754,902

KILROY RLTY CORP COM
**
768,608

KILROY RLTY L P 4.375% DUE 10-01-2025
**
2,176,140

KIMBALL ELECTRONICS INC COM
**
51,106

KIMBALL INTL INC CL B
**
59,736

KIMBERLY CLARK DE MEXICO S.A.B DE C.V
**
59,971

KIMBERLY-CLARK CORP COM
**
3,488,268

KIMCO RLTY CORP COM
**
769,439

KINDER MORGAN 3.5 DUE 03-01-2021
**
364,596

KINDER MORGAN 4.15% DUE 03-01-2022
**
3,651,135

KINDER MORGAN 6.85% DUE 02-15-2020
**
804,037

KINDER MORGAN GTD SR NT FIXED 6.5% DUE 04-01-2020
**
318,319

KINDER MORGAN INC 4.3% DUE 06-01-2025
**
835,438

KINDER MORGAN INC FLTG RT 3.11125% DUE 01-15-2023
**
10,850,245

KING STREET FDG TR 3.75% DUE 04-18-2029
**
3,511,371

KING YUAN ELECTRON TWD10
**
16,284


137
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
KINGBOARD HOLDINGS LTD
**
60,230

KINGBOARD LAMINATE HKD0.10
**
528,760

KINGFISHER ORD GBP0.157142857
**
242,206

KINGSTONE COS INC COM
**
11,672

KINNEVIK AB SER'B'NPV (POST SPLIT)
**
75,951

KINROSS GOLD CORP COM
**
704,347

KINTETSU WORLD EXP NPV
**
72,882

KION GROUP AG NPV
**
568,464

KIRBY CORP COM
**
401,453

KIRKLAND LAKE GOLD LTD COM KIRKLAND LAKEGOLD LTD
**
83,733

KIRKLANDS INC COM
**
2,160

KISCO CORP COMSTK
**
24,052

KITE RLTY GROUP TR COM NEW COM NEW
**
157,978

KKR & CO INC CL A CL A
**
30,000,616

KLA CORP 4.125% DUE 11-01-2021
**
620,509

KLA CORP 4.65% DUE 11-01-2024
**
7,683,573

KLEPIERRE EUR1.40
**
113,914

KLX ENERGY SVCS HLDGS INC COM
**
22,327

KNIGHT-SWIFT TRANSN HLDGS INC CL A CLASSA COMMON STOCK USD0.01
**
2,246,845

KNOLL INC COM NEW COM
**
173,738

KNOWLES CORP COM
**
289,840

KODIAK SCIENCES INC COM USD0.0001
**
1,738,168

KOHLS CORP COM
**
898,503

KOITO MFG CO LTD NPV
**
97,177

KOMATSU FINANCE AMERICA 2.437% 11/09/2022
**
301,294

KOMMUNALBANKEN AS MEDIUM TERM NTS BOOK ENTRYADJ RT 06-16-2020 BEO
**
200,255

KOMMUNALBANKEN AS MEDIUM TERM NTS BOOK ETRANCHE # TR 65 2% DUE 06-19-2024 BEO
**
302,394

KON AHOLD DELHAIZE EUR0.01
**
3,579,589

KONE CORPORATION NPV ORD 'B'
**
788,608

KONICA MINOLTA INC NPV
**
159,669

KONINKLIJKE PHILIP EUR0.20
**
3,363,894

KONINKLIJKE PHILIPS NV
**
3,282,190

KONTOOR BRANDS INC COM NPV WI
**
545,324

KOREA GAS KRW5000
**
51,992

KOREA INVESTMENT H 1ST PRF KRW5000
**
37,068

KOREA INVESTMENT HOLDINGS KRW5000
**
645,265

KOREA KUMHO PETRO PRF KRW5000
**
91,329

KOREA ZINC KRW5000
**
530,827

KOREA(REPUBLIC OF) 2.125% SNR 10/06/2027KRW
**
156,500

KOREA(REPUBLIC OF) 2.375% SNR 10/12/2027KRW
**
154,796

KOREA(REPUBLIC OF) 2.375% SNR 10/12/2028KRW
**
703,289

KOREA(REPUBLIC OF) 2.625% SNR 10/06/2028KRW
**
324,992

KOREA(REPUBLIC OF) 5.5% SNR 10/03/28 KRW10000
**
189,903

KOREAN REINSURANCE KRW500
**
115,350

KORN FERRY COM
**
1,233,331

KORNIT DIGITAL LTD COMMON STOCK
**
2,385,181

KOSMOS ENERGY LTD COM USD0.01
**
542,019


138
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
KOZA ALTIN ISLETME TRY1 (B SHARES)
**
359,773

KOZA ANADOLU METAL TRY1 (C SHARES)
**
99,727

KRAFT FOODS GROUP 3.5% DUE 06-06-2022
**
5,157,232

KRAFT FOODS GROUP 5% DUE 06-04-2042
**
122,880

KRAFT HEINZ FOODS 2.8% DUE 07-02-2020
**
52,083

KRAFT HEINZ FOODS 2.8% DUE 07-02-2020
**
465,743

KRAFT HEINZ FOODS 3% DUE 06-01-2026
**
120,035

KRAFT HEINZ FOODS 3% DUE 06-01-2026
**
6,101,775

KRAFT HEINZ FOODS 3.375% DUE 06-15-2021
**
748,085

KRAFT HEINZ FOODS 3.75% DUE 04-01-2030
**
154,570

KRAFT HEINZ FOODS 3.75% DUE 04-01-2030
**
2,591,620

KRAFT HEINZ FOODS 3.95% DUE 07-15-2025
**
264,726

KRAFT HEINZ FOODS 3.95% DUE 07-15-2025
**
6,824,637

KRAFT HEINZ FOODS CO FLTG RT DUE 02-10-2021 REG
**
500,711

KRATON CORPORATION
**
564,231

KRATOS DEFENSE & SECURITY SOLUTIONS INC
**
3,988,242

KREDITANSTALT FUR WIEDERAUFBAU KFW GLOBAL NT 4% DUE 01-27-2020 REG
**
36,499,300

KROGER CO 2.65% DUE 10-15-2026
**
201,365

KROGER CO 3.4 DUE 04-15-2022
**
123,409

KROGER CO 4 DUE 02-01-2024
**
220,657

KRONOS WORLDWIDE INC COM STK
**
115,186

KRUNG THAI BNK LTD THB5.15(NVDR)
**
507,170

KS CY PWR & LT CO 3.15 DUE 03-15-2023
**
24,738

KUBOTA CORP NPV
**
4,775,633

KULICKE & SOFFA INDS INC COM
**
209,086

KUMHO PETRO CHEM KRW5000
**
459,579

KUNLUN ENERGY CO COMSTK
**
420,298

KUWAIT ST NT 144A 2.75% DUE 03-20-2022 BEO
**
4,227,850

KUWAIT ST NT 144A 3.5% DUE 03-20-2027 BEO
**
2,149,280

KY UTILS CO 1ST MTG BD 3.25 DUE 11-01-2020
**
297,175

KYOBO SECURITIES KRW5000
**
17,832

KYOCERA CORP NPV
**
5,764,134

KYOEI STEEL LTD NPV
**
946,488

KYUSHU RAILWAY COR NPV
**
93,855

L A CAL DEPT ARPTS ARPT REV TAX BUILD AMER BD 6.582 DUE 05-15-2039
**
92,885

LA JOLLA PHARMACEUTICAL CO COM PAR $.0001 2014 COM PAR $.0001 2014
**
20,585

LA Z BOY INC COM
**
203,990

LAB CORP AMER 2.95% DUE 12-01-2029
**
501,434

LAFARGEHOLCIM LTD
**
657,617

LAKELAND BANCORP INC COM
**
148,773

LAKELAND INDS INC COM
**
9,936

LAM RESH CORP COM
**
465,501

LANDEC CORP COM
**
54,118

LANDIS & GYR GROUP CHF10 (REGD)
**
195,867

LANDS END INC NEW COM
**
82,320

LANDSTAR SYS INC COM
**
1,451,843

LANDWIRTSCH RENTENBANK 4.25% 24/01/2023
**
76,497


139
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
LANTHEUS HLDGS INC COM
**
789,697

LAR ESPANA REAL ESTATE SOCIMI SA EUR2
**
648,299

LAREDO PETROLEUM INC
**
104,867

LARSEN & TOUBRO SPON GDR EA REPR 1 ORD REG
**
561,803

LAS VEGAS SANDS 3.2% DUE 08-08-2024
**
3,191,777

LATAM AIRLINES GP COM NPV
**
36,442

LATTICE SEMICONDUCTOR CORP COM
**
2,180,505

LAUREATE ED INC CL A CL A
**
191,914

LAUREL RD PRIME STUDENT SR 19-A CL A2FX 0.0% 10-25-2048
**
1,292,000

LAWSON PRODS INC COM
**
60,176

LCH_IRS CSFBUS33 03/12/2021 JPY P 0 / R 6MLIBOR SWU00UC40
**
1,438

LCH_IRS CSFBUS33 07/03/2049 CAD P 3MCDOR / R 2.565% SWU00T160
**
36,256

LCH_IRS CSFBUS33 08/21/2023 USD P 1.306% / R 3MLIBOR SWU00VS33
**
36,928

LCH_IRS CSFBUS33 08/25/2024 USD P 1.298% / R 3MLIBOR SWU00VUF3
**
26,042

LCH_IRS CSFBUS33 08/31/2024 USD P 1.249% / R 3MLIBOR SWU00VXO1
**
39,122

LCH_IRS CSFBUS33 17/03/2031 JPY P 0.25% / R 6MLIBOR SWU00W8H2
**
99,339

LCH_IRS CSFBUS33 17/06/2022 EUR P -0.3% / R 6MEURIB SWU00Y8X3
**
4,560

LCH_IRS CSFBUS33 17/06/2025 GBP P 6MLIBOR / R 1% SWU00Y961
**
41,951

LCH_IRS CSFBUS33 18/03/2022 EUR P -0.5% / R 6MEURIB SWU00W8N9
**
21,220

LCH_IRS CSFBUS33 18/03/2022 GBP P 0.75% / R 6MLIBOR SWU00W8V1
**
9,546

LCH_IRS CSFBUS33 18/03/2030 GBP P 0.75% / R 6MLIBOR SWU00W8Y5
**
385,067

LCH_IRS CSFBUS33 18/03/2050 EUR P 0.25% / R 6MEURIB SWU00W8Q2
**
357,055

LCH_IRS CSFBUS33 18/12/2048 CAD P 3MCDOR / R 2.75% SWU00RPX9
**
113,930

LCH_IRS CSFBUS33 19/06/2029 EUR P 6MEURIB / R 1.31% SWU00SI72
**
68,746

LCH_IRS CSFBUS33 19/06/2029 SEK P 3MSTBOR / R 1% SWU00SMX0
**
35,328

LCH_IRS CSFBUS33 19/06/2049 JPY P 6MLIBOR / R 0.5% SWU00U746
**
4,079

LCH_IRS LCH_CSFBUS JPY P 6M LIBOR/R .45% 20/03/2029 SWU00KXL1
**
20,642

LCH_IRS LCH_CSFBUS USD P 3M LIBOR/R 1.75% 12/21/2026 SWU00INB9
**
2,354

LCH_OIS CSFBUS33 03/12/2039 GBP P 0.905% / R 1DSONIA SWU00Y0Q6
**
3,219

LCH_OIS CSFBUS33 09/15/2021 USD P 1.304% / R 1DFFUND SWU00X906
**
17,661

LCI INDUSTRIES COM
**
207,189

LCNB CORP COM
**
30,571

LEAF GROUP LTD COM
**
63,892

LEAR CORP COM NEW COM NEW
**
2,471,109

LEG IMMOBILIEN AG NPV
**
129,426

LEGG MASON INC COM
**
428,729

LEGRAND SA EUR4
**
3,747,342

LEMAITRE VASCULAR INC COM STK
**
2,812,800

LENDINGCLUB CORP COM NEW
**
416,220

LENDINGTREE INC NEW COM USD0.01
**
2,691,209

LENDLEASE CORP LTD NPV (STAPLED)
**
195,909

LENNOX INTL INC COM
**
1,539,451

LEONARDO SPA EUR4.40
**
995,573

LEXICON PHARMACEUTICALS INC FORMERLY LE COMMON STOCK
**
166,415

LEXINGTON RLTY TR COM
**
223,370

LG ELECTRONICS INC KRW5000
**
1,001,640

LG HSEHLD & HLTCRE COMMON STOCK
**
874,758


140
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
LG UPLUS CORP KRW5000
**
325,693

LG&E & KU ENERGY LLC 3.75 DUE 11-15-2020
**
505,170

LGI HOMES INC COM
**
741,966

LHC GROUP INC COM
**
1,636,864

LI NING CO LTD HKD0.1
**
945,472

LIBBEY INC COM
**
4,243

LIBERTY HLDGS ZAR0.0833
**
161,621

LIBERTY LATIN AMERICA LTD COM USD0.01 CLASS A
**
160,325

LIBERTY LATIN AMERICA LTD COM USD0.01 CLASS C
**
793,365

LIBERTY MEDIA CORP DEL COM SER C BRAVES GROUP COM SER C BRAVES GROUP
**
841,033

LIBERTY MEDIA CORPORATION COM USD0.01 SER C FORMULA
**
1,479,521

LIBERTY OILFIELD SVCS INC CL A COM CL A COM
**
16,413

LIBERTY PPTY TR SH BEN INT
**
824,847

LIBERTY TRIPADVISOR HLDGS INC COM USD0.01 'A'
**
56,852

LIC HOUSING FINAN INR 2
**
56,299

LIFE STORAGE INC COM
**
3,645,788

LIFE STORAGE LP FIXED 4% DUE 06-15-2029
**
107,096

LIFETIME BRANDS INC COM
**
19,335

LIFEVANTAGE CORP COM NEW COM NEW
**
127,393

LIGAND PHARMACEUTICALS INCORPORATED CL BCOMMON STOCK
**
117,222

LILLY ELI & CO 2.35% DUE 05-15-2022
**
2,086,567

LIMBACH HLDGS INC COM
**
4,528

LIMELIGHT NETWORKS INC COM
**
45,880

LIMONEIRA CO COM STK
**
53,825

LINCOLN ELEC HLDGS INC COM
**
1,112,395

LINCOLN NATL CORP 4.2 DUE 03-15-2022
**
26,080

LINCOLN NATL CORP 4.35% 03-01-2048
**
292,143

LINCOLN NATL CORP 6.25% DUE 02-15-2020
**
115,531

LINCOLN NATL CORP 6.25% DUE 02-15-2020
**
4,385,140

LINDAB INTL AB NPV
**
1,060,454

LINDE PLC COMMON STOCK
**
4,118,790

LINK REAL ESTATE INVESTMENT
**
397,052

LIONS GATE ENTMT CORP CL B NON VTG NON VOTING SHS CL B
**
197,776

LIONS GATE ENTMT CORP VOTING SHARES CL A
**
131,790

LIONTRUST ASSET MANAGEMENT ORD GBP0.01
**
12,080

LIPPO KARAWACI IDR100
**
78,094

LIQUIDITY SVCS INC COM STK
**
37,566

LITE-ON TECHNOLOGY TWD10
**
179,443

LITHIA MTRS INC CL A CL A
**
589,911

LITHUANIA REP SR BD 144A 6.125% DUE 03-09-2021 BEO
**
1,614,484

LITHUANIA(REP OF) 6.125% SNR 09/03/2021 USD
**
419,751

LITTELFUSE INC COM
**
2,620,810

LIVANOVA PLC ORD GBP1.00 (DI)
**
1,953,712

LIVE OAK BANCSHARES INC COM
**
104,878

LIVENT CORP COM
**
536,034

LIVEPERSON INC COM STK ISIN# US5381461012
**
895,659

LIVERAMP HOLDINGS INC
**
2,256,021


141
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
LIVONGO HEALTH INC COM
**
542,374

LLOYDS BANK PLC 2.7% DUE 08-17-2020
**
1,607,034

LLOYDS BANK PLC 4.875% GTD SNR 30/03/27 GBP
**
1,803,680

LLOYDS BANK PLC 5.125% GTD 07/03/2025 GBP
**
157,711

LLOYDS BANK PLC 7.5%-VAR SNR 02/04/2032 USD
**
1,672,281

LLOYDS BANKING GP 7.625% UNDATED NTS GBP20000
**
297,847

LLOYDS BANKING GP ORD GBP0.1
**
331,958

LLOYDS BK CORP MKTS PLC NY BRH INST FLTGRT 09-24-2018 DUE 9-24-2020
**
5,975,935

LLOYDS BK PLC 2.25% DUE 08-14-2022
**
2,057,154

LLOYDS BK PLC 3.3% DUE 05-07-2021
**
4,268,504

LLOYDS BKG GROUP 0% DUE 03-22-2028
**
661,793

LLOYDS BKG GROUP 2.858% DUE 03-17-2023
**
1,723,493

LLOYDS BKG GROUP 3% DUE 01-11-2022
**
12,086,796

LLOYDS BKG GROUP 4.05% DUE 08-16-2023
**
424,149

LLOYDS BKG GROUP 4.05% DUE 08-16-2023
**
2,555,496

LLOYDS BKG GROUP 4.45% DUE 05-08-2025
**
5,462,589

LLOYDS BKG GROUP 4.582% DUE 12-10-2025
**
216,621

LLOYDS BKG GROUP FLTG RT 2.907% DUE 11-07-2023
**
2,204,740

LLOYDS BKG GROUP FLTG RT 3.574% 11-07-2028
**
15,673,278

LLOYDS BKG GROUP PLC 3.9% 03-12-2024
**
1,478,433

LLOYDS BKG GROUP PLC 3.9% 03-12-2024
**
2,481,656

LMS CO LTD KRW500
**
129,396

LOCKHEED MARTIN 3.35 DUE 09-15-2021
**
143,508

LOCKHEED MARTIN 3.35 DUE 09-15-2021
**
655,009

LOCKHEED MARTIN 3.55% DUE 01-15-2026
**
1,233,787

LOCKHEED MARTIN CORP COM
**
11,403,383

LOGMEIN INC COM
**
636,877

LOJAS RENNER SA COM NPV
**
538,167

LONDON STOCK EXCHANGE GROUP ORD GBP0.06918604
**
321,043

LONESTAR RES US INC CL A VTG CL A VTG
**
11,617

LONGFOR GROUP HOLDINGS LTD
**
145,217

L'OREAL EUR0.20
**
4,979,994

LOTTE CHEMICAL PAK PKR10
**
153,087

LOTTE CHILSUNG BEV KRW500
**
264,416

LOTTE FINE CHEMICA KRW5000
**
101,918

LOUISIANA-PACIFIC CORP COM
**
1,461,989

LOWES COMPANIES INC BNDS 3.12% DUE 04-15-2022 REG
**
184,393

LOWES COS INC 2.5% DUE 04-15-2026
**
201,350

LOWES COS INC 3.65% DUE 04-05-2029
**
213,904

LPL FINL HLDGS INC COM
**
2,490,381

LSB INDS INC COM
**
21,689

LSI INDS INC OHIO COM
**
17,987

LTC PPTYS INC COM
**
85,063

LUBYS INC COM
**
6,314

LUCECO PLC ORD GBP0.0005
**
22,185

LULULEMON ATHLETICA INC COM
**
10,516,660

LUMENTUM HLDGS INC COM
**
499,431


142
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
LUMINEX CORP DEL COM
**
143,360

LUNA INNOVATIONS INC COM STK
**
32,069

LUNDIN MINING CORP COM NPV
**
118,433

LUTHER BURBANK CORP COM
**
18,102

LVMH MOET HENNESSY LOUIS VUITTON SE EUR0.30
**
9,029,126

LYDALL INC COM
**
60,472

LYON WILLIAM HOMES CL A NEW COM USD0.01 CL'A'(POST REV SPLIT)
**
94,725

LYONDELLBASELL INDS N V 6 DUE 11-15-2021
**
1,885,543

M & T BK CORP 3.55% DUE 07-26-2023
**
2,373,038

M / I HOMES INC
**
96,801

M D C HLDGS INC COM
**
3,746,205

M&G PLC ORD GBP0.05
**
259,055

MACATAWA BK CORP COM
**
65,500

MACERICH CO REIT
**
357,848

MACK CALI RLTY CORP COM REIT
**
204,238

MACOM TECHNOLOGY SOLUTIONS HOLDINGS INC COM STK
**
41,044

MACQUARIE BANK LTD TRANCHE # TR 00026 FLTG 08-06-2021 BEO
**
2,290,775

MACQUARIE GROUP LTD SR MEDIUM TERM TRANCHE # TR 00003 6 14/01/2020
**
1,001,204

MACQUARIE GROUP LTD SR MEDIUM TERM NTS 144A 6.25 DUE 01-14-2021
**
468,614

MACQUARIE INFRASTRUCTURE CORP
**
552,507

MACQUARIE MEXICO REAL ESTATE MGMT
**
83,596

MACROGENICS INC COM
**
44,031

MACRONIX INTERNATL TWD10
**
624,199

MACYS INC COM STK
**
759,424

MADDEN STEVEN LTD COM
**
2,926,874

MADISON SQUARE GARDEN CO NEW CL A CL A
**
1,762,198

MADRID(COMUNIDAD) 4.688% SNR 12/03/20 EUR1000
**
226,551

MADRIGAL PHARMACEUTICALS INC COM
**
240,986

MAEIL DAIRIES CO.,LTD
**
175,719

MAGELLAN HEALTH INC COM NEW COM NEW
**
3,349,491

MAGELLAN MIDSTREAM 4.25% DUE 02-01-2021
**
717,250

MAGNA INTERNATIONAL INC COMMON STOCK
**
10,320,888

MAGNA INTL INC COM NPV
**
2,580,056

MAGNOLIA OIL & GAS CORP CL A CL A
**
351,108

MAHANAGAR GAS LTD INR10
**
360,533

MAIDEN HOLDINGS LTD\MAIDEN HOLDINGS LTD\COM STK
**
10,369

MAJOR CINEPLEX GRO THB1(NVDR)
**
50,944

MALAYAN BKG BERHAD MYR1
**
795,881

MALAYSIA 4.232% BDS 30/06/31 MYR
**
259,615

MALAYSIA AIRPORT NPV
**
423,616

MALLINCKRODT PLC COMMON STOCK
**
48,371

MALVERN BANCORP INC COM
**
12,515

MAMMOTH ENERGY SVCS INC COM
**
5,962

MANDO (NEW)
**
341,140

MANHATTAN ASSOCS INC COM
**
934,351

MANITEX INTL INC COM STK
**
16,785



143
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MANITOBA PROV CDA DEB SER GM 2.125% DUE 06-22-2026 REG
**
200,656

MANITOBA PROV CDA GLOBAL DEB SER GX 2.6%DUE 04-16-2024 REG
**
354,619

MANITOWOC CO INC COM USD0.01(POST REV SPLIT)
**
611,905

MANPOWERGROUP INC
**
3,569,590

MANTECH INTL CORP CL A CL A
**
351,152

MANULIFE FINL CORP 4.061% DUE 02-24-2032
**
129,689

MANULIFE FINL CORP 4.15% DUE 03-04-2026
**
56,143

MANULIFE FINL CORP 4.9% DUE 09-17-2020
**
158,087

MANULIFE FINL CORP 4.9% DUE 09-17-2020
**
407,967

MANULIFE FINL CORP COM NPV
**
2,967,708

MAPFRE EUR0.10
**
115,625

MARATHON OIL CORP COM
**
16,176,496

MARATHON PETE CORP 3.4% DUE 12-15-2020
**
404,554

MARATHON PETE CORP 5.125% 04-01-2024
**
2,809,879

MARATHON PETE CORP COM
**
5,892,510

MARCHEX INC CL B CL B
**
82,563

MARCUS & MILLICHAP INC COM
**
255,237

MARCUS CORP DEL COM
**
87,876

MARFRIG GBL FOODS COM NPV
**
180,884

MARICO LTD INR1
**
54,003

MARINEMAX INC COM
**
207,941

MARKEL CORP 4.9% DUE 07-01-2022
**
4,255,896

MARKS & SPENCER GP ORD GBP0.25
**
238,989

MARLIN BUSINESS SVCS CORP COM
**
40,531

MARRIOTT INTL INC 2.125% DUE 10-03-2022
**
1,402,692

MARRIOTT INTL INC NEW 3.375 DUE 10-15-2020
**
4,986,090

MARRIOTT INTL INC NEW COM STK CL A
**
12,943,934

MARRIOTT INTL INC NEW NT SER Y FLTG RATEDUE 12-01-2020 REG
**
2,823,997

MARRIOTT VACATIONS WORLDWIDE CORP COM
**
735,735

MARSH & MCLENNAN 3.5% DUE 12-29-2020
**
2,191,713

MARSH & MCLENNAN CO'S INC COM
**
15,537,461

MARSH & MCLENNAN COS INC SR NT 3.5 DUE 06-03-2024
**
614,570

MARTEN TRANS LTD COM
**
2,052,359

MARTIN MARIETTA 3.45% DUE 06-01-2027
**
107,483

MARTIN MARIETTA 4.25% 12-15-2047
**
259,952

MARUBENI CORP NPV
**
1,228,636

MARVELL TECH GROUP COM USD0.002
**
1,932,001

MASCO CORP 3.5% DUE 04-01-2021
**
1,014,896

MASCO CORP 3.5% DUE 04-01-2021
**
202,979

MASCO CORP 5.95 DUE 03-15-2022
**
815,349

MASCO CORP 6.5% DUE 08-15-2032
**
368,313


144
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MASIMO CORP COM STK
**
795,516

MASONITE INTL CORP NEW COM
**
855,255

MASTEC INC COM
**
627,292

MASTECH DIGITAL INC COM
**
17,491

MASTERCARD INC 3.375 DUE 04-01-2024 BEO
**
2,228,534

MASTERCARD INC CL A
**
59,722,180

MASTR AST BACKED FLTG RT 1.902% DUE 11-25-2036
**
2,161,597

MATADOR RES CO COM
**
1,315,548

MATERION CORP COM
**
166,995

MATRIX SVC CO COM
**
461,993

MATSON INC COM
**
241,699

MATTHEWS INTL CORP CL A CL A
**
191,232

MAXAR TECHNOLOGIES INC COM NPV
**
43,045

MAXIMUS INC COM
**
7,612,403

MAXLINEAR INC COMMON STOCK
**
384,294

MAZDA MOTOR CORP NPV
**
631,403

MCDERMOTT INTL INC COM USD1.00 (POST REVSPLIT)
**
9,903

MCDONALDS CORP 4.45% DUE 03-01-2047 REG
**
102,337

MCDONALDS CORP 4.875% DUE 07-15-2040
**
140,607

MCDONALD'S CORP FIXED 4.45% DUE 09-01-2048
**
286,537

MCDONALDS CORP MEDIUM TERM FLTG 10-28-2021
**
300,957

MCDONALDS CORP MEDIUM TERM NTS 3.35% 04-01-2023
**
3,333,134

MCDONALD'S CORPORATION 3.8% 04-01-2028
**
820,238

MCGRATH RENTCORP COM
**
1,149,401

MCKESSON CORP
**
6,904,104

MCKESSON CORP NEW 3.65% DUE 11-30-2020
**
6,560,412

MCMILLAN SHAKESPEA NPV
**
526,735

MCNEX CO.LTD KRW500
**
218,485

MCUBS MIDCITY INC
**
1,048,920

MEDIATEK INC TWD10
**
1,509,604

MEDICAL PPTYS TR INC COM REIT
**
240,464

MEDICLINIC INTERNA ORD GBP0.10
**
659,252

MEDIFAST INC COM
**
242,172

MEDIPAL HOLDINGS CORP
**
132,330

MEDNAX INC COM
**
365,939

MEDPACE HLDGS INC COM
**
3,206,889

MEDTRONIC INC 3.5% DUE 03-15-2025 REG
**
179,022

MEDTRONIC INC 3.5% DUE 03-15-2025 REG
**
414,859

MEDTRONIC PLC COMMON STOCK STOCK
**
44,778,828

MEGASTUDYEDU CO LT KRW100
**
86,467

MEGGITT ORD GBP0.05
**
607,205


145
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MEITUAN DIANPING USD0.00001 (A & B CLASS)
**
374,027

MELCO INTL DEV NPV
**
1,160,797

MELROSE INDUST PLC
**
139,529

MEMORIAL HLTH SVCS 3.447% DUE 11-01-2049
**
472,153

MENLO THERAPEUTICS INC COM
**
7,888

MERCANTILE BK CORP COM
**
109,045

MERCEDES BENZ AUTO 2.04% DUE 01-15-2026
**
7,982,504

MERCEDES- BENZ AUTO LEASE TR 2018-A CL A-3 2.41% 02-16-2021
**
545,104

MERCEDES-BENZ AUTO 1.26% DUE 02-16-2021
**
38,951

MERCEDES-BENZ AUTO LEASE TR 2019-A CL A-4 3.25% DUE 10-15-2024
**
863,378

MERCEDES-BENZ AUTO LEASE TR SER 19-A CL A2 3.01% 02-16-2021
**
1,236,127

MERCEDES-BENZ AUTO LEASE TRUST SER 19-B CL A3 2.0% 10-17-2022 REG
**
2,577,226

MERCEDES-BENZ AUTO RECEIVABLES TR 2018-1SER 18-1 C A4 3.15% 10-15-2024
**
2,047,955

MERCER INTL INC COM SH BEN INT
**
110,946

MERCHANTS BANCORP IND COM
**
163,416

MERCK & CO INC NEW 1.85% DUE 02-10-2020
**
2,859,297

MERCK & CO INC NEW COM
**
11,846,874

MERCK KGAA NPV
**
4,411,299

MERCURY GEN CORP NEW COM
**
140,050

MERCURY SYSTEMS INC
**
2,299,013

MEREDITH CORP COM
**
179,819

MERIDA INDUSTRY TWD10
**
788,972

MERIDIAN BANCORP INC MD COM
**
614,633

MERIDIAN BIOSCIENCE INC COM
**
345,321

MERIT MED SYS INC COM
**
184,822

MERITAGE HOMES CORP COM
**
238,023

MERLIN PROPERTIES EUR1
**
916,594

MERRILL LYNCH MTG FLTG RT 2.212% DUE 07-25-2030
**
62,285

MERRILL LYNCH MTG FLTG RT 2.587% DUE 09-25-2035
**
379,440

MERRIMACK PHARMACEUTICALS INC COM NEW COM NEW
**
2,706

MESA AIR GROUP INC COM NEW COM NEW
**
48,562

MESA LABS INC COM
**
4,306,889

MET LIFE GLOBAL 2.05% DUE 06-12-2020
**
2,001,175

MET LIFE GLOBAL 2.65% DUE 04-08-2022
**
629,192

MET LIFE GLOBAL 3.375% DUE 01-11-2022
**
1,028,138

MET LIFE GLOBAL 3.875% DUE 04-11-2022
**
296,961

META FINL GROUP INC COM
**
221,214

METHANEX CORP COM NPV
**
272,262

METHODE ELECTRS INC COM
**
884,116

METLIFE INC 6.4% DUE 12-15-2066
**
5,114,375

METRODATA ELECTRNC IDR50
**
16,198


146
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
METROPOLIS TOKYO BD 144A 2% DUE 05-17-2021 BEO
**
299,661

METROPOLITAN BANK PHP20
**
47,457

METROPOLITAN TRANSN AUTH N Y REV 6.668% 11-15-2039 BEO TAXABLE
**
141,931

MEXICO(UNITED MEXICAN STATES) 4.0% 15/03/2115
**
631,895

MEXICO(UTD MEX ST) 0% T-BILL 09/01/2020 MXN
**
495,236

MEXICO(UTD MEX ST) 0% T-BILL 30/01/2020 MXN10
**
645,317

MFA FINL INC
**
903,710

*MFB NT COLLECTIVE AGGREGATE BOND INDEX FUND-NON LENDING
**
6,604,280,971

*MFB NT COLLECTIVE RUSSELL 2000 INDEX FUND - DC - NON LENDING (TIER J)
**
3,793,818,576

MFC ISHARES TR RUSSELL 2000 ETF
**
4,788,526

MFO AEW GLOBAL PROPERTIES TRUST FUND DC PLAN CALSS B
**
452,253,392

MFO JPMORGAN MBS FUND COMMINGLED
**
112,736,041

MFO PIMCO FDS PAC INVT MGMT SER SHORT-TERM PORTFOLIO INSTL CL
**
2,316,288

MFO PIMCO FDS PAC INVT MGMT SER INVT GRADE CR BD PORT INSTL CL
**
19,773,501

MFO PIMCO PAPS ASSET BACKED SECURITIES
**
48,233,905

MFO PIMCO SHORT TERM FLOATING NAV II
**
104,297,769

MFO WTC CIF II DIVERSIFIED REAL ASSETS SERIES
**
503,503,923

MFO WTC CIF II GLOBAL EQUITY SERIES 3
**
674,030,838

MFRS & TRADERS TR 2.625% 01-25-2021
**
251,664

MFRS & TRADERS TR CO BK NT PROGRAM 2.1% DUE 02-06-2020
**
4,200,029

MGIC INVT CORP WIS COM
**
927,072

MIAMI-DADE CNTY FLA AVIATION REV 3.285% 10-01-2023 BEO TAXABLE
**
929,277

MIAMI-DADE CNTY FLA AVIATION REV 3.405% 10-01-2024 BEO TAXABLE
**
2,976,398

MIAMI-DADE CNTY FLA AVIATION REV 3.505% 10-01-2025 BEO TAXABLE
**
3,683,890

MIAMI-DADE CNTY FLA WTR & SWR REV 2.501%10-01-2027 BEO TAXABLE
**
2,010,200

MICHIGAN FIN AUTH REV MUNI 3.384% 12-01-2040
**
6,984,320

MICRO FOCUS INTERNATIONAL PLC ORD GBP0.10
**
147,128

MICROSOFT CORP 1.55% DUE 08-08-2021
**
1,198,412

MICROSOFT CORP 1.85% DUE 02-12-2020
**
555,004

MICROSOFT CORP 2.4% DUE 02-06-2022
**
1,795,021

MICROSOFT CORP 3.3% DUE 02-06-2027
**
6,584,465

MICROSOFT CORP 3.45% DUE 08-08-2036
**
147,962

MICROSOFT CORP 3.45% DUE 08-08-2036
**
87,681

MICROSOFT CORP COM
**
141,435,295

MICROSOFT CORP FIXED 1.85% DUE 02-06-2020
**
10,429,547

MICROSTRATEGY INC CL A NEW CL A NEW
**
682,057

MIDAMERICAN ENERGY 3.65% DUE 04-15-2029
**
1,891,860

MIDDLEBY CORP COM
**
334,912

MIDLAND STS BANCORP INC ILL COM
**
123,920

MIDWESTONE FINL GROUP INC NEW COM STK
**
86,119

MILLER INDS INC TENN COM NEW
**
41,846


147
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MIMECAST LIMITED MIMECAST LTD
**
3,725,127

MINEBEA MITSUMI INC
**
375,516

MINERALS TECHNOLOGIES INC COM
**
2,694,779

MINERVA NEUROSCIENCES INC COM
**
149,154

MINERVA SA COM NPV
**
362,725

MINWISE CO LTD KRW500
**
61,024

MIRAE ASSET LIFE I KRW5000
**
74,739

MIRATI THERAPEUTICS INC COM
**
1,133,839

MIRVAC GROUP STAPLED SECURITIES
**
191,221

MISC BHD MYR1
**
80,224

MISSISSIPPI PWR CO SR NT SER 2018A FLTG DUE 03-27-2020/09-27-2018 REG
**
458,171

MISTRAS GROUP INC COM
**
64,343

MITCHAM INDS INC COM
**
3,234

MITCHELLS &BUTLERS ORD GBP0.085416
**
665,516

MITRA ADIPERKASA IDR50
**
198,423

MITRA PINASTHIKA IDR500
**
42,863

MITSUBISHI CORP 2.625% SNR 14/07/2022 USD
**
302,550

MITSUBISHI CORP NPV
**
824,925

MITSUBISHI ELEC CP NPV
**
92,444

MITSUBISHI ESTATE CO LTD
**
382,274

MITSUBISHI GAS CHM NPV
**
110,913

MITSUBISHI HVY IND NPV
**
174,006

MITSUBISHI UFJ 2.527% DUE 09-13-2023
**
1,213,135

MITSUBISHI UFJ 2.95% DUE 03-01-2021
**
202,193

MITSUBISHI UFJ 2.95% DUE 03-01-2021
**
2,545,610

MITSUBISHI UFJ 3.761% DUE 07-26-2023
**
526,739

MITSUBISHI UFJ FIN NPV
**
1,286,599

MITSUBISHI UFJ FINANCIAL GROUP INC 2.19%BNDS 09-13-2021
**
1,303,855

MITSUBISHI UFJ FINANCIAL GROUP INC 2.19%BNDS 09-13-2021
**
6,920,463

MITSUBISHI UFJ FINL GROUP INC 2.623% DUE07-18-2022
**
1,913,814

MITSUBISHI UFJ FINL GROUP INC 2.998% 02-22-2022
**
29,558

MITSUBISHI UFJ FINL GROUP INC 3.535% 07-26-2021
**
921,179

MITSUBISHI UFJ FINL GROUP INC CORP BOND 3.407% 03-07-2024
**
7,748,355

MITSUBISHI UFJ FINL GROUP INC FIXED 3.218% 03-07-2022 BEO
**
256,164

MITSUBISHI UFJ FINL GROUP INC FIXED 3.218% 03-07-2022 BEO
**
4,201,088

MITSUBISHI UFJ FIXED 2.665% DUE 07-25-2022
**
507,408

MITSUBISHI UFJ LEASE & FIN 3.96% 144A 09-19-2023
**
1,674,810

MITSUBISHI UFJ LEASE & FIN 3.96% 144A 09-19-2023
**
1,025,821

MITSUI FUDOSAN CO LTD NPV
**
378,501

MITSUI-SOKO HOLDINGS CO LTD
**
167,174

MIZUHO FINANCE(CAYMAN) 4.6 SUB BDS 03-27-2024 USD200000 'REGS'
**
5,343,323


148
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MIZUHO FINL GROUP 2.601% DUE 09-11-2022
**
202,655

