355686_14_JCPenneyCorporationSavings11K_FS


 
UNITED STATES


 
SECURITIES AND EXCHANGE COMMISSION


 
Washington, D.C. 20549


 
 
 

FORM 11-K

(Mark One)
 
x
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the fiscal year ended December 31, 2014

OR
    
o
TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the transition period from to ________


Commission File Number 001-15274


A.
Full title of the plan and the address of the plan, if different from that of the issuer named below:
    

J. C. Penney Corporation, Inc.
Savings, Profit‑Sharing and Stock Ownership Plan
    

B.
Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:
    

J. C. Penney Company, Inc.
6501 Legacy Drive
Plano, Texas 75024‑3698








REQUIRED INFORMATION
Form 11-K Annual Report
This form provides the annual report pursuant to Section 15(d) of the Securities Exchange Act of 1934, as amended, with respect to the J. C. Penney Corporation, Inc. Savings, Profit‑Sharing and Stock Ownership Plan, a plan subject to the Employee Retirement Income Security Act of 1974.















J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND
STOCK OWNERSHIP PLAN


Financial Statements and Supplemental Schedule
December 31, 2014 and 2013
(With Reports of Independent Registered Public Accounting Firms Thereon)







J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND
STOCK OWNERSHIP PLAN

Table of Contents
 
Page






Montgomery Coscia Greilich LLP
Certified Public Accountants
972.748.0300 p
972.748.0700 f

Report of Independent Registered Public Accounting Firm


To the Benefit Plan Investment Committee,
Benefits Administration Committee, and
Human Resources Committee of
J.C. Penney Corporation, Inc. Savings,
Profit-Sharing and Stock Ownership Plan:


We have audited the accompanying statement of net assets available for benefits of the J.C. Penney Corporation, Inc. Savings, Profit-Sharing and Stock Ownership Plan (the “Plan”) as of December 31, 2014, and the related statement of changes in net assets available for benefits for the year then ended. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audit. The financial statements of the Plan as of December 31, 2013, were audited by other auditors whose report, dated June 27, 2014, expressed an unqualified opinion on those statements.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2014, and the changes in net assets available for benefits for the year then ended, in conformity with accounting principles generally accepted in the United States of America.

The supplemental information in the accompanying schedule of Form 5500, Schedule H, Line 4i - Schedule of Assets (Held at End of Year) as of December 31, 2014, has been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The supplemental information is presented for the purpose of additional analysis and is not a required part of the financial statements but includes supplemental information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. The supplemental information is the responsibility of the Plan’s management. Our audit procedures included determining whether the supplemental information reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedule. In forming our opinion on the supplemental information in the accompanying schedule, we evaluated whether the supplemental information, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the supplemental information in the accompanying schedule is fairly stated, in all material respects, in relation to the financial statements as a whole.

/s/ Montgomery Coscia Greilich LLP

Montgomery Coscia Greilich LLP
Plano, Texas
June 26, 2015

 
 
 
2500 Dallas Parkway, Suite 300 Plano, Texas 75093
300 Throckmorton Street, Suite 520
Fort Worth, Texas 76102
600 Congress Avenue, Suite 300 Austin, Texas 78701

1




Report of Independent Registered Public Accounting Firm
J. C. Penney Corporation, Inc.    
Benefit Plan Investment Committee,    
Benefits Administration Committee, and    
Human Resources Committee:

We have audited the accompanying statement of net assets available for benefits of the J. C. Penney Corporation, Inc. Savings, Profit-Sharing and Stock Ownership Plan (the Plan) as of December 31, 2013, and the related statement of changes in net assets available for benefits for the year then ended. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2013, and the changes in net assets available for benefits for the year then ended in conformity with accounting principles generally accepted in the United States of America.
/s/ KPMG LLP
Dallas, Texas
June 27, 2014




2



J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
December 31, 2014 and 2013

($ in thousands)
2014
 
2013
Assets:
 
 
 
Investments at fair value:
 
 
 
J. C. Penney Company, Inc. common stock
$
88,998

 
$
114,927

Common and collective trusts
1,839,952

 
1,801,708

Mutual funds
21,077

 
23,159

Common stock
23,771

 
25,463

Other
633

 
722

Fully benefit responsive contracts
842,576

 
944,354

Total investments
2,817,007

 
2,910,333

Receivables:
 
 
 
J. C. Penney Company, Inc. contribution
13,639

 
11,949

Notes receivable from participants
66,248

 
67,832

Participant contributions
1,571

 
1,593

Due from broker for securities sold
415

 
640

Interest and dividends
99

 
67

Other
576

 
125

Total receivables
82,548

 
82,206

Total assets
2,899,555

 
2,992,539

 
 
 
 
Liabilities:
 
 
 
Accounts payable and accrued liabilities
622

 
1,064

Due to broker for securities purchased
360

 
952

Total liabilities
982

 
2,016

Net assets reflecting investments at fair value
2,898,573

 
2,990,523

Adjustments from fair value to contract value for fully benefit responsive investment contracts
(23,918
)
 
(32,620
)
Net assets available for benefits
$
2,874,655

 
$
2,957,903


See the accompanying notes to the financial statements.

3



J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN
STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
December 31, 2014 and 2013

($ in thousands)
2014
 
2013
Investment income:
 
 
 
Net appreciation in the fair value of investments
$
72,781

 
$
187,793

Interest
26,614

 
33,440

Dividends
1,487

 
1,316

 
100,882

 
222,549

Less investment expenses
(936
)
 
(983
)
Net investment income
99,946

 
221,566

Interest income on notes receivable from participants
2,685

 
2,724

Contributions:
 
 
 
J. C. Penney Company, Inc., net of forfeitures
49,581

 
48,838

Participants
100,105

 
102,870

 
149,686

 
151,708

Total additions
252,317

 
375,998

Deductions from net assets attributed to:
 
 
 
Benefit payments
(329,102
)
 
(491,892
)
Administrative expenses
(6,463
)
 
(6,777
)
Total deductions
(335,565
)
 
(498,669
)
Decrease in net assets available for benefits
(83,248
)
 
(122,671
)
Beginning net assets available for benefits
2,957,903

 
3,080,574

Ending net assets available for benefits
$
2,874,655

 
$
2,957,903


See the accompanying notes to the financial statements.