MIZUHO FINL GROUP 2.632% DUE 04-12-2021
**
2,611,717

MIZUHO FINL GROUP 2.953% DUE 02-28-2022
**
1,527,487

MIZUHO FINL GROUP 3.17% DUE 09-11-2027
**
309,076

MIZUHO FINL GROUP FLTG RT 2.721% DUE 07-16-2023
**
1,012,013

MIZUHO FINL GROUP FLTG RT 2.869% DUE 09-13-2030
**
3,307,277

MIZUHO FINL GROUP INC 3.922% 09-11-2024
**
1,891,243

MIZUHO FINL GROUP INC FLTG 09-11-2024
**
303,096

MIZUHO FINL GROUP INC SR NT FLTG RATE 03-05-2023
**
4,235,752

MIZUHO FINL GROUP INC SR NT FLTG RATE DUE 09-11-2022 REG
**
907,580

MKS INSTRS INC COM
**
1,878,641

MLP ENERGY TRANSFER LP COMMON UNITS REP LIMITED PTNR INTERESTS
**
43,109

MMA CAPITAL HOLDINGS INC COM
**
14,087

MMC NORILSK NICKEL ADR EACH REPR 1/10 SHARE (S
**
660,094

MOBILE MINI INC COM
**
234,815

MOBILE TELESYSTEMS PJSC ADR
**
81,281

MOBILEIRON INC COM NEW COM NEW
**
468,373

MODEL N INC COM USD0.00015
**
520,790

MODERNA INC COM
**
304,686

MODINE MFG CO COM STK
**
266,035

MOHAWK INDS INC COM
**
753,090

MOIL LTD
**
27,051

MOL HUNGARIAN OIL HUF125(POST SUBDIVISION)
**
48,335

MOLINA HEALTHCARE INC COM
**
3,786,972

MOLSON COORS 3.5 DUE 05-01-2022
**
246,742

MOLSON COORS FIXED 2.25% DUE 03-15-2020
**
2,998,720

MOMENTUM MET HOLDINGS LTD
**
264,968

MONARCH CASINO & RESORT INC COM
**
519,291

MONDELEZ INTL 2.125% DUE 09-19-2022
**
2,940,629

MONDELEZ INTL INC 3% DUE 05-07-2020
**
2,928,380

MONDELEZ INTL INC COM
**
14,500,526

MONGODB INC CL A CL A
**
488,010

MONMOUTH REAL ESTATE CORP MD
**
91,745

MONOLITHIC PWR SYS INC COM
**
2,154,576

MONRO INC COM USD0.01
**
1,399,780

MONTAGE RES CORP COM USD0.01
**
27,504

MONTEA C.V.A. NPV
**
457,522

MOODYS CORP 3.25% 01-15-2028
**
5,246,130

MOODYS CORP 5.25% DUE 07-15-2044
**
634,217

MOODYS CORP COM
**
8,303,652

MOOG INC CL A
**
213,325


149
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MORGAN SINDALL GRP PLC ORD GBP0.05
**
178,276

MORGAN STANLEY 2.5% DUE 04-21-2021
**
8,171,495

MORGAN STANLEY 2.625% DUE 11-17-2021
**
2,023,975

MORGAN STANLEY 2.75% DUE 05-19-2022
**
4,812,258

MORGAN STANLEY 3.125% DUE 01-23-2023
**
7,162,674

MORGAN STANLEY 3.125% DUE 07-27-2026
**
96,026

MORGAN STANLEY 3.625% DUE 01-20-2027
**
145,880

MORGAN STANLEY 3.625% DUE 01-20-2027
**
4,450,923

MORGAN STANLEY 3.737% DUE 04-24-2024
**
1,515,101

MORGAN STANLEY 3.737% DUE 04-24-2024
**
5,851,423

MORGAN STANLEY 3.75% DUE 02-25-2023
**
261,803

MORGAN STANLEY 3.75% DUE 02-25-2023
**
2,689,236

MORGAN STANLEY 3.772% DUE 01-24-2029
**
89,346

MORGAN STANLEY 3.772% DUE 01-24-2029
**
2,976,392

MORGAN STANLEY 3.875% DUE 01-27-2026
**
2,749,678

MORGAN STANLEY 3.875% DUE 04-29-2024
**
531,539

MORGAN STANLEY 3.875% DUE 04-29-2024
**
2,019,848

MORGAN STANLEY 4.1% DUE 05-22-2023
**
390,705

MORGAN STANLEY 4.1% DUE 05-22-2023
**
417,104

MORGAN STANLEY 4.3% DUE 01-27-2045
**
411,710

MORGAN STANLEY 4.35 DUE 09-08-2026
**
546,942

MORGAN STANLEY 4.35 DUE 09-08-2026
**
3,008,180

MORGAN STANLEY 5.5% DUE 01-26-2020
**
2,169,599

MORGAN STANLEY 5.5% DUE 07-24-2020
**
173,431

MORGAN STANLEY 5.75% DUE 01-25-2021
**
519,285

MORGAN STANLEY 5.75% DUE 01-25-2021
**
103,857

MORGAN STANLEY ABS CAP I INC 2005-HE1 CLM1 FLT RT DUE 12-25-2034
**
4,874,833

MORGAN STANLEY BK 2.655% DUE 02-15-2046
**
5,743,249

MORGAN STANLEY BK 2.786% DUE 05-15-2049
**
2,139,783

MORGAN STANLEY BK 2.858 DUE 09-15-2022
**
1,881,377

MORGAN STANLEY BK 2.933% DUE 03-15-2048
**
2,110,031

MORGAN STANLEY BK 2.982% DUE 07-15-2050
**
2,958,447

MORGAN STANLEY BK 3.077% DUE 03-15-2048
**
8,534,604

MORGAN STANLEY BK 3.15% DUE 03-15-2048
**
3,328,510

MORGAN STANLEY BK 3.372% DUE 10-15-2048
**
732,958

MORGAN STANLEY BK 3.372% DUE 10-15-2048
**
7,224,875

MORGAN STANLEY BK 3.473% DUE 12-15-2047
**
6,085,433

MORGAN STANLEY BK AMER MERRILL COML MTG PASSTHRU CTF CL 2.505% 11-15-2049
**
1,605,010

MORGAN STANLEY BK AMER MERRILL LYNCH TR 2017-C34 CL A-SB 3.354% 11-15-2052
**
2,283,608

MORGAN STANLEY BK FLTG RT 4.11% DUE 10-15-2047
**
2,338,303

MORGAN STANLEY CAP 3.261% DUE 05-15-2048
**
8,299,052


150
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MORGAN STANLEY CAP FLTG RT 5.553778% DUE09-15-2047
**
1,281,501

MORGAN STANLEY FIXED 3.7% DUE 10-23-2024
**
513,093

MORGAN STANLEY FLTG RT 2.72% DUE 07-22-2025
**
405,057

MORGAN STANLEY FLTG RT 2.72% DUE 07-22-2025
**
5,377,131

MORGAN STANLEY FORMERLY MORGAN STANLEY 3.591% 07-22-2028
**
531,657

MORGAN STANLEY FORMERLY MORGAN STANLEY 3.591% 07-22-2028
**
18,342,155

MORGAN STANLEY VAR RT 0% DUE 02-10-2021
**
100,048

MORGUARD NA RES RE TR UNIT
**
613,624

MOSAIC CO NEW 5.45% DUE 11-15-2033
**
266,769

MOSAIC CO NEW FIXED 4.05% DUE 11-15-2027
**
155,773

MOSAIC CO/THE
**
1,004,074

MOSENERGO PJSC RUB1(RUB)
**
115,446

MOTHERSON SUMI SYS INR1
**
197,761

MOTORCAR PTS & ACCESSORIES INC COM
**
64,306

MOTOROLA SOLUTIONS INC
**
242,193

MOVADO GROUP INC COM
**
49,828

MPI CORPORATION TWD10
**
10,541

MPLX LP 4% 03-15-2028
**
258,943

MPLX LP 4% 03-15-2028
**
2,299,416

MPLX LP 4.7% 04-15-2048
**
254,735

MPLX LP 4.8% 02-15-2029
**
1,437,858

MPLX LP BNDS 3.375% DUE 03-15-2023
**
1,492,230

MPLX LP FIXED 4.125% DUE 03-01-2027
**
315,132

MPLX LP FIXED 4.125% DUE 03-01-2027
**
2,137,643

MPLX LP SR NT FLTG DUE 09-09-2021/09-10-2020 REG
**
956,150

MPT OPER PARTNERS. 2.55% GTD SNR 05/12/23 GBP
**
1,889,896

MR COOPER GROUP INC COM USD0.01
**
166,408

MR PRICE GROUP COM STK
**
537,601

MRC GLOBAL INC COM
**
436,125

MRV ENGENHARIA COM NPV
**
69,147

MS&AD INS GP HLDGS NPV
**
641,942

MSC INDL DIRECT INC CL A COM
**
163,845

MTS SYS CORP COM
**
119,403

MTU AERO ENGINES A NPV (REGD)
**
2,629,851

MUELLER INDS INC COM
**
195,231

MUELLER WTR PRODS INC COM SER A STK
**
26,009

MUENCHENER RUECKVE NPV(REGD)
**
106,871

MUFG UN BK N A SAN FLTG RT 2.270068% DUE12-09-2022
**
500,312

MUFG UNION BANK NA 3.15% 04-01-2022
**
337,745

MULTI COMMODITY EX INR10
**
527,616

MULTICHOICE GROUP NPV
**
583,945


151
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
MUNICIPAL ELEC AUTH GA 6.637% 04-01-2057BEO TAXABLE
**
13,465

MUNICIPAL ELEC AUTH GA 6.655% 04-01-2057BEO TAXABLE
**
2,860,881

MURATA MANUFACTURING CO. NPV
**
98,902

MURPHY OIL CORP COM
**
14,639,982

MURPHY USA INC COM
**
3,107,988

MUTHOOT FIN LTD 6.125% DUE 10-31-2022
**
207,280

MUTHOOT FINANCE LTD
**
61,671

MUTUALFIRST FINL INC COM
**
51,849

MVB FINL CORP COM
**
34,415

MYERS INDS INC COM
**
70,506

MYLAN N V FIXED 3.15% DUE 06-15-2021
**
202,629

MYLAN N V FIXED 3.75% DUE 12-15-2020
**
79,556

MYLAN N V FIXED 3.95% DUE 06-15-2026
**
1,772,290

MYLAN NV
**
620,547

MYOKARDIA INC COM
**
343,944

MYR GROUP INC DEL COM STK
**
341,771

MYRIAD GENETICS INC COM
**
228,460

MYTILINEOS S.A EUR0.97(CR)
**
124,304

N.W. AIRLS PASS 6.264% DUE 05-20-2023
**
149,169

NABORS INDUSTRIES COM USD0.10
**
171,556

NACCO IND INC CL A COM
**
28,800

NADG NNN 3.368% DUE 12-28-2049
**
3,180,000

NANG KUANG PHARMAC TWD10
**
8,396

NANKAI ELEC RAIL NPV
**
143,805

NANYA TECHNOLOGY C TWD10
**
1,143,457

NASDAQ INC
**
12,060,317

NASPERS N ZAR0.02
**
618,424

NATERA INC COM
**
734,981

NATIONAL AUSTRALIA BK LIMITED ACTING THR2.5% DUE 01-12-2021
**
301,827

NATIONAL BK HLDGS CORP CL A COM STK
**
4,184,629

NATIONAL GEN HLDGS CORP COM
**
650,138

NATIONAL GRID ORD GBP0.12431289
**
94,998

NATIONAL HEALTH INVS INC COM
**
183,411

NATIONAL MEDICAL C SAR10
**
55,605

NATIONAL OILWELL VARCO COM STK
**
17,600,080

NATIONAL PRESTO INDS INC COM
**
86,003

NATIONAL RESH CORP COM NEW CL A
**
870,936

NATIONAL RETAIL PPTYS INC COM STK
**
155,337

NATIONAL VISION HLDGS INC COM
**
2,315,697

NATIONAL WESTN LIFE GROUP INC CL A COMMON STOCK
**
168,129

NATIONWIDE BLDG 3.622% DUE 04-26-2023
**
334,317


152
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NATIONWIDE BLDG FLTG RT 4.363% DUE 08-01-2024
**
848,754

NATIONWIDE BLDG FLTG RT 4.363% DUE 08-01-2024
**
2,355,292

NATIXIS EUR1.6(POST SUBDV)
**
92,185

NATL AUSTRALIA BK 2.4% DUE 12-07-2021
**
15,142,187

NATL AUSTRALIA BK 3.7% DUE 11-04-2021
**
1,031,810

NATL AUSTRALIA BK FIXED 2.5% DUE 05-22-2022
**
1,011,844

NATL AUSTRALIA BK LTD GLOBAL MEDIUM TR # SR 00047 144A 4.375 12-10-2020
**
772,247

NATL AUSTRALIA BK NY 3 DUE 01-20-2023
**
2,562,449

NATL BK CDA 2.2% DUE 11-02-2020
**
400,890

NATL BK CDA MEDIUM 2.15% DUE 06-12-2020
**
300,299

NATL BK CDA MEDIUM 2.15% DUE 10-07-2022
**
1,399,695

NATL BK OF GREECE
**
84,101

NATL HEALTHCARE CORP COM
**
219,273

NATL OILWELL VARCO 2.6% DUE 12-01-2022
**
585,573

NATL RETAIL PPTYS 3.6% DUE 12-15-2026
**
210,096

NATL RETAIL PPTYS 3.9% DUE 06-15-2024
**
84,719

NATL RETAIL PPTYS 4% DUE 11-15-2025
**
143,775

NATL RETAIL PPTYS 4.3% DUE 10-15-2028
**
1,549,496

NATL RURAL UTILS 2.4% DUE 04-25-2022
**
60,657

NATL RURAL UTILS 2.95% DUE 02-07-2024
**
65,995

NATL RURAL UTILS 2.95% DUE 02-07-2024
**
6,290,116

NATL RURAL UTILS 3.4% DUE 02-07-2028
**
532,027

NATURAL GAS SVCS GROUP INC COM
**
29,755

NATURAL GROCERS BY VITAMIN COTTAGE INC COM USD0.001
**
34,831

NATURES SUNSHINE PRODS INC COM
**
7,278

NATURGY ENERGY GROUP SA
**
618,517

NATUS MED INC DEL COM
**
67,003

NATWEST MARKETS PL 0.625% SNR 02/03/2022EUR
**
340,546

NATWEST MKTS PLC 3.625% DUE 09-29-2022
**
8,567,767

NAUTILUS INC COM
**
8,397

NAVIENT CORP 5% DUE 10-26-2020
**
304,410

NAVIENT CORP COM
**
505,107

NAVIGATOR HOLDINGS LTD SHS
**
133,124

NAVISTAR INTL CORP NEW COM
**
989,980

NBCC (INDIA) LTD INR1(POST SUBDIVISION)
**
84,650

NBCUNIVERSAL ENTERPRISE INC 144A FLTG RT DUE 04-01-2021
**
5,044,344

NBCUNIVERSAL MEDIA LLC SR NT 2.875 01-15-2023
**
436,783

NBCUNIVERSAL MEDIA LLC SR NT 4.375 4-1-2021
**
7,389,720

NBT BANCORP INC COM
**
245,631

NCS MULTISTAGE HLDGS INC COM
**
11,237

NCUA GTD NTS TR 2010-R3 SR III-A NT 2.4%DUE 12-08-2020 BEO
**
45,912


153
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NEDBANK GROUP LTD ZAR1
**
548,918

NEENAH INC COM USD0.01
**
103,743

NELNET INC CL A CL A
**
285,609

NELNET STUD LN 2004-4 CL B FLTG DUE 01-25-2041
**
2,768,073

NEOGEN CORP COM
**
3,088,103

NEOGENOMICS INC COM NEW COM NEW
**
3,823,297

NEOLEUKIN THERAPEUTICS INC
**
50,093

NEOPHOTONICS CORP
**
171,293

NEPI ROCKCASTLE PL ORD EUR0.01
**
88,873

NESTE OYJ NPV
**
100,075

NESTLE SA CHF0.10(REGD)
**
25,453,290

NET HOLDINGS INC TRY1 (B SHARES)
**
34,771

NET ONE SYSTEMS CO NPV
**
511,179

NETAPP INC 3.375 DUE 06-15-2021
**
101,668

NETFLIX INC COM STK
**
41,351,599

NETGEAR INC COM
**
664,393

NETSCOUT SYS INC COM
**
855,327

NETSOL TECHNOLOGIES INC COM
**
8,364

NETWORK-1 TECHNOLOGIES INC COM
**
6,322

NEUROCRINE BIOSCIENCES INC COM
**
2,099,925

NEW CENTY HOME FLTG RT 2.132% DUE 12-25-2035
**
2,570,038

NEW CHINA LIFE INS CO LTD
**
500,879

NEW HOME CO INC COM
**
15,718

NEW JERSEY RES CORP COM
**
564,078

NEW SR INVT GROUP INC COM
**
55,700

NEW WORLD DEVELOPMENT CO HKD1
**
771,688

NEW YORK CMNTY BANCORP INC COM
**
856,750

NEW YORK LIFE CAP CORP FLTG 144A DUE 06-10-2022
**
200,900

NEW YORK LIFE GLOBAL FDG 2.3% DUE 06-10-2022 BEO
**
2,643,498

NEW YORK LIFE GLOBAL FDG MEDIUM TERM NTS 144A FLTG 01-21-2022
**
2,719,050

NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV 3.13% 11-01-2028 BEO TAXABLE
**
14,871,600

NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV 5.572% 11-01-2038 BEO TAXABLE
**
126,270

NEW YORK ST DORM AUTH ST PERS INCOME TAXREV 5.051% 09-15-2027 BEO TAXABLE
**
936,824

NEW YORK ST TWY AUTH SECOND GEN HWY & BRDG TR FD 5.449% 04-01-2025 BEO TAXABLE
**
1,470,690

NEW YORK ST URBAN DEV CORP REV 3.17% 03-15-2026 BEO TAXABLE
**
4,601,872

NEW YORK TIMES CO CL A ISIN #US6501111073
**
1,181,411

NEW ZEALAND(GOVT) IDX/LKD SNR 20/09/2025NZD
**
80,597

NEWCREST MINING LTD NPV
**
1,458,535

NEWELL BRANDS INC COM
**
600,183

NEWELL BRANDS INC STEP CPN 3.85% DUE 04-01-2023
**
753,428

NEWELL BRANDS INC STEP CPN 4.2% DUE 04-01-2026
**
969,762


154
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NEWFIELD EXPL CO 5.625% DUE 07-01-2024
**
3,934,007

NEWGATE FUND.PLC FRN M/BKD 12/2050 GBP 'A3A'
**
1,372,429

NEWLINK GENETICS CORP COM STK
**
14,798

NEWMONT GOLDCORP FIXED 3.625% 06-09-2021
**
17,439,475

NEWPARK RES INC COM PAR $0.01 NEW COM PAR $0.01 NEW
**
1,633,780

NEWS CORP COM CL A
**
831,305

NEWS CORP COM CL B
**
413,970

NEXA RESOURCES S A COM
**
104,428

NEXANS EUR1
**
1,132,127

NEXON CO LTD NPV
**
240,686

NEXPOINT RESIDENTIAL TR INC COM
**
274,005

NEXSTAR MEDIA GROUP INC CL A CL A
**
939,524

NEXT ORD GBP0.10
**
558,941

NEXTCURE INC COM
**
206,731

NEXTEER AUTOMOTIVE GROUP LIMITED HKD0.1
**
128,663

NEXTERA ENERGY CAP 3.15% DUE 04-01-2024
**
1,674,886

NEXTERA ENERGY CAP STEP CPN 2.403% DUE 09-01-2021
**
705,049

NEXTERA ENERGY CAP STEP CPN 2.403% DUE 09-01-2021
**
10,283,645

NEXTGEN HEALTHCARE INC COM
**
303,289

NEXTIER OILFIELD SOLUTIONS INC
**
313,212

NHA MORTGAGE BACK. 1.07% M/BKD 01/07/2020 CAD
**
535,535

NHA MORTGAGE BACKE FRN M/BKD 08/2020 CAD
**
190,763

NHA MTG BACKED SECS 98001212 FLTG RT 01/06/2020
**
203,728

NICE INFOR&TELECOM KRW500
**
78,654

NICHIAS CORP NPV
**
515,987

NICHIHA CORP NPV
**
544,919

NICHOLAS FINL INC BC COM NEW COM NEW
**
9,286

NICOLET BANKSHARES INC COM
**
150,949

NIELSEN HOLDINGS PLC COMSTK
**
464,322

NIEN MADE ENTERPRI TWD10
**
120,125

NIHON UNISYS NPV
**
103,683

NIKE INC CL B
**
18,345,519

NIKKISO CO LTD NPV
**
284,481

NIKON CORP NPV
**
1,219,645

NINE DRAGONS PAPER HKD0.1
**
217,267

NINE ENERGY SVC INC COM STK
**
26,830

NINTENDO CO LTD NPV
**
2,744,289

NIPPON BUILDING FD REIT
**
249,094

NIPPON EXPRESS CO NPV
**
713,684

NIPPON LIFE INS CO STEP CPN 5.1% DUE 10-16-2044
**
10,925,000

NIPPON TELEGRAPH & TELEPHONE CORP NPV
**
303,902


155
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NISOURCE FIN CORP 3.49% 05-15-2027
**
263,006

NISOURCE FIN CORP 5.65% DUE 02-01-2045
**
112,441

NISSAN AUTO 1.32% DUE 01-15-2021
**
8,544

NISSAN AUTO 1.59% DUE 07-15-2022
**
1,475,983

NISSAN AUTO LEASE TR 2017-B CL A-3 2.05% 09-15-2020
**
134,391

NISSAN AUTO RECEIVABLES 2017-C CL A-3 2.12% 04-18-2022
**
393,747

NISSAN AUTO RECEIVABLES 2017-C CL A-4 2.28% 02-15-2024
**
2,005,752

NISSAN AUTO RECEIVABLES SER-19-A CL-A2A 2.82% 01-18-2022 REG
**
5,241,787

NISSAN MASTER OWNER TR FLTG RT SER 19-A CL A 02-15-2024
**
6,805,727

NISSAN MTR ACCEP 1.9% DUE 09-14-2021
**
40,692

NISSAN MTR ACCEP 1.9% DUE 09-14-2021
**
873,396

NISSAN MTR ACCEP 2.15% DUE 09-28-2020
**
3,223,643

NISSAN MTR ACCEP 2.55% DUE 03-08-2021
**
511,259

NISSAN MTR ACCEP CORP SR NT FLTG RATE 144A VAR RT DUE 01-13-2022
**
904,381

NISSHIN OILLIO GP NPV
**
310,852

NITTETSU MINING CO NPV
**
133,663

NITTO DENKO CORP NPV
**
112,189

NL INDS INC COM NEW
**
13,920

NLIGHT INC COM USD0.0001
**
1,526,557

NMI HLDGS INC CL A CL A
**
860,689

NN GROUP N.V. EUR0.12
**
402,407

NN INC COM
**
69,477

NOBIA AB NPV
**
103,831

NOBLE CORP PLC COMMON STOCK
**
50,183

NOBLE ENERGY INC 3.25% DUE 10-15-2029
**
983,171

NOBLE ENERGY INC 3.9% DUE 11-15-2024
**
4,598,562

NOBLE ENERGY INC 5.05% DUE 11-15-2044
**
278,005

NOJIMA CORP NPV
**
54,471

NOKIA OYJ EUR0.06
**
813,169

NOLATO AB SER'B'NPV
**
47,602

NOMURA ASSET ACCEP CORP ALTERNATIVE CL I-A-5 FLTG RATE DUE 03-25-2047 REG
**
2,624,280

NOMURA RL EST INC NPV
**
36,090

NOODLES & CO CL A CL A
**
38,952

NORDEA BK AB 3.75% DUE 08-30-2023
**
532,755

NORDEA BK AB 4.875% DUE 01-27-2020
**
250,509

NORDEA BK ABP NEW YORK BRH CTF DEP 00177 DTD 05-09-2019 FLTG 05-05-2021
**
6,477,017

NORDEA BK AG 4.875% DUE 05-13-2021
**
3,892,481

NORDEA KREDIT REALKREDITAKTIE 2% NTS 01/04/20 DKK0.01
**
817,758

NORDEA KREDIT REALKREDITAKTIE 2.5% 01/10/2047
**
170

NORDEA REALKREDIT 1% CVD BDS 01/10/50 DKK0.01
**
1,949,797

NORDEA REALKREDIT 1% CVD BDS 01/10/50 DKK0.01
**
381,388


156
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NORDEA REALKREDIT 1.5% SNR 01/10/2050 DKK0.01
**
318,171

NORDEA REALKREDIT 2.5% CVD BDS 01/10/2037 DKK
**
9,408

NORDIC AMERICAN TANKERS LIMITED
**
40,157

NORDSON CORP COM
**
1,155,513

NORFOLK SOUTHN 3.8% DUE 08-01-2028
**
82,433

NORFOLK SOUTHN 3.95 DUE 10-01-2042
**
373,719

NORFOLK SOUTHN 4.45% DUE 06-15-2045
**
808,010

NORFOLK SOUTHN FIXED 4.05% DUE 08-15-2052
**
440,371

NORTH AMERN DEV BK NT 4.375% DUE 02-11-2020 REG
**
2,807,838

NORTHEAST BK LEWISTON ME COM
**
27,070

NORTHERN OIL & GAS INC NEV COM STK
**
14,365

NORTHERN TECHNOLOGIES INTL CORP COM STK
**
22,327

NORTHFIELD BANCORP INC DEL COM USD0.01
**
150,791

NORTHRIM BANCORP INC COM
**
42,781

NORTHROP GRUMMAN 2.55% DUE 10-15-2022
**
6,919,332

NORTHROP GRUMMAN 2.93% DUE 01-15-2025
**
412,480

NORTHROP GRUMMAN 2.93% DUE 01-15-2025
**
8,579,581

NORTHROP GRUMMAN 3.25% DUE 01-15-2028
**
2,922,273

NORTHROP GRUMMAN CORP COM
**
20,569,062

NORTHWEST BANCSHARES INC MD COM
**
186,456

NORTHWEST PIPE CO COM
**
58,392

NORWAY(KINGDOM OF) 3.75% SNR 25/05/21 NOK1000
**
94,081

NORWOOD FINL CORP COM
**
22,795

NOTREDAME INTERMEDICA PAR SA
**
146,071

NOVAGOLD RES INC COM NEW
**
586,925

NOVARTIS AG CHF0.50 (REGD)
**
9,714,951

NOVARTIS CAP CORP 3% DUE 11-20-2025
**
362,690

NOVASTAR MTG FDG FLTG RT 2.788% DUE 06-25-2035
**
200,368

NOVATEK PJSC GDR EACH REPR 10 ORD 'REG S
**
293,741

NOVOCURE LTD COM USD0.00
**
3,153,636

NOVOLIPETSK STEEL GDR EACH REP 10 RUB1 'REGS'
**
283,853

NOVO-NORDISK AS DKK0.2 SERIES'B'
**
12,086,014

NOW INC COM
**
845,113

NRG ENERGY INC COM NEW
**
4,625,588

NS SOLUTIONS CORP NPV
**
161,018

*NT COLLECTIVE ALL COUNTRY WORLD EX-US INVESTABLE MARKET INDEX FUND - DC - NONLEN
**
7,311,624,804

*NT COLLECTIVE S&P500 INDEX FUND-DC-NON LENDING (TIER J)
**
16,022,305,352

NTPC LTD INR10
**
136,803

NTT DOCOMO NPV
**
684,535

NTT FINANCE CORP 1.9% SNR EMTN 21/07/21 USD
**
598,515

NU SKIN ENTERPRISES INC CL A CL A
**
161,994


157
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
NUCOR CORP 4% DUE 08-01-2023
**
158,637

NUCOR CORP 6.4% DUE 12-01-2037
**
33,867

NUTRIEN LTD 3.15% 10-01-2022
**
7,622,393

NUTRIEN LTD FIXED 3.5% 06-01-2023
**
645,275

NUTRIEN LTD FIXED 3.625% DUE 03-15-2024
**
271,588

NUTRIEN LTD FIXED 4.125% DUE 03-15-2035
**
10,463

NUTRIEN LTD FIXED 5.25% DUE 01-15-2045
**
247,698

NUVASIVE INC COM
**
1,260,797

NV5 GLOBAL INC COMMON STOCK
**
65,938

NVENT ELECTRIC PLC COM USD0.01 WI
**
444,069

NVIDIA CORP 2.2% DUE 09-16-2021
**
4,241,270

NVIDIA CORP COM
**
13,677,989

NXP SEMICONDUCTORS N V COM STK
**
4,769,450

NY N Y TAXABLE-BUILD AMER BDS-F-1 6.271 DUE 12-01-2037
**
9,018,230

NY N Y TAXABLE-BUILD AMER BDS-F-1 6.646 DUE 12-01-2031/12-01-2020 BEO
**
104,202

NYKREDIT 2.5% 01/10/2014
**
3,443

NYKREDIT REALKREDI 1% BDS 01/04/2020 DKK0.01
**
1,583,259

NYKREDIT REALKREDI 1.5% CVD BDS 01/10/2037 DKK
**
81,637

NYKREDIT REALKREDI 1.5% CVD BDS 01/10/2050 DKK
**
1,268,272

NYKREDIT REALKREDI 1.5% CVD BDS 01/10/50DKK0.
**
1,483,679

NYKREDIT REALKREDI 2% SNR 01/04/2020 DKK0.01
**
1,133,779

NYKREDIT REALKREDI 2.5% SNR SEC 01/10/2032 DKK
**
11,644

NYKREDIT REALKREDI 3% SNR SEC 01/10/47 DKK0.01
**
2,649

NYKREDIT REALKREDIT A/S 1.0% 01/10/2050
**
3,059,337

O REILLY 4.625% DUE 09-15-2021
**
3,629,146

O REILLY AUTOMOTIVE INC NEW 3 09-01-2022
**
520,184

O REILLY AUTOMOTIVE INC NEW 3.6% DUE 09-01-2027
**
59,776

O/SEAS CHINESE T.A HKD0.1
**
29,580

OAK VY BANCORP OAKDALE CALIF COM STK
**
12,707

OASIS PETE INC NEW COM STK
**
156,346

OBAYASHI CORP NPV
**
267,169

OCCIDENTAL PETE 2.7% DUE 02-15-2023
**
221,752

OCCIDENTAL PETE 3% DUE 02-15-2027
**
2,374,515

OCCIDENTAL PETE 3.125% DUE 02-15-2022
**
498,661

OCCIDENTAL PETE 3.4% DUE 04-15-2026
**
1,690,797

OCCIDENTAL PETE 4.1% DUE 02-01-2021
**
651,140

OCCIDENTAL PETE 4.2% DUE 03-15-2048
**
198,684

OCCIDENTAL PETE CORP 3.2% 08-15-2026
**
910,810

OCCIDENTAL PETE CORP NT FLTG RATE DUE 08-13-2021/08-08-2019 REG
**
2,191,575



158
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
OCCIDENTAL PETE CORP SR NT 5.55% 03-15-2026
**
1,315,569

OCCIDENTAL PETE CORP SR NT 6.95% 07-01-2024
**
2,226,607

OCCIDENTAL PETE FIXED 2.6% DUE 08-13-2021
**
3,233,753

OCCIDENTAL PETE FIXED 2.7% DUE 08-15-2022
**
4,183,034

OCCIDENTAL PETE FIXED 2.9% DUE 08-15-2024
**
6,570,635

OCCIDENTAL PETROLEUM CORP 3.5% DUE 08-15-2029/08-08-2019 REG
**
459,392

OCCIDENTAL PETROLEUM CORP 3.5% DUE 08-15-2029/08-08-2019 REG
**
1,796,733

OCCIDENTAL PETROLEUM CORP FLT RT 02-08-2021REG
**
1,826,583

OCEANEERING INTL INC COM
**
651,820

OCEANFIRST FINL CORP COM
**
3,108,244

OCP S A 5.625% DUE 04-25-2024
**
1,436,700

OCWEN FINL CORP COM NEW COM NEW
**
13,714

ODEBRECHT OFFSHORE DRILLING FINANCE 6.72% DUE 12-01-2022
**
111,390

ODEBRECHT OFFSHORE DRILLING FINANCE 7.72% 12-01-2026
**
123,612

ODEBRECHT OIL & FINANCE ODEBRECHT OIL & FINANCE VAR RT 12-31-2099
**
532

ODONATE THERAPEUTICS INC COM
**
233,413

OFFICE DEPOT INC COM
**
203,645

OFFICE PPTYS INCOME TR COM SHS BEN INT COM SHS BEN INT
**
148,455

OFG BANCORP COM
**
167,182

OH ST UNIV GEN RCPTS TAXABLE-SER A 4.8 DUE 06-01-2111
**
1,280,286

OHIO PWR CO 5.375% DUE 10-01-2021
**
211,939

OHIO STATE 4.654% 05-01-2022 BEO TAXABLE
**
10,647,600

O-I GLASS INC COM
**
1,000,116

OIL & NATURAL GAS
**
790,076

OIL CO LUKOIL PJSC ADR EACH REPR 1 ORD RUB0.02
**
1,271,488

OIL DRI CORP AMER COM
**
29,653

OIL INDIA LTD INR10
**
280,199

OIL STS INTL INC COM ISIN US6780261052
**
135,226

OKI ELECTRIC IND NPV
**
487,941

OKTA INC CL A CL A
**
537,740

OLAV THON EIENDOMS NOK1
**
81,665

OLD 2ND BANCORP INC DEL COM
**
197,632

OLD NATL BANCORP IND COM
**
483,240

OLD REP INTL CORP COM
**
878,358

OLIN CORP COM
**
427,283

OLYMPIC STL INC COM
**
77,934

OLYMPUS CORP NPV
**
7,949,125

OMEGA HEALTHCARE INVS INC REIT
**
220,728

OMNICOM GROUP INC 3.625% DUE 05-01-2022
**
517,960

OMNICOM GROUP INC COM
**
1,538,975

ON DECK CAP INC COM
**
53,559

ON SEMICONDUCTOR CORP COM
**
1,657,547

ONCOR ELEC 4.1 DUE 06-01-2022
**
1,740,808

ONE GAS INC COM
**
3,303,115

ONE LIBERTY PPTYS INC COM
**
39,725

ONEMAIN DIRECT 2.31% DUE 12-14-2021
**
203,030

ONEMAIN DIRECT 2.82% DUE 07-15-2024
**
957,110


159
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ONEMAIN HLDGS INC COM
**
1,810,216

ONEOK INC NEW 2.75% DUE 09-01-2024
**
4,896,075

ONEOK INC NEW 4% DUE 07-13-2027
**
1,198,205

ONEOK INC NEW 4.45% DUE 09-01-2049
**
399,351

ONEOK INC NEW 5.2% DUE 07-15-2048
**
170,236

ONEOK INC NEW FIXED 3.4% 09-01-2029
**
203,227

ONEOK PARTNERS L P 3.375% DUE 10-01-2022
**
205,839

ONEOK PARTNERS L P 3.375% DUE 10-01-2022
**
2,300,248

ONESAVINGS BANK PL ORD GBP0.01
**
268,253

ONESPAN INC COM STK USD0.001
**
61,683

ONEX CORP SUB-VTG NPV
**
94,225

ONT TEACHERS 3.125% DUE 03-20-2022
**
982,464

ONTARIO PROV CDA BD 3.4% 10-17-2023
**
1,094,590

ONTARIO PROV CDA PROV OF ON 2.5% 2.5% DUE 04-27-2026 BEO
**
30,739,982

ONTO INNOVATION INC
**
274,488

OOMA INC COM
**
148,163

OPAP(ORG OF FOOTB) EUR0.30 (CR)
**
697,441

OPEN HOUSE CO LTD NPV
**
334,798

OPEN TEXT CO COM NPV
**
1,064,577

OPKO HEALTH INC COM STK
**
27,580

OPPENHEIMER HLDGS INC CL A NON VTG SHS CL A NON VTG SHS
**
65,100

OPTION ONE MTG LN TR SER 2005-2 CL M-1 FLTG RT 05-25-2035
**
502,855

OPTORUN CO LTD NPV
**
730,860

OPUS BK IRVINE CALIF FORMERLY OPUS BK REDONDO BEACH CALIF TO 04/11/2014 COM
**
388,697

ORACLE CORP 1.9% DUE 09-15-2021
**
1,107,315

ORACLE CORP 2.4% DUE 09-15-2023
**
366,012

ORACLE CORP 2.5% BNDS 10-15-2022
**
514,369

ORACLE CORP 2.65% DUE 07-15-2026
**
102,299

ORACLE CORP 2.95% DUE 05-15-2025
**
4,476,514

ORACLE CORP 2.95% DUE 11-15-2024
**
779,631

ORACLE CORP 3.85% DUE 07-15-2036
**
209,425

ORACLE CORP 3.9% DUE 05-15-2035
**
76,961

ORACLE CORP COM
**
28,063,506

ORANGE EUR4
**
851,777

ORASURE TECHNOLOGIES INC COM
**
765,492

ORBCOMM INC COM STK
**
266,868

OREXO AB NPV
**
159,453

ORION CORPORATION SER'B'NPV
**
236,304

ORION GROUP HLDGS INC FORMERLY ORION MARINE GROUP INC TO 05/20/2016 COM STK
**
14,361

ORIX CORP 2.9% DUE 07-18-2022
**
64,229

ORIX CORP FIXED 3.25% DUE 12-04-2024
**
104,257

ORIX CORP NPV
**
153,109

ORMAT TECHNOLOGIES INC COM
**
411,127

ORRSTOWN FINL SVCS INC COM
**
32,731

ORTHOFIX MED INC COM USD0.10
**
295,875

OSHKOSH CORPORATION
**
495,493

OSI SYS INC COM
**
252,857


160
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
OTONOMY INC COM
**
7,920

OTP BANK NYRT HUF100
**
126,528

OTSUKA CORP NPV
**
99,831

OUTFRONT MEDIA INC COM
**
1,428,406

OVERSEAS PVT INVT 3.43% DUE 05-15-2030
**
6,535,294

OVERSEAS SHIPHOLDING GROUP INC NEW COM USD0.01 CL A (POST REV SPLT)
**
34,976

OWENS & MINOR INC NEW COM
**
308,075

OWENS CORNING NEW COM STK
**
1,924,556

OXFORD INDS INC COM
**
178,595

OYO CORP NPV
**
310,946

P A M TRANSN SVCS INC COM
**
55,806

PAC PREMIER BANCORP COM
**
310,302

PACCAR INC COM
**
3,709,790

PACIFIC DRILLING SA COM US D0.01
**
16,406

PACIFIC ETHANOL INC COM PAR $.001 COM PAR $.001
**
1,072

PACIFICORP 3.6% DUE 04-01-2024
**
114,006

PACIFICORP 6.25% DUE 10-15-2037
**
112,242

PACIRA BIOSCIENCES INC COM USD0.001
**
496,035

PACKAGING CORP AMER COM ISIN US6951561090
**
720,880

PACKAGING CORP OF AMERICA 4.05% DUE 12-15-2049
**
103,962

PACWEST BANCORP DEL COM
**
3,588,961

PAKISTAN OILFIELDS PKR10
**
54,951

PAN AMERN SILVER CORP COM
**
731,121

PANAMA REP 4.5% DUE 04-16-2050 REG
**
236,700

PANAMA REP GLOBAL BD TBOND 3.16% 01-23-2030
**
360,500

PANDORA A/S DKK0.01
**
1,207,390

PANHANDLE OIL & GAS INC.CL A COM STK
**
29,796

PANIN FINANCIAL IDR125
**
177,294

PAR PACIFIC HOLDINGS INC COM NEW COM NEW
**
565,522

PARAGON BANKING GR ORD GBP1
**
388,367

PARAMOUNT BED HLDG NPV
**
103,969

PARAMOUNT GROUP INC COM
**
261,418

PAREX RESOURCES IN COM NPV
**
1,216,113

PARK AEROSPACE CORP
**
31,499

PARK HOTELS & RESORTS INC COM
**
573,693

PARK NATL CORP COM
**
223,905

PARKE BANCORP INC COM
**
29,021

PARKER-HANNIFIN 3.25% DUE 06-14-2029
**
261,189

PARKER-HANNIFIN CORP COM
**
9,365,427

PARK-OHIO HLDGS CORP COM
**
123,664

PARSLEY ENERGY INC CL A CL A
**
863,336

PARTRON CO LTD KRW500
**
63,128

PARTY CITY HOLDCO INC COM
**
29,292

PATRICK INDS INC COM
**
1,426,725

PATRIOT TRANSN HLDG INC COM
**
5,980

PATTERN ENERGY GROUP INC CL A CL A
**
414,087

PATTERSON COS INC COM
**
324,403


161
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PATTERSON-UTI ENERGY INC COM
**
347,928

PAYLOCITY HLDG CORP COM
**
6,474,140

PAYPAL HLDGS INC 2.2% DUE 09-26-2022
**
2,287,938

PAYPAL HLDGS INC 2.85% DUE 10-01-2029
**
1,413,005

PAYPAL HLDGS INC COM
**
36,313,643

PBF ENERGY INC CL A CL A
**
484,165

PC CONNECTION INC COM
**
127,229

PCCW LIMITED NPV
**
24,258

PCSB FINL CORP COM
**
113,400

PC-TEL INC COM
**
24,394

PDF SOLUTIONS INC COM
**
85,632

PDL BIOPHARMA INC COM
**
51,829

PEABODY ENERGY CORP NEW
**
637,862

PEAPACK-GLADSTONE FINL CORP COM
**
104,257

PEBBLEBROOK HOTEL TR COM STK
**
3,489,804

PEGASUS HAVE TASIM TRY1
**
146,870

PEGASYSTEMS INC COM
**
7,171,128

PENN VA CORP NEW COM
**
62,946

PENNEY J.C CO INC COM
**
62,308

PENNS WOODS BANCORP INC COM
**
42,494

PENNSYLVANIA REAL ESTATE INVT TR SH BEN INT SH BEN INT
**
25,131

PENNSYLVANIA ST HIGHER ED ASSISTANCE AGY SER 2009-1 CL A1 FLTG 1A1 07-25-2029
**
899,214

PENNSYLVANIA ST HIGHER ED ASSISTANCE AGYSTUDENT LN REV FLTG RT 0% 10-25-2036 BEO
**
4,098,330

PENNYMAC FINL SVCS INC NEW COM
**
936,917

PENSKE AUTOMOTIVE GROUP INC COM STK
**
643,168

PENSKE TRUCK 3.2% DUE 07-15-2020
**
4,087,459

PENSKE TRUCK 4.125% DUE 08-01-2023
**
300,870

PENSKE TRUCK 4.125% DUE 08-01-2023
**
1,884,394

PENSKE TRUCK FIXED 2.7% DUE 03-14-2023
**
181,932

PENSKE TRUCK FIXED 2.7% DUE 03-14-2023
**
7,883,740

PENTAIR PLC COM USD0.01
**
2,936,139

PENTAMASTER CORP NPV
**
122,532

PEOPLES BANCORP INC COM STK
**
156,421

PEOPLES BANCORP N C INC COM PEOPLES BANCORP OF NORTH CAROLINA INC
**
22,699

PEOPLES UTAH BANCORP COM
**
97,619

PEOPLES UTD FINL INC COM
**
1,264,712

PEPSICO INC 2.375% DUE 10-06-2026
**
142,126

PEPSICO INC 3% DUE 08-25-2021
**
3,467,754

PEPSICO INC 4% DUE 05-02-2047
**
173,531

PEPSICO INC COM
**
13,362,089

PER AARSLEFF HLDNG SER'B'DKK2
**
433,429

PERFICIENT INC COM STK
**
222,150

PERFORMANCE FOOD GROUP CO COM
**
6,506,454

PERION NETWORK LTD PERION NETWORK LTD
**
204,638

PERNOD RICARD NPV EUR 1.55
**
6,986,723

PERRIGO COMPANY LIMITED COM EUR0.001
**
971,931

PERSEUS MINING LTD NPV
**
740,811


162
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PERSIMMON ORD GBP0.10
**
913,293

PERSOL HOLDINGS CO NPV
**
93,964

PERSPECTA INC COM
**
168,502

PERU(REP OF) 6.15% GTD 12/08/2032 PEN
**
137,012

PERUSAHAAN GAS NEGARA TBK PT
**
66,476

PETIQ INC COM CL A COM CL A
**
55,436

PETRA ENERGY BHD NPV
**
3,757

PETRO CDA 5.35% DUE 07-15-2033
**
246,433

PETRO RIO S A COM
**
351,310

PETROBRAS DISTR COM NPV
**
805,333

PETROBRAS GLOBAL 7.25% DUE 03-17-2044
**
485,200

PETRO-CDA 7.875% DUE 06-15-2026
**
255,825

PETROLEOS 4.5% DUE 01-23-2026
**
89,622

PETROLEOS MEXICANOS 6.5% 03-13-2027
**
530,860

PETROLEOS MEXICANOS GTD 6.875% DUE 08-04-2026 REG
**
214,241

PETRONAS CHEMICALS GROUP BHD
**
177,349

PETRONAS GAS NPV
**
52,820

PEUGEOT SA EUR1
**
1,697,246

PFD BK L A CAL COM
**
129,314

PFIZER INC 3% DUE 06-15-2023
**
67,583

PFIZER INC 3.45% 03-15-2029
**
150,875

PFIZER INC COM
**
20,453,175

PGE POLSKA GRUPA PLN10.25
**
143,965

PGT INC COM
**
531,079

PHARMING GROUP NV EUR0.01
**
58,064

PHASEBIO PHARMACEUTICALS INC COM
**
200,616

PHILIP MORRIS INTL 1.875% DUE 02-25-2021
**
2,285,137

PHILIP MORRIS INTL 2.625 DUE 03-06-2023
**
279,576

PHILIP MORRIS INTL 2.75% DUE 02-25-2026
**
8,112,581

PHILIP MORRIS INTL 3.125% DUE 08-17-2027
**
6,223,190

PHILIP MORRIS INTL 3.375% DUE 08-11-2025
**
5,680,376

PHILIP MORRIS INTL COM STK NPV
**
14,066,653

PHILIP MORRIS INTL INC 2.9 DUE 11-15-2021
**
2,554,646

PHILIPPINES(REP OF 6.25% BDS 14/01/2036 PHP
**
238,612

PHILLIPS 66 3.15% DUE 12-15-2029
**
249,126

PHILLIPS 66 3.55% DUE 10-01-2026
**
314,504

PHILLIPS 66 FLTG RT 2.58125% DUE 04-15-2020
**
400,165

PHISON ELECTRONICS TWD10
**
465,707

PHOTRONICS INC COM
**
108,555

PHYSICIANS RLTY TR COM
**
338,155

PIAGGIO NPV
**
68,176

PICC PROPERTY & CA 'H'CNY1
**
1,402,752

PICK'N PAY STORES ZAR0.0125
**
36,268

PICO HLDGS INC COM NEW STK
**
37,330

PIEDMONT NAT GAS 3.64% DUE 11-01-2046
**
795,965

PIEDMONT OFFICE REALTY TRU-A
**
250,800

PIER 1 IMPORTS INC COM NEW COM NEW
**
3,456


163
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PIERIS PHARMACEUTICALS INC
**
128,872

PILGRIMS PRIDE CORP
**
556,155

PINNACLE FINL PARTNERS INC COM
**
1,720,576

PINNACLE W CAP 2.25% 11-30-2020
**
2,824,166

PIONEER NAT RES CO 7.5% DUE 01-15-2020
**
320,531

PIONEER NAT RES CO COM
**
4,181,596

PIPER SANDLER COMPANIES COM USD0.01
**
79,940

PIRAEUS BANK SA
**
181,444

PITNEY BOWES INC COM
**
456,599

PIXART IMAGING TWD10
**
14,811

PKN ORLEN SA PLN1.25
**
685,793

PLAINS ALL AMER PIPELINE 2.85 1-31-2023
**
1,514,971

PLAINS ALL AMER PIPELINE BNDS 4.65% DUE 10-15-2025
**
123,224

PLAINS ALL AMERN 3.6% DUE 11-01-2024
**
4,116,932

PLAINS ALL AMERN 3.65 DUE 06-01-2022
**
86,184

PLAINS ALL AMERN 4.5% DUE 12-15-2026
**
1,523,925

PLANET FITNESS INC CL A CL A
**
1,503,084

PLANTRONICS INC NEW COM
**
12,822

PLAY COMMUNICATION EUR0.00012
**
450,738

PLAYA HOTELS & RESORTS N V COMN STOCK
**
160,650

PLAYAGS INC COM
**
492,818

PLAYTECH PLC ORD NPV
**
571,008

PLEXUS CORP COM
**
252,363

PLUG PWR INC COM NEW
**
769,713

PLUM CREEK 4.7% DUE 03-15-2021
**
3,487,361

PLURALSIGHT INC CL A CL A
**
798,544

PNC BANK NA 2.625% 02-17-2022
**
3,498,555

PNC BK N A 3.8 07-25-2023
**
3,677,224

PNC BK N A PITT PA 2% DUE 05-19-2020
**
300,044

PNC BK N A PITT PA 2.232% DUE 07-22-2022
**
4,150,287

PNC BK N A PITT PA 2.3% DUE 06-01-2020
**
300,390

PNC BK N A PITT PA 2.6% DUE 07-21-2020
**
2,764,101

PNC BK N A PITTSBURGH PA 2.7 DUE 11-01-2022
**
550,372

PNC BK N A PITTSBURGH PA 2.7 DUE 11-01-2022
**
1,453,389

PNC BK NA PITT PA 2.55% DUE 12-09-2021
**
1,401,755

PNC FDG CORP 4.375% DUE 08-11-2020
**
2,031,905

PNC FDG CORP 5.125% DUE 02-08-2020
**
250,703

PNC FINANCIAL SERVICES GROUP COM STK
**
15,474,373

PNC FINL SVCS 3.5% DUE 01-23-2024
**
5,360,786

PNC FINL SVCS GROUP INC 3.45% DUE 04-23-2029 REG
**
266,847

PNC FINL SVCS GROUP INC 3.45% DUE 04-23-2029 REG
**
3,266,212

PNM RES INC 3.25% 03-09-2021
**
177,049

PNM RES INC 3.25% 03-09-2021
**
3,212,175

PNM RES INC COM
**
3,262,428

POLA ORBIS HLDG IN NPV
**
88,374

POLARIS INC
**
897,808

POLY PROPERTY GROUP CO LTD HKD0.50
**
376,401


164
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
POLYCAB INDIA LTD INR10
**
12,678

POLYONE CORP COM
**
3,401,383

POLYPLEX CORP INR10(DEMAT)
**
3,038

POPULAR INC COM NEW COM USD6 (POST REV SPLIT)
**
3,384,118

PORSCHE AUTO HL SE NON VTG PRF NPV
**
190,964

PORT AUTH N Y & N J 4.458% 10-01-2062 BEO TAXABLE
**
735,360

PORT AUTH N Y & N J 5.859% 12-01-2024 BEO TAXABLE
**
21,167,226

PORT MORROW ORE TRANSMISSION FACS REV 2.987% 09-01-2036 BEO TAXABLE
**
5,961,240

PORTLAND GENERAL ELECTRIC CO COM NEW COMNEW
**
1,037,694

PORTOLA PHARMACEUTICALS INC COM
**
155,841

POST APT HOMES L P 3.375% DUE 12-01-2022
**
283,375

POST HLDGS INC COM STK
**
3,744,858

POSTAL SAVINGS BANK OF CHINA (LOCAL 1658)
**
449,614

POSTE ITALIANE SPA NPV
**
242,385

POTBELLY CORP COM
**
36,402

POU CHEN TWD10
**
108,537

POWELL INDS INC COM
**
464,474

POWER CORP CANADA SUB-VTG NPV
**
128,976

POWER FINANCE CORP INR10
**
46,912

POWERLONG REAL EST HKD0.01
**
212,890

POWERTECH TECHNOLO TWD10
**
99,877

POWSZECHNA KASA OS PLN1.00
**
371,263

POWSZECHNY ZAKLAD UBEZPIECZE
**
223,826

PPDC ENERGY INC COM
**
2,655,261

PPG IND INC COM
**
20,370,841

PPL CAP FDG INC 3.4% DUE 06-01-2023
**
51,625

PPL CAP FDG INC 3.5 DUE 12-01-2022
**
31,048

PPL CAP FDG INC 4.2% DUE 06-15-2022
**
125,238

PPL CORP COM ISIN US69351T1060
**
16,135,236

PPL ELEC UTILS 4.125% DUE 06-15-2044
**
83,080

PPN CMO 4TIMES SQR TR 06-4TS CMLMTG PASTHRU CTF 144A CL A 5.4 DUE 121328 BEO
**
1,897,623

PQ GROUP HLDGS INC COM
**
340,147

PRA GROUP INC COM
**
1,459,659

PRA HEALTH SCIENCES INC COM
**
7,140,721

PRAXAIR INC 2.2 DUE 08-15-2022
**
176,652

PREFORMED LINE PRODS CO COM
**
54,798

PREMIER FINL BANCORP INC CDT-CAP STK CDT-CAP STK
**
38,765

PREMIER INC CL A CL A
**
315,995

PRESIDENT CHAIN ST TWD10
**
669,313

PRESS KOGYO CO NPV
**
21,454

PRESTIGE AUTO 3.91% DUE 11-15-2022
**
1,641,287

PRESTIGE CONSUMER HEALTHCARE INC COM
**
272,160

PRGX GLOBAL INC
**
4,187

PRICESMART INC COM STK
**
169,880

PRICOA GLOBAL FDG 3.45% DUE 09-01-2023
**
1,153,283

PRIMA MEAT PACKERS NPV
**
62,619

PRIMORIS SVCS CORP COM
**
443,866


165
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PRIN FINL GROUP 3.125% DUE 05-15-2023
**
3,079,765

PRIN FINL GROUP 3.7% DUE 05-15-2029
**
27,265

PRIN LIFE GLOBAL 2.375% DUE 11-21-2021
**
135,783

PRINCIPIA BIOPHARMA INC COM
**
433,584

PRIVATE EXPT FDG CORP 2.05 DUE 11-15-2022 REG
**
569,422

PRIVATE EXPT FDG CORP 2.25% DUE 03-15-2020
**
6,295,505

PRIVATE EXPT FDG CORP SECD NT SER GG 2.45 DUE 07-15-2024
**
443,225

PROASSURANCE CORP COM
**
229,887

PROCTER & GAMBLE COM NPV
**
2,273,305

PROCTER AND GAMBLE HEALTH LTD
**
26,979

PROGRESS ENERGY 3.15% DUE 04-01-2022
**
509,781

PROGRESS ENERGY 3.15% DUE 04-01-2022
**
795,258

PROGRESS SOFTWARE CORP COM
**
951,495

PROGRESSIVE CORP 4.35 DUE 04-25-2044
**
107,682

PROGYNY INC COM
**
336,153

PROPETRO HLDG CORP COM
**
131,096

PROQR THERAPEUTICS B.V. COM STK
**
384,805

PROS HLDGS INC COM
**
338,428

PROSIEBENSAT.1 MEDIA SE NPV
**
1,682,428

PROSIGHT GLOBAL INC COM
**
298,308

PROSPERITY BANCSHARES INC COM
**
790,359

PROSUS N.V. EUR0.05
**
540,011

PROTAGONIST THERAPEUTICS INC COM
**
30,978

PROTECTIVE INS CORP CL B CL B
**
19,791

PROTECTIVE LIFE 2.161% DUE 09-25-2020
**
3,274,830

PROTECTIVE LIFE 2.615% DUE 08-22-2022
**
606,872

PROTECTIVE LIFE 3.4% DUE 01-15-2030
**
406,040

PROTECTIVE LIFE GLOBAL FDG MEDIUM TERM NTRANCHE # TR 00011 VAR RT DUE 06-28-2021
**
2,987,968

PROTHENA CORP PLC USD0.01
**
347,785

PROTO LABS INC COM
**
1,980,225

PROVID HLTH & SVCS 2.746% DUE 10-01-2026
**
1,514,689

PROVIDENCE SVC CORP COM STK
**
119,603

PROVIDENT BANCORP INC MD COM
**
41,110

PROVIDENT FINL HLDGS INC COM
**
20,192

PROVIDENT FINL SVCS INC COM
**
223,970

PROVINCE OF ALBERTA 2.2% DUE 07-26-2022 BEO
**
964,040

PRUDENTIAL BANCORP INC NEW COM
**
29,574

PRUDENTIAL FINL INC 3.878% 03-27-2028
**
466,077

PRUDENTIAL FINL INC DTD 06-21-2010 5.37506-21-2020
**
142,206

PRUDENTIAL GBP0.05
**
1,582,507

PT BANK NEGARA IND LKD SHS(IDR7500 & IDR375)
**
467,970

PT GARUDA INDONESIA PERSERO TBK IDR500
**
254,602

PT WASKITA BETON COMMON STOCK
**
23,175

PTC THERAPEUTICS INC COM
**
806,904

PTT GLOBAL CHEMICAL PUBLIC CO LTD THB10(NVDR)
**
500,384

PTT PUBLIC COMPANY THB10(NVDR)
**
222,013

PUB STORAGE COM
**
3,509,581


166
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PUB SVC CO OF CO 3.2% DUE 11-15-2020
**
200,907

PUB SVC ELEC & GAS FIXED 3.65% DUE 09-01-2028
**
5,617,572

PUB SVC ENTERPRISE 2% DUE 11-15-2021
**
3,848,081

PUBLIC BK BHD NPV
**
294,178

PUBLIC SERVICE CO OF COLORADO 2.25 DUE 09-15-2022 BEO
**
51,437

PUBLIC SERVICE ELECTRIC & GAS CO 3.25% DUE 09-01-2023
**
3,301,935

PUBLIC STORAGE 3.385% 05-01-2029
**
424,999

PUBLIC SVC CO N H 3.5 DUE 11-01-2023
**
44,134

PUBLIC SVC ENTERPRISE GROUP INC 2.875% DUE 06-15-2024
**
306,696

PUBLICIS GROUPE SA EUR0.40
**
452,679

PUGET ENERGY INC NEW 5.625 07-15-2022
**
375,491

PUGET ENERGY INC NEW SR SECD NT 6.5 DUE 12-15-2020
**
520,048

PULTE GROUP INC
**
1,161,051

PUMA BIOTECHNOLOGY INC COM .
**
95,375

PURE STORAGE INC CL A CL A
**
789,267

PUT FXO MRMDUS33 03/06/2020 USD/CNH 6.9 European 31750FS12
**
8,094

PUT FXO MRMDUS33 03/06/2020 USD/CNH 6.9 European 31750FS12
**
13,214

PUT FXO MRMDUS33 20/01/2020 EUR/NOK 9.9 European 31750FIN5
**
3,638

PUT FXO MRMDUS33 20/01/2020 EUR/NOK 9.9 European 31750FIN5
**
5,090

PUT SWO USD BARCGB33 P 1.783% / R 3MLIBOR European 317U573T6 08/19/2020
**
70,686

PUT SWO USD BOFAUS6S P 2.175% / R 3MLIBOR European 317U058U7 09/15/2021
**
43,631

PUT SWO USD CSFPGB2L P 1.733% / R 3MLIBOR European 317U643T2 08/26/2021
**
94,408

PUT SWO USD MSCSUS33 P 1.752% / R 3MLIBOR European 317U608T5 08/23/2021
**
69,156

PUT SWO USD MSCSUS33 P 1.984% / R 3MLIBOR European 317U739U4 06/09/2020
**
15,249

PUT SWO USD MSCSUS33 P 2.005% / R 3MLIBOR European 317U723U2 06/08/2020
**
33,519

PVH CORP COM USD1
**
935,940

PVPTL ABU DHABI GOVT INT'L 2.5% 10-11-2022
**
1,720,859

PVPTL ABU DHABI GOVT INT'L 3.125% 10-11-2027
**
523,673

PVPTL ABU DHABI GOVT INT'L 3.125% 10-11-2027
**
11,546,990

PVPTL BANQUE FEDERATIVE DU CR MUTUEL 2.2% 07-20-2020
**
3,713,307

PVPTL CARNOW AUTO RECEIVABLES TR SER 2017-1 CL A 2.92% 09-15-2022
**
5,563

PVPTL CREDIT SUISSE GROUP AG VAR RT DUE 12-14-2023
**
3,259,937

PVPTL DAIMLER FIN N AMER 2.3% 02-12-2021
**
470,889

PVPTL MID-ATLANTIC INTST TRANSMISSION LLC 4.1% DUE 05-15-2028
**
1,707,387

PVPTL MITSUBISHI UFJ LEASE & FIN CO LTD 2.652% DUE 09-19-2022
**
1,812,048

PVPTL SMITHFIELD FOODS FIXED 2.65% DUE 10-03-2021
**
2,366,250

PVPTL SPRINT SPECTRUM CO LLC / SPRINT 4.738% 144A 03-20-2025 BEO
**
1,270,776

PVPTL UBS GROUP FDG JERSEY LTD 2.95% DUE 09-24-2020 BEO
**
1,879,050

PVT EXPT FDG CORP 2.65% DUE 02-16-2021
**
3,914,960

PVT PL BNP PARIBAS SR NON PFD 4.705% 01-10-2025
**
10,076,992

PVT PLBNP PARIBAS SR NON PFD 5.198% 01-10-2030
**
3,057,739

PVTP PVTPL VOYA CLO LTD SER 15-1A CL A1R VAR RT 01-18-2029
**
1,491,766

PVTPL 1166 AVE OF THE AMERS COML MTG TR II 2005-C6 COML 5.6896% 10-13-2037
**
1,367,515

PVTPL ABBOTT LABS 3.875% 09-15-2025
**
103,482

PVTPL ABBVIE INC 2.15% DUE 11-19-2021 BEO
**
4,680,486

PVTPL ABBVIE INC 2.15% DUE 11-19-2021 BEO
**
4,561,599

PVTPL ABBVIE INC 2.95% DUE 11-21-2026
**
1,425,429


167
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL ABBVIE INC 2.95% DUE 11-21-2026
**
9,519,831

PVTPL ABBVIE INC 3.2% DUE 11-21-2029
**
701,975

PVTPL ABBVIE INC 3.2% DUE 11-21-2029
**
11,755,531

PVTPL ABBVIE INC 4.05% DUE 11-21-2039
**
141,893

PVTPL ABBVIE INC SR NT 144A 2.3% DUE 11-21-2022
**
9,316,855

PVTPL ABBVIE INC SR NT 144A 4.25% DUE 11-21-2049/11-21-2019
**
143,345

PVTPL ABN AMRO BK N V MEDIUM TERM 3.4% 08-27-2021
**
5,186,325

PVTPL ABN AMRO BK N V MEDIUM TERM 3.4% 08-27-2021
**
2,795,110

PVTPL ABN AMRO BK N V MEDIUM TERM 144A FLTG 08-27-2021
**
4,028,776

PVTPL ABS TOWD PT MTG TR 2016-3 CL A-1 FLTG RT 144A DUE 08-25-2055 BEO
**
1,735,351

PVTPL ACC TR SR 19-2 CL A 2.82% 02-21-2023
**
567,371

PVTPL ACIS CLO 2015-6A LTD CL A-1 FLTG RT 05-01-2027 BEO
**
1,459,303

PVTPL AIA GROUP LIMITED 3.6% 04-09-2029
**
278,128

PVTPL AIB GROUP PLC AIB GROUP PLC 4.75 4.75% DUE 10-12-2023 BEO
**
311,777

PVTPL AIB GROUP PLC AIB GROUP PLC 4.75 4.75% DUE 10-12-2023 BEO
**
537,547

PVTPL AIG GLOBAL FUNDING FLTG 01-22-2021
**
2,986,972

PVTPL AIR CDA 2013-1 PASS THRU 4.125 DUE 11-15-2026 BEO
**
227,657

PVTPL AIR CDA PASS THRU TR 2017-1 PVTPL AIR CANADA BNDS 3.55% DUE 07-15-2031
**
392,089

PVTPL ALIMENTATION COUCHE-TARD INC SR NT2.7% DUE 07-26-2022/07-26-2017 BEO
**
2,754,957

PVTPL ALLEGANY PK CLO LTD/ALLEGANY PK CLO LL SER 19-1A CLS D VAR RT 01-20-2033
**
3,500,000

PVTPL ALLEGRO CLO I LTD SER SECD NT CL A1R VAR 01-30-2026
**
323,314

PVTPL ALLEGRO CLO LTD SER 17-1A CL A FLT 10-16-2030
**
5,594,005

PVTPL AMERICAN CR ACCEP RECEIVABLES SR 19-3 CL C 2.76% 09-12-2025
**
346,248

PVTPL AMERICAN CR ACCEP RECEIVABLES TR SR 19-4 CL C 2.69% 12-12-2025
**
149,950

PVTPL AMERICAN CR ACCEP RECEIVABLES TR SER 19-1 CL B 3.32% 04-12-2023 BEO
**
1,566,986

PVTPL AMERICAN CR ACCEP RECEIVABLES TR SER 19-1 CL C 3.5% 04-14-2025 BEO
**
451,174

PVTPL AMERICAN CR ACCEP RECEIVABLES TR SER 19-3 CL B 2.59% 08-14-2023 BEO
**
2,006,589

PVTPL AMERICAN CREDIT ACCEPTANCE RECEIVAB FIXED 3.06% 07-12-2022 BEO
**
798,146

PVTPL ANGLO AMERN CAP PLC GTD NT 3.625% 09-11-2024
**
207,490

PVTPL ANGLO AMERN CAP PLC GTD NT 3.625% 09-11-2024
**
2,593,620

PVTPL ANGLO AMERN CAP PLC SR 4.125% DUE 04-15-2021 BEO
**
2,447,908

PVTPL ANGLO AMERN CAP PLC SR NT 144A 4.5% DUE 03-15-2028 BEO
**
428,707

PVTPL ANZ NEW ZEALAND INTL LTD 2.2% DUE 07-17-2020
**
2,924,193

PVTPL ANZ NEW ZEALAND INTL LTD 3.45% 01-21-2028
**
263,785

PVTPL ANZ NEW ZEALAND INTL/LDN 2.875% 01-25-2022 BEO
**
1,219,709

PVTPL APIDOS CLO SR 13-12A CL AR VAR RT 04-15-2031
**
496,681

PVTPL APIDOS CLO SR 16-25A CL A1R FLTG RATE 10-20-2031
**
4,955,534

PVTPL APT PIPELINES LTD SR GTD NT 144A 4.25% DUE 07-15-2027/03-23-2017 BEO
**
141,057

PVTPL ARBOR RLTY COML REAL ESTATE NTS SER 19-FL2 CLS A FLTG RT 06-15-2034
**
3,728,836

PVTPL ASB BK LTD SR MEDIUM TERM NTS BOOK 3.125% 05-23-2024
**
493,784

PVTPL ATHENE GLOBAL FDG MEDIUM TERM SR SECD 144A 4.0% DUE 01-25-2022
**
1,342,966

PVTPL ATHENE GLOBAL FDG MEDIUM TERM SR SECD 144A 4.0% DUE 01-25-2022
**
1,394,618

PVTPL AUSTRALIA & NEW ZEALAND BKG GROUP FLTG DUE 11-09-2020
**
4,705,053

PVTPL AVERY PT V CLO LTD/AVERY PT V SER 14-5A CL AR FLTG 07-17-2026
**
1,062,040

PVTPL AVERY PT VII CLO LTD/ SER 15-7A CL AR FLTG DUE 01-15-2028
**
748,756

PVTPL AVIATION CAP GROUP LLC SR NT 144A 3.5% DUE 11-01-2027/07-01-2027 BEO
**
402,708

PVTPL AVIATION CAP GROUP LLC SR NT 144A 3.875% DUE 05-01-2023/05-01-2018 BEO
**
299,658


168
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL AVIATION CAP GROUP LLC SR NT 144A 3.875% DUE 05-01-2023/05-01-2018 BEO
**
764,645

PVTPL AVIS BUDGET RENT CAR FDG AESOP LLC SSR 19-3A CL A 0.0% 03-20-2026
**
3,665,821

PVTPL AVIS BUDGET RENT CAR FDG SER 19-2A CL A 3.35% 09-22-2025
**
8,374,453

PVTPL AVOLON HLDGS FDG LTD 3.95% 07-01-2024
**
177,157

PVTPL AVOLON HLDGS FDG LTD 5.125% 10-01-2023
**
970,092

PVTPL B A T INTL FIN PLC 144A 3.25% DUE 06-07-2022 BEO
**
1,865,500

PVTPL B A T INTL FIN PLC 3.5% DUE 06-15-2022
**
1,232,970

PVTPL BACARDI LTD GTD NT 144A 4.7% DUE 05-15-2028/04-30-2018 BEO
**
1,526,117

PVTPL BANCO DE CREDITO DEL PERU 4.65%09-17-2024
**
182,568

PVTPL BANCO VOTORANTIM S A GLOBAL 4.0% DUE 09-24-2022
**
509,380

PVTPL BANCO VOTORANTIM SA 4.5% DUE 09-24-2024 REG
**
1,028,760

PVTPL BANQUE FEDERATIVE DU CR MUTUEL MEDIUM TE 2.125% DUE 11-21-2022 BEO
**
4,476,290

PVTPL BANQUE FEDERATIVE DU CR MUTUEL MEDIUM TE 2.75% DUE 10-15-2020 BEO
**
4,535,816

PVTPL BARCLAYS BK PLC NT 144A 10.179% DUE 06-12-2021 BEO
**
11,727,628

PVTPL BAYER US FIN II LLC 4.25% 12-15-2025
**
1,618,875

PVTPL BAYER US FIN II LLC 3.875% 12-15-2023
**
1,679,648

PVTPL BCC FDG XVI LLC EQUIP CONTRACT BKDNT CL A-2 144A 2.46% DUE 08-20-2024 BEO
**
3,742,354

PVTPL BEECHWOOD PK CLO LTD/BEECHWOOD PK CLO SER 19-1A CLS A1 VAR RT 01-17-2033
**
1,750,000

PVTPL BENEFIT STR PARTNERS CLO FLTG RT SER 14-IVA CL A1RR 01-20-2029 BEO
**
1,001,389

PVTPL BENEFIT STR PARTNERS CLO XIX LTD SR 19-19A CL A FLTG RATE DUE 01-15-2033
**
5,000,000

PVTPL BG ENERGY CAP PLC GTD NT 144A 4% DUE 10-15-2021 BEO
**
6,828,567

PVTPL BMW US CAP LLC FLTG 08-13-2021
**
2,062,694

PVTPL BMW US CAPITAL LLC BNDS 2.0% DUE 04-11-2021
**
400,553

PVTPL BNP PARIBAS 3.375% 01-09-2025
**
5,764,430

PVTPL BNP PARIBAS SR NON PFD MED 4.4% 08-14-2028
**
1,955,842

PVTPL BNZ INTL FDG LTD LONDON 3.375% 03-01-2023
**
413,673

PVTPL BNZ INTL FUNDING/LONDON 2.9% DUE 02-21-2022 REG
**
2,451,522

PVTPL BOC AVIATION PTE LTD GLOBAL MEDIUMTERM 3.5% 10-10-2024
**
634,621

PVTPL BOC AVIATION PTE LTD GLOBAL MEDIUMTERM 3.5% 10-10-2024
**
3,611,664

PVTPL BPCE SR NON PFD 4.0% DUE 09-12-2023
**
1,685,947

PVTPL BPCE SR NON PFD 4.0% DUE 09-12-2023
**
1,006,300

PVTPL BPCE SUB NTS BOOK ENTRY 5.15 DUE 07-21-2024 BEO
**
4,389,796

PVTPL BRISTOL MYERS SQUIBB CO 2.6% 05-16-2022
**
2,703,297

PVTPL BRISTOL MYERS SQUIBB CO 2.75% DUE 02-15-2023
**
422,962

PVTPL BRISTOL MYERS SQUIBB CO 2.9% 07-26-2024
**
15,416,687

PVTPL BRISTOL MYERS SQUIBB CO 3.2% DUE 06-15-2026
**
131,327

PVTPL BRISTOL MYERS SQUIBB CO 3.2% DUE 06-15-2026
**
1,659,978

PVTPL BRISTOL MYERS SQUIBB CO 3.9% DUE 02-20-2028
**
220,476

PVTPL BRISTOL MYERS SQUIBB CO 3.9% DUE 02-20-2028
**
2,576,264

PVTPL BRISTOL MYERS SQUIBB CO 4.125% 06-15-2039
**
288,561

PVTPL BRISTOL MYERS SQUIBB CO 5% DUE 08-15-2045/11-22-2019 BEO
**
384,837

PVTPL BRISTOL MYERS SQUIBB CO CORP 3.55% 08-15-2022
**
270,219

PVTPL BRITISH AWYS PASS THRU 3.8% 09-20-2031
**
591,192

PVTPL BRITISH AWYS PASS THRU CTFS 3.3% FIXED 06-15-2034 BEO
**
155,523

PVTPL BRITISH AWYS PASS THRU TR 2018-1A 4.125% 09-20-2031
**
521,140

PVTPL BRITISH SKY BROADCASTING GROUP PLCSR NT 144A 3.125% DUE 11-26-2022 BEO
**
1,565,399

PVTPL BROADCOM INC 3.625% 10/15/2024
**
1,247,867


169
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL BUSINESS JET SECS 2018-2 LLC SECD NT CL A 144A 4.447% DUE 06-15-2033 BEO
**
557,021

PVTPL BUSINESS JET SECS 2019-1 LLC SECD NT CL A 144A 0% DUE 07-15-2034 BEO
**
1,253,823

PVTPL BUSINESS JET SECS LLC SECD NT SER 2018-1 CL A 4.335% 02-15-2033
**
407,863

PVTPL BX TR 2017-APPL CL B FLTG 07-15-2034
**
2,283,992

PVTPL CALIFORNIA STR CLO IX LTD SER 12-9A CL AR2 FLTG 07-16-2032
**
1,686,175

PVTPL CAMERON LNG LLC 2.902% 07-15-2031
**
691,616

PVTPL CAMERON LNG LLC 3.302% DUE 01-15-2035
**
116,149

PVTPL CANADIAN IMPERIAL BK 2.35% 07-27-2023
**
11,936,113

PVTPL CAPITAL AUTO RECEIVABLES ASSET TR SER-18-1 CL-A3 2.79% 01-20-2022
**
737,254

PVTPL CAPITAL AUTO RECEIVABLES ASSET TR SR 2018-1 CL A-4 2.93% 06-20-2022
**
503,597

PVTPL CARGILL INC NT 3.25% 03-01-2023
**
98,154

PVTPL CARVANA AUTO RECEIVABLES TR 2019-2NT CL A-3 2.58% 03-15-2023
**
501,974

PVTPL CARVANA AUTO RECEIVABLES TR 2019-2NT CL A-3 2.58% 03-15-2023
**
2,570,108

PVTPL CARVANA AUTO RECEIVABLES TR 2019-3ACL C 144A 2.71% DUE 10-15-2024
**
1,391,936

PVTPL CEDAR FUNDING LTD SR 16-6A CL A-R FLTG RATE DUE 10-20-2028
**
459,675

PVTPL CHARTER COMMUNICATIONS OPER 3.75% 02-15-2028
**
3,526,861

PVTPL CHARTER COMMUNICATIONS OPER 3.75% 02-15-2028
**
5,238,426

PVTPL CHESAPEAKE FDG II LLC 2018-2 CL A-2 FLTG RATE 08-15-2030
**
1,158,243

PVTPL CHESAPEAKE FDG II LLC SER 18-2A CLS A1 3.23% DUE 08-15-2030 BEO
**
808,395

PVTPL CHESAPEAKE FDG II LLC SER-18-1A CL-A1 3.04% 04-15-2030 BEO
**
5,249,549

PVTPL CIFC FDG 2018-IV LTD/CIFC FDG 2018-IV SER 18-4A CLS A1 VAR RT 10-17-2031
**
2,988,431

PVTPL CIFC FDG 2019-VI LTD SER 19-6A CLS A2 VAR RT 01-16-2033
**
2,000,000

PVTPL CIFC FDG 2019-VI LTD SR 19-6A CL A1 FLTG 01-16-2033
**
3,000,000

PVTPL CIFC FUNDING LTD SER 15-1A CL ARR FLTG RT DUE 01-22-2031
**
2,990,435

PVTPL CIGNA CORP NEW 3.05% DUE 11-30-2022
**
306,663

PVTPL CIGNA CORP NEW 3.5% 06-15-2024
**
1,963,685

PVTPL CIGNA CORP NEW 4.0% DUE 02-15-2022
**
3,779,028

PVTPL CIGNA CORP NEW 4.125% 09-15-2020
**
182,552

PVTPL CIGNA CORP NEW 4.125% 09-15-2020
**
101,418

PVTPL CIM 2014 LOAN TRUST I RESTR TRUST CERTIFICATE CORP 3.4% 03-01-2027
**
1,777,369

PVTPL CK HUTCHISON INTL 16 LTD GTD NT 144A 1.875% DUE 10-03-2021 BEO
**
248,003

PVTPL CK HUTCHISON INTL 19 LTD 3.625% 04-11-2029
**
426,281

PVTPL CLNC 2019-FL1 LTD/CLNC SER 19-FL1 CLS A VAR RT 10-19-2038
**
16,600,000

PVTPL CMO 1166 AVE OF THE AMERS COML 2005-C6A CL D 144A 5.6896 10/13/2037
**
572,774

PVTPL CMO 1166 AVE OF THE AMERS COML 2005-C6A CL F 144A 5.6896 10/13/2037
**
457,321

PVTPL CMO 280 PK AVE 2017-280P MTG TR COML CTF CL A VAR DUE 09-15-2034
**
799,741

PVTPL CMO AVENTURA MALL TR 2013-AVM COMLCL A VAR RT 12-05-2032
**
13,123,393

PVTPL CMO BARCLAYS COMMERCIAL MTGE SEC SER 2019-CLP CLS A FLTG RT 12-15-31
**
15,028,715

PVTPL CMO BBCCRE TRUST SER 2015-GTP CL A 3.966% 08-10-2033
**
1,172,108

PVTPL CMO BB-UBS TR 2012-TFT COML MTG CLA 144A 2.8922 06-05-2030
**
87,990

PVTPL CMO BFLD TR SER 2019-DPLO CL A 144A FLTG 10-15-2034
**
5,449,664

PVTPL CMO BX COML MTG TR 2018-BIOA COML MTG PASSTHRU CTF CL A FLTG 03-15-2037
**
12,565,491

PVTPL CMO BX COML MTG TR SR 2019-XL CL D FLTG RT 10-15-2036
**
12,145,167

PVTPL CMO BX TRUST SR 2018-IND CL A FLTG DUE 11-15-2035
**
2,623,160

PVTPL CMO BXMT 2017-FL1 LTD/BXMT 2017-FL1 LLC 5TH PRTY SECD NT CL D FLTG
**
419,998

PVTPL CMO CAMB COML MTG TR 2019-LIFE CL A VAR RT 12-15-2037
**
2,873,475

PVTPL CMO CGGS COML MTG TR 2018-WSS COMLMTG PASSTHRU CTF CL A 02-15-2020
**
398,993


170
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL CMO CITIGROUP COML MTG TR 4.149% DUE 01-10-2024
**
10,196,297