4


J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN
NOTES TO FINANCIAL STATEMENTS
December 31, 2014 and 2013

1. Description of Plan
The following description of the J. C. Penney Corporation, Inc. Savings, Profit‑Sharing and Stock Ownership Plan (the Plan) provides only general information. For more complete information, Participants should refer to the Summary Plan Description for the Plan. If these Notes to Financial Statements or the Summary Plan Description result in any misunderstanding or inconsistency with the Plan document, the Plan document will govern.
(a)
General
The Plan is a defined contribution plan available to all eligible employees (Associates) of J. C. Penney Corporation, Inc. (the Company) and certain subsidiaries. Associates who have attained age 21 are immediately eligible to participate in the Plan upon their hire date or rehire date. Eligible Associates, after completion of 1,000 hours of service in an eligibility period (generally a period of 12 consecutive months), are automatically enrolled at a 4% pre-tax contribution, unless they elect otherwise. An eligible Associate must be enrolled in the Plan to be a participant in the Plan (Participant). The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (ERISA). The financial statements include all of the funds that comprise the Plan.
The Benefit Plans Investment Committee (BPIC) is the named fiduciary for the control and management of the assets of the Plan except for the J. C. Penney Common Stock Fund (Penney Stock Fund). Effective December 17, 2009, Evercore Trust Company, N.A. became the named fiduciary with respect to the management and disposition of the Penney Stock Fund. The BPIC also has the responsibility for selecting investment funds, other than the Penney Stock Fund, to be offered under the Plan. The Benefits Administration Committee (BAC) is the named fiduciary for the review of denied benefit claims and has overall responsibility for the day-to-day administration of the Plan. The Human Resources Committee (HRC) approves the Company’s overall benefit strategy for the Plan and any modifications or amendments to the Plan and is responsible for appointing members of the BAC and the BPIC and appoints the trustee. The HRC has named State Street Bank & Trust Company (State Street Bank) as the trustee for the Plan and Aon Hewitt Associates as the third party administrator/record keeper for the Plan.
(b)
Payment of Benefits
Generally, Participants who have separated from service with account balances over $5,000 remain in the Plan until the Participant elects payment. The normal form of payment is a lump‑sum settlement (cash and/or J. C. Penney Company, Inc. common stock). A Participant will receive an involuntary lump sum distribution if the total vested account balance is $5,000 or less at the time of distribution. Certain Participants who have separated from service and who are 100% vested in the Company contributions may request periodic withdrawals, fixed monthly payments of at least $100, or a complete distribution. Minimum required distributions will begin by April 1 of the year following the year of separation for a Participant who has attained age 70½ and will continue each year thereafter to comply with federal law.
(c)
Contributions
Participants who are classified as highly compensated in 2014 and 2013 (earning more than $115,000 in 2013 for 2014 and in 2012 for 2013) are permitted to contribute from 1% to 8% (6% before-tax, 2% after-tax) of their earnings (up to a maximum of $260,000 for 2014 and $255,000 for 2013) with a maximum of 6% in pre-tax deposits (subject to an annual maximum of $17,500 in 2014 and 2013). Participants earning $115,000 or less in the previous year are permitted to contribute from 1% to 50% of their earnings (subject to an annual maximum of $17,500 in 2014 and 2013). Associates, who are at least age 21, did not enroll in the plan, and did not decline enrollment, will be automatically enrolled in the Plan after completing 1,000 hours of service in an eligibility period.
The Plan allows Participants who have attained the age of 50 by the end of the year to make an additional tax-deferred deposit (catch-up contribution) up to a maximum of $5,500 during 2014 and 2013. These catch-up contributions are not eligible for the Company’s matching contribution.
The Plan allows Participants who participated in another employer’s qualified retirement plan before coming to work for the Company to rollover a portion or all of their distributions from the prior employer’s plan. The Participant cannot rollover a loan or a Roth 401(k) from another plan. The Plan accepts eligible cash rollovers directly from another qualified retirement plan that meets certain legal requirements within 60 days after receipt of an eligible distribution. The associate is immediately vested in these contributions to the Plan.

5


Participants age 21 or older become eligible for the Company matching contributions after completing 1,000 hours of service in an eligibility period. The Company matching contribution is a per pay period Company match of $0.50 per dollar up to the first 6% of Participant contributions. Associates hired or rehired on or after January 1, 2007, that are over 21 years of age, have 1,000 hours of service in an eligibility period and are active associates on December 31 receive a Company retirement account contribution equal to 2% of the associate’s annual compensation (up to a maximum of $260,000 for 2014 and $255,000 for 2013).
During 2014, the Company matching contribution totaled approximately $36.6 million and the Company retirement account contribution totaled approximately $13.0 million. During 2013, the Company matching contribution totaled approximately $37.5 million and the Company retirement account contribution totaled approximately $11.3 million.
(d)
Participants’ Investment Funds
All Participant contributions, Company matching contributions and Company retirement account contributions are invested in the Plan’s investment funds in accordance with the Participant’s investment elections. Participants direct their investments amongst three tiers of funds as follows: Tier 1 funds consist of target date retirement funds managed by Vanguard Fiduciary Trust Company. Tier 2 funds consist of eight index funds, including the Penney Stock Fund. Tier 3 funds consist of the Participant directed brokerage window. The funds are maintained on a unit-value basis and, accordingly, the actual earnings and appreciation or depreciation in the underlying securities are reflected in the daily unit value.
(e)
Participant Accounts
Each Participant’s account is credited with the Participant’s contributions, the Company’s contributions, Plan earnings and appreciation or depreciation in underlying securities, and is charged with an allocation of administrative expenses. Allocations are based on Participant account balances, as defined. The benefit to which a Participant is entitled is the benefit that can be provided from the Participant’s vested account.
(f)
Participants’ Loans
A Participant who has not separated from service may request a loan. The minimum loan amount is $500. The maximum loan amount is the lesser of: the value of a Participant’s before-tax, rollover and after-tax deposits on the valuation date, 50% of a Participant’s total vested account value on the valuation date, or $50,000 minus the highest aggregate balance of any other loans owed to the Plan during the previous 12 months. All loans must be adequately secured and bear interest at the prime rate plus 1%. Interest rates on the loans outstanding as of December 31, 2014 ranged from 4.25% to 10.50% and maturities ranged from 2015 through 2019. Interest rates on the loans outstanding as of December 31, 2013 ranged from 4.25% to 10.50% and maturities ranged from 2014 through 2018. Loan amounts and the terms of repayment are limited in accordance with Plan provisions.
(g)
Vesting
Participants are immediately vested in the value of their deposits and earnings thereon. Company contributions and earnings thereon for Plan years 2007 and later will be 100% cliff vested after three years of service. Participants will also be 100% vested if they separate from service at normal retirement age, death, total disability, or a reduction in force or unit closing. Participants who separate from service prior to full vesting of their rights forfeit the unvested balance of their Company contributions and any related earnings when their employment ends.
(h)
Forfeited Accounts
Forfeitures are available to restore forfeited amounts of rehired Participants, offset Company contributions, or pay Plan expenses. Forfeitures utilized to offset company contributions during 2014 and 2013 were approximately $2.8 million and $3.3 million respectively.
(i)
Expenses
Participants’ accounts share in the expenses to administer the Plan. These expenses include trustee, investment management, audit, administrative service provider fees, and other expenses. Administrative expenses not paid by the Plan are paid by the Company.