PVTPL CMO CITIGROUP COMMERCIAL MTG TRUST SER 2014-GC19 CL D FRN 03-10-47
**
1,307,913

PVTPL CMO COLONY MTG CAP LTD SR 19-IKPR CL A FLTG 11-15-2038
**
4,701,638

PVTPL CMO COMM 2014-277P MTG TR COML MTGPASSTHRU CTF CL A 3.731 08-10-2049
**
790,020

PVTPL CMO COMM SER 2016-GCT CL A 144A 2.681% 08-10-2029
**
8,720,292

PVTPL CMO CREDIT SUISSE MORTGAGE TRUST SER 2014-USA CL A2 3.953% DUE 09-15-2037
**
2,106,745

PVTPL CMO CREDIT SUISSE MORTGAGE TRUST SER 2017-LSTK CL A 2.76074% 04-05-2033
**
1,972,755

PVTPL CMO CREDIT SUISSE MORTGAGE TRUST SR 2019-ICE4 CL A VAR RT 05-15-2021
**
24,140,346

PVTPL CMO CSMC 2017-RPL3 TR CL A-1 FLTG 08-25-2057
**
3,925,569

PVTPL CMO CSMC 2017-RPL3 TR MTG BACKED NT CL B-2 VAR 144A VAR RT DUE 08-01-2057
**
4,345,384

PVTPL CMO CSMC 2019-AFC1 TR MTG BACKED NT CL A-1 144A VAR RT DUE 07-25-2049 BEO
**
4,997,612

PVTPL CMO CSMC TR SR 2017-CHOP CL A VAR RT 07-15-2032
**
2,205,127

PVTPL CMO CSMCSER 19RPL8 CL A1 VAR DUE 10-25-2058
**
5,213,985

PVTPL CMO DBUBS 2011-LC1 MTG TR MTG PASSTHRU CTF CL E 144A VAR 11-10-2046
**
3,716,327

PVTPL CMO FNMA SER 2019-M22 CLS A1 2.103% DUE 05-25-2029 REG
**
7,690,919

PVTPL CMO FREMF 2015-K48 MTG TR FLTG RT DUE 06-25-2025 BEO
**
456,336

PVTPL CMO FREMF 2016-K59 MTG TR 144A CL B VAR RT DUE 11-25-2049 BEO
**
179,116

PVTPL CMO GOSFORTH FUNDING 2012-1 PLC STEP UP DUE 08-25-2060 BEO
**
4,620,535

PVTPL CMO GREAT WOLF TR 2019-WOLF SER 19-WOLF CLS A VAR RT DUE 12-15-2029 BEO
**
4,879,850

PVTPL CMO GS MTG SECS 2012-ALOHACOML MTGPASSTHRU CTF CL A 3.551 4-10-34 BEO
**
4,263,280

PVTPL CMO GS MTG SECS CORP SER 2017-GPTX CL B 3.103915% FIXED 05-10-2034
**
3,979,236

PVTPL CMO GS MTG SECS CORP TR SER 2019-70P CLS C VAR RT 10-15-2036
**
6,350,637

PVTPL CMO GS MTG SECS TR 2012-GC6 COML MTG PASSTHRU CTF CL C FLTG RT 01-10-2045
**
4,623,017

PVTPL CMO HERO FDG 2016-3 NT CL A-1 144A3.07999992371% DUE 09-20-2042 BEO
**
45,419

PVTPL CMO J P MORGAN CHASE COML MTG SECS TR 2018-WPT CL A-FX 4.2475% 07-05-2023
**
5,398,456

PVTPL CMO J P MORGAN MTG TR 2017-1 VAR RT DUE 01-25-2047
**
6,416,062

PVTPL CMO LMREC SR 15-CRE1 CL AR FLTG 144A 02-22-2032
**
829,159

PVTPL CMO MILL CITY MTG LN TR 2019-GS2 SER 19-GS2 CLS A1 VAR RT 08-25-2059
**
9,146,087

PVTPL CMO MORGAN STANLEY CAP I TR 2011-C1 5.44173 DUE 09-15-2047 BEO
**
2,100,886

PVTPL CMO MORGAN STANLEY CAP I TR 2014-CPT VAR RT DUE 07-13-2029 BEO
**
404,781

PVTPL CMO MORGAN STANLEY CAP I TR 2018-MP MTG CTF CL A 4.4185% DUE 07-11-2040
**
2,798,343

PVTPL CMO MORGAN STANLEY SER 2014-CPT CLA 144A 3.35 DUE07-13-2029 BEO
**
1,014,549

PVTPL CMO MOTEL 6 TR 2017-MTL6 COML MTG PASSTHRU CTF CL A FLTG RT 08-15-2034
**
7,058,645

PVTPL CMO MOTEL 6 TR 2017-MTL6 COML MTG PASSTHRU CTF CL B FLTG RT 08-15-2034
**
4,763,751

PVTPL CMO MSDB TR 2017-712F CL A VAR RT DUE 07-11-2039 BEO
**
6,905,176

PVTPL CMO NEW RESIDENTIAL MTG LN SER 19-RPL3 CL A1 FRN 07-25-2059 BEO
**
588,349

PVTPL CMO NEW RESIDENTIAL MTG LN TR SER 16-3A CL A1B 144A VAR 09-01-2056
**
2,498,942

PVTPL CMO ONE MKT PLAZA TR SER 2017-1MKT CL A 144A 3.6139% 02-10-2032 BEO
**
10,606,004

PVTPL CMO PEPPER RESIDENTIAL SECURITIES TRUST SER 25A CL A1U FLTG DUE 03-12-2061
**
553,756

PVTPL CMO RREADY CAP MTG TR SER 2019-5 CLS A 3.7768% 02-25-2052
**
903,927

PVTPL CMO SER 17-3 CL 1A6 FR 08-25-2047 BEO
**
4,160,592

PVTPL CMO TOWD PT MTG TR 2019-4 SER 19-4CLS A1 VAR RT DUE 07-25-2059 BEO
**
2,060,213

PVTPL CMO TRICON AMERN HOMES SER 2017-SFR1 CL A 2.761% 09-17-2034 BEO
**
8,640,976

PVTPL CMO UBS COML MTG TR VAR RT SER 2012-C1 CL C 05-10-2045
**
2,306,817

PVTPL CMO UBS-BAMLL TR 2012-WRM CTF CL A144A 3.663 DUE 06-10-2030 BEO
**
159,533

PVTPL CMO WFRBS COML MTG TR 2013-C11 COML PASS THRU CTF CL D VAR RT 03-15-45
**
408,769



171
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL COLONY AMERN FIN 2016-2 LTD/COLONYAME 2.554% 11-15-2048
**
205,174

PVTPL COLUMBIA CENT CLO 27 LTD/COLUMBIA CENT SR 18-27A CL A-1 FLTG RT 10-25-2031
**
1,803,376

PVTPL COMMONWEALTH BANK AUST 144A BNDS 2.25% DUE 03-10-2020
**
3,141,673

PVTPL COMMONWEALTH BK AUSTRALIA MEDIUM 2.5% 09-18-2022
**
207,730

PVTPL COMMONWEALTH BK AUSTRALIA MEDIUM 2.5% 09-18-2022
**
2,533,294

PVTPL CONSUMER LN UNDERLYING BD CLUB CR SER 17-P2 CLS A 2.61% 01-15-2024
**
19,511

PVTPL COREVEST AMERN FIN 2019-3 TR SER 19-3 CLS A 2.772% DUE 10-15-2052 BEO
**
898,450

PVTPL COX COMMUNICATIONS INC NEW NT 3.5% 08-15-2027
**
7,669,138

PVTPL COX COMMUNICATIONS INC NEW NT 144A3.35% DUE 09-15-2026/09-13-2016 BEO
**
206,424

PVTPL COX COMMUNICATIONS INC NEW NT 144A3.35% DUE 09-15-2026/09-13-2016 BEO
**
2,064,240

PVTPL CPS AUTO RECEIVABLES TR 2018-C ASSET BACKED NT CL C 3.68% 06-17-2024
**
3,471,554

PVTPL CPS AUTO RECEIVABLES TR 2019-D NT CL C 144A 2.54% DUE 08-15-2024 BEO
**
1,047,963

PVTPL CPS AUTO TRUST SER 17-B CL C 2.92% 02-15-2022
**
75,770

PVTPL CR ACCEP AUTO LN TR 2017-3 AST BACKED NT CL A 2.65 DUE 06-15-2026
**
12,039,362

PVTPL CREDIT ACCEP AUTO LN TR 2018-2A CL A 3.47% 05-17-2027
**
1,513,859

PVTPL CREDIT ACCEP AUTO LN TR 2018-2A CL B 3.94% 07-15-2027
**
1,025,471

PVTPL CREDIT ACCEP AUTO SER 18-1A CL A 3.01% DUE 02-16-2027
**
364,353

PVTPL CREDIT ACCEP AUTO SER 18-1A CL A 3.01% DUE 02-16-2027
**
540,006

PVTPL CREDIT ACCEP AUTO SER 18-3A CL A 3.55% 08-15-2027
**
8,816,423

PVTPL CREDIT AGRICOLE LONDON 3.375%01-10-2022
**
3,192,751

PVTPL CREDIT AGRICOLE S A LONDON 4.125% 01-10-2027
**
540,340

PVTPL CREDIT AGRICOLE S A MEDIUM TERM SRBK NT 2.375% DUE 07-01-2021 BEO
**
1,912,496

PVTPL CREDIT SUISSE GROUP AG 6.5 DUE 08-08-2023 BEO
**
2,004,750

PVTPL CREDIT SUISSE GROUP AG 7.25% DUE 12-31-2049
**
1,562,750

PVTPL CREDIT SUISSE GROUP AG VAR DUE 06-12-2024 BEO
**
4,337,193

PVTPL CRH AMER FIN INC GTD NT 144A 3.4% DUE 05-09-2027/05-09-2017 BEO
**
415,944

PVTPL CRISPR THERAPEUTICS AG
**
103,539

PVTPL CROWN CASTLE TOWERS LLC 3.222% DUE 05-15-2042
**
404,286

PVTPL CROWN PT CLO SER 18-5A CL A FLTG 07-17-2028
**
893,272

PVTPL CSAIL COML MTG TR SER 2017-CX10 CL UESA 4.0274% 11-15-2027
**
1,941,331

PVTPL CTL 1999-11 TR (CVS CORP BROOKLYN NY) 7.15 PASS THRU CTFS 5-15-19 BEO
**
141,204

PVTPL CUTWATER CAPITAL CORP SR 14-1A CL A1AR FLTG 07-15-2026
**
2,326,478

PVTPL CVS LEASE BACKED PASS THRU SER 2013 TR 4.704 01-10-2036
**
306,542

PVTPL CYMABAY THERAPEUTICS INC COM
**
61,407

PVTPL DAIMLER FIN N AMER 3.35% DUE 05-04-2021
**
3,539,366

PVTPL DAIMLER FIN NORTH AMER LLC 2.7% 06-14-2024
**
1,715,215

PVTPL DAIMLER FIN NORTH AMER LLC GTD NT 144A 2.3% DUE 01-06-2020 BEO
**
324,994

PVTPL DAIMLER FIN NORTH AMER LLC GTD NT 144A 2.3% DUE 01-06-2020 BEO
**
3,729,933

PVTPL DAIMLER FIN NORTH AMER LLC NT 3.4% 02-22-2022
**
1,639,431

PVTPL DAIMLER FIN NORTH AMER LLC NT 3.4% 02-22-2022
**
3,442,805

PVTPL DAIMLER FIN NORTH AMER LLC NT 144A2% DUE 07-06-2021 BEO
**
499,042

PVTPL DAIMLER FIN NORTH AMER LLC NT FLTG RATE 02-22-2022
**
1,612,004

PVTPL DAIMLER FIN NORTH AMER LLC NT FLTG RATE 02-22-2022
**
3,983,957

PVTPL DAIMLER FIN NORTH AMER LLC V 2.55%DUE 08-15-2022
**
705,264

PVTPL DANONE 2.077% DUE 11-02-2021
**
3,003,126

PVTPL DANSKE BK A/S 3.244% DUE 12-20-2025
**
394,718

PVTPL DANSKE BK A/S 3.001% DUE 09-20-2022
**
6,507,174


172
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL DANSKE BK A/S 5.375% DUE 01-12-2024
**
2,408,195

PVTPL DANSKE BK A/S MEDIUM TERM NTS BOOKENTRY TRANCHE 5.0% 01-12-2022 REG
**
4,737,271

PVTPL DANSKE BK A/S TRANCHE # TR 8 2% DUE 09-08-2021 REG
**
398,694

PVTPL DBS BK LTD GLOBAL COVERED BD PROGRAM BOO 3.3% DUE 11-27-2021 BEO
**
102,633

PVTPL DELUXE CORP COM STK
**
291,133

PVTPL DEUTSCHE TELEKOM INTL FIN B V 2.82% 01-19-2022
**
304,498

PVTPL DEUTSCHE TELEKOM INTL FIN B V 2.82% 01-19-2022
**
365,397

PVTPL DEUTSCHE TELEKOM INTL FIN B V NT 144A 1.95% DUE 09-19-2021/09-19-2016 BEO
**
800,027

PVTPL DIAMOND 1 FIN CORP/DIAMOND 2 FIN CORP 1ST LIEN NT 144A 6.02
**
11,051,520

PVTPL DIAMOND RESORTS OWNER SR 19-1A CL A 2.89% 02-20-2032
**
2,920,016

PVTPL DNB BK ASA MEDIUM TERM BK NTS BOOKENTRY 2.15% DUE 12-02-2022 BEO
**
4,449,559

PVTPL DNB BK ASA MEDIUM TERM BK NTS BOOKENTRY 2.15% DUE 12-02-2022 BEO
**
2,301,068

PVTPL DRIVE AUTO RECEIVABLES SER 17-3 CL D 3.53% DUE 12-15-2023
**
1,100,030

PVTPL DRYDEN 75 CLO LTD/DRYDEN 75 SER 19-75A CL AR FLTG 07-15-2030
**
1,675,270

PVTPL DT AUTO OWNER SER 19-2A CL C 3.18% FIXED 144ADUE 02-18-2025
**
526,420

PVTPL DT AUTO OWNER TR 2018-3 SER 18-3A CL A 3.02% 02-15-2022
**
625,932

PVTPL DT AUTO OWNER TR 2018-3 SER 48-3A CL B 3.56% 09-15-2022
**
2,521,865

PVTPL DT AUTO OWNER TR 2019-2 SER 19-2A CLS B 2.99% 04-17-2023
**
1,651,233

PVTPL DT AUTO OWNER TR 2019-3 SER 19-3A CLS B 2.6% 05-15-2023
**
1,575,081

PVTPL DT AUTO OWNER TR SE 18-1A CL C 3.47% DUE 12-15-2023
**
395,006

PVTPL DT AUTO OWNER TR SER 19-3A CL A 2.93% 08-15-2022 BEO
**
753,055

PVTPL DT AUTO OWNER TR SER 2017-4A CL C 2.286% 07-17-2023
**
144,895

PVTPL DT AUTO OWNER TRUST SER 18-1A CL D 4.09% DUE 12-15-2023
**
278,135

PVTPL DT AUTO OWNER TRUST SER 19-2A CL A 2.85% 09-15-2022 BEO
**
569,539

PVTPL DT AUTO OWNER TRUST SER-19-1A CL-A 3.08% 09-15-2022 BEO
**
207,315

PVTPL DUQUESNE LIGHT HLDGS INC LT HLDGS INC 5.9% DUE 12-01-2021 BEO
**
488,944

PVTPL DUQUESNE LT HLDGS INC SR NT 144A 6.4% DUE 09-15-2020/09-13-2010 BEO
**
205,795

PVTPL ECMC GROUP STUDENT LN TR SR 17-2A CL A FLTG RT 05-25-2067
**
3,461,378

PVTPL EDF S A NT 144A 4.6% DUE 01-27-2020 BEO
**
100,168

PVTPL EDP FINANCE BV 3.625% 07-15-2024
**
207,810

PVTPL ENEL FIN INTL N V 4.625 09-14-2025
**
218,257

PVTPL ENEL FIN INTL N V 4.625 09-14-2025
**
873,029

PVTPL ENEL FIN INTL N V FIXED 2.65% 09-10-2024 BEO
**
401,349

PVTPL ENEL FIN INTL N V FIXED 2.65% 09-10-2024 BEO
**
6,020,238

PVTPL ENEL FIN INTL N V GTD NT 144A 2.75% DUE 04-06-2023 BEO
**
3,323,827

PVTPL ENGIE SA NT 2.875% 10-10-2022 BEO
**
406,145

PVTPL ENI S P A 4% DUE 09-12-2023 BEO
**
337,583

PVTPL ENTERPRISE FLEET FINANCING LLC SR 19-2 CL A3 0.0% 02-20-2025
**
3,184,819

PVTPL ENTERPRISE FLEET FING LLC SR 17-2 CL A301-20-2023
**
2,032,516

PVTPL ENTERPRISE FLEET FING SER 2017-3 CL A-3 2.36% 05-20-2023
**
1,624,296

PVTPL ERAC USA FIN CO GTD NT 144A 6.7% DUE 06-01-2034 REG
**
182,264

PVTPL ERAC USA FIN LLC GTD NT 144A 4.5% DUE 08-16-2021 BEO
**
4,673,408

PVTPL ERAC USA FIN LLC NT 144A 3.85% DUE11-15-2024/05-22-2014 BEO
**
359,979

PVTPL ERAC USA FIN LLC NT 144A 3.85% DUE11-15-2024/05-22-2014 BEO
**
4,235,042

PVTPL EVANS GROVE CLO LTD SER 18-1A CL A1 FLTG 05-28-2028
**
99,688

PVTPL EXETER AUTOMOBILE RECEIVABLES BACKED NT CL A 3.05% 12-15-2021
**
263,939

PVTPL EXETER AUTOMOBILE RECEIVABLES BACKED NT CL B 3.64% 11-15-2022
**
314,500


173
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL EXETER AUTOMOBILE RECEIVABLES SER 19-2A CL A 2.93% 07-15-2022
**
1,828,775

PVTPL EXETER AUTOMOBILE RECEIVABLES TR 012-1 2019-1 A 3.2% DUE 04-15-2022
**
833,579

PVTPL EXETER AUTOMOBILE RECEIVABLES TR 2017-1 CL B 144A 3.0% DUE 12-15-2021
**
20,811

PVTPL EXETER AUTOMOBILE RECEIVABLES TR 2019-1 3.82% 12-16-2024
**
219,666

PVTPL EXETER AUTOMOBILE RECEIVABLES TRST SER 17-2A CLS B 2.82% 05-16-2022
**
132,482

PVTPL EXETER AUTOMOBILE RECEIVABLESSER 17-2A CLS C 3.93% DUE 04-17-23 BEO
**
242,555

PVTPL EXPERIAN FIN PLC 2.75% DUE 03-08-2030
**
3,403,962

PVTPL FEDERATION DES CAISSES DESJARDINS DU QUE 2.25% 10-30-2020
**
1,633,878

PVTPL FIRST FNDTN INC COM
**
136,938

PVTPL FIRST INVS AUTO OWNER TR 2017-1A CL B 2.67% DUE 04-17-2023 BEO
**
142,179

PVTPL FIVE CORNERS FDG TR SECS 3C7 4.419 DUE 11-15-2023
**
434,265

PVTPL FLAGSHIP CR AUTO TR SR 2018-4 CL A 3.41% 05-15-2023
**
1,722,942

PVTPL FLAGSHIP CREDIT AUTO TRUST SER 17-4 CL A2.07% 144A 04-15-2022
**
236,514

PVTPL FOREST LABS INC SR NT 4.875 DUE 02-15-2021 BEO
**
411,668

PVTPL FOREST LABS INC SR NT 5 DUE 12-15-2021
**
209,186

PVTPL FORT CRE LLC 18-1A C FLTG 144A 12-21-2023
**
1,333,497

PVTPL FORTRESS CR BSL VII LTD SER 19-1A CL A2 FLTG 07-23-2032 BEO
**
498,117

PVTPL FOX CORP 4.03% DUE 01-25-2024 BEO
**
319,697

PVTPL FOX CORP 4.03% DUE 01-25-2024 BEO
**
232,313

PVTPL FOX CORP GTD SR NT 144A 4.709% DUE01-25-2029/01-25-2019 BEO
**
114,038

PVTPL FOX CORP GTD SR NT 144A 4.709% DUE01-25-2029/01-25-2019 BEO
**
764,057

PVTPL FREED ABS TR SER 19-1 CL A 3.42% 06-18-2026 REG
**
298,781

PVTPL FRESENIUS US FINANCE II INC 4.25 DUE 02-01-2021 BEO
**
408,203

PVTPL GAIF BD ISSUER PTY LTD SR NT 144A 3.4% DUE 09-30-2026/09-30-2016 BEO
**
76,052

PVTPL GALLATIN CLO IX 2018-1 LTD/GALLATIN CL SR SECD NT CL A FLTG DUE 01-21-2028
**
299,516

PVTPL GEORGIA-PACIFIC LLC 5.4% DUE 11-01-2020
**
4,696,856

PVTPL GLENCORE FDG LLC 4.125% 03-12-2024
**
3,676,360

PVTPL GLENCORE FDG LLC GTD NT 144A 2.875% DUE 04-16-2020 BEO
**
270,359

PVTPL GLS AUTO RECEIVABLES ISSUER TR 2019-1 3.37% DUE 01-17-2023 BEO
**
644,556

PVTPL GOODGREEN 2017-1 TR NT CL A 144A 3.74% DUE 10-15-2052 BEO
**
133,818

PVTPL GOODGREEN 2017-2 NT CL A 144A 3.26% DUE 10-15-2053 BEO
**
270,325

PVTPL GOODMAN US FIN THREE LLC 3.7% DUE 03-15-2028
**
1,548,529

PVTPL GREENWOOD PK CLO LTD SER 18-1A CL A2 FLTG 04-15-2031
**
1,988,235

PVTPL GREYSTONE COMMERCIAL REAL ESTA SER 19-FL2 CL 1 FLTG 09-15-2037
**
8,694,606

PVTPL GRIPPEN PARK CLO LTD SER 17-1A CL A FLTG RATE DUE 01-20-2030
**
1,000,295

PVTPL GUARDIAN LIFE 3.4% DUE 04-25-2023
**
239,187

PVTPL GUARDIAN LIFE 3.4% DUE 04-25-2023
**
400,378

PVTPL HALCYON LN ADVISORS FDG 2015-2 LTD/HAL SR 15-2A CL A-R FLTG 07-25-2027
**
724,045

PVTPL HALSEYPOINT CLO I LTD/HALSEYPOINT CLO SER 19-1A CLS A1A1 VAR RT 01-20-2033
**
2,843,953

PVTPL HARLEY-DAVIDSON FINL SVCS INC GTD 3.55% 05-21-2021
**
5,296,329

PVTPL HARVEST OPERATIONS CORP 4.2% 06-01-2023
**
1,802,243

PVTPL HEINEKEN N V SR NT 3.4 DUE 04-01-2022 BEO
**
61,780

PVTPL HEINZ H J CO 4.875% DUE 02-15-2025
**
442,841

PVTPL HERO FDG 2017-3 NT CL A2 3.95% 09-20-2048
**
816,568

PVTPL HERO FDG SER 2017-1A NT CL A2 4.46% 09-20-2047 BEO
**
136,618

PVTPL HSBC BK CDA 1.65% 09-10-2022
**
496,582

PVTPL HSBC BK PLC SR NT 144A 4.125% DUE 08-12-2020 BEO
**
2,908,807


174
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL HSBC BK PLC SR NT 144A 4.75% DUE 01-19-2021 BEO
**
770,618

PVTPL HYUNDAI AUTO LEASE SECURITIZATION TR 201 NT CL A-2 144A 2.08 12-15-2021
**
6,668,087

PVTPL HYUNDAI AUTO LEASE SECURITIZATION TR 201 NT CL A-4 144A 2.03 06-15-2023
**
1,996,887

PVTPL ICG US CLO SER 15-2A CL AR FLTG 01-16-2028
**
597,830

PVTPL IMPERIAL TOB FIN PLC 2.95% DUE 07-21-2020 BEO
**
2,105,925

PVTPL IMPERIAL TOB FIN PLC 2.95% DUE 07-21-2020 BEO
**
3,810,721

PVTPL IMPERIAL TOB FIN PLC 3.5 DUE 02-11-2023
**
1,637,733

PVTPL INTESA SANPAOLO S P A 144A BD 5.017% DUE 06-26-2024 REG
**
4,213,607

PVTPL INTESA SANPAOLO S P A RCPTS CL X 144A 3.125% DUE 07-14-2022 BEO
**
1,611,296

PVTPL INTESA SANPAOLO S P A RCPTS CL X 3.25% DUE 09-23-2024 BEO
**
1,307,527

PVTPL J G WENTWORTH XXII LLC 3.82 DUE 12-15-2048 BEO
**
1,092,856

PVTPL J P MORGAN CHASE COML MTG SECS TR 2010-C2 CL C VAR RT DUE 11-15-2043
**
6,651,522

PVTPL J P MORGAN CHASE COML MTG SR 2011-CA-SB 3.7339% DUE 07-15-2046
**
862,514

PVTPL J P MORGAN MTG SER 18-4 CL A1 VAR 10-25-2048
**
2,922,091

PVTPL J P MORGAN MTG TR SER 18-3 CLS A1 FLTG 04-25-2018
**
7,383,678

PVTPL JACKSON NATL LIFE FDG LLC 3.25% DUE 01-30-2024 BEO
**
36,315

PVTPL JACKSON NATL LIFE GLOBAL 2.25% 04-29-2021 REG
**
326,445

PVTPL JACKSON NATL LIFE GLOBAL 2.6% DUE 12-09-2020
**
437,819

PVTPL JACKSON NATL LIFE GLOBAL FDG 3.3% DUE 06-11-2021 BEO
**
7,855,324

PVTPL JACKSON NATL LIFE GLOBAL FDG SECD FLTG 06-11-2021
**
4,769,792

PVTPL JACKSON NATL LIFE GLOBAL FDG SECD MEDIUM 3.3% DUE 02-01-2022 REG
**
287,930

PVTPL JAPAN FIN ORGANIZATION FOR MUNICIPALITIES 3.25% 09-27-2023
**
1,361,844

PVTPL JERSEY CENT PWR & LT CO SR NT 144A4.7% DUE 04-01-2024/08-21-2013 BEO
**
2,871,361

PVTPL JFIN CLO 2014 LTD SER 2014-1A CL A-R FLTG 04-21-2025
**
869,229

PVTPL KABBAGE ASSET SECURITIZATION LLC 2019-1 CL A 3.825% 03-15-2024
**
1,711,686

PVTPL KAYNE CLO SER 19-6A CL A1 FLTG 144A 01-20-2033
**
4,000,836

PVTPL KINDER MORGAN INC DEL SR NT 5 DUE 02-15-2021
**
514,185

PVTPL KINDER MORGAN INC DEL SR NT 5 DUE 02-15-2021
**
617,022

PVTPL L3HARRIS TECHNOLOGIES INC 3.85% 15-12-2026
**
268,283

PVTPL LCM LTD PARTNERSHIP SER 24A CL A FLTG RT DUE 03-20-2030 BEO
**
2,749,328

PVTPL LCM LTD PARTNERSHIP SR 20A CL AR FLTG 10-20-2027
**
3,003,818

PVTPL LENDMARK FDG TR 2019-2 SER 19-2A CLS A 2.78% 04-20-2028
**
971,713

PVTPL LENDMARK FDG TR SER 19-1A CL A 3% FIXED DUE 12-20-2027
**
1,902,358

PVTPL LEVEL 3 FING INC 3.4% DUE 03-01-2027
**
4,279,878

PVTPL LIBERTY MUT GROUP INC 4.569% DUE 02-01-2029 BEO
**
197,807

PVTPL LIBERTY MUT GROUP INC 4.569% DUE 02-01-2029 BEO
**
7,461,907

PVTPL LIBERTY MUT GROUP INC GTD SR NT 144A 4.25% DUE 06-15-2023 BEO
**
19,129

PVTPL LIBERTY MUT GROUP INC GTD SR NT 144A 4.25% DUE 06-15-2023 BEO
**
1,405,950

PVTPL LIBERTY MUT GROUP INC GTD SR NT 144A 5% DUE 06-01-2021 BEO
**
284,154

PVTPL LIMEROCK CLO SER 2014-3A CL A1R FLTG DUE 10-20-2026
**
1,455,601

PVTPL MACQUARIE BK LTD 2.1% DUE 10-17-2022 BEO
**
2,277,138

PVTPL MACQUARIE GROUP LTD 144A 3.189% DUE 11-28-2023
**
562,100

PVTPL MACQUARIE GROUP LTD 144A 3.189% DUE 11-28-2023
**
2,657,200

PVTPL MACQUARIE GROUP LTD SR 5.033% DUE 01-15-2030
**
342,111

PVTPL MACQUARIE GROUP LTD SR MEDIUM 3.763% 11-28-2028
**
151,522

PVTPL MADISON PK FDG XII LTD SER 14-12A CL A-R FLTG RATE 07-20-2026
**
1,084,564

PVTPL MAGNETITE CLO LTD SR 15-12A CL ARR FLTG 10-15-2031
**
3,776,826


175
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL MAGNETITE LTD SER 16-17A CL AR FLTG 07-20-2031
**
3,479,580

PVTPL MAPS LTD SER 19-1A CL A 4.458% 03-15-2044
**
8,634,257

PVTPL MARATHON CLO X LTD SR 17-10A CL A-2 FLTG RT 11-15-2029 BEO
**
2,505,148

PVTPL MARLETTE FDG TR SER 19-1A CLS A 3.44% 04-16-2029
**
396,010

PVTPL MARS INC DEL 3.2% 04-01-2030
**
402,506

PVTPL MARS INC DEL NT 2.7% 04-01-2025
**
808,451

PVTPL MASSACHUSETTS EDL FING AUTH N/C VAR RT DUE 04-25-2038 BEO
**
18,635

PVTPL MASSMUTUAL GLOBAL FDG II 2.5 10-17-2022
**
202,915

PVTPL MASSMUTUAL GLOBAL FDG II 2.5 10-17-2022
**
304,373

PVTPL MASSMUTUAL GLOBAL FDG II MEDIUM TERM NTS 2.95% 01-11-2025
**
513,610

PVTPL MET LIFE GLOBAL FDG I MEDIUM TE TRANCHE # TR 00038 2% DUE 04-14-2020 BEO
**
600,107

PVTPL METROPOLITAN LIFE GLOBAL FDG I TRANCHE # TR 00059 2.4% DUE 01-08-2021
**
401,978

PVTPL MIDOCEAN CR CLO VII/MIDOCEAN CR CLO VI NT CL B FLTG 144A 3C7 07-15-2029
**
1,000,077

PVTPL MITSUBISHI UFJ LEASE & FIN CO LTD 144A 3.406% 02-28-2022
**
669,076

PVTPL MONONGAHELA PWR CO 3.55% DUE 05-15-2027 BEO
**
5,520,928

PVTPL MONROE CAP BSL CLO LTD SR 2015-1A CL B-R FLTG DUE 05-22-2027
**
5,987,392

PVTPL MORGAN STANLEY CAP I TR SER 2019-BPR CL A FLTG DUE 05-15-2036
**
4,681,124

PVTPL MOSAIC SOLAR LN TRUST SR 2018-2-GS CL A 4.2% DUE 02-20-2044
**
1,633,195

PVTPL MPLX LP SR NT CONSENT SOLICITATION 3.5% 12-01-2022
**
813,387

PVTPL MRCD MORTGAGE TRUST SER 19-PARK CL A 2.71752% 12-15-2036
**
502,261

PVTPL MVW OWNER TRUST SER 19-2A CL B 2.44% 10-20-2038
**
1,279,948

PVTPL MYERS PK CLO LTD SER 18-1A CL B1 FLTG DUE 10-20-2030
**
1,223,918

PVTPL NARRAGANSETT ELEC CO SR NT 4.534% 03-15-2020
**
220,900

PVTPL NATIONWIDE BLDG SOC 3.766% 03-08-2024
**
1,967,139

PVTPL NATIONWIDE BLDG SOC 3.96% 07-18-2030
**
537,174

PVTPL NATIONWIDE BLDG SOC MEDIUM TERM SR NTS B 2.35% DUE 01-21-2020 BEO
**
2,187,247

PVTPL NATIONWIDE FINL SVCS INC SR NT 144A 5.375% DUE 03-25-2021 BEO
**
415,490

PVTPL NAVIENT PRIVATE ED REFI LN TR 2019-FA CL A2 2.6% DUE 08-15-2068
**
2,894,739

PVTPL NAVIENT PRIVATE ED REFI LN TR 2019-E SER 19-EA CLS A2A 2.64% 05-15-2068
**
1,983,667

PVTPL NAVIENT PRIVATE ED REFI LN TR SR 2019-C CL A-2 02-15-2068
**
2,110,606

PVTPL NAVIENT PRIVATE ED REFI LN TR SR 19-GA CL A 2.4% 10-15-2068
**
4,968,907

PVTPL NAVIENT PVT ED REFI LN TR 2018-C NT CL A-2 3.52% DUE 06-16-2042
**
3,962,431

PVTPL NAVIENT STUDENT LN TR 2017-4 FLTG VAR RT DUE 09-27-2066 BEO
**
2,319,592

PVTPL NAVIENT STUDENT LN TR SR 2017-3 CL A-1 FLTG DUE 07-26-2066
**
124,316

PVTPL NELNET STUDENT LN TR SER 17-3A CL A FLTG 02-25-2066
**
6,664,161

PVTPL NELNET STUDENT LN TR SR 12-21 CL A FLTG RT 12-26-2033
**
3,140,120

PVTPL NEUBERGER BERMAN LN ADVISERS CLO 35 LTD SR SECD NT CL A-1 FLTG 144A VAR
**
3,000,575

PVTPL NEUBERGER BERMAN LN SER 17-25A CL B FLTG 10-18-2029
**
3,462,652

PVTPL NEW RESIDENTIAL MTG LN TR 2017-1 SER 17-1A CL A1 VAR 02-25-2057
**
3,431,120

PVTPL NEW YORK LIFE GLOBAL FDG 2.35% 07-14-2026
**
45,081

PVTPL NEW YORK LIFE GLOBAL FDG FIXED 2.25% 07-12-2022 BEO
**
2,875,185

PVTPL NEW YORK ST ELEC & GAS CORP SR NT 144A 3.25% DUE 12-01-2026/11-29-2016 BEO
**
100,617

PVTPL NEXTGEAR FLOORPLAN MASTER OWNER TRUST SER 2017-1A CL A2 2.54% 04-18-2022
**
412,322

PVTPL NISSAN MTR ACCEP CORP FLTG 09-21-2021 BEO
**
200,138

PVTPL NISSAN MTR ACCEP CORP NT 144A 2.65% DUE 07-13-2022 BEO
**
4,815,034

PVTPL NISSAN MTR ACCEP CORP NT CL F 3.45% DUE 03-15-2023 BEO
**
229,933

PVTPL NISSAN MTR ACCEP CORP NT CL F FLTG 03-15-2021
**
100,014


176
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL NORDEA BK AG MEDIUM TERM JR SUB NTS TR 4 4.25 09-21-2022 REG
**
419,975

PVTPL NORTHERN NAT GAS CO DEL SR BD 144A4.3% DUE 01-15-2049/07-17-2018 BEO
**
282,001

PVTPL NUVEEN LLC 4.0% 11-01-2028
**
4,159,550

PVTPL NXP B V/NXP FDG LLC SR NT 4.625% DUE 06-15-2022 BEO
**
527,014

PVTPL OCEAN TRAILS CLO IV/LLC 0% BDS SER 13-4A CL AR 08-13-2025
**
964,240

PVTPL OCEAN TRAILS CLO VI/OCEAN TRAILS CLO V SER 16-6A CL A-R FLTG 07-15-2028
**
4,350,044

PVTPL OCP OCP CLO LTD SR-14-5A CL-A1R VAR04-26-2031
**
1,786,711

PVTPL OCWEN MASTER ADVANCE RECEIVABLES SR 19-T2 CL AT2 2.4187% 08-15-2051
**
1,015,005

PVTPL OHA LN FDG 2015-1 LTD/OHA LN FDG 2015- SR SECD NT FLTG CL 11-15-2032
**
4,395,353

PVTPL ONEMAIN DIRECT AUTO RECEIVABLE TR 2019-1 SER 19-1A CLS A 3.63% 09-14-2027
**
11,943,765

PVTPL ONEMAIN DIRECT AUTO RECEIVABLES TST 18-1A A 3.43% 12-14-2024
**
13,875,176

PVTPL ONEMAIN FINANCIAL ISSUANCE TRUST SR 17-1A CL A2 FLTG 09-14-2023 BEO
**
6,251,262

PVTPL ONEMAIN FINL ISSUANCE SER 19-1A CL A 3.48% FIXED 144A 02-14-2031 BEO
**
469,941

PVTPL OSCAR US FDG X LLC NT CL A-2 144A 3.1% 04-11-2022
**
7,023,629

PVTPL OVERSEA CHINESE BANKING FLTG 05-17-2021
**
300,575

PVTPL OZLM LTD SER 14-7RA CL A2R FLTG 144A 07-17-2029
**
3,444,590

PVTPL OZLM XII LTD/OZLM XII LLC SER-15-12A CL-A1R FLTG 04-30-2027 BEO
**
4,991,690

PVTPL PALMER SQUARE CLO LTD SR 13-2A CL AARR VAR RT DUE 10-17-2031
**
2,975,734

PVTPL PALMER SQUARE LN FDG 2018-4A LTD CL A-1 FLTG RT 11-15-2026
**
4,180,665

PVTPL PALMER SQUARE LN FDG FLTG RT SER 19-2A CL A1 04-20-2027 BEO
**
2,935,324

PVTPL PALMER SQUARE LN FDG SER 19-4A CL A1 FLTG 10-24-2027
**
10,600,076

PVTPL PARK AEROSPACE HLDGS 5.25% 08-15-2022
**
1,491,560

PVTPL PARK AEROSPACE HLDGS LTD GTD 4.5% DUE 03-15-2023
**
314,100

PVTPL PARK AEROSPACE HLDGS LTD GTD 4.5% DUE 03-15-2023
**
575,850

PVTPL PENNSYLVANIA ELEC CO FIXED 3.6%06-01-2029 BEO
**
263,339

PVTPL PENNSYLVANIA HIGHER ED ASSISTANCE A VAR RT DUE 11-25-2065
**
213,614

PVTPL PENNSYLVANIA HIGHER ED ASSISTANCE A VAR RT DUE 11-25-2065
**
1,441,892

PVTPL PENSKE TRUCK LEASING CO L P/PTL 144A 4.2 04-01-2027/03-20-2017
**
96,517

PVTPL PENSKE TRUCK LEASING CO L P/PTL FIN CO SR NT 3.65% DUE 07-29-2021
**
1,503,939

PVTPL PENSKE TRUCK LEASING CO L P/PTL 3.95%03-10-2025
**
106,249

PVTPL PENSKE TRUCK LEASING CO LP/PTL FINSR NT 4.875% DUE 07-11-2022 BEO
**
1,595,535

PVTPL PENSKE TRUCK LEASING CO LP/PTL FINSR NT 4.875% DUE 07-11-2022 BEO
**
4,265,396

PVTPL PENSKE TRUCK LEASING/ PTL 2.7% DUE 11-01-2024
**
1,762,525

PVTPL PERNOD RICARD SA 4.45 DUE 01-15-2022
**
523,086

PVTPL PERNOD RICARD SA 4.45 DUE 01-15-2022
**
2,249,268

PVTPL PETROBRAS GLOBAL FIN B V 5.093% 01-15-2030
**
1,148,659

PVTPL PPIB CAP INC C 2.75% 11-02-2027
**
260,453

PVTPL PRESTIGE AUTO RECEIVABLES TR 2018-1 NT CL A-3 144A 3.29
**
673,491

PVTPL PRESTIGE AUTO RECEIVABLES TR 2018-1 NT CL B 144A 3.54 DUE 03-15-2023
**
1,115,846

PVTPL PRICOA GLOBAL FDG I 2.45% DUE 09-21-2022
**
151,823

PVTPL PRICOA GLOBAL FDG I 2.45% DUE 09-21-2022
**
4,994,965

PVTPL PRICOA GLOBAL FDG I MEDIUM TERM 2.4% DUE 09-23-2024
**
5,032,195

PVTPL PRICOA GLOBAL FUNDING 1 2.2% DUE 06-03-2021
**
301,033

PVTPL PROGRESS RESIDENTIAL TR SR 2019-SFR4 CL D 3.136% 10-17-2024
**
844,718

PVTPL PROGRESS RESIDENTIAL TRUST SER 2017-SFR2 CL C 3.395% 12-17-2034
**
591,154

PVTPL PROGRESS RESIDENTIAL TRUST SER 2018-SFR3 CL A 3.88% DUE 10-17-2035 BEO
**
815,065

PVTPL PROSPER MARKETPLACE ISSUANCE T SER-19-1A CL-A 3.54% 04-15-2025 BEO
**
118,042


177
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL PT INDONESIA ASAHAN ALUMINIUM PERSERO 5.71% DUE 11-15-2023 BEO
**
220,589