6


2. Related Party Transactions
Certain trust investment options are investment products managed by State Street Global Advisors (SSgA), which is the investment management division of State Street Bank and Trust Company, a wholly owned subsidiary of State Street Corporation. State Street Bank and Trust Company is the trustee, as defined by the Plan, and the disbursement agent. The trustee and investment manager fees are paid by the Plan.
As of December 31, 2014 and 2013, the Plan held investments in J. C. Penney Company Inc. common stock totaling $89.0 million and $114.9 million respectively. During the year ended December 31, 2014, 6.2 million shares were acquired and 5.0 million were disposed. During the year ended December 31, 2013, 4.4 million shares were acquired and 3.5 million were disposed. All of these transactions are exempt from the prohibitions against party-in-interest transactions.
Eligible Participants may borrow from their individual account balance in the Plan as discussed in note 1(f), and these transactions qualify as exempt party-in-interest transactions.
Certain administrative functions and services necessary for the operation of the plan are performed by employees of the Company who may also be Participants in the Plan. The Plan pays reasonable compensation for those services.
3. Summary of Significant Accounting Policies
(a)
Basis of Accounting
The financial statements of the Plan are prepared under the accrual method of accounting.
Investment contracts held by a defined‑contribution plan are required to be reported at fair value. However, contract value is the relevant measurement attribute for that portion of the net assets available for benefits of a defined-contribution plan attributable to fully benefit-responsive investment contracts because contract value is the amount Participants would receive if they were to initiate permitted transactions under the terms of the plan. The statement of net assets available for benefits presents the fair value of the investment contracts as well as the adjustment of the fully benefit‑responsive investment contracts from fair value to contract value. The statement of changes in net assets available for benefits is prepared on a contract value basis.
(b)
Valuation of Investments and Income Recognition
The Plan’s investments are stated at fair value. Purchases and sales of investments are recorded on a trade‑date basis. The average cost method is used to calculate gains and losses on the sale of investments. Interest income is recorded on the accrual basis. Dividends are recorded on the ex‑dividend date. Net appreciation (depreciation) includes the Plan’s gains and losses on investments bought and sold as well as held during the year.
(c)
Notes Receivable From Participants
Participant loans are recorded at amortized costs which represent the unpaid principal balance plus accrued interest.
(d)
Payment of Benefits
Benefits are recorded when paid.
(e)
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, and changes therein, and disclosure of contingent assets and liabilities. Actual results could differ from these estimates.
4. Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date. In determining fair value, the accounting standards establish a three‑level hierarchy for inputs used in measuring fair value, as follows:
Level 1 – Quoted prices in active markets for identical assets or liabilities.
Level 2 – Significant observable inputs other than quoted prices in active markets for similar assets and liabilities, such as quoted prices for identical or similar assets or liabilities in markets that are not active; or other inputs that are observable or can be corroborated by observable market data.
Level 3 – Significant unobservable inputs reflecting our own assumptions, consistent with reasonably available assumptions made by other market participants.

7


The following tables present a summary of the Plan’s investment assets measured at fair value as of December 31, 2014 and 2013):
($ in thousands)
Quoted Prices in Active Market
(Level 1)
 
Significant Other Observable Input
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Total
December 31, 2014:
 
 
 
 
 
 
 
Common stock (a):
 
 
 
 
 
 
 
J. C. Penney Company, Inc.
$
88,998

 
$

 
$

 
$
88,998

Common and collective trusts (b):
 
 
 
 
 
 
 
Fixed income securities

 
152,840

 

 
152,840

Equity funds

 
1,040,133

 

 
1,040,133

Target date funds

 
646,979

 

 
646,979

Total common and collective trusts

 
1,839,952

 

 
1,839,952

Self-directed brokerage window (c):
 
 
 
 
 
 
 
Mutual funds:
 
 
 
 
 
 
 
Short-term investments
6,305

 

 

 
6,305

Municap bonds
27

 

 

 
27

Equity
11,937

 

 

 
11,937

Fixed income
2,808

 

 

 
2,808

Total mutual funds
21,077

 

 

 
21,077

Common stock:
 
 
 
 
 
 
 
Basic materials
5

 

 

 
5

Communications
1,503

 

 

 
1,503

Consumer, cyclical
4,223

 

 

 
4,223

Consumer, noncyclical
3,195

 

 

 
3,195

Energy
2,023

 

 

 
2,023

Financial
3,948

 

 

 
3,948

Industrial
2,838

 

 

 
2,838

Technology
4,399

 

 

 
4,399

Utilities
1,637

 

 

 
1,637

Total common stock
23,771

 

 

 
23,771

Other:
 
 
 
 
 
 
 
Cash and cash equivalents
352

 

 

 
352

Preferred stock
274

 

 

 
274

Partnerships
7

 

 

 
7

Total other
633

 

 

 
633

Total self-directed brokerage window
45,481

 

 

 
45,481

Fully benefit responsive contracts:
 
 
 
 
 
 
 
Synthetic investment contract wrapper (d)

 

 

 

Fixed income securities (e)

 
842,576

 

 
842,576

Total fully benefit responsive contracts

 
842,576

 

 
842,576

Total investments at fair value
$
134,479

 
$
2,682,528

 
$

 
$
2,817,007

Actual risk depends on the individual investments which are selected by each applicable participant.

8


($ in thousands)
Quoted Prices in Active Market
(Level 1)
 
Significant Other Observable Input
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Total
December 31, 2013:
 
 
 
 
 
 
 
Common stock (a):
 
 
 
 
 
 
 
J. C. Penney Company, Inc.
$
114,927

 
$

 
$

 
$
114,927

Common and collective trusts (b):
 
 
 
 
 
 
 
Fixed income securities

 
144,833

 

 
144,833

Equity funds

 
1,044,266

 

 
1,044,266

Target date funds

 
612,609

 

 
612,609

Total common and collective trusts

 
1,801,708

 

 
1,801,708

Self-directed brokerage window (c):
 
 
 
 
 
 
 
Mutual funds:
 
 
 
 
 
 
 
Short-term investments
7,652

 

 

 
7,652

Municap bonds
6

 

 

 
6

Equity
12,181

 

 

 
12,181

Fixed income
3,320

 

 

 
3,320

Total mutual funds
23,159

 

 

 
23,159

Common stock:
 
 
 
 
 
 
 
Basic materials
1,468

 

 

 
1,468

Communications
3,340

 

 

 
3,340

Consumer, cyclical
3,468

 

 

 
3,468

Consumer, noncyclical
2,901

 

 

 
2,901

Energy
3,589

 

 

 
3,589

Financial
4,100

 

 

 
4,100

Industrial
2,528

 

 

 
2,528

Technology
3,473

 

 

 
3,473

Utilities
596

 

 

 
596

Total common stock
25,463

 

 

 
25,463

Other:
 
 
 
 
 
 
 
Cash and cash equivalents
479

 

 

 
479

Preferred stock
233

 

 

 
233

Partnerships
10

 

 

 
10

Total other
722

 

 

 
722

Total self-directed brokerage window
49,344

 

 

 
49,344

Fully benefit responsive contracts:
 
 
 
 
 
 
 
Synthetic investment contract wrapper (d)

 

 
503

 
503

Fixed income securities (e)

 
832,847

 

 
832,847

Separate account contracts (f)

 
110,943

 

 
110,943

Separate account contracts wrapper (g)

 

 
61

 
61

Total fully benefit responsive contracts

 
943,790

 
564

 
944,354

Total investments at fair value
$
164,271

 
$
2,745,498

 
$
564

 
$
2,910,333

Actual risk depends on the individual investments which are selected by each applicable participant.




9


As of December 31, 2014, the plan’s investments have no future commitments and a daily redemption frequency with one days notice. In addition, the Plan’s investments had no transfers between levels 1 to 3 from December 31, 2013 to December 31, 2014 or from December 31, 2012 to December 31, 2013.
Following is a description of the valuation methodologies used for assets measured at fair value. See also footnote 3(b) for more information.
(a)
Common stock: Valued at the closing price reported in the active market in which the individual securities are traded.
(b)
Common and collective trusts: Valued at the net asset value (NAV) of shares held by the plan at year end. The target date funds are comprised of eleven collective trusts, which manage risk and investment return over time. There are three general market risk levels: low to moderate, moderate, and moderate to high. Each fund is a different mix of investments – stocks, bonds and cash. The funds start out with more stock for growth opportunity and end with less stock. The equity funds are comprised of 3 large cap funds and 2 small cap funds with low to moderate and high risk levels, respectively. The fixed income securities have low general market risk.
There are no known commitments or restrictions on the common and collective trusts except for some withdrawal restrictions as related to liquidation by the Plan Sponsor of the equity funds. The Plan Sponsor has no plans to liquidate these funds.
(c)
Self-directed brokerage window includes cash and cash equivalents, common stock, corporate bonds, mutual funds, notes, preferred stock, publicly traded partnerships: Certain U.S. Treasury notes and corporate bonds are valued at the closing price reported in the active market in which the security is traded. Other corporate bonds are valued based on yields currently available on comparable securities of issuers with similar credit ratings. Other investments listed are valued at the closing price reported in the active market in which the individual securities are traded. Actual risk depends on the individual investments which are selected by each applicable participant.
(d)
Synthetic investment contract (SIC) wrapper: These are investment contracts that limit potential losses, if any, in the fixed income securities portfolio. Termed a “wrap” since the contract is based on the fair value of underlying fixed income securities. The wrap agreements are stated at fair value based on rebid or replacement cost based upon fluctuations in the fair value of the underlying fixed income securities. As of December 31, 2014, the rate used to calculate the SIC wrappers’ fair value was 1.33%. As of December 31, 2013, the rate used to calculate the SIC wrappers’ fair value was 1.11%.
(e)
Fixed income securities: Assets underlying synthetic investment contracts include cash, U.S. Treasury and agency securities, corporate bonds, and collateralized mortgage‑backed and asset‑backed securities, which are held at fair value. Fixed income securities such as corporate bonds, government securities, mortgage‑backed and asset‑backed securities and other debt instruments are valued using quotes from independent pricing vendors based on recent trading activity and other relevant market information, including market interest rate curves, referenced credit spreads and estimated prepayment and credit default rates where applicable.
(f)
Separate Account Contract (SAC): Valued at fair value of the underlying assets legally owned by the contract issuer, which are maintained in an account that is segregated from the issuer’s general account assets.
(g)
Separate Account Contract Wrapper: Termed a “wrap” since the contract is based on the fair value of underlying fixed income securities. The wrap agreements are stated at fair value based on rebid or replacement cost based upon fluctuations in the fair value of the underlying fixed income securities.
The methods described above may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Plan believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different fair value measurement as of the reporting date.

10


The table below sets forth a summary of changes in the fair value of the Plan’s Level 3 investment assets for the years ended December 31, 2014 and 2013 ($ in thousands).
($ in thousands)
 
SIC/SAC Wrapper
 
Total
Year ended December 31, 2014:
 
 
 
 
Balance beginning of year
 
$
564

 
$
564

Realized losses
 

 

Unrealized gain/(loss) relating to instruments still held at the reporting date
 
(144
)
 
(144
)
Purchases and issuances
 

 

Sales and maturities
 
(420
)
 
(420
)
Balance, end of year
 
$

 
$

($ in thousands)
GIC
 
SIC/SAC Wrapper
 
Total
Year ended December 31, 2013:
 
 
 
 
 
Balance beginning of year
$
36,168

 
$
999

 
$
37,167

Realized losses
(752
)
 

 
(752
)
Unrealized gain/(loss) relating to instruments still held at the reporting date

 
(283
)
 
(283
)
Purchases and issuances
386

 

 
386

Sales and maturities
(35,802
)
 
(152
)
 
(35,954
)
Balance, end of year
$

 
$
564

 
$
564

5. Synthetic Investment Contracts and Separate Account Contracts
The Plan also enters into synthetic investment contracts (SICs) with certain insurance companies and financial institutions (the Contract Issuers). Under these SICs, the Plan enters into a wrap agreement with a financial institution at a stated yield on fixed income securities purchased by the Plan. There are no reserves against contract values for credit risk of the Contract Issuer or otherwise.
The Plan also enters into separate account contracts (SAC) with certain insurance companies. The SAC market valuation is based on the market value of the assets legally owned by the contract issuer, which are maintained in an account that is segregated from the issuer’s general account assets. During the year ended December 31, 2013, the average yield for the entire portfolio based on actual earnings and based on interest rate credited to Participants was approximately 2.05% and 2.83%, respectively. The Plan held no SAC investments as of December 31, 2014.
The relationship of future crediting rates and the adjustment to contract value reported on the statement of net assets available for benefits is provided through the mechanism of the crediting rate formula. The difference between the contract value and the fair market value of the investments of each contract is periodically amortized into each contract’s crediting rate. The amortization factor is calculated by dividing the difference between the fair market value of the investments and the contract value by the duration of the bond portfolio covered by the investment contract.
Key factors that could influence future average interest crediting rates include, but are not limited to: Plan cash flows, changes in interest rates, total return performance of the fair market value bond strategies underlying each SIC contract, default or credit failures of any of the securities, investment contracts, or other investments held in the fund, the initiation of an extended termination (immunization) of one or more SIC contracts by the manager or the Contract Issuers.
Specific coverage provided by each traditional SIC may be different for each issuer, and can be found in the individual traditional SIC contracts held by the Plan. Contract Issuers are not allowed to terminate any of the above SICs and settle at an amount different from contract value unless there is a breach of the contract, which is not corrected within the applicable cure period. Actions that will result in a breach (after any relevant cure period) include, but are not limited to: material misrepresentation; failure to pay SIC fees, or any other payment due under the contract; and failure to adhere to investment guidelines.