PVTPL PT INDONESIA ASAHAN ALUMINIUM PERSERO 5.23% DUE 11-15-2021
**
314,400

PVTPL PURCHASING PWR SER 18-A CL A 3.34% 08-15-2022
**
1,361,997

PVTPL QATAR ST 4.5% 04-23-2028
**
2,083,936

PVTPL RABOBANK NEDERLAND GLOBAL MEDIUM 3.875% 09-26-2023
**
972,801

PVTPL RECKITT BENCKISER TREAS SVCS PLC 2.375% DUE 06-24-2022
**
201,488

PVTPL RECKITT BENCKISER TREAS SVCS PLC 2.375% DUE 06-24-2022
**
302,231

PVTPL RECKITT BENCKISER TREAS SVCS PLC FLTG DUE 06-24-2022
**
902,025

PVTPL REGATTA VIII FUNDING LTD SER 17-1A CL B FLT 10-17-2030
**
1,042,736

PVTPL RELIANCE STD LIFE GLOBAL FDG II MED TERM 2.5% DUE 01-15-2020 BEO
**
785,040

PVTPL RENEW 2017-1 FDG NT CL A 144A 3.67000007629% DUE 09-20-2052 BEO
**
58,917

PVTPL REPUBLIC OF PERU 6.35% 08-12-2028
**
280,125

PVTPL RESIMAC SR 18-1NCA CL A1 VAR RT 12-16-2059
**
227,221

PVTPL ROLLS-ROYCE 3.625% DUE 10-14-2025
**
1,342,292

PVTPL ROLLS-ROYCE PLC GTD NT 144A 2.375%DUE 10-14-2020/10-14-2015 BEO
**
3,397,937

PVTPL SANTANDER RETAIL AUTO LEASE TR 2019-C SER 19-C CLS A4 2.4% 11-20-2023
**
3,179,547

PVTPL SANTANDER RETAIL AUTO LEASE TR 2017-A CL A-4 2.72% DUE 01-20-2022
**
1,301,528

PVTPL SANTANDER RETAIL AUTO LEASE TR SE 2018-A CL A-3 2.93% DUE 05-20-2021
**
528,658

PVTPL SANTANDER RETAIL AUTO LEASE TR SE 2018-A CL A-3 2.93% DUE 05-20-2021
**
377,343

PVTPL SANTANDER RETAIL AUTO LEASE TR SER 17-A CL A3 2.22% 01-20-2021
**
826,608

PVTPL SANTANDER RETAIL AUTO LEASE TR SER 19-B CL A4 2.38% 08-21-2023 BEO
**
1,857,855

PVTPL SANTANDER UK GROUP HLDGS PLC SUB NT 4.75% DUE 09-15-2025 BEO
**
429,298

PVTPL SANTANDER UK PLC SUB NT 5 DUE 11-07-2023 BEO
**
1,139,780

PVTPL SAUDI ARABIAN OIL CO GLOBAL 2.75% 04-16-2022
**
1,618,065

PVTPL SBA TOWER TR SECD TOWER REV SECS 3.72199988365% DUE 04-11-2023 BEO
**
2,350,544

PVTPL SCENTRE GROUP TR 1/2 3.25% 10-28-2025
**
409,314

PVTPL SCHLUMBERGER FIN CDA LTD SCHLUMBERGER 2.2% DUE 11-20-2020 BEO
**
2,854,261

PVTPL SCHLUMBERGER HLDGS CORP 4.3% DUE 05-01-2029 BEO
**
274,508

PVTPL SCHLUMBERGER INVT SA 2.4 DUE 08-01-2022/07-31-2012 BEO
**
151,311

PVTPL SCHLUMBERGER INVT SA 2.4 DUE 08-01-2022/07-31-2012 BEO
**
2,900,125

PVTPL SCHLUMBERGER INVT SA GTD SR NT 144A 3.3% DUE 09-14-2021/09-14-2011 BEO
**
306,662

PVTPL SCLP SER 2017-4 CL A 2.5% 06-25-2026
**
438,485

PVTPL SER 2017-LC26 CL ASB 3.357% FIXED 144A 07-12-2050
**
4,453,275

PVTPL SIEMENS FINANCIERINGSMAAT 3.125% DUE 03-16-2024
**
520,868

PVTPL SIEMENS FINANCIERINGSMAATSCHAPPIJ N V NT 2.9% DUE 05-27-2022 BEO
**
511,414

PVTPL SIEMENS FINANCIERINGSMAT 2.2% DUE 03-16-2020
**
4,001,324

PVTPL SIERRA RECEIVABLES FUNDING CO LLC SR 18-2A CL A 3.5% 144A 06-20-2035
**
3,068,709

PVTPL SIERRA TIMESHARE 2019-3 RECEIVABLES FDG SER 19-3A CLS A 2.34% 07-15-2038
**
2,230,712

PVTPL SIERRA TIMESHARE RECEIVABLES SER 19-2A CL A 2.59% 05-20-2036 BEO
**
2,318,244

PVTPL SKANDINAVISKA ENSKILDA BANKEN MEDIUM TER 2.2% DUE 12-12-2022 BEO
**
3,301,326

PVTPL SKANDINAVISKA ENSKILDA BANKEN 3.05% 03-25-2022
**
255,095

PVTPL SKANDINAVISKA ENSKILDA BANKEN MEDIUM TER 3.25% 3.25% 05-17-2021
**
1,930,423

PVTPL SLM STUD LN TR 2004-3 STUD LN BKD NT CL 144A A-6B VAR RT DUE 10-25-2064
**
4,912,418

PVTPL SLM STUD LN TR 2007-1 AST BACKED NT CL A-5A VAR RT DUE 01-26-2026 REG
**
531,989

PVTPL SLM STUDENT LN TR 2003-10 STUDENT LN BKD CTF CL A-3 FLTG12-15-2027
**
2,047,313

PVTPL SMB PVT ED LN TR 2016-B LN BACKED NT CL A-2A 144A 2.43 DUE 02-17-2032 BEO
**
2,288,523

PVTPL SMB PVT ED LN TR 2019-B SER 19-B CL A2B FLTG RT VAR RT DUE 06-15-2037 BEO
**
5,228,340


178
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL SMBC AVIATION CAP FIN DAC GTD SR NT 144A 2.65% DUE 07-15-2021 BEO
**
302,108

PVTPL SMBC AVIATION CAP FIN DAC GTD SR NT 144A 3% DUE 07-15-2022 BEO
**
305,355

PVTPL SMITHFIELD FOODS INC FIXED 5.2% 04-01-2029 BEO
**
155,276

PVTPL SOCIAL PROFESSIONAL LOAN PROGRAM LL SER 18-A CL A2A 2.39% DUE 02-25-2042
**
36,827

PVTPL SOCIETE GENERALE 3.875% 03-28-2024
**
6,710,203

PVTPL SOCIETE GENERALE 4.25% 09-14-2023
**
1,911,835

PVTPL SOCIETE GENERALE 4.25% 09-14-2023
**
637,278

PVTPL SOFI CONSUMER LOAN PROGRAM SER 19-3 CL A 2.9% 05-25-2028 BEO
**
3,688,880

PVTPL SOFI CONSUMER LOAN PROGRAM SER 19-2 CL A 3.01% 04-25-2028
**
2,097,408

PVTPL SOFI CONSUMER LOAN PROGRAM TRUST SER 19-4 CL A 2.45% 08-25-2028
**
3,456,223

PVTPL SOFI PROFESSIONAL LN PROGRAM SER 19-C CL A2FX 2.8% 11-16-2048
**
2,354,697

PVTPL SOFI PROFESSIONAL LN PROGRAM SR 2018-B CL A-1FX 2.64% 08-26-2047
**
3,023,835

PVTPL SOFI PROFESSIONAL LN PROGRAM 2016-F LLC CL A-2 3.02% DUE 02-25-2040
**
649,624

PVTPL SOFI PROFESSIONAL LN PROGRAM 2018-D CL A-1FX 3.12% 02-25-2048
**
3,615,996

PVTPL SOFI PROFESSIONAL LN PROGRAM SER 144A CL A-1FX 2.05% 01-25-2041
**
93,484

PVTPL SOFI PROFESSIONAL LN PROGRAM SER 2018-B CL A-2FX 3.34% 08-26-2047
**
3,558,125

PVTPL SOUND PT CLO XXV LTD SR 19-4A CL A-1A VAR RT DUE 01-15-2033
**
1,340,000

PVTPL SOUTHERN NAT GAS CO L L C 03-15-2047
**
341,979

PVTPL SP POWERASSETS LTD GLOBAL MEDIUM TERM NT 3% DUE 09-26-2027 BEO
**
2,132,094

PVTPL SPRINT NEXTEL CORP FORMERLY SPRINTCORP GTD NT 7 DUE 03-01-2020 BEO
**
201,064

PVTPL SPRINT SPECTRUM /SPRINT 5.152% 03-20-2028
**
1,090,000

PVTPL STANDARD CHARTERED PLC NT 144A 2.25% DUE 04-17-2020 BEO
**
400,132

PVTPL STATE OF QATAR 3.875% DUE 04-23-2023 REG
**
955,374

PVTPL SUNTORY HLDGS LTD 2.25% 10-16-2024
**
1,391,492

PVTPL SWISS RE TREAS US CORP SR NT 144A 2.875% DUE 12-06-2022 BEO
**
3,122,127

PVTPL SYMPHONY CLO XIV LTD SR 14-14A CL AR FLTG RT 07-14-2026
**
2,742,310

PVTPL SYMPHONY CLO XIX LTD/SYMPHONY CLO XIX SR SECD NT CL A FLTG 04-16-2031
**
1,486,775

PVTPL SYNGENTA FIN N V GTD SR NT 3.933% 04-23-2021 BEO
**
203,410

PVTPL SYNGENTA FIN N V GTD SR NT 3.933% 04-23-2021 BEO
**
4,536,046

PVTPL TAKEDA PHARMACEUTICAL CO LTD BNDS 2.45% DUE 01-18-2022
**
2,158,243

PVTPL TELSTRA CORP LTD SR NT 144A 4.8% DUE 10-12-2021 BEO
**
733,227

PVTPL TESLA AUTO LEASE TR SER 18-B CL A 3.71% 08-20-2021
**
270,443

PVTPL TESLA AUTO LEASE TR SER 18-B CL A 3.71% 08-20-2021
**
1,623,387

PVTPL THL CR WIND RIV CLO LTD SR 18-2A CL A2 FLTG RATE 07-15-2030
**
1,972,813

PVTPL TOWD PT MTG TR 2017-4 NT CL A1 144A VAR RT DUE 06-25-2057 BEO
**
4,585,186

PVTPL TOWD PT MTG TR FLTG RT SER 19-HY2 CL A1 12-25-2048 BEO
**
386,908

PVTPL TOWD PT MTG TR SER 2019-HY3 CL A1A FLTG 12-25-2048
**
475,604

PVTPL TOWD PT MTG TR SER 2019-HY3 CL A1A FLTG 12-25-2048
**
10,558,399

PVTPL TOYOTA AUTO LN EXTD NT TR 2019-1 NT CL A 144A 2.56% DUE 11-25-2031 BEO
**
507,688

PVTPL TOYOTA AUTO LN EXTD NT TR 2019-1 NT CL A 144A 2.56% DUE 11-25-2031 BEO
**
16,550,632

PVTPL TOYOTA INDS CORP FIXED 3.11% 03-12-2022
**
4,093,828

PVTPL TRAFIGURA SECURITISATION FIN PLC SER 18-1A CLASS A2 3.73% DUE 03-15-2022
**
2,399,275

PVTPL TRALEE CDO LTD SER 18-5A CL A1 FLTG 10-20-2028 BEO
**
4,100,800

PVTPL TRALEE CDO LTD SR 18-5A CL B FLTG 10-20-2028
**
1,201,062

PVTPL TRALEE CLO VI LTD/TRALEE CLO VI SER 19-6A CL AS FLTG 10-25-2032
**
1,994,103

PVTPL TRANS-ALLEGHENY INTST LINE CO 3.85% NTS 06-01-2025
**
2,122,467

PVTPL TRANSPORTADORA DE GAS DEL PERU S ASR NT 4.25% DUE 04-30-2028 BEO
**
5,268,987


179
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
PVTPL TRYON PARK CLO LTD SR 13-1A CL A1SR FLTG 04-15-2029
**
2,989,196

PVTPL UBS AG LONDON BRH 2.45% 12-01-2020
**
6,521,228

PVTPL UBS AG LONDON BRH 2.45% 12-01-2020
**
200,683

PVTPL UBS AG LONDON BRH SR NT FLTG RATE DUE 06-08-2020
**
1,302,151

PVTPL UBS GROUP FDG JERSEY LTD SR NT FLTG 144A 3.43913% DUE 02-01-2022 BEO
**
204,698

PVTPL UBS GROUP FDG SWITZ AG SR 4.253% DUE 03-23-2028
**
8,880,073

PVTPL UBS GROUP FUNDING (SWITZERLAND) 2.65% 02-01-2022 BEO
**
404,113

PVTPL UBS GROUP FUNDING (SWITZERLAND) 2.65% 02-01-2022 BEO
**
2,917,698

PVTPL UBS GROUP FUNDING (SWITZERLAND) 3.491% 05-23-2023
**
514,570

PVTPL UBS GROUP FUNDING (SWITZERLAND) AG3.0% DUE 04-15-2021 BEO
**
506,513

PVTPL UBS GROUP FUNDING 4.125% 09-24-2025 BEO
**
652,828

PVTPL UBS GROUP FUNDING 4.125% 09-24-2025 BEO
**
3,236,941

PVTPL UNICREDIT SPA 6.572% DUE 01-14-2022 BEO
**
3,769,835

PVTPL UNITED AUTO CREDIT SECURITIZATION TRUST SER 18-2 CL B 3.56% 08-10-2022
**
269,011

PVTPL UPGRADE RECEIVABLES TRUST SER 18-1A CL A 3.79% DUE 11-15-2024 BEO
**
84,035

PVTPL USASF RECEIVABLES LLC SER 19-1A CL A 3.61% 04-15-2022 BEO
**
622,945

PVTPL VENTURE CDO LTD SER 18-34A CL A 144A FLTG 10-15-2031
**
1,388,240

PVTPL VENTURE CDO LTD SR 14-17A CL ARR FLTG 04-15-2027
**
99,226

PVTPL VERICREST OPPORTUNITY LOAN TRANSFEREE 19-NPL1 CL A1A STEP UP 1-25-49
**
554,524

PVTPL VERICREST OPPORTUNITY LOAN TRANSFEREE SER 17-NP11 CL A1 STEP UP 10-25-2047
**
206,558

PVTPL VERIZON OWNER TR 2017-2 CL A 1.92% 12-20-2021 BEO
**
137,403

PVTPL VERIZON OWNER TR 2017-3 CL A-1A 2.06% 04-20-2022
**
304,815

PVTPL VERIZON OWNER TR SER 18-1A CL A-1A 2.82% 09-20-2022
**
1,428,020

PVTPL VERIZON OWNER TR SER 18-1A CL A-1A 2.82% 09-20-2022
**
1,460,224

PVTPL VISTRA OPERATIONS CO LLC 3.55% DUE 07-15-2024
**
1,529,657

PVTPL VISTRA OPERATIONS CO LLC 3.7% 01-30-2027
**
3,055,527

PVTPL VOLKSWAGEN GROUP AMER FIN LLC FLTG RT 11-12-2021 BEO
**
1,311,322

PVTPL VOLKSWAGEN GROUP AMER FIN LLC GTD NT 144A 2.5% DUE 09-24-2021 BEO
**
1,404,642

PVTPL VOLKSWAGEN GROUP AMER FLTG RATE 3.875% DUE 11-13-2020
**
2,347,717

PVTPL VOLKSWAGEN INTL FIN N V GTD NT 144A 3C7 4 DUE 08-12-2020 BEO
**
404,714

PVTPL VOLVO FINL EQUIP LLC SER 17-1A CL A4 144A 2.21% 11-15-2021 BEO
**
2,602,778

PVTPL VOYA CLO LTD SER 18-3A CL A1A FLTG 10-15-2031
**
1,749,492

PVTPL WELLS FARGO COML MTG TR SER 2010-C1 CL B VAR 11-15-2043
**
3,288,567

PVTPL WESTJET AIRLS LTD WESTJET AIRLS 3.5% DUE 06-16-2021/06-16-2016 BEO
**
406,291

PVTPL WESTLAKE AUTOMOBILE RECEIVABLES TRUST SER 18-1A CL D 4.12% 09-15-2022
**
2,225,034

PVTPL WHITEHORSE XII LTD/WHITEHORSE XII LLC SR 18-12A CL A FLTG 10-15-2031
**
1,447,758

PVTPL WOOLWORTHS LTD NT 144A 4.55% DUE 04-12-2021 BEO
**
308,061

PVTPL ZAIS CLO 13 LTD FLTG RT SER 19-13A CL A1A 07-15-2032 BEO
**
2,490,060

PVTPLVOLKSWAGEN GROUP AMER FIN LLC GTD NT FLTG 11-13-2020
**
401,612

PYXUS INTL INC COM
**
15,028

Q2 HLDGS INC COM
**
3,143,391

QAD INC CL A STOCK
**
177,135

QATAR ISLAMIC BANK QAR1
**
21,978

QATAR NATIONAL BANK QAR 1.0000
**
487,521

QATAR NAVIGATION QAR1
**
65,580

QATAR(STATE OF) 2.375% SNR 02/06/2021 USD
**
36,351,895

QATAR(STATE OF) 3.875% SNR 23/04/2023 USD
**
1,797,267


180
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
QATAR(STATE OF) 4.5% SNR 23/04/28 USD200000
**
459,038

QCR HLDGS INC COM
**
306,757

QEP RES INC COM STK
**
599,099

QIAGEN NV EUR0.01
**
2,371,051

QIAGEN NV EUR0.01
**
556,111

QINETIQ GROUP ORD GBP0.01
**
43,134

QUAD / GRAPHICS INC COM CL A COM STK
**
29,991

QUAKER CHEM CORP COM
**
2,281,070

QUALCOMM INC 2.9% DUE 05-20-2024
**
155,121

QUALCOMM INC 3.45% DUE 05-20-2025
**
10,471,121

QUALCOMM INC COM
**
8,214,654

QUALCOMM INC FIXED 3% DUE 05-20-2022
**
3,793,502

QUALICORP CONSULTORIA E CORRET
**
483,133

QUALITAS CONTROLAD
**
341,306

QUALYS INC COM USD0.001
**
4,353,998

QUANEX BLDG PRODS CORP COM STK
**
63,025

QUANTA SVCS INC COM
**
2,246,378

QUANTERIX CORP COM
**
450,600

QUE PROV CDA MEDIUM TERM NTS BOOK ENT TRANCHE # TR 00050 7.14 2-27-26
**
1,444,719

QUEBEC PROV CDA 2.75% DUE 04-12-2027 BEO
**
949,223

QUEBEC PROV CDA GLOBAL NT 2.625% DUE 02-13-2023 BEO
**
5,143,717

QUEBEC PROV CDA PROVINCE OF QUEBEC 2.5% 04-20-2026 REG 2.5% DUE 04-20-2026 REG
**
14,885,245

QUEBEC(PROV OF) 4.25% SNR MTN 01/12/21 CAD
**
80,627

QUEST DIAGNOSTICS INC 4.2% 06-30-2029
**
3,369,531

QUIDEL CORP COM
**
750,075

QUINSTREET INC COM STK
**
27,420

QUINTANA ENERGY SVCS INC COM
**
4,148

QUOTIENT TECHNOLOGY INC COM
**
404,802

QURATE RETAIL INC
**
416,577

QVC INC 4.85% DUE 04-01-2024
**
11,527,986

RABOBANK NEDERLAND 2.625% DUE 07-22-2024
**
2,327,332

RABOBANK NEDERLAND 4.5 DUE 01-11-2021
**
4,416,829

RABOBANK NEDERLAND TRANCHE # TR 00078 3.95% BD DUE 11-09-2022 REG
**
4,279,667

RABOBANK NEDERLAND UTREC 3.875 08 FEB 2022
**
520,745

RAC BOND CO PLC 4.565%-VAR 06/05/2046 GBP
**
942,143

RADIAN GROUP INC COM
**
4,300,221

RADIANT LOGISTICS INC COM STK
**
43,658

RADIANT OPTO-ELECT TWD10
**
436,335

RADICO KHAITAN INR2
**
72,048

RADIUS HEALTH INC COM NEW COM NEW
**
579,156

RAFAEL HOLDINGS INC COM USD0.01 CLASS B WI
**
41,157

RAJTHANEE HOSPITAL THB1 (NVDR)
**
32,089

RALPH LAUREN CORP 2.625% DUE 08-18-2020
**
1,066,048

RAMBUS INC DEL COM
**
138,136

RAMELIUS RESOURCES NPV
**
113,119

RAND MERCHANT INSURANCE HLDGS LTD
**
30,539

RANDSTAD N.V. EUR0.10
**
4,361,893


181
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
RANGE RES CORP COM
**
328,946

RAPID7 INC COM
**
753,693

RAS AL KHAIMAH AED1
**
51,218

RASPADSKAYA PJSC RUB0.004(RUB)
**
43,352

RATCH GROUP PUBLIC COMPANY LIMITED
**
185,015

RAYONIER ADVANCED MATLS INC COM
**
33,277

RAYONIER INC REIT
**
458,640

RAYTHEON CO 2.5 DUE 12-15-2022
**
122,441

RAYTHEON CO 3.125% DUE 10-15-2020
**
848,077

RAYTHEON CO 4.4% DUE 02-15-2020
**
185,415

RBB BANCORP COM NPV
**
62,600

RE/MAX HLDGS INC CL A CL A
**
64,278

READING INTL INC CL A CL A
**
37,699

REAL MATTERS INC COM
**
47,503

REALKREDIT DANMARK 2.5% SNR SEC 01/10/2047 DKK
**
2

REALKREDIT DANMARK BNDS 2.5% CVD BDS 01/10/2037
**
2,614

REALNETWORKS INC COM NEW
**
4,304

REALOGY HLDGS CORP COM
**
151,589

REALTEK SEMICOND TWD10
**
290,056

REALTY INCOME CORP 3% DUE 01-15-2027
**
23,670

REALTY INCOME CORP 3.65% 01-15-2028
**
268,987

REALTY INCOME CORP 3.875% DUE 07-15-2024
**
122,713

REALTY INCOME CORP 5.75% DUE 01-15-2021
**
195,460

REATA PHARMACEUTICALS INC CL A CL A
**
311,960

RECKITT BENCK GRP ORD GBP0.10
**
5,212,001

RECKITT BENCKISER 2.75% DUE 06-26-2024
**
407,989

RECRO PHARMA INC COM
**
141,141

RED ELECTRICA CORP EUR0.5
**
1,240,006

RED LIONS HOTELS CORP COM
**
10,082

RED ROBIN GOURMET BURGERS INC COM
**
56,530

REDEFINE PROPS LTD NPV (POST CONVERSION)
**
35,973

REDFIN CORP COM
**
215,987

REDROW ORD GBP0.105
**
1,184,011

REDWOOD TR INC COM
**
1,041,871

REGAL BELOIT CORP COM
**
561,516

REGENCY CTRS L P 2.95% DUE 09-15-2029
**
324,816

REGENCY ENERGY PARTNERS 5.75 DUE 09-01-2020 REG
**
101,411

REGIONAL MGMT CORP COM STK
**
57,928

REGIONS BK BIRMINGHAM ALA 2.75% 04-01-2021
**
252,079

REGIONS BK BIRMINGHAM ALA 2.75% 04-01-2021
**
504,158

REGIONS FINL CORP 3.8% DUE 08-14-2023
**
52,933

REGIONS FINL CORP 3.8% DUE 08-14-2023
**
529,331

REGIONS FINL CORP FIXED 2.75% DUE 08-14-2022
**
3,848,350

REGIS CORP MINN COM
**
384,956

REGIS RESOURCES LT NPV
**
821,886

REINS GROUP AMER 5% DUE 06-01-2021
**
4,102,865

REINSURANCE GROUP AMER INC COM NEW STK
**
3,352,187


182
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
RELIA INC NPV
**
402,894

RELIANCE INDS INR10(100%DEMAT)
**
1,225,568

RELIANCE STD LIFE 3.85% DUE 09-19-2023
**
393,287

RELIANCE STL & ALUM CO COM
**
2,261,308

RELX PLC
**
2,425,888

RELX PLC ORD GBP0.1444
**
4,791,140

REMGRO NPV
**
105,508

RENASANT CORP COM
**
3,036,025

RENB ENERGY GROUP INC COM STK
**
677,119

RENESAS ELECTRONICS CORPORATION NPV
**
788,289

RENT A CTR INC NEW COM
**
646,016

REORG/ AUDENTES THERAPEUTICS CASH MERGER 01-16-2020
**
140,863

REORG/ AXA NAME CHANGE WITH CUSIP CHANGE EQUITABLE HLDGS 2B15AY3 01-14-2020
**
10,588,494

REORG/ SRC ENERGY STOCK MERGER PDC ENERGY 2J1YAC1 01-15-2020
**
166,460

REORG/ WESCO AIRCRAFT CASH MERGER 01-09-2020
**
182,932

REORG/BB&T NAME CHANGE WITH CUSIP CHANGE TRUIST 2C1ZA63 12-09-2019
**
1,876,354

REORG/CAREER EDUCAT NAME CHANG WITH CUSIP CHANG PERDOCEO ED 2C1TAD3 01-02-2020
**
179,431

REORG/JAGGED STOCK MERGER PARSLEY 2W1EAW1 01-10-2020
**
423,549

REORG/SENIOR HSG MANDATORY EXCHANGE DIVERSIFIED HEALTHCARE 2C13A23 01-02-2020
**
194,998

REORG/TWO RIV BANCORP COM STOCK MERGER OCEANFIRST 2669521 01-03-2020
**
14,941

REP 1ST BANCORP INC COM
**
37,164

REP BANCORP INC KY CDT-CL A COM STK
**
146,297

REP OF INDONESIA 2.625% 14/06/2023
**
120,669

REP SVCS INC NT 5.25 DUE 11-15-2021
**
7,001,317

REPLIGEN CORP COM STK USD0.01
**
5,525,950

REPUBLIC OF INDONESIA 4.1% 24/04/2028
**
758,823

REPUBLIC OF INDONESIA 1.4% 30/10/2031
**
1,230,243

REPUBLIC OF ITALY 2.375% DUE 10-17-2024
**
2,741,863

REPUBLIC OF PERU 5.35% 08-12-2040
**
180,919

REPUBLIC OF PERU T- BOND 6.35% 12/08/2028
**
1,260,564

REPUBLIC OF TURKEY TNOTE 7.25% DUE 12-23-2023
**
540,982

REPUBLIC SVCS INC 3.2% DUE 03-15-2025
**
2,382,793

RESIDEO TECHNOLOGIES INC COM USD0.001
**
1,211,110

RESILIENT REIT LTD NPV
**
116,252

RESOLUTE FST PRODS INC COM
**
63,340

RESONA HOLDINGS NPV
**
2,144,912

RESOURCES CONNECTION INC COM
**
81,454

RESURS HOLDING AB NPV
**
431,407

RETAIL OPPORTUNITY INVTS CORP COM STK
**
191,523

RETAIL PPTYS AMER INC CL A
**
1,033,006

RETAIL VALUE INC COM USD0.10
**
56,562

RETROPHIN INC COM
**
739,479

REV GROUP INC COM
**
258,995

REVANCE THERAPEUTICS INC COM
**
362,497

REX AMERICAN RESOURCES CORP
**
30,653

REXFORD INDL RLTY INC COM
**
3,126,112

REXNORD CORP COM USD0.01
**
286,012


183
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
REYNOLDS AMERN INC FIXED 4.45% DUE 06-12-2025
**
2,073,004

RF INDS LTD COM PAR $0.01 COM PAR $0.01
**
11,418

RHB BANK BHD NPV
**
295,323

RHYTHM PHARMACEUTICALS INC COM
**
293,957

RIBBON COMMUNICATIONS INC COM STK USD0.0001
**
125,990

RICE PK FING TR FLTG RT 4.625% DUE 10-31-2041
**
158,726

RICHEMONT(CIE FIN) CHF1 (REGD)
**
3,541,756

RIGEL PHARMACEUTICALS INC COM NEW STK
**
265,030

RING ENERGY INC COM
**
22,638

RINGCENTRAL INC CL A CL A
**
975,925

RIO TINTO LIMITED NPV
**
485,282

RIO TINTO ORD GBP0.10
**
5,853,439

RIOCAN REAL ESTATE UNIT
**
182,940

RIPON MORT. PLC FRN M/BKD 08/2056 GBP 'A2'
**
1,647,190

RIPON MTGS PLC FRN 144A 20/08/2056
**
4,263,316

RITCHIE BROS AUCTI COM NPV
**
562,893

RITE LIMITED INR10
**
53,048

RIVERVIEW BANCORP INC COM STK
**
32,101

RLJ LODGING TR COM REIT
**
278,877

RLTY INC CORP 3.25 DUE 10-15-2022
**
1,249,612

RMAC SECS NO 1 PLC FRN M/BKD 06/2044 GBP'A2A'
**
2,679,522

RMAC SECS NO 1 PLC FRN M/BKD 06/2044 GBP'A2A'
**
1,418,727

RMAC SECS NO 1 PLC FRN M/BKD 06/2044 GBP'A3A'
**
916,349

RMAC SECS NO 1 PLC FRN MTG 06/44 EUR REGS'A2C'
**
644,461

RMB HLDGS ZAR0.01
**
381,563

ROBINSON PCL THB3.55(NVDR)
**
102,319

ROCHE HLDGS AG GENUSSCHEINE NPV
**
20,516,469

ROCKET PHARMACEUTICALS INC COM USD0.01
**
245,239

ROCKROSE ENERGY PL ORD GBP0.2
**
139,966

ROCK-TENN CO 4.9% DUE 03-01-2022
**
3,724,450

ROCKWELL COLLINS 3.2% DUE 03-15-2024
**
312,243

ROCKWELL COLLINS 3.5% DUE 03-15-2027
**
318,643

ROCKY BRANDS INC COM STK
**
24,133

ROGERS CABLE INC 8.75% DUE 05-01-2032
**
95,573

ROGERS COMMUNICATIONS INC 4.35% 05-01-2049 REG
**
128,753

ROGERS CORP COM
**
2,235,411

ROHM CO LTD NPV
**
967,045

ROHTO PHARMACEUTICAL CO NPV
**
602,297

ROKU INC COM CL A COM CL A
**
586,080

ROLLS ROYCE HLDGS NON CUM RED PRF GBP0.001 C
**
17,844

ROLLS ROYCE HLDGS ORD GBP0.20
**
2,662,107

ROMANIA(REP OF) 5.85% BDS 26/04/23
**
174,528

ROPER INDS INC NEW 3.125% DUE 11-15-2022
**
2,951,851

ROPER TECHNOLOGIES 2.8% DUE 12-15-2021
**
1,395,490

ROPER TECHNOLOGIES INC 4.2% 09-15-2028
**
274,000

ROSETTA STONE INC COM
**
202,188



184
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ROSNEFT OIL CO GDR EACH REPR 1 ORD 'REGS'
**
134,271

ROUND ONE CORP NPV
**
189,872

ROYAL BANK OF CANADA 2.15% DUE 10-26-2020 BEO
**
1,297,474

ROYAL BANK OF CANADA 4.65% DUE 01-27-2026 BEO
**
443,727

ROYAL BK CANADA 3.7% 10-05-2023
**
264,307

ROYAL BK CDA 2.125% DUE 03-02-2020
**
17,646,461

ROYAL BK CDA 2.3% DUE 03-22-2021
**
22,682,909

ROYAL BK CDA FLTG RT 01-25-2021
**
3,485,962

ROYAL BK CDA FLTG RT DUE 10-05-2023
**
1,324,878

ROYAL BK CDA GLOBAL MEDIUM TERM 3.2% 04-30-2021
**
1,893,223

ROYAL BK CDA GLOBAL MEDIUM TERM SR BK NT2.25% DUE 11-01-2024
**
7,431,409

ROYAL BK CDA GLOBAL MEDIUM TERM SR BK NTFLTG 04-30-2021 BEO
**
5,424,157

ROYAL BK SCOT GRP 2%-FRN SNR NPF 08/03/23 EUR
**
465,715

ROYAL BK SCOT GRP 8.625%-FRN PERP USD200000
**
648,780

ROYAL BK SCOTLAND 3.875% DUE 09-12-2023
**
3,652,397

ROYAL BK SCOTLAND FLTG RT 4.445% DUE 05-08-2030
**
690,628

ROYAL BK SCOTLAND GROUP PLC 3.498% 05-15-2023
**
7,883,224

ROYAL BK SCOTLAND GROUP PLC 4.269% DUE 03-22-2025
**
456,855

ROYAL BK SCOTLAND GROUP PLC 4.269% DUE 03-22-2025
**
13,349,727

ROYAL BK SCOTLAND GROUP PLC 4.519% DUE 06-25-2024
**
2,655,931

ROYAL BK SCOTLAND GROUP PLC 4.892% 05-18-2029
**
7,115,370

ROYAL BK SCOTLAND GROUP PLC PERPETUAL VAR RT DUE 12-29-2049 REG
**
230,250

ROYAL BK SCOTLAND GRP PLC PERPETUAL SUB FLTG RT DUE 12-29-2049
**
2,554,700

ROYAL CARIBBEAN CRUISES 2.65% 11-28-2020
**
251,280

ROYAL DUTCH SHELL 'A'SHS EUR0.07(GBP)
**
1,621,343

ROYAL DUTCH SHELL 'B'ORD EUR0.07
**
2,140,174

ROYAL MAIL PLC ORD GBP0.01
**
101,929

RPC INC COM
**
92,423

RPI GBP UK RPI/3.35% LCH_CSFBUS 15/05/2030 SWU09UP13
**
8,551

RPI GBP UK RPI/3.4% LCH_CSFBUS 15/06/2030 SWU0C8247
**
20,967

RPI GBP UK RPI/3.47% LCH_CSFBUS 15/09/2032 SWU09TR71
**
2,436

RPI GBP UK RPI/3.53% LCH_CSFBUS 15/10/2031 SWU0B3678
**
20,070

RPI USD 1.6775%/US CPI LCH_CSFBUS 05-24-2021 SWU029980
**
23,293

RPI USD US CPI/2.2425% LCH_CSFBUS 11-21-2026 SWU0C7835
**
61,218

RPM INTL INC
**
2,341,180

RPT REALTY COM USD0.01 SHS OF BENEFICIALINTEREST
**
116,124

RTI SURGICAL HOLDINGS INC
**
31,170

RTW RETAILWINDS INC RTW RETAILWINDS INC
**
8,223

RUBICON PROJ INC COM
**
36,075

RUSH ENTERPRISES INC CL A CL A
**
1,817,313

RUSSIAN FEDERATION 4.25% SNR 23/06/2027 USD
**
875,054

RUSSIAN FEDERATION 4.375% 21/03/2029
**
1,336,562

RUSSIAN FEDERATION 4.75% SNR 27/05/2026 USD
**
2,682,574

RUTGERS ST UNIV N J 3.915% 05-01-2119 BEO TAXABLE
**
984,120

RYDER SYS INC COM
**
489,659

RYDER SYS INC FIXED 2.875% 06-01-2022
**
243,693

RYDER SYS INC MEDIUM TERM NTS BOOK ENTRY2.875% DUE 09-01-2020
**
69,311


185
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
RYDER SYS INC MEDIUM TERM NTS BOOK ENTRYTRANCHE # TR 00218 3.45% DUE 11-15-2021
**
2,862,834