11


The following tables present the fair value, contract value adjustments to contract value, and major credit ratings for each of the SACs, SICs, and wrapper contracts held by the Plan as of December 31, 2014 and 2013 ($ in thousands):
December 31, 2014
 
Major Credit Ratings
 
Investments at Fair Value
 
Wrapper Contracts at Fair Value
 
Adjustment to Contract Value
 
Investments at Contract Value
Synthetic investment contracts:
 
 
 
 
 
 
 
 
 
 
American General Life Insurance Company
 
A2
 
280,942

 

 
(8,167
)
 
272,775

The Prudential Insurance Company of America
 
A1
 
280,931

 

 
(8,023
)
 
272,908

State Street Bank & Trust Co.
 
Aa3
 
280,703

 

 
(7,728
)
 
272,975

Total
 
 
 
842,576

 

 
(23,918
)
 
818,658

December 31, 2013
 
Major Credit Ratings
 
Investments at Fair Value
 
Wrapper Contracts at Fair Value
 
Adjustment to Contract Value
 
Investments at Contract Value
Synthetic investment contracts:
 
 
 
 
 
 
 
 
 
 
Bank of America, NA
 
A2
 
$
277,635

 
$
359

 
$
(9,532
)
 
$
268,462

Natixis Financial Products Inc.
 
A2
 
277,577

 

 
(9,171
)
 
268,406

State Street Bank & Trust Co.
 
Aa3
 
277,635

 
144

 
(9,316
)
 
268,463

Total
 
 
 
$
832,847

 
$
503

 
$
(28,019
)
 
$
805,331

Separate Account Contracts:
 
 
 
 
 
 
 
 
 
 
Metropolitan Life Insurance Company
 
Aa3
 
110,943

 
61

 
(4,601
)
 
106,403

Total
 
 
 
$
110,943

 
$
61

 
$
(4,601
)
 
$
106,403

Credit ratings are sourced from www.standardandpoors.com.
6. Investments
Investments that represent 5% or more of the Plan’s net assets at December 31, 2014 and 2013 are separately identified ($ in thousands):
Description of Investment
 
2014
 
2013
State Street Bank S&P 500 Flagship Fund Series
 
$
310,157

 
$
297,096

State Street Bank Daily EAFE Fund
 
198,918

 
221,155

State Street Bank Passive Intermediate Bond Index Fund
 
186,551

 
179,960

State Street Bank Short Term Investment Fund
 
152,840

 
*
State Street Russell 2000 Index Securities Lending Fund
 
145,777

 
*
J.C. Penney Company, Inc. common stock
 
*
 
165,770

* Fair value is less than 5% for period presented.
During 2014 and 2013, the Plan’s investments (including gains and losses on investments bought and sold, as well as held during the year), appreciated (depreciated) in value, as follows ($ in thousands):
Description of Investment
 
2014
 
2013
J.C. Penney Company. Inc. Common Stock
 
$
(33,771
)
 
$
(116,699
)
Mutual funds
 
123

 
1,462

Common stock
 
246

 
4,434

Other
 
(383
)
 
(636
)
Common and collective trusts
 
106,566

 
299,232

Net change in fair value
 
$
72,781

 
$
187,793


12


7. Tax Status
The Internal Revenue Service (IRS) has determined and informed the Company by a letter (determination letter) dated April 22, 2014 that the Plan and the related trust are designed in accordance with applicable sections of the IRC. The Plan has been amended since the reliance period specified in the determination letter. The Company will file an application for a new determination letter in accordance with standard IRS filing procedures. The Plan administrator believes that the Plan is designed and is currently being operated in compliance with the applicable requirements of the IRC.
The Plan evaluates the uncertainties of tax positions taken or expected to be taken on a return based on the probability of whether the position taken will be sustained upon examination by tax authorities. The Plan uses a more‑likely than‑not threshold for recognition and derecognition of tax positions taken or to be taken in a return. The Plan concluded that it has no material uncertain tax liabilities to be recognized as of December 31, 2014. 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 2011.
8. Form 5500 Reconciliation
Differences between the financial statements and the Form 5500 include the following:
Amounts allocated to withdrawing Participants are recorded on the Form 5500 for benefits that have been processed and approved for payment prior to December 31, but that have not yet been paid as of that date.
Fully benefit-responsive investment contracts are recorded on the Form 5500 at fair value but are adjusted to contract value for financial statement presentation.
The following is a reconciliation of net assets available for benefits per the financial statements at December 31, 2014 and 2013 to the Plan’s Form 5500 ($ in thousands):
 
 
2014
 
2013
Net assets available for benefits per the financial statements
 
$
2,874,655

 
$
2,957,903

Amounts allocated to withdrawing participants
 

 
(2,000
)
Adjustment from fair value to contract value for fully benefit-responsive investment contracts
 
23,918

 
32,620

Net assets available for benefits per Form 5500
 
$
2,898,573

 
$
2,988,523

The following is a reconciliation of benefits paid to Participants per the financial statements at December 31, 2014 and 2013 to Form 5500 ($ in thousands):
 
 
2014
 
2013
Benefits paid to participants per the financial statements
 
$
329,102

 
$
491,892

Amounts allocated to withdrawing participants, current year
 

 
2,000

Amounts allocated to withdrawing participants, prior year
 
(2,000
)
 
(2,613
)
Deemed distributions
 

 
1,153

Benefits paid to participants per Form 5500
 
$
327,102

 
$
492,432









13


The following is a reconciliation of the net increase (decrease) in net assets available for benefits per the financial statements to net income (loss) in the Form 5500 ($ in thousands):
 
 
2014
 
2013
Increase (decrease) in net assets available for benefits
 
$
(83,248
)
 
$
(122,671
)
Add adjustment from fair value to contract value for fully benefit-responsive investment contracts
 
23,918

 
32,620

Less adjustment from fair value to contract value for fully benefit-responsive investment contracts
 