RYDER SYS INC MEDIUM TERM NTS BOOK ENTRYTRANCHE # TR 00225 3.5% DUE 06-01-2021
**
255,112

RYDER SYS INC MEDIUM TERM NTS BOOK ENTRYTRANCHE # TR 00225 3.5% DUE 06-01-2021
**
2,607,247

RYDER SYS INC RYDER SYS INC MTN 2.5 DUE 09-01-2022 2.5 DUE 09-01-2022/08-08-2017
**
75,383

RYDER SYS INC RYDER SYS INC MTN 2.8 DUE 03-01-2022 2.8 DUE 03-01-2022/02-24-2017
**
337,166

RYDER SYSTEM INC 3.875% 12-01-2023
**
5,278,181

RYDER SYSTEM INC MTN 3.65% DUE 03-18-2024
**
3,876,836

RYERSON HLDG CORP COM STOCK
**
85,779

S & T BANCORP INC COM STK
**
195,769

S IMMO AG NPV
**
26,373

S&P GLOBAL INC COM
**
8,642,033

S&T MOTIV CO LTD
**
274,529

S&W SEED CO COM
**
8,667

SABINE PASS 5.625% DUE 03-01-2025
**
7,884,160

SABINE PASS LIQUEFACTION LLC SR SECD NT 5.625 DUE 02-01-2021
**
308,368

SABINE PASS LIQUEFACTION LLC SR SECD NT 5.625 DUE 02-01-2021
**
3,885,435

SABRA HEALTH CARE REIT INC COM
**
349,635

SABRA HLTH CARE 3.9% DUE 10-15-2029
**
1,307,410

SAFEHOLD INC COM COM USD0.01
**
418,072

SAFESTORE HLDGS ORD GBP0.01
**
1,167,220

SAFETY INS GROUP INC COM
**
164,426

SAGA COMMUNICATIONS INC CL A NEW CL A NEW
**
15,565

SAGE GROUP GBP0.01051948
**
153,102

SAGE THERAPEUTICS INC COM
**
1,070,289

SAIA INC COM STK
**
3,156,489

SAILPOINT TECHNOLOGIES HLDGS INC COM
**
1,298,000

SAINT MARC HOLDING NPV
**
83,239

SAIZERIYA COMPANY NPV
**
48,795

SALEM MEDIA GROUP INC COM STK
**
2,508

SALESFORCE COM INC 3.25% BNDS 04-11-2023
**
2,517,344

SALESFORCE COM INC 3.7% DUE 04-11-2028
**
274,270

SALESFORCE COM INC 3.7% DUE 04-11-2028
**
1,601,738

SALESFORCE COM INC COM STK
**
27,807,374

SAMBO CORRUG-BOARD KRW500
**
158,707

SAMMOK S-FORM CO L KRW500
**
28,068

SAMPO PLC SER'A'NPV
**
355,275

SAMSUNG ELECTRONIC KRW100
**
8,600,566

SAMSUNG FIRE & MARINE INS.CO.LTD
**
51,135

SAMSUNG SECURITIES KRW5000
**
53,169

SAN DIEGO CALIF REDEV AGY SUCCESSOR AGY TX ALLOCATION 3.5 09-01-2028 BEO TAXABLE
**
1,384,761

SAN DIEGO GAS & ELECTRIC CO 4.1% 06-15-2049
**
221,410

SANDERSON FARMS INC COM
**
1,502,980

SANDFIRE RESOURCES NPV
**
73,169

SANDRIDGE ENERGY INC SANDRIDGE ENERGY I COM USD0.001
**
27,072

SANDS CHINA LTD FIXED 4.6% 08-08-2023
**
2,036,845

SANDS CHINA LTD FIXED 5.125% DUE 08-08-2025
**
219,468

SANDS CHINA LTD FIXED 5.125% DUE 08-08-2025
**
1,097,340


186
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SANDS CHINA LTD FIXED 5.4% DUE 08-08-2028
**
225,626

SANDS CHINA LTD FIXED 5.4% DUE 08-08-2028
**
372,283

SANDVIK AB NPV
**
1,953,753

SANDY SPRING BANCORP INC CMT-COM
**
2,822,287

SANFILIPPO JOHN B & SON INC COM
**
54,951

SANGAMO THERAPEUTICS INC COM
**
78,293

SANKI ENGINEERING NPV
**
928,112

SANMINA CORP COM
**
385,508

SANOFI EUR2
**
535,083

SANOFI SPONSORED ADR
**
5,918,580

SANTANDER CONSUMER USA HLDGS INC COM
**
650,060

SANTANDER DR AUTO 3% DUE 12-15-2022
**
2,207,926

SANTANDER DR AUTO 3.03% DUE 02-15-2022
**
6,950

SANTANDER DR AUTO 3.32% DUE 03-15-2024
**
635,577

SANTANDER DR AUTO FIXED 2.79% DUE 08-15-2022
**
391,367

SANTANDER DR AUTO FIXED 3.73% DUE 07-17-2023
**
86,957

SANTANDER DR AUTO RECEIVABLES SER 19-3 CL B 2.87% 09-15-2023 REG
**
1,760,113

SANTANDER DR AUTO RECEIVABLES SER 19-3 CL C 2.49% 10-15-2025 REG
**
1,807,174

SANTANDER DR AUTO RECEIVABLES TR SER 17-1 CL D 3.17% 04-17-2023
**
376,159

SANTANDER DR AUTO RECEIVABLES TR SER 19-2 CL A2 2.63% 07-15-2022 REG
**
4,576,943

SANTANDER DR AUTO RECEIVABLES TR SER 19-2 CL B 3.18% 01-16-2024
**
2,571,303

SANTANDER DR AUTO RECEIVABLES TR SER 19-2 CL C 3.44% 10-15-2024 REG
**
3,534,627

SANTANDER DR AUTO RECEIVABLES TR SER 19-3 CL A3 2.16% 11-15-2022
**
575,848

SANTANDER DRIVE AUTO RECEIVABLES TR SER 2017-1 NT CL C 2.58% DUE 05-16-2022
**
90,395

SANTANDER HLDGS 4.45% DUE 12-03-2021
**
9,948,304

SANTANDER HLDGS FIXED 3.5% DUE 06-07-2024
**
925,991

SANTANDER RETAIL 2.3% DUE 01-20-2023
**
1,856,354

SANTANDER UK GROUP 2.875% DUE 08-05-2021
**
353,261

SANTANDER UK GROUP 2.875% DUE 10-16-2020
**
2,109,282

SANTANDER UK GROUP 2.875% DUE 10-16-2020
**
7,432,708

SANTANDER UK GROUP 3.373% 01-05-2024
**
409,840

SANTANDER UK GROUP 3.373% 01-05-2024
**
5,993,913

SANTANDER UK GROUP 3.571% DUE 01-10-2023
**
3,317,224

SANTANDER UK GROUP FLTG RT 4.796% DUE 11-15-2024
**
755,959

SANTANDER UK GROUP HLDGS PLC 3.125% 01-08-2021
**
1,008,545

SANTANDER UK GROUP HLDGS PLC 3.125% 01-08-2021
**
6,313,491

SANTANDER UK PLC 2.375% DUE 03-16-2020
**
470,248

SANTANDER UK PLC 2.875% DUE 06-18-2024
**
818,245

SANTANDER UK PLC 3.4% DUE 06-01-2021
**
1,573,064

SANWA HOLDINGS NPV
**
635,101

SANY HEAVY EQUIPME HKD0.1
**
168,392

SAP SE
**
12,455,544

SAP SE-SPONSORED ADR
**
6,196,904

SAPIENS INTERNATIONAL CORP NV COM EUR0.01
**
31,050

SARACEN MINERAL HL NPV
**
565,171

SAREPTA THERAPEUTICS INC COM
**
519,257

SARTORIUS STEDIM B EUR0.20
**
103,455


187
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SAS AB COMSTK
**
74,803

SASOL FING USA LLC 5.875% DUE 03-27-2024
**
1,732,576

SATSUMA PHARMACEUTICALS INC COM
**
159,408

SAUDI ARABIA (KINGDOM OF) 3.25% 26/10/26
**
207,489

SAUDI ARABIA 2.375% SNR MTN 26/10/21 USD
**
3,616,942

SAUDI ARABIA 4% SNR MTN 17/04/2025 USD
**
1,079,894

SAUDI ARABIA KINGDOM GLOBAL 4.375% 04-16-2029
**
448,476

SAUDI ARABIA KINGDOM GLOBAL MEDIUM TERM TRANCHE # TR 4 2.875% 03-04-2023
**
1,831,644

SAUDI ARABIA KINGDOM GLOBAL MEDIUM TERM TRANCHE # TR 5 3.625% DUE 03-04-2028 REG
**
527,723

SAUDI ARABIA KINGDOM GLOBAL MEDIUM TERM TRANCHE # TR 5 3.625% DUE 03-04-2028 REG
**
45,384,178

SAUDI ARABIA KINGDOM TRANCHE # TR 1 2.375% DUE 10-26-2021 REG
**
2,829,024

SAUDI ARABIA KINGDOM TRANCHE # TR 2 3.25% DUE 10-26-2026 REG
**
207,144

SAUDIA DAIRY&FOOD SAR10
**
14,143

SB ONE BANCORP COM
**
35,361

SBA COMMUNICATIONS CORP COM USD0.01 CL A
**
306,539

SBA TOWER TR SECD TOWER REV SEC 144A 2.836% DUE 01-15-2025
**
10,101,930

SBERBANK OF RUSSIA SPON ADR
**
980,251

SCANDI STANDARD AB NPV
**
259,197

SCANDIC HOTELS GRO NPV
**
41,263

SCANDINAVIAN TOBAC DKK1
**
98,896

SCANSOURCE INC COM
**
138,784

SCENTRE GROUP
**
224,373

SCENTRE GROUP TR 1 FIXED 3.5% DUE 02-12-2025
**
25,950

SCHNEIDER ELECTRIC EUR4.00
**
14,296,341

SCHNEIDER NATL INC WIS CL B CL B
**
282,984

SCHNITZER STL INDS INC CL A
**
295,108

SCHOLASTIC CORP COM
**
166,950

SCHWAB CHARLES 2.65% DUE 01-25-2023
**
3,048,581

SCHWAB CHARLES 3.2% DUE 01-25-2028
**
341,502

SCHWAB CHARLES 3.2% DUE 03-02-2027
**
94,207

SCHWAB CHARLES 3.225% DUE 09-01-2022
**
36,140

SCHWAB CHARLES 3.25% DUE 05-21-2021
**
509,754

SCHWAB CHARLES 3.85% DUE 05-21-2025
**
1,322,085

SCHWAB CHARLES CORP COM NEW
**
29,089,456

SCHWAB CHARLES CORP NEW SR NT FLTG DUE 05-21-2021/04-21-2021 REG
**
3,433,006

SCHWEITZER-MAUDUIT INTL INC COM
**
830,100

SCIENCE APPLICATIONS INTL CORP NEW COM USD0.0001
**
996,640

SCIENTIFIC GAMES CORP
**
754,768

SCOR SE EUR7.876972
**
119,921

SCORPIO BULKERS USD0.01 (POST REV SPLIT)
**
86,931

SCORPIO TANKERS INC COM USD0.01 (POST REV SPLIT)
**
361,102

SCOTTS MIRACLE-GRO CLASS'A'COM NPV
**
1,900,622

SCRIPPS E W CO OHIO CL A NEW COM STK
**
154,162

SEABOARD CORP DEL COM
**
352,796

SEACHANGE INTL INC COM
**
127,615

SEACOAST BKG CORP FLA COM NEW COM NEW
**
3,383,549

SEACOR HLDGS INC COM
**
118,576


188
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SEACOR MARINE HLDGS INC COM
**
50,692

SEATTLE GENETICS INC COM
**
781,538

SEBANG GLOBAL BATT KRW500
**
105,890

SECRETARIA TESOURO 0% T-BILL 01/07/20 BRL'LTN'
**
2,329,215

SECUREWORKS CORP CL A CL A
**
28,322

SEEGENE INC KRW500
**
379,195

SEKISUI HOUSE NPV
**
459,072

SEKISUI HOUSE REIT REIT
**
409,595

SELCUK ECZA DEPOSU TRY1 (B SHARES)
**
56,982

SELECT BANCORP INC NEW COM
**
41,144

SELECT ENERGY SVCS INC CL A COM CL A COM
**
2,248,832

SELECT HARVESTS NPV
**
58,388

SELECT INCOME REIT 3.6% DUE 02-01-2020
**
500,000

SELECT INCOME REIT 3.6% DUE 02-01-2020
**
480,000

SELECT INCOME REIT 4.15% DUE 02-01-2022
**
336,961

SELECT INCOME REIT 4.5% DUE 02-01-2025
**
418,185

SELECT MED HLDGS CORP COM
**
1,234,873

SELECTIVE INS GROUP INC COM
**
3,261,260

SEMAFO INC COM NPV
**
177,397

SEMPRA ENERGY 2.4% DUE 02-01-2020
**
2,810,192

SEMPRA ENERGY 2.4% DUE 03-15-2020
**
200,013

SEMPRA ENERGY 3.55% DUE 06-15-2024
**
942,854

SEMPRA ENERGY 4.05 SNR NTS DUE 12-01-2023
**
160,591

SEMPRA ENERGY 6% DUE 10-15-2039
**
233,711

SEMPRA ENERGY NT FLTG RATE 01-15-2021
**
7,581,269

SEMPRA ENERGY NT FLTG RATE DUE 03-15-2021 REG
**
100,032

SEMTECH CORP COM
**
2,352,357

SENECA FOODS CORP NEW CL A
**
37,608

SENKO GROUP HOLDIN NPV
**
76,611

SENSATA TECHNOLOGIES B V HOLDING
**
161,664

SENSEONICS HLDGS INC COM
**
147,194

SENSHUKAI CO NPV
**
82,064

SENSIENT TECHNOLOGIES CORP COM
**
2,338,396

SER EDUCACIONAL S NPV
**
20,053

SERES THERAPEUTICS INC COM
**
42,780

SERITAGE GROWTH PPTYS CL A
**
117,114

SERVICE PPTYS TR COM SH BEN INT
**
368,016

SERVICENOW INC COM USD0.001
**
24,214,022

SESA S.P.A NPV
**
157,940

SEVEN GENERATIONS COM NPV
**
56,826

SEVERSTAL PJSC GDR EACH REPR 1 ORD 'REGS'
**
392,368

SFA ENGINEERING CO KRW500
**
162,565

SFL CORPORATION LTD COM USD
**
289,797

SG COML MTG SECS 3.055% DUE 10-10-2048
**
3,391,090

SG COML MTG SECS TR SER 2016-C5 CL A1 1.345% 10-10-2048
**
1,989,047

SHANDONG WEIGAO GP 'H'CNY0.1
**
426,736

SHELL INTL FIN B V 2.125% DUE 05-11-2020
**
2,420,417


189
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SHELL INTL FIN B V 2.25% DUE 11-10-2020
**
312,077

SHELL INTL FIN B V 2.875% DUE 05-10-2026
**
178,484

SHELL INTL FIN B V 4% DUE 05-10-2046
**
191,454

SHELL INTL FIN B V 4.125% DUE 05-11-2035
**
183,706

SHELL INTL FIN B V GTD NT 4.375 DUE 03-25-2020
**
402,111

SHERWIN-WILLIAMS 2.75% DUE 06-01-2022
**
1,831,508

SHERWIN-WILLIAMS 3.45% DUE 06-01-2027
**
57,140

SHERWIN-WILLIAMS CO COM
**
11,608,945

SHERWIN-WILLIAMS FIXED 4.2% DUE 01-15-2022
**
415,610

SHILOH INDS INC COM
**
13,482

SHIMAMURA CO NPV
**
144,961

SHIMAO PROPERTY HO HKD0.10
**
110,462

SHIMIZU CORP NPV
**
293,976

SHIN ZU SHING CO TWD10
**
86,066

SHIN-ETSU CHEMICAL NPV
**
1,918,272

SHINMAYWA INDS NPV
**
486,990

SHINNIHON CORP NPV
**
73,117

SHINSEI BANK NPV
**
1,587,298

SHINYOUNG SECUR KRW5000
**
39,281

SHIONOGI & CO LTD NPV
**
1,711,080

SHIPPING CP INDIA INR10
**
84,547

SHIRE ACQUISITIONS 2.4% DUE 09-23-2021
**
703,982

SHIRE ACQUISITIONS 2.875% DUE 09-23-2023
**
68,274

SHIRE ACQUISITIONS 2.875% DUE 09-23-2023
**
2,139,936

SHIRE ACQUISITIONS 3.2% DUE 09-23-2026
**
7,154,388

SHOCKWAVE MED INC COM
**
182,663

SHOE CARNIVAL INC COM
**
68,782

SHOPIFY INC CL A SHOPIFY INC
**
4,813,899

SHOPIFY INC COM NPV CL A
**
1,518,541

SHORE BANCSHARES INC COM
**
39,893

SHOUGANG FUSHAN INTL ENERGY HKD0.10
**
15,524

SHRIRAM TRANSPORT FIN MTN 5.95% DUE 10-24-2022
**
205,293

SHUN TAK HLDGS NPV
**
814,487

SIEMENS AG NPV(REGD)
**
3,132,713

SIERRA BANCORP COM STK
**
111,937

SIFCO INDS INC COM STK
**
2,022

SIG COMBIBLOC GROU CHF0.01
**
1,197,778

SIGNATURE BK NY N Y COM
**
997,253

SIGNET JEWELERS LTD ORD USD0.18
**
158,159

SIGNIFY NV EUR0.01
**
1,230,587

SIKA AG -ORDSHR VOTING BO
**
3,554,197

SILERGY CORP TWD10
**
822,792

SILGAN HLDGS INC COM
**
3,343,711

SILICON LABORATORIES INC COM
**
3,221,924

SILK RD MED INC COM
**
1,110,450

SILTRONIC AG NPV
**
345,957

SILVERBOW RESOURCES INC COM USD0.01
**
20,948


190
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SIME DARBY BHD NPV
**
123,198

SIMMONS 1ST NATL CORP CL A $0.01 PAR CL A $0.01 PAR
**
414,120

SIMON PPTY GROUP L 2.5% DUE 09-01-2020
**
451,102

SIMON PPTY GROUP L FIXED 2.45% 09-13-2029
**
1,599,781

SIMON PPTY GROUP L FIXED 3.25% 09-13-2049
**
194,608

SIMPLO TECHNOLOGY TWD10
**
394,202

SIMPLY GOOD FOODS CO COM
**
139,903

SINCLAIR BROADCAST GROUP INC CL A
**
178,669

SINDOH CO LTD KRW5000
**
29,634

SINGAPORE EXCHANGE NPV
**
87,635

SINGAPORE GOVERNMENT 2.125% 01/06/2026
**
536,999

SINO LAND CO NPV
**
98,791

SINO-AMERICAN SILI TWD10
**
457,591

SINOPEC 'H' CNY1
**
58,610

SINOTRUK (HK) LTD NPV
**
550,317

SITE CENTERS CORP
**
1,298,687

SITEONE LANDSCAPE SUPPLY INC COM
**
4,366,520

SITRONIX TECHNOLOG TWD10
**
346,432

SJM HOLDINGS LTD. NPV
**
719,454

SJVN LTD INR10
**
19,157

SK HYNIX INC
**
2,921,789

SK TELECOM KRW500
**
308,758

SKAND ENSKILDA BKN SER'A'NPV
**
413,243

SKANDINAVISKA 2.8% DUE 03-11-2022
**
913,897

SKANDINAVISKA ENSKILDA BANKEN MEDIUM TERTRANCHE # TR 00008 VAR RT DUE 05-17-2021
**
2,489,973

SKANDINAVISKA FIXED 2.3% DUE 03-11-2020
**
355,880

SKANDINAVISKA FIXED 2.3% DUE 03-11-2020
**
4,652,244

SKANSKA AB SER'B'NPV
**
217,199

SK-ELECTRONICS CO NPV
**
272,224

SKYLINE CHAMPION CORPORATION COM USD0.0277
**
7,926,236

SKYWEST INC COM
**
562,152

SL GREEN OPER 3.25% DUE 10-15-2022
**
204,937

SL GREEN RLTY CORP COM STK
**
1,079,958

SLC STUDENT LN TR 2010-1 NT CL IA-1 FLTGRATE 11-25-2042 REG
**
1,517,911

SLM CORP 8 DUE 03-25-2020
**
34,351

SLM CORP COM
**
857,142

SLM PRIVATE CR STUDENT LOAN TRUST 2004-A06-15-2033 REG
**
5,387,952

SLM STUDENT LN 3-7 3.8%-FRN A/BKD 15/12/33 EUR
**
351,545

SLM STUDENT LN TR 2005-4 CL A-3 VAR RT DUE 01-25-2027
**
782,171

SLM STUDENT LN TR 2008 9 STUDENT LOAN BKD NTS CL A FLTG 04-25-2023 REG
**
5,797,518

SM ENERGY CO COM
**
189,776

SM PRIME HLDGS PHP1
**
158,503

SMALL BUSINESS 5.67999982834% DUE 06-01-2028
**
116,515

SMALL BUSINESS ADMINISTRATION SER 2019-10A CL 1 3.113% 03-10-2029
**
1,764,557

SMART GLOBAL HOLDINGS INC COMN STOCK
**
309,325

SMARTFINANCIAL INC COM NEW COM NEW
**
45,786

SMARTGROUP CORPORATION LIMITED NPV
**
158,063


191
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SMARTSHEET INC CL A CL A
**
1,420,820

SMBC AVIATION CAP 4.125% DUE 07-15-2023
**
1,367,981

SMBC AVIATION CAP 4.125% DUE 07-15-2023
**
4,640,612

SMILES FIDELIDADE COM NPV
**
111,485

SMITH & NEPHEW ORD USD0.20
**
126,138

SMITHS GROUP ORD GBP0.375
**
2,656,592

SMUCKER J M CO COM NEW
**
3,405,051

SNAP-ON INC COM
**
705,551

SOCIETE GENERALE 3.25% DUE 01-12-2022
**
2,158,702

SOCIETE GENERALE EUR1.25
**
523,782

SOCIETE GENERALE MEDIUM TERM NTS BOOK EN 2.625% 09-16-2020
**
502,559

SOFINA NPV
**
251,217

SOFTBANK GROUP CORP
**
1,244,915

S-OIL CORP KRW2500
**
376,923

SOLARIS OILFIELD INFRASTRUCTURE INC CL ACL A
**
1,813,770

SOMBOON ADVANCE TE THB1(NVDR)
**
121,080

SOMPO HOLDINGS INC
**
356,511

SONAE SGPS SA EUR1
**
360,810

SONIC AUTOMOTIVE INC CL A
**
129,766

SONOCO PROD CO COM
**
257,681

SONOS INC COM
**
1,007,459

SONOVA HOLDING AG COMMON STOCK
**
3,587,154

SONY CORP NPV
**
3,824,650

SOULBRAIN CO LTD KRW500
**
10,943

SOUNDVIEW HOME LN TR 2006-OPT2 MTG PASSTHRU CTF CL A-3 05-25-2036 REG
**
642,160

SOUTH AFRICA REP NT 5.375% DUE 07-24-2044 REG
**
190,500

SOUTH JERSEY INDS INC COM
**
2,930,669

SOUTH ST CORP COM
**
536,028

SOUTH32 LTD NPV
**
1,917,926

SOUTHERN CAL EDISON 2.4% 02-01-2022
**
2,256,709

SOUTHERN CALIF EDISON CO 3.5 DUE 10-01-2023
**
933,884

SOUTHERN CO 2.35% DUE 07-01-2021
**
402,023

SOUTHERN CO COM STK
**
26,331,414

SOUTHERN COPPER CORP DEL RT 3.875% DUE 04-23-2025
**
2,581,787

SOUTHERN FIRST BANCSHARES COM
**
43,552

SOUTHERN MO BANCORP INC COM
**
59,842

SOUTHERN NATL BANCORP VA INC COM
**
71,090

SOUTHERN PWR CO 5.15% DUE 09-15-2041
**
68,003

SOUTHN CAL EDISON 3.4% DUE 06-01-2023
**
1,036,973

SOUTHN CAL EDISON 3.65% DUE 03-01-2028
**
374,279

SOUTHN CAL EDISON 3.7% DUE 08-01-2025
**
1,377,024

SOUTHN CAL EDISON 4% DUE 04-01-2047
**
100,021

SOUTHN CAL EDISON CO 5.55 DUE 01-15-2036BEO
**
197,829

SOUTHN CO GAS CAP 2.45% DUE 10-01-2023
**
1,738,153

SOUTHN COPPER CORP 5.25% DUE 11-08-2042
**
3,096,173

SOUTHN COPPER CORP DEL COM
**
121,195

SOUTHN NAT GAS CO 8% DUE 03-01-2032
**
120,470


192
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SOUTHSIDE BANCSHARES INC CMT-COM CMT-COM
**
181,466

SOUTHWEST AIRLS CO 2.65% DUE 11-05-2020
**
1,759,304

SOUTHWEST GAS HLDGS INC COM
**
197,522

SOUTHWESTERN ENERGY CO COM
**
213,838

SOUTHWESTERN PUBLIC SERVICE CO 3.75% 06-15-2049
**
269,002

SOUTHWESTN ELEC 3.9% DUE 04-01-2045
**
100,435

SP PLUS CORP COM
**
152,918

SPAIN(KINGDOM OF) 0.6% BDS 31/10/2029 EUR1000
**
7,054,684

SPAIN(KINGDOM OF) 1.4% BDS 30/07/2028 EUR1000
**
611,093

SPAIN(KINGDOM OF) 1.45% BDS 30/04/29 EUR1000
**
1,472,770

SPAIN(KINGDOM OF) 2.7% SNR 31/10/2048 EUR1000
**
298,607

SPAR GROUP LIMITED ZAR
**
527,804

SPARTAN MTRS INC COM
**
90,490

SPARTANNASH CO COM NPV
**
203,475

SPCG PUBLIC CO LTD THB1(NVDR)
**
320,573

SPCL1 GEN ELEC CAP CORP 5.875% DUE 01-14-2038
**
291,734

SPECTRA ENERGY 3.5% DUE 03-15-2025
**
314,022

SPECTRA ENERGY PARTNERS LP SR NT FLTG DUE 06-05-2020 REG
**
100,176

SPECTRUM BRANDS HLDGS INC COM USD0.01
**
292,327

SPIRIT AEROSYSTEMS 4.6% DUE 06-15-2028
**
1,688,608

SPIRIT AEROSYSTEMS FIXED 3.95% DUE 06-15-2023
**
412,403

SPIRIT AEROSYSTEMS HLDGS INC CL A
**
1,240,636

SPIRIT AEROSYSTEMS INC SR NT FLTG RATE DUE 06-15-2021/05-31-2019 REG
**
99,754

SPIRIT AIRLS CL AA PASS THRU CTFS 3.375%08-15-2031
**
58,091

SPIRIT AIRLS INC COM
**
433,776

SPIRIT REALTY CAPITAL INC COM USD0.01(POST REV SPLIT)
**
2,048,150

SPLUNK INC COMSTK COM USD0.001
**
10,302,828

SPOK HLDGS INC COM
**
27,579

SPORTSMANS WHSE HLDGS INC COM
**
19,272

SPRINGLEAF FIN 8.25% DUE 12-15-2020
**
104,925

SPRINT SPECTRUM CO 3.36% DUE 09-20-2021
**
220,697

SPRINT SPECTRUM CO 3.36% DUE 09-20-2021
**
5,455,627

SPX CORP COM
**
437,568

SPX FLOW INC COM
**
322,200

SQUARE ENIX HOLDINGS CO LTD NPV
**
599,451

SQUARE INC CL A CL A
**
3,002,630

SR HSG PPTYS TR 6.75% DUE 04-15-2020
**
702,496

SR HSG PPTYS TR FIXED 4.75% DUE 02-15-2028
**
302,858

SREI INFRASTRUCTUR INR10
**
19,738

SSI GROUP INC PHP1
**
26,041

ST AUTO FINL CORP COM
**
185,158

ST JOE CO COM
**
120,864

ST STR CORPORATION 3.1% DUE 05-15-2023
**
82,554

STAAR SURGICAL CO COM NEW PAR $0.01
**
1,723,049

STAG INDL INC COM
**
358,099

STAMPS COM INC COM NEW
**
148,248

STANDARD AVB FINL CORP COM
**
11,928


193
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
STANDARD BK GR LTD ZAR0.1
**
50,194

STANDARD CHARTERED PLC SHS
**
153,548

STANDARD MTR PRODS INC COM
**
165,674

STANDEX INTL CORP COM
**
142,830

STANLEY BLACK & DECKER INC COM
**
11,921,347

STAR ASIA INVESTME REIT
**
425,957

STARBUCKS CORP 2.7% DUE 06-15-2022
**
145,546

STARBUCKS CORP 3.8% DUE 08-15-2025
**
323,278

STARRETT L S CO CL A
**
4,101

STATE BK INDIA(LDN FRN SNR MTN 04/20 USD200000
**
200,180

STATE OF ISRAEL BD 4.125% DUE 01-17-2048REG
**
346,548

STATE OF QATAR 4.5% 20 JAN 2022
**
734,619

STATE OF QATAR 4.5% 20 JAN 2022
**
5,562,112

STATE STR CORP 2.354% DUE 11-01-2025
**
200,881

STATE STR CORP 2.354% DUE 11-01-2025
**
2,290,048

STATE STR CORP COM
**
22,606,147

STATE STR CORP VAR RATE 3.776% 12-03-2024
**
264,578

STD CHARTERED PLC FLTG RT 4.247% DUE 01-20-2023
**
1,759,180

STD CHARTERED PLC FLTG RT 4.247% DUE 01-20-2023
**
517,406

STD LIFE ABERDEEN ORD GBP0.1396825396
**
626,384

STEEL DYNAMICS INC 2.8% DUE 12-15-2024
**
65,417

STEEL DYNAMICS INC 3.45% DUE 04-15-2030 BEO
**
101,188

STEEL DYNAMICS INC COM
**
729,954

STEELCASE INC CL A COM
**
245,438

STEPAN CO COM
**
1,072,752

STERIS PLC ORD USD0.001
**
766,977

STERLING BANCORP DEL COM
**
5,421,207

STERLING BANCORP INC COM
**
8,910

STERLING CONSTR INC COM
**
194,769

STEWART INFORMATION SVCS CORP COM
**
798,668

STICHTING AK RABOBANK CERTIFICATEN 6.5% 31/12/2049
**
572,489

STIFEL FINL CORP COM
**
519,225

STMICROELECTRONICS EUR1.04
**
1,723,135

STOCK SPIRITS GROUP PLC ORD GBP0.10
**
103,592

STOCKLAND NPV (STAPLED)
**
115,879

STOKE THERAPEUTICS INC COM
**
60,492

STONERIDGE INC COM
**
111,152

STORE CAPITAL CORPORATION COM USD0.01
**
717,503

STRATASYS INC SHS
**
629,422

STRATEGIC ED INC
**
2,916,768

STRATTEC SEC CORP COM
**
13,881

STRATUS PPTYS INC COM NEW COM NEW
**
19,270

STRUCTURED ASSET INVT LN TR 2003-BC2 MTGPASSTHRU CTF CL A2 VAR 04-25-2033 REG
**
172,292

STRUCTURED ASSET INVT LN TR 2004-2 MTG PASSTHRU CTF CL A4 03-25-2034 REG
**
411,828

SUGI HOLDINGS NPV
**
1,001,802

SULZER AG CHF0.01 (REGD)
**
846,042

SUMCO CORPORATION NPV
**
1,545,678


194
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SUMITOMO CORP NPV
**
1,046,419

SUMITOMO DAINIPPON PHARMA CO LTD NPV
**
226,272

SUMITOMO HEAVY IND NPV
**
544,162

SUMITOMO MITSUI 2.442% DUE 10-19-2021
**
201,581

SUMITOMO MITSUI 2.442% DUE 10-19-2021
**
4,873,209

SUMITOMO MITSUI 2.632% DUE 07-14-2026
**
150,141

SUMITOMO MITSUI 2.84% BNDS 01-11-2022
**
152,344

SUMITOMO MITSUI 2.84% BNDS 01-11-2022
**
1,828,129

SUMITOMO MITSUI 2.934% DUE 03-09-2021
**
14,454,351

SUMITOMO MITSUI BANKING 3.4 07-11-2024
**
6,175,199

SUMITOMO MITSUI BKG CORP N Y BRH INSTL C 04-04-2019 VAR RT 04-06-2021
**
1,971,714

SUMITOMO MITSUI FG 3.748% 19 JUL 2023
**
1,070,157

SUMITOMO MITSUI FINANCIAL GROUP INC SR NT FLTG DUE 01-17-2023 REG
**
4,736,875

SUMITOMO MITSUI FINANCIAL GROUP NPV
**
1,475,897

SUMITOMO MITSUI FINL GROUP INC 2.784% BNDS 07-12-2022
**
508,653

SUMITOMO MITSUI FINL GROUP INC 3.936% 10-16-2023
**
371,345

SUMITOMO MITSUI FIXED 2.058% DUE 07-14-2021
**
4,806,967

SUMITOMO MITSUI FIXED 2.45% 10-20-2020
**
1,004,116

SUMITOMO MITSUI FIXED 2.514% 01-17-2020
**
4,500,805

SUMITOMO MITSUI TRUST HOLDINGS INC
**
248,565

SUMITOMO REALTY & DEVELOPMENT NPV
**
209,236

SUMMIT FINL GROUP INC COM
**
54,397

SUMMIT HOTEL PROPERTIES INC COM
**
124,757

SUMMIT MATLS INC CL A CL A
**
404,364

SUN ART RETAIL GRO NPV
**
98,238

SUN FRONTIER FUDOS NPV
**
350,561

SUN HUNG KAI CO NPV
**
74,278

SUN HUNG KAI PROP NPV
**
390,430

SUN PHARMACEUTICAL EQ-INR 1
**
57,830

SUNAC CHINA HLDGS HKD0.10
**
1,606,859

SUNCOKE ENERGY INC COM USD0.01
**
86,753

SUNCOR ENERGY INC 5.95 DUE12-01-2034 BEO
**
104,470

SUNCOR ENERGY INC COM NPV 'NEW'
**
5,485,292

SUNCOR ENERGY INC NEW COM STK
**
8,554,470

SUNDRUG CO LTD NPV
**
126,466

SUNNY OPTICAL TECH HKD0.10
**
796,401

SUNOCO LOGISTICS 3.9% DUE 07-15-2026
**
4,155,571

SUNOCO LOGISTICS 4.4% DUE 04-01-2021
**
30,724

SUNOCO LOGISTICS 4.65% DUE 02-15-2022
**
83,415

SUNRUN INC COM
**
59,245

SUNSTONE HOTEL INVS INC NEW COM
**
979,634

SUNTRUST BANK 3.525% DUE 10-26-2021 REG
**
5,180,288

SUNTRUST BANK INC 2.25% DUE 01-31-2020
**
2,540,000

SUNTRUST BK ATL 05-17-2019 FIXED 2.8% 05-17-2022
**
1,019,024

SUNTRUST BK ATL GA FIXED 2.45% DUE 08-01-2022
**
5,736,715

SUNTRUST BK ATL GA FIXED 3.2% 04-01-2024 REG
**
447,415

SUNTRUST BK ATLANTA GA MEDIUM TERM SR VAR RT 08-02-2022 REG
**
2,096,700


195
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SUNTRUST BKS INC 2.7% DUE 01-27-2022
**
2,889,436

SUPER MICRO COMPUTER INC COM USD0.001
**
49,025

SUPERIOR GROUP OF COS INC
**
21,772

SUPERIOR INDS INTL INC COM
**
18,085

SUPERNUS PHARMACEUTICALS INC COM STK
**
96,493

SUPREME ELECTRONIC TWD10
**
138,796

SURGERY PARTNERS INC COM
**
106,908

SURGUTNEFTEGAS PJS ADR-REPR 10 ORD RUB1
**
182,140

SURMODICS INC COM
**
328,830

SUSHIRO GLOBAL HLD NPV
**
1,059,379

SUZANO AUSTRIA FIXED 6% DUE 01-15-2029
**
5,310,525

SUZUKEN CO LTD NPV
**
179,018

SVENSKA 1.95% DUE 09-08-2020
**
499,771

SVENSKA 3.35% DUE 05-24-2021
**
3,900,490

SVENSKA HANDELSBANKEN AB PUBL MEDIUM TER 1.875% DUE 09-07-2021
**
499,183

SVMK INC COM
**
880,794

SWCC SHOWA HOLDINGS CO., LTD NPV
**
42,223

SWEDBANK AB MEDIUM 2.2% DUE 03-04-2020
**
500,139

SWEDBANK AB SER'A'NPV
**
119,973

SWEDISH COVERED BD 2% CVD BDS 17/06/2026SEK
**
115,413

SWEDISH MATCH NPV
**
3,245,292

SWIRE PROPERTIES LTD HKD1
**
130,713

SWISS INSD BRAZIL 9.85% 16/07/2032 DUAL CURR
**
982,549

SWITCH INC CL A CL A
**
385,290

SYKES ENTERPRISES INC COM
**
239,214

SYN_SWAP 0.0 12 FEB 2020 BZG0 INDEX BZG20_SW
**
22,551

SYN_SWAP 0.0 12 MAR 2020 KMH0 INDEX KM2H20_SW
**
348,806

SYN_SWAP 0.0 15 JAN 2020 FTF0 INDEX TXF20_SW
**
704

SYN_SWAP 0.0 28 FEB 2020 A5G0 INDEX A5G20_SW
**
3,255

SYN_SWAP 0.0 28 FEB 2020 A5G0 INDEX A5G20_SW
**
14,358

SYN_SWAP 0.0 30 JAN 2020 IHF0 INDEX IHF20_SW
**
178

SYN_SWAP 0.0 30 JAN 2020 IHF0 INDEX IHF20_SW
**
7,307

SYN_SWAP 0.0 30 JAN 2020 HCF0 INDEX HCF20_SW
**
140,269

SYNALLOY CORP COM
**
18,461

SYNAPTICS INC COM
**
3,042,257

SYNCHRONOSS TECHNOLOGIES INC COM STK
**
210,178

SYNCHRONY CARD 2.95% DUE 03-15-2025
**
1,384,842

SYNCHRONY CARD ISSUANCE TR SER 18-1A CL A1 3.38% 09-16-2024 BEO
**
1,405,756

SYNCHRONY CR CARD 2.37% DUE 03-15-2023
**
9,857,671

SYNCHRONY CREDIT CARD MASTER NOTE TST SER 2015-4 CL A 2.38% 09-15-2023
**
2,006,321

SYNCHRONY FINL 2.7% DUE 02-03-2020
**
1,964,673

SYNCHRONY FINL 2.85% DUE 07-25-2022
**
1,594,463

SYNCHRONY FINL 3.7% DUE 08-04-2026
**
137,447

SYNCHRONY FINL 4.5% DUE 07-23-2025
**
1,726,416

SYNDAX PHARMACEUTICALS INC COM
**
168,471

SYNEOS HEALTH INC COM
**
874,223

SYNGENTA FIN N V 3.698% DUE 04-24-2020
**
802,517


196
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
SYNGENTA FIN N V 4.441% DUE 04-24-2023
**
2,088,729

SYNLOGIC INC COM USD0.001
**
4,174

SYNNEX CORP COM STK
**
983,259

SYNNEX TECH INTL TWD10
**
36,278

SYNOVUS FINL CORP COM NEW COM NEW
**
1,870,898

SYSCO CORP 3.25% DUE 07-15-2027
**
62,887

SYSMEX CORP NPV
**
95,142

T ROWE PRICE GROUP INC
**
5,651,183

T SISE VE CAM FABR TRY1
**
506,583

TABULA RASA HEALTHCARE INC COM
**
3,420,890

TAEKWANG IND CO KRW5000
**
229,753

TAIHEIYO CEMENT NPV
**
137,490

TAISEI CORP NPV
**
1,308,074

TAISHIN FINANCIAL TWD10
**
52,724

TAIWAN BUSINESS BK TWD10
**
74,103

TAIWAN MOBILE CO TWD10
**
33,626

TAIWAN NAVIGATION TWD10
**
165,202

TAIWAN SURFACE MOU TWD10
**
144,411

TAKARA HOLDINGS INC JPY50
**
467,074

TAKARA LEBEN REAL REIT
**
39,543

TAKEDA 144A 1.125% 21/11/2022
**
231,351

TAKEDA FIXED 4.4% DUE 11-26-2023
**
10,170,030

TAKEDA FIXED 5% DUE 11-26-2028
**
582,546

TAKEDA PHARMACEUTICAL CO LTD 4.0% DUE 11-26-2021
**
4,219,331

TAKE-TWO INTERACTIVE SOFTWARE INC COM STK USD0.01
**
22,368,083

TAKKT AG NPV
**
121,278

TAKUMA CO LTD NPV
**
763,508

TALOS ENERGY INC COM STK
**
397,890

TAMA HOME CO LTD NPV
**
700,362

TAMRON CO LTD NPV
**
286,728

TANDEM DIABETES CARE INC COM NEW COM USD0.001(POST REV SPLT)
**
2,258,444

TANSEISHA CO LTD NPV
**
393,560

TAPESTRY INC COM USD0.01
**
533,062

TARGA RES CORP COM
**
1,431,826

TARO PHARMACEUTICAL INDUSTRIES ORD ILS1
**
31,831

TATA CONSULTANCY S INR1
**
6,260,946

TATE & LYLE ORD GBP0.25
**
476,920

TAUBMAN CTRS INC COM
**
152,341

TAV HAVALIMANLARI TRY1
**
215,499

TAYLOR MORRISON HOME CORP COM USD0.00001
**
357,149

TAYLOR WIMPEY ORD GBP0.01
**
869,237

TC PIPELINES LP 3.9% DUE 05-25-2027
**
115,020

TCF AUTO 1.93% DUE 06-15-2022
**
803,738

TCF FINL CORP NEW COM
**
865,426

TCL ELECTRONICS HOLDINGS LTD
**
209,967

TD AMERITRADE HLDG 2.75% DUE 10-01-2029
**
175,114

TEACHERS INS & 4.27% DUE 05-15-2047
**
170,617


197
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TEAM INC COM STK
**
78,604

TEAM17 GROUP PLC ORD GBP0
**
49,092

TECH DATA CORP COM
**
918,035

TECH MAHINDRA
**
178,448

TECHNI CN COM USD1
**
1,068,076

TECHTARGET INC COM
**
305,918

TECK RESOURCES LTD CLASS'B'SUB-VTG COM NPV
**
2,052,858

TECNOGLASS INC COMMON STOCK
**
11,138

TECO FIN INC 5.15% DUE 03-15-2020
**
150,917

TEEKAY CORP COM
**
1,490

TEEKAY TANKERS LTD COM USD0.01 (POST REVSPLIT)
**
108,129

TEGNA INC COM
**
500,984

TEIJIN LTD NPV
**
152,976

TEJON RANCH CO COM
**
84,247

TEKFEN HOLDING AS TRY1
**
143,863

TELADOC HEALTH INC
**
2,541,572

TELARIA INC COM USD0.0001
**
206,154

TELEDYNE TECHNOLOGIES INC COM
**
682,684

TELEFONICA 5.134% DUE 04-27-2020
**
86,814

TELEFONICA EMISIONES S A U 5.462 DUE 02-16-2021 REG
**
285,422

TELEFONICA FIXED 4.103% DUE 03-08-2027
**
238,155

TELEKOMUNIKASI SER'B'IDR50
**
635,526

TELENAV INC COM
**
42,763

TELENET GRP HLDG NPV
**
152,215

TELEPHONE & DATA SYS INC COM STK
**
400,751

TELSTRA CORP LTD NPV
**
337,373

TEMPUR SEALY INTL INC COM
**
516,266

TENABLE HLDGS INC COM
**
266,962

TENCENT HLDGS LIMITED COMMON STOCK
**
6,666,685

TENCENT HLDGS LTD 3.595% DUE 01-19-2028
**
3,000,234

TENCENT HLDGS LTD 3.8% DUE 02-11-2025
**
1,117,166

TENET HEALTHCARE CORP COM NEW .
**
1,030,651

TENNECO INC
**
87,560

TENNESSEE VALLEY A 0% DUE 04-01-2026 REG
**
1,371,342

TENNESSEE VALLEY AUTH FED 0% CPN IO STRIPS DUE 09-15-2026
**
1,517,227

TENNESSEE VALLEY AUTH FED BOOK ENTRY CPNGENERIC INT PMT 04-01-2028
**
2,434,085

TENNESSEE VY AUTH GLOBAL POWER BD SER A 4.625% DUE 09-15-2060 REG
**
61,768

TENNESSEE VY AUTH GLOBAL PWR BD 2.25% 03-15-2020
**
1,116,451

TENNESSEE VY AUTH GLOBAL PWR BD SER A 4.25% DUE 09-15-2065 REG
**
93,723

TENNESSEE VY AUTH TENN VALLEY AUTH 4.875% DUE 01-15-2048 REG
**
425,811

TERADATA CORP DEL COM STK
**
611,962

TERADYNE INC COM
**
1,970,486

TEREX CORP NEW COM
**
1,919,827

TERRAFORM PWR INC CL A COM NEW CL A COM NEW
**
163,657

TERRENO RLTY CORP
**
3,258,687

TERRITORIAL BANCORP INC COM STK
**
53,433



198
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TERUMO CORP NPV
**
7,672,169

TERWIN MTG TR 2003-6HE ASSET BKD CTF CL A-1 FLTG 11-25-2033 REG
**
36,540

TESCO 6.125% SNR 24/02/2022 GBP
**
72,859

TESCO ORD GBP0.05
**
3,226,096

TESCO PROP FIN 6 PLC 5.4111% BDS 13/07/2044 GBP100000
**
321,520

TESCO PROPERTY FIN 4 PLC 5.8006% 13/10/2040
**
339,225

TESLA AUTO LEASE 2.16% DUE 10-20-2022
**
538,176

TESLA INC COM USD0.001
**
13,915,329

TESSCO TECHNOLOGIES INC COM
**
20,813

TETHYS OIL AB NPV
**
141,510

TETRA TECHNOLOGIES INC DEL COM
**
38,937

TEVA 2.95% DUE 12-18-2022
**
420,200

TEVA 3.65% DUE 11-10-2021
**
391,500

TEVA PHARM FINANCE 3.25% SNR 15/04/22 EUR1000
**
1,479,826

TEXAS INSTRS INC 2.25% DUE 09-04-2029
**
345,593

TEXAS INSTRS INC 2.75% DUE 03-12-2021
**
151,545

TEXAS INSTRS INC 2.75% DUE 03-12-2021
**
1,899,370

TEXAS INSTRS INC 3.875% 03-15-2039
**
395,690

TEXAS INSTRUMENTS INC COM
**
28,804,825

TEXTAINER GROUP HLDGS LTD COM STK
**
101,906

TEXTRON INC 3.9% 09-17-2029
**
1,629,535

TEXTRON INC FLTG 11-10-2020 BEO
**
300,012

TFI INTERNATIONAL COM NPV
**
357,788

TG THERAPEUTICS INC COM
**
178,710

T-GAIA CORP NPV
**
554,465

THAI BEVERAGE PLC THB1
**
587,156

THAI UNION GROUP THB0.25(NVDR)
**
130,230

THAI VEGETABLE OIL THB1 (NVDR)
**
92,795

THALES SA EUR3
**
1,192,968

THE FOSCHINI GROUP COMSTK
**
54,457

THE MEET GROUP INC COM
**
300,906

THE PEOPLE S INSUR 'H'CNY1
**
86,491

THE REALREAL INC COM
**
331,760

THE TRADE DESK INC COM CL A COM CL A
**
286,797

THERAVANCE BIOPHARMA INC COM
**
580,247

THERMO FISHER 3% DUE 04-15-2023
**
7,997,914

THERMO FISHER CORP
**
14,847,209

THERMON GROUP HLDGS INC
**
138,502

THIRD POINT REINSURANCE LTD COM USD0.10
**
726,027

THOMSON-REUTERS COM NPV
**
1,163,892

THOR INDS INC COM STK
**
862,953

TIANNENG POWER INT HKD0.10
**
1,522

TIDEWATER INC NEW COM
**
111,303

TILLYS INC CL A
**
40,180

TIMBERLAND BANCORP INC COM
**
40,803

TIME WARNER CABLE 4.125% DUE 02-15-2021
**
279,451

TIME WARNER CABLE 4.125% DUE 02-15-2021
**
1,890,107


199
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TIME WARNER CABLE 5% DUE 02-01-2020
**
100,187

TIME WARNER CABLE 5% DUE 02-01-2020
**
8,445,787

TIME WARNER CABLE 6.75% DUE 06-15-2039
**
404,320

TIMKEN CO COM
**
553,584

TIMKENSTEEL CORP COM NPV 'WI'
**
176,284

TIPCO ASPHALT THB1(NVDR)
**
337,264

TIPTREE INC COM TIPTREE INC
**
54,041

TIS INC
**
135,931

TITAN INTL INC ILL COM
**
81,327

TITAN MACHY INC COM
**
50,104

TIVITY HEALTH INC COM
**
54,769

TIVO CORP COM NPV
**
672,176

TMB BANK PUBLIC CO THB0.95(NVDR)
**
166,846

TN VY AUTH FED BOOK ENTRY CPNSTRIPS GENERIC INT PMT 09-15-2028 (UNDDATE) REG
**
610,982

TN VY AUTH FED BOOK ENTRY PRIN STRIPS GENERIC PRIN PMT 06-15-2035 (UNDDATE)
**
285,308

TN VY AUTH FED ZERO CPN 0% DUE 03-15-2026
**
1,784,178

TOKAI RIKA CO NPV
**
50,604

TOKAI TOKYO FINANCIAL HOLDINGS INC
**
520,246

TOKYO ELECTRON NPV
**
3,844,967

TOKYO METROPOLIS JAPAN BD 144A 2.5% DUE 06-08-2022 BEO
**
3,637,293

TOKYO STEEL MFG NPV
**
183,078

TOKYO(METROPOLIS) 2% SNR 17/05/2021 USD200000
**
299,961

TOKYU FUDOSAN HOLDINGS CORPORATION NPV
**
51,776

TOLEDO EDISON CO 7.25% DUE 05-01-2020
**
507,129

TOLL BROS INC COM
**
842,946

TOMPKINS FINL CORP COM USD0.10
**
146,217

TOMY COMPANY LTD NPV
**
981,592

TOOTSIE ROLL INDS INC COM
**
35,676

TOPBUILD CORP COM
**
4,758,688

TOPKEY CORPORATION SHS
**
93,071

TOREX GOLD RES INC COM NPV (POST REV SPLT)
**
576,000

TORII PHARM CO LTD NPV
**
103,704

TORONTO DOMINION BANK MTN 2.5% DUE 12-14-2020
**
502,873

TORONTO DOMINION BANK MTN 3.25% DUE 06-11-2021
**
2,982,255

TORONTO DOMINION BK FIXED 3.25% 03-11-2024 REG
**
261,789

TORRENT POWER INR10
**
44,567

TOSHIBA CORP NPV
**
1,216,010

TOTAL CAP 4.125% DUE 01-28-2021
**
461,071

TOTAL CAP INTL 3.455% 02-19-202
**
542,110

TOTAL CAP INTL 3.461% DUE 07-12-2049
**
210,432

TOTAL CAP INTL 3.7% DUE 01-15-2024
**
329,643

TOTAL CAP INTL FIXED 2.218% 07-12-2021
**
4,199,759

TOTAL EUR2.5
**
474,676

TOTAL SYS SVCS INC 3.75% DUE 06-01-2023
**
2,880,092

TOTAL SYS SVCS INC 4.0% DUE 06-01-2023
**
1,409,918

TOTALRTN AUD MLILGB3LESF 18/03/2020 AQR11582065
**
19,975

TOTALRTN BRL MLILGB3L 18 MAR 2020 AQR11582149 EQ M7BR BZDIOVRA
**
40,178


200
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TOTALRTN EUR/1M MLILGB3LESF 18/03/2020 AQR11582113
**
159,357

TOTALRTN USD/1M CHASUS33 03-18-2020 AQR11582089
**
2,902

TOTALRTN USD/1M CHASUS33 03-18-2020 AQR11582109
**
10,648

TOWD POINT MT19-13 FRN M/BKD 07/2045 GBP'A1'
**
7,797,646

TOWD POINT MTG.F19 FRN M/BKD 10/2051 GBP'A1'
**
3,547,327

TOWNEBANK PORTSMOUTH VA COM
**
336,539

TOWNSQUARE MEDIA INC CL A CL A
**
25,653

TOYOTA AUTO 1.75999999046% DUE 07-15-2021
**
2,358,993

TOYOTA AUTO 1.98% DUE 12-15-2022
**
1,400,984

TOYOTA AUTO RECEIVABLES 2018-D CL A4 3.3% 02-15-2024
**
8,741,235

TOYOTA AUTO RECEIVABLES 2019-A OWNER TR 3.0% DUE 05-15-2024 REG
**
5,158,052

TOYOTA AUTO RECEIVABLES OWNER TR SER 17-D CL A4 2.46% 02-15-2023
**
2,936,796

TOYOTA AUTO RECEIVABLES OWNER TR SER 19-C CL A4 1.88% DUE 11-15-2024
**
1,994,694

TOYOTA AUTO RECEIVABLES OWNER TRUST SER 17-A CL A4 2.1% 09-15-2022
**
27,776,446

TOYOTA AUTO RECEIVABLES SER 19-B CL A4 2.6% 11-15-2024 REG
**
14,769,799

TOYOTA AUTO RECEIVABLES SER 2017-B CL A4 2.05% DUE 09-15-2022
**
2,902,508

TOYOTA MOTOR CREDIT CORP 3.05% 01-08-2021
**
3,441,130

TOYOTA MTR CR CORP 2.625 DUE 01-10-2023
**
963,591

TOYOTA MTR CR CORP 2.95% DUE 04-13-2021
**
253,770

TOYOTA MTR CR CORP 2.95% DUE 04-13-2021
**
2,720,419

TOYOTA MTR CR CORP FLTG RT 2.16388% DUE 10-07-2021
**
1,503,120

TOYOTA TSUSHO CORP NPV
**
217,274

TPI COMPOSITES INC COM
**
363,388

TRADEWEB MKTS INC CL A CL A
**
245,794

TRANSALTA RENEWABL COM NPV
**
1,041,249

TRANSCANADA 3.8% DUE 10-01-2020
**
141,826

TRANSCAT INC COM
**
41,418

TRANSDIGM GROUP INC COM
**
324,800

TRANSOCEAN LTD
**
416,653

TRANSUNION COM
**
3,938,060

TRAVELCENTERS AMER INC COM
**
24,627

TRAVELERS COS INC 3.9% DUE 11-01-2020
**
203,177

TRAVELERS COS INC COM STK
**
30,461,925

TRAVELZOO COM USD0.01
**
28,933

TRCNTNTL GAS PIPE 7.85% DUE 02-01-2026
**
2,275,016

TRECORA RES COM
**
27,799

TREDEGAR CORP INC
**
117,829

TREEHOUSE FOODS INC COM
**
310,740

TRI POINTE GROUP INC COM
**
1,481,674

TRIBUNE PUBG CO NEW COM
**
84,750

TRICIDA INC COM
**
453,220

TRICO BANCSHARES COM STK
**
104,514

TRICOLOR AUTO 5.05% DUE 12-15-2020
**
217,763

TRIDENT LTD INR1 (POST SUB/DIV)
**
39,845

TRIMAS CORP COM NEW COM NEW
**
201,746

TRIMBLE INC COM TRIMBLE INC
**
412,773

TRINET GROUP INC COM USD0.000025
**
3,703,143


201
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
TRINITY HLTH CORP 3.434% DUE 12-01-2048
**
227,278

TRINITY IND INC COM
**
493,103

TRINSEO S A COMMON STOCK
**
1,058,513

TRIPLE-S MGMT CORP CL B CL B
**
304,715

TRIPOD TECHNOLOGY TWD10
**
393,535

TRISTATE CAP HLDGS INC COM
**
130,861

TRITON INTL LTD COM USD0.01 CL A
**
2,366,494

TRIUMPH BANCORP INC COM
**
1,223,902

TRIUMPH GROUP INC NEW COM
**
23,223

TRONOX HOLDINGS PLC ORD USD0.01
**
111,505

TRUEBLUE INC COM STK
**
411,306

TRUECAR INC COM
**
514,150

TRUIST FINANCIAL CORPORATION 4.8% 12-31-2049
**
361,375

TRUIST FINL CORP COM
**
15,608,300

TRUPANION INC COM
**
1,267,159

TRUSTCO BK CORP N Y COM
**
144,815

TRUSTEES OF 2.612% DUE 07-01-2026
**
984,342

TRUSTEES OF 3.627% DUE 07-01-2046
**
2,192,527

TRUSTMARK CORP COM
**
390,377

TRUWORTHS INTERNAT ZAR0.00015
**
337,361

TSY INFL IX N/B 0.375% 07-15-2027
**
1,405,740

TSY INFL IX N/B 1% TIPS 02-15-2048
**
6,466,206

TSY INFL IX N/B 1% TIPS 02-15-2048
**
6,570,127

TSY INFL IX N/B US GVT NATIONAL 0.375%01-15-2027
**
1,081,504

TTM TECHNOLOGIES INC COM
**
255,820

TUESDAY MORNING CORP COM NEW ISIN US8990355054
**
10,184

TULARE CNTY CALIF PENSION OBLIG 4.009% 06-01-2028 BEO TAXABLE
**
1,099,480

TULARE CNTY CALIF PENSION OBLIG 4.109% 06-01-2029 BEO TAXABLE
**
2,505,560

TURKIYE IS BANKASI TRY1 (C SHARES)
**
31,718

TURNING PT THERAPEUTICS INC COM
**
801,921

TUTOR PERINI CORP COM
**
103,999

TW COOPERATIVE FIN TWD10
**
182,101

TWILIO INC CL A CL A
**
3,152,626

TWIN DISC INC COM
**
22,569

TWIN RIVER WORLDWIDE HOLDINGS INC
**
35,269

TX CAP BANCSHARES INC COM
**
1,451,836

TYLER TECHNOLOGIES INC COM STK
**
3,210,214

TYSON FOODS INC 2.25% DUE 08-23-2021
**
45,156

TYSON FOODS INC 2.25% DUE 08-23-2021
**
1,871,445

TYSON FOODS INC 3.9% DUE 09-28-2023
**
1,521,751

TYSON FOODS INC 4.875% DUE 08-15-2034
**
114,602

U M H PPTYS INC COM STK
**
19,348

U S BANCORP MEDIUM FIXED 3.375% DUE 02-05-2024
**
11,131,305

U S BANCORP MEDIUM FIXED 3.6% DUE 09-11-2024
**
425,286

U S BANCORP TRANCHE # TR 00175 3.7 01-30-2024
**
124,217

U S BK NATL ASSN CINCINNATI OHIO MEDIUM FLTG 05-21-2021 REG
**
1,707,152

U S BK NATL ASSN CINCINNATI OHIO MEDIUM 2.05% DUE 10-23-2020
**
500,644


202
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
U S CONCRETE INC COMMON STOCK
**
100,026

U S SILICA HLDGS INC
**
73,099

U S XPRESS ENTERPRISES INC CL A CL A
**
23,138

U.S AWYS 2011-1 7.125% DUE 04-22-2025
**
110,651

U.S. CELLULAR CORP COM
**
215,279

UBER TECHNOLOGIES INC COM USD0.00001
**
4,584,808

UBS AG 5.125% 15/05/2024
**
864,000

UBS AG LONDON BRH 2.2% DUE 06-08-2020
**
900,477

UBS AG LONDON BRH 2.2% DUE 06-08-2020
**
3,181,685

UBS AG LONDON BRH NT FLTG 144A DUE 12-01-2020/11-01-2020 BEO
**
401,020

UBS AG STAMFORD 2.35% DUE 03-26-2020
**
941,034

UBS AG STAMFORD 7.625% DUE 08-17-2022
**
2,705,544

UBS COML MTG TR 2017-C7 MTG PASS THRU CTF CL A-1 2.379% 12-15-2050
**
3,247,717

UBS COML MTG TR SER 2018-C10 CL A-2 3.5592% 05-15-2051 REG
**
6,797,312

UBS GROUP AG CHF0.10 (REGD)
**
7,198,290

UBS GROUP FDG 4.125% DUE 04-15-2026
**
14,356,092

UBS GROUP FDG FLTG RT 2.859% DUE 08-15-2023
**
1,366,568

UCB NPV
**
971,179

UDR INC CORP 3.2% 01-15-2030
**
1,943,460

UDR INC CORP BD 3.75 DUE 07-01-2024 BEO
**
183,860

UDR INC CORP BD 3.75 DUE 07-01-2024 BEO
**
1,585,000

UFP TECHNOLOGIES INC COM
**
58,341

UIL HLDGS CORP 4.625% DUE 10-01-2020
**
10,185

UIL HLDGS CORP 4.625% DUE 10-01-2020
**
392,127

UK(GOVERNMENT OF) 1.25% I/L 22/11/2027
**
1,570,275

UK(GOVT OF) IDX/LKD SNR 22/03/2024 GBP
**
2,811,720

ULTRA CLEAN HLDGS INC COM
**
179,123

ULTRALIFE CORPORATION
**
18,453

UMB FINL CORP COM STK
**
65,208

UMPQUA HLDGS CORP COM
**
2,915,013

UN BK CAL N A FIXED 2.1% DUE 12-09-2022
**
8,022,469

UNDER ARMOR INC CL A
**
532,202

UNDER ARMOUR INC CL C COM
**
935,907

UNIBAIL-RODAMCO-WESTFIELD
**
258,449

UNICREDIT SPA 7.83% DUE 12-04-2023
**
3,728,768

UNIFI INC COM
**
155,778

UNIFIRST CORP MASS COM
**
4,105,849

UNILEVER CAP CORP 3% 03-07-2022
**
2,914,040

UNILEVER CAP CORP FIXED 3.375% DUE 03-22-2025
**
317,935

UNILEVER NV EUR0.16
**
202,305

UNILEVER PLC ORD GBP0.031111
**
1,595,173

UNIMICRON TECHNOLO TWD10
**
407,713

UNION ELEC CO 4.0% DUE 04-01-2048
**
388,457

UNION PAC CORP 3.75% 07-15-2025
**
10,723

UNION PAC CORP 3.95% DUE 09-10-2028
**
530,405

UNION PAC CORP 4.163% DUE 07-15-2022
**
714,695

UNION PAC CORP COM
**
13,553,465


203
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNIPER SE NPV
**
132,022

UNIPOL GRUPPO SPA NPV
**
710,180

UNI-PRESIDENT CHIN HKD0.01
**
384,235

UNI-PRESIDENT ENT TWD10
**
409,143

UNISYS CORP COM NEW
**
584,093

UNIT CORP COM
**
4,657

UNITECH PRINTED CI TWD10
**
144,806

UNITED AIR 2019-1 AA PTT 4.15% 08-25-2031
**
205,846

UNITED AIRLINES 2019-1A 2.7% 11-01-2033
**
577,238

UNITED AIRLS INC 2018-1B PASS THRU TR 4.6% 09-01-2027
**
215,698

UNITED BANKSHARES INC W VA COM
**
584,307

UNITED CMNTY BK BLAIRSVILLE GA COM
**
301,296

UNITED CMNTY FINL CORP OHIO COM
**
104,753

UNITED FIRE GROUP INC COM USD0.001
**
138,493

UNITED INSURANCE HOLDINGS CORP COM
**
147,436

UNITED MEXICAN STS 3.75% 01-11-2028
**
645,219

UNITED MEXICAN STS MEDIUM TERM BOOK 4.125% 01-21-2026
**
267,000

UNITED NAT FOODS INC COM
**
53,383

UNITED RENTALS INC COM
**
412,255

UNITED SPIRITS LTD
**
205,993

UNITED STATES 0% TBILL 03-05-2020
**
1,196,845

UNITED STATES OF AMER BDS INDX LNKD 0.875% 02-15-2047
**
194,197

UNITED STATES OF AMER INFL INDXD TREAS NOTES 0.25% TB 01-15-25 USD1000 A-2025
**
219,230

UNITED STATES OF AMER TREAS BD 2.375% 5-15-2027
**
3,111,914

UNITED STATES OF AMER TREAS BONDS 0.75 DEB TIPS 02-15-2042
**
425,814

UNITED STATES OF AMER TREAS BONDS 0.75 DEB TIPS 02-15-2042
**
5,003,314

UNITED STATES OF AMER TREAS BONDS 2.75 BDS DUE 08-15-2042 USD100'BONDS 08/42'
**
321,059

UNITED STATES OF AMER TREAS BONDS DTD 05/15/2015 2.125% DUE 05-15-2025 REG
**
54,251,322

UNITED STATES OF AMER TREAS NOTES 1.75% 05-31-2022
**
13,407,168

UNITED STATES OF AMER TREAS NOTES 1.25 07-15-2020
**
1,179,363

UNITED STATES OF AMER TREAS NOTES 1.875%01-31-2022 REG
**
5,029,297

UNITED STATES OF AMER TREAS NOTES INFL IDX T-BOND .875% 01-15-2029
**
10,281,309

UNITED STATES OF AMER TREAS NOTES NTS 0.125% INFL INDEX 07-15-2026
**
753,883

UNITED STATES T-BOND 2.875% 05-15-2049
**
46,197,164

UNITED STATES TREAS 2.25% DUE 02-15-2027 REG
**
39,067

UNITED STATES TREAS 1.625% DUE 11-15-2022
**
25,774,115

UNITED STATES TREAS BDS 2.25% DUE 08-15-2027
**
69,736,008

UNITED STATES TREAS BDS 2.25% DUE 08-15-2046
**
2,435,742

UNITED STATES TREAS BDS 2.875% DUE 11-15-2046
**
439,844

UNITED STATES TREAS BDS 0 DEB 15/02/2040USD1000 4.625 DUE 02-15-2040REG
**
6,923,828

UNITED STATES TREAS BDS 00245 2.875% DUE 08-15-2045 REG
**
1,314,844

UNITED STATES TREAS BDS 1.375 02-15-2044 REG
**
3,059,923

UNITED STATES TREAS BDS 1.375 02-15-2044 REG
**
5,026,087

UNITED STATES TREAS BDS 2.25% 08-15-2049
**
486,406

UNITED STATES TREAS BDS 2.875 DUE 05-15-2043
**
5,458,789

UNITED STATES TREAS BDS 3% DUE 02-15-2047 REG
**
157,686

UNITED STATES TREAS BDS 3% DUE 11-15-2044 REG
**
1,368,555


204
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNITED STATES TREAS BDS 3.0% DUE 08-15-2048
**
17,038,143

UNITED STATES TREAS BDS 3.0% DUE 02-15-2048
**
8,903,547

UNITED STATES TREAS BDS 3.0% DUE 02-15-2048
**
26,485,234

UNITED STATES TREAS BDS 3.375 05-15-2044REG
**
2,134,688

UNITED STATES TREAS BDS 3.625 DUE 02-15-2044 TBOND
**
2,462,891

UNITED STATES TREAS BDS 3.625 DUE 08-15-2043
**
35,261,223

UNITED STATES TREAS BDS 3.75 DUE 11-15-2043 REG
**
9,398,145

UNITED STATES TREAS BDS 3.75 DUE 11-15-2043 REG
**
29,685,606

UNITED STATES TREAS BDS BD 3.125% DUE 02-15-2043 REG
**
3,022,945

UNITED STATES TREAS BDS BD 5.25% DUE 11-15-2028 REG
**
12,121,590

UNITED STATES TREAS BDS BDS 3% DUE 05-15-2042 REG
**
222,945

UNITED STATES TREAS BDS DTD 3.125% 05-15-2048
**
1,731,563

UNITED STATES TREAS BDS DTD 3.125% 05-15-2048
**
992,763

UNITED STATES TREAS BDS DTD 00209 3.5% DUE 02-15-2039 REG
**
2,400,703

UNITED STATES TREAS BDS DTD 00210 4.25% DUE 05-15-2039 REG
**
4,481,359

UNITED STATES TREAS BDS DTD 00219 4.25% DUE 11-15-2040 REG
**
304,903

UNITED STATES TREAS BDS DTD 02/15/2001 5.375 15 FEB 2031
**
17,997

UNITED STATES TREAS BDS DTD 11/15/2012 2.75% DUE 11-15-2042 REG
**
3,529,195

UNITED STATES TREAS BDS DTD 2.75% 08-15-2047
**
34,403,750

UNITED STATES TREAS BDS DTD 2.75% 08-15-2047
**
92,836,369

UNITED STATES TREAS BDS INDEX LINKED 1.75 DUE 01-15-2028 REG
**
9,397,329

UNITED STATES TREAS BDS INFLATION INDEX LINKED 3.875% 04-15-2029
**
417,734

UNITED STATES TREAS BDS TBOND FIXED 3% 02-15-2049
**
58,138,219

UNITED STATES TREAS BDS TREASURY BOND 2.375% DUE 11-15-2049 REG
**
2,598,680

UNITED STATES TREAS BDS TSY INFL IX N/B 02-15-2046
**
3,224,678

UNITED STATES TREAS BDS TSY INFL IX N/B 02-15-2046
**
6,473,243

UNITED STATES TREAS BILLS 0% T-BILL 01-16-2020
**
4,247,690

UNITED STATES TREAS BILLS 0% T-BILL 02-13-2020
**
2,994,794

UNITED STATES TREAS BILLS 0% T-BILL 02-13-2020
**
21,961,821

UNITED STATES TREAS BILLS 0% T-BILL 07-16-2020
**
12,395,450

UNITED STATES TREAS BILLS 0% T-BILL 08-13-2020
**
19,809,911

UNITED STATES TREAS BILLS 0% T-BILL 09-10-2020
**
12,762,744

UNITED STATES TREAS BONDS 1.0% 02-15-2049
**
22,817,856

UNITED STATES TREAS INFL NTS 0.375% DTD 07/15/2015 07-15-2025
**
5,370,282

UNITED STATES TREAS INFL IDX 0.25% 07-15-2029
**
1,177,327

UNITED STATES TREAS INFL IDX 0.25% 07-15-2029
**
15,338,770

UNITED STATES TREAS INFL INDEX NTS 0.500005% 01-15-2028
**
7,919,770

UNITED STATES TREAS INFL INDEXED NTS .125% 07-15-2022
**
1,236,107

UNITED STATES TREAS INFL INDEXED NTS 0.75% 07-15-2028
**
10,289,182

UNITED STATES TREAS N/B T/NOTE 2.625% 12-15-2021 REG
**
15,348,648

UNITED STATES TREAS NOTES 2.50% 12-31-2020 REG
**
2,520,898

UNITED STATES TREAS NTS 1.375% 10-15-2022
**
63,053,413

UNITED STATES TREAS NTS 1.625% DUE 06-30-2024 REG
**
2,708,543

UNITED STATES TREAS NTS 1.625% DUE 06-30-2024 REG
**
12,539,551

UNITED STATES TREAS NTS 1.875% DUE 02-28-2022 REG
**
6,338,637

UNITED STATES TREAS NTS 2.0% DUE 08-31-2021
**
21,641,934

UNITED STATES TREAS NTS 2.125 DUE 01-31-2021 REG
**
263,230,883


205
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNITED STATES TREAS NTS 2.25% DUE 04-15-2022
**
4,667,563

UNITED STATES TREAS NTS 2.375% DUE 01-31-2023
**
55,225,547

UNITED STATES TREAS NTS 2.625 DUE 11-15-2020 REG
**
2,016,797

UNITED STATES TREAS NTS 2.625 DUE 11-15-2020 REG
**
21,418,383

UNITED STATES TREAS NTS 2.625% DUE 02-15-2029 REG
**
4,454,297

UNITED STATES TREAS NTS 2.75% 04-30-2025
**
4,802,317

UNITED STATES TREAS NTS 2.75% DUE 08-15-2021 REG
**
24,437,813

UNITED STATES TREAS NTS 2.875% DUE 05-15-2028
**
964,624

UNITED STATES TREAS NTS 2.875% DUE 10-15-2021
**
34,644,765

UNITED STATES TREAS NTS 2.875% DUE 10-31-2023 BEO
**
28,847,391

UNITED STATES TREAS NTS DTD 01/15/2019 2.5% DUE 01-15-2022 REG
**
9,071,146

UNITED STATES TREAS NTS DTD 02/15/2011 3.125% DUE 05-15-2021 REG
**
3,061,289

UNITED STATES TREAS NTS DTD 02/28/2014 2% DUE 02-28-2021 REG
**
10,041,016

UNITED STATES TREAS NTS DTD 03/31/2016 1.25% DUE 03-31-2021 REG
**
38,921,301

UNITED STATES TREAS NTS DTD 03/31/2017 1.875% DUE 03-31-2022 REG
**
4,065,723

UNITED STATES TREAS NTS DTD 04/30/2015 1.375% DUE 04-30-2020 REG
**
100,905

UNITED STATES TREAS NTS DTD 04/30/2015 1.75% DUE 04-30-2022 REG
**
1,806,750

UNITED STATES TREAS NTS DTD 04/30/2016 1.375% DUE 04-30-2021 REG
**
57,065,597

UNITED STATES TREAS NTS DTD 04/30/2016 1.625% DUE 04-30-2023 REG
**
4,334,661

UNITED STATES TREAS NTS DTD 05/15/2018 2.625% DUE 05-15-2021 REG
**
5,127,446

UNITED STATES TREAS NTS DTD 05/15/2018 2.625% DUE 05-15-2021 REG
**
3,041,250

UNITED STATES TREAS NTS DTD 05/31/2016 1.375% DUE 05-31-2021 REG
**
2,292,992

UNITED STATES TREAS NTS DTD 05/31/2016 1.375% DUE 05-31-2021 REG
**
30,890,592

UNITED STATES TREAS NTS DTD 05/31/2017 2.0% 05-31-2024
**
70,970,703

UNITED STATES TREAS NTS DTD 06/30/2019 1.625% 06-30-2021
**
5,166,616

UNITED STATES TREAS NTS DTD 06/30/2019 1.625% 06-30-2021
**
3,301,289

UNITED STATES TREAS NTS DTD 06-15-2018 2.625% DUE 06-15-2021 REG
**
304,359

UNITED STATES TREAS NTS DTD 07/31/2016 1.125% DUE 07-31-2021 REG
**
6,153,742

UNITED STATES TREAS NTS DTD 07/31/2016 1.25% DUE 07-31-2023 REG
**
177,588

UNITED STATES TREAS NTS DTD 07/31/2019 1.75% DUE 07-31-2021 REG
**
69,467,836

UNITED STATES TREAS NTS DTD 08/15/2019 1.5% DUE 08-15-2022 REG
**
66,753,656

UNITED STATES TREAS NTS DTD 08/15/2019 1.625% DUE 08-15-2029 REG
**
34,124

UNITED STATES TREAS NTS DTD 09/15/2019 1.5% DUE 09-15-2022 REG
**
48,039,029

UNITED STATES TREAS NTS DTD 09/30/2018 3.0% 09-30-2025
**
14,960,185

UNITED STATES TREAS NTS DTD 11/15/2014 2.25% DUE 11-15-2024 REG
**
51,311

UNITED STATES TREAS NTS DTD 11/15/2014 2.25% DUE 11-15-2024 REG
**
81,163,023

UNITED STATES TREAS NTS DTD 11/15/2015 2.25% DUE 11-15-2025 REG
**
8,890,646

UNITED STATES TREAS NTS DTD 11/15/2019 1.75% 11-15-2029
**
6,643,639

UNITED STATES TREAS NTS DTD 11/30/2014 1.875% DUE 11-30-2021 REG
**
1,508,730

UNITED STATES TREAS NTS DTD 11/30/2019 1.5% DUE 11-30-2024 REG
**
2,221,887

UNITED STATES TREAS NTS DTD 12/31/2015 1.75% DUE 12-31-2020 REG
**
12,011,250

UNITED STATES TREAS NTS DTD 12/31/2015 2.125% DUE 12-31-2022 REG
**
6,700,547

UNITED STATES TREAS NTS DTD 604 2.375% DUE 08-15-2024 REG
**
809,041

UNITED STATES TREAS NTS DTD 823 2.375% DUE 04-15-2021 REG
**
6,865,609

UNITED STATES TREAS NTS DTD 832 2.875% DUE 05-31-2025 REG
**
921,554

UNITED STATES TREAS NTS INFL IDX DTD 0.625% 01-15-2026
**
12,211,534

UNITED STATES TREAS NTS T-BOND 1.75% 05-15-2023
**
3,513,535


206
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNITED STATES TREAS NTS T-BOND 1.75% 05-15-2023
**
903,480

UNITED STATES TREAS NTS TREAS NTS 2% DUE11-30-2020 REG
**
5,016,211

UNITED STATES TREAS NTS TREAS NTS 2% DUE11-30-2020 REG
**
81,122,163

UNITED STATES TREAS NTS US TREASURY N/B 1.75 11-30-2021 1.75 DUE 11-30-2021 REG
**
2,106,480

UNITED STATES TREAS NTS US TREASURY N/B 1.75% DUE 04-30-2022 REG
**
6,441,500

UNITED STATES TREAS NTS US TREASURY N/B 1.75% DUE 04-30-2022 REG
**
13,239,296

UNITED STATES TREAS SEC STRIPPED INT PMT00019 02-15-2039 (UNDDATE) REG
**
2,862,123

UNITED STATES TREAS SEC STRIPPED INT PMT00091 11-15-2038 (UNDDATE) REG
**
2,824,806

UNITED STATES TREAS SEC STRIPPED INT PMT00521 05-15-2029 (UNDDATE) REG
**
595,094

UNITED STATES TREAS SEC STRIPPED INT PMT00523 05-15-2030 (UNDDATE) REG
**
2,324,244

UNITED STATES TREAS SEC STRIPPED INT PMT00755 05-15-2037 (UNDDATE) REG
**
5,504,593

UNITED STATES TREAS SEC STRIPPED INT PMT00765 02-15-2038 (UNDDATE) REG
**
1,892,486

UNITED STATES TREAS SEC STRIPPED INT PMT00835 08-15-2032 (UNDDATE) BEO
**
4,095,116

UNITED STATES TREAS SEC STRIPPED INT PMT00839 08-15-2034 (UNDDATE) REG
**
1,796,039

UNITED STATES TREAS SEC STRIPPED INT PMT00873 08-15-2036
**
794,410

UNITED STATES TREAS SEC STRIPPED INT PMT00881 11-15-2030 (UNDDATE) REG
**
2,893,909

UNITED STATES TREAS SEC STRIPPED INT PMT00882 05-15-2031
**
1,220,638

UNITED STATES TREAS SEC STRIPPED INT PMT00886 05-15-2033 (UNDDATE) REG
**
4,854,613

UNITED STATES TREAS SEC STRIPPED INT PMT00888 05-15-2034 (UNDDATE) REG
**
1,214,200

UNITED STATES TREAS SEC STRIPPED INT PMT00889 11-15-2034 (UNDDATE) REG
**
1,377,885

UNITED STATES TREAS SEC STRIPPED INT PMT261 08-15-2025 (UNDDATE) REG (STRIP)
**
2,360,361

UNITED STATES TREAS SEC STRIPPED INT PMT316 05-15-2027 (UNDDATE) REG
**
666,854

UNITED STATES TREAS SEC STRIPPED INT PMTINT PMT 08-15-2041 (UNDDATE) REG
**
685,512

UNITED STATES TREAS SEC STRIPPED INT PMTSTRIP 02-15-2033 (UNDDATE) REG
**
1,526,509

UNITED STATES TREAS TNOTE 2.0% 06-30-2024
**
28,008,081

UNITED STATES TREASURY 1.25% DUE 10-31-2021 REG
**
7,305,785

UNITED STATES TREASURY 2.25% 11-15-2027
**
3,085,313

UNITED STATES TREASURY 2.25% 11-15-2027
**
39,502,284

UNITED STS LIME & MINERALS INC COM
**
80,367

UNITED STS STL CORP NEW COM
**
306,085

UNITED TECHNOLOGIES CORP 2.8% 05-04-2024
**
156,247

UNITED TECHNOLOGIES CORP 3.35% 08-16-2021
**
102,400

UNITED TECHNOLOGIES CORP 3.35% 08-16-2021
**
6,062,069

UNITED TECHNOLOGIES CORP 3.95% 08-16-2025
**
65,435

UNITED TECHNOLOGIES CORP 3.95% 08-16-2025
**
523,477

UNITED TECHNOLOGIES CORP 4.125% 11-16-2028
**
225,019

UNITED TECHNOLOGIES CORP COM
**
14,869,970

UNITED URBAN INVES REIT
**
150,088

UNITEDHEALTH GROUP 2.125% DUE 03-15-2021
**
401,384

UNITEDHEALTH GROUP 2.375% DUE 08-15-2024
**
1,246,321

UNITEDHEALTH GROUP 2.7% DUE 07-15-2020
**
823,411

UNITEDHEALTH GROUP 2.875% DUE 12-15-2021
**
8,507,377

UNITEDHEALTH GROUP 3.75% DUE 07-15-2025
**
216,052

UNITEDHEALTH GROUP 3.875% DUE 08-15-2059
**
172,807

UNITEDHEALTH GROUP 4.7% DUE 02-15-2021
**
528,168

UNITEDHEALTH GROUP FIXED 3.15% 06-15-2021
**
341,194

UNITEDHEALTH GROUP FIXED 3.875% DUE 12-15-2028
**
354,329


207
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UNITEDHEALTH GROUP INC 3.375 DUE 11-15-2021
**
1,024,396