(32,620
)
 
(69,644
)
Amounts allocated to withdrawing participants, current year
 

 
(2,000
)
Amounts allocated to withdrawing participants, prior year
 
2,000

 
2,613

Net income (loss) per Form 5500
 
$
(89,950
)
 
$
(159,082
)
9. Plan Termination
Although the Company has not expressed any intent to do so, the Company has the right to terminate the Plan and the related Trust at any time subject to the provisions of ERISA. In the event of Plan termination, affected Participants will become fully vested in amounts allocated to their accounts as of the date of the termination.
10. Risks and Uncertainties
The Plan invests in various investment securities. Investment securities are exposed to various risks such as interest rate, market, and credit risks. Due to the level of risk associated with certain investment securities, it is at least 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 statement of net assets available for benefits.
The Plan invests in common and collective trusts with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of those securities are sensitive to changes in economic conditions, including real estate value, delinquencies or defaults, or both, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
Market conditions can result in a high degree of volatility and increase the risks and short-term liquidity associated with certain investments held by the Plan, which could impact the value of investments after the date of these financial statements. Due to uncertainties inherent in the estimations and assumptions process, it is at least reasonably possible that changes in these estimates and assumptions in the near term would be material to the financial statements.


14


J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN
EIN: 13-5583779 Plan #003
Schedule H, Line 4i - Schedule of Assets (Held at End of Year)
December 31, 2014
($ in thousands)
 
(A) Identity of issue, borrower, lessor, or similar party, description of investment
 
(B) Description of Investment
 
Cost
 
Current Value
 
 
 
Shares/Par
 
Rate of Interest
 
Maturity
 
 
 
 
 
Common stock:
 
 
 
 
 
 
 
 
 
 
*
J. C. Penney Company, Inc. common stock
 
 
 
 
 
 
 
(a)
 
88,998

 
Common and collective trusts:
 
 
 
 
 
 
 
 
 
 
*
State Street Bank Short Term Investment Fund
 
 
 
 
 
 
 
(a)
 
152,840

*
State Street Bank Daily EAFE (Europe, Australia and Far East) Fund
 
 
 
 
 
 
 
(a)
 
198,918

*
State Street Bank S&P 500 Flagship Fund Series
 
 
 
 
 
 
 
(a)
 
310,157

*
State Street Bank Russell 1000 Growth Index Fund
 
 
 
 
 
 
 
(a)
 
103,815

*
State Street Bank Russell 1000 Value Index Fund
 
 
 
 
 
 
 
(a)
 
94,915

*
State Street Bank Russell 2000 Index Securities Lending Fund
 
 
 
 
 
 
 
(a)
 
145,777

*
State Street Bank Passive Intermediate Bond Index Fund
 
 
 
 
 
 
 
(a)
 
186,551

 
Vanguard Target Retirement Income Fund
 
 
 
 
 
 
 
(a)
 
68,116

 
Vanguard 2010 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
40,083

 
Vanguard 2015 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
62,282

 
Vanguard 2020 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
94,537

 
Vanguard 2025 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
101,395

 
Vanguard 2030 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
80,686

 
Vanguard 2035 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
56,139

 
Vanguard 2040 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
41,856

 
Vanguard 2045 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
36,985

 
Vanguard 2050 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
54,495

 
Vanguard 2055 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
10,405

 
Total common and collective trusts
 
 
 
 
 
 
 
 
 
1,839,952

 
Self directed brokerage window
 
 
 
 
 
 
 
(a)
 
45,481

 
Fully benefit responsive contracts:
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
ABBEY NATL TREASURY SERV
 
1,035

 
2.35
%
 
9/10/2019
 
(a)
 
1,043

 
ABBVIE INC
 
810

 
2.90
%
 
11/6/2022
 
(a)
 
800

 
ABBVIE INC
 
1,845

 
1.20
%
 
11/6/2015
 
(a)
 
1,853

 
ACE INA HOLDINGS
 
605

 
5.90
%
 
6/15/2019
 
(a)
 
698

 
ACE INA HOLDINGS
 
800

 
2.60
%
 
11/23/2015
 
(a)
 
815

 
AETNA INC
 
1,280

 
1.50
%
 
11/15/2017
 
(a)
 
1,276

 
AETNA INC
 
1,780

 
2.75
%
 
11/15/2022
 
(a)
 
1,738

 
AFIN 2013-1 A3
 
790

 
0.79
%
 
6/20/2017
 
(a)
 
791

 
AFIN 2013-1 A4
 
585

 
0.97
%
 
1/22/2018
 
(a)
 
585

 
AFIN 2013-3 A2
 
770

 
1.04
%
 
11/21/2016
 
(a)
 
772

 
AFIN 2013-4 A3
 
630

 
1.09
%
 
3/20/2018
 
(a)
 
630


15


 
AFIN 2014-1 A3
 
1,410

 
1.32
%
 
6/20/2018
 
(a)
 
1,416

 
AFIN 2014-2 A2
 
1,760

 
0.91
%
 
4/20/2017
 
(a)
 
1,760

 
AFIN 2014-2 A3
 
1,260

 
1.26
%
 
5/21/2018
 
(a)
 
1,263

 
AFIN 2014-3 A3
 
1,190

 
1.48
%
 
11/20/2018
 
(a)
 
1,190

 
AFLAC INC
 
1,260

 
3.63
%
 
11/15/2024
 
(a)
 
1,284

 
AGILENT TECHNOLOGIES INC
 
173

 
6.50
%
 
11/1/2017
 
(a)
 
196

 
AGILENT TECHNOLOGIES INC
 
225

 
3.20
%
 
10/1/2022
 
(a)
 
222

 
AGILENT TECHNOLOGIES INC
 
225

 
3.88
%
 
7/15/2023
 
(a)
 
230

 
AGL CAPITAL CORP
 
880

 
5.25
%
 
8/15/2019
 
(a)
 
1,001

 
ALLYA 2011-2 A4
 
68

 
1.98
%
 
4/15/2016
 
(a)
 
68

 
ALLYA 2011-3 A4
 
52

 
1.61
%
 
5/16/2016
 
(a)
 
52

 
ALLYA 2012-1 A4
 
645

 
1.21
%
 
7/15/2016
 
(a)
 
646

 
ALLYA 2013-2 A3
 
890

 
0.79
%
 
1/15/2018
 
(a)
 
890

 
ALLYL 2014-SN1 A3
 
365

 
0.75
%
 
2/21/2017
 
(a)
 
364

 
ALLYL 2014-SN1 A4
 
600

 
0.95
%
 
6/20/2018
 
(a)
 
599

 
ALTRIA GROUP INC
 
970

 
4.75
%
 
5/5/2021
 
(a)
 
1,080

 
ALTRIA GROUP INC
 
415

 
2.85
%
 
8/9/2022
 
(a)
 
409

 
AMAZON.COM INC
 
2,205

 
2.60
%
 
12/5/2019
 
(a)
 
2,230

 
AMAZON.COM INC
 
1,590

 
3.30
%
 
12/5/2021
 
(a)
 
1,617

 
AMCAR 2012-3 A3
 
34

 
0.96
%
 
1/9/2017
 
(a)
 
34

 
AMCAR 2012-5 A3
 
201

 
0.62
%
 
6/8/2017
 
(a)
 
201

 
AMCAR 2013-2 A3
 
1,095

 
0.65
%
 
12/8/2017
 
(a)
 
1,096

 
AMCAR 2013-3 A3
 
1,375

 
0.92
%
 
4/9/2018
 
(a)
 
1,378

 
AMCAR 2013-4 A3
 
595

 
0.96
%
 
4/9/2018
 
(a)
 
596

 
AMCAR 2014-2 A3
 
290

 
0.94
%
 
2/8/2019
 
(a)
 
289

 
AMER AIRLN 14-1 A PTT
 
1,305

 
3.70
%
 
4/1/2028
 
(a)
 
1,329

 
AMERICA MOVIL SAB DE CV
 
755

 
3.63
%
 
3/30/2015
 
(a)
 
767

 
AMERICA MOVIL SAB DE CV
 
440

 
2.38
%
 
9/8/2016
 
(a)
 
450

 
AMERICAN EXPRESS CO
 
2,135

 
0.82
%
 
5/22/2018
 
(a)
 
2,137

 
AMERICAN HONDA FINANCE
 
1,845

 
1.20
%
 
7/14/2017
 
(a)
 
1,849

 
AMERICAN INTL GROUP
 
810

 
2.30
%
 
7/16/2019
 
(a)
 
819

 
AMERISOURCEBERGEN CORP
 
655

 
3.50
%
 
11/15/2021
 
(a)
 
678

 
AMOT 2012-1 A1
 
1,005

 
0.96
%
 
2/15/2017
 
(a)
 
1,006

 
AMOT 2012-5 A
 
1,185

 
1.54
%
 
9/15/2019
 
(a)
 
1,177

 
AMOT 2013-1 A-2
 
405

 
1.00
%
 
2/15/2018
 
(a)
 
406

 
AMXCA 2013-1 A
 
850

 
0.58
%
 
2/16/2021
 
(a)
 
854

 
AMXCA 2014-2 A
 
1,355

 
1.26
%
 
1/15/2020
 
(a)
 
1,353

 
AMXCA 2014-3 A
 
960

 
1.49
%
 
4/15/2020
 
(a)
 
962

 
ANADARKO PETROLEUM CORP
 
105

 
6.38
%
 
9/15/2017
 
(a)
 
119

 
APPLE INC
 
570

 
0.45
%
 
5/3/2016
 
(a)
 
570

 
ASIAN DEVELOPMENT BANK
 
1,035

 
1.13
%
 
3/15/2017
 
(a)
 
1,044

 
ATMOS ENERGY CORP
 
225

 
8.50
%
 
3/15/2019
 
(a)
 
285

 
ATMOS ENERGY CORP
 
1,305

 
6.35
%
 
6/15/2017
 
(a)
 
1,462

 
AUTOZONE INC
 
840

 
1.30
%
 
1/13/2017
 
(a)
 
843

 
AVALONBAY COMMUNITIES IN
 
420

 
3.63
%
 
10/1/2020
 
(a)
 
440

 
BAAT 2012-1 A4
 
920

 
1.03
%
 
12/15/2016
 
(a)
 
923

 
BACM 2005-1 A5
 
442

 
5.27
%
 
11/10/2042
 
(a)
 
444


16


 
BACM 2006-2 A4
 
1,585

 
5.73
%
 
5/10/2045
 
(a)
 
1,658

 
BACM 2006-4 A4
 
955

 
5.63
%
 
7/10/2046
 
(a)
 
1,003

 
BACM06-1 A4
 
1,730

 
5.37
%
 
9/10/2045
 
(a)
 
1,781

 
BAIDU INC
 
1,200

 
2.75
%
 
6/9/2019
 
(a)
 
1,199

 
BANK OF AMERICA CORP
 
115

 
6.50
%
 
8/1/2016
 
(a)
 
127

 
BANK OF AMERICA CORP
 
465

 
1.50
%
 
10/9/2015
 
(a)
 
468

 
BANK OF AMERICA CORP
 
700

 
1.25
%
 
1/11/2016
 
(a)
 
705

 
BANK OF AMERICA CORP
 
1,485

 
1.70
%
 
8/25/2017
 
(a)
 
1,494

 
BANK OF AMERICA NA
 
1,845

 
1.25
%
 
2/14/2017
 
(a)
 
1,850

 
BANK OF MONTREAL
 
2,190

 
1.30
%
 
7/14/2017
 
(a)
 
2,194

 
BANK OF NEW YORK MELLON
 
835

 
0.47
%
 
3/4/2016
 
(a)
 
835

 
BANK OF NEW YORK MELLON
 
1,480

 
2.10
%
 
8/1/2018
 
(a)
 
1,509

 
BANK OF NOVA SCOTIA
 
815

 
0.64
%
 
3/15/2016
 
(a)
 
817

 
BANK OF NOVA SCOTIA
 
1,215

 
1.30
%
 
7/21/2017
 
(a)
 
1,218

 
BANK OF NOVA SCOTIA
 
1,335

 
2.80
%
 
7/21/2021
 
(a)
 
1,351

 
BANQUE FED CRED MUTUEL 144A
 
2,860

 
2.50
%
 
10/29/2018
 
(a)
 
2,905

 
BANQUE FED CRED MUTUEL 144A
 
1,395

 
1.70
%
 
1/20/2017
 
(a)
 
1,409

 
BARCLAYS BANK PLC
 
660

 
5.00
%
 
9/22/2016
 
(a)
 
711

 
BARCLAYS BANK PLC
 
300

 
5.14
%
 
10/14/2020
 
(a)
 
329

 
BARCLAYS PLC
 
735

 
2.75
%
 
11/8/2019
 
(a)
 
735

 
BAT INTL FINANCE PLC 144A
 
395

 
1.40
%
 
6/5/2015
 
(a)
 
397

 
BAXTER INTERNATIONAL INC
 
420

 
0.95
%
 
6/1/2016
 
(a)
 
420

 
BAYER US FINANCE LLC 144A
 
1,245

 
1.50
%
 
10/6/2017
 
(a)
 