UNITEDHEALTH GROUP INC COM
**
42,400,735

UNITY BANCORP NJ
**
19,297

UNITY BIOTECHNOLOGY INC COM
**
137,711

UNIV PA TRUSTEES 3.61% DUE 02-15-2119
**
3,075,507

UNIVAR SOLUTIONS INC
**
196,805

UNIVERSAL CORP VA COM
**
195,545

UNIVERSAL ELECTRS INC COM
**
116,226

UNIVERSAL FST PRODS INC COM
**
407,740

UNIVERSAL INS HLDGS INC COM
**
558,512

UNIVERSAL LOGISTICS HOLDINGS,INC COM STK
**
19,756

UNIVERSAL STAINLESS & ALLOY PRODS INC COM
**
15,898

UNIVERSITY CALIF REVS 4.858% 05-15-2112 BEO TAXABLE
**
739,692

UNIVERSITY CALIF REVS 4.858% 05-15-2112 BEO TAXABLE
**
9,938,995

UNIVERSITY VA UNIV REVS 3.227% 09-01-2119 BEO TAXABLE
**
5,655,859

UNIVEST FINANCIAL CORP
**
141,720

UNUM GROUP
**
941,256

UNUM GROUP 4% DUE 03-15-2024
**
3,619,201

UNVL DISPLAY CORP COM
**
1,242,396

UNVL TECH INST INC COM
**
18,967

UPL LIMITED INR2
**
355,770

URBAN EDGE PPTYS COM
**
198,801

URBAN OUTFITTERS INC COM
**
399,721

URSTADT BIDDLE PPTYS INC CL A CL A
**
71,713

US AIRWAYS GROUP FIXED 6.75% DUE 12-03-2022
**
3,282,432

US AIRWAYS GROUP INC 5.9 DUE 10-01-2024
**
1,039,583

US AWYS 2013-1 5.375% DUE 05-15-2023
**
416,213

US BANCORP
**
22,653,879

US BANK NA CINCINNATI BND 3.4% 07-24-2023
**
1,943,390

US BANK NATIONAL ASSOCIATION 3.104% 05-21-2021
**
502,343

US FOODS HLDG CORP COM
**
4,115,190

US TREAS BDS 0 TREAS NT 15/11/2039 USD1000 4.375 DUE 11-15-2039 REG
**
2,667,455

US TREAS BDS INDEX LINKED 2.00 DUE 01-15-2026 REG
**
1,152,967

US TREAS BDS INDEX LINKED 2.5 DUE 01-15-2029 REG
**
3,871,299

US TREAS INFL INDEXED BONDS 3.375 DUE 04-15-2032 AR12 DUE 04-15-32 REG
**
119,426

US TREAS NTS DTD 00363 2.125 DUE 08-15-2021 REG
**
22,415,829

US TREAS NTS DTD 02-15-2019 2.5% DUE 02-15-2022
**
56,981,607

US TREAS NTS DTD 02-28-2019 2.5% DUE 02-28-2021 REG
**
5,048,828

US TREAS NTS DTD 03-15-2019 2.375% DUE 03-15-2022 REG
**
12,919,770

US TREAS NTS DTD 05-15-2019 2.125% DUE 05-15-2022 REG
**
45,454,234

US TREAS NTS INFL IDX DTD 04-15-2017 0.125% DUE 04-15-2022
**
845,286

US TREAS NTS TIPS DTD 07-15-2011 07-15-2021
**
150,097

US TREAS SEC 0 DUE 11-15-2041
**
4,089,741

US TREAS SEC 4.5 DUE 08-15-2039 REG
**
2,935,997

US TREAS SEC 4.5 DUE 08-15-2039 REG
**
32,758,113

US TREAS SEC STRIPPED INT PMT 0 15/2/2021 USD1000 02-15-2021 REG
**
250,431

US TREAS SEC STRIPPED INT PMT 0 15/2/2022 USD1000 02-15-2022 REG
**
3,775,930


208
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
US TREAS SEC STRIPPED INT PMT 0 STRIP 15/11/2028 USD1000 11-15-2028 REG
**
3,348,030

US TREAS SEC STRIPPED INT PMT 015/8/2021 USD1000 08-15-2021
**
891,782

US TREAS SEC STRIPPED INT PMT STRIPPED IN PMT 15/5/2021 USD1000 05-15-2021 REG
**
1,981,396

US TREASURY DTD 02/15/2010 02-15-2040
**
46,684

US TREASURY N/B DTD 2.875% DUE 09-30-2023 REG
**
74,884,488

USA TREASURY NTS USA TREAS NTS 2.75% DUE07-31-2023 REG 2.75% DUE 07-31-2023 REG
**
425,759

USA TRUCK INC COM
**
12,099

USANA HEALTH SCIENCES INC CDT-SHS
**
383,874

UTAH ST 3.539% 07-01-2025 BEO TAXABLE
**
7,245,828

UTAH ST BRD REGENTS REV FLTG RT 01-25-2057
**
1,457,264

UTAH ST BRD REGENTS REV FLTG RT 1.28067%09-25-2056 BEO TAXABLE
**
14,184,324

UTD AIRLS 2014-2 PASS THRU 4.625 09-03-2022
**
2,879,731

UTD AIRLS INC 3.5% DUE 03-01-2030
**
202,284

UTD AIRLS INC 3.7% DUE 09-01-2031
**
190,661

UTD AIRLS PASS 3.1% DUE 01-07-2030
**
458,274

UTD AIRLS PASS 3.1% DUE 01-07-2030
**
3,973,237

UTD AIRLS PASS THRU TR 2013-1B-O 5.375 DUE 02-15-2023
**
455,426

UTD CONTL HLDGS FIXED 4.15% DUE 04-11-2024
**
2,593,944

UTD INTEGRATION SE TWD10
**
320,379

UTD MICRO ELECT TWD10
**
991,050

UTD PARCEL SVC INC 2.05% DUE 04-01-2021
**
5,715,265

UTD STATES TREAS 1.125% DUE 02-28-2021
**
41,127,597

UTD STATES TREAS 1.125% DUE 08-31-2021
**
5,159,984

UTD STATES TREAS 1.125% DUE 08-31-2021
**
46,097,514

UTD STATES TREAS 1.5% DUE 01-31-2022
**
5,741,465

UTD STATES TREAS 1.5% DUE 09-30-2021
**
24,962

UTD STATES TREAS 1.5% DUE 10-31-2021
**
2,067,170

UTD STATES TREAS 1.5% DUE 10-31-2024
**
12,321,620

UTD STATES TREAS 1.625% DUE 12-15-2022
**
204,755,761

UTD STATES TREAS 1.625% DUE 12-31-2021
**
111,778,449

UTD STATES TREAS 1.75% DUE 01-31-2023
**
24,887,625

UTD STATES TREAS 1.75% DUE 02-28-2022
**
3,613,500

UTD STATES TREAS 1.75% DUE 12-31-2024
**
42,948,864

UTD STATES TREAS 1.75% DUE 12-31-2026
**
3,737,252

UTD STATES TREAS 2% 10-31-2022
**
16,074,527

UTD STATES TREAS 2% DUE 01-15-2021
**
5,921,895

UTD STATES TREAS 2% DUE 09-30-2020
**
18,116,587

UTD STATES TREAS 2% DUE 10-31-2021
**
8,170,508

UTD STATES TREAS 2.125% DUE 06-30-2022
**
967,609

UTD STATES TREAS 2.125% DUE 09-30-2021
**
137,882,466

UTD STATES TREAS 2.25% DUE 04-30-2021
**
17,647,656

UTD STATES TREAS 2.375% DUE 12-31-2020
**
70,495

UTD STATES TREAS ZERO CPN 0% DUE 02-15-2044
**
162,089

UTD STATES TREAS ZERO CPN 0% DUE 05-15-2039
**
6,696,221

UTD STATES TREAS ZERO CPN 0% DUE 05-15-2044
**
583,445

UTD STATES TREAS ZERO CPN 0% DUE 08-15-2030
**
3,410,286

UTD STATES TREAS ZERO CPN 0% DUE 11-15-2043
**
2,214,031


209
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
UTD STATES TREAS ZERO CPN 0% DUE 11-15-2043
**
2,773,074

UTD TECHNOLOGIES 1.95% DUE 11-01-2021
**
260,567

UTD TECHNOLOGIES 2.3% DUE 05-04-2022
**
3,105,811

UTD TECHNOLOGIES FIXED 3.65% 08-16-2023
**
13,433,145

UTD TRACTORS IDR250
**
433,238

V F CORP 3.5% DUE 09-01-2021
**
255,283

VA ELEC & PWR CO 4.45 02-15-2044
**
135,935

VA ELEC & PWR CO 3.15% DUE 01-15-2026
**
4,181,938

VA ELEC & PWR CO 3.8% DUE 04-01-2028
**
179,551

VAALCO ENERGY INC COM NEW COM NEW
**
10,736

VAIL RESORTS INC COM
**
1,586,715

VAL NATL BANCORP COM
**
726,045

VALARIS PLC
**
125,020

VALE INDONESIA TBK IDR25
**
33,901

VALE OVERSEAS LTD 6.25% DUE 08-10-2026
**
1,936,770

VALE OVERSEAS LTD 6.875% DUE 11-21-2036
**
4,173,000

VALMET OYJ NPV
**
910,474

VALMONT INDS INC COM
**
83,278

VALVOLINE INC COM
**
2,008,237

VANDA PHARMACEUTICALS INC COM
**
62,194

VAR SWP USD MSCSUS33 05-12-2020 SWU02Y894
**
3,224

VAR SWP USD SOGEFRPPHCM 06-08-2020 SWU0SS030
**
1,802

VAREX IMAGING CORP COM
**
767,369

VARONIS SYS INC COM
**
990,958

VASTNED RETAIL EUR5
**
210,754

VECTRUS INC COM
**
102,417

VEECO INSTRS INC DEL COM
**
361,941

VEEVA SYS INC CL A COM CL A COM
**
285,399

VENATOR MATERIALS COM USD0.001
**
64,880

VENTAS RLTY LTD PARTNERSHIP 3.0% 01-15-2030 REG
**
1,586,348

VENTAS RLTY LTD PARTNERSHIP 3.75 DUE 05-01-2024
**
309,887

VENTURE 32 CLO LTD SR 18-32A CL A-2A FLTG RATE 144A 07-18-2031
**
496,901

VENTURE CORP LTD NPV
**
278,303

VERA BRADLEY INC COM STK
**
60,605

VERINT SYS INC COM
**
35,707

VERISK ANALYTICS INC COM STK
**
144,113

VERITEX HLDGS INC COM
**
117,103

VERITIV CORP COM
**
243,475

VERIZON 2.625% DUE 08-15-2026
**
101,560

VERIZON 2.946% DUE 03-15-2022
**
2,741,348

VERIZON 3.875% DUE 02-08-2029
**
4,070,490

VERIZON 4.5% DUE 08-10-2033
**
291,828

VERIZON 4.5% DUE 08-10-2033
**
8,404,633

VERIZON 4.6% DUE 04-01-2021
**
11,173,955

VERIZON 4.862% DUE 08-21-2046
**
124,140

VERIZON COMMUNICATIONS 4.125% DUE 03-16-2027
**
222,048

VERIZON COMMUNICATIONS 4.4% DUE 11-01-2034 REG
**
133,315


210
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
VERIZON COMMUNICATIONS BNDS 5.25% DUE 03-16-2037 REG
**
251,186

VERIZON COMMUNICATIONS COM
**
4,707,538

VERIZON COMMUNICATIONS INC 4.329% 09-21-2028
**
703,681

VERIZON FIXED 3.376% DUE 02-15-2025
**
2,112,262

VERIZON FIXED 3.376% DUE 02-15-2025
**
4,461,808

VERIZON FIXED 4.016% DUE 12-03-2029
**
963,140

VERIZON FIXED 4.016% DUE 12-03-2029
**
10,680,375

VERIZON OWNER TR 2.33% DUE 12-20-2023
**
3,424,398

VERIZON OWNER TR 2018-A SR 18-A CL A1A 3.23% 04-20-2023
**
2,486,409

VERIZON OWNER TRUST FIXED 2.93% 09-20-2023 BEO
**
1,107,824

VERRA MOBILITY CORP
**
805,810

VERSO CORP CL A CL A
**
285,956

VERTEX PHARMACEUTICALS INC COM
**
6,335,975

VERTU MOTORS PLC ORD GBP0.10
**
170,747

VESTAS WIND SYSTEM DKK1
**
535,088

VESTEL BEYAZ ESYA TRY1
**
81,264

VETROPACK HLDG SA CHF50(BR)
**
756,410

VIACOM INC NEW 3.125 DUE 06-15-2022
**
403,371

VIACOM INC NEW 3.875% DUE 04-01-2024
**
243,568

VIACOM INC NEW 4.25% DUE 09-01-2023
**
3,834,268

VIACOM INC SR NT 6.875% DUE 04-30-2036/10-18-2006
**
153,990

VIACOMCBS INC NPV
**
6,005,907

VIAD CORP COM NEW
**
190,418

VIAVI SOLUTIONS INC COM NPV
**
3,351,075

VICI PPTYS INC COM
**
2,362,149

VICINITY CENTRES NPV
**
130,649

VICOR CORP COM
**
778,495

VICTORY CAP HLDGS INC DEL CL A CL A
**
1,413,902

VICTORY NEW MATLS TWD10
**
55,097

VIEWRAY INC COM
**
537,041

VILLAGE SUPER MKT INC CL A NEW CL A NEW
**
42,085

VINCI EUR2.50
**
830,234

VINDA INTERNATIONA HKD0.1
**
116,471

VINY THAI THB6(NVDR)
**
13,656

VIRGIN MEDIA SEC F 5% GTD SNR SEC 15/04/27 GBP
**
281,315

VIRGIN MONEY PLC MTN 2.25% 21/04/2020
**
265,841

VIRTUS INVT PARTNERS INC COM
**
151,298

VISA INC 3.15% DUE 12-14-2025
**
1,459,025

VISA INC 4.3% DUE 12-14-2045
**
454,843

VISA INC BNDS 2.2% DUE 12-14-2020
**
3,574,179

VISA INC COM CL A STK
**
53,288,816

VISHAY INTERTECHNOLOGY INC COM STK
**
414,750

VISHAY PRECISION GROUP INC COM
**
76,194

VISTA OUTDOOR INC COM
**
449,436

VISTEON CORP COM NEW COM NEW
**
671,332

VISTRY GROUP PLC GBP0.50
**
1,149,928

VITAL KSK HOLDINGS NPV
**
20,164


211
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
VMWARE INC 2.3% BNDS DUE 08-21-2020 REG
**
200,283

VMWARE INC 2.95% DUE 08-21-2022
**
106,991

VMWARE INC 3.9% 08-21-2027
**
9,002,682

VNDO 2012-6AVE MTG TR SER 2012-6AVE CL A2.9950 144A DUE 11-15-2030
**
363,306

VNDO 2012-6AVE MTG TR SER 2012-6AVE CL A2.9950 144A DUE 11-15-2030
**
2,661,437

VODAFONE GROUP ORD USD0.2095238
**
202,637

VODAFONE GROUP PLC 3.75% DUE 01-16-2024 REG
**
1,480,929

VODAFONE GROUP PLC 3.75% DUE 01-16-2024 REG
**
5,056,315

VODAFONE GROUP PLC 5% DUE 05-30-2038
**
521,130

VOLKSWAGEN BK GMBH 1.875% SNR 31/01/2024EUR
**
118,173

VOLKSWAGEN GROUP 2.4% DUE 05-22-2020
**
2,403,179

VOLKSWAGEN GROUP 4% DUE 11-12-2021
**
1,344,569

VOLKSWAGEN GROUP 4% DUE 11-12-2021
**
4,162,992

VOLKSWAGEN GROUP AMER FIN LLC GTD NT FLTG RATE 144A DUE 09-24-2021 BEO
**
1,510,493

VOLT INFORMATION SCIENCES INC COM
**
7,378

VOLTAS LTD INR1
**
109,390

VOLVO AB SER'B'NPV
**
1,556,609

VONOVIA SE NPV
**
428,195

VOSTOK NEW VENTURE SDR USD0.24
**
50,168

VOXX INTL CORP CL A CL A
**
17,660

VOYA FINL INC COM
**
5,040,729

VS INDUSTRY BHD MYR0.2
**
13,628

VSE CORP COM
**
74,102

VT HOLDINGS CO LTD NPV
**
94,092

VULCAN MATERIALS CO COM
**
351,480

VULCAN MATLS CO NT FLTG DUE 03-01-2021 REG
**
4,248,123

W BANCORPORATION INC CDT-CAP STK
**
23,528

W P CAREY INC 4% DUE 02-01-2025
**
262,438

WA PRIME GROUP L P 6.45% DUE 08-15-2024
**
461,250

WABASH NATL CORP COM
**
253,035

WACHOVIA CAP TR III FXD-FLTG RATE BD DUE12-31-2049 REG
**
2,518,750

WACOAL HOLDINGS NPV
**
307,945

WADDELL & REED FINL INC CL A COM
**
852,135

WALGREENS BOOTS FIXED 3.8% DUE 11-18-2024
**
9,304,470

WALKER & DUNLOP INC COM .
**
202,384

WAL-MART DE MEX COM NPV
**
1,077,712

WALMART INC 2.85% DUE 06-23-2020
**
4,551,916

WALMART INC 3.125% DUE 06-23-2021
**
4,692,227

WALMART INC 3.7% DUE 06-26-2028
**
1,156,882

WALT DISNEY CO
**
3,085,392

WARRIOR MET COAL INC COM
**
799,200

WASH FED INC COM
**
272,749

WASHINGTON PRIME GROUP NEW COM
**
66,470

WASHINGTON REAL ESTATE INVT TR SH BEN INT SH BEN INT
**
224,628

WASHINGTON TR BANCORP INC COM
**
129,903

WASTE MANAGEMENT INC 4.6 DUE 03-01-2021 BEO
**
338,135

WASTE MGMT INC DEL 3.2% DUE 06-15-2026
**
366,689


212
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
WASTE MGMT INC DEL 3.2% DUE 06-15-2026
**
440,026

WASTE MGMT INC DEL 3.45% DUE 06-15-2029
**
160,643

WASTE MGMT INC DEL 3.45% DUE 06-15-2029
**
631,864

WASTE MGMT INC DEL 3.5% DUE 05-15-2024
**
1,040,770

WASTE MGMT INC DEL FIXED 2.95% 06-15-2024
**
991,103

WATERSTONE FINL INC MD COM
**
100,269

WATTS WTR TECHNOLOGIES INC
**
5,112,700

WAVE LIFE SCIENCES PTE LTD COM NPV
**
97,278

WEA FIN LLC / 3.75% DUE 09-17-2024
**
5,264,365

WEBZEN INC KRW500
**
25,881

WEC ENERGY GROUP FIXED 3.375% DUE 06-15-2021
**
2,387,512

WEICHAI POWER CO 'H'CNY1
**
831,305

WEINGARTEN RLTY INVS COM
**
366,414

WEIQIAO TEXTILE CO 'H'CNY1
**
51,194

WEIS MKT INC COM
**
181,557

WELLNET CORP NPV
**
20,500

WELLPOINT INC 3.125% DUE 05-15-2022
**
1,266,050

WELLS FARGO & CO 2.1% DUE 07-26-2021
**
200,294

WELLS FARGO & CO 2.1% DUE 07-26-2021
**
2,823,141

WELLS FARGO & CO 2.406% DUE 10-30-2025
**
1,366,286

WELLS FARGO & CO 2.5% DUE 03-04-2021
**
333,378

WELLS FARGO & CO 2.55% DUE 12-07-2020
**
1,106,701

WELLS FARGO & CO 2.879% DUE 10-30-2030 REG
**
181,251

WELLS FARGO & CO 3% DUE 04-22-2026
**
514,343

WELLS FARGO & CO 3% DUE 10-23-2026
**
256,226

WELLS FARGO & CO 3% DUE 10-23-2026
**
3,617,909

WELLS FARGO & CO 3.069% DUE 01-24-2023
**
408,254

WELLS FARGO & CO 3.3 09-09-2024
**
2,200,853

WELLS FARGO & CO 3.5 DUE 03-08-2022
**
242,688

WELLS FARGO & CO 3.5 DUE 03-08-2022
**
10,327,134

WELLS FARGO & CO 3.75% DUE 01-24-2024
**
10,335,361

WELLS FARGO & CO 4.1% DUE 06-03-2026
**
379,600

WELLS FARGO & CO 4.4% DUE 06-14-2046
**
136,874

WELLS FARGO & CO 4.48% DUE 01-16-2024
**
11,204,161

WELLS FARGO & CO 4.75% DUE 12-07-2046
**
156,116

WELLS FARGO & CO 4.9% DUE 11-17-2045
**
81,960

WELLS FARGO & CO 4.9% DUE 11-17-2045
**
452,614

WELLS FARGO & CO FLTG RT 2.83063% DUE 02-11-2022
**
1,610,939

WELLS FARGO & CO FLTG RT 3.046% DUE 01-24-2023
**
607,831

WELLS FARGO & CO FLTG RT 3.196% DUE 06-17-2027
**
311,299

WELLS FARGO & CO NEW COM STK
**
55,427,020

WELLS FARGO & CO NEW MEDIUM TERM SR 4.125 DUE 08-15-2023
**
1,505,689

WELLS FARGO & CO NEW MEDIUM TERM SR NTS FLTG RT DUE 01-30-2020
**
400,222

WELLS FARGO & CO NEW MEDIUM TERM SR NTS TRANCHE # TR 00155 4.3% DUE 07-22-2027
**
1,994,517

WELLS FARGO & CO NEW NT FLTG DUE 10-31-2023/10-31-2022 REG
**
508,895

WELLS FARGO & CO TRANCHE # SR 00129 3.45DUE 02-13-2023
**
517,819

WELLS FARGO & CO TRANCHE # SR 00129 3.45DUE 02-13-2023
**
2,692,658


213
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
WELLS FARGO & COMPANY 3.584 % 05-22-2028
**
29,765,863

WELLS FARGO BK N A 2.6% 01-15-2021
**
251,753

WELLS FARGO BK N A 2.6% 01-15-2021
**
5,931,303

WELLS FARGO BK N A 3.55% DUE 08-14-2023
**
1,676,917

WELLS FARGO BK N A 3.625% DUE 10-22-2021 REG
**
7,451,457

WELLS FARGO BK N A FLTG RT 3.325% DUE 07-23-2021
**
12,345,919

WELLS FARGO BK N A SAN FRAN CAL FLTG 10-22-2021
**
2,992,277

WELLS FARGO BK N A SAN FRANCISCO CALIF MFLTG 05-21-2021
**
4,481,951

WELLS FARGO BK N A VAR RT 2.082% DUE 09-09-2022
**
500,775

WELLS FARGO COML 2.495% DUE 07-15-2048
**
1,960,610

WELLS FARGO COML 2.848% DUE 09-15-2057
**
1,574,235

WELLS FARGO COML 2.918% DUE 10-15-2045
**
2,922,875

WELLS FARGO COML 3.247% DUE 07-15-2058
**
5,296,463

WELLS FARGO COML 3.412% DUE 09-15-2058
**
723,291

WELLS FARGO COML 3.656% DUE 12-15-2048
**
10,459,087

WELLS FARGO COML FLTG RT 4.565674% DUE 12-15-2059
**
2,140,782

WELLS FARGO COML MTG TR 2016-C36 MTG PASSTHRU CTF CL A-2 2.504% 11-15-2059
**
2,104,437

WELLS FARGO COML MTG TR 2017-C40 SR 17-C40 CL A2 2.495% 10-15-2050
**
2,513,542

WELLS FARGO COML MTG TR 2017-C40 CL A-SB 3.395% 10-15-2050 10-15-2050
**
2,935,547

WELLS FARGO COML MTG TR 2017-C41 CL A-SB 3.39% 11-15-2050
**
15,185,952

WELLS FARGO COML SER 2018-C44 CL ASB 4.167% 05-15-2051
**
4,372,200

WELLTOWER INC 4% DUE 06-01-2025
**
107,666

WELLTOWER INC 2.7% DUE 02-15-2027
**
1,546,599

WELLTOWER INC 3.1% DUE 01-15-2030
**
253,178

WELLTOWER INC 3.625% DUE 03-15-2024
**
3,332,898

WELLTOWER INC 3.95% 09-01-2023
**
633,299

WELLTOWER INC 4.25% DUE 04-01-2026
**
2,831,281

WELLTOWER INC FIXED 4.25% DUE 04-15-2028
**
219,390

WENDYS CO COM
**
870,432

WERNER ENTERPRISES INC COM
**
383,369

WESBANCO INC COM
**
435,983

WESCO INTL INC COM
**
1,270,352

WEST CHINA CEMENT GBP0.002
**
332,493

WESTAR ENERGY INC 3.1% DUE 04-01-2027
**
186,681

WESTAR ENERGY INC 5.1% DUE 07-15-2020
**
159,475

WESTAR ENERGY INC FIXED 3.25% 09-01-2049
**
147,788

WESTERN ALLIANCE BANCORPORATION COM
**
5,208,432

WESTERN AREAS LIMITED NPV
**
863,477

WESTERN GAS PARTNERS LP 4 DUE 07-01-2022 REG
**
3,757,882

WESTERN NEW ENG BANCORP INC COM
**
51,463

WESTERN UN CO 3.6% DUE 03-15-2022
**
514,676

WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.7% 09-15-2028
**
1,358,573

WESTLAKE 2.7% DUE 10-17-2022
**
11,645

WESTLAKE 3.28% DUE 12-15-2022
**
4,035,161

WESTLAKE 3.46% DUE 10-17-2022
**
2,234,025

WESTLAKE 3.51% DUE 05-16-2022
**
742,700

WESTLAKE CHEM CORP COM STK
**
617,811


214
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
WESTPAC BKG CORP 2.1% DUE 05-13-2021
**
1,323,869

WESTPAC BKG CORP 2.3% DUE 05-26-2020
**
160,213

WESTPAC BKG CORP 2.35% DUE 02-19-2025
**
2,471,113

WESTPAC BKG CORP 2.5% DUE 06-28-2022
**
505,958

WESTPAC BKG CORP 2.6% DUE 11-23-2020
**
935,049

WESTPAC BKG CORP 2.75% DUE 01-11-2023
**
509,469

WESTPAC BKG CORP 2.75% DUE 01-11-2023
**
5,094,693

WESTPAC BKG CORP 2.85% DUE 05-13-2026
**
256,121

WESTPAC BKG CORP 3.05% DUE 05-15-2020
**
502,375

WESTPAC BKG CORP 3.3% DUE 02-26-2024
**
10,387,297

WESTPAC BKG CORP 4.322% DUE 11-23-2031
**
307,097

WESTPAC BKG CORP FIXED 4.421% DUE 07-24-2039
**
77,006

WESTROCK CO COM
**
389,194

WESTROCK CO CORP BOND 3.75% 03-15-2025
**
3,496,880

WESTWOOD HLDGS GROUP INC COM
**
14,721

WEX INC COM
**
5,542,521

WEYCO GROUP INC COM
**
48,377

WFRBS COML MTG TR 3.311% DUE 03-15-2045
**
584,424

WFRBS COML MTG TR FLTG RT 4.0689997673% DUE 09-15-2057
**
4,890,359

WFRBS COML MTG TR MTG PASS SER 2014-C20 CL C 4.513 05-15-2047
**
1,913,875

WFRBS COML MTG TR SER 2013-C12 CL A-3 3.07 03-15-2048
**
2,234,903

WH GROUP LIMITED COMSTK
**
1,709,326

WHARF(HLDGS) NPV
**
50,874

WHEATON PRECIOUS M COM NPV
**
813,801

WHEELOCK & COMPANY NPV
**
393,369

WHIRLPOOL OF INDIA INR10
**
288,864

WHITE MOUNTAINS INSURANCE GROUP COM STOCK
**
315,689

WHITEHAVEN COAL NPV
**
228,100

WHITESTONE REIT COMMON SHARES
**
50,816

WHITING PETE CORP COM NEW COM USD0.001(POST REV SPLIT)
**
97,967

WI PUB SVC CORP 3.35% DUE 11-21-2021
**
7,662,508

WI TREASURY 2.5% TNOTE 01-31-2021
**
222,020

WI TREASURY SEC 3% DUE 05-15-2045 REG
**
783,262

WI TREASURY SEC 3.375% DUE 11-15-2048 REG
**
7,258,125

WI TREASURY SEC WI TREASURY SEC 1.75% DUE 07-15-2022 REG
**
20,579,277

WI UNITED STATES OF AMER TREAS T NOTE 2.375% DUE 02-29-2024
**
5,142,578

WI UNITED STATES TREAS NTS FIXED 1.75% 07-31-2024
**
26,825,651

WIENERBERGER AG NPV
**
166,327

WIHLBORGS FAST. AB NPV
**
134,169

WIJAYA KARYA BANGUNAN GEDUNG TBK COMN STK
**
210,026

WIJAYA KARYA BETON IDR100
**
105,159

WILEY JOHN & SONS INC CL A
**
502,522

WILLIAMS COS INC 3.7% DUE 01-15-2023
**
4,143,036

WILLIAMS PARTNERS 3.35 DUE 08-15-2022
**
4,098,525

WILLIAMS PARTNERS 3.75% DUE 06-15-2027
**
751,003

WILLIAMS PARTNERS 3.9% DUE 01-15-2025
**
45,285

WILLIAMS PARTNERS 4.3% DUE 03-04-2024
**
2,593,512


215
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
WILLIAMS PARTNERS 4.5% DUE 11-15-2023
**
3,212,887

WILLIAMS PARTNERS 5.25% DUE 03-15-2020
**
432,525

WILLIAMS PARTNERS 5.4% DUE 03-04-2044
**
281,823

WILLIAMS PARTNERS FIXED 4.85% DUE 03-01-2048
**
117,142

WILLIAMS SCOTSMAN CORP COM
**
95,760

WILLIAMS SONOMA INC COM
**
356,037

WINGSTOP INC COM
**
241,875

WINNEBAGO INDS INC COM
**
206,304

WINTRUST FINL CORP COM
**
1,942,447

WIPRO INR2
**
193,856

WISCONSIN ELEC PWR CO 2.05% DUE 12-15-2024
**
1,724,227

WISCONSIN ST GEN FD ANNUAL APPROPRIATIONREV 2.483% 05-01-2027 BEO TAXABLE
**
2,024,540

WISDOMTREE INVTS INC COM
**
667,920

WISTRON CORP TWD10
**
369,779

WIZ SOLUCOES CORRE COM NPV
**
53,764

WIZZ AIR HLDGS PLC ORD GBP0.0001
**
1,829,804

WOLTERS KLUWER EUR0.12
**
1,191,625

WOLVERINE WORLD WIDE INC COM
**
2,987,677

WOODWARD INC COM
**
1,326,528

WOORI FINANCIAL GR KRW5000
**
163,923

WORKDAY INC CL A COM USD0.001
**
8,519,332

WORKIVA INC COM CL A COM CL A
**
4,618,478

WORLD ACCEP CORP S C NEW COM
**
185,155

WORLD CO LTD NPV
**
468,262

WORLD FINL NETWORK 2.03% DUE 04-15-2025
**
796,222

WORLD FINL NETWORK 2.21% DUE 07-15-2026
**
1,822,538

WORLD FINL NETWORK 2.31% DUE 08-15-2024
**
2,610,017

WORLD FINL NETWORK 2.55% DUE 06-17-2024
**
4,288,133

WORLD FINL NETWORK 3.07% DUE 12-16-2024
**
707,766

WORLD FINL NETWORK CR CARD MASTER NT SER 18-C CL A 3.55% FIXED 08-15-2025
**
4,099,809

WORLD FINL NETWORK CR CARD MASTER SER-18-B CL-A 3.46% 07-15-2025 REG
**
1,230,508

WORLD FINL NETWORK CR CARD MASTER SER-19-A CL-A 3.14% 12-15-2025 REG
**
1,287,093

WORLD FUEL SERVICE COM STK USD0.01
**
1,885,687

WORLD OMNI AUTO LEASE SECURITIZATION TST SER 18-A CL A3 2.83% 01-15-2021
**
526,558

WORLD OMNI AUTO RECEIVABLES SER 18-B CL A3 2.93% DUE 07-17-2023
**
1,967,757

WORLD OMNI AUTOMOBILE LEASE SECURITI TST SER 18-B CL A3 3.19% DUE 12-15-2021
**
1,131,214

WORTHINGTON INDS INC COM
**
348,491

WPP PLC ORD GBP0.10
**
3,108,798

WPX ENERGY INC COM SHS
**
1,520,111

WRIGHT MEDICAL GROUP NV EUR0.03
**
353,842

WRKCO INC 3.9% DUE 06-01-2028
**
53,060

WRKCO INC 4.65% 03-15-2026
**
1,981,245

WRKCO INC CORP BOND 4.9% 03-15-2029
**
284,547

WSFS FINANCIAL CORP COM
**
3,068,522

WUSTENROT & WURTTE NPV
**
488,938

WYNN MACAU LTD HKD0.001
**
339,064

X5 RETAIL GROUP NV GDR REP 0.25 SHS EUR1REGS
**
185,231


216
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
XCEL ENERGY INC 6.5 DUE 07-01-2036 BEO
**
29,756

XCEL ENERGY INC COM
**
4,986,632

XENIA HOTELS & RESORTS INC COM
**
237,904

XEROX CORP FIXED 2.75% DUE 09-01-2020
**
1,470,494

XEROX HLDGS CORP COM NEW COM NEW
**
1,452,715

XILINX INC COM
**
3,231,787

XPERI CORP COM
**
129,112

XPO LOGISTICS INC COM
**
3,668,990

XSTRATA FIN CDA LTD NT 144A STEP UP 10-25-2022
**
1,560,069

XYLEM INC 3.25% DUE 11-01-2026
**
51,771

XYLEM INC SR NT 4.875 DUE 10-01-2021
**
3,118,109

YAGEO CORP TWD10
**
860,093

YANDEX N.V. COM USD0.01 CL 'A
**
353,791

YANGZIJIANG SHIPBU NPV (SGD)
**
1,151,526

YARA INTERNATIONAL ASA 144A 4.75% DUE 06-01-2028 BE
**
1,195,683

YAS CO LTD KRW500
**
52,672

YDUQS PARTICIPAC COM NPV
**
449,799

YELP INC CL A
**
1,527,504

YETI HLDGS INC COM
**
1,806,891

YICHANG HEC CHANGJIANG PHARMACTL CO 'H' CNY1
**
240,792

Y-MABS THERAPEUTICS INC COM
**
701,406

YOUNG POONG CORP KRW5000
**
67,276

YOUNGONE CORP KRW500
**
211,893

YRC WORLDWIDE INC COM USD0.01 (POST REV SPLIT)
**
56,738

YUE YUEN INDL HLDG HKD0.25
**
178,585

YUM CHINA HLDGS INC COM
**
4,433,579

YURTEC CORPORATION NPV
**
52,907

ZAGG INC COM STK
**
36,098

ZEBRA TECHNOLOGIES CORP CL A
**
598,240

ZEE ENTERTAIN ENT INR1
**
471,966

ZENDESK INC COM
**
1,762,490

ZENG HSING INDL CO COM STK
**
22,100

ZENKOKU HOSHO CO L NPV
**
123,898

ZHEJIANG EXPRESS 'H'CNY1
**
71,075

ZHEN DING TECHNOLO TWD10
**
558,128

ZIMMER BIOMET 3.15% DUE 04-01-2022
**
2,378,959

ZIMMER BIOMET 3.55% DUE 04-01-2025
**
1,898,296

ZIMMER BIOMET 3.55% DUE 04-01-2025
**
1,370,992

ZIMMER BIOMET 3.7% DUE 03-19-2023
**
35,438

ZIMMER BIOMET HLDGS INC COM
**
6,780,504

ZIMMER HLDGS INC 3.375 DUE 11-30-2021
**
428,748

ZIONS BANCORPORATION N A
**
2,957,986

ZOETIS INC 3.25 DUE 02-01-2023 REG
**
514,752

ZOETIS INC 3.25% 08-20-2021
**
3,244,363

ZOETIS INC 3.45% DUE 11-13-2020
**
1,010,790

ZOVIO INC COM USD0.01
**
9,983

ZSCALER INC COM
**
769,854


217
Table of Contents

Security Name, Maturity Date, and Rate
Cost
Current Value
(in dollars)
ZUMIEZ INC COM
**
106,832

ZUMTOBEL GROUP AG
**
148,029

ZURICH INSURANCE GROUP AG CHF0.10
**
8,241,184

ZYNGA INC
**
2,586,900

Metropolitan Life (wrap contract)
**
(53,306,192
)
Prudential (wrap contract)
**
(55,835,249
)
RGA (wrap contract)
**
(30,940,103
)
Royal Bank of Canada (wrap contract)
**
(54,871,115
)
Voya (wrap contract)
**
(79,571,380
)
 
 
 
TOTAL
 
$
66,442,497,789

 
 
 
*PARTICIPANT LOANS (Interest from 3.25% to 9.50% maturing through January 2040)
**
$
745,563,623

 
 
 
*Party-in-interest
 
 
 
 
 
**Cost information is not required for participant directed investment and therefore is not included.
 
 
 
 
 (Concluded)



218
Table of Contents

SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the Plan Administrator has duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
 
 
 
 
 
 
 
 
 
 
 
 
  
THE BOEING COMPANY
 
 
 
 
 
  
 VOLUNTARY INVESTMENT PLAN
 
 
 
 
 
 
June 16, 2020
 
 
  
/s/ Michael Cleary      
 
 
Date
 
 
  
Michael Cleary
 
 
 
 
 
  
Vice President of Accounting
 
 
 
 
 
  
and Financial Reporting
 
 
 
 
 
  
 


219

Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘11-K’ Filing    Date    Other Filings
12/31/20
Filed on:6/16/20
3/27/20
3/11/204
1/1/203
For Period end:12/31/1910-K,  SD
12/19/19
12/31/1810-K,  11-K,  SD
5/11/15
 List all Filings 
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