1,248

 
BAYER US FINANCE LLC 144A
 
915

 
2.38
%
 
10/8/2019
 
(a)
 
920

 
BB&T CORPORATION
 
1,170

 
2.05
%
 
6/19/2018
 
(a)
 
1,177

 
BB&T CORPORATION
 
1,665

 
1.10
%
 
6/15/2018
 
(a)
 
1,681

 
BB&T CORPORATION
 
1,060

 
1.05
%
 
12/1/2016
 
(a)
 
1,059

 
BERKSHIRE HATHAWAY FIN
 
1,110

 
1.60
%
 
5/15/2017
 
(a)
 
1,122

 
BERKSHIRE HATHAWAY INC
 
200

 
2.20
%
 
8/15/2016
 
(a)
 
206

 
BG ENERGY CAPITAL PLC 144A
 
360

 
2.50
%
 
12/9/2015
 
(a)
 
366

 
BG ENERGY CAPITAL PLC 144A
 
275

 
2.88
%
 
10/15/2016
 
(a)
 
284

 
BK TOKYO-MITSUBISHI UFJ 144A
 
1,315

 
4.10
%
 
9/9/2023
 
(a)
 
1,432

 
BK TOKYO-MITSUBISHI UFJ 144A
 
1,250

 
1.45
%
 
9/8/2017
 
(a)
 
1,245

 
BMWOT 2014-A A4
 
1,250

 
1.50
%
 
2/25/2021
 
(a)
 
1,246

 
BNP PARIBAS
 
1,215

 
2.70
%
 
8/20/2018
 
(a)
 
1,253

 
BOSTON PROPERTIES LP
 
750

 
3.13
%
 
9/1/2023
 
(a)
 
742

 
BPCE SA
 
2,005

 
2.50
%
 
12/10/2018
 
(a)
 
2,036

 
BPCE SA 144A
 
980

 
5.15
%
 
7/21/2024
 
(a)
 
1,034

 
BRITISH SKY BROADCASTING 144A
 
1,200

 
2.63
%
 
9/16/2019
 
(a)
 
1,207

 
BRITISH TELECOM PLC
 
390

 
1.63
%
 
6/28/2016
 
(a)
 
392

 
BRITISH TELECOM PLC
 
890

 
2.35
%
 
2/14/2019
 
(a)
 
893

 
BSCMS 2005-PWR7 A3
 
692

 
5.12
%
 
2/11/2041
 
(a)
 
695

 
BSCMS 2005-PWR8 A4
 
277

 
4.67
%
 
6/11/2041
 
(a)
 
279

 
BSCMS 2006 PW12 A4
 
1,354

 
5.70
%
 
9/11/2038
 
(a)
 
1,428

 
BSCMS 2006 PW13 A4
 
949

 
5.54
%
 
9/11/2041
 
(a)
 
1,003

 
BSCMS 2006-PW14 A4
 
295

 
5.20
%
 
12/11/2038
 
(a)
 
314

 
BSCMS 2006-T24 A4
 
918

 
5.54
%
 
10/12/2041
 
(a)
 
973


17


 
BSCMS 2007-PW17 AAB
 
148

 
5.70
%
 
6/11/2050
 
(a)
 
149

 
BSCMS 2007-T28 AAB
 
393

 
5.75
%
 
9/11/2042
 
(a)
 
397

 
BURLINGTN NORTH SANTA FE
 
610

 
3.05
%
 
9/1/2022
 
(a)
 
619

 
BURLINGTN NORTH SANTA FE
 
440

 
3.85
%
 
9/1/2023
 
(a)
 
468

 
BURLINGTON NORTH SANTA FE
 
110

 
5.75
%
 
3/15/2018
 
(a)
 
125

 
CABMT 2010-IA A 144A
 
305

 
1.61
%
 
1/16/2018
 
(a)
 
305

 
CABMT 2014-1 A
 
425

 
0.51
%
 
3/16/2020
 
(a)
 
425

 
CAMDEN PROPERTY TRUST
 
885

 
4.63
%
 
6/15/2021
 
(a)
 
965

 
CANADA
 
340

 
0.88
%
 
2/14/2017
 
(a)
 
341

 
CANADIAN IMPERIAL BANK
 
1,595

 
0.75
%
 
7/18/2016
 
(a)
 
1,606

 
CANADIAN NATL RESOURCES
 
635

 
5.70
%
 
5/15/2017
 
(a)
 
694

 
CAPITAL ONE BANK USA NA
 
385

 
1.15
%
 
11/21/2016
 
(a)
 
384

 
CAPITAL ONE BANK USA NA
 
1,095

 
2.95
%
 
7/23/2021
 
(a)
 
1,102

 
CAPITAL ONE FINANCIAL CO
 
610

 
2.15
%
 
3/23/2015
 
(a)
 
615

 
CARMX 2011-2 A4
 
1,094

 
1.35
%
 
2/15/2017
 
(a)
 
1,098

 
CARMX 2012-1 A4
 
510

 
1.25
%
 
6/15/2017
 
(a)
 
512

 
CARMX 2012-2 A3
 
125

 
0.84
%
 
3/15/2017
 
(a)
 
125

 
CARMX 2012-2 A4
 
190

 
1.16
%
 
12/15/2017
 
(a)
 
191

 
CARMX 2012-3 A3
 
358

 
0.52
%
 
7/17/2017
 
(a)
 
357

 
CARMX 2012-3 A4
 
785

 
0.79
%
 
4/16/2018
 
(a)
 
783

 
CARMX 2013-1 A3
 
413

 
0.60
%
 
10/16/2017
 
(a)
 
412

 
CARMX 2013-2 A3
 
675

 
0.64
%
 
1/16/2018
 
(a)
 
675

 
CARMX 2013-3 A3
 
690

 
0.97
%
 
4/16/2018
 
(a)
 
692

 
CARMX 2013-4 A3
 
815

 
0.80
%
 
7/16/2018
 
(a)
 
814

 
CARMX 2014-3 A3
 
1,775

 
1.16
%
 
6/17/2019
 
(a)
 
1,770

 
CARMX 2014-4 A3
 
260

 
1.25
%
 
11/15/2019
 
(a)
 
260

 
CARMX 2014-4 A4
 
155

 
1.81
%
 
7/15/2020
 
(a)
 
155

 
CATERPILLAR FIN SERV
 
210

 
5.50
%
 
3/15/2016
 
(a)
 
225

 
CATERPILLAR FINANCIAL SE
 
1,925

 
1.35
%
 
9/6/2016
 
(a)
 
1,950

 
CATERPILLAR FINANCIAL SE
 
840

 
2.75
%
 
8/20/2021
 
(a)
 
855

 
CATHOLIC HEALTH INITIATI
 
670

 
2.95
